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: 811-07803
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Name of Registrant: | Vanguard Scottsdale Funds | |
Address of Registrant: | P.O. Box 2600 | |
Valley Forge, PA 19482
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Name and address of agent for service: | Heidi Stam, Esquire | |
P.O. Box 876 | ||
Valley Forge, PA 19482
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Registrant’s telephone number, including area code: (610) 669-1000 | ||
Date of fiscal year end: August 31 |
| |
Date of reporting period: September 1, 2011 – August 31, 2012
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Item 1: Reports to Shareholders |
Annual Report | August 31, 2012
Vanguard Sector Bond Index Funds
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx1x2.jpg)
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
> All seven Vanguard Sector Bond Index Funds produced positive returns for the
12 months ended August 31, 2012, with the long-term corporate and
government funds both returning about 19%.
> Among short- and intermediate-term bonds, the corporate funds significantly
outpaced their government counterparts.
> While the funds’ returns were generally in line with those of their target indexes,
some of the intermediate- and long-term funds outperformed their respective
benchmarks. This was largely a result of the funds’ index sampling strategy
combined with timing differences in end-of-day bond pricing.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Short-Term Government Bond Index Fund. | 11 |
Intermediate-Term Government Bond Index Fund. | 27 |
Long-Term Government Bond Index Fund. | 44 |
Short-Term Corporate Bond Index Fund. | 59 |
Intermediate-Term Corporate Bond Index Fund. | 97 |
Long-Term Corporate Bond Index Fund. | 134 |
Mortgage-Backed Securities Index Fund. | 170 |
About Your Fund’s Expenses. | 190 |
Trustees Approve Advisory Arrangement. | 193 |
Glossary. | 194 |
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: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate.
It was featured in a movie based on Patrick O’Brian’s sea novels, set amid the Napoleonic wars. Vanguard was named for
another ship of that era, the HMS Vanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2012 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Government Bond Index Fund | ||||
Signal® Shares | 0.17% | 0.42% | -0.02% | 0.40% |
Institutional Shares | 0.20 | 0.47 | -0.02 | 0.45 |
ETF Shares | 0.19 | |||
Market Price | 0.38 | |||
Net Asset Value | 0.40 | |||
Barclays U.S. 1–3 Year Government Float | ||||
Adjusted Index | 0.50 | |||
Short U.S. Government Funds Average | 1.01 | |||
Short U.S. Government Funds Average: Derived from data provided by Lipper Inc. | ||||
Vanguard Intermediate-Term Government Bond Index Fund | ||||
Signal Shares | 0.75% | 1.72% | 2.75% | 4.47% |
Institutional Shares | 0.78 | 1.75 | 2.77 | 4.52 |
ETF Shares | 0.76 | |||
Market Price | 4.39 | |||
Net Asset Value | 4.50 | |||
Barclays U.S. 3–10 Year Government Float | ||||
Adjusted Index | 4.51 | |||
Intermediate U.S. Government Funds Average | 4.14 | |||
Intermediate U.S. Government Funds Average: Derived from data provided by Lipper Inc. | ||||
Vanguard Long-Term Government Bond Index Fund | ||||
Signal Shares | 2.39% | 3.47% | 15.58% | 19.05% |
Institutional Shares | 2.41 | 3.51 | 15.62 | 19.13 |
ETF Shares | 2.39 | |||
Market Price | 19.05 | |||
Net Asset Value | 19.06 | |||
Barclays U.S. Long Government Float Adjusted | ||||
Index | 18.68 | |||
General U.S. Government Funds Average | 5.44 |
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
Fiscal Year Ended August 31, 2012 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Corporate Bond Index Fund | ||||
Signal Shares | 1.52% | 2.36% | 2.33% | 4.69% |
Institutional Shares | 1.54 | 2.39 | 2.31 | 4.70 |
ETF Shares | 1.53 | |||
Market Price | 4.49 | |||
Net Asset Value | 4.68 | |||
Barclays U.S. 1–5 Year Corporate Bond Index | 4.81 | |||
Short-Intermediate Investment-Grade Debt Funds | ||||
Average | 4.11 | |||
Short-Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper Inc. | ||||
Vanguard Intermediate-Term Corporate Bond Index Fund | ||||
Signal Shares | 2.87% | 3.87% | 6.54% | 10.41% |
Institutional Shares | 2.88 | 3.90 | 6.56 | 10.46 |
ETF Shares | 2.86 | |||
Market Price | 9.77 | |||
Net Asset Value | 10.43 | |||
Barclays U.S. 5–10 Year Corporate Bond Index | 10.07 | |||
Intermediate Investment-Grade Debt Funds | ||||
Average | 6.95 | |||
Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper Inc. | ||||
Vanguard Long-Term Corporate Bond Index Fund | ||||
Signal Shares | 4.35% | 5.37% | 14.06% | 19.43% |
Institutional Shares | 4.36 | 5.40 | 14.04 | 19.44 |
ETF Shares | 4.35 | |||
Market Price | 19.16 | |||
Net Asset Value | 19.40 | |||
Barclays U.S. 10+ Year Corporate Bond Index | 18.33 | |||
Corporate Debt Funds BBB-Rated Average | 9.66 |
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
Fiscal Year Ended August 31, 2012 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Mortgage-Backed Securities Index Fund | ||||
Signal Shares | 1.11% | 1.69% | 1.94% | 3.63% |
Institutional Shares (Inception: 5/9/2012) | 1.13 | 0.42 | 0.85 | 1.27 |
ETF Shares | 1.12 | |||
Market Price | 3.64 | |||
Net Asset Value | 3.62 | |||
Barclays U.S. MBS Float Adjusted Index | 3.62 | |||
U.S. Mortgage Funds Average | 4.45 |
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,
The financial markets were choppy over the 12 months ended August 31, 2012, with both bonds and stocks chalking up significant gains. Periods of cautious optimism about the debt crisis in Europe as well as growth in the United States and abroad fueled demand among some investors for riskier assets, including stocks and corporate bonds. Interspersed with these periods were bouts of heightened uncertainty, which drove demand for the safety of government bonds.
The Vanguard Sector Bond Index Funds produced a wide span of returns for the fiscal year. Returns from the government and mortgage-backed securities funds ranged from about 0.40% for the short-term fund to more than 19% for the long-term fund. The range was a little narrower for the corporate funds, with returns varying from 4.68% for the short-term fund to 19.40% for the long-term fund. (All of the returns cited in this letter are for the funds’ ETF Shares, based on net asset value.)
The rise in bond prices virtually across the board over the year led to a fall in 30-day SEC yields for six of the seven funds. The exception was the Short-Term Government Bond Index Fund, where the Federal Reserve’s selling of short-term bonds as part of its “Operation Twist”
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program contributed to falling prices. The 30-day SEC yield for this fund moved up to 0.19% from 0.17% a year earlier.
As you may have noticed in the table on pages 1 and 2, returns for some of our intermediate- and long-term funds exceeded those of their target indexes. This was attributable in part to the funds’ sampling strategy, which they employ because it’s impossible to own every single security in the indexes. We expect such gaps to narrow, though not necessarily disappear, as the funds’ asset bases increase. The gaps also reflect differences in the bond-pricing models used by the index provider and Vanguard. These differences generally disappear in the normal course of trading.
U.S. stocks shook off concerns to produce double-digit returns
U.S. stocks generated robust gains for the period, returning nearly 17%. They seemed to get a lift as the U.S. economy continued to grow, albeit at a modest rate, and avoided the “double-dip” recession that some investors had feared.
Though European stocks posted strong returns in local-currency terms, this performance was much more modest when converted into U.S. dollars—a result of the dollar’s strengthening against the euro during the 12 months. Signs of slowing economic growth restrained returns for emerging markets and the developed markets of the Pacific region.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
One | Three | Five | |
Year | Years | Years | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.78% | 6.51% | 6.66% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 8.78 | 7.02 | 6.24 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.71 |
Stocks | |||
Russell 1000 Index (Large-caps) | 17.33% | 13.82% | 1.47% |
Russell 2000 Index (Small-caps) | 13.40 | 13.89 | 1.90 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 13.87 | 1.73 |
MSCI All Country World Index ex USA (International) | -1.92 | 3.64 | -3.59 |
CPI | |||
Consumer Price Index | 1.69% | 2.20% | 2.07% |
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Questions about the finances of European governments and banks continued to preoccupy investors. Although the situation in Europe is very fluid, Vanguard economists believe the most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Monetary policy action boosted returns of longer-term Treasuries
Bondholders have enjoyed several years of strong returns, and over the last 12 months the broad U.S. taxable market
produced nearly 6%. But as Tim Buckley, our incoming chief investment officer, has noted, investors shouldn’t be surprised if future results are more modest. As yields tumble, the scope for further declines—and price increases—diminishes.
One large reason for the fall in yields has been monetary policy action by the Federal Reserve. Citing weak economic data and downside risks in global financial markets, it continued during the period to look for ways to provide further stimulus to the economy. With little room to cut short-term interest rates (they have been hovering
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 | 0.09 | 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 fiscal year ended August 31, 2012, the funds’ expense ratios were: for the Short-Term Government Bond Index Fund, 0.12% for Signal
Shares, 0.09% for Institutional Shares, and 0.12% for ETF Shares; for the Intermediate-Term Government Bond Index Fund, 0.12% for Signal
Shares, 0.09% for Institutional Shares, and 0.12% for ETF Shares; for the Long-Term Government Bond Index Fund, 0.12% for Signal Shares,
0.09% for Institutional Shares, and 0.12% for ETF Shares; for the Short-Term Corporate Bond Index Fund, 0.12% for Signal Shares, 0.09% for
Institutional Shares, and 0.12% for ETF Shares; for the Intermediate-Term Corporate Bond Index Fund, 0.12% for Signal Shares, 0.09% for
Institutional Shares, and 0.12% for ETF Shares; for the Long-Term Corporate Bond Index Fund, 0.12% for Signal Shares, 0.09% for
Institutional Shares, and 0.12% for ETF Shares; and for the Mortgage-Backed Securities Index Fund, 0.12% for Signal Shares, 0.09% for
Institutional Shares (annualized since inception May 9), and 0.12% 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 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
near zero since 2008), in September 2011 the Fed announced its new Operation Twist initiative, touched on earlier in this letter. This program, which is now expected to run until the end of 2012, has the Fed selling shorter-term Treasuries while buying longer-term ones to drive down longer-term financing costs.
Operation Twist, together with demand for Treasuries from investors seeking a “safe haven” from market turmoil, contributed to a flattening of the yield curve during the 12-month period: Yields of Treasuries with maturities of less than 3 years rose slightly, while yields of longer-maturity issues declined. (The yield of the 2-year Treasury note, for example, rose from 0.19% to 0.22%, while that of the 10-year Treasury
note fell from 2.22% to 1.56%, and the yield of the 30-year Treasury bond fell from 3.59% to 2.68%.)
Against this backdrop, the Short-Term Government Bond Index Fund returned 0.40% for the period. Thanks largely to price changes, rather than interest earned, its intermediate-term counterpart returned 4.50% and its long-term counterpart, 19.06%.
Corporations scrambled to lock in exceptionally low financing costs by issuing more bonds, and they found buyers among investors seeing an attractive risk/ reward trade-off. Corporate profit growth slowed during the period, but earnings remained high, balance sheets continued
Yields of U.S. Treasury Securities | ||
August 31, | August 31, | |
Maturity | 2011 | 2012 |
2 years | 0.19% | 0.22% |
3 years | 0.32 | 0.29 |
5 years | 0.95 | 0.59 |
10 years | 2.22 | 1.56 |
30 years | 3.59 | 2.68 |
Source: Vanguard. |
7
to strengthen, and leveraging activities such as mergers and acquisitions were limited.
All three corporate bond sectors performed well. Utilities led the way with a 12-month return of 11.34%. Financial issues returned 10.77%; despite rating agency downgrades for a number of U.S. banks, the sector benefited from moves by governments to shore up the European financial system. Industrials were a step behind, at 9.85%.
In the corporate bond market as well, long-term bonds returned the most. The Short-Term Corporate Bond Index Fund returned 4.68%; its intermediate-term counterpart, 10.43%; and its long-term counterpart, 19.40%.
The Mortgage-Backed Securities Index Fund returned 3.62% for the fiscal year, with prepayments proving to be less of an issue than had been expected. Home financing rates continued to fall—30- and 15-year fixed-rate mortgages hit all-time lows toward the end of the period—and modifications to HARP (the Home Affordable Refinance Program) made refinancing easier. Yet the number of homeowners taking advantage of the lower rates remained limited, in part because of the adoption of tighter lending standards by financial institutions.
Prospects for further purchases by the Fed also provided some support for mortgage-backed securities.
The rise of index funds, the merits of active management
Today, index funds enjoy a degree of acceptance that was unimaginable some 35 years ago, when we introduced the first index mutual fund for individual investors. In the past five years, according to research company Strategic Insight, stock fund investors have directed just about all of their net new investments into index funds, both conventional shares and ETFs. Though less widely held, bond index funds are also gathering momentum.
The benefits of index funds are crystal clear: low costs, diversification across a market or market segment, and limited deviation from the returns of market benchmarks. What about actively managed funds? Although Vanguard is prominent as an indexing leader, we also offer actively managed funds that give investors the chance to outperform market indexes. Make no mistake: Outperformance is hard to come by. Nevertheless, we believe we can enhance investors’ chances of success by searching the globe for best-in-class investment managers, and offering their services to our clients at a low cost.
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Whether your portfolio includes index funds, active funds, or a combination, we believe that adhering to a few basic tenets can help put you in position to meet your long-term financial goals. So consider maintaining a balanced portfolio diversified with stocks, bonds, and cash; save more than you think you’ll need; keep an eye on costs; and last, but never least, have a plan and stick with it.
Thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx11x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
September 14, 2012
9
Your Fund’s Performance at a Glance | ||||
August 31, 2011, Through August 31, 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 | $20.35 | $0.087 | $0.035 |
Institutional Shares | 25.62 | 25.57 | 0.120 | 0.044 |
ETF Shares | 61.11 | 60.98 | 0.267 | 0.105 |
Vanguard Intermediate-Term Government | ||||
Bond Index Fund | ||||
Signal Shares | $21.94 | $22.50 | $0.369 | $0.042 |
Institutional Shares | 27.21 | 27.91 | 0.465 | 0.053 |
ETF Shares | 64.91 | 66.58 | 1.094 | 0.124 |
Vanguard Long-Term Government Bond Index | ||||
Fund | ||||
Signal Shares | $22.91 | $26.48 | $0.743 | $0.000 |
Institutional Shares | 29.06 | 33.60 | 0.953 | 0.000 |
ETF Shares | 68.07 | 78.69 | 2.204 | 0.000 |
Vanguard Short-Term Corporate Bond Index | ||||
Fund | ||||
Signal Shares | $21.26 | $21.73 | $0.487 | $0.025 |
Institutional Shares | 26.03 | 26.60 | 0.603 | 0.031 |
ETF Shares | 78.06 | 79.78 | 1.789 | 0.092 |
Vanguard Intermediate-Term Corporate Bond | ||||
Index Fund | ||||
Signal Shares | $21.98 | $23.40 | $0.800 | $0.017 |
Institutional Shares | 27.17 | 28.93 | 0.998 | 0.021 |
ETF Shares | 81.49 | 86.78 | 2.963 | 0.063 |
Vanguard Long-Term Corporate Bond Index | ||||
Fund | ||||
Signal Shares | $21.69 | $24.74 | $1.069 | $0.000 |
Institutional Shares | 26.93 | 30.71 | 1.337 | 0.000 |
ETF Shares | 80.80 | 92.15 | 3.981 | 0.000 |
Vanguard Mortgage-Backed Securities Index | ||||
Fund | ||||
Signal Shares | $20.76 | $21.06 | $0.342 | $0.101 |
Institutional Shares (Inception: 5/9/2012) | 28.10 | 28.34 | 0.115 | 0.000 |
ETF Shares | 51.90 | 52.63 | 0.868 | 0.253 |
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Short-Term Government Bond Index Fund
Fund Profile
As of August 31, 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 | 0.17% | 0.20% | 0.19% |
Financial Attributes | |||
Barclays | |||
1–3 Year | |||
Gov’t | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 113 | 477 | 7,922 |
Yield to Maturity | |||
(before expenses) | 0.2% | 0.3% | 1.7% |
Average Coupon | 1.4% | 1.5% | 3.7% |
Average Duration | 1.9 years | 1.9 years | 5.2 years |
Average Maturity | 1.9 years | 1.9 years | 7.1 years |
Short-Term | |||
Reserves | 2.1% | — | — |
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 | 2.9% |
1 - 3 Years | 96.5 |
3 - 5 Years | 0.6 |
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
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx13x1.jpg)
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For
the fiscal year ended August 31, 2012, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares, and 0.12% for ETF
Shares.
11
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.
Cumulative Performance: November 19, 2009, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx14x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (11/19/2009) | Investment | ||
Short-Term Government Bond Index | ||||
Fund ETF Shares Net Asset Value | 0.40% | 1.25% | $10,351 | |
Short-Term Government Bond Index | ||||
Fund ETF Shares Market Price | 0.38 | 1.27 | 10,356 | |
•••••••• | Barclays U.S. 1–3 Year Government | |||
Float Adjusted Index | 0.50 | 1.38 | 10,390 | |
– – – – | Short U.S. Government Funds | |||
Average | 1.01 | 1.68 | 10,474 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.91 | 6.28 | 11,845 |
For a benchmark description, see the Glossary.
Short U.S. Government Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
12
Short-Term Government Bond Index Fund
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (12/28/2009) | Investment | |
Short-Term Government Bond Index Fund | |||
Signal Shares | 0.40% | 1.48% | $10,402 |
Barclays U.S. 1–3 Year Government Float | |||
Adjusted Index | 0.50 | 1.60 | 10,434 |
Spliced Barclays U.S. Aggregate Float | |||
Adjusted Index | 5.91 | 6.95 | 11,968 |
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (8/23/2010) | Investment | |
Short-Term Government Bond Index Fund | |||
Institutional Shares | 0.45% | 0.94% | $5,096,002 |
Barclays U.S. 1–3 Year Government Float | |||
Adjusted Index | 0.50 | 1.02 | 5,103,800 |
Barclays U.S. Aggregate Float Adjusted Index | 5.91 | 5.40 | 5,561,310 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2012 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Short-Term Government Bond Index Fund | ||
ETF Shares Market Price | 0.38% | 3.56% |
Short-Term Government Bond Index Fund | ||
ETF Shares Net Asset Value | 0.40 | 3.51 |
Barclays U.S. 1–3 Year Government Float | ||
Adjusted Index | 0.50 | 3.90 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
13
Short-Term Government Bond Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 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 | 0.40 | 0.50 |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 0.75% | 0.62% | 0.86% | 1.48% |
Institutional Shares | 8/23/2010 | 0.76 | 0.65 | 0.24 | 0.89 |
ETF Shares | 11/19/2009 | ||||
Market Price | 0.69 | 1.25 | |||
Net Asset Value | 0.75 | 1.24 |
14
Short-Term Government Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (98.0%) | ||||
U.S. Government Securities (84.3%) | ||||
United States Treasury Note/Bond | 3.125% | 8/31/13 | 2,620 | 2,696 |
United States Treasury Note/Bond | 0.750% | 9/15/13 | 1,573 | 1,582 |
United States Treasury Note/Bond | 0.125% | 9/30/13 | 2,450 | 2,448 |
United States Treasury Note/Bond | 3.125% | 9/30/13 | 2,151 | 2,218 |
United States Treasury Note/Bond | 0.500% | 10/15/13 | 1,196 | 1,200 |
United States Treasury Note/Bond | 0.250% | 10/31/13 | 3,955 | 3,957 |
United States Treasury Note/Bond | 2.750% | 10/31/13 | 8,302 | 8,545 |
United States Treasury Note/Bond | 0.500% | 11/15/13 | 6,304 | 6,327 |
United States Treasury Note/Bond | 4.250% | 11/15/13 | 2,118 | 2,220 |
United States Treasury Note/Bond | 0.250% | 11/30/13 | 1,075 | 1,076 |
United States Treasury Note/Bond | 2.000% | 11/30/13 | 1,152 | 1,177 |
United States Treasury Note/Bond | 0.750% | 12/15/13 | 2,774 | 2,793 |
United States Treasury Note/Bond | 0.125% | 12/31/13 | 2,875 | 2,872 |
United States Treasury Note/Bond | 1.500% | 12/31/13 | 1,576 | 1,603 |
United States Treasury Note/Bond | 1.000% | 1/15/14 | 1,581 | 1,598 |
United States Treasury Note/Bond | 0.250% | 1/31/14 | 5,700 | 5,703 |
United States Treasury Note/Bond | 1.750% | 1/31/14 | 1,294 | 1,322 |
United States Treasury Note/Bond | 1.250% | 2/15/14 | 3,086 | 3,131 |
United States Treasury Note/Bond | 4.000% | 2/15/14 | 2,834 | 2,989 |
United States Treasury Note/Bond | 1.875% | 2/28/14 | 4,096 | 4,196 |
United States Treasury Note/Bond | 1.250% | 3/15/14 | 1,503 | 1,526 |
United States Treasury Note/Bond | 0.250% | 3/31/14 | 5,725 | 5,727 |
United States Treasury Note/Bond | 1.750% | 3/31/14 | 7,119 | 7,288 |
United States Treasury Note/Bond | 1.250% | 4/15/14 | 2,766 | 2,812 |
United States Treasury Note/Bond | 0.250% | 4/30/14 | 3,500 | 3,502 |
United States Treasury Note/Bond | 1.875% | 4/30/14 | 3,065 | 3,149 |
United States Treasury Note/Bond | 1.000% | 5/15/14 | 3,100 | 3,141 |
United States Treasury Note/Bond | 4.750% | 5/15/14 | 4,404 | 4,741 |
United States Treasury Note/Bond | 0.250% | 5/31/14 | 1,800 | 1,801 |
United States Treasury Note/Bond | 2.250% | 5/31/14 | 3,892 | 4,028 |
United States Treasury Note/Bond | 0.750% | 6/15/14 | 4,090 | 4,128 |
United States Treasury Note/Bond | 0.250% | 6/30/14 | 2,500 | 2,501 |
United States Treasury Note/Bond | 0.625% | 7/15/14 | 6,390 | 6,437 |
United States Treasury Note/Bond | 2.625% | 7/31/14 | 560 | 585 |
United States Treasury Note/Bond | 0.500% | 8/15/14 | 8,425 | 8,468 |
United States Treasury Note/Bond | 4.250% | 8/15/14 | 2,350 | 2,533 |
United States Treasury Note/Bond | 0.250% | 8/31/14 | 3,000 | 3,001 |
15
Short-Term Government Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 2.375% | 8/31/14 | 3,650 | 3,805 |
United States Treasury Note/Bond | 0.250% | 9/15/14 | 5,540 | 5,541 |
United States Treasury Note/Bond | 2.375% | 9/30/14 | 170 | 178 |
United States Treasury Note/Bond | 0.500% | 10/15/14 | 4,595 | 4,620 |
United States Treasury Note/Bond | 2.375% | 10/31/14 | 30 | 31 |
United States Treasury Note/Bond | 0.375% | 11/15/14 | 6,850 | 6,869 |
United States Treasury Note/Bond | 4.250% | 11/15/14 | 2,745 | 2,985 |
United States Treasury Note/Bond | 2.125% | 11/30/14 | 2,800 | 2,917 |
United States Treasury Note/Bond | 0.250% | 12/15/14 | 3,925 | 3,925 |
United States Treasury Note/Bond | 2.625% | 12/31/14 | 440 | 464 |
United States Treasury Note/Bond | 0.250% | 1/15/15 | 2,075 | 2,075 |
United States Treasury Note/Bond | 2.250% | 1/31/15 | 6,785 | 7,107 |
United States Treasury Note/Bond | 0.250% | 2/15/15 | 10,181 | 10,178 |
United States Treasury Note/Bond | 4.000% | 2/15/15 | 2,025 | 2,209 |
United States Treasury Note/Bond | 2.375% | 2/28/15 | 500 | 526 |
United States Treasury Note/Bond | 0.375% | 3/15/15 | 6,345 | 6,362 |
United States Treasury Note/Bond | 2.500% | 3/31/15 | 5,645 | 5,971 |
United States Treasury Note/Bond | 0.375% | 4/15/15 | 450 | 451 |
United States Treasury Note/Bond | 2.500% | 4/30/15 | 2,135 | 2,261 |
United States Treasury Note/Bond | 0.250% | 5/15/15 | 3,005 | 3,004 |
United States Treasury Note/Bond | 4.125% | 5/15/15 | 3,355 | 3,700 |
United States Treasury Note/Bond | 0.375% | 6/15/15 | 4,775 | 4,788 |
United States Treasury Note/Bond | 1.875% | 6/30/15 | 1,660 | 1,734 |
United States Treasury Note/Bond | 0.250% | 7/15/15 | 2,470 | 2,468 |
United States Treasury Note/Bond | 1.750% | 7/31/15 | 2,080 | 2,167 |
United States Treasury Note/Bond | 0.250% | 8/15/15 | 3,100 | 3,096 |
United States Treasury Note/Bond | 4.250% | 8/15/15 | 2,450 | 2,733 |
United States Treasury Note/Bond | 1.250% | 8/31/15 | 4,750 | 4,884 |
222,070 | ||||
Agency Bonds and Notes (13.7%) | ||||
1 Federal Agricultural Mortgage Corp. | 1.250% | 12/6/13 | 45 | 46 |
1 Federal Farm Credit Banks | 1.125% | 2/27/14 | 100 | 101 |
1 Federal Farm Credit Banks | 2.625% | 4/17/14 | 550 | 571 |
1 Federal Farm Credit Banks | 1.625% | 11/19/14 | 50 | 51 |
1 Federal Farm Credit Banks | 0.500% | 6/23/15 | 200 | 201 |
1 Federal Home Loan Banks | 4.000% | 9/6/13 | 640 | 664 |
1 Federal Home Loan Banks | 0.375% | 11/27/13 | 1,600 | 1,602 |
1 Federal Home Loan Banks | 0.875% | 12/27/13 | 2,510 | 2,531 |
1 Federal Home Loan Banks | 0.375% | 1/29/14 | 400 | 401 |
1 Federal Home Loan Banks | 2.500% | 6/13/14 | 100 | 104 |
1 Federal Home Loan Banks | 5.500% | 8/13/14 | 770 | 848 |
1 Federal Home Loan Banks | 4.500% | 11/14/14 | 100 | 109 |
1 Federal Home Loan Banks | 2.750% | 12/12/14 | 675 | 712 |
1 Federal Home Loan Banks | 0.500% | 11/20/15 | 1,000 | 1,003 |
2 Federal Home Loan Mortgage Corp. | 0.375% | 10/30/13 | 2,100 | 2,103 |
2 Federal Home Loan Mortgage Corp. | 0.375% | 11/27/13 | 500 | 501 |
2 Federal Home Loan Mortgage Corp. | 2.500% | 1/7/14 | 265 | 273 |
2 Federal Home Loan Mortgage Corp. | 4.500% | 1/15/14 | 690 | 730 |
2 Federal Home Loan Mortgage Corp. | 1.375% | 2/25/14 | 1,090 | 1,108 |
2 Federal Home Loan Mortgage Corp. | 2.500% | 4/23/14 | 190 | 197 |
2 Federal Home Loan Mortgage Corp. | 0.375% | 4/28/14 | 1,000 | 1,001 |
2 Federal Home Loan Mortgage Corp. | 3.000% | 7/28/14 | 285 | 300 |
2 Federal Home Loan Mortgage Corp. | 1.000% | 7/30/14 | 325 | 330 |
2 Federal Home Loan Mortgage Corp. | 1.000% | 8/20/14 | 615 | 623 |
2 Federal Home Loan Mortgage Corp. | 1.000% | 8/27/14 | 980 | 994 |
16
Short-Term Government Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2 | Federal Home Loan Mortgage Corp. | 0.500% | 9/19/14 | 475 | 477 |
2 | Federal Home Loan Mortgage Corp. | 0.750% | 11/25/14 | 500 | 505 |
2 | Federal Home Loan Mortgage Corp. | 0.625% | 12/29/14 | 1,150 | 1,158 |
2 | Federal Home Loan Mortgage Corp. | 4.500% | 1/15/15 | 50 | 55 |
2 | Federal Home Loan Mortgage Corp. | 2.875% | 2/9/15 | 675 | 717 |
2 | Federal Home Loan Mortgage Corp. | 0.500% | 4/17/15 | 1,000 | 1,004 |
2 | Federal Home Loan Mortgage Corp. | 4.375% | 7/17/15 | 500 | 557 |
2 | Federal National Mortgage Assn. | 2.875% | 12/11/13 | 880 | 909 |
2 | Federal National Mortgage Assn. | 0.750% | 12/18/13 | 2,550 | 2,567 |
2 | Federal National Mortgage Assn. | 1.250% | 2/27/14 | 1,415 | 1,436 |
2 | Federal National Mortgage Assn. | 2.750% | 3/13/14 | 495 | 514 |
2 | Federal National Mortgage Assn. | 1.125% | 6/27/14 | 475 | 482 |
2 | Federal National Mortgage Assn. | 0.875% | 8/28/14 | 1,590 | 1,608 |
2 | Federal National Mortgage Assn. | 0.625% | 10/30/14 | 1,595 | 1,606 |
2 | Federal National Mortgage Assn. | 2.625% | 11/20/14 | 525 | 552 |
2 | Federal National Mortgage Assn. | 0.750% | 12/19/14 | 500 | 505 |
2 | Federal National Mortgage Assn. | 0.375% | 3/16/15 | 1,100 | 1,102 |
2 | Federal National Mortgage Assn. | 5.000% | 4/15/15 | 500 | 561 |
2 | Federal National Mortgage Assn. | 0.500% | 5/27/15 | 600 | 602 |
2 | Federal National Mortgage Assn. | 0.500% | 7/2/15 | 1,425 | 1,431 |
2 | Federal National Mortgage Assn. | 0.500% | 9/28/15 | 500 | 501 |
Private Export Funding Corp. | 3.050% | 10/15/14 | 175 | 185 | |
36,138 | |||||
Total U.S. Government and Agency Obligations (Cost $257,318) | 258,208 | ||||
Shares | |||||
Temporary Cash Investment (2.1%) | |||||
Money Market Fund (2.1%) | |||||
3 | Vanguard Market Liquidity Fund (Cost $5,652) | 0.158% | 5,652,145 | 5,652 | |
Total Investments (100.1%) (Cost $262,970) | 263,860 | ||||
Other Assets and Liabilities (-0.1%) | |||||
Other Assets | 14,924 | ||||
Liabilities | (15,251) | ||||
(327) | |||||
Net Assets (100%) | 263,533 |
17
Short-Term Government Bond Index Fund | |
Market | |
Value | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 258,208 |
Affiliated Vanguard Funds | 5,652 |
Total Investments in Securities | 263,860 |
Receivables for Investment Securities Sold | 13,899 |
Other Assets | 1,025 |
Total Assets | 278,784 |
Liabilities | |
Payables for Investment Securities Purchased | 14,870 |
Other Liabilities | 381 |
Total Liabilities | 15,251 |
Net Assets | 263,533 |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 262,177 |
Undistributed Net Investment Income | 1 |
Accumulated Net Realized Gains | 465 |
Unrealized Appreciation (Depreciation) | 890 |
Net Assets | 263,533 |
Signal Shares—Net Assets | |
Applicable to 1,809,864 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 36,823 |
Net Asset Value Per Share—Signal Shares | $20.35 |
Institutional Shares—Net Assets | |
Applicable to 1,711,645 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 43,763 |
Net Asset Value Per Share—Institutional Shares | $25.57 |
ETF Shares—Net Assets | |
Applicable to 3,000,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 182,947 |
Net Asset Value Per Share—ETF Shares | $60.98 |
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, as needed to maintain a positive net worth, 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.
18
Short-Term Government Bond Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 1,275 |
Total Income | 1,275 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 11 |
Management and Administrative—Signal Shares | 18 |
Management and Administrative—Institutional Shares | 22 |
Management and Administrative—ETF Shares | 105 |
Marketing and Distribution—Signal Shares | 5 |
Marketing and Distribution—Institutional Shares | 1 |
Marketing and Distribution—ETF Shares | 47 |
Custodian Fees | 2 |
Auditing Fees | 41 |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 10 |
Total Expenses | 262 |
Net Investment Income | 1,013 |
Realized Net Gain (Loss) on Investment Securities Sold | 665 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (705) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 973 |
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.
19
Short-Term Government Bond Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,013 | 927 |
Realized Net Gain (Loss) | 665 | 360 |
Change in Unrealized Appreciation (Depreciation) | (705) | 887 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 973 | 2,174 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (98) | (72) |
Institutional Shares | (160) | (127) |
ETF Shares | (745) | (737) |
Realized Capital Gain1 | ||
Signal Shares | (22) | (5) |
Institutional Shares | (57) | (4) |
ETF Shares | (294) | (41) |
Total Distributions | (1,376) | (986) |
Capital Share Transactions | ||
Signal Shares | 26,194 | 4,982 |
Institutional Shares | 10,460 | 25,172 |
ETF Shares | 33,558 | 69,867 |
Net Increase (Decrease) from Capital Share Transactions | 70,212 | 100,021 |
Total Increase (Decrease) | 69,809 | 101,209 |
Net Assets | ||
Beginning of Period | 193,724 | 92,515 |
End of Period2 | 263,533 | 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 $1,000 and ($9,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
20
Short-Term Government Bond Index Fund
Financial Highlights
Signal Shares | |||
Dec. 28, | |||
Year Ended | 20091 to | ||
August 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 | .089 | .134 | .101 |
Net Realized and Unrealized Gain (Loss) on Investments | (.007) | .149 | .329 |
Total from Investment Operations | .082 | .283 | .430 |
Distributions | |||
Dividends from Net Investment Income | (.087) | (.135) | (.100) |
Distributions from Realized Capital Gains | (.035) | (.008) | — |
Total Distributions | (.122) | (.143) | (.100) |
Net Asset Value, End of Period | $20.35 | $20.39 | $20.25 |
Total Return2 | 0.40% | 1.40% | 2.16% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $37 | $11 | $6 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 0.44% | 0.66% | 0.84%3 |
Portfolio Turnover Rate4 | 72% | 69% | 69% |
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.
21
Short-Term Government Bond Index Fund
Financial Highlights
Institutional Shares | |||
Aug. 23, | |||
Year Ended | 20101 to | ||
August 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 | .121 | .183 | .005 |
Net Realized and Unrealized Gain (Loss) on Investments | (.007) | .180 | .003 |
Total from Investment Operations | .114 | .363 | .008 |
Distributions | |||
Dividends from Net Investment Income | (.120) | (.183) | (.018) |
Distributions from Realized Capital Gains | (.044) | (.010) | — |
Total Distributions | (.164) | (.193) | (.018) |
Net Asset Value, End of Period | $25.57 | $25.62 | $25.45 |
Total Return2 | 0.45% | 1.43% | 0.03% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $44 | $33 | $8 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09%3 |
Ratio of Net Investment Income to Average Net Assets | 0.47% | 0.71% | 0.90%3 |
Portfolio Turnover Rate4 | 72% | 69% | 69% |
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.
22
Short-Term Government Bond Index Fund
Financial Highlights
ETF Shares | |||
Nov. 19, | |||
Year Ended | 20091 to | ||
August 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 | .270 | .405 | .349 |
Net Realized and Unrealized Gain (Loss) on Investments | (.028) | .434 | .660 |
Total from Investment Operations | .242 | .839 | 1.009 |
Distributions | |||
Dividends from Net Investment Income | (.267) | (.405) | (.349) |
Distributions from Realized Capital Gains | (.105) | (.024) | — |
Total Distributions | (.372) | (.429) | (.349) |
Net Asset Value, End of Period | $60.98 | $61.11 | $60.70 |
Total Return | 0.40% | 1.39% | 1.69% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $183 | $150 | $79 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 0.44% | 0.66% | 0.84%2 |
Portfolio Turnover Rate3 | 72% | 69% | 69% |
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.
23
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, 2010–2012), 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 August 31, 2012, the fund had contributed capital of $38,000 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.
24
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 August 31, 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 | — | 258,208 | — |
Temporary Cash Investments | 5,652 | — | — |
Total | 5,652 | 258,208 | — |
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.
During the year ended August 31, 2012, the fund realized $66,000 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.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $42,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at August 31, 2012, the fund had short-term and long-term capital gains of $151,000 and $316,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
At August 31, 2012, the cost of investment securities for tax purposes was $262,972,000. Net unrealized appreciation of investment securities for tax purposes was $888,000, consisting of unrealized gains of $892,000 on securities that had risen in value since their purchase and $4,000 in unrealized losses on securities that had fallen in value since their purchase.
25
Short-Term Government Bond Index Fund
E. During the year ended August 31, 2012, the fund purchased $242,922,000 of investment securities and sold $173,915,000 of investment securities, other than temporary cash investments. Purchases and sales include $45,398,000 and $12,093,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2012 | 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 42,585 | 2,095 | 11,614 | 574 |
Issued in Lieu of Cash Distributions | 118 | 6 | 77 | 4 |
Redeemed | (16,509) | (812) | (6,709) | (333) |
Net Increase (Decrease)—Signal Shares | 26,194 | 1,289 | 4,982 | 245 |
Institutional Shares | ||||
Issued1 | 10,243 | 400 | 25,041 | 983 |
Issued in Lieu of Cash Distributions | 217 | 9 | 131 | 5 |
Redeemed | — | — | — | — |
Net Increase (Decrease) —Institutional Shares | 10,460 | 409 | 25,172 | 988 |
ETF Shares | ||||
Issued1 | 45,749 | 750 | 78,970 | 1,300 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (12,191) | (200) | (9,103) | (150) |
Net Increase (Decrease) —ETF Shares | 33,558 | 550 | 69,867 | 1,150 |
1 Includes purchase fees for fiscal 2012 and 2011 of $8,000 and $0, respectively (fund totals). |
G. In preparing the financial statements as of August 31, 2012, management considered the impact
of subsequent events for potential recognition or disclosure in these financial statements.
26
Intermediate-Term Government Bond Index Fund
Fund Profile
As of August 31, 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 | 0.75% | 0.78% | 0.76% |
Financial Attributes | |||
Barclays | |||
3–10 Year | |||
Gov’t | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 162 | 439 | 7,922 |
Yield to Maturity | |||
(before expenses) | 0.8% | 0.8% | 1.7% |
Average Coupon | 2.8% | 2.5% | 3.7% |
Average Duration | 5.2 years | 5.2 years | 5.2 years |
Average Maturity | 5.6 years | 5.6 years | 7.1 years |
Short-Term | |||
Reserves | 1.0% | — | — |
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 | 1.1% |
3 - 5 Years | 48.1 |
5 - 10 Years | 50.8 |
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
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx29x1.jpg)
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For
the fiscal year ended August 31, 2012, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares, and 0.12% for ETF
Shares.
27
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.
Cumulative Performance: November 19, 2009, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx30x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (11/19/2009) | Investment | ||
Intermediate-Term Government Bond | ||||
Index Fund ETF Shares Net Asset | ||||
Value | 4.50% | 6.28% | $11,846 | |
Intermediate-Term Government Bond | ||||
Index Fund ETF Shares Market Price | 4.39 | 6.29 | 11,850 | |
•••••••• | Barclays U.S. 3–10 Year Government | |||
Float Adjusted Index | 4.51 | 6.40 | 11,884 | |
– – – – | Intermediate U.S. Government Funds | |||
Average | 4.14 | 4.94 | 11,436 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.91 | 6.28 | 11,845 |
For a benchmark description, see the Glossary.
Intermediate U.S. Government Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
28
Intermediate-Term Government Bond Index Fund
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (8/4/2010) | Investment | |
Intermediate-Term Government Bond Index | |||
Fund Signal Shares | 4.47% | 5.70% | $11,220 |
Barclays U.S. 3–10 Year Government Float | |||
Adjusted Index | 4.51 | 5.82 | 11,244 |
Barclays U.S. Aggregate Float Adjusted Index | 5.91 | 5.80 | 11,241 |
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (3/19/2010) | Investment | |
Intermediate-Term Government Bond Index | |||
Fund Institutional Shares | 4.52% | 7.20% | $5,930,174 |
Barclays U.S. 3–10 Year Government Float | |||
Adjusted Index | 4.51 | 7.30 | 5,943,537 |
Barclays U.S. Aggregate Float Adjusted Index | 5.91 | 6.62 | 5,851,831 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2012 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Intermediate-Term Government Bond Index | ||
Fund ETF Shares Market Price | 4.39% | 18.50% |
Intermediate-Term Government Bond Index | ||
Fund ETF Shares Net Asset Value | 4.50 | 18.46 |
Barclays U.S. 3–10 Year Government Float | ||
Adjusted Index | 4.51 | 18.84 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
29 |
Intermediate-Term Government Bond Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 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 | 4.50 | 4.51 |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 8.47% | 2.02% | 3.67% | 5.69% |
Institutional Shares | 3/19/2010 | 8.53 | 2.16 | 5.16 | 7.32 |
ETF Shares | 11/19/2009 | ||||
Market Price | 8.49 | 6.34 | |||
Net Asset Value | 8.49 | 6.32 |
30
Intermediate-Term Government Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (98.4%) | ||||
U.S. Government Securities (90.3%) | ||||
United States Treasury Note/Bond | 1.750% | 7/31/15 | 35 | 36 |
United States Treasury Note/Bond | 1.250% | 9/30/15 | 1,724 | 1,773 |
United States Treasury Note/Bond | 1.250% | 10/31/15 | 2,017 | 2,076 |
United States Treasury Note/Bond | 4.500% | 11/15/15 | 1,958 | 2,217 |
United States Treasury Note/Bond | 9.875% | 11/15/15 | 158 | 206 |
United States Treasury Note/Bond | 1.375% | 11/30/15 | 4,554 | 4,707 |
United States Treasury Note/Bond | 2.125% | 12/31/15 | 2,294 | 2,429 |
United States Treasury Note/Bond | 2.000% | 1/31/16 | 3,838 | 4,052 |
United States Treasury Note/Bond | 4.500% | 2/15/16 | 1,085 | 1,239 |
United States Treasury Note/Bond | 9.250% | 2/15/16 | 266 | 347 |
United States Treasury Note/Bond | 2.125% | 2/29/16 | 1,190 | 1,263 |
United States Treasury Note/Bond | 2.625% | 2/29/16 | 736 | 794 |
United States Treasury Note/Bond | 2.250% | 3/31/16 | 2,678 | 2,857 |
United States Treasury Note/Bond | 2.375% | 3/31/16 | 1,952 | 2,090 |
United States Treasury Note/Bond | 2.000% | 4/30/16 | 2,240 | 2,371 |
United States Treasury Note/Bond | 2.625% | 4/30/16 | 1,167 | 1,262 |
United States Treasury Note/Bond | 5.125% | 5/15/16 | 846 | 993 |
United States Treasury Note/Bond | 7.250% | 5/15/16 | 473 | 592 |
United States Treasury Note/Bond | 1.750% | 5/31/16 | 2,686 | 2,820 |
United States Treasury Note/Bond | 3.250% | 5/31/16 | 387 | 428 |
United States Treasury Note/Bond | 1.500% | 6/30/16 | 4,150 | 4,321 |
United States Treasury Note/Bond | 3.250% | 6/30/16 | 1,660 | 1,839 |
United States Treasury Note/Bond | 1.500% | 7/31/16 | 4,115 | 4,286 |
United States Treasury Note/Bond | 3.250% | 7/31/16 | 1,252 | 1,390 |
United States Treasury Note/Bond | 4.875% | 8/15/16 | 172 | 202 |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 3,415 | 3,491 |
United States Treasury Note/Bond | 3.000% | 8/31/16 | 4,592 | 5,060 |
United States Treasury Note/Bond | 1.000% | 9/30/16 | 1,990 | 2,034 |
United States Treasury Note/Bond | 3.000% | 9/30/16 | 4,415 | 4,870 |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 675 | 690 |
United States Treasury Note/Bond | 3.125% | 10/31/16 | 1,357 | 1,506 |
United States Treasury Note/Bond | 4.625% | 11/15/16 | 1,805 | 2,116 |
United States Treasury Note/Bond | 7.500% | 11/15/16 | 1,540 | 1,989 |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 5,130 | 5,217 |
United States Treasury Note/Bond | 2.750% | 11/30/16 | 1,965 | 2,153 |
United States Treasury Note/Bond | 0.875% | 12/31/16 | 2,975 | 3,024 |
United States Treasury Note/Bond | 3.250% | 12/31/16 | 773 | 864 |
31
Intermediate-Term Government Bond Index Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 0.875% | 1/31/17 | 582 | 591 |
United States Treasury Note/Bond | 3.125% | 1/31/17 | 2,365 | 2,635 |
United States Treasury Note/Bond | 4.625% | 2/15/17 | 2,155 | 2,546 |
United States Treasury Note/Bond | 0.875% | 2/28/17 | 1,290 | 1,311 |
United States Treasury Note/Bond | 3.000% | 2/28/17 | 927 | 1,029 |
United States Treasury Note/Bond | 1.000% | 3/31/17 | 2,000 | 2,042 |
United States Treasury Note/Bond | 3.250% | 3/31/17 | 3,259 | 3,660 |
United States Treasury Note/Bond | 0.875% | 4/30/17 | 45 | 46 |
United States Treasury Note/Bond | 3.125% | 4/30/17 | 3,263 | 3,650 |
United States Treasury Note/Bond | 4.500% | 5/15/17 | 3,824 | 4,523 |
United States Treasury Note/Bond | 8.750% | 5/15/17 | 177 | 244 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 1,325 | 1,330 |
United States Treasury Note/Bond | 2.750% | 5/31/17 | 1,024 | 1,129 |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 2,425 | 2,446 |
United States Treasury Note/Bond | 2.500% | 6/30/17 | 1,846 | 2,014 |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 690 | 687 |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 1,248 | 1,356 |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 724 | 871 |
United States Treasury Note/Bond | 8.875% | 8/15/17 | 1,320 | 1,853 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 4,300 | 4,307 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 1,811 | 1,924 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 1,758 | 1,868 |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 2,330 | 2,476 |
United States Treasury Note/Bond | 4.250% | 11/15/17 | 2,298 | 2,720 |
United States Treasury Note/Bond | 2.250% | 11/30/17 | 3,415 | 3,696 |
United States Treasury Note/Bond | 2.625% | 1/31/18 | 909 | 1,003 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 2,886 | 3,319 |
United States Treasury Note/Bond | 2.750% | 2/28/18 | 2,751 | 3,055 |
United States Treasury Note/Bond | 2.875% | 3/31/18 | 2,632 | 2,943 |
United States Treasury Note/Bond | 2.625% | 4/30/18 | 3,057 | 3,378 |
United States Treasury Note/Bond | 3.875% | 5/15/18 | 1,455 | 1,711 |
United States Treasury Note/Bond | 9.125% | 5/15/18 | 1,060 | 1,558 |
United States Treasury Note/Bond | 2.375% | 5/31/18 | 1,702 | 1,858 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 2,335 | 2,549 |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 1,575 | 1,709 |
United States Treasury Note/Bond | 4.000% | 8/15/18 | 3,480 | 4,140 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 2,400 | 2,498 |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 2,645 | 2,733 |
United States Treasury Note/Bond | 1.750% | 10/31/18 | 1,365 | 1,440 |
United States Treasury Note/Bond | 3.750% | 11/15/18 | 3,122 | 3,676 |
United States Treasury Note/Bond | 9.000% | 11/15/18 | 133 | 199 |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 695 | 717 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 785 | 809 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 300 | 307 |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 2,947 | 3,292 |
United States Treasury Note/Bond | 8.875% | 2/15/19 | 369 | 555 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 200 | 206 |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 2,340 | 2,427 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 1,450 | 1,479 |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 3,123 | 3,570 |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 1,100 | 1,112 |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 1,350 | 1,352 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 2,325 | 2,307 |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 1,433 | 1,690 |
United States Treasury Note/Bond | 8.125% | 8/15/19 | 2,584 | 3,837 |
32
Intermediate-Term Government Bond Index Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 3,800 | 4,422 |
United States Treasury Note/Bond | 3.625% | 2/15/20 | 3,610 | 4,271 |
United States Treasury Note/Bond | 8.500% | 2/15/20 | 2,395 | 3,679 |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 4,339 | 5,100 |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 3,149 | 3,494 |
United States Treasury Note/Bond | 8.750% | 8/15/20 | 1,110 | 1,754 |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 4,057 | 4,498 |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 4,675 | 5,560 |
United States Treasury Note/Bond | 7.875% | 2/15/21 | 1,216 | 1,866 |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 3,897 | 4,479 |
United States Treasury Note/Bond | 8.125% | 5/15/21 | 650 | 1,018 |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 5,100 | 5,423 |
United States Treasury Note/Bond | 8.125% | 8/15/21 | 300 | 473 |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 6,055 | 6,353 |
United States Treasury Note/Bond | 8.000% | 11/15/21 | 1,200 | 1,892 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 4,820 | 5,044 |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 4,235 | 4,324 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 2,000 | 2,013 |
257,650 | ||||
Agency Bonds and Notes (8.1%) | ||||
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 Banks | 1.500% | 11/16/15 | 50 | 52 |
1 Federal Farm Credit Banks | 1.050% | 3/28/16 | 100 | 102 |
1 Federal Farm Credit Banks | 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 | 1,190 | 1,402 |
1 Federal Home Loan Banks | 4.750% | 12/16/16 | 870 | 1,024 |
1 Federal Home Loan Banks | 1.000% | 6/21/17 | 225 | 228 |
1 Federal Home Loan Banks | 4.125% | 3/13/20 | 700 | 836 |
1 Federal Home Loan Banks | 5.625% | 6/11/21 | 400 | 527 |
2 Federal Home Loan Mortgage Corp. | 1.750% | 9/10/15 | 1,725 | 1,795 |
2 Federal Home Loan Mortgage Corp. | 2.500% | 5/27/16 | 1,035 | 1,110 |
2 Federal Home Loan Mortgage Corp. | 5.500% | 7/18/16 | 250 | 297 |
2 Federal Home Loan Mortgage Corp. | 2.000% | 8/25/16 | 525 | 554 |
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 | 608 |
2 Federal Home Loan Mortgage Corp. | 5.000% | 4/18/17 | 200 | 239 |
2 Federal Home Loan Mortgage Corp. | 1.250% | 5/12/17 | 600 | 615 |
2 Federal Home Loan Mortgage Corp. | 1.000% | 6/29/17 | 375 | 379 |
2 Federal Home Loan Mortgage Corp. | 1.000% | 7/28/17 | 560 | 566 |
2 Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 400 | 404 |
2 Federal Home Loan Mortgage Corp. | 5.125% | 11/17/17 | 225 | 274 |
2 Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 890 | 1,036 |
2 Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 400 | 414 |
2 Federal Home Loan Mortgage Corp. | 1.250% | 8/1/19 | 450 | 450 |
2 Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 450 | 473 |
2 Federal National Mortgage Assn. | 0.500% | 9/28/15 | 500 | 502 |
2 Federal National Mortgage Assn. | 4.375% | 10/15/15 | 175 | 196 |
2 Federal National Mortgage Assn. | 1.625% | 10/26/15 | 75 | 78 |
2 Federal National Mortgage Assn. | 5.000% | 3/15/16 | 25 | 29 |
2 Federal National Mortgage Assn. | 2.375% | 4/11/16 | 100 | 107 |
2 Federal National Mortgage Assn. | 1.250% | 9/28/16 | 50 | 51 |
2 Federal National Mortgage Assn. | 1.375% | 11/15/16 | 695 | 717 |
2 Federal National Mortgage Assn. | 1.250% | 1/30/17 | 200 | 205 |
33
Intermediate-Term Government Bond Index Fund
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2 | Federal National Mortgage Assn. | 5.000% | 2/13/17 | 380 | 452 |
2 | Federal National Mortgage Assn. | 1.125% | 4/27/17 | 1,600 | 1,632 |
2 | Federal National Mortgage Assn. | 5.000% | 5/11/17 | 530 | 635 |
2 | Federal National Mortgage Assn. | 5.375% | 6/12/17 | 1,160 | 1,412 |
2 | Federal National Mortgage Assn. | 0.875% | 8/28/17 | 350 | 352 |
2 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 450 | 391 |
1 | Financing Corp. | 10.700% | 10/6/17 | 122 | 180 |
1 | Financing Corp. | 9.800% | 4/6/18 | 200 | 291 |
1 | Financing Corp. | 10.350% | 8/3/18 | 250 | 377 |
1 | Financing Corp. | 9.700% | 4/5/19 | 50 | 76 |
Private Export Funding Corp. | 1.375% | 2/15/17 | 250 | 257 | |
Private Export Funding Corp. | 2.250% | 12/15/17 | 25 | 27 | |
Private Export Funding Corp. | 1.450% | 8/15/19 | 75 | 76 | |
1 | Tennessee Valley Authority | 5.500% | 7/18/17 | 125 | 153 |
1 | Tennessee Valley Authority | 3.875% | 2/15/21 | 75 | 88 |
1 | Tennessee Valley Authority | 1.875% | 8/15/22 | 125 | 125 |
23,071 | |||||
Total U.S. Government and Agency Obligations (Cost $267,450) | 280,721 | ||||
Shares | |||||
Temporary Cash Investment (1.0%) | |||||
Money Market Fund (1.0%) | |||||
3 | Vanguard Market Liquidity Fund (Cost $2,790) | 0.158% | 2,790,229 | 2,790 | |
Total Investments (99.4%) (Cost $270,240) | 283,511 | ||||
Other Assets and Liabilities (0.6%) | |||||
Other Assets | 9,723 | ||||
Liabilities | (7,981) | ||||
1,742 | |||||
Net Assets (100%) | 285,253 |
34
Intermediate-Term Government Bond Index Fund
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 269,532 |
Undistributed Net Investment Income | 3 |
Accumulated Net Realized Gains | 2,447 |
Unrealized Appreciation (Depreciation) | 13,271 |
Net Assets | 285,253 |
Signal Shares—Net Assets | |
Applicable to 1,537,541 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 34,595 |
Net Asset Value Per Share—Signal Shares | $22.50 |
Institutional Shares—Net Assets | |
Applicable to 4,209,966 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 117,495 |
Net Asset Value Per Share—Institutional Shares | $27.91 |
ETF Shares—Net Assets | |
Applicable to 2,000,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 133,163 |
Net Asset Value Per Share—ETF Shares | $66.58 |
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, as needed to maintain a positive net worth, 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.
35
Intermediate-Term Government Bond Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 4,367 |
Total Income | 4,367 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 12 |
Management and Administrative—Signal Shares | 16 |
Management and Administrative—Institutional Shares | 49 |
Management and Administrative—ETF Shares | 65 |
Marketing and Distribution—Signal Shares | 1 |
Marketing and Distribution—Institutional Shares | 36 |
Marketing and Distribution—ETF Shares | 24 |
Custodian Fees | 3 |
Auditing Fees | 41 |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | 1 |
Shareholders’ Reports—ETF Shares | 6 |
Total Expenses | 254 |
Net Investment Income | 4,113 |
Realized Net Gain (Loss) on Investment Securities Sold | 3,051 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 3,779 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,943 |
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.
36
Intermediate-Term Government Bond Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,113 | 2,799 |
Realized Net Gain (Loss) | 3,051 | 994 |
Change in Unrealized Appreciation (Depreciation) | 3,779 | 5,068 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,943 | 8,861 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (288) | (73) |
Institutional Shares | (2,183) | (1,914) |
ETF Shares | (1,633) | (819) |
Realized Capital Gain1 | ||
Signal Shares | (22) | (22) |
Institutional Shares | (215) | (814) |
ETF Shares | (155) | (308) |
Total Distributions | (4,496) | (3,950) |
Capital Share Transactions | ||
Signal Shares | 25,741 | 4,662 |
Institutional Shares | (3,558) | 41,161 |
ETF Shares | 75,411 | 15,628 |
Net Increase (Decrease) from Capital Share Transactions | 97,594 | 61,451 |
Total Increase (Decrease) | 104,041 | 66,362 |
Net Assets | ||
Beginning of Period | 181,212 | 114,850 |
End of Period2 | 285,253 | 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 $3,000 and ($6,000).
See accompanying Notes, which are an integral part of the Financial Statements.
37
Intermediate-Term Government Bond Index Fund
Financial Highlights
Signal Shares | |||
Aug. 4, | |||
Year Ended | 20101 to | ||
August 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 | .369 | .441 | .033 |
Net Realized and Unrealized Gain (Loss) on Investments | .602 | .658 | .385 |
Total from Investment Operations | .971 | 1.099 | .418 |
Distributions | |||
Dividends from Net Investment Income | (.369) | (.441) | (.038) |
Distributions from Realized Capital Gains | (.042) | (.208) | — |
Total Distributions | (.411) | (.649) | (.038) |
Net Asset Value, End of Period | $22.50 | $21.94 | $21.49 |
Total Return2 | 4.47% | 5.31% | 1.98% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $35 | $8 | $3 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.13% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 1.67% | 2.10% | 2.29%3 |
Portfolio Turnover Rate4 | 51% | 41% | 106% |
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.
38
Intermediate-Term Government Bond Index Fund
Financial Highlights
Institutional Shares | |||
March 19, | |||
Year Ended | 20101 to | ||
August 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 | .466 | .557 | .239 |
Net Realized and Unrealized Gain (Loss) on Investments | .752 | .819 | 1.674 |
Total from Investment Operations | 1.218 | 1.376 | 1.913 |
Distributions | |||
Dividends from Net Investment Income | (.465) | (.558) | (.273) |
Distributions from Realized Capital Gains | (.053) | (.258) | — |
Total Distributions | (.518) | (.816) | (.273) |
Net Asset Value, End of Period | $27.91 | $27.21 | $26.65 |
Total Return2 | 4.52% | 5.36% | 7.69% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $117 | $118 | $73 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09%3 |
Ratio of Net Investment Income to Average Net Assets | 1.70% | 2.14% | 2.35%3 |
Portfolio Turnover Rate4 | 51% | 41% | 106% |
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.
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx41x1.jpg)
Intermediate-Term Government Bond Index Fund
Financial Highlights
ETF Shares | |||
Nov. 19, | |||
Year Ended | 20091 to | ||
August 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 | 1.097 | 1.301 | .961 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.791 | 1.949 | 3.579 |
Total from Investment Operations | 2.888 | 3.250 | 4.540 |
Distributions | |||
Dividends from Net Investment Income | (1.094) | (1.304) | (.960) |
Distributions from Realized Capital Gains | (.124) | (.616) | — |
Total Distributions | (1.218) | (1.920) | (.960) |
Net Asset Value, End of Period | $66.58 | $64.91 | $63.58 |
Total Return | 4.50% | 5.30% | 7.65% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $133 | $55 | $38 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.67% | 2.09% | 2.29%2 |
Portfolio Turnover Rate3 | 51% | 41% | 106% |
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
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, 2010–2012), 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 August 31, 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.
41
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 August 31, 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 | — | 280,721 | — |
Temporary Cash Investments | 2,790 | — | — |
Total | 2,790 | 280,721 | — |
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.
During the year ended August 31, 2012, the fund realized $225,000 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.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $221,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at August 31, 2012, the fund had short-term and long-term capital gains of $759,000 and $1,692,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
At August 31, 2012, the cost of investment securities for tax purposes was $270,243,000. Net unrealized appreciation of investment securities for tax purposes was $13,268,000, consisting of unrealized gains of $13,272,000 on securities that had risen in value since their purchase and $4,000 in unrealized losses on securities that had fallen in value since their purchase.
42
Intermediate-Term Government Bond Index Fund
E. During the year ended August 31, 2012, the fund purchased $223,099,000 of investment securities and sold $124,830,000 of investment securities, other than temporary cash investments. Purchases and sales include $77,891,000 and $3,265,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2012 | 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 31,176 | 1,401 | 6,111 | 289 |
Issued in Lieu of Cash Distributions | 306 | 14 | 96 | 5 |
Redeemed | (5,741) | (258) | (1,545) | (71) |
Net Increase (Decrease)—Signal Shares | 25,741 | 1,157 | 4,662 | 223 |
Institutional Shares | ||||
Issued1 | 34,026 | 1,236 | 41,367 | 1,583 |
Issued in Lieu of Cash Distributions | 1,731 | 63 | 1,676 | 65 |
Redeemed | (39,315) | (1,415) | (1,882) | (73) |
Net Increase (Decrease) —Institutional Shares | (3,558) | (116) | 41,161 | 1,575 |
ETF Shares | ||||
Issued1 | 78,722 | 1,200 | 28,247 | 450 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (3,311) | (50) | (12,619) | (200) |
Net Increase (Decrease)—ETF Shares | 75,411 | 1,150 | 15,628 | 250 |
1 Includes purchase fees for fiscal 2012 and 2011 of $10,000 and $0, respectively (fund totals). |
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
43
Long-Term Government Bond Index Fund
Fund Profile | ||||||
As of August 31, 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 | 2.39 | % | 2.41 | % | 2.39 | % |
Financial Attributes | ||||||
Barclays | ||||||
Long Gov | Barclays | |||||
Float Adj | Aggregate | |||||
Fund | Index | FA Index | ||||
Number of Bonds | 60 | 86 | 7,922 | |||
Yield to Maturity | ||||||
(before expenses) | 2.4 | % | 2.5 | % | 1.7 | % |
Average Coupon | 4.6 | % | 4.5 | % | 3.7 | % |
Average Duration | 16.6 years 16.6 years | 5.2 years | ||||
Average Maturity | 24.2 years 24.1 years | 7.1 years | ||||
Short-Term | ||||||
Reserves | 1.2 | % | — | — | ||
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 | 0.1 | % |
10 - 20 Years | 28.5 | |
20 - 30 Years | 70.9 | |
Over 30 Years | 0.5 |
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 | ||||
Average Maturity | Short | Med. | Long | |
Credit Quality | Treasury/ | |||
Agency | ||||
Investment-Grade | ||||
Corporate | ||||
Below | ||||
Investment-Grade |
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2012, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares, and 0.12% for ETF Shares.
44
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.
Cumulative Performance: November 19, 2009, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx47x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (11/19/2009) | Investment | ||
Long-Term Government Bond Index | ||||
Fund ETF Shares Net Asset Value | 19.06% | 14.22% | $14,476 | |
Long-Term Government Bond Index | ||||
Fund ETF Shares Market Price | 19.05 | 14.24 | 14,481 | |
•••••••• | Barclays U.S. Long Government Float | |||
Adjusted Index | 18.68 | 14.25 | 14,485 | |
– – – – | General U.S. Government Funds | |||
Average | 5.44 | 6.09 | 11,786 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.91 | 6.28 | 11,845 |
For a benchmark description, see the Glossary.
General U.S. Government Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
45
Long-Term Government Bond Index Fund
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (3/1/2010) | Investment | |
Long-Term Government Bond Index Fund | |||
Signal Shares | 19.05% | 16.56% | $14,672 |
Barclays U.S. Long Government Float | |||
Adjusted Index | 18.68 | 16.57 | 14,676 |
Barclays U.S. Aggregate Float Adjusted Index | 5.91 | 6.60 | 11,733 |
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (7/30/2010) | Investment | |
Long-Term Government Bond Index Fund | |||
Institutional Shares | 19.13% | 14.76% | $6,665,215 |
Barclays U.S. Long Government Float | |||
Adjusted Index | 18.68 | 14.64 | 6,650,751 |
Barclays U.S. Aggregate Float Adjusted Index | 5.91 | 5.72 | 5,615,651 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2012 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Long-Term Government Bond Index Fund | ||
ETF Shares Market Price | 19.05% | 44.81% |
Long-Term Government Bond Index Fund | ||
ETF Shares Net Asset Value | 19.06 | 44.76 |
Barclays U.S. Long Government Float | ||
Adjusted Index | 18.68 | 44.85 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
46
Long-Term Government Bond Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 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 | 19.06 | 18.68 |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 31.57% | 3.93% | 12.82% | 16.75% |
Institutional Shares | 7/30/2010 | 31.65 | 3.86 | 10.97 | 14.83 |
ETF Shares | 11/19/2009 | ||||
Market Price | 31.53 | 14.23 | |||
Net Asset Value | 31.57 | 14.24 |
47
Long-Term Government Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (99.3%) | ||||
U.S. Government Securities (92.7%) | ||||
United States Treasury Note/Bond | 7.625% | 11/15/22 | 885 | 1,399 |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 1,769 | 2,723 |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 3,756 | 5,500 |
United States Treasury Note/Bond | 7.500% | 11/15/24 | 755 | 1,231 |
United States Treasury Note/Bond | 7.625% | 2/15/25 | 595 | 982 |
United States Treasury Note/Bond | 6.875% | 8/15/25 | 858 | 1,353 |
United States Treasury Note/Bond | 6.000% | 2/15/26 | 846 | 1,254 |
United States Treasury Note/Bond | 6.750% | 8/15/26 | 475 | 753 |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 949 | 1,479 |
United States Treasury Note/Bond | 6.625% | 2/15/27 | 158 | 250 |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 548 | 854 |
United States Treasury Note/Bond | 6.125% | 11/15/27 | 2,900 | 4,433 |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 2,413 | 3,513 |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 1,204 | 1,715 |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 1,770 | 2,526 |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 2,349 | 3,670 |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 932 | 1,488 |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 2,255 | 3,327 |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 1,125 | 1,538 |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 2,000 | 2,839 |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 1,896 | 2,785 |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 3,424 | 4,628 |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 1,561 | 2,151 |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 3,360 | 3,969 |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 3,897 | 5,191 |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 3,295 | 4,559 |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 4,082 | 5,547 |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 5,092 | 7,185 |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 7,513 | 10,221 |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 4,828 | 6,071 |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 6,387 | 8,532 |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 4,623 | 6,663 |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 8,744 | 11,918 |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 5,660 | 6,970 |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 5,380 | 5,910 |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 6,890 | 7,562 |
48
Long-Term Government Bond Index Fund
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
United States Treasury Note/Bond | 3.000% | 5/15/42 | 7,210 | 7,718 | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 1,400 | 1,422 | |
151,829 | |||||
Agency Bonds and Notes (6.6%) | |||||
1 | Federal Home Loan Banks | 5.500% | 7/15/36 | 555 | 777 |
2 | Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 570 | 882 |
2 | Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 495 | 781 |
2 | Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 685 | 1,047 |
2 | Federal National Mortgage Assn. | 6.250% | 5/15/29 | 100 | 147 |
2 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 705 | 1,132 |
2 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 635 | 1,036 |
2 | Federal National Mortgage Assn. | 6.625% | 11/15/30 | 630 | 978 |
2 | Federal National Mortgage Assn. | 5.625% | 7/15/37 | 275 | 404 |
Israel Government AID Bond | 5.500% | 9/18/23 | 125 | 166 | |
Israel Government AID Bond | 5.500% | 4/26/24 | 525 | 692 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 125 | 128 | |
1 | Tennessee Valley Authority | 6.750% | 11/1/25 | 180 | 266 |
1 | Tennessee Valley Authority | 7.125% | 5/1/30 | 450 | 709 |
1 | Tennessee Valley Authority | 4.650% | 6/15/35 | 225 | 274 |
1 | Tennessee Valley Authority | 5.880% | 4/1/36 | 50 | 71 |
1 | Tennessee Valley Authority | 5.500% | 6/15/38 | 150 | 204 |
1 | Tennessee Valley Authority | 5.250% | 9/15/39 | 207 | 276 |
1 | Tennessee Valley Authority | 4.875% | 1/15/48 | 120 | 152 |
1 | Tennessee Valley Authority | 5.375% | 4/1/56 | 340 | 475 |
1 | Tennessee Valley Authority | 4.625% | 9/15/60 | 150 | 186 |
10,783 | |||||
Total U.S. Government and Agency Obligations (Cost $143,394) | 162,612 | ||||
Shares | |||||
Temporary Cash Investment (1.2%) | |||||
Money Market Fund (1.2%) | |||||
3 | Vanguard Market Liquidity Fund (Cost $1,892) | 0.158% | 1,891,685 | 1,892 | |
Total Investments (100.5%) (Cost $145,286) | 164,504 | ||||
Other Assets and Liabilities (-0.5%) | |||||
Other Assets | 2,820 | ||||
Liabilities | (3,606) | ||||
(786) | |||||
Net Assets (100%) | 163,718 |
49
Long-Term Government Bond Index Fund
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 144,241 |
Undistributed Net Investment Income | 16 |
Accumulated Net Realized Gains | 243 |
Unrealized Appreciation (Depreciation) | 19,218 |
Net Assets | 163,718 |
Signal Shares—Net Assets | |
Applicable to 198,196 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,248 |
Net Asset Value Per Share—Signal Shares | $26.48 |
Institutional Shares—Net Assets | |
Applicable to 2,491,690 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 83,716 |
Net Asset Value Per Share—Institutional Shares | $33.60 |
ETF Shares—Net Assets | |
Applicable to 950,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 74,754 |
Net Asset Value Per Share—ETF Shares | $78.69 |
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, as needed to maintain a positive net worth, 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.
50
Long-Term Government Bond Index Fund
Statement of Operations | |
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 4,290 |
Total Income | 4,290 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 6 |
Management and Administrative—Signal Shares | 2 |
Management and Administrative—Institutional Shares | 29 |
Management and Administrative—ETF Shares | 36 |
Marketing and Distribution—Signal Shares | — |
Marketing and Distribution—Institutional Shares | 11 |
Marketing and Distribution—ETF Shares | 13 |
Custodian Fees | 2 |
Auditing Fees | 41 |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 4 |
Total Expenses | 144 |
Net Investment Income | 4,146 |
Realized Net Gain (Loss) on Investment Securities Sold | 7,144 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 11,088 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 22,378 |
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.
51
Long-Term Government Bond Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,146 | 3,152 |
Realized Net Gain (Loss) | 7,144 | (3,894) |
Change in Unrealized Appreciation (Depreciation) | 11,088 | 2,760 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 22,378 | 2,018 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (84) | (41) |
Institutional Shares | (2,170) | (1,316) |
ETF Shares | (1,875) | (1,798) |
Realized Capital Gain1 | ||
Signal Shares | — | (1) |
Institutional Shares | — | (22) |
ETF Shares | — | (76) |
Total Distributions | (4,129) | (3,254) |
Capital Share Transactions | ||
Signal Shares | 3,695 | 22 |
Institutional Shares | 12,630 | 46,507 |
ETF Shares | 33,114 | (37,116) |
Net Increase (Decrease) from Capital Share Transactions | 49,439 | 9,413 |
Total Increase (Decrease) | 67,688 | 8,177 |
Net Assets | ||
Beginning of Period | 96,030 | 87,853 |
End of Period2 | 163,718 | 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 $16,000 and ($1,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
52
Long-Term Government Bond Index Fund
Financial Highlights
Signal Shares | |||
March 1, | |||
Year Ended | 20101 to | ||
August 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 | .746 | .780 | .364 |
Net Realized and Unrealized Gain (Loss) on Investments | 3.567 | .182 | 3.084 |
Total from Investment Operations | 4.313 | .962 | 3.448 |
Distributions | |||
Dividends from Net Investment Income | (.743) | (.781) | (.358) |
Distributions from Realized Capital Gains | — | (.021) | — |
Total Distributions | (.743) | (.802) | (.358) |
Net Asset Value, End of Period | $26.48 | $22.91 | $22.75 |
Total Return2 | 19.05% | 4.66% | 17.75% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $5 | $1 | $1 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 2.99% | 3.68% | 3.75%3 |
Portfolio Turnover Rate4 | 46% | 40% | 70% |
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.
53
Long-Term Government Bond Index Fund
Financial Highlights
Institutional Shares | |||
July 30, | |||
Year Ended | 20101 to | ||
August 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 | .956 | 1.003 | .070 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.537 | .218 | 1.799 |
Total from Investment Operations | 5.493 | 1.221 | 1.869 |
Distributions | |||
Dividends from Net Investment Income | (.953) | (1.004) | (.069) |
Distributions from Realized Capital Gains | — | (.027) | — |
Total Distributions | (.953) | (1.031) | (.069) |
Net Asset Value, End of Period | $33.60 | $29.06 | $28.87 |
Total Return2 | 19.13% | 4.67% | 6.91% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $84 | $61 | $9 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09%3 |
Ratio of Net Investment Income to Average Net Assets | 3.02% | 3.73% | 3.81%3 |
Portfolio Turnover Rate4 | 46% | 40% | 70% |
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.
54
Long-Term Government Bond Index Fund
Financial Highlights
ETF Shares | |||
Nov. 19, | |||
Year Ended | 20091 to | ||
August 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 | 2.213 | 2.321 | 1.691 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.611 | .526 | 7.768 |
Total from Investment Operations | 12.824 | 2.847 | 9.459 |
Distributions | |||
Dividends from Net Investment Income | (2.204) | (2.324) | (1.689) |
Distributions from Realized Capital Gains | — | (.063) | — |
Total Distributions | (2.204) | (2.387) | (1.689) |
Net Asset Value, End of Period | $78.69 | $68.07 | $67.61 |
Total Return | 19.06% | 4.63% | 16.21% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $75 | $34 | $78 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 2.99% | 3.68% | 3.75%2 |
Portfolio Turnover Rate3 | 46% | 40% | 70% |
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.
55
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, 2010–2012), 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 August 31, 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.
56
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 August 31, 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 | — | 162,612 | — |
Temporary Cash Investments | 1,892 | — | — |
Total | 1,892 | 162,612 | — |
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.
During the year ended August 31, 2012, the fund realized $4,805,000 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.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $27,000 from accumulated net realized gains to paid-in capital.
The fund used a capital loss carryforward of $3,000 to offset taxable capital gains realized during the year ended August 31, 2012, reducing the amount of capital gains that would otherwise be available to distribute to shareholders. For tax purposes, at August 31, 2012, the fund had $244,000 of long-term capital gains available for distribution.
At August 31, 2012, the cost of investment securities for tax purposes was $145,286,000. Net unrealized appreciation of investment securities for tax purposes was $19,218,000, consisting entirely of unrealized gains on securities that had risen in value since their purchase.
57
Long-Term Government Bond Index Fund
E. During the year ended August 31, 2012, the fund purchased $138,791,000 of investment securities and sold $88,189,000 of investment securities, other than temporary cash investments. Purchases and sales include $58,985,000 and $26,316,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2012 | 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 4,461 | 176 | 159 | 8 |
Issued in Lieu of Cash Distributions | 84 | 3 | 42 | 2 |
Redeemed | (850) | (34) | (179) | (9) |
Net Increase (Decrease)—Signal Shares | 3,695 | 145 | 22 | 1 |
Institutional Shares | ||||
Issued1 | 41,946 | 1,322 | 46,497 | 1,778 |
Issued in Lieu of Cash Distributions | 2,170 | 68 | 1,338 | 51 |
Redeemed | (31,486) | (989) | (1,328) | (47) |
Net Increase (Decrease) —Institutional Shares | 12,630 | 401 | 46,507 | 1,782 |
ETF Shares | ||||
Issued1 | 59,782 | 800 | 27,524 | 450 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (26,668) | (350) | (64,640) | (1,100) |
Net Increase (Decrease)—ETF Shares | 33,114 | 450 | (37,116) | (650) |
1 Includes purchase fees for fiscal 2012 and 2011 of $7,000 and $0, respectively (fund totals). |
At August 31, 2012, one shareholder was the record or beneficial owner of 39% of the fund’s net assets. If the shareholder were to redeem its 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 lead to the realization of taxable capital gains.
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
58
Short-Term Corporate Bond Index Fund
Fund Profile
As of August 31, 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 | 1.52% | 1.54% | 1.53% |
Financial Attributes | |||
Barclays | |||
1–5 Year | Barclays | ||
Corporate | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 1,202 | 1,555 | 7,922 |
Yield to Maturity | |||
(before expenses) | 1.6% | 1.6% | 1.7% |
Average Coupon | 4.1% | 4.2% | 3.7% |
Average Duration | 2.8 years | 2.8 years | 5.2 years |
Average Maturity | 3.0 years | 3.0 years | 7.1 years |
Short-Term | |||
Reserves | 0.6% | — | — |
Sector Diversification (% of portfolio) | |
Finance | 43.0% |
Industrial | 50.3 |
Treasury/Agency | 0.1 |
Utilities | 6.5 |
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 | 1.3% |
1 - 3 Years | 49.3 |
3 - 5 Years | 49.4 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 0.1% |
Aaa | 0.9 |
Aa | 11.9 |
A | 52.3 |
Baa | 34.8 |
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 fiscal year ended August 31, 2012, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares, and 0.12% for ETF
Shares.
59
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.
Cumulative Performance: November 19, 2009, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx62x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (11/19/2009) | Investment | ||
Short-Term Corporate Bond Index | ||||
Fund ETF Shares Net Asset Value | 4.68% | 4.66% | $11,352 | |
Short-Term Corporate Bond Index | ||||
Fund ETF Shares Market Price | 4.49 | 4.80 | 11,392 | |
•••••••• | Barclays U.S. 1–5 Year Corporate | |||
Bond Index | 4.81 | 4.99 | 11,451 | |
– – – – | Short-Intermediate Investment-Grade | |||
Debt Funds Average | 4.11 | 4.58 | 11,326 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.91 | 6.28 | 11,845 |
For a benchmark description, see the Glossary.
Short-Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Vanguard fund returns are adjusted to reflect the 0.25% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
See Financial Highlights for dividend and capital gains information.
60
Short-Term Corporate Bond Index Fund
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (11/18/2010) | Investment | |
Short-Term Corporate Bond Index Fund | |||
Signal Shares | 4.43% | 3.76% | $10,681 |
Barclays U.S. 1–5 Year Corporate Bond Index | 4.81 | 4.12 | 10,748 |
Barclays U.S. Aggregate Float Adjusted Index | 5.91 | 6.16 | 11,127 |
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (11/19/2009) | Investment | |
Short-Term Corporate Bond Index Fund | |||
Institutional Shares | 4.44% | 4.62% | $5,668,941 |
Barclays U.S. 1–5 Year Corporate Bond Index | 4.81 | 4.99 | 5,725,557 |
Spliced Barclays U.S. Aggregate Float | |||
Adjusted Index | 5.91 | 6.28 | 5,922,634 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2012 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Short-Term Corporate Bond Index FundETF | ||
Shares Market Price | 4.49% | 13.92% |
Short-Term Corporate Bond Index FundETF | ||
Shares Net Asset Value | 4.68 | 13.52 |
Barclays U.S. 1–5 Year Corporate Bond Index | 4.81 | 14.51 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Vanguard fund returns are adjusted to reflect the 0.25% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
61
Short-Term Corporate Bond Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 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 | 4.68 | 4.81 |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 3.46% | 2.43% | 0.86% | 3.29% |
Fee-Adjusted Returns | 3.20 | 3.13 | |||
Institutional Shares | 11/19/2009 | 3.50 | 2.42 | 1.96 | 4.38 |
Fee-Adjusted Returns | 3.24 | 4.28 | |||
ETF Shares | 11/19/2009 | ||||
Market Price | 3.49 | 4.50 | |||
Net Asset Value | 3.47 | 4.33 |
Vanguard fund returns are adjusted to reflect the 0.25% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
62
Short-Term Corporate Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 | 4.250% | 8/15/13 | 205 | 213 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 20,000 | 20,031 |
Total U.S. Government and Agency Obligations (Cost $20,217) | 20,244 | |||
Corporate Bonds (98.6%) | ||||
Finance (42.3%) | ||||
Banking (30.6%) | ||||
Abbey National Treasury Services plc | 2.875% | 4/25/14 | 2,575 | 2,585 |
Abbey National Treasury Services plc | 4.000% | 4/27/16 | 2,425 | 2,476 |
American Express Centurion Bank | 5.950% | 6/12/17 | 300 | 357 |
American Express Co. | 7.250% | 5/20/14 | 1,221 | 1,355 |
American Express Co. | 5.500% | 9/12/16 | 3,350 | 3,902 |
American Express Co. | 6.150% | 8/28/17 | 7,050 | 8,556 |
1 American Express Co. | 6.800% | 9/1/66 | 2,000 | 2,130 |
American Express Credit Corp. | 5.125% | 8/25/14 | 2,750 | 2,987 |
American Express Credit Corp. | 1.750% | 6/12/15 | 6,775 | 6,939 |
American Express Credit Corp. | 2.750% | 9/15/15 | 7,550 | 7,963 |
American Express Credit Corp. | 2.800% | 9/19/16 | 7,325 | 7,806 |
American Express Credit Corp. | 2.375% | 3/24/17 | 5,175 | 5,434 |
Bancolombia SA | 4.250% | 1/12/16 | 1,500 | 1,564 |
Bancolombia SA | 5.950% | 6/3/21 | 100 | 111 |
Bank of America Corp. | 7.375% | 5/15/14 | 18,740 | 20,452 |
Bank of America Corp. | 4.500% | 4/1/15 | 7,900 | 8,404 |
Bank of America Corp. | 4.750% | 8/1/15 | 1,200 | 1,286 |
Bank of America Corp. | 7.750% | 8/15/15 | 1,000 | 1,124 |
Bank of America Corp. | 3.700% | 9/1/15 | 4,550 | 4,757 |
Bank of America Corp. | 5.250% | 12/1/15 | 4,000 | 4,226 |
Bank of America Corp. | 3.625% | 3/17/16 | 9,625 | 10,028 |
Bank of America Corp. | 3.750% | 7/12/16 | 5,000 | 5,241 |
Bank of America Corp. | 6.500% | 8/1/16 | 8,285 | 9,453 |
Bank of America Corp. | 5.750% | 8/15/16 | 2,000 | 2,151 |
Bank of America Corp. | 7.800% | 9/15/16 | 1,250 | 1,440 |
Bank of America Corp. | 5.625% | 10/14/16 | 6,775 | 7,526 |
Bank of America Corp. | 5.420% | 3/15/17 | 4,375 | 4,658 |
Bank of America Corp. | 3.875% | 3/22/17 | 6,400 | 6,722 |
Bank of America NA | 5.300% | 3/15/17 | 5,825 | 6,321 |
Bank of America NA | 6.100% | 6/15/17 | 875 | 977 |
63
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Bank of Montreal | 1.750 | % | 4/29/14 | 1,575 | 1,608 |
Bank of Montreal | 2.500 | % | 1/11/17 | 5,755 | 6,101 |
Bank of New York Mellon Corp. | 4.300 | % | 5/15/14 | 3,313 | 3,523 |
Bank of New York Mellon Corp. | 1.700 | % | 11/24/14 | 2,100 | 2,152 |
Bank of New York Mellon Corp. | 3.100 | % | 1/15/15 | 1,100 | 1,163 |
Bank of New York Mellon Corp. | 1.200 | % | 2/20/15 | 1,950 | 1,976 |
Bank of New York Mellon Corp. | 4.950 | % | 3/15/15 | 1,000 | 1,096 |
Bank of New York Mellon Corp. | 2.950 | % | 6/18/15 | 2,050 | 2,178 |
Bank of New York Mellon Corp. | 2.500 | % | 1/15/16 | 1,325 | 1,389 |
Bank of New York Mellon Corp. | 2.300 | % | 7/28/16 | 11,000 | 11,510 |
Bank of New York Mellon Corp. | 2.400 | % | 1/17/17 | 1,500 | 1,571 |
Bank of New York Mellon Corp. | 1.969 | % | 6/20/17 | 550 | 569 |
Bank of Nova Scotia | 2.375 | % | 12/17/13 | 5,250 | 5,377 |
Bank of Nova Scotia | 1.850 | % | 1/12/15 | 4,290 | 4,395 |
Bank of Nova Scotia | 3.400 | % | 1/22/15 | 8,325 | 8,860 |
Bank of Nova Scotia | 2.050 | % | 10/7/15 | 2,875 | 2,979 |
Bank of Nova Scotia | 2.900 | % | 3/29/16 | 2,750 | 2,934 |
Bank of Nova Scotia | 2.550 | % | 1/12/17 | 2,940 | 3,108 |
Barclays Bank plc | 5.200 | % | 7/10/14 | 5,400 | 5,724 |
Barclays Bank plc | 2.750 | % | 2/23/15 | 9,050 | 9,193 |
Barclays Bank plc | 3.900 | % | 4/7/15 | 3,400 | 3,561 |
Barclays Bank plc | 5.000 | % | 9/22/16 | 5,950 | 6,547 |
BB&T Corp. | 2.050 | % | 4/28/14 | 6,275 | 6,405 |
BB&T Corp. | 5.200 | % | 12/23/15 | 2,990 | 3,317 |
BB&T Corp. | 3.200 | % | 3/15/16 | 3,300 | 3,547 |
BB&T Corp. | 3.950 | % | 4/29/16 | 2,100 | 2,305 |
BB&T Corp. | 2.150 | % | 3/22/17 | 3,075 | 3,177 |
BB&T Corp. | 4.900 | % | 6/30/17 | 1,000 | 1,119 |
BB&T Corp. | 1.600 | % | 8/15/17 | 1,450 | 1,473 |
BBVA US Senior SAU | 3.250 | % | 5/16/14 | 1,925 | 1,907 |
Bear Stearns Cos. LLC | 5.700 | % | 11/15/14 | 3,152 | 3,447 |
Bear Stearns Cos. LLC | 5.300 | % | 10/30/15 | 2,100 | 2,341 |
Bear Stearns Cos. LLC | 5.550 | % | 1/22/17 | 6,300 | 7,131 |
BNP Paribas SA | 3.250 | % | 3/11/15 | 7,370 | 7,642 |
BNP Paribas SA | 3.600 | % | 2/23/16 | 10,300 | 10,803 |
Canadian Imperial Bank of Commerce | 1.450 | % | 9/13/13 | 4,000 | 4,041 |
Canadian Imperial Bank of Commerce | 2.350 | % | 12/11/15 | 4,420 | 4,653 |
Capital One Financial Corp. | 7.375 | % | 5/23/14 | 8,725 | 9,633 |
Capital One Financial Corp. | 2.125 | % | 7/15/14 | 2,840 | 2,895 |
Capital One Financial Corp. | 2.150 | % | 3/23/15 | 2,075 | 2,130 |
Capital One Financial Corp. | 3.150 | % | 7/15/16 | 3,100 | 3,284 |
Capital One Financial Corp. | 6.150 | % | 9/1/16 | 3,500 | 3,946 |
Citigroup Inc. | 5.500 | % | 4/11/13 | 7,950 | 8,167 |
Citigroup Inc. | 6.000 | % | 12/13/13 | 4,230 | 4,469 |
Citigroup Inc. | 6.375 | % | 8/12/14 | 6,300 | 6,835 |
Citigroup Inc. | 5.000 | % | 9/15/14 | 9,625 | 10,079 |
Citigroup Inc. | 5.500 | % | 10/15/14 | 10,375 | 11,134 |
Citigroup Inc. | 6.010 | % | 1/15/15 | 4,600 | 5,026 |
Citigroup Inc. | 2.650 | % | 3/2/15 | 5,100 | 5,201 |
Citigroup Inc. | 4.875 | % | 5/7/15 | 3,750 | 3,949 |
Citigroup Inc. | 4.750 | % | 5/19/15 | 10,860 | 11,659 |
Citigroup Inc. | 4.700 | % | 5/29/15 | 3,900 | 4,151 |
Citigroup Inc. | 4.587 | % | 12/15/15 | 6,825 | 7,359 |
Citigroup Inc. | 5.300 | % | 1/7/16 | 2,450 | 2,653 |
Citigroup Inc. | 3.953 | % | 6/15/16 | 4,915 | 5,185 |
64
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Citigroup Inc. | 4.450 | % | 1/10/17 | 5,600 | 6,018 |
Citigroup Inc. | 5.500 | % | 2/15/17 | 6,175 | 6,652 |
Citigroup Inc. | 6.000 | % | 8/15/17 | 5,200 | 5,945 |
Comerica Bank | 5.750 | % | 11/21/16 | 2,225 | 2,533 |
Comerica Bank | 5.200 | % | 8/22/17 | 1,675 | 1,897 |
Comerica Inc. | 4.800 | % | 5/1/15 | 1,500 | 1,600 |
Comerica Inc. | 3.000 | % | 9/16/15 | 725 | 756 |
Commonwealth Bank of Australia | 1.950 | % | 3/16/15 | 5,400 | 5,495 |
Cooperatieve Centrale | |||||
Raiffeisen-Boerenleenbank BA | 1.850 | % | 1/10/14 | 7,500 | 7,588 |
Cooperatieve Centrale | |||||
Raiffeisen-Boerenleenbank BA | 2.125 | % | 10/13/15 | 5,450 | 5,576 |
Cooperatieve Centrale | |||||
Raiffeisen-Boerenleenbank BA | 3.375 | % | 1/19/17 | 5,500 | 5,819 |
Countrywide Financial Corp. | 6.250 | % | 5/15/16 | 1,600 | 1,721 |
Credit Suisse | 2.200 | % | 1/14/14 | 7,700 | 7,800 |
Credit Suisse | 5.500 | % | 5/1/14 | 7,025 | 7,496 |
Credit Suisse | 3.500 | % | 3/23/15 | 4,475 | 4,716 |
Credit Suisse USA Inc. | 4.875 | % | 1/15/15 | 5,350 | 5,764 |
Credit Suisse USA Inc. | 5.125 | % | 8/15/15 | 5,820 | 6,455 |
Credit Suisse USA Inc. | 5.375 | % | 3/2/16 | 4,625 | 5,205 |
Credit Suisse USA Inc. | 5.850 | % | 8/16/16 | 2,600 | 2,973 |
Deutsche Bank AG | 3.875 | % | 8/18/14 | 2,555 | 2,685 |
Deutsche Bank AG | 3.450 | % | 3/30/15 | 2,090 | 2,190 |
Deutsche Bank AG | 3.250 | % | 1/11/16 | 9,360 | 9,789 |
Deutsche Bank Financial LLC | 5.375 | % | 3/2/15 | 2,500 | 2,636 |
Fifth Third Bancorp | 3.625 | % | 1/25/16 | 8,350 | 8,985 |
Fifth Third Bancorp | 5.450 | % | 1/15/17 | 295 | 328 |
First Horizon National Corp. | 5.375 | % | 12/15/15 | 2,025 | 2,166 |
First Tennessee Bank NA | 5.050 | % | 1/15/15 | 225 | 232 |
First Tennessee Bank NA | 5.650 | % | 4/1/16 | 1,500 | 1,557 |
Goldman Sachs Group Inc. | 5.250 | % | 10/15/13 | 10,525 | 10,988 |
Goldman Sachs Group Inc. | 5.150 | % | 1/15/14 | 3,650 | 3,835 |
Goldman Sachs Group Inc. | 6.000 | % | 5/1/14 | 14,425 | 15,399 |
Goldman Sachs Group Inc. | 5.000 | % | 10/1/14 | 2,900 | 3,077 |
Goldman Sachs Group Inc. | 5.500 | % | 11/15/14 | 500 | 538 |
Goldman Sachs Group Inc. | 5.125 | % | 1/15/15 | 10,700 | 11,458 |
Goldman Sachs Group Inc. | 3.300 | % | 5/3/15 | 4,100 | 4,233 |
Goldman Sachs Group Inc. | 3.700 | % | 8/1/15 | 11,775 | 12,322 |
Goldman Sachs Group Inc. | 5.350 | % | 1/15/16 | 3,525 | 3,827 |
Goldman Sachs Group Inc. | 3.625 | % | 2/7/16 | 10,450 | 10,839 |
Goldman Sachs Group Inc. | 5.750 | % | 10/1/16 | 2,250 | 2,524 |
Goldman Sachs Group Inc. | 5.625 | % | 1/15/17 | 8,000 | 8,637 |
HSBC Bank USA NA | 4.625 | % | 4/1/14 | 3,675 | 3,845 |
HSBC Bank USA NA | 6.000 | % | 8/9/17 | 325 | 372 |
HSBC USA Inc. | 2.375 | % | 2/13/15 | 9,225 | 9,455 |
JPMorgan Chase & Co. | 2.050 | % | 1/24/14 | 7,360 | 7,483 |
JPMorgan Chase & Co. | 4.875 | % | 3/15/14 | 3,040 | 3,204 |
JPMorgan Chase & Co. | 4.650 | % | 6/1/14 | 2,964 | 3,147 |
JPMorgan Chase & Co. | 5.125 | % | 9/15/14 | 8,500 | 9,091 |
JPMorgan Chase & Co. | 3.700 | % | 1/20/15 | 20,525 | 21,755 |
JPMorgan Chase & Co. | 4.750 | % | 3/1/15 | 7,375 | 7,999 |
JPMorgan Chase & Co. | 1.875 | % | 3/20/15 | 3,025 | 3,078 |
JPMorgan Chase & Co. | 5.250 | % | 5/1/15 | 1,500 | 1,635 |
JPMorgan Chase & Co. | 5.150 | % | 10/1/15 | 2,299 | 2,515 |
65
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
JPMorgan Chase & Co. | 2.600 | % | 1/15/16 | 2,075 | 2,154 |
JPMorgan Chase & Co. | 3.450 | % | 3/1/16 | 8,625 | 9,206 |
JPMorgan Chase & Co. | 3.150 | % | 7/5/16 | 12,475 | 13,209 |
JPMorgan Chase & Co. | 2.000 | % | 8/15/17 | 10,900 | 10,966 |
KeyBank NA | 5.800 | % | 7/1/14 | 1,550 | 1,660 |
KeyBank NA | 4.950 | % | 9/15/15 | 1,000 | 1,082 |
KeyBank NA | 5.450 | % | 3/3/16 | 2,000 | 2,228 |
KeyCorp | 3.750 | % | 8/13/15 | 4,500 | 4,846 |
Lloyds TSB Bank plc | 4.875 | % | 1/21/16 | 7,200 | 7,755 |
Lloyds TSB Bank plc | 4.200 | % | 3/28/17 | 3,000 | 3,188 |
1 Manufacturers & Traders Trust Co. | 5.585 | % | 12/28/20 | 1,500 | 1,483 |
MBNA Corp. | 5.000 | % | 6/15/15 | 2,800 | 2,976 |
Merrill Lynch & Co. Inc. | 5.000 | % | 2/3/14 | 2,975 | 3,104 |
Merrill Lynch & Co. Inc. | 5.450 | % | 7/15/14 | 4,300 | 4,571 |
Merrill Lynch & Co. Inc. | 5.000 | % | 1/15/15 | 3,775 | 4,009 |
Merrill Lynch & Co. Inc. | 6.050 | % | 5/16/16 | 5,850 | 6,257 |
Merrill Lynch & Co. Inc. | 5.700 | % | 5/2/17 | 1,450 | 1,554 |
Merrill Lynch & Co. Inc. | 6.400 | % | 8/28/17 | 8,500 | 9,662 |
Morgan Stanley | 2.875 | % | 1/24/14 | 2,950 | 2,974 |
Morgan Stanley | 4.750 | % | 4/1/14 | 10,350 | 10,656 |
Morgan Stanley | 6.000 | % | 5/13/14 | 5,850 | 6,185 |
Morgan Stanley | 2.875 | % | 7/28/14 | 7,450 | 7,552 |
Morgan Stanley | 4.200 | % | 11/20/14 | 2,750 | 2,830 |
Morgan Stanley | 4.100 | % | 1/26/15 | 8,775 | 8,981 |
Morgan Stanley | 6.000 | % | 4/28/15 | 4,350 | 4,632 |
Morgan Stanley | 4.000 | % | 7/24/15 | 6,425 | 6,552 |
Morgan Stanley | 5.375 | % | 10/15/15 | 5,375 | 5,661 |
Morgan Stanley | 3.450 | % | 11/2/15 | 3,000 | 3,016 |
Morgan Stanley | 3.800 | % | 4/29/16 | 5,850 | 5,883 |
Morgan Stanley | 5.750 | % | 10/18/16 | 3,400 | 3,605 |
Morgan Stanley | 5.450 | % | 1/9/17 | 5,700 | 5,984 |
Morgan Stanley | 4.750 | % | 3/22/17 | 6,025 | 6,191 |
Morgan Stanley | 5.550 | % | 4/27/17 | 8,355 | 8,869 |
Morgan Stanley | 6.250 | % | 8/28/17 | 3,875 | 4,201 |
Murray Street Investment Trust I | 4.647 | % | 3/9/17 | 5,825 | 6,106 |
National Australia Bank Ltd. | 2.000 | % | 3/9/15 | 5,450 | 5,550 |
National Australia Bank Ltd. | 1.600 | % | 8/7/15 | 2,675 | 2,692 |
National Australia Bank Ltd. | 2.750 | % | 3/9/17 | 2,950 | 3,045 |
National Bank of Canada | 1.500 | % | 6/26/15 | 3,500 | 3,569 |
National City Corp. | 4.900 | % | 1/15/15 | 1,025 | 1,116 |
PNC Bank NA | 5.250 | % | 1/15/17 | 3,000 | 3,394 |
PNC Funding Corp. | 5.400 | % | 6/10/14 | 1,150 | 1,242 |
PNC Funding Corp. | 3.625 | % | 2/8/15 | 5,300 | 5,648 |
PNC Funding Corp. | 4.250 | % | 9/21/15 | 1,830 | 2,005 |
PNC Funding Corp. | 2.700 | % | 9/19/16 | 8,375 | 8,930 |
PNC Funding Corp. | 5.625 | % | 2/1/17 | 1,950 | 2,223 |
Regions Financial Corp. | 7.750 | % | 11/10/14 | 1,150 | 1,274 |
Regions Financial Corp. | 5.750 | % | 6/15/15 | 2,500 | 2,656 |
Royal Bank of Canada | 1.450 | % | 10/30/14 | 7,875 | 8,026 |
Royal Bank of Canada | 1.150 | % | 3/13/15 | 1,350 | 1,369 |
Royal Bank of Canada | 2.625 | % | 12/15/15 | 12,550 | 13,296 |
Royal Bank of Scotland plc | 3.250 | % | 1/11/14 | 2,250 | 2,288 |
Royal Bank of Scotland plc | 4.875 | % | 3/16/15 | 7,220 | 7,657 |
Royal Bank of Scotland plc | 3.950 | % | 9/21/15 | 4,500 | 4,725 |
Royal Bank of Scotland plc | 4.375 | % | 3/16/16 | 4,750 | 4,990 |
66
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Santander Holdings USA Inc. | 4.625 | % | 4/19/16 | 2,725 | 2,759 |
State Street Corp. | 4.300 | % | 5/30/14 | 2,205 | 2,342 |
State Street Corp. | 2.875 | % | 3/7/16 | 6,175 | 6,599 |
Sumitomo Mitsui Banking Corp. | 1.350 | % | 7/18/15 | 3,250 | 3,278 |
Sumitomo Mitsui Banking Corp. | 1.800 | % | 7/18/17 | 3,375 | 3,414 |
SunTrust Banks Inc. | 3.600 | % | 4/15/16 | 6,275 | 6,613 |
SunTrust Banks Inc. | 3.500 | % | 1/20/17 | 1,650 | 1,746 |
Svenska Handelsbanken AB | 3.125 | % | 7/12/16 | 2,500 | 2,634 |
Svenska Handelsbanken AB | 2.875 | % | 4/4/17 | 5,475 | 5,749 |
Toronto-Dominion Bank | 1.375 | % | 7/14/14 | 1,240 | 1,262 |
Toronto-Dominion Bank | 2.500 | % | 7/14/16 | 4,110 | 4,357 |
Toronto-Dominion Bank | 2.375 | % | 10/19/16 | 7,235 | 7,638 |
UBS AG | 2.250 | % | 1/28/14 | 3,425 | 3,464 |
UBS AG | 3.875 | % | 1/15/15 | 5,175 | 5,453 |
UBS AG | 5.875 | % | 7/15/16 | 3,600 | 3,895 |
Union Bank NA | 2.125 | % | 12/16/13 | 450 | 458 |
Union Bank NA | 5.950 | % | 5/11/16 | 2,050 | 2,333 |
Union Bank NA | 3.000 | % | 6/6/16 | 3,800 | 4,010 |
Union Bank NA | 2.125 | % | 6/16/17 | 1,175 | 1,196 |
US Bancorp | 2.000 | % | 6/14/13 | 4,050 | 4,100 |
US Bancorp | 1.125 | % | 10/30/13 | 825 | 831 |
US Bancorp | 4.200 | % | 5/15/14 | 4,025 | 4,275 |
US Bancorp | 2.875 | % | 11/20/14 | 325 | 342 |
US Bancorp | 2.450 | % | 7/27/15 | 4,375 | 4,592 |
US Bancorp | 3.442 | % | 2/1/16 | 2,250 | 2,343 |
US Bancorp | 2.200 | % | 11/15/16 | 5,075 | 5,322 |
US Bancorp | 1.650 | % | 5/15/17 | 3,300 | 3,367 |
US Bank NA | 6.300 | % | 2/4/14 | 150 | 162 |
US Bank NA | 4.950 | % | 10/30/14 | 3,360 | 3,657 |
US Bank NA | 4.800 | % | 4/15/15 | 2,100 | 2,313 |
1 US Bank NA | 3.778 | % | 4/29/20 | 1,250 | 1,327 |
Vesey Street Investment Trust I | 4.404 | % | 9/1/16 | 1,375 | 1,433 |
Wachovia Bank NA | 4.800 | % | 11/1/14 | 950 | 1,022 |
Wachovia Bank NA | 4.875 | % | 2/1/15 | 4,150 | 4,486 |
Wachovia Bank NA | 5.000 | % | 8/15/15 | 500 | 546 |
Wachovia Bank NA | 5.600 | % | 3/15/16 | 1,823 | 2,056 |
Wachovia Corp. | 4.875 | % | 2/15/14 | 2,350 | 2,455 |
Wachovia Corp. | 5.250 | % | 8/1/14 | 1,250 | 1,344 |
Wachovia Corp. | 5.625 | % | 10/15/16 | 6,200 | 7,127 |
Wachovia Corp. | 5.750 | % | 6/15/17 | 6,775 | 8,062 |
Wells Fargo & Co. | 4.950 | % | 10/16/13 | 7,340 | 7,669 |
Wells Fargo & Co. | 4.625 | % | 4/15/14 | 5,000 | 5,253 |
Wells Fargo & Co. | 3.750 | % | 10/1/14 | 9,325 | 9,862 |
Wells Fargo & Co. | 1.250 | % | 2/13/15 | 8,625 | 8,699 |
Wells Fargo & Co. | 3.625 | % | 4/15/15 | 3,370 | 3,604 |
Wells Fargo & Co. | 1.500 | % | 7/1/15 | 6,675 | 6,770 |
Wells Fargo & Co. | 3.676 | % | 6/15/16 | 6,700 | 7,277 |
Wells Fargo & Co. | 5.125 | % | 9/15/16 | 2,000 | 2,269 |
Wells Fargo & Co. | 2.625 | % | 12/15/16 | 3,750 | 3,973 |
Wells Fargo & Co. | 2.100 | % | 5/8/17 | 2,500 | 2,578 |
Wells Fargo Bank NA | 4.750 | % | 2/9/15 | 500 | 541 |
Wells Fargo Bank NA | 5.750 | % | 5/16/16 | 3,250 | 3,630 |
Westpac Banking Corp. | 1.850 | % | 12/9/13 | 4,875 | 4,946 |
Westpac Banking Corp. | 4.200 | % | 2/27/15 | 2,725 | 2,927 |
Westpac Banking Corp. | 3.000 | % | 8/4/15 | 11,025 | 11,626 |
67
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Westpac Banking Corp. | 3.000 | % | 12/9/15 | 750 | 793 |
Westpac Banking Corp. | 2.000 | % | 8/14/17 | 3,100 | 3,132 |
Zions Bancorporation | 4.500 | % | 3/27/17 | 2,000 | 2,040 |
Brokerage (0.7%) | |||||
Ameriprise Financial Inc. | 5.650 | % | 11/15/15 | 1,900 | 2,158 |
1 Ameriprise Financial Inc. | 7.518 | % | 6/1/66 | 1,200 | 1,303 |
BlackRock Inc. | 3.500 | % | 12/10/14 | 3,275 | 3,485 |
BlackRock Inc. | 1.375 | % | 6/1/15 | 1,300 | 1,324 |
Charles Schwab Corp. | 4.950 | % | 6/1/14 | 1,325 | 1,423 |
Franklin Resources Inc. | 3.125 | % | 5/20/15 | 150 | 158 |
Jefferies Group Inc. | 5.875 | % | 6/8/14 | 100 | 106 |
Jefferies Group Inc. | 3.875 | % | 11/9/15 | 100 | 101 |
Jefferies Group Inc. | 5.500 | % | 3/15/16 | 2,000 | 2,105 |
Lazard Group LLC | 7.125 | % | 5/15/15 | 1,375 | 1,510 |
Lazard Group LLC | 6.850 | % | 6/15/17 | 1,600 | 1,805 |
Nomura Holdings Inc. | 5.000 | % | 3/4/15 | 1,450 | 1,530 |
Nomura Holdings Inc. | 4.125 | % | 1/19/16 | 6,420 | 6,645 |
Raymond James Financial Inc. | 4.250 | % | 4/15/16 | 300 | 316 |
TD Ameritrade Holding Corp. | 4.150 | % | 12/1/14 | 1,994 | 2,130 |
Finance Companies (3.8%) | |||||
Block Financial LLC | 5.125 | % | 10/30/14 | 950 | 993 |
Discover Financial Services | 6.450 | % | 6/12/17 | 1,175 | 1,339 |
GATX Corp. | 4.750 | % | 5/15/15 | 170 | 182 |
GATX Corp. | 3.500 | % | 7/15/16 | 2,000 | 2,065 |
General Electric Capital Corp. | 1.875 | % | 9/16/13 | 17,475 | 17,722 |
General Electric Capital Corp. | 2.100 | % | 1/7/14 | 3,000 | 3,060 |
General Electric Capital Corp. | 5.900 | % | 5/13/14 | 7,950 | 8,647 |
General Electric Capital Corp. | 4.750 | % | 9/15/14 | 3,000 | 3,232 |
General Electric Capital Corp. | 3.750 | % | 11/14/14 | 3,925 | 4,164 |
General Electric Capital Corp. | 2.150 | % | 1/9/15 | 3,800 | 3,913 |
General Electric Capital Corp. | 4.875 | % | 3/4/15 | 1,240 | 1,360 |
General Electric Capital Corp. | 3.500 | % | 6/29/15 | 2,425 | 2,590 |
General Electric Capital Corp. | 1.625 | % | 7/2/15 | 3,450 | 3,518 |
General Electric Capital Corp. | 4.375 | % | 9/21/15 | 2,000 | 2,190 |
General Electric Capital Corp. | 2.250 | % | 11/9/15 | 19,675 | 20,352 |
General Electric Capital Corp. | 5.000 | % | 1/8/16 | 1,565 | 1,748 |
General Electric Capital Corp. | 2.950 | % | 5/9/16 | 10,050 | 10,665 |
General Electric Capital Corp. | 3.350 | % | 10/17/16 | 2,650 | 2,850 |
General Electric Capital Corp. | 2.900 | % | 1/9/17 | 6,000 | 6,359 |
General Electric Capital Corp. | 5.400 | % | 2/15/17 | 5,000 | 5,804 |
General Electric Capital Corp. | 2.300 | % | 4/27/17 | 4,600 | 4,756 |
1 HSBC Finance Capital Trust IX | 5.911 | % | 11/30/35 | 3,700 | 3,603 |
HSBC Finance Corp. | 5.250 | % | 1/15/14 | 525 | 551 |
HSBC Finance Corp. | 5.250 | % | 4/15/15 | 1,600 | 1,725 |
HSBC Finance Corp. | 5.000 | % | 6/30/15 | 7,720 | 8,298 |
HSBC Finance Corp. | 5.500 | % | 1/19/16 | 5,600 | 6,143 |
SLM Corp. | 5.000 | % | 10/1/13 | 4,900 | 5,084 |
SLM Corp. | 5.000 | % | 4/15/15 | 1,875 | 1,968 |
SLM Corp. | 6.250 | % | 1/25/16 | 8,500 | 9,116 |
SLM Corp. | 6.000 | % | 1/25/17 | 2,775 | 2,968 |
68
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Insurance (4.9%) | |||||
ACE INA Holdings Inc. | 5.875 | % | 6/15/14 | 1,375 | 1,498 |
ACE INA Holdings Inc. | 5.600 | % | 5/15/15 | 2,450 | 2,742 |
ACE INA Holdings Inc. | 2.600 | % | 11/23/15 | 2,590 | 2,717 |
ACE INA Holdings Inc. | 5.700 | % | 2/15/17 | 1,000 | 1,188 |
Aegon NV | 4.625 | % | 12/1/15 | 3,275 | 3,571 |
Aetna Inc. | 6.000 | % | 6/15/16 | 3,115 | 3,645 |
Aetna Inc. | 1.750 | % | 5/15/17 | 100 | 101 |
Aflac Inc. | 3.450 | % | 8/15/15 | 1,575 | 1,698 |
Aflac Inc. | 2.650 | % | 2/15/17 | 1,900 | 2,003 |
Allied World Assurance Co. Ltd. | 7.500 | % | 8/1/16 | 1,670 | 1,935 |
Allstate Corp. | 5.000 | % | 8/15/14 | 3,057 | 3,314 |
1 Allstate Corp. | 6.125 | % | 5/15/67 | 1,400 | 1,432 |
American International Group Inc. | 4.250 | % | 9/15/14 | 4,665 | 4,898 |
American International Group Inc. | 3.000 | % | 3/20/15 | 6,275 | 6,446 |
American International Group Inc. | 2.375 | % | 8/24/15 | 700 | 702 |
American International Group Inc. | 5.050 | % | 10/1/15 | 4,175 | 4,540 |
American International Group Inc. | 4.875 | % | 9/15/16 | 1,500 | 1,645 |
American International Group Inc. | 5.600 | % | 10/18/16 | 875 | 984 |
American International Group Inc. | 3.800 | % | 3/22/17 | 3,100 | 3,282 |
American International Group Inc. | 5.450 | % | 5/18/17 | 2,500 | 2,805 |
Aon Corp. | 3.500 | % | 9/30/15 | 3,675 | 3,866 |
Assurant Inc. | 5.625 | % | 2/15/14 | 350 | 365 |
Axis Capital Holdings Ltd. | 5.750 | % | 12/1/14 | 2,550 | 2,717 |
Berkshire Hathaway Finance Corp. | 1.500 | % | 1/10/14 | 5,270 | 5,350 |
Berkshire Hathaway Finance Corp. | 4.850 | % | 1/15/15 | 3,000 | 3,302 |
Berkshire Hathaway Finance Corp. | 1.600 | % | 5/15/17 | 1,325 | 1,358 |
Berkshire Hathaway Inc. | 3.200 | % | 2/11/15 | 9,400 | 9,993 |
Berkshire Hathaway Inc. | 2.200 | % | 8/15/16 | 2,000 | 2,105 |
Berkshire Hathaway Inc. | 1.900 | % | 1/31/17 | 2,900 | 3,006 |
1 Chubb Corp. | 6.375 | % | 3/29/67 | 2,825 | 2,987 |
Cigna Corp. | 2.750 | % | 11/15/16 | 4,975 | 5,231 |
CNA Financial Corp. | 5.850 | % | 12/15/14 | 1,850 | 2,002 |
CNA Financial Corp. | 6.500 | % | 8/15/16 | 1,000 | 1,149 |
Coventry Health Care Inc. | 6.300 | % | 8/15/14 | 200 | 217 |
Coventry Health Care Inc. | 5.950 | % | 3/15/17 | 1,500 | 1,755 |
Genworth Financial Inc. | 5.750 | % | 6/15/14 | 1,635 | 1,682 |
Genworth Financial Inc. | 4.950 | % | 10/1/15 | 1,000 | 1,000 |
Genworth Financial Inc. | 8.625 | % | 12/15/16 | 1,525 | 1,677 |
Hartford Financial Services Group Inc. | 4.000 | % | 3/30/15 | 3,220 | 3,386 |
Hartford Financial Services Group Inc. | 5.375 | % | 3/15/17 | 1,675 | 1,840 |
Humana Inc. | 6.450 | % | 6/1/16 | 675 | 770 |
Jefferson-Pilot Corp. | 4.750 | % | 1/30/14 | 1,525 | 1,593 |
Kemper Corp. | 6.000 | % | 11/30/15 | 200 | 210 |
Lincoln National Corp. | 4.300 | % | 6/15/15 | 400 | 424 |
1 Lincoln National Corp. | 7.000 | % | 5/17/66 | 2,375 | 2,369 |
1 Lincoln National Corp. | 6.050 | % | 4/20/67 | 900 | 866 |
Loews Corp. | 5.250 | % | 3/15/16 | 575 | 648 |
Manulife Financial Corp. | 3.400 | % | 9/17/15 | 2,725 | 2,854 |
Marsh & McLennan Cos. Inc. | 5.375 | % | 7/15/14 | 1 | 1 |
Marsh & McLennan Cos. Inc. | 5.750 | % | 9/15/15 | 1,432 | 1,605 |
Marsh & McLennan Cos. Inc. | 2.300 | % | 4/1/17 | 1,450 | 1,463 |
MetLife Inc. | 2.375 | % | 2/6/14 | 11,325 | 11,585 |
MetLife Inc. | 5.000 | % | 6/15/15 | 1,800 | 2,000 |
MetLife Inc. | 6.750 | % | 6/1/16 | 2,200 | 2,633 |
69
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2 Metropolitan Life Global Funding I | 5.125 | % | 6/10/14 | 100 | 107 |
Principal Financial Group Inc. | 7.875 | % | 5/15/14 | 1,550 | 1,732 |
2 Principal Life Global Funding I | 5.125 | % | 10/15/13 | 175 | 183 |
1 Progressive Corp. | 6.700 | % | 6/15/67 | 2,075 | 2,215 |
Prudential Financial Inc. | 4.750 | % | 4/1/14 | 290 | 306 |
Prudential Financial Inc. | 5.100 | % | 9/20/14 | 4,725 | 5,109 |
Prudential Financial Inc. | 3.875 | % | 1/14/15 | 1,160 | 1,229 |
Prudential Financial Inc. | 6.200 | % | 1/15/15 | 400 | 441 |
Prudential Financial Inc. | 4.750 | % | 9/17/15 | 9,350 | 10,258 |
Prudential Financial Inc. | 5.500 | % | 3/15/16 | 725 | 815 |
1 Reinsurance Group of America Inc. | 6.750 | % | 12/15/65 | 1,400 | 1,351 |
Torchmark Corp. | 6.375 | % | 6/15/16 | 1,500 | 1,671 |
Transatlantic Holdings Inc. | 5.750 | % | 12/14/15 | 2,725 | 3,011 |
Travelers Cos. Inc. | 5.500 | % | 12/1/15 | 1,540 | 1,747 |
Travelers Cos. Inc. | 6.250 | % | 6/20/16 | 1,490 | 1,763 |
UnitedHealth Group Inc. | 5.000 | % | 8/15/14 | 600 | 649 |
UnitedHealth Group Inc. | 4.875 | % | 3/15/15 | 1,531 | 1,686 |
UnitedHealth Group Inc. | 5.375 | % | 3/15/16 | 2,600 | 2,993 |
UnitedHealth Group Inc. | 1.875 | % | 11/15/16 | 2,900 | 2,994 |
WellPoint Inc. | 6.000 | % | 2/15/14 | 2,370 | 2,543 |
WellPoint Inc. | 5.250 | % | 1/15/16 | 3,475 | 3,884 |
WellPoint Inc. | 5.875 | % | 6/15/17 | 1,475 | 1,738 |
Willis Group Holdings plc | 4.125 | % | 3/15/16 | 3,550 | 3,738 |
Willis North America Inc. | 5.625 | % | 7/15/15 | 275 | 299 |
Willis North America Inc. | 6.200 | % | 3/28/17 | 245 | 279 |
XL Group plc | 5.250 | % | 9/15/14 | 2,250 | 2,391 |
Other Finance (0.3%) | |||||
CME Group Inc. | 5.750 | % | 2/15/14 | 787 | 843 |
NASDAQ OMX Group Inc. | 4.000 | % | 1/15/15 | 1,500 | 1,567 |
ORIX Corp. | 4.710 | % | 4/27/15 | 2,250 | 2,375 |
ORIX Corp. | 5.000 | % | 1/12/16 | 1,775 | 1,897 |
ORIX Corp. | 3.750 | % | 3/9/17 | 1,950 | 1,996 |
XTRA Finance Corp. | 5.150 | % | 4/1/17 | 1,600 | 1,835 |
Real Estate Investment Trusts (2.0%) | |||||
AvalonBay Communities Inc. | 5.750 | % | 9/15/16 | 500 | 576 |
AvalonBay Communities Inc. | 5.700 | % | 3/15/17 | 335 | 392 |
BioMed Realty LP | 3.850 | % | 4/15/16 | 1,900 | 1,984 |
Boston Properties LP | 5.625 | % | 4/15/15 | 3,400 | 3,768 |
Brandywine Operating Partnership LP | 7.500 | % | 5/15/15 | 450 | 507 |
Brandywine Operating Partnership LP | 6.000 | % | 4/1/16 | 600 | 656 |
Brandywine Operating Partnership LP | 5.700 | % | 5/1/17 | 500 | 547 |
BRE Properties Inc. | 5.500 | % | 3/15/17 | 825 | 934 |
CommonWealth REIT | 5.750 | % | 11/1/15 | 864 | 912 |
CommonWealth REIT | 6.250 | % | 8/15/16 | 1,400 | 1,522 |
CommonWealth REIT | 6.250 | % | 6/15/17 | 1,000 | 1,097 |
Digital Realty Trust LP | 4.500 | % | 7/15/15 | 2,500 | 2,661 |
Duke Realty LP | 6.250 | % | 5/15/13 | 1,200 | 1,239 |
Duke Realty LP | 7.375 | % | 2/15/15 | 850 | 957 |
Duke Realty LP | 5.950 | % | 2/15/17 | 1,050 | 1,182 |
ERP Operating LP | 5.250 | % | 9/15/14 | 350 | 378 |
ERP Operating LP | 6.584 | % | 4/13/15 | 1,000 | 1,128 |
ERP Operating LP | 5.125 | % | 3/15/16 | 2,425 | 2,714 |
ERP Operating LP | 5.750 | % | 6/15/17 | 1,675 | 1,978 |
70
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
HCP Inc. | 5.650 | % | 12/15/13 | 100 | 106 |
HCP Inc. | 2.700 | % | 2/1/14 | 2,725 | 2,782 |
HCP Inc. | 3.750 | % | 2/1/16 | 6,275 | 6,656 |
HCP Inc. | 6.000 | % | 1/30/17 | 300 | 341 |
Health Care REIT Inc. | 3.625 | % | 3/15/16 | 4,425 | 4,661 |
Health Care REIT Inc. | 6.200 | % | 6/1/16 | 1,275 | 1,440 |
Healthcare Realty Trust Inc. | 6.500 | % | 1/17/17 | 1,857 | 2,102 |
Hospitality Properties Trust | 7.875 | % | 8/15/14 | 330 | 356 |
Hospitality Properties Trust | 5.125 | % | 2/15/15 | 2,525 | 2,616 |
Hospitality Properties Trust | 5.625 | % | 3/15/17 | 575 | 619 |
Kilroy Realty LP | 5.000 | % | 11/3/15 | 1,125 | 1,226 |
Kimco Realty Corp. | 5.783 | % | 3/15/16 | 500 | 561 |
Kimco Realty Corp. | 5.700 | % | 5/1/17 | 1,000 | 1,147 |
Liberty Property LP | 5.125 | % | 3/2/15 | 2,350 | 2,519 |
Liberty Property LP | 5.500 | % | 12/15/16 | 113 | 127 |
ProLogis LP | 7.625 | % | 8/15/14 | 1,160 | 1,281 |
ProLogis LP | 6.250 | % | 3/15/17 | 650 | 742 |
ProLogis LP | 4.500 | % | 8/15/17 | 1,200 | 1,293 |
Realty Income Corp. | 5.950 | % | 9/15/16 | 1,000 | 1,137 |
Regency Centers LP | 5.250 | % | 8/1/15 | 1,750 | 1,897 |
Regency Centers LP | 5.875 | % | 6/15/17 | 300 | 346 |
Senior Housing Properties Trust | 4.300 | % | 1/15/16 | 320 | 329 |
Simon Property Group LP | 6.750 | % | 5/15/14 | 3,445 | 3,738 |
Simon Property Group LP | 4.200 | % | 2/1/15 | 6,450 | 6,881 |
Simon Property Group LP | 5.100 | % | 6/15/15 | 175 | 192 |
Simon Property Group LP | 5.250 | % | 12/1/16 | 2,625 | 3,012 |
Simon Property Group LP | 2.800 | % | 1/30/17 | 1,775 | 1,875 |
Simon Property Group LP | 5.875 | % | 3/1/17 | 86 | 101 |
