UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-7803
Name of Registrant: Vanguard Scottsdale Funds
Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2011 – February 29, 2012
Item 1: Reports to Shareholders
 |
| Semiannual Report | February 29, 2012 |
| Vanguard Explorer ValueTM Fund |
> For the six months ended February 29, 2012, Vanguard Explorer Value Fund returned 12.52%.
> The fund outperformed its benchmark for the period, but lagged the average performance of small-capitalization value funds.
> Holdings in financials, industrials, and information technology added most to the fund’s overall return.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Advisors’ Report. | 6 |
| Fund Profile. | 10 |
| Performance Summary. | 11 |
| Financial Statements. | 12 |
| About Your Fund’s Expenses. | 22 |
| Trustees Approve Advisory Agreements. | 24 |
| Glossary. | 26 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we strive to help clients reach their financial goals.
Your Fund’s Total Returns
| Six Months Ended February 29, 2012 | |
| Total | |
| Returns | |
| Vanguard Explorer Value Fund | 12.52% |
| Russell 2500 Value Index | 12.07 |
| Small-Cap Value Funds Average | 13.12 |
| Small-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
| Your Fund’s Performance at a Glance | ||||
| August 31, 2011, Through February 29, 2012 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Explorer Value Fund | $21.94 | $23.32 | $0.189 | $1.019 |
1
Chairman’s Letter
Dear Shareholder,
Despite persistent volatility in the global financial markets, U.S. stocks posted strong results for the six months ended February 29, 2012. Vanguard Explorer Value Fund returned 12.52% for the period, outperforming its benchmark, the Russell 2500 Value Index, by about half a percentage point, but lagging the average return of its peers.
The fund’s holdings in financials, industrials, and information technology were the largest contributors to overall returns. The advisors’ strong stock selection within industrials and technology also boosted the fund’s performance relative to the index. Holdings in telecommunication services and energy weighed on the fund’s performance, both on an absolute basis and in comparison to its benchmark.
Notes of optimism propelled stock prices higher
U.S. stocks produced a strong return of 13.18% over the period. That statement is true enough, but the headline figure obscures the volatility that has been perhaps the most prominent feature of the financial markets over the past six months and indeed the past few years.
If the six-month period had started a month earlier, for example, the Dow Jones U.S. Total Stock Market Index would have returned just 1.97%. A start date two months earlier would have put the six-month return at –5.18%.
2
In the six months through February, however, stock prices benefited from signs of acceleration in the U.S. economic expansion and hope that the European Union’s latest agreement on Greek debt would help to contain a threat that has menaced global markets for much of the past two years. European stocks rallied on the news about Greece, but international stocks still trailed their U.S. counterparts for the full six months.
Bonds’ strength confounded expectations
Bonds produced solid returns, to the surprise of many long-time observers of the fixed income markets. At the start of the period, the yield of the 10-year U.S.
Treasury note stood at 2.22%, suggesting that returns would be very modest by historical standards. Over the next six months, however, yields moved lower still, boosting bond prices, which move in the opposite direction. At the end of February, the yield of the 10-year Treasury note stood at 1.98%. As yields decline, obviously, the scope for continued declines—and price increases—diminishes. Municipal bonds performed even more strongly than the broad taxable market.
The returns for 3-month Treasury bills and other money market instruments remained near 0%, consistent with the Federal Reserve’s policy on interest rates.
| Market Barometer | |||
| Total Returns | |||
| Periods Ended February 29, 2012 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.31% | 4.86% | 1.77% |
| Russell 2000 Index (Small-caps) | 12.40 | -0.15 | 1.83 |
| Dow Jones U.S. Total Stock Market Index | 13.18 | 4.35 | 2.07 |
| MSCI All Country World Index ex USA (International) | 3.97 | -6.10 | -0.75 |
| Bonds | |||
| Barclays Capital U.S. Aggregate Bond Index (Broad | |||
| taxable market) | 2.73% | 8.37% | 6.36% |
| Barclays Capital Municipal Bond Index (Broad | |||
| tax-exempt market) | 5.67 | 12.42 | 5.50 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.06 | 1.20 |
| CPI | |||
| Consumer Price Index | 0.49% | 2.87% | 2.27% |
3
Strong returns in several sectors drove returns
Vanguard Explorer Value Fund invests in small- and midsized companies that, in the opinion of the fund’s advisors, are undervalued by the market. Small- and mid-capitalization stocks faced some weakness early in the reporting period, but later rallied to end the six months with double-digit returns. In this environment, the fund produced a return of almost 13%.
The fund’s holdings in the financial sector added the most to its overall performance for the half-year. After being battered by the European debt crisis and regulatory concerns during much of last year, financial stocks rebounded strongly during the period. Banks and insurance companies drove returns, but strength was evident in many areas of the sector amid signs of improving investor sentiment.
Industrial and information technology stocks also added significantly to the fund’s overall returns. In the industrial sector, professional services and rail and road companies led the way, while electronic equipment and software companies were the top performers within technology. The fund also benefited from notable returns in the consumer discretionary, materials, and health care sectors.
| Expense Ratios | ||
| Your Fund Compared With Its Peer Group | ||
| Peer Group | ||
| Fund | Average | |
| Explorer Value Fund | 0.61% | 1.45% |
The fund expense ratio shown is from the prospectus dated December 29, 2011, and represents estimated costs for the current fiscal year. For the six months ended February 29, 2012, the fund’s annualized expense ratio was 0.59%. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2011.
Peer group: Small-Cap Value Funds.
4
On a relative basis, the fund’s industrial and technology holdings added most to performance for the half-year. The advisors’ strong stock selection in these two sectors provided the fund with a significant boost over its benchmark.
Telecommunication services and energy were the only areas of the market in which the fund posted negative results for the period. Poor stock selection within telecom—which accounted for less than 2% of the fund’s holdings, on average, during the period—weighed most heavily on the fund’s performance, both on an absolute basis and relative to the benchmark.
In good times and bad times a balanced portfolio is key
As the volatility in the financial markets persists, we continue to believe investors are best served by maintaining a diversified, balanced investment plan. In strong markets, the equity portion of a balanced portfolio can offer investors the opportunity for long-term growth. In more volatile times, bonds and short-term investments can help provide a cushion from dramatic swings in the stock market.
For these reasons, Vanguard encourages you to create a long-term investment plan that includes a mix of large-, mid-, and small-cap stocks, bonds, and short-term investments appropriate for your time horizon and risk tolerance.
By providing broad exposure to small-and mid-cap value stocks, Explorer Value Fund can play an important role in a well-balanced portfolio. And the fund’s low costs can help you keep more of the returns produced by the fund’s advisors.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 12, 2012
5
Advisors’ Report
For the half-year ended February 29, 2012, Vanguard Explorer Value Fund returned 12.52%. Your fund is managed by three independent advisors, a strategy that enhances the fund’s diversification by providing exposure to distinct, yet complementary, investment approaches. It is not uncommon for different advisors to have different views about individual securities or the broader investment environment. The advisors, the amount
and percentage of fund assets each manages, and brief descriptions of their investment strategies are presented in the table below. The advisors have also prepared a discussion of the investment environment that existed during the half-year and of how their portfolio positioning reflects this assessment. These comments were prepared on March 16, 2012.
| Vanguard Explorer Value Fund Investment Advisors | |||
| Fund Assets Managed | |||
| Investment Advisor | % | $ Million | Investment Strategy |
| Frontier Capital Management Co., | 34 | 42 | The advisor selects stocks by identifying companies it |
| LLC | believes are underpriced relative to their long-term | ||
| value. These companies are generally inexpensive and | |||
| have low price-to-book and price-to earnings ratios. | |||
| Cardinal Capital Management, | 32 | 40 | The advisor seeks stocks of companies that are able to |
| L.L.C. | generate excess cash flow and reinvest the cash to | ||
| increase shareholder value. | |||
| Sterling Capital Management LLC | 30 | 38 | The advisor searches for stocks of quality companies |
| selling at large discounts compared with their | |||
| underlying value. It defines quality companies as those | |||
| that generate considerable cash flow, reinvest in | |||
| opportunities with attractive returns, and have a | |||
| competitive advantage within their business sector. | |||
| Cash Investments | 4 | 4 | These short-term reserves are invested by Vanguard in |
| equity index products to simulate investment in stocks. | |||
| Each advisor may also maintain a modest cash | |||
| position. | |||
6
Frontier Capital Management Co., LLC
Portfolio Managers:
Thomas W. Duncan, Jr., Senior Vice President
William A. Teichner, CFA, Senior Vice President
Through the summer and fall of 2011, the stock market remained volatile as investors worried about the European sovereign debt crisis. However, early in 2012 the market strengthened as concerns about Europe subsided to some degree, while investors gained confidence about the prospects for the U.S. economy.
Our portion of the fund benefited from stock selection, while sector allocation had an approximately neutral effect. Stock selection was particularly strong within the producer durables, materials and processing, and health care sectors.
During the period, the portfolio’s ten best-contributing stocks were spread over four sectors and included seven producer durables companies and one stock each in technology, health care, and materials and processing.
The portfolio’s best-contributing stock was On Assignment, a diversified professional staffing firm focused on highly skilled labor, such as engineers, nurses, and physicians. The stock added approximately 140 basis points to performance. (One basis point equals one-hundredth of a percentage point.) During the period, the company reported results that exceeded consensus revenue and earnings expectations. Demand was particularly strong for the company’s information technology and engineering professionals.
The portfolio’s ten largest detractors were also spread over four sectors and included three holdings each in producer durables and materials and processing, and two stocks each in energy and consumer discretionary. The largest single detractor during the period was Comstock Resources, a producer of natural gas and, to a much lesser extent, crude oil. During the period, natural gas prices weakened significantly, which caused downward revisions to the company’s earnings prospects. We continue to maintain a position in the stock, since part of the decline in natural gas prices was related to temporary weather conditions. Furthermore, the stock is inexpensive and management has been increasing the company’s exposure to crude oil, which has maintained steadier prices and offers more attractive economics.
During the period, we bought 12 new stocks and sold 11 holdings. The purchases and sales were each spread over six sectors. The net effect was a small increase in the number of financial and energy stocks and a slight reduction in health care and consumer discretionary companies. As is typical for Frontier, the changes were made because of company-specific reasons rather than top-down positioning.
7
Cardinal Capital Management, L.L.C.
Portfolio Managers:
Amy K. Minella, Managing Partner and Portfolio Manager
Robert B. Kirkpatrick, CFA, Managing Partner and Portfolio Manager
Eugene Fox, III, Managing Partner and Portfolio Manager
For the six months ended February 29, 2012, domestic equities posted strong returns. Prospects for 2012 brightened amid signs of strengthening domestic economic growth and a strong rebound in consumer confidence. However, economic challenges persisted overseas with an imminent recession in Europe and domestically as a result of the dysfunctional U.S. political situation and the drag created by a slowdown in government spending at all levels.
Relative performance was hurt by stock selection in the industrial and information technology sectors and the drag from holding residual cash in a strong market. Specifically, shares of InterDigital, an intellectual property-based business model, fell after the strategic process it entered into during the summer did not result in a sale of the company and its valuable patent portfolio.
Contributors to relative performance included stock selection in the energy sector and an absence of the poorly performing utilities sector. Also, shares of Nelnet, a student loan servicer and legacy student loan portfolio, performed strongly because of low interest rates and opportunistic redeployment of the company’s strong free cash flow.
Our investment outlook remains cautiously optimistic—cautious because of an imminent recession in Europe, political headwinds in the United States, and a continued drag in government spending at all levels. We’re optimistic because U.S. economic growth is strengthening and strong demand from emerging markets, record corporate cash, and a rebound in mergers and acquisitions activity should support corporate earnings growth.
Meanwhile, inflation is tame and interest rates are likely to remain very low for the foreseeable future. As business confidence and credit markets have continued to improve, our corporate managements have been active in utilizing their free cash flow and debt capacity to make accretive acquisitions and share repurchases. These actions will benefit 2012 results and also bode well for the future.
Sterling Capital Management LLC
Portfolio Managers:
Eduardo A. Brea, CFA, Managing Director
Brian R. Walton, CFA, Managing Director
For the six months ended February 29, 2012, U.S. domestic small- and mid-cap securities posted strong gains and recovered nicely from the 2011 summer sell-off. During the period, our technology
8
and consumer discretionary holdings produced gains that outpaced the index, while our portfolio’s energy exposure detracted from performance. Negative stock selection within the utility sector proved to be the biggest drag on portfolio performance.
Technology companies broadly benefited from a rebound in IT spending following a Europe-induced slowdown in mid-2011. Axcelis Technologies experienced improved booking activity as semiconductor demand recovered. NetScout Systems recovered from past earnings disappointments and reported strong earnings that benefited from heightened wireless network demand. Although not experiencing real accelerating revenue growth, CA Technologies’ shares were boosted by its board’s decision to return significant cash to shareholders by increasing both share repurchases and dividend payments.
Improving capital allocation strategies also benefited consumer discretionary holding Meredith Corporation, which increased its dividend 50% (to yield 5%), supported by the company’s strong free cash flow. Elsewhere in the consumer discretionary sector, improving consumer spending supported gains by retailers HHGregg and Kirkland’s.
The energy sector detracted from performance largely because of the weak performance of EXCO Resources. Natural gas prices have fallen significantly over the past few months, which pressured the values of all producers of this commodity. Within the utility sector, the portfolio’s largest position remains NII Holdings, a wireless telecommunications provider in both Mexico and Brazil. Currency fluctuations and increased competition have challenged this company but valuation remains very compelling and supports continued portfolio ownership.
Free cash flow yields remain broadly attractive within the small- and mid-cap domestic universe. Financial flexibility exists for many firms to initiate capital allocation strategies structured to enhance shareholder returns via share repurchase, dividend increases, or mergers and acquisitions. We are optimistic that the portfolio will benefit from this scenario, as our holdings generally have strong balance sheets, which can help provide support for such initiatives.
9
Explorer Value Fund
Fund Profile
As of February 29, 2012
| Portfolio Characteristics | |||
| Russell | DJ | ||
| 2500 | U.S. Total | ||
| Value | Market | ||
| Fund | Index | Index | |
| Number of Stocks | 183 | 1,680 | 3,733 |
| Median Market Cap | $1.9B | $2.5B | $33.9B |
| Price/Earnings Ratio | 18.7x | 19.5x | 16.5x |
| Price/Book Ratio | 1.4x | 1.4x | 2.2x |
| Return on Equity | 10.7% | 7.4% | 18.2% |
| Earnings Growth Rate | 0.5% | -1.3% | 7.6% |
| Dividend Yield | 1.7% | 2.1% | 1.9% |
| Foreign Holdings | 0.7% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 39% | — | — |
| Ticker Symbol | VEVFX | — | — |
| Expense Ratio1 | 0.61% | — | — |
| 30-Day SEC Yield | 0.99% | — | — |
| Short-Term Reserves | 3.5% | — | — |
| Sector Diversification (% of equity exposure) | |||
| Russell | DJ | ||
| 2500 | U.S. Total | ||
| Value | Market | ||
| Fund | Index | Index | |
| Consumer | |||
| Discretionary | 9.2% | 13.1% | 11.9% |
| Consumer Staples | 1.2 | 3.0 | 9.4 |
| Energy | 5.1 | 5.0 | 11.2 |
| Financials | 29.0 | 33.0 | 15.4 |
| Health Care | 5.4 | 5.4 | 11.4 |
| Industrials | 20.3 | 14.5 | 11.2 |
| Information | |||
| Technology | 20.8 | 9.8 | 19.4 |
| Materials | 5.5 | 5.8 | 4.1 |
| Telecommunication | |||
| Services | 1.3 | 0.8 | 2.5 |
| Utilities | 2.2 | 9.6 | 3.5 |
| Ten Largest Holdings (% of total net assets) | ||
| Lexmark International | Computer Storage | |
| Inc. Class A | & Peripherals | 1.4% |
| Affiliated Managers | Asset Management | |
| Group Inc. | & Custody Banks | 1.3 |
| Silgan Holdings Inc. | Metal & Glass | |
| Containers | 1.3 | |
| Teledyne Technologies | Aerospace & | |
| Inc. | Defense | 1.2 |
| Nelnet Inc. Class A | Consumer Finance | 1.2 |
| Aspen Insurance | Property & Casualty | |
| Holdings Ltd. | Insurance | 1.2 |
| Teleflex Inc. | Health Care | |
| Equipment | 1.2 | |
| Six Flags Entertainment | ||
| Corp. | Leisure Facilities | 1.1 |
| Broadridge Financial | Data Processing & | |
| Solutions Inc. | Outsourced | |
| Services | 1.1 | |
| j2 Global Inc. | Internet Software & | |
| Services | 1.0 | |
| Top Ten | 12.0% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratio shown is from the prospectus dated December 29, 2011, and represents estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratio was 0.59%.
10
Explorer Value Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): March 30, 2010, Through February 29, 2012
Note: For 2012, performance data reflect the six months ended February 29, 2012.
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Since | |
| Date | Year | Inception | |
| Explorer Value Fund | 3/30/2010 | -2.36% | 7.78% |
See Financial Highlights for dividend and capital gains information.
11
Explorer Value Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (92.7%)1 | |||
| Consumer Discretionary (8.4%) | |||
| Six Flags Entertainment | |||
| Corp. | 31,100 | 1,408 | |
| Meredith Corp. | 37,271 | 1,226 | |
| Interpublic Group of Cos. | |||
| Inc. | 85,400 | 1,001 | |
| Virgin Media Inc. | 35,500 | 895 | |
| Chico’s FAS Inc. | 52,597 | 789 | |
| * | Kirkland’s Inc. | 43,500 | 694 |
| * | Entercom Communications | ||
| Corp. Class A | 83,550 | 585 | |
| Newell Rubbermaid Inc. | 29,593 | 541 | |
| Harman International | |||
| Industries Inc. | 10,900 | 535 | |
| Regis Corp. | 30,200 | 523 | |
| * | Ascena Retail Group Inc. | 12,800 | 494 |
| International Speedway | |||
| Corp. Class A | 15,700 | 395 | |
| HSN Inc. | 10,500 | 390 | |
| Thor Industries Inc. | 8,770 | 286 | |
| American Eagle Outfitters | |||
| Inc. | 16,700 | 243 | |
| * | DineEquity Inc. | 3,800 | 203 |
| * | Cambium Learning Group | ||
| Inc. | 58,100 | 167 | |
| 10,375 | |||
| Consumer Staples (1.0%) | |||
| JM Smucker Co. | 8,700 | 655 | |
| Inter Parfums Inc. | 18,973 | 320 | |
| * | Pantry Inc. | 19,465 | 242 |
| 1,217 | |||
| Energy (4.6%) | |||
| World Fuel Services Corp. | 24,700 | 1,029 | |
| * | Concho Resources Inc. | 8,800 | 940 |
| * | Oasis Petroleum Inc. | 22,700 | 728 |
| SM Energy Co. | 8,333 | 656 | |
| * | Forest Oil Corp. | 39,300 | 508 |
| * | Carrizo Oil & Gas Inc. | 15,848 | 446 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Resolute Energy Corp. | 36,700 | 410 |
| EXCO Resources Inc. | 55,100 | 393 | |
| * | Comstock Resources Inc. | 24,210 | 388 |
| * | Bonanza Creek Energy Inc. | 12,400 | 231 |
| 5,729 | |||
| Financials (27.2%) | |||
| * | Affiliated Managers Group | ||
| Inc. | 15,300 | 1,628 | |
| Nelnet Inc. Class A | 55,200 | 1,458 | |
| Aspen Insurance Holdings | |||
| Ltd. | 54,636 | 1,449 | |
| Endurance Specialty | |||
| Holdings Ltd. | 33,500 | 1,288 | |
| Leucadia National Corp. | 43,900 | 1,251 | |
| Cash America International | |||
| Inc. | 21,900 | 1,016 | |
| CYS Investments Inc. | 74,200 | 1,007 | |
| First Citizens BancShares | |||
| Inc. Class A | 5,600 | 986 | |
| CapitalSource Inc. | 134,800 | 910 | |
| Comerica Inc. | 30,100 | 894 | |
| Washington Federal Inc. | 51,800 | 839 | |
| * | E*Trade Financial Corp. | 83,500 | 804 |
| Hatteras Financial Corp. | 27,300 | 777 | |
| StanCorp Financial Group | |||
| Inc. | 19,400 | 771 | |
| Lincoln National Corp. | 29,500 | 733 | |
| Northwest Bancshares Inc. | 56,800 | 717 | |
| Assured Guaranty Ltd. | 42,300 | 711 | |
| HCC Insurance Holdings Inc. | 23,173 | 708 | |
| Ares Capital Corp. | 41,800 | 697 | |
| Assurant Inc. | 16,100 | 684 | |
| Flushing Financial Corp. | 50,570 | 655 | |
| Willis Group Holdings plc | 18,100 | 649 | |
| Argo Group International | |||
| Holdings Ltd. | 21,472 | 641 | |
| First American Financial | |||
| Corp. | 39,900 | 614 | |
| Entertainment Properties | |||
| Trust | 13,500 | 614 | |
12
Explorer Value Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Parkway Properties Inc. | 60,400 | 603 | |
| Brookline Bancorp Inc. | 64,900 | 596 | |
| First Community | |||
| Bancshares Inc. | 47,094 | 584 | |
| WSFS Financial Corp. | 14,806 | 570 | |
| Starwood Property Trust | |||
| Inc. | 27,800 | 549 | |
| Jefferies Group Inc. | 31,980 | 535 | |
| * | Popular Inc. | 280,100 | 532 |
| * | Beneficial Mutual Bancorp | ||
| Inc. | 56,550 | 513 | |
| National Retail Properties | |||
| Inc. | 18,594 | 495 | |
| Renasant Corp. | 32,421 | 492 | |
| Medical Properties Trust | |||
| Inc. | 47,700 | 464 | |
| * | PHH Corp. | 33,600 | 458 |
| Government Properties | |||
| Income Trust | 19,600 | 457 | |
| * | Pinnacle Financial Partners | ||
| Inc. | 27,347 | 453 | |
| Selective Insurance Group | |||
| Inc. | 25,410 | 436 | |
| Raymond James Financial | |||
| Inc. | 12,254 | 433 | |
| Hancock Holding Co. | 12,540 | 426 | |
| Campus Crest Communities | |||
| Inc. | 38,707 | 410 | |
| MI Developments Inc. | 10,600 | 397 | |
| * | Navigators Group Inc. | 8,180 | 384 |
| Home Bancshares Inc. | 14,410 | 363 | |
| First Horizon National Corp. | 37,404 | 352 | |
| * | Investment Technology | ||
| Group Inc. | 25,900 | 298 | |
| * | Texas Capital Bancshares | ||
| Inc. | 7,140 | 242 | |
| Bank Mutual Corp. | 48,500 | 191 | |
| 33,734 | |||
| Health Care (4.7%) | |||
| Teleflex Inc. | 24,200 | 1,434 | |
| * | Henry Schein Inc. | 11,800 | 874 |
| Omnicare Inc. | 22,400 | 788 | |
| Cooper Cos. Inc. | 8,784 | 698 | |
| * | VCA Antech Inc. | 29,000 | 638 |
| * | Coventry Health Care Inc. | 17,800 | 582 |
| * | IRIS International Inc. | 39,877 | 445 |
| * | Symmetry Medical Inc. | 40,300 | 292 |
| Lincare Holdings Inc. | 2,800 | 75 | |
| 5,826 | |||
| Industrials (19.0%) | |||
| * | Teledyne Technologies Inc. | 24,642 | 1,469 |
| * | Atlas Air Worldwide | ||
| Holdings Inc. | 29,425 | 1,254 | |
| Celadon Group Inc. | 72,288 | 1,067 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | FTI Consulting Inc. | 25,300 | 1,014 |
| * | KAR Auction Services Inc. | 62,700 | 1,008 |
| * | On Assignment Inc. | 69,659 | 967 |
| Equifax Inc. | 21,300 | 895 | |
| Mueller Industries Inc. | 17,500 | 805 | |
| * | RailAmerica Inc. | 38,364 | 790 |
| Harsco Corp. | 35,000 | 778 | |
| * | SYKES Enterprises Inc. | 56,000 | 772 |
| * | Altra Holdings Inc. | 37,785 | 736 |
| * | Kirby Corp. | 10,048 | 689 |
| Snap-on Inc. | 10,535 | 644 | |
| Granite Construction Inc. | 21,800 | 623 | |
| * | Saia Inc. | 37,326 | 609 |
| * | WESCO International Inc. | 9,576 | 602 |
| Actuant Corp. Class A | 21,071 | 594 | |
| * | Beacon Roofing Supply Inc. | 23,733 | 560 |
| * | BE Aerospace Inc. | 11,193 | 513 |
| Encore Wire Corp. | 17,390 | 507 | |
| UTi Worldwide Inc. | 30,700 | 495 | |
| Kaman Corp. | 13,900 | 479 | |
| Lennox International Inc. | 12,210 | 478 | |
| * | EnergySolutions Inc. | 110,800 | 466 |
| Carlisle Cos. Inc. | 9,110 | 445 | |
| * | Columbus McKinnon Corp. | 24,205 | 403 |
| * | Orbital Sciences Corp. | 28,245 | 397 |
| * | WABCO Holdings Inc. | 6,426 | 382 |
| Interface Inc. Class A | 30,527 | 374 | |
| Apogee Enterprises Inc. | 27,480 | 365 | |
| * | Furmanite Corp. | 44,885 | 328 |
| Heidrick & Struggles | |||
| International Inc. | 15,910 | 323 | |
| HNI Corp. | 12,076 | 305 | |
| * | Accuride Corp. | 34,720 | 276 |
| * | CRA International Inc. | 10,722 | 255 |
| Mine Safety Appliances Co. | 6,400 | 236 | |
| * | DXP Enterprises Inc. | 6,349 | 235 |
| Viad Corp. | 11,200 | 218 | |
| JB Hunt Transport Services | |||
| Inc. | 3,900 | 200 | |
| 23,556 | |||
| Information Technology (19.5%) | |||
| Lexmark International Inc. | |||
| Class A | 45,461 | 1,677 | |
| Broadridge Financial | |||
| Solutions Inc. | 54,350 | 1,323 | |
| j2 Global Inc. | 43,700 | 1,292 | |
| IAC/InterActiveCorp | 26,900 | 1,227 | |
| CA Inc. | 44,500 | 1,203 | |
| DST Systems Inc. | 21,700 | 1,150 | |
| Earthlink Inc. | 147,900 | 1,105 | |
| * | ACI Worldwide Inc. | 27,900 | 1,054 |
| * | Convergys Corp. | 81,800 | 1,054 |
| Jabil Circuit Inc. | 31,317 | 809 | |
| MTS Systems Corp. | 14,887 | 731 | |
| * | Compuware Corp. | 80,900 | 729 |
13
Explorer Value Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| InterDigital Inc. | 18,800 | 711 | |
| * | OSI Systems Inc. | 11,716 | 691 |
| Lender Processing | |||
| Services Inc. | 30,200 | 666 | |
| * | Insight Enterprises Inc. | 31,440 | 657 |
| * | Skyworks Solutions Inc. | 24,000 | 647 |
| * | Itron Inc. | 14,300 | 635 |
| * | ValueClick Inc. | 30,400 | 632 |
| Global Payments Inc. | 11,900 | 614 | |
| * | Atmel Corp. | 52,300 | 529 |
| * | ON Semiconductor Corp. | 57,120 | 518 |
| * | Orbotech Ltd. | 44,800 | 490 |
| * | Fairchild Semiconductor | ||
| International Inc. Class A | 32,990 | 481 | |
| * | Brightpoint Inc. | 50,820 | 447 |
| Harris Corp. | 10,200 | 445 | |
| * | Pericom Semiconductor | ||
| Corp. | 57,815 | 445 | |
| Diebold Inc. | 10,048 | 393 | |
| Littelfuse Inc. | 7,208 | 381 | |
| * | Acxiom Corp. | 26,300 | 369 |
| * | Advanced Energy | ||
| Industries Inc. | 20,490 | 246 | |
| * | Lionbridge Technologies | ||
| Inc. | 86,050 | 223 | |
| * | Virtusa Corp. | 11,770 | 184 |
| * | Netscout Systems Inc. | 7,850 | 167 |
| * | Anaren Inc. | 8,415 | 148 |
| 24,073 | |||
| Materials (5.1%) | |||
| Silgan Holdings Inc. | 37,400 | 1,590 | |
| FMC Corp. | 11,600 | 1,148 | |
| Cytec Industries Inc. | 10,302 | 613 | |
| PH Glatfelter Co. | 34,110 | 533 | |
| Eagle Materials Inc. | 16,580 | 520 | |
| Cabot Corp. | 12,672 | 513 | |
| * | WR Grace & Co. | 7,200 | 410 |
| Albemarle Corp. | 6,100 | 406 | |
| * | Ferro Corp. | 69,700 | 387 |
| * | RTI International Metals Inc. | 8,732 | 197 |
| 6,317 | |||
| Telecommunication Services (1.2%) | |||
| * | NII Holdings Inc. | 29,900 | 535 |
| NTELOS Holdings Corp. | 16,250 | 378 | |
| Windstream Corp. | 30,000 | 362 | |
| Lumos Networks Corp. | 16,250 | 208 | |
| 1,483 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Utilities (2.0%) | |||
| Westar Energy Inc. | 28,135 | 774 | |
| Portland General | |||
| Electric Co. | 26,453 | 652 | |
| Unitil Corp. | 17,210 | 458 | |
| Southwest Gas Corp. | 9,545 | 407 | |
| Piedmont Natural Gas | |||
| Co. Inc. | 5,466 | 177 | |
| 2,468 | |||
| Total Common Stocks | |||
| (Cost $103,887) | 114,778 | ||
| Temporary Cash Investments (7.2%)1 | |||
| Money Market Fund (6.8%) | |||
| 2 | Vanguard Market | ||
| Liquidity Fund, | |||
| 0.111% | 8,475,695 | 8,476 | |
| Face | |||
| Amount | |||
| ($000) | |||
| U.S. Government and Agency Obligations (0.4%) | |||
| 3,4 | Federal Home Loan | ||
| Bank Discount Notes, | |||
| 0.025%, 3/23/12 | 200 | 200 | |
| 4,5 | Freddie Mac Discount | ||
| Notes, 0.050%, 4/4/12 | 300 | 300 | |
| 500 | |||
| Total Temporary Cash Investments | |||
| (Cost $8,976) | 8,976 | ||
| Total Investments (99.9%) | |||
| (Cost $112,863) | 123,754 | ||
| Other Assets and Liabilities (0.1%) | |||
| Other Assets | 1,053 | ||
| Liabilities | (922) | ||
| 131 | |||
| Net Assets (100%) | |||
| Applicable to 5,311,976 outstanding | |||
| $.001 par value shares of beneficial | |||
| interest (unlimited authorization) | 123,885 | ||
| Net Asset Value Per Share | $23.32 | ||
14
Explorer Value Fund
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 112,440 |
| Overdistributed Net Investment Income | (42) |
| Accumulated Net Realized Gains | 138 |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 10,891 |
| Futures Contracts | 458 |
| Net Assets | 123,885 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 96.4% and 3.5%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
4 Securities with a value of $500,000 have been segregated as initial margin for open futures contracts.
5 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Explorer Value Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 814 |
| Interest1 | 5 |
| Security Lending | 7 |
| Total Income | 826 |
| Expenses | |
| Investment Advisory Fees—Note B | |
| Basic Fee | 200 |
| Performance Adjustment | 15 |
| The Vanguard Group—Note C | |
| Management and Administrative | 99 |
| Marketing and Distribution | 11 |
| Custodian Fees | 8 |
| Shareholders’ Reports | 1 |
| Total Expenses | 334 |
| Net Investment Income | 492 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 66 |
| Futures Contracts | (91) |
| Realized Net Gain (Loss) | (25) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 12,590 |
| Futures Contracts | 624 |
| Change in Unrealized Appreciation (Depreciation) | 13,214 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 13,681 |
| 1 Interest income from an affiliated company of the fund was $4,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
16
| Explorer Value Fund | ||
| Statement of Changes in Net Assets | ||
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 492 | 914 |
| Realized Net Gain (Loss) | (25) | 7,134 |
| Change in Unrealized Appreciation (Depreciation) | 13,214 | 7,154 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 13,681 | 15,202 |
| Distributions | ||
| Net Investment Income | (962) | (576) |
| Realized Capital Gain1 | (5,185) | (837) |
| Total Distributions | (6,147) | (1,413) |
| Capital Share Transactions | ||
| Issued | 12,844 | 64,108 |
| Issued in Lieu of Cash Distributions | 5,669 | 1,289 |
| Redeemed | (17,881) | (38,764) |
| Net Increase (Decrease) from Capital Share Transactions | 632 | 26,633 |
| Total Increase (Decrease) | 8,166 | 40,422 |
| Net Assets | ||
| Beginning of Period | 115,719 | 75,297 |
| End of Period2 | 123,885 | 115,719 |
1 Includes fiscal 2012 and 2011 short-term gain distributions totaling $4,152,000 and $815,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($42,000) and $428,000.
See accompanying Notes, which are an integral part of the Financial Statements.
17
| Explorer Value Fund | |||
| Financial Highlights | |||
| Six Months | Year | March 16, | |
| Ended | Ended | 20101 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $21.94 | $18.09 | $20.00 |
| Investment Operations | |||
| Net Investment Income | .100 | .190 | .044 |
| Net Realized and Unrealized Gain (Loss) on Investments | 2.488 | 3.991 | (1.954) |
| Total from Investment Operations | 2.588 | 4.181 | (1.910) |
| Distributions | |||
| Dividends from Net Investment Income | (.189) | (.135) | — |
| Distributions from Realized Capital Gains | (1.019) | (.196) | — |
| Total Distributions | (1.208) | (.331) | — |
| Net Asset Value, End of Period | $23.32 | $21.94 | $18.09 |
| Total Return2 | 12.52% | 23.04% | -9.55% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $124 | $116 | $75 |
| Ratio of Total Expenses to Average Net Assets3 | 0.59% | 0.57% | 0.56%4 |
| Ratio of Net Investment Income to Average Net Assets | 0.87% | 0.82% | 0.55%4 |
| Portfolio Turnover Rate | 39% | 41% | 16% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Subscription period for the fund was March 16, 2010, to March 30, 2010, during which time all assets were held in money market instruments. Performance measurement began March 30, 2010, at a net asset value of $20.00.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Includes performance-based investment advisory fee increases (decreases) of 0.03%, 0.01% and 0.00%.
4 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Explorer Value Fund
Notes to Financial Statements
Vanguard Explorer Value Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2010–2011), and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
19
Explorer Value Fund
B. Frontier Capital Management Co., LLC, Cardinal Capital Management L.L.C., and Sterling Capital Management LLC each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fees for Frontier Capital Management Co., LLC, Cardinal Capital Management L.L.C., and Sterling Capital Management LLC are subject to quarterly adjustments based on performance since May 31, 2010, relative to the Russell 2000 Value Index, Russell Mid-Cap Value Custom Cap-Range Index, and Russell 2500 Value Index, respectively.
The Vanguard Group manages the cash reserves of the fund on an at-cost basis.
For the six months ended February 29, 2012, the aggregate investment advisory fee represented an effective annual basic rate of 0.35% of the fund’s average net assets, before an increase of $15,000 (0.03%) based on performance.
C. The Vanguard Group furnishes at cost corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $19,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 114,778 | — | — |
| Temporary Cash Investments | 8,476 | 500 | — |
| Futures Contracts—Assets1 | 12 | — | — |
| Futures Contracts—Liabilities1 | (92) | — | — |
| Total | 123,174 | 500 | — |
| 1 Represents variation margin on the last day of the reporting period. |
20
Explorer Value Fund
E. At February 29, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-Mini Russell 2000 Index | March 2012 | 57 | 4,617 | 458 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
F. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
At February 29, 2012, the cost of investment securities for tax purposes was $112,863,000. Net unrealized appreciation of investment securities for tax purposes was $10,891,000, consisting of unrealized gains of $16,728,000 on securities that had risen in value since their purchase and $5,837,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the six months ended February 29, 2012, the fund purchased $20,974,000 of investment securities and sold $27,502,000 of investment securities, other than temporary cash investments.
| H. Capital shares issued and redeemed were: | ||
| Six Months Ended | Year Ended | |
| February 29, 2012 | August 31, 2011 | |
| Shares | Shares | |
| (000) | (000) | |
| Issued | 586 | 2,748 |
| Issued in Lieu of Cash Distributions | 275 | 57 |
| Redeemed | (823) | (1,693) |
| Net Increase (Decrease) in Shares Outstanding | 38 | 1,112 |
I. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
21
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
22
| Six Months Ended February 29, 2012 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Explorer Value Fund | 8/31/2011 | 2/29/2012 | Period |
| Based on Actual Fund Return | $1,000.00 | $1,125.23 | $3.12 |
| Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,021.93 | 2.97 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.59%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
23
Trustees Approve Advisory Agreements
The board of trustees of Vanguard Explorer Value Fund has renewed the fund’s investment advisory agreements with Cardinal Capital Management, L.L.C., Frontier Capital Management Co., LLC, and Sterling Capital Management LLC. The board determined that the retention of the advisors was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the agreements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management services since its inception in 2010, and took into account the organizational depth and stability of each advisor. The board noted the following:
Cardinal Capital Management, L.L.C. Founded in 1995, Cardinal is an investment advisor that manages small- and mid-cap value portfolios. Cardinal employs a cash-flow-oriented investment process. Cardinal believes that a company’s stock price is ultimately determined by its ability to generate excess cash flow and redeploy that cash to enhance shareholder value. Cardinal has advised a portion of the fund since the fund’s inception.
Frontier Capital Management Co. LLC. Founded in 1980, Frontier is an investment advisor with a long history of investing in small- and mid-cap stocks. Frontier selects stocks by identifying companies that the advisor believes are underpriced relative to their long-term value. These companies generally are inexpensive in many ways, including price-to-book and price-to-earnings ratios. Frontier has advised a portion of the fund since the fund’s inception.
Sterling Capital Management LLC. Founded in 1970, Sterling uses a value-oriented strategy that seeks to identify stocks of quality companies selling at large discounts compared with the underlying value of the business. Sterling defines quality companies as those that generate considerable cash flow, offer reinvestment opportunities with attractive returns, and enjoy competitive advantages in their business sector. Sterling has advised a portion of the fund since the fund’s inception.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory agreements.
Investment performance
The board considered the fund’s performance since its inception, including any periods of outperformance or underperformance of a relevant benchmark and peer group. The board concluded that each advisor has carried out the fund’s investment strategy in a disciplined fashion, and the performance results have allowed the fund to remain competitive versus its benchmark and peer group. Information about the fund’s performance since inception can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section, which also includes information about the fund’s advisory fee rate.
24
The board did not consider profitability of the fund’s advisors in determining whether to approve the advisory fees, because the firms are independent of Vanguard, and the advisory fees are the result of arm’s-length negotiations.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of breakpoints in the advisory fee schedules. The breakpoints reduce the effective rate of the fees as the fund’s assets managed by each advisor increase.
The board will consider whether to renew the advisory agreement again after a one-year period.
25
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
26
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
27
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| Interested Trustee1 | and President (2006–2008) of Rohm Haas Co. |
| (chemicals); Director of Tyco International, Ltd. | |
| F. William McNabb III | (diversified manufacturing and services), Hewlett- |
| Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing), |
| Board. Principal Occupation(s) During the Past Five | and Delphi Automotive LLP (automotive components); |
| Years: Chairman of the Board of The Vanguard Group, | Senior Advisor at New Mountain Capital; Trustee of |
| Inc., and of each of the investment companies served | The Conference Board. |
| by The Vanguard Group, since January 2010; Director | |
| of The Vanguard Group since 2008; Chief Executive | Amy Gutmann |
| Officer and President of The Vanguard Group and of | Born 1949. Trustee Since June 2006. Principal |
| each of the investment companies served by The | Occupation(s) During the Past Five Years: President |
| Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Christopher H. |
| Marketing Corporation; Managing Director of The | Browne Distinguished Professor of Political Science |
| Vanguard Group (1995–2008). | in the School of Arts and Sciences with secondary |
| appointments at the Annenberg School for Commu- | |
| nication and the Graduate School of Education | |
| Independent Trustees | of the University of Pennsylvania; Director of |
| Carnegie Corporation of New York, Schuylkill River | |
| Emerson U. Fullwood | Development Corporation, and Greater Philadelphia |
| Born 1948. Trustee Since January 2008. Principal | Chamber of Commerce; Trustee of the National |
| Occupation(s) During the Past Five Years: Executive | Constitution Center; Chair of the Presidential |
| Chief Staff and Marketing Officer for North America | Commission for the Study of Bioethical Issues. |
| and Corporate Vice President (retired 2008) of Xerox | |
| Corporation (document management products and | JoAnn Heffernan Heisen |
| services); Executive in Residence and 2010 | Born 1950. Trustee Since July 1998. Principal |
| Distinguished Minett Professor at the Rochester | Occupation(s) During the Past Five Years: Corporate |
| Institute of Technology; Director of SPX Corporation | Vice President and Chief Global Diversity Officer |
| (multi-industry manufacturing), the United Way of | (retired 2008) and Member of the Executive |
| Rochester, Amerigroup Corporation (managed health | Committee (1997–2008) of Johnson & Johnson |
| care), the University of Rochester Medical Center, | (pharmaceuticals/medical devices/consumer |
| Monroe Community College Foundation, and North | products); Director of Skytop Lodge Corporation |
| Carolina A&T University. | (hotels), the University Medical Center at Princeton, |
| the Robert Wood Johnson Foundation, and the Center | |
| Rajiv L. Gupta | for Talent Innovation; Member of the Advisory Board |
| Born 1945. Trustee Since December 2001.2 | of the Maxwell School of Citizenship and Public Affairs |
| Principal Occupation(s) During the Past Five Years: | at Syracuse University. |
| Chairman and Chief Executive Officer (retired 2009) |
| F. Joseph Loughrey | Group since 2010; Assistant Controller of each of | |
| Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard | |
| Occupation(s) During the Past Five Years: President | Group (2001–2010). | |
| and Chief Operating Officer (retired 2009) and Vice | ||
| Chairman of the Board (2008–2009) of Cummins Inc. | Thomas J. Higgins | |
| (industrial machinery); Director of SKF AB (industrial | Born 1957. Chief Financial Officer Since September | |
| machinery), Hillenbrand, Inc. (specialized consumer | 2008. Principal Occupation(s) During the Past Five | |
| services), the Lumina Foundation for Education, and | Years: Principal of The Vanguard Group, Inc.; Chief | |
| Oxfam America; Chairman of the Advisory Council | Financial Officer of each of the investment companies | |
| for the College of Arts and Letters and Member | served by The Vanguard Group since 2008; Treasurer | |
| of the Advisory Board to the Kellogg Institute for | of each of the investment companies served by The | |
| International Studies at the University of Notre Dame. | Vanguard Group (1998–2008). | |
| André F. Perold | Kathryn J. Hyatt | |
| Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
| Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
| Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
| Business School (retired 2011); Chief Investment | the investment companies served by The Vanguard | |
| Officer and Managing Partner of HighVista Strategies | Group since 2008; Assistant Treasurer of each of the | |
| LLC (private investment firm); Director of Rand | investment companies served by The Vanguard Group | |
| Merchant Bank; Overseer of the Museum of Fine | (1988–2008). | |
| Arts Boston. | ||
| Heidi Stam | ||
| Alfred M. Rankin, Jr. | Born 1956. Secretary Since July 2005. Principal | |
| Born 1941. Trustee Since January 1993. Principal | Occupation(s) During the Past Five Years: Managing | |
| Occupation(s) During the Past Five Years: Chairman, | Director of The Vanguard Group, Inc., since 2006; | |
| President, and Chief Executive Officer of NACCO | General Counsel of The Vanguard Group since 2005; | |
| Industries, Inc. (forklift trucks/housewares/lignite); | Secretary of The Vanguard Group and of each of the | |
| Director of Goodrich Corporation (industrial products/ | investment companies served by The Vanguard Group | |
| aircraft systems and services) and the National | since 2005; Director and Senior Vice President of | |
| Association of Manufacturers; Chairman of the Board | Vanguard Marketing Corporation since 2005; | |
| of the Federal Reserve Bank of Cleveland and of | Principal of The Vanguard Group (1997–2006). | |
| University Hospitals of Cleveland; Advisory Chairman | ||
| of the Board of The Cleveland Museum of Art. | ||
| Vanguard Senior Management Team | ||
| Peter F. Volanakis | ||
| Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | Michael S. Miller |
| Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | James M. Norris |
| and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | Glenn W. Reed |
| Incorporated (communications equipment); Director of | Martha G. King | George U. Sauter |
| Corning Incorporated (2000-2010) and Dow Corning | Chris D. McIsaac | |
| (2001–2010); Director of SPX Corporation (multi- | ||
| industry manufacturing); Overseer of the Amos Tuck | Chairman Emeritus and Senior Advisor | |
| School of Business Administration at Dartmouth | ||
| College; Advisor to the Norris Cotton Cancer Center. | John J. Brennan | |
| Chairman, 1996–2009 | ||
| Chief Executive Officer and President, 1996–2008 | ||
| Executive Officers | ||
| Glenn Booraem | Founder | |
| Born 1967. Controller Since July 2010. Principal | ||
| Occupation(s) During the Past Five Years: Principal | John C. Bogle | |
| of The Vanguard Group, Inc.; Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
| the investment companies served by The Vanguard | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
 | |
| P.O. Box 2600 | |
| Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
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| With Hearing Impairment > 800-749-7273 | |
| This material may be used in conjunction | |
| with the offering of shares of any Vanguard | |
| fund only if preceded or accompanied by | |
| the fund’s current prospectus. | |
| All comparative mutual fund data are from Lipper Inc. or | |
| Morningstar, Inc., unless otherwise noted. | |
| You can obtain a free copy of Vanguard’s proxy voting | |
| guidelines by visiting vanguard.com/proxyreporting or by | |
| calling Vanguard at 800-662-2739. The guidelines are | |
| also available from the SEC’s website, sec.gov. In | |
| addition, you may obtain a free report on how your fund | |
| voted the proxies for securities it owned during the 12 | |
| months ended June 30. To get the report, visit either | |
| vanguard.com/proxyreporting or sec.gov. | |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
| copies of this information, for a fee, by sending a | |
| request in either of two ways: via e-mail addressed to | |
| publicinfo@sec.gov or via regular mail addressed to the | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| © 2012 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q16902 042012 | |
 |
| Semiannual Report | February 29, 2012 |
| Vanguard Russell 1000 Index Funds |
| Vanguard Russell 1000 Index Fund |
| Vanguard Russell 1000 Value Index Fund |
| Vanguard Russell 1000 Growth Index Fund |
> The three Vanguard Russell 1000 Index Funds delivered strong gains for the six months ended February 29, with returns in a tight range between 12.77% and 13.70%.
> Each fund met its objective of closely tracking its benchmark index.
> Information technology, consumer discretionary, and industrial stocks were among the funds’ best performers.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Russell 1000 Index Fund. | 8 |
| Russell 1000 Value Index Fund. | 21 |
| Russell 1000 Growth Index Fund. | 34 |
| About Your Fund’s Expenses. | 47 |
| Glossary. | 49 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we strive to help clients reach their financial goals.
Your Fund’s Total Returns
| Six Months Ended February 29, 2012 | |
| Total | |
| Returns | |
| Vanguard Russell 1000 Index Fund | |
| Institutional Shares | 13.26% |
| ETF Shares | |
| Market Price | 13.25 |
| Net Asset Value | 13.24 |
| Russell 1000 Index | 13.31 |
| Large-Cap Core Funds Average | 12.27 |
| Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
| Vanguard Russell 1000 Value Index Fund | |
| Institutional Shares | 12.81% |
| ETF Shares | |
| Market Price | 12.77 |
| Net Asset Value | 12.77 |
| Russell 1000 Value Index | 12.84 |
| Large-Cap Value Funds Average | 12.39 |
| Large-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
| Vanguard Russell 1000 Growth Index Fund | |
| Institutional Shares | 13.70% |
| ETF Shares | |
| Market Price | 13.64 |
| Net Asset Value | 13.66 |
| Russell 1000 Growth Index | 13.76 |
| Large-Cap Growth Funds Average | 12.46 |
| Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc. |
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
1
Chairman’s Letter
Dear Shareholder,
For the six months ended February 29, 2012, the Vanguard Russell 1000 Index Funds produced strong returns as a late rally more than made up for losses early in the period.
All three funds closely tracked their benchmark indexes. The Russell 1000 Growth Index Fund delivered the highest return, 13.70% for its Institutional Shares, as growth stocks outperformed their value counterparts by a modest margin. The Russell 1000 Value Index Fund returned 12.81% for the same share class, and the Russell 1000 Index Fund, which encompasses the growth and value market segments, fell between with a return of 13.26% for its Institutional Shares.
Notes of economic optimism propelled stock prices higher
U.S. stocks produced a strong return of 13.18% over the period. That statement is true enough, but the headline figure obscures the volatility that has been perhaps the most prominent feature of the financial markets over the past six months, and indeed the past few years. If our semiannual reporting period had started a month earlier, for example, the Dow Jones U.S. Total Stock Market Index would have returned just 1.97%. A start date two months earlier would have produced a return of –5.18%.
2
In the six months through February, however, stock prices benefited from signs of acceleration in the U.S. economic expansion and from hope that the European Union’s latest agreement on Greek debt would help contain a threat that has menaced global markets for much of the past two years. European stocks rallied on the news about Greece, but international stocks still trailed their U.S. counterparts for the full six months.
The bond market’s strength confounded expectations
Bonds produced solid returns, to the surprise of many longtime observers of the fixed income market. At the start of the period, the yield of the 10 year U.S. Treasury note stood at just 2.22%, suggesting that returns would be very modest by historical standards. Over the next six months, however, yields moved lower still, boosting bond prices, which move in the opposite direction. At the end of February, the yield of the 10year Tnote stood at 1.98%. As yields drop, obviously, the scope for continued declines—and price increases—diminishes. Municipal bonds performed even more strongly than the broad taxable market.
The returns for 3month Treasury bills and other money market instruments remained near 0%, consistent with the Federal Reserve’s policy on interest rates.
| Market Barometer | |||
| Total Returns | |||
| Periods Ended February 29, 2012 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.31% | 4.86% | 1.77% |
| Russell 2000 Index (Small-caps) | 12.40 | -0.15 | 1.83 |
| Dow Jones U.S. Total Stock Market Index | 13.18 | 4.35 | 2.07 |
| MSCI All Country World Index ex USA (International) | 3.97 | -6.10 | -0.75 |
| Bonds | |||
| Barclays Capital U.S. Aggregate Bond Index (Broad | |||
| taxable market) | 2.73% | 8.37% | 6.36% |
| Barclays Capital Municipal Bond Index (Broad | |||
| tax-exempt market) | 5.67 | 12.42 | 5.50 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.06 | 1.20 |
| CPI | |||
| Consumer Price Index | 0.49% | 2.87% | 2.27% |
3
Technology stocks led the parade as every sector posted gains
Representing nearly 1,000 of the nation’s largest publicly traded companies, the Russell 1000 Index encompasses the bulk of U.S. stock market capitalization. The Russell 1000 Growth and Value Indexes divide those stocks into traditional growth and value segments (with some overlap in their holdings). Each of our Russell 1000 funds seeks to track the performance of its respective benchmark, an objective met during the past six months by the funds’ advisor, Vanguard Equity Investment Group.
As I mentioned earlier, the Russell 1000 Growth Index had the best results among the three, as growth stocks did a bit better than value stocks. The rising tide of the recent market rally lifted all industries, and every sector notched a gain in all three funds. Information technology, the largest sector within the Russell 1000 Index Fund, was also the largest contributor to that fund’s performance. Tech stocks climbed during the halfyear as hardware makers racked up strong sales of tablet computers and smartphones. Companies providing tech consulting, data processing, and outsourcing services also did well.
The Russell 1000 Growth Index Fund benefited even more from the tech surge because IT, long a growthstock stalwart, represented more than a quarter of the fund’s assets during the period. Tech stocks also performed well in the Russell
| Expense Ratios | |||
| Your Fund Compared With Its Peer Group | |||
| Institutional | ETF | Peer Group | |
| Shares | Shares | Average | |
| Russell 1000 Index Fund | 0.08% | 0.12% | 1.19% |
| Russell 1000 Value Index Fund | 0.09 | 0.16 | 1.23 |
| Russell 1000 Growth Index Fund | 0.08 | 0.15 | 1.37 |
The fund expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the funds’ annualized expense ratios were: for the Russell 1000 Index Fund, 0.08% for Institutional Shares and 0.12% for ETF Shares; for the Russell 1000 Value Index Fund, 0.08% for Institutional Shares and 0.15% for ETF Shares; and for the Russell 1000 Growth Index Fund, 0.08% for Institutional Shares and 0.15% for ETF Shares. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2011.
Peer groups: For the Russell 1000 Index Fund, Large-Cap Core Funds; for the Russell 1000 Value Index Fund, Large-Cap Value Index Funds; and for the Russell 1000 Growth Index Fund, Large-Cap Growth Funds.
4
1000 Value Index Fund, but their contribution was less significant there because of the sector’s smaller presence among value stocks.
Consumer discretionary stocks and industrials also outperformed
The consumer discretionary sector was another strong contributor for all three funds, as cable and satellite giants, specialty retailers, and fastfood chains delivered doubledigit returns. And, as the U.S. economic recovery seemed to regain traction, industrial stocks also powered forward. Companies within that sector, including manufacturers of heavy farm and construction machinery, industrial conglomerates, and aerospace and defense firms, posted impressive returns amid increased demand for heavy machinery and equipment.
For the Russell 1000 Value Index Fund, financial stocks—the fund’s largest sector, at about a quarter of assets during the period—were the biggest contributors. Commercial banks that weathered the 2007–2008 financial crisis and subsequent regulatory challenges were standouts. Insurance companies and asset managers also performed well.
To withstand short-term volatility, stay focused on your long-term goals
The tone of the stock market shifted dramatically during the fiscal halfyear.
The swing in sentiment is perhaps a good
| A note on expense ratios |
| The Expense Ratios table in the Chairman’s Letter displays fund expense ratios |
| from the most recent prospectus. These figures include the funds’ actual operating |
| expenses. The figures may also include “acquired fund fees and expenses,” which |
| result from the funds’ holdings in business development companies (BDCs). |
| Although the Securities and Exchange Commission requires that BDC costs be |
| included in a fund’s expense ratio, these fees are not incurred by the fund. They |
| have no impact on a fund’s total return or on its tracking error relative to an index. |
| A footnote to the Expense Ratios table reports an annualized calculation of the fund’s |
| actual expenses for the period, a more relevant tally of the operating costs incurred |
| by shareholders. |
5
reminder of how quickly market conditions can change and how futile it is to try to predict shortterm trends.
At Vanguard, we encourage you to stay focused on your longterm plan rather than on the market’s recent ups and downs. Maintaining a portfolio that includes a broadly diversified and steady combination of stocks, bonds, and cash investments consistent with your longterm goals and risk tolerance can help you to “stay the course” amid the kind of shortterm turbulence we’ve seen in recent months.
It’s also important to stay diversified within an asset class, so that you maintain exposure to whichever investing styles are doing well at the moment. Any of Vanguard’s Russell 1000 Index Funds, with their lowcost, taxefficient exposure to the large and midcap segments of the stock market, can be a useful component of a balanced investment portfolio.
Thank you for your confidence in Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 19, 2012
6
| Your Fund’s Performance at a Glance | ||||
| August 31, 2011, Through February 29, 2012 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Russell 1000 Index Fund | ||||
| Institutional Shares | $108.35 | $121.38 | $1.153 | $0.000 |
| ETF Shares | 55.94 | 62.67 | 0.586 | 0.000 |
| Vanguard Russell 1000 Value Index Fund | ||||
| Institutional Shares | $104.59 | $116.63 | $1.177 | $0.000 |
| ETF Shares | 53.57 | 59.74 | 0.586 | 0.000 |
| Vanguard Russell 1000 Growth Index Fund | ||||
| Institutional Shares | $112.09 | $126.49 | $0.823 | $0.000 |
| ETF Shares | 58.31 | 65.80 | 0.408 | 0.000 |
7
Russell 1000 Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | ||
| Institutional | ETF | |
| Shares | Shares | |
| Ticker Symbol | VRNIX | VONE |
| Expense Ratio1 | 0.08% | 0.12% |
| 30-Day SEC Yield | 1.91% | 1.87% |
| Portfolio Characteristics | |||
| DJ | |||
| Russell | U.S. Total | ||
| 1000 | Market | ||
| Fund | Index | Index | |
| Number of Stocks | 980 | 980 | 3,733 |
| Median Market Cap $40.6B | $40.6B | $33.9B | |
| Price/Earnings Ratio | 16.1x | 16.1x | 16.5x |
| Price/Book Ratio | 2.3x | 2.3x | 2.2x |
| Return on Equity | 19.0% | 18.8% | 18.2% |
| Earnings Growth Rate | 7.8% | 7.8% | 7.6% |
| Dividend Yield | 2.0% | 2.0% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 49% | — | — |
| Short-Term Reserves | -0.2% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| Russell | U.S. Total | ||
| 1000 | Market | ||
| Fund | Index | Index | |
| Consumer | |||
| Discretionary | 11.8% | 11.8% | 11.9% |
| Consumer Staples | 9.9 | 9.8 | 9.4 |
| Energy | 11.6 | 11.5 | 11.2 |
| Financials | 14.8 | 14.8 | 15.4 |
| Health Care | 11.3 | 11.3 | 11.4 |
| Industrials | 11.1 | 11.1 | 11.2 |
| Information | |||
| Technology | 19.3 | 19.5 | 19.4 |
| Materials | 4.1 | 4.1 | 4.1 |
| Telecommunication | |||
| Services | 2.6 | 2.6 | 2.5 |
| Utilities | 3.5 | 3.5 | 3.5 |
| Ten Largest Holdings (% of total net assets) | ||
| Apple Inc. | Computer | |
| Hardware | 3.6% | |
| Exxon Mobil Corp. | Integrated Oil & | |
| Gas | 3.0 | |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.7 |
| Microsoft Corp. | Systems Software | 1.7 |
| Chevron Corp. | Integrated Oil & | |
| Gas | 1.6 | |
| General Electric Co. | Industrial | |
| Conglomerates | 1.4 | |
| Procter & Gamble Co. | Household | |
| Products | 1.3 | |
| AT&T Inc. | Integrated | |
| Telecommunication | ||
| Services | 1.3 | |
| Johnson & Johnson | Pharmaceuticals | 1.3 |
| Pfizer Inc. | Pharmaceuticals | 1.2 |
| Top Ten | 18.1% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.08% for Institutional Shares and 0.12% for ETF Shares.
8
Russell 1000 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2012
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Since | |
| Date | Year | Inception | |
| Institutional Shares | 10/15/2010 | 1.43% | 7.65% |
| ETF Shares | 9/20/2010 | ||
| Market Price | 1.35 | 9.84 | |
| Net Asset Value | 1.38 | 9.85 |
See Financial Highlights for dividend and capital gains information.
9
Russell 1000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2012
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| McDonald’s Corp. | 21,009 | 2,086 | 0.7% |
| Comcast Corp. Class A | 55,889 | 1,642 | 0.6% |
| Home Depot Inc. | 32,372 | 1,540 | 0.5% |
| Walt Disney Co. | 36,206 | 1,520 | 0.5% |
| * Amazon.com Inc. | 7,363 | 1,323 | 0.5% |
| Consumer Discretionary—Other † | 25,357 | 8.9% | |
| 33,468 | 11.7% | ||
| Consumer Staples | |||
| Procter & Gamble Co. | 56,543 | 3,818 | 1.3% |
| Philip Morris International Inc. | 36,025 | 3,009 | 1.1% |
| Coca-Cola Co. | 40,020 | 2,796 | 1.0% |
| Wal-Mart Stores Inc. | 35,925 | 2,123 | 0.7% |
| PepsiCo Inc. | 32,008 | 2,015 | 0.7% |
| Altria Group Inc. | 42,405 | 1,276 | 0.5% |
| Kraft Foods Inc. | 33,473 | 1,274 | 0.4% |
| CVS Caremark Corp. | 27,420 | 1,237 | 0.4% |
| Consumer Staples—Other † | 10,481 | 3.7% | |
| 28,029 | 9.8% | ||
| Energy | |||
| Exxon Mobil Corp. | 99,786 | 8,632 | 3.0% |
| Chevron Corp. | 40,721 | 4,443 | 1.6% |
| Schlumberger Ltd. | 27,472 | 2,132 | 0.7% |
| ConocoPhillips | 26,894 | 2,059 | 0.7% |
| Occidental Petroleum Corp. | 16,467 | 1,719 | 0.6% |
| Energy—Other † | 13,879 | 4.9% | |
| 32,864 | 11.5% | ||
| Financials | |||
| JPMorgan Chase & Co. | 80,494 | 3,159 | 1.1% |
| Wells Fargo & Co. | 99,640 | 3,118 | 1.1% |
10
Russell 1000 Index Fund
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| * Berkshire Hathaway Inc. Class B | 35,460 | 2,782 | 1.0% |
| Citigroup Inc. | 58,860 | 1,961 | 0.7% |
| Bank of America Corp. | 205,278 | 1,636 | 0.6% |
| Goldman Sachs Group Inc. | 10,469 | 1,205 | 0.4% |
| US Bancorp | 38,969 | 1,146 | 0.4% |
| American Express Co. | 21,254 | 1,124 | 0.4% |
| Financials—Other † | 26,011 | 9.1% | |
| 42,142 | 14.8% | ||
| Health Care | |||
| Johnson & Johnson | 55,527 | 3,614 | 1.3% |
| Pfizer Inc. | 160,050 | 3,377 | 1.2% |
| Merck & Co. Inc. | 62,524 | 2,387 | 0.8% |
| Abbott Laboratories | 31,485 | 1,782 | 0.6% |
| UnitedHealth Group Inc. | 21,910 | 1,222 | 0.4% |
| Bristol-Myers Squibb Co. | 34,510 | 1,110 | 0.4% |
| Health Care—Other † | 18,515 | 6.5% | |
| 32,007 | 11.2% | ||
| Industrials | |||
| General Electric Co. | 214,831 | 4,093 | 1.4% |
| United Technologies Corp. | 18,541 | 1,555 | 0.6% |
| Caterpillar Inc. | 13,060 | 1,492 | 0.5% |
| 3M Co. | 14,394 | 1,261 | 0.4% |
| United Parcel Service Inc. Class B | 14,862 | 1,143 | 0.4% |
| Boeing Co. | 14,933 | 1,119 | 0.4% |
| Industrials—Other † | 20,811 | 7.3% | |
| 31,474 | 11.0% | ||
| Information Technology | |||
| * Apple Inc. | 18,733 | 10,162 | 3.5% |
| International Business Machines Corp. | 24,535 | 4,827 | 1.7% |
| Microsoft Corp. | 150,321 | 4,771 | 1.7% |
| * Google Inc. Class A | 5,099 | 3,152 | 1.1% |
| Intel Corp. | 107,401 | 2,887 | 1.0% |
| Oracle Corp. | 77,749 | 2,276 | 0.8% |
| Cisco Systems Inc. | 111,328 | 2,213 | 0.8% |
| QUALCOMM Inc. | 33,806 | 2,102 | 0.7% |
| Visa Inc. Class A | 10,574 | 1,230 | 0.4% |
| * EMC Corp. | 41,622 | 1,153 | 0.4% |
| Information Technology—Other † | 20,780 | 7.3% | |
| 55,553 | 19.4% | ||
| Materials † | 11,548 | 4.0% | |
| Telecommunication Services | |||
| AT&T Inc. | 119,960 | 3,670 | 1.3% |
| Verizon Communications Inc. | 57,272 | 2,183 | 0.7% |
| Telecommunication Services—Other † | 1,629 | 0.6% | |
| 7,482 | 2.6% | ||
| Utilities † | 9,930 | 3.5% | |
| Total Common Stocks (Cost $263,554) | 284,497 | 99.5%1 | |
11
Russell 1000 Index Fund
| Market | Percentage | |||
| Value | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 2,3 Vanguard Market Liquidity Fund | 0.111% | 981,652 | 982 | 0.4% |
| 4U.S. Government and Agency Obligations † | 100 | 0.0% | ||
| Total Temporary Cash Investments (Cost $1,081) | 1,082 | 0.4%1 | ||
| 5Total Investments (Cost $264,635) | 285,579 | 99.9% | ||
| Other Assets and Liabilities | ||||
| Other Assets | 1,054 | 0.4% | ||
| Liabilities3 | (706) | (0.3%) | ||
| 348 | 0.1% | |||
| Net Assets | 285,927 | 100.0% | ||
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 266,595 |
| Undistributed Net Investment Income | 862 |
| Accumulated Net Realized Losses | (2,590) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 20,944 |
| Futures Contracts | 116 |
| Net Assets | 285,927 |
| Institutional Shares—Net Assets | |
| Applicable to 1,994,176 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 242,060 |
| Net Asset Value Per Share—Institutional Shares | $121.38 |
| ETF Shares—Net Assets | |
| Applicable to 700,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 43,867 |
| Net Asset Value Per Share—ETF Shares | $62.67 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent
1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $170,000 of collateral received for securities on loan.
4 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $166,000.
See accompanying Notes, which are an integral part of the Financial Statements.
12
Russell 1000 Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 2,471 |
| Interest1 | 2 |
| Security Lending | 2 |
| Total Income | 2,475 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 2 |
| Management and Administrative—ETF Shares | — |
| Marketing and Distribution—Institutional Shares | 20 |
| Marketing and Distribution—ETF Shares | 7 |
| Custodian Fees | 70 |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 1 |
| Total Expenses | 100 |
| Net Investment Income | 2,375 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | (400) |
| Futures Contracts | 22 |
| Realized Net Gain (Loss) | (378) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 28,825 |
| Futures Contracts | 122 |
| Change in Unrealized Appreciation (Depreciation) | 28,947 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 30,944 |
| 1 Interest income from an affiliated company of the fund was $2,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
13
Russell 1000 Index Fund
| Statement of Changes in Net Assets | ||
| September 20, | ||
| Six Months Ended | 20101 to | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 2,375 | 1,569 |
| Realized Net Gain (Loss) | (378) | (1,430) |
| Change in Unrealized Appreciation (Depreciation) | 28,947 | (7,887) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 30,944 | (7,748) |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (1,979) | (760) |
| ETF Shares | (246) | (97) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (2,225) | (857) |
| Capital Share Transactions | ||
| Institutional Shares | 39,345 | 186,983 |
| ETF Shares | 25,831 | 13,654 |
| Net Increase (Decrease) from Capital Share Transactions | 65,176 | 200,637 |
| Total Increase (Decrease) | 93,895 | 192,032 |
| Net Assets | ||
| Beginning of Period | 192,032 | — |
| End of Period2 | 285,927 | 192,032 |
| 1 Inception. | ||
| 2 Net Assets—End of Period includes undistributed net investment income of $862,000 and $712,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 1000 Index Fund
Financial Highlights
| Institutional Shares | ||
| Six Months | Oct. 15, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $108.35 | $103.49 |
| Investment Operations | ||
| Net Investment Income | 1.117 | 1.348 |
| Net Realized and Unrealized Gain (Loss) on Investments | 13.066 | 4.569 |
| Total from Investment Operations | 14.183 | 5.917 |
| Distributions | ||
| Dividends from Net Investment Income | (1.153) | (1.057) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (1.153) | (1.057) |
| Net Asset Value, End of Period | $121.38 | $108.35 |
| Total Return | 13.26% | 5.67% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $242 | $178 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
| Ratio of Net Investment Income to Average Net Assets | 2.08% | 1.90%2 |
| Portfolio Turnover Rate3 | 49% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 1000 Index Fund
Financial Highlights
| ETF Shares | ||
| Six Months | Sept. 20, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $55.94 | $51.78 |
| Investment Operations | ||
| Net Investment Income | .569 | .736 |
| Net Realized and Unrealized Gain (Loss) on Investments | 6.747 | 3.957 |
| Total from Investment Operations | 7.316 | 4.693 |
| Distributions | ||
| Dividends from Net Investment Income | (.586) | (.533) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (.586) | (.533) |
| Net Asset Value, End of Period | $62.67 | $55.94 |
| Total Return | 13.24% | 9.02% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $44 | $14 |
| Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12%2 |
| Ratio of Net Investment Income to Average Net Assets | 2.04% | 1.86%2 |
| Portfolio Turnover Rate3 | 49% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Russell 1000 Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on October 15, 2010. ETF Shares were first issued on September 20, 2010, and first offered to the public on September 22, 2010. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market
17
Russell 1000 Index Fund
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $41,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.02% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 284,497 | — | — |
| Temporary Cash Investments | 982 | 100 | — |
| Futures Contracts—Liabilities1 | (7) | — | — |
| Total | 285,472 | 100 | — |
| 1 Represents variation margin on the last day of the reporting period. |
18
Russell 1000 Index Fund
D. At February 29, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini S&P 500 Index | March 2012 | 11 | 751 | 47 |
| S&P 500 Index | March 2012 | 2 | 682 | 69 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
The fund realized losses of $2,104,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $264,635,000. Net unrealized appreciation of investment securities for tax purposes was $20,944,000, consisting of unrealized gains of $27,184,000 on securities that had risen in value since their purchase and $6,240,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2012, the fund purchased $121,312,000 of investment securities and sold $56,420,000 of investment securities, other than temporary cash investments.
19
Russell 1000 Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Inception1 to | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 92,964 | 852 | 190,949 | 1,677 |
| Issued in Lieu of Cash Distributions | 1,753 | 17 | 743 | 6 |
| Redeemed | (55,372) | (518) | (4,709) | (40) |
| Net Increase (Decrease)—Institutional Shares | 39,345 | 351 | 186,983 | 1,643 |
| ETF Shares | ||||
| Issued | 25,831 | 450 | 21,900 | 400 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (8,246) | (150) |
| Net Increase (Decrease)—ETF Shares | 25,831 | 450 | 13,654 | 250 |
| 1 Inception was September 20, 2010, for ETF Shares and October 15, 2010, for Institutional Shares. | ||||
H. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
20
Russell 1000 Value Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | ||
| Institutional | ETF | |
| Shares | Shares | |
| Ticker Symbol | VRVIX | VONV |
| Expense Ratio1 | 0.09% | 0.16% |
| 30-Day SEC Yield | 2.43% | 2.36% |
| Portfolio Characteristics | |||
| Russell | DJ | ||
| 1000 | U.S. Total | ||
| Value | Market | ||
| Fund | Index | Index | |
| Number of Stocks | 658 | 657 | 3,733 |
| Median Market Cap $39.7B | $39.7B | $33.9B | |
| Price/Earnings Ratio | 14.9x | 14.9x | 16.5x |
| Price/Book Ratio | 1.6x | 1.6x | 2.2x |
| Return on Equity | 12.8% | 12.8% | 18.2% |
| Earnings Growth Rate | 0.3% | 0.3% | 7.6% |
| Dividend Yield | 2.5% | 2.5% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 12% | — | — |
| Short-Term Reserves | 0.1% | — | — |
| Sector Diversification (% of equity exposure) | |||
| Russell | DJ | ||
| 1000 | U.S. Total | ||
| Value | Market | ||
| Fund | Index | Index | |
| Consumer | |||
| Discretionary | 9.2% | 9.3% | 11.9% |
| Consumer Staples | 7.8 | 7.8 | 9.4 |
| Energy | 12.4 | 12.4 | 11.2 |
| Financials | 25.8 | 25.7 | 15.4 |
| Health Care | 12.2 | 12.2 | 11.4 |
| Industrials | 9.3 | 9.3 | 11.2 |
| Information | |||
| Technology | 9.1 | 9.1 | 19.4 |
| Materials | 2.7 | 2.7 | 4.1 |
| Telecommunication | |||
| Services | 4.5 | 4.5 | 2.5 |
| Utilities | 7.0 | 7.0 | 3.5 |
| Ten Largest Holdings (% of total net assets) | ||
| Chevron Corp. | Integrated Oil & | |
| Gas | 3.0% | |
| General Electric Co. | Industrial | |
| Conglomerates | 2.9 | |
| AT&T Inc. | Integrated | |
| Telecommunication | ||
| Services | 2.6 | |
| Procter & Gamble Co. | Household | |
| Products | 2.5 | |
| Pfizer Inc. | Pharmaceuticals | 2.4 |
| JPMorgan Chase & Co. | Diversified Financial | |
| Services | 2.2 | |
| Wells Fargo & Co. | Diversified Banks | 2.1 |
| Intel Corp. | Semiconductors | 2.1 |
| Johnson & Johnson | Pharmaceuticals | 2.0 |
| Berkshire Hathaway Inc. | Property & Casualty | |
| Class B | Insurance | 2.0 |
| Top Ten | 23.8% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
21
Russell 1000 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2012
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Since | |
| Date | Year | Inception | |
| Institutional Shares | 12/10/2010 | 0.30% | 2.25% |
| ETF Shares | 9/20/2010 | ||
| Market Price | 0.15 | 7.73 | |
| Net Asset Value | 0.23 | 7.76 |
See Financial Highlights for dividend and capital gains information.
22
Russell 1000 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2012
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| Walt Disney Co. | 86,238 | 3,621 | 1.1% |
| News Corp. Class A | 104,287 | 2,072 | 0.6% |
| Comcast Corp. Class A | 63,808 | 1,875 | 0.6% |
| Time Warner Inc. | 48,257 | 1,796 | 0.6% |
| Target Corp. | 31,490 | 1,785 | 0.5% |
| Lowe’s Cos. Inc. | 62,809 | 1,783 | 0.5% |
| Home Depot Inc. | 30,524 | 1,452 | 0.4% |
| Consumer Discretionary—Other † | 16,447 | 4.9% | |
| 30,831 | 9.2% | ||
| Consumer Staples | |||
| Procter & Gamble Co. | 125,484 | 8,473 | 2.5% |
| Kraft Foods Inc. | 79,633 | 3,032 | 0.9% |
| CVS Caremark Corp. | 65,335 | 2,947 | 0.9% |
| Consumer Staples—Other † | 11,731 | 3.5% | |
| 26,183 | 7.8% | ||
| Energy | |||
| Chevron Corp. | 91,340 | 9,967 | 3.0% |
| Exxon Mobil Corp. | 62,188 | 5,379 | 1.6% |
| ConocoPhillips | 63,976 | 4,897 | 1.5% |
| Occidental Petroleum Corp. | 27,888 | 2,911 | 0.9% |
| Anadarko Petroleum Corp. | 20,354 | 1,712 | 0.5% |
| National Oilwell Varco Inc. | 20,415 | 1,685 | 0.5% |
| Devon Energy Corp. | 20,352 | 1,492 | 0.4% |
| Apache Corp. | 13,136 | 1,418 | 0.4% |
| Energy—Other † | 11,973 | 3.6% | |
| 41,434 | 12.4% | ||
| Financials | |||
| JPMorgan Chase & Co. | 191,467 | 7,513 | 2.2% |
| Wells Fargo & Co. | 220,419 | 6,897 | 2.1% |
23
Russell 1000 Value Index Fund
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| * Berkshire Hathaway Inc. Class B | 84,348 | 6,617 | 2.0% |
| Citigroup Inc. | 140,022 | 4,666 | 1.4% |
| Bank of America Corp. | 488,244 | 3,891 | 1.2% |
| Goldman Sachs Group Inc. | 24,947 | 2,872 | 0.9% |
| US Bancorp | 92,834 | 2,729 | 0.8% |
| MetLife Inc. | 39,546 | 1,524 | 0.5% |
| PNC Financial Services Group Inc. | 25,333 | 1,508 | 0.4% |
| Prudential Financial Inc. | 23,385 | 1,430 | 0.4% |
| Morgan Stanley | 74,317 | 1,378 | 0.4% |
| Bank of New York Mellon Corp. | 59,742 | 1,321 | 0.4% |
| Financials—Other † | 43,393 | 13.0% | |
| 85,739 | 25.7% | ||
| Health Care | |||
| Pfizer Inc. | 380,706 | 8,033 | 2.4% |
| Johnson & Johnson | 105,135 | 6,842 | 2.0% |
| Merck & Co. Inc. | 148,724 | 5,677 | 1.7% |
| UnitedHealth Group Inc. | 52,205 | 2,910 | 0.9% |
| Bristol-Myers Squibb Co. | 82,201 | 2,644 | 0.8% |
| Amgen Inc. | 38,372 | 2,607 | 0.8% |
| Eli Lilly & Co. | 32,903 | 1,291 | 0.4% |
| Health Care—Other † | 10,670 | 3.2% | |
| 40,674 | 12.2% | ||
| Industrials | |||
| General Electric Co. | 511,010 | 9,735 | 2.9% |
| Union Pacific Corp. | 19,799 | 2,183 | 0.7% |
| Industrials—Other † | 19,176 | 5.7% | |
| 31,094 | 9.3% | ||
| Information Technology | |||
| Intel Corp. | 255,470 | 6,867 | 2.1% |
| Cisco Systems Inc. | 265,020 | 5,269 | 1.6% |
| Hewlett-Packard Co. | 95,741 | 2,423 | 0.7% |
| Visa Inc. Class A | 17,064 | 1,986 | 0.6% |
| Information Technology—Other † | 13,776 | 4.1% | |
| 30,321 | 9.1% | ||
| Materials | |||
| Dow Chemical Co. | 56,652 | 1,898 | 0.6% |
| Newmont Mining Corp. | 23,400 | 1,390 | 0.4% |
| Materials—Other † | 5,827 | 1.7% | |
| 9,115 | 2.7% | ||
| Telecommunication Services | |||
| AT&T Inc. | 285,344 | 8,729 | 2.6% |
| Verizon Communications Inc. | 105,509 | 4,021 | 1.2% |
| Telecommunication Services—Other † | 2,261 | 0.7% | |
| 15,011 | 4.5% | ||
| Utilities | |||
| Southern Co. | 40,938 | 1,809 | 0.6% |
| Dominion Resources Inc. | 27,703 | 1,398 | 0.4% |
| Duke Energy Corp. | 64,054 | 1,340 | 0.4% |
| Utilities—Other † | 18,816 | 5.6% | |
| 23,363 | 7.0% | ||
| Total Common Stocks (Cost $309,227) | 333,765 | 99.9%1 |
24
Russell 1000 Value Index Fund
| Market | Percentage | |||
| Value | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 2,3 Vanguard Market Liquidity Fund | 0.111% | 185,801 | 186 | 0.1% |
| 4U.S. Government and Agency Obligations † | 200 | 0.1% | ||
| Total Temporary Cash Investments (Cost $386) | 386 | 0.1%1 | ||
| 5Total Investments (Cost $309,613) | 334,151 | 100.0% | ||
| Other Assets and Liabilities | ||||
| Other Assets | 1,397 | 0.4% | ||
| Liabilities3 | (1,299) | (0.4%) | ||
| 98 | 0.0% | |||
| Net Assets | 334,249 | 100.0% | ||
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 309,559 |
| Undistributed Net Investment Income | 1,212 |
| Accumulated Net Realized Losses | (1,110) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 24,538 |
| Futures Contracts | 50 |
| Net Assets | 334,249 |
| Institutional Shares—Net Assets | |
| Applicable to 2,481,718 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 289,441 |
| Net Asset Value Per Share—Institutional Shares | $116.63 |
| ETF Shares—Net Assets | |
| Applicable to 750,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 44,808 |
| Net Asset Value Per Share—ETF Shares | $59.74 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $186,000 of collateral received for securities on loan.
4 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $182,000.
See accompanying Notes, which are an integral part of the Financial Statements.
25
Russell 1000 Value Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 3,505 |
| Interest1 | 1 |
| Security Lending | 4 |
| Total Income | 3,510 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 15 |
| Management and Administrative—Institutional Shares | 38 |
| Management and Administrative—ETF Shares | 16 |
| Marketing and Distribution—Institutional Shares | 27 |
| Marketing and Distribution—ETF Shares | 4 |
| Custodian Fees | 17 |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 1 |
| Total Expenses | 118 |
| Net Investment Income | 3,392 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 976 |
| Futures Contracts | 174 |
| Realized Net Gain (Loss) | 1,150 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 33,990 |
| Futures Contracts | (7) |
| Change in Unrealized Appreciation (Depreciation) | 33,983 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 38,525 |
| 1 Interest income from an affiliated company of the fund was $1,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
26
Russell 1000 Value Index Fund
| Statement of Changes in Net Assets | ||
| September 20, | ||
| Six Months Ended | 20101 to | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 3,392 | 2,385 |
| Realized Net Gain (Loss) | 1,150 | (1,634) |
| Change in Unrealized Appreciation (Depreciation) | 33,983 | (9,395) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 38,525 | (8,644) |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (2,652) | (1,362) |
| ETF Shares | (345) | (206) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (2,997) | (1,568) |
| Capital Share Transactions | ||
| Institutional Shares | 93,814 | 174,124 |
| ETF Shares | 14,134 | 26,861 |
| Net Increase (Decrease) from Capital Share Transactions | 107,948 | 200,985 |
| Total Increase (Decrease) | 143,476 | 190,773 |
| Net Assets | ||
| Beginning of Period | 190,773 | — |
| End of Period2 | 334,249 | 190,773 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $1,212,000 and $817,000.
See accompanying Notes, which are an integral part of the Financial Statements.
27
Russell 1000 Value Index Fund
Financial Highlights
| Institutional Shares | ||
| Six Months | Dec. 10, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $104.59 | $108.03 |
| Investment Operations | ||
| Net Investment Income | 1.3822 | 1.239 |
| Net Realized and Unrealized Gain (Loss) on Investments | 11.835 | (3.373) |
| Total from Investment Operations | 13.217 | (2.134) |
| Distributions | ||
| Dividends from Net Investment Income | (1.177) | (1.306) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (1.177) | (1.306) |
| Net Asset Value, End of Period | $116.63 | $104.59 |
| Total Return | 12.81% | -2.06% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $289 | $164 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%3 |
| Ratio of Net Investment Income to Average Net Assets | 2.57% | 2.30%3 |
| Portfolio Turnover Rate4 | 12% | 39% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
28
Russell 1000 Value Index Fund
Financial Highlights
| ETF Shares | ||
| Six Months | Sept. 20, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $53.57 | $51.46 |
| Investment Operations | ||
| Net Investment Income | .6722 | .876 |
| Net Realized and Unrealized Gain (Loss) on Investments | 6.084 | 1.886 |
| Total from Investment Operations | 6.756 | 2.762 |
| Distributions | ||
| Dividends from Net Investment Income | (.586) | (.652) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (.586) | (.652) |
| Net Asset Value, End of Period | $59.74 | $53.57 |
| Total Return | 12.77% | 5.28% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $45 | $27 |
| Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%3 |
| Ratio of Net Investment Income to Average Net Assets | 2.50% | 2.23%3 |
| Portfolio Turnover Rate4 | 12% | 39% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
29
Russell 1000 Value Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 10, 2010. ETF Shares were first issued on September 20, 2010, and first offered to the public on September 22, 2010. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
30
Russell 1000 Value Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $49,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.02% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
31
Russell 1000 Value Index Fund
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 333,765 | — | — |
| Temporary Cash Investments | 186 | 200 | — |
| Futures Contracts—Assets1 | 2 | — | — |
| Futures Contracts—Liabilities1 | (9) | — | — |
| Total | 333,944 | 200 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. At February 29, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| S&P 500 Index | March 2012 | 1 | 341 | 36 |
| E-mini S&P 500 Index | March 2012 | 3 | 205 | 14 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $1,286,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $309,613,000. Net unrealized appreciation of investment securities for tax purposes was $24,538,000, consisting of unrealized gains of $30,443,000 on securities that had risen in value since their purchase and $5,905,000 in unrealized losses on securities that had fallen in value since their purchase.
32
Russell 1000 Value Index Fund
F. During the six months ended February 29, 2012, the fund purchased $124,907,000 of investment securities and sold $15,763,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Inception1 to | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 110,378 | 1,069 | 186,341 | 1,679 |
| Issued in Lieu of Cash Distributions | 2,503 | 25 | 1,302 | 12 |
| Redeemed | (19,067) | (180) | (13,519) | (123) |
| Net Increase (Decrease)—Institutional Shares | 93,814 | 914 | 174,124 | 1,568 |
| ETF Shares | ||||
| Issued | 14,134 | 250 | 34,817 | 650 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (7,956) | (150) |
| Net Increase (Decrease)—ETF Shares | 14,134 | 250 | 26,861 | 500 |
| 1 Inception was September 20, 2010, for ETF Shares and December 10, 2010, for Institutional Shares. | ||||
H. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
33
Russell 1000 Growth Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | ||
| Institutional | ETF | |
| Shares | Shares | |
| Ticker Symbol | VRGWX | VONG |
| Expense Ratio1 | 0.08% | 0.15% |
| 30-Day SEC Yield | 1.41% | 1.34% |
| Portfolio Characteristics | |||
| Russell | DJ | ||
| 1000 | U.S. Total | ||
| Growth | Market | ||
| Fund | Index | Index | |
| Number of Stocks | 585 | 585 | 3,733 |
| Median Market Cap $40.8B | $40.8B | $33.9B | |
| Price/Earnings Ratio | 17.4x | 17.4x | 16.5x |
| Price/Book Ratio | 4.1x | 4.1x | 2.2x |
| Return on Equity | 25.6% | 25.2% | 18.2% |
| Earnings Growth Rate 14.5% | 14.5% | 7.6% | |
| Dividend Yield | 1.5% | 1.5% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 6% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| Sector Diversification (% of equity exposure) | |||
| Russell | DJ | ||
| 1000 | U.S. Total | ||
| Growth | Market | ||
| Fund | Index | Index | |
| Consumer | |||
| Discretionary | 14.2% | 14.3% | 11.9% |
| Consumer Staples | 11.8 | 11.8 | 9.4 |
| Energy | 10.7 | 10.7 | 11.2 |
| Financials | 4.2 | 4.2 | 15.4 |
| Health Care | 10.3 | 10.3 | 11.4 |
| Industrials | 12.8 | 12.8 | 11.2 |
| Information | |||
| Technology | 29.7 | 29.7 | 19.4 |
| Materials | 5.4 | 5.3 | 4.1 |
| Telecommunication | |||
| Services | 0.8 | 0.8 | 2.5 |
| Utilities | 0.1 | 0.1 | 3.5 |
| Ten Largest Holdings (% of total net assets) | ||
| Apple Inc. | Computer | |
| Hardware | 7.0% | |
| Exxon Mobil Corp. | Integrated Oil & | |
| Gas | 4.4 | |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 3.3 |
| Microsoft Corp. | Systems Software | 3.3 |
| Google Inc. Class A | Internet Software & | |
| Services | 2.2 | |
| Coca-Cola Co. | Soft Drinks | 1.9 |
| Philip Morris | ||
| International Inc. | Tobacco | 1.9 |
| Oracle Corp. | Systems Software | 1.6 |
| Schlumberger Ltd. | Oil & Gas | |
| Equipment & | ||
| Services | 1.5 | |
| QUALCOMM Inc. | Communications | |
| Equipment | 1.5 | |
| Top Ten | 28.6% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
34
Russell 1000 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2012
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Since | |
| Date | Year | Inception | |
| Institutional Shares | 12/6/2010 | 2.47% | 4.10% |
| ETF Shares | 9/20/2010 | ||
| Market Price | 2.31 | 11.79 | |
| Net Asset Value | 2.40 | 11.83 |
See Financial Highlights for dividend and capital gains information.
35
Russell 1000 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2012
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| McDonald’s Corp. | 71,244 | 7,073 | 1.5% |
| * Amazon.com Inc. | 24,956 | 4,484 | 0.9% |
| Home Depot Inc. | 66,167 | 3,148 | 0.7% |
| NIKE Inc. Class B | 24,515 | 2,646 | 0.5% |
| Starbucks Corp. | 51,471 | 2,499 | 0.5% |
| Comcast Corp. Class A | 82,565 | 2,426 | 0.5% |
| * DIRECTV Class A | 48,448 | 2,244 | 0.5% |
| * priceline.com Inc. | 3,410 | 2,138 | 0.4% |
| Yum! Brands Inc. | 31,969 | 2,118 | 0.4% |
| Consumer Discretionary—Other † | 40,693 | 8.3% | |
| 69,469 | 14.2% | ||
| Consumer Staples | |||
| Coca-Cola Co. | 135,654 | 9,477 | 1.9% |
| Philip Morris International Inc. | 110,512 | 9,230 | 1.9% |
| PepsiCo Inc. | 108,534 | 6,831 | 1.4% |
| Wal-Mart Stores Inc. | 92,601 | 5,471 | 1.1% |
| Altria Group Inc. | 107,230 | 3,228 | 0.7% |
| Colgate-Palmolive Co. | 30,280 | 2,822 | 0.6% |
| Costco Wholesale Corp. | 29,997 | 2,582 | 0.5% |
| Consumer Staples—Other † | 18,059 | 3.7% | |
| 57,700 | 11.8% | ||
| Energy | |||
| Exxon Mobil Corp. | 249,624 | 21,592 | 4.4% |
| Schlumberger Ltd. | 93,173 | 7,231 | 1.5% |
| Halliburton Co. | 62,829 | 2,299 | 0.5% |
| EOG Resources Inc. | 18,432 | 2,099 | 0.4% |
| Energy—Other † | 19,068 | 3.9% | |
| 52,289 | 10.7% |
36
Russell 1000 Growth Index Fund
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| Financials | |||
| American Express Co. | 43,647 | 2,309 | 0.5% |
| Simon Property Group Inc. | 16,458 | 2,230 | 0.4% |
| Financials—Other † | 16,019 | 3.3% | |
| 20,558 | 4.2% | ||
| Health Care | |||
| Abbott Laboratories | 100,213 | 5,673 | 1.2% |
| Johnson & Johnson | 38,397 | 2,499 | 0.5% |
| * Gilead Sciences Inc. | 54,043 | 2,459 | 0.5% |
| Medtronic Inc. | 63,415 | 2,417 | 0.5% |
| * Celgene Corp. | 30,136 | 2,210 | 0.4% |
| Baxter International Inc. | 35,253 | 2,049 | 0.4% |
| Health Care—Other † | 33,177 | 6.8% | |
| 50,484 | 10.3% | ||
| Industrials | |||
| Caterpillar Inc. | 44,267 | 5,056 | 1.0% |
| United Technologies Corp. | 59,452 | 4,986 | 1.0% |
| United Parcel Service Inc. Class B | 50,450 | 3,879 | 0.8% |
| 3M Co. | 43,083 | 3,774 | 0.8% |
| Boeing Co. | 44,965 | 3,370 | 0.7% |
| Honeywell International Inc. | 54,039 | 3,219 | 0.7% |
| Emerson Electric Co. | 51,613 | 2,597 | 0.5% |
| Deere & Co. | 28,819 | 2,390 | 0.5% |
| Danaher Corp. | 37,719 | 1,993 | 0.4% |
| Industrials—Other † | 31,202 | 6.4% | |
| 62,466 | 12.8% | ||
| Information Technology | |||
| * Apple Inc. | 63,498 | 34,444 | 7.0% |
| International Business Machines Corp. | 83,166 | 16,361 | 3.4% |
| Microsoft Corp. | 509,542 | 16,173 | 3.3% |
| * Google Inc. Class A | 17,282 | 10,685 | 2.2% |
| Oracle Corp. | 263,733 | 7,719 | 1.6% |
| QUALCOMM Inc. | 114,637 | 7,128 | 1.5% |
| * EMC Corp. | 141,281 | 3,912 | 0.8% |
| Mastercard Inc. Class A | 7,366 | 3,094 | 0.6% |
| Accenture plc Class A | 44,333 | 2,640 | 0.5% |
| Information Technology—Other † | 42,867 | 8.8% | |
| 145,023 | 29.7% | ||
| Materials | |||
| EI du Pont de Nemours & Co. | 63,769 | 3,243 | 0.6% |
| Monsanto Co. | 36,803 | 2,848 | 0.6% |
| Freeport-McMoRan Copper & Gold Inc. | 65,047 | 2,768 | 0.6% |
| Praxair Inc. | 20,832 | 2,271 | 0.4% |
| Materials—Other † | 15,043 | 3.1% | |
| 26,173 | 5.3% | ||
| Telecommunication Services † | 3,977 | 0.8% | |
| Utilities † | 372 | 0.1% | |
| Total Common Stocks (Cost $446,437) | 488,511 | 99.9%1 | |
37
Russell 1000 Growth Index Fund
| Market | Percentage | |||
| Value | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 2,3 Vanguard Market Liquidity Fund | 0.111% | 851,317 | 851 | 0.2% |
| 4U.S. Government and Agency Obligations † | 200 | 0.0% | ||
| Total Temporary Cash Investments (Cost $1,052) | 1,051 | 0.2%1 | ||
| 5Total Investments (Cost $447,489) | 489,562 | 100.1% | ||
| Other Assets and Liabilities | ||||
| Other Assets | 1,481 | 0.3% | ||
| Liabilities3 | (2,010) | (0.4%) | ||
| (529) | (0.1%) | |||
| Net Assets | 489,033 | 100.0% | ||
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 448,917 |
| Undistributed Net Investment Income | 1,055 |
| Accumulated Net Realized Losses | (3,047) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 42,073 |
| Futures Contracts | 35 |
| Net Assets | 489,033 |
| Institutional Shares—Net Assets | |
| Applicable to 3,280,040 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 414,890 |
| Net Asset Value Per Share—Institutional Shares | $126.49 |
| ETF Shares—Net Assets | |
| Applicable to 1,126,711 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 74,143 |
| Net Asset Value Per Share—ETF Shares | $65.80 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $340,000 of collateral received for securities on loan.
4 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $331,000.
See accompanying Notes, which are an integral part of the Financial Statements.
38
Russell 1000 Growth Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 2,805 |
| Interest1 | 3 |
| Security Lending | 2 |
| Total Income | 2,810 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 15 |
| Management and Administrative—Institutional Shares | 62 |
| Management and Administrative—ETF Shares | 27 |
| Marketing and Distribution—Institutional Shares | 26 |
| Marketing and Distribution—ETF Shares | 8 |
| Custodian Fees | 14 |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 1 |
| Total Expenses | 153 |
| Net Investment Income | 2,657 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 1,004 |
| Futures Contracts | 385 |
| Realized Net Gain (Loss) | 1,389 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 53,329 |
| Futures Contracts | 33 |
| Change in Unrealized Appreciation (Depreciation) | 53,362 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 57,408 |
| 1 Interest income from an affiliated company of the fund was $3,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
39
Russell 1000 Growth Index Fund
| Statement of Changes in Net Assets | ||
| September 20, | ||
| Six Months Ended | 20101 to | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 2,657 | 1,316 |
| Realized Net Gain (Loss) | 1,389 | 1,167 |
| Change in Unrealized Appreciation (Depreciation) | 53,362 | (11,254) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 57,408 | (8,771) |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (1,774) | (474) |
| ETF Shares | (367) | (303) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (2,141) | (777) |
| Capital Share Transactions | ||
| Institutional Shares | 212,557 | 161,203 |
| ETF Shares | 14,853 | 54,701 |
| Net Increase (Decrease) from Capital Share Transactions | 227,410 | 215,904 |
| Total Increase (Decrease) | 282,677 | 206,356 |
| Net Assets | ||
| Beginning of Period | 206,356 | — |
| End of Period2 | 489,033 | 206,356 |
| 1 Inception. | ||
| 2 Net Assets—End of Period includes undistributed net investment income of $1,055,000 and $539,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
40
Russell 1000 Growth Index Fund
Financial Highlights
| Institutional Shares | ||
| Six Months | Dec. 6, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $112.09 | $110.81 |
| Investment Operations | ||
| Net Investment Income | .9302 | .879 |
| Net Realized and Unrealized Gain (Loss) on Investments | 14.293 | 1.278 |
| Total from Investment Operations | 15.223 | 2.157 |
| Distributions | ||
| Dividends from Net Investment Income | (.823) | (.877) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (.823) | (.877) |
| Net Asset Value, End of Period | $126.49 | $112.09 |
| Total Return | 13.70% | 1.92% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $415 | $154 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%3 |
| Ratio of Net Investment Income to Average Net Assets | 1.60% | 1.54%3 |
| Portfolio Turnover Rate4 | 6% | 30% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
41
Russell 1000 Growth Index Fund
Financial Highlights
| ETF Shares | ||
| Six Months | Sept. 20, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $58.31 | $52.12 |
| Investment Operations | ||
| Net Investment Income | .4332 | .579 |
| Net Realized and Unrealized Gain (Loss) on Investments | 7.465 | 6.044 |
| Total from Investment Operations | 7.898 | 6.623 |
| Distributions | ||
| Dividends from Net Investment Income | (.408) | (.433) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (.408) | (.433) |
| Net Asset Value, End of Period | $65.80 | $58.31 |
| Total Return | 13.66% | 12.69% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $74 | $52 |
| Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%3 |
| Ratio of Net Investment Income to Average Net Assets | 1.53% | 1.47%3 |
| Portfolio Turnover Rate4 | 6% | 30% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Russell 1000 Growth Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 6, 2010. ETF Shares were first issued on September 20, 2010, and first offered to the public on September 22, 2010. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
43
Russell 1000 Growth Index Fund
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $70,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.03% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 488,511 | — | — |
| Temporary Cash Investments | 851 | 200 | — |
| Futures Contracts—Assets1 | 5 | — | — |
| Futures Contracts—Liabilities1 | (16) | — | — |
| Total | 489,351 | 200 | — |
| 1 Represents variation margin on the last day of the reporting period. | |||
44
Russell 1000 Growth Index Fund
D. At February 29, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| S&P 500 Index | March 2012 | 1 | 341 | 36 |
| E-mini S&P 500 Index | March 2012 | 2 | 136 | (1) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2012, the fund realized $412,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
The fund realized losses of $3,108,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $447,489,000. Net unrealized appreciation of investment securities for tax purposes was $42,073,000, consisting of unrealized gains of $49,253,000 on securities that had risen in value since their purchase and $7,180,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2012, the fund purchased $241,024,000 of investment securities and sold $12,924,000 of investment securities, other than temporary cash investments.
45
Russell 1000 Growth Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Inception1 to | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 238,447 | 2,127 | 167,763 | 1,433 |
| Issued in Lieu of Cash Distributions | 1,703 | 15 | 474 | 4 |
| Redeemed | (27,593) | (235) | (7,034) | (64) |
| Net Increase (Decrease)—Institutional Shares | 212,557 | 1,907 | 161,203 | 1,373 |
| ETF Shares | ||||
| Issued | 17,833 | 277 | 309,433 | 5,050 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (2,980) | (50) | (254,732) | (4,150) |
| Net Increase (Decrease)—ETF Shares | 14,853 | 227 | 54,701 | 900 |
| 1 Inception was September 20, 2010, for ETF Shares and December 6, 2010, for Institutional Shares. | ||||
H. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
46
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
47
| Six Months Ended February 29, 2012 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 8/31/2011 | 2/29/2012 | Period | |
| Based on Actual Fund Return | |||
| Russell 1000 Index Fund | |||
| Institutional Shares | $1,000.00 | $1,132.60 | $0.42 |
| ETF Shares | 1,000.00 | 1,132.40 | 0.64 |
| Russell 1000 Value Index Fund | |||
| Institutional Shares | $1,000.00 | $1,128.12 | $0.42 |
| ETF Shares | 1,000.00 | 1,127.71 | 0.79 |
| Russell 1000 Growth Index Fund | |||
| Institutional Shares | $1,000.00 | $1,136.99 | $0.43 |
| ETF Shares | 1,000.00 | 1,136.57 | 0.80 |
| Based on Hypothetical 5% Yearly Return | |||
| Russell 1000 Index Fund | |||
| Institutional Shares | $1,000.00 | $1,024.47 | $0.40 |
| ETF Shares | 1,000.00 | 1,024.27 | 0.60 |
| Russell 1000 Value Index Fund | |||
| Institutional Shares | $1,000.00 | $1,024.47 | $0.40 |
| ETF Shares | 1,000.00 | 1,024.12 | 0.75 |
| Russell 1000 Growth Index Fund | |||
| Institutional Shares | $1,000.00 | $1,024.47 | $0.40 |
| ETF Shares | 1,000.00 | 1,024.12 | 0.75 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Russell 1000 Index Fund, 0.08% for Institutional Shares and 0.12% for ETF Shares; for the Russell 1000 Value Index Fund, 0.08% for Institutional Shares and 0.15% for ETF Shares; and for the Russell 1000 Growth Index Fund, 0.08% for Institutional Shares and 0.15% for ETF Shares. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
48
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
49
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| Interested Trustee1 | and President (2006–2008) of Rohm Haas Co. |
| (chemicals); Director of Tyco International, Ltd. | |
| F. William McNabb III | (diversified manufacturing and services), Hewlett- |
| Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing), |
| Board. Principal Occupation(s) During the Past Five | and Delphi Automotive LLP (automotive components); |
| Years: Chairman of the Board of The Vanguard Group, | Senior Advisor at New Mountain Capital; Trustee of |
| Inc., and of each of the investment companies served | The Conference Board. |
| by The Vanguard Group, since January 2010; Director | |
| of The Vanguard Group since 2008; Chief Executive | Amy Gutmann |
| Officer and President of The Vanguard Group and of | Born 1949. Trustee Since June 2006. Principal |
| each of the investment companies served by The | Occupation(s) During the Past Five Years: President |
| Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Christopher H. |
| Marketing Corporation; Managing Director of The | Browne Distinguished Professor of Political Science |
| Vanguard Group (1995–2008). | in the School of Arts and Sciences with secondary |
| appointments at the Annenberg School for Commu- | |
| nication and the Graduate School of Education | |
| Independent Trustees | of the University of Pennsylvania; Director of |
| Carnegie Corporation of New York, Schuylkill River | |
| Emerson U. Fullwood | Development Corporation, and Greater Philadelphia |
| Born 1948. Trustee Since January 2008. Principal | Chamber of Commerce; Trustee of the National |
| Occupation(s) During the Past Five Years: Executive | Constitution Center; Chair of the Presidential |
| Chief Staff and Marketing Officer for North America | Commission for the Study of Bioethical Issues. |
| and Corporate Vice President (retired 2008) of Xerox | |
| Corporation (document management products and | JoAnn Heffernan Heisen |
| services); Executive in Residence and 2010 | Born 1950. Trustee Since July 1998. Principal |
| Distinguished Minett Professor at the Rochester | Occupation(s) During the Past Five Years: Corporate |
| Institute of Technology; Director of SPX Corporation | Vice President and Chief Global Diversity Officer |
| (multi-industry manufacturing), the United Way of | (retired 2008) and Member of the Executive |
| Rochester, Amerigroup Corporation (managed health | Committee (1997–2008) of Johnson & Johnson |
| care), the University of Rochester Medical Center, | (pharmaceuticals/medical devices/consumer |
| Monroe Community College Foundation, and North | products); Director of Skytop Lodge Corporation |
| Carolina A&T University. | (hotels), the University Medical Center at Princeton, |
| the Robert Wood Johnson Foundation, and the Center | |
| Rajiv L. Gupta | for Talent Innovation; Member of the Advisory Board |
| Born 1945. Trustee Since December 2001.2 | of the Maxwell School of Citizenship and Public Affairs |
| Principal Occupation(s) During the Past Five Years: | at Syracuse University. |
| Chairman and Chief Executive Officer (retired 2009) |
| F. Joseph Loughrey | Group since 2010; Assistant Controller of each of | |
| Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard | |
| Occupation(s) During the Past Five Years: President | Group (2001–2010). | |
| and Chief Operating Officer (retired 2009) and Vice | ||
| Chairman of the Board (2008–2009) of Cummins Inc. | Thomas J. Higgins | |
| (industrial machinery); Director of SKF AB (industrial | Born 1957. Chief Financial Officer Since September | |
| machinery), Hillenbrand, Inc. (specialized consumer | 2008. Principal Occupation(s) During the Past Five | |
| services), the Lumina Foundation for Education, and | Years: Principal of The Vanguard Group, Inc.; Chief | |
| Oxfam America; Chairman of the Advisory Council | Financial Officer of each of the investment companies | |
| for the College of Arts and Letters and Member | served by The Vanguard Group since 2008; Treasurer | |
| of the Advisory Board to the Kellogg Institute for | of each of the investment companies served by The | |
| International Studies at the University of Notre Dame. | Vanguard Group (1998–2008). | |
| André F. Perold | Kathryn J. Hyatt | |
| Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
| Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
| Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
| Business School (retired 2011); Chief Investment | the investment companies served by The Vanguard | |
| Officer and Managing Partner of HighVista Strategies | Group since 2008; Assistant Treasurer of each of the | |
| LLC (private investment firm); Director of Rand | investment companies served by The Vanguard Group | |
| Merchant Bank; Overseer of the Museum of Fine | (1988–2008). | |
| Arts Boston. | ||
| Heidi Stam | ||
| Alfred M. Rankin, Jr. | Born 1956. Secretary Since July 2005. Principal | |
| Born 1941. Trustee Since January 1993. Principal | Occupation(s) During the Past Five Years: Managing | |
| Occupation(s) During the Past Five Years: Chairman, | Director of The Vanguard Group, Inc., since 2006; | |
| President, and Chief Executive Officer of NACCO | General Counsel of The Vanguard Group since 2005; | |
| Industries, Inc. (forklift trucks/housewares/lignite); | Secretary of The Vanguard Group and of each of the | |
| Director of Goodrich Corporation (industrial products/ | investment companies served by The Vanguard Group | |
| aircraft systems and services) and the National | since 2005; Director and Senior Vice President of | |
| Association of Manufacturers; Chairman of the Board | Vanguard Marketing Corporation since 2005; | |
| of the Federal Reserve Bank of Cleveland and of | Principal of The Vanguard Group (1997–2006). | |
| University Hospitals of Cleveland; Advisory Chairman | ||
| of the Board of The Cleveland Museum of Art. | ||
| Vanguard Senior Management Team | ||
| Peter F. Volanakis | ||
| Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | Michael S. Miller |
| Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | James M. Norris |
| and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | Glenn W. Reed |
| Incorporated (communications equipment); Director of | Martha G. King | George U. Sauter |
| Corning Incorporated (2000-2010) and Dow Corning | Chris D. McIsaac | |
| (2001–2010); Director of SPX Corporation (multi- | ||
| industry manufacturing); Overseer of the Amos Tuck | Chairman Emeritus and Senior Advisor | |
| School of Business Administration at Dartmouth | ||
| College; Advisor to the Norris Cotton Cancer Center. | John J. Brennan | |
| Chairman, 1996–2009 | ||
| Chief Executive Officer and President, 1996–2008 | ||
| Executive Officers | ||
| Glenn Booraem | Founder | |
| Born 1967. Controller Since July 2010. Principal | ||
| Occupation(s) During the Past Five Years: Principal | John C. Bogle | |
| of The Vanguard Group, Inc.; Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
| the investment companies served by The Vanguard | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
 | |
| P.O. Box 2600 | |
| Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
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| This material may be used in conjunction | |
| with the offering of shares of any Vanguard | |
| fund only if preceded or accompanied by | |
| the fund’s current prospectus. | |
| All comparative mutual fund data are from Lipper Inc. or | |
| Morningstar, Inc., unless otherwise noted. | |
| You can obtain a free copy of Vanguard’s proxy voting | |
| guidelines by visiting vanguard.com/proxyreporting or by | |
| calling Vanguard at 800-662-2739. The guidelines are | |
| also available from the SEC’s website, sec.gov. In | |
| addition, you may obtain a free report on how your fund | |
| voted the proxies for securities it owned during the 12 | |
| months ended June 30. To get the report, visit either | |
| vanguard.com/proxyreporting or sec.gov. | |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
| copies of this information, for a fee, by sending a | |
| request in either of two ways: via e-mail addressed to | |
| publicinfo@sec.gov or via regular mail addressed to the | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| © 2012 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q18482 042012 | |
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (99.5%)1 | ||
| Consumer Discretionary (11.7%) | ||
| McDonald's Corp. | 21,009 | 2,086 |
| Comcast Corp. Class A | 55,889 | 1,642 |
| Home Depot Inc. | 32,372 | 1,540 |
| Walt Disney Co. | 36,206 | 1,520 |
| * Amazon.com Inc. | 7,363 | 1,323 |
| Ford Motor Co. | 75,428 | 934 |
| News Corp. Class A | 43,801 | 870 |
| Target Corp. | 13,973 | 792 |
| NIKE Inc. Class B | 7,236 | 781 |
| Time Warner Inc. | 20,289 | 755 |
| Lowe's Cos. Inc. | 26,401 | 749 |
| Starbucks Corp. | 15,199 | 738 |
| * DIRECTV Class A | 14,319 | 663 |
| * priceline.com Inc. | 1,009 | 633 |
| Yum! Brands Inc. | 9,453 | 626 |
| TJX Cos. Inc. | 15,692 | 574 |
| Viacom Inc. Class B | 11,186 | 533 |
| Time Warner Cable Inc. | 6,465 | 513 |
| Johnson Controls Inc. | 13,744 | 448 |
| Coach Inc. | 5,948 | 445 |
| * Las Vegas Sands Corp. | 7,945 | 442 |
| CBS Corp. Class B | 13,548 | 405 |
| * General Motors Co. | 15,398 | 401 |
| Macy's Inc. | 8,575 | 326 |
| * Bed Bath & Beyond Inc. | 5,016 | 300 |
| * Liberty Global Inc. Class A | 5,594 | 281 |
| Omnicom Group Inc. | 5,666 | 280 |
| McGraw-Hill Cos. Inc. | 5,631 | 262 |
| Carnival Corp. | 8,587 | 260 |
| VF Corp. | 1,753 | 256 |
| Kohl's Corp. | 5,103 | 254 |
| Ross Stores Inc. | 4,742 | 253 |
| * Discovery Communications Inc. Class A | 5,339 | 249 |
| * Chipotle Mexican Grill Inc. Class A | 630 | 246 |
| Limited Brands Inc. | 5,051 | 235 |
| * Liberty Interactive Corp. Class A | 12,181 | 229 |
| Mattel Inc. | 7,037 | 228 |
| * O'Reilly Automotive Inc. | 2,595 | 224 |
| Harley-Davidson Inc. | 4,797 | 223 |
| Ralph Lauren Corp. Class A | 1,276 | 222 |
| Thomson Reuters Corp. | 7,615 | 221 |
| * Dollar Tree Inc. | 2,473 | 219 |
| * Liberty Media Corp. - Liberty Capital Class A | 2,375 | 214 |
| Starwood Hotels & Resorts Worldwide Inc. | 3,958 | 213 |
| Staples Inc. | 14,424 | 211 |
| Genuine Parts Co. | 3,189 | 200 |
| * AutoZone Inc. | 516 | 193 |
| Marriott International Inc. Class A | 5,295 | 187 |
| * BorgWarner Inc. | 2,239 | 185 |
| * Sirius XM Radio Inc. | 80,571 | 182 |
| Gap Inc. | 7,266 | 170 |
| Tiffany & Co. | 2,598 | 169 |
| Nordstrom Inc. | 3,120 | 167 |
| Wynn Resorts Ltd. | 1,293 | 153 |
| Best Buy Co. Inc. | 6,037 | 149 |
| Virgin Media Inc. | 5,651 | 142 |
| * CarMax Inc. | 4,619 | 142 |
| Family Dollar Stores Inc. | 2,499 | 135 |
| JC Penney Co. Inc. | 3,349 | 133 |
| * Fossil Inc. | 1,083 | 132 |
| Darden Restaurants Inc. | 2,590 | 132 |
1
| Vanguard® Russell 1000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2012 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Wyndham Worldwide Corp. | 2,956 | 130 | |
| PetSmart Inc. | 2,332 | 130 | |
| Advance Auto Parts Inc. | 1,520 | 130 | |
| Tractor Supply Co. | 1,491 | 127 | |
| * | Netflix Inc. | 1,122 | 124 |
| Autoliv Inc. | 1,840 | 123 | |
| DISH Network Corp. Class A | 4,121 | 120 | |
| Whirlpool Corp. | 1,576 | 119 | |
| Interpublic Group of Cos. Inc. | 9,551 | 112 | |
| Newell Rubbermaid Inc. | 6,004 | 110 | |
| PVH Corp. | 1,238 | 105 | |
| Garmin Ltd. | 2,223 | 105 | |
| H&R Block Inc. | 6,311 | 103 | |
| * | Tempur-Pedic International Inc. | 1,292 | 102 |
| Lear Corp. | 2,181 | 99 | |
| * | Apollo Group Inc. Class A | 2,284 | 97 |
| * | MGM Resorts International | 6,994 | 96 |
| * | LKQ Corp. | 2,956 | 94 |
| International Game Technology | 6,203 | 93 | |
| * | TRW Automotive Holdings Corp. | 2,036 | 93 |
| Foot Locker Inc. | 3,135 | 91 | |
| * | Panera Bread Co. Class A | 588 | 91 |
| Polaris Industries Inc. | 1,312 | 87 | |
| Hasbro Inc. | 2,376 | 84 | |
| Dick's Sporting Goods Inc. | 1,862 | 83 | |
| Scripps Networks Interactive Inc. Class A | 1,831 | 83 | |
| * | Dollar General Corp. | 1,953 | 82 |
| Signet Jewelers Ltd. | 1,712 | 80 | |
| Williams-Sonoma Inc. | 2,069 | 80 | |
| DR Horton Inc. | 5,539 | 79 | |
| Abercrombie & Fitch Co. | 1,732 | 79 | |
| Royal Caribbean Cruises Ltd. | 2,671 | 76 | |
| * | Ulta Salon Cosmetics & Fragrance Inc. | 906 | 75 |
| Lennar Corp. Class A | 3,168 | 74 | |
| * | Charter Communications Inc. Class A | 1,145 | 73 |
| * | Mohawk Industries Inc. | 1,133 | 72 |
| Tupperware Brands Corp. | 1,146 | 72 | |
| Gannett Co. Inc. | 4,791 | 71 | |
| Harman International Industries Inc. | 1,423 | 70 | |
| * | Toll Brothers Inc. | 2,945 | 69 |
| * | NVR Inc. | 99 | 69 |
| Gentex Corp. | 2,816 | 67 | |
| Expedia Inc. | 1,955 | 67 | |
| * | Under Armour Inc. Class A | 735 | 66 |
| Jarden Corp. | 1,848 | 65 | |
| Leggett & Platt Inc. | 2,842 | 64 | |
| GameStop Corp. Class A | 2,802 | 64 | |
| * | TripAdvisor Inc. | 1,955 | 63 |
| * | Goodyear Tire & Rubber Co. | 4,844 | 62 |
| Cablevision Systems Corp. Class A | 4,355 | 62 | |
| * | Urban Outfitters Inc. | 2,180 | 62 |
| * | PulteGroup Inc. | 6,721 | 59 |
| * | Penn National Gaming Inc. | 1,384 | 59 |
| * | Big Lots Inc. | 1,339 | 59 |
| * | Deckers Outdoor Corp. | 764 | 57 |
| *,^ | Sears Holdings Corp. | 819 | 57 |
| American Eagle Outfitters Inc. | 3,913 | 57 | |
| * | Visteon Corp. | 1,040 | 56 |
| Chico's FAS Inc. | 3,713 | 56 | |
| * | Hanesbrands Inc. | 1,896 | 54 |
| * | AMC Networks Inc. Class A | 1,123 | 51 |
| Service Corp. International | 4,487 | 51 | |
| DeVry Inc. | 1,404 | 50 | |
| Weight Watchers International Inc. | 612 | 48 | |
2
| Vanguard® Russell 1000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2012 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Brinker International Inc. | 1,631 | 45 | |
| * | Sally Beauty Holdings Inc. | 1,876 | 45 |
| Guess? Inc. | 1,279 | 44 | |
| John Wiley & Sons Inc. Class A | 953 | 43 | |
| Washington Post Co. Class B | 105 | 41 | |
| * | Madison Square Garden Co. Class A | 1,273 | 41 |
| Aaron's Inc. | 1,449 | 40 | |
| * | Bally Technologies Inc. | 930 | 40 |
| * | ITT Educational Services Inc. | 575 | 39 |
| * | Lamar Advertising Co. Class A | 1,199 | 39 |
| * | Tesla Motors Inc. | 1,156 | 39 |
| Dillard's Inc. Class A | 619 | 38 | |
| * | Hyatt Hotels Corp. Class A | 849 | 35 |
| Morningstar Inc. | 533 | 32 | |
| Thor Industries Inc. | 962 | 31 | |
| Wendy's Co. | 6,084 | 31 | |
| * | WMS Industries Inc. | 1,272 | 28 |
| * | DreamWorks Animation SKG Inc. Class A | 1,590 | 27 |
| DSW Inc. Class A | 480 | 27 | |
| * | AutoNation Inc. | 740 | 25 |
| Regal Entertainment Group Class A | 1,484 | 21 | |
| Choice Hotels International Inc. | 524 | 20 | |
| *,^ | Groupon Inc. | 738 | 15 |
| RadioShack Corp. | 1,828 | 13 | |
| * | Dunkin' Brands Group Inc. | 442 | 13 |
| * | Education Management Corp. | 695 | 13 |
| * | Marriott Vacations Worldwide Corp. | 484 | 12 |
| * | Clear Channel Outdoor Holdings Inc. Class A | 699 | 9 |
| * | Career Education Corp. | 1,058 | 9 |
| * | Federal-Mogul Corp. | 331 | 6 |
| * | HomeAway Inc. | 151 | 4 |
| * | Pandora Media Inc. | 282 | 4 |
| * | Orchard Supply Hardware Stores Corp. Class A | 36 | 1 |
| 33,468 | |||
| Consumer Staples (9.8%) | |||
| Procter & Gamble Co. | 56,543 | 3,818 | |
| Philip Morris International Inc. | 36,025 | 3,009 | |
| Coca-Cola Co. | 40,020 | 2,796 | |
| Wal-Mart Stores Inc. | 35,925 | 2,123 | |
| PepsiCo Inc. | 32,008 | 2,015 | |
| Altria Group Inc. | 42,405 | 1,276 | |
| Kraft Foods Inc. | 33,473 | 1,274 | |
| CVS Caremark Corp. | 27,420 | 1,237 | |
| Colgate-Palmolive Co. | 9,899 | 922 | |
| Costco Wholesale Corp. | 8,857 | 762 | |
| Walgreen Co. | 18,582 | 616 | |
| Kimberly-Clark Corp. | 7,981 | 582 | |
| General Mills Inc. | 12,932 | 495 | |
| Archer-Daniels-Midland Co. | 13,690 | 427 | |
| Lorillard Inc. | 2,719 | 356 | |
| Sysco Corp. | 11,749 | 346 | |
| HJ Heinz Co. | 6,481 | 342 | |
| Mead Johnson Nutrition Co. | 4,114 | 320 | |
| Reynolds American Inc. | 6,750 | 283 | |
| Kroger Co. | 11,510 | 274 | |
| Estee Lauder Cos. Inc. Class A | 4,544 | 266 | |
| Kellogg Co. | 4,955 | 259 | |
| Whole Foods Market Inc. | 3,124 | 252 | |
| Sara Lee Corp. | 11,809 | 239 | |
| ConAgra Foods Inc. | 8,261 | 217 | |
| Bunge Ltd. | 2,994 | 202 | |
| Hershey Co. | 3,082 | 187 | |
| Clorox Co. | 2,707 | 183 | |
| JM Smucker Co. | 2,354 | 177 | |
3
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Coca-Cola Enterprises Inc. | 6,127 | 177 |
| Beam Inc. | 3,142 | 173 |
| Dr Pepper Snapple Group Inc. | 4,494 | 171 |
| Brown-Forman Corp. Class B | 2,087 | 170 |
| Avon Products Inc. | 8,786 | 164 |
| * Monster Beverage Corp. | 2,870 | 164 |
| * Green Mountain Coffee Roasters Inc. | 2,511 | 163 |
| Herbalife Ltd. | 2,449 | 162 |
| Safeway Inc. | 7,228 | 155 |
| Church & Dwight Co. Inc. | 2,932 | 140 |
| McCormick & Co. Inc. | 2,716 | 137 |
| Campbell Soup Co. | 3,655 | 122 |
| Molson Coors Brewing Co. Class B | 2,762 | 121 |
| Tyson Foods Inc. Class A | 6,185 | 117 |
| * Energizer Holdings Inc. | 1,330 | 102 |
| Corn Products International Inc. | 1,548 | 89 |
| * Ralcorp Holdings Inc. | 1,085 | 81 |
| * Constellation Brands Inc. Class A | 3,578 | 78 |
| Hormel Foods Corp. | 2,707 | 77 |
| * Smithfield Foods Inc. | 3,275 | 77 |
| * Dean Foods Co. | 3,648 | 45 |
| Flowers Foods Inc. | 2,316 | 44 |
| SUPERVALU Inc. | 4,252 | 28 |
| * Post Holdings Inc. | 542 | 17 |
| 28,029 | ||
| Energy (11.5%) | ||
| Exxon Mobil Corp. | 99,786 | 8,632 |
| Chevron Corp. | 40,721 | 4,443 |
| Schlumberger Ltd. | 27,472 | 2,132 |
| ConocoPhillips | 26,894 | 2,059 |
| Occidental Petroleum Corp. | 16,467 | 1,719 |
| Anadarko Petroleum Corp. | 10,078 | 848 |
| Apache Corp. | 7,767 | 838 |
| National Oilwell Varco Inc. | 8,579 | 708 |
| Halliburton Co. | 18,562 | 679 |
| Devon Energy Corp. | 8,585 | 629 |
| EOG Resources Inc. | 5,451 | 621 |
| Marathon Oil Corp. | 14,425 | 489 |
| Baker Hughes Inc. | 8,805 | 443 |
| El Paso Corp. | 15,577 | 433 |
| Spectra Energy Corp. | 13,165 | 413 |
| Hess Corp. | 6,146 | 399 |
| Williams Cos. Inc. | 11,961 | 357 |
| Noble Energy Inc. | 3,553 | 347 |
| Chesapeake Energy Corp. | 13,243 | 331 |
| Marathon Petroleum Corp. | 7,177 | 298 |
| Valero Energy Corp. | 11,495 | 282 |
| * Cameron International Corp. | 4,942 | 275 |
| Pioneer Natural Resources Co. | 2,365 | 259 |
| Murphy Oil Corp. | 3,913 | 250 |
| * FMC Technologies Inc. | 4,841 | 244 |
| * Southwestern Energy Co. | 7,013 | 232 |
| * Concho Resources Inc. | 2,094 | 224 |
| Range Resources Corp. | 3,255 | 207 |
| Peabody Energy Corp. | 5,498 | 192 |
| Consol Energy Inc. | 4,611 | 165 |
| * Denbury Resources Inc. | 8,211 | 164 |
| Cabot Oil & Gas Corp. | 4,260 | 149 |
| EQT Corp. | 2,743 | 145 |
| Cimarex Energy Co. | 1,762 | 142 |
| * Whiting Petroleum Corp. | 2,410 | 141 |
| * Nabors Industries Ltd. | 5,927 | 129 |
| * Plains Exploration & Production Co. | 2,913 | 128 |
| HollyFrontier Corp. | 3,913 | 128 |
4
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| QEP Resources Inc. | 3,648 | 125 |
| ^ Kinder Morgan Inc. | 3,521 | 124 |
| Oceaneering International Inc. | 2,236 | 121 |
| Helmerich & Payne Inc. | 1,957 | 120 |
| Core Laboratories NV | 944 | 115 |
| Southern Union Co. | 2,577 | 113 |
| SM Energy Co. | 1,317 | 104 |
| * Newfield Exploration Co. | 2,776 | 100 |
| * Rowan Cos. Inc. | 2,643 | 97 |
| Diamond Offshore Drilling Inc. | 1,395 | 96 |
| * Superior Energy Services Inc. | 3,107 | 91 |
| * Alpha Natural Resources Inc. | 4,590 | 85 |
| * Oil States International Inc. | 1,038 | 84 |
| Sunoco Inc. | 2,130 | 82 |
| * Dresser-Rand Group Inc. | 1,558 | 82 |
| * Continental Resources Inc. | 844 | 77 |
| * Tesoro Corp. | 2,864 | 76 |
| Energen Corp. | 1,423 | 76 |
| * Ultra Petroleum Corp. | 3,016 | 75 |
| * Cobalt International Energy Inc. | 2,484 | 75 |
| * WPX Energy Inc. | 3,991 | 72 |
| * SandRidge Energy Inc. | 8,289 | 72 |
| Tidewater Inc. | 1,058 | 63 |
| * McDermott International Inc. | 4,796 | 63 |
| Patterson-UTI Energy Inc. | 3,094 | 60 |
| Arch Coal Inc. | 4,233 | 57 |
| * Atwood Oceanics Inc. | 1,174 | 56 |
| * SEACOR Holdings Inc. | 454 | 45 |
| * Unit Corp. | 883 | 42 |
| CARBO Ceramics Inc. | 390 | 36 |
| * Forest Oil Corp. | 2,269 | 29 |
| Teekay Corp. | 846 | 24 |
| EXCO Resources Inc. | 2,764 | 20 |
| RPC Inc. | 787 | 13 |
| * Quicksilver Resources Inc. | 2,166 | 12 |
| * Kosmos Energy Ltd. | 560 | 8 |
| 32,864 | ||
| Financials (14.8%) | ||
| JPMorgan Chase & Co. | 80,494 | 3,159 |
| Wells Fargo & Co. | 99,640 | 3,118 |
| * Berkshire Hathaway Inc. Class B | 35,460 | 2,782 |
| Citigroup Inc. | 58,860 | 1,961 |
| Bank of America Corp. | 205,278 | 1,636 |
| Goldman Sachs Group Inc. | 10,469 | 1,205 |
| US Bancorp | 38,969 | 1,146 |
| American Express Co. | 21,254 | 1,124 |
| Simon Property Group Inc. | 5,944 | 805 |
| MetLife Inc. | 16,669 | 643 |
| PNC Financial Services Group Inc. | 10,680 | 636 |
| Prudential Financial Inc. | 9,869 | 604 |
| Morgan Stanley | 31,364 | 581 |
| Bank of New York Mellon Corp. | 25,230 | 558 |
| Capital One Financial Corp. | 10,111 | 512 |
| American Tower Corporation | 8,035 | 503 |
| ACE Ltd. | 6,835 | 490 |
| Travelers Cos. Inc. | 7,962 | 462 |
| Aflac Inc. | 9,475 | 448 |
| State Street Corp. | 10,211 | 431 |
| BB&T Corp. | 14,109 | 413 |
| CME Group Inc. | 1,351 | 391 |
| Public Storage | 2,828 | 379 |
| Chubb Corp. | 5,519 | 375 |
| Marsh & McLennan Cos. Inc. | 11,045 | 345 |
| Franklin Resources Inc. | 2,917 | 344 |
5
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| BlackRock Inc. | 1,724 | 343 |
| Equity Residential | 5,934 | 338 |
| Allstate Corp. | 10,530 | 331 |
| Discover Financial Services | 10,984 | 330 |
| HCP Inc. | 8,175 | 323 |
| T. Rowe Price Group Inc. | 5,232 | 322 |
| Annaly Capital Management Inc. | 19,152 | 318 |
| Aon Corp. | 6,657 | 312 |
| ProLogis Inc. | 9,241 | 311 |
| Vornado Realty Trust | 3,710 | 303 |
| Boston Properties Inc. | 2,931 | 298 |
| Charles Schwab Corp. | 21,114 | 293 |
| Ventas Inc. | 5,104 | 285 |
| Progressive Corp. | 12,509 | 268 |
| * American International Group Inc. | 8,937 | 261 |
| Ameriprise Financial Inc. | 4,568 | 255 |
| Fifth Third Bancorp | 18,538 | 252 |
| SunTrust Banks Inc. | 10,904 | 250 |
| Loews Corp. | 6,385 | 250 |
| AvalonBay Communities Inc. | 1,895 | 246 |
| Health Care REIT Inc. | 4,315 | 235 |
| Invesco Ltd. | 9,378 | 232 |
| Weyerhaeuser Co. | 10,926 | 228 |
| Host Hotels & Resorts Inc. | 13,896 | 219 |
| M&T Bank Corp. | 2,546 | 208 |
| * IntercontinentalExchange Inc. | 1,493 | 206 |
| Northern Trust Corp. | 4,412 | 196 |
| Hartford Financial Services Group Inc. | 9,112 | 189 |
| General Growth Properties Inc. | 11,461 | 186 |
| Principal Financial Group Inc. | 6,236 | 172 |
| SLM Corp. | 10,780 | 170 |
| * CIT Group Inc. | 4,101 | 167 |
| NYSE Euronext | 5,366 | 160 |
| Lincoln National Corp. | 6,429 | 160 |
| Moody's Corp. | 4,081 | 158 |
| KeyCorp | 19,433 | 157 |
| Kimco Realty Corp. | 8,337 | 153 |
| Digital Realty Trust Inc. | 2,060 | 149 |
| Regions Financial Corp. | 25,818 | 149 |
| Macerich Co. | 2,683 | 145 |
| American Capital Agency Corp. | 4,593 | 141 |
| SL Green Realty Corp. | 1,826 | 139 |
| Unum Group | 6,013 | 139 |
| XL Group plc Class A | 6,362 | 132 |
| Plum Creek Timber Co. Inc. | 3,327 | 130 |
| Comerica Inc. | 4,140 | 123 |
| Federal Realty Investment Trust | 1,283 | 122 |
| New York Community Bancorp Inc. | 9,002 | 117 |
| Leucadia National Corp. | 4,068 | 116 |
| * Affiliated Managers Group Inc. | 1,075 | 114 |
| UDR Inc. | 4,493 | 112 |
| Rayonier Inc. | 2,511 | 112 |
| * CBRE Group Inc. Class A | 5,919 | 109 |
| Cincinnati Financial Corp. | 3,024 | 106 |
| Torchmark Corp. | 2,173 | 105 |
| Huntington Bancshares Inc. | 17,864 | 104 |
| * Arch Capital Group Ltd. | 2,734 | 101 |
| Realty Income Corp. | 2,699 | 100 |
| Camden Property Trust | 1,592 | 99 |
| People's United Financial Inc. | 7,628 | 96 |
| Essex Property Trust Inc. | 661 | 93 |
| Alexandria Real Estate Equities Inc. | 1,252 | 90 |
| * Genworth Financial Inc. Class A | 9,838 | 89 |
| PartnerRe Ltd. | 1,368 | 87 |
6
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Reinsurance Group of America Inc. Class A | 1,498 | 86 |
| * MSCI Inc. Class A | 2,370 | 84 |
| TD Ameritrade Holding Corp. | 4,337 | 81 |
| Assurant Inc. | 1,902 | 81 |
| WR Berkley Corp. | 2,253 | 81 |
| Legg Mason Inc. | 2,920 | 80 |
| Everest Re Group Ltd. | 905 | 80 |
| Axis Capital Holdings Ltd. | 2,553 | 79 |
| Raymond James Financial Inc. | 2,220 | 79 |
| * Markel Corp. | 192 | 78 |
| Liberty Property Trust | 2,274 | 77 |
| Regency Centers Corp. | 1,782 | 76 |
| Fidelity National Financial Inc. Class A | 4,410 | 76 |
| Taubman Centers Inc. | 1,102 | 76 |
| Ares Capital Corp. | 4,467 | 74 |
| Arthur J Gallagher & Co. | 2,179 | 74 |
| RenaissanceRe Holdings Ltd. | 1,021 | 73 |
| BRE Properties Inc. | 1,473 | 71 |
| Jones Lang LaSalle Inc. | 874 | 71 |
| Zions Bancorporation | 3,702 | 70 |
| Duke Realty Corp. | 5,054 | 70 |
| Transatlantic Holdings Inc. | 1,143 | 69 |
| Eaton Vance Corp. | 2,396 | 69 |
| White Mountains Insurance Group Ltd. | 139 | 69 |
| Senior Housing Properties Trust | 3,207 | 69 |
| Lazard Ltd. Class A | 2,246 | 68 |
| DDR Corp. | 4,743 | 67 |
| First Niagara Financial Group Inc. | 6,975 | 67 |
| East West Bancorp Inc. | 2,992 | 66 |
| HCC Insurance Holdings Inc. | 2,158 | 66 |
| * NASDAQ OMX Group Inc. | 2,473 | 65 |
| Hudson City Bancorp Inc. | 9,495 | 65 |
| Chimera Investment Corp. | 20,658 | 63 |
| Assured Guaranty Ltd. | 3,758 | 63 |
| Hospitality Properties Trust | 2,483 | 61 |
| Weingarten Realty Investors | 2,444 | 61 |
| Piedmont Office Realty Trust Inc. Class A | 3,452 | 61 |
| Cullen/Frost Bankers Inc. | 1,073 | 61 |
| American Financial Group Inc. | 1,611 | 60 |
| Commerce Bancshares Inc. | 1,557 | 60 |
| Apartment Investment & Management Co. | 2,416 | 60 |
| * American Capital Ltd. | 6,666 | 59 |
| Douglas Emmett Inc. | 2,806 | 59 |
| SEI Investments Co. | 2,976 | 59 |
| Old Republic International Corp. | 5,281 | 57 |
| Waddell & Reed Financial Inc. Class A | 1,790 | 57 |
| Brown & Brown Inc. | 2,359 | 56 |
| Allied World Assurance Co. Holdings AG | 773 | 51 |
| Mack-Cali Realty Corp. | 1,783 | 51 |
| * E*Trade Financial Corp. | 5,255 | 51 |
| Protective Life Corp. | 1,813 | 50 |
| First Horizon National Corp. | 5,191 | 49 |
| Jefferies Group Inc. | 2,898 | 48 |
| Associated Banc-Corp | 3,636 | 48 |
| Validus Holdings Ltd. | 1,567 | 48 |
| Valley National Bancorp | 3,723 | 47 |
| Bank of Hawaii Corp. | 991 | 46 |
| * First Republic Bank | 1,510 | 45 |
| City National Corp. | 961 | 45 |
| Alleghany Corp. | 138 | 45 |
| Erie Indemnity Co. Class A | 568 | 43 |
| * Forest City Enterprises Inc. Class A | 2,913 | 43 |
| Fulton Financial Corp. | 4,187 | 41 |
| Capitol Federal Financial Inc. | 3,505 | 41 |
7
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Aspen Insurance Holdings Ltd. | 1,493 | 40 |
| StanCorp Financial Group Inc. | 976 | 39 |
| * Popular Inc. | 20,423 | 39 |
| Corporate Office Properties Trust | 1,534 | 38 |
| Federated Investors Inc. Class B | 1,835 | 38 |
| Hanover Insurance Group Inc. | 914 | 37 |
| Washington Federal Inc. | 2,279 | 37 |
| Synovus Financial Corp. | 17,186 | 36 |
| CapitalSource Inc. | 5,187 | 35 |
| TCF Financial Corp. | 3,184 | 34 |
| * MBIA Inc. | 3,138 | 34 |
| Janus Capital Group Inc. | 3,772 | 33 |
| CommonWealth REIT | 1,725 | 32 |
| CBOE Holdings Inc. | 1,162 | 32 |
| Kemper Corp. | 1,100 | 31 |
| Endurance Specialty Holdings Ltd. | 781 | 30 |
| BOK Financial Corp. | 559 | 30 |
| Brandywine Realty Trust | 2,655 | 29 |
| Greenhill & Co. Inc. | 649 | 29 |
| * Howard Hughes Corp. | 395 | 22 |
| * LPL Investment Holdings Inc. | 630 | 21 |
| Mercury General Corp. | 491 | 21 |
| * St. Joe Co. | 1,191 | 19 |
| BankUnited Inc. | 787 | 18 |
| CNA Financial Corp. | 629 | 18 |
| First Citizens BancShares Inc. Class A | 99 | 17 |
| * TFS Financial Corp. | 1,465 | 14 |
| * Green Dot Corp. Class A | 406 | 13 |
| Interactive Brokers Group Inc. | 607 | 10 |
| American National Insurance Co. | 121 | 9 |
| * Rouse Properties Inc. | 430 | 6 |
| 42,142 | ||
| Health Care (11.2%) | ||
| Johnson & Johnson | 55,527 | 3,614 |
| Pfizer Inc. | 160,050 | 3,377 |
| Merck & Co. Inc. | 62,524 | 2,387 |
| Abbott Laboratories | 31,485 | 1,782 |
| UnitedHealth Group Inc. | 21,910 | 1,222 |
| Bristol-Myers Squibb Co. | 34,510 | 1,110 |
| Amgen Inc. | 16,123 | 1,096 |
| Medtronic Inc. | 21,678 | 826 |
| Eli Lilly & Co. | 20,715 | 813 |
| * Gilead Sciences Inc. | 15,960 | 726 |
| Baxter International Inc. | 11,574 | 673 |
| * Celgene Corp. | 8,888 | 652 |
| * Biogen Idec Inc. | 4,910 | 572 |
| Allergan Inc. | 6,196 | 555 |
| * Medco Health Solutions Inc. | 8,127 | 549 |
| * Express Scripts Inc. | 9,890 | 527 |
| Covidien plc | 10,077 | 527 |
| WellPoint Inc. | 7,047 | 463 |
| * Thermo Fisher Scientific Inc. | 7,764 | 440 |
| McKesson Corp. | 5,108 | 427 |
| * Intuitive Surgical Inc. | 792 | 405 |
| Aetna Inc. | 7,641 | 357 |
| Stryker Corp. | 6,313 | 339 |
| Becton Dickinson and Co. | 4,405 | 336 |
| * Alexion Pharmaceuticals Inc. | 3,703 | 310 |
| * Agilent Technologies Inc. | 7,012 | 306 |
| Humana Inc. | 3,390 | 295 |
| Cardinal Health Inc. | 7,060 | 293 |
| St. Jude Medical Inc. | 6,640 | 280 |
| Cigna Corp. | 5,752 | 254 |
8
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Zimmer Holdings Inc. | 3,639 | 221 |
| * Cerner Corp. | 2,891 | 213 |
| * Mylan Inc. | 8,904 | 209 |
| AmerisourceBergen Corp. Class A | 5,233 | 195 |
| Quest Diagnostics Inc. | 3,193 | 185 |
| * Laboratory Corp. of America Holdings | 2,037 | 183 |
| * Boston Scientific Corp. | 29,399 | 183 |
| * Forest Laboratories Inc. | 5,440 | 177 |
| Perrigo Co. | 1,687 | 174 |
| * Life Technologies Corp. | 3,658 | 173 |
| * Edwards Lifesciences Corp. | 2,336 | 171 |
| * DaVita Inc. | 1,952 | 169 |
| * Waters Corp. | 1,876 | 168 |
| * Vertex Pharmaceuticals Inc. | 4,214 | 164 |
| CR Bard Inc. | 1,748 | 164 |
| * Regeneron Pharmaceuticals Inc. | 1,493 | 156 |
| * Varian Medical Systems Inc. | 2,391 | 156 |
| * Watson Pharmaceuticals Inc. | 2,578 | 150 |
| * Henry Schein Inc. | 1,896 | 140 |
| * Illumina Inc. | 2,539 | 130 |
| * Hospira Inc. | 3,459 | 123 |
| * Mettler-Toledo International Inc. | 662 | 119 |
| * CareFusion Corp. | 4,607 | 119 |
| DENTSPLY International Inc. | 2,908 | 112 |
| * Hologic Inc. | 5,397 | 112 |
| * IDEXX Laboratories Inc. | 1,162 | 100 |
| * Coventry Health Care Inc. | 3,003 | 98 |
| * SXC Health Solutions Corp. | 1,254 | 89 |
| * ResMed Inc. | 3,015 | 88 |
| * Endo Pharmaceuticals Holdings Inc. | 2,361 | 88 |
| Omnicare Inc. | 2,287 | 80 |
| Universal Health Services Inc. Class B | 1,790 | 80 |
| * BioMarin Pharmaceutical Inc. | 2,188 | 78 |
| Cooper Cos. Inc. | 918 | 73 |
| * Allscripts Healthcare Solutions Inc. | 3,765 | 73 |
| * Mednax Inc. | 957 | 71 |
| * QIAGEN NV | 4,651 | 71 |
| PerkinElmer Inc. | 2,333 | 63 |
| * Gen-Probe Inc. | 911 | 62 |
| * Health Net Inc. | 1,647 | 62 |
| HCA Holdings Inc. | 2,286 | 61 |
| * AMERIGROUP Corp. | 890 | 60 |
| Patterson Cos. Inc. | 1,884 | 60 |
| * Covance Inc. | 1,222 | 58 |
| * Warner Chilcott plc Class A | 3,465 | 58 |
| * Sirona Dental Systems Inc. | 1,137 | 57 |
| Techne Corp. | 753 | 54 |
| * Catalyst Health Solutions Inc. | 865 | 54 |
| * Tenet Healthcare Corp. | 9,213 | 52 |
| Lincare Holdings Inc. | 1,828 | 49 |
| * United Therapeutics Corp. | 1,022 | 49 |
| * Community Health Systems Inc. | 1,923 | 49 |
| Teleflex Inc. | 814 | 48 |
| * Amylin Pharmaceuticals Inc. | 2,763 | 47 |
| * Alere Inc. | 1,787 | 45 |
| * Myriad Genetics Inc. | 1,811 | 44 |
| Hill-Rom Holdings Inc. | 1,231 | 42 |
| * Thoratec Corp. | 1,205 | 42 |
| * Bio-Rad Laboratories Inc. Class A | 406 | 41 |
| * VCA Antech Inc. | 1,841 | 41 |
| * Brookdale Senior Living Inc. Class A | 1,988 | 37 |
| * LifePoint Hospitals Inc. | 944 | 37 |
| * Charles River Laboratories International Inc. | 1,047 | 37 |
| * Health Management Associates Inc. Class A | 4,939 | 36 |
9
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Dendreon Corp. | 3,047 | 34 |
| * Bruker Corp. | 1,865 | 30 |
| * Human Genome Sciences Inc. | 3,770 | 30 |
| 32,007 | ||
| Industrials (11.0%) | ||
| General Electric Co. | 214,831 | 4,093 |
| United Technologies Corp. | 18,541 | 1,555 |
| Caterpillar Inc. | 13,060 | 1,492 |
| 3M Co. | 14,394 | 1,261 |
| United Parcel Service Inc. Class B | 14,862 | 1,143 |
| Boeing Co. | 14,933 | 1,119 |
| Union Pacific Corp. | 9,922 | 1,094 |
| Honeywell International Inc. | 15,931 | 949 |
| Emerson Electric Co. | 15,233 | 766 |
| Deere & Co. | 8,511 | 706 |
| Danaher Corp. | 11,152 | 589 |
| FedEx Corp. | 6,411 | 577 |
| Illinois Tool Works Inc. | 9,036 | 503 |
| General Dynamics Corp. | 6,730 | 493 |
| Tyco International Ltd. | 9,500 | 492 |
| Precision Castparts Corp. | 2,906 | 487 |
| Cummins Inc. | 3,976 | 479 |
| Lockheed Martin Corp. | 5,369 | 475 |
| CSX Corp. | 22,339 | 469 |
| Norfolk Southern Corp. | 6,687 | 461 |
| Raytheon Co. | 7,172 | 362 |
| Eaton Corp. | 6,871 | 359 |
| PACCAR Inc. | 7,359 | 339 |
| Waste Management Inc. | 9,550 | 334 |
| Goodrich Corp. | 2,516 | 317 |
| Northrop Grumman Corp. | 5,261 | 315 |
| Fastenal Co. | 5,938 | 313 |
| Parker Hannifin Corp. | 3,051 | 274 |
| Stanley Black & Decker Inc. | 3,394 | 261 |
| Ingersoll-Rand plc | 6,324 | 252 |
| Dover Corp. | 3,771 | 241 |
| WW Grainger Inc. | 1,152 | 239 |
| Rockwell Automation Inc. | 2,915 | 233 |
| CH Robinson Worldwide Inc. | 3,342 | 221 |
| Fluor Corp. | 3,544 | 214 |
| Cooper Industries plc | 3,354 | 205 |
| Republic Services Inc. Class A | 6,515 | 194 |
| Expeditors International of Washington Inc. | 4,315 | 188 |
| Joy Global Inc. | 2,135 | 186 |
| Roper Industries Inc. | 1,951 | 179 |
| Rockwell Collins Inc. | 2,950 | 175 |
| * Delta Air Lines Inc. | 17,265 | 169 |
| AMETEK Inc. | 3,298 | 157 |
| Textron Inc. | 5,676 | 156 |
| * Kansas City Southern | 2,242 | 156 |
| * Stericycle Inc. | 1,759 | 153 |
| Pall Corp. | 2,382 | 151 |
| Southwest Airlines Co. | 16,212 | 146 |
| L-3 Communications Holdings Inc. | 2,048 | 144 |
| * United Continental Holdings Inc. | 6,791 | 140 |
| Flowserve Corp. | 1,149 | 136 |
| * TransDigm Group Inc. | 1,030 | 122 |
| * Jacobs Engineering Group Inc. | 2,617 | 121 |
| Donaldson Co. Inc. | 1,573 | 116 |
| KBR Inc. | 3,139 | 114 |
| * Verisk Analytics Inc. Class A | 2,465 | 107 |
| Iron Mountain Inc. | 3,446 | 107 |
| Equifax Inc. | 2,544 | 107 |
| * AGCO Corp. | 1,963 | 101 |
10
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Xylem Inc. | 3,811 | 99 |
| JB Hunt Transport Services Inc. | 1,851 | 95 |
| * IHS Inc. Class A | 1,001 | 95 |
| Chicago Bridge & Iron Co. NV | 2,024 | 94 |
| Hubbell Inc. Class B | 1,221 | 92 |
| * Quanta Services Inc. | 4,369 | 91 |
| Timken Co. | 1,734 | 91 |
| * BE Aerospace Inc. | 1,968 | 90 |
| Cintas Corp. | 2,287 | 88 |
| Masco Corp. | 7,101 | 84 |
| Robert Half International Inc. | 2,896 | 82 |
| * WABCO Holdings Inc. | 1,361 | 81 |
| Dun & Bradstreet Corp. | 975 | 81 |
| * Owens Corning | 2,475 | 78 |
| Lincoln Electric Holdings Inc. | 1,677 | 77 |
| * Thomas & Betts Corp. | 1,057 | 76 |
| Kennametal Inc. | 1,639 | 76 |
| Pentair Inc. | 1,953 | 75 |
| SPX Corp. | 1,020 | 75 |
| Waste Connections Inc. | 2,239 | 73 |
| * Kirby Corp. | 1,061 | 73 |
| Towers Watson & Co. Class A | 1,134 | 73 |
| Wabtec Corp. | 960 | 72 |
| Snap-on Inc. | 1,166 | 71 |
| Manpower Inc. | 1,649 | 71 |
| Gardner Denver Inc. | 1,032 | 71 |
| * Hertz Global Holdings Inc. | 4,936 | 71 |
| MSC Industrial Direct Co. Inc. Class A | 885 | 70 |
| * URS Corp. | 1,586 | 69 |
| IDEX Corp. | 1,656 | 69 |
| Nordson Corp. | 1,236 | 68 |
| Pitney Bowes Inc. | 3,625 | 66 |
| Avery Dennison Corp. | 2,141 | 65 |
| Graco Inc. | 1,241 | 64 |
| * Navistar International Corp. | 1,459 | 61 |
| * Babcock & Wilcox Co. | 2,366 | 61 |
| * Fortune Brands Home & Security Inc. | 3,144 | 61 |
| Carlisle Cos. Inc. | 1,240 | 61 |
| * Spirit Aerosystems Holdings Inc. Class A | 2,395 | 57 |
| * AECOM Technology Corp. | 2,440 | 57 |
| Trinity Industries Inc. | 1,638 | 57 |
| * Copart Inc. | 1,129 | 56 |
| * WESCO International Inc. | 892 | 56 |
| * Terex Corp. | 2,190 | 56 |
| Ryder System Inc. | 1,038 | 55 |
| Landstar System Inc. | 985 | 53 |
| RR Donnelley & Sons Co. | 3,797 | 52 |
| Valmont Industries Inc. | 470 | 52 |
| Regal-Beloit Corp. | 773 | 52 |
| * Nielsen Holdings NV | 1,654 | 49 |
| Copa Holdings SA Class A | 677 | 48 |
| * Corrections Corp. of America | 1,931 | 48 |
| Crane Co. | 996 | 48 |
| ITT Corp. | 1,898 | 47 |
| Manitowoc Co. Inc. | 2,680 | 42 |
| Toro Co. | 622 | 42 |
| Lennox International Inc. | 1,070 | 42 |
| * Oshkosh Corp. | 1,792 | 42 |
| Exelis Inc. | 3,958 | 42 |
| Alliant Techsystems Inc. | 690 | 41 |
| Alexander & Baldwin Inc. | 887 | 41 |
| GATX Corp. | 917 | 40 |
| * Shaw Group Inc. | 1,319 | 38 |
| * Huntington Ingalls Industries Inc. | 1,050 | 38 |
11
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Harsco Corp. | 1,614 | 36 |
| Covanta Holding Corp. | 2,186 | 36 |
| * General Cable Corp. | 1,133 | 35 |
| * GrafTech International Ltd. | 2,722 | 35 |
| UTi Worldwide Inc. | 2,100 | 34 |
| * Polypore International Inc. | 770 | 32 |
| Con-way Inc. | 1,065 | 31 |
| * Armstrong World Industries Inc. | 427 | 22 |
| * CNH Global NV | 486 | 21 |
| * Air Lease Corp. | 638 | 16 |
| * KAR Auction Services Inc. | 489 | 8 |
| 31,474 | ||
| Information Technology (19.4%) | ||
| * Apple Inc. | 18,733 | 10,162 |
| International Business Machines Corp. | 24,535 | 4,827 |
| Microsoft Corp. | 150,321 | 4,771 |
| * Google Inc. Class A | 5,099 | 3,152 |
| Intel Corp. | 107,401 | 2,887 |
| Oracle Corp. | 77,749 | 2,276 |
| Cisco Systems Inc. | 111,328 | 2,213 |
| QUALCOMM Inc. | 33,806 | 2,102 |
| Visa Inc. Class A | 10,574 | 1,230 |
| * EMC Corp. | 41,622 | 1,153 |
| Hewlett-Packard Co. | 40,184 | 1,017 |
| Mastercard Inc. Class A | 2,174 | 913 |
| * eBay Inc. | 23,351 | 835 |
| Texas Instruments Inc. | 23,533 | 785 |
| Accenture plc Class A | 13,088 | 779 |
| * Dell Inc. | 33,276 | 576 |
| Automatic Data Processing Inc. | 10,155 | 552 |
| * Cognizant Technology Solutions Corp. Class A | 6,164 | 437 |
| Corning Inc. | 31,801 | 415 |
| Broadcom Corp. Class A | 10,860 | 403 |
| * Yahoo! Inc. | 26,394 | 391 |
| * Salesforce.com Inc. | 2,697 | 386 |
| Intuit Inc. | 6,092 | 352 |
| * Adobe Systems Inc. | 10,158 | 334 |
| Applied Materials Inc. | 26,546 | 325 |
| * NetApp Inc. | 7,409 | 319 |
| Motorola Solutions Inc. | 5,706 | 284 |
| * Citrix Systems Inc. | 3,790 | 283 |
| * Symantec Corp. | 15,224 | 272 |
| Altera Corp. | 6,501 | 250 |
| * Juniper Networks Inc. | 10,787 | 245 |
| * SanDisk Corp. | 4,807 | 238 |
| Analog Devices Inc. | 6,058 | 238 |
| Xerox Corp. | 28,275 | 233 |
| * Teradata Corp. | 3,432 | 228 |
| Western Union Co. | 12,751 | 223 |
| CA Inc. | 7,815 | 211 |
| * Motorola Mobility Holdings Inc. | 5,272 | 209 |
| * F5 Networks Inc. | 1,649 | 206 |
| Paychex Inc. | 6,541 | 205 |
| Xilinx Inc. | 5,401 | 199 |
| * Fiserv Inc. | 2,921 | 194 |
| * Red Hat Inc. | 3,915 | 194 |
| Amphenol Corp. Class A | 3,388 | 190 |
| * Western Digital Corp. | 4,748 | 186 |
| * NVIDIA Corp. | 12,217 | 185 |
| * Autodesk Inc. | 4,697 | 178 |
| * VMware Inc. Class A | 1,732 | 171 |
| Fidelity National Information Services Inc. | 5,370 | 170 |
| Maxim Integrated Products Inc. | 6,025 | 168 |
| KLA-Tencor Corp. | 3,421 | 166 |
12
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Linear Technology Corp. | 4,663 | 156 |
| * Marvell Technology Group Ltd. | 10,358 | 155 |
| * Micron Technology Inc. | 17,785 | 152 |
| Avago Technologies Ltd. | 3,935 | 148 |
| Microchip Technology Inc. | 3,902 | 141 |
| * Akamai Technologies Inc. | 3,836 | 138 |
| * Equinix Inc. | 965 | 135 |
| * Alliance Data Systems Corp. | 1,051 | 128 |
| * Trimble Navigation Ltd. | 2,524 | 127 |
| * Nuance Communications Inc. | 4,881 | 127 |
| * BMC Software Inc. | 3,326 | 125 |
| VeriSign Inc. | 3,279 | 121 |
| * ANSYS Inc. | 1,893 | 120 |
| * Rackspace Hosting Inc. | 2,128 | 111 |
| * Electronic Arts Inc. | 6,807 | 111 |
| * Amdocs Ltd. | 3,610 | 111 |
| * Informatica Corp. | 2,190 | 108 |
| * Lam Research Corp. | 2,571 | 107 |
| Harris Corp. | 2,455 | 107 |
| * Avnet Inc. | 2,938 | 105 |
| Activision Blizzard Inc. | 8,744 | 104 |
| * Skyworks Solutions Inc. | 3,798 | 102 |
| Computer Sciences Corp. | 3,214 | 102 |
| Jabil Circuit Inc. | 3,900 | 101 |
| * VeriFone Systems Inc. | 2,067 | 99 |
| * LSI Corp. | 11,394 | 98 |
| * TIBCO Software Inc. | 3,362 | 97 |
| * Arrow Electronics Inc. | 2,340 | 94 |
| * Atmel Corp. | 9,268 | 94 |
| * Synopsys Inc. | 2,972 | 91 |
| * Advanced Micro Devices Inc. | 12,266 | 90 |
| * Riverbed Technology Inc. | 3,110 | 89 |
| * MICROS Systems Inc. | 1,600 | 83 |
| FLIR Systems Inc. | 3,149 | 82 |
| Factset Research Systems Inc. | 935 | 82 |
| Global Payments Inc. | 1,579 | 81 |
| * Rovi Corp. | 2,275 | 81 |
| * ON Semiconductor Corp. | 8,837 | 80 |
| * Gartner Inc. | 1,922 | 77 |
| * Polycom Inc. | 3,548 | 73 |
| Molex Inc. | 2,695 | 73 |
| Total System Services Inc. | 3,225 | 71 |
| * NCR Corp. | 3,216 | 70 |
| * SAIC Inc. | 5,692 | 70 |
| IAC/InterActiveCorp | 1,512 | 69 |
| * Cree Inc. | 2,247 | 68 |
| Solera Holdings Inc. | 1,403 | 67 |
| * Fortinet Inc. | 2,424 | 66 |
| * Novellus Systems Inc. | 1,402 | 65 |
| * Cadence Design Systems Inc. | 5,412 | 64 |
| * Teradyne Inc. | 3,780 | 62 |
| * Ingram Micro Inc. | 3,242 | 62 |
| * JDS Uniphase Corp. | 4,681 | 61 |
| * Ariba Inc. | 1,924 | 61 |
| Broadridge Financial Solutions Inc. | 2,485 | 60 |
| Lexmark International Inc. Class A | 1,592 | 59 |
| * Brocade Communications Systems Inc. | 9,619 | 56 |
| Cypress Semiconductor Corp. | 3,134 | 54 |
| * NeuStar Inc. Class A | 1,496 | 52 |
| Diebold Inc. | 1,278 | 50 |
| National Instruments Corp. | 1,864 | 50 |
| * Tech Data Corp. | 853 | 46 |
| * Zebra Technologies Corp. | 1,139 | 44 |
| * Dolby Laboratories Inc. Class A | 1,139 | 43 |
13
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Genpact Ltd. | 2,586 | 41 |
| * Compuware Corp. | 4,596 | 41 |
| * Fairchild Semiconductor International Inc. Class A | 2,730 | 40 |
| * First Solar Inc. | 1,232 | 40 |
| * Silicon Laboratories Inc. | 887 | 40 |
| * Itron Inc. | 871 | 39 |
| Lender Processing Services Inc. | 1,731 | 38 |
| * AOL Inc. | 2,115 | 38 |
| * Vishay Intertechnology Inc. | 2,950 | 36 |
| * QLogic Corp. | 1,998 | 34 |
| DST Systems Inc. | 639 | 34 |
| * PMC - Sierra Inc. | 4,814 | 33 |
| * Acme Packet Inc. | 1,049 | 32 |
| * International Rectifier Corp. | 1,420 | 32 |
| * Ciena Corp. | 2,100 | 31 |
| * VistaPrint NV | 747 | 30 |
| * CoreLogic Inc. | 1,964 | 30 |
| * WebMD Health Corp. | 1,163 | 29 |
| * IPG Photonics Corp. | 525 | 28 |
| Tellabs Inc. | 6,909 | 27 |
| Intersil Corp. Class A | 2,405 | 27 |
| * EchoStar Corp. Class A | 774 | 23 |
| * LinkedIn Corp. Class A | 209 | 18 |
| * SunPower Corp. Class A | 2,334 | 18 |
| * MEMC Electronic Materials Inc. | 4,221 | 17 |
| * Monster Worldwide Inc. | 2,370 | 16 |
| * Freescale Semiconductor Holdings I Ltd. | 746 | 12 |
| AVX Corp. | 826 | 11 |
| * FleetCor Technologies Inc. | 250 | 9 |
| * Fusion-io Inc. | 290 | 8 |
| Booz Allen Hamilton Holding Corp. | 396 | 7 |
| 55,553 | ||
| Materials (4.0%) | ||
| EI du Pont de Nemours & Co. | 18,801 | 956 |
| Monsanto Co. | 10,856 | 840 |
| Freeport-McMoRan Copper & Gold Inc. | 19,190 | 817 |
| Dow Chemical Co. | 23,818 | 798 |
| Praxair Inc. | 6,156 | 671 |
| Newmont Mining Corp. | 9,876 | 587 |
| Air Products & Chemicals Inc. | 4,293 | 387 |
| Ecolab Inc. | 6,043 | 363 |
| Mosaic Co. | 5,548 | 320 |
| International Paper Co. | 8,804 | 309 |
| PPG Industries Inc. | 3,185 | 291 |
| Nucor Corp. | 6,364 | 277 |
| LyondellBasell Industries NV Class A | 6,335 | 274 |
| CF Industries Holdings Inc. | 1,329 | 247 |
| Alcoa Inc. | 21,560 | 219 |
| Sherwin-Williams Co. | 1,830 | 189 |
| Cliffs Natural Resources Inc. | 2,964 | 188 |
| Sigma-Aldrich Corp. | 2,482 | 178 |
| Eastman Chemical Co. | 2,917 | 158 |
| Celanese Corp. Class A | 3,207 | 153 |
| FMC Corp. | 1,475 | 146 |
| Airgas Inc. | 1,614 | 133 |
| Ball Corp. | 3,162 | 127 |
| Albemarle Corp. | 1,882 | 125 |
| * Crown Holdings Inc. | 3,218 | 119 |
| Vulcan Materials Co. | 2,662 | 119 |
| Southern Copper Corp. | 3,481 | 112 |
| MeadWestvaco Corp. | 3,511 | 106 |
| Ashland Inc. | 1,604 | 102 |
| Rock-Tenn Co. Class A | 1,404 | 99 |
| Allegheny Technologies Inc. | 2,195 | 96 |
14
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| International Flavors & Fragrances Inc. | 1,629 | 93 |
| Valspar Corp. | 1,944 | 90 |
| * WR Grace & Co. | 1,460 | 83 |
| Royal Gold Inc. | 1,186 | 82 |
| Walter Energy Inc. | 1,229 | 80 |
| Reliance Steel & Aluminum Co. | 1,477 | 79 |
| * Owens-Illinois Inc. | 3,282 | 78 |
| Martin Marietta Materials Inc. | 901 | 77 |
| United States Steel Corp. | 2,838 | 77 |
| Sealed Air Corp. | 3,809 | 75 |
| * Rockwood Holdings Inc. | 1,386 | 74 |
| Domtar Corp. | 733 | 70 |
| Aptargroup Inc. | 1,329 | 70 |
| Solutia Inc. | 2,423 | 68 |
| Bemis Co. Inc. | 2,096 | 66 |
| Steel Dynamics Inc. | 4,406 | 65 |
| Sonoco Products Co. | 1,977 | 65 |
| RPM International Inc. | 2,603 | 62 |
| * Allied Nevada Gold Corp. | 1,791 | 62 |
| Packaging Corp. of America | 2,074 | 62 |
| Cytec Industries Inc. | 1,017 | 61 |
| Huntsman Corp. | 4,061 | 56 |
| Cabot Corp. | 1,293 | 52 |
| Compass Minerals International Inc. | 671 | 48 |
| Carpenter Technology Corp. | 893 | 46 |
| Silgan Holdings Inc. | 1,029 | 44 |
| Greif Inc. Class A | 799 | 41 |
| Scotts Miracle-Gro Co. Class A | 818 | 38 |
| Commercial Metals Co. | 2,259 | 30 |
| Titanium Metals Corp. | 1,890 | 28 |
| * Molycorp Inc. | 1,104 | 27 |
| * Intrepid Potash Inc. | 1,007 | 26 |
| Westlake Chemical Corp. | 405 | 24 |
| Schnitzer Steel Industries Inc. | 406 | 18 |
| AK Steel Holding Corp. | 2,021 | 16 |
| Kronos Worldwide Inc. | 374 | 9 |
| 11,548 | ||
| Telecommunication Services (2.6%) | ||
| AT&T Inc. | 119,960 | 3,670 |
| Verizon Communications Inc. | 57,272 | 2,183 |
| CenturyLink Inc. | 12,392 | 499 |
| * Crown Castle International Corp. | 5,849 | 303 |
| * Sprint Nextel Corp. | 61,407 | 152 |
| Windstream Corp. | 11,626 | 140 |
| * SBA Communications Corp. Class A | 2,342 | 110 |
| Frontier Communications Corp. | 20,160 | 92 |
| * Level 3 Communications Inc. | 3,189 | 77 |
| * tw telecom inc Class A | 3,019 | 65 |
| * NII Holdings Inc. | 3,364 | 60 |
| * MetroPCS Communications Inc. | 5,706 | 59 |
| * Telephone & Data Systems Inc. | 2,021 | 51 |
| * United States Cellular Corp. | 245 | 11 |
| * Clearwire Corp. Class A | 4,461 | 10 |
| 7,482 | ||
| Utilities (3.5%) | ||
| Southern Co. | 17,212 | 761 |
| Dominion Resources Inc. | 11,695 | 590 |
| Duke Energy Corp. | 27,046 | 566 |
| Exelon Corp. | 13,466 | 526 |
| NextEra Energy Inc. | 8,548 | 509 |
| FirstEnergy Corp. | 8,422 | 373 |
| American Electric Power Co. Inc. | 9,702 | 365 |
| Consolidated Edison Inc. | 5,892 | 342 |
| PG&E Corp. | 8,014 | 334 |
15
| Vanguard® Russell 1000 Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2012 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| PPL Corp. | 11,623 | 332 | |||
| Progress Energy Inc. | 5,932 | 315 | |||
| Public Service Enterprise Group Inc. | 10,188 | 314 | |||
| Sempra Energy | 4,821 | 286 | |||
| Edison International | 6,562 | 275 | |||
| Xcel Energy Inc. | 9,750 | 258 | |||
| Entergy Corp. | 3,584 | 239 | |||
| DTE Energy Co. | 3,436 | 185 | |||
| * | AES Corp. | 13,387 | 181 | ||
| ONEOK Inc. | 2,174 | 180 | |||
| CenterPoint Energy Inc. | 8,650 | 169 | |||
| Wisconsin Energy Corp. | 4,758 | 162 | |||
| Ameren Corp. | 4,914 | 158 | |||
| Constellation Energy Group Inc. | 3,802 | 138 | |||
| NiSource Inc. | 5,740 | 138 | |||
| Northeast Utilities | 3,632 | 130 | |||
| American Water Works Co. Inc. | 3,616 | 124 | |||
| * | Calpine Corp. | 7,886 | 121 | ||
| CMS Energy Corp. | 5,207 | 111 | |||
| SCANA Corp. | 2,384 | 107 | |||
| Pinnacle West Capital Corp. | 2,257 | 106 | |||
| OGE Energy Corp. | 2,022 | 106 | |||
| NSTAR | 2,099 | 98 | |||
| Alliant Energy Corp. | 2,248 | 96 | |||
| AGL Resources Inc. | 2,359 | 94 | |||
| Pepco Holdings Inc. | 4,574 | 89 | |||
| National Fuel Gas Co. | 1,676 | 84 | |||
| * | NRG Energy Inc. | 4,884 | 83 | ||
| MDU Resources Group Inc. | 3,723 | 81 | |||
| Integrys Energy Group Inc. | 1,543 | 80 | |||
| TECO Energy Inc. | 4,239 | 76 | |||
| ITC Holdings Corp. | 1,006 | 76 | |||
| NV Energy Inc. | 4,651 | 73 | |||
| Questar Corp. | 3,507 | 67 | |||
| UGI Corp. | 2,222 | 63 | |||
| Westar Energy Inc. | 2,261 | 62 | |||
| Aqua America Inc. | 2,762 | 61 | |||
| Atmos Energy Corp. | 1,807 | 56 | |||
| Great Plains Energy Inc. | 2,725 | 54 | |||
| Vectren Corp. | 1,643 | 48 | |||
| Hawaiian Electric Industries Inc. | 1,908 | 48 | |||
| * | GenOn Energy Inc. | 16,253 | 40 | ||
| 9,930 | |||||
| Total Common Stocks (Cost $263,554) | 284,497 | ||||
| Coupon | |||||
| Temporary Cash Investments (0.4%)1 | |||||
| Money Market Fund (0.4%) | |||||
| 2,3 | Vanguard Market Liquidity Fund | 0.111% | 981,652 | 982 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.0%) | |||||
| 4,5 | Fannie Mae Discount Notes | 0.030% | 4/2/12 | 100 | 100 |
| Total Temporary Cash Investments (Cost $1,081) | 1,082 | ||||
16
| Vanguard® Russell 1000 Index Fund | |
| Schedule of Investments | |
| February 29, 2012 | |
| Total Investments (99.9%) (Cost $264,635) | 285,579 |
| Other Assets and Liabilities—Net (0.1%)3 | 348 |
| Net Assets (100%) | 285,927 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $166,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $170,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
17
| Vanguard® Russell 1000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2012 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (99.9%)1 | |||
| Consumer Discretionary (9.2%) | |||
| Walt Disney Co. | 86,238 | 3,621 | |
| News Corp. Class A | 104,287 | 2,072 | |
| Comcast Corp. Class A | 63,808 | 1,875 | |
| Time Warner Inc. | 48,257 | 1,796 | |
| Target Corp. | 31,490 | 1,785 | |
| Lowe's Cos. Inc. | 62,809 | 1,783 | |
| Home Depot Inc. | 30,524 | 1,452 | |
| Ford Motor Co. | 78,739 | 975 | |
| * | General Motors Co. | 36,628 | 953 |
| CBS Corp. Class B | 27,190 | 813 | |
| Johnson Controls Inc. | 24,384 | 796 | |
| Macy's Inc. | 17,917 | 680 | |
| Carnival Corp. | 20,623 | 625 | |
| VF Corp. | 4,179 | 610 | |
| * | Liberty Interactive Corp. Class A | 28,914 | 542 |
| * | Liberty Media Corp. - Liberty Capital Class A | 5,631 | 506 |
| Staples Inc. | 34,288 | 503 | |
| Gap Inc. | 17,099 | 399 | |
| Best Buy Co. Inc. | 14,239 | 352 | |
| Genuine Parts Co. | 5,523 | 346 | |
| Comcast Corp. | 11,200 | 320 | |
| JC Penney Co. Inc. | 7,990 | 316 | |
| Wyndham Worldwide Corp. | 7,021 | 309 | |
| Autoliv Inc. | 4,321 | 288 | |
| * | CarMax Inc. | 9,146 | 281 |
| Whirlpool Corp. | 3,699 | 280 | |
| Thomson Reuters Corp. | 9,642 | 279 | |
| Newell Rubbermaid Inc. | 14,128 | 259 | |
| Lear Corp. | 5,059 | 229 | |
| Garmin Ltd. | 4,820 | 227 | |
| * | TRW Automotive Holdings Corp. | 4,957 | 227 |
| Foot Locker Inc. | 7,540 | 220 | |
| PVH Corp. | 2,420 | 206 | |
| Signet Jewelers Ltd. | 4,133 | 194 | |
| DR Horton Inc. | 13,319 | 191 | |
| * | MGM Resorts International | 13,348 | 184 |
| Lennar Corp. Class A | 7,627 | 178 | |
| * | Mohawk Industries Inc. | 2,702 | 172 |
| Gannett Co. Inc. | 11,448 | 170 | |
| * | NVR Inc. | 238 | 165 |
| * | Toll Brothers Inc. | 6,989 | 164 |
| Interpublic Group of Cos. Inc. | 13,741 | 161 | |
| Jarden Corp. | 4,362 | 154 | |
| GameStop Corp. Class A | 6,726 | 153 | |
| * | PulteGroup Inc. | 16,692 | 147 |
| Mattel Inc. | 4,230 | 137 | |
| * | Penn National Gaming Inc. | 3,214 | 137 |
| American Eagle Outfitters Inc. | 9,278 | 135 | |
| *,^ | Sears Holdings Corp. | 1,911 | 133 |
| * | Visteon Corp. | 2,372 | 127 |
| Service Corp. International | 10,657 | 121 | |
| McGraw-Hill Cos. Inc. | 2,367 | 110 | |
| International Game Technology | 6,879 | 103 | |
| H&R Block Inc. | 6,194 | 101 | |
| Washington Post Co. Class B | 246 | 97 | |
| Williams-Sonoma Inc. | 2,486 | 96 | |
| * | Madison Square Garden Co. Class A | 2,979 | 95 |
| Dillard's Inc. Class A | 1,538 | 94 | |
| Kohl's Corp. | 1,878 | 93 | |
| * | Big Lots Inc. | 2,127 | 93 |
| Royal Caribbean Cruises Ltd. | 2,949 | 84 | |
18
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Hyatt Hotels Corp. Class A | 1,959 | 81 |
| Wendy's Co. | 14,788 | 75 |
| DISH Network Corp. Class A | 2,462 | 72 |
| Thor Industries Inc. | 2,072 | 68 |
| * Lamar Advertising Co. Class A | 2,014 | 66 |
| Expedia Inc. | 1,913 | 65 |
| * TripAdvisor Inc. | 1,913 | 62 |
| * DreamWorks Animation SKG Inc. Class A | 3,529 | 61 |
| * WMS Industries Inc. | 2,652 | 58 |
| Harman International Industries Inc. | 1,183 | 58 |
| Choice Hotels International Inc. | 1,298 | 49 |
| Leggett & Platt Inc. | 1,823 | 41 |
| Chico's FAS Inc. | 2,744 | 41 |
| RadioShack Corp. | 4,978 | 35 |
| Regal Entertainment Group Class A | 2,541 | 35 |
| * AutoNation Inc. | 946 | 32 |
| * Education Management Corp. | 1,765 | 32 |
| * Clear Channel Outdoor Holdings Inc. Class A | 2,184 | 29 |
| Aaron's Inc. | 937 | 26 |
| Abercrombie & Fitch Co. | 571 | 26 |
| * Career Education Corp. | 2,883 | 25 |
| DeVry Inc. | 693 | 25 |
| * Federal-Mogul Corp. | 826 | 14 |
| * Groupon Inc. | 390 | 8 |
| Brinker International Inc. | 253 | 7 |
| * Sally Beauty Holdings Inc. | 268 | 6 |
| * Bally Technologies Inc. | 96 | 4 |
| * Dunkin' Brands Group Inc. | 138 | 4 |
| * Pandora Media Inc. | 278 | 4 |
| * HomeAway Inc. | 131 | 3 |
| DSW Inc. Class A | 51 | 3 |
| * Orchard Supply Hardware Stores Corp. Class A | 78 | 2 |
| 30,831 | ||
| Consumer Staples (7.8%) | ||
| Procter & Gamble Co. | 125,484 | 8,473 |
| Kraft Foods Inc. | 79,633 | 3,032 |
| CVS Caremark Corp. | 65,335 | 2,947 |
| Wal-Mart Stores Inc. | 20,490 | 1,211 |
| Archer-Daniels-Midland Co. | 32,515 | 1,014 |
| Lorillard Inc. | 6,496 | 851 |
| Altria Group Inc. | 25,583 | 770 |
| Philip Morris International Inc. | 8,169 | 682 |
| Mead Johnson Nutrition Co. | 8,021 | 624 |
| Reynolds American Inc. | 11,210 | 470 |
| ConAgra Foods Inc. | 17,201 | 452 |
| JM Smucker Co. | 5,585 | 421 |
| Beam Inc. | 7,434 | 409 |
| Clorox Co. | 6,052 | 409 |
| Safeway Inc. | 17,080 | 366 |
| Bunge Ltd. | 5,296 | 357 |
| HJ Heinz Co. | 6,471 | 341 |
| General Mills Inc. | 7,606 | 291 |
| Molson Coors Brewing Co. Class B | 6,507 | 286 |
| Tyson Foods Inc. Class A | 14,594 | 276 |
| * Energizer Holdings Inc. | 3,161 | 242 |
| Colgate-Palmolive Co. | 2,335 | 218 |
| * Ralcorp Holdings Inc. | 2,621 | 196 |
| * Smithfield Foods Inc. | 7,907 | 185 |
| * Constellation Brands Inc. Class A | 8,167 | 178 |
| Kimberly-Clark Corp. | 2,319 | 169 |
| Kroger Co. | 6,831 | 162 |
| Church & Dwight Co. Inc. | 2,863 | 137 |
| * Dean Foods Co. | 9,039 | 111 |
| Hershey Co. | 1,825 | 111 |
19
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| McCormick & Co. Inc. | 2,015 | 102 |
| Sara Lee Corp. | 4,909 | 99 |
| Coca-Cola Enterprises Inc. | 3,405 | 98 |
| Hormel Foods Corp. | 3,178 | 90 |
| Walgreen Co. | 2,534 | 84 |
| Campbell Soup Co. | 2,132 | 71 |
| SUPERVALU Inc. | 10,486 | 68 |
| Brown-Forman Corp. Class B | 702 | 57 |
| Kellogg Co. | 816 | 43 |
| * Post Holdings Inc. | 1,310 | 41 |
| Corn Products International Inc. | 685 | 39 |
| 26,183 | ||
| Energy (12.4%) | ||
| Chevron Corp. | 91,340 | 9,967 |
| Exxon Mobil Corp. | 62,188 | 5,379 |
| ConocoPhillips | 63,976 | 4,897 |
| Occidental Petroleum Corp. | 27,888 | 2,911 |
| Anadarko Petroleum Corp. | 20,354 | 1,712 |
| National Oilwell Varco Inc. | 20,415 | 1,685 |
| Devon Energy Corp. | 20,352 | 1,492 |
| Apache Corp. | 13,136 | 1,418 |
| Marathon Oil Corp. | 34,383 | 1,165 |
| Spectra Energy Corp. | 31,269 | 981 |
| Hess Corp. | 14,615 | 949 |
| Williams Cos. Inc. | 28,303 | 846 |
| Chesapeake Energy Corp. | 31,642 | 791 |
| Marathon Petroleum Corp. | 17,102 | 711 |
| Valero Energy Corp. | 27,390 | 671 |
| Noble Energy Inc. | 6,815 | 665 |
| Baker Hughes Inc. | 12,559 | 631 |
| Murphy Oil Corp. | 7,886 | 504 |
| * Nabors Industries Ltd. | 13,948 | 304 |
| * Plains Exploration & Production Co. | 6,831 | 301 |
| Southern Union Co. | 6,054 | 266 |
| Cimarex Energy Co. | 3,021 | 244 |
| EQT Corp. | 3,982 | 211 |
| Sunoco Inc. | 5,143 | 199 |
| * Rowan Cos. Inc. | 5,067 | 187 |
| Energen Corp. | 3,431 | 183 |
| * Tesoro Corp. | 6,845 | 182 |
| * Cameron International Corp. | 3,068 | 171 |
| * WPX Energy Inc. | 9,375 | 170 |
| Tidewater Inc. | 2,375 | 141 |
| Patterson-UTI Energy Inc. | 6,517 | 127 |
| Diamond Offshore Drilling Inc. | 1,785 | 122 |
| Arch Coal Inc. | 8,979 | 122 |
| Pioneer Natural Resources Co. | 1,086 | 119 |
| * SEACOR Holdings Inc. | 1,066 | 105 |
| * Newfield Exploration Co. | 2,797 | 101 |
| * Unit Corp. | 2,062 | 98 |
| * Atwood Oceanics Inc. | 1,997 | 95 |
| ^ Kinder Morgan Inc. | 2,675 | 94 |
| * Alpha Natural Resources Inc. | 4,879 | 91 |
| QEP Resources Inc. | 1,920 | 66 |
| * Denbury Resources Inc. | 3,133 | 62 |
| El Paso Corp. | 2,129 | 59 |
| Teekay Corp. | 1,970 | 57 |
| SM Energy Co. | 583 | 46 |
| * Oil States International Inc. | 419 | 34 |
| * Quicksilver Resources Inc. | 5,594 | 31 |
| Helmerich & Payne Inc. | 323 | 20 |
| * McDermott International Inc. | 1,328 | 17 |
| * Cobalt International Energy Inc. | 515 | 15 |
| * Forest Oil Corp. | 1,062 | 14 |
20
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| EXCO Resources Inc. | 477 | 3 |
| * Kosmos Energy Ltd. | 169 | 2 |
| 41,434 | ||
| Financials (25.7%) | ||
| JPMorgan Chase & Co. | 191,467 | 7,513 |
| Wells Fargo & Co. | 220,419 | 6,897 |
| * Berkshire Hathaway Inc. Class B | 84,348 | 6,617 |
| Citigroup Inc. | 140,022 | 4,666 |
| Bank of America Corp. | 488,244 | 3,891 |
| Goldman Sachs Group Inc. | 24,947 | 2,872 |
| US Bancorp | 92,834 | 2,729 |
| MetLife Inc. | 39,546 | 1,524 |
| PNC Financial Services Group Inc. | 25,333 | 1,508 |
| Prudential Financial Inc. | 23,385 | 1,430 |
| Morgan Stanley | 74,317 | 1,378 |
| Bank of New York Mellon Corp. | 59,742 | 1,321 |
| Capital One Financial Corp. | 24,015 | 1,215 |
| ACE Ltd. | 16,278 | 1,167 |
| Travelers Cos. Inc. | 18,911 | 1,096 |
| Aflac Inc. | 22,489 | 1,063 |
| American Express Co. | 19,962 | 1,056 |
| State Street Corp. | 24,243 | 1,024 |
| BB&T Corp. | 33,529 | 981 |
| CME Group Inc. | 3,232 | 936 |
| Chubb Corp. | 13,110 | 891 |
| Marsh & McLennan Cos. Inc. | 26,430 | 825 |
| Allstate Corp. | 25,161 | 791 |
| HCP Inc. | 19,577 | 773 |
| Annaly Capital Management Inc. | 45,757 | 760 |
| Equity Residential | 13,142 | 748 |
| ProLogis Inc. | 22,172 | 746 |
| Aon Corp. | 15,904 | 744 |
| Discover Financial Services | 23,607 | 708 |
| Vornado Realty Trust | 7,872 | 643 |
| Progressive Corp. | 29,810 | 639 |
| * American International Group Inc. | 21,248 | 621 |
| Ameriprise Financial Inc. | 10,871 | 606 |
| Fifth Third Bancorp | 44,131 | 601 |
| Loews Corp. | 15,216 | 596 |
| SunTrust Banks Inc. | 25,804 | 592 |
| AvalonBay Communities Inc. | 4,514 | 585 |
| Health Care REIT Inc. | 10,247 | 558 |
| Invesco Ltd. | 22,232 | 551 |
| Host Hotels & Resorts Inc. | 32,992 | 521 |
| M&T Bank Corp. | 6,036 | 493 |
| Northern Trust Corp. | 10,459 | 464 |
| Hartford Financial Services Group Inc. | 21,487 | 445 |
| General Growth Properties Inc. | 27,150 | 442 |
| BlackRock Inc. | 2,086 | 415 |
| Principal Financial Group Inc. | 14,710 | 407 |
| SLM Corp. | 25,442 | 401 |
| * CIT Group Inc. | 9,678 | 394 |
| Weyerhaeuser Co. | 18,454 | 386 |
| Lincoln National Corp. | 15,158 | 377 |
| KeyCorp | 45,906 | 372 |
| Kimco Realty Corp. | 19,648 | 361 |
| Simon Property Group Inc. | 2,592 | 351 |
| Regions Financial Corp. | 60,790 | 350 |
| American Capital Agency Corp. | 10,845 | 333 |
| SL Green Realty Corp. | 4,301 | 327 |
| Unum Group | 14,140 | 326 |
| XL Group plc Class A | 14,991 | 312 |
| Comerica Inc. | 9,733 | 289 |
| New York Community Bancorp Inc. | 21,042 | 274 |
21
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Leucadia National Corp. | 9,580 | 273 |
| Ventas Inc. | 4,830 | 270 |
| NYSE Euronext | 8,704 | 259 |
| Cincinnati Financial Corp. | 7,038 | 248 |
| Torchmark Corp. | 5,056 | 245 |
| Huntington Bancshares Inc. | 41,540 | 243 |
| UDR Inc. | 9,658 | 242 |
| Realty Income Corp. | 6,409 | 236 |
| * Arch Capital Group Ltd. | 6,349 | 235 |
| Macerich Co. | 4,094 | 221 |
| * Genworth Financial Inc. Class A | 23,915 | 217 |
| Alexandria Real Estate Equities Inc. | 3,011 | 216 |
| PartnerRe Ltd. | 3,293 | 209 |
| Reinsurance Group of America Inc. Class A | 3,519 | 203 |
| Assurant Inc. | 4,595 | 195 |
| WR Berkley Corp. | 5,441 | 195 |
| * Markel Corp. | 475 | 194 |
| Everest Re Group Ltd. | 2,187 | 192 |
| Axis Capital Holdings Ltd. | 6,162 | 190 |
| Raymond James Financial Inc. | 5,271 | 186 |
| Liberty Property Trust | 5,482 | 186 |
| Taubman Centers Inc. | 2,660 | 184 |
| People's United Financial Inc. | 14,575 | 183 |
| Fidelity National Financial Inc. Class A | 10,629 | 183 |
| Regency Centers Corp. | 4,280 | 183 |
| Legg Mason Inc. | 6,654 | 182 |
| Arthur J Gallagher & Co. | 5,260 | 179 |
| RenaissanceRe Holdings Ltd. | 2,463 | 177 |
| Ares Capital Corp. | 10,625 | 177 |
| BRE Properties Inc. | 3,552 | 172 |
| Duke Realty Corp. | 12,028 | 167 |
| Zions Bancorporation | 8,742 | 166 |
| Senior Housing Properties Trust | 7,743 | 166 |
| Transatlantic Holdings Inc. | 2,732 | 166 |
| White Mountains Insurance Group Ltd. | 327 | 162 |
| First Niagara Financial Group Inc. | 16,561 | 158 |
| East West Bancorp Inc. | 7,076 | 157 |
| DDR Corp. | 10,992 | 155 |
| HCC Insurance Holdings Inc. | 5,070 | 155 |
| Assured Guaranty Ltd. | 8,994 | 151 |
| Chimera Investment Corp. | 48,876 | 150 |
| Hospitality Properties Trust | 5,872 | 145 |
| Piedmont Office Realty Trust Inc. Class A | 8,224 | 145 |
| Cullen/Frost Bankers Inc. | 2,535 | 143 |
| Commerce Bancshares Inc. | 3,696 | 143 |
| Weingarten Realty Investors | 5,730 | 143 |
| * American Capital Ltd. | 15,833 | 141 |
| Douglas Emmett Inc. | 6,664 | 140 |
| Hudson City Bancorp Inc. | 20,195 | 138 |
| American Financial Group Inc. | 3,656 | 137 |
| * NASDAQ OMX Group Inc. | 5,155 | 136 |
| Old Republic International Corp. | 12,271 | 133 |
| Brown & Brown Inc. | 5,518 | 130 |
| Boston Properties Inc. | 1,235 | 125 |
| Plum Creek Timber Co. Inc. | 3,162 | 124 |
| Mack-Cali Realty Corp. | 4,278 | 122 |
| First Horizon National Corp. | 12,928 | 122 |
| Allied World Assurance Co. Holdings AG | 1,825 | 120 |
| Protective Life Corp. | 4,214 | 117 |
| * E*Trade Financial Corp. | 11,838 | 114 |
| Associated Banc-Corp | 8,521 | 113 |
| Jefferies Group Inc. | 6,655 | 111 |
| Valley National Bancorp | 8,845 | 111 |
| Bank of Hawaii Corp. | 2,350 | 108 |
22
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| City National Corp. | 2,292 | 108 |
| Alleghany Corp. | 327 | 106 |
| * First Republic Bank | 3,462 | 104 |
| Validus Holdings Ltd. | 3,278 | 100 |
| * Forest City Enterprises Inc. Class A | 6,784 | 99 |
| Essex Property Trust Inc. | 693 | 97 |
| Capitol Federal Financial Inc. | 8,256 | 97 |
| * Popular Inc. | 50,581 | 96 |
| Fulton Financial Corp. | 9,805 | 96 |
| Aspen Insurance Holdings Ltd. | 3,487 | 93 |
| Hanover Insurance Group Inc. | 2,247 | 92 |
| Washington Federal Inc. | 5,500 | 89 |
| StanCorp Financial Group Inc. | 2,235 | 89 |
| TCF Financial Corp. | 7,858 | 85 |
| CapitalSource Inc. | 12,322 | 83 |
| * MBIA Inc. | 7,307 | 79 |
| * Affiliated Managers Group Inc. | 735 | 78 |
| Synovus Financial Corp. | 36,788 | 78 |
| Endurance Specialty Holdings Ltd. | 2,002 | 77 |
| Janus Capital Group Inc. | 8,712 | 77 |
| CommonWealth REIT | 3,912 | 73 |
| Federal Realty Investment Trust | 752 | 72 |
| Kemper Corp. | 2,472 | 71 |
| Brandywine Realty Trust | 6,318 | 68 |
| BOK Financial Corp. | 1,265 | 68 |
| Camden Property Trust | 1,055 | 65 |
| * Howard Hughes Corp. | 1,061 | 59 |
| Corporate Office Properties Trust | 2,249 | 55 |
| Mercury General Corp. | 1,246 | 53 |
| Public Storage | 389 | 52 |
| * St. Joe Co. | 3,216 | 52 |
| Apartment Investment & Management Co. | 1,937 | 48 |
| First Citizens BancShares Inc. Class A | 268 | 47 |
| Jones Lang LaSalle Inc. | 480 | 39 |
| BankUnited Inc. | 1,647 | 38 |
| CNA Financial Corp. | 1,269 | 36 |
| * TFS Financial Corp. | 3,795 | 35 |
| Interactive Brokers Group Inc. | 1,926 | 31 |
| American National Insurance Co. | 365 | 26 |
| Federated Investors Inc. Class B | 724 | 15 |
| * Rouse Properties Inc. | 1,006 | 15 |
| * LPL Investment Holdings Inc. | 205 | 7 |
| 85,739 | ||
| Health Care (12.2%) | ||
| Pfizer Inc. | 380,706 | 8,033 |
| Johnson & Johnson | 105,135 | 6,842 |
| Merck & Co. Inc. | 148,724 | 5,677 |
| UnitedHealth Group Inc. | 52,205 | 2,910 |
| Bristol-Myers Squibb Co. | 82,201 | 2,644 |
| Amgen Inc. | 38,372 | 2,607 |
| Eli Lilly & Co. | 32,903 | 1,291 |
| WellPoint Inc. | 16,792 | 1,102 |
| * Thermo Fisher Scientific Inc. | 18,448 | 1,045 |
| Aetna Inc. | 18,291 | 855 |
| Humana Inc. | 8,132 | 708 |
| Cigna Corp. | 13,708 | 605 |
| Covidien plc | 11,109 | 580 |
| * Zimmer Holdings Inc. | 8,621 | 524 |
| * Boston Scientific Corp. | 69,827 | 434 |
| * Forest Laboratories Inc. | 12,875 | 419 |
| * Life Technologies Corp. | 7,873 | 372 |
| Cardinal Health Inc. | 8,463 | 352 |
| Medtronic Inc. | 7,106 | 271 |
23
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Hologic Inc. | 12,692 | 263 |
| Abbott Laboratories | 4,562 | 258 |
| * Coventry Health Care Inc. | 7,213 | 236 |
| Omnicare Inc. | 5,520 | 194 |
| * CareFusion Corp. | 7,308 | 189 |
| * QIAGEN NV | 11,126 | 170 |
| Baxter International Inc. | 2,715 | 158 |
| DENTSPLY International Inc. | 3,968 | 154 |
| * Health Net Inc. | 4,064 | 153 |
| * Henry Schein Inc. | 2,067 | 153 |
| PerkinElmer Inc. | 5,523 | 149 |
| Cooper Cos. Inc. | 1,658 | 132 |
| * Community Health Systems Inc. | 4,694 | 119 |
| * Tenet Healthcare Corp. | 20,210 | 114 |
| Teleflex Inc. | 1,906 | 113 |
| * Alere Inc. | 4,210 | 107 |
| * Bio-Rad Laboratories Inc. Class A | 975 | 99 |
| * VCA Antech Inc. | 4,271 | 94 |
| * LifePoint Hospitals Inc. | 2,378 | 93 |
| Patterson Cos. Inc. | 2,774 | 89 |
| HCA Holdings Inc. | 2,023 | 54 |
| * Mylan Inc. | 2,106 | 49 |
| * AMERIGROUP Corp. | 679 | 46 |
| * Hospira Inc. | 1,248 | 44 |
| * Vertex Pharmaceuticals Inc. | 1,131 | 44 |
| Quest Diagnostics Inc. | 604 | 35 |
| * Allscripts Healthcare Solutions Inc. | 1,736 | 34 |
| * Watson Pharmaceuticals Inc. | 387 | 23 |
| * Warner Chilcott plc Class A | 888 | 15 |
| * Brookdale Senior Living Inc. Class A | 760 | 14 |
| Hill-Rom Holdings Inc. | 229 | 8 |
| 40,674 | ||
| Industrials (9.3%) | ||
| General Electric Co. | 511,010 | 9,735 |
| Union Pacific Corp. | 19,799 | 2,183 |
| FedEx Corp. | 14,307 | 1,288 |
| General Dynamics Corp. | 16,034 | 1,174 |
| Tyco International Ltd. | 22,634 | 1,173 |
| Norfolk Southern Corp. | 15,883 | 1,094 |
| Raytheon Co. | 17,162 | 867 |
| Waste Management Inc. | 22,815 | 798 |
| Northrop Grumman Corp. | 12,571 | 752 |
| Stanley Black & Decker Inc. | 8,077 | 620 |
| Eaton Corp. | 10,190 | 532 |
| Republic Services Inc. Class A | 15,453 | 461 |
| Goodrich Corp. | 3,555 | 448 |
| Parker Hannifin Corp. | 4,295 | 386 |
| 3M Co. | 4,016 | 352 |
| Textron Inc. | 12,603 | 347 |
| L-3 Communications Holdings Inc. | 4,826 | 339 |
| Boeing Co. | 4,039 | 303 |
| * Jacobs Engineering Group Inc. | 6,148 | 284 |
| Southwest Airlines Co. | 31,580 | 284 |
| KBR Inc. | 6,818 | 248 |
| Equifax Inc. | 5,608 | 236 |
| * AGCO Corp. | 4,562 | 236 |
| Xylem Inc. | 8,858 | 230 |
| Hubbell Inc. Class B | 2,936 | 221 |
| * Quanta Services Inc. | 10,502 | 220 |
| Cintas Corp. | 5,374 | 207 |
| United Technologies Corp. | 2,352 | 197 |
| * Owens Corning | 5,942 | 188 |
| Pentair Inc. | 4,685 | 180 |
| Manpower Inc. | 3,912 | 169 |
24
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Cooper Industries plc | 2,719 | 166 |
| * URS Corp. | 3,739 | 163 |
| Kennametal Inc. | 3,535 | 163 |
| Pitney Bowes Inc. | 8,716 | 158 |
| * Delta Air Lines Inc. | 16,067 | 158 |
| Avery Dennison Corp. | 4,767 | 145 |
| * Fortune Brands Home & Security Inc. | 7,418 | 143 |
| Snap-on Inc. | 2,337 | 143 |
| Lockheed Martin Corp. | 1,599 | 141 |
| * Thomas & Betts Corp. | 1,937 | 140 |
| Towers Watson & Co. Class A | 2,165 | 138 |
| * Terex Corp. | 5,379 | 137 |
| Carlisle Cos. Inc. | 2,759 | 135 |
| Trinity Industries Inc. | 3,844 | 134 |
| SPX Corp. | 1,813 | 133 |
| Dover Corp. | 2,035 | 130 |
| Ryder System Inc. | 2,436 | 130 |
| Regal-Beloit Corp. | 1,891 | 128 |
| Ingersoll-Rand plc | 3,175 | 127 |
| RR Donnelley & Sons Co. | 8,918 | 123 |
| * Corrections Corp. of America | 4,788 | 120 |
| Crane Co. | 2,398 | 116 |
| ITT Corp. | 4,541 | 113 |
| * Spirit Aerosystems Holdings Inc. Class A | 4,582 | 110 |
| * Oshkosh Corp. | 4,383 | 102 |
| GATX Corp. | 2,285 | 99 |
| Exelis Inc. | 9,097 | 96 |
| Alexander & Baldwin Inc. | 2,056 | 95 |
| Chicago Bridge & Iron Co. NV | 2,029 | 94 |
| * Kansas City Southern | 1,352 | 94 |
| Alliant Techsystems Inc. | 1,548 | 93 |
| * Shaw Group Inc. | 3,124 | 90 |
| * Huntington Ingalls Industries Inc. | 2,414 | 87 |
| Covanta Holding Corp. | 5,272 | 86 |
| Harsco Corp. | 3,655 | 81 |
| Illinois Tool Works Inc. | 1,456 | 81 |
| * GrafTech International Ltd. | 5,998 | 76 |
| * AECOM Technology Corp. | 3,251 | 76 |
| Lincoln Electric Holdings Inc. | 1,621 | 75 |
| Con-way Inc. | 2,480 | 73 |
| * WESCO International Inc. | 1,133 | 71 |
| * Navistar International Corp. | 1,638 | 68 |
| * CNH Global NV | 1,308 | 56 |
| * Kirby Corp. | 773 | 53 |
| * United Continental Holdings Inc. | 2,443 | 50 |
| * Armstrong World Industries Inc. | 913 | 47 |
| * Air Lease Corp. | 1,602 | 39 |
| * Verisk Analytics Inc. Class A | 904 | 39 |
| * General Cable Corp. | 1,197 | 37 |
| Timken Co. | 623 | 33 |
| Flowserve Corp. | 242 | 29 |
| Copa Holdings SA Class A | 384 | 28 |
| Waste Connections Inc. | 763 | 25 |
| IDEX Corp. | 466 | 19 |
| * KAR Auction Services Inc. | 1,113 | 18 |
| * Nielsen Holdings NV | 603 | 18 |
| * BE Aerospace Inc. | 313 | 14 |
| UTi Worldwide Inc. | 379 | 6 |
| 31,094 | ||
| Information Technology (9.1%) | ||
| Intel Corp. | 255,470 | 6,867 |
| Cisco Systems Inc. | 265,020 | 5,269 |
| Hewlett-Packard Co. | 95,741 | 2,423 |
| Visa Inc. Class A | 17,064 | 1,986 |
25
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Corning Inc. | 75,498 | 984 |
| * Yahoo! Inc. | 62,670 | 929 |
| * eBay Inc. | 25,175 | 900 |
| Applied Materials Inc. | 59,684 | 731 |
| Texas Instruments Inc. | 20,350 | 679 |
| Motorola Solutions Inc. | 13,554 | 675 |
| * SanDisk Corp. | 11,451 | 566 |
| Xerox Corp. | 67,323 | 554 |
| CA Inc. | 18,461 | 499 |
| * Motorola Mobility Holdings Inc. | 12,544 | 498 |
| * Western Digital Corp. | 11,199 | 440 |
| Fidelity National Information Services Inc. | 12,667 | 402 |
| * Marvell Technology Group Ltd. | 24,504 | 368 |
| * Dell Inc. | 20,894 | 361 |
| * Micron Technology Inc. | 41,953 | 359 |
| * Amdocs Ltd. | 8,405 | 258 |
| * Avnet Inc. | 6,978 | 249 |
| Activision Blizzard Inc. | 20,368 | 243 |
| Computer Sciences Corp. | 7,462 | 237 |
| * Synopsys Inc. | 6,502 | 198 |
| * Arrow Electronics Inc. | 4,724 | 190 |
| Harris Corp. | 4,127 | 180 |
| Molex Inc. | 6,435 | 174 |
| Total System Services Inc. | 7,714 | 169 |
| * LSI Corp. | 19,485 | 168 |
| IAC/InterActiveCorp | 3,621 | 165 |
| * Novellus Systems Inc. | 3,312 | 154 |
| * Cree Inc. | 5,032 | 152 |
| * Ingram Micro Inc. | 7,659 | 146 |
| * Teradyne Inc. | 8,922 | 146 |
| Lexmark International Inc. Class A | 3,566 | 131 |
| * Brocade Communications Systems Inc. | 22,361 | 129 |
| Diebold Inc. | 3,217 | 126 |
| * SAIC Inc. | 9,246 | 113 |
| * Tech Data Corp. | 2,089 | 112 |
| * Fiserv Inc. | 1,412 | 94 |
| * Fairchild Semiconductor International Inc. Class A | 6,306 | 92 |
| KLA-Tencor Corp. | 1,876 | 91 |
| * Itron Inc. | 2,006 | 89 |
| * Vishay Intertechnology Inc. | 7,137 | 87 |
| * AOL Inc. | 4,820 | 87 |
| * PMC - Sierra Inc. | 10,877 | 75 |
| * International Rectifier Corp. | 3,257 | 73 |
| DST Systems Inc. | 1,352 | 72 |
| Tellabs Inc. | 17,952 | 71 |
| * CoreLogic Inc. | 4,515 | 69 |
| * EchoStar Corp. Class A | 1,886 | 57 |
| * Monster Worldwide Inc. | 6,111 | 42 |
| Jabil Circuit Inc. | 1,633 | 42 |
| Paychex Inc. | 1,181 | 37 |
| * NCR Corp. | 1,679 | 36 |
| * SunPower Corp. Class A | 4,474 | 34 |
| Intersil Corp. Class A | 2,961 | 33 |
| AVX Corp. | 2,352 | 31 |
| * Compuware Corp. | 3,128 | 28 |
| * Akamai Technologies Inc. | 773 | 28 |
| * Genpact Ltd. | 1,235 | 20 |
| * MEMC Electronic Materials Inc. | 5,019 | 20 |
| * QLogic Corp. | 1,084 | 19 |
| * Freescale Semiconductor Holdings I Ltd. | 933 | 15 |
| * Atmel Corp. | 1,446 | 15 |
| * Fusion-io Inc. | 414 | 11 |
| Booz Allen Hamilton Holding Corp. | 467 | 9 |
| * Silicon Laboratories Inc. | 175 | 8 |
26
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Broadridge Financial Solutions Inc. | 264 | 6 |
| 30,321 | ||
| Materials (2.7%) | ||
| Dow Chemical Co. | 56,652 | 1,898 |
| Newmont Mining Corp. | 23,400 | 1,390 |
| Nucor Corp. | 15,173 | 661 |
| LyondellBasell Industries NV Class A | 14,023 | 606 |
| International Paper Co. | 16,560 | 582 |
| Alcoa Inc. | 51,158 | 520 |
| Vulcan Materials Co. | 6,254 | 279 |
| MeadWestvaco Corp. | 8,165 | 247 |
| Ashland Inc. | 3,808 | 242 |
| * Owens-Illinois Inc. | 7,809 | 187 |
| United States Steel Corp. | 6,845 | 186 |
| Valspar Corp. | 3,987 | 185 |
| Sealed Air Corp. | 9,139 | 179 |
| Aptargroup Inc. | 3,200 | 169 |
| Domtar Corp. | 1,736 | 166 |
| Reliance Steel & Aluminum Co. | 3,046 | 164 |
| Bemis Co. Inc. | 5,014 | 157 |
| Sonoco Products Co. | 4,746 | 156 |
| RPM International Inc. | 6,209 | 148 |
| Cytec Industries Inc. | 2,407 | 143 |
| Cabot Corp. | 3,216 | 130 |
| Huntsman Corp. | 7,676 | 105 |
| Martin Marietta Materials Inc. | 1,194 | 103 |
| CF Industries Holdings Inc. | 534 | 99 |
| Greif Inc. Class A | 1,888 | 97 |
| Commercial Metals Co. | 5,705 | 76 |
| Westlake Chemical Corp. | 749 | 45 |
| Steel Dynamics Inc. | 2,703 | 40 |
| AK Steel Holding Corp. | 4,490 | 36 |
| Schnitzer Steel Industries Inc. | 741 | 33 |
| Titanium Metals Corp. | 1,907 | 28 |
| * WR Grace & Co. | 397 | 23 |
| Packaging Corp. of America | 575 | 17 |
| Scotts Miracle-Gro Co. Class A | 235 | 11 |
| * Rockwood Holdings Inc. | 138 | 7 |
| 9,115 | ||
| Telecommunication Services (4.5%) | ||
| AT&T Inc. | 285,344 | 8,729 |
| Verizon Communications Inc. | 105,509 | 4,021 |
| CenturyLink Inc. | 29,519 | 1,188 |
| * Sprint Nextel Corp. | 144,754 | 358 |
| Frontier Communications Corp. | 48,468 | 222 |
| * Level 3 Communications Inc. | 6,533 | 159 |
| Windstream Corp. | 11,594 | 140 |
| * Telephone & Data Systems Inc. | 4,816 | 122 |
| * United States Cellular Corp. | 706 | 30 |
| * tw telecom inc Class A | 987 | 21 |
| * NII Holdings Inc. | 1,067 | 19 |
| * Clearwire Corp. Class A | 797 | 2 |
| 15,011 | ||
| Utilities (7.0%) | ||
| Southern Co. | 40,938 | 1,809 |
| Dominion Resources Inc. | 27,703 | 1,398 |
| Duke Energy Corp. | 64,054 | 1,340 |
| Exelon Corp. | 31,869 | 1,245 |
| NextEra Energy Inc. | 20,302 | 1,208 |
| FirstEnergy Corp. | 20,142 | 892 |
| American Electric Power Co. Inc. | 23,187 | 872 |
| Consolidated Edison Inc. | 14,097 | 819 |
| PG&E Corp. | 19,147 | 798 |
27
| Vanguard® Russell 1000 Value Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2012 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| PPL Corp. | 27,830 | 795 | |||
| Progress Energy Inc. | 14,171 | 752 | |||
| Public Service Enterprise Group Inc. | 24,341 | 749 | |||
| Sempra Energy | 11,579 | 686 | |||
| Edison International | 15,754 | 660 | |||
| Xcel Energy Inc. | 23,239 | 616 | |||
| Entergy Corp. | 8,543 | 569 | |||
| DTE Energy Co. | 8,157 | 441 | |||
| * | AES Corp. | 31,666 | 429 | ||
| CenterPoint Energy Inc. | 20,527 | 400 | |||
| ONEOK Inc. | 4,775 | 395 | |||
| Wisconsin Energy Corp. | 11,275 | 384 | |||
| Ameren Corp. | 11,640 | 373 | |||
| Constellation Energy Group Inc. | 9,005 | 327 | |||
| NiSource Inc. | 13,530 | 325 | |||
| Northeast Utilities | 8,559 | 307 | |||
| American Water Works Co. Inc. | 8,498 | 291 | |||
| * | Calpine Corp. | 18,591 | 285 | ||
| CMS Energy Corp. | 12,247 | 262 | |||
| SCANA Corp. | 5,543 | 250 | |||
| OGE Energy Corp. | 4,711 | 247 | |||
| Pinnacle West Capital Corp. | 5,246 | 247 | |||
| NSTAR | 5,041 | 237 | |||
| Alliant Energy Corp. | 5,399 | 230 | |||
| AGL Resources Inc. | 5,669 | 226 | |||
| Pepco Holdings Inc. | 11,005 | 214 | |||
| * | NRG Energy Inc. | 11,479 | 196 | ||
| MDU Resources Group Inc. | 8,988 | 195 | |||
| Integrys Energy Group Inc. | 3,728 | 194 | |||
| TECO Energy Inc. | 10,234 | 184 | |||
| NV Energy Inc. | 11,230 | 176 | |||
| National Fuel Gas Co. | 3,361 | 169 | |||
| Questar Corp. | 8,449 | 162 | |||
| UGI Corp. | 5,315 | 150 | |||
| Westar Energy Inc. | 5,413 | 149 | |||
| Atmos Energy Corp. | 4,300 | 132 | |||
| Aqua America Inc. | 5,891 | 131 | |||
| Great Plains Energy Inc. | 6,473 | 128 | |||
| Hawaiian Electric Industries Inc. | 4,514 | 113 | |||
| Vectren Corp. | 3,864 | 113 | |||
| * | GenOn Energy Inc. | 37,966 | 93 | ||
| 23,363 | |||||
| Total Common Stocks (Cost $309,227) | 333,765 | ||||
| Coupon | |||||
| Temporary Cash Investments (0.1%)1 | |||||
| Money Market Fund (0.0%) | |||||
| 2,3 | Vanguard Market Liquidity Fund | 0.111% | 185,801 | 186 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.1%) | |||||
| 4,5 | Fannie Mae Discount Notes | 0.040% | 4/24/12 | 100 | 100 |
| 4 | Freddie Mac Discount Notes | 0.050% | 4/24/12 | 100 | 100 |
| 200 | |||||
| Total Temporary Cash Investments (Cost $386) | 386 | ||||
28
| Vanguard® Russell 1000 Value Index Fund | |
| Schedule of Investments | |
| February 29, 2012 | |
| Total Investments (100.0%) (Cost $309,613) | 334,151 |
| Other Assets and Liabilities—Net (0.0%)3 | 98 |
| Net Assets (100%) | 334,249 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $182,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $186,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
29
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Consumer Discretionary (14.2%) | ||
| McDonald's Corp. | 71,244 | 7,073 |
| * Amazon.com Inc. | 24,956 | 4,484 |
| Home Depot Inc. | 66,167 | 3,148 |
| NIKE Inc. Class B | 24,515 | 2,646 |
| Starbucks Corp. | 51,471 | 2,499 |
| Comcast Corp. Class A | 82,565 | 2,426 |
| * DIRECTV Class A | 48,448 | 2,244 |
| * priceline.com Inc. | 3,410 | 2,138 |
| Yum! Brands Inc. | 31,969 | 2,118 |
| TJX Cos. Inc. | 53,045 | 1,942 |
| Viacom Inc. Class B | 37,948 | 1,807 |
| Ford Motor Co. | 143,650 | 1,778 |
| Time Warner Cable Inc. | 21,934 | 1,740 |
| Coach Inc. | 20,186 | 1,511 |
| * Las Vegas Sands Corp. | 26,966 | 1,500 |
| * Bed Bath & Beyond Inc. | 17,071 | 1,020 |
| * Liberty Global Inc. Class A | 18,993 | 953 |
| Omnicom Group Inc. | 19,264 | 952 |
| Ross Stores Inc. | 16,105 | 859 |
| * Discovery Communications Inc. Class A | 18,109 | 845 |
| * Chipotle Mexican Grill Inc. Class A | 2,133 | 832 |
| Limited Brands Inc. | 17,090 | 795 |
| * O'Reilly Automotive Inc. | 8,794 | 761 |
| Harley-Davidson Inc. | 16,191 | 754 |
| Ralph Lauren Corp. Class A | 4,321 | 751 |
| * Dollar Tree Inc. | 8,379 | 742 |
| Kohl's Corp. | 14,692 | 730 |
| McGraw-Hill Cos. Inc. | 15,677 | 730 |
| Starwood Hotels & Resorts Worldwide Inc. | 13,368 | 720 |
| * AutoZone Inc. | 1,743 | 653 |
| Marriott International Inc. Class A | 17,868 | 630 |
| * BorgWarner Inc. | 7,545 | 625 |
| * Sirius XM Radio Inc. | 271,928 | 615 |
| Mattel Inc. | 17,802 | 577 |
| Tiffany & Co. | 8,805 | 572 |
| Nordstrom Inc. | 10,555 | 566 |
| Wynn Resorts Ltd. | 4,374 | 518 |
| Virgin Media Inc. | 19,118 | 482 |
| Family Dollar Stores Inc. | 8,368 | 452 |
| Darden Restaurants Inc. | 8,810 | 449 |
| * Fossil Inc. | 3,605 | 440 |
| PetSmart Inc. | 7,784 | 434 |
| Advance Auto Parts Inc. | 5,069 | 433 |
| Tractor Supply Co. | 4,959 | 424 |
| * Netflix Inc. | 3,790 | 420 |
| Johnson Controls Inc. | 11,800 | 385 |
| Thomson Reuters Corp. | 12,166 | 353 |
| * Tempur-Pedic International Inc. | 4,372 | 345 |
| * Apollo Group Inc. Class A | 7,644 | 326 |
| * LKQ Corp. | 9,997 | 318 |
| * Panera Bread Co. Class A | 1,989 | 307 |
| DISH Network Corp. Class A | 10,243 | 299 |
| Polaris Industries Inc. | 4,412 | 291 |
| Dick's Sporting Goods Inc. | 6,426 | 288 |
| * Dollar General Corp. | 6,755 | 284 |
| Hasbro Inc. | 7,862 | 278 |
| Scripps Networks Interactive Inc. Class A | 6,065 | 274 |
| * Ulta Salon Cosmetics & Fragrance Inc. | 3,102 | 258 |
| Tupperware Brands Corp. | 3,924 | 246 |
| * Charter Communications Inc. Class A | 3,736 | 237 |
| Abercrombie & Fitch Co. | 5,172 | 237 |
30
| Vanguard® Russell 1000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2012 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Gentex Corp. | 9,751 | 231 | |
| * | Under Armour Inc. Class A | 2,501 | 223 |
| * | Goodyear Tire & Rubber Co. | 16,714 | 215 |
| CBS Corp. Class B | 7,113 | 213 | |
| Cablevision Systems Corp. Class A | 14,891 | 212 | |
| * | Urban Outfitters Inc. | 7,460 | 212 |
| H&R Block Inc. | 12,316 | 201 | |
| * | Deckers Outdoor Corp. | 2,650 | 198 |
| * | Hanesbrands Inc. | 6,657 | 191 |
| Genuine Parts Co. | 2,956 | 185 | |
| * | AMC Networks Inc. Class A | 3,756 | 170 |
| Leggett & Platt Inc. | 7,418 | 168 | |
| International Game Technology | 10,642 | 160 | |
| Harman International Industries Inc. | 3,199 | 157 | |
| Weight Watchers International Inc. | 2,009 | 157 | |
| Guess? Inc. | 4,496 | 156 | |
| Royal Caribbean Cruises Ltd. | 5,207 | 148 | |
| Williams-Sonoma Inc. | 3,801 | 147 | |
| John Wiley & Sons Inc. Class A | 3,231 | 147 | |
| * | Sally Beauty Holdings Inc. | 6,112 | 145 |
| Target Corp. | 2,543 | 144 | |
| Brinker International Inc. | 5,153 | 142 | |
| Interpublic Group of Cos. Inc. | 12,021 | 141 | |
| Macy's Inc. | 3,678 | 140 | |
| DeVry Inc. | 3,877 | 138 | |
| Expedia Inc. | 3,960 | 135 | |
| * | TripAdvisor Inc. | 3,977 | 128 |
| * | ITT Educational Services Inc. | 1,854 | 127 |
| *,^ | Tesla Motors Inc. | 3,779 | 126 |
| Chico's FAS Inc. | 8,195 | 123 | |
| * | Bally Technologies Inc. | 2,804 | 120 |
| Aaron's Inc. | 3,773 | 105 | |
| Morningstar Inc. | 1,671 | 100 | |
| DSW Inc. Class A | 1,471 | 83 | |
| * | CarMax Inc. | 2,496 | 77 |
| * | MGM Resorts International | 5,216 | 72 |
| * | Big Lots Inc. | 1,510 | 66 |
| PVH Corp. | 596 | 51 | |
| * | AutoNation Inc. | 1,282 | 44 |
| * | Marriott Vacations Worldwide Corp. | 1,738 | 43 |
| * | Dunkin' Brands Group Inc. | 1,478 | 43 |
| * | Groupon Inc. | 2,168 | 43 |
| * | Lamar Advertising Co. Class A | 1,203 | 39 |
| Regal Entertainment Group Class A | 1,929 | 27 | |
| Garmin Ltd. | 548 | 26 | |
| * | Visteon Corp. | 168 | 9 |
| * | HomeAway Inc. | 321 | 8 |
| Choice Hotels International Inc. | 194 | 7 | |
| * | Pandora Media Inc. | 510 | 7 |
| * | Hyatt Hotels Corp. Class A | 129 | 5 |
| 69,469 | |||
| Consumer Staples (11.8%) | |||
| Coca-Cola Co. | 135,654 | 9,477 | |
| Philip Morris International Inc. | 110,512 | 9,230 | |
| PepsiCo Inc. | 108,534 | 6,831 | |
| Wal-Mart Stores Inc. | 92,601 | 5,471 | |
| Altria Group Inc. | 107,230 | 3,228 | |
| Colgate-Palmolive Co. | 30,280 | 2,822 | |
| Costco Wholesale Corp. | 29,997 | 2,582 | |
| Walgreen Co. | 59,349 | 1,968 | |
| Kimberly-Clark Corp. | 23,658 | 1,724 | |
| General Mills Inc. | 33,117 | 1,269 | |
| Sysco Corp. | 39,982 | 1,176 | |
| Estee Lauder Cos. Inc. Class A | 15,464 | 905 | |
31
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Procter & Gamble Co. | 12,815 | 865 |
| Whole Foods Market Inc. | 10,596 | 856 |
| Kellogg Co. | 15,763 | 825 |
| Kroger Co. | 29,468 | 701 |
| HJ Heinz Co. | 12,939 | 682 |
| Sara Lee Corp. | 33,434 | 677 |
| Dr Pepper Snapple Group Inc. | 15,259 | 581 |
| Avon Products Inc. | 29,669 | 555 |
| * Green Mountain Coffee Roasters Inc. | 8,472 | 550 |
| * Monster Beverage Corp. | 9,578 | 548 |
| Herbalife Ltd. | 8,158 | 540 |
| Brown-Forman Corp. Class B | 5,980 | 488 |
| Hershey Co. | 7,760 | 471 |
| Coca-Cola Enterprises Inc. | 15,877 | 459 |
| McCormick & Co. Inc. | 6,211 | 313 |
| Campbell Soup Co. | 9,154 | 305 |
| Reynolds American Inc. | 6,973 | 292 |
| Church & Dwight Co. Inc. | 5,656 | 270 |
| Corn Products International Inc. | 4,220 | 242 |
| Mead Johnson Nutrition Co. | 2,572 | 200 |
| Bunge Ltd. | 2,620 | 176 |
| Flowers Foods Inc. | 7,751 | 148 |
| Hormel Foods Corp. | 5,056 | 144 |
| ConAgra Foods Inc. | 3,531 | 93 |
| Clorox Co. | 533 | 36 |
| 57,700 | ||
| Energy (10.7%) | ||
| Exxon Mobil Corp. | 249,624 | 21,592 |
| Schlumberger Ltd. | 93,173 | 7,231 |
| Halliburton Co. | 62,829 | 2,299 |
| EOG Resources Inc. | 18,432 | 2,099 |
| Occidental Petroleum Corp. | 16,094 | 1,680 |
| El Paso Corp. | 49,763 | 1,384 |
| Chevron Corp. | 7,852 | 857 |
| * FMC Technologies Inc. | 16,468 | 830 |
| Apache Corp. | 7,568 | 817 |
| * Southwestern Energy Co. | 23,840 | 788 |
| * Concho Resources Inc. | 7,084 | 757 |
| Pioneer Natural Resources Co. | 6,517 | 715 |
| Range Resources Corp. | 11,061 | 704 |
| * Cameron International Corp. | 12,429 | 692 |
| Peabody Energy Corp. | 18,643 | 650 |
| Baker Hughes Inc. | 11,920 | 599 |
| Consol Energy Inc. | 15,626 | 560 |
| Cabot Oil & Gas Corp. | 14,293 | 499 |
| * Whiting Petroleum Corp. | 8,059 | 473 |
| * Denbury Resources Inc. | 22,941 | 457 |
| Anadarko Petroleum Corp. | 5,186 | 436 |
| HollyFrontier Corp. | 13,088 | 427 |
| Oceaneering International Inc. | 7,462 | 405 |
| Core Laboratories NV | 3,141 | 382 |
| Helmerich & Payne Inc. | 6,088 | 373 |
| QEP Resources Inc. | 9,463 | 323 |
| * Superior Energy Services Inc. | 10,569 | 310 |
| ^ Kinder Morgan Inc. | 7,970 | 281 |
| SM Energy Co. | 3,513 | 277 |
| * Dresser-Rand Group Inc. | 5,137 | 270 |
| * Ultra Petroleum Corp. | 10,451 | 261 |
| * Continental Resources Inc. | 2,867 | 260 |
| * SandRidge Energy Inc. | 28,139 | 244 |
| * Oil States International Inc. | 2,945 | 239 |
| Noble Energy Inc. | 2,425 | 237 |
| * Cobalt International Energy Inc. | 7,608 | 229 |
| EQT Corp. | 3,626 | 192 |
32
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Newfield Exploration Co. | 5,330 | 192 |
| * McDermott International Inc. | 14,118 | 184 |
| * Alpha Natural Resources Inc. | 8,740 | 162 |
| Diamond Offshore Drilling Inc. | 2,256 | 154 |
| Murphy Oil Corp. | 2,067 | 132 |
| Cimarex Energy Co. | 1,584 | 128 |
| CARBO Ceramics Inc. | 1,343 | 123 |
| * Forest Oil Corp. | 5,976 | 77 |
| EXCO Resources Inc. | 9,145 | 65 |
| * Rowan Cos. Inc. | 1,410 | 52 |
| * Atwood Oceanics Inc. | 1,084 | 52 |
| RPC Inc. | 2,873 | 46 |
| * Kosmos Energy Ltd. | 1,972 | 28 |
| Patterson-UTI Energy Inc. | 1,248 | 24 |
| Arch Coal Inc. | 1,622 | 22 |
| Tidewater Inc. | 271 | 16 |
| * Quicksilver Resources Inc. | 466 | 3 |
| 52,289 | ||
| Financials (4.2%) | ||
| American Express Co. | 43,647 | 2,309 |
| Simon Property Group Inc. | 16,458 | 2,230 |
| American Tower Corporation | 27,263 | 1,706 |
| Public Storage | 9,065 | 1,215 |
| Franklin Resources Inc. | 9,928 | 1,170 |
| T. Rowe Price Group Inc. | 17,799 | 1,096 |
| Charles Schwab Corp. | 71,770 | 996 |
| Boston Properties Inc. | 8,191 | 832 |
| Wells Fargo & Co. | 23,594 | 738 |
| * IntercontinentalExchange Inc. | 5,061 | 698 |
| Ventas Inc. | 10,605 | 593 |
| BlackRock Inc. | 2,923 | 582 |
| Moody's Corp. | 13,625 | 526 |
| Digital Realty Trust Inc. | 6,881 | 499 |
| Rayonier Inc. | 8,376 | 373 |
| * CBRE Group Inc. Class A | 20,108 | 369 |
| Federal Realty Investment Trust | 3,205 | 306 |
| * MSCI Inc. Class A | 8,193 | 290 |
| TD Ameritrade Holding Corp. | 14,946 | 279 |
| * Affiliated Managers Group Inc. | 2,537 | 270 |
| Plum Creek Timber Co. Inc. | 6,667 | 261 |
| Camden Property Trust | 3,888 | 241 |
| Eaton Vance Corp. | 8,139 | 234 |
| Lazard Ltd. Class A | 7,615 | 232 |
| Weyerhaeuser Co. | 10,709 | 224 |
| SEI Investments Co. | 10,021 | 198 |
| Waddell & Reed Financial Inc. Class A | 5,949 | 188 |
| Jones Lang LaSalle Inc. | 2,289 | 186 |
| Essex Property Trust Inc. | 1,253 | 175 |
| Macerich Co. | 3,231 | 174 |
| NYSE Euronext | 5,599 | 167 |
| Erie Indemnity Co. Class A | 1,918 | 146 |
| Apartment Investment & Management Co. | 5,629 | 140 |
| Vornado Realty Trust | 1,417 | 116 |
| Discover Financial Services | 3,701 | 111 |
| Federated Investors Inc. Class B | 5,017 | 103 |
| CBOE Holdings Inc. | 3,611 | 100 |
| Greenhill & Co. Inc. | 2,034 | 89 |
| Equity Residential | 1,441 | 82 |
| * LPL Investment Holdings Inc. | 1,934 | 66 |
| People's United Financial Inc. | 4,718 | 59 |
| * Green Dot Corp. Class A | 1,481 | 47 |
| Corporate Office Properties Trust | 1,555 | 38 |
| UDR Inc. | 1,136 | 28 |
| * NASDAQ OMX Group Inc. | 1,058 | 28 |
33
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Validus Holdings Ltd. | 784 | 24 |
| Hudson City Bancorp Inc. | 3,454 | 24 |
| 20,558 | ||
| Health Care (10.3%) | ||
| Abbott Laboratories | 100,213 | 5,673 |
| Johnson & Johnson | 38,397 | 2,499 |
| * Gilead Sciences Inc. | 54,043 | 2,459 |
| Medtronic Inc. | 63,415 | 2,417 |
| * Celgene Corp. | 30,136 | 2,210 |
| Baxter International Inc. | 35,253 | 2,049 |
| * Biogen Idec Inc. | 16,598 | 1,933 |
| Allergan Inc. | 20,943 | 1,876 |
| * Medco Health Solutions Inc. | 27,474 | 1,857 |
| * Express Scripts Inc. | 33,549 | 1,789 |
| McKesson Corp. | 17,337 | 1,448 |
| * Intuitive Surgical Inc. | 2,693 | 1,378 |
| Stryker Corp. | 21,483 | 1,152 |
| Becton Dickinson and Co. | 14,990 | 1,143 |
| * Alexion Pharmaceuticals Inc. | 12,597 | 1,055 |
| * Agilent Technologies Inc. | 23,846 | 1,040 |
| St. Jude Medical Inc. | 22,534 | 949 |
| Covidien plc | 18,140 | 948 |
| Eli Lilly & Co. | 23,185 | 910 |
| * Cerner Corp. | 9,781 | 722 |
| AmerisourceBergen Corp. Class A | 17,786 | 664 |
| * Mylan Inc. | 27,381 | 642 |
| * Laboratory Corp. of America Holdings | 6,903 | 621 |
| Perrigo Co. | 5,722 | 590 |
| * Edwards Lifesciences Corp. | 7,906 | 578 |
| Quest Diagnostics Inc. | 9,958 | 578 |
| * DaVita Inc. | 6,584 | 570 |
| * Waters Corp. | 6,318 | 566 |
| CR Bard Inc. | 5,855 | 548 |
| * Varian Medical Systems Inc. | 8,010 | 523 |
| * Regeneron Pharmaceuticals Inc. | 4,986 | 523 |
| Cardinal Health Inc. | 11,987 | 498 |
| * Vertex Pharmaceuticals Inc. | 12,478 | 486 |
| * Watson Pharmaceuticals Inc. | 8,164 | 476 |
| * Illumina Inc. | 8,443 | 433 |
| * Mettler-Toledo International Inc. | 2,210 | 398 |
| * Hospira Inc. | 9,646 | 344 |
| * IDEXX Laboratories Inc. | 3,930 | 337 |
| * SXC Health Solutions Corp. | 4,228 | 299 |
| * Endo Pharmaceuticals Holdings Inc. | 7,945 | 295 |
| * ResMed Inc. | 9,879 | 290 |
| Universal Health Services Inc. Class B | 6,174 | 275 |
| * BioMarin Pharmaceutical Inc. | 7,561 | 270 |
| * Henry Schein Inc. | 3,340 | 247 |
| * Mednax Inc. | 3,295 | 245 |
| * Gen-Probe Inc. | 3,084 | 211 |
| * Allscripts Healthcare Solutions Inc. | 10,518 | 203 |
| * Covance Inc. | 4,173 | 199 |
| * Sirona Dental Systems Inc. | 3,841 | 192 |
| Techne Corp. | 2,562 | 183 |
| * Catalyst Health Solutions Inc. | 2,945 | 183 |
| * Warner Chilcott plc Class A | 10,660 | 178 |
| * United Therapeutics Corp. | 3,568 | 170 |
| Lincare Holdings Inc. | 6,154 | 165 |
| * Amylin Pharmaceuticals Inc. | 9,060 | 155 |
| DENTSPLY International Inc. | 3,982 | 154 |
| * Myriad Genetics Inc. | 5,954 | 144 |
| * AMERIGROUP Corp. | 2,030 | 138 |
| * Thoratec Corp. | 3,979 | 137 |
| Hill-Rom Holdings Inc. | 3,979 | 135 |
34
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Health Management Associates Inc. Class A | 17,691 | 131 |
| HCA Holdings Inc. | 4,758 | 127 |
| * Charles River Laboratories International Inc. | 3,610 | 127 |
| * CareFusion Corp. | 4,882 | 126 |
| * Dendreon Corp. | 10,083 | 114 |
| * Brookdale Senior Living Inc. Class A | 5,807 | 108 |
| * Human Genome Sciences Inc. | 13,230 | 104 |
| * Bruker Corp. | 5,805 | 93 |
| Patterson Cos. Inc. | 2,482 | 79 |
| Cooper Cos. Inc. | 842 | 67 |
| * Life Technologies Corp. | 1,042 | 49 |
| * Tenet Healthcare Corp. | 1,657 | 9 |
| 50,484 | ||
| Industrials (12.8%) | ||
| Caterpillar Inc. | 44,267 | 5,056 |
| United Technologies Corp. | 59,452 | 4,986 |
| United Parcel Service Inc. Class B | 50,450 | 3,879 |
| 3M Co. | 43,083 | 3,774 |
| Boeing Co. | 44,965 | 3,370 |
| Honeywell International Inc. | 54,039 | 3,219 |
| Emerson Electric Co. | 51,613 | 2,597 |
| Deere & Co. | 28,819 | 2,390 |
| Danaher Corp. | 37,719 | 1,993 |
| Precision Castparts Corp. | 9,863 | 1,651 |
| Cummins Inc. | 13,494 | 1,627 |
| Illinois Tool Works Inc. | 28,647 | 1,595 |
| CSX Corp. | 75,820 | 1,593 |
| Lockheed Martin Corp. | 15,910 | 1,407 |
| PACCAR Inc. | 25,043 | 1,152 |
| Fastenal Co. | 20,205 | 1,064 |
| WW Grainger Inc. | 3,902 | 811 |
| Rockwell Automation Inc. | 9,889 | 791 |
| CH Robinson Worldwide Inc. | 11,345 | 751 |
| Fluor Corp. | 11,943 | 722 |
| Ingersoll-Rand plc | 17,041 | 680 |
| Dover Corp. | 9,998 | 640 |
| Expeditors International of Washington Inc. | 14,630 | 638 |
| Joy Global Inc. | 7,215 | 627 |
| Union Pacific Corp. | 5,509 | 607 |
| Roper Industries Inc. | 6,607 | 605 |
| Rockwell Collins Inc. | 10,084 | 598 |
| AMETEK Inc. | 10,992 | 523 |
| * Stericycle Inc. | 5,873 | 510 |
| Pall Corp. | 7,943 | 504 |
| Eaton Corp. | 8,860 | 462 |
| Cooper Industries plc | 7,394 | 453 |
| Goodrich Corp. | 3,503 | 441 |
| Flowserve Corp. | 3,491 | 414 |
| * TransDigm Group Inc. | 3,439 | 409 |
| * United Continental Holdings Inc. | 19,331 | 399 |
| * Kansas City Southern | 5,659 | 394 |
| Parker Hannifin Corp. | 4,291 | 385 |
| Donaldson Co. Inc. | 5,243 | 385 |
| Iron Mountain Inc. | 11,422 | 355 |
| * Delta Air Lines Inc. | 34,970 | 343 |
| JB Hunt Transport Services Inc. | 6,262 | 321 |
| * IHS Inc. Class A | 3,366 | 318 |
| * Verisk Analytics Inc. Class A | 6,825 | 297 |
| Masco Corp. | 24,794 | 295 |
| * BE Aerospace Inc. | 6,259 | 287 |
| Robert Half International Inc. | 10,007 | 285 |
| Dun & Bradstreet Corp. | 3,370 | 279 |
| * WABCO Holdings Inc. | 4,606 | 274 |
| Timken Co. | 5,040 | 264 |
35
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Wabtec Corp. | 3,306 | 247 |
| Gardner Denver Inc. | 3,566 | 245 |
| MSC Industrial Direct Co. Inc. Class A | 3,032 | 241 |
| * Hertz Global Holdings Inc. | 16,726 | 239 |
| Nordson Corp. | 4,168 | 229 |
| Waste Connections Inc. | 6,820 | 222 |
| Graco Inc. | 4,166 | 213 |
| IDEX Corp. | 5,094 | 213 |
| * Babcock & Wilcox Co. | 8,068 | 208 |
| * Copart Inc. | 3,853 | 192 |
| Chicago Bridge & Iron Co. NV | 3,984 | 185 |
| * Kirby Corp. | 2,626 | 180 |
| Landstar System Inc. | 3,305 | 179 |
| Valmont Industries Inc. | 1,568 | 174 |
| Lincoln Electric Holdings Inc. | 3,581 | 165 |
| Toro Co. | 2,157 | 146 |
| Lennox International Inc. | 3,702 | 145 |
| Manitowoc Co. Inc. | 9,145 | 144 |
| * Nielsen Holdings NV | 4,825 | 142 |
| Copa Holdings SA Class A | 1,764 | 126 |
| FedEx Corp. | 1,279 | 115 |
| * Navistar International Corp. | 2,738 | 114 |
| * Polypore International Inc. | 2,730 | 112 |
| UTi Worldwide Inc. | 6,345 | 102 |
| * WESCO International Inc. | 1,362 | 86 |
| Southwest Airlines Co. | 9,334 | 84 |
| * AECOM Technology Corp. | 3,578 | 84 |
| SPX Corp. | 936 | 68 |
| * Thomas & Betts Corp. | 851 | 62 |
| * General Cable Corp. | 1,815 | 56 |
| Towers Watson & Co. Class A | 791 | 51 |
| Snap-on Inc. | 714 | 44 |
| * Spirit Aerosystems Holdings Inc. Class A | 1,641 | 39 |
| Textron Inc. | 1,110 | 31 |
| Kennametal Inc. | 660 | 30 |
| KBR Inc. | 711 | 26 |
| Equifax Inc. | 498 | 21 |
| Carlisle Cos. Inc. | 315 | 15 |
| Avery Dennison Corp. | 436 | 13 |
| Con-way Inc. | 439 | 13 |
| Harsco Corp. | 404 | 9 |
| Alliant Techsystems Inc. | 135 | 8 |
| Covanta Holding Corp. | 483 | 8 |
| * Armstrong World Industries Inc. | 142 | 7 |
| * KAR Auction Services Inc. | 438 | 7 |
| * GrafTech International Ltd. | 485 | 6 |
| 62,466 | ||
| Information Technology (29.7%) | ||
| * Apple Inc. | 63,498 | 34,444 |
| International Business Machines Corp. | 83,166 | 16,361 |
| Microsoft Corp. | 509,542 | 16,173 |
| * Google Inc. Class A | 17,282 | 10,685 |
| Oracle Corp. | 263,733 | 7,719 |
| QUALCOMM Inc. | 114,637 | 7,128 |
| * EMC Corp. | 141,281 | 3,912 |
| Mastercard Inc. Class A | 7,366 | 3,094 |
| Accenture plc Class A | 44,333 | 2,640 |
| Automatic Data Processing Inc. | 34,333 | 1,865 |
| Texas Instruments Inc. | 50,685 | 1,690 |
| * eBay Inc. | 43,141 | 1,542 |
| * Cognizant Technology Solutions Corp. Class A | 20,919 | 1,484 |
| * Dell Inc. | 82,939 | 1,435 |
| Broadcom Corp. Class A | 36,870 | 1,370 |
| Visa Inc. Class A | 11,618 | 1,352 |
36
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Salesforce.com Inc. | 9,211 | 1,319 |
| Intuit Inc. | 20,734 | 1,199 |
| * Adobe Systems Inc. | 34,567 | 1,137 |
| * NetApp Inc. | 25,208 | 1,084 |
| * Citrix Systems Inc. | 12,882 | 963 |
| * Symantec Corp. | 51,772 | 924 |
| Altera Corp. | 22,080 | 849 |
| * Juniper Networks Inc. | 36,528 | 831 |
| Analog Devices Inc. | 20,532 | 805 |
| * Teradata Corp. | 11,567 | 770 |
| Western Union Co. | 43,325 | 757 |
| * F5 Networks Inc. | 5,558 | 695 |
| Xilinx Inc. | 18,286 | 675 |
| * Red Hat Inc. | 13,291 | 657 |
| Paychex Inc. | 20,474 | 641 |
| Amphenol Corp. Class A | 11,416 | 639 |
| * NVIDIA Corp. | 41,347 | 626 |
| * Autodesk Inc. | 15,835 | 599 |
| * VMware Inc. Class A | 5,841 | 578 |
| Maxim Integrated Products Inc. | 20,360 | 568 |
| * Fiserv Inc. | 7,867 | 522 |
| Linear Technology Corp. | 15,566 | 521 |
| Avago Technologies Ltd. | 13,106 | 493 |
| Microchip Technology Inc. | 13,032 | 470 |
| * Equinix Inc. | 3,219 | 451 |
| KLA-Tencor Corp. | 8,892 | 430 |
| * Alliance Data Systems Corp. | 3,507 | 426 |
| * Trimble Navigation Ltd. | 8,412 | 423 |
| * Nuance Communications Inc. | 16,302 | 423 |
| * BMC Software Inc. | 11,253 | 421 |
| * Akamai Technologies Inc. | 11,662 | 420 |
| VeriSign Inc. | 10,929 | 404 |
| * ANSYS Inc. | 6,308 | 399 |
| * Electronic Arts Inc. | 22,805 | 372 |
| * Rackspace Hosting Inc. | 7,099 | 371 |
| * Lam Research Corp. | 8,574 | 358 |
| * Informatica Corp. | 7,249 | 356 |
| * Skyworks Solutions Inc. | 12,964 | 350 |
| * VeriFone Systems Inc. | 6,990 | 335 |
| * TIBCO Software Inc. | 11,371 | 329 |
| * Advanced Micro Devices Inc. | 41,899 | 308 |
| * Riverbed Technology Inc. | 10,465 | 298 |
| * Atmel Corp. | 29,177 | 295 |
| * MICROS Systems Inc. | 5,530 | 287 |
| FLIR Systems Inc. | 10,890 | 285 |
| Global Payments Inc. | 5,463 | 282 |
| Jabil Circuit Inc. | 10,862 | 281 |
| * ON Semiconductor Corp. | 30,337 | 275 |
| Factset Research Systems Inc. | 3,146 | 275 |
| * Rovi Corp. | 7,713 | 274 |
| * Gartner Inc. | 6,644 | 267 |
| * Polycom Inc. | 12,063 | 249 |
| Solera Holdings Inc. | 4,835 | 232 |
| * Fortinet Inc. | 8,234 | 223 |
| * Cadence Design Systems Inc. | 18,442 | 217 |
| * Ariba Inc. | 6,648 | 209 |
| * JDS Uniphase Corp. | 15,560 | 203 |
| Broadridge Financial Solutions Inc. | 8,010 | 195 |
| * NCR Corp. | 8,588 | 187 |
| Cypress Semiconductor Corp. | 10,613 | 183 |
| * NeuStar Inc. Class A | 5,081 | 178 |
| National Instruments Corp. | 6,268 | 167 |
| * Zebra Technologies Corp. | 3,787 | 146 |
| * Dolby Laboratories Inc. Class A | 3,691 | 140 |
37
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Lender Processing Services Inc. | 6,034 | 133 |
| * First Solar Inc. | 4,096 | 132 |
| * Silicon Laboratories Inc. | 2,623 | 117 |
| * Acme Packet Inc. | 3,737 | 114 |
| * Genpact Ltd. | 6,695 | 107 |
| * VistaPrint NV | 2,528 | 103 |
| * LSI Corp. | 11,855 | 102 |
| * WebMD Health Corp. | 4,050 | 101 |
| * IPG Photonics Corp. | 1,889 | 99 |
| * Compuware Corp. | 10,963 | 99 |
| * QLogic Corp. | 5,726 | 98 |
| * Ciena Corp. | 6,511 | 97 |
| Harris Corp. | 2,187 | 95 |
| * SAIC Inc. | 6,223 | 76 |
| Applied Materials Inc. | 5,563 | 68 |
| * LinkedIn Corp. Class A | 603 | 52 |
| Intersil Corp. Class A | 4,191 | 47 |
| * Arrow Electronics Inc. | 1,092 | 44 |
| * FleetCor Technologies Inc. | 1,037 | 38 |
| * MEMC Electronic Materials Inc. | 9,138 | 36 |
| * Freescale Semiconductor Holdings I Ltd. | 1,851 | 30 |
| * Synopsys Inc. | 724 | 22 |
| DST Systems Inc. | 380 | 20 |
| * Fusion-io Inc. | 710 | 19 |
| Booz Allen Hamilton Holding Corp. | 756 | 14 |
| * Cree Inc. | 443 | 13 |
| * PMC - Sierra Inc. | 980 | 7 |
| 145,023 | ||
| Materials (5.3%) | ||
| EI du Pont de Nemours & Co. | 63,769 | 3,243 |
| Monsanto Co. | 36,803 | 2,848 |
| Freeport-McMoRan Copper & Gold Inc. | 65,047 | 2,768 |
| Praxair Inc. | 20,832 | 2,271 |
| Air Products & Chemicals Inc. | 14,575 | 1,315 |
| Ecolab Inc. | 20,640 | 1,238 |
| Mosaic Co. | 18,881 | 1,090 |
| PPG Industries Inc. | 10,838 | 989 |
| CF Industries Holdings Inc. | 3,758 | 699 |
| Cliffs Natural Resources Inc. | 10,054 | 638 |
| Sherwin-Williams Co. | 6,181 | 638 |
| Sigma-Aldrich Corp. | 8,394 | 603 |
| Eastman Chemical Co. | 9,719 | 526 |
| Celanese Corp. Class A | 10,675 | 508 |
| FMC Corp. | 4,914 | 486 |
| Airgas Inc. | 5,387 | 443 |
| Ball Corp. | 10,697 | 429 |
| Albemarle Corp. | 6,292 | 419 |
| * Crown Holdings Inc. | 10,720 | 396 |
| Southern Copper Corp. | 11,800 | 379 |
| Rock-Tenn Co. Class A | 4,747 | 335 |
| Allegheny Technologies Inc. | 7,273 | 319 |
| International Flavors & Fragrances Inc. | 5,561 | 317 |
| Royal Gold Inc. | 4,008 | 278 |
| Walter Energy Inc. | 4,240 | 275 |
| * WR Grace & Co. | 4,521 | 258 |
| * Rockwood Holdings Inc. | 4,440 | 236 |
| Solutia Inc. | 8,370 | 235 |
| International Paper Co. | 6,371 | 224 |
| * Allied Nevada Gold Corp. | 6,119 | 211 |
| Packaging Corp. of America | 6,348 | 188 |
| Compass Minerals International Inc. | 2,271 | 164 |
| Steel Dynamics Inc. | 10,987 | 163 |
| Carpenter Technology Corp. | 3,039 | 156 |
| Silgan Holdings Inc. | 3,431 | 146 |
38
| Vanguard® Russell 1000 Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2012 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| Martin Marietta Materials Inc. | 1,491 | 128 | |||
| Scotts Miracle-Gro Co. Class A | 2,568 | 120 | |||
| * | Molycorp Inc. | 3,841 | 95 | ||
| * | Intrepid Potash Inc. | 3,586 | 91 | ||
| LyondellBasell Industries NV Class A | 1,436 | 62 | |||
| Titanium Metals Corp. | 3,050 | 45 | |||
| Valspar Corp. | 843 | 39 | |||
| Reliance Steel & Aluminum Co. | 727 | 39 | |||
| Kronos Worldwide Inc. | 1,500 | 35 | |||
| Huntsman Corp. | 2,520 | 34 | |||
| Schnitzer Steel Industries Inc. | 490 | 22 | |||
| Westlake Chemical Corp. | 305 | 18 | |||
| AK Steel Holding Corp. | 1,735 | 14 | |||
| 26,173 | |||||
| Telecommunication Services (0.8%) | |||||
| Verizon Communications Inc. | 43,954 | 1,675 | |||
| * | Crown Castle International Corp. | 19,902 | 1,031 | ||
| * | SBA Communications Corp. Class A | 7,810 | 367 | ||
| Windstream Corp. | 22,121 | 267 | |||
| * | MetroPCS Communications Inc. | 19,125 | 197 | ||
| * | tw telecom inc Class A | 8,870 | 192 | ||
| * | NII Holdings Inc. | 10,195 | 182 | ||
| * | Level 3 Communications Inc. | 1,533 | 37 | ||
| * | Clearwire Corp. Class A | 12,748 | 29 | ||
| 3,977 | |||||
| Utilities (0.1%) | |||||
| ITC Holdings Corp. | 3,487 | 263 | |||
| ONEOK Inc. | 539 | 45 | |||
| National Fuel Gas Co. | 810 | 41 | |||
| Aqua America Inc. | 1,037 | 23 | |||
| 372 | |||||
| Total Common Stocks (Cost $446,437) | 488,511 | ||||
| Coupon | |||||
| Temporary Cash Investments (0.2%)1 | |||||
| Money Market Fund (0.2%) | |||||
| 2,3 | Vanguard Market Liquidity Fund | 0.111% | 851,317 | 851 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.0%) | |||||
| 4,5 | Fannie Mae Discount Notes | 0.030% | 4/2/12 | 200 | 200 |
| Total Temporary Cash Investments (Cost $1,052) | 1,051 | ||||
| Total Investments (100.1%) (Cost $447,489) | 489,562 | ||||
| Other Assets and Liabilities—Net (-0.1%)3 | (529) | ||||
| Net Assets (100%) | 489,033 | ||||
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $331,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $340,000 of collateral received for securities on loan.
39
Vanguard® Russell 1000 Growth Index Fund
Schedule of Investments
February 29, 2012
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
40
| © 2012 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| SNA 18482 042012 |
 |
| Semiannual Report | February 29, 2012 |
| Vanguard Russell 2000 Index Funds |
| Russell 2000 Index Fund |
| Russell 2000 Value Index Fund |
| Russell 2000 Growth Index Fund |
> For the six months ended February 29, 2012, the three Vanguard Russell 2000 Index Funds posted strong gains, returning between 11.68% and 12.94%.
> Each fund met its objective of closely tracking its benchmark index.
> Information technology, consumer discretionary, and industrial stocks were among the best performers.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Russell 2000 Index Fund. | 8 |
| Russell 2000 Value Index Fund. | 22 |
| Russell 2000 Growth Index Fund. | 33 |
| About Your Fund’s Expenses. | 45 |
| Glossary. | 47 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we strive to help clients reach their financial goals.
Your Fund’s Total Returns
| Six Months Ended February 29, 2012 | |
| Total | |
| Returns | |
| Vanguard Russell 2000 Index Fund | |
| Institutional Shares | 12.34% |
| ETF Shares | |
| Market Price | 12.35 |
| Net Asset Value | 12.30 |
| Russell 2000 Index | 12.40 |
| Small-Cap Core Funds Average | 12.08 |
| Small-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
| Vanguard Russell 2000 Value Index Fund | |
| ETF Shares | |
| Market Price | 11.87% |
| Net Asset Value | 11.68 |
| Russell 2000 Value Index | 11.81 |
| Small-Cap Value Funds Average | 13.12 |
| Small-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
| Vanguard Russell 2000 Growth Index Fund | |
| Institutional Shares | 12.94% |
| ETF Shares | |
| Market Price | 13.08 |
| Net Asset Value | 12.87 |
| Russell 2000 Growth Index | 12.99 |
| Small-Cap Growth Funds Average | 12.55 |
| Small-Cap Growth Funds Average: Derived from data provided by Lipper Inc. | |
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
1
Chairman’s Letter
Dear Shareholder,
For the six months ended February 29, 2012, the Vanguard Russell 2000 Index Funds produced strong returns as a rally late in the period more than made up for losses in the early part of the fiscal half-year.
The Institutional Shares of Vanguard Russell 2000 Growth Index Fund delivered the highest return of close to 13%, as growth stocks outperformed their value counterparts by a modest margin. Returns for the three funds’ ETF Shares (based on net asset values) ranged from 11.68% for the Russell 2000 Value ETF to 12.87% for the Russell 2000 Growth ETF. The Russell 2000 Index Fund, which combines the growth and value market segments, fell in between, returning 12.30% for the ETF Shares and 12.34% for the Institutional Shares. All three funds closely tracked their benchmark indexes.
Notes of economic optimism propelled stock prices higher
U.S. stocks produced a strong return of 13.18% over the period. That statement is true enough, but the headline figure obscures the volatility that has been perhaps the most prominent feature of the financial markets over the past six months and indeed the past few years. If the six-month period had started a month
2
earlier, for example, the Dow Jones U.S. Total Stock Market Index would have returned just 1.97%. A start date two months earlier would have put the six-month return at –5.18%.
In the six months through February, however, stock prices benefited from signs of acceleration in the U.S. economic expansion and hope that the European Union’s latest agreement on Greek debt would help to contain a threat that has menaced global markets for much of the past two years. European stocks rallied on the news about Greece, but international stocks still trailed their U.S. counterparts for the full six months.
The bond market’s strength confounded expectations
Bonds produced solid returns, to the surprise of many long-time observers of the fixed income markets. At the start of the period, the yield of the 10-year U.S. Treasury note stood at just 2.22%, suggesting that returns would be very modest by historical standards. Over the next six months, however, yields moved lower still, boosting bond prices, which move in the opposite direction. At the end of February, the yield of the 10-year T-note stood at 1.98%. As yields drop, obviously, the scope for continued declines—and price increases—diminishes. Municipal bonds performed even more strongly than the broad taxable market.
| Market Barometer | |||
| Total Returns | |||
| Periods Ended February 29, 2012 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.31% | 4.86% | 1.77% |
| Russell 2000 Index (Small-caps) | 12.40 | -0.15 | 1.83 |
| Dow Jones U.S. Total Stock Market Index | 13.18 | 4.35 | 2.07 |
| MSCI All Country World Index ex USA (International) | 3.97 | -6.10 | -0.75 |
| Bonds | |||
| Barclays Capital U.S. Aggregate Bond Index (Broad | |||
| taxable market) | 2.73% | 8.37% | 6.36% |
| Barclays Capital Municipal Bond Index (Broad | |||
| tax-exempt market) | 5.67 | 12.42 | 5.50 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.06 | 1.20 |
| CPI | |||
| Consumer Price Index | 0.49% | 2.87% | 2.27% |
3
The returns for 3-month Treasury bills and other money market instruments remained near 0%, consistent with the Federal Reserve’s policy on interest rates.
Tech stocks among the leaders as the markets rallied
The Russell 2000 Index, which includes nearly 2,000 of the nation’s smaller companies, encompasses the lion’s share of that market segment. The Russell 2000 Growth and Value Indexes divide those stocks into traditional growth and value segments. (There is significant overlap of holdings between the two.) Our three funds seek to track the performance of these respective benchmarks, an objective that the funds’ advisor, Vanguard Equity Investment Group, met over the past six months.
As I mentioned, the Russell 2000 Growth Index Fund notched the best results of the three as growth stocks did a bit better than value stocks. The rising tide of the recent market rally lifted all industries, as nearly every sector notched gains in all three funds. The only exception was the energy sector in the Russell 2000 Value Index Fund, which retreated minimally.
Information technology, the second-largest sector of the Russell 2000 Index Fund, was among the largest contributors to the fund’s performance. The tech sector outperformed the broader market as software makers racked up strong sales. Companies that provide tech consulting, data processing, and outsourced services also did well.
| Expense Ratios | |||
| Your Fund Compared With Its Peer Group | |||
| Institutional | ETF | Peer Group | |
| Shares | Shares | Average | |
| Russell 2000 Index Fund | 0.15% | 0.22% | 1.37% |
| Russell 2000 Value Index Fund | — | 0.33 | 1.45 |
| Russell 2000 Growth Index Fund | 0.08 | 0.20 | 1.51 |
The fund expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the funds’ annualized expense ratios were: for the Russell 2000 Index Fund, 0.08% for Institutional Shares and 0.15% for ETF Shares; for the Russell 2000 Value Index Fund, 0.20% for ETF Shares; and for the Russell 2000 Growth Index Fund, 0.08% for Institutional Shares and 0.20% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2011.
Peer groups: For the Russell 2000 Index Fund, Small-Cap Core Funds; for the Russell 2000 Value Index Fund, Small-Cap Value Funds; and for the Russell 2000 Growth Fund, Small-Cap Growth Funds.
4
The Russell 2000 Growth Index Fund benefited most from the tech surge because IT, long a growth stock stalwart, represented nearly a quarter of the fund’s assets, on average during the period. The tech industry performed similarly well in the Russell 2000 Value Index Fund, but the sector’s performance was not quite as significant because of its smaller presence among value stocks.
Consumer discretionary and industrials also outperformed
The consumer discretionary sector was also a strong contributor for all three funds, as specialty retailers, hotels, and restaurants delivered double-digit returns. As the U.S. economic recovery seemed to regain traction, industrial stocks also powered forward. Companies within the sector, including manufacturers of industrial, farm, and construction machinery, posted impressive returns amid increased demand.
The health care sector also produced outsized gains. In the Russell 2000 and Russell 2000 Growth Index Funds, smaller pharmaceutical companies and managed health care providers generated a strong boost to performance.
The Russell 2000 Value Index Fund posted slightly lower returns than its two counterparts. Financials, the fund’s largest sector weighting, which represented more than a third of the fund’s assets, on average, during the period, was by far the
| A note on expense ratios |
| The Expense Ratios table in each report’s Chairman’s Letter displays fund expense |
| ratios from the most recent prospectus. These figures include the funds’ actual |
| operating expenses. For some funds, the figures also include “acquired fund fees |
| and expenses,” which result from the funds’ holdings in business development |
| companies (BDCs). |
| Although the Securities and Exchange Commission requires that BDC costs be |
| included in a fund’s expense ratio, these fees are not incurred by the fund. They |
| have no impact on a fund’s total return or on its tracking error relative to an index. |
| A footnote to the Expense Ratios table reports an annualized calculation of the fund’s |
| actual expenses for the period, a more relevant tally of the operating costs incurred |
| by shareholders. |
5
biggest factor in the fund’s showing. Commercial banks and real estate investment trusts were the standouts.
Amid short-term volatility, focus on your long-term goals
The tone of the stock market shifted dramatically during the fiscal half-year. The swing in sentiment is perhaps a good reminder of how quickly market conditions can change and the futility of trying to predict short-term trends.
At Vanguard, we encourage you to stay focused on your long-term plan rather than on the market’s latest ups and downs. Maintaining a portfolio that includes a broadly diversified combination of stocks, bonds, and cash investments consistent with your long-term goals and risk tolerance is a proven way to “stay the course” amid the kind of short-term turbulence we’ve seen in recent months.
It’s also important to stay diversified within asset classes, so that you maintain exposure to whichever investing styles are in favor. Vanguard’s Russell 2000 Index Funds, with their low-cost exposure to the small-capitalization segment of the stock market, can be a valuable component of a balanced investment portfolio.
Thank you for your confidence in Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 20, 2012
6
| Your Fund’s Performance at a Glance | ||||
| August 31, 2011, Through February 29, 2012 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Russell 2000 Index Fund | ||||
| Institutional Shares | $110.21 | $122.64 | $1.072 | $0.000 |
| ETF Shares | 57.66 | 64.17 | 0.538 | 0.000 |
| Vanguard Russell 2000 Value Index Fund | ||||
| ETF Shares | $55.14 | $60.81 | $0.720 | $0.000 |
| Vanguard Russell 2000 Growth Index Fund | ||||
| Institutional Shares | $114.21 | $128.48 | $0.455 | $0.000 |
| ETF Shares | 60.02 | 67.54 | 0.185 | 0.000 |
7
Russell 2000 Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | ||
| Institutional | ETF | |
| Shares | Shares | |
| Ticker Symbol | VRTIX | VTWO |
| Expense Ratio1 | 0.15% | 0.22% |
| 30-Day SEC Yield | 1.15% | 1.08% |
| Portfolio Characteristics | |||
| DJ | |||
| Russell | U.S. Total | ||
| 2000 | Market | ||
| Fund | Index | Index | |
| Number of Stocks | 1,949 | 1,944 | 3,733 |
| Median Market Cap | $1.2B | $1.2B | $33.9B |
| Price/Earnings Ratio | 23.8x | 23.8x | 16.5x |
| Price/Book Ratio | 1.9x | 1.9x | 2.2x |
| Return on Equity | 8.2% | 8.3% | 18.2% |
| Earnings Growth Rate | 4.2% | 4.2% | 7.6% |
| Dividend Yield | 1.4% | 1.4% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 13% | — | — |
| Short-Term Reserves | -0.3% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| Russell | U.S. Total | ||
| 2000 | Market | ||
| Fund | Index | Index | |
| Consumer | |||
| Discretionary | 13.6% | 13.6% | 11.9% |
| Consumer Staples | 3.5 | 3.5 | 9.4 |
| Energy | 6.8 | 6.8 | 11.2 |
| Financials | 22.0 | 22.0 | 15.4 |
| Health Care | 12.6 | 12.6 | 11.4 |
| Industrials | 15.9 | 15.9 | 11.2 |
| Information | |||
| Technology | 16.8 | 16.8 | 19.4 |
| Materials | 4.7 | 4.7 | 4.1 |
| Telecommunication | |||
| Services | 0.8 | 0.8 | 2.5 |
| Utilities | 3.3 | 3.3 | 3.5 |
| Ten Largest Holdings (% of total net assets) | ||
| Parametric Technology | Application | |
| Corp. | Software | 0.3% |
| Nu Skin Enterprises Inc. | Personal Products | 0.3 |
| Clean Harbors Inc. | Environmental & | |
| Facilities Services | 0.3 | |
| Kilroy Realty Corp. | Office REITs | 0.2 |
| World Fuel Services | Oil & Gas Refining | |
| Corp. | & Marketing | 0.2 |
| Jack Henry & Associates | Data Processing & | |
| Inc. | Outsourced | |
| Services | 0.2 | |
| WellCare Health Plans | Managed Health | |
| Inc. | Care | 0.2 |
| Salix Pharmaceuticals | ||
| Ltd. | Pharmaceuticals | 0.2 |
| BioMed Realty Trust Inc. | Office REITs | 0.2 |
| Energy XXI Bermuda | Oil & Gas | |
| Ltd. | Exploration & | |
| Production | 0.2 | |
| Top Ten | 2.3% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
8
Russell 2000 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2012
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Since | |
| Date | Year | Inception | |
| Institutional Shares | 12/22/2010 | -4.20% | -4.87% |
| ETF Shares | 9/20/2010 | ||
| Market Price | -4.38 | 9.48 | |
| Net Asset Value | -4.26 | 9.54 |
See Financial Highlights for dividend and capital gains information.
9
Russell 2000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2012
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| Sotheby’s | 13,204 | 519 | 0.2% |
| * Ascena Retail Group Inc. | 12,278 | 474 | 0.2% |
| * Carter’s Inc. | 9,608 | 467 | 0.2% |
| * Warnaco Group Inc. | 7,913 | 465 | 0.2% |
| * Dana Holding Corp. | 28,591 | 457 | 0.2% |
| Consumer Discretionary—Other † | 29,405 | 12.6% | |
| 31,787 | 13.6% | ||
| Consumer Staples | |||
| Nu Skin Enterprises Inc. Class A | 10,674 | 617 | 0.3% |
| Consumer Staples—Other † | 7,504 | 3.2% | |
| 8,121 | 3.5% | ||
| Energy | |||
| World Fuel Services Corp. | 13,793 | 575 | 0.3% |
| * Energy XXI Bermuda Ltd. | 14,670 | 549 | 0.3% |
| Berry Petroleum Co. Class A | 10,039 | 542 | 0.2% |
| * Rosetta Resources Inc. | 10,320 | 527 | 0.2% |
| * Kodiak Oil & Gas Corp. | 50,170 | 486 | 0.2% |
| Lufkin Industries Inc. | 5,954 | 474 | 0.2% |
| * Dril-Quip Inc. | 6,718 | 470 | 0.2% |
| * CVR Energy Inc. | 17,161 | 467 | 0.2% |
| Energy—Other † | 11,705 | 5.0% | |
| 15,795 | 6.8% | ||
| Financials | |||
| Kilroy Realty Corp. | 13,306 | 583 | 0.3% |
| BioMed Realty Trust Inc. | 29,962 | 552 | 0.3% |
| American Campus Communities Inc. | 13,276 | 546 | 0.3% |
| National Retail Properties Inc. | 20,343 | 542 | 0.2% |
| Home Properties Inc. | 9,355 | 539 | 0.2% |
| * Signature Bank | 9,005 | 535 | 0.2% |
10
Russell 2000 Index Fund
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| ProAssurance Corp. | 5,953 | 522 | 0.2% |
| CBL & Associates Properties Inc. | 28,889 | 509 | 0.2% |
| Hancock Holding Co. | 14,916 | 506 | 0.2% |
| MFA Financial Inc. | 69,334 | 506 | 0.2% |
| * SVB Financial Group | 8,383 | 497 | 0.2% |
| Tanger Factory Outlet Centers | 16,795 | 492 | 0.2% |
| Extra Space Storage Inc. | 18,276 | 482 | 0.2% |
| Financials—Other † | 44,842 | 19.2% | |
| 51,653 | 22.1% | ||
| Health Care | |||
| * WellCare Health Plans Inc. | 8,289 | 562 | 0.3% |
| * Salix Pharmaceuticals Ltd. | 11,375 | 561 | 0.2% |
| * HMS Holdings Corp. | 16,509 | 532 | 0.2% |
| * Cepheid Inc. | 12,692 | 513 | 0.2% |
| * Cubist Pharmaceuticals Inc. | 11,718 | 502 | 0.2% |
| * athenahealth Inc. | 6,816 | 482 | 0.2% |
| * Centene Corp. | 9,769 | 477 | 0.2% |
| * Onyx Pharmaceuticals Inc. | 12,384 | 475 | 0.2% |
| Health Care—Other † | 25,373 | 10.9% | |
| 29,477 | 12.6% | ||
| Industrials | |||
| * Clean Harbors Inc. | 9,128 | 613 | 0.3% |
| Acuity Brands Inc. | 8,432 | 524 | 0.2% |
| Woodward Inc. | 11,975 | 524 | 0.2% |
| * United Rentals Inc. | 12,170 | 507 | 0.2% |
| CLARCOR Inc. | 9,855 | 497 | 0.2% |
| * Hexcel Corp. | 19,145 | 484 | 0.2% |
| * Alaska Air Group Inc. | 7,003 | 480 | 0.2% |
| Triumph Group Inc. | 7,352 | 469 | 0.2% |
| * Genesee & Wyoming Inc. Class A | 7,745 | 460 | 0.2% |
| Industrials—Other † | 32,480 | 13.9% | |
| 37,038 | 15.8% | ||
| Information Technology | |||
| * Parametric Technology Corp. | 23,207 | 620 | 0.3% |
| Jack Henry & Associates Inc. | 16,815 | 567 | 0.2% |
| * Concur Technologies Inc. | 8,693 | 512 | 0.2% |
| * Wright Express Corp. | 7,549 | 467 | 0.2% |
| Information Technology—Other † | 37,032 | 15.9% | |
| 39,198 | 16.8% | ||
| Materials | |||
| * Coeur d’Alene Mines Corp. | 17,433 | 496 | 0.2% |
| Materials—Other † | 10,478 | 4.5% | |
| 10,974 | 4.7% | ||
| Telecommunication Services † | 1,843 | 0.8% | |
| Utilities | |||
| Cleco Corp. | 11,920 | 459 | 0.2% |
| Utilities—Other † | 7,266 | 3.1% | |
| 7,725 | 3.3% | ||
| Total Common Stocks (Cost $227,023) | 233,611 | 100.0%1 | |
11
Russell 2000 Index Fund
| Market | Percentage | |||
| Value | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 2,3 Vanguard Market Liquidity Fund | 0.111% | 27,735,991 | 27,736 | 11.9% |
| 4 U.S. Government and Agency Obligations † | 301 | 0.1% | ||
| Total Temporary Cash Investments (Cost $28,037) | 28,037 | 12.0%1 | ||
| 5 Total Investments (Cost $255,060) | 261,648 | 112.0% | ||
| Other Assets and Liabilities | ||||
| Other Assets | 2,840 | 1.2% | ||
| Liabilities2 | (30,788) | (13.2%) | ||
| (27,948) | (12.0%) | |||
| Net Assets | 233,700 | 100.0% | ||
| Market | |
| Value | |
| ($000) | |
| Statement of Assets and Liabilities | |
| Assets | |
| Investments in Securities, at Value | 261,648 |
| Receivables for Capital Shares Issued | 2,008 |
| Other Assets | 832 |
| Total Assets | 264,488 |
| Liabilities | |
| Payables for Investment Securities Purchased | 30,631 |
| Other Liabilities | 157 |
| Total Liabilities | 30,788 |
| Net Assets | 233,700 |
12
Russell 2000 Index Fund
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 227,446 |
| Undistributed Net Investment Income | 128 |
| Accumulated Net Realized Losses | (460) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 6,588 |
| Futures Contracts | (2) |
| Net Assets | 233,700 |
| Institutional Shares—Net Assets | |
| Applicable to 1,382,323 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 169,531 |
| Net Asset Value Per Share—Institutional Shares | $122.64 |
| ETF Shares—Net Assets | |
| Applicable to 1,000,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 64,169 |
| Net Asset Value Per Share—ETF Shares | $64.17 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 12.0%, respectively, of net assets.
2 Includes $135,000 of collateral received for securities on loan.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
5 The value of securities on loan in $123,000.
See accompanying Notes, which are an integral part of the Financial Statements.
13
Russell 2000 Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 883 |
| Interest1 | 1 |
| Security Lending | 4 |
| Total Income | 888 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 3 |
| Management and Administrative—ETF Shares | 10 |
| Marketing and Distribution—Institutional Shares | 8 |
| Marketing and Distribution—ETF Shares | 8 |
| Custodian Fees | 40 |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 2 |
| Total Expenses | 71 |
| Net Investment Income | 817 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 103 |
| Futures Contracts | 438 |
| Realized Net Gain (Loss) | 541 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 15,939 |
| Futures Contracts | (19) |
| Change in Unrealized Appreciation (Depreciation) | 15,920 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 17,278 |
| 1 Interest income from an affiliated company of the fund was $1,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 2000 Index Fund
| Statement of Changes in Net Assets | ||
| September 20, | ||
| Six Months Ended | 20101 to | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 817 | 774 |
| Realized Net Gain (Loss) | 541 | 2,420 |
| Change in Unrealized Appreciation (Depreciation) | 15,920 | (9,334) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 17,278 | (6,140) |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (895) | (16) |
| ETF Shares | (484) | (68) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (1,379) | (84) |
| Capital Share Transactions | ||
| Institutional Shares | 81,893 | 83,851 |
| ETF Shares | 28,789 | 29,492 |
| Net Increase (Decrease) from Capital Share Transactions | 110,682 | 113,343 |
| Total Increase (Decrease) | 126,581 | 107,119 |
| Net Assets | ||
| Beginning of Period | 107,119 | — |
| End of Period2 | 233,700 | 107,119 |
| 1 Inception. | ||
| 2 Net Assets—End of Period includes undistributed net investment income of $128,000 and $690,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 2000 Index Fund
Financial Highlights
| Institutional Shares | ||
| Six Months | Dec. 22, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $110.21 | $119.33 |
| Investment Operations | ||
| Net Investment Income | .6512 | .652 |
| Net Realized and Unrealized Gain (Loss) on Investments | 12.851 | (9.340) |
| Total from Investment Operations | 13.502 | (8.688) |
| Distributions | ||
| Dividends from Net Investment Income | (1.072) | (. 432) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (1.072) | (.432) |
| Net Asset Value, End of Period | $122.64 | $110.21 |
| Total Return | 12.34% | -7.31% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $170 | $78 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%3 |
| Ratio of Net Investment Income to Average Net Assets | 1.24% | 1.21% 3 |
| Portfolio Turnover Rate 4 | 13% | 34% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Russell 2000 Index Fund
Financial Highlights
| ETF Shares | ||
| Six Months | Sept. 20, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $57.66 | $52.78 |
| Investment Operations | ||
| Net Investment Income | .3322 | .575 |
| Net Realized and Unrealized Gain (Loss) on Investments | 6.716 | 4.531 |
| Total from Investment Operations | 7.048 | 5.106 |
| Distributions | ||
| Dividends from Net Investment Income | (. 538) | (. 226) |
| Distributions from Realized Capital Gains | — | �� |
| Total Distributions | (. 538) | (. 226) |
| Net Asset Value, End of Period | $64.17 | $57.66 |
| Total Return | 12.30% | 9.64% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $64 | $29 |
| Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%3 |
| Ratio of Net Investment Income to Average Net Assets | 1.17% | 1.14% 3 |
| Portfolio Turnover Rate 4 | 13% | 34% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Russell 2000 Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 22, 2010. ETF Shares were first issued on September 20, 2010, and first offered to the public on September 22, 2010. ETF Shares are listed for trading on the Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
18
Russell 2000 Index Fund
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $24,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 233,610 | — | 1 |
| Temporary Cash Investments | 27,736 | 301 | — |
| Futures Contracts—Liabilities1 | (2) | — | — |
| Total | 261,344 | 301 | 1 |
| 1 Represents variation margin on the last day of the reporting period. | |||
19
Russell 2000 Index Fund
There were no changes in investments valued based on Level 3 inputs during the six months ended February 29, 2012.
D. At February 29, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini Russell 2000 Index | March 2012 | 1 | 81 | (2) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $974,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $255,060,000. Net unrealized appreciation of investment securities for tax purposes was $6,588,000, consisting of unrealized gains of $16,563,000 on securities that had risen in value since their purchase and $9,975,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2012, the fund purchased $119,828,000 of investment securities and sold $8,944,000 of investment securities, other than temporary cash investments.
20
Russell 2000 Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Inception1 to | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 85,545 | 701 | 90,835 | 767 |
| Issued in Lieu of Cash Distributions | 810 | 7 | 16 | — |
| Redeemed | (4,462) | (36) | (7,000) | (57) |
| Net Increase (Decrease)—Institutional Shares | 81,893 | 672 | 83,851 | 710 |
| ETF Shares | ||||
| Issued | 28,789 | 500 | 59,242 | 1,000 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (29,750) | (500) |
| Net Increase (Decrease)—ETF Shares | 28,789 | 500 | 29,492 | 500 |
| 1 Inception was September 20, 2010, for the ETF Shares and December 22, 2010, for the Institutional Shares. | ||||
At February 29, 2012, one shareholder was the record or beneficial owner of 26% of the fund’s net assets. If the shareholder were to redeem its total investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or result in the realization of taxable capital gains.
H. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
21
Russell 2000 Value Index Fund
Fund Profile
As of February 29, 2012
| Portfolio Characteristics | |||
| DJ | |||
| Russell | U.S. Total | ||
| 2000 | Market | ||
| Fund | Value Index | Index | |
| Number of Stocks | 1,344 | 1,342 | 3,733 |
| Median Market Cap | $1.0B | $1.0B | $33.9B |
| Price/Earnings Ratio | 21.2x | 21.2x | 16.5x |
| Price/Book Ratio | 1.3x | 1.3x | 2.2x |
| Return on Equity | 6.1% | 6.1% | 18.2% |
| Earnings Growth Rate | -1.5% | -1.5% | 7.6% |
| Dividend Yield | 2.1% | 2.1% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 10% | — | — |
| Ticker Symbol | VTWV | — | — |
| Expense Ratio1 | 0.33% | — | — |
| 30-Day SEC Yield | 1.86% | — | — |
| Short-Term Reserves | 0.3% | — | — |
| Sector Diversification (% of equity exposure) | |||
| Russell | DJ | ||
| 2000 | U.S. Total | ||
| Value | Market | ||
| Fund | Index | Index | |
| Consumer | |||
| Discretionary | 12.1% | 12.1% | 11.9% |
| Consumer Staples | 2.9 | 3.0 | 9.4 |
| Energy | 4.7 | 4.7 | 11.2 |
| Financials | 36.9 | 36.8 | 15.4 |
| Health Care | 5.1 | 5.0 | 11.4 |
| Industrials | 15.1 | 15.1 | 11.2 |
| Information | |||
| Technology | 10.9 | 10.9 | 19.4 |
| Materials | 5.2 | 5.2 | 4.1 |
| Telecommunication | |||
| Services | 0.6 | 0.6 | 2.5 |
| Utilities | 6.5 | 6.6 | 3.5 |
| Ten Largest Holdings (% of total net assets) | ||
| BioMed Realty Trust Inc. | Office REITs | 0.5% |
| National Retail | ||
| Properties Inc. | Retail REITs | 0.5 |
| ProAssurance Corp. | Property & Casualty | |
| Insurance | 0.4 | |
| MFA Financial Inc. | Mortgage REITs | 0.4 |
| Hancock Holding Co. | Regional Banks | 0.4 |
| Coeur d'Alene Mines | Precious Metals & | |
| Corp. | Minerals | 0.4 |
| Cleco Corp. | Electric Utilities | 0.4 |
| Piedmont Natural Gas | ||
| Co. Inc. | Gas Utilities | 0.4 |
| Alaska Air Group Inc. | Airlines | 0.4 |
| Post Properties Inc. | Residential REITs | 0.4 |
| Top Ten | 4.2% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratio shown is from the prospectus dated December 29, 2011, and represents estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratio was 0.20%.
22
Russell 2000 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2012
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Since | |
| Date | Year | Inception | |
| ETF Shares | 9/20/2010 | ||
| Market Price | -5.11% | 7.75% | |
| Net Asset Value | -5.62 | 7.25 |
See Financial Highlights for dividend and capital gains information.
23
Russell 2000 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2012
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| Rent-A-Center Inc. | 1,192 | 42 | 0.3% |
| Men’s Wearhouse Inc. | 864 | 33 | 0.3% |
| Consumer Discretionary—Other † | 1,370 | 11.3% | |
| 1,445 | 11.9% | ||
| Consumer Staples † | 352 | 2.9% | |
| Energy | |||
| * Helix Energy Solutions Group Inc. | 2,158 | 41 | 0.3% |
| Bristow Group Inc. | 739 | 35 | 0.3% |
| Energy—Other † | 488 | 4.0% | |
| 564 | 4.6% | ||
| Financials | |||
| BioMed Realty Trust Inc. | 3,114 | 57 | 0.5% |
| National Retail Properties Inc. | 2,121 | 57 | 0.5% |
| ProAssurance Corp. | 620 | 54 | 0.4% |
| MFA Financial Inc. | 7,236 | 53 | 0.4% |
| Hancock Holding Co. | 1,547 | 53 | 0.4% |
| Post Properties Inc. | 1,071 | 47 | 0.4% |
| LaSalle Hotel Properties | 1,726 | 46 | 0.4% |
| Delphi Financial Group Inc. | 978 | 44 | 0.4% |
| Two Harbors Investment Corp. | 4,238 | 44 | 0.4% |
| Hatteras Financial Corp. | 1,523 | 43 | 0.4% |
| Entertainment Properties Trust | 947 | 43 | 0.4% |
| Alterra Capital Holdings Ltd. | 1,840 | 42 | 0.3% |
| Prosperity Bancshares Inc. | 953 | 42 | 0.3% |
| Invesco Mortgage Capital Inc. | 2,347 | 40 | 0.3% |
| * SVB Financial Group | 678 | 40 | 0.3% |
| Starwood Property Trust Inc. | 1,889 | 37 | 0.3% |
24
Russell 2000 Value Index Fund
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| CBL & Associates Properties Inc. | 2,067 | 36 | 0.3% |
| FirstMerit Corp. | 2,212 | 35 | 0.3% |
| Susquehanna Bancshares Inc. | 3,798 | 35 | 0.3% |
| Colonial Properties Trust | 1,692 | 35 | 0.3% |
| DiamondRock Hospitality Co. | 3,389 | 34 | 0.3% |
| * CNO Financial Group Inc. | 4,495 | 33 | 0.3% |
| First American Financial Corp. | 2,132 | 33 | 0.3% |
| Financials—Other † | 3,464 | 28.4% | |
| 4,447 | 36.6% | ||
| Health Care | |||
| * Viropharma Inc. | 1,435 | 46 | 0.4% |
| * HealthSouth Corp. | 1,927 | 39 | 0.3% |
| Health Care—Other † | 517 | 4.2% | |
| 602 | 4.9% | ||
| Industrials | |||
| * Alaska Air Group Inc. | 685 | 47 | 0.4% |
| Triumph Group Inc. | 674 | 43 | 0.4% |
| * Esterline Technologies Corp. | 617 | 40 | 0.3% |
| Robbins & Myers Inc. | 802 | 39 | 0.3% |
| EMCOR Group Inc. | 1,353 | 38 | 0.3% |
| * United Rentals Inc. | 898 | 37 | 0.3% |
| * Moog Inc. Class A | 832 | 37 | 0.3% |
| AO Smith Corp. | 774 | 35 | 0.3% |
| Curtiss-Wright Corp. | 940 | 35 | 0.3% |
| * FTI Consulting Inc. | 855 | 34 | 0.3% |
| Actuant Corp. Class A | 1,167 | 33 | 0.3% |
| Industrials—Other † | 1,390 | 11.4% | |
| 1,808 | 14.9% | ||
| Information Technology † | 1,302 | 10.7% | |
| Materials | |||
| * Coeur d’Alene Mines Corp. | 1,696 | 48 | 0.4% |
| Sensient Technologies Corp. | 1,017 | 38 | 0.3% |
| Materials—Other † | 534 | 4.4% | |
| 620 | 5.1% | ||
| Telecommunication Services † | 73 | 0.6% | |
| Utilities | |||
| Cleco Corp. | 1,237 | 48 | 0.4% |
| Piedmont Natural Gas Co. Inc. | 1,456 | 47 | 0.4% |
| WGL Holdings Inc. | 1,039 | 42 | 0.4% |
| IDACORP Inc. | 1,006 | 41 | 0.3% |
| Southwest Gas Corp. | 930 | 40 | 0.3% |
| New Jersey Resources Corp. | 841 | 39 | 0.3% |
| Portland General Electric Co. | 1,531 | 38 | 0.3% |
| UIL Holdings Corp. | 1,028 | 36 | 0.3% |
| Utilities—Other † | 459 | 3.8% | |
| 790 | 6.5% | ||
| Total Common Stocks (Cost $10,824) | 12,003 | 98.7%1 | |
25
Russell 2000 Value Index Fund
| Market | Percentage | ||||
| Maturity | Value | of Net | |||
| Coupon | Date | Shares | ($000) | Assets | |
| Temporary Cash Investments | |||||
| U.S. Government and Agency Obligations | |||||
| 2,3 Freddie Mac Discount Notes | 0.050% | 4/4/12 | 100 | 100 | 0.8% |
| 2 Freddie Mac Discount Notes | 0.050% | 4/24/12 | 100 | 100 | 0.8% |
| Total Temporary Cash Investments (Cost $200) | 200 | 1.6%1 | |||
| Total Investments (Cost $11,024) | 12,203 | 100.3% | |||
| Other Assets and Liabilities | |||||
| Other Assets | 43 | 0.4% | |||
| Liabilities | (84) | (0.7%) | |||
| (41) | (0.3%) | ||||
| Net Assets | 12,162 | 100.0% | |||
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 11,275 |
| Undistributed Net Investment Income | 6 |
| Accumulated Net Realized Losses | (314) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 1,179 |
| Futures Contracts | 16 |
| Net Assets | 12,162 |
| ETF Shares—Net Assets | |
| Applicable to 200,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 12,162 |
| Net Asset Value Per Share—ETF Shares | $60.81 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
3 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
26
Russell 2000 Value Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 106 |
| Total Income | 106 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative | 8 |
| Custodian Fees | 2 |
| Shareholders’ Reports | 1 |
| Total Expenses | 11 |
| Net Investment Income | 95 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 143 |
| Futures Contracts | 1 |
| Realized Net Gain (Loss) | 144 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 875 |
| Futures Contracts | 15 |
| Change in Unrealized Appreciation (Depreciation) | 890 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,129 |
See accompanying Notes, which are an integral part of the Financial Statements.
27
Russell 2000 Value Index Fund
| Statement of Changes in Net Assets | ||
| September 20, | ||
| Six Months Ended | 20101 to | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 95 | 107 |
| Realized Net Gain (Loss) | 144 | 345 |
| Change in Unrealized Appreciation (Depreciation) | 890 | 305 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,129 | 757 |
| Distributions | ||
| Net Investment Income | (144) | (42) |
| Realized Capital Gain | — | — |
| Total Distributions | (144) | (42) |
| Capital Share Transactions | ||
| Issued | — | 21,329 |
| Issued in Lieu of Cash Distributions | — | — |
| Redeemed | (5,364) | (5,503) |
| Net Increase (Decrease) from Capital Share Transactions | (5,364) | 15,826 |
| Total Increase (Decrease) | (4,379) | 16,541 |
| Net Assets | ||
| Beginning of Period | 16,541 | — |
| End of Period2 | 12,162 | 16,541 |
| 1 Inception. | ||
| 2 Net Assets—End of Period includes undistributed net investment income of $6,000 and $55,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
28
Russell 2000 Value Index Fund
Financial Highlights
| ETF Shares | ||
| Six Months | Sept. 20, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $55.14 | $52.39 |
| Investment Operations | ||
| Net Investment Income | .445 2 | .9212 |
| Net Realized and Unrealized Gain (Loss) on Investments | 5.945 | 2.249 |
| Total from Investment Operations | 6.390 | 3.170 |
| Distributions | ||
| Dividends from Net Investment Income | (.720) | (. 420) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (.720) | (. 420) |
| Net Asset Value, End of Period | $60.81 | $55.14 |
| Total Return | 11.68% | 5.98% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $12 | $17 |
| Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%3 |
| Ratio of Net Investment Income to Average Net Assets | 1.71% | 1.79% 3 |
| Portfolio Turnover Rate 4 | 10% | 101% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
29
Russell 2000 Value Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. The fund has not issued any Institutional Shares as of February 29, 2012. ETF Shares were first issued on September 20, 2010, and first offered to the public on September 22, 2010. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Other: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
30
Russell 2000 Value Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $2,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 12,003 | — | — |
| Temporary Cash Investments | — | 200 | — |
| Futures Contracts—Liabilities1 | (3) | — | — |
| Total | 12,000 | 200 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. At February 29, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini Russell 2000 Index | March 2012 | 2 | 162 | 16 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
31
Russell 2000 Value Index Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2012, the fund realized $132,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $325,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $11,024,000. Net unrealized appreciation of investment securities for tax purposes was $1,179,000, consisting of unrealized gains of $1,565,000 on securities that had risen in value since their purchase and $386,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2012, the fund purchased $567,000 of investment securities and sold $6,019,000 of investment securities, other than temporary cash investments.
G. Capital shares issued and redeemed were:
| Six Months Ended | September 20, 20101 to | |
| February 29, 2012 | August 31, 2011 | |
| Shares | Shares | |
| (000) | (000) | |
| ETF Shares | ||
| Issued | — | 400 |
| Issued in Lieu of Cash Distributions | — | — |
| Redeemed | (100) | (100) |
| Net Increase (Decrease) in Shares Outstanding | (100) | 300 |
| 1 Inception. |
H. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
32
Russell 2000 Growth Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | ||
| Institutional | ETF | |
| Shares | Shares | |
| Ticker Symbol | VRTGX | VTWG |
| Expense Ratio1 | 0.08% | 0.20% |
| 30-Day SEC Yield | 0.65% | 0.53% |
| Portfolio Characteristics | |||
| Russell | DJ | ||
| 2000 | U.S. Total | ||
| Growth | Market | ||
| Fund | Index | Index | |
| Number of Stocks | 1,151 | 1,147 | 3,733 |
| Median Market Cap | $1.4B | $1.4B | $33.9B |
| Price/Earnings Ratio | 27.0x | 26.9x | 16.5x |
| Price/Book Ratio | 3.3x | 3.3x | 2.2x |
| Return on Equity | 10.8% | 10.8% | 18.2% |
| Earnings Growth Rate | 9.9% | 9.9% | 7.6% |
| Dividend Yield | 0.7% | 0.7% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 60% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| Sector Diversification (% of equity exposure) | |||
| Russell | DJ | ||
| 2000 | U.S. Total | ||
| Growth | Market | ||
| Fund | Index | Index | |
| Consumer | |||
| Discretionary | 15.1% | 15.2% | 11.9% |
| Consumer Staples | 4.0 | 4.0 | 9.4 |
| Energy | 8.8 | 8.8 | 11.2 |
| Financials | 7.4 | 7.3 | 15.4 |
| Health Care | 20.1 | 20.1 | 11.4 |
| Industrials | 16.6 | 16.6 | 11.2 |
| Information | |||
| Technology | 22.6 | 22.7 | 19.4 |
| Materials | 4.3 | 4.2 | 4.1 |
| Telecommunication | |||
| Services | 1.0 | 1.0 | 2.5 |
| Utilities | 0.1 | 0.1 | 3.5 |
| Ten Largest Holdings (% of total net assets) | ||
| Parametric Technology | Application | |
| Corp. | Software | 0.5% |
| Nu Skin Enterprises Inc. | Personal Products | 0.5 |
| Clean Harbors Inc. | Environmental & | |
| Facilities Services | 0.5 | |
| Jack Henry & Associates | Data Processing & | |
| Inc. | Outsourced | |
| Services | 0.5 | |
| WellCare Health Plans | Managed Health | |
| Inc. | Care | 0.5 |
| Salix Pharmaceuticals | ||
| Ltd. | Pharmaceuticals | 0.5 |
| Energy XXI Bermuda | Oil & Gas | |
| Ltd. | Exploration & | |
| Production | 0.5 | |
| Berry Petroleum Co. | Oil & Gas | |
| Exploration & | ||
| Production | 0.5 | |
| Home Properties Inc. | Residential REITs | 0.5 |
| Signature Bank | Regional Banks | 0.5 |
| Top Ten | 5.0% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
33
Russell 2000 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2012
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Since | |
| Date | Year | Inception | |
| Institutional Shares | 5/25/2011 | — | -9.61% |
| ETF Shares | 9/20/2010 | ||
| Market Price | -3.27% | 11.62 | |
| Net Asset Value | -3.11 | 11.63 |
See Financial Highlights for dividend and capital gains information.
34
Russell 2000 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2012
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| Sotheby’s | 5,791 | 228 | 0.4% |
| * Ascena Retail Group Inc. | 5,383 | 208 | 0.4% |
| * Tenneco Inc. | 5,182 | 200 | 0.4% |
| * Dana Holding Corp. | 11,825 | 189 | 0.4% |
| Brunswick Corp. | 7,650 | 183 | 0.4% |
| * Carter’s Inc. | 3,654 | 177 | 0.3% |
| * Warnaco Group Inc. | 2,929 | 172 | 0.3% |
| Consumer Discretionary—Other † | 6,450 | 12.5% | |
| 7,807 | 15.1% | ||
| Consumer Staples | |||
| Nu Skin Enterprises Inc. Class A | 4,699 | 271 | 0.5% |
| * United Natural Foods Inc. | 4,156 | 189 | 0.4% |
| Consumer Staples—Other † | 1,614 | 3.1% | |
| 2,074 | 4.0% | ||
| Energy | |||
| * Energy XXI Bermuda Ltd. | 6,458 | 242 | 0.5% |
| Berry Petroleum Co. Class A | 4,420 | 239 | 0.5% |
| * Rosetta Resources Inc. | 4,544 | 232 | 0.5% |
| * Kodiak Oil & Gas Corp. | 22,087 | 214 | 0.4% |
| Lufkin Industries Inc. | 2,611 | 208 | 0.4% |
| * Dril-Quip Inc. | 2,953 | 207 | 0.4% |
| * CVR Energy Inc. | 7,543 | 205 | 0.4% |
| Energy—Other † | 2,984 | 5.7% | |
| 4,531 | 8.8% | ||
| Financials | |||
| Home Properties Inc. | 4,118 | 237 | 0.5% |
| * Signature Bank | 3,950 | 234 | 0.5% |
| Tanger Factory Outlet Centers | 7,364 | 216 | 0.4% |
| Mid-America Apartment Communities Inc. | 3,153 | 197 | 0.4% |
| Financials—Other † | 2,930 | 5.6% | |
| 3,814 | 7.4% |
35
Russell 2000 Growth Index Fund
| Market | Percentage | |||
| Value | of Net | |||
| Shares | ($000) | Assets | ||
| Health Care | ||||
| * | WellCare Health Plans Inc. | 3,649 | 248 | 0.5% |
| * | Salix Pharmaceuticals Ltd. | 5,007 | 247 | 0.5% |
| * | HMS Holdings Corp. | 7,268 | 234 | 0.5% |
| * | Cepheid Inc. | 5,593 | 226 | 0.4% |
| * | Cubist Pharmaceuticals Inc. | 5,139 | 220 | 0.4% |
| * | athenahealth Inc. | 2,996 | 212 | 0.4% |
| * | Onyx Pharmaceuticals Inc. | 5,430 | 208 | 0.4% |
| * | Ariad Pharmaceuticals Inc. | 13,536 | 194 | 0.4% |
| * | Questcor Pharmaceuticals Inc. | 4,563 | 178 | 0.4% |
| * | Medivation Inc. | 2,693 | 176 | 0.3% |
| * | Vivus Inc. | 7,614 | 171 | 0.3% |
| Health Care—Other † | 8,066 | 15.6% | ||
| 10,380 | 20.1% | |||
| Industrials | ||||
| * | Clean Harbors Inc. | 4,018 | 270 | 0.5% |
| Acuity Brands Inc. | 3,712 | 231 | 0.5% | |
| Woodward Inc. | 5,272 | 231 | 0.5% | |
| CLARCOR Inc. | 4,115 | 208 | 0.4% | |
| * | Genesee & Wyoming Inc. Class A | 3,396 | 202 | 0.4% |
| HEICO Corp. | 3,575 | 195 | 0.4% | |
| * | Dollar Thrifty Automotive Group Inc. | 2,479 | 188 | 0.4% |
| * | Hexcel Corp. | 7,119 | 180 | 0.4% |
| * | Old Dominion Freight Line Inc. | 4,077 | 177 | 0.3% |
| * | Chart Industries Inc. | 2,524 | 173 | 0.3% |
| Watsco Inc. | 2,410 | 172 | 0.3% | |
| Industrials—Other † | 6,349 | 12.2% | ||
| 8,576 | 16.6% | |||
| Information Technology | ||||
| * | Parametric Technology Corp. | 10,215 | 273 | 0.5% |
| Jack Henry & Associates Inc. | 7,403 | 250 | 0.5% | |
| * | Concur Technologies Inc. | 3,827 | 226 | 0.4% |
| * | Wright Express Corp. | 3,311 | 205 | 0.4% |
| ADTRAN Inc. | 5,543 | 195 | 0.4% | |
| * | CommVault Systems Inc. | 3,774 | 195 | 0.4% |
| * | QLIK Technologies Inc. | 6,048 | 183 | 0.4% |
| * | SolarWinds Inc. | 4,882 | 182 | 0.4% |
| Information Technology—Other † | 9,970 | 19.2% | ||
| 11,679 | 22.6% | |||
| Materials † | 2,195 | 4.3% | ||
| Telecommunication Services † | 496 | 1.0% | ||
| Utilities † | 48 | 0.1% | ||
| Total Investments (Cost $46,678) | 51,600 | 100.0% | ||
| Other Assets and Liabilities | ||||
| Other Assets | 160 | 0.3% | ||
| Liabilities | (160) | (0.3%) | ||
| (0) | (0.0%) | |||
| Net Assets | 51,600 | 100.0% | ||
36
Russell 2000 Growth Index Fund
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 48,598 |
| Undistributed Net Investment Income | 34 |
| Accumulated Net Realized Losses | (1,954) |
| Unrealized Appreciation (Depreciation) | 4,922 |
| Net Assets | 51,600 |
| Institutional Shares—Net Assets | |
| Applicable to 243,906 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 31,337 |
| Net Asset Value Per Share—Institutional Shares | $128.48 |
| ETF Shares—Net Assets | |
| Applicable to 300,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 20,263 |
| Net Asset Value Per Share—ETF Shares | $67.54 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
See accompanying Notes, which are an integral part of the Financial Statements.