Ventas Realty LP / Ventas Capital Corp. | 3.125 | % | 11/30/15 | 900 | 939 |
Vornado Realty LP | 4.250 | % | 4/1/15 | 2,520 | 2,666 |
1,637,459 | |||||
Industrial (49.9%) | |||||
Basic Industry (4.1%) | |||||
Air Products & Chemicals Inc. | 2.000 | % | 8/2/16 | 925 | 963 |
Airgas Inc. | 4.500 | % | 9/15/14 | 1,600 | 1,711 |
Airgas Inc. | 3.250 | % | 10/1/15 | 950 | 1,004 |
Airgas Inc. | 2.950 | % | 6/15/16 | 500 | 525 |
Alcoa Inc. | 5.550 | % | 2/1/17 | 2,600 | 2,902 |
ArcelorMittal | 9.250 | % | 2/15/15 | 3,425 | 3,770 |
ArcelorMittal | 4.000 | % | 2/25/15 | 1,800 | 1,790 |
ArcelorMittal | 4.000 | % | 8/5/15 | 2,000 | 1,981 |
ArcelorMittal | 4.000 | % | 3/1/16 | 1,150 | 1,126 |
ArcelorMittal | 4.750 | % | 2/25/17 | 5,750 | 5,608 |
ArcelorMittal USA LLC | 6.500 | % | 4/15/14 | 250 | 260 |
Barrick Gold Corp. | 1.750 | % | 5/30/14 | 1,350 | 1,372 |
Barrick Gold Corp. | 2.900 | % | 5/30/16 | 4,825 | 5,089 |
Barrick Gold Financeco LLC | 6.125 | % | 9/15/13 | 1,755 | 1,852 |
BHP Billiton Finance USA Ltd. | 5.500 | % | 4/1/14 | 5,240 | 5,651 |
BHP Billiton Finance USA Ltd. | 1.125 | % | 11/21/14 | 7,000 | 7,079 |
BHP Billiton Finance USA Ltd. | 1.000 | % | 2/24/15 | 3,750 | 3,783 |
BHP Billiton Finance USA Ltd. | 1.875 | % | 11/21/16 | 1,450 | 1,509 |
BHP Billiton Finance USA Ltd. | 1.625 | % | 2/24/17 | 5,950 | 6,078 |
BHP Billiton Finance USA Ltd. | 5.400 | % | 3/29/17 | 300 | 351 |
Celulosa Arauco y Constitucion SA | 5.625 | % | 4/20/15 | 3,300 | 3,562 |
Cytec Industries Inc. | 8.950 | % | 7/1/17 | 1,750 | 2,178 |
71
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Dow Chemical Co. | 7.600 | % | 5/15/14 | 3,800 | 4,219 |
Dow Chemical Co. | 5.900 | % | 2/15/15 | 3,650 | 4,075 |
Dow Chemical Co. | 2.500 | % | 2/15/16 | 4,525 | 4,716 |
Eastman Chemical Co. | 3.000 | % | 12/15/15 | 250 | 263 |
Eastman Chemical Co. | 2.400 | % | 6/1/17 | 3,300 | 3,423 |
Ecolab Inc. | 2.375 | % | 12/8/14 | 3,250 | 3,373 |
Ecolab Inc. | 1.000 | % | 8/9/15 | 700 | 703 |
Ecolab Inc. | 3.000 | % | 12/8/16 | 4,050 | 4,355 |
EI du Pont de Nemours & Co. | 1.750 | % | 3/25/14 | 3,075 | 3,145 |
EI du Pont de Nemours & Co. | 4.875 | % | 4/30/14 | 450 | 483 |
EI du Pont de Nemours & Co. | 3.250 | % | 1/15/15 | 4,700 | 4,998 |
EI du Pont de Nemours & Co. | 2.750 | % | 4/1/16 | 5,200 | 5,539 |
EI du Pont de Nemours & Co. | 5.250 | % | 12/15/16 | 600 | 707 |
Freeport-McMoRan Copper & Gold Inc. | 1.400 | % | 2/13/15 | 1,475 | 1,487 |
Freeport-McMoRan Copper & Gold Inc. | 2.150 | % | 3/1/17 | 1,500 | 1,515 |
Georgia-Pacific LLC | 7.700 | % | 6/15/15 | 750 | 871 |
International Paper Co. | 7.400 | % | 6/15/14 | 2,800 | 3,081 |
International Paper Co. | 5.300 | % | 4/1/15 | 1,200 | 1,316 |
Lubrizol Corp. | 5.500 | % | 10/1/14 | 1,500 | 1,650 |
Monsanto Co. | 2.750 | % | 4/15/16 | 750 | 803 |
Potash Corp. of Saskatchewan Inc. | 5.250 | % | 5/15/14 | 4,025 | 4,331 |
PPG Industries Inc. | 5.750 | % | 3/15/13 | 1,450 | 1,489 |
Praxair Inc. | 2.125 | % | 6/14/13 | 1,700 | 1,727 |
Praxair Inc. | 5.250 | % | 11/15/14 | 3,250 | 3,578 |
Praxair Inc. | 5.200 | % | 3/15/17 | 1,725 | 2,023 |
Rio Tinto Alcan Inc. | 5.000 | % | 6/1/15 | 700 | 775 |
Rio Tinto Finance USA Ltd. | 8.950 | % | 5/1/14 | 7,750 | 8,774 |
Rio Tinto Finance USA Ltd. | 1.875 | % | 11/2/15 | 4,725 | 4,869 |
Rio Tinto Finance USA plc | 1.125 | % | 3/20/15 | 2,725 | 2,746 |
Rio Tinto Finance USA plc | 2.000 | % | 3/22/17 | 2,325 | 2,395 |
Rio Tinto Finance USA plc | 1.625 | % | 8/21/17 | 3,300 | 3,307 |
Teck Resources Ltd. | 3.150 | % | 1/15/17 | 825 | 854 |
Teck Resources Ltd. | 3.850 | % | 8/15/17 | 400 | 427 |
Vale Canada Ltd. | 5.700 | % | 10/15/15 | 1,555 | 1,724 |
Vale Overseas Ltd. | 6.250 | % | 1/11/16 | 1,575 | 1,761 |
Vale Overseas Ltd. | 6.250 | % | 1/23/17 | 5,250 | 5,994 |
Xstrata Canada Corp. | 6.000 | % | 10/15/15 | 1,475 | 1,644 |
Capital Goods (4.3%) | |||||
3M Co. | 1.375 | % | 9/29/16 | 3,025 | 3,102 |
3M Co. | 1.000 | % | 6/26/17 | 2,600 | 2,621 |
ABB Finance USA Inc. | 1.625 | % | 5/8/17 | 1,100 | 1,117 |
2 ADT Corp. | 2.250 | % | 7/15/17 | 3,400 | 3,442 |
Bemis Co. Inc. | 5.650 | % | 8/1/14 | 800 | 867 |
Black & Decker Corp. | 5.750 | % | 11/15/16 | 1,400 | 1,633 |
Boeing Capital Corp. | 3.250 | % | 10/27/14 | 3,500 | 3,700 |
Boeing Capital Corp. | 2.125 | % | 8/15/16 | 4,450 | 4,669 |
Boeing Co. | 1.875 | % | 11/20/12 | 1,240 | 1,244 |
Boeing Co. | 5.000 | % | 3/15/14 | 300 | 321 |
Boeing Co. | 3.750 | % | 11/20/16 | 100 | 112 |
Caterpillar Financial Services Corp. | 6.200 | % | 9/30/13 | 875 | 929 |
Caterpillar Financial Services Corp. | 6.125 | % | 2/17/14 | 9,334 | 10,087 |
Caterpillar Financial Services Corp. | 1.375 | % | 5/20/14 | 7,375 | 7,480 |
Caterpillar Financial Services Corp. | 1.125 | % | 12/15/14 | 4,575 | 4,628 |
Caterpillar Financial Services Corp. | 4.625 | % | 6/1/15 | 600 | 663 |
72
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Caterpillar Financial Services Corp. | 2.050 | % | 8/1/16 | 6,825 | 7,112 |
Caterpillar Inc. | 7.000 | % | 12/15/13 | 1,000 | 1,083 |
Caterpillar Inc. | 1.375 | % | 5/27/14 | 2,800 | 2,841 |
Caterpillar Inc. | 0.950 | % | 6/26/15 | 725 | 732 |
Caterpillar Inc. | 5.700 | % | 8/15/16 | 300 | 355 |
Caterpillar Inc. | 1.500 | % | 6/26/17 | 3,150 | 3,209 |
Cooper US Inc. | 5.450 | % | 4/1/15 | 950 | 1,047 |
Cooper US Inc. | 2.375 | % | 1/15/16 | 550 | 568 |
CRH America Inc. | 5.300 | % | 10/15/13 | 1,975 | 2,055 |
CRH America Inc. | 4.125 | % | 1/15/16 | 500 | 516 |
CRH America Inc. | 6.000 | % | 9/30/16 | 4,000 | 4,445 |
Danaher Corp. | 2.300 | % | 6/23/16 | 3,100 | 3,265 |
Deere & Co. | 6.950 | % | 4/25/14 | 125 | 138 |
Dover Corp. | 4.875 | % | 10/15/15 | 175 | 196 |
Eaton Corp. | 5.300 | % | 3/15/17 | 2,000 | 2,335 |
Embraer Overseas Ltd. | 6.375 | % | 1/24/17 | 1,600 | 1,804 |
Emerson Electric Co. | 4.500 | % | 5/1/13 | 2,000 | 2,052 |
Emerson Electric Co. | 5.125 | % | 12/1/16 | 375 | 440 |
General Dynamics Corp. | 5.250 | % | 2/1/14 | 4,540 | 4,839 |
General Dynamics Corp. | 1.375 | % | 1/15/15 | 2,350 | 2,392 |
Harsco Corp. | 2.700 | % | 10/15/15 | 2,175 | 2,185 |
Honeywell International Inc. | 4.250 | % | 3/1/13 | 1,000 | 1,019 |
Honeywell International Inc. | 3.875 | % | 2/15/14 | 3,500 | 3,669 |
Honeywell International Inc. | 5.400 | % | 3/15/16 | 275 | 317 |
Illinois Tool Works Inc. | 5.150 | % | 4/1/14 | 3,525 | 3,779 |
Ingersoll-Rand Global Holding Co. Ltd. | 9.500 | % | 4/15/14 | 4,550 | 5,126 |
John Deere Capital Corp. | 4.900 | % | 9/9/13 | 2,600 | 2,720 |
John Deere Capital Corp. | 1.600 | % | 3/3/14 | 6,900 | 7,010 |
John Deere Capital Corp. | 1.250 | % | 12/2/14 | 1,175 | 1,194 |
John Deere Capital Corp. | 2.950 | % | 3/9/15 | 3,150 | 3,331 |
John Deere Capital Corp. | 0.875 | % | 4/17/15 | 1,900 | 1,911 |
John Deere Capital Corp. | 1.850 | % | 9/15/16 | 3,000 | 3,093 |
John Deere Capital Corp. | 2.000 | % | 1/13/17 | 1,710 | 1,780 |
Joy Global Inc. | 6.000 | % | 11/15/16 | 400 | 461 |
L-3 Communications Corp. | 3.950 | % | 11/15/16 | 1,450 | 1,570 |
Lockheed Martin Corp. | 7.650 | % | 5/1/16 | 500 | 609 |
Lockheed Martin Corp. | 2.125 | % | 9/15/16 | 4,100 | 4,268 |
Northrop Grumman Corp. | 3.700 | % | 8/1/14 | 525 | 553 |
Northrop Grumman Corp. | 1.850 | % | 11/15/15 | 1,750 | 1,803 |
Owens Corning | 6.500 | % | 12/1/16 | 3,300 | 3,682 |
Raytheon Co. | 1.400 | % | 12/15/14 | 3,925 | 3,997 |
Raytheon Co. | 1.625 | % | 10/15/15 | 200 | 205 |
Textron Inc. | 4.625 | % | 9/21/16 | 2,000 | 2,175 |
United Technologies Corp. | 4.875 | % | 5/1/15 | 4,450 | 4,948 |
United Technologies Corp. | 1.200 | % | 6/1/15 | 3,775 | 3,842 |
United Technologies Corp. | 1.800 | % | 6/1/17 | 6,800 | 7,041 |
Waste Management Inc. | 5.000 | % | 3/15/14 | 100 | 106 |
Waste Management Inc. | 6.375 | % | 3/11/15 | 534 | 603 |
Waste Management Inc. | 2.600 | % | 9/1/16 | 3,921 | 4,106 |
Communication (8.4%) | |||||
America Movil SAB de CV | 5.500 | % | 3/1/14 | 3,475 | 3,710 |
America Movil SAB de CV | 3.625 | % | 3/30/15 | 4,500 | 4,814 |
America Movil SAB de CV | 2.375 | % | 9/8/16 | 5,525 | 5,743 |
American Tower Corp. | 4.625 | % | 4/1/15 | 2,100 | 2,238 |
73
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
AT&T Inc. | 4.850 | % | 2/15/14 | 4,875 | 5,155 |
AT&T Inc. | 5.100 | % | 9/15/14 | 7,250 | 7,913 |
AT&T Inc. | 2.500 | % | 8/15/15 | 6,100 | 6,424 |
AT&T Inc. | 2.950 | % | 5/15/16 | 7,550 | 8,128 |
AT&T Inc. | 5.625 | % | 6/15/16 | 3,170 | 3,723 |
AT&T Inc. | 2.400 | % | 8/15/16 | 11,200 | 11,854 |
AT&T Inc. | 1.600 | % | 2/15/17 | 3,700 | 3,796 |
AT&T Inc. | 1.700 | % | 6/1/17 | 2,400 | 2,473 |
BellSouth Corp. | 5.200 | % | 9/15/14 | 3,100 | 3,371 |
British Telecommunications plc | 2.000 | % | 6/22/15 | 4,125 | 4,233 |
CBS Corp. | 1.950 | % | 7/1/17 | 125 | 128 |
Cellco Partnership / Verizon Wireless Capital LLC | 5.550 | % | 2/1/14 | 15,000 | 15,991 |
CenturyLink Inc. | 5.000 | % | 2/15/15 | 300 | 317 |
CenturyLink Inc. | 6.000 | % | 4/1/17 | 3,325 | 3,678 |
Comcast Cable Communications LLC | 8.875 | % | 5/1/17 | 1,600 | 2,109 |
Comcast Corp. | 5.300 | % | 1/15/14 | 8,075 | 8,573 |
Comcast Corp. | 6.500 | % | 1/15/15 | 1,450 | 1,642 |
Comcast Corp. | 5.900 | % | 3/15/16 | 6,950 | 8,092 |
Comcast Corp. | 6.500 | % | 1/15/17 | 2,575 | 3,117 |
COX Communications Inc. | 5.450 | % | 12/15/14 | 5,275 | 5,808 |
Deutsche Telekom International Finance BV | 4.875 | % | 7/8/14 | 3,475 | 3,699 |
Deutsche Telekom International Finance BV | 5.750 | % | 3/23/16 | 2,775 | 3,153 |
DIRECTV Holdings LLC / | |||||
DIRECTV Financing Co. Inc. | 4.750 | % | 10/1/14 | 4,400 | 4,738 |
DIRECTV Holdings LLC / | |||||
DIRECTV Financing Co. Inc. | 3.550 | % | 3/15/15 | 5,725 | 6,077 |
DIRECTV Holdings LLC / | |||||
DIRECTV Financing Co. Inc. | 3.125 | % | 2/15/16 | 1,000 | 1,055 |
DIRECTV Holdings LLC / | |||||
DIRECTV Financing Co. Inc. | 3.500 | % | 3/1/16 | 3,200 | 3,419 |
DIRECTV Holdings LLC / | |||||
DIRECTV Financing Co. Inc. | 2.400 | % | 3/15/17 | 4,875 | 5,019 |
Discovery Communications LLC | 3.700 | % | 6/1/15 | 3,100 | 3,323 |
Embarq Corp. | 7.082 | % | 6/1/16 | 1,975 | 2,316 |
France Telecom SA | 4.375 | % | 7/8/14 | 6,450 | 6,830 |
France Telecom SA | 2.750 | % | 9/14/16 | 4,250 | 4,434 |
Interpublic Group of Cos. Inc. | 10.000 | % | 7/15/17 | 1,975 | 2,210 |
NBCUniversal Media LLC | 2.100 | % | 4/1/14 | 6,225 | 6,359 |
NBCUniversal Media LLC | 3.650 | % | 4/30/15 | 475 | 509 |
NBCUniversal Media LLC | 2.875 | % | 4/1/16 | 4,100 | 4,351 |
News America Inc. | 5.300 | % | 12/15/14 | 4,650 | 5,117 |
Nippon Telegraph & Telephone Corp. | 1.400 | % | 7/18/17 | 2,025 | 2,049 |
Omnicom Group Inc. | 5.900 | % | 4/15/16 | 2,810 | 3,261 |
Qwest Corp. | 7.500 | % | 10/1/14 | 2,000 | 2,240 |
Qwest Corp. | 8.375 | % | 5/1/16 | 3,925 | 4,692 |
Qwest Corp. | 6.500 | % | 6/1/17 | 1,550 | 1,815 |
Reed Elsevier Capital Inc. | 7.750 | % | 1/15/14 | 1,122 | 1,222 |
Rogers Communications Inc. | 6.375 | % | 3/1/14 | 4,175 | 4,523 |
Rogers Communications Inc. | 5.500 | % | 3/15/14 | 2,300 | 2,467 |
Scripps Networks Interactive Inc. | 2.700 | % | 12/15/16 | 1,400 | 1,459 |
TCI Communications Inc. | 8.750 | % | 8/1/15 | 125 | 152 |
Telecom Italia Capital SA | 5.250 | % | 11/15/13 | 1,230 | 1,259 |
Telecom Italia Capital SA | 6.175 | % | 6/18/14 | 10,675 | 11,001 |
Telecom Italia Capital SA | 4.950 | % | 9/30/14 | 4,425 | 4,493 |
Telecom Italia Capital SA | 5.250 | % | 10/1/15 | 4,075 | 4,139 |
74
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Telefonica Emisiones SAU | 4.949 | % | 1/15/15 | 2,025 | 2,042 |
Telefonica Emisiones SAU | 3.729 | % | 4/27/15 | 550 | 535 |
Telefonica Emisiones SAU | 3.992 | % | 2/16/16 | 6,675 | 6,413 |
Telefonica Emisiones SAU | 6.421 | % | 6/20/16 | 4,500 | 4,635 |
Telefonica Emisiones SAU | 6.221 | % | 7/3/17 | 1,550 | 1,585 |
Telefonos de Mexico SAB de CV | 5.500 | % | 1/27/15 | 1,400 | 1,539 |
Thomson Reuters Corp. | 5.700 | % | 10/1/14 | 3,525 | 3,869 |
Time Warner Cable Inc. | 8.250 | % | 2/14/14 | 1,500 | 1,657 |
Time Warner Cable Inc. | 7.500 | % | 4/1/14 | 3,400 | 3,750 |
Time Warner Cable Inc. | 3.500 | % | 2/1/15 | 2,725 | 2,890 |
Time Warner Cable Inc. | 5.850 | % | 5/1/17 | 6,250 | 7,414 |
Verizon Communications Inc. | 1.950 | % | 3/28/14 | 10,900 | 11,152 |
Verizon Communications Inc. | 1.250 | % | 11/3/14 | 600 | 609 |
Verizon Communications Inc. | 5.550 | % | 2/15/16 | 4,600 | 5,332 |
Verizon Communications Inc. | 3.000 | % | 4/1/16 | 4,350 | 4,689 |
Verizon Communications Inc. | 2.000 | % | 11/1/16 | 6,050 | 6,328 |
Vodafone Group plc | 5.000 | % | 12/16/13 | 2,700 | 2,846 |
Vodafone Group plc | 4.150 | % | 6/10/14 | 10,651 | 11,296 |
Vodafone Group plc | 5.375 | % | 1/30/15 | 515 | 569 |
Vodafone Group plc | 3.375 | % | 11/24/15 | 3,300 | 3,564 |
Vodafone Group plc | 5.750 | % | 3/15/16 | 1,525 | 1,766 |
Vodafone Group plc | 2.875 | % | 3/16/16 | 750 | 798 |
Vodafone Group plc | 5.625 | % | 2/27/17 | 3,000 | 3,564 |
Vodafone Group plc | 1.625 | % | 3/20/17 | 3,425 | 3,492 |
WPP Finance UK | 8.000 | % | 9/15/14 | 3,450 | 3,873 |
Consumer Cyclical (7.2%) | |||||
AutoZone Inc. | 5.750 | % | 1/15/15 | 1,600 | 1,764 |
AutoZone Inc. | 5.500 | % | 11/15/15 | 2,200 | 2,480 |
Costco Wholesale Corp. | 5.500 | % | 3/15/17 | 3,050 | 3,681 |
CVS Caremark Corp. | 3.250 | % | 5/18/15 | 4,475 | 4,756 |
CVS Caremark Corp. | 6.125 | % | 8/15/16 | 1,405 | 1,669 |
CVS Caremark Corp. | 5.750 | % | 6/1/17 | 4,745 | 5,707 |
Daimler Finance North America LLC | 6.500 | % | 11/15/13 | 6,400 | 6,839 |
2 Daimler Finance North America LLC | 2.625 | % | 9/15/16 | 125 | 130 |
eBay Inc. | 0.875 | % | 10/15/13 | 1,175 | 1,183 |
eBay Inc. | 1.625 | % | 10/15/15 | 2,950 | 3,048 |
eBay Inc. | 1.350 | % | 7/15/17 | 3,050 | 3,083 |
Ford Motor Credit Co. LLC | 7.000 | % | 10/1/13 | 9,400 | 9,973 |
Ford Motor Credit Co. LLC | 8.000 | % | 6/1/14 | 2,300 | 2,544 |
Ford Motor Credit Co. LLC | 8.700 | % | 10/1/14 | 2,775 | 3,145 |
Ford Motor Credit Co. LLC | 3.875 | % | 1/15/15 | 4,525 | 4,714 |
Ford Motor Credit Co. LLC | 7.000 | % | 4/15/15 | 5,900 | 6,577 |
Ford Motor Credit Co. LLC | 2.750 | % | 5/15/15 | 7,000 | 7,099 |
Ford Motor Credit Co. LLC | 12.000 | % | 5/15/15 | 3,075 | 3,827 |
Ford Motor Credit Co. LLC | 5.625 | % | 9/15/15 | 2,850 | 3,105 |
2 Ford Motor Credit Co. LLC | 4.207 | % | 4/15/16 | 3,400 | 3,544 |
2 Ford Motor Credit Co. LLC | 3.984 | % | 6/15/16 | 3,450 | 3,562 |
Ford Motor Credit Co. LLC | 8.000 | % | 12/15/16 | 6,125 | 7,309 |
Ford Motor Credit Co. LLC | 4.250 | % | 2/3/17 | 2,775 | 2,902 |
Ford Motor Credit Co. LLC | 3.000 | % | 6/12/17 | 4,200 | 4,209 |
Ford Motor Credit Co. LLC | 6.625 | % | 8/15/17 | 5,625 | 6,477 |
Home Depot Inc. | 5.250 | % | 12/16/13 | 2,400 | 2,547 |
Home Depot Inc. | 5.400 | % | 3/1/16 | 10,058 | 11,675 |
Hyatt Hotels Corp. | 3.875 | % | 8/15/16 | 400 | 424 |
75
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Johnson Controls Inc. | 1.750 | % | 3/1/14 | 1,700 | 1,726 |
Johnson Controls Inc. | 5.500 | % | 1/15/16 | 3,075 | 3,490 |
Johnson Controls Inc. | 2.600 | % | 12/1/16 | 650 | 680 |
Lowe’s Cos. Inc. | 5.000 | % | 10/15/15 | 4,500 | 5,052 |
Lowe’s Cos. Inc. | 2.125 | % | 4/15/16 | 525 | 544 |
Lowe’s Cos. Inc. | 5.400 | % | 10/15/16 | 400 | 467 |
Macy’s Retail Holdings Inc. | 5.750 | % | 7/15/14 | 2,750 | 2,988 |
Macy’s Retail Holdings Inc. | 7.875 | % | 7/15/15 | 1,825 | 2,149 |
Macy’s Retail Holdings Inc. | 5.900 | % | 12/1/16 | 2,769 | 3,221 |
Macy’s Retail Holdings Inc. | 7.450 | % | 7/15/17 | 300 | 372 |
Marriott International Inc. | 6.200 | % | 6/15/16 | 1,200 | 1,381 |
Marriott International Inc. | 6.375 | % | 6/15/17 | 1,175 | 1,387 |
McDonald’s Corp. | 0.750 | % | 5/29/15 | 2,625 | 2,652 |
McDonald’s Corp. | 5.300 | % | 3/15/17 | 1,400 | 1,659 |
Nordstrom Inc. | 6.750 | % | 6/1/14 | 2,375 | 2,623 |
PACCAR Financial Corp. | 1.050 | % | 6/5/15 | 1,600 | 1,616 |
PACCAR Financial Corp. | 1.600 | % | 3/15/17 | 1,625 | 1,654 |
PACCAR Inc. | 6.875 | % | 2/15/14 | 2,125 | 2,317 |
Sheraton Holding Corp. | 7.375 | % | 11/15/15 | 4,350 | 5,008 |
Staples Inc. | 9.750 | % | 1/15/14 | 4,175 | 4,655 |
Starbucks Corp. | 6.250 | % | 8/15/17 | 1,600 | 1,944 |
Target Corp. | 1.125 | % | 7/18/14 | 2,000 | 2,028 |
Target Corp. | 5.875 | % | 7/15/16 | 4,275 | 5,083 |
Target Corp. | 5.375 | % | 5/1/17 | 1,200 | 1,435 |
Time Warner Inc. | 3.150 | % | 7/15/15 | 1,475 | 1,568 |
Time Warner Inc. | 5.875 | % | 11/15/16 | 3,700 | 4,383 |
Toyota Motor Credit Corp. | 1.250 | % | 11/17/14 | 7,175 | 7,278 |
Toyota Motor Credit Corp. | 1.000 | % | 2/17/15 | 4,575 | 4,610 |
Toyota Motor Credit Corp. | 3.200 | % | 6/17/15 | 750 | 801 |
Toyota Motor Credit Corp. | 0.875 | % | 7/17/15 | 5,592 | 5,613 |
Toyota Motor Credit Corp. | 2.800 | % | 1/11/16 | 1,200 | 1,274 |
Toyota Motor Credit Corp. | 2.000 | % | 9/15/16 | 5,300 | 5,523 |
Toyota Motor Credit Corp. | 2.050 | % | 1/12/17 | 2,225 | 2,316 |
Toyota Motor Credit Corp. | 1.750 | % | 5/22/17 | 2,000 | 2,061 |
Viacom Inc. | 4.375 | % | 9/15/14 | 4,850 | 5,199 |
Viacom Inc. | 1.250 | % | 2/27/15 | 2,300 | 2,323 |
Viacom Inc. | 6.250 | % | 4/30/16 | 2,350 | 2,766 |
Viacom Inc. | 2.500 | % | 12/15/16 | 2,300 | 2,414 |
Wal-Mart Stores Inc. | 4.550 | % | 5/1/13 | 1,925 | 1,978 |
Wal-Mart Stores Inc. | 1.625 | % | 4/15/14 | 6,125 | 6,249 |
Wal-Mart Stores Inc. | 3.200 | % | 5/15/14 | 5,300 | 5,557 |
Wal-Mart Stores Inc. | 2.875 | % | 4/1/15 | 1,400 | 1,482 |
Wal-Mart Stores Inc. | 4.500 | % | 7/1/15 | 1,200 | 1,328 |
Wal-Mart Stores Inc. | 2.250 | % | 7/8/15 | 3,425 | 3,590 |
Wal-Mart Stores Inc. | 1.500 | % | 10/25/15 | 2,825 | 2,912 |
Wal-Mart Stores Inc. | 2.800 | % | 4/15/16 | 2,075 | 2,231 |
Wal-Mart Stores Inc. | 5.375 | % | 4/5/17 | 4,000 | 4,795 |
Walt Disney Co. | 4.500 | % | 12/15/13 | 3,575 | 3,761 |
Walt Disney Co. | 0.875 | % | 12/1/14 | 1,600 | 1,615 |
Walt Disney Co. | 1.350 | % | 8/16/16 | 4,350 | 4,475 |
Walt Disney Co. | 5.625 | % | 9/15/16 | 4,300 | 5,107 |
Walt Disney Co. | 1.125 | % | 2/15/17 | 1,800 | 1,822 |
Walt Disney Co. | 6.000 | % | 7/17/17 | 2,100 | 2,588 |
Western Union Co. | 6.500 | % | 2/26/14 | 475 | 514 |
Western Union Co. | 5.930 | % | 10/1/16 | 2,350 | 2,778 |
76
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Wyndham Worldwide Corp. | 6.000 | % | 12/1/16 | 1,688 | 1,886 |
Yum! Brands Inc. | 6.250 | % | 4/15/16 | 2,714 | 3,148 |
Consumer Noncyclical (13.8%) | |||||
Abbott Laboratories | 4.350 | % | 3/15/14 | 350 | 371 |
Abbott Laboratories | 2.700 | % | 5/27/15 | 1,900 | 2,015 |
Abbott Laboratories | 5.875 | % | 5/15/16 | 6,025 | 7,128 |
Allergan Inc. | 5.750 | % | 4/1/16 | 2,000 | 2,328 |
Altria Group Inc. | 8.500 | % | 11/10/13 | 1,002 | 1,092 |
Altria Group Inc. | 4.125 | % | 9/11/15 | 11,038 | 12,090 |
AmerisourceBergen Corp. | 5.875 | % | 9/15/15 | 925 | 1,059 |
Amgen Inc. | 1.875 | % | 11/15/14 | 5,800 | 5,945 |
Amgen Inc. | 4.850 | % | 11/18/14 | 3,600 | 3,911 |
Amgen Inc. | 2.300 | % | 6/15/16 | 5,300 | 5,530 |
Amgen Inc. | 2.500 | % | 11/15/16 | 2,550 | 2,682 |
Amgen Inc. | 2.125 | % | 5/15/17 | 2,475 | 2,550 |
Amgen Inc. | 5.850 | % | 6/1/17 | 1,750 | 2,090 |
Anheuser-Busch Cos. LLC | 5.600 | % | 3/1/17 | 350 | 415 |
Anheuser-Busch InBev Worldwide Inc. | 1.500 | % | 7/14/14 | 4,400 | 4,484 |
Anheuser-Busch InBev Worldwide Inc. | 5.375 | % | 11/15/14 | 6,450 | 7,113 |
Anheuser-Busch InBev Worldwide Inc. | 4.125 | % | 1/15/15 | 2,925 | 3,165 |
Anheuser-Busch InBev Worldwide Inc. | 3.625 | % | 4/15/15 | 2,800 | 3,013 |
Anheuser-Busch InBev Worldwide Inc. | 0.800 | % | 7/15/15 | 4,750 | 4,775 |
Anheuser-Busch InBev Worldwide Inc. | 2.875 | % | 2/15/16 | 500 | 533 |
Anheuser-Busch InBev Worldwide Inc. | 1.375 | % | 7/15/17 | 9,350 | 9,435 |
Archer-Daniels-Midland Co. | 8.375 | % | 4/15/17 | 750 | 962 |
AstraZeneca plc | 5.400 | % | 6/1/14 | 1,475 | 1,602 |
Avon Products Inc. | 5.625 | % | 3/1/14 | 450 | 474 |
Baxter International Inc. | 4.000 | % | 3/1/14 | 1,158 | 1,217 |
Baxter International Inc. | 4.625 | % | 3/15/15 | 1,200 | 1,319 |
Baxter International Inc. | 5.900 | % | 9/1/16 | 2,085 | 2,494 |
Baxter International Inc. | 1.850 | % | 1/15/17 | 800 | 829 |
Beam Inc. | 5.375 | % | 1/15/16 | 1,568 | 1,759 |
Beam Inc. | 1.875 | % | 5/15/17 | 1,125 | 1,149 |
Becton Dickinson & Co. | 1.750 | % | 11/8/16 | 1,875 | 1,938 |
Boston Scientific Corp. | 4.500 | % | 1/15/15 | 3,540 | 3,781 |
Boston Scientific Corp. | 6.250 | % | 11/15/15 | 2,800 | 3,163 |
Boston Scientific Corp. | 6.400 | % | 6/15/16 | 1,400 | 1,617 |
Boston Scientific Corp. | 5.125 | % | 1/12/17 | 1,250 | 1,392 |
Bottling Group LLC | 6.950 | % | 3/15/14 | 925 | 1,014 |
Bottling Group LLC | 5.500 | % | 4/1/16 | 425 | 492 |
Bristol-Myers Squibb Co. | 0.875 | % | 8/1/17 | 2,300 | 2,276 |
Brown-Forman Corp. | 2.500 | % | 1/15/16 | 725 | 762 |
Bunge Ltd. Finance Corp. | 5.350 | % | 4/15/14 | 525 | 552 |
Bunge Ltd. Finance Corp. | 5.100 | % | 7/15/15 | 3,000 | 3,232 |
Bunge Ltd. Finance Corp. | 4.100 | % | 3/15/16 | 3,300 | 3,485 |
Campbell Soup Co. | 3.375 | % | 8/15/14 | 2,700 | 2,848 |
Cardinal Health Inc. | 4.000 | % | 6/15/15 | 3,625 | 3,907 |
CareFusion Corp. | 5.125 | % | 8/1/14 | 2,700 | 2,894 |
Celgene Corp. | 2.450 | % | 10/15/15 | 2,650 | 2,747 |
Celgene Corp. | 1.900 | % | 8/15/17 | 150 | 151 |
Church & Dwight Co. Inc. | 3.350 | % | 12/15/15 | 250 | 265 |
Clorox Co. | 5.000 | % | 3/1/13 | 3,000 | 3,066 |
Coca-Cola Co. | 3.625 | % | 3/15/14 | 850 | 891 |
Coca-Cola Co. | 0.750 | % | 3/13/15 | 2,600 | 2,618 |
77
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000 | ||
Coca-Cola Co. | 1.500 | % | 11/15/15 | 8,220 | 8,471 |
Coca-Cola Co. | 1.800 | % | 9/1/16 | 4,875 | 5,068 |
Coca-Cola Enterprises Inc. | 2.125 | % | 9/15/15 | 2,300 | 2,371 |
Coca-Cola Enterprises Inc. | 2.000 | % | 8/19/16 | 500 | 514 |
Coca-Cola HBC Finance BV | 5.500 | % | 9/17/15 | 1,250 | 1,355 |
Coca-Cola Refreshments USA Inc. | 7.375 | % | 3/3/14 | 4,450 | 4,895 |
Coca-Cola Refreshments USA Inc. | 4.250 | % | 3/1/15 | 1,885 | 2,053 |
Colgate-Palmolive Co. | 0.600 | % | 11/15/14 | 2,075 | 2,088 |
Colgate-Palmolive Co. | 1.300 | % | 1/15/17 | 2,506 | 2,562 |
Colgate-Palmolive Co. | 2.625 | % | 5/1/17 | 625 | 675 |
ConAgra Foods Inc. | 5.875 | % | 4/15/14 | 1,500 | 1,618 |
ConAgra Foods Inc. | 5.819 | % | 6/15/17 | 1,500 | 1,751 |
Covidien International Finance SA | 1.875 | % | 6/15/13 | 850 | 859 |
Covidien International Finance SA | 1.350 | % | 5/29/15 | 1,575 | 1,592 |
Delhaize Group SA | 5.875 | % | 2/1/14 | 25 | 26 |
Delhaize Group SA | 6.500 | % | 6/15/17 | 2,200 | 2,389 |
DENTSPLY International Inc. | 2.750 | % | 8/15/16 | 525 | 541 |
Diageo Capital plc | 7.375 | % | 1/15/14 | 3,475 | 3,794 |
Diageo Capital plc | 5.500 | % | 9/30/16 | 1,600 | 1,881 |
Diageo Capital plc | 1.500 | % | 5/11/17 | 5,075 | 5,172 |
Diageo Finance BV | 5.300 | % | 10/28/15 | 200 | 228 |
Dr Pepper Snapple Group Inc. | 2.900 | % | 1/15/16 | 3,510 | 3,716 |
Eli Lilly & Co. | 4.200 | % | 3/6/14 | 2,100 | 2,216 |
Eli Lilly & Co. | 5.200 | % | 3/15/17 | 4,000 | 4,710 |
Express Scripts Holding Co. | 6.250 | % | 6/15/14 | 2,625 | 2,871 |
2 Express Scripts Holding Co. | 2.100 | % | 2/12/15 | 1,475 | 1,502 |
Express Scripts Holding Co. | 3.125 | % | 5/15/16 | 12,100 | 12,888 |
2 Express Scripts Holding Co. | 3.500 | % | 11/15/16 | 2,200 | 2,371 |
2 Express Scripts Holding Co. | 2.650 | % | 2/15/17 | 3,175 | 3,299 |
Genentech Inc. | 4.750 | % | 7/15/15 | 4,300 | 4,802 |
General Mills Inc. | 5.200 | % | 3/17/15 | 3,505 | 3,894 |
General Mills Inc. | 5.700 | % | 2/15/17 | 3,975 | 4,750 |
Gilead Sciences Inc. | 2.400 | % | 12/1/14 | 2,400 | 2,483 |
Gilead Sciences Inc. | 3.050 | % | 12/1/16 | 2,665 | 2,853 |
GlaxoSmithKline Capital Inc. | 4.850 | % | 5/15/13 | 1,383 | 1,426 |
GlaxoSmithKline Capital Inc. | 4.375 | % | 4/15/14 | 4,100 | 4,359 |
GlaxoSmithKline Capital plc | 0.750 | % | 5/8/15 | 4,475 | 4,500 |
GlaxoSmithKline Capital plc | 1.500 | % | 5/8/17 | 5,125 | 5,218 |
Hasbro Inc. | 6.125 | % | 5/15/14 | 1,225 | 1,324 |
Hershey Co. | 5.450 | % | 9/1/16 | 1,400 | 1,637 |
Hershey Co. | 1.500 | % | 11/1/16 | 375 | 386 |
Hillshire Brands Co. | 2.750 | % | 9/15/15 | 1,125 | 1,165 |
HJ Heinz Co. | 2.000 | % | 9/12/16 | 1,400 | 1,462 |
HJ Heinz Co. | 1.500 | % | 3/1/17 | 1,100 | 1,110 |
Hospira Inc. | 5.900 | % | 6/15/14 | 1,025 | 1,101 |
Hospira Inc. | 6.050 | % | 3/30/17 | 1,000 | 1,156 |
Ingredion Inc. | 3.200 | % | 11/1/15 | 2,125 | 2,230 |
Johnson & Johnson | 1.200 | % | 5/15/14 | 4,850 | 4,923 |
Johnson & Johnson | 2.150 | % | 5/15/16 | 2,120 | 2,235 |
Johnson & Johnson | 5.550 | % | 8/15/17 | 2,100 | 2,566 |
Kellogg Co. | 4.450 | % | 5/30/16 | 2,525 | 2,817 |
Kellogg Co. | 1.875 | % | 11/17/16 | 4,000 | 4,118 |
Kellogg Co. | 1.750 | % | 5/17/17 | 525 | 534 |
Kimberly-Clark Corp. | 4.875 | % | 8/15/15 | 2,550 | 2,888 |
Kimberly-Clark Corp. | 6.125 | % | 8/1/17 | 1,875 | 2,311 |
78
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2 Kraft Foods Group Inc. | 1.625 | % | 6/4/15 | 4,150 | 4,217 |
2 Kraft Foods Group Inc. | 2.250 | % | 6/5/17 | 2,700 | 2,795 |
Kraft Foods Inc. | 5.250 | % | 10/1/13 | 3,635 | 3,818 |
Kraft Foods Inc. | 6.750 | % | 2/19/14 | 2,250 | 2,446 |
Kraft Foods Inc. | 4.125 | % | 2/9/16 | 5,700 | 6,256 |
Kraft Foods Inc. | 6.500 | % | 8/11/17 | 3,425 | 4,239 |
Kroger Co. | 7.500 | % | 1/15/14 | 3,850 | 4,199 |
Kroger Co. | 3.900 | % | 10/1/15 | 2,150 | 2,339 |
Kroger Co. | 2.200 | % | 1/15/17 | 850 | 865 |
Kroger Co. | 6.400 | % | 8/15/17 | 1,800 | 2,164 |
Laboratory Corp. of America Holdings | 5.625 | % | 12/15/15 | 1,075 | 1,211 |
Laboratory Corp. of America Holdings | 2.200 | % | 8/23/17 | 1,900 | 1,927 |
Life Technologies Corp. | 4.400 | % | 3/1/15 | 2,450 | 2,623 |
Lorillard Tobacco Co. | 3.500 | % | 8/4/16 | 800 | 850 |
Lorillard Tobacco Co. | 2.300 | % | 8/21/17 | 1,500 | 1,517 |
Mattel Inc. | 2.500 | % | 11/1/16 | 2,255 | 2,358 |
McKesson Corp. | 6.500 | % | 2/15/14 | 575 | 621 |
McKesson Corp. | 3.250 | % | 3/1/16 | 4,075 | 4,398 |
Mead Johnson Nutrition Co. | 3.500 | % | 11/1/14 | 1,000 | 1,043 |
Medco Health Solutions Inc. | 2.750 | % | 9/15/15 | 3,900 | 4,076 |
Medtronic Inc. | 4.500 | % | 3/15/14 | 100 | 106 |
Medtronic Inc. | 3.000 | % | 3/15/15 | 5,550 | 5,879 |
Medtronic Inc. | 2.625 | % | 3/15/16 | 4,000 | 4,236 |
Merck & Co. Inc. | 5.300 | % | 12/1/13 | 5,575 | 5,912 |
Merck & Co. Inc. | 4.750 | % | 3/1/15 | 2,650 | 2,922 |
Merck & Co. Inc. | 4.000 | % | 6/30/15 | 2,825 | 3,103 |
Merck & Co. Inc. | 2.250 | % | 1/15/16 | 2,575 | 2,709 |
Molson Coors Brewing Co. | 2.000 | % | 5/1/17 | 500 | 513 |
Newell Rubbermaid Inc. | 2.000 | % | 6/15/15 | 375 | 380 |
Novartis Capital Corp. | 4.125 | % | 2/10/14 | 7,075 | 7,439 |
Novartis Capital Corp. | 2.900 | % | 4/24/15 | 4,175 | 4,441 |
PepsiAmericas Inc. | 4.875 | % | 1/15/15 | 225 | 248 |
PepsiAmericas Inc. | 5.000 | % | 5/15/17 | 750 | 877 |
PepsiCo Inc. | 3.750 | % | 3/1/14 | 2,550 | 2,674 |
PepsiCo Inc. | 0.800 | % | 8/25/14 | 1,000 | 1,006 |
PepsiCo Inc. | 3.100 | % | 1/15/15 | 3,850 | 4,081 |
PepsiCo Inc. | 0.750 | % | 3/5/15 | 1,775 | 1,782 |
PepsiCo Inc. | 2.500 | % | 5/10/16 | 8,500 | 8,981 |
PepsiCo Inc. | 1.250 | % | 8/13/17 | 7,400 | 7,428 |
Pfizer Inc. | 5.350 | % | 3/15/15 | 10,485 | 11,733 |
Philip Morris International Inc. | 6.875 | % | 3/17/14 | 3,170 | 3,479 |
Philip Morris International Inc. | 2.500 | % | 5/16/16 | 2,650 | 2,803 |
Philip Morris International Inc. | 1.625 | % | 3/20/17 | 5,425 | 5,543 |
Philip Morris International Inc. | 1.125 | % | 8/21/17 | 850 | 848 |
Procter & Gamble Co. | 0.700 | % | 8/15/14 | 4,850 | 4,881 |
Procter & Gamble Co. | 3.500 | % | 2/15/15 | 575 | 616 |
Procter & Gamble Co. | 3.150 | % | 9/1/15 | 3,275 | 3,536 |
Procter & Gamble Co. | 1.800 | % | 11/15/15 | 400 | 415 |
Procter & Gamble Co. | 4.850 | % | 12/15/15 | 3,750 | 4,237 |
Procter & Gamble Co. | 1.450 | % | 8/15/16 | 5,675 | 5,842 |
Quest Diagnostics Inc. | 5.450 | % | 11/1/15 | 90 | 101 |
Quest Diagnostics Inc. | 3.200 | % | 4/1/16 | 1,000 | 1,061 |
Quest Diagnostics Inc. | 6.400 | % | 7/1/17 | 1,325 | 1,583 |
Reynolds American Inc. | 7.625 | % | 6/1/16 | 4,250 | 5,118 |
Reynolds American Inc. | 6.750 | % | 6/15/17 | 1,150 | 1,393 |
79
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Safeway Inc. | 6.250 | % | 3/15/14 | 4,500 | 4,793 |
Safeway Inc. | 6.350 | % | 8/15/17 | 350 | 387 |
Sanofi | 1.625 | % | 3/28/14 | 1,375 | 1,399 |
Sanofi | 1.200 | % | 9/30/14 | 5,375 | 5,456 |
Sanofi | 2.625 | % | 3/29/16 | 5,640 | 5,995 |
St. Jude Medical Inc. | 2.200 | % | 9/15/13 | 450 | 458 |
St. Jude Medical Inc. | 3.750 | % | 7/15/14 | 3,225 | 3,406 |
St. Jude Medical Inc. | 2.500 | % | 1/15/16 | 975 | 1,018 |
Stryker Corp. | 3.000 | % | 1/15/15 | 1,375 | 1,449 |
Stryker Corp. | 2.000 | % | 9/30/16 | 1,500 | 1,562 |
Teva Pharmaceutical Finance Co. BV | 2.400 | % | 11/10/16 | 6,625 | 6,967 |
Teva Pharmaceutical Finance II BV / | |||||
Teva Pharmaceutical Finance III LLC | 3.000 | % | 6/15/15 | 800 | 851 |
Teva Pharmaceutical Finance IV LLC | 1.700 | % | 11/10/14 | 3,475 | 3,555 |
Thermo Fisher Scientific Inc. | 2.050 | % | 2/21/14 | 350 | 357 |
Thermo Fisher Scientific Inc. | 3.250 | % | 11/20/14 | 150 | 158 |
Thermo Fisher Scientific Inc. | 3.200 | % | 5/1/15 | 1,375 | 1,453 |
Thermo Fisher Scientific Inc. | 5.000 | % | 6/1/15 | 2,000 | 2,210 |
Thermo Fisher Scientific Inc. | 3.200 | % | 3/1/16 | 3,710 | 3,951 |
Thermo Fisher Scientific Inc. | 2.250 | % | 8/15/16 | 2,000 | 2,068 |
Tyson Foods Inc. | 6.850 | % | 4/1/16 | 715 | 804 |
Unilever Capital Corp. | 3.650 | % | 2/15/14 | 300 | 314 |
Unilever Capital Corp. | 0.450 | % | 7/30/15 | 2,400 | 2,394 |
Unilever Capital Corp. | 2.750 | % | 2/10/16 | 1,750 | 1,863 |
Unilever Capital Corp. | 0.850 | % | 8/2/17 | 825 | 818 |
Whirlpool Corp. | 5.500 | % | 3/1/13 | 3,475 | 3,552 |
Wyeth LLC | 5.500 | % | 2/1/14 | 8,480 | 9,087 |
Wyeth LLC | 5.500 | % | 2/15/16 | 2,500 | 2,904 |
Wyeth LLC | 5.450 | % | 4/1/17 | 2,125 | 2,543 |
Zimmer Holdings Inc. | 1.400 | % | 11/30/14 | 475 | 479 |
Energy (5.6%) | |||||
Anadarko Petroleum Corp. | 7.625 | % | 3/15/14 | 950 | 1,040 |
Anadarko Petroleum Corp. | 5.750 | % | 6/15/14 | 1,560 | 1,679 |
Anadarko Petroleum Corp. | 5.950 | % | 9/15/16 | 7,900 | 9,140 |
Apache Corp. | 6.000 | % | 9/15/13 | 2,850 | 3,015 |
Apache Corp. | 5.625 | % | 1/15/17 | 1,425 | 1,690 |
Apache Corp. | 1.750 | % | 4/15/17 | 100 | 103 |
BP Capital Markets plc | 5.250 | % | 11/7/13 | 8,990 | 9,483 |
BP Capital Markets plc | 3.625 | % | 5/8/14 | 4,825 | 5,077 |
BP Capital Markets plc | 1.700 | % | 12/5/14 | 1,400 | 1,431 |
BP Capital Markets plc | 3.875 | % | 3/10/15 | 10,125 | 10,907 |
BP Capital Markets plc | 3.125 | % | 10/1/15 | 2,050 | 2,195 |
BP Capital Markets plc | 3.200 | % | 3/11/16 | 2,930 | 3,144 |
BP Capital Markets plc | 2.248 | % | 11/1/16 | 4,250 | 4,447 |
BP Capital Markets plc | 1.846 | % | 5/5/17 | 5,500 | 5,620 |
Cameron International Corp. | 1.600 | % | 4/30/15 | 600 | 605 |
Canadian Natural Resources Ltd. | 1.450 | % | 11/14/14 | 2,900 | 2,943 |
Canadian Natural Resources Ltd. | 4.900 | % | 12/1/14 | 400 | 436 |
Canadian Natural Resources Ltd. | 5.700 | % | 5/15/17 | 3,150 | 3,742 |
Cenovus Energy Inc. | 4.500 | % | 9/15/14 | 2,400 | 2,573 |
Chevron Corp. | 3.950 | % | 3/3/14 | 6,600 | 6,946 |
ConocoPhillips | 4.750 | % | 2/1/14 | 1,780 | 1,883 |
ConocoPhillips | 4.600 | % | 1/15/15 | 8,350 | 9,139 |
ConocoPhillips Canada Funding Co. I | 5.625 | % | 10/15/16 | 2,900 | 3,444 |
80
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Devon Energy Corp. | 5.625 | % | 1/15/14 | 3,325 | 3,547 |
Devon Energy Corp. | 2.400 | % | 7/15/16 | 1,675 | 1,752 |
Devon Energy Corp. | 1.875 | % | 5/15/17 | 1,550 | 1,585 |
Diamond Offshore Drilling Inc. | 5.150 | % | 9/1/14 | 750 | 811 |
EnCana Holdings Finance Corp. | 5.800 | % | 5/1/14 | 4,850 | 5,214 |
Ensco plc | 3.250 | % | 3/15/16 | 2,125 | 2,269 |
EOG Resources Inc. | 2.950 | % | 6/1/15 | 4,125 | 4,361 |
Hess Corp. | 7.000 | % | 2/15/14 | 1,330 | 1,446 |
Husky Energy Inc. | 5.900 | % | 6/15/14 | 2,425 | 2,634 |
Marathon Petroleum Corp. | 3.500 | % | 3/1/16 | 2,700 | 2,861 |
Noble Holding International Ltd. | 7.375 | % | 3/15/14 | 240 | 261 |
Noble Holding International Ltd. | 3.450 | % | 8/1/15 | 800 | 843 |
Noble Holding International Ltd. | 3.050 | % | 3/1/16 | 3,900 | 4,073 |
Noble Holding International Ltd. | 2.500 | % | 3/15/17 | 500 | 515 |
Occidental Petroleum Corp. | 1.450 | % | 12/13/13 | 1,500 | 1,520 |
Occidental Petroleum Corp. | 2.500 | % | 2/1/16 | 800 | 845 |
Occidental Petroleum Corp. | 4.125 | % | 6/1/16 | 4,450 | 4,979 |
Occidental Petroleum Corp. | 1.750 | % | 2/15/17 | 2,550 | 2,633 |
PC Financial Partnership | 5.000 | % | 11/15/14 | 3,400 | 3,686 |
Petrohawk Energy Corp. | 10.500 | % | 8/1/14 | 700 | 767 |
Petrohawk Energy Corp. | 7.875 | % | 6/1/15 | 3,125 | 3,266 |
2 Phillips 66 | 1.950 | % | 3/5/15 | 2,075 | 2,124 |
2 Phillips 66 | 2.950 | % | 5/1/17 | 4,250 | 4,471 |
Pioneer Natural Resources Co. | 5.875 | % | 7/15/16 | 3,305 | 3,743 |
Shell International Finance BV | 4.000 | % | 3/21/14 | 10,125 | 10,673 |
Shell International Finance BV | 3.100 | % | 6/28/15 | 5,350 | 5,731 |
Shell International Finance BV | 3.250 | % | 9/22/15 | 1,775 | 1,920 |
Shell International Finance BV | 5.200 | % | 3/22/17 | 1,600 | 1,892 |
Shell International Finance BV | 1.125 | % | 8/21/17 | 2,450 | 2,461 |
Talisman Energy Inc. | 5.125 | % | 5/15/15 | 1,450 | 1,583 |
Total Capital Canada Ltd. | 1.625 | % | 1/28/14 | 2,300 | 2,338 |
Total Capital International SA | 1.500 | % | 2/17/17 | 5,150 | 5,248 |
Total Capital International SA | 1.550 | % | 6/28/17 | 4,950 | 5,049 |
Total Capital SA | 3.000 | % | 6/24/15 | 8,525 | 9,101 |
Total Capital SA | 2.300 | % | 3/15/16 | 1,450 | 1,519 |
Transocean Inc. | 4.950 | % | 11/15/15 | 4,295 | 4,679 |
Transocean Inc. | 5.050 | % | 12/15/16 | 2,000 | 2,216 |
Valero Energy Corp. | 4.500 | % | 2/1/15 | 4,900 | 5,283 |
Valero Energy Corp. | 6.125 | % | 6/15/17 | 600 | 717 |
Weatherford International Inc. | 6.350 | % | 6/15/17 | 1,800 | 2,085 |
Weatherford International Ltd. | 5.500 | % | 2/15/16 | 1,705 | 1,877 |
XTO Energy Inc. | 6.250 | % | 8/1/17 | 2,150 | 2,673 |
Other Industrial (0.0%) | |||||
2 URS Corp. | 3.850 | % | 4/1/17 | 750 | 754 |
Yale University Connecticut GO | 2.900 | % | 10/15/14 | 660 | 693 |
Technology (5.5%) | |||||
Adobe Systems Inc. | 3.250 | % | 2/1/15 | 2,250 | 2,375 |
Agilent Technologies Inc. | 5.500 | % | 9/14/15 | 3,750 | 4,209 |
Altera Corp. | 1.750 | % | 5/15/17 | 3,300 | 3,367 |
Amphenol Corp. | 4.750 | % | 11/15/14 | 2,800 | 3,010 |
Analog Devices Inc. | 5.000 | % | 7/1/14 | 125 | 135 |
Analog Devices Inc. | 3.000 | % | 4/15/16 | 1,000 | 1,077 |
Applied Materials Inc. | 2.650 | % | 6/15/16 | 2,500 | 2,645 |
81
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000 | ($000) | ||
Arrow Electronics Inc. | 3.375 | % | 11/1/15 | 500 | 520 |
Avnet Inc. | 6.625 | % | 9/15/16 | 1,600 | 1,826 |
Broadcom Corp. | 1.500 | % | 11/1/13 | 500 | 506 |
Broadcom Corp. | 2.375 | % | 11/1/15 | 2,850 | 2,988 |
CA Inc. | 6.125 | % | 12/1/14 | 1,500 | 1,653 |
Cisco Systems Inc. | 1.625 | % | 3/14/14 | 6,775 | 6,906 |
Cisco Systems Inc. | 2.900 | % | 11/17/14 | 3,500 | 3,693 |
Cisco Systems Inc. | 5.500 | % | 2/22/16 | 8,150 | 9,497 |
Cisco Systems Inc. | 3.150 | % | 3/14/17 | 1,500 | 1,648 |
Dell Inc. | 1.400 | % | 9/10/13 | 475 | 479 |
Dell Inc. | 2.300 | % | 9/10/15 | 4,675 | 4,814 |
Dell Inc. | 3.100 | % | 4/1/16 | 425 | 452 |
Dun & Bradstreet Corp. | 2.875 | % | 11/15/15 | 625 | 642 |
Equifax Inc. | 6.300 | % | 7/1/17 | 1,300 | 1,537 |
Fiserv Inc. | 3.125 | % | 6/15/16 | 3,275 | 3,420 |
Google Inc. | 1.250 | % | 5/19/14 | 900 | 915 |
Google Inc. | 2.125 | % | 5/19/16 | 4,200 | 4,426 |
Harris Corp. | 5.000 | % | 10/1/15 | 200 | 219 |
Hewlett-Packard Co. | 1.250 | % | 9/13/13 | 5,900 | 5,929 |
Hewlett-Packard Co. | 6.125 | % | 3/1/14 | 2,768 | 2,958 |
Hewlett-Packard Co. | 1.550 | % | 5/30/14 | 2,825 | 2,843 |
Hewlett-Packard Co. | 4.750 | % | 6/2/14 | 490 | 519 |
Hewlett-Packard Co. | 2.625 | % | 12/9/14 | 5,150 | 5,309 |
Hewlett-Packard Co. | 2.350 | % | 3/15/15 | 4,125 | 4,166 |
Hewlett-Packard Co. | 2.125 | % | 9/13/15 | 2,950 | 2,961 |
Hewlett-Packard Co. | 2.200 | % | 12/1/15 | 1,275 | 1,282 |
Hewlett-Packard Co. | 2.650 | % | 6/1/16 | 1,220 | 1,241 |
Hewlett-Packard Co. | 3.000 | % | 9/15/16 | 3,900 | 4,000 |
Hewlett-Packard Co. | 3.300 | % | 12/9/16 | 5,905 | 6,123 |
Hewlett-Packard Co. | 5.400 | % | 3/1/17 | 3,850 | 4,247 |
Intel Corp. | 1.950 | % | 10/1/16 | 5,550 | 5,832 |
International Business Machines Corp. | 6.500 | % | 10/15/13 | 5,775 | 6,157 |
International Business Machines Corp. | 1.250 | % | 5/12/14 | 5,775 | 5,865 |
International Business Machines Corp. | 0.875 | % | 10/31/14 | 450 | 454 |
International Business Machines Corp. | 0.550 | % | 2/6/15 | 4,025 | 4,031 |
International Business Machines Corp. | 0.750 | % | 5/11/15 | 4,700 | 4,722 |
International Business Machines Corp. | 2.000 | % | 1/5/16 | 4,000 | 4,173 |
International Business Machines Corp. | 1.950 | % | 7/22/16 | 5,100 | 5,317 |
International Business Machines Corp. | 1.250 | % | 2/6/17 | 2,600 | 2,638 |
Intuit Inc. | 5.750 | % | 3/15/17 | 1,025 | 1,189 |
Juniper Networks Inc. | 3.100 | % | 3/15/16 | 900 | 940 |
Microsoft Corp. | 0.875 | % | 9/27/13 | 2,450 | 2,466 |
Microsoft Corp. | 2.950 | % | 6/1/14 | 6,950 | 7,262 |
Microsoft Corp. | 1.625 | % | 9/25/15 | 3,550 | 3,678 |
3 Microsoft Corp. | 2.500 | % | 2/8/16 | 3,752 | 3,994 |
Oracle Corp. | 3.750 | % | 7/8/14 | 7,330 | 7,783 |
Oracle Corp. | 5.250 | % | 1/15/16 | 4,050 | 4,671 |
Pitney Bowes Inc. | 4.875 | % | 8/15/14 | 1,800 | 1,885 |
Pitney Bowes Inc. | 4.750 | % | 1/15/16 | 2,750 | 2,866 |
Symantec Corp. | 2.750 | % | 9/15/15 | 1,600 | 1,659 |
Symantec Corp. | 2.750 | % | 6/15/17 | 1,050 | 1,073 |
Texas Instruments Inc. | 1.375 | % | 5/15/14 | 6,925 | 7,036 |
Texas Instruments Inc. | 0.450 | % | 8/3/15 | 1,725 | 1,720 |
Texas Instruments Inc. | 2.375 | % | 5/16/16 | 2,925 | 3,098 |
Tyco Electronics Group SA | 1.600 | % | 2/3/15 | 1,200 | 1,215 |
82
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Xerox Corp. | 8.250 | % | 5/15/14 | 450 | 501 |
Xerox Corp. | 4.250 | % | 2/15/15 | 11,500 | 12,209 |
Xerox Corp. | 6.400 | % | 3/15/16 | 1,000 | 1,141 |
Xerox Corp. | 2.950 | % | 3/15/17 | 2,900 | 2,977 |
Transportation (1.0%) | |||||
Burlington Northern Santa Fe LLC | 7.000 | % | 2/1/14 | 2,174 | 2,366 |
Burlington Northern Santa Fe LLC | 5.650 | % | 5/1/17 | 1,750 | 2,089 |
Canadian National Railway Co. | 4.950 | % | 1/15/14 | 2,825 | 2,996 |
Canadian National Railway Co. | 5.800 | % | 6/1/16 | 700 | 819 |
Canadian National Railway Co. | 1.450 | % | 12/15/16 | 600 | 613 |
1 Continental Airlines 2009-1 Pass Through Trust | 9.000 | % | 7/8/16 | 857 | 992 |
CSX Corp. | 6.250 | % | 4/1/15 | 3,671 | 4,173 |
CSX Corp. | 5.600 | % | 5/1/17 | 1,450 | 1,693 |
JB Hunt Transport Services Inc. | 3.375 | % | 9/15/15 | 300 | 310 |
Norfolk Southern Corp. | 5.750 | % | 1/15/16 | 3,200 | 3,697 |
Norfolk Southern Corp. | 7.700 | % | 5/15/17 | 800 | 1,019 |
Ryder System Inc. | 5.850 | % | 3/1/14 | 500 | 534 |
Ryder System Inc. | 3.150 | % | 3/2/15 | 525 | 543 |
Ryder System Inc. | 7.200 | % | 9/1/15 | 325 | 374 |
Ryder System Inc. | 3.600 | % | 3/1/16 | 2,600 | 2,752 |
Ryder System Inc. | 2.500 | % | 3/1/17 | 1,600 | 1,627 |
Ryder System Inc. | 3.500 | % | 6/1/17 | 1,325 | 1,410 |
Southwest Airlines Co. | 5.750 | % | 12/15/16 | 1,390 | 1,604 |
Southwest Airlines Co. | 5.125 | % | 3/1/17 | 650 | 724 |
1 UAL 2009-1 Pass Through Trust | 10.400 | % | 5/1/18 | 728 | 837 |
1 UAL 2009-2A Pass Through Trust | 9.750 | % | 1/15/17 | 2,233 | 2,573 |
Union Pacific Corp. | 5.125 | % | 2/15/14 | 900 | 956 |
United Parcel Service Inc. | 3.875 | % | 4/1/14 | 2,475 | 2,606 |
1,933,332 | |||||
Utilities (6.4%) | |||||
Electric (4.3%) | |||||
Ameren Corp. | 8.875 | % | 5/15/14 | 1,725 | 1,913 |
Appalachian Power Co. | 3.400 | % | 5/24/15 | 600 | 630 |
Arizona Public Service Co. | 5.800 | % | 6/30/14 | 1,800 | 1,952 |
Arizona Public Service Co. | 4.650 | % | 5/15/15 | 800 | 870 |
Baltimore Gas & Electric Co. | 5.900 | % | 10/1/16 | 1,700 | 2,001 |
Carolina Power & Light Co. | 5.125 | % | 9/15/13 | 75 | 79 |
Carolina Power & Light Co. | 5.150 | % | 4/1/15 | 237 | 263 |
Cleveland Electric Illuminating Co. | 5.650 | % | 12/15/13 | 75 | 79 |
Commonwealth Edison Co. | 1.625 | % | 1/15/14 | 6,200 | 6,287 |
Commonwealth Edison Co. | 4.700 | % | 4/15/15 | 600 | 659 |
Consolidated Edison Co. of New York Inc. | 4.875 | % | 2/1/13 | 2,500 | 2,545 |
Consolidated Edison Co. of New York Inc. | 5.375 | % | 12/15/15 | 2,272 | 2,601 |
Consolidated Natural Gas Co. | 5.000 | % | 12/1/14 | 225 | 244 |
Constellation Energy Group Inc. | 4.550 | % | 6/15/15 | 1,125 | 1,223 |
Consumers Energy Co. | 5.500 | % | 8/15/16 | 1,300 | 1,510 |
Dayton Power & Light Co. | 5.125 | % | 10/1/13 | 960 | 1,005 |
Dominion Resources Inc. | 1.800 | % | 3/15/14 | 2,775 | 2,824 |
Dominion Resources Inc. | 5.150 | % | 7/15/15 | 1,725 | 1,922 |
Dominion Resources Inc. | 2.250 | % | 9/1/15 | 1,625 | 1,690 |
Dominion Resources Inc. | 1.950 | % | 8/15/16 | 1,550 | 1,600 |
1 Dominion Resources Inc. | 7.500 | % | 6/30/66 | 1,100 | 1,189 |
DTE Energy Co. | 6.350 | % | 6/1/16 | 1,865 | 2,212 |
Duke Energy Carolinas LLC | 5.300 | % | 10/1/15 | 600 | 682 |
83
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Duke Energy Carolinas LLC | 1.750 | % | 12/15/16 | 5,125 | 5,311 |
Duke Energy Corp. | 6.300 | % | 2/1/14 | 2,225 | 2,394 |
Duke Energy Corp. | 3.950 | % | 9/15/14 | 975 | 1,035 |
Duke Energy Corp. | 3.350 | % | 4/1/15 | 5,050 | 5,339 |
Duke Energy Corp. | 1.625 | % | 8/15/17 | 600 | 603 |
Enersis SA | 7.375 | % | 1/15/14 | 1,500 | 1,602 |
Entergy Corp. | 4.700 | % | 1/15/17 | 2,900 | 3,112 |
Entergy Louisiana LLC | 1.875 | % | 12/15/14 | 2,000 | 2,054 |
Exelon Corp. | 4.900 | % | 6/15/15 | 4,450 | 4,875 |
Exelon Generation Co. LLC | 5.350 | % | 1/15/14 | 900 | 953 |
FirstEnergy Solutions Corp. | 4.800 | % | 2/15/15 | 5,350 | 5,739 |
Florida Power Corp. | 5.100 | % | 12/1/15 | 2,150 | 2,431 |
Georgia Power Co. | 0.750 | % | 8/10/15 | 1,400 | 1,408 |
Georgia Power Co. | 5.700 | % | 6/1/17 | 300 | 360 |
1 Integrys Energy Group Inc. | 6.110 | % | 12/1/66 | 500 | 522 |
Jersey Central Power & Light Co. | 5.650 | % | 6/1/17 | 600 | 706 |
Kentucky Utilities Co. | 1.625 | % | 11/1/15 | 350 | 360 |
LG&E & KU Energy LLC | 2.125 | % | 11/15/15 | 1,125 | 1,144 |
Louisville Gas & Electric Co. | 1.625 | % | 11/15/15 | 1,200 | 1,231 |
MidAmerican Energy Holdings Co. | 5.875 | % | 10/1/12 | 1,850 | 1,857 |
National Rural Utilities Cooperative Finance Corp. | 5.500 | % | 7/1/13 | 3,750 | 3,906 |
National Rural Utilities Cooperative Finance Corp. | 1.000 | % | 2/2/15 | 1,100 | 1,110 |
National Rural Utilities Cooperative Finance Corp. | 3.050 | % | 3/1/16 | 2,800 | 2,993 |
National Rural Utilities Cooperative Finance Corp. | 5.450 | % | 4/10/17 | 250 | 298 |
NextEra Energy Capital Holdings Inc. | 2.550 | % | 11/15/13 | 375 | 382 |
NextEra Energy Capital Holdings Inc. | 7.875 | % | 12/15/15 | 3,865 | 4,652 |
1 NextEra Energy Capital Holdings Inc. | 6.650 | % | 6/15/67 | 1,075 | 1,141 |
2 Niagara Mohawk Power Corp. | 3.553 | % | 10/1/14 | 50 | 53 |
Northern States Power Co. | 1.950 | % | 8/15/15 | 1,125 | 1,167 |
NSTAR Electric Co. | 4.875 | % | 4/15/14 | 1,000 | 1,062 |
Ohio Power Co. | 5.750 | % | 9/1/13 | 107 | 112 |
Ohio Power Co. | 6.000 | % | 6/1/16 | 3,450 | 4,028 |
Oncor Electric Delivery Co. LLC | 6.375 | % | 1/15/15 | 2,100 | 2,329 |
Pacific Gas & Electric Co. | 6.250 | % | 12/1/13 | 310 | 331 |
Pacific Gas & Electric Co. | 4.800 | % | 3/1/14 | 7,550 | 8,004 |
Peco Energy Co. | 5.000 | % | 10/1/14 | 25 | 27 |
Pepco Holdings Inc. | 2.700 | % | 10/1/15 | 500 | 519 |
PG&E Corp. | 5.750 | % | 4/1/14 | 50 | 54 |
PPL Energy Supply LLC | 5.400 | % | 8/15/14 | 75 | 80 |
PPL Energy Supply LLC | 6.200 | % | 5/15/16 | 1,850 | 2,098 |
Progress Energy Inc. | 6.050 | % | 3/15/14 | 4,000 | 4,321 |
PSEG Power LLC | 5.000 | % | 4/1/14 | 100 | 106 |
PSEG Power LLC | 5.500 | % | 12/1/15 | 975 | 1,090 |
PSEG Power LLC | 2.750 | % | 9/15/16 | 300 | 313 |
Public Service Co. of Colorado | 7.875 | % | 10/1/12 | 1,315 | 1,322 |
Public Service Electric & Gas Co. | 2.700 | % | 5/1/15 | 7,400 | 7,820 |
San Diego Gas & Electric Co. | 5.300 | % | 11/15/15 | 300 | 343 |
Scottish Power Ltd. | 5.375 | % | 3/15/15 | 1,500 | 1,557 |
Sierra Pacific Power Co. | 6.000 | % | 5/15/16 | 4,050 | 4,735 |
Southern California Edison Co. | 5.750 | % | 3/15/14 | 2,975 | 3,212 |
Southern California Edison Co. | 4.150 | % | 9/15/14 | 1,089 | 1,166 |
Southern California Edison Co. | 4.650 | % | 4/1/15 | 600 | 659 |
Southern California Edison Co. | 5.000 | % | 1/15/16 | 1,000 | 1,141 |
Southern Co. | 4.150 | % | 5/15/14 | 1,141 | 1,207 |
Southern Co. | 2.375 | % | 9/15/15 | 4,450 | 4,613 |
84
Short-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Southern Co. | 1.950 | % | 9/1/16 | 4,700 | 4,863 |
Southern Power Co. | 4.875 | % | 7/15/15 | 1,875 | 2,067 |
Southwestern Electric Power Co. | 5.550 | % | 1/15/17 | 675 | 766 |
TECO Finance Inc. | 4.000 | % | 3/15/16 | 725 | 776 |
TransAlta Corp. | 4.750 | % | 1/15/15 | 2,300 | 2,408 |
Union Electric Co. | 6.400 | % | 6/15/17 | 1,440 | 1,758 |
Wisconsin Electric Power Co. | 6.000 | % | 4/1/14 | 2,550 | 2,769 |
1 Wisconsin Energy Corp. | 6.250 | % | 5/15/67 | 2,275 | 2,412 |
Natural Gas (2.1%) | |||||
AGL Capital Corp. | 6.375 | % | 7/15/16 | 675 | 780 |
Atmos Energy Corp. | 4.950 | % | 10/15/14 | 105 | 114 |
Boardwalk Pipelines LP | 5.500 | % | 2/1/17 | 1,700 | 1,872 |
CenterPoint Energy Resources Corp. | 6.150 | % | 5/1/16 | 1,350 | 1,564 |
DCP Midstream Operating LP | 3.250 | % | 10/1/15 | 200 | 204 |
El Paso Natural Gas Co. | 5.950 | % | 4/15/17 | 1,750 | 2,009 |
Enbridge Energy Partners LP | 5.875 | % | 12/15/16 | 1,000 | 1,160 |
Enbridge Inc. | 5.800 | % | 6/15/14 | 325 | 352 |
Enbridge Inc. | 4.900 | % | 3/1/15 | 3,200 | 3,481 |
Energy Transfer Partners LP | 5.950 | % | 2/1/15 | 6,300 | 6,907 |
Energy Transfer Partners LP | 6.125 | % | 2/15/17 | 1,000 | 1,150 |
Enterprise Products Operating LLC | 9.750 | % | 1/31/14 | 425 | 476 |
Enterprise Products Operating LLC | 5.600 | % | 10/15/14 | 3,800 | 4,158 |
Enterprise Products Operating LLC | 5.000 | % | 3/1/15 | 206 | 225 |
Enterprise Products Operating LLC | 3.700 | % | 6/1/15 | 1,300 | 1,391 |
Enterprise Products Operating LLC | 1.250 | % | 8/13/15 | 1,225 | 1,234 |
Enterprise Products Operating LLC | 3.200 | % | 2/1/16 | 2,250 | 2,382 |
Kinder Morgan Energy Partners LP | 5.000 | % | 12/15/13 | 1,850 | 1,946 |
Kinder Morgan Energy Partners LP | 5.625 | % | 2/15/15 | 110 | 122 |
Kinder Morgan Energy Partners LP | 3.500 | % | 3/1/16 | 5,500 | 5,886 |
Kinder Morgan Energy Partners LP | 6.000 | % | 2/1/17 | 850 | 993 |
Magellan Midstream Partners LP | 5.650 | % | 10/15/16 | 650 | 748 |
National Grid plc | 6.300 | % | 8/1/16 | 1,800 | 2,087 |
Nisource Finance Corp. | 5.400 | % | 7/15/14 | 2,325 | 2,499 |
ONEOK Inc. | 5.200 | % | 6/15/15 | 225 | 245 |
ONEOK Partners LP | 3.250 | % | 2/1/16 | 1,725 | 1,820 |
ONEOK Partners LP | 6.150 | % | 10/1/16 | 1,675 | 1,956 |
Plains All American Pipeline LP / | |||||
PAA Finance Corp. | 3.950 | % | 9/15/15 | 1,200 | 1,300 |
Plains All American Pipeline LP / | |||||
PAA Finance Corp. | 6.125 | % | 1/15/17 | 2,500 | 2,965 |
Questar Corp. | 2.750 | % | 2/1/16 | 275 | 288 |
Sempra Energy | 2.000 | % | 3/15/14 | 7,400 | 7,526 |
Sempra Energy | 2.300 | % | 4/1/17 | 1,500 | 1,572 |
2 Southern Natural Gas Co. LLC | 5.900 | % | 4/1/17 | 2,325 | 2,694 |
Spectra Energy Capital LLC | 5.668 | % | 8/15/14 | 2,023 | 2,188 |
Tennessee Gas Pipeline Co. LLC | 7.500 | % | 4/1/17 | 450 | 554 |
Texas Gas Transmission LLC | 4.600 | % | 6/1/15 | 175 | 190 |
TransCanada PipeLines Ltd. | 0.875 | % | 3/2/15 | 2,100 | 2,117 |
TransCanada PipeLines Ltd. | 3.400 | % | 6/1/15 | 2,025 | 2,177 |
1 TransCanada PipeLines Ltd. | 6.350 | % | 5/15/67 | 2,950 | 3,129 |
Williams Partners LP | 3.800 | % | 2/15/15 | 4,700 | 4,990 |
85
Short-Term Corporate Bond Index Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Williams Partners LP / | ||||
Williams Partners Finance Corp. | 7.250% | 2/1/17 | 1,825 | 2,215 |
246,452 | ||||
Total Corporate Bonds (Cost $3,726,279) | 3,817,243 | |||
Taxable Municipal Bonds (0.0%) | ||||
Howard Hughes Medical Institute Maryland | ||||
Revenue (Cost $222) | 3.450% | 9/1/14 | 210 | 223 |
Shares | ||||
Temporary Cash Investment (0.6%) | ||||
Money Market Fund (0.6%) | ||||
4 Vanguard Market Liquidity Fund (Cost $22,451) | 0.158% | 22,451,215 | 22,451 | |
Total Investments (99.7%) (Cost $3,769,169) | 3,860,161 | |||
Other Assets and Liabilities (0.3%) | ||||
Other Assets | 44,351 | |||
Liabilities | (31,890) | |||
12,461 | ||||
Net Assets (100%) | 3,872,622 |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 3,777,642 |
Overdistributed Net Investment Income | (201) |
Accumulated Net Realized Gains | 4,191 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 90,992 |
Futures Contracts | (2) |
Net Assets | 3,872,622 |
Signal Shares—Net Assets | |
Applicable to 1,154,064 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 25,076 |
Net Asset Value Per Share—Signal Shares | $21.73 |
Institutional Shares—Net Assets | |
Applicable to 6,070,180 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 161,487 |
Net Asset Value Per Share—Institutional Shares | $26.60 |
86
Short-Term Corporate Bond Index Fund
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 46,200,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,686,059 |
Net Asset Value Per Share—ETF Shares | $79.78 |
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 August 31, 2012, the aggregate value of these securities was $35,248,000,
representing 0.9% of net assets.
3 Securities with a value of $298,000 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.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
87
Short-Term Corporate Bond Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 69,565 |
Total Income | 69,565 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 134 |
Management and Administrative—Signal Shares | 12 |
Management and Administrative—Institutional Shares | 80 |
Management and Administrative—ETF Shares | 2,241 |
Marketing and Distribution—Signal Shares | 2 |
Marketing and Distribution—Institutional Shares | 40 |
Marketing and Distribution—ETF Shares | 685 |
Custodian Fees | 18 |
Auditing Fees | 41 |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 104 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 3,359 |
Net Investment Income | 66,206 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 5,018 |
Futures Contracts | (608) |
Realized Net Gain (Loss) | 4,410 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 69,502 |
Futures Contracts | (2) |
Change in Unrealized Appreciation (Depreciation) | 69,500 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 140,116 |
1 Interest income from an affiliated company of the fund was $19,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
88
Short-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 66,206 | 33,625 |
Realized Net Gain (Loss) | 4,410 | 3,474 |
Change in Unrealized Appreciation (Depreciation) | 69,500 | 4,900 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 140,116 | 41,999 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (285) | (25) |
Institutional Shares | (3,395) | (3,490) |
ETF Shares | (62,521) | (30,249) |
Realized Capital Gain1 | ||
Signal Shares | (7) | — |
Institutional Shares | (179) | (127) |
ETF Shares | (2,576) | (800) |
Total Distributions | (68,963) | (34,691) |
Capital Share Transactions | ||
Signal Shares | 21,240 | 3,477 |
Institutional Shares | 33,072 | (9,699) |
ETF Shares | 1,713,862 | 1,191,319 |
Net Increase (Decrease) from Capital Share Transactions | 1,768,174 | 1,185,097 |
Total Increase (Decrease) | 1,839,327 | 1,192,405 |
Net Assets | ||
Beginning of Period | 2,033,295 | 840,890 |
End of Period2 | 3,872,622 | 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 ($201,000) and ($206,000).
See accompanying Notes, which are an integral part of the Financial Statements.
89
Short-Term Corporate Bond Index Fund
Financial Highlights
Signal Shares | ||
Year | Nov. 18, | |
Ended | 20101 to | |
August 31, | 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 | .488 | .387 |
Net Realized and Unrealized Gain (Loss) on Investments | .494 | .091 |
Total from Investment Operations | .982 | .478 |
Distributions | ||
Dividends from Net Investment Income | (.487) | (.410) |
Distributions from Realized Capital Gains | (.025) | (.018) |
Total Distributions | (.512) | (.428) |
Net Asset Value, End of Period | $21.73 | $21.26 |
Total Return2 | 4.69% | 2.28% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $25 | $3 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14%3 |
Ratio of Net Investment Income to Average Net Assets | 2.33% | 2.39%3 |
Portfolio Turnover Rate4 | 65% | 63% |
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.
90
Short-Term Corporate Bond Index Fund
Financial Highlights
Institutional Shares | |||
Nov. 19, | |||
Year Ended | 20091 to | ||
August 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 | .605 | .619 | .453 |
Net Realized and Unrealized Gain (Loss) on Investments | .599 | .151 | .882 |
Total from Investment Operations | 1.204 | .770 | 1.335 |
Distributions | |||
Dividends from Net Investment Income | (.603) | (.618) | (.455) |
Distributions from Realized Capital Gains | (.031) | (.022) | — |
Total Distributions | (.634) | (.640) | (.455) |
Net Asset Value, End of Period | $26.60 | $26.03 | $25.90 |
Total Return2 | 4.70% | 3.01% | 5.39% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $161 | $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 | 2.36% | 2.44% | 2.62%3 |
Portfolio Turnover Rate4 | 65% | 63% | 68% |
1 Inception.
2 Total returns do not include transactions fees that may have applied in the period 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.
91
Short-Term Corporate Bond Index Fund
Financial Highlights
ETF Shares | |||
Nov. 19, | |||
Year Ended | 20091 to | ||
August 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 | 1.793 | 1.815 | 1.334 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.808 | .443 | 2.636 |
Total from Investment Operations | 3.601 | 2.258 | 3.970 |
Distributions | |||
Dividends from Net Investment Income | (1.789) | (1.813) | (1.340) |
Distributions from Realized Capital Gains | (.092) | (.065) | — |
Total Distributions | (1.881) | (1.878) | (1.340) |
Net Asset Value, End of Period | $79.78 | $78.06 | $77.68 |
Total Return | 4.68% | 2.94% | 5.34% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $3,686 | $1,905 | $707 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 2.33% | 2.39% | 2.56%2 |
Portfolio Turnover Rate3 | 65% | 63% | 68% |
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.
92
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).
During the year ended August 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
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, 2010–2012), 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.
93
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 August 31, 2012, the fund had contributed capital of $532,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.21% 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 August 31, 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 | — | 20,244 | — |
Corporate Bonds | — | 3,817,243 | — |
Taxable Municipal Bonds | — | 223 | — |
Temporary Cash Investments | 22,451 | — | — |
Futures Contracts—Liabilities1 | (165) | — | — |
Total | 22,286 | 3,837,710 | — |
1 Represents variation margin on the last day of the reporting period. |
94
Short-Term Corporate Bond Index Fund
D. At August 31, 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 | December 2012 | 91 | 11,344 | (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 used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $65,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at August 31, 2012, the fund had short-term and long-term capital gains of $1,346,000 and $3,357,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
At August 31, 2012, the cost of investment securities for tax purposes was $3,769,683,000. Net unrealized appreciation of investment securities for tax purposes was $90,478,000, consisting of unrealized gains of $91,642,000 on securities that had risen in value since their purchase and $1,164,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2012, the fund purchased $2,763,189,000 of investment securities and sold $981,240,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $825,899,000 and $831,549,000, respectively. Total purchases and sales include $1,660,364,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
95
Short-Term Corporate Bond Index Fund
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2012 | 20111 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued 2 | 22,449 | 1,048 | 4,404 | 207 |
Issued in Lieu of Cash Distributions | 232 | 11 | 24 | 1 |
Redeemed | (1,441) | (68) | (951) | (45) |
Net Increase (Decrease)—Signal Shares | 21,240 | 991 | 3,477 | 163 |
Institutional Shares | ||||
Issued 2 | 72,659 | 2,780 | 20,397 | 785 |
Issued in Lieu of Cash Distributions | 3,574 | 137 | 3,552 | 137 |
Redeemed | (43,161) | (1,656) | (33,648) | (1,287) |
Net Increase (Decrease)— | ||||
Institutional Shares | 33,072 | 1,261 | (9,699) | (365) |
ETF Shares | ||||
Issued 2 | 1,713,862 | 21,800 | 1,214,469 | 15,600 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | — | — | (23,150) | (300) |
Net Increase (Decrease)—ETF Shares | 1,713,862 | 21,800 | 1,191,319 | 15,300 |
1 Inception date was November 18, 2010 for Signal Shares. | ||||
2 Includes purchase fees for fiscal 2012 and 2011 of $268,000 and $177,000, respectively (fund totals). |
H. In preparing the financial statements as of August 31, 2012, management considered the impact
of subsequent events for potential recognition or disclosure in these financial statements.
96
Intermediate-Term Corporate Bond Index Fund
Fund Profile
As of August 31, 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 | 2.87% | 2.88% | 2.86% |
Financial Attributes | |||
Barclays | |||
5–10 Year | Barclays | ||
Corporate Aggregate | |||
Fund | Index | FA Index | |
Number of Bonds | 1,211 | 1,453 | 7,922 |
Yield to Maturity | |||
(before expenses) | 2.9% | 2.9% | 1.7% |
Average Coupon | 5.3% | 5.3% | 3.7% |
Average Duration | 6.2 years | 6.2 years | 5.2 years |
Average Maturity | 7.4 years | 7.4 years | 7.1 years |
Short-Term | |||
Reserves | 0.8% | — | — |
Sector Diversification (% of portfolio) | |
Finance | 32.0% |
Industrial | 57.2 |
Utilities | 10.5 |
Other | 0.3 |
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 | 0.3% |
1 - 3 Years | 0.3 |
3 - 5 Years | 0.3 |
5 - 10 Years | 98.9 |
10 - 20 Years | 0.2 |
Distribution by Credit Quality (% of portfolio) | |
Aaa | 0.8% |
Aa | 6.8 |
A | 48.3 |
Baa | 44.1 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx99x1.jpg)
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For
the fiscal year ended August 31, 2012, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares, and 0.12% for ETF
Shares.
97
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.
Cumulative Performance: November 19, 2009, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx100x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (11/19/2009) | Investment | ||
Intermediate-Term Corporate Bond | ||||
Index Fund ETF Shares Net Asset | ||||
Value | 10.43% | 9.85% | $12,986 | |
Intermediate-Term Corporate Bond | ||||
Index Fund ETF Shares Market Price | 9.77 | 10.01 | 13,039 | |
•••••••• | Barclays U.S. 5–10 Year Corporate | |||
Bond Index | 10.07 | 9.96 | 13,022 | |
– – – – | Intermediate Investment-Grade Debt | |||
Funds Average | 6.95 | 6.98 | 12,063 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.91 | 6.28 | 11,845 |
For a benchmark description, see the Glossary.
Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Vanguard fund returns are adjusted to reflect the 0.50% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
See Financial Highlights for dividend and capital gains information.
98
Intermediate-Term Corporate Bond Index Fund
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (3/2/2010) | Investment | |
Intermediate-Term Corporate Bond Index | |||
Fund Signal Shares | 9.85% | 9.81% | $12,634 |
Barclays U.S. 5–10 Year Corporate Bond | |||
Index | 10.07 | 10.04 | 12,701 |
Barclays U.S. Aggregate Float Adjusted Index | 5.91 | 6.57 | 11,724 |
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (11/19/2009) | Investment | |
Intermediate-Term Corporate Bond Index | |||
Fund Institutional Shares | 9.91% | 9.71% | $6,469,731 |
Barclays U.S. 5–10 Year Corporate Bond | |||
Index | 10.07 | 9.96 | 6,511,101 |
Spliced Barclays U.S. Aggregate Float | |||
Adjusted Index | 5.91 | 6.28 | 5,922,634 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2012 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Intermediate-Term Corporate Bond Index | ||
Fund ETF Shares Market Price | 9.77% | 30.39% |
Intermediate-Term Corporate Bond Index | ||
Fund ETF Shares Net Asset Value | 10.43 | 29.86 |
Barclays U.S. 5–10 Year Corporate Bond | ||
Index | 10.07 | 30.22 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Vanguard fund returns are adjusted to reflect the 0.50% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
99
Intermediate-Term Corporate Bond Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 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 | 10.43 | 10.07 |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 10.12% | 4.24% | 5.10% | 9.34% |
Fee-Adjusted Returns | 9.57 | 9.11 | |||
Institutional Shares | 11/19/2009 | 10.16 | 4.29 | 4.99 | 9.28 |
Fee-Adjusted Returns | 9.61 | 9.07 | |||
ETF Shares | 11/19/2009 | ||||
Market Price | 10.28 | 9.50 | |||
Net Asset Value | 10.12 | 9.22 |
Vanguard fund returns are adjusted to reflect the 0.50% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
100
Intermediate-Term Corporate Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (0.9%) | ||||
U.S. Government Securities (0.9%) | ||||
United States Treasury Note/Bond | 0.750% | 8/15/13 | 440 | 442 |
United States Treasury Note/Bond | 3.125% | 8/31/13 | 235 | 242 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 195 | 195 |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 1,050 | 1,046 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 16,000 | 16,025 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 7,725 | 7,776 |
Total U.S. Government and Agency Obligations (Cost $25,643) | 25,726 | |||
Corporate Bonds (97.8%) | ||||
Finance (31.2%) | ||||
Banking (19.3%) | ||||
American Express Bank FSB | 6.000% | 9/13/17 | 2,330 | 2,821 |
American Express Centurion Bank | 6.000% | 9/13/17 | 2,725 | 3,288 |
American Express Co. | 7.000% | 3/19/18 | 3,950 | 5,016 |
American Express Co. | 8.125% | 5/20/19 | 4,493 | 6,089 |
Bancolombia SA | 6.125% | 7/26/20 | 1,300 | 1,396 |
Bancolombia SA | 5.950% | 6/3/21 | 2,100 | 2,331 |
Bank of America Corp. | 6.000% | 9/1/17 | 5,250 | 5,925 |
Bank of America Corp. | 5.750% | 12/1/17 | 8,100 | 9,071 |
Bank of America Corp. | 5.650% | 5/1/18 | 6,975 | 7,779 |
Bank of America Corp. | 5.490% | 3/15/19 | 700 | 737 |
Bank of America Corp. | 7.625% | 6/1/19 | 7,725 | 9,423 |
Bank of America Corp. | 5.625% | 7/1/20 | 9,475 | 10,450 |
Bank of America Corp. | 5.875% | 1/5/21 | 4,675 | 5,230 |
Bank of America Corp. | 5.000% | 5/13/21 | 3,945 | 4,240 |
Bank of America Corp. | 5.700% | 1/24/22 | 5,375 | 6,073 |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 2,700 | 3,092 |
Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 1,900 | 2,124 |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 3,300 | 3,570 |
Bank of Nova Scotia | 4.375% | 1/13/21 | 1,675 | 1,952 |
Barclays Bank plc | 6.750% | 5/22/19 | 4,975 | 5,852 |
Barclays Bank plc | 5.125% | 1/8/20 | 6,790 | 7,360 |
Barclays Bank plc | 5.140% | 10/14/20 | 2,225 | 2,260 |
BB&T Corp. | 6.850% | 4/30/19 | 1,600 | 2,033 |
BB&T Corp. | 5.250% | 11/1/19 | 1,350 | 1,554 |
BB&T Corp. | 3.950% | 3/22/22 | 600 | 645 |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 6,250 | 7,510 |
101
Intermediate-Term Corporate Bond Index Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 5,900 | 7,352 |
BNP Paribas SA | 5.000% | 1/15/21 | 7,175 | 7,758 |
Capital One Bank USA NA | 8.800% | 7/15/19 | 2,500 | 3,213 |
Capital One Financial Corp. | 6.750% | 9/15/17 | 4,325 | 5,284 |
Capital One Financial Corp. | 4.750% | 7/15/21 | 3,675 | 4,110 |
Citigroup Inc. | 6.000% | 8/15/17 | 1,425 | 1,629 |
Citigroup Inc. | 6.125% | 11/21/17 | 8,970 | 10,358 |
Citigroup Inc. | 6.125% | 5/15/18 | 6,700 | 7,776 |
Citigroup Inc. | 8.500% | 5/22/19 | 6,415 | 8,228 |
Citigroup Inc. | 5.375% | 8/9/20 | 6,275 | 7,021 |
Citigroup Inc. | 4.500% | 1/14/22 | 3,950 | 4,178 |
Compass Bank | 6.400% | 10/1/17 | 800 | 829 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 4.500% | 1/11/21 | 6,950 | 7,659 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 3.875% | 2/8/22 | 4,775 | 4,983 |
Credit Suisse | 6.000% | 2/15/18 | 1,550 | 1,728 |
Credit Suisse | 5.300% | 8/13/19 | 3,675 | 4,313 |
Credit Suisse | 5.400% | 1/14/20 | 1,950 | 2,104 |
Credit Suisse | 4.375% | 8/5/20 | 2,735 | 3,028 |
Deutsche Bank AG | 6.000% | 9/1/17 | 7,175 | 8,389 |
Discover Bank | 8.700% | 11/18/19 | 1,625 | 2,059 |
Discover Bank | 7.000% | 4/15/20 | 700 | 825 |
Fifth Third Bancorp | 4.500% | 6/1/18 | 1,500 | 1,623 |
Fifth Third Bancorp | 3.500% | 3/15/22 | 1,675 | 1,741 |
First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 1,100 | 1,283 |
First Niagara Financial Group Inc. | 7.250% | 12/15/21 | 425 | 489 |
Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 5,750 | 6,603 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 9,859 | 11,092 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 8,700 | 9,862 |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 6,160 | 7,368 |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 7,170 | 7,702 |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 4,355 | 4,878 |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 8,775 | 9,336 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 10,975 | 12,118 |
HSBC Bank USA NA | 4.875% | 8/24/20 | 2,880 | 3,054 |
HSBC Holdings plc | 5.100% | 4/5/21 | 8,425 | 9,690 |
HSBC Holdings plc | 4.875% | 1/14/22 | 1,300 | 1,491 |
HSBC Holdings plc | 4.000% | 3/30/22 | 3,175 | 3,393 |
HSBC USA Inc. | 5.000% | 9/27/20 | 1,950 | 2,057 |
Huntington Bancshares Inc. | 7.000% | 12/15/20 | 675 | 802 |
JPMorgan Chase & Co. | 3.700% | 1/20/15 | 50 | 53 |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 10,832 | 12,943 |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 6,875 | 8,376 |
JPMorgan Chase & Co. | 4.950% | 3/25/20 | 8,275 | 9,458 |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 3,925 | 4,350 |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 3,750 | 4,112 |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 2,725 | 3,040 |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 9,350 | 10,261 |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 7,650 | 8,501 |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 9,585 | 11,287 |
KeyCorp | 5.100% | 3/24/21 | 1,900 | 2,189 |
Lloyds TSB Bank plc | 6.375% | 1/21/21 | 4,475 | 5,203 |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 1,100 | 1,290 |
Merrill Lynch & Co. Inc. | 6.875% | 4/25/18 | 10,710 | 12,424 |
102
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Merrill Lynch & Co. Inc. | 6.500% | 7/15/18 | 2,493 | 2,848 |
Merrill Lynch & Co. Inc. | 6.875% | 11/15/18 | 2,225 | 2,580 |
Morgan Stanley | 5.950% | 12/28/17 | 6,625 | 7,093 |
Morgan Stanley | 6.625% | 4/1/18 | 8,500 | 9,345 |
Morgan Stanley | 7.300% | 5/13/19 | 5,140 | 5,769 |
Morgan Stanley | 5.625% | 9/23/19 | 4,465 | 4,625 |
Morgan Stanley | 5.500% | 1/26/20 | 7,750 | 7,913 |
Morgan Stanley | 5.500% | 7/24/20 | 4,220 | 4,313 |
Morgan Stanley | 5.750% | 1/25/21 | 7,700 | 7,946 |
Morgan Stanley | 5.500% | 7/28/21 | 3,200 | 3,278 |
National City Corp. | 6.875% | 5/15/19 | 1,750 | 2,165 |
Northern Trust Corp. | 3.450% | 11/4/20 | 300 | 327 |
Northern Trust Corp. | 3.375% | 8/23/21 | 2,300 | 2,487 |
Northern Trust Corp. | 2.375% | 8/2/22 | 1,275 | 1,266 |
PNC Bank NA | 4.875% | 9/21/17 | 1,375 | 1,554 |
PNC Bank NA | 6.000% | 12/7/17 | 725 | 864 |
PNC Funding Corp. | 6.700% | 6/10/19 | 1,365 | 1,732 |
PNC Funding Corp. | 5.125% | 2/8/20 | 5,225 | 6,163 |
PNC Funding Corp. | 4.375% | 8/11/20 | 2,275 | 2,597 |
PNC Funding Corp. | 3.300% | 3/8/22 | 325 | 343 |
Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 5,775 | 6,399 |
Royal Bank of Scotland plc | 5.625% | 8/24/20 | 2,850 | 3,142 |
Royal Bank of Scotland plc | 6.125% | 1/11/21 | 4,475 | 5,143 |
Sovereign Bank | 8.750% | 5/30/18 | 1,275 | 1,437 |
State Street Corp. | 4.956% | 3/15/18 | 2,975 | 3,288 |
State Street Corp. | 4.375% | 3/7/21 | 750 | 864 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 1,725 | 1,752 |
SunTrust Bank | 7.250% | 3/15/18 | 1,225 | 1,452 |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 940 | 1,081 |
UBS AG | 5.875% | 12/20/17 | 7,625 | 8,863 |
UBS AG | 5.750% | 4/25/18 | 5,745 | 6,639 |
UBS AG | 4.875% | 8/4/20 | 3,900 | 4,352 |
UnionBanCal Corp. | 3.500% | 6/18/22 | 700 | 740 |
US Bancorp | 4.125% | 5/24/21 | 2,875 | 3,260 |
US Bancorp | 3.000% | 3/15/22 | 1,800 | 1,888 |
US Bancorp | 2.950% | 7/15/22 | 2,725 | 2,731 |
Wachovia Bank NA | 6.000% | 11/15/17 | 1,700 | 2,035 |
Wachovia Corp. | 5.750% | 2/1/18 | 7,300 | 8,757 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 7,275 | 8,719 |
Wells Fargo & Co. | 4.600% | 4/1/21 | 7,900 | 9,111 |
Wells Fargo & Co. | 3.500% | 3/8/22 | 3,900 | 4,135 |
Westpac Banking Corp. | 4.875% | 11/19/19 | 6,075 | 6,848 |
Brokerage (0.8%) | ||||
Ameriprise Financial Inc. | 7.300% | 6/28/19 | 500 | 629 |
Ameriprise Financial Inc. | 5.300% | 3/15/20 | 1,450 | 1,673 |
BlackRock Inc. | 6.250% | 9/15/17 | 200 | 245 |
BlackRock Inc. | 5.000% | 12/10/19 | 3,150 | 3,669 |
BlackRock Inc. | 4.250% | 5/24/21 | 1,700 | 1,915 |
BlackRock Inc. | 3.375% | 6/1/22 | 1,650 | 1,743 |
Charles Schwab Corp. | 4.450% | 7/22/20 | 2,150 | 2,436 |
1 Charles Schwab Corp. | 3.225% | 9/1/22 | 575 | 576 |
Jefferies Group Inc. | 5.125% | 4/13/18 | 2,050 | 2,081 |
Jefferies Group Inc. | 8.500% | 7/15/19 | 1,555 | 1,773 |
Jefferies Group Inc. | 6.875% | 4/15/21 | 725 | 768 |
103
Intermediate-Term Corporate Bond Index Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
1 Legg Mason Inc. | 5.500% | 5/21/19 | 1,250 | 1,309 |
Nomura Holdings Inc. | 6.700% | 3/4/20 | 3,325 | 3,824 |
Raymond James Financial Inc. | 8.600% | 8/15/19 | 500 | 627 |
TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 1,000 | 1,154 |
Finance Companies (2.9%) | ||||
1 Discover Financial Services | 5.200% | 4/27/22 | 900 | 972 |
GATX Corp. | 4.750% | 6/15/22 | 975 | 1,009 |
2 GE Capital Trust I | 6.375% | 11/15/67 | 1,675 | 1,765 |
General Electric Capital Corp. | 5.625% | 9/15/17 | 5,340 | 6,308 |
General Electric Capital Corp. | 5.625% | 5/1/18 | 9,259 | 10,968 |
General Electric Capital Corp. | 6.000% | 8/7/19 | 8,550 | 10,366 |
General Electric Capital Corp. | 5.500% | 1/8/20 | 1,200 | 1,426 |
General Electric Capital Corp. | 5.550% | 5/4/20 | 5,643 | 6,726 |
General Electric Capital Corp. | 4.375% | 9/16/20 | 1,550 | 1,722 |
General Electric Capital Corp. | 4.625% | 1/7/21 | 10,175 | 11,504 |
General Electric Capital Corp. | 5.300% | 2/11/21 | 4,950 | 5,680 |
General Electric Capital Corp. | 4.650% | 10/17/21 | 5,675 | 6,473 |
2 General Electric Capital Corp. | 6.375% | 11/15/67 | 2,500 | 2,634 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 7,618 | 8,674 |
SLM Corp. | 8.450% | 6/15/18 | 5,875 | 6,807 |
SLM Corp. | 8.000% | 3/25/20 | 3,250 | 3,696 |
SLM Corp. | 7.250% | 1/25/22 | 1,270 | 1,381 |
Insurance (5.2%) | ||||
ACE INA Holdings Inc. | 5.900% | 6/15/19 | 1,775 | 2,207 |
AEGON Funding Co. LLC | 5.750% | 12/15/20 | 920 | 1,059 |
Aetna Inc. | 6.500% | 9/15/18 | 2,325 | 2,897 |
Aetna Inc. | 3.950% | 9/1/20 | 1,950 | 2,138 |
Aetna Inc. | 4.125% | 6/1/21 | 925 | 1,018 |
Aflac Inc. | 8.500% | 5/15/19 | 800 | 1,075 |
Aflac Inc. | 4.000% | 2/15/22 | 2,300 | 2,497 |
Alleghany Corp. | 5.625% | 9/15/20 | 100 | 111 |
Alleghany Corp. | 4.950% | 6/27/22 | 1,575 | 1,691 |
Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 275 | 300 |
Allstate Corp. | 7.450% | 5/16/19 | 2,825 | 3,687 |
Alterra Finance LLC | 6.250% | 9/30/20 | 320 | 351 |
American Financial Group Inc. | 9.875% | 6/15/19 | 750 | 954 |
American International Group Inc. | 5.850% | 1/16/18 | 5,375 | 6,151 |
American International Group Inc. | 8.250% | 8/15/18 | 6,575 | 8,281 |
American International Group Inc. | 6.400% | 12/15/20 | 4,925 | 5,844 |
American International Group Inc. | 4.875% | 6/1/22 | 2,500 | 2,737 |
Aon Corp. | 5.000% | 9/30/20 | 1,725 | 1,977 |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 100 | 109 |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 2,750 | 3,080 |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 2,525 | 3,046 |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 850 | 966 |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 1,275 | 1,326 |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 2,125 | 2,338 |
Chubb Corp. | 5.750% | 5/15/18 | 1,025 | 1,266 |
Cigna Corp. | 4.375% | 12/15/20 | 425 | 466 |
Cigna Corp. | 4.500% | 3/15/21 | 4,325 | 4,805 |
Cigna Corp. | 4.000% | 2/15/22 | 2,000 | 2,149 |
CNA Financial Corp. | 7.350% | 11/15/19 | 1,764 | 2,160 |
CNA Financial Corp. | 5.875% | 8/15/20 | 600 | 691 |
104
Intermediate-Term Corporate Bond Index Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CNA Financial Corp. | 5.750% | 8/15/21 | 500 | 583 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 1,300 | 1,522 |
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 300 | 310 |
Genworth Financial Inc. | 6.515% | 5/22/18 | 1,625 | 1,653 |
Genworth Financial Inc. | 7.700% | 6/15/20 | 900 | 918 |
Genworth Financial Inc. | 7.200% | 2/15/21 | 225 | 227 |
Genworth Financial Inc. | 7.625% | 9/24/21 | 2,325 | 2,374 |
Hanover Insurance Group Inc. | 6.375% | 6/15/21 | 725 | 798 |
Hartford Financial Services Group Inc. | 4.000% | 10/15/17 | 1,475 | 1,539 |
Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 1,000 | 1,141 |
Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 1,850 | 2,077 |
Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 150 | 165 |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 1,650 | 1,773 |
Humana Inc. | 7.200% | 6/15/18 | 800 | 967 |
1 ING US Inc. | 5.500% | 7/15/22 | 1,600 | 1,632 |
Lincoln National Corp. | 8.750% | 7/1/19 | 1,625 | 2,104 |
Lincoln National Corp. | 4.200% | 3/15/22 | 1,750 | 1,834 |
Manulife Financial Corp. | 4.900% | 9/17/20 | 925 | 1,011 |
Markel Corp. | 7.125% | 9/30/19 | 1,000 | 1,174 |
Markel Corp. | 5.350% | 6/1/21 | 380 | 415 |
Markel Corp. | 4.900% | 7/1/22 | 525 | 560 |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 2,325 | 2,613 |
MetLife Inc. | 6.817% | 8/15/18 | 2,750 | 3,434 |
MetLife Inc. | 7.717% | 2/15/19 | 1,995 | 2,588 |
MetLife Inc. | 4.750% | 2/8/21 | 2,425 | 2,802 |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 3,095 | 3,446 |
Primerica Inc. | 4.750% | 7/15/22 | 750 | 789 |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 800 | 1,058 |
Progressive Corp. | 3.750% | 8/23/21 | 2,400 | 2,623 |
Protective Life Corp. | 7.375% | 10/15/19 | 100 | 119 |
Prudential Financial Inc. | 7.375% | 6/15/19 | 1,625 | 2,033 |
Prudential Financial Inc. | 5.375% | 6/21/20 | 5,660 | 6,522 |
2 Prudential Financial Inc. | 5.875% | 9/15/42 | 1,075 | 1,083 |
2 Prudential Financial Inc. | 8.875% | 6/15/68 | 1,175 | 1,428 |
Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 600 | 695 |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 1,270 | 1,339 |
Swiss Re Solutions Holding Corp. | 6.450% | 3/1/19 | 350 | 401 |
Travelers Cos. Inc. | 5.750% | 12/15/17 | 700 | 858 |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 600 | 737 |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 1,490 | 1,862 |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 2,125 | 2,379 |
UnitedHealth Group Inc. | 6.000% | 2/15/18 | 3,570 | 4,392 |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 1,275 | 1,407 |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 800 | 926 |
UnitedHealth Group Inc. | 3.375% | 11/15/21 | 725 | 774 |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 1,900 | 1,945 |
Unum Group | 5.625% | 9/15/20 | 825 | 910 |
WellPoint Inc. | 5.250% | 1/15/16 | 100 | 112 |
WellPoint Inc. | 7.000% | 2/15/19 | 2,725 | 3,400 |
WellPoint Inc. | 4.350% | 8/15/20 | 1,400 | 1,532 |
WellPoint Inc. | 3.700% | 8/15/21 | 875 | 917 |
WellPoint Inc. | 3.125% | 5/15/22 | 1,525 | 1,509 |
Willis Group Holdings plc | 5.750% | 3/15/21 | 1,550 | 1,732 |
Willis North America Inc. | 7.000% | 9/29/19 | 1,050 | 1,257 |
WR Berkley Corp. | 7.375% | 9/15/19 | 750 | 902 |
105 |
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
WR Berkley Corp. | 5.375% | 9/15/20 | 1,050 | 1,153 |
XLIT Ltd. | 5.750% | 10/1/21 | 1,265 | 1,468 |
Other Finance (0.1%) | ||||
NASDAQ OMX Group Inc. | 5.250% | 1/16/18 | 500 | 538 |
NASDAQ OMX Group Inc. | 5.550% | 1/15/20 | 1,750 | 1,875 |
Real Estate Investment Trusts (2.9%) | ||||
Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 1,125 | 1,186 |
BioMed Realty LP | 4.250% | 7/15/22 | 500 | 521 |
Boston Properties LP | 3.700% | 11/15/18 | 4,665 | 5,003 |
Boston Properties LP | 5.875% | 10/15/19 | 1,350 | 1,596 |
Boston Properties LP | 5.625% | 11/15/20 | 1,075 | 1,262 |
Boston Properties LP | 4.125% | 5/15/21 | 775 | 840 |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 975 | 1,029 |
CommonWealth REIT | 5.875% | 9/15/20 | 1,300 | 1,369 |
CubeSmart LP | 4.800% | 7/15/22 | 575 | 605 |
Digital Realty Trust LP | 5.875% | 2/1/20 | 600 | 685 |
Digital Realty Trust LP | 5.250% | 3/15/21 | 1,160 | 1,272 |
Duke Realty LP | 8.250% | 8/15/19 | 1,050 | 1,327 |
Duke Realty LP | 6.750% | 3/15/20 | 1,350 | 1,625 |
Entertainment Properties Trust | 5.750% | 8/15/22 | 1,300 | 1,311 |
ERP Operating LP | 4.750% | 7/15/20 | 2,550 | 2,892 |
ERP Operating LP | 4.625% | 12/15/21 | 2,450 | 2,823 |
1 Essex Portfolio LP | 3.625% | 8/15/22 | 800 | 801 |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 575 | 575 |
HCP Inc. | 6.700% | 1/30/18 | 2,550 | 3,041 |
HCP Inc. | 3.750% | 2/1/19 | 1,000 | 1,041 |
HCP Inc. | 5.375% | 2/1/21 | 2,075 | 2,368 |
HCP Inc. | 3.150% | 8/1/22 | 50 | 49 |
Health Care REIT Inc. | 4.700% | 9/15/17 | 3,725 | 4,047 |
Health Care REIT Inc. | 4.125% | 4/1/19 | 900 | 946 |
Health Care REIT Inc. | 4.950% | 1/15/21 | 1,060 | 1,144 |
Health Care REIT Inc. | 5.250% | 1/15/22 | 1,915 | 2,138 |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 800 | 881 |
Hospitality Properties Trust | 6.700% | 1/15/18 | 1,125 | 1,259 |
Hospitality Properties Trust | 5.000% | 8/15/22 | 725 | 745 |
Kilroy Realty LP | 4.800% | 7/15/18 | 950 | 1,041 |
Kimco Realty Corp. | 5.783% | 3/15/16 | 1,100 | 1,234 |
Kimco Realty Corp. | 6.875% | 10/1/19 | 450 | 549 |
Liberty Property LP | 6.625% | 10/1/17 | 250 | 294 |
Liberty Property LP | 4.750% | 10/1/20 | 1,320 | 1,432 |
Liberty Property LP | 4.125% | 6/15/22 | 2,400 | 2,512 |
Mack-Cali Realty LP | 7.750% | 8/15/19 | 1,275 | 1,576 |
Mack-Cali Realty LP | 4.500% | 4/18/22 | 200 | 212 |
National Retail Properties Inc. | 6.875% | 10/15/17 | 1,250 | 1,489 |
National Retail Properties Inc. | 3.800% | 10/15/22 | 325 | 331 |
ProLogis LP | 6.625% | 5/15/18 | 3,500 | 4,139 |
ProLogis LP | 7.375% | 10/30/19 | 450 | 558 |
ProLogis LP | 6.875% | 3/15/20 | 1,675 | 2,021 |
Realty Income Corp. | 6.750% | 8/15/19 | 1,000 | 1,213 |
Realty Income Corp. | 5.750% | 1/15/21 | 450 | 526 |
Simon Property Group LP | 2.150% | 9/15/17 | 650 | 670 |
Simon Property Group LP | 6.125% | 5/30/18 | 1,775 | 2,157 |
Simon Property Group LP | 10.350% | 4/1/19 | 1,250 | 1,795 |
106
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Simon Property Group LP | 5.650% | 2/1/20 | 4,324 | 5,183 |
Simon Property Group LP | 4.375% | 3/1/21 | 1,525 | 1,711 |
Simon Property Group LP | 4.125% | 12/1/21 | 2,150 | 2,372 |
Simon Property Group LP | 3.375% | 3/15/22 | 800 | 844 |
UDR Inc. | 4.250% | 6/1/18 | 1,125 | 1,229 |
UDR Inc. | 4.625% | 1/10/22 | 500 | 551 |
Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 1,825 | 1,944 |
Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 2,495 | 2,735 |
Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 650 | 695 |
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 275 | 272 |
Vornado Realty LP | 5.000% | 1/15/22 | 700 | 767 |
Washington REIT | 4.950% | 10/1/20 | 425 | 463 |
933,699 | ||||
Industrial (56.2%) | ||||
Basic Industry (7.0%) | ||||
Agrium Inc. | 6.750% | 1/15/19 | 250 | 313 |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 1,225 | 1,298 |
Albemarle Corp. | 4.500% | 12/15/20 | 125 | 139 |
Alcoa Inc. | 6.500% | 6/15/18 | 865 | 974 |
Alcoa Inc. | 6.750% | 7/15/18 | 2,525 | 2,880 |
Alcoa Inc. | 5.720% | 2/23/19 | 2,000 | 2,147 |
Alcoa Inc. | 6.150% | 8/15/20 | 1,625 | 1,760 |
Alcoa Inc. | 5.400% | 4/15/21 | 4,100 | 4,227 |
Allegheny Technologies Inc. | 9.375% | 6/1/19 | 900 | 1,161 |
Allegheny Technologies Inc. | 5.950% | 1/15/21 | 265 | 288 |
AngloGold Ashanti Holdings plc | 5.375% | 4/15/20 | 2,200 | 2,330 |
AngloGold Ashanti Holdings plc | 5.125% | 8/1/22 | 1,175 | 1,196 |
ArcelorMittal | 6.125% | 6/1/18 | 3,000 | 3,013 |
ArcelorMittal | 10.100% | 6/1/19 | 3,150 | 3,612 |
ArcelorMittal | 5.500% | 8/5/20 | 3,650 | 3,511 |
ArcelorMittal | 5.750% | 3/1/21 | 4,750 | 4,475 |
ArcelorMittal | 6.500% | 2/25/22 | 1,500 | 1,461 |
Barrick Gold Corp. | 6.950% | 4/1/19 | 725 | 901 |
Barrick Gold Corp. | 3.850% | 4/1/22 | 3,275 | 3,380 |
Barrick North America Finance LLC | 6.800% | 9/15/18 | 2,300 | 2,857 |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 4,200 | 4,553 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 3,175 | 4,065 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 3,950 | 4,188 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 2,300 | 2,362 |
Cabot Corp. | 2.550% | 1/15/18 | 500 | 509 |
Cabot Corp. | 3.700% | 7/15/22 | 650 | 668 |
Carpenter Technology Corp. | 5.200% | 7/15/21 | 200 | 212 |
Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 2,675 | 3,221 |
Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 350 | 371 |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 1,175 | 1,236 |
CF Industries Inc. | 6.875% | 5/1/18 | 875 | 1,059 |
CF Industries Inc. | 7.125% | 5/1/20 | 3,165 | 3,933 |
Cliffs Natural Resources Inc. | 5.900% | 3/15/20 | 800 | 839 |
Cliffs Natural Resources Inc. | 4.800% | 10/1/20 | 1,600 | 1,616 |
Cliffs Natural Resources Inc. | 4.875% | 4/1/21 | 2,200 | 2,143 |
Dow Chemical Co. | 5.700% | 5/15/18 | 4,290 | 5,170 |
Dow Chemical Co. | 8.550% | 5/15/19 | 3,325 | 4,488 |
Dow Chemical Co. | 4.250% | 11/15/20 | 5,550 | 6,095 |
Dow Chemical Co. | 4.125% | 11/15/21 | 2,669 | 2,921 |
Eastman Chemical Co. | 5.500% | 11/15/19 | 1,525 | 1,797 |
107
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Eastman Chemical Co. | 4.500% | 1/15/21 | 550 | 610 |
Eastman Chemical Co. | 3.600% | 8/15/22 | 1,125 | 1,182 |
Ecolab Inc. | 4.350% | 12/8/21 | 3,700 | 4,199 |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 3,625 | 4,569 |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 2,175 | 2,567 |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 2,100 | 2,328 |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 2,000 | 2,330 |
FMC Corp. | 3.950% | 2/1/22 | 750 | 800 |
Freeport-McMoRan Copper & Gold Inc. | 3.550% | 3/1/22 | 4,275 | 4,257 |
International Paper Co. | 7.950% | 6/15/18 | 4,500 | 5,800 |
International Paper Co. | 9.375% | 5/15/19 | 2,225 | 3,014 |
International Paper Co. | 7.500% | 8/15/21 | 4,076 | 5,317 |
Kinross Gold Corp. | 5.125% | 9/1/21 | 850 | 867 |
Lubrizol Corp. | 8.875% | 2/1/19 | 1,175 | 1,637 |
Monsanto Co. | 5.125% | 4/15/18 | 1,400 | 1,674 |
Mosaic Co. | 3.750% | 11/15/21 | 700 | 749 |
Newmont Mining Corp. | 5.125% | 10/1/19 | 1,875 | 2,145 |
Newmont Mining Corp. | 3.500% | 3/15/22 | 4,275 | 4,301 |
Nucor Corp. | 5.750% | 12/1/17 | 1,700 | 2,070 |
Packaging Corp. of America | 3.900% | 6/15/22 | 1,175 | 1,215 |
Plum Creek Timberlands LP | 4.700% | 3/15/21 | 1,150 | 1,222 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 2,050 | 2,243 |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 100 | 127 |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 1,725 | 2,031 |
PPG Industries Inc. | 6.650% | 3/15/18 | 400 | 494 |
PPG Industries Inc. | 3.600% | 11/15/20 | 2,645 | 2,838 |
Praxair Inc. | 4.500% | 8/15/19 | 300 | 349 |
Praxair Inc. | 4.050% | 3/15/21 | 2,600 | 2,960 |
Praxair Inc. | 3.000% | 9/1/21 | 2,500 | 2,672 |
Praxair Inc. | 2.200% | 8/15/22 | 1,600 | 1,583 |
Rayonier Inc. | 3.750% | 4/1/22 | 725 | 748 |
Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 6,085 | 7,595 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 3,800 | 5,220 |
Rio Tinto Finance USA Ltd. | 3.500% | 11/2/20 | 1,000 | 1,054 |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 2,350 | 2,640 |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 3,400 | 3,650 |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 1,425 | 1,489 |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 1,900 | 1,869 |
Rohm & Haas Co. | 6.000% | 9/15/17 | 100 | 118 |
RPM International Inc. | 6.125% | 10/15/19 | 750 | 872 |
Sigma-Aldrich Corp. | 3.375% | 11/1/20 | 240 | 262 |
Southern Copper Corp. | 5.375% | 4/16/20 | 800 | 899 |
Syngenta Finance NV | 3.125% | 3/28/22 | 900 | 946 |
Teck Resources Ltd. | 2.500% | 2/1/18 | 750 | 754 |
Teck Resources Ltd. | 3.000% | 3/1/19 | 775 | 772 |
Teck Resources Ltd. | 10.750% | 5/15/19 | 2,237 | 2,729 |
Teck Resources Ltd. | 4.500% | 1/15/21 | 1,100 | 1,161 |
Teck Resources Ltd. | 4.750% | 1/15/22 | 1,425 | 1,532 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 3,700 | 4,117 |
Vale Overseas Ltd. | 4.625% | 9/15/20 | 4,600 | 4,836 |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 2,815 | 2,878 |
Valspar Corp. | 7.250% | 6/15/19 | 425 | 526 |
Valspar Corp. | 4.200% | 1/15/22 | 1,775 | 1,914 |
Westlake Chemical Corp. | 3.600% | 7/15/22 | 200 | 201 |
108 |
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Capital Goods (5.8%) | ||||
3M Co. | 2.000% | 6/26/22 | 1,000 | 998 |
ABB Finance USA Inc. | 2.875% | 5/8/22 | 2,125 | 2,200 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 200 | 232 |
1 ADT Corp. | 3.500% | 7/15/22 | 2,675 | 2,753 |
Bemis Co. Inc. | 4.500% | 10/15/21 | 2,625 | 2,892 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 300 | 327 |
Boeing Co. | 6.000% | 3/15/19 | 1,025 | 1,294 |
Boeing Co. | 4.875% | 2/15/20 | 4,075 | 4,943 |
Boeing Co. | 8.750% | 8/15/21 | 300 | 447 |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 3,000 | 3,629 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 3,775 | 4,960 |
Caterpillar Inc. | 7.900% | 12/15/18 | 3,775 | 5,135 |
Caterpillar Inc. | 3.900% | 5/27/21 | 3,425 | 3,925 |
Caterpillar Inc. | 2.600% | 6/26/22 | 850 | 880 |
Cooper US Inc. | 3.875% | 12/15/20 | 1,400 | 1,534 |
CRH America Inc. | 4.125% | 1/15/16 | 1,000 | 1,031 |
CRH America Inc. | 8.125% | 7/15/18 | 600 | 729 |
CRH America Inc. | 5.750% | 1/15/21 | 700 | 764 |
Danaher Corp. | 5.400% | 3/1/19 | 2,350 | 2,862 |
Danaher Corp. | 3.900% | 6/23/21 | 1,375 | 1,564 |
Deere & Co. | 4.375% | 10/16/19 | 2,425 | 2,818 |
Deere & Co. | 2.600% | 6/8/22 | 1,650 | 1,700 |
Dover Corp. | 4.300% | 3/1/21 | 1,750 | 2,040 |
Eaton Corp. | 5.600% | 5/15/18 | 1,000 | 1,192 |
Eaton Corp. | 6.950% | 3/20/19 | 1,085 | 1,390 |
Embraer Overseas Ltd. | 6.375% | 1/15/20 | 1,275 | 1,448 |
Embraer SA | 5.150% | 6/15/22 | 925 | 973 |
Emerson Electric Co. | 4.875% | 10/15/19 | 2,365 | 2,846 |
Emerson Electric Co. | 4.250% | 11/15/20 | 1,075 | 1,246 |
Exelis Inc. | 5.550% | 10/1/21 | 1,200 | 1,315 |
General Dynamics Corp. | 3.875% | 7/15/21 | 1,150 | 1,309 |
General Electric Co. | 5.250% | 12/6/17 | 9,600 | 11,400 |
Goodrich Corp. | 4.875% | 3/1/20 | 1,100 | 1,306 |
Goodrich Corp. | 3.600% | 2/1/21 | 2,775 | 3,077 |
Harsco Corp. | 5.750% | 5/15/18 | 1,725 | 1,902 |
Honeywell International Inc. | 5.300% | 3/1/18 | 2,500 | 3,042 |
Honeywell International Inc. | 5.000% | 2/15/19 | 500 | 600 |
Honeywell International Inc. | 4.250% | 3/1/21 | 3,642 | 4,290 |
IDEX Corp. | 4.200% | 12/15/21 | 600 | 628 |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 925 | 1,153 |
Illinois Tool Works Inc. | 3.375% | 9/15/21 | 977 | 1,046 |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 1,724 | 2,130 |
John Deere Capital Corp. | 2.800% | 9/18/17 | 1,000 | 1,082 |
John Deere Capital Corp. | 5.350% | 4/3/18 | 1,050 | 1,255 |
John Deere Capital Corp. | 2.250% | 4/17/19 | 1,750 | 1,830 |
John Deere Capital Corp. | 3.900% | 7/12/21 | 1,200 | 1,348 |
John Deere Capital Corp. | 3.150% | 10/15/21 | 3,550 | 3,805 |
John Deere Capital Corp. | 2.750% | 3/15/22 | 675 | 699 |
Joy Global Inc. | 5.125% | 10/15/21 | 1,800 | 1,982 |
Kennametal Inc. | 3.875% | 2/15/22 | 350 | 366 |
L-3 Communications Corp. | 5.200% | 10/15/19 | 875 | 982 |
L-3 Communications Corp. | 4.750% | 7/15/20 | 3,550 | 3,877 |
L-3 Communications Corp. | 4.950% | 2/15/21 | 2,150 | 2,371 |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 3,925 | 4,429 |
109
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 2,375 | 2,499 |
Northrop Grumman Corp. | 5.050% | 8/1/19 | 1,275 | 1,494 |
Northrop Grumman Corp. | 3.500% | 3/15/21 | 1,100 | 1,181 |
Parker Hannifin Corp. | 5.500% | 5/15/18 | 425 | 511 |
Raytheon Co. | 6.750% | 3/15/18 | 250 | 312 |
Raytheon Co. | 4.400% | 2/15/20 | 125 | 145 |
Raytheon Co. | 3.125% | 10/15/20 | 4,125 | 4,438 |
Republic Services Inc. | 3.800% | 5/15/18 | 3,375 | 3,704 |
Republic Services Inc. | 5.500% | 9/15/19 | 1,425 | 1,688 |
Republic Services Inc. | 5.000% | 3/1/20 | 675 | 783 |
Republic Services Inc. | 5.250% | 11/15/21 | 1,650 | 1,954 |
Republic Services Inc. | 3.550% | 6/1/22 | 2,325 | 2,437 |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 1,359 | 1,446 |
Roper Industries Inc. | 6.250% | 9/1/19 | 1,100 | 1,332 |
Snap-on Inc. | 6.125% | 9/1/21 | 210 | 259 |
Sonoco Products Co. | 4.375% | 11/1/21 | 775 | 824 |
Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 2,300 | 2,399 |
Textron Inc. | 5.600% | 12/1/17 | 800 | 889 |
Textron Inc. | 7.250% | 10/1/19 | 850 | 1,013 |
Tyco International Finance SA | 8.500% | 1/15/19 | 2,008 | 2,698 |
Tyco International Ltd. / | ||||
Tyco International Finance SA | 6.875% | 1/15/21 | 200 | 264 |
United Technologies Corp. | 5.375% | 12/15/17 | 2,610 | 3,173 |
United Technologies Corp. | 6.125% | 2/1/19 | 2,525 | 3,182 |
United Technologies Corp. | 4.500% | 4/15/20 | 6,300 | 7,449 |
United Technologies Corp. | 3.100% | 6/1/22 | 3,250 | 3,448 |
Waste Management Inc. | 6.100% | 3/15/18 | 2,000 | 2,396 |
Waste Management Inc. | 7.375% | 3/11/19 | 750 | 962 |
Waste Management Inc. | 4.750% | 6/30/20 | 2,425 | 2,795 |
Waste Management Inc. | 4.600% | 3/1/21 | 450 | 520 |
Xylem Inc. | 4.875% | 10/1/21 | 1,850 | 2,093 |
Communication (8.8%) | ||||
America Movil SAB de CV | 5.625% | 11/15/17 | 1,125 | 1,333 |
America Movil SAB de CV | 5.000% | 10/16/19 | 1,100 | 1,282 |
America Movil SAB de CV | 5.000% | 3/30/20 | 5,275 | 6,159 |
America Movil SAB de CV | 3.125% | 7/16/22 | 3,500 | 3,589 |
American Tower Corp. | 7.000% | 10/15/17 | 1,500 | 1,776 |
American Tower Corp. | 4.500% | 1/15/18 | 4,075 | 4,475 |
American Tower Corp. | 5.050% | 9/1/20 | 1,275 | 1,388 |
American Tower Corp. | 5.900% | 11/1/21 | 500 | 582 |
American Tower Corp. | 4.700% | 3/15/22 | 450 | 487 |
AT&T Inc. | 5.500% | 2/1/18 | 8,115 | 9,827 |
AT&T Inc. | 5.600% | 5/15/18 | 4,300 | 5,259 |
AT&T Inc. | 5.800% | 2/15/19 | 4,025 | 5,002 |
AT&T Inc. | 4.450% | 5/15/21 | 2,350 | 2,757 |
AT&T Inc. | 3.875% | 8/15/21 | 3,125 | 3,520 |
AT&T Inc. | 3.000% | 2/15/22 | 3,825 | 4,023 |
British Telecommunications plc | 5.950% | 1/15/18 | 3,750 | 4,471 |
CBS Corp. | 4.625% | 5/15/18 | 525 | 598 |
CBS Corp. | 8.875% | 5/15/19 | 1,000 | 1,346 |
CBS Corp. | 5.750% | 4/15/20 | 1,815 | 2,179 |
CBS Corp. | 4.300% | 2/15/21 | 950 | 1,052 |
CBS Corp. | 3.375% | 3/1/22 | 2,200 | 2,285 |
Cellco Partnership / Verizon Wireless Capital LLC | 8.500% | 11/15/18 | 6,600 | 9,241 |
110
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CenturyLink Inc. | 6.450% | 6/15/21 | 5,175 | 5,791 |
CenturyLink Inc. | 5.800% | 3/15/22 | 2,000 | 2,138 |
Comcast Corp. | 6.300% | 11/15/17 | 3,650 | 4,495 |
Comcast Corp. | 5.875% | 2/15/18 | 1,600 | 1,938 |
Comcast Corp. | 5.700% | 5/15/18 | 3,900 | 4,726 |
Comcast Corp. | 5.700% | 7/1/19 | 2,590 | 3,142 |
Comcast Corp. | 5.150% | 3/1/20 | 950 | 1,131 |
Comcast Corp. | 3.125% | 7/15/22 | 2,025 | 2,111 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 1,500 | 1,858 |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 3,000 | 3,639 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 5.875% | 10/1/19 | 5,400 | 6,381 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 5.200% | 3/15/20 | 3,615 | 4,107 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 4.600% | 2/15/21 | 2,320 | 2,544 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 5.000% | 3/1/21 | 1,750 | 1,968 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 3.800% | 3/15/22 | 2,100 | 2,176 |
Discovery Communications LLC | 5.625% | 8/15/19 | 160 | 193 |
Discovery Communications LLC | 5.050% | 6/1/20 | 4,025 | 4,695 |
Discovery Communications LLC | 4.375% | 6/15/21 | 1,850 | 2,076 |
Discovery Communications LLC | 3.300% | 5/15/22 | 325 | 336 |
France Telecom SA | 5.375% | 7/8/19 | 1,650 | 1,912 |
France Telecom SA | 4.125% | 9/14/21 | 3,850 | 4,189 |
Grupo Televisa SAB | 6.000% | 5/15/18 | 1,150 | 1,354 |
GTE Corp. | 6.840% | 4/15/18 | 750 | 950 |
GTE Corp. | 8.750% | 11/1/21 | 1,175 | 1,692 |
McGraw-Hill Cos. Inc. | 5.900% | 11/15/17 | 750 | 882 |
Moody’s Corp. | 5.500% | 9/1/20 | 775 | 865 |
Moody’s Corp. | 4.500% | 9/1/22 | 1,150 | 1,195 |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 5,615 | 6,622 |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 3,840 | 4,331 |
News America Inc. | 6.900% | 3/1/19 | 2,525 | 3,194 |
News America Inc. | 5.650% | 8/15/20 | 500 | 609 |
News America Inc. | 4.500% | 2/15/21 | 3,850 | 4,406 |
Omnicom Group Inc. | 6.250% | 7/15/19 | 150 | 183 |
Omnicom Group Inc. | 4.450% | 8/15/20 | 2,850 | 3,161 |
Omnicom Group Inc. | 3.625% | 5/1/22 | 3,200 | 3,357 |
Qwest Communications International Inc. | 7.125% | 4/1/18 | 600 | 638 |
Qwest Corp. | 6.750% | 12/1/21 | 2,325 | 2,753 |
Reed Elsevier Capital Inc. | 8.625% | 1/15/19 | 1,700 | 2,181 |
Rogers Communications Inc. | 6.800% | 8/15/18 | 3,400 | 4,265 |
Telecom Italia Capital SA | 6.999% | 6/4/18 | 3,375 | 3,548 |
Telecom Italia Capital SA | 7.175% | 6/18/19 | 3,000 | 3,161 |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 1,835 | 1,785 |
Telefonica Emisiones SAU | 5.134% | 4/27/20 | 2,900 | 2,688 |
Telefonica Emisiones SAU | 5.462% | 2/16/21 | 3,475 | 3,217 |
Telefonos de Mexico SAB de CV | 5.500% | 11/15/19 | 500 | 593 |
Thomson Reuters Corp. | 6.500% | 7/15/18 | 1,500 | 1,868 |
Thomson Reuters Corp. | 4.700% | 10/15/19 | 2,225 | 2,544 |
Thomson Reuters Corp. | 3.950% | 9/30/21 | 1,200 | 1,304 |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 5,100 | 6,376 |
Time Warner Cable Inc. | 8.750% | 2/14/19 | 3,000 | 4,070 |
111
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 4,200 | 5,605 |
Time Warner Cable Inc. | 5.000% | 2/1/20 | 2,425 | 2,807 |
Time Warner Cable Inc. | 4.125% | 2/15/21 | 2,150 | 2,374 |
Time Warner Cable Inc. | 4.000% | 9/1/21 | 2,516 | 2,758 |
Verizon Communications Inc. | 5.500% | 2/15/18 | 4,875 | 5,925 |
Verizon Communications Inc. | 6.100% | 4/15/18 | 2,100 | 2,620 |
Verizon Communications Inc. | 8.750% | 11/1/18 | 6,900 | 9,677 |
Verizon Communications Inc. | 6.350% | 4/1/19 | 3,575 | 4,570 |
Verizon Communications Inc. | 4.600% | 4/1/21 | 1,950 | 2,306 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 4,300 | 4,730 |
Virgin Media Secured Finance plc | 6.500% | 1/15/18 | 1,500 | 1,640 |
Virgin Media Secured Finance plc | 5.250% | 1/15/21 | 1,700 | 1,953 |
Vodafone Group plc | 4.625% | 7/15/18 | 1,325 | 1,526 |
Vodafone Group plc | 5.450% | 6/10/19 | 3,130 | 3,820 |
Vodafone Group plc | 4.375% | 3/16/21 | 675 | 785 |
Washington Post Co. | 7.250% | 2/1/19 | 600 | 715 |
WPP Finance 2010 | 4.750% | 11/21/21 | 775 | 847 |
Consumer Cyclical (5.5%) | ||||
Advance Auto Parts Inc. | 4.500% | 1/15/22 | 1,075 | 1,147 |
AutoZone Inc. | 7.125% | 8/1/18 | 800 | 1,003 |
AutoZone Inc. | 4.000% | 11/15/20 | 750 | 816 |
AutoZone Inc. | 3.700% | 4/15/22 | 1,000 | 1,052 |
BorgWarner Inc. | 4.625% | 9/15/20 | 75 | 83 |
CVS Caremark Corp. | 6.600% | 3/15/19 | 300 | 385 |
CVS Caremark Corp. | 4.750% | 5/18/20 | 1,850 | 2,152 |
CVS Caremark Corp. | 4.125% | 5/15/21 | 3,450 | 3,919 |
Darden Restaurants Inc. | 6.200% | 10/15/17 | 775 | 902 |
Darden Restaurants Inc. | 4.500% | 10/15/21 | 625 | 667 |
eBay Inc. | 3.250% | 10/15/20 | 2,400 | 2,576 |
eBay Inc. | 2.600% | 7/15/22 | 1,350 | 1,361 |
Expedia Inc. | 7.456% | 8/15/18 | 350 | 410 |
Expedia Inc. | 5.950% | 8/15/20 | 2,650 | 2,903 |
Family Dollar Stores Inc. | 5.000% | 2/1/21 | 565 | 612 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 6,275 | 6,746 |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 3,950 | 4,893 |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 2,875 | 3,155 |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 3,850 | 4,258 |
Gap Inc. | 5.950% | 4/12/21 | 2,125 | 2,295 |
Historic TW Inc. | 6.875% | 6/15/18 | 2,314 | 2,906 |
Home Depot Inc. | 3.950% | 9/15/20 | 1,000 | 1,141 |
Home Depot Inc. | 4.400% | 4/1/21 | 3,200 | 3,773 |
Hyatt Hotels Corp. | 5.375% | 8/15/21 | 150 | 169 |
International Game Technology | 7.500% | 6/15/19 | 1,350 | 1,614 |
International Game Technology | 5.500% | 6/15/20 | 50 | 55 |
Johnson Controls Inc. | 5.000% | 3/30/20 | 725 | 830 |
Johnson Controls Inc. | 4.250% | 3/1/21 | 200 | 220 |
Johnson Controls Inc. | 3.750% | 12/1/21 | 2,175 | 2,314 |
Kohl’s Corp. | 6.250% | 12/15/17 | 750 | 915 |
Kohl’s Corp. | 4.000% | 11/1/21 | 3,300 | 3,523 |
Lowe’s Cos. Inc. | 6.100% | 9/15/17 | 500 | 602 |
Lowe’s Cos. Inc. | 4.625% | 4/15/20 | 1,775 | 2,045 |
Lowe’s Cos. Inc. | 3.750% | 4/15/21 | 750 | 820 |
Lowe’s Cos. Inc. | 3.800% | 11/15/21 | 849 | 940 |
Lowe’s Cos. Inc. | 3.120% | 4/15/22 | 1,000 | 1,045 |
112
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Macy’s Retail Holdings Inc. | 3.875% | 1/15/22 | 1,750 | 1,887 |
Marriott International Inc. | 3.000% | 3/1/19 | 1,450 | 1,486 |
McDonald’s Corp. | 5.800% | 10/15/17 | 1,150 | 1,409 |
McDonald’s Corp. | 5.350% | 3/1/18 | 3,350 | 4,062 |
McDonald’s Corp. | 5.000% | 2/1/19 | 645 | 775 |
McDonald’s Corp. | 3.500% | 7/15/20 | 1,500 | 1,686 |
McDonald’s Corp. | 3.625% | 5/20/21 | 750 | 847 |
McDonald’s Corp. | 2.625% | 1/15/22 | 3,250 | 3,430 |
Nordstrom Inc. | 6.250% | 1/15/18 | 1,192 | 1,449 |
Nordstrom Inc. | 4.750% | 5/1/20 | 600 | 699 |
Nordstrom Inc. | 4.000% | 10/15/21 | 2,125 | 2,397 |
O’Reilly Automotive Inc. | 4.875% | 1/14/21 | 1,235 | 1,382 |
O’Reilly Automotive Inc. | 4.625% | 9/15/21 | 375 | 411 |
O’Reilly Automotive Inc. | 3.800% | 9/1/22 | 700 | 723 |
1 QVC Inc. | 5.125% | 7/2/22 | 1,125 | 1,173 |
Starwood Hotels & Resorts Worldwide Inc. | 6.750% | 5/15/18 | 1,150 | 1,354 |
Target Corp. | 6.000% | 1/15/18 | 2,900 | 3,586 |
Target Corp. | 3.875% | 7/15/20 | 500 | 567 |
Target Corp. | 2.900% | 1/15/22 | 5,125 | 5,430 |
Time Warner Inc. | 4.875% | 3/15/20 | 3,424 | 3,940 |
Time Warner Inc. | 4.700% | 1/15/21 | 2,175 | 2,480 |
Time Warner Inc. | 4.750% | 3/29/21 | 2,125 | 2,438 |
Time Warner Inc. | 4.000% | 1/15/22 | 1,125 | 1,234 |
Time Warner Inc. | 3.400% | 6/15/22 | 1,200 | 1,259 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 1,525 | 1,956 |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 1,625 | 1,890 |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 625 | 717 |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 2,125 | 2,318 |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 2,475 | 2,671 |
VF Corp. | 3.500% | 9/1/21 | 2,600 | 2,807 |
Viacom Inc. | 6.125% | 10/5/17 | 800 | 966 |
Viacom Inc. | 5.625% | 9/15/19 | 2,000 | 2,386 |
Viacom Inc. | 4.500% | 3/1/21 | 2,305 | 2,604 |
Viacom Inc. | 3.875% | 12/15/21 | 875 | 951 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 3,650 | 4,547 |
Wal-Mart Stores Inc. | 4.125% | 2/1/19 | 265 | 304 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 4,175 | 4,693 |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 4,715 | 5,191 |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 2,100 | 2,469 |
Walgreen Co. | 5.250% | 1/15/19 | 2,015 | 2,338 |
Walt Disney Co. | 3.750% | 6/1/21 | 4,100 | 4,608 |
Walt Disney Co. | 2.750% | 8/16/21 | 750 | 787 |
Walt Disney Co. | 2.550% | 2/15/22 | 800 | 823 |
Western Union Co. | 3.650% | 8/22/18 | 650 | 720 |
Western Union Co. | 5.253% | 4/1/20 | 600 | 698 |
Wyndham Worldwide Corp. | 5.750% | 2/1/18 | 2,000 | 2,238 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 875 | 885 |
Yum! Brands Inc. | 6.250% | 3/15/18 | 1,600 | 1,917 |
Yum! Brands Inc. | 5.300% | 9/15/19 | 900 | 1,057 |
Yum! Brands Inc. | 3.875% | 11/1/20 | 1,375 | 1,491 |
Consumer Noncyclical (14.5%) | ||||
Abbott Laboratories | 5.600% | 11/30/17 | 3,550 | 4,354 |
Abbott Laboratories | 5.125% | 4/1/19 | 4,100 | 4,943 |
Abbott Laboratories | 4.125% | 5/27/20 | 2,660 | 3,068 |
113
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Allergan Inc. | 3.375% | 9/15/20 | 1,125 | 1,217 |
Altria Group Inc. | 9.700% | 11/10/18 | 8,732 | 12,582 |
Altria Group Inc. | 9.250% | 8/6/19 | 3,824 | 5,423 |
Altria Group Inc. | 4.750% | 5/5/21 | 3,974 | 4,585 |
Altria Group Inc. | 2.850% | 8/9/22 | 3,050 | 3,031 |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 1,720 | 2,009 |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 1,000 | 1,086 |
Amgen Inc. | 5.700% | 2/1/19 | 2,920 | 3,475 |
Amgen Inc. | 3.450% | 10/1/20 | 1,375 | 1,448 |
Amgen Inc. | 4.100% | 6/15/21 | 5,600 | 6,161 |
Amgen Inc. | 3.875% | 11/15/21 | 5,225 | 5,645 |
Amgen Inc. | 3.625% | 5/15/22 | 1,100 | 1,163 |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 2,925 | 3,528 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 6,040 | 8,132 |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 1,150 | 1,523 |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 3,875 | 4,750 |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 2,125 | 2,556 |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 1,950 | 2,283 |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 7,325 | 7,419 |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 500 | 602 |
Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 2,925 | 3,379 |
AstraZeneca plc | 5.900% | 9/15/17 | 3,750 | 4,590 |
Avon Products Inc. | 6.500% | 3/1/19 | 1,800 | 1,901 |
Baxter International Inc. | 4.500% | 8/15/19 | 1,450 | 1,700 |
Baxter International Inc. | 4.250% | 3/15/20 | 1,400 | 1,605 |
Baxter International Inc. | 2.400% | 8/15/22 | 1,125 | 1,136 |
Beam Inc. | 3.250% | 5/15/22 | 475 | 492 |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 2,460 | 2,683 |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 3,250 | 3,483 |
Biogen Idec Inc. | 6.875% | 3/1/18 | 1,625 | 2,003 |
Boston Scientific Corp. | 6.000% | 1/15/20 | 2,675 | 3,201 |
Bottling Group LLC | 5.125% | 1/15/19 | 2,815 | 3,365 |
Bristol-Myers Squibb Co. | 5.450% | 5/1/18 | 1,155 | 1,406 |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 2,450 | 2,380 |
Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 1,450 | 1,838 |
Campbell Soup Co. | 4.500% | 2/15/19 | 700 | 805 |
Campbell Soup Co. | 4.250% | 4/15/21 | 825 | 939 |
Campbell Soup Co. | 2.500% | 8/2/22 | 1,575 | 1,572 |
Cardinal Health Inc. | 4.625% | 12/15/20 | 825 | 942 |
Cardinal Health Inc. | 3.200% | 6/15/22 | 1,200 | 1,232 |
CareFusion Corp. | 6.375% | 8/1/19 | 1,950 | 2,345 |
Celgene Corp. | 3.950% | 10/15/20 | 890 | 953 |
Celgene Corp. | 3.250% | 8/15/22 | 2,300 | 2,313 |
Clorox Co. | 5.950% | 10/15/17 | 260 | 310 |
Clorox Co. | 3.800% | 11/15/21 | 1,358 | 1,456 |
Coca-Cola Co. | 5.350% | 11/15/17 | 3,275 | 3,973 |
Coca-Cola Co. | 1.650% | 3/14/18 | 1,275 | 1,315 |
Coca-Cola Co. | 4.875% | 3/15/19 | 1,350 | 1,613 |
Coca-Cola Co. | 3.150% | 11/15/20 | 3,500 | 3,816 |
Coca-Cola Co. | 3.300% | 9/1/21 | 3,500 | 3,856 |
Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 2,950 | 3,123 |
Coca-Cola Enterprises Inc. | 3.250% | 8/19/21 | 425 | 445 |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 975 | 1,108 |
Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 975 | 1,421 |
Colgate-Palmolive Co. | 2.450% | 11/15/21 | 375 | 390 |
114
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Colgate-Palmolive Co. | 2.300% | 5/3/22 | 1,300 | 1,320 |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 1,475 | 1,856 |
Covidien International Finance SA | 6.000% | 10/15/17 | 2,600 | 3,162 |
Covidien International Finance SA | 4.200% | 6/15/20 | 825 | 933 |
Covidien International Finance SA | 3.200% | 6/15/22 | 2,275 | 2,412 |
CR Bard Inc. | 4.400% | 1/15/21 | 1,470 | 1,702 |
Delhaize Group SA | 4.125% | 4/10/19 | 400 | 387 |
DENTSPLY International Inc. | 4.125% | 8/15/21 | 1,130 | 1,192 |
Diageo Capital plc | 5.750% | 10/23/17 | 3,875 | 4,741 |
Diageo Capital plc | 4.828% | 7/15/20 | 2,010 | 2,362 |
Diageo Investment Corp. | 2.875% | 5/11/22 | 1,400 | 1,460 |
Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 770 | 954 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 175 | 180 |
Dr Pepper Snapple Group Inc. | 3.200% | 11/15/21 | 1,475 | 1,533 |
Energizer Holdings Inc. | 4.700% | 5/19/21 | 525 | 558 |
Energizer Holdings Inc. | 4.700% | 5/24/22 | 2,200 | 2,342 |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 525 | 523 |
Express Scripts Holding Co. | 7.250% | 6/15/19 | 1,775 | 2,292 |
1 Express Scripts Holding Co. | 4.750% | 11/15/21 | 1,425 | 1,648 |
1 Express Scripts Holding Co. | 3.900% | 2/15/22 | 2,375 | 2,588 |
Flowers Foods Inc. | 4.375% | 4/1/22 | 350 | 361 |
General Mills Inc. | 5.650% | 2/15/19 | 2,265 | 2,765 |
General Mills Inc. | 3.150% | 12/15/21 | 1,925 | 2,011 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 3,775 | 4,312 |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 1,425 | 1,618 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 7,125 | 8,754 |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 4,850 | 5,066 |
Hasbro Inc. | 6.300% | 9/15/17 | 525 | 611 |
Hershey Co. | 4.125% | 12/1/20 | 225 | 256 |
Hillshire Brands Co. | 4.100% | 9/15/20 | 54 | 56 |
HJ Heinz Co. | 2.850% | 3/1/22 | 1,050 | 1,076 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 100 | 114 |
Ingredion Inc. | 4.625% | 11/1/20 | 375 | 412 |
JM Smucker Co. | 3.500% | 10/15/21 | 1,900 | 2,029 |
Johnson & Johnson | 5.150% | 7/15/18 | 3,825 | 4,687 |
Johnson & Johnson | 3.550% | 5/15/21 | 650 | 748 |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 675 | 714 |
Kellogg Co. | 3.250% | 5/21/18 | 4,325 | 4,718 |
Kellogg Co. | 4.150% | 11/15/19 | 75 | 85 |
Kellogg Co. | 4.000% | 12/15/20 | 1,800 | 2,029 |
Kellogg Co. | 3.125% | 5/17/22 | 450 | 472 |
Kimberly-Clark Corp. | 7.500% | 11/1/18 | 4,140 | 5,548 |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 100 | 111 |
Kimberly-Clark Corp. | 3.875% | 3/1/21 | 1,075 | 1,220 |
Koninklijke Philips Electronics NV | 5.750% | 3/11/18 | 2,925 | 3,532 |
Koninklijke Philips Electronics NV | 3.750% | 3/15/22 | 3,875 | 4,193 |
1 Kraft Foods Group Inc. | 6.125% | 8/23/18 | 1,450 | 1,784 |
1 Kraft Foods Group Inc. | 5.375% | 2/10/20 | 994 | 1,190 |
1 Kraft Foods Group Inc. | 3.500% | 6/6/22 | 5,150 | 5,454 |
Kraft Foods Inc. | 6.125% | 2/1/18 | 6,080 | 7,379 |
Kraft Foods Inc. | 6.125% | 8/23/18 | 375 | 464 |
Kraft Foods Inc. | 5.375% | 2/10/20 | 6,551 | 7,873 |
Kroger Co. | 6.800% | 12/15/18 | 425 | 520 |
Kroger Co. | 6.150% | 1/15/20 | 1,490 | 1,817 |
Kroger Co. | 3.400% | 4/15/22 | 1,568 | 1,620 |
115
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Laboratory Corp. of America Holdings | 4.625% | 11/15/20 | 1,650 | 1,822 |
Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 525 | 545 |
Life Technologies Corp. | 6.000% | 3/1/20 | 1,700 | 2,020 |
Life Technologies Corp. | 5.000% | 1/15/21 | 1,233 | 1,397 |
Lorillard Tobacco Co. | 8.125% | 6/23/19 | 650 | 835 |
Lorillard Tobacco Co. | 6.875% | 5/1/20 | 2,050 | 2,517 |
McCormick & Co. Inc. | 3.900% | 7/15/21 | 275 | 305 |
McKesson Corp. | 4.750% | 3/1/21 | 3,900 | 4,527 |
Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 1,350 | 1,556 |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 4,300 | 5,414 |
Medco Health Solutions Inc. | 4.125% | 9/15/20 | 725 | 791 |
Medtronic Inc. | 5.600% | 3/15/19 | 500 | 611 |
Medtronic Inc. | 4.450% | 3/15/20 | 5,800 | 6,699 |
Medtronic Inc. | 3.125% | 3/15/22 | 100 | 106 |
Merck & Co. Inc. | 6.000% | 9/15/17 | 1,150 | 1,424 |
Merck & Co. Inc. | 5.000% | 6/30/19 | 2,625 | 3,178 |
Merck & Co. Inc. | 3.875% | 1/15/21 | 4,675 | 5,314 |
Molson Coors Brewing Co. | 3.500% | 5/1/22 | 1,050 | 1,111 |
Newell Rubbermaid Inc. | 4.700% | 8/15/20 | 850 | 929 |
Newell Rubbermaid Inc. | 4.000% | 6/15/22 | 1,125 | 1,171 |
Novartis Capital Corp. | 4.400% | 4/24/20 | 4,550 | 5,371 |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 5,775 | 6,957 |
PepsiCo Inc. | 5.000% | 6/1/18 | 2,375 | 2,810 |
PepsiCo Inc. | 7.900% | 11/1/18 | 5,494 | 7,433 |
PepsiCo Inc. | 4.500% | 1/15/20 | 3,900 | 4,534 |
PepsiCo Inc. | 3.125% | 11/1/20 | 895 | 965 |
PepsiCo Inc. | 3.000% | 8/25/21 | 600 | 637 |
PepsiCo Inc. | 2.750% | 3/5/22 | 3,515 | 3,636 |
PerkinElmer Inc. | 5.000% | 11/15/21 | 825 | 916 |
Pfizer Inc. | 6.200% | 3/15/19 | 10,650 | 13,626 |
Pharmacia Corp. | 6.500% | 12/1/18 | 290 | 369 |
Philip Morris International Inc. | 5.650% | 5/16/18 | 4,175 | 5,099 |
Philip Morris International Inc. | 4.500% | 3/26/20 | 4,175 | 4,871 |
Philip Morris International Inc. | 4.125% | 5/17/21 | 520 | 586 |
Philip Morris International Inc. | 2.900% | 11/15/21 | 2,150 | 2,241 |
Philip Morris International Inc. | 2.500% | 8/22/22 | 1,625 | 1,629 |
Procter & Gamble Co. | 4.700% | 2/15/19 | 5,760 | 6,847 |
Procter & Gamble Co. | 2.300% | 2/6/22 | 3,174 | 3,249 |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 2,175 | 2,452 |
Ralcorp Holdings Inc. | 4.950% | 8/15/20 | 275 | 294 |
Reynolds American Inc. | 7.750% | 6/1/18 | 500 | 631 |
Safeway Inc. | 5.000% | 8/15/19 | 1,500 | 1,531 |
Safeway Inc. | 3.950% | 8/15/20 | 1,200 | 1,135 |
Safeway Inc. | 4.750% | 12/1/21 | 600 | 592 |
Sanofi | 4.000% | 3/29/21 | 5,600 | 6,405 |
St. Jude Medical Inc. | 4.875% | 7/15/19 | 500 | 579 |
Stryker Corp. | 4.375% | 1/15/20 | 500 | 576 |
Sysco Corp. | 5.250% | 2/12/18 | 970 | 1,169 |
Sysco Corp. | 5.375% | 3/17/19 | 150 | 183 |
Sysco Corp. | 2.600% | 6/12/22 | 1,050 | 1,082 |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 1,650 | 1,790 |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 2,350 | 2,554 |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 2,175 | 2,464 |
116
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 3,500 | 3,733 |
Tupperware Brands Corp. | 4.750% | 6/1/21 | 300 | 316 |
Tyson Foods Inc. | 4.500% | 6/15/22 | 1,775 | 1,788 |
Unilever Capital Corp. | 4.800% | 2/15/19 | 2,225 | 2,636 |
Unilever Capital Corp. | 4.250% | 2/10/21 | 2,275 | 2,671 |
Watson Pharmaceuticals Inc. | 6.125% | 8/15/19 | 375 | 436 |
Whirlpool Corp. | 4.850% | 6/15/21 | 1,350 | 1,408 |
Zimmer Holdings Inc. | 4.625% | 11/30/19 | 175 | 200 |
Zimmer Holdings Inc. | 3.375% | 11/30/21 | 1,800 | 1,886 |
Energy (7.4%) | ||||
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 4,750 | 5,693 |
Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 925 | 1,232 |
Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 700 | 875 |
Apache Corp. | 3.625% | 2/1/21 | 1,625 | 1,796 |
Apache Corp. | 3.250% | 4/15/22 | 3,600 | 3,870 |
Baker Hughes Inc. | 7.500% | 11/15/18 | 1,050 | 1,415 |
Baker Hughes Inc. | 3.200% | 8/15/21 | 1,700 | 1,834 |
BJ Services Co. | 6.000% | 6/1/18 | 850 | 1,052 |
BP Capital Markets plc | 4.750% | 3/10/19 | 3,450 | 3,992 |
BP Capital Markets plc | 4.500% | 10/1/20 | 3,765 | 4,377 |
BP Capital Markets plc | 4.742% | 3/11/21 | 5,050 | 5,933 |
BP Capital Markets plc | 3.561% | 11/1/21 | 1,550 | 1,685 |
BP Capital Markets plc | 3.245% | 5/6/22 | 2,275 | 2,419 |
Cameron International Corp. | 6.375% | 7/15/18 | 425 | 516 |
Cameron International Corp. | 4.500% | 6/1/21 | 350 | 382 |
Cameron International Corp. | 3.600% | 4/30/22 | 1,150 | 1,183 |
Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 3,100 | 3,329 |
Cenovus Energy Inc. | 5.700% | 10/15/19 | 2,825 | 3,395 |
Cenovus Energy Inc. | 3.000% | 8/15/22 | 1,300 | 1,325 |
Chevron Corp. | 4.950% | 3/3/19 | 3,025 | 3,678 |
ConocoPhillips | 5.750% | 2/1/19 | 6,525 | 8,111 |
ConocoPhillips | 6.000% | 1/15/20 | 3,975 | 5,066 |
Devon Energy Corp. | 6.300% | 1/15/19 | 1,350 | 1,678 |
Devon Energy Corp. | 4.000% | 7/15/21 | 2,425 | 2,679 |
Devon Energy Corp. | 3.250% | 5/15/22 | 1,350 | 1,407 |
Diamond Offshore Drilling Inc. | 5.875% | 5/1/19 | 1,250 | 1,514 |
Encana Corp. | 5.900% | 12/1/17 | 825 | 967 |
Encana Corp. | 6.500% | 5/15/19 | 1,300 | 1,582 |
Encana Corp. | 3.900% | 11/15/21 | 1,875 | 1,943 |
Ensco plc | 4.700% | 3/15/21 | 3,775 | 4,250 |
EOG Resources Inc. | 5.875% | 9/15/17 | 300 | 366 |
EOG Resources Inc. | 5.625% | 6/1/19 | 1,400 | 1,713 |
EOG Resources Inc. | 4.400% | 6/1/20 | 2,000 | 2,296 |
EOG Resources Inc. | 4.100% | 2/1/21 | 2,040 | 2,335 |
EQT Corp. | 6.500% | 4/1/18 | 1,500 | 1,732 |
EQT Corp. | 8.125% | 6/1/19 | 1,075 | 1,295 |
EQT Corp. | 4.875% | 11/15/21 | 1,175 | 1,239 |
Halliburton Co. | 5.900% | 9/15/18 | 500 | 625 |
Halliburton Co. | 6.150% | 9/15/19 | 1,750 | 2,188 |
Halliburton Co. | 3.250% | 11/15/21 | 1,350 | 1,459 |
Hess Corp. | 8.125% | 2/15/19 | 2,175 | 2,839 |
Husky Energy Inc. | 7.250% | 12/15/19 | 1,750 | 2,240 |
Husky Energy Inc. | 3.950% | 4/15/22 | 1,625 | 1,727 |
Marathon Oil Corp. | 6.000% | 10/1/17 | 2,400 | 2,869 |
117
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Marathon Oil Corp. | 5.900% | 3/15/18 | 2,050 | 2,452 |
Marathon Petroleum Corp. | 5.125% | 3/1/21 | 1,600 | 1,840 |
Murphy Oil Corp. | 4.000% | 6/1/22 | 900 | 944 |
Nabors Industries Inc. | 6.150% | 2/15/18 | 1,450 | 1,690 |
Nabors Industries Inc. | 9.250% | 1/15/19 | 2,800 | 3,636 |
Nabors Industries Inc. | 5.000% | 9/15/20 | 650 | 707 |
1 Nabors Industries Inc. | 4.625% | 9/15/21 | 1,350 | 1,439 |
Nabors Industries Inc. | 4.625% | 9/15/21 | 1,650 | 1,759 |
Nexen Inc. | 6.200% | 7/30/19 | 1,030 | 1,239 |
Noble Energy Inc. | 8.250% | 3/1/19 | 1,450 | 1,876 |
Noble Energy Inc. | 4.150% | 12/15/21 | 2,400 | 2,597 |
Noble Holding International Ltd. | 4.900% | 8/1/20 | 1,725 | 1,922 |
Noble Holding International Ltd. | 3.950% | 3/15/22 | 1,500 | 1,585 |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 2,850 | 2,896 |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 4,300 | 4,940 |
Petro-Canada | 6.050% | 5/15/18 | 1,725 | 2,107 |
Petrohawk Energy Corp. | 7.250% | 8/15/18 | 2,400 | 2,721 |
Petrohawk Energy Corp. | 6.250% | 6/1/19 | 2,050 | 2,306 |
1 Phillips 66 | 4.300% | 4/1/22 | 4,900 | 5,331 |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 2,825 | 2,953 |
Pride International Inc. | 8.500% | 6/15/19 | 1,050 | 1,385 |
Pride International Inc. | 6.875% | 8/15/20 | 3,250 | 4,099 |
Rowan Cos. Inc. | 5.000% | 9/1/17 | 1,150 | 1,246 |
Rowan Cos. Inc. | 4.875% | 6/1/22 | 1,500 | 1,581 |
Shell International Finance BV | 4.300% | 9/22/19 | 4,925 | 5,763 |
Shell International Finance BV | 4.375% | 3/25/20 | 1,725 | 2,037 |
Shell International Finance BV | 2.375% | 8/21/22 | 2,900 | 2,939 |
Southwestern Energy Co. | 7.500% | 2/1/18 | 1,100 | 1,326 |
1 Southwestern Energy Co. | 4.100% | 3/15/22 | 1,775 | 1,867 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 5,325 | 6,525 |
Talisman Energy Inc. | 7.750% | 6/1/19 | 1,450 | 1,833 |
Talisman Energy Inc. | 3.750% | 2/1/21 | 1,560 | 1,626 |
Total Capital International SA | 2.875% | 2/17/22 | 1,600 | 1,677 |
Total Capital SA | 4.450% | 6/24/20 | 3,975 | 4,636 |
Total Capital SA | 4.125% | 1/28/21 | 2,900 | 3,332 |
Transocean Inc. | 6.000% | 3/15/18 | 1,950 | 2,259 |
Transocean Inc. | 6.500% | 11/15/20 | 3,240 | 3,870 |
Transocean Inc. | 6.375% | 12/15/21 | 2,750 | 3,315 |
Valero Energy Corp. | 9.375% | 3/15/19 | 1,450 | 1,948 |
Valero Energy Corp. | 6.125% | 2/1/20 | 4,600 | 5,520 |
Weatherford International Ltd. | 6.000% | 3/15/18 | 1,728 | 1,973 |
Weatherford International Ltd. | 9.625% | 3/1/19 | 2,900 | 3,756 |
Weatherford International Ltd. | 5.125% | 9/15/20 | 1,800 | 1,957 |
Weatherford International Ltd. | 4.500% | 4/15/22 | 200 | 206 |
XTO Energy Inc. | 5.500% | 6/15/18 | 300 | 373 |
XTO Energy Inc. | 6.500% | 12/15/18 | 1,200 | 1,581 |
Other Industrial (0.2%) | ||||
Cintas Corp. No 2 | 6.125% | 12/1/17 | 875 | 1,061 |
Cintas Corp. No 2 | 3.250% | 6/1/22 | 600 | 618 |
Fluor Corp. | 3.375% | 9/15/21 | 830 | 883 |
Pentair Inc. | 5.000% | 5/15/21 | 1,220 | 1,361 |
1 URS Corp. | 5.000% | 4/1/22 | 1,375 | 1,395 |
Valmont Industries Inc. | 6.625% | 4/20/20 | 1,000 | 1,192 |
118
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Technology (4.8%) | ||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 1,625 | 1,830 |
Agilent Technologies Inc. | 6.500% | 11/1/17 | 2,775 | 3,362 |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 1,525 | 1,746 |
Amphenol Corp. | 4.000% | 2/1/22 | 650 | 686 |
Applied Materials Inc. | 4.300% | 6/15/21 | 1,650 | 1,872 |
Arrow Electronics Inc. | 6.000% | 4/1/20 | 600 | 676 |
Arrow Electronics Inc. | 5.125% | 3/1/21 | 300 | 322 |
Avnet Inc. | 5.875% | 6/15/20 | 500 | 556 |
BMC Software Inc. | 4.250% | 2/15/22 | 1,700 | 1,729 |
Broadcom Corp. | 2.700% | 11/1/18 | 1,875 | 1,999 |
1 Broadcom Corp. | 2.500% | 8/15/22 | 250 | 250 |
CA Inc. | 5.375% | 12/1/19 | 1,825 | 2,105 |
Cisco Systems Inc. | 4.950% | 2/15/19 | 4,525 | 5,393 |
Cisco Systems Inc. | 4.450% | 1/15/20 | 6,420 | 7,528 |
Computer Sciences Corp. | 6.500% | 3/15/18 | 2,975 | 3,354 |
Corning Inc. | 4.250% | 8/15/20 | 1,150 | 1,289 |
Dell Inc. | 5.650% | 4/15/18 | 922 | 1,083 |
Dell Inc. | 5.875% | 6/15/19 | 250 | 295 |
Dell Inc. | 4.625% | 4/1/21 | 1,775 | 1,935 |
Fiserv Inc. | 6.800% | 11/20/17 | 1,325 | 1,585 |
Fiserv Inc. | 4.625% | 10/1/20 | 1,275 | 1,379 |
Google Inc. | 3.625% | 5/19/21 | 2,895 | 3,258 |
Harris Corp. | 5.950% | 12/1/17 | 900 | 1,067 |
Harris Corp. | 6.375% | 6/15/19 | 650 | 775 |
Harris Corp. | 4.400% | 12/15/20 | 1,775 | 1,939 |
Hewlett-Packard Co. | 2.600% | 9/15/17 | 6,425 | 6,359 |
Hewlett-Packard Co. | 5.500% | 3/1/18 | 1,525 | 1,710 |
Hewlett-Packard Co. | 3.750% | 12/1/20 | 2,475 | 2,435 |
Hewlett-Packard Co. | 4.300% | 6/1/21 | 2,725 | 2,736 |
Hewlett-Packard Co. | 4.375% | 9/15/21 | 1,675 | 1,678 |
Hewlett-Packard Co. | 4.650% | 12/9/21 | 3,975 | 4,073 |
Intel Corp. | 3.300% | 10/1/21 | 4,700 | 5,113 |
International Business Machines Corp. | 5.700% | 9/14/17 | 6,975 | 8,542 |
International Business Machines Corp. | 7.625% | 10/15/18 | 2,929 | 3,964 |
International Business Machines Corp. | 2.900% | 11/1/21 | 5,400 | 5,784 |
International Business Machines Corp. | 1.875% | 8/1/22 | 2,700 | 2,610 |
Juniper Networks Inc. | 4.600% | 3/15/21 | 590 | 631 |
KLA-Tencor Corp. | 6.900% | 5/1/18 | 1,450 | 1,744 |
Microsoft Corp. | 4.200% | 6/1/19 | 3,850 | 4,521 |
Microsoft Corp. | 3.000% | 10/1/20 | 2,000 | 2,198 |
Microsoft Corp. | 4.000% | 2/8/21 | 50 | 59 |
Motorola Solutions Inc. | 6.000% | 11/15/17 | 530 | 620 |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 2,400 | 2,464 |
Oracle Corp. | 5.750% | 4/15/18 | 7,849 | 9,717 |
Oracle Corp. | 5.000% | 7/8/19 | 2,575 | 3,100 |
Oracle Corp. | 3.875% | 7/15/20 | 1,900 | 2,162 |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 1,925 | 2,072 |
Pitney Bowes Inc. | 6.250% | 3/15/19 | 849 | 924 |
SAIC Inc. | 4.450% | 12/1/20 | 300 | 326 |
Symantec Corp. | 4.200% | 9/15/20 | 1,750 | 1,841 |
Symantec Corp. | 3.950% | 6/15/22 | 600 | 608 |
Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 1,775 | 1,806 |
Texas Instruments Inc. | 1.650% | 8/3/19 | 1,400 | 1,403 |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 3,405 | 4,126 |
119 |
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 1,175 | 1,206 |
Xerox Corp. | 6.350% | 5/15/18 | 4,350 | 5,087 |
Xerox Corp. | 5.625% | 12/15/19 | 975 | 1,102 |
Xerox Corp. | 4.500% | 5/15/21 | 2,075 | 2,161 |
Transportation (2.2%) | ||||
2 American Airlines 2011-1 Class A | ||||
Pass Through Trust | 5.250% | 1/31/21 | 142 | 148 |
2 American Airlines 2011-2 Class A | ||||
Pass Through Trust | 8.625% | 4/15/23 | 2,402 | 2,558 |
2 American Airlines Pass Through Trust 2009-1A | 10.375% | 7/2/19 | 622 | 675 |
Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 4,200 | 5,076 |
Burlington Northern Santa Fe LLC | 4.700% | 10/1/19 | 160 | 184 |
Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 1,700 | 1,808 |
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 825 | 851 |
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 850 | 877 |
Canadian National Railway Co. | 5.550% | 3/1/19 | 725 | 892 |
Canadian National Railway Co. | 2.850% | 12/15/21 | 2,305 | 2,427 |
Canadian Pacific Railway Co. | 6.500% | 5/15/18 | 250 | 302 |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 1,780 | 2,234 |
Con-way Inc. | 7.250% | 1/15/18 | 200 | 233 |
2 Continental Airlines 2007-1 Class A | ||||
Pass Through Trust | 5.983% | 4/19/22 | 2,508 | 2,746 |
2 Continental Airlines 2009-2 Class A | ||||
Pass Through Trust | 7.250% | 11/10/19 | 180 | 206 |
2 Continental Airlines 2010-1 Class A | ||||
Pass Through Trust | 4.750% | 1/12/21 | 573 | 610 |
CSX Corp. | 7.375% | 2/1/19 | 1,790 | 2,294 |
CSX Corp. | 3.700% | 10/30/20 | 3,100 | 3,325 |
CSX Corp. | 4.250% | 6/1/21 | 1,250 | 1,396 |
2 Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 1,196 | 1,309 |
2 Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 12/17/19 | 1,396 | 1,592 |
2 Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 7/2/18 | 426 | 467 |
2 Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 5/23/19 | 1,558 | 1,672 |
2 Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 5/7/20 | 1,275 | 1,307 |
FedEx Corp. | 8.000% | 1/15/19 | 1,150 | 1,532 |
FedEx Corp. | 2.625% | 8/1/22 | 1,175 | 1,181 |
Norfolk Southern Corp. | 5.750% | 4/1/18 | 200 | 240 |
Norfolk Southern Corp. | 5.900% | 6/15/19 | 2,450 | 3,012 |
Norfolk Southern Corp. | 3.250% | 12/1/21 | 1,975 | 2,084 |
Norfolk Southern Corp. | 3.000% | 4/1/22 | 1,400 | 1,453 |
Ryder System Inc. | 2.500% | 3/1/18 | 1,500 | 1,514 |
2 Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 69 | 78 |
Union Pacific Corp. | 5.750% | 11/15/17 | 1,000 | 1,197 |
Union Pacific Corp. | 5.700% | 8/15/18 | 1,250 | 1,513 |
Union Pacific Corp. | 6.125% | 2/15/20 | 1,150 | 1,442 |
Union Pacific Corp. | 4.000% | 2/1/21 | 2,375 | 2,662 |
Union Pacific Corp. | 4.163% | 7/15/22 | 1,312 | 1,486 |
United Parcel Service Inc. | 5.500% | 1/15/18 | 4,800 | 5,834 |
United Parcel Service Inc. | 5.125% | 4/1/19 | 1,000 | 1,217 |
United Parcel Service Inc. | 3.125% | 1/15/21 | 3,650 | 3,949 |
1,678,609 |
120
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Utilities (10.4%) | ||||
Electric (6.2%) | ||||
Ameren Illinois Co. | 6.125% | 11/15/17 | 550 | 649 |
Appalachian Power Co. | 7.950% | 1/15/20 | 1,625 | 2,194 |
Appalachian Power Co. | 4.600% | 3/30/21 | 3,250 | 3,716 |
Arizona Public Service Co. | 8.750% | 3/1/19 | 500 | 667 |
Avista Corp. | 5.950% | 6/1/18 | 1,450 | 1,781 |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 1,975 | 2,139 |
Carolina Power & Light Co. | 5.300% | 1/15/19 | 1,425 | 1,724 |
Carolina Power & Light Co. | 3.000% | 9/15/21 | 300 | 318 |
Carolina Power & Light Co. | 2.800% | 5/15/22 | 1,600 | 1,653 |
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 750 | 753 |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 600 | 716 |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 655 | 801 |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 1,325 | 1,510 |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 1,000 | 1,094 |
Consolidated Edison Co. of New York Inc. | 5.850% | 4/1/18 | 1,300 | 1,606 |
Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 1,500 | 1,969 |
Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 1,725 | 2,034 |
Constellation Energy Group Inc. | 5.150% | 12/1/20 | 1,500 | 1,717 |
Consumers Energy Co. | 6.700% | 9/15/19 | 3,275 | 4,266 |
Consumers Energy Co. | 5.650% | 4/15/20 | 1,075 | 1,345 |
Consumers Energy Co. | 2.850% | 5/15/22 | 500 | 526 |
Detroit Edison Co. | 3.900% | 6/1/21 | 475 | 536 |
Detroit Edison Co. | 2.650% | 6/15/22 | 1,800 | 1,862 |
Dominion Resources Inc. | 6.400% | 6/15/18 | 500 | 626 |
Dominion Resources Inc. | 8.875% | 1/15/19 | 1,975 | 2,706 |
Dominion Resources Inc. | 5.200% | 8/15/19 | 3,325 | 3,963 |
Dominion Resources Inc. | 4.450% | 3/15/21 | 2,875 | 3,312 |
Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 500 | 597 |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 1,885 | 2,475 |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 1,375 | 1,597 |
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 1,675 | 1,893 |
Duke Energy Corp. | 6.250% | 6/15/18 | 695 | 851 |
Duke Energy Corp. | 5.050% | 9/15/19 | 2,395 | 2,802 |
Duke Energy Corp. | 3.550% | 9/15/21 | 1,000 | 1,062 |
Duke Energy Corp. | 3.050% | 8/15/22 | 925 | 933 |
Duke Energy Indiana Inc. | 3.750% | 7/15/20 | 1,300 | 1,447 |
Edison International | 3.750% | 9/15/17 | 800 | 855 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 1,175 | 1,272 |
Entergy Corp. | 5.125% | 9/15/20 | 300 | 322 |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 1,250 | 1,476 |
Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 325 | 349 |
Entergy Louisiana LLC | 6.500% | 9/1/18 | 450 | 542 |
Entergy Texas Inc. | 7.125% | 2/1/19 | 2,450 | 3,044 |
Exelon Generation Co. LLC | 6.200% | 10/1/17 | 2,900 | 3,450 |
Exelon Generation Co. LLC | 5.200% | 10/1/19 | 800 | 900 |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 4,150 | 4,377 |
FirstEnergy Solutions Corp. | 6.050% | 8/15/21 | 3,425 | 3,809 |
Florida Power Corp. | 5.650% | 6/15/18 | 1,800 | 2,189 |
Florida Power Corp. | 3.100% | 8/15/21 | 600 | 633 |
Georgia Power Co. | 4.250% | 12/1/19 | 1,905 | 2,171 |
Georgia Power Co. | 2.850% | 5/15/22 | 1,000 | 1,038 |
Great Plains Energy Inc. | 4.850% | 6/1/21 | 1,200 | 1,329 |
Kansas City Power & Light Co. | 7.150% | 4/1/19 | 1,450 | 1,869 |
121 |
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kentucky Utilities Co. | 3.250% | 11/1/20 | 925 | 1,007 |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 195 | 203 |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 1,375 | 1,499 |
Metropolitan Edison Co. | 7.700% | 1/15/19 | 592 | 758 |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 500 | 601 |
MidAmerican Energy Holdings Co. | 5.750% | 4/1/18 | 5,325 | 6,425 |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 3,750 | 5,521 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 1,000 | 1,067 |
Nevada Power Co. | 6.500% | 5/15/18 | 325 | 407 |
Nevada Power Co. | 6.500% | 8/1/18 | 685 | 859 |
Nevada Power Co. | 7.125% | 3/15/19 | 2,725 | 3,530 |
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 1,550 | 1,842 |
NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 1,275 | 1,421 |
2 NextEra Energy Capital Holdings Inc. | 7.300% | 9/1/67 | 500 | 541 |
Northern States Power Co. | 5.250% | 3/1/18 | 1,350 | 1,621 |
Northern States Power Co. | 2.150% | 8/15/22 | 175 | 175 |
NSTAR Electric Co. | 5.625% | 11/15/17 | 3,575 | 4,305 |
NSTAR LLC | 4.500% | 11/15/19 | 744 | 852 |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 1,500 | 1,835 |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 2,650 | 3,225 |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 650 | 897 |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 3,700 | 4,096 |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 825 | 954 |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 500 | 538 |
PacifiCorp | 3.850% | 6/15/21 | 1,900 | 2,142 |
Pennsylvania Electric Co. | 6.050% | 9/1/17 | 1,400 | 1,615 |
Pennsylvania Electric Co. | 5.200% | 4/1/20 | 350 | 398 |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 3,275 | 3,487 |
PPL Energy Supply LLC | 6.500% | 5/1/18 | 1,200 | 1,418 |
PPL Energy Supply LLC | 4.600% | 12/15/21 | 1,525 | 1,623 |
Progress Energy Inc. | 7.050% | 3/15/19 | 2,200 | 2,788 |
Progress Energy Inc. | 4.875% | 12/1/19 | 850 | 987 |
Progress Energy Inc. | 4.400% | 1/15/21 | 1,750 | 1,968 |
Progress Energy Inc. | 3.150% | 4/1/22 | 175 | 178 |
PSEG Power LLC | 5.125% | 4/15/20 | 1,500 | 1,724 |
PSEG Power LLC | 4.150% | 9/15/21 | 1,200 | 1,292 |
Public Service Co. of Colorado | 5.125% | 6/1/19 | 1,850 | 2,238 |
Public Service Co. of New Mexico | 7.950% | 5/15/18 | 1,750 | 2,130 |
Public Service Co. of Oklahoma | 4.400% | 2/1/21 | 500 | 563 |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 375 | 409 |
San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 1,550 | 1,667 |
SCANA Corp. | 4.750% | 5/15/21 | 2,500 | 2,699 |
SCANA Corp. | 4.125% | 2/1/22 | 950 | 976 |
Southern California Edison Co. | 5.500% | 8/15/18 | 775 | 955 |
Southern California Edison Co. | 3.875% | 6/1/21 | 2,200 | 2,500 |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 300 | 350 |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 1,600 | 1,938 |
TECO Finance Inc. | 6.572% | 11/1/17 | 1,000 | 1,194 |
TECO Finance Inc. | 5.150% | 3/15/20 | 1,850 | 2,151 |
TransAlta Corp. | 6.650% | 5/15/18 | 1,050 | 1,183 |
Tucson Electric Power Co. | 5.150% | 11/15/21 | 200 | 221 |
UIL Holdings Corp. | 4.625% | 10/1/20 | 150 | 159 |
Union Electric Co. | 6.700% | 2/1/19 | 2,725 | 3,511 |
Virginia Electric & Power Co. | 5.400% | 4/30/18 | 2,400 | 2,923 |
Westar Energy Inc. | 8.625% | 12/1/18 | 1,094 | 1,491 |
122
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Wisconsin Electric Power Co. | 2.950% | 9/15/21 | 800 | 855 |
Xcel Energy Inc. | 4.700% | 5/15/20 | 2,400 | 2,831 |
Natural Gas (4.1%) | ||||
AGL Capital Corp. | 5.250% | 8/15/19 | 750 | 882 |
AGL Capital Corp. | 3.500% | 9/15/21 | 425 | 455 |
Atmos Energy Corp. | 8.500% | 3/15/19 | 825 | 1,111 |
Boardwalk Pipelines LP | 5.750% | 9/15/19 | 500 | 552 |
British Transco Finance Inc. | 6.625% | 6/1/18 | 250 | 305 |
Buckeye Partners LP | 4.875% | 2/1/21 | 2,425 | 2,430 |
CenterPoint Energy Resources Corp. | 6.000% | 5/15/18 | 600 | 722 |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 1,950 | 2,203 |
DCP Midstream Operating LP | 4.950% | 4/1/22 | 575 | 602 |
El Paso Natural Gas Co. LLC | 8.625% | 1/15/22 | 150 | 199 |
El Paso Pipeline Partners Operating Co. LLC | 6.500% | 4/1/20 | 2,200 | 2,568 |
Enbridge Energy Partners LP | 6.500% | 4/15/18 | 400 | 481 |
Enbridge Energy Partners LP | 9.875% | 3/1/19 | 1,775 | 2,389 |
Enbridge Energy Partners LP | 5.200% | 3/15/20 | 250 | 286 |
Enbridge Energy Partners LP | 4.200% | 9/15/21 | 1,950 | 2,098 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 750 | 891 |
Energy Transfer Partners LP | 9.700% | 3/15/19 | 2,164 | 2,811 |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 1,207 | 1,534 |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 2,150 | 2,287 |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 3,000 | 3,301 |
Enterprise Products Operating LLC | 6.300% | 9/15/17 | 2,575 | 3,120 |
Enterprise Products Operating LLC | 6.650% | 4/15/18 | 375 | 462 |
Enterprise Products Operating LLC | 6.500% | 1/31/19 | 2,125 | 2,607 |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 4,200 | 4,926 |
Enterprise Products Operating LLC | 4.050% | 2/15/22 | 875 | 957 |
1 Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 750 | 759 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 2,725 | 3,242 |
Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 1,850 | 2,454 |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 3,875 | 4,801 |
Magellan Midstream Partners LP | 6.550% | 7/15/19 | 2,421 | 2,958 |
Magellan Midstream Partners LP | 4.250% | 2/1/21 | 1,200 | 1,315 |
National Fuel Gas Co. | 4.900% | 12/1/21 | 1,475 | 1,612 |
Nisource Finance Corp. | 5.250% | 9/15/17 | 1,800 | 2,089 |
Nisource Finance Corp. | 6.400% | 3/15/18 | 3,500 | 4,285 |
Nisource Finance Corp. | 6.800% | 1/15/19 | 700 | 843 |
Nisource Finance Corp. | 5.450% | 9/15/20 | 600 | 686 |
Nisource Finance Corp. | 6.125% | 3/1/22 | 900 | 1,089 |
ONEOK Inc. | 4.250% | 2/1/22 | 2,825 | 3,030 |
ONEOK Partners LP | 8.625% | 3/1/19 | 1,475 | 1,920 |
Panhandle Eastern Pipe Line Co. LP | 6.200% | 11/1/17 | 1,425 | 1,661 |
Panhandle Eastern Pipe Line Co. LP | 7.000% | 6/15/18 | 750 | 898 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 6.500% | 5/1/18 | 2,025 | 2,480 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 5.750% | 1/15/20 | 1,400 | 1,683 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 5.000% | 2/1/21 | 1,534 | 1,787 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 3.650% | 6/1/22 | 1,900 | 2,008 |
Sempra Energy | 6.150% | 6/15/18 | 1,400 | 1,726 |
Sempra Energy | 9.800% | 2/15/19 | 1,550 | 2,184 |
123
Intermediate-Term Corporate Bond Index Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Southern Natural Gas Co. LLC / | ||||
Southern Natural Issuing Corp. | 4.400% | 6/15/21 | 2,400 | 2,576 |
Spectra Energy Capital LLC | 6.200% | 4/15/18 | 3,300 | 3,977 |
Spectra Energy Capital LLC | 8.000% | 10/1/19 | 800 | 1,039 |
Sunoco Logistics Partners Operations LP | 4.650% | 2/15/22 | 1,075 | 1,155 |
TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 2,975 | 3,746 |
TransCanada PipeLines Ltd. | 7.125% | 1/15/19 | 1,117 | 1,447 |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 3,825 | 4,274 |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 3,700 | 3,764 |
Transcontinental Gas Pipe Line Co. LLC | 6.050% | 6/15/18 | 400 | 478 |
Western Gas Partners LP | 5.375% | 6/1/21 | 2,150 | 2,399 |
Williams Cos. Inc. | 7.875% | 9/1/21 | 1,063 | 1,383 |
Williams Partners LP | 5.250% | 3/15/20 | 2,475 | 2,854 |
Williams Partners LP | 4.125% | 11/15/20 | 2,000 | 2,154 |
Williams Partners LP | 4.000% | 11/15/21 | 3,150 | 3,372 |
Williams Partners LP | 3.350% | 8/15/22 | 825 | 835 |
Other Utility (0.1%) | ||||
American Water Capital Corp. | 6.085% | 10/15/17 | 1,450 | 1,720 |
Veolia Environnement SA | 6.000% | 6/1/18 | 675 | 782 |
309,852 | ||||
Total Corporate Bonds (Cost $2,779,623) | 2,922,160 | |||
Taxable Municipal Bonds (0.1%) | ||||
California Educational Facilities Authority Revenue | ||||
(Stanford University) | 4.750% | 5/1/19 | 1,150 | 1,375 |
Cornell University New York GO | 5.450% | 2/1/19 | 150 | 182 |
Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 200 | 237 |
Johns Hopkins University Maryland GO | 5.250% | 7/1/19 | 290 | 354 |
Partners Healthcare System Massachusetts GO | 3.443% | 7/1/21 | 225 | 236 |
Total Taxable Municipal Bonds (Cost $2,264) | 2,384 | |||
Shares | ||||
Temporary Cash Investment (0.8%) | ||||
Money Market Fund (0.8%) | ||||
3 Vanguard Market Liquidity Fund (Cost $25,225) | 0.158% | 25,224,702 | 25,225 | |
Total Investments (99.6%) (Cost $2,832,755) | 2,975,495 | |||
Other Assets and Liabilities (0.4%) | ||||
Other Assets | 39,156 | |||
Liabilities | (27,646) | |||
11,510 | ||||
Net Assets (100%) | 2,987,005 |
124
Intermediate-Term Corporate Bond Index Fund
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,836,282 |
Overdistributed Net Investment Income | (144) |
Accumulated Net Realized Gains | 8,127 |
Unrealized Appreciation (Depreciation) | 142,740 |
Net Assets | 2,987,005 |
Signal Shares—Net Assets | |
Applicable to 2,167,362 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 50,725 |
Net Asset Value Per Share—Signal Shares | $23.40 |
Institutional Shares—Net Assets | |
Applicable to 6,412,473 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 185,482 |
Net Asset Value Per Share—Institutional Shares | $28.93 |
ETF Shares—Net Assets | |
Applicable to 31,700,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,750,798 |
Net Asset Value Per Share—ETF Shares | $86.78 |
See Note A in Notes to Financial Statements.
1 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 August 31, 2012, the aggregate value of these securities was $32,921,000,
representing 1.1% of net assets.
2 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.
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.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
125
Intermediate-Term Corporate Bond Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 66,715 |
Total Income | 66,715 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 78 |
Management and Administrative—Signal Shares | 32 |
Management and Administrative—Institutional Shares | 81 |
Management and Administrative—ETF Shares | 1,381 |
Marketing and Distribution—Signal Shares | 8 |
Marketing and Distribution—Institutional Shares | 35 |
Marketing and Distribution—ETF Shares | 354 |
Custodian Fees | 15 |
Auditing Fees | 41 |
Shareholders’ Reports—Signal Shares | 1 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 65 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,092 |
Net Investment Income | 64,623 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 9,223 |
Futures Contracts | (848) |
Realized Net Gain (Loss) | 8,375 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 122,444 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 195,442 |
1 Interest income from an affiliated company of the fund was $21,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
126
Intermediate-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 64,623 | 19,805 |
Realized Net Gain (Loss) | 8,375 | 2,733 |
Change in Unrealized Appreciation (Depreciation) | 122,444 | 5,982 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 195,442 | 28,520 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (1,370) | (177) |
Institutional Shares | (5,086) | (1,726) |
ETF Shares | (58,246) | (17,939) |
Realized Capital Gain1 | ||
Signal Shares | (24) | (15) |
Institutional Shares | (73) | (86) |
ETF Shares | (699) | (1,338) |
Total Distributions | (65,498) | (21,281) |
Capital Share Transactions | ||
Signal Shares | 41,249 | 4,567 |
Institutional Shares | 92,461 | 68,419 |
ETF Shares | 1,908,873 | 445,610 |
Net Increase (Decrease) from Capital Share Transactions | 2,042,583 | 518,596 |
Total Increase (Decrease) | 2,172,527 | 525,835 |
Net Assets | ||
Beginning of Period | 814,478 | 288,643 |
End of Period2 | 2,987,005 | 814,478 |
1 Includes fiscal 2012 and 2011 short-term gain distributions totaling $0 and $1,439,000, 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 ($144,000) and ($65,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
127
Intermediate-Term Corporate Bond Index Fund
Financial Highlights
Signal Shares | |||
March 2, | |||
Year Ended | 20101 to | ||
August 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 | .800 | .876 | .441 |
Net Realized and Unrealized Gain (Loss) on Investments2 | 1.437 | .312 | 1.345 |
Total from Investment Operations | 2.237 | 1.188 | 1.786 |
Distributions | |||
Dividends from Net Investment Income | (.800) | (.875) | (.456) |
Distributions from Realized Capital Gains | (.017) | (.093) | — |
Total Distributions | (.817) | (.968) | (.456) |
Net Asset Value, End of Period | $23.40 | $21.98 | $21.76 |
Total Return3 | 10.41% | 5.65% | 8.86% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $51 | $7 | $2 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14% | 0.15%4 |
Ratio of Net Investment Income to Average Net Assets | 3.62% | 4.15% | 4.60%4 |
Portfolio Turnover Rate5 | 69% | 80% | 61% |
1 Inception.
2 Includes increases from purchase fees of $.01, $.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.
128
Intermediate-Term Corporate Bond Index Fund
Financial Highlights
Institutional Shares | |||
Nov. 19, | |||
Year Ended | 20091 to | ||
August 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 | .999 | 1.098 | .850 |
Net Realized and Unrealized Gain (Loss) on Investments2 | 1.780 | .383 | 1.933 |
Total from Investment Operations | 2.779 | 1.481 | 2.783 |
Distributions | |||
Dividends from Net Investment Income | (.998) | (1.097) | (.853) |
Distributions from Realized Capital Gains | (.021) | (.114) | — |
Total Distributions | (1.019) | (1.211) | (.853) |
Net Asset Value, End of Period | $28.93 | $27.17 | $26.90 |
Total Return3 | 10.46% | 5.70% | 11.38% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $185 | $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 | 3.65% | 4.20% | 4.66%4 |
Portfolio Turnover Rate5 | 69% | 80% | 61% |
1 Inception.
2 Includes increases from purchase fees of $.01, $.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.
129
Intermediate-Term Corporate Bond Index Fund
Financial Highlights
ETF Shares | |||
Nov. 19, | |||
Year Ended | 20091 to | ||
August 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 | 2.966 | 3.249 | 2.519 |
Net Realized and Unrealized Gain (Loss) on Investments2 | 5.350 | 1.162 | 5.778 |
Total from Investment Operations | 8.316 | 4.411 | 8.297 |
Distributions | |||
Dividends from Net Investment Income | (2.963) | (3.248) | (2.527) |
Distributions from Realized Capital Gains | (.063) | (.343) | — |
Total Distributions | (3.026) | (3.591) | (2.527) |
Net Asset Value, End of Period | $86.78 | $81.49 | $80.67 |
Total Return | 10.43% | 5.65% | 11.30% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $2,751 | $725 | $274 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 3.62% | 4.15% | 4.60%3 |
Portfolio Turnover Rate4 | 69% | 80% | 61% |
1 Inception.
2 Includes increases from purchase fees of $.03, $.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.
130
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).
The fund had no open futures contracts at August 31, 2012. During the year ended August 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
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, 2010–2012), 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.
131
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 August 31, 2012, the fund had contributed capital of $407,000 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 August 31, 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 | — | 25,726 | — |
Corporate Bonds | — | 2,922,160 | — |
Taxable Municipal Bonds | — | 2,384 | — |
Temporary Cash Investments | 25,225 | — | — |
Total | 25,225 | 2,950,270 | — |
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 used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $73,000 from accumulated net realized gains to paid-in capital.
132
Intermediate-Term Corporate Bond Index Fund
For tax purposes, at August 31, 2012, the fund had short-term and long-term capital gains of $5,907,000 and $3,169,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
The fund had realized losses totaling $940,000 through August 31, 2012, which are deferred for tax purposes and reduce the amount of tax-basis unrealized appreciation on investment securities.
At August 31, 2012, the cost of investment securities for tax purposes was $2,833,704,000. Net unrealized appreciation of investment securities for tax purposes was $141,791,000, consisting of unrealized gains of $143,835,000 on securities that had risen in value since their purchase and $2,044,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2012, the fund purchased $2,491,539,000 of investment securities and sold $477,740,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $753,297,000 and $732,939,000, respectively. Total purchases and sales include $1,834,971,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2012 | 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 43,804 | 1,965 | 5,732 | 263 |
Issued in Lieu of Cash Distributions | 1,333 | 59 | 191 | 9 |
Redeemed | (3,888) | (171) | (1,356) | (62) |
Net Increase (Decrease)—Signal Shares | 41,249 | 1,853 | 4,567 | 210 |
Institutional Shares | ||||
Issued1 | 110,537 | 4,035 | 67,412 | 2,543 |
Issued in Lieu of Cash Distributions | 4,616 | 166 | 1,671 | 63 |
Redeemed | (22,692) | (819) | (664) | (25) |
Net Increase (Decrease)— | ||||
Institutional Shares | 92,461 | 3,382 | 68,419 | 2,581 |
ETF Shares | ||||
Issued1 | 1,908,873 | 22,800 | 532,385 | 6,600 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | — | — | (86,775) | (1,100) |
Net Increase (Decrease) —ETF Shares | 1,908,873 | 22,800 | 445,610 | 5,500 |
1 Includes purchase fees for fiscal 2012 and 2011 of $1,049,000 and $620,000, respectively (fund totals). |
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
133
Long-Term Corporate Bond Index Fund
Fund Profile
As of August 31, 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 | 4.35% | 4.36% | 4.35% |
Financial Attributes | |||
Barclays | |||
10+ Year | Barclays | ||
Corporate | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 1,119 | 1,194 | 7,922 |
Yield to Maturity | |||
(before expenses) | 4.4% | 4.5% | 1.7% |
Average Coupon | 6.2% | 6.2% | 3.7% |
Average Duration | 13.9 years | 13.9 years | 5.2 years |
Average Maturity | 24.6 years | 24.6 years | 7.1 years |
Short-Term | |||
Reserves | 0.9% | — | — |
Sector Diversification (% of portfolio) | |
Finance | 18.4% |
Industrial | 63.7 |
Utilities | 17.8 |
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 | 0.1% |
1 - 3 Years | 0.1 |
3 - 5 Years | 0.2 |
5 - 10 Years | 0.2 |
10 - 20 Years | 19.3 |
20 - 30 Years | 78.7 |
Over 30 Years | 1.4 |
Distribution by Credit Quality (% of portfolio) | |
Aaa | 1.2% |
Aa | 7.2 |
A | 46.8 |
Baa | 44.8 |
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 fiscal year ended August 31, 2012, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares, and 0.12% for ETF
Shares.
134
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.
Cumulative Performance: November 19, 2009, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx137x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (11/19/2009) | Investment | ||
Long-Term Corporate Bond Index | ||||
Fund ETF Shares Net Asset Value | 19.40% | 13.57% | $14,248 | |
Long-Term Corporate Bond Index | ||||
Fund ETF Shares Market Price | 19.16 | 13.96 | 14,383 | |
•••••••• | Barclays U.S. 10+ Year Corporate | |||
Bond Index | 18.33 | 13.56 | 14,245 | |
– – – – | Corporate Debt Funds BBB-Rated | |||
Average | 9.66 | 9.46 | 12,859 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.91 | 6.28 | 11,845 |
For a benchmark description, see the Glossary.
Corporate Debt Funds BBB-Rated Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Vanguard fund returns are adjusted to reflect the 1.00% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
See Financial Highlights for dividend and capital gains information.
135
Long-Term Corporate Bond Index Fund
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (1/19/2010) | Investment | |
Long-Term Corporate Bond Index Fund Signal | |||
Shares | 18.23% | 13.64% | $13,968 |
Barclays U.S. 10+ Year Corporate Bond Index | 18.33 | 14.11 | 14,121 |
Barclays U.S. Aggregate Float Adjusted Index | 5.91 | 6.62 | 11,824 |
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (11/19/2009) | Investment | |
Long-Term Corporate Bond Index Fund | |||
Institutional Shares | 18.25% | 13.23% | $7,063,797 |
Barclays U.S. 10+ Year Corporate Bond Index | 18.33 | 13.56 | 7,122,325 |
Spliced Barclays U.S. Aggregate Float | |||
Adjusted Index | 5.91 | 6.28 | 5,922,634 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2012 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Long-Term Corporate Bond Index FundETF | ||
Shares Market Price | 19.16% | 43.83% |
Long-Term Corporate Bond Index FundETF | ||
Shares Net Asset Value | 19.40 | 42.48 |
Barclays U.S. 10+ Year Corporate Bond Index | 18.33 | 42.45 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Vanguard fund returns are adjusted to reflect the 1.00% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
136
Long-Term Corporate Bond Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 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 | 19.40 | 18.33 |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 19.17% | 5.71% | 6.92% | 12.63% |
Fee-Adjusted Returns | 17.98 | 12.17 | |||
Institutional Shares | 11/19/2009 | 19.17 | 5.66 | 6.60 | 12.26 |
Fee-Adjusted Returns | 17.98 | 11.83 | |||
ETF Shares | 11/19/2009 | ||||
Market Price | 19.79 | 12.87 | |||
Net Asset Value | 19.10 | 12.19 |
Vanguard fund returns are adjusted to reflect the 1.00% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
137
Long-Term Corporate Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (0.1%) | ||||
U.S. Government Securities (0.1%) | ||||
United States Treasury Note/Bond (Cost $310) | 11.250% | 2/15/15 | 245 | 310 |
Corporate Bonds (98.0%) | ||||
Finance (18.1%) | ||||
Banking (8.8%) | ||||
American Express Co. | 8.150% | 3/19/38 | 1,465 | 2,371 |
Bank of America Corp. | 4.500% | 4/1/15 | 350 | 372 |
Bank of America Corp. | 5.875% | 2/7/42 | 1,715 | 1,949 |
Bank of America NA | 6.000% | 10/15/36 | 1,400 | 1,587 |
Bank One Capital III | 8.750% | 9/1/30 | 290 | 400 |
Bank One Corp. | 7.625% | 10/15/26 | 1,280 | 1,645 |
Bank One Corp. | 8.000% | 4/29/27 | 135 | 177 |
Citigroup Inc. | 6.625% | 1/15/28 | 25 | 29 |
Citigroup Inc. | 6.625% | 6/15/32 | 1,735 | 1,916 |
Citigroup Inc. | 5.875% | 2/22/33 | 1,155 | 1,174 |
Citigroup Inc. | 6.000% | 10/31/33 | 895 | 941 |
Citigroup Inc. | 5.850% | 12/11/34 | 1,355 | 1,555 |
Citigroup Inc. | 6.125% | 8/25/36 | 2,485 | 2,644 |
Citigroup Inc. | 5.875% | 5/29/37 | 1,325 | 1,535 |
Citigroup Inc. | 6.875% | 3/5/38 | 3,090 | 3,970 |
Citigroup Inc. | 8.125% | 7/15/39 | 3,075 | 4,501 |
Citigroup Inc. | 5.875% | 1/30/42 | 1,230 | 1,447 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 5.250% | 5/24/41 | 2,000 | 2,361 |
Credit Suisse USA Inc. | 7.125% | 7/15/32 | 975 | 1,356 |
Fifth Third Bancorp | 8.250% | 3/1/38 | 1,582 | 2,223 |
Goldman Sachs Capital I | 6.345% | 2/15/34 | 2,875 | 2,818 |
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 2,285 | 2,385 |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 2,865 | 3,141 |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 1,985 | 2,022 |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 5,955 | 6,156 |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 2,705 | 3,026 |
HSBC Bank USA NA | 5.875% | 11/1/34 | 2,175 | 2,408 |
HSBC Bank USA NA | 5.625% | 8/15/35 | 600 | 646 |
HSBC Bank USA NA | 7.000% | 1/15/39 | 725 | 935 |
HSBC Holdings plc | 7.625% | 5/17/32 | 95 | 119 |
HSBC Holdings plc | 6.500% | 5/2/36 | 3,450 | 4,053 |
HSBC Holdings plc | 6.500% | 9/15/37 | 3,110 | 3,669 |
138
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
HSBC Holdings plc | 6.800% | 6/1/38 | 1,555 | 1,904 |
HSBC Holdings plc | 6.100% | 1/14/42 | 880 | 1,193 |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 2,920 | 3,859 |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 1,460 | 1,748 |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 3,005 | 3,661 |
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 1,665 | 1,992 |
Merrill Lynch & Co. Inc. | 6.750% | 6/1/28 | 540 | 608 |
Merrill Lynch & Co. Inc. | 6.110% | 1/29/37 | 2,425 | 2,439 |
Merrill Lynch & Co. Inc. | 7.750% | 5/14/38 | 2,710 | 3,284 |
Morgan Stanley | 6.000% | 9/27/25 | 300 | 299 |
Morgan Stanley | 6.250% | 8/9/26 | 1,470 | 1,546 |
Morgan Stanley | 7.250% | 4/1/32 | 1,180 | 1,326 |
Morgan Stanley | 6.375% | 7/24/42 | 2,175 | 2,231 |
UBS AG | 7.750% | 9/1/26 | 900 | 1,094 |
Wachovia Bank NA | 5.850% | 2/1/37 | 1,625 | 2,030 |
Wachovia Bank NA | 6.600% | 1/15/38 | 3,075 | 4,210 |
Wachovia Corp. | 6.605% | 10/1/25 | 565 | 685 |
Wachovia Corp. | 7.500% | 4/15/35 | 45 | 58 |
Wachovia Corp. | 5.500% | 8/1/35 | 1,765 | 2,014 |
Wachovia Corp. | 6.550% | 10/15/35 | 25 | 30 |
Wells Fargo & Co. | 5.375% | 2/7/35 | 1,185 | 1,434 |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 1,575 | 1,990 |
1 Wells Fargo Capital X | 5.950% | 12/1/86 | 710 | 721 |
Brokerage (0.1%) | ||||
Jefferies Group Inc. | 6.450% | 6/8/27 | 400 | 407 |
Jefferies Group Inc. | 6.250% | 1/15/36 | 710 | 703 |
Finance Companies (2.4%) | ||||
General Electric Capital Corp. | 5.550% | 1/5/26 | 475 | 540 |
General Electric Capital Corp. | 6.750% | 3/15/32 | 7,105 | 9,205 |
General Electric Capital Corp. | 6.150% | 8/7/37 | 2,335 | 2,918 |
General Electric Capital Corp. | 5.875% | 1/14/38 | 8,190 | 9,917 |
General Electric Capital Corp. | 6.875% | 1/10/39 | 4,410 | 6,012 |
SLM Corp. | 5.625% | 8/1/33 | 710 | 653 |
Insurance (6.3%) | ||||
ACE Capital Trust II | 9.700% | 4/1/30 | 315 | 451 |
ACE INA Holdings Inc. | 6.700% | 5/15/36 | 400 | 577 |
Aetna Inc. | 6.625% | 6/15/36 | 1,680 | 2,202 |
Aetna Inc. | 6.750% | 12/15/37 | 965 | 1,284 |
Aetna Inc. | 4.500% | 5/15/42 | 455 | 463 |
Aflac Inc. | 6.900% | 12/17/39 | 145 | 187 |
Aflac Inc. | 6.450% | 8/15/40 | 885 | 1,098 |
Allstate Corp. | 6.125% | 12/15/32 | 15 | 19 |
Allstate Corp. | 5.350% | 6/1/33 | 315 | 374 |
Allstate Corp. | 5.550% | 5/9/35 | 1,015 | 1,263 |
Allstate Corp. | 5.950% | 4/1/36 | 1,020 | 1,304 |
Allstate Corp. | 6.900% | 5/15/38 | 345 | 484 |
Allstate Corp. | 5.200% | 1/15/42 | 1,080 | 1,308 |
1 Allstate Corp. | 6.500% | 5/15/57 | 525 | 547 |
American International Group Inc. | 6.250% | 5/1/36 | 1,685 | 2,130 |
1 American International Group Inc. | 6.250% | 3/15/87 | 1,160 | 1,163 |
2 American International Group Inc. | 6.820% | 11/15/37 | 150 | 188 |
1 American International Group Inc. | 8.175% | 5/15/68 | 4,640 | 5,545 |
139
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Aon Corp. | 8.205% | 1/1/27 | 800 | 963 |
Aon Corp. | 6.250% | 9/30/40 | 385 | 502 |
Arch Capital Group Ltd. | 7.350% | 5/1/34 | 250 | 317 |
Assurant Inc. | 6.750% | 2/15/34 | 625 | 716 |
AXA SA | 8.600% | 12/15/30 | 1,600 | 1,832 |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 1,175 | 1,484 |
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 370 | 399 |
Chubb Corp. | 6.000% | 5/11/37 | 900 | 1,237 |
Chubb Corp. | 6.500% | 5/15/38 | 775 | 1,132 |
Cigna Corp. | 7.875% | 5/15/27 | 140 | 179 |
Cigna Corp. | 6.150% | 11/15/36 | 185 | 224 |
Cigna Corp. | 5.875% | 3/15/41 | 1,095 | 1,314 |
Cigna Corp. | 5.375% | 2/15/42 | 925 | 1,047 |
Cincinnati Financial Corp. | 6.920% | 5/15/28 | 300 | 365 |
Cincinnati Financial Corp. | 6.125% | 11/1/34 | 694 | 791 |
Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 420 | 460 |
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 400 | 414 |
Genworth Financial Inc. | 6.500% | 6/15/34 | 235 | 207 |
Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 55 | 57 |
Hartford Financial Services Group Inc. | 6.625% | 3/30/40 | 505 | 573 |
Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 450 | 481 |
Hartford Financial Services Group Inc. | 6.625% | 4/15/42 | 390 | 441 |
Humana Inc. | 8.150% | 6/15/38 | 145 | 196 |
Lincoln National Corp. | 6.150% | 4/7/36 | 300 | 336 |
Lincoln National Corp. | 7.000% | 6/15/40 | 1,285 | 1,602 |
Loews Corp. | 6.000% | 2/1/35 | 440 | 522 |
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 340 | 401 |
MetLife Inc. | 6.500% | 12/15/32 | 910 | 1,200 |
MetLife Inc. | 6.375% | 6/15/34 | 800 | 1,060 |
MetLife Inc. | 5.700% | 6/15/35 | 1,710 | 2,125 |
MetLife Inc. | 5.875% | 2/6/41 | 490 | 630 |
MetLife Inc. | 4.125% | 8/13/42 | 675 | 685 |
1 MetLife Inc. | 6.400% | 12/15/66 | 1,215 | 1,282 |
1 MetLife Inc. | 10.750% | 8/1/69 | 610 | 894 |
Munich Re America Corp. | 7.450% | 12/15/26 | 350 | 461 |
1 Nationwide Financial Services Inc. | 6.750% | 5/15/67 | 565 | 571 |
Principal Financial Group Inc. | 6.050% | 10/15/36 | 790 | 928 |
Progressive Corp. | 6.625% | 3/1/29 | 130 | 170 |
Progressive Corp. | 6.250% | 12/1/32 | 275 | 358 |
Protective Life Corp. | 8.450% | 10/15/39 | 315 | 395 |
Prudential Financial Inc. | 5.750% | 7/15/33 | 850 | 937 |
Prudential Financial Inc. | 5.400% | 6/13/35 | 45 | 48 |
Prudential Financial Inc. | 5.900% | 3/17/36 | 540 | 610 |
Prudential Financial Inc. | 5.700% | 12/14/36 | 950 | 1,051 |
Prudential Financial Inc. | 6.625% | 12/1/37 | 1,585 | 1,950 |
Prudential Financial Inc. | 6.625% | 6/21/40 | 40 | 50 |
Prudential Financial Inc. | 6.200% | 11/15/40 | 395 | 466 |
Prudential Financial Inc. | 5.625% | 5/12/41 | 270 | 302 |
1 Prudential Financial Inc. | 5.875% | 9/15/42 | 1,075 | 1,083 |
Swiss Re Solutions Holding Corp. | 7.000% | 2/15/26 | 295 | 357 |
Swiss Re Solutions Holding Corp. | 7.750% | 6/15/30 | 465 | 585 |
Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 280 | 346 |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 855 | 1,221 |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 900 | 1,235 |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 1,146 | 1,471 |
140
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 70 | 94 |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 1,960 | 2,411 |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 625 | 834 |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 790 | 1,067 |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 1,120 | 1,575 |
UnitedHealth Group Inc. | 5.700% | 10/15/40 | 10 | 13 |
UnitedHealth Group Inc. | 5.950% | 2/15/41 | 455 | 589 |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 1,080 | 1,183 |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 275 | 294 |
Unum Group | 5.750% | 8/15/42 | 300 | 312 |
Validus Holdings Ltd. | 8.875% | 1/26/40 | 285 | 348 |
WellPoint Inc. | 5.950% | 12/15/34 | 281 | 335 |
WellPoint Inc. | 5.850% | 1/15/36 | 1,345 | 1,581 |
WellPoint Inc. | 6.375% | 6/15/37 | 970 | 1,204 |
WellPoint Inc. | 5.800% | 8/15/40 | 695 | 820 |
WellPoint Inc. | 4.625% | 5/15/42 | 1,485 | 1,482 |
XL Group plc | 6.375% | 11/15/24 | 405 | 482 |
XL Group plc | 6.250% | 5/15/27 | 780 | 870 |
Real Estate Investment Trusts (0.5%) | ||||
Boston Properties LP | 3.850% | 2/1/23 | 1,355 | 1,421 |
BRE Properties Inc. | 3.375% | 1/15/23 | 325 | 324 |
HCP Inc. | 6.750% | 2/1/41 | 235 | 309 |
Health Care REIT Inc. | 6.500% | 3/15/41 | 500 | 579 |
National Retail Properties Inc. | 3.800% | 10/15/22 | 400 | 407 |
Omega Healthcare Investors Inc. | 6.750% | 10/15/22 | 1,050 | 1,168 |
Realty Income Corp. | 5.875% | 3/15/35 | 250 | 288 |
Simon Property Group LP | 6.750% | 2/1/40 | 820 | 1,132 |
Simon Property Group LP | 4.750% | 3/15/42 | 440 | 483 |
219,097 | ||||
Industrial (62.4%) | ||||
Basic Industry (5.3%) | ||||
Agrium Inc. | 7.125% | 5/23/36 | 530 | 724 |
Agrium Inc. | 6.125% | 1/15/41 | 425 | 535 |
Alcoa Inc. | 5.900% | 2/1/27 | 1,090 | 1,127 |
Alcoa Inc. | 6.750% | 1/15/28 | 290 | 318 |
Alcoa Inc. | 5.950% | 2/1/37 | 529 | 532 |
AngloGold Ashanti Holdings plc | 6.500% | 4/15/40 | 315 | 325 |
ArcelorMittal | 7.250% | 10/15/39 | 1,355 | 1,222 |
ArcelorMittal | 7.000% | 3/1/41 | 1,710 | 1,482 |
Barrick Gold Corp. | 5.250% | 4/1/42 | 690 | 751 |
Barrick North America Finance LLC | 7.500% | 9/15/38 | 90 | 123 |
Barrick North America Finance LLC | 5.700% | 5/30/41 | 1,340 | 1,546 |
Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 1,590 | 1,851 |
BHP Billiton Finance USA Ltd. | 6.420% | 3/1/26 | 600 | 806 |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 880 | 922 |
Cliffs Natural Resources Inc. | 6.250% | 10/1/40 | 1,171 | 1,147 |
Domtar Corp. | 6.250% | 9/1/42 | 225 | 233 |
Dow Chemical Co. | 7.375% | 11/1/29 | 1,185 | 1,605 |
Dow Chemical Co. | 9.400% | 5/15/39 | 820 | 1,340 |
Dow Chemical Co. | 5.250% | 11/15/41 | 970 | 1,106 |
Eastman Chemical Co. | 4.800% | 9/1/42 | 420 | 460 |
Ecolab Inc. | 5.500% | 12/8/41 | 835 | 1,046 |
EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 50 | 68 |
EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 1,320 | 1,630 |
141
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Georgia-Pacific LLC | 8.000% | 1/15/24 | 80 | 109 |
Georgia-Pacific LLC | 7.375% | 12/1/25 | 315 | 418 |
Georgia-Pacific LLC | 7.250% | 6/1/28 | 585 | 736 |
Georgia-Pacific LLC | 7.750% | 11/15/29 | 360 | 476 |
Georgia-Pacific LLC | 8.875% | 5/15/31 | 915 | 1,330 |
International Paper Co. | 8.700% | 6/15/38 | 50 | 72 |
International Paper Co. | 7.300% | 11/15/39 | 1,310 | 1,742 |
International Paper Co. | 6.000% | 11/15/41 | 850 | 1,014 |
Kinross Gold Corp. | 6.875% | 9/1/41 | 135 | 140 |
Lubrizol Corp. | 6.500% | 10/1/34 | 465 | 650 |
Monsanto Co. | 5.500% | 8/15/25 | 35 | 45 |
Monsanto Co. | 5.875% | 4/15/38 | 530 | 725 |
Monsanto Co. | 3.600% | 7/15/42 | 670 | 675 |
Mosaic Co. | 4.875% | 11/15/41 | 470 | 522 |
Newmont Mining Corp. | 5.875% | 4/1/35 | 80 | 92 |
Newmont Mining Corp. | 6.250% | 10/1/39 | 1,490 | 1,776 |
Newmont Mining Corp. | 4.875% | 3/15/42 | 1,635 | 1,679 |
Nucor Corp. | 4.125% | 9/15/22 | 1,480 | 1,687 |
Nucor Corp. | 6.400% | 12/1/37 | 330 | 465 |
Placer Dome Inc. | 6.450% | 10/15/35 | 50 | 59 |
Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 670 | 883 |
Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 660 | 853 |
PPG Industries Inc. | 7.700% | 3/15/38 | 445 | 678 |
PPG Industries Inc. | 5.500% | 11/15/40 | 160 | 196 |
Reliance Steel & Aluminum Co. | 6.850% | 11/15/36 | 35 | 39 |
Rio Tinto Alcan Inc. | 7.250% | 3/15/31 | 480 | 683 |
Rio Tinto Alcan Inc. | 6.125% | 12/15/33 | 319 | 421 |
Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 495 | 627 |
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 1,415 | 1,954 |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 1,945 | 2,238 |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 290 | 317 |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 725 | 710 |
Rohm & Haas Co. | 7.850% | 7/15/29 | 1,400 | 1,906 |
Southern Copper Corp. | 7.500% | 7/27/35 | 1,105 | 1,383 |
Southern Copper Corp. | 6.750% | 4/16/40 | 1,490 | 1,738 |
Syngenta Finance NV | 4.375% | 3/28/42 | 225 | 252 |
Teck Resources Ltd. | 3.750% | 2/1/23 | 900 | 882 |
Teck Resources Ltd. | 6.125% | 10/1/35 | 780 | 848 |
Teck Resources Ltd. | 6.000% | 8/15/40 | 590 | 627 |
Teck Resources Ltd. | 6.250% | 7/15/41 | 2,135 | 2,353 |
Teck Resources Ltd. | 5.200% | 3/1/42 | 445 | 430 |
Teck Resources Ltd. | 5.400% | 2/1/43 | 475 | 461 |
Vale Canada Ltd. | 7.200% | 9/15/32 | 660 | 802 |
Vale Overseas Ltd. | 8.250% | 1/17/34 | 1,120 | 1,468 |
Vale Overseas Ltd. | 6.875% | 11/21/36 | 2,605 | 3,068 |
Vale Overseas Ltd. | 6.875% | 11/10/39 | 2,330 | 2,766 |
Xstrata Canada Corp. | 6.200% | 6/15/35 | 175 | 188 |
Capital Goods (4.8%) | ||||
3M Co. | 6.375% | 2/15/28 | 550 | 756 |
3M Co. | 5.700% | 3/15/37 | 610 | 855 |
ABB Finance USA Inc. | 4.375% | 5/8/42 | 700 | 788 |
2 ADT Corp. | 4.875% | 7/15/42 | 845 | 927 |
Boeing Co. | 7.950% | 8/15/24 | 440 | 668 |
Boeing Co. | 6.125% | 2/15/33 | 380 | 514 |
142
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Boeing Co. | 6.625% | 2/15/38 | 20 | 30 |
Boeing Co. | 6.875% | 3/15/39 | 1,120 | 1,742 |
Boeing Co. | 5.875% | 2/15/40 | 325 | 460 |
Caterpillar Inc. | 5.300% | 9/15/35 | 950 | 1,199 |
Caterpillar Inc. | 6.050% | 8/15/36 | 2,015 | 2,765 |
2 Caterpillar Inc. | 3.803% | 8/15/42 | 2,555 | 2,671 |
Deere & Co. | 5.375% | 10/16/29 | 870 | 1,148 |
Deere & Co. | 8.100% | 5/15/30 | 40 | 63 |
Deere & Co. | 7.125% | 3/3/31 | 145 | 212 |
Deere & Co. | 3.900% | 6/9/42 | 1,170 | 1,233 |
Dover Corp. | 5.375% | 10/15/35 | 35 | 44 |
Dover Corp. | 6.600% | 3/15/38 | 165 | 240 |
Dover Corp. | 5.375% | 3/1/41 | 1,180 | 1,550 |
Emerson Electric Co. | 6.000% | 8/15/32 | 160 | 213 |
Emerson Electric Co. | 6.125% | 4/15/39 | 40 | 57 |
Emerson Electric Co. | 5.250% | 11/15/39 | 620 | 789 |
Goodrich Corp. | 6.800% | 7/1/36 | 45 | 63 |
Honeywell International Inc. | 5.700% | 3/15/36 | 375 | 504 |
Honeywell International Inc. | 5.700% | 3/15/37 | 1,030 | 1,394 |
Honeywell International Inc. | 5.375% | 3/1/41 | 760 | 1,010 |
Illinois Tool Works Inc. | 4.875% | 9/15/41 | 820 | 973 |
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 1,550 | 1,582 |
John Deere Capital Corp. | 2.800% | 1/27/23 | 1,775 | 1,838 |
Legrand France SA | 8.500% | 2/15/25 | 385 | 496 |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 1,760 | 2,299 |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 700 | 846 |
Lockheed Martin Corp. | 5.720% | 6/1/40 | 685 | 874 |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 865 | 995 |
Northrop Grumman Corp. | 5.050% | 11/15/40 | 900 | 1,035 |
Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 525 | 785 |
Owens Corning | 7.000% | 12/1/36 | 565 | 619 |
Parker Hannifin Corp. | 3.500% | 9/15/22 | 820 | 888 |
Parker Hannifin Corp. | 6.250% | 5/15/38 | 90 | 127 |
Raytheon Co. | 7.200% | 8/15/27 | 655 | 930 |
Raytheon Co. | 4.875% | 10/15/40 | 575 | 693 |
Raytheon Co. | 4.700% | 12/15/41 | 785 | 928 |
Republic Services Inc. | 4.750% | 5/15/23 | 1,240 | 1,426 |
Republic Services Inc. | 6.086% | 3/15/35 | 25 | 30 |
Republic Services Inc. | 6.200% | 3/1/40 | 110 | 140 |
Republic Services Inc. | 5.700% | 5/15/41 | 1,100 | 1,331 |
Rockwell Automation Inc. | 6.700% | 1/15/28 | 135 | 181 |
Rockwell Automation Inc. | 6.250% | 12/1/37 | 30 | 41 |
Sonoco Products Co. | 5.750% | 11/1/40 | 495 | 579 |
Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 615 | 713 |
United Technologies Corp. | 6.700% | 8/1/28 | 50 | 69 |
United Technologies Corp. | 7.500% | 9/15/29 | 155 | 230 |
United Technologies Corp. | 5.400% | 5/1/35 | 1,410 | 1,759 |
United Technologies Corp. | 6.050% | 6/1/36 | 95 | 127 |
United Technologies Corp. | 6.125% | 7/15/38 | 2,290 | 3,108 |
United Technologies Corp. | 5.700% | 4/15/40 | 1,620 | 2,148 |
United Technologies Corp. | 4.500% | 6/1/42 | 4,075 | 4,608 |
Waste Management Inc. | 7.100% | 8/1/26 | 415 | 559 |
Waste Management Inc. | 7.000% | 7/15/28 | 90 | 122 |
Waste Management Inc. | 7.750% | 5/15/32 | 650 | 944 |
Waste Management Inc. | 6.125% | 11/30/39 | 1,580 | 2,023 |
143
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Communication (15.2%) | ||||
Alltel Corp. | 7.875% | 7/1/32 | 1,425 | 2,248 |
America Movil SAB de CV | 6.375% | 3/1/35 | 2,155 | 2,801 |
America Movil SAB de CV | 6.125% | 11/15/37 | 75 | 97 |
America Movil SAB de CV | 6.125% | 3/30/40 | 2,525 | 3,260 |
America Movil SAB de CV | 4.375% | 7/16/42 | 875 | 899 |
Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 585 | 688 |
AT&T Corp. | 6.500% | 3/15/29 | 555 | 702 |
AT&T Corp. | 8.000% | 11/15/31 | 3,105 | 4,794 |
AT&T Inc. | 6.450% | 6/15/34 | 465 | 605 |
AT&T Inc. | 6.150% | 9/15/34 | 1,092 | 1,380 |
AT&T Inc. | 6.800% | 5/15/36 | 2,200 | 3,006 |
AT&T Inc. | 6.500% | 9/1/37 | 2,000 | 2,660 |
AT&T Inc. | 6.300% | 1/15/38 | 3,160 | 4,103 |
AT&T Inc. | 6.400% | 5/15/38 | 460 | 606 |
AT&T Inc. | 6.550% | 2/15/39 | 2,080 | 2,793 |
AT&T Inc. | 5.350% | 9/1/40 | 4,015 | 4,834 |
AT&T Inc. | 5.550% | 8/15/41 | 2,735 | 3,384 |
AT&T Mobility LLC | 7.125% | 12/15/31 | 435 | 611 |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 1,474 | 1,996 |
Bellsouth Capital Funding Corp. | 7.120% | 7/15/97 | 510 | 658 |
BellSouth Corp. | 6.875% | 10/15/31 | 1,380 | 1,734 |
BellSouth Corp. | 6.550% | 6/15/34 | 1,275 | 1,548 |
BellSouth Corp. | 6.000% | 11/15/34 | 295 | 343 |
BellSouth Telecommunications Inc. | 7.000% | 10/1/25 | 295 | 385 |
BellSouth Telecommunications Inc. | 6.375% | 6/1/28 | 1,115 | 1,327 |
BellSouth Telecommunications Inc. | 7.000% | 12/1/95 | 15 | 19 |
BellSouth Telecommunications Inc. | 0.000% | 12/15/95 | 470 | 474 |
British Telecommunications plc | 9.625% | 12/15/30 | 3,755 | 6,066 |
CBS Corp. | 7.875% | 7/30/30 | 1,791 | 2,433 |
CBS Corp. | 5.500% | 5/15/33 | 60 | 66 |
CBS Corp. | 5.900% | 10/15/40 | 550 | 650 |
CBS Corp. | 4.850% | 7/1/42 | 520 | 540 |
CenturyLink Inc. | 6.875% | 1/15/28 | 265 | 279 |
CenturyLink Inc. | 7.600% | 9/15/39 | 885 | 912 |
CenturyLink Inc. | 7.650% | 3/15/42 | 440 | 454 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 1,546 | 2,315 |
Comcast Corp. | 7.050% | 3/15/33 | 1,060 | 1,405 |
Comcast Corp. | 5.650% | 6/15/35 | 1,685 | 2,012 |
Comcast Corp. | 6.500% | 11/15/35 | 960 | 1,254 |
Comcast Corp. | 6.450% | 3/15/37 | 1,985 | 2,565 |
Comcast Corp. | 6.950% | 8/15/37 | 3,100 | 4,223 |
Comcast Corp. | 6.400% | 5/15/38 | 1,030 | 1,348 |
Comcast Corp. | 6.550% | 7/1/39 | 570 | 760 |
Comcast Corp. | 6.400% | 3/1/40 | 950 | 1,243 |
Comcast Corp. | 4.650% | 7/15/42 | 1,650 | 1,765 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 3,110 | 4,604 |
Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 1,715 | 2,695 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 6.350% | 3/15/40 | 820 | 973 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 6.000% | 8/15/40 | 1,170 | 1,329 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 6.375% | 3/1/41 | 1,770 | 2,085 |
144
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 5.150% | 3/15/42 | 1,255 | 1,287 |
Discovery Communications LLC | 6.350% | 6/1/40 | 710 | 912 |
Discovery Communications LLC | 4.950% | 5/15/42 | 620 | 684 |
Embarq Corp. | 7.995% | 6/1/36 | 1,830 | 2,029 |
France Telecom SA | 8.500% | 3/1/31 | 3,085 | 4,620 |
France Telecom SA | 5.375% | 1/13/42 | 1,060 | 1,228 |
Grupo Televisa SAB | 6.625% | 3/18/25 | 200 | 260 |
Grupo Televisa SAB | 8.500% | 3/11/32 | 60 | 88 |
Grupo Televisa SAB | 6.625% | 1/15/40 | 1,195 | 1,544 |
GTE Corp. | 6.940% | 4/15/28 | 1,080 | 1,430 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 1,275 | 1,708 |
McGraw-Hill Cos. Inc. | 6.550% | 11/15/37 | 400 | 485 |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 1,115 | 1,428 |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 1,645 | 2,049 |
New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 1,700 | 2,710 |
News America Inc. | 7.700% | 10/30/25 | 90 | 120 |
News America Inc. | 6.550% | 3/15/33 | 1,435 | 1,677 |
News America Inc. | 6.200% | 12/15/34 | 1,565 | 1,873 |
News America Inc. | 6.400% | 12/15/35 | 2,255 | 2,773 |
News America Inc. | 8.150% | 10/17/36 | 60 | 82 |
News America Inc. | 6.150% | 3/1/37 | 1,395 | 1,700 |
News America Inc. | 6.650% | 11/15/37 | 1,300 | 1,668 |
News America Inc. | 7.850% | 3/1/39 | 50 | 68 |
News America Inc. | 6.900% | 8/15/39 | 1,185 | 1,536 |
News America Inc. | 6.150% | 2/15/41 | 930 | 1,148 |
News America Inc. | 7.750% | 12/1/45 | 360 | 490 |
Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 80 | 107 |
Pacific Bell Telephone Co. | 6.625% | 10/15/34 | 145 | 154 |
Qwest Capital Funding Inc. | 6.875% | 7/15/28 | 500 | 507 |
Qwest Capital Funding Inc. | 7.750% | 2/15/31 | 175 | 181 |
Qwest Corp. | 7.250% | 9/15/25 | 130 | 152 |
Qwest Corp. | 7.200% | 11/10/26 | 30 | 30 |
Qwest Corp. | 6.875% | 9/15/33 | 2,875 | 2,897 |
Qwest Corp. | 7.125% | 11/15/43 | 85 | 86 |
Rogers Communications Inc. | 7.500% | 8/15/38 | 675 | 978 |
TCI Communications Inc. | 7.875% | 2/15/26 | 690 | 970 |
TCI Communications Inc. | 7.125% | 2/15/28 | 220 | 294 |
Telecom Italia Capital SA | 6.375% | 11/15/33 | 475 | 406 |
Telecom Italia Capital SA | 6.000% | 9/30/34 | 855 | 721 |
Telecom Italia Capital SA | 7.200% | 7/18/36 | 2,160 | 1,959 |
Telecom Italia Capital SA | 7.721% | 6/4/38 | 2,095 | 1,976 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 2,390 | 2,207 |
Telefonica Europe BV | 8.250% | 9/15/30 | 1,385 | 1,437 |
Thomson Reuters Corp. | 5.500% | 8/15/35 | 150 | 175 |
Thomson Reuters Corp. | 5.850% | 4/15/40 | 890 | 1,094 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 1,525 | 1,920 |
Time Warner Cable Inc. | 7.300% | 7/1/38 | 1,215 | 1,661 |
Time Warner Cable Inc. | 6.750% | 6/15/39 | 1,195 | 1,554 |
Time Warner Cable Inc. | 5.875% | 11/15/40 | 1,260 | 1,500 |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 1,815 | 2,051 |
Time Warner Cable Inc. | 4.500% | 9/15/42 | 1,600 | 1,593 |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 1,830 | 2,570 |
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 1,500 | 2,170 |
United States Cellular Corp. | 6.700% | 12/15/33 | 610 | 641 |
145
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Verizon Communications Inc. | 5.850% | 9/15/35 | 1,755 | 2,242 |
Verizon Communications Inc. | 6.250% | 4/1/37 | 1,795 | 2,380 |
Verizon Communications Inc. | 6.400% | 2/15/38 | 820 | 1,101 |
Verizon Communications Inc. | 6.900% | 4/15/38 | 1,260 | 1,779 |
Verizon Communications Inc. | 8.950% | 3/1/39 | 2,550 | 4,447 |
Verizon Communications Inc. | 7.350% | 4/1/39 | 1,005 | 1,499 |
Verizon Communications Inc. | 6.000% | 4/1/41 | 1,765 | 2,314 |
Verizon Communications Inc. | 4.750% | 11/1/41 | 775 | 875 |
Verizon Global Funding Corp. | 7.750% | 12/1/30 | 2,645 | 3,909 |
Verizon Global Funding Corp. | 7.750% | 6/15/32 | 180 | 263 |
Verizon Maryland Inc. | 5.125% | 6/15/33 | 595 | 638 |
Verizon New England Inc. | 7.875% | 11/15/29 | 50 | 65 |
Verizon New York Inc. | 7.375% | 4/1/32 | 502 | 654 |
Vodafone Group plc | 7.875% | 2/15/30 | 1,235 | 1,851 |
Vodafone Group plc | 6.250% | 11/30/32 | 65 | 86 |
Vodafone Group plc | 6.150% | 2/27/37 | 2,205 | 2,942 |
Consumer Cyclical (8.4%) | ||||
CVS Caremark Corp. | 6.250% | 6/1/27 | 1,130 | 1,473 |
CVS Caremark Corp. | 6.125% | 9/15/39 | 780 | 1,028 |
CVS Caremark Corp. | 5.750% | 5/15/41 | 2,030 | 2,574 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 1,690 | 2,662 |
Darden Restaurants Inc. | 6.800% | 10/15/37 | 295 | 358 |
eBay Inc. | 4.000% | 7/15/42 | 1,000 | 982 |
Ford Holdings LLC | 9.300% | 3/1/30 | 375 | 510 |
Ford Motor Co. | 6.625% | 10/1/28 | 175 | 195 |
Ford Motor Co. | 6.375% | 2/1/29 | 350 | 379 |
Ford Motor Co. | 7.450% | 7/16/31 | 2,310 | 2,836 |
Ford Motor Co. | 7.400% | 11/1/46 | 745 | 883 |
Historic TW Inc. | 9.150% | 2/1/23 | 565 | 807 |
Historic TW Inc. | 6.625% | 5/15/29 | 1,440 | 1,799 |
Home Depot Inc. | 5.875% | 12/16/36 | 3,615 | 4,821 |
Home Depot Inc. | 5.400% | 9/15/40 | 855 | 1,090 |
Home Depot Inc. | 5.950% | 4/1/41 | 1,315 | 1,795 |
Johnson Controls Inc. | 6.000% | 1/15/36 | 340 | 416 |
Johnson Controls Inc. | 5.700% | 3/1/41 | 495 | 598 |
Johnson Controls Inc. | 5.250% | 12/1/41 | 280 | 319 |
Kohl’s Corp. | 6.000% | 1/15/33 | 45 | 52 |
Kohl’s Corp. | 6.875% | 12/15/37 | 1,115 | 1,466 |
Lowe’s Cos. Inc. | 6.875% | 2/15/28 | 60 | 79 |
Lowe’s Cos. Inc. | 6.500% | 3/15/29 | 30 | 39 |
Lowe’s Cos. Inc. | 5.500% | 10/15/35 | 860 | 1,031 |
Lowe’s Cos. Inc. | 5.800% | 10/15/36 | 290 | 364 |
Lowe’s Cos. Inc. | 6.650% | 9/15/37 | 325 | 443 |
Lowe’s Cos. Inc. | 5.800% | 4/15/40 | 1,470 | 1,873 |
Lowe’s Cos. Inc. | 5.125% | 11/15/41 | 1,155 | 1,339 |
Lowe’s Cos. Inc. | 4.650% | 4/15/42 | 660 | 711 |
Macy’s Retail Holdings Inc. | 6.900% | 4/1/29 | 1,235 | 1,496 |
Macy’s Retail Holdings Inc. | 6.700% | 7/15/34 | 40 | 49 |
Macy’s Retail Holdings Inc. | 6.375% | 3/15/37 | 1,810 | 2,202 |
Macy’s Retail Holdings Inc. | 5.125% | 1/15/42 | 205 | 227 |
McDonald’s Corp. | 6.300% | 10/15/37 | 1,610 | 2,357 |
McDonald’s Corp. | 6.300% | 3/1/38 | 845 | 1,241 |
McDonald’s Corp. | 5.700% | 2/1/39 | 50 | 69 |
McDonald’s Corp. | 3.700% | 2/15/42 | 1,070 | 1,122 |
146
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Nordstrom Inc. | 6.950% | 3/15/28 | 30 | 40 |
Nordstrom Inc. | 7.000% | 1/15/38 | 460 | 662 |
Target Corp. | 7.000% | 7/15/31 | 480 | 669 |
Target Corp. | 6.350% | 11/1/32 | 960 | 1,293 |
Target Corp. | 6.500% | 10/15/37 | 3,310 | 4,656 |
Target Corp. | 7.000% | 1/15/38 | 2,140 | 3,186 |
Target Corp. | 4.000% | 7/1/42 | 235 | 242 |
Time Warner Cos. Inc. | 7.570% | 2/1/24 | 470 | 626 |
Time Warner Cos. Inc. | 6.950% | 1/15/28 | 85 | 109 |
Time Warner Inc. | 7.625% | 4/15/31 | 3,160 | 4,295 |
Time Warner Inc. | 7.700% | 5/1/32 | 2,605 | 3,598 |
Time Warner Inc. | 6.500% | 11/15/36 | 840 | 1,049 |
Time Warner Inc. | 6.200% | 3/15/40 | 410 | 504 |
Time Warner Inc. | 6.100% | 7/15/40 | 1,260 | 1,538 |
Time Warner Inc. | 6.250% | 3/29/41 | 1,920 | 2,387 |
Time Warner Inc. | 5.375% | 10/15/41 | 400 | 456 |
Time Warner Inc. | 4.900% | 6/15/42 | 305 | 332 |
VF Corp. | 6.450% | 11/1/37 | 635 | 883 |
Viacom Inc. | 6.875% | 4/30/36 | 2,615 | 3,511 |
Viacom Inc. | 6.750% | 10/5/37 | 250 | 332 |
Viacom Inc. | 4.500% | 2/27/42 | 20 | 21 |
Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 1,830 | 2,447 |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 1,650 | 2,529 |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 2,755 | 3,444 |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 4,025 | 5,846 |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 2,980 | 4,215 |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 2,672 | 3,593 |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 345 | 419 |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 630 | 781 |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 1,465 | 1,974 |
Walt Disney Co. | 3.750% | 6/1/21 | 250 | 281 |
Walt Disney Co. | 7.000% | 3/1/32 | 80 | 119 |
Walt Disney Co. | 4.375% | 8/16/41 | 665 | 783 |
Walt Disney Co. | 4.125% | 12/1/41 | 1,160 | 1,325 |
Western Union Co. | 6.200% | 11/17/36 | 800 | 921 |
Western Union Co. | 6.200% | 6/21/40 | 170 | 203 |
Yum! Brands Inc. | 6.875% | 11/15/37 | 920 | 1,271 |
Consumer Noncyclical (13.3%) | ||||
Abbott Laboratories | 6.150% | 11/30/37 | 1,350 | 1,925 |
Abbott Laboratories | 6.000% | 4/1/39 | 1,095 | 1,543 |
Abbott Laboratories | 5.300% | 5/27/40 | 1,270 | 1,656 |
Ahold Finance USA LLC | 6.875% | 5/1/29 | 340 | 428 |
Altria Group Inc. | 9.950% | 11/10/38 | 1,900 | 3,246 |
Altria Group Inc. | 10.200% | 2/6/39 | 2,015 | 3,513 |
Altria Group Inc. | 4.250% | 8/9/42 | 625 | 610 |
Amgen Inc. | 6.375% | 6/1/37 | 1,545 | 1,917 |
Amgen Inc. | 6.900% | 6/1/38 | 65 | 86 |
Amgen Inc. | 6.400% | 2/1/39 | 2,735 | 3,393 |
Amgen Inc. | 5.750% | 3/15/40 | 740 | 866 |
Amgen Inc. | 4.950% | 10/1/41 | 710 | 751 |
Amgen Inc. | 5.150% | 11/15/41 | 3,105 | 3,349 |
Amgen Inc. | 5.650% | 6/15/42 | 1,370 | 1,606 |
Amgen Inc. | 5.375% | 5/15/43 | 420 | 471 |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 65 | 91 |
147
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Anheuser-Busch Cos. LLC | 5.950% | 1/15/33 | 20 | 26 |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 25 | 32 |
Anheuser-Busch Cos. LLC | 6.450% | 9/1/37 | 680 | 956 |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 2,330 | 3,901 |
Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 255 | 418 |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 1,260 | 1,813 |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 1,860 | 1,899 |
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 645 | 824 |
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 680 | 845 |
Archer-Daniels-Midland Co. | 5.765% | 3/1/41 | 1,435 | 1,906 |
Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 250 | 284 |
AstraZeneca plc | 6.450% | 9/15/37 | 4,125 | 5,833 |
Baxter International Inc. | 6.250% | 12/1/37 | 370 | 527 |
Baxter International Inc. | 3.650% | 8/15/42 | 450 | 460 |
Beam Inc. | 5.875% | 1/15/36 | 160 | 190 |
Becton Dickinson & Co. | 6.000% | 5/15/39 | 30 | 42 |
Becton Dickinson & Co. | 5.000% | 11/12/40 | 265 | 324 |
Boston Scientific Corp. | 7.000% | 11/15/35 | 50 | 65 |
Boston Scientific Corp. | 7.375% | 1/15/40 | 870 | 1,208 |
Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 25 | 35 |
Bristol-Myers Squibb Co. | 6.800% | 11/15/26 | 45 | 64 |
Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 1,380 | 1,858 |
Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 960 | 1,350 |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 475 | 448 |
Bristol-Myers Squibb Co. | 6.875% | 8/1/97 | 35 | 51 |
Campbell Soup Co. | 3.800% | 8/2/42 | 200 | 200 |
Celgene Corp. | 5.700% | 10/15/40 | 310 | 354 |
Coca-Cola Co. | 3.300% | 9/1/21 | 50 | 55 |
Colgate-Palmolive Co. | 1.950% | 2/1/23 | 700 | 685 |
ConAgra Foods Inc. | 7.125% | 10/1/26 | 360 | 470 |
ConAgra Foods Inc. | 7.000% | 10/1/28 | 375 | 476 |
ConAgra Foods Inc. | 8.250% | 9/15/30 | 495 | 677 |
Covidien International Finance SA | 6.550% | 10/15/37 | 1,150 | 1,669 |
Delhaize America LLC | 9.000% | 4/15/31 | 670 | 773 |
Delhaize Group SA | 5.700% | 10/1/40 | 432 | 355 |
Diageo Capital plc | 5.875% | 9/30/36 | 1,490 | 1,973 |
Diageo Investment Corp. | 7.450% | 4/15/35 | 235 | 357 |
Diageo Investment Corp. | 4.250% | 5/11/42 | 385 | 426 |
Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 130 | 193 |
Eli Lilly & Co. | 7.125% | 6/1/25 | 60 | 85 |
Eli Lilly & Co. | 5.500% | 3/15/27 | 1,375 | 1,796 |
Eli Lilly & Co. | 6.770% | 1/1/36 | 290 | 422 |
Eli Lilly & Co. | 5.550% | 3/15/37 | 755 | 996 |
Eli Lilly & Co. | 5.950% | 11/15/37 | 265 | 366 |
Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 215 | 281 |
Estee Lauder Cos. Inc. | 3.700% | 8/15/42 | 600 | 593 |
2 Express Scripts Holding Co. | 6.125% | 11/15/41 | 1,010 | 1,324 |
Genentech Inc. | 5.250% | 7/15/35 | 945 | 1,170 |
General Mills Inc. | 5.400% | 6/15/40 | 890 | 1,120 |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 1,315 | 1,669 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 80 | 100 |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 3,820 | 5,492 |
Hasbro Inc. | 6.350% | 3/15/40 | 630 | 750 |
HJ Heinz Finance Co. | 6.750% | 3/15/32 | 430 | 550 |
Hospira Inc. | 5.600% | 9/15/40 | 390 | 419 |
148
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Ingredion Inc. | 6.625% | 4/15/37 | 175 | 221 |
Johnson & Johnson | 6.730% | 11/15/23 | 50 | 72 |
Johnson & Johnson | 6.950% | 9/1/29 | 40 | 59 |
Johnson & Johnson | 4.950% | 5/15/33 | 500 | 630 |
Johnson & Johnson | 5.950% | 8/15/37 | 2,245 | 3,229 |
Johnson & Johnson | 5.850% | 7/15/38 | 95 | 136 |
Johnson & Johnson | 4.500% | 9/1/40 | 1,670 | 2,019 |
Johnson & Johnson | 4.850% | 5/15/41 | 45 | 58 |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 620 | 713 |
Kellogg Co. | 7.450% | 4/1/31 | 1,375 | 1,946 |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 1,015 | 1,527 |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 610 | 809 |
Koninklijke Philips Electronics NV | 6.875% | 3/11/38 | 1,410 | 1,927 |
Koninklijke Philips Electronics NV | 5.000% | 3/15/42 | 675 | 778 |
2 Kraft Foods Group Inc. | 5.000% | 6/4/42 | 2,490 | 2,866 |
Kraft Foods Inc. | 6.500% | 11/1/31 | 1,680 | 2,170 |
Kraft Foods Inc. | 7.000% | 8/11/37 | 848 | 1,184 |
Kraft Foods Inc. | 6.875% | 2/1/38 | 805 | 1,107 |
Kraft Foods Inc. | 6.875% | 1/26/39 | 915 | 1,267 |
Kraft Foods Inc. | 6.500% | 2/9/40 | 2,840 | 3,895 |
Kroger Co. | 7.700% | 6/1/29 | 20 | 26 |
Kroger Co. | 8.000% | 9/15/29 | 150 | 200 |
Kroger Co. | 7.500% | 4/1/31 | 380 | 499 |
Kroger Co. | 6.900% | 4/15/38 | 1,435 | 1,815 |
Kroger Co. | 5.400% | 7/15/40 | 455 | 497 |
Kroger Co. | 5.000% | 4/15/42 | 600 | 628 |
Lorillard Tobacco Co. | 8.125% | 5/1/40 | 40 | 53 |
Lorillard Tobacco Co. | 7.000% | 8/4/41 | 535 | 642 |
Mattel Inc. | 5.450% | 11/1/41 | 720 | 814 |
McKesson Corp. | 6.000% | 3/1/41 | 1,080 | 1,495 |
Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 445 | 560 |
Medtronic Inc. | 6.500% | 3/15/39 | 155 | 229 |
Medtronic Inc. | 5.550% | 3/15/40 | 530 | 682 |
Medtronic Inc. | 4.500% | 3/15/42 | 710 | 821 |
Memorial Sloan-Kettering Cancer Center | ||||
New York GO | 3.774% | 11/15/43 | 400 | 409 |
Merck & Co. Inc. | 6.300% | 1/1/26 | 30 | 40 |
Merck & Co. Inc. | 6.400% | 3/1/28 | 140 | 196 |
Merck & Co. Inc. | 5.950% | 12/1/28 | 80 | 108 |
Merck & Co. Inc. | 6.500% | 12/1/33 | 1,570 | 2,294 |
Merck & Co. Inc. | 5.750% | 11/15/36 | 70 | 97 |
Merck & Co. Inc. | 6.550% | 9/15/37 | 2,550 | 3,842 |
Merck & Co. Inc. | 5.850% | 6/30/39 | 810 | 1,145 |
Molson Coors Brewing Co. | 5.000% | 5/1/42 | 1,700 | 1,931 |
New York University Hospitals Center GO | 4.428% | 7/1/42 | 500 | 513 |
Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 885 | 1,274 |
PepsiAmericas Inc. | 5.500% | 5/15/35 | 125 | 161 |
PepsiCo Inc. | 5.500% | 1/15/40 | 1,695 | 2,194 |
PepsiCo Inc. | 4.875% | 11/1/40 | 1,070 | 1,296 |
PepsiCo Inc. | 4.000% | 3/5/42 | 800 | 857 |
PepsiCo Inc. | 3.600% | 8/13/42 | 475 | 474 |
Pfizer Inc. | 7.200% | 3/15/39 | 2,895 | 4,594 |
Pharmacia Corp. | 6.600% | 12/1/28 | 355 | 490 |
Philip Morris International Inc. | 6.375% | 5/16/38 | 1,790 | 2,499 |
Philip Morris International Inc. | 4.375% | 11/15/41 | 920 | 1,008 |
149
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Philip Morris International Inc. | 4.500% | 3/20/42 | 455 | 508 |
Philip Morris International Inc. | 3.875% | 8/21/42 | 1,125 | 1,137 |
Procter & Gamble Co. | 6.450% | 1/15/26 | 50 | 70 |
Procter & Gamble Co. | 5.500% | 2/1/34 | 60 | 80 |
Procter & Gamble Co. | 5.800% | 8/15/34 | 1,350 | 1,880 |
3 Procter & Gamble Co. | 5.550% | 3/5/37 | 1,985 | 2,737 |
Quest Diagnostics Inc. | 6.950% | 7/1/37 | 535 | 712 |
Quest Diagnostics Inc. | 5.750% | 1/30/40 | 460 | 542 |
Ralcorp Holdings Inc. | 6.625% | 8/15/39 | 641 | 679 |
Reynolds American Inc. | 7.250% | 6/15/37 | 650 | 836 |
Safeway Inc. | 7.250% | 2/1/31 | 780 | 816 |
Sysco Corp. | 5.375% | 9/21/35 | 580 | 743 |
Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 1,135 | 1,528 |
Unilever Capital Corp. | 5.900% | 11/15/32 | 1,885 | 2,706 |
Wyeth LLC | 6.450% | 2/1/24 | 330 | 455 |
Wyeth LLC | 6.500% | 2/1/34 | 2,130 | 3,024 |
Wyeth LLC | 6.000% | 2/15/36 | 115 | 157 |
Wyeth LLC | 5.950% | 4/1/37 | 2,745 | 3,766 |
Zimmer Holdings Inc. | 5.750% | 11/30/39 | 425 | 529 |
Energy (9.3%) | ||||
Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 580 | 722 |
Anadarko Finance Co. | 7.500% | 5/1/31 | 1,365 | 1,841 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 2,915 | 3,599 |
Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 55 | 77 |
Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 890 | 1,083 |
Apache Corp. | 6.000% | 1/15/37 | 200 | 267 |
Apache Corp. | 5.100% | 9/1/40 | 2,685 | 3,207 |
Apache Corp. | 5.250% | 2/1/42 | 705 | 866 |
Apache Corp. | 4.750% | 4/15/43 | 1,670 | 1,921 |
Apache Finance Canada Corp. | 7.750% | 12/15/29 | 425 | 621 |
Baker Hughes Inc. | 6.875% | 1/15/29 | 50 | 69 |
Baker Hughes Inc. | 5.125% | 9/15/40 | 1,715 | 2,120 |
Burlington Resources Finance Co. | 7.200% | 8/15/31 | 1,590 | 2,281 |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 55 | 80 |
Cameron International Corp. | 7.000% | 7/15/38 | 540 | 719 |
Cameron International Corp. | 5.950% | 6/1/41 | 230 | 279 |
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 528 | 739 |
Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 50 | 65 |
Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 700 | 856 |
Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 455 | 603 |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 1,770 | 2,330 |
Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 250 | 345 |
Cenovus Energy Inc. | 6.750% | 11/15/39 | 1,895 | 2,550 |
Cenovus Energy Inc. | 4.450% | 9/15/42 | 550 | 565 |
Conoco Funding Co. | 7.250% | 10/15/31 | 115 | 171 |
ConocoPhillips | 5.900% | 10/15/32 | 765 | 998 |
ConocoPhillips | 5.900% | 5/15/38 | 640 | 858 |
ConocoPhillips | 6.500% | 2/1/39 | 3,255 | 4,694 |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 425 | 561 |
ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 2,570 | 3,657 |
Devon Energy Corp. | 7.950% | 4/15/32 | 1,455 | 2,180 |
Devon Energy Corp. | 5.600% | 7/15/41 | 1,290 | 1,552 |
Devon Energy Corp. | 4.750% | 5/15/42 | 740 | 800 |
Devon Financing Corp. ULC | 7.875% | 9/30/31 | 1,235 | 1,806 |
150
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Diamond Offshore Drilling Inc. | 5.700% | 10/15/39 | 325 | 419 |
Encana Corp. | 7.200% | 11/1/31 | 55 | 67 |
Encana Corp. | 6.500% | 8/15/34 | 1,410 | 1,664 |
Encana Corp. | 6.625% | 8/15/37 | 660 | 804 |
Encana Corp. | 6.500% | 2/1/38 | 870 | 1,047 |
Encana Corp. | 5.150% | 11/15/41 | 640 | 655 |
Eni USA Inc. | 7.300% | 11/15/27 | 395 | 529 |
Global Marine Inc. | 7.000% | 6/1/28 | 255 | 281 |
Halliburton Co. | 6.700% | 9/15/38 | 670 | 967 |
Halliburton Co. | 7.450% | 9/15/39 | 1,165 | 1,834 |
Halliburton Co. | 4.500% | 11/15/41 | 735 | 826 |
Hess Corp. | 7.875% | 10/1/29 | 940 | 1,255 |
Hess Corp. | 7.300% | 8/15/31 | 2,335 | 3,013 |
Hess Corp. | 7.125% | 3/15/33 | 115 | 148 |
Hess Corp. | 6.000% | 1/15/40 | 675 | 797 |
Hess Corp. | 5.600% | 2/15/41 | 1,450 | 1,645 |
Husky Energy Inc. | 6.800% | 9/15/37 | 560 | 717 |
Kerr-McGee Corp. | 6.950% | 7/1/24 | 90 | 115 |
Kerr-McGee Corp. | 7.875% | 9/15/31 | 940 | 1,263 |
Marathon Oil Corp. | 6.800% | 3/15/32 | 1,140 | 1,488 |
Marathon Oil Corp. | 6.600% | 10/1/37 | 385 | 511 |
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 1,185 | 1,444 |
Murphy Oil Corp. | 7.050% | 5/1/29 | 830 | 1,011 |
Nexen Inc. | 7.875% | 3/15/32 | 405 | 558 |
Nexen Inc. | 5.875% | 3/10/35 | 140 | 165 |
Nexen Inc. | 6.400% | 5/15/37 | 1,225 | 1,543 |
Nexen Inc. | 7.500% | 7/30/39 | 2,105 | 2,973 |
Noble Energy Inc. | 8.000% | 4/1/27 | 245 | 334 |
Noble Energy Inc. | 6.000% | 3/1/41 | 1,185 | 1,454 |
Noble Holding International Ltd. | 6.200% | 8/1/40 | 450 | 526 |
Noble Holding International Ltd. | 6.050% | 3/1/41 | 650 | 748 |
Noble Holding International Ltd. | 5.250% | 3/15/42 | 465 | 493 |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 1,695 | 1,747 |
Petro-Canada | 7.875% | 6/15/26 | 45 | 64 |
Petro-Canada | 7.000% | 11/15/28 | 145 | 184 |
Petro-Canada | 5.350% | 7/15/33 | 45 | 50 |
Petro-Canada | 5.950% | 5/15/35 | 645 | 793 |
Petro-Canada | 6.800% | 5/15/38 | 1,935 | 2,651 |
2 Phillips 66 | 5.875% | 5/1/42 | 1,635 | 1,918 |
Pioneer Natural Resources Co. | 7.200% | 1/15/28 | 275 | 346 |
Pride International Inc. | 7.875% | 8/15/40 | 485 | 708 |
Shell International Finance BV | 6.375% | 12/15/38 | 3,895 | 5,691 |
Shell International Finance BV | 5.500% | 3/25/40 | 620 | 825 |
Shell International Finance BV | 3.625% | 8/21/42 | 550 | 569 |
Suncor Energy Inc. | 7.150% | 2/1/32 | 715 | 979 |
Suncor Energy Inc. | 5.950% | 12/1/34 | 80 | 98 |
Suncor Energy Inc. | 6.500% | 6/15/38 | 2,015 | 2,688 |
Suncor Energy Inc. | 6.850% | 6/1/39 | 990 | 1,366 |
Talisman Energy Inc. | 7.250% | 10/15/27 | 235 | 304 |
Talisman Energy Inc. | 5.850% | 2/1/37 | 970 | 1,089 |
Talisman Energy Inc. | 6.250% | 2/1/38 | 1,175 | 1,390 |
Talisman Energy Inc. | 5.500% | 5/15/42 | 95 | 106 |
Tosco Corp. | 7.800% | 1/1/27 | 140 | 203 |
Tosco Corp. | 8.125% | 2/15/30 | 845 | 1,294 |
Transocean Inc. | 7.500% | 4/15/31 | 755 | 930 |
151
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Transocean Inc. | 6.800% | 3/15/38 | 1,235 | 1,538 |
Transocean Inc. | 7.350% | 12/15/41 | 555 | 748 |
Valero Energy Corp. | 7.500% | 4/15/32 | 1,750 | 2,202 |
Valero Energy Corp. | 6.625% | 6/15/37 | 1,765 | 2,131 |
Valero Energy Corp. | 10.500% | 3/15/39 | 40 | 62 |
Weatherford International Inc. | 6.800% | 6/15/37 | 560 | 629 |
Weatherford International Ltd. | 6.500% | 8/1/36 | 1,060 | 1,154 |
Weatherford International Ltd. | 7.000% | 3/15/38 | 60 | 68 |
Weatherford International Ltd. | 9.875% | 3/1/39 | 255 | 364 |
Weatherford International Ltd. | 6.750% | 9/15/40 | 740 | 831 |
Weatherford International Ltd. | 5.950% | 4/15/42 | 620 | 651 |
XTO Energy Inc. | 6.750% | 8/1/37 | 205 | 321 |
Other Industrial (0.2%) | ||||
California Institute of Technology GO | 4.700% | 11/1/11 | 435 | 494 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 855 | 1,236 |
Technology (3.2%) | ||||
Applied Materials Inc. | 5.850% | 6/15/41 | 890 | 1,142 |
Cisco Systems Inc. | 5.900% | 2/15/39 | 3,210 | 4,312 |
Cisco Systems Inc. | 5.500% | 1/15/40 | 1,865 | 2,414 |
Corning Inc. | 7.250% | 8/15/36 | 35 | 45 |
Corning Inc. | 4.700% | 3/15/37 | 885 | 946 |
Corning Inc. | 5.750% | 8/15/40 | 440 | 538 |
Corning Inc. | 4.750% | 3/15/42 | 80 | 87 |
Dell Inc. | 7.100% | 4/15/28 | 265 | 328 |
Dell Inc. | 6.500% | 4/15/38 | 460 | 563 |
Dell Inc. | 5.400% | 9/10/40 | 335 | 364 |
Harris Corp. | 6.150% | 12/15/40 | 400 | 483 |
Hewlett-Packard Co. | 4.300% | 6/1/21 | 325 | 326 |
Hewlett-Packard Co. | 4.050% | 9/15/22 | 745 | 729 |
Hewlett-Packard Co. | 6.000% | 9/15/41 | 1,810 | 1,896 |
HP Enterprise Services LLC | 7.450% | 10/15/29 | 35 | 42 |
Intel Corp. | 4.800% | 10/1/41 | 1,805 | 2,137 |
International Business Machines Corp. | 7.000% | 10/30/25 | 270 | 393 |
International Business Machines Corp. | 6.220% | 8/1/27 | 590 | 795 |
International Business Machines Corp. | 6.500% | 1/15/28 | 225 | 312 |
International Business Machines Corp. | 5.875% | 11/29/32 | 855 | 1,187 |
International Business Machines Corp. | 5.600% | 11/30/39 | 1,340 | 1,821 |
International Business Machines Corp. | 4.000% | 6/20/42 | 1,984 | 2,188 |
Juniper Networks Inc. | 5.950% | 3/15/41 | 570 | 646 |
Microsoft Corp. | 5.200% | 6/1/39 | 630 | 821 |
Microsoft Corp. | 4.500% | 10/1/40 | 1,450 | 1,747 |
3 Microsoft Corp. | 5.300% | 2/8/41 | 1,270 | 1,703 |
Motorola Solutions Inc. | 7.500% | 5/15/25 | 196 | 245 |
Oracle Corp. | 6.500% | 4/15/38 | 2,245 | 3,196 |
Oracle Corp. | 6.125% | 7/8/39 | 1,540 | 2,150 |
Oracle Corp. | 5.375% | 7/15/40 | 1,915 | 2,452 |
Pitney Bowes Inc. | 5.250% | 1/15/37 | 920 | 936 |
SAIC Inc. | 5.950% | 12/1/40 | 60 | 69 |
Science Applications International Corp. | 5.500% | 7/1/33 | 365 | 396 |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 370 | 506 |
Xerox Corp. | 6.750% | 12/15/39 | 560 | 686 |
152
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Transportation (2.7%) | ||||
1 BNSF Funding Trust I | 6.613% | 12/15/55 | 220 | 240 |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 60 | 81 |
Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 50 | 72 |
Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 45 | 58 |
Burlington Northern Santa Fe LLC | 6.150% | 5/1/37 | 600 | 778 |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 1,710 | 2,123 |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 785 | 897 |
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 470 | 563 |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 330 | 372 |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 1,095 | 1,162 |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 500 | 528 |
Canadian National Railway Co. | 6.900% | 7/15/28 | 310 | 436 |
Canadian National Railway Co. | 6.250% | 8/1/34 | 45 | 62 |
Canadian National Railway Co. | 6.200% | 6/1/36 | 485 | 672 |
Canadian National Railway Co. | 6.375% | 11/15/37 | 1,280 | 1,850 |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 1,275 | 1,409 |
Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 395 | 512 |
Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 335 | 406 |
Canadian Pacific Railway Ltd. | 5.750% | 1/15/42 | 50 | 59 |
Con-way Inc. | 6.700% | 5/1/34 | 230 | 232 |
1 Continental Airlines 2012-1 Class A | ||||
Pass Through Trusts | 4.150% | 10/11/25 | 840 | 846 |
CSX Corp. | 6.000% | 10/1/36 | 575 | 726 |
CSX Corp. | 6.150% | 5/1/37 | 410 | 532 |
CSX Corp. | 6.220% | 4/30/40 | 1,495 | 1,973 |
CSX Corp. | 5.500% | 4/15/41 | 870 | 1,051 |
CSX Corp. | 4.750% | 5/30/42 | 715 | 792 |
CSX Corp. | 4.400% | 3/1/43 | 500 | 526 |
FedEx Corp. | 3.875% | 8/1/42 | 485 | 489 |
2 Norfolk Southern Corp. | 2.903% | 2/15/23 | 831 | 850 |
Norfolk Southern Corp. | 5.590% | 5/17/25 | 424 | 531 |
Norfolk Southern Corp. | 5.640% | 5/17/29 | 145 | 182 |
Norfolk Southern Corp. | 7.250% | 2/15/31 | 1,130 | 1,652 |
Norfolk Southern Corp. | 4.837% | 10/1/41 | 1,283 | 1,492 |
Norfolk Southern Corp. | 6.000% | 3/15/2105 | 502 | 619 |
Norfolk Southern Corp. | 6.000% | 5/23/2111 | 550 | 678 |
Union Pacific Corp. | 7.125% | 2/1/28 | 35 | 47 |
Union Pacific Corp. | 6.625% | 2/1/29 | 610 | 836 |
Union Pacific Corp. | 6.150% | 5/1/37 | 45 | 59 |
Union Pacific Corp. | 5.780% | 7/15/40 | 105 | 135 |
Union Pacific Corp. | 4.750% | 9/15/41 | 1,050 | 1,193 |
Union Pacific Corp. | 4.300% | 6/15/42 | 600 | 641 |
United Parcel Service Inc. | 6.200% | 1/15/38 | 2,170 | 3,119 |
United Parcel Service Inc. | 4.875% | 11/15/40 | 720 | 891 |
United Parcel Service of America Inc. | 8.375% | 4/1/30 | 25 | 39 |
1 US Airways 2012-1 Class A Pass Through Trust | 5.900% | 4/1/26 | 500 | 531 |
755,660 | ||||
Utilities (17.5%) | ||||
Electric (12.5%) | ||||
AEP Texas Central Co. | 6.650% | 2/15/33 | 25 | 33 |
Alabama Power Co. | 5.650% | 3/15/35 | 1,025 | 1,126 |
Alabama Power Co. | 6.125% | 5/15/38 | 560 | 773 |
153
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Alabama Power Co. | 6.000% | 3/1/39 | 445 | 604 |
Alabama Power Co. | 5.500% | 3/15/41 | 45 | 60 |
Alabama Power Co. | 5.200% | 6/1/41 | 480 | 612 |
Alabama Power Co. | 4.100% | 1/15/42 | 40 | 43 |
Appalachian Power Co. | 5.800% | 10/1/35 | 800 | 976 |
Appalachian Power Co. | 6.375% | 4/1/36 | 335 | 427 |
Appalachian Power Co. | 7.000% | 4/1/38 | 1,680 | 2,319 |
Arizona Public Service Co. | 5.500% | 9/1/35 | 30 | 36 |
Arizona Public Service Co. | 5.050% | 9/1/41 | 445 | 531 |
Arizona Public Service Co. | 4.500% | 4/1/42 | 600 | 669 |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 570 | 793 |
Carolina Power & Light Co. | 6.300% | 4/1/38 | 50 | 70 |
Carolina Power & Light Co. | 4.100% | 5/15/42 | 495 | 524 |
CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 30 | 44 |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 1,075 | 1,078 |
Cleco Power LLC | 6.500% | 12/1/35 | 330 | 416 |
Cleco Power LLC | 6.000% | 12/1/40 | 235 | 280 |
Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 25 | 29 |
Cleveland Electric Illuminating Co. | 5.950% | 12/15/36 | 30 | 35 |
Commonwealth Edison Co. | 5.875% | 2/1/33 | 35 | 46 |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 980 | 1,333 |
Commonwealth Edison Co. | 6.450% | 1/15/38 | 765 | 1,092 |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 40 | 56 |
Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 490 | 617 |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 675 | 914 |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 160 | 226 |
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 375 | 540 |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 1,120 | 1,705 |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 675 | 889 |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 1,385 | 1,891 |
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 40 | 45 |
Delmarva Power & Light Co. | 4.000% | 6/1/42 | 60 | 65 |
Detroit Edison Co. | 5.700% | 10/1/37 | 420 | 563 |
Detroit Edison Co. | 3.950% | 6/15/42 | 200 | 216 |
Dominion Resources Inc. | 6.300% | 3/15/33 | 365 | 475 |
Dominion Resources Inc. | 5.250% | 8/1/33 | 1,045 | 1,236 |
Dominion Resources Inc. | 5.950% | 6/15/35 | 340 | 439 |
Dominion Resources Inc. | 7.000% | 6/15/38 | 600 | 882 |
Dominion Resources Inc. | 4.900% | 8/1/41 | 675 | 796 |
DTE Energy Co. | 6.375% | 4/15/33 | 495 | 655 |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 650 | 837 |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 450 | 599 |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 75 | 99 |
Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 680 | 917 |
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 1,555 | 2,129 |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 985 | 1,225 |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 410 | 449 |
Duke Energy Indiana Inc. | 6.120% | 10/15/35 | 560 | 727 |
Duke Energy Indiana Inc. | 6.350% | 8/15/38 | 680 | 954 |
Duke Energy Indiana Inc. | 6.450% | 4/1/39 | 250 | 357 |
Duke Energy Indiana Inc. | 4.200% | 3/15/42 | 350 | 371 |
El Paso Electric Co. | 6.000% | 5/15/35 | 55 | 66 |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 35 | 41 |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 790 | 977 |
Entergy Louisiana LLC | 4.440% | 1/15/26 | 110 | 123 |
154
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Exelon Corp. | 5.625% | 6/15/35 | 825 | 949 |
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 1,430 | 1,657 |
Exelon Generation Co. LLC | 5.750% | 10/1/41 | 445 | 495 |
2 Exelon Generation Co. LLC | 5.600% | 6/15/42 | 1,038 | 1,126 |
FirstEnergy Corp. | 7.375% | 11/15/31 | 2,177 | 2,873 |
FirstEnergy Solutions Corp. | 6.800% | 8/15/39 | 1,000 | 1,084 |
Florida Power & Light Co. | 5.950% | 10/1/33 | 45 | 61 |
Florida Power & Light Co. | 5.625% | 4/1/34 | 50 | 65 |
Florida Power & Light Co. | 4.950% | 6/1/35 | 65 | 79 |
Florida Power & Light Co. | 5.400% | 9/1/35 | 70 | 90 |
Florida Power & Light Co. | 6.200% | 6/1/36 | 40 | 56 |
Florida Power & Light Co. | 5.650% | 2/1/37 | 75 | 101 |
Florida Power & Light Co. | 5.850% | 5/1/37 | 845 | 1,162 |
Florida Power & Light Co. | 5.950% | 2/1/38 | 1,550 | 2,145 |
Florida Power & Light Co. | 5.960% | 4/1/39 | 760 | 1,074 |
Florida Power & Light Co. | 5.690% | 3/1/40 | 555 | 753 |
Florida Power & Light Co. | 5.250% | 2/1/41 | 785 | 1,012 |
Florida Power & Light Co. | 5.125% | 6/1/41 | 185 | 237 |
Florida Power & Light Co. | 4.125% | 2/1/42 | 1,245 | 1,393 |
Florida Power & Light Co. | 4.050% | 6/1/42 | 870 | 962 |
Florida Power Corp. | 6.350% | 9/15/37 | 670 | 927 |
Florida Power Corp. | 6.400% | 6/15/38 | 1,710 | 2,382 |
Florida Power Corp. | 5.650% | 4/1/40 | 145 | 189 |
Georgia Power Co. | 5.650% | 3/1/37 | 45 | 58 |
Georgia Power Co. | 5.950% | 2/1/39 | 365 | 487 |
Georgia Power Co. | 5.400% | 6/1/40 | 1,575 | 2,000 |
Georgia Power Co. | 4.750% | 9/1/40 | 380 | 441 |
Georgia Power Co. | 4.300% | 3/15/42 | 850 | 916 |
Iberdrola International BV | 6.750% | 7/15/36 | 680 | 668 |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 80 | 100 |
Interstate Power & Light Co. | 6.250% | 7/15/39 | 250 | 340 |
1 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 724 | 844 |
Kansas City Power & Light Co. | 6.050% | 11/15/35 | 30 | 37 |
Kansas City Power & Light Co. | 5.300% | 10/1/41 | 710 | 825 |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 535 | 680 |
Louisville Gas & Electric Co. | 5.125% | 11/15/40 | 45 | 57 |
MidAmerican Energy Co. | 6.750% | 12/30/31 | 50 | 69 |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 430 | 550 |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 40 | 53 |
MidAmerican Energy Holdings Co. | 8.480% | 9/15/28 | 55 | 83 |
MidAmerican Energy Holdings Co. | 6.125% | 4/1/36 | 2,660 | 3,462 |
MidAmerican Energy Holdings Co. | 5.950% | 5/15/37 | 335 | 434 |
MidAmerican Energy Holdings Co. | 6.500% | 9/15/37 | 1,875 | 2,555 |
Midamerican Funding LLC | 6.927% | 3/1/29 | 350 | 473 |
Mississippi Power Co. | 4.250% | 3/15/42 | 590 | 615 |
National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 1,555 | 2,387 |
Nevada Power Co. | 6.650% | 4/1/36 | 325 | 465 |
Nevada Power Co. | 6.750% | 7/1/37 | 690 | 975 |
Nevada Power Co. | 5.375% | 9/15/40 | 410 | 508 |
Nevada Power Co. | 5.450% | 5/15/41 | 535 | 676 |
Northern States Power Co. | 5.250% | 7/15/35 | 45 | 57 |
Northern States Power Co. | 6.250% | 6/1/36 | 1,000 | 1,432 |
Northern States Power Co. | 6.200% | 7/1/37 | 45 | 65 |
Northern States Power Co. | 5.350% | 11/1/39 | 575 | 755 |
Northern States Power Co. | 4.850% | 8/15/40 | 190 | 238 |
Northern States Power Co. | 3.400% | 8/15/42 | 650 | 641 |
155
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
NSTAR Electric Co. | 5.500% | 3/15/40 | 45 | 60 |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 280 | 368 |
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 1,395 | 1,738 |
Ohio Edison Co. | 6.875% | 7/15/36 | 345 | 461 |
Ohio Power Co. | 6.600% | 2/15/33 | 70 | 92 |
Ohio Power Co. | 5.850% | 10/1/35 | 725 | 912 |
Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 320 | 422 |
Oklahoma Gas & Electric Co. | 5.250% | 5/15/41 | 30 | 37 |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 1,925 | 2,380 |
Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 675 | 828 |
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 40 | 50 |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 120 | 158 |
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 1,145 | 1,232 |
2 Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 45 | 44 |
2 Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 60 | 65 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 4,120 | 5,440 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 1,270 | 1,652 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 160 | 224 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 395 | 549 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 1,090 | 1,369 |
Pacific Gas & Electric Co. | 4.500% | 12/15/41 | 1,175 | 1,318 |
Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 295 | 327 |
PacifiCorp | 7.700% | 11/15/31 | 120 | 184 |
PacifiCorp | 5.250% | 6/15/35 | 45 | 56 |
PacifiCorp | 6.100% | 8/1/36 | 1,935 | 2,647 |
PacifiCorp | 5.750% | 4/1/37 | 85 | 112 |
PacifiCorp | 6.250% | 10/15/37 | 1,800 | 2,529 |
PacifiCorp | 6.000% | 1/15/39 | 255 | 353 |
PacifiCorp | 4.100% | 2/1/42 | 585 | 632 |
Pennsylvania Electric Co. | 6.150% | 10/1/38 | 355 | 435 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 1,320 | 1,915 |
Potomac Electric Power Co. | 7.900% | 12/15/38 | 45 | 74 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 245 | 353 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,170 | 1,495 |
Progress Energy Inc. | 7.750% | 3/1/31 | 610 | 871 |
Progress Energy Inc. | 7.000% | 10/30/31 | 535 | 717 |
Progress Energy Inc. | 6.000% | 12/1/39 | 845 | 1,068 |
PSEG Power LLC | 8.625% | 4/15/31 | 665 | 987 |
Public Service Co. of Colorado | 6.250% | 9/1/37 | 200 | 287 |
Public Service Co. of Colorado | 6.500% | 8/1/38 | 45 | 66 |
Public Service Co. of Colorado | 4.750% | 8/15/41 | 255 | 311 |
Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 25 | 33 |
Public Service Electric & Gas Co. | 5.700% | 12/1/36 | 150 | 203 |
Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 605 | 829 |
Public Service Electric & Gas Co. | 5.375% | 11/1/39 | 5 | 7 |
Public Service Electric & Gas Co. | 5.500% | 3/1/40 | 535 | 719 |
Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 795 | 868 |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 50 | 64 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 35 | 49 |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 70 | 95 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 390 | 530 |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 40 | 55 |
Puget Sound Energy Inc. | 5.638% | 4/15/41 | 1,965 | 2,653 |
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 485 | 564 |
San Diego Gas & Electric Co. | 5.350% | 5/15/35 | 40 | 52 |
156
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
San Diego Gas & Electric Co. | 6.125% | 9/15/37 | 45 | 64 |
San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 655 | 950 |
San Diego Gas & Electric Co. | 5.350% | 5/15/40 | 20 | 27 |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 405 | 480 |
San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 1,080 | 1,188 |
San Diego Gas & Electric Co. | 4.300% | 4/1/42 | 60 | 69 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 450 | 619 |
South Carolina Electric & Gas Co. | 5.300% | 5/15/33 | 30 | 36 |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 710 | 956 |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 265 | 340 |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 915 | 1,008 |
Southern California Edison Co. | 6.650% | 4/1/29 | 45 | 61 |
Southern California Edison Co. | 6.000% | 1/15/34 | 1,705 | 2,325 |
Southern California Edison Co. | 5.750% | 4/1/35 | 70 | 93 |
Southern California Edison Co. | 5.350% | 7/15/35 | 45 | 57 |
Southern California Edison Co. | 5.550% | 1/15/36 | 20 | 26 |
Southern California Edison Co. | 5.625% | 2/1/36 | 40 | 53 |
Southern California Edison Co. | 5.550% | 1/15/37 | 820 | 1,077 |
Southern California Edison Co. | 5.950% | 2/1/38 | 905 | 1,249 |
Southern California Edison Co. | 6.050% | 3/15/39 | 975 | 1,371 |
Southern California Edison Co. | 5.500% | 3/15/40 | 95 | 126 |
Southern California Edison Co. | 4.500% | 9/1/40 | 1,305 | 1,538 |
Southern California Edison Co. | 3.900% | 12/1/41 | 220 | 237 |
Southern California Edison Co. | 4.050% | 3/15/42 | 85 | 93 |
Southern Power Co. | 5.150% | 9/15/41 | 950 | 1,112 |
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 320 | 418 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 550 | 636 |
Tampa Electric Co. | 6.550% | 5/15/36 | 430 | 610 |
Tampa Electric Co. | 6.150% | 5/15/37 | 140 | 191 |
Tampa Electric Co. | 4.100% | 6/15/42 | 200 | 214 |
Toledo Edison Co. | 6.150% | 5/15/37 | 970 | 1,244 |
TransAlta Corp. | 6.500% | 3/15/40 | 375 | 380 |
Union Electric Co. | 5.300% | 8/1/37 | 45 | 57 |
Union Electric Co. | 8.450% | 3/15/39 | 795 | 1,361 |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 1,445 | 1,587 |
Virginia Electric & Power Co. | 6.000% | 1/15/36 | 105 | 143 |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 1,510 | 2,076 |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 65 | 94 |
Virginia Electric & Power Co. | 8.875% | 11/15/38 | 510 | 887 |
Westar Energy Inc. | 4.125% | 3/1/42 | 490 | 546 |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 580 | 750 |
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 140 | 186 |
Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 609 | 865 |
Xcel Energy Inc. | 6.500% | 7/1/36 | 250 | 349 |
Xcel Energy Inc. | 4.800% | 9/15/41 | 925 | 1,082 |
Natural Gas (4.8%) | ||||
AGL Capital Corp. | 6.000% | 10/1/34 | 175 | 221 |
AGL Capital Corp. | 5.875% | 3/15/41 | 1,005 | 1,344 |
Atmos Energy Corp. | 5.500% | 6/15/41 | 450 | 558 |
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 255 | 348 |
CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 554 | 699 |
DCP Midstream LLC | 8.125% | 8/16/30 | 395 | 515 |
El Paso Natural Gas Co. LLC | 8.375% | 6/15/32 | 800 | 1,129 |
El Paso Pipeline Partners Operating Co. LLC | 7.500% | 11/15/40 | 400 | 515 |
157
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Enbridge Energy Partners LP | 7.500% | 4/15/38 | 940 | 1,258 |
Energy Transfer Partners LP | 6.625% | 10/15/36 | 55 | 61 |
Energy Transfer Partners LP | 7.500% | 7/1/38 | 1,005 | 1,202 |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 1,131 | 1,223 |
Energy Transfer Partners LP | 6.500% | 2/1/42 | 1,655 | 1,883 |
Enterprise Products Operating LLC | 6.875% | 3/1/33 | 90 | 116 |
Enterprise Products Operating LLC | 6.650% | 10/15/34 | 685 | 869 |
Enterprise Products Operating LLC | 7.550% | 4/15/38 | 390 | 528 |
Enterprise Products Operating LLC | 6.125% | 10/15/39 | 1,310 | 1,559 |
Enterprise Products Operating LLC | 6.450% | 9/1/40 | 460 | 570 |
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 1,565 | 1,857 |
Enterprise Products Operating LLC | 5.700% | 2/15/42 | 565 | 651 |
Enterprise Products Operating LLC | 4.850% | 8/15/42 | 590 | 615 |
Enterprise Products Operating LLC | 4.450% | 2/15/43 | 1,450 | 1,427 |
KeySpan Corp. | 8.000% | 11/15/30 | 240 | 337 |
KeySpan Corp. | 5.803% | 4/1/35 | 65 | 77 |
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 855 | 905 |
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 850 | 867 |
Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 50 | 64 |
Kinder Morgan Energy Partners LP | 7.750% | 3/15/32 | 300 | 391 |
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 575 | 732 |
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 50 | 55 |
Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 1,265 | 1,510 |
Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 1,100 | 1,374 |
Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 1,330 | 1,605 |
Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 100 | 123 |
Kinder Morgan Energy Partners LP | 6.375% | 3/1/41 | 95 | 116 |
Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 1,540 | 1,739 |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 850 | 876 |
Magellan Midstream Partners LP | 6.400% | 5/1/37 | 40 | 51 |
Nisource Finance Corp. | 6.250% | 12/15/40 | 590 | 745 |
Nisource Finance Corp. | 5.950% | 6/15/41 | 565 | 682 |
Nisource Finance Corp. | 5.800% | 2/1/42 | 25 | 30 |
Nisource Finance Corp. | 5.250% | 2/15/43 | 1,205 | 1,335 |
ONEOK Inc. | 6.000% | 6/15/35 | 190 | 217 |
ONEOK Partners LP | 6.650% | 10/1/36 | 125 | 149 |
ONEOK Partners LP | 6.850% | 10/15/37 | 85 | 104 |
ONEOK Partners LP | 6.125% | 2/1/41 | 2,290 | 2,688 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 6.700% | 5/15/36 | 265 | 337 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 6.650% | 1/15/37 | 1,160 | 1,493 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 5.150% | 6/1/42 | 345 | 391 |
Sempra Energy | 6.000% | 10/15/39 | 1,390 | 1,840 |
Southern California Gas Co. | 5.750% | 11/15/35 | 25 | 34 |
Southern Natural Gas Co. LLC | 8.000% | 3/1/32 | 520 | 726 |
Southern Union Co. | 7.600% | 2/1/24 | 255 | 320 |
Southern Union Co. | 8.250% | 11/15/29 | 264 | 332 |
Spectra Energy Capital LLC | 7.500% | 9/15/38 | 360 | 485 |
Sunoco Logistics Partners Operations LP | 6.850% | 2/15/40 | 235 | 274 |
Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 625 | 677 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 1,010 | 1,332 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 65 | 86 |
Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 235 | 318 |
158
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 265 | 360 |
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 60 | 75 |
TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 1,560 | 2,082 |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 505 | 694 |
TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 780 | 1,181 |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 1,887 | 2,980 |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 1,020 | 1,406 |
2 Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 705 | 735 |
Williams Cos. Inc. | 7.500% | 1/15/31 | 287 | 359 |
Williams Cos. Inc. | 7.750% | 6/15/31 | 231 | 292 |
Williams Cos. Inc. | 8.750% | 3/15/32 | 876 | 1,207 |
Williams Partners LP | 6.300% | 4/15/40 | 1,750 | 2,195 |
Other Utility (0.2%) | ||||
American Water Capital Corp. | 6.593% | 10/15/37 | 1,105 | 1,430 |
United Utilities plc | 6.875% | 8/15/28 | 745 | 869 |
Veolia Environnement SA | 6.750% | 6/1/38 | 225 | 274 |
211,922 | ||||
Total Corporate Bonds (Cost $1,103,375) | 1,186,679 | |||
Taxable Municipal Bonds (0.2%) | ||||
George Washington University | ||||
District of Columbia GO | 3.485% | 9/15/22 | 300 | 323 |
Harvard University Massachusetts GO | 4.875% | 10/15/40 | 125 | 161 |
Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 125 | 142 |
President & Fellows of Harvard College | ||||
Massachusetts GO | 6.300% | 10/1/37 | 65 | 76 |
Princeton University New Jersey GO | 5.700% | 3/1/39 | 760 | 1,063 |
Tufts University Massachusetts GO | 5.017% | 4/15/12 | 325 | 389 |
University of Pennsylvania GO | 4.674% | 9/1/12 | 275 | 324 |
University of Southern California Revenue | 5.250% | 10/1/11 | 115 | 152 |
Total Taxable Municipal Bonds (Cost $2,351) | 2,630 | |||
Shares | ||||
Temporary Cash Investment (0.9%) | ||||
Money Market Fund (0.9%) | ||||
4 Vanguard Market Liquidity Fund (Cost $11,308) | 0.158% | 11,307,898 | 11,308 | |
Total Investments (99.2%) (Cost $1,117,344) | 1,200,927 | |||
Other Assets and Liabilities (0.8%) | ||||
Other Assets | 18,088 | |||
Liabilities | (8,119) | |||
9,969 | ||||
Net Assets (100%) | 1,210,896 |
159
Long-Term Corporate Bond Index Fund | |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,125,389 |
Overdistributed Net Investment Income | (8) |
Accumulated Net Realized Gains | 1,852 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 83,583 |
Futures Contracts | 80 |
Net Assets | 1,210,896 |
Signal Shares—Net Assets | |
Applicable to 594,450 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 14,705 |
Net Asset Value Per Share—Signal Shares | $24.74 |
Institutional Shares—Net Assets | |
Applicable to 5,342,483 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 164,085 |
Net Asset Value Per Share—Institutional Shares | $30.71 |
ETF Shares—Net Assets | |
Applicable to 11,200,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,032,106 |
Net Asset Value Per Share—ETF Shares | $92.15 |
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 August 31, 2012, the aggregate value of these securities was $12,714,000,
representing 1.0% of net assets.