37
Russell 2000 Growth Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 162 |
| Total Income | 162 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 4 |
| Management and Administrative—ETF Shares | 9 |
| Marketing and Distribution—Institutional Shares | — |
| Marketing and Distribution—ETF Shares | — |
| Custodian Fees | 12 |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 1 |
| Total Expenses | 26 |
| Net Investment Income | 136 |
| Realized Net Gain (Loss) on Investment Securities Sold | (631) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | 7,631 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 7,136 |
See accompanying Notes, which are an integral part of the Financial Statements.
38
Russell 2000 Growth Index Fund
| Statement of Changes in Net Assets | ||
| September 20 | ||
| Six Months Ended | 20101, to | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 136 | 86 |
| Realized Net Gain (Loss) | (631) | 112 |
| Change in Unrealized Appreciation (Depreciation) | 7,631 | (2,709) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 7,136 | (2,511) |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (126) | — |
| ETF Shares | (37) | (17) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (163) | (17) |
| Capital Share Transactions | ||
| Institutional Shares | 4,254 | 23,736 |
| ETF Shares | 6,458 | 12,707 |
| Net Increase (Decrease) from Capital Share Transactions | 10,712 | 36,443 |
| Total Increase (Decrease) | 17,685 | 33,915 |
| Net Assets | ||
| Beginning of Period | 33,915 | — |
| End of Period2 | 51,600 | 33,915 |
| 1 Inception. | ||
| 2 Net Assets—End of Period includes undistributed net investment income of $34,000 and $61,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
39
Russell 2000 Growth Index Fund
Financial Highlights
| Institutional Shares | ||
| Six Months | May 25, | |
| Ended | 20111 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $114.21 | $128.54 |
| Investment Operations | ||
| Net Investment Income | .322 | .228 |
| Net Realized and Unrealized Gain (Loss) on Investments | 14.403 | (14.558) |
| Total from Investment Operations | 14.725 | (14.330) |
| Distributions | ||
| Dividends from Net Investment Income | (. 455) | — |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (. 455) | — |
| Net Asset Value, End of Period | $128.48 | $114.21 |
| Total Return | 12.94% | -11.15% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $31 | $22 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
| Ratio of Net Investment Income to Average Net Assets | 0.65% | 0.57%2 |
| Portfolio Turnover Rate 3 | 60% | 78% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Russell 2000 Growth Index Fund
Financial Highlights
| ETF Shares | ||
| Six Months | Sept. 20, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $60.02 | $53.17 |
| Investment Operations | ||
| Net Investment Income | .135 | .258 |
| Net Realized and Unrealized Gain (Loss) on Investments | 7.570 | 6.762 |
| Total from Investment Operations | 7.705 | 7.020 |
| Distributions | ||
| Dividends from Net Investment Income | (.185) | (.170) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (.185) | (.170) |
| Net Asset Value, End of Period | $67.54 | $60.02 |
| Total Return | 12.87% | 13.18% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $20 | $12 |
| Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%2 |
| Ratio of Net Investment Income to Average Net Assets | 0.53% | 0.45%2 |
| Portfolio Turnover Rate 3 | 60% | 78% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
41
Russell 2000 Growth Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on May 25, 2011. ETF Shares were first issued on September 20, 2010, and first offered to the public on September 22, 2010. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $9,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
42
Russell 2000 Growth Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At February 29, 2012, 100% of the market value of the fund’s investments was based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $1,318,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $46,678,000. Net unrealized appreciation of investment securities for tax purposes was $4,922,200, consisting of unrealized gains of $6,634,000 on securities that had risen in value since their purchase and $1,712,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $24,028,000 of investment securities and sold $13,377,000 of investment securities, other than temporary cash investments.
43
Russell 2000 Growth Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Inception1 to | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 15,000 | 136 | 23,736 | 192 |
| Issued in Lieu of Cash Distributions | 126 | 1 | — | — |
| Redeemed | (10,872) | (85) | — | — |
| Net Increase (Decrease)—Institutional Shares | 4,254 | 52 | 23,736 | 192 |
| ETF Shares | ||||
| Issued | 6,458 | 100 | 24,726 | 400 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (12,019) | (200) |
| Net Increase (Decrease)—ETF Shares | 6,458 | 100 | 12,707 | 200 |
| 1 Inception was September 20, 2010, for the ETF Shares and May 25, 2011, for the Institutional Shares. | ||||
At February 29, 2012, one shareholder was the record or beneficial owner of 48% of the fund’s net assets. If the shareholder were to redeem its total investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or result in the realization of taxable capital gains.
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
44
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
45
| Six Months Ended February 29, 2012 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 8/31/2011 | 2/29/2012 | Period | |
| Based on Actual Fund Return | |||
| Russell 2000 Index Fund | |||
| Institutional Shares | $1,000.00 | $1,123.39 | $0.42 |
| ETF Shares | 1,000.00 | 1,123.04 | 0.79 |
| Russell 2000 Value Index Fund | |||
| ETF Shares | $1,000.00 | $1,116.82 | $1.05 |
| Russell 2000 Growth Index Fund | |||
| Institutional Shares | $1,000.00 | $1,129.35 | $0.42 |
| ETF Shares | 1,000.00 | 1,128.68 | 1.06 |
| Based on Hypothetical 5% Yearly Return | |||
| Russell 2000 Index Fund | |||
| Institutional Shares | $1,000.00 | $1,024.47 | $0.40 |
| ETF Shares | 1,000.00 | 1,024.12 | 0.75 |
| Russell 2000 Value Index Fund | |||
| ETF Shares | $1,000.00 | $1,023.87 | $1.01 |
| Russell 2000 Growth Index Fund | |||
| Institutional Shares | $1,000.00 | $1,024.47 | $0.40 |
| ETF Shares | 1,000.00 | 1,023.87 | 1.01 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Russell 2000 Index Fund, 0.08% for Institutional Shares and 0.15% for ETF Shares; for the Russell 2000 Value Index Fund, 0.20% for ETF Shares; and for the Russell 2000 Growth Index Fund, 0.08% for Institutional Shares and 0.20% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
46
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
47
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
48
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| Interested Trustee1 | and President (2006–2008) of Rohm Haas Co. |
| (chemicals); Director of Tyco International, Ltd. | |
| F. William McNabb III | (diversified manufacturing and services), Hewlett- |
| Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing), |
| Board. Principal Occupation(s) During the Past Five | and Delphi Automotive LLP (automotive components); |
| Years: Chairman of the Board of The Vanguard Group, | Senior Advisor at New Mountain Capital; Trustee of |
| Inc., and of each of the investment companies served | The Conference Board. |
| by The Vanguard Group, since January 2010; Director | |
| of The Vanguard Group since 2008; Chief Executive | Amy Gutmann |
| Officer and President of The Vanguard Group and of | Born 1949. Trustee Since June 2006. Principal |
| each of the investment companies served by The | Occupation(s) During the Past Five Years: President |
| Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Christopher H. |
| Marketing Corporation; Managing Director of The | Browne Distinguished Professor of Political Science |
| Vanguard Group (1995–2008). | in the School of Arts and Sciences with secondary |
| appointments at the Annenberg School for Commu- | |
| nication and the Graduate School of Education | |
| Independent Trustees | of the University of Pennsylvania; Director of |
| Carnegie Corporation of New York, Schuylkill River | |
| Emerson U. Fullwood | Development Corporation, and Greater Philadelphia |
| Born 1948. Trustee Since January 2008. Principal | Chamber of Commerce; Trustee of the National |
| Occupation(s) During the Past Five Years: Executive | Constitution Center; Chair of the Presidential |
| Chief Staff and Marketing Officer for North America | Commission for the Study of Bioethical Issues. |
| and Corporate Vice President (retired 2008) of Xerox | |
| Corporation (document management products and | JoAnn Heffernan Heisen |
| services); Executive in Residence and 2010 | Born 1950. Trustee Since July 1998. Principal |
| Distinguished Minett Professor at the Rochester | Occupation(s) During the Past Five Years: Corporate |
| Institute of Technology; Director of SPX Corporation | Vice President and Chief Global Diversity Officer |
| (multi-industry manufacturing), the United Way of | (retired 2008) and Member of the Executive |
| Rochester, Amerigroup Corporation (managed health | Committee (1997–2008) of Johnson & Johnson |
| care), the University of Rochester Medical Center, | (pharmaceuticals/medical devices/consumer |
| Monroe Community College Foundation, and North | products); Director of Skytop Lodge Corporation |
| Carolina A&T University. | (hotels), the University Medical Center at Princeton, |
| the Robert Wood Johnson Foundation, and the Center | |
| Rajiv L. Gupta | for Talent Innovation; Member of the Advisory Board |
| Born 1945. Trustee Since December 2001.2 | of the Maxwell School of Citizenship and Public Affairs |
| Principal Occupation(s) During the Past Five Years: | at Syracuse University. |
| Chairman and Chief Executive Officer (retired 2009) |
| F. Joseph Loughrey | Group since 2010; Assistant Controller of each of | |
| Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard | |
| Occupation(s) During the Past Five Years: President | Group (2001–2010). | |
| and Chief Operating Officer (retired 2009) and Vice | ||
| Chairman of the Board (2008–2009) of Cummins Inc. | Thomas J. Higgins | |
| (industrial machinery); Director of SKF AB (industrial | Born 1957. Chief Financial Officer Since September | |
| machinery), Hillenbrand, Inc. (specialized consumer | 2008. Principal Occupation(s) During the Past Five | |
| services), the Lumina Foundation for Education, and | Years: Principal of The Vanguard Group, Inc.; Chief | |
| Oxfam America; Chairman of the Advisory Council | Financial Officer of each of the investment companies | |
| for the College of Arts and Letters and Member | served by The Vanguard Group since 2008; Treasurer | |
| of the Advisory Board to the Kellogg Institute for | of each of the investment companies served by The | |
| International Studies at the University of Notre Dame. | Vanguard Group (1998–2008). | |
| André F. Perold | Kathryn J. Hyatt | |
| Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
| Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
| Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
| Business School (retired 2011); Chief Investment | the investment companies served by The Vanguard | |
| Officer and Managing Partner of HighVista Strategies | Group since 2008; Assistant Treasurer of each of the | |
| LLC (private investment firm); Director of Rand | investment companies served by The Vanguard Group | |
| Merchant Bank; Overseer of the Museum of Fine | (1988–2008). | |
| Arts Boston. | ||
| Heidi Stam | ||
| Alfred M. Rankin, Jr. | Born 1956. Secretary Since July 2005. Principal | |
| Born 1941. Trustee Since January 1993. Principal | Occupation(s) During the Past Five Years: Managing | |
| Occupation(s) During the Past Five Years: Chairman, | Director of The Vanguard Group, Inc., since 2006; | |
| President, and Chief Executive Officer of NACCO | General Counsel of The Vanguard Group since 2005; | |
| Industries, Inc. (forklift trucks/housewares/lignite); | Secretary of The Vanguard Group and of each of the | |
| Director of Goodrich Corporation (industrial products/ | investment companies served by The Vanguard Group | |
| aircraft systems and services) and the National | since 2005; Director and Senior Vice President of | |
| Association of Manufacturers; Chairman of the Board | Vanguard Marketing Corporation since 2005; | |
| of the Federal Reserve Bank of Cleveland and of | Principal of The Vanguard Group (1997–2006). | |
| University Hospitals of Cleveland; Advisory Chairman | ||
| of the Board of The Cleveland Museum of Art. | ||
| Vanguard Senior Management Team | ||
| Peter F. Volanakis | ||
| Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | Michael S. Miller |
| Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | James M. Norris |
| and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | Glenn W. Reed |
| Incorporated (communications equipment); Director of | Martha G. King | George U. Sauter |
| Corning Incorporated (2000-2010) and Dow Corning | Chris D. McIsaac | |
| (2001–2010); Director of SPX Corporation (multi- | ||
| industry manufacturing); Overseer of the Amos Tuck | Chairman Emeritus and Senior Advisor | |
| School of Business Administration at Dartmouth | ||
| College; Advisor to the Norris Cotton Cancer Center. | John J. Brennan | |
| Chairman, 1996–2009 | ||
| Chief Executive Officer and President, 1996–2008 | ||
| Executive Officers | ||
| Glenn Booraem | Founder | |
| Born 1967. Controller Since July 2010. Principal | ||
| Occupation(s) During the Past Five Years: Principal | John C. Bogle | |
| of The Vanguard Group, Inc.; Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
| the investment companies served by The Vanguard | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
 | |
| P.O. Box 2600 | |
| Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
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| This material may be used in conjunction | |
| with the offering of shares of any Vanguard | |
| fund only if preceded or accompanied by | |
| the fund’s current prospectus. | |
| All comparative mutual fund data are from Lipper Inc. or | |
| Morningstar, Inc., unless otherwise noted. | |
| You can obtain a free copy of Vanguard’s proxy voting | |
| guidelines by visiting vanguard.com/proxyreporting or by | |
| calling Vanguard at 800-662-2739. The guidelines are | |
| also available from the SEC’s website, sec.gov. In | |
| addition, you may obtain a free report on how your fund | |
| voted the proxies for securities it owned during the 12 | |
| months ended June 30. To get the report, visit either | |
| vanguard.com/proxyreporting or sec.gov. | |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
| copies of this information, for a fee, by sending a | |
| request in either of two ways: via e-mail addressed to | |
| publicinfo@sec.gov or via regular mail addressed to the | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| © 2012 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q18512 042012 | |
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (100.0%)1 | ||
| Consumer Discretionary (13.6%) | ||
| Sotheby's | 13,204 | 519 |
| * Ascena Retail Group Inc. | 12,278 | 474 |
| * Carter's Inc. | 9,608 | 467 |
| * Warnaco Group Inc. | 7,913 | 465 |
| * Dana Holding Corp. | 28,591 | 457 |
| * Tenneco Inc. | 11,818 | 455 |
| * Domino's Pizza Inc. | 11,376 | 438 |
| Brunswick Corp. | 17,405 | 416 |
| * Life Time Fitness Inc. | 8,267 | 409 |
| Rent-A-Center Inc. | 11,485 | 407 |
| Men's Wearhouse Inc. | 10,063 | 390 |
| Cinemark Holdings Inc. | 18,167 | 380 |
| Wolverine World Wide Inc. | 9,702 | 370 |
| Six Flags Entertainment Corp. | 8,150 | 369 |
| * Coinstar Inc. | 6,129 | 357 |
| * Crocs Inc. | 17,644 | 347 |
| Pool Corp. | 9,417 | 343 |
| * Cheesecake Factory Inc. | 11,289 | 335 |
| * Pier 1 Imports Inc. | 19,179 | 329 |
| * Select Comfort Corp. | 10,866 | 322 |
| * Steven Madden Ltd. | 7,395 | 319 |
| * Genesco Inc. | 4,630 | 315 |
| * Buffalo Wild Wings Inc. | 3,581 | 310 |
| * Cabela's Inc. | 8,456 | 300 |
| Vail Resorts Inc. | 7,038 | 296 |
| HSN Inc. | 7,813 | 290 |
| * Aeropostale Inc. | 15,780 | 284 |
| Hillenbrand Inc. | 12,255 | 281 |
| * JOS A Bank Clothiers Inc. | 5,400 | 278 |
| Monro Muffler Brake Inc. | 5,959 | 273 |
| * Saks Inc. | 22,543 | 263 |
| * Hibbett Sports Inc. | 5,356 | 262 |
| * Iconix Brand Group Inc. | 14,258 | 259 |
| * Childrens Place Retail Stores Inc. | 5,100 | 259 |
| * Live Nation Entertainment Inc. | 27,587 | 257 |
| * Express Inc. | 10,801 | 257 |
| Cracker Barrel Old Country Store Inc. | 4,486 | 250 |
| Strayer Education Inc. | 2,393 | 246 |
| * ANN Inc. | 10,175 | 243 |
| Buckle Inc. | 5,265 | 236 |
| Meredith Corp. | 7,103 | 234 |
| * BJ's Restaurants Inc. | 4,701 | 233 |
| Finish Line Inc. Class A | 10,131 | 233 |
| Group 1 Automotive Inc. | 4,444 | 229 |
| * Valassis Communications Inc. | 8,748 | 219 |
| Bob Evans Farms Inc. | 5,923 | 218 |
| * Collective Brands Inc. | 12,032 | 217 |
| Penske Automotive Group Inc. | 8,727 | 210 |
| * Gaylord Entertainment Co. | 6,967 | 207 |
| * Vitamin Shoppe Inc. | 4,850 | 206 |
| Texas Roadhouse Inc. Class A | 12,300 | 206 |
| * Jack in the Box Inc. | 8,595 | 205 |
| Cooper Tire & Rubber Co. | 12,138 | 201 |
| * Helen of Troy Ltd. | 6,033 | 196 |
| Regis Corp. | 11,292 | 195 |
| * Orient-Express Hotels Ltd. Class A | 18,628 | 184 |
| * Liz Claiborne Inc. | 18,490 | 181 |
| MDC Holdings Inc. | 7,331 | 180 |
| * Office Depot Inc. | 54,260 | 179 |
| Matthews International Corp. Class A | 5,769 | 179 |
| Arbitron Inc. | 5,304 | 177 |
1
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * New York Times Co. Class A | 26,814 | 177 |
| KB Home | 15,044 | 172 |
| National CineMedia Inc. | 10,778 | 171 |
| * DineEquity Inc. | 3,023 | 161 |
| * Peet's Coffee & Tea Inc. | 2,505 | 161 |
| * Shutterfly Inc. | 5,823 | 159 |
| Scholastic Corp. | 5,209 | 159 |
| PF Chang's China Bistro Inc. | 4,146 | 159 |
| Ryland Group Inc. | 8,701 | 158 |
| Jones Group Inc. | 15,857 | 156 |
| PEP Boys-Manny Moe & Jack | 10,324 | 155 |
| * Shuffle Master Inc. | 10,594 | 155 |
| Sturm Ruger & Co. Inc. | 3,688 | 154 |
| * American Axle & Manufacturing Holdings Inc. | 13,091 | 149 |
| CEC Entertainment Inc. | 3,892 | 149 |
| * Asbury Automotive Group Inc. | 5,724 | 148 |
| Cato Corp. Class A | 5,423 | 147 |
| * Steiner Leisure Ltd. | 2,937 | 147 |
| * La-Z-Boy Inc. | 10,169 | 145 |
| International Speedway Corp. Class A | 5,774 | 145 |
| * GNC Holdings Inc. Class A | 4,480 | 145 |
| * Vera Bradley Inc. | 3,884 | 143 |
| * Meritage Homes Corp. | 5,480 | 142 |
| * Ascent Capital Group Inc. Class A | 2,823 | 139 |
| * American Public Education Inc. | 3,507 | 137 |
| * Papa John's International Inc. | 3,661 | 136 |
| Sonic Automotive Inc. Class A | 7,890 | 135 |
| * Pinnacle Entertainment Inc. | 12,140 | 134 |
| * True Religion Apparel Inc. | 5,054 | 133 |
| * Zumiez Inc. | 4,164 | 131 |
| Belo Corp. Class A | 18,154 | 130 |
| * Charming Shoppes Inc. | 22,790 | 129 |
| Churchill Downs Inc. | 2,463 | 129 |
| Oxford Industries Inc. | 2,517 | 127 |
| Ameristar Casinos Inc. | 6,318 | 125 |
| * Lions Gate Entertainment Corp. | 8,838 | 121 |
| * Scientific Games Corp. Class A | 11,408 | 120 |
| Ethan Allen Interiors Inc. | 4,734 | 120 |
| * Quiksilver Inc. | 25,440 | 119 |
| * iRobot Corp. | 4,658 | 119 |
| Columbia Sportswear Co. | 2,380 | 119 |
| Sinclair Broadcast Group Inc. Class A | 9,889 | 113 |
| American Greetings Corp. Class A | 7,513 | 113 |
| * Capella Education Co. | 2,835 | 110 |
| * K12 Inc. | 5,097 | 110 |
| * Interval Leisure Group Inc. | 7,886 | 106 |
| * Knology Inc. | 5,891 | 105 |
| * Drew Industries Inc. | 3,747 | 103 |
| Lithia Motors Inc. Class A | 4,327 | 102 |
| Fred's Inc. Class A | 7,262 | 101 |
| * Sonic Corp. | 12,117 | 100 |
| * Ruby Tuesday Inc. | 12,764 | 99 |
| * Lumber Liquidators Holdings Inc. | 4,535 | 99 |
| * Biglari Holdings Inc. | 238 | 98 |
| * Maidenform Brands Inc. | 4,589 | 96 |
| * Dorman Products Inc. | 2,121 | 96 |
| * Grand Canyon Education Inc. | 5,621 | 96 |
| Stewart Enterprises Inc. Class A | 15,447 | 96 |
| * OfficeMax Inc. | 16,856 | 94 |
| * Krispy Kreme Doughnuts Inc. | 11,466 | 94 |
| * Skechers U.S.A. Inc. Class A | 7,342 | 94 |
| * Standard Pacific Corp. | 20,827 | 91 |
| Stage Stores Inc. | 6,100 | 91 |
| Core-Mark Holding Co. Inc. | 2,234 | 90 |
2
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Brown Shoe Co. Inc. | 8,229 | 89 |
| Standard Motor Products Inc. | 3,858 | 88 |
| * Red Robin Gourmet Burgers Inc. | 2,545 | 88 |
| * Arctic Cat Inc. | 2,379 | 87 |
| * Boyd Gaming Corp. | 10,741 | 86 |
| * Bridgepoint Education Inc. | 3,503 | 85 |
| * Fuel Systems Solutions Inc. | 3,263 | 84 |
| * Blue Nile Inc. | 2,337 | 83 |
| Superior Industries International Inc. | 4,590 | 83 |
| Jakks Pacific Inc. | 5,335 | 83 |
| * Modine Manufacturing Co. | 9,124 | 83 |
| Callaway Golf Co. | 12,629 | 83 |
| * G-III Apparel Group Ltd. | 3,238 | 81 |
| * Denny's Corp. | 19,394 | 80 |
| * Rue21 Inc. | 2,937 | 78 |
| * AFC Enterprises Inc. | 4,855 | 78 |
| Harte-Hanks Inc. | 8,678 | 76 |
| * Barnes & Noble Inc. | 5,694 | 76 |
| * America's Car-Mart Inc. | 1,680 | 75 |
| HOT Topic Inc. | 8,283 | 74 |
| * Bravo Brio Restaurant Group Inc. | 3,777 | 73 |
| Movado Group Inc. | 3,392 | 73 |
| * Corinthian Colleges Inc. | 15,279 | 69 |
| Bebe Stores Inc. | 7,533 | 67 |
| Blyth Inc. | 1,019 | 65 |
| * Body Central Corp. | 2,306 | 64 |
| * Amerigon Inc. | 4,361 | 64 |
| MDC Partners Inc. Class A | 4,916 | 64 |
| * Wet Seal Inc. Class A | 17,746 | 62 |
| * Smith & Wesson Holding Corp. | 11,814 | 62 |
| * Cavco Industries Inc. | 1,337 | 60 |
| Nutrisystem Inc. | 5,285 | 60 |
| * EW Scripps Co. Class A | 6,180 | 59 |
| * Universal Electronics Inc. | 2,946 | 58 |
| * Universal Technical Institute Inc. | 4,416 | 57 |
| * Leapfrog Enterprises Inc. | 8,125 | 57 |
| * Multimedia Games Holding Co. Inc. | 5,274 | 54 |
| * Digital Generation Inc. | 5,375 | 54 |
| * Central European Media Enterprises Ltd. Class A | 7,183 | 54 |
| * Kirkland's Inc. | 3,285 | 52 |
| * Winnebago Industries Inc. | 5,710 | 51 |
| * Stoneridge Inc. | 5,186 | 50 |
| * Fisher Communications Inc. | 1,731 | 50 |
| * Cost Plus Inc. | 3,724 | 49 |
| World Wrestling Entertainment Inc. Class A | 5,344 | 49 |
| * Libbey Inc. | 3,889 | 49 |
| PetMed Express Inc. | 3,988 | 49 |
| Marcus Corp. | 3,998 | 48 |
| * Shoe Carnival Inc. | 1,795 | 47 |
| * Beazer Homes USA Inc. | 14,938 | 47 |
| * Zagg Inc. | 4,348 | 46 |
| * VOXX International Corp. Class A | 3,538 | 45 |
| * Exide Technologies | 15,176 | 45 |
| * Francesca's Holdings Corp. | 1,963 | 45 |
| * M/I Homes Inc. | 3,669 | 44 |
| * Ruth's Hospitality Group Inc. | 6,898 | 43 |
| * Caribou Coffee Co. Inc. | 2,532 | 42 |
| * Perry Ellis International Inc. | 2,391 | 42 |
| * Town Sports International Holdings Inc. | 4,018 | 41 |
| * Systemax Inc. | 2,118 | 41 |
| * Talbots Inc. | 13,706 | 41 |
| Haverty Furniture Cos. Inc. | 3,683 | 41 |
| * Journal Communications Inc. Class A | 8,470 | 40 |
| * Rentrak Corp. | 1,865 | 39 |
3
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2012 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Stein Mart Inc. | 5,385 | 39 |
| Destination Maternity Corp. | 2,104 | 38 | |
| * | hhgregg Inc. | 3,305 | 38 |
| * | Conn's Inc. | 2,841 | 38 |
| Lincoln Educational Services Corp. | 4,428 | 37 | |
| Spartan Motors Inc. | 6,538 | 37 | |
| * | Mattress Firm Holding Corp. | 1,120 | 37 |
| * | MarineMax Inc. | 4,555 | 37 |
| Speedway Motorsports Inc. | 2,315 | 36 | |
| * | O'Charleys Inc. | 3,615 | 36 |
| Big 5 Sporting Goods Corp. | 4,311 | 34 | |
| * | Hovnanian Enterprises Inc. Class A | 12,009 | 33 |
| * | Entercom Communications Corp. Class A | 4,743 | 33 |
| *,^ | Teavana Holdings Inc. | 1,401 | 33 |
| Weyco Group Inc. | 1,405 | 33 | |
| Mac-Gray Corp. | 2,332 | 32 | |
| * | Steinway Musical Instruments Inc. | 1,293 | 32 |
| * | Citi Trends Inc. | 2,936 | 32 |
| CSS Industries Inc. | 1,590 | 31 | |
| * | West Marine Inc. | 2,902 | 31 |
| * | Black Diamond Inc. | 3,652 | 30 |
| Benihana Inc. Class A | 2,830 | 29 | |
| * | Carrols Restaurant Group Inc. | 2,470 | 29 |
| * | Tuesday Morning Corp. | 8,451 | 29 |
| * | McClatchy Co. Class A | 11,315 | 29 |
| * | Jamba Inc. | 12,921 | 27 |
| * | Skullcandy Inc. | 1,889 | 27 |
| * | Saga Communications Inc. Class A | 707 | 27 |
| * | Casual Male Retail Group Inc. | 8,261 | 26 |
| Winmark Corp. | 443 | 26 | |
| * | Cumulus Media Inc. Class A | 7,389 | 25 |
| * | Isle of Capri Casinos Inc. | 4,002 | 25 |
| Martha Stewart Living Omnimedia Class A | 5,336 | 24 | |
| * | LIN TV Corp. Class A | 5,813 | 24 |
| RG Barry Corp. | 1,685 | 24 | |
| * | Archipelago Learning Inc. | 2,561 | 23 |
| * | Kenneth Cole Productions Inc. Class A | 1,480 | 23 |
| * | Delta Apparel Inc. | 1,389 | 23 |
| * | Unifi Inc. | 2,731 | 23 |
| * | Morgans Hotel Group Co. | 4,325 | 22 |
| * | Red Lion Hotels Corp. | 2,877 | 22 |
| Lifetime Brands Inc. | 1,820 | 21 | |
| * | Zale Corp. | 6,301 | 20 |
| * | Gray Television Inc. | 9,726 | 20 |
| Outdoor Channel Holdings Inc. | 2,817 | 20 | |
| * | Pacific Sunwear of California Inc. | 9,300 | 20 |
| * | Motorcar Parts of America Inc. | 2,366 | 20 |
| Cherokee Inc. | 1,668 | 19 | |
| * | Monarch Casino & Resort Inc. | 1,747 | 18 |
| Ambassadors Group Inc. | 3,471 | 18 | |
| * | Luby's Inc. | 3,598 | 18 |
| * | Nexstar Broadcasting Group Inc. Class A | 2,148 | 18 |
| * | K-Swiss Inc. Class A | 5,191 | 17 |
| AH Belo Corp. Class A | 3,657 | 17 | |
| * | Sealy Corp. | 9,668 | 17 |
| Entravision Communications Corp. Class A | 10,005 | 17 | |
| Einstein Noah Restaurant Group Inc. | 1,174 | 16 | |
| * | Tower International Inc. | 1,289 | 16 |
| * | Summer Infant Inc. | 2,658 | 16 |
| * | Build-A-Bear Workshop Inc. | 2,910 | 16 |
| * | Gordmans Stores Inc. | 1,042 | 16 |
| * | Johnson Outdoors Inc. Class A | 961 | 16 |
| * | ReachLocal Inc. | 1,956 | 15 |
| Christopher & Banks Corp. | 7,112 | 15 | |
4
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Orbitz Worldwide Inc. | 4,102 | 15 |
| * Overstock.com Inc. | 2,270 | 14 |
| * US Auto Parts Network Inc. | 2,900 | 14 |
| * New York & Co. Inc. | 5,336 | 14 |
| * 1-800-Flowers.com Inc. Class A | 5,081 | 14 |
| * Valuevision Media Inc. Class A | 8,023 | 14 |
| * Coldwater Creek Inc. | 14,274 | 13 |
| * Furniture Brands International Inc. | 8,198 | 13 |
| Marine Products Corp. | 2,035 | 13 |
| * Geeknet Inc. | 857 | 12 |
| * Global Sources Ltd. | 2,312 | 12 |
| National American University Holdings Inc. | 1,768 | 12 |
| Bon-Ton Stores Inc. | 2,488 | 12 |
| Skyline Corp. | 1,340 | 11 |
| * School Specialty Inc. | 3,147 | 10 |
| Shiloh Industries Inc. | 1,052 | 9 |
| * Cambium Learning Group Inc. | 3,228 | 9 |
| * Crown Media Holdings Inc. Class A | 5,270 | 7 |
| * Digital Domain Media Group Inc. | 385 | 2 |
| Value Line Inc. | 87 | 1 |
| * Dial Global Inc. | 217 | 1 |
| 31,787 | ||
| Consumer Staples (3.5%) | ||
| Nu Skin Enterprises Inc. Class A | 10,674 | 617 |
| * United Natural Foods Inc. | 9,454 | 430 |
| * TreeHouse Foods Inc. | 6,940 | 400 |
| Ruddick Corp. | 9,605 | 393 |
| Casey's General Stores Inc. | 7,418 | 380 |
| * Darling International Inc. | 22,870 | 366 |
| * Hain Celestial Group Inc. | 6,999 | 286 |
| * Fresh Market Inc. | 5,497 | 247 |
| Lancaster Colony Corp. | 3,658 | 238 |
| PriceSmart Inc. | 3,477 | 225 |
| B&G Foods Inc. Class A | 9,363 | 218 |
| Sanderson Farms Inc. | 4,327 | 213 |
| Universal Corp. | 4,527 | 208 |
| Snyders-Lance Inc. | 9,234 | 207 |
| * Elizabeth Arden Inc. | 4,778 | 178 |
| * Rite Aid Corp. | 115,204 | 177 |
| Vector Group Ltd. | 9,405 | 171 |
| * Prestige Brands Holdings Inc. | 9,859 | 163 |
| Fresh Del Monte Produce Inc. | 7,136 | 160 |
| Andersons Inc. | 3,635 | 157 |
| * Boston Beer Co. Inc. Class A | 1,605 | 152 |
| J&J Snack Foods Corp. | 2,802 | 141 |
| WD-40 Co. | 3,130 | 135 |
| Tootsie Roll Industries Inc. | 4,662 | 108 |
| Cal-Maine Foods Inc. | 2,780 | 107 |
| * Winn-Dixie Stores Inc. | 10,944 | 104 |
| Diamond Foods Inc. | 4,317 | 103 |
| * Spectrum Brands Holdings Inc. | 3,276 | 93 |
| Weis Markets Inc. | 2,157 | 92 |
| * Chiquita Brands International Inc. | 8,905 | 85 |
| Spartan Stores Inc. | 4,429 | 79 |
| * Star Scientific Inc. | 20,991 | 79 |
| * Central Garden and Pet Co. Class A | 8,220 | 79 |
| * Pilgrim's Pride Corp. | 11,981 | 75 |
| * Smart Balance Inc. | 11,664 | 70 |
| * Dole Food Co. Inc. | 7,034 | 67 |
| Calavo Growers Inc. | 2,321 | 64 |
| Nash Finch Co. | 2,375 | 64 |
| * Alliance One International Inc. | 17,074 | 63 |
| * Central European Distribution Corp. | 14,259 | 62 |
| Coca-Cola Bottling Co. Consolidated | 898 | 58 |
5
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Pantry Inc. | 4,507 | 56 |
| Inter Parfums Inc. | 3,157 | 53 |
| * USANA Health Sciences Inc. | 1,267 | 47 |
| * Susser Holdings Corp. | 1,843 | 47 |
| * Seneca Foods Corp. Class A | 1,811 | 46 |
| Ingles Markets Inc. Class A | 2,471 | 44 |
| * Medifast Inc. | 2,702 | 44 |
| * Chefs' Warehouse Inc. | 2,030 | 43 |
| Village Super Market Inc. Class A | 1,226 | 37 |
| * National Beverage Corp. | 2,194 | 35 |
| * Nature's Sunshine Products Inc. | 2,190 | 32 |
| * Revlon Inc. Class A | 2,128 | 32 |
| * Omega Protein Corp. | 3,796 | 31 |
| Limoneira Co. | 1,534 | 28 |
| * Schiff Nutrition International Inc. | 2,393 | 27 |
| * Nutraceutical International Corp. | 1,804 | 24 |
| * Synutra International Inc. | 3,393 | 21 |
| Oil-Dri Corp. of America | 977 | 20 |
| Arden Group Inc. | 223 | 20 |
| Female Health Co. | 3,622 | 18 |
| Alico Inc. | 705 | 16 |
| * Farmer Bros Co. | 1,328 | 15 |
| MGP Ingredients Inc. | 2,351 | 14 |
| Imperial Sugar Co. | 2,401 | 14 |
| * Craft Brew Alliance Inc. | 2,052 | 13 |
| Griffin Land & Nurseries Inc. | 488 | 12 |
| * Lifeway Foods Inc. | 680 | 6 |
| * Harbinger Group Inc. | 1,336 | 6 |
| * Primo Water Corp. | 2,124 | 6 |
| 8,121 | ||
| Energy (6.8%) | ||
| World Fuel Services Corp. | 13,793 | 575 |
| * Energy XXI Bermuda Ltd. | 14,670 | 549 |
| Berry Petroleum Co. Class A | 10,039 | 542 |
| * Rosetta Resources Inc. | 10,320 | 527 |
| * Kodiak Oil & Gas Corp. | 50,170 | 486 |
| Lufkin Industries Inc. | 5,954 | 474 |
| * Dril-Quip Inc. | 6,718 | 470 |
| * CVR Energy Inc. | 17,161 | 467 |
| * Key Energy Services Inc. | 24,389 | 416 |
| * Helix Energy Solutions Group Inc. | 20,723 | 399 |
| * Oasis Petroleum Inc. | 11,635 | 373 |
| * Cheniere Energy Inc. | 24,639 | 371 |
| Bristow Group Inc. | 7,099 | 335 |
| Golar LNG Ltd. | 7,796 | 331 |
| * Stone Energy Corp. | 9,579 | 306 |
| * Gulfport Energy Corp. | 8,913 | 300 |
| * Northern Oil and Gas Inc. | 12,342 | 293 |
| * Bill Barrett Corp. | 9,225 | 270 |
| * McMoRan Exploration Co. | 19,202 | 269 |
| * Swift Energy Co. | 8,293 | 249 |
| * Hornbeck Offshore Services Inc. | 6,037 | 246 |
| * Gulfmark Offshore Inc. | 4,641 | 233 |
| * SemGroup Corp. Class A | 8,113 | 230 |
| * Carrizo Oil & Gas Inc. | 7,611 | 214 |
| * Cloud Peak Energy Inc. | 11,915 | 211 |
| Western Refining Inc. | 10,314 | 187 |
| * ION Geophysical Corp. | 25,681 | 184 |
| * Clean Energy Fuels Corp. | 9,688 | 182 |
| * Exterran Holdings Inc. | 12,495 | 180 |
| * Approach Resources Inc. | 5,089 | 176 |
| W&T Offshore Inc. | 6,812 | 172 |
| * Contango Oil & Gas Co. | 2,385 | 152 |
| * Magnum Hunter Resources Corp. | 21,835 | 151 |
6
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Petroleum Development Corp. | 4,607 | 150 |
| * Comstock Resources Inc. | 9,338 | 150 |
| Nordic American Tankers Ltd. | 10,375 | 145 |
| * Parker Drilling Co. | 22,876 | 145 |
| Targa Resources Corp. | 3,211 | 143 |
| * Newpark Resources Inc. | 17,722 | 139 |
| * Tetra Technologies Inc. | 15,062 | 137 |
| Apco Oil and Gas International Inc. | 1,783 | 134 |
| * Patriot Coal Corp. | 17,899 | 129 |
| * GeoResources Inc. | 3,934 | 126 |
| Ship Finance International Ltd. | 8,828 | 121 |
| * Pioneer Drilling Co. | 12,081 | 120 |
| * Hercules Offshore Inc. | 22,581 | 115 |
| Crosstex Energy Inc. | 7,960 | 109 |
| * Clayton Williams Energy Inc. | 1,157 | 102 |
| * Resolute Energy Corp. | 9,050 | 101 |
| * Heckmann Corp. | 19,684 | 100 |
| * Energy Partners Ltd. | 5,674 | 97 |
| * Basic Energy Services Inc. | 4,725 | 94 |
| * OYO Geospace Corp. | 852 | 94 |
| * Rex Energy Corp. | 8,140 | 94 |
| * Tesco Corp. | 5,917 | 91 |
| * Endeavour International Corp. | 7,281 | 84 |
| Gulf Island Fabrication Inc. | 2,813 | 82 |
| * Goodrich Petroleum Corp. | 5,081 | 81 |
| * Vaalco Energy Inc. | 10,028 | 79 |
| * Rentech Inc. | 43,695 | 78 |
| * ATP Oil & Gas Corp. | 8,729 | 70 |
| * Matrix Service Co. | 5,184 | 69 |
| * Petroquest Energy Inc. | 10,985 | 67 |
| * FX Energy Inc. | 10,258 | 65 |
| * Abraxas Petroleum Corp. | 16,133 | 65 |
| * BPZ Resources Inc. | 20,018 | 64 |
| Knightsbridge Tankers Ltd. | 4,310 | 64 |
| * Venoco Inc. | 5,797 | 63 |
| * Triangle Petroleum Corp. | 8,420 | 60 |
| * Dawson Geophysical Co. | 1,553 | 59 |
| * PHI Inc. | 2,558 | 57 |
| * Uranium Energy Corp. | 14,755 | 55 |
| * Mitcham Industries Inc. | 2,358 | 55 |
| * Warren Resources Inc. | 14,003 | 55 |
| * Cal Dive International Inc. | 18,705 | 54 |
| ^ Frontline Ltd. | 10,106 | 54 |
| * Callon Petroleum Co. | 7,669 | 54 |
| * C&J Energy Services Inc. | 2,337 | 47 |
| Overseas Shipholding Group Inc. | 5,221 | 46 |
| Teekay Tankers Ltd. Class A | 10,295 | 45 |
| * Vantage Drilling Co. | 34,245 | 45 |
| * Hyperdynamics Corp. | 32,610 | 44 |
| * Harvest Natural Resources Inc. | 6,662 | 44 |
| Penn Virginia Corp. | 8,955 | 44 |
| * Green Plains Renewable Energy Inc. | 3,671 | 42 |
| Panhandle Oil and Gas Inc. Class A | 1,379 | 40 |
| * James River Coal Co. | 6,965 | 40 |
| * Global Geophysical Services Inc. | 3,552 | 38 |
| * Scorpio Tankers Inc. | 5,872 | 37 |
| * REX American Resources Corp. | 1,208 | 37 |
| Delek US Holdings Inc. | 2,787 | 37 |
| * Houston American Energy Corp. | 3,240 | 35 |
| * Natural Gas Services Group Inc. | 2,396 | 34 |
| * Gastar Exploration Ltd. | 11,382 | 33 |
| * Willbros Group Inc. | 7,660 | 32 |
| * Uranerz Energy Corp. | 12,658 | 32 |
| * USEC Inc. | 22,755 | 30 |
7
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Voyager Oil & Gas Inc. | 9,210 | 30 |
| * Solazyme Inc. | 2,151 | 30 |
| * Evolution Petroleum Corp. | 3,150 | 29 |
| * Miller Energy Resources Inc. | 6,090 | 26 |
| * Ur-Energy Inc. | 20,291 | 24 |
| * GMX Resources Inc. | 12,577 | 22 |
| * Syntroleum Corp. | 17,310 | 21 |
| Alon USA Energy Inc. | 2,223 | 21 |
| * Westmoreland Coal Co. | 1,940 | 20 |
| * Union Drilling Inc. | 2,969 | 20 |
| * RigNet Inc. | 1,147 | 19 |
| * Amyris Inc. | 3,459 | 19 |
| * KiOR Inc. | 2,118 | 18 |
| * Isramco Inc. | 213 | 18 |
| * Uranium Resources Inc. | 18,312 | 18 |
| * Zion Oil & Gas Inc. | 5,938 | 16 |
| DHT Holdings Inc. | 12,636 | 14 |
| * Crimson Exploration Inc. | 4,280 | 13 |
| * Gevo Inc. | 1,215 | 12 |
| * L&L Energy Inc. | 4,547 | 11 |
| * CAMAC Energy Inc. | 11,467 | 10 |
| Hallador Energy Co. | 875 | 9 |
| * Geokinetics Inc. | 1,415 | 3 |
| * General Maritime Corp. | 13,697 | — |
| 15,795 | ||
| Financials (22.1%) | ||
| Kilroy Realty Corp. | 13,306 | 583 |
| BioMed Realty Trust Inc. | 29,962 | 552 |
| American Campus Communities Inc. | 13,276 | 546 |
| National Retail Properties Inc. | 20,343 | 542 |
| Home Properties Inc. | 9,355 | 539 |
| * Signature Bank | 9,005 | 535 |
| ProAssurance Corp. | 5,953 | 522 |
| CBL & Associates Properties Inc. | 28,889 | 509 |
| Hancock Holding Co. | 14,916 | 506 |
| MFA Financial Inc. | 69,334 | 506 |
| * SVB Financial Group | 8,383 | 497 |
| Tanger Factory Outlet Centers | 16,795 | 492 |
| Extra Space Storage Inc. | 18,276 | 482 |
| Post Properties Inc. | 10,359 | 452 |
| Highwoods Properties Inc. | 14,098 | 451 |
| Mid-America Apartment Communities Inc. | 7,173 | 447 |
| LaSalle Hotel Properties | 16,632 | 444 |
| Equity Lifestyle Properties Inc. | 6,347 | 422 |
| Two Harbors Investment Corp. | 40,994 | 421 |
| Delphi Financial Group Inc. | 9,435 | 420 |
| Hatteras Financial Corp. | 14,611 | 416 |
| Entertainment Properties Trust | 9,117 | 415 |
| Alterra Capital Holdings Ltd. | 17,737 | 407 |
| Omega Healthcare Investors Inc. | 19,863 | 405 |
| Prosperity Bancshares Inc. | 9,165 | 401 |
| * Stifel Financial Corp. | 10,501 | 394 |
| Invesco Mortgage Capital Inc. | 22,555 | 386 |
| Washington REIT | 12,890 | 382 |
| Starwood Property Trust Inc. | 18,220 | 360 |
| FirstMerit Corp. | 21,355 | 343 |
| Colonial Properties Trust | 16,317 | 335 |
| Susquehanna Bancshares Inc. | 35,893 | 333 |
| DiamondRock Hospitality Co. | 32,718 | 326 |
| * CNO Financial Group Inc. | 43,349 | 322 |
| First American Financial Corp. | 20,559 | 317 |
| Healthcare Realty Trust Inc. | 15,214 | 314 |
| FNB Corp. | 26,564 | 313 |
| Webster Financial Corp. | 14,083 | 308 |
8
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Iberiabank Corp. | 5,773 | 306 |
| * Ocwen Financial Corp. | 18,732 | 302 |
| CYS Investments Inc. | 21,834 | 296 |
| Trustmark Corp. | 12,509 | 295 |
| * Ezcorp Inc. Class A | 9,173 | 289 |
| United Bankshares Inc. | 9,812 | 287 |
| Umpqua Holdings Corp. | 22,411 | 276 |
| DCT Industrial Trust Inc. | 48,024 | 272 |
| CubeSmart | 23,959 | 270 |
| Apollo Investment Corp. | 38,297 | 269 |
| Westamerica Bancorporation | 5,645 | 267 |
| Cash America International Inc. | 5,746 | 266 |
| DuPont Fabros Technology Inc. | 11,498 | 263 |
| UMB Financial Corp. | 6,257 | 261 |
| * Knight Capital Group Inc. Class A | 19,619 | 260 |
| Platinum Underwriters Holdings Ltd. | 7,285 | 259 |
| * First Cash Financial Services Inc. | 6,120 | 259 |
| Sovran Self Storage Inc. | 5,411 | 257 |
| Medical Properties Trust Inc. | 26,266 | 255 |
| EastGroup Properties Inc. | 5,287 | 255 |
| Cathay General Bancorp | 15,371 | 251 |
| RLI Corp. | 3,564 | 250 |
| * Texas Capital Bancshares Inc. | 7,275 | 247 |
| Potlatch Corp. | 7,847 | 242 |
| Northwest Bancshares Inc. | 19,060 | 241 |
| Wintrust Financial Corp. | 6,834 | 230 |
| Prospect Capital Corp. | 21,310 | 230 |
| PS Business Parks Inc. | 3,637 | 227 |
| National Health Investors Inc. | 4,766 | 225 |
| Glimcher Realty Trust | 22,672 | 224 |
| Old National Bancorp | 18,518 | 224 |
| Capstead Mortgage Corp. | 16,498 | 219 |
| BancorpSouth Inc. | 18,460 | 219 |
| Sun Communities Inc. | 5,170 | 214 |
| Pebblebrook Hotel Trust | 9,947 | 213 |
| * Strategic Hotels & Resorts Inc. | 34,170 | 213 |
| MB Financial Inc. | 10,639 | 212 |
| National Penn Bancshares Inc. | 24,186 | 212 |
| First Financial Bankshares Inc. | 6,145 | 211 |
| Montpelier Re Holdings Ltd. | 12,191 | 210 |
| Community Bank System Inc. | 7,605 | 208 |
| * Sunstone Hotel Investors Inc. | 23,102 | 207 |
| Lexington Realty Trust | 23,404 | 202 |
| * First Industrial Realty Trust Inc. | 16,929 | 200 |
| Equity One Inc. | 10,488 | 199 |
| International Bancshares Corp. | 10,361 | 197 |
| Glacier Bancorp Inc. | 14,058 | 194 |
| ARMOUR Residential REIT Inc. | 27,216 | 192 |
| CVB Financial Corp. | 17,460 | 188 |
| * World Acceptance Corp. | 2,940 | 187 |
| First Financial Bancorp | 11,387 | 186 |
| MarketAxess Holdings Inc. | 5,609 | 186 |
| Education Realty Trust Inc. | 17,981 | 185 |
| LTC Properties Inc. | 5,929 | 183 |
| Selective Insurance Group Inc. | 10,559 | 181 |
| Redwood Trust Inc. | 15,354 | 178 |
| Acadia Realty Trust | 8,324 | 176 |
| Park National Corp. | 2,522 | 174 |
| * Financial Engines Inc. | 7,486 | 173 |
| Anworth Mortgage Asset Corp. | 26,188 | 170 |
| PrivateBancorp Inc. Class A | 11,735 | 170 |
| First Midwest Bancorp Inc. | 14,570 | 168 |
| Tower Group Inc. | 7,207 | 166 |
| * MGIC Investment Corp. | 36,794 | 166 |
9
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Solar Capital Ltd. | 7,130 | 164 |
| Columbia Banking System Inc. | 7,718 | 163 |
| Provident Financial Services Inc. | 11,819 | 162 |
| Bank of the Ozarks Inc. | 5,505 | 162 |
| Government Properties Income Trust | 6,919 | 161 |
| Argo Group International Holdings Ltd. | 5,381 | 161 |
| Fifth Street Finance Corp. | 16,104 | 159 |
| * DFC Global Corp. | 8,520 | 153 |
| Alexander's Inc. | 401 | 152 |
| * PHH Corp. | 11,030 | 150 |
| Astoria Financial Corp. | 17,052 | 150 |
| * BBCN Bancorp Inc. | 14,552 | 149 |
| NBT Bancorp Inc. | 6,753 | 147 |
| Primerica Inc. | 5,877 | 147 |
| Pennsylvania REIT | 10,911 | 146 |
| Boston Private Financial Holdings Inc. | 15,097 | 144 |
| Franklin Street Properties Corp. | 13,843 | 143 |
| American Equity Investment Life Holding Co. | 11,666 | 141 |
| BlackRock Kelso Capital Corp. | 14,315 | 140 |
| Hersha Hospitality Trust Class A | 27,598 | 139 |
| American Assets Trust Inc. | 6,317 | 136 |
| Horace Mann Educators Corp. | 7,820 | 136 |
| Harleysville Group Inc. | 2,391 | 135 |
| Nelnet Inc. Class A | 5,057 | 134 |
| Infinity Property & Casualty Corp. | 2,423 | 133 |
| Cousins Properties Inc. | 17,880 | 132 |
| * Investors Bancorp Inc. | 9,075 | 132 |
| Symetra Financial Corp. | 13,248 | 132 |
| Inland Real Estate Corp. | 15,119 | 131 |
| * Enstar Group Ltd. | 1,351 | 131 |
| First Potomac Realty Trust | 9,811 | 130 |
| * Greenlight Capital Re Ltd. Class A | 5,495 | 129 |
| PacWest Bancorp | 5,931 | 129 |
| Amtrust Financial Services Inc. | 4,725 | 128 |
| * Credit Acceptance Corp. | 1,310 | 126 |
| CreXus Investment Corp. | 11,207 | 125 |
| * National Financial Partners Corp. | 8,112 | 124 |
| First Commonwealth Financial Corp. | 20,569 | 123 |
| Brookline Bancorp Inc. | 13,290 | 122 |
| Associated Estates Realty Corp. | 8,128 | 121 |
| Investors Real Estate Trust | 15,738 | 120 |
| Chemical Financial Corp. | 5,383 | 119 |
| PennantPark Investment Corp. | 10,724 | 118 |
| Employers Holdings Inc. | 6,839 | 118 |
| Compass Diversified Holdings | 7,915 | 118 |
| Oritani Financial Corp. | 8,982 | 117 |
| S&T Bancorp Inc. | 5,501 | 117 |
| Independent Bank Corp. | 4,203 | 116 |
| Cohen & Steers Inc. | 3,484 | 115 |
| Retail Opportunity Investments Corp. | 9,740 | 113 |
| * iStar Financial Inc. | 16,061 | 113 |
| Newcastle Investment Corp. | 20,621 | 112 |
| Evercore Partners Inc. Class A | 4,120 | 112 |
| Advance America Cash Advance Centers Inc. | 10,801 | 112 |
| Chesapeake Lodging Trust | 6,305 | 111 |
| * Pinnacle Financial Partners Inc. | 6,693 | 111 |
| Home Bancshares Inc. | 4,397 | 111 |
| * Western Alliance Bancorp | 13,595 | 111 |
| * Forestar Group Inc. | 6,946 | 109 |
| Colony Financial Inc. | 6,453 | 108 |
| KBW Inc. | 6,475 | 107 |
| Banco Latinoamericano de Comercio Exterior SA | 5,456 | 106 |
| Safety Insurance Group Inc. | 2,474 | 106 |
| Main Street Capital Corp. | 4,498 | 105 |
10
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| BGC Partners Inc. Class A | 14,820 | 104 |
| Sabra Health Care REIT Inc. | 7,229 | 103 |
| Walter Investment Management Corp. | 5,059 | 103 |
| Triangle Capital Corp. | 5,284 | 103 |
| * Virtus Investment Partners Inc. | 1,289 | 103 |
| City Holding Co. | 2,988 | 102 |
| ViewPoint Financial Group | 6,831 | 102 |
| * Sterling Financial Corp. | 5,259 | 102 |
| * State Bank Financial Corp. | 6,198 | 101 |
| Dynex Capital Inc. | 10,577 | 101 |
| NorthStar Realty Finance Corp. | 18,795 | 100 |
| * Navigators Group Inc. | 2,126 | 100 |
| Meadowbrook Insurance Group Inc. | 10,446 | 99 |
| Radian Group Inc. | 26,099 | 99 |
| Hercules Technology Growth Capital Inc. | 9,561 | 99 |
| * PICO Holdings Inc. | 4,451 | 98 |
| PennyMac Mortgage Investment Trust | 5,444 | 98 |
| Trustco Bank Corp. NY | 18,235 | 98 |
| Oriental Financial Group Inc. | 8,062 | 95 |
| RLJ Lodging Trust | 5,399 | 95 |
| * FelCor Lodging Trust Inc. | 24,406 | 94 |
| * Investment Technology Group Inc. | 8,088 | 93 |
| Berkshire Hills Bancorp Inc. | 4,066 | 89 |
| Simmons First National Corp. Class A | 3,398 | 89 |
| WesBanco Inc. | 4,531 | 88 |
| Universal Health Realty Income Trust | 2,328 | 88 |
| Resource Capital Corp. | 15,216 | 88 |
| Ashford Hospitality Trust Inc. | 10,233 | 86 |
| Getty Realty Corp. | 5,061 | 86 |
| Urstadt Biddle Properties Inc. Class A | 4,517 | 86 |
| Maiden Holdings Ltd. | 9,911 | 86 |
| FBL Financial Group Inc. Class A | 2,515 | 85 |
| Sandy Spring Bancorp Inc. | 4,723 | 85 |
| Dime Community Bancshares Inc. | 6,103 | 85 |
| SCBT Financial Corp. | 2,740 | 85 |
| United Fire Group Inc. | 4,222 | 85 |
| Community Trust Bancorp Inc. | 2,716 | 84 |
| Ramco-Gershenson Properties Trust | 7,553 | 84 |
| Coresite Realty Corp. | 3,895 | 83 |
| * HFF Inc. Class A | 5,692 | 82 |
| Duff & Phelps Corp. Class A | 5,955 | 82 |
| * Tejon Ranch Co. | 2,790 | 82 |
| * AMERISAFE Inc. | 3,607 | 81 |
| Flagstone Reinsurance Holdings SA | 10,274 | 81 |
| Lakeland Financial Corp. | 3,177 | 80 |
| Flushing Financial Corp. | 6,154 | 80 |
| * Citizens Inc. | 7,434 | 79 |
| * Piper Jaffray Cos. | 3,100 | 76 |
| Renasant Corp. | 4,913 | 75 |
| 1st Source Corp. | 2,983 | 73 |
| First Busey Corp. | 15,111 | 73 |
| * United Community Banks Inc. | 8,151 | 73 |
| Excel Trust Inc. | 6,069 | 73 |
| MCG Capital Corp. | 15,109 | 73 |
| Epoch Holding Corp. | 2,895 | 72 |
| Monmouth Real Estate Investment Corp. Class A | 7,698 | 72 |
| Kennedy-Wilson Holdings Inc. | 5,286 | 71 |
| Banner Corp. | 3,432 | 71 |
| First Financial Corp. | 2,184 | 70 |
| Southside Bancshares Inc. | 3,224 | 69 |
| * Safeguard Scientifics Inc. | 4,055 | 69 |
| Rockville Financial Inc. | 5,785 | 67 |
| OneBeacon Insurance Group Ltd. Class A | 4,350 | 66 |
| Hudson Pacific Properties Inc. | 4,324 | 66 |
11
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Washington Trust Bancorp Inc. | 2,795 | 66 |
| Tompkins Financial Corp. | 1,594 | 66 |
| * West Coast Bancorp | 3,781 | 65 |
| * Hilltop Holdings Inc. | 7,810 | 64 |
| Winthrop Realty Trust | 5,625 | 64 |
| Provident New York Bancorp | 7,458 | 64 |
| Campus Crest Communities Inc. | 5,998 | 64 |
| * ICG Group Inc. | 7,271 | 63 |
| TICC Capital Corp. | 6,325 | 62 |
| TowneBank | 4,774 | 62 |
| GAMCO Investors Inc. | 1,332 | 61 |
| Cardinal Financial Corp. | 5,673 | 61 |
| Apollo Commercial Real Estate Finance Inc. | 4,032 | 60 |
| * Beneficial Mutual Bancorp Inc. | 6,520 | 59 |
| * eHealth Inc. | 3,930 | 59 |
| * INTL. FCStone Inc. | 2,603 | 59 |
| MVC Capital Inc. | 4,704 | 59 |
| National Western Life Insurance Co. Class A | 432 | 59 |
| First Merchants Corp. | 5,030 | 56 |
| Union First Market Bankshares Corp. | 3,972 | 55 |
| Saul Centers Inc. | 1,441 | 55 |
| Bancfirst Corp. | 1,319 | 54 |
| Sterling Bancorp | 6,064 | 54 |
| CapLease Inc. | 13,344 | 54 |
| * Ameris Bancorp | 4,660 | 54 |
| Kite Realty Group Trust | 10,917 | 54 |
| * Hanmi Financial Corp. | 6,174 | 54 |
| Capital Southwest Corp. | 575 | 53 |
| Agree Realty Corp. | 2,219 | 53 |
| Camden National Corp. | 1,506 | 53 |
| GFI Group Inc. | 13,854 | 53 |
| * NewStar Financial Inc. | 5,349 | 53 |
| StellarOne Corp. | 4,506 | 52 |
| * Wilshire Bancorp Inc. | 12,063 | 52 |
| Cedar Realty Trust Inc. | 10,993 | 52 |
| Univest Corp. of Pennsylvania | 3,289 | 52 |
| SY Bancorp Inc. | 2,363 | 51 |
| * Eagle Bancorp Inc. | 3,286 | 51 |
| Republic Bancorp Inc. Class A | 1,942 | 51 |
| United Financial Bancorp Inc. | 3,158 | 50 |
| Hudson Valley Holding Corp. | 3,060 | 50 |
| Summit Hotel Properties Inc. | 5,350 | 49 |
| WSFS Financial Corp. | 1,259 | 48 |
| German American Bancorp Inc. | 2,469 | 48 |
| * Global Indemnity plc | 2,511 | 48 |
| Arrow Financial Corp. | 1,988 | 48 |
| * Bancorp Inc. | 5,734 | 48 |
| Citizens & Northern Corp. | 2,389 | 48 |
| Westwood Holdings Group Inc. | 1,223 | 47 |
| * Phoenix Cos. Inc. | 22,802 | 47 |
| Stewart Information Services Corp. | 3,566 | 47 |
| Northfield Bancorp Inc. | 3,343 | 46 |
| Presidential Life Corp. | 4,251 | 46 |
| Calamos Asset Management Inc. Class A | 3,719 | 46 |
| Territorial Bancorp Inc. | 2,166 | 45 |
| First Connecticut Bancorp Inc. | 3,506 | 45 |
| Trico Bancshares | 2,756 | 45 |
| * Netspend Holdings Inc. | 5,179 | 45 |
| Financial Institutions Inc. | 2,705 | 44 |
| Great Southern Bancorp Inc. | 1,992 | 44 |
| Bryn Mawr Bank Corp. | 2,229 | 44 |
| Westfield Financial Inc. | 5,499 | 44 |
| Parkway Properties Inc. | 4,307 | 43 |
| * Ladenburg Thalmann Financial Services Inc. | 20,869 | 42 |
12
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| First Interstate Bancsystem Inc. | 3,092 | 42 |
| * Central Pacific Financial Corp. | 3,012 | 42 |
| RAIT Financial Trust | 7,858 | 42 |
| Centerstate Banks Inc. | 5,889 | 41 |
| Heritage Financial Corp. | 3,069 | 41 |
| Heartland Financial USA Inc. | 2,611 | 41 |
| State Auto Financial Corp. | 2,870 | 40 |
| MainSource Financial Group Inc. | 3,948 | 40 |
| * Taylor Capital Group Inc. | 2,972 | 40 |
| * American Safety Insurance Holdings Ltd. | 2,048 | 40 |
| OceanFirst Financial Corp. | 2,875 | 39 |
| * OmniAmerican Bancorp Inc. | 2,188 | 39 |
| First of Long Island Corp. | 1,497 | 39 |
| First Community Bancshares Inc. | 3,116 | 39 |
| * Virginia Commerce Bancorp Inc. | 4,592 | 39 |
| Lakeland Bancorp Inc. | 4,250 | 39 |
| Federal Agricultural Mortgage Corp. | 1,929 | 39 |
| Gladstone Commercial Corp. | 2,146 | 38 |
| STAG Industrial Inc. | 3,113 | 38 |
| Washington Banking Co. | 3,007 | 38 |
| Diamond Hill Investment Group Inc. | 503 | 38 |
| One Liberty Properties Inc. | 2,176 | 38 |
| CNB Financial Corp. | 2,410 | 37 |
| CoBiz Financial Inc. | 6,377 | 37 |
| Terreno Realty Corp. | 2,610 | 37 |
| Cogdell Spencer Inc. | 8,738 | 37 |
| National Bankshares Inc. | 1,360 | 37 |
| * Franklin Financial Corp. | 2,723 | 37 |
| AG Mortgage Investment Trust Inc. | 1,844 | 37 |
| Bank of Marin Bancorp | 1,044 | 37 |
| * Cowen Group Inc. Class A | 13,110 | 37 |
| Enterprise Financial Services Corp. | 3,118 | 36 |
| Bank Mutual Corp. | 9,017 | 35 |
| Ames National Corp. | 1,626 | 35 |
| Gladstone Capital Corp. | 4,125 | 35 |
| Apollo Residential Mortgage Inc. | 1,961 | 35 |
| * Doral Financial Corp. | 24,958 | 35 |
| Golub Capital BDC Inc. | 2,329 | 35 |
| Mission West Properties Inc. | 3,473 | 35 |
| Baldwin & Lyons Inc. | 1,640 | 35 |
| Gladstone Investment Corp. | 4,330 | 34 |
| Oppenheimer Holdings Inc. Class A | 2,023 | 34 |
| American Capital Mortgage Investment Corp. | 1,569 | 34 |
| Fox Chase Bancorp Inc. | 2,680 | 34 |
| Peoples Bancorp Inc. | 2,071 | 33 |
| Chatham Lodging Trust | 2,710 | 33 |
| * Southwest Bancorp Inc. | 3,812 | 33 |
| National Interstate Corp. | 1,350 | 33 |
| FXCM Inc. Class A | 3,396 | 32 |
| SeaBright Holdings Inc. | 3,923 | 32 |
| SWS Group Inc. | 5,715 | 32 |
| NGP Capital Resources Co. | 4,241 | 32 |
| First Financial Holdings Inc. | 3,241 | 32 |
| Medallion Financial Corp. | 2,884 | 32 |
| * 1st United Bancorp Inc. | 5,339 | 31 |
| ESB Financial Corp. | 2,444 | 31 |
| * Manning & Napier Inc. | 2,451 | 31 |
| * BofI Holding Inc. | 1,888 | 31 |
| Home Federal Bancorp Inc. | 3,062 | 31 |
| Pacific Continental Corp. | 3,613 | 30 |
| First Defiance Financial Corp. | 1,907 | 30 |
| First Bancorp | 2,961 | 30 |
| Artio Global Investors Inc. Class A | 6,134 | 29 |
| West Bancorporation Inc. | 3,051 | 29 |
13
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Penns Woods Bancorp Inc. | 753 | 29 |
| Arlington Asset Investment Corp. Class A | 1,262 | 29 |
| * Metro Bancorp Inc. | 2,717 | 29 |
| * Park Sterling Corp. | 6,281 | 29 |
| Bank of Kentucky Financial Corp. | 1,130 | 28 |
| * Flagstar Bancorp Inc. | 38,334 | 28 |
| Alliance Financial Corp. | 931 | 27 |
| Kansas City Life Insurance Co. | 839 | 27 |
| Marlin Business Services Corp. | 1,697 | 27 |
| Edelman Financial Group Inc. | 3,972 | 27 |
| Bridge Bancorp Inc. | 1,321 | 26 |
| * Seacoast Banking Corp. of Florida | 14,210 | 26 |
| Merchants Bancshares Inc. | 943 | 26 |
| Kohlberg Capital Corp. | 3,748 | 26 |
| * Walker & Dunlop Inc. | 2,107 | 26 |
| * Harris & Harris Group Inc. | 6,079 | 26 |
| First Bancorp Inc. | 1,720 | 26 |
| Solar Senior Capital Ltd. | 1,520 | 26 |
| Nicholas Financial Inc. | 1,906 | 25 |
| Consolidated-Tomoka Land Co. | 823 | 25 |
| Kearny Financial Corp. | 2,613 | 24 |
| Medley Capital Corp. | 2,180 | 24 |
| * Encore Bancshares Inc. | 1,655 | 24 |
| UMH Properties Inc. | 2,373 | 24 |
| BankFinancial Corp. | 4,132 | 23 |
| First Pactrust Bancorp Inc. | 1,986 | 23 |
| THL Credit Inc. | 1,816 | 23 |
| * Suffolk Bancorp | 1,905 | 23 |
| Center Bancorp Inc. | 2,370 | 23 |
| * Pacific Capital Bancorp NA | 807 | 23 |
| * Sun Bancorp Inc. | 7,801 | 22 |
| * Meridian Interstate Bancorp Inc. | 1,723 | 22 |
| Crawford & Co. Class B | 5,054 | 22 |
| * FBR & Co. | 8,797 | 22 |
| * Gleacher & Co. Inc. | 14,373 | 22 |
| * Bridge Capital Holdings | 1,793 | 22 |
| * MPG Office Trust Inc. | 9,616 | 22 |
| * Heritage Commerce Corp. | 4,089 | 21 |
| Sierra Bancorp | 2,331 | 21 |
| JMP Group Inc. | 2,971 | 21 |
| Donegal Group Inc. Class A | 1,517 | 21 |
| ESSA Bancorp Inc. | 2,106 | 20 |
| MidSouth Bancorp Inc. | 1,500 | 19 |
| Whitestone REIT Class B | 1,473 | 19 |
| EMC Insurance Group Inc. | 902 | 19 |
| New Mountain Finance Corp. | 1,427 | 19 |
| * AV Homes Inc. | 1,751 | 18 |
| * Cape Bancorp Inc. | 2,250 | 18 |
| Enterprise Bancorp Inc. | 1,142 | 18 |
| Capital City Bank Group Inc. | 2,240 | 18 |
| Century Bancorp Inc. Class A | 676 | 17 |
| Clifton Savings Bancorp Inc. | 1,676 | 16 |
| * Hallmark Financial Services | 2,360 | 16 |
| Roma Financial Corp. | 1,468 | 15 |
| Fidus Investment Corp. | 1,053 | 15 |
| Universal Insurance Holdings Inc. | 3,665 | 15 |
| Independence Holding Co. | 1,588 | 15 |
| * First Marblehead Corp. | 10,829 | 13 |
| Charter Financial Corp. | 1,344 | 13 |
| * CIFC Corp. | 2,367 | 12 |
| Orrstown Financial Services Inc. | 1,403 | 12 |
| Pzena Investment Management Inc. Class A | 1,705 | 9 |
| Gain Capital Holdings Inc. | 1,458 | 8 |
| * Imperial Holdings Inc. | 2,647 | 7 |
14
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Fortegra Financial Corp. | 857 | 6 |
| * Cascade Bancorp | 800 | 5 |
| * Capital Bank Corp. | 1,925 | 4 |
| California First National Bancorp | 266 | 4 |
| * Hampton Roads Bankshares Inc. | 1,270 | 3 |
| 51,653 | ||
| Health Care (12.6%) | ||
| * WellCare Health Plans Inc. | 8,289 | 562 |
| * Salix Pharmaceuticals Ltd. | 11,375 | 561 |
| * HMS Holdings Corp. | 16,509 | 532 |
| * Cepheid Inc. | 12,692 | 513 |
| * Cubist Pharmaceuticals Inc. | 11,718 | 502 |
| * athenahealth Inc. | 6,816 | 482 |
| * Centene Corp. | 9,769 | 477 |
| * Onyx Pharmaceuticals Inc. | 12,384 | 475 |
| * Viropharma Inc. | 13,830 | 443 |
| * Ariad Pharmaceuticals Inc. | 30,797 | 442 |
| Medicis Pharmaceutical Corp. Class A | 12,068 | 422 |
| * Questcor Pharmaceuticals Inc. | 10,380 | 404 |
| * Medivation Inc. | 6,126 | 401 |
| * Vivus Inc. | 17,370 | 391 |
| * HealthSouth Corp. | 18,595 | 379 |
| Owens & Minor Inc. | 12,461 | 373 |
| STERIS Corp. | 11,576 | 363 |
| * Seattle Genetics Inc. | 18,860 | 348 |
| * Haemonetics Corp. | 5,020 | 336 |
| * Alkermes plc | 18,639 | 328 |
| Quality Systems Inc. | 7,574 | 325 |
| * Zoll Medical Corp. | 4,283 | 313 |
| * Align Technology Inc. | 11,986 | 307 |
| * Impax Laboratories Inc. | 12,761 | 298 |
| * Incyte Corp. Ltd. | 17,291 | 293 |
| * Volcano Corp. | 10,192 | 286 |
| * PAREXEL International Corp. | 11,508 | 282 |
| West Pharmaceutical Services Inc. | 6,546 | 272 |
| * Magellan Health Services Inc. | 5,565 | 263 |
| * Par Pharmaceutical Cos. Inc. | 7,078 | 263 |
| * Theravance Inc. | 13,479 | 252 |
| * MAKO Surgical Corp. | 6,253 | 244 |
| * PSS World Medical Inc. | 10,024 | 243 |
| Chemed Corp. | 3,886 | 240 |
| * Jazz Pharmaceuticals plc | 4,316 | 226 |
| * Pharmacyclics Inc. | 8,976 | 226 |
| * Medicines Co. | 10,534 | 226 |
| * Masimo Corp. | 10,268 | 224 |
| * MWI Veterinary Supply Inc. | 2,453 | 212 |
| * Cyberonics Inc. | 5,541 | 206 |
| * Accretive Health Inc. | 7,821 | 203 |
| * Immunogen Inc. | 14,684 | 202 |
| * Acorda Therapeutics Inc. | 7,714 | 202 |
| * Halozyme Therapeutics Inc. | 17,389 | 200 |
| * Air Methods Corp. | 2,214 | 200 |
| * Micromet Inc. | 17,892 | 197 |
| * Molina Healthcare Inc. | 5,485 | 186 |
| * Auxilium Pharmaceuticals Inc. | 9,351 | 185 |
| * Isis Pharmaceuticals Inc. | 19,468 | 177 |
| * Insulet Corp. | 8,985 | 177 |
| * NxStage Medical Inc. | 8,724 | 174 |
| PDL BioPharma Inc. | 27,305 | 174 |
| * HeartWare International Inc. | 2,348 | 172 |
| * Luminex Corp. | 7,388 | 166 |
| * CONMED Corp. | 5,532 | 165 |
| * Exelixis Inc. | 29,014 | 165 |
| * Nektar Therapeutics | 22,366 | 160 |
15
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Spectrum Pharmaceuticals Inc. | 11,256 | 160 |
| * Amsurg Corp. Class A | 6,111 | 160 |
| * Neogen Corp. | 4,533 | 157 |
| Meridian Bioscience Inc. | 8,040 | 145 |
| * InterMune Inc. | 10,600 | 142 |
| * DexCom Inc. | 13,151 | 142 |
| * Ironwood Pharmaceuticals Inc. Class A | 10,530 | 141 |
| Analogic Corp. | 2,460 | 140 |
| * Arthrocare Corp. | 5,355 | 140 |
| * Idenix Pharmaceuticals Inc. | 11,816 | 139 |
| * Orthofix International NV | 3,540 | 139 |
| * Akorn Inc. | 10,993 | 138 |
| * Hanger Orthopedic Group Inc. | 6,568 | 136 |
| * Rigel Pharmaceuticals Inc. | 13,446 | 134 |
| * MedAssets Inc. | 9,343 | 133 |
| * Momenta Pharmaceuticals Inc. | 9,043 | 133 |
| Computer Programs & Systems Inc. | 2,170 | 132 |
| * NuVasive Inc. | 8,283 | 130 |
| * ABIOMED Inc. | 6,210 | 130 |
| * Endologix Inc. | 9,592 | 127 |
| * Wright Medical Group Inc. | 7,651 | 127 |
| * Dynavax Technologies Corp. | 30,039 | 126 |
| * Integra LifeSciences Holdings Corp. | 3,839 | 121 |
| * Alnylam Pharmaceuticals Inc. | 8,796 | 117 |
| * Abaxis Inc. | 4,415 | 117 |
| * IPC The Hospitalist Co. Inc. | 3,210 | 117 |
| * Optimer Pharmaceuticals Inc. | 9,088 | 116 |
| * NPS Pharmaceuticals Inc. | 16,862 | 115 |
| * Team Health Holdings Inc. | 5,227 | 113 |
| * Greatbatch Inc. | 4,569 | 113 |
| * Emeritus Corp. | 5,991 | 111 |
| * ICU Medical Inc. | 2,382 | 109 |
| * Opko Health Inc. | 21,350 | 105 |
| * Kindred Healthcare Inc. | 10,190 | 105 |
| * Exact Sciences Corp. | 11,079 | 104 |
| * Merit Medical Systems Inc. | 8,214 | 103 |
| Landauer Inc. | 1,848 | 99 |
| * Achillion Pharmaceuticals Inc. | 9,300 | 98 |
| * Genomic Health Inc. | 3,334 | 97 |
| * Bio-Reference Labs Inc. | 4,816 | 97 |
| * Omnicell Inc. | 6,494 | 97 |
| * Sequenom Inc. | 22,410 | 97 |
| * Ardea Biosciences Inc. | 4,511 | 96 |
| Invacare Corp. | 5,622 | 93 |
| * OraSure Technologies Inc. | 9,154 | 92 |
| * Triple-S Management Corp. Class B | 3,875 | 92 |
| * Accuray Inc. | 13,407 | 91 |
| National Healthcare Corp. | 2,007 | 90 |
| * Neurocrine Biosciences Inc. | 11,339 | 89 |
| Ensign Group Inc. | 3,197 | 88 |
| * Sunrise Senior Living Inc. | 11,253 | 87 |
| * Conceptus Inc. | 6,115 | 82 |
| * Medidata Solutions Inc. | 4,125 | 82 |
| * Hi-Tech Pharmacal Co. Inc. | 2,032 | 81 |
| * AVEO Pharmaceuticals Inc. | 6,143 | 80 |
| * Quidel Corp. | 5,586 | 79 |
| Cantel Medical Corp. | 3,880 | 78 |
| * Arqule Inc. | 10,466 | 74 |
| * Amedisys Inc. | 5,779 | 74 |
| * Select Medical Holdings Corp. | 8,772 | 74 |
| * Emergent Biosolutions Inc. | 4,776 | 73 |
| * Staar Surgical Co. | 6,969 | 73 |
| * HealthStream Inc. | 3,550 | 73 |
| Universal American Corp. | 6,330 | 72 |
16
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2012 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | AVANIR Pharmaceuticals Inc. | 25,972 | 72 |
| * | Merge Healthcare Inc. | 10,931 | 71 |
| * | Affymax Inc. | 6,938 | 71 |
| * | PharMerica Corp. | 5,758 | 71 |
| * | Metropolitan Health Networks Inc. | 8,299 | 69 |
| * | MAP Pharmaceuticals Inc. | 4,286 | 69 |
| * | MModal Inc. | 6,562 | 68 |
| * | Curis Inc. | 14,970 | 68 |
| *,^ | Oncothyreon Inc. | 8,156 | 67 |
| * | Depomed Inc. | 10,524 | 66 |
| * | AMAG Pharmaceuticals Inc. | 4,149 | 66 |
| * | ZIOPHARM Oncology Inc. | 13,139 | 65 |
| * | Raptor Pharmaceutical Corp. | 9,229 | 64 |
| * | AngioDynamics Inc. | 4,897 | 64 |
| Atrion Corp. | 309 | 64 | |
| Assisted Living Concepts Inc. Class A | 3,831 | 61 | |
| * | Lexicon Pharmaceuticals Inc. | 36,150 | 61 |
| * | eResearchTechnology Inc. | 9,620 | 61 |
| * | Vanguard Health Systems Inc. | 5,983 | 60 |
| * | Natus Medical Inc. | 5,687 | 60 |
| * | Affymetrix Inc. | 13,824 | 58 |
| * | Ligand Pharmaceuticals Inc. Class B | 3,851 | 57 |
| * | Progenics Pharmaceuticals Inc. | 5,755 | 56 |
| * | Navidea Biopharmaceuticals Inc. | 18,553 | 56 |
| * | Corvel Corp. | 1,215 | 55 |
| * | ExamWorks Group Inc. | 5,304 | 55 |
| * | Sangamo Biosciences Inc. | 10,258 | 54 |
| * | Vical Inc. | 16,704 | 53 |
| * | Healthways Inc. | 6,659 | 53 |
| * | LHC Group Inc. | 3,094 | 53 |
| * | Clovis Oncology Inc. | 2,098 | 52 |
| * | Enzon Pharmaceuticals Inc. | 7,379 | 52 |
| * | ISTA Pharmaceuticals Inc. | 6,287 | 52 |
| * | Symmetry Medical Inc. | 7,132 | 52 |
| * | Arena Pharmaceuticals Inc. | 28,605 | 51 |
| * | Cell Therapeutics Inc. | 39,697 | 51 |
| * | Spectranetics Corp. | 6,538 | 51 |
| * | BioScrip Inc. | 7,980 | 51 |
| * | Geron Corp. | 25,291 | 51 |
| * | Tornier NV | 2,067 | 49 |
| * | Santarus Inc. | 10,448 | 47 |
| * | Gentiva Health Services Inc. | 5,995 | 47 |
| * | Unilife Corp. | 12,656 | 47 |
| * | Array Biopharma Inc. | 16,528 | 46 |
| * | Capital Senior Living Corp. | 5,401 | 46 |
| * | Immunomedics Inc. | 12,894 | 46 |
| * | MannKind Corp. | 19,326 | 45 |
| * | Keryx Biopharmaceuticals Inc. | 13,544 | 45 |
| US Physical Therapy Inc. | 2,314 | 44 | |
| * | Antares Pharma Inc. | 17,193 | 43 |
| * | SurModics Inc. | 2,992 | 42 |
| * | Chelsea Therapeutics International Ltd. | 11,348 | 42 |
| * | AMN Healthcare Services Inc. | 7,761 | 41 |
| * | Obagi Medical Products Inc. | 3,634 | 41 |
| * | Palomar Medical Technologies Inc. | 3,727 | 41 |
| * | Delcath Systems Inc. | 9,422 | 41 |
| * | RTI Biologics Inc. | 10,815 | 40 |
| * | IRIS International Inc. | 3,490 | 39 |
| * | Cambrex Corp. | 5,768 | 38 |
| * | Providence Service Corp. | 2,542 | 38 |
| Kensey Nash Corp. | 1,673 | 38 | |
| * | Transcend Services Inc. | 1,725 | 37 |
| * | Almost Family Inc. | 1,613 | 37 |
| * | Targacept Inc. | 5,402 | 37 |
17
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Cadence Pharmaceuticals Inc. | 9,719 | 36 |
| * Cerus Corp. | 9,333 | 35 |
| * Furiex Pharmaceuticals Inc. | 1,938 | 35 |
| * Vascular Solutions Inc. | 3,323 | 35 |
| * Solta Medical Inc. | 11,882 | 34 |
| * Cynosure Inc. Class A | 1,896 | 34 |
| Young Innovations Inc. | 1,107 | 33 |
| * Celldex Therapeutics Inc. | 8,653 | 33 |
| * Cytori Therapeutics Inc. | 10,014 | 33 |
| * Sciclone Pharmaceuticals Inc. | 6,777 | 32 |
| * Corcept Therapeutics Inc. | 8,051 | 32 |
| * Cross Country Healthcare Inc. | 5,446 | 31 |
| * Infinity Pharmaceuticals Inc. | 3,748 | 31 |
| * OncoGenex Pharmaceutical Inc. | 1,906 | 30 |
| * Maxygen Inc. | 5,510 | 30 |
| * Nymox Pharmaceutical Corp. | 3,805 | 30 |
| * Aegerion Pharmaceuticals Inc. | 1,792 | 30 |
| * Rockwell Medical Technologies Inc. | 3,146 | 30 |
| * CryoLife Inc. | 5,477 | 30 |
| * Hansen Medical Inc. | 9,187 | 29 |
| * Five Star Quality Care Inc. | 8,227 | 29 |
| * Dyax Corp. | 19,354 | 29 |
| * Sagent Pharmaceuticals Inc. | 1,304 | 28 |
| * AtriCure Inc. | 2,754 | 28 |
| * Savient Pharmaceuticals Inc. | 13,928 | 28 |
| * Pacific Biosciences of California Inc. | 6,651 | 28 |
| * XenoPort Inc. | 6,933 | 28 |
| * Orexigen Therapeutics Inc. | 7,058 | 28 |
| * AVI BioPharma Inc. | 26,579 | 28 |
| * Synergetics USA Inc. | 4,362 | 27 |
| * Anthera Pharmaceuticals Inc. | 4,128 | 27 |
| * Pain Therapeutics Inc. | 7,232 | 27 |
| * Exactech Inc. | 1,667 | 26 |
| * BioCryst Pharmaceuticals Inc. | 5,668 | 26 |
| * Cardiovascular Systems Inc. | 2,838 | 26 |
| * Vanda Pharmaceuticals Inc. | 5,510 | 26 |
| * Synta Pharmaceuticals Corp. | 5,218 | 25 |
| * Skilled Healthcare Group Inc. | 3,796 | 25 |
| * Biotime Inc. | 4,842 | 24 |
| * Novavax Inc. | 18,836 | 24 |
| * Dusa Pharmaceuticals Inc. | 4,791 | 23 |
| * Allos Therapeutics Inc. | 15,448 | 23 |
| * Medtox Scientific Inc. | 1,485 | 23 |
| * Pozen Inc. | 5,189 | 23 |
| * Sun Healthcare Group Inc. | 4,920 | 22 |
| * Chindex International Inc. | 2,227 | 21 |
| * Insmed Inc. | 4,868 | 21 |
| * Cleveland Biolabs Inc. | 5,555 | 20 |
| * Astex Pharmaceuticals | 11,056 | 20 |
| * Alphatec Holdings Inc. | 10,572 | 20 |
| * Enzo Biochem Inc. | 7,503 | 19 |
| * SIGA Technologies Inc. | 6,743 | 19 |
| * Codexis Inc. | 4,813 | 19 |
| * Harvard Bioscience Inc. | 4,514 | 19 |
| * Amicus Therapeutics Inc. | 3,093 | 19 |
| * Sucampo Pharmaceuticals Inc. Class A | 2,531 | 18 |
| * Metabolix Inc. | 6,675 | 18 |
| * Fluidigm Corp. | 1,265 | 18 |
| * RadNet Inc. | 6,090 | 18 |
| * Osiris Therapeutics Inc. | 3,343 | 17 |
| * Medical Action Industries Inc. | 3,213 | 17 |
| * Biospecifics Technologies Corp. | 971 | 17 |
| * Biosante Pharmaceuticals Inc. | 21,482 | 17 |
| * Biolase Technology Inc. | 6,001 | 16 |
18
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Ampio Pharmaceuticals Inc. | 4,203 | 16 |
| * Zeltiq Aesthetics Inc. | 1,446 | 16 |
| * Peregrine Pharmaceuticals Inc. | 17,016 | 16 |
| * Nabi Biopharmaceuticals | 8,367 | 16 |
| * CardioNet Inc. | 4,778 | 15 |
| * Pacira Pharmaceuticals Inc. | 1,408 | 15 |
| * GTx Inc. | 4,293 | 15 |
| * Zalicus Inc. | 14,537 | 15 |
| * Anacor Pharmaceuticals Inc. | 2,385 | 14 |
| * KV Pharmaceutical Co. Class A | 10,097 | 14 |
| National Research Corp. | 360 | 14 |
| * Bacterin International Holdings Inc. | 4,664 | 14 |
| * Lannett Co. Inc. | 3,175 | 13 |
| * Albany Molecular Research Inc. | 4,405 | 12 |
| * Durect Corp. | 16,262 | 12 |
| * BG Medicine Inc. | 1,550 | 12 |
| * Endocyte Inc. | 3,366 | 12 |
| * Epocrates Inc. | 1,253 | 12 |
| * Uroplasty Inc. | 4,173 | 12 |
| * NewLink Genetics Corp. | 1,361 | 12 |
| * PharmAthene Inc. | 7,274 | 11 |
| * Trius Therapeutics Inc. | 2,022 | 10 |
| * Sunesis Pharmaceuticals Inc. | 5,561 | 10 |
| * Columbia Laboratories Inc. | 14,340 | 9 |
| * Zogenix Inc. | 4,134 | 9 |
| * Cornerstone Therapeutics Inc. | 1,573 | 9 |
| * Transcept Pharmaceuticals Inc. | 776 | 6 |
| * Alimera Sciences Inc. | 1,685 | 6 |
| * BioMimetic Therapeutics Inc. | 2,822 | 6 |
| * Complete Genomics Inc. | 1,514 | 6 |
| * Acura Pharmaceuticals Inc. | 1,452 | 5 |
| * Alliance HealthCare Services Inc. | 3,312 | 5 |
| * Stereotaxis Inc. | 5,659 | 4 |
| * Pernix Therapeutics Holdings | 478 | 4 |
| * DynaVox Inc. Class A | 1,244 | 4 |
| * Neostem Inc. | 5,692 | 3 |
| * Horizon Pharma Inc. | 516 | 2 |
| * Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 913 | 1 |
| 29,477 | ||
| Industrials (15.8%) | ||
| * Clean Harbors Inc. | 9,128 | 613 |
| Acuity Brands Inc. | 8,432 | 524 |
| Woodward Inc. | 11,975 | 524 |
| * United Rentals Inc. | 12,170 | 507 |
| CLARCOR Inc. | 9,855 | 497 |
| * Hexcel Corp. | 19,145 | 484 |
| * Alaska Air Group Inc. | 7,003 | 480 |
| Triumph Group Inc. | 7,352 | 469 |
| * Genesee & Wyoming Inc. Class A | 7,745 | 460 |
| HEICO Corp. | 8,154 | 446 |
| * Dollar Thrifty Automotive Group Inc. | 5,655 | 429 |
| * Teledyne Technologies Inc. | 7,179 | 428 |
| * Old Dominion Freight Line Inc. | 9,275 | 404 |
| * Chart Industries Inc. | 5,741 | 393 |
| Watsco Inc. | 5,497 | 392 |
| * Moog Inc. Class A | 8,877 | 390 |
| * Esterline Technologies Corp. | 5,957 | 387 |
| Actuant Corp. Class A | 13,409 | 378 |
| Robbins & Myers Inc. | 7,706 | 376 |
| Belden Inc. | 9,261 | 366 |
| EMCOR Group Inc. | 13,067 | 363 |
| * Middleby Corp. | 3,663 | 358 |
| Mueller Industries Inc. | 7,400 | 340 |
| Curtiss-Wright Corp. | 9,074 | 337 |
19
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| AO Smith Corp. | 7,431 | 336 |
| Applied Industrial Technologies Inc. | 8,283 | 333 |
| * Acacia Research Corp. | 8,361 | 330 |
| * FTI Consulting Inc. | 8,220 | 329 |
| * EnerSys | 9,324 | 313 |
| * Colfax Corp. | 8,858 | 301 |
| * Tetra Tech Inc. | 12,187 | 299 |
| Brady Corp. Class A | 9,283 | 297 |
| * CoStar Group Inc. | 4,942 | 296 |
| * RSC Holdings Inc. | 13,244 | 295 |
| Barnes Group Inc. | 10,645 | 295 |
| Corporate Executive Board Co. | 6,747 | 280 |
| * Avis Budget Group Inc. | 20,522 | 265 |
| * Advisory Board Co. | 3,259 | 264 |
| * HUB Group Inc. Class A | 7,195 | 256 |
| Healthcare Services Group Inc. | 12,975 | 253 |
| Rollins Inc. | 12,421 | 252 |
| Deluxe Corp. | 10,051 | 248 |
| * JetBlue Airways Corp. | 48,172 | 246 |
| Simpson Manufacturing Co. Inc. | 8,130 | 242 |
| United Stationers Inc. | 8,341 | 242 |
| Kaydon Corp. | 6,372 | 240 |
| * II-VI Inc. | 10,115 | 237 |
| ABM Industries Inc. | 10,364 | 235 |
| Herman Miller Inc. | 11,199 | 235 |
| * US Airways Group Inc. | 31,667 | 235 |
| * Portfolio Recovery Associates Inc. | 3,343 | 233 |
| Watts Water Technologies Inc. Class A | 5,882 | 233 |
| Brink's Co. | 9,124 | 230 |
| Franklin Electric Co. Inc. | 4,547 | 227 |
| * Geo Group Inc. | 12,682 | 223 |
| Raven Industries Inc. | 3,534 | 223 |
| HNI Corp. | 8,744 | 221 |
| * Atlas Air Worldwide Holdings Inc. | 5,134 | 219 |
| Granite Construction Inc. | 7,553 | 216 |
| * Beacon Roofing Supply Inc. | 8,986 | 212 |
| Werner Enterprises Inc. | 8,566 | 207 |
| Knight Transportation Inc. | 11,924 | 204 |
| Titan International Inc. | 8,224 | 203 |
| * USG Corp. | 13,959 | 199 |
| Mine Safety Appliances Co. | 5,308 | 196 |
| * RBC Bearings Inc. | 4,285 | 195 |
| * MasTec Inc. | 11,069 | 195 |
| Forward Air Corp. | 5,742 | 193 |
| ESCO Technologies Inc. | 5,200 | 186 |
| * Swift Transportation Co. | 15,486 | 181 |
| Kaman Corp. | 5,135 | 177 |
| Amerco Inc. | 1,694 | 176 |
| AAR Corp. | 7,768 | 171 |
| Briggs & Stratton Corp. | 9,858 | 167 |
| Unifirst Corp. | 2,768 | 166 |
| * Huron Consulting Group Inc. | 4,339 | 166 |
| * Blount International Inc. | 9,538 | 164 |
| Lindsay Corp. | 2,455 | 161 |
| * Orbital Sciences Corp. | 11,456 | 161 |
| * Mobile Mini Inc. | 7,206 | 156 |
| TAL International Group Inc. | 4,295 | 155 |
| Tennant Co. | 3,742 | 154 |
| * EnPro Industries Inc. | 4,053 | 153 |
| * Rush Enterprises Inc. Class A | 6,353 | 151 |
| McGrath Rentcorp | 4,765 | 151 |
| * Ceradyne Inc. | 4,881 | 151 |
| Cubic Corp. | 3,098 | 148 |
| * Astec Industries Inc. | 3,897 | 148 |
20
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Korn/Ferry International | 9,209 | 147 |
| * Dycom Industries Inc. | 6,905 | 147 |
| Aircastle Ltd. | 10,767 | 147 |
| * Allegiant Travel Co. Class A | 2,897 | 145 |
| Knoll Inc. | 9,380 | 145 |
| Heartland Express Inc. | 9,886 | 143 |
| * Wabash National Corp. | 13,430 | 142 |
| * Meritor Inc. | 18,518 | 137 |
| Steelcase Inc. Class A | 15,595 | 137 |
| * Navigant Consulting Inc. | 10,112 | 137 |
| * Aegion Corp. Class A | 7,742 | 136 |
| Insperity Inc. | 4,492 | 135 |
| * Interline Brands Inc. | 6,540 | 134 |
| * TrueBlue Inc. | 7,861 | 130 |
| Albany International Corp. | 5,420 | 130 |
| Sun Hydraulics Corp. | 3,930 | 129 |
| American Science & Engineering Inc. | 1,774 | 129 |
| * ACCO Brands Corp. | 10,814 | 128 |
| Interface Inc. Class A | 10,329 | 127 |
| Quanex Building Products Corp. | 7,431 | 126 |
| * Exponent Inc. | 2,597 | 125 |
| * Generac Holdings Inc. | 4,888 | 124 |
| AZZ Inc. | 2,460 | 123 |
| Universal Forest Products Inc. | 3,829 | 123 |
| * Sauer-Danfoss Inc. | 2,269 | 123 |
| G&K Services Inc. Class A | 3,669 | 122 |
| * Trimas Corp. | 5,011 | 121 |
| SkyWest Inc. | 10,369 | 118 |
| * Team Inc. | 3,817 | 117 |
| * Seaboard Corp. | 60 | 115 |
| NACCO Industries Inc. Class A | 1,144 | 112 |
| CIRCOR International Inc. | 3,379 | 112 |
| Resources Connection Inc. | 8,458 | 111 |
| * SYKES Enterprises Inc. | 7,779 | 107 |
| * DigitalGlobe Inc. | 6,911 | 106 |
| Encore Wire Corp. | 3,638 | 106 |
| * Altra Holdings Inc. | 5,268 | 103 |
| * On Assignment Inc. | 7,248 | 101 |
| * ICF International Inc. | 3,856 | 100 |
| Griffon Corp. | 9,348 | 100 |
| * Greenbrier Cos. Inc. | 3,870 | 98 |
| John Bean Technologies Corp. | 5,616 | 97 |
| * H&E Equipment Services Inc. | 5,604 | 97 |
| * Tutor Perini Corp. | 6,117 | 97 |
| Cascade Corp. | 1,797 | 96 |
| * Aerovironment Inc. | 3,315 | 94 |
| Standex International Corp. | 2,449 | 94 |
| * Layne Christensen Co. | 3,850 | 93 |
| Mueller Water Products Inc. Class A | 30,484 | 91 |
| Arkansas Best Corp. | 4,985 | 89 |
| * GeoEye Inc. | 4,348 | 88 |
| * RailAmerica Inc. | 4,186 | 86 |
| Gorman-Rupp Co. | 2,984 | 86 |
| Ennis Inc. | 5,107 | 86 |
| Comfort Systems USA Inc. | 7,434 | 85 |
| * Gibraltar Industries Inc. | 5,962 | 82 |
| * Trex Co. Inc. | 3,052 | 82 |
| * Kforce Inc. | 5,822 | 82 |
| Great Lakes Dredge & Dock Corp. | 11,532 | 82 |
| National Presto Industries Inc. | 942 | 82 |
| Primoris Services Corp. | 5,235 | 80 |
| * Titan Machinery Inc. | 3,021 | 79 |
| * MYR Group Inc. | 3,947 | 79 |
| Kelly Services Inc. Class A | 5,226 | 78 |
21
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Viad Corp. | 3,995 | 78 |
| * Consolidated Graphics Inc. | 1,655 | 77 |
| * Global Power Equipment Group Inc. | 3,089 | 75 |
| Textainer Group Holdings Ltd. | 2,233 | 74 |
| Quad/Graphics Inc. | 4,948 | 74 |
| Apogee Enterprises Inc. | 5,506 | 73 |
| * Pendrell Corp. | 29,640 | 72 |
| Heidrick & Struggles International Inc. | 3,487 | 71 |
| * Encore Capital Group Inc. | 3,162 | 70 |
| * GenCorp Inc. | 11,509 | 69 |
| AAON Inc. | 3,683 | 68 |
| * Commercial Vehicle Group Inc. | 5,643 | 68 |
| US Ecology Inc. | 3,591 | 68 |
| * PMFG Inc. | 4,042 | 66 |
| * EnergySolutions Inc. | 15,647 | 66 |
| FreightCar America Inc. | 2,343 | 65 |
| * Mistras Group Inc. | 2,886 | 65 |
| * Astronics Corp. | 1,931 | 65 |
| Marten Transport Ltd. | 3,048 | 64 |
| * DXP Enterprises Inc. | 1,704 | 63 |
| * Accuride Corp. | 7,930 | 63 |
| * Columbus McKinnon Corp. | 3,775 | 63 |
| * Wesco Aircraft Holdings Inc. | 4,118 | 61 |
| * Spirit Airlines Inc. | 3,056 | 60 |
| Dynamic Materials Corp. | 2,614 | 58 |
| Celadon Group Inc. | 3,934 | 58 |
| * InnerWorkings Inc. | 5,055 | 58 |
| * Air Transport Services Group Inc. | 10,554 | 57 |
| * Federal Signal Corp. | 12,179 | 57 |
| * Powell Industries Inc. | 1,729 | 57 |
| * American Railcar Industries Inc. | 1,909 | 56 |
| * Standard Parking Corp. | 3,103 | 56 |
| * Capstone Turbine Corp. | 48,228 | 54 |
| * Dolan Co. | 5,955 | 53 |
| Twin Disc Inc. | 1,659 | 53 |
| * Furmanite Corp. | 7,244 | 53 |
| * Kadant Inc. | 2,413 | 53 |
| * Hawaiian Holdings Inc. | 9,882 | 52 |
| LB Foster Co. Class A | 1,765 | 52 |
| * Saia Inc. | 3,123 | 51 |
| * CRA International Inc. | 2,127 | 51 |
| * CBIZ Inc. | 7,728 | 50 |
| * Republic Airways Holdings Inc. | 9,449 | 50 |
| Houston Wire & Cable Co. | 3,483 | 49 |
| * Swisher Hygiene Inc. | 16,589 | 49 |
| Multi-Color Corp. | 2,236 | 49 |
| * Ameresco Inc. Class A | 3,464 | 49 |
| * CAI International Inc. | 2,372 | 48 |
| Douglas Dynamics Inc. | 3,654 | 47 |
| * NCI Building Systems Inc. | 3,871 | 47 |
| * GP Strategies Corp. | 2,909 | 46 |
| Graham Corp. | 1,930 | 45 |
| * Northwest Pipe Co. | 1,826 | 45 |
| * Taser International Inc. | 10,898 | 44 |
| * Odyssey Marine Exploration Inc. | 14,273 | 44 |
| Insteel Industries Inc. | 3,454 | 43 |
| Aceto Corp. | 5,220 | 43 |
| * Cenveo Inc. | 10,797 | 42 |
| * Kratos Defense & Security Solutions Inc. | 6,493 | 41 |
| * FuelCell Energy Inc. | 27,350 | 41 |
| * Genco Shipping & Trading Ltd. | 5,794 | 40 |
| * Michael Baker Corp. | 1,639 | 40 |
| Thermon Group Holdings Inc. | 1,961 | 39 |
| * Metalico Inc. | 7,867 | 39 |
22
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * American Superconductor Corp. | 8,758 | 39 |
| * Orion Marine Group Inc. | 5,295 | 39 |
| * American Reprographics Co. | 7,262 | 38 |
| * Quality Distribution Inc. | 2,933 | 38 |
| * Pacer International Inc. | 6,860 | 38 |
| Kimball International Inc. Class B | 6,143 | 38 |
| CDI Corp. | 2,494 | 37 |
| * Flow International Corp. | 9,280 | 37 |
| * LMI Aerospace Inc. | 1,795 | 37 |
| * EnerNOC Inc. | 4,559 | 36 |
| Ampco-Pittsburgh Corp. | 1,671 | 35 |
| SeaCube Container Leasing Ltd. | 2,167 | 35 |
| Alamo Group Inc. | 1,310 | 35 |
| Miller Industries Inc. | 2,198 | 35 |
| * Sterling Construction Co. Inc. | 3,228 | 33 |
| * RPX Corp. | 1,971 | 33 |
| * Casella Waste Systems Inc. Class A | 4,964 | 32 |
| * Roadrunner Transportation Systems Inc. | 1,783 | 32 |
| Preformed Line Products Co. | 478 | 32 |
| Ducommun Inc. | 2,066 | 32 |
| Vicor Corp. | 3,842 | 31 |
| * A123 Systems Inc. | 17,312 | 31 |
| * Park-Ohio Holdings Corp. | 1,635 | 31 |
| * Lydall Inc. | 3,364 | 31 |
| * Hurco Cos. Inc. | 1,263 | 30 |
| * TMS International Corp. Class A | 2,525 | 30 |
| * NN Inc. | 3,295 | 29 |
| * Hudson Highland Group Inc. | 6,428 | 29 |
| * Pike Electric Corp. | 3,187 | 28 |
| * Patriot Transportation Holding Inc. | 1,210 | 27 |
| * Builders FirstSource Inc. | 8,917 | 27 |
| LSI Industries Inc. | 3,819 | 26 |
| * Hill International Inc. | 4,914 | 26 |
| American Woodmark Corp. | 1,840 | 26 |
| * Zipcar Inc. | 2,009 | 26 |
| * KEYW Holding Corp. | 3,613 | 26 |
| Schawk Inc. Class A | 2,312 | 26 |
| Met-Pro Corp. | 2,875 | 25 |
| Barrett Business Services Inc. | 1,492 | 25 |
| Argan Inc. | 1,544 | 23 |
| * Franklin Covey Co. | 2,616 | 23 |
| International Shipholding Corp. | 1,065 | 23 |
| Intersections Inc. | 1,897 | 22 |
| * Fuel Tech Inc. | 3,576 | 22 |
| * PowerSecure International Inc. | 3,693 | 22 |
| Courier Corp. | 2,019 | 22 |
| * WCA Waste Corp. | 3,300 | 21 |
| * Heritage-Crystal Clean Inc. | 929 | 21 |
| VSE Corp. | 810 | 20 |
| * Eagle Bulk Shipping Inc. | 12,266 | 20 |
| NL Industries Inc. | 1,307 | 19 |
| * Energy Recovery Inc. | 8,974 | 19 |
| * AT Cross Co. Class A | 1,877 | 19 |
| * Coleman Cable Inc. | 1,641 | 19 |
| * TRC Cos. Inc. | 3,476 | 18 |
| * Xerium Technologies Inc. | 2,159 | 17 |
| * Broadwind Energy Inc. | 27,392 | 17 |
| * Tecumseh Products Co. Class A | 3,665 | 17 |
| Universal Truckload Services Inc. | 1,075 | 17 |
| * Excel Maritime Carriers Ltd. Class A | 9,046 | 16 |
| Baltic Trading Ltd. | 3,188 | 15 |
| * Valence Technology Inc. | 14,118 | 13 |
| * Essex Rental Corp. | 3,399 | 13 |
| * Ultrapetrol Bahamas Ltd. | 4,266 | 12 |
23
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Active Power Inc. | 16,075 | 11 |
| Lawson Products Inc. | 683 | 11 |
| * UniTek Global Services Inc. | 2,147 | 9 |
| * Satcon Technology Corp. | 17,732 | 9 |
| * Omega Flex Inc. | 416 | 7 |
| * Covenant Transportation Group Inc. Class A | 1,152 | 4 |
| * Astronics Corp. Class B | 85 | 3 |
| Compx International Inc. | 108 | 2 |
| 37,038 | ||
| Information Technology (16.8%) | ||
| * Parametric Technology Corp. | 23,207 | 620 |
| Jack Henry & Associates Inc. | 16,815 | 567 |
| * Concur Technologies Inc. | 8,693 | 512 |
| * Wright Express Corp. | 7,549 | 467 |
| ADTRAN Inc. | 12,641 | 446 |
| * CommVault Systems Inc. | 8,608 | 444 |
| * QLIK Technologies Inc. | 13,759 | 416 |
| * SolarWinds Inc. | 11,137 | 415 |
| * Anixter International Inc. | 5,666 | 394 |
| * Aruba Networks Inc. | 17,550 | 379 |
| * Taleo Corp. Class A | 8,027 | 368 |
| * Semtech Corp. | 12,754 | 366 |
| * Finisar Corp. | 17,521 | 356 |
| * Microsemi Corp. | 16,888 | 353 |
| * Ultimate Software Group Inc. | 5,051 | 353 |
| * Hittite Microwave Corp. | 6,125 | 350 |
| Cognex Corp. | 8,104 | 346 |
| * Aspen Technology Inc. | 16,539 | 340 |
| * Cavium Inc. | 9,467 | 338 |
| * FEI Co. | 7,564 | 337 |
| InterDigital Inc. | 8,866 | 336 |
| * Viasat Inc. | 7,091 | 327 |
| * ValueClick Inc. | 15,381 | 320 |
| Plantronics Inc. | 8,504 | 317 |
| * Universal Display Corp. | 7,519 | 311 |
| MKS Instruments Inc. | 10,216 | 306 |
| * Cirrus Logic Inc. | 12,945 | 305 |
| * CACI International Inc. Class A | 5,161 | 305 |
| * ACI Worldwide Inc. | 7,643 | 289 |
| * Mentor Graphics Corp. | 18,823 | 285 |
| MAXIMUS Inc. | 6,784 | 283 |
| Fair Isaac Corp. | 6,978 | 282 |
| * Progress Software Corp. | 12,119 | 281 |
| * Arris Group Inc. | 24,194 | 276 |
| Blackbaud Inc. | 8,699 | 274 |
| * Cymer Inc. | 5,965 | 274 |
| * Netgear Inc. | 7,155 | 269 |
| Sapient Corp. | 21,354 | 267 |
| j2 Global Inc. | 8,989 | 266 |
| * Convergys Corp. | 20,565 | 265 |
| * TiVo Inc. | 23,305 | 262 |
| * RF Micro Devices Inc. | 53,976 | 257 |
| * Coherent Inc. | 4,612 | 256 |
| * NetSuite Inc. | 5,320 | 254 |
| * Sourcefire Inc. | 5,558 | 250 |
| * Plexus Corp. | 6,949 | 241 |
| * Entegris Inc. | 26,262 | 237 |
| * Synaptics Inc. | 6,285 | 231 |
| * Cabot Microelectronics Corp. | 4,596 | 231 |
| * Cardtronics Inc. | 8,419 | 224 |
| * DealerTrack Holdings Inc. | 8,037 | 224 |
| * OpenTable Inc. | 4,602 | 223 |
| Littelfuse Inc. | 4,213 | 223 |
| * Acxiom Corp. | 15,863 | 223 |
24
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Quest Software Inc. | 11,092 | 222 |
| * Take-Two Interactive Software Inc. | 14,368 | 222 |
| * OSI Systems Inc. | 3,724 | 220 |
| * Tyler Technologies Inc. | 5,808 | 219 |
| * Veeco Instruments Inc. | 7,963 | 215 |
| Heartland Payment Systems Inc. | 7,534 | 213 |
| * MicroStrategy Inc. Class A | 1,561 | 212 |
| * GT Advanced Technologies Inc. | 24,610 | 211 |
| Power Integrations Inc. | 5,636 | 210 |
| * JDA Software Group Inc. | 8,270 | 207 |
| * TriQuint Semiconductor Inc. | 32,101 | 207 |
| * SYNNEX Corp. | 4,916 | 203 |
| * Integrated Device Technology Inc. | 28,965 | 200 |
| * Bottomline Technologies Inc. | 7,021 | 197 |
| * Scansource Inc. | 5,279 | 195 |
| * Benchmark Electronics Inc. | 11,868 | 195 |
| * Euronet Worldwide Inc. | 10,010 | 193 |
| * Omnivision Technologies Inc. | 11,332 | 186 |
| * Manhattan Associates Inc. | 3,994 | 185 |
| * 3D Systems Corp. | 8,193 | 184 |
| * Sanmina-SCI Corp. | 15,738 | 183 |
| * Emulex Corp. | 17,154 | 179 |
| * Insight Enterprises Inc. | 8,577 | 179 |
| * FARO Technologies Inc. | 3,194 | 177 |
| * Constant Contact Inc. | 5,759 | 174 |
| * Synchronoss Technologies Inc. | 5,165 | 173 |
| * VirnetX Holding Corp. | 7,957 | 172 |
| * Diodes Inc. | 6,903 | 171 |
| * Tessera Technologies Inc. | 9,992 | 168 |
| * Advent Software Inc. | 6,415 | 165 |
| * Infinera Corp. | 20,497 | 163 |
| Earthlink Inc. | 21,570 | 161 |
| * BroadSoft Inc. | 4,407 | 160 |
| * Liquidity Services Inc. | 3,683 | 159 |
| * Kulicke & Soffa Industries Inc. | 14,117 | 159 |
| * Unisys Corp. | 8,438 | 158 |
| * LivePerson Inc. | 10,327 | 156 |
| Brooks Automation Inc. | 12,969 | 155 |
| * Netscout Systems Inc. | 7,300 | 155 |
| Syntel Inc. | 3,020 | 155 |
| Mantech International Corp. Class A | 4,569 | 153 |
| * Loral Space & Communications Inc. | 2,143 | 153 |
| * Lattice Semiconductor Corp. | 23,095 | 152 |
| * Stratasys Inc. | 4,130 | 152 |
| NIC Inc. | 12,543 | 152 |
| MTS Systems Corp. | 3,059 | 150 |
| * Volterra Semiconductor Corp. | 4,815 | 148 |
| * LogMeIn Inc. | 3,995 | 147 |
| * Electronics for Imaging Inc. | 9,153 | 146 |
| * Kenexa Corp. | 5,178 | 144 |
| * Ancestry.com Inc. | 6,209 | 141 |
| * comScore Inc. | 6,250 | 137 |
| * ATMI Inc. | 6,205 | 137 |
| * Rambus Inc. | 19,252 | 136 |
| * Ultratech Inc. | 4,931 | 134 |
| * Websense Inc. | 7,368 | 133 |
| * Harmonic Inc. | 22,506 | 133 |
| Ebix Inc. | 5,651 | 132 |
| * Rofin-Sinar Technologies Inc. | 5,577 | 131 |
| * Digital River Inc. | 7,320 | 129 |
| Comtech Telecommunications Corp. | 3,989 | 129 |
| * Spansion Inc. Class A | 9,865 | 126 |
| * Newport Corp. | 7,346 | 123 |
| * Amkor Technology Inc. | 18,967 | 121 |
25
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Sonus Networks Inc. | 41,370 | 121 |
| * TTM Technologies Inc. | 10,188 | 119 |
| * RealPage Inc. | 5,945 | 118 |
| * Brightpoint Inc. | 13,371 | 118 |
| * Quantum Corp. | 44,193 | 116 |
| * Rogers Corp. | 3,131 | 116 |
| Park Electrochemical Corp. | 4,064 | 116 |
| * Standard Microsystems Corp. | 4,512 | 115 |
| * Verint Systems Inc. | 4,153 | 114 |
| * Ceva Inc. | 4,517 | 111 |
| * OCZ Technology Group Inc. | 12,855 | 110 |
| * Monolithic Power Systems Inc. | 5,873 | 109 |
| * CSG Systems International Inc. | 6,786 | 109 |
| * Bankrate Inc. | 4,509 | 108 |
| * iGate Corp. | 6,066 | 106 |
| Micrel Inc. | 9,885 | 105 |
| * Ixia | 7,571 | 105 |
| * Entropic Communications Inc. | 16,798 | 104 |
| * Advanced Energy Industries Inc. | 8,540 | 102 |
| * SS&C Technologies Holdings Inc. | 4,944 | 102 |
| * Maxwell Technologies Inc. | 5,480 | 100 |
| * Monotype Imaging Holdings Inc. | 7,012 | 98 |
| * DTS Inc. | 3,412 | 96 |
| * Measurement Specialties Inc. | 2,933 | 95 |
| Xyratex Ltd. | 5,553 | 95 |
| * RealD Inc. | 8,051 | 95 |
| Badger Meter Inc. | 2,952 | 95 |
| Black Box Corp. | 3,524 | 95 |
| * Forrester Research Inc. | 2,886 | 93 |
| * Super Micro Computer Inc. | 5,549 | 92 |
| Pegasystems Inc. | 3,260 | 92 |
| * TNS Inc. | 4,993 | 92 |
| * InfoSpace Inc. | 7,731 | 90 |
| * Higher One Holdings Inc. | 6,000 | 88 |
| * ExlService Holdings Inc. | 3,169 | 88 |
| United Online Inc. | 17,379 | 88 |
| * Checkpoint Systems Inc. | 7,860 | 87 |
| * Intermec Inc. | 11,645 | 87 |
| * Accelrys Inc. | 10,860 | 86 |
| * Mercury Computer Systems Inc. | 5,917 | 85 |
| * Dice Holdings Inc. | 9,496 | 84 |
| * Applied Micro Circuits Corp. | 12,423 | 84 |
| * Photronics Inc. | 11,526 | 81 |
| OPNET | 2,823 | 81 |
| * Silicon Image Inc. | 15,586 | 81 |
| * Interactive Intelligence Group Inc. | 2,794 | 78 |
| * Kemet Corp. | 8,656 | 78 |
| * Internap Network Services Corp. | 10,247 | 77 |
| * KIT Digital Inc. | 7,541 | 76 |
| * TeleTech Holdings Inc. | 4,972 | 76 |
| * Web.com Group Inc. | 5,699 | 75 |
| * PROS Holdings Inc. | 4,216 | 74 |
| * Sycamore Networks Inc. | 3,918 | 72 |
| * Fabrinet | 4,001 | 72 |
| EPIQ Systems Inc. | 6,158 | 71 |
| * Global Cash Access Holdings Inc. | 12,646 | 70 |
| Cass Information Systems Inc. | 1,817 | 70 |
| * STEC Inc. | 7,208 | 70 |
| * Nanometrics Inc. | 3,948 | 69 |
| * Saba Software Inc. | 5,840 | 68 |
| * Move Inc. | 7,780 | 68 |
| CTS Corp. | 6,731 | 67 |
| * Calix Inc. | 7,377 | 67 |
| * Extreme Networks | 18,054 | 67 |
26
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2012 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Electro Rent Corp. | 3,682 | 66 | |
| Methode Electronics Inc. | 7,243 | 66 | |
| * | LTX-Credence Corp. | 9,698 | 65 |
| * | Globecomm Systems Inc. | 4,397 | 64 |
| * | Oplink Communications Inc. | 3,830 | 63 |
| * | Avid Technology Inc. | 5,809 | 62 |
| Electro Scientific Industries Inc. | 4,428 | 61 | |
| * | Rudolph Technologies Inc. | 6,206 | 61 |
| Daktronics Inc. | 6,788 | 61 | |
| * | Inphi Corp. | 4,234 | 61 |
| * | LoopNet Inc. | 3,252 | 60 |
| * | Zygo Corp. | 3,118 | 60 |
| * | MIPS Technologies Inc. Class A | 10,302 | 59 |
| * | Silicon Graphics International Corp. | 6,076 | 59 |
| * | GSI Group Inc. | 5,068 | 58 |
| * | Power-One Inc. | 13,349 | 58 |
| * | Perficient Inc. | 4,738 | 57 |
| Keynote Systems Inc. | 2,873 | 57 | |
| * | Cray Inc. | 7,094 | 57 |
| * | IXYS Corp. | 4,737 | 57 |
| * | QuinStreet Inc. | 5,402 | 56 |
| * | Digi International Inc. | 4,968 | 56 |
| * | Integrated Silicon Solution Inc. | 5,248 | 56 |
| * | CIBER Inc. | 12,538 | 55 |
| * | Procera Networks Inc. | 2,822 | 55 |
| * | Stamps.com Inc. | 2,078 | 54 |
| Cohu Inc. | 4,714 | 53 | |
| * | Anaren Inc. | 2,964 | 52 |
| * | XO Group Inc. | 5,618 | 51 |
| * | Formfactor Inc. | 9,931 | 51 |
| * | Exar Corp. | 7,175 | 50 |
| * | NVE Corp. | 937 | 50 |
| * | Symmetricom Inc. | 8,483 | 50 |
| * | ShoreTel Inc. | 9,248 | 50 |
| * | Deltek Inc. | 4,352 | 48 |
| * | VASCO Data Security International Inc. | 5,299 | 48 |
| * | Kopin Corp. | 13,302 | 48 |
| ModusLink Global Solutions Inc. | 8,587 | 48 | |
| * | Envestnet Inc. | 3,754 | 47 |
| * | Vocus Inc. | 3,454 | 47 |
| * | Multi-Fineline Electronix Inc. | 1,772 | 47 |
| * | Limelight Networks Inc. | 12,341 | 46 |
| * | Cornerstone OnDemand Inc. | 2,237 | 46 |
| * | Virtusa Corp. | 2,965 | 46 |
| * | Actuate Corp. | 7,458 | 45 |
| *,^ | Ubiquiti Networks Inc. | 1,710 | 45 |
| * | Computer Task Group Inc. | 2,964 | 44 |
| * | Callidus Software Inc. | 5,879 | 44 |
| * | Mindspeed Technologies Inc. | 6,566 | 43 |
| * | Oclaro Inc. | 9,894 | 43 |
| * | Aeroflex Holding Corp. | 3,890 | 43 |
| * | STR Holdings Inc. | 5,925 | 42 |
| RealNetworks Inc. | 4,136 | 42 | |
| * | Echo Global Logistics Inc. | 2,209 | 41 |
| * | SPS Commerce Inc. | 1,652 | 41 |
| * | Openwave Systems Inc. | 16,708 | 40 |
| * | Imperva Inc. | 1,079 | 40 |
| * | Active Network Inc. | 2,410 | 39 |
| * | Zix Corp. | 13,018 | 38 |
| * | Pericom Semiconductor Corp. | 4,908 | 38 |
| * | Tangoe Inc. | 2,010 | 38 |
| * | Supertex Inc. | 2,017 | 37 |
| * | Convio Inc. | 2,373 | 37 |
| American Software Inc. Class A | 4,454 | 37 | |
27
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2012 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | PDF Solutions Inc. | 4,590 | 37 |
| * | IntraLinks Holdings Inc. | 6,266 | 37 |
| * | Imation Corp. | 5,890 | 37 |
| * | MoneyGram International Inc. | 2,050 | 37 |
| * | Ultra Clean Holdings | 4,461 | 36 |
| * | SciQuest Inc. | 2,419 | 36 |
| * | Immersion Corp. | 5,594 | 36 |
| Bel Fuse Inc. Class B | 2,062 | 36 | |
| * | AXT Inc. | 6,269 | 36 |
| * | Sigma Designs Inc. | 6,236 | 36 |
| * | Seachange International Inc. | 5,184 | 35 |
| * | Vishay Precision Group Inc. | 2,412 | 35 |
| * | Intevac Inc. | 4,478 | 35 |
| * | Glu Mobile Inc. | 9,302 | 35 |
| * | ServiceSource International Inc. | 2,061 | 35 |
| * | Axcelis Technologies Inc. | 20,802 | 35 |
| * | Digimarc Corp. | 1,229 | 34 |
| * | Anadigics Inc. | 13,221 | 34 |
| Richardson Electronics Ltd. | 2,765 | 34 | |
| * | Echelon Corp. | 6,884 | 34 |
| * | Wave Systems Corp. Class A | 16,245 | 33 |
| DDi Corp. | 2,959 | 32 | |
| *,^ | Angie's List Inc. | 1,988 | 32 |
| * | support.com Inc. | 9,506 | 31 |
| * | Lionbridge Technologies Inc. | 12,077 | 31 |
| * | Aviat Networks Inc. | 11,885 | 31 |
| * | Rubicon Technology Inc. | 3,437 | 31 |
| * | InvenSense Inc. | 1,961 | 31 |
| * | PLX Technology Inc. | 8,729 | 31 |
| * | FSI International Inc. | 7,588 | 30 |
| * | LeCroy Corp. | 3,215 | 29 |
| * | DSP Group Inc. | 4,591 | 29 |
| * | Guidance Software Inc. | 2,528 | 29 |
| * | Hackett Group Inc. | 5,968 | 29 |
| * | Alpha & Omega Semiconductor Ltd. | 2,881 | 29 |
| * | Radisys Corp. | 3,808 | 29 |
| * | Travelzoo Inc. | 1,085 | 28 |
| * | Agilysys Inc. | 3,320 | 27 |
| * | KVH Industries Inc. | 2,917 | 27 |
| * | Zillow Inc. | 806 | 26 |
| Pulse Electronics Corp. | 8,157 | 25 | |
| * | MoSys Inc. | 6,398 | 24 |
| * | TeleCommunication Systems Inc. Class A | 9,095 | 24 |
| * | Westell Technologies Inc. Class A | 10,410 | 24 |
| * | X-Rite Inc. | 5,173 | 23 |
| * | ePlus Inc. | 712 | 23 |
| * | Responsys Inc. | 1,859 | 22 |
| * | ORBCOMM Inc. | 6,791 | 22 |
| * | TeleNav Inc. | 3,230 | 22 |
| * | Novatel Wireless Inc. | 6,284 | 22 |
| * | PRGX Global Inc. | 3,830 | 21 |
| Rimage Corp. | 1,863 | 20 | |
| * | TechTarget Inc. | 2,862 | 20 |
| * | Rosetta Stone Inc. | 2,151 | 19 |
| Communications Systems Inc. | 1,304 | 19 | |
| * | Emcore Corp. | 4,330 | 19 |
| * | Numerex Corp. Class A | 1,882 | 18 |
| * | GSI Technology Inc. | 3,954 | 18 |
| Marchex Inc. Class B | 4,189 | 18 | |
| * | Smith Micro Software Inc. | 7,033 | 18 |
| QAD Inc. Class A | 1,291 | 18 | |
| * | FalconStor Software Inc. | 6,115 | 17 |
| * | MaxLinear Inc. | 3,158 | 17 |
| * | Identive Group Inc. | 7,638 | 17 |
28
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Amtech Systems Inc. | 1,878 | 16 |
| PC Connection Inc. | 1,825 | 16 |
| * SRS Labs Inc. | 2,428 | 16 |
| * Dynamics Research Corp. | 1,753 | 16 |
| * Dot Hill Systems Corp. | 11,043 | 15 |
| * Carbonite Inc. | 1,447 | 14 |
| * Ellie Mae Inc. | 1,656 | 14 |
| * Intermolecular Inc. | 1,938 | 12 |
| * eMagin Corp. | 3,691 | 12 |
| * Demand Media Inc. | 1,612 | 11 |
| * Viasystems Group Inc. | 559 | 10 |
| * Motricity Inc. | 7,536 | 10 |
| * Meru Networks Inc. | 2,106 | 10 |
| * Microvision Inc. | 3,007 | 10 |
| * NCI Inc. Class A | 1,303 | 9 |
| * NeoPhotonics Corp. | 1,692 | 9 |
| * Opnext Inc. | 8,541 | 9 |
| * Powerwave Technologies Inc. | 4,782 | 7 |
| * THQ Inc. | 9,809 | 5 |
| * Stream Global Services Inc. | 1,235 | 4 |
| * Quepasa Corp. | 907 | 4 |
| * FriendFinder Networks Inc. | 200 | — |
| 39,198 | ||
| Materials (4.7%) | ||
| * Coeur d'Alene Mines Corp. | 17,433 | 496 |
| Sensient Technologies Corp. | 9,786 | 362 |
| Olin Corp. | 15,577 | 328 |
| NewMarket Corp. | 1,761 | 321 |
| * Stillwater Mining Co. | 22,531 | 320 |
| * Chemtura Corp. | 18,824 | 292 |
| HB Fuller Co. | 9,662 | 291 |
| Hecla Mining Co. | 54,578 | 277 |
| Eagle Materials Inc. | 8,697 | 273 |
| Buckeye Technologies Inc. | 7,798 | 266 |
| PolyOne Corp. | 18,255 | 245 |
| Minerals Technologies Inc. | 3,571 | 231 |
| Schweitzer-Mauduit International Inc. | 3,149 | 221 |
| * Thompson Creek Metals Co. Inc. | 29,858 | 217 |
| * Georgia Gulf Corp. | 6,640 | 214 |
| Innophos Holdings Inc. | 4,242 | 214 |
| * Louisiana-Pacific Corp. | 25,833 | 211 |
| * SunCoke Energy Inc. | 13,807 | 198 |
| Worthington Industries Inc. | 10,508 | 177 |
| Globe Specialty Metals Inc. | 12,320 | 175 |
| * Kraton Performance Polymers Inc. | 6,234 | 173 |
| * Calgon Carbon Corp. | 11,038 | 167 |
| * OM Group Inc. | 6,060 | 167 |
| * Graphic Packaging Holding Co. | 31,246 | 165 |
| A Schulman Inc. | 6,031 | 156 |
| * Clearwater Paper Corp. | 4,517 | 155 |
| * KapStone Paper and Packaging Corp. | 7,660 | 154 |
| Kaiser Aluminum Corp. | 3,182 | 154 |
| Balchem Corp. | 5,640 | 154 |
| Koppers Holdings Inc. | 4,040 | 152 |
| Texas Industries Inc. | 4,466 | 151 |
| Haynes International Inc. | 2,385 | 151 |
| Boise Inc. | 17,924 | 147 |
| * LSB Industries Inc. | 3,601 | 145 |
| * Innospec Inc. | 4,648 | 144 |
| AMCOL International Corp. | 4,777 | 140 |
| Stepan Co. | 1,589 | 139 |
| Deltic Timber Corp. | 2,109 | 138 |
| Gold Resource Corp. | 5,570 | 136 |
| PH Glatfelter Co. | 8,552 | 133 |
29
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * RTI International Metals Inc. | 5,919 | 133 |
| * Materion Corp. | 4,002 | 117 |
| * Flotek Industries Inc. | 9,790 | 110 |
| Tredegar Corp. | 4,681 | 109 |
| * McEwen Mining Inc. | 20,669 | 108 |
| Quaker Chemical Corp. | 2,511 | 103 |
| * Jaguar Mining Inc. | 16,543 | 102 |
| * Century Aluminum Co. | 10,112 | 99 |
| * Golden Star Resources Ltd. | 50,694 | 98 |
| * Horsehead Holding Corp. | 8,564 | 98 |
| * Ferro Corp. | 16,971 | 94 |
| * TPC Group Inc. | 2,601 | 90 |
| Wausau Paper Corp. | 9,642 | 90 |
| Neenah Paper Inc. | 2,926 | 82 |
| Myers Industries Inc. | 5,869 | 78 |
| American Vanguard Corp. | 4,380 | 72 |
| Hawkins Inc. | 1,703 | 66 |
| * Zoltek Cos. Inc. | 5,446 | 66 |
| Zep Inc. | 4,302 | 65 |
| * Paramount Gold and Silver Corp. | 22,964 | 59 |
| Noranda Aluminum Holding Corp. | 4,455 | 53 |
| * Vista Gold Corp. | 13,928 | 49 |
| * General Moly Inc. | 13,219 | 48 |
| * Universal Stainless & Alloy | 1,393 | 47 |
| * Golden Minerals Co. | 5,468 | 46 |
| * Omnova Solutions Inc. | 8,870 | 45 |
| Olympic Steel Inc. | 1,793 | 42 |
| FutureFuel Corp. | 3,661 | 40 |
| * AM Castle & Co. | 3,277 | 38 |
| * Headwaters Inc. | 11,923 | 36 |
| * Spartech Corp. | 6,053 | 35 |
| * Landec Corp. | 5,174 | 33 |
| * United States Lime & Minerals Inc. | 510 | 31 |
| * Metals USA Holdings Corp. | 2,272 | 30 |
| * Midway Gold Corp. | 16,812 | 30 |
| * AEP Industries Inc. | 842 | 29 |
| * US Silica Holdings Inc. | 1,708 | 29 |
| * Senomyx Inc. | 7,759 | 27 |
| KMG Chemicals Inc. | 1,407 | 24 |
| * Revett Minerals Inc. | 4,913 | 23 |
| Chase Corp. | 1,256 | 18 |
| * US Energy Corp. Wyoming | 4,809 | 16 |
| * Handy & Harman Ltd. | 1,143 | 14 |
| * Verso Paper Corp. | 1,482 | 2 |
| 10,974 | ||
| Telecommunication Services (0.8%) | ||
| * AboveNet Inc. | 4,536 | 316 |
| * Cogent Communications Group Inc. | 8,986 | 166 |
| * Cincinnati Bell Inc. | 38,975 | 146 |
| * Leap Wireless International Inc. | 11,974 | 125 |
| Consolidated Communications Holdings Inc. | 5,125 | 97 |
| * Premiere Global Services Inc. | 10,243 | 89 |
| * General Communication Inc. Class A | 8,125 | 86 |
| Atlantic Tele-Network Inc. | 1,838 | 70 |
| * Neutral Tandem Inc. | 6,159 | 69 |
| NTELOS Holdings Corp. | 2,947 | 68 |
| * Iridium Communications Inc. | 8,543 | 65 |
| * Vonage Holdings Corp. | 27,176 | 65 |
| SureWest Communications | 2,757 | 62 |
| USA Mobility Inc. | 4,334 | 59 |
| * 8x8 Inc. | 12,178 | 52 |
| Shenandoah Telecommunications Co. | 4,660 | 47 |
| * Cbeyond Inc. | 5,477 | 42 |
| Lumos Networks Corp. | 2,947 | 38 |
30
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * inContact Inc. | 6,017 | 32 |
| Alaska Communications Systems Group Inc. | 8,856 | 28 |
| HickoryTech Corp. | 2,620 | 28 |
| IDT Corp. Class B | 2,724 | 25 |
| * Towerstream Corp. | 8,300 | 24 |
| * Globalstar Inc. | 20,493 | 17 |
| * Fairpoint Communications Inc. | 4,256 | 16 |
| * Boingo Wireless Inc. | 1,126 | 11 |
| 1,843 | ||
| Utilities (3.3%) | ||
| Cleco Corp. | 11,920 | 459 |
| Piedmont Natural Gas Co. Inc. | 14,032 | 455 |
| WGL Holdings Inc. | 10,013 | 409 |
| IDACORP Inc. | 9,688 | 392 |
| Southwest Gas Corp. | 8,962 | 382 |
| New Jersey Resources Corp. | 8,087 | 378 |
| Portland General Electric Co. | 14,724 | 363 |
| UIL Holdings Corp. | 9,877 | 348 |
| Atlantic Power Corp. | 22,182 | 321 |
| South Jersey Industries Inc. | 5,855 | 304 |
| PNM Resources Inc. | 15,571 | 280 |
| Avista Corp. | 11,265 | 278 |
| El Paso Electric Co. | 8,231 | 269 |
| Unisource Energy Corp. | 7,174 | 264 |
| Allete Inc. | 6,233 | 259 |
| Black Hills Corp. | 7,703 | 253 |
| NorthWestern Corp. | 7,087 | 246 |
| Northwest Natural Gas Co. | 5,214 | 239 |
| CH Energy Group Inc. | 3,038 | 203 |
| MGE Energy Inc. | 4,518 | 198 |
| Laclede Group Inc. | 4,380 | 180 |
| Empire District Electric Co. | 8,166 | 163 |
| California Water Service Group | 8,186 | 157 |
| Otter Tail Corp. | 7,070 | 150 |
| American States Water Co. | 3,659 | 135 |
| Central Vermont Public Service Corp. | 2,627 | 93 |
| Chesapeake Utilities Corp. | 1,873 | 77 |
| Ormat Technologies Inc. | 3,519 | 71 |
| SJW Corp. | 2,765 | 66 |
| Unitil Corp. | 2,143 | 57 |
| Middlesex Water Co. | 3,057 | 56 |
| Connecticut Water Service Inc. | 1,684 | 49 |
| York Water Co. | 2,494 | 43 |
| Artesian Resources Corp. Class A | 1,429 | 27 |
| * Dynegy Inc. Class A | 20,187 | 26 |
| Genie Energy Ltd. Class B | 2,724 | 26 |
| * Cadiz Inc. | 2,364 | 25 |
| Consolidated Water Co. Ltd. | 2,855 | 24 |
| 7,725 | ||
| Total Common Stocks (Cost $227,023) | 233,611 | |
31
| Vanguard® Russell 2000 Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2012 | |||||
| Market | |||||
| Value | |||||
| Coupon | Shares | ($000) | |||
| Temporary Cash Investments (12.0%)1 | |||||
| Money Market Fund (11.9%) | |||||
| 2,3 | Vanguard Market Liquidity Fund | 0.111% | 27,735,991 | 27,736 | |
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| U.S. Government and Agency Obligations (0.1%) | |||||
| 4,5 | Federal Home Loan Bank Discount Notes | 0.133% | 3/14/12 | 100 | 100 |
| 5,6 | Freddie Mac Discount Notes | 0.050% | 4/4/12 | 100 | 100 |
| United States Treasury Note/Bond | 4.500% | 4/30/12 | 100 | 101 | |
| 301 | |||||
| Total Temporary Cash Investments (Cost $28,037) | 28,037 | ||||
| Total Investments (112.0%) (Cost $255,060) | 261,648 | ||||
| Other Assets and Liabilities—Net (-12.0%)3 | (27,948) | ||||
| Net Assets (100%) | 233,700 | ||||
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $123,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 12.0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $135,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
REIT—Real Estate Investment Trust.