3 Securities with a value of $545,000 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.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
160
Long-Term Corporate Bond Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 32,081 |
Total Income | 32,081 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 28 |
Management and Administrative—Signal Shares | 9 |
Management and Administrative—Institutional Shares | 20 |
Management and Administrative—ETF Shares | 497 |
Marketing and Distribution—Signal Shares | 4 |
Marketing and Distribution—Institutional Shares | 4 |
Marketing and Distribution—ETF Shares | 138 |
Custodian Fees | 10 |
Auditing Fees | 41 |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 30 |
Total Expenses | 781 |
Net Investment Income | 31,300 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 3,510 |
Futures Contracts | (1,015) |
Realized Net Gain (Loss) | 2,495 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 78,814 |
Futures Contracts | 76 |
Change in Unrealized Appreciation (Depreciation) | 78,890 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 112,685 |
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.
161
Long-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 31,300 | 6,184 |
Realized Net Gain (Loss) | 2,495 | 306 |
Change in Unrealized Appreciation (Depreciation) | 78,890 | 207 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 112,685 | 6,697 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (548) | (341) |
Institutional Shares | (1,254) | (497) |
ETF Shares | (29,507) | (5,349) |
Realized Capital Gain1 | ||
Signal Shares | — | (10) |
Institutional Shares | — | (26) |
ETF Shares | — | (215) |
Total Distributions | (31,309) | (6,438) |
Capital Share Transactions | ||
Signal Shares | 3,766 | 5,659 |
Institutional Shares | 147,853 | 7,603 |
ETF Shares | 679,038 | 209,252 |
Net Increase (Decrease) from Capital Share Transactions | 830,657 | 222,514 |
Total Increase (Decrease) | 912,033 | 222,773 |
Net Assets | ||
Beginning of Period | 298,863 | 76,090 |
End of Period2 | 1,210,896 | 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 ($8,000) and $1,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
162
Long-Term Corporate Bond Index Fund
Financial Highlights
Signal Shares | |||
Jan. 19, | |||
Year Ended | 20101 to | ||
August 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 | 1.068 | 1.100 | .680 |
Net Realized and Unrealized Gain (Loss) on Investments2 | 3.051 | (.246) | 1.936 |
Total from Investment Operations | 4.119 | .854 | 2.616 |
Distributions | |||
Dividends from Net Investment Income | (1.069) | (1.100) | (.736) |
Distributions from Realized Capital Gains | — | (.064) | — |
Total Distributions | (1.069) | (1.164) | (.736) |
Net Asset Value, End of Period | $24.74 | $21.69 | $22.00 |
Total Return3 | 19.43% | 4.21% | 13.37% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $15 | $9 | $4 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14% | 0.15%4 |
Ratio of Net Investment Income to Average Net Assets | 4.73% | 5.36% | 5.65%4 |
Portfolio Turnover Rate5 | 71% | 110% | 41% |
1 Inception.
2 Includes increases from purchase fees of $.01, $.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.
163
Long-Term Corporate Bond Index Fund
Financial Highlights
Institutional Shares | |||
Nov. 19, | |||
Year Ended | 20091 to | ||
August 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 | 1.337 | 1.377 | 1.090 |
Net Realized and Unrealized Gain (Loss) on Investments2 | 3.780 | (.308) | 2.428 |
Total from Investment Operations | 5.117 | 1.069 | 3.518 |
Distributions | |||
Dividends from Net Investment Income | (1.337) | (1.379) | (1.088) |
Distributions from Realized Capital Gains | — | (.080) | — |
Total Distributions | (1.337) | (1.459) | (1.088) |
Net Asset Value, End of Period | $30.71 | $26.93 | $27.32 |
Total Return3 | 19.44% | 4.25% | 14.61% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $164 | $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 | 4.76% | 5.41% | 5.71%4 |
Portfolio Turnover Rate5 | 71% | 110% | 41% |
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.
164
Long-Term Corporate Bond Index Fund
Financial Highlights
ETF Shares | |||
Nov. 19, | |||
Year Ended | 20091 to | ||
August 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 | 3.980 | 4.091 | 3.236 |
Net Realized and Unrealized Gain (Loss) on Investments2 | 11.351 | (.917) | 7.286 |
Total from Investment Operations | 15.331 | 3.174 | 10.522 |
Distributions | |||
Dividends from Net Investment Income | (3.981) | (4.095) | (3.232) |
Distributions from Realized Capital Gains | — | (.239) | — |
Total Distributions | (3.981) | (4.334) | (3.232) |
Net Asset Value, End of Period | $92.15 | $80.80 | $81.96 |
Total Return | 19.40% | 4.19% | 14.54% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $1,032 | $275 | $66 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.14% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 4.73% | 5.36% | 5.65%3 |
Portfolio Turnover Rate4 | 71% | 110% | 41% |
1 Inception.
2 Includes increases from purchase and redemption fees of $.02, $.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.
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).
During the year ended August 31, 2012, the fund’s average investments in long and short futures contracts represented 3% and 2% of net assets, respectively, based on quarterly average aggregate settlement values.
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, 2010–2012), 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.
166
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 August 31, 2012, the fund had contributed capital of $167,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.07% 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 August 31, 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 | — | 310 | — |
Corporate Bonds | — | 1,186,679 | — |
Taxable Municipal Bonds | — | 2,630 | — |
Temporary Cash Investments | 11,308 | — | — |
Futures Contracts—Assets1 | 242 | — | — |
Futures Contracts—Liabilities1 | (323) | — | — |
Total | 11,227 | 1,189,619 | — |
1 Represents variation margin on the last day of the reporting period. |
167
Long-Term Corporate Bond Index Fund
D. At August 31, 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 | December 2012 | 103 | 15,595 | 222 |
Ultra Long U.S. Treasury Bond | December 2012 | (65) | (10,985) | (142) |
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 used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $28,000 from accumulated net realized gains to paid-in capital.
The fund used capital loss carryforwards of $7,000 to offset taxable capital gains realized during the year ended August 31, 2012, reducing the amount of capital gains that would otherwise be available to distribute to shareholders. For tax purposes, at August 31, 2012, the fund had $2,030,000 of short-term capital gains available for distribution. Short-term gain distributions are treated as ordinary income for tax purposes.
At August 31, 2012, the cost of investment securities for tax purposes was $1,117,442,000. Net unrealized appreciation of investment securities for tax purposes was $83,485,000, consisting of unrealized gains of $85,131,000 on securities that had risen in value since their purchase and $1,646,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2012, the fund purchased $1,023,170,000 of investment securities and sold $222,766,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $232,835,000 and $236,116,000, respectively. Total purchases and sales include $788,631,000 and $0, respectively, in connection with in-kind purchases of the fund’s capital shares.
168
Long-Term Corporate Bond Index Fund
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2012 | 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 3,773 | 163 | 6,808 | 323 |
Issued in Lieu of Cash Distributions | 547 | 23 | 351 | 17 |
Redeemed | (554) | (24) | (1,500) | (67) |
Net Increase (Decrease)—Signal Shares | 3,766 | 162 | 5,659 | 273 |
Institutional Shares | ||||
Issued1 | 156,689 | 5,103 | 7,080 | 272 |
Issued in Lieu of Cash Distributions | 1,254 | 43 | 523 | 20 |
Redeemed | (10,090) | (352) | — | — |
Net Increase (Decrease) —Institutional Shares | 147,853 | 4,794 | 7,603 | 292 |
ETF Shares | ||||
Issued1 | 679,038 | 7,800 | 233,137 | 2,900 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | — | — | (23,885) | (300) |
Net Increase (Decrease)—ETF Shares | 679,038 | 7,800 | 209,252 | 2,600 |
1 Includes purchase fees for fiscal 2012 and 2011 of $238,000 and $287,000, respectively (fund totals). |
H. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
169
Mortgage-Backed Securities Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | |||
Signal | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VMBSX | VMBIX | VMBS |
Expense Ratio1 | 0.15% | 0.09% | 0.15% |
30-Day SEC Yield | 1.11% | 1.13% | 1.12% |
Financial Attributes | |||
Barclays | |||
MBS | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 4412 | 898 | 7,922 |
Yield to Maturity | |||
(before expenses) | 2.1% | 2.1% | 1.7% |
Average Coupon | 4.5% | 4.5% | 3.7% |
Average Duration | 2.8 years | 2.8 years | 5.2 years |
Average Maturity | 4.4 years | 4.5 years | 7.1 years |
Short-Term | |||
Reserves | 1.9% | — | — |
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 | 98.0% |
Aaa | 2.0 |
For information about these ratings, see the Glossary entry for | |
Credit Quality. |
Distribution by Coupon (% of portfolio) | |
Below 5% | 83.5% |
5% - 6% | 14.3 |
Above 6% | 2.2 |
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 fiscal year ended August 31, 2012, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares (annualized since
inception May 9), and 0.12% for ETF Shares.
2 Issues are mortgage pools grouped by coupon.
170
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.
Cumulative Performance: November 19, 2009, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx173x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (11/19/2009) | Investment | ||
Mortgage-Backed Securities Index | ||||
Fund ETF Shares Net Asset Value | 3.62% | 4.73% | $11,372 | |
Mortgage-Backed Securities Index | ||||
Fund ETF Shares Market Price | 3.64 | 4.77 | 11,384 | |
•••••••• | Barclays U.S. MBS Float Adjusted | |||
Index | 3.62 | 4.67 | 11,353 | |
– – – – | U.S. Mortgage Funds Average | 4.45 | 5.55 | 11,620 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.91 | 6.28 | 11,845 |
For a benchmark description, see the Glossary.
U.S. Mortgage Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
171
Mortgage-Backed Securities Index Fund
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (12/3/2009) | Investment | |
Mortgage-Backed Securities Index Fund | |||
Signal Shares | 3.63% | 4.71% | $11,347 |
Barclays U.S. MBS Float Adjusted Index | 3.62 | 4.70 | 11,342 |
Spliced Barclays U.S. Aggregate Float | |||
Adjusted Index | 5.91 | 6.32 | 11,831 |
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards. |
Total Returns | ||
Period Ended August 31, 2012 | ||
Since | Final Value | |
Inception | of a $5,000,000 | |
(5/9/2012) | Investment | |
Mortgage-Backed Securities Index Fund | ||
Institutional Shares | 1.27% | $5,063,312 |
Barclays U.S. MBS Float Adjusted Index | 1.15 | 5,057,339 |
Barclays U.S. Aggregate Float Adjusted Index | 2.19 | 5,109,298 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2012 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Mortgage-Backed Securities Index FundETF | ||
Shares Market Price | 3.64% | 13.84% |
Mortgage-Backed Securities Index FundETF | ||
Shares Net Asset Value | 3.62 | 13.72 |
Barclays U.S. MBS Float Adjusted Index | 3.62 | 13.53 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
172
Mortgage-Backed Securities Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 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 | 3.62 | 3.62 |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 4.83% | 2.17% | 2.47% | 4.64% |
Institutional Shares | 5/9/2012 | — | 0.23 | 0.04 | 0.27 |
ETF Shares | 11/19/2009 | ||||
Market Price | 4.78 | 4.75 | |||
Net Asset Value | 4.78 | 4.65 |
173
Mortgage-Backed Securities Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (100.0%) | |||||
U.S. Government Securities (1.4%) | |||||
United States Treasury Note/Bond | 0.250% | 7/15/15 | 2,100 | 2,098 | |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 4,250 | 4,287 | |
6,385 | |||||
Conventional Mortgage-Backed Securities (95.6%) | |||||
1,2,3 Fannie Mae Pool | 2.500% | 9/1/27 | 3,175 | 3,298 | |
1,2,3 Fannie Mae Pool | 3.000% | 9/1/27–9/1/42 | 12,958 | 13,631 | |
1,2,3 Fannie Mae Pool | 3.500% | 10/1/21–9/1/42 | 28,943 | 30,752 | |
1,2,3 Fannie Mae Pool | 4.000% | 7/1/18–9/1/42 | 38,851 | 41,728 | |
1,2,3 Fannie Mae Pool | 4.500% | 2/1/18–9/1/42 | 31,512 | 34,134 | |
1,2,3 Fannie Mae Pool | 5.000% | 3/1/17–9/1/42 | 27,157 | 29,803 | |
1,2,3 Fannie Mae Pool | 5.500% | 12/1/16–9/1/42 | 23,848 | 26,281 | |
1,2,3 Fannie Mae Pool | 6.000% | 12/1/13–9/1/42 | 17,324 | 19,130 | |
1,2,3 Fannie Mae Pool | 6.500% | 4/1/16–9/1/42 | 6,761 | 7,641 | |
2,3 | Fannie Mae Pool | 7.000% | 12/1/15–10/1/37 | 644 | 737 |
2,3 | Fannie Mae Pool | 7.500% | 11/1/22 | 21 | 24 |
1,2,3 Freddie Mac Gold Pool | 2.500% | 9/1/27 | 1,800 | 1,868 | |
1,2,3 Freddie Mac Gold Pool | 3.000% | 9/1/27–9/1/42 | 6,800 | 7,137 | |
1,2,3 Freddie Mac Gold Pool | 3.500% | 10/1/20–9/1/42 | 14,550 | 15,416 | |
1,2,3 Freddie Mac Gold Pool | 4.000% | 7/1/18–9/1/42 | 21,301 | 22,771 | |
1,2,3 Freddie Mac Gold Pool | 4.500% | 5/1/14–9/1/42 | 21,146 | 22,796 | |
1,2,3 Freddie Mac Gold Pool | 5.000% | 9/1/15–9/1/42 | 17,510 | 19,004 | |
1,2,3 Freddie Mac Gold Pool | 5.500% | 4/1/14–9/1/42 | 16,270 | 17,799 | |
2,3 | Freddie Mac Gold Pool | 6.000% | 4/1/14–12/1/38 | 10,425 | 11,499 |
2,3 | Freddie Mac Gold Pool | 6.500% | 10/1/28–9/1/39 | 3,496 | 3,948 |
2,3 | Freddie Mac Gold Pool | 7.000% | 7/1/28–12/1/38 | 471 | 536 |
2,3 | Freddie Mac Gold Pool | 8.000% | 11/1/22 | 4 | 4 |
2 | Ginnie Mae I Pool | 3.000% | 7/15/42 | 200 | 211 |
1,2 | Ginnie Mae I Pool | 3.500% | 2/15/26–9/1/42 | 3,408 | 3,688 |
1,2 | Ginnie Mae I Pool | 4.000% | 7/15/24–9/1/42 | 8,802 | 9,649 |
1,2 | Ginnie Mae I Pool | 4.500% | 9/15/18–9/1/42 | 13,376 | 14,722 |
1,2 | Ginnie Mae I Pool | 5.000% | 1/15/18–9/1/42 | 8,757 | 9,705 |
1,2 | Ginnie Mae I Pool | 5.500% | 10/15/32–9/1/42 | 5,084 | 5,689 |
1,2 | Ginnie Mae I Pool | 6.000% | 4/15/28–9/1/42 | 4,961 | 5,597 |
2 | Ginnie Mae I Pool | 6.500% | 5/15/24–1/15/39 | 484 | 558 |
2 | Ginnie Mae I Pool | 7.000% | 10/15/27 | 15 | 17 |
1,2 | Ginnie Mae II Pool | 3.000% | 2/20/27–9/1/42 | 545 | 576 |
1,2 | Ginnie Mae II Pool | 3.500% | 12/20/25–9/1/42 | 13,269 | 14,350 |
174
Mortgage-Backed Securities Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
1,2 | Ginnie Mae II Pool | 4.000% | 9/20/25–9/1/42 | 14,566 | 15,988 |
1,2 | Ginnie Mae II Pool | 4.500% | 4/20/18–9/1/42 | 17,601 | 19,516 |
1,2 | Ginnie Mae II Pool | 5.000% | 6/20/33–9/1/42 | 12,319 | 13,701 |
1,2 | Ginnie Mae II Pool | 5.500% | 12/20/33–9/1/42 | 4,632 | 5,174 |
2 | Ginnie Mae II Pool | 6.000% | 1/20/32–12/20/41 | 1,380 | 1,557 |
2 | Ginnie Mae II Pool | 6.500% | 10/20/28–11/20/38 | 1,384 | 1,583 |
2 | Ginnie Mae II Pool | 7.000% | 4/20/38–11/20/38 | 144 | 164 |
452,382 | |||||
Nonconventional Mortgage-Backed Securities (3.0%) | |||||
2,3 | Fannie Mae Pool | 2.223% | 9/1/42 | 1,000 | 1,033 |
2,3 | Fannie Mae Pool | 2.560% | 10/1/40 | 485 | 503 |
2,3 | Fannie Mae Pool | 2.801% | 3/1/42 | 989 | 1,039 |
2,3 | Fannie Mae Pool | 2.827% | 3/1/41 | 55 | 57 |
2,3,4 Fannie Mae Pool | 2.841% | 3/1/37 | 232 | 243 | |
2,3 | Fannie Mae Pool | 2.885% | 11/1/41 | 643 | 679 |
2,3 | Fannie Mae Pool | 2.921% | 12/1/40 | 324 | 339 |
2,3 | Fannie Mae Pool | 3.000% | 5/1/42 | 327 | 349 |
2,3 | Fannie Mae Pool | 3.009% | 3/1/42 | 492 | 525 |
2,3 | Fannie Mae Pool | 3.120% | 12/1/40 | 56 | 58 |
2,3 | Fannie Mae Pool | 3.122% | 2/1/41 | 36 | 38 |
2,3 | Fannie Mae Pool | 3.162% | 2/1/41 | 81 | 84 |
2,3 | Fannie Mae Pool | 3.189% | 12/1/40 | 53 | 55 |
2,3 | Fannie Mae Pool | 3.242% | 10/1/40 | 88 | 92 |
2,3 | Fannie Mae Pool | 3.267% | 11/1/40 | 56 | 59 |
2,3 | Fannie Mae Pool | 3.290% | 1/1/40 | 15 | 16 |
2,3 | Fannie Mae Pool | 3.449% | 12/1/39 | 729 | 764 |
2,3 | Fannie Mae Pool | 3.504% | 5/1/40 | 32 | 33 |
2,3 | Fannie Mae Pool | 3.516% | 10/1/39 | 115 | 121 |
2,3 | Fannie Mae Pool | 3.537% | 3/1/40 | 29 | 30 |
2,3 | Fannie Mae Pool | 3.580% | 8/1/39 | 120 | 127 |
2,3 | Fannie Mae Pool | 3.595% | 11/1/39 | 113 | 118 |
2,3 | Fannie Mae Pool | 3.613% | 4/1/41 | 270 | 285 |
2,3 | Fannie Mae Pool | 3.704% | 5/1/40 | 269 | 284 |
2,3 | Fannie Mae Pool | 3.827% | 9/1/40 | 883 | 964 |
2,3 | Fannie Mae Pool | 5.104% | 3/1/38 | 109 | 118 |
2,3 | Fannie Mae Pool | 5.694% | 4/1/37 | 62 | 68 |
2,3,4 Fannie Mae Pool | 5.887% | 9/1/37 | 39 | 41 | |
2,3 | Freddie Mac Non Gold Pool | 2.576% | 2/1/42 | 404 | 422 |
2,3 | Freddie Mac Non Gold Pool | 2.703% | 12/1/40 | 183 | 190 |
2,3 | Freddie Mac Non Gold Pool | 2.814% | 1/1/41 | 208 | 216 |
2,3 | Freddie Mac Non Gold Pool | 2.979% | 2/1/41 | 57 | 60 |
2,3 | Freddie Mac Non Gold Pool | 3.100% | 6/1/41 | 672 | 705 |
2,3 | Freddie Mac Non Gold Pool | 3.355% | 5/1/40 | 10 | 10 |
2,3 | Freddie Mac Non Gold Pool | 3.367% | 4/1/40 | 43 | 46 |
2,3 | Freddie Mac Non Gold Pool | 3.426% | 3/1/42 | 545 | 590 |
2,3 | Freddie Mac Non Gold Pool | 3.498% | 8/1/40 | 151 | 163 |
2,3 | Freddie Mac Non Gold Pool | 3.542% | 11/1/39 | 119 | 125 |
2,3 | Freddie Mac Non Gold Pool | 3.609% | 6/1/40 | 230 | 242 |
2,3 | Freddie Mac Non Gold Pool | 3.611% | 6/1/40 | 497 | 524 |
2,3 | Freddie Mac Non Gold Pool | 3.616% | 1/1/40 | 96 | 101 |
2,3 | Freddie Mac Non Gold Pool | 3.682% | 9/1/40 | 206 | 218 |
2,3 | Freddie Mac Non Gold Pool | 3.983% | 3/1/40 | 190 | 201 |
2,3 | Freddie Mac Non Gold Pool | 4.000% | 12/1/39 | 107 | 114 |
2,3 | Freddie Mac Non Gold Pool | 4.899% | 12/1/35 | 115 | 120 |
2,3 | Freddie Mac Non Gold Pool | 5.730% | 10/1/37 | 36 | 38 |
175
Mortgage-Backed Securities Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
2,3 Freddie Mac Non Gold Pool | 6.437% | 2/1/37 | 72 | 79 | |
2 | Ginnie Mae II Pool | 2.500% | 1/20/41–1/20/42 | 1,533 | 1,618 |
2 | Ginnie Mae II Pool | 3.000% | 4/20/41–11/20/41 | 266 | 284 |
2 | Ginnie Mae II Pool | 4.000% | 12/20/39 | 190 | 200 |
14,388 | |||||
Total U.S. Government and Agency Obligations (Cost $469,090) | 473,155 | ||||
Shares | |||||
Temporary Cash Investment (42.8%) | |||||
Money Market Fund (42.8%) | |||||
5 | Vanguard Market Liquidity Fund (Cost $202,630) | 0.158% | 202,630,323 | 202,630 | |
Total Investments (142.8%) (Cost $671,720) | 675,785 | ||||
Other Assets and Liabilities (-42.8%) | |||||
Other Assets | 50,246 | ||||
Liabilities | (252,666) | ||||
(202,420) | |||||
Net Assets (100%) | 473,365 | ||||
Statement of Assets and Liabilities | |||||
Assets | |||||
Investments in Securities, at Value | |||||
Unaffiliated Issuers | 473,155 | ||||
Affiliated Vanguard Funds | 202,630 | ||||
Total Investments in Securities | 675,785 | ||||
Receivables for Investment Securities Sold | 40,360 | ||||
Other Assets | 9,886 | ||||
Total Assets | 726,031 | ||||
Liabilities | |||||
Payables for Investment Securities Purchased | 251,731 | ||||
Other Liabilities | 935 | ||||
Total Liabilities | 252,666 | ||||
Net Assets | 473,365 |
176
Mortgage-Backed Securities Index Fund | |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 467,577 |
Undistributed Net Investment Income | 19 |
Accumulated Net Realized Gains | 1,704 |
Unrealized Appreciation (Depreciation) | 4,065 |
Net Assets | 473,365 |
Signal Shares—Net Assets | |
Applicable to 10,026,497 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 211,200 |
Net Asset Value Per Share—Signal Shares | $21.06 |
Institutional Shares—Net Assets | |
Applicable to 520,850 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 14,761 |
Net Asset Value Per Share—Institutional Shares | $28.34 |
ETF Shares—Net Assets | |
Applicable to 4,700,980 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 247,404 |
Net Asset Value Per Share—ETF Shares | $52.63 |
See Note A in Notes to Financial Statements.
1 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of August 31, 2012.
2 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.
3 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, as needed to maintain a positive net worth, in exchange for
senior preferred stock.
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.
177
Mortgage-Backed Securities Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 3,074 |
Total Income | 3,074 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 6 |
Management and Administrative—Signal Shares | 15 |
Management and Administrative—Institutional Shares | 2 |
Management and Administrative—ETF Shares | 71 |
Marketing and Distribution—Signal Shares | 2 |
Marketing and Distribution—Institutional Shares | — |
Marketing and Distribution—ETF Shares | 31 |
Custodian Fees | 45 |
Auditing Fees | 36 |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 7 |
Total Expenses | 215 |
Net Investment Income | 2,859 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,846 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 2,268 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,973 |
1 Interest income from an affiliated company of the fund was $69,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
178
Mortgage-Backed Securities Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,859 | 1,315 |
Realized Net Gain (Loss) | 1,846 | 663 |
Change in Unrealized Appreciation (Depreciation) | 2,268 | 1,402 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,973 | 3,380 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (290) | (219) |
Institutional Shares | (58) | — |
ETF Shares | (2,485) | (1,097) |
Realized Capital Gain1 | ||
Signal Shares | (78) | (100) |
Institutional Shares | — | — |
ETF Shares | (633) | (576) |
Total Distributions | (3,544) | (1,992) |
Capital Share Transactions | ||
Signal Shares | 195,740 | 8,572 |
Institutional Shares | 14,637 | — |
ETF Shares | 171,898 | 40,764 |
Net Increase (Decrease) from Capital Share Transactions | 382,275 | 49,336 |
Total Increase (Decrease) | 385,704 | 50,724 |
Net Assets | ||
Beginning of Period | 87,661 | 36,937 |
End of Period2 | 473,365 | 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 $19,000 and ($7,000).
See accompanying Notes, which are an integral part of the Financial Statements.
179 |
Mortgage-Backed Securities Index Fund
Financial Highlights
Signal Shares | |||
Dec. 3, | |||
Year Ended | 20091 to | ||
August 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 | .344 | .456 | .332 |
Net Realized and Unrealized Gain (Loss) on Investments | .399 | .569 | .487 |
Total from Investment Operations | .743 | 1.025 | .819 |
Distributions | |||
Dividends from Net Investment Income | (.342) | (.456) | (.339) |
Distributions from Realized Capital Gains | (.101) | (.329) | — |
Total Distributions | (.443) | (.785) | (.339) |
Net Asset Value, End of Period | $21.06 | $20.76 | $20.52 |
Total Return2 | 3.63% | 5.16% | 4.13% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $211 | $15 | $6 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.15% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 1.57% | 2.30% | 2.12%3 |
Portfolio Turnover Rate4 | 529% | 344% | 402% |
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 Includes 231%, 187%, and 166% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
180
Mortgage-Backed Securities Index Fund
Financial Highlights
Institutional Shares | |
May 9, 20121 to | |
For a Share Outstanding Throughout the Period | August 31, 2012 |
Net Asset Value, Beginning of Period | $28.10 |
Investment Operations | |
Net Investment Income | .137 |
Net Realized and Unrealized Gain (Loss) on Investments | .218 |
Total from Investment Operations | .355 |
Distributions | |
Dividends from Net Investment Income | (.115) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.115) |
Net Asset Value, End of Period | $28.34 |
Total Return2 | 1.27% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $15 |
Ratio of Total Expenses to Average Net Assets3 | 0.09% |
Ratio of Net Investment Income to Average Net Assets3 | 1.60% |
Portfolio Turnover Rate4 | 529% |
1 Inception. See Notes to Financial Statements.
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 Includes 231% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
181
Mortgage-Backed Securities Index Fund
Financial Highlights
ETF Shares | |||
Nov. 19, | |||
Year Ended | 20091 to | ||
August 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 | .875 | 1.142 | .836 |
Net Realized and Unrealized Gain (Loss) on Investments2 | .976 | 1.412 | 1.338 |
Total from Investment Operations | 1.851 | 2.554 | 2.174 |
Distributions | |||
Dividends from Net Investment Income | (.868) | (1.142) | (.844) |
Distributions from Realized Capital Gains | (.253) | (.822) | — |
Total Distributions | (1.121) | (1.964) | (.844) |
Net Asset Value, End of Period | $52.63 | $51.90 | $51.31 |
Total Return | 3.62% | 5.14% | 4.39% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $247 | $73 | $31 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.15% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 1.57% | 2.30% | 2.12%3 |
Portfolio Turnover Rate4 | 529% | 344% | 402% |
1 Inception.
2 Includes increases from purchase fees of $.02, $.00, and $.00.
3 Annualized.
4 Includes 231%, 187%, and 166% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
182
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. Institutional Shares were first issued on November 19, 2009. All outstanding Institutional Shares were converted to ETF Shares on December 29, 2009. Institutional Shares were next issued on May 9, 2012. The Financial Highlights included in these financial statements are based on the activity of the Institutional Shares since May 9, 2012. 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. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. 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
183
Mortgage-Backed Securities Index Fund
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.
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, 2010–2012), 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 August 31, 2012, the fund had contributed capital of $37,000 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 August 31, 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 | — | 473,155 | — |
Temporary Cash Investments | 202,630 | — | — |
Total | 202,630 | 473,155 | — |
184
Mortgage-Backed Securities Index Fund
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 used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $57,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at August 31, 2012, the fund had short-term and long-term capital gains of $1,657,000 and $63,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
At August 31, 2012, the cost of investment securities for tax purposes was $671,735,000. Net unrealized appreciation of investment securities for tax purposes was $4,050,000, consisting of unrealized gains of $4,241,000 on securities that had risen in value since their purchase and $191,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2012, the fund purchased $1,355,023,000 of investment securities and sold $970,050,000 of investment securities, other than temporary cash investments.
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2012 | 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 209,248 | 9,956 | 8,577 | 423 |
Issued in Lieu of Cash Distributions | 277 | 13 | 319 | 16 |
Redeemed | (13,785) | (663) | (324) | (16) |
Net Increase (Decrease)—Signal Shares | 195,740 | 9,306 | 8,572 | 423 |
Institutional Shares | ||||
Issued1 | 15,173 | 540 | — | — |
Issued in Lieu of Cash Distributions | 58 | 2 | — | — |
Redeemed | (594) | (21) | — | — |
Net Increase (Decrease) —Institutional Shares | 14,637 | 521 | — | — |
ETF Shares | ||||
Issued1 | 171,898 | 3,300 | 40,764 | 800 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | — | — | — | — |
Net Increase (Decrease)—ETF Shares | 171,898 | 3,300 | 40,764 | 800 |
1 Includes purchase fees for fiscal 2012 of $98,000 (fund total). |
185
Mortgage-Backed Securities Index Fund
At August 31, 2012, one shareholder was the record or beneficial owner of 33% 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 August 31, 2012, management considered the impact
of subsequent events for potential recognition or disclosure in these financial statements.
186
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Scottsdale Funds and the Shareholders of 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 and Vanguard Mortgage-Backed Securities Index Fund: In our opinion, the accompanying statements of net assets and the statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of 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 and Vanguard Mortgage-Backed Securities Index Fund (constituting separate portfolios of Vanguard Scottsdale Funds, hereafter referred to as the “Funds”) at August 31, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 11, 2012
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Special 2012 tax information (unaudited) for Vanguard Short-Term Government Bond Index Fund
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the
Internal Revenue Code.
The fund distributed $225,000 as capital gain dividends (from net long-term capital gains) to
shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund
are qualified short-term capital gains.
For nonresident alien shareholders, 99.8% of income dividends are interest-related dividends.
187
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx190x1.jpg)
Special 2012 tax information (unaudited) for Vanguard Intermediate-Term Government Bond Index Fund
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $366,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx190x2.jpg)
Special 2012 tax information (unaudited) for Vanguard Long-Term Government Bond Index Fund
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $27,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 98.8% of income dividends are interest-related dividends.
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx190x3.jpg)
Special 2012 tax information (unaudited) for Vanguard Short-Term Corporate Bond Index Fund
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $1,384,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 80.3% of income dividends are interest-related dividends.
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx190x4.jpg)
Special 2012 tax information (unaudited) for Vanguard Intermediate-Term Corporate Bond Index Fund
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $823,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 84.2% of income dividends are interest-related dividends.
188
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx191x1.jpg)
Special 2012 tax information (unaudited) for Vanguard Long-Term Corporate Bond Index Fund
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 83.5% of income dividends are interest-related dividends.
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/sectorbondindexx191x2.jpg)
Special 2012 tax information (unaudited) for Vanguard Mortgage-Backed Securities Index Fund
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $30,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 99.4% of income dividends are interest-related dividends.
189
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.
190
Six Months Ended August 31, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2012 | 8/31/2012 | Period | |
Based on Actual Fund Return | |||
Short-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,003.89 | $0.56 |
Institutional Shares | 1,000.00 | 1,003.65 | 0.45 |
ETF Shares | 1,000.00 | 1,003.50 | 0.50 |
Intermediate-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,026.40 | $0.56 |
Institutional Shares | 1,000.00 | 1,026.94 | 0.46 |
ETF Shares | 1,000.00 | 1,026.69 | 0.56 |
Long-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,090.56 | $0.58 |
Institutional Shares | 1,000.00 | 1,090.39 | 0.47 |
ETF Shares | 1,000.00 | 1,090.28 | 0.58 |
Short-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,023.55 | $0.56 |
Institutional Shares | 1,000.00 | 1,023.72 | 0.46 |
ETF Shares | 1,000.00 | 1,023.54 | 0.56 |
Intermediate-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,050.51 | $0.57 |
Institutional Shares | 1,000.00 | 1,051.20 | 0.47 |
ETF Shares | 1,000.00 | 1,050.79 | 0.57 |
Long-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,078.11 | $0.52 |
Institutional Shares | 1,000.00 | 1,078.04 | 0.47 |
ETF Shares | 1,000.00 | 1,078.17 | 0.58 |
Mortgage-Backed Securities Index Fund | |||
Signal Shares | $1,000.00 | $1,021.41 | $0.56 |
ETF Shares | 1,000.00 | 1,021.39 | 0.51 |
191
Six Months Ended August 31, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2012 | 8/31/2012 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.65 | $0.56 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.70 | 0.51 |
Intermediate-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.65 | $0.56 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.65 | 0.56 |
Long-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.65 | $0.56 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.65 | 0.56 |
Short-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.65 | $0.56 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.65 | 0.56 |
Intermediate-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.65 | $0.56 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.65 | 0.56 |
Long-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.65 | 0.56 |
Mortgage-Backed Securities Index Fund | |||
Signal Shares | $1,000.00 | $1,024.65 | $0.56 |
ETF Shares | 1,000.00 | 1,024.70 | 0.51 |
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, 0.11% for Signal Shares, 0.09% for Institutional Shares, and 0.10% for ETF
Shares; for the Intermediate-Term Government Bond Index Fund, 0.11% for Signal Shares, 0.09% for Institutional Shares, and 0.11% for ETF
Shares; for the Long-Term Government Bond Index Fund, 0.11% for Signal Shares, 0.09% for Institutional Shares, and 0.11% for ETF Shares;
for the Short-Term Corporate Bond Index Fund, 0.11% for Signal Shares, 0.09% for Institutional Shares, and 0.11% for ETF Shares; for the
Intermediate-Term Corporate Bond Index Fund, 0.11% for Signal Shares, 0.09% for Institutional Shares, and 0.11% for ETF Shares; for the
Long-Term Corporate Bond Index Fund, 0.10% for Signal Shares, 0.09% for Institutional Shares, and 0.11% for ETF Shares; for the
Mortgage-Backed Securities Index Fund, 0.11% for Signal Shares and 0.10% 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. The table does not include data for
share classes with less than six months of history.
192
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Short-Term Government Bond Index Fund, Intermediate-Term Government Bond Index Fund, Long-Term Government Bond Index Fund, Short-Term Corporate Bond Index Fund, Intermediate-Term Corporate Bond Index Fund, Long-Term Corporate Bond Index Fund, and Mortgage-Backed Securities Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Fixed Income Group—serves as the investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interests of the funds and their shareholders.
The board based its decision upon an evaluation of the 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 arrangement. 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 investment management services provided to the funds since their inception in 2009, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations, and that their results have been consistent with their investment strategies. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratios charged by funds in its respective peer groups and that the funds’ advisory fee rates were also well below their peer-group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
193
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 Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid. In general, the longer the average 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 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.
194
Benchmark Information
Spliced Barclays U.S. Aggregate Float Adjusted Index: Barclays U.S. Aggregate Bond Index through December 31, 2009; Barclays U.S. Aggregate Float Adjusted Index thereafter.
195
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.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | |
Born 1948. Trustee Since January 2008. Principal | |
Occupation(s) During the Past Five Years: Executive | JoAnn Heffernan Heisen |
Chief Staff and Marketing Officer for North America | Born 1950. Trustee Since July 1998. Principal |
and Corporate Vice President (retired 2008) of Xerox | Occupation(s) During the Past Five Years: Corporate |
Corporation (document management products and | Vice President and Chief Global Diversity Officer |
services); Executive in Residence and 2010 | (retired 2008) and Member of the Executive |
Distinguished Minett Professor at the Rochester | Committee (1997–2008) of Johnson & Johnson |
Institute of Technology; Director of SPX Corporation | (pharmaceuticals/medical devices/consumer |
(multi-industry manufacturing), the United Way of | products); Director of Skytop Lodge Corporation |
Rochester, Amerigroup Corporation (managed health | (hotels), the University Medical Center at Princeton, |
care), the University of Rochester Medical Center, | the Robert Wood Johnson Foundation, and the Center |
Monroe Community College Foundation, and North | for Talent Innovation; Member of the Advisory Board |
Carolina A&T University. | of the Maxwell School of Citizenship and Public Affairs |
at Syracuse University. | |
Rajiv L. Gupta | |
Born 1945. Trustee Since December 2001.2 | F. Joseph Loughrey |
Principal Occupation(s) During the Past Five Years: | Born 1949. Trustee Since October 2009. Principal |
Chairman and Chief Executive Officer (retired 2009) | Occupation(s) During the Past Five Years: President |
and President (2006–2008) of Rohm and Haas Co. | and Chief Operating Officer (retired 2009) of Cummins |
(chemicals); Director of Tyco International, Ltd. | Inc. (industrial machinery); Director of SKF AB |
(diversified manufacturing and services), Hewlett- | (industrial machinery), Hillenbrand, Inc. (specialized |
Packard Co. (electronic computer manufacturing), | consumer services), the Lumina Foundation for |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | Mortimer J. Buckley | Michael S. Miller |
Industries, Inc. (forklift trucks/housewares/lignite); | Kathleen C. Gubanich | James M. Norris |
Director of Goodrich Corporation (industrial products/ | Paul A. Heller | Glenn W. Reed |
aircraft systems and services) and the National | Martha G. King | George U. Sauter |
Association of Manufacturers; Chairman of the Board | Chris D. McIsaac | |
of the Federal Reserve Bank of Cleveland and of | ||
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | Chairman Emeritus and Senior Advisor | |
John J. Brennan | ||
Chairman, 1996–2009 | ||
Chief Executive Officer and President, 1996–2008 | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | ||
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director | Founder | |
of SPX Corporation (multi-industry manufacturing); | John C. Bogle | |
Overseer of the Amos Tuck School of Business | Chairman and Chief Executive Officer, 1974–1996 | |
Administration at Dartmouth College; Advisor to the | ||
Norris Cotton Cancer Center. | ||
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.
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Q16420 102012 |
Annual Report | August 31, 2012
Vanguard Explorer ValueTM Fund
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/explorervaluex1x2.jpg)
> For the 12 months ended August 31, 2012, Vanguard Explorer Value Fund
returned about 13%.
> The fund’s return lagged that of its benchmark index but was ahead of the
average return of small-capitalization value funds.
> The advisors’ holdings in industrials and materials led the way, while their
energy and telecommunications stocks hurt performance.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisors’ Report. | 6 |
Fund Profile. | 11 |
Financial Statements. | 14 |
Your Fund’s After-Tax Returns. | 25 |
About Your Fund’s Expenses. | 26 |
Glossary. | 28 |
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: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate.
It was featured in a movie based on Patrick O’Brian’s sea novels, set amid the Napoleonic wars. Vanguard was named for
another ship of that era, the HMS Vanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2012 | |
Total | |
Returns | |
Vanguard Explorer Value Fund | 13.10% |
Russell 2500 Value Index | 14.72 |
Small-Cap Value Funds Average | 12.13 |
Small-Cap Value Funds Average: Derived from data provided by Lipper Inc. |
Your Fund’s Performance at a Glance | ||||
August 31, 2011, Through August 31, 2012 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Explorer Value Fund | $21.94 | $23.44 | $0.189 | $1.019 |
1
Chairman’s Letter
Dear Shareholder,
Vanguard Explorer Value Fund returned about 13% for the 12 months ended August 31, 2012, as smaller-capitalization stocks continued to rise, although not as much as large-cap stocks. The fund’s return lagged that of its benchmark index, the Russell 2500 Value Index, but beat the average return for small-cap value funds.
Eight of the fund’s ten sectors recorded positive returns for the fiscal year; only energy and the small telecommunication services sector posted negative returns. While the fund’s advisors held strong performers in the industrial and materials sectors, among others, their selections in the financial, energy, and telecom sectors underperformed their counterparts in the index.
U.S. stocks shook off concerns to produce double-digit returns
U.S. stocks generated robust gains for the 12 months ended August 31, returning nearly 17%. They seemed to get a lift as the U.S. economy continued to grow, albeit at a modest rate, avoiding the “double-dip” recession that some investors had feared.
Though European stocks posted strong returns in local-currency terms, those results were much more modest when converted into U.S. dollars—a result of the dollar’s strengthening against the euro. Signs of slowing economic growth restrained returns for emerging markets and the developed markets of the Pacific region.
2
Questions about the finances of European governments and banks continued to preoccupy investors. Although the situation in Europe is very fluid, Vanguard economists believe the most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Bonds continued their march as yields dropped to record lows
Bonds produced solid returns: The broad U.S. taxable market advanced nearly 6% for the 12 months. Long-term U.S. Treasuries were particularly strong as they benefited from the Federal Reserve’s bond-buying program.
As bond prices rose, the yield of the 10-year Treasury note fell to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) Bondholders have enjoyed years of strong returns. But as Tim Buckley, our incoming chief investment officer, has noted, investors shouldn’t be surprised if future results are more modest. As yields tumble, the scope for further declines—and price increases—diminishes.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%, keeping a tight lid on the returns from money market funds and savings accounts.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 17.33% | 13.82% | 1.47% |
Russell 2000 Index (Small-caps) | 13.40 | 13.89 | 1.90 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 13.87 | 1.73 |
MSCI All Country World Index ex USA (International) | -1.92 | 3.64 | -3.59 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.78% | 6.51% | 6.66% |
Barclays Municipal Bond Index (Broad tax-exempt | |||
market) | 8.78 | 7.02 | 6.24 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.71 |
CPI | |||
Consumer Price Index | 1.69% | 2.20% | 2.07% |
3
Most sectors advanced, as the fund held both winners and laggards
The Explorer Value Fund posted another double-digit return in its latest fiscal year, although its return of about 13% was not as strong as that of the previous fiscal year. Eight of the ten industries represented in the fund rose at least 12%, with several advancing in the neighborhood of 25%.
The sector that most outperformed its benchmark counterpart was industrials, as the fund’s three advisors, Frontier Capital, Cardinal Capital, and Sterling Capital, held strong performers among trucking, railroad, and professional staffing firms. The advisors’ materials stocks also did well, particularly chemical and construction material companies.
The largest sector in the fund, financials, contributed the most to performance, with a return of about 16%. The fund’s holdings, however, trailed their counterparts in the benchmark by nearly 4 percentage points. The fund also had a smaller allocation to the sector than the index did, which further hindered relative performance.
Two relatively small sectors among small-cap value stocks suffered negative returns: energy (–13%) and telecommunication services (–53%). Although together they made up less than 7% of fund assets on average, these sectors exerted the most meaningful downward pull on fund returns. Declining natural gas prices hurt the fund’s energy
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 fiscal year ended August 31, 2012, the fund’s 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
holdings, and while the fund held stocks of only four telecom companies, all four suffered setbacks that drove their stock prices down significantly.
Other notable sector results came in health care, where the fund’s equipment and supply firm stocks helped it outperform the benchmark, and consumer discretionary, which posted the highest total return (+26%) in both the fund and the index. That result, however, failed to provide a performance edge for the fund, because it had a smaller allocation to the sector than the index did.
For more about the advisors’ strategies and the fund’s positioning during the 12 months, see the Advisors’ Report that follows this letter.
The fund has done well so far, but the long term is what counts
Since its launch on March 30, 2010, the Explorer Value Fund has had more up than down periods, and this is reflected in its cumulative return of 25.87% for the 29 months of its existence. The fund’s benchmark, the Russell 2500 Value Index, returned 21.84% during the same period.
Of course, a period of less than three years isn’t sufficient to fairly assess a stock fund. Like any stock fund, Explorer Value is best viewed as a long-term investment. With markets remaining volatile, you should be prepared for more ups and downs down the road. But over the long term, investing in small- and mid-cap value stocks can give you the opportunity to benefit from the energy and innovation that smaller companies often contribute to our economy. When integrated into a broadly diversified and balanced portfolio, Vanguard Explorer Value Fund can play a valuable role in your investment program.
As always, thank you for your confidence in Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/explorervaluex7x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
September 18, 2012
5
Advisors’ Report
For the year ended August 31, 2012, Vanguard Explorer Value Fund returned 13.10%. 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 fiscal year and of how their portfolio positioning reflects this assessment. (Please note that the Frontier and Sterling discussions refer to industry sectors as defined by Russell
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, | 34 | 41 | The advisor seeks stocks that are able to generate |
L.L.C. | excess cash flow and reinvest the cash to increase | ||
shareholder value. | |||
Sterling Capital Management LLC | 29 | 36 | The advisor searches for stocks of quality companies |
selling at large discounts compared with their | |||
underlying value. It defines quality stocks as those that | |||
generate considerable cash flow, reinvest in | |||
opportunities with attractive returns, and have a | |||
competitive advantage within their business sector. | |||
Cash Investments | 3 | 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
classifications, rather than by the Global Industry Classification Standard used elsewhere in this report.) These comments were prepared on September 20, 2012.
Frontier Capital Management Co., LLC
Portfolio Managers:
Thomas W. Duncan, Jr.,
Senior Vice President
William A. Teichner, CFA,
Senior Vice President
Our portion of the fund benefited from positive stock selection in companies associated with producer durables, materials and processing, and health care. The portfolio’s ten best-contributing stocks were spread over three sectors and included seven producer durables companies, two materials and processing stocks, and one financial holding. The producer durables were spread across six different industries within the sector.
The strongest contributor was On Assignment, a diversified professional staffing firm, which reported financial results that exceeded consensus revenue and earnings expectations. It also announced an agreement to acquire a privately held technology staffing services firm; the acquisition was expected to significantly add to earnings per share.
The portfolio’s ten largest detractors were spread over four sectors and included four holdings in producer durables, three in energy, two in information technology, and one in consumer discretionary.
The most significant detractor during the period was SM Energy Company, an oil and natural gas producer. Energy was the portfolio’s worst-performing sector. Spot natural gas prices plunged 31% from $4.05 per million BTUs to $2.80, while crude oil prices rose 9% from $88.81 per barrel to $96.69. Declining natural gas prices have been a symptom of vastly increased supplies from U.S. shale drilling. Approximately 60% of SM Energy’s production was from natural gas. We continue to maintain a position in the stock because we believe it is a well-managed company, has been increasing its production mix toward crude oil, and is inexpensive relative to its longer-term earnings potential.
During the period we bought 17 new stocks and sold 22 holdings. The purchases were spread across six sectors; the sales, across seven. The net effect was primarily a decrease in the number of producer durables and consumer discretionary stocks. As is typical for Frontier, the changes were made for company-specific reasons rather than because of top-down positioning.
7
Despite the volatility in the stock market, we believe that the longer-term earnings power for our holdings has not changed.
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, Managing Partner and
Portfolio Manager
For the trailing 12-month period ended August 31, 2012, relative performance benefited from holdings in the consumer discretionary and materials sectors, and an absence of exposure to the lower-returning utilities sector. Our consumer discretionary holdings were led by strong share appreciation in Six Flags and Ascena Retail Group. Shares of Six Flags, a regional theme park operator that emerged from bankruptcy last summer, continued to perform well because of the company’s strong results, attractive dividend yield, and defensive business characteristics. Shares of Ascena, which owns clothing stores Dressbarn, Maurices, and Justice, also performed well as its niche brands faced less intense competition than comparable retail companies.
Within materials, shares of chemical manufacturer FMC Corp. rose sharply amid continued strong cash flow and solid execution against management’s five-year plan to double earnings.
Meanwhile, results were hurt by stock selection in the information technology sector. Shares of InterDigital, which we had sold into strength after the company announced the initiation of a strategic process, fell significantly during the most recent year as a sale of all or parts of the company failed to materialize within the market’s expected time frame.
Among our largest and notable new purchases over the last 12 months were ACI Worldwide, Skyworks Solutions, Global Payments, Loral Space & Communications, and DineEquity.
Notable sales from the portfolio over the last 12 months included RR Donnelley, Progress Software, Chemed, and Brinks.
Despite challenges, we expect U.S. economic growth to be moderate, short-term interest rates to stay low, and inflation to remain benign. With respect to the equity market, we are cautiously optimistic about the remainder of the year, as valuations are reasonable and most corporations are proactively taking actions to deal with issues both at home and abroad. At present, the market is focused on the European debt crisis, the fall elections, and the potential U.S. “fiscal cliff.”
8
We have factored these issues into our company-specific research analysis and therefore also into the portfolio’s bottom-up construction. We have, for example, reduced exposure to industries where the risks of government sequestration could not be defined, such as defense and health care. Further, we continue to be mindful of companies with exposure to southern Europe. The managements of the companies in which we are invested are actively deploying their free cash flow through share repurchases, dividends, and opportunistic acquisitions.
Sterling Capital Management LLC
Portfolio Managers:
Eduardo A. Brea, CFA, Managing Director
Timothy P. Beyer, CFA, Managing Director
This latest fiscal year was extremely challenging for us. Our value discipline steered us away from defensive and yield-oriented industries and toward businesses with expectations of an improving economic environment. This allocation turned out to be premature, given the continued demand for yield and lack of meaningful growth in economic activity in the United States and Europe. Stock selection also detracted significantly from relative results. The macroeconomic environment has clearly affected the results of many of our economically sensitive positions.
We were surprised and disappointed at the decline in NII Holdings, a wireless carrier with operations in Latin America. The capital spending burden and ultimate profitability associated with transitioning its clients to 3G technology came under increasing scrutiny with investors as the competitive landscape intensified. The stock collapsed as the company’s profitability metrics changed materially for the worse. We sold this security.
Within financials, our underweighted allocation to yield-oriented REITs proved detrimental, while capital market-sensitive entities such as E-Trade Financial and StanCorp continued to face challenges from abnormally low interest rates and a slow macroeconomic recovery in housing and employment. E-Trade and StanCorp are trading at large discounts to book value, and each benefits from the profitability of key operations—E-Trade in brokerage and StanCorp in insurance. Any pickup in interest rates will add materially to the earnings power of these two businesses.
Lexmark International saw its stock decline because of global weakness in demand for copiers and printers, which is plaguing the entire industry. In response, Lexmark is shuttering its consumer inkjet business and stepping up its repurchase of shares. With earnings power in the range of $3.50 per share and $5 per share in net cash, we think Lexmark, priced at six times earnings, is cheap.
9
There were some success stories, such as PHH Corporation, which rallied dramatically as its valuable leasing business for corporate automobiles continued to improve while its residential mortgage origination and servicing business posted solid operating earnings and credit metrics. Coventry Health Care announced that it was being acquired by Aetna at a significant premium to our purchase price. These successful investments were, unfortunately, few and far between over the fiscal year.
While performance was disappointing, we remain committed to finding cash-generating businesses selling at large discounts to intrinsic value. We measure intrinsic value by discounting a company’s normalized free cash flows and comparing this value with its peers and private market activity. We continue to be positioned for accelerating economic activity and a long-term rise in interest rates. Defensive segments of the market, such as utilities, REITs, and consumer staples, are under-represented in the portfolio. We are overweighted in technology, consumer discretionary, producer durables, and, within financial services, the insurance industry.
There is no question that global economic uncertainty and looming domestic austerity measures are currently manifest in the outperformance of yield-oriented securities and the underperformance of economically sensitive ones. While this post-recession recovery has been one of the weakest in history, surprises in consumer or business confidence can profoundly change the current sluggish trajectory in economic activity.
We believe that the current malaise is decidedly the exception when viewed over the long term. Whether the catalyst for igniting confidence will be a new administration, business-friendly tax and spending regimes, improvements in sentiment outside of the United States, increased mergers and acquisition activity, or exogenous events is, of course, impossible to know. Historically speaking, however, the odds are in our favor.
10
Explorer Value Fund
Fund Profile
As of August 31, 2012
Portfolio Characteristics | |||
Russell | DJ | ||
2500 | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 174 | 1,784 | 3,678 |
Median Market Cap | $2.0B | $2.5B | $34.9B |
Price/Earnings Ratio | 15.9x | 17.4x | 16.3x |
Price/Book Ratio | 1.4x | 1.3x | 2.1x |
Return on Equity | 10.2% | 7.2% | 18.1% |
Earnings Growth Rate | 1.6% | 2.1% | 10.5% |
Dividend Yield | 1.8% | 2.1% | 2.0% |
Foreign Holdings | 1.4% | 0.0% | 0.0% |
Turnover Rate | 38% | — | — |
Ticker Symbol | VEVFX | — | — |
Expense Ratio1 | 0.61% | — | — |
30-Day SEC Yield | 1.11% | — | — |
Short-Term Reserves | 3.5% | — | — |
Sector Diversification (% of equity exposure) | |||
Russell | DJ | ||
2500 | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Consumer Discretionary 10.1% | 11.0% | 12.1% | |
Consumer Staples | 1.4 | 2.4 | 9.8 |
Energy | 5.0 | 7.3 | 10.2 |
Financials | 29.5 | 32.6 | 15.9 |
Health Care | 5.9 | 6.3 | 11.7 |
Industrials | 18.3 | 13.5 | 10.6 |
Information Technology | 21.4 | 10.0 | 19.5 |
Materials | 5.6 | 6.8 | 3.8 |
Telecommunication | |||
Services | 0.4 | 1.2 | 2.8 |
Utilities | 2.4 | 8.9 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Aspen Insurance | Property & Casualty | |
Holdings Ltd. | Insurance | 1.7% |
Endurance Specialty | ||
Holdings Ltd. | Reinsurance | 1.6 |
Teleflex Inc. | Health Care | |
Equipment | 1.3 | |
Six Flags Entertainment | ||
Corp. | Leisure Facilities | 1.3 |
Silgan Holdings Inc. | Metal & Glass | |
Containers | 1.3 | |
Atlas Air Worldwide | Air Freight & | |
Holdings Inc. | Logistics | 1.2 |
Teledyne Technologies | Aerospace & | |
Inc. | Defense | 1.2 |
Affiliated Managers | Asset Management | |
Group Inc. | & Custody Banks | 1.1 |
IAC/InterActiveCorp | Internet Software & | |
Services | 1.1 | |
j2 Global Inc. | Internet Software & | |
Services | 1.1 | |
Top Ten | 12.9% | |
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 fiscal year ended August 31, 2012, the expense ratio was 0.59%. |
11
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.
Cumulative Performance: March 30, 2010, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/explorervaluex14x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (3/30/2010) | Investment | ||
Explorer Value Fund Investor Shares | 13.10% | 9.96% | $12,587 | |
•••••••• | Russell 2500 Value Index | 14.72 | 8.49 | 12,184 |
– – – – | Small-Cap Value Funds Average | 12.13 | 7.05 | 11,794 |
Dow Jones U.S. Total Stock Market | ||||
Index | 16.74 | 9.84 | 12,552 | |
Small-Cap Value Funds Average: Derived from data provided by Lipper Inc. | ||||
"Since Inception" performance is calculated from the inception date for both the fund and its comparative standards. |
See Financial Highlights for dividend and capital gains information. |
12
Explorer Value Fund
Fiscal-Year Total Returns (%): March 30, 2010, Through August 31, 2012
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/explorervaluex15x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2012
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 | -1.25% | 9.36% |
13
Explorer Value Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (93.8%)1 | |||
Consumer Discretionary (9.3%) | |||
Six Flags Entertainment | |||
Corp. | 28,700 | 1,585 | |
Interpublic Group of Cos. | |||
Inc. | 118,100 | 1,256 | |
Virgin Media Inc. | 38,500 | 1,061 | |
Meredith Corp. | 32,271 | 1,051 | |
John Wiley & Sons Inc. | |||
Class A | 13,700 | 676 | |
* | DineEquity Inc. | 12,700 | 673 |
Cinemark Holdings Inc. | 24,200 | 567 | |
Regis Corp. | 30,200 | 544 | |
Newell Rubbermaid Inc. | 30,193 | 541 | |
HSN Inc. | 11,500 | 518 | |
Harman International | |||
Industries Inc. | 10,900 | 502 | |
International Speedway | |||
Corp. Class A | 18,100 | 482 | |
* | Maidenform Brands Inc. | 21,500 | 477 |
Signet Jewelers Ltd. | 9,900 | 454 | |
* | Kirkland’s Inc. | 43,500 | 422 |
Chico’s FAS Inc. | 20,097 | 380 | |
* | Entercom Communications | ||
Corp. Class A | 22,550 | 143 | |
* | Cambium Learning | ||
Group Inc. | 58,100 | 56 | |
11,388 | |||
Consumer Staples (1.2%) | |||
JM Smucker Co. | 8,700 | 739 | |
Inter Parfums Inc. | 24,073 | 400 | |
* | Cott Corp. | 44,300 | 367 |
1,506 | |||
Energy (4.6%) | |||
World Fuel Services Corp. | 31,100 | 1,157 | |
* | Concho Resources Inc. | 8,800 | 790 |
* | Oasis Petroleum Inc. | 22,700 | 666 |
* | Bonanza Creek Energy Inc. | 32,500 | 654 |
SM Energy Co. | 11,133 | 526 |
* | Comstock Resources Inc. | 30,110 | 496 |
* | Carrizo Oil & Gas Inc. | 16,148 | 407 |
* | Forest Oil Corp. | 49,400 | 366 |
* | Resolute Energy Corp. | 36,700 | 332 |
* | Rex Energy Corp. | 24,600 | 305 |
5,699 | |||
Exchange-Traded Fund (0.6%) | |||
* | iShares Russell 2000 Value | ||
Index Fund | 9,900 | 712 | |
Financials (27.7%) | |||
Aspen Insurance Holdings | |||
Ltd. | 73,736 | 2,144 | |
Endurance Specialty | |||
Holdings Ltd. | 53,400 | 2,019 | |
* | Affiliated Managers Group | ||
Inc. | 11,700 | 1,376 | |
Nelnet Inc. Class A | 52,800 | 1,265 | |
Leucadia National Corp. | 58,900 | 1,259 | |
CYS Investments Inc. | 85,600 | 1,231 | |
First American Financial | |||
Corp. | 62,900 | 1,212 | |
Medical Properties Trust | |||
Inc. | 107,600 | 1,109 | |
CapitalSource Inc. | 146,400 | 1,015 | |
Washington Federal Inc. | 56,200 | 905 | |
Cash America | |||
International Inc. | 22,600 | 877 | |
Ares Capital Corp. | 49,800 | 860 | |
* | Popular Inc. | 51,520 | 816 |
HCC Insurance Holdings Inc. | 24,273 | 803 | |
Flushing Financial Corp. | 51,570 | 786 | |
* | E*TRADE Financial Corp. | 83,500 | 716 |
First Community | |||
Bancshares Inc. | 48,094 | 715 | |
Northwest Bancshares Inc. | 56,800 | 686 | |
Willis Group Holdings plc | 18,100 | 676 | |
Selective Insurance | |||
Group Inc. | 36,910 | 662 | |
Starwood Property Trust Inc. | 27,800 | 655 |
14
Explorer Value Fund
Market | |||
Value | |||
Shares | ($000) | ||
Renasant Corp. | 35,721 | 653 | |
National Retail Properties Inc. | 20,894 | 649 | |
Argo Group International | |||
Holdings Ltd. | 21,872 | 647 | |
WSFS Financial Corp. | 15,706 | 637 | |
Entertainment Properties | |||
Trust | 13,500 | 615 | |
* | Navigators Group Inc. | 12,480 | 606 |
StanCorp Financial Group Inc. | 19,400 | 606 | |
Hatteras Financial Corp. | 20,500 | 594 | |
First Midwest Bancorp Inc. | 49,000 | 579 | |
Assured Guaranty Ltd. | 42,300 | 558 | |
* | Pinnacle Financial Partners | ||
Inc. | 28,847 | 552 | |
First Citizens BancShares | |||
Inc. Class A | 3,300 | 545 | |
Hancock Holding Co. | 16,540 | 490 | |
Jefferies Group Inc. | 32,580 | 479 | |
Raymond James Financial | |||
Inc. | 12,554 | 442 | |
Lincoln National Corp. | 19,000 | 441 | |
Campus Crest Communities | |||
Inc. | 38,707 | 418 | |
Granite Real Estate Inc. | 10,600 | 382 | |
Parkway Properties Inc. | 31,075 | 361 | |
* | PHH Corp. | 20,100 | 351 |
* | Investment Technology | ||
Group Inc. | 41,200 | 349 | |
First Horizon National Corp. | 38,204 | 342 | |
* | Texas Capital Bancshares Inc. | 7,240 | 333 |
Assurant Inc. | 8,600 | 303 | |
Ramco-Gershenson | |||
Properties Trust | 21,700 | 281 | |
34,000 | |||
Health Care (5.3%) | |||
Teleflex Inc. | 24,200 | 1,598 | |
* | VCA Antech Inc. | 47,000 | 909 |
* | Life Technologies Corp. | 16,900 | 806 |
Cooper Cos. Inc. | 8,884 | 745 | |
Omnicare Inc. | 22,400 | 725 | |
* | Henry Schein Inc. | 8,500 | 653 |
* | Symmetry Medical Inc. | 58,900 | 548 |
* | IRIS International Inc. | 40,677 | 517 |
6,501 | |||
Industrials (17.2%) | |||
* | Atlas Air Worldwide | ||
Holdings Inc. | 28,325 | 1,459 | |
* | Teledyne Technologies Inc. | 22,042 | 1,422 |
Celadon Group Inc. | 73,788 | 1,218 | |
* | KAR Auction Services Inc. | 62,700 | 1,097 |
Equifax Inc. | 21,300 | 975 | |
Harsco Corp. | 43,100 | 879 | |
* | Saia Inc. | 38,026 | 825 |
* | Sykes Enterprises Inc. | 56,000 | 755 |
Snap-on Inc. | 10,735 | 745 | |
Altra Holdings Inc. | 38,485 | 708 | |
* | Beacon Roofing Supply Inc. | 24,233 | 682 |
* | WESCO International Inc. | 11,276 | 652 |
Granite Construction Inc. | 21,800 | 601 | |
Lennox International Inc. | 12,510 | 594 | |
* | AerCap Holdings NV | 44,550 | 564 |
* | FTI Consulting Inc. | 20,300 | 528 |
* | Orbital Sciences Corp. | 37,445 | 517 |
Encore Wire Corp. | 17,790 | 504 | |
Carlisle Cos. Inc. | 9,310 | 487 | |
* | B/E Aerospace Inc. | 11,393 | 459 |
Kaman Corp. | 13,900 | 456 | |
Interface Inc. Class A | 33,127 | 455 | |
* | MRC Global Inc. | 20,200 | 445 |
Apogee Enterprises Inc. | 27,980 | 442 | |
UTi Worldwide Inc. | 30,700 | 422 | |
Briggs & Stratton Corp. | 22,300 | 386 | |
* | WABCO Holdings Inc. | 6,526 | 383 |
* | Columbus McKinnon Corp. | 24,705 | 366 |
HNI Corp. | 12,976 | 360 | |
* | DXP Enterprises Inc. | 6,449 | 297 |
* | Accuride Corp. | 55,720 | 280 |
* | EnergySolutions Inc. | 110,800 | 271 |
Mine Safety Appliances Co. | 6,500 | 227 | |
* | Furmanite Corp. | 45,885 | 224 |
Heidrick & Struggles | |||
International Inc. | 16,310 | 201 | |
* | CRA International Inc. | 10,922 | 173 |
21,059 | |||
Information Technology (20.1%) | |||
IAC/InterActiveCorp | 26,300 | 1,363 | |
j2 Global Inc. | 44,500 | 1,311 | |
Convergys Corp. | 81,800 | 1,269 | |
Global Payments Inc. | 30,200 | 1,258 | |
DST Systems Inc. | 21,700 | 1,104 | |
EarthLink Inc. | 161,200 | 1,077 | |
Lexmark International Inc. | |||
Class A | 45,761 | 993 | |
* | ACI Worldwide Inc. | 22,500 | 976 |
InterDigital Inc. | 28,200 | 952 | |
* | OSI Systems Inc. | 12,016 | 890 |
Lender Processing Services | |||
Inc. | 30,200 | 848 | |
* | Skyworks Solutions Inc. | 27,300 | 832 |
Loral Space & | |||
Communications Inc. | 11,100 | 815 | |
Jabil Circuit Inc. | 32,017 | 729 | |
* | Itron Inc. | 15,800 | 685 |
* | Symantec Corp. | 36,300 | 647 |
* | Insight Enterprises Inc. | 35,940 | 646 |
* | ValueClick Inc. | 39,500 | 642 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 43,290 | 629 |
15
Explorer Value Fund
Market | |||
Value | |||
Shares | ($000) | ||
Broadridge Financial | |||
Solutions Inc. | 25,100 | 594 | |
* | ON Semiconductor Corp. | 85,220 | 531 |
CA Inc. | 19,700 | 513 | |
Fidelity National Information | |||
Services Inc. | 16,100 | 507 | |
* | Pericom Semiconductor | ||
Corp. | 63,015 | 506 | |
Harris Corp. | 10,200 | 480 | |
* | Ingram Micro Inc. | 30,200 | 461 |
MTS Systems Corp. | 9,000 | 457 | |
* | Advanced Energy | ||
Industries Inc. | 32,590 | 416 | |
* | Compuware Corp. | 41,300 | 413 |
* | Virtusa Corp. | 23,070 | 390 |
Littelfuse Inc. | 7,308 | 375 | |
* | Orbotech Ltd. | 44,800 | 373 |
Black Box Corp. | 13,900 | 361 | |
Diebold Inc. | 10,248 | 334 | |
* | CIBER Inc. | 68,000 | 236 |
* | Dice Holdings Inc. | 9,100 | 73 |
24,686 | |||
Materials (5.3%) | |||
Silgan Holdings Inc. | 37,400 | 1,568 | |
FMC Corp. | 23,200 | 1,260 | |
Eagle Materials Inc. | 16,980 | 724 | |
Cytec Industries Inc. | 10,502 | 719 | |
PH Glatfelter Co. | 34,810 | 585 | |
* | WR Grace & Co. | 9,100 | 526 |
Albemarle Corp. | 8,700 | 476 | |
* | Ferro Corp. | 69,700 | 229 |
Cabot Corp. | 5,672 | 197 | |
* | RTI International Metals Inc. | 8,932 | 194 |
6,478 | |||
Telecommunication Services (0.4%) | |||
NTELOS Holdings Corp. | 17,750 | 305 | |
Lumos Networks Corp. | 16,250 | 141 | |
446 | |||
Utilities (2.1%) | |||
Westar Energy Inc. | 28,635 | 834 | |
Portland General Electric Co. | 27,053 | 726 | |
Unitil Corp. | 17,610 | 465 | |
Southwest Gas Corp. | 9,745 | 416 | |
Piedmont Natural Gas Co. Inc. | 5,566 | 174 | |
2,615 | |||
Total Common Stocks | |||
(Cost $105,217) | 115,090 |
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investments (6.6%)1 | ||
Money Market Fund (6.2%) | ||
2 Vanguard Market | ||
Liquidity Fund, 0.158% | 7,635,000 | 7,635 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.4%) | ||
3,4 Freddie Mac Discount | ||
Notes, 0.145%, 9/17/12 | 500 | 500 |
Total Temporary Cash Investments | ||
(Cost $8,135) | 8,135 | |
Total Investments (100.4%) | ||
(Cost $113,352) | 123,225 | |
Other Assets and Liabilities (-0.4%) | ||
Other Assets | 801 | |
Liabilities | (1,254) | |
(453) | ||
Net Assets (100%) | ||
Applicable to 5,237,605 outstanding | ||
$.001 par valueshares of beneficial | ||
interest (unlimited authorization) | 122,772 | |
Net Asset Value Per Share | $23.44 |
16
Explorer Value Fund
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 111,477 |
Undistributed Net Investment Income | 527 |
Accumulated Net Realized Gains | 623 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 9,873 |
Futures Contracts | 272 |
Net Assets | 122,772 |
• 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 96.8% and 3.6%, 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 was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and its receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for
Senior preferred stock.
4 Securities with a value of $400,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Explorer Value Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,845 |
Interest1 | 12 |
Security Lending | 26 |
Total Income | 1,883 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 416 |
Performance Adjustment | 35 |
The Vanguard Group—Note C | |
Management and Administrative | 169 |
Marketing and Distribution | 24 |
Custodian Fees | 15 |
Auditing Fees | 39 |
Shareholders’ Reports | 2 |
Total Expenses | 700 |
Net Investment Income | 1,183 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 903 |
Futures Contracts | (12) |
Realized Net Gain (Loss) | 891 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 11,572 |
Futures Contracts | 438 |
Change in Unrealized Appreciation (Depreciation) | 12,010 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,084 |
1 Interest income from an affiliated company of the fund was $11,000.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Explorer Value Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,183 | 914 |
Realized Net Gain (Loss) | 891 | 7,134 |
Change in Unrealized Appreciation (Depreciation) | 12,010 | 7,154 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,084 | 15,202 |
Distributions | ||
Net Investment Income | (962) | (576) |
Realized Capital Gain1 | (5,185) | (837) |
Total Distributions | (6,147) | (1,413) |
Capital Share Transactions | ||
Issued | 25,380 | 64,108 |
Issued in Lieu of Cash Distributions | 5,669 | 1,289 |
Redeemed | (31,933) | (38,764) |
Net Increase (Decrease) from Capital Share Transactions | (884) | 26,633 |
Total Increase (Decrease) | 7,053 | 40,422 |
Net Assets | ||
Beginning of Period | 115,719 | 75,297 |
End of Period2 | 122,772 | 115,719 |
1 Includes fiscal 2012 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 net investments income of $527,000 and $428,000.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Explorer Value Fund
Financial Highlights
March 16, | |||
Year Ended | 20101 to | ||
August 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 | .232 | .190 | .044 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.476 | 3.991 | (1.954) |
Total from Investment Operations | 2.708 | 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 | $23.44 | $21.94 | $18.09 |
Total Return2 | 13.10% | 23.04% | -9.55% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $123 | $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 | 1.00% | 0.82% | 0.55%4 |
Portfolio Turnover Rate | 38% | 41% | 16% |
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 of 0.03%, 0.01%, and 0.00%.
4 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
20
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).
During the year ended August 31, 2012, the fund’s average investment in futures contracts represented 4% of net assets, based on quarterly average aggregate settlement values.
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, 2010–2012), 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.
21
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 of 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 year ended August 31, 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 $35,000 (0.03%) based on performance.
C. 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 August 31, 2012, the fund had contributed capital of $18,000 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.
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 August 31, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 115,090 | — | — |
Temporary Cash Investments | 7,635 | 500 | — |
Futures Contracts—Assets1 | 25 | — | — |
Total | 122,750 | 500 | — |
1 Represents variation margin on the last day of the reporting period.
22
Explorer Value Fund
E. At August 31, 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 | September 2012 | 47 | 3,812 | 272 |
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 used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from net investment income and realized capital gains. Accordingly, the fund has reclassified $122,000 from undistributed net investment income, and $431,000 from accumulated net realized gains, to paid-in capital.
For tax purposes, at August 31, 2012, the fund had $1,003,000 of ordinary income and $495,000 of long-term capital gains available for distribution.
At August 31, 2012, the cost of investment securities for tax purposes was $113,352,000. Net unrealized appreciation of investment securities for tax purposes was $9,873,000, consisting of unrealized gains of $16,792,000 on securities that had risen in value since their purchase and $6,919,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the year ended August 31, 2012, the fund purchased $41,858,000 of investment securities and sold $47,893,000 of investment securities, other than temporary cash investments.
H. Capital share transactions for each class of shares were:
Year Ended August 31, | ||
2012 | 2011 | |
Shares | Shares | |
(000) | (000) | |
Issued | 1,125 | 2,748 |
Issued in Lieu of Cash Distributions | 275 | 57 |
Redeemed | (1,437) | (1,693) |
Net Increase (Decrease) in Shares Outstanding | (37) | 1,112 |
I. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
23
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Explorer Value Fund:
In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Explorer Value Fund (constituting a separate portfolio of Vanguard Scottsdale Funds, hereafter referred to as the “Fund”) at August 31, 2012, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the year then ended and for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian and broker and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2012
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/explorervaluex26x1.jpg)
Special 2012 tax information (unaudited) for Vanguard Explorer Value Fund
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of
the Internal Revenue Code.
The fund distributed $1,419,000 as capital gain dividends (from net long-term capital gains) to
shareholders during the fiscal year.
The fund distributed $1,145,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 76.7% of investment income (dividend income plus short-term gains,
if any) qualifies for the dividends-received deduction.
24
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income , using actual prior-year figures and estimates for 2012. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: Explorer Value Fund
Periods Ended August 31, 2012
Since | ||
One | Inception | |
Year | (3/30/2010) | |
Returns Before Taxes | 13.10% | 9.96% |
Returns After Taxes on Distributions | 11.35 | 9.10 |
Returns After Taxes on Distributions and Sale of Fund Shares | 8.77 | 8.07 |
25
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.
26
Six Months Ended August 31, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Explorer Value Fund | 2/29/2012 | 8/31/2012 | Period |
Based on Actual Fund Return | $1,000.00 | $1,005.15 | $2.98 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,022.23 | 3.01 |
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.
27
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.
28
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.
29
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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.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | |
Born 1948. Trustee Since January 2008. Principal | |
Occupation(s) During the Past Five Years: Executive | JoAnn Heffernan Heisen |
Chief Staff and Marketing Officer for North America | Born 1950. Trustee Since July 1998. Principal |
and Corporate Vice President (retired 2008) of Xerox | Occupation(s) During the Past Five Years: Corporate |
Corporation (document management products and | Vice President and Chief Global Diversity Officer |
services); Executive in Residence and 2010 | (retired 2008) and Member of the Executive |
Distinguished Minett Professor at the Rochester | Committee (1997–2008) of Johnson & Johnson |
Institute of Technology; Director of SPX Corporation | (pharmaceuticals/medical devices/consumer |
(multi-industry manufacturing), the United Way of | products); Director of Skytop Lodge Corporation |
Rochester, Amerigroup Corporation (managed health | (hotels), the University Medical Center at Princeton, |
care), the University of Rochester Medical Center, | the Robert Wood Johnson Foundation, and the Center |
Monroe Community College Foundation, and North | for Talent Innovation; Member of the Advisory Board |
Carolina A&T University. | of the Maxwell School of Citizenship and Public Affairs |
at Syracuse University. | |
Rajiv L. Gupta | |
Born 1945. Trustee Since December 2001.2 | F. Joseph Loughrey |
Principal Occupation(s) During the Past Five Years: | Born 1949. Trustee Since October 2009. Principal |
Chairman and Chief Executive Officer (retired 2009) | Occupation(s) During the Past Five Years: President |
and President (2006–2008) of Rohm and Haas Co. | and Chief Operating Officer (retired 2009) of Cummins |
(chemicals); Director of Tyco International, Ltd. | Inc. (industrial machinery); Director of SKF AB |
(diversified manufacturing and services), Hewlett- | (industrial machinery), Hillenbrand, Inc. (specialized |
Packard Co. (electronic computer manufacturing), | consumer services), the Lumina Foundation for |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Vanguard Senior ManagementTeam | |
Occupation(s) During the Past Five Years: Chairman, | ||
President, and Chief Executive Officer of NACCO | Mortimer J. Buckley | Michael S. Miller |
Industries, Inc. (forklift trucks/housewares/lignite); | Kathleen C. Gubanich | James M. Norris |
Director of Goodrich Corporation (industrial products/ | Paul A. Heller | Glenn W. Reed |
aircraft systems and services) and the National | Martha G. King | George U. Sauter |
Association of Manufacturers; Chairman of the Board | Chris D. McIsaac | |
of the Federal Reserve Bank of Cleveland and of | ||
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | Chairman Emeritus and Senior Advisor | |
John J. Brennan | ||
Peter F. Volanakis | Chairman, 1996–2009 | |
Born 1955. Trustee Since July 2009. Principal | Chief Executive Officer and President, 1996–2008 | |
Occupation(s) During the Past Five Years: President | ||
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | Founder | |
Overseer of the Amos Tuck School of Business | John C. Bogle | |
Administration at Dartmouth College; Advisor to the | Chairman and Chief Executive Officer, 1974–1996 | |
Norris Cotton Cancer Center. |
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 | |
Fund Information > 800-662-7447 | CFA® is a trademark owned by CFA Institute. |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
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. | |
Q16900 102012 |
Annual Report | August 31, 2012
Vanguard Russell 1000 Index Funds
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx1x2.jpg)
Vanguard Russell 1000 Index Fund
Vanguard Russell 1000 Value Index Fund
Vanguard Russell 1000 Growth Index Fund
> For the 12 months ended August 31, 2012, the Vanguard Russell 1000 Index
Funds closely tracked their target indexes, earning total returns of about 17%.
> In a market environment that generally favored large-capitalization stocks, the
returns for growth and value stocks were separated by the narrowest of
margins.
> The information technology, consumer-oriented, and health care sectors were
among the funds’ top contributors.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Russell 1000 Index Fund. | 8 |
Russell 1000 Value Index Fund. | 22 |
Russell 1000 Growth Index Fund. | 36 |
Your Fund’s After-Tax Returns. | 52 |
About Your Fund’s Expenses. | 53 |
Trustees Approve Advisory Arrangement. | 55 |
Glossary. | 56 |
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: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate.
It was featured in a movie based on Patrick O’Brian’s sea novels, set amid the Napoleonic wars. Vanguard was named for
another ship of that era, the HMS Vanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2012 | |
Total | |
Returns | |
Russell 1000 Index Fund | |
Institutional Shares | 17.25% |
ETF Shares | |
Market Price | 17.23 |
Net Asset Value | 17.19 |
Russell 1000 Index | 17.33 |
Large-Cap Core Funds Average | 14.95 |
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Russell 1000 Value Index Fund | |
Institutional Shares | 17.23% |
ETF Shares | |
Market Price | 17.14 |
Net Asset Value | 17.17 |
Russell 1000 Value Index | 17.30 |
Large-Cap Value Funds Average | 14.59 |
Large-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
Russell 1000 Growth Index Fund | |
Institutional Shares | 17.26% |
ETF Shares | |
Market Price | 16.58 |
Net Asset Value | 17.18 |
Russell 1000 Growth Index | 17.37 |
Large-Cap Growth Funds Average | 14.07 |
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,
The three Vanguard Russell 1000 Index Funds produced strong returns for the fiscal year ended August 31, 2012. The funds met their objective of closely tracking their benchmark indexes. Each also surpassed the average return of its respective large-capitalization peer group.
Within the broad U.S. stock market, large-cap stocks outpaced the returns of both small- and mid-cap stocks. In such a market environment, large-cap stocks of all flavors did well; large-cap growth stocks led the group by the smallest of margins.
The Russell 1000 Growth Index Fund returned 17.26%, while the counterpart Value Index Fund advanced 17.23%. The Russell 1000 Index Fund, which holds both growth and value stocks, returned 17.25%. (The returns cited here and elsewhere in the letter are for the funds’ Institutional Shares.)
If you hold shares of your fund in a taxable account, you may wish to review the information on the fund’s after-tax returns that appears later in this report.
U.S. stocks shook off concerns to produce double-digit returns
U.S. stocks generated robust gains for the period, returning nearly 17% overall. They seemed to get a lift as the U.S. economy continued to grow, albeit at a modest rate, avoiding the “double-dip” recession that some investors had feared.
2
Though European stocks posted strong returns in local-currency terms, this performance was much more modest when converted into U.S. dollars—a result of the dollar’s strengthening against the euro during the 12 months. Signs of slowing economic growth restrained returns for emerging markets and the developed markets of the Pacific region.
Questions about the finances of European governments and banks continued to preoccupy investors. Although the situation in Europe is very fluid, Vanguard economists believe the most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Bonds continued their march, as yields dropped to record lows
Bonds produced solid returns: The broad U.S. taxable market advanced nearly 6% for the 12 months. Long-term U.S. Treasuries were particularly strong as they benefited from the Federal Reserve’s bond-buying program.
As bond prices rose, the yield of the 10-year U.S. Treasury note fell to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) Bondholders have enjoyed years of strong returns. But as Tim Buckley, our incoming chief investment officer, has noted, investors shouldn’t be surprised if future results are more modest. As yields tumble, the scope for further declines—and price increases—diminishes.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 17.33% | 13.82% | 1.47% |
Russell 2000 Index (Small-caps) | 13.40 | 13.89 | 1.90 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 13.87 | 1.73 |
MSCI All Country World Index ex USA (International) | -1.92 | 3.64 | -3.59 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.78% | 6.51% | 6.66% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 8.78 | 7.02 | 6.24 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.71 |
CPI | |||
Consumer Price Index | 1.69% | 2.20% | 2.07% |
3
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%, keeping a tight lid on the returns from money market funds and savings accounts.
The tech and consumer sectors boosted large-cap growth stocks
As I mentioned, these three funds benefited during the period from investors’ preference for large-cap stocks, which are often considered more stable than smaller-caps, if not as fast-growing.
For the Russell 1000 Growth Index Fund, information technology stocks were the best performers. Computer hardware
companies did exceptionally well as sales of computer tablets and mobile devices continued to soar. The fund’s consumer-related stocks, such as specialty retail, media, and tobacco companies, turned in impressive results, too. The health care sector, another source of strength, was boosted by biotech companies that have made significant headway in getting their drugs approved.
The Russell 1000 Index Fund, which also held sizable allotments to the tech, consumer discretionary, and health care sectors, benefited as well from its financial holdings. Some of the financial sector’s best results came from commercial banks, insurance companies, and real estate investment trusts (REITs).
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 fiscal year ended August 31, 2012, the funds’ 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 Funds; and for
the Russell 1000 Growth Index Fund, Large-Cap Growth Funds.
4
The Russell 1000 Value Index Fund’s largest sector holding, financials, contributed most to its returns. Although financial companies have struggled since the 2008 credit crisis, they rebounded over the past year. Despite their solid performance, financial stocks lagged the performance of other sectors in the broad market, including technology. Other areas in which the fund had substantial holdings, such as energy, also trailed the stock market as a whole.
In a brief but challenging lifespan, the funds have met their objective
The Vanguard Russell 1000 Index Funds just completed their first full fiscal year since their inception in September 2010. During this period, these funds have experienced frequently volatile stock
market environments. Despite these challenging conditions, the three funds have consistently met their goal of closely tracking their respective target indexes.
The funds’ success in this regard is a tribute to the skills of their investment advisor, Vanguard Equity Investment Group, whose sophisticated portfolio construction and management techniques reflect more than 30 years of indexing experience. The advisor has been aided in this task by each fund’s low expenses.
The rise of index funds and the merits of active management
Today, index funds enjoy a degree of acceptance that was unimaginable some 35 years ago, when we introduced the first
Investment insight |
Why are some stocks in both the growth and value indexes? |
If you look closely at many value and growth indexes—and the funds that seek to |
track them—you’ll notice that they have some of the same holdings. Johnson & |
Johnson, for example, was included in both the Russell 1000 Growth Index and the |
Russell 1000 Value Index as of August 31, 2012. |
The overlap is a result of the methodology used to create and update the indexes. |
Here’s how it works: The index provider ranks all the stocks in a broader “parent” |
index according to growth and value metrics. Some of the stocks will be classified as |
purely growth or purely value. But a portion will fall in between, with characteristics |
of each. |
This type of stock will then be divided between the indexes. If it’s closer to the |
growth end of the spectrum, more of its market capitalization will be assigned to the |
growth index—and vice versa if it’s a value-oriented stock. |
This method can reduce the number of stocks that drift entirely out of one index and |
into another. And that, in turn, can lead to lower transaction costs and greater tax |
efficiency for funds that follow the indexes. |
5
index mutual fund for individual investors. In the past five years, according to research company Strategic Insight, stock fund investors have directed just about all of their net new investments into index funds, both conventional shares and ETFs.
The benefits of index funds are crystal clear: low costs, diversification across market segments, and limited deviation from the returns of market benchmarks. Vanguard’s three Russell 1000 Index Funds are a great example, providing investors exposure to the largest stocks in the U.S. market.
What about actively managed funds? Although Vanguard is prominent as an indexing leader, we also offer actively managed funds that give investors the chance to outperform market indexes. Make no mistake: Outperformance is hard to come by. Nevertheless, we believe we can enhance investors’ chances of success by searching the globe for best-in-class investment managers, and offering their services to our clients at a low cost.
Whether your portfolio includes index funds, active funds, or a combination, we believe that adhering to a few basic tenets can help put you in a position to meet your long-term financial goals. So consider maintaining a balanced portfolio diversified with stocks, bonds, and cash; save more than you think you’ll need; keep an eye on costs; and last, but never least, have a plan and stick with it.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
September 20, 2012
A note on expense ratios |
The Expense Ratios table in each shareholder 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 the fund’s actual expenses for the |
fiscal year, a more relevant tally of the operating costs incurred by shareholders. |
6
Your Fund’s Performance at a Glance | ||||
August 31, 2011, Through August 31, 2012 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Russell 1000 Index Fund | ||||
Institutional Shares | $108.35 | $124.53 | $2.234 | $0.000 |
ETF Shares | 55.94 | 64.29 | 1.133 | 0.000 |
Vanguard Russell 1000 Value Index Fund | ||||
Institutional Shares | $104.59 | $120.04 | $2.286 | $0.000 |
ETF Shares | 53.57 | 61.49 | 1.141 | 0.000 |
Vanguard Russell 1000 Growth Index Fund | ||||
Institutional Shares | $112.09 | $129.59 | $1.654 | $0.000 |
ETF Shares | 58.31 | 67.41 | 0.823 | 0.000 |
7
Russell 1000 Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VRNIX | VONE |
Expense Ratio1 | 0.08% | 0.12% |
30-Day SEC Yield | 2.09% | 2.05% |
Portfolio Characteristics | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | Index | |
Number of Stocks | 987 | 986 | 3,678 |
Median Market Cap $43.7B | $43.7B | $34.9B | |
Price/Earnings Ratio | 16.0x | 16.0x | 16.3x |
Price/Book Ratio | 2.2x | 2.2x | 2.1x |
Return on Equity | 18.8% | 18.6% | 18.1% |
Earnings Growth Rate | 10.8% | 10.8% | 10.5% |
Dividend Yield | 2.1% | 2.1% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 36% | — | — |
Short-Term Reserves | -0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | Index | |
Consumer Discretionary 12.0% | 12.0% | 12.1% | |
Consumer Staples | 10.1 | 10.1 | 9.8 |
Energy | 10.5 | 10.4 | 10.2 |
Financials | 15.4 | 15.4 | 15.9 |
Health Care | 11.6 | 11.6 | 11.7 |
Industrials | 10.5 | 10.5 | 10.6 |
Information Technology 19.5 | 19.6 | 19.5 | |
Materials | 3.8 | 3.8 | 3.8 |
Telecommunication | |||
Services | 3.0 | 3.0 | 2.8 |
Utilities | 3.6 | 3.6 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer | |
Hardware | 4.3% | |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 2.8 | |
Microsoft Corp. | Systems Software | 1.6 |
Chevron Corp. | Integrated Oil & | |
Gas | 1.5 | |
General Electric Co. | Industrial | |
Conglomerates | 1.5 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.5 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.5 |
Johnson & Johnson | Pharmaceuticals | 1.3 |
Procter & Gamble Co. | Household | |
Products | 1.3 | |
Pfizer Inc. | Pharmaceuticals | 1.2 |
Top Ten | 18.5% |
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 fiscal year ended August 31, 2012, the 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.
Cumulative Performance: September 20, 2010, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx11x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 1000 Index Fund ETF Shares | ||||
Net Asset Value | 17.19% | 13.42% | $12,776 | |
Russell 1000 Index Fund ETF Shares | ||||
Market Price | 17.23 | 13.44 | 12,781 | |
•••••••• | Russell 1000 Index | 17.33 | 13.55 | 12,805 |
– – – – | Large-Cap Core Funds Average | 14.95 | 11.19 | 12,293 |
Dow Jones U.S. Total Stock Market | ||||
Index | 16.74 | 13.20 | 12,729 |
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (10/15/2010) | Investment | |
Russell 1000 Index Fund Institutional Shares | 17.25% | 12.09% | $6,194,765 |
Russell 1000 Index | 17.33 | 12.17 | 6,203,375 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 11.69 | 6,153,893 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
9
Russell 1000 Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Index Fund ETF Shares Market | ||
Price | 17.23% | 27.81% |
Russell 1000 Index Fund ETF Shares Net | ||
Asset Value | 17.19 | 27.76 |
Russell 1000 Index | 17.33 | 28.05 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2012
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx12x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 4.30% | 11.02% |
ETF Shares | 9/20/2010 | ||
Market Price | 4.28 | 12.50 | |
Net Asset Value | 4.28 | 12.52 |
10
Russell 1000 Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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. | 34,139 | 3,055 | 0.7% |
Comcast Corp. Class A | 90,146 | 3,023 | 0.6% |
* Amazon.com Inc. | 12,145 | 3,015 | 0.6% |
Walt Disney Co. | 60,072 | 2,972 | 0.6% |
Home Depot Inc. | 51,466 | 2,921 | 0.6% |
Consumer Discretionary—Other † | 42,698 | 8.9% | |
57,684 | 12.0% | ||
Consumer Staples | |||
Procter & Gamble Co. | 92,039 | 6,184 | 1.3% |
Philip Morris International Inc. | 57,283 | 5,115 | 1.1% |
Coca-Cola Co. | 130,463 | 4,879 | 1.0% |
Wal-Mart Stores Inc. | 56,790 | 4,123 | 0.8% |
PepsiCo Inc. | 52,562 | 3,807 | 0.8% |
Kraft Foods Inc. | 59,523 | 2,472 | 0.5% |
Altria Group Inc. | 68,381 | 2,322 | 0.5% |
CVS Caremark Corp. | 43,053 | 1,961 | 0.4% |
Consumer Staples—Other † | 17,495 | 3.6% | |
48,358 | 10.0% | ||
Energy | |||
Exxon Mobil Corp. | 156,968 | 13,703 | 2.8% |
Chevron Corp. | 66,226 | 7,428 | 1.5% |
Schlumberger Ltd. | 44,821 | 3,244 | 0.7% |
ConocoPhillips | 42,480 | 2,412 | 0.5% |
Occidental Petroleum Corp. | 27,234 | 2,315 | 0.5% |
Energy—Other † | 21,059 | 4.4% | |
50,161 | 10.4% | ||
Financials | |||
Wells Fargo & Co. | 164,472 | 5,597 | 1.2% |
* Berkshire Hathaway Inc. Class B | 59,850 | 5,048 | 1.1% |
JPMorgan Chase & Co. | 127,817 | 4,747 | 1.0% |
Citigroup Inc. | 98,425 | 2,924 | 0.6% |
11
Russell 1000 Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Bank of America Corp. | 361,722 | 2,890 | 0.6% |
US Bancorp | 63,608 | 2,125 | 0.4% |
American Express Co. | 33,677 | 1,963 | 0.4% |
Financials—Other † | 48,856 | 10.1% | |
74,150 | 15.4% | ||
Health Care | |||
Johnson & Johnson | 92,234 | 6,219 | 1.3% |
Pfizer Inc. | 251,353 | 5,997 | 1.2% |
Merck & Co. Inc. | 102,088 | 4,395 | 0.9% |
Abbott Laboratories | 52,870 | 3,465 | 0.7% |
Amgen Inc. | 26,161 | 2,195 | 0.5% |
UnitedHealth Group Inc. | 34,860 | 1,893 | 0.4% |
Bristol-Myers Squibb Co. | 56,692 | 1,871 | 0.4% |
Health Care—Other † | 29,622 | 6.1% | |
55,657 | 11.5% | ||
Industrials | |||
General Electric Co. | 355,595 | 7,364 | 1.5% |
United Technologies Corp. | 30,626 | 2,445 | 0.5% |
3M Co. | 23,307 | 2,158 | 0.4% |
Union Pacific Corp. | 16,000 | 1,943 | 0.4% |
Caterpillar Inc. | 21,966 | 1,874 | 0.4% |
Industrials—Other † | 34,627 | 7.2% | |
50,411 | 10.4% | ||
Information Technology | |||
Apple Inc. | 31,384 | 20,878 | 4.3% |
Microsoft Corp. | 252,634 | 7,786 | 1.6% |
International Business Machines Corp. | 36,611 | 7,134 | 1.5% |
* Google Inc. Class A | 8,690 | 5,953 | 1.2% |
Intel Corp. | 168,871 | 4,193 | 0.9% |
Oracle Corp. | 128,296 | 4,061 | 0.9% |
QUALCOMM Inc. | 57,570 | 3,538 | 0.7% |
Cisco Systems Inc. | 179,833 | 3,431 | 0.7% |
Visa Inc. Class A | 17,603 | 2,258 | 0.5% |
* EMC Corp. | 70,491 | 1,853 | 0.4% |
* eBay Inc. | 38,935 | 1,848 | 0.4% |
Information Technology—Other † | 30,862 | 6.4% | |
93,795 | 19.5% | ||
Materials † | 18,234 | 3.8% | |
Telecommunication Services | |||
AT&T Inc. | 196,784 | 7,210 | 1.5% |
Verizon Communications Inc. | 95,426 | 4,098 | 0.9% |
Telecommunication Services—Other † | 3,074 | 0.6% | |
14,382 | 3.0% | ||
Utilities † | 17,189 | 3.6% | |
Total Common Stocks (Cost $447,901) | 480,021 | 99.6%1 |
12
Russell 1000 Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
2Vanguard Market Liquidity Fund | 0.158% | 613,261 | 613 | 0.1% |
3U.S. Government and Agency Obligations † | 200 | 0.1% | ||
Total Temporary Cash Investments (Cost $813) | 813 | 0.2%1 | ||
Total Investments (Cost $448,714) | 480,834 | 99.8% | ||
Other Assets and Liabilities | ||||
Other Assets | 4,523 | 0.9% | ||
Liabilities | (3,445) | (0.7%) | ||
1,078 | 0.2% | |||
Net Assets | 481,912 | 100.0% | ||
At August 31, 2012, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 452,446 | |||
Undistributed Net Investment Income | 1,863 | |||
Accumulated Net Realized Losses | (4,591) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 32,120 | |||
Futures Contracts | 74 | |||
Net Assets | 481,912 | |||
Institutional Shares—Net Assets | ||||
Applicable to 2,682,385 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 334,038 | |||
Net Asset Value Per Share—Institutional Shares | $124.53 | |||
ETF Shares—Net Assets | ||||
Applicable to 2,300,000 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 147,874 | |||
Net Asset Value Per Share—ETF Shares | $64.29 |
• 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 -0.2%, 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 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.
13
Russell 1000 Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 6,595 |
Interest1 | 3 |
Security Lending | 20 |
Total Income | 6,618 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 21 |
Management and Administrative—Institutional Shares | 18 |
Management and Administrative—ETF Shares | 31 |
Marketing and Distribution—Institutional Shares | 66 |
Marketing and Distribution—ETF Shares | 10 |
Custodian Fees | 96 |
Auditing Fees | 23 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 1 |
Total Expenses | 266 |
Net Investment Income | 6,352 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (1,342) |
Futures Contracts | 105 |
Realized Net Gain (Loss) | (1,237) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 40,001 |
Futures Contracts | 80 |
Change in Unrealized Appreciation (Depreciation) | 40,081 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 45,196 |
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.
14
Russell 1000 Index Fund
Statement of Changes in Net Assets
September 20, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 6,352 | 1,569 |
Realized Net Gain (Loss) | (1,237) | (1,430) |
Change in Unrealized Appreciation (Depreciation) | 40,081 | (7,887) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 45,196 | (7,748) |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (4,470) | (760) |
ETF Shares | (731) | (97) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (5,201) | (857) |
Capital Share Transactions | ||
Institutional Shares | 123,480 | 186,983 |
ETF Shares | 126,405 | 13,654 |
Net Increase (Decrease) from Capital Share Transactions | 249,885 | 200,637 |
Total Increase (Decrease) | 289,880 | 192,032 |
Net Assets | ||
Beginning of Period | 192,032 | — |
End of Period2 | 481,912 | 192,032 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $1,863,000 and $712,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
Russell 1000 Index Fund
Financial Highlights
Institutional Shares | ||
Year | Oct. 15, | |
Ended | 20101 to | |
August 31, | August 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 | 2.314 | 1.348 |
Net Realized and Unrealized Gain (Loss) on Investments | 16.100 | 4.569 |
Total from Investment Operations | 18.414 | 5.917 |
Distributions | ||
Dividends from Net Investment Income | (2.234) | (1.057) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (2.234) | (1.057) |
Net Asset Value, End of Period | $124.53 | $108.35 |
Total Return | 17.25% | 5.67% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $334 | $178 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.10% | 1.90%2 |
Portfolio Turnover Rate3 | 36% | 20% |
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
Financial Highlights
ETF Shares | ||
Year | Sept. 20, | |
Ended | 20101 to | |
August 31, | August 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 | 1.176 | .736 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.307 | 3.957 |
Total from Investment Operations | 9.483 | 4.693 |
Distributions | ||
Dividends from Net Investment Income | (1.133) | (.533) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (1.133) | (.533) |
Net Asset Value, End of Period | $64.29 | $55.94 |
Total Return | 17.19% | 9.02% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $148 | $14 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12%2 |
Ratio of Net Investment Income to Average Net Assets | 2.06% | 1.86%2 |
Portfolio Turnover Rate3 | 36% | 20% |
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.
17
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. 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).
During the year ended August 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
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, 2011–2012), 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
18
Russell 1000 Index Fund
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 August 31, 2012, the fund had contributed capital of $65,000 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 August 31, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 480,018 | 3 | — |
Temporary Cash Investments | 613 | 200 | — |
Futures Contracts—Assets1 | 10 | — | — |
Total | 480,641 | 203 | — |
1 Represents variation margin on the last day of the reporting period. |
19
Russell 1000 Index Fund
D. At August 31, 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 | September 2012 | 3 | 1,054 | 71 |
E-mini S&P 500 Index | September 2012 | 10 | 702 | 3 |
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 year ended August 31, 2012, the fund realized $1,142,000 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.