32
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (98.7%)1 | ||
| Consumer Discretionary (11.9%) | ||
| Rent-A-Center Inc. | 1,192 | 42 |
| Men's Wearhouse Inc. | 864 | 33 |
| * Cabela's Inc. | 873 | 31 |
| * Genesco Inc. | 428 | 29 |
| * Domino's Pizza Inc. | 730 | 28 |
| * Saks Inc. | 2,338 | 27 |
| * Childrens Place Retail Stores Inc. | 530 | 27 |
| * Iconix Brand Group Inc. | 1,477 | 27 |
| * Live Nation Entertainment Inc. | 2,852 | 27 |
| Meredith Corp. | 731 | 24 |
| Group 1 Automotive Inc. | 461 | 24 |
| * Pier 1 Imports Inc. | 1,350 | 23 |
| * Collective Brands Inc. | 1,263 | 23 |
| Bob Evans Farms Inc. | 609 | 22 |
| * Gaylord Entertainment Co. | 732 | 22 |
| Penske Automotive Group Inc. | 898 | 22 |
| Regis Corp. | 1,188 | 21 |
| * Helen of Troy Ltd. | 619 | 20 |
| * Jack in the Box Inc. | 841 | 20 |
| * Orient-Express Hotels Ltd. Class A | 1,920 | 19 |
| MDC Holdings Inc. | 756 | 19 |
| * New York Times Co. Class A | 2,816 | 19 |
| * Office Depot Inc. | 5,590 | 18 |
| KB Home | 1,551 | 18 |
| * Liz Claiborne Inc. | 1,803 | 18 |
| Finish Line Inc. Class A | 722 | 17 |
| Scholastic Corp. | 536 | 16 |
| Ryland Group Inc. | 895 | 16 |
| Jones Group Inc. | 1,644 | 16 |
| PEP Boys-Manny Moe & Jack | 1,061 | 16 |
| * Asbury Automotive Group Inc. | 588 | 15 |
| International Speedway Corp. Class A | 594 | 15 |
| * La-Z-Boy Inc. | 1,045 | 15 |
| * Meritage Homes Corp. | 563 | 15 |
| * Ascent Capital Group Inc. Class A | 288 | 14 |
| Sonic Automotive Inc. Class A | 810 | 14 |
| * Charming Shoppes Inc. | 2,342 | 13 |
| * Pinnacle Entertainment Inc. | 1,173 | 13 |
| * Quiksilver Inc. | 2,614 | 12 |
| * American Axle & Manufacturing Holdings Inc. | 1,057 | 12 |
| Matthews International Corp. Class A | 366 | 11 |
| American Greetings Corp. Class A | 727 | 11 |
| Sinclair Broadcast Group Inc. Class A | 943 | 11 |
| Lithia Motors Inc. Class A | 445 | 11 |
| Fred's Inc. Class A | 751 | 10 |
| * Ruby Tuesday Inc. | 1,312 | 10 |
| Stewart Enterprises Inc. Class A | 1,587 | 10 |
| Churchill Downs Inc. | 186 | 10 |
| * OfficeMax Inc. | 1,731 | 10 |
| * Skechers U.S.A. Inc. Class A | 755 | 10 |
| * Biglari Holdings Inc. | 23 | 9 |
| Belo Corp. Class A | 1,315 | 9 |
| * Standard Pacific Corp. | 2,139 | 9 |
| Stage Stores Inc. | 625 | 9 |
| Brown Shoe Co. Inc. | 851 | 9 |
| Standard Motor Products Inc. | 397 | 9 |
| * Arctic Cat Inc. | 245 | 9 |
| * Boyd Gaming Corp. | 1,104 | 9 |
| * Fuel Systems Solutions Inc. | 335 | 9 |
| Superior Industries International Inc. | 472 | 9 |
| * Modine Manufacturing Co. | 938 | 9 |
33
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Jakks Pacific Inc. | 548 | 9 |
| Callaway Golf Co. | 1,298 | 9 |
| Ethan Allen Interiors Inc. | 316 | 8 |
| Core-Mark Holding Co. Inc. | 198 | 8 |
| Harte-Hanks Inc. | 892 | 8 |
| * Barnes & Noble Inc. | 585 | 8 |
| * Warnaco Group Inc. | 129 | 8 |
| HOT Topic Inc. | 838 | 7 |
| Movado Group Inc. | 349 | 7 |
| * Corinthian Colleges Inc. | 1,570 | 7 |
| Bebe Stores Inc. | 774 | 7 |
| Blyth Inc. | 105 | 7 |
| * Drew Industries Inc. | 238 | 7 |
| * Carter's Inc. | 134 | 7 |
| Vail Resorts Inc. | 152 | 6 |
| * Wet Seal Inc. Class A | 1,818 | 6 |
| * Cavco Industries Inc. | 138 | 6 |
| * EW Scripps Co. Class A | 625 | 6 |
| * Leapfrog Enterprises Inc. | 835 | 6 |
| * Scientific Games Corp. Class A | 558 | 6 |
| * Multimedia Games Holding Co. Inc. | 543 | 6 |
| * Central European Media Enterprises Ltd. Class A | 738 | 6 |
| * Kirkland's Inc. | 337 | 5 |
| * Fisher Communications Inc. | 179 | 5 |
| Marcus Corp. | 411 | 5 |
| * Shoe Carnival Inc. | 185 | 5 |
| * Beazer Homes USA Inc. | 1,534 | 5 |
| * VOXX International Corp. Class A | 364 | 5 |
| * M/I Homes Inc. | 378 | 5 |
| * Select Comfort Corp. | 144 | 4 |
| * Perry Ellis International Inc. | 242 | 4 |
| * Smith & Wesson Holding Corp. | 803 | 4 |
| Haverty Furniture Cos. Inc. | 379 | 4 |
| * Talbots Inc. | 1,408 | 4 |
| * Journal Communications Inc. Class A | 870 | 4 |
| * Life Time Fitness Inc. | 81 | 4 |
| * Systemax Inc. | 206 | 4 |
| * Stein Mart Inc. | 554 | 4 |
| * hhgregg Inc. | 346 | 4 |
| * America's Car-Mart Inc. | 88 | 4 |
| Columbia Sportswear Co. | 78 | 4 |
| Lincoln Educational Services Corp. | 455 | 4 |
| Spartan Motors Inc. | 672 | 4 |
| * MarineMax Inc. | 469 | 4 |
| Speedway Motorsports Inc. | 238 | 4 |
| * O'Charleys Inc. | 371 | 4 |
| * Ruth's Hospitality Group Inc. | 589 | 4 |
| * Universal Electronics Inc. | 187 | 4 |
| * Conn's Inc. | 275 | 4 |
| Cinemark Holdings Inc. | 174 | 4 |
| * Exide Technologies | 1,171 | 3 |
| Big 5 Sporting Goods Corp. | 443 | 3 |
| * Hovnanian Enterprises Inc. Class A | 1,234 | 3 |
| * Entercom Communications Corp. Class A | 488 | 3 |
| Weyco Group Inc. | 144 | 3 |
| Mac-Gray Corp. | 240 | 3 |
| * Steinway Musical Instruments Inc. | 133 | 3 |
| * Citi Trends Inc. | 302 | 3 |
| Benihana Inc. Class A | 314 | 3 |
| CSS Industries Inc. | 164 | 3 |
| * West Marine Inc. | 298 | 3 |
| * Black Diamond Inc. | 378 | 3 |
| * Francesca's Holdings Corp. | 134 | 3 |
| * Shuffle Master Inc. | 207 | 3 |
34
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Tuesday Morning Corp. | 868 | 3 |
| * McClatchy Co. Class A | 1,163 | 3 |
| * Dana Holding Corp. | 175 | 3 |
| * Saga Communications Inc. Class A | 73 | 3 |
| * Casual Male Retail Group Inc. | 849 | 3 |
| * Isle of Capri Casinos Inc. | 411 | 3 |
| * Mattress Firm Holding Corp. | 77 | 3 |
| Martha Stewart Living Omnimedia Class A | 547 | 2 |
| * Town Sports International Holdings Inc. | 238 | 2 |
| * Caribou Coffee Co. Inc. | 143 | 2 |
| Lifetime Brands Inc. | 200 | 2 |
| * Unifi Inc. | 281 | 2 |
| * Denny's Corp. | 551 | 2 |
| * Red Lion Hotels Corp. | 296 | 2 |
| * LIN TV Corp. Class A | 549 | 2 |
| * Teavana Holdings Inc. | 96 | 2 |
| RG Barry Corp. | 156 | 2 |
| * Delta Apparel Inc. | 129 | 2 |
| * Cumulus Media Inc. Class A | 608 | 2 |
| * Zale Corp. | 648 | 2 |
| * Gray Television Inc. | 998 | 2 |
| Outdoor Channel Holdings Inc. | 291 | 2 |
| * Motorcar Parts of America Inc. | 244 | 2 |
| * Pacific Sunwear of California Inc. | 956 | 2 |
| * Monarch Casino & Resort Inc. | 190 | 2 |
| * Luby's Inc. | 378 | 2 |
| * Build-A-Bear Workshop Inc. | 337 | 2 |
| * Skullcandy Inc. | 126 | 2 |
| AH Belo Corp. Class A | 376 | 2 |
| * K-Swiss Inc. Class A | 528 | 2 |
| * Cost Plus Inc. | 133 | 2 |
| * Sealy Corp. | 996 | 2 |
| * Summer Infant Inc. | 275 | 2 |
| * Kenneth Cole Productions Inc. Class A | 103 | 2 |
| * Orbitz Worldwide Inc. | 431 | 2 |
| * Johnson Outdoors Inc. Class A | 94 | 2 |
| Christopher & Banks Corp. | 721 | 2 |
| * Nexstar Broadcasting Group Inc. Class A | 176 | 1 |
| * Morgans Hotel Group Co. | 283 | 1 |
| Ambassadors Group Inc. | 275 | 1 |
| Cracker Barrel Old Country Store Inc. | 25 | 1 |
| Texas Roadhouse Inc. Class A | 82 | 1 |
| * Coldwater Creek Inc. | 1,452 | 1 |
| * Furniture Brands International Inc. | 845 | 1 |
| * 1-800-Flowers.com Inc. Class A | 494 | 1 |
| * New York & Co. Inc. | 513 | 1 |
| PF Chang's China Bistro Inc. | 34 | 1 |
| * Digital Generation Inc. | 129 | 1 |
| Bon-Ton Stores Inc. | 248 | 1 |
| Skyline Corp. | 139 | 1 |
| * Red Robin Gourmet Burgers Inc. | 32 | 1 |
| * School Specialty Inc. | 325 | 1 |
| * Archipelago Learning Inc. | 112 | 1 |
| Shiloh Industries Inc. | 109 | 1 |
| * Cambium Learning Group Inc. | 334 | 1 |
| * Crown Media Holdings Inc. Class A | 671 | 1 |
| * Knology Inc. | 45 | 1 |
| Entravision Communications Corp. Class A | 383 | 1 |
| Marine Products Corp. | 84 | 1 |
| World Wrestling Entertainment Inc. Class A | 57 | 1 |
| * Valuevision Media Inc. Class A | 166 | — |
| Cherokee Inc. | 22 | — |
| Einstein Noah Restaurant Group Inc. | 16 | — |
| * Dial Global Inc. | 83 | — |
35
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Digital Domain Media Group Inc. | 35 | — |
| * Gordmans Stores Inc. | 5 | — |
| * Global Sources Ltd. | 10 | — |
| Value Line Inc. | 3 | — |
| 1,445 | ||
| Consumer Staples (2.9%) | ||
| Sanderson Farms Inc. | 454 | 22 |
| * Hain Celestial Group Inc. | 542 | 22 |
| Snyders-Lance Inc. | 970 | 22 |
| Universal Corp. | 469 | 22 |
| Ruddick Corp. | 454 | 19 |
| * TreeHouse Foods Inc. | 301 | 17 |
| Fresh Del Monte Produce Inc. | 753 | 17 |
| * Rite Aid Corp. | 10,967 | 17 |
| * Prestige Brands Holdings Inc. | 1,013 | 17 |
| Andersons Inc. | 373 | 16 |
| * Winn-Dixie Stores Inc. | 1,125 | 11 |
| Cal-Maine Foods Inc. | 269 | 10 |
| B&G Foods Inc. Class A | 413 | 10 |
| Weis Markets Inc. | 222 | 9 |
| * Chiquita Brands International Inc. | 915 | 9 |
| * Central Garden and Pet Co. Class A | 851 | 8 |
| Spartan Stores Inc. | 455 | 8 |
| * Pilgrim's Pride Corp. | 1,230 | 8 |
| Nash Finch Co. | 244 | 7 |
| * Alliance One International Inc. | 1,754 | 6 |
| * Central European Distribution Corp. | 1,465 | 6 |
| * Dole Food Co. Inc. | 588 | 6 |
| Vector Group Ltd. | 307 | 6 |
| * Pantry Inc. | 429 | 5 |
| * Susser Holdings Corp. | 191 | 5 |
| * Seneca Foods Corp. Class A | 186 | 5 |
| Ingles Markets Inc. Class A | 254 | 5 |
| Village Super Market Inc. Class A | 127 | 4 |
| * Smart Balance Inc. | 631 | 4 |
| * Elizabeth Arden Inc. | 93 | 3 |
| * Revlon Inc. Class A | 219 | 3 |
| * Omega Protein Corp. | 352 | 3 |
| * Nutraceutical International Corp. | 186 | 2 |
| * Spectrum Brands Holdings Inc. | 70 | 2 |
| * Schiff Nutrition International Inc. | 176 | 2 |
| * Chefs' Warehouse Inc. | 91 | 2 |
| Oil-Dri Corp. of America | 86 | 2 |
| * Farmer Bros Co. | 129 | 1 |
| Imperial Sugar Co. | 247 | 1 |
| MGP Ingredients Inc. | 225 | 1 |
| Griffin Land & Nurseries Inc. | 50 | 1 |
| Alico Inc. | 50 | 1 |
| * Craft Brew Alliance Inc. | 163 | 1 |
| * Star Scientific Inc. | 246 | 1 |
| Tootsie Roll Industries Inc. | 37 | 1 |
| * Harbinger Group Inc. | 182 | 1 |
| Arden Group Inc. | 9 | 1 |
| * Primo Water Corp. | 96 | — |
| 352 | ||
| Energy (4.6%) | ||
| * Helix Energy Solutions Group Inc. | 2,158 | 41 |
| Bristow Group Inc. | 739 | 35 |
| * Bill Barrett Corp. | 886 | 26 |
| World Fuel Services Corp. | 620 | 26 |
| * Swift Energy Co. | 859 | 26 |
| * Hornbeck Offshore Services Inc. | 627 | 26 |
| * SemGroup Corp. Class A | 851 | 24 |
| * Gulfmark Offshore Inc. | 393 | 20 |
36
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Exterran Holdings Inc. | 1,288 | 19 |
| * Cloud Peak Energy Inc. | 971 | 17 |
| * Petroleum Development Corp. | 471 | 15 |
| * Comstock Resources Inc. | 956 | 15 |
| Nordic American Tankers Ltd. | 1,070 | 15 |
| * Parker Drilling Co. | 2,341 | 15 |
| * Newpark Resources Inc. | 1,693 | 13 |
| * Tetra Technologies Inc. | 1,378 | 12 |
| Ship Finance International Ltd. | 907 | 12 |
| * Hercules Offshore Inc. | 2,320 | 12 |
| * Energy Partners Ltd. | 583 | 10 |
| * Endeavour International Corp. | 748 | 9 |
| * GeoResources Inc. | 247 | 8 |
| Gulf Island Fabrication Inc. | 247 | 7 |
| * Vaalco Energy Inc. | 908 | 7 |
| Knightsbridge Tankers Ltd. | 443 | 7 |
| * Matrix Service Co. | 449 | 6 |
| * PHI Inc. | 263 | 6 |
| Frontline Ltd. | 1,038 | 6 |
| * Heckmann Corp. | 1,036 | 5 |
| * Petroquest Energy Inc. | 864 | 5 |
| * Approach Resources Inc. | 150 | 5 |
| * BPZ Resources Inc. | 1,559 | 5 |
| * Venoco Inc. | 456 | 5 |
| Overseas Shipholding Group Inc. | 536 | 5 |
| * Warren Resources Inc. | 1,207 | 5 |
| Teekay Tankers Ltd. Class A | 1,065 | 5 |
| * Vantage Drilling Co. | 3,518 | 5 |
| * Harvest Natural Resources Inc. | 685 | 5 |
| Penn Virginia Corp. | 920 | 4 |
| * Key Energy Services Inc. | 262 | 4 |
| * Dawson Geophysical Co. | 116 | 4 |
| * Green Plains Renewable Energy Inc. | 367 | 4 |
| * James River Coal Co. | 716 | 4 |
| * Scorpio Tankers Inc. | 606 | 4 |
| * REX American Resources Corp. | 124 | 4 |
| Delek US Holdings Inc. | 287 | 4 |
| * Natural Gas Services Group Inc. | 246 | 3 |
| * Gastar Exploration Ltd. | 1,169 | 3 |
| * Triangle Petroleum Corp. | 449 | 3 |
| * USEC Inc. | 2,338 | 3 |
| * Mitcham Industries Inc. | 116 | 3 |
| * Willbros Group Inc. | 638 | 3 |
| * Pioneer Drilling Co. | 265 | 3 |
| * Miller Energy Resources Inc. | 626 | 3 |
| * C&J Energy Services Inc. | 115 | 2 |
| * Cal Dive International Inc. | 738 | 2 |
| * Union Drilling Inc. | 306 | 2 |
| * Tesco Corp. | 114 | 2 |
| * Westmoreland Coal Co. | 146 | 2 |
| * GMX Resources Inc. | 821 | 1 |
| DHT Holdings Inc. | 1,298 | 1 |
| * Crimson Exploration Inc. | 440 | 1 |
| Crosstex Energy Inc. | 87 | 1 |
| * Rex Energy Corp. | 101 | 1 |
| Western Refining Inc. | 59 | 1 |
| * L&L Energy Inc. | 449 | 1 |
| * CAMAC Energy Inc. | 1,158 | 1 |
| * Solazyme Inc. | 69 | 1 |
| * Patriot Coal Corp. | 123 | 1 |
| * KiOR Inc. | 96 | 1 |
| * Voyager Oil & Gas Inc. | 257 | 1 |
| Alon USA Energy Inc. | 57 | 1 |
| * Ur-Energy Inc. | 419 | — |
37
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Hallador Energy Co. | 7 | — |
| * General Maritime Corp. | 2,387 | — |
| 564 | ||
| Financials (36.6%) | ||
| BioMed Realty Trust Inc. | 3,114 | 57 |
| National Retail Properties Inc. | 2,121 | 57 |
| ProAssurance Corp. | 620 | 54 |
| MFA Financial Inc. | 7,236 | 53 |
| Hancock Holding Co. | 1,547 | 53 |
| Post Properties Inc. | 1,071 | 47 |
| LaSalle Hotel Properties | 1,726 | 46 |
| Delphi Financial Group Inc. | 978 | 44 |
| Two Harbors Investment Corp. | 4,238 | 44 |
| Hatteras Financial Corp. | 1,523 | 43 |
| Entertainment Properties Trust | 947 | 43 |
| Alterra Capital Holdings Ltd. | 1,840 | 42 |
| Prosperity Bancshares Inc. | 953 | 42 |
| Invesco Mortgage Capital Inc. | 2,347 | 40 |
| * SVB Financial Group | 678 | 40 |
| Starwood Property Trust Inc. | 1,889 | 37 |
| CBL & Associates Properties Inc. | 2,067 | 36 |
| FirstMerit Corp. | 2,212 | 35 |
| Susquehanna Bancshares Inc. | 3,798 | 35 |
| Colonial Properties Trust | 1,692 | 35 |
| DiamondRock Hospitality Co. | 3,389 | 34 |
| * CNO Financial Group Inc. | 4,495 | 33 |
| First American Financial Corp. | 2,132 | 33 |
| Healthcare Realty Trust Inc. | 1,585 | 33 |
| FNB Corp. | 2,774 | 33 |
| Iberiabank Corp. | 602 | 32 |
| Webster Financial Corp. | 1,458 | 32 |
| American Campus Communities Inc. | 767 | 32 |
| * Ocwen Financial Corp. | 1,946 | 31 |
| Kilroy Realty Corp. | 700 | 31 |
| Extra Space Storage Inc. | 1,162 | 31 |
| CYS Investments Inc. | 2,258 | 31 |
| Trustmark Corp. | 1,295 | 31 |
| United Bankshares Inc. | 1,025 | 30 |
| Washington REIT | 995 | 29 |
| Umpqua Holdings Corp. | 2,323 | 29 |
| DCT Industrial Trust Inc. | 4,973 | 28 |
| CubeSmart | 2,487 | 28 |
| Apollo Investment Corp. | 3,965 | 28 |
| Platinum Underwriters Holdings Ltd. | 762 | 27 |
| UMB Financial Corp. | 648 | 27 |
| * Knight Capital Group Inc. Class A | 2,034 | 27 |
| Sovran Self Storage Inc. | 566 | 27 |
| Medical Properties Trust Inc. | 2,716 | 26 |
| Cathay General Bancorp | 1,609 | 26 |
| * Texas Capital Bancshares Inc. | 762 | 26 |
| RLI Corp. | 367 | 26 |
| Northwest Bancshares Inc. | 1,979 | 25 |
| * Stifel Financial Corp. | 654 | 25 |
| Prospect Capital Corp. | 2,236 | 24 |
| Wintrust Financial Corp. | 703 | 24 |
| Old National Bancorp | 1,942 | 23 |
| Capstead Mortgage Corp. | 1,712 | 23 |
| BancorpSouth Inc. | 1,910 | 23 |
| Pebblebrook Hotel Trust | 1,044 | 22 |
| MB Financial Inc. | 1,118 | 22 |
| National Penn Bancshares Inc. | 2,539 | 22 |
| Sun Communities Inc. | 535 | 22 |
| Montpelier Re Holdings Ltd. | 1,264 | 22 |
| * Sunstone Hotel Investors Inc. | 2,425 | 22 |
38
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Community Bank System Inc. | 787 | 21 |
| Lexington Realty Trust | 2,436 | 21 |
| Equity One Inc. | 1,102 | 21 |
| International Bancshares Corp. | 1,089 | 21 |
| * First Industrial Realty Trust Inc. | 1,743 | 21 |
| Glacier Bancorp Inc. | 1,477 | 20 |
| ARMOUR Residential REIT Inc. | 2,814 | 20 |
| CVB Financial Corp. | 1,838 | 20 |
| First Financial Bancorp | 1,197 | 20 |
| Education Realty Trust Inc. | 1,866 | 19 |
| Selective Insurance Group Inc. | 1,111 | 19 |
| PS Business Parks Inc. | 300 | 19 |
| Redwood Trust Inc. | 1,576 | 18 |
| Cash America International Inc. | 393 | 18 |
| Park National Corp. | 258 | 18 |
| Anworth Mortgage Asset Corp. | 2,720 | 18 |
| PrivateBancorp Inc. Class A | 1,209 | 18 |
| First Midwest Bancorp Inc. | 1,496 | 17 |
| Tower Group Inc. | 739 | 17 |
| * MGIC Investment Corp. | 3,765 | 17 |
| Solar Capital Ltd. | 731 | 17 |
| Columbia Banking System Inc. | 792 | 17 |
| DuPont Fabros Technology Inc. | 730 | 17 |
| Provident Financial Services Inc. | 1,213 | 17 |
| Government Properties Income Trust | 710 | 17 |
| Fifth Street Finance Corp. | 1,665 | 16 |
| Argo Group International Holdings Ltd. | 550 | 16 |
| * Strategic Hotels & Resorts Inc. | 2,630 | 16 |
| * PHH Corp. | 1,140 | 16 |
| * BBCN Bancorp Inc. | 1,507 | 15 |
| LTC Properties Inc. | 499 | 15 |
| Astoria Financial Corp. | 1,752 | 15 |
| Primerica Inc. | 606 | 15 |
| NBT Bancorp Inc. | 691 | 15 |
| Westamerica Bancorporation | 318 | 15 |
| Pennsylvania REIT | 1,121 | 15 |
| Boston Private Financial Holdings Inc. | 1,551 | 15 |
| Franklin Street Properties Corp. | 1,416 | 15 |
| Acadia Realty Trust | 688 | 15 |
| American Equity Investment Life Holding Co. | 1,193 | 14 |
| Bank of the Ozarks Inc. | 489 | 14 |
| BlackRock Kelso Capital Corp. | 1,471 | 14 |
| Hersha Hospitality Trust Class A | 2,835 | 14 |
| EastGroup Properties Inc. | 295 | 14 |
| Horace Mann Educators Corp. | 804 | 14 |
| Harleysville Group Inc. | 246 | 14 |
| Equity Lifestyle Properties Inc. | 207 | 14 |
| Nelnet Inc. Class A | 520 | 14 |
| Infinity Property & Casualty Corp. | 250 | 14 |
| Cousins Properties Inc. | 1,837 | 14 |
| Symetra Financial Corp. | 1,361 | 14 |
| * Enstar Group Ltd. | 139 | 13 |
| Inland Real Estate Corp. | 1,553 | 13 |
| First Potomac Realty Trust | 1,008 | 13 |
| PacWest Bancorp | 610 | 13 |
| National Health Investors Inc. | 275 | 13 |
| CreXus Investment Corp. | 1,151 | 13 |
| * National Financial Partners Corp. | 839 | 13 |
| First Commonwealth Financial Corp. | 2,113 | 13 |
| Brookline Bancorp Inc. | 1,358 | 12 |
| PennantPark Investment Corp. | 1,109 | 12 |
| Employers Holdings Inc. | 708 | 12 |
| Chemical Financial Corp. | 553 | 12 |
| Compass Diversified Holdings | 813 | 12 |
39
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Oritani Financial Corp. | 929 | 12 |
| S&T Bancorp Inc. | 566 | 12 |
| First Financial Bankshares Inc. | 348 | 12 |
| Independent Bank Corp. | 432 | 12 |
| Associated Estates Realty Corp. | 792 | 12 |
| Retail Opportunity Investments Corp. | 1,009 | 12 |
| * iStar Financial Inc. | 1,662 | 12 |
| * Investors Bancorp Inc. | 803 | 12 |
| Potlatch Corp. | 375 | 12 |
| Amtrust Financial Services Inc. | 424 | 11 |
| Chesapeake Lodging Trust | 648 | 11 |
| * Pinnacle Financial Partners Inc. | 688 | 11 |
| Home Bancshares Inc. | 452 | 11 |
| * Western Alliance Bancorp | 1,397 | 11 |
| Highwoods Properties Inc. | 354 | 11 |
| * Forestar Group Inc. | 714 | 11 |
| Colony Financial Inc. | 664 | 11 |
| KBW Inc. | 670 | 11 |
| Banco Latinoamericano de Comercio Exterior SA | 561 | 11 |
| Main Street Capital Corp. | 466 | 11 |
| Safety Insurance Group Inc. | 254 | 11 |
| Triangle Capital Corp. | 547 | 11 |
| Walter Investment Management Corp. | 523 | 11 |
| City Holding Co. | 308 | 11 |
| ViewPoint Financial Group | 702 | 11 |
| * Sterling Financial Corp. | 540 | 10 |
| Dynex Capital Inc. | 1,094 | 10 |
| * State Bank Financial Corp. | 637 | 10 |
| NorthStar Realty Finance Corp. | 1,931 | 10 |
| * Navigators Group Inc. | 219 | 10 |
| * Greenlight Capital Re Ltd. Class A | 437 | 10 |
| Meadowbrook Insurance Group Inc. | 1,073 | 10 |
| Hercules Technology Growth Capital Inc. | 989 | 10 |
| Radian Group Inc. | 2,681 | 10 |
| * PICO Holdings Inc. | 458 | 10 |
| Advance America Cash Advance Centers Inc. | 976 | 10 |
| PennyMac Mortgage Investment Trust | 560 | 10 |
| Investors Real Estate Trust | 1,308 | 10 |
| Oriental Financial Group Inc. | 833 | 10 |
| RLJ Lodging Trust | 555 | 10 |
| * Investment Technology Group Inc. | 831 | 10 |
| Trustco Bank Corp. NY | 1,776 | 10 |
| Berkshire Hills Bancorp Inc. | 418 | 9 |
| Simmons First National Corp. Class A | 349 | 9 |
| Resource Capital Corp. | 1,576 | 9 |
| WesBanco Inc. | 466 | 9 |
| Ashford Hospitality Trust Inc. | 1,051 | 9 |
| Maiden Holdings Ltd. | 1,018 | 9 |
| FBL Financial Group Inc. Class A | 259 | 9 |
| Sandy Spring Bancorp Inc. | 486 | 9 |
| Dime Community Bancshares Inc. | 628 | 9 |
| United Fire Group Inc. | 434 | 9 |
| SCBT Financial Corp. | 281 | 9 |
| Community Trust Bancorp Inc. | 280 | 9 |
| Ramco-Gershenson Properties Trust | 776 | 9 |
| Coresite Realty Corp. | 401 | 9 |
| * AMERISAFE Inc. | 371 | 8 |
| Lakeland Financial Corp. | 327 | 8 |
| Flushing Financial Corp. | 632 | 8 |
| * Citizens Inc. | 764 | 8 |
| Flagstone Reinsurance Holdings SA | 994 | 8 |
| * Piper Jaffray Cos. | 319 | 8 |
| Sabra Health Care REIT Inc. | 538 | 8 |
| Urstadt Biddle Properties Inc. Class A | 403 | 8 |
40
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Renasant Corp. | 505 | 8 |
| 1st Source Corp. | 307 | 8 |
| First Busey Corp. | 1,552 | 8 |
| * United Community Banks Inc. | 836 | 7 |
| Excel Trust Inc. | 624 | 7 |
| Monmouth Real Estate Investment Corp. Class A | 797 | 7 |
| MCG Capital Corp. | 1,553 | 7 |
| Kennedy-Wilson Holdings Inc. | 548 | 7 |
| First Financial Corp. | 225 | 7 |
| Southside Bancshares Inc. | 331 | 7 |
| * Safeguard Scientifics Inc. | 417 | 7 |
| Banner Corp. | 334 | 7 |
| Rockville Financial Inc. | 595 | 7 |
| OneBeacon Insurance Group Ltd. Class A | 447 | 7 |
| Hudson Pacific Properties Inc. | 445 | 7 |
| Tompkins Financial Corp. | 165 | 7 |
| Washington Trust Bancorp Inc. | 288 | 7 |
| * West Coast Bancorp | 389 | 7 |
| * Hilltop Holdings Inc. | 803 | 7 |
| Winthrop Realty Trust | 578 | 7 |
| Provident New York Bancorp | 767 | 7 |
| Campus Crest Communities Inc. | 616 | 7 |
| TICC Capital Corp. | 650 | 6 |
| TowneBank | 490 | 6 |
| Cardinal Financial Corp. | 583 | 6 |
| Apollo Commercial Real Estate Finance Inc. | 414 | 6 |
| National Western Life Insurance Co. Class A | 45 | 6 |
| * Beneficial Mutual Bancorp Inc. | 670 | 6 |
| * INTL. FCStone Inc. | 268 | 6 |
| MVC Capital Inc. | 484 | 6 |
| * ICG Group Inc. | 694 | 6 |
| * eHealth Inc. | 397 | 6 |
| First Merchants Corp. | 517 | 6 |
| Union First Market Bankshares Corp. | 409 | 6 |
| Bancfirst Corp. | 136 | 6 |
| Sterling Bancorp | 624 | 6 |
| * Hanmi Financial Corp. | 639 | 6 |
| CapLease Inc. | 1,371 | 6 |
| Agree Realty Corp. | 230 | 6 |
| * Ameris Bancorp | 479 | 6 |
| Kite Realty Group Trust | 1,122 | 5 |
| Capital Southwest Corp. | 59 | 5 |
| Camden National Corp. | 155 | 5 |
| GFI Group Inc. | 1,423 | 5 |
| * NewStar Financial Inc. | 550 | 5 |
| StellarOne Corp. | 463 | 5 |
| Cedar Realty Trust Inc. | 1,129 | 5 |
| * Wilshire Bancorp Inc. | 1,238 | 5 |
| Univest Corp. of Pennsylvania | 338 | 5 |
| * Eagle Bancorp Inc. | 338 | 5 |
| * Global Indemnity plc | 273 | 5 |
| Republic Bancorp Inc. Class A | 200 | 5 |
| United Financial Bancorp Inc. | 325 | 5 |
| Hudson Valley Holding Corp. | 314 | 5 |
| Summit Hotel Properties Inc. | 550 | 5 |
| WSFS Financial Corp. | 130 | 5 |
| German American Bancorp Inc. | 254 | 5 |
| * Bancorp Inc. | 590 | 5 |
| Citizens & Northern Corp. | 246 | 5 |
| * Phoenix Cos. Inc. | 2,342 | 5 |
| Stewart Information Services Corp. | 367 | 5 |
| * FelCor Lodging Trust Inc. | 1,254 | 5 |
| Getty Realty Corp. | 280 | 5 |
| Presidential Life Corp. | 437 | 5 |
41
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Northfield Bancorp Inc. | 343 | 5 |
| Calamos Asset Management Inc. Class A | 383 | 5 |
| First Connecticut Bancorp Inc. | 360 | 5 |
| Arrow Financial Corp. | 193 | 5 |
| Trico Bancshares | 284 | 5 |
| Financial Institutions Inc. | 278 | 5 |
| Territorial Bancorp Inc. | 216 | 5 |
| RAIT Financial Trust | 854 | 5 |
| Great Southern Bancorp Inc. | 205 | 5 |
| SY Bancorp Inc. | 206 | 4 |
| Parkway Properties Inc. | 443 | 4 |
| First Interstate Bancsystem Inc. | 318 | 4 |
| * Central Pacific Financial Corp. | 309 | 4 |
| * OmniAmerican Bancorp Inc. | 239 | 4 |
| Universal Health Realty Income Trust | 113 | 4 |
| Centerstate Banks Inc. | 606 | 4 |
| Heritage Financial Corp. | 316 | 4 |
| Heartland Financial USA Inc. | 268 | 4 |
| MainSource Financial Group Inc. | 406 | 4 |
| * American Safety Insurance Holdings Ltd. | 211 | 4 |
| OceanFirst Financial Corp. | 296 | 4 |
| First of Long Island Corp. | 155 | 4 |
| First Community Bancshares Inc. | 320 | 4 |
| * Virginia Commerce Bancorp Inc. | 472 | 4 |
| Federal Agricultural Mortgage Corp. | 198 | 4 |
| Lakeland Bancorp Inc. | 436 | 4 |
| Washington Banking Co. | 310 | 4 |
| STAG Industrial Inc. | 320 | 4 |
| One Liberty Properties Inc. | 224 | 4 |
| CNB Financial Corp. | 248 | 4 |
| Terreno Realty Corp. | 270 | 4 |
| CoBiz Financial Inc. | 656 | 4 |
| Bank of Marin Bancorp | 108 | 4 |
| National Bankshares Inc. | 140 | 4 |
| * Franklin Financial Corp. | 280 | 4 |
| * Cowen Group Inc. Class A | 1,347 | 4 |
| Fox Chase Bancorp Inc. | 294 | 4 |
| Bank Mutual Corp. | 926 | 4 |
| State Auto Financial Corp. | 259 | 4 |
| Gladstone Capital Corp. | 424 | 4 |
| Ames National Corp. | 167 | 4 |
| Golub Capital BDC Inc. | 241 | 4 |
| * Doral Financial Corp. | 2,564 | 4 |
| Mission West Properties Inc. | 358 | 4 |
| Baldwin & Lyons Inc. | 169 | 4 |
| Oppenheimer Holdings Inc. Class A | 209 | 3 |
| Gladstone Investment Corp. | 445 | 3 |
| Peoples Bancorp Inc. | 213 | 3 |
| Chatham Lodging Trust | 279 | 3 |
| National Interstate Corp. | 139 | 3 |
| * Southwest Bancorp Inc. | 392 | 3 |
| Home Federal Bancorp Inc. | 334 | 3 |
| Westfield Financial Inc. | 418 | 3 |
| FXCM Inc. Class A | 350 | 3 |
| SeaBright Holdings Inc. | 403 | 3 |
| SWS Group Inc. | 588 | 3 |
| NGP Capital Resources Co. | 436 | 3 |
| First Financial Holdings Inc. | 334 | 3 |
| Medallion Financial Corp. | 297 | 3 |
| * BofI Holding Inc. | 198 | 3 |
| * 1st United Bancorp Inc. | 549 | 3 |
| Enterprise Financial Services Corp. | 277 | 3 |
| ESB Financial Corp. | 252 | 3 |
| Bryn Mawr Bank Corp. | 163 | 3 |
42
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| AG Mortgage Investment Trust Inc. | 159 | 3 |
| * Park Sterling Corp. | 695 | 3 |
| Pacific Continental Corp. | 371 | 3 |
| First Defiance Financial Corp. | 197 | 3 |
| First Bancorp | 305 | 3 |
| Penns Woods Bancorp Inc. | 78 | 3 |
| West Bancorporation Inc. | 313 | 3 |
| Arlington Asset Investment Corp. Class A | 130 | 3 |
| * Metro Bancorp Inc. | 280 | 3 |
| Bank of Kentucky Financial Corp. | 117 | 3 |
| American Capital Mortgage Investment Corp. | 134 | 3 |
| * Flagstar Bancorp Inc. | 3,938 | 3 |
| Alliance Financial Corp. | 96 | 3 |
| Cogdell Spencer Inc. | 661 | 3 |
| Marlin Business Services Corp. | 178 | 3 |
| Kansas City Life Insurance Co. | 87 | 3 |
| Glimcher Realty Trust | 277 | 3 |
| Edelman Financial Group Inc. | 409 | 3 |
| Merchants Bancshares Inc. | 97 | 3 |
| * Seacoast Banking Corp. of Florida | 1,460 | 3 |
| Kohlberg Capital Corp. | 385 | 3 |
| * Harris & Harris Group Inc. | 625 | 3 |
| First Bancorp Inc. | 177 | 3 |
| Solar Senior Capital Ltd. | 156 | 3 |
| * FBR & Co. | 1,016 | 3 |
| Nicholas Financial Inc. | 197 | 3 |
| First Pactrust Bancorp Inc. | 217 | 3 |
| Consolidated-Tomoka Land Co. | 85 | 3 |
| Kearny Financial Corp. | 269 | 2 |
| * Manning & Napier Inc. | 197 | 2 |
| Medley Capital Corp. | 224 | 2 |
| * Encore Bancshares Inc. | 169 | 2 |
| * Gleacher & Co. Inc. | 1,587 | 2 |
| BankFinancial Corp. | 425 | 2 |
| * Bridge Capital Holdings | 199 | 2 |
| THL Credit Inc. | 187 | 2 |
| * Suffolk Bancorp | 196 | 2 |
| GAMCO Investors Inc. | 51 | 2 |
| Center Bancorp Inc. | 244 | 2 |
| UMH Properties Inc. | 232 | 2 |
| Omega Healthcare Investors Inc. | 115 | 2 |
| * Taylor Capital Group Inc. | 173 | 2 |
| * Pacific Capital Bancorp NA | 83 | 2 |
| Gladstone Commercial Corp. | 130 | 2 |
| * Meridian Interstate Bancorp Inc. | 177 | 2 |
| Donegal Group Inc. Class A | 162 | 2 |
| * MPG Office Trust Inc. | 988 | 2 |
| Sierra Bancorp | 240 | 2 |
| ESSA Bancorp Inc. | 229 | 2 |
| * Heritage Commerce Corp. | 419 | 2 |
| JMP Group Inc. | 306 | 2 |
| * Sun Bancorp Inc. | 758 | 2 |
| Cohen & Steers Inc. | 62 | 2 |
| Whitestone REIT Class B | 151 | 2 |
| EMC Insurance Group Inc. | 92 | 2 |
| New Mountain Finance Corp. | 146 | 2 |
| * Cape Bancorp Inc. | 240 | 2 |
| * AV Homes Inc. | 181 | 2 |
| MidSouth Bancorp Inc. | 147 | 2 |
| Enterprise Bancorp Inc. | 118 | 2 |
| Capital City Bank Group Inc. | 230 | 2 |
| Bridge Bancorp Inc. | 89 | 2 |
| Century Bancorp Inc. Class A | 69 | 2 |
| Apollo Residential Mortgage Inc. | 88 | 2 |
43
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Roma Financial Corp. | 151 | 2 |
| Clifton Savings Bancorp Inc. | 152 | 1 |
| Independence Holding Co. | 162 | 1 |
| Universal Insurance Holdings Inc. | 366 | 1 |
| * First Marblehead Corp. | 1,111 | 1 |
| Charter Financial Corp. | 136 | 1 |
| * CIFC Corp. | 238 | 1 |
| Orrstown Financial Services Inc. | 141 | 1 |
| Fidus Investment Corp. | 84 | 1 |
| * Hallmark Financial Services | 142 | 1 |
| Gain Capital Holdings Inc. | 161 | 1 |
| * Fortegra Financial Corp. | 118 | 1 |
| * Capital Bank Corp. | 358 | 1 |
| American Assets Trust Inc. | 35 | 1 |
| Newcastle Investment Corp. | 136 | 1 |
| * Virtus Investment Partners Inc. | 9 | 1 |
| * Cascade Bancorp | 115 | 1 |
| California First National Bancorp | 40 | 1 |
| Artio Global Investors Inc. Class A | 58 | — |
| * Imperial Holdings Inc. | 69 | — |
| 4,447 | ||
| Health Care (4.9%) | ||
| * Viropharma Inc. | 1,435 | 46 |
| * HealthSouth Corp. | 1,927 | 39 |
| * Magellan Health Services Inc. | 577 | 27 |
| * Centene Corp. | 378 | 18 |
| * CONMED Corp. | 567 | 17 |
| * Amsurg Corp. Class A | 627 | 16 |
| * Wright Medical Group Inc. | 787 | 13 |
| West Pharmaceutical Services Inc. | 306 | 13 |
| * Greatbatch Inc. | 470 | 12 |
| * Kindred Healthcare Inc. | 1,047 | 11 |
| * Idenix Pharmaceuticals Inc. | 885 | 10 |
| * Medicines Co. | 468 | 10 |
| * Micromet Inc. | 904 | 10 |
| * Triple-S Management Corp. Class B | 399 | 9 |
| National Healthcare Corp. | 206 | 9 |
| Invacare Corp. | 544 | 9 |
| * ICU Medical Inc. | 186 | 9 |
| * Par Pharmaceutical Cos. Inc. | 224 | 8 |
| Cantel Medical Corp. | 399 | 8 |
| * InterMune Inc. | 585 | 8 |
| Medicis Pharmaceutical Corp. Class A | 219 | 8 |
| * Molina Healthcare Inc. | 225 | 8 |
| * Amedisys Inc. | 594 | 8 |
| Universal American Corp. | 651 | 7 |
| * PharMerica Corp. | 592 | 7 |
| Owens & Minor Inc. | 239 | 7 |
| * Hanger Orthopedic Group Inc. | 322 | 7 |
| * AngioDynamics Inc. | 503 | 7 |
| Assisted Living Concepts Inc. Class A | 394 | 6 |
| * Nektar Therapeutics | 848 | 6 |
| * AMAG Pharmaceuticals Inc. | 380 | 6 |
| * Affymetrix Inc. | 1,420 | 6 |
| * Immunogen Inc. | 430 | 6 |
| * Select Medical Holdings Corp. | 699 | 6 |
| * Hi-Tech Pharmacal Co. Inc. | 145 | 6 |
| * Healthways Inc. | 684 | 5 |
| * Omnicell Inc. | 347 | 5 |
| * LHC Group Inc. | 302 | 5 |
| * Enzon Pharmaceuticals Inc. | 712 | 5 |
| * Gentiva Health Services Inc. | 616 | 5 |
| * Arena Pharmaceuticals Inc. | 2,716 | 5 |
| * SurModics Inc. | 307 | 4 |
44
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Theravance Inc. | 230 | 4 |
| * Lexicon Pharmaceuticals Inc. | 2,521 | 4 |
| * Palomar Medical Technologies Inc. | 383 | 4 |
| * Geron Corp. | 2,022 | 4 |
| * Symmetry Medical Inc. | 549 | 4 |
| * Vanguard Health Systems Inc. | 399 | 4 |
| * Cambrex Corp. | 593 | 4 |
| * RTI Biologics Inc. | 1,049 | 4 |
| * Almost Family Inc. | 166 | 4 |
| Analogic Corp. | 66 | 4 |
| * Affymax Inc. | 367 | 4 |
| * Cynosure Inc. Class A | 207 | 4 |
| * Furiex Pharmaceuticals Inc. | 200 | 4 |
| * Exact Sciences Corp. | 383 | 4 |
| * Solta Medical Inc. | 1,221 | 3 |
| * Rigel Pharmaceuticals Inc. | 327 | 3 |
| * Capital Senior Living Corp. | 375 | 3 |
| * Cross Country Healthcare Inc. | 560 | 3 |
| * Providence Service Corp. | 209 | 3 |
| PDL BioPharma Inc. | 492 | 3 |
| * Maxygen Inc. | 563 | 3 |
| * Sequenom Inc. | 713 | 3 |
| * eResearchTechnology Inc. | 478 | 3 |
| * Five Star Quality Care Inc. | 845 | 3 |
| * Natus Medical Inc. | 282 | 3 |
| * Celldex Therapeutics Inc. | 761 | 3 |
| * CryoLife Inc. | 509 | 3 |
| * PAREXEL International Corp. | 113 | 3 |
| * Array Biopharma Inc. | 954 | 3 |
| * Neurocrine Biosciences Inc. | 339 | 3 |
| * Skilled Healthcare Group Inc. | 408 | 3 |
| * Impax Laboratories Inc. | 114 | 3 |
| * MedAssets Inc. | 172 | 2 |
| * Sun Healthcare Group Inc. | 521 | 2 |
| * AMN Healthcare Services Inc. | 434 | 2 |
| Young Innovations Inc. | 75 | 2 |
| * Sunrise Senior Living Inc. | 292 | 2 |
| * Pacific Biosciences of California Inc. | 533 | 2 |
| * Curis Inc. | 488 | 2 |
| * Insmed Inc. | 501 | 2 |
| * Alphatec Holdings Inc. | 1,086 | 2 |
| * Oncothyreon Inc. | 239 | 2 |
| * Astex Pharmaceuticals | 1,057 | 2 |
| * Harvard Bioscience Inc. | 443 | 2 |
| * Enzo Biochem Inc. | 709 | 2 |
| * Progenics Pharmaceuticals Inc. | 167 | 2 |
| * Clovis Oncology Inc. | 57 | 1 |
| * Chindex International Inc. | 141 | 1 |
| * IRIS International Inc. | 113 | 1 |
| * BioScrip Inc. | 198 | 1 |
| * Accuray Inc. | 181 | 1 |
| * Biolase Technology Inc. | 451 | 1 |
| * Albany Molecular Research Inc. | 444 | 1 |
| * CardioNet Inc. | 364 | 1 |
| * Medical Action Industries Inc. | 187 | 1 |
| * Staar Surgical Co. | 94 | 1 |
| * Lannett Co. Inc. | 230 | 1 |
| * Cornerstone Therapeutics Inc. | 161 | 1 |
| * Cytori Therapeutics Inc. | 279 | 1 |
| * Savient Pharmaceuticals Inc. | 414 | 1 |
| * Novavax Inc. | 643 | 1 |
| * Exactech Inc. | 49 | 1 |
| * AVANIR Pharmaceuticals Inc. | 254 | 1 |
| * Dyax Corp. | 429 | 1 |
45
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Cell Therapeutics Inc. | 488 | 1 |
| * Zalicus Inc. | 596 | 1 |
| * XenoPort Inc. | 142 | 1 |
| * Nymox Pharmaceutical Corp. | 67 | 1 |
| * Cerus Corp. | 139 | 1 |
| * Metabolix Inc. | 187 | 1 |
| * KV Pharmaceutical Co. Class A | 347 | 1 |
| * Vical Inc. | 150 | 1 |
| * BioMimetic Therapeutics Inc. | 230 | 1 |
| * Zeltiq Aesthetics Inc. | 43 | — |
| * Allos Therapeutics Inc. | 295 | — |
| * NewLink Genetics Corp. | 37 | — |
| * DynaVox Inc. Class A | 84 | — |
| * Uroplasty Inc. | 85 | — |
| * Transcept Pharmaceuticals Inc. | 23 | — |
| * Columbia Laboratories Inc. | 278 | — |
| * Vanda Pharmaceuticals Inc. | 35 | — |
| * BG Medicine Inc. | 19 | — |
| * Epocrates Inc. | 9 | — |
| * Durect Corp. | 113 | — |
| * Sunesis Pharmaceuticals Inc. | 37 | — |
| * Anacor Pharmaceuticals Inc. | 10 | — |
| * Horizon Pharma Inc. | 16 | — |
| * Neostem Inc. | 90 | — |
| 602 | ||
| Industrials (14.9%) | ||
| * Alaska Air Group Inc. | 685 | 47 |
| Triumph Group Inc. | 674 | 43 |
| * Esterline Technologies Corp. | 617 | 40 |
| Robbins & Myers Inc. | 802 | 39 |
| EMCOR Group Inc. | 1,353 | 38 |
| * United Rentals Inc. | 898 | 37 |
| * Moog Inc. Class A | 832 | 37 |
| AO Smith Corp. | 774 | 35 |
| Curtiss-Wright Corp. | 940 | 35 |
| * FTI Consulting Inc. | 855 | 34 |
| Actuant Corp. Class A | 1,167 | 33 |
| * Teledyne Technologies Inc. | 532 | 32 |
| * RSC Holdings Inc. | 1,383 | 31 |
| Barnes Group Inc. | 1,104 | 31 |
| Mueller Industries Inc. | 663 | 30 |
| Brady Corp. Class A | 881 | 28 |
| * JetBlue Airways Corp. | 4,993 | 25 |
| Simpson Manufacturing Co. Inc. | 843 | 25 |
| * Tetra Tech Inc. | 1,018 | 25 |
| Kaydon Corp. | 655 | 25 |
| * US Airways Group Inc. | 3,312 | 25 |
| * Geo Group Inc. | 1,314 | 23 |
| * EnerSys | 682 | 23 |
| * Atlas Air Worldwide Holdings Inc. | 537 | 23 |
| Granite Construction Inc. | 776 | 22 |
| Watts Water Technologies Inc. Class A | 546 | 22 |
| Werner Enterprises Inc. | 770 | 19 |
| Amerco Inc. | 175 | 18 |
| ABM Industries Inc. | 770 | 17 |
| Unifirst Corp. | 286 | 17 |
| Briggs & Stratton Corp. | 1,011 | 17 |
| * Rush Enterprises Inc. Class A | 653 | 16 |
| * Ceradyne Inc. | 502 | 16 |
| * Astec Industries Inc. | 402 | 15 |
| ESCO Technologies Inc. | 398 | 14 |
| * Korn/Ferry International | 889 | 14 |
| * Navigant Consulting Inc. | 1,039 | 14 |
| * Aegion Corp. Class A | 796 | 14 |
46
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Aircastle Ltd. | 1,002 | 14 |
| * Swift Transportation Co. | 1,132 | 13 |
| AAR Corp. | 598 | 13 |
| * ACCO Brands Corp. | 1,111 | 13 |
| Quanex Building Products Corp. | 764 | 13 |
| Universal Forest Products Inc. | 393 | 13 |
| * Interline Brands Inc. | 612 | 13 |
| * Dycom Industries Inc. | 591 | 13 |
| G&K Services Inc. Class A | 377 | 13 |
| Steelcase Inc. Class A | 1,415 | 12 |
| SkyWest Inc. | 1,065 | 12 |
| * Mobile Mini Inc. | 549 | 12 |
| NACCO Industries Inc. Class A | 118 | 12 |
| * Seaboard Corp. | 6 | 11 |
| Resources Connection Inc. | 871 | 11 |
| Encore Wire Corp. | 374 | 11 |
| Albany International Corp. | 451 | 11 |
| Griffon Corp. | 960 | 10 |
| * Greenbrier Cos. Inc. | 401 | 10 |
| * Tutor Perini Corp. | 629 | 10 |
| * SYKES Enterprises Inc. | 712 | 10 |
| * Layne Christensen Co. | 396 | 10 |
| * Orbital Sciences Corp. | 681 | 10 |
| Cascade Corp. | 175 | 9 |
| Mueller Water Products Inc. Class A | 3,131 | 9 |
| * On Assignment Inc. | 666 | 9 |
| Arkansas Best Corp. | 513 | 9 |
| * EnPro Industries Inc. | 238 | 9 |
| McGrath Rentcorp | 283 | 9 |
| * RailAmerica Inc. | 431 | 9 |
| United Stationers Inc. | 305 | 9 |
| Ennis Inc. | 525 | 9 |
| Comfort Systems USA Inc. | 764 | 9 |
| Cubic Corp. | 179 | 9 |
| * GeoEye Inc. | 421 | 9 |
| * Gibraltar Industries Inc. | 613 | 8 |
| Great Lakes Dredge & Dock Corp. | 1,185 | 8 |
| Kaman Corp. | 237 | 8 |
| * Generac Holdings Inc. | 318 | 8 |
| Kelly Services Inc. Class A | 537 | 8 |
| Standex International Corp. | 205 | 8 |
| * Hexcel Corp. | 304 | 8 |
| Apogee Enterprises Inc. | 566 | 7 |
| Quad/Graphics Inc. | 463 | 7 |
| Viad Corp. | 356 | 7 |
| Heidrick & Struggles International Inc. | 329 | 7 |
| * ICF International Inc. | 257 | 7 |
| FreightCar America Inc. | 241 | 7 |
| * Spirit Airlines Inc. | 314 | 6 |
| * USG Corp. | 419 | 6 |
| * Air Transport Services Group Inc. | 1,085 | 6 |
| * Powell Industries Inc. | 178 | 6 |
| * Accuride Corp. | 733 | 6 |
| * American Railcar Industries Inc. | 196 | 6 |
| LB Foster Co. Class A | 191 | 6 |
| Marten Transport Ltd. | 265 | 6 |
| * Titan Machinery Inc. | 211 | 6 |
| * Dolan Co. | 612 | 5 |
| * Hawaiian Holdings Inc. | 1,016 | 5 |
| * Federal Signal Corp. | 1,145 | 5 |
| * H&E Equipment Services Inc. | 311 | 5 |
| Belden Inc. | 136 | 5 |
| * EnergySolutions Inc. | 1,257 | 5 |
| * Saia Inc. | 322 | 5 |
47
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * CBIZ Inc. | 794 | 5 |
| * Republic Airways Holdings Inc. | 971 | 5 |
| * NCI Building Systems Inc. | 398 | 5 |
| Multi-Color Corp. | 218 | 5 |
| * Northwest Pipe Co. | 188 | 5 |
| * Meritor Inc. | 609 | 4 |
| * TrueBlue Inc. | 271 | 4 |
| Aceto Corp. | 536 | 4 |
| * CRA International Inc. | 180 | 4 |
| * Kratos Defense & Security Solutions Inc. | 668 | 4 |
| CIRCOR International Inc. | 128 | 4 |
| Insteel Industries Inc. | 336 | 4 |
| * RBC Bearings Inc. | 92 | 4 |
| * Genco Shipping & Trading Ltd. | 596 | 4 |
| * Michael Baker Corp. | 168 | 4 |
| * American Superconductor Corp. | 900 | 4 |
| * Orion Marine Group Inc. | 544 | 4 |
| * Kadant Inc. | 181 | 4 |
| Kimball International Inc. Class B | 632 | 4 |
| * Wesco Aircraft Holdings Inc. | 262 | 4 |
| * Global Power Equipment Group Inc. | 158 | 4 |
| Miller Industries Inc. | 238 | 4 |
| SeaCube Container Leasing Ltd. | 223 | 4 |
| * Pacer International Inc. | 636 | 3 |
| * Sterling Construction Co. Inc. | 332 | 3 |
| Alamo Group Inc. | 126 | 3 |
| * American Reprographics Co. | 639 | 3 |
| * GP Strategies Corp. | 212 | 3 |
| CDI Corp. | 221 | 3 |
| Ampco-Pittsburgh Corp. | 156 | 3 |
| * Odyssey Marine Exploration Inc. | 1,079 | 3 |
| Ducommun Inc. | 212 | 3 |
| Brink's Co. | 127 | 3 |
| * Lydall Inc. | 346 | 3 |
| * Hurco Cos. Inc. | 130 | 3 |
| * Roadrunner Transportation Systems Inc. | 172 | 3 |
| Preformed Line Products Co. | 45 | 3 |
| * Hudson Highland Group Inc. | 661 | 3 |
| * Pike Electric Corp. | 327 | 3 |
| * Builders FirstSource Inc. | 949 | 3 |
| * Patriot Transportation Holding Inc. | 124 | 3 |
| * Quality Distribution Inc. | 211 | 3 |
| LSI Industries Inc. | 393 | 3 |
| * Hill International Inc. | 505 | 3 |
| * Pendrell Corp. | 1,112 | 3 |
| American Woodmark Corp. | 189 | 3 |
| Schawk Inc. Class A | 238 | 3 |
| * KEYW Holding Corp. | 371 | 3 |
| * A123 Systems Inc. | 1,461 | 3 |
| Barrett Business Services Inc. | 154 | 3 |
| CLARCOR Inc. | 51 | 3 |
| * EnerNOC Inc. | 325 | 3 |
| Met-Pro Corp. | 275 | 2 |
| * Franklin Covey Co. | 269 | 2 |
| International Shipholding Corp. | 110 | 2 |
| Douglas Dynamics Inc. | 173 | 2 |
| Courier Corp. | 208 | 2 |
| Celadon Group Inc. | 150 | 2 |
| VSE Corp. | 88 | 2 |
| * WCA Waste Corp. | 327 | 2 |
| * Cenveo Inc. | 520 | 2 |
| * Eagle Bulk Shipping Inc. | 1,260 | 2 |
| * Energy Recovery Inc. | 922 | 2 |
| Argan Inc. | 130 | 2 |
48
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * PowerSecure International Inc. | 322 | 2 |
| * Metalico Inc. | 380 | 2 |
| * GenCorp Inc. | 312 | 2 |
| * LMI Aerospace Inc. | 91 | 2 |
| * TMS International Corp. Class A | 155 | 2 |
| * Tecumseh Products Co. Class A | 373 | 2 |
| * Colfax Corp. | 49 | 2 |
| Universal Truckload Services Inc. | 106 | 2 |
| * Excel Maritime Carriers Ltd. Class A | 921 | 2 |
| Baltic Trading Ltd. | 329 | 1 |
| Franklin Electric Co. Inc. | 30 | 1 |
| * Columbus McKinnon Corp. | 81 | 1 |
| * Broadwind Energy Inc. | 2,096 | 1 |
| * Ultrapetrol Bahamas Ltd. | 431 | 1 |
| Lawson Products Inc. | 70 | 1 |
| * Essex Rental Corp. | 301 | 1 |
| * Kforce Inc. | 75 | 1 |
| Primoris Services Corp. | 68 | 1 |
| * Huron Consulting Group Inc. | 26 | 1 |
| * UniTek Global Services Inc. | 222 | 1 |
| * Valence Technology Inc. | 813 | 1 |
| John Bean Technologies Corp. | 41 | 1 |
| * Zipcar Inc. | 53 | 1 |
| * Casella Waste Systems Inc. Class A | 91 | 1 |
| US Ecology Inc. | 30 | 1 |
| * Covenant Transportation Group Inc. Class A | 169 | 1 |
| * MYR Group Inc. | 26 | 1 |
| Compx International Inc. | 28 | — |
| * Flow International Corp. | 114 | — |
| * CAI International Inc. | 12 | — |
| * AT Cross Co. Class A | 16 | — |
| * Fuel Tech Inc. | 19 | — |
| NL Industries Inc. | 6 | — |
| 1,808 | ||
| Information Technology (10.7%) | ||
| MKS Instruments Inc. | 1,059 | 32 |
| * CACI International Inc. Class A | 497 | 29 |
| * Arris Group Inc. | 2,507 | 29 |
| * Convergys Corp. | 2,148 | 28 |
| Plantronics Inc. | 643 | 24 |
| * RF Micro Devices Inc. | 5,015 | 24 |
| * Acxiom Corp. | 1,665 | 23 |
| * Cymer Inc. | 470 | 22 |
| * Viasat Inc. | 466 | 21 |
| * SYNNEX Corp. | 504 | 21 |
| * Benchmark Electronics Inc. | 1,247 | 20 |
| * Euronet Worldwide Inc. | 1,027 | 20 |
| * Anixter International Inc. | 284 | 20 |
| * Sanmina-SCI Corp. | 1,657 | 19 |
| * Cabot Microelectronics Corp. | 373 | 19 |
| * Insight Enterprises Inc. | 890 | 19 |
| * Emulex Corp. | 1,768 | 18 |
| * Tessera Technologies Inc. | 1,051 | 18 |
| * JDA Software Group Inc. | 690 | 17 |
| * Scansource Inc. | 462 | 17 |
| Earthlink Inc. | 2,216 | 17 |
| * Entegris Inc. | 1,817 | 16 |
| * Mentor Graphics Corp. | 1,079 | 16 |
| * Kulicke & Soffa Industries Inc. | 1,451 | 16 |
| * Quest Software Inc. | 799 | 16 |
| Brooks Automation Inc. | 1,327 | 16 |
| Mantech International Corp. Class A | 470 | 16 |
| * Infinera Corp. | 1,973 | 16 |
| * Loral Space & Communications Inc. | 203 | 14 |
49
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Electronics for Imaging Inc. | 874 | 14 |
| Comtech Telecommunications Corp. | 412 | 13 |
| * ATMI Inc. | 602 | 13 |
| * Spansion Inc. Class A | 1,013 | 13 |
| * Amkor Technology Inc. | 1,963 | 13 |
| Fair Isaac Corp. | 302 | 12 |
| * Quantum Corp. | 4,539 | 12 |
| Park Electrochemical Corp. | 418 | 12 |
| * Standard Microsystems Corp. | 464 | 12 |
| * Progress Software Corp. | 508 | 12 |
| * Digital River Inc. | 662 | 12 |
| * Sonus Networks Inc. | 3,922 | 11 |
| * Lattice Semiconductor Corp. | 1,642 | 11 |
| * Harmonic Inc. | 1,825 | 11 |
| * SS&C Technologies Holdings Inc. | 509 | 11 |
| * Advanced Energy Industries Inc. | 878 | 10 |
| Xyratex Ltd. | 574 | 10 |
| Black Box Corp. | 362 | 10 |
| * Unisys Corp. | 506 | 9 |
| * TTM Technologies Inc. | 798 | 9 |
| United Online Inc. | 1,785 | 9 |
| * Checkpoint Systems Inc. | 808 | 9 |
| * Intermec Inc. | 1,196 | 9 |
| * Accelrys Inc. | 1,116 | 9 |
| * Mercury Computer Systems Inc. | 608 | 9 |
| * Newport Corp. | 518 | 9 |
| * Photronics Inc. | 1,185 | 8 |
| * InfoSpace Inc. | 695 | 8 |
| * Rogers Corp. | 212 | 8 |
| * KIT Digital Inc. | 774 | 8 |
| * Kemet Corp. | 845 | 8 |
| * Sycamore Networks Inc. | 403 | 7 |
| * Integrated Device Technology Inc. | 1,077 | 7 |
| * Coherent Inc. | 134 | 7 |
| * Global Cash Access Holdings Inc. | 1,300 | 7 |
| * Rofin-Sinar Technologies Inc. | 304 | 7 |
| * Nanometrics Inc. | 406 | 7 |
| CTS Corp. | 692 | 7 |
| * Brightpoint Inc. | 775 | 7 |
| Methode Electronics Inc. | 744 | 7 |
| EPIQ Systems Inc. | 588 | 7 |
| * Veeco Instruments Inc. | 248 | 7 |
| Cognex Corp. | 153 | 6 |
| * Avid Technology Inc. | 597 | 6 |
| * Rudolph Technologies Inc. | 637 | 6 |
| * GSI Group Inc. | 521 | 6 |
| * CSG Systems International Inc. | 363 | 6 |
| * Cray Inc. | 729 | 6 |
| Electro Scientific Industries Inc. | 413 | 6 |
| * Integrated Silicon Solution Inc. | 540 | 6 |
| * CIBER Inc. | 1,288 | 6 |
| Cohu Inc. | 484 | 5 |
| * OSI Systems Inc. | 89 | 5 |
| * Zygo Corp. | 272 | 5 |
| * Formfactor Inc. | 1,020 | 5 |
| * Symmetricom Inc. | 872 | 5 |
| * QuinStreet Inc. | 489 | 5 |
| Daktronics Inc. | 560 | 5 |
| * Extreme Networks | 1,333 | 5 |
| ModusLink Global Solutions Inc. | 882 | 5 |
| * Digi International Inc. | 427 | 5 |
| * Anaren Inc. | 271 | 5 |
| * ACI Worldwide Inc. | 125 | 5 |
| * Exar Corp. | 656 | 5 |
50
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Oclaro Inc. | 1,017 | 4 |
| * STR Holdings Inc. | 609 | 4 |
| Ebix Inc. | 185 | 4 |
| RealNetworks Inc. | 424 | 4 |
| * Supertex Inc. | 224 | 4 |
| * Omnivision Technologies Inc. | 247 | 4 |
| Electro Rent Corp. | 223 | 4 |
| * Multi-Fineline Electronix Inc. | 151 | 4 |
| * Oplink Communications Inc. | 236 | 4 |
| * Imation Corp. | 606 | 4 |
| Bel Fuse Inc. Class B | 213 | 4 |
| * Sigma Designs Inc. | 641 | 4 |
| * Vishay Precision Group Inc. | 248 | 4 |
| * Intevac Inc. | 461 | 4 |
| * Ubiquiti Networks Inc. | 135 | 4 |
| * Axcelis Technologies Inc. | 2,137 | 4 |
| * Anadigics Inc. | 1,358 | 3 |
| Richardson Electronics Ltd. | 284 | 3 |
| * Pericom Semiconductor Corp. | 445 | 3 |
| * Aviat Networks Inc. | 1,221 | 3 |
| * DealerTrack Holdings Inc. | 114 | 3 |
| * PLX Technology Inc. | 897 | 3 |
| * LTX-Credence Corp. | 460 | 3 |
| * FSI International Inc. | 778 | 3 |
| * DSP Group Inc. | 472 | 3 |
| Littelfuse Inc. | 56 | 3 |
| * Bankrate Inc. | 124 | 3 |
| * Alpha & Omega Semiconductor Ltd. | 296 | 3 |
| * Radisys Corp. | 391 | 3 |
| * Openwave Systems Inc. | 1,202 | 3 |
| * Agilysys Inc. | 361 | 3 |
| * Kopin Corp. | 799 | 3 |
| * FEI Co. | 59 | 3 |
| * KVH Industries Inc. | 284 | 3 |
| * Monolithic Power Systems Inc. | 139 | 3 |
| * XO Group Inc. | 282 | 3 |
| * Westell Technologies Inc. Class A | 1,069 | 2 |
| * X-Rite Inc. | 532 | 2 |
| * ePlus Inc. | 73 | 2 |
| * Plexus Corp. | 67 | 2 |
| * ORBCOMM Inc. | 685 | 2 |
| DDi Corp. | 199 | 2 |
| * AXT Inc. | 371 | 2 |
| Rimage Corp. | 192 | 2 |
| * MIPS Technologies Inc. Class A | 359 | 2 |
| * Zillow Inc. | 63 | 2 |
| Communications Systems Inc. | 138 | 2 |
| * Mindspeed Technologies Inc. | 307 | 2 |
| * Rosetta Stone Inc. | 221 | 2 |
| * Novatel Wireless Inc. | 581 | 2 |
| * IXYS Corp. | 167 | 2 |
| * Seachange International Inc. | 283 | 2 |
| * Emcore Corp. | 444 | 2 |
| * Globecomm Systems Inc. | 131 | 2 |
| * GSI Technology Inc. | 407 | 2 |
| * Smith Micro Software Inc. | 723 | 2 |
| * Identive Group Inc. | 786 | 2 |
| * Silicon Image Inc. | 337 | 2 |
| * Perficient Inc. | 142 | 2 |
| * InvenSense Inc. | 109 | 2 |
| PC Connection Inc. | 185 | 2 |
| * Dynamics Research Corp. | 179 | 2 |
| * Angie's List Inc. | 101 | 2 |
| Badger Meter Inc. | 50 | 2 |
51
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * TeleCommunication Systems Inc. Class A | 541 | 1 |
| * Computer Task Group Inc. | 92 | 1 |
| * Applied Micro Circuits Corp. | 199 | 1 |
| * support.com Inc. | 381 | 1 |
| * Dot Hill Systems Corp. | 879 | 1 |
| * Imperva Inc. | 30 | 1 |
| * Internap Network Services Corp. | 146 | 1 |
| Marchex Inc. Class B | 254 | 1 |
| * Hackett Group Inc. | 216 | 1 |
| * Opnext Inc. | 1,029 | 1 |
| * Viasystems Group Inc. | 56 | 1 |
| * Tangoe Inc. | 55 | 1 |
| * NCI Inc. Class A | 111 | 1 |
| * Limelight Networks Inc. | 202 | 1 |
| * THQ Inc. | 1,371 | 1 |
| * TechTarget Inc. | 88 | 1 |
| * Stream Global Services Inc. | 185 | 1 |
| * Intermolecular Inc. | 84 | 1 |
| * Actuate Corp. | 83 | 1 |
| * MoneyGram International Inc. | 26 | — |
| * Immersion Corp. | 70 | — |
| * NeoPhotonics Corp. | 76 | — |
| * Carbonite Inc. | 39 | — |
| * Power-One Inc. | 84 | — |
| * PDF Solutions Inc. | 27 | — |
| * TeleNav Inc. | 20 | — |
| * Amtech Systems Inc. | 11 | — |
| * Motricity Inc. | 43 | — |
| 1,302 | ||
| Materials (5.1%) | ||
| * Coeur d'Alene Mines Corp. | 1,696 | 48 |
| Sensient Technologies Corp. | 1,017 | 38 |
| HB Fuller Co. | 942 | 28 |
| Buckeye Technologies Inc. | 815 | 28 |
| Minerals Technologies Inc. | 374 | 24 |
| Schweitzer-Mauduit International Inc. | 326 | 23 |
| * Thompson Creek Metals Co. Inc. | 3,090 | 23 |
| * Louisiana-Pacific Corp. | 2,707 | 22 |
| * Georgia Gulf Corp. | 685 | 22 |
| * OM Group Inc. | 625 | 17 |
| * Clearwater Paper Corp. | 465 | 16 |
| * KapStone Paper and Packaging Corp. | 787 | 16 |
| Texas Industries Inc. | 459 | 16 |
| Boise Inc. | 1,855 | 15 |
| A Schulman Inc. | 590 | 15 |
| Stepan Co. | 164 | 14 |
| PH Glatfelter Co. | 885 | 14 |
| Olin Corp. | 638 | 13 |
| * RTI International Metals Inc. | 528 | 12 |
| * Chemtura Corp. | 749 | 12 |
| Tredegar Corp. | 481 | 11 |
| * Materion Corp. | 379 | 11 |
| * SunCoke Energy Inc. | 742 | 11 |
| * Jaguar Mining Inc. | 1,699 | 10 |
| * Century Aluminum Co. | 1,039 | 10 |
| * Golden Star Resources Ltd. | 5,207 | 10 |
| * Ferro Corp. | 1,743 | 10 |
| * Horsehead Holding Corp. | 835 | 10 |
| Wausau Paper Corp. | 991 | 9 |
| Kaiser Aluminum Corp. | 186 | 9 |
| Myers Industries Inc. | 553 | 7 |
| PolyOne Corp. | 518 | 7 |
| Worthington Industries Inc. | 408 | 7 |
| * Zoltek Cos. Inc. | 560 | 7 |
52
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| American Vanguard Corp. | 377 | 6 |
| Eagle Materials Inc. | 170 | 5 |
| * Universal Stainless & Alloy | 144 | 5 |
| Olympic Steel Inc. | 184 | 4 |
| * Vista Gold Corp. | 1,206 | 4 |
| Neenah Paper Inc. | 149 | 4 |
| * AM Castle & Co. | 337 | 4 |
| * Headwaters Inc. | 1,225 | 4 |
| * Spartech Corp. | 622 | 4 |
| * Calgon Carbon Corp. | 232 | 4 |
| Haynes International Inc. | 55 | 4 |
| * Landec Corp. | 532 | 3 |
| * TPC Group Inc. | 95 | 3 |
| Quaker Chemical Corp. | 68 | 3 |
| FutureFuel Corp. | 242 | 3 |
| * United States Lime & Minerals Inc. | 42 | 3 |
| * Kraton Performance Polymers Inc. | 82 | 2 |
| * Graphic Packaging Holding Co. | 405 | 2 |
| Chase Corp. | 123 | 2 |
| * US Energy Corp. Wyoming | 492 | 2 |
| * Innospec Inc. | 51 | 2 |
| * Handy & Harman Ltd. | 100 | 1 |
| * Revett Minerals Inc. | 221 | 1 |
| * Verso Paper Corp. | 267 | — |
| * Golden Minerals Co. | 40 | — |
| KMG Chemicals Inc. | 17 | — |
| 620 | ||
| Telecommunication Services (0.6%) | ||
| * Cincinnati Bell Inc. | 2,847 | 11 |
| * Leap Wireless International Inc. | 974 | 10 |
| * Premiere Global Services Inc. | 1,053 | 9 |
| * Neutral Tandem Inc. | 632 | 7 |
| USA Mobility Inc. | 445 | 6 |
| SureWest Communications | 266 | 6 |
| * Iridium Communications Inc. | 775 | 6 |
| Atlantic Tele-Network Inc. | 145 | 6 |
| * Vonage Holdings Corp. | 1,603 | 4 |
| Alaska Communications Systems Group Inc. | 725 | 2 |
| Consolidated Communications Holdings Inc. | 105 | 2 |
| * Globalstar Inc. | 2,060 | 2 |
| * Fairpoint Communications Inc. | 408 | 2 |
| * Boingo Wireless Inc. | 30 | — |
| * inContact Inc. | 51 | — |
| IDT Corp. Class B | 25 | — |
| 73 | ||
| Utilities (6.5%) | ||
| Cleco Corp. | 1,237 | 48 |
| Piedmont Natural Gas Co. Inc. | 1,456 | 47 |
| WGL Holdings Inc. | 1,039 | 42 |
| IDACORP Inc. | 1,006 | 41 |
| Southwest Gas Corp. | 930 | 40 |
| New Jersey Resources Corp. | 841 | 39 |
| Portland General Electric Co. | 1,531 | 38 |
| UIL Holdings Corp. | 1,028 | 36 |
| Atlantic Power Corp. | 2,128 | 31 |
| PNM Resources Inc. | 1,615 | 29 |
| Avista Corp. | 1,168 | 29 |
| El Paso Electric Co. | 853 | 28 |
| Unisource Energy Corp. | 744 | 27 |
| Allete Inc. | 646 | 27 |
| Black Hills Corp. | 799 | 26 |
| South Jersey Industries Inc. | 498 | 26 |
| NorthWestern Corp. | 736 | 25 |
| Northwest Natural Gas Co. | 546 | 25 |
53
| Vanguard® Russell 2000 Value Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2012 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| CH Energy Group Inc. | 314 | 21 | |||
| MGE Energy Inc. | 475 | 21 | |||
| Laclede Group Inc. | 461 | 19 | |||
| Empire District Electric Co. | 838 | 17 | |||
| California Water Service Group | 837 | 16 | |||
| Otter Tail Corp. | 687 | 15 | |||
| American States Water Co. | 376 | 14 | |||
| Central Vermont Public Service Corp. | 270 | 9 | |||
| Chesapeake Utilities Corp. | 193 | 8 | |||
| Ormat Technologies Inc. | 362 | 7 | |||
| SJW Corp. | 284 | 7 | |||
| Unitil Corp. | 220 | 6 | |||
| Middlesex Water Co. | 314 | 6 | |||
| Connecticut Water Service Inc. | 173 | 5 | |||
| York Water Co. | 256 | 4 | |||
| Artesian Resources Corp. Class A | 159 | 3 | |||
| * | Dynegy Inc. Class A | 2,074 | 3 | ||
| * | Cadiz Inc. | 243 | 3 | ||
| Consolidated Water Co. Ltd. | 294 | 2 | |||
| Genie Energy Ltd. Class B | 25 | — | |||
| 790 | |||||
| Total Common Stocks (Cost $10,824) | 12,003 | ||||
| Coupon | |||||
| Temporary Cash Investments (1.6%)1 | |||||
| U.S. Government and Agency Obligations (1.6%) | |||||
| 2,3 | Freddie Mac Discount Notes | 0.050% | 4/4/12 | 100 | 100 |
| 2 | Freddie Mac Discount Notes | 0.050% | 4/24/12 | 100 | 100 |
| Total Temporary Cash Investments (Cost $200) | 200 | ||||
| Total Investments (100.3%) (Cost $11,024) | 12,203 | ||||
| Other Assets and Liabilities—Net (-0.3%) | (41) | ||||
| Net Assets (100%) | 12,162 | ||||
Securities with a market value of less than $500 are displayed with a dash.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
3 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
54
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (100.0%) | ||
| Consumer Discretionary (15.1%) | ||
| Sotheby's | 5,791 | 228 |
| * Ascena Retail Group Inc. | 5,383 | 208 |
| * Tenneco Inc. | 5,182 | 200 |
| * Dana Holding Corp. | 11,825 | 189 |
| Brunswick Corp. | 7,650 | 183 |
| * Carter's Inc. | 3,654 | 177 |
| * Warnaco Group Inc. | 2,929 | 172 |
| * Life Time Fitness Inc. | 3,292 | 163 |
| Wolverine World Wide Inc. | 4,265 | 163 |
| Six Flags Entertainment Corp. | 3,583 | 162 |
| * Coinstar Inc. | 2,694 | 157 |
| * Crocs Inc. | 7,755 | 152 |
| Cinemark Holdings Inc. | 7,243 | 152 |
| Pool Corp. | 4,139 | 151 |
| * Cheesecake Factory Inc. | 4,962 | 147 |
| * Steven Madden Ltd. | 3,251 | 140 |
| * Buffalo Wild Wings Inc. | 1,575 | 136 |
| HSN Inc. | 3,435 | 128 |
| * Aeropostale Inc. | 6,936 | 125 |
| Hillenbrand Inc. | 5,387 | 124 |
| * Select Comfort Corp. | 4,165 | 123 |
| * JOS A Bank Clothiers Inc. | 2,374 | 122 |
| Monro Muffler Brake Inc. | 2,620 | 120 |
| * Hibbett Sports Inc. | 2,355 | 115 |
| * Express Inc. | 4,748 | 113 |
| Strayer Education Inc. | 1,052 | 108 |
| * ANN Inc. | 4,473 | 107 |
| Buckle Inc. | 2,315 | 104 |
| Cracker Barrel Old Country Store Inc. | 1,862 | 104 |
| Vail Resorts Inc. | 2,448 | 103 |
| * BJ's Restaurants Inc. | 2,067 | 103 |
| * Valassis Communications Inc. | 3,846 | 96 |
| * Vitamin Shoppe Inc. | 2,133 | 91 |
| Cooper Tire & Rubber Co. | 5,338 | 89 |
| Texas Roadhouse Inc. Class A | 5,058 | 85 |
| Arbitron Inc. | 2,334 | 78 |
| National CineMedia Inc. | 4,746 | 76 |
| * Domino's Pizza Inc. | 1,901 | 73 |
| * DineEquity Inc. | 1,324 | 71 |
| * Peet's Coffee & Tea Inc. | 1,096 | 71 |
| * Shutterfly Inc. | 2,547 | 70 |
| Sturm Ruger & Co. Inc. | 1,613 | 67 |
| CEC Entertainment Inc. | 1,699 | 65 |
| * Steiner Leisure Ltd. | 1,286 | 64 |
| Cato Corp. Class A | 2,365 | 64 |
| PF Chang's China Bistro Inc. | 1,671 | 64 |
| * GNC Holdings Inc. Class A | 1,957 | 63 |
| * Vera Bradley Inc. | 1,697 | 62 |
| * American Public Education Inc. | 1,529 | 60 |
| * Papa John's International Inc. | 1,598 | 59 |
| * True Religion Apparel Inc. | 2,203 | 58 |
| * Zumiez Inc. | 1,822 | 57 |
| Oxford Industries Inc. | 1,101 | 55 |
| Ameristar Casinos Inc. | 2,763 | 55 |
| * Shuffle Master Inc. | 3,751 | 55 |
| * Lions Gate Entertainment Corp. | 3,880 | 53 |
| * iRobot Corp. | 2,034 | 52 |
| * Capella Education Co. | 1,242 | 48 |
| * K12 Inc. | 2,235 | 48 |
| * Interval Leisure Group Inc. | 3,463 | 47 |
| * Pier 1 Imports Inc. | 2,671 | 46 |
55
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Sonic Corp. | 5,332 | 44 |
| * Lumber Liquidators Holdings Inc. | 1,994 | 44 |
| * Knology Inc. | 2,392 | 43 |
| * Maidenform Brands Inc. | 2,018 | 42 |
| * Dorman Products Inc. | 932 | 42 |
| * Grand Canyon Education Inc. | 2,471 | 42 |
| * Krispy Kreme Doughnuts Inc. | 5,044 | 41 |
| * Bridgepoint Education Inc. | 1,542 | 38 |
| * Blue Nile Inc. | 1,029 | 37 |
| Columbia Sportswear Co. | 709 | 35 |
| * G-III Apparel Group Ltd. | 1,410 | 35 |
| * Red Robin Gourmet Burgers Inc. | 999 | 34 |
| * Rue21 Inc. | 1,281 | 34 |
| * AFC Enterprises Inc. | 2,113 | 34 |
| * Bravo Brio Restaurant Group Inc. | 1,647 | 32 |
| Finish Line Inc. Class A | 1,353 | 31 |
| Matthews International Corp. Class A | 972 | 30 |
| Men's Wearhouse Inc. | 754 | 29 |
| * Body Central Corp. | 1,008 | 28 |
| * Amerigon Inc. | 1,905 | 28 |
| MDC Partners Inc. Class A | 2,149 | 28 |
| * Scientific Games Corp. Class A | 2,607 | 27 |
| Nutrisystem Inc. | 2,313 | 26 |
| * Denny's Corp. | 6,148 | 26 |
| * Universal Technical Institute Inc. | 1,934 | 25 |
| * Winnebago Industries Inc. | 2,502 | 22 |
| * Stoneridge Inc. | 2,279 | 22 |
| * Libbey Inc. | 1,706 | 21 |
| PetMed Express Inc. | 1,755 | 21 |
| * Zagg Inc. | 1,919 | 20 |
| World Wrestling Entertainment Inc. Class A | 2,103 | 19 |
| Ethan Allen Interiors Inc. | 735 | 19 |
| * Digital Generation Inc. | 1,817 | 18 |
| * Drew Industries Inc. | 631 | 17 |
| * America's Car-Mart Inc. | 387 | 17 |
| * Rentrak Corp. | 823 | 17 |
| Belo Corp. Class A | 2,368 | 17 |
| Destination Maternity Corp. | 906 | 16 |
| Churchill Downs Inc. | 289 | 15 |
| * American Axle & Manufacturing Holdings Inc. | 1,242 | 14 |
| * Cost Plus Inc. | 1,047 | 14 |
| * Genesco Inc. | 201 | 14 |
| * Carrols Restaurant Group Inc. | 1,057 | 13 |
| * Jamba Inc. | 5,549 | 12 |
| Winmark Corp. | 190 | 11 |
| * Universal Electronics Inc. | 488 | 10 |
| * Smith & Wesson Holding Corp. | 1,720 | 9 |
| * Caribou Coffee Co. Inc. | 504 | 8 |
| * Town Sports International Holdings Inc. | 728 | 8 |
| * Tower International Inc. | 553 | 7 |
| Cherokee Inc. | 623 | 7 |
| * ReachLocal Inc. | 839 | 7 |
| * Francesca's Holdings Corp. | 284 | 7 |
| * Gordmans Stores Inc. | 426 | 6 |
| * Overstock.com Inc. | 975 | 6 |
| Einstein Noah Restaurant Group Inc. | 434 | 6 |
| * US Auto Parts Network Inc. | 1,244 | 6 |
| * Archipelago Learning Inc. | 640 | 6 |
| * Mattress Firm Holding Corp. | 162 | 5 |
| * Geeknet Inc. | 368 | 5 |
| Core-Mark Holding Co. Inc. | 130 | 5 |
| National American University Holdings Inc. | 745 | 5 |
| * Jack in the Box Inc. | 207 | 5 |
| * Global Sources Ltd. | 910 | 5 |
56
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Exide Technologies | 1,622 | 5 |
| * Teavana Holdings Inc. | 202 | 5 |
| * Valuevision Media Inc. Class A | 2,753 | 5 |
| Entravision Communications Corp. Class A | 2,476 | 4 |
| * Skullcandy Inc. | 286 | 4 |
| * Liz Claiborne Inc. | 406 | 4 |
| * Biglari Holdings Inc. | 9 | 4 |
| Sinclair Broadcast Group Inc. Class A | 305 | 3 |
| * Morgans Hotel Group Co. | 672 | 3 |
| * Pinnacle Entertainment Inc. | 312 | 3 |
| * Kenneth Cole Productions Inc. Class A | 206 | 3 |
| * Ruth's Hospitality Group Inc. | 500 | 3 |
| American Greetings Corp. Class A | 196 | 3 |
| Marine Products Corp. | 410 | 3 |
| * Cumulus Media Inc. Class A | 628 | 2 |
| Ambassadors Group Inc. | 372 | 2 |
| * Nexstar Broadcasting Group Inc. Class A | 183 | 2 |
| Value Line Inc. | 111 | 1 |
| * Conn's Inc. | 89 | 1 |
| RG Barry Corp. | 84 | 1 |
| * Delta Apparel Inc. | 71 | 1 |
| * hhgregg Inc. | 100 | 1 |
| * Perry Ellis International Inc. | 65 | 1 |
| * Digital Domain Media Group Inc. | 180 | 1 |
| * Systemax Inc. | 41 | 1 |
| * Crown Media Holdings Inc. Class A | 590 | 1 |
| * LIN TV Corp. Class A | 160 | 1 |
| * 1-800-Flowers.com Inc. Class A | 189 | 1 |
| * New York & Co. Inc. | 132 | — |
| 7,807 | ||
| Consumer Staples (4.0%) | ||
| Nu Skin Enterprises Inc. Class A | 4,699 | 271 |
| * United Natural Foods Inc. | 4,156 | 189 |
| Casey's General Stores Inc. | 3,261 | 167 |
| * Darling International Inc. | 10,052 | 161 |
| * Fresh Market Inc. | 2,417 | 109 |
| Lancaster Colony Corp. | 1,608 | 105 |
| * TreeHouse Foods Inc. | 1,797 | 104 |
| PriceSmart Inc. | 1,529 | 99 |
| Ruddick Corp. | 2,280 | 93 |
| * Boston Beer Co. Inc. Class A | 707 | 67 |
| * Elizabeth Arden Inc. | 1,699 | 63 |
| J&J Snack Foods Corp. | 1,223 | 61 |
| WD-40 Co. | 1,368 | 59 |
| B&G Foods Inc. Class A | 2,359 | 55 |
| Vector Group Ltd. | 2,828 | 51 |
| Diamond Foods Inc. | 1,889 | 45 |
| Tootsie Roll Industries Inc. | 1,889 | 44 |
| * Spectrum Brands Holdings Inc. | 1,129 | 32 |
| * Hain Celestial Group Inc. | 754 | 31 |
| * Star Scientific Inc. | 8,116 | 30 |
| Calavo Growers Inc. | 1,014 | 28 |
| Coca-Cola Bottling Co. Consolidated | 393 | 25 |
| Inter Parfums Inc. | 1,384 | 23 |
| * USANA Health Sciences Inc. | 558 | 21 |
| * Medifast Inc. | 1,189 | 19 |
| * National Beverage Corp. | 972 | 16 |
| * Smart Balance Inc. | 2,442 | 15 |
| * Nature's Sunshine Products Inc. | 971 | 14 |
| Limoneira Co. | 659 | 12 |
| * Chefs' Warehouse Inc. | 493 | 10 |
| * Synutra International Inc. | 1,457 | 9 |
| Female Health Co. | 1,555 | 8 |
| * Rite Aid Corp. | 3,771 | 6 |
57
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Dole Food Co. Inc. | 564 | 5 |
| Arden Group Inc. | 55 | 5 |
| * Lifeway Foods Inc. | 386 | 4 |
| * Schiff Nutrition International Inc. | 287 | 3 |
| Cal-Maine Foods Inc. | 70 | 3 |
| Alico Inc. | 106 | 2 |
| * Primo Water Corp. | 835 | 2 |
| * Craft Brew Alliance Inc. | 275 | 2 |
| * Pantry Inc. | 125 | 2 |
| Oil-Dri Corp. of America | 73 | 2 |
| * Omega Protein Corp. | 147 | 1 |
| * Farmer Bros Co. | 52 | 1 |
| 2,074 | ||
| Energy (8.8%) | ||
| * Energy XXI Bermuda Ltd. | 6,458 | 242 |
| Berry Petroleum Co. Class A | 4,420 | 239 |
| * Rosetta Resources Inc. | 4,544 | 232 |
| * Kodiak Oil & Gas Corp. | 22,087 | 214 |
| Lufkin Industries Inc. | 2,611 | 208 |
| * Dril-Quip Inc. | 2,953 | 207 |
| * CVR Energy Inc. | 7,543 | 205 |
| * Oasis Petroleum Inc. | 5,114 | 164 |
| * Key Energy Services Inc. | 9,605 | 164 |
| * Cheniere Energy Inc. | 10,830 | 163 |
| Golar LNG Ltd. | 3,427 | 146 |
| World Fuel Services Corp. | 3,456 | 144 |
| * Stone Energy Corp. | 4,211 | 135 |
| * Gulfport Energy Corp. | 3,918 | 132 |
| * Northern Oil and Gas Inc. | 5,425 | 129 |
| * McMoRan Exploration Co. | 8,440 | 118 |
| * Carrizo Oil & Gas Inc. | 3,346 | 94 |
| * ION Geophysical Corp. | 11,296 | 81 |
| * Clean Energy Fuels Corp. | 4,241 | 80 |
| Western Refining Inc. | 4,261 | 77 |
| W&T Offshore Inc. | 2,981 | 75 |
| * Contango Oil & Gas Co. | 1,044 | 66 |
| * Magnum Hunter Resources Corp. | 9,533 | 66 |
| Targa Resources Corp. | 1,408 | 63 |
| Apco Oil and Gas International Inc. | 782 | 59 |
| * Approach Resources Inc. | 1,601 | 55 |
| * Patriot Coal Corp. | 7,286 | 53 |
| * Clayton Williams Energy Inc. | 503 | 44 |
| * Resolute Energy Corp. | 3,974 | 44 |
| Crosstex Energy Inc. | 3,127 | 43 |
| * Pioneer Drilling Co. | 4,140 | 41 |
| * Basic Energy Services Inc. | 2,057 | 41 |
| * OYO Geospace Corp. | 370 | 41 |
| * Rex Energy Corp. | 3,059 | 35 |
| * Goodrich Petroleum Corp. | 2,207 | 35 |
| * Rentech Inc. | 19,049 | 34 |
| * Tesco Corp. | 2,094 | 32 |
| * ATP Oil & Gas Corp. | 3,815 | 31 |
| * FX Energy Inc. | 4,487 | 28 |
| * Abraxas Petroleum Corp. | 7,058 | 28 |
| * Uranium Energy Corp. | 6,457 | 24 |
| * Callon Petroleum Co. | 3,358 | 24 |
| * Heckmann Corp. | 4,257 | 22 |
| * GeoResources Inc. | 673 | 22 |
| * Hyperdynamics Corp. | 14,315 | 19 |
| * Cloud Peak Energy Inc. | 1,086 | 19 |
| * Gulfmark Offshore Inc. | 363 | 18 |
| Panhandle Oil and Gas Inc. Class A | 609 | 18 |
| * Global Geophysical Services Inc. | 1,571 | 17 |
| * Houston American Energy Corp. | 1,430 | 15 |
58
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Cal Dive International Inc. | 5,101 | 15 |
| * Uranerz Energy Corp. | 5,616 | 14 |
| * Mitcham Industries Inc. | 549 | 13 |
| * Evolution Petroleum Corp. | 1,352 | 13 |
| * Triangle Petroleum Corp. | 1,738 | 12 |
| * C&J Energy Services Inc. | 520 | 11 |
| * Solazyme Inc. | 703 | 10 |
| * Voyager Oil & Gas Inc. | 2,879 | 9 |
| * Syntroleum Corp. | 7,434 | 9 |
| * Bill Barrett Corp. | 301 | 9 |
| * RigNet Inc. | 492 | 8 |
| * Ur-Energy Inc. | 7,137 | 8 |
| * Amyris Inc. | 1,485 | 8 |
| * Uranium Resources Inc. | 7,865 | 8 |
| * Isramco Inc. | 90 | 7 |
| * Zion Oil & Gas Inc. | 2,557 | 7 |
| * Dawson Geophysical Co. | 183 | 7 |
| Alon USA Energy Inc. | 727 | 7 |
| * Petroquest Energy Inc. | 1,103 | 7 |
| * BPZ Resources Inc. | 2,080 | 7 |
| * Tetra Technologies Inc. | 711 | 6 |
| * Venoco Inc. | 585 | 6 |
| Gulf Island Fabrication Inc. | 176 | 5 |
| * Gevo Inc. | 500 | 5 |
| * Matrix Service Co. | 351 | 5 |
| * KiOR Inc. | 511 | 4 |
| * Newpark Resources Inc. | 525 | 4 |
| * Vaalco Energy Inc. | 512 | 4 |
| * Warren Resources Inc. | 968 | 4 |
| Hallador Energy Co. | 346 | 3 |
| * GMX Resources Inc. | 1,756 | 3 |
| * Willbros Group Inc. | 625 | 3 |
| * Westmoreland Coal Co. | 225 | 2 |
| * Geokinetics Inc. | 952 | 2 |
| 4,531 | ||
| Financials (7.4%) | ||
| Home Properties Inc. | 4,118 | 237 |
| * Signature Bank | 3,950 | 234 |
| Tanger Factory Outlet Centers | 7,364 | 216 |
| Mid-America Apartment Communities Inc. | 3,153 | 197 |
| Omega Healthcare Investors Inc. | 8,268 | 168 |
| Highwoods Properties Inc. | 4,691 | 150 |
| * Ezcorp Inc. Class A | 4,032 | 127 |
| Equity Lifestyle Properties Inc. | 1,909 | 127 |
| Kilroy Realty Corp. | 2,890 | 127 |
| * First Cash Financial Services Inc. | 2,691 | 114 |
| American Campus Communities Inc. | 2,585 | 106 |
| Glimcher Realty Trust | 8,678 | 86 |
| Extra Space Storage Inc. | 3,140 | 83 |
| * World Acceptance Corp. | 1,294 | 82 |
| MarketAxess Holdings Inc. | 2,468 | 82 |
| * Financial Engines Inc. | 3,295 | 76 |
| CBL & Associates Properties Inc. | 3,985 | 70 |
| * Stifel Financial Corp. | 1,840 | 69 |
| * DFC Global Corp. | 3,740 | 67 |
| Alexander's Inc. | 176 | 67 |
| Potlatch Corp. | 1,849 | 57 |
| American Assets Trust Inc. | 2,609 | 56 |
| * Credit Acceptance Corp. | 574 | 55 |
| Westamerica Bancorporation | 1,128 | 53 |
| EastGroup Properties Inc. | 1,067 | 51 |
| Evercore Partners Inc. Class A | 1,806 | 49 |
| * SVB Financial Group | 819 | 48 |
| Newcastle Investment Corp. | 8,473 | 46 |
59
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| BGC Partners Inc. Class A | 6,515 | 46 |
| DuPont Fabros Technology Inc. | 1,931 | 44 |
| National Health Investors Inc. | 927 | 44 |
| Washington REIT | 1,450 | 43 |
| * Virtus Investment Partners Inc. | 529 | 42 |
| First Financial Bankshares Inc. | 1,223 | 42 |
| Cohen & Steers Inc. | 1,271 | 42 |
| Cash America International Inc. | 841 | 39 |
| * HFF Inc. Class A | 2,477 | 36 |
| Duff & Phelps Corp. Class A | 2,590 | 36 |
| * Tejon Ranch Co. | 1,216 | 35 |
| Epoch Holding Corp. | 1,263 | 31 |
| Saul Centers Inc. | 632 | 24 |
| * Strategic Hotels & Resorts Inc. | 3,804 | 24 |
| Westwood Holdings Group Inc. | 538 | 21 |
| * FelCor Lodging Trust Inc. | 5,359 | 21 |
| Universal Health Realty Income Trust | 540 | 20 |
| PS Business Parks Inc. | 318 | 20 |
| * Netspend Holdings Inc. | 2,284 | 20 |
| * Ladenburg Thalmann Financial Services Inc. | 9,220 | 19 |
| Getty Realty Corp. | 1,033 | 18 |
| GAMCO Investors Inc. | 370 | 17 |
| Diamond Hill Investment Group Inc. | 223 | 17 |
| Acadia Realty Trust | 761 | 16 |
| LTC Properties Inc. | 475 | 15 |
| * Greenlight Capital Re Ltd. Class A | 553 | 13 |
| Sabra Health Care REIT Inc. | 853 | 12 |
| Artio Global Investors Inc. Class A | 2,425 | 12 |
| * Walker & Dunlop Inc. | 904 | 11 |
| Investors Real Estate Trust | 1,291 | 10 |
| Crawford & Co. Class B | 2,170 | 9 |
| Bank of the Ozarks Inc. | 323 | 9 |
| Apollo Residential Mortgage Inc. | 522 | 9 |
| * Investors Bancorp Inc. | 541 | 8 |
| Amtrust Financial Services Inc. | 257 | 7 |
| Gladstone Commercial Corp. | 380 | 7 |
| Advance America Cash Advance Centers Inc. | 561 | 6 |
| * Taylor Capital Group Inc. | 419 | 6 |
| Urstadt Biddle Properties Inc. Class A | 258 | 5 |
| Westfield Financial Inc. | 616 | 5 |
| Bryn Mawr Bank Corp. | 233 | 5 |
| Cogdell Spencer Inc. | 990 | 4 |
| Bridge Bancorp Inc. | 193 | 4 |
| Pzena Investment Management Inc. Class A | 734 | 4 |
| SY Bancorp Inc. | 152 | 3 |
| * Imperial Holdings Inc. | 1,259 | 3 |
| * Manning & Napier Inc. | 237 | 3 |
| * Hallmark Financial Services | 413 | 3 |
| Associated Estates Realty Corp. | 181 | 3 |
| AG Mortgage Investment Trust Inc. | 135 | 3 |
| State Auto Financial Corp. | 170 | 2 |
| American Capital Mortgage Investment Corp. | 105 | 2 |
| Trustco Bank Corp. NY | 404 | 2 |
| * Hampton Roads Bankshares Inc. | 826 | 2 |
| Enterprise Financial Services Corp. | 183 | 2 |
| * ICG Group Inc. | 221 | 2 |
| Flagstone Reinsurance Holdings SA | 235 | 2 |
| Fidus Investment Corp. | 89 | 1 |
| Arrow Financial Corp. | 44 | 1 |
| Clifton Savings Bancorp Inc. | 93 | 1 |
| * BofI Holding Inc. | 55 | 1 |
| 3,814 | ||
| Health Care (20.1%) | ||
| * WellCare Health Plans Inc. | 3,649 | 248 |
60
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Salix Pharmaceuticals Ltd. | 5,007 | 247 |
| * HMS Holdings Corp. | 7,268 | 234 |
| * Cepheid Inc. | 5,593 | 226 |
| * Cubist Pharmaceuticals Inc. | 5,139 | 220 |
| * athenahealth Inc. | 2,996 | 212 |
| * Onyx Pharmaceuticals Inc. | 5,430 | 208 |
| * Ariad Pharmaceuticals Inc. | 13,536 | 194 |
| * Questcor Pharmaceuticals Inc. | 4,563 | 178 |
| * Medivation Inc. | 2,693 | 176 |
| * Vivus Inc. | 7,614 | 171 |
| STERIS Corp. | 5,088 | 160 |
| * Seattle Genetics Inc. | 8,290 | 153 |
| Medicis Pharmaceutical Corp. Class A | 4,371 | 153 |
| * Haemonetics Corp. | 2,207 | 148 |
| * Alkermes plc | 8,193 | 144 |
| Quality Systems Inc. | 3,330 | 143 |
| * Zoll Medical Corp. | 1,883 | 138 |
| * Align Technology Inc. | 5,269 | 135 |
| Owens & Minor Inc. | 4,459 | 134 |
| * Centene Corp. | 2,684 | 131 |
| * Incyte Corp. Ltd. | 7,600 | 129 |
| * Volcano Corp. | 4,480 | 126 |
| * Impax Laboratories Inc. | 5,121 | 120 |
| * PAREXEL International Corp. | 4,578 | 112 |
| * MAKO Surgical Corp. | 2,749 | 107 |
| * PSS World Medical Inc. | 4,400 | 107 |
| Chemed Corp. | 1,709 | 106 |
| * Jazz Pharmaceuticals plc | 1,898 | 100 |
| * Pharmacyclics Inc. | 3,946 | 99 |
| * Masimo Corp. | 4,514 | 98 |
| * MWI Veterinary Supply Inc. | 1,079 | 93 |
| * Theravance Inc. | 4,948 | 93 |
| * Cyberonics Inc. | 2,438 | 91 |
| * Accretive Health Inc. | 3,440 | 89 |
| * Acorda Therapeutics Inc. | 3,391 | 89 |
| * Air Methods Corp. | 974 | 88 |
| * Halozyme Therapeutics Inc. | 7,633 | 88 |
| * Auxilium Pharmaceuticals Inc. | 4,113 | 81 |
| * Par Pharmaceutical Cos. Inc. | 2,159 | 80 |
| * Isis Pharmaceuticals Inc. | 8,568 | 78 |
| * Insulet Corp. | 3,952 | 78 |
| * NxStage Medical Inc. | 3,838 | 77 |
| * HeartWare International Inc. | 1,034 | 76 |
| * Luminex Corp. | 3,253 | 73 |
| * Exelixis Inc. | 12,736 | 72 |
| * Spectrum Pharmaceuticals Inc. | 4,942 | 70 |
| * Neogen Corp. | 1,983 | 69 |
| West Pharmaceutical Services Inc. | 1,569 | 65 |
| * Immunogen Inc. | 4,599 | 63 |
| Meridian Bioscience Inc. | 3,509 | 63 |
| PDL BioPharma Inc. | 9,861 | 63 |
| * DexCom Inc. | 5,777 | 62 |
| * Ironwood Pharmaceuticals Inc. Class A | 4,622 | 62 |
| * Arthrocare Corp. | 2,351 | 61 |
| * Orthofix International NV | 1,544 | 61 |
| * Akorn Inc. | 4,803 | 60 |
| * Momenta Pharmaceuticals Inc. | 3,946 | 58 |
| Computer Programs & Systems Inc. | 949 | 58 |
| * NuVasive Inc. | 3,618 | 57 |
| * ABIOMED Inc. | 2,711 | 57 |
| * Medicines Co. | 2,631 | 56 |
| * Endologix Inc. | 4,197 | 56 |
| * Dynavax Technologies Corp. | 13,145 | 55 |
| * Integra LifeSciences Holdings Corp. | 1,683 | 53 |
61
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Alnylam Pharmaceuticals Inc. | 3,861 | 52 |
| * Abaxis Inc. | 1,935 | 51 |
| * IPC The Hospitalist Co. Inc. | 1,409 | 51 |
| * Optimer Pharmaceuticals Inc. | 3,976 | 51 |
| * NPS Pharmaceuticals Inc. | 7,380 | 50 |
| * Team Health Holdings Inc. | 2,293 | 50 |
| * Molina Healthcare Inc. | 1,454 | 49 |
| * Emeritus Corp. | 2,627 | 48 |
| * MedAssets Inc. | 3,363 | 48 |
| * Opko Health Inc. | 9,366 | 46 |
| Analogic Corp. | 801 | 46 |
| * Rigel Pharmaceuticals Inc. | 4,511 | 45 |
| * Merit Medical Systems Inc. | 3,602 | 45 |
| * Nektar Therapeutics | 6,207 | 45 |
| * Micromet Inc. | 4,023 | 44 |
| Landauer Inc. | 803 | 43 |
| * Genomic Health Inc. | 1,467 | 43 |
| * Achillion Pharmaceuticals Inc. | 4,050 | 43 |
| * Ardea Biosciences Inc. | 1,981 | 42 |
| * Bio-Reference Labs Inc. | 2,096 | 42 |
| * OraSure Technologies Inc. | 4,026 | 40 |
| Ensign Group Inc. | 1,393 | 38 |
| * Conceptus Inc. | 2,665 | 36 |
| * Medidata Solutions Inc. | 1,797 | 36 |
| * AVEO Pharmaceuticals Inc. | 2,678 | 35 |
| * Accuray Inc. | 5,135 | 35 |
| * Quidel Corp. | 2,433 | 34 |
| * Arqule Inc. | 4,559 | 32 |
| * Emergent Biosolutions Inc. | 2,081 | 32 |
| * HealthStream Inc. | 1,553 | 32 |
| * Exact Sciences Corp. | 3,327 | 31 |
| * Merge Healthcare Inc. | 4,773 | 31 |
| * Hanger Orthopedic Group Inc. | 1,502 | 31 |
| * Metropolitan Health Networks Inc. | 3,622 | 30 |
| * MAP Pharmaceuticals Inc. | 1,871 | 30 |
| * MModal Inc. | 2,865 | 29 |
| * Sequenom Inc. | 6,793 | 29 |
| * Depomed Inc. | 4,594 | 29 |
| * InterMune Inc. | 2,140 | 29 |
| * Sunrise Senior Living Inc. | 3,676 | 28 |
| * ZIOPHARM Oncology Inc. | 5,740 | 28 |
| * Raptor Pharmaceutical Corp. | 4,030 | 28 |
| * AVANIR Pharmaceuticals Inc. | 10,184 | 28 |
| * Neurocrine Biosciences Inc. | 3,549 | 28 |
| Atrion Corp. | 134 | 28 |
| * Staar Surgical Co. | 2,646 | 28 |
| * Ligand Pharmaceuticals Inc. Class B | 1,686 | 25 |
| * Navidea Biopharmaceuticals Inc. | 8,123 | 24 |
| * Corvel Corp. | 532 | 24 |
| * ExamWorks Group Inc. | 2,327 | 24 |
| * Sangamo Biosciences Inc. | 4,525 | 24 |
| * ISTA Pharmaceuticals Inc. | 2,760 | 23 |
| * Spectranetics Corp. | 2,867 | 22 |
| * Tornier NV | 911 | 21 |
| * Oncothyreon Inc. | 2,562 | 21 |
| * Curis Inc. | 4,650 | 21 |
| * Vical Inc. | 6,535 | 21 |
| * Santarus Inc. | 4,595 | 21 |
| * Unilife Corp. | 5,566 | 21 |
| * Omnicell Inc. | 1,372 | 20 |
| * Immunomedics Inc. | 5,671 | 20 |
| * MannKind Corp. | 8,483 | 20 |
| * Keryx Biopharmaceuticals Inc. | 5,972 | 20 |
| * Cell Therapeutics Inc. | 15,247 | 20 |
62
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| US Physical Therapy Inc. | 1,017 | 19 |
| * Antares Pharma Inc. | 7,587 | 19 |
| * Chelsea Therapeutics International Ltd. | 5,018 | 19 |
| * Progenics Pharmaceuticals Inc. | 1,881 | 18 |
| * Obagi Medical Products Inc. | 1,603 | 18 |
| * Delcath Systems Inc. | 4,163 | 18 |
| * Clovis Oncology Inc. | 687 | 17 |
| * Idenix Pharmaceuticals Inc. | 1,449 | 17 |
| * BioScrip Inc. | 2,676 | 17 |
| Kensey Nash Corp. | 739 | 17 |
| * Transcend Services Inc. | 762 | 16 |
| * Targacept Inc. | 2,392 | 16 |
| * Cadence Pharmaceuticals Inc. | 4,295 | 16 |
| * Vascular Solutions Inc. | 1,472 | 15 |
| * Affymax Inc. | 1,492 | 15 |
| * Sciclone Pharmaceuticals Inc. | 3,013 | 14 |
| * Corcept Therapeutics Inc. | 3,577 | 14 |
| * Natus Medical Inc. | 1,312 | 14 |
| * eResearchTechnology Inc. | 2,144 | 14 |
| * Aegerion Pharmaceuticals Inc. | 798 | 13 |
| * Infinity Pharmaceuticals Inc. | 1,616 | 13 |
| * OncoGenex Pharmaceutical Inc. | 820 | 13 |
| * Hansen Medical Inc. | 4,088 | 13 |
| * Cerus Corp. | 3,419 | 13 |
| * Rockwell Medical Technologies Inc. | 1,350 | 13 |
| * Sagent Pharmaceuticals Inc. | 560 | 12 |
| * Anthera Pharmaceuticals Inc. | 1,834 | 12 |
| * AtriCure Inc. | 1,183 | 12 |
| * IRIS International Inc. | 1,066 | 12 |
| * AVI BioPharma Inc. | 11,438 | 12 |
| * Orexigen Therapeutics Inc. | 3,031 | 12 |
| * Synergetics USA Inc. | 1,871 | 12 |
| * Pain Therapeutics Inc. | 3,104 | 11 |
| * BioCryst Pharmaceuticals Inc. | 2,434 | 11 |
| * ICU Medical Inc. | 246 | 11 |
| * Cardiovascular Systems Inc. | 1,217 | 11 |
| * Hi-Tech Pharmacal Co. Inc. | 270 | 11 |
| * Synta Pharmaceuticals Corp. | 2,236 | 11 |
| * Nymox Pharmaceutical Corp. | 1,351 | 11 |
| * Biotime Inc. | 2,079 | 10 |
| * Vanda Pharmaceuticals Inc. | 2,219 | 10 |
| * Cytori Therapeutics Inc. | 3,139 | 10 |
| * Dyax Corp. | 6,808 | 10 |
| * Dusa Pharmaceuticals Inc. | 2,057 | 10 |
| * Medtox Scientific Inc. | 637 | 10 |
| * XenoPort Inc. | 2,441 | 10 |
| * Pozen Inc. | 2,228 | 10 |
| * Lexicon Pharmaceuticals Inc. | 5,387 | 9 |
| * Array Biopharma Inc. | 3,207 | 9 |
| * Vanguard Health Systems Inc. | 902 | 9 |
| * Cleveland Biolabs Inc. | 2,386 | 9 |
| * Savient Pharmaceuticals Inc. | 4,253 | 9 |
| * SIGA Technologies Inc. | 2,896 | 8 |
| * Codexis Inc. | 2,067 | 8 |
| * AMN Healthcare Services Inc. | 1,516 | 8 |
| * Exactech Inc. | 508 | 8 |
| * Allos Therapeutics Inc. | 5,354 | 8 |
| * Amicus Therapeutics Inc. | 1,328 | 8 |
| * Fluidigm Corp. | 543 | 8 |
| * Sucampo Pharmaceuticals Inc. Class A | 1,067 | 8 |
| * RadNet Inc. | 2,567 | 8 |
| * Osiris Therapeutics Inc. | 1,404 | 7 |
| * Biospecifics Technologies Corp. | 416 | 7 |
| * Select Medical Holdings Corp. | 847 | 7 |
63
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Biosante Pharmaceuticals Inc. | 9,226 | 7 |
| * Ampio Pharmaceuticals Inc. | 1,845 | 7 |
| * Novavax Inc. | 5,541 | 7 |
| * Peregrine Pharmaceuticals Inc. | 7,308 | 7 |
| * Nabi Biopharmaceuticals | 3,604 | 7 |
| * Pacira Pharmaceuticals Inc. | 604 | 6 |
| * Capital Senior Living Corp. | 751 | 6 |
| * GTx Inc. | 1,843 | 6 |
| * Bacterin International Holdings Inc. | 2,003 | 6 |
| National Research Corp. | 153 | 6 |
| * Anacor Pharmaceuticals Inc. | 986 | 6 |
| * Metabolix Inc. | 2,052 | 6 |
| * Symmetry Medical Inc. | 768 | 6 |
| * Endocyte Inc. | 1,449 | 5 |
| Young Innovations Inc. | 169 | 5 |
| * Zeltiq Aesthetics Inc. | 443 | 5 |
| * Geron Corp. | 2,411 | 5 |
| * Durect Corp. | 6,320 | 5 |
| * Epocrates Inc. | 488 | 5 |
| * Trius Therapeutics Inc. | 888 | 4 |
| * PharmAthene Inc. | 3,002 | 4 |
| * BG Medicine Inc. | 565 | 4 |
| * Uroplasty Inc. | 1,519 | 4 |
| * Zogenix Inc. | 1,780 | 4 |
| * KV Pharmaceutical Co. Class A | 2,870 | 4 |
| * Sunesis Pharmaceuticals Inc. | 2,237 | 4 |
| * Chindex International Inc. | 414 | 4 |
| * Zalicus Inc. | 3,795 | 4 |
| * NewLink Genetics Corp. | 432 | 4 |
| * Alimera Sciences Inc. | 897 | 3 |
| * Columbia Laboratories Inc. | 4,991 | 3 |
| * Providence Service Corp. | 218 | 3 |
| * Complete Genomics Inc. | 880 | 3 |
| * Medical Action Industries Inc. | 602 | 3 |
| * AMAG Pharmaceuticals Inc. | 194 | 3 |
| * Acura Pharmaceuticals Inc. | 906 | 3 |
| * Stereotaxis Inc. | 3,714 | 3 |
| * Transcept Pharmaceuticals Inc. | 336 | 3 |
| * Alliance HealthCare Services Inc. | 2,061 | 3 |
| * Pernix Therapeutics Holdings | 313 | 3 |
| * Pacific Biosciences of California Inc. | 628 | 3 |
| Invacare Corp. | 139 | 2 |
| * Neostem Inc. | 3,843 | 2 |
| * Celldex Therapeutics Inc. | 535 | 2 |
| * DynaVox Inc. Class A | 576 | 2 |
| * Biolase Technology Inc. | 650 | 2 |
| * Lannett Co. Inc. | 414 | 2 |
| * Arena Pharmaceuticals Inc. | 933 | 2 |
| * BioMimetic Therapeutics Inc. | 725 | 2 |
| * CardioNet Inc. | 471 | 2 |
| * Horizon Pharma Inc. | 435 | 2 |
| * CryoLife Inc. | 252 | 1 |
| * Enzon Pharmaceuticals Inc. | 186 | 1 |
| * LHC Group Inc. | 68 | 1 |
| * RTI Biologics Inc. | 247 | 1 |
| * Enzo Biochem Inc. | 322 | 1 |
| * Astex Pharmaceuticals | 360 | 1 |
| * Harvard Bioscience Inc. | 127 | 1 |
| * Skilled Healthcare Group Inc. | 80 | 1 |
| * Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 367 | — |
| 10,380 | ||
| Industrials (16.6%) | ||
| * Clean Harbors Inc. | 4,018 | 270 |
| Acuity Brands Inc. | 3,712 | 231 |
64
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Woodward Inc. | 5,272 | 231 |
| CLARCOR Inc. | 4,115 | 208 |
| * Genesee & Wyoming Inc. Class A | 3,396 | 202 |
| HEICO Corp. | 3,575 | 195 |
| * Dollar Thrifty Automotive Group Inc. | 2,479 | 188 |
| * Hexcel Corp. | 7,119 | 180 |
| * Old Dominion Freight Line Inc. | 4,077 | 177 |
| * Chart Industries Inc. | 2,524 | 173 |
| Watsco Inc. | 2,410 | 172 |
| * Middleby Corp. | 1,605 | 157 |
| Applied Industrial Technologies Inc. | 3,641 | 146 |
| * Acacia Research Corp. | 3,675 | 145 |
| Belden Inc. | 3,493 | 138 |
| * CoStar Group Inc. | 2,173 | 130 |
| * Colfax Corp. | 3,688 | 125 |
| Corporate Executive Board Co. | 2,966 | 123 |
| * Avis Budget Group Inc. | 9,020 | 116 |
| * Advisory Board Co. | 1,431 | 116 |
| * HUB Group Inc. Class A | 3,163 | 113 |
| Healthcare Services Group Inc. | 5,703 | 111 |
| Rollins Inc. | 5,460 | 111 |
| Deluxe Corp. | 4,418 | 109 |
| * II-VI Inc. | 4,446 | 104 |
| Herman Miller Inc. | 4,923 | 103 |
| * Portfolio Recovery Associates Inc. | 1,470 | 102 |
| Raven Industries Inc. | 1,554 | 98 |
| HNI Corp. | 3,844 | 97 |
| Franklin Electric Co. Inc. | 1,869 | 93 |
| * Beacon Roofing Supply Inc. | 3,950 | 93 |
| Knight Transportation Inc. | 5,242 | 90 |
| Titan International Inc. | 3,616 | 89 |
| Brink's Co. | 3,476 | 88 |
| Mine Safety Appliances Co. | 2,335 | 86 |
| * MasTec Inc. | 4,868 | 86 |
| Forward Air Corp. | 2,525 | 85 |
| * Blount International Inc. | 4,186 | 72 |
| Lindsay Corp. | 1,074 | 70 |
| United Stationers Inc. | 2,376 | 69 |
| * Huron Consulting Group Inc. | 1,785 | 68 |
| * RBC Bearings Inc. | 1,497 | 68 |
| TAL International Group Inc. | 1,880 | 68 |
| Tennant Co. | 1,639 | 67 |
| * United Rentals Inc. | 1,578 | 66 |
| Knoll Inc. | 4,120 | 64 |
| * Allegiant Travel Co. Class A | 1,263 | 63 |
| Heartland Express Inc. | 4,312 | 62 |
| * Wabash National Corp. | 5,863 | 62 |
| * USG Corp. | 4,334 | 62 |
| Insperity Inc. | 1,962 | 59 |
| American Science & Engineering Inc. | 779 | 57 |
| Sun Hydraulics Corp. | 1,720 | 56 |
| Interface Inc. Class A | 4,515 | 55 |
| * Exponent Inc. | 1,137 | 55 |
| AZZ Inc. | 1,078 | 54 |
| * Sauer-Danfoss Inc. | 995 | 54 |
| * Trimas Corp. | 2,196 | 53 |
| * Teledyne Technologies Inc. | 883 | 53 |
| * Team Inc. | 1,673 | 51 |
| * DigitalGlobe Inc. | 3,029 | 47 |
| * Altra Holdings Inc. | 2,311 | 45 |
| Kaman Corp. | 1,239 | 43 |
| * Aerovironment Inc. | 1,458 | 42 |
| * Meritor Inc. | 5,535 | 41 |
| * EnerSys | 1,206 | 40 |
65
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| John Bean Technologies Corp. | 2,267 | 39 |
| Gorman-Rupp Co. | 1,312 | 38 |
| * TrueBlue Inc. | 2,244 | 37 |
| * Trex Co. Inc. | 1,330 | 36 |
| National Presto Industries Inc. | 409 | 35 |
| * Consolidated Graphics Inc. | 720 | 34 |
| Textainer Group Holdings Ltd. | 974 | 32 |
| * MYR Group Inc. | 1,613 | 32 |
| * Kforce Inc. | 2,256 | 32 |
| * Encore Capital Group Inc. | 1,379 | 31 |
| Primoris Services Corp. | 1,993 | 31 |
| CIRCOR International Inc. | 925 | 31 |
| AAON Inc. | 1,607 | 30 |
| * Commercial Vehicle Group Inc. | 2,461 | 30 |
| * Orbital Sciences Corp. | 2,107 | 30 |
| * PMFG Inc. | 1,774 | 29 |
| * EnPro Industries Inc. | 762 | 29 |
| ABM Industries Inc. | 1,258 | 29 |
| Cubic Corp. | 597 | 29 |
| * Mistras Group Inc. | 1,261 | 28 |
| US Ecology Inc. | 1,483 | 28 |
| McGrath Rentcorp | 877 | 28 |
| * DXP Enterprises Inc. | 745 | 28 |
| * Astronics Corp. | 821 | 27 |
| * Tetra Tech Inc. | 1,086 | 27 |
| Actuant Corp. Class A | 936 | 26 |
| Dynamic Materials Corp. | 1,143 | 25 |
| * InnerWorkings Inc. | 2,214 | 25 |
| * Standard Parking Corp. | 1,361 | 25 |
| Triumph Group Inc. | 375 | 24 |
| * Capstone Turbine Corp. | 21,125 | 23 |
| Twin Disc Inc. | 728 | 23 |
| * Swift Transportation Co. | 1,982 | 23 |
| * Furmanite Corp. | 3,177 | 23 |
| * GenCorp Inc. | 3,721 | 22 |
| * Columbus McKinnon Corp. | 1,309 | 22 |
| Houston Wire & Cable Co. | 1,530 | 22 |
| * Ameresco Inc. Class A | 1,523 | 21 |
| * Swisher Hygiene Inc. | 7,265 | 21 |
| ESCO Technologies Inc. | 592 | 21 |
| Mueller Industries Inc. | 444 | 20 |
| * Generac Holdings Inc. | 794 | 20 |
| * Pendrell Corp. | 8,270 | 20 |
| * CAI International Inc. | 990 | 20 |
| Graham Corp. | 849 | 20 |
| * H&E Equipment Services Inc. | 1,136 | 20 |
| * Taser International Inc. | 4,798 | 19 |
| AAR Corp. | 869 | 19 |
| * FuelCell Energy Inc. | 12,118 | 18 |
| * Mobile Mini Inc. | 826 | 18 |
| Thermon Group Holdings Inc. | 868 | 17 |
| * Moog Inc. Class A | 382 | 17 |
| * Global Power Equipment Group Inc. | 688 | 17 |
| Celadon Group Inc. | 1,094 | 16 |
| * ICF International Inc. | 601 | 16 |
| * RPX Corp. | 873 | 15 |
| * Flow International Corp. | 3,624 | 14 |
| Vicor Corp. | 1,703 | 14 |
| * Park-Ohio Holdings Corp. | 727 | 14 |
| Werner Enterprises Inc. | 558 | 13 |
| * NN Inc. | 1,464 | 13 |
| * Casella Waste Systems Inc. Class A | 1,851 | 12 |
| * Alaska Air Group Inc. | 175 | 12 |
| Douglas Dynamics Inc. | 849 | 11 |
66
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Titan Machinery Inc. | 416 | 11 |
| Brady Corp. Class A | 339 | 11 |
| Albany International Corp. | 445 | 11 |
| * Dycom Industries Inc. | 494 | 10 |
| * Wesco Aircraft Holdings Inc. | 675 | 10 |
| * Metalico Inc. | 1,953 | 10 |
| Watts Water Technologies Inc. Class A | 243 | 10 |
| * Cenveo Inc. | 2,462 | 10 |
| Intersections Inc. | 814 | 9 |
| * Fuel Tech Inc. | 1,454 | 9 |
| * Heritage-Crystal Clean Inc. | 398 | 9 |
| * Zipcar Inc. | 671 | 9 |
| * Coleman Cable Inc. | 704 | 8 |
| NL Industries Inc. | 532 | 8 |
| * LMI Aerospace Inc. | 386 | 8 |
| * TRC Cos. Inc. | 1,492 | 8 |
| Standex International Corp. | 196 | 7 |
| * Xerium Technologies Inc. | 926 | 7 |
| * AT Cross Co. Class A | 737 | 7 |
| Steelcase Inc. Class A | 783 | 7 |
| Aircastle Ltd. | 467 | 6 |
| * EnergySolutions Inc. | 1,465 | 6 |
| * Kadant Inc. | 281 | 6 |
| * GP Strategies Corp. | 363 | 6 |
| * SYKES Enterprises Inc. | 384 | 5 |
| * TMS International Corp. Class A | 440 | 5 |
| * Interline Brands Inc. | 249 | 5 |
| * Odyssey Marine Exploration Inc. | 1,618 | 5 |
| * Quality Distribution Inc. | 379 | 5 |
| * EnerNOC Inc. | 603 | 5 |
| * Active Power Inc. | 6,736 | 5 |
| * On Assignment Inc. | 333 | 5 |
| Viad Corp. | 228 | 4 |
| Marten Transport Ltd. | 204 | 4 |
| * Satcon Technology Corp. | 7,638 | 4 |
| * CRA International Inc. | 160 | 4 |
| * Omega Flex Inc. | 232 | 4 |
| * Korn/Ferry International | 221 | 4 |
| Quad/Graphics Inc. | 191 | 3 |
| * Accuride Corp. | 344 | 3 |
| * Valence Technology Inc. | 2,888 | 3 |
| Heidrick & Struggles International Inc. | 125 | 3 |
| * A123 Systems Inc. | 1,331 | 2 |
| * American Reprographics Co. | 434 | 2 |
| CDI Corp. | 145 | 2 |
| * GeoEye Inc. | 106 | 2 |
| Cascade Corp. | 40 | 2 |
| * Federal Signal Corp. | 444 | 2 |
| * Astronics Corp. Class B | 58 | 2 |
| * Broadwind Energy Inc. | 2,937 | 2 |
| Argan Inc. | 118 | 2 |
| * Pacer International Inc. | 291 | 2 |
| * PowerSecure International Inc. | 241 | 1 |
| Ampco-Pittsburgh Corp. | 66 | 1 |
| Preformed Line Products Co. | 21 | 1 |
| Multi-Color Corp. | 55 | 1 |
| Alamo Group Inc. | 31 | 1 |
| Insteel Industries Inc. | 65 | 1 |
| * WCA Waste Corp. | 112 | 1 |
| Met-Pro Corp. | 71 | 1 |
| * Roadrunner Transportation Systems Inc. | 31 | 1 |
| * Essex Rental Corp. | 118 | — |
| Compx International Inc. | 11 | — |
| 8,576 | ||
67
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Information Technology (22.6%) | ||
| * Parametric Technology Corp. | 10,215 | 273 |
| Jack Henry & Associates Inc. | 7,403 | 250 |
| * Concur Technologies Inc. | 3,827 | 226 |
| * Wright Express Corp. | 3,311 | 205 |
| ADTRAN Inc. | 5,543 | 195 |
| * CommVault Systems Inc. | 3,774 | 195 |
| * QLIK Technologies Inc. | 6,048 | 183 |
| * SolarWinds Inc. | 4,882 | 182 |
| * Aruba Networks Inc. | 7,704 | 166 |
| * Taleo Corp. Class A | 3,529 | 162 |
| * Semtech Corp. | 5,606 | 161 |
| * Finisar Corp. | 7,701 | 156 |
| * Microsemi Corp. | 7,423 | 155 |
| * Ultimate Software Group Inc. | 2,220 | 155 |
| * Hittite Microwave Corp. | 2,693 | 154 |
| * Aspen Technology Inc. | 7,270 | 149 |
| * Cavium Inc. | 4,162 | 149 |
| InterDigital Inc. | 3,897 | 148 |
| * ValueClick Inc. | 6,761 | 141 |
| * FEI Co. | 3,072 | 137 |
| * Universal Display Corp. | 3,305 | 137 |
| * Cirrus Logic Inc. | 5,690 | 134 |
| MAXIMUS Inc. | 2,982 | 124 |
| Cognex Corp. | 2,911 | 124 |
| Blackbaud Inc. | 3,824 | 121 |
| * Netgear Inc. | 3,145 | 118 |
| Sapient Corp. | 9,386 | 117 |
| j2 Global Inc. | 3,951 | 117 |
| * TiVo Inc. | 10,243 | 115 |
| * ACI Worldwide Inc. | 2,959 | 112 |
| * NetSuite Inc. | 2,339 | 112 |
| * Sourcefire Inc. | 2,444 | 110 |
| * Synaptics Inc. | 2,763 | 102 |
| * Cardtronics Inc. | 3,701 | 98 |
| * OpenTable Inc. | 2,023 | 98 |
| * Take-Two Interactive Software Inc. | 6,316 | 98 |
| * Tyler Technologies Inc. | 2,553 | 96 |
| * Plexus Corp. | 2,765 | 96 |
| Heartland Payment Systems Inc. | 3,312 | 94 |
| * MicroStrategy Inc. Class A | 687 | 93 |
| * GT Advanced Technologies Inc. | 10,817 | 93 |
| Power Integrations Inc. | 2,478 | 92 |
| * TriQuint Semiconductor Inc. | 14,111 | 91 |
| * Anixter International Inc. | 1,284 | 89 |
| * Bottomline Technologies Inc. | 3,088 | 87 |
| Littelfuse Inc. | 1,625 | 86 |
| * DealerTrack Holdings Inc. | 3,049 | 85 |
| * Manhattan Associates Inc. | 1,757 | 81 |
| * 3D Systems Corp. | 3,606 | 81 |
| * Coherent Inc. | 1,441 | 80 |
| * FARO Technologies Inc. | 1,406 | 78 |
| * Constant Contact Inc. | 2,535 | 77 |
| * Synchronoss Technologies Inc. | 2,273 | 76 |
| * VirnetX Holding Corp. | 3,501 | 76 |
| * Diodes Inc. | 3,037 | 75 |
| * OSI Systems Inc. | 1,255 | 74 |
| * Progress Software Corp. | 3,159 | 73 |
| * Advent Software Inc. | 2,823 | 73 |
| Fair Isaac Corp. | 1,792 | 73 |
| * BroadSoft Inc. | 1,930 | 70 |
| * Liquidity Services Inc. | 1,606 | 69 |
| * Netscout Systems Inc. | 3,215 | 68 |
| * LivePerson Inc. | 4,511 | 68 |
68
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Syntel Inc. | 1,318 | 68 |
| NIC Inc. | 5,507 | 67 |
| * Stratasys Inc. | 1,807 | 67 |
| * Veeco Instruments Inc. | 2,431 | 66 |
| MTS Systems Corp. | 1,335 | 66 |
| * LogMeIn Inc. | 1,754 | 65 |
| * Volterra Semiconductor Corp. | 2,101 | 65 |
| * Omnivision Technologies Inc. | 3,912 | 64 |
| * Kenexa Corp. | 2,259 | 63 |
| * Ancestry.com Inc. | 2,727 | 62 |
| * comScore Inc. | 2,727 | 60 |
| * Rambus Inc. | 8,397 | 59 |
| * Ultratech Inc. | 2,152 | 59 |
| * Websense Inc. | 3,234 | 58 |
| * Integrated Device Technology Inc. | 8,120 | 56 |
| * Mentor Graphics Corp. | 3,674 | 56 |
| * Viasat Inc. | 1,164 | 54 |
| * RealPage Inc. | 2,613 | 52 |
| * Verint Systems Inc. | 1,820 | 50 |
| * Ceva Inc. | 1,980 | 49 |
| * OCZ Technology Group Inc. | 5,643 | 48 |
| * iGate Corp. | 2,663 | 46 |
| Micrel Inc. | 4,336 | 46 |
| * Ixia | 3,321 | 46 |
| * Entropic Communications Inc. | 7,362 | 45 |
| * Maxwell Technologies Inc. | 2,402 | 44 |
| * Monotype Imaging Holdings Inc. | 3,077 | 43 |
| * RealD Inc. | 3,541 | 42 |
| * DTS Inc. | 1,484 | 42 |
| * Measurement Specialties Inc. | 1,275 | 41 |
| * Forrester Research Inc. | 1,255 | 40 |
| * Super Micro Computer Inc. | 2,442 | 40 |
| Pegasystems Inc. | 1,434 | 40 |
| * TNS Inc. | 2,195 | 40 |
| Ebix Inc. | 1,691 | 39 |
| * ExlService Holdings Inc. | 1,381 | 38 |
| * Higher One Holdings Inc. | 2,608 | 38 |
| Plantronics Inc. | 1,003 | 37 |
| * Dice Holdings Inc. | 4,135 | 37 |
| * Monolithic Power Systems Inc. | 1,966 | 37 |
| OPNET | 1,228 | 35 |
| Badger Meter Inc. | 1,072 | 35 |
| * Bankrate Inc. | 1,443 | 34 |
| * Interactive Intelligence Group Inc. | 1,217 | 34 |
| * Entegris Inc. | 3,729 | 34 |
| * TeleTech Holdings Inc. | 2,165 | 33 |
| * Web.com Group Inc. | 2,485 | 33 |
| * PROS Holdings Inc. | 1,835 | 32 |
| * Fabrinet | 1,745 | 31 |
| * Applied Micro Circuits Corp. | 4,576 | 31 |
| Cass Information Systems Inc. | 793 | 31 |
| * STEC Inc. | 3,145 | 30 |
| * Saba Software Inc. | 2,549 | 30 |
| * Cymer Inc. | 648 | 30 |
| * Quest Software Inc. | 1,487 | 30 |
| * Move Inc. | 3,397 | 30 |
| * Calix Inc. | 3,206 | 29 |
| * Internap Network Services Corp. | 3,857 | 29 |
| * Unisys Corp. | 1,532 | 29 |
| * Silicon Image Inc. | 5,374 | 28 |
| * Rofin-Sinar Technologies Inc. | 1,145 | 27 |
| * Inphi Corp. | 1,850 | 27 |
| * LoopNet Inc. | 1,425 | 26 |
| * Silicon Graphics International Corp. | 2,661 | 26 |
69
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Keynote Systems Inc. | 1,258 | 25 |
| * Procera Networks Inc. | 1,239 | 24 |
| * Power-One Inc. | 5,478 | 24 |
| * Stamps.com Inc. | 909 | 24 |
| * Cabot Microelectronics Corp. | 463 | 23 |
| * CSG Systems International Inc. | 1,429 | 23 |
| * Brightpoint Inc. | 2,552 | 22 |
| * NVE Corp. | 411 | 22 |
| * ShoreTel Inc. | 4,060 | 22 |
| * Deltek Inc. | 1,914 | 21 |
| * VASCO Data Security International Inc. | 2,328 | 21 |
| * Lattice Semiconductor Corp. | 3,129 | 21 |
| * Envestnet Inc. | 1,652 | 21 |
| * Cornerstone OnDemand Inc. | 987 | 20 |
| * Virtusa Corp. | 1,304 | 20 |
| * Vocus Inc. | 1,503 | 20 |
| * Globecomm Systems Inc. | 1,370 | 20 |
| * Callidus Software Inc. | 2,600 | 19 |
| * Aeroflex Holding Corp. | 1,711 | 19 |
| * MIPS Technologies Inc. Class A | 3,201 | 18 |
| * Actuate Corp. | 3,025 | 18 |
| * SPS Commerce Inc. | 730 | 18 |
| * Echo Global Logistics Inc. | 975 | 18 |
| * Perficient Inc. | 1,476 | 18 |
| * Rogers Corp. | 470 | 17 |
| * Limelight Networks Inc. | 4,588 | 17 |
| * Active Network Inc. | 1,067 | 17 |
| * JDA Software Group Inc. | 681 | 17 |
| * Newport Corp. | 1,017 | 17 |
| * Zix Corp. | 5,748 | 17 |
| * Convio Inc. | 1,050 | 16 |
| American Software Inc. Class A | 1,970 | 16 |
| * IXYS Corp. | 1,370 | 16 |
| * IntraLinks Holdings Inc. | 2,769 | 16 |
| * SciQuest Inc. | 1,072 | 16 |
| * Ultra Clean Holdings | 1,972 | 16 |
| * LTX-Credence Corp. | 2,310 | 16 |
| * Glu Mobile Inc. | 4,121 | 16 |
| * Digimarc Corp. | 545 | 15 |
| * PDF Solutions Inc. | 1,868 | 15 |
| * Echelon Corp. | 3,046 | 15 |
| * ServiceSource International Inc. | 886 | 15 |
| * MoneyGram International Inc. | 830 | 15 |
| * Immersion Corp. | 2,275 | 15 |
| * Wave Systems Corp. Class A | 7,205 | 15 |
| * Lionbridge Technologies Inc. | 5,365 | 14 |
| * Rubicon Technology Inc. | 1,518 | 14 |
| * Computer Task Group Inc. | 891 | 13 |
| * LeCroy Corp. | 1,428 | 13 |
| * Guidance Software Inc. | 1,109 | 13 |
| * Imperva Inc. | 340 | 13 |
| * Harmonic Inc. | 2,116 | 12 |
| * Scansource Inc. | 331 | 12 |
| * TTM Technologies Inc. | 1,036 | 12 |
| * XO Group Inc. | 1,337 | 12 |
| * Tangoe Inc. | 634 | 12 |
| * Travelzoo Inc. | 466 | 12 |
| Electro Rent Corp. | 654 | 12 |
| * RF Micro Devices Inc. | 2,441 | 12 |
| Pulse Electronics Corp. | 3,503 | 11 |
| * Oplink Communications Inc. | 650 | 11 |
| * MoSys Inc. | 2,747 | 11 |
| * Mindspeed Technologies Inc. | 1,531 | 10 |
| * Responsys Inc. | 798 | 10 |
70
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * CACI International Inc. Class A | 157 | 9 |
| * PRGX Global Inc. | 1,644 | 9 |
| * TeleNav Inc. | 1,302 | 9 |
| * support.com Inc. | 2,531 | 8 |
| * Extreme Networks | 2,178 | 8 |
| * Hackett Group Inc. | 1,663 | 8 |
| * Kopin Corp. | 2,205 | 8 |
| * Numerex Corp. Class A | 804 | 8 |
| QAD Inc. Class A | 554 | 8 |
| * Seachange International Inc. | 1,086 | 7 |
| * MaxLinear Inc. | 1,347 | 7 |
| * FalconStor Software Inc. | 2,585 | 7 |
| * Angie's List Inc. | 441 | 7 |
| * Digital River Inc. | 396 | 7 |
| * SRS Labs Inc. | 1,015 | 7 |
| * Amtech Systems Inc. | 756 | 7 |
| * AXT Inc. | 1,141 | 7 |
| * InvenSense Inc. | 390 | 6 |
| * TechTarget Inc. | 871 | 6 |
| * Ellie Mae Inc. | 711 | 6 |
| * Openwave Systems Inc. | 2,152 | 5 |
| Daktronics Inc. | 574 | 5 |
| * Loral Space & Communications Inc. | 72 | 5 |
| * eMagin Corp. | 1,569 | 5 |
| * InfoSpace Inc. | 428 | 5 |
| DDi Corp. | 454 | 5 |
| * Ubiquiti Networks Inc. | 177 | 5 |
| * Demand Media Inc. | 665 | 5 |
| * Infinera Corp. | 554 | 4 |
| * TeleCommunication Systems Inc. Class A | 1,644 | 4 |
| * Electronics for Imaging Inc. | 275 | 4 |
| * Carbonite Inc. | 444 | 4 |
| * Meru Networks Inc. | 907 | 4 |
| * Microvision Inc. | 1,295 | 4 |
| * Sonus Networks Inc. | 1,368 | 4 |
| * Digi International Inc. | 352 | 4 |
| * Zygo Corp. | 206 | 4 |
| * Motricity Inc. | 2,936 | 4 |
| * Powerwave Technologies Inc. | 2,666 | 4 |
| * Multi-Fineline Electronix Inc. | 129 | 3 |
| * ATMI Inc. | 151 | 3 |
| Marchex Inc. Class B | 741 | 3 |
| * Intermolecular Inc. | 468 | 3 |
| * QuinStreet Inc. | 276 | 3 |
| * Zillow Inc. | 85 | 3 |
| * Anaren Inc. | 141 | 2 |
| Electro Scientific Industries Inc. | 174 | 2 |
| * Exar Corp. | 342 | 2 |
| * Quepasa Corp. | 575 | 2 |
| * Pericom Semiconductor Corp. | 279 | 2 |
| EPIQ Systems Inc. | 185 | 2 |
| * NeoPhotonics Corp. | 359 | 2 |
| * Kemet Corp. | 189 | 2 |
| * Dot Hill Systems Corp. | 1,002 | 1 |
| * Dialogic Inc. | 1,410 | 1 |
| * Novatel Wireless Inc. | 309 | 1 |
| * FriendFinder Networks Inc. | 432 | 1 |
| * NCI Inc. Class A | 91 | 1 |
| * Viasystems Group Inc. | 25 | — |
| * KVH Industries Inc. | 47 | — |
| * ePlus Inc. | 8 | — |
| 11,679 | ||
| Materials (4.3%) | ||
| NewMarket Corp. | 772 | 141 |
71
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Stillwater Mining Co. | 9,903 | 141 |
| Hecla Mining Co. | 23,988 | 122 |
| Eagle Materials Inc. | 3,097 | 97 |
| Innophos Holdings Inc. | 1,866 | 94 |
| Olin Corp. | 4,130 | 87 |
| * Chemtura Corp. | 5,086 | 79 |
| PolyOne Corp. | 5,820 | 78 |
| Globe Specialty Metals Inc. | 5,420 | 77 |
| Balchem Corp. | 2,480 | 68 |
| * Kraton Performance Polymers Inc. | 2,397 | 67 |
| Koppers Holdings Inc. | 1,762 | 66 |
| * LSB Industries Inc. | 1,575 | 63 |
| * Graphic Packaging Holding Co. | 11,954 | 63 |
| AMCOL International Corp. | 2,085 | 61 |
| Deltic Timber Corp. | 924 | 60 |
| Gold Resource Corp. | 2,430 | 59 |
| * Calgon Carbon Corp. | 3,849 | 58 |
| * Innospec Inc. | 1,815 | 56 |
| Haynes International Inc. | 815 | 52 |
| Worthington Industries Inc. | 2,878 | 49 |
| * Flotek Industries Inc. | 4,299 | 48 |
| * McEwen Mining Inc. | 9,073 | 47 |
| * SunCoke Energy Inc. | 2,918 | 42 |
| Quaker Chemical Corp. | 827 | 34 |
| Kaiser Aluminum Corp. | 604 | 29 |
| Hawkins Inc. | 744 | 29 |
| Zep Inc. | 1,878 | 28 |
| * Paramount Gold and Silver Corp. | 10,060 | 26 |
| * TPC Group Inc. | 737 | 26 |
| Noranda Aluminum Holding Corp. | 1,957 | 23 |
| * US Silica Holdings Inc. | 1,331 | 23 |
| * General Moly Inc. | 5,814 | 21 |
| * Omnova Solutions Inc. | 3,902 | 20 |
| * Golden Minerals Co. | 2,240 | 19 |
| Neenah Paper Inc. | 658 | 18 |
| * Coeur d'Alene Mines Corp. | 490 | 14 |
| * Metals USA Holdings Corp. | 975 | 13 |
| * Midway Gold Corp. | 7,224 | 13 |
| * AEP Industries Inc. | 361 | 13 |
| * Senomyx Inc. | 3,332 | 11 |
| KMG Chemicals Inc. | 530 | 9 |
| HB Fuller Co. | 283 | 9 |
| * RTI International Metals Inc. | 338 | 8 |
| FutureFuel Corp. | 562 | 6 |
| * Revett Minerals Inc. | 1,164 | 5 |
| American Vanguard Corp. | 304 | 5 |
| * Materion Corp. | 133 | 4 |
| A Schulman Inc. | 135 | 3 |
| * Vista Gold Corp. | 939 | 3 |
| * United States Lime & Minerals Inc. | 42 | 3 |
| Myers Industries Inc. | 176 | 2 |
| * Horsehead Holding Corp. | 183 | 2 |
| * Handy & Harman Ltd. | 80 | 1 |
| 2,195 | ||
| Telecommunication Services (1.0%) | ||
| * AboveNet Inc. | 1,995 | 139 |
| * Cogent Communications Group Inc. | 3,957 | 73 |
| * General Communication Inc. Class A | 3,536 | 37 |
| Consolidated Communications Holdings Inc. | 1,785 | 34 |
| NTELOS Holdings Corp. | 1,286 | 30 |
| * 8x8 Inc. | 5,340 | 23 |
| Shenandoah Telecommunications Co. | 2,048 | 20 |
| * Cincinnati Bell Inc. | 4,968 | 19 |
| * Cbeyond Inc. | 2,407 | 18 |
72
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2012 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Lumos Networks Corp. | 1,301 | 17 | |
| * | inContact Inc. | 2,364 | 13 |
| HickoryTech Corp. | 1,125 | 12 | |
| * | Vonage Holdings Corp. | 4,975 | 12 |
| * | Leap Wireless International Inc. | 1,068 | 11 |
| * | Towerstream Corp. | 3,564 | 10 |
| IDT Corp. Class B | 1,075 | 10 | |
| Atlantic Tele-Network Inc. | 183 | 7 | |
| * | Boingo Wireless Inc. | 357 | 3 |
| * | Iridium Communications Inc. | 432 | 3 |
| Alaska Communications Systems Group Inc. | 772 | 2 | |
| SureWest Communications | 76 | 2 | |
| * | Fairpoint Communications Inc. | 147 | 1 |
| 496 | |||
| Utilities (0.1%) | |||
| South Jersey Industries Inc. | 461 | 24 | |
| Atlantic Power Corp. | 726 | 10 | |
| Genie Energy Ltd. Class B | 1,075 | 10 | |
| Otter Tail Corp. | 166 | 4 | |
| 48 | |||
| Total Investments (100.0%) (Cost $46,678) | 51,600 | ||
| Other Assets and Liabilities—Net (0.0%) | — | ||
| Net Assets (100.0%) | 51,600 | ||
Securities with a market value of less than $500 are displayed with a dash.
* Non-income-producing security.
REIT—Real Estate Investment Trust.
73
| © 2012 The Vanguard Group. Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| SNA18512 042012 |
 |
| Semiannual Report | February 29, 2012 |
| Vanguard Russell 3000 Index Fund |
> Vanguard Russell 3000 Index Fund returned about 13% for the six-month period ended February 29, 2012.
> The fund closely tracked its benchmark index.
> Technology and consumer discretionary stocks were the strongest performers for the period, reflecting growing optimism about the economy.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 7 |
| Performance Summary. | 8 |
| Financial Statements. | 9 |
| About Your Fund’s Expenses. | 19 |
| Glossary. | 21 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we strive to help clients reach their financial goals.
Your Fund’s Total Returns
| Six Months Ended February 29, 2012 | |
| Total | |
| Returns | |
| Vanguard Russell 3000 Index Fund | |
| Institutional Shares | 13.14% |
| ETF Shares | |
| Market Price | 13.13 |
| Net Asset Value | 13.10 |
| Russell 3000 Index | 13.24 |
| Multi-Cap Core Funds Average | 10.97 |
| Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
| Your Fund’s Performance at a Glance | ||||
| August 31, 2011, Through February 29, 2012 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Russell 3000 Index Fund | ||||
| Institutional Shares | $108.32 | $121.37 | $1.021 | $0.000 |
| ETF Shares | 55.97 | 62.72 | 0.507 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
Buoyed by signs of a strengthening economy, U.S. stocks enjoyed robust gains for the six months ended February 29, 2012. Technology stocks were especially strong performers in what was a broad-based advance for domestic equities.
The Russell 3000 Index Fund, which provides exposure to the entire U.S. stock market, returned 13.10% for ETF Shares and 13.14% for Institutional Shares, closely tracking its benchmark index. (The ETF return cited is based on net asset value.)
Notes of economic optimism propelled stock prices higher
U.S. stocks produced a strong return of 13.18% over the period. That statement is true enough, but the headline figure obscures the volatility that has been perhaps the most prominent feature of the financial markets over the past six months and indeed the past few years. If our semiannual reporting period had started a month earlier, for example, the Dow Jones U.S. Total Stock Market Index would have returned just 1.97%. A start date two months earlier would have produced a return of –5.18%.
In the six months through February, however, stock prices benefited from signs of acceleration in the U.S. economic expansion and from hope that the European Union’s latest agreement on Greek debt would help to contain a threat that has menaced global markets for much of
2
the past two years. European stocks rallied on the news about Greece, but international stocks still trailed their U.S. counterparts for the full six months.
The bond markets’ strength confounded expectations
Bonds produced solid returns, to the surprise of many long-time observers of the fixed income markets. At the start of the period, the yield of the 10-year U.S. Treasury note stood at just 2.22%, suggesting that returns would be very modest by historical standards. Over the next six months, however, yields moved lower still, boosting bond prices, which move in the opposite direction. At the end of February, the yield of the 10-year T-note stood at 1.98%. As yields drop, obviously, the scope for continued declines—and price increases—diminishes. Municipal bonds performed even more strongly than the broad taxable market.
The returns for 3-month Treasury bills and other money market instruments remained near 0%, consistent with the Federal Reserve’s policy on interest rates.
A broad-based rally notable for surging tech stocks
As I mentioned earlier, the fiscal half-year was an exceptionally strong period for stocks. All ten of the sectors that make up the Russell 3000 Index had positive returns, with technology stocks leading the way.
| Market Barometer | |||
| Total Returns | |||
| Periods Ended February 29, 2012 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.31% | 4.86% | 1.77% |
| Russell 2000 Index (Small-caps) | 12.40 | -0.15 | 1.83 |
| Dow Jones U.S. Total Stock Market Index | 13.18 | 4.35 | 2.07 |
| MSCI All Country World Index ex USA (International) | 3.97 | -6.10 | -0.75 |
| Bonds | |||
| Barclays Capital U.S. Aggregate Bond Index (Broad | |||
| taxable market) | 2.73% | 8.37% | 6.36% |
| Barclays Capital Municipal Bond Index (Broad | |||
| tax-exempt market) | 5.67 | 12.42 | 5.50 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.06 | 1.20 |
| CPI | |||
| Consumer Price Index | 0.49% | 2.87% | 2.27% |
3
The technology sector benefited amid signs of strong spending by both consumers and businesses. Communication equipment manufacturers were among the sector’s stars. Internet, software, and computer companies also recorded double-digit returns, helped by the popularity of smart-phones and tablet computers and their peripheral products and services.
Consumer discretionary stocks, which like their technology counterparts are particularly sensitive to the rhythms of the business cycle, were also a standout. Signs that consumers were opening their wallets boosted the shares of everything from cable television companies to clothing retailers. The financial sector, which has been beset by a host of problems, rebounded. Bank stocks were especially strong, with investors apparently optimistic that lenders were getting past the lingering effects of mortgage defaults associated with the U.S. housing downturn.
Weak spots were conspicuous by their absence. Utilities and telecommunication services stocks produced the lowest returns, but their absolute gains were strong.
Vanguard Russell 3000 Index Fund succeeded in capturing nearly all of the returns of its target index. The fund’s performance is a reflection of the deep experience of Vanguard’s Equity Investment Group, the fund’s advisor,
| Expense Ratios | |||
| Your Fund Compared With Its Peer Group | |||
| Institutional | ETF | Peer Group | |
| Shares | Shares | Average | |
| Russell 3000 Index Fund | 0.09% | 0.16% | 1.18% |
The fund expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2011.
Peer group: Multi-Cap Core Funds.
4
which has spent more than 35 years developing and refining index-fund management strategies.
Stay focused on what you can control
In my letter to you in last year’s semi-annual report, I cautioned that strong results can’t be expected in every period. We’ve had another period of impressive returns, but the caution still very much applies. Indeed, as I discussed earlier, the double-digit gains recorded by U.S. stocks mask significant volatility.
You will perhaps recall that markets were roiled in the early fall by concerns over the European debt crisis as well as renewed worries about the U.S. economy. I note these challenges not to discourage you but as a way of helping set realistic expectations. We’re sure to experience stock downturns in the future, and when they occur, maintaining a long-term perspective is essential.
In addition to keeping a long-term view, it’s constructive to focus on two key elements of an investment plan: how much you’re investing and how long you’re investing for. This point was underscored by a recent Vanguard research paper (Penny Saved, Penny Earned, available at vanguard.com/ research.) The study found that retirement investors have a greater likelihood of reaching their goals if they increase their savings rate and savings time horizon. Those two factors, independently or together, can generally provide a higher
| A note on expense ratios |
| The Expense Ratios table in each report’s Chairman’s Letter displays fund expense |
| ratios from the most recent prospectus. These figures include the funds’ actual |
| operating expenses. For some funds, the figures also include “acquired fund fees |
| and expenses,” which result from the funds’ holdings in business development |
| companies (BDCs). |
| Although the Securities and Exchange Commission requires that BDC costs be |
| included in a fund’s expense ratio, these fees are not incurred by the fund. They |
| have no impact on a fund’s total return or on its tracking error relative to an index. |
| A footnote to the Expense Ratios table reports an annualized calculation of the fund’s |
| actual expenses for the period, a more relevant tally of the operating costs incurred |
| by shareholders. |
5
chance of success than simply counting on the possibility of higher portfolio returns, the study’s authors concluded.
As always, Vanguard encourages you to create a long-term investment plan that includes a mix of stocks, bonds, and short-term investments that are appropriate for your goals and risk tolerance. A well-balanced portfolio can help cushion some of the market’s volatility while allowing you to participate in its long-term potential for growth. The Russell 3000 Index Fund, which provides broadly diversified, low-cost exposure to the entire U.S. stock market, can be a building block in such a portfolio.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 20, 2012
6
Russell 3000 Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | ||
| Institutional | ETF | |
| Shares | Shares | |
| Ticker Symbol | VRTTX | VTHR |
| Expense Ratio1 | 0.09% | 0.16% |
| 30-Day SEC Yield | 1.88% | 1.81% |
| Portfolio Characteristics | |||
| DJ | |||
| Russell | U.S. Total | ||
| 3000 | Market | ||
| Fund | Index | Index | |
| Number of Stocks | 2,928 | 2,924 | 3,733 |
| Median Market Cap | $34.8B | $34.8B | $33.9B |
| Price/Earnings Ratio | 16.5x | 16.5x | 16.5x |
| Price/Book Ratio | 2.2x | 2.2x | 2.2x |
| Return on Equity | 18.2% | 18.0% | 18.2% |
| Earnings Growth Rate | 7.6% | 7.6% | 7.6% |
| Dividend Yield | 2.0% | 2.0% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 26% | — | — |
| Short-Term Reserves | 0.1% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| Russell | U.S. Total | ||
| 3000 | Market | ||
| Fund | Index | Index | |
| Consumer | |||
| Discretionary | 11.9% | 11.9% | 11.9% |
| Consumer Staples | 9.4 | 9.3 | 9.4 |
| Energy | 11.2 | 11.2 | 11.2 |
| Financials | 15.4 | 15.4 | 15.4 |
| Health Care | 11.4 | 11.4 | 11.4 |
| Industrials | 11.4 | 11.4 | 11.2 |
| Information | |||
| Technology | 19.2 | 19.3 | 19.4 |
| Materials | 4.1 | 4.1 | 4.1 |
| Telecommunication | |||
| Services | 2.5 | 2.5 | 2.5 |
| Utilities | 3.5 | 3.5 | 3.5 |
| Ten Largest Holdings (% of total net assets) | ||
| Apple Inc. | Computer | |
| Hardware | 3.3% | |
| Exxon Mobil Corp. | Integrated Oil & | |
| Gas | 2.8 | |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.6 |
| Microsoft Corp. | Systems Software | 1.5 |
| Chevron Corp. | Integrated Oil & | |
| Gas | 1.4 | |
| General Electric Co. | Industrial | |
| Conglomerates | 1.3 | |
| Procter & Gamble Co. | Household | |
| Products | 1.2 | |
| AT&T Inc. | Integrated | |
| Telecommunication | ||
| Services | 1.2 | |
| Johnson & Johnson | Pharmaceuticals | 1.2 |
| Pfizer Inc. | Pharmaceuticals | 1.1 |
| Top Ten | 16.6% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
7
Russell 3000 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2012
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Since | |
| Date | Year | Inception | |
| Institutional Shares | 11/1/2010 | 1.00% | 7.16% |
| ETF Shares | 9/20/2010 | ||
| Market Price | 0.85 | 9.79 | |
| Net Asset Value | 0.95 | 9.83 |
See Financial Highlights for dividend and capital gains information.