For tax purposes, at August 31, 2012, the fund had $1,896,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $2,690,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $450,542,000. Net unrealized appreciation of investment securities for tax purposes was $30,292,000, consisting of unrealized gains of $44,975,000 on securities that had risen in value since their purchase and $14,683,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2012, the fund purchased $365,766,000 of investment securities and sold $115,547,000 of investment securities, other than temporary cash investments. Purchases and sales include $132,360,000 and $5,040,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
20
Russell 1000 Index Fund
G. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 220,283 | 1,895 | 190,949 | 1,677 |
Issued in Lieu of Cash Distributions | 4,065 | 36 | 743 | 6 |
Redeemed | (100,868) | (892) | (4,709) | (40) |
Net Increase (Decrease) —Institutional Shares | 123,480 | 1,039 | 186,983 | 1,643 |
ETF Shares | ||||
Issued | 132,510 | 2,150 | 21,900 | 400 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (6,105) | (100) | (8,246) | (150) |
Net Increase (Decrease)—ETF Shares | 126,405 | 2,050 | 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 August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
21
Russell 1000 Value Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VRVIX | VONV |
Expense Ratio1 | 0.09% | 0.16% |
30-Day SEC Yield | 2.50% | 2.43% |
Portfolio Characteristics | |||
Russell | DJ | ||
1000 | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 692 | 690 | 3,678 |
Median Market Cap $34.1B | $34.1B | $34.9B | |
Price/Earnings Ratio | 14.3x | 14.3x | 16.3x |
Price/Book Ratio | 1.5x | 1.5x | 2.1x |
Return on Equity | 13.2% | 13.2% | 18.1% |
Earnings Growth Rate | 2.7% | 2.7% | 10.5% |
Dividend Yield | 2.6% | 2.6% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 29% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
Russell | DJ | ||
1000 | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Consumer Discretionary | 7.8% | 7.8% | 12.1% |
Consumer Staples | 7.3 | 7.3 | 9.8 |
Energy | 16.7 | 16.8 | 10.2 |
Financials | 26.4 | 26.3 | 15.9 |
Health Care | 11.6 | 11.6 | 11.7 |
Industrials | 9.1 | 9.1 | 10.6 |
Information Technology | 6.6 | 6.6 | 19.5 |
Materials | 3.8 | 3.8 | 3.8 |
Telecommunication | |||
Services | 3.8 | 3.8 | 2.8 |
Utilities | 6.9 | 6.9 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 5.7% | |
Chevron Corp. | Integrated Oil & | |
Gas | 3.1 | |
General Electric Co. | Industrial | |
Conglomerates | 3.0 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 3.0 | |
Pfizer Inc. | Pharmaceuticals | 2.5 |
Procter & Gamble Co. | Household | |
Products | 2.4 | |
Wells Fargo & Co. | Diversified Banks | 2.3 |
Berkshire Hathaway Inc. | Property & Casualty | |
Class B | Insurance | 2.1 |
Johnson & Johnson | Pharmaceuticals | 2.0 |
JPMorgan Chase & Co. | Other Diversified | |
Financial Services | 2.0 | |
Top Ten | 28.1% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx24x1.jpg)
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For
the fiscal year ended August 31, 2012, the expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
22
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.
Cumulative Performance: September 20, 2010, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx25x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 1000 Value Index Fund ETF | ||||
Shares Net Asset Value | 17.17% | 11.39% | $12,335 | |
Russell 1000 Value Index Fund ETF | ||||
Shares Market Price | 17.14 | 11.42 | 12,341 | |
•••••••• | Russell 1000 Value Index | 17.30 | 11.55 | 12,371 |
– – – – | Large-Cap Value Funds Average | 14.59 | 9.62 | 11,956 |
Dow Jones U.S. Total Stock Market | ||||
Index | 16.74 | 13.20 | 12,729 |
Large-Cap Value Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (12/10/2010) | Investment | |
Russell 1000 Value Index Fund Institutional | |||
Shares | 17.23% | 8.34% | $5,740,431 |
Russell 1000 Value Index | 17.30 | 8.43 | 5,748,763 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 8.67 | 5,770,741 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
23
Russell 1000 Value Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Value Index FundETF Shares | ||
Market Price | 17.14% | 23.41% |
Russell 1000 Value Index FundETF Shares | ||
Net Asset Value | 17.17 | 23.35 |
Russell 1000 Value Index | 17.30 | 23.71 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2012
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx26x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 2.92% | 7.09% |
ETF Shares | 9/20/2010 | ||
Market Price | 2.85 | 10.55 | |
Net Asset Value | 2.85 | 10.56 |
24
Russell 1000 Value Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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. | 92,008 | 4,552 | 0.8% |
Comcast Corp. Class A | 103,435 | 3,468 | 0.6% |
Target Corp. | 50,901 | 3,262 | 0.6% |
Time Warner Inc. | 78,183 | 3,248 | 0.5% |
Ford Motor Co. | 305,599 | 2,854 | 0.5% |
News Corp. Class A | 111,918 | 2,618 | 0.4% |
Lowe’s Cos. Inc. | 84,881 | 2,417 | 0.4% |
Consumer Discretionary—Other † | 23,352 | 4.0% | |
45,771 | 7.8% | ||
Consumer Staples | |||
Procter & Gamble Co. | 206,869 | 13,899 | 2.4% |
Kraft Foods Inc. | 136,973 | 5,688 | 1.0% |
CVS Caremark Corp. | 83,371 | 3,798 | 0.6% |
Walgreen Co. | 70,273 | 2,513 | 0.4% |
Consumer Staples—Other † | 17,014 | 2.9% | |
42,912 | 7.3% | ||
Energy | |||
Exxon Mobil Corp. | 380,866 | 33,250 | 5.7% |
Chevron Corp. | 160,564 | 18,009 | 3.1% |
ConocoPhillips | 102,887 | 5,843 | 1.0% |
Occidental Petroleum Corp. | 66,072 | 5,617 | 0.9% |
Anadarko Petroleum Corp. | 40,658 | 2,816 | 0.5% |
Apache Corp. | 31,805 | 2,727 | 0.5% |
Phillips 66 | 50,870 | 2,137 | 0.3% |
Energy—Other † | 27,906 | 4.7% | |
98,305 | 16.7% | ||
Financials | |||
Wells Fargo & Co. | 399,090 | 13,581 | 2.3% |
* Berkshire Hathaway Inc. Class B | 145,077 | 12,236 | 2.1% |
JPMorgan Chase & Co. | 310,061 | 11,516 | 2.0% |
Citigroup Inc. | 238,812 | 7,095 | 1.2% |
25
Russell 1000 Value Index Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Bank of America Corp. | 877,758 | 7,013 | 1.2% |
US Bancorp | 154,292 | 5,155 | 0.9% |
Goldman Sachs Group Inc. | 40,016 | 4,230 | 0.7% |
PNC Financial Services Group Inc. | 43,107 | 2,680 | 0.4% |
Capital One Financial Corp. | 47,283 | 2,673 | 0.4% |
MetLife Inc. | 69,379 | 2,368 | 0.4% |
Bank of New York Mellon Corp. | 97,240 | 2,192 | 0.4% |
Financials—Other † | 83,729 | 14.3% | |
154,468 | 26.3% | ||
Health Care | |||
Pfizer Inc. | 609,945 | 14,553 | 2.5% |
Johnson & Johnson | 173,414 | 11,693 | 2.0% |
Merck & Co. Inc. | 247,732 | 10,665 | 1.8% |
UnitedHealth Group Inc. | 84,553 | 4,591 | 0.8% |
Medtronic Inc. | 79,406 | 3,229 | 0.5% |
Eli Lilly & Co. | 53,010 | 2,381 | 0.4% |
Health Care—Other † | 20,948 | 3.6% | |
68,060 | 11.6% | ||
Industrials | |||
General Electric Co. | 862,911 | 17,871 | 3.0% |
Tyco International Ltd. | 37,683 | 2,125 | 0.4% |
FedEx Corp. | 24,116 | 2,113 | 0.4% |
Industrials—Other † | 31,057 | 5.3% | |
53,166 | 9.1% | ||
Information Technology | |||
Cisco Systems Inc. | 436,365 | 8,326 | 1.4% |
Hewlett-Packard Co. | 161,096 | 2,719 | 0.5% |
Intel Corp. | 105,366 | 2,616 | 0.4% |
Information Technology—Other † | 25,142 | 4.3% | |
38,803 | 6.6% | ||
Materials | |||
Dow Chemical Co. | 97,422 | 2,855 | 0.5% |
Freeport-McMoRan Copper & Gold Inc. | 77,298 | 2,791 | 0.5% |
Materials—Other † | 16,946 | 2.9% | |
22,592 | 3.9% | ||
Telecommunication Services | |||
AT&T Inc. | 477,501 | 17,496 | 3.0% |
CenturyLink Inc. | 50,684 | 2,142 | 0.4% |
Telecommunication Services—Other † | 2,494 | 0.4% | |
22,132 | 3.8% | ||
Utilities | |||
Duke Energy Corp. | 57,333 | 3,714 | 0.6% |
Southern Co. | 70,797 | 3,209 | 0.6% |
Exelon Corp. | 69,507 | 2,535 | 0.4% |
Dominion Resources Inc. | 46,628 | 2,447 | 0.4% |
NextEra Energy Inc. | 33,933 | 2,284 | 0.4% |
Utilities—Other † | 26,388 | 4.5% | |
40,577 | 6.9% | ||
Total Common Stocks (Cost $558,286) | 586,786 | 100.0%1 | |
Temporary Cash Investment | |||
2U.S. Government and Agency Obligations † (Cost $101) | 101 | 0.0%1 | |
Total Investments (Cost $558,387) | 586,887 | 100.0% |
26
Russell 1000 Value Index Fund
Market | Percentage | |
Value | of Net | |
($000) | Assets | |
Other Assets and Liabilities | ||
Other Assets | 2,117 | 0.4% |
Liabilities | (2,034) | (0.4%) |
83 | 0.0% | |
Net Assets | 586,970 | 100.0% |
At August 31, 2012, net assets consisted of: | ||
Amount | ||
($000) | ||
Paid-in Capital | 557,876 | |
Undistributed Net Investment Income | 3,102 | |
Accumulated Net Realized Losses | (2,543) | |
Unrealized Appreciation (Depreciation) | ||
Investment Securities | 28,500 | |
Futures Contracts | 35 | |
Net Assets | 586,970 | |
Institutional Shares—Net Assets | ||
Applicable to 4,505,551 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 540,855 | |
Net Asset Value Per Share—Institutional Shares | $120.04 | |
ETF Shares—Net Assets | ||
Applicable to 750,000 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 46,115 | |
Net Asset Value Per Share—ETF Shares | $61.49 |
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 100.1% and –0.1%, respectively, of
net assets.
2 Securities with a value of $50,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
27
Russell 1000 Value Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 9,370 |
Interest1 | 3 |
Security Lending | 18 |
Total Income | 9,391 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 39 |
Management and Administrative—Institutional Shares | 87 |
Management and Administrative—ETF Shares | 35 |
Marketing and Distribution—Institutional Shares | 75 |
Marketing and Distribution—ETF Shares | 10 |
Custodian Fees | 42 |
Auditing Fees | 23 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 2 |
Total Expenses | 313 |
Net Investment Income | 9,078 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 10,508 |
Futures Contracts | 247 |
Realized Net Gain (Loss) | 10,755 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 37,952 |
Futures Contracts | (22) |
Change in Unrealized Appreciation (Depreciation) | 37,930 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 57,763 |
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.
28
Russell 1000 Value Index Fund
Statement of Changes in Net Assets
September 20, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 9,078 | 2,385 |
Realized Net Gain (Loss) | 10,755 | (1,634) |
Change in Unrealized Appreciation (Depreciation) | 37,930 | (9,395) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 57,763 | (8,644) |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (6,032) | (1,362) |
ETF Shares | (761) | (206) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (6,793) | (1,568) |
Capital Share Transactions | ||
Institutional Shares | 330,167 | 174,124 |
ETF Shares | 15,060 | 26,861 |
Net Increase (Decrease) from Capital Share Transactions | 345,227 | 200,985 |
Total Increase (Decrease) | 396,197 | 190,773 |
Net Assets | ||
Beginning of Period | 190,773 | — |
End of Period2 | 586,970 | 190,773 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $3,102,000 and $817,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
29
Russell 1000 Value Index Fund
Financial Highlights
Institutional Shares | ||
Year | Dec. 10, | |
Ended | 20101 to | |
August 31, | August 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 | 2.474 | 1.239 |
Net Realized and Unrealized Gain (Loss) on Investments | 15.262 | (3.373) |
Total from Investment Operations | 17.736 | (2.134) |
Distributions | ||
Dividends from Net Investment Income | (2.286) | (1.306) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (2.286) | (1.306) |
Net Asset Value, End of Period | $120.04 | $104.59 |
Total Return | 17.23% | -2.06% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $541 | $164 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.55% | 2.30%2 |
Portfolio Turnover Rate3 | 29% | 39% |
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.
30
Russell 1000 Value Index Fund
Financial Highlights
ETF Shares | ||
Year | Sept. 20, | |
Ended | 20101 to | |
August 31, | August 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 | 1.228 | .876 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.833 | 1.886 |
Total from Investment Operations | 9.061 | 2.762 |
Distributions | ||
Dividends from Net Investment Income | (1.141) | (.652) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (1.141) | (.652) |
Net Asset Value, End of Period | $61.49 | $53.57 |
Total Return | 17.17% | 5.28% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $46 | $27 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 2.48% | 2.23%2 |
Portfolio Turnover Rate3 | 29% | 39% |
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.
31
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. 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).
During the year ended August 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
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, 2011–2012), 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
32
Russell 1000 Value Index Fund
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 August 31, 2012, the fund had contributed capital of $82,000 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 August 31, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 586,780 | 6 | — |
Temporary Cash Investments | — | 101 | — |
Futures Contracts—Assets1 | 3 | — | — |
Total | 586,783 | 107 | — |
1 Represents variation margin on the last day of the reporting period. |
33
Russell 1000 Value Index Fund
D. At August 31, 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 | September 2012 | 1 | 351 | 21 |
E-mini S&P 500 Index | September 2012 | 3 | 211 | 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.
During the year ended August 31, 2012, the fund realized $11,039,000 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.
For tax purposes, at August 31, 2012, the fund had $3,143,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $1,797,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $559,099,000. Net unrealized appreciation of investment securities for tax purposes was $27,788,000, consisting of unrealized gains of $43,808,000 on securities that had risen in value since their purchase and $16,020,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2012, the fund purchased $509,674,000 of investment securities and sold $161,014,000 of investment securities, other than temporary cash investments. Purchases and sales include $70,107,000 and $54,646,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
34
Russell 1000 Value Index Fund
G. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 386,895 | 3,435 | 186,341 | 1,679 |
Issued in Lieu of Cash Distributions | 5,816 | 53 | 1,302 | 12 |
Redeemed | (62,544) | (550) | (13,519) | (123) |
Net Increase (Decrease) —Institutional Shares | 330,167 | 2,938 | 174,124 | 1,568 |
ETF Shares | ||||
Issued | 70,502 | 1,200 | 34,817 | 650 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (55,442) | (950) | (7,956) | (150) |
Net Increase (Decrease)—ETF Shares | 15,060 | 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 August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
35
Russell 1000 Growth Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VRGWX | VONG |
Expense Ratio1 | 0.08% | 0.15% |
30-Day SEC Yield | 1.66% | 1.59% |
Portfolio Characteristics | |||
Russell | DJ | ||
1000 | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 568 | 567 | 3,678 |
Median Market Cap $53.4B | $53.4B | $34.9B | |
Price/Earnings Ratio | 18.1x | 18.1x | 16.3x |
Price/Book Ratio | 4.3x | 4.3x | 2.1x |
Return on Equity | 25.0% | 24.7% | 18.1% |
Earnings Growth Rate | 18.4% | 18.4% | 10.5% |
Dividend Yield | 1.6% | 1.6% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 25% | — | — |
Short-Term Reserves | 0.8% | — | — |
Sector Diversification (% of equity exposure) | |||
Russell | DJ | ||
1000 | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Consumer Discretionary 16.3% | 16.3% | 12.1% | |
Consumer Staples | 12.9 | 12.9 | 9.8 |
Energy | 4.0 | 4.0 | 10.2 |
Financials | 4.4 | 4.4 | 15.9 |
Health Care | 11.6 | 11.6 | 11.7 |
Industrials | 12.0 | 12.0 | 10.6 |
Information Technology 32.6 | 32.7 | 19.5 | |
Materials | 3.8 | 3.7 | 3.8 |
Telecommunication | |||
Services | 2.2 | 2.2 | 2.8 |
Utilities | 0.2 | 0.2 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer | |
Hardware | 8.8% | |
Microsoft Corp. | Systems Software | 3.3 |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 3.0 |
Google Inc. Class A | Internet Software & | |
Services | 2.5 | |
Coca-Cola Co. | Soft Drinks | 2.0 |
Philip Morris | ||
International Inc. | Tobacco | 2.0 |
Verizon Communications | Integrated | |
Inc. | Telecommunication | |
Services | 1.7 | |
Oracle Corp. | Systems Software | 1.7 |
PepsiCo Inc. | Soft Drinks | 1.6 |
QUALCOMM Inc. | Communications | |
Equipment | 1.5 | |
Top Ten | 28.1% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx38x1.jpg)
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For
the fiscal year ended August 31, 2012, the expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
36
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.
Cumulative Performance: September 20, 2010, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx39x1.jpg)
Average Annual Total Returns | ||||
Periods Ended "VHVTU | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 1000 Growth Index Fund ETF | ||||
Shares Net Asset Value | 17.18% | 15.35% | $13,205 | |
Russell 1000 Growth Index Fund ETF | ||||
Shares Market Price | 16.58 | 15.05 | 13,136 | |
•••••••• | Russell 1000 Growth Index | 17.37 | 15.58 | 13,254 |
– – – – | Large-Cap Growth Funds Average | 14.07 | 12.23 | 12,517 |
Dow Jones U.S. Total Stock Market | ||||
Index | 16.74 | 13.20 | 12,729 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (12/6/2010) | Investment | |
Russell 1000 Growth Index Fund Institutional | |||
Shares | 17.26% | 10.82% | $5,975,621 |
Russell 1000 Growth Index | 17.37 | 10.96 | 5,988,554 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 9.50 | 5,852,379 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
37
Russell 1000 Growth Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Growth Index FundETF Shares | ||
Market Price | 16.58% | 31.36% |
Russell 1000 Growth Index FundETF Shares | ||
Net Asset Value | 17.18 | 32.05 |
Russell 1000 Growth Index | 17.37 | 32.54 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2012
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx40x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 5.59% | 9.25% |
ETF Shares | 9/20/2010 | ||
Market Price | 5.60 | 14.34 | |
Net Asset Value | 5.51 | 14.36 |
38
Russell 1000 Growth Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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. | 93,262 | 8,346 | 1.3% |
* Amazon.com Inc. | 33,208 | 8,243 | 1.3% |
Home Depot Inc. | 140,480 | 7,972 | 1.2% |
Comcast Corp. Class A | 117,328 | 3,934 | 0.6% |
Starbucks Corp. | 69,629 | 3,454 | 0.5% |
NIKE Inc. Class B | 33,224 | 3,235 | 0.5% |
* DIRECTV | 60,142 | 3,133 | 0.5% |
TJX Cos. Inc. | 68,011 | 3,114 | 0.5% |
Walt Disney Co. | 60,451 | 2,990 | 0.5% |
Consumer Discretionary—Other † | 61,561 | 9.4% | |
105,982 | 16.3% | ||
Consumer Staples | |||
Coca-Cola Co. | 356,584 | 13,336 | 2.0% |
Philip Morris International Inc. | 143,887 | 12,849 | 2.0% |
PepsiCo Inc. | 143,521 | 10,395 | 1.6% |
Wal-Mart Stores Inc. | 122,410 | 8,887 | 1.4% |
Altria Group Inc. | 144,990 | 4,924 | 0.8% |
Colgate-Palmolive Co. | 40,165 | 4,270 | 0.6% |
Costco Wholesale Corp. | 39,788 | 3,894 | 0.6% |
Consumer Staples—Other † | 25,302 | 3.9% | |
83,857 | 12.9% | ||
Energy | |||
Schlumberger Ltd. | 122,412 | 8,860 | 1.3% |
Energy—Other † | 17,415 | 2.7% | |
26,275 | 4.0% | ||
Financials | |||
Simon Property Group Inc. | 23,373 | 3,709 | 0.6% |
American Express Co. | 59,179 | 3,450 | 0.5% |
Financials—Other † | 21,587 | 3.3% | |
28,746 | 4.4% |
39
Russell 1000 Growth Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Health Care | |||
Abbott Laboratories | 136,891 | 8,972 | 1.4% |
Amgen Inc. | 71,432 | 5,995 | 0.9% |
Bristol-Myers Squibb Co. | 140,824 | 4,649 | 0.7% |
* Express Scripts Holding Co. | 74,001 | 4,634 | 0.7% |
* Gilead Sciences Inc. | 69,541 | 4,012 | 0.6% |
Johnson & Johnson | 56,763 | 3,828 | 0.6% |
* Biogen Idec Inc. | 21,899 | 3,210 | 0.5% |
* Celgene Corp. | 40,450 | 2,914 | 0.5% |
Health Care—Other † | 37,183 | 5.7% | |
75,397 | 11.6% | ||
Industrials | |||
United Technologies Corp. | 83,647 | 6,679 | 1.0% |
Union Pacific Corp. | 43,688 | 5,305 | 0.8% |
3M Co. | 57,270 | 5,303 | 0.8% |
Caterpillar Inc. | 59,965 | 5,117 | 0.8% |
United Parcel Service Inc. Class B | 66,562 | 4,913 | 0.8% |
Boeing Co. | 62,108 | 4,435 | 0.7% |
Honeywell International Inc. | 71,595 | 4,185 | 0.6% |
Industrials—Other † | 41,948 | 6.4% | |
77,885 | 11.9% | ||
Information Technology | |||
Apple Inc. | 85,843 | 57,106 | 8.7% |
Microsoft Corp. | 690,770 | 21,290 | 3.3% |
International Business Machines Corp. | 99,981 | 19,481 | 3.0% |
* Google Inc. Class A | 23,763 | 16,280 | 2.5% |
Oracle Corp. | 350,707 | 11,100 | 1.7% |
QUALCOMM Inc. | 157,407 | 9,674 | 1.5% |
Intel Corp. | 343,077 | 8,519 | 1.3% |
Visa Inc. Class A | 47,932 | 6,147 | 0.9% |
* EMC Corp. | 192,702 | 5,066 | 0.8% |
* eBay Inc. | 106,349 | 5,048 | 0.8% |
Mastercard Inc. Class A | 9,960 | 4,212 | 0.6% |
Accenture plc Class A | 59,183 | 3,646 | 0.6% |
Information Technology—Other † | 45,127 | 6.9% | |
212,696 | 32.6% | ||
Materials | |||
EI du Pont de Nemours & Co. | 86,040 | 4,280 | 0.7% |
Monsanto Co. | 48,993 | 4,268 | 0.6% |
Praxair Inc. | 27,419 | 2,893 | 0.4% |
Materials—Other † | 13,028 | 2.0% | |
24,469 | 3.7% | ||
Telecommunication Services | |||
Verizon Communications Inc. | 260,724 | 11,195 | 1.7% |
Telecommunication Services—Other † | 3,206 | 0.5% | |
14,401 | 2.2% | ||
Utilities † | 1,299 | 0.2% | |
Total Common Stocks (Cost $585,419) | 651,007 | 99.8%1 |
40
Russell 1000 Growth Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
2Vanguard Market Liquidity Fund | 0.158% | 6,118,375 | 6,118 | 1.0% |
3U.S. Government and Agency Obligations † | 100 | 0.0% | ||
Total Temporary Cash Investments (Cost $6,218) | 6,218 | 1.0%1 | ||
Total Investments (Cost $591,637) | 657,225 | 100.8% | ||
Other Assets and Liabilities | ||||
Other Assets | 1,943 | 0.3% | ||
Liabilities | (7,099) | (1.1%) | ||
(5,156) | (0.8%) | |||
Net Assets | 652,069 | 100.0% | ||
At August 31, 2012, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 598,985 | |||
Undistributed Net Investment Income | 2,273 | |||
Accumulated Net Realized Losses | (14,843) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 65,588 | |||
Futures Contracts | 66 | |||
Net Assets | 652,069 | |||
Institutional Shares—Net Assets | ||||
Applicable to 4,445,860 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 576,119 | |||
Net Asset Value Per Share—Institutional Shares | $129.59 | |||
ETF Shares—Net Assets | ||||
Applicable to 1,126,711 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 75,950 | |||
Net Asset Value Per Share—ETF Shares | $67.41 |
• 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 0.8%, 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 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.
41
Russell 1000 Growth Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,562 |
Interest1 | 5 |
Security Lending | 42 |
Total Income | 7,609 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 46 |
Management and Administrative—Institutional Shares | 116 |
Management and Administrative—ETF Shares | 57 |
Marketing and Distribution—Institutional Shares | 87 |
Marketing and Distribution—ETF Shares | 18 |
Custodian Fees | 45 |
Auditing Fees | 23 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 3 |
Total Expenses | 395 |
Net Investment Income | 7,214 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (6,719) |
Futures Contracts | 415 |
Realized Net Gain (Loss) | (6,304) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 76,844 |
Futures Contracts | 64 |
Change in Unrealized Appreciation (Depreciation) | 76,908 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 77,818 |
1 Interest income from an affiliated company of the fund was $5,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
42
Russell 1000 Growth Index Fund
Statement of Changes in Net Assets
September 20, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 7,214 | 1,316 |
Realized Net Gain (Loss) | (6,304) | 1,167 |
Change in Unrealized Appreciation (Depreciation) | 76,908 | (11,254) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 77,818 | (8,771) |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (4,645) | (474) |
ETF Shares | (835) | (303) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (5,480) | (777) |
Capital Share Transactions | ||
Institutional Shares | 357,685 | 161,203 |
ETF Shares | 15,690 | 54,701 |
Net Increase (Decrease) from Capital Share Transactions | 373,375 | 215,904 |
Total Increase (Decrease) | 445,713 | 206,356 |
Net Assets | ||
Beginning of Period | 206,356 | — |
End of Period2 | 652,069 | 206,356 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $2,273,000 and $539,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
43
Russell 1000 Growth Index Fund
Financial Highlights
Institutional Shares | ||
Year | Dec. 6, | |
Ended | 20101 to | |
August 31, | August 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 | 1.812 | .879 |
Net Realized and Unrealized Gain (Loss) on Investments | 17.342 | 1.278 |
Total from Investment Operations | 19.154 | 2.157 |
Distributions | ||
Dividends from Net Investment Income | (1.654) | (.877) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (1.654) | (.877) |
Net Asset Value, End of Period | $129.59 | $112.09 |
Total Return | 17.26% | 1.92% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $576 | $154 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.66% | 1.54%2 |
Portfolio Turnover Rate3 | 25% | 30% |
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.
44
Russell 1000 Growth Index Fund
Financial Highlights
ETF Shares | ||
Year | Sept. 20, | |
Ended | 20101 to | |
August 31, | August 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 | .900 | .579 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.023 | 6.044 |
Total from Investment Operations | 9.923 | 6.623 |
Distributions | ||
Dividends from Net Investment Income | (.823) | (.433) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.823) | (.433) |
Net Asset Value, End of Period | $67.41 | $58.31 |
Total Return | 17.18% | 12.69% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $76 | $52 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.59% | 1.47%2 |
Portfolio Turnover Rate3 | 25% | 30% |
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
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. 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).
During the year ended August 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
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, 2011–2012), 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
46
Russell 1000 Growth Index Fund
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 August 31, 2012, the fund had contributed capital of $90,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.04% 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 August 31, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 651,006 | 1 | — |
Temporary Cash Investments | 6,118 | 100 | — |
Futures Contracts—Assets1 | 6 | — | — |
Total | 657,130 | 101 | — |
1 Represents variation margin on the last day of the reporting period. |
47
Russell 1000 Growth Index Fund
D. At August 31, 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 | September 2012 | 3 | 1,054 | 66 |
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 year ended August 31, 2012, the fund realized $4,515,000 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.
For tax purposes, at August 31, 2012, the fund had $2,316,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $14,522,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $591,892,000. Net unrealized appreciation of investment securities for tax purposes was $65,333,000, consisting of unrealized gains of $75,478,000 on securities that had risen in value since their purchase and $10,145,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2012, the fund purchased $525,293,000 of investment securities and sold $150,475,000 of investment securities, other than temporary cash investments. Purchases and sales include $48,854,000 and $39,683,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
48
Russell 1000 Growth Index Fund
G. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 414,139 | 3,534 | 167,763 | 1,433 |
Issued in Lieu of Cash Distributions | 4,481 | 38 | 474 | 4 |
Redeemed | (60,935) | (499) | (7,034) | (64) |
Net Increase (Decrease) —Institutional Shares | 357,685 | 3,073 | 161,203 | 1,373 |
ETF Shares | ||||
Issued | 57,142 | 877 | 309,433 | 5,050 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (41,452) | (650) | (254,732) | (4,150) |
Net Increase (Decrease) —ETF Shares | 15,690 | 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 August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
49
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund and Vanguard Russell 1000 Growth Index Fund: In our opinion, the accompanying statements of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund and Vanguard Russell 1000 Growth Index Fund (constituting separate portfolios of Vanguard Scottsdale Funds, hereafter referred to as the “Funds”) at August 31, 2012, and the results of each of their operations for the year then ended, and the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian and broker and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2012
50
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell1000indexx53x1.jpg)
Special 2012 tax information (unaudited) for Vanguard Russell 1000 Index Funds
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
Qualified Dividend Income | |
Fund | ($000) |
Russell 1000 Index Fund | 5,201 |
Russell 1000 Value Index Fund | 6,793 |
Russell 1000 Growth Index Fund | 5,480 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund | Percentage |
Russell 1000 Index Fund | 95.3% |
Russell 1000 Value Index Fund | 94.1 |
Russell 1000 Growth Index Fund | 98.3 |
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Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income , using actual prior-year figures and estimates for 2012. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for ETF Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: Russell 1000 Index Funds | ||
Periods Ended August 31, 2012 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Index Fund ETF Shares | ||
Returns Before Taxes | 17.19% | 13.42% |
Returns After Taxes on Distributions | 16.85 | 13.17 |
Returns After Taxes on Distributions and Sale of Fund Shares | 11.56 | 11.46 |
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Value Index Fund ETF Shares | ||
Returns Before Taxes | 17.17% | 11.39% |
Returns After Taxes on Distributions | 16.81 | 11.11 |
Returns After Taxes on Distributions and Sale of Fund Shares | 11.56 | 9.71 |
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Growth Index Fund ETF Shares | ||
Returns Before Taxes | 17.18% | 15.35% |
Returns After Taxes on Distributions | 16.94 | 15.17 |
Returns After Taxes on Distributions and Sale of Fund Shares | 11.44 | 13.14 |
52
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.
53
Six Months Ended August 31, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2012 | 8/31/2012 | Period | |
Based on Actual Fund Return | |||
Russell 1000 Index Fund | |||
Institutional Shares | $1,000.00 | $1,035.18 | $0.41 |
ETF Shares | 1,000.00 | 1,034.92 | 0.62 |
Russell 1000 Value Index Fund | |||
Institutional Shares | $1,000.00 | $1,039.13 | $0.41 |
ETF Shares | 1,000.00 | 1,038.99 | 0.77 |
Russell 1000 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $1,031.30 | $0.41 |
ETF Shares | 1,000.00 | 1,031.01 | 0.77 |
Based on Hypothetical 5% Yearly Return | |||
Russell 1000 Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
Russell 1000 Value Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.45 | 0.77 |
Russell 1000 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.45 | 0.77 |
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.
54
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Russell 1000 Index Fund, Russell 1000 Value Index Fund, and Russell 1000 Growth Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Equity Investment Group—serves as investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interest of the funds and their shareholders.
The board based its decision upon an evaluation of the 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 arrangement. 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 investment management services provided to the funds since their inception in 2010, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations and that their results have been consistent with their investment strategies. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratios charged by funds in its respective peer group and that the funds’ advisory fee rates were also well below their peer-group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
55
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.
56
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.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | |
Born 1948. Trustee Since January 2008. Principal | JoAnn Heffernan Heisen |
Occupation(s) During the Past Five Years: Executive | Born 1950. Trustee Since July 1998. Principal |
Chief Staff and Marketing Officer for North America | Occupation(s) During the Past Five Years: Corporate |
and Corporate Vice President (retired 2008) of Xerox | Vice President and Chief Global Diversity Officer |
Corporation (document management products and | (retired 2008) and Member of the Executive |
services); Executive in Residence and 2010 | Committee (1997–2008) of Johnson & Johnson |
Distinguished Minett Professor at the Rochester | (pharmaceuticals/medical devices/consumer |
Institute of Technology; Director of SPX Corporation | products); Director of Skytop Lodge Corporation |
(multi-industry manufacturing), the United Way of | (hotels), the University Medical Center at Princeton, |
Rochester, Amerigroup Corporation (managed health | the Robert Wood Johnson Foundation, and the Center |
care), the University of Rochester Medical Center, | for Talent Innovation; Member of the Advisory Board |
Monroe Community College Foundation, and North | of the Maxwell School of Citizenship and Public Affairs |
Carolina A&T University. | at Syracuse University. |
Rajiv L. Gupta | |
Born 1945. Trustee Since December 2001.2 | F. Joseph Loughrey |
Principal Occupation(s) During the Past Five Years: | Born 1949. Trustee Since October 2009. Principal |
Chairman and Chief Executive Officer (retired 2009) | Occupation(s) During the Past Five Years: President |
and President (2006–2008) of Rohm and Haas Co. | and Chief Operating Officer (retired 2009) of Cummins |
(chemicals); Director of Tyco International, Ltd. | Inc. (industrial machinery); Director of SKF AB |
(diversified manufacturing and services), Hewlett- | (industrial machinery), Hillenbrand, Inc. (specialized |
Packard Co. (electronic computer manufacturing), | consumer services), the Lumina Foundation for |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Vanguard Senior ManagementTeam | |
Occupation(s) During the Past Five Years: Chairman, | ||
President, and Chief Executive Officer of NACCO | Mortimer J. Buckley | Michael S. Miller |
Industries, Inc. (forklift trucks/housewares/lignite); | Kathleen C. Gubanich | James M. Norris |
Director of Goodrich Corporation (industrial products/ | Paul A. Heller | Glenn W. Reed |
aircraft systems and services) and the National | Martha G. King | George U. Sauter |
Association of Manufacturers; Chairman of the Board | Chris D. McIsaac | |
of the Federal Reserve Bank of Cleveland and of | ||
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | Chairman Emeritus and Senior Advisor | |
Peter F. Volanakis | John J. Brennan | |
Born 1955. Trustee Since July 2009. Principal | Chairman, 1996–2009 | |
Occupation(s) During the Past Five Years: President | Chief Executive Officer and President, 1996–2008 | |
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | Founder | |
Overseer of the Amos Tuck School of Business | John C. Bogle | |
Administration at Dartmouth College; Advisor to the | Chairman and Chief Executive Officer, 1974–1996 | |
Norris Cotton Cancer Center. |
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 | |
Fund Information > 800-662-7447 | The Russell Indexes and Russell® are registered |
Direct Investor Account Services > 800-662-2739 | trademarks of Russell Investments and have been |
licensed for use by The Vanguard Group, Inc. The | |
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Text Telephone for People | promoted by Russell Investments and Russell |
With Hearing Impairment > 800-749-7273 | Investments makes no representation regarding the |
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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. | |
Q18480 102012 |
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.6%)1 | ||
Consumer Discretionary (12.0%) | ||
McDonald's Corp. | 34,139 | 3,055 |
Comcast Corp. Class A | 90,146 | 3,023 |
* Amazon.com Inc. | 12,145 | 3,015 |
Walt Disney Co. | 60,072 | 2,972 |
Home Depot Inc. | 51,466 | 2,921 |
News Corp. Class A | 70,318 | 1,645 |
Target Corp. | 22,277 | 1,428 |
Time Warner Inc. | 32,278 | 1,341 |
Starbucks Corp. | 25,466 | 1,263 |
NIKE Inc. Class B | 12,166 | 1,184 |
Ford Motor Co. | 125,919 | 1,176 |
Lowe's Cos. Inc. | 40,318 | 1,148 |
* DIRECTV | 21,993 | 1,146 |
TJX Cos. Inc. | 24,914 | 1,141 |
* priceline.com Inc. | 1,680 | 1,016 |
Yum! Brands Inc. | 15,535 | 990 |
Time Warner Cable Inc. | 10,504 | 933 |
Viacom Inc. Class B | 17,733 | 887 |
CBS Corp. Class B | 21,763 | 791 |
Johnson Controls Inc. | 22,905 | 623 |
Las Vegas Sands Corp. | 13,276 | 563 |
Coach Inc. | 9,677 | 562 |
Macy's Inc. | 13,841 | 558 |
* General Motors Co. | 25,793 | 551 |
Ross Stores Inc. | 7,604 | 526 |
* Bed Bath & Beyond Inc. | 7,789 | 523 |
* Liberty Global Inc. Class A | 8,772 | 485 |
Carnival Corp. | 13,868 | 481 |
McGraw-Hill Cos. Inc. | 9,342 | 478 |
Omnicom Group Inc. | 9,100 | 467 |
* Discovery Communications Inc. Class A | 8,522 | 467 |
* AutoZone Inc. | 1,275 | 461 |
VF Corp. | 2,971 | 454 |
Kohl's Corp. | 8,134 | 425 |
Mattel Inc. | 11,517 | 405 |
Limited Brands Inc. | 8,080 | 393 |
* Liberty Media Corp. - Liberty Capital Class A | 3,736 | 390 |
* Dollar Tree Inc. | 7,774 | 374 |
Starwood Hotels & Resorts Worldwide Inc. | 6,662 | 367 |
Gap Inc. | 10,096 | 362 |
Thomson Reuters Corp. | 12,418 | 353 |
* O'Reilly Automotive Inc. | 4,011 | 341 |
* Liberty Interactive Corp. Class A | 18,641 | 340 |
Ralph Lauren Corp. Class A | 2,117 | 336 |
* Delphi Automotive plc | 10,913 | 331 |
Genuine Parts Co. | 5,193 | 328 |
Harley-Davidson Inc. | 7,763 | 326 |
Marriott International Inc. Class A | 8,502 | 320 |
* Sirius XM Radio Inc. | 126,302 | 320 |
* Dollar General Corp. | 6,226 | 318 |
* Chipotle Mexican Grill Inc. Class A | 1,055 | 304 |
Nordstrom Inc. | 5,229 | 302 |
Wynn Resorts Ltd. | 2,707 | 279 |
* BorgWarner Inc. | 3,893 | 268 |
Tiffany & Co. | 4,228 | 262 |
PetSmart Inc. | 3,632 | 258 |
Virgin Media Inc. | 9,264 | 255 |
Wyndham Worldwide Corp. | 4,872 | 254 |
Staples Inc. | 22,898 | 250 |
* CarMax Inc. | 7,648 | 234 |
Tractor Supply Co. | 2,449 | 234 |
1
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
PVH Corp. | 2,404 | 226 |
Darden Restaurants Inc. | 4,305 | 224 |
DISH Network Corp. Class A | 6,850 | 219 |
Family Dollar Stores Inc. | 3,290 | 209 |
Ulta Salon Cosmetics & Fragrance Inc. | 2,152 | 202 |
Whirlpool Corp. | 2,615 | 197 |
* LKQ Corp. | 4,913 | 185 |
Foot Locker Inc. | 5,159 | 178 |
DR Horton Inc. | 9,369 | 178 |
Lennar Corp. Class A | 5,468 | 177 |
Advance Auto Parts Inc. | 2,491 | 177 |
Newell Rubbermaid Inc. | 9,768 | 175 |
Scripps Networks Interactive Inc. Class A | 2,873 | 170 |
Polaris Industries Inc. | 2,203 | 166 |
* Fossil Inc. | 1,923 | 163 |
Best Buy Co. Inc. | 9,089 | 161 |
Dick's Sporting Goods Inc. | 3,237 | 161 |
* Toll Brothers Inc. | 4,885 | 160 |
Interpublic Group of Cos. Inc. | 14,964 | 159 |
* PulteGroup Inc. | 11,583 | 158 |
* Panera Bread Co. Class A | 1,016 | 157 |
* Michael Kors Holdings Ltd. | 2,869 | 155 |
H&R Block Inc. | 9,280 | 154 |
* Under Armour Inc. Class A | 2,627 | 153 |
Garmin Ltd. | 3,701 | 149 |
Hasbro Inc. | 3,972 | 149 |
Expedia Inc. | 2,865 | 147 |
American Eagle Outfitters Inc. | 6,585 | 146 |
* TRW Automotive Holdings Corp. | 3,299 | 144 |
* NVR Inc. | 174 | 144 |
* Sally Beauty Holdings Inc. | 5,065 | 139 |
JC Penney Co. Inc. | 5,217 | 136 |
* Charter Communications Inc. Class A | 1,736 | 135 |
* Mohawk Industries Inc. | 1,866 | 134 |
Royal Caribbean Cruises Ltd. | 4,947 | 134 |
* Urban Outfitters Inc. | 3,479 | 131 |
* MGM Resorts International | 12,980 | 128 |
Signet Jewelers Ltd. | 2,777 | 127 |
Lear Corp. | 3,268 | 127 |
Jarden Corp. | 2,606 | 126 |
Gannett Co. Inc. | 7,955 | 121 |
Williams-Sonoma Inc. | 2,892 | 119 |
International Game Technology | 9,636 | 118 |
* Netflix Inc. | 1,828 | 109 |
Leggett & Platt Inc. | 4,569 | 108 |
Harman International Industries Inc. | 2,314 | 106 |
* Hanesbrands Inc. | 3,219 | 104 |
Chico's FAS Inc. | 5,485 | 104 |
Cablevision Systems Corp. Class A | 6,823 | 102 |
Abercrombie & Fitch Co. | 2,770 | 100 |
* TripAdvisor Inc. | 2,961 | 99 |
Tupperware Brands Corp. | 1,837 | 98 |
* Goodyear Tire & Rubber Co. | 7,995 | 97 |
GNC Holdings Inc. Class A | 2,428 | 94 |
Service Corp. International | 7,099 | 93 |
* Apollo Group Inc. Class A | 3,298 | 89 |
* Carter's Inc. | 1,585 | 88 |
Cinemark Holdings Inc. | 3,758 | 88 |
Brinker International Inc. | 2,504 | 86 |
* Madison Square Garden Co. Class A | 2,038 | 86 |
* Penn National Gaming Inc. | 2,159 | 85 |
GameStop Corp. Class A | 4,388 | 84 |
* Lamar Advertising Co. Class A | 2,509 | 83 |
Gentex Corp. | 4,677 | 82 |
2
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Ascena Retail Group Inc. | 4,007 | 79 |
* Visteon Corp. | 1,713 | 79 |
John Wiley & Sons Inc. Class A | 1,579 | 78 |
Dunkin' Brands Group Inc. | 2,650 | 77 |
Dillard's Inc. Class A | 997 | 75 |
* AMC Networks Inc. Class A | 1,870 | 74 |
Aaron's Inc. | 2,454 | 73 |
DSW Inc. Class A | 1,067 | 69 |
* Big Lots Inc. | 2,188 | 67 |
* Tempur-Pedic International Inc. | 2,068 | 65 |
* Deckers Outdoor Corp. | 1,263 | 62 |
* Bally Technologies Inc. | 1,407 | 62 |
* Sears Holdings Corp. | 1,179 | 62 |
* Tesla Motors Inc. | 2,146 | 61 |
* Hyatt Hotels Corp. Class A | 1,473 | 56 |
Guess? Inc. | 2,075 | 54 |
Washington Post Co. Class B | 139 | 49 |
Thor Industries Inc. | 1,515 | 48 |
Morningstar Inc. | 785 | 47 |
* AutoNation Inc. | 1,158 | 47 |
DeVry Inc. | 2,209 | 43 |
* Liberty Ventures Class A | 911 | 42 |
Weight Watchers International Inc. | 870 | 42 |
Wendy's Co. | 9,443 | 40 |
* Pandora Media Inc. | 3,335 | 40 |
* DreamWorks Animation SKG Inc. Class A | 2,275 | 39 |
Regal Entertainment Group Class A | 2,600 | 36 |
Choice Hotels International Inc. | 909 | 29 |
* HomeAway Inc. | 1,047 | 25 |
* ITT Educational Services Inc. | 770 | 25 |
Allison Transmission Holdings Inc. | 857 | 15 |
Clear Channel Outdoor Holdings Inc. Class A | 1,632 | 9 |
* Groupon Inc. | 1,352 | 6 |
* Liberty Ventures Rights, Exp. Date 10/9/12 | 297 | 3 |
57,684 | ||
Consumer Staples (10.0%) | ||
Procter & Gamble Co. | 92,039 | 6,184 |
Philip Morris International Inc. | 57,283 | 5,115 |
Coca-Cola Co. | 130,463 | 4,879 |
Wal-Mart Stores Inc. | 56,790 | 4,123 |
PepsiCo Inc. | 52,562 | 3,807 |
Kraft Foods Inc. | 59,523 | 2,472 |
Altria Group Inc. | 68,381 | 2,322 |
CVS Caremark Corp. | 43,053 | 1,961 |
Colgate-Palmolive Co. | 16,035 | 1,705 |
Costco Wholesale Corp. | 14,599 | 1,429 |
Kimberly-Clark Corp. | 13,168 | 1,101 |
Walgreen Co. | 28,969 | 1,036 |
General Mills Inc. | 21,737 | 855 |
HJ Heinz Co. | 10,754 | 599 |
Whole Foods Market Inc. | 6,192 | 599 |
Sysco Corp. | 19,725 | 598 |
Archer-Daniels-Midland Co. | 22,194 | 594 |
Lorillard Inc. | 4,456 | 559 |
Reynolds American Inc. | 11,156 | 514 |
Mead Johnson Nutrition Co. | 6,866 | 503 |
Estee Lauder Cos. Inc. Class A | 7,707 | 462 |
Kroger Co. | 18,709 | 417 |
Kellogg Co. | 8,087 | 410 |
Hershey Co. | 5,010 | 360 |
ConAgra Foods Inc. | 13,867 | 348 |
JM Smucker Co. | 3,786 | 322 |
Brown-Forman Corp. Class B | 4,979 | 319 |
Dr Pepper Snapple Group Inc. | 7,109 | 318 |
3
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Clorox Co. | 4,343 | 316 |
Bunge Ltd. | 4,872 | 310 |
Beam Inc. | 5,290 | 309 |
Coca-Cola Enterprises Inc. | 9,992 | 295 |
* Monster Beverage Corp. | 4,800 | 283 |
McCormick & Co. Inc. | 4,437 | 273 |
Church & Dwight Co. Inc. | 4,632 | 254 |
Avon Products Inc. | 14,407 | 223 |
Campbell Soup Co. | 5,801 | 204 |
Molson Coors Brewing Co. Class B | 4,290 | 191 |
Herbalife Ltd. | 3,911 | 189 |
* Constellation Brands Inc. Class A | 5,046 | 166 |
Tyson Foods Inc. Class A | 9,887 | 155 |
Energizer Holdings Inc. | 2,144 | 148 |
Ingredion Inc. | 2,592 | 139 |
* Ralcorp Holdings Inc. | 1,816 | 129 |
Hormel Foods Corp. | 4,387 | 126 |
Safeway Inc. | 7,853 | 123 |
* Green Mountain Coffee Roasters Inc. | 4,499 | 109 |
Hillshire Brands Co. | 3,896 | 102 |
* Dean Foods Co. | 6,088 | 100 |
* Smithfield Foods Inc. | 5,151 | 99 |
Nu Skin Enterprises Inc. Class A | 1,855 | 77 |
Flowers Foods Inc. | 3,658 | 75 |
* Fresh Market Inc. | 894 | 52 |
48,358 | ||
Energy (10.4%) | ||
Exxon Mobil Corp. | 156,968 | 13,703 |
Chevron Corp. | 66,226 | 7,428 |
Schlumberger Ltd. | 44,821 | 3,244 |
ConocoPhillips | 42,480 | 2,412 |
Occidental Petroleum Corp. | 27,234 | 2,315 |
Anadarko Petroleum Corp. | 16,792 | 1,163 |
National Oilwell Varco Inc. | 14,309 | 1,128 |
Apache Corp. | 13,074 | 1,121 |
Halliburton Co. | 31,028 | 1,016 |
EOG Resources Inc. | 9,096 | 985 |
Phillips 66 | 21,019 | 883 |
Devon Energy Corp. | 13,597 | 786 |
Williams Cos. Inc. | 21,029 | 679 |
Baker Hughes Inc. | 14,815 | 676 |
Marathon Oil Corp. | 23,732 | 660 |
Spectra Energy Corp. | 21,912 | 619 |
Marathon Petroleum Corp. | 11,521 | 596 |
Kinder Morgan Inc. | 16,445 | 588 |
Valero Energy Corp. | 18,457 | 577 |
Noble Energy Inc. | 6,010 | 528 |
Hess Corp. | 10,234 | 517 |
* Cameron International Corp. | 8,238 | 451 |
Chesapeake Energy Corp. | 22,322 | 432 |
Pioneer Natural Resources Co. | 4,128 | 402 |
* FMC Technologies Inc. | 8,001 | 375 |
* Southwestern Energy Co. | 11,795 | 367 |
Range Resources Corp. | 5,411 | 353 |
Murphy Oil Corp. | 6,481 | 333 |
* Concho Resources Inc. | 3,511 | 315 |
Cabot Oil & Gas Corp. | 7,051 | 292 |
HollyFrontier Corp. | 6,945 | 280 |
EQT Corp. | 4,389 | 237 |
CONSOL Energy Inc. | 7,631 | 230 |
* Denbury Resources Inc. | 13,046 | 202 |
Oceaneering International Inc. | 3,730 | 200 |
Peabody Energy Corp. | 9,094 | 197 |
Tesoro Corp. | 4,679 | 186 |
4
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Whiting Petroleum Corp. | 4,032 | 180 |
QEP Resources Inc. | 6,026 | 173 |
Sunoco Inc. | 3,608 | 170 |
* Plains Exploration & Production Co. | 4,312 | 170 |
Cimarex Energy Co. | 2,894 | 166 |
Diamond Offshore Drilling Inc. | 2,336 | 157 |
Helmerich & Payne Inc. | 3,323 | 152 |
* Rowan Cos. plc Class A | 4,259 | 150 |
* Newfield Exploration Co. | 4,555 | 149 |
* Nabors Industries Ltd. | 9,810 | 145 |
* Cobalt International Energy Inc. | 6,303 | 143 |
* Oil States International Inc. | 1,810 | 142 |
* Dresser-Rand Group Inc. | 2,487 | 126 |
Energen Corp. | 2,357 | 120 |
* Superior Energy Services Inc. | 5,364 | 111 |
* Continental Resources Inc. | 1,462 | 108 |
* Ultra Petroleum Corp. | 5,176 | 106 |
* Cheniere Energy Inc. | 7,114 | 105 |
* SandRidge Energy Inc. | 15,974 | 105 |
* WPX Energy Inc. | 6,434 | 100 |
SM Energy Co. | 2,078 | 98 |
World Fuel Services Corp. | 2,345 | 87 |
* McDermott International Inc. | 7,809 | 87 |
* Atwood Oceanics Inc. | 1,866 | 86 |
Tidewater Inc. | 1,664 | 79 |
Patterson-UTI Energy Inc. | 5,139 | 78 |
* Unit Corp. | 1,589 | 63 |
* SEACOR Holdings Inc. | 702 | 60 |
Golar LNG Ltd. | 1,427 | 56 |
CARBO Ceramics Inc. | 634 | 45 |
* Alpha Natural Resources Inc. | 7,400 | 44 |
Teekay Corp. | 1,181 | 35 |
EXCO Resources Inc. | 4,052 | 28 |
RPC Inc. | 2,102 | 26 |
* Kosmos Energy Ltd. | 2,312 | 22 |
* Laredo Petroleum Holdings Inc. | 610 | 13 |
50,161 | ||
Financials (15.4%) | ||
Wells Fargo & Co. | 164,472 | 5,597 |
* Berkshire Hathaway Inc. Class B | 59,850 | 5,048 |
JPMorgan Chase & Co. | 127,817 | 4,747 |
Citigroup Inc. | 98,425 | 2,924 |
Bank of America Corp. | 361,722 | 2,890 |
US Bancorp | 63,608 | 2,125 |
American Express Co. | 33,677 | 1,963 |
Goldman Sachs Group Inc. | 16,512 | 1,746 |
Simon Property Group Inc. | 10,235 | 1,624 |
PNC Financial Services Group Inc. | 17,841 | 1,109 |
Capital One Financial Corp. | 19,544 | 1,105 |
MetLife Inc. | 28,573 | 975 |
American Tower Corporation | 13,278 | 935 |
Bank of New York Mellon Corp. | 40,046 | 903 |
Prudential Financial Inc. | 15,744 | 858 |
ACE Ltd. | 11,463 | 845 |
Travelers Cos. Inc. | 13,000 | 842 |
Morgan Stanley | 51,711 | 776 |
BlackRock Inc. | 4,253 | 750 |
* American International Group Inc. | 21,646 | 743 |
BB&T Corp. | 23,504 | 741 |
Aflac Inc. | 15,776 | 729 |
Public Storage | 4,760 | 693 |
Discover Financial Services | 17,822 | 690 |
State Street Corp. | 16,446 | 684 |
Chubb Corp. | 9,106 | 673 |
5
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
HCP Inc. | 14,000 | 642 |
Ventas Inc. | 9,645 | 632 |
Marsh & McLennan Cos. Inc. | 18,232 | 623 |
Allstate Corp. | 16,521 | 616 |
CME Group Inc. | 11,160 | 613 |
Equity Residential | 10,117 | 611 |
Boston Properties Inc. | 5,102 | 572 |
Aon plc | 10,956 | 569 |
Annaly Capital Management Inc. | 32,719 | 566 |
Franklin Resources Inc. | 4,741 | 557 |
Prologis Inc. | 15,531 | 531 |
T. Rowe Price Group Inc. | 8,526 | 524 |
Vornado Realty Trust | 6,272 | 509 |
Charles Schwab Corp. | 36,104 | 487 |
Fifth Third Bancorp | 30,644 | 464 |
AvalonBay Communities Inc. | 3,221 | 456 |
SunTrust Banks Inc. | 17,967 | 452 |
Health Care REIT Inc. | 7,684 | 449 |
Weyerhaeuser Co. | 17,943 | 447 |
Loews Corp. | 10,388 | 422 |
Ameriprise Financial Inc. | 7,339 | 403 |
American Capital Agency Corp. | 11,421 | 398 |
Progressive Corp. | 20,359 | 398 |
Host Hotels & Resorts Inc. | 24,285 | 372 |
M&T Bank Corp. | 4,250 | 369 |
General Growth Properties Inc. | 17,538 | 361 |
Invesco Ltd. | 14,929 | 354 |
* IntercontinentalExchange Inc. | 2,468 | 337 |
Northern Trust Corp. | 7,232 | 336 |
Regions Financial Corp. | 46,916 | 327 |
Digital Realty Trust Inc. | 4,113 | 306 |
Kimco Realty Corp. | 13,584 | 276 |
Principal Financial Group Inc. | 9,995 | 274 |
KeyCorp | 31,714 | 267 |
Macerich Co. | 4,436 | 264 |
Hartford Financial Services Group Inc. | 14,702 | 264 |
Moody's Corp. | 6,607 | 262 |
SLM Corp. | 16,247 | 256 |
* CIT Group Inc. | 6,758 | 255 |
SL Green Realty Corp. | 3,025 | 244 |
XL Group plc Class A | 10,383 | 240 |
Federal Realty Investment Trust | 2,192 | 237 |
Lincoln National Corp. | 9,521 | 221 |
Plum Creek Timber Co. Inc. | 5,369 | 220 |
NYSE Euronext | 8,496 | 213 |
UDR Inc. | 8,271 | 209 |
* Affiliated Managers Group Inc. | 1,771 | 208 |
Rayonier Inc. | 4,190 | 205 |
Comerica Inc. | 6,620 | 203 |
New York Community Bancorp Inc. | 14,833 | 197 |
* CBRE Group Inc. Class A | 11,104 | 192 |
* Alleghany Corp. | 569 | 192 |
Huntington Bancshares Inc. | 29,025 | 192 |
Camden Property Trust | 2,759 | 192 |
Essex Property Trust Inc. | 1,252 | 190 |
Everest Re Group Ltd. | 1,828 | 189 |
Cincinnati Financial Corp. | 4,875 | 188 |
Unum Group | 9,633 | 188 |
Realty Income Corp. | 4,459 | 188 |
* Arch Capital Group Ltd. | 4,548 | 181 |
Torchmark Corp. | 3,313 | 170 |
PartnerRe Ltd. | 2,199 | 161 |
Taubman Centers Inc. | 2,015 | 161 |
Alexandria Real Estate Equities Inc. | 2,129 | 157 |
6
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Regency Centers Corp. | 3,133 | 154 |
American Campus Communities Inc. | 3,158 | 147 |
Reinsurance Group of America Inc. Class A | 2,501 | 147 |
* MSCI Inc. Class A | 4,118 | 144 |
Arthur J Gallagher & Co. | 4,037 | 144 |
Leucadia National Corp. | 6,740 | 144 |
People's United Financial Inc. | 12,034 | 144 |
Ares Capital Corp. | 8,340 | 144 |
* Markel Corp. | 331 | 144 |
Fidelity National Financial Inc. Class A | 7,577 | 143 |
Raymond James Financial Inc. | 3,899 | 137 |
WR Berkley Corp. | 3,626 | 136 |
RenaissanceRe Holdings Ltd. | 1,700 | 131 |
Duke Realty Corp. | 8,963 | 130 |
TD Ameritrade Holding Corp. | 7,576 | 130 |
BRE Properties Inc. | 2,585 | 129 |
Senior Housing Properties Trust | 5,791 | 128 |
Apartment Investment & Management Co. Class A | 4,730 | 125 |
Liberty Property Trust | 3,377 | 125 |
Hudson City Bancorp Inc. | 17,242 | 124 |
* American Capital Ltd. | 11,166 | 123 |
DDR Corp. | 7,991 | 122 |
Axis Capital Holdings Ltd. | 3,568 | 122 |
Kilroy Realty Corp. | 2,525 | 119 |
Zions Bancorporation | 6,081 | 117 |
Extra Space Storage Inc. | 3,385 | 115 |
Legg Mason Inc. | 4,650 | 114 |
HCC Insurance Holdings Inc. | 3,403 | 113 |
Weingarten Realty Investors | 4,004 | 112 |
Douglas Emmett Inc. | 4,595 | 110 |
First Republic Bank | 3,335 | 109 |
National Retail Properties Inc. | 3,496 | 109 |
East West Bancorp Inc. | 4,938 | 108 |
Lazard Ltd. Class A | 3,716 | 106 |
Validus Holdings Ltd. | 3,135 | 105 |
American Financial Group Inc. | 2,787 | 105 |
CBL & Associates Properties Inc. | 4,846 | 104 |
Jones Lang LaSalle Inc. | 1,431 | 103 |
* Signature Bank | 1,591 | 103 |
Eaton Vance Corp. | 3,774 | 102 |
Tanger Factory Outlet Centers | 3,032 | 102 |
Home Properties Inc. | 1,592 | 102 |
Brown & Brown Inc. | 3,866 | 101 |
Assurant Inc. | 2,853 | 101 |
White Mountains Insurance Group Ltd. | 192 | 100 |
Commerce Bancshares Inc. | 2,456 | 99 |
Hospitality Properties Trust | 4,093 | 99 |
SEI Investments Co. | 4,529 | 98 |
Cullen/Frost Bankers Inc. | 1,769 | 98 |
Piedmont Office Realty Trust Inc. Class A | 5,744 | 97 |
MFA Financial Inc. | 11,657 | 95 |
BioMed Realty Trust Inc. | 5,028 | 93 |
Allied World Assurance Co. Holdings AG | 1,184 | 93 |
Hatteras Financial Corp. | 3,196 | 93 |
Equity Lifestyle Properties Inc. | 1,343 | 92 |
First Niagara Financial Group Inc. | 11,516 | 91 |
Mid-America Apartment Communities Inc. | 1,333 | 91 |
Post Properties Inc. | 1,764 | 90 |
ProAssurance Corp. | 1,005 | 90 |
NASDAQ OMX Group Inc. | 3,801 | 87 |
Chimera Investment Corp. | 34,141 | 87 |
* Genworth Financial Inc. Class A | 16,080 | 85 |
Waddell & Reed Financial Inc. Class A | 2,861 | 85 |
* SVB Financial Group | 1,447 | 84 |
7
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
CBOE Holdings Inc. | 2,866 | 81 |
* E*TRADE Financial Corp. | 9,330 | 80 |
City National Corp. | 1,555 | 80 |
Mack-Cali Realty Corp. | 2,905 | 78 |
Assured Guaranty Ltd. | 5,761 | 76 |
Protective Life Corp. | 2,688 | 76 |
First Horizon National Corp. | 8,259 | 74 |
Associated Banc-Corp | 5,642 | 73 |
Old Republic International Corp. | 8,470 | 73 |
* Forest City Enterprises Inc. Class A | 4,636 | 70 |
Bank of Hawaii Corp. | 1,481 | 68 |
Jefferies Group Inc. | 4,566 | 67 |
Aspen Insurance Holdings Ltd. | 2,298 | 67 |
Valley National Bancorp | 6,650 | 64 |
Capitol Federal Financial Inc. | 5,402 | 64 |
Fulton Financial Corp. | 6,557 | 64 |
Federated Investors Inc. Class B | 2,933 | 62 |
TCF Financial Corp. | 5,536 | 62 |
* Howard Hughes Corp. | 893 | 59 |
Brandywine Realty Trust | 4,677 | 57 |
Washington Federal Inc. | 3,543 | 57 |
CapitalSource Inc. | 7,899 | 55 |
Erie Indemnity Co. Class A | 848 | 54 |
Endurance Specialty Holdings Ltd. | 1,387 | 52 |
Janus Capital Group Inc. | 6,012 | 52 |
Synovus Financial Corp. | 25,122 | 52 |
* Popular Inc. | 3,291 | 52 |
Corporate Office Properties Trust | 2,331 | 52 |
Hanover Insurance Group Inc. | 1,453 | 52 |
* MBIA Inc. | 4,629 | 50 |
BOK Financial Corp. | 852 | 49 |
Kemper Corp. | 1,599 | 49 |
LPL Financial Holdings Inc. | 1,641 | 47 |
StanCorp Financial Group Inc. | 1,445 | 45 |
First Citizens BancShares Inc. Class A | 269 | 44 |
* St. Joe Co. | 2,217 | 42 |
* Alexander & Baldwin Inc. | 1,396 | 41 |
CommonWealth REIT | 2,695 | 40 |
Mercury General Corp. | 860 | 33 |
Retail Properties of America Inc. | 2,777 | 31 |
BankUnited Inc. | 1,092 | 28 |
* TFS Financial Corp. | 2,605 | 23 |
CNA Financial Corp. | 840 | 22 |
American National Insurance Co. | 258 | 18 |
Interactive Brokers Group Inc. | 1,199 | 17 |
74,150 | ||
Health Care (11.5%) | ||
Johnson & Johnson | 92,234 | 6,219 |
Pfizer Inc. | 251,353 | 5,997 |
Merck & Co. Inc. | 102,088 | 4,395 |
Abbott Laboratories | 52,870 | 3,465 |
Amgen Inc. | 26,161 | 2,195 |
UnitedHealth Group Inc. | 34,860 | 1,893 |
Bristol-Myers Squibb Co. | 56,692 | 1,871 |
* Express Scripts Holding Co. | 27,086 | 1,696 |
Eli Lilly & Co. | 34,466 | 1,548 |
* Gilead Sciences Inc. | 25,418 | 1,466 |
Medtronic Inc. | 34,892 | 1,419 |
* Biogen Idec Inc. | 8,066 | 1,182 |
Baxter International Inc. | 18,574 | 1,090 |
* Celgene Corp. | 14,790 | 1,065 |
Covidien plc | 16,247 | 911 |
Allergan Inc. | 10,163 | 875 |
Thermo Fisher Scientific Inc. | 12,290 | 705 |
8
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Alexion Pharmaceuticals Inc. | 6,472 | 694 |
McKesson Corp. | 7,893 | 688 |
WellPoint Inc. | 11,200 | 671 |
* Intuitive Surgical Inc. | 1,339 | 659 |
Stryker Corp. | 10,406 | 554 |
Becton Dickinson and Co. | 6,812 | 518 |
Cardinal Health Inc. | 11,695 | 463 |
Aetna Inc. | 11,748 | 451 |
Cigna Corp. | 9,607 | 440 |
Agilent Technologies Inc. | 11,754 | 437 |
St. Jude Medical Inc. | 10,443 | 394 |
* Edwards Lifesciences Corp. | 3,850 | 393 |
* Regeneron Pharmaceuticals Inc. | 2,615 | 387 |
Humana Inc. | 5,521 | 387 |
* Vertex Pharmaceuticals Inc. | 7,042 | 376 |
Zimmer Holdings Inc. | 5,943 | 367 |
* Cerner Corp. | 4,822 | 353 |
* Watson Pharmaceuticals Inc. | 4,273 | 348 |
Perrigo Co. | 3,153 | 347 |
AmerisourceBergen Corp. Class A | 8,468 | 326 |
* Mylan Inc. | 13,596 | 320 |
Quest Diagnostics Inc. | 5,298 | 320 |
* DaVita Inc. | 3,168 | 308 |
* Forest Laboratories Inc. | 8,870 | 308 |
* Catamaran Corp. | 3,443 | 300 |
* Laboratory Corp. of America Holdings | 3,268 | 287 |
* Life Technologies Corp. | 5,931 | 283 |
CR Bard Inc. | 2,868 | 281 |
* Boston Scientific Corp. | 47,472 | 256 |
* Waters Corp. | 3,004 | 241 |
* Henry Schein Inc. | 3,031 | 233 |
* Varian Medical Systems Inc. | 3,741 | 220 |
* CareFusion Corp. | 7,453 | 196 |
Coventry Health Care Inc. | 4,465 | 186 |
* Mettler-Toledo International Inc. | 1,125 | 186 |
* Hospira Inc. | 5,492 | 184 |
* ResMed Inc. | 4,862 | 183 |
* IDEXX Laboratories Inc. | 1,889 | 180 |
* Hologic Inc. | 8,933 | 175 |
* Illumina Inc. | 4,139 | 174 |
DENTSPLY International Inc. | 4,734 | 172 |
HCA Holdings Inc. | 5,589 | 160 |
* Onyx Pharmaceuticals Inc. | 2,192 | 158 |
* BioMarin Pharmaceutical Inc. | 4,181 | 156 |
* AMERIGROUP Corp. | 1,588 | 144 |
* QIAGEN NV | 7,927 | 141 |
Cooper Cos. Inc. | 1,551 | 130 |
Omnicare Inc. | 3,876 | 126 |
* Medivation Inc. | 1,181 | 124 |
* Endo Health Solutions Inc. | 3,858 | 123 |
* MEDNAX Inc. | 1,695 | 117 |
Universal Health Services Inc. Class B | 2,920 | 117 |
* Ariad Pharmaceuticals Inc. | 5,409 | 111 |
Patterson Cos. Inc. | 3,094 | 105 |
PerkinElmer Inc. | 3,736 | 102 |
* Sirona Dental Systems Inc. | 1,842 | 98 |
Teleflex Inc. | 1,366 | 90 |
* United Therapeutics Corp. | 1,642 | 89 |
* Covance Inc. | 1,846 | 88 |
Techne Corp. | 1,225 | 84 |
* Salix Pharmaceuticals Ltd. | 1,896 | 83 |
* Community Health Systems Inc. | 2,959 | 80 |
Warner Chilcott plc Class A | 5,581 | 76 |
* Myriad Genetics Inc. | 2,771 | 69 |
9
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Tenet Healthcare Corp. | 13,278 | 69 |
* Bio-Rad Laboratories Inc. Class A | 683 | 69 |
* Brookdale Senior Living Inc. Class A | 3,134 | 68 |
* Thoratec Corp. | 2,000 | 68 |
* Allscripts Healthcare Solutions Inc. | 6,320 | 66 |
* Health Net Inc. | 2,744 | 64 |
* Incyte Corp. Ltd. | 3,153 | 63 |
* LifePoint Hospitals Inc. | 1,557 | 63 |
* Health Management Associates Inc. Class A | 8,148 | 62 |
* Charles River Laboratories International Inc. | 1,585 | 58 |
Hill-Rom Holdings Inc. | 2,036 | 56 |
* VCA Antech Inc. | 2,795 | 54 |
* Alere Inc. | 2,615 | 49 |
* Bruker Corp. | 3,255 | 39 |
55,657 | ||
Industrials (10.4%) | ||
General Electric Co. | 355,595 | 7,364 |
United Technologies Corp. | 30,626 | 2,445 |
3M Co. | 23,307 | 2,158 |
Union Pacific Corp. | 16,000 | 1,943 |
Caterpillar Inc. | 21,966 | 1,874 |
Boeing Co. | 25,232 | 1,802 |
United Parcel Service Inc. Class B | 24,316 | 1,795 |
Honeywell International Inc. | 26,228 | 1,533 |
Emerson Electric Co. | 24,661 | 1,251 |
Danaher Corp. | 19,557 | 1,048 |
Deere & Co. | 13,348 | 1,003 |
FedEx Corp. | 10,607 | 929 |
Tyco International Ltd. | 15,620 | 881 |
Illinois Tool Works Inc. | 14,297 | 848 |
Lockheed Martin Corp. | 8,806 | 803 |
Norfolk Southern Corp. | 10,938 | 793 |
CSX Corp. | 34,924 | 784 |
Precision Castparts Corp. | 4,854 | 782 |
General Dynamics Corp. | 10,670 | 699 |
Raytheon Co. | 11,193 | 633 |
Cummins Inc. | 6,474 | 629 |
Northrop Grumman Corp. | 8,407 | 562 |
Waste Management Inc. | 15,623 | 540 |
Eaton Corp. | 11,436 | 511 |
PACCAR Inc. | 12,050 | 481 |
Ingersoll-Rand plc | 9,956 | 466 |
Fastenal Co. | 9,863 | 425 |
WW Grainger Inc. | 1,971 | 406 |
Parker Hannifin Corp. | 5,036 | 403 |
Cooper Industries plc | 5,303 | 388 |
Stanley Black & Decker Inc. | 5,775 | 380 |
Dover Corp. | 6,193 | 358 |
Rockwell Automation Inc. | 4,761 | 343 |
Roper Industries Inc. | 3,285 | 338 |
C.H. Robinson Worldwide Inc. | 5,402 | 306 |
Fluor Corp. | 5,625 | 290 |
Kansas City Southern | 3,700 | 286 |
Republic Services Inc. Class A | 10,103 | 279 |
AMETEK Inc. | 8,072 | 277 |
* Stericycle Inc. | 2,876 | 263 |
Expeditors International of Washington Inc. | 7,144 | 262 |
Textron Inc. | 9,357 | 250 |
* TransDigm Group Inc. | 1,773 | 246 |
* Delta Air Lines Inc. | 28,253 | 244 |
* Verisk Analytics Inc. Class A | 4,902 | 238 |
Rockwell Collins Inc. | 4,826 | 236 |
L-3 Communications Holdings Inc. | 3,285 | 231 |
Southwest Airlines Co. | 25,572 | 229 |
10
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Flowserve Corp. | 1,778 | 227 |
Pall Corp. | 3,882 | 215 |
* United Continental Holdings Inc. | 11,236 | 207 |
Joy Global Inc. | 3,563 | 190 |
* IHS Inc. Class A | 1,659 | 189 |
Equifax Inc. | 4,031 | 185 |
Donaldson Co. Inc. | 5,053 | 178 |
* Jacobs Engineering Group Inc. | 4,376 | 173 |
* Quanta Services Inc. | 7,129 | 171 |
Masco Corp. | 12,061 | 171 |
Iron Mountain Inc. | 5,144 | 169 |
Hubbell Inc. Class B | 2,027 | 164 |
JB Hunt Transport Services Inc. | 3,029 | 159 |
Xylem Inc. | 6,348 | 154 |
Cintas Corp. | 3,599 | 145 |
Pentair Inc. | 3,389 | 144 |
Snap-on Inc. | 2,031 | 141 |
* Owens Corning | 4,166 | 139 |
* Fortune Brands Home & Security Inc. | 5,360 | 137 |
KBR Inc. | 5,040 | 137 |
* AGCO Corp. | 3,188 | 134 |
Wabtec Corp. | 1,706 | 133 |
Nordson Corp. | 2,190 | 129 |
* B/E Aerospace Inc. | 3,198 | 129 |
Dun & Bradstreet Corp. | 1,569 | 127 |
* WABCO Holdings Inc. | 2,147 | 126 |
Chicago Bridge & Iron Co. NV | 3,351 | 123 |
Robert Half International Inc. | 4,668 | 123 |
* Hertz Global Holdings Inc. | 8,440 | 120 |
Waste Connections Inc. | 4,037 | 117 |
Timken Co. | 2,863 | 115 |
Lincoln Electric Holdings Inc. | 2,739 | 113 |
* Nielsen Holdings NV | 3,965 | 111 |
Corrections Corp. of America | 3,300 | 110 |
IDEX Corp. | 2,731 | 109 |
Towers Watson & Co. Class A | 1,994 | 108 |
SPX Corp. | 1,673 | 107 |
Carlisle Cos. Inc. | 2,041 | 107 |
MSC Industrial Direct Co. Inc. Class A | 1,531 | 106 |
Avery Dennison Corp. | 3,378 | 105 |
Graco Inc. | 2,119 | 105 |
Manpower Inc. | 2,783 | 103 |
* United Rentals Inc. | 3,061 | 99 |
Kennametal Inc. | 2,672 | 98 |
Gardner Denver Inc. | 1,629 | 98 |
* Spirit Aerosystems Holdings Inc. Class A | 3,915 | 97 |
* Shaw Group Inc. | 2,306 | 97 |
* Babcock & Wilcox Co. | 3,920 | 97 |
Triumph Group Inc. | 1,624 | 96 |
* Kirby Corp. | 1,819 | 96 |
Valmont Industries Inc. | 753 | 95 |
URS Corp. | 2,473 | 90 |
* Copart Inc. | 3,332 | 89 |
Regal-Beloit Corp. | 1,275 | 87 |
* Clean Harbors Inc. | 1,560 | 85 |
* WESCO International Inc. | 1,442 | 83 |
Copa Holdings SA Class A | 1,067 | 83 |
Lennox International Inc. | 1,653 | 79 |
* Terex Corp. | 3,549 | 78 |
Trinity Industries Inc. | 2,671 | 76 |
* Oshkosh Corp. | 2,934 | 74 |
Pitney Bowes Inc. | 5,548 | 74 |
Landstar System Inc. | 1,544 | 73 |
Toro Co. | 1,943 | 72 |
11
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* AECOM Technology Corp. | 3,665 | 71 |
GATX Corp. | 1,684 | 69 |
Ryder System Inc. | 1,698 | 68 |
* Huntington Ingalls Industries Inc. | 1,695 | 68 |
RR Donnelley & Sons Co. | 6,046 | 66 |
Covanta Holding Corp. | 3,614 | 62 |
Exelis Inc. | 5,947 | 60 |
Crane Co. | 1,571 | 60 |
ITT Corp. | 2,969 | 59 |
Con-way Inc. | 1,812 | 55 |
Manitowoc Co. Inc. | 4,249 | 55 |
Harsco Corp. | 2,575 | 52 |
Alliant Techsystems Inc. | 1,071 | 52 |
* Polypore International Inc. | 1,509 | 49 |
Rollins Inc. | 2,078 | 48 |
* Colfax Corp. | 1,430 | 47 |
* General Cable Corp. | 1,683 | 46 |
* Air Lease Corp. | 2,199 | 45 |
UTi Worldwide Inc. | 3,280 | 45 |
* Navistar International Corp. | 2,009 | 44 |
* GrafTech International Ltd. | 4,164 | 39 |
* CNH Global NV | 983 | 39 |
Matson Inc. | 1,396 | 32 |
Armstrong World Industries Inc. | 685 | 30 |
* KAR Auction Services Inc. | 1,009 | 18 |
* MRC Global Inc. | 741 | 16 |
* Engility Holdings Inc. | 539 | 10 |
50,411 | ||
Information Technology (19.5%) | ||
Apple Inc. | 31,384 | 20,878 |
Microsoft Corp. | 252,634 | 7,786 |
International Business Machines Corp. | 36,611 | 7,134 |
* Google Inc. Class A | 8,690 | 5,953 |
Intel Corp. | 168,871 | 4,193 |
Oracle Corp. | 128,296 | 4,061 |
QUALCOMM Inc. | 57,570 | 3,538 |
Cisco Systems Inc. | 179,833 | 3,431 |
Visa Inc. Class A | 17,603 | 2,258 |
* EMC Corp. | 70,491 | 1,853 |
* eBay Inc. | 38,935 | 1,848 |
Mastercard Inc. Class A | 3,645 | 1,542 |
Accenture plc Class A | 21,705 | 1,337 |
Hewlett-Packard Co. | 66,405 | 1,121 |
Texas Instruments Inc. | 38,440 | 1,116 |
Automatic Data Processing Inc. | 16,464 | 956 |
* Salesforce.com Inc. | 4,629 | 672 |
* Cognizant Technology Solutions Corp. Class A | 10,237 | 658 |
Broadcom Corp. Class A | 18,386 | 653 |
Corning Inc. | 50,943 | 611 |
* Yahoo! Inc. | 40,899 | 599 |
Intuit Inc. | 9,795 | 573 |
* Dell Inc. | 49,543 | 525 |
* Adobe Systems Inc. | 16,697 | 522 |
Applied Materials Inc. | 43,154 | 505 |
* Citrix Systems Inc. | 6,287 | 488 |
Motorola Solutions Inc. | 9,730 | 464 |
* Teradata Corp. | 5,614 | 429 |
* Symantec Corp. | 24,027 | 428 |
* NetApp Inc. | 12,148 | 419 |
Altera Corp. | 10,730 | 401 |
Analog Devices Inc. | 9,946 | 395 |
* Red Hat Inc. | 6,492 | 364 |
Western Union Co. | 20,411 | 359 |
Paychex Inc. | 10,775 | 358 |
12
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* SanDisk Corp. | 8,143 | 336 |
* Equinix Inc. | 1,676 | 331 |
Xerox Corp. | 44,798 | 330 |
* Western Digital Corp. | 7,884 | 330 |
Amphenol Corp. Class A | 5,383 | 328 |
* Fiserv Inc. | 4,567 | 326 |
CA Inc. | 11,877 | 309 |
* Juniper Networks Inc. | 17,683 | 308 |
Avago Technologies Ltd. | 8,174 | 299 |
Xilinx Inc. | 8,814 | 299 |
KLA-Tencor Corp. | 5,655 | 290 |
* NVIDIA Corp. | 20,551 | 288 |
* VMware Inc. Class A | 3,027 | 270 |
* F5 Networks Inc. | 2,716 | 265 |
Fidelity National Information Services Inc. | 8,403 | 265 |
Maxim Integrated Products Inc. | 9,733 | 264 |
Linear Technology Corp. | 7,710 | 255 |
* Facebook Inc. Class A | 14,049 | 254 |
* VeriSign Inc. | 5,252 | 250 |
* Autodesk Inc. | 7,751 | 241 |
* Alliance Data Systems Corp. | 1,737 | 239 |
* LinkedIn Corp. Class A | 2,125 | 228 |
* Akamai Technologies Inc. | 6,047 | 227 |
Microchip Technology Inc. | 6,514 | 226 |
* Rackspace Hosting Inc. | 3,755 | 225 |
* BMC Software Inc. | 5,358 | 222 |
* ANSYS Inc. | 3,145 | 219 |
* Trimble Navigation Ltd. | 4,233 | 208 |
* Lam Research Corp. | 6,075 | 207 |
* Micron Technology Inc. | 33,307 | 207 |
* Skyworks Solutions Inc. | 6,383 | 194 |
* Nuance Communications Inc. | 8,087 | 193 |
* Amdocs Ltd. | 5,714 | 184 |
Harris Corp. | 3,906 | 184 |
Computer Sciences Corp. | 5,273 | 170 |
Activision Blizzard Inc. | 14,334 | 169 |
* TIBCO Software Inc. | 5,587 | 167 |
* Synopsys Inc. | 4,969 | 164 |
Marvell Technology Group Ltd. | 15,841 | 161 |
* Gartner Inc. | 3,248 | 160 |
* Avnet Inc. | 4,927 | 159 |
* Ariba Inc. | 3,349 | 150 |
* LSI Corp. | 19,172 | 149 |
FactSet Research Systems Inc. | 1,565 | 144 |
Jabil Circuit Inc. | 6,336 | 144 |
* Electronic Arts Inc. | 10,774 | 144 |
* MICROS Systems Inc. | 2,723 | 138 |
IAC/InterActiveCorp | 2,649 | 137 |
* Arrow Electronics Inc. | 3,643 | 132 |
Molex Inc. | 4,687 | 125 |
Total System Services Inc. | 5,284 | 123 |
* VeriFone Systems Inc. | 3,513 | 122 |
* Cadence Design Systems Inc. | 8,961 | 118 |
* NCR Corp. | 5,221 | 117 |
* Informatica Corp. | 3,557 | 116 |
SAIC Inc. | 9,283 | 113 |
* Fortinet Inc. | 4,258 | 113 |
* SolarWinds Inc. | 2,017 | 111 |
* Riverbed Technology Inc. | 5,372 | 107 |
* Concur Technologies Inc. | 1,483 | 107 |
Global Payments Inc. | 2,575 | 107 |
* Cree Inc. | 3,793 | 107 |
Jack Henry & Associates Inc. | 2,863 | 106 |
* AOL Inc. | 3,055 | 103 |
13
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
FLIR Systems Inc. | 5,028 | 100 |
Broadridge Financial Solutions Inc. | 4,110 | 97 |
* Teradyne Inc. | 6,174 | 96 |
* ON Semiconductor Corp. | 15,427 | 96 |
Solera Holdings Inc. | 2,336 | 96 |
* Brocade Communications Systems Inc. | 14,986 | 87 |
* Atmel Corp. | 14,484 | 86 |
* CoreLogic Inc. | 3,490 | 86 |
* JDS Uniphase Corp. | 7,564 | 85 |
* NeuStar Inc. Class A | 2,184 | 82 |
National Instruments Corp. | 3,035 | 78 |
Lender Processing Services Inc. | 2,776 | 78 |
* Ingram Micro Inc. | 4,997 | 76 |
* Advanced Micro Devices Inc. | 20,477 | 76 |
* Genpact Ltd. | 4,064 | 74 |
* Compuware Corp. | 7,062 | 71 |
* FleetCor Technologies Inc. | 1,593 | 69 |
Diebold Inc. | 2,054 | 67 |
* Tech Data Corp. | 1,323 | 64 |
* IPG Photonics Corp. | 1,037 | 64 |
* Zebra Technologies Corp. | 1,709 | 64 |
* Fusion-io Inc. | 2,200 | 62 |
* Polycom Inc. | 5,911 | 62 |
* Fairchild Semiconductor International Inc. Class A | 4,120 | 60 |
* NetSuite Inc. | 1,024 | 58 |
Cypress Semiconductor Corp. | 4,988 | 58 |
* Itron Inc. | 1,314 | 57 |
* Rovi Corp. | 3,693 | 57 |
* Dolby Laboratories Inc. Class A | 1,639 | 54 |
DST Systems Inc. | 1,059 | 54 |
* Silicon Laboratories Inc. | 1,364 | 52 |
Lexmark International Inc. Class A | 2,287 | 50 |
* Vishay Intertechnology Inc. | 4,580 | 44 |
* PMC - Sierra Inc. | 7,468 | 44 |
* Acme Packet Inc. | 1,899 | 36 |
* EchoStar Corp. Class A | 1,258 | 34 |
* Vantiv Inc. Class A | 1,293 | 29 |
* Freescale Semiconductor Ltd. | 1,934 | 19 |
* Splunk Inc. | 495 | 17 |
AVX Corp. | 1,578 | 16 |
Booz Allen Hamilton Holding Corp. | 860 | 16 |
* Zynga Inc. Class A | 4,273 | 12 |
93,795 | ||
Materials (3.8%) | ||
EI du Pont de Nemours & Co. | 31,506 | 1,567 |
Monsanto Co. | 17,970 | 1,565 |
Dow Chemical Co. | 40,184 | 1,178 |
Freeport-McMoRan Copper & Gold Inc. | 31,933 | 1,153 |
Praxair Inc. | 10,102 | 1,066 |
Newmont Mining Corp. | 16,522 | 837 |
Air Products & Chemicals Inc. | 7,098 | 586 |
Mosaic Co. | 9,977 | 578 |
PPG Industries Inc. | 5,170 | 569 |
Ecolab Inc. | 8,685 | 556 |
LyondellBasell Industries NV Class A | 10,767 | 526 |
International Paper Co. | 14,581 | 504 |
CF Industries Holdings Inc. | 2,190 | 453 |
Sherwin-Williams Co. | 2,927 | 419 |
Nucor Corp. | 10,552 | 397 |
Alcoa Inc. | 35,437 | 303 |
Sigma-Aldrich Corp. | 4,045 | 287 |
Eastman Chemical Co. | 5,085 | 281 |
FMC Corp. | 4,585 | 249 |
Ball Corp. | 5,214 | 220 |
14
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Celanese Corp. Class A | 5,206 | 199 |
Ashland Inc. | 2,672 | 197 |
Airgas Inc. | 2,332 | 194 |
* Crown Holdings Inc. | 5,052 | 183 |
Southern Copper Corp. | 5,490 | 179 |
Royal Gold Inc. | 2,014 | 177 |
Vulcan Materials Co. | 4,425 | 172 |
Cliffs Natural Resources Inc. | 4,754 | 170 |
MeadWestvaco Corp. | 5,831 | 168 |
Valspar Corp. | 3,143 | 168 |
International Flavors & Fragrances Inc. | 2,743 | 166 |
Albemarle Corp. | 3,012 | 165 |
Rock-Tenn Co. Class A | 2,426 | 162 |
* WR Grace & Co. | 2,451 | 141 |
Reliance Steel & Aluminum Co. | 2,586 | 133 |
RPM International Inc. | 4,310 | 118 |
Martin Marietta Materials Inc. | 1,488 | 114 |
Aptargroup Inc. | 2,176 | 110 |
Rockwood Holdings Inc. | 2,233 | 106 |
Cytec Industries Inc. | 1,516 | 104 |
Allegheny Technologies Inc. | 3,482 | 103 |
Packaging Corp. of America | 3,202 | 102 |
Bemis Co. Inc. | 3,364 | 102 |
Sonoco Products Co. | 3,288 | 101 |
* Allied Nevada Gold Corp. | 2,965 | 97 |
* Owens-Illinois Inc. | 5,380 | 94 |
United States Steel Corp. | 4,704 | 91 |
Huntsman Corp. | 6,249 | 90 |
Sealed Air Corp. | 6,290 | 90 |
Steel Dynamics Inc. | 7,256 | 89 |
Domtar Corp. | 1,195 | 86 |
Compass Minerals International Inc. | 1,069 | 77 |
Cabot Corp. | 2,066 | 72 |
NewMarket Corp. | 287 | 71 |
Carpenter Technology Corp. | 1,425 | 67 |
Silgan Holdings Inc. | 1,602 | 67 |
Walter Energy Inc. | 2,042 | 67 |
Scotts Miracle-Gro Co. Class A | 1,359 | 57 |
* Tahoe Resources Inc. | 2,640 | 48 |
Commercial Metals Co. | 3,698 | 47 |
Greif Inc. Class A | 1,023 | 45 |
Westlake Chemical Corp. | 626 | 43 |
* Intrepid Potash Inc. | 1,682 | 38 |
Titanium Metals Corp. | 2,615 | 32 |
* Molycorp Inc. | 2,155 | 25 |
Kronos Worldwide Inc. | 749 | 13 |
18,234 | ||
Telecommunication Services (3.0%) | ||
AT&T Inc. | 196,784 | 7,210 |
Verizon Communications Inc. | 95,426 | 4,098 |
CenturyLink Inc. | 20,885 | 883 |
* Crown Castle International Corp. | 9,777 | 620 |
* Sprint Nextel Corp. | 100,721 | 489 |
* SBA Communications Corp. Class A | 4,056 | 242 |
Windstream Corp. | 19,781 | 195 |
Frontier Communications Corp. | 33,736 | 156 |
* tw telecom inc Class A | 4,921 | 124 |
* Level 3 Communications Inc. | 5,551 | 120 |
* MetroPCS Communications Inc. | 9,915 | 96 |
Telephone & Data Systems Inc. | 3,163 | 78 |
* NII Holdings Inc. | 5,655 | 35 |
* Clearwire Corp. Class A | 11,433 | 18 |
15
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* United States Cellular Corp. | 470 | 18 |
14,382 | ||
Utilities (3.6%) | ||
Duke Energy Corp. | 23,644 | 1,532 |
Southern Co. | 29,221 | 1,325 |
Exelon Corp. | 28,660 | 1,045 |
Dominion Resources Inc. | 19,253 | 1,010 |
NextEra Energy Inc. | 14,011 | 943 |
American Electric Power Co. Inc. | 16,306 | 701 |
PG&E Corp. | 14,282 | 620 |
FirstEnergy Corp. | 13,964 | 610 |
Consolidated Edison Inc. | 9,772 | 592 |
PPL Corp. | 19,342 | 567 |
Public Service Enterprise Group Inc. | 17,014 | 539 |
Sempra Energy | 8,069 | 534 |
Edison International | 11,039 | 483 |
Xcel Energy Inc. | 16,399 | 457 |
Entergy Corp. | 5,893 | 401 |
Northeast Utilities | 10,434 | 393 |
DTE Energy Co. | 5,652 | 330 |
ONEOK Inc. | 6,980 | 311 |
Wisconsin Energy Corp. | 7,734 | 294 |
CenterPoint Energy Inc. | 14,264 | 291 |
Ameren Corp. | 8,155 | 267 |
* AES Corp. | 21,310 | 243 |
* Calpine Corp. | 13,516 | 237 |
NiSource Inc. | 9,486 | 231 |
American Water Works Co. Inc. | 5,945 | 219 |
CMS Energy Corp. | 8,735 | 202 |
Pinnacle West Capital Corp. | 3,768 | 194 |
SCANA Corp. | 3,920 | 186 |
OGE Energy Corp. | 3,317 | 179 |
Alliant Energy Corp. | 3,827 | 169 |
NRG Energy Inc. | 7,738 | 165 |
AGL Resources Inc. | 4,023 | 160 |
Pepco Holdings Inc. | 7,751 | 150 |
NV Energy Inc. | 8,009 | 140 |
MDU Resources Group Inc. | 6,458 | 139 |
Integrys Energy Group Inc. | 2,568 | 139 |
TECO Energy Inc. | 7,035 | 122 |
ITC Holdings Corp. | 1,686 | 121 |
Westar Energy Inc. | 4,114 | 120 |
National Fuel Gas Co. | 2,360 | 118 |
Questar Corp. | 5,892 | 116 |
Aqua America Inc. | 4,584 | 115 |
UGI Corp. | 3,699 | 113 |
Atmos Energy Corp. | 3,096 | 108 |
Great Plains Energy Inc. | 4,515 | 96 |
Hawaiian Electric Industries Inc. | 3,232 | 86 |
Vectren Corp. | 2,709 | 76 |
17,189 | ||
Total Common Stocks (Cost $447,901) | 480,021 |
16
Vanguard® Russell 1000 Index Fund | ||||
Schedule of Investments | ||||
August 31, 2012 | ||||
Market | ||||
Value | ||||
Coupon | Shares | ($000) | ||
Temporary Cash Investments (0.2%)1 | ||||
Money Market Fund (0.1%) | ||||
2 Vanguard Market Liquidity Fund | 0.158% | 613,261 | 613 | |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
U.S. Government and Agency Obligations (0.1%) | ||||
3,4 Fannie Mae Discount Notes | 0.155% | 9/26/12 | 200 | 200 |
Total Temporary Cash Investments (Cost $813) | 813 | |||
Total Investments (99.8%) (Cost $448,714) | 480,834 | |||
Other Assets and Liabilities—Net (0.2%) | 1,078 | |||
Net Assets (100%) | 481,912 |
* 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 -0.2%, 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 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, as needed to maintain a positive net worth, in exchange for senior
preferred stock.
4 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 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (100.0%)1 | ||
Consumer Discretionary (7.8%) | ||
Walt Disney Co. | 92,008 | 4,552 |
Comcast Corp. Class A | 103,435 | 3,468 |
Target Corp. | 50,901 | 3,262 |
Time Warner Inc. | 78,183 | 3,248 |
Ford Motor Co. | 305,599 | 2,854 |
News Corp. Class A | 111,918 | 2,618 |
Lowe's Cos. Inc. | 84,881 | 2,417 |
CBS Corp. Class B | 43,771 | 1,591 |
Johnson Controls Inc. | 55,292 | 1,504 |
* General Motors Co. | 62,253 | 1,329 |
Macy's Inc. | 29,146 | 1,175 |
Carnival Corp. | 33,822 | 1,173 |
Kohl's Corp. | 18,458 | 963 |
Thomson Reuters Corp. | 30,266 | 861 |
* Liberty Media Corp. - Liberty Capital Class A | 8,217 | 857 |
* Liberty Interactive Corp. Class A | 39,071 | 713 |
Staples Inc. | 55,843 | 610 |
Whirlpool Corp. | 6,351 | 479 |
* CarMax Inc. | 15,167 | 464 |
Lennar Corp. Class A | 13,153 | 427 |
Newell Rubbermaid Inc. | 23,542 | 422 |
DR Horton Inc. | 20,968 | 398 |
Best Buy Co. Inc. | 21,831 | 387 |
* Toll Brothers Inc. | 11,730 | 384 |
* PulteGroup Inc. | 27,873 | 381 |
Comcast Corp. | 11,200 | 368 |
Interpublic Group of Cos. Inc. | 33,915 | 361 |
* TRW Automotive Holdings Corp. | 8,172 | 357 |
Foot Locker Inc. | 9,832 | 340 |
JC Penney Co. Inc. | 12,990 | 339 |
* Mohawk Industries Inc. | 4,663 | 336 |
Royal Caribbean Cruises Ltd. | 12,285 | 332 |
Garmin Ltd. | 8,198 | 331 |
* MGM Resorts International | 32,425 | 320 |
Signet Jewelers Ltd. | 6,932 | 318 |
Lear Corp. | 8,094 | 314 |
Gannett Co. Inc. | 19,115 | 292 |
Leggett & Platt Inc. | 11,367 | 270 |
Harman International Industries Inc. | 5,762 | 265 |
Abercrombie & Fitch Co. | 6,912 | 249 |
Jarden Corp. | 5,092 | 246 |
Service Corp. International | 17,607 | 230 |
Mattel Inc. | 6,329 | 222 |
Cablevision Systems Corp. Class A | 14,501 | 217 |
* Penn National Gaming Inc. | 5,034 | 198 |
* Madison Square Garden Co. Class A | 4,573 | 193 |
GameStop Corp. Class A | 10,060 | 192 |
* Visteon Corp. | 3,956 | 182 |
Dillard's Inc. Class A | 2,353 | 177 |
* Sears Holdings Corp. | 2,952 | 156 |
* Hyatt Hotels Corp. Class A | 3,646 | 138 |
Guess? Inc. | 5,197 | 135 |
Expedia Inc. | 2,628 | 135 |
H&R Block Inc. | 8,124 | 135 |
Williams-Sonoma Inc. | 3,274 | 134 |
International Game Technology | 10,436 | 128 |
Washington Post Co. Class B | 344 | 121 |
DISH Network Corp. Class A | 3,612 | 116 |
John Wiley & Sons Inc. Class A | 2,171 | 107 |
Tiffany & Co. | 1,656 | 103 |
DeVry Inc. | 5,193 | 100 |
18
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Thor Industries Inc. | 3,166 | 100 |
Wendy's Co. | 22,150 | 95 |
* Liberty Ventures Class A | 2,046 | 94 |
* DreamWorks Animation SKG Inc. Class A | 5,422 | 92 |
American Eagle Outfitters Inc. | 3,571 | 79 |
Chico's FAS Inc. | 4,114 | 78 |
Choice Hotels International Inc. | 2,014 | 63 |
Marriott International Inc. Class A | 1,664 | 63 |
Regal Entertainment Group Class A | 4,245 | 59 |
* Deckers Outdoor Corp. | 1,144 | 57 |
* AutoNation Inc. | 1,274 | 51 |
Aaron's Inc. | 1,530 | 46 |
PVH Corp. | 473 | 44 |
* NVR Inc. | 48 | 40 |
Hasbro Inc. | 993 | 37 |
* Lamar Advertising Co. Class A | 803 | 27 |
* Sally Beauty Holdings Inc. | 714 | 20 |
DSW Inc. Class A | 160 | 10 |
* HomeAway Inc. | 357 | 8 |
Clear Channel Outdoor Holdings Inc. Class A | 1,606 | 8 |
* Liberty Ventures Rights, Exp. Date 10/9/12 | 636 | 6 |
45,771 | ||
Consumer Staples (7.3%) | ||
Procter & Gamble Co. | 206,869 | 13,899 |
Kraft Foods Inc. | 136,973 | 5,688 |
CVS Caremark Corp. | 83,371 | 3,798 |
Walgreen Co. | 70,273 | 2,513 |
Wal-Mart Stores Inc. | 28,999 | 2,105 |
Archer-Daniels-Midland Co. | 53,519 | 1,432 |
Altria Group Inc. | 37,072 | 1,259 |
Philip Morris International Inc. | 11,303 | 1,009 |
ConAgra Foods Inc. | 33,805 | 849 |
Reynolds American Inc. | 17,789 | 820 |
JM Smucker Co. | 9,096 | 773 |
Bunge Ltd. | 11,879 | 756 |
Beam Inc. | 12,829 | 749 |
Clorox Co. | 9,936 | 723 |
Sysco Corp. | 22,491 | 681 |
Coca-Cola Enterprises Inc. | 22,571 | 666 |
HJ Heinz Co. | 9,832 | 548 |
Molson Coors Brewing Co. Class B | 10,486 | 467 |
General Mills Inc. | 11,488 | 452 |
* Constellation Brands Inc. Class A | 12,009 | 396 |
Tyson Foods Inc. Class A | 23,694 | 371 |
Energizer Holdings Inc. | 5,286 | 364 |
Colgate-Palmolive Co. | 3,191 | 339 |
* Ralcorp Holdings Inc. | 4,532 | 322 |
Kimberly-Clark Corp. | 3,435 | 287 |
Ingredion Inc. | 4,892 | 263 |
Safeway Inc. | 16,776 | 263 |
Church & Dwight Co. Inc. | 4,398 | 241 |
* Smithfield Foods Inc. | 12,400 | 240 |
Hormel Foods Corp. | 4,771 | 137 |
Avon Products Inc. | 8,221 | 127 |
Campbell Soup Co. | 2,968 | 104 |
Brown-Forman Corp. Class B | 1,557 | 100 |
Kellogg Co. | 1,062 | 54 |
* Green Mountain Coffee Roasters Inc. | 1,763 | 43 |
* Dean Foods Co. | 2,302 | 38 |
Hillshire Brands Co. | 1,388 | 36 |
42,912 | ||
Energy (16.7%) | ||
Exxon Mobil Corp. | 380,866 | 33,250 |
Chevron Corp. | 160,564 | 18,009 |
19
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
ConocoPhillips | 102,887 | 5,843 |
Occidental Petroleum Corp. | 66,072 | 5,617 |
Anadarko Petroleum Corp. | 40,658 | 2,816 |
Apache Corp. | 31,805 | 2,727 |
Phillips 66 | 50,870 | 2,137 |
National Oilwell Varco Inc. | 26,785 | 2,111 |
Devon Energy Corp. | 32,896 | 1,902 |
Halliburton Co. | 51,112 | 1,674 |
Baker Hughes Inc. | 35,703 | 1,628 |
Marathon Oil Corp. | 57,338 | 1,595 |
Spectra Energy Corp. | 53,087 | 1,500 |
Marathon Petroleum Corp. | 27,735 | 1,435 |
Valero Energy Corp. | 44,961 | 1,405 |
Hess Corp. | 24,771 | 1,252 |
Chesapeake Energy Corp. | 53,784 | 1,041 |
Noble Energy Inc. | 11,316 | 995 |
Murphy Oil Corp. | 15,795 | 811 |
HollyFrontier Corp. | 16,944 | 683 |
EQT Corp. | 10,734 | 579 |
* Southwestern Energy Co. | 18,525 | 577 |
CONSOL Energy Inc. | 18,466 | 558 |
* Denbury Resources Inc. | 31,716 | 491 |
Peabody Energy Corp. | 22,059 | 477 |
Tesoro Corp. | 11,479 | 456 |
QEP Resources Inc. | 14,568 | 418 |
* Plains Exploration & Production Co. | 10,532 | 414 |
Cimarex Energy Co. | 6,977 | 399 |
Diamond Offshore Drilling Inc. | 5,640 | 378 |
* Whiting Petroleum Corp. | 8,188 | 365 |
* Rowan Cos. plc Class A | 10,197 | 359 |
* Newfield Exploration Co. | 10,970 | 358 |
* Nabors Industries Ltd. | 23,672 | 350 |
Energen Corp. | 5,885 | 300 |
Helmerich & Payne Inc. | 6,092 | 278 |
* Superior Energy Services Inc. | 12,839 | 267 |
* SandRidge Energy Inc. | 39,661 | 261 |
* Cameron International Corp. | 4,675 | 256 |
* Ultra Petroleum Corp. | 12,396 | 255 |
* WPX Energy Inc. | 16,160 | 252 |
* McDermott International Inc. | 19,161 | 213 |
Tidewater Inc. | 4,253 | 202 |
Patterson-UTI Energy Inc. | 12,734 | 193 |
Pioneer Natural Resources Co. | 1,703 | 166 |
* Unit Corp. | 3,896 | 155 |
* Atwood Oceanics Inc. | 3,291 | 152 |
World Fuel Services Corp. | 4,078 | 152 |
* Alpha Natural Resources Inc. | 17,411 | 103 |
* Cheniere Energy Inc. | 5,999 | 89 |
Teekay Corp. | 2,958 | 87 |
* SEACOR Holdings Inc. | 924 | 79 |
EXCO Resources Inc. | 9,944 | 68 |
Sunoco Inc. | 1,159 | 55 |
* Oil States International Inc. | 585 | 46 |
SM Energy Co. | 826 | 39 |
* Cobalt International Energy Inc. | 890 | 20 |
RPC Inc. | 444 | 5 |
* Laredo Petroleum Holdings Inc. | 89 | 2 |
98,305 | ||
Financials (26.3%) | ||
Wells Fargo & Co. | 399,090 | 13,581 |
* Berkshire Hathaway Inc. Class B | 145,077 | 12,236 |
JPMorgan Chase & Co. | 310,061 | 11,516 |
Citigroup Inc. | 238,812 | 7,095 |
Bank of America Corp. | 877,758 | 7,013 |
20
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
US Bancorp | 154,292 | 5,155 |
Goldman Sachs Group Inc. | 40,016 | 4,230 |
PNC Financial Services Group Inc. | 43,107 | 2,680 |
Capital One Financial Corp. | 47,283 | 2,673 |
MetLife Inc. | 69,379 | 2,368 |
Bank of New York Mellon Corp. | 97,240 | 2,192 |
Prudential Financial Inc. | 37,998 | 2,071 |
ACE Ltd. | 27,585 | 2,034 |
Morgan Stanley | 125,515 | 1,883 |
* American International Group Inc. | 52,596 | 1,806 |
BB&T Corp. | 56,947 | 1,796 |
Aflac Inc. | 38,036 | 1,756 |
American Express Co. | 29,062 | 1,694 |
Discover Financial Services | 43,119 | 1,670 |
State Street Corp. | 39,874 | 1,659 |
Chubb Corp. | 21,952 | 1,622 |
Ventas Inc. | 23,549 | 1,542 |
Allstate Corp. | 39,914 | 1,488 |
CME Group Inc. | 27,075 | 1,486 |
HCP Inc. | 31,752 | 1,456 |
Annaly Capital Management Inc. | 79,453 | 1,375 |
Equity Residential | 22,549 | 1,362 |
Prologis Inc. | 37,398 | 1,278 |
Aon plc | 24,350 | 1,265 |
Vornado Realty Trust | 15,078 | 1,224 |
Charles Schwab Corp. | 87,261 | 1,177 |
Travelers Cos. Inc. | 17,923 | 1,160 |
Boston Properties Inc. | 10,106 | 1,133 |
Fifth Third Bancorp | 74,757 | 1,132 |
AvalonBay Communities Inc. | 7,862 | 1,113 |
SunTrust Banks Inc. | 43,787 | 1,102 |
Health Care REIT Inc. | 18,650 | 1,090 |
Loews Corp. | 25,330 | 1,030 |
Franklin Resources Inc. | 8,619 | 1,012 |
Ameriprise Financial Inc. | 17,806 | 978 |
Progressive Corp. | 49,635 | 969 |
American Capital Agency Corp. | 27,746 | 967 |
M&T Bank Corp. | 10,359 | 900 |
Host Hotels & Resorts Inc. | 58,634 | 897 |
General Growth Properties Inc. | 43,050 | 886 |
BlackRock Inc. | 4,915 | 867 |
Invesco Ltd. | 36,596 | 867 |
Northern Trust Corp. | 17,667 | 820 |
Regions Financial Corp. | 115,195 | 802 |
Weyerhaeuser Co. | 29,881 | 744 |
Kimco Realty Corp. | 33,008 | 671 |
Principal Financial Group Inc. | 24,385 | 669 |
KeyCorp | 77,848 | 656 |
Hartford Financial Services Group Inc. | 35,994 | 645 |
Macerich Co. | 10,803 | 644 |
SLM Corp. | 39,519 | 622 |
* CIT Group Inc. | 16,316 | 616 |
Simon Property Group Inc. | 3,828 | 607 |
SL Green Realty Corp. | 7,267 | 586 |
XL Group plc Class A | 25,243 | 584 |
Lincoln National Corp. | 23,109 | 537 |
NYSE Euronext | 20,612 | 516 |
UDR Inc. | 20,120 | 508 |
Comerica Inc. | 16,009 | 492 |
New York Community Bancorp Inc. | 35,579 | 472 |
* Alleghany Corp. | 1,379 | 465 |
Huntington Bancshares Inc. | 70,054 | 462 |
Cincinnati Financial Corp. | 11,899 | 460 |
Realty Income Corp. | 10,866 | 458 |
21
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Everest Re Group Ltd. | 4,364 | 452 |
Unum Group | 23,142 | 451 |
Torchmark Corp. | 8,007 | 410 |
PartnerRe Ltd. | 5,324 | 391 |
* Arch Capital Group Ltd. | 9,708 | 387 |
Alexandria Real Estate Equities Inc. | 5,041 | 372 |
Reinsurance Group of America Inc. Class A | 5,988 | 352 |
Ares Capital Corp. | 20,246 | 350 |
* Markel Corp. | 786 | 342 |
Fidelity National Financial Inc. Class A | 18,115 | 341 |
WR Berkley Corp. | 9,016 | 337 |
Raymond James Financial Inc. | 9,222 | 325 |
RenaissanceRe Holdings Ltd. | 4,191 | 324 |
TD Ameritrade Holding Corp. | 18,692 | 320 |
Senior Housing Properties Trust | 14,419 | 319 |
American Campus Communities Inc. | 6,827 | 318 |
Duke Realty Corp. | 21,819 | 316 |
Marsh & McLennan Cos. Inc. | 9,215 | 315 |
Hudson City Bancorp Inc. | 43,200 | 311 |
Liberty Property Trust | 8,385 | 309 |
Axis Capital Holdings Ltd. | 8,822 | 301 |
* American Capital Ltd. | 26,962 | 296 |
DDR Corp. | 19,441 | 296 |
Zions Bancorporation | 14,985 | 288 |
Legg Mason Inc. | 11,442 | 281 |
Weingarten Realty Investors | 9,876 | 276 |
Douglas Emmett Inc. | 11,328 | 272 |
HCC Insurance Holdings Inc. | 8,209 | 272 |
National Retail Properties Inc. | 8,740 | 271 |
People's United Financial Inc. | 22,611 | 271 |
First Republic Bank | 8,268 | 270 |
Kilroy Realty Corp. | 5,615 | 265 |
Leucadia National Corp. | 12,240 | 262 |
American Financial Group Inc. | 6,958 | 261 |
Taubman Centers Inc. | 3,257 | 261 |
Jones Lang LaSalle Inc. | 3,597 | 259 |
East West Bancorp Inc. | 11,793 | 259 |
CBL & Associates Properties Inc. | 12,077 | 258 |
White Mountains Insurance Group Ltd. | 484 | 252 |
Commerce Bancshares Inc. | 6,190 | 249 |
Cullen/Frost Bankers Inc. | 4,403 | 245 |
Hospitality Properties Trust | 10,050 | 242 |
Piedmont Office Realty Trust Inc. Class A | 14,050 | 238 |
MFA Financial Inc. | 28,950 | 237 |
Assurant Inc. | 6,580 | 232 |
BioMed Realty Trust Inc. | 12,489 | 231 |
Hatteras Financial Corp. | 7,956 | 231 |
Brown & Brown Inc. | 8,703 | 228 |
ProAssurance Corp. | 2,541 | 227 |
First Niagara Financial Group Inc. | 28,633 | 226 |
BRE Properties Inc. | 4,524 | 226 |
NASDAQ OMX Group Inc. | 9,526 | 218 |
Validus Holdings Ltd. | 6,468 | 217 |
Chimera Investment Corp. | 83,181 | 211 |
* Genworth Financial Inc. Class A | 39,815 | 211 |
* SVB Financial Group | 3,632 | 211 |
* Signature Bank | 3,238 | 209 |
* E*TRADE Financial Corp. | 23,230 | 199 |
City National Corp. | 3,811 | 196 |
Mack-Cali Realty Corp. | 7,132 | 190 |
Protective Life Corp. | 6,628 | 187 |
Assured Guaranty Ltd. | 14,012 | 185 |
First Horizon National Corp. | 20,613 | 185 |
Associated Banc-Corp | 14,139 | 183 |
22
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Old Republic International Corp. | 21,101 | 182 |
Bank of Hawaii Corp. | 3,828 | 177 |
* Forest City Enterprises Inc. Class A | 11,585 | 175 |
Jefferies Group Inc. | 11,575 | 170 |
Aspen Insurance Holdings Ltd. | 5,839 | 170 |
Fulton Financial Corp. | 16,414 | 160 |
Capitol Federal Financial Inc. | 13,418 | 159 |
Valley National Bancorp | 16,151 | 157 |
TCF Financial Corp. | 13,282 | 148 |
* Howard Hughes Corp. | 2,231 | 147 |
Regency Centers Corp. | 2,850 | 140 |
Brandywine Realty Trust | 11,409 | 139 |
Washington Federal Inc. | 8,513 | 137 |
Synovus Financial Corp. | 64,642 | 134 |
Federal Realty Investment Trust | 1,217 | 131 |
Post Properties Inc. | 2,560 | 131 |
Janus Capital Group Inc. | 14,958 | 130 |
* Popular Inc. | 8,210 | 130 |
Corporate Office Properties Trust | 5,734 | 128 |
CapitalSource Inc. | 18,383 | 127 |
* MBIA Inc. | 11,677 | 127 |
BOK Financial Corp. | 2,106 | 121 |
Kemper Corp. | 3,949 | 121 |
Home Properties Inc. | 1,879 | 120 |
Endurance Specialty Holdings Ltd. | 3,082 | 116 |
* Affiliated Managers Group Inc. | 966 | 114 |
StanCorp Financial Group Inc. | 3,586 | 112 |
Allied World Assurance Co. Holdings AG | 1,419 | 111 |
Camden Property Trust | 1,569 | 109 |
Extra Space Storage Inc. | 3,053 | 104 |
CommonWealth REIT | 6,699 | 100 |
Rayonier Inc. | 2,036 | 100 |
* Alexander & Baldwin Inc. | 3,106 | 92 |
Apartment Investment & Management Co. Class A | 3,372 | 89 |
* St. Joe Co. | 4,626 | 89 |
Mercury General Corp. | 2,259 | 86 |
First Citizens BancShares Inc. Class A | 506 | 84 |
Retail Properties of America Inc. | 7,008 | 79 |
BankUnited Inc. | 2,900 | 73 |
Hanover Insurance Group Inc. | 2,038 | 73 |
* TFS Financial Corp. | 6,626 | 59 |
CNA Financial Corp. | 2,188 | 57 |
Interactive Brokers Group Inc. | 3,385 | 47 |
American National Insurance Co. | 583 | 41 |
Equity Lifestyle Properties Inc. | 588 | 40 |
CBOE Holdings Inc. | 876 | 25 |
Federated Investors Inc. Class B | 1,171 | 25 |
LPL Financial Holdings Inc. | 578 | 17 |
Mid-America Apartment Communities Inc. | 232 | 16 |
154,468 | ||
Health Care (11.6%) | ||
Pfizer Inc. | 609,945 | 14,553 |
Johnson & Johnson | 173,414 | 11,693 |
Merck & Co. Inc. | 247,732 | 10,665 |
UnitedHealth Group Inc. | 84,553 | 4,591 |
Medtronic Inc. | 79,406 | 3,229 |
Eli Lilly & Co. | 53,010 | 2,381 |
Covidien plc | 37,213 | 2,086 |
Thermo Fisher Scientific Inc. | 29,875 | 1,713 |
WellPoint Inc. | 25,213 | 1,509 |
Aetna Inc. | 28,229 | 1,084 |
Cigna Corp. | 23,496 | 1,075 |
Humana Inc. | 13,343 | 935 |
Zimmer Holdings Inc. | 12,898 | 797 |
23
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Forest Laboratories Inc. | 21,735 | 754 |
Quest Diagnostics Inc. | 11,349 | 686 |
* Boston Scientific Corp. | 116,742 | 630 |
* Life Technologies Corp. | 13,154 | 628 |
Cardinal Health Inc. | 12,962 | 513 |
* CareFusion Corp. | 18,049 | 474 |
Coventry Health Care Inc. | 10,866 | 452 |
* Hospira Inc. | 13,387 | 450 |
Abbott Laboratories | 6,688 | 438 |
* Hologic Inc. | 21,580 | 424 |
Bristol-Myers Squibb Co. | 12,681 | 419 |
Stryker Corp. | 6,684 | 356 |
* QIAGEN NV | 19,156 | 340 |
Omnicare Inc. | 9,167 | 297 |
* MEDNAX Inc. | 4,001 | 277 |
Universal Health Services Inc. Class B | 6,870 | 274 |
PerkinElmer Inc. | 9,335 | 255 |
* Henry Schein Inc. | 3,132 | 241 |
DENTSPLY International Inc. | 6,444 | 234 |
Cooper Cos. Inc. | 2,733 | 229 |
Baxter International Inc. | 3,823 | 224 |
St. Jude Medical Inc. | 5,865 | 221 |
Teleflex Inc. | 3,280 | 217 |
* Covance Inc. | 4,306 | 206 |
* Community Health Systems Inc. | 7,462 | 202 |
* Sirona Dental Systems Inc. | 3,713 | 197 |
* Brookdale Senior Living Inc. Class A | 7,997 | 174 |
* Tenet Healthcare Corp. | 31,725 | 165 |
* LifePoint Hospitals Inc. | 4,069 | 164 |
* Health Net Inc. | 6,897 | 160 |
* Health Management Associates Inc. Class A | 20,884 | 160 |
* Bio-Rad Laboratories Inc. Class A | 1,572 | 158 |
* Allscripts Healthcare Solutions Inc. | 13,881 | 146 |
* VCA Antech Inc. | 7,209 | 139 |
HCA Holdings Inc. | 4,800 | 137 |
Hill-Rom Holdings Inc. | 4,938 | 137 |
* Alere Inc. | 6,651 | 125 |
* Endo Health Solutions Inc. | 3,519 | 112 |
* AMERIGROUP Corp. | 1,179 | 107 |
Becton Dickinson and Co. | 1,156 | 88 |
* Mylan Inc. | 2,921 | 69 |
* Charles River Laboratories International Inc. | 1,377 | 50 |
Patterson Cos. Inc. | 584 | 20 |
68,060 | ||
Industrials (9.1%) | ||
General Electric Co. | 862,911 | 17,871 |
Tyco International Ltd. | 37,683 | 2,125 |
FedEx Corp. | 24,116 | 2,113 |
Norfolk Southern Corp. | 26,543 | 1,923 |
General Dynamics Corp. | 25,845 | 1,693 |
Danaher Corp. | 31,107 | 1,666 |
Raytheon Co. | 27,088 | 1,531 |
Northrop Grumman Corp. | 20,498 | 1,371 |
Waste Management Inc. | 37,684 | 1,303 |
Eaton Corp. | 27,510 | 1,230 |
Stanley Black & Decker Inc. | 13,900 | 914 |
PACCAR Inc. | 22,490 | 898 |
Dover Corp. | 14,929 | 863 |
Republic Services Inc. Class A | 24,714 | 683 |
CSX Corp. | 27,187 | 611 |
Textron Inc. | 21,357 | 571 |
L-3 Communications Holdings Inc. | 7,930 | 557 |
Parker Hannifin Corp. | 6,781 | 542 |
3M Co. | 5,733 | 531 |
24
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Emerson Electric Co. | 9,539 | 484 |
Southwest Airlines Co. | 50,140 | 448 |
Boeing Co. | 5,924 | 423 |
* Jacobs Engineering Group Inc. | 10,542 | 417 |
* Quanta Services Inc. | 17,107 | 411 |
Pentair Inc. | 8,050 | 342 |
* AGCO Corp. | 7,915 | 333 |
* Owens Corning | 9,909 | 331 |
Xylem Inc. | 13,608 | 330 |
KBR Inc. | 12,062 | 327 |
Cooper Industries plc | 4,009 | 293 |
* Fortune Brands Home & Security Inc. | 10,857 | 277 |
Waste Connections Inc. | 9,397 | 272 |
Corrections Corp. of America | 8,118 | 270 |
Towers Watson & Co. Class A | 4,941 | 268 |
Snap-on Inc. | 3,804 | 264 |
Timken Co. | 6,530 | 262 |
Avery Dennison Corp. | 8,390 | 262 |
Gardner Denver Inc. | 4,066 | 245 |
Manpower Inc. | 6,568 | 244 |
Carlisle Cos. Inc. | 4,635 | 243 |
Kennametal Inc. | 6,557 | 242 |
* Shaw Group Inc. | 5,481 | 231 |
URS Corp. | 6,237 | 227 |
IDEX Corp. | 5,558 | 222 |
* Delta Air Lines Inc. | 24,873 | 215 |
Regal-Beloit Corp. | 3,131 | 213 |
Ingersoll-Rand plc | 4,439 | 208 |
Lockheed Martin Corp. | 2,276 | 207 |
* Nielsen Holdings NV | 7,391 | 207 |
* WESCO International Inc. | 3,585 | 207 |
Cintas Corp. | 5,030 | 203 |
* Terex Corp. | 9,075 | 200 |
* Oshkosh Corp. | 7,515 | 190 |
* Spirit Aerosystems Holdings Inc. Class A | 7,519 | 187 |
Trinity Industries Inc. | 6,573 | 186 |
SPX Corp. | 2,890 | 185 |
* AECOM Technology Corp. | 9,262 | 180 |
Fluor Corp. | 3,426 | 176 |
* Huntington Ingalls Industries Inc. | 4,120 | 165 |
Ryder System Inc. | 4,097 | 164 |
RR Donnelley & Sons Co. | 14,711 | 161 |
Triumph Group Inc. | 2,703 | 161 |
GATX Corp. | 3,839 | 158 |
Exelis Inc. | 15,316 | 155 |
Kansas City Southern | 1,992 | 154 |
Crane Co. | 3,923 | 149 |
Covanta Holding Corp. | 8,295 | 142 |
Harsco Corp. | 6,665 | 136 |
Alliant Techsystems Inc. | 2,653 | 130 |
* Hertz Global Holdings Inc. | 8,585 | 122 |
Illinois Tool Works Inc. | 1,966 | 117 |
UTi Worldwide Inc. | 8,267 | 113 |
ITT Corp. | 5,621 | 112 |
* Air Lease Corp. | 5,391 | 111 |
Chicago Bridge & Iron Co. NV | 2,957 | 109 |
* Navistar International Corp. | 4,942 | 109 |
Dun & Bradstreet Corp. | 1,269 | 103 |
* General Cable Corp. | 3,760 | 102 |
* GrafTech International Ltd. | 10,065 | 94 |
* Colfax Corp. | 2,830 | 93 |
* CNH Global NV | 2,324 | 92 |
* Verisk Analytics Inc. Class A | 1,613 | 78 |
Matson Inc. | 3,206 | 73 |
25
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Pitney Bowes Inc. | 5,263 | 70 |
Hubbell Inc. Class B | 850 | 69 |
Con-way Inc. | 2,081 | 63 |
Expeditors International of Washington Inc. | 1,696 | 62 |
* Kirby Corp. | 1,125 | 59 |
Equifax Inc. | 996 | 46 |
* KAR Auction Services Inc. | 2,328 | 41 |
Copa Holdings SA Class A | 522 | 40 |
Flowserve Corp. | 287 | 37 |
Manitowoc Co. Inc. | 2,401 | 31 |
* WABCO Holdings Inc. | 466 | 27 |
Iron Mountain Inc. | 789 | 26 |
* Engility Holdings Inc. | 1,288 | 24 |
Nordson Corp. | 369 | 22 |
* MRC Global Inc. | 804 | 18 |
53,166 | ||
Information Technology (6.6%) | ||
Cisco Systems Inc. | 436,365 | 8,326 |
Hewlett-Packard Co. | 161,096 | 2,719 |
Intel Corp. | 105,366 | 2,616 |
Corning Inc. | 123,320 | 1,479 |
* Yahoo! Inc. | 99,037 | 1,451 |
* Dell Inc. | 119,757 | 1,268 |
Applied Materials Inc. | 104,143 | 1,217 |
* Symantec Corp. | 55,239 | 985 |
Texas Instruments Inc. | 30,570 | 888 |
Analog Devices Inc. | 22,175 | 881 |
* SanDisk Corp. | 19,846 | 818 |
Xerox Corp. | 109,862 | 810 |
* Juniper Networks Inc. | 43,205 | 753 |
CA Inc. | 27,310 | 711 |
* NVIDIA Corp. | 50,543 | 709 |
KLA-Tencor Corp. | 13,650 | 700 |
Fidelity National Information Services Inc. | 20,380 | 642 |
Broadcom Corp. Class A | 17,036 | 605 |
* Adobe Systems Inc. | 17,218 | 538 |
* Micron Technology Inc. | 80,122 | 498 |
* Western Digital Corp. | 11,427 | 478 |
* Amdocs Ltd. | 13,752 | 443 |
Activision Blizzard Inc. | 34,426 | 405 |
Computer Sciences Corp. | 12,566 | 405 |
Marvell Technology Group Ltd. | 38,131 | 388 |
* Avnet Inc. | 11,828 | 381 |
* Synopsys Inc. | 10,985 | 363 |
* Lam Research Corp. | 10,091 | 344 |
* Electronic Arts Inc. | 25,784 | 344 |
* NetApp Inc. | 9,744 | 336 |
* Arrow Electronics Inc. | 9,062 | 328 |
Maxim Integrated Products Inc. | 11,906 | 323 |
Harris Corp. | 6,553 | 308 |
Molex Inc. | 11,213 | 298 |
IAC/InterActiveCorp | 5,440 | 282 |
Jabil Circuit Inc. | 12,277 | 280 |
* Cree Inc. | 9,402 | 265 |
* ON Semiconductor Corp. | 36,772 | 229 |
* Brocade Communications Systems Inc. | 37,215 | 216 |
* CoreLogic Inc. | 8,724 | 215 |
* JDS Uniphase Corp. | 18,741 | 210 |
* Teradyne Inc. | 13,324 | 208 |
* AOL Inc. | 5,882 | 198 |
* Atmel Corp. | 33,045 | 196 |
* Ingram Micro Inc. | 12,453 | 190 |
SAIC Inc. | 14,944 | 182 |
* Compuware Corp. | 16,904 | 169 |
26
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Tech Data Corp. | 3,210 | 156 |
* Polycom Inc. | 14,601 | 152 |
Diebold Inc. | 4,644 | 151 |
* Fairchild Semiconductor International Inc. Class A | 10,125 | 147 |
* Itron Inc. | 3,359 | 146 |
* Fiserv Inc. | 1,949 | 139 |
* Zebra Technologies Corp. | 3,533 | 132 |
Lexmark International Inc. Class A | 5,667 | 123 |
DST Systems Inc. | 2,272 | 116 |
* Rovi Corp. | 7,033 | 108 |
* PMC - Sierra Inc. | 18,376 | 107 |
* Vishay Intertechnology Inc. | 10,432 | 100 |
Cypress Semiconductor Corp. | 5,169 | 60 |
* EchoStar Corp. Class A | 2,219 | 60 |
Paychex Inc. | 1,715 | 57 |
* Dolby Laboratories Inc. Class A | 1,623 | 54 |
* VeriSign Inc. | 1,040 | 50 |
* Skyworks Solutions Inc. | 1,569 | 48 |
FLIR Systems Inc. | 2,232 | 44 |
* Akamai Technologies Inc. | 1,144 | 43 |
Avago Technologies Ltd. | 1,170 | 43 |
Total System Services Inc. | 1,827 | 42 |
Booz Allen Hamilton Holding Corp. | 2,043 | 38 |
AVX Corp. | 3,643 | 37 |
* Genpact Ltd. | 2,043 | 37 |
* Silicon Laboratories Inc. | 330 | 13 |
* Freescale Semiconductor Ltd. | 166 | 2 |
38,803 | ||
Materials (3.9%) | ||
Dow Chemical Co. | 97,422 | 2,855 |
Freeport-McMoRan Copper & Gold Inc. | 77,298 | 2,791 |
Newmont Mining Corp. | 39,921 | 2,023 |
Air Products & Chemicals Inc. | 17,273 | 1,426 |
Mosaic Co. | 24,091 | 1,395 |
International Paper Co. | 35,517 | 1,228 |
LyondellBasell Industries NV Class A | 24,182 | 1,181 |
Nucor Corp. | 25,796 | 971 |
CF Industries Holdings Inc. | 4,165 | 862 |
Alcoa Inc. | 86,975 | 745 |
Ashland Inc. | 6,440 | 474 |
Cliffs Natural Resources Inc. | 11,638 | 417 |
Vulcan Materials Co. | 10,569 | 411 |
MeadWestvaco Corp. | 14,063 | 405 |
Rock-Tenn Co. Class A | 5,075 | 339 |
* Crown Holdings Inc. | 9,180 | 333 |
Reliance Steel & Aluminum Co. | 6,193 | 319 |
Allegheny Technologies Inc. | 8,746 | 259 |
Cytec Industries Inc. | 3,763 | 258 |
Bemis Co. Inc. | 8,349 | 253 |
Sonoco Products Co. | 8,164 | 250 |
United States Steel Corp. | 11,751 | 229 |
Sealed Air Corp. | 15,718 | 224 |
Huntsman Corp. | 15,505 | 223 |
Domtar Corp. | 2,948 | 214 |
Rockwood Holdings Inc. | 4,012 | 190 |
Cabot Corp. | 5,238 | 182 |
RPM International Inc. | 6,580 | 180 |
Aptargroup Inc. | 3,531 | 179 |
Steel Dynamics Inc. | 14,078 | 172 |
Albemarle Corp. | 3,137 | 172 |
Walter Energy Inc. | 5,171 | 169 |
Carpenter Technology Corp. | 3,289 | 155 |
Martin Marietta Materials Inc. | 1,832 | 140 |
Eastman Chemical Co. | 2,233 | 123 |
27
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Commercial Metals Co. | 9,186 | 117 |
Greif Inc. Class A | 2,523 | 112 |
Southern Copper Corp. | 3,329 | 108 |
* Tahoe Resources Inc. | 5,090 | 93 |
Westlake Chemical Corp. | 1,278 | 88 |
Titanium Metals Corp. | 6,447 | 79 |
* Owens-Illinois Inc. | 3,518 | 62 |
* Intrepid Potash Inc. | 2,157 | 48 |
* Molycorp Inc. | 3,746 | 43 |
* WR Grace & Co. | 539 | 31 |
Kronos Worldwide Inc. | 1,568 | 27 |
Packaging Corp. of America | 660 | 21 |
Scotts Miracle-Gro Co. Class A | 388 | 16 |
22,592 | ||
Telecommunication Services (3.8%) | ||
AT&T Inc. | 477,501 | 17,496 |
CenturyLink Inc. | 50,684 | 2,142 |
* Sprint Nextel Corp. | 243,533 | 1,181 |
Frontier Communications Corp. | 81,161 | 375 |
* MetroPCS Communications Inc. | 24,644 | 240 |
Telephone & Data Systems Inc. | 7,848 | 192 |
Windstream Corp. | 19,491 | 192 |
* Level 3 Communications Inc. | 6,548 | 141 |
* NII Holdings Inc. | 13,618 | 85 |
* Clearwire Corp. Class A | 28,407 | 46 |
* United States Cellular Corp. | 1,117 | 42 |
22,132 | ||
Utilities (6.9%) | ||
Duke Energy Corp. | 57,333 | 3,714 |
Southern Co. | 70,797 | 3,209 |
Exelon Corp. | 69,507 | 2,535 |
Dominion Resources Inc. | 46,628 | 2,447 |
NextEra Energy Inc. | 33,933 | 2,284 |
American Electric Power Co. Inc. | 39,558 | 1,701 |
PG&E Corp. | 34,507 | 1,498 |
FirstEnergy Corp. | 34,019 | 1,487 |
Consolidated Edison Inc. | 23,836 | 1,445 |
PPL Corp. | 47,157 | 1,383 |
Public Service Enterprise Group Inc. | 41,125 | 1,302 |
Sempra Energy | 19,634 | 1,300 |
Edison International | 26,544 | 1,162 |
Xcel Energy Inc. | 39,550 | 1,103 |
Entergy Corp. | 14,463 | 985 |
Northeast Utilities | 25,541 | 962 |
DTE Energy Co. | 13,842 | 808 |
Wisconsin Energy Corp. | 18,854 | 716 |
CenterPoint Energy Inc. | 34,903 | 712 |
Ameren Corp. | 19,669 | 644 |
* AES Corp. | 52,018 | 592 |
* Calpine Corp. | 32,837 | 576 |
NiSource Inc. | 23,011 | 560 |
American Water Works Co. Inc. | 14,308 | 528 |
CMS Energy Corp. | 21,260 | 490 |
Pinnacle West Capital Corp. | 8,922 | 458 |
SCANA Corp. | 9,579 | 454 |
OGE Energy Corp. | 8,016 | 433 |
Alliant Energy Corp. | 9,018 | 398 |
NRG Energy Inc. | 18,579 | 396 |
AGL Resources Inc. | 9,588 | 380 |
Pepco Holdings Inc. | 18,621 | 360 |
Integrys Energy Group Inc. | 6,426 | 347 |
NV Energy Inc. | 19,193 | 337 |
MDU Resources Group Inc. | 15,328 | 330 |
TECO Energy Inc. | 17,602 | 306 |
28
Vanguard® Russell 1000 Value Index Fund | ||||
Schedule of Investments | ||||
August 31, 2012 | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
Westar Energy Inc. | 10,345 | 301 | ||
National Fuel Gas Co. | 5,911 | 295 | ||
UGI Corp. | 9,120 | 278 | ||
Atmos Energy Corp. | 7,297 | 255 | ||
Aqua America Inc. | 10,037 | 251 | ||
Great Plains Energy Inc. | 11,081 | 236 | ||
Questar Corp. | 11,214 | 221 | ||
Hawaiian Electric Industries Inc. | 7,869 | 209 | ||
Vectren Corp. | 6,702 | 189 | ||
40,577 | ||||
Total Common Stocks (Cost $558,286) | 586,786 | |||
Face | ||||
Maturity | Amount | |||
Coupon | Date | ($000) | ||
Temporary Cash Investments (0.0%)1 | ||||
U.S. Government and Agency Obligations (0.0%) | ||||
2 United States Treasury Note/Bond (Cost $101) | 4.000% | 11/15/12 | 100 | 101 |
Total Investments (100.0%) (Cost $558,387) | 586,887 | |||
Other Assets and Liabilities—Net (0.0%) | 83 | |||
Net Assets (100%) | 586,970 |
* 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 100.1% and -0.1%, respectively, of net
assets.
2 Securities with a value of $50,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
29
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.8%)1 | ||
Consumer Discretionary (16.3%) | ||
McDonald's Corp. | 93,262 | 8,346 |
* Amazon.com Inc. | 33,208 | 8,243 |
Home Depot Inc. | 140,480 | 7,972 |
Comcast Corp. Class A | 117,328 | 3,934 |
Starbucks Corp. | 69,629 | 3,454 |
NIKE Inc. Class B | 33,224 | 3,235 |
* DIRECTV | 60,142 | 3,133 |
TJX Cos. Inc. | 68,011 | 3,114 |
Walt Disney Co. | 60,451 | 2,990 |
* priceline.com Inc. | 4,572 | 2,764 |
Yum! Brands Inc. | 42,286 | 2,694 |
Time Warner Cable Inc. | 28,770 | 2,555 |
Viacom Inc. Class B | 48,522 | 2,427 |
Las Vegas Sands Corp. | 36,557 | 1,550 |
News Corp. Class A | 66,151 | 1,547 |
Coach Inc. | 26,455 | 1,538 |
Ross Stores Inc. | 20,806 | 1,440 |
* Bed Bath & Beyond Inc. | 21,356 | 1,434 |
* Liberty Global Inc. Class A | 24,138 | 1,334 |
McGraw-Hill Cos. Inc. | 25,669 | 1,314 |
* Discovery Communications Inc. Class A | 23,475 | 1,287 |
Omnicom Group Inc. | 25,026 | 1,286 |
* AutoZone Inc. | 3,499 | 1,265 |
VF Corp. | 7,992 | 1,220 |
Limited Brands Inc. | 22,157 | 1,077 |
* Dollar Tree Inc. | 21,321 | 1,027 |
Starwood Hotels & Resorts Worldwide Inc. | 18,207 | 1,004 |
Gap Inc. | 27,900 | 999 |
* O'Reilly Automotive Inc. | 10,828 | 920 |
* Delphi Automotive plc | 30,123 | 912 |
Genuine Parts Co. | 14,227 | 899 |
Harley-Davidson Inc. | 21,288 | 893 |
Ralph Lauren Corp. Class A | 5,615 | 891 |
* Sirius XM Radio Inc. | 348,887 | 883 |
* Dollar General Corp. | 17,028 | 870 |
Mattel Inc. | 24,283 | 853 |
* Chipotle Mexican Grill Inc. Class A | 2,913 | 841 |
Nordstrom Inc. | 14,350 | 830 |
Marriott International Inc. Class A | 21,534 | 811 |
Wynn Resorts Ltd. | 7,400 | 763 |
* BorgWarner Inc. | 10,454 | 719 |
PetSmart Inc. | 9,911 | 703 |
Virgin Media Inc. | 25,312 | 698 |
Wyndham Worldwide Corp. | 13,282 | 693 |
Tractor Supply Co. | 6,631 | 633 |
Darden Restaurants Inc. | 11,771 | 611 |
Tiffany & Co. | 9,779 | 606 |
PVH Corp. | 5,995 | 563 |
Family Dollar Stores Inc. | 8,817 | 561 |
Ulta Salon Cosmetics & Fragrance Inc. | 5,728 | 538 |
* LKQ Corp. | 13,447 | 507 |
Advance Auto Parts Inc. | 6,754 | 480 |
DISH Network Corp. Class A | 14,583 | 466 |
Scripps Networks Interactive Inc. Class A | 7,838 | 463 |
Polaris Industries Inc. | 5,876 | 442 |
* Fossil Inc. | 5,062 | 430 |
Dick's Sporting Goods Inc. | 8,545 | 425 |
* Michael Kors Holdings Ltd. | 7,833 | 423 |
* Under Armour Inc. Class A | 7,196 | 419 |
Lowe's Cos. Inc. | 14,326 | 408 |
* Panera Bread Co. Class A | 2,545 | 394 |
30
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
CBS Corp. Class B | 10,138 | 368 |
* Urban Outfitters Inc. | 9,777 | 367 |
* Sally Beauty Holdings Inc. | 13,219 | 364 |
Hasbro Inc. | 9,607 | 360 |
* Charter Communications Inc. Class A | 4,497 | 350 |
* NVR Inc. | 414 | 343 |
American Eagle Outfitters Inc. | 14,044 | 312 |
* Netflix Inc. | 5,109 | 305 |
* Hanesbrands Inc. | 8,805 | 286 |
* Goodyear Tire & Rubber Co. | 22,551 | 275 |
Tupperware Brands Corp. | 5,140 | 275 |
* TripAdvisor Inc. | 8,006 | 268 |
H&R Block Inc. | 15,877 | 263 |
Expedia Inc. | 4,961 | 255 |
* Carter's Inc. | 4,484 | 250 |
GNC Holdings Inc. Class A | 6,321 | 246 |
Cinemark Holdings Inc. | 10,319 | 242 |
* Apollo Group Inc. Class A | 8,854 | 238 |
Brinker International Inc. | 6,832 | 235 |
Gentex Corp. | 12,949 | 227 |
Target Corp. | 3,474 | 223 |
* Ascena Retail Group Inc. | 11,042 | 219 |
Macy's Inc. | 5,106 | 206 |
* AMC Networks Inc. Class A | 5,202 | 205 |
Chico's FAS Inc. | 10,771 | 204 |
* Lamar Advertising Co. Class A | 5,954 | 197 |
Dunkin' Brands Group Inc. | 6,473 | 189 |
Williams-Sonoma Inc. | 4,567 | 187 |
* Big Lots Inc. | 6,041 | 184 |
DSW Inc. Class A | 2,848 | 184 |
* Bally Technologies Inc. | 3,975 | 176 |
* Tempur-Pedic International Inc. | 5,369 | 168 |
* Tesla Motors Inc. | 5,875 | 168 |
International Game Technology | 13,507 | 166 |
Aaron's Inc. | 5,339 | 159 |
* Liberty Interactive Corp. Class A | 7,414 | 135 |
Morningstar Inc. | 2,122 | 126 |
* CarMax Inc. | 3,679 | 113 |
Weight Watchers International Inc. | 2,337 | 112 |
* Pandora Media Inc. | 8,906 | 107 |
* Deckers Outdoor Corp. | 2,131 | 106 |
Foot Locker Inc. | 2,795 | 97 |
John Wiley & Sons Inc. Class A | 1,855 | 92 |
Kohl's Corp. | 1,484 | 77 |
Jarden Corp. | 1,596 | 77 |
* ITT Educational Services Inc. | 2,147 | 69 |
* AutoNation Inc. | 1,695 | 68 |
* Liberty Media Corp. - Liberty Capital Class A | 640 | 67 |
* HomeAway Inc. | 2,588 | 61 |
Allison Transmission Holdings Inc. | 2,399 | 43 |
DR Horton Inc. | 1,853 | 35 |
Regal Entertainment Group Class A | 2,439 | 34 |
Garmin Ltd. | 776 | 31 |
Cablevision Systems Corp. Class A | 1,708 | 26 |
Interpublic Group of Cos. Inc. | 2,034 | 22 |
* Penn National Gaming Inc. | 404 | 16 |
* Liberty Ventures Class A | 314 | 14 |
* Groupon Inc. | 3,312 | 14 |
* Madison Square Garden Co. Class A | 270 | 11 |
* Visteon Corp. | 220 | 10 |
Clear Channel Outdoor Holdings Inc. Class A | 1,889 | 10 |
Thor Industries Inc. | 233 | 7 |
Choice Hotels International Inc. | 204 | 6 |
31
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Liberty Ventures Rights, Exp. Date 10/9/12 | 116 | 1 |
105,982 | ||
Consumer Staples (12.9%) | ||
Coca-Cola Co. | 356,584 | 13,336 |
Philip Morris International Inc. | 143,887 | 12,849 |
PepsiCo Inc. | 143,521 | 10,395 |
Wal-Mart Stores Inc. | 122,410 | 8,887 |
Altria Group Inc. | 144,990 | 4,924 |
Colgate-Palmolive Co. | 40,165 | 4,270 |
Costco Wholesale Corp. | 39,788 | 3,894 |
Kimberly-Clark Corp. | 32,179 | 2,690 |
General Mills Inc. | 46,525 | 1,830 |
Whole Foods Market Inc. | 16,923 | 1,637 |
Lorillard Inc. | 11,969 | 1,502 |
Mead Johnson Nutrition Co. | 18,773 | 1,377 |
Estee Lauder Cos. Inc. Class A | 21,180 | 1,270 |
Procter & Gamble Co. | 18,381 | 1,235 |
Kroger Co. | 51,561 | 1,149 |
CVS Caremark Corp. | 23,776 | 1,083 |
Kellogg Co. | 20,848 | 1,056 |
HJ Heinz Co. | 18,332 | 1,021 |
Hershey Co. | 13,870 | 996 |
Dr Pepper Snapple Group Inc. | 19,508 | 874 |
Sysco Corp. | 28,423 | 861 |
* Monster Beverage Corp. | 13,316 | 785 |
Brown-Forman Corp. Class B | 11,961 | 767 |
McCormick & Co. Inc. | 12,259 | 753 |
Herbalife Ltd. | 10,679 | 517 |
Reynolds American Inc. | 10,217 | 471 |
Avon Products Inc. | 30,299 | 468 |
Campbell Soup Co. | 12,481 | 439 |
Church & Dwight Co. Inc. | 7,886 | 432 |
Kraft Foods Inc. | 8,501 | 353 |
* Green Mountain Coffee Roasters Inc. | 10,472 | 255 |
Hillshire Brands Co. | 9,132 | 238 |
* Dean Foods Co. | 14,235 | 234 |
Flowers Foods Inc. | 10,142 | 209 |
Nu Skin Enterprises Inc. Class A | 4,908 | 204 |
Hormel Foods Corp. | 6,906 | 198 |
* Fresh Market Inc. | 2,589 | 149 |
Ingredion Inc. | 1,551 | 84 |
Clorox Co. | 817 | 59 |
Coca-Cola Enterprises Inc. | 1,976 | 58 |
Safeway Inc. | 3,040 | 48 |
83,857 | ||
Energy (4.0%) | ||
Schlumberger Ltd. | 122,412 | 8,860 |
EOG Resources Inc. | 24,797 | 2,685 |
Williams Cos. Inc. | 57,501 | 1,856 |
Kinder Morgan Inc. | 44,924 | 1,607 |
* FMC Technologies Inc. | 21,990 | 1,030 |
Range Resources Corp. | 14,804 | 965 |
* Cameron International Corp. | 17,449 | 955 |
Pioneer Natural Resources Co. | 9,462 | 921 |
Halliburton Co. | 27,050 | 886 |
* Concho Resources Inc. | 9,562 | 858 |
Cabot Oil & Gas Corp. | 19,163 | 794 |
National Oilwell Varco Inc. | 8,857 | 698 |
Oceaneering International Inc. | 10,030 | 537 |
Sunoco Inc. | 8,286 | 391 |
* Cobalt International Energy Inc. | 15,759 | 358 |
* Southwestern Energy Co. | 11,168 | 348 |
* Dresser-Rand Group Inc. | 6,838 | 346 |
* Oil States International Inc. | 4,347 | 340 |
32
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Noble Energy Inc. | 3,593 | 316 |
* Continental Resources Inc. | 3,808 | 282 |
SM Energy Co. | 4,845 | 229 |
* Cheniere Energy Inc. | 12,673 | 187 |
Golar LNG Ltd. | 4,005 | 157 |
CARBO Ceramics Inc. | 1,810 | 127 |
Helmerich & Payne Inc. | 1,995 | 91 |
World Fuel Services Corp. | 2,061 | 77 |
* Atwood Oceanics Inc. | 1,616 | 75 |
* SEACOR Holdings Inc. | 826 | 71 |
* Whiting Petroleum Corp. | 1,578 | 70 |
* Kosmos Energy Ltd. | 6,308 | 61 |
RPC Inc. | 4,811 | 59 |
* Laredo Petroleum Holdings Inc. | 1,760 | 38 |
26,275 | ||
Financials (4.4%) | ||
Simon Property Group Inc. | 23,373 | 3,709 |
American Express Co. | 59,179 | 3,450 |
American Tower Corporation | 36,243 | 2,552 |
Public Storage | 12,998 | 1,892 |
T. Rowe Price Group Inc. | 23,486 | 1,443 |
Marsh & McLennan Cos. Inc. | 39,755 | 1,358 |
BlackRock Inc. | 6,201 | 1,094 |
Travelers Cos. Inc. | 15,502 | 1,004 |
* IntercontinentalExchange Inc. | 6,760 | 924 |
Digital Realty Trust Inc. | 11,135 | 830 |
Moody's Corp. | 18,041 | 714 |
Plum Creek Timber Co. Inc. | 14,691 | 601 |
* CBRE Group Inc. Class A | 29,826 | 516 |
Essex Property Trust Inc. | 3,299 | 501 |
Federal Realty Investment Trust | 4,561 | 492 |
Rayonier Inc. | 8,861 | 434 |
* Affiliated Managers Group Inc. | 3,504 | 412 |
Weyerhaeuser Co. | 15,857 | 395 |
* MSCI Inc. Class A | 11,225 | 394 |
Camden Property Trust | 5,615 | 390 |
Arthur J Gallagher & Co. | 10,899 | 389 |
Franklin Resources Inc. | 2,948 | 346 |
Lazard Ltd. Class A | 10,576 | 301 |
Eaton Vance Corp. | 10,665 | 289 |
Tanger Factory Outlet Centers | 8,529 | 286 |
SEI Investments Co. | 12,622 | 275 |
Boston Properties Inc. | 2,324 | 261 |
Mid-America Apartment Communities Inc. | 3,630 | 247 |
Apartment Investment & Management Co. Class A | 9,190 | 243 |
Regency Centers Corp. | 4,924 | 241 |
Waddell & Reed Financial Inc. Class A | 7,759 | 230 |
Equity Lifestyle Properties Inc. | 3,092 | 213 |
Extra Space Storage Inc. | 5,866 | 200 |
CBOE Holdings Inc. | 6,852 | 195 |
Home Properties Inc. | 2,474 | 158 |
Erie Indemnity Co. Class A | 2,461 | 157 |
Federated Investors Inc. Class B | 7,026 | 149 |
Aon plc | 2,624 | 136 |
Taubman Centers Inc. | 1,699 | 136 |
Allied World Assurance Co. Holdings AG | 1,710 | 134 |
Equity Residential | 2,103 | 127 |
HCP Inc. | 2,648 | 122 |
LPL Financial Holdings Inc. | 3,814 | 109 |
Post Properties Inc. | 2,002 | 102 |
BRE Properties Inc. | 1,968 | 98 |
Leucadia National Corp. | 4,066 | 87 |
People's United Financial Inc. | 6,811 | 82 |
Hanover Insurance Group Inc. | 1,869 | 67 |
33
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Arch Capital Group Ltd. | 1,362 | 54 |
* Signature Bank | 840 | 54 |
Validus Holdings Ltd. | 1,356 | 46 |
American Campus Communities Inc. | 766 | 36 |
Brown & Brown Inc. | 797 | 21 |
Kilroy Realty Corp. | 403 | 19 |
Endurance Specialty Holdings Ltd. | 342 | 13 |
* St. Joe Co. | 590 | 11 |
* Alexander & Baldwin Inc. | 227 | 7 |
28,746 | ||
Health Care (11.6%) | ||
Abbott Laboratories | 136,891 | 8,972 |
Amgen Inc. | 71,432 | 5,995 |
Bristol-Myers Squibb Co. | 140,824 | 4,649 |
* Express Scripts Holding Co. | 74,001 | 4,634 |
* Gilead Sciences Inc. | 69,541 | 4,012 |
Johnson & Johnson | 56,763 | 3,828 |
* Biogen Idec Inc. | 21,899 | 3,210 |
* Celgene Corp. | 40,450 | 2,914 |
Baxter International Inc. | 46,285 | 2,716 |
Allergan Inc. | 27,882 | 2,401 |
* Alexion Pharmaceuticals Inc. | 17,675 | 1,895 |
McKesson Corp. | 21,680 | 1,889 |
* Intuitive Surgical Inc. | 3,652 | 1,796 |
Eli Lilly & Co. | 34,294 | 1,540 |
Becton Dickinson and Co. | 17,431 | 1,324 |
Agilent Technologies Inc. | 31,958 | 1,188 |
Stryker Corp. | 21,013 | 1,119 |
* Edwards Lifesciences Corp. | 10,553 | 1,078 |
* Regeneron Pharmaceuticals Inc. | 7,011 | 1,038 |
* Vertex Pharmaceuticals Inc. | 19,424 | 1,036 |
* Cerner Corp. | 13,369 | 978 |
* Watson Pharmaceuticals Inc. | 11,646 | 947 |
Perrigo Co. | 8,538 | 939 |
AmerisourceBergen Corp. Class A | 23,250 | 896 |
St. Jude Medical Inc. | 22,212 | 839 |
* DaVita Inc. | 8,591 | 836 |
* Catamaran Corp. | 9,421 | 821 |
* Mylan Inc. | 34,166 | 805 |
* Laboratory Corp. of America Holdings | 8,909 | 784 |
CR Bard Inc. | 7,721 | 757 |
Cardinal Health Inc. | 17,019 | 673 |
* Waters Corp. | 8,213 | 659 |
* Varian Medical Systems Inc. | 10,149 | 597 |
* ResMed Inc. | 13,196 | 496 |
* IDEXX Laboratories Inc. | 5,029 | 478 |
* Illumina Inc. | 11,299 | 475 |
* Mettler-Toledo International Inc. | 2,815 | 465 |
* Onyx Pharmaceuticals Inc. | 5,986 | 430 |
* BioMarin Pharmaceutical Inc. | 11,200 | 418 |
* Henry Schein Inc. | 4,688 | 360 |
* Medivation Inc. | 3,352 | 351 |
* Ariad Pharmaceuticals Inc. | 15,284 | 314 |
* AMERIGROUP Corp. | 3,083 | 280 |
HCA Holdings Inc. | 9,615 | 274 |
Patterson Cos. Inc. | 7,965 | 271 |
* United Therapeutics Corp. | 4,660 | 252 |
* Salix Pharmaceuticals Ltd. | 5,305 | 233 |
Techne Corp. | 3,395 | 233 |
Medtronic Inc. | 5,708 | 232 |
* Endo Health Solutions Inc. | 6,603 | 210 |
Warner Chilcott plc Class A | 15,416 | 210 |
DENTSPLY International Inc. | 5,705 | 207 |
* Myriad Genetics Inc. | 7,652 | 191 |
34
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Thoratec Corp. | 5,305 | 180 |
* Incyte Corp. Ltd. | 8,711 | 174 |
Covidien plc | 2,182 | 122 |
WellPoint Inc. | 1,870 | 112 |
Cooper Cos. Inc. | 1,281 | 107 |
* Charles River Laboratories International Inc. | 2,777 | 101 |
Quest Diagnostics Inc. | 1,632 | 99 |
* Bruker Corp. | 8,132 | 98 |
Zimmer Holdings Inc. | 1,548 | 96 |
* Life Technologies Corp. | 1,534 | 73 |
* Sirona Dental Systems Inc. | 987 | 52 |
Universal Health Services Inc. Class B | 397 | 16 |
* Covance Inc. | 267 | 13 |
* Tenet Healthcare Corp. | 1,767 | 9 |
75,397 | ||
Industrials (11.9%) | ||
United Technologies Corp. | 83,647 | 6,679 |
Union Pacific Corp. | 43,688 | 5,305 |
3M Co. | 57,270 | 5,303 |
Caterpillar Inc. | 59,965 | 5,117 |
United Parcel Service Inc. Class B | 66,562 | 4,913 |
Boeing Co. | 62,108 | 4,435 |
Honeywell International Inc. | 71,595 | 4,185 |
Emerson Electric Co. | 56,636 | 2,873 |
Deere & Co. | 36,581 | 2,748 |
Illinois Tool Works Inc. | 36,910 | 2,188 |
Precision Castparts Corp. | 13,297 | 2,142 |
Lockheed Martin Corp. | 21,339 | 1,945 |
Cummins Inc. | 17,683 | 1,717 |
CSX Corp. | 64,650 | 1,452 |
Fastenal Co. | 27,219 | 1,173 |
WW Grainger Inc. | 5,369 | 1,106 |
Ingersoll-Rand plc | 22,530 | 1,054 |
Danaher Corp. | 18,233 | 977 |
Rockwell Automation Inc. | 13,117 | 945 |
Roper Industries Inc. | 8,946 | 920 |
C.H. Robinson Worldwide Inc. | 14,840 | 840 |
AMETEK Inc. | 21,963 | 754 |
Cooper Industries plc | 10,009 | 732 |
* Stericycle Inc. | 7,818 | 716 |
Rockwell Collins Inc. | 13,321 | 651 |
Expeditors International of Washington Inc. | 17,516 | 641 |
* TransDigm Group Inc. | 4,612 | 639 |
Kansas City Southern | 7,889 | 610 |
Fluor Corp. | 11,495 | 592 |
Pall Corp. | 10,588 | 588 |
* Verisk Analytics Inc. Class A | 11,535 | 560 |
* United Continental Holdings Inc. | 30,237 | 558 |
Flowserve Corp. | 4,277 | 546 |
* IHS Inc. Class A | 4,572 | 521 |
Joy Global Inc. | 9,624 | 514 |
Parker Hannifin Corp. | 6,328 | 506 |
Donaldson Co. Inc. | 13,561 | 479 |
Masco Corp. | 32,501 | 460 |
Equifax Inc. | 10,037 | 459 |
JB Hunt Transport Services Inc. | 8,207 | 430 |
* Delta Air Lines Inc. | 49,393 | 427 |
Iron Mountain Inc. | 12,870 | 422 |
Hubbell Inc. Class B | 4,519 | 365 |
* B/E Aerospace Inc. | 8,931 | 360 |
Robert Half International Inc. | 13,054 | 343 |
Wabtec Corp. | 4,351 | 340 |
* WABCO Holdings Inc. | 5,437 | 319 |
Nordson Corp. | 5,410 | 318 |
35
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Lincoln Electric Holdings Inc. | 7,550 | 311 |
PACCAR Inc. | 7,419 | 296 |
MSC Industrial Direct Co. Inc. Class A | 4,266 | 296 |
* United Rentals Inc. | 8,613 | 278 |
Graco Inc. | 5,487 | 271 |
* Babcock & Wilcox Co. | 10,705 | 264 |
Valmont Industries Inc. | 2,072 | 263 |
* Copart Inc. | 9,145 | 244 |
* Clean Harbors Inc. | 4,415 | 240 |
Dun & Bradstreet Corp. | 2,746 | 222 |
Lennox International Inc. | 4,671 | 222 |
Toro Co. | 5,446 | 203 |
* Kirby Corp. | 3,845 | 202 |
Landstar System Inc. | 4,269 | 202 |
Chicago Bridge & Iron Co. NV | 5,451 | 201 |
Copa Holdings SA Class A | 2,550 | 198 |
Cintas Corp. | 4,549 | 184 |
* Hertz Global Holdings Inc. | 12,693 | 180 |
FedEx Corp. | 1,806 | 158 |
Rollins Inc. | 5,954 | 139 |
* Polypore International Inc. | 4,238 | 137 |
Pitney Bowes Inc. | 9,675 | 129 |
Southwest Airlines Co. | 13,679 | 122 |
Manitowoc Co. Inc. | 8,811 | 113 |
Triumph Group Inc. | 1,501 | 89 |
SPX Corp. | 1,390 | 89 |
Armstrong World Industries Inc. | 1,920 | 84 |
Con-way Inc. | 2,741 | 83 |
Snap-on Inc. | 1,126 | 78 |
* Nielsen Holdings NV | 2,716 | 76 |
IDEX Corp. | 1,547 | 62 |
* Fortune Brands Home & Security Inc. | 2,416 | 62 |
* Spirit Aerosystems Holdings Inc. Class A | 2,429 | 60 |
Xylem Inc. | 1,847 | 45 |
Textron Inc. | 1,566 | 42 |
ITT Corp. | 1,968 | 39 |
Carlisle Cos. Inc. | 495 | 26 |
* Colfax Corp. | 721 | 24 |
Timken Co. | 588 | 24 |
* MRC Global Inc. | 1,067 | 24 |
Waste Connections Inc. | 556 | 16 |
Covanta Holding Corp. | 513 | 9 |
* General Cable Corp. | 232 | 6 |
Matson Inc. | 227 | 5 |
77,885 | ||
Information Technology (32.6%) | ||
Apple Inc. | 85,843 | 57,106 |
Microsoft Corp. | 690,770 | 21,290 |
International Business Machines Corp. | 99,981 | 19,481 |
* Google Inc. Class A | 23,763 | 16,280 |
Oracle Corp. | 350,707 | 11,100 |
QUALCOMM Inc. | 157,407 | 9,674 |
Intel Corp. | 343,077 | 8,519 |
Visa Inc. Class A | 47,932 | 6,147 |
* EMC Corp. | 192,702 | 5,066 |
* eBay Inc. | 106,349 | 5,048 |
Mastercard Inc. Class A | 9,960 | 4,212 |
Accenture plc Class A | 59,183 | 3,646 |
Automatic Data Processing Inc. | 44,964 | 2,612 |
Texas Instruments Inc. | 70,651 | 2,052 |
* Salesforce.com Inc. | 12,694 | 1,843 |
* Cognizant Technology Solutions Corp. Class A | 27,960 | 1,797 |
Intuit Inc. | 27,034 | 1,583 |
* Citrix Systems Inc. | 17,021 | 1,322 |
36
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Motorola Solutions Inc. | 26,811 | 1,278 |
* Teradata Corp. | 15,485 | 1,183 |
Broadcom Corp. Class A | 31,398 | 1,116 |
Altera Corp. | 29,656 | 1,107 |
* Red Hat Inc. | 17,741 | 994 |
Western Union Co. | 56,266 | 991 |
Paychex Inc. | 27,803 | 925 |
Amphenol Corp. Class A | 14,797 | 901 |
* Equinix Inc. | 4,380 | 866 |
Xilinx Inc. | 24,303 | 824 |
* Adobe Systems Inc. | 26,157 | 818 |
* NetApp Inc. | 22,366 | 772 |
Avago Technologies Ltd. | 21,079 | 771 |
* Fiserv Inc. | 10,344 | 738 |
* VMware Inc. Class A | 8,143 | 725 |
* F5 Networks Inc. | 7,277 | 709 |
* Facebook Inc. Class A | 38,683 | 699 |
Linear Technology Corp. | 21,147 | 698 |
* Autodesk Inc. | 21,101 | 655 |
* VeriSign Inc. | 13,255 | 632 |
* Alliance Data Systems Corp. | 4,556 | 627 |
Microchip Technology Inc. | 17,653 | 613 |
* BMC Software Inc. | 14,650 | 607 |
* LinkedIn Corp. Class A | 5,643 | 605 |
* ANSYS Inc. | 8,551 | 596 |
* Rackspace Hosting Inc. | 9,930 | 596 |
* Akamai Technologies Inc. | 15,132 | 568 |
* Trimble Navigation Ltd. | 11,409 | 560 |
* Nuance Communications Inc. | 21,967 | 524 |
* Skyworks Solutions Inc. | 15,423 | 470 |
* TIBCO Software Inc. | 14,999 | 449 |
* Gartner Inc. | 8,578 | 424 |
* LSI Corp. | 51,801 | 404 |
* Ariba Inc. | 8,944 | 400 |
FactSet Research Systems Inc. | 4,107 | 379 |
* MICROS Systems Inc. | 7,398 | 375 |
* Western Digital Corp. | 8,844 | 370 |
Maxim Integrated Products Inc. | 13,491 | 366 |
* VeriFone Systems Inc. | 9,960 | 346 |
* Cadence Design Systems Inc. | 25,253 | 333 |
* NCR Corp. | 14,654 | 328 |
* Informatica Corp. | 9,952 | 324 |
* Fortinet Inc. | 12,011 | 318 |
* SolarWinds Inc. | 5,596 | 307 |
Global Payments Inc. | 7,262 | 302 |
* Concur Technologies Inc. | 4,168 | 302 |
Total System Services Inc. | 12,858 | 298 |
Jack Henry & Associates Inc. | 8,027 | 297 |
* Riverbed Technology Inc. | 14,551 | 291 |
Broadridge Financial Solutions Inc. | 11,514 | 273 |
Solera Holdings Inc. | 6,292 | 259 |
* NeuStar Inc. Class A | 6,081 | 228 |
National Instruments Corp. | 8,648 | 223 |
FLIR Systems Inc. | 11,192 | 222 |
Lender Processing Services Inc. | 7,625 | 214 |
* Advanced Micro Devices Inc. | 56,221 | 209 |
* FleetCor Technologies Inc. | 4,498 | 194 |
* Lam Research Corp. | 5,238 | 179 |
* IPG Photonics Corp. | 2,868 | 176 |
* Fusion-io Inc. | 6,262 | 175 |
* Genpact Ltd. | 9,385 | 171 |
* NetSuite Inc. | 2,783 | 158 |
Harris Corp. | 3,149 | 148 |
* Silicon Laboratories Inc. | 3,637 | 139 |
37
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
SAIC Inc. | 8,776 | 107 |
* Acme Packet Inc. | 5,078 | 97 |
Cypress Semiconductor Corp. | 7,855 | 91 |
Analog Devices Inc. | 2,240 | 89 |
* Dolby Laboratories Inc. Class A | 2,650 | 88 |
* Vantiv Inc. Class A | 3,519 | 79 |
Jabil Circuit Inc. | 3,093 | 70 |
* Symantec Corp. | 3,744 | 67 |
* AOL Inc. | 1,939 | 65 |
IAC/InterActiveCorp | 1,059 | 55 |
CA Inc. | 1,848 | 48 |
* Splunk Inc. | 1,387 | 48 |
* Freescale Semiconductor Ltd. | 4,329 | 43 |
* Zynga Inc. Class A | 11,736 | 33 |
* Synopsys Inc. | 974 | 32 |
* Teradyne Inc. | 1,729 | 27 |
* Rovi Corp. | 1,741 | 27 |
* Zebra Technologies Corp. | 627 | 23 |
* EchoStar Corp. Class A | 797 | 22 |
DST Systems Inc. | 400 | 20 |
* Atmel Corp. | 2,886 | 17 |
Diebold Inc. | 376 | 12 |
* Compuware Corp. | 883 | 9 |
212,696 | ||
Materials (3.7%) | ||
EI du Pont de Nemours & Co. | 86,040 | 4,280 |
Monsanto Co. | 48,993 | 4,268 |
Praxair Inc. | 27,419 | 2,893 |
PPG Industries Inc. | 14,034 | 1,544 |
Ecolab Inc. | 23,867 | 1,528 |
Sherwin-Williams Co. | 8,037 | 1,150 |
Sigma-Aldrich Corp. | 11,049 | 785 |
FMC Corp. | 12,515 | 680 |
Eastman Chemical Co. | 11,409 | 630 |
Ball Corp. | 14,322 | 604 |
Celanese Corp. Class A | 14,224 | 544 |
Airgas Inc. | 6,376 | 530 |
Royal Gold Inc. | 5,425 | 477 |
Valspar Corp. | 8,561 | 457 |
International Flavors & Fragrances Inc. | 7,446 | 451 |
Southern Copper Corp. | 11,213 | 365 |
* WR Grace & Co. | 6,174 | 357 |
CF Industries Holdings Inc. | 1,338 | 277 |
Packaging Corp. of America | 8,356 | 267 |
* Allied Nevada Gold Corp. | 8,126 | 265 |
Albemarle Corp. | 4,529 | 248 |
Compass Minerals International Inc. | 3,118 | 224 |
NewMarket Corp. | 795 | 196 |
* Owens-Illinois Inc. | 10,979 | 192 |
Silgan Holdings Inc. | 4,527 | 190 |
Martin Marietta Materials Inc. | 2,071 | 158 |
Scotts Miracle-Gro Co. Class A | 3,314 | 138 |
RPM International Inc. | 4,516 | 124 |
* Crown Holdings Inc. | 3,134 | 114 |
LyondellBasell Industries NV Class A | 2,095 | 102 |
Aptargroup Inc. | 2,012 | 102 |
Rockwood Holdings Inc. | 1,881 | 89 |
Rock-Tenn Co. Class A | 822 | 55 |
* Intrepid Potash Inc. | 2,365 | 53 |
Steel Dynamics Inc. | 4,221 | 51 |
Westlake Chemical Corp. | 425 | 29 |
* Tahoe Resources Inc. | 1,388 | 25 |
* Molycorp Inc. | 1,274 | 15 |
38
Vanguard® Russell 1000 Growth Index Fund | |||||
Schedule of Investments | |||||
August 31, 2012 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Carpenter Technology Corp. | 264 | 12 | |||
24,469 | |||||
Telecommunication Services (2.2%) | |||||
Verizon Communications Inc. | 260,724 | 11,195 | |||
* | Crown Castle International Corp. | 26,984 | 1,712 | ||
* | SBA Communications Corp. Class A | 11,101 | 664 | ||
* | tw telecom inc Class A | 13,824 | 348 | ||
Windstream Corp. | 32,139 | 317 | |||
* | Level 3 Communications Inc. | 7,650 | 165 | ||
14,401 | |||||
Utilities (0.2%) | |||||
ONEOK Inc. | 19,106 | 851 | |||
ITC Holdings Corp. | 4,796 | 345 | |||
Questar Corp. | 3,569 | 70 | |||
Aqua America Inc. | 1,313 | 33 | |||
1,299 | |||||
Total Common Stocks (Cost $585,419) | 651,007 | ||||
Coupon | |||||
Temporary Cash Investments (1.0%)1 | |||||
Money Market Fund (1.0%) | |||||
2 | Vanguard Market Liquidity Fund | 0.158% | 6,118,375 | 6,118 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
3,4 | Fannie Mae Discount Notes | 0.155% | 9/26/12 | 100 | 100 |
Total Temporary Cash Investments (Cost $6,218) | 6,218 | ||||
Total Investments (100.8%) (Cost $591,637) | 657,225 | ||||
Other Assets and Liabilities—Net (-0.8%) | (5,156) | ||||
Net Assets (100%) | 652,069 |
* 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 0.8%, 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 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, as needed to maintain a positive net worth, in exchange for senior
preferred stock.
4 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
39
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund and Vanguard Russell 1000 Growth Index Fund: We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements (not presented herein) of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund and Vanguard Russell 1000 Growth Index Fund (constituting separate portfolios of Vanguard Scottsdale Funds, hereafter referred to as the "Funds") as of August 31, 2012 and for the year then ended and have issued our unqualified report thereon dated October 16, 2012. Our audits included audits of the Funds' schedules of investments as of August 31, 2012. These schedules of investments are the responsibility of the Funds' management. Our responsibility is to express an opinion on these schedules of investments based on our audits.
In our opinion, the accompanying schedules of investments referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2012
© 2012 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 18480 102012
Annual Report | August 31, 2012
Vanguard Russell 2000 Index Funds
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx1x2.jpg)
Vanguard Russell 2000 Index Fund Vanguard Russell 2000 Value Index Fund Vanguard Russell 2000 Growth Index Fund
> For the 12 months ended August 31, 2012, the three Vanguard Russell 2000
Index Funds closely tracked their target indexes, earning double-digit returns.
> Small-cap value stocks outpaced their growth counterparts.
> Bank stocks were among the best performers; energy stocks were among the
worst.
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. | 35 |
Your Fund’s After-Tax Returns. | 50 |
About Your Fund’s Expenses. | 51 |
Trustees Approve Advisory Arrangement. | 53 |
Glossary. | 54 |
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: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate.
It was featured in a movie based on Patrick O’Brian’s sea novels, set amid the Napoleonic wars. Vanguard was named for
another ship of that era, the HMS Vanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns | |
Fiscal Year Ended August 31, 2012 | |
Total | |
Returns | |
Russell 2000 Index Fund | |
Institutional Shares | 13.37% |
ETF Shares | |
Market Price | 13.40 |
Net Asset Value | 13.30 |
Russell 2000 Index | 13.40 |
Small-Cap Core Funds Average | 11.15 |
Small-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Russell 2000 Value Index Fund | |
Institutional Shares (Inception: 7/13/2012) | 1.43% |
ETF Shares | |
Market Price | 13.58 |
Net Asset Value | 13.81 |
Russell 2000 Value Index | 14.08 |
Small-Cap Value Funds Average | 12.13 |
Small-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
Russell 2000 Growth Index Fund | |
Institutional Shares | 12.72% |
ETF Shares | |
Market Price | 12.73 |
Net Asset Value | 12.58 |
Russell 2000 Growth Index | 12.72 |
Small-Cap Growth Funds Average | 11.62 |
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,
Vanguard Russell 2000 Index Funds delivered strong returns for the 12 months ended August 31, 2012, as hopes for a housing rebound lifted the shares of everything from banks to home builders. Still, the small-capitalization stocks in the three funds’ Russell benchmarks finished the period a few steps behind the broader market.
The ETF Shares of the Growth Fund advanced 12.58%, and those of the Value Fund gained 13.81%. The ETF Shares of the Russell 2000 Index Fund, which combines both growth and value stocks, returned 13.30%. (These returns are based on net asset value.) All three funds closely tracked the returns of their respective target indexes and exceeded the average returns of peer funds.
On July 13, 2012, we issued Institutional Shares of the Russell 2000 Value Index Fund, and so all three funds now feature this share class as well as ETF Shares. If you hold your shares in a taxable account, you may wish to review information on the funds’ after-tax returns that appears later in this report.
U.S. stocks shook off concerns to produce double-digit returns
U.S. stocks generated robust gains for the period, returning nearly 17%. They seemed to get a lift as the U.S. economy continued to grow, albeit at a modest rate, avoiding the “double-dip” recession that some investors had feared.
2
Though European stocks posted strong returns in local-currency terms, this performance was much more modest when converted into U.S. dollars—a result of the dollar’s strengthening against the euro during the 12 months. Signs of slowing economic growth restrained returns for emerging markets and the developed markets of the Pacific region.
Questions about the finances of European governments and banks continued to preoccupy investors. Although the situation in Europe is very fluid, Vanguard economists believe the most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Bonds continued their march as yields dropped to record lows
Bonds produced solid returns; the broad U.S. taxable market advanced nearly 6% for the 12 months. Long-term U.S. Treasuries were particularly strong as they benefited from the Federal Reserve’s bond-buying program.
As bond prices rose, the yield of the 10-year U.S. Treasury note fell to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) Bondholders have enjoyed years of strong returns. But as Tim Buckley, our incoming chief investment officer, has noted, investors shouldn’t be surprised if future results are more
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 17.33% | 13.82% | 1.47% |
Russell 2000 Index (Small-caps) | 13.40 | 13.89 | 1.90 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 13.87 | 1.73 |
MSCI All Country World Index ex USA (International) | -1.92 | 3.64 | -3.59 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.78% | 6.51% | 6.66% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 8.78 | 7.02 | 6.24 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.71 |
CPI | |||
Consumer Price Index | 1.69% | 2.20% | 2.07% |
3
modest. As yields tumble, the scope for further declines—and price increases—diminishes.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%, keeping a tight lid on the returns from money market funds and savings accounts.
A strong advance for bank stocks propelled the value fund’s return
A heavy allocation to the financial sector worked to the benefit of the Russell 2000 Value Index Fund in the 12-month period. On average, financial stocks accounted for more than one-third of this fund’s holdings, compared with less than one-tenth of holdings for the Growth Index Fund.
Bank shares enjoyed outsized gains as investors seemed more confident that lenders were getting past the lingering effects of mortgage defaults associated with the U.S. housing downturn. Hopes for a housing recovery also appeared to be behind the sharp rally in the stocks of home builders, further bolstering the performance of the value fund.
The growth fund, meanwhile, got a lift from its holdings among biotechnology and information technology stocks. Biotech stocks were boosted by merger-and-acquisition activity, as well as by progress on experimental therapies. Information technology shares were buoyed by consumer and business demand that remained healthy despite mediocre U.S. economic growth.
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 | 0.21 | 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 fiscal year ended August 31, 2012, the funds’ 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, 0.08% for Institutional Shares (annualized since inception July 13) and 0.20% for ETF Shares; for the Russell 2000 Growth Index Fund, 0.08% for Institutional Shares and 0.20% 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 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
Investment insight |
Why are some stocks in both the growth and value indexes? |
If you look closely at many value and growth indexes—and the funds that |
seek to track them—you’ll notice that they have some of the same |
holdings. Johnson & Johnson, for example, was among the holdings in |
both the Russell 1000 Growth Index and the Russell 1000 Value Index as |
of August 31, 2012. |
The overlap is a result of the method-ology used to create and update the |
indexes. Here’s how it works: The index provider ranks all the stocks in a |
broader “parent” index according to growth and value metrics. Some of |
the stocks will be classified as purely growth or purely value. But a portion |
will fall in between, with characteris-tics of each. |
This type of stock will then be divided between the indexes. If it’s closer to |
the growth end of the spectrum, more of its market capitalization will |
be assigned to the growth index—and vice versa if it’s a value-oriented stock. |
This method can reduce the number of stocks that drift entirely out of one |
index and into another. And that, in turn, can lead to lower transaction |
costs and greater tax efficiency for index funds. |
As for weak spots, the energy sector hurt the performance of all three of the Russell 2000 Index Funds. Energy stocks suffered from a variety of factors, including a decline in crude oil prices, historically low natural gas prices, and continued uncertainties about global economic growth.
Since inception, all three funds have closely tracked their indexes
Since their inceptions on September 20, 2010, the Russell 2000 Index Funds have successfully captured the returns of their benchmark indexes despite persistent stock market volatility. Turbulent markets can create challenges for index fund advisors, who must manage purchases and sales in the face of fast-changing prices to minimize the gap between fund and index returns. All three funds have met these challenges.
This performance is a credit to Vanguard Equity Investment Group, the funds’ advisor, whose deep experience and sophisticated portfolio construction and management techniques have kept returns on track. The funds’ low expense ratios have helped as well.
The rise of index funds and the merits of active management
Today, index funds enjoy a degree of acceptance that was unimaginable in 1976, when Vanguard introduced the first index mutual fund for individual investors. Even when I began my career at Vanguard in 1986, index funds were still very much in a fledgling phase.
5
In the intervening decades, they have steadily gained acceptance, a trend that seems to have accelerated with the rise of index-tracking ETFs. In the past five years, according to research company Strategic Insight, stock fund investors have directed just about all of their net new investments into index funds, both the conventional variety and ETFs.
The benefits of index funds, such as the Russell 2000 Index Funds, are crystal clear: low costs, diversification across a market or a segment of a market, and limited deviation from the returns of market benchmark indexes. But what about actively managed funds? Although Vanguard is an indexing leader, we also offer actively managed funds that give investors the chance to outperform market indexes.
Make no mistake: Outperformance is hard to come by. Nevertheless, we believe we can enhance investors’ chances of success
by searching the globe for best-in-class investment managers and offering their services to our clients at a low cost.
Whether your portfolio includes index funds, active funds, or a combination, we believe that adhering to a few basic tenets can help put you in a position to meet your long-term financial goals. So consider maintaining a balanced portfolio diversified with stocks, bonds, and cash; save more than you think you’ll need; keep an eye on costs; and last, but never least, have a plan and stick with it.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
September 20, 2012
A note on expense ratios |
The Expense Ratios table in each shareholder 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 the fund’s actual expenses for the fiscal |
year, a more relevant tally of the operating costs incurred by shareholders. |
6
Your Fund’s Performance at a Glance | ||||
August 31, 2011, Through August 31, 2012 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Russell 2000 Index Fund | ||||
Institutional Shares | $110.21 | $123.77 | $1.072 | $0.000 |
ETF Shares | 57.66 | 64.74 | 0.538 | 0.000 |
Vanguard Russell 2000 Value Index Fund | ||||
Institutional Shares (Inception: 7/13/2012) | $120.40 | $122.12 | $0.000 | $0.000 |
ETF Shares | 55.14 | 61.97 | 0.720 | 0.000 |
Vanguard Russell 2000 Growth Index Fund | ||||
Institutional Shares | $114.21 | $128.23 | $0.455 | $0.000 |
ETF Shares | 60.02 | 67.37 | 0.185 | 0.000 |
7
Russell 2000 Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VRTIX | VTWO |
Expense Ratio1 | 0.15% | 0.22% |
30-Day SEC Yield | 1.36% | 1.29% |
Portfolio Characteristics | |||
DJ | |||
Russell | U.S. Total | ||
2000 | Market | ||
Fund | Index | Index | |
Number of Stocks | 1,989 | 1,983 | 3,678 |
Median Market Cap | $1.2B | $1.2B | $34.9B |
Price/Earnings Ratio | 23.6x | 23.4x | 16.3x |
Price/Book Ratio | 1.8x | 1.8x | 2.1x |
Return on Equity | 8.0% | 8.0% | 18.1% |
Earnings Growth Rate | 4.8% | 4.8% | 10.5% |
Dividend Yield | 1.5% | 1.4% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 35% | — | — |
Short-Term Reserves | -0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
Russell | U.S. Total | ||
2000 | Market | ||
Fund | Index | Index | |
Consumer Discretionary 13.9% | 13.9% | 12.1% | |
Consumer Staples | 3.6 | 3.6 | 9.8 |
Energy | 6.0 | 6.0 | 10.2 |
Financials | 21.7 | 21.7 | 15.9 |
Health Care | 13.3 | 13.2 | 11.7 |
Industrials | 14.8 | 14.9 | 10.6 |
Information Technology 17.4 | 17.4 | 19.5 | |
Materials | 4.9 | 4.9 | 3.8 |
Telecommunication | |||
Services | 0.7 | 0.7 | 2.8 |
Utilities | 3.7 | 3.7 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Pharmacyclics Inc. | Biotechnology | 0.3% |
Two Harbors Investment | ||
Corp. | Mortgage REITs | 0.3 |
athenahealth Inc. | Health Care | |
Technology | 0.3 | |
HMS Holdings Corp. | Health Care | |
Services | 0.3 | |
Cubist Pharmaceuticals | ||
Inc. | Biotechnology | 0.3 |
Dril-Quip Inc. | Oil & Gas | |
Equipment & | ||
Services | 0.2 | |
United Natural Foods | ||
Inc. | Food Distributors | 0.2 |
Ocwen Financial Corp. | Thrifts & Mortgage | |
Finance | 0.2 | |
Starwood Property Trust | ||
Inc. | Mortgage REITs | 0.2 |
Acuity Brands Inc. | Electrical | |
Components & | ||
Equipment | 0.2 | |
Top Ten | 2.5% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx10x1.jpg)
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For
the fiscal year ended August 31, 2012, the 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.
Cumulative Performance: September 20, 2010, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx11x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 2000 Index Fund ETF Shares | ||||
Net Asset Value | 13.30% | 11.79% | $12,423 | |
Russell 2000 Index Fund ETF Shares | ||||
Market Price | 13.40 | 11.81 | 12,427 | |
•••••••• | Russell 2000 Index | 13.40 | 11.88 | 12,442 |
– – – – | Small-Cap Core Funds Average | 11.15 | 10.89 | 12,228 |
Dow Jones U.S. Total Stock Market | ||||
Index | 16.74 | 13.20 | 12,729 |
Small-Cap Core Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (12/22/2010) | Investment | |
Russell 2000 Index Fund Institutional Shares | 13.37% | 2.98% | $5,254,509 |
Russell 2000 Index | 13.40 | 2.99 | 5,255,539 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 7.84 | 5,681,096 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
9
Russell 2000 Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Index Fund ETF Shares Market | ||
Price | 13.40% | 24.27% |
Russell 2000 Index Fund ETF Shares Net | ||
Asset Value | 13.30 | 24.23 |
Russell 2000 Index | 13.40 | 24.42 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2012
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx12x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2012
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 | -2.09% | 2.04% |
ETF Shares | 9/20/2010 | ||
Market Price | -2.08 | 11.82 | |
Net Asset Value | -2.15 | 11.79 |
10
Russell 2000 Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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 | |||
Wolverine World Wide Inc. | 14,596 | 686 | 0.2% |
* Cabela’s Inc. | 13,990 | 672 | 0.2% |
Six Flags Entertainment Corp. | 11,899 | 657 | 0.2% |
Consumer Discretionary—Other † | 46,515 | 13.2% | |
48,530 | 13.8% | ||
Consumer Staples | |||
* United Natural Foods Inc. | 14,648 | 842 | 0.2% |
* Hain Celestial Group Inc. | 11,054 | 763 | 0.2% |
Consumer Staples—Other † | 11,092 | 3.2% | |
12,697 | 3.6% | ||
Energy | |||
* Dril-Quip Inc. | 12,054 | 844 | 0.3% |
Energy XXI Bermuda Ltd. | 23,655 | 778 | 0.2% |
* Kodiak Oil & Gas Corp. | 79,038 | 707 | 0.2% |
* Oasis Petroleum Inc. | 23,959 | 703 | 0.2% |
* Rosetta Resources Inc. | 15,865 | 681 | 0.2% |
Energy—Other † | 17,222 | 4.9% | |
20,935 | 6.0% | ||
Financials | |||
Two Harbors Investment Corp. | 83,780 | 971 | 0.3% |
* Ocwen Financial Corp. | 32,233 | 829 | 0.2% |
Starwood Property Trust Inc. | 34,904 | 822 | 0.2% |
Omega Healthcare Investors Inc. | 31,732 | 762 | 0.2% |
Highwoods Properties Inc. | 22,172 | 723 | 0.2% |
CYS Investments Inc. | 49,968 | 719 | 0.2% |
Invesco Mortgage Capital Inc. | 34,612 | 709 | 0.2% |
LaSalle Hotel Properties | 25,684 | 700 | 0.2% |
Hancock Holding Co. | 22,882 | 678 | 0.2% |
ARMOUR Residential REIT Inc. | 89,218 | 666 | 0.2% |
Financials—Other † | 68,962 | 19.7% | |
76,541 | 21.8% |
11
Russell 2000 Index Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Health Care | |||
* Pharmacyclics Inc. | 16,319 | 1,092 | 0.3% |
* athenahealth Inc. | 10,751 | 950 | 0.3% |
* HMS Holdings Corp. | 25,782 | 888 | 0.3% |
* Cubist Pharmaceuticals Inc. | 18,996 | 878 | 0.2% |
* Seattle Genetics Inc. | 28,506 | 757 | 0.2% |
* Cepheid Inc. | 19,678 | 743 | 0.2% |
* WellCare Health Plans Inc. | 12,923 | 733 | 0.2% |
* Align Technology Inc. | 21,547 | 731 | 0.2% |
* Questcor Pharmaceuticals Inc. | 16,123 | 700 | 0.2% |
* Alkermes plc | 36,718 | 674 | 0.2% |
Health Care—Other † | 38,288 | 10.9% | |
46,434 | 13.2% | ||
Industrials | |||
Acuity Brands Inc. | 12,699 | 815 | 0.3% |
* Genesee & Wyoming Inc. Class A | 12,151 | 772 | 0.2% |
* Dollar Thrifty Automotive Group Inc. | 8,410 | 733 | 0.2% |
CLARCOR Inc. | 15,069 | 725 | 0.2% |
Woodward Inc. | 20,739 | 724 | 0.2% |
* Alaska Air Group Inc. | 21,324 | 715 | 0.2% |
* Teledyne Technologies Inc. | 11,024 | 711 | 0.2% |
Robbins & Myers Inc. | 11,549 | 691 | 0.2% |
* Hexcel Corp. | 29,865 | 677 | 0.2% |
Watsco Inc. | 8,819 | 665 | 0.2% |
Industrials—Other † | 44,657 | 12.7% | |
51,885 | 14.8% | ||
Information Technology | |||
* Cirrus Logic Inc. | 19,339 | 806 | 0.2% |
* Ultimate Software Group Inc. | 7,987 | 792 | 0.2% |
* Wright Express Corp. | 11,656 | 767 | 0.2% |
* Parametric Technology Corp. | 35,863 | 762 | 0.2% |
* CoStar Group Inc. | 8,460 | 687 | 0.2% |
* Aspen Technology Inc. | 28,065 | 684 | 0.2% |
* CommVault Systems Inc. | 13,396 | 675 | 0.2% |
* Aruba Networks Inc. | 33,535 | 659 | 0.2% |
Information Technology—Other † | 55,004 | 15.7% | |
60,836 | 17.3% | ||
Materials † | 17,017 | 4.9% | |
Telecommunication Services † | 2,504 | 0.7% | |
Utilities | |||
Cleco Corp. | 18,271 | 748 | 0.2% |
Piedmont Natural Gas Co. Inc. | 21,500 | 671 | 0.2% |
Utilities—Other † | 11,383 | 3.3% | |
12,802 | 3.7% | ||
Total Common Stocks (Cost $340,602) | 350,181 | 99.8%1 |
12
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 | 0.158% | 1,009,000 | 1,009 | 0.3% |
4U.S. Government and Agency Obligations † | 100 | 0.0% | ||
Total Temporary Cash Investments (Cost $1,110) | 1,109 | 0.3%1 | ||
5Total Investments (Cost $341,712) | 351,290 | 100.1% | ||
Other Assets and Liabilities | ||||
Other Assets | 6,718 | 1.9% | ||
Liabilities3 | (7,233) | (2.0%) | ||
(515) | (0.1%) | |||
Net Assets | 350,775 | 100.0% |
At August 31, 2012, net assets consisted of:
Amount | |
($000) | |
Paid-in Capital | 344,249 |
Undistributed Net Investment Income | 2,245 |
Accumulated Net Realized Losses | (5,308) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 9,579 |
Futures Contracts | 10 |
Net Assets | 350,775 |
Institutional Shares—Net Assets | |
Applicable to 1,631,004 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 201,876 |
Net Asset Value Per Share—Institutional Shares | $123.77 |
ETF Shares—Net Assets | |
Applicable to 2,300,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 148,899 |
Net Asset Value Per Share—ETF Shares | $64.74 |
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 0.1%, 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 $909,000 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 $824,000.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an intergal part of the Financial Statements.
13
Russell 2000 Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,053 |
Interest1 | 2 |
Security Lending | 87 |
Total Income | 3,142 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 13 |
Management and Administrative—Institutional Shares | 6 |
Management and Administrative—ETF Shares | 55 |
Marketing and Distribution—Institutional Shares | 33 |
Marketing and Distribution—ETF Shares | 15 |
Custodian Fees | 68 |
Auditing Fees | 15 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 3 |
Total Expenses | 208 |
Net Investment Income | 2,934 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (1,412) |
Futures Contracts | 430 |
Realized Net Gain (Loss) | (982) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 18,930 |
Futures Contracts | (7) |
Change in Unrealized Appreciation (Depreciation) | 18,923 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,875 |
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.
14
Russell 2000 Index Fund
Statement of Changes in Net Assets
Sept. 20, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,934 | 774 |
Realized Net Gain (Loss) | (982) | 2,420 |
Change in Unrealized Appreciation (Depreciation) | 18,923 | (9,334) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,875 | (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 | 112,757 | 83,851 |
ETF Shares | 111,403 | 29,492 |
Net Increase (Decrease) from Capital Share Transactions | 224,160 | 113,343 |
Total Increase (Decrease) | 243,656 | 107,119 |
Net Assets | ||
Beginning of Period | 107,119 | — |
End of Period2 | 350,775 | 107,119 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $2,245,000 and $690,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 2000 Index Fund
Financial Highlights
Institutional Shares | ||
Year | Dec. 22, | |
Ended | 20101 to | |
August 31, | August 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 | 1.7332 | .652 |
Net Realized and Unrealized Gain (Loss) on Investments | 12.899 | (9.340) |
Total from Investment Operations | 14.632 | (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 | $123.77 | $110.21 |
Total Return | 13.37% | -7.31% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $202 | $78 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 1.52% | 1.21%3 |
Portfolio Turnover Rate4 | 35% | 34% |
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 | ||
Year | Sept. 20, | |
Ended | 20101 to | |
August 31, | August 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 | .8692 | .575 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.749 | 4.531 |
Total from Investment Operations | 7.618 | 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 | $64.74 | $57.66 |
Total Return | 13.30% | 9.64% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $149 | $29 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 1.45% | 1.14%3 |
Portfolio Turnover Rate4 | 35% | 34% |
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. 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).
During the year ended August 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
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, 2011–2012), 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
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Russell 2000 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 August 31, 2012, the fund had contributed capital of $42,000 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 August 31, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 350,180 | — | 1 |
Temporary Cash Investments | 1,009 | 100 | — |
Futures Contracts—Assets1 | 3 | — | — |
Total | 351,192 | 100 | 1 |
1 Represents variation margin on the last day of the reporting period. |
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Russell 2000 Index Fund
D. At August 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Number of | Aggregate | Unrealized | ||
Long (Short) | Settlement Value | Appreciation | ||
Futures | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini Russell 2000 Index | September 2012 | 9 | 730 | 10 |
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 year ended August 31, 2012, the fund realized $3,328,000 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.
For tax purposes, at August 31, 2012, the fund had $2,266,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $5,249,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $341,763,000. Net unrealized appreciation of investment securities for tax purposes was $9,527,000, consisting of unrealized gains of $29,029,000 on securities that had risen in value since their purchase and $19,502,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2012, the fund purchased $313,991,000 of investment securities and sold $87,970,000 of investment securities, other than temporary cash investments. Purchases and sales include $129,831,000 and $17,489,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
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Russell 2000 Index Fund
G. Capital share transactions for each class of shares were:
Year Ended August 31, | Inception1 to August 31, | |||
2012 | 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 149,881 | 1,222 | 90,835 | 767 |
Issued in Lieu of Cash Distributions | 809 | 7 | 16 | — |
Redeemed | (37,933) | (308) | (7,000) | (57) |
Net Increase (Decrease)—Institutional Shares | 112,757 | 921 | 83,851 | 710 |
ETF Shares | ||||
Issued | 129,895 | 2,100 | 59,242 | 1,000 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (18,492) | (300) | (29,750) | (500) |
Net Increase (Decrease)—ETF Shares | 111,403 | 1,800 | 29,492 | 500 |
1 Inception was September 20, 2010, for the ETF Shares and December 22, 2010, for the Institutional Shares. |
H. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
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Russell 2000 Value Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VRTVX | VTWV |
Expense Ratio1 | 0.21% | 0.33% |
30-Day SEC Yield | 2.03% | 1.91% |
Portfolio Characteristics | |||
Russell | DJ | ||
2000 | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 1,413 | 1,412 | 3,678 |
Median Market Cap | $1.0B | $1.0B | $34.9B |
Price/Earnings Ratio | 19.6x | 19.5x | 16.3x |
Price/Book Ratio | 1.2x | 1.2x | 2.1x |
Return on Equity | 5.4% | 5.4% | 18.1% |
Earnings Growth Rate | -0.2% | -0.2% | 10.5% |
Dividend Yield | 2.2% | 2.2% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 40% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
Russell | DJ | ||
2000 | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Consumer Discretionary 11.4% | 11.5% | 12.1% | |
Consumer Staples | 2.5 | 2.6 | 9.8 |
Energy | 6.4 | 6.4 | 10.2 |
Financials | 36.5 | 36.2 | 15.9 |
Health Care | 4.9 | 4.9 | 11.7 |
Industrials | 12.9 | 13.0 | 10.6 |
Information Technology 12.6 | 12.6 | 19.5 | |
Materials | 5.3 | 5.3 | 3.8 |
Telecommunication | |||
Services | 0.6 | 0.6 | 2.8 |
Utilities | 6.9 | 6.9 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Two Harbors Investment | ||
Corp. | Mortgage REITs | 0.6% |
Starwood Property Trust | ||
Inc. | Mortgage REITs | 0.5 |
Ocwen Financial Corp. | Thrifts & Mortgage | |
Finance | 0.4 | |
Cleco Corp. | Electric Utilities | 0.4 |
CYS Investments Inc. | Mortgage REITs | 0.4 |
Invesco Mortgage | ||
Capital Inc. | Mortgage REITs | 0.4 |
LaSalle Hotel Properties | Specialized REITs | 0.4 |
Hancock Holding Co. | Regional Banks | 0.4 |
ARMOUR Residential | ||
REIT Inc. | Mortgage REITs | 0.4 |
Entertainment Properties | ||
Trust | Specialized REITs | 0.4 |
Top Ten | 4.3% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx24x1.jpg)
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For
the fiscal year ended August 31, 2012, the expense ratios were 0.08% for Institutional Shares (annualized since inception July 13) and 0.20%
for ETF Shares.
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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.
Cumulative Performance: September 20, 2010, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx25x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 2000 Value Index FundETF | ||||
Shares Net Asset Value | 13.81% | 10.11% | $12,061 | |
Russell 2000 Value Index FundETF | ||||
Shares Market Price | 13.58 | 9.93 | 12,023 | |
•••••••• | Russell 2000 Value Index | 14.08 | 10.29 | 12,101 |
– – – – | Small-Cap Value Funds Average | 12.13 | 9.81 | 11,997 |
Dow Jones U.S. Total Stock Market | ||||
Index | 16.74 | 13.20 | 12,729 |
Small-Cap Value Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Total Returns | ||
Period Ended August 31, 2012 | ||
Since | Final Value | |
Inception | of a $5,000,000 | |
(7/13/2012) | Investment | |
Russell 2000 Value Index Fund Institutional | ||
Shares | 1.43% | $5,071,429 |
Russell 2000 Value Index | 1.44 | 5,071,850 |
Dow Jones U.S. Total Stock Market Index | 3.63 | 5,181,733 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
23
Russell 2000 Value Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Value Index FundETF Shares | ||
Market Price | 13.58% | 20.23% |
Russell 2000 Value Index FundETF Shares | ||
Net Asset Value | 13.81 | 20.61 |
Russell 2000 Value Index | 14.08 | 21.01 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2012
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx26x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2012
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 | -1.58% | 9.85% | |
Net Asset Value | -1.57 | 9.89 |
24
Russell 2000 Value Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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. | 2,470 | 87 | 0.3% |
Dana Holding Corp. | 5,529 | 76 | 0.3% |
Consumer Discretionary—Other † | 2,637 | 10.8% | |
2,800 | 11.4% | ||
Consumer Staples † | 624 | 2.6% | |
Energy | |||
* Helix Energy Solutions Group Inc. | 4,396 | 77 | 0.3% |
Bristow Group Inc. | 1,494 | 70 | 0.3% |
Energy—Other † | 1,410 | 5.8% | |
1,557 | 6.4% | ||
Financials | |||
Two Harbors Investment Corp. | 11,607 | 135 | 0.6% |
Starwood Property Trust Inc. | 4,836 | 114 | 0.5% |
* Ocwen Financial Corp. | 4,199 | 108 | 0.4% |
CYS Investments Inc. | 6,925 | 100 | 0.4% |
Invesco Mortgage Capital Inc. | 4,797 | 98 | 0.4% |
LaSalle Hotel Properties | 3,559 | 97 | 0.4% |
Hancock Holding Co. | 3,171 | 94 | 0.4% |
ARMOUR Residential REIT Inc. | 12,329 | 92 | 0.4% |
Entertainment Properties Trust | 1,946 | 89 | 0.4% |
Prosperity Bancshares Inc. | 1,975 | 83 | 0.3% |
Susquehanna Bancshares Inc. | 7,815 | 82 | 0.3% |
Alterra Capital Holdings Ltd. | 3,566 | 82 | 0.3% |
Colonial Properties Trust | 3,657 | 80 | 0.3% |
RLJ Lodging Trust | 4,440 | 79 | 0.3% |
Healthcare Realty Trust Inc. | 3,251 | 79 | 0.3% |
CNO Financial Group Inc. | 8,842 | 79 | 0.3% |
American Realty Capital Trust Inc. | 6,610 | 78 | 0.3% |
First American Financial Corp. | 4,027 | 78 | 0.3% |
25
Russell 2000 Value Index Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
DiamondRock Hospitality Co. | 7,823 | 75 | 0.3% |
FirstMerit Corp. | 4,574 | 72 | 0.3% |
Prospect Capital Corp. | 6,181 | 71 | 0.3% |
Apollo Investment Corp. | 8,469 | 68 | 0.3% |
CubeSmart | 5,146 | 66 | 0.3% |
UMB Financial Corp. | 1,338 | 66 | 0.3% |
DCT Industrial Trust Inc. | 10,312 | 65 | 0.3% |
Webster Financial Corp. | 3,014 | 64 | 0.3% |
Financials—Other † | 6,732 | 27.5% | |
8,926 | 36.5% | ||
Health Care | |||
* ViroPharma Inc. | 2,890 | 77 | 0.3% |
Health Care—Other † | 1,114 | 4.6% | |
1,191 | 4.9% | ||
Industrials | |||
EMCOR Group Inc. | 2,778 | 77 | 0.3% |
* Esterline Technologies Corp. | 1,276 | 76 | 0.3% |
Actuant Corp. Class A | 2,449 | 69 | 0.3% |
Geo Group Inc. | 2,567 | 68 | 0.3% |
Industrials—Other † | 2,864 | 11.7% | |
3,154 | 12.9% | ||
Information Technology | |||
Convergys Corp. | 4,867 | 76 | 0.3% |
Information Technology—Other † | 2,999 | 12.3% | |
3,075 | 12.6% | ||
Materials | |||
* Louisiana-Pacific Corp. | 5,743 | 77 | 0.3% |
Sensient Technologies Corp. | 2,084 | 75 | 0.3% |
Materials—Other † | 1,153 | 4.7% | |
1,305 | 5.3% | ||
Telecommunication Services † | 149 | 0.6% | |
Utilities | |||
Cleco Corp. | 2,532 | 104 | 0.4% |
IDACORP Inc. | 2,083 | 86 | 0.4% |
Piedmont Natural Gas Co. Inc. | 2,731 | 85 | 0.4% |
Portland General Electric Co. | 3,140 | 84 | 0.3% |
WGL Holdings Inc. | 2,149 | 84 | 0.3% |
Southwest Gas Corp. | 1,918 | 82 | 0.3% |
* GenOn Energy Inc. | 32,236 | 82 | 0.3% |
New Jersey Resources Corp. | 1,733 | 78 | 0.3% |
UIL Holdings Corp. | 2,108 | 74 | 0.3% |
PNM Resources Inc. | 3,325 | 68 | 0.3% |
UNS Energy Corp. | 1,681 | 67 | 0.3% |
ALLETE Inc. | 1,594 | 66 | 0.3% |
Utilities—Other † | 738 | 3.0% | |
1,698 | 6.9% | ||
Total Common Stocks (Cost $23,969) | 24,479 | 100.1% |
26
Russell 2000 Value Index Fund
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investment | ||||
Money Market Fund | ||||
1 Vanguard Market Liquidity Fund | ||||
(Cost $15) | 0.158% | 15,000 | 15 | 0.1% |
Total Investments (Cost $23,984) | 24,494 | 100.2% | ||
Other Assets and Liabilities | ||||
Other Assets | 47 | 0.2% | ||
Liabilities | (84) | (0.4%) | ||
(37) | (0.2%) | |||
Net Assets | 24,457 | 100.0% | ||
At August 31, 2012, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 24,090 | |||
Undistributed Net Investment Income | 166 | |||
Accumulated Net Realized Losses | (309) | |||
Unrealized Appreciation (Depreciation) | 510 | |||
Net Assets | 24,457 | |||
Institutional Shares—Net Assets | ||||
Applicable to 48,046 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 5,867 | |||
Net Asset Value Per Share—Institutional Shares | $122.12 | |||
ETF Shares—Net Assets | ||||
Applicable to 300,000 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 18,590 | |||
Net Asset Value Per Share—ETF Shares | $61.97 |
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 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.
27
Russell 2000 Value Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 279 |
Total Income | 279 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | — |
Management and Administrative—ETF Shares | 3 |
Custodian Fees | 5 |
Auditing Fees | 15 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 1 |
Total Expenses | 24 |
Net Investment Income | 255 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 879 |
Futures Contracts | 21 |
Realized Net Gain (Loss) | 900 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 206 |
Futures Contracts | (1) |
Change in Unrealized Appreciation (Depreciation) | 205 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,360 |
See accompanying Notes, which are an integral part of the Financial Statements.
28
Russell 2000 Value Index Fund
Statement of Changes in Net Assets
Sept. 20, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 255 | 107 |
Realized Net Gain (Loss) | 900 | 345 |
Change in Unrealized Appreciation (Depreciation) | 205 | 305 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,360 | 757 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | — | — |
ETF Shares | (144) | (42) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (144) | (42) |
Capital Share Transactions | ||
Institutional Shares | 5,782 | — |
ETF Shares | 918 | 15,826 |
Net Increase (Decrease) from Capital Share Transactions | 6,700 | 15,826 |
Total Increase (Decrease) | 7,916 | 16,541 |
Net Assets | ||
Beginning of Period | 16,541 | — |
End of Period2 | 24,457 | 16,541 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $166,000 and $55,000.
See accompanying Notes, which are an integral part of the Financial Statements.
29
Russell 2000 Value Index Fund
Financial Highlights
Institutional Shares | |
July 13, 20121 to | |
For a Share Outstanding Throughout the Period | August 31, 2012 |
Net Asset Value, Beginning of Period | $120.40 |
Investment Operations | |
Net Investment Income | .2762 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.444 |
Total from Investment Operations | 1.720 |
Distributions | |
Dividends from Net Investment Income | — |
Distributions from Realized Capital Gains | — |
Total Distributions | — |
Net Asset Value, End of Period | $122.12 |
Total Return | 1.43% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $6 |
Ratio of Total Expenses to Average Net Assets | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 2.14%3 |
Portfolio Turnover Rate4 | 40% |
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.
30
Russell 2000 Value Index Fund
Financial Highlights
ETF Shares | ||
Year | Sept. 20, | |
Ended | 20101 to | |
August 31, | August 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 | 1.1262 | .9212 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.424 | 2.249 |
Total from Investment Operations | 7.550 | 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 | $61.97 | $55.14 |
Total Return | 13.81% | 5.98% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $19 | $17 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 2.02% | 1.79%3 |
Portfolio Turnover Rate4 | 40% | 101% |
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.
31
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. Institutional Shares were first issued on July 13, 2012. 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.
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).
The fund had no open futures contracts at August 31, 2012. During the year ended August 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
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, 2011–2012), 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.
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
32
Russell 2000 Value Index Fund
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 August 31, 2012, the fund had contributed capital of $3,000 to Vanguard (included in Other Assets), representing 0.01% 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).
At August 31, 2012, 100% of the market value of the fund’s investments was determined 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.
During the year ended August 31, 2012, the fund realized $883,000 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.
For tax purposes, at August 31, 2012, the fund had $166,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $309,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $23,984,000. Net unrealized appreciation of investment securities for tax purposes was $510,000, consisting of unrealized gains of $1,283,000 on securities that had risen in value since their purchase and $773,000 in unrealized losses on securities that had fallen in value since their purchase.
33
Russell 2000 Value Index Fund
E. During the year ended August 31, 2012, the fund purchased $21,352,000 of investment securities and sold $14,395,000 of investment securities, other than temporary cash investments. Purchases and sales include $12,157,000 and $9,054,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2012 | 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares1 | ||||
Issued | 5,782 | 48 | — | — |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | — | — | — | — |
Net Increase (Decrease)—Institutional Shares | 5,782 | 48 | — | — |
ETF Shares1 | ||||
Issued | 12,178 | 200 | 21,329 | 400 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (11,260) | (200) | (5,503) | (100) |
Net Increase (Decrease)—ETF Shares | 918 | — | 15,826 | 300 |
1 Inception was September 20, 2010, for ETF Shares, and July 13, 2012, for Institutional Shares.
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
34
Russell 2000 Growth Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VRTGX | VTWG |
Expense Ratio1 | 0.08% | 0.20% |
30-Day SEC Yield | 0.64% | 0.52% |
Portfolio Characteristics | |||
Russell | DJ | ||
2000 | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 1,124 | 1,117 | 3,678 |
Median Market Cap | $1.3B | $1.3B | $34.9B |
Price/Earnings Ratio | 29.4x | 29.3x | 16.3x |
Price/Book Ratio | 3.3x | 3.3x | 2.1x |
Return on Equity | 11.1% | 11.1% | 18.1% |
Earnings Growth Rate | 9.6% | 9.7% | 10.5% |
Dividend Yield | 0.7% | 0.7% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 51% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
Russell | DJ | ||
2000 | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Consumer Discretionary 16.3% | 16.4% | 12.1% | |
Consumer Staples | 4.7 | 4.7 | 9.8 |
Energy | 5.6 | 5.6 | 10.2 |
Financials | 7.0 | 7.0 | 15.9 |
Health Care | 21.8 | 21.7 | 11.7 |
Industrials | 16.8 | 16.8 | 10.6 |
Information Technology 22.3 | 22.3 | 19.5 | |
Materials | 4.4 | 4.4 | 3.8 |
Telecommunication | |||
Services | 0.8 | 0.8 | 2.8 |
Utilities | 0.3 | 0.3 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Pharmacyclics Inc. | Biotechnology | 0.6% |
athenahealth Inc. | Health Care | |
Technology | 0.5 | |
HMS Holdings Corp. | Health Care | |
Services | 0.5 | |
Cubist Pharmaceuticals | ||
Inc. | Biotechnology | 0.5 |
Dril-Quip Inc. | Oil & Gas | |
Equipment & | ||
Services | 0.5 | |
United Natural Foods | ||
Inc. | Food Distributors | 0.5 |
Acuity Brands Inc. | Electrical | |
Components & | ||
Equipment | 0.5 | |
Cirrus Logic Inc. | Semiconductors | 0.5 |
Ultimate Software Group | Application | |
Inc. | Software | 0.5 |
Genesee & Wyoming | ||
Inc. Class A | Railroads | 0.4 |
Top Ten | 5.0% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx37x1.jpg)
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For
the fiscal year ended August 31, 2012, the expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
35
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.
Cumulative Performance: September 20, 2010, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx38x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 2000 Growth Index FundETF | ||||
Shares Net Asset Value | 12.58% | 13.26% | $12,743 | |
Russell 2000 Growth Index FundETF | ||||
Shares Market Price | 12.73 | 13.28 | 12,746 | |
•••••••• | Russell 2000 Growth Index | 12.72 | 13.41 | 12,775 |
– – – – | Small-Cap Growth Funds Average | 11.62 | 12.57 | 12,591 |
Dow Jones U.S. Total Stock Market | ||||
Index | 16.74 | 13.20 | 12,729 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (5/25/2011) | Investment | |
Russell 2000 Growth Index Fund Institutional | |||
Shares | 12.72% | 0.12% | $5,007,479 |
Russell 2000 Growth Index | 12.72 | 0.16 | 5,009,968 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 5.96 | 5,381,195 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
Russell 2000 Growth Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Growth Index FundETF Shares | ||
Market Price | 12.73% | 27.46% |
Russell 2000 Growth Index FundETF Shares | ||
Net Asset Value | 12.58 | 27.43 |
Russell 2000 Growth Index | 12.72 | 27.75 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2012
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx39x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2012
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 | -2.75% | -1.47% |
ETF Shares | 9/20/2010 | ||
Market Price | -2.91 | 13.44 | |
Net Asset Value | -2.87 | 13.49 |
37
Russell 2000 Growth Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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 | |
Consumer Stocks | |||
Consumer Discretionary | |||
Wolverine World Wide Inc. | 8,997 | 423 | 0.4% |
Six Flags Entertainment Corp. | 7,333 | 405 | 0.4% |
Brunswick Corp. | 16,510 | 391 | 0.4% |
Domino’s Pizza Inc. | 10,703 | 379 | 0.3% |
* Cabela’s Inc. | 7,820 | 375 | 0.3% |
* Life Time Fitness Inc. | 7,336 | 348 | 0.3% |
Consumer Discretionary—Other † | 15,147 | 14.2% | |
17,468 | 16.3% | ||
Consumer Staples | |||
* United Natural Foods Inc. | 9,031 | 519 | 0.5% |
* Hain Celestial Group Inc. | 6,814 | 470 | 0.4% |
Casey’s General Stores Inc. | 7,039 | 398 | 0.4% |
Consumer Staples—Other † | 3,662 | 3.4% | |
5,049 | 4.7% | ||
Energy | |||
* Dril-Quip Inc. | 7,431 | 520 | 0.5% |
* Kodiak Oil & Gas Corp. | 48,724 | 436 | 0.4% |
* Oasis Petroleum Inc. | 14,769 | 433 | 0.4% |
* Rosetta Resources Inc. | 9,779 | 420 | 0.4% |
Berry Petroleum Co. Class A | 9,677 | 356 | 0.3% |
Energy XXI Bermuda Ltd. | 10,612 | 349 | 0.3% |
Energy—Other † | 3,466 | 3.3% | |
5,980 | 5.6% | ||
Financials | |||
Omega Healthcare Investors Inc. | 19,563 | 470 | 0.5% |
Highwoods Properties Inc. | 11,095 | 362 | 0.3% |
Financials—Other † | 6,623 | 6.2% | |
7,455 | 7.0% |
38
Russell 2000 Growth Index Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Health Care | |||
* Pharmacyclics Inc. | 10,061 | 673 | 0.6% |
* athenahealth Inc. | 6,628 | 586 | 0.6% |
* HMS Holdings Corp. | 15,896 | 548 | 0.5% |
* Cubist Pharmaceuticals Inc. | 11,712 | 541 | 0.5% |
* Seattle Genetics Inc. | 17,574 | 466 | 0.4% |
* Cepheid Inc. | 12,131 | 458 | 0.4% |
* Align Technology Inc. | 13,283 | 451 | 0.4% |
* Questcor Pharmaceuticals Inc. | 9,939 | 432 | 0.4% |
* Alkermes plc | 22,635 | 415 | 0.4% |
* Vivus Inc. | 18,431 | 395 | 0.4% |
* Centene Corp. | 9,513 | 386 | 0.4% |
* Jazz Pharmaceuticals plc | 7,675 | 349 | 0.3% |
Health Care—Other † | 17,617 | 16.5% | |
23,317 | 21.8% | ||
Industrials | |||
Acuity Brands Inc. | 7,829 | 502 | 0.5% |
* Genesee & Wyoming Inc. Class A | 7,491 | 476 | 0.4% |
CLARCOR Inc. | 9,289 | 447 | 0.4% |
Woodward Inc. | 12,784 | 447 | 0.4% |
* Alaska Air Group Inc. | 12,448 | 418 | 0.4% |
* Hexcel Corp. | 18,409 | 417 | 0.4% |
Watsco Inc. | 5,435 | 410 | 0.4% |
* Middleby Corp. | 3,460 | 398 | 0.4% |
* Old Dominion Freight Line Inc. | 8,781 | 393 | 0.4% |
* Chart Industries Inc. | 5,526 | 386 | 0.4% |
Industrials—Other † | 13,648 | 12.7% | |
17,942 | 16.8% | ||
Information Technology | |||
* Cirrus Logic Inc. | 11,922 | 497 | 0.5% |
* Ultimate Software Group Inc. | 4,923 | 488 | 0.5% |
* Wright Express Corp. | 7,185 | 473 | 0.4% |
* Parametric Technology Corp. | 22,110 | 470 | 0.4% |
* CoStar Group Inc. | 5,216 | 424 | 0.4% |
* CommVault Systems Inc. | 8,257 | 416 | 0.4% |
* Aruba Networks Inc. | 20,671 | 406 | 0.4% |
* Aspen Technology Inc. | 16,330 | 398 | 0.4% |
* 3D Systems Corp. | 8,651 | 378 | 0.4% |
FEI Co. | 6,584 | 354 | 0.3% |
Information Technology—Other † | 19,519 | 18.2% | |
23,823 | 22.3% | ||
Materials | |||
Eagle Materials Inc. | 8,369 | 357 | 0.3% |
Materials—Other † | 4,340 | 4.1% | |
4,697 | 4.4% | ||
Telecommunication Services † | 882 | 0.8% | |
Utilities † | 345 | 0.3% | |
Total Common Stocks (Cost $102,297) | 106,958 | 100.0% |
39
Russell 2000 Growth Index Fund
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investment | ||||
Money Market Fund | ||||
1 Vanguard Market Liquidity | ||||
Fund (Cost $1) | 0.158% | 1,259 | 1 | 0.0% |
Total Investments (Cost $102,298) | 106,959 | 100.0% | ||
Other Assets and Liabilities | ||||
Other Assets | 241 | 0.2% | ||
Liabilities | (225) | (0.2%) | ||
16 | 0.0% | |||
Net Assets | 106,975 | 100.0% | ||
At August 31, 2012, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 105,631 | |||
Undistributed Net Investment Income | 274 | |||
Accumulated Net Realized Losses | (3,591) | |||
Unrealized Appreciation (Depreciation) | 4,661 | |||
Net Assets | 106,975 | |||
Institutional Shares—Net Assets | ||||
Applicable to 676,642 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 86,764 | |||
Net Asset Value Per Share—Institutional Shares | $128.23 | |||
ETF Shares—Net Assets | ||||
Applicable to 300,000 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 20,211 | |||
Net Asset Value Per Share—ETF Shares | $67.37 |
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 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.
40
Russell 2000 Growth Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 437 |
Interest1 | 1 |
Total Income | 438 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 4 |
Management and Administrative—ETF Shares | 20 |
Custodian Fees | 21 |
Auditing Fees | 15 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 2 |
Total Expenses | 62 |
Net Investment Income | 376 |
Realized Net Gain (Loss) on Investment Securities Sold | (680) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 7,370 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,066 |
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.
41
Russell 2000 Growth Index Fund
Statement of Changes in Net Assets
Sept. 20, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 376 | 86 |
Realized Net Gain (Loss) | (680) | 112 |
Change in Unrealized Appreciation (Depreciation) | 7,370 | (2,709) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,066 | (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 | 59,621 | 23,736 |
ETF Shares | 6,536 | 12,707 |
Net Increase (Decrease) from Capital Share Transactions | 66,157 | 36,443 |
Total Increase (Decrease) | 73,060 | 33,915 |
Net Assets | ||
Beginning of Period | 33,915 | — |
End of Period2 | 106,975 | 33,915 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $274,000 and $61,000.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Russell 2000 Growth Index Fund
Financial Highlights
Institutional Shares | ||
Year | May 25, | |
Ended | 20111 to | |
August 31, | August 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 | .8592 | .228 |
Net Realized and Unrealized Gain (Loss) on Investments | 13.616 | (14.558) |
Total from Investment Operations | 14.475 | (14.330) |
Distributions | ||
Dividends from Net Investment Income | (.455) | — |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.455) | — |
Net Asset Value, End of Period | $128.23 | $114.21 |
Total Return | 12.72% | -11.15% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $87 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 0.75% | 0.57%3 |
Portfolio Turnover Rate4 | 51% | 78% |
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.
43
Russell 2000 Growth Index Fund
Financial Highlights
ETF Shares | ||
Year | Sept. 20, | |
Ended | 20101 to | |
August 31, | August 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 | .4022 | .258 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.133 | 6.762 |
Total from Investment Operations | 7.535 | 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 | $67.37 | $60.02 |
Total Return | 12.58% | 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%3 |
Ratio of Net Investment Income to Average Net Assets | 0.63% | 0.45%3 |
Portfolio Turnover Rate4 | 51% | 78% |
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.
44
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. 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.
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, 2011–2012), 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. 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 August 31, 2012, the fund had contributed capital of $10,000 to Vanguard (included in Other Assets), representing 0.01% 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.
45
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 August 31, 2012, 100% of the market value of the fund’s investments was determined 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.
During the year ended August 31, 2012, the fund realized $1,589,000 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.
For tax purposes, at August 31, 2012, the fund had $274,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $3,577,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $102,311,000. Net unrealized appreciation of investment securities for tax purposes was $4,648,000, consisting of unrealized gains of $8,544,000 on securities that had risen in value since their purchase and $3,896,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2012, the fund purchased $100,922,000 of investment securities and sold $34,606,000 of investment securities, other than temporary cash investments. Purchases and sales include $12,912,000 and $6,102,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
46
Russell 2000 Growth Index Fund
F. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 70,367 | 569 | 23,736 | 192 |
Issued in Lieu of Cash Distributions | 126 | 1 | — | — |
Redeemed | (10,872) | (85) | — | — |
Net Increase (Decrease) —Institutional Shares | 59,621 | 485 | 23,736 | 192 |
ETF Shares | ||||
Issued | 12,959 | 200 | 24,726 | 400 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (6,423) | (100) | (12,019) | (200) |
Net Increase (Decrease)—ETF Shares | 6,536 | 100 | 12,707 | 200 |
1 Inception was September 20, 2010, for the ETF Shares and May 25, 2011, for the Institutional Shares.
At August 31, 2012, two shareholders were each a record or beneficial owner of 28% or more of the fund’s net assets, with a combined ownership of 62%. If one of these shareholders were to redeem its 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 lead to the realization of taxable capital gains.
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
47
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 2000 Index Fund, Vanguard Russell 2000 Value Index Fund and Vanguard Russell 2000 Growth Index Fund:
In our opinion, the accompanying statements of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Russell 2000 Index Fund, Vanguard Russell 2000 Value Index Fund and Vanguard Russell 2000 Growth Index Fund (constituting separate portfolios of Vanguard Scottsdale Funds, hereafter referred to as the “Funds”) at August 31, 2012, and the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian and broker and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2012
48
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell2000indexx51x1.jpg)
Special 2012 tax information (unaudited) for Vanguard Russell 2000 Index Funds
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the
Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
Qualified Dividend Income | |
Fund | ($000) |
Russell 2000 Index Fund | 854 |
Russell 2000 Value Index Fund | 81 |
Russell 2000 Growth Index Fund | 163 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund | Percentage |
Russell 2000 Index Fund | 65.5% |
Russell 2000 Value Index Fund | 64.5 |
Russell 2000 Growth Index Fund | 90.5 |
49
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income , using actual prior-year figures and estimates for 2012. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for ETF Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: Russell 2000 Index Funds | ||
Periods Ended August 31, 2012 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Index Fund ETF Shares | ||
Returns Before Taxes | 13.30% | 11.79% |
Returns After Taxes on Distributions | 13.07 | 11.63 |
Returns After Taxes on Distributions and Sale of Fund Shares | 8.75 | 10.03 |
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Value Index Fund ETF Shares | ||
Returns Before Taxes | 13.81% | 10.11% |
Returns After Taxes on Distributions | 13.47 | 9.85 |
Returns After Taxes on Distributions and Sale of Fund Shares | 9.11 | 8.54 |
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Growth Index Fund ETF Shares | ||
Returns Before Taxes | 12.58% | 13.26% |
Returns After Taxes on Distributions | 12.53 | 13.21 |
Returns After Taxes on Distributions and Sale of Fund Shares | 8.24 | 11.36 |
50
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.
51
Six Months Ended August 31, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2012 | 8/31/2012 | Period | |
Based on Actual Fund Return | |||
Russell 2000 Index Fund | |||
Institutional Shares | $1,000.00 | $1,009.21 | $0.41 |
ETF Shares | 1,000.00 | 1,008.88 | 0.76 |
Russell 2000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,019.08 | $1.02 |
Russell 2000 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $998.05 | $0.40 |
ETF Shares | 1,000.00 | 997.48 | 1.01 |
Based on Hypothetical 5% Yearly Return | |||
Russell 2000 Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.45 | 0.77 |
Russell 2000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $1.02 |
Russell 2000 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.20 | 1.02 |
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.
The table does not include data for share classes with less than six months of history.
52
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Russell 2000 Index Fund, Russell 2000 Value Index Fund, and Russell 2000 Growth Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Equity Investment Group—serves as investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interest of the funds and their shareholders.
The board based its decision upon an evaluation of the 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 arrangement. 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 investment management services provided to the funds since their inception in 2010, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations and that their results have been consistent with their investment strategies. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratios charged by funds in its respective peer group and that the funds’ advisory fee rates were also well below their peer group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
53
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.
54
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.