8
Russell 3000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2012
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| McDonald’s Corp. | 5,934 | 589 | 0.7% |
| Comcast Corp. Class A | 15,777 | 464 | 0.5% |
| Home Depot Inc. | 9,144 | 435 | 0.5% |
| Walt Disney Co. | 10,241 | 430 | 0.5% |
| * Amazon.com Inc. | 2,081 | 374 | 0.4% |
| Consumer Discretionary—Other † | 8,088 | 9.3% | |
| 10,380 | 11.9% | ||
| Consumer Staples | |||
| Procter & Gamble Co. | 15,969 | 1,078 | 1.2% |
| Philip Morris International Inc. | 10,174 | 850 | 1.0% |
| Coca-Cola Co. | 11,303 | 790 | 0.9% |
| Wal-Mart Stores Inc. | 10,146 | 599 | 0.7% |
| PepsiCo Inc. | 9,039 | 569 | 0.6% |
| Altria Group Inc. | 11,983 | 361 | 0.4% |
| Kraft Foods Inc. | 9,459 | 360 | 0.4% |
| CVS Caremark Corp. | 7,764 | 350 | 0.4% |
| Consumer Staples—Other † | 3,202 | 3.7% | |
| 8,159 | 9.3% | ||
| Energy | |||
| Exxon Mobil Corp. | 28,182 | 2,438 | 2.8% |
| Chevron Corp. | 11,501 | 1,255 | 1.4% |
| Schlumberger Ltd. | 7,759 | 602 | 0.7% |
| ConocoPhillips | 7,593 | 581 | 0.7% |
| Occidental Petroleum Corp. | 4,650 | 485 | 0.5% |
| Energy—Other † | 4,370 | 5.0% | |
| 9,731 | 11.1% | ||
| Financials | |||
| JPMorgan Chase & Co. | 22,733 | 892 | 1.0% |
| Wells Fargo & Co. | 28,140 | 881 | 1.0% |
| * Berkshire Hathaway Inc. Class B | 10,015 | 786 | 0.9% |
9
Russell 3000 Index Fund
| Market | Percentage | ||
| Value | of Net | ||
| Shares | ($000) | Assets | |
| Citigroup Inc. | 16,618 | 554 | 0.7% |
| Bank of America Corp. | 57,961 | 462 | 0.5% |
| Goldman Sachs Group Inc. | 2,965 | 341 | 0.4% |
| US Bancorp | 11,022 | 324 | 0.4% |
| American Express Co. | 6,011 | 318 | 0.4% |
| Financials—Other † | 8,849 | 10.1% | |
| 13,407 | 15.4% | ||
| Health Care | |||
| Johnson & Johnson | 15,682 | 1,021 | 1.1% |
| Pfizer Inc. | 45,201 | 954 | 1.1% |
| Merck & Co. Inc. | 17,658 | 674 | 0.8% |
| Abbott Laboratories | 8,890 | 503 | 0.6% |
| UnitedHealth Group Inc. | 6,203 | 346 | 0.4% |
| Bristol-Myers Squibb Co. | 9,760 | 314 | 0.3% |
| Health Care—Other † | 6,087 | 7.0% | |
| 9,899 | 11.3% | ||
| Industrials | |||
| General Electric Co. | 60,656 | 1,156 | 1.3% |
| United Technologies Corp. | 5,237 | 439 | 0.5% |
| Caterpillar Inc. | 3,689 | 421 | 0.5% |
| 3M Co. | 4,068 | 356 | 0.4% |
| United Parcel Service Inc. Class B | 4,204 | 323 | 0.4% |
| Boeing Co. | 4,224 | 317 | 0.3% |
| Industrials—Other † | 6,963 | 8.0% | |
| 9,975 | 11.4% | ||
| Information Technology | |||
| * Apple Inc. | 5,291 | 2,870 | 3.3% |
| International Business Machines Corp. | 6,930 | 1,363 | 1.6% |
| Microsoft Corp. | 42,453 | 1,347 | 1.6% |
| * Google Inc. Class A | 1,440 | 890 | 1.0% |
| Intel Corp. | 30,332 | 815 | 0.9% |
| Oracle Corp. | 21,974 | 643 | 0.7% |
| Cisco Systems Inc. | 31,466 | 626 | 0.7% |
| QUALCOMM Inc. | 9,547 | 594 | 0.7% |
| Visa Inc. Class A | 2,994 | 348 | 0.4% |
| * EMC Corp. | 11,771 | 326 | 0.4% |
| Information Technology—Other † | 7,021 | 8.0% | |
| 16,843 | 19.3% | ||
| Materials † | 3,582 | 4.1% | |
| Telecommunication Services | |||
| AT&T Inc. | 33,879 | 1,036 | 1.2% |
| Verizon Communications Inc. | 16,175 | 616 | 0.7% |
| Telecommunication Services—Other † | 514 | 0.6% | |
| 2,166 | 2.5% | ||
| Utilities † | 3,032 | 3.5% | |
| Total Common Stocks (Cost $80,155) | 87,174 | 99.8%1 | |
10
Russell 3000 Index Fund
| Market | Percentage | |
| Value• | of Net | |
| ($000) | Assets | |
| 2Temporary Cash Investments (Cost $200) † | 200 | 0.3%1 |
| Total Investments (Cost $80,355) | 87,374 | 100.1% |
| Other Assets and Liabilities | ||
| Other Assets | 288 | 0.3% |
| Liabilities | (336) | (0.4%) |
| (48) | (0.1%) | |
| Net Assets | 87,326 | 100.0% |
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 81,960 |
| Undistributed Net Investment Income | 249 |
| Accumulated Net Realized Losses | (1,911) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 7,019 |
| Futures Contracts | 9 |
| Net Assets | 87,326 |
| Institutional Shares—Net Assets | |
| Applicable to 512,778 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 62,236 |
| Net Asset Value Per Share—Institutional Shares | $121.37 |
| ETF Shares—Net Assets | |
| Applicable to 400,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 25,090 |
| Net Asset Value Per Share—ETF Shares | $62.72 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.1%, respectively, of net assets.
2 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
11
Russell 3000 Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 682 |
| Total Income | 682 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 6 |
| Management and Administrative—ETF Shares | 10 |
| Custodian Fees | 18 |
| Total Expenses | 34 |
| Net Investment Income | 648 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | (442) |
| Futures Contracts | 59 |
| Realized Net Gain (Loss) | (383) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 8,720 |
| Futures Contracts | (1) |
| Change in Unrealized Appreciation (Depreciation) | 8,719 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 8,984 |
See accompanying Notes, which are an integral part of the Financial Statements.
12
Russell 3000 Index Fund
| Statement of Changes in Net Assets | ||
| September 20, | ||
| Six Months Ended | 20101 to | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 648 | 529 |
| Realized Net Gain (Loss) | (383) | (215) |
| Change in Unrealized Appreciation (Depreciation) | 8,719 | (1,691) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 8,984 | (1,377) |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (390) | (181) |
| ETF Shares | (203) | (154) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (593) | (335) |
| Capital Share Transactions | ||
| Institutional Shares | 21,958 | 35,657 |
| ETF Shares | — | 23,032 |
| Net Increase (Decrease) from Capital Share Transactions | 21,958 | 58,689 |
| Total Increase (Decrease) | 30,349 | 56,977 |
| Net Assets | ||
| Beginning of Period | 56,977 | — |
| End of Period2 | 87,326 | 56,977 |
| 1 Inception. | ||
| 2 Net Assets—End of Period includes undistributed net investment income of $249,000 and $194,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
13
Russell 3000 Index Fund
Financial Highlights
| Institutional Shares | ||
| Six Months | Nov. 1, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $108.32 | $104.44 |
| Investment Operations | ||
| Net Investment Income | .996 | 1.494 |
| Net Realized and Unrealized Gain (Loss) on Investments | 13.075 | 3.650 |
| Total from Investment Operations | 14.071 | 5.144 |
| Distributions | ||
| Dividends from Net Investment Income | (1.021) | (1.264) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (1.021) | (1.264) |
| Net Asset Value, End of Period | $121.37 | $108.32 |
| Total Return | 13.14% | 4.87% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $62 | $35 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
| Ratio of Net Investment Income to Average Net Assets | 1.99% | 1.78%2 |
| Portfolio Turnover Rate3 | 26% | 32% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 3000 Index Fund
Financial Highlights
| ETF Shares | ||
| Six Months | Sept. 20, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $55.97 | $51.86 |
| Investment Operations | ||
| Net Investment Income | .494 | .819 |
| Net Realized and Unrealized Gain (Loss) on Investments | 6.763 | 3.924 |
| Total from Investment Operations | 7.257 | 4.743 |
| Distributions | ||
| Dividends from Net Investment Income | (.507) | (.633) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (.507) | (.633) |
| Net Asset Value, End of Period | $62.72 | $55.97 |
| Total Return | 13.10% | 9.09% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $25 | $22 |
| Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
| Ratio of Net Investment Income to Average Net Assets | 1.92% | 1.71%2 |
| Portfolio Turnover Rate3 | 26% | 32% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 3000 Index Fund
Notes to Financial Statements
Vanguard Russell 3000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Other: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
16
Russell 3000 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $13,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 87,174 | — | — |
| Temporary Cash Investments | — | 200 | — |
| Futures Contracts—Liabilities1 | (2) | — | — |
| Total | 87,172 | 200 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. At February 29, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini Russell 2000 Index | March 2012 | 1 | 81 | 8 |
| E-mini S&P 500 Index | March 2012 | 1 | 68 | 1 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
17
Russell 3000 Index Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $1,436,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012. The fund will use these capital losses to offset net taxable gains, if any, realized during the year ending August, 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2012, the cost of investment securities for tax purposes was $80,355,000. Net unrealized appreciation of investment securities for tax purposes was $7,019,000, consisting of unrealized gains of $8,628,000 on securities that had risen in value since their purchase and $1,609,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2012, the fund purchased $31,026,000 of investment securities and sold $8,825,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Inception1 to | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 29,750 | 266 | 37,726 | 337 |
| Issued in Lieu of Cash Distributions | 390 | 4 | 181 | 2 |
| Redeemed | (8,182) | (77) | (2,250) | (20) |
| Net Increase (Decrease)—Institutional Shares | 21,958 | 193 | 35,657 | 319 |
| ETF Shares | ||||
| Issued | — | — | 34,354 | 600 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (11,322) | (200) |
| Net Increase (Decrease)—ETF Shares | — | — | 23,032 | 400 |
| 1 Inception was September 20, 2010, for ETF Shares and November 1, 2010, for Institutional Shares. | ||||
H. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
18
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
19
| Six Months Ended February 29, 2012 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Russell 3000 Index Fund | 8/31/2011 | 2/29/2012 | Period |
| Based on Actual Fund Return | |||
| Institutional Shares | $1,000.00 | $1,131.42 | $0.42 |
| ETF Shares | 1,000.00 | 1,131.03 | 0.79 |
| Based on Hypothetical 5% Yearly Return | |||
| Institutional Shares | $1,000.00 | $1,024.47 | $0.40 |
| ETF Shares | 1,000.00 | 1,024.12 | 0.75 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.08% for Institutional Shares and 0.15% for ETF Shares. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
20
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
21
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
22
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| Interested Trustee1 | and President (2006–2008) of Rohm Haas Co. |
| (chemicals); Director of Tyco International, Ltd. | |
| F. William McNabb III | (diversified manufacturing and services), Hewlett- |
| Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing), |
| Board. Principal Occupation(s) During the Past Five | and Delphi Automotive LLP (automotive components); |
| Years: Chairman of the Board of The Vanguard Group, | Senior Advisor at New Mountain Capital; Trustee of |
| Inc., and of each of the investment companies served | The Conference Board. |
| by The Vanguard Group, since January 2010; Director | |
| of The Vanguard Group since 2008; Chief Executive | Amy Gutmann |
| Officer and President of The Vanguard Group and of | Born 1949. Trustee Since June 2006. Principal |
| each of the investment companies served by The | Occupation(s) During the Past Five Years: President |
| Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Christopher H. |
| Marketing Corporation; Managing Director of The | Browne Distinguished Professor of Political Science |
| Vanguard Group (1995–2008). | in the School of Arts and Sciences with secondary |
| appointments at the Annenberg School for Commu- | |
| nication and the Graduate School of Education | |
| Independent Trustees | of the University of Pennsylvania; Director of |
| Carnegie Corporation of New York, Schuylkill River | |
| Emerson U. Fullwood | Development Corporation, and Greater Philadelphia |
| Born 1948. Trustee Since January 2008. Principal | Chamber of Commerce; Trustee of the National |
| Occupation(s) During the Past Five Years: Executive | Constitution Center; Chair of the Presidential |
| Chief Staff and Marketing Officer for North America | Commission for the Study of Bioethical Issues. |
| and Corporate Vice President (retired 2008) of Xerox | |
| Corporation (document management products and | JoAnn Heffernan Heisen |
| services); Executive in Residence and 2010 | Born 1950. Trustee Since July 1998. Principal |
| Distinguished Minett Professor at the Rochester | Occupation(s) During the Past Five Years: Corporate |
| Institute of Technology; Director of SPX Corporation | Vice President and Chief Global Diversity Officer |
| (multi-industry manufacturing), the United Way of | (retired 2008) and Member of the Executive |
| Rochester, Amerigroup Corporation (managed health | Committee (1997–2008) of Johnson & Johnson |
| care), the University of Rochester Medical Center, | (pharmaceuticals/medical devices/consumer |
| Monroe Community College Foundation, and North | products); Director of Skytop Lodge Corporation |
| Carolina A&T University. | (hotels), the University Medical Center at Princeton, |
| the Robert Wood Johnson Foundation, and the Center | |
| Rajiv L. Gupta | for Talent Innovation; Member of the Advisory Board |
| Born 1945. Trustee Since December 2001.2 | of the Maxwell School of Citizenship and Public Affairs |
| Principal Occupation(s) During the Past Five Years: | at Syracuse University. |
| Chairman and Chief Executive Officer (retired 2009) |
| F. Joseph Loughrey | Group since 2010; Assistant Controller of each of | |
| Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard | |
| Occupation(s) During the Past Five Years: President | Group (2001–2010). | |
| and Chief Operating Officer (retired 2009) and Vice | ||
| Chairman of the Board (2008–2009) of Cummins Inc. | Thomas J. Higgins | |
| (industrial machinery); Director of SKF AB (industrial | Born 1957. Chief Financial Officer Since September | |
| machinery), Hillenbrand, Inc. (specialized consumer | 2008. Principal Occupation(s) During the Past Five | |
| services), the Lumina Foundation for Education, and | Years: Principal of The Vanguard Group, Inc.; Chief | |
| Oxfam America; Chairman of the Advisory Council | Financial Officer of each of the investment companies | |
| for the College of Arts and Letters and Member | served by The Vanguard Group since 2008; Treasurer | |
| of the Advisory Board to the Kellogg Institute for | of each of the investment companies served by The | |
| International Studies at the University of Notre Dame. | Vanguard Group (1998–2008). | |
| André F. Perold | Kathryn J. Hyatt | |
| Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
| Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
| Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
| Business School (retired 2011); Chief Investment | the investment companies served by The Vanguard | |
| Officer and Managing Partner of HighVista Strategies | Group since 2008; Assistant Treasurer of each of the | |
| LLC (private investment firm); Director of Rand | investment companies served by The Vanguard Group | |
| Merchant Bank; Overseer of the Museum of Fine | (1988–2008). | |
| Arts Boston. | ||
| Heidi Stam | ||
| Alfred M. Rankin, Jr. | Born 1956. Secretary Since July 2005. Principal | |
| Born 1941. Trustee Since January 1993. Principal | Occupation(s) During the Past Five Years: Managing | |
| Occupation(s) During the Past Five Years: Chairman, | Director of The Vanguard Group, Inc., since 2006; | |
| President, and Chief Executive Officer of NACCO | General Counsel of The Vanguard Group since 2005; | |
| Industries, Inc. (forklift trucks/housewares/lignite); | Secretary of The Vanguard Group and of each of the | |
| Director of Goodrich Corporation (industrial products/ | investment companies served by The Vanguard Group | |
| aircraft systems and services) and the National | since 2005; Director and Senior Vice President of | |
| Association of Manufacturers; Chairman of the Board | Vanguard Marketing Corporation since 2005; | |
| of the Federal Reserve Bank of Cleveland and of | Principal of The Vanguard Group (1997–2006). | |
| University Hospitals of Cleveland; Advisory Chairman | ||
| of the Board of The Cleveland Museum of Art. | ||
| Vanguard Senior Management Team | ||
| Peter F. Volanakis | ||
| Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | Michael S. Miller |
| Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | James M. Norris |
| and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | Glenn W. Reed |
| Incorporated (communications equipment); Director of | Martha G. King | George U. Sauter |
| Corning Incorporated (2000-2010) and Dow Corning | Chris D. McIsaac | |
| (2001–2010); Director of SPX Corporation (multi- | ||
| industry manufacturing); Overseer of the Amos Tuck | Chairman Emeritus and Senior Advisor | |
| School of Business Administration at Dartmouth | ||
| College; Advisor to the Norris Cotton Cancer Center. | John J. Brennan | |
| Chairman, 1996–2009 | ||
| Chief Executive Officer and President, 1996–2008 | ||
| Executive Officers | ||
| Glenn Booraem | Founder | |
| Born 1967. Controller Since July 2010. Principal | ||
| Occupation(s) During the Past Five Years: Principal | John C. Bogle | |
| of The Vanguard Group, Inc.; Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
| the investment companies served by The Vanguard | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
 | |
| P.O. Box 2600 | |
| Valley Forge, PA 19482-2600 |
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| also available from the SEC’s website, sec.gov. In | |
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| © 2012 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q18542 042012 | |
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (99.8%)1 | ||
| Consumer Discretionary (11.9%) | ||
| McDonald's Corp. | 5,934 | 589 |
| Comcast Corp. Class A | 15,777 | 464 |
| Home Depot Inc. | 9,144 | 435 |
| Walt Disney Co. | 10,241 | 430 |
| * Amazon.com Inc. | 2,081 | 374 |
| Ford Motor Co. | 21,308 | 264 |
| News Corp. Class A | 12,370 | 246 |
| Target Corp. | 3,937 | 223 |
| NIKE Inc. Class B | 2,039 | 220 |
| Time Warner Inc. | 5,726 | 213 |
| Lowe's Cos. Inc. | 7,435 | 211 |
| Starbucks Corp. | 4,280 | 208 |
| * DIRECTV Class A | 4,034 | 187 |
| * priceline.com Inc. | 285 | 179 |
| Yum! Brands Inc. | 2,665 | 177 |
| TJX Cos. Inc. | 4,428 | 162 |
| Viacom Inc. Class B | 3,165 | 151 |
| Time Warner Cable Inc. | 1,826 | 145 |
| Johnson Controls Inc. | 3,882 | 127 |
| Coach Inc. | 1,680 | 126 |
| * Las Vegas Sands Corp. | 2,237 | 124 |
| CBS Corp. Class B | 3,817 | 114 |
| * General Motors Co. | 4,337 | 113 |
| Macy's Inc. | 2,436 | 93 |
| * Bed Bath & Beyond Inc. | 1,426 | 85 |
| * Liberty Global Inc. Class A | 1,588 | 80 |
| Omnicom Group Inc. | 1,611 | 80 |
| Carnival Corp. | 2,444 | 74 |
| McGraw-Hill Cos. Inc. | 1,590 | 74 |
| VF Corp. | 499 | 73 |
| Kohl's Corp. | 1,453 | 72 |
| Ross Stores Inc. | 1,349 | 72 |
| * Discovery Communications Inc. Class A | 1,517 | 71 |
| * Chipotle Mexican Grill Inc. Class A | 179 | 70 |
| Limited Brands Inc. | 1,432 | 67 |
| * Liberty Interactive Corp. Class A | 3,453 | 65 |
| Mattel Inc. | 1,996 | 65 |
| * O'Reilly Automotive Inc. | 738 | 64 |
| Harley-Davidson Inc. | 1,358 | 63 |
| Ralph Lauren Corp. Class A | 361 | 63 |
| Thomson Reuters Corp. | 2,164 | 63 |
| * Dollar Tree Inc. | 704 | 62 |
| * Liberty Media Corp. - Liberty Capital Class A | 674 | 61 |
| Starwood Hotels & Resorts Worldwide Inc. | 1,122 | 60 |
| Staples Inc. | 4,099 | 60 |
| Genuine Parts Co. | 906 | 57 |
| * AutoZone Inc. | 146 | 55 |
| Marriott International Inc. Class A | 1,496 | 53 |
| * BorgWarner Inc. | 632 | 52 |
| * Sirius XM Radio Inc. | 22,773 | 51 |
| Tiffany & Co. | 738 | 48 |
| Gap Inc. | 2,044 | 48 |
| Nordstrom Inc. | 881 | 47 |
| Wynn Resorts Ltd. | 365 | 43 |
| Best Buy Co. Inc. | 1,706 | 42 |
| Virgin Media Inc. | 1,596 | 40 |
| * CarMax Inc. | 1,293 | 40 |
| Wyndham Worldwide Corp. | 871 | 38 |
| Family Dollar Stores Inc. | 700 | 38 |
| JC Penney Co. Inc. | 946 | 37 |
| Darden Restaurants Inc. | 728 | 37 |
1
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| PetSmart Inc. | 649 | 36 |
| * Fossil Inc. | 296 | 36 |
| Advance Auto Parts Inc. | 422 | 36 |
| * Netflix Inc. | 317 | 35 |
| Tractor Supply Co. | 409 | 35 |
| Autoliv Inc. | 505 | 34 |
| DISH Network Corp. Class A | 1,132 | 33 |
| Whirlpool Corp. | 431 | 33 |
| * Tempur-Pedic International Inc. | 387 | 31 |
| Interpublic Group of Cos. Inc. | 2,607 | 31 |
| Newell Rubbermaid Inc. | 1,646 | 30 |
| PVH Corp. | 338 | 29 |
| Garmin Ltd. | 608 | 29 |
| H&R Block Inc. | 1,726 | 28 |
| * MGM Resorts International | 1,992 | 27 |
| Lear Corp. | 595 | 27 |
| * Apollo Group Inc. Class A | 629 | 27 |
| * TRW Automotive Holdings Corp. | 576 | 26 |
| * LKQ Corp. | 825 | 26 |
| Foot Locker Inc. | 875 | 26 |
| International Game Technology | 1,696 | 25 |
| * Panera Bread Co. Class A | 164 | 25 |
| Polaris Industries Inc. | 366 | 24 |
| Dick's Sporting Goods Inc. | 533 | 24 |
| * Dollar General Corp. | 560 | 24 |
| Hasbro Inc. | 652 | 23 |
| Signet Jewelers Ltd. | 491 | 23 |
| Williams-Sonoma Inc. | 594 | 23 |
| Abercrombie & Fitch Co. | 497 | 23 |
| Scripps Networks Interactive Inc. Class A | 502 | 23 |
| DR Horton Inc. | 1,582 | 23 |
| Royal Caribbean Cruises Ltd. | 763 | 22 |
| * Ulta Salon Cosmetics & Fragrance Inc. | 257 | 21 |
| Lennar Corp. Class A | 906 | 21 |
| * Mohawk Industries Inc. | 321 | 20 |
| Tupperware Brands Corp. | 325 | 20 |
| Gannett Co. Inc. | 1,359 | 20 |
| * NVR Inc. | 29 | 20 |
| Harman International Industries Inc. | 397 | 20 |
| * Toll Brothers Inc. | 830 | 19 |
| * Charter Communications Inc. Class A | 307 | 19 |
| Gentex Corp. | 807 | 19 |
| Expedia Inc. | 549 | 19 |
| * Under Armour Inc. Class A | 207 | 18 |
| Jarden Corp. | 521 | 18 |
| Leggett & Platt Inc. | 808 | 18 |
| GameStop Corp. Class A | 799 | 18 |
| * TripAdvisor Inc. | 554 | 18 |
| * Goodyear Tire & Rubber Co. | 1,380 | 18 |
| Cablevision Systems Corp. Class A | 1,228 | 17 |
| * Urban Outfitters Inc. | 614 | 17 |
| * PulteGroup Inc. | 1,953 | 17 |
| * Sears Holdings Corp. | 239 | 17 |
| * Penn National Gaming Inc. | 386 | 16 |
| * Big Lots Inc. | 374 | 16 |
| * Deckers Outdoor Corp. | 219 | 16 |
| American Eagle Outfitters Inc. | 1,107 | 16 |
| * Hanesbrands Inc. | 556 | 16 |
| * Visteon Corp. | 290 | 16 |
| Sotheby's | 394 | 16 |
| Service Corp. International | 1,361 | 15 |
| Chico's FAS Inc. | 1,026 | 15 |
| * AMC Networks Inc. Class A | 315 | 14 |
| * Ascena Retail Group Inc. | 364 | 14 |
2
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| DeVry Inc. | 391 | 14 |
| * Carter's Inc. | 285 | 14 |
| * Warnaco Group Inc. | 234 | 14 |
| * Dana Holding Corp. | 852 | 14 |
| * Tenneco Inc. | 353 | 14 |
| Weight Watchers International Inc. | 169 | 13 |
| * Sally Beauty Holdings Inc. | 552 | 13 |
| Guess? Inc. | 377 | 13 |
| * Domino's Pizza Inc. | 339 | 13 |
| Brunswick Corp. | 526 | 13 |
| Brinker International Inc. | 450 | 12 |
| * Life Time Fitness Inc. | 248 | 12 |
| John Wiley & Sons Inc. Class A | 270 | 12 |
| Rent-A-Center Inc. | 338 | 12 |
| Aaron's Inc. | 424 | 12 |
| Men's Wearhouse Inc. | 304 | 12 |
| Dillard's Inc. Class A | 188 | 11 |
| Cinemark Holdings Inc. | 549 | 11 |
| Washington Post Co. Class B | 29 | 11 |
| * Lamar Advertising Co. Class A | 345 | 11 |
| * Madison Square Garden Co. Class A | 354 | 11 |
| Wolverine World Wide Inc. | 292 | 11 |
| Six Flags Entertainment Corp. | 246 | 11 |
| * Coinstar Inc. | 190 | 11 |
| * Bally Technologies Inc. | 255 | 11 |
| * ITT Educational Services Inc. | 158 | 11 |
| * Hyatt Hotels Corp. Class A | 261 | 11 |
| * Tesla Motors Inc. | 323 | 11 |
| Pool Corp. | 288 | 10 |
| * Crocs Inc. | 518 | 10 |
| * Cheesecake Factory Inc. | 341 | 10 |
| * Pier 1 Imports Inc. | 588 | 10 |
| * Select Comfort Corp. | 338 | 10 |
| * Steven Madden Ltd. | 230 | 10 |
| * Buffalo Wild Wings Inc. | 112 | 10 |
| * Genesco Inc. | 141 | 10 |
| * Cabela's Inc. | 270 | 10 |
| Vail Resorts Inc. | 218 | 9 |
| Wendy's Co. | 1,773 | 9 |
| HSN Inc. | 240 | 9 |
| Thor Industries Inc. | 271 | 9 |
| * Aeropostale Inc. | 491 | 9 |
| Morningstar Inc. | 146 | 9 |
| Hillenbrand Inc. | 378 | 9 |
| * JOS A Bank Clothiers Inc. | 168 | 9 |
| Monro Muffler Brake Inc. | 187 | 9 |
| * Saks Inc. | 715 | 8 |
| * Express Inc. | 346 | 8 |
| * Hibbett Sports Inc. | 168 | 8 |
| * Iconix Brand Group Inc. | 448 | 8 |
| * Childrens Place Retail Stores Inc. | 159 | 8 |
| * AutoNation Inc. | 236 | 8 |
| * Live Nation Entertainment Inc. | 855 | 8 |
| Cracker Barrel Old Country Store Inc. | 142 | 8 |
| Strayer Education Inc. | 76 | 8 |
| DSW Inc. Class A | 138 | 8 |
| * WMS Industries Inc. | 353 | 8 |
| * ANN Inc. | 320 | 8 |
| * DreamWorks Animation SKG Inc. Class A | 435 | 8 |
| Finish Line Inc. Class A | 326 | 7 |
| Buckle Inc. | 166 | 7 |
| * BJ's Restaurants Inc. | 150 | 7 |
| Meredith Corp. | 224 | 7 |
| Regal Entertainment Group Class A | 515 | 7 |
3
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Bob Evans Farms Inc. | 190 | 7 |
| * Collective Brands Inc. | 381 | 7 |
| Choice Hotels International Inc. | 179 | 7 |
| Penske Automotive Group Inc. | 278 | 7 |
| * Gaylord Entertainment Co. | 223 | 7 |
| * Vitamin Shoppe Inc. | 156 | 7 |
| Texas Roadhouse Inc. Class A | 394 | 7 |
| Group 1 Automotive Inc. | 127 | 7 |
| * Valassis Communications Inc. | 260 | 6 |
| Cooper Tire & Rubber Co. | 386 | 6 |
| Regis Corp. | 367 | 6 |
| * Helen of Troy Ltd. | 194 | 6 |
| * Jack in the Box Inc. | 246 | 6 |
| Matthews International Corp. Class A | 188 | 6 |
| * New York Times Co. Class A | 857 | 6 |
| * Liz Claiborne Inc. | 542 | 5 |
| * Orient-Express Hotels Ltd. Class A | 505 | 5 |
| MDC Holdings Inc. | 199 | 5 |
| * Office Depot Inc. | 1,473 | 5 |
| Arbitron Inc. | 144 | 5 |
| KB Home | 407 | 5 |
| National CineMedia Inc. | 292 | 5 |
| PF Chang's China Bistro Inc. | 121 | 5 |
| Jones Group Inc. | 464 | 5 |
| RadioShack Corp. | 631 | 4 |
| * Peet's Coffee & Tea Inc. | 68 | 4 |
| * DineEquity Inc. | 82 | 4 |
| * Shutterfly Inc. | 158 | 4 |
| Scholastic Corp. | 140 | 4 |
| Ryland Group Inc. | 235 | 4 |
| * Groupon Inc. | 214 | 4 |
| PEP Boys-Manny Moe & Jack | 279 | 4 |
| Sturm Ruger & Co. Inc. | 100 | 4 |
| * Shuffle Master Inc. | 286 | 4 |
| * American Axle & Manufacturing Holdings Inc. | 354 | 4 |
| * Asbury Automotive Group Inc. | 155 | 4 |
| CEC Entertainment Inc. | 105 | 4 |
| * Steiner Leisure Ltd. | 80 | 4 |
| Cato Corp. Class A | 146 | 4 |
| * GNC Holdings Inc. Class A | 122 | 4 |
| * La-Z-Boy Inc. | 275 | 4 |
| International Speedway Corp. Class A | 156 | 4 |
| * Dunkin' Brands Group Inc. | 135 | 4 |
| * Papa John's International Inc. | 104 | 4 |
| * Meritage Homes Corp. | 148 | 4 |
| * Vera Bradley Inc. | 104 | 4 |
| * Ascent Capital Group Inc. Class A | 76 | 4 |
| * American Public Education Inc. | 95 | 4 |
| * Education Management Corp. | 204 | 4 |
| Sonic Automotive Inc. Class A | 213 | 4 |
| * Pinnacle Entertainment Inc. | 328 | 4 |
| * True Religion Apparel Inc. | 136 | 4 |
| * Zumiez Inc. | 112 | 4 |
| Belo Corp. Class A | 489 | 4 |
| Churchill Downs Inc. | 67 | 4 |
| * Charming Shoppes Inc. | 616 | 3 |
| Oxford Industries Inc. | 68 | 3 |
| * Marriott Vacations Worldwide Corp. | 137 | 3 |
| Ameristar Casinos Inc. | 171 | 3 |
| * Lions Gate Entertainment Corp. | 238 | 3 |
| * Scientific Games Corp. Class A | 308 | 3 |
| Ethan Allen Interiors Inc. | 128 | 3 |
| American Greetings Corp. Class A | 215 | 3 |
| * Quiksilver Inc. | 686 | 3 |
4
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Columbia Sportswear Co. | 64 | 3 |
| * iRobot Corp. | 125 | 3 |
| Sinclair Broadcast Group Inc. Class A | 267 | 3 |
| * Capella Education Co. | 77 | 3 |
| * K12 Inc. | 137 | 3 |
| * Career Education Corp. | 342 | 3 |
| * America's Car-Mart Inc. | 65 | 3 |
| Fred's Inc. Class A | 208 | 3 |
| * G-III Apparel Group Ltd. | 115 | 3 |
| * Interval Leisure Group Inc. | 212 | 3 |
| * Clear Channel Outdoor Holdings Inc. Class A | 216 | 3 |
| * Knology Inc. | 159 | 3 |
| Lithia Motors Inc. Class A | 119 | 3 |
| * Drew Industries Inc. | 102 | 3 |
| * Sonic Corp. | 330 | 3 |
| * Ruby Tuesday Inc. | 345 | 3 |
| * Lumber Liquidators Holdings Inc. | 122 | 3 |
| * Dorman Products Inc. | 58 | 3 |
| * Maidenform Brands Inc. | 125 | 3 |
| Stage Stores Inc. | 175 | 3 |
| * Grand Canyon Education Inc. | 152 | 3 |
| Stewart Enterprises Inc. Class A | 418 | 3 |
| * Standard Pacific Corp. | 585 | 3 |
| * OfficeMax Inc. | 455 | 3 |
| * Skechers U.S.A. Inc. Class A | 199 | 3 |
| * Krispy Kreme Doughnuts Inc. | 310 | 3 |
| Brown Shoe Co. Inc. | 233 | 3 |
| * Biglari Holdings Inc. | 6 | 2 |
| * Corinthian Colleges Inc. | 547 | 2 |
| * Blue Nile Inc. | 68 | 2 |
| * Boyd Gaming Corp. | 302 | 2 |
| Core-Mark Holding Co. Inc. | 60 | 2 |
| * Bridgepoint Education Inc. | 98 | 2 |
| Standard Motor Products Inc. | 105 | 2 |
| * Red Robin Gourmet Burgers Inc. | 69 | 2 |
| * Fuel Systems Solutions Inc. | 91 | 2 |
| * Arctic Cat Inc. | 64 | 2 |
| Callaway Golf Co. | 351 | 2 |
| * Denny's Corp. | 550 | 2 |
| Superior Industries International Inc. | 124 | 2 |
| Jakks Pacific Inc. | 144 | 2 |
| * Modine Manufacturing Co. | 246 | 2 |
| Movado Group Inc. | 102 | 2 |
| * Rue21 Inc. | 80 | 2 |
| HOT Topic Inc. | 237 | 2 |
| * AFC Enterprises Inc. | 132 | 2 |
| * Cost Plus Inc. | 160 | 2 |
| Bebe Stores Inc. | 230 | 2 |
| * Barnes & Noble Inc. | 154 | 2 |
| Harte-Hanks Inc. | 234 | 2 |
| * Federal-Mogul Corp. | 114 | 2 |
| * Bravo Brio Restaurant Group Inc. | 101 | 2 |
| * Wet Seal Inc. Class A | 529 | 2 |
| * Leapfrog Enterprises Inc. | 259 | 2 |
| Lincoln Educational Services Corp. | 213 | 2 |
| * Smith & Wesson Holding Corp. | 337 | 2 |
| * Talbots Inc. | 587 | 2 |
| * Body Central Corp. | 62 | 2 |
| Blyth Inc. | 27 | 2 |
| * Amerigon Inc. | 117 | 2 |
| MDC Partners Inc. Class A | 132 | 2 |
| Nutrisystem Inc. | 151 | 2 |
| * Rentrak Corp. | 81 | 2 |
| * Universal Technical Institute Inc. | 128 | 2 |
5
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Beazer Homes USA Inc. | 494 | 2 |
| * Kirkland's Inc. | 96 | 2 |
| * Stoneridge Inc. | 158 | 2 |
| * Digital Generation Inc. | 152 | 2 |
| * McClatchy Co. Class A | 593 | 2 |
| * EW Scripps Co. Class A | 156 | 1 |
| * Multimedia Games Holding Co. Inc. | 145 | 1 |
| PetMed Express Inc. | 121 | 1 |
| * Winnebago Industries Inc. | 164 | 1 |
| * Cavco Industries Inc. | 32 | 1 |
| * Central European Media Enterprises Ltd. Class A | 193 | 1 |
| * HomeAway Inc. | 54 | 1 |
| * Exide Technologies | 475 | 1 |
| Marcus Corp. | 113 | 1 |
| * Fisher Communications Inc. | 47 | 1 |
| * Libbey Inc. | 104 | 1 |
| * Journal Communications Inc. Class A | 273 | 1 |
| * Universal Electronics Inc. | 66 | 1 |
| * Zagg Inc. | 120 | 1 |
| World Wrestling Entertainment Inc. Class A | 131 | 1 |
| * MarineMax Inc. | 147 | 1 |
| * VOXX International Corp. Class A | 92 | 1 |
| Destination Maternity Corp. | 63 | 1 |
| * Conn's Inc. | 83 | 1 |
| * Shoe Carnival Inc. | 42 | 1 |
| * Citi Trends Inc. | 101 | 1 |
| * Perry Ellis International Inc. | 62 | 1 |
| * Mattress Firm Holding Corp. | 31 | 1 |
| Big 5 Sporting Goods Corp. | 131 | 1 |
| Haverty Furniture Cos. Inc. | 89 | 1 |
| * Systemax Inc. | 50 | 1 |
| * hhgregg Inc. | 84 | 1 |
| * M/I Homes Inc. | 76 | 1 |
| * Francesca's Holdings Corp. | 40 | 1 |
| * Caribou Coffee Co. Inc. | 55 | 1 |
| * Black Diamond Inc. | 107 | 1 |
| * Carrols Restaurant Group Inc. | 74 | 1 |
| * Ruth's Hospitality Group Inc. | 140 | 1 |
| * O'Charleys Inc. | 88 | 1 |
| * Stein Mart Inc. | 120 | 1 |
| * Town Sports International Holdings Inc. | 82 | 1 |
| * Pandora Media Inc. | 64 | 1 |
| * Unifi Inc. | 100 | 1 |
| Speedway Motorsports Inc. | 53 | 1 |
| Winmark Corp. | 14 | 1 |
| * Red Lion Hotels Corp. | 96 | 1 |
| * Cumulus Media Inc. Class A | 213 | 1 |
| Spartan Motors Inc. | 127 | 1 |
| Weyco Group Inc. | 31 | 1 |
| Outdoor Channel Holdings Inc. | 102 | 1 |
| RG Barry Corp. | 51 | 1 |
| Martha Stewart Living Omnimedia Class A | 156 | 1 |
| Lifetime Brands Inc. | 60 | 1 |
| * West Marine Inc. | 66 | 1 |
| * Steinway Musical Instruments Inc. | 28 | 1 |
| * Entercom Communications Corp. Class A | 99 | 1 |
| Mac-Gray Corp. | 49 | 1 |
| * Hovnanian Enterprises Inc. Class A | 243 | 1 |
| CSS Industries Inc. | 34 | 1 |
| * Jamba Inc. | 310 | 1 |
| * Archipelago Learning Inc. | 67 | 1 |
| * LIN TV Corp. Class A | 147 | 1 |
| Benihana Inc. Class A | 58 | 1 |
| * Teavana Holdings Inc. | 25 | 1 |
6
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Delta Apparel Inc. | 35 | 1 |
| * Tuesday Morning Corp. | 167 | 1 |
| * Casual Male Retail Group Inc. | 179 | 1 |
| * Saga Communications Inc. Class A | 15 | 1 |
| * Build-A-Bear Workshop Inc. | 99 | 1 |
| * Skullcandy Inc. | 38 | 1 |
| * Morgans Hotel Group Co. | 98 | 1 |
| * Sealy Corp. | 271 | — |
| * Summer Infant Inc. | 77 | — |
| AH Belo Corp. Class A | 92 | — |
| * Pacific Sunwear of California Inc. | 206 | — |
| Cherokee Inc. | 38 | — |
| * Motorcar Parts of America Inc. | 51 | — |
| * Zale Corp. | 131 | — |
| Ambassadors Group Inc. | 79 | — |
| * Gray Television Inc. | 195 | — |
| * New York & Co. Inc. | 145 | — |
| * Luby's Inc. | 73 | — |
| * Orbitz Worldwide Inc. | 95 | — |
| * Isle of Capri Casinos Inc. | 52 | — |
| * Valuevision Media Inc. Class A | 181 | — |
| * K-Swiss Inc. Class A | 93 | — |
| * Furniture Brands International Inc. | 193 | — |
| * ReachLocal Inc. | 38 | — |
| * School Specialty Inc. | 92 | — |
| * Overstock.com Inc. | 45 | — |
| * Kenneth Cole Productions Inc. Class A | 17 | — |
| * Geeknet Inc. | 18 | — |
| * Coldwater Creek Inc. | 266 | — |
| * Global Sources Ltd. | 46 | — |
| * Orchard Supply Hardware Stores Corp. Class A | 9 | — |
| * Monarch Casino & Resort Inc. | 22 | — |
| Christopher & Banks Corp. | 99 | — |
| * Tower International Inc. | 16 | — |
| * Nexstar Broadcasting Group Inc. Class A | 24 | — |
| * Johnson Outdoors Inc. Class A | 11 | — |
| * Cambium Learning Group Inc. | 57 | — |
| * 1-800-Flowers.com Inc. Class A | 59 | — |
| Entravision Communications Corp. Class A | 93 | — |
| Einstein Noah Restaurant Group Inc. | 11 | — |
| Value Line Inc. | 13 | — |
| * Gordmans Stores Inc. | 8 | — |
| Skyline Corp. | 14 | — |
| * Digital Domain Media Group Inc. | 20 | — |
| Marine Products Corp. | 18 | — |
| Bon-Ton Stores Inc. | 22 | — |
| Shiloh Industries Inc. | 11 | — |
| National American University Holdings Inc. | 13 | — |
| * Crown Media Holdings Inc. Class A | 70 | — |
| * US Auto Parts Network Inc. | 17 | — |
| * Dial Global Inc. | 16 | — |
| 10,380 | ||
| Consumer Staples (9.3%) | ||
| Procter & Gamble Co. | 15,969 | 1,078 |
| Philip Morris International Inc. | 10,174 | 850 |
| Coca-Cola Co. | 11,303 | 790 |
| Wal-Mart Stores Inc. | 10,146 | 599 |
| PepsiCo Inc. | 9,039 | 569 |
| Altria Group Inc. | 11,983 | 361 |
| Kraft Foods Inc. | 9,459 | 360 |
| CVS Caremark Corp. | 7,764 | 350 |
| Colgate-Palmolive Co. | 2,797 | 261 |
| Costco Wholesale Corp. | 2,495 | 215 |
| Walgreen Co. | 5,235 | 174 |
7
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Kimberly-Clark Corp. | 2,249 | 164 |
| General Mills Inc. | 3,660 | 140 |
| Archer-Daniels-Midland Co. | 3,855 | 120 |
| Lorillard Inc. | 773 | 101 |
| Sysco Corp. | 3,333 | 98 |
| HJ Heinz Co. | 1,838 | 97 |
| Mead Johnson Nutrition Co. | 1,169 | 91 |
| Reynolds American Inc. | 1,920 | 81 |
| Kroger Co. | 3,274 | 78 |
| Estee Lauder Cos. Inc. Class A | 1,295 | 76 |
| Kellogg Co. | 1,411 | 74 |
| Whole Foods Market Inc. | 887 | 72 |
| Sara Lee Corp. | 3,358 | 68 |
| ConAgra Foods Inc. | 2,350 | 62 |
| Bunge Ltd. | 849 | 57 |
| Hershey Co. | 877 | 53 |
| Clorox Co. | 769 | 52 |
| JM Smucker Co. | 669 | 50 |
| Coca-Cola Enterprises Inc. | 1,730 | 50 |
| Beam Inc. | 891 | 49 |
| Dr Pepper Snapple Group Inc. | 1,278 | 49 |
| Brown-Forman Corp. Class B | 593 | 48 |
| Avon Products Inc. | 2,483 | 46 |
| * Monster Beverage Corp. | 811 | 46 |
| * Green Mountain Coffee Roasters Inc. | 710 | 46 |
| Herbalife Ltd. | 691 | 46 |
| Safeway Inc. | 2,046 | 44 |
| Church & Dwight Co. Inc. | 818 | 39 |
| McCormick & Co. Inc. | 758 | 38 |
| Campbell Soup Co. | 1,003 | 33 |
| Molson Coors Brewing Co. Class B | 759 | 33 |
| Tyson Foods Inc. Class A | 1,702 | 32 |
| * Energizer Holdings Inc. | 394 | 30 |
| Corn Products International Inc. | 432 | 25 |
| * Ralcorp Holdings Inc. | 312 | 23 |
| * Constellation Brands Inc. Class A | 1,028 | 22 |
| Hormel Foods Corp. | 776 | 22 |
| * Smithfield Foods Inc. | 939 | 22 |
| Nu Skin Enterprises Inc. Class A | 311 | 18 |
| * Dean Foods Co. | 1,065 | 13 |
| * United Natural Foods Inc. | 281 | 13 |
| Flowers Foods Inc. | 647 | 12 |
| * TreeHouse Foods Inc. | 204 | 12 |
| Ruddick Corp. | 284 | 12 |
| Casey's General Stores Inc. | 221 | 11 |
| * Darling International Inc. | 696 | 11 |
| * Hain Celestial Group Inc. | 220 | 9 |
| SUPERVALU Inc. | 1,246 | 8 |
| * Fresh Market Inc. | 174 | 8 |
| Lancaster Colony Corp. | 115 | 8 |
| PriceSmart Inc. | 110 | 7 |
| B&G Foods Inc. Class A | 296 | 7 |
| Sanderson Farms Inc. | 139 | 7 |
| Universal Corp. | 145 | 7 |
| Snyders-Lance Inc. | 295 | 7 |
| * Elizabeth Arden Inc. | 157 | 6 |
| * Boston Beer Co. Inc. Class A | 53 | 5 |
| * Post Holdings Inc. | 156 | 5 |
| * Rite Aid Corp. | 3,126 | 5 |
| Vector Group Ltd. | 255 | 5 |
| * Prestige Brands Holdings Inc. | 267 | 4 |
| Fresh Del Monte Produce Inc. | 194 | 4 |
| Andersons Inc. | 99 | 4 |
| J&J Snack Foods Corp. | 76 | 4 |
8
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| WD-40 Co. | 85 | 4 |
| * Winn-Dixie Stores Inc. | 324 | 3 |
| Tootsie Roll Industries Inc. | 126 | 3 |
| Cal-Maine Foods Inc. | 75 | 3 |
| Diamond Foods Inc. | 117 | 3 |
| * Spectrum Brands Holdings Inc. | 89 | 3 |
| Weis Markets Inc. | 58 | 2 |
| * Central Garden and Pet Co. Class A | 252 | 2 |
| * Chiquita Brands International Inc. | 240 | 2 |
| Spartan Stores Inc. | 120 | 2 |
| * Star Scientific Inc. | 566 | 2 |
| * Pilgrim's Pride Corp. | 322 | 2 |
| * Smart Balance Inc. | 315 | 2 |
| * Dole Food Co. Inc. | 195 | 2 |
| Nash Finch Co. | 68 | 2 |
| Calavo Growers Inc. | 63 | 2 |
| * Pantry Inc. | 137 | 2 |
| * Central European Distribution Corp. | 385 | 2 |
| * Alliance One International Inc. | 405 | 2 |
| Ingles Markets Inc. Class A | 80 | 1 |
| * USANA Health Sciences Inc. | 38 | 1 |
| * Seneca Foods Corp. Class A | 54 | 1 |
| Coca-Cola Bottling Co. Consolidated | 20 | 1 |
| * Medifast Inc. | 78 | 1 |
| Inter Parfums Inc. | 74 | 1 |
| * Susser Holdings Corp. | 44 | 1 |
| * Revlon Inc. Class A | 62 | 1 |
| * Chefs' Warehouse Inc. | 41 | 1 |
| Village Super Market Inc. Class A | 28 | 1 |
| * National Beverage Corp. | 52 | 1 |
| * Schiff Nutrition International Inc. | 72 | 1 |
| Female Health Co. | 147 | 1 |
| Oil-Dri Corp. of America | 33 | 1 |
| * Nature's Sunshine Products Inc. | 44 | 1 |
| * Omega Protein Corp. | 74 | 1 |
| * Nutraceutical International Corp. | 45 | 1 |
| Arden Group Inc. | 6 | 1 |
| Limoneira Co. | 26 | — |
| Imperial Sugar Co. | 60 | — |
| * Craft Brew Alliance Inc. | 45 | — |
| * Synutra International Inc. | 40 | — |
| * Farmer Bros Co. | 19 | — |
| MGP Ingredients Inc. | 31 | — |
| * Primo Water Corp. | 58 | — |
| Griffin Land & Nurseries Inc. | 6 | — |
| * Harbinger Group Inc. | 32 | — |
| * Lifeway Foods Inc. | 13 | — |
| Alico Inc. | 5 | — |
| 8,159 | ||
| Energy (11.1%) | ||
| Exxon Mobil Corp. | 28,182 | 2,438 |
| Chevron Corp. | 11,501 | 1,255 |
| Schlumberger Ltd. | 7,759 | 602 |
| ConocoPhillips | 7,593 | 581 |
| Occidental Petroleum Corp. | 4,650 | 485 |
| Anadarko Petroleum Corp. | 2,847 | 240 |
| Apache Corp. | 2,194 | 237 |
| National Oilwell Varco Inc. | 2,419 | 200 |
| Halliburton Co. | 5,230 | 191 |
| Devon Energy Corp. | 2,422 | 178 |
| EOG Resources Inc. | 1,537 | 175 |
| Marathon Oil Corp. | 4,087 | 139 |
| Baker Hughes Inc. | 2,487 | 125 |
| El Paso Corp. | 4,386 | 122 |
9
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Spectra Energy Corp. | 3,707 | 116 |
| Hess Corp. | 1,732 | 112 |
| Williams Cos. Inc. | 3,360 | 100 |
| Noble Energy Inc. | 1,008 | 98 |
| Chesapeake Energy Corp. | 3,764 | 94 |
| Marathon Petroleum Corp. | 2,036 | 85 |
| Valero Energy Corp. | 3,265 | 80 |
| * Cameron International Corp. | 1,403 | 78 |
| Pioneer Natural Resources Co. | 670 | 73 |
| Murphy Oil Corp. | 1,111 | 71 |
| * FMC Technologies Inc. | 1,378 | 70 |
| * Southwestern Energy Co. | 1,997 | 66 |
| * Concho Resources Inc. | 594 | 63 |
| Range Resources Corp. | 925 | 59 |
| Peabody Energy Corp. | 1,560 | 54 |
| Consol Energy Inc. | 1,309 | 47 |
| * Denbury Resources Inc. | 2,324 | 46 |
| Cabot Oil & Gas Corp. | 1,211 | 42 |
| EQT Corp. | 779 | 41 |
| Cimarex Energy Co. | 490 | 40 |
| * Whiting Petroleum Corp. | 672 | 39 |
| * Nabors Industries Ltd. | 1,644 | 36 |
| * Plains Exploration & Production Co. | 807 | 36 |
| HollyFrontier Corp. | 1,079 | 35 |
| QEP Resources Inc. | 1,000 | 34 |
| Kinder Morgan Inc. | 966 | 34 |
| Oceaneering International Inc. | 614 | 33 |
| Helmerich & Payne Inc. | 539 | 33 |
| Core Laboratories NV | 258 | 31 |
| Southern Union Co. | 705 | 31 |
| SM Energy Co. | 360 | 28 |
| * Newfield Exploration Co. | 761 | 27 |
| Diamond Offshore Drilling Inc. | 389 | 27 |
| * Rowan Cos. Inc. | 721 | 27 |
| * Superior Energy Services Inc. | 878 | 26 |
| * Alpha Natural Resources Inc. | 1,281 | 24 |
| Sunoco Inc. | 615 | 24 |
| * Oil States International Inc. | 290 | 24 |
| * Dresser-Rand Group Inc. | 426 | 22 |
| Energen Corp. | 408 | 22 |
| * Ultra Petroleum Corp. | 865 | 22 |
| * Tesoro Corp. | 813 | 22 |
| * Continental Resources Inc. | 237 | 22 |
| * Cobalt International Energy Inc. | 690 | 21 |
| * WPX Energy Inc. | 1,108 | 20 |
| * SandRidge Energy Inc. | 2,318 | 20 |
| Tidewater Inc. | 296 | 18 |
| * McDermott International Inc. | 1,331 | 17 |
| Patterson-UTI Energy Inc. | 874 | 17 |
| World Fuel Services Corp. | 401 | 17 |
| Arch Coal Inc. | 1,196 | 16 |
| * Energy XXI Bermuda Ltd. | 430 | 16 |
| Berry Petroleum Co. Class A | 296 | 16 |
| * Rosetta Resources Inc. | 303 | 15 |
| * Atwood Oceanics Inc. | 325 | 15 |
| * Kodiak Oil & Gas Corp. | 1,465 | 14 |
| Lufkin Industries Inc. | 176 | 14 |
| * CVR Energy Inc. | 515 | 14 |
| * Dril-Quip Inc. | 198 | 14 |
| * SEACOR Holdings Inc. | 127 | 13 |
| * Key Energy Services Inc. | 725 | 12 |
| * Helix Energy Solutions Group Inc. | 624 | 12 |
| * Unit Corp. | 243 | 12 |
| * Oasis Petroleum Inc. | 347 | 11 |
10
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Cheniere Energy Inc. | 716 | 11 |
| Bristow Group Inc. | 215 | 10 |
| CARBO Ceramics Inc. | 110 | 10 |
| Golar LNG Ltd. | 235 | 10 |
| * Stone Energy Corp. | 296 | 9 |
| * Northern Oil and Gas Inc. | 375 | 9 |
| * Forest Oil Corp. | 675 | 9 |
| * Gulfport Energy Corp. | 258 | 9 |
| * McMoRan Exploration Co. | 592 | 8 |
| * Bill Barrett Corp. | 280 | 8 |
| * Hornbeck Offshore Services Inc. | 194 | 8 |
| * Swift Energy Co. | 256 | 8 |
| * Gulfmark Offshore Inc. | 150 | 8 |
| Teekay Corp. | 260 | 8 |
| * SemGroup Corp. Class A | 258 | 7 |
| * Carrizo Oil & Gas Inc. | 243 | 7 |
| * Cloud Peak Energy Inc. | 374 | 7 |
| EXCO Resources Inc. | 891 | 6 |
| * ION Geophysical Corp. | 817 | 6 |
| * Approach Resources Inc. | 151 | 5 |
| Western Refining Inc. | 279 | 5 |
| * Clean Energy Fuels Corp. | 263 | 5 |
| * Exterran Holdings Inc. | 339 | 5 |
| W&T Offshore Inc. | 185 | 5 |
| Nordic American Tankers Ltd. | 324 | 5 |
| * Contango Oil & Gas Co. | 65 | 4 |
| * Magnum Hunter Resources Corp. | 591 | 4 |
| * Petroleum Development Corp. | 125 | 4 |
| * Comstock Resources Inc. | 252 | 4 |
| * Parker Drilling Co. | 619 | 4 |
| Targa Resources Corp. | 87 | 4 |
| * Newpark Resources Inc. | 480 | 4 |
| * Tetra Technologies Inc. | 407 | 4 |
| RPC Inc. | 228 | 4 |
| Apco Oil and Gas International Inc. | 48 | 4 |
| * Patriot Coal Corp. | 483 | 4 |
| * Quicksilver Resources Inc. | 626 | 4 |
| * GeoResources Inc. | 108 | 3 |
| Ship Finance International Ltd. | 239 | 3 |
| * Heckmann Corp. | 640 | 3 |
| * Pioneer Drilling Co. | 327 | 3 |
| * Hercules Offshore Inc. | 610 | 3 |
| Crosstex Energy Inc. | 215 | 3 |
| * Clayton Williams Energy Inc. | 32 | 3 |
| * OYO Geospace Corp. | 25 | 3 |
| * Rex Energy Corp. | 239 | 3 |
| * Resolute Energy Corp. | 245 | 3 |
| * Energy Partners Ltd. | 154 | 3 |
| * Basic Energy Services Inc. | 129 | 3 |
| * Tesco Corp. | 160 | 2 |
| * Kosmos Energy Ltd. | 174 | 2 |
| * Uranium Energy Corp. | 633 | 2 |
| * Vaalco Energy Inc. | 296 | 2 |
| * Endeavour International Corp. | 196 | 2 |
| Gulf Island Fabrication Inc. | 77 | 2 |
| Frontline Ltd. | 413 | 2 |
| * Goodrich Petroleum Corp. | 137 | 2 |
| * Rentech Inc. | 1,178 | 2 |
| * Abraxas Petroleum Corp. | 488 | 2 |
| * Petroquest Energy Inc. | 309 | 2 |
| * FX Energy Inc. | 297 | 2 |
| * ATP Oil & Gas Corp. | 235 | 2 |
| * Triangle Petroleum Corp. | 259 | 2 |
| * Matrix Service Co. | 140 | 2 |
11
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * BPZ Resources Inc. | 571 | 2 |
| * Venoco Inc. | 160 | 2 |
| Knightsbridge Tankers Ltd. | 117 | 2 |
| * Cal Dive International Inc. | 569 | 2 |
| * Dawson Geophysical Co. | 42 | 2 |
| * Mitcham Industries Inc. | 68 | 2 |
| * Warren Resources Inc. | 400 | 2 |
| * PHI Inc. | 69 | 2 |
| * Green Plains Renewable Energy Inc. | 121 | 1 |
| * REX American Resources Corp. | 44 | 1 |
| Teekay Tankers Ltd. Class A | 302 | 1 |
| * Harvest Natural Resources Inc. | 197 | 1 |
| * Vantage Drilling Co. | 978 | 1 |
| Overseas Shipholding Group Inc. | 144 | 1 |
| Penn Virginia Corp. | 257 | 1 |
| * Callon Petroleum Co. | 172 | 1 |
| * C&J Energy Services Inc. | 58 | 1 |
| * James River Coal Co. | 200 | 1 |
| * Hyperdynamics Corp. | 825 | 1 |
| * Houston American Energy Corp. | 103 | 1 |
| * Scorpio Tankers Inc. | 172 | 1 |
| Panhandle Oil and Gas Inc. Class A | 37 | 1 |
| * Natural Gas Services Group Inc. | 77 | 1 |
| * Gastar Exploration Ltd. | 373 | 1 |
| * Willbros Group Inc. | 246 | 1 |
| * Global Geophysical Services Inc. | 87 | 1 |
| * Evolution Petroleum Corp. | 87 | 1 |
| Delek US Holdings Inc. | 59 | 1 |
| * Solazyme Inc. | 52 | 1 |
| * Miller Energy Resources Inc. | 157 | 1 |
| * USEC Inc. | 448 | 1 |
| * Uranerz Energy Corp. | 237 | 1 |
| * Amyris Inc. | 110 | 1 |
| * Voyager Oil & Gas Inc. | 174 | 1 |
| * Syntroleum Corp. | 403 | 1 |
| * Ur-Energy Inc. | 398 | — |
| * GMX Resources Inc. | 240 | — |
| * RigNet Inc. | 23 | — |
| Alon USA Energy Inc. | 40 | — |
| * KiOR Inc. | 43 | — |
| * Crimson Exploration Inc. | 120 | — |
| * Westmoreland Coal Co. | 33 | — |
| * Uranium Resources Inc. | 347 | — |
| * Union Drilling Inc. | 48 | — |
| * Isramco Inc. | 3 | — |
| DHT Holdings Inc. | 176 | — |
| * Zion Oil & Gas Inc. | 63 | — |
| Hallador Energy Co. | 16 | — |
| * L&L Energy Inc. | 53 | — |
| * Gevo Inc. | 12 | — |
| * CAMAC Energy Inc. | 111 | — |
| * Geokinetics Inc. | 33 | — |
| * General Maritime Corp. | 260 | — |
| 9,731 | ||
| Financials (15.4%) | ||
| JPMorgan Chase & Co. | 22,733 | 892 |
| Wells Fargo & Co. | 28,140 | 881 |
| * Berkshire Hathaway Inc. Class B | 10,015 | 786 |
| Citigroup Inc. | 16,618 | 554 |
| Bank of America Corp. | 57,961 | 462 |
| Goldman Sachs Group Inc. | 2,965 | 341 |
| US Bancorp | 11,022 | 324 |
| American Express Co. | 6,011 | 318 |
| Simon Property Group Inc. | 1,679 | 227 |
12
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| MetLife Inc. | 4,701 | 181 |
| PNC Financial Services Group Inc. | 3,009 | 179 |
| Prudential Financial Inc. | 2,784 | 170 |
| Morgan Stanley | 8,847 | 164 |
| Bank of New York Mellon Corp. | 7,114 | 157 |
| Capital One Financial Corp. | 2,856 | 145 |
| American Tower Corporation | 2,275 | 142 |
| ACE Ltd. | 1,931 | 138 |
| Travelers Cos. Inc. | 2,248 | 130 |
| Aflac Inc. | 2,667 | 126 |
| State Street Corp. | 2,884 | 122 |
| BB&T Corp. | 3,976 | 116 |
| CME Group Inc. | 384 | 111 |
| Public Storage | 802 | 108 |
| Chubb Corp. | 1,558 | 106 |
| Marsh & McLennan Cos. Inc. | 3,133 | 98 |
| Franklin Resources Inc. | 828 | 98 |
| BlackRock Inc. | 490 | 98 |
| Equity Residential | 1,684 | 96 |
| Allstate Corp. | 2,989 | 94 |
| Discover Financial Services | 3,120 | 94 |
| HCP Inc. | 2,320 | 92 |
| T. Rowe Price Group Inc. | 1,486 | 92 |
| Annaly Capital Management Inc. | 5,437 | 90 |
| Aon Corp. | 1,890 | 88 |
| ProLogis Inc. | 2,625 | 88 |
| Vornado Realty Trust | 1,054 | 86 |
| Boston Properties Inc. | 833 | 85 |
| Charles Schwab Corp. | 6,002 | 83 |
| Ventas Inc. | 1,451 | 81 |
| Progressive Corp. | 3,555 | 76 |
| * American International Group Inc. | 2,536 | 74 |
| Ameriprise Financial Inc. | 1,298 | 72 |
| Fifth Third Bancorp | 5,269 | 72 |
| Loews Corp. | 1,818 | 71 |
| SunTrust Banks Inc. | 3,082 | 71 |
| AvalonBay Communities Inc. | 540 | 70 |
| Health Care REIT Inc. | 1,219 | 66 |
| Invesco Ltd. | 2,654 | 66 |
| Weyerhaeuser Co. | 3,096 | 65 |
| Host Hotels & Resorts Inc. | 3,941 | 62 |
| M&T Bank Corp. | 723 | 59 |
| * IntercontinentalExchange Inc. | 424 | 58 |
| Northern Trust Corp. | 1,252 | 56 |
| Hartford Financial Services Group Inc. | 2,568 | 53 |
| General Growth Properties Inc. | 3,247 | 53 |
| Principal Financial Group Inc. | 1,763 | 49 |
| SLM Corp. | 3,045 | 48 |
| * CIT Group Inc. | 1,159 | 47 |
| NYSE Euronext | 1,515 | 45 |
| Lincoln National Corp. | 1,812 | 45 |
| KeyCorp | 5,501 | 45 |
| Moody's Corp. | 1,154 | 45 |
| Kimco Realty Corp. | 2,355 | 43 |
| Regions Financial Corp. | 7,272 | 42 |
| Digital Realty Trust Inc. | 576 | 42 |
| Macerich Co. | 758 | 41 |
| American Capital Agency Corp. | 1,300 | 40 |
| SL Green Realty Corp. | 509 | 39 |
| Unum Group | 1,673 | 39 |
| XL Group plc Class A | 1,771 | 37 |
| Plum Creek Timber Co. Inc. | 916 | 36 |
| Comerica Inc. | 1,136 | 34 |
| Federal Realty Investment Trust | 352 | 34 |
13
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| New York Community Bancorp Inc. | 2,472 | 32 |
| Leucadia National Corp. | 1,117 | 32 |
| * Affiliated Managers Group Inc. | 295 | 31 |
| UDR Inc. | 1,228 | 31 |
| Rayonier Inc. | 688 | 31 |
| * CBRE Group Inc. Class A | 1,652 | 30 |
| Cincinnati Financial Corp. | 827 | 29 |
| Torchmark Corp. | 594 | 29 |
| Huntington Bancshares Inc. | 4,881 | 29 |
| Realty Income Corp. | 753 | 28 |
| Camden Property Trust | 448 | 28 |
| * Arch Capital Group Ltd. | 746 | 28 |
| People's United Financial Inc. | 2,129 | 27 |
| Essex Property Trust Inc. | 185 | 26 |
| * Genworth Financial Inc. Class A | 2,773 | 25 |
| Alexandria Real Estate Equities Inc. | 350 | 25 |
| PartnerRe Ltd. | 382 | 24 |
| Reinsurance Group of America Inc. Class A | 418 | 24 |
| * MSCI Inc. Class A | 680 | 24 |
| Assurant Inc. | 546 | 23 |
| WR Berkley Corp. | 647 | 23 |
| TD Ameritrade Holding Corp. | 1,237 | 23 |
| Everest Re Group Ltd. | 260 | 23 |
| Axis Capital Holdings Ltd. | 732 | 23 |
| * Markel Corp. | 55 | 22 |
| Raymond James Financial Inc. | 627 | 22 |
| Liberty Property Trust | 651 | 22 |
| Taubman Centers Inc. | 316 | 22 |
| Fidelity National Financial Inc. Class A | 1,262 | 22 |
| Regency Centers Corp. | 509 | 22 |
| Legg Mason Inc. | 791 | 22 |
| Arthur J Gallagher & Co. | 625 | 21 |
| RenaissanceRe Holdings Ltd. | 293 | 21 |
| Ares Capital Corp. | 1,260 | 21 |
| BRE Properties Inc. | 422 | 20 |
| Jones Lang LaSalle Inc. | 244 | 20 |
| Duke Realty Corp. | 1,428 | 20 |
| Zions Bancorporation | 1,039 | 20 |
| Transatlantic Holdings Inc. | 325 | 20 |
| Senior Housing Properties Trust | 920 | 20 |
| Eaton Vance Corp. | 672 | 19 |
| White Mountains Insurance Group Ltd. | 39 | 19 |
| Lazard Ltd. Class A | 627 | 19 |
| First Niagara Financial Group Inc. | 1,967 | 19 |
| East West Bancorp Inc. | 841 | 19 |
| * NASDAQ OMX Group Inc. | 700 | 18 |
| DDR Corp. | 1,303 | 18 |
| HCC Insurance Holdings Inc. | 602 | 18 |
| Hudson City Bancorp Inc. | 2,677 | 18 |
| * American Capital Ltd. | 2,009 | 18 |
| Chimera Investment Corp. | 5,824 | 18 |
| Assured Guaranty Ltd. | 1,047 | 18 |
| Hospitality Properties Trust | 698 | 17 |
| Piedmont Office Realty Trust Inc. Class A | 977 | 17 |
| Kilroy Realty Corp. | 391 | 17 |
| Weingarten Realty Investors | 686 | 17 |
| Cullen/Frost Bankers Inc. | 302 | 17 |
| American Financial Group Inc. | 455 | 17 |
| Commerce Bancshares Inc. | 439 | 17 |
| Apartment Investment & Management Co. | 677 | 17 |
| Douglas Emmett Inc. | 793 | 17 |
| SEI Investments Co. | 829 | 16 |
| Old Republic International Corp. | 1,483 | 16 |
| BioMed Realty Trust Inc. | 872 | 16 |
14
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| National Retail Properties Inc. | 593 | 16 |
| American Campus Communities Inc. | 384 | 16 |
| Waddell & Reed Financial Inc. Class A | 497 | 16 |
| Home Properties Inc. | 272 | 16 |
| Brown & Brown Inc. | 662 | 16 |
| * Signature Bank | 262 | 16 |
| ProAssurance Corp. | 175 | 15 |
| CBL & Associates Properties Inc. | 849 | 15 |
| MFA Financial Inc. | 2,037 | 15 |
| Hancock Holding Co. | 435 | 15 |
| * SVB Financial Group | 248 | 15 |
| Tanger Factory Outlet Centers | 490 | 14 |
| Allied World Assurance Co. Holdings AG | 217 | 14 |
| Mack-Cali Realty Corp. | 500 | 14 |
| First Horizon National Corp. | 1,515 | 14 |
| Extra Space Storage Inc. | 540 | 14 |
| * E*Trade Financial Corp. | 1,447 | 14 |
| Protective Life Corp. | 498 | 14 |
| Validus Holdings Ltd. | 442 | 13 |
| Highwoods Properties Inc. | 416 | 13 |
| Associated Banc-Corp | 1,003 | 13 |
| Post Properties Inc. | 304 | 13 |
| Jefferies Group Inc. | 789 | 13 |
| Mid-America Apartment Communities Inc. | 211 | 13 |
| LaSalle Hotel Properties | 491 | 13 |
| Valley National Bancorp | 1,041 | 13 |
| Alleghany Corp. | 39 | 13 |
| * First Republic Bank | 422 | 13 |
| Bank of Hawaii Corp. | 275 | 13 |
| City National Corp. | 269 | 13 |
| Hatteras Financial Corp. | 435 | 12 |
| Delphi Financial Group Inc. | 278 | 12 |
| Equity Lifestyle Properties Inc. | 186 | 12 |
| Two Harbors Investment Corp. | 1,200 | 12 |
| Entertainment Properties Trust | 271 | 12 |
| Erie Indemnity Co. Class A | 160 | 12 |
| Alterra Capital Holdings Ltd. | 525 | 12 |
| Omega Healthcare Investors Inc. | 590 | 12 |
| Prosperity Bancshares Inc. | 274 | 12 |
| * Forest City Enterprises Inc. Class A | 813 | 12 |
| * Stifel Financial Corp. | 316 | 12 |
| Invesco Mortgage Capital Inc. | 684 | 12 |
| * Popular Inc. | 6,107 | 12 |
| Washington REIT | 387 | 11 |
| Capitol Federal Financial Inc. | 974 | 11 |
| Fulton Financial Corp. | 1,154 | 11 |
| Federated Investors Inc. Class B | 540 | 11 |
| Hanover Insurance Group Inc. | 270 | 11 |
| Aspen Insurance Holdings Ltd. | 413 | 11 |
| CapitalSource Inc. | 1,608 | 11 |
| Starwood Property Trust Inc. | 549 | 11 |
| Washington Federal Inc. | 659 | 11 |
| StanCorp Financial Group Inc. | 267 | 11 |
| Corporate Office Properties Trust | 424 | 10 |
| FirstMerit Corp. | 642 | 10 |
| Susquehanna Bancshares Inc. | 1,101 | 10 |
| Synovus Financial Corp. | 4,788 | 10 |
| Colonial Properties Trust | 492 | 10 |
| TCF Financial Corp. | 936 | 10 |
| Janus Capital Group Inc. | 1,139 | 10 |
| * CNO Financial Group Inc. | 1,338 | 10 |
| DiamondRock Hospitality Co. | 989 | 10 |
| First American Financial Corp. | 635 | 10 |
| Healthcare Realty Trust Inc. | 465 | 10 |
15
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| FNB Corp. | 805 | 9 |
| Webster Financial Corp. | 429 | 9 |
| * MBIA Inc. | 866 | 9 |
| Iberiabank Corp. | 176 | 9 |
| CommonWealth REIT | 501 | 9 |
| * Ocwen Financial Corp. | 578 | 9 |
| Endurance Specialty Holdings Ltd. | 242 | 9 |
| * Ezcorp Inc. Class A | 287 | 9 |
| Trustmark Corp. | 379 | 9 |
| Brandywine Realty Trust | 824 | 9 |
| United Bankshares Inc. | 301 | 9 |
| CBOE Holdings Inc. | 319 | 9 |
| CYS Investments Inc. | 639 | 9 |
| Kemper Corp. | 300 | 9 |
| DCT Industrial Trust Inc. | 1,497 | 8 |
| Umpqua Holdings Corp. | 687 | 8 |
| CubeSmart | 746 | 8 |
| Apollo Investment Corp. | 1,184 | 8 |
| Westamerica Bancorporation | 175 | 8 |
| Cash America International Inc. | 178 | 8 |
| BOK Financial Corp. | 153 | 8 |
| * First Cash Financial Services Inc. | 194 | 8 |
| UMB Financial Corp. | 196 | 8 |
| * Knight Capital Group Inc. Class A | 616 | 8 |
| Platinum Underwriters Holdings Ltd. | 228 | 8 |
| DuPont Fabros Technology Inc. | 354 | 8 |
| Greenhill & Co. Inc. | 184 | 8 |
| Sovran Self Storage Inc. | 169 | 8 |
| EastGroup Properties Inc. | 166 | 8 |
| Cathay General Bancorp | 481 | 8 |
| RLI Corp. | 111 | 8 |
| * Texas Capital Bancshares Inc. | 229 | 8 |
| Potlatch Corp. | 245 | 8 |
| * Howard Hughes Corp. | 135 | 7 |
| Medical Properties Trust Inc. | 769 | 7 |
| Prospect Capital Corp. | 682 | 7 |
| Wintrust Financial Corp. | 218 | 7 |
| * LPL Investment Holdings Inc. | 215 | 7 |
| PS Business Parks Inc. | 117 | 7 |
| National Health Investors Inc. | 152 | 7 |
| Northwest Bancshares Inc. | 562 | 7 |
| Old National Bancorp | 585 | 7 |
| Mercury General Corp. | 164 | 7 |
| Capstead Mortgage Corp. | 528 | 7 |
| Pebblebrook Hotel Trust | 321 | 7 |
| MB Financial Inc. | 345 | 7 |
| * Strategic Hotels & Resorts Inc. | 1,085 | 7 |
| National Penn Bancshares Inc. | 770 | 7 |
| Montpelier Re Holdings Ltd. | 390 | 7 |
| Glimcher Realty Trust | 678 | 7 |
| First Financial Bankshares Inc. | 195 | 7 |
| * Sunstone Hotel Investors Inc. | 730 | 7 |
| * St. Joe Co. | 406 | 7 |
| Lexington Realty Trust | 750 | 6 |
| * First Industrial Realty Trust Inc. | 542 | 6 |
| Equity One Inc. | 336 | 6 |
| International Bancshares Corp. | 334 | 6 |
| Community Bank System Inc. | 231 | 6 |
| Sun Communities Inc. | 151 | 6 |
| BancorpSouth Inc. | 526 | 6 |
| Glacier Bancorp Inc. | 450 | 6 |
| * World Acceptance Corp. | 95 | 6 |
| First Financial Bancorp | 367 | 6 |
| Selective Insurance Group Inc. | 343 | 6 |
16
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| ARMOUR Residential REIT Inc. | 797 | 6 |
| Acadia Realty Trust | 265 | 6 |
| Anworth Mortgage Asset Corp. | 833 | 5 |
| First Citizens BancShares Inc. Class A | 29 | 5 |
| CVB Financial Corp. | 474 | 5 |
| MarketAxess Holdings Inc. | 152 | 5 |
| Education Realty Trust Inc. | 489 | 5 |
| LTC Properties Inc. | 161 | 5 |
| Alexander's Inc. | 13 | 5 |
| Redwood Trust Inc. | 416 | 5 |
| * BBCN Bancorp Inc. | 467 | 5 |
| Park National Corp. | 68 | 5 |
| * Financial Engines Inc. | 203 | 5 |
| Fifth Street Finance Corp. | 472 | 5 |
| PrivateBancorp Inc. Class A | 318 | 5 |
| First Midwest Bancorp Inc. | 395 | 5 |
| Tower Group Inc. | 196 | 5 |
| BankUnited Inc. | 196 | 5 |
| Primerica Inc. | 180 | 5 |
| * MGIC Investment Corp. | 996 | 4 |
| Solar Capital Ltd. | 193 | 4 |
| Columbia Banking System Inc. | 209 | 4 |
| Provident Financial Services Inc. | 321 | 4 |
| Government Properties Income Trust | 188 | 4 |
| Bank of the Ozarks Inc. | 149 | 4 |
| Argo Group International Holdings Ltd. | 145 | 4 |
| * DFC Global Corp. | 231 | 4 |
| * PHH Corp. | 298 | 4 |
| Astoria Financial Corp. | 461 | 4 |
| NBT Bancorp Inc. | 183 | 4 |
| CNA Financial Corp. | 141 | 4 |
| Pennsylvania REIT | 296 | 4 |
| * TFS Financial Corp. | 423 | 4 |
| Boston Private Financial Holdings Inc. | 408 | 4 |
| Franklin Street Properties Corp. | 375 | 4 |
| American Equity Investment Life Holding Co. | 315 | 4 |
| BlackRock Kelso Capital Corp. | 388 | 4 |
| * Green Dot Corp. Class A | 118 | 4 |
| Hersha Hospitality Trust Class A | 747 | 4 |
| American Assets Trust Inc. | 171 | 4 |
| Harleysville Group Inc. | 65 | 4 |
| Horace Mann Educators Corp. | 211 | 4 |
| Infinity Property & Casualty Corp. | 66 | 4 |
| Nelnet Inc. Class A | 136 | 4 |
| Retail Opportunity Investments Corp. | 308 | 4 |
| Cousins Properties Inc. | 484 | 4 |
| * National Financial Partners Corp. | 234 | 4 |
| Symetra Financial Corp. | 359 | 4 |
| * Investors Bancorp Inc. | 245 | 4 |
| Inland Real Estate Corp. | 410 | 4 |
| Employers Holdings Inc. | 205 | 4 |
| Oritani Financial Corp. | 271 | 4 |
| First Potomac Realty Trust | 266 | 4 |
| * Greenlight Capital Re Ltd. Class A | 149 | 4 |
| * Enstar Group Ltd. | 36 | 3 |
| PacWest Bancorp | 160 | 3 |
| * iStar Financial Inc. | 493 | 3 |
| PennantPark Investment Corp. | 314 | 3 |
| Amtrust Financial Services Inc. | 128 | 3 |
| CreXus Investment Corp. | 303 | 3 |
| * Credit Acceptance Corp. | 35 | 3 |
| First Commonwealth Financial Corp. | 555 | 3 |
| Associated Estates Realty Corp. | 219 | 3 |
| Investors Real Estate Trust | 425 | 3 |
17
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Brookline Bancorp Inc. | 350 | 3 |
| Chemical Financial Corp. | 145 | 3 |
| Compass Diversified Holdings | 214 | 3 |
| KBW Inc. | 192 | 3 |
| S&T Bancorp Inc. | 148 | 3 |
| Independent Bank Corp. | 113 | 3 |
| Cohen & Steers Inc. | 94 | 3 |
| Interactive Brokers Group Inc. | 194 | 3 |
| Evercore Partners Inc. Class A | 112 | 3 |
| Newcastle Investment Corp. | 558 | 3 |
| Advance America Cash Advance Centers Inc. | 293 | 3 |
| * Virtus Investment Partners Inc. | 38 | 3 |
| Triangle Capital Corp. | 155 | 3 |
| Main Street Capital Corp. | 129 | 3 |
| * Pinnacle Financial Partners Inc. | 181 | 3 |
| Chesapeake Lodging Trust | 170 | 3 |
| * Western Alliance Bancorp | 367 | 3 |
| Home Bancshares Inc. | 118 | 3 |
| * Forestar Group Inc. | 188 | 3 |
| Dynex Capital Inc. | 310 | 3 |
| * Navigators Group Inc. | 62 | 3 |
| Radian Group Inc. | 766 | 3 |
| Colony Financial Inc. | 174 | 3 |
| Hercules Technology Growth Capital Inc. | 280 | 3 |
| Banco Latinoamericano de Comercio Exterior SA | 147 | 3 |
| Safety Insurance Group Inc. | 67 | 3 |
| Epoch Holding Corp. | 113 | 3 |
| BGC Partners Inc. Class A | 400 | 3 |
| Oriental Financial Group Inc. | 239 | 3 |
| Sabra Health Care REIT Inc. | 196 | 3 |
| City Holding Co. | 81 | 3 |
| ViewPoint Financial Group | 185 | 3 |
| Walter Investment Management Corp. | 136 | 3 |
| * Sterling Financial Corp. | 142 | 3 |
| * State Bank Financial Corp. | 167 | 3 |
| NorthStar Realty Finance Corp. | 507 | 3 |
| Meadowbrook Insurance Group Inc. | 282 | 3 |
| * PICO Holdings Inc. | 120 | 3 |
| Trustco Bank Corp. NY | 494 | 3 |
| PennyMac Mortgage Investment Trust | 147 | 3 |
| Provident New York Bancorp | 309 | 3 |
| American National Insurance Co. | 36 | 3 |
| RLJ Lodging Trust | 146 | 3 |
| * FelCor Lodging Trust Inc. | 659 | 3 |
| * Investment Technology Group Inc. | 219 | 3 |
| Tompkins Financial Corp. | 61 | 3 |
| Simmons First National Corp. Class A | 92 | 2 |
| Ashford Hospitality Trust Inc. | 285 | 2 |
| Berkshire Hills Bancorp Inc. | 109 | 2 |
| Universal Health Realty Income Trust | 63 | 2 |
| WesBanco Inc. | 122 | 2 |
| Getty Realty Corp. | 139 | 2 |
| Monmouth Real Estate Investment Corp. Class A | 250 | 2 |
| Coresite Realty Corp. | 109 | 2 |
| Urstadt Biddle Properties Inc. Class A | 122 | 2 |
| Lakeland Financial Corp. | 92 | 2 |
| Maiden Holdings Ltd. | 268 | 2 |
| Sandy Spring Bancorp Inc. | 128 | 2 |
| United Fire Group Inc. | 115 | 2 |
| FBL Financial Group Inc. Class A | 68 | 2 |
| Dime Community Bancshares Inc. | 165 | 2 |
| SCBT Financial Corp. | 74 | 2 |
| Community Trust Bancorp Inc. | 74 | 2 |
| Resource Capital Corp. | 394 | 2 |
18
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Ramco-Gershenson Properties Trust | 204 | 2 |
| * AMERISAFE Inc. | 99 | 2 |
| * Tejon Ranch Co. | 76 | 2 |
| * HFF Inc. Class A | 154 | 2 |
| Duff & Phelps Corp. Class A | 161 | 2 |
| Flagstone Reinsurance Holdings SA | 278 | 2 |
| Flushing Financial Corp. | 169 | 2 |
| * United Community Banks Inc. | 239 | 2 |
| * Citizens Inc. | 200 | 2 |
| * Piper Jaffray Cos. | 85 | 2 |
| First Financial Corp. | 65 | 2 |
| Excel Trust Inc. | 172 | 2 |
| Renasant Corp. | 135 | 2 |
| Southside Bancshares Inc. | 96 | 2 |
| Rockville Financial Inc. | 173 | 2 |
| * Safeguard Scientifics Inc. | 118 | 2 |
| 1st Source Corp. | 81 | 2 |
| MCG Capital Corp. | 411 | 2 |
| First Busey Corp. | 407 | 2 |
| Winthrop Realty Trust | 172 | 2 |
| Banner Corp. | 93 | 2 |
| * Hilltop Holdings Inc. | 228 | 2 |
| Centerstate Banks Inc. | 266 | 2 |
| TICC Capital Corp. | 190 | 2 |
| First Merchants Corp. | 162 | 2 |
| * ICG Group Inc. | 207 | 2 |
| Apollo Commercial Real Estate Finance Inc. | 120 | 2 |
| * INTL. FCStone Inc. | 79 | 2 |
| Washington Trust Bancorp Inc. | 76 | 2 |
| Hudson Pacific Properties Inc. | 116 | 2 |
| * Taylor Capital Group Inc. | 131 | 2 |
| * West Coast Bancorp | 102 | 2 |
| * Rouse Properties Inc. | 119 | 2 |
| * Hanmi Financial Corp. | 200 | 2 |
| Campus Crest Communities Inc. | 162 | 2 |
| Kennedy-Wilson Holdings Inc. | 126 | 2 |
| * eHealth Inc. | 113 | 2 |
| TowneBank | 129 | 2 |
| GAMCO Investors Inc. | 36 | 2 |
| Cardinal Financial Corp. | 153 | 2 |
| CapLease Inc. | 407 | 2 |
| AG Mortgage Investment Trust Inc. | 81 | 2 |
| * Wilshire Bancorp Inc. | 371 | 2 |
| * Ameris Bancorp | 139 | 2 |
| OneBeacon Insurance Group Ltd. Class A | 105 | 2 |
| Bancfirst Corp. | 39 | 2 |
| Terreno Realty Corp. | 112 | 2 |
| Camden National Corp. | 45 | 2 |
| * Beneficial Mutual Bancorp Inc. | 175 | 2 |
| Summit Hotel Properties Inc. | 170 | 2 |
| * Netspend Holdings Inc. | 181 | 2 |
| GFI Group Inc. | 405 | 2 |
| * Doral Financial Corp. | 1,092 | 2 |
| Cedar Realty Trust Inc. | 315 | 2 |
| National Western Life Insurance Co. Class A | 11 | 1 |
| German American Bancorp Inc. | 76 | 1 |
| Kite Realty Group Trust | 303 | 1 |
| Capital Southwest Corp. | 16 | 1 |
| Saul Centers Inc. | 39 | 1 |
| * Eagle Bancorp Inc. | 95 | 1 |
| Agree Realty Corp. | 61 | 1 |
| United Financial Bancorp Inc. | 92 | 1 |
| * Global Indemnity plc | 76 | 1 |
| * NewStar Financial Inc. | 147 | 1 |
19
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Territorial Bancorp Inc. | 69 | 1 |
| Trico Bancshares | 89 | 1 |
| MVC Capital Inc. | 114 | 1 |
| Republic Bancorp Inc. Class A | 54 | 1 |
| StellarOne Corp. | 121 | 1 |
| First Connecticut Bancorp Inc. | 109 | 1 |
| SY Bancorp Inc. | 64 | 1 |
| Univest Corp. of Pennsylvania | 88 | 1 |
| Great Southern Bancorp Inc. | 63 | 1 |
| Bryn Mawr Bank Corp. | 70 | 1 |
| * Phoenix Cos. Inc. | 663 | 1 |
| Parkway Properties Inc. | 137 | 1 |
| Westfield Financial Inc. | 172 | 1 |
| Westwood Holdings Group Inc. | 35 | 1 |
| Heartland Financial USA Inc. | 86 | 1 |
| Northfield Bancorp Inc. | 98 | 1 |
| Hudson Valley Holding Corp. | 82 | 1 |
| Citizens & Northern Corp. | 66 | 1 |
| Calamos Asset Management Inc. Class A | 107 | 1 |
| RAIT Financial Trust | 247 | 1 |
| WSFS Financial Corp. | 34 | 1 |
| Union First Market Bankshares Corp. | 93 | 1 |
| * Bancorp Inc. | 154 | 1 |
| First Interstate Bancsystem Inc. | 93 | 1 |
| * Central Pacific Financial Corp. | 91 | 1 |
| Sterling Bancorp | 141 | 1 |
| Cogdell Spencer Inc. | 293 | 1 |
| Arrow Financial Corp. | 51 | 1 |
| * Cowen Group Inc. Class A | 436 | 1 |
| Financial Institutions Inc. | 72 | 1 |
| Heritage Financial Corp. | 86 | 1 |
| CoBiz Financial Inc. | 195 | 1 |
| OceanFirst Financial Corp. | 82 | 1 |
| Gladstone Commercial Corp. | 63 | 1 |
| Gladstone Capital Corp. | 131 | 1 |
| Presidential Life Corp. | 103 | 1 |
| Lakeland Bancorp Inc. | 123 | 1 |
| One Liberty Properties Inc. | 63 | 1 |
| * American Safety Insurance Holdings Ltd. | 55 | 1 |
| Bank of Marin Bancorp | 30 | 1 |
| First Community Bancshares Inc. | 84 | 1 |
| * 1st United Bancorp Inc. | 174 | 1 |
| National Bankshares Inc. | 38 | 1 |
| * Ladenburg Thalmann Financial Services Inc. | 505 | 1 |
| Washington Banking Co. | 80 | 1 |
| NGP Capital Resources Co. | 134 | 1 |
| Baldwin & Lyons Inc. | 47 | 1 |
| * Virginia Commerce Bancorp Inc. | 117 | 1 |
| State Auto Financial Corp. | 70 | 1 |
| Stewart Information Services Corp. | 74 | 1 |
| First Bancorp | 97 | 1 |
| Artio Global Investors Inc. Class A | 202 | 1 |
| MainSource Financial Group Inc. | 94 | 1 |
| * Walker & Dunlop Inc. | 74 | 1 |
| Enterprise Financial Services Corp. | 78 | 1 |
| * Encore Bancshares Inc. | 62 | 1 |
| Penns Woods Bancorp Inc. | 23 | 1 |
| * OmniAmerican Bancorp Inc. | 50 | 1 |
| Peoples Bancorp Inc. | 54 | 1 |
| West Bancorporation Inc. | 90 | 1 |
| * Manning & Napier Inc. | 67 | 1 |
| Marlin Business Services Corp. | 54 | 1 |
| Federal Agricultural Mortgage Corp. | 42 | 1 |
| CNB Financial Corp. | 54 | 1 |
20
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Kansas City Life Insurance Co. | 26 | 1 |
| Apollo Residential Mortgage Inc. | 46 | 1 |
| Ames National Corp. | 38 | 1 |
| Mission West Properties Inc. | 81 | 1 |
| Merchants Bancshares Inc. | 29 | 1 |
| First of Long Island Corp. | 31 | 1 |
| Medallion Financial Corp. | 72 | 1 |
| STAG Industrial Inc. | 63 | 1 |
| National Interstate Corp. | 32 | 1 |
| Diamond Hill Investment Group Inc. | 10 | 1 |
| Gladstone Investment Corp. | 95 | 1 |
| JMP Group Inc. | 103 | 1 |
| Bank Mutual Corp. | 186 | 1 |
| Kearny Financial Corp. | 78 | 1 |
| * Meridian Interstate Bancorp Inc. | 56 | 1 |
| First Financial Holdings Inc. | 74 | 1 |
| Fox Chase Bancorp Inc. | 57 | 1 |
| * Franklin Financial Corp. | 52 | 1 |
| American Capital Mortgage Investment Corp. | 32 | 1 |
| ESB Financial Corp. | 54 | 1 |
| * BofI Holding Inc. | 42 | 1 |
| Consolidated-Tomoka Land Co. | 23 | 1 |
| Alliance Financial Corp. | 23 | 1 |
| SeaBright Holdings Inc. | 83 | 1 |
| First Bancorp Inc. | 45 | 1 |
| ESSA Bancorp Inc. | 70 | 1 |
| Home Federal Bancorp Inc. | 67 | 1 |
| FXCM Inc. Class A | 71 | 1 |
| * Metro Bancorp Inc. | 63 | 1 |
| Pacific Continental Corp. | 79 | 1 |
| SWS Group Inc. | 118 | 1 |
| THL Credit Inc. | 51 | 1 |
| Bridge Bancorp Inc. | 32 | 1 |
| Golub Capital BDC Inc. | 42 | 1 |
| Edelman Financial Group Inc. | 94 | 1 |
| Oppenheimer Holdings Inc. Class A | 37 | 1 |
| UMH Properties Inc. | 61 | 1 |
| Arlington Asset Investment Corp. Class A | 26 | 1 |
| Fidus Investment Corp. | 42 | 1 |
| * Harris & Harris Group Inc. | 136 | 1 |
| * Suffolk Bancorp | 48 | 1 |
| First Defiance Financial Corp. | 37 | 1 |
| Bank of Kentucky Financial Corp. | 23 | 1 |
| Century Bancorp Inc. Class A | 23 | 1 |
| Chatham Lodging Trust | 47 | 1 |
| Capital City Bank Group Inc. | 72 | 1 |
| * Southwest Bancorp Inc. | 66 | 1 |
| Sierra Bancorp | 60 | 1 |
| Kohlberg Capital Corp. | 78 | 1 |
| * MPG Office Trust Inc. | 241 | 1 |
| * FBR & Co. | 212 | 1 |
| Crawford & Co. Class B | 119 | 1 |
| Nicholas Financial Inc. | 39 | 1 |
| * Park Sterling Corp. | 110 | 1 |
| * Seacoast Banking Corp. of Florida | 269 | — |
| * Gleacher & Co. Inc. | 327 | — |
| Center Bancorp Inc. | 51 | — |
| * AV Homes Inc. | 46 | — |
| * Pacific Capital Bancorp NA | 17 | — |
| BankFinancial Corp. | 83 | — |
| * Flagstar Bancorp Inc. | 640 | — |
| * Heritage Commerce Corp. | 86 | — |
| Whitestone REIT Class B | 34 | — |
| New Mountain Finance Corp. | 33 | — |
21
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Sun Bancorp Inc. | 152 | — |
| Solar Senior Capital Ltd. | 25 | — |
| * Bridge Capital Holdings | 35 | — |
| Medley Capital Corp. | 36 | — |
| Enterprise Bancorp Inc. | 25 | — |
| First Pactrust Bancorp Inc. | 33 | — |
| * Cape Bancorp Inc. | 43 | — |
| Independence Holding Co. | 35 | — |
| Charter Financial Corp. | 31 | — |
| MidSouth Bancorp Inc. | 23 | — |
| Donegal Group Inc. Class A | 21 | — |
| Orrstown Financial Services Inc. | 30 | — |
| EMC Insurance Group Inc. | 11 | — |
| Gain Capital Holdings Inc. | 42 | — |
| * Hallmark Financial Services | 31 | — |
| * Fortegra Financial Corp. | 29 | — |
| * Cascade Bancorp | 34 | — |
| Clifton Savings Bancorp Inc. | 18 | — |
| Universal Insurance Holdings Inc. | 43 | — |
| Roma Financial Corp. | 15 | — |
| * Capital Bank Corp. | 65 | — |
| * CIFC Corp. | 27 | — |
| * Imperial Holdings Inc. | 54 | — |
| California First National Bancorp | 8 | — |
| * First Marblehead Corp. | 91 | — |
| * Hampton Roads Bankshares Inc. | 38 | — |
| Pzena Investment Management Inc. Class A | 19 | — |
| 13,407 | ||
| Health Care (11.3%) | ||
| Johnson & Johnson | 15,682 | 1,021 |
| Pfizer Inc. | 45,201 | 954 |
| Merck & Co. Inc. | 17,658 | 674 |
| Abbott Laboratories | 8,890 | 503 |
| UnitedHealth Group Inc. | 6,203 | 346 |
| Bristol-Myers Squibb Co. | 9,760 | 314 |
| Amgen Inc. | 4,554 | 309 |
| Medtronic Inc. | 6,123 | 233 |
| Eli Lilly & Co. | 5,848 | 229 |
| * Gilead Sciences Inc. | 4,503 | 205 |
| Baxter International Inc. | 3,262 | 190 |
| * Celgene Corp. | 2,510 | 184 |
| * Biogen Idec Inc. | 1,384 | 161 |
| Allergan Inc. | 1,747 | 157 |
| * Medco Health Solutions Inc. | 2,293 | 155 |
| * Express Scripts Inc. | 2,801 | 149 |
| Covidien plc | 2,844 | 149 |
| WellPoint Inc. | 1,998 | 131 |
| * Thermo Fisher Scientific Inc. | 2,186 | 124 |
| McKesson Corp. | 1,439 | 120 |
| * Intuitive Surgical Inc. | 225 | 115 |
| Aetna Inc. | 2,167 | 101 |
| Stryker Corp. | 1,791 | 96 |
| Becton Dickinson and Co. | 1,251 | 95 |
| * Alexion Pharmaceuticals Inc. | 1,052 | 88 |
| * Agilent Technologies Inc. | 1,990 | 87 |
| Humana Inc. | 964 | 84 |
| Cardinal Health Inc. | 2,006 | 83 |
| St. Jude Medical Inc. | 1,883 | 79 |
| Cigna Corp. | 1,637 | 72 |
| * Zimmer Holdings Inc. | 1,030 | 63 |
| * Cerner Corp. | 819 | 60 |
| * Mylan Inc. | 2,527 | 59 |
| AmerisourceBergen Corp. Class A | 1,488 | 56 |
| Quest Diagnostics Inc. | 908 | 53 |
22
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Laboratory Corp. of America Holdings | 579 | 52 |
| * Boston Scientific Corp. | 8,302 | 52 |
| * Forest Laboratories Inc. | 1,542 | 50 |
| Perrigo Co. | 475 | 49 |
| * Life Technologies Corp. | 1,032 | 49 |
| * Edwards Lifesciences Corp. | 663 | 48 |
| * DaVita Inc. | 552 | 48 |
| * Waters Corp. | 530 | 48 |
| CR Bard Inc. | 496 | 46 |
| * Vertex Pharmaceuticals Inc. | 1,192 | 46 |
| * Varian Medical Systems Inc. | 678 | 44 |
| * Regeneron Pharmaceuticals Inc. | 418 | 44 |
| * Watson Pharmaceuticals Inc. | 732 | 43 |
| * Henry Schein Inc. | 528 | 39 |
| * Illumina Inc. | 705 | 36 |
| * Hospira Inc. | 949 | 34 |
| * Mettler-Toledo International Inc. | 182 | 33 |
| * CareFusion Corp. | 1,263 | 33 |
| DENTSPLY International Inc. | 796 | 31 |
| * Hologic Inc. | 1,479 | 31 |
| * IDEXX Laboratories Inc. | 325 | 28 |
| * Coventry Health Care Inc. | 838 | 27 |
| * ResMed Inc. | 865 | 25 |
| * SXC Health Solutions Corp. | 350 | 25 |
| * Endo Pharmaceuticals Holdings Inc. | 659 | 24 |
| Omnicare Inc. | 656 | 23 |
| Universal Health Services Inc. Class B | 511 | 23 |
| * BioMarin Pharmaceutical Inc. | 627 | 22 |
| Cooper Cos. Inc. | 262 | 21 |
| * Allscripts Healthcare Solutions Inc. | 1,076 | 21 |
| * Mednax Inc. | 273 | 20 |
| * QIAGEN NV | 1,321 | 20 |
| * Gen-Probe Inc. | 271 | 19 |
| * Health Net Inc. | 472 | 18 |
| PerkinElmer Inc. | 647 | 17 |
| HCA Holdings Inc. | 642 | 17 |
| * AMERIGROUP Corp. | 249 | 17 |
| Patterson Cos. Inc. | 529 | 17 |
| * WellCare Health Plans Inc. | 245 | 17 |
| * Covance Inc. | 344 | 16 |
| * Salix Pharmaceuticals Ltd. | 332 | 16 |
| * Warner Chilcott plc Class A | 962 | 16 |
| * Sirona Dental Systems Inc. | 319 | 16 |
| * HMS Holdings Corp. | 483 | 16 |
| * Catalyst Health Solutions Inc. | 245 | 15 |
| Techne Corp. | 212 | 15 |
| * Cepheid Inc. | 373 | 15 |
| * Cubist Pharmaceuticals Inc. | 344 | 15 |
| * athenahealth Inc. | 204 | 14 |
| * Community Health Systems Inc. | 561 | 14 |
| * Centene Corp. | 290 | 14 |
| * United Therapeutics Corp. | 295 | 14 |
| * Tenet Healthcare Corp. | 2,449 | 14 |
| Lincare Holdings Inc. | 513 | 14 |
| * Onyx Pharmaceuticals Inc. | 359 | 14 |
| Teleflex Inc. | 231 | 14 |
| * Amylin Pharmaceuticals Inc. | 784 | 13 |
| * Viropharma Inc. | 411 | 13 |
| * Ariad Pharmaceuticals Inc. | 896 | 13 |
| * Alere Inc. | 496 | 13 |
| Medicis Pharmaceutical Corp. Class A | 358 | 13 |
| * Vivus Inc. | 552 | 12 |
| Hill-Rom Holdings Inc. | 365 | 12 |
| * Medivation Inc. | 188 | 12 |
23
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Myriad Genetics Inc. | 504 | 12 |
| * Questcor Pharmaceuticals Inc. | 307 | 12 |
| * Bio-Rad Laboratories Inc. Class A | 116 | 12 |
| * Thoratec Corp. | 336 | 12 |
| * HealthSouth Corp. | 563 | 11 |
| Owens & Minor Inc. | 375 | 11 |
| * VCA Antech Inc. | 509 | 11 |
| * Charles River Laboratories International Inc. | 311 | 11 |
| STERIS Corp. | 348 | 11 |
| * Health Management Associates Inc. Class A | 1,479 | 11 |
| * LifePoint Hospitals Inc. | 278 | 11 |
| * Brookdale Senior Living Inc. Class A | 578 | 11 |
| * Seattle Genetics Inc. | 569 | 11 |
| * Haemonetics Corp. | 153 | 10 |
| Quality Systems Inc. | 234 | 10 |
| * Alkermes plc | 564 | 10 |
| * Dendreon Corp. | 869 | 10 |
| * Zoll Medical Corp. | 133 | 10 |
| * Align Technology Inc. | 367 | 9 |
| * Impax Laboratories Inc. | 396 | 9 |
| * Incyte Corp. Ltd. | 534 | 9 |
| * Human Genome Sciences Inc. | 1,139 | 9 |
| * Volcano Corp. | 319 | 9 |
| * PAREXEL International Corp. | 360 | 9 |
| West Pharmaceutical Services Inc. | 204 | 8 |
| * Bruker Corp. | 528 | 8 |
| * Par Pharmaceutical Cos. Inc. | 223 | 8 |
| * PSS World Medical Inc. | 336 | 8 |
| * Magellan Health Services Inc. | 170 | 8 |
| * MAKO Surgical Corp. | 204 | 8 |
| * Theravance Inc. | 416 | 8 |
| * Medicines Co. | 340 | 7 |
| * Masimo Corp. | 333 | 7 |
| * Pharmacyclics Inc. | 283 | 7 |
| Chemed Corp. | 113 | 7 |
| * Cyberonics Inc. | 181 | 7 |
| * Jazz Pharmaceuticals plc | 127 | 7 |
| * Accretive Health Inc. | 253 | 7 |
| * Acorda Therapeutics Inc. | 248 | 7 |
| * Immunogen Inc. | 469 | 6 |
| * Air Methods Corp. | 71 | 6 |
| * MWI Veterinary Supply Inc. | 72 | 6 |
| * Auxilium Pharmaceuticals Inc. | 305 | 6 |
| * Molina Healthcare Inc. | 176 | 6 |
| * Halozyme Therapeutics Inc. | 509 | 6 |
| * Micromet Inc. | 524 | 6 |
| * Idenix Pharmaceuticals Inc. | 432 | 5 |
| * Spectrum Pharmaceuticals Inc. | 345 | 5 |
| * Exelixis Inc. | 850 | 5 |
| * Insulet Corp. | 244 | 5 |
| * Isis Pharmaceuticals Inc. | 528 | 5 |
| * NxStage Medical Inc. | 237 | 5 |
| PDL BioPharma Inc. | 741 | 5 |
| * HeartWare International Inc. | 64 | 5 |
| * Luminex Corp. | 200 | 5 |
| * CONMED Corp. | 150 | 4 |
| * Nektar Therapeutics | 605 | 4 |
| * Amsurg Corp. Class A | 166 | 4 |
| * NuVasive Inc. | 276 | 4 |
| * Neogen Corp. | 123 | 4 |
| * Ironwood Pharmaceuticals Inc. Class A | 309 | 4 |
| * Dynavax Technologies Corp. | 970 | 4 |
| Meridian Bioscience Inc. | 218 | 4 |
| * DexCom Inc. | 359 | 4 |
24
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * InterMune Inc. | 286 | 4 |
| Analogic Corp. | 67 | 4 |
| * Orthofix International NV | 96 | 4 |
| * Arthrocare Corp. | 144 | 4 |
| * Exact Sciences Corp. | 397 | 4 |
| * Akorn Inc. | 297 | 4 |
| * Hanger Orthopedic Group Inc. | 178 | 4 |
| * Rigel Pharmaceuticals Inc. | 364 | 4 |
| * MedAssets Inc. | 253 | 4 |
| * Momenta Pharmaceuticals Inc. | 245 | 4 |
| Computer Programs & Systems Inc. | 59 | 4 |
| * ABIOMED Inc. | 168 | 4 |
| * Integra LifeSciences Holdings Corp. | 111 | 4 |
| * Alnylam Pharmaceuticals Inc. | 258 | 3 |
| * Endologix Inc. | 260 | 3 |
| * Wright Medical Group Inc. | 207 | 3 |
| * NPS Pharmaceuticals Inc. | 472 | 3 |
| * Sequenom Inc. | 742 | 3 |
| * Abaxis Inc. | 120 | 3 |
| * IPC The Hospitalist Co. Inc. | 87 | 3 |
| * Optimer Pharmaceuticals Inc. | 245 | 3 |
| * Team Health Holdings Inc. | 142 | 3 |
| * Neurocrine Biosciences Inc. | 389 | 3 |
| * Greatbatch Inc. | 123 | 3 |
| * Emeritus Corp. | 162 | 3 |
| * ICU Medical Inc. | 64 | 3 |
| * Opko Health Inc. | 576 | 3 |
| * Ardea Biosciences Inc. | 133 | 3 |
| * Kindred Healthcare Inc. | 275 | 3 |
| * Merit Medical Systems Inc. | 222 | 3 |
| Landauer Inc. | 50 | 3 |
| * Genomic Health Inc. | 90 | 3 |
| * Achillion Pharmaceuticals Inc. | 250 | 3 |
| * Bio-Reference Labs Inc. | 130 | 3 |
| * Omnicell Inc. | 175 | 3 |
| * OraSure Technologies Inc. | 260 | 3 |
| * Triple-S Management Corp. Class B | 107 | 3 |
| Invacare Corp. | 152 | 3 |
| * AVANIR Pharmaceuticals Inc. | 901 | 2 |
| * Accuray Inc. | 361 | 2 |
| National Healthcare Corp. | 54 | 2 |
| * Sunrise Senior Living Inc. | 310 | 2 |
| Ensign Group Inc. | 87 | 2 |
| * Conceptus Inc. | 171 | 2 |
| * Arqule Inc. | 320 | 2 |
| * Hi-Tech Pharmacal Co. Inc. | 56 | 2 |
| * Medidata Solutions Inc. | 111 | 2 |
| * AVEO Pharmaceuticals Inc. | 166 | 2 |
| * Quidel Corp. | 151 | 2 |
| * Select Medical Holdings Corp. | 252 | 2 |
| Cantel Medical Corp. | 105 | 2 |
| * Staar Surgical Co. | 201 | 2 |
| * LHC Group Inc. | 123 | 2 |
| * Gentiva Health Services Inc. | 261 | 2 |
| * Emergent Biosolutions Inc. | 133 | 2 |
| * Depomed Inc. | 322 | 2 |
| * Affymax Inc. | 198 | 2 |
| * Metropolitan Health Networks Inc. | 240 | 2 |
| * MAP Pharmaceuticals Inc. | 125 | 2 |
| * Amedisys Inc. | 156 | 2 |
| * ISTA Pharmaceuticals Inc. | 241 | 2 |
| Universal American Corp. | 171 | 2 |
| * Palomar Medical Technologies Inc. | 173 | 2 |
| * PharMerica Corp. | 155 | 2 |
25
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Santarus Inc. | 419 | 2 |
| * HealthStream Inc. | 91 | 2 |
| * Merge Healthcare Inc. | 284 | 2 |
| * AMAG Pharmaceuticals Inc. | 117 | 2 |
| * Oncothyreon Inc. | 222 | 2 |
| * Curis Inc. | 403 | 2 |
| * Natus Medical Inc. | 171 | 2 |
| * AngioDynamics Inc. | 137 | 2 |
| * MModal Inc. | 172 | 2 |
| * eResearchTechnology Inc. | 272 | 2 |
| * ExamWorks Group Inc. | 165 | 2 |
| * Lexicon Pharmaceuticals Inc. | 998 | 2 |
| * ZIOPHARM Oncology Inc. | 341 | 2 |
| * Vanguard Health Systems Inc. | 168 | 2 |
| Assisted Living Concepts Inc. Class A | 103 | 2 |
| Atrion Corp. | 8 | 2 |
| * Healthways Inc. | 207 | 2 |
| * Navidea Biopharmaceuticals Inc. | 547 | 2 |
| * Progenics Pharmaceuticals Inc. | 168 | 2 |
| * Almost Family Inc. | 70 | 2 |
| * Affymetrix Inc. | 380 | 2 |
| * Sangamo Biosciences Inc. | 300 | 2 |
| * Tornier NV | 67 | 2 |
| * Cadence Pharmaceuticals Inc. | 415 | 2 |
| * Ligand Pharmaceuticals Inc. Class B | 106 | 2 |
| * Geron Corp. | 775 | 2 |
| * Raptor Pharmaceutical Corp. | 221 | 2 |
| * Corvel Corp. | 34 | 2 |
| * Enzon Pharmaceuticals Inc. | 213 | 2 |
| * Delcath Systems Inc. | 338 | 1 |
| * Clovis Oncology Inc. | 57 | 1 |
| * BioScrip Inc. | 221 | 1 |
| * Symmetry Medical Inc. | 192 | 1 |
| * Array Biopharma Inc. | 484 | 1 |
| * Cell Therapeutics Inc. | 1,052 | 1 |
| * Vical Inc. | 419 | 1 |
| * Hansen Medical Inc. | 406 | 1 |
| * Arena Pharmaceuticals Inc. | 720 | 1 |
| * SurModics Inc. | 89 | 1 |
| * Spectranetics Corp. | 161 | 1 |
| * Capital Senior Living Corp. | 139 | 1 |
| Kensey Nash Corp. | 52 | 1 |
| * Cynosure Inc. Class A | 65 | 1 |
| * Providence Service Corp. | 76 | 1 |
| * Targacept Inc. | 166 | 1 |
| * Unilife Corp. | 300 | 1 |
| * Five Star Quality Care Inc. | 312 | 1 |
| * Immunomedics Inc. | 297 | 1 |
| * Cambrex Corp. | 155 | 1 |
| * Transcend Services Inc. | 47 | 1 |
| US Physical Therapy Inc. | 52 | 1 |
| * Vascular Solutions Inc. | 94 | 1 |
| * MannKind Corp. | 419 | 1 |
| * Chelsea Therapeutics International Ltd. | 260 | 1 |
| * Savient Pharmaceuticals Inc. | 463 | 1 |
| * Antares Pharma Inc. | 365 | 1 |
| * Cerus Corp. | 240 | 1 |
| * Keryx Biopharmaceuticals Inc. | 270 | 1 |
| * RTI Biologics Inc. | 242 | 1 |
| * XenoPort Inc. | 222 | 1 |
| * Biotime Inc. | 170 | 1 |
| * AMN Healthcare Services Inc. | 157 | 1 |
| * IRIS International Inc. | 75 | 1 |
| * Obagi Medical Products Inc. | 73 | 1 |
26
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Furiex Pharmaceuticals Inc. | 44 | 1 |
| * Solta Medical Inc. | 276 | 1 |
| Young Innovations Inc. | 25 | 1 |
| * BioCryst Pharmaceuticals Inc. | 162 | 1 |
| * Aegerion Pharmaceuticals Inc. | 45 | 1 |
| * Nymox Pharmaceutical Corp. | 92 | 1 |
| * Infinity Pharmaceuticals Inc. | 88 | 1 |
| * Celldex Therapeutics Inc. | 189 | 1 |
| * Maxygen Inc. | 130 | 1 |
| * CryoLife Inc. | 130 | 1 |
| * Corcept Therapeutics Inc. | 179 | 1 |
| * Dyax Corp. | 457 | 1 |
| * Cytori Therapeutics Inc. | 209 | 1 |
| * Sciclone Pharmaceuticals Inc. | 142 | 1 |
| * Codexis Inc. | 168 | 1 |
| * Cross Country Healthcare Inc. | 113 | 1 |
| * Pozen Inc. | 141 | 1 |
| * Metabolix Inc. | 221 | 1 |
| * Anthera Pharmaceuticals Inc. | 91 | 1 |
| * Sagent Pharmaceuticals Inc. | 27 | 1 |
| * Rockwell Medical Technologies Inc. | 61 | 1 |
| * Synergetics USA Inc. | 91 | 1 |
| * Exactech Inc. | 36 | 1 |
| * OncoGenex Pharmaceutical Inc. | 34 | 1 |
| * Vanda Pharmaceuticals Inc. | 116 | 1 |
| * Cleveland Biolabs Inc. | 142 | 1 |
| * AtriCure Inc. | 51 | 1 |
| * Pacific Biosciences of California Inc. | 124 | 1 |
| * Biosante Pharmaceuticals Inc. | 648 | 1 |
| * Medtox Scientific Inc. | 32 | 1 |
| * Pain Therapeutics Inc. | 134 | 1 |
| * Osiris Therapeutics Inc. | 94 | 1 |
| * AVI BioPharma Inc. | 453 | — |
| * Cardiovascular Systems Inc. | 52 | — |
| * Alphatec Holdings Inc. | 248 | — |
| * Dusa Pharmaceuticals Inc. | 96 | — |
| * Sun Healthcare Group Inc. | 103 | — |
| * Zeltiq Aesthetics Inc. | 40 | — |
| * Insmed Inc. | 103 | — |
| * Enzo Biochem Inc. | 169 | — |
| * Synta Pharmaceuticals Corp. | 90 | — |
| * Allos Therapeutics Inc. | 288 | — |
| * Astex Pharmaceuticals | 234 | — |
| * Medical Action Industries Inc. | 79 | — |
| * RadNet Inc. | 140 | — |
| * Novavax Inc. | 323 | — |
| * Orexigen Therapeutics Inc. | 103 | — |
| * Fluidigm Corp. | 28 | — |
| * Amicus Therapeutics Inc. | 67 | — |
| * Harvard Bioscience Inc. | 96 | — |
| * Chindex International Inc. | 42 | — |
| * Sucampo Pharmaceuticals Inc. Class A | 53 | — |
| * CardioNet Inc. | 121 | — |
| * SIGA Technologies Inc. | 135 | — |
| * Skilled Healthcare Group Inc. | 58 | — |
| * Biolase Technology Inc. | 138 | — |
| * Albany Molecular Research Inc. | 131 | — |
| * Nabi Biopharmaceuticals | 181 | — |
| * Ampio Pharmaceuticals Inc. | 85 | — |
| * GTx Inc. | 94 | — |
| * Peregrine Pharmaceuticals Inc. | 346 | — |
| * NewLink Genetics Corp. | 37 | — |
| * Pacira Pharmaceuticals Inc. | 29 | — |
| * Sunesis Pharmaceuticals Inc. | 173 | — |
27
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Endocyte Inc. | 84 | — |
| * Anacor Pharmaceuticals Inc. | 49 | — |
| * Durect Corp. | 363 | — |
| * KV Pharmaceutical Co. Class A | 190 | — |
| * Bacterin International Holdings Inc. | 87 | — |
| * Biospecifics Technologies Corp. | 14 | — |
| * PharmAthene Inc. | 156 | — |
| * Alliance HealthCare Services Inc. | 162 | — |
| * BioMimetic Therapeutics Inc. | 102 | — |
| * Transcept Pharmaceuticals Inc. | 25 | — |
| * Zalicus Inc. | 200 | — |
| * Uroplasty Inc. | 70 | — |
| National Research Corp. | 5 | — |
| * Columbia Laboratories Inc. | 287 | — |
| * Lannett Co. Inc. | 44 | — |
| * Stereotaxis Inc. | 232 | — |
| * Pernix Therapeutics Holdings | 19 | — |
| * Trius Therapeutics Inc. | 30 | — |
| * Epocrates Inc. | 16 | — |
| * BG Medicine Inc. | 16 | — |
| * Acura Pharmaceuticals Inc. | 33 | — |
| * Cornerstone Therapeutics Inc. | 15 | — |
| * Complete Genomics Inc. | 23 | — |
| * Neostem Inc. | 144 | — |
| * Alimera Sciences Inc. | 19 | — |
| * Horizon Pharma Inc. | 20 | — |
| * Zogenix Inc. | 28 | — |
| * DynaVox Inc. Class A | 20 | — |
| * Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 32 | — |
| 9,899 | ||
| Industrials (11.4%) | ||
| General Electric Co. | 60,656 | 1,156 |
| United Technologies Corp. | 5,237 | 439 |
| Caterpillar Inc. | 3,689 | 421 |
| 3M Co. | 4,068 | 356 |
| United Parcel Service Inc. Class B | 4,204 | 323 |
| Boeing Co. | 4,224 | 317 |
| Union Pacific Corp. | 2,807 | 309 |
| Honeywell International Inc. | 4,503 | 268 |
| Emerson Electric Co. | 4,301 | 216 |
| Deere & Co. | 2,398 | 199 |
| Danaher Corp. | 3,145 | 166 |
| FedEx Corp. | 1,808 | 163 |
| Illinois Tool Works Inc. | 2,552 | 142 |
| General Dynamics Corp. | 1,907 | 140 |
| Tyco International Ltd. | 2,692 | 140 |
| Precision Castparts Corp. | 823 | 138 |
| Cummins Inc. | 1,123 | 135 |
| Lockheed Martin Corp. | 1,517 | 134 |
| CSX Corp. | 6,325 | 133 |
| Norfolk Southern Corp. | 1,888 | 130 |
| Raytheon Co. | 2,035 | 103 |
| Eaton Corp. | 1,949 | 102 |
| PACCAR Inc. | 2,090 | 96 |
| Waste Management Inc. | 2,710 | 95 |
| Goodrich Corp. | 714 | 90 |
| Northrop Grumman Corp. | 1,494 | 89 |
| Fastenal Co. | 1,688 | 89 |
| Parker Hannifin Corp. | 867 | 78 |
| Stanley Black & Decker Inc. | 965 | 74 |
| Ingersoll-Rand plc | 1,791 | 71 |
| Dover Corp. | 1,071 | 69 |
| WW Grainger Inc. | 327 | 68 |
| Rockwell Automation Inc. | 829 | 66 |
28
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| CH Robinson Worldwide Inc. | 952 | 63 |
| Fluor Corp. | 1,003 | 61 |
| Cooper Industries plc | 950 | 58 |
| Republic Services Inc. Class A | 1,848 | 55 |
| Expeditors International of Washington Inc. | 1,224 | 53 |
| Joy Global Inc. | 605 | 53 |
| Roper Industries Inc. | 554 | 51 |
| Rockwell Collins Inc. | 830 | 49 |
| * Delta Air Lines Inc. | 4,873 | 48 |
| AMETEK Inc. | 930 | 44 |
| * Kansas City Southern | 636 | 44 |
| Textron Inc. | 1,600 | 44 |
| Pall Corp. | 673 | 43 |
| * Stericycle Inc. | 492 | 43 |
| Southwest Airlines Co. | 4,580 | 41 |
| L-3 Communications Holdings Inc. | 572 | 40 |
| * United Continental Holdings Inc. | 1,919 | 40 |
| Flowserve Corp. | 316 | 37 |
| * TransDigm Group Inc. | 283 | 34 |
| * Jacobs Engineering Group Inc. | 717 | 33 |
| Donaldson Co. Inc. | 432 | 32 |
| KBR Inc. | 857 | 31 |
| Iron Mountain Inc. | 943 | 29 |
| * Verisk Analytics Inc. Class A | 673 | 29 |
| Equifax Inc. | 696 | 29 |
| * AGCO Corp. | 536 | 28 |
| Xylem Inc. | 1,041 | 27 |
| * IHS Inc. Class A | 280 | 26 |
| JB Hunt Transport Services Inc. | 517 | 26 |
| Chicago Bridge & Iron Co. NV | 565 | 26 |
| Timken Co. | 495 | 26 |
| Hubbell Inc. Class B | 341 | 26 |
| * Quanta Services Inc. | 1,219 | 25 |
| * BE Aerospace Inc. | 550 | 25 |
| Cintas Corp. | 638 | 25 |
| Masco Corp. | 2,025 | 24 |
| Robert Half International Inc. | 830 | 24 |
| Dun & Bradstreet Corp. | 280 | 23 |
| * WABCO Holdings Inc. | 382 | 23 |
| * Owens Corning | 706 | 22 |
| Lincoln Electric Holdings Inc. | 477 | 22 |
| * Thomas & Betts Corp. | 297 | 21 |
| Pentair Inc. | 557 | 21 |
| Kennametal Inc. | 463 | 21 |
| SPX Corp. | 289 | 21 |
| Waste Connections Inc. | 642 | 21 |
| * Kirby Corp. | 304 | 21 |
| Towers Watson & Co. Class A | 325 | 21 |
| Wabtec Corp. | 273 | 20 |
| Gardner Denver Inc. | 296 | 20 |
| Snap-on Inc. | 329 | 20 |
| Manpower Inc. | 465 | 20 |
| MSC Industrial Direct Co. Inc. Class A | 251 | 20 |
| * Hertz Global Holdings Inc. | 1,382 | 20 |
| IDEX Corp. | 469 | 20 |
| * URS Corp. | 445 | 19 |
| Nordson Corp. | 346 | 19 |
| Pitney Bowes Inc. | 1,035 | 19 |
| Avery Dennison Corp. | 605 | 18 |
| * Clean Harbors Inc. | 265 | 18 |
| Graco Inc. | 347 | 18 |
| * Babcock & Wilcox Co. | 666 | 17 |
| * Navistar International Corp. | 410 | 17 |
| Carlisle Cos. Inc. | 347 | 17 |
29
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Fortune Brands Home & Security Inc. | 875 | 17 |
| * Terex Corp. | 648 | 16 |
| * Spirit Aerosystems Holdings Inc. Class A | 668 | 16 |
| Trinity Industries Inc. | 457 | 16 |
| * AECOM Technology Corp. | 679 | 16 |
| * Copart Inc. | 318 | 16 |
| * WESCO International Inc. | 248 | 16 |
| Acuity Brands Inc. | 250 | 16 |
| Ryder System Inc. | 291 | 15 |
| Woodward Inc. | 350 | 15 |
| * United Rentals Inc. | 366 | 15 |
| Regal-Beloit Corp. | 224 | 15 |
| Landstar System Inc. | 275 | 15 |
| RR Donnelley & Sons Co. | 1,063 | 15 |
| Valmont Industries Inc. | 132 | 15 |
| CLARCOR Inc. | 287 | 14 |
| * Corrections Corp. of America | 569 | 14 |
| * Hexcel Corp. | 560 | 14 |
| * Alaska Air Group Inc. | 204 | 14 |
| Triumph Group Inc. | 216 | 14 |
| * Nielsen Holdings NV | 462 | 14 |
| Crane Co. | 279 | 14 |
| * Genesee & Wyoming Inc. Class A | 227 | 13 |
| Copa Holdings SA Class A | 188 | 13 |
| ITT Corp. | 538 | 13 |
| HEICO Corp. | 239 | 13 |
| * Dollar Thrifty Automotive Group Inc. | 168 | 13 |
| * Teledyne Technologies Inc. | 213 | 13 |
| Manitowoc Co. Inc. | 801 | 13 |
| * Oshkosh Corp. | 527 | 12 |
| Toro Co. | 180 | 12 |
| Lennox International Inc. | 311 | 12 |
| * Shaw Group Inc. | 419 | 12 |
| * Old Dominion Freight Line Inc. | 278 | 12 |
| * Chart Industries Inc. | 173 | 12 |
| Alliant Techsystems Inc. | 196 | 12 |
| Watsco Inc. | 164 | 12 |
| GATX Corp. | 269 | 12 |
| * Moog Inc. Class A | 265 | 12 |
| * Esterline Technologies Corp. | 179 | 12 |
| Actuant Corp. Class A | 407 | 11 |
| Exelis Inc. | 1,085 | 11 |
| Alexander & Baldwin Inc. | 245 | 11 |
| Robbins & Myers Inc. | 229 | 11 |
| Belden Inc. | 280 | 11 |
| Covanta Holding Corp. | 675 | 11 |
| EMCOR Group Inc. | 392 | 11 |
| * Middleby Corp. | 111 | 11 |
| Harsco Corp. | 477 | 11 |
| Mueller Industries Inc. | 227 | 10 |
| * Huntington Ingalls Industries Inc. | 290 | 10 |
| Curtiss-Wright Corp. | 275 | 10 |
| AO Smith Corp. | 226 | 10 |
| Applied Industrial Technologies Inc. | 253 | 10 |
| * Acacia Research Corp. | 255 | 10 |
| UTi Worldwide Inc. | 617 | 10 |
| * FTI Consulting Inc. | 247 | 10 |
| * General Cable Corp. | 313 | 10 |
| Con-way Inc. | 328 | 10 |
| * GrafTech International Ltd. | 748 | 10 |
| * Polypore International Inc. | 230 | 9 |
| * Tetra Tech Inc. | 377 | 9 |
| * RSC Holdings Inc. | 414 | 9 |
| Barnes Group Inc. | 330 | 9 |
30
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Brady Corp. Class A | 283 | 9 |
| * CoStar Group Inc. | 150 | 9 |
| * EnerSys | 266 | 9 |
| Corporate Executive Board Co. | 210 | 9 |
| * Colfax Corp. | 254 | 9 |
| * Avis Budget Group Inc. | 649 | 8 |
| * HUB Group Inc. Class A | 226 | 8 |
| Healthcare Services Group Inc. | 410 | 8 |
| * Advisory Board Co. | 98 | 8 |
| Deluxe Corp. | 316 | 8 |
| Rollins Inc. | 383 | 8 |
| Kaydon Corp. | 205 | 8 |
| * II-VI Inc. | 329 | 8 |
| * JetBlue Airways Corp. | 1,491 | 8 |
| ABM Industries Inc. | 331 | 8 |
| Simpson Manufacturing Co. Inc. | 251 | 7 |
| Herman Miller Inc. | 356 | 7 |
| * Portfolio Recovery Associates Inc. | 107 | 7 |
| Watts Water Technologies Inc. Class A | 187 | 7 |
| Franklin Electric Co. Inc. | 146 | 7 |
| Brink's Co. | 286 | 7 |
| * US Airways Group Inc. | 972 | 7 |
| * CNH Global NV | 166 | 7 |
| United Stationers Inc. | 244 | 7 |
| * Geo Group Inc. | 402 | 7 |
| Raven Industries Inc. | 112 | 7 |
| * Atlas Air Worldwide Holdings Inc. | 165 | 7 |
| Granite Construction Inc. | 245 | 7 |
| HNI Corp. | 277 | 7 |
| * Beacon Roofing Supply Inc. | 287 | 7 |
| Werner Enterprises Inc. | 274 | 7 |
| Knight Transportation Inc. | 387 | 7 |
| Titan International Inc. | 264 | 7 |
| * MasTec Inc. | 357 | 6 |
| Forward Air Corp. | 185 | 6 |
| * Armstrong World Industries Inc. | 121 | 6 |
| * USG Corp. | 409 | 6 |
| Mine Safety Appliances Co. | 156 | 6 |
| * RBC Bearings Inc. | 117 | 5 |
| ESCO Technologies Inc. | 141 | 5 |
| * Swift Transportation Co. | 420 | 5 |
| Kaman Corp. | 139 | 5 |
| Amerco Inc. | 46 | 5 |
| AAR Corp. | 211 | 5 |
| * Air Lease Corp. | 184 | 5 |
| Briggs & Stratton Corp. | 267 | 5 |
| Unifirst Corp. | 75 | 5 |
| * Huron Consulting Group Inc. | 118 | 5 |
| * Blount International Inc. | 257 | 4 |
| Lindsay Corp. | 67 | 4 |
| * Orbital Sciences Corp. | 310 | 4 |
| * Mobile Mini Inc. | 195 | 4 |
| Aircastle Ltd. | 308 | 4 |
| Tennant Co. | 102 | 4 |
| TAL International Group Inc. | 116 | 4 |
| * EnPro Industries Inc. | 110 | 4 |
| * Ceradyne Inc. | 133 | 4 |
| * Rush Enterprises Inc. Class A | 172 | 4 |
| McGrath Rentcorp | 129 | 4 |
| * Astec Industries Inc. | 106 | 4 |
| Cubic Corp. | 84 | 4 |
| * Dycom Industries Inc. | 187 | 4 |
| * Korn/Ferry International | 249 | 4 |
| Knoll Inc. | 254 | 4 |
31
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Allegiant Travel Co. Class A | 78 | 4 |
| * TrueBlue Inc. | 235 | 4 |
| Heartland Express Inc. | 268 | 4 |
| * Wabash National Corp. | 363 | 4 |
| * Seaboard Corp. | 2 | 4 |
| * Meritor Inc. | 501 | 4 |
| Steelcase Inc. Class A | 422 | 4 |
| * Aegion Corp. Class A | 210 | 4 |
| * Navigant Consulting Inc. | 273 | 4 |
| Insperity Inc. | 122 | 4 |
| * Interline Brands Inc. | 177 | 4 |
| * Exponent Inc. | 74 | 4 |
| Sun Hydraulics Corp. | 107 | 4 |
| Albany International Corp. | 146 | 3 |
| American Science & Engineering Inc. | 48 | 3 |
| * ACCO Brands Corp. | 292 | 3 |
| Quanex Building Products Corp. | 201 | 3 |
| Interface Inc. Class A | 279 | 3 |
| * Generac Holdings Inc. | 133 | 3 |
| AZZ Inc. | 67 | 3 |
| Universal Forest Products Inc. | 103 | 3 |
| * Sauer-Danfoss Inc. | 61 | 3 |
| G&K Services Inc. Class A | 99 | 3 |
| * Trimas Corp. | 135 | 3 |
| Resources Connection Inc. | 245 | 3 |
| SkyWest Inc. | 280 | 3 |
| * Team Inc. | 104 | 3 |
| * SYKES Enterprises Inc. | 222 | 3 |
| CIRCOR International Inc. | 92 | 3 |
| NACCO Industries Inc. Class A | 31 | 3 |
| * On Assignment Inc. | 212 | 3 |
| Encore Wire Corp. | 99 | 3 |
| * DigitalGlobe Inc. | 187 | 3 |
| Textainer Group Holdings Ltd. | 85 | 3 |
| * H&E Equipment Services Inc. | 163 | 3 |
| * ICF International Inc. | 107 | 3 |
| * Altra Holdings Inc. | 142 | 3 |
| Griffon Corp. | 252 | 3 |
| * Greenbrier Cos. Inc. | 104 | 3 |
| John Bean Technologies Corp. | 152 | 3 |
| * Tutor Perini Corp. | 165 | 3 |
| Standex International Corp. | 68 | 3 |
| * Aerovironment Inc. | 90 | 3 |
| Cascade Corp. | 48 | 3 |
| * Kforce Inc. | 179 | 3 |
| * Layne Christensen Co. | 103 | 2 |
| Mueller Water Products Inc. Class A | 823 | 2 |
| * KAR Auction Services Inc. | 152 | 2 |
| * GeoEye Inc. | 120 | 2 |
| Arkansas Best Corp. | 134 | 2 |
| Comfort Systems USA Inc. | 208 | 2 |
| * Trex Co. Inc. | 88 | 2 |
| * RailAmerica Inc. | 114 | 2 |
| * Federal Signal Corp. | 499 | 2 |
| Gorman-Rupp Co. | 81 | 2 |
| Great Lakes Dredge & Dock Corp. | 328 | 2 |
| Ennis Inc. | 138 | 2 |
| * Consolidated Graphics Inc. | 48 | 2 |
| * Gibraltar Industries Inc. | 161 | 2 |
| Apogee Enterprises Inc. | 165 | 2 |
| Primoris Services Corp. | 141 | 2 |
| National Presto Industries Inc. | 25 | 2 |
| * MYR Group Inc. | 108 | 2 |
| Viad Corp. | 111 | 2 |
32
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Titan Machinery Inc. | 82 | 2 |
| Kelly Services Inc. Class A | 141 | 2 |
| * EnergySolutions Inc. | 491 | 2 |
| * Dolan Co. | 227 | 2 |
| * Global Power Equipment Group Inc. | 84 | 2 |
| Quad/Graphics Inc. | 133 | 2 |
| Multi-Color Corp. | 91 | 2 |
| Marten Transport Ltd. | 94 | 2 |
| * Encore Capital Group Inc. | 88 | 2 |
| * Mistras Group Inc. | 87 | 2 |
| * Pendrell Corp. | 801 | 2 |
| Heidrick & Struggles International Inc. | 95 | 2 |
| AAON Inc. | 103 | 2 |
| * Commercial Vehicle Group Inc. | 157 | 2 |
| * Accuride Corp. | 237 | 2 |
| * GenCorp Inc. | 310 | 2 |
| * Wesco Aircraft Holdings Inc. | 120 | 2 |
| * Spirit Airlines Inc. | 90 | 2 |
| FreightCar America Inc. | 63 | 2 |
| Celadon Group Inc. | 118 | 2 |
| * Air Transport Services Group Inc. | 317 | 2 |
| * Michael Baker Corp. | 70 | 2 |
| * Columbus McKinnon Corp. | 101 | 2 |
| * PMFG Inc. | 102 | 2 |
| * Builders FirstSource Inc. | 547 | 2 |
| * Saia Inc. | 101 | 2 |
| * DXP Enterprises Inc. | 44 | 2 |
| US Ecology Inc. | 86 | 2 |
| Dynamic Materials Corp. | 71 | 2 |
| * Astronics Corp. | 47 | 2 |
| * American Railcar Industries Inc. | 53 | 2 |
| * InnerWorkings Inc. | 136 | 2 |
| * Powell Industries Inc. | 47 | 2 |
| Houston Wire & Cable Co. | 108 | 2 |
| * NCI Building Systems Inc. | 126 | 2 |
| * CRA International Inc. | 64 | 2 |
| * Furmanite Corp. | 208 | 2 |
| * Standard Parking Corp. | 83 | 2 |
| * Republic Airways Holdings Inc. | 281 | 1 |
| * Kadant Inc. | 68 | 1 |
| Douglas Dynamics Inc. | 112 | 1 |
| * CAI International Inc. | 72 | 1 |
| Graham Corp. | 61 | 1 |
| * Ameresco Inc. Class A | 101 | 1 |
| * Hawaiian Holdings Inc. | 266 | 1 |
| * CBIZ Inc. | 208 | 1 |
| * Swisher Hygiene Inc. | 450 | 1 |
| * Odyssey Marine Exploration Inc. | 435 | 1 |
| * Flow International Corp. | 330 | 1 |
| * Orion Marine Group Inc. | 180 | 1 |
| * Cenveo Inc. | 336 | 1 |
| * American Reprographics Co. | 246 | 1 |
| * Taser International Inc. | 320 | 1 |
| * Northwest Pipe Co. | 52 | 1 |
| * Capstone Turbine Corp. | 1,144 | 1 |
| Twin Disc Inc. | 39 | 1 |
| Insteel Industries Inc. | 99 | 1 |
| LB Foster Co. Class A | 42 | 1 |
| Kimball International Inc. Class B | 200 | 1 |
| Miller Industries Inc. | 76 | 1 |
| * Genco Shipping & Trading Ltd. | 170 | 1 |
| * Metalico Inc. | 230 | 1 |
| * RPX Corp. | 64 | 1 |
| * EnerNOC Inc. | 135 | 1 |
33
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Vicor Corp. | 128 | 1 |
| Universal Truckload Services Inc. | 66 | 1 |
| * Roadrunner Transportation Systems Inc. | 56 | 1 |
| * A123 Systems Inc. | 551 | 1 |
| * Sterling Construction Co. Inc. | 91 | 1 |
| * GP Strategies Corp. | 59 | 1 |
| Alamo Group Inc. | 34 | 1 |
| Schawk Inc. Class A | 81 | 1 |
| * American Superconductor Corp. | 196 | 1 |
| * Kratos Defense & Security Solutions Inc. | 137 | 1 |
| Aceto Corp. | 105 | 1 |
| Thermon Group Holdings Inc. | 43 | 1 |
| * FuelCell Energy Inc. | 544 | 1 |
| * LMI Aerospace Inc. | 39 | 1 |
| * Casella Waste Systems Inc. Class A | 120 | 1 |
| Argan Inc. | 52 | 1 |
| * Franklin Covey Co. | 88 | 1 |
| SeaCube Container Leasing Ltd. | 47 | 1 |
| * Pacer International Inc. | 137 | 1 |
| Barrett Business Services Inc. | 44 | 1 |
| Ampco-Pittsburgh Corp. | 35 | 1 |
| * Quality Distribution Inc. | 57 | 1 |
| VSE Corp. | 30 | 1 |
| * TMS International Corp. Class A | 61 | 1 |
| * Pike Electric Corp. | 79 | 1 |
| CDI Corp. | 47 | 1 |
| * Patriot Transportation Holding Inc. | 31 | 1 |
| * Park-Ohio Holdings Corp. | 36 | 1 |
| * Hudson Highland Group Inc. | 151 | 1 |
| * Hill International Inc. | 125 | 1 |
| Preformed Line Products Co. | 10 | 1 |
| Ducommun Inc. | 41 | 1 |
| International Shipholding Corp. | 29 | 1 |
| * Lydall Inc. | 68 | 1 |
| Courier Corp. | 57 | 1 |
| Met-Pro Corp. | 69 | 1 |
| LSI Industries Inc. | 88 | 1 |
| * NN Inc. | 67 | 1 |
| American Woodmark Corp. | 42 | 1 |
| * PowerSecure International Inc. | 92 | 1 |
| * Hurco Cos. Inc. | 23 | 1 |
| NL Industries Inc. | 37 | 1 |
| * Zipcar Inc. | 42 | 1 |
| * Coleman Cable Inc. | 48 | 1 |
| * Fuel Tech Inc. | 88 | 1 |
| * Heritage-Crystal Clean Inc. | 23 | 1 |
| * KEYW Holding Corp. | 68 | — |
| * Energy Recovery Inc. | 224 | — |
| * WCA Waste Corp. | 67 | — |
| Intersections Inc. | 35 | — |
| * Eagle Bulk Shipping Inc. | 229 | — |
| * AT Cross Co. Class A | 36 | — |
| * Ultrapetrol Bahamas Ltd. | 128 | — |
| * Excel Maritime Carriers Ltd. Class A | 197 | — |
| * Tecumseh Products Co. Class A | 75 | — |
| * Essex Rental Corp. | 86 | — |
| * Xerium Technologies Inc. | 35 | — |
| * Broadwind Energy Inc. | 439 | — |
| * Valence Technology Inc. | 283 | — |
| * TRC Cos. Inc. | 50 | — |
| Baltic Trading Ltd. | 55 | — |
| * Active Power Inc. | 351 | — |
| Lawson Products Inc. | 12 | — |
| * Covenant Transportation Group Inc. Class A | 54 | — |
34
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * UniTek Global Services Inc. | 36 | — |
| * Omega Flex Inc. | 8 | — |
| Compx International Inc. | 7 | — |
| * Satcon Technology Corp. | 229 | — |
| * Astronics Corp. Class B | 2 | — |
| 9,975 | ||
| Information Technology (19.3%) | ||
| * Apple Inc. | 5,291 | 2,870 |
| International Business Machines Corp. | 6,930 | 1,363 |
| Microsoft Corp. | 42,453 | 1,347 |
| * Google Inc. Class A | 1,440 | 890 |
| Intel Corp. | 30,332 | 815 |
| Oracle Corp. | 21,974 | 643 |
| Cisco Systems Inc. | 31,466 | 626 |
| QUALCOMM Inc. | 9,547 | 594 |
| Visa Inc. Class A | 2,994 | 348 |
| * EMC Corp. | 11,771 | 326 |
| Hewlett-Packard Co. | 11,368 | 288 |
| Mastercard Inc. Class A | 613 | 257 |
| * eBay Inc. | 6,594 | 236 |
| Texas Instruments Inc. | 6,643 | 222 |
| Accenture plc Class A | 3,688 | 220 |
| * Dell Inc. | 9,386 | 162 |
| Automatic Data Processing Inc. | 2,863 | 156 |
| * Cognizant Technology Solutions Corp. Class A | 1,736 | 123 |
| Corning Inc. | 8,982 | 117 |
| Broadcom Corp. Class A | 3,059 | 114 |
| * Yahoo! Inc. | 7,430 | 110 |
| * Salesforce.com Inc. | 765 | 110 |
| Intuit Inc. | 1,729 | 100 |
| * Adobe Systems Inc. | 2,884 | 95 |
| Applied Materials Inc. | 7,529 | 92 |
| * NetApp Inc. | 2,106 | 91 |
| * Citrix Systems Inc. | 1,077 | 81 |
| Motorola Solutions Inc. | 1,611 | 80 |
| * Symantec Corp. | 4,328 | 77 |
| Altera Corp. | 1,848 | 71 |
| * Juniper Networks Inc. | 3,058 | 70 |
| * SanDisk Corp. | 1,370 | 68 |
| Analog Devices Inc. | 1,720 | 67 |
| Xerox Corp. | 8,040 | 66 |
| * Teradata Corp. | 972 | 65 |
| Western Union Co. | 3,631 | 63 |
| CA Inc. | 2,206 | 60 |
| * Motorola Mobility Holdings Inc. | 1,500 | 60 |
| * F5 Networks Inc. | 467 | 58 |
| Paychex Inc. | 1,860 | 58 |
| Xilinx Inc. | 1,530 | 57 |
| * Red Hat Inc. | 1,112 | 55 |
| * Fiserv Inc. | 828 | 55 |
| Amphenol Corp. Class A | 956 | 54 |
| * Western Digital Corp. | 1,340 | 53 |
| * NVIDIA Corp. | 3,455 | 52 |
| * Autodesk Inc. | 1,325 | 50 |
| * VMware Inc. Class A | 490 | 48 |
| Fidelity National Information Services Inc. | 1,516 | 48 |
| Maxim Integrated Products Inc. | 1,707 | 48 |
| KLA-Tencor Corp. | 970 | 47 |
| Linear Technology Corp. | 1,318 | 44 |
| * Marvell Technology Group Ltd. | 2,935 | 44 |
| * Micron Technology Inc. | 5,021 | 43 |
| Avago Technologies Ltd. | 1,095 | 41 |
| Microchip Technology Inc. | 1,090 | 39 |
| * Akamai Technologies Inc. | 1,069 | 38 |
35
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Equinix Inc. | 265 | 37 |
| * Nuance Communications Inc. | 1,363 | 35 |
| * BMC Software Inc. | 939 | 35 |
| * Alliance Data Systems Corp. | 289 | 35 |
| * Trimble Navigation Ltd. | 694 | 35 |
| VeriSign Inc. | 900 | 33 |
| * ANSYS Inc. | 519 | 33 |
| * Avnet Inc. | 864 | 31 |
| * Electronic Arts Inc. | 1,880 | 31 |
| * Rackspace Hosting Inc. | 583 | 30 |
| * Amdocs Ltd. | 988 | 30 |
| * Informatica Corp. | 598 | 29 |
| * Lam Research Corp. | 704 | 29 |
| Harris Corp. | 671 | 29 |
| * Skyworks Solutions Inc. | 1,070 | 29 |
| Activision Blizzard Inc. | 2,393 | 29 |
| Jabil Circuit Inc. | 1,089 | 28 |
| Computer Sciences Corp. | 877 | 28 |
| * LSI Corp. | 3,238 | 28 |
| * VeriFone Systems Inc. | 577 | 28 |
| * TIBCO Software Inc. | 938 | 27 |
| * Arrow Electronics Inc. | 653 | 26 |
| * Atmel Corp. | 2,586 | 26 |
| * Advanced Micro Devices Inc. | 3,475 | 26 |
| * Synopsys Inc. | 830 | 25 |
| * Riverbed Technology Inc. | 868 | 25 |
| * MICROS Systems Inc. | 459 | 24 |
| FLIR Systems Inc. | 903 | 24 |
| Global Payments Inc. | 453 | 23 |
| Factset Research Systems Inc. | 261 | 23 |
| * ON Semiconductor Corp. | 2,514 | 23 |
| * Rovi Corp. | 640 | 23 |
| * Gartner Inc. | 550 | 22 |
| Molex Inc. | 764 | 21 |
| * Polycom Inc. | 999 | 21 |
| Total System Services Inc. | 916 | 20 |
| * SAIC Inc. | 1,631 | 20 |
| IAC/InterActiveCorp | 430 | 20 |
| * NCR Corp. | 901 | 20 |
| Solera Holdings Inc. | 400 | 19 |
| * Cree Inc. | 626 | 19 |
| * Fortinet Inc. | 685 | 19 |
| * Novellus Systems Inc. | 395 | 18 |
| * Parametric Technology Corp. | 686 | 18 |
| * Cadence Design Systems Inc. | 1,523 | 18 |
| * Ingram Micro Inc. | 911 | 17 |
| * Ariba Inc. | 549 | 17 |
| * Teradyne Inc. | 1,052 | 17 |
| Broadridge Financial Solutions Inc. | 699 | 17 |
| * JDS Uniphase Corp. | 1,293 | 17 |
| Jack Henry & Associates Inc. | 489 | 17 |
| * Brocade Communications Systems Inc. | 2,692 | 16 |
| Lexmark International Inc. Class A | 420 | 16 |
| * Concur Technologies Inc. | 258 | 15 |
| Cypress Semiconductor Corp. | 878 | 15 |
| Diebold Inc. | 380 | 15 |
| * NeuStar Inc. Class A | 419 | 15 |
| National Instruments Corp. | 523 | 14 |
| * Wright Express Corp. | 224 | 14 |
| * Tech Data Corp. | 250 | 13 |
| ADTRAN Inc. | 377 | 13 |
| * CommVault Systems Inc. | 257 | 13 |
| * QLIK Technologies Inc. | 417 | 13 |
| * SolarWinds Inc. | 338 | 13 |
36
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Zebra Technologies Corp. | 318 | 12 |
| * Dolby Laboratories Inc. Class A | 314 | 12 |
| * Anixter International Inc. | 170 | 12 |
| * Genpact Ltd. | 737 | 12 |
| * Compuware Corp. | 1,280 | 12 |
| Lender Processing Services Inc. | 523 | 12 |
| * Taleo Corp. Class A | 245 | 11 |
| * First Solar Inc. | 345 | 11 |
| * Semtech Corp. | 386 | 11 |
| * Fairchild Semiconductor International Inc. Class A | 758 | 11 |
| * Aruba Networks Inc. | 508 | 11 |
| * Finisar Corp. | 534 | 11 |
| * Microsemi Corp. | 516 | 11 |
| * Itron Inc. | 243 | 11 |
| * Ultimate Software Group Inc. | 153 | 11 |
| * QLogic Corp. | 621 | 11 |
| * Vishay Intertechnology Inc. | 870 | 11 |
| * Hittite Microwave Corp. | 186 | 11 |
| * Silicon Laboratories Inc. | 236 | 11 |
| Cognex Corp. | 247 | 11 |
| * Aspen Technology Inc. | 509 | 10 |
| * Cavium Inc. | 290 | 10 |
| * FEI Co. | 230 | 10 |
| * AOL Inc. | 567 | 10 |
| InterDigital Inc. | 265 | 10 |
| * VistaPrint NV | 246 | 10 |
| * ValueClick Inc. | 478 | 10 |
| * Viasat Inc. | 214 | 10 |
| DST Systems Inc. | 186 | 10 |
| * Acme Packet Inc. | 322 | 10 |
| * PMC - Sierra Inc. | 1,415 | 10 |
| * Cirrus Logic Inc. | 412 | 10 |
| * Universal Display Corp. | 233 | 10 |
| * Progress Software Corp. | 412 | 10 |
| Plantronics Inc. | 255 | 10 |
| * ACI Worldwide Inc. | 250 | 9 |
| * International Rectifier Corp. | 420 | 9 |
| MKS Instruments Inc. | 314 | 9 |
| * CACI International Inc. Class A | 158 | 9 |
| * CoreLogic Inc. | 593 | 9 |
| * IPG Photonics Corp. | 172 | 9 |
| * Mentor Graphics Corp. | 586 | 9 |
| MAXIMUS Inc. | 208 | 9 |
| Intersil Corp. Class A | 764 | 9 |
| Tellabs Inc. | 2,183 | 9 |
| * Ciena Corp. | 579 | 9 |
| Blackbaud Inc. | 272 | 9 |
| * Arris Group Inc. | 751 | 9 |
| Fair Isaac Corp. | 211 | 9 |
| * WebMD Health Corp. | 339 | 8 |
| * Netgear Inc. | 223 | 8 |
| * Cymer Inc. | 182 | 8 |
| j2 Global Inc. | 279 | 8 |
| * Convergys Corp. | 638 | 8 |
| * TiVo Inc. | 730 | 8 |
| Sapient Corp. | 657 | 8 |
| * NetSuite Inc. | 170 | 8 |
| * Sourcefire Inc. | 178 | 8 |
| * RF Micro Devices Inc. | 1,642 | 8 |
| * Plexus Corp. | 222 | 8 |
| Littelfuse Inc. | 143 | 8 |
| * Entegris Inc. | 827 | 7 |
| * Synaptics Inc. | 202 | 7 |
| * Cabot Microelectronics Corp. | 146 | 7 |
37
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Coherent Inc. | 132 | 7 |
| * OpenTable Inc. | 150 | 7 |
| * Acxiom Corp. | 512 | 7 |
| * DealerTrack Holdings Inc. | 255 | 7 |
| * Cardtronics Inc. | 267 | 7 |
| * Take-Two Interactive Software Inc. | 458 | 7 |
| * MicroStrategy Inc. Class A | 52 | 7 |
| * EchoStar Corp. Class A | 234 | 7 |
| Heartland Payment Systems Inc. | 246 | 7 |
| * OSI Systems Inc. | 118 | 7 |
| * GT Advanced Technologies Inc. | 798 | 7 |
| Power Integrations Inc. | 183 | 7 |
| * Veeco Instruments Inc. | 252 | 7 |
| * TriQuint Semiconductor Inc. | 1,028 | 7 |
| * SYNNEX Corp. | 158 | 7 |
| * Quest Software Inc. | 324 | 6 |
| * Tyler Technologies Inc. | 170 | 6 |
| * JDA Software Group Inc. | 256 | 6 |
| * Integrated Device Technology Inc. | 928 | 6 |
| * Scansource Inc. | 172 | 6 |
| * Bottomline Technologies Inc. | 225 | 6 |
| * Euronet Worldwide Inc. | 325 | 6 |
| * Benchmark Electronics Inc. | 379 | 6 |
| * Monster Worldwide Inc. | 807 | 6 |
| * MEMC Electronic Materials Inc. | 1,408 | 6 |
| * VirnetX Holding Corp. | 254 | 5 |
| * Omnivision Technologies Inc. | 332 | 5 |
| * Manhattan Associates Inc. | 117 | 5 |
| * 3D Systems Corp. | 240 | 5 |
| * Insight Enterprises Inc. | 248 | 5 |
| * Sanmina-SCI Corp. | 427 | 5 |
| * Emulex Corp. | 465 | 5 |
| * FARO Technologies Inc. | 87 | 5 |
| * Constant Contact Inc. | 156 | 5 |
| * Synchronoss Technologies Inc. | 140 | 5 |
| * Diodes Inc. | 187 | 5 |
| * Tessera Technologies Inc. | 271 | 5 |
| * Advent Software Inc. | 174 | 4 |
| * Infinera Corp. | 554 | 4 |
| * BroadSoft Inc. | 120 | 4 |
| Earthlink Inc. | 583 | 4 |
| * Kulicke & Soffa Industries Inc. | 381 | 4 |
| * Liquidity Services Inc. | 99 | 4 |
| * Unisys Corp. | 228 | 4 |
| * LivePerson Inc. | 279 | 4 |
| * Netscout Systems Inc. | 198 | 4 |
| Syntel Inc. | 82 | 4 |
| Brooks Automation Inc. | 351 | 4 |
| * LinkedIn Corp. Class A | 48 | 4 |
| * Loral Space & Communications Inc. | 58 | 4 |
| * Stratasys Inc. | 112 | 4 |
| Mantech International Corp. Class A | 123 | 4 |
| * Lattice Semiconductor Corp. | 625 | 4 |
| NIC Inc. | 339 | 4 |
| MTS Systems Corp. | 83 | 4 |
| Comtech Telecommunications Corp. | 125 | 4 |
| * Volterra Semiconductor Corp. | 130 | 4 |
| * LogMeIn Inc. | 108 | 4 |
| * Electronics for Imaging Inc. | 248 | 4 |
| * SunPower Corp. Class A | 525 | 4 |
| * Kenexa Corp. | 141 | 4 |
| * Ancestry.com Inc. | 168 | 4 |
| * Websense Inc. | 212 | 4 |
| * comScore Inc. | 169 | 4 |
38
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Freescale Semiconductor Holdings I Ltd. | 230 | 4 |
| * Digital River Inc. | 210 | 4 |
| * ATMI Inc. | 168 | 4 |
| * Rambus Inc. | 520 | 4 |
| * Ultratech Inc. | 134 | 4 |
| * Harmonic Inc. | 609 | 4 |
| * Amkor Technology Inc. | 559 | 4 |
| Ebix Inc. | 153 | 4 |
| * Rofin-Sinar Technologies Inc. | 151 | 4 |
| * Spansion Inc. Class A | 272 | 3 |
| * Newport Corp. | 206 | 3 |
| AVX Corp. | 256 | 3 |
| * Sonus Networks Inc. | 1,117 | 3 |
| * OCZ Technology Group Inc. | 377 | 3 |
| * TTM Technologies Inc. | 276 | 3 |
| * RealPage Inc. | 161 | 3 |
| * Brightpoint Inc. | 361 | 3 |
| * Rogers Corp. | 85 | 3 |
| * Quantum Corp. | 1,193 | 3 |
| Park Electrochemical Corp. | 110 | 3 |
| * Verint Systems Inc. | 113 | 3 |
| * Monolithic Power Systems Inc. | 167 | 3 |
| * Standard Microsystems Corp. | 121 | 3 |
| * Ceva Inc. | 123 | 3 |
| * CSG Systems International Inc. | 183 | 3 |
| * iGate Corp. | 168 | 3 |
| * FleetCor Technologies Inc. | 79 | 3 |
| * Bankrate Inc. | 122 | 3 |
| * Entropic Communications Inc. | 469 | 3 |
| Micrel Inc. | 267 | 3 |
| Xyratex Ltd. | 166 | 3 |
| * Ixia | 204 | 3 |
| * Advanced Energy Industries Inc. | 231 | 3 |
| * SS&C Technologies Holdings Inc. | 133 | 3 |
| * Maxwell Technologies Inc. | 148 | 3 |
| * KIT Digital Inc. | 266 | 3 |
| * Monotype Imaging Holdings Inc. | 190 | 3 |
| Cass Information Systems Inc. | 69 | 3 |
| * DTS Inc. | 92 | 3 |
| Electro Rent Corp. | 143 | 3 |
| Badger Meter Inc. | 80 | 3 |
| * RealD Inc. | 218 | 3 |
| * Measurement Specialties Inc. | 79 | 3 |
| Black Box Corp. | 95 | 3 |
| * Move Inc. | 288 | 3 |
| * Forrester Research Inc. | 78 | 3 |
| * Saba Software Inc. | 213 | 3 |
| * TNS Inc. | 135 | 2 |
| Pegasystems Inc. | 88 | 2 |
| * Inphi Corp. | 171 | 2 |
| * InfoSpace Inc. | 211 | 2 |
| * Fusion-io Inc. | 89 | 2 |
| * LoopNet Inc. | 132 | 2 |
| * Higher One Holdings Inc. | 163 | 2 |
| * ExlService Holdings Inc. | 86 | 2 |
| United Online Inc. | 469 | 2 |
| * Internap Network Services Corp. | 317 | 2 |
| * Checkpoint Systems Inc. | 213 | 2 |
| * Intermec Inc. | 315 | 2 |
| * Super Micro Computer Inc. | 142 | 2 |
| * Accelrys Inc. | 294 | 2 |
| * Mercury Computer Systems Inc. | 160 | 2 |
| * Applied Micro Circuits Corp. | 336 | 2 |
| * Dice Holdings Inc. | 256 | 2 |
39
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Booz Allen Hamilton Holding Corp. | 123 | 2 |
| * Photronics Inc. | 311 | 2 |
| * Silicon Image Inc. | 421 | 2 |
| OPNET | 76 | 2 |
| * Interactive Intelligence Group Inc. | 76 | 2 |
| * PROS Holdings Inc. | 121 | 2 |
| * Global Cash Access Holdings Inc. | 380 | 2 |
| * STEC Inc. | 217 | 2 |
| * Kemet Corp. | 233 | 2 |
| * Web.com Group Inc. | 156 | 2 |
| * TeleTech Holdings Inc. | 135 | 2 |
| CTS Corp. | 205 | 2 |
| * Nanometrics Inc. | 114 | 2 |
| * Callidus Software Inc. | 267 | 2 |
| * Sycamore Networks Inc. | 105 | 2 |
| * Fabrinet | 108 | 2 |
| EPIQ Systems Inc. | 166 | 2 |
| * Oplink Communications Inc. | 116 | 2 |
| * Avid Technology Inc. | 178 | 2 |
| Methode Electronics Inc. | 206 | 2 |
| * LTX-Credence Corp. | 274 | 2 |
| * Mindspeed Technologies Inc. | 282 | 2 |
| * MIPS Technologies Inc. Class A | 317 | 2 |
| * Globecomm Systems Inc. | 125 | 2 |
| * Calix Inc. | 199 | 2 |
| * Extreme Networks | 486 | 2 |
| Daktronics Inc. | 194 | 2 |
| * Zygo Corp. | 90 | 2 |
| Keynote Systems Inc. | 85 | 2 |
| * Ultra Clean Holdings | 203 | 2 |
| * IntraLinks Holdings Inc. | 282 | 2 |
| Electro Scientific Industries Inc. | 119 | 2 |
| * Power-One Inc. | 377 | 2 |
| * QuinStreet Inc. | 155 | 2 |
| * Cray Inc. | 203 | 2 |
| * Axcelis Technologies Inc. | 962 | 2 |
| * Silicon Graphics International Corp. | 164 | 2 |
| * Perficient Inc. | 131 | 2 |
| * GSI Group Inc. | 137 | 2 |
| * Vishay Precision Group Inc. | 107 | 2 |
| * IXYS Corp. | 128 | 2 |
| * Integrated Silicon Solution Inc. | 144 | 2 |
| * Procera Networks Inc. | 78 | 2 |
| * Exar Corp. | 216 | 2 |
| * Rudolph Technologies Inc. | 153 | 2 |
| * Envestnet Inc. | 121 | 2 |
| * Digi International Inc. | 134 | 2 |
| * CIBER Inc. | 343 | 2 |
| ModusLink Global Solutions Inc. | 268 | 2 |
| * Aviat Networks Inc. | 562 | 1 |
| * Cornerstone OnDemand Inc. | 71 | 1 |
| * Symmetricom Inc. | 248 | 1 |
| * ShoreTel Inc. | 271 | 1 |
| * Formfactor Inc. | 275 | 1 |
| * Anaren Inc. | 80 | 1 |
| * NVE Corp. | 26 | 1 |
| * support.com Inc. | 418 | 1 |
| * Multi-Fineline Electronix Inc. | 52 | 1 |
| * Kopin Corp. | 373 | 1 |
| * MoSys Inc. | 351 | 1 |
| * Stamps.com Inc. | 51 | 1 |
| * STR Holdings Inc. | 185 | 1 |
| * Limelight Networks Inc. | 347 | 1 |
| RealNetworks Inc. | 127 | 1 |
40
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Virtusa Corp. | 82 | 1 |
| * Vocus Inc. | 94 | 1 |
| * XO Group Inc. | 140 | 1 |
| * Ubiquiti Networks Inc. | 47 | 1 |
| * Supertex Inc. | 66 | 1 |
| Cohu Inc. | 108 | 1 |
| * Computer Task Group Inc. | 82 | 1 |
| * Pericom Semiconductor Corp. | 154 | 1 |
| * Intevac Inc. | 148 | 1 |
| Bel Fuse Inc. Class B | 66 | 1 |
| * Active Network Inc. | 71 | 1 |
| * Imation Corp. | 180 | 1 |
| * Zix Corp. | 383 | 1 |
| * Anadigics Inc. | 436 | 1 |
| * Imperva Inc. | 30 | 1 |
| * Immersion Corp. | 164 | 1 |
| * Deltek Inc. | 94 | 1 |
| * Rubicon Technology Inc. | 112 | 1 |
| * VASCO Data Security International Inc. | 111 | 1 |
| * Wave Systems Corp. Class A | 478 | 1 |
| * Openwave Systems Inc. | 395 | 1 |
| * Convio Inc. | 61 | 1 |
| * Oclaro Inc. | 220 | 1 |
| * Actuate Corp. | 156 | 1 |
| * PDF Solutions Inc. | 114 | 1 |
| * Aeroflex Holding Corp. | 82 | 1 |
| * SPS Commerce Inc. | 35 | 1 |
| * ePlus Inc. | 27 | 1 |
| * Angie's List Inc. | 54 | 1 |
| * AXT Inc. | 150 | 1 |
| * Echo Global Logistics Inc. | 46 | 1 |
| * InvenSense Inc. | 54 | 1 |
| * Tangoe Inc. | 45 | 1 |
| * Sigma Designs Inc. | 145 | 1 |
| DDi Corp. | 75 | 1 |
| * MoneyGram International Inc. | 44 | 1 |
| American Software Inc. Class A | 93 | 1 |
| * Echelon Corp. | 157 | 1 |
| * TeleNav Inc. | 110 | 1 |
| * Seachange International Inc. | 107 | 1 |
| * Digimarc Corp. | 26 | 1 |
| * SciQuest Inc. | 48 | 1 |
| * ServiceSource International Inc. | 43 | 1 |
| * FSI International Inc. | 180 | 1 |
| * X-Rite Inc. | 155 | 1 |
| * Agilysys Inc. | 86 | 1 |
| * Glu Mobile Inc. | 183 | 1 |
| Richardson Electronics Ltd. | 55 | 1 |
| * PLX Technology Inc. | 192 | 1 |
| * Hackett Group Inc. | 137 | 1 |
| * DSP Group Inc. | 99 | 1 |
| * LeCroy Corp. | 68 | 1 |
| * Lionbridge Technologies Inc. | 227 | 1 |
| * Zillow Inc. | 18 | 1 |
| * Guidance Software Inc. | 50 | 1 |
| Rimage Corp. | 52 | 1 |
| * Alpha & Omega Semiconductor Ltd. | 57 | 1 |
| * Travelzoo Inc. | 22 | 1 |
| * ORBCOMM Inc. | 173 | 1 |
| * FalconStor Software Inc. | 176 | 1 |
| * KVH Industries Inc. | 53 | — |
| * GSI Technology Inc. | 103 | — |
| Pulse Electronics Corp. | 148 | — |
| * Radisys Corp. | 60 | — |
41
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Westell Technologies Inc. Class A | 195 | — |
| * Rosetta Stone Inc. | 49 | — |
| * Novatel Wireless Inc. | 126 | — |
| * Ellie Mae Inc. | 51 | — |
| Communications Systems Inc. | 28 | — |
| * Carbonite Inc. | 42 | — |
| * Identive Group Inc. | 178 | — |
| * Responsys Inc. | 32 | — |
| * TeleCommunication Systems Inc. Class A | 144 | — |
| * PRGX Global Inc. | 67 | — |
| Marchex Inc. Class B | 84 | — |
| * Emcore Corp. | 83 | — |
| * Numerex Corp. Class A | 37 | — |
| * Amtech Systems Inc. | 41 | — |
| * Smith Micro Software Inc. | 134 | — |
| * Intermolecular Inc. | 52 | — |
| * Dot Hill Systems Corp. | 234 | — |
| * Dynamics Research Corp. | 34 | — |
| QAD Inc. Class A | 22 | — |
| * Opnext Inc. | 265 | — |
| * NeoPhotonics Corp. | 47 | — |
| * Motricity Inc. | 181 | — |
| * Microvision Inc. | 70 | — |
| * NCI Inc. Class A | 31 | — |
| * Viasystems Group Inc. | 12 | — |
| PC Connection Inc. | 24 | — |
| * MaxLinear Inc. | 37 | — |
| * TechTarget Inc. | 29 | — |
| * Powerwave Technologies Inc. | 134 | — |
| * eMagin Corp. | 60 | — |
| * Demand Media Inc. | 25 | — |
| * SRS Labs Inc. | 23 | — |
| * Quepasa Corp. | 39 | — |
| * THQ Inc. | 199 | — |
| * Stream Global Services Inc. | 34 | — |
| * Meru Networks Inc. | 21 | — |
| * FriendFinder Networks Inc. | 42 | — |
| * Dialogic Inc. | 38 | — |
| 16,843 | ||
| Materials (4.1%) | ||
| EI du Pont de Nemours & Co. | 5,313 | 270 |
| Monsanto Co. | 3,067 | 237 |
| Freeport-McMoRan Copper & Gold Inc. | 5,420 | 231 |
| Dow Chemical Co. | 6,726 | 225 |
| Praxair Inc. | 1,735 | 189 |
| Newmont Mining Corp. | 2,784 | 165 |
| Air Products & Chemicals Inc. | 1,210 | 109 |
| Ecolab Inc. | 1,713 | 103 |
| Mosaic Co. | 1,577 | 91 |
| International Paper Co. | 2,504 | 88 |
| PPG Industries Inc. | 906 | 83 |
| Nucor Corp. | 1,810 | 79 |
| LyondellBasell Industries NV Class A | 1,793 | 77 |
| CF Industries Holdings Inc. | 376 | 70 |
| Alcoa Inc. | 6,111 | 62 |
| Sherwin-Williams Co. | 519 | 54 |
| Cliffs Natural Resources Inc. | 841 | 53 |
| Sigma-Aldrich Corp. | 704 | 51 |
| Eastman Chemical Co. | 823 | 45 |
| Celanese Corp. Class A | 903 | 43 |
| FMC Corp. | 411 | 41 |
| Airgas Inc. | 450 | 37 |
| Ball Corp. | 893 | 36 |
| Albemarle Corp. | 519 | 35 |
42
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Crown Holdings Inc. | 882 | 33 |
| Vulcan Materials Co. | 730 | 33 |
| Southern Copper Corp. | 971 | 31 |
| MeadWestvaco Corp. | 960 | 29 |
| Ashland Inc. | 448 | 28 |
| Rock-Tenn Co. Class A | 392 | 28 |
| Allegheny Technologies Inc. | 600 | 26 |
| International Flavors & Fragrances Inc. | 455 | 26 |
| Valspar Corp. | 543 | 25 |
| * WR Grace & Co. | 416 | 24 |
| Royal Gold Inc. | 335 | 23 |
| Walter Energy Inc. | 353 | 23 |
| Reliance Steel & Aluminum Co. | 423 | 23 |
| * Owens-Illinois Inc. | 927 | 22 |
| Martin Marietta Materials Inc. | 258 | 22 |
| United States Steel Corp. | 813 | 22 |
| Sealed Air Corp. | 1,085 | 21 |
| * Rockwood Holdings Inc. | 388 | 21 |
| Aptargroup Inc. | 380 | 20 |
| Domtar Corp. | 207 | 20 |
| Solutia Inc. | 705 | 20 |
| Bemis Co. Inc. | 596 | 19 |
| Sonoco Products Co. | 564 | 18 |
| Steel Dynamics Inc. | 1,234 | 18 |
| RPM International Inc. | 738 | 18 |
| * Allied Nevada Gold Corp. | 505 | 17 |
| Packaging Corp. of America | 580 | 17 |
| Cytec Industries Inc. | 282 | 17 |
| Huntsman Corp. | 1,125 | 15 |
| Cabot Corp. | 379 | 15 |
| * Coeur d'Alene Mines Corp. | 514 | 15 |
| Compass Minerals International Inc. | 189 | 14 |
| Carpenter Technology Corp. | 253 | 13 |
| Silgan Holdings Inc. | 288 | 12 |
| Greif Inc. Class A | 225 | 12 |
| Scotts Miracle-Gro Co. Class A | 241 | 11 |
| Sensient Technologies Corp. | 292 | 11 |
| Olin Corp. | 472 | 10 |
| NewMarket Corp. | 54 | 10 |
| * Stillwater Mining Co. | 652 | 9 |
| * Chemtura Corp. | 596 | 9 |
| HB Fuller Co. | 305 | 9 |
| Commercial Metals Co. | 682 | 9 |
| Eagle Materials Inc. | 273 | 9 |
| Hecla Mining Co. | 1,655 | 8 |
| * Molycorp Inc. | 337 | 8 |
| Buckeye Technologies Inc. | 241 | 8 |
| * Intrepid Potash Inc. | 321 | 8 |
| PolyOne Corp. | 581 | 8 |
| Titanium Metals Corp. | 519 | 8 |
| Westlake Chemical Corp. | 124 | 7 |
| Minerals Technologies Inc. | 114 | 7 |
| Schweitzer-Mauduit International Inc. | 101 | 7 |
| * Thompson Creek Metals Co. Inc. | 948 | 7 |
| * Georgia Gulf Corp. | 211 | 7 |
| Innophos Holdings Inc. | 135 | 7 |
| * Louisiana-Pacific Corp. | 820 | 7 |
| Worthington Industries Inc. | 362 | 6 |
| * SunCoke Energy Inc. | 423 | 6 |
| Schnitzer Steel Industries Inc. | 118 | 5 |
| Balchem Corp. | 178 | 5 |
| Globe Specialty Metals Inc. | 334 | 5 |
| * Kraton Performance Polymers Inc. | 169 | 5 |
| AK Steel Holding Corp. | 585 | 5 |
43
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Boise Inc. | 553 | 5 |
| * Calgon Carbon Corp. | 299 | 4 |
| * OM Group Inc. | 164 | 4 |
| * Graphic Packaging Holding Co. | 848 | 4 |
| * Clearwater Paper Corp. | 123 | 4 |
| A Schulman Inc. | 163 | 4 |
| Kaiser Aluminum Corp. | 87 | 4 |
| * KapStone Paper and Packaging Corp. | 206 | 4 |
| Koppers Holdings Inc. | 110 | 4 |
| Haynes International Inc. | 65 | 4 |
| Texas Industries Inc. | 121 | 4 |
| * LSB Industries Inc. | 98 | 4 |
| * Innospec Inc. | 126 | 4 |
| PH Glatfelter Co. | 245 | 4 |
| AMCOL International Corp. | 129 | 4 |
| Stepan Co. | 43 | 4 |
| Deltic Timber Corp. | 57 | 4 |
| Gold Resource Corp. | 150 | 4 |
| * RTI International Metals Inc. | 160 | 4 |
| * Materion Corp. | 109 | 3 |
| * Flotek Industries Inc. | 264 | 3 |
| Tredegar Corp. | 127 | 3 |
| * McEwen Mining Inc. | 559 | 3 |
| Quaker Chemical Corp. | 68 | 3 |
| * Jaguar Mining Inc. | 447 | 3 |
| Kronos Worldwide Inc. | 115 | 3 |
| * Century Aluminum Co. | 273 | 3 |
| * Golden Star Resources Ltd. | 1,368 | 3 |
| * Horsehead Holding Corp. | 231 | 3 |
| Wausau Paper Corp. | 277 | 3 |
| * Ferro Corp. | 459 | 3 |
| * Zoltek Cos. Inc. | 203 | 2 |
| * TPC Group Inc. | 70 | 2 |
| Myers Industries Inc. | 168 | 2 |
| Neenah Paper Inc. | 79 | 2 |
| American Vanguard Corp. | 119 | 2 |
| Zep Inc. | 128 | 2 |
| * Paramount Gold and Silver Corp. | 666 | 2 |
| Hawkins Inc. | 41 | 2 |
| * Golden Minerals Co. | 159 | 1 |
| * Omnova Solutions Inc. | 254 | 1 |
| FutureFuel Corp. | 116 | 1 |
| * US Silica Holdings Inc. | 75 | 1 |
| Noranda Aluminum Holding Corp. | 98 | 1 |
| * Headwaters Inc. | 385 | 1 |
| Olympic Steel Inc. | 49 | 1 |
| * AM Castle & Co. | 99 | 1 |
| * Universal Stainless & Alloy | 33 | 1 |
| * General Moly Inc. | 294 | 1 |
| * Vista Gold Corp. | 299 | 1 |
| * United States Lime & Minerals Inc. | 16 | 1 |
| * Midway Gold Corp. | 525 | 1 |
| * AEP Industries Inc. | 24 | 1 |
| * Landec Corp. | 115 | 1 |
| * Spartech Corp. | 121 | 1 |
| KMG Chemicals Inc. | 37 | 1 |
| * Metals USA Holdings Corp. | 49 | 1 |
| * Revett Minerals Inc. | 103 | — |
| * Senomyx Inc. | 132 | — |
| Chase Corp. | 24 | — |
| * US Energy Corp. Wyoming | 90 | — |
| * Handy & Harman Ltd. | 23 | — |
| * Verso Paper Corp. | 79 | — |
| 3,582 |
44
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Telecommunication Services (2.5%) | ||
| AT&T Inc. | 33,879 | 1,036 |
| Verizon Communications Inc. | 16,175 | 616 |
| CenturyLink Inc. | 3,511 | 141 |
| * Crown Castle International Corp. | 1,663 | 86 |
| * Sprint Nextel Corp. | 17,303 | 43 |
| Windstream Corp. | 3,290 | 40 |
| * SBA Communications Corp. Class A | 641 | 30 |
| Frontier Communications Corp. | 5,626 | 26 |
| * Level 3 Communications Inc. | 897 | 22 |
| * tw telecom inc Class A | 852 | 18 |
| * NII Holdings Inc. | 962 | 17 |
| * MetroPCS Communications Inc. | 1,597 | 16 |
| * Telephone & Data Systems Inc. | 564 | 14 |
| * AboveNet Inc. | 139 | 10 |
| * Cogent Communications Group Inc. | 244 | 5 |
| * Cincinnati Bell Inc. | 1,056 | 4 |
| * Leap Wireless International Inc. | 327 | 3 |
| * United States Cellular Corp. | 77 | 3 |
| * Clearwire Corp. Class A | 1,345 | 3 |
| SureWest Communications | 131 | 3 |
| Consolidated Communications Holdings Inc. | 138 | 3 |
| * Premiere Global Services Inc. | 289 | 3 |
| * General Communication Inc. Class A | 220 | 2 |
| Atlantic Tele-Network Inc. | 53 | 2 |
| * Neutral Tandem Inc. | 166 | 2 |
| * Iridium Communications Inc. | 241 | 2 |
| * Cbeyond Inc. | 237 | 2 |
| * Vonage Holdings Corp. | 759 | 2 |
| USA Mobility Inc. | 126 | 2 |
| * 8x8 Inc. | 391 | 2 |
| NTELOS Holdings Corp. | 71 | 2 |
| Shenandoah Telecommunications Co. | 142 | 1 |
| Lumos Networks Corp. | 107 | 1 |
| Alaska Communications Systems Group Inc. | 277 | 1 |
| IDT Corp. Class B | 87 | 1 |
| * inContact Inc. | 116 | 1 |
| HickoryTech Corp. | 50 | 1 |
| * Towerstream Corp. | 138 | — |
| * Fairpoint Communications Inc. | 80 | — |
| * Boingo Wireless Inc. | 29 | — |
| * Globalstar Inc. | 148 | — |
| 2,166 | ||
| Utilities (3.5%) | ||
| Southern Co. | 4,858 | 215 |
| Dominion Resources Inc. | 3,295 | 166 |
| Duke Energy Corp. | 7,619 | 159 |
| Exelon Corp. | 3,795 | 148 |
| NextEra Energy Inc. | 2,419 | 144 |
| FirstEnergy Corp. | 2,388 | 106 |
| American Electric Power Co. Inc. | 2,749 | 103 |
| Consolidated Edison Inc. | 1,671 | 97 |
| PG&E Corp. | 2,275 | 95 |
| PPL Corp. | 3,299 | 94 |
| Progress Energy Inc. | 1,684 | 89 |
| Public Service Enterprise Group Inc. | 2,893 | 89 |
| Sempra Energy | 1,372 | 81 |
| Edison International | 1,867 | 78 |
| Xcel Energy Inc. | 2,775 | 74 |
| Entergy Corp. | 1,021 | 68 |
| DTE Energy Co. | 977 | 53 |
| * AES Corp. | 3,788 | 51 |
| ONEOK Inc. | 619 | 51 |
| CenterPoint Energy Inc. | 2,459 | 48 |
45
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2012 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Wisconsin Energy Corp. | 1,352 | 46 |
| Ameren Corp. | 1,395 | 45 |
| Constellation Energy Group Inc. | 1,066 | 39 |
| NiSource Inc. | 1,600 | 38 |
| Northeast Utilities | 1,000 | 36 |
| American Water Works Co. Inc. | 992 | 34 |
| * Calpine Corp. | 2,171 | 33 |
| CMS Energy Corp. | 1,427 | 31 |
| SCANA Corp. | 652 | 29 |
| OGE Energy Corp. | 554 | 29 |
| Pinnacle West Capital Corp. | 617 | 29 |
| NSTAR | 586 | 27 |
| Alliant Energy Corp. | 628 | 27 |
| AGL Resources Inc. | 659 | 26 |
| Pepco Holdings Inc. | 1,277 | 25 |
| National Fuel Gas Co. | 468 | 24 |
| * NRG Energy Inc. | 1,363 | 23 |
| MDU Resources Group Inc. | 1,068 | 23 |
| Integrys Energy Group Inc. | 443 | 23 |
| ITC Holdings Corp. | 289 | 22 |
| TECO Energy Inc. | 1,215 | 22 |
| NV Energy Inc. | 1,334 | 21 |
| Questar Corp. | 1,004 | 19 |
| UGI Corp. | 632 | 18 |
| Westar Energy Inc. | 643 | 18 |
| Aqua America Inc. | 782 | 17 |
| Atmos Energy Corp. | 511 | 16 |
| Great Plains Energy Inc. | 769 | 15 |
| Vectren Corp. | 467 | 14 |
| Hawaiian Electric Industries Inc. | 544 | 14 |
| Cleco Corp. | 351 | 14 |
| Piedmont Natural Gas Co. Inc. | 410 | 13 |
| WGL Holdings Inc. | 294 | 12 |
| IDACORP Inc. | 287 | 12 |
| Southwest Gas Corp. | 268 | 11 |
| New Jersey Resources Corp. | 241 | 11 |
| * GenOn Energy Inc. | 4,484 | 11 |
| Portland General Electric Co. | 440 | 11 |
| UIL Holdings Corp. | 297 | 10 |
| Atlantic Power Corp. | 674 | 10 |
| South Jersey Industries Inc. | 177 | 9 |
| Avista Corp. | 345 | 9 |
| El Paso Electric Co. | 254 | 8 |
| PNM Resources Inc. | 460 | 8 |
| Unisource Energy Corp. | 223 | 8 |
| Allete Inc. | 194 | 8 |
| Black Hills Corp. | 239 | 8 |
| NorthWestern Corp. | 220 | 8 |
| Northwest Natural Gas Co. | 162 | 7 |
| MGE Energy Inc. | 146 | 6 |
| CH Energy Group Inc. | 83 | 6 |
| Laclede Group Inc. | 119 | 5 |
| Empire District Electric Co. | 222 | 4 |
| California Water Service Group | 222 | 4 |
| Otter Tail Corp. | 191 | 4 |
| American States Water Co. | 99 | 4 |
| Central Vermont Public Service Corp. | 71 | 3 |
| Chesapeake Utilities Corp. | 51 | 2 |
| Ormat Technologies Inc. | 100 | 2 |
| SJW Corp. | 80 | 2 |
| Unitil Corp. | 58 | 2 |
| Middlesex Water Co. | 83 | 2 |
| Connecticut Water Service Inc. | 45 | 1 |
| York Water Co. | 67 | 1 |
46
| Vanguard® Russell 3000 Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2012 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| * | Dynegy Inc. Class A | 577 | 1 | ||
| Artesian Resources Corp. Class A | 35 | 1 | |||
| * | Cadiz Inc. | 60 | 1 | ||
| Consolidated Water Co. Ltd. | 76 | 1 | |||
| Genie Energy Ltd. Class B | 46 | — | |||
| 3,032 | |||||
| Total Common Stocks (Cost $80,155) | 87,174 | ||||
| Coupon | |||||
| Temporary Cash Investment (0.3%)1 | |||||
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.3%) | |||||
| 2,3 | Freddie Mac Discount Notes (Cost $200) | 0.050% | 4/24/12 | 200 | 200 |
| Total Investments (100.1%) (Cost $80,355) | 87,374 | ||||
| Other Assets and Liabilities—Net (-0.1%) | (48) | ||||
| Net Assets (100%) | 87,326 | ||||
| Securities with a market value of less than $500 are displayed with a dash. | |||||
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.1%, respectively, of net assets.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
3 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
47
| © 2012 The Vanguard Group. Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| SNA 18542 042012 |
 |
| Semiannual Report | February 29, 2012 |
| Vanguard Sector Bond Index Funds |
| Vanguard Short-Term Government Bond Index Fund |
| Vanguard Intermediate-Term Government Bond Index Fund |
| Vanguard Long-Term Government Bond Index Fund |
| Vanguard Short-Term Corporate Bond Index Fund |
| Vanguard Intermediate-Term Corporate Bond Index Fund |
| Vanguard Long-Term Corporate Bond Index Fund |
| Vanguard Mortgage-Backed Securities Index Fund |
> For the six months ended February 29, 2012, Vanguard’s seven Sector Bond Index Funds posted returns ranging from just above zero for the Short-Term Government Bond Index Fund to more than 10% for the Long-Term Corporate Bond Index Fund.