55
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.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | |
Born 1948. Trustee Since January 2008. Principal | |
Occupation(s) During the Past Five Years: Executive | JoAnn Heffernan Heisen |
Chief Staff and Marketing Officer for North America | Born 1950. Trustee Since July 1998. Principal |
and Corporate Vice President (retired 2008) of Xerox | Occupation(s) During the Past Five Years: Corporate |
Corporation (document management products and | Vice President and Chief Global Diversity Officer |
services); Executive in Residence and 2010 | (retired 2008) and Member of the Executive |
Distinguished Minett Professor at the Rochester | Committee (1997–2008) of Johnson & Johnson |
Institute of Technology; Director of SPX Corporation | (pharmaceuticals/medical devices/consumer |
(multi-industry manufacturing), the United Way of | products); Director of Skytop Lodge Corporation |
Rochester, Amerigroup Corporation (managed health | (hotels), the University Medical Center at Princeton, |
care), the University of Rochester Medical Center, | the Robert Wood Johnson Foundation, and the Center |
Monroe Community College Foundation, and North | for Talent Innovation; Member of the Advisory Board |
Carolina A&T University. | of the Maxwell School of Citizenship and Public Affairs |
at Syracuse University. | |
Rajiv L. Gupta | |
Born 1945. Trustee Since December 2001.2 | F. Joseph Loughrey |
Principal Occupation(s) During the Past Five Years: | Born 1949. Trustee Since October 2009. Principal |
Chairman and Chief Executive Officer (retired 2009) | Occupation(s) During the Past Five Years: President |
and President (2006–2008) of Rohm and Haas Co. | and Chief Operating Officer (retired 2009) of Cummins |
(chemicals); Director of Tyco International, Ltd. | Inc. (industrial machinery); Director of SKF AB |
(diversified manufacturing and services), Hewlett- | (industrial machinery), Hillenbrand, Inc. (specialized |
Packard Co. (electronic computer manufacturing), | consumer services), the Lumina Foundation for |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Vanguard Senior ManagementTeam | |
Occupation(s) During the Past Five Years: Chairman, | ||
President, and Chief Executive Officer of NACCO | Mortimer J. Buckley | Michael S. Miller |
Industries, Inc. (forklift trucks/housewares/lignite); | Kathleen C. Gubanich | James M. Norris |
Director of Goodrich Corporation (industrial products/ | Paul A. Heller | Glenn W. Reed |
aircraft systems and services) and the National | Martha G. King | George U. Sauter |
Association of Manufacturers; Chairman of the Board | Chris D. McIsaac | |
of the Federal Reserve Bank of Cleveland and of | ||
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | Chairman Emeritus and Senior Advisor | |
John J. Brennan | ||
Peter F. Volanakis | Chairman, 1996–2009 | |
Born 1955. Trustee Since July 2009. Principal | Chief Executive Officer and President, 1996–2008 | |
Occupation(s) During the Past Five Years: President | ||
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | Founder | |
Overseer of the Amos Tuck School of Business | John C. Bogle | |
Administration at Dartmouth College; Advisor to the | Chairman and Chief Executive Officer, 1974–1996 | |
Norris Cotton Cancer Center. | ||
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 | |
Fund Information > 800-662-7447 | The Russell Indexes and Russell® are registered |
Direct Investor Account Services > 800-662-2739 | trademarks of Russell Investments and have been |
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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 | |
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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. | |
Q18510 102012 |
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.8%)1 | ||
Consumer Discretionary (13.8%) | ||
Wolverine World Wide Inc. | 14,596 | 686 |
* Cabela's Inc. | 13,990 | 672 |
Six Flags Entertainment Corp. | 11,899 | 657 |
Sotheby's | 20,317 | 635 |
Brunswick Corp. | 26,787 | 635 |
* Warnaco Group Inc. | 12,309 | 633 |
Rent-A-Center Inc. | 17,819 | 629 |
Domino's Pizza Inc. | 17,367 | 615 |
* Life Time Fitness Inc. | 12,812 | 608 |
Dana Holding Corp. | 44,292 | 605 |
Pool Corp. | 14,244 | 561 |
Vail Resorts Inc. | 10,801 | 557 |
* Tenneco Inc. | 18,205 | 553 |
Pier 1 Imports Inc. | 29,134 | 538 |
Cheesecake Factory Inc. | 16,199 | 538 |
* ANN Inc. | 14,632 | 521 |
* Genesco Inc. | 7,341 | 519 |
HSN Inc. | 11,374 | 512 |
* Steven Madden Ltd. | 11,778 | 506 |
* Select Comfort Corp. | 17,008 | 486 |
Men's Wearhouse Inc. | 15,270 | 483 |
* Coinstar Inc. | 9,388 | 480 |
* Vitamin Shoppe Inc. | 8,830 | 473 |
* Crocs Inc. | 26,969 | 472 |
* Hibbett Sports Inc. | 7,918 | 460 |
* Fifth & Pacific Cos. Inc. | 32,608 | 432 |
* Buffalo Wild Wings Inc. | 5,569 | 428 |
* Express Inc. | 26,827 | 419 |
* Children's Place Retail Stores Inc. | 7,279 | 414 |
* Jos A Bank Clothiers Inc. | 8,349 | 402 |
MDC Holdings Inc. | 11,469 | 398 |
* Iconix Brand Group Inc. | 21,258 | 398 |
* Collective Brands Inc. | 18,263 | 395 |
* Saks Inc. | 32,952 | 387 |
* Lumber Liquidators Holdings Inc. | 8,258 | 385 |
Buckle Inc. | 8,322 | 379 |
Group 1 Automotive Inc. | 6,876 | 378 |
* Lions Gate Entertainment Corp. | 25,438 | 376 |
* New York Times Co. Class A | 40,849 | 375 |
Cooper Tire & Rubber Co. | 18,689 | 374 |
* Francesca's Holdings Corp. | 10,433 | 369 |
Cracker Barrel Old Country Store Inc. | 5,771 | 363 |
Ryland Group Inc. | 13,379 | 359 |
* Live Nation Entertainment Inc. | 41,994 | 358 |
Meredith Corp. | 10,864 | 354 |
Finish Line Inc. Class A | 15,242 | 350 |
* Gaylord Entertainment Co. | 8,567 | 347 |
* Jack in the Box Inc. | 13,262 | 346 |
Bob Evans Farms Inc. | 8,740 | 344 |
* Meritage Homes Corp. | 9,175 | 342 |
* Aeropostale Inc. | 24,370 | 339 |
Penske Automotive Group Inc. | 12,732 | 339 |
Texas Roadhouse Inc. Class A | 18,716 | 321 |
* Shutterfly Inc. | 10,726 | 319 |
Monro Muffler Brake Inc. | 9,267 | 314 |
Jones Group Inc. | 24,627 | 312 |
Regis Corp. | 17,264 | 311 |
* BJ's Restaurants Inc. | 7,357 | 302 |
Hillenbrand Inc. | 16,538 | 300 |
* Valassis Communications Inc. | 11,928 | 299 |
* Helen of Troy Ltd. | 9,508 | 299 |
1
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Peet's Coffee & Tea Inc. | 3,975 | 292 |
Arbitron Inc. | 7,934 | 279 |
* Papa John's International Inc. | 5,380 | 277 |
* WMS Industries Inc. | 16,520 | 263 |
* Marriott Vacations Worldwide Corp. | 7,976 | 256 |
KB Home | 23,135 | 255 |
* Orient-Express Hotels Ltd. Class A | 29,039 | 255 |
Matthews International Corp. Class A | 8,458 | 253 |
* Grand Canyon Education Inc. | 11,983 | 253 |
* Shuffle Master Inc. | 16,481 | 250 |
Sturm Ruger & Co. Inc. | 5,743 | 249 |
* Skechers U.S.A. Inc. Class A | 11,351 | 246 |
National CineMedia Inc. | 16,816 | 244 |
* DineEquity Inc. | 4,587 | 243 |
Cato Corp. Class A | 8,222 | 241 |
Scholastic Corp. | 7,778 | 238 |
* Standard Pacific Corp. | 34,684 | 232 |
* Asbury Automotive Group Inc. | 8,349 | 231 |
Strayer Education Inc. | 3,559 | 231 |
Oxford Industries Inc. | 4,202 | 229 |
Churchill Downs Inc. | 3,904 | 223 |
* American Axle & Manufacturing Holdings Inc. | 19,999 | 223 |
International Speedway Corp. Class A | 8,310 | 221 |
* Ascent Capital Group Inc. Class A | 4,261 | 220 |
* Dorman Products Inc. | 7,345 | 217 |
Sonic Automotive Inc. Class A | 12,082 | 216 |
Interval Leisure Group Inc. | 11,630 | 215 |
* Steiner Leisure Ltd. | 4,582 | 214 |
* La-Z-Boy Inc. | 15,514 | 214 |
* Pinnacle Entertainment Inc. | 18,755 | 208 |
* iRobot Corp. | 8,238 | 208 |
Belo Corp. Class A | 28,055 | 205 |
Stage Stores Inc. | 9,195 | 197 |
Brown Shoe Co. Inc. | 12,849 | 193 |
Columbia Sportswear Co. | 3,677 | 192 |
* Zumiez Inc. | 6,568 | 192 |
Lithia Motors Inc. Class A | 6,500 | 190 |
Movado Group Inc. | 5,278 | 186 |
* American Public Education Inc. | 5,407 | 182 |
True Religion Apparel Inc. | 7,735 | 179 |
* AFC Enterprises Inc. | 7,304 | 175 |
Sinclair Broadcast Group Inc. Class A | 15,122 | 175 |
* Sonic Corp. | 18,181 | 170 |
* K12 Inc. | 8,002 | 168 |
* Drew Industries Inc. | 5,772 | 167 |
Ameristar Casinos Inc. | 9,888 | 167 |
Stewart Enterprises Inc. Class A | 22,413 | 165 |
* Arctic Cat Inc. | 3,793 | 164 |
* LeapFrog Enterprises Inc. | 15,132 | 164 |
CEC Entertainment Inc. | 5,487 | 163 |
Ethan Allen Interiors Inc. | 7,263 | 160 |
* G-III Apparel Group Ltd. | 4,978 | 158 |
* Maidenform Brands Inc. | 7,059 | 157 |
* Smith & Wesson Holding Corp. | 19,460 | 156 |
Core-Mark Holding Co. Inc. | 3,428 | 156 |
American Greetings Corp. Class A | 10,527 | 151 |
OfficeMax Inc. | 25,965 | 151 |
Fred's Inc. Class A | 11,046 | 147 |
Pep Boys-Manny Moe & Jack | 15,851 | 143 |
* Denny's Corp. | 28,838 | 141 |
* Blue Nile Inc. | 3,724 | 139 |
* Red Robin Gourmet Burgers Inc. | 4,405 | 137 |
* Tumi Holdings Inc. | 6,473 | 136 |
Blyth Inc. | 3,114 | 132 |
2
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2012 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Krispy Kreme Doughnuts Inc. | 17,831 | 132 |
* | rue21 inc | 4,643 | 131 |
* | Office Depot Inc. | 85,124 | 130 |
* | Ruby Tuesday Inc. | 19,132 | 129 |
* | Multimedia Games Holding Co. Inc. | 8,213 | 129 |
* | Vera Bradley Inc. | 6,042 | 128 |
* | Biglari Holdings Inc. | 364 | 128 |
* | Capella Education Co. | 4,046 | 126 |
* | Scientific Games Corp. Class A | 17,038 | 125 |
* | Quiksilver Inc. | 39,174 | 123 |
Hot Topic Inc. | 12,664 | 120 | |
Superior Industries International Inc. | 6,901 | 118 | |
Callaway Golf Co. | 19,547 | 112 | |
JAKKS Pacific Inc. | 6,604 | 110 | |
* | America's Car-Mart Inc. | 2,407 | 110 |
* | M/I Homes Inc. | 5,664 | 109 |
* | Beazer Homes USA Inc. | 37,040 | 109 |
* | Conn's Inc. | 4,693 | 109 |
* | Mattress Firm Holding Corp. | 3,313 | 107 |
* | Amerigon Inc. | 8,895 | 106 |
Standard Motor Products Inc. | 5,974 | 105 | |
* | Barnes & Noble Inc. | 8,537 | 102 |
* | Winnebago Industries Inc. | 8,808 | 101 |
* | Boyd Gaming Corp. | 16,755 | 101 |
* | Modine Manufacturing Co. | 14,081 | 99 |
* | Fisher Communications Inc. | 2,674 | 95 |
* | Cavco Industries Inc. | 2,080 | 95 |
* | Bravo Brio Restaurant Group Inc. | 5,890 | 95 |
Shoe Carnival Inc. | 4,308 | 95 | |
Harte-Hanks Inc. | 13,435 | 94 | |
* | EW Scripps Co. Class A | 9,010 | 93 |
* | Digital Generation Inc. | 8,321 | 93 |
* | Town Sports International Holdings Inc. | 7,000 | 91 |
* | Libbey Inc. | 6,196 | 91 |
Nutrisystem Inc. | 8,585 | 88 | |
* | Hovnanian Enterprises Inc. Class A | 30,194 | 88 |
* | Caribou Coffee Co. Inc. | 6,387 | 82 |
*,^ | Caesars Entertainment Corp. | 11,149 | 80 |
* | Wet Seal Inc. Class A | 27,376 | 79 |
* | Fiesta Restaurant Group Inc. | 4,900 | 79 |
MDC Partners Inc. Class A | 7,753 | 78 | |
* | Fuel Systems Solutions Inc. | 4,452 | 78 |
Universal Technical Institute Inc. | 6,500 | 78 | |
Marcus Corp. | 5,947 | 77 | |
Haverty Furniture Cos. Inc. | 5,663 | 74 | |
*,^ | Skullcandy Inc. | 4,777 | 73 |
* | Stein Mart Inc. | 8,099 | 73 |
Destination Maternity Corp. | 3,947 | 72 | |
* | Perry Ellis International Inc. | 3,501 | 72 |
World Wrestling Entertainment Inc. Class A | 8,040 | 71 | |
^ | RadioShack Corp. | 29,352 | 71 |
* | Exide Technologies | 23,110 | 71 |
* | Tuesday Morning Corp. | 12,404 | 69 |
* | Journal Communications Inc. Class A | 12,682 | 68 |
* | Universal Electronics Inc. | 4,432 | 68 |
* | Ruth's Hospitality Group Inc. | 10,435 | 64 |
PetMed Express Inc. | 6,084 | 63 | |
* | Central European Media Enterprises Ltd. Class A | 10,977 | 61 |
* | Black Diamond Inc. | 6,275 | 61 |
* | Carmike Cinemas Inc. | 5,229 | 60 |
bebe stores inc | 11,006 | 60 | |
CSS Industries Inc. | 2,929 | 58 | |
* | Zagg Inc. | 7,602 | 57 |
Speedway Motorsports Inc. | 3,518 | 54 |
3
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Stoneridge Inc. | 8,270 | 52 |
* Citi Trends Inc. | 4,489 | 52 |
* Casual Male Retail Group Inc. | 12,536 | 52 |
* Cumulus Media Inc. Class A | 18,536 | 51 |
* Federal-Mogul Corp. | 5,460 | 51 |
* Steinway Musical Instruments Inc. | 2,039 | 51 |
* Bridgepoint Education Inc. | 5,138 | 51 |
* Jamba Inc. | 20,235 | 50 |
Spartan Motors Inc. | 10,001 | 50 |
* Tilly's Inc. Class A | 2,713 | 50 |
* Career Education Corp. | 15,494 | 49 |
* Rentrak Corp. | 2,762 | 48 |
* Unifi Inc. | 4,237 | 47 |
* Corinthian Colleges Inc. | 23,108 | 47 |
* West Marine Inc. | 4,483 | 47 |
Mac-Gray Corp. | 3,514 | 46 |
* Entercom Communications Corp. Class A | 7,222 | 46 |
Weyco Group Inc. | 1,967 | 45 |
* MarineMax Inc. | 6,148 | 44 |
* Gordmans Stores Inc. | 2,497 | 44 |
Carriage Services Inc. Class A | 4,745 | 43 |
* Saga Communications Inc. Class A | 1,045 | 43 |
Big 5 Sporting Goods Corp. | 4,973 | 42 |
* Body Central Corp. | 4,775 | 42 |
* Vitacost.com Inc. | 6,613 | 42 |
Bassett Furniture Industries Inc. | 3,383 | 41 |
* Kirkland's Inc. | 4,209 | 41 |
* VOXX International Corp. Class A | 5,439 | 41 |
* Isle of Capri Casinos Inc. | 6,254 | 39 |
* Systemax Inc. | 3,326 | 39 |
Bon-Ton Stores Inc. | 3,680 | 39 |
* ReachLocal Inc. | 3,048 | 38 |
RG Barry Corp. | 2,639 | 38 |
* LIN TV Corp. Class A | 9,240 | 37 |
* Kenneth Cole Productions Inc. Class A | 2,441 | 37 |
Hooker Furniture Corp. | 3,245 | 37 |
* Luby's Inc. | 6,004 | 36 |
* Johnson Outdoors Inc. Class A | 1,716 | 35 |
* Morgans Hotel Group Co. | 6,721 | 35 |
* hhgregg Inc. | 4,798 | 34 |
Cherokee Inc. | 2,551 | 34 |
* Global Sources Ltd. | 5,699 | 33 |
Winmark Corp. | 669 | 33 |
Lifetime Brands Inc. | 2,959 | 32 |
Frisch's Restaurants Inc. | 965 | 32 |
Einstein Noah Restaurant Group Inc. | 1,814 | 31 |
* Reading International Inc. Class A | 4,830 | 31 |
Outdoor Channel Holdings Inc. | 4,310 | 30 |
* New York & Co. Inc. | 8,035 | 30 |
* Teavana Holdings Inc. | 2,699 | 30 |
* Overstock.com Inc. | 3,374 | 30 |
* Nexstar Broadcasting Group Inc. Class A | 3,355 | 29 |
* Red Lion Hotels Corp. | 3,975 | 29 |
* Delta Apparel Inc. | 2,037 | 29 |
* Ignite Restaurant Group Inc. | 1,921 | 29 |
Lincoln Educational Services Corp. | 6,606 | 28 |
* 1-800-Flowers.com Inc. Class A | 7,565 | 27 |
Culp Inc. | 2,541 | 27 |
* McClatchy Co. Class A | 16,732 | 26 |
Flexsteel Industries Inc. | 1,300 | 26 |
* Carrols Restaurant Group Inc. | 4,476 | 25 |
* Daily Journal Corp. | 280 | 25 |
* Nathan's Famous Inc. | 782 | 25 |
Martha Stewart Living Omnimedia Class A | 8,337 | 25 |
4
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2012 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sealy Corp. | 15,225 | 24 |
* | MTR Gaming Group Inc. | 6,612 | 24 |
* | Bluegreen Corp. | 4,200 | 24 |
* | Geeknet Inc. | 1,316 | 24 |
Collectors Universe | 1,581 | 23 | |
*,^ | Education Management Corp. | 7,700 | 23 |
* | K-Swiss Inc. Class A | 8,022 | 23 |
* | Monarch Casino & Resort Inc. | 2,621 | 20 |
* | Orbitz Worldwide Inc. | 6,552 | 19 |
Marine Products Corp. | 3,137 | 18 | |
* | Crown Media Holdings Inc. Class A | 10,458 | 18 |
* | Premier Exhibitions Inc. | 7,805 | 18 |
Shiloh Industries Inc. | 1,726 | 17 | |
Entravision Communications Corp. Class A | 15,292 | 17 | |
Salem Communications Corp. Class A | 3,127 | 16 | |
* | Tower International Inc. | 1,792 | 14 |
* | CafePress Inc. | 1,452 | 13 |
* | US Auto Parts Network Inc. | 4,559 | 13 |
* | Perfumania Holdings Inc. | 1,603 | 13 |
National American University Holdings Inc. | 3,166 | 13 | |
* | Orchard Supply Hardware Stores Corp. Class A | 513 | 7 |
*,^ | Digital Domain Media Group Inc. | 2,869 | 6 |
* | Beasley Broadcasting Group Inc. Class A | 1,181 | 5 |
Value Line Inc. | 377 | 4 | |
* | Dial Global Inc. | 1,164 | 3 |
48,530 | |||
Consumer Staples (3.6%) | |||
* | United Natural Foods Inc. | 14,648 | 842 |
* | Hain Celestial Group Inc. | 11,054 | 763 |
Casey's General Stores Inc. | 11,421 | 646 | |
* | Darling International Inc. | 35,274 | 586 |
* | TreeHouse Foods Inc. | 10,783 | 560 |
Harris Teeter Supermarkets Inc. | 13,159 | 514 | |
B&G Foods Inc. Class A | 14,507 | 425 | |
Lancaster Colony Corp. | 5,540 | 401 | |
PriceSmart Inc. | 5,453 | 399 | |
* | Elizabeth Arden Inc. | 7,558 | 352 |
Universal Corp. | 6,976 | 331 | |
Snyders-Lance Inc. | 13,236 | 310 | |
Sanderson Farms Inc. | 6,889 | 303 | |
Fresh Del Monte Produce Inc. | 11,431 | 282 | |
Vector Group Ltd. | 15,869 | 270 | |
Spectrum Brands Holdings Inc. | 6,887 | 254 | |
J&J Snack Foods Corp. | 4,441 | 254 | |
* | Post Holdings Inc. | 8,285 | 247 |
* | Prestige Brands Holdings Inc. | 15,083 | 242 |
* | Boston Beer Co. Inc. Class A | 2,336 | 241 |
* | Rite Aid Corp. | 197,922 | 236 |
WD-40 Co. | 4,776 | 233 | |
Andersons Inc. | 5,579 | 224 | |
* | Smart Balance Inc. | 17,678 | 205 |
Tootsie Roll Industries Inc. | 7,101 | 180 | |
Cal-Maine Foods Inc. | 4,333 | 174 | |
* | Star Scientific Inc. | 43,701 | 164 |
SUPERVALU Inc. | 63,660 | 152 | |
Weis Markets Inc. | 3,300 | 139 | |
* | Dole Food Co. Inc. | 10,751 | 138 |
* | Central Garden and Pet Co. Class A | 11,575 | 137 |
Diamond Foods Inc. | 6,633 | 130 | |
* | Medifast Inc. | 4,166 | 116 |
* | Susser Holdings Corp. | 3,362 | 114 |
* | Harbinger Group Inc. | 12,397 | 104 |
Spartan Stores Inc. | 6,527 | 100 | |
* | Pantry Inc. | 7,041 | 99 |
5
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Pilgrim's Pride Corp. | 18,191 | 97 |
Coca-Cola Bottling Co. Consolidated | 1,406 | 96 |
Calavo Growers Inc. | 3,587 | 95 |
Village Super Market Inc. Class A | 2,547 | 85 |
* Chiquita Brands International Inc. | 13,897 | 83 |
Inter Parfums Inc. | 4,949 | 82 |
* USANA Health Sciences Inc. | 1,804 | 82 |
* Seneca Foods Corp. Class A | 2,747 | 79 |
* Schiff Nutrition International Inc. | 4,051 | 78 |
* Alliance One International Inc. | 25,793 | 75 |
Nash Finch Co. | 3,608 | 71 |
* Annie's Inc. | 1,498 | 62 |
Ingles Markets Inc. Class A | 3,773 | 60 |
* Central European Distribution Corp. | 19,925 | 54 |
Nature's Sunshine Products Inc. | 3,340 | 53 |
* Chefs' Warehouse Inc. | 3,331 | 51 |
* National Beverage Corp. | 3,334 | 50 |
^ Roundy's Inc. | 6,102 | 46 |
* Revlon Inc. Class A | 3,433 | 46 |
Limoneira Co. | 2,453 | 43 |
* Omega Protein Corp. | 5,786 | 42 |
* Nutraceutical International Corp. | 2,610 | 40 |
Female Health Co. | 5,850 | 39 |
* John B Sanfilippo & Son Inc. | 2,374 | 37 |
Oil-Dri Corp. of America | 1,532 | 35 |
Alico Inc. | 1,075 | 34 |
Arden Group Inc. | 346 | 31 |
Orchids Paper Products Co. | 1,666 | 30 |
* Synutra International Inc. | 4,998 | 28 |
* Westway Group Inc. | 3,564 | 25 |
* Craft Brew Alliance Inc. | 3,058 | 24 |
Griffin Land & Nurseries Inc. | 826 | 23 |
* Inventure Foods Inc. | 3,846 | 23 |
* Farmer Bros Co. | 2,037 | 19 |
Lifeway Foods Inc. | 1,310 | 12 |
12,697 | ||
Energy (6.0%) | ||
* Dril-Quip Inc. | 12,054 | 844 |
Energy XXI Bermuda Ltd. | 23,655 | 778 |
* Kodiak Oil & Gas Corp. | 79,038 | 707 |
* Oasis Petroleum Inc. | 23,959 | 703 |
* Rosetta Resources Inc. | 15,865 | 681 |
Berry Petroleum Co. Class A | 15,703 | 578 |
* Helix Energy Solutions Group Inc. | 31,684 | 558 |
Lufkin Industries Inc. | 10,076 | 528 |
Bristow Group Inc. | 10,728 | 503 |
Western Refining Inc. | 17,187 | 481 |
* SemGroup Corp. Class A | 12,536 | 446 |
* Gulfport Energy Corp. | 16,691 | 439 |
* Hornbeck Offshore Services Inc. | 10,590 | 411 |
Targa Resources Corp. | 8,694 | 394 |
Arch Coal Inc. | 63,657 | 389 |
* McMoRan Exploration Co. | 30,431 | 384 |
* Key Energy Services Inc. | 45,291 | 358 |
* Exterran Holdings Inc. | 19,444 | 358 |
* Stone Energy Corp. | 14,838 | 349 |
* Cloud Peak Energy Inc. | 18,307 | 322 |
* Bill Barrett Corp. | 14,429 | 316 |
* Northern Oil and Gas Inc. | 19,048 | 311 |
* Carrizo Oil & Gas Inc. | 11,872 | 300 |
* Gulfmark Offshore Inc. | 8,047 | 282 |
* C&J Energy Services Inc. | 13,369 | 269 |
* Forest Oil Corp. | 35,321 | 262 |
* Clean Energy Fuels Corp. | 19,815 | 260 |
6
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* ION Geophysical Corp. | 39,575 | 258 |
* Halcon Resources Corp. | 33,404 | 257 |
* Swift Energy Co. | 12,850 | 250 |
* PDC Energy Inc. | 8,975 | 250 |
* Approach Resources Inc. | 8,675 | 249 |
* Comstock Resources Inc. | 14,431 | 238 |
Ship Finance International Ltd. | 13,568 | 219 |
* Contango Oil & Gas Co. | 3,828 | 213 |
* Hercules Offshore Inc. | 47,522 | 195 |
* Magnum Hunter Resources Corp. | 44,189 | 190 |
Nordic American Tankers Ltd. | 15,871 | 186 |
* Newpark Resources Inc. | 26,962 | 185 |
W&T Offshore Inc. | 10,414 | 180 |
* OYO Geospace Corp. | 1,912 | 175 |
* Rex Energy Corp. | 12,945 | 160 |
* Forum Energy Technologies Inc. | 6,654 | 157 |
Crosstex Energy Inc. | 12,228 | 152 |
* Rentech Inc. | 68,506 | 151 |
* TETRA Technologies Inc. | 23,266 | 149 |
* CVR Energy Inc. | 4,973 | 148 |
* Parker Drilling Co. | 35,274 | 146 |
* Energy Partners Ltd. | 8,319 | 143 |
* Pioneer Energy Services Corp. | 18,559 | 143 |
Delek US Holdings Inc. | 5,098 | 134 |
* Resolute Energy Corp. | 14,474 | 131 |
* Vaalco Energy Inc. | 17,351 | 129 |
* FX Energy Inc. | 15,893 | 122 |
* Quicksilver Resources Inc. | 35,244 | 120 |
* Endeavour International Corp. | 13,995 | 118 |
* Solazyme Inc. | 9,828 | 118 |
Gulf Island Fabrication Inc. | 4,325 | 113 |
* Petroquest Energy Inc. | 17,014 | 108 |
* Heckmann Corp. | 40,240 | 108 |
* PHI Inc. | 3,920 | 108 |
* Basic Energy Services Inc. | 9,286 | 103 |
* Goodrich Petroleum Corp. | 7,827 | 99 |
* Venoco Inc. | 8,855 | 99 |
* Harvest Natural Resources Inc. | 11,265 | 96 |
* Tesco Corp. | 9,160 | 93 |
* Triangle Petroleum Corp. | 13,360 | 92 |
* Matrix Service Co. | 7,770 | 91 |
* Vantage Drilling Co. | 57,859 | 88 |
* Clayton Williams Energy Inc. | 1,785 | 86 |
Penn Virginia Corp. | 13,852 | 85 |
* GasLog Ltd. | 7,120 | 79 |
^ Teekay Tankers Ltd. Class A | 19,096 | 76 |
* BPZ Resources Inc. | 30,873 | 71 |
* Sanchez Energy Corp. | 3,458 | 66 |
* Callon Petroleum Co. | 11,757 | 65 |
* RigNet Inc. | 3,648 | 65 |
* Uranium Energy Corp. | 25,010 | 64 |
* Warren Resources Inc. | 21,502 | 63 |
* KiOR Inc. | 7,911 | 60 |
Panhandle Oil and Gas Inc. Class A | 2,077 | 60 |
* Bonanza Creek Energy Inc. | 2,984 | 60 |
* Scorpio Tankers Inc. | 11,223 | 60 |
* Midstates Petroleum Co. Inc. | 7,175 | 58 |
* Mitcham Industries Inc. | 3,779 | 58 |
* Willbros Group Inc. | 11,503 | 56 |
* Natural Gas Services Group Inc. | 3,732 | 51 |
* Dawson Geophysical Co. | 2,405 | 51 |
* Abraxas Petroleum Corp. | 24,952 | 51 |
^ Frontline Ltd. | 15,405 | 48 |
^ Knightsbridge Tankers Ltd. | 7,431 | 48 |
7
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Overseas Shipholding Group Inc. | 7,286 | 44 |
* Matador Resources Co. | 4,292 | 44 |
Apco Oil and Gas International Inc. | 2,695 | 43 |
* Cal Dive International Inc. | 28,768 | 43 |
Alon USA Energy Inc. | 2,925 | 40 |
* Miller Energy Resources Inc. | 8,830 | 40 |
* Evolution Petroleum Corp. | 4,940 | 40 |
Bolt Technology Corp. | 2,583 | 37 |
* Green Plains Renewable Energy Inc. | 7,619 | 35 |
* Synergy Resources Corp. | 11,948 | 33 |
* Gevo Inc. | 8,944 | 32 |
* Saratoga Resources Inc. | 5,943 | 31 |
* REX American Resources Corp. | 1,753 | 30 |
* Isramco Inc. | 297 | 30 |
* Gastar Exploration Ltd. | 18,197 | 29 |
* Amyris Inc. | 9,266 | 29 |
* CREDO Petroleum Corp. | 1,988 | 29 |
* Uranerz Energy Corp. | 19,075 | 28 |
* Crimson Exploration Inc. | 6,139 | 27 |
* TGC Industries Inc. | 4,209 | 26 |
* Global Geophysical Services Inc. | 5,580 | 26 |
* Westmoreland Coal Co. | 3,181 | 25 |
Adams Resources & Energy Inc. | 626 | 22 |
* ZaZa Energy Corp. | 7,233 | 22 |
* Voyager Oil & Gas Inc. | 14,569 | 18 |
* Union Drilling Inc. | 4,187 | 18 |
* Forbes Energy Services Ltd. | 4,514 | 17 |
Hallador Energy Co. | 2,023 | 16 |
* Ceres Inc. | 1,906 | 13 |
* Renewable Energy Group Inc. | 2,276 | 12 |
20,935 | ||
Financials (21.8%) | ||
Two Harbors Investment Corp. | 83,780 | 971 |
* Ocwen Financial Corp. | 32,233 | 829 |
Starwood Property Trust Inc. | 34,904 | 822 |
Omega Healthcare Investors Inc. | 31,732 | 762 |
Highwoods Properties Inc. | 22,172 | 723 |
CYS Investments Inc. | 49,968 | 719 |
Invesco Mortgage Capital Inc. | 34,612 | 709 |
LaSalle Hotel Properties | 25,684 | 700 |
Hancock Holding Co. | 22,882 | 678 |
ARMOUR Residential REIT Inc. | 89,218 | 666 |
Entertainment Properties Trust | 14,043 | 640 |
First American Financial Corp. | 31,840 | 614 |
Prosperity Bancshares Inc. | 14,232 | 599 |
Susquehanna Bancshares Inc. | 56,341 | 592 |
Alterra Capital Holdings Ltd. | 25,713 | 591 |
Colonial Properties Trust | 26,370 | 578 |
RLJ Lodging Trust | 31,999 | 571 |
Healthcare Realty Trust Inc. | 23,383 | 567 |
CNO Financial Group Inc. | 63,572 | 566 |
American Realty Capital Trust Inc. | 47,530 | 561 |
* Texas Capital Bancshares Inc. | 12,031 | 554 |
DiamondRock Hospitality Co. | 56,364 | 542 |
Washington REIT | 19,890 | 534 |
* Stifel Financial Corp. | 16,105 | 526 |
FirstMerit Corp. | 32,887 | 516 |
Prospect Capital Corp. | 44,497 | 509 |
DuPont Fabros Technology Inc. | 18,392 | 507 |
Sovran Self Storage Inc. | 8,697 | 494 |
Apollo Investment Corp. | 60,851 | 488 |
CubeSmart | 36,943 | 477 |
UMB Financial Corp. | 9,683 | 475 |
DCT Industrial Trust Inc. | 74,078 | 468 |
8
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Webster Financial Corp. | 21,636 | 460 |
Trustmark Corp. | 19,425 | 460 |
FNB Corp. | 41,855 | 458 |
EastGroup Properties Inc. | 8,540 | 458 |
Glimcher Realty Trust | 41,825 | 438 |
Potlatch Corp. | 12,097 | 436 |
* Sunstone Hotel Investors Inc. | 41,025 | 428 |
Capstead Mortgage Corp. | 29,589 | 424 |
Umpqua Holdings Corp. | 33,559 | 424 |
Medical Properties Trust Inc. | 40,661 | 419 |
BancorpSouth Inc. | 28,323 | 417 |
Iberiabank Corp. | 8,856 | 415 |
Platinum Underwriters Holdings Ltd. | 10,449 | 415 |
Primerica Inc. | 14,109 | 411 |
Wintrust Financial Corp. | 10,893 | 407 |
Pebblebrook Hotel Trust | 17,214 | 407 |
RLI Corp. | 6,362 | 403 |
Education Realty Trust Inc. | 33,896 | 392 |
Westamerica Bancorporation | 8,358 | 389 |
Cathay General Bancorp | 23,607 | 386 |
National Health Investors Inc. | 7,342 | 384 |
* First Cash Financial Services Inc. | 8,581 | 383 |
PennyMac Mortgage Investment Trust | 17,667 | 381 |
Greenhill & Co. Inc. | 8,717 | 380 |
PS Business Parks Inc. | 5,524 | 377 |
Old National Bancorp | 28,395 | 375 |
United Bankshares Inc. | 15,078 | 367 |
Sun Communities Inc. | 7,938 | 364 |
MarketAxess Holdings Inc. | 10,947 | 357 |
Northwest Bancshares Inc. | 29,273 | 354 |
Equity One Inc. | 16,453 | 349 |
Acadia Realty Trust | 13,825 | 344 |
* First Industrial Realty Trust Inc. | 26,584 | 343 |
Cash America International Inc. | 8,810 | 342 |
Redwood Trust Inc. | 23,710 | 340 |
MB Financial Inc. | 16,399 | 335 |
Lexington Realty Trust | 35,582 | 334 |
Glacier Bancorp Inc. | 21,574 | 332 |
Community Bank System Inc. | 11,831 | 332 |
* Strategic Hotels & Resorts Inc. | 54,280 | 331 |
National Penn Bancshares Inc. | 37,014 | 329 |
First Financial Bankshares Inc. | 9,441 | 328 |
* Ezcorp Inc. Class A | 14,386 | 326 |
Montpelier Re Holdings Ltd. | 15,021 | 324 |
CVB Financial Corp. | 26,446 | 316 |
LTC Properties Inc. | 9,122 | 308 |
* PHH Corp. | 16,990 | 296 |
* Financial Engines Inc. | 13,893 | 296 |
PrivateBancorp Inc. Class A | 18,110 | 295 |
Selective Insurance Group Inc. | 16,437 | 295 |
* BBCN Bancorp Inc. | 23,393 | 293 |
International Bancshares Corp. | 15,975 | 292 |
First Financial Bancorp | 17,549 | 286 |
Symetra Financial Corp. | 23,217 | 284 |
Alexander's Inc. | 630 | 283 |
Anworth Mortgage Asset Corp. | 41,146 | 282 |
Bank of the Ozarks Inc. | 8,762 | 281 |
Provident Financial Services Inc. | 18,050 | 279 |
American Assets Trust Inc. | 9,913 | 270 |
American Capital Mortgage Investment Corp. | 10,876 | 269 |
Solar Capital Ltd. | 11,597 | 268 |
First Midwest Bancorp Inc. | 22,464 | 265 |
Pennsylvania REIT | 16,782 | 264 |
Astoria Financial Corp. | 26,131 | 263 |
9
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Fifth Street Finance Corp. | 24,720 | 259 |
Hersha Hospitality Trust Class A | 51,574 | 257 |
Government Properties Income Trust | 11,115 | 251 |
* Citizens Republic Bancorp Inc. | 12,008 | 246 |
* DFC Global Corp. | 13,187 | 246 |
Franklin Street Properties Corp. | 21,740 | 242 |
Walter Investment Management Corp. | 8,591 | 240 |
NorthStar Realty Finance Corp. | 39,996 | 235 |
* Enstar Group Ltd. | 2,532 | 234 |
* Credit Acceptance Corp. | 2,360 | 232 |
Park National Corp. | 3,401 | 229 |
Argo Group International Holdings Ltd. | 7,736 | 229 |
* World Acceptance Corp. | 3,128 | 228 |
* Investors Bancorp Inc. | 13,258 | 228 |
Associated Estates Realty Corp. | 14,845 | 226 |
Main Street Capital Corp. | 8,387 | 223 |
Boston Private Financial Holdings Inc. | 23,442 | 222 |
Cousins Properties Inc. | 27,516 | 220 |
First Commonwealth Financial Corp. | 31,551 | 220 |
BlackRock Kelso Capital Corp. | 22,061 | 218 |
Investors Real Estate Trust | 25,694 | 215 |
Sabra Health Care REIT Inc. | 11,113 | 213 |
Columbia Banking System Inc. | 11,900 | 212 |
Evercore Partners Inc. Class A | 8,578 | 212 |
PacWest Bancorp | 9,095 | 212 |
Amtrust Financial Services Inc. | 8,048 | 210 |
NBT Bancorp Inc. | 9,968 | 210 |
Horace Mann Educators Corp. | 11,896 | 209 |
Home BancShares Inc. | 6,609 | 208 |
American Equity Investment Life Holding Co. | 17,973 | 208 |
CreXus Investment Corp. | 20,084 | 206 |
* Greenlight Capital Re Ltd. Class A | 8,428 | 205 |
Triangle Capital Corp. | 8,177 | 201 |
Oritani Financial Corp. | 13,632 | 199 |
Infinity Property & Casualty Corp. | 3,543 | 199 |
* Pinnacle Financial Partners Inc. | 10,374 | 199 |
First Potomac Realty Trust | 15,287 | 196 |
* Western Alliance Bancorp | 20,970 | 195 |
Tower Group Inc. | 10,432 | 194 |
Colony Financial Inc. | 9,930 | 191 |
Hudson Pacific Properties Inc. | 10,750 | 191 |
Retail Opportunity Investments Corp. | 15,100 | 190 |
Chemical Financial Corp. | 8,245 | 189 |
Independent Bank Corp. | 6,485 | 189 |
Inland Real Estate Corp. | 22,947 | 188 |
Cohen & Steers Inc. | 5,535 | 187 |
ViewPoint Financial Group Inc. | 10,107 | 186 |
PennantPark Investment Corp. | 16,906 | 184 |
SCBT Financial Corp. | 4,521 | 182 |
* iStar Financial Inc. | 25,301 | 182 |
Chesapeake Lodging Trust | 9,636 | 180 |
* National Financial Partners Corp. | 12,178 | 179 |
Kennedy-Wilson Holdings Inc. | 12,943 | 179 |
Ramco-Gershenson Properties Trust | 13,781 | 179 |
Banco Latinoamericano de Comercio Exterior SA | 8,475 | 178 |
Brookline Bancorp Inc. | 21,007 | 178 |
* FelCor Lodging Trust Inc. | 37,258 | 173 |
Employers Holdings Inc. | 9,482 | 173 |
Safety Insurance Group Inc. | 3,805 | 172 |
Nelnet Inc. Class A | 7,166 | 172 |
Dynex Capital Inc. | 16,299 | 170 |
Sterling Financial Corp. | 8,030 | 170 |
Coresite Realty Corp. | 6,161 | 168 |
Hercules Technology Growth Capital Inc. | 14,911 | 167 |
10
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
AG Mortgage Investment Trust Inc. | 6,811 | 161 |
KBW Inc. | 10,416 | 159 |
TrustCo Bank Corp. NY | 28,095 | 157 |
* Nationstar Mortgage Holdings Inc. | 5,750 | 156 |
* Virtus Investment Partners Inc. | 1,815 | 155 |
State Bank Financial Corp. | 9,514 | 154 |
Universal Health Realty Income Trust | 3,565 | 154 |
Resource Capital Corp. | 25,416 | 152 |
S&T Bancorp Inc. | 8,672 | 150 |
City Holding Co. | 4,408 | 150 |
* Forestar Group Inc. | 10,396 | 150 |
* PICO Holdings Inc. | 6,829 | 149 |
Apollo Residential Mortgage Inc. | 7,253 | 148 |
Berkshire Hills Bancorp Inc. | 6,648 | 148 |
* Navigators Group Inc. | 2,995 | 145 |
Community Trust Bancorp Inc. | 4,190 | 144 |
STAG Industrial Inc. | 9,336 | 144 |
WesBanco Inc. | 7,012 | 142 |
Flushing Financial Corp. | 9,274 | 141 |
Banner Corp. | 5,766 | 139 |
Maiden Holdings Ltd. | 15,040 | 138 |
Getty Realty Corp. | 7,692 | 138 |
Renasant Corp. | 7,530 | 138 |
Flagstone Reinsurance Holdings SA | 16,069 | 137 |
* AMERISAFE Inc. | 5,444 | 137 |
Monmouth Real Estate Investment Corp. Class A | 12,068 | 135 |
Radian Group Inc. | 39,977 | 134 |
Urstadt Biddle Properties Inc. Class A | 6,866 | 134 |
United Fire Group Inc. | 6,037 | 134 |
* Hilltop Holdings Inc. | 11,901 | 133 |
BGC Partners Inc. Class A | 29,524 | 133 |
Sandy Spring Bancorp Inc. | 7,243 | 133 |
Ashford Hospitality Trust Inc. | 16,003 | 132 |
Dime Community Bancshares Inc. | 9,429 | 132 |
* HFF Inc. Class A | 9,784 | 130 |
Lakeland Financial Corp. | 4,897 | 130 |
Oriental Financial Group Inc. | 12,205 | 129 |
Tompkins Financial Corp. | 3,326 | 129 |
TICC Capital Corp. | 12,374 | 129 |
Campus Crest Communities Inc. | 11,572 | 125 |
Duff & Phelps Corp. Class A | 9,356 | 124 |
First Merchants Corp. | 8,594 | 121 |
Simmons First National Corp. Class A | 5,139 | 120 |
* Piper Jaffray Cos. | 4,827 | 119 |
Excel Trust Inc. | 10,102 | 119 |
* Hanmi Financial Corp. | 9,456 | 118 |
TowneBank | 7,909 | 116 |
* Wilshire Bancorp Inc. | 18,566 | 116 |
* West Coast Bancorp | 5,789 | 115 |
Meadowbrook Insurance Group Inc. | 15,177 | 115 |
Heartland Financial USA Inc. | 4,365 | 114 |
* Citizens Inc. | 11,696 | 114 |
Southside Bancshares Inc. | 5,210 | 114 |
Cardinal Financial Corp. | 8,783 | 114 |
* Tejon Ranch Co. | 3,967 | 111 |
* WisdomTree Investments Inc. | 17,614 | 110 |
Stewart Information Services Corp. | 5,510 | 109 |
First Busey Corp. | 22,387 | 107 |
MCG Capital Corp. | 23,100 | 107 |
Washington Trust Bancorp Inc. | 4,330 | 107 |
Rockville Financial Inc. | 8,607 | 103 |
First Financial Corp. | 3,365 | 103 |
* ICG Group Inc. | 11,213 | 102 |
1st Source Corp. | 4,456 | 102 |
11
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Provident New York Bancorp | 11,853 | 102 |
Epoch Holding Corp. | 4,798 | 101 |
* United Community Banks Inc. | 12,566 | 100 |
Winthrop Realty Trust | 8,787 | 100 |
Cedar Realty Trust Inc. | 18,059 | 99 |
FBL Financial Group Inc. Class A | 2,993 | 99 |
* Investment Technology Group Inc. | 11,696 | 99 |
CapLease Inc. | 20,120 | 99 |
Saul Centers Inc. | 2,281 | 98 |
* eHealth Inc. | 5,905 | 98 |
* Safeguard Scientifics Inc. | 6,268 | 98 |
Capital Southwest Corp. | 897 | 94 |
WSFS Financial Corp. | 2,299 | 93 |
* NewStar Financial Inc. | 7,879 | 93 |
Rouse Properties Inc. | 6,684 | 93 |
Sterling Bancorp | 9,331 | 93 |
Apollo Commercial Real Estate Finance Inc. | 5,271 | 92 |
StellarOne Corp. | 6,965 | 92 |
MVC Capital Inc. | 7,221 | 92 |
National Western Life Insurance Co. Class A | 662 | 92 |
Presidential Life Corp. | 6,539 | 91 |
* Central Pacific Financial Corp. | 6,527 | 91 |
Medley Capital Corp. | 6,920 | 91 |
Great Southern Bancorp Inc. | 3,073 | 90 |
Union First Market Bankshares Corp. | 6,118 | 90 |
* Netspend Holdings Inc. | 9,376 | 89 |
OneBeacon Insurance Group Ltd. Class A | 6,856 | 89 |
GAMCO Investors Inc. | 1,948 | 88 |
German American Bancorp Inc. | 3,817 | 88 |
* Beneficial Mutual Bancorp Inc. | 9,920 | 87 |
* Eagle Bancorp Inc. | 5,073 | 86 |
SY Bancorp Inc. | 3,672 | 86 |
Camden National Corp. | 2,325 | 86 |
Agree Realty Corp. | 3,458 | 86 |
Kite Realty Group Trust | 16,649 | 86 |
* Ameris Bancorp | 7,199 | 85 |
* Bancorp Inc. | 8,747 | 85 |
Univest Corp. of Pennsylvania | 5,079 | 83 |
* Green Dot Corp. Class A | 7,263 | 83 |
* Taylor Capital Group Inc. | 4,925 | 83 |
Lakeland Bancorp Inc. | 8,161 | 83 |
* Knight Capital Group Inc. Class A | 29,710 | 82 |
* First BanCorp | 21,276 | 81 |
Bancfirst Corp. | 1,947 | 81 |
EverBank Financial Corp. | 6,764 | 80 |
Hudson Valley Holding Corp. | 4,703 | 79 |
First Community Bancshares Inc. | 5,311 | 79 |
Summit Hotel Properties Inc. | 9,251 | 79 |
Territorial Bancorp Inc. | 3,345 | 77 |
Bryn Mawr Bank Corp. | 3,373 | 74 |
* INTL. FCStone Inc. | 4,066 | 74 |
Arrow Financial Corp. | 2,993 | 73 |
CoBiz Financial Inc. | 10,301 | 73 |
Federal Agricultural Mortgage Corp. | 2,936 | 73 |
* OmniAmerican Bancorp Inc. | 3,305 | 73 |
Centerstate Banks Inc. | 8,878 | 73 |
Trico Bancshares | 4,719 | 72 |
Westwood Holdings Group Inc. | 1,963 | 72 |
MainSource Financial Group Inc. | 5,970 | 72 |
Financial Institutions Inc. | 4,078 | 71 |
* Franklin Financial Corp. | 4,223 | 70 |
Peoples Bancorp Inc. | 3,153 | 70 |
* BofI Holding Inc. | 2,943 | 69 |
RAIT Financial Trust | 14,732 | 69 |
12
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Citizens & Northern Corp. | 3,607 | 69 |
First Connecticut Bancorp Inc. | 5,279 | 69 |
First Interstate Bancsystem Inc. | 4,794 | 69 |
* Global Indemnity plc | 3,397 | 69 |
First of Long Island Corp. | 2,282 | 68 |
* Cowen Group Inc. Class A | 25,856 | 67 |
Select Income REIT | 2,718 | 67 |
New York Mortgage Trust Inc. | 9,761 | 67 |
Republic Bancorp Inc. Class A | 2,939 | 66 |
* MGIC Investment Corp. | 55,645 | 66 |
Golub Capital BDC Inc. | 4,232 | 66 |
United Financial Bancorp Inc. | 4,592 | 66 |
National Bankshares Inc. | 2,063 | 65 |
Enterprise Financial Services Corp. | 5,290 | 65 |
Northfield Bancorp Inc. | 4,352 | 65 |
One Liberty Properties Inc. | 3,388 | 65 |
* Virginia Commerce Bancorp Inc. | 7,951 | 64 |
* Southwest Bancorp Inc. | 5,804 | 64 |
Heritage Financial Corp. | 4,588 | 64 |
SeaBright Holdings Inc. | 5,843 | 64 |
Calamos Asset Management Inc. Class A | 5,736 | 64 |
First Financial Holdings Inc. | 4,937 | 63 |
Home Loan Servicing Solutions Ltd. | 4,017 | 63 |
Bank of Marin Bancorp | 1,598 | 63 |
Washington Banking Co. | 4,589 | 63 |
State Auto Financial Corp. | 4,408 | 62 |
CNB Financial Corp. | 3,705 | 61 |
Baldwin & Lyons Inc. | 2,720 | 61 |
FXCM Inc. Class A | 6,956 | 61 |
Medallion Financial Corp. | 5,342 | 61 |
OceanFirst Financial Corp. | 4,302 | 61 |
Bank Mutual Corp. | 13,900 | 61 |
Terreno Realty Corp. | 4,008 | 60 |
Gladstone Commercial Corp. | 3,286 | 59 |
Chatham Lodging Trust | 4,172 | 58 |
Diamond Hill Investment Group Inc. | 792 | 58 |
Arlington Asset Investment Corp. Class A | 2,523 | 58 |
Westfield Financial Inc. | 7,962 | 58 |
* Pacific Capital Bancorp | 1,255 | 58 |
Fox Chase Bancorp Inc. | 3,816 | 58 |
GFI Group Inc. | 20,568 | 58 |
New Mountain Finance Corp. | 3,763 | 56 |
Parkway Properties Inc. | 4,789 | 56 |
KCAP Financial Inc. | 6,424 | 55 |
Edelman Financial Group Inc. | 6,234 | 55 |
* 1st United Bancorp Inc. | 9,028 | 55 |
Whitestone REIT | 4,152 | 55 |
* Phoenix Cos. Inc. | 1,752 | 54 |
* Metro Bancorp Inc. | 4,278 | 54 |
Thomas Properties Group Inc. | 9,613 | 53 |
Gladstone Capital Corp. | 6,200 | 53 |
American National Bankshares Inc. | 2,371 | 53 |
Ames National Corp. | 2,491 | 52 |
Alliance Financial Corp. | 1,413 | 52 |
* SWS Group Inc. | 8,611 | 51 |
Bridge Bancorp Inc. | 2,538 | 51 |
Western Asset Mortgage Capital Corp. | 2,390 | 51 |
Home Federal Bancorp Inc. | 4,719 | 50 |
THL Credit Inc. | 3,574 | 50 |
Solar Senior Capital Ltd. | 2,805 | 50 |
Gladstone Investment Corp. | 6,519 | 50 |
* MetroCorp Bancshares Inc. | 4,667 | 49 |
* GSV Capital Corp. | 5,704 | 49 |
First Defiance Financial Corp. | 2,918 | 49 |
13
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Mission West Properties Inc. | 5,377 | 48 |
Pacific Continental Corp. | 5,374 | 48 |
BankFinancial Corp. | 6,221 | 48 |
West Bancorporation Inc. | 4,706 | 48 |
NGP Capital Resources Co. | 6,385 | 48 |
Manning & Napier Inc. | 4,011 | 48 |
* First California Financial Group Inc. | 6,751 | 47 |
* Park Sterling Corp. | 9,813 | 47 |
Fidus Investment Corp. | 2,843 | 46 |
* HomeStreet Inc. | 1,310 | 46 |
Oppenheimer Holdings Inc. Class A | 3,097 | 46 |
Homeowners Choice Inc. | 2,301 | 46 |
Penns Woods Bancorp Inc. | 1,157 | 46 |
* American Safety Insurance Holdings Ltd. | 2,668 | 46 |
National Interstate Corp. | 1,840 | 46 |
* Guaranty Bancorp | 22,976 | 46 |
* Preferred Bank | 3,498 | 45 |
First Bancorp | 4,517 | 45 |
UMH Properties Inc. | 3,981 | 45 |
* Suffolk Bancorp | 2,957 | 45 |
* Walker & Dunlop Inc. | 3,374 | 45 |
Kearny Financial Corp. | 4,580 | 44 |
Kansas City Life Insurance Co. | 1,248 | 44 |
MidWestOne Financial Group Inc. | 2,013 | 44 |
First Bancorp Inc. | 2,670 | 44 |
* AV Homes Inc. | 2,965 | 44 |
* Mercantile Bank Corp. | 2,553 | 43 |
Bank of Kentucky Financial Corp. | 1,739 | 43 |
* Bridge Capital Holdings | 2,835 | 43 |
Merchants Bancshares Inc. | 1,517 | 42 |
ESB Financial Corp. | 3,091 | 42 |
* Ladenburg Thalmann Financial Services Inc. | 30,500 | 42 |
Bar Harbor Bankshares | 1,161 | 41 |
Kaiser Federal Financial Group Inc. | 2,702 | 41 |
Nicholas Financial Inc. | 2,985 | 41 |
* Heritage Commerce Corp. | 6,213 | 41 |
* Doral Financial Corp. | 37,923 | 41 |
* Firsthand Technology Value Fund Inc. | 2,547 | 41 |
Center Bancorp Inc. | 3,551 | 41 |
Marlin Business Services Corp. | 2,454 | 41 |
* Gyrodyne Co. of America Inc. | 360 | 40 |
Horizon Technology Finance Corp. | 2,395 | 40 |
Sierra Bancorp | 3,683 | 40 |
Northrim BanCorp Inc. | 1,935 | 40 |
Peapack Gladstone Financial Corp. | 2,664 | 39 |
Ares Commercial Real Estate Corp. | 2,317 | 39 |
Provident Financial Holdings Inc. | 2,928 | 39 |
* Zillow Inc. Class A | 928 | 39 |
First Pactrust Bancorp Inc. | 3,190 | 38 |
* Meridian Interstate Bancorp Inc. | 2,545 | 38 |
C&F Financial Corp. | 965 | 38 |
Consolidated-Tomoka Land Co. | 1,305 | 38 |
* Gramercy Capital Corp. | 13,955 | 37 |
* FNB United Corp. | 3,031 | 37 |
SI Financial Group Inc. | 3,192 | 37 |
* First Financial Northwest Inc. | 4,811 | 37 |
Heritage Financial Group Inc. | 2,629 | 36 |
* Home Bancorp Inc. | 2,075 | 35 |
Horizon Bancorp | 1,303 | 35 |
* Heritage Oaks Bancorp | 6,123 | 35 |
Farmers National Banc Corp. | 5,732 | 35 |
* Sun Bancorp Inc. | 11,946 | 35 |
* Hallmark Financial Services | 4,335 | 35 |
* Harris & Harris Group Inc. | 9,426 | 34 |
14
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Donegal Group Inc. Class A | 2,385 | 34 |
Crawford & Co. Class B | 7,604 | 34 |
Eastern Insurance Holdings Inc. | 2,035 | 34 |
MidSouth Bancorp Inc. | 2,551 | 33 |
Century Bancorp Inc. Class A | 1,057 | 33 |
* FBR & Co. | 10,871 | 33 |
* BSB Bancorp Inc. | 2,524 | 32 |
* Cape Bancorp Inc. | 3,472 | 32 |
* Seacoast Banking Corp. of Florida | 21,377 | 31 |
Capital City Bank Group Inc. | 3,388 | 30 |
Access National Corp. | 2,134 | 30 |
Peoples Federal Bancshares Inc. | 1,761 | 29 |
Artio Global Investors Inc. Class A | 8,920 | 28 |
Enterprise Bancorp Inc. | 1,716 | 27 |
* Tree.com Inc. | 1,747 | 27 |
JMP Group Inc. | 4,926 | 27 |
ESSA Bancorp Inc. | 2,610 | 26 |
Middleburg Financial Corp. | 1,563 | 26 |
TCP Capital Corp. | 1,684 | 26 |
EMC Insurance Group Inc. | 1,309 | 26 |
Fidelity Southern Corp. | 2,786 | 25 |
Independence Holding Co. | 2,399 | 24 |
Clifton Savings Bancorp Inc. | 2,500 | 24 |
* NASB Financial Inc. | 1,228 | 24 |
* Regional Management Corp. | 1,423 | 24 |
Hingham Institution for Savings | 378 | 23 |
Investors Title Co. | 367 | 23 |
MicroFinancial Inc. | 2,503 | 23 |
Resource America Inc. Class A | 3,547 | 22 |
* Pacific Mercantile Bancorp | 3,163 | 21 |
Roma Financial Corp. | 2,182 | 21 |
* First Marblehead Corp. | 17,676 | 20 |
Gain Capital Holdings Inc. | 4,431 | 20 |
Universal Insurance Holdings Inc. | 5,595 | 20 |
Hampton Roads Bankshares Inc. | 9,705 | 19 |
Charter Financial Corp. | 1,976 | 19 |
* Fortegra Financial Corp. | 2,063 | 16 |
* CIFC Corp. | 1,991 | 15 |
Pzena Investment Management Inc. Class A | 2,931 | 15 |
California First National Bancorp | 717 | 12 |
* Capital Bank Corp. | 4,538 | 11 |
* Berkshire Bancorp Inc. | 1,153 | 10 |
* Waterstone Financial Inc. | 1,967 | 10 |
* First Federal Bancshares of Arkansas Inc. | 933 | 9 |
* Cascade Bancorp | 1,691 | 9 |
* Green Bankshares Inc. | 3,296 | 6 |
* Crescent Financial Bancshares Inc. | 732 | 4 |
76,541 | ||
Health Care (13.2%) | ||
* Pharmacyclics Inc. | 16,319 | 1,092 |
* athenahealth Inc. | 10,751 | 950 |
* HMS Holdings Corp. | 25,782 | 888 |
* Cubist Pharmaceuticals Inc. | 18,996 | 878 |
* Seattle Genetics Inc. | 28,506 | 757 |
* Cepheid Inc. | 19,678 | 743 |
* WellCare Health Plans Inc. | 12,923 | 733 |
* Align Technology Inc. | 21,547 | 731 |
* Questcor Pharmaceuticals Inc. | 16,123 | 700 |
* Alkermes plc | 36,718 | 674 |
* HealthSouth Corp. | 28,667 | 656 |
* Vivus Inc. | 29,902 | 641 |
* Centene Corp. | 15,435 | 627 |
STERIS Corp. | 17,337 | 594 |
* Arena Pharmaceuticals Inc. | 65,028 | 588 |
15
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Jazz Pharmaceuticals plc | 12,455 | 567 |
* Haemonetics Corp. | 7,600 | 560 |
* ViroPharma Inc. | 20,914 | 556 |
* Par Pharmaceutical Cos. Inc. | 11,022 | 549 |
Medicis Pharmaceutical Corp. Class A | 17,236 | 544 |
Owens & Minor Inc. | 19,054 | 533 |
* PAREXEL International Corp. | 17,962 | 517 |
* Theravance Inc. | 18,195 | 485 |
West Pharmaceutical Services Inc. | 10,160 | 481 |
* Impax Laboratories Inc. | 20,097 | 476 |
* Volcano Corp. | 15,985 | 452 |
* Air Methods Corp. | 3,849 | 449 |
* Medicines Co. | 16,534 | 425 |
* Cyberonics Inc. | 8,260 | 412 |
* Isis Pharmaceuticals Inc. | 30,047 | 409 |
* Magellan Health Services Inc. | 8,192 | 406 |
* MWI Veterinary Supply Inc. | 3,818 | 385 |
Chemed Corp. | 5,768 | 381 |
* HeartWare International Inc. | 4,241 | 380 |
* Immunogen Inc. | 25,025 | 360 |
* Auxilium Pharmaceuticals Inc. | 14,510 | 338 |
* Masimo Corp. | 14,974 | 331 |
* PSS World Medical Inc. | 15,124 | 326 |
PDL BioPharma Inc. | 41,954 | 309 |
* Insulet Corp. | 14,329 | 300 |
* MedAssets Inc. | 17,492 | 299 |
* Nektar Therapeutics | 34,374 | 295 |
* Hanger Inc. | 10,233 | 293 |
* Ironwood Pharmaceuticals Inc. Class A | 22,541 | 282 |
* Amsurg Corp. Class A | 9,489 | 279 |
* Neogen Corp. | 7,065 | 276 |
* Acorda Therapeutics Inc. | 12,026 | 275 |
* DexCom Inc. | 20,560 | 273 |
* NuVasive Inc. | 12,950 | 273 |
Analogic Corp. | 3,677 | 256 |
* Alnylam Pharmaceuticals Inc. | 13,898 | 254 |
* Sunrise Senior Living Inc. | 17,454 | 251 |
* ArthroCare Corp. | 8,296 | 245 |
* Wright Medical Group Inc. | 11,790 | 244 |
* Abaxis Inc. | 6,506 | 244 |
* Exelixis Inc. | 54,973 | 243 |
* Team Health Holdings Inc. | 8,512 | 243 |
* Luminex Corp. | 12,505 | 242 |
* Orthofix International NV | 5,618 | 238 |
* Akorn Inc. | 17,056 | 236 |
* Medidata Solutions Inc. | 6,666 | 234 |
* Integra LifeSciences Holdings Corp. | 5,850 | 230 |
CONMED Corp. | 8,485 | 229 |
* ABIOMED Inc. | 10,024 | 224 |
* IPC The Hospitalist Co. Inc. | 4,971 | 220 |
Meridian Bioscience Inc. | 12,374 | 219 |
* Molina Healthcare Inc. | 8,981 | 218 |
* Spectrum Pharmaceuticals Inc. | 17,852 | 213 |
* Optimer Pharmaceuticals Inc. | 14,113 | 212 |
Quality Systems Inc. | 11,862 | 210 |
* ICU Medical Inc. | 3,754 | 208 |
* Dendreon Corp. | 46,186 | 207 |
* Dynavax Technologies Corp. | 52,225 | 204 |
* Accretive Health Inc. | 16,896 | 201 |
* Rigel Pharmaceuticals Inc. | 21,431 | 200 |
* Endologix Inc. | 16,594 | 199 |
* Momenta Pharmaceuticals Inc. | 14,046 | 198 |
* NPS Pharmaceuticals Inc. | 25,839 | 197 |
* Bio-Reference Labs Inc. | 7,374 | 193 |
16
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2012 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Affymax Inc. | 10,830 | 192 |
* | Exact Sciences Corp. | 19,095 | 190 |
* | NxStage Medical Inc. | 14,763 | 188 |
* | Emeritus Corp. | 9,215 | 184 |
* | Merit Medical Systems Inc. | 12,612 | 180 |
* | Conceptus Inc. | 9,411 | 179 |
* | MAKO Surgical Corp. | 10,841 | 179 |
* | Kindred Healthcare Inc. | 15,865 | 177 |
Computer Programs & Systems Inc. | 3,318 | 168 | |
* | HealthStream Inc. | 5,858 | 166 |
Landauer Inc. | 2,836 | 166 | |
* | Genomic Health Inc. | 4,813 | 166 |
* | Greatbatch Inc. | 7,093 | 164 |
Cantel Medical Corp. | 6,357 | 164 | |
* | OraSure Technologies Inc. | 16,252 | 158 |
* | Synageva BioPharma Corp. | 3,131 | 156 |
* | Halozyme Therapeutics Inc. | 26,912 | 156 |
Ensign Group Inc. | 5,217 | 154 | |
* | Idenix Pharmaceuticals Inc. | 27,021 | 153 |
* | Array BioPharma Inc. | 26,734 | 148 |
* | Neurocrine Biosciences Inc. | 19,887 | 147 |
* | Omnicell Inc. | 10,073 | 145 |
* | InterMune Inc. | 19,614 | 145 |
*,^ | Opko Health Inc. | 32,042 | 142 |
National Healthcare Corp. | 3,163 | 141 | |
* | Quidel Corp. | 8,455 | 137 |
* | AVANIR Pharmaceuticals Inc. | 40,695 | 135 |
* | Lexicon Pharmaceuticals Inc. | 59,537 | 133 |
* | Acadia Healthcare Co. Inc. | 6,907 | 132 |
* | Infinity Pharmaceuticals Inc. | 7,245 | 132 |
Invacare Corp. | 9,544 | 131 | |
* | Accuray Inc. | 21,384 | 131 |
* | Amedisys Inc. | 9,036 | 127 |
* | Sequenom Inc. | 34,355 | 126 |
* | Spectranetics Corp. | 10,289 | 125 |
* | XenoPort Inc. | 12,880 | 120 |
* | Threshold Pharmaceuticals Inc. | 13,518 | 119 |
* | Triple-S Management Corp. Class B | 5,824 | 119 |
* | Hi-Tech Pharmacal Co. Inc. | 3,217 | 115 |
* | Emergent Biosolutions Inc. | 7,779 | 115 |
* | Fluidigm Corp. | 7,286 | 114 |
* | MAP Pharmaceuticals Inc. | 8,434 | 113 |
* | Achillion Pharmaceuticals Inc. | 16,009 | 113 |
* | BioScrip Inc. | 13,206 | 112 |
* | AVEO Pharmaceuticals Inc. | 11,697 | 112 |
* | PharMerica Corp. | 8,865 | 112 |
* | ExamWorks Group Inc. | 8,788 | 111 |
* | Geron Corp. | 39,754 | 110 |
* | Select Medical Holdings Corp. | 10,520 | 109 |
* | Cambrex Corp. | 8,908 | 108 |
* | Metropolitan Health Networks Inc. | 13,288 | 107 |
* | Antares Pharma Inc. | 27,450 | 106 |
* | Navidea Biopharmaceuticals Inc. | 29,032 | 106 |
* | Healthways Inc. | 10,053 | 105 |
* | Aegerion Pharmaceuticals Inc. | 7,522 | 105 |
* | Curis Inc. | 23,784 | 105 |
* | Natus Medical Inc. | 8,862 | 104 |
Atrion Corp. | 477 | 104 | |
* | AMN Healthcare Services Inc. | 12,299 | 103 |
* | Symmetry Medical Inc. | 11,036 | 103 |
* | Universal American Corp. | 11,313 | 102 |
* | Capital Senior Living Corp. | 8,482 | 102 |
* | Santarus Inc. | 16,470 | 102 |
* | Pacira Pharmaceuticals Inc. | 5,556 | 101 |
17
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Gentiva Health Services Inc. | 9,167 | 101 |
* Celldex Therapeutics Inc. | 17,703 | 100 |
* ZIOPHARM Oncology Inc. | 20,027 | 100 |
* AMAG Pharmaceuticals Inc. | 6,441 | 95 |
* Vanguard Health Systems Inc. | 9,598 | 94 |
* Arqule Inc. | 17,764 | 93 |
US Physical Therapy Inc. | 3,551 | 92 |
* MannKind Corp. | 34,051 | 92 |
* Oncothyreon Inc. | 17,256 | 91 |
* Ligand Pharmaceuticals Inc. Class B | 5,255 | 91 |
* Depomed Inc. | 16,831 | 89 |
* SurModics Inc. | 4,634 | 86 |
* Enzon Pharmaceuticals Inc. | 12,759 | 86 |
* Endocyte Inc. | 8,946 | 86 |
* Sangamo Biosciences Inc. | 15,904 | 85 |
* AngioDynamics Inc. | 7,424 | 85 |
* Sciclone Pharmaceuticals Inc. | 17,180 | 84 |
* LHC Group Inc. | 4,828 | 84 |
* Vical Inc. | 22,984 | 83 |
* Tornier NV | 4,573 | 82 |
* Orexigen Therapeutics Inc. | 18,251 | 82 |
* Affymetrix Inc. | 21,362 | 81 |
* Corvel Corp. | 1,852 | 81 |
* Astex Pharmaceuticals | 28,188 | 80 |
* Cynosure Inc. Class A | 2,842 | 74 |
* Obagi Medical Products Inc. | 5,530 | 74 |
* Synta Pharmaceuticals Corp. | 10,958 | 72 |
* Omeros Corp. | 7,622 | 72 |
* Raptor Pharmaceutical Corp. | 14,424 | 72 |
* Unilife Corp. | 23,716 | 71 |
* Clovis Oncology Inc. | 4,034 | 71 |
* Staar Surgical Co. | 10,720 | 70 |
* Cadence Pharmaceuticals Inc. | 17,752 | 70 |
* Novavax Inc. | 34,214 | 70 |
* XOMA Corp. | 20,099 | 70 |
* Dyax Corp. | 29,167 | 66 |
* Immunomedics Inc. | 19,459 | 66 |
* BioCryst Pharmaceuticals Inc. | 14,664 | 64 |
* Sun Healthcare Group Inc. | 7,581 | 64 |
* Vascular Solutions Inc. | 4,850 | 64 |
* RTI Biologics Inc. | 16,625 | 63 |
* Solta Medical Inc. | 20,538 | 63 |
Young Innovations Inc. | 1,639 | 61 |
* Synergy Pharmaceuticals Inc. | 12,338 | 61 |
* IRIS International Inc. | 4,777 | 61 |
* Five Star Quality Care Inc. | 12,557 | 59 |
* OncoGenex Pharmaceutical Inc. | 4,327 | 59 |
* Vocera Communications Inc. | 1,985 | 56 |
* Merge Healthcare Inc. | 17,671 | 56 |
* Repros Therapeutics Inc. | 4,396 | 56 |
* Almost Family Inc. | 2,491 | 55 |
* NewLink Genetics Corp. | 3,741 | 52 |
* PhotoMedex Inc. | 3,978 | 52 |
* Repligen Corp. | 9,106 | 52 |
* Cerus Corp. | 16,063 | 51 |
* Pozen Inc. | 7,851 | 51 |
* Cytori Therapeutics Inc. | 16,155 | 51 |
* Rockwell Medical Technologies Inc. | 6,323 | 50 |
* Palomar Medical Technologies Inc. | 5,766 | 50 |
* Maxygen Inc. | 8,195 | 50 |
* Anika Therapeutics Inc. | 3,520 | 50 |
* Epocrates Inc. | 5,498 | 49 |
* Cardiovascular Systems Inc. | 4,949 | 46 |
Assisted Living Concepts Inc. Class A | 5,857 | 46 |
18
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2012 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Pain Therapeutics Inc. | 11,451 | 46 |
* | CryoLife Inc. | 8,330 | 45 |
* | Amicus Therapeutics Inc. | 9,110 | 45 |
*,^ | Osiris Therapeutics Inc. | 4,861 | 44 |
* | Providence Service Corp. | 3,846 | 44 |
* | Keryx Biopharmaceuticals Inc. | 21,253 | 43 |
* | Allos Therapeutics Inc. | 23,950 | 43 |
* | Corcept Therapeutics Inc. | 14,940 | 43 |
* | Discovery Laboratories Inc. | 13,071 | 42 |
* | Exactech Inc. | 2,583 | 42 |
* | Trius Therapeutics Inc. | 7,425 | 41 |
* | Furiex Pharmaceuticals Inc. | 2,194 | 40 |
* | Sagent Pharmaceuticals Inc. | 2,770 | 40 |
National Research Corp. | 758 | 38 | |
* | Zogenix Inc. | 15,872 | 38 |
* | Biotime Inc. | 9,198 | 37 |
* | Vanda Pharmaceuticals Inc. | 8,481 | 37 |
* | Integramed America Inc. | 2,644 | 37 |
* | Targacept Inc. | 8,219 | 37 |
* | Merrimack Pharmaceuticals Inc. | 4,613 | 37 |
* | Dusa Pharmaceuticals Inc. | 6,764 | 36 |
* | Progenics Pharmaceuticals Inc. | 8,821 | 36 |
* | Greenway Medical Technologies | 2,389 | 36 |
* | Rochester Medical Corp. | 3,232 | 36 |
* | Chindex International Inc. | 3,382 | 35 |
Utah Medical Products Inc. | 1,001 | 34 | |
* | Agenus Inc. | 7,338 | 34 |
* | Skilled Healthcare Group Inc. | 5,866 | 34 |
* | Cross Country Healthcare Inc. | 8,274 | 33 |
* | Coronado Biosciences Inc. | 5,217 | 32 |
* | ImmunoCellular Therapeutics Ltd. | 12,132 | 31 |
* | AtriCure Inc. | 4,407 | 31 |
* | SIGA Technologies Inc. | 10,232 | 30 |
* | BioDelivery Sciences International Inc. | 6,142 | 30 |
* | Harvard Bioscience Inc. | 7,605 | 29 |
* | GTx Inc. | 7,637 | 28 |
* | EnteroMedics Inc. | 7,391 | 27 |
* | Biospecifics Technologies Corp. | 1,438 | 27 |
*,^ | Horizon Pharma Inc. | 6,060 | 27 |
* | Alphatec Holdings Inc. | 16,085 | 27 |
* | Zeltiq Aesthetics Inc. | 4,951 | 26 |
* | Anacor Pharmaceuticals Inc. | 4,180 | 26 |
* | Derma Sciences Inc. | 2,701 | 26 |
* | Sunesis Pharmaceuticals Inc. | 7,851 | 25 |
* | Transcept Pharmaceuticals Inc. | 3,718 | 25 |
* | Hansen Medical Inc. | 15,898 | 23 |
* | Lannett Co. Inc. | 4,710 | 23 |
* | Ampio Pharmaceuticals Inc. | 7,711 | 22 |
* | Pacific Biosciences of California Inc. | 11,078 | 22 |
* | Cumberland Pharmaceuticals Inc. | 3,532 | 21 |
* | PDI Inc. | 2,994 | 21 |
* | Pernix Therapeutics Holdings | 2,747 | 18 |
* | Cornerstone Therapeutics Inc. | 2,612 | 18 |
* | ChemoCentryx Inc. | 1,651 | 17 |
* | Codexis Inc. | 7,609 | 17 |
* | Verastem Inc. | 1,927 | 17 |
* | Mediware Information Systems | 1,103 | 16 |
* | Sucampo Pharmaceuticals Inc. Class A | 3,353 | 16 |
* | Ventrus Biosciences Inc. | 3,901 | 15 |
* | BG Medicine Inc. | 3,405 | 13 |
*,^ | Supernus Pharmaceuticals Inc. | 1,073 | 13 |
* | Cempra Inc. | 1,121 | 9 |
* | Acura Pharmaceuticals Inc. | 3,266 | 5 |
19
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 913 | 1 |
46,434 | ||
Industrials (14.8%) | ||
Acuity Brands Inc. | 12,699 | 815 |
* Genesee & Wyoming Inc. Class A | 12,151 | 772 |
* Dollar Thrifty Automotive Group Inc. | 8,410 | 733 |
CLARCOR Inc. | 15,069 | 725 |
Woodward Inc. | 20,739 | 724 |
* Alaska Air Group Inc. | 21,324 | 715 |
* Teledyne Technologies Inc. | 11,024 | 711 |
Robbins & Myers Inc. | 11,549 | 691 |
* Hexcel Corp. | 29,865 | 677 |
Watsco Inc. | 8,819 | 665 |
* Middleby Corp. | 5,616 | 647 |
AO Smith Corp. | 11,680 | 639 |
* Old Dominion Freight Line Inc. | 14,248 | 638 |
* Chart Industries Inc. | 8,968 | 626 |
Actuant Corp. Class A | 21,849 | 614 |
EMCOR Group Inc. | 20,017 | 553 |
HEICO Corp. | 15,799 | 550 |
* Esterline Technologies Corp. | 9,194 | 550 |
* EnerSys Inc. | 14,380 | 536 |
* Avis Budget Group Inc. | 31,834 | 523 |
* US Airways Group Inc. | 48,685 | 519 |
* Portfolio Recovery Associates Inc. | 5,131 | 515 |
Applied Industrial Technologies Inc. | 12,656 | 515 |
* Moog Inc. Class A | 13,573 | 497 |
* Tetra Tech Inc. | 19,024 | 493 |
Geo Group Inc. | 18,426 | 485 |
Corporate Executive Board Co. | 10,051 | 468 |
Belden Inc. | 13,651 | 466 |
* USG Corp. | 22,220 | 457 |
* Advisory Board Co. | 10,291 | 456 |
Deluxe Corp. | 15,293 | 434 |
Healthcare Services Group Inc. | 20,140 | 426 |
Curtiss-Wright Corp. | 14,071 | 423 |
Brady Corp. Class A | 14,711 | 413 |
* Atlas Air Worldwide Holdings Inc. | 7,925 | 408 |
* Beacon Roofing Supply Inc. | 14,055 | 396 |
* Acacia Research Corp. | 14,907 | 393 |
Barnes Group Inc. | 16,270 | 385 |
Franklin Electric Co. Inc. | 7,030 | 381 |
HNI Corp. | 13,657 | 379 |
Mueller Industries Inc. | 8,133 | 351 |
* JetBlue Airways Corp. | 70,086 | 343 |
Herman Miller Inc. | 17,494 | 342 |
* Hub Group Inc. Class A | 11,127 | 335 |
Raven Industries Inc. | 10,872 | 330 |
* FTI Consulting Inc. | 12,590 | 327 |
ABM Industries Inc. | 16,115 | 326 |
Granite Construction Inc. | 11,591 | 320 |
Brink's Co. | 14,175 | 316 |
Watts Water Technologies Inc. Class A | 8,423 | 309 |
* RBC Bearings Inc. | 6,653 | 306 |
Simpson Manufacturing Co. Inc. | 11,997 | 305 |
* MasTec Inc. | 16,427 | 300 |
TAL International Group Inc. | 8,759 | 298 |
* Allegiant Travel Co. Class A | 4,484 | 297 |
Werner Enterprises Inc. | 13,264 | 295 |
United Stationers Inc. | 12,199 | 295 |
* II-VI Inc. | 15,769 | 293 |
Forward Air Corp. | 8,724 | 293 |
Mine Safety Appliances Co. | 8,278 | 289 |
ESCO Technologies Inc. | 8,017 | 284 |
20
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
UniFirst Corp. | 4,347 | 276 |
Titan International Inc. | 12,670 | 265 |
Kaman Corp. | 7,914 | 260 |
Briggs & Stratton Corp. | 14,592 | 253 |
Lindsay Corp. | 3,813 | 249 |
Knight Transportation Inc. | 17,346 | 248 |
* Orbital Sciences Corp. | 17,691 | 244 |
* Spirit Airlines Inc. | 12,476 | 244 |
* Interline Brands Inc. | 9,554 | 243 |
Amerco Inc. | 2,600 | 242 |
Interface Inc. Class A | 17,568 | 241 |
Cubic Corp. | 4,771 | 241 |
AZZ Inc. | 7,573 | 241 |
Tennant Co. | 5,652 | 237 |
* EnPro Industries Inc. | 6,174 | 232 |
* Aegion Corp. Class A | 11,775 | 230 |
Universal Forest Products Inc. | 5,914 | 227 |
* DigitalGlobe Inc. | 10,848 | 225 |
* ACCO Brands Corp. | 33,886 | 223 |
* Huron Consulting Group Inc. | 6,876 | 222 |
Steelcase Inc. Class A | 22,817 | 221 |
Kaydon Corp. | 9,610 | 214 |
* On Assignment Inc. | 12,880 | 213 |
* Exponent Inc. | 4,023 | 209 |
Knoll Inc. | 14,377 | 209 |
* Trimas Corp. | 9,658 | 208 |
* Korn/Ferry International | 14,341 | 205 |
Aircastle Ltd. | 17,616 | 201 |
* Mobile Mini Inc. | 11,464 | 196 |
* Swift Transportation Co. | 23,687 | 193 |
Quanex Building Products Corp. | 11,028 | 193 |
* Seaboard Corp. | 92 | 192 |
* Blount International Inc. | 14,680 | 189 |
* TrueBlue Inc. | 12,116 | 188 |
Heartland Express Inc. | 14,393 | 187 |
McGrath RentCorp | 7,427 | 187 |
* Team Inc. | 5,971 | 187 |
* Encore Capital Group Inc. | 6,570 | 184 |
Mueller Water Products Inc. Class A | 46,989 | 180 |
AAR Corp. | 12,083 | 180 |
G&K Services Inc. Class A | 5,650 | 177 |
* Astec Industries Inc. | 6,020 | 177 |
NACCO Industries Inc. Class A | 1,653 | 176 |
Albany International Corp. | 8,282 | 175 |
Ceradyne Inc. | 7,283 | 173 |
* Navigant Consulting Inc. | 15,550 | 172 |
* Rush Enterprises Inc. Class A | 9,977 | 170 |
Standex International Corp. | 3,787 | 169 |
Insperity Inc. | 6,805 | 166 |
CIRCOR International Inc. | 5,220 | 166 |
* GenCorp Inc. | 17,905 | 163 |
Generac Holdings Inc. | 7,418 | 160 |
* Sykes Enterprises Inc. | 11,676 | 158 |
American Science & Engineering Inc. | 2,633 | 157 |
* RailAmerica Inc. | 5,670 | 155 |
* H&E Equipment Services Inc. | 8,607 | 152 |
Altra Holdings Inc. | 8,079 | 149 |
* Dycom Industries Inc. | 10,083 | 146 |
Sun Hydraulics Corp. | 6,198 | 143 |
Resources Connection Inc. | 12,747 | 143 |
Encore Wire Corp. | 4,962 | 141 |
John Bean Technologies Corp. | 8,676 | 138 |
Quad/Graphics Inc. | 7,554 | 138 |
* Trex Co. Inc. | 4,474 | 138 |
21
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Wabash National Corp. | 20,492 | 137 |
Cascade Corp. | 2,764 | 136 |
Apogee Enterprises Inc. | 8,483 | 134 |
SkyWest Inc. | 15,279 | 134 |
Sauer-Danfoss Inc. | 3,501 | 133 |
Griffon Corp. | 13,646 | 132 |
* ICF International Inc. | 5,972 | 132 |
^ Textainer Group Holdings Ltd. | 3,684 | 130 |
* Rexnord Corp. | 8,639 | 130 |
Great Lakes Dredge & Dock Corp. | 17,729 | 130 |
* Meritor Inc. | 28,938 | 129 |
Gorman-Rupp Co. | 4,560 | 126 |
* MYR Group Inc. | 6,153 | 125 |
Viad Corp. | 6,079 | 124 |
* Aerovironment Inc. | 5,202 | 124 |
* DXP Enterprises Inc. | 2,643 | 122 |
* GeoEye Inc. | 4,536 | 122 |
* Nortek Inc. | 2,326 | 120 |
* Titan Machinery Inc. | 5,074 | 117 |
* Layne Christensen Co. | 5,959 | 116 |
Comfort Systems USA Inc. | 11,224 | 116 |
* InnerWorkings Inc. | 9,541 | 115 |
Ennis Inc. | 7,859 | 115 |
* Tutor Perini Corp. | 10,733 | 114 |
* Federal Signal Corp. | 18,696 | 112 |
Primoris Services Corp. | 8,991 | 111 |
Kimball International Inc. Class B | 9,801 | 110 |
* Standard Parking Corp. | 4,713 | 109 |
National Presto Industries Inc. | 1,448 | 105 |
* Saia Inc. | 4,820 | 105 |
US Ecology Inc. | 5,517 | 104 |
AAON Inc. | 5,597 | 103 |
* Mistras Group Inc. | 4,703 | 103 |
* Powell Industries Inc. | 2,692 | 102 |
* Kforce Inc. | 8,676 | 102 |
* Thermon Group Holdings Inc. | 4,433 | 101 |
Global Power Equipment Group Inc. | 5,177 | 101 |
* Gibraltar Industries Inc. | 9,198 | 101 |
Celadon Group Inc. | 6,040 | 100 |
Kelly Services Inc. Class A | 8,076 | 100 |
* Greenbrier Cos. Inc. | 6,884 | 99 |
Douglas Dynamics Inc. | 6,677 | 94 |
* Hawaiian Holdings Inc. | 15,413 | 91 |
* Capstone Turbine Corp. | 90,105 | 90 |
* Taser International Inc. | 16,757 | 90 |
* GP Strategies Corp. | 4,465 | 90 |
LB Foster Co. Class A | 2,753 | 89 |
* Columbus McKinnon Corp. | 5,866 | 87 |
* Astronics Corp. | 3,088 | 86 |
Multi-Color Corp. | 4,082 | 83 |
Marten Transport Ltd. | 4,712 | 83 |
* American Railcar Industries Inc. | 2,864 | 82 |
* Odyssey Marine Exploration Inc. | 22,171 | 80 |
* Kadant Inc. | 3,537 | 80 |
* Echo Global Logistics Inc. | 4,471 | 79 |
* XPO Logistics Inc. | 5,339 | 79 |
* CAI International Inc. | 3,889 | 77 |
* RPX Corp. | 6,246 | 73 |
* Air Transport Services Group Inc. | 15,690 | 73 |
* Wesco Aircraft Holdings Inc. | 5,203 | 73 |
* EnerNOC Inc. | 7,277 | 72 |
* Ameresco Inc. Class A | 5,950 | 71 |
Aceto Corp. | 7,918 | 71 |
* Accuride Corp. | 13,971 | 70 |
22
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2012 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Northwest Pipe Co. | 2,767 | 70 |
Arkansas Best Corp. | 7,517 | 69 | |
CDI Corp. | 4,045 | 67 | |
* | Roadrunner Transportation Systems Inc. | 3,800 | 66 |
Heidrick & Struggles International Inc. | 5,310 | 65 | |
* | Lydall Inc. | 5,055 | 65 |
Dynamic Materials Corp. | 3,986 | 64 | |
* | Republic Airways Holdings Inc. | 14,309 | 64 |
* | Consolidated Graphics Inc. | 2,375 | 64 |
FreightCar America Inc. | 3,533 | 63 | |
* | Zipcar Inc. | 7,941 | 63 |
SeaCube Container Leasing Ltd. | 3,282 | 63 | |
* | CBIZ Inc. | 11,314 | 63 |
* | KEYW Holding Corp. | 5,553 | 63 |
* | Quality Distribution Inc. | 6,363 | 62 |
* | Commercial Vehicle Group Inc. | 7,322 | 62 |
* | Orion Marine Group Inc. | 8,086 | 62 |
* | Michael Baker Corp. | 2,576 | 61 |
* | Swisher Hygiene Inc. | 33,720 | 60 |
Alamo Group Inc. | 2,047 | 60 | |
* | Builders FirstSource Inc. | 13,272 | 59 |
Houston Wire & Cable Co. | 5,324 | 58 | |
* | NCI Building Systems Inc. | 5,432 | 58 |
* | EnergySolutions Inc. | 23,405 | 57 |
* | Kratos Defense & Security Solutions Inc. | 11,936 | 57 |
* | American Woodmark Corp. | 2,922 | 57 |
Graham Corp. | 2,935 | 56 | |
* | Park-Ohio Holdings Corp. | 2,574 | 55 |
* | Pendrell Corp. | 45,712 | 55 |
* | Furmanite Corp. | 10,997 | 54 |
Insteel Industries Inc. | 5,352 | 54 | |
Barrett Business Services Inc. | 2,086 | 53 | |
* | LMI Aerospace Inc. | 2,659 | 52 |
Miller Industries Inc. | 3,354 | 51 | |
Argan Inc. | 2,952 | 49 | |
* | CRA International Inc. | 3,112 | 49 |
* | Patriot Transportation Holding Inc. | 1,879 | 48 |
Twin Disc Inc. | 2,597 | 48 | |
* | Sterling Construction Co. Inc. | 4,819 | 47 |
*,^ | Proto Labs Inc. | 1,483 | 47 |
* | Flow International Corp. | 14,129 | 47 |
* | Hudson Global Inc. | 10,035 | 47 |
* | Pike Electric Corp. | 5,191 | 46 |
Schawk Inc. Class A | 3,513 | 46 | |
* | FuelCell Energy Inc. | 44,672 | 44 |
* | PMFG Inc. | 6,133 | 44 |
* | American Superconductor Corp. | 11,761 | 44 |
^ | Acorn Energy Inc. | 5,282 | 43 |
* | American Reprographics Co. | 10,785 | 43 |
* | Pacer International Inc. | 10,389 | 43 |
* | NN Inc. | 5,032 | 42 |
Ampco-Pittsburgh Corp. | 2,515 | 42 | |
* | Franklin Covey Co. | 4,093 | 42 |
Preformed Line Products Co. | 703 | 41 | |
* | Heritage-Crystal Clean Inc. | 2,284 | 41 |
Met-Pro Corp. | 4,381 | 40 | |
* | Hurco Cos. Inc. | 1,925 | 40 |
* | TMS International Corp. Class A | 3,846 | 39 |
* | Rand Logistics Inc. | 5,302 | 38 |
LSI Industries Inc. | 5,762 | 38 | |
* | Casella Waste Systems Inc. Class A | 7,788 | 37 |
* | Vicor Corp. | 5,885 | 35 |
* | Edgen Group Inc. | 4,552 | 34 |
* | Energy Recovery Inc. | 13,406 | 34 |
23
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2012 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Courier Corp. | 2,982 | 33 | |
* | Cenveo Inc. | 16,565 | 33 |
Eastern Co. | 1,892 | 32 | |
* | WageWorks Inc. | 1,886 | 32 |
Hardinge Inc. | 3,577 | 32 | |
* | Dolan Co. | 8,952 | 32 |
* | TRC Cos. Inc. | 4,425 | 31 |
* | Asset Acceptance Capital Corp. | 4,674 | 30 |
Asta Funding Inc. | 3,191 | 30 | |
Intersections Inc. | 2,767 | 30 | |
* | API Technologies Corp. | 9,325 | 29 |
VSE Corp. | 1,194 | 28 | |
* | AT Cross Co. Class A | 2,768 | 27 |
International Shipholding Corp. | 1,623 | 27 | |
* | Metalico Inc. | 11,682 | 27 |
* | Genco Shipping & Trading Ltd. | 8,977 | 26 |
* | Hill International Inc. | 6,650 | 25 |
* | CPI Aerostructures Inc. | 1,994 | 25 |
Coleman Cable Inc. | 2,605 | 25 | |
Universal Truckload Services Inc. | 1,605 | 23 | |
NL Industries Inc. | 1,928 | 22 | |
Sypris Solutions Inc. | 3,146 | 21 | |
Ceco Environmental Corp. | 2,147 | 20 | |
* | Willis Lease Finance Corp. | 1,624 | 20 |
* | PGT Inc. | 5,860 | 19 |
* | BlueLinx Holdings Inc. | 7,407 | 16 |
* | Patrick Industries Inc. | 1,223 | 16 |
SIFCO Industries Inc. | 785 | 15 | |
* | Enphase Energy Inc. | 2,546 | 13 |
*,^ | A123 Systems Inc. | 33,084 | 9 |
* | Omega Flex Inc. | 738 | 8 |
Compx International Inc. | 341 | 4 | |
* | Astronics Corp. Class B | 85 | 3 |
* | United Rentals Inc. | 1 | — |
51,885 | |||
Information Technology (17.3%) | |||
* | Cirrus Logic Inc. | 19,339 | 806 |
* | Ultimate Software Group Inc. | 7,987 | 792 |
* | Wright Express Corp. | 11,656 | 767 |
* | Parametric Technology Corp. | 35,863 | 762 |
* | CoStar Group Inc. | 8,460 | 687 |
* | Aspen Technology Inc. | 28,065 | 684 |
* | CommVault Systems Inc. | 13,396 | 675 |
* | Aruba Networks Inc. | 33,535 | 659 |
*,^ | 3D Systems Corp. | 14,037 | 614 |
FEI Co. | 11,379 | 611 | |
MAXIMUS Inc. | 10,182 | 554 | |
Convergys Corp. | 34,993 | 543 | |
* | QLIK Technologies Inc. | 25,601 | 541 |
* | Microsemi Corp. | 26,648 | 531 |
* | Cymer Inc. | 9,279 | 526 |
* | ACI Worldwide Inc. | 11,924 | 517 |
Anixter International Inc. | 8,460 | 509 | |
* | Hittite Microwave Corp. | 9,452 | 495 |
* | Semtech Corp. | 19,651 | 482 |
* | Cavium Inc. | 14,911 | 482 |
* | Universal Display Corp. | 11,914 | 481 |
* | Quest Software Inc. | 16,794 | 469 |
Cognex Corp. | 12,847 | 464 | |
* | Arris Group Inc. | 33,903 | 462 |
* | Mentor Graphics Corp. | 27,934 | 462 |
* | Sourcefire Inc. | 8,864 | 460 |
Plantronics Inc. | 12,750 | 455 | |
InterDigital Inc. | 13,302 | 449 |
24
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2012 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | OSI Systems Inc. | 5,955 | 441 |
Fair Isaac Corp. | 10,283 | 439 | |
* | ViaSat Inc. | 11,253 | 435 |
MKS Instruments Inc. | 15,757 | 427 | |
* | CACI International Inc. Class A | 7,987 | 426 |
* | NETGEAR Inc. | 11,391 | 417 |
* | Stratasys Inc. | 6,386 | 413 |
j2 Global Inc. | 13,875 | 409 | |
* | Ciena Corp. | 29,738 | 407 |
* | Veeco Instruments Inc. | 11,655 | 400 |
* | Comverse Technology Inc. | 65,696 | 394 |
* | JDA Software Group Inc. | 12,762 | 393 |
* | Acxiom Corp. | 23,036 | 393 |
Tellabs Inc. | 109,833 | 390 | |
ADTRAN Inc. | 19,110 | 388 | |
* | Finisar Corp. | 27,376 | 376 |
* | Kenexa Corp. | 8,199 | 376 |
* | Cardtronics Inc. | 13,232 | 374 |
* | Sapient Corp. | 36,946 | 374 |
* | Liquidity Services Inc. | 7,067 | 370 |
* | VistaPrint NV | 10,248 | 370 |
* | ValueClick Inc. | 22,520 | 366 |
* | Tyler Technologies Inc. | 9,029 | 364 |
* | Progress Software Corp. | 18,849 | 362 |
* | Entegris Inc. | 41,167 | 362 |
* | International Rectifier Corp. | 20,751 | 361 |
* | First Solar Inc. | 18,061 | 361 |
* | QLogic Corp. | 29,227 | 356 |
Heartland Payment Systems Inc. | 11,627 | 353 | |
* | DealerTrack Holdings Inc. | 12,729 | 352 |
* | TiVo Inc. | 37,398 | 340 |
Intersil Corp. Class A | 38,223 | 338 | |
* | Coherent Inc. | 7,100 | 334 |
Littelfuse Inc. | 6,499 | 333 | |
Blackbaud Inc. | 13,537 | 330 | |
*,^ | VirnetX Holding Corp. | 12,585 | 327 |
* | MicroStrategy Inc. Class A | 2,556 | 321 |
* | Plexus Corp. | 10,492 | 314 |
* | RF Micro Devices Inc. | 83,421 | 313 |
* | Manhattan Associates Inc. | 6,094 | 308 |
* | Synaptics Inc. | 10,101 | 307 |
* | BroadSoft Inc. | 8,243 | 298 |
Power Integrations Inc. | 8,512 | 295 | |
* | OpenTable Inc. | 6,769 | 287 |
* | TriQuint Semiconductor Inc. | 50,545 | 281 |
NIC Inc. | 19,332 | 279 | |
* | Unisys Corp. | 13,143 | 278 |
* | Benchmark Electronics Inc. | 17,292 | 278 |
* | RealPage Inc. | 10,747 | 274 |
* | LivePerson Inc. | 16,505 | 272 |
* | SYNNEX Corp. | 7,885 | 272 |
* | Cornerstone OnDemand Inc. | 10,092 | 271 |
* | Euronet Worldwide Inc. | 15,220 | 270 |
Syntel Inc. | 4,629 | 270 | |
* | Ancestry.com Inc. | 8,679 | 270 |
* | Netscout Systems Inc. | 11,015 | 262 |
* | Ultratech Inc. | 7,861 | 259 |
* | OmniVision Technologies Inc. | 15,706 | 255 |
* | Monster Worldwide Inc. | 36,366 | 253 |
* | ScanSource Inc. | 8,272 | 250 |
MTS Systems Corp. | 4,822 | 245 | |
Loral Space & Communications Inc. | 3,297 | 242 | |
* | Take-Two Interactive Software Inc. | 23,452 | 240 |
* | Insight Enterprises Inc. | 13,319 | 239 |
25
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Bankrate Inc. | 13,854 | 238 |
Tessera Technologies Inc. | 15,565 | 238 |
* Bottomline Technologies Inc. | 10,484 | 235 |
Cabot Microelectronics Corp. | 7,066 | 235 |
* Integrated Device Technology Inc. | 42,670 | 227 |
* WebMD Health Corp. | 15,194 | 227 |
* SS&C Technologies Holdings Inc. | 10,160 | 225 |
* Advent Software Inc. | 9,466 | 225 |
* CSG Systems International Inc. | 10,191 | 216 |
* Electronics for Imaging Inc. | 13,921 | 215 |
EarthLink Inc. | 31,853 | 213 |
* Sanmina-SCI Corp. | 24,443 | 211 |
* GT Advanced Technologies Inc. | 35,493 | 206 |
Ebix Inc. | 8,478 | 203 |
* FARO Technologies Inc. | 5,075 | 200 |
* Monolithic Power Systems Inc. | 9,152 | 197 |
* Diodes Inc. | 10,647 | 197 |
* Ellie Mae Inc. | 7,545 | 194 |
* Rogers Corp. | 4,880 | 194 |
* Synchronoss Technologies Inc. | 8,289 | 191 |
* Ixia | 12,647 | 188 |
* Verint Systems Inc. | 6,537 | 187 |
* Infinera Corp. | 32,907 | 187 |
* Rofin-Sinar Technologies Inc. | 8,562 | 186 |
* Brightpoint Inc. | 20,723 | 186 |
* MEMC Electronic Materials Inc. | 69,226 | 186 |
* Blucora Inc. | 12,006 | 185 |
* Digital River Inc. | 11,070 | 184 |
* Volterra Semiconductor Corp. | 7,608 | 181 |
* ATMI Inc. | 9,574 | 181 |
* ExlService Holdings Inc. | 7,005 | 181 |
* Constant Contact Inc. | 9,121 | 178 |
* Emulex Corp. | 26,031 | 178 |
* Web.com Group Inc. | 10,513 | 175 |
* Websense Inc. | 11,161 | 172 |
* TTM Technologies Inc. | 15,943 | 169 |
* Guidewire Software Inc. | 5,811 | 166 |
* Monotype Imaging Holdings Inc. | 10,968 | 166 |
* Spansion Inc. Class A | 14,465 | 165 |
Park Electrochemical Corp. | 6,238 | 162 |
* Harmonic Inc. | 35,262 | 161 |
Brooks Automation Inc. | 19,889 | 159 |
* iGATE Corp. | 9,641 | 155 |
Mantech International Corp. Class A | 6,930 | 155 |
* Advanced Energy Industries Inc. | 11,917 | 152 |
Comtech Telecommunications Corp. | 5,387 | 151 |
* Global Cash Access Holdings Inc. | 19,724 | 151 |
* comScore Inc. | 10,599 | 150 |
Badger Meter Inc. | 4,353 | 148 |
* Measurement Specialties Inc. | 4,533 | 147 |
* LogMeIn Inc. | 6,619 | 145 |
* Tangoe Inc. | 8,943 | 145 |
Micrel Inc. | 14,563 | 145 |
* Entropic Communications Inc. | 26,390 | 143 |
* Newport Corp. | 11,460 | 142 |
* Rambus Inc. | 33,114 | 142 |
OPNET | 4,480 | 140 |
Pegasystems Inc. | 5,156 | 139 |
* ServiceSource International Inc. | 14,888 | 138 |
* Lattice Semiconductor Corp. | 35,381 | 138 |
* InvenSense Inc. | 10,917 | 137 |
Black Box Corp. | 5,253 | 137 |
United Online Inc. | 27,173 | 135 |
* Active Network Inc. | 11,653 | 131 |
26
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* RealD Inc. | 13,191 | 131 |
* Interactive Intelligence Group Inc. | 4,404 | 130 |
* Accelrys Inc. | 16,650 | 128 |
* Cray Inc. | 11,107 | 127 |
Forrester Research Inc. | 4,227 | 124 |
* Power-One Inc. | 20,135 | 124 |
* DTS Inc. | 5,490 | 123 |
* Sonus Networks Inc. | 63,845 | 123 |
* Procera Networks Inc. | 5,779 | 122 |
* Vocus Inc. | 6,195 | 120 |
* Higher One Holdings Inc. | 9,659 | 119 |
* Silicon Image Inc. | 25,014 | 118 |
* Internap Network Services Corp. | 15,943 | 115 |
* OCZ Technology Group Inc. | 20,234 | 115 |
* TeleTech Holdings Inc. | 6,901 | 114 |
* PROS Holdings Inc. | 6,568 | 113 |
* Quantum Corp. | 70,483 | 113 |
* Ceva Inc. | 6,974 | 112 |
Cass Information Systems Inc. | 2,796 | 112 |
* SPS Commerce Inc. | 3,186 | 111 |
EPIQ Systems Inc. | 9,479 | 111 |
* Amkor Technology Inc. | 23,548 | 110 |
* Dice Holdings Inc. | 13,724 | 110 |
* Super Micro Computer Inc. | 8,761 | 108 |
* Nanometrics Inc. | 7,067 | 108 |
* TNS Inc. | 7,355 | 107 |
* AuthenTec Inc. | 13,390 | 107 |
* Intermec Inc. | 18,042 | 107 |
* Photronics Inc. | 18,165 | 107 |
Methode Electronics Inc. | 11,143 | 105 |
Daktronics Inc. | 10,872 | 104 |
* Actuate Corp. | 14,834 | 104 |
* Responsys Inc. | 10,767 | 103 |
* MoneyGram International Inc. | 6,460 | 103 |
* Perficient Inc. | 9,614 | 103 |
* Angie's List Inc. | 10,712 | 102 |
CTS Corp. | 10,260 | 101 |
* Extreme Networks | 28,363 | 101 |
* Checkpoint Systems Inc. | 12,183 | 97 |
Electro Rent Corp. | 5,653 | 97 |
* MIPS Technologies Inc. Class A | 14,430 | 96 |
* Applied Micro Circuits Corp. | 18,718 | 96 |
* Zygo Corp. | 4,917 | 95 |
* Virtusa Corp. | 5,619 | 95 |
* Stamps.com Inc. | 4,273 | 95 |
* Oplink Communications Inc. | 5,754 | 92 |
* Move Inc. | 11,849 | 92 |
* Demand Media Inc. | 9,046 | 92 |
* Sycamore Networks Inc. | 6,189 | 91 |
* Mercury Computer Systems Inc. | 9,347 | 91 |
* SciQuest Inc. | 5,394 | 91 |
* Rudolph Technologies Inc. | 9,697 | 91 |
* Imperva Inc. | 2,939 | 89 |
* PDF Solutions Inc. | 7,290 | 88 |
* Anaren Inc. | 4,379 | 86 |
* Deltek Inc. | 6,642 | 86 |
* Exar Corp. | 11,245 | 86 |
Electro Scientific Industries Inc. | 6,926 | 85 |
* QuinStreet Inc. | 9,888 | 85 |
* LTX-Credence Corp. | 14,838 | 84 |
* Inphi Corp. | 7,072 | 84 |
* Avid Technology Inc. | 9,030 | 83 |
* Globecomm Systems Inc. | 6,975 | 83 |
* Glu Mobile Inc. | 16,378 | 83 |
27
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2012 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Saba Software Inc. | 8,793 | 83 |
* | Silicon Graphics International Corp. | 9,667 | 83 |
* | NVE Corp. | 1,461 | 82 |
* | Integrated Silicon Solution Inc. | 8,267 | 82 |
* | Digi International Inc. | 7,797 | 81 |
* | VASCO Data Security International Inc. | 8,534 | 80 |
* | Fabrinet | 6,682 | 80 |
* | STEC Inc. | 10,735 | 80 |
* | GSI Group Inc. | 8,833 | 80 |
* | Symmetricom Inc. | 12,612 | 78 |
* | PLX Technology Inc. | 13,560 | 77 |
* | CIBER Inc. | 21,506 | 75 |
* | FormFactor Inc. | 14,646 | 75 |
* | Computer Task Group Inc. | 4,510 | 72 |
* | Jive Software Inc. | 4,779 | 72 |
* | FSI International Inc. | 11,569 | 71 |
* | Envestnet Inc. | 6,127 | 71 |
* | IXYS Corp. | 7,243 | 70 |
* | Seachange International Inc. | 8,495 | 69 |
* | Kopin Corp. | 19,728 | 69 |
* | Sigma Designs Inc. | 9,724 | 67 |
* | Maxwell Technologies Inc. | 8,684 | 66 |
* | CalAmp Corp. | 8,565 | 65 |
* | Multi-Fineline Electronix Inc. | 2,597 | 64 |
Cohu Inc. | 7,221 | 64 | |
* | Calix Inc. | 11,719 | 62 |
* | Kemet Corp. | 13,351 | 62 |
Bel Fuse Inc. Class B | 3,171 | 62 | |
* | XO Group Inc. | 7,758 | 62 |
Keynote Systems Inc. | 4,644 | 61 | |
* | ExactTarget Inc. | 2,880 | 61 |
* | KVH Industries Inc. | 4,400 | 60 |
* | Lionbridge Technologies Inc. | 16,970 | 60 |
* | IntraLinks Holdings Inc. | 10,763 | 58 |
American Software Inc. Class A | 7,009 | 58 | |
* | ShoreTel Inc. | 14,389 | 58 |
* | Pericom Semiconductor Corp. | 7,072 | 57 |
* | Oclaro Inc. | 21,756 | 56 |
*,^ | Yelp Inc. | 2,531 | 56 |
* | Supertex Inc. | 3,117 | 54 |
* | KIT Digital Inc. | 16,478 | 54 |
* | Imation Corp. | 9,340 | 53 |
* | Parkervision Inc. | 23,024 | 53 |
* | SunPower Corp. Class A | 11,759 | 53 |
* | RealNetworks Inc. | 6,454 | 51 |
* | Demandware Inc. | 1,959 | 51 |
* | PRGX Global Inc. | 6,267 | 51 |
* | Infoblox Inc. | 2,292 | 50 |
* | Vishay Precision Group Inc. | 3,633 | 49 |
Richardson Electronics Ltd. | 4,058 | 49 | |
* | Immersion Corp. | 8,437 | 48 |
* | Travelzoo Inc. | 2,142 | 48 |
* | Alpha & Omega Semiconductor Ltd. | 5,078 | 48 |
Telular Corp. | 4,973 | 48 | |
* | Zix Corp. | 18,372 | 47 |
* | Bazaarvoice Inc. | 3,134 | 47 |
* | Callidus Software Inc. | 10,231 | 46 |
Digimarc Corp. | 2,094 | 46 | |
* | Guidance Software Inc. | 4,249 | 45 |
* | support.com Inc. | 14,391 | 44 |
* | Unwired Planet Inc. | 25,615 | 44 |
* | Rubicon Technology Inc. | 5,136 | 43 |
* | Intevac Inc. | 6,901 | 43 |
* | Aeroflex Holding Corp. | 5,943 | 42 |
28
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2012 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Ultra Clean Holdings | 7,096 | 42 |
* | Aviat Networks Inc. | 18,261 | 42 |
* | Limelight Networks Inc. | 17,756 | 41 |
* | ePlus Inc. | 1,184 | 40 |
* | Millennial Media Inc. | 3,472 | 40 |
* | Datalink Corp. | 4,600 | 38 |
* | Echelon Corp. | 11,458 | 38 |
* | MaxLinear Inc. | 6,650 | 38 |
*,^ | Ubiquiti Networks Inc. | 3,151 | 38 |
* | DSP Group Inc. | 6,560 | 38 |
* | Rosetta Stone Inc. | 3,201 | 37 |
Mesa Laboratories Inc. | 782 | 37 | |
* | Agilysys Inc. | 4,403 | 37 |
* | ModusLink Global Solutions Inc. | 11,841 | 36 |
PC-Tel Inc. | 5,629 | 35 | |
* | MoSys Inc. | 10,208 | 35 |
* | Key Tronic Corp. | 3,204 | 35 |
* | Axcelis Technologies Inc. | 33,066 | 35 |
* | QuickLogic Corp. | 12,913 | 35 |
* | Pervasive Software Inc. | 4,050 | 34 |
* | Market Leader Inc. | 6,674 | 34 |
* | Audience Inc. | 1,852 | 33 |
* | NeoPhotonics Corp. | 6,010 | 33 |
* | AXT Inc. | 9,947 | 33 |
* | Westell Technologies Inc. Class A | 14,908 | 32 |
PC Connection Inc. | 2,580 | 31 | |
* | Numerex Corp. Class A | 2,909 | 30 |
* | Intermolecular Inc. | 4,021 | 30 |
* | TeleNav Inc. | 4,918 | 30 |
Tessco Technologies Inc. | 1,559 | 30 | |
* | Ipass Inc. | 15,902 | 29 |
* | STR Holdings Inc. | 8,853 | 28 |
* | Mindspeed Technologies Inc. | 10,403 | 27 |
* | Innodata Inc. | 6,482 | 27 |
* | Hackett Group Inc. | 7,073 | 27 |
* | GSI Technology Inc. | 5,967 | 26 |
* | Neonode Inc. | 6,486 | 26 |
* | TechTarget Inc. | 4,513 | 25 |
* | Carbonite Inc. | 3,305 | 25 |
* | EPAM Systems Inc. | 1,421 | 25 |
* | AVG Technologies NV | 2,344 | 24 |
* | Radisys Corp. | 6,690 | 24 |
* | ANADIGICS Inc. | 20,686 | 24 |
* | Proofpoint Inc. | 1,853 | 24 |
* | Brightcove Inc. | 1,793 | 23 |
Marchex Inc. Class B | 6,726 | 23 | |
QAD Inc. Class A | 1,836 | 22 | |
Aware Inc. | 3,754 | 22 | |
* | M/A-COM Technology Solutions Holdings Inc. | 1,816 | 21 |
* | Spark Networks Inc. | 3,425 | 19 |
* | FalconStor Software Inc. | 9,693 | 18 |
* | Viasystems Group Inc. | 1,164 | 18 |
* | Mattersight Corp. | 3,119 | 17 |
* | Mattson Technology Inc. | 17,856 | 17 |
* | Synacor Inc. | 2,058 | 16 |
* | Sapiens International Corp. NV | 4,244 | 16 |
*,^ | MeetMe Inc. | 5,777 | 14 |
* | Envivio Inc. | 2,087 | 5 |
* | Ambient Corp. | 728 | 4 |
60,836 | |||
Materials (4.9%) | |||
* | Coeur d'Alene Mines Corp. | 26,959 | 620 |
Eagle Materials Inc. | 13,581 | 579 | |
* | Louisiana-Pacific Corp. | 41,245 | 553 |
29
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Sensient Technologies Corp. | 14,973 | 537 |
Olin Corp. | 24,022 | 515 |
* Chemtura Corp. | 29,592 | 489 |
Hecla Mining Co. | 85,566 | 463 |
HB Fuller Co. | 14,964 | 455 |
PolyOne Corp. | 26,871 | 424 |
Georgia Gulf Corp. | 10,270 | 407 |
* Stillwater Mining Co. | 34,718 | 366 |
Minerals Technologies Inc. | 5,324 | 361 |
Buckeye Technologies Inc. | 11,819 | 358 |
* SunCoke Energy Inc. | 20,999 | 332 |
Worthington Industries Inc. | 15,669 | 327 |
Kaiser Aluminum Corp. | 5,787 | 323 |
Balchem Corp. | 8,777 | 320 |
Innophos Holdings Inc. | 6,537 | 309 |
* Resolute Forest Products | 24,295 | 305 |
Schweitzer-Mauduit International Inc. | 9,361 | 302 |
* Graphic Packaging Holding Co. | 50,228 | 281 |
Globe Specialty Metals Inc. | 18,435 | 269 |
* Clearwater Paper Corp. | 7,013 | 265 |
* Texas Industries Inc. | 6,772 | 264 |
American Vanguard Corp. | 8,349 | 246 |
* KapStone Paper and Packaging Corp. | 12,118 | 243 |
Stepan Co. | 2,519 | 241 |
* McEwen Mining Inc. | 59,140 | 234 |
* Calgon Carbon Corp. | 17,073 | 233 |
AMCOL International Corp. | 7,566 | 228 |
Boise Inc. | 30,139 | 227 |
* Innospec Inc. | 6,920 | 218 |
PH Glatfelter Co. | 12,825 | 215 |
A Schulman Inc. | 8,853 | 215 |
* LSB Industries Inc. | 5,628 | 212 |
Schnitzer Steel Industries Inc. | 7,572 | 209 |
* Kraton Performance Polymers Inc. | 9,670 | 207 |
Koppers Holdings Inc. | 6,225 | 202 |
Deltic Timber Corp. | 3,268 | 200 |
* RTI International Metals Inc. | 9,093 | 197 |
Quaker Chemical Corp. | 3,885 | 183 |
Haynes International Inc. | 3,685 | 180 |
* OM Group Inc. | 9,716 | 179 |
* Flotek Industries Inc. | 14,836 | 176 |
AK Steel Holding Corp. | 33,160 | 173 |
Gold Resource Corp. | 8,951 | 170 |
* TPC Group Inc. | 3,883 | 159 |
Myers Industries Inc. | 10,052 | 149 |
Neenah Paper Inc. | 4,747 | 132 |
Materion Corp. | 6,125 | 130 |
* Headwaters Inc. | 18,335 | 122 |
Wausau Paper Corp. | 13,236 | 119 |
Tredegar Corp. | 7,259 | 117 |
* Horsehead Holding Corp. | 13,164 | 116 |
* Golden Star Resources Ltd. | 77,969 | 110 |
* Omnova Solutions Inc. | 13,896 | 108 |
Hawkins Inc. | 2,755 | 106 |
* Paramount Gold and Silver Corp. | 39,391 | 98 |
Zep Inc. | 6,687 | 97 |
* Century Aluminum Co. | 15,523 | 97 |
* Ferro Corp. | 26,181 | 86 |
* Landec Corp. | 7,557 | 74 |
* Universal Stainless & Alloy | 2,023 | 73 |
* Zoltek Cos. Inc. | 8,124 | 69 |
* AM Castle & Co. | 4,929 | 64 |
* ADA-ES Inc. | 2,689 | 63 |
* AEP Industries Inc. | 1,247 | 63 |
30
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2012 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Gold Reserve Inc. Class A | 15,695 | 61 |
FutureFuel Corp. | 5,782 | 60 | |
Noranda Aluminum Holding Corp. | 9,917 | 59 | |
* | Arabian American Development Co. | 5,977 | 58 |
* | General Moly Inc. | 20,190 | 55 |
* | Vista Gold Corp. | 17,611 | 54 |
* | Midway Gold Corp. | 38,135 | 52 |
* | Metals USA Holdings Corp. | 3,436 | 47 |
* | Spartech Corp. | 9,093 | 46 |
* | Golden Minerals Co. | 8,565 | 46 |
Olympic Steel Inc. | 2,702 | 43 | |
KMG Chemicals Inc. | 2,323 | 43 | |
* | US Silica Holdings Inc. | 3,572 | 42 |
* | US Antimony Corp. | 15,938 | 41 |
Chase Corp. | 1,842 | 30 | |
* | UFP Technologies Inc. | 1,596 | 27 |
* | Revett Minerals Inc. | 7,672 | 24 |
* | United States Lime & Minerals Inc. | 515 | 23 |
* | Handy & Harman Ltd. | 1,592 | 22 |
* | GSE Holding Inc. | 2,402 | 20 |
17,017 | |||
Telecommunication Services (0.7%) | |||
* | Cincinnati Bell Inc. | 59,145 | 277 |
Cogent Communications Group Inc. | 14,044 | 275 | |
Consolidated Communications Holdings Inc. | 12,004 | 195 | |
* | Premiere Global Services Inc. | 15,012 | 139 |
* | 8x8 Inc. | 21,217 | 126 |
*,^ | magicJack VocalTec Ltd. | 4,538 | 112 |
* | Iridium Communications Inc. | 14,944 | 111 |
Shenandoah Telecommunications Co. | 7,172 | 110 | |
* | Vonage Holdings Corp. | 47,925 | 103 |
Atlantic Tele-Network Inc. | 2,711 | 102 | |
* | General Communication Inc. Class A | 11,113 | 98 |
* | Neutral Tandem Inc. | 8,475 | 93 |
* | Leap Wireless International Inc. | 16,264 | 89 |
NTELOS Holdings Corp. | 4,380 | 75 | |
USA Mobility Inc. | 6,538 | 75 | |
* | Cbeyond Inc. | 8,062 | 65 |
* | Towerstream Corp. | 14,224 | 61 |
Primus Telecommunications Group Inc. | 3,678 | 53 | |
* | inContact Inc. | 9,196 | 52 |
* | Hawaiian Telcom Holdco Inc. | 3,025 | 52 |
IDT Corp. Class B | 4,562 | 46 | |
HickoryTech Corp. | 4,074 | 43 | |
* | Fairpoint Communications Inc. | 6,159 | 40 |
Lumos Networks Corp. | 4,530 | 39 | |
* | ORBCOMM Inc. | 10,775 | 38 |
* | Boingo Wireless Inc. | 4,728 | 35 |
2,504 | |||
Utilities (3.7%) | |||
Cleco Corp. | 18,271 | 748 | |
Piedmont Natural Gas Co. Inc. | 21,500 | 671 | |
IDACORP Inc. | 15,025 | 623 | |
Portland General Electric Co. | 22,646 | 608 | |
WGL Holdings Inc. | 15,457 | 603 | |
Southwest Gas Corp. | 13,830 | 591 | |
* | GenOn Energy Inc. | 231,795 | 586 |
New Jersey Resources Corp. | 12,463 | 558 | |
UIL Holdings Corp. | 15,191 | 534 | |
PNM Resources Inc. | 23,890 | 491 | |
UNS Energy Corp. | 12,075 | 484 | |
Atlantic Power Corp. | 34,095 | 481 | |
ALLETE Inc. | 11,440 | 475 | |
South Jersey Industries Inc. | 9,118 | 462 |
31
Vanguard® Russell 2000 Index Fund | |||||
Schedule of Investments | |||||
August 31, 2012 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Black Hills Corp. | 13,223 | 452 | |||
Avista Corp. | 17,598 | 447 | |||
NorthWestern Corp. | 10,914 | 399 | |||
El Paso Electric Co. | 12,008 | 397 | |||
Northwest Natural Gas Co. | 8,038 | 395 | |||
MGE Energy Inc. | 6,933 | 343 | |||
CH Energy Group Inc. | 4,474 | 292 | |||
Laclede Group Inc. | 6,745 | 285 | |||
Empire District Electric Co. | 12,644 | 267 | |||
American States Water Co. | 5,657 | 247 | |||
Otter Tail Corp. | 10,847 | 246 | |||
California Water Service Group | 12,569 | 230 | |||
Chesapeake Utilities Corp. | 2,873 | 135 | |||
Unitil Corp. | 4,136 | 109 | |||
Ormat Technologies Inc. | 5,347 | 102 | |||
SJW Corp. | 4,241 | 99 | |||
Middlesex Water Co. | 4,746 | 89 | |||
Connecticut Water Service Inc. | 2,623 | 81 | |||
York Water Co. | 3,788 | 67 | |||
Artesian Resources Corp. Class A | 2,205 | 49 | |||
Delta Natural Gas Co. Inc. | 2,015 | 40 | |||
Consolidated Water Co. Ltd. | 4,410 | 36 | |||
Genie Energy Ltd. Class B | 4,625 | 33 | |||
* | Cadiz Inc. | 3,924 | 32 | ||
* | American DG Energy Inc. | 7,553 | 15 | ||
12,802 | |||||
Total Common Stocks (Cost $340,602) | 350,181 | ||||
Coupon | |||||
Temporary Cash Investments (0.3%)1 | |||||
Money Market Fund (0.3%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.158% | 1,009,000 | 1,009 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
4,5 | Freddie Mac Discount Notes | 0.145% | 9/17/12 | 100 | 100 |
Total Temporary Cash Investments (Cost $1,110) | 1,109 | ||||
Total Investments (100.1%) (Cost $341,712) | 351,290 | ||||
Other Assets and Liabilities—Net (-0.1%)3 | (515) | ||||
Net Assets (100%) | 350,775 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $824,000.
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 $909,000 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, as needed to maintain a positive net worth, 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.