> The three government funds, the Mortgage-Backed Securities Index Fund, and the Short-Term Corporate Bond Index Fund closely tracked their target indexes. The intermediate- and long-term corporate funds’ returns were less aligned with their indexes because of their sampling strategy and timing differences in end-of-day pricing.
> Corporate bonds significantly outperformed government bonds of comparable maturities, an indication that investors were willing to accept more risk.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 4 |
| Short-Term Government Bond Index Fund. | 10 |
| Intermediate-Term Government Bond Index Fund. | 24 |
| Long-Term Government Bond Index Fund. | 38 |
| Short-Term Corporate Bond Index Fund. | 51 |
| Intermediate-Term Corporate Bond Index Fund. | 83 |
| Long-Term Corporate Bond Index Fund. | 116 |
| Mortgage-Backed Securities Index Fund. | 144 |
| About Your Fund’s Expenses. | 157 |
| Glossary. | 160 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we strive to help clients reach their financial goals.
Your Fund’s Total Returns
| Six Months Ended February 29, 2012 | ||||
| 30-Day SEC | Income | Capital | Total | |
| Yields | Returns | Returns | Returns | |
| Vanguard Short-Term Government Bond Index Fund | ||||
| Signal® Shares | 0.16% | 0.23% | -0.22% | 0.01% |
| Institutional Shares | 0.21 | 0.26 | -0.18 | 0.08 |
| ETF Shares | 0.16 | |||
| Market Price | -0.03 | |||
| Net Asset Value | 0.05 | |||
| Barclays Capital U.S. 1–3 Year Government Float | ||||
| Adjusted Index | 0.10 | |||
| Short U.S. Government Funds Average | 0.40 | |||
| Short U.S. Government Funds Average: Derived from data provided by Lipper Inc. | ||||
| Vanguard Intermediate-Term Government Bond Index Fund | ||||
| Signal Shares | 0.90% | 0.91% | 0.88% | 1.79% |
| Institutional Shares | 0.95 | 0.92 | 0.86 | 1.78 |
| ETF Shares | 0.90 | |||
| Market Price | 1.79 | |||
| Net Asset Value | 1.78 | |||
| Barclays Capital U.S. 3–10 Year Government Float | ||||
| Adjusted Index | 1.77 | |||
| Intermediate U.S. Government Funds Average | 1.74 | |||
| Intermediate U.S. Government Funds Average: Derived from data provided by Lipper Inc. | ||||
| Vanguard Long-Term Government Bond Index Fund | ||||
| Signal Shares | 2.74% | 1.66% | 7.51% | 9.17% |
| Institutional Shares | 2.79 | 1.69 | 7.57 | 9.26 |
| ETF Shares | 2.74 | |||
| Market Price | 9.26 | |||
| Net Asset Value | 9.20 | |||
| Barclays Capital U.S. Long Government Float | ||||
| Adjusted Index | 9.22 | |||
| General U.S. Government Funds Average | 2.51 | |||
| General U.S. Government Funds Average: Derived from data provided by Lipper Inc. | ||||
Signal Shares and Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.
1
Your Fund’s Total Returns
| Six Months Ended February 29, 2012 | ||||
| 30-Day SEC | Income | Capital | Total | |
| Yields | Returns | Returns | Returns | |
| Vanguard Short-Term Corporate Bond Index Fund | ||||
| Signal Shares | 1.72% | 1.17% | 1.11% | 2.28% |
| Institutional Shares | 1.77 | 1.19 | 1.08 | 2.27 |
| ETF Shares | 1.72 | |||
| Market Price | 2.25 | |||
| Net Asset Value | 2.28 | |||
| Barclays Capital U.S. 1–5 Year Corporate Bond | ||||
| Index | 2.34 | |||
| Short-Intermediate Investment-Grade Debt Funds | ||||
| Average | 1.89 | |||
| Short-Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper Inc. | ||||
| Vanguard Intermediate-Term Corporate Bond Index Fund | ||||
| Signal Shares | 3.27% | 1.93% | 3.17% | 5.10% |
| Institutional Shares | 3.32 | 1.94 | 3.14 | 5.08 |
| ETF Shares | 3.27 | |||
| Market Price | 4.71 | |||
| Net Asset Value | 5.09 | |||
| Barclays Capital U.S. 5–10 Year Corporate Bond | ||||
| Index | 4.82 | |||
| Intermediate Investment-Grade Debt Funds | ||||
| Average | 3.22 | |||
| Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper Inc. | ||||
| Vanguard Long-Term Corporate Bond Index Fund | ||||
| Signal Shares | 4.68% | 2.52% | 8.25% | 10.77% |
| Institutional Shares | 4.73 | 2.56 | 8.24 | 10.80 |
| ETF Shares | 4.68 | |||
| Market Price | 10.91 | |||
| Net Asset Value | 10.74 | |||
| Barclays Capital U.S. 10+ Year Corporate Bond | ||||
| Index | 10.30 | |||
| Corporate Debt Funds BBB-Rated Average | 4.89 | |||
| Corporate Debt Funds BBB-Rated Average: Derived from data provided by Lipper Inc. | ||||
Signal Shares and Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.
2
Your Fund’s Total Returns
| Six Months Ended February 29, 2012 | ||||
| 30-Day SEC | Income | Capital | Total | |
| Yields | Returns | Returns | Returns | |
| Vanguard Mortgage-Backed Securities Index Fund | ||||
| Signal Shares | 1.73% | 0.97% | 0.49% | 1.46% |
| ETF Shares | 1.73 | |||
| Market Price | 1.48 | |||
| Net Asset Value | 1.45 | |||
| Barclays Capital U.S. MBS Float Adjusted Index | 1.53 | |||
| U.S. Mortgage Funds Average | 1.76 | |||
| U.S. Mortgage Funds Average: Derived from data provided by Lipper Inc. | ||||
Signal Shares and Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138; 7,720,749; 7,925,573; 8,090,646.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
3
Chairman’s Letter
Dear Shareholder,
Long-term bonds rallied in the six-month period ended February 29, 2012, eclipsing the results of their intermediate- and short-term counterparts. Corporate bonds outperformed government bonds of comparable maturities.
In this environment, Vanguard Long-Term Corporate Bond Index Fund performed best, returning 10.74%. (All returns cited in this letter are for ETF Shares, based on net asset value.) At the other end of the spectrum was the Short-Term Government Bond Index Fund, which returned just 0.05%.
The three government bond funds, the Mortgage-Backed Securities Index Fund, and the Short-Term Corporate Bond Index Fund met their objective of closely tracking their target indexes. The intermediate- and long-term corporate bond funds didn’t track as closely; their returns exceeded those of their benchmarks by more than one-quarter of a percentage point.
This divergence, or tracking error, is typically caused by a fund’s sampling strategy and by timing differences in end-of-day pricing. For more information on this, please see the Investment insight box on page 8.
The 30-day SEC yields for all seven of the Sector Bond Index funds declined over the period.
4
Bonds’ strength confounded expectations
Bonds produced solid returns, to the surprise of many long-time observers of the fixed income markets. At the start of the period, the yield of the 10-year U.S. Treasury note stood at 2.22%, suggesting that returns would be very modest by historical standards. Over the next six months, however, yields moved lower still, boosting bond prices, which move in the opposite direction. At the end of February, the yield of the 10-year T-note stood at 1.98%. As yields decline, obviously, the scope for continued declines—and price increases—diminishes. Municipal bonds performed even more strongly than the broad taxable market.
The returns for 3-month Treasury bills and other money market instruments remained near 0%, consistent with the Federal Reserve’s policy on interest rates.
Notes of optimism propelled stock prices higher
U.S. stocks produced a strong double-digit return of 13.18% over the period. That statement is true enough, but the headline figure obscures the volatility that has been perhaps the most prominent feature of the financial markets over the past six months and indeed the past few years. If the six-month period had started a month earlier, for example, the Dow Jones U.S. Total Stock Market Index would have returned just 1.97%. A start date two months earlier would have put the six-month return at –5.18%.
| Market Barometer | |||
| Total Returns | |||
| Periods Ended February 29, 2012 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Bonds | |||
| Barclays Capital U.S. Aggregate Bond Index (Broad | |||
| taxable market) | 2.73% | 8.37% | 6.36% |
| Barclays Capital Municipal Bond Index (Broad tax-exempt | |||
| market) | 5.67 | 12.42 | 5.50 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.06 | 1.20 |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.31% | 4.86% | 1.77% |
| Russell 2000 Index (Small-caps) | 12.40 | -0.15 | 1.83 |
| Dow Jones U.S. Total Stock Market Index | 13.18 | 4.35 | 2.07 |
| MSCI All Country World Index ex USA (International) | 3.97 | -6.10 | -0.75 |
| CPI | |||
| Consumer Price Index | 0.49% | 2.87% | 2.27% |
5
In the six months through February, however, stock prices benefited from signs of acceleration in the U.S. economic expansion and hope that the European Union’s latest agreement on Greek debt would help contain a threat that has menaced global markets for much of the past two years. European stocks rallied on the news about Greece, but international stocks still trailed their U.S. counterparts for the full six months.
Long-term bonds were the standouts
As I mentioned, investors favored bonds with longer-term maturities during the fiscal half-year, as reflected in the double-digit return of the Long-Term Corporate Bond Index Fund. The Long-Term Government Bond Index Fund also had an impressive result, returning 9.20%. For both funds, a rise in bond prices—reflected in their capital return—was the primary driver of total return. Of course, as bond prices rise, yields move in the opposite direction.
| Expense Ratios | ||||
| Your Fund Compared With Its Peer Group | ||||
| Signal | Institutional | ETF | Peer Group | |
| Shares | Shares | Shares | Average | |
| Short-Term Government Bond Index | ||||
| Fund | 0.14% | 0.09% | 0.14% | 0.82% |
| Intermediate-Term Government Bond | ||||
| Index Fund | 0.13 | 0.09 | 0.14 | 0.95 |
| Long-Term Government Bond Index | ||||
| Fund | 0.14 | 0.09 | 0.14 | 1.09 |
| Short-Term Corporate Bond Index Fund | 0.14 | 0.09 | 0.14 | 0.87 |
| Intermediate-Term Corporate Bond | ||||
| Index Fund | 0.14 | 0.09 | 0.14 | 0.89 |
| Long-Term Corporate Bond Index Fund | 0.14 | 0.09 | 0.14 | 1.01 |
| Mortgage-Backed Securities Index | ||||
| Fund | 0.15 | — | 0.15 | 0.90 |
The fund expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the funds’ annualized expense ratios were: for the Short-Term Government Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Intermediate-Term Government Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Long-Term Government Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Short-Term Corporate Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Intermediate-Term Corporate Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Long-Term Corporate Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; and for the Mortgage-Backed Securities Index Fund, 0.15% for Signal Shares and 0.15% for ETF Shares. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through 2011.
Peer groups: For the Short-Term Government Bond Index Fund, Short U.S. Government Funds; for the Intermediate-Term Government Bond Index Fund, Intermediate U.S. Government Funds; for the Long-Term Government Bond Index Fund, General U.S. Government Funds; for the Short-Term Corporate Bond Index Fund, Short-Intermediate Investment-Grade Debt Funds; for the Intermediate-Term Corporate Bond Index Fund, Intermediate Investment-Grade Debt Funds; for the Long-Term Corporate Bond Index Fund, Corporate BBB-Rated Debt Funds; for the Mortgage-Backed Securities Index Fund, U.S. Mortgage Funds.
6
Long-term bonds have been the beneficiary of the Fed’s “Operation Twist” program of buying long-term Treasury bonds, boosting prices and driving down yields. The policy is expected to stimulate economic growth because long-term bond yields influence borrowing costs for both consumers and corporations.
Investors in search of yield probably contributed to the rally. Although long-term bond yields have fallen, they remain significantly above those of short- and intermediate-term bonds. The higher yields, however, also come with higher risk. Long-term bonds are especially sensitive to changes in interest rates; a jump in rates could lead to a sharp drop in bond prices.
Among short- and intermediate-term bonds, corporate issues produced strong returns while results for government bonds were more modest. Government bonds, which include Treasuries and agency debt, had been a popular safe haven for investors during the summer and early fall. At that time, the headlines were dominated by Europe’s debt crisis and the controversy over whether to raise the U.S. government’s debt limit. In late 2011 and early 2012, however, investor optimism displaced anxiety amid signs of a strengthening U.S. economy.
Improving sentiment worked to the benefit of corporate bonds. Their prices rose, and by the end of the period, the difference between their yields and those of comparable Treasuries had narrowed.
| Yields of U.S. Treasury Securities | ||
| August 31, | February 29, | |
| Maturity | 2011 | 2012 |
| 2 years | 0.19% | 0.30% |
| 3 years | 0.32 | 0.42 |
| 5 years | 0.95 | 0.87 |
| 10 years | 2.22 | 1.98 |
| 30 years | 3.59 | 3.09 |
| Source: Vanguard. |
7
Short-term government bonds, in contrast, were stuck in neutral, producing negligible returns. The Short-Term Government Bond Index Fund’s meager income return was almost completely offset by a slight decline in prices. The Intermediate-Term Government Bond Index Fund, meanwhile, returned 1.78%.
Staying diversified remains the sound choice
The performance of longer-term bonds over the past six months was impressive. A note of caution may be in order, however. With apparently little room for interest rates to move lower, there is less opportunity for the kinds of gains we’ve seen in recent years.
We do believe bonds will continue to play an important role in a balanced plan by dampening the volatility of more risky assets such as stocks. Individually or in combination, the Vanguard Sector Bond Index Funds can help you to maintain a diversified portfolio that is consistent with your investment goals, and to do so at a low cost.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 15, 2012
| Investment insight |
| Why a bond index fund may stray from its benchmark |
| Most bond index funds use a sampling strategy designed to match the key risk |
| characteristics of their target indexes, because it would be very costly and impractical |
| to own all of the index’s bonds. As a consequence of this strategy, there can |
| occasionally be a notable difference between the index fund’s return and that of its |
| target benchmark, a divergence known as “tracking error.” |
| With Vanguard Fixed Income Group’s sophisticated sampling techniques and |
| robust risk controls, we expect Vanguard funds to have relatively low tracking |
| error over time. |
| Another source of tracking error can be timing differences in end-of-day pricing. |
| Vanguard prices its bond holdings daily at 4 p.m., while the Barclays Capital indexes |
| are priced at 3 p.m. If the bond market is volatile after 3 p.m., or the prices of even a |
| few bonds change significantly, our fund may appear to underperform or outperform |
| its target index. However, because bond prices tend to converge the next trading |
| day, this divergence is usually temporary. |
8
| Your Fund’s Performance at a Glance | ||||
| August 31, 2011, Through February 29, 2012 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Short-Term Government Bond Index | ||||
| Fund | ||||
| Signal Shares | $20.39 | $20.31 | $0.048 | $0.035 |
| Institutional Shares | 25.62 | 25.53 | 0.067 | 0.044 |
| ETF Shares | 61.11 | 60.89 | 0.144 | 0.105 |
| Vanguard Intermediate-Term Government | ||||
| Bond Index Fund | ||||
| Signal Shares | $21.94 | $22.09 | $0.198 | $0.042 |
| Institutional Shares | 27.21 | 27.39 | 0.250 | 0.053 |
| ETF Shares | 64.91 | 65.35 | 0.586 | 0.124 |
| Vanguard Long-Term Government Bond Index | ||||
| Fund | ||||
| Signal Shares | $22.91 | $24.63 | $0.377 | $0.000 |
| Institutional Shares | 29.06 | 31.26 | 0.486 | 0.000 |
| ETF Shares | 68.07 | 73.21 | 1.118 | 0.000 |
| Vanguard Short-Term Corporate Bond Index | ||||
| Fund | ||||
| Signal Shares | $21.26 | $21.47 | $0.245 | $0.025 |
| Institutional Shares | 26.03 | 26.28 | 0.304 | 0.031 |
| ETF Shares | 78.06 | 78.83 | 0.896 | 0.092 |
| Vanguard Intermediate-Term Corporate Bond | ||||
| Index Fund | ||||
| Signal Shares | $21.98 | $22.66 | $0.407 | $0.017 |
| Institutional Shares | 27.17 | 28.00 | 0.509 | 0.021 |
| ETF Shares | 81.49 | 84.01 | 1.508 | 0.063 |
| Vanguard Long-Term Corporate Bond Index | ||||
| Fund | ||||
| Signal Shares | $21.69 | $23.48 | $0.523 | $0.000 |
| Institutional Shares | 26.93 | 29.15 | 0.657 | 0.000 |
| ETF Shares | 80.80 | 87.45 | 1.949 | 0.000 |
| Vanguard Mortgage-Backed Securities Index | ||||
| Fund | ||||
| Signal Shares | $20.76 | $20.76 | $0.199 | $0.101 |
| ETF Shares | 51.90 | 51.88 | 0.512 | 0.253 |
9
Short-Term Government Bond Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | |||
| Signal | Institutional | ETF | |
| Shares | Shares | Shares | |
| Ticker Symbol | VSBSX | VSBIX | VGSH |
| Expense Ratio1 | 0.14% | 0.09% | 0.14% |
| 30-Day SEC Yield | 0.16% | 0.21% | 0.16% |
| Financial Attributes | |||
| Barclays | |||
| 1–3 Year | |||
| Gov’t | Barclays | ||
| Float Adj | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 117 | 512 | 7,819 |
| Yield to Maturity | |||
| (before expenses) | 0.3% | 0.3% | 2.1% |
| Average Coupon | 1.3% | 1.6% | 3.9% |
| Average Duration | 1.9 years | 1.9 years | 5.1 years |
| Average Effective | |||
| Maturity | 1.9 years | 2.0 years | 7.2 years |
| Short-Term | |||
| Reserves | 2.5% | — | — |
| Sector Diversification (% of portfolio) | |
| Treasury/Agency | 100.0% |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| Distribution by Maturity (% of portfolio) | |
| Under 1 Year | 1.2% |
| 1 - 3 Years | 98.4 |
| 3 - 5 Years | 0.4 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 100.0% |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares.
10
Short-Term Government Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2012 | ||
| Barclays | ||
| 1–3 Year | ||
| Gov’t | ||
| Float Adj | ||
| ETF Shares Net Asset Value | Index | |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 1.69% | 1.83% |
| 2011 | 1.39 | 1.53 |
| 2012 | 0.05 | 0.10 |
| Note: For 2012, performance data reflect the six months ended February 29, 2012. | ||
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Since Inception | |||||
| Inception Date | One Year | Income | Capital | Total | |
| Signal Shares | 12/28/2009 | 1.46% | 0.67% | 1.13% | 1.80% |
| Institutional Shares | 8/23/2010 | 1.49 | 0.72 | 0.42 | 1.14 |
| ETF Shares | 11/19/2009 | ||||
| Market Price | 1.39 | 1.49 | |||
| Net Asset Value | 1.45 | 1.48 |
See Financial Highlights for dividend and capital gains information.
11
Short-Term Government Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (98.6%) | ||||
| U.S. Government Securities (80.8%) | ||||
| United States Treasury Note/Bond | 1.375% | 3/15/13 | 3,466 | 3,508 |
| United States Treasury Note/Bond | 0.750% | 3/31/13 | 2,564 | 2,578 |
| United States Treasury Note/Bond | 2.500% | 3/31/13 | 2,844 | 2,914 |
| United States Treasury Note/Bond | 1.750% | 4/15/13 | 1,511 | 1,537 |
| United States Treasury Note/Bond | 0.625% | 4/30/13 | 2,414 | 2,425 |
| United States Treasury Note/Bond | 3.125% | 4/30/13 | 1,782 | 1,842 |
| United States Treasury Note/Bond | 1.375% | 5/15/13 | 3,707 | 3,757 |
| United States Treasury Note/Bond | 3.625% | 5/15/13 | 1,405 | 1,462 |
| United States Treasury Note/Bond | 0.500% | 5/31/13 | 4,130 | 4,144 |
| United States Treasury Note/Bond | 3.500% | 5/31/13 | 1,095 | 1,139 |
| United States Treasury Note/Bond | 1.125% | 6/15/13 | 2,748 | 2,779 |
| United States Treasury Note/Bond | 0.375% | 6/30/13 | 4,975 | 4,983 |
| United States Treasury Note/Bond | 3.375% | 6/30/13 | 2,387 | 2,486 |
| United States Treasury Note/Bond | 1.000% | 7/15/13 | 6,809 | 6,878 |
| United States Treasury Note/Bond | 0.375% | 7/31/13 | 3,100 | 3,105 |
| United States Treasury Note/Bond | 3.375% | 7/31/13 | 2,627 | 2,742 |
| United States Treasury Note/Bond | 0.750% | 8/15/13 | 3,590 | 3,615 |
| United States Treasury Note/Bond | 4.250% | 8/15/13 | 3,448 | 3,647 |
| United States Treasury Note/Bond | 0.125% | 8/31/13 | 1,925 | 1,921 |
| United States Treasury Note/Bond | 3.125% | 8/31/13 | 2,090 | 2,178 |
| United States Treasury Note/Bond | 0.750% | 9/15/13 | 1,498 | 1,509 |
| United States Treasury Note/Bond | 0.125% | 9/30/13 | 2,175 | 2,170 |
| United States Treasury Note/Bond | 3.125% | 9/30/13 | 2,151 | 2,247 |
| United States Treasury Note/Bond | 0.500% | 10/15/13 | 981 | 984 |
| United States Treasury Note/Bond | 0.250% | 10/31/13 | 3,950 | 3,948 |
| United States Treasury Note/Bond | 2.750% | 10/31/13 | 2,092 | 2,177 |
| United States Treasury Note/Bond | 0.500% | 11/15/13 | 6,094 | 6,115 |
| United States Treasury Note/Bond | 4.250% | 11/15/13 | 2,378 | 2,538 |
| United States Treasury Note/Bond | 0.250% | 11/30/13 | 800 | 799 |
| United States Treasury Note/Bond | 2.000% | 11/30/13 | 957 | 985 |
| United States Treasury Note/Bond | 0.750% | 12/15/13 | 2,064 | 2,080 |
| United States Treasury Note/Bond | 0.125% | 12/31/13 | 2,875 | 2,866 |
| United States Treasury Note/Bond | 1.500% | 12/31/13 | 1,581 | 1,616 |
| United States Treasury Note/Bond | 1.000% | 1/15/14 | 1,581 | 1,601 |
| United States Treasury Note/Bond | 0.250% | 1/31/14 | 5,700 | 5,694 |
| United States Treasury Note/Bond | 1.750% | 1/31/14 | 1,359 | 1,396 |
| United States Treasury Note/Bond | 1.250% | 2/15/14 | 2,811 | 2,862 |
12
Short-Term Government Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| United States Treasury Note/Bond | 4.000% | 2/15/14 | 2,334 | 2,502 |
| United States Treasury Note/Bond | 1.875% | 2/28/14 | 3,566 | 3,676 |
| United States Treasury Note/Bond | 1.250% | 3/15/14 | 693 | 706 |
| United States Treasury Note/Bond | 1.750% | 3/31/14 | 1,994 | 2,053 |
| United States Treasury Note/Bond | 1.250% | 4/15/14 | 1,531 | 1,560 |
| United States Treasury Note/Bond | 1.875% | 4/30/14 | 2,275 | 2,350 |
| United States Treasury Note/Bond | 1.000% | 5/15/14 | 2,580 | 2,617 |
| United States Treasury Note/Bond | 4.750% | 5/15/14 | 2,404 | 2,637 |
| United States Treasury Note/Bond | 2.250% | 5/31/14 | 3,822 | 3,983 |
| United States Treasury Note/Bond | 0.750% | 6/15/14 | 2,770 | 2,795 |
| United States Treasury Note/Bond | 0.625% | 7/15/14 | 6,120 | 6,156 |
| United States Treasury Note/Bond | 2.625% | 7/31/14 | 300 | 316 |
| United States Treasury Note/Bond | 0.500% | 8/15/14 | 6,425 | 6,443 |
| United States Treasury Note/Bond | 2.375% | 8/31/14 | 250 | 262 |
| United States Treasury Note/Bond | 0.250% | 9/15/14 | 5,335 | 5,315 |
| United States Treasury Note/Bond | 2.375% | 9/30/14 | 200 | 210 |
| United States Treasury Note/Bond | 0.500% | 10/15/14 | 4,590 | 4,602 |
| United States Treasury Note/Bond | 0.375% | 11/15/14 | 6,850 | 6,844 |
| United States Treasury Note/Bond | 4.250% | 11/15/14 | 1,245 | 1,373 |
| United States Treasury Note/Bond | 2.125% | 11/30/14 | 2,800 | 2,929 |
| United States Treasury Note/Bond | 0.250% | 12/15/14 | 7,250 | 7,218 |
| United States Treasury Note/Bond | 2.625% | 12/31/14 | 1,200 | 1,274 |
| United States Treasury Note/Bond | 0.250% | 1/15/15 | 2,075 | 2,065 |
| United States Treasury Note/Bond | 2.250% | 1/31/15 | 1,525 | 1,605 |
| United States Treasury Note/Bond | 0.250% | 2/15/15 | 10,525 | 10,472 |
| 183,190 | ||||
| Agency Bonds and Notes (17.8%) | ||||
| 1 Federal Agricultural Mortgage Corp. | 1.250% | 12/6/13 | 45 | 46 |
| 1 Federal Farm Credit Bank | 1.375% | 6/25/13 | 60 | 61 |
| 1 Federal Farm Credit Bank | 1.125% | 2/27/14 | 100 | 102 |
| 1 Federal Farm Credit Bank | 2.625% | 4/17/14 | 550 | 576 |
| 1 Federal Farm Credit Bank | 1.625% | 11/19/14 | 50 | 52 |
| 1 Federal Home Loan Banks | 1.625% | 3/20/13 | 25 | 25 |
| 1 Federal Home Loan Banks | 1.000% | 3/27/13 | 900 | 907 |
| 1 Federal Home Loan Banks | 3.875% | 6/14/13 | 50 | 52 |
| 1 Federal Home Loan Banks | 1.875% | 6/21/13 | 2,175 | 2,220 |
| 1 Federal Home Loan Banks | 0.500% | 8/28/13 | 1,300 | 1,304 |
| 1 Federal Home Loan Banks | 4.000% | 9/6/13 | 380 | 401 |
| 1 Federal Home Loan Banks | 0.375% | 11/27/13 | 350 | 350 |
| 1 Federal Home Loan Banks | 0.875% | 12/27/13 | 2,510 | 2,534 |
| 1 Federal Home Loan Banks | 0.375% | 1/29/14 | 400 | 400 |
| 1 Federal Home Loan Banks | 2.500% | 6/13/14 | 100 | 105 |
| 1 Federal Home Loan Banks | 5.500% | 8/13/14 | 700 | 787 |
| 1 Federal Home Loan Banks | 4.500% | 11/14/14 | 100 | 111 |
| 1 Federal Home Loan Banks | 2.750% | 12/12/14 | 675 | 716 |
| 2 Federal Home Loan Mortgage Corp. | 0.750% | 3/28/13 | 1,675 | 1,684 |
| 2 Federal Home Loan Mortgage Corp. | 1.625% | 4/15/13 | 3,000 | 3,046 |
| 2 Federal Home Loan Mortgage Corp. | 4.500% | 7/15/13 | 375 | 397 |
| 2 Federal Home Loan Mortgage Corp. | 0.375% | 10/30/13 | 1,640 | 1,641 |
| 2 Federal Home Loan Mortgage Corp. | 0.375% | 11/27/13 | 500 | 500 |
| 2 Federal Home Loan Mortgage Corp. | 2.500% | 1/7/14 | 265 | 275 |
| 2 Federal Home Loan Mortgage Corp. | 4.500% | 1/15/14 | 450 | 484 |
| 2 Federal Home Loan Mortgage Corp. | 1.375% | 2/25/14 | 1,065 | 1,086 |
| 2 Federal Home Loan Mortgage Corp. | 2.500% | 4/23/14 | 190 | 198 |
| 2 Federal Home Loan Mortgage Corp. | 0.375% | 4/28/14 | 1,000 | 999 |
13
Short-Term Government Bond Index Fund
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| 2 | Federal Home Loan Mortgage Corp. | 3.000% | 7/28/14 | 285 | 302 |
| 2 | Federal Home Loan Mortgage Corp. | 1.000% | 7/30/14 | 325 | 329 |
| 2 | Federal Home Loan Mortgage Corp. | 1.000% | 8/20/14 | 575 | 582 |
| 2 | Federal Home Loan Mortgage Corp. | 1.000% | 8/27/14 | 925 | 937 |
| 2 | Federal Home Loan Mortgage Corp. | 0.500% | 9/19/14 | 475 | 475 |
| 2 | Federal Home Loan Mortgage Corp. | 0.750% | 11/25/14 | 500 | 503 |
| 2 | Federal Home Loan Mortgage Corp. | 0.625% | 12/29/14 | 650 | 652 |
| 2 | Federal Home Loan Mortgage Corp. | 4.500% | 1/15/15 | 50 | 56 |
| 2 | Federal Home Loan Mortgage Corp. | 2.875% | 2/9/15 | 675 | 721 |
| 2 | Federal Home Loan Mortgage Corp. | 0.500% | 4/17/15 | 500 | 498 |
| 2 | Federal National Mortgage Assn. | 4.375% | 3/15/13 | 1,915 | 1,997 |
| 2 | Federal National Mortgage Assn. | 1.500% | 6/26/13 | 585 | 594 |
| 2 | Federal National Mortgage Assn. | 3.875% | 7/12/13 | 280 | 294 |
| 2 | Federal National Mortgage Assn. | 0.500% | 8/9/13 | 1,125 | 1,128 |
| 2 | Federal National Mortgage Assn. | 1.250% | 8/20/13 | 550 | 558 |
| 2 | Federal National Mortgage Assn. | 2.875% | 12/11/13 | 880 | 919 |
| 2 | Federal National Mortgage Assn. | 0.750% | 12/18/13 | 2,065 | 2,079 |
| 2 | Federal National Mortgage Assn. | 1.250% | 2/27/14 | 1,355 | 1,379 |
| 2 | Federal National Mortgage Assn. | 2.750% | 3/13/14 | 555 | 581 |
| 2 | Federal National Mortgage Assn. | 1.125% | 6/27/14 | 475 | 483 |
| 2 | Federal National Mortgage Assn. | 0.875% | 8/28/14 | 1,550 | 1,566 |
| 2 | Federal National Mortgage Assn. | 0.625% | 10/30/14 | 1,375 | 1,380 |
| 2 | Federal National Mortgage Assn. | 2.625% | 11/20/14 | 280 | 296 |
| 2 | Federal National Mortgage Assn. | 0.750% | 12/19/14 | 500 | 503 |
| 2 | Federal National Mortgage Assn. | 0.375% | 3/16/15 | 350 | 348 |
| Private Export Funding Corp. | 3.050% | 10/15/14 | 175 | 185 | |
| 40,404 | |||||
| Total U.S. Government and Agency Obligations (Cost $222,779) | 223,594 | ||||
| Shares | |||||
| Temporary Cash Investment (2.5%) | |||||
| Money Market Fund (2.5%) | |||||
| 3 | Vanguard Market Liquidity Fund (Cost $5,738) | 0.111% | 5,737,914 | 5,738 | |
| Total Investments (101.1%) (Cost $228,517) | 229,332 | ||||
| Other Assets and Liabilities (-1.1%) | |||||
| Other Assets | 9,574 | ||||
| Liabilities | (12,054) | ||||
| (2,480) | |||||
| Net Assets (100%) | 226,852 | ||||
| Statement of Assets and Liabilities | |||||
| Assets | |||||
| Investments in Securities, at Value | 229,332 | ||||
| Receivables for Investment Securities Sold | 8,833 | ||||
| Other Assets | 741 | ||||
| Total Assets | 238,906 | ||||
| Liabilities | |||||
| Payables for Investment Securities Purchased | 10,605 | ||||
| Other Liabilities | 1,449 | ||||
| Total Liabilities | 12,054 | ||||
| Net Assets | 226,852 | ||||
14
Short-Term Government Bond Index Fund
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 225,803 |
| Undistributed Net Investment Income | — |
| Accumulated Net Realized Gains | 234 |
| Unrealized Appreciation (Depreciation) | 815 |
| Net Assets | 226,852 |
| Signal Shares—Net Assets | |
| Applicable to 1,277,981 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 25,961 |
| Net Asset Value Per Share—Signal Shares | $20.31 |
| Institutional Shares—Net Assets | |
| Applicable to 1,310,351 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 33,450 |
| Net Asset Value Per Share—Institutional Shares | $25.53 |
| ETF Shares—Net Assets | |
| Applicable to 2,750,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 167,441 |
| Net Asset Value Per Share—ETF Shares | $60.89 |
See Note A in Notes to Financial Statements.
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Short-Term Government Bond Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 663 |
| Total Income | 663 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 5 |
| Management and Administrative—Signal Shares | 8 |
| Management and Administrative—Institutional Shares | 14 |
| Management and Administrative—ETF Shares | 84 |
| Marketing and Distribution—Signal Shares | 2 |
| Marketing and Distribution—Institutional Shares | — |
| Marketing and Distribution—ETF Shares | 21 |
| Custodian Fees | 1 |
| Shareholders’ Reports—Signal Shares | — |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 5 |
| Total Expenses | 140 |
| Net Investment Income | 523 |
| Realized Net Gain (Loss) on Investment Securities Sold | 355 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (780) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 98 |
| 1 Interest income from an affiliated company of the fund was $2,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
16
Short-Term Government Bond Index Fund
| Statement of Changes in Net Assets | ||
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 523 | 927 |
| Realized Net Gain (Loss) | 355 | 360 |
| Change in Unrealized Appreciation (Depreciation) | (780) | 887 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 98 | 2,174 |
| Distributions | ||
| Net Investment Income | ||
| Signal Shares | (36) | (72) |
| Institutional Shares | (87) | (127) |
| ETF Shares | (391) | (737) |
| Realized Capital Gain1 | ||
| Signal Shares | (22) | (5) |
| Institutional Shares | (57) | (4) |
| ETF Shares | (294) | (41) |
| Return of Capital | ||
| Total Distributions | (887) | (986) |
| Capital Share Transactions | ||
| Signal Shares | 15,391 | 4,982 |
| Institutional Shares | 199 | 25,172 |
| ETF Shares | 18,327 | 69,867 |
| Net Increase (Decrease) from Capital Share Transactions | 33,917 | 100,021 |
| Total Increase (Decrease) | 33,128 | 101,209 |
| Net Assets | ||
| Beginning of Period | 193,724 | 92,515 |
| End of Period2 | 226,852 | 193,724 |
1 Includes fiscal 2012 and 2011 short-term gain distributions totaling $178,000 and $50,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $0 and ($9,000).
See accompanying Notes, which are an integral part of the Financial Statements.
17
Short-Term Government Bond Index Fund
Financial Highlights
| Signal Shares | |||
| Six Months | Year | Dec. 28, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $20.39 | $20.25 | $19.92 |
| Investment Operations | |||
| Net Investment Income | .050 | .134 | .101 |
| Net Realized and Unrealized Gain (Loss) on Investments | (.047) | .149 | .329 |
| Total from Investment Operations | .003 | .283 | .430 |
| Distributions | |||
| Dividends from Net Investment Income | (.048) | (.135) | (.100) |
| Distributions from Realized Capital Gains | (.035) | (.008) | — |
| Total Distributions | (.083) | (.143) | (.100) |
| Net Asset Value, End of Period | $20.31 | $20.39 | $20.25 |
| Total Return | 0.01% | 1.40% | 2.16% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $26 | $11 | $6 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15%2 |
| Ratio of Net Investment Income to Average Net Assets | 0.49% | 0.66% | 0.84%2 |
| Portfolio Turnover Rate3 | 76% | 69% | 69% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Short-Term Government Bond Index Fund
Financial Highlights
| Institutional Shares | |||
| Six Months | Year | Aug. 23, | |
| Ended | Ended | 20101 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $25.62 | $25.45 | $25.46 |
| Investment Operations | |||
| Net Investment Income | .068 | .183 | .005 |
| Net Realized and Unrealized Gain (Loss) on Investments | (.047) | .180 | .003 |
| Total from Investment Operations | .021 | .363 | .008 |
| Distributions | |||
| Dividends from Net Investment Income | (.067) | (.183) | (.018) |
| Distributions from Realized Capital Gains | (.044) | (.010) | — |
| Total Distributions | (.111) | (.193) | (.018) |
| Net Asset Value, End of Period | $25.53 | $25.62 | $25.45 |
| Total Return | 0.08% | 1.43% | 0.03% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $33 | $33 | $8 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09%2 |
| Ratio of Net Investment Income to Average Net Assets | 0.54% | 0.71% | 0.90%2 |
| Portfolio Turnover Rate3 | 76% | 69% | 69% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Short-Term Government Bond Index Fund
Financial Highlights
| ETF Shares | |||
| Six Months | Year | Nov. 19, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $61.11 | $60.70 | $60.04 |
| Investment Operations | |||
| Net Investment Income | .147 | .405 | .349 |
| Net Realized and Unrealized Gain (Loss) on Investments | (.118) | .434 | .660 |
| Total from Investment Operations | .029 | .839 | 1.009 |
| Distributions | |||
| Dividends from Net Investment Income | (.144) | (.405) | (.349) |
| Distributions from Realized Capital Gains | (.105) | (.024) | — |
| Total Distributions | (.249) | (.429) | (.349) |
| Net Asset Value, End of Period | $60.89 | $61.11 | $60.70 |
| Total Return | 0.05% | 1.39% | 1.69% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $167 | $150 | $79 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15%2 |
| Ratio of Net Investment Income to Average Net Assets | 0.49% | 0.66% | 0.84%2 |
| Portfolio Turnover Rate3 | 76% | 69% | 69% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Short-Term Government Bond Index Fund
Notes to Financial Statements
Vanguard Short-Term Government Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Signal Shares, Institutional Shares, and ETF Shares. Signal Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2010–2011), and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees, if any, assessed on purchases of capital shares are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $34,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
21
Short-Term Government Bond Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 223,594 | — |
| Temporary Cash Investments | 5,738 | — | — |
| Total | 5,738 | 223,594 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
During the six months ended February 29, 2012, the fund realized $29,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
At February 29, 2012, the cost of investment securities for tax purposes was $228,517,000. Net unrealized appreciation of investment securities for tax purposes was $815,000, consisting of unrealized gains of $872,000 on securities that had risen in value since their purchase and $57,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $116,394,000 of investment securities and sold $82,549,000 of investment securities, other than temporary cash investments.
22
Short-Term Government Bond Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Signal Shares | ||||
| Issued | 20,482 | 1,007 | 11,614 | 574 |
| Issued in Lieu of Cash Distributions | 57 | 3 | 77 | 4 |
| Redeemed | (5,148) | (253) | (6,709) | (333) |
| Net Increase (Decrease)—Signal Shares | 15,391 | 757 | 4,982 | 245 |
| Institutional Shares | ||||
| Issued | 54 | 2 | 25,041 | 983 |
| Issued in Lieu of Cash Distributions | 145 | 6 | 131 | 5 |
| Redeemed | — | — | — | — |
| Net Increase (Decrease)—Institutional Shares | 199 | 8 | 25,172 | 988 |
| ETF Shares | ||||
| Issued | 21,377 | 350 | 78,970 | 1,300 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (3,050) | (50) | (9,103) | (150) |
| Net Increase (Decrease)—ETF Shares | 18,327 | 300 | 69,867 | 1,150 |
F. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
23
Intermediate-Term Government Bond Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | |||
| Signal | Institutional | ETF | |
| Shares | Shares | Shares | |
| Ticker Symbol | VSIGX | VIIGX | VGIT |
| Expense Ratio1 | 0.13% | 0.09% | 0.14% |
| 30-Day SEC Yield | 0.90% | 0.95% | 0.90% |
| Financial Attributes | |||
| Barclays | |||
| 3–10 Year | |||
| Gov’t | Barclays | ||
| Float Adj | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 150 | 365 | 7,819 |
| Yield to Maturity | |||
| (before expenses) | 1.1% | 1.1% | 2.1% |
| Average Coupon | 2.9% | 2.7% | 3.9% |
| Average Duration | 5.3 years | 5.3 years | 5.1 years |
| Average Effective | |||
| Maturity | 5.8 years | 5.8 years | 7.2 years |
| Short-Term | |||
| Reserves | 1.5% | — | — |
| Sector Diversification (% of portfolio) | |||
| Treasury/Agency | 100.0% | ||
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| Distribution by Maturity (% of portfolio) | |
| Under 1 Year | 0.7% |
| 1 - 3 Years | 0.2 |
| 3 - 5 Years | 43.6 |
| 5 - 10 Years | 55.5 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 100.0% |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares.
24
Intermediate-Term Government Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2012 | ||
| Barclays | ||
| 3–10 Year | ||
| Gov’t | ||
| Float Adj | ||
| ETF Shares Net Asset Value | Index | |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 7.65% | 7.76% |
| 2011 | 5.30 | 5.53 |
| 2012 | 1.78 | 1.77 |
| Note: For 2012, performance data reflect the six months ended February 29, 2012. | ||
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Since Inception | |||||
| Inception Date | One Year | Income | Capital | Total | |
| Signal Shares | 8/4/2010 | 9.66% | 2.16% | 4.26% | 6.42% |
| Institutional Shares | 3/19/2010 | 9.79 | 2.29 | 6.04 | 8.33 |
| ETF Shares | 11/19/2009 | ||||
| Market Price | 9.71 | 6.99 | |||
| Net Asset Value | 9.72 | 6.94 |
See Financial Highlights for dividend and capital gains information.
25
Intermediate-Term Government Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (98.7%) | ||||
| U.S. Government Securities (90.7%) | ||||
| United States Treasury Note/Bond | 2.375% | 2/28/15 | 484 | 512 |
| United States Treasury Note/Bond | 2.500% | 3/31/15 | 2,910 | 3,090 |
| United States Treasury Note/Bond | 2.500% | 4/30/15 | 2,627 | 2,793 |
| United States Treasury Note/Bond | 4.125% | 5/15/15 | 2,055 | 2,292 |
| United States Treasury Note/Bond | 2.125% | 5/31/15 | 3,401 | 3,579 |
| United States Treasury Note/Bond | 1.875% | 6/30/15 | 2,790 | 2,915 |
| United States Treasury Note/Bond | 1.750% | 7/31/15 | 1,830 | 1,905 |
| United States Treasury Note/Bond | 4.250% | 8/15/15 | 883 | 995 |
| United States Treasury Note/Bond | 10.625% | 8/15/15 | 613 | 826 |
| United States Treasury Note/Bond | 1.250% | 8/31/15 | 4,381 | 4,489 |
| United States Treasury Note/Bond | 1.250% | 9/30/15 | 1,724 | 1,766 |
| United States Treasury Note/Bond | 1.250% | 10/31/15 | 1,767 | 1,809 |
| United States Treasury Note/Bond | 4.500% | 11/15/15 | 1,113 | 1,273 |
| United States Treasury Note/Bond | 9.875% | 11/15/15 | 158 | 212 |
| United States Treasury Note/Bond | 1.375% | 11/30/15 | 2,234 | 2,298 |
| United States Treasury Note/Bond | 2.125% | 12/31/15 | 1,829 | 1,934 |
| United States Treasury Note/Bond | 2.000% | 1/31/16 | 2,938 | 3,093 |
| United States Treasury Note/Bond | 4.500% | 2/15/16 | 1,085 | 1,248 |
| United States Treasury Note/Bond | 9.250% | 2/15/16 | 266 | 356 |
| United States Treasury Note/Bond | 2.125% | 2/29/16 | 800 | 847 |
| United States Treasury Note/Bond | 2.625% | 2/29/16 | 736 | 794 |
| United States Treasury Note/Bond | 2.250% | 3/31/16 | 1,913 | 2,036 |
| United States Treasury Note/Bond | 2.375% | 3/31/16 | 1,182 | 1,264 |
| United States Treasury Note/Bond | 2.000% | 4/30/16 | 1,870 | 1,970 |
| United States Treasury Note/Bond | 2.625% | 4/30/16 | 2,337 | 2,521 |
| United States Treasury Note/Bond | 5.125% | 5/15/16 | 746 | 883 |
| United States Treasury Note/Bond | 7.250% | 5/15/16 | 123 | 156 |
| United States Treasury Note/Bond | 1.750% | 5/31/16 | 2,686 | 2,803 |
| United States Treasury Note/Bond | 3.250% | 5/31/16 | 387 | 428 |
| United States Treasury Note/Bond | 1.500% | 6/30/16 | 4,150 | 4,285 |
| United States Treasury Note/Bond | 3.250% | 6/30/16 | 1,660 | 1,837 |
| United States Treasury Note/Bond | 1.500% | 7/31/16 | 4,115 | 4,248 |
| United States Treasury Note/Bond | 3.250% | 7/31/16 | 1,177 | 1,305 |
| United States Treasury Note/Bond | 4.875% | 8/15/16 | 172 | 203 |
| United States Treasury Note/Bond | 1.000% | 8/31/16 | 3,415 | 3,450 |
| United States Treasury Note/Bond | 3.000% | 8/31/16 | 917 | 1,007 |
| United States Treasury Note/Bond | 1.000% | 9/30/16 | 1,585 | 1,600 |
| United States Treasury Note/Bond | 3.000% | 9/30/16 | 4,415 | 4,855 |
26
Intermediate-Term Government Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| United States Treasury Note/Bond | 1.000% | 10/31/16 | 675 | 681 |
| United States Treasury Note/Bond | 3.125% | 10/31/16 | 707 | 782 |
| United States Treasury Note/Bond | 4.625% | 11/15/16 | 1,255 | 1,475 |
| United States Treasury Note/Bond | 7.500% | 11/15/16 | 1,315 | 1,721 |
| United States Treasury Note/Bond | 0.875% | 11/30/16 | 3,500 | 3,509 |
| United States Treasury Note/Bond | 2.750% | 11/30/16 | 1,615 | 1,760 |
| United States Treasury Note/Bond | 0.875% | 12/31/16 | 1,350 | 1,352 |
| United States Treasury Note/Bond | 3.250% | 12/31/16 | 223 | 248 |
| United States Treasury Note/Bond | 0.875% | 1/31/17 | 582 | 583 |
| United States Treasury Note/Bond | 3.125% | 1/31/17 | 4,130 | 4,580 |
| United States Treasury Note/Bond | 4.625% | 2/15/17 | 1,605 | 1,897 |
| United States Treasury Note/Bond | 0.875% | 2/28/17 | 1,600 | 1,600 |
| United States Treasury Note/Bond | 3.000% | 2/28/17 | 927 | 1,023 |
| United States Treasury Note/Bond | 3.250% | 3/31/17 | 3,259 | 3,639 |
| United States Treasury Note/Bond | 3.125% | 4/30/17 | 863 | 959 |
| United States Treasury Note/Bond | 4.500% | 5/15/17 | 4,204 | 4,967 |
| United States Treasury Note/Bond | 8.750% | 5/15/17 | 177 | 248 |
| United States Treasury Note/Bond | 2.750% | 5/31/17 | 1,274 | 1,392 |
| United States Treasury Note/Bond | 2.500% | 6/30/17 | 1,646 | 1,778 |
| United States Treasury Note/Bond | 2.375% | 7/31/17 | 1,523 | 1,635 |
| United States Treasury Note/Bond | 4.750% | 8/15/17 | 724 | 869 |
| United States Treasury Note/Bond | 8.875% | 8/15/17 | 1,320 | 1,878 |
| United States Treasury Note/Bond | 1.875% | 8/31/17 | 911 | 953 |
| United States Treasury Note/Bond | 1.875% | 9/30/17 | 2,008 | 2,099 |
| United States Treasury Note/Bond | 1.875% | 10/31/17 | 1,940 | 2,028 |
| United States Treasury Note/Bond | 4.250% | 11/15/17 | 2,098 | 2,470 |
| United States Treasury Note/Bond | 2.250% | 11/30/17 | 5,155 | 5,497 |
| United States Treasury Note/Bond | 2.750% | 12/31/17 | 1,111 | 1,216 |
| United States Treasury Note/Bond | 2.625% | 1/31/18 | 909 | 988 |
| United States Treasury Note/Bond | 3.500% | 2/15/18 | 3,671 | 4,176 |
| United States Treasury Note/Bond | 2.750% | 2/28/18 | 2,006 | 2,197 |
| United States Treasury Note/Bond | 2.875% | 3/31/18 | 1,162 | 1,281 |
| United States Treasury Note/Bond | 2.625% | 4/30/18 | 1,567 | 1,704 |
| United States Treasury Note/Bond | 3.875% | 5/15/18 | 906 | 1,054 |
| United States Treasury Note/Bond | 9.125% | 5/15/18 | 171 | 253 |
| United States Treasury Note/Bond | 2.375% | 5/31/18 | 1,682 | 1,802 |
| United States Treasury Note/Bond | 2.375% | 6/30/18 | 2,185 | 2,338 |
| United States Treasury Note/Bond | 2.250% | 7/31/18 | 3,500 | 3,717 |
| United States Treasury Note/Bond | 4.000% | 8/15/18 | 3,315 | 3,890 |
| United States Treasury Note/Bond | 1.500% | 8/31/18 | 1,450 | 1,470 |
| United States Treasury Note/Bond | 1.375% | 9/30/18 | 1,385 | 1,391 |
| United States Treasury Note/Bond | 1.750% | 10/31/18 | 1,140 | 1,172 |
| United States Treasury Note/Bond | 3.750% | 11/15/18 | 1,672 | 1,937 |
| United States Treasury Note/Bond | 9.000% | 11/15/18 | 133 | 200 |
| United States Treasury Note/Bond | 1.375% | 11/30/18 | 1,035 | 1,038 |
| United States Treasury Note/Bond | 1.375% | 12/31/18 | 785 | 786 |
| United States Treasury Note/Bond | 1.250% | 1/31/19 | 300 | 297 |
| United States Treasury Note/Bond | 2.750% | 2/15/19 | 3,702 | 4,042 |
| United States Treasury Note/Bond | 8.875% | 2/15/19 | 344 | 518 |
| United States Treasury Note/Bond | 3.125% | 5/15/19 | 2,998 | 3,347 |
| United States Treasury Note/Bond | 3.625% | 8/15/19 | 2,633 | 3,035 |
| United States Treasury Note/Bond | 8.125% | 8/15/19 | 1,184 | 1,750 |
| United States Treasury Note/Bond | 3.375% | 11/15/19 | 3,715 | 4,216 |
| United States Treasury Note/Bond | 3.625% | 2/15/20 | 4,935 | 5,694 |
| United States Treasury Note/Bond | 8.500% | 2/15/20 | 395 | 603 |
| United States Treasury Note/Bond | 3.500% | 5/15/20 | 4,204 | 4,813 |
27
Intermediate-Term Government Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value• | ||
| Coupon | Date | ($000) | ($000) | |
| United States Treasury Note/Bond | 8.750% | 5/15/20 | 621 | 966 |
| United States Treasury Note/Bond | 2.625% | 8/15/20 | 3,149 | 3,380 |
| United States Treasury Note/Bond | 8.750% | 8/15/20 | 1,110 | 1,738 |
| United States Treasury Note/Bond | 2.625% | 11/15/20 | 5,147 | 5,514 |
| United States Treasury Note/Bond | 3.625% | 2/15/21 | 4,625 | 5,337 |
| United States Treasury Note/Bond | 7.875% | 2/15/21 | 721 | 1,092 |
| United States Treasury Note/Bond | 3.125% | 5/15/21 | 3,867 | 4,291 |
| United States Treasury Note/Bond | 2.125% | 8/15/21 | 4,275 | 4,359 |
| United States Treasury Note/Bond | 8.125% | 8/15/21 | 300 | 466 |
| United States Treasury Note/Bond | 2.000% | 11/15/21 | 6,755 | 6,788 |
| United States Treasury Note/Bond | 8.000% | 11/15/21 | 1,200 | 1,861 |
| United States Treasury Note/Bond | 2.000% | 2/15/22 | 1,500 | 1,503 |
| 223,720 | ||||
| Agency Bonds and Notes (8.0%) | ||||
| 1 Federal Agricultural Mortgage Corp. | 2.125% | 9/15/15 | 50 | 52 |
| 1 Federal Agricultural Mortgage Corp. | 2.000% | 7/27/16 | 50 | 52 |
| 1 Federal Farm Credit Bank | 1.500% | 11/16/15 | 50 | 51 |
| 1 Federal Farm Credit Bank | 4.875% | 1/17/17 | 500 | 591 |
| 1 Federal Home Loan Banks | 3.125% | 3/11/16 | 425 | 463 |
| 1 Federal Home Loan Banks | 5.375% | 5/18/16 | 845 | 1,004 |
| 1 Federal Home Loan Banks | 4.750% | 12/16/16 | 600 | 706 |
| 1 Federal Home Loan Banks | 4.125% | 3/13/20 | 660 | 767 |
| 1 Federal Home Loan Banks | 5.625% | 6/11/21 | 400 | 515 |
| 2 Federal Home Loan Mortgage Corp. | 0.500% | 4/17/15 | 950 | 947 |
| 2 Federal Home Loan Mortgage Corp. | 1.750% | 9/10/15 | 1,455 | 1,509 |
| 2 Federal Home Loan Mortgage Corp. | 2.500% | 5/27/16 | 610 | 650 |
| 2 Federal Home Loan Mortgage Corp. | 5.500% | 7/18/16 | 250 | 299 |
| 2 Federal Home Loan Mortgage Corp. | 2.000% | 8/25/16 | 525 | 549 |
| 2 Federal Home Loan Mortgage Corp. | 5.000% | 2/16/17 | 100 | 119 |
| 2 Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 600 | 596 |
| 2 Federal Home Loan Mortgage Corp. | 5.000% | 4/18/17 | 200 | 238 |
| 2 Federal Home Loan Mortgage Corp. | 5.125% | 11/17/17 | 225 | 272 |
| 2 Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 725 | 826 |
| 2 Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 450 | 449 |
| 2 Federal National Mortgage Assn. | 0.375% | 3/16/15 | 750 | 746 |
| 2 Federal National Mortgage Assn. | 5.000% | 4/15/15 | 920 | 1,046 |
| 2 Federal National Mortgage Assn. | 2.375% | 7/28/15 | 1,495 | 1,582 |
| 2 Federal National Mortgage Assn. | 4.375% | 10/15/15 | 175 | 198 |
| 2 Federal National Mortgage Assn. | 1.625% | 10/26/15 | 75 | 77 |
| 2 Federal National Mortgage Assn. | 5.000% | 3/15/16 | 25 | 29 |
| 2 Federal National Mortgage Assn. | 2.375% | 4/11/16 | 100 | 106 |
| 2 Federal National Mortgage Assn. | 1.250% | 9/28/16 | 50 | 51 |
| 2 Federal National Mortgage Assn. | 1.375% | 11/15/16 | 475 | 482 |
| 2 Federal National Mortgage Assn. | 1.250% | 1/30/17 | 400 | 403 |
| 2 Federal National Mortgage Assn. | 5.000% | 2/13/17 | 380 | 451 |
| 2 Federal National Mortgage Assn. | 1.125% | 4/27/17 | 600 | 599 |
| 2 Federal National Mortgage Assn. | 5.000% | 5/11/17 | 465 | 554 |
| 2 Federal National Mortgage Assn. | 5.375% | 6/12/17 | 865 | 1,049 |
| 2 Federal National Mortgage Assn. | 0.000% | 10/9/19 | 450 | 351 |
| 1 Financing Corp. FICO | 10.700% | 10/6/17 | 122 | 180 |
| 1 Financing Corp. FICO | 9.800% | 4/6/18 | 200 | 292 |
| 1 Financing Corp. FICO | 10.350% | 8/3/18 | 250 | 378 |
| 1 Financing Corp. FICO | 9.700% | 4/5/19 | 50 | 75 |
| Private Export Funding Corp. | 1.375% | 2/15/17 | 250 | 251 |
| Private Export Funding Corp. | 2.250% | 12/15/17 | 25 | 26 |
28
Intermediate-Term Government Bond Index Fund
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| 1 | Tennessee Valley Authority | 5.500% | 7/18/17 | 125 | 152 |
| 1 | Tennessee Valley Authority | 3.875% | 2/15/21 | 75 | 85 |
| 19,818 | |||||
| Total U.S. Government and Agency Obligations (Cost $233,604) | 243,538 | ||||
| Shares | |||||
| Temporary Cash Investment (1.5%) | |||||
| Money Market Fund (1.5%) | |||||
| 3 | Vanguard Market Liquidity Fund (Cost $3,553) | 0.111% | 3,552,759 | 3,553 | |
| Total Investments (100.2%) (Cost $237,157) | 247,091 | ||||
| Other Assets and Liabilities (-0.2%) | |||||
| Other Assets | 7,682 | ||||
| Liabilities | (8,103) | ||||
| (421) | |||||
| Net Assets (100%) | 246,670 | ||||
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 235,975 |
| Overdistributed Net Investment Income | (8) |
| Accumulated Net Realized Gains | 769 |
| Unrealized Appreciation (Depreciation) | 9,934 |
| Net Assets | 246,670 |
| Signal Shares—Net Assets | |
| Applicable to 588,386 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 12,995 |
| Net Asset Value Per Share—Signal Shares | $22.09 |
| Institutional Shares—Net Assets | |
| Applicable to 5,071,034 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 138,913 |
| Net Asset Value Per Share—Institutional Shares | $27.39 |
| ETF Shares—Net Assets | |
| Applicable to 1,450,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 94,762 |
| Net Asset Value Per Share—ETF Shares | $65.35 |
See Note A in Notes to Financial Statements.
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
29
Intermediate-Term Government Bond Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 2,022 |
| Total Income | 2,022 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 5 |
| Management and Administrative—Signal Shares | 7 |
| Management and Administrative—Institutional Shares | 34 |
| Management and Administrative—ETF Shares | 41 |
| Marketing and Distribution—Signal Shares | — |
| Marketing and Distribution—Institutional Shares | 16 |
| Marketing and Distribution—ETF Shares | 9 |
| Custodian Fees | 1 |
| Shareholders’ Reports—Signal Shares | — |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 2 |
| Total Expenses | 115 |
| Net Investment Income | 1,907 |
| Realized Net Gain (Loss) on Investment Securities Sold | 927 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | 442 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,276 |
| 1 Interest income from an affiliated company of the fund was $1,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
30
Intermediate-Term Government Bond Index Fund
| Statement of Changes in Net Assets | ||
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,907 | 2,799 |
| Realized Net Gain (Loss) | 927 | 994 |
| Change in Unrealized Appreciation (Depreciation) | 442 | 5,068 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,276 | 8,861 |
| Distributions | ||
| Net Investment Income | ||
| Signal Shares | (100) | (73) |
| Institutional Shares | (1,089) | (1,914) |
| ETF Shares | (720) | (819) |
| Realized Capital Gain1 | ||
| Signal Shares | (22) | (22) |
| Institutional Shares | (215) | (814) |
| ETF Shares | (155) | (308) |
| Total Distributions | (2,301) | (3,950) |
| Capital Share Transactions | ||
| Signal Shares | 4,581 | 4,662 |
| Institutional Shares | 20,630 | 41,161 |
| ETF Shares | 39,272 | 15,628 |
| Net Increase (Decrease) from Capital Share Transactions | 64,483 | 61,451 |
| Total Increase (Decrease) | 65,458 | 66,362 |
| Net Assets | ||
| Beginning of Period | 181,212 | 114,850 |
| End of Period2 | 246,670 | 181,212 |
1 Includes fiscal 2012 and 2011 short-term gain distributions totaling $178,000 and $1,144,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($8,000) and ($6,000).
See accompanying Notes, which are an integral part of the Financial Statements.
31
Intermediate-Term Government Bond Index Fund
Financial Highlights
| Signal Shares | |||
| Six Months | Year | Aug. 4, | |
| Ended | Ended | 20101 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $21.94 | $21.49 | $21.11 |
| Investment Operations | |||
| Net Investment Income | .197 | .441 | .033 |
| Net Realized and Unrealized Gain (Loss) on Investments | .193 | .658 | .385 |
| Total from Investment Operations | .390 | 1.099 | .418 |
| Distributions | |||
| Dividends from Net Investment Income | (.198) | (.441) | (.038) |
| Distributions from Realized Capital Gains | (.042) | (.208) | — |
| Total Distributions | (.240) | (.649) | (.038) |
| Net Asset Value, End of Period | $22.09 | $21.94 | $21.49 |
| Total Return | 1.79% | 5.31% | 1.98% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $13 | $8 | $3 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.13% | 0.15%2 |
| Ratio of Net Investment Income to Average Net Assets | 1.82% | 2.10% | 2.29%2 |
| Portfolio Turnover Rate3 | 42% | 41% | 106% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
32
Intermediate-Term Government Bond Index Fund
Financial Highlights
| Institutional Shares | |||
| Six Months | Year | March 19, | |
| Ended | Ended | 20101 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $27.21 | $26.65 | $25.01 |
| Investment Operations | |||
| Net Investment Income | .250 | .557 | .239 |
| Net Realized and Unrealized Gain (Loss) on Investments | .233 | .819 | 1.674 |
| Total from Investment Operations | .483 | 1.376 | 1.913 |
| Distributions | |||
| Dividends from Net Investment Income | (.250) | (.558) | (.273) |
| Distributions from Realized Capital Gains | (.053) | (.258) | — |
| Total Distributions | (.303) | (.816) | (.273) |
| Net Asset Value, End of Period | $27.39 | $27.21 | $26.65 |
| Total Return | 1.78% | 5.36% | 7.69% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $139 | $118 | $73 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09%2 |
| Ratio of Net Investment Income to Average Net Assets | 1.87% | 2.14% | 2.35%2 |
| Portfolio Turnover Rate3 | 42% | 41% | 106% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
33
Intermediate-Term Government Bond Index Fund
Financial Highlights
| ETF Shares | |||
| Six Months | Year | Nov. 19, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $64.91 | $63.58 | $60.00 |
| Investment Operations | |||
| Net Investment Income | .585 | 1.301 | .961 |
| Net Realized and Unrealized Gain (Loss) on Investments | .565 | 1.949 | 3.579 |
| Total from Investment Operations | 1.150 | 3.250 | 4.540 |
| Distributions | |||
| Dividends from Net Investment Income | (.586) | (1.304) | (.960) |
| Distributions from Realized Capital Gains | (.124) | (.616) | — |
| Total Distributions | (.710) | (1.920) | (.960) |
| Net Asset Value, End of Period | $65.35 | $64.91 | $63.58 |
| Total Return | 1.78% | 5.30% | 7.65% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $95 | $55 | $38 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15%2 |
| Ratio of Net Investment Income to Average Net Assets | 1.82% | 2.09% | 2.29%2 |
| Portfolio Turnover Rate3 | 42% | 41% | 106% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
34
Intermediate-Term Government Bond Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Government Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Signal Shares, Institutional Shares, and ETF Shares. Signal Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2010–2011), and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees, if any, assessed on purchases of capital shares are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $33,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
35
Intermediate-Term Government Bond Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 243,538 | — |
| Temporary Cash Investments | 3,553 | — | — |
| Total | 3,553 | 243,538 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
At February 29, 2012, the cost of investment securities for tax purposes was $237,157,000. Net unrealized appreciation of investment securities for tax purposes was $9,934,000, consisting of unrealized gains of $10,006,000 on securities that had risen in value since their purchase and $72,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $108,548,000 of investment securities and sold $43,291,000 of investment securities, other than temporary cash investments.
36
Intermediate-Term Government Bond Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Signal Shares | ||||
| Issued | 6,736 | 306 | 6,111 | 289 |
| Issued in Lieu of Cash Distributions | 121 | 5 | 96 | 5 |
| Redeemed | (2,276) | (103) | (1,545) | (71) |
| Net Increase (Decrease)—Signal Shares | 4,581 | 208 | 4,662 | 223 |
| Institutional Shares | ||||
| Issued | 28,121 | 1,020 | 41,367 | 1,583 |
| Issued in Lieu of Cash Distributions | 914 | 33 | 1,676 | 65 |
| Redeemed | (8,405) | (308) | (1,882) | (73) |
| Net Increase (Decrease)—Institutional Shares | 20,630 | 745 | 41,161 | 1,575 |
| ETF Shares | ||||
| Issued | 39,272 | 600 | 28,247 | 450 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (12,619) | (200) |
| Net Increase (Decrease)—ETF Shares | 39,272 | 600 | 15,628 | 250 |
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
37
Long-Term Government Bond Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | |||
| Signal | Institutional | ETF | |
| Shares | Shares | Shares | |
| Ticker Symbol | VLGSX | VLGIX | VGLT |
| Expense Ratio1 | 0.14% | 0.09% | 0.14% |
| 30-Day SEC Yield | 2.74% | 2.79% | 2.74% |
| Financial Attributes | |||
| Barclays | |||
| Long Gov | Barclays | ||
| Float Adj | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 59 | 94 | 7,819 |
| Yield to Maturity | |||
| (before expenses) | 2.9% | 2.9% | 2.1% |
| Average Coupon | 4.8% | 4.7% | 3.9% |
| Average Duration | 15.9 years | 15.9 years | 5.1 years |
| Average Effective | |||
| Maturity | 23.9 years | 24.0 years | 7.2 years |
| Short-Term | |||
| Reserves | 1.5% | — | — |
| Sector Diversification (% of portfolio) | |
| Treasury/Agency | 100.0% |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| Distribution by Maturity (% of portfolio) | |
| Under 1 Year | 0.7% |
| 5 - 10 Years | 0.1 |
| 10 - 20 Years | 30.6 |
| 20 - 30 Years | 68.1 |
| Over 30 Years | 0.5 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 99.3% |
| Aaa | 0.2 |
| Aa | 0.5 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares.
38
Long-Term Government Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2012 | ||
| Barclays | ||
| Long Gov | ||
| Float Adj | ||
| ETF Shares Net Asset Value | Index | |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 16.21% | 16.12% |
| 2011 | 4.63 | 5.11 |
| 2012 | 9.20 | 9.22 |
| Note: For 2012, performance data reflect the six months ended February 29, 2012. | ||
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Since Inception | |||||
| Inception Date | One Year | Income | Capital | Total | |
| Signal Shares | 3/1/2010 | 28.88% | 4.16% | 14.77% | 18.93% |
| Institutional Shares | 7/30/2010 | 28.94 | 4.13 | 12.79 | 16.92 |
| ETF Shares | 11/19/2009 | ||||
| Market Price | 29.48 | 15.52 | |||
| Net Asset Value | 28.85 | 15.50 |
See Financial Highlights for dividend and capital gains information.
39
Long-Term Government Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (98.6%) | ||||
| U.S. Government Securities (93.0%) | ||||
| United States Treasury Note/Bond | 2.000% | 11/15/21 | 125 | 126 |
| United States Treasury Note/Bond | 7.250% | 8/15/22 | 556 | 835 |
| United States Treasury Note/Bond | 7.625% | 11/15/22 | 530 | 818 |
| United States Treasury Note/Bond | 7.125% | 2/15/23 | 1,804 | 2,706 |
| United States Treasury Note/Bond | 6.250% | 8/15/23 | 4,111 | 5,833 |
| United States Treasury Note/Bond | 7.500% | 11/15/24 | 970 | 1,530 |
| United States Treasury Note/Bond | 7.625% | 2/15/25 | 730 | 1,165 |
| United States Treasury Note/Bond | 6.875% | 8/15/25 | 1,308 | 1,987 |
| United States Treasury Note/Bond | 6.000% | 2/15/26 | 861 | 1,222 |
| United States Treasury Note/Bond | 6.750% | 8/15/26 | 600 | 912 |
| United States Treasury Note/Bond | 6.500% | 11/15/26 | 1,634 | 2,437 |
| United States Treasury Note/Bond | 6.625% | 2/15/27 | 398 | 602 |
| United States Treasury Note/Bond | 6.375% | 8/15/27 | 403 | 599 |
| United States Treasury Note/Bond | 6.125% | 11/15/27 | 3,250 | 4,738 |
| United States Treasury Note/Bond | 5.500% | 8/15/28 | 2,923 | 4,042 |
| United States Treasury Note/Bond | 5.250% | 11/15/28 | 784 | 1,058 |
| United States Treasury Note/Bond | 5.250% | 2/15/29 | 1,330 | 1,799 |
| United States Treasury Note/Bond | 6.125% | 8/15/29 | 2,419 | 3,587 |
| United States Treasury Note/Bond | 6.250% | 5/15/30 | 1,612 | 2,438 |
| United States Treasury Note/Bond | 5.375% | 2/15/31 | 2,150 | 2,993 |
| United States Treasury Note/Bond | 4.500% | 2/15/36 | 1,040 | 1,320 |
| United States Treasury Note/Bond | 4.750% | 2/15/37 | 3,450 | 4,545 |
| United States Treasury Note/Bond | 5.000% | 5/15/37 | 4,436 | 6,050 |
| United States Treasury Note/Bond | 4.375% | 2/15/38 | 3,954 | 4,950 |
| United States Treasury Note/Bond | 4.500% | 5/15/38 | 2,401 | 3,064 |
| United States Treasury Note/Bond | 3.500% | 2/15/39 | 3,290 | 3,573 |
| United States Treasury Note/Bond | 4.250% | 5/15/39 | 4,047 | 4,978 |
| United States Treasury Note/Bond | 4.500% | 8/15/39 | 3,295 | 4,211 |
| United States Treasury Note/Bond | 4.375% | 11/15/39 | 3,992 | 5,008 |
| United States Treasury Note/Bond | 4.625% | 2/15/40 | 6,472 | 8,439 |
| United States Treasury Note/Bond | 4.375% | 5/15/40 | 5,713 | 7,173 |
| United States Treasury Note/Bond | 3.875% | 8/15/40 | 4,828 | 5,585 |
| United States Treasury Note/Bond | 4.250% | 11/15/40 | 5,992 | 7,377 |
| United States Treasury Note/Bond | 4.750% | 2/15/41 | 6,678 | 8,890 |
| United States Treasury Note/Bond | 4.375% | 5/15/41 | 5,904 | 7,422 |
| United States Treasury Note/Bond | 3.750% | 8/15/41 | 7,860 | 8,900 |
40
Long-Term Government Bond Index Fund
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| United States Treasury Note/Bond | 3.125% | 11/15/41 | 7,835 | 7,884 | |
| United States Treasury Note/Bond | 3.125% | 2/15/42 | 3,875 | 3,896 | |
| 144,692 | |||||
| Agency Bonds and Notes (5.6%) | |||||
| 1 | Federal Home Loan Banks | 5.500% | 7/15/36 | 525 | 675 |
| 2 | Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 495 | 725 |
| 2 | Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 500 | 741 |
| 2 | Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 410 | 587 |
| 2 | Federal National Mortgage Assn. | 6.250% | 5/15/29 | 100 | 139 |
| 2 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 830 | 1,261 |
| 2 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 765 | 1,179 |
| 2 | Federal National Mortgage Assn. | 6.625% | 11/15/30 | 230 | 337 |
| 2 | Federal National Mortgage Assn. | 5.625% | 7/15/37 | 200 | 271 |
| Israel Government AID Bond | 5.500% | 4/26/24 | 525 | 663 | |
| Private Export Funding Corp. | 2.800% | 5/15/22 | 75 | 77 | |
| 1 | Tennessee Valley Authority | 6.750% | 11/1/25 | 180 | 255 |
| 1 | Tennessee Valley Authority | 7.125% | 5/1/30 | 150 | 224 |
| 1 | Tennessee Valley Authority | 4.650% | 6/15/35 | 225 | 256 |
| 1 | Tennessee Valley Authority | 5.880% | 4/1/36 | 50 | 67 |
| 1 | Tennessee Valley Authority | 5.500% | 6/15/38 | 150 | 191 |
| 1 | Tennessee Valley Authority | 5.250% | 9/15/39 | 207 | 258 |
| 1 | Tennessee Valley Authority | 4.875% | 1/15/48 | 120 | 141 |
| 1 | Tennessee Valley Authority | 5.375% | 4/1/56 | 340 | 441 |
| 1 | Tennessee Valley Authority | 4.625% | 9/15/60 | 150 | 171 |
| 8,659 | |||||
| Total U.S. Government and Agency Obligations (Cost $139,565) | 153,351 | ||||
| Shares | |||||
| Temporary Cash Investment (1.5%) | |||||
| Money Market Fund (1.5%) | |||||
| 3 | Vanguard Market Liquidity Fund (Cost $2,289) | 0.111% | 2,289,000 | 2,289 | |
| Total Investments (100.1%) (Cost $141,854) | 155,640 | ||||
| Other Assets and Liabilities (-0.1%) | |||||
| Other Assets | 17,039 | ||||
| Liabilities | (17,205) | ||||
| (166) | |||||
| Net Assets (100%) | 155,474 | ||||
| Statement of Assets and Liabilities | |||||
| Assets | |||||
| Investments in Securities, at Value | 155,640 | ||||
| Receivables for Capital Shares Issued | 15,701 | ||||
| Other Assets | 1,338 | ||||
| Total Assets | 172,679 | ||||
| Liabilities | |||||
| Payables for Investment Securities Purchased | 16,984 | ||||
| Other Liabilities | 221 | ||||
| Total Liabilities | 17,205 | ||||
| Net Assets | 155,474 | ||||
41
Long-Term Government Bond Index Fund
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 142,275 |
| Overdistributed Net Investment Income | (12) |
| Accumulated Net Realized Losses | (575) |
| Unrealized Appreciation (Depreciation) | 13,786 |
| Net Assets | 155,474 |
| Signal Shares—Net Assets | |
| Applicable to 105,491 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 2,599 |
| Net Asset Value Per Share—Signal Shares | $24.63 |
| Institutional Shares—Net Assets | |
| Applicable to 2,782,624 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 86,985 |
| Net Asset Value Per Share—Institutional Shares | $31.26 |
| ETF Shares—Net Assets | |
| Applicable to 900,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 65,890 |
| Net Asset Value Per Share—ETF Shares | $73.21 |
See Note A in Notes to Financial Statements.
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Long-Term Government Bond Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 1,888 |
| Total Income | 1,888 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 2 |
| Management and Administrative—Signal Shares | 2 |
| Management and Administrative—Institutional Shares | 24 |
| Management and Administrative—ETF Shares | 32 |
| Marketing and Distribution—Signal Shares | — |
| Marketing and Distribution—Institutional Shares | 2 |
| Marketing and Distribution—ETF Shares | 2 |
| Custodian Fees | 1 |
| Shareholders’ Reports—Signal Shares | — |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 1 |
| Total Expenses | 66 |
| Net Investment Income | 1,822 |
| Realized Net Gain (Loss) on Investment Securities Sold | 1,494 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | 5,656 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 8,972 |
| 1 Interest income from an affiliated company of the fund was $1,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
43
Long-Term Government Bond Index Fund
| Statement of Changes in Net Assets | ||
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,822 | 3,152 |
| Realized Net Gain (Loss) | 1,494 | (3,894) |
| Change in Unrealized Appreciation (Depreciation) | 5,656 | 2,760 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 8,972 | 2,018 |
| Distributions | ||
| Net Investment Income | ||
| Signal Shares | (29) | (41) |
| Institutional Shares | (969) | (1,316) |
| ETF Shares | (835) | (1,798) |
| Realized Capital Gain1 | ||
| Signal Shares | — | (1) |
| Institutional Shares | — | (22) |
| ETF Shares | — | (76) |
| Total Distributions | (1,833) | (3,254) |
| Capital Share Transactions | ||
| Signal Shares | 1,293 | 22 |
| Institutional Shares | 21,755 | 46,507 |
| ETF Shares | 29,257 | (37,116) |
| Net Increase (Decrease) from Capital Share Transactions | 52,305 | 9,413 |
| Total Increase (Decrease) | 59,444 | 8,177 |
| Net Assets | ||
| Beginning of Period | 96,030 | 87,853 |
| End of Period2 | 155,474 | 96,030 |
1 Includes fiscal 2011 short-term gain distributions totaling $99,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($12,000) and ($1,000).
See accompanying Notes, which are an integral part of the Financial Statements.
44
Long-Term Government Bond Index Fund
Financial Highlights
| Signal Shares | |||
| Six Months | Year | March 1, | |
| Ended | Ended | 20101 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $22.91 | $22.75 | $19.66 |
| Investment Operations | |||
| Net Investment Income | .375 | .780 | .364 |
| Net Realized and Unrealized Gain (Loss) on Investments | 1.722 | .182 | 3.084 |
| Total from Investment Operations | 2.097 | .962 | 3.448 |
| Distributions | |||
| Dividends from Net Investment Income | (.377) | (.781) | (.358) |
| Distributions from Realized Capital Gains | — | (.021) | — |
| Total Distributions | (.377) | (.802) | (.358) |
| Net Asset Value, End of Period | $24.63 | $22.91 | $22.75 |
| Total Return | 9.17% | 4.66% | 17.75% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $3 | $1 | $1 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15%2 |
| Ratio of Net Investment Income to Average Net Assets | 3.11% | 3.68% | 3.75%2 |
| Portfolio Turnover Rate3 | 41% | 40% | 70% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
45
Long-Term Government Bond Index Fund
Financial Highlights
| Institutional Shares | |||
| Six Months | Year | July 30, | |
| Ended | Ended | 20101 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $29.06 | $28.87 | $27.07 |
| Investment Operations | |||
| Net Investment Income | .483 | 1.003 | .070 |
| Net Realized and Unrealized Gain (Loss) on Investments | 2.203 | .218 | 1.799 |
| Total from Investment Operations | 2.686 | 1.221 | 1.869 |
| Distributions | |||
| Dividends from Net Investment Income | (.486) | (1.004) | (.069) |
| Distributions from Realized Capital Gains | — | (.027) | — |
| Total Distributions | (.486) | (1.031) | (.069) |
| Net Asset Value, End of Period | $31.26 | $29.06 | $28.87 |
| Total Return | 9.26% | 4.67% | 6.91% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $87 | $61 | $9 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09%2 |
| Ratio of Net Investment Income to Average Net Assets | 3.16% | 3.73% | 3.81%2 |
| Portfolio Turnover Rate3 | 41% | 40% | 70% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
46
Long-Term Government Bond Index Fund
Financial Highlights
| ETF Shares | |||
| Six Months | Year | Nov. 19, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $68.07 | $67.61 | $59.84 |
| Investment Operations | |||
| Net Investment Income | 1.113 | 2.321 | 1.691 |
| Net Realized and Unrealized Gain (Loss) on Investments | 5.145 | .526 | 7.768 |
| Total from Investment Operations | 6.258 | 2.847 | 9.459 |
| Distributions | |||
| Dividends from Net Investment Income | (1.118) | (2.324) | (1.689) |
| Distributions from Realized Capital Gains | — | (.063) | — |
| Total Distributions | (1.118) | (2.387) | (1.689) |
| Net Asset Value, End of Period | $73.21 | $68.07 | $67.61 |
| Total Return | 9.20% | 4.63% | 16.21% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $66 | $34 | $78 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15%2 |
| Ratio of Net Investment Income to Average Net Assets | 3.11% | 3.68% | 3.75%2 |
| Portfolio Turnover Rate3 | 41% | 40% | 70% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
47
Long-Term Government Bond Index Fund
Notes to Financial Statements
Vanguard Long-Term Government Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Signal Shares, Institutional Shares, and ETF Shares. Signal Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2010–2011), and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees, if any, assessed on purchases of capital shares are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $22,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
48
Long-Term Government Bond Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 153,351 | — |
| Temporary Cash Investments | 2,289 | — | — |
| Total | 2,289 | 153,351 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2011, the fund had available capital loss carryforwards totaling $3,000 to offset future net capital gains through August 31, 2019. In addition, the fund realized losses of $2,065,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2012, the cost of investment securities for tax purposes was $141,854,000. Net unrealized appreciation of investment securities for tax purposes was $13,786,000, consisting of unrealized gains of $13,920,000 on securities that had risen in value since their purchase and $134,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $76,192,000 of investment securities and sold $24,208,000 of investment securities, other than temporary cash investments.
49
Long-Term Government Bond Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Signal Shares | ||||
| Issued | 1,606 | 65 | 159 | 8 |
| Issued in Lieu of Cash Distributions | 29 | 1 | 42 | 2 |
| Redeemed | (342) | (14) | (179) | (9) |
| Net Increase (Decrease)—Signal Shares | 1,293 | 52 | 22 | 1 |
| Institutional Shares | ||||
| Issued | 31,067 | 984 | 46,497 | 1,778 |
| Issued in Lieu of Cash Distributions | 969 | 31 | 1,338 | 51 |
| Redeemed | (10,281) | (323) | (1,328) | (47) |
| Net Increase (Decrease)—Institutional Shares | 21,755 | 692 | 46,507 | 1,782 |
| ETF Shares | ||||
| Issued | 29,257 | 400 | 27,524 | 450 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (64,640) | (1,100) |
| Net Increase (Decrease)—ETF Shares | 29,257 | 400 | (37,116) | (650) |
At February 29, 2012, one shareholder was the record or beneficial owner of 36% of the fund’s net assets. If the shareholder were to redeem its total investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or result in the realization of taxable capital gains.
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
50
Short-Term Corporate Bond Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | |||
| Signal | Institutional | ETF | |
| Shares | Shares | Shares | |
| Ticker Symbol | VSCSX | VSTBX | VCSH |
| Expense Ratio1 | 0.14% | 0.09% | 0.14% |
| 30-Day SEC Yield | 1.72% | 1.77% | 1.72% |
| Financial Attributes | |||
| Barclays | |||
| 1–5 Year | Barclays | ||
| Corporate | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 1,041 | 1,487 | 7,819 |
| Yield to Maturity | |||
| (before expenses) | 1.9% | 1.9% | 2.1% |
| Average Coupon | 4.3% | 4.4% | 3.9% |
| Average Duration | 2.8 years | 2.8 years | 5.1 years |
| Average Effective | |||
| Maturity | 3.0 years | 3.0 years | 7.2 years |
| Short-Term | |||
| Reserves | 0.5% | — | — |
| Sector Diversification (% of portfolio) | |
| Finance | 43.3% |
| Industrial | 49.6 |
| Treasury/Agency | 0.2 |
| Utilities | 6.9 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| Distribution by Maturity (% of portfolio) | |
| Under 1 Year | 1.8% |
| 1 - 3 Years | 49.9 |
| 3 - 5 Years | 48.2 |
| 5 - 10 Years | 0.1 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 0.2% |
| Aaa | 0.7 |
| Aa | 16.9 |
| A | 51.5 |
| Baa | 30.7 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares.
51
Short-Term Corporate Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2012 | ||
| Barclays | ||
| 1–5 Year | ||
| Corporate | ||
| ETF Shares Net Asset Value | Index | |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 5.34% | 5.61% |
| 2011 | 2.94 | 3.45 |
| 2012 | 2.28 | 2.34 |
| Note: For 2012, performance data reflect the six months ended February 29, 2012. | ||
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Since Inception | |||||
| Inception Date | One Year | Income | Capital | Total | |
| Signal Shares | 11/18/2010 | 2.91% | 2.45% | -0.32% | 2.13% |
| Fee-Adjusted | |||||
| Returns | 2.65 | 1.90 | |||
| Institutional Shares | 11/19/2009 | 2.99 | 2.41 | 1.60 | 4.01 |
| Fee-Adjusted | |||||
| Returns | 2.73 | 3.89 | |||
| ETF Shares | 11/19/2009 | ||||
| Market Price | 3.14 | 4.20 | |||
| Net Asset Value | 2.94 | 3.96 |
Fee-adjusted returns reflect the 0.25% fee on purchases of fund shares. The fee does not apply to the ETF Shares.
See Financial Highlights for dividend and capital gains information.
52
Short-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (0.5%) | ||||
| U.S. Government Securities (0.5%) | ||||
| United States Treasury Note/Bond | 1.375% | 2/15/13 | 3,530 | 3,569 |
| United States Treasury Note/Bond | 2.750% | 2/28/13 | 1,005 | 1,030 |
| United States Treasury Note/Bond | 1.375% | 3/15/13 | 180 | 182 |
| United States Treasury Note/Bond | 4.500% | 2/15/16 | 30 | 35 |
| United States Treasury Note/Bond | 2.625% | 2/29/16 | 90 | 97 |
| United States Treasury Note/Bond | 3.125% | 1/31/17 | 15 | 17 |
| United States Treasury Note/Bond | 0.875% | 2/28/17 | 9,850 | 9,852 |
| Total U.S. Government and Agency Obligations (Cost $14,779) | 14,782 | |||
| Corporate Bonds (98.6%) | ||||
| Finance (42.6%) | ||||
| Banking (31.4%) | ||||
| Abbey National Treasury Services plc | 2.875% | 4/25/14 | 2,575 | 2,560 |
| Abbey National Treasury Services plc | 4.000% | 4/27/16 | 2,425 | 2,388 |
| American Express Co. | 7.250% | 5/20/14 | 721 | 812 |
| American Express Co. | 5.500% | 9/12/16 | 1,400 | 1,564 |
| 1 American Express Co. | 6.800% | 9/1/66 | 2,000 | 2,040 |
| American Express Credit Corp. | 5.875% | 5/2/13 | 11,150 | 11,767 |
| American Express Credit Corp. | 7.300% | 8/20/13 | 7,835 | 8,511 |
| American Express Credit Corp. | 5.125% | 8/25/14 | 2,750 | 3,008 |
| American Express Credit Corp. | 2.750% | 9/15/15 | 6,150 | 6,398 |
| American Express Credit Corp. | 2.800% | 9/19/16 | 5,325 | 5,520 |
| BanColombia SA | 4.250% | 1/12/16 | 500 | 502 |
| BanColombia SA | 5.950% | 6/3/21 | 100 | 104 |
| Bank of America Corp. | 4.900% | 5/1/13 | 12,475 | 12,831 |
| Bank of America Corp. | 7.375% | 5/15/14 | 5,290 | 5,744 |
| Bank of America Corp. | 4.500% | 4/1/15 | 6,950 | 7,094 |
| Bank of America Corp. | 4.750% | 8/1/15 | 300 | 307 |
| Bank of America Corp. | 7.750% | 8/15/15 | 1,000 | 1,081 |
| Bank of America Corp. | 3.700% | 9/1/15 | 4,550 | 4,540 |
| Bank of America Corp. | 5.250% | 12/1/15 | 4,000 | 4,058 |
| Bank of America Corp. | 3.625% | 3/17/16 | 7,125 | 7,052 |
| Bank of America Corp. | 3.750% | 7/12/16 | 5,000 | 4,960 |
| Bank of America Corp. | 6.500% | 8/1/16 | 4,785 | 5,201 |
| Bank of America Corp. | 7.800% | 9/15/16 | 1,250 | 1,358 |
| Bank of America Corp. | 5.625% | 10/14/16 | 4,575 | 4,773 |
| Bank of Montreal | 2.125% | 6/28/13 | 1,625 | 1,658 |
53
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Bank of Montreal | 1.750% | 4/29/14 | 5,725 | 5,840 |
| Bank of Montreal | 2.500% | 1/11/17 | 1,500 | 1,532 |
| Bank of New York Mellon Corp. | 4.500% | 4/1/13 | 2,175 | 2,265 |
| Bank of New York Mellon Corp. | 5.125% | 8/27/13 | 2,317 | 2,464 |
| Bank of New York Mellon Corp. | 4.300% | 5/15/14 | 2,913 | 3,120 |
| Bank of New York Mellon Corp. | 1.200% | 2/20/15 | 1,150 | 1,154 |
| Bank of New York Mellon Corp. | 4.950% | 3/15/15 | 1,000 | 1,102 |
| Bank of New York Mellon Corp. | 2.950% | 6/18/15 | 2,050 | 2,157 |
| Bank of New York Mellon Corp. | 2.500% | 1/15/16 | 1,325 | 1,362 |
| Bank of New York Mellon Corp. | 2.300% | 7/28/16 | 6,350 | 6,513 |
| Bank of New York Mellon Corp. | 2.400% | 1/17/17 | 1,500 | 1,538 |
| Bank of Nova Scotia | 2.375% | 12/17/13 | 2,700 | 2,785 |
| Bank of Nova Scotia | 1.850% | 1/12/15 | 1,490 | 1,519 |
| Bank of Nova Scotia | 3.400% | 1/22/15 | 10,725 | 11,400 |
| Bank of Nova Scotia | 2.050% | 10/7/15 | 1,375 | 1,412 |
| Bank of Nova Scotia | 2.900% | 3/29/16 | 2,400 | 2,515 |
| Bank of Nova Scotia | 2.550% | 1/12/17 | 2,340 | 2,421 |
| 2 Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.450% | 9/11/15 | 1,000 | 1,021 |
| Barclays Bank plc | 2.500% | 1/23/13 | 2,975 | 3,001 |
| Barclays Bank plc | 5.200% | 7/10/14 | 2,100 | 2,228 |
| Barclays Bank plc | 2.750% | 2/23/15 | 3,075 | 3,092 |
| Barclays Bank plc | 3.900% | 4/7/15 | 3,400 | 3,508 |
| Barclays Bank plc | 5.000% | 9/22/16 | 5,950 | 6,415 |
| BB&T Corp. | 2.050% | 4/28/14 | 5,825 | 5,941 |
| BB&T Corp. | 5.200% | 12/23/15 | 2,700 | 2,971 |
| BB&T Corp. | 3.200% | 3/15/16 | 1,525 | 1,619 |
| BB&T Corp. | 3.950% | 4/29/16 | 1,300 | 1,411 |
| BBVA US Senior SAU | 3.250% | 5/16/14 | 1,925 | 1,893 |
| Bear Stearns Cos. LLC | 5.700% | 11/15/14 | 1,652 | 1,835 |
| Bear Stearns Cos. LLC | 5.300% | 10/30/15 | 2,100 | 2,330 |
| BNP Paribas SA | 3.250% | 3/11/15 | 6,150 | 6,226 |
| BNP Paribas SA | 3.600% | 2/23/16 | 7,350 | 7,403 |
| Canadian Imperial Bank of Commerce | 1.450% | 9/13/13 | 2,500 | 2,536 |
| Canadian Imperial Bank of Commerce | 2.350% | 12/11/15 | 3,245 | 3,313 |
| Capital One Financial Corp. | 7.375% | 5/23/14 | 5,750 | 6,402 |
| Capital One Financial Corp. | 2.125% | 7/15/14 | 990 | 994 |
| Capital One Financial Corp. | 3.150% | 7/15/16 | 2,100 | 2,145 |
| Capital One Financial Corp. | 6.150% | 9/1/16 | 3,500 | 3,767 |
| Citigroup Inc. | 5.300% | 10/17/12 | 3,900 | 3,976 |
| Citigroup Inc. | 5.500% | 4/11/13 | 13,950 | 14,473 |
| Citigroup Inc. | 6.500% | 8/19/13 | 1,305 | 1,384 |
| Citigroup Inc. | 6.000% | 12/13/13 | 4,230 | 4,492 |
| Citigroup Inc. | 6.375% | 8/12/14 | 5,550 | 6,012 |
| Citigroup Inc. | 5.000% | 9/15/14 | 8,375 | 8,722 |
| Citigroup Inc. | 5.500% | 10/15/14 | 9,525 | 10,228 |
| Citigroup Inc. | 6.010% | 1/15/15 | 2,350 | 2,562 |
| Citigroup Inc. | 2.650% | 3/2/15 | 4,300 | 4,298 |
| Citigroup Inc. | 4.875% | 5/7/15 | 2,000 | 2,092 |
| Citigroup Inc. | 4.750% | 5/19/15 | 10,860 | 11,511 |
| Citigroup Inc. | 4.587% | 12/15/15 | 10,725 | 11,356 |
| Citigroup Inc. | 5.300% | 1/7/16 | 2,450 | 2,644 |
| Citigroup Inc. | 3.953% | 6/15/16 | 4,165 | 4,311 |
| Citigroup Inc. | 4.450% | 1/10/17 | 5,350 | 5,652 |
| Citigroup Inc. | 5.500% | 2/15/17 | 1,750 | 1,847 |
| Comerica Bank | 5.750% | 11/21/16 | 2,225 | 2,486 |
54
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Comerica Inc. | 3.000% | 9/16/15 | 725 | 750 |
| Cooperatieve Centrale | ||||
| Raiffeisen-Boerenleenbank BA | 1.850% | 1/10/14 | 4,950 | 4,990 |
| Cooperatieve Centrale | ||||
| Raiffeisen-Boerenleenbank BA | 2.125% | 10/13/15 | 5,200 | 5,201 |
| Cooperatieve Centrale | ||||
| Raiffeisen-Boerenleenbank BA | 3.375% | 1/19/17 | 4,000 | 4,168 |
| Countrywide Financial Corp. | 6.250% | 5/15/16 | 1,600 | 1,605 |
| Credit Suisse | 3.450% | 7/2/12 | 500 | 504 |
| Credit Suisse | 5.000% | 5/15/13 | 12,735 | 13,232 |
| Credit Suisse | 2.200% | 1/14/14 | 7,500 | 7,556 |
| Credit Suisse | 5.500% | 5/1/14 | 3,575 | 3,824 |
| Credit Suisse | 3.500% | 3/23/15 | 4,250 | 4,390 |
| Credit Suisse USA Inc. | 4.875% | 1/15/15 | 5,700 | 6,125 |
| Credit Suisse USA Inc. | 5.125% | 8/15/15 | 1,720 | 1,867 |
| Credit Suisse USA Inc. | 5.375% | 3/2/16 | 2,400 | 2,640 |
| Credit Suisse USA Inc. | 5.850% | 8/16/16 | 3,250 | 3,617 |
| Deutsche Bank AG | 4.875% | 5/20/13 | 6,645 | 6,891 |
| Deutsche Bank AG | 3.875% | 8/18/14 | 2,175 | 2,272 |
| Deutsche Bank AG | 3.250% | 1/11/16 | 6,760 | 6,899 |
| Deutsche Bank Financial LLC | 5.375% | 3/2/15 | 2,500 | 2,519 |
| Dresdner Bank AG | 7.250% | 9/15/15 | 1,200 | 1,210 |
| Fifth Third Bancorp | 6.250% | 5/1/13 | 3,750 | 3,951 |
| Fifth Third Bancorp | 3.625% | 1/25/16 | 3,550 | 3,747 |
| First Horizon National Corp. | 5.375% | 12/15/15 | 3,375 | 3,534 |
| First Tennessee Bank NA | 5.050% | 1/15/15 | 225 | 231 |
| Goldman Sachs Group Inc. | 4.750% | 7/15/13 | 775 | 804 |
| Goldman Sachs Group Inc. | 5.250% | 10/15/13 | 10,525 | 11,041 |
| Goldman Sachs Group Inc. | 5.150% | 1/15/14 | 3,650 | 3,841 |
| Goldman Sachs Group Inc. | 6.000% | 5/1/14 | 5,950 | 6,395 |
| Goldman Sachs Group Inc. | 5.000% | 10/1/14 | 1,900 | 2,006 |
| Goldman Sachs Group Inc. | 5.125% | 1/15/15 | 7,700 | 8,184 |
| Goldman Sachs Group Inc. | 3.700% | 8/1/15 | 16,275 | 16,577 |
| Goldman Sachs Group Inc. | 5.350% | 1/15/16 | 1,850 | 1,962 |
| Goldman Sachs Group Inc. | 3.625% | 2/7/16 | 7,300 | 7,298 |
| Goldman Sachs Group Inc. | 5.750% | 10/1/16 | 3,750 | 4,069 |
| Goldman Sachs Group Inc. | 5.625% | 1/15/17 | 5,125 | 5,408 |
| HSBC Bank USA NA | 4.625% | 4/1/14 | 3,675 | 3,885 |
| HSBC USA Inc. | 2.375% | 2/13/15 | 2,125 | 2,155 |
| JPMorgan Chase & Co. | 4.750% | 5/1/13 | 4,929 | 5,146 |
| JPMorgan Chase & Co. | 2.050% | 1/24/14 | 7,960 | 8,118 |
| JPMorgan Chase & Co. | 4.875% | 3/15/14 | 3,040 | 3,271 |
| JPMorgan Chase & Co. | 4.650% | 6/1/14 | 2,964 | 3,182 |
| JPMorgan Chase & Co. | 5.125% | 9/15/14 | 2,700 | 2,893 |
| JPMorgan Chase & Co. | 3.700% | 1/20/15 | 17,925 | 19,030 |
| JPMorgan Chase & Co. | 4.750% | 3/1/15 | 7,375 | 8,003 |
| JPMorgan Chase & Co. | 5.250% | 5/1/15 | 1,500 | 1,618 |
| JPMorgan Chase & Co. | 5.150% | 10/1/15 | 2,299 | 2,495 |
| JPMorgan Chase & Co. | 2.600% | 1/15/16 | 2,075 | 2,101 |
| JPMorgan Chase & Co. | 3.450% | 3/1/16 | 3,150 | 3,268 |
| JPMorgan Chase & Co. | 3.150% | 7/5/16 | 12,075 | 12,434 |
| KeyBank NA | 5.800% | 7/1/14 | 950 | 1,028 |
| KeyBank NA | 4.950% | 9/15/15 | 1,000 | 1,071 |
| KeyCorp | 6.500% | 5/14/13 | 2,240 | 2,373 |
| KeyCorp | 3.750% | 8/13/15 | 4,000 | 4,215 |
55
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Lloyds TSB Bank plc | 4.875% | 1/21/16 | 5,575 | 5,768 |
| M&I Marshall & Ilsley Bank | 4.850% | 6/16/15 | 550 | 590 |
| M&I Marshall & Ilsley Bank | 5.000% | 1/17/17 | 925 | 991 |
| 1 Manufacturers & Traders Trust Co. | 5.585% | 12/28/20 | 1,500 | 1,467 |
| MBNA Corp. | 5.000% | 6/15/15 | 2,300 | 2,365 |
| Merrill Lynch & Co. Inc. | 6.150% | 4/25/13 | 1,700 | 1,766 |
| Merrill Lynch & Co. Inc. | 5.000% | 2/3/14 | 2,000 | 2,072 |
| Merrill Lynch & Co. Inc. | 5.450% | 7/15/14 | 4,300 | 4,462 |
| Merrill Lynch & Co. Inc. | 5.000% | 1/15/15 | 3,775 | 3,891 |
| Merrill Lynch & Co. Inc. | 6.050% | 5/16/16 | 4,350 | 4,484 |
| Morgan Stanley | 5.300% | 3/1/13 | 3,285 | 3,377 |
| Morgan Stanley | 2.875% | 1/24/14 | 6,950 | 6,905 |
| Morgan Stanley | 4.750% | 4/1/14 | 8,350 | 8,465 |
| Morgan Stanley | 6.000% | 5/13/14 | 5,850 | 6,108 |
| Morgan Stanley | 4.200% | 11/20/14 | 2,750 | 2,760 |
| Morgan Stanley | 4.100% | 1/26/15 | 7,775 | 7,796 |
| Morgan Stanley | 6.000% | 4/28/15 | 4,350 | 4,566 |
| Morgan Stanley | 4.000% | 7/24/15 | 6,425 | 6,405 |
| Morgan Stanley | 5.375% | 10/15/15 | 3,375 | 3,495 |
| Morgan Stanley | 3.450% | 11/2/15 | 3,000 | 2,937 |
| Morgan Stanley | 3.800% | 4/29/16 | 5,850 | 5,679 |
| Morgan Stanley | 5.750% | 10/18/16 | 3,025 | 3,145 |
| Morgan Stanley | 5.450% | 1/9/17 | 5,700 | 5,867 |
| National City Bank | 4.625% | 5/1/13 | 175 | 181 |
| National City Corp. | 4.900% | 1/15/15 | 2,700 | 2,967 |
| Northern Trust Corp. | 5.500% | 8/15/13 | 1,000 | 1,065 |
| PNC Funding Corp. | 5.400% | 6/10/14 | 850 | 929 |
| PNC Funding Corp. | 3.625% | 2/8/15 | 6,775 | 7,228 |
| PNC Funding Corp. | 4.250% | 9/21/15 | 600 | 659 |
| PNC Funding Corp. | 2.700% | 9/19/16 | 5,050 | 5,237 |
| PNC Funding Corp. | 5.625% | 2/1/17 | 850 | 946 |
| Royal Bank of Canada | 2.100% | 7/29/13 | 4,650 | 4,745 |
| Royal Bank of Canada | 1.450% | 10/30/14 | 2,525 | 2,565 |
| Royal Bank of Canada | 2.625% | 12/15/15 | 10,525 | 11,049 |
| Royal Bank of Canada | 2.875% | 4/19/16 | 200 | 210 |
| Royal Bank of Canada | 2.300% | 7/20/16 | 925 | 948 |
| Royal Bank of Scotland plc | 3.400% | 8/23/13 | 4,650 | 4,719 |
| Royal Bank of Scotland plc | 3.250% | 1/11/14 | 2,250 | 2,257 |
| Royal Bank of Scotland plc | 4.875% | 3/16/15 | 5,750 | 5,972 |
| Royal Bank of Scotland plc | 3.950% | 9/21/15 | 4,500 | 4,527 |
| Royal Bank of Scotland plc | 4.375% | 3/16/16 | 1,700 | 1,735 |
| Santander Holdings USA Inc. | 4.625% | 4/19/16 | 2,725 | 2,737 |
| State Street Corp. | 4.300% | 5/30/14 | 2,205 | 2,360 |
| State Street Corp. | 2.875% | 3/7/16 | 4,950 | 5,186 |
| SunTrust Banks Inc. | 3.600% | 4/15/16 | 4,525 | 4,681 |
| SunTrust Banks Inc. | 3.500% | 1/20/17 | 1,650 | 1,684 |
| Svenska Handelsbanken AB | 3.125% | 7/12/16 | 2,500 | 2,553 |
| Toronto-Dominion Bank | 1.375% | 7/14/14 | 1,240 | 1,259 |
| Toronto-Dominion Bank | 2.500% | 7/14/16 | 1,860 | 1,934 |
| Toronto-Dominion Bank | 2.375% | 10/19/16 | 7,235 | 7,450 |
| UBS AG | 2.250% | 8/12/13 | 4,525 | 4,534 |
| UBS AG | 2.250% | 1/28/14 | 4,075 | 4,083 |
| UBS AG | 3.875% | 1/15/15 | 5,175 | 5,360 |
| UBS AG | 5.875% | 7/15/16 | 3,000 | 3,153 |
| UFJ Finance Aruba AEC | 6.750% | 7/15/13 | 6,455 | 6,885 |
56
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Union Bank NA | 2.125% | 12/16/13 | 450 | 457 |
| Union Bank NA | 5.950% | 5/11/16 | 1,800 | 1,946 |
| Union Bank NA | 3.000% | 6/6/16 | 2,875 | 2,985 |
| US Bancorp | 2.125% | 2/15/13 | 2,850 | 2,896 |
| US Bancorp | 2.000% | 6/14/13 | 8,550 | 8,710 |
| US Bancorp | 1.125% | 10/30/13 | 825 | 829 |
| US Bancorp | 4.200% | 5/15/14 | 225 | 241 |
| US Bancorp | 2.875% | 11/20/14 | 325 | 341 |
| US Bancorp | 2.450% | 7/27/15 | 4,075 | 4,238 |
| US Bancorp | 3.442% | 2/1/16 | 2,250 | 2,328 |
| US Bancorp | 2.200% | 11/15/16 | 4,375 | 4,491 |
| US Bank NA | 6.300% | 2/4/14 | 150 | 164 |
| US Bank NA | 4.950% | 10/30/14 | 360 | 394 |
| US Bank NA | 4.800% | 4/15/15 | 600 | 654 |
| 1 US Bank NA | 3.778% | 4/29/20 | 1,000 | 1,041 |
| Wachovia Bank NA | 4.800% | 11/1/14 | 950 | 1,017 |
| Wachovia Bank NA | 4.875% | 2/1/15 | 4,150 | 4,489 |
| Wachovia Bank NA | 5.000% | 8/15/15 | 500 | 543 |
| Wachovia Corp. | 5.500% | 5/1/13 | 6,575 | 6,919 |
| Wachovia Corp. | 4.875% | 2/15/14 | 750 | 791 |
| Wachovia Corp. | 5.625% | 10/15/16 | 6,200 | 6,949 |
| Wells Fargo & Co. | 4.950% | 10/16/13 | 10,100 | 10,696 |
| Wells Fargo & Co. | 4.625% | 4/15/14 | 5,000 | 5,271 |
| Wells Fargo & Co. | 3.750% | 10/1/14 | 8,325 | 8,851 |
| Wells Fargo & Co. | 5.000% | 11/15/14 | 150 | 161 |
| Wells Fargo & Co. | 1.250% | 2/13/15 | 4,125 | 4,117 |
| Wells Fargo & Co. | 3.625% | 4/15/15 | 1,150 | 1,231 |
| Wells Fargo & Co. | 3.676% | 6/15/16 | 6,100 | 6,537 |
| Wells Fargo & Co. | 5.125% | 9/15/16 | 1,400 | 1,556 |
| Wells Fargo & Co. | 2.625% | 12/15/16 | 3,750 | 3,858 |
| Wells Fargo Bank NA | 4.750% | 2/9/15 | 500 | 538 |
| Wells Fargo Bank NA | 5.750% | 5/16/16 | 3,250 | 3,668 |
| Westpac Banking Corp. | 2.100% | 8/2/13 | 2,200 | 2,226 |
| Westpac Banking Corp. | 1.850% | 12/9/13 | 4,875 | 4,917 |
| Westpac Banking Corp. | 4.200% | 2/27/15 | 2,725 | 2,912 |
| Westpac Banking Corp. | 3.000% | 8/4/15 | 7,300 | 7,510 |
| Brokerage (0.7%) | ||||
| Ameriprise Financial Inc. | 5.650% | 11/15/15 | 900 | 1,021 |
| 1 Ameriprise Financial Inc. | 7.518% | 6/1/66 | 1,200 | 1,296 |
| BlackRock Inc. | 3.500% | 12/10/14 | 3,275 | 3,511 |
| Charles Schwab Corp. | 4.950% | 6/1/14 | 1,425 | 1,549 |
| Franklin Resources Inc. | 2.000% | 5/20/13 | 175 | 177 |
| Franklin Resources Inc. | 3.125% | 5/20/15 | 150 | 157 |
| Jefferies Group Inc. | 5.875% | 6/8/14 | 100 | 103 |
| Jefferies Group Inc. | 3.875% | 11/9/15 | 100 | 95 |
| Jefferies Group Inc. | 5.500% | 3/15/16 | 2,000 | 1,965 |
| Lazard Group LLC | 7.125% | 5/15/15 | 975 | 1,050 |
| Nomura Holdings Inc. | 5.000% | 3/4/15 | 1,450 | 1,515 |
| Nomura Holdings Inc. | 4.125% | 1/19/16 | 5,100 | 5,181 |
| Raymond James Financial Inc. | 4.250% | 4/15/16 | 300 | 312 |
| TD Ameritrade Holding Corp. | 4.150% | 12/1/14 | 1,994 | 2,137 |
| Finance Companies (3.8%) | ||||
| Block Financial LLC | 7.875% | 1/15/13 | 575 | 599 |
57
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Block Financial LLC | 5.125% | 10/30/14 | 250 | 255 |
| GATX Corp. | 3.500% | 7/15/16 | 2,000 | 2,047 |
| General Electric Capital Corp. | 5.450% | 1/15/13 | 8,100 | 8,436 |
| General Electric Capital Corp. | 4.800% | 5/1/13 | 1,500 | 1,570 |
| General Electric Capital Corp. | 1.875% | 9/16/13 | 17,475 | 17,812 |
| General Electric Capital Corp. | 2.100% | 1/7/14 | 3,000 | 3,060 |
| General Electric Capital Corp. | 5.900% | 5/13/14 | 1,050 | 1,160 |
| General Electric Capital Corp. | 3.750% | 11/14/14 | 3,925 | 4,194 |
| General Electric Capital Corp. | 3.500% | 6/29/15 | 2,425 | 2,588 |
| General Electric Capital Corp. | 4.375% | 9/21/15 | 2,000 | 2,185 |
| General Electric Capital Corp. | 2.250% | 11/9/15 | 12,500 | 12,870 |
| General Electric Capital Corp. | 5.000% | 1/8/16 | 1,300 | 1,449 |
| General Electric Capital Corp. | 2.950% | 5/9/16 | 4,750 | 4,978 |
| General Electric Capital Corp. | 3.350% | 10/17/16 | 2,650 | 2,819 |
| General Electric Capital Corp. | 2.900% | 1/9/17 | 6,000 | 6,247 |
| General Electric Capital Corp. | 5.400% | 2/15/17 | 5,000 | 5,720 |
| 1 HSBC Finance Capital Trust IX | 5.911% | 11/30/35 | 1,700 | 1,522 |
| HSBC Finance Corp. | 4.750% | 7/15/13 | 1,850 | 1,916 |
| HSBC Finance Corp. | 5.250% | 1/15/14 | 525 | 553 |
| HSBC Finance Corp. | 5.250% | 4/15/15 | 1,600 | 1,704 |
| HSBC Finance Corp. | 5.000% | 6/30/15 | 6,577 | 6,985 |
| HSBC Finance Corp. | 5.500% | 1/19/16 | 4,700 | 5,090 |
| SLM Corp. | 5.000% | 10/1/13 | 4,900 | 5,017 |
| SLM Corp. | 5.000% | 4/15/15 | 1,875 | 1,912 |
| SLM Corp. | 6.250% | 1/25/16 | 5,675 | 5,926 |
| SLM Corp. | 6.000% | 1/25/17 | 1,500 | 1,543 |
| Insurance (4.7%) | ||||
| ACE INA Holdings Inc. | 5.875% | 6/15/14 | 1,375 | 1,517 |
| ACE INA Holdings Inc. | 5.600% | 5/15/15 | 1,700 | 1,924 |
| ACE INA Holdings Inc. | 2.600% | 11/23/15 | 1,990 | 2,063 |
| ACE INA Holdings Inc. | 5.700% | 2/15/17 | 1,000 | 1,173 |
| Aegon NV | 4.625% | 12/1/15 | 3,275 | 3,448 |
| Aetna Inc. | 6.000% | 6/15/16 | 1,775 | 2,058 |
| Aflac Inc. | 3.450% | 8/15/15 | 1,575 | 1,651 |
| Allied World Assurance Co. Ltd. | 7.500% | 8/1/16 | 900 | 1,026 |
| Allstate Corp. | 5.000% | 8/15/14 | 207 | 224 |
| Allstate Life Global Funding Trusts | 5.375% | 4/30/13 | 6,222 | 6,558 |
| American International Group Inc. | 4.250% | 5/15/13 | 950 | 969 |
| American International Group Inc. | 4.250% | 9/15/14 | 4,665 | 4,826 |
| American International Group Inc. | 5.050% | 10/1/15 | 3,675 | 3,862 |
| American International Group Inc. | 4.875% | 9/15/16 | 1,500 | 1,579 |
| American International Group Inc. | 5.600% | 10/18/16 | 875 | 943 |
| Aon Corp. | 3.500% | 9/30/15 | 3,675 | 3,839 |
| Assurant Inc. | 5.625% | 2/15/14 | 350 | 371 |
| Berkshire Hathaway Finance Corp. | 4.600% | 5/15/13 | 5,221 | 5,456 |
| Berkshire Hathaway Finance Corp. | 5.000% | 8/15/13 | 2,325 | 2,472 |
| Berkshire Hathaway Finance Corp. | 4.850% | 1/15/15 | 3,000 | 3,332 |
| Berkshire Hathaway Inc. | 3.200% | 2/11/15 | 8,900 | 9,513 |
| Berkshire Hathaway Inc. | 1.900% | 1/31/17 | 2,600 | 2,649 |
| Chubb Corp. | 5.200% | 4/1/13 | 25 | 26 |
| Cigna Corp. | 2.750% | 11/15/16 | 4,475 | 4,564 |
| CNA Financial Corp. | 5.850% | 12/15/14 | 1,850 | 1,986 |
| CNA Financial Corp. | 6.500% | 8/15/16 | 1,000 | 1,120 |
| Coventry Health Care Inc. | 6.300% | 8/15/14 | 200 | 219 |
58
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Genworth Financial Inc. | 5.750% | 6/15/14 | 1,635 | 1,688 |
| Genworth Financial Inc. | 4.950% | 10/1/15 | 1,000 | 1,013 |
| Genworth Financial Inc. | 8.625% | 12/15/16 | 450 | 494 |
| Hartford Financial Services Group Inc. | 4.625% | 7/15/13 | 250 | 257 |
| Hartford Financial Services Group Inc. | 4.000% | 3/30/15 | 1,500 | 1,541 |
| Humana Inc. | 6.450% | 6/1/16 | 675 | 768 |
| Jefferson-Pilot Corp. | 4.750% | 1/30/14 | 525 | 547 |
| Lincoln National Corp. | 4.300% | 6/15/15 | 400 | 423 |
| 1 Lincoln National Corp. | 7.000% | 5/17/66 | 1,575 | 1,520 |
| Loews Corp. | 5.250% | 3/15/16 | 575 | 642 |
| Manulife Financial Corp. | 3.400% | 9/17/15 | 2,725 | 2,838 |
| Marsh & McLennan Cos. Inc. | 5.375% | 7/15/14 | 1 | 1 |
| Marsh & McLennan Cos. Inc. | 5.750% | 9/15/15 | 1,432 | 1,594 |
| MetLife Inc. | 2.375% | 2/6/14 | 7,225 | 7,419 |
| MetLife Inc. | 5.000% | 6/15/15 | 1,800 | 1,996 |
| MetLife Inc. | 6.750% | 6/1/16 | 1,700 | 2,036 |
| 2 Metropolitan Life Global Funding I | 5.125% | 6/10/14 | 100 | 108 |
| Principal Financial Group Inc. | 7.875% | 5/15/14 | 850 | 954 |
| 2 Principal Life Global Funding I | 5.125% | 10/15/13 | 175 | 186 |
| Principal Life Income Funding Trusts | 5.300% | 4/24/13 | 2,750 | 2,888 |
| Prudential Financial Inc. | 5.100% | 9/20/14 | 4,725 | 5,116 |
| Prudential Financial Inc. | 3.875% | 1/14/15 | 450 | 476 |
| Prudential Financial Inc. | 6.200% | 1/15/15 | 400 | 440 |
| Prudential Financial Inc. | 4.750% | 9/17/15 | 5,900 | 6,453 |
| Prudential Financial Inc. | 5.500% | 3/15/16 | 575 | 645 |
| 1 Reinsurance Group of America Inc. | 6.750% | 12/15/65 | 1,400 | 1,281 |
| Torchmark Corp. | 6.375% | 6/15/16 | 500 | 567 |
| Transatlantic Holdings Inc. | 5.750% | 12/14/15 | 725 | 790 |
| Travelers Cos. Inc. | 5.500% | 12/1/15 | 1,350 | 1,533 |
| Travelers Cos. Inc. | 6.250% | 6/20/16 | 700 | 823 |
| UnitedHealth Group Inc. | 4.875% | 4/1/13 | 500 | 523 |
| UnitedHealth Group Inc. | 5.000% | 8/15/14 | 600 | 662 |
| UnitedHealth Group Inc. | 4.875% | 3/15/15 | 1,250 | 1,395 |
| UnitedHealth Group Inc. | 5.375% | 3/15/16 | 2,600 | 3,006 |
| WellPoint Inc. | 6.800% | 8/1/12 | 1,325 | 1,358 |
| WellPoint Inc. | 6.000% | 2/15/14 | 2,370 | 2,583 |
| WellPoint Inc. | 5.250% | 1/15/16 | 2,575 | 2,910 |
| Willis Group Holdings plc | 4.125% | 3/15/16 | 2,950 | 3,001 |
| Willis North America Inc. | 5.625% | 7/15/15 | 275 | 297 |
| XL Group plc | 5.250% | 9/15/14 | 2,250 | 2,378 |
| Other Finance (0.3%) | ||||
| CME Group Inc. | 5.400% | 8/1/13 | 2,100 | 2,233 |
| CME Group Inc. | 5.750% | 2/15/14 | 787 | 860 |
| NASDAQ OMX Group Inc. | 4.000% | 1/15/15 | 225 | 234 |
| NYSE Euronext | 4.800% | 6/28/13 | 1,383 | 1,450 |
| ORIX Corp. | 4.710% | 4/27/15 | 1,250 | 1,322 |
| ORIX Corp. | 5.000% | 1/12/16 | 1,775 | 1,878 |
| Real Estate Investment Trusts (1.7%) | ||||
| AvalonBay Communities Inc. | 5.750% | 9/15/16 | 500 | 572 |
| Boston Properties LP | 5.625% | 4/15/15 | 1,000 | 1,115 |
| Brandywine Operating Partnership LP | 7.500% | 5/15/15 | 450 | 497 |
| Brandywine Operating Partnership LP | 6.000% | 4/1/16 | 600 | 636 |
| CommonWealth REIT | 6.250% | 8/15/16 | 1,400 | 1,491 |
59
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Digital Realty Trust LP | 4.500% | 7/15/15 | 2,500 | 2,609 |
| Duke Realty LP | 6.250% | 5/15/13 | 1,800 | 1,881 |
| Duke Realty LP | 7.375% | 2/15/15 | 850 | 955 |
| Duke Realty LP | 5.950% | 2/15/17 | 1,050 | 1,170 |
| ERP Operating LP | 5.250% | 9/15/14 | 100 | 108 |
| ERP Operating LP | 6.584% | 4/13/15 | 1,000 | 1,118 |
| ERP Operating LP | 5.125% | 3/15/16 | 2,425 | 2,655 |
| HCP Inc. | 5.650% | 12/15/13 | 100 | 106 |
| HCP Inc. | 2.700% | 2/1/14 | 2,050 | 2,067 |
| HCP Inc. | 3.750% | 2/1/16 | 4,775 | 4,964 |
| HCP Inc. | 6.000% | 1/30/17 | 300 | 335 |
| Health Care REIT Inc. | 3.625% | 3/15/16 | 3,375 | 3,443 |
| Health Care REIT Inc. | 6.200% | 6/1/16 | 1,275 | 1,408 |
| Healthcare Realty Trust Inc. | 6.500% | 1/17/17 | 1,200 | 1,326 |
| Hospitality Properties Trust | 7.875% | 8/15/14 | 150 | 165 |
| Hospitality Properties Trust | 5.125% | 2/15/15 | 2,250 | 2,318 |
| Kilroy Realty LP | 5.000% | 11/3/15 | 125 | 134 |
| Kimco Realty Corp. | 5.783% | 3/15/16 | 500 | 551 |
| Liberty Property LP | 5.125% | 3/2/15 | 600 | 640 |
| Liberty Property LP | 5.500% | 12/15/16 | 113 | 124 |
| ProLogis LP | 7.625% | 8/15/14 | 750 | 818 |
| Realty Income Corp. | 5.950% | 9/15/16 | 1,000 | 1,112 |
| Regency Centers LP | 5.250% | 8/1/15 | 250 | 269 |
| Simon Property Group LP | 6.750% | 5/15/14 | 3,445 | 3,793 |
| Simon Property Group LP | 4.200% | 2/1/15 | 3,050 | 3,272 |
| Simon Property Group LP | 5.100% | 6/15/15 | 175 | 194 |
| Simon Property Group LP | 5.250% | 12/1/16 | 1,400 | 1,594 |
| Simon Property Group LP | 2.800% | 1/30/17 | 1,475 | 1,530 |
| Ventas Realty LP / Ventas Capital Corp. | 3.125% | 11/30/15 | 900 | 919 |
| Vornado Realty LP | 4.250% | 4/1/15 | 2,300 | 2,411 |
| 1,215,273 | ||||
| Industrial (49.2%) | ||||
| Basic Industry (4.7%) | ||||
| Air Products & Chemicals Inc. | 2.000% | 8/2/16 | 925 | 953 |
| Airgas Inc. | 3.250% | 10/1/15 | 950 | 982 |
| Airgas Inc. | 2.950% | 6/15/16 | 500 | 521 |
| Alcoa Inc. | 6.000% | 7/15/13 | 2,285 | 2,428 |
| Alcoa Inc. | 5.550% | 2/1/17 | 1,000 | 1,105 |
| ArcelorMittal | 5.375% | 6/1/13 | 5,650 | 5,860 |
| ArcelorMittal | 9.000% | 2/15/15 | 1,225 | 1,411 |
| ArcelorMittal | 3.750% | 2/25/15 | 1,800 | 1,832 |
| ArcelorMittal | 3.750% | 8/5/15 | 1,425 | 1,452 |
| ArcelorMittal | 3.750% | 3/1/16 | 1,150 | 1,154 |
| ArcelorMittal | 4.500% | 2/25/17 | 2,600 | 2,615 |
| ArcelorMittal USA LLC | 6.500% | 4/15/14 | 250 | 268 |
| Barrick Gold Corp. | 1.750% | 5/30/14 | 1,350 | 1,374 |
| Barrick Gold Corp. | 2.900% | 5/30/16 | 1,075 | 1,133 |
| Barrick Gold Financeco LLC | 6.125% | 9/15/13 | 4,330 | 4,675 |
| BHP Billiton Finance USA Ltd. | 5.500% | 4/1/14 | 10,300 | 11,300 |
| BHP Billiton Finance USA Ltd. | 1.125% | 11/21/14 | 2,350 | 2,369 |
| BHP Billiton Finance USA Ltd. | 1.000% | 2/24/15 | 750 | 751 |
| BHP Billiton Finance USA Ltd. | 1.875% | 11/21/16 | 1,450 | 1,482 |
| BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 2,675 | 2,672 |
| Celulosa Arauco y Constitucion SA | 5.625% | 4/20/15 | 450 | 487 |
| Dow Chemical Co. | 7.600% | 5/15/14 | 3,800 | 4,320 |
60
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Dow Chemical Co. | 5.900% | 2/15/15 | 2,650 | 2,999 |
| Dow Chemical Co. | 2.500% | 2/15/16 | 4,525 | 4,669 |
| Eastman Chemical Co. | 3.000% | 12/15/15 | 250 | 257 |
| Ecolab Inc. | 2.375% | 12/8/14 | 3,250 | 3,374 |
| Ecolab Inc. | 3.000% | 12/8/16 | 2,700 | 2,849 |
| EI du Pont de Nemours & Co. | 5.000% | 7/15/13 | 1,475 | 1,563 |
| EI du Pont de Nemours & Co. | 1.750% | 3/25/14 | 2,675 | 2,740 |
| EI du Pont de Nemours & Co. | 4.875% | 4/30/14 | 450 | 490 |
| EI du Pont de Nemours & Co. | 3.250% | 1/15/15 | 3,200 | 3,430 |
| EI du Pont de Nemours & Co. | 2.750% | 4/1/16 | 4,700 | 4,996 |
| EI du Pont de Nemours & Co. | 5.250% | 12/15/16 | 600 | 706 |
| Freeport-McMoRan Copper & Gold Inc. | 1.400% | 2/13/15 | 875 | 877 |
| Georgia-Pacific LLC | 7.700% | 6/15/15 | 750 | 882 |
| International Paper Co. | 7.400% | 6/15/14 | 2,800 | 3,101 |
| 2 Kinross Gold Corp. | 3.625% | 9/1/16 | 1,950 | 1,931 |
| Monsanto Co. | 2.750% | 4/15/16 | 1,100 | 1,161 |
| Nucor Corp. | 5.000% | 6/1/13 | 925 | 972 |
| Potash Corp. of Saskatchewan Inc. | 5.250% | 5/15/14 | 3,625 | 3,968 |
| PPG Industries Inc. | 5.750% | 3/15/13 | 4,100 | 4,303 |
| Praxair Inc. | 2.125% | 6/14/13 | 5,200 | 5,297 |
| Praxair Inc. | 5.250% | 11/15/14 | 1,950 | 2,180 |
| Rio Tinto Alcan Inc. | 5.000% | 6/1/15 | 700 | 776 |
| Rio Tinto Finance USA Ltd. | 8.950% | 5/1/14 | 7,425 | 8,671 |
| Rio Tinto Finance USA Ltd. | 1.875% | 11/2/15 | 4,725 | 4,835 |
| Rohm & Haas Co. | 5.600% | 3/15/13 | 275 | 287 |
| Teck Resources Ltd. | 9.750% | 5/15/14 | 403 | 483 |
| Teck Resources Ltd. | 10.250% | 5/15/16 | 3,500 | 4,034 |
| Vale Canada Ltd. | 5.700% | 10/15/15 | 3,200 | 3,475 |
| Vale Overseas Ltd. | 6.250% | 1/11/16 | 2,575 | 2,928 |
| Vale Overseas Ltd. | 6.250% | 1/23/17 | 2,750 | 3,180 |
| Xstrata Canada Corp. | 6.000% | 10/15/15 | 1,000 | 1,107 |
| Capital Goods (4.1%) | ||||
| 3M Co. | 4.375% | 8/15/13 | 2,135 | 2,256 |
| 3M Co. | 1.375% | 9/29/16 | 2,425 | 2,463 |
| Bemis Co. Inc. | 5.650% | 8/1/14 | 800 | 878 |
| Black & Decker Corp. | 8.950% | 4/15/14 | 1,000 | 1,146 |
| Black & Decker Corp. | 5.750% | 11/15/16 | 1,400 | 1,620 |
| Boeing Capital Corp. | 3.250% | 10/27/14 | 3,500 | 3,716 |
| Boeing Capital Corp. | 2.125% | 8/15/16 | 4,450 | 4,627 |
| Boeing Co. | 1.875% | 11/20/12 | 1,240 | 1,254 |
| Caterpillar Financial Services Corp. | 2.000% | 4/5/13 | 2,750 | 2,791 |
| Caterpillar Financial Services Corp. | 6.200% | 9/30/13 | 200 | 217 |
| Caterpillar Financial Services Corp. | 6.125% | 2/17/14 | 8,574 | 9,472 |
| Caterpillar Financial Services Corp. | 1.375% | 5/20/14 | 2,275 | 2,313 |
| Caterpillar Financial Services Corp. | 1.125% | 12/15/14 | 1,225 | 1,237 |
| Caterpillar Financial Services Corp. | 4.625% | 6/1/15 | 600 | 669 |
| Caterpillar Financial Services Corp. | 2.050% | 8/1/16 | 5,475 | 5,659 |
| Caterpillar Inc. | 1.375% | 5/27/14 | 2,800 | 2,849 |
| Cooper US Inc. | 5.450% | 4/1/15 | 950 | 1,057 |
| CRH America Inc. | 5.300% | 10/15/13 | 1,975 | 2,063 |
| CRH America Inc. | 4.125% | 1/15/16 | 500 | 506 |
| CRH America Inc. | 6.000% | 9/30/16 | 4,000 | 4,348 |
| Danaher Corp. | 2.300% | 6/23/16 | 2,500 | 2,609 |
| Deere & Co. | 6.950% | 4/25/14 | 125 | 141 |
61
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Dover Corp. | 4.875% | 10/15/15 | 175 | 198 |
| Eaton Corp. | 4.900% | 5/15/13 | 900 | 943 |
| Embraer Overseas Ltd. | 6.375% | 1/24/17 | 925 | 1,024 |
| Emerson Electric Co. | 4.500% | 5/1/13 | 2,000 | 2,085 |
| Emerson Electric Co. | 5.125% | 12/1/16 | 375 | 434 |
| General Dynamics Corp. | 5.250% | 2/1/14 | 4,275 | 4,658 |
| General Dynamics Corp. | 1.375% | 1/15/15 | 3,600 | 3,667 |
| Harsco Corp. | 2.700% | 10/15/15 | 300 | 308 |
| Honeywell International Inc. | 4.250% | 3/1/13 | 550 | 571 |
| Honeywell International Inc. | 3.875% | 2/15/14 | 2,680 | 2,851 |
| Honeywell International Inc. | 5.400% | 3/15/16 | 275 | 319 |
| Illinois Tool Works Inc. | 5.150% | 4/1/14 | 1,325 | 1,444 |
| Ingersoll-Rand Global Holding Co. Ltd. | 9.500% | 4/15/14 | 2,600 | 3,006 |
| John Deere Capital Corp. | 4.900% | 9/9/13 | 2,600 | 2,768 |
| John Deere Capital Corp. | 1.600% | 3/3/14 | 3,800 | 3,867 |
| John Deere Capital Corp. | 1.250% | 12/2/14 | 1,175 | 1,192 |
| John Deere Capital Corp. | 2.950% | 3/9/15 | 2,850 | 3,034 |
| John Deere Capital Corp. | 1.850% | 9/15/16 | 1,700 | 1,737 |
| John Deere Capital Corp. | 2.000% | 1/13/17 | 475 | 488 |
| Joy Global Inc. | 6.000% | 11/15/16 | 400 | 457 |
| L-3 Communications Corp. | 3.950% | 11/15/16 | 950 | 1,000 |
| Lockheed Martin Corp. | 2.125% | 9/15/16 | 3,200 | 3,256 |
| Northrop Grumman Corp. | 3.700% | 8/1/14 | 225 | 236 |
| Northrop Grumman Corp. | 1.850% | 11/15/15 | 2,750 | 2,785 |
| Owens Corning | 6.500% | 12/1/16 | 1,300 | 1,439 |
| Raytheon Co. | 1.400% | 12/15/14 | 1,600 | 1,631 |
| Raytheon Co. | 1.625% | 10/15/15 | 200 | 204 |
| Roper Industries Inc. | 6.625% | 8/15/13 | 1,375 | 1,472 |
| Textron Inc. | 4.625% | 9/21/16 | 2,000 | 2,124 |
| Tyco International Finance SA | 6.000% | 11/15/13 | 950 | 1,029 |
| Tyco International Finance SA | 4.125% | 10/15/14 | 2,925 | 3,145 |
| Tyco International Finance SA | 3.375% | 10/15/15 | 200 | 211 |
| United Technologies Corp. | 4.875% | 5/1/15 | 4,100 | 4,607 |
| Waste Management Inc. | 5.000% | 3/15/14 | 100 | 108 |
| Waste Management Inc. | 6.375% | 3/11/15 | 534 | 612 |
| Waste Management Inc. | 2.600% | 9/1/16 | 3,800 | 3,915 |
| Communication (9.5%) | ||||
| America Movil SAB de CV | 5.500% | 3/1/14 | 2,600 | 2,815 |
| America Movil SAB de CV | 3.625% | 3/30/15 | 3,900 | 4,127 |
| America Movil SAB de CV | 2.375% | 9/8/16 | 4,125 | 4,223 |
| American Tower Corp. | 4.625% | 4/1/15 | 2,100 | 2,236 |
| AT&T Inc. | 4.950% | 1/15/13 | 5,500 | 5,707 |
| AT&T Inc. | 6.700% | 11/15/13 | 7,425 | 8,170 |
| AT&T Inc. | 4.850% | 2/15/14 | 1,900 | 2,050 |
| AT&T Inc. | 5.100% | 9/15/14 | 3,250 | 3,595 |
| AT&T Inc. | 2.500% | 8/15/15 | 4,100 | 4,296 |
| AT&T Inc. | 2.950% | 5/15/16 | 7,075 | 7,528 |
| AT&T Inc. | 5.625% | 6/15/16 | 1,300 | 1,520 |
| AT&T Inc. | 2.400% | 8/15/16 | 4,000 | 4,171 |
| AT&T Inc. | 1.600% | 2/15/17 | 3,700 | 3,708 |
| BellSouth Corp. | 5.200% | 9/15/14 | 200 | 221 |
| CBS Corp. | 8.200% | 5/15/14 | 2,000 | 2,284 |
| Cellco Partnership / Verizon Wireless Capital LLC | 5.550% | 2/1/14 | 13,650 | 14,847 |
| CenturyLink Inc. | 5.000% | 2/15/15 | 300 | 314 |
62
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Comcast Cable Communications Holdings Inc. | 8.375% | 3/15/13 | 3,705 | 3,999 |
| Comcast Corp. | 5.300% | 1/15/14 | 8,075 | 8,722 |
| Comcast Corp. | 6.500% | 1/15/15 | 250 | 286 |
| Comcast Corp. | 5.900% | 3/15/16 | 6,350 | 7,383 |
| Comcast Corp. | 6.500% | 1/15/17 | 1,575 | 1,901 |
| COX Communications Inc. | 4.625% | 6/1/13 | 3,750 | 3,931 |
| COX Communications Inc. | 5.450% | 12/15/14 | 2,275 | 2,538 |
| Deutsche Telekom International Finance BV | 5.250% | 7/22/13 | 2,675 | 2,815 |
| Deutsche Telekom International Finance BV | 5.875% | 8/20/13 | 146 | 156 |
| Deutsche Telekom International Finance BV | 4.875% | 7/8/14 | 3,475 | 3,731 |
| Deutsche Telekom International Finance BV | 5.750% | 3/23/16 | 1,725 | 1,957 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 4.750% | 10/1/14 | 4,400 | 4,795 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 3.550% | 3/15/15 | 4,700 | 4,986 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 3.125% | 2/15/16 | 1,000 | 1,044 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 3.500% | 3/1/16 | 2,000 | 2,118 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 7.625% | 5/15/16 | 2,500 | 2,628 |
| Discovery Communications LLC | 3.700% | 6/1/15 | 3,100 | 3,329 |
| Embarq Corp. | 7.082% | 6/1/16 | 3,400 | 3,803 |
| France Telecom SA | 4.375% | 7/8/14 | 4,800 | 5,134 |
| France Telecom SA | 2.750% | 9/14/16 | 3,500 | 3,645 |
| NBCUniversal Media LLC | 2.100% | 4/1/14 | 3,100 | 3,164 |
| NBCUniversal Media LLC | 3.650% | 4/30/15 | 375 | 403 |
| NBCUniversal Media LLC | 2.875% | 4/1/16 | 3,900 | 4,093 |
| News America Inc. | 5.300% | 12/15/14 | 4,650 | 5,162 |
| Omnicom Group Inc. | 5.900% | 4/15/16 | 1,610 | 1,852 |
| Qwest Communications International Inc. | 7.500% | 2/15/14 | 3,150 | 3,150 |
| Qwest Corp. | 8.375% | 5/1/16 | 7,525 | 8,851 |
| Reed Elsevier Capital Inc. | 7.750% | 1/15/14 | 1,122 | 1,252 |
| Rogers Communications Inc. | 6.375% | 3/1/14 | 5,675 | 6,267 |
| Rogers Communications Inc. | 5.500% | 3/15/14 | 750 | 818 |
| TCI Communications Inc. | 8.750% | 8/1/15 | 125 | 153 |
| Telecom Italia Capital SA | 5.250% | 11/15/13 | 630 | 642 |
| Telecom Italia Capital SA | 6.175% | 6/18/14 | 7,250 | 7,509 |
| Telecom Italia Capital SA | 4.950% | 9/30/14 | 4,425 | 4,451 |
| Telecom Italia Capital SA | 5.250% | 10/1/15 | 1,000 | 1,019 |
| Telefonica Emisiones SAU | 2.582% | 4/26/13 | 6,850 | 6,863 |
| Telefonica Emisiones SAU | 4.949% | 1/15/15 | 2,025 | 2,100 |
| Telefonica Emisiones SAU | 3.729% | 4/27/15 | 550 | 553 |
| Telefonica Emisiones SAU | 3.992% | 2/16/16 | 6,375 | 6,419 |
| Telefonica Emisiones SAU | 6.421% | 6/20/16 | 1,000 | 1,080 |
| Telefonos de Mexico SAB de CV | 5.500% | 1/27/15 | 1,400 | 1,528 |
| Thomson Reuters Corp. | 5.950% | 7/15/13 | 1,350 | 1,433 |
| Thomson Reuters Corp. | 5.250% | 8/15/13 | 145 | 153 |
| Thomson Reuters Corp. | 5.700% | 10/1/14 | 4,775 | 5,273 |
| Time Warner Cable Inc. | 6.200% | 7/1/13 | 2,225 | 2,382 |
| Time Warner Cable Inc. | 8.250% | 2/14/14 | 1,500 | 1,711 |
| Time Warner Cable Inc. | 7.500% | 4/1/14 | 2,900 | 3,282 |
| Time Warner Cable Inc. | 3.500% | 2/1/15 | 2,725 | 2,906 |
| Verizon Communications Inc. | 5.250% | 4/15/13 | 7,990 | 8,410 |
| Verizon Communications Inc. | 1.950% | 3/28/14 | 3,525 | 3,620 |
63
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Verizon Communications Inc. | 1.250% | 11/3/14 | 600 | 608 |
| Verizon Communications Inc. | 5.550% | 2/15/16 | 1,600 | 1,860 |
| Verizon Communications Inc. | 3.000% | 4/1/16 | 3,300 | 3,519 |
| Verizon Communications Inc. | 2.000% | 11/1/16 | 6,050 | 6,190 |
| Vodafone Group plc | 5.000% | 12/16/13 | 925 | 993 |
| Vodafone Group plc | 4.150% | 6/10/14 | 8,876 | 9,532 |
| Vodafone Group plc | 3.375% | 11/24/15 | 3,300 | 3,554 |
| Vodafone Group plc | 5.750% | 3/15/16 | 475 | 555 |
| Vodafone Group plc | 5.625% | 2/27/17 | 3,000 | 3,569 |
| WPP Finance UK | 8.000% | 9/15/14 | 2,700 | 3,115 |
| Consumer Cyclical (5.1%) | ||||
| AutoZone Inc. | 5.750% | 1/15/15 | 100 | 111 |
| AutoZone Inc. | 5.500% | 11/15/15 | 2,200 | 2,490 |
| Best Buy Co. Inc. | 6.750% | 7/15/13 | 1,500 | 1,587 |
| CVS Caremark Corp. | 3.250% | 5/18/15 | 4,475 | 4,767 |
| Daimler Finance North America LLC | 6.500% | 11/15/13 | 6,400 | 6,983 |
| 2 Daimler Finance North America LLC | 2.625% | 9/15/16 | 125 | 127 |
| eBay Inc. | 0.875% | 10/15/13 | 425 | 428 |
| eBay Inc. | 1.625% | 10/15/15 | 2,950 | 3,026 |
| Home Depot Inc. | 5.250% | 12/16/13 | 1,725 | 1,870 |
| Home Depot Inc. | 5.400% | 3/1/16 | 8,900 | 10,340 |
| Hyatt Hotels Corp. | 3.875% | 8/15/16 | 400 | 415 |
| Johnson Controls Inc. | 5.500% | 1/15/16 | 3,075 | 3,489 |
| Johnson Controls Inc. | 2.600% | 12/1/16 | 475 | 493 |
| Lowe’s Cos. Inc. | 5.000% | 10/15/15 | 3,625 | 4,114 |
| Lowe’s Cos. Inc. | 5.400% | 10/15/16 | 400 | 470 |
| Macy’s Retail Holdings Inc. | 5.750% | 7/15/14 | 2,000 | 2,201 |
| Macy’s Retail Holdings Inc. | 7.875% | 7/15/15 | 1,825 | 2,157 |
| Macy’s Retail Holdings Inc. | 5.900% | 12/1/16 | 2,369 | 2,726 |
| Marriott International Inc. | 6.200% | 6/15/16 | 1,200 | 1,384 |
| McDonald’s Corp. | 4.300% | 3/1/13 | 1,461 | 1,518 |
| Nordstrom Inc. | 6.750% | 6/1/14 | 2,375 | 2,687 |
| PACCAR Inc. | 6.875% | 2/15/14 | 2,125 | 2,375 |
| Staples Inc. | 9.750% | 1/15/14 | 3,725 | 4,251 |
| Target Corp. | 1.125% | 7/18/14 | 2,000 | 2,030 |
| Target Corp. | 5.875% | 7/15/16 | 1,500 | 1,786 |
| Time Warner Inc. | 3.150% | 7/15/15 | 1,475 | 1,569 |
| Time Warner Inc. | 5.875% | 11/15/16 | 3,200 | 3,781 |
| Toyota Motor Credit Corp. | 1.375% | 8/12/13 | 3,225 | 3,260 |
| Toyota Motor Credit Corp. | 1.250% | 11/17/14 | 2,800 | 2,829 |
| Toyota Motor Credit Corp. | 1.000% | 2/17/15 | 3,825 | 3,817 |
| Toyota Motor Credit Corp. | 3.200% | 6/17/15 | 750 | 798 |
| Toyota Motor Credit Corp. | 2.800% | 1/11/16 | 1,200 | 1,255 |
| Toyota Motor Credit Corp. | 2.000% | 9/15/16 | 5,300 | 5,396 |
| Toyota Motor Credit Corp. | 2.050% | 1/12/17 | 1,025 | 1,047 |
| Turner Broadcasting System Inc. | 8.375% | 7/1/13 | 1,650 | 1,812 |
| Viacom Inc. | 4.375% | 9/15/14 | 5,350 | 5,786 |
| Viacom Inc. | 1.250% | 2/27/15 | 100 | 100 |
| Viacom Inc. | 2.500% | 12/15/16 | 800 | 825 |
| Wal-Mart Stores Inc. | 4.250% | 4/15/13 | 2,950 | 3,076 |
| Wal-Mart Stores Inc. | 4.550% | 5/1/13 | 5,225 | 5,471 |
| Wal-Mart Stores Inc. | 1.625% | 4/15/14 | 2,950 | 3,022 |
| Wal-Mart Stores Inc. | 3.200% | 5/15/14 | 4,800 | 5,090 |
| Wal-Mart Stores Inc. | 2.875% | 4/1/15 | 200 | 213 |
64
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Wal-Mart Stores Inc. | 4.500% | 7/1/15 | 1,200 | 1,344 |
| Wal-Mart Stores Inc. | 2.250% | 7/8/15 | 2,825 | 2,960 |
| Wal-Mart Stores Inc. | 1.500% | 10/25/15 | 2,825 | 2,893 |
| Wal-Mart Stores Inc. | 2.800% | 4/15/16 | 3,500 | 3,751 |
| Walgreen Co. | 4.875% | 8/1/13 | 2,425 | 2,576 |
| Walt Disney Co. | 4.500% | 12/15/13 | 5,075 | 5,437 |
| Walt Disney Co. | 1.350% | 8/16/16 | 200 | 202 |
| Walt Disney Co. | 5.625% | 9/15/16 | 4,050 | 4,833 |
| Walt Disney Co. | 1.125% | 2/15/17 | 1,500 | 1,488 |
| Western Union Co. | 6.500% | 2/26/14 | 475 | 521 |
| Western Union Co. | 5.930% | 10/1/16 | 2,350 | 2,705 |
| Wyndham Worldwide Corp. | 6.000% | 12/1/16 | 3,375 | 3,839 |
| Yum! Brands Inc. | 6.250% | 4/15/16 | 539 | 620 |
| Consumer Noncyclical (13.6%) | ||||
| Abbott Laboratories | 2.700% | 5/27/15 | 1,900 | 2,015 |
| Abbott Laboratories | 5.875% | 5/15/16 | 5,525 | 6,511 |
| Abbott Laboratories | 5.600% | 11/30/17 | 1,000 | 1,220 |
| Allergan Inc. | 5.750% | 4/1/16 | 1,200 | 1,406 |
| Altria Group Inc. | 8.500% | 11/10/13 | 1,002 | 1,126 |
| Altria Group Inc. | 4.125% | 9/11/15 | 6,638 | 7,276 |
| AmerisourceBergen Corp. | 5.875% | 9/15/15 | 925 | 1,064 |
| Amgen Inc. | 1.875% | 11/15/14 | 3,200 | 3,278 |
| Amgen Inc. | 4.850% | 11/18/14 | 3,600 | 3,958 |
| Amgen Inc. | 2.300% | 6/15/16 | 200 | 205 |
| Amgen Inc. | 2.500% | 11/15/16 | 2,550 | 2,636 |
| Anheuser-Busch InBev Worldwide Inc. | 2.500% | 3/26/13 | 1,375 | 1,403 |
| Anheuser-Busch InBev Worldwide Inc. | 1.500% | 7/14/14 | 4,400 | 4,468 |
| Anheuser-Busch InBev Worldwide Inc. | 5.375% | 11/15/14 | 6,450 | 7,206 |
| Anheuser-Busch InBev Worldwide Inc. | 4.125% | 1/15/15 | 2,925 | 3,185 |
| Anheuser-Busch InBev Worldwide Inc. | 3.625% | 4/15/15 | 1,000 | 1,077 |
| Anheuser-Busch InBev Worldwide Inc. | 2.875% | 2/15/16 | 200 | 213 |
| 2 Aristotle Holding Inc. | 2.100% | 2/12/15 | 1,475 | 1,478 |
| 2 Aristotle Holding Inc. | 3.500% | 11/15/16 | 2,200 | 2,272 |
| 2 Aristotle Holding Inc. | 2.650% | 2/15/17 | 2,875 | 2,901 |
| AstraZeneca plc | 5.400% | 6/1/14 | 875 | 968 |
| Avon Products Inc. | 5.625% | 3/1/14 | 450 | 480 |
| Baxter International Inc. | 1.800% | 3/15/13 | 2,925 | 2,966 |
| Baxter International Inc. | 4.000% | 3/1/14 | 333 | 356 |
| Baxter International Inc. | 4.625% | 3/15/15 | 400 | 442 |
| Baxter International Inc. | 5.900% | 9/1/16 | 1,640 | 1,972 |
| Baxter International Inc. | 1.850% | 1/15/17 | 800 | 815 |
| Becton Dickinson and Co. | 1.750% | 11/8/16 | 675 | 687 |
| Biogen Idec Inc. | 6.000% | 3/1/13 | 2,669 | 2,798 |
| Boston Scientific Corp. | 4.500% | 1/15/15 | 3,240 | 3,477 |
| Boston Scientific Corp. | 6.250% | 11/15/15 | 2,800 | 3,131 |
| Boston Scientific Corp. | 6.400% | 6/15/16 | 500 | 578 |
| Boston Scientific Corp. | 5.125% | 1/12/17 | 1,250 | 1,360 |
| Bottling Group LLC | 6.950% | 3/15/14 | 475 | 535 |
| Bottling Group LLC | 5.500% | 4/1/16 | 425 | 497 |
| Bristol-Myers Squibb Co. | 5.250% | 8/15/13 | 1,325 | 1,414 |
| Brown-Forman Corp. | 2.500% | 1/15/16 | 575 | 599 |
| Bunge Ltd. Finance Corp. | 5.875% | 5/15/13 | 400 | 414 |
| Bunge Ltd. Finance Corp. | 5.350% | 4/15/14 | 525 | 551 |
| Bunge Ltd. Finance Corp. | 4.100% | 3/15/16 | 1,500 | 1,562 |
65
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Campbell Soup Co. | 3.375% | 8/15/14 | 2,700 | 2,871 |
| Cardinal Health Inc. | 4.000% | 6/15/15 | 3,625 | 3,888 |
| CareFusion Corp. | 5.125% | 8/1/14 | 2,700 | 2,920 |
| Celgene Corp. | 2.450% | 10/15/15 | 2,650 | 2,717 |
| Church & Dwight Co. Inc. | 3.350% | 12/15/15 | 250 | 262 |
| Clorox Co. | 5.000% | 3/1/13 | 3,000 | 3,116 |
| Coca-Cola Co. | 3.625% | 3/15/14 | 850 | 903 |
| Coca-Cola Co. | 1.500% | 11/15/15 | 3,670 | 3,770 |
| Coca-Cola Co. | 1.800% | 9/1/16 | 2,700 | 2,775 |
| Coca-Cola Enterprises Inc. | 2.125% | 9/15/15 | 1,200 | 1,232 |
| Coca-Cola Enterprises Inc. | 2.000% | 8/19/16 | 500 | 504 |
| Coca-Cola HBC Finance BV | 5.500% | 9/17/15 | 1,250 | 1,375 |
| Coca-Cola Refreshments USA Inc. | 7.375% | 3/3/14 | 4,450 | 5,035 |
| Coca-Cola Refreshments USA Inc. | 4.250% | 3/1/15 | 1,885 | 2,071 |
| Colgate-Palmolive Co. | 0.600% | 11/15/14 | 2,075 | 2,080 |
| Colgate-Palmolive Co. | 1.300% | 1/15/17 | 2,275 | 2,290 |
| Corn Products International Inc. | 3.200% | 11/1/15 | 125 | 130 |
| Covidien International Finance SA | 1.875% | 6/15/13 | 2,350 | 2,377 |
| Delhaize Group SA | 5.875% | 2/1/14 | 25 | 27 |
| DENTSPLY International Inc. | 2.750% | 8/15/16 | 525 | 534 |
| Diageo Capital plc | 7.375% | 1/15/14 | 3,475 | 3,893 |
| Diageo Capital plc | 5.500% | 9/30/16 | 700 | 813 |
| Diageo Finance BV | 5.500% | 4/1/13 | 4,400 | 4,637 |
| Diageo Finance BV | 5.300% | 10/28/15 | 200 | 229 |
| Dr Pepper Snapple Group Inc. | 2.900% | 1/15/16 | 3,025 | 3,166 |
| Eli Lilly & Co. | 4.200% | 3/6/14 | 2,100 | 2,250 |
| Express Scripts Inc. | 6.250% | 6/15/14 | 2,900 | 3,193 |
| Express Scripts Inc. | 3.125% | 5/15/16 | 5,450 | 5,626 |
| Genentech Inc. | 4.750% | 7/15/15 | 2,625 | 2,941 |
| General Mills Inc. | 5.250% | 8/15/13 | 1,525 | 1,625 |
| General Mills Inc. | 5.200% | 3/17/15 | 3,020 | 3,377 |
| General Mills Inc. | 5.700% | 2/15/17 | 2,325 | 2,755 |
| Gilead Sciences Inc. | 2.400% | 12/1/14 | 2,400 | 2,491 |
| Gilead Sciences Inc. | 3.050% | 12/1/16 | 1,225 | 1,291 |
| GlaxoSmithKline Capital Inc. | 4.850% | 5/15/13 | 7,383 | 7,769 |
| GlaxoSmithKline Capital Inc. | 4.375% | 4/15/14 | 4,100 | 4,428 |
| Hasbro Inc. | 6.125% | 5/15/14 | 1,025 | 1,115 |
| Hershey Co. | 5.450% | 9/1/16 | 1,400 | 1,648 |
| Hershey Co. | 1.500% | 11/1/16 | 375 | 380 |
| HJ Heinz Co. | 2.000% | 9/12/16 | 1,400 | 1,430 |
| HJ Heinz Co. | 1.500% | 3/1/17 | 1,100 | 1,100 |
| Hospira Inc. | 5.900% | 6/15/14 | 25 | 27 |
| Johnson & Johnson | 5.150% | 8/15/12 | 2,250 | 2,299 |
| Johnson & Johnson | 1.200% | 5/15/14 | 1,550 | 1,579 |
| Johnson & Johnson | 2.150% | 5/15/16 | 2,000 | 2,092 |
| Kellogg Co. | 4.450% | 5/30/16 | 3,275 | 3,653 |
| Kellogg Co. | 1.875% | 11/17/16 | 3,000 | 3,023 |
| Kimberly-Clark Corp. | 4.875% | 8/15/15 | 2,550 | 2,854 |
| Koninklijke Philips Electronics NV | 4.625% | 3/11/13 | 1,075 | 1,116 |
| Kraft Foods Inc. | 2.625% | 5/8/13 | 3,925 | 4,006 |
| Kraft Foods Inc. | 5.250% | 10/1/13 | 3,635 | 3,872 |
| Kraft Foods Inc. | 6.750% | 2/19/14 | 125 | 139 |
| Kraft Foods Inc. | 4.125% | 2/9/16 | 5,350 | 5,845 |
| Kroger Co. | 5.000% | 4/15/13 | 875 | 916 |
| Kroger Co. | 7.500% | 1/15/14 | 3,850 | 4,314 |
66
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Kroger Co. | 3.900% | 10/1/15 | 1,750 | 1,913 |
| Kroger Co. | 2.200% | 1/15/17 | 850 | 870 |
| Laboratory Corp. of America Holdings | 5.625% | 12/15/15 | 1,075 | 1,210 |
| Life Technologies Corp. | 4.400% | 3/1/15 | 2,450 | 2,575 |
| Lorillard Tobacco Co. | 3.500% | 8/4/16 | 800 | 837 |
| Mattel Inc. | 2.500% | 11/1/16 | 2,255 | 2,300 |
| McKesson Corp. | 5.250% | 3/1/13 | 260 | 271 |
| McKesson Corp. | 6.500% | 2/15/14 | 575 | 636 |
| McKesson Corp. | 3.250% | 3/1/16 | 3,775 | 4,013 |
| Medco Health Solutions Inc. | 6.125% | 3/15/13 | 900 | 945 |
| Medco Health Solutions Inc. | 7.250% | 8/15/13 | 400 | 432 |
| Medco Health Solutions Inc. | 2.750% | 9/15/15 | 1,725 | 1,750 |
| Medtronic Inc. | 4.500% | 3/15/14 | 100 | 108 |
| Medtronic Inc. | 3.000% | 3/15/15 | 5,550 | 5,902 |
| Medtronic Inc. | 2.625% | 3/15/16 | 1,000 | 1,054 |
| Merck & Co. Inc. | 5.300% | 12/1/13 | 5,575 | 6,047 |
| Merck & Co. Inc. | 4.750% | 3/1/15 | 550 | 614 |
| Merck & Co. Inc. | 4.000% | 6/30/15 | 2,825 | 3,122 |
| Merck & Co. Inc. | 2.250% | 1/15/16 | 1,975 | 2,064 |
| Newell Rubbermaid Inc. | 5.500% | 4/15/13 | 1,150 | 1,205 |
| Novartis Capital Corp. | 1.900% | 4/24/13 | 5,550 | 5,641 |
| Novartis Capital Corp. | 4.125% | 2/10/14 | 4,075 | 4,339 |
| Novartis Capital Corp. | 2.900% | 4/24/15 | 4,175 | 4,449 |
| PepsiAmericas Inc. | 4.875% | 1/15/15 | 225 | 250 |
| PepsiCo Inc. | 4.650% | 2/15/13 | 4,779 | 4,973 |
| PepsiCo Inc. | 3.750% | 3/1/14 | 850 | 904 |
| PepsiCo Inc. | 0.800% | 8/25/14 | 1,000 | 1,007 |
| PepsiCo Inc. | 3.100% | 1/15/15 | 3,850 | 4,103 |
| PepsiCo Inc. | 0.750% | 3/5/15 | 1,775 | 1,774 |
| PepsiCo Inc. | 2.500% | 5/10/16 | 5,700 | 6,017 |
| Pfizer Inc. | 5.350% | 3/15/15 | 10,850 | 12,334 |
| Philip Morris International Inc. | 4.875% | 5/16/13 | 8,400 | 8,851 |
| Philip Morris International Inc. | 6.875% | 3/17/14 | 3,325 | 3,745 |
| Procter & Gamble Co. | 0.700% | 8/15/14 | 4,050 | 4,070 |
| Procter & Gamble Co. | 3.150% | 9/1/15 | 3,275 | 3,535 |
| Procter & Gamble Co. | 4.850% | 12/15/15 | 500 | 579 |
| Procter & Gamble Co. | 1.450% | 8/15/16 | 9,025 | 9,177 |
| Quest Diagnostics Inc. | 3.200% | 4/1/16 | 1,000 | 1,049 |
| Reynolds American Inc. | 7.250% | 6/1/13 | 1,575 | 1,680 |
| Reynolds American Inc. | 7.625% | 6/1/16 | 1,000 | 1,207 |
| Safeway Inc. | 6.250% | 3/15/14 | 3,850 | 4,254 |
| Sanofi | 1.625% | 3/28/14 | 1,375 | 1,404 |
| Sanofi | 1.200% | 9/30/14 | 775 | 787 |
| Sanofi | 2.625% | 3/29/16 | 4,840 | 5,112 |
| Sara Lee Corp. | 2.750% | 9/15/15 | 1,575 | 1,608 |
| St. Jude Medical Inc. | 2.200% | 9/15/13 | 450 | 458 |
| St. Jude Medical Inc. | 3.750% | 7/15/14 | 3,225 | 3,427 |
| St. Jude Medical Inc. | 2.500% | 1/15/16 | 975 | 1,010 |
| Stryker Corp. | 3.000% | 1/15/15 | 1,375 | 1,456 |
| Stryker Corp. | 2.000% | 9/30/16 | 1,500 | 1,546 |
| Teva Pharmaceutical Finance Co. BV | 2.400% | 11/10/16 | 2,750 | 2,841 |
| Teva Pharmaceutical Finance II BV / | ||||
| Teva Pharmaceutical Finance III LLC | 3.000% | 6/15/15 | 400 | 423 |
| Teva Pharmaceutical Finance III LLC | 1.500% | 6/15/12 | 1,175 | 1,178 |
| Teva Pharmaceutical Finance IV LLC | 1.700% | 11/10/14 | 3,475 | 3,543 |
67
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Thermo Fisher Scientific Inc. | 2.050% | 2/21/14 | 350 | 360 |
| Thermo Fisher Scientific Inc. | 3.250% | 11/20/14 | 150 | 159 |
| Thermo Fisher Scientific Inc. | 3.200% | 5/1/15 | 1,375 | 1,470 |
| Thermo Fisher Scientific Inc. | 5.000% | 6/1/15 | 2,000 | 2,243 |
| Thermo Fisher Scientific Inc. | 3.200% | 3/1/16 | 2,110 | 2,265 |
| Thermo Fisher Scientific Inc. | 2.250% | 8/15/16 | 2,000 | 2,084 |
| Tyson Foods Inc. | 10.500% | 3/1/14 | 3,000 | 3,473 |
| Unilever Capital Corp. | 3.650% | 2/15/14 | 300 | 318 |
| Unilever Capital Corp. | 2.750% | 2/10/16 | 1,750 | 1,853 |
| Whirlpool Corp. | 5.500% | 3/1/13 | 3,475 | 3,625 |
| Wyeth LLC | 5.500% | 3/15/13 | 50 | 53 |
| Wyeth LLC | 5.500% | 2/1/14 | 5,055 | 5,538 |
| Wyeth LLC | 5.500% | 2/15/16 | 2,500 | 2,921 |
| Zimmer Holdings Inc. | 1.400% | 11/30/14 | 475 | 476 |
| Energy (5.2%) | ||||
| Anadarko Petroleum Corp. | 7.625% | 3/15/14 | 950 | 1,061 |
| Anadarko Petroleum Corp. | 5.750% | 6/15/14 | 560 | 610 |
| Anadarko Petroleum Corp. | 5.950% | 9/15/16 | 5,100 | 5,914 |
| Apache Corp. | 5.250% | 4/15/13 | 1,920 | 2,020 |
| Apache Corp. | 6.000% | 9/15/13 | 1,450 | 1,569 |
| Apache Corp. | 5.625% | 1/15/17 | 825 | 979 |
| BP Capital Markets plc | 5.250% | 11/7/13 | 7,290 | 7,827 |
| BP Capital Markets plc | 3.625% | 5/8/14 | 4,325 | 4,576 |
| BP Capital Markets plc | 1.700% | 12/5/14 | 1,400 | 1,434 |
| BP Capital Markets plc | 3.875% | 3/10/15 | 10,125 | 10,981 |
| BP Capital Markets plc | 3.125% | 10/1/15 | 2,050 | 2,193 |
| BP Capital Markets plc | 3.200% | 3/11/16 | 400 | 427 |
| BP Capital Markets plc | 2.248% | 11/1/16 | 2,150 | 2,222 |
| Canadian Natural Resources Ltd. | 5.150% | 2/1/13 | 1,500 | 1,560 |
| Canadian Natural Resources Ltd. | 1.450% | 11/14/14 | 1,300 | 1,324 |
| Canadian Natural Resources Ltd. | 4.900% | 12/1/14 | 400 | 442 |
| Cenovus Energy Inc. | 4.500% | 9/15/14 | 2,300 | 2,488 |
| Chevron Corp. | 3.950% | 3/3/14 | 3,325 | 3,552 |
| ConocoPhillips | 4.750% | 2/1/14 | 5,075 | 5,476 |
| ConocoPhillips | 4.600% | 1/15/15 | 6,700 | 7,437 |
| ConocoPhillips Canada Funding Co. I | 5.625% | 10/15/16 | 2,900 | 3,459 |
| Devon Energy Corp. | 5.625% | 1/15/14 | 1,800 | 1,961 |
| Devon Energy Corp. | 2.400% | 7/15/16 | 1,675 | 1,736 |
| Diamond Offshore Drilling Inc. | 5.150% | 9/1/14 | 750 | 817 |
| EnCana Holdings Finance Corp. | 5.800% | 5/1/14 | 2,450 | 2,656 |
| Ensco plc | 3.250% | 3/15/16 | 4,625 | 4,836 |
| EOG Resources Inc. | 2.950% | 6/1/15 | 4,125 | 4,371 |
| Husky Energy Inc. | 5.900% | 6/15/14 | 1,400 | 1,529 |
| Marathon Petroleum Corp. | 3.500% | 3/1/16 | 2,700 | 2,807 |
| Noble Holding International Ltd. | 3.450% | 8/1/15 | 800 | 840 |
| Noble Holding International Ltd. | 3.050% | 3/1/16 | 1,000 | 1,034 |
| Occidental Petroleum Corp. | 1.450% | 12/13/13 | 2,875 | 2,920 |
| Occidental Petroleum Corp. | 2.500% | 2/1/16 | 800 | 845 |
| Occidental Petroleum Corp. | 4.125% | 6/1/16 | 2,500 | 2,811 |
| Occidental Petroleum Corp. | 1.750% | 2/15/17 | 3,350 | 3,412 |
| PC Financial Partnership | 5.000% | 11/15/14 | 3,400 | 3,722 |
| Petrohawk Energy Corp. | 10.500% | 8/1/14 | 700 | 778 |
| Petrohawk Energy Corp. | 7.875% | 6/1/15 | 1,225 | 1,294 |
| Shell International Finance BV | 1.875% | 3/25/13 | 3,425 | 3,483 |
68
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Shell International Finance BV | 4.000% | 3/21/14 | 10,125 | 10,811 |
| Shell International Finance BV | 3.100% | 6/28/15 | 1,775 | 1,910 |
| Shell International Finance BV | 3.250% | 9/22/15 | 775 | 840 |
| Total Capital Canada Ltd. | 1.625% | 1/28/14 | 1,000 | 1,021 |
| Total Capital International SA | 1.500% | 2/17/17 | 2,200 | 2,202 |
| Total Capital SA | 3.000% | 6/24/15 | 8,525 | 9,075 |
| Total Capital SA | 2.300% | 3/15/16 | 200 | 208 |
| Transocean Inc. | 5.250% | 3/15/13 | 1,450 | 1,501 |
| Transocean Inc. | 4.950% | 11/15/15 | 3,795 | 4,090 |
| Transocean Inc. | 5.050% | 12/15/16 | 2,000 | 2,185 |
| Valero Energy Corp. | 4.750% | 6/15/13 | 775 | 807 |
| Valero Energy Corp. | 4.500% | 2/1/15 | 2,000 | 2,145 |
| Weatherford International Ltd. | 5.500% | 2/15/16 | 1,040 | 1,158 |
| Other Industrial (0.0%) | ||||
| Connecticut Health & Educational Facilities | ||||
| Authority Revenue (Yale University) | 2.900% | 10/15/14 | 660 | 700 |
| Technology (6.0%) | ||||
| Adobe Systems Inc. | 3.250% | 2/1/15 | 2,250 | 2,377 |
| Agilent Technologies Inc. | 5.500% | 9/14/15 | 3,300 | 3,724 |
| Amphenol Corp. | 4.750% | 11/15/14 | 400 | 433 |
| Analog Devices Inc. | 3.000% | 4/15/16 | 1,000 | 1,061 |
| Applied Materials Inc. | 2.650% | 6/15/16 | 700 | 729 |
| Arrow Electronics Inc. | 3.375% | 11/1/15 | 500 | 514 |
| Avnet Inc. | 6.625% | 9/15/16 | 1,600 | 1,829 |
| Broadcom Corp. | 1.500% | 11/1/13 | 500 | 506 |
| Broadcom Corp. | 2.375% | 11/1/15 | 2,400 | 2,501 |
| CA Inc. | 6.125% | 12/1/14 | 1,500 | 1,650 |
| Cisco Systems Inc. | 1.625% | 3/14/14 | 6,775 | 6,923 |
| Cisco Systems Inc. | 2.900% | 11/17/14 | 5,500 | 5,837 |
| Cisco Systems Inc. | 5.500% | 2/22/16 | 3,575 | 4,186 |
| Computer Sciences Corp. | 5.500% | 3/15/13 | 1,700 | 1,763 |
| Dell Inc. | 4.700% | 4/15/13 | 500 | 522 |
| Dell Inc. | 1.400% | 9/10/13 | 475 | 480 |
| Dell Inc. | 2.300% | 9/10/15 | 4,375 | 4,539 |
| Dell Inc. | 3.100% | 4/1/16 | 425 | 455 |
| Dun & Bradstreet Corp. | 6.000% | 4/1/13 | 50 | 52 |
| Dun & Bradstreet Corp. | 2.875% | 11/15/15 | 625 | 641 |
| Fiserv Inc. | 3.125% | 6/15/16 | 3,275 | 3,379 |
| Google Inc. | 1.250% | 5/19/14 | 900 | 916 |
| Google Inc. | 2.125% | 5/19/16 | 2,700 | 2,825 |
| Harris Corp. | 5.000% | 10/1/15 | 200 | 220 |
| Hewlett-Packard Co. | 4.500% | 3/1/13 | 6,200 | 6,423 |
| Hewlett-Packard Co. | 1.250% | 9/13/13 | 5,900 | 5,917 |
| Hewlett-Packard Co. | 6.125% | 3/1/14 | 2,768 | 3,024 |
| Hewlett-Packard Co. | 1.550% | 5/30/14 | 1,725 | 1,742 |
| Hewlett-Packard Co. | 2.625% | 12/9/14 | 3,575 | 3,701 |
| Hewlett-Packard Co. | 2.350% | 3/15/15 | 3,200 | 3,272 |
| Hewlett-Packard Co. | 2.125% | 9/13/15 | 2,650 | 2,687 |
| Hewlett-Packard Co. | 2.200% | 12/1/15 | 750 | 760 |
| Hewlett-Packard Co. | 2.650% | 6/1/16 | 1,220 | 1,254 |
| Hewlett-Packard Co. | 3.000% | 9/15/16 | 1,650 | 1,724 |
| Hewlett-Packard Co. | 3.300% | 12/9/16 | 4,325 | 4,568 |
| HP Enterprise Services LLC | 6.000% | 8/1/13 | 425 | 453 |
69
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| IBM International Group Capital LLC | 5.050% | 10/22/12 | 715 | 736 |
| Intel Corp. | 1.950% | 10/1/16 | 3,475 | 3,609 |
| International Business Machines Corp. | 2.100% | 5/6/13 | 5,725 | 5,842 |
| International Business Machines Corp. | 1.000% | 8/5/13 | 3,700 | 3,725 |
| International Business Machines Corp. | 6.500% | 10/15/13 | 4,275 | 4,685 |
| International Business Machines Corp. | 1.250% | 5/12/14 | 3,075 | 3,118 |
| International Business Machines Corp. | 0.550% | 2/6/15 | 3,500 | 3,482 |
| International Business Machines Corp. | 2.000% | 1/5/16 | 3,500 | 3,630 |
| International Business Machines Corp. | 1.950% | 7/22/16 | 4,650 | 4,800 |
| International Business Machines Corp. | 1.250% | 2/6/17 | 1,500 | 1,496 |
| Juniper Networks Inc. | 3.100% | 3/15/16 | 300 | 312 |
| Lexmark International Inc. | 5.900% | 6/1/13 | 150 | 157 |
| Maxim Integrated Products Inc. | 3.450% | 6/14/13 | 150 | 155 |
| Microsoft Corp. | 0.875% | 9/27/13 | 2,050 | 2,066 |
| Microsoft Corp. | 2.950% | 6/1/14 | 5,350 | 5,653 |
| Microsoft Corp. | 1.625% | 9/25/15 | 450 | 464 |
| Microsoft Corp. | 2.500% | 2/8/16 | 3,527 | 3,747 |
| Oracle Corp. | 4.950% | 4/15/13 | 2,375 | 2,496 |
| Oracle Corp. | 3.750% | 7/8/14 | 5,930 | 6,370 |
| Oracle Corp. | 5.250% | 1/15/16 | 4,050 | 4,695 |
| Pitney Bowes Inc. | 4.875% | 8/15/14 | 1,800 | 1,918 |
| Pitney Bowes Inc. | 4.750% | 1/15/16 | 2,750 | 2,913 |
| Symantec Corp. | 2.750% | 9/15/15 | 1,000 | 1,034 |
| Texas Instruments Inc. | 1.375% | 5/15/14 | 4,400 | 4,486 |
| Texas Instruments Inc. | 2.375% | 5/16/16 | 2,925 | 3,076 |
| Tyco Electronics Group SA | 1.600% | 2/3/15 | 1,200 | 1,203 |
| Xerox Corp. | 5.500% | 5/15/12 | 1,150 | 1,160 |
| Xerox Corp. | 5.650% | 5/15/13 | 125 | 131 |
| Xerox Corp. | 4.250% | 2/15/15 | 9,425 | 10,051 |
| Xerox Corp. | 6.400% | 3/15/16 | 200 | 227 |
| Transportation (1.0%) | ||||
| Burlington Northern Santa Fe LLC | 7.000% | 2/1/14 | 2,100 | 2,341 |
| Canadian National Railway Co. | 4.400% | 3/15/13 | 1,000 | 1,040 |
| Canadian National Railway Co. | 5.800% | 6/1/16 | 700 | 823 |
| Canadian National Railway Co. | 1.450% | 12/15/16 | 425 | 426 |
| 1 Continental Airlines 2009-1 Pass Through Trust | 9.000% | 7/8/16 | 885 | 1,011 |
| CSX Corp. | 6.250% | 4/1/15 | 4,966 | 5,738 |
| JB Hunt Transport Services Inc. | 3.375% | 9/15/15 | 300 | 309 |
| Norfolk Southern Corp. | 5.750% | 1/15/16 | 3,200 | 3,726 |
| Ryder System Inc. | 6.000% | 3/1/13 | 150 | 157 |
| Ryder System Inc. | 5.850% | 3/1/14 | 500 | 540 |
| Ryder System Inc. | 3.150% | 3/2/15 | 525 | 547 |
| Ryder System Inc. | 7.200% | 9/1/15 | 325 | 379 |
| Ryder System Inc. | 3.600% | 3/1/16 | 2,600 | 2,720 |
| Ryder System Inc. | 2.500% | 3/1/17 | 1,000 | 1,004 |
| Southwest Airlines Co. | 5.750% | 12/15/16 | 1,390 | 1,536 |
| 1 UAL 2009-2A Pass Through Trust | 9.750% | 1/15/17 | 2,212 | 2,539 |
| United Parcel Service Inc. | 3.875% | 4/1/14 | 3,950 | 4,223 |
| 1,402,074 | ||||
| Utilities (6.8%) | ||||
| Electric (4.7%) | ||||
| Ameren Corp. | 8.875% | 5/15/14 | 525 | 594 |
| Appalachian Power Co. | 3.400% | 5/24/15 | 600 | 632 |
| Arizona Public Service Co. | 5.800% | 6/30/14 | 1,800 | 1,980 |
70
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 1,700 | 1,990 |
| Carolina Power & Light Co. | 5.125% | 9/15/13 | 75 | 80 |
| Carolina Power & Light Co. | 5.150% | 4/1/15 | 237 | 266 |
| CenterPoint Energy Houston Electric LLC | 7.000% | 3/1/14 | 3,450 | 3,866 |
| Cleveland Electric Illuminating Co. | 5.650% | 12/15/13 | 75 | 80 |
| Commonwealth Edison Co. | 1.625% | 1/15/14 | 3,325 | 3,382 |
| Commonwealth Edison Co. | 4.700% | 4/15/15 | 600 | 663 |
| Consolidated Edison Co. of New York Inc. | 4.875% | 2/1/13 | 2,500 | 2,597 |
| Consolidated Edison Co. of New York Inc. | 5.375% | 12/15/15 | 1,972 | 2,271 |
| Consolidated Natural Gas Co. | 5.000% | 12/1/14 | 225 | 248 |
| Constellation Energy Group Inc. | 4.550% | 6/15/15 | 525 | 567 |
| Consumers Energy Co. | 5.375% | 4/15/13 | 50 | 53 |
| Consumers Energy Co. | 5.500% | 8/15/16 | 1,300 | 1,494 |
| Dayton Power & Light Co. | 5.125% | 10/1/13 | 960 | 1,022 |
| Dominion Resources Inc. | 5.000% | 3/15/13 | 200 | 209 |
| Dominion Resources Inc. | 1.800% | 3/15/14 | 4,650 | 4,752 |
| Dominion Resources Inc. | 5.150% | 7/15/15 | 1,725 | 1,948 |
| Dominion Resources Inc. | 2.250% | 9/1/15 | 1,625 | 1,690 |
| Dominion Resources Inc. | 1.950% | 8/15/16 | 750 | 769 |
| 1 Dominion Resources Inc. | 7.500% | 6/30/66 | 1,100 | 1,166 |
| Duke Energy Carolinas LLC | 1.750% | 12/15/16 | 4,525 | 4,602 |
| Duke Energy Corp. | 6.300% | 2/1/14 | 3,900 | 4,298 |
| Duke Energy Corp. | 3.950% | 9/15/14 | 975 | 1,045 |
| Duke Energy Corp. | 3.350% | 4/1/15 | 3,375 | 3,597 |
| Entergy Corp. | 4.700% | 1/15/17 | 1,800 | 1,892 |
| Entergy Louisiana LLC | 1.875% | 12/15/14 | 2,000 | 2,039 |
| Exelon Corp. | 4.900% | 6/15/15 | 4,450 | 4,848 |
| FirstEnergy Solutions Corp. | 4.800% | 2/15/15 | 5,050 | 5,472 |
| Florida Power Corp. | 5.100% | 12/1/15 | 2,150 | 2,444 |
| Great Plains Energy Inc. | 2.750% | 8/15/13 | 325 | 329 |
| 2 Iberdrola Finance Ireland Ltd. | 3.800% | 9/11/14 | 1,575 | 1,603 |
| 1 Integrys Energy Group Inc. | 6.110% | 12/1/66 | 500 | 496 |
| Kentucky Utilities Co. | 1.625% | 11/1/15 | 350 | 356 |
| LG&E and KU Energy LLC | 2.125% | 11/15/15 | 425 | 424 |
| Louisville Gas & Electric Co. | 1.625% | 11/15/15 | 1,200 | 1,217 |
| MidAmerican Energy Holdings Co. | 5.875% | 10/1/12 | 1,850 | 1,903 |
| National Rural Utilities Cooperative Finance Corp. | 5.500% | 7/1/13 | 6,325 | 6,732 |
| National Rural Utilities Cooperative Finance Corp. | 3.050% | 3/1/16 | 2,200 | 2,336 |
| NextEra Energy Capital Holdings Inc. | 5.350% | 6/15/13 | 1,000 | 1,052 |
| NextEra Energy Capital Holdings Inc. | 2.550% | 11/15/13 | 375 | 381 |
| NextEra Energy Capital Holdings Inc. | 7.875% | 12/15/15 | 3,600 | 4,343 |
| 2 Niagara Mohawk Power Corp. | 3.553% | 10/1/14 | 50 | 53 |
| Northeast Utilities | 5.650% | 6/1/13 | 25 | 26 |
| Northern States Power Co. | 1.950% | 8/15/15 | 125 | 129 |
| Ohio Power Co. | 5.750% | 9/1/13 | 107 | 115 |
| Ohio Power Co. | 6.000% | 6/1/16 | 2,450 | 2,840 |
| Oncor Electric Delivery Co. LLC | 5.950% | 9/1/13 | 525 | 562 |
| Oncor Electric Delivery Co. LLC | 6.375% | 1/15/15 | 2,100 | 2,389 |
| Pacific Gas & Electric Co. | 6.250% | 12/1/13 | 310 | 340 |
| Pacific Gas & Electric Co. | 4.800% | 3/1/14 | 4,725 | 5,100 |
| Peco Energy Co. | 5.000% | 10/1/14 | 25 | 27 |
| Pepco Holdings Inc. | 2.700% | 10/1/15 | 500 | 506 |
| PG&E Corp. | 5.750% | 4/1/14 | 50 | 55 |
| PPL Energy Supply LLC | 6.300% | 7/15/13 | 1,650 | 1,749 |
| PPL Energy Supply LLC | 5.400% | 8/15/14 | 75 | 81 |
71
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| PPL Energy Supply LLC | 6.200% | 5/15/16 | 1,100 | 1,252 |
| Progress Energy Inc. | 6.050% | 3/15/14 | 4,425 | 4,886 |
| PSEG Power LLC | 2.500% | 4/15/13 | 2,250 | 2,292 |
| PSEG Power LLC | 5.000% | 4/1/14 | 100 | 107 |
| PSEG Power LLC | 5.500% | 12/1/15 | 975 | 1,100 |
| PSEG Power LLC | 2.750% | 9/15/16 | 300 | 304 |
| Public Service Co. of Colorado | 7.875% | 10/1/12 | 1,315 | 1,370 |
| Public Service Electric & Gas Co. | 2.700% | 5/1/15 | 3,625 | 3,826 |
| San Diego Gas & Electric Co. | 5.300% | 11/15/15 | 300 | 345 |
| Sierra Pacific Power Co. | 6.000% | 5/15/16 | 1,750 | 2,065 |
| Southern California Edison Co. | 5.750% | 3/15/14 | 2,675 | 2,945 |
| Southern California Edison Co. | 4.150% | 9/15/14 | 1,089 | 1,176 |
| Southern California Edison Co. | 4.650% | 4/1/15 | 600 | 662 |
| Southern Co. | 4.150% | 5/15/14 | 1,141 | 1,220 |
| Southern Co. | 2.375% | 9/15/15 | 4,450 | 4,602 |
| Southern Co. | 1.950% | 9/1/16 | 1,100 | 1,118 |
| Southern Power Co. | 4.875% | 7/15/15 | 1,875 | 2,065 |
| Southwestern Electric Power Co. | 5.550% | 1/15/17 | 675 | 767 |
| TECO Finance Inc. | 4.000% | 3/15/16 | 725 | 773 |
| TransAlta Corp. | 4.750% | 1/15/15 | 1,600 | 1,716 |
| Wisconsin Electric Power Co. | 6.000% | 4/1/14 | 1,950 | 2,156 |
| Natural Gas (2.0%) | ||||
| AGL Capital Corp. | 6.375% | 7/15/16 | 675 | 791 |
| Atmos Energy Corp. | 4.950% | 10/15/14 | 105 | 115 |
| Boardwalk Pipelines LP | 5.500% | 2/1/17 | 1,700 | 1,881 |
| CenterPoint Energy Resources Corp. | 6.150% | 5/1/16 | 1,350 | 1,569 |
| DCP Midstream Operating LP | 3.250% | 10/1/15 | 200 | 201 |
| Enbridge Energy Partners LP | 5.875% | 12/15/16 | 1,000 | 1,152 |
| Enbridge Inc. | 5.800% | 6/15/14 | 325 | 356 |
| Enbridge Inc. | 4.900% | 3/1/15 | 2,600 | 2,818 |
| Energy Transfer Partners LP | 6.000% | 7/1/13 | 340 | 359 |
| Energy Transfer Partners LP | 5.950% | 2/1/15 | 3,900 | 4,278 |
| Energy Transfer Partners LP | 6.125% | 2/15/17 | 1,000 | 1,113 |
| Enterprise Products Operating LLC | 9.750% | 1/31/14 | 425 | 490 |
| Enterprise Products Operating LLC | 5.600% | 10/15/14 | 3,800 | 4,184 |
| Enterprise Products Operating LLC | 5.000% | 3/1/15 | 206 | 226 |
| Enterprise Products Operating LLC | 3.700% | 6/1/15 | 1,300 | 1,384 |
| Enterprise Products Operating LLC | 3.200% | 2/1/16 | 2,250 | 2,372 |
| Kinder Morgan Energy Partners LP | 5.000% | 12/15/13 | 1,550 | 1,651 |
| Kinder Morgan Energy Partners LP | 3.500% | 3/1/16 | 3,900 | 4,135 |
| Magellan Midstream Partners LP | 5.650% | 10/15/16 | 650 | 746 |
| National Grid plc | 6.300% | 8/1/16 | 1,800 | 2,100 |
| Nisource Finance Corp. | 6.150% | 3/1/13 | 762 | 802 |
| Nisource Finance Corp. | 5.400% | 7/15/14 | 2,325 | 2,541 |
| ONEOK Inc. | 5.200% | 6/15/15 | 225 | 248 |
| ONEOK Partners LP | 3.250% | 2/1/16 | 1,725 | 1,812 |
| ONEOK Partners LP | 6.150% | 10/1/16 | 1,675 | 1,945 |
| Plains All American Pipeline LP / | ||||
| PAA Finance Corp. | 6.125% | 1/15/17 | 2,500 | 2,889 |
| Questar Corp. | 2.750% | 2/1/16 | 275 | 282 |
| Sempra Energy | 2.000% | 3/15/14 | 7,125 | 7,275 |
| Spectra Energy Capital LLC | 5.668% | 8/15/14 | 248 | 269 |
| Texas Gas Transmission LLC | 4.600% | 6/1/15 | 175 | 187 |
| TransCanada PipeLines Ltd. | 4.000% | 6/15/13 | 425 | 441 |
72
Short-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| TransCanada PipeLines Ltd. | 0.875% | 3/2/15 | 1,300 | 1,296 |
| TransCanada PipeLines Ltd. | 3.400% | 6/1/15 | 2,025 | 2,170 |
| Williams Partners LP | 3.800% | 2/15/15 | 2,900 | 3,076 |
| Williams Partners LP / Williams Partners | ||||
| Finance Corp. | 7.250% | 2/1/17 | 450 | 547 |
| Other Utility (0.1%) | ||||
| Veolia Environnement SA | 5.250% | 6/3/13 | 900 | 939 |
| 193,087 | ||||
| Total Corporate Bonds (Cost $2,759,070) | 2,810,434 | |||
| Shares | ||||
| Temporary Cash Investment (0.5%) | ||||
| Money Market Fund (0.5%) | ||||
| 3 Vanguard Market Liquidity Fund (Cost $13,286) | 0.111% | 13,285,871 | 13,286 | |
| Total Investments (99.6%) (Cost $2,787,135) | 2,838,502 | |||
| Other Assets and Liabilities (0.4%) | ||||
| Other Assets | 42,215 | |||
| Liabilities | (31,114) | |||
| 11,101 | ||||
| Net Assets (100%) | 2,849,603 | |||
73
Short-Term Corporate Bond Index Fund
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 2,798,700 |
| Undistributed Net Investment Income | 106 |
| Accumulated Net Realized Losses | (570) |
| Unrealized Appreciation (Depreciation) | 51,367 |
| Net Assets | 2,849,603 |
| Signal Shares—Net Assets | |
| Applicable to 419,848 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 9,013 |
| Net Asset Value Per Share—Signal Shares | $21.47 |
| Institutional Shares—Net Assets | |
| Applicable to 6,106,091 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 160,484 |
| Net Asset Value Per Share—Institutional Shares | $26.28 |
| ETF Shares—Net Assets | |
| Applicable to 34,000,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 2,680,106 |
| Net Asset Value Per Share—ETF Shares | $78.83 |
See Note A in Notes to Financial Statements.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012, the aggregate value of these securities was $11,680,000, representing 0.4% of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
74
Short-Term Corporate Bond Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 29,215 |
| Total Income | 29,215 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 50 |
| Management and Administrative—Signal Shares | 3 |
| Management and Administrative—Institutional Shares | 38 |
| Management and Administrative—ETF Shares | 1,149 |
| Marketing and Distribution—Signal Shares | — |
| Marketing and Distribution—Institutional Shares | 18 |
| Marketing and Distribution—ETF Shares | 270 |
| Custodian Fees | 6 |
| Shareholders’ Reports—Signal Shares | — |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 43 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,578 |
| Net Investment Income | 27,637 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | (244) |
| Futures Contracts | (172) |
| Realized Net Gain (Loss) | (416) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | 29,877 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 57,098 |
| 1 Interest income from an affiliated company of the fund was $7,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
75
Short-Term Corporate Bond Index Fund
| Statement of Changes in Net Assets | ||
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 27,637 | 33,625 |
| Realized Net Gain (Loss) | (416) | 3,474 |
| Change in Unrealized Appreciation (Depreciation) | 29,877 | 4,900 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 57,098 | 41,999 |
| Distributions | ||
| Net Investment Income | ||
| Signal Shares | (64) | (25) |
| Institutional Shares | (1,626) | (3,490) |
| ETF Shares | (25,635) | (30,249) |
| Realized Capital Gain1 | ||
| Signal Shares | (7) | — |
| Institutional Shares | (179) | (127) |
| ETF Shares | (2,576) | (800) |
| Total Distributions | (30,087) | (34,691) |
| Capital Share Transactions | ||
| Signal Shares | 5,444 | 3,477 |
| Institutional Shares | 33,888 | (9,699) |
| ETF Shares | 749,965 | 1,191,319 |
| Net Increase (Decrease) from Capital Share Transactions | 789,297 | 1,185,097 |
| Total Increase (Decrease) | 816,308 | 1,192,405 |
| Net Assets | ||
| Beginning of Period | 2,033,295 | 840,890 |
| End of Period2 | 2,849,603 | 2,033,295 |
1 Includes fiscal 2012 and 2011 short-term gain distributions totaling $1,425,000 and $927,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $106,000 and ($206,000).
See accompanying Notes, which are an integral part of the Financial Statements.
76
Short-Term Corporate Bond Index Fund
Financial Highlights
| Signal Shares | ||
| Six Months | Nov. 18, | |
| Ended | 20101 to | |
| February 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $21.26 | $21.21 |
| Investment Operations | ||
| Net Investment Income | .247 | .387 |
| Net Realized and Unrealized Gain (Loss) on Investments | .233 | .091 |
| Total from Investment Operations | .480 | .478 |
| Distributions | ||
| Dividends from Net Investment Income | (.245) | (.410) |
| Distributions from Realized Capital Gains | (.025) | (.018) |
| Total Distributions | (.270) | (.428) |
| Net Asset Value, End of Period | $21.47 | $21.26 |
| Total Return2 | 2.28% | 2.28% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $9 | $3 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14%3 |
| Ratio of Net Investment Income to Average Net Assets | 2.40% | 2.39%3 |
| Portfolio Turnover Rate4 | 72% | 63% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
77
Short-Term Corporate Bond Index Fund
Financial Highlights
| Institutional Shares | |||
| Six Months | Year | Nov 19, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $26.03 | $25.90 | $25.02 |
| Investment Operations | |||
| Net Investment Income | .308 | .619 | .453 |
| Net Realized and Unrealized Gain (Loss) on Investments | .277 | .151 | .882 |
| Total from Investment Operations | .585 | .770 | 1.335 |
| Distributions | |||
| Dividends from Net Investment Income | (.304) | (.618) | (.455) |
| Distributions from Realized Capital Gains | (.031) | (.022) | — |
| Total Distributions | (.335) | (.640) | (.455) |
| Net Asset Value, End of Period | $26.28 | $26.03 | $25.90 |
| Total Return2 | 2.27% | 3.01% | 5.39% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $160 | $125 | $134 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09%3 |
| Ratio of Net Investment Income to Average Net Assets | 2.45% | 2.44% | 2.62%3 |
| Portfolio Turnover Rate4 | 72% | 63% | 68% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
78
Short-Term Corporate Bond Index Fund
Financial Highlights
| ETF Shares | |||
| Six Months | Year | Nov. 19, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $78.06 | $77.68 | $75.05 |
| Investment Operations | |||
| Net Investment Income | .907 | 1.815 | 1.334 |
| Net Realized and Unrealized Gain (Loss) on Investments | .851 | .443 | 2.636 |
| Total from Investment Operations | 1.758 | 2.258 | 3.970 |
| Distributions | |||
| Dividends from Net Investment Income | (.896) | (1.813) | (1.340) |
| Distributions from Realized Capital Gains | (.092) | (.065) | — |
| Total Distributions | (.988) | (1.878) | (1.340) |
| Net Asset Value, End of Period | $78.83 | $78.06 | $77.68 |
| Total Return | 2.28% | 2.94% | 5.34% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $2,680 | $1,905 | $707 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15%2 |
| Ratio of Net Investment Income to Average Net Assets | 2.40% | 2.39% | 2.56%2 |
| Portfolio Turnover Rate3 | 72% | 63% | 68% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
79
Short-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Short-Term Corporate Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers three classes of shares: Signal Shares, Institutional Shares, and ETF Shares. Signal Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued based upon their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). There were no open futures contracts at February 29, 2012.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2010–2011), and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on purchases of capital shares are credited to paid-in capital.
80
Short-Term Corporate Bond Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $394,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.16% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 14,782 | — |
| Corporate Bonds | — | 2,810,434 | — |
| Temporary Cash Investments | 13,286 | — | — |
| Total | 13,286 | 2,825,216 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
81
Short-Term Corporate Bond Index Fund
At February 29, 2012, the cost of investment securities for tax purposes was $2,787,262,000. Net unrealized appreciation of investment securities for tax purposes was $51,240,000, consisting of unrealized gains of $53,096,000 on securities that had risen in value since their purchase and $1,856,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $1,195,235,000 of investment securities and sold $391,390,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $417,710,000 and $431,983,000, respectively.
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Signal Shares | ||||
| Issued1 | 6,003 | 283 | 4,404 | 207 |
| Issued in Lieu of Cash Distributions | 66 | 3 | 24 | 1 |
| Redeemed | (625) | (30) | (951) | (45) |
| Net Increase (Decrease)—Signal Shares | 5,444 | 256 | 3,477 | 163 |
| Institutional Shares | ||||
| Issued1 | 56,914 | 2,185 | 20,397 | 785 |
| Issued in Lieu of Cash Distributions | 1,805 | 70 | 3,552 | 137 |
| Redeemed | (24,831) | (958) | (33,648) | (1,287) |
| Net Increase (Decrease)—Institutional Shares | 33,888 | 1,297 | (9,699) | (365) |
| ETF Shares | ||||
| Issued1 | 749,965 | 9,600 | 1,214,469 | 15,600 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (23,150) | (300) |
| Net Increase (Decrease)—ETF Shares | 749,965 | 9,600 | 1,191,319 | 15,300 |
| 1 Includes purchase fees for fiscal 2012 and 2011 of $124,000 and $177,000, respectively (fund totals). | ||||
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
82
Intermediate-Term Corporate Bond Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | |||
| Signal | Institutional | ETF | |
| Shares | Shares | Shares | |
| Ticker Symbol | VICSX | VICBX | VCIT |
| Expense Ratio1 | 0.14% | 0.09% | 0.14% |
| 30-Day SEC Yield | 3.27% | 3.32% | 3.27% |
| Financial Attributes | |||
| Barclays | |||
| 5–10 Year | Barclays | ||
| Corporate | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 1,032 | 1,405 | 7,819 |
| Yield to Maturity | |||
| (before expenses) | 3.4% | 3.5% | 2.1% |
| Average Coupon | 5.5% | 5.6% | 3.9% |
| Average Duration | 6.2 years | 6.2 years | 5.1 years |
| Average Effective | |||
| Maturity | 7.4 years | 7.4 years | 7.2 years |
| Short-Term | |||
| Reserves | 2.2% | — | — |
| Sector Diversification (% of portfolio) | |
| Finance | 33.9% |
| Industrial | 54.3 |
| Utilities | 10.6 |
| Other | 1.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| Distribution by Maturity (% of portfolio) | |
| Under 1 Year | 1.2% |
| 1 - 3 Years | 0.6 |
| 3 - 5 Years | 0.4 |
| 5 - 10 Years | 97.7 |
| 10 - 20 Years | 0.1 |
| Distribution by Credit Quality (% of portfolio) | |
| Aaa | 1.7 |
| Aa | 10.8 |
| A | 44.4 |
| Baa | 43.1 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares.
83
Intermediate-Term Corporate Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2012 | ||
| Barclays | ||
| 5–10 Year | ||
| Corporate | ||
| ETF Shares Net Asset Value | Index | |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 11.30% | 11.41% |
| 2011 | 5.65 | 6.19 |
| 2012 | 5.09 | 4.82 |
| Note: For 2012, performance data reflect the six months ended February 29, 2012. | ||
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Since Inception | |||||
| Inception Date | One Year | Income | Capital | Total | |
| Signal Shares | 3/2/2010 | 7.94% | 4.37% | 4.37% | 8.74% |
| Fee-Adjusted | |||||
| Returns | 7.40 | 8.44 | |||
| Institutional Shares | 11/19/2009 | 7.98 | 4.41 | 4.33 | 8.74 |
| Fee-Adjusted | |||||
| Returns | 7.44 | 8.48 | |||
| ETF Shares | 11/19/2009 | ||||
| Market Price | 8.97 | 9.18 | |||
| Net Asset Value | 7.94 | 8.68 |
Fee-adjusted returns reflect the 0.50% fee on purchases of fund shares. The fee does not apply to the ETF Shares.
See Financial Highlights for dividend and capital gains information.
84
Intermediate-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (0.4%) | ||||
| U.S. Government Securities (0.4%) | ||||
| United States Treasury Note/Bond | 1.375% | 2/15/13 | 945 | 955 |
| United States Treasury Note/Bond | 3.875% | 2/15/13 | 4,520 | 4,679 |
| United States Treasury Note/Bond | 2.750% | 2/28/13 | 430 | 441 |
| United States Treasury Note/Bond | 1.000% | 8/31/16 | 280 | 283 |
| United States Treasury Note/Bond | 0.875% | 2/28/17 | 1,400 | 1,400 |
| United States Treasury Note/Bond | 2.000% | 2/15/22 | 640 | 641 |
| Total U.S. Government and Agency Obligations (Cost $8,399) | 8,399 | |||
| Corporate Bonds (97.5%) | �� | |||
| Finance (33.4%) | ||||
| Banking (21.3%) | ||||
| American Express Bank FSB | 6.000% | 9/13/17 | 2,400 | 2,808 |
| American Express Centurion Bank | 6.000% | 9/13/17 | 575 | 673 |
| American Express Co. | 6.150% | 8/28/17 | 2,750 | 3,245 |
| American Express Co. | 7.000% | 3/19/18 | 3,950 | 4,865 |
| American Express Co. | 8.125% | 5/20/19 | 2,875 | 3,773 |
| BanColombia SA | 5.950% | 6/3/21 | 900 | 932 |
| Bank of America Corp. | 5.420% | 3/15/17 | 2,400 | 2,401 |
| Bank of America Corp. | 6.000% | 9/1/17 | 5,250 | 5,574 |
| Bank of America Corp. | 5.750% | 12/1/17 | 3,275 | 3,457 |
| Bank of America Corp. | 5.650% | 5/1/18 | 5,975 | 6,226 |
| Bank of America Corp. | 5.490% | 3/15/19 | 700 | 686 |
| Bank of America Corp. | 7.625% | 6/1/19 | 7,725 | 8,807 |
| Bank of America Corp. | 5.625% | 7/1/20 | 4,225 | 4,382 |
| Bank of America Corp. | 5.875% | 1/5/21 | 3,675 | 3,883 |
| Bank of America Corp. | 5.000% | 5/13/21 | 3,325 | 3,310 |
| Bank of America Corp. | 5.700% | 1/24/22 | 1,775 | 1,879 |
| Bank of America NA | 5.300% | 3/15/17 | 3,100 | 3,142 |
| Bank of America NA | 6.100% | 6/15/17 | 250 | 260 |
| Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 875 | 970 |
| Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 1,900 | 2,045 |
| Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 2,800 | 2,906 |
| Bank of Nova Scotia | 4.375% | 1/13/21 | 1,975 | 2,162 |
| Barclays Bank plc | 6.750% | 5/22/19 | 3,050 | 3,493 |
| Barclays Bank plc | 5.125% | 1/8/20 | 5,050 | 5,348 |
| Barclays Bank plc | 5.140% | 10/14/20 | 1,825 | 1,752 |
| BB&T Corp. | 6.850% | 4/30/19 | 1,600 | 1,983 |
85
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| BB&T Corp. | 5.250% | 11/1/19 | 750 | 827 |
| Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 3,900 | 4,532 |
| Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 4,850 | 5,893 |
| BNP Paribas SA | 5.000% | 1/15/21 | 5,150 | 5,268 |
| Capital One Bank USA NA | 8.800% | 7/15/19 | 1,175 | 1,438 |
| Capital One Financial Corp. | 6.750% | 9/15/17 | 4,525 | 5,243 |
| Capital One Financial Corp. | 4.750% | 7/15/21 | 1,100 | 1,152 |
| Citigroup Inc. | 6.000% | 8/15/17 | 2,450 | 2,710 |
| Citigroup Inc. | 6.125% | 11/21/17 | 8,537 | 9,541 |
| Citigroup Inc. | 6.125% | 5/15/18 | 4,700 | 5,256 |
| Citigroup Inc. | 8.500% | 5/22/19 | 4,650 | 5,775 |
| Citigroup Inc. | 5.375% | 8/9/20 | 4,475 | 4,868 |
| Citigroup Inc. | 4.500% | 1/14/22 | 1,925 | 1,977 |
| Comerica Bank | 5.200% | 8/22/17 | 650 | 720 |
| Compass Bank | 6.400% | 10/1/17 | 800 | 831 |
| Cooperatieve Centrale | ||||
| Raiffeisen-Boerenleenbank BA | 4.500% | 1/11/21 | 2,675 | 2,818 |
| Cooperatieve Centrale | ||||
| Raiffeisen-Boerenleenbank BA | 3.875% | 2/8/22 | 3,875 | 3,851 |
| Credit Suisse | 6.000% | 2/15/18 | 3,100 | 3,265 |
| Credit Suisse | 5.300% | 8/13/19 | 3,175 | 3,371 |
| Credit Suisse | 5.400% | 1/14/20 | 5,375 | 5,395 |
| Credit Suisse | 4.375% | 8/5/20 | 3,135 | 3,187 |
| 1 Credit Suisse AG | 5.860% | 5/29/49 | 1,876 | 1,721 |
| Deutsche Bank AG | 6.000% | 9/1/17 | 5,925 | 6,779 |
| Discover Bank | 8.700% | 11/18/19 | 1,325 | 1,613 |
| Discover Bank | 7.000% | 4/15/20 | 450 | 504 |
| Fifth Third Bancorp | 4.500% | 6/1/18 | 1,000 | 1,041 |
| 1 Fifth Third Capital Trust IV | 6.500% | 4/15/67 | 1,425 | 1,420 |
| First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 100 | 108 |
| First Niagara Financial Group Inc. | 7.250% | 12/15/21 | 425 | 444 |
| Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 6,150 | 6,774 |
| Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 5,975 | 6,429 |
| Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 6,100 | 6,605 |
| Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 5,485 | 6,277 |
| Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 4,925 | 5,020 |
| Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 1,850 | 1,964 |
| Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 6,400 | 6,381 |
| Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 4,925 | 5,139 |
| HSBC Bank USA NA | 6.000% | 8/9/17 | 625 | 686 |
| HSBC Bank USA NA | 4.875% | 8/24/20 | 3,405 | 3,427 |
| HSBC Holdings plc | 5.100% | 4/5/21 | 3,550 | 3,907 |
| HSBC Holdings plc | 4.875% | 1/14/22 | 1,300 | 1,402 |
| HSBC USA Inc. | 5.000% | 9/27/20 | 1,950 | 1,987 |
| Huntington Bancshares Inc. | 7.000% | 12/15/20 | 675 | 771 |
| JPMorgan Chase & Co. | 3.700% | 1/20/15 | 50 | 53 |
| JPMorgan Chase & Co. | 6.125% | 6/27/17 | 2,025 | 2,284 |
| JPMorgan Chase & Co. | 6.000% | 1/15/18 | 10,832 | 12,584 |
| JPMorgan Chase & Co. | 6.300% | 4/23/19 | 2,850 | 3,350 |
| JPMorgan Chase & Co. | 4.950% | 3/25/20 | 1,350 | 1,449 |
| JPMorgan Chase & Co. | 4.400% | 7/22/20 | 2,900 | 3,028 |
| JPMorgan Chase & Co. | 4.250% | 10/15/20 | 3,750 | 3,878 |
| JPMorgan Chase & Co. | 4.625% | 5/10/21 | 2,725 | 2,906 |
| JPMorgan Chase & Co. | 4.350% | 8/15/21 | 7,125 | 7,479 |
| JPMorgan Chase & Co. | 4.500% | 1/24/22 | 5,075 | 5,399 |
86
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 5,760 | 6,529 |
| KeyCorp | 5.100% | 3/24/21 | 1,900 | 2,060 |
| Lloyds TSB Bank plc | 6.375% | 1/21/21 | 3,900 | 4,213 |
| Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 1,100 | 1,271 |
| Merrill Lynch & Co. Inc. | 5.700% | 5/2/17 | 1,900 | 1,935 |
| Merrill Lynch & Co. Inc. | 6.400% | 8/28/17 | 7,175 | 7,608 |
| Merrill Lynch & Co. Inc. | 6.875% | 4/25/18 | 6,950 | 7,539 |
| Merrill Lynch & Co. Inc. | 6.875% | 11/15/18 | 400 | 427 |
| Morgan Stanley | 5.550% | 4/27/17 | 1,600 | 1,642 |
| Morgan Stanley | 6.250% | 8/28/17 | 1,250 | 1,310 |
| Morgan Stanley | 5.950% | 12/28/17 | 3,975 | 4,118 |
| Morgan Stanley | 6.625% | 4/1/18 | 4,350 | 4,617 |
| Morgan Stanley | 7.300% | 5/13/19 | 4,650 | 5,038 |
| Morgan Stanley | 5.625% | 9/23/19 | 3,940 | 3,955 |
| Morgan Stanley | 5.500% | 1/26/20 | 8,275 | 8,217 |
| Morgan Stanley | 5.500% | 7/24/20 | 1,570 | 1,546 |
| Morgan Stanley | 5.750% | 1/25/21 | 6,800 | 6,739 |
| Morgan Stanley | 5.500% | 7/28/21 | 1,400 | 1,387 |
| National City Corp. | 6.875% | 5/15/19 | 1,750 | 2,032 |
| Northern Trust Corp. | 3.450% | 11/4/20 | 300 | 314 |
| Northern Trust Corp. | 3.375% | 8/23/21 | 1,450 | 1,502 |
| PNC Bank NA | 4.875% | 9/21/17 | 875 | 943 |
| PNC Bank NA | 6.000% | 12/7/17 | 725 | 832 |
| PNC Funding Corp. | 5.125% | 2/8/20 | 3,550 | 4,084 |
| PNC Funding Corp. | 4.375% | 8/11/20 | 2,275 | 2,510 |
| Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 4,750 | 4,974 |
| Royal Bank of Scotland plc | 5.625% | 8/24/20 | 1,250 | 1,301 |
| Royal Bank of Scotland plc | 6.125% | 1/11/21 | 2,700 | 2,929 |
| Sovereign Bank | 8.750% | 5/30/18 | 400 | 447 |
| State Street Corp. | 5.375% | 4/30/17 | 185 | 212 |
| State Street Corp. | 4.956% | 3/15/18 | 2,975 | 3,139 |
| State Street Corp. | 4.375% | 3/7/21 | 1,600 | 1,789 |
| SunTrust Bank | 7.250% | 3/15/18 | 1,225 | 1,404 |
| SunTrust Banks Inc. | 6.000% | 9/11/17 | 575 | 643 |
| UBS AG | 5.875% | 12/20/17 | 5,825 | 6,450 |
| UBS AG | 5.750% | 4/25/18 | 4,000 | 4,421 |
| UBS AG | 4.875% | 8/4/20 | 3,900 | 4,026 |
| US Bancorp | 4.125% | 5/24/21 | 2,275 | 2,491 |
| US Bancorp | 3.000% | 3/15/22 | 50 | 50 |
| Wachovia Bank NA | 6.000% | 11/15/17 | 1,700 | 1,953 |
| Wachovia Corp. | 5.750% | 6/15/17 | 3,600 | 4,178 |
| Wachovia Corp. | 5.750% | 2/1/18 | 3,050 | 3,540 |
| Wells Fargo & Co. | 5.625% | 12/11/17 | 5,375 | 6,218 |
| Wells Fargo & Co. | 4.600% | 4/1/21 | 4,950 | 5,467 |
| Westpac Banking Corp. | 4.875% | 11/19/19 | 3,750 | 4,019 |
| Brokerage (0.8%) | ||||
| Ameriprise Financial Inc. | 7.300% | 6/28/19 | 500 | 613 |
| Ameriprise Financial Inc. | 5.300% | 3/15/20 | 1,350 | 1,491 |
| BlackRock Inc. | 6.250% | 9/15/17 | 200 | 238 |
| BlackRock Inc. | 5.000% | 12/10/19 | 2,500 | 2,857 |
| BlackRock Inc. | 4.250% | 5/24/21 | 1,700 | 1,844 |
| Charles Schwab Corp. | 4.450% | 7/22/20 | 1,150 | 1,259 |
| GFI Group Inc. | 8.375% | 7/19/18 | 150 | 142 |
| Jefferies Group Inc. | 5.125% | 4/13/18 | 1,600 | 1,488 |
87
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Jefferies Group Inc. | 8.500% | 7/15/19 | 1,555 | 1,680 |
| Lazard Group LLC | 6.850% | 6/15/17 | 1,000 | 1,083 |
| Nomura Holdings Inc. | 6.700% | 3/4/20 | 2,375 | 2,570 |
| TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 1,000 | 1,099 |
| Finance Companies (3.0%) | ||||
| Discover Financial Services | 6.450% | 6/12/17 | 100 | 110 |
| Discover Financial Services | 10.250% | 7/15/19 | 900 | 1,151 |
| 1 GE Capital Trust I | 6.375% | 11/15/67 | 1,675 | 1,700 |
| General Electric Capital Corp. | 5.625% | 9/15/17 | 4,840 | 5,575 |
| General Electric Capital Corp. | 5.625% | 5/1/18 | 3,470 | 4,020 |
| 2 General Electric Capital Corp. | 6.000% | 8/7/19 | 8,400 | 9,774 |
| General Electric Capital Corp. | 5.500% | 1/8/20 | 250 | 287 |
| General Electric Capital Corp. | 5.550% | 5/4/20 | 4,225 | 4,825 |
| General Electric Capital Corp. | 4.375% | 9/16/20 | 550 | 586 |
| General Electric Capital Corp. | 4.625% | 1/7/21 | 6,175 | 6,611 |
| General Electric Capital Corp. | 5.300% | 2/11/21 | 3,150 | 3,472 |
| General Electric Capital Corp. | 4.650% | 10/17/21 | 3,225 | 3,503 |
| 1 General Electric Capital Corp. | 6.375% | 11/15/67 | 2,500 | 2,538 |
| HSBC Finance Corp. | 6.676% | 1/15/21 | 5,318 | 5,701 |
| SLM Corp. | 8.450% | 6/15/18 | 5,075 | 5,684 |
| SLM Corp. | 8.000% | 3/25/20 | 2,000 | 2,192 |
| SLM Corp. | 7.250% | 1/25/22 | 1,400 | 1,465 |
| Insurance (5.3%) | ||||
| ACE INA Holdings Inc. | 5.900% | 6/15/19 | 1,775 | 2,125 |
| AEGON Funding Co. LLC | 5.750% | 12/15/20 | 775 | 831 |
| Aetna Inc. | 6.500% | 9/15/18 | 750 | 924 |
| Aetna Inc. | 3.950% | 9/1/20 | 950 | 1,015 |
| Aetna Inc. | 4.125% | 6/1/21 | 925 | 1,005 |
| Aflac Inc. | 8.500% | 5/15/19 | 800 | 1,045 |
| Aflac Inc. | 4.000% | 2/15/22 | 500 | 507 |
| Alleghany Corp. | 5.625% | 9/15/20 | 100 | 106 |
| Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 275 | 281 |
| Allstate Corp. | 7.450% | 5/16/19 | 1,425 | 1,803 |
| 1 Allstate Corp. | 6.125% | 5/15/67 | 950 | 926 |
| Alterra Finance LLC | 6.250% | 9/30/20 | 320 | 338 |
| American Financial Group Inc. | 9.875% | 6/15/19 | 750 | 935 |
| American International Group Inc. | 5.450% | 5/18/17 | 1,250 | 1,328 |
| American International Group Inc. | 5.850% | 1/16/18 | 3,250 | 3,492 |
| American International Group Inc. | 8.250% | 8/15/18 | 4,375 | 5,243 |
| American International Group Inc. | 6.400% | 12/15/20 | 4,925 | 5,472 |
| Aon Corp. | 5.000% | 9/30/20 | 1,725 | 1,931 |
| Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 100 | 105 |
| Axis Specialty Finance LLC | 5.875% | 6/1/20 | 950 | 1,023 |
| Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 2,525 | 3,009 |
| Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 600 | 656 |
| Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 2,125 | 2,232 |
| Chubb Corp. | 5.750% | 5/15/18 | 575 | 694 |
| 1 Chubb Corp. | 6.375% | 3/29/67 | 1,650 | 1,700 |
| Cigna Corp. | 4.375% | 12/15/20 | 425 | 452 |
| Cigna Corp. | 4.500% | 3/15/21 | 2,375 | 2,552 |
| Cigna Corp. | 4.000% | 2/15/22 | 600 | 623 |
| CNA Financial Corp. | 7.350% | 11/15/19 | 850 | 986 |
| CNA Financial Corp. | 5.875% | 8/15/20 | 600 | 650 |
88
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| CNA Financial Corp. | 5.750% | 8/15/21 | 500 | 540 |
| Coventry Health Care Inc. | 5.950% | 3/15/17 | 500 | 567 |
| Coventry Health Care Inc. | 5.450% | 6/15/21 | 1,150 | 1,272 |
| Genworth Financial Inc. | 6.515% | 5/22/18 | 1,625 | 1,649 |
| Genworth Financial Inc. | 7.700% | 6/15/20 | 900 | 929 |
| Genworth Financial Inc. | 7.200% | 2/15/21 | 225 | 225 |
| Genworth Financial Inc. | 7.625% | 9/24/21 | 725 | 744 |
| Hanover Insurance Group Inc. | 6.375% | 6/15/21 | 725 | 786 |
| Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 1,000 | 1,083 |
| Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 1,875 | 1,952 |
| Humana Inc. | 7.200% | 6/15/18 | 800 | 965 |
| Lincoln National Corp. | 8.750% | 7/1/19 | 1,625 | 2,073 |
| 1 Lincoln National Corp. | 6.050% | 4/20/67 | 900 | 819 |
| Manulife Financial Corp. | 4.900% | 9/17/20 | 925 | 959 |
| Markel Corp. | 5.350% | 6/1/21 | 380 | 397 |
| Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 2,325 | 2,598 |
| MetLife Inc. | 6.817% | 8/15/18 | 1,650 | 2,011 |
| MetLife Inc. | 7.717% | 2/15/19 | 1,995 | 2,541 |
| MetLife Inc. | 4.750% | 2/8/21 | 1,525 | 1,685 |
| PartnerRe Finance B LLC | 5.500% | 6/1/20 | 675 | 698 |
| Principal Financial Group Inc. | 8.875% | 5/15/19 | 800 | 1,028 |
| Progressive Corp. | 3.750% | 8/23/21 | 400 | 434 |
| 1 Progressive Corp. | 6.700% | 6/15/67 | 1,200 | 1,254 |
| Protective Life Corp. | 7.375% | 10/15/19 | 100 | 112 |
| Prudential Financial Inc. | 7.375% | 6/15/19 | 1,625 | 2,017 |
| Prudential Financial Inc. | 5.375% | 6/21/20 | 4,650 | 5,262 |
| 1 Prudential Financial Inc. | 8.875% | 6/15/68 | 925 | 1,098 |
| Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 600 | 677 |
| Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 1,150 | 1,200 |
| Swiss Re Solutions Holding Corp. | 6.450% | 3/1/19 | 350 | 391 |
| Travelers Cos. Inc. | 5.750% | 12/15/17 | 700 | 842 |
| Travelers Cos. Inc. | 5.800% | 5/15/18 | 600 | 731 |
| Travelers Cos. Inc. | 5.900% | 6/2/19 | 600 | 724 |
| Travelers Cos. Inc. | 3.900% | 11/1/20 | 1,125 | 1,221 |
| UnitedHealth Group Inc. | 6.000% | 2/15/18 | 3,450 | 4,215 |
| UnitedHealth Group Inc. | 3.875% | 10/15/20 | 750 | 815 |
| UnitedHealth Group Inc. | 3.375% | 11/15/21 | 425 | 446 |
| Unum Group | 5.625% | 9/15/20 | 825 | 876 |
| WellPoint Inc. | 5.250% | 1/15/16 | 100 | 113 |
| WellPoint Inc. | 5.875% | 6/15/17 | 450 | 531 |
| WellPoint Inc. | 7.000% | 2/15/19 | 2,025 | 2,563 |
| WellPoint Inc. | 4.350% | 8/15/20 | 1,400 | 1,529 |
| WellPoint Inc. | 3.700% | 8/15/21 | 875 | 917 |
| Willis Group Holdings plc | 5.750% | 3/15/21 | 1,550 | 1,689 |
| Willis North America Inc. | 7.000% | 9/29/19 | 900 | 1,029 |
| WR Berkley Corp. | 5.375% | 9/15/20 | 1,050 | 1,072 |
| XLIT Ltd. | 5.750% | 10/1/21 | 725 | 799 |
| Other Finance (0.1%) | ||||
| NASDAQ OMX Group Inc. | 5.550% | 1/15/20 | 950 | 998 |
| Real Estate Investment Trusts (2.9%) | ||||
| Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 450 | 456 |
| AvalonBay Communities Inc. | 5.700% | 3/15/17 | 335 | 381 |
| Boston Properties LP | 3.700% | 11/15/18 | 2,640 | 2,772 |
89
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Boston Properties LP | 5.875% | 10/15/19 | 1,350 | 1,568 |
| Boston Properties LP | 5.625% | 11/15/20 | 1,075 | 1,236 |
| Boston Properties LP | 4.125% | 5/15/21 | 1,200 | 1,265 |
| Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 950 | 995 |
| Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 500 | 505 |
| BRE Properties Inc. | 5.500% | 3/15/17 | 975 | 1,083 |
| CommonWealth REIT | 5.875% | 9/15/20 | 1,300 | 1,326 |
| Digital Realty Trust LP | 5.875% | 2/1/20 | 600 | 651 |
| Digital Realty Trust LP | 5.250% | 3/15/21 | 785 | 829 |
| Duke Realty LP | 6.750% | 3/15/20 | 850 | 1,004 |
| ERP Operating LP | 5.750% | 6/15/17 | 1,125 | 1,269 |
| ERP Operating LP | 4.750% | 7/15/20 | 300 | 321 |
| ERP Operating LP | 4.625% | 12/15/21 | 2,250 | 2,410 |
| HCP Inc. | 6.700% | 1/30/18 | 2,550 | 2,977 |
| HCP Inc. | 3.750% | 2/1/19 | 1,000 | 1,004 |
| HCP Inc. | 5.375% | 2/1/21 | 1,775 | 1,941 |
| Health Care REIT Inc. | 4.700% | 9/15/17 | 1,925 | 2,039 |
| Health Care REIT Inc. | 4.950% | 1/15/21 | 900 | 936 |
| Health Care REIT Inc. | 5.250% | 1/15/22 | 1,915 | 2,020 |
| Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 800 | 832 |
| Hospitality Properties Trust | 5.625% | 3/15/17 | 1,150 | 1,230 |
| Kilroy Realty LP | 4.800% | 7/15/18 | 950 | 981 |
| Kimco Realty Corp. | 5.783% | 3/15/16 | 1,100 | 1,212 |
| Kimco Realty Corp. | 6.875% | 10/1/19 | 450 | 526 |
| Liberty Property LP | 6.625% | 10/1/17 | 250 | 287 |
| Liberty Property LP | 4.750% | 10/1/20 | 870 | 893 |
| Mack-Cali Realty LP | 7.750% | 8/15/19 | 675 | 827 |
| National Retail Properties Inc. | 6.875% | 10/15/17 | 1,250 | 1,440 |
| ProLogis LP | 6.250% | 3/15/17 | 650 | 717 |
| ProLogis LP | 4.500% | 8/15/17 | 200 | 205 |
| ProLogis LP | 6.625% | 5/15/18 | 1,575 | 1,783 |
| ProLogis LP | 7.375% | 10/30/19 | 450 | 525 |
| ProLogis LP | 6.875% | 3/15/20 | 1,675 | 1,917 |
| Realty Income Corp. | 6.750% | 8/15/19 | 1,000 | 1,173 |
| Realty Income Corp. | 5.750% | 1/15/21 | 450 | 500 |
| Regency Centers LP | 5.875% | 6/15/17 | 1,300 | 1,465 |
| Simon Property Group LP | 6.125% | 5/30/18 | 1,775 | 2,123 |
| Simon Property Group LP | 10.350% | 4/1/19 | 1,250 | 1,755 |
| Simon Property Group LP | 5.650% | 2/1/20 | 3,474 | 4,091 |
| Simon Property Group LP | 4.375% | 3/1/21 | 1,525 | 1,670 |
| Simon Property Group LP | 4.125% | 12/1/21 | 250 | 270 |
| UDR Inc. | 4.250% | 6/1/18 | 125 | 131 |
| UDR Inc. | 4.625% | 1/10/22 | 500 | 523 |
| Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 1,225 | 1,259 |
| 649,654 | ||||
| Industrial (53.6%) | ||||
| Basic Industry (6.5%) | ||||
| Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 1,225 | 1,255 |
| Albemarle Corp. | 4.500% | 12/15/20 | 125 | 134 |
| Alcoa Inc. | 6.500% | 6/15/18 | 865 | 981 |
| Alcoa Inc. | 6.750% | 7/15/18 | 1,200 | 1,383 |
| Alcoa Inc. | 5.720% | 2/23/19 | 1,400 | 1,494 |
| Alcoa Inc. | 6.150% | 8/15/20 | 1,625 | 1,760 |
| Alcoa Inc. | 5.400% | 4/15/21 | 1,600 | 1,669 |
| Allegheny Technologies Inc. | 9.375% | 6/1/19 | 900 | 1,165 |
90
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Allegheny Technologies Inc. | 5.950% | 1/15/21 | 265 | 292 |
| AngloGold Ashanti Holdings plc | 5.375% | 4/15/20 | 700 | 716 |
| ArcelorMittal | 6.125% | 6/1/18 | 1,750 | 1,840 |
| ArcelorMittal | 9.850% | 6/1/19 | 2,300 | 2,771 |
| ArcelorMittal | 5.250% | 8/5/20 | 4,300 | 4,234 |
| ArcelorMittal | 5.500% | 3/1/21 | 1,750 | 1,728 |
| ArcelorMittal | 6.250% | 2/25/22 | 500 | 516 |
| Barrick Gold Corp. | 6.950% | 4/1/19 | 725 | 908 |
| Barrick North America Finance LLC | 6.800% | 9/15/18 | 2,300 | 2,854 |
| Barrick North America Finance LLC | 4.400% | 5/30/21 | 1,950 | 2,145 |
| BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 325 | 382 |
| BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 2,175 | 2,739 |
| BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 2,600 | 2,692 |
| BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 2,200 | 2,182 |
| Carpenter Technology Corp. | 5.200% | 7/15/21 | 200 | 204 |
| Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 775 | 924 |
| Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 350 | 366 |
| 3 Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 1,175 | 1,192 |
| Cliffs Natural Resources Inc. | 5.900% | 3/15/20 | 50 | 56 |
| Cliffs Natural Resources Inc. | 4.875% | 4/1/21 | 2,350 | 2,492 |
| Dow Chemical Co. | 5.700% | 5/15/18 | 2,125 | 2,477 |
| Dow Chemical Co. | 8.550% | 5/15/19 | 1,975 | 2,631 |
| Dow Chemical Co. | 4.250% | 11/15/20 | 5,100 | 5,467 |
| Dow Chemical Co. | 4.125% | 11/15/21 | 2,669 | 2,830 |
| Eastman Chemical Co. | 4.500% | 1/15/21 | 550 | 580 |
| Ecolab Inc. | 4.350% | 12/8/21 | 1,950 | 2,143 |
| EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 3,625 | 4,516 |
| EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 2,175 | 2,533 |
| EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 850 | 931 |
| EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 500 | 574 |
| FMC Corp. | 3.950% | 2/1/22 | 750 | 785 |
| Freeport-McMoRan Copper & Gold Inc. | 2.150% | 3/1/17 | 1,400 | 1,400 |
| Freeport-McMoRan Copper & Gold Inc. | 8.375% | 4/1/17 | 2,730 | 2,861 |
| International Paper Co. | 7.950% | 6/15/18 | 4,500 | 5,659 |
| International Paper Co. | 9.375% | 5/15/19 | 775 | 1,026 |
| International Paper Co. | 7.500% | 8/15/21 | 1,601 | 2,055 |
| 3 Kinross Gold Corp. | 5.125% | 9/1/21 | 350 | 350 |
| Lubrizol Corp. | 8.875% | 2/1/19 | 1,175 | 1,615 |
| Mosaic Co. | 3.750% | 11/15/21 | 700 | 729 |
| Newmont Mining Corp. | 5.125% | 10/1/19 | 1,500 | 1,708 |
| Nucor Corp. | 5.750% | 12/1/17 | 1,300 | 1,554 |
| Plum Creek Timberlands LP | 4.700% | 3/15/21 | 250 | 251 |
| Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 2,650 | 2,854 |
| Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 100 | 124 |
| Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 725 | 837 |
| PPG Industries Inc. | 6.650% | 3/15/18 | 400 | 491 |
| PPG Industries Inc. | 3.600% | 11/15/20 | 2,195 | 2,312 |
| Praxair Inc. | 4.500% | 8/15/19 | 300 | 343 |
| Praxair Inc. | 4.050% | 3/15/21 | 1,525 | 1,715 |
| Praxair Inc. | 3.000% | 9/1/21 | 2,500 | 2,598 |
| Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 5,425 | 6,787 |
| Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 2,050 | 2,824 |
| Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 1,600 | 1,746 |
| Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 1,475 | 1,569 |
| RPM International Inc. | 6.125% | 10/15/19 | 750 | 835 |
91
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Sigma-Aldrich Corp. | 3.375% | 11/1/20 | 240 | 251 |
| Southern Copper Corp. | 5.375% | 4/16/20 | 200 | 221 |
| Teck Resources Ltd. | 3.850% | 8/15/17 | 400 | 426 |
| Teck Resources Ltd. | 3.000% | 3/1/19 | 775 | 778 |
| Teck Resources Ltd. | 10.750% | 5/15/19 | 4,475 | 5,549 |
| Teck Resources Ltd. | 4.750% | 1/15/22 | 750 | 818 |
| Vale Overseas Ltd. | 5.625% | 9/15/19 | 1,925 | 2,192 |
| Vale Overseas Ltd. | 4.625% | 9/15/20 | 1,925 | 2,064 |
| Vale Overseas Ltd. | 4.375% | 1/11/22 | 1,315 | 1,372 |
| Valspar Corp. | 7.250% | 6/15/19 | 425 | 509 |
| Valspar Corp. | 4.200% | 1/15/22 | 1,775 | 1,846 |
| Capital Goods (5.4%) | ||||
| Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 200 | 223 |
| Allied Waste North America Inc. | 6.875% | 6/1/17 | 200 | 210 |
| Boeing Capital Corp. | 2.900% | 8/15/18 | 300 | 320 |
| Boeing Co. | 6.000% | 3/15/19 | 225 | 280 |
| Boeing Co. | 4.875% | 2/15/20 | 1,975 | 2,353 |
| Boeing Co. | 8.750% | 8/15/21 | 300 | 437 |
| Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 500 | 592 |
| Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 3,775 | 4,921 |
| Caterpillar Inc. | 7.900% | 12/15/18 | 1,850 | 2,510 |
| Caterpillar Inc. | 3.900% | 5/27/21 | 2,425 | 2,690 |
| Cooper US Inc. | 3.875% | 12/15/20 | 800 | 840 |
| CRH America Inc. | 4.125% | 1/15/16 | 1,000 | 1,011 |
| CRH America Inc. | 8.125% | 7/15/18 | 200 | 234 |
| CRH America Inc. | 5.750% | 1/15/21 | 400 | 411 |
| Danaher Corp. | 5.400% | 3/1/19 | 2,350 | 2,793 |
| Danaher Corp. | 3.900% | 6/23/21 | 1,375 | 1,519 |
| Deere & Co. | 4.375% | 10/16/19 | 2,425 | 2,778 |
| Dover Corp. | 4.300% | 3/1/21 | 1,750 | 1,990 |
| Eaton Corp. | 6.950% | 3/20/19 | 1,085 | 1,373 |
| Embraer Overseas Ltd. | 6.375% | 1/15/20 | 1,275 | 1,414 |
| Emerson Electric Co. | 4.875% | 10/15/19 | 1,250 | 1,461 |
| Emerson Electric Co. | 4.250% | 11/15/20 | 575 | 638 |
| General Dynamics Corp. | 3.875% | 7/15/21 | 1,150 | 1,262 |
| General Electric Co. | 5.250% | 12/6/17 | 7,300 | 8,613 |
| Goodrich Corp. | 4.875% | 3/1/20 | 1,100 | 1,264 |
| Goodrich Corp. | 3.600% | 2/1/21 | 575 | 612 |
| Harsco Corp. | 5.750% | 5/15/18 | 475 | 545 |
| Honeywell International Inc. | 5.300% | 3/1/18 | 2,500 | 2,999 |
| Honeywell International Inc. | 4.250% | 3/1/21 | 2,685 | 3,089 |
| IDEX Corp. | 4.200% | 12/15/21 | 600 | 614 |
| Illinois Tool Works Inc. | 6.250% | 4/1/19 | 475 | 586 |
| 3 Illinois Tool Works Inc. | 3.375% | 9/15/21 | 977 | 1,021 |
| Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 1,454 | 1,791 |
| John Deere Capital Corp. | 5.500% | 4/13/17 | 800 | 954 |
| John Deere Capital Corp. | 2.800% | 9/18/17 | 300 | 320 |
| John Deere Capital Corp. | 5.350% | 4/3/18 | 250 | 299 |
| John Deere Capital Corp. | 3.900% | 7/12/21 | 1,200 | 1,323 |
| John Deere Capital Corp. | 3.150% | 10/15/21 | 2,225 | 2,317 |
| John Deere Capital Corp. | 2.750% | 3/15/22 | 225 | 225 |
| Kennametal Inc. | 3.875% | 2/15/22 | 350 | 351 |
| L-3 Communications Corp. | 5.200% | 10/15/19 | 75 | 81 |
| L-3 Communications Corp. | 4.750% | 7/15/20 | 1,725 | 1,789 |
92
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| L-3 Communications Corp. | 4.950% | 2/15/21 | 1,900 | 1,979 |
| Lockheed Martin Corp. | 4.250% | 11/15/19 | 2,325 | 2,548 |
| Lockheed Martin Corp. | 3.350% | 9/15/21 | 1,375 | 1,409 |
| Northrop Grumman Corp. | 5.050% | 8/1/19 | 1,275 | 1,429 |
| Northrop Grumman Corp. | 3.500% | 3/15/21 | 1,100 | 1,135 |
| Parker Hannifin Corp. | 5.500% | 5/15/18 | 425 | 499 |
| Raytheon Co. | 6.750% | 3/15/18 | 250 | 309 |
| Raytheon Co. | 4.400% | 2/15/20 | 125 | 140 |
| Raytheon Co. | 3.125% | 10/15/20 | 3,075 | 3,184 |
| Republic Services Inc. | 3.800% | 5/15/18 | 2,700 | 2,911 |
| Republic Services Inc. | 5.500% | 9/15/19 | 925 | 1,068 |
| Republic Services Inc. | 5.000% | 3/1/20 | 675 | 761 |
| Republic Services Inc. | 5.250% | 11/15/21 | 2,225 | 2,572 |
| Rockwell Collins Inc. | 3.100% | 11/15/21 | 475 | 491 |
| Roper Industries Inc. | 6.250% | 9/1/19 | 600 | 712 |
| Sonoco Products Co. | 4.375% | 11/1/21 | 775 | 809 |
| Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 2,300 | 2,361 |
| Textron Inc. | 7.250% | 10/1/19 | 850 | 976 |
| Tyco International Finance SA | 3.750% | 1/15/18 | 600 | 640 |
| Tyco International Finance SA | 8.500% | 1/15/19 | 1,900 | 2,456 |
| Tyco International Ltd. / | ||||
| Tyco International Finance SA | 7.000% | 12/15/19 | 1,000 | 1,245 |
| Tyco International Ltd. / | ||||
| Tyco International Finance SA | 6.875% | 1/15/21 | 250 | 314 |
| United Technologies Corp. | 5.375% | 12/15/17 | 1,450 | 1,746 |
| United Technologies Corp. | 6.125% | 2/1/19 | 2,175 | 2,699 |
| United Technologies Corp. | 4.500% | 4/15/20 | 3,300 | 3,829 |
| Waste Management Inc. | 6.100% | 3/15/18 | 650 | 768 |
| Waste Management Inc. | 7.375% | 3/11/19 | 200 | 252 |
| Waste Management Inc. | 4.750% | 6/30/20 | 2,550 | 2,835 |
| Waste Management Inc. | 4.600% | 3/1/21 | 450 | 500 |
| 3 Xylem Inc. | 4.875% | 10/1/21 | 620 | 673 |
| Communication (8.8%) | ||||
| America Movil SAB de CV | 5.625% | 11/15/17 | 775 | 907 |
| America Movil SAB de CV | 5.000% | 10/16/19 | 1,100 | 1,251 |
| America Movil SAB de CV | 5.000% | 3/30/20 | 3,775 | 4,293 |
| American Tower Corp. | 7.000% | 10/15/17 | 600 | 691 |
| American Tower Corp. | 4.500% | 1/15/18 | 3,300 | 3,411 |
| American Tower Corp. | 5.050% | 9/1/20 | 1,275 | 1,326 |
| AT&T Inc. | 5.500% | 2/1/18 | 6,725 | 8,012 |
| AT&T Inc. | 5.800% | 2/15/19 | 2,575 | 3,108 |
| AT&T Inc. | 4.450% | 5/15/21 | 1,325 | 1,488 |
| AT&T Inc. | 3.875% | 8/15/21 | 3,125 | 3,367 |
| AT&T Inc. | 3.000% | 2/15/22 | 300 | 300 |
| British Telecommunications plc | 5.950% | 1/15/18 | 1,225 | 1,432 |
| CBS Corp. | 8.875% | 5/15/19 | 1,000 | 1,332 |
| CBS Corp. | 5.750% | 4/15/20 | 1,815 | 2,111 |
| CBS Corp. | 4.300% | 2/15/21 | 650 | 692 |
| Cellco Partnership / Verizon Wireless Capital LLC | 8.500% | 11/15/18 | 4,600 | 6,425 |
| CenturyLink Inc. | 6.000% | 4/1/17 | 3,225 | 3,427 |
| CenturyLink Inc. | 5.150% | 6/15/17 | 1,500 | 1,544 |
| CenturyLink Inc. | 6.450% | 6/15/21 | 2,000 | 2,138 |
| Comcast Corp. | 6.300% | 11/15/17 | 2,650 | 3,231 |
| Comcast Corp. | 5.875% | 2/15/18 | 1,600 | 1,891 |
93
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Comcast Corp. | 5.700% | 5/15/18 | 3,450 | 4,058 |
| Comcast Corp. | 5.700% | 7/1/19 | 1,725 | 2,056 |
| Comcast Corp. | 5.150% | 3/1/20 | 50 | 59 |
| Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 450 | 547 |
| Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 1,625 | 1,898 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 5.875% | 10/1/19 | 3,525 | 4,108 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 5.200% | 3/15/20 | 1,425 | 1,601 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 4.600% | 2/15/21 | 820 | 889 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 5.000% | 3/1/21 | 1,750 | 1,948 |
| Discovery Communications LLC | 5.050% | 6/1/20 | 1,775 | 2,041 |
| Discovery Communications LLC | 4.375% | 6/15/21 | 800 | 883 |
| France Telecom SA | 5.375% | 7/8/19 | 1,650 | 1,868 |
| France Telecom SA | 4.125% | 9/14/21 | 2,300 | 2,419 |
| Grupo Televisa SAB | 6.000% | 5/15/18 | 1,150 | 1,328 |
| GTE Corp. | 6.840% | 4/15/18 | 750 | 936 |
| GTE Corp. | 8.750% | 11/1/21 | 275 | 383 |
| Interpublic Group of Cos. Inc. | 10.000% | 7/15/17 | 1,975 | 2,264 |
| Moody’s Corp. | 5.500% | 9/1/20 | 775 | 825 |
| NBCUniversal Media LLC | 5.150% | 4/30/20 | 2,750 | 3,181 |
| NBCUniversal Media LLC | 4.375% | 4/1/21 | 3,840 | 4,212 |
| News America Inc. | 6.900% | 3/1/19 | 2,525 | 3,065 |
| News America Inc. | 4.500% | 2/15/21 | 2,325 | 2,504 |
| Omnicom Group Inc. | 4.450% | 8/15/20 | 2,850 | 3,109 |
| Qwest Corp. | 6.750% | 12/1/21 | 1,325 | 1,504 |
| Reed Elsevier Capital Inc. | 8.625% | 1/15/19 | 1,400 | 1,761 |
| Rogers Communications Inc. | 6.800% | 8/15/18 | 2,300 | 2,901 |
| Telecom Italia Capital SA | 6.999% | 6/4/18 | 1,125 | 1,162 |
| Telecom Italia Capital SA | 7.175% | 6/18/19 | 1,525 | 1,577 |
| Telefonica Emisiones SAU | 6.221% | 7/3/17 | 1,300 | 1,386 |
| Telefonica Emisiones SAU | 5.877% | 7/15/19 | 1,835 | 1,924 |
| Telefonica Emisiones SAU | 5.134% | 4/27/20 | 2,900 | 2,853 |
| Telefonica Emisiones SAU | 5.462% | 2/16/21 | 2,200 | 2,212 |
| Telefonos de Mexico SAB de CV | 5.500% | 11/15/19 | 500 | 578 |
| Thomson Reuters Corp. | 6.500% | 7/15/18 | 1,500 | 1,850 |
| Thomson Reuters Corp. | 4.700% | 10/15/19 | 2,225 | 2,458 |
| Time Warner Cable Inc. | 5.850% | 5/1/17 | 3,275 | 3,854 |
| Time Warner Cable Inc. | 6.750% | 7/1/18 | 2,475 | 3,041 |
| Time Warner Cable Inc. | 8.250% | 4/1/19 | 4,200 | 5,455 |
| Time Warner Cable Inc. | 5.000% | 2/1/20 | 2,425 | 2,722 |
| Time Warner Cable Inc. | 4.125% | 2/15/21 | 3,300 | 3,488 |
| Time Warner Cable Inc. | 4.000% | 9/1/21 | 1,756 | 1,838 |
| Verizon Communications Inc. | 5.500% | 4/1/17 | 450 | 530 |
| Verizon Communications Inc. | 5.500% | 2/15/18 | 4,875 | 5,802 |
| Verizon Communications Inc. | 6.100% | 4/15/18 | 1,900 | 2,325 |
| Verizon Communications Inc. | 8.750% | 11/1/18 | 4,275 | 5,893 |
| Verizon Communications Inc. | 6.350% | 4/1/19 | 2,075 | 2,568 |
| Verizon Communications Inc. | 4.600% | 4/1/21 | 1,250 | 1,418 |
| Verizon Communications Inc. | 3.500% | 11/1/21 | 3,700 | 3,876 |
| Virgin Media Secured Finance plc | 5.250% | 1/15/21 | 1,700 | 1,861 |
| Vodafone Group plc | 4.625% | 7/15/18 | 650 | 738 |
| Vodafone Group plc | 5.450% | 6/10/19 | 2,925 | 3,480 |
| 3 WPP Finance 2010 | 4.750% | 11/21/21 | 775 | 810 |
94
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Consumer Cyclical (5.3%) | ||||
| Advance Auto Parts Inc. | 4.500% | 1/15/22 | 1,075 | 1,138 |
| AutoZone Inc. | 7.125% | 8/1/18 | 250 | 306 |
| AutoZone Inc. | 4.000% | 11/15/20 | 750 | 788 |
| Best Buy Co. Inc. | 5.500% | 3/15/21 | 950 | 925 |
| BorgWarner Inc. | 4.625% | 9/15/20 | 75 | 81 |
| Costco Wholesale Corp. | 5.500% | 3/15/17 | 1,725 | 2,070 |
| CVS Caremark Corp. | 5.750% | 6/1/17 | 2,500 | 2,981 |
| CVS Caremark Corp. | 4.750% | 5/18/20 | 1,850 | 2,108 |
| CVS Caremark Corp. | 4.125% | 5/15/21 | 1,800 | 1,995 |
| Darden Restaurants Inc. | 6.200% | 10/15/17 | 300 | 346 |
| Darden Restaurants Inc. | 4.500% | 10/15/21 | 625 | 653 |
| eBay Inc. | 3.250% | 10/15/20 | 550 | 570 |
| Expedia Inc. | 7.456% | 8/15/18 | 350 | 393 |
| Expedia Inc. | 5.950% | 8/15/20 | 1,800 | 1,839 |
| Family Dollar Stores Inc. | 5.000% | 2/1/21 | 400 | 413 |
| Gap Inc. | 5.950% | 4/12/21 | 1,825 | 1,829 |
| Historic TW Inc. | 6.875% | 6/15/18 | 2,314 | 2,868 |
| Home Depot Inc. | 3.950% | 9/15/20 | 1,000 | 1,107 |
| Home Depot Inc. | 4.400% | 4/1/21 | 1,300 | 1,486 |
| Hyatt Hotels Corp. | 5.375% | 8/15/21 | 150 | 155 |
| 3 Hyundai Capital America | 4.000% | 6/8/17 | 500 | 511 |
| International Game Technology | 7.500% | 6/15/19 | 475 | 560 |
| International Game Technology | 5.500% | 6/15/20 | 50 | 53 |
| Johnson Controls Inc. | 5.000% | 3/30/20 | 725 | 830 |
| Johnson Controls Inc. | 4.250% | 3/1/21 | 200 | 218 |
| Johnson Controls Inc. | 3.750% | 12/1/21 | 2,175 | 2,298 |
| Kohl’s Corp. | 6.250% | 12/15/17 | 300 | 356 |
| Kohl’s Corp. | 4.000% | 11/1/21 | 1,450 | 1,523 |
| Lowe’s Cos. Inc. | 4.625% | 4/15/20 | 1,775 | 2,011 |
| Lowe’s Cos. Inc. | 3.750% | 4/15/21 | 750 | 808 |
| Lowe’s Cos. Inc. | 3.800% | 11/15/21 | 849 | 924 |
| Macy’s Retail Holdings Inc. | 7.450% | 7/15/17 | 875 | 1,074 |
| Macy’s Retail Holdings Inc. | 3.875% | 1/15/22 | 1,000 | 1,028 |
| Marriott International Inc. | 3.000% | 3/1/19 | 1,125 | 1,121 |
| McDonald’s Corp. | 5.300% | 3/15/17 | 1,350 | 1,602 |
| McDonald’s Corp. | 5.350% | 3/1/18 | 3,000 | 3,632 |
| McDonald’s Corp. | 5.000% | 2/1/19 | 500 | 593 |
| McDonald’s Corp. | 3.500% | 7/15/20 | 1,500 | 1,642 |
| Nordstrom Inc. | 6.250% | 1/15/18 | 867 | 1,058 |
| Nordstrom Inc. | 4.750% | 5/1/20 | 600 | 685 |
| Nordstrom Inc. | 4.000% | 10/15/21 | 1,425 | 1,562 |
| O’Reilly Automotive Inc. | 4.875% | 1/14/21 | 1,075 | 1,159 |
| O’Reilly Automotive Inc. | 4.625% | 9/15/21 | 375 | 400 |
| Starbucks Corp. | 6.250% | 8/15/17 | 850 | 1,010 |
| Target Corp. | 5.375% | 5/1/17 | 300 | 357 |
| Target Corp. | 6.000% | 1/15/18 | 4,400 | 5,368 |
| Target Corp. | 3.875% | 7/15/20 | 500 | 553 |
| Target Corp. | 2.900% | 1/15/22 | 2,125 | 2,147 |
| Time Warner Inc. | 4.875% | 3/15/20 | 3,424 | 3,845 |
| Time Warner Inc. | 4.750% | 3/29/21 | 1,325 | 1,488 |
| Time Warner Inc. | 4.000% | 1/15/22 | 1,125 | 1,192 |
| TJX Cos. Inc. | 6.950% | 4/15/19 | 625 | 780 |
| Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 1,025 | 1,135 |
| Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 425 | 464 |
95
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 2,125 | 2,198 |
| Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 2,475 | 2,542 |
| VF Corp. | 3.500% | 9/1/21 | 400 | 419 |
| Viacom Inc. | 3.500% | 4/1/17 | 3,325 | 3,581 |
| Viacom Inc. | 6.125% | 10/5/17 | 600 | 719 |
| Viacom Inc. | 4.500% | 3/1/21 | 355 | 390 |
| Viacom Inc. | 3.875% | 12/15/21 | 875 | 926 |
| Wal-Mart Stores Inc. | 5.375% | 4/5/17 | 1,950 | 2,326 |
| Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 2,750 | 3,379 |
| Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 1,325 | 1,452 |
| Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 3,425 | 3,670 |
| Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 1,500 | 1,716 |
| Walgreen Co. | 5.250% | 1/15/19 | 1,325 | 1,563 |
| Walt Disney Co. | 6.000% | 7/17/17 | 900 | 1,090 |
| Walt Disney Co. | 3.750% | 6/1/21 | 2,200 | 2,410 |
| Walt Disney Co. | 2.750% | 8/16/21 | 750 | 760 |
| Western Union Co. | 3.650% | 8/22/18 | 400 | 422 |
| Wyndham Worldwide Corp. | 5.750% | 2/1/18 | 1,250 | 1,406 |
| Yum! Brands Inc. | 6.250% | 3/15/18 | 650 | 774 |
| Yum! Brands Inc. | 5.300% | 9/15/19 | 900 | 1,022 |
| Yum! Brands Inc. | 3.875% | 11/1/20 | 1,375 | 1,437 |
| Consumer Noncyclical (13.8%) | ||||
| Abbott Laboratories | 5.600% | 11/30/17 | 3,550 | 4,331 |
| Abbott Laboratories | 5.125% | 4/1/19 | 1,250 | 1,497 |
| Abbott Laboratories | 4.125% | 5/27/20 | 3,675 | 4,207 |
| Allergan Inc. | 3.375% | 9/15/20 | 1,125 | 1,175 |
| Altria Group Inc. | 9.700% | 11/10/18 | 5,250 | 7,154 |
| Altria Group Inc. | 9.250% | 8/6/19 | 2,999 | 4,091 |
| Altria Group Inc. | 4.750% | 5/5/21 | 3,625 | 3,980 |
| AmerisourceBergen Corp. | 4.875% | 11/15/19 | 520 | 586 |
| AmerisourceBergen Corp. | 3.500% | 11/15/21 | 1,000 | 1,042 |
| Amgen Inc. | 5.850% | 6/1/17 | 3,200 | 3,780 |
| Amgen Inc. | 5.700% | 2/1/19 | 2,025 | 2,346 |
| Amgen Inc. | 3.450% | 10/1/20 | 1,375 | 1,397 |
| Amgen Inc. | 4.100% | 6/15/21 | 1,725 | 1,823 |
| Amgen Inc. | 3.875% | 11/15/21 | 1,925 | 2,000 |
| Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 850 | 1,006 |
| Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 5,750 | 7,574 |
| Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 850 | 1,097 |
| Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 2,825 | 3,368 |
| Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 2,125 | 2,482 |
| Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 1,950 | 2,216 |
| Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 500 | 597 |
| Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 2,925 | 3,350 |
| 3 Aristotle Holding Inc. | 4.750% | 11/15/21 | 1,425 | 1,506 |
| 3 Aristotle Holding Inc. | 3.900% | 2/15/22 | 875 | 891 |
| AstraZeneca plc | 5.900% | 9/15/17 | 3,150 | 3,826 |
| Avon Products Inc. | 6.500% | 3/1/19 | 800 | 906 |
| Baxter International Inc. | 4.500% | 8/15/19 | 1,450 | 1,639 |
| Baxter International Inc. | 4.250% | 3/15/20 | 525 | 588 |
| Becton Dickinson and Co. | 3.250% | 11/12/20 | 800 | 832 |
| Becton Dickinson and Co. | 3.125% | 11/8/21 | 3,150 | 3,241 |
| Biogen Idec Inc. | 6.875% | 3/1/18 | 1,625 | 2,006 |
| Boston Scientific Corp. | 6.000% | 1/15/20 | 2,175 | 2,537 |
96
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Bottling Group LLC | 5.125% | 1/15/19 | 1,150 | 1,362 |
| Bristol-Myers Squibb Co. | 5.450% | 5/1/18 | 855 | 1,038 |
| Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 1,100 | 1,361 |
| Campbell Soup Co. | 3.050% | 7/15/17 | 125 | 134 |
| Campbell Soup Co. | 4.500% | 2/15/19 | 700 | 785 |
| Campbell Soup Co. | 4.250% | 4/15/21 | 425 | 479 |
| Cardinal Health Inc. | 4.625% | 12/15/20 | 825 | 906 |
| CareFusion Corp. | 6.375% | 8/1/19 | 750 | 882 |
| Celgene Corp. | 3.950% | 10/15/20 | 1,115 | 1,149 |
| Clorox Co. | 3.800% | 11/15/21 | 850 | 869 |
| Coca-Cola Co. | 5.350% | 11/15/17 | 2,825 | 3,411 |
| Coca-Cola Co. | 4.875% | 3/15/19 | 525 | 615 |
| Coca-Cola Co. | 3.150% | 11/15/20 | 1,950 | 2,073 |
| Coca-Cola Co. | 3.300% | 9/1/21 | 2,325 | 2,479 |
| Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 950 | 978 |
| Coca-Cola Enterprises Inc. | 3.250% | 8/19/21 | 425 | 429 |
| Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 475 | 521 |
| Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 375 | 550 |
| Colgate-Palmolive Co. | 2.625% | 5/1/17 | 300 | 320 |
| Colgate-Palmolive Co. | 2.450% | 11/15/21 | 375 | 377 |
| ConAgra Foods Inc. | 7.000% | 4/15/19 | 1,000 | 1,199 |
| Corn Products International Inc. | 4.625% | 11/1/20 | 375 | 397 |
| Covidien International Finance SA | 6.000% | 10/15/17 | 2,600 | 3,149 |
| Covidien International Finance SA | 4.200% | 6/15/20 | 825 | 911 |
| CR Bard Inc. | 4.400% | 1/15/21 | 1,200 | 1,347 |
| Delhaize Group SA | 6.500% | 6/15/17 | 700 | 816 |
| DENTSPLY International Inc. | 4.125% | 8/15/21 | 300 | 311 |
| Diageo Capital plc | 5.750% | 10/23/17 | 1,550 | 1,863 |
| Diageo Capital plc | 4.828% | 7/15/20 | 2,010 | 2,326 |
| Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 770 | 964 |
| Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 175 | 176 |
| Dr Pepper Snapple Group Inc. | 3.200% | 11/15/21 | 1,475 | 1,496 |
| Eli Lilly & Co. | 5.200% | 3/15/17 | 1,300 | 1,535 |
| Energizer Holdings Inc. | 4.700% | 5/19/21 | 525 | 554 |
| Express Scripts Inc. | 7.250% | 6/15/19 | 525 | 652 |
| General Mills Inc. | 5.650% | 2/15/19 | 2,050 | 2,462 |
| General Mills Inc. | 3.150% | 12/15/21 | 1,925 | 1,961 |
| Gilead Sciences Inc. | 4.500% | 4/1/21 | 1,975 | 2,115 |
| Gilead Sciences Inc. | 4.400% | 12/1/21 | 1,425 | 1,523 |
| GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 4,525 | 5,541 |
| Hasbro Inc. | 6.300% | 9/15/17 | 525 | 604 |
| Hershey Co. | 4.125% | 12/1/20 | 225 | 252 |
| HJ Heinz Co. | 2.850% | 3/1/22 | 1,050 | 1,048 |
| Hormel Foods Corp. | 4.125% | 4/15/21 | 100 | 110 |
| Hospira Inc. | 6.050% | 3/30/17 | 400 | 448 |
| JM Smucker Co. | 3.500% | 10/15/21 | 1,300 | 1,342 |
| Johnson & Johnson | 5.550% | 8/15/17 | 925 | 1,136 |
| Johnson & Johnson | 5.150% | 7/15/18 | 2,325 | 2,831 |
| Johnson & Johnson | 3.550% | 5/15/21 | 650 | 722 |
| Kellogg Co. | 3.250% | 5/21/18 | 2,325 | 2,449 |
| Kellogg Co. | 4.150% | 11/15/19 | 75 | 81 |
| Kellogg Co. | 4.000% | 12/15/20 | 1,800 | 1,939 |
| Kimberly-Clark Corp. | 6.125% | 8/1/17 | 1,329 | 1,628 |
| Kimberly-Clark Corp. | 7.500% | 11/1/18 | 1,425 | 1,897 |
| Kimberly-Clark Corp. | 3.625% | 8/1/20 | 100 | 108 |
97
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Kimberly-Clark Corp. | 3.875% | 3/1/21 | 1,075 | 1,180 |
| Koninklijke Philips Electronics NV | 5.750% | 3/11/18 | 2,825 | 3,328 |
| Kraft Foods Inc. | 6.500% | 8/11/17 | 1,075 | 1,308 |
| Kraft Foods Inc. | 6.125% | 2/1/18 | 5,750 | 6,932 |
| Kraft Foods Inc. | 6.125% | 8/23/18 | 1,050 | 1,264 |
| Kraft Foods Inc. | 5.375% | 2/10/20 | 6,225 | 7,251 |
| Kroger Co. | 6.400% | 8/15/17 | 600 | 730 |
| Kroger Co. | 6.800% | 12/15/18 | 425 | 528 |
| Kroger Co. | 6.150% | 1/15/20 | 2,490 | 3,069 |
| Laboratory Corp. of America Holdings | 4.625% | 11/15/20 | 1,150 | 1,229 |
| Life Technologies Corp. | 6.000% | 3/1/20 | 1,100 | 1,272 |
| Life Technologies Corp. | 5.000% | 1/15/21 | 1,233 | 1,336 |
| Lorillard Tobacco Co. | 8.125% | 6/23/19 | 650 | 814 |
| Lorillard Tobacco Co. | 6.875% | 5/1/20 | 1,850 | 2,198 |
| Massachusetts Healthcare System Inc. | ||||
| (Partners Healthcare) | 3.443% | 7/1/21 | 225 | 225 |
| McCormick & Co. Inc. | 3.900% | 7/15/21 | 275 | 297 |
| McKesson Corp. | 4.750% | 3/1/21 | 2,275 | 2,608 |
| Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 1,350 | 1,513 |
| Medco Health Solutions Inc. | 7.125% | 3/15/18 | 2,675 | 3,197 |
| Medco Health Solutions Inc. | 4.125% | 9/15/20 | 725 | 751 |
| Medtronic Inc. | 4.450% | 3/15/20 | 3,950 | 4,498 |
| Merck & Co. Inc. | 6.000% | 9/15/17 | 400 | 496 |
| Merck & Co. Inc. | 5.000% | 6/30/19 | 2,625 | 3,143 |
| Merck & Co. Inc. | 3.875% | 1/15/21 | 2,075 | 2,337 |
| Newell Rubbermaid Inc. | 4.700% | 8/15/20 | 850 | 922 |
| Novartis Capital Corp. | 4.400% | 4/24/20 | 1,950 | 2,255 |
| Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 3,811 | 4,540 |
| PepsiCo Inc. | 5.000% | 6/1/18 | 1,625 | 1,922 |
| PepsiCo Inc. | 7.900% | 11/1/18 | 3,400 | 4,654 |
| PepsiCo Inc. | 4.500% | 1/15/20 | 3,900 | 4,489 |
| PepsiCo Inc. | 3.125% | 11/1/20 | 895 | 935 |
| PepsiCo Inc. | 2.750% | 3/5/22 | 850 | 849 |
| PerkinElmer Inc. | 5.000% | 11/15/21 | 825 | 875 |
| Pfizer Inc. | 6.200% | 3/15/19 | 6,925 | 8,755 |
| Philip Morris International Inc. | 5.650% | 5/16/18 | 4,175 | 5,018 |
| Philip Morris International Inc. | 4.500% | 3/26/20 | 2,175 | 2,455 |
| Philip Morris International Inc. | 4.125% | 5/17/21 | 200 | 221 |
| Philip Morris International Inc. | 2.900% | 11/15/21 | 1,200 | 1,212 |
| Procter & Gamble Co. | 4.700% | 2/15/19 | 1,885 | 2,220 |
| Quest Diagnostics Inc. | 4.700% | 4/1/21 | 2,175 | 2,373 |
| Ralcorp Holdings Inc. | 4.950% | 8/15/20 | 275 | 280 |
| Reynolds American Inc. | 6.750% | 6/15/17 | 700 | 833 |
| Safeway Inc. | 6.350% | 8/15/17 | 1,325 | 1,550 |
| Safeway Inc. | 5.000% | 8/15/19 | 625 | 673 |
| Safeway Inc. | 3.950% | 8/15/20 | 1,200 | 1,215 |
| Safeway Inc. | 4.750% | 12/1/21 | 300 | 317 |
| Sanofi | 4.000% | 3/29/21 | 3,325 | 3,701 |
| Sara Lee Corp. | 4.100% | 9/15/20 | 100 | 101 |
| St. Jude Medical Inc. | 4.875% | 7/15/19 | 400 | 457 |
| Stryker Corp. | 4.375% | 1/15/20 | 500 | 557 |
| Sysco Corp. | 5.250% | 2/12/18 | 970 | 1,146 |
| Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 1,650 | 1,714 |
| Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 1,000 | 1,042 |
| Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 2,175 | 2,476 |
98
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 1,600 | 1,710 |
| Tupperware Brands Corp. | 4.750% | 6/1/21 | 300 | 309 |
| Unilever Capital Corp. | 4.800% | 2/15/19 | 925 | 1,082 |
| Unilever Capital Corp. | 4.250% | 2/10/21 | 1,700 | 1,945 |
| Watson Pharmaceuticals Inc. | 6.125% | 8/15/19 | 375 | 440 |
| Wyeth LLC | 5.450% | 4/1/17 | 900 | 1,067 |
| Zimmer Holdings Inc. | 4.625% | 11/30/19 | 175 | 192 |
| Zimmer Holdings Inc. | 3.375% | 11/30/21 | 2,100 | 2,139 |
| Energy (7.0%) | ||||
| Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 3,875 | 4,652 |
| Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 925 | 1,230 |
| Apache Corp. | 3.625% | 2/1/21 | 2,800 | 3,004 |
| Baker Hughes Inc. | 7.500% | 11/15/18 | 1,050 | 1,400 |
| 3 Baker Hughes Inc. | 3.200% | 8/15/21 | 1,700 | 1,759 |
| BP Capital Markets plc | 4.750% | 3/10/19 | 1,200 | 1,366 |
| BP Capital Markets plc | 4.500% | 10/1/20 | 3,275 | 3,688 |
| BP Capital Markets plc | 4.742% | 3/11/21 | 1,850 | 2,138 |
| BP Capital Markets plc | 3.561% | 11/1/21 | 1,550 | 1,645 |
| Cameron International Corp. | 6.375% | 7/15/18 | 425 | 500 |
| Cameron International Corp. | 4.500% | 6/1/21 | 350 | 383 |
| Canadian Natural Resources Ltd. | 5.700% | 5/15/17 | 2,500 | 2,988 |
| Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 650 | 678 |
| Cenovus Energy Inc. | 5.700% | 10/15/19 | 2,075 | 2,496 |
| Chevron Corp. | 4.950% | 3/3/19 | 2,025 | 2,431 |
| ConocoPhillips | 5.750% | 2/1/19 | 4,425 | 5,474 |
| ConocoPhillips | 6.000% | 1/15/20 | 2,475 | 3,114 |
| Devon Energy Corp. | 6.300% | 1/15/19 | 1,250 | 1,551 |
| Devon Energy Corp. | 4.000% | 7/15/21 | 1,175 | 1,289 |
| Diamond Offshore Drilling Inc. | 5.875% | 5/1/19 | 400 | 470 |
| Encana Corp. | 5.900% | 12/1/17 | 825 | 954 |
| Encana Corp. | 3.900% | 11/15/21 | 1,875 | 1,885 |
| Ensco plc | 4.700% | 3/15/21 | 3,375 | 3,689 |
| EOG Resources Inc. | 5.875% | 9/15/17 | 300 | 361 |
| EOG Resources Inc. | 5.625% | 6/1/19 | 1,400 | 1,675 |
| EOG Resources Inc. | 4.400% | 6/1/20 | 2,000 | 2,245 |
| EOG Resources Inc. | 4.100% | 2/1/21 | 1,890 | 2,082 |
| EQT Corp. | 6.500% | 4/1/18 | 1,500 | 1,729 |
| EQT Corp. | 8.125% | 6/1/19 | 1,075 | 1,293 |
| EQT Corp. | 4.875% | 11/15/21 | 1,175 | 1,206 |
| Halliburton Co. | 5.900% | 9/15/18 | 500 | 610 |
| Halliburton Co. | 6.150% | 9/15/19 | 1,500 | 1,847 |
| Halliburton Co. | 3.250% | 11/15/21 | 1,350 | 1,413 |
| Hess Corp. | 8.125% | 2/15/19 | 2,175 | 2,832 |
| Husky Energy Inc. | 7.250% | 12/15/19 | 1,750 | 2,203 |
| Marathon Oil Corp. | 6.000% | 10/1/17 | 1,200 | 1,417 |
| Marathon Oil Corp. | 5.900% | 3/15/18 | 2,050 | 2,419 |
| Marathon Petroleum Corp. | 5.125% | 3/1/21 | 950 | 1,039 |
| Nabors Industries Inc. | 6.150% | 2/15/18 | 750 | 868 |
| Nabors Industries Inc. | 9.250% | 1/15/19 | 2,700 | 3,472 |
| Nabors Industries Inc. | 5.000% | 9/15/20 | 650 | 702 |
| Nabors Industries Inc. | 4.625% | 9/15/21 | 2,000 | 2,101 |
| Noble Energy Inc. | 8.250% | 3/1/19 | 650 | 823 |
| Noble Energy Inc. | 4.150% | 12/15/21 | 2,400 | 2,512 |
| Noble Holding International Ltd. | 2.500% | 3/15/17 | 700 | 705 |
99
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Noble Holding International Ltd. | 4.625% | 3/1/21 | 725 | 783 |
| Occidental Petroleum Corp. | 4.100% | 2/1/21 | 1,900 | 2,111 |
| Petro-Canada | 6.050% | 5/15/18 | 1,725 | 2,085 |
| Petrohawk Energy Corp. | 7.250% | 8/15/18 | 600 | 686 |
| Petrohawk Energy Corp. | 6.250% | 6/1/19 | 2,050 | 2,317 |
| Pride International Inc. | 8.500% | 6/15/19 | 1,050 | 1,349 |
| Pride International Inc. | 6.875% | 8/15/20 | 1,000 | 1,220 |
| Rowan Cos. Inc. | 5.000% | 9/1/17 | 1,150 | 1,235 |
| Shell International Finance BV | 5.200% | 3/22/17 | 400 | 471 |
| Shell International Finance BV | 4.300% | 9/22/19 | 4,925 | 5,711 |
| Shell International Finance BV | 4.375% | 3/25/20 | 1,725 | 2,017 |
| 3 Southwestern Energy Co. | 4.100% | 3/15/22 | 1,775 | 1,773 |
| Suncor Energy Inc. | 6.100% | 6/1/18 | 2,625 | 3,206 |
| Talisman Energy Inc. | 7.750% | 6/1/19 | 700 | 877 |
| Talisman Energy Inc. | 3.750% | 2/1/21 | 1,400 | 1,410 |
| Total Capital International SA | 2.875% | 2/17/22 | 1,600 | 1,627 |
| Total Capital SA | 4.450% | 6/24/20 | 1,725 | 1,978 |
| Total Capital SA | 4.125% | 1/28/21 | 2,100 | 2,356 |
| Transocean Inc. | 6.000% | 3/15/18 | 1,950 | 2,184 |
| Transocean Inc. | 6.500% | 11/15/20 | 1,090 | 1,270 |
| Transocean Inc. | 6.375% | 12/15/21 | 2,450 | 2,884 |
| Valero Energy Corp. | 6.125% | 6/15/17 | 1,425 | 1,675 |
| Valero Energy Corp. | 9.375% | 3/15/19 | 1,200 | 1,593 |
| Valero Energy Corp. | 6.125% | 2/1/20 | 2,100 | 2,454 |
| Weatherford International Ltd. | 6.000% | 3/15/18 | 1,550 | 1,781 |
| Weatherford International Ltd. | 9.625% | 3/1/19 | 1,150 | 1,559 |
| Weatherford International Ltd. | 5.125% | 9/15/20 | 1,800 | 1,983 |
| Williams Cos. Inc. | 7.875% | 9/1/21 | 459 | 577 |
| XTO Energy Inc. | 6.250% | 8/1/17 | 547 | 680 |
| XTO Energy Inc. | 5.500% | 6/15/18 | 300 | 368 |
| XTO Energy Inc. | 6.500% | 12/15/18 | 200 | 257 |
| Other Industrial (0.1%) | ||||
| Cintas Corp. No 2 | 6.125% | 12/1/17 | 875 | 1,030 |
| Cornell University New York Revenue | 5.450% | 2/1/19 | 150 | 180 |
| Fluor Corp. | 3.375% | 9/15/21 | 700 | 710 |
| Technology (4.9%) | ||||
| Adobe Systems Inc. | 4.750% | 2/1/20 | 1,625 | 1,798 |
| Agilent Technologies Inc. | 6.500% | 11/1/17 | 1,500 | 1,796 |
| Amphenol Corp. | 4.000% | 2/1/22 | 450 | 463 |
| Applied Materials Inc. | 4.300% | 6/15/21 | 1,650 | 1,804 |
| Arrow Electronics Inc. | 5.125% | 3/1/21 | 300 | 310 |
| Avnet Inc. | 5.875% | 6/15/20 | 500 | 546 |
| BMC Software Inc. | 4.250% | 2/15/22 | 1,000 | 1,038 |
| Broadcom Corp. | 2.700% | 11/1/18 | 1,500 | 1,553 |
| CA Inc. | 5.375% | 12/1/19 | 1,825 | 2,012 |
| Cisco Systems Inc. | 3.150% | 3/14/17 | 2,100 | 2,292 |
| Cisco Systems Inc. | 4.950% | 2/15/19 | 2,300 | 2,715 |
| Cisco Systems Inc. | 4.450% | 1/15/20 | 4,950 | 5,726 |
| Computer Sciences Corp. | 6.500% | 3/15/18 | 1,475 | 1,571 |
| Corning Inc. | 4.250% | 8/15/20 | 1,150 | 1,240 |
| Dell Inc. | 5.650% | 4/15/18 | 1,725 | 2,020 |
| Dell Inc. | 5.875% | 6/15/19 | 250 | 296 |
| Dell Inc. | 4.625% | 4/1/21 | 1,275 | 1,426 |
| Fiserv Inc. | 6.800% | 11/20/17 | 1,325 | 1,568 |
100
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Fiserv Inc. | 4.625% | 10/1/20 | 1,275 | 1,339 |
| Google Inc. | 3.625% | 5/19/21 | 1,525 | 1,692 |
| Harris Corp. | 6.375% | 6/15/19 | 650 | 733 |
| Harris Corp. | 4.400% | 12/15/20 | 425 | 438 |
| Hewlett-Packard Co. | 5.400% | 3/1/17 | 1,100 | 1,249 |
| Hewlett-Packard Co. | 5.500% | 3/1/18 | 1,525 | 1,763 |
| Hewlett-Packard Co. | 3.750% | 12/1/20 | 2,025 | 2,077 |
| Hewlett-Packard Co. | 4.300% | 6/1/21 | 2,725 | 2,863 |
| Hewlett-Packard Co. | 4.375% | 9/15/21 | 1,675 | 1,766 |
| Hewlett-Packard Co. | 4.650% | 12/9/21 | 1,725 | 1,862 |
| Intel Corp. | 3.300% | 10/1/21 | 3,075 | 3,264 |
| International Business Machines Corp. | 5.700% | 9/14/17 | 5,675 | 6,910 |
| International Business Machines Corp. | 7.625% | 10/15/18 | 2,929 | 3,970 |
| International Business Machines Corp. | 2.900% | 11/1/21 | 1,550 | 1,608 |
| Juniper Networks Inc. | 4.600% | 3/15/21 | 90 | 97 |
| KLA-Tencor Corp. | 6.900% | 5/1/18 | 1,450 | 1,734 |
| Microsoft Corp. | 4.200% | 6/1/19 | 2,050 | 2,370 |
| Microsoft Corp. | 3.000% | 10/1/20 | 1,900 | 2,041 |
| Microsoft Corp. | 4.000% | 2/8/21 | 50 | 57 |
| National Semiconductor Corp. | 6.600% | 6/15/17 | 1,400 | 1,740 |
| Nokia Oyj | 5.375% | 5/15/19 | 2,875 | 2,934 |
| Oracle Corp. | 5.750% | 4/15/18 | 4,699 | 5,765 |
| Oracle Corp. | 5.000% | 7/8/19 | 2,575 | 3,071 |
| Oracle Corp. | 3.875% | 7/15/20 | 1,900 | 2,126 |
| Pitney Bowes Inc. | 5.750% | 9/15/17 | 500 | 542 |
| Pitney Bowes Inc. | 6.250% | 3/15/19 | 1,429 | 1,549 |
| SAIC Inc. | 4.450% | 12/1/20 | 150 | 160 |
| Symantec Corp. | 4.200% | 9/15/20 | 625 | 651 |
| Tyco Electronics Group SA | 6.550% | 10/1/17 | 1,300 | 1,528 |
| Tyco Electronics Group SA | 3.500% | 2/3/22 | 1,775 | 1,775 |
| Xerox Corp. | 6.350% | 5/15/18 | 2,275 | 2,619 |
| Xerox Corp. | 5.625% | 12/15/19 | 375 | 413 |
| Xerox Corp. | 4.500% | 5/15/21 | 1,875 | 1,917 |
| Transportation (2.0%) | ||||
| 1 American Airlines 2011-1 Class A | ||||
| Pass Through Trust | 5.250% | 1/31/21 | 146 | 145 |
| 1 American Airlines 2011-2 Class A | ||||
| Pass Through Trust | 8.625% | 10/15/21 | 1,675 | 1,767 |
| 1 American Airlines Pass Through Trust 2009-1A | 10.375% | 7/2/19 | 651 | 705 |
| Burlington Northern Santa Fe LLC | 5.650% | 5/1/17 | 950 | 1,114 |
| Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 4,200 | 4,977 |
| Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 500 | 518 |
| Canadian National Railway Co. | 5.550% | 3/1/19 | 725 | 870 |
| Canadian National Railway Co. | 2.850% | 12/15/21 | 1,250 | 1,268 |
| Canadian Pacific Railway Co. | 6.500% | 5/15/18 | 250 | 288 |
| Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 1,050 | 1,251 |
| Con-way Inc. | 7.250% | 1/15/18 | 200 | 230 |
| 1 Continental Airlines 2009-2 Class A | ||||
| Pass Through Trust | 7.250% | 11/10/19 | 185 | 207 |
| 1 Continental Airlines 2010-1 Class A | ||||
| Pass Through Trust | 4.750% | 1/12/21 | 588 | 619 |
| CSX Corp. | 7.375% | 2/1/19 | 3,000 | 3,785 |
| CSX Corp. | 3.700% | 10/30/20 | 750 | 785 |
| CSX Corp. | 4.250% | 6/1/21 | 1,250 | 1,367 |
101
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| 1 Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 12/17/19 | 1,491 | 1,681 |
| 1 Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 7/2/18 | 450 | 490 |
| 1 Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 5/23/19 | 1,620 | 1,718 |
| FedEx Corp. | 8.000% | 1/15/19 | 1,150 | 1,514 |
| Norfolk Southern Corp. | 5.750% | 4/1/18 | 200 | 238 |
| Norfolk Southern Corp. | 5.900% | 6/15/19 | 1,700 | 2,057 |
| Norfolk Southern Corp. | 3.250% | 12/1/21 | 1,975 | 2,035 |
| Ryder System Inc. | 3.500% | 6/1/17 | 1,225 | 1,279 |
| Union Pacific Corp. | 6.125% | 2/15/20 | 1,150 | 1,400 |
| Union Pacific Corp. | 4.000% | 2/1/21 | 500 | 546 |
| Union Pacific Corp. | 4.163% | 7/15/22 | 687 | 756 |
| United Parcel Service Inc. | 5.500% | 1/15/18 | 1,150 | 1,391 |
| United Parcel Service Inc. | 5.125% | 4/1/19 | 600 | 726 |
| United Parcel Service Inc. | 3.125% | 1/15/21 | 3,400 | 3,657 |
| 1,044,520 | ||||
| Utilities (10.5%) | ||||
| Electric (6.2%) | ||||
| Ameren Illinois Co. | 9.750% | 11/15/18 | 550 | 731 |
| Appalachian Power Co. | 7.950% | 1/15/20 | 700 | 931 |
| Appalachian Power Co. | 4.600% | 3/30/21 | 2,950 | 3,246 |
| Arizona Public Service Co. | 8.750% | 3/1/19 | 500 | 650 |
| Carolina Power & Light Co. | 5.300% | 1/15/19 | 1,425 | 1,693 |
| Carolina Power & Light Co. | 3.000% | 9/15/21 | 300 | 309 |
| CenterPoint Energy Inc. | 6.500% | 5/1/18 | 600 | 709 |
| Cleveland Electric Illuminating Co. | 5.700% | 4/1/17 | 1,000 | 1,132 |
| Commonwealth Edison Co. | 5.800% | 3/15/18 | 655 | 780 |
| Commonwealth Edison Co. | 4.000% | 8/1/20 | 1,325 | 1,445 |
| Consolidated Edison Co. of New York Inc. | 5.850% | 4/1/18 | 600 | 738 |
| Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 1,100 | 1,437 |
| Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 1,725 | 1,971 |
| Constellation Energy Group Inc. | 5.150% | 12/1/20 | 900 | 1,009 |
| Consumers Energy Co. | 6.700% | 9/15/19 | 1,525 | 1,952 |
| Consumers Energy Co. | 5.650% | 4/15/20 | 1,075 | 1,278 |
| Detroit Edison Co. | 3.900% | 6/1/21 | 475 | 518 |
| Dominion Resources Inc. | 8.875% | 1/15/19 | 1,975 | 2,686 |
| Dominion Resources Inc. | 5.200% | 8/15/19 | 2,925 | 3,419 |
| Dominion Resources Inc. | 4.450% | 3/15/21 | 2,875 | 3,234 |
| Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 1,300 | 1,687 |
| Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 1,375 | 1,567 |
| Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 525 | 579 |
| Duke Energy Corp. | 6.250% | 6/15/18 | 695 | 844 |
| Duke Energy Corp. | 5.050% | 9/15/19 | 2,395 | 2,760 |
| Duke Energy Indiana Inc. | 3.750% | 7/15/20 | 1,000 | 1,086 |
| Edison International | 3.750% | 9/15/17 | 800 | 855 |
| Entergy Arkansas Inc. | 3.750% | 2/15/21 | 1,175 | 1,211 |
| Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 950 | 1,099 |
| Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 325 | 341 |
| Entergy Louisiana LLC | 6.500% | 9/1/18 | 450 | 542 |
| Exelon Generation Co. LLC | 6.200% | 10/1/17 | 900 | 1,061 |
| Exelon Generation Co. LLC | 4.000% | 10/1/20 | 4,150 | 4,359 |
| FirstEnergy Solutions Corp. | 6.050% | 8/15/21 | 3,425 | 3,920 |
| Florida Power Corp. | 5.650% | 6/15/18 | 1,800 | 2,169 |
| Georgia Power Co. | 5.700% | 6/1/17 | 200 | 240 |
| Georgia Power Co. | 4.250% | 12/1/19 | 1,775 | 1,978 |
| Great Plains Energy Inc. | 4.850% | 6/1/21 | 1,200 | 1,285 |
102
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Kansas City Power & Light Co. | 7.150% | 4/1/19 | 1,200 | 1,508 |
| Kentucky Utilities Co. | 3.250% | 11/1/20 | 925 | 960 |
| LG&E and KU Energy LLC | 3.750% | 11/15/20 | 195 | 198 |
| MidAmerican Energy Holdings Co. | 5.750% | 4/1/18 | 3,000 | 3,553 |
| National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 300 | 345 |
| National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 3,550 | 5,199 |
| National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 1,000 | 1,010 |
| Nevada Power Co. | 6.500% | 8/1/18 | 685 | 842 |
| Nevada Power Co. | 7.125% | 3/15/19 | 1,550 | 1,960 |
| NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 350 | 411 |
| NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 1,275 | 1,372 |
| 1 NextEra Energy Capital Holdings Inc. | 6.650% | 6/15/67 | 425 | 433 |
| 1 NextEra Energy Capital Holdings Inc. | 7.300% | 9/1/67 | 500 | 530 |
| Northern States Power Co. | 5.250% | 3/1/18 | 1,350 | 1,602 |
| NSTAR | 4.500% | 11/15/19 | 744 | 821 |
| Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 1,275 | 1,560 |
| Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 1,900 | 2,271 |
| Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 650 | 876 |
| Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 1,200 | 1,268 |
| Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 825 | 913 |
| PacifiCorp | 3.850% | 6/15/21 | 1,900 | 2,068 |
| Pennsylvania Electric Co. | 6.050% | 9/1/17 | 1,400 | 1,640 |
| Pennsylvania Electric Co. | 5.200% | 4/1/20 | 350 | 393 |
| PPL Energy Supply LLC | 6.500% | 5/1/18 | 1,200 | 1,382 |
| PPL Energy Supply LLC | 4.600% | 12/15/21 | 3,025 | 3,140 |
| Progress Energy Inc. | 7.050% | 3/15/19 | 700 | 877 |
| Progress Energy Inc. | 4.875% | 12/1/19 | 850 | 960 |
| Progress Energy Inc. | 4.400% | 1/15/21 | 1,585 | 1,752 |
| PSEG Power LLC | 5.125% | 4/15/20 | 1,500 | 1,673 |
| Public Service Co. of Colorado | 5.125% | 6/1/19 | 1,850 | 2,183 |
| Public Service Co. of Oklahoma | 4.400% | 2/1/21 | 500 | 547 |
| Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 375 | 398 |
| San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 200 | 208 |
| SCANA Corp. | 4.750% | 5/15/21 | 1,500 | 1,599 |
| SCANA Corp. | 4.125% | 2/1/22 | 950 | 961 |
| Southern California Edison Co. | 5.500% | 8/15/18 | 100 | 122 |
| Southern California Edison Co. | 3.875% | 6/1/21 | 2,200 | 2,438 |
| Southwestern Electric Power Co. | 5.875% | 3/1/18 | 300 | 348 |
| Southwestern Electric Power Co. | 6.450% | 1/15/19 | 1,600 | 1,904 |
| TECO Finance Inc. | 6.572% | 11/1/17 | 1,000 | 1,191 |
| TransAlta Corp. | 6.650% | 5/15/18 | 550 | 643 |
| Tucson Electric Power Co. | 5.150% | 11/15/21 | 200 | 215 |
| UIL Holdings Corp. | 4.625% | 10/1/20 | 150 | 155 |
| Union Electric Co. | 6.400% | 6/15/17 | 1,440 | 1,737 |
| Union Electric Co. | 6.700% | 2/1/19 | 1,650 | 1,999 |
| Westar Energy Inc. | 8.625% | 12/1/18 | 1,094 | 1,439 |
| 1 Wisconsin Energy Corp. | 6.250% | 5/15/67 | 1,050 | 1,074 |
| Xcel Energy Inc. | 4.700% | 5/15/20 | 2,400 | 2,707 |
| Natural Gas (4.0%) | ||||
| AGL Capital Corp. | 5.250% | 8/15/19 | 300 | 345 |
| AGL Capital Corp. | 3.500% | 9/15/21 | 425 | 426 |
| Atmos Energy Corp. | 8.500% | 3/15/19 | 425 | 563 |
| Boardwalk Pipelines LP | 5.750% | 9/15/19 | 500 | 552 |
| Buckeye Partners LP | 4.875% | 2/1/21 | 2,425 | 2,556 |
103
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| CenterPoint Energy Resources Corp. | 6.000% | 5/15/18 | 600 | 696 |
| CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 2,200 | 2,351 |
| El Paso Natural Gas Co. | 5.950% | 4/15/17 | 1,350 | 1,499 |
| El Paso Natural Gas Co. | 8.625% | 1/15/22 | 150 | 186 |
| Enbridge Energy Partners LP | 6.500% | 4/15/18 | 400 | 474 |
| Enbridge Energy Partners LP | 9.875% | 3/1/19 | 1,100 | 1,483 |
| Enbridge Energy Partners LP | 5.200% | 3/15/20 | 250 | 279 |
| Enbridge Energy Partners LP | 4.200% | 9/15/21 | 900 | 957 |
| Energy Transfer Partners LP | 6.700% | 7/1/18 | 500 | 572 |
| Energy Transfer Partners LP | 9.700% | 3/15/19 | 1,089 | 1,402 |
| Energy Transfer Partners LP | 9.000% | 4/15/19 | 1,207 | 1,507 |
| Energy Transfer Partners LP | 4.650% | 6/1/21 | 1,800 | 1,887 |
| Energy Transfer Partners LP | 5.200% | 2/1/22 | 700 | 751 |
| Enterprise Products Operating LLC | 6.300% | 9/15/17 | 1,925 | 2,281 |
| Enterprise Products Operating LLC | 6.500% | 1/31/19 | 2,125 | 2,540 |
| Enterprise Products Operating LLC | 5.200% | 9/1/20 | 1,500 | 1,702 |
| Enterprise Products Operating LLC | 4.050% | 2/15/22 | 875 | 932 |
| Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 900 | 1,071 |
| Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 275 | 357 |
| Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 5,150 | 6,167 |
| Magellan Midstream Partners LP | 6.550% | 7/15/19 | 2,271 | 2,728 |
| Magellan Midstream Partners LP | 4.250% | 2/1/21 | 1,200 | 1,272 |
| National Fuel Gas Co. | 4.900% | 12/1/21 | 1,175 | 1,217 |
| Nisource Finance Corp. | 6.400% | 3/15/18 | 3,500 | 4,139 |
| Nisource Finance Corp. | 6.800% | 1/15/19 | 450 | 540 |
| Nisource Finance Corp. | 5.450% | 9/15/20 | 450 | 504 |
| NuStar Logistics LP | 7.650% | 4/15/18 | 500 | 589 |
| NuStar Logistics LP | 4.800% | 9/1/20 | 900 | 923 |
| ONEOK Inc. | 4.250% | 2/1/22 | 1,475 | 1,521 |
| ONEOK Partners LP | 8.625% | 3/1/19 | 1,475 | 1,900 |
| Panhandle Eastern Pipeline Co. LP | 6.200% | 11/1/17 | 1,425 | 1,621 |
| Panhandle Eastern Pipeline Co. LP | 7.000% | 6/15/18 | 750 | 882 |
| Plains All American Pipeline LP / | ||||
| PAA Finance Corp. | 6.500% | 5/1/18 | 1,400 | 1,684 |
| Plains All American Pipeline LP / | ||||
| PAA Finance Corp. | 5.750% | 1/15/20 | 800 | 932 |
| Plains All American Pipeline LP / | ||||
| PAA Finance Corp. | 5.000% | 2/1/21 | 1,534 | 1,724 |
| Sempra Energy | 6.150% | 6/15/18 | 600 | 720 |
| Sempra Energy | 9.800% | 2/15/19 | 650 | 890 |
| 3 Southern Natural Gas Co. | 5.900% | 4/1/17 | 700 | 794 |
| Southern Natural Gas Co. / | ||||
| Southern Natural Issuing Corp. | 4.400% | 6/15/21 | 450 | 466 |
| Spectra Energy Capital LLC | 6.200% | 4/15/18 | 1,100 | 1,278 |
| Spectra Energy Capital LLC | 8.000% | 10/1/19 | 800 | 1,020 |
| Sunoco Logistics Partners Operations LP | 4.650% | 2/15/22 | 1,075 | 1,137 |
| Tennessee Gas Pipeline Co. | 7.500% | 4/1/17 | 450 | 532 |
| TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 1,975 | 2,462 |
| TransCanada PipeLines Ltd. | 7.125% | 1/15/19 | 1,117 | 1,437 |
| TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 3,225 | 3,497 |
| 1 TransCanada PipeLines Ltd. | 6.350% | 5/15/67 | 1,500 | 1,541 |
| Williams Partners LP | 5.250% | 3/15/20 | 2,325 | 2,639 |
| Williams Partners LP | 4.125% | 11/15/20 | 2,000 | 2,114 |
| Williams Partners LP | 4.000% | 11/15/21 | 1,400 | 1,465 |
104
Intermediate-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Other Utility (0.1%) | ||||
| American Water Capital Corp. | 6.085% | 10/15/17 | 450 | 527 |
| Veolia Environnement SA | 6.000% | 6/1/18 | 675 | 752 |
| 199,819 | ||||
| Total Corporate Bonds (Cost $1,832,344) | 1,893,993 | |||
| Taxable Municipal Bonds (0.1%) | ||||
| California Educational Facilities Authority Revenue | ||||
| (Stanford University) | 4.750% | 5/1/19 | 150 | 176 |
| Maryland Health & Higher Educational Facilities | ||||
| Authority Revenue (Johns Hopkins University) | 5.250% | 7/1/19 | 290 | 345 |
| New Hampshire Health & Educational Facilities | ||||
| Authority Revenue (Dartmouth College) | 4.750% | 6/1/19 | 200 | 234 |
| Total Taxable Municipal Bonds (Cost $689) | 755 | |||
| Shares | ||||
| Temporary Cash Investment (2.2%) | ||||
| Money Market Fund (2.2%) | ||||
| 4 Vanguard Market Liquidity Fund (Cost $43,777) | 0.111% | 43,777,725 | 43,777 | |
| Total Investments (100.2%) (Cost $1,885,209) | 1,946,924 | |||
| Other Assets and Liabilities (-0.2%) | ||||
| Other Assets | 44,625 | |||
| Liabilities | (48,776) | |||
| (4,151) | ||||
| Net Assets (100%) | 1,942,773 | |||
105
Intermediate-Term Corporate Bond Index Fund
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 1,879,349 |
| Undistributed Net Investment Income | 30 |
| Accumulated Net Realized Gains | 1,668 |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 61,715 |
| Futures Contracts | 11 |
| Net Assets | 1,942,773 |
| Signal Shares—Net Assets | |
| Applicable to 1,900,833 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 43,067 |
| Net Asset Value Per Share—Signal Shares | $22.66 |
| Institutional Shares—Net Assets | |
| Applicable to 5,139,392 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 143,925 |
| Net Asset Value Per Share—Institutional Shares | $28.00 |
| ETF Shares—Net Assets | |
| Applicable to 20,900,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,755,781 |
| Net Asset Value Per Share—ETF Shares | $84.01 |
See Note A in Notes to Financial Statements.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
2 Securities with a value of $175,000 have been segregated as initial margin for open futures contracts.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012, the aggregate value of these securities was $11,280,000, representing 0.6% of net assets.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
106
Intermediate-Term Corporate Bond Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 22,252 |
| Total Income | 22,252 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 21 |
| Management and Administrative—Signal Shares | 17 |
| Management and Administrative—Institutional Shares | 34 |
| Management and Administrative—ETF Shares | 527 |
| Marketing and Distribution—Signal Shares | 2 |
| Marketing and Distribution—Institutional Shares | 12 |
| Marketing and Distribution—ETF Shares | 103 |
| Custodian Fees | 5 |
| Shareholders’ Reports—Signal Shares | — |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 24 |
| Total Expenses | 745 |
| Net Investment Income | 21,507 |
| Realized Net Gain (Loss) on Investment Securities Sold | 1,843 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 41,419 |
| Futures Contracts | 11 |
| Change in Unrealized Appreciation (Depreciation) | 41,430 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 64,780 |
| 1 Interest income from an affiliated company of the fund was $8,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
107
Intermediate-Term Corporate Bond Index Fund
| Statement of Changes in Net Assets | ||
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 21,507 | 19,805 |
| Realized Net Gain (Loss) | 1,843 | 2,733 |
| Change in Unrealized Appreciation (Depreciation) | 41,430 | 5,982 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 64,780 | 28,520 |
| Distributions | ||
| Net Investment Income | ||
| Signal Shares | (574) | (177) |
| Institutional Shares | (2,019) | (1,726) |
| ETF Shares | (18,819) | (17,939) |
| Realized Capital Gain1 | ||
| Signal Shares | (24) | (15) |
| Institutional Shares | (73) | (86) |
| ETF Shares | (699) | (1,338) |
| Return of Capital | ||
| Total Distributions | (22,208) | (21,281) |
| Capital Share Transactions | ||
| Signal Shares | 35,112 | 4,567 |
| Institutional Shares | 56,936 | 68,419 |
| ETF Shares | 993,675 | 445,610 |
| Net Increase (Decrease) from Capital Share Transactions | 1,085,723 | 518,596 |
| Total Increase (Decrease) | 1,128,295 | 525,835 |
| Net Assets | ||
| Beginning of Period | 814,478 | 288,643 |
| End of Period2 | 1,942,773 | 814,478 |
1 Includes fiscal 2012 and 2011 short-term gain distributions totaling $0 and $1,439,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $30,000 and ($65,000).
See accompanying Notes, which are an integral part of the Financial Statements.
108
Intermediate-Term Corporate Bond Index Fund
Financial Highlights
| Signal Shares | |||
| Six Months | Year | March 2, | |
| Ended | Ended | 20101 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $21.98 | $21.76 | $20.43 |
| Investment Operations | |||
| Net Investment Income | .409 | .876 | .441 |
| Net Realized and Unrealized Gain (Loss) on Investments2 | .695 | .312 | 1.345 |
| Total from Investment Operations | 1.104 | 1.188 | 1.786 |
| Distributions | |||
| Dividends from Net Investment Income | (.407) | (.875) | (.456) |
| Distributions from Realized Capital Gains | (.017) | (.093) | — |
| Total Distributions | (.424) | (.968) | (.456) |
| Net Asset Value, End of Period | $22.66 | $21.98 | $21.76 |
| Total Return3 | 5.10% | 5.65% | 8.86% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $43 | $7 | $2 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15%4 |
| Ratio of Net Investment Income to Average Net Assets | 3.90% | 4.15% | 4.60%4 |
| Portfolio Turnover Rate5 | 95% | 80% | 61% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Includes increases from purchase fees of $.02, $.02, and $.00.
3 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
4 Annualized.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
109
Intermediate-Term Corporate Bond Index Fund
Financial Highlights
| Institutional Shares | |||
| Six Months | Year | Nov. 19, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $27.17 | $26.90 | $24.97 |
| Investment Operations | |||
| Net Investment Income | .512 | 1.098 | .850 |
| Net Realized and Unrealized Gain (Loss) on Investments2 | .848 | .383 | 1.933 |
| Total from Investment Operations | 1.360 | 1.481 | 2.783 |
| Distributions | |||
| Dividends from Net Investment Income | (.509) | (1.097) | (.853) |
| Distributions from Realized Capital Gains | (.021) | (.114) | — |
| Total Distributions | (.530) | (1.211) | (.853) |
| Net Asset Value, End of Period | $28.00 | $27.17 | $26.90 |
| Total Return3 | 5.08% | 5.70% | 11.38% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $144 | $82 | $12 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09%4 |
| Ratio of Net Investment Income to Average Net Assets | 3.95% | 4.20% | 4.66%4 |
| Portfolio Turnover Rate5 | 95% | 80% | 61% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Includes increases from purchase fess of $.02, $.02, and $.00.
3 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
4 Annualized.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
110
Intermediate-Term Corporate Bond Index Fund
Financial Highlights
| ETF Shares | |||
| Six Months | Year | Nov. 19, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $81.49 | $80.67 | $74.90 |
| Investment Operations | |||
| Net Investment Income | 1.516 | 3.249 | 2.519 |
| Net Realized and Unrealized Gain (Loss) on Investments2 | 2.575 | 1.162 | 5.778 |
| Total from Investment Operations | 4.091 | 4.411 | 8.297 |
| Distributions | |||
| Dividends from Net Investment Income | (1.508) | (3.248) | (2.527) |
| Distributions from Realized Capital Gains | (.063) | (.343) | — |
| Total Distributions | (1.571) | (3.591) | (2.527) |
| Net Asset Value, End of Period | $84.01 | $81.49 | $80.67 |
| Total Return | 5.09% | 5.65% | 11.30% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $1,756 | $725 | $274 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15%3 |
| Ratio of Net Investment Income to Average Net Assets | 3.90% | 4.15% | 4.60%3 |
| Portfolio Turnover Rate4 | 95% | 80% | 61% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Includes increases from purchase fees of $.09, $.06, and $.01.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
111
Intermediate-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Corporate Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers three classes of shares: Signal Shares, Institutional Shares, and ETF Shares. Signal Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued based upon their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2010–2011), and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on purchases of capital shares are credited to paid-in capital.
112
Intermediate-Term Corporate Bond Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $212,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.08% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 8,399 | — |
| Corporate Bonds | — | 1,893,993 | — |
| Taxable Municipal Bonds | — | 755 | — |
| Temporary Cash Investments | 43,777 | — | — |
| Futures Contracts—Assets1 | 139 | — | — |
| Futures Contracts—Liabilities1 | (97) | ||
| Total | 43,819 | 1,903,147 | — |
| 1 Represents variation margin on the last day of the reporting period. | |||
113
Intermediate-Term Corporate Bond Index Fund
D. At February 29, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| 5-Year U.S. Treasury Note | June 2012 | 113 | 13,919 | (18) |
| 10-Year U.S. Treasury Note | June 2012 | (72) | (9,429) | 29 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
At February 29, 2012, the cost of investment securities for tax purposes was $1,885,211,000. Net unrealized appreciation of investment securities for tax purposes was $61,713,000, consisting of unrealized gains of $63,021,000 on securities that had risen in value since their purchase and $1,308,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2012, the fund purchased $1,229,293,000 of investment securities and sold $169,806,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $366,310,000 and $363,578,000, respectively.
114
Intermediate-Term Corporate Bond Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Signal Shares | ||||
| Issued1 | 35,546 | 1,606 | 5,732 | 263 |
| Issued in Lieu of Cash Distributions | 579 | 26 | 191 | 9 |
| Redeemed | (1,013) | (45) | (1,356) | (62) |
| Net Increase (Decrease)—Signal Shares | 35,112 | 1,587 | 4,567 | 210 |
| Institutional Shares | ||||
| Issued1 | 68,695 | 2,533 | 67,412 | 2,543 |
| Issued in Lieu of Cash Distributions | 1,988 | 73 | 1,671 | 63 |
| Redeemed | (13,747) | (498) | (664) | (25) |
| Net Increase (Decrease)—Institutional Shares | 56,936 | 2,108 | 68,419 | 2,581 |
| ETF Shares | ||||
| Issued1 | 993,675 | 12,000 | 532,385 | 6,600 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (86,775) | (1,100) |
| Net Increase (Decrease)—ETF Shares | 993,675 | 12,000 | 445,610 | 5,500 |
| 1 Includes purchase fees for fiscal 2012 and 2011 of $848,000 and $620,000, respectively (fund totals). | ||||
H. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
115
Long-Term Corporate Bond Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | |||
| Signal | Institutional | ETF | |
| Shares | Shares | Shares | |
| Ticker Symbol | VLTCX | VLCIX | VCLT |
| Expense Ratio1 | 0.14% | 0.09% | 0.14% |
| 30-Day SEC Yield | 4.68% | 4.73% | 4.68% |
| Financial Attributes | |||
| Barclays | |||
| 10+ Year | Barclays | ||
| Corporate | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 791 | 1,126 | 7,819 |
| Yield to Maturity | |||
| (before expenses) | 4.8% | 4.9% | 2.1% |
| Average Coupon | 6.3% | 6.4% | 3.9% |
| Average Duration | 13.5 years | 13.5 years | 5.1 years |
| Average Effective | |||
| Maturity | 24.8 years | 24.6 years | 7.2 years |
| Short-Term | |||
| Reserves | 1.0% | — | — |
| Sector Diversification (% of portfolio) | |
| Finance | 20.0% |
| Industrial | 61.8 |
| Treasury/Agency | 1.2 |
| Utilities | 16.9 |
| Other | 0.1 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| Distribution by Maturity (% of portfolio) | |
| Under 1 Year | 0.5% |
| 1 - 3 Years | 0.2 |
| 3 - 5 Years | 0.1 |
| 5 - 10 Years | 1.0 |
| 10 - 20 Years | 14.1 |
| 20 - 30 Years | 83.2 |
| Over 30 Years | 0.9 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 1.2% |
| Aaa | 1.1 |
| Aa | 9.7 |
| A | 43.9 |
| Baa | 44.1 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares.
116
Long-Term Corporate Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2012 | ||
| Barclays | ||
| 10+ Year | ||
| Corporate | ||
| ETF Shares Net Asset Value | Index | |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 14.54% | 14.46% |
| 2011 | 4.19 | 5.18 |
| 2012 | 10.74 | 10.30 |
| Note: For 2012, performance data reflect the six months ended February 29, 2012. | ||
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Since Inception | |||||
| Inception Date | One Year | Income | Capital | Total | |
| Signal Shares | 1/19/2010 | 15.90% | 5.89% | 7.09% | 12.98% |
| Fee-Adjusted | |||||
| Returns | 14.74 | 12.40 | |||
| Institutional Shares | 11/19/2009 | 15.97 | 5.81 | 6.70 | 12.51 |
| Fee-Adjusted | |||||
| Returns | 14.81 | 11.97 | |||
| ETF Shares | 11/19/2009 | ||||
| Market Price | 17.55 | 13.29 | |||
| Net Asset Value | 15.86 | 12.42 |
Fee-adjusted returns reflect the 1.00% fee on purchases of fund shares. The fee does not apply to the ETF Shares.
See Financial Highlights for dividend and capital gains information.
117
Long-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| U.S. Government and Agency Obligations (1.5%) | |||||
| U.S. Government Securities (1.5%) | |||||
| United States Treasury Note/Bond | 1.125% | 12/15/12 | 835 | 841 | |
| United States Treasury Note/Bond | 1.375% | 1/15/13 | 950 | 960 | |
| United States Treasury Note/Bond | 3.875% | 2/15/13 | 1,665 | 1,723 | |
| United States Treasury Note/Bond | 1.375% | 3/15/13 | 950 | 961 | |
| United States Treasury Note/Bond | 2.000% | 11/15/21 | 590 | 593 | |
| United States Treasury Note/Bond | 2.000% | 2/15/22 | 1,045 | 1,047 | |
| United States Treasury Note/Bond | 5.375% | 2/15/31 | 2,875 | 4,002 | |
| United States Treasury Note/Bond | 4.250% | 5/15/39 | 1,250 | 1,538 | |
| United States Treasury Note/Bond | 3.125% | 11/15/41 | 675 | 679 | |
| Total U.S. Government and Agency Obligations (Cost $12,351) | 12,344 | ||||
| Corporate Bonds (97.1%) | |||||
| Finance (19.6%) | |||||
| Banking (10.7%) | |||||
| 1 | Abbey National Capital Trust I | 8.963% | 12/29/49 | 225 | 224 |
| American Express Co. | 8.150% | 3/19/38 | 980 | 1,447 | |
| Bank of America Corp. | 4.500% | 4/1/15 | 350 | 357 | |
| Bank of America Corp. | 5.875% | 2/7/42 | 775 | 769 | |
| Bank of America NA | 6.000% | 10/15/36 | 1,650 | 1,620 | |
| Bank One Capital III | 8.750% | 9/1/30 | 225 | 306 | |
| Bank One Corp. | 7.625% | 10/15/26 | 1,175 | 1,431 | |
| BB&T Capital Trust II | 6.750% | 6/7/36 | 750 | 761 | |
| 1 | BB&T Capital Trust IV | 6.820% | 6/12/77 | 475 | 479 |
| 1 | Capital One Capital III | 7.686% | 8/1/66 | 675 | 683 |
| Capital One Capital IV | 6.745% | 2/17/37 | 350 | 354 | |
| Capital One Capital V | 10.250% | 8/15/39 | 375 | 391 | |
| Capital One Capital VI | 8.875% | 5/15/40 | 1,050 | 1,085 | |
| 1 | Citigroup Capital XXI | 8.300% | 12/21/57 | 2,050 | 2,101 |
| Citigroup Inc. | 6.625% | 6/15/32 | 1,050 | 1,102 | |
| Citigroup Inc. | 5.875% | 2/22/33 | 950 | 912 | |
| Citigroup Inc. | 6.000% | 10/31/33 | 700 | 703 | |
| Citigroup Inc. | 5.850% | 12/11/34 | 1,190 | 1,250 | |
| Citigroup Inc. | 6.125% | 8/25/36 | 1,350 | 1,335 | |
| Citigroup Inc. | 5.875% | 5/29/37 | 800 | 847 | |
| Citigroup Inc. | 6.875% | 3/5/38 | 2,375 | 2,808 | |
| Citigroup Inc. | 8.125% | 7/15/39 | 2,500 | 3,338 | |
| Citigroup Inc. | 5.875% | 1/30/42 | 1,050 | 1,133 | |
118
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Cooperatieve Centrale | ||||
| Raiffeisen-Boerenleenbank BA | 5.250% | 5/24/41 | 1,550 | 1,631 |
| Credit Suisse USA Inc. | 7.125% | 7/15/32 | 900 | 1,098 |
| Fifth Third Bancorp | 8.250% | 3/1/38 | 932 | 1,196 |
| FleetBoston Financial Corp. | 6.700% | 7/15/28 | 100 | 96 |
| Goldman Sachs Capital I | 6.345% | 2/15/34 | 2,350 | 2,200 |
| Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 650 | 663 |
| Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 800 | 788 |
| Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 2,025 | 2,033 |
| Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 1,425 | 1,387 |
| Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 4,575 | 4,551 |
| Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 2,300 | 2,368 |
| HSBC Bank USA NA | 5.875% | 11/1/34 | 1,925 | 1,969 |
| HSBC Bank USA NA | 7.000% | 1/15/39 | 475 | 548 |
| HSBC Holdings plc | 6.500% | 5/2/36 | 2,100 | 2,321 |
| HSBC Holdings plc | 6.500% | 9/15/37 | 2,500 | 2,774 |
| HSBC Holdings plc | 6.800% | 6/1/38 | 1,200 | 1,371 |
| HSBC Holdings plc | 6.100% | 1/14/42 | 975 | 1,153 |
| 1 JP Morgan Chase Capital XVIII | 6.950% | 8/1/66 | 600 | 608 |
| 1 JP Morgan Chase Capital XX | 6.550% | 9/15/66 | 1,275 | 1,268 |
| 1 JP Morgan Chase Capital XXII | 6.450% | 1/15/87 | 675 | 678 |
| JP Morgan Chase Capital XXV | 6.800% | 10/1/37 | 1,400 | 1,418 |
| JPMorgan Chase & Co. | 6.400% | 5/15/38 | 1,955 | 2,322 |
| JPMorgan Chase & Co. | 5.500% | 10/15/40 | 1,000 | 1,078 |
| JPMorgan Chase & Co. | 5.600% | 7/15/41 | 2,300 | 2,533 |
| JPMorgan Chase & Co. | 5.400% | 1/6/42 | 550 | 585 |
| JPMorgan Chase Capital XXVII | 7.000% | 11/1/39 | 1,500 | 1,510 |
| Merrill Lynch & Co. Inc. | 6.220% | 9/15/26 | 310 | 305 |
| Merrill Lynch & Co. Inc. | 6.110% | 1/29/37 | 1,625 | 1,543 |
| Merrill Lynch & Co. Inc. | 7.750% | 5/14/38 | 2,575 | 2,794 |
| Morgan Stanley | 6.000% | 9/27/25 | 300 | 292 |
| 1 Morgan Stanley | 6.250% | 8/9/26 | 1,100 | 1,109 |
| Morgan Stanley | 7.250% | 4/1/32 | 575 | 627 |
| Santander UK plc | 7.950% | 10/26/29 | 1,418 | 1,432 |
| 1 SunTrust Capital VIII | 6.100% | 12/1/66 | 450 | 447 |
| UBS AG | 5.750% | 4/25/18 | 600 | 663 |
| US Bancorp | 3.000% | 3/15/22 | 250 | 250 |
| USB Capital XIII Trust | 6.625% | 12/15/39 | 1,025 | 1,036 |
| Wachovia Bank NA | 5.850% | 2/1/37 | 1,175 | 1,298 |
| Wachovia Bank NA | 6.600% | 1/15/38 | 2,060 | 2,473 |
| Wachovia Corp. | 5.500% | 8/1/35 | 1,540 | 1,593 |
| Wells Fargo & Co. | 5.375% | 2/7/35 | 960 | 1,056 |
| Wells Fargo Bank NA | 5.950% | 8/26/36 | 1,275 | 1,423 |
| Wells Fargo Capital X | 5.950% | 12/1/86 | 600 | 602 |
| Brokerage (0.1%) | ||||
| Jefferies Group Inc. | 6.250% | 1/15/36 | 650 | 562 |
| Finance Companies (2.5%) | ||||
| General Electric Capital Corp. | 5.550% | 1/5/26 | 475 | 503 |
| General Electric Capital Corp. | 6.750% | 3/15/32 | 6,730 | 8,072 |
| General Electric Capital Corp. | 6.150% | 8/7/37 | 1,675 | 1,887 |
| General Electric Capital Corp. | 5.875% | 1/14/38 | 4,425 | 4,954 |
| General Electric Capital Corp. | 6.875% | 1/10/39 | 3,025 | 3,707 |
| SLM Corp. | 5.625% | 8/1/33 | 800 | 676 |
119
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Insurance (6.0%) | ||||
| ACE Capital Trust II | 9.700% | 4/1/30 | 250 | 337 |
| ACE INA Holdings Inc. | 6.700% | 5/15/36 | 350 | 466 |
| Aetna Inc. | 6.625% | 6/15/36 | 945 | 1,201 |
| Aetna Inc. | 6.750% | 12/15/37 | 655 | 849 |
| Aflac Inc. | 6.900% | 12/17/39 | 100 | 121 |
| Aflac Inc. | 6.450% | 8/15/40 | 800 | 922 |
| Allstate Corp. | 5.350% | 6/1/33 | 150 | 163 |
| Allstate Corp. | 5.550% | 5/9/35 | 900 | 1,004 |
| Allstate Corp. | 5.950% | 4/1/36 | 950 | 1,117 |
| Allstate Corp. | 6.900% | 5/15/38 | 200 | 254 |
| Allstate Corp. | 5.200% | 1/15/42 | 500 | 545 |
| 1 Allstate Corp. | 6.500% | 5/15/57 | 375 | 367 |
| American International Group Inc. | 6.250% | 5/1/36 | 1,040 | 1,108 |
| American International Group Inc. | 6.250% | 3/15/37 | 1,160 | 1,021 |
| 1 American International Group Inc. | 8.175% | 5/15/68 | 3,375 | 3,544 |
| Aon Corp. | 8.205% | 1/1/27 | 200 | 236 |
| Aon Corp. | 6.250% | 9/30/40 | 600 | 752 |
| Arch Capital Group Ltd. | 7.350% | 5/1/34 | 200 | 242 |
| Assurant Inc. | 6.750% | 2/15/34 | 200 | 209 |
| AXA SA | 8.600% | 12/15/30 | 1,655 | 1,777 |
| Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 1,175 | 1,430 |
| Chubb Corp. | 6.000% | 5/11/37 | 740 | 929 |
| Chubb Corp. | 6.500% | 5/15/38 | 700 | 932 |
| Cigna Corp. | 5.875% | 3/15/41 | 250 | 284 |
| Cigna Corp. | 5.375% | 2/15/42 | 1,525 | 1,615 |
| Cincinnati Financial Corp. | 6.920% | 5/15/28 | 250 | 282 |
| Cincinnati Financial Corp. | 6.125% | 11/1/34 | 275 | 290 |
| Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 70 | 71 |
| Genworth Financial Inc. | 6.500% | 6/15/34 | 175 | 154 |
| Hartford Financial Services Group Inc. | 6.625% | 3/30/40 | 400 | 399 |
| Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 400 | 379 |
| Lincoln National Corp. | 6.150% | 4/7/36 | 200 | 212 |
| Lincoln National Corp. | 7.000% | 6/15/40 | 925 | 1,094 |
| Loews Corp. | 6.000% | 2/1/35 | 400 | 443 |
| Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 300 | 341 |
| MetLife Inc. | 6.500% | 12/15/32 | 825 | 1,047 |
| MetLife Inc. | 6.375% | 6/15/34 | 675 | 853 |
| MetLife Inc. | 5.700% | 6/15/35 | 900 | 1,063 |
| MetLife Inc. | 5.875% | 2/6/41 | 690 | 844 |
| 1 MetLife Inc. | 6.400% | 12/15/66 | 1,005 | 989 |
| 1 MetLife Inc. | 10.750% | 8/1/69 | 240 | 342 |
| 1 Nationwide Financial Services Inc. | 6.750% | 5/15/67 | 200 | 183 |
| Principal Financial Group Inc. | 6.050% | 10/15/36 | 300 | 324 |
| Progressive Corp. | 6.625% | 3/1/29 | 100 | 123 |
| Progressive Corp. | 6.250% | 12/1/32 | 200 | 240 |
| Protective Life Corp. | 8.450% | 10/15/39 | 275 | 322 |
| Prudential Financial Inc. | 5.750% | 7/15/33 | 775 | 826 |
| Prudential Financial Inc. | 5.700% | 12/14/36 | 850 | 899 |
| Prudential Financial Inc. | 6.625% | 12/1/37 | 1,600 | 1,895 |
| Prudential Financial Inc. | 6.200% | 11/15/40 | 300 | 343 |
| Prudential Financial Inc. | 5.625% | 5/12/41 | 225 | 238 |
| Swiss Re Solutions Holding Corp. | 7.750% | 6/15/30 | 410 | 503 |
| Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 225 | 257 |
| Travelers Cos. Inc. | 6.250% | 6/15/37 | 750 | 955 |
120
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Travelers Cos. Inc. | 5.350% | 11/1/40 | 1,246 | 1,457 |
| UnitedHealth Group Inc. | 5.800% | 3/15/36 | 1,790 | 2,171 |
| UnitedHealth Group Inc. | 6.625% | 11/15/37 | 350 | 462 |
| UnitedHealth Group Inc. | 6.875% | 2/15/38 | 910 | 1,251 |
| UnitedHealth Group Inc. | 5.950% | 2/15/41 | 400 | 507 |
| UnitedHealth Group Inc. | 4.625% | 11/15/41 | 975 | 1,032 |
| Validus Holdings Ltd. | 8.875% | 1/26/40 | 235 | 257 |
| WellPoint Inc. | 5.950% | 12/15/34 | 175 | 208 |
| WellPoint Inc. | 5.850% | 1/15/36 | 1,265 | 1,506 |
| WellPoint Inc. | 6.375% | 6/15/37 | 650 | 822 |
| XL Group plc | 6.250% | 5/15/27 | 300 | 311 |
| Real Estate Investment Trusts (0.3%) | ||||
| Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 475 | 481 |
| HCP Inc. | 6.750% | 2/1/41 | 175 | 212 |
| Health Care REIT Inc. | 6.500% | 3/15/41 | 425 | 461 |
| Realty Income Corp. | 5.875% | 3/15/35 | 220 | 227 |
| Simon Property Group LP | 6.750% | 2/1/40 | 675 | 904 |
| Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 325 | 323 |
| 154,815 | ||||
| Industrial (60.8%) | ||||
| Basic Industry (5.2%) | ||||
| Agrium Inc. | 7.125% | 5/23/36 | 500 | 665 |
| Agrium Inc. | 6.125% | 1/15/41 | 350 | 432 |
| Alcoa Inc. | 5.900% | 2/1/27 | 475 | 488 |
| Alcoa Inc. | 6.750% | 1/15/28 | 250 | 273 |
| Alcoa Inc. | 5.950% | 2/1/37 | 955 | 944 |
| AngloGold Ashanti Holdings plc | 6.500% | 4/15/40 | 250 | 240 |
| ArcelorMittal | 7.000% | 10/15/39 | 1,140 | 1,120 |
| ArcelorMittal | 6.750% | 3/1/41 | 1,450 | 1,406 |
| Barrick North America Finance LLC | 7.500% | 9/15/38 | 75 | 100 |
| Barrick North America Finance LLC | 5.700% | 5/30/41 | 800 | 945 |
| Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 1,250 | 1,490 |
| BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 1,125 | 1,122 |
| Cliffs Natural Resources Inc. | 6.250% | 10/1/40 | 650 | 701 |
| Dow Chemical Co. | 7.375% | 11/1/29 | 175 | 229 |
| Dow Chemical Co. | 9.400% | 5/15/39 | 1,810 | 2,894 |
| Dow Chemical Co. | 5.250% | 11/15/41 | 775 | 846 |
| Ecolab Inc. | 5.500% | 12/8/41 | 550 | 645 |
| EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 1,000 | 1,140 |
| Freeport-McMoRan Copper & Gold Inc. | 3.550% | 3/1/22 | 1,100 | 1,093 |
| 2 Georgia-Pacific LLC | 5.400% | 11/1/20 | 500 | 565 |
| Georgia-Pacific LLC | 7.375% | 12/1/25 | 225 | 281 |
| Georgia-Pacific LLC | 7.250% | 6/1/28 | 550 | 666 |
| Georgia-Pacific LLC | 7.750% | 11/15/29 | 305 | 386 |
| Georgia-Pacific LLC | 8.875% | 5/15/31 | 250 | 346 |
| International Paper Co. | 7.300% | 11/15/39 | 850 | 1,096 |
| International Paper Co. | 6.000% | 11/15/41 | 800 | 924 |
| 2 Kinross Gold Corp. | 6.875% | 9/1/41 | 100 | 104 |
| Monsanto Co. | 5.875% | 4/15/38 | 475 | 615 |
| Mosaic Co. | 4.875% | 11/15/41 | 100 | 103 |
| Newmont Mining Corp. | 6.250% | 10/1/39 | 1,300 | 1,602 |
| Nucor Corp. | 4.125% | 9/15/22 | 1,150 | 1,270 |
| Nucor Corp. | 6.400% | 12/1/37 | 250 | 335 |
| Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 300 | 374 |
121
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 925 | 1,154 |
| PPG Industries Inc. | 7.700% | 3/15/38 | 100 | 141 |
| PPG Industries Inc. | 5.500% | 11/15/40 | 125 | 144 |
| Rayonier Inc. | 3.750% | 4/1/22 | 250 | 249 |
| Rio Tinto Alcan Inc. | 6.125% | 12/15/33 | 119 | 146 |
| Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 1,100 | 1,493 |
| Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 1,425 | 1,663 |
| Southern Copper Corp. | 7.500% | 7/27/35 | 950 | 1,119 |
| Southern Copper Corp. | 6.750% | 4/16/40 | 1,075 | 1,175 |
| Teck Resources Ltd. | 6.125% | 10/1/35 | 150 | 169 |
| Teck Resources Ltd. | 6.000% | 8/15/40 | 515 | 574 |
| Teck Resources Ltd. | 6.250% | 7/15/41 | 1,425 | 1,627 |
| Teck Resources Ltd. | 5.200% | 3/1/42 | 350 | 356 |
| Vale Overseas Ltd. | 8.250% | 1/17/34 | 875 | 1,204 |
| Vale Overseas Ltd. | 6.875% | 11/21/36 | 2,085 | 2,555 |
| Vale Overseas Ltd. | 6.875% | 11/10/39 | 1,830 | 2,256 |
| Xstrata Canada Corp. | 6.200% | 6/15/35 | 125 | 136 |
| Capital Goods (4.0%) | ||||
| 3M Co. | 6.375% | 2/15/28 | 100 | 132 |
| 3M Co. | 5.700% | 3/15/37 | 500 | 660 |
| Boeing Co. | 6.875% | 3/15/39 | 715 | 1,054 |
| Boeing Co. | 5.875% | 2/15/40 | 600 | 779 |
| Caterpillar Inc. | 6.050% | 8/15/36 | 1,905 | 2,481 |
| Caterpillar Inc. | 5.200% | 5/27/41 | 1,690 | 2,040 |
| Deere & Co. | 5.375% | 10/16/29 | 800 | 981 |
| Dover Corp. | 6.600% | 3/15/38 | 135 | 187 |
| Dover Corp. | 5.375% | 3/1/41 | 1,075 | 1,308 |
| Emerson Electric Co. | 6.000% | 8/15/32 | 125 | 156 |
| Emerson Electric Co. | 5.250% | 11/15/39 | 80 | 94 |
| Honeywell International Inc. | 5.700% | 3/15/36 | 300 | 373 |
| Honeywell International Inc. | 5.700% | 3/15/37 | 825 | 1,039 |
| Honeywell International Inc. | 5.375% | 3/1/41 | 475 | 586 |
| 2 Illinois Tool Works Inc. | 4.875% | 9/15/41 | 725 | 806 |
| John Deere Capital Corp. | 2.750% | 3/15/22 | 675 | 676 |
| Legrand France SA | 8.500% | 2/15/25 | 350 | 418 |
| Lockheed Martin Corp. | 6.150% | 9/1/36 | 1,290 | 1,584 |
| Lockheed Martin Corp. | 5.500% | 11/15/39 | 600 | 680 |
| Lockheed Martin Corp. | 5.720% | 6/1/40 | 470 | 557 |
| Lockheed Martin Corp. | 4.850% | 9/15/41 | 475 | 507 |
| Northrop Grumman Corp. | 5.050% | 11/15/40 | 720 | 767 |
| Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 475 | 671 |
| Owens Corning | 7.000% | 12/1/36 | 375 | 400 |
| Parker Hannifin Corp. | 3.500% | 9/15/22 | 775 | 800 |
| Raytheon Co. | 4.875% | 10/15/40 | 385 | 428 |
| Raytheon Co. | 4.700% | 12/15/41 | 925 | 990 |
| Republic Services Inc. | 4.750% | 5/15/23 | 1,050 | 1,170 |
| Republic Services Inc. | 5.700% | 5/15/41 | 895 | 1,062 |
| Rockwell Automation Inc. | 6.700% | 1/15/28 | 100 | 127 |
| Sonoco Products Co. | 5.750% | 11/1/40 | 350 | 384 |
| Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 305 | 334 |
| Tyco International Finance SA | 4.625% | 1/15/23 | 850 | 917 |
| United Technologies Corp. | 7.500% | 9/15/29 | 75 | 105 |
| United Technologies Corp. | 5.400% | 5/1/35 | 800 | 955 |
| United Technologies Corp. | 6.125% | 7/15/38 | 800 | 1,056 |
122
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| United Technologies Corp. | 5.700% | 4/15/40 | 1,775 | 2,270 |
| Waste Management Inc. | 7.100% | 8/1/26 | 175 | 221 |
| Waste Management Inc. | 7.750% | 5/15/32 | 150 | 212 |
| Waste Management Inc. | 6.125% | 11/30/39 | 1,500 | 1,869 |
| Communication (15.5%) | ||||
| Alltel Corp. | 7.875% | 7/1/32 | 800 | 1,182 |
| America Movil SAB de CV | 6.375% | 3/1/35 | 910 | 1,120 |
| America Movil SAB de CV | 6.125% | 3/30/40 | 2,275 | 2,752 |
| AT&T Corp. | 8.000% | 11/15/31 | 3,775 | 5,436 |
| AT&T Inc. | 6.450% | 6/15/34 | 250 | 304 |
| AT&T Inc. | 6.150% | 9/15/34 | 800 | 961 |
| AT&T Inc. | 6.800% | 5/15/36 | 2,125 | 2,689 |
| AT&T Inc. | 6.500% | 9/1/37 | 1,095 | 1,384 |
| AT&T Inc. | 6.300% | 1/15/38 | 2,730 | 3,350 |
| AT&T Inc. | 6.400% | 5/15/38 | 275 | 342 |
| AT&T Inc. | 6.550% | 2/15/39 | 950 | 1,217 |
| AT&T Inc. | 5.350% | 9/1/40 | 2,965 | 3,334 |
| AT&T Inc. | 5.550% | 8/15/41 | 1,600 | 1,872 |
| AT&T Mobility LLC | 7.125% | 12/15/31 | 250 | 327 |
| Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 1,404 | 1,846 |
| Bellsouth Capital Funding Corp. | 7.120% | 7/15/97 | 450 | 543 |
| BellSouth Corp. | 6.875% | 10/15/31 | 1,175 | 1,441 |
| BellSouth Corp. | 6.550% | 6/15/34 | 1,175 | 1,391 |
| BellSouth Telecommunications Inc. | 7.000% | 10/1/25 | 250 | 312 |
| British Telecommunications plc | 9.625% | 12/15/30 | 2,250 | 3,426 |
| CBS Corp. | 3.375% | 3/1/22 | 425 | 421 |
| CBS Corp. | 7.875% | 7/30/30 | 1,301 | 1,730 |
| CBS Corp. | 5.900% | 10/15/40 | 500 | 583 |
| CenturyLink Inc. | 6.875% | 1/15/28 | 200 | 200 |
| CenturyLink Inc. | 7.600% | 9/15/39 | 750 | 768 |
| Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 1,150 | 1,662 |
| Comcast Corp. | 5.150% | 3/1/20 | 900 | 1,053 |
| Comcast Corp. | 5.650% | 6/15/35 | 225 | 255 |
| Comcast Corp. | 6.500% | 11/15/35 | 800 | 996 |
| Comcast Corp. | 6.450% | 3/15/37 | 1,680 | 2,089 |
| Comcast Corp. | 6.950% | 8/15/37 | 3,240 | 4,244 |
| Comcast Corp. | 6.400% | 5/15/38 | 880 | 1,090 |
| Comcast Corp. | 6.550% | 7/1/39 | 425 | 539 |
| Comcast Corp. | 6.400% | 3/1/40 | 800 | 1,022 |
| Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 2,435 | 3,471 |
| Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 1,000 | 1,513 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 6.000% | 8/15/40 | 975 | 1,115 |
| DIRECTV Holdings LLC / | ||||
| DIRECTV Financing Co. Inc. | 6.375% | 3/1/41 | 1,375 | 1,653 |
| Discovery Communications LLC | 6.350% | 6/1/40 | 575 | 724 |
| Embarq Corp. | 7.082% | 6/1/16 | 250 | 280 |
| Embarq Corp. | 7.995% | 6/1/36 | 1,425 | 1,521 |
| France Telecom SA | 8.500% | 3/1/31 | 1,885 | 2,744 |
| France Telecom SA | 5.375% | 1/13/42 | 1,175 | 1,279 |
| Grupo Televisa SAB | 6.625% | 3/18/25 | 100 | 121 |
| Grupo Televisa SAB | 6.625% | 1/15/40 | 1,200 | 1,419 |
| GTE Corp. | 6.940% | 4/15/28 | 650 | 810 |
| Koninklijke KPN NV | 8.375% | 10/1/30 | 625 | 820 |
123
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| McGraw-Hill Cos. Inc. | 6.550% | 11/15/37 | 150 | 163 |
| NBCUniversal Media LLC | 6.400% | 4/30/40 | 950 | 1,202 |
| NBCUniversal Media LLC | 5.950% | 4/1/41 | 1,120 | 1,352 |
| New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 1,550 | 2,302 |
| News America Inc. | 7.700% | 10/30/25 | 50 | 62 |
| News America Inc. | 6.200% | 12/15/34 | 1,350 | 1,540 |
| News America Inc. | 6.400% | 12/15/35 | 1,075 | 1,251 |
| News America Inc. | 6.150% | 3/1/37 | 1,350 | 1,555 |
| News America Inc. | 6.650% | 11/15/37 | 1,100 | 1,330 |
| News America Inc. | 6.900% | 8/15/39 | 875 | 1,077 |
| News America Inc. | 6.150% | 2/15/41 | 1,350 | 1,611 |
| News America Inc. | 7.750% | 12/1/45 | 300 | 371 |
| Qwest Capital Funding Inc. | 7.750% | 2/15/31 | 175 | 179 |
| Qwest Corp. | 7.500% | 6/15/23 | 225 | 226 |
| Qwest Corp. | 7.250% | 9/15/25 | 100 | 110 |
| Qwest Corp. | 6.875% | 9/15/33 | 2,100 | 2,084 |
| Qwest Corp. | 7.125% | 11/15/43 | 75 | 74 |
| Rogers Communications Inc. | 7.500% | 8/15/38 | 425 | 583 |
| Telecom Italia Capital SA | 6.375% | 11/15/33 | 325 | 280 |
| Telecom Italia Capital SA | 6.000% | 9/30/34 | 525 | 443 |
| Telecom Italia Capital SA | 7.200% | 7/18/36 | 1,050 | 957 |
| Telecom Italia Capital SA | 7.721% | 6/4/38 | 1,550 | 1,471 |
| Telefonica Emisiones SAU | 7.045% | 6/20/36 | 1,675 | 1,796 |
| Telefonica Europe BV | 8.250% | 9/15/30 | 1,200 | 1,383 |
| Thomson Reuters Corp. | 5.500% | 8/15/35 | 100 | 106 |
| Thomson Reuters Corp. | 5.850% | 4/15/40 | 625 | 705 |
| Time Warner Cable Inc. | 6.550% | 5/1/37 | 1,300 | 1,561 |
| Time Warner Cable Inc. | 7.300% | 7/1/38 | 975 | 1,243 |
| Time Warner Cable Inc. | 6.750% | 6/15/39 | 975 | 1,203 |
| Time Warner Cable Inc. | 5.875% | 11/15/40 | 1,575 | 1,786 |
| Time Warner Cable Inc. | 5.500% | 9/1/41 | 1,675 | 1,847 |
| Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 1,150 | 1,573 |
| Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 350 | 456 |
| United States Cellular Corp. | 6.700% | 12/15/33 | 425 | 416 |
| Verizon Communications Inc. | 8.750% | 11/1/18 | 100 | 138 |
| Verizon Communications Inc. | 5.850% | 9/15/35 | 1,550 | 1,866 |
| Verizon Communications Inc. | 6.250% | 4/1/37 | 2,040 | 2,488 |
| Verizon Communications Inc. | 6.400% | 2/15/38 | 540 | 680 |
| Verizon Communications Inc. | 6.900% | 4/15/38 | 1,060 | 1,404 |
| Verizon Communications Inc. | 8.950% | 3/1/39 | 1,250 | 1,984 |
| Verizon Communications Inc. | 7.350% | 4/1/39 | 800 | 1,105 |
| Verizon Communications Inc. | 6.000% | 4/1/41 | 1,100 | 1,363 |
| Verizon Communications Inc. | 4.750% | 11/1/41 | 525 | 560 |
| Verizon Global Funding Corp. | 7.750% | 12/1/30 | 2,160 | 3,041 |
| Verizon New York Inc. | 7.375% | 4/1/32 | 432 | 518 |
| Vodafone Group plc | 7.875% | 2/15/30 | 1,125 | 1,608 |
| Vodafone Group plc | 6.150% | 2/27/37 | 1,455 | 1,822 |
| Consumer Cyclical (7.7%) | ||||
| CVS Caremark Corp. | 6.250% | 6/1/27 | 675 | 823 |
| CVS Caremark Corp. | 6.125% | 9/15/39 | 560 | 701 |
| CVS Caremark Corp. | 5.750% | 5/15/41 | 1,820 | 2,183 |
| Daimler Finance North America LLC | 8.500% | 1/18/31 | 1,450 | 2,136 |
| Darden Restaurants Inc. | 6.800% | 10/15/37 | 250 | 285 |
| Historic TW Inc. | 6.625% | 5/15/29 | 1,075 | 1,297 |
124
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Home Depot Inc. | 5.875% | 12/16/36 | 2,225 | 2,786 |
| Home Depot Inc. | 5.400% | 9/15/40 | 335 | 399 |
| Home Depot Inc. | 5.950% | 4/1/41 | 1,275 | 1,642 |
| Johnson Controls Inc. | 6.000% | 1/15/36 | 300 | 346 |
| Johnson Controls Inc. | 5.700% | 3/1/41 | 425 | 482 |
| Johnson Controls Inc. | 5.250% | 12/1/41 | 200 | 213 |
| Kohl’s Corp. | 6.875% | 12/15/37 | 300 | 374 |
| Lowe’s Cos. Inc. | 5.500% | 10/15/35 | 775 | 888 |
| Lowe’s Cos. Inc. | 6.650% | 9/15/37 | 250 | 327 |
| Lowe’s Cos. Inc. | 5.800% | 4/15/40 | 825 | 998 |
| Lowe’s Cos. Inc. | 5.125% | 11/15/41 | 1,100 | 1,251 |
| Macy’s Retail Holdings Inc. | 6.900% | 4/1/29 | 200 | 240 |
| Macy’s Retail Holdings Inc. | 6.375% | 3/15/37 | 1,850 | 2,184 |
| Macy’s Retail Holdings Inc. | 5.125% | 1/15/42 | 125 | 129 |
| McDonald’s Corp. | 6.300% | 10/15/37 | 1,475 | 2,029 |
| McDonald’s Corp. | 6.300% | 3/1/38 | 620 | 860 |
| McDonald’s Corp. | 3.700% | 2/15/42 | 275 | 269 |
| Nordstrom Inc. | 7.000% | 1/15/38 | 395 | 533 |
| Target Corp. | 7.000% | 7/15/31 | 425 | 570 |
| Target Corp. | 6.500% | 10/15/37 | 1,400 | 1,880 |
| Target Corp. | 7.000% | 1/15/38 | 1,800 | 2,557 |
| Time Warner Cos. Inc. | 7.570% | 2/1/24 | 350 | 446 |
| Time Warner Inc. | 7.625% | 4/15/31 | 2,250 | 2,974 |
| Time Warner Inc. | 7.700% | 5/1/32 | 1,925 | 2,567 |
| Time Warner Inc. | 6.500% | 11/15/36 | 300 | 365 |
| Time Warner Inc. | 6.100% | 7/15/40 | 1,100 | 1,301 |
| Time Warner Inc. | 6.250% | 3/29/41 | 1,925 | 2,325 |
| Time Warner Inc. | 5.375% | 10/15/41 | 625 | 691 |
| VF Corp. | 6.450% | 11/1/37 | 225 | 281 |
| Viacom Inc. | 6.875% | 4/30/36 | 1,250 | 1,633 |
| Viacom Inc. | 6.750% | 10/5/37 | 200 | 259 |
| Viacom Inc. | 4.500% | 2/27/42 | 575 | 567 |
| Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 250 | 310 |
| Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 625 | 923 |
| Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 2,250 | 2,656 |
| Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 3,360 | 4,612 |
| Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 2,450 | 3,259 |
| Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 1,450 | 1,822 |
| Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 400 | 456 |
| Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 1,975 | 2,495 |
| Walt Disney Co. | 3.750% | 6/1/21 | 250 | 274 |
| Walt Disney Co. | 4.375% | 8/16/41 | 500 | 524 |
| Walt Disney Co. | 4.125% | 12/1/41 | 700 | 717 |
| Western Union Co. | 6.200% | 11/17/36 | 225 | 242 |
| Western Union Co. | 6.200% | 6/21/40 | 150 | 158 |
| Yum! Brands Inc. | 6.875% | 11/15/37 | 325 | 423 |
| Consumer Noncyclical (12.5%) | ||||
| Abbott Laboratories | 6.150% | 11/30/37 | 900 | 1,179 |
| Abbott Laboratories | 6.000% | 4/1/39 | 800 | 1,033 |
| Abbott Laboratories | 5.300% | 5/27/40 | 1,350 | 1,621 |
| Ahold Finance USA LLC | 6.875% | 5/1/29 | 275 | 347 |
| Altria Group Inc. | 9.950% | 11/10/38 | 1,275 | 1,988 |
| Altria Group Inc. | 10.200% | 2/6/39 | 1,400 | 2,228 |
| Amgen Inc. | 6.375% | 6/1/37 | 1,400 | 1,665 |
125
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Amgen Inc. | 6.400% | 2/1/39 | 1,175 | 1,408 |
| Amgen Inc. | 5.750% | 3/15/40 | 600 | 668 |
| Amgen Inc. | 4.950% | 10/1/41 | 300 | 303 |
| Amgen Inc. | 5.150% | 11/15/41 | 1,800 | 1,881 |
| Amgen Inc. | 5.650% | 6/15/42 | 1,175 | 1,311 |
| Anheuser-Busch Cos. LLC | 6.450% | 9/1/37 | 600 | 819 |
| Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 1,925 | 3,040 |
| Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 200 | 306 |
| Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 900 | 1,249 |
| Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 575 | 695 |
| Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 175 | 203 |
| Archer-Daniels-Midland Co. | 5.765% | 3/1/41 | 1,255 | 1,594 |
| 2 Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 200 | 208 |
| 2 Aristotle Holding Inc. | 6.125% | 11/15/41 | 900 | 993 |
| AstraZeneca plc | 6.450% | 9/15/37 | 2,790 | 3,771 |
| Baxter International Inc. | 6.250% | 12/1/37 | 300 | 402 |
| Beam Inc. | 5.875% | 1/15/36 | 125 | 129 |
| Becton Dickinson and Co. | 5.000% | 11/12/40 | 220 | 246 |
| Boston Scientific Corp. | 7.000% | 11/15/35 | 50 | 59 |
| Boston Scientific Corp. | 7.375% | 1/15/40 | 775 | 1,020 |
| Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 1,255 | 1,607 |
| Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 750 | 1,001 |
| Celgene Corp. | 5.700% | 10/15/40 | 275 | 301 |
| Coca-Cola Co. | 3.300% | 9/1/21 | 550 | 586 |
| ConAgra Foods Inc. | 7.125% | 10/1/26 | 300 | 360 |
| ConAgra Foods Inc. | 7.000% | 10/1/28 | 325 | 398 |
| ConAgra Foods Inc. | 8.250% | 9/15/30 | 125 | 162 |
| Corn Products International Inc. | 6.625% | 4/15/37 | 125 | 145 |
| Covidien International Finance SA | 6.550% | 10/15/37 | 575 | 770 |
| Delhaize Group SA | 5.700% | 10/1/40 | 1,352 | 1,284 |
| Diageo Capital plc | 5.875% | 9/30/36 | 825 | 1,022 |
| Diageo Investment Corp. | 7.450% | 4/15/35 | 175 | 239 |
| Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 100 | 139 |
| Eli Lilly & Co. | 5.500% | 3/15/27 | 950 | 1,135 |
| Eli Lilly & Co. | 6.770% | 1/1/36 | 250 | 344 |
| Eli Lilly & Co. | 5.550% | 3/15/37 | 650 | 789 |
| Eli Lilly & Co. | 5.950% | 11/15/37 | 200 | 252 |
| Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 175 | 218 |
| Genentech Inc. | 5.250% | 7/15/35 | 125 | 143 |
| General Mills Inc. | 5.400% | 6/15/40 | 600 | 705 |
| Gilead Sciences Inc. | 5.650% | 12/1/41 | 800 | 886 |
| GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 2,650 | 3,616 |
| Hasbro Inc. | 6.350% | 3/15/40 | 450 | 497 |
| HJ Heinz Finance Co. | 6.750% | 3/15/32 | 200 | 249 |
| Hospira Inc. | 5.600% | 9/15/40 | 800 | 787 |
| Johnson & Johnson | 4.950% | 5/15/33 | 425 | 501 |
| Johnson & Johnson | 5.950% | 8/15/37 | 1,820 | 2,432 |
| Johnson & Johnson | 4.500% | 9/1/40 | 525 | 586 |
| Kellogg Co. | 7.450% | 4/1/31 | 1,200 | 1,621 |
| Kimberly-Clark Corp. | 6.625% | 8/1/37 | 855 | 1,192 |
| Kimberly-Clark Corp. | 5.300% | 3/1/41 | 525 | 644 |
| Koninklijke Philips Electronics NV | 6.875% | 3/11/38 | 1,000 | 1,285 |
| Kraft Foods Inc. | 6.500% | 11/1/31 | 150 | 186 |
| Kraft Foods Inc. | 7.000% | 8/11/37 | 608 | 801 |
| Kraft Foods Inc. | 6.875% | 2/1/38 | 1,650 | 2,169 |
126
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Kraft Foods Inc. | 6.875% | 1/26/39 | 800 | 1,049 |
| Kraft Foods Inc. | 6.500% | 2/9/40 | 2,650 | 3,431 |
| Kroger Co. | 8.000% | 9/15/29 | 100 | 133 |
| Kroger Co. | 7.500% | 4/1/31 | 300 | 391 |
| Kroger Co. | 6.900% | 4/15/38 | 975 | 1,253 |
| Lorillard Tobacco Co. | 7.000% | 8/4/41 | 500 | 553 |
| Mattel Inc. | 5.450% | 11/1/41 | 225 | 236 |
| McKesson Corp. | 6.000% | 3/1/41 | 550 | 720 |
| Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 350 | 392 |
| Medtronic Inc. | 6.500% | 3/15/39 | 100 | 136 |
| Medtronic Inc. | 5.550% | 3/15/40 | 450 | 554 |
| Merck & Co. Inc. | 6.400% | 3/1/28 | 75 | 99 |
| Merck & Co. Inc. | 6.500% | 12/1/33 | 925 | 1,258 |
| Merck & Co. Inc. | 6.550% | 9/15/37 | 2,145 | 3,031 |
| Merck & Co. Inc. | 5.850% | 6/30/39 | 800 | 1,059 |
| Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 625 | 865 |
| PepsiAmericas Inc. | 5.500% | 5/15/35 | 75 | 91 |
| PepsiCo Inc. | 2.750% | 3/5/22 | 650 | 649 |
| PepsiCo Inc. | 5.500% | 1/15/40 | 1,000 | 1,231 |
| PepsiCo Inc. | 4.875% | 11/1/40 | 1,250 | 1,421 |
| PepsiCo Inc. | 4.000% | 3/5/42 | 675 | 673 |
| Pfizer Inc. | 7.200% | 3/15/39 | 3,675 | 5,492 |
| Pharmacia Corp. | 6.600% | 12/1/28 | 250 | 329 |
| Philip Morris International Inc. | 6.375% | 5/16/38 | 1,400 | 1,832 |
| Philip Morris International Inc. | 4.375% | 11/15/41 | 825 | 843 |
| 3 Procter & Gamble Co. | 5.550% | 3/5/37 | 2,465 | 3,180 |
| Quest Diagnostics Inc. | 6.950% | 7/1/37 | 440 | 549 |
| Quest Diagnostics Inc. | 5.750% | 1/30/40 | 400 | 436 |
| Ralcorp Holdings Inc. | 6.625% | 8/15/39 | 225 | 232 |
| Reynolds American Inc. | 7.250% | 6/15/37 | 175 | 210 |
| Safeway Inc. | 7.250% | 2/1/31 | 450 | 539 |
| Sara Lee Corp. | 6.125% | 11/1/32 | 150 | 151 |
| Sysco Corp. | 5.375% | 9/21/35 | 450 | 549 |
| Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 700 | 888 |
| Unilever Capital Corp. | 5.900% | 11/15/32 | 875 | 1,136 |
| Wyeth LLC | 6.450% | 2/1/24 | 235 | 310 |
| Wyeth LLC | 6.500% | 2/1/34 | 800 | 1,078 |
| Wyeth LLC | 6.000% | 2/15/36 | 25 | 32 |
| Wyeth LLC | 5.950% | 4/1/37 | 1,305 | 1,702 |
| Zimmer Holdings Inc. | 5.750% | 11/30/39 | 375 | 427 |
| Energy (9.2%) | ||||
| Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 550 | 659 |
| Anadarko Finance Co. | 7.500% | 5/1/31 | 1,080 | 1,380 |
| Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 1,900 | 2,314 |
| Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 900 | 1,082 |
| Apache Corp. | 5.100% | 9/1/40 | 2,465 | 2,871 |
| Apache Corp. | 5.250% | 2/1/42 | 600 | 717 |
| Baker Hughes Inc. | 5.125% | 9/15/40 | 1,470 | 1,743 |
| Cameron International Corp. | 5.950% | 6/1/41 | 200 | 236 |
| Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 368 | 481 |
| Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 350 | 452 |
| Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 1,750 | 2,248 |
| Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 200 | 269 |
| Cenovus Energy Inc. | 6.750% | 11/15/39 | 1,300 | 1,760 |
127
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| ConocoPhillips | 5.900% | 10/15/32 | 725 | 922 |
| ConocoPhillips | 5.900% | 5/15/38 | 2,425 | 3,172 |
| ConocoPhillips | 6.500% | 2/1/39 | 1,975 | 2,783 |
| ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 1,670 | 2,280 |
| Devon Energy Corp. | 7.950% | 4/15/32 | 875 | 1,273 |
| Devon Energy Corp. | 5.600% | 7/15/41 | 1,095 | 1,304 |
| Devon Financing Corp. ULC | 7.875% | 9/30/31 | 1,075 | 1,536 |
| Diamond Offshore Drilling Inc. | 5.700% | 10/15/39 | 250 | 289 |
| Encana Corp. | 6.500% | 8/15/34 | 1,230 | 1,353 |
| Encana Corp. | 6.625% | 8/15/37 | 550 | 641 |
| Encana Corp. | 6.500% | 2/1/38 | 650 | 724 |
| Encana Corp. | 5.150% | 11/15/41 | 355 | 349 |
| Halliburton Co. | 6.700% | 9/15/38 | 550 | 742 |
| Halliburton Co. | 7.450% | 9/15/39 | 990 | 1,436 |
| Halliburton Co. | 4.500% | 11/15/41 | 675 | 711 |
| Hess Corp. | 7.875% | 10/1/29 | 550 | 759 |
| Hess Corp. | 7.300% | 8/15/31 | 1,320 | 1,748 |
| Hess Corp. | 6.000% | 1/15/40 | 550 | 663 |
| Hess Corp. | 5.600% | 2/15/41 | 1,195 | 1,376 |
| Husky Energy Inc. | 6.800% | 9/15/37 | 200 | 260 |
| Kerr-McGee Corp. | 7.875% | 9/15/31 | 500 | 663 |
| Marathon Oil Corp. | 6.800% | 3/15/32 | 1,075 | 1,351 |
| Marathon Petroleum Corp. | 6.500% | 3/1/41 | 975 | 1,101 |
| Nexen Inc. | 6.400% | 5/15/37 | 1,000 | 1,145 |
| Nexen Inc. | 7.500% | 7/30/39 | 1,425 | 1,816 |
| Noble Energy Inc. | 6.000% | 3/1/41 | 1,025 | 1,218 |
| Noble Holding International Ltd. | 3.950% | 3/15/22 | 325 | 334 |
| Noble Holding International Ltd. | 6.200% | 8/1/40 | 350 | 399 |
| Noble Holding International Ltd. | 6.050% | 3/1/41 | 600 | 676 |
| Noble Holding International Ltd. | 5.250% | 3/15/42 | 300 | 307 |
| Petro-Canada | 5.950% | 5/15/35 | 200 | 241 |
| Petro-Canada | 6.800% | 5/15/38 | 1,225 | 1,644 |
| Pride International Inc. | 7.875% | 8/15/40 | 450 | 606 |
| Shell International Finance BV | 6.375% | 12/15/38 | 3,085 | 4,313 |
| Shell International Finance BV | 5.500% | 3/25/40 | 425 | 550 |
| 2 Southwestern Energy Co. | 4.100% | 3/15/22 | 800 | 799 |
| Suncor Energy Inc. | 7.150% | 2/1/32 | 225 | 291 |
| Suncor Energy Inc. | 6.500% | 6/15/38 | 1,825 | 2,376 |
| Suncor Energy Inc. | 6.850% | 6/1/39 | 1,150 | 1,560 |
| Talisman Energy Inc. | 5.850% | 2/1/37 | 900 | 982 |
| Talisman Energy Inc. | 6.250% | 2/1/38 | 475 | 554 |
| Tosco Corp. | 7.800% | 1/1/27 | 100 | 139 |
| Tosco Corp. | 8.125% | 2/15/30 | 575 | 824 |
| Transocean Inc. | 7.500% | 4/15/31 | 525 | 631 |
| Transocean Inc. | 6.800% | 3/15/38 | 1,100 | 1,281 |
| Transocean Inc. | 7.350% | 12/15/41 | 475 | 604 |
| Valero Energy Corp. | 6.625% | 6/15/37 | 2,405 | 2,721 |
| Weatherford International Ltd. | 6.500% | 8/1/36 | 1,000 | 1,140 |
| Weatherford International Ltd. | 9.875% | 3/1/39 | 200 | 281 |
| Weatherford International Ltd. | 6.750% | 9/15/40 | 700 | 832 |
| Williams Cos. Inc. | 7.500% | 1/15/31 | 217 | 258 |
| Williams Cos. Inc. | 7.750% | 6/15/31 | 186 | 227 |
| Williams Cos. Inc. | 8.750% | 3/15/32 | 361 | 484 |
128
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Other Industrial (0.1%) | ||||
| California Institute of Technology Revenue | 4.700% | 11/1/11 | 200 | 205 |
| Massachusetts Development Finance Agency | ||||
| Revenue (Harvard University) | 4.875% | 10/15/40 | 75 | 88 |
| Massachusetts Health & Educational Facilities | ||||
| Authority Revenue (MIT) | 5.600% | 7/1/11 | 600 | 798 |
| Technology (3.4%) | ||||
| Applied Materials Inc. | 5.850% | 6/15/41 | 800 | 958 |
| Cisco Systems Inc. | 5.900% | 2/15/39 | 2,150 | 2,715 |
| Cisco Systems Inc. | 5.500% | 1/15/40 | 1,400 | 1,702 |
| Corning Inc. | 4.700% | 3/15/37 | 850 | 856 |
| Corning Inc. | 5.750% | 8/15/40 | 375 | 434 |
| Dell Inc. | 7.100% | 4/15/28 | 125 | 160 |
| Dell Inc. | 5.400% | 9/10/40 | 790 | 875 |
| Harris Corp. | 6.150% | 12/15/40 | 350 | 406 |
| Hewlett-Packard Co. | 4.300% | 6/1/21 | 325 | 341 |
| Hewlett-Packard Co. | 6.000% | 9/15/41 | 1,100 | 1,272 |
| Intel Corp. | 4.800% | 10/1/41 | 1,550 | 1,743 |
| International Business Machines Corp. | 7.000% | 10/30/25 | 200 | 276 |
| International Business Machines Corp. | 5.875% | 11/29/32 | 775 | 986 |
| International Business Machines Corp. | 5.600% | 11/30/39 | 2,350 | 3,022 |
| Juniper Networks Inc. | 5.950% | 3/15/41 | 300 | 349 |
| Microsoft Corp. | 5.200% | 6/1/39 | 500 | 613 |
| Microsoft Corp. | 4.500% | 10/1/40 | 625 | 697 |
| 3 Microsoft Corp. | 5.300% | 2/8/41 | 1,310 | 1,663 |
| Nokia Oyj | 6.625% | 5/15/39 | 700 | 718 |
| Oracle Corp. | 6.500% | 4/15/38 | 1,975 | 2,644 |
| Oracle Corp. | 6.125% | 7/8/39 | 1,150 | 1,521 |
| Oracle Corp. | 5.375% | 7/15/40 | 1,275 | 1,548 |
| Pitney Bowes Inc. | 5.250% | 1/15/37 | 100 | 101 |
| Science Applications International Corp. | 5.500% | 7/1/33 | 325 | 324 |
| Tyco Electronics Group SA | 7.125% | 10/1/37 | 150 | 198 |
| Xerox Corp. | 6.750% | 12/15/39 | 250 | 293 |
| Transportation (3.2%) | ||||
| 1 BNSF Funding Trust I | 6.613% | 12/15/55 | 150 | 156 |
| Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 700 | 696 |
| Burlington Northern Santa Fe LLC | 6.150% | 5/1/37 | 325 | 409 |
| Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 1,140 | 1,357 |
| Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 700 | 779 |
| Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 375 | 439 |
| Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 375 | 406 |
| Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 1,000 | 985 |
| Canadian National Railway Co. | 6.900% | 7/15/28 | 250 | 331 |
| Canadian National Railway Co. | 6.200% | 6/1/36 | 245 | 312 |
| Canadian National Railway Co. | 6.375% | 11/15/37 | 1,200 | 1,593 |
| Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 925 | 954 |
| Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 375 | 440 |
| Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 250 | 264 |
| Con-way Inc. | 6.700% | 5/1/34 | 200 | 194 |
| 1 Continental Airlines 2007-1 Class A | ||||
| Pass Through Trust | 5.983% | 4/19/22 | 465 | 515 |
| CSX Corp. | 6.000% | 10/1/36 | 500 | 597 |
| CSX Corp. | 6.150% | 5/1/37 | 275 | 335 |
129
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| CSX Corp. | 6.220% | 4/30/40 | 400 | 500 |
| CSX Corp. | 5.500% | 4/15/41 | 680 | 785 |
| CSX Corp. | 4.750% | 5/30/42 | 800 | 834 |
| CSX Corp. | 4.400% | 3/1/43 | 475 | 473 |
| 1 Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 8/10/22 | 1,136 | 1,247 |
| Norfolk Southern Corp. | 5.640% | 5/17/29 | 125 | 148 |
| Norfolk Southern Corp. | 7.250% | 2/15/31 | 1,515 | 2,075 |
| 2 Norfolk Southern Corp. | 4.837% | 10/1/41 | 903 | 974 |
| Norfolk Southern Corp. | 6.000% | 3/15/05 | 275 | 324 |
| Norfolk Southern Corp. | 6.000% | 5/23/11 | 550 | 654 |
| 1 UAL 2009-2A Pass Through Trust | 9.750% | 1/15/17 | 125 | 144 |
| Union Pacific Corp. | 4.163% | 7/15/22 | 1,575 | 1,734 |
| Union Pacific Corp. | 6.625% | 2/1/29 | 525 | 679 |
| Union Pacific Corp. | 4.750% | 9/15/41 | 1,200 | 1,310 |
| United Parcel Service Inc. | 6.200% | 1/15/38 | 1,230 | 1,670 |
| United Parcel Service Inc. | 4.875% | 11/15/40 | 1,025 | 1,204 |
| 480,787 | ||||
| Utilities (16.7%) | ||||
| Electric (12.3%) | ||||
| Alabama Power Co. | 5.650% | 3/15/35 | 2,000 | 2,158 |
| Alabama Power Co. | 6.125% | 5/15/38 | 500 | 654 |
| Alabama Power Co. | 5.200% | 6/1/41 | 550 | 651 |
| Alabama Power Co. | 4.100% | 1/15/42 | 200 | 201 |
| Appalachian Power Co. | 6.375% | 4/1/36 | 100 | 123 |
| Appalachian Power Co. | 7.000% | 4/1/38 | 2,500 | 3,386 |
| Arizona Public Service Co. | 5.050% | 9/1/41 | 400 | 443 |
| Arizona Public Service Co. | 4.500% | 4/1/42 | 250 | 256 |
| Cleco Power LLC | 6.500% | 12/1/35 | 300 | 365 |
| Cleco Power LLC | 6.000% | 12/1/40 | 175 | 207 |
| Commonwealth Edison Co. | 6.450% | 1/15/38 | 675 | 906 |
| Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 50 | 58 |
| Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 625 | 775 |
| Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 100 | 129 |
| Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 300 | 403 |
| Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 300 | 424 |
| Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 475 | 583 |
| Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 1,355 | 1,726 |
| Constellation Energy Group Inc. | 7.600% | 4/1/32 | 680 | 910 |
| Detroit Edison Co. | 5.700% | 10/1/37 | 375 | 467 |
| Dominion Resources Inc. | 7.000% | 6/15/38 | 550 | 762 |
| Dominion Resources Inc. | 4.900% | 8/1/41 | 325 | 358 |
| DTE Energy Co. | 6.375% | 4/15/33 | 435 | 524 |
| Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 1,700 | 2,244 |
| Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 1,350 | 1,656 |
| Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 1,225 | 1,295 |
| Duke Energy Indiana Inc. | 6.450% | 4/1/39 | 175 | 239 |
| Entergy Louisiana LLC | 5.400% | 11/1/24 | 725 | 854 |
| Entergy Louisiana LLC | 4.440% | 1/15/26 | 75 | 82 |
| Exelon Generation Co. LLC | 6.250% | 10/1/39 | 1,150 | 1,415 |
| Exelon Generation Co. LLC | 5.750% | 10/1/41 | 1,375 | 1,606 |
| FirstEnergy Corp. | 7.375% | 11/15/31 | 1,450 | 1,837 |
| FirstEnergy Solutions Corp. | 6.800% | 8/15/39 | 1,350 | 1,569 |
| Florida Power & Light Co. | 5.850% | 5/1/37 | 600 | 770 |
| Florida Power & Light Co. | 5.950% | 2/1/38 | 905 | 1,189 |
| Florida Power & Light Co. | 5.960% | 4/1/39 | 700 | 927 |
130
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Florida Power & Light Co. | 5.690% | 3/1/40 | 525 | 668 |
| Florida Power & Light Co. | 5.250% | 2/1/41 | 700 | 856 |
| Florida Power & Light Co. | 5.125% | 6/1/41 | 105 | 126 |
| Florida Power & Light Co. | 4.125% | 2/1/42 | 1,425 | 1,483 |
| Florida Power Corp. | 6.400% | 6/15/38 | 1,725 | 2,359 |
| Georgia Power Co. | 5.950% | 2/1/39 | 515 | 655 |
| Georgia Power Co. | 5.400% | 6/1/40 | 275 | 327 |
| Iberdrola International BV | 6.750% | 7/15/36 | 590 | 650 |
| Interstate Power & Light Co. | 6.250% | 7/15/39 | 200 | 261 |
| 1 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 425 | 449 |
| Kansas City Power & Light Co. | 5.300% | 10/1/41 | 600 | 648 |
| Kentucky Utilities Co. | 5.125% | 11/1/40 | 415 | 487 |
| MidAmerican Energy Co. | 5.750% | 11/1/35 | 400 | 484 |
| MidAmerican Energy Holdings Co. | 6.125% | 4/1/36 | 2,880 | 3,567 |
| MidAmerican Energy Holdings Co. | 5.950% | 5/15/37 | 250 | 300 |
| MidAmerican Energy Holdings Co. | 6.500% | 9/15/37 | 2,180 | 2,845 |
| National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 875 | 1,239 |
| Nevada Power Co. | 6.650% | 4/1/36 | 225 | 303 |
| Nevada Power Co. | 5.375% | 9/15/40 | 375 | 438 |
| Nevada Power Co. | 5.450% | 5/15/41 | 750 | 887 |
| Northern States Power Co. | 6.250% | 6/1/36 | 950 | 1,281 |
| Northern States Power Co. | 5.350% | 11/1/39 | 525 | 644 |
| Northern States Power Co. | 4.850% | 8/15/40 | 150 | 172 |
| Oglethorpe Power Corp. | 5.950% | 11/1/39 | 225 | 283 |
| Oglethorpe Power Corp. | 5.375% | 11/1/40 | 600 | 695 |
| Ohio Edison Co. | 6.875% | 7/15/36 | 300 | 376 |
| Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 275 | 342 |
| Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 1,700 | 2,145 |
| Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 1,350 | 1,479 |
| Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 2,855 | 3,588 |
| Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 1,075 | 1,339 |
| Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 100 | 133 |
| Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 300 | 392 |
| Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 200 | 239 |
| Pacific Gas & Electric Co. | 4.500% | 12/15/41 | 1,075 | 1,121 |
| PacifiCorp | 7.700% | 11/15/31 | 80 | 118 |
| PacifiCorp | 6.250% | 10/15/37 | 275 | 364 |
| PacifiCorp | 6.000% | 1/15/39 | 125 | 161 |
| PacifiCorp | 4.100% | 2/1/42 | 1,350 | 1,352 |
| Potomac Electric Power Co. | 6.500% | 11/15/37 | 1,200 | 1,619 |
| PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 200 | 268 |
| PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,075 | 1,286 |
| Progress Energy Inc. | 7.750% | 3/1/31 | 800 | 1,131 |
| Progress Energy Inc. | 7.000% | 10/30/31 | 350 | 456 |
| Progress Energy Inc. | 6.000% | 12/1/39 | 750 | 945 |
| PSEG Power LLC | 8.625% | 4/15/31 | 575 | 853 |
| Public Service Co. of Colorado | 6.250% | 9/1/37 | 150 | 201 |
| Public Service Co. of Colorado | 4.750% | 8/15/41 | 200 | 225 |
| Public Service Electric & Gas Co. | 5.700% | 12/1/36 | 100 | 126 |
| Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 500 | 637 |
| Public Service Electric & Gas Co. | 5.500% | 3/1/40 | 375 | 477 |
| Puget Sound Energy Inc. | 5.795% | 3/15/40 | 150 | 185 |
| Puget Sound Energy Inc. | 5.638% | 4/15/41 | 1,020 | 1,257 |
| Puget Sound Energy Inc. | 4.434% | 11/15/41 | 450 | 471 |
| San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 600 | 805 |
131
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 275 | 304 |
| San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 1,000 | 1,012 |
| South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 400 | 515 |
| South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 625 | 790 |
| South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 100 | 119 |
| South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 425 | 433 |
| Southern California Edison Co. | 6.000% | 1/15/34 | 1,625 | 2,092 |
| Southern California Edison Co. | 5.550% | 1/15/37 | 750 | 930 |
| Southern California Edison Co. | 5.950% | 2/1/38 | 650 | 852 |
| Southern California Edison Co. | 4.500% | 9/1/40 | 1,225 | 1,348 |
| Southern California Edison Co. | 3.900% | 12/1/41 | 200 | 200 |
| Southern Power Co. | 5.150% | 9/15/41 | 1,000 | 1,083 |
| Southwestern Electric Power Co. | 6.200% | 3/15/40 | 275 | 342 |
| Tampa Electric Co. | 6.150% | 5/15/37 | 100 | 126 |
| Toledo Edison Co. | 6.150% | 5/15/37 | 800 | 967 |
| TransAlta Corp. | 6.500% | 3/15/40 | 75 | 82 |
| Union Electric Co. | 8.450% | 3/15/39 | 500 | 806 |
| Virginia Electric and Power Co. | 3.450% | 9/1/22 | 1,400 | 1,478 |
| Virginia Electric and Power Co. | 6.000% | 5/15/37 | 2,050 | 2,657 |
| Virginia Electric and Power Co. | 8.875% | 11/15/38 | 400 | 664 |
| Westar Energy Inc. | 4.125% | 3/1/42 | 200 | 199 |
| Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 200 | 249 |
| Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 100 | 127 |
| Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 315 | 419 |
| Xcel Energy Inc. | 4.800% | 9/15/41 | 825 | 906 |
| Natural Gas (4.3%) | ||||
| AGL Capital Corp. | 6.000% | 10/1/34 | 150 | 175 |
| AGL Capital Corp. | 5.875% | 3/15/41 | 900 | 1,091 |
| Atmos Energy Corp. | 5.500% | 6/15/41 | 100 | 118 |
| CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 200 | 247 |
| CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 504 | 584 |
| DCP Midstream LLC | 8.125% | 8/16/30 | 125 | 157 |
| El Paso Natural Gas Co. | 8.375% | 6/15/32 | 740 | 913 |
| Enbridge Energy Partners LP | 7.500% | 4/15/38 | 850 | 1,133 |
| Enbridge Energy Partners LP | 5.500% | 9/15/40 | 450 | 504 |
| Energy Transfer Partners LP | 7.500% | 7/1/38 | 935 | 1,106 |
| Energy Transfer Partners LP | 6.050% | 6/1/41 | 456 | 485 |
| Energy Transfer Partners LP | 6.500% | 2/1/42 | 1,085 | 1,203 |
| Enterprise Products Operating LLC | 6.650% | 10/15/34 | 625 | 758 |
| Enterprise Products Operating LLC | 7.550% | 4/15/38 | 300 | 399 |
| Enterprise Products Operating LLC | 6.125% | 10/15/39 | 900 | 1,065 |
| Enterprise Products Operating LLC | 6.450% | 9/1/40 | 350 | 430 |
| Enterprise Products Operating LLC | 5.950% | 2/1/41 | 1,450 | 1,686 |
| Enterprise Products Operating LLC | 5.700% | 2/15/42 | 475 | 539 |
| Enterprise Products Operating LLC | 4.850% | 8/15/42 | 150 | 153 |
| KeySpan Corp. | 8.000% | 11/15/30 | 220 | 289 |
| Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 100 | 113 |
| Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 1,950 | 2,313 |
| Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 900 | 1,021 |
| Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 2,000 | 2,114 |
| Nisource Finance Corp. | 6.125% | 3/1/22 | 700 | 832 |
| Nisource Finance Corp. | 6.250% | 12/15/40 | 400 | 466 |
| Nisource Finance Corp. | 5.950% | 6/15/41 | 150 | 168 |
| ONEOK Inc. | 6.000% | 6/15/35 | 125 | 135 |
132
Long-Term Corporate Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| ONEOK Partners LP | 6.125% | 2/1/41 | 1,600 | 1,878 |
| Plains All American Pipeline LP / | ||||
| PAA Finance Corp. | 6.650% | 1/15/37 | 375 | 448 |
| Sempra Energy | 6.000% | 10/15/39 | 1,595 | 1,988 |
| Southern Natural Gas Co. | 8.000% | 3/1/32 | 225 | 282 |
| Southern Union Co. | 7.600% | 2/1/24 | 150 | 179 |
| Southern Union Co. | 8.250% | 11/15/29 | 219 | 263 |
| Spectra Energy Capital LLC | 7.500% | 9/15/38 | 325 | 420 |
| Sunoco Logistics Partners Operations LP | 6.850% | 2/15/40 | 150 | 178 |
| Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 150 | 165 |
| Tennessee Gas Pipeline Co. | 7.000% | 3/15/27 | 100 | 115 |
| Tennessee Gas Pipeline Co. | 7.625% | 4/1/37 | 200 | 237 |
| Texas Eastern Transmission LP | 7.000% | 7/15/32 | 200 | 250 |
| TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 275 | 346 |
| TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 300 | 421 |
| TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 1,707 | 2,508 |
| TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 1,500 | 1,927 |
| Williams Partners LP | 6.300% | 4/15/40 | 1,385 | 1,731 |
| Other Utility (0.1%) | ||||
| American Water Capital Corp. | 6.593% | 10/15/37 | 600 | 719 |
| United Utilities plc | 6.875% | 8/15/28 | 150 | 169 |
| Veolia Environnement SA | 6.750% | 6/1/38 | 175 | 201 |
| 131,672 | ||||
| Total Corporate Bonds (Cost $730,358) | 767,274 | |||
| Taxable Municipal Bonds (0.1%) | ||||
| New Jersey Educational Facilities Authority | ||||
| Revenue (Princeton University) | 5.700% | 3/1/39 | 275 | 358 |
| Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 125 | 133 |
| University of Southern California | 5.250% | 10/1/11 | 100 | 120 |
| Total Taxable Municipal Bonds (Cost $592) | 611 | |||
| Shares | ||||
| Temporary Cash Investment (1.0%) | ||||
| Money Market Fund (1.0%) | ||||
| 4 Vanguard Market Liquidity Fund (Cost $7,896) | 0.111% | 7,896,033 | 7,896 | |
| Total Investments (99.7%) (Cost $751,197) | 788,125 | |||
| Other Assets and Liabilities (0.3%) | ||||
| Other Assets | 19,325 | |||
| Liabilities | (17,046) | |||
| 2,279 | ||||
| Net Assets (100%) | 790,404 | |||
133
Long-Term Corporate Bond Index Fund
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 752,664 |
| Undistributed Net Investment Income | 14 |
| Accumulated Net Realized Gains | 650 |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 36,928 |
| Futures Contracts | 148 |
| Net Assets | 790,404 |
| Signal Shares—Net Assets | |
| Applicable to 527,065 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 12,374 |
| Net Asset Value Per Share—Signal Shares | $23.48 |
| Institutional Shares—Net Assets | |
| Applicable to 589,608 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 17,186 |
| Net Asset Value Per Share—Institutional Shares | $29.15 |
| ETF Shares—Net Assets | |
| Applicable to 8,700,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 760,844 |
| Net Asset Value Per Share—ETF Shares | $87.45 |
See Note A in Notes to Financial Statements.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012, the aggregate value of these securities was $4,449,000, representing 0.6% of net assets.
3 Securities with a value of $480,000 have been segregated as initial margin for open futures contracts.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
134
Long-Term Corporate Bond Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 10,705 |
| Total Income | 10,705 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 8 |
| Management and Administrative—Signal Shares | 5 |
| Management and Administrative—Institutional Shares | 5 |
| Management and Administrative—ETF Shares | 221 |
| Marketing and Distribution—Signal Shares | 2 |
| Marketing and Distribution—Institutional Shares | 2 |
| Marketing and Distribution—ETF Shares | 38 |
| Custodian Fees | 3 |
| Shareholders’ Reports—Signal Shares | — |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 7 |
| Total Expenses | 291 |
| Net Investment Income | 10,414 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 1,926 |
| Futures Contracts | (661) |
| Realized Net Gain (Loss) | 1,265 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 32,159 |
| Futures Contracts | 144 |
| Change in Unrealized Appreciation (Depreciation) | 32,303 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 43,982 |
| 1 Interest income from an affiliated company of the fund was $3,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
135
Long-Term Corporate Bond Index Fund
| Statement of Changes in Net Assets | ||
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 10,414 | 6,184 |
| Realized Net Gain (Loss) | 1,265 | 306 |
| Change in Unrealized Appreciation (Depreciation) | 32,303 | 207 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 43,982 | 6,697 |
| Distributions | ||
| Net Investment Income | ||
| Signal Shares | (244) | (341) |
| Institutional Shares | (392) | (497) |
| ETF Shares | (9,765) | (5,349) |
| Realized Capital Gain1 | ||
| Signal Shares | — | (10) |
| Institutional Shares | — | (26) |
| ETF Shares | — | (215) |
| Return of Capital | ||
| Total Distributions | (10,401) | (6,438) |
| Capital Share Transactions | ||
| Signal Shares | 2,148 | 5,659 |
| Institutional Shares | 1,132 | 7,603 |
| ETF Shares | 454,680 | 209,252 |
| Net Increase (Decrease) from Capital Share Transactions | 457,960 | 222,514 |
| Total Increase (Decrease) | 491,541 | 222,773 |
| Net Assets | ||
| Beginning of Period | 298,863 | 76,090 |
| End of Period2 | 790,404 | 298,863 |
1 Includes fiscal 2011 short-term gain distributions totaling $251,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed net investment income of $14,000 and $1,000.
See accompanying Notes, which are an integral part of the Financial Statements.
136
Long-Term Corporate Bond Index Fund
Financial Highlights
| Signal Shares | |||
| Six Months | Year | Jan. 19, | |
| Ended | Ended | 20101 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $21.69 | $22.00 | $20.12 |
| Investment Operations | |||
| Net Investment Income | .523 | 1.100 | .680 |
| Net Realized and Unrealized Gain (Loss) on Investments2 | 1.790 | (.246) | 1.936 |
| Total from Investment Operations | 2.313 | .854 | 2.616 |
| Distributions | |||
| Dividends from Net Investment Income | (.523) | (1.100) | (.736) |
| Distributions from Realized Capital Gains | — | (.064) | — |
| Total Distributions | (.523) | (1.164) | (.736) |
| Net Asset Value, End of Period | $23.48 | $21.69 | $22.00 |
| Total Return3 | 10.77% | 4.21% | 13.37% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $12 | $9 | $4 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15%4 |
| Ratio of Net Investment Income to Average Net Assets | 4.94% | 5.36% | 5.65%4 |
| Portfolio Turnover Rate5 | 93% | 110% | 41% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Includes increases from purchase fees of $.00, $.04, and $.03.
3 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
4 Annualized.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
137
Long-Term Corporate Bond Index Fund
Financial Highlights
| Institutional Shares | |||
| Six Months | Year | Nov. 19, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $26.93 | $27.32 | $24.89 |
| Investment Operations | |||
| Net Investment Income | .658 | 1.377 | 1.090 |
| Net Realized and Unrealized Gain (Loss) on Investments2 | 2.219 | (.308) | 2.428 |
| Total from Investment Operations | 2.877 | 1.069 | 3.518 |
| Distributions | |||
| Dividends from Net Investment Income | (.657) | (1.379) | (1.088) |
| Distributions from Realized Capital Gains | — | (.080) | — |
| Total Distributions | (.657) | (1.459) | (1.088) |
| Net Asset Value, End of Period | $29.15 | $26.93 | $27.32 |
| Total Return3 | 10.80% | 4.25% | 14.61% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $17 | $15 | $7 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09%4 |
| Ratio of Net Investment Income to Average Net Assets | 4.99% | 5.41% | 5.71%4 |
| Portfolio Turnover Rate5 | 93% | 110% | 41% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Includes increases from purchase fees of $.00, $.04, and $.03.
3 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
4 Annualized.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
138
Long-Term Corporate Bond Index Fund
Financial Highlights
| ETF Shares | |||
| Six Months | Year | Nov. 19, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $80.80 | $81.96 | $74.67 |
| Investment Operations | |||
| Net Investment Income | 1.951 | 4.091 | 3.236 |
| Net Realized and Unrealized Gain (Loss) on Investments2 | 6.648 | (.917) | 7.286 |
| Total from Investment Operations | 8.599 | 3.174 | 10.522 |
| Distributions | |||
| Dividends from Net Investment Income | (1.949) | (4.095) | (3.232) |
| Distributions from Realized Capital Gains | — | (.239) | — |
| Total Distributions | (1.949) | (4.334) | (3.232) |
| Net Asset Value, End of Period | $87.45 | $80.80 | $81.96 |
| Total Return | 10.74% | 4.19% | 14.54% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $761 | $275 | $66 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15%3 |
| Ratio of Net Investment Income to Average Net Assets | 4.94% | 5.36% | 5.65%3 |
| Portfolio Turnover Rate4 | 93% | 110% | 41% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Includes increases from purchase fees of $.01, $.07, and $.10.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
139
Long-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Long-Term Corporate Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers three classes of shares: Signal Shares, Institutional Shares, and ETF Shares. Signal Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued based upon their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2010–2011), and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on purchases of capital shares are credited to paid-in capital.
140
Long-Term Corporate Bond Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $78,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.03% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 12,344 | — |
| Corporate Bonds | — | 767,274 | — |
| Taxable Municipal Bonds | — | 611 | — |
| Temporary Cash Investments | 7,896 | — | — |
| Futures Contracts—Assets1 | 129 | — | — |
| Futures Contracts—Liabilities1 | (151) | ||
| Total | 7,874 | 780,229 | — |
| 1 Represents variation margin on the last day of the reporting period. | |||
141
Long-Term Corporate Bond Index Fund
D. At February 29, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| 30-Year U.S. Treasury Bond | June 2012 | 195 | 27,623 | 74 |
| Ultra Long U.S. Treasury Bond | June 2012 | (159) | (25,003) | 74 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2011, the fund had available capital loss carryforwards totaling $7,000 to offset future net capital gains through August 31, 2019. In addition, the fund realized losses of $546,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2012, the cost of investment securities for tax purposes was $751,197,000. Net unrealized appreciation of investment securities for tax purposes was $36,928,000, consisting of unrealized gains of $37,600,000 on securities that had risen in value since their purchase and $672,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2012, the fund purchased $510,807,000 of investment securities and sold $76,741,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $125,150,000 and $118,197,000, respectively.
142
Long-Term Corporate Bond Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Signal Shares | ||||
| Issued1 | 2,240 | 99 | 6,808 | 323 |
| Issued in Lieu of Cash Distributions | 243 | 11 | 351 | 17 |
| Redeemed | (335) | (15) | (1,500) | (67) |
| Net Increase (Decrease)—Signal Shares | 2,148 | 95 | 5,659 | 273 |
| Institutional Shares | ||||
| Issued1 | 7,229 | 252 | 7,080 | 272 |
| Issued in Lieu of Cash Distributions | 392 | 14 | 523 | 20 |
| Redeemed | (6,489) | (225) | — | — |
| Net Increase (Decrease)—Institutional Shares | 1,132 | 41 | 7,603 | 292 |
| ETF Shares | ||||
| Issued1 | 454,680 | 5,300 | 233,137 | 2,900 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (23,885) | (300) |
| Net Increase (Decrease)—ETF Shares | 454,680 | 5,300 | 209,252 | 2,600 |
| 1 Includes purchase fees for fiscal 2012 and 2011 of $71,000 and $287,000, respectively (fund totals). | ||||
At February 29, 2012, one shareholder was the record or beneficial owner of 28% of the fund’s net assets. If the shareholder were to redeem its total investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or result in the realization of taxable capital gains.
H. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
143
Mortgage-Backed Securities Index Fund
Fund Profile
As of February 29, 2012
| Share-Class Characteristics | ||
| Signal | ETF | |
| Shares | Shares | |
| Ticker Symbol | VMBSX | VMBS |
| Expense Ratio1 | 0.15% | 0.15% |
| 30-Day SEC Yield | 1.73% | 1.73% |
| Financial Attributes | |||
| Barclays | |||
| MBS | Barclays | ||
| Float Adj | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 3422 | 959 | 7,819 |
| Yield to Maturity | |||
| (before expenses) | 2.5% | 2.6% | 2.1% |
| Average Coupon | 4.7% | 4.7% | 3.9% |
| Average Duration | 2.8 years | 2.9 years | 5.1 years |
| Average Effective | |||
| Maturity | 4.7 years | 4.8 years | 7.2 years |
| Short-Term | |||
| Reserves | 0.6% | — | — |
| Sector Diversification (% of portfolio) | |
| Government Mortgage-Backed | 100.0% |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 99.4% |
| Aaa | 0.6 |
For information about these ratings, see the Glossary entry for Credit Quality.
| Distribution by Coupon (% of portfolio) | |
| Below 5% | 77.4% |
| 5% - 6% | 19.4 |
| Above 6% | 3.2 |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the annualized expense ratios were 0.15% for Signal Shares and 0.15% for ETF Shares.
2 Issues are mortgage pools grouped by coupon.
144
Mortgage-Backed Securities Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2012 | ||
| Barclays | ||
| MBS | ||
| Float Adj | ||
| ETF Shares Net Asset Value | Index | |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 4.39% | 4.23% |
| 2011 | 5.14 | 5.11 |
| 2012 | 1.45 | 1.53 |
| Note: For 2012, performance data reflect the six months ended February 29, 2012. | ||
Average Annual Total Returns: Periods Ended December 31, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Since Inception | |||||
| Inception Date | One Year | Income | Capital | Total | |
| Signal Shares | 12/3/2009 | 5.88% | 2.30% | 2.64% | 4.94% |
| ETF Shares | 11/19/2009 | ||||
| Market Price | 5.92 | 5.00 | |||
| Net Asset Value | 5.89 | 4.97 |
See Financial Highlights for dividend and capital gains information.
145
Mortgage-Backed Securities Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| U.S. Government and Agency Obligations (99.2%) | |||||
| Conventional Mortgage-Backed Securities (95.6%) | |||||
| 1,2,3 Fannie Mae Pool | 3.000% | 3/1/27 | 2,250 | 2,334 | |
| 1,2,3 Fannie Mae Pool | 3.500% | 9/1/25–3/1/42 | 6,779 | 7,069 | |
| 1,2,3 Fannie Mae Pool | 4.000% | 7/1/18–3/1/42 | 13,470 | 14,210 | |
| 1,2,3 Fannie Mae Pool | 4.500% | 2/1/18–3/1/42 | 12,351 | 13,191 | |
| 1,2,3 Fannie Mae Pool | 5.000% | 3/1/17–3/1/42 | 11,123 | 12,027 | |
| 1,2,3 Fannie Mae Pool | 5.500% | 12/1/16–3/1/42 | 9,830 | 10,743 | |
| 1,2,3 Fannie Mae Pool | 6.000% | 12/1/13–3/1/42 | 7,219 | 7,988 | |
| 1,2,3 Fannie Mae Pool | 6.500% | 4/1/16–3/1/42 | 2,571 | 2,902 | |
| 1,2 | Fannie Mae Pool | 7.000% | 12/1/15–8/1/37 | 473 | 538 |
| 1,2,3 Freddie Mac Gold Pool | 3.000% | 3/1/27 | 1,450 | 1,502 | |
| 1,2,3 Freddie Mac Gold Pool | 3.500% | 3/1/26–3/1/42 | 3,091 | 3,221 | |
| 1,2,3 Freddie Mac Gold Pool | 4.000% | 7/1/18–3/1/42 | 8,079 | 8,508 | |
| 1,2,3 Freddie Mac Gold Pool | 4.500% | 2/1/18–3/1/42 | 8,608 | 9,166 | |
| 1,2,3 Freddie Mac Gold Pool | 5.000% | 9/1/15–3/1/42 | 7,613 | 8,204 | |
| 1,2,3 Freddie Mac Gold Pool | 5.500% | 4/1/14–3/1/42 | 7,279 | 7,915 | |
| 1,2,3 Freddie Mac Gold Pool | 6.000% | 4/1/14–3/1/42 | 4,657 | 5,125 | |
| 1,2 | Freddie Mac Gold Pool | 6.500% | 1/1/29–9/1/39 | 1,279 | 1,438 |
| 1,2 | Freddie Mac Gold Pool | 7.000% | 7/1/28–2/1/37 | 380 | 434 |
| 1,2 | Freddie Mac Gold Pool | 8.000% | 11/1/22 | 4 | 5 |
| 1,3 | Ginnie Mae I Pool | 3.500% | 2/15/26–3/1/42 | 409 | 431 |
| 1,3 | Ginnie Mae I Pool | 4.000% | 10/15/24–3/1/42 | 3,258 | 3,512 |
| 1 | Ginnie Mae I Pool | 4.500% | 9/15/18–3/1/42 | 5,226 | 5,708 |
| 1,3 | Ginnie Mae I Pool | 5.000% | 1/15/18–3/1/42 | 3,376 | 3,732 |
| 1,3 | Ginnie Mae I Pool | 5.500% | 10/15/32–3/1/42 | 2,261 | 2,524 |
| 1 | Ginnie Mae I Pool | 6.000% | 4/15/28–5/15/41 | 1,045 | 1,178 |
| 1 | Ginnie Mae I Pool | 6.500% | 5/15/24–1/15/39 | 574 | 659 |
| 1 | Ginnie Mae I Pool | 7.000% | 10/15/27 | 16 | 19 |
| 1,3 | Ginnie Mae II Pool | 3.500% | 7/20/26–3/1/42 | 1,682 | 1,765 |
| 1,3 | Ginnie Mae II Pool | 4.000% | 9/20/25–3/1/42 | 4,541 | 4,890 |
| 1,3 | Ginnie Mae II Pool | 4.500% | 4/20/18–3/1/42 | 6,917 | 7,551 |
| 1,3 | Ginnie Mae II Pool | 5.000% | 6/20/33–3/1/42 | 4,951 | 5,463 |
| 1 | Ginnie Mae II Pool | 5.500% | 12/20/33–12/20/41 | 1,693 | 1,877 |
| 1 | Ginnie Mae II Pool | 6.000% | 1/20/32–3/1/42 | 1,454 | 1,628 |
| 1 | Ginnie Mae II Pool | 6.500% | 10/20/28–11/20/38 | 282 | 322 |
| 1 | Ginnie Mae II Pool | 7.000% | 4/20/38–11/20/38 | 78 | 89 |
| 157,868 | |||||
146
Mortgage-Backed Securities Index Fund
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| Nonconventional Mortgage-Backed Securities (3.6%) | |||||
| 1,2,4 Fannie Mae Pool | 2.827% | 3/1/41 | 61 | 63 | |
| 1,2,4 Fannie Mae Pool | 2.925% | 12/1/40 | 351 | 364 | |
| 1,2,4 Fannie Mae Pool | 3.121% | 12/1/40–2/1/41 | 104 | 109 | |
| 1,2,4 Fannie Mae Pool | 3.163% | 2/1/41 | 92 | 95 | |
| 1,2,4 Fannie Mae Pool | 3.174% | 12/1/40 | 63 | 66 | |
| 1,2,4 Fannie Mae Pool | 3.242% | 10/1/40 | 109 | 113 | |
| 1,2,4 Fannie Mae Pool | 3.258% | 11/1/40 | 62 | 65 | |
| 1,2,4 Fannie Mae Pool | 3.298% | 1/1/40 | 19 | 20 | |
| 1,2,4 Fannie Mae Pool | 3.447% | 12/1/39 | 901 | 942 | |
| 1,2,4 Fannie Mae Pool | 3.510% | 5/1/40 | 38 | 40 | |
| 1,2,4 Fannie Mae Pool | 3.536% | 3/1/40 | 32 | 34 | |
| 1,2,4 Fannie Mae Pool | 3.539% | 10/1/39 | 139 | 145 | |
| 1,2 Fannie Mae Pool | 3.580% | 8/1/39 | 143 | 150 | |
| 1,2,4 Fannie Mae Pool | 3.600% | 4/1/41 | 66 | 69 | |
| 1,2,4 Fannie Mae Pool | 3.610% | 11/1/39 | 138 | 144 | |
| 1,2,4 Fannie Mae Pool | 3.698% | 5/1/40 | 320 | 336 | |
| 1,2,4 Fannie Mae Pool | 3.831% | 9/1/40 | 169 | 184 | |
| 1,2,4 Fannie Mae Pool | 5.098% | 3/1/38 | 125 | 135 | |
| 1,2,4 Fannie Mae Pool | 5.499% | 3/1/37 | 262 | 271 | |
| 1,2,4 Fannie Mae Pool | 5.713% | 4/1/37 | 76 | 82 | |
| 1,2,4 Fannie Mae Pool | 6.304% | 9/1/37 | 45 | 47 | |
| 1,2,4 Freddie Mac Non Gold Pool | 2.711% | 12/1/40 | 214 | 221 | |
| 1,2,4 Freddie Mac Non Gold Pool | 2.825% | 1/1/41 | 238 | 246 | |
| 1,2,4 Freddie Mac Non Gold Pool | 2.976% | 2/1/41 | 64 | 66 | |
| 1,2,4 Freddie Mac Non Gold Pool | 3.328% | 4/1/40 | 51 | 53 | |
| 1,2,4 Freddie Mac Non Gold Pool | 3.356% | 5/1/40 | 13 | 14 | |
| 1,2,4 Freddie Mac Non Gold Pool | 3.506% | 8/1/40 | 187 | 200 | |
| 1,2,4 Freddie Mac Non Gold Pool | 3.570% | 11/1/39 | 154 | 162 | |
| 1,2,4 Freddie Mac Non Gold Pool | 3.598% | 6/1/40 | 176 | 184 | |
| 1,2,4 Freddie Mac Non Gold Pool | 3.622% | 1/1/40 | 107 | 112 | |
| 1,2,4 Freddie Mac Non Gold Pool | 3.675% | 9/1/40 | 250 | 263 | |
| 1,2,4 Freddie Mac Non Gold Pool | 3.975% | 12/1/39–3/1/40 | 342 | 362 | |
| 1,2,4 Freddie Mac Non Gold Pool | 5.800% | 10/1/37 | 61 | 63 | |
| 1,2,4 Freddie Mac Non Gold Pool | 6.385% | 2/1/37 | 118 | 128 | |
| 1 | Ginnie Mae II Pool | 2.500% | 1/20/41–2/20/41 | 138 | 144 |
| 1 | Ginnie Mae II Pool | 3.000% | 4/20/41–5/20/41 | 88 | 93 |
| 1 | Ginnie Mae II Pool | 4.000% | 12/20/39 | 209 | 221 |
| 6,006 | |||||
| Total U.S. Government and Agency Obligations (Cost $162,248) | 163,874 | ||||
| Shares | |||||
| Temporary Cash Investment (23.4%) | |||||
| Money Market Fund (23.4%) | |||||
| 5 | Vanguard Market Liquidity Fund (Cost $38,701) | 0.111% | 38,701,082 | 38,701 | |
| Total Investments (122.6%) (Cost $200,949) | 202,575 | ||||
| Other Assets and Liabilities (-22.6%) | |||||
| Other Assets | 9,956 | ||||
| Liabilities | (47,363) | ||||
| (37,407) | |||||
| Net Assets (100%) | 165,168 | ||||
147
Mortgage-Backed Securities Index Fund
| Market | |
| Value | |
| ($000) | |
| Statement of Assets and Liabilities | |
| Assets | |
| Investments in Securities, at Value | 202,575 |
| Receivables for Investment Securities Sold | 9,372 |
| Other Assets | 584 |
| Total Assets | 212,531 |
| Liabilities | |
| Payables for Investment Securities Purchased | 46,968 |
| Other Liabilities | 395 |
| Total Liabilities | 47,363 |
| Net Assets | 165,168 |
| At February 29, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 162,837 |
| Undistributed Net Investment Income | — |
| Accumulated Net Realized Gains | 705 |
| Unrealized Appreciation (Depreciation) | 1,626 |
| Net Assets | 165,168 |
| Signal Shares—Net Assets | |
| Applicable to 206,264 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 4,283 |
| Net Asset Value Per Share—Signal Shares | $20.76 |
| ETF Shares—Net Assets | |
| Applicable to 3,100,980 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 160,885 |
| Net Asset Value Per Share—ETF Shares | $51.88 |
See Note A in Notes to Financial Statements.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 29, 2012.
4 Adjustable-rate security.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
148
Mortgage-Backed Securities Index Fund
| Statement of Operations | |
| Six Months Ended | |
| February 29, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 1,337 |
| Total Income | 1,337 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 1 |
| Management and Administrative—Signal Shares | 7 |
| Management and Administrative—ETF Shares | 57 |
| Marketing and Distribution—Signal Shares | 1 |
| Marketing and Distribution—ETF Shares | 7 |
| Custodian Fees | 16 |
| Shareholders’ Reports—Signal Shares | — |
| Shareholders’ Reports—ETF Shares | 5 |
| Total Expenses | 94 |
| Net Investment Income | 1,243 |
| Realized Net Gain (Loss) on Investment Securities Sold | 790 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (171) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,862 |
| 1 Interest income from an affiliated company of the fund was $15,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
149
Mortgage-Backed Securities Index Fund
| Statement of Changes in Net Assets | ||
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,243 | 1,315 |
| Realized Net Gain (Loss) | 790 | 663 |
| Change in Unrealized Appreciation (Depreciation) | (171) | 1,402 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,862 | 3,380 |
| Distributions | ||
| Net Investment Income | ||
| Signal Shares | (118) | (219) |
| ETF Shares | (1,118) | (1,097) |
| Realized Capital Gain1 | ||
| Signal Shares | (78) | (100) |
| ETF Shares | (633) | (576) |
| Total Distributions | (1,947) | (1,992) |
| Capital Share Transactions | ||
| Signal Shares | (10,670) | 8,572 |
| ETF Shares | 88,262 | 40,764 |
| Net Increase (Decrease) from Capital Share Transactions | 77,592 | 49,336 |
| Total Increase (Decrease) | 77,507 | 50,724 |
| Net Assets | ||
| Beginning of Period | 87,661 | 36,937 |
| End of Period2 | 165,168 | 87,661 |
1 Includes fiscal 2012 and 2011 short-term gain distributions totaling $682,000 and $676,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $0 and ($7,000).
See accompanying Notes, which are an integral part of the Financial Statements.
150
Mortgage-Backed Securities Index Fund
Financial Highlights
| Signal Shares | |||
| Six Months | Year | Dec. 3, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $20.76 | $20.52 | $20.04 |
| Investment Operations | |||
| Net Investment Income | .201 | .456 | .332 |
| Net Realized and Unrealized Gain (Loss) on Investments | .099 | .569 | .487 |
| Total from Investment Operations | .300 | 1.025 | .819 |
| Distributions | |||
| Dividends from Net Investment Income | (.199) | (.456) | (.339) |
| Distributions from Realized Capital Gains | (.101) | (.329) | — |
| Total Distributions | (.300) | (.785) | (.339) |
| Net Asset Value, End of Period | $20.76 | $20.76 | $20.52 |
| Total Return | 1.46% | 5.16% | 4.13% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $4 | $15 | $6 |
| Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15%2 |
| Ratio of Net Investment Income to Average Net Assets | 1.99% | 2.30% | 2.12%2 |
| Portfolio Turnover Rate3 | 424% | 344% | 402% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Includes 163%, 187%, and 166% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
151
Mortgage-Backed Securities Index Fund
Financial Highlights
| ETF Shares | |||
| Six Months | Year | Nov. 19, | |
| Ended | Ended | 20091 to | |
| February 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $51.90 | $51.31 | $49.98 |
| Investment Operations | |||
| Net Investment Income | .516 | 1.142 | .836 |
| Net Realized and Unrealized Gain (Loss) on Investments | .229 | 1.412 | 1.338 |
| Total from Investment Operations | .745 | 2.554 | 2.174 |
| Distributions | |||
| Dividends from Net Investment Income | (.512) | (1.142) | (.844) |
| Distributions from Realized Capital Gains | (.253) | (.822) | — |
| Total Distributions | (.765) | (1.964) | (.844) |
| Net Asset Value, End of Period | $51.88 | $51.90 | $51.31 |
| Total Return | 1.45% | 5.14% | 4.39% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $161 | $73 | $31 |
| Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15%2 |
| Ratio of Net Investment Income to Average Net Assets | 1.99% | 2.30% | 2.12%2 |
| Portfolio Turnover Rate3 | 424% | 344% | 402% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Includes 163%, 187%, and 166% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
152
Mortgage-Backed Securities Index Fund
Notes to Financial Statements
Vanguard Mortgage-Backed Securities Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Signal Shares, Institutional Shares, and ETF Shares. Signal Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may enter into TBA sells to reduce its exposure to the mortgage-backed securities market or in order to dispose of mortgage-backed securities it owns under delayed-delivery arrangements. For TBA purchases, the fund maintains cash or short-term investments until settlement date in an amount sufficient to meet the purchase price.
3. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations. This risk is mitigated by entering into mortgage dollar rolls only with highly rated counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.
153
Mortgage-Backed Securities Index Fund
In April 2011, the Financial Accounting Standards Board adopted Accounting Standards Update (ASU) 2011-03, “Transfers and Servicing (Topic 860)—Reconsideration of Effective Control for Repurchase Agreements.” The ASU takes effect for periods beginning after December 15, 2011. Under the ASU, certain mortgage-dollar-roll transactions that previously would have been accounted for as purchases and sales may be accounted for as financing transactions. Treating these transactions as financing would have no impact on total return, but certain transactions that previously resulted in realized gains and losses would instead be reflected in net income and unrealized gains and losses. Management has concluded that treating the mortgage-dollar-roll arrangements entered into by the fund as purchases and sales continues to be appropriate.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2010–2011), and for the period ended February 29, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees, if any, assessed on purchases of capital shares are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 29, 2012, the fund had contributed capital of $24,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
154
Mortgage-Backed Securities Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 163,874 | — |
| Temporary Cash Investments | 38,701 | — | — |
| Total | 38,701 | 163,874 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
At February 29, 2012, the cost of investment securities for tax purposes was $200,951,000. Net unrealized appreciation of investment securities for tax purposes was $1,624,000, consisting of unrealized gains of $1,743,000 on securities that had risen in value since their purchase and $119,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $336,034,000 of investment securities and sold $258,709,000 of investment securities, other than temporary cash investments.
155
Mortgage-Backed Securities Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2012 | August 31, 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Signal Shares | ||||
| Issued | 1,897 | 92 | 8,577 | 423 |
| Issued in Lieu of Cash Distributions | 196 | 9 | 319 | 16 |
| Redeemed | (12,763) | (615) | (324) | (16) |
| Net Increase (Decrease)—Signal Shares | (10,670) | (514) | 8,572 | 423 |
| ETF Shares | ||||
| Issued | 88,262 | 1,700 | 40,764 | 800 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | — | — |
| Net Increase (Decrease)—ETF Shares | 88,262 | 1,700 | 40,764 | 800 |
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
156
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
157
| Six Months Ended February 29, 2012 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 8/31/2011 | 2/29/2012 | Period | |
| Based on Actual Fund Return | |||
| Short-Term Government Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,000.15 | $0.70 |
| Institutional Shares | 1,000.00 | 1,000.82 | 0.45 |
| ETF Shares | 1,000.00 | 1,000.48 | 0.70 |
| Intermediate-Term Government Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,017.85 | $0.70 |
| Institutional Shares | 1,000.00 | 1,017.83 | 0.45 |
| ETF Shares | 1,000.00 | 1,017.79 | 0.70 |
| Long-Term Government Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,091.65 | $0.73 |
| Institutional Shares | 1,000.00 | 1,092.56 | 0.47 |
| ETF Shares | 1,000.00 | 1,091.96 | 0.73 |
| Short-Term Corporate Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,022.83 | $0.70 |
| Institutional Shares | 1,000.00 | 1,022.73 | 0.45 |
| ETF Shares | 1,000.00 | 1,022.77 | 0.70 |
| Intermediate-Term Corporate Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,050.97 | $0.71 |
| Institutional Shares | 1,000.00 | 1,050.80 | 0.46 |
| ETF Shares | 1,000.00 | 1,050.91 | 0.71 |
| Long-Term Corporate Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,107.75 | $0.73 |
| Institutional Shares | 1,000.00 | 1,107.96 | 0.47 |
| ETF Shares | 1,000.00 | 1,107.40 | 0.73 |
| Mortgage-Backed Securities Index Fund | |||
| Signal Shares | $1,000.00 | $1,014.58 | $0.75 |
| ETF Shares | 1,000.00 | 1,014.48 | 0.75 |
158
| Six Months Ended February 29, 2012 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 8/31/2011 | 2/29/2012 | Period | |
| Based on Hypothetical 5% Yearly Return | |||
| Short-Term Government Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,024.17 | $0.70 |
| Institutional Shares | 1,000.00 | 1,024.42 | 0.45 |
| ETF Shares | 1,000.00 | 1,024.17 | 0.70 |
| Intermediate-Term Government Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,024.17 | $0.70 |
| Institutional Shares | 1,000.00 | 1,024.42 | 0.45 |
| ETF Shares | 1,000.00 | 1,024.17 | 0.70 |
| Long-Term Government Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,024.17 | $0.70 |
| Institutional Shares | 1,000.00 | 1,024.42 | 0.45 |
| ETF Shares | 1,000.00 | 1,024.17 | 0.70 |
| Short-Term Corporate Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,024.17 | $0.70 |
| Institutional Shares | 1,000.00 | 1,024.42 | 0.45 |
| ETF Shares | 1,000.00 | 1,024.17 | 0.70 |
| Intermediate-Term Corporate Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,024.17 | $0.70 |
| Institutional Shares | 1,000.00 | 1,024.42 | 0.45 |
| ETF Shares | 1,000.00 | 1,024.17 | 0.70 |
| Long-Term Corporate Bond Index Fund | |||
| Signal Shares | $1,000.00 | $1,024.17 | $0.70 |
| Institutional Shares | 1,000.00 | 1,024.42 | 0.45 |
| ETF Shares | 1,000.00 | 1,024.17 | 0.70 |
| Mortgage-Backed Securities Index Fund | |||
| Signal Shares | $1,000.00 | $1,024.12 | $0.75 |
| ETF Shares | 1,000.00 | 1,024.12 | 0.75 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Government Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Intermediate-Term Government Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Long-Term Government Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Short-Term Corporate Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Intermediate-Term Corporate Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Long-Term Corporate Bond Index Fund, 0.14% for Signal Shares, 0.09% for Institutional Shares, and 0.14% for ETF Shares; for the Mortgage-Backed Securities Index Fund, 0.15% for Signal Shares and 0.15% for ETF Shares. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
159
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). “Not Rated” is used to classify securities for which a rating is not available. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Barclays Capital using ratings generally derived from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating is shown.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| Interested Trustee1 | and President (2006–2008) of Rohm Haas Co. |
| (chemicals); Director of Tyco International, Ltd. | |
| F. William McNabb III | (diversified manufacturing and services), Hewlett- |
| Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing), |
| Board. Principal Occupation(s) During the Past Five | and Delphi Automotive LLP (automotive components); |
| Years: Chairman of the Board of The Vanguard Group, | Senior Advisor at New Mountain Capital; Trustee of |
| Inc., and of each of the investment companies served | The Conference Board. |
| by The Vanguard Group, since January 2010; Director | |
| of The Vanguard Group since 2008; Chief Executive | Amy Gutmann |
| Officer and President of The Vanguard Group and of | Born 1949. Trustee Since June 2006. Principal |
| each of the investment companies served by The | Occupation(s) During the Past Five Years: President |
| Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Christopher H. |
| Marketing Corporation; Managing Director of The | Browne Distinguished Professor of Political Science |
| Vanguard Group (1995–2008). | in the School of Arts and Sciences with secondary |
| appointments at the Annenberg School for Commu- | |
| nication and the Graduate School of Education | |
| Independent Trustees | of the University of Pennsylvania; Director of |
| Carnegie Corporation of New York, Schuylkill River | |
| Emerson U. Fullwood | Development Corporation, and Greater Philadelphia |
| Born 1948. Trustee Since January 2008. Principal | Chamber of Commerce; Trustee of the National |
| Occupation(s) During the Past Five Years: Executive | Constitution Center; Chair of the Presidential |
| Chief Staff and Marketing Officer for North America | Commission for the Study of Bioethical Issues. |
| and Corporate Vice President (retired 2008) of Xerox | |
| Corporation (document management products and | JoAnn Heffernan Heisen |
| services); Executive in Residence and 2010 | Born 1950. Trustee Since July 1998. Principal |
| Distinguished Minett Professor at the Rochester | Occupation(s) During the Past Five Years: Corporate |
| Institute of Technology; Director of SPX Corporation | Vice President and Chief Global Diversity Officer |
| (multi-industry manufacturing), the United Way of | (retired 2008) and Member of the Executive |
| Rochester, Amerigroup Corporation (managed health | Committee (1997–2008) of Johnson & Johnson |
| care), the University of Rochester Medical Center, | (pharmaceuticals/medical devices/consumer |
| Monroe Community College Foundation, and North | products); Director of Skytop Lodge Corporation |
| Carolina A&T University. | (hotels), the University Medical Center at Princeton, |
| the Robert Wood Johnson Foundation, and the Center | |
| Rajiv L. Gupta | for Talent Innovation; Member of the Advisory Board |
| Born 1945. Trustee Since December 2001.2 | of the Maxwell School of Citizenship and Public Affairs |
| Principal Occupation(s) During the Past Five Years: | at Syracuse University. |
| Chairman and Chief Executive Officer (retired 2009) |
| F. Joseph Loughrey | Group since 2010; Assistant Controller of each of | |
| Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard | |
| Occupation(s) During the Past Five Years: President | Group (2001–2010). | |
| and Chief Operating Officer (retired 2009) and Vice | ||
| Chairman of the Board (2008–2009) of Cummins Inc. | Thomas J. Higgins | |
| (industrial machinery); Director of SKF AB (industrial | Born 1957. Chief Financial Officer Since September | |
| machinery), Hillenbrand, Inc. (specialized consumer | 2008. Principal Occupation(s) During the Past Five | |
| services), the Lumina Foundation for Education, and | Years: Principal of The Vanguard Group, Inc.; Chief | |
| Oxfam America; Chairman of the Advisory Council | Financial Officer of each of the investment companies | |
| for the College of Arts and Letters and Member | served by The Vanguard Group since 2008; Treasurer | |
| of the Advisory Board to the Kellogg Institute for | of each of the investment companies served by The | |
| International Studies at the University of Notre Dame. | Vanguard Group (1998–2008). | |
| André F. Perold | Kathryn J. Hyatt | |
| Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
| Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
| Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
| Business School (retired 2011); Chief Investment | the investment companies served by The Vanguard | |
| Officer and Managing Partner of HighVista Strategies | Group since 2008; Assistant Treasurer of each of the | |
| LLC (private investment firm); Director of Rand | investment companies served by The Vanguard Group | |
| Merchant Bank; Overseer of the Museum of Fine | (1988–2008). | |
| Arts Boston. | ||
| Heidi Stam | ||
| Alfred M. Rankin, Jr. | Born 1956. Secretary Since July 2005. Principal | |
| Born 1941. Trustee Since January 1993. Principal | Occupation(s) During the Past Five Years: Managing | |
| Occupation(s) During the Past Five Years: Chairman, | Director of The Vanguard Group, Inc., since 2006; | |
| President, and Chief Executive Officer of NACCO | General Counsel of The Vanguard Group since 2005; | |
| Industries, Inc. (forklift trucks/housewares/lignite); | Secretary of The Vanguard Group and of each of the | |
| Director of Goodrich Corporation (industrial products/ | investment companies served by The Vanguard Group | |
| aircraft systems and services) and the National | since 2005; Director and Senior Vice President of | |
| Association of Manufacturers; Chairman of the Board | Vanguard Marketing Corporation since 2005; | |
| of the Federal Reserve Bank of Cleveland and of | Principal of The Vanguard Group (1997–2006). | |
| University Hospitals of Cleveland; Advisory Chairman | ||
| of the Board of The Cleveland Museum of Art. | ||
| Vanguard Senior Management Team | ||
| Peter F. Volanakis | ||
| Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | Michael S. Miller |
| Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | James M. Norris |
| and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | Glenn W. Reed |
| Incorporated (communications equipment); Director of | Martha G. King | George U. Sauter |
| Corning Incorporated (2000-2010) and Dow Corning | Chris D. McIsaac | |
| (2001–2010); Director of SPX Corporation (multi- | ||
| industry manufacturing); Overseer of the Amos Tuck | Chairman Emeritus and Senior Advisor | |
| School of Business Administration at Dartmouth | ||
| College; Advisor to the Norris Cotton Cancer Center. | John J. Brennan | |
| Chairman, 1996–2009 | ||
| Chief Executive Officer and President, 1996–2008 | ||
| Executive Officers | ||
| Glenn Booraem | Founder | |
| Born 1967. Controller Since July 2010. Principal | ||
| Occupation(s) During the Past Five Years: Principal | John C. Bogle | |
| of The Vanguard Group, Inc.; Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
| the investment companies served by The Vanguard | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
 | |
| P.O. Box 2600 | |
| Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
| Vanguard ETFs are not sponsored, endorsed, sold, or | |
| Fund Information > 800-662-7447 | promoted by Barclays Capital. Barclays Capital makes |
| Direct Investor Account Services > 800-662-2739 | no representation or warranty, express or implied, to |
| Institutional Investor Services > 800-523-1036 | the owners of Vanguard ETFs or any member of the |
| Text Telephone for People | public regarding the advisability of investing in |
| With Hearing Impairment > 800-749-7273 | securities generally or in Vanguard ETFs particularly or |
| the ability of the Barclays Capital Index to track general | |
| This material may be used in conjunction | bond market performance. Barclays Capital hereby |
| with the offering of shares of any Vanguard | expressly disclaims all warranties of merchantability |
| fund only if preceded or accompanied by | and fitness for a particular purpose with respect to the |
| the fund’s current prospectus. | Barclays Capital Index and any data included therein. |
| Barclays Capital’s only relationship to Vanguard and | |
| All comparative mutual fund data are from Lipper Inc. or | Vanguard ETFs is the licensing of the Barclays Capital |
| Morningstar, Inc., unless otherwise noted. | Index which is determined, composed, and calculated |
| by Barclays Capital without regard to Vanguard or the | |
| You can obtain a free copy of Vanguard’s proxy voting | Vanguard ETFs. Barclays Capital is not responsible for, |
| guidelines by visiting vanguard.com/proxyreporting or by | and has not participated in, the determination of the |
| calling Vanguard at 800-662-2739. The guidelines are | timing of, prices of, or quantities of Vanguard ETFs to |
| also available from the SEC’s website, sec.gov. In | be issued. Source of index data: Barclays Capital Global |
| addition, you may obtain a free report on how your fund | Family of Indices. Copyright 2011, Barclays Capital. All |
| voted the proxies for securities it owned during the 12 | rights reserved. |
| months ended June 30. To get the report, visit either | |
| vanguard.com/proxyreporting or sec.gov. | |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
| copies of this information, for a fee, by sending a | |
| request in either of two ways: via e-mail addressed to | |
| publicinfo@sec.gov or via regular mail addressed to the | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| © 2012 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q16422 042012 | |
Item 2:
Not Applicable.
Item 3:
Not Applicable.
Item 4: Principal Accountant Fees and Services.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| VANGUARD SCOTTSDALE FUNDS | |
| By: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: April 20, 2012 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| VANGUARD SCOTTSDALE FUNDS | |
| By: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: April 20, 2012 | |
| VANGUARD SCOTTSDALE FUNDS | |
| By: | /s/ THOMAS J. HIGGINS* |
| THOMAS J. HIGGINS | |
| CHIEF FINANCIAL OFFICER | |
| Date: April 20, 2012 | |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number 2-11444, Incorporated by Reference.