32
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (100.1%) | ||
Consumer Discretionary (11.4%) | ||
Rent-A-Center Inc. | 2,470 | 87 |
Dana Holding Corp. | 5,529 | 76 |
Sotheby's | 1,822 | 57 |
* Fifth & Pacific Cos. Inc. | 4,272 | 57 |
MDC Holdings Inc. | 1,585 | 55 |
* Iconix Brand Group Inc. | 2,937 | 55 |
* Saks Inc. | 4,566 | 54 |
Men's Wearhouse Inc. | 1,675 | 53 |
Group 1 Automotive Inc. | 950 | 52 |
* New York Times Co. Class A | 5,669 | 52 |
Vail Resorts Inc. | 967 | 50 |
* Live Nation Entertainment Inc. | 5,801 | 49 |
Meredith Corp. | 1,502 | 49 |
Jones Group Inc. | 3,427 | 43 |
Regis Corp. | 2,396 | 43 |
* Helen of Troy Ltd. | 1,321 | 42 |
Bob Evans Farms Inc. | 1,043 | 41 |
* WMS Industries Inc. | 2,291 | 37 |
* Children's Place Retail Stores Inc. | 631 | 36 |
* Meritage Homes Corp. | 959 | 36 |
* Marriott Vacations Worldwide Corp. | 1,110 | 36 |
KB Home | 3,223 | 36 |
* Orient-Express Hotels Ltd. Class A | 4,043 | 36 |
Penske Automotive Group Inc. | 1,317 | 35 |
* Skechers U.S.A. Inc. Class A | 1,583 | 34 |
* Shutterfly Inc. | 1,123 | 33 |
Scholastic Corp. | 1,072 | 33 |
* Standard Pacific Corp. | 4,793 | 32 |
* American Axle & Manufacturing Holdings Inc. | 2,791 | 31 |
International Speedway Corp. Class A | 1,159 | 31 |
* Ascent Capital Group Inc. Class A | 597 | 31 |
Finish Line Inc. Class A | 1,304 | 30 |
Sonic Automotive Inc. Class A | 1,665 | 30 |
Stage Stores Inc. | 1,267 | 27 |
Columbia Sportswear Co. | 516 | 27 |
* Pinnacle Entertainment Inc. | 2,412 | 27 |
Brown Shoe Co. Inc. | 1,770 | 27 |
Lithia Motors Inc. Class A | 895 | 26 |
Movado Group Inc. | 672 | 24 |
Stewart Enterprises Inc. Class A | 3,141 | 23 |
National CineMedia Inc. | 1,566 | 23 |
Sinclair Broadcast Group Inc. Class A | 1,914 | 22 |
Ryland Group Inc. | 820 | 22 |
OfficeMax Inc. | 3,663 | 21 |
* La-Z-Boy Inc. | 1,542 | 21 |
Churchill Downs Inc. | 360 | 21 |
Fred's Inc. Class A | 1,522 | 20 |
Pep Boys-Manny Moe & Jack | 2,223 | 20 |
American Greetings Corp. Class A | 1,384 | 20 |
* G-III Apparel Group Ltd. | 598 | 19 |
Matthews International Corp. Class A | 625 | 19 |
Core-Mark Holding Co. Inc. | 405 | 18 |
Belo Corp. Class A | 2,510 | 18 |
* Ruby Tuesday Inc. | 2,703 | 18 |
* Office Depot Inc. | 11,923 | 18 |
* Krispy Kreme Doughnuts Inc. | 2,445 | 18 |
* Quiksilver Inc. | 5,369 | 17 |
Superior Industries International Inc. | 945 | 16 |
* Valassis Communications Inc. | 637 | 16 |
* Gaylord Entertainment Co. | 390 | 16 |
* Biglari Holdings Inc. | 44 | 15 |
33
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Callaway Golf Co. | 2,675 | 15 |
* Scientific Games Corp. Class A | 2,089 | 15 |
JAKKS Pacific Inc. | 912 | 15 |
* Beazer Homes USA Inc. | 5,091 | 15 |
* M/I Homes Inc. | 774 | 15 |
Standard Motor Products Inc. | 817 | 14 |
* Conn's Inc. | 582 | 14 |
* Modine Manufacturing Co. | 1,922 | 13 |
* Fisher Communications Inc. | 365 | 13 |
Shoe Carnival Inc. | 587 | 13 |
* Barnes & Noble Inc. | 1,070 | 13 |
Harte-Hanks Inc. | 1,832 | 13 |
* EW Scripps Co. Class A | 1,229 | 13 |
* Boyd Gaming Corp. | 2,120 | 13 |
* Digital Generation Inc. | 1,134 | 13 |
* Drew Industries Inc. | 418 | 12 |
* Hovnanian Enterprises Inc. Class A | 4,104 | 12 |
* Wet Seal Inc. Class A | 3,721 | 11 |
* Warnaco Group Inc. | 208 | 11 |
Marcus Corp. | 808 | 10 |
* Red Robin Gourmet Burgers Inc. | 335 | 10 |
Haverty Furniture Cos. Inc. | 789 | 10 |
* Stein Mart Inc. | 1,124 | 10 |
* Perry Ellis International Inc. | 488 | 10 |
RadioShack Corp. | 4,089 | 10 |
* Winnebago Industries Inc. | 864 | 10 |
* Exide Technologies | 3,220 | 10 |
* Tuesday Morning Corp. | 1,721 | 10 |
* Journal Communications Inc. Class A | 1,768 | 10 |
* Universal Electronics Inc. | 614 | 9 |
* Jack in the Box Inc. | 349 | 9 |
* Cabela's Inc. | 179 | 9 |
* Central European Media Enterprises Ltd. Class A | 1,511 | 8 |
* Fuel Systems Solutions Inc. | 477 | 8 |
* Black Diamond Inc. | 864 | 8 |
CSS Industries Inc. | 400 | 8 |
bebe stores inc | 1,372 | 7 |
Speedway Motorsports Inc. | 480 | 7 |
* Stoneridge Inc. | 1,152 | 7 |
* Federal-Mogul Corp. | 761 | 7 |
* Casual Male Retail Group Inc. | 1,727 | 7 |
* Cumulus Media Inc. Class A | 2,562 | 7 |
* Steinway Musical Instruments Inc. | 285 | 7 |
Spartan Motors Inc. | 1,394 | 7 |
Cooper Tire & Rubber Co. | 344 | 7 |
* Career Education Corp. | 2,129 | 7 |
MDC Partners Inc. Class A | 659 | 7 |
* Citi Trends Inc. | 573 | 7 |
* Corinthian Colleges Inc. | 3,220 | 7 |
* West Marine Inc. | 625 | 7 |
* Unifi Inc. | 579 | 6 |
* Entercom Communications Corp. Class A | 1,005 | 6 |
* Life Time Fitness Inc. | 131 | 6 |
* Maidenform Brands Inc. | 278 | 6 |
* MarineMax Inc. | 839 | 6 |
* Saga Communications Inc. Class A | 145 | 6 |
Carriage Services Inc. Class A | 653 | 6 |
Weyco Group Inc. | 257 | 6 |
Big 5 Sporting Goods Corp. | 684 | 6 |
* Kirkland's Inc. | 595 | 6 |
* Carmike Cinemas Inc. | 497 | 6 |
Destination Maternity Corp. | 308 | 6 |
* VOXX International Corp. Class A | 750 | 6 |
Bassett Furniture Industries Inc. | 464 | 6 |
34
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Mac-Gray Corp. | 421 | 6 |
Bon-Ton Stores Inc. | 521 | 5 |
* Isle of Capri Casinos Inc. | 862 | 5 |
* LIN TV Corp. Class A | 1,254 | 5 |
Hooker Furniture Corp. | 445 | 5 |
* Systemax Inc. | 427 | 5 |
* Luby's Inc. | 823 | 5 |
* Johnson Outdoors Inc. Class A | 234 | 5 |
* Sonic Corp. | 484 | 5 |
* Reading International Inc. Class A | 688 | 4 |
Lifetime Brands Inc. | 398 | 4 |
* hhgregg Inc. | 604 | 4 |
Frisch's Restaurants Inc. | 129 | 4 |
* Denny's Corp. | 851 | 4 |
* Red Lion Hotels Corp. | 567 | 4 |
* Delta Apparel Inc. | 290 | 4 |
Lincoln Educational Services Corp. | 938 | 4 |
* Jos A Bank Clothiers Inc. | 82 | 4 |
* Global Sources Ltd. | 660 | 4 |
Culp Inc. | 359 | 4 |
* McClatchy Co. Class A | 2,384 | 4 |
Flexsteel Industries Inc. | 185 | 4 |
* Asbury Automotive Group Inc. | 131 | 4 |
Universal Technical Institute Inc. | 302 | 4 |
* 1-800-Flowers.com Inc. Class A | 1,008 | 4 |
* Daily Journal Corp. | 40 | 4 |
Martha Stewart Living Omnimedia Class A | 1,143 | 3 |
* Bluegreen Corp. | 590 | 3 |
* Sealy Corp. | 2,065 | 3 |
* Education Management Corp. | 1,097 | 3 |
* K-Swiss Inc. Class A | 1,087 | 3 |
* Nexstar Broadcasting Group Inc. Class A | 352 | 3 |
* Kenneth Cole Productions Inc. Class A | 199 | 3 |
Outdoor Channel Holdings Inc. | 429 | 3 |
Ameristar Casinos Inc. | 177 | 3 |
Ethan Allen Interiors Inc. | 134 | 3 |
* Rentrak Corp. | 156 | 3 |
* Monarch Casino & Resort Inc. | 361 | 3 |
* Morgans Hotel Group Co. | 501 | 3 |
Shiloh Industries Inc. | 241 | 2 |
Entravision Communications Corp. Class A | 2,086 | 2 |
Salem Communications Corp. Class A | 417 | 2 |
* Crown Media Holdings Inc. Class A | 1,115 | 2 |
* Perfumania Holdings Inc. | 219 | 2 |
* New York & Co. Inc. | 474 | 2 |
* Cavco Industries Inc. | 32 | 1 |
* Fiesta Restaurant Group Inc. | 84 | 1 |
Marine Products Corp. | 228 | 1 |
* Caesars Entertainment Corp. | 182 | 1 |
* Carrols Restaurant Group Inc. | 229 | 1 |
* Orchard Supply Hardware Stores Corp. Class A | 88 | 1 |
World Wrestling Entertainment Inc. Class A | 133 | 1 |
National American University Holdings Inc. | 277 | 1 |
* Beasley Broadcasting Group Inc. Class A | 213 | 1 |
Einstein Noah Restaurant Group Inc. | 46 | 1 |
RG Barry Corp. | 24 | — |
Cherokee Inc. | 24 | — |
* Dial Global Inc. | 75 | — |
Value Line Inc. | 6 | — |
2,800 | ||
Consumer Staples (2.6%) | ||
Harris Teeter Supermarkets Inc. | 1,579 | 62 |
* Darling International Inc. | 3,391 | 56 |
Universal Corp. | 964 | 46 |
35
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Fresh Del Monte Produce Inc. | 1,589 | 39 |
Andersons Inc. | 778 | 31 |
* Rite Aid Corp. | 25,179 | 30 |
* Smart Balance Inc. | 2,473 | 29 |
* TreeHouse Foods Inc. | 491 | 25 |
Weis Markets Inc. | 465 | 20 |
* Dole Food Co. Inc. | 1,517 | 20 |
Diamond Foods Inc. | 910 | 18 |
* Central Garden and Pet Co. Class A | 1,350 | 16 |
* Harbinger Group Inc. | 1,695 | 14 |
Spartan Stores Inc. | 891 | 14 |
* Pantry Inc. | 880 | 12 |
Village Super Market Inc. Class A | 347 | 12 |
* Chiquita Brands International Inc. | 1,890 | 11 |
* Prestige Brands Holdings Inc. | 703 | 11 |
* Seneca Foods Corp. Class A | 374 | 11 |
* Alliance One International Inc. | 3,593 | 10 |
* Post Holdings Inc. | 337 | 10 |
Nash Finch Co. | 503 | 10 |
Vector Group Ltd. | 538 | 9 |
* Susser Holdings Corp. | 265 | 9 |
Ingles Markets Inc. Class A | 519 | 8 |
* Central European Distribution Corp. | 2,711 | 7 |
* Elizabeth Arden Inc. | 152 | 7 |
* Revlon Inc. Class A | 465 | 6 |
* Omega Protein Corp. | 806 | 6 |
Spectrum Brands Holdings Inc. | 154 | 6 |
* Nutraceutical International Corp. | 359 | 5 |
* John B Sanfilippo & Son Inc. | 328 | 5 |
SUPERVALU Inc. | 2,121 | 5 |
Oil-Dri Corp. of America | 208 | 5 |
Snyders-Lance Inc. | 202 | 5 |
Cal-Maine Foods Inc. | 83 | 3 |
Griffin Land & Nurseries Inc. | 116 | 3 |
Inter Parfums Inc. | 191 | 3 |
* Westway Group Inc. | 439 | 3 |
Nature's Sunshine Products Inc. | 183 | 3 |
* Farmer Bros Co. | 295 | 3 |
Alico Inc. | 82 | 3 |
* Annie's Inc. | 62 | 3 |
* Pilgrim's Pride Corp. | 481 | 3 |
Orchids Paper Products Co. | 124 | 2 |
* Craft Brew Alliance Inc. | 254 | 2 |
Tootsie Roll Industries Inc. | 66 | 2 |
Arden Group Inc. | 17 | 1 |
624 | ||
Energy (6.4%) | ||
* Helix Energy Solutions Group Inc. | 4,396 | 77 |
Bristow Group Inc. | 1,494 | 70 |
* SemGroup Corp. Class A | 1,732 | 62 |
* Hornbeck Offshore Services Inc. | 1,463 | 57 |
Arch Coal Inc. | 8,868 | 54 |
* McMoRan Exploration Co. | 4,204 | 53 |
* Exterran Holdings Inc. | 2,704 | 50 |
* Key Energy Services Inc. | 6,284 | 50 |
* Stone Energy Corp. | 2,050 | 48 |
* Cloud Peak Energy Inc. | 2,541 | 45 |
* Bill Barrett Corp. | 2,004 | 44 |
* Gulfport Energy Corp. | 1,544 | 41 |
* Forest Oil Corp. | 4,869 | 36 |
* Swift Energy Co. | 1,791 | 35 |
* PDC Energy Inc. | 1,251 | 35 |
* Comstock Resources Inc. | 2,009 | 33 |
* Gulfmark Offshore Inc. | 878 | 31 |
36
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Ship Finance International Ltd. | 1,894 | 31 |
Energy XXI Bermuda Ltd. | 902 | 30 |
Western Refining Inc. | 985 | 28 |
* Hercules Offshore Inc. | 6,551 | 27 |
Nordic American Tankers Ltd. | 2,215 | 26 |
* C&J Energy Services Inc. | 1,276 | 26 |
* Newpark Resources Inc. | 3,716 | 26 |
W&T Offshore Inc. | 1,334 | 23 |
* Rex Energy Corp. | 1,784 | 22 |
* TETRA Technologies Inc. | 3,259 | 21 |
* Parker Drilling Co. | 4,942 | 20 |
* Energy Partners Ltd. | 1,146 | 20 |
* Resolute Energy Corp. | 2,044 | 18 |
Delek US Holdings Inc. | 699 | 18 |
* Magnum Hunter Resources Corp. | 3,933 | 17 |
* Quicksilver Resources Inc. | 4,930 | 17 |
* Pioneer Energy Services Corp. | 2,079 | 16 |
Gulf Island Fabrication Inc. | 593 | 15 |
* Petroquest Energy Inc. | 2,327 | 15 |
* Heckmann Corp. | 5,285 | 14 |
* Basic Energy Services Inc. | 1,269 | 14 |
* PHI Inc. | 494 | 14 |
* Tesco Corp. | 1,249 | 13 |
* Triangle Petroleum Corp. | 1,820 | 12 |
* Harvest Natural Resources Inc. | 1,454 | 12 |
* Vantage Drilling Co. | 7,875 | 12 |
Penn Virginia Corp. | 1,885 | 11 |
* Clayton Williams Energy Inc. | 220 | 11 |
Teekay Tankers Ltd. Class A | 2,591 | 10 |
* Matrix Service Co. | 855 | 10 |
* Callon Petroleum Co. | 1,623 | 9 |
* Scorpio Tankers Inc. | 1,549 | 8 |
* Natural Gas Services Group Inc. | 507 | 7 |
* Bonanza Creek Energy Inc. | 347 | 7 |
* Dawson Geophysical Co. | 327 | 7 |
* Warren Resources Inc. | 2,371 | 7 |
* BPZ Resources Inc. | 3,011 | 7 |
* Rentech Inc. | 3,100 | 7 |
Frontline Ltd. | 2,120 | 7 |
* CVR Energy Inc. | 219 | 7 |
Knightsbridge Tankers Ltd. | 1,005 | 6 |
* GasLog Ltd. | 579 | 6 |
Overseas Shipholding Group Inc. | 1,015 | 6 |
* Willbros Group Inc. | 1,228 | 6 |
* Cal Dive International Inc. | 3,952 | 6 |
* Carrizo Oil & Gas Inc. | 226 | 6 |
* Miller Energy Resources Inc. | 1,207 | 5 |
Bolt Technology Corp. | 353 | 5 |
* Green Plains Renewable Energy Inc. | 1,026 | 5 |
* Uranium Energy Corp. | 1,847 | 5 |
* Halcon Resources Corp. | 572 | 4 |
* Midstates Petroleum Co. Inc. | 536 | 4 |
* Synergy Resources Corp. | 1,530 | 4 |
* Crimson Exploration Inc. | 875 | 4 |
* Amyris Inc. | 1,245 | 4 |
* Gastar Exploration Ltd. | 2,425 | 4 |
* REX American Resources Corp. | 208 | 4 |
* Westmoreland Coal Co. | 448 | 3 |
Adams Resources & Energy Inc. | 87 | 3 |
* Mitcham Industries Inc. | 192 | 3 |
* Voyager Oil & Gas Inc. | 1,976 | 2 |
* Contango Oil & Gas Co. | 44 | 2 |
* Union Drilling Inc. | 571 | 2 |
* Forbes Energy Services Ltd. | 607 | 2 |
37
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Hallador Energy Co. | 272 | 2 |
Crosstex Energy Inc. | 144 | 2 |
* ZaZa Energy Corp. | 554 | 2 |
* CREDO Petroleum Corp. | 114 | 2 |
* Endeavour International Corp. | 150 | 1 |
* Renewable Energy Group Inc. | 235 | 1 |
* Matador Resources Co. | 121 | 1 |
Alon USA Energy Inc. | 66 | 1 |
* Gevo Inc. | 192 | 1 |
1,557 | ||
Financials (36.5%) | ||
Two Harbors Investment Corp. | 11,607 | 135 |
Starwood Property Trust Inc. | 4,836 | 114 |
* Ocwen Financial Corp. | 4,199 | 108 |
CYS Investments Inc. | 6,925 | 100 |
Invesco Mortgage Capital Inc. | 4,797 | 98 |
LaSalle Hotel Properties | 3,559 | 97 |
Hancock Holding Co. | 3,171 | 94 |
ARMOUR Residential REIT Inc. | 12,329 | 92 |
Entertainment Properties Trust | 1,946 | 89 |
Prosperity Bancshares Inc. | 1,975 | 83 |
Susquehanna Bancshares Inc. | 7,815 | 82 |
Alterra Capital Holdings Ltd. | 3,566 | 82 |
Colonial Properties Trust | 3,657 | 80 |
RLJ Lodging Trust | 4,440 | 79 |
Healthcare Realty Trust Inc. | 3,251 | 79 |
CNO Financial Group Inc. | 8,842 | 79 |
American Realty Capital Trust Inc. | 6,610 | 78 |
First American Financial Corp. | 4,027 | 78 |
DiamondRock Hospitality Co. | 7,823 | 75 |
FirstMerit Corp. | 4,574 | 72 |
Prospect Capital Corp. | 6,181 | 71 |
Apollo Investment Corp. | 8,469 | 68 |
CubeSmart | 5,146 | 66 |
UMB Financial Corp. | 1,338 | 66 |
DCT Industrial Trust Inc. | 10,312 | 65 |
Webster Financial Corp. | 3,014 | 64 |
Trustmark Corp. | 2,704 | 64 |
FNB Corp. | 5,828 | 64 |
* Sunstone Hotel Investors Inc. | 5,706 | 60 |
Capstead Mortgage Corp. | 4,089 | 59 |
Umpqua Holdings Corp. | 4,636 | 59 |
Medical Properties Trust Inc. | 5,617 | 58 |
BancorpSouth Inc. | 3,913 | 58 |
Iberiabank Corp. | 1,224 | 57 |
Platinum Underwriters Holdings Ltd. | 1,444 | 57 |
Primerica Inc. | 1,950 | 57 |
Pebblebrook Hotel Trust | 2,397 | 57 |
Wintrust Financial Corp. | 1,505 | 56 |
RLI Corp. | 879 | 56 |
Education Realty Trust Inc. | 4,684 | 54 |
Cathay General Bancorp | 3,261 | 53 |
PennyMac Mortgage Investment Trust | 2,442 | 53 |
Old National Bancorp | 3,922 | 52 |
United Bankshares Inc. | 2,084 | 51 |
Washington REIT | 1,880 | 50 |
Northwest Bancshares Inc. | 4,044 | 49 |
Equity One Inc. | 2,273 | 48 |
* First Industrial Realty Trust Inc. | 3,673 | 47 |
Redwood Trust Inc. | 3,292 | 47 |
Lexington Realty Trust | 4,936 | 46 |
MB Financial Inc. | 2,266 | 46 |
Glacier Bancorp Inc. | 2,981 | 46 |
Community Bank System Inc. | 1,635 | 46 |
38
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
National Penn Bancshares Inc. | 5,113 | 45 |
First Financial Bankshares Inc. | 1,305 | 45 |
CVB Financial Corp. | 3,670 | 44 |
* PHH Corp. | 2,360 | 41 |
PrivateBancorp Inc. Class A | 2,516 | 41 |
Selective Insurance Group Inc. | 2,283 | 41 |
* BBCN Bancorp Inc. | 3,252 | 41 |
International Bancshares Corp. | 2,217 | 40 |
First Financial Bancorp | 2,436 | 40 |
Symetra Financial Corp. | 3,224 | 39 |
Montpelier Re Holdings Ltd. | 1,823 | 39 |
Anworth Mortgage Asset Corp. | 5,717 | 39 |
Provident Financial Services Inc. | 2,507 | 39 |
American Assets Trust Inc. | 1,381 | 38 |
American Capital Mortgage Investment Corp. | 1,513 | 37 |
* Stifel Financial Corp. | 1,142 | 37 |
DuPont Fabros Technology Inc. | 1,353 | 37 |
Solar Capital Ltd. | 1,603 | 37 |
First Midwest Bancorp Inc. | 3,127 | 37 |
Pennsylvania REIT | 2,334 | 37 |
Astoria Financial Corp. | 3,634 | 37 |
Fifth Street Finance Corp. | 3,440 | 36 |
Hersha Hospitality Trust Class A | 7,172 | 36 |
Government Properties Income Trust | 1,546 | 35 |
* Citizens Republic Bancorp Inc. | 1,673 | 34 |
Franklin Street Properties Corp. | 3,028 | 34 |
Walter Investment Management Corp. | 1,200 | 34 |
LTC Properties Inc. | 990 | 33 |
NorthStar Realty Finance Corp. | 5,579 | 33 |
* Enstar Group Ltd. | 350 | 32 |
Argo Group International Holdings Ltd. | 1,078 | 32 |
Park National Corp. | 473 | 32 |
Boston Private Financial Holdings Inc. | 3,267 | 31 |
Cousins Properties Inc. | 3,836 | 31 |
First Commonwealth Financial Corp. | 4,399 | 31 |
BlackRock Kelso Capital Corp. | 3,078 | 30 |
Investors Real Estate Trust | 3,585 | 30 |
Sabra Health Care REIT Inc. | 1,552 | 30 |
Columbia Banking System Inc. | 1,659 | 30 |
PacWest Bancorp | 1,267 | 29 |
NBT Bancorp Inc. | 1,390 | 29 |
Home BancShares Inc. | 927 | 29 |
Horace Mann Educators Corp. | 1,659 | 29 |
American Equity Investment Life Holding Co. | 2,510 | 29 |
CreXus Investment Corp. | 2,803 | 29 |
Main Street Capital Corp. | 1,063 | 28 |
Cash America International Inc. | 718 | 28 |
Infinity Property & Casualty Corp. | 496 | 28 |
* Pinnacle Financial Partners Inc. | 1,448 | 28 |
Triangle Capital Corp. | 1,126 | 28 |
First Potomac Realty Trust | 2,138 | 27 |
* Western Alliance Bancorp | 2,929 | 27 |
Evercore Partners Inc. Class A | 1,091 | 27 |
Hudson Pacific Properties Inc. | 1,504 | 27 |
Retail Opportunity Investments Corp. | 2,112 | 27 |
Chemical Financial Corp. | 1,153 | 26 |
Independent Bank Corp. | 906 | 26 |
Colony Financial Inc. | 1,369 | 26 |
* Investors Bancorp Inc. | 1,522 | 26 |
ViewPoint Financial Group Inc. | 1,415 | 26 |
PennantPark Investment Corp. | 2,365 | 26 |
* iStar Financial Inc. | 3,541 | 25 |
* National Financial Partners Corp. | 1,706 | 25 |
SCBT Financial Corp. | 623 | 25 |
39
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Banco Latinoamericano de Comercio Exterior SA | 1,186 | 25 |
Brookline Bancorp Inc. | 2,936 | 25 |
Amtrust Financial Services Inc. | 953 | 25 |
Chesapeake Lodging Trust | 1,327 | 25 |
Kennedy-Wilson Holdings Inc. | 1,785 | 25 |
Ramco-Gershenson Properties Trust | 1,899 | 25 |
Safety Insurance Group Inc. | 535 | 24 |
Westamerica Bancorporation | 517 | 24 |
Nelnet Inc. Class A | 988 | 24 |
Dynex Capital Inc. | 2,246 | 23 |
Sterling Financial Corp. | 1,106 | 23 |
Hercules Technology Growth Capital Inc. | 2,090 | 23 |
KBW Inc. | 1,460 | 22 |
Potlatch Corp. | 619 | 22 |
AG Mortgage Investment Trust Inc. | 942 | 22 |
TrustCo Bank Corp. NY | 3,938 | 22 |
Resource Capital Corp. | 3,576 | 21 |
State Bank Financial Corp. | 1,311 | 21 |
S&T Bancorp Inc. | 1,217 | 21 |
Berkshire Hills Bancorp Inc. | 936 | 21 |
* Greenlight Capital Re Ltd. Class A | 853 | 21 |
City Holding Co. | 607 | 21 |
* Forestar Group Inc. | 1,426 | 21 |
* PICO Holdings Inc. | 941 | 20 |
Community Trust Bancorp Inc. | 590 | 20 |
WesBanco Inc. | 985 | 20 |
Flushing Financial Corp. | 1,308 | 20 |
STAG Industrial Inc. | 1,290 | 20 |
Employers Holdings Inc. | 1,071 | 20 |
Maiden Holdings Ltd. | 2,116 | 19 |
Renasant Corp. | 1,060 | 19 |
Banner Corp. | 797 | 19 |
Highwoods Properties Inc. | 587 | 19 |
Getty Realty Corp. | 1,060 | 19 |
Apollo Residential Mortgage Inc. | 923 | 19 |
* AMERISAFE Inc. | 750 | 19 |
* Hilltop Holdings Inc. | 1,680 | 19 |
Sandy Spring Bancorp Inc. | 1,021 | 19 |
Ashford Hospitality Trust Inc. | 2,257 | 19 |
Radian Group Inc. | 5,482 | 18 |
Lakeland Financial Corp. | 691 | 18 |
Oritani Financial Corp. | 1,254 | 18 |
United Fire Group Inc. | 828 | 18 |
Tompkins Financial Corp. | 469 | 18 |
Oriental Financial Group Inc. | 1,718 | 18 |
Dime Community Bancshares Inc. | 1,299 | 18 |
TICC Capital Corp. | 1,710 | 18 |
Flagstone Reinsurance Holdings SA | 2,061 | 18 |
Associated Estates Realty Corp. | 1,151 | 18 |
Campus Crest Communities Inc. | 1,594 | 17 |
First Merchants Corp. | 1,214 | 17 |
* Wilshire Bancorp Inc. | 2,621 | 16 |
Simmons First National Corp. Class A | 704 | 16 |
Excel Trust Inc. | 1,384 | 16 |
* Hanmi Financial Corp. | 1,296 | 16 |
* Citizens Inc. | 1,650 | 16 |
TowneBank | 1,083 | 16 |
* West Coast Bancorp | 793 | 16 |
Heartland Financial USA Inc. | 598 | 16 |
Southside Bancshares Inc. | 714 | 16 |
Cardinal Financial Corp. | 1,202 | 16 |
* Piper Jaffray Cos. | 629 | 15 |
Stewart Information Services Corp. | 754 | 15 |
First Busey Corp. | 3,061 | 15 |
40
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
MCG Capital Corp. | 3,158 | 15 |
Washington Trust Bancorp Inc. | 593 | 15 |
Meadowbrook Insurance Group Inc. | 1,928 | 15 |
Inland Real Estate Corp. | 1,725 | 14 |
Rockville Financial Inc. | 1,176 | 14 |
Provident New York Bancorp | 1,638 | 14 |
First Financial Corp. | 460 | 14 |
* Ezcorp Inc. Class A | 616 | 14 |
1st Source Corp. | 609 | 14 |
* United Community Banks Inc. | 1,715 | 14 |
Winthrop Realty Trust | 1,200 | 14 |
Cedar Realty Trust Inc. | 2,466 | 14 |
* Investment Technology Group Inc. | 1,597 | 14 |
CapLease Inc. | 2,746 | 13 |
* Safeguard Scientifics Inc. | 856 | 13 |
FBL Financial Group Inc. Class A | 398 | 13 |
* ICG Group Inc. | 1,408 | 13 |
Capital Southwest Corp. | 122 | 13 |
* NewStar Financial Inc. | 1,074 | 13 |
WSFS Financial Corp. | 313 | 13 |
Rouse Properties Inc. | 911 | 13 |
Sterling Bancorp | 1,272 | 13 |
Apollo Commercial Real Estate Finance Inc. | 719 | 13 |
National Western Life Insurance Co. Class A | 91 | 13 |
StellarOne Corp. | 950 | 13 |
Medley Capital Corp. | 957 | 13 |
MVC Capital Inc. | 984 | 12 |
Presidential Life Corp. | 891 | 12 |
* Central Pacific Financial Corp. | 890 | 12 |
Duff & Phelps Corp. Class A | 931 | 12 |
Great Southern Bancorp Inc. | 419 | 12 |
Tower Group Inc. | 660 | 12 |
Union First Market Bankshares Corp. | 833 | 12 |
OneBeacon Insurance Group Ltd. Class A | 934 | 12 |
German American Bancorp Inc. | 520 | 12 |
Camden National Corp. | 317 | 12 |
SY Bancorp Inc. | 500 | 12 |
Agree Realty Corp. | 470 | 12 |
Kite Realty Group Trust | 2,266 | 12 |
* Ameris Bancorp | 980 | 12 |
Coresite Realty Corp. | 426 | 12 |
* Navigators Group Inc. | 238 | 12 |
* Bancorp Inc. | 1,190 | 12 |
Univest Corp. of Pennsylvania | 691 | 11 |
* Taylor Capital Group Inc. | 671 | 11 |
Lakeland Bancorp Inc. | 1,109 | 11 |
* Knight Capital Group Inc. Class A | 4,069 | 11 |
* Eagle Bancorp Inc. | 653 | 11 |
* First BanCorp | 2,891 | 11 |
Bancfirst Corp. | 265 | 11 |
EverBank Financial Corp. | 919 | 11 |
First Community Bancshares Inc. | 734 | 11 |
Hudson Valley Holding Corp. | 639 | 11 |
Summit Hotel Properties Inc. | 1,257 | 11 |
Territorial Bancorp Inc. | 454 | 10 |
Bank of the Ozarks Inc. | 325 | 10 |
* Beneficial Mutual Bancorp Inc. | 1,179 | 10 |
Bryn Mawr Bank Corp. | 470 | 10 |
* INTL. FCStone Inc. | 567 | 10 |
Monmouth Real Estate Investment Corp. Class A | 915 | 10 |
CoBiz Financial Inc. | 1,436 | 10 |
Federal Agricultural Mortgage Corp. | 410 | 10 |
* OmniAmerican Bancorp Inc. | 461 | 10 |
Centerstate Banks Inc. | 1,237 | 10 |
41
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Virtus Investment Partners Inc. | 118 | 10 |
Trico Bancshares | 657 | 10 |
MainSource Financial Group Inc. | 832 | 10 |
Financial Institutions Inc. | 569 | 10 |
* Franklin Financial Corp. | 589 | 10 |
Peoples Bancorp Inc. | 439 | 10 |
RAIT Financial Trust | 2,053 | 10 |
Citizens & Northern Corp. | 503 | 10 |
* FelCor Lodging Trust Inc. | 2,065 | 10 |
Arrow Financial Corp. | 392 | 10 |
First Connecticut Bancorp Inc. | 735 | 10 |
First Interstate Bancsystem Inc. | 668 | 10 |
First of Long Island Corp. | 318 | 10 |
Select Income REIT | 379 | 9 |
* Cowen Group Inc. Class A | 3,599 | 9 |
* MGIC Investment Corp. | 7,946 | 9 |
New York Mortgage Trust Inc. | 1,349 | 9 |
Republic Bancorp Inc. Class A | 410 | 9 |
* Texas Capital Bancshares Inc. | 199 | 9 |
Golub Capital BDC Inc. | 589 | 9 |
United Financial Bancorp Inc. | 639 | 9 |
National Bankshares Inc. | 286 | 9 |
Enterprise Financial Services Corp. | 734 | 9 |
Northfield Bancorp Inc. | 605 | 9 |
One Liberty Properties Inc. | 472 | 9 |
* BofI Holding Inc. | 383 | 9 |
SeaBright Holdings Inc. | 814 | 9 |
* Virginia Commerce Bancorp Inc. | 1,103 | 9 |
Heritage Financial Corp. | 637 | 9 |
PS Business Parks Inc. | 130 | 9 |
* Southwest Bancorp Inc. | 800 | 9 |
Calamos Asset Management Inc. Class A | 792 | 9 |
First Financial Holdings Inc. | 680 | 9 |
Home Loan Servicing Solutions Ltd. | 554 | 9 |
Washington Banking Co. | 634 | 9 |
Bank of Marin Bancorp | 220 | 9 |
* Global Indemnity plc | 425 | 9 |
FXCM Inc. Class A | 974 | 9 |
CNB Financial Corp. | 512 | 8 |
Baldwin & Lyons Inc. | 375 | 8 |
Medallion Financial Corp. | 736 | 8 |
OceanFirst Financial Corp. | 593 | 8 |
Terreno Realty Corp. | 552 | 8 |
Bank Mutual Corp. | 1,906 | 8 |
Gladstone Commercial Corp. | 450 | 8 |
Chatham Lodging Trust | 573 | 8 |
Universal Health Realty Income Trust | 185 | 8 |
GFI Group Inc. | 2,838 | 8 |
Westfield Financial Inc. | 1,094 | 8 |
Arlington Asset Investment Corp. Class A | 345 | 8 |
Fox Chase Bancorp Inc. | 523 | 8 |
New Mountain Finance Corp. | 526 | 8 |
KCAP Financial Inc. | 895 | 8 |
Parkway Properties Inc. | 652 | 8 |
Whitestone REIT | 574 | 8 |
Edelman Financial Group Inc. | 849 | 7 |
* Pacific Capital Bancorp | 163 | 7 |
* 1st United Bancorp Inc. | 1,229 | 7 |
Gladstone Capital Corp. | 864 | 7 |
Thomas Properties Group Inc. | 1,324 | 7 |
* Phoenix Cos. Inc. | 238 | 7 |
* Metro Bancorp Inc. | 582 | 7 |
State Auto Financial Corp. | 519 | 7 |
* DFC Global Corp. | 391 | 7 |
42
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Alliance Financial Corp. | 197 | 7 |
American National Bankshares Inc. | 322 | 7 |
Bridge Bancorp Inc. | 354 | 7 |
* SWS Group Inc. | 1,200 | 7 |
Ames National Corp. | 339 | 7 |
Western Asset Mortgage Capital Corp. | 329 | 7 |
* Strategic Hotels & Resorts Inc. | 1,140 | 7 |
Solar Senior Capital Ltd. | 391 | 7 |
Gladstone Investment Corp. | 909 | 7 |
* MetroCorp Bancshares Inc. | 651 | 7 |
* GSV Capital Corp. | 795 | 7 |
Home Federal Bancorp Inc. | 646 | 7 |
THL Credit Inc. | 491 | 7 |
Mission West Properties Inc. | 750 | 7 |
Pacific Continental Corp. | 749 | 7 |
BankFinancial Corp. | 867 | 7 |
First Defiance Financial Corp. | 400 | 7 |
NGP Capital Resources Co. | 890 | 7 |
Manning & Napier Inc. | 559 | 7 |
West Bancorporation Inc. | 644 | 7 |
* First California Financial Group Inc. | 923 | 6 |
* Park Sterling Corp. | 1,343 | 6 |
National Interstate Corp. | 257 | 6 |
* HomeStreet Inc. | 180 | 6 |
Fidus Investment Corp. | 388 | 6 |
Oppenheimer Holdings Inc. Class A | 423 | 6 |
* Preferred Bank | 484 | 6 |
* Guaranty Bancorp | 3,132 | 6 |
First Bancorp | 624 | 6 |
* Walker & Dunlop Inc. | 468 | 6 |
MidWestOne Financial Group Inc. | 280 | 6 |
* Suffolk Bancorp | 400 | 6 |
Sovran Self Storage Inc. | 106 | 6 |
* Mercantile Bank Corp. | 355 | 6 |
Glimcher Realty Trust | 574 | 6 |
Kearny Financial Corp. | 622 | 6 |
Kansas City Life Insurance Co. | 170 | 6 |
* AV Homes Inc. | 406 | 6 |
Bank of Kentucky Financial Corp. | 242 | 6 |
First Bancorp Inc. | 363 | 6 |
Merchants Bancshares Inc. | 211 | 6 |
ESB Financial Corp. | 428 | 6 |
Penns Woods Bancorp Inc. | 146 | 6 |
* American Safety Insurance Holdings Ltd. | 337 | 6 |
Bar Harbor Bankshares | 160 | 6 |
* Doral Financial Corp. | 5,283 | 6 |
Kaiser Federal Financial Group Inc. | 372 | 6 |
* Firsthand Technology Value Fund Inc. | 352 | 6 |
Nicholas Financial Inc. | 410 | 6 |
* Heritage Commerce Corp. | 853 | 6 |
Marlin Business Services Corp. | 339 | 6 |
Center Bancorp Inc. | 489 | 6 |
Northrim BanCorp Inc. | 266 | 5 |
Horizon Technology Finance Corp. | 323 | 5 |
Sierra Bancorp | 497 | 5 |
Peapack Gladstone Financial Corp. | 365 | 5 |
Ares Commercial Real Estate Corp. | 317 | 5 |
Provident Financial Holdings Inc. | 400 | 5 |
First Pactrust Bancorp Inc. | 437 | 5 |
C&F Financial Corp. | 133 | 5 |
Consolidated-Tomoka Land Co. | 177 | 5 |
* Gramercy Capital Corp. | 1,889 | 5 |
SI Financial Group Inc. | 435 | 5 |
* First Financial Northwest Inc. | 659 | 5 |
43
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
UMH Properties Inc. | 444 | 5 |
* FBR & Co. | 1,646 | 5 |
Horizon Bancorp | 180 | 5 |
Crawford & Co. Class B | 1,078 | 5 |
* Home Bancorp Inc. | 282 | 5 |
* Meridian Interstate Bancorp Inc. | 321 | 5 |
* Sun Bancorp Inc. | 1,639 | 5 |
Homeowners Choice Inc. | 236 | 5 |
* Heritage Oaks Bancorp | 827 | 5 |
Farmers National Banc Corp. | 774 | 5 |
* Harris & Harris Group Inc. | 1,276 | 5 |
Eastern Insurance Holdings Inc. | 273 | 5 |
MidSouth Bancorp Inc. | 344 | 4 |
Century Bancorp Inc. Class A | 142 | 4 |
* Seacoast Banking Corp. of Florida | 3,023 | 4 |
* Hallmark Financial Services | 548 | 4 |
Urstadt Biddle Properties Inc. Class A | 224 | 4 |
Donegal Group Inc. Class A | 304 | 4 |
Heritage Financial Group Inc. | 320 | 4 |
Capital City Bank Group Inc. | 480 | 4 |
* BSB Bancorp Inc. | 337 | 4 |
Access National Corp. | 304 | 4 |
* Cape Bancorp Inc. | 464 | 4 |
Peoples Federal Bancshares Inc. | 251 | 4 |
* Bridge Capital Holdings | 273 | 4 |
EastGroup Properties Inc. | 74 | 4 |
Artio Global Investors Inc. Class A | 1,270 | 4 |
Enterprise Bancorp Inc. | 244 | 4 |
ESSA Bancorp Inc. | 371 | 4 |
Middleburg Financial Corp. | 222 | 4 |
TCP Capital Corp. | 238 | 4 |
EMC Insurance Group Inc. | 185 | 4 |
JMP Group Inc. | 659 | 4 |
Fidelity Southern Corp. | 393 | 3 |
Independence Holding Co. | 336 | 3 |
* NASB Financial Inc. | 173 | 3 |
Investors Title Co. | 51 | 3 |
Resource America Inc. Class A | 495 | 3 |
Clifton Savings Bancorp Inc. | 313 | 3 |
Hingham Institution for Savings | 48 | 3 |
* Pacific Mercantile Bancorp | 439 | 3 |
Roma Financial Corp. | 301 | 3 |
* First Marblehead Corp. | 2,394 | 3 |
Gain Capital Holdings Inc. | 611 | 3 |
* HFF Inc. Class A | 198 | 3 |
Charter Financial Corp. | 270 | 3 |
Universal Insurance Holdings Inc. | 680 | 2 |
* Fortegra Financial Corp. | 275 | 2 |
MicroFinancial Inc. | 229 | 2 |
* CIFC Corp. | 263 | 2 |
* Tree.com Inc. | 116 | 2 |
* Waterstone Financial Inc. | 364 | 2 |
* Capital Bank Corp. | 721 | 2 |
California First National Bancorp | 99 | 2 |
* Berkshire Bancorp Inc. | 193 | 2 |
* FNB United Corp. | 124 | 2 |
* Cascade Bancorp | 269 | 1 |
* First Federal Bancshares of Arkansas Inc. | 133 | 1 |
* Green Bankshares Inc. | 659 | 1 |
Pzena Investment Management Inc. Class A | 103 | 1 |
* Crescent Financial Bancshares Inc. | 87 | — |
* Gyrodyne Co. of America Inc. | 3 | — |
8,926 |
44
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Health Care (4.9%) | �� | |
* ViroPharma Inc. | 2,890 | 77 |
* Magellan Health Services Inc. | 1,073 | 53 |
* WellCare Health Plans Inc. | 924 | 52 |
* Hanger Inc. | 1,423 | 41 |
* Wright Medical Group Inc. | 1,643 | 34 |
CONMED Corp. | 1,182 | 32 |
* NuVasive Inc. | 1,359 | 29 |
* MedAssets Inc. | 1,634 | 28 |
* Molina Healthcare Inc. | 1,150 | 28 |
* Amsurg Corp. Class A | 892 | 26 |
* Kindred Healthcare Inc. | 2,223 | 25 |
West Pharmaceutical Services Inc. | 506 | 24 |
* Merit Medical Systems Inc. | 1,663 | 24 |
* Greatbatch Inc. | 977 | 23 |
STERIS Corp. | 642 | 22 |
National Healthcare Corp. | 435 | 19 |
* Par Pharmaceutical Cos. Inc. | 373 | 19 |
Invacare Corp. | 1,339 | 18 |
* Omnicell Inc. | 1,219 | 18 |
* Amedisys Inc. | 1,239 | 17 |
* Momenta Pharmaceuticals Inc. | 1,183 | 17 |
* Triple-S Management Corp. Class B | 798 | 16 |
* PharMerica Corp. | 1,214 | 15 |
* Geron Corp. | 5,432 | 15 |
* Select Medical Holdings Corp. | 1,440 | 15 |
* Healthways Inc. | 1,374 | 14 |
* HealthSouth Corp. | 614 | 14 |
* Universal American Corp. | 1,546 | 14 |
* Gentiva Health Services Inc. | 1,252 | 14 |
* Integra LifeSciences Holdings Corp. | 344 | 14 |
* Emergent Biosolutions Inc. | 848 | 12 |
* ExamWorks Group Inc. | 973 | 12 |
* Enzon Pharmaceuticals Inc. | 1,737 | 12 |
* Nektar Therapeutics | 1,367 | 12 |
* AngioDynamics Inc. | 1,010 | 12 |
* BioScrip Inc. | 1,313 | 11 |
* Affymetrix Inc. | 2,905 | 11 |
* Immunogen Inc. | 763 | 11 |
* Astex Pharmaceuticals | 3,830 | 11 |
* LHC Group Inc. | 620 | 11 |
Owens & Minor Inc. | 379 | 11 |
* Lexicon Pharmaceuticals Inc. | 4,654 | 10 |
* Symmetry Medical Inc. | 1,039 | 10 |
* Hi-Tech Pharmacal Co. Inc. | 271 | 10 |
* Arena Pharmaceuticals Inc. | 1,034 | 9 |
* SurModics Inc. | 489 | 9 |
* NPS Pharmaceuticals Inc. | 1,187 | 9 |
* Sun Healthcare Group Inc. | 1,050 | 9 |
* InterMune Inc. | 1,187 | 9 |
* Solta Medical Inc. | 2,838 | 9 |
* Five Star Quality Care Inc. | 1,750 | 8 |
* RTI Biologics Inc. | 2,155 | 8 |
Ensign Group Inc. | 271 | 8 |
* Almost Family Inc. | 340 | 8 |
* Cambrex Corp. | 589 | 7 |
* Palomar Medical Technologies Inc. | 804 | 7 |
* Maxygen Inc. | 1,142 | 7 |
* Sunrise Senior Living Inc. | 469 | 7 |
* Orthofix International NV | 154 | 7 |
* AMN Healthcare Services Inc. | 754 | 6 |
Assisted Living Concepts Inc. Class A | 797 | 6 |
* CryoLife Inc. | 1,133 | 6 |
* ArthroCare Corp. | 197 | 6 |
45
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
PDL BioPharma Inc. | 782 | 6 |
* Natus Medical Inc. | 469 | 5 |
* Cynosure Inc. Class A | 197 | 5 |
* Rigel Pharmaceuticals Inc. | 541 | 5 |
* Targacept Inc. | 1,120 | 5 |
* Chindex International Inc. | 476 | 5 |
Young Innovations Inc. | 126 | 5 |
* Providence Service Corp. | 404 | 5 |
* Vocera Communications Inc. | 161 | 5 |
* Cross Country Healthcare Inc. | 1,118 | 5 |
* Exactech Inc. | 273 | 4 |
* Sequenom Inc. | 1,121 | 4 |
* Alphatec Holdings Inc. | 2,249 | 4 |
* Harvard Bioscience Inc. | 950 | 4 |
* Derma Sciences Inc. | 361 | 3 |
* Tornier NV | 188 | 3 |
* Dynavax Technologies Corp. | 839 | 3 |
* Curis Inc. | 742 | 3 |
* Lannett Co. Inc. | 657 | 3 |
* Transcept Pharmaceuticals Inc. | 458 | 3 |
* Pacific Biosciences of California Inc. | 1,526 | 3 |
* AMAG Pharmaceuticals Inc. | 181 | 3 |
* PDI Inc. | 376 | 3 |
* ICU Medical Inc. | 47 | 3 |
* Cornerstone Therapeutics Inc. | 364 | 2 |
* Codexis Inc. | 1,077 | 2 |
* Zeltiq Aesthetics Inc. | 418 | 2 |
* XenoPort Inc. | 235 | 2 |
* Integramed America Inc. | 151 | 2 |
* Idenix Pharmaceuticals Inc. | 357 | 2 |
* Capital Senior Living Corp. | 167 | 2 |
* Supernus Pharmaceuticals Inc. | 157 | 2 |
* Vanguard Health Systems Inc. | 194 | 2 |
* Merge Healthcare Inc. | 586 | 2 |
* Horizon Pharma Inc. | 394 | 2 |
* Agenus Inc. | 376 | 2 |
* AVANIR Pharmaceuticals Inc. | 492 | 2 |
* Cumberland Pharmaceuticals Inc. | 246 | 1 |
* Cytori Therapeutics Inc. | 432 | 1 |
* XOMA Corp. | 387 | 1 |
* PhotoMedex Inc. | 100 | 1 |
* AVEO Pharmaceuticals Inc. | 135 | 1 |
* Greenway Medical Technologies | 85 | 1 |
* Cerus Corp. | 333 | 1 |
* Vical Inc. | 221 | 1 |
* Epocrates Inc. | 89 | 1 |
* Repligen Corp. | 98 | 1 |
* GTx Inc. | 132 | — |
* Mediware Information Systems | 33 | — |
* Rochester Medical Corp. | 42 | — |
* Rockwell Medical Technologies Inc. | 33 | — |
* Skilled Healthcare Group Inc. | 42 | — |
1,191 | ||
Industrials (12.9%) | ||
EMCOR Group Inc. | 2,778 | 77 |
* Esterline Technologies Corp. | 1,276 | 76 |
Actuant Corp. Class A | 2,449 | 69 |
Geo Group Inc. | 2,567 | 68 |
* Teledyne Technologies Inc. | 993 | 64 |
AO Smith Corp. | 1,170 | 64 |
* Moog Inc. Class A | 1,664 | 61 |
Curtiss-Wright Corp. | 1,944 | 58 |
Brady Corp. Class A | 2,033 | 57 |
* Atlas Air Worldwide Holdings Inc. | 1,095 | 56 |
46
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Robbins & Myers Inc. | 941 | 56 |
Barnes Group Inc. | 2,247 | 53 |
* Dollar Thrifty Automotive Group Inc. | 551 | 48 |
* JetBlue Airways Corp. | 9,682 | 47 |
* EnerSys Inc. | 1,270 | 47 |
ABM Industries Inc. | 2,238 | 45 |
* FTI Consulting Inc. | 1,739 | 45 |
Granite Construction Inc. | 1,601 | 44 |
Watts Water Technologies Inc. Class A | 1,163 | 43 |
Mueller Industries Inc. | 941 | 41 |
United Stationers Inc. | 1,589 | 38 |
UniFirst Corp. | 601 | 38 |
Simpson Manufacturing Co. Inc. | 1,494 | 38 |
Briggs & Stratton Corp. | 2,031 | 35 |
* Orbital Sciences Corp. | 2,464 | 34 |
Amerco Inc. | 359 | 33 |
Universal Forest Products Inc. | 825 | 32 |
* Interline Brands Inc. | 1,196 | 30 |
Kaydon Corp. | 1,344 | 30 |
* Korn/Ferry International | 2,002 | 29 |
Aircastle Ltd. | 2,456 | 28 |
* Aegion Corp. Class A | 1,414 | 28 |
* Mobile Mini Inc. | 1,606 | 27 |
* Seaboard Corp. | 13 | 27 |
ESCO Technologies Inc. | 761 | 27 |
Quanex Building Products Corp. | 1,539 | 27 |
Steelcase Inc. Class A | 2,751 | 27 |
AAR Corp. | 1,691 | 25 |
* Astec Industries Inc. | 842 | 25 |
NACCO Industries Inc. Class A | 232 | 25 |
G&K Services Inc. Class A | 778 | 24 |
Ceradyne Inc. | 1,020 | 24 |
Albany International Corp. | 1,141 | 24 |
* Navigant Consulting Inc. | 2,171 | 24 |
* Rush Enterprises Inc. Class A | 1,374 | 23 |
* Sykes Enterprises Inc. | 1,634 | 22 |
CIRCOR International Inc. | 666 | 21 |
TAL International Group Inc. | 601 | 20 |
Deluxe Corp. | 709 | 20 |
Resources Connection Inc. | 1,790 | 20 |
Encore Wire Corp. | 685 | 19 |
Quad/Graphics Inc. | 1,036 | 19 |
Apogee Enterprises Inc. | 1,197 | 19 |
Griffon Corp. | 1,922 | 19 |
Standex International Corp. | 413 | 18 |
* ICF International Inc. | 823 | 18 |
Cascade Corp. | 369 | 18 |
SkyWest Inc. | 1,960 | 17 |
Viad Corp. | 833 | 17 |
* ACCO Brands Corp. | 2,567 | 17 |
American Science & Engineering Inc. | 284 | 17 |
* GeoEye Inc. | 622 | 17 |
* Tutor Perini Corp. | 1,514 | 16 |
* Layne Christensen Co. | 817 | 16 |
Great Lakes Dredge & Dock Corp. | 2,162 | 16 |
Ennis Inc. | 1,077 | 16 |
Cubic Corp. | 304 | 15 |
* EnPro Industries Inc. | 403 | 15 |
Kimball International Inc. Class B | 1,341 | 15 |
* Rexnord Corp. | 927 | 14 |
Global Power Equipment Group Inc. | 707 | 14 |
* Federal Signal Corp. | 2,307 | 14 |
* Gibraltar Industries Inc. | 1,257 | 14 |
Kelly Services Inc. Class A | 1,102 | 14 |
47
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Greenbrier Cos. Inc. | 940 | 14 |
* Meritor Inc. | 3,032 | 14 |
National Presto Industries Inc. | 177 | 13 |
Douglas Dynamics Inc. | 910 | 13 |
* Tetra Tech Inc. | 483 | 13 |
McGrath RentCorp | 495 | 12 |
LB Foster Co. Class A | 375 | 12 |
Generac Holdings Inc. | 552 | 12 |
* Columbus McKinnon Corp. | 798 | 12 |
* Saia Inc. | 537 | 12 |
Marten Transport Ltd. | 641 | 11 |
Comfort Systems USA Inc. | 1,086 | 11 |
* American Railcar Industries Inc. | 390 | 11 |
Primoris Services Corp. | 898 | 11 |
* Kadant Inc. | 481 | 11 |
Multi-Color Corp. | 522 | 11 |
* Air Transport Services Group Inc. | 2,186 | 10 |
* Accuride Corp. | 1,947 | 10 |
* Northwest Pipe Co. | 386 | 10 |
Arkansas Best Corp. | 1,047 | 10 |
* DigitalGlobe Inc. | 457 | 10 |
Altra Holdings Inc. | 503 | 9 |
* H&E Equipment Services Inc. | 523 | 9 |
Heidrick & Struggles International Inc. | 740 | 9 |
* Lydall Inc. | 703 | 9 |
FreightCar America Inc. | 493 | 9 |
* Consolidated Graphics Inc. | 328 | 9 |
Knoll Inc. | 600 | 9 |
* CBIZ Inc. | 1,563 | 9 |
Mueller Water Products Inc. Class A | 2,237 | 9 |
* Orion Marine Group Inc. | 1,116 | 9 |
* Michael Baker Corp. | 356 | 9 |
Alamo Group Inc. | 285 | 8 |
* Swisher Hygiene Inc. | 4,633 | 8 |
* NCI Building Systems Inc. | 745 | 8 |
* Powell Industries Inc. | 211 | 8 |
* Kratos Defense & Security Solutions Inc. | 1,651 | 8 |
CDI Corp. | 470 | 8 |
* MYR Group Inc. | 378 | 8 |
* Pendrell Corp. | 6,368 | 8 |
* Wesco Aircraft Holdings Inc. | 544 | 8 |
Aceto Corp. | 847 | 8 |
* Furmanite Corp. | 1,532 | 8 |
SeaCube Container Leasing Ltd. | 391 | 7 |
Belden Inc. | 207 | 7 |
Miller Industries Inc. | 456 | 7 |
* TrueBlue Inc. | 449 | 7 |
Insteel Industries Inc. | 686 | 7 |
* Aerovironment Inc. | 286 | 7 |
* CRA International Inc. | 427 | 7 |
* Patriot Transportation Holding Inc. | 262 | 7 |
Twin Disc Inc. | 351 | 7 |
* American Woodmark Corp. | 333 | 6 |
Schawk Inc. Class A | 488 | 6 |
* LMI Aerospace Inc. | 327 | 6 |
* Hudson Global Inc. | 1,368 | 6 |
* CAI International Inc. | 318 | 6 |
* Pike Electric Corp. | 708 | 6 |
* EnerNOC Inc. | 626 | 6 |
* PMFG Inc. | 855 | 6 |
* II-VI Inc. | 321 | 6 |
Ampco-Pittsburgh Corp. | 351 | 6 |
* NN Inc. | 700 | 6 |
Heartland Express Inc. | 449 | 6 |
48
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Sterling Construction Co. Inc. | 603 | 6 |
* EnergySolutions Inc. | 2,381 | 6 |
Dynamic Materials Corp. | 352 | 6 |
* Hawaiian Holdings Inc. | 956 | 6 |
Werner Enterprises Inc. | 254 | 6 |
Applied Industrial Technologies Inc. | 137 | 6 |
* Hurco Cos. Inc. | 266 | 6 |
* American Superconductor Corp. | 1,444 | 5 |
* Quality Distribution Inc. | 551 | 5 |
Argan Inc. | 317 | 5 |
US Ecology Inc. | 282 | 5 |
* Encore Capital Group Inc. | 187 | 5 |
LSI Industries Inc. | 803 | 5 |
* Alaska Air Group Inc. | 156 | 5 |
* Pacer International Inc. | 1,276 | 5 |
Houston Wire & Cable Co. | 472 | 5 |
Preformed Line Products Co. | 87 | 5 |
* Flow International Corp. | 1,551 | 5 |
Met-Pro Corp. | 559 | 5 |
* American Reprographics Co. | 1,243 | 5 |
* KEYW Holding Corp. | 442 | 5 |
* Rand Logistics Inc. | 691 | 5 |
* Casella Waste Systems Inc. Class A | 1,004 | 5 |
Courier Corp. | 427 | 5 |
* GenCorp Inc. | 507 | 5 |
* FuelCell Energy Inc. | 4,618 | 5 |
* Energy Recovery Inc. | 1,808 | 5 |
* Dolan Co. | 1,258 | 4 |
* Cenveo Inc. | 2,221 | 4 |
* Roadrunner Transportation Systems Inc. | 251 | 4 |
Eastern Co. | 256 | 4 |
Asta Funding Inc. | 456 | 4 |
Hardinge Inc. | 481 | 4 |
* Asset Acceptance Capital Corp. | 652 | 4 |
* API Technologies Corp. | 1,331 | 4 |
* Republic Airways Holdings Inc. | 899 | 4 |
* Vicor Corp. | 663 | 4 |
VSE Corp. | 169 | 4 |
* Metalico Inc. | 1,649 | 4 |
International Shipholding Corp. | 226 | 4 |
* Genco Shipping & Trading Ltd. | 1,285 | 4 |
* Edgen Group Inc. | 464 | 3 |
* Hill International Inc. | 879 | 3 |
Universal Truckload Services Inc. | 226 | 3 |
NL Industries Inc. | 270 | 3 |
HNI Corp. | 102 | 3 |
* RailAmerica Inc. | 103 | 3 |
* Willis Lease Finance Corp. | 224 | 3 |
Franklin Electric Co. Inc. | 51 | 3 |
* TMS International Corp. Class A | 265 | 3 |
* Dycom Industries Inc. | 176 | 3 |
* Ameresco Inc. Class A | 199 | 2 |
* Trimas Corp. | 107 | 2 |
* WageWorks Inc. | 113 | 2 |
* Franklin Covey Co. | 181 | 2 |
* BlueLinx Holdings Inc. | 827 | 2 |
* Zipcar Inc. | 212 | 2 |
* PGT Inc. | 472 | 2 |
* GP Strategies Corp. | 71 | 1 |
Intersections Inc. | 128 | 1 |
* Kforce Inc. | 118 | 1 |
SIFCO Industries Inc. | 71 | 1 |
Sypris Solutions Inc. | 182 | 1 |
* A123 Systems Inc. | 4,463 | 1 |
49
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* RPX Corp. | 91 | 1 |
Compx International Inc. | 61 | 1 |
* TRC Cos. Inc. | 75 | 1 |
Ceco Environmental Corp. | 37 | — |
* Park-Ohio Holdings Corp. | 16 | — |
* AT Cross Co. Class A | 31 | — |
* Enphase Energy Inc. | 54 | — |
3,154 | ||
Information Technology (12.6%) | ||
Convergys Corp. | 4,867 | 76 |
MKS Instruments Inc. | 2,195 | 60 |
* Arris Group Inc. | 4,070 | 56 |
* Acxiom Corp. | 3,182 | 54 |
* CACI International Inc. Class A | 1,015 | 54 |
Tellabs Inc. | 15,172 | 54 |
* Finisar Corp. | 3,782 | 52 |
* Cymer Inc. | 888 | 50 |
* First Solar Inc. | 2,515 | 50 |
* Entegris Inc. | 5,707 | 50 |
* Progress Software Corp. | 2,604 | 50 |
* International Rectifier Corp. | 2,867 | 50 |
Intersil Corp. Class A | 5,280 | 47 |
* JDA Software Group Inc. | 1,369 | 42 |
Plantronics Inc. | 1,179 | 42 |
* Veeco Instruments Inc. | 1,196 | 41 |
* TriQuint Semiconductor Inc. | 7,029 | 39 |
* Benchmark Electronics Inc. | 2,416 | 39 |
* RF Micro Devices Inc. | 10,154 | 38 |
* SYNNEX Corp. | 1,097 | 38 |
* Euronet Worldwide Inc. | 2,117 | 38 |
* QLogic Corp. | 3,066 | 37 |
* Monster Worldwide Inc. | 5,053 | 35 |
* OmniVision Technologies Inc. | 2,165 | 35 |
* ScanSource Inc. | 1,153 | 35 |
* Insight Enterprises Inc. | 1,858 | 33 |
* Coherent Inc. | 705 | 33 |
Tessera Technologies Inc. | 2,169 | 33 |
* NETGEAR Inc. | 881 | 32 |
* Integrated Device Technology Inc. | 5,955 | 32 |
* WebMD Health Corp. | 2,110 | 32 |
EarthLink Inc. | 4,437 | 30 |
* Mentor Graphics Corp. | 1,771 | 29 |
* Sanmina-SCI Corp. | 3,370 | 29 |
Anixter International Inc. | 463 | 28 |
* Electronics for Imaging Inc. | 1,791 | 28 |
* Diodes Inc. | 1,467 | 27 |
* Brightpoint Inc. | 2,898 | 26 |
* Rofin-Sinar Technologies Inc. | 1,180 | 26 |
* Digital River Inc. | 1,526 | 25 |
* Emulex Corp. | 3,643 | 25 |
* Plexus Corp. | 813 | 24 |
* ATMI Inc. | 1,256 | 24 |
* TiVo Inc. | 2,577 | 23 |
* TTM Technologies Inc. | 2,197 | 23 |
* Bottomline Technologies Inc. | 1,028 | 23 |
* SS&C Technologies Holdings Inc. | 1,031 | 23 |
* Spansion Inc. Class A | 1,993 | 23 |
Park Electrochemical Corp. | 859 | 22 |
Brooks Automation Inc. | 2,781 | 22 |
* Harmonic Inc. | 4,861 | 22 |
* Blucora Inc. | 1,400 | 22 |
* Advanced Energy Industries Inc. | 1,676 | 21 |
Mantech International Corp. Class A | 954 | 21 |
Comtech Telecommunications Corp. | 742 | 21 |
50
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* ValueClick Inc. | 1,241 | 20 |
* Entropic Communications Inc. | 3,707 | 20 |
* Newport Corp. | 1,612 | 20 |
* MEMC Electronic Materials Inc. | 7,395 | 20 |
* Lattice Semiconductor Corp. | 4,983 | 19 |
* Unisys Corp. | 909 | 19 |
United Online Inc. | 3,824 | 19 |
Black Box Corp. | 723 | 19 |
* Rambus Inc. | 4,310 | 18 |
* Accelrys Inc. | 2,349 | 18 |
* Power-One Inc. | 2,759 | 17 |
* OCZ Technology Group Inc. | 2,769 | 16 |
* TeleTech Holdings Inc. | 945 | 16 |
* Sonus Networks Inc. | 7,979 | 15 |
* Rogers Corp. | 387 | 15 |
* Nanometrics Inc. | 966 | 15 |
* Photronics Inc. | 2,484 | 15 |
* Quantum Corp. | 9,058 | 15 |
* Amkor Technology Inc. | 3,059 | 14 |
Methode Electronics Inc. | 1,523 | 14 |
EPIQ Systems Inc. | 1,195 | 14 |
CTS Corp. | 1,401 | 14 |
* Ciena Corp. | 1,000 | 14 |
* Checkpoint Systems Inc. | 1,663 | 13 |
* Applied Micro Circuits Corp. | 2,554 | 13 |
* Intermec Inc. | 2,154 | 13 |
* Oplink Communications Inc. | 785 | 13 |
* CSG Systems International Inc. | 593 | 13 |
* Sycamore Networks Inc. | 844 | 13 |
* Mercury Computer Systems Inc. | 1,274 | 12 |
* Rudolph Technologies Inc. | 1,323 | 12 |
Electro Rent Corp. | 696 | 12 |
Electro Scientific Industries Inc. | 942 | 12 |
* QuinStreet Inc. | 1,344 | 12 |
* LTX-Credence Corp. | 2,016 | 11 |
* Avid Technology Inc. | 1,229 | 11 |
* Integrated Silicon Solution Inc. | 1,124 | 11 |
* Digi International Inc. | 1,059 | 11 |
* Fabrinet | 907 | 11 |
* STEC Inc. | 1,458 | 11 |
Daktronics Inc. | 1,125 | 11 |
* Silicon Graphics International Corp. | 1,245 | 11 |
* Zygo Corp. | 546 | 11 |
* Symmetricom Inc. | 1,712 | 11 |
* CIBER Inc. | 2,996 | 10 |
* FormFactor Inc. | 2,041 | 10 |
* GSI Group Inc. | 1,135 | 10 |
* Exar Corp. | 1,329 | 10 |
* MoneyGram International Inc. | 632 | 10 |
* FSI International Inc. | 1,612 | 10 |
* Anaren Inc. | 500 | 10 |
* IXYS Corp. | 1,009 | 10 |
j2 Global Inc. | 328 | 10 |
* Seachange International Inc. | 1,176 | 10 |
* Kopin Corp. | 2,749 | 10 |
* Sigma Designs Inc. | 1,354 | 9 |
Cohu Inc. | 1,003 | 9 |
* Kemet Corp. | 1,847 | 9 |
Bel Fuse Inc. Class B | 437 | 9 |
Keynote Systems Inc. | 646 | 9 |
* IntraLinks Holdings Inc. | 1,500 | 8 |
* Pericom Semiconductor Corp. | 972 | 8 |
* Oclaro Inc. | 3,033 | 8 |
* Internap Network Services Corp. | 1,078 | 8 |
51
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* KIT Digital Inc. | 2,272 | 7 |
* Supertex Inc. | 425 | 7 |
* Imation Corp. | 1,272 | 7 |
* RealNetworks Inc. | 899 | 7 |
* Multi-Fineline Electronix Inc. | 286 | 7 |
Ebix Inc. | 291 | 7 |
* Vishay Precision Group Inc. | 507 | 7 |
* Inphi Corp. | 574 | 7 |
Richardson Electronics Ltd. | 566 | 7 |
* Alpha & Omega Semiconductor Ltd. | 707 | 7 |
* VASCO Data Security International Inc. | 638 | 6 |
* Intevac Inc. | 957 | 6 |
* Rubicon Technology Inc. | 700 | 6 |
* Aeroflex Holding Corp. | 813 | 6 |
* Aviat Networks Inc. | 2,520 | 6 |
* Limelight Networks Inc. | 2,474 | 6 |
* Ultra Clean Holdings | 958 | 6 |
* Calix Inc. | 1,059 | 6 |
* ePlus Inc. | 164 | 6 |
* Aspen Technology Inc. | 216 | 5 |
* DealerTrack Holdings Inc. | 187 | 5 |
* DSP Group Inc. | 899 | 5 |
FEI Co. | 95 | 5 |
* Agilysys Inc. | 602 | 5 |
* ModusLink Global Solutions Inc. | 1,623 | 5 |
PC-Tel Inc. | 760 | 5 |
* MoSys Inc. | 1,383 | 5 |
* Axcelis Technologies Inc. | 4,427 | 5 |
PC Connection Inc. | 367 | 5 |
* NeoPhotonics Corp. | 805 | 4 |
* AXT Inc. | 1,329 | 4 |
Littelfuse Inc. | 85 | 4 |
* GT Advanced Technologies Inc. | 740 | 4 |
* MaxLinear Inc. | 751 | 4 |
* Westell Technologies Inc. Class A | 1,999 | 4 |
* Pervasive Software Inc. | 505 | 4 |
* TeleNav Inc. | 683 | 4 |
* Bankrate Inc. | 232 | 4 |
* STR Holdings Inc. | 1,245 | 4 |
* SunPower Corp. Class A | 882 | 4 |
* Mindspeed Technologies Inc. | 1,486 | 4 |
* Key Tronic Corp. | 355 | 4 |
* Ceva Inc. | 234 | 4 |
* GSI Technology Inc. | 848 | 4 |
* Audience Inc. | 207 | 4 |
* TechTarget Inc. | 634 | 4 |
* Radisys Corp. | 942 | 3 |
* ANADIGICS Inc. | 2,897 | 3 |
* Perficient Inc. | 301 | 3 |
* Demand Media Inc. | 314 | 3 |
Marchex Inc. Class B | 933 | 3 |
* MIPS Technologies Inc. Class A | 450 | 3 |
* Silicon Image Inc. | 562 | 3 |
Telular Corp. | 271 | 3 |
* Infinera Corp. | 456 | 3 |
* Globecomm Systems Inc. | 217 | 3 |
* Rosetta Stone Inc. | 223 | 3 |
* RealD Inc. | 254 | 3 |
* Echelon Corp. | 728 | 2 |
* Measurement Specialties Inc. | 74 | 2 |
* Viasystems Group Inc. | 158 | 2 |
* M/A-COM Technology Solutions Holdings Inc. | 208 | 2 |
* Computer Task Group Inc. | 148 | 2 |
* Mattson Technology Inc. | 2,405 | 2 |
52
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Sapiens International Corp. NV | 563 | 2 |
Tessco Technologies Inc. | 109 | 2 |
Loral Space & Communications Inc. | 28 | 2 |
* support.com Inc. | 617 | 2 |
* MeetMe Inc. | 749 | 2 |
* Super Micro Computer Inc. | 132 | 2 |
* KVH Industries Inc. | 107 | 1 |
* AuthenTec Inc. | 160 | 1 |
* Actuate Corp. | 176 | 1 |
* ShoreTel Inc. | 305 | 1 |
* PLX Technology Inc. | 187 | 1 |
* Market Leader Inc. | 201 | 1 |
* Glu Mobile Inc. | 200 | 1 |
* Envivio Inc. | 261 | 1 |
* Immersion Corp. | 76 | — |
* QuickLogic Corp. | 161 | — |
* Demandware Inc. | 12 | — |
* Unwired Planet Inc. | 167 | — |
Aware Inc. | 48 | — |
* Infoblox Inc. | 13 | — |
QAD Inc. Class A | 21 | — |
* Bazaarvoice Inc. | 16 | — |
* Millennial Media Inc. | 19 | — |
* Ipass Inc. | 120 | — |
* Proofpoint Inc. | 12 | — |
* AVG Technologies NV | 14 | — |
* Brightcove Inc. | 9 | — |
* Mattersight Corp. | 19 | — |
* Synacor Inc. | 12 | — |
3,075 | ||
Materials (5.3%) | ||
* Louisiana-Pacific Corp. | 5,743 | 77 |
Sensient Technologies Corp. | 2,084 | 75 |
Hecla Mining Co. | 11,819 | 64 |
* Coeur d'Alene Mines Corp. | 2,210 | 51 |
* Stillwater Mining Co. | 4,819 | 51 |
Minerals Technologies Inc. | 738 | 50 |
Worthington Industries Inc. | 2,164 | 45 |
Kaiser Aluminum Corp. | 800 | 45 |
* Resolute Forest Products | 3,372 | 42 |
* Graphic Packaging Holding Co. | 6,979 | 39 |
* Texas Industries Inc. | 941 | 37 |
Globe Specialty Metals Inc. | 2,389 | 35 |
* KapStone Paper and Packaging Corp. | 1,691 | 34 |
* McEwen Mining Inc. | 8,257 | 33 |
Boise Inc. | 4,202 | 32 |
A Schulman Inc. | 1,237 | 30 |
Schnitzer Steel Industries Inc. | 1,055 | 29 |
* Kraton Performance Polymers Inc. | 1,350 | 29 |
* RTI International Metals Inc. | 1,269 | 28 |
* Innospec Inc. | 835 | 26 |
PH Glatfelter Co. | 1,494 | 25 |
* OM Group Inc. | 1,360 | 25 |
Olin Corp. | 1,039 | 22 |
Georgia Gulf Corp. | 533 | 21 |
* Chemtura Corp. | 1,271 | 21 |
Buckeye Technologies Inc. | 678 | 21 |
AK Steel Holding Corp. | 3,896 | 20 |
Quaker Chemical Corp. | 384 | 18 |
Materion Corp. | 766 | 16 |
Tredegar Corp. | 993 | 16 |
* Horsehead Holding Corp. | 1,802 | 16 |
* Golden Star Resources Ltd. | 10,646 | 15 |
53
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* SunCoke Energy Inc. | 847 | 14 |
* Century Aluminum Co. | 2,117 | 13 |
PolyOne Corp. | 789 | 13 |
* LSB Industries Inc. | 328 | 12 |
* Ferro Corp. | 3,561 | 12 |
Schweitzer-Mauduit International Inc. | 336 | 11 |
* Universal Stainless & Alloy | 282 | 10 |
* Zoltek Cos. Inc. | 1,132 | 10 |
* AM Castle & Co. | 687 | 9 |
FutureFuel Corp. | 794 | 8 |
* Landec Corp. | 790 | 8 |
Zep Inc. | 535 | 8 |
* Clearwater Paper Corp. | 196 | 7 |
* Vista Gold Corp. | 2,393 | 7 |
* Gold Reserve Inc. Class A | 1,883 | 7 |
Neenah Paper Inc. | 259 | 7 |
* Spartech Corp. | 1,267 | 7 |
* General Moly Inc. | 2,336 | 6 |
* Golden Minerals Co. | 1,179 | 6 |
* TPC Group Inc. | 149 | 6 |
Olympic Steel Inc. | 375 | 6 |
* Calgon Carbon Corp. | 371 | 5 |
* Metals USA Holdings Corp. | 361 | 5 |
Haynes International Inc. | 89 | 4 |
Chase Corp. | 263 | 4 |
* UFP Technologies Inc. | 227 | 4 |
* Revett Minerals Inc. | 1,049 | 3 |
Stepan Co. | 20 | 2 |
AMCOL International Corp. | 63 | 2 |
Wausau Paper Corp. | 123 | 1 |
* Handy & Harman Ltd. | 20 | — |
* United States Lime & Minerals Inc. | 3 | — |
1,305 | ||
Telecommunication Services (0.6%) | ||
* Cincinnati Bell Inc. | 5,315 | 25 |
Shenandoah Telecommunications Co. | 981 | 15 |
* Premiere Global Services Inc. | 1,583 | 15 |
* Vonage Holdings Corp. | 6,544 | 14 |
* Iridium Communications Inc. | 1,758 | 13 |
* Neutral Tandem Inc. | 1,156 | 13 |
USA Mobility Inc. | 911 | 10 |
Consolidated Communications Holdings Inc. | 584 | 9 |
* Leap Wireless International Inc. | 1,648 | 9 |
* Cbeyond Inc. | 1,043 | 8 |
* Hawaiian Telcom Holdco Inc. | 422 | 7 |
* magicJack VocalTec Ltd. | 191 | 5 |
* ORBCOMM Inc. | 742 | 3 |
* Fairpoint Communications Inc. | 172 | 1 |
* inContact Inc. | 144 | 1 |
IDT Corp. Class B | 72 | 1 |
149 | ||
Utilities (6.9%) | ||
Cleco Corp. | 2,532 | 104 |
IDACORP Inc. | 2,083 | 86 |
Piedmont Natural Gas Co. Inc. | 2,731 | 85 |
Portland General Electric Co. | 3,140 | 84 |
WGL Holdings Inc. | 2,149 | 84 |
Southwest Gas Corp. | 1,918 | 82 |
* GenOn Energy Inc. | 32,236 | 82 |
New Jersey Resources Corp. | 1,733 | 78 |
UIL Holdings Corp. | 2,108 | 74 |
PNM Resources Inc. | 3,325 | 68 |
UNS Energy Corp. | 1,681 | 67 |
ALLETE Inc. | 1,594 | 66 |
54
Vanguard® Russell 2000 Value Index Fund | ||||
Schedule of Investments | ||||
August 31, 2012 | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
Black Hills Corp. | 1,827 | 63 | ||
Avista Corp. | 2,449 | 62 | ||
Atlantic Power Corp. | 4,342 | 61 | ||
NorthWestern Corp. | 1,508 | 55 | ||
El Paso Electric Co. | 1,659 | 55 | ||
Northwest Natural Gas Co. | 1,110 | 55 | ||
South Jersey Industries Inc. | 985 | 50 | ||
MGE Energy Inc. | 958 | 47 | ||
CH Energy Group Inc. | 618 | 40 | ||
Laclede Group Inc. | 938 | 40 | ||
Empire District Electric Co. | 1,758 | 37 | ||
Otter Tail Corp. | 1,418 | 32 | ||
American States Water Co. | 698 | 31 | ||
Chesapeake Utilities Corp. | 395 | 19 | ||
California Water Service Group | 889 | 16 | ||
Unitil Corp. | 566 | 15 | ||
Middlesex Water Co. | 646 | 12 | ||
Ormat Technologies Inc. | 526 | 10 | ||
SJW Corp. | 400 | 9 | ||
Artesian Resources Corp. Class A | 308 | 7 | ||
Delta Natural Gas Co. Inc. | 280 | 6 | ||
Consolidated Water Co. Ltd. | 600 | 5 | ||
Genie Energy Ltd. Class B | 623 | 5 | ||
Connecticut Water Service Inc. | 126 | 4 | ||
York Water Co. | 132 | 2 | ||
* | Cadiz Inc. | 27 | — | |
* | American DG Energy Inc. | 75 | — | |
1,698 | ||||
Total Common Stocks (Cost $23,969) | 24,479 | |||
Coupon | ||||
Temporary Cash Investment (0.1%) | ||||
Money Market Fund (0.1%) | ||||
1 | Vanguard Market Liquidity Fund (Cost $15) | 0.158% | 15,000 | 15 |
Total Investments (100.2%) (Cost $23,984) | 24,494 | |||
Other Assets and Liabilities—Net (-0.2%) | (37) | |||
Net Assets (100%) | 24,457 |
Securities with a market value of less than $500 are displayed with a dash.
* Non-income-producing security.
1 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.
55
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (100.0%) | ||
Consumer Discretionary (16.3%) | ||
Wolverine World Wide Inc. | 8,997 | 423 |
Six Flags Entertainment Corp. | 7,333 | 405 |
Brunswick Corp. | 16,510 | 391 |
Domino's Pizza Inc. | 10,703 | 379 |
* Cabela's Inc. | 7,820 | 375 |
* Life Time Fitness Inc. | 7,336 | 348 |
Pool Corp. | 8,778 | 346 |
* Warnaco Group Inc. | 6,652 | 342 |
* Tenneco Inc. | 11,219 | 341 |
Pier 1 Imports Inc. | 17,953 | 332 |
Cheesecake Factory Inc. | 9,982 | 332 |
* ANN Inc. | 9,016 | 321 |
* Genesco Inc. | 4,522 | 319 |
HSN Inc. | 7,007 | 316 |
* Steven Madden Ltd. | 7,257 | 311 |
* Select Comfort Corp. | 10,479 | 299 |
* Coinstar Inc. | 5,783 | 296 |
* Vitamin Shoppe Inc. | 5,439 | 292 |
* Crocs Inc. | 16,614 | 291 |
* Hibbett Sports Inc. | 4,877 | 283 |
* Buffalo Wild Wings Inc. | 3,436 | 264 |
* Express Inc. | 16,524 | 258 |
* Collective Brands Inc. | 11,247 | 243 |
* Lumber Liquidators Holdings Inc. | 5,096 | 238 |
Buckle Inc. | 5,125 | 233 |
* Lions Gate Entertainment Corp. | 15,665 | 232 |
* Jos A Bank Clothiers Inc. | 4,776 | 230 |
* Francesca's Holdings Corp. | 6,425 | 227 |
Cracker Barrel Old Country Store Inc. | 3,561 | 224 |
* Aeropostale Inc. | 15,041 | 210 |
Cooper Tire & Rubber Co. | 9,989 | 200 |
Texas Roadhouse Inc. Class A | 11,551 | 198 |
Monro Muffler Brake Inc. | 5,719 | 194 |
* BJ's Restaurants Inc. | 4,540 | 186 |
Hillenbrand Inc. | 10,207 | 185 |
* Peet's Coffee & Tea Inc. | 2,452 | 180 |
* Jack in the Box Inc. | 6,613 | 173 |
Arbitron Inc. | 4,896 | 172 |
* Papa John's International Inc. | 3,320 | 171 |
* Grand Canyon Education Inc. | 7,395 | 156 |
* Shuffle Master Inc. | 10,172 | 154 |
Sturm Ruger & Co. Inc. | 3,544 | 153 |
* DineEquity Inc. | 2,830 | 150 |
Cato Corp. Class A | 5,074 | 149 |
* Gaylord Entertainment Co. | 3,539 | 143 |
Strayer Education Inc. | 2,196 | 142 |
Oxford Industries Inc. | 2,593 | 141 |
Sotheby's | 4,401 | 138 |
* Dorman Products Inc. | 4,533 | 134 |
Interval Leisure Group Inc. | 7,177 | 132 |
* Steiner Leisure Ltd. | 2,827 | 132 |
* iRobot Corp. | 5,084 | 128 |
* Asbury Automotive Group Inc. | 4,565 | 126 |
Ryland Group Inc. | 4,656 | 125 |
Vail Resorts Inc. | 2,346 | 121 |
* Zumiez Inc. | 4,053 | 118 |
* Valassis Communications Inc. | 4,508 | 113 |
* American Public Education Inc. | 3,335 | 112 |
True Religion Apparel Inc. | 4,770 | 111 |
* AFC Enterprises Inc. | 4,504 | 108 |
* K12 Inc. | 4,934 | 104 |
56
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Arctic Cat Inc. | 2,339 | 101 |
* LeapFrog Enterprises Inc. | 9,333 | 101 |
CEC Entertainment Inc. | 3,383 | 101 |
* Children's Place Retail Stores Inc. | 1,696 | 97 |
* Smith & Wesson Holding Corp. | 11,997 | 96 |
Ameristar Casinos Inc. | 5,301 | 89 |
* Blue Nile Inc. | 2,296 | 86 |
Ethan Allen Interiors Inc. | 3,869 | 85 |
* Sonic Corp. | 9,027 | 85 |
* Tumi Holdings Inc. | 3,988 | 84 |
Finish Line Inc. Class A | 3,558 | 82 |
Blyth Inc. | 1,918 | 81 |
* rue21 inc | 2,858 | 81 |
* Multimedia Games Holding Co. Inc. | 5,057 | 79 |
* Vera Bradley Inc. | 3,722 | 79 |
* Capella Education Co. | 2,491 | 77 |
Matthews International Corp. Class A | 2,473 | 74 |
Hot Topic Inc. | 7,786 | 74 |
* Maidenform Brands Inc. | 3,096 | 69 |
* Denny's Corp. | 13,925 | 68 |
* America's Car-Mart Inc. | 1,476 | 67 |
* Mattress Firm Holding Corp. | 2,030 | 65 |
* Amerigon Inc. | 5,449 | 65 |
Men's Wearhouse Inc. | 1,961 | 62 |
* Bravo Brio Restaurant Group Inc. | 3,600 | 58 |
* Town Sports International Holdings Inc. | 4,270 | 56 |
* Libbey Inc. | 3,779 | 56 |
Nutrisystem Inc. | 5,233 | 54 |
Penske Automotive Group Inc. | 2,017 | 54 |
* Cavco Industries Inc. | 1,144 | 52 |
* Meritage Homes Corp. | 1,362 | 51 |
National CineMedia Inc. | 3,456 | 50 |
* Caribou Coffee Co. Inc. | 3,881 | 50 |
* Shutterfly Inc. | 1,652 | 49 |
* Drew Industries Inc. | 1,671 | 48 |
Belo Corp. Class A | 6,293 | 46 |
* Skullcandy Inc. | 2,975 | 46 |
Churchill Downs Inc. | 787 | 45 |
* Caesars Entertainment Corp. | 6,045 | 43 |
* Fiesta Restaurant Group Inc. | 2,679 | 43 |
World Wrestling Entertainment Inc. Class A | 4,621 | 41 |
* Ruth's Hospitality Group Inc. | 6,548 | 40 |
* La-Z-Boy Inc. | 2,836 | 39 |
PetMed Express Inc. | 3,780 | 39 |
Dana Holding Corp. | 2,827 | 39 |
* Red Robin Gourmet Burgers Inc. | 1,218 | 38 |
* Zagg Inc. | 4,734 | 36 |
* Bridgepoint Education Inc. | 3,235 | 32 |
Universal Technical Institute Inc. | 2,619 | 31 |
* Tilly's Inc. Class A | 1,708 | 31 |
* Jamba Inc. | 12,509 | 31 |
Bob Evans Farms Inc. | 737 | 29 |
* Gordmans Stores Inc. | 1,572 | 28 |
* Body Central Corp. | 3,006 | 26 |
* Vitacost.com Inc. | 4,104 | 26 |
* ReachLocal Inc. | 1,887 | 24 |
RG Barry Corp. | 1,483 | 21 |
Winmark Corp. | 423 | 21 |
Destination Maternity Corp. | 1,093 | 20 |
* Overstock.com Inc. | 2,168 | 19 |
* Ignite Restaurant Group Inc. | 1,233 | 18 |
Cherokee Inc. | 1,402 | 18 |
* Rentrak Corp. | 1,038 | 18 |
MDC Partners Inc. Class A | 1,784 | 18 |
57
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Teavana Holdings Inc. | 1,630 | 18 |
Einstein Noah Restaurant Group Inc. | 1,024 | 18 |
* Winnebago Industries Inc. | 1,527 | 18 |
* Nathan's Famous Inc. | 497 | 16 |
Core-Mark Holding Co. Inc. | 347 | 16 |
* MTR Gaming Group Inc. | 4,202 | 15 |
* Fifth & Pacific Cos. Inc. | 1,132 | 15 |
* Geeknet Inc. | 831 | 15 |
Collectors Universe | 993 | 15 |
* G-III Apparel Group Ltd. | 386 | 12 |
* Orbitz Worldwide Inc. | 4,276 | 12 |
* Carmike Cinemas Inc. | 1,047 | 12 |
* New York & Co. Inc. | 3,141 | 12 |
* Carrols Restaurant Group Inc. | 1,983 | 11 |
* Premier Exhibitions Inc. | 4,778 | 11 |
* Fuel Systems Solutions Inc. | 576 | 10 |
* Scientific Games Corp. Class A | 1,383 | 10 |
* Five Below Inc. | 301 | 10 |
* Morgans Hotel Group Co. | 1,838 | 10 |
* Kenneth Cole Productions Inc. Class A | 606 | 9 |
Sinclair Broadcast Group Inc. Class A | 769 | 9 |
* Biglari Holdings Inc. | 25 | 9 |
* Pinnacle Entertainment Inc. | 779 | 9 |
Movado Group Inc. | 236 | 8 |
* US Auto Parts Network Inc. | 2,741 | 8 |
* Tower International Inc. | 1,069 | 8 |
* CafePress Inc. | 854 | 8 |
Marine Products Corp. | 1,106 | 6 |
American Greetings Corp. Class A | 444 | 6 |
* Conn's Inc. | 273 | 6 |
Outdoor Channel Holdings Inc. | 807 | 6 |
* Barnes & Noble Inc. | 438 | 5 |
* Boyd Gaming Corp. | 755 | 5 |
Mac-Gray Corp. | 315 | 4 |
* Digital Domain Media Group Inc. | 1,983 | 4 |
* Nexstar Broadcasting Group Inc. Class A | 371 | 3 |
bebe stores inc | 459 | 2 |
National American University Holdings Inc. | 552 | 2 |
* Global Sources Ltd. | 362 | 2 |
Value Line Inc. | 165 | 2 |
* Crown Media Holdings Inc. Class A | 946 | 2 |
* Citi Trends Inc. | 137 | 2 |
Weyco Group Inc. | 46 | 1 |
* Systemax Inc. | 77 | 1 |
* hhgregg Inc. | 111 | 1 |
* 1-800-Flowers.com Inc. Class A | 205 | 1 |
* Dial Global Inc. | 204 | 1 |
* Beasley Broadcasting Group Inc. Class A | 35 | — |
17,468 | ||
Consumer Staples (4.7%) | ||
* United Natural Foods Inc. | 9,031 | 519 |
* Hain Celestial Group Inc. | 6,814 | 470 |
Casey's General Stores Inc. | 7,039 | 398 |
B&G Foods Inc. Class A | 8,935 | 262 |
Lancaster Colony Corp. | 3,418 | 248 |
PriceSmart Inc. | 3,358 | 246 |
* TreeHouse Foods Inc. | 4,485 | 233 |
Sanderson Farms Inc. | 4,251 | 187 |
* Elizabeth Arden Inc. | 3,983 | 185 |
Snyders-Lance Inc. | 7,262 | 170 |
J&J Snack Foods Corp. | 2,740 | 156 |
* Boston Beer Co. Inc. Class A | 1,441 | 149 |
WD-40 Co. | 2,947 | 144 |
Spectrum Brands Holdings Inc. | 3,557 | 131 |
58
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Vector Group Ltd. | 7,375 | 125 |
* Darling International Inc. | 6,614 | 110 |
* Post Holdings Inc. | 3,599 | 107 |
Tootsie Roll Industries Inc. | 4,108 | 104 |
* Star Scientific Inc. | 26,951 | 101 |
* Prestige Brands Holdings Inc. | 6,137 | 99 |
Cal-Maine Foods Inc. | 2,299 | 92 |
* Medifast Inc. | 2,559 | 71 |
SUPERVALU Inc. | 29,649 | 71 |
Coca-Cola Bottling Co. Consolidated | 859 | 59 |
Calavo Growers Inc. | 2,190 | 58 |
* USANA Health Sciences Inc. | 1,096 | 50 |
* Pilgrim's Pride Corp. | 8,941 | 48 |
* Schiff Nutrition International Inc. | 2,457 | 47 |
Harris Teeter Supermarkets Inc. | 1,113 | 44 |
Inter Parfums Inc. | 2,179 | 36 |
* Chefs' Warehouse Inc. | 2,045 | 31 |
* National Beverage Corp. | 2,099 | 31 |
* Susser Holdings Corp. | 886 | 30 |
Roundy's Inc. | 3,716 | 28 |
Limoneira Co. | 1,539 | 27 |
* Annie's Inc. | 654 | 27 |
Female Health Co. | 3,560 | 24 |
Nature's Sunshine Products Inc. | 1,279 | 20 |
* Synutra International Inc. | 3,216 | 18 |
* Inventure Foods Inc. | 2,430 | 15 |
* Central Garden and Pet Co. Class A | 1,076 | 13 |
* Rite Aid Corp. | 10,548 | 13 |
Arden Group Inc. | 139 | 13 |
Orchids Paper Products Co. | 512 | 9 |
Alico Inc. | 288 | 9 |
Lifeway Foods Inc. | 856 | 8 |
* Craft Brew Alliance Inc. | 802 | 6 |
* Pantry Inc. | 365 | 5 |
* Westway Group Inc. | 155 | 1 |
* Farmer Bros Co. | 56 | 1 |
5,049 | ||
Energy (5.6%) | ||
* Dril-Quip Inc. | 7,431 | 520 |
* Kodiak Oil & Gas Corp. | 48,724 | 436 |
* Oasis Petroleum Inc. | 14,769 | 433 |
* Rosetta Resources Inc. | 9,779 | 420 |
Berry Petroleum Co. Class A | 9,677 | 356 |
Energy XXI Bermuda Ltd. | 10,612 | 349 |
Lufkin Industries Inc. | 6,208 | 325 |
Targa Resources Corp. | 5,365 | 243 |
* Northern Oil and Gas Inc. | 11,756 | 192 |
Western Refining Inc. | 6,269 | 175 |
* Clean Energy Fuels Corp. | 12,229 | 161 |
* ION Geophysical Corp. | 24,425 | 159 |
* Carrizo Oil & Gas Inc. | 6,315 | 159 |
* Approach Resources Inc. | 5,353 | 154 |
* Halcon Resources Corp. | 18,040 | 139 |
* Contango Oil & Gas Co. | 2,166 | 120 |
* OYO Geospace Corp. | 1,179 | 108 |
* Forum Energy Technologies Inc. | 4,102 | 97 |
* Gulfport Energy Corp. | 3,455 | 91 |
Crosstex Energy Inc. | 6,901 | 86 |
* Vaalco Energy Inc. | 10,684 | 79 |
* FX Energy Inc. | 9,773 | 75 |
* Solazyme Inc. | 6,043 | 72 |
* Endeavour International Corp. | 8,006 | 68 |
* Rentech Inc. | 28,218 | 62 |
* CVR Energy Inc. | 2,078 | 62 |
59
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Goodrich Petroleum Corp. | 4,794 | 61 |
* Venoco Inc. | 5,414 | 60 |
* C&J Energy Services Inc. | 2,518 | 51 |
* Magnum Hunter Resources Corp. | 9,612 | 41 |
* Sanchez Energy Corp. | 2,152 | 41 |
* RigNet Inc. | 2,290 | 41 |
* Gulfmark Offshore Inc. | 1,083 | 38 |
Panhandle Oil and Gas Inc. Class A | 1,298 | 38 |
* KiOR Inc. | 4,905 | 37 |
* Abraxas Petroleum Corp. | 15,341 | 31 |
Apco Oil and Gas International Inc. | 1,697 | 27 |
* Evolution Petroleum Corp. | 3,076 | 25 |
* Mitcham Industries Inc. | 1,499 | 23 |
* Matador Resources Co. | 2,175 | 22 |
Alon USA Energy Inc. | 1,473 | 20 |
* Saratoga Resources Inc. | 3,778 | 20 |
* Isramco Inc. | 191 | 20 |
* GasLog Ltd. | 1,757 | 20 |
* Uranium Energy Corp. | 7,400 | 19 |
* Gevo Inc. | 5,181 | 18 |
* Pioneer Energy Services Corp. | 2,381 | 18 |
* Uranerz Energy Corp. | 12,261 | 18 |
* Midstates Petroleum Co. Inc. | 2,045 | 17 |
* Global Geophysical Services Inc. | 3,609 | 17 |
* TGC Industries Inc. | 2,709 | 16 |
* BPZ Resources Inc. | 5,831 | 13 |
* CREDO Petroleum Corp. | 816 | 12 |
* Matrix Service Co. | 919 | 11 |
* Willbros Group Inc. | 1,686 | 8 |
W&T Offshore Inc. | 452 | 8 |
* Warren Resources Inc. | 2,612 | 8 |
* Ceres Inc. | 1,109 | 8 |
* ZaZa Energy Corp. | 2,113 | 6 |
* Bonanza Creek Energy Inc. | 280 | 6 |
* PHI Inc. | 192 | 5 |
* Clayton Williams Energy Inc. | 103 | 5 |
* Heckmann Corp. | 1,691 | 5 |
* Harvest Natural Resources Inc. | 270 | 2 |
* Renewable Energy Group Inc. | 243 | 1 |
* REX American Resources Corp. | 68 | 1 |
* Synergy Resources Corp. | 205 | 1 |
5,980 | ||
Financials (7.0%) | ||
Omega Healthcare Investors Inc. | 19,563 | 470 |
Highwoods Properties Inc. | 11,095 | 362 |
* Texas Capital Bancshares Inc. | 6,476 | 298 |
Sovran Self Storage Inc. | 4,886 | 278 |
EastGroup Properties Inc. | 4,938 | 265 |
Glimcher Realty Trust | 23,185 | 243 |
* First Cash Financial Services Inc. | 5,295 | 236 |
National Health Investors Inc. | 4,521 | 236 |
Greenhill & Co. Inc. | 5,379 | 235 |
Sun Communities Inc. | 4,899 | 224 |
MarketAxess Holdings Inc. | 6,756 | 220 |
Acadia Realty Trust | 8,524 | 212 |
PS Business Parks Inc. | 2,826 | 193 |
* Financial Engines Inc. | 8,574 | 183 |
Alexander's Inc. | 388 | 174 |
* Strategic Hotels & Resorts Inc. | 28,375 | 173 |
Potlatch Corp. | 4,696 | 169 |
* Stifel Financial Corp. | 4,880 | 160 |
DuPont Fabros Technology Inc. | 5,346 | 147 |
* Credit Acceptance Corp. | 1,456 | 143 |
* World Acceptance Corp. | 1,930 | 141 |
60
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Ezcorp Inc. Class A | 6,108 | 138 |
Westamerica Bancorporation | 2,842 | 132 |
Bank of the Ozarks Inc. | 3,947 | 127 |
* DFC Global Corp. | 6,379 | 119 |
Cohen & Steers Inc. | 3,415 | 115 |
Washington REIT | 3,876 | 104 |
* Nationstar Mortgage Holdings Inc. | 3,543 | 96 |
Cash America International Inc. | 2,258 | 88 |
BGC Partners Inc. Class A | 18,181 | 82 |
* HFF Inc. Class A | 5,133 | 68 |
* Tejon Ranch Co. | 2,432 | 68 |
* WisdomTree Investments Inc. | 10,807 | 67 |
Tower Group Inc. | 3,457 | 64 |
* FelCor Lodging Trust Inc. | 13,657 | 63 |
Urstadt Biddle Properties Inc. Class A | 3,216 | 63 |
Epoch Holding Corp. | 2,937 | 62 |
Associated Estates Realty Corp. | 3,996 | 61 |
Saul Centers Inc. | 1,395 | 60 |
* eHealth Inc. | 3,611 | 60 |
Universal Health Realty Income Trust | 1,360 | 59 |
* Netspend Holdings Inc. | 5,716 | 54 |
GAMCO Investors Inc. | 1,186 | 54 |
Inland Real Estate Corp. | 6,365 | 52 |
Coresite Realty Corp. | 1,879 | 51 |
* Green Dot Corp. Class A | 4,412 | 51 |
* Virtus Investment Partners Inc. | 587 | 50 |
Westwood Holdings Group Inc. | 1,222 | 45 |
Oritani Financial Corp. | 2,940 | 43 |
LTC Properties Inc. | 1,229 | 42 |
* Navigators Group Inc. | 783 | 38 |
Monmouth Real Estate Investment Corp. Class A | 3,343 | 37 |
Diamond Hill Investment Group Inc. | 492 | 36 |
* Greenlight Capital Re Ltd. Class A | 1,457 | 35 |
First American Financial Corp. | 1,796 | 35 |
* Ocwen Financial Corp. | 1,199 | 31 |
* Ladenburg Thalmann Financial Services Inc. | 19,142 | 27 |
Montpelier Re Holdings Ltd. | 1,182 | 26 |
* Zillow Inc. Class A | 573 | 24 |
* Investors Bancorp Inc. | 1,372 | 24 |
* Gyrodyne Co. of America Inc. | 209 | 23 |
Employers Holdings Inc. | 1,170 | 21 |
Duff & Phelps Corp. Class A | 1,588 | 21 |
Amtrust Financial Services Inc. | 759 | 20 |
* FNB United Corp. | 1,380 | 17 |
* Regional Management Corp. | 899 | 15 |
Evercore Partners Inc. Class A | 484 | 12 |
Main Street Capital Corp. | 421 | 11 |
* Tree.com Inc. | 679 | 10 |
Apollo Residential Mortgage Inc. | 441 | 9 |
Hampton Roads Bankshares Inc. | 3,937 | 8 |
* Bridge Capital Holdings | 494 | 7 |
* Beneficial Mutual Bancorp Inc. | 775 | 7 |
Pzena Investment Management Inc. Class A | 1,219 | 6 |
State Auto Financial Corp. | 407 | 6 |
Flagstone Reinsurance Holdings SA | 648 | 6 |
Homeowners Choice Inc. | 270 | 5 |
MicroFinancial Inc. | 585 | 5 |
Meadowbrook Insurance Group Inc. | 676 | 5 |
* ICG Group Inc. | 561 | 5 |
UMH Properties Inc. | 446 | 5 |
* Eagle Bancorp Inc. | 127 | 2 |
* BofI Holding Inc. | 86 | 2 |
* American Safety Insurance Holdings Ltd. | 117 | 2 |
Arrow Financial Corp. | 72 | 2 |
61
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Heritage Financial Group Inc. | 96 | 1 |
Penns Woods Bancorp Inc. | 32 | 1 |
* First Federal Bancshares of Arkansas Inc. | 121 | 1 |
* Pacific Capital Bancorp | 25 | 1 |
* Meridian Interstate Bancorp Inc. | 71 | 1 |
Clifton Savings Bancorp Inc. | 102 | 1 |
Universal Insurance Holdings Inc. | 227 | 1 |
* Hallmark Financial Services | 96 | 1 |
Hingham Institution for Savings | 12 | 1 |
Donegal Group Inc. Class A | 46 | 1 |
* Cascade Bancorp | 49 | — |
7,455 | ||
Health Care (21.8%) | ||
* Pharmacyclics Inc. | 10,061 | 673 |
* athenahealth Inc. | 6,628 | 586 |
* HMS Holdings Corp. | 15,896 | 548 |
* Cubist Pharmaceuticals Inc. | 11,712 | 541 |
* Seattle Genetics Inc. | 17,574 | 466 |
* Cepheid Inc. | 12,131 | 458 |
* Align Technology Inc. | 13,283 | 451 |
* Questcor Pharmaceuticals Inc. | 9,939 | 432 |
* Alkermes plc | 22,635 | 415 |
* Vivus Inc. | 18,431 | 395 |
* Centene Corp. | 9,513 | 386 |
* Jazz Pharmaceuticals plc | 7,675 | 349 |
* Haemonetics Corp. | 4,683 | 345 |
* HealthSouth Corp. | 14,911 | 341 |
Medicis Pharmaceutical Corp. Class A | 10,622 | 335 |
* Arena Pharmaceuticals Inc. | 35,483 | 321 |
* PAREXEL International Corp. | 11,067 | 319 |
* Theravance Inc. | 11,210 | 299 |
* Impax Laboratories Inc. | 12,382 | 293 |
Owens & Minor Inc. | 10,036 | 281 |
* Volcano Corp. | 9,847 | 278 |
* Air Methods Corp. | 2,370 | 276 |
STERIS Corp. | 7,871 | 270 |
* Medicines Co. | 10,184 | 262 |
* Par Pharmaceutical Cos. Inc. | 5,159 | 257 |
* Cyberonics Inc. | 5,097 | 255 |
* Isis Pharmaceuticals Inc. | 18,508 | 252 |
* MWI Veterinary Supply Inc. | 2,356 | 238 |
Chemed Corp. | 3,559 | 235 |
* HeartWare International Inc. | 2,617 | 234 |
* WellCare Health Plans Inc. | 3,852 | 218 |
* Auxilium Pharmaceuticals Inc. | 8,955 | 209 |
* Masimo Corp. | 9,241 | 204 |
* PSS World Medical Inc. | 9,334 | 202 |
West Pharmaceutical Services Inc. | 4,000 | 189 |
* Insulet Corp. | 8,843 | 185 |
* Ironwood Pharmaceuticals Inc. Class A | 13,912 | 174 |
* Immunogen Inc. | 12,032 | 173 |
* Neogen Corp. | 4,360 | 170 |
* Acorda Therapeutics Inc. | 7,422 | 170 |
* DexCom Inc. | 12,689 | 169 |
PDL BioPharma Inc. | 22,372 | 165 |
Analogic Corp. | 2,269 | 158 |
* Alnylam Pharmaceuticals Inc. | 8,577 | 157 |
* Abaxis Inc. | 4,015 | 150 |
* Exelixis Inc. | 33,894 | 150 |
* Team Health Holdings Inc. | 5,253 | 150 |
* Luminex Corp. | 7,717 | 149 |
* Akorn Inc. | 10,526 | 146 |
* Medidata Solutions Inc. | 4,113 | 144 |
* ABIOMED Inc. | 6,186 | 138 |
62
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* IPC The Hospitalist Co. Inc. | 3,067 | 136 |
Meridian Bioscience Inc. | 7,637 | 135 |
* Spectrum Pharmaceuticals Inc. | 11,018 | 132 |
* Optimer Pharmaceuticals Inc. | 8,710 | 131 |
Quality Systems Inc. | 7,320 | 129 |
* Nektar Therapeutics | 15,063 | 129 |
* Dendreon Corp. | 28,505 | 128 |
* ArthroCare Corp. | 4,234 | 125 |
* Sunrise Senior Living Inc. | 8,661 | 125 |
* Accretive Health Inc. | 10,421 | 124 |
* Endologix Inc. | 10,241 | 123 |
* Bio-Reference Labs Inc. | 4,550 | 119 |
* Affymax Inc. | 6,682 | 118 |
* Orthofix International NV | 2,772 | 117 |
* Exact Sciences Corp. | 11,773 | 117 |
* ICU Medical Inc. | 2,105 | 117 |
* NxStage Medical Inc. | 9,107 | 116 |
* Emeritus Corp. | 5,685 | 114 |
* Dynavax Technologies Corp. | 28,441 | 111 |
* Conceptus Inc. | 5,804 | 110 |
* MAKO Surgical Corp. | 6,683 | 110 |
Computer Programs & Systems Inc. | 2,047 | 103 |
* HealthStream Inc. | 3,612 | 103 |
Landauer Inc. | 1,748 | 103 |
* Genomic Health Inc. | 2,968 | 102 |
Cantel Medical Corp. | 3,919 | 101 |
* Rigel Pharmaceuticals Inc. | 10,786 | 101 |
* OraSure Technologies Inc. | 10,024 | 97 |
* Synageva BioPharma Corp. | 1,931 | 96 |
* Halozyme Therapeutics Inc. | 16,588 | 96 |
* Array BioPharma Inc. | 16,480 | 91 |
* Neurocrine Biosciences Inc. | 12,254 | 90 |
* Opko Health Inc. | 19,743 | 88 |
* Quidel Corp. | 5,209 | 85 |
* Idenix Pharmaceuticals Inc. | 14,728 | 83 |
* Acadia Healthcare Co. Inc. | 4,253 | 82 |
* Infinity Pharmaceuticals Inc. | 4,467 | 81 |
* Integra LifeSciences Holdings Corp. | 2,061 | 81 |
* Accuray Inc. | 13,170 | 81 |
* NPS Pharmaceuticals Inc. | 10,586 | 81 |
* Spectranetics Corp. | 6,332 | 77 |
* AVANIR Pharmaceuticals Inc. | 23,025 | 76 |
* Threshold Pharmaceuticals Inc. | 8,294 | 73 |
* Fluidigm Corp. | 4,493 | 70 |
* MAP Pharmaceuticals Inc. | 5,200 | 70 |
* Achillion Pharmaceuticals Inc. | 9,812 | 69 |
* Metropolitan Health Networks Inc. | 8,142 | 65 |
* Antares Pharma Inc. | 16,830 | 65 |
* Navidea Biopharmaceuticals Inc. | 17,803 | 65 |
* Aegerion Pharmaceuticals Inc. | 4,604 | 64 |
* XenoPort Inc. | 6,830 | 64 |
* AVEO Pharmaceuticals Inc. | 6,622 | 64 |
Atrion Corp. | 291 | 63 |
* Santarus Inc. | 10,091 | 62 |
* Pacira Pharmaceuticals Inc. | 3,402 | 62 |
* MedAssets Inc. | 3,591 | 61 |
* Celldex Therapeutics Inc. | 10,825 | 61 |
* ZIOPHARM Oncology Inc. | 12,256 | 61 |
* Sequenom Inc. | 16,091 | 59 |
Ensign Group Inc. | 1,993 | 59 |
* Arqule Inc. | 10,874 | 57 |
US Physical Therapy Inc. | 2,167 | 56 |
* Amsurg Corp. Class A | 1,911 | 56 |
* MannKind Corp. | 20,770 | 56 |
63
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Oncothyreon Inc. | 10,520 | 56 |
* Ligand Pharmaceuticals Inc. Class B | 3,206 | 55 |
* Depomed Inc. | 10,262 | 54 |
* Capital Senior Living Corp. | 4,479 | 54 |
* Endocyte Inc. | 5,450 | 52 |
* Sangamo Biosciences Inc. | 9,679 | 52 |
* Sciclone Pharmaceuticals Inc. | 10,452 | 51 |
* Orexigen Therapeutics Inc. | 11,100 | 50 |
* InterMune Inc. | 6,728 | 50 |
* Curis Inc. | 11,222 | 49 |
* Vanguard Health Systems Inc. | 5,059 | 49 |
* Corvel Corp. | 1,125 | 49 |
* Momenta Pharmaceuticals Inc. | 3,324 | 47 |
* Vical Inc. | 12,776 | 46 |
* AMAG Pharmaceuticals Inc. | 3,118 | 46 |
* Obagi Medical Products Inc. | 3,444 | 46 |
* Synta Pharmaceuticals Corp. | 6,823 | 45 |
* Omeros Corp. | 4,745 | 45 |
* Unilife Corp. | 14,931 | 45 |
* Raptor Pharmaceutical Corp. | 8,979 | 45 |
* Cadence Pharmaceuticals Inc. | 11,176 | 44 |
* Novavax Inc. | 21,539 | 44 |
* Clovis Oncology Inc. | 2,512 | 44 |
* Staar Surgical Co. | 6,673 | 44 |
* NuVasive Inc. | 1,982 | 42 |
* Dyax Corp. | 18,362 | 42 |
* Immunomedics Inc. | 12,251 | 41 |
* BioCryst Pharmaceuticals Inc. | 9,139 | 40 |
* Vascular Solutions Inc. | 3,035 | 40 |
* Natus Medical Inc. | 3,355 | 39 |
* XOMA Corp. | 11,161 | 39 |
* Synergy Pharmaceuticals Inc. | 7,637 | 38 |
* IRIS International Inc. | 2,959 | 38 |
* OncoGenex Pharmaceutical Inc. | 2,703 | 37 |
* Lexicon Pharmaceuticals Inc. | 15,864 | 36 |
* Tornier NV | 1,964 | 35 |
* AMN Healthcare Services Inc. | 4,181 | 35 |
* Repros Therapeutics Inc. | 2,755 | 35 |
* Cambrex Corp. | 2,847 | 35 |
* NewLink Genetics Corp. | 2,355 | 33 |
* Pozen Inc. | 4,943 | 32 |
* Anika Therapeutics Inc. | 2,190 | 31 |
* Rockwell Medical Technologies Inc. | 3,683 | 29 |
* Repligen Corp. | 5,160 | 29 |
* Cardiovascular Systems Inc. | 3,116 | 29 |
* Epocrates Inc. | 3,247 | 29 |
* Cerus Corp. | 8,960 | 29 |
* Pain Therapeutics Inc. | 7,058 | 28 |
* Osiris Therapeutics Inc. | 3,059 | 28 |
* Amicus Therapeutics Inc. | 5,603 | 27 |
* Hi-Tech Pharmacal Co. Inc. | 766 | 27 |
* PhotoMedex Inc. | 2,059 | 27 |
* Keryx Biopharmaceuticals Inc. | 13,231 | 27 |
* Allos Therapeutics Inc. | 14,829 | 27 |
* Merge Healthcare Inc. | 8,447 | 27 |
* Corcept Therapeutics Inc. | 9,150 | 26 |
* Discovery Laboratories Inc. | 8,061 | 26 |
* Trius Therapeutics Inc. | 4,621 | 26 |
* Cytori Therapeutics Inc. | 8,022 | 25 |
* Furiex Pharmaceuticals Inc. | 1,369 | 25 |
* Sagent Pharmaceuticals Inc. | 1,744 | 25 |
* Zogenix Inc. | 10,132 | 24 |
* Cynosure Inc. Class A | 899 | 23 |
National Research Corp. | 468 | 23 |
64
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Vanda Pharmaceuticals Inc. | 5,246 | 23 |
* Biotime Inc. | 5,668 | 23 |
* Progenics Pharmaceuticals Inc. | 5,620 | 23 |
* Merrimack Pharmaceuticals Inc. | 2,827 | 23 |
* Dusa Pharmaceuticals Inc. | 4,166 | 22 |
Utah Medical Products Inc. | 611 | 21 |
* Coronado Biosciences Inc. | 3,294 | 20 |
* Symmetry Medical Inc. | 2,119 | 20 |
* BioDelivery Sciences International Inc. | 3,954 | 20 |
* SIGA Technologies Inc. | 6,536 | 19 |
* ImmunoCellular Therapeutics Ltd. | 7,399 | 19 |
* Rochester Medical Corp. | 1,729 | 19 |
* BioScrip Inc. | 2,229 | 19 |
* Skilled Healthcare Group Inc. | 3,308 | 19 |
* AtriCure Inc. | 2,709 | 19 |
* Greenway Medical Technologies | 1,156 | 17 |
* EnteroMedics Inc. | 4,709 | 17 |
* Biospecifics Technologies Corp. | 922 | 17 |
Young Innovations Inc. | 452 | 17 |
* Anacor Pharmaceuticals Inc. | 2,664 | 16 |
* Sunesis Pharmaceuticals Inc. | 5,015 | 16 |
* GTx Inc. | 4,143 | 15 |
* Hansen Medical Inc. | 10,193 | 15 |
* Vocera Communications Inc. | 521 | 15 |
* Emergent Biosolutions Inc. | 982 | 14 |
* Ampio Pharmaceuticals Inc. | 4,775 | 14 |
* Integramed America Inc. | 958 | 13 |
* Magellan Health Services Inc. | 264 | 13 |
* ExamWorks Group Inc. | 1,038 | 13 |
* SurModics Inc. | 644 | 12 |
* Agenus Inc. | 2,579 | 12 |
* Molina Healthcare Inc. | 457 | 11 |
* Pernix Therapeutics Holdings | 1,691 | 11 |
* ChemoCentryx Inc. | 1,009 | 11 |
* Omnicell Inc. | 737 | 11 |
* Verastem Inc. | 1,174 | 10 |
* Sucampo Pharmaceuticals Inc. Class A | 2,017 | 10 |
* Horizon Pharma Inc. | 2,141 | 10 |
* Ventrus Biosciences Inc. | 2,321 | 9 |
* BG Medicine Inc. | 2,001 | 8 |
* Cumberland Pharmaceuticals Inc. | 1,222 | 7 |
* Mediware Information Systems | 478 | 7 |
* Providence Service Corp. | 596 | 7 |
* Zeltiq Aesthetics Inc. | 1,277 | 7 |
* Merit Medical Systems Inc. | 454 | 6 |
* Cempra Inc. | 786 | 6 |
* Exactech Inc. | 368 | 6 |
* Acura Pharmaceuticals Inc. | 2,251 | 4 |
* LHC Group Inc. | 107 | 2 |
* RTI Biologics Inc. | 423 | 2 |
* Harvard Bioscience Inc. | 279 | 1 |
* Transcept Pharmaceuticals Inc. | 154 | 1 |
* PDI Inc. | 92 | 1 |
* Derma Sciences Inc. | 53 | 1 |
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 367 | — |
23,317 | ||
Industrials (16.8%) | ||
Acuity Brands Inc. | 7,829 | 502 |
* Genesee & Wyoming Inc. Class A | 7,491 | 476 |
CLARCOR Inc. | 9,289 | 447 |
Woodward Inc. | 12,784 | 447 |
* Alaska Air Group Inc. | 12,448 | 418 |
* Hexcel Corp. | 18,409 | 417 |
Watsco Inc. | 5,435 | 410 |
65
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Middleby Corp. | 3,460 | 398 |
* Old Dominion Freight Line Inc. | 8,781 | 393 |
* Chart Industries Inc. | 5,526 | 386 |
HEICO Corp. | 9,736 | 339 |
* Avis Budget Group Inc. | 19,616 | 322 |
* US Airways Group Inc. | 29,999 | 320 |
* Portfolio Recovery Associates Inc. | 3,160 | 317 |
Applied Industrial Technologies Inc. | 7,181 | 292 |
Corporate Executive Board Co. | 6,192 | 288 |
* USG Corp. | 13,689 | 281 |
* Advisory Board Co. | 6,339 | 281 |
Healthcare Services Group Inc. | 12,406 | 263 |
Belden Inc. | 7,483 | 255 |
* Tetra Tech Inc. | 9,549 | 248 |
* Beacon Roofing Supply Inc. | 8,656 | 244 |
* Acacia Research Corp. | 9,180 | 242 |
* Dollar Thrifty Automotive Group Inc. | 2,730 | 238 |
Franklin Electric Co. Inc. | 4,112 | 223 |
HNI Corp. | 7,973 | 221 |
Herman Miller Inc. | 10,797 | 211 |
* Hub Group Inc. Class A | 6,867 | 207 |
Raven Industries Inc. | 6,709 | 204 |
Brink's Co. | 8,748 | 195 |
* RBC Bearings Inc. | 4,106 | 189 |
* MasTec Inc. | 10,128 | 185 |
* Allegiant Travel Co. Class A | 2,767 | 183 |
Forward Air Corp. | 5,383 | 181 |
Deluxe Corp. | 6,333 | 180 |
Mine Safety Appliances Co. | 5,109 | 178 |
Robbins & Myers Inc. | 2,922 | 175 |
Titan International Inc. | 7,819 | 163 |
Kaman Corp. | 4,884 | 160 |
Werner Enterprises Inc. | 7,048 | 157 |
* II-VI Inc. | 8,292 | 154 |
Lindsay Corp. | 2,352 | 154 |
Knight Transportation Inc. | 10,705 | 153 |
* Teledyne Technologies Inc. | 2,367 | 153 |
* Spirit Airlines Inc. | 7,700 | 151 |
Interface Inc. Class A | 10,842 | 149 |
AZZ Inc. | 4,674 | 148 |
Tennant Co. | 3,488 | 146 |
* Huron Consulting Group Inc. | 4,243 | 137 |
* On Assignment Inc. | 7,949 | 131 |
* Exponent Inc. | 2,482 | 129 |
* EnerSys Inc. | 3,230 | 120 |
* Swift Transportation Co. | 14,617 | 119 |
* Trimas Corp. | 5,489 | 118 |
* Blount International Inc. | 9,057 | 117 |
* Team Inc. | 3,683 | 115 |
AO Smith Corp. | 1,981 | 108 |
Insperity Inc. | 4,196 | 103 |
* DigitalGlobe Inc. | 4,634 | 96 |
TAL International Group Inc. | 2,710 | 92 |
* Encore Capital Group Inc. | 3,211 | 90 |
Knoll Inc. | 6,166 | 90 |
Heartland Express Inc. | 6,856 | 89 |
Sun Hydraulics Corp. | 3,819 | 88 |
John Bean Technologies Corp. | 5,344 | 85 |
* Trex Co. Inc. | 2,759 | 85 |
* TrueBlue Inc. | 5,449 | 85 |
* Wabash National Corp. | 12,622 | 84 |
* RailAmerica Inc. | 3,028 | 83 |
Sauer-Danfoss Inc. | 2,156 | 82 |
Textainer Group Holdings Ltd. | 2,269 | 80 |
66
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* GenCorp Inc. | 8,754 | 80 |
Cubic Corp. | 1,574 | 79 |
* Dycom Industries Inc. | 5,427 | 79 |
Gorman-Rupp Co. | 2,807 | 77 |
* DXP Enterprises Inc. | 1,625 | 75 |
* EnPro Industries Inc. | 1,995 | 75 |
* Nortek Inc. | 1,430 | 74 |
Actuant Corp. Class A | 2,596 | 73 |
Mueller Water Products Inc. Class A | 18,886 | 72 |
* Titan Machinery Inc. | 3,119 | 72 |
* InnerWorkings Inc. | 5,862 | 71 |
* Standard Parking Corp. | 2,888 | 67 |
* ACCO Brands Corp. | 9,566 | 63 |
AAON Inc. | 3,426 | 63 |
* Mistras Group Inc. | 2,879 | 63 |
* Thermon Group Holdings Inc. | 2,712 | 62 |
Celadon Group Inc. | 3,694 | 61 |
McGrath RentCorp | 2,350 | 59 |
* Kforce Inc. | 4,841 | 57 |
ESCO Technologies Inc. | 1,575 | 56 |
* Capstone Turbine Corp. | 54,983 | 55 |
* Taser International Inc. | 10,229 | 55 |
* Astronics Corp. | 1,876 | 52 |
* H&E Equipment Services Inc. | 2,942 | 52 |
Altra Holdings Inc. | 2,711 | 50 |
* GP Strategies Corp. | 2,473 | 50 |
* Odyssey Marine Exploration Inc. | 13,473 | 49 |
* Echo Global Logistics Inc. | 2,716 | 48 |
* XPO Logistics Inc. | 3,242 | 48 |
* Aerovironment Inc. | 1,911 | 46 |
Generac Holdings Inc. | 2,077 | 45 |
* MYR Group Inc. | 2,104 | 43 |
* RPX Corp. | 3,614 | 42 |
US Ecology Inc. | 2,136 | 40 |
* Commercial Vehicle Group Inc. | 4,537 | 38 |
* Builders FirstSource Inc. | 8,356 | 37 |
Mueller Industries Inc. | 822 | 35 |
Graham Corp. | 1,848 | 35 |
* Moog Inc. Class A | 951 | 35 |
* Ameresco Inc. Class A | 2,851 | 34 |
Barrett Business Services Inc. | 1,300 | 33 |
* Zipcar Inc. | 4,136 | 33 |
* Park-Ohio Holdings Corp. | 1,519 | 33 |
* Hawaiian Holdings Inc. | 5,173 | 31 |
* Proto Labs Inc. | 934 | 29 |
Acorn Energy Inc. | 3,325 | 27 |
* Powell Industries Inc. | 713 | 27 |
* Heritage-Crystal Clean Inc. | 1,429 | 26 |
Standex International Corp. | 538 | 24 |
* Republic Airways Holdings Inc. | 4,942 | 22 |
* Roadrunner Transportation Systems Inc. | 1,252 | 22 |
Comfort Systems USA Inc. | 2,043 | 21 |
* Aegion Corp. Class A | 1,029 | 20 |
Simpson Manufacturing Co. Inc. | 759 | 19 |
Steelcase Inc. Class A | 1,952 | 19 |
* Meritor Inc. | 4,232 | 19 |
* CAI International Inc. | 949 | 19 |
* Franklin Covey Co. | 1,807 | 19 |
Primoris Services Corp. | 1,501 | 18 |
* Rexnord Corp. | 1,167 | 18 |
* EnerNOC Inc. | 1,755 | 17 |
American Science & Engineering Inc. | 291 | 17 |
* TRC Cos. Inc. | 2,405 | 17 |
* AT Cross Co. Class A | 1,668 | 17 |
67
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* KEYW Holding Corp. | 1,468 | 17 |
* Interline Brands Inc. | 610 | 16 |
Coleman Cable Inc. | 1,615 | 15 |
* CPI Aerostructures Inc. | 1,234 | 15 |
Dynamic Materials Corp. | 915 | 15 |
* Quality Distribution Inc. | 1,485 | 14 |
Houston Wire & Cable Co. | 1,187 | 13 |
* WageWorks Inc. | 745 | 13 |
Intersections Inc. | 1,125 | 12 |
* TMS International Corp. Class A | 1,197 | 12 |
* Saia Inc. | 551 | 12 |
* Wesco Aircraft Holdings Inc. | 819 | 11 |
Ceco Environmental Corp. | 1,121 | 11 |
United Stationers Inc. | 431 | 10 |
Aceto Corp. | 1,162 | 10 |
* EnergySolutions Inc. | 3,979 | 10 |
* Patrick Industries Inc. | 737 | 10 |
Sypris Solutions Inc. | 1,311 | 9 |
Great Lakes Dredge & Dock Corp. | 1,220 | 9 |
CIRCOR International Inc. | 240 | 8 |
* FuelCell Energy Inc. | 7,256 | 7 |
CDI Corp. | 423 | 7 |
* Federal Signal Corp. | 1,133 | 7 |
National Presto Industries Inc. | 93 | 7 |
Argan Inc. | 399 | 7 |
* Flow International Corp. | 1,886 | 6 |
* Enphase Energy Inc. | 1,163 | 6 |
* PGT Inc. | 1,797 | 6 |
* American Woodmark Corp. | 294 | 6 |
* Omega Flex Inc. | 513 | 5 |
SkyWest Inc. | 616 | 5 |
SeaCube Container Leasing Ltd. | 276 | 5 |
* Edgen Group Inc. | 694 | 5 |
Cascade Corp. | 98 | 5 |
* American Reprographics Co. | 1,175 | 5 |
* Vicor Corp. | 658 | 4 |
* LMI Aerospace Inc. | 139 | 3 |
SIFCO Industries Inc. | 129 | 2 |
Multi-Color Corp. | 110 | 2 |
* Sterling Construction Co. Inc. | 223 | 2 |
* Pacer International Inc. | 499 | 2 |
* American Superconductor Corp. | 526 | 2 |
Preformed Line Products Co. | 33 | 2 |
* Astronics Corp. Class B | 58 | 2 |
Met-Pro Corp. | 136 | 1 |
Insteel Industries Inc. | 118 | 1 |
* BlueLinx Holdings Inc. | 460 | 1 |
* Casella Waste Systems Inc. Class A | 165 | 1 |
* Rand Logistics Inc. | 93 | 1 |
* Hill International Inc. | 146 | 1 |
Compx International Inc. | 12 | — |
17,942 | ||
Information Technology (22.3%) | ||
* Cirrus Logic Inc. | 11,922 | 497 |
* Ultimate Software Group Inc. | 4,923 | 488 |
* Wright Express Corp. | 7,185 | 473 |
* Parametric Technology Corp. | 22,110 | 470 |
* CoStar Group Inc. | 5,216 | 424 |
* CommVault Systems Inc. | 8,257 | 416 |
* Aruba Networks Inc. | 20,671 | 406 |
* Aspen Technology Inc. | 16,330 | 398 |
* 3D Systems Corp. | 8,651 | 378 |
FEI Co. | 6,584 | 354 |
MAXIMUS Inc. | 6,273 | 341 |
68
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* QLIK Technologies Inc. | 15,776 | 334 |
* Microsemi Corp. | 16,420 | 327 |
* ACI Worldwide Inc. | 7,347 | 319 |
* Hittite Microwave Corp. | 5,823 | 305 |
* Semtech Corp. | 12,107 | 297 |
* Cavium Inc. | 9,187 | 297 |
* Universal Display Corp. | 7,339 | 296 |
* Quest Software Inc. | 10,347 | 289 |
Cognex Corp. | 7,915 | 286 |
* Sourcefire Inc. | 5,460 | 283 |
InterDigital Inc. | 8,194 | 277 |
* OSI Systems Inc. | 3,668 | 272 |
Fair Isaac Corp. | 6,334 | 271 |
* ViaSat Inc. | 6,931 | 268 |
* Stratasys Inc. | 3,933 | 254 |
* Comverse Technology Inc. | 40,464 | 243 |
ADTRAN Inc. | 11,769 | 239 |
* Kenexa Corp. | 5,059 | 232 |
* Cardtronics Inc. | 8,166 | 231 |
* Sapient Corp. | 22,751 | 230 |
* Liquidity Services Inc. | 4,361 | 228 |
* VistaPrint NV | 6,318 | 228 |
* Tyler Technologies Inc. | 5,572 | 224 |
Heartland Payment Systems Inc. | 7,176 | 218 |
j2 Global Inc. | 7,090 | 209 |
Blackbaud Inc. | 8,354 | 204 |
* VirnetX Holding Corp. | 7,767 | 202 |
* MicroStrategy Inc. Class A | 1,577 | 198 |
* DealerTrack Holdings Inc. | 7,015 | 194 |
Anixter International Inc. | 3,184 | 191 |
* Manhattan Associates Inc. | 3,760 | 190 |
* Synaptics Inc. | 6,234 | 190 |
* Ciena Corp. | 13,857 | 189 |
Littelfuse Inc. | 3,630 | 186 |
* BroadSoft Inc. | 5,087 | 184 |
Power Integrations Inc. | 5,253 | 182 |
* OpenTable Inc. | 4,177 | 177 |
NIC Inc. | 11,931 | 172 |
* RealPage Inc. | 6,633 | 169 |
* LivePerson Inc. | 10,186 | 168 |
* Cornerstone OnDemand Inc. | 6,228 | 167 |
Syntel Inc. | 2,856 | 166 |
* Ancestry.com Inc. | 5,356 | 166 |
* Netscout Systems Inc. | 6,797 | 161 |
* Ultratech Inc. | 4,851 | 160 |
* Mentor Graphics Corp. | 9,310 | 154 |
MTS Systems Corp. | 2,976 | 151 |
* Take-Two Interactive Software Inc. | 14,474 | 148 |
Cabot Microelectronics Corp. | 4,360 | 145 |
Loral Space & Communications Inc. | 1,919 | 141 |
* Advent Software Inc. | 5,842 | 139 |
* ValueClick Inc. | 8,345 | 136 |
* Bankrate Inc. | 7,507 | 129 |
* FARO Technologies Inc. | 3,131 | 124 |
* Monolithic Power Systems Inc. | 5,648 | 122 |
* Ellie Mae Inc. | 4,655 | 120 |
* Synchronoss Technologies Inc. | 5,114 | 118 |
* Ixia | 7,804 | 116 |
* Verint Systems Inc. | 4,033 | 115 |
* NETGEAR Inc. | 3,148 | 115 |
* Volterra Semiconductor Corp. | 4,694 | 112 |
* ExlService Holdings Inc. | 4,321 | 111 |
* Constant Contact Inc. | 5,624 | 110 |
* Web.com Group Inc. | 6,483 | 108 |
69
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* GT Advanced Technologies Inc. | 18,568 | 108 |
* Websense Inc. | 6,882 | 106 |
* TiVo Inc. | 11,533 | 105 |
* Infinera Corp. | 18,245 | 104 |
* Guidewire Software Inc. | 3,582 | 102 |
* Monotype Imaging Holdings Inc. | 6,762 | 102 |
* Cymer Inc. | 1,762 | 100 |
* iGATE Corp. | 5,944 | 96 |
Ebix Inc. | 3,919 | 94 |
Plantronics Inc. | 2,632 | 94 |
* Global Cash Access Holdings Inc. | 12,155 | 93 |
* comScore Inc. | 6,531 | 92 |
Badger Meter Inc. | 2,683 | 91 |
* LogMeIn Inc. | 4,077 | 90 |
* Tangoe Inc. | 5,517 | 89 |
Micrel Inc. | 8,973 | 89 |
* Unisys Corp. | 4,130 | 87 |
OPNET | 2,760 | 86 |
Pegasystems Inc. | 3,176 | 86 |
* ServiceSource International Inc. | 9,170 | 85 |
* InvenSense Inc. | 6,726 | 85 |
* Plexus Corp. | 2,824 | 84 |
* Active Network Inc. | 7,173 | 81 |
* Interactive Intelligence Group Inc. | 2,711 | 80 |
* Measurement Specialties Inc. | 2,465 | 80 |
* Cray Inc. | 6,841 | 78 |
* CSG Systems International Inc. | 3,614 | 77 |
Forrester Research Inc. | 2,601 | 76 |
* DTS Inc. | 3,376 | 76 |
* Procera Networks Inc. | 3,556 | 75 |
* Vocus Inc. | 3,808 | 74 |
* Higher One Holdings Inc. | 5,934 | 73 |
* PROS Holdings Inc. | 4,030 | 70 |
* RealD Inc. | 6,979 | 69 |
Cass Information Systems Inc. | 1,715 | 69 |
* SPS Commerce Inc. | 1,953 | 68 |
* Dice Holdings Inc. | 8,418 | 67 |
* TNS Inc. | 4,511 | 66 |
* Responsys Inc. | 6,588 | 63 |
* Veeco Instruments Inc. | 1,841 | 63 |
* Angie's List Inc. | 6,557 | 63 |
* Extreme Networks | 17,357 | 62 |
* Silicon Image Inc. | 12,833 | 61 |
* AuthenTec Inc. | 7,491 | 60 |
* Coherent Inc. | 1,270 | 60 |
* Actuate Corp. | 8,501 | 59 |
* Super Micro Computer Inc. | 4,804 | 59 |
* Virtusa Corp. | 3,431 | 58 |
* Stamps.com Inc. | 2,609 | 58 |
* Move Inc. | 7,232 | 56 |
* SciQuest Inc. | 3,289 | 55 |
* JDA Software Group Inc. | 1,786 | 55 |
* Imperva Inc. | 1,791 | 54 |
* PDF Solutions Inc. | 4,442 | 54 |
* QLogic Corp. | 4,397 | 54 |
* Deltek Inc. | 4,045 | 52 |
* Ceva Inc. | 3,229 | 52 |
* Saba Software Inc. | 5,536 | 52 |
* Rogers Corp. | 1,266 | 50 |
* NVE Corp. | 888 | 50 |
* Perficient Inc. | 4,530 | 49 |
* Glu Mobile Inc. | 9,307 | 47 |
* MIPS Technologies Inc. Class A | 6,852 | 45 |
* Jive Software Inc. | 2,975 | 45 |
70
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Envestnet Inc. | 3,857 | 45 |
* PLX Technology Inc. | 7,638 | 44 |
* Demand Media Inc. | 4,148 | 42 |
* Bottomline Technologies Inc. | 1,871 | 42 |
* Maxwell Technologies Inc. | 5,414 | 41 |
* CalAmp Corp. | 5,335 | 41 |
* Globecomm Systems Inc. | 3,311 | 39 |
* XO Group Inc. | 4,868 | 39 |
* ExactTarget Inc. | 1,813 | 38 |
* SS&C Technologies Holdings Inc. | 1,725 | 38 |
* Arris Group Inc. | 2,753 | 38 |
* Lionbridge Technologies Inc. | 10,461 | 37 |
* Internap Network Services Corp. | 4,989 | 36 |
American Software Inc. Class A | 4,356 | 36 |
* Computer Task Group Inc. | 2,175 | 35 |
* Yelp Inc. | 1,568 | 34 |
* Parkervision Inc. | 14,103 | 32 |
* KVH Industries Inc. | 2,341 | 32 |
* PRGX Global Inc. | 3,891 | 32 |
* ShoreTel Inc. | 7,868 | 31 |
* Travelzoo Inc. | 1,327 | 30 |
* Demandware Inc. | 1,150 | 30 |
* Infoblox Inc. | 1,366 | 30 |
* Zix Corp. | 11,331 | 29 |
* Callidus Software Inc. | 6,441 | 29 |
Digimarc Corp. | 1,319 | 29 |
* Immersion Corp. | 4,875 | 28 |
* Guidance Software Inc. | 2,656 | 28 |
* Bazaarvoice Inc. | 1,825 | 27 |
* Unwired Planet Inc. | 15,143 | 26 |
* MEMC Electronic Materials Inc. | 9,481 | 25 |
* RF Micro Devices Inc. | 6,359 | 24 |
* Datalink Corp. | 2,835 | 24 |
* Ubiquiti Networks Inc. | 1,947 | 23 |
* Millennial Media Inc. | 2,007 | 23 |
Mesa Laboratories Inc. | 482 | 23 |
* VASCO Data Security International Inc. | 2,358 | 22 |
* CACI International Inc. Class A | 401 | 21 |
* Inphi Corp. | 1,756 | 21 |
* support.com Inc. | 6,346 | 20 |
* Numerex Corp. Class A | 1,860 | 19 |
* QuickLogic Corp. | 7,158 | 19 |
* Intermolecular Inc. | 2,574 | 19 |
* MoneyGram International Inc. | 1,133 | 18 |
Telular Corp. | 1,859 | 18 |
* Blucora Inc. | 1,146 | 18 |
* ServiceNow Inc. | 563 | 17 |
* Market Leader Inc. | 3,466 | 17 |
* Hackett Group Inc. | 4,568 | 17 |
* Innodata Inc. | 4,125 | 17 |
* Neonode Inc. | 4,179 | 17 |
* Ipass Inc. | 8,946 | 16 |
* Carbonite Inc. | 2,097 | 16 |
* EPAM Systems Inc. | 904 | 16 |
Daktronics Inc. | 1,631 | 16 |
* SunPower Corp. Class A | 3,407 | 15 |
* AVG Technologies NV | 1,406 | 15 |
* Proofpoint Inc. | 1,114 | 14 |
* Brightcove Inc. | 1,042 | 13 |
* Calix Inc. | 2,510 | 13 |
QAD Inc. Class A | 1,042 | 13 |
* Echelon Corp. | 3,769 | 13 |
* Spark Networks Inc. | 2,133 | 12 |
* Rosetta Stone Inc. | 979 | 11 |
71
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Aware Inc. | 1,854 | 11 |
* Zygo Corp. | 567 | 11 |
* FalconStor Software Inc. | 5,884 | 11 |
* Electronics for Imaging Inc. | 682 | 11 |
* Mattersight Corp. | 1,775 | 10 |
* Palo Alto Networks Inc. | 152 | 10 |
Tessco Technologies Inc. | 511 | 10 |
* Synacor Inc. | 1,187 | 9 |
* Intermec Inc. | 1,416 | 8 |
* Multi-Fineline Electronix Inc. | 337 | 8 |
* ATMI Inc. | 374 | 7 |
* Exar Corp. | 906 | 7 |
* Sonus Networks Inc. | 3,479 | 7 |
* Anaren Inc. | 335 | 7 |
* Rambus Inc. | 1,478 | 6 |
Electro Rent Corp. | 342 | 6 |
EPIQ Systems Inc. | 463 | 5 |
* Quantum Corp. | 1,842 | 3 |
* MaxLinear Inc. | 508 | 3 |
* Key Tronic Corp. | 256 | 3 |
* Audience Inc. | 132 | 2 |
* Silicon Graphics International Corp. | 233 | 2 |
* Ambient Corp. | 367 | 2 |
* GSI Group Inc. | 211 | 2 |
* M/A-COM Technology Solutions Holdings Inc. | 107 | 1 |
* Pervasive Software Inc. | 102 | 1 |
* MeetMe Inc. | 331 | 1 |
* Envivio Inc. | 304 | 1 |
23,823 | ||
Materials (4.4%) | ||
Eagle Materials Inc. | 8,369 | 357 |
HB Fuller Co. | 9,218 | 280 |
Olin Corp. | 10,170 | 218 |
* Chemtura Corp. | 12,693 | 210 |
PolyOne Corp. | 13,035 | 206 |
Balchem Corp. | 5,416 | 198 |
Innophos Holdings Inc. | 4,034 | 191 |
Georgia Gulf Corp. | 4,005 | 159 |
* Coeur d'Alene Mines Corp. | 6,838 | 157 |
American Vanguard Corp. | 5,152 | 152 |
* SunCoke Energy Inc. | 9,149 | 145 |
Stepan Co. | 1,469 | 140 |
Schweitzer-Mauduit International Inc. | 4,269 | 138 |
AMCOL International Corp. | 4,398 | 132 |
* Clearwater Paper Corp. | 3,449 | 130 |
Buckeye Technologies Inc. | 4,260 | 129 |
Koppers Holdings Inc. | 3,841 | 124 |
Deltic Timber Corp. | 2,016 | 124 |
* Calgon Carbon Corp. | 8,871 | 121 |
* Flotek Industries Inc. | 9,151 | 108 |
Gold Resource Corp. | 5,520 | 105 |
Myers Industries Inc. | 6,194 | 92 |
Haynes International Inc. | 1,876 | 91 |
* LSB Industries Inc. | 1,996 | 75 |
* Headwaters Inc. | 11,281 | 75 |
* TPC Group Inc. | 1,725 | 71 |
Wausau Paper Corp. | 7,719 | 69 |
* Omnova Solutions Inc. | 8,520 | 66 |
Hawkins Inc. | 1,689 | 65 |
* Paramount Gold and Silver Corp. | 24,067 | 60 |
Neenah Paper Inc. | 1,755 | 49 |
* ADA-ES Inc. | 1,674 | 39 |
* AEP Industries Inc. | 766 | 39 |
Noranda Aluminum Holding Corp. | 6,192 | 37 |
72
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Arabian American Development Co. | 3,711 | 36 |
* Midway Gold Corp. | 23,756 | 32 |
Quaker Chemical Corp. | 674 | 32 |
KMG Chemicals Inc. | 1,451 | 27 |
* US Silica Holdings Inc. | 2,185 | 26 |
* US Antimony Corp. | 9,990 | 26 |
Zep Inc. | 1,707 | 25 |
PH Glatfelter Co. | 1,335 | 22 |
AK Steel Holding Corp. | 3,370 | 18 |
* Innospec Inc. | 532 | 17 |
* United States Lime & Minerals Inc. | 304 | 13 |
* Handy & Harman Ltd. | 885 | 12 |
* GSE Holding Inc. | 1,495 | 12 |
Globe Specialty Metals Inc. | 800 | 12 |
* Landec Corp. | 1,178 | 11 |
* Metals USA Holdings Corp. | 532 | 7 |
Materion Corp. | 338 | 7 |
* General Moly Inc. | 1,907 | 5 |
* Gold Reserve Inc. Class A | 1,216 | 5 |
4,697 | ||
Telecommunication Services (0.8%) | ||
Cogent Communications Group Inc. | 8,667 | 170 |
Consolidated Communications Holdings Inc. | 4,797 | 78 |
* 8x8 Inc. | 13,057 | 77 |
Atlantic Tele-Network Inc. | 1,659 | 63 |
* Cincinnati Bell Inc. | 13,082 | 61 |
* General Communication Inc. Class A | 6,797 | 60 |
* magicJack VocalTec Ltd. | 1,923 | 47 |
NTELOS Holdings Corp. | 2,728 | 47 |
* Towerstream Corp. | 8,824 | 38 |
Primus Telecommunications Group Inc. | 2,260 | 32 |
* inContact Inc. | 5,408 | 31 |
IDT Corp. Class B | 2,634 | 26 |
HickoryTech Corp. | 2,506 | 26 |
Lumos Networks Corp. | 2,824 | 25 |
* Fairpoint Communications Inc. | 3,304 | 22 |
* Boingo Wireless Inc. | 2,936 | 21 |
* Premiere Global Services Inc. | 2,149 | 20 |
* Leap Wireless International Inc. | 2,563 | 14 |
* ORBCOMM Inc. | 3,295 | 12 |
* Iridium Communications Inc. | 1,294 | 10 |
* Cbeyond Inc. | 255 | 2 |
882 | ||
Utilities (0.3%) | ||
California Water Service Group | 3,868 | 71 |
South Jersey Industries Inc. | 1,222 | 62 |
Piedmont Natural Gas Co. Inc. | 1,119 | 35 |
Connecticut Water Service Inc. | 1,041 | 32 |
York Water Co. | 1,794 | 32 |
Atlantic Power Corp. | 1,817 | 26 |
SJW Corp. | 811 | 19 |
* Cadiz Inc. | 2,250 | 18 |
Ormat Technologies Inc. | 928 | 17 |
American States Water Co. | 368 | 16 |
Otter Tail Corp. | 410 | 9 |
* American DG Energy Inc. | 4,087 | 8 |
345 | ||
Total Common Stocks (Cost $102,297) | 106,958 |
73
Vanguard® Russell 2000 Growth Index Fund
Schedule of Investments
August 31, 2012
Market | |||
Value | |||
Coupon | Shares | ($000) | |
Temporary Cash Investment (0.0%) | |||
Money Market Fund (0.0%) | |||
1 Vanguard Market Liquidity Fund (Cost $1) | 0.158% | 1,259 | 1 |
Total Investments (100.0%) (Cost $102,298) | 106,959 | ||
Other Assets and Liabilities—Net (0.0%) | 16 | ||
Net Assets (100%) | 106,975 |
* Non-income-producing security.
1 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.
74
© 2012 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 18510 102012
Annual Report | August 31, 2012 |
Vanguard Russell 3000 Index Fund |
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell3000indexx1x2.jpg)
> Vanguard Russell 3000 Index Fund returned almost 17% for the fiscal year
ended August 31, 2012, closely tracking its benchmark index.
> Stocks began the year strongly and, after a slump in the spring, rallied again in
the period’s final months.
> Information technology stocks contributed the most to the fund’s return, with all
ten industry sectors delivering positive results.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 7 |
Performance Summary. | 8 |
Financial Statements. | 10 |
Your Fund’s After-Tax Returns. | 22 |
About Your Fund’s Expenses. | 23 |
Trustees Approve Advisory Arrangement. | 25 |
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: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate.
It was featured in a movie based on Patrick O’Brian’s sea novels, set amid the Napoleonic wars. Vanguard was named for
another ship of that era, the HMS Vanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2012 | |
Total | |
Returns | |
Russell 3000 Index Fund | |
Institutional Shares | 16.89% |
ETF Shares | |
Market Price | 16.29 |
Net Asset Value | 16.80 |
Russell 3000 Index | 17.03 |
Multi-Cap Core Funds Average | 11.63 |
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 August 31, 2012
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Russell 3000 Index Fund | ||||
Institutional Shares | $108.32 | $124.40 | $1.979 | $0.000 |
ETF Shares | 55.97 | 64.28 | 0.982 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
Although the financial markets faced several challenges over the fiscal year ended August 31, 2012, stocks recorded strong returns as the U.S. economy showed signs of improvement and corporations in various industries earned healthy profits. Vanguard Russell 3000 Index Fund returned almost 17%, closely tracking its benchmark index and exceeding the average result of its peers.
The fund seeks to track the return of the Russell 3000 Index, which includes nearly 3,000 companies that together represent about 98% of the U.S. equity market. All ten industry sectors finished in positive territory, with information technology, consumer discretionary, financials, and health care lifting returns the most. Only energy and materials stocks failed to post double-digit results.
If you hold shares in a taxable account, you may wish to review the table and discussion of after-tax returns for the fiscal year, based on the highest tax bracket, later in this report.
U.S. stocks shook off concerns to produce very strong returns
U.S. stocks generated robust gains for the period, returning nearly 17%. They seemed to get a lift as the U.S. economy continued to grow, albeit at a modest rate, and avoided the “double-dip” recession that some investors had feared.
2
Though European stocks posted strong returns in local-currency terms, this performance was much more modest when converted into U.S. dollars—a result of the dollar’s strengthening against the euro during the 12 months. Signs of slowing economic growth restrained returns for emerging markets and the developed markets of the Pacific region.
Questions about the finances of European governments and banks continued to preoccupy investors. Although the situation in Europe is very fluid, Vanguard economists believe the most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Bonds continued their march as yields dropped to record lows
Bonds produced solid returns; the broad U.S. taxable market advanced nearly 6% for the 12 months. Long-term U.S. Treasuries were particularly strong as they benefited from the Federal Reserve’s bond-buying program. As bond prices rose, the yield of the 10-year U.S. Treasury note fell to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) Bondholders have enjoyed years of strong returns. But as Tim Buckley, our incoming chief investment officer, has noted, investors shouldn’t be surprised if future results are more modest. As yields tumble, the scope for further declines—and price increases—diminishes.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 17.33% | 13.82% | 1.47% |
Russell 2000 Index (Small-caps) | 13.40 | 13.89 | 1.90 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 13.87 | 1.73 |
MSCI All Country World Index ex USA (International) | -1.92 | 3.64 | -3.59 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.78% | 6.51% | 6.66% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 8.78 | 7.02 | 6.24 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.71 |
CPI | |||
Consumer Price Index | 1.69% | 2.20% | 2.07% |
3
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%, keeping a tight lid on the returns from money market funds and savings accounts.
Technology stocks powered the fund, though every sector climbed
Technology, the largest of the Russell 3000 Index Fund’s sectors, was also one of its most productive. About one-fourth of the fund’s return came from technology stocks, which rose as investors seemed to grow more confident that consumer and business demand would remain solid.
Smartphones and tablets, selling at a record pace, have spawned a sub-industry of products and services. IT services, software, internet services, semiconductors, and communication equipment firms also lifted the sector.
Consumer discretionary stocks were another source of strength amid signs of increased consumer confidence, with almost every segment of the sector boosting performance. The biggest drivers included cable and entertainment companies, retailers, hotels and restaurants, and luxury-goods firms. Home builders, which suffered mightily during the real estate meltdown, appear to be coming back as the market for new homes gains traction.
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 fiscal year ended August 31, 2012, the fund’s 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
Financial and health care stocks also contributed notably to the fund’s return. Commercial banks, real estate investment trusts (REITs), insurance companies, and consumer finance firms shone as the slow economic recovery progressed. Within health care, pharmaceutical and biotechnology companies forged ahead on news of improved product pipelines and of mergers and acquisitions.
Industrial, consumer staples, telecommunication services, and utility stocks also delivered double-digit returns. But commodity prices were a drag on performance for the weakest sectors, energy and materials. Energy stocks have also been hurt by historically low natural gas prices and a decline in crude oil prices.
Portfolio management expertise has led to index-tracking precision
The Russell 3000 Index Fund got its start on September 20, 2010, when its ETF Shares were first issued; the Institutional Shares followed that November. From its inception through August 31, 2012, the fund generated a respectable average annualized return of 13.26% for its ETF Shares.
Although a year or two is nowhere near enough time to adequately evaluate an investment, we can note that the fund has met its primary objective of closely tracking its benchmark index. This success is a credit to Vanguard Equity Investment Group, which combines experienced portfolio management and sophisticated risk-control and trading systems. 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
fund’s low expense ratio also helps keep returns close to those of the cost-free benchmark.
The rise of index funds, and the merits of active management
Today, index funds enjoy a degree of acceptance that was unimaginable some 35 years ago, when we introduced the first index mutual fund for individual investors. In the past five years, according to research company Strategic Insight, stock fund investors have directed just about all their net new investments into index funds, both conventional shares and ETFs.
The benefits of index funds, such as Vanguard Russell 3000 Index Fund, are crystal-clear: low costs, diversification across a market or market segment, and limited deviation from the returns of market benchmarks. What about actively managed funds? Although Vanguard is prominent as an indexing leader, we also offer actively managed funds that give investors the chance to outperform market indexes.
Make no mistake: Outperformance is hard to come by. Nevertheless, we believe we can enhance investors’ chances of success by searching the globe for best-in-class investment managers, and offering their services to our clients at a low cost.
Whether your portfolio includes index funds, active funds, or a combination, we believe that adhering to a few basic tenets can help put you in position to meet your long-term financial goals. So consider maintaining a balanced portfolio diversified with stocks, bonds, and cash; save more than you think you’ll need; keep an eye on costs; and last, but never least, have a plan and stick with it.
Thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell3000indexx8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
September 20, 2012
6
Russell 3000 Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VRTTX | VTHR |
Expense Ratio1 | 0.09% | 0.16% |
30-Day SEC Yield | 2.02% | 1.95% |
Portfolio Characteristics | |||
DJ | |||
Russell | U.S. Total | ||
3000 | Market | ||
Fund | Index | Index | |
Number of Stocks | 2,977 | 2,969 | 3,678 |
Median Market Cap $34.6B | $34.6B | $34.9B | |
Price/Earnings Ratio | 16.4x | 16.4x | 16.3x |
Price/Book Ratio | 2.2x | 2.2x | 2.1x |
Return on Equity | 18.1% | 17.9% | 18.1% |
Earnings Growth Rate | 10.6% | 10.6% | 10.5% |
Dividend Yield | 2.0% | 2.0% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 20% | — | — |
Short-Term Reserves | -0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
Russell | U.S. Total | ||
3000 | Market | ||
Fund | Index | Index | |
Consumer Discretionary 12.1% | 12.2% | 12.1% | |
Consumer Staples | 9.6 | 9.6 | 9.8 |
Energy | 10.1 | 10.1 | 10.2 |
Financials | 15.9 | 15.9 | 15.9 |
Health Care | 11.7 | 11.7 | 11.7 |
Industrials | 10.8 | 10.8 | 10.6 |
Information Technology 19.5 | 19.4 | 19.5 | |
Materials | 3.9 | 3.9 | 3.8 |
Telecommunication | |||
Services | 2.8 | 2.8 | 2.8 |
Utilities | 3.6 | 3.6 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer | |
Hardware | 4.0% | |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 2.6 | |
Microsoft Corp. | Systems Software | 1.5 |
Chevron Corp. | Integrated Oil & | |
Gas | 1.4 | |
General Electric Co. | Industrial | |
Conglomerates | 1.4 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.4 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.4 |
Johnson & Johnson | Pharmaceuticals | 1.2 |
Procter & Gamble Co. | Household | |
Products | 1.2 | |
Pfizer Inc. | Pharmaceuticals | 1.2 |
Top Ten | 17.3% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell3000indexx9x1.jpg)
1 The expense ratios shown are from the prospectus dated December 29, 2011, and represent estimated costs for the current fiscal year. For
the fiscal year ended August 31, 2012, the 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.
Cumulative Performance: September 20, 2010, Through August 31, 2012
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell3000indexx10x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 3000 Index Fund ETF Shares | ||||
Net Asset Value | 16.80% | 13.26% | $12,743 | |
Russell 3000 Index Fund ETF Shares | ||||
Market Price | 16.29 | 13.02 | 12,690 | |
•••••••• | Russell 3000 Index | 17.03 | 13.42 | 12,776 |
– – – – | Multi-Cap Core Funds Average | 11.63 | 9.64 | 11,961 |
Dow Jones U.S. Total Stock Market | ||||
Index | 16.74 | 13.20 | 12,729 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (11/1/2010) | Investment | |
Russell 3000 Index Fund Institutional Shares | 16.89% | 11.76% | $6,129,263 |
Russell 3000 Index | 17.03 | 11.83 | 6,136,180 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 11.54 | 6,107,189 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
8
Russell 3000 Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 3000 Index Fund ETF Shares Market | ||
Price | 16.29% | 26.90% |
Russell 3000 Index Fund ETF Shares Net | ||
Asset Value | 16.80 | 27.43 |
Russell 3000 Index | 17.03 | 27.76 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2012
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell3000indexx11x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 3.75% | 10.72% |
ETF Shares | 9/20/2010 | ||
Market Price | 3.64 | 12.42 | |
Net Asset Value | 3.69 | 12.43 |
9
Russell 3000 Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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. | 10,803 | 967 | 0.6% |
Comcast Corp. Class A | 28,545 | 957 | 0.6% |
* Amazon.com Inc. | 3,846 | 955 | 0.6% |
Walt Disney Co. | 18,999 | 940 | 0.6% |
Home Depot Inc. | 16,271 | 923 | 0.5% |
Consumer Discretionary—Other † | 15,233 | 9.2% | |
19,975 | 12.1% | ||
Consumer Staples | |||
Procter & Gamble Co. | 29,127 | 1,957 | 1.2% |
Philip Morris International Inc. | 18,130 | 1,619 | 1.0% |
Coca-Cola Co. | 41,294 | 1,544 | 0.9% |
Wal-Mart Stores Inc. | 17,966 | 1,304 | 0.8% |
PepsiCo Inc. | 16,625 | 1,204 | 0.7% |
Kraft Foods Inc. | 18,847 | 783 | 0.5% |
Altria Group Inc. | 21,630 | 735 | 0.4% |
CVS Caremark Corp. | 13,622 | 620 | 0.4% |
Consumer Staples—Other † | 5,994 | 3.6% | |
15,760 | 9.5% | ||
Energy | |||
Exxon Mobil Corp. | 49,706 | 4,339 | 2.6% |
Chevron Corp. | 20,969 | 2,352 | 1.4% |
Schlumberger Ltd. | 14,176 | 1,026 | 0.6% |
ConocoPhillips | 13,442 | 763 | 0.5% |
Occidental Petroleum Corp. | 8,622 | 733 | 0.5% |
Energy—Other † | 7,406 | 4.5% | |
16,619 | 10.1% |
10
Russell 3000 Index Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Financials | |||
Wells Fargo & Co. | 52,079 | 1,772 | 1.1% |
* Berkshire Hathaway Inc. Class B | 18,930 | 1,597 | 1.0% |
JPMorgan Chase & Co. | 40,464 | 1,503 | 0.9% |
Citigroup Inc. | 31,168 | 926 | 0.6% |
Bank of America Corp. | 114,552 | 915 | 0.5% |
US Bancorp | 20,135 | 673 | 0.4% |
American Express Co. | 10,644 | 621 | 0.4% |
Financials—Other † | 18,203 | 11.0% | |
26,210 | 15.9% | ||
Health Care | |||
Johnson & Johnson | 29,193 | 1,968 | 1.2% |
Pfizer Inc. | 79,596 | 1,899 | 1.1% |
Merck & Co. Inc. | 32,331 | 1,392 | 0.8% |
Abbott Laboratories | 16,725 | 1,096 | 0.7% |
Amgen Inc. | 8,267 | 694 | 0.4% |
UnitedHealth Group Inc. | 11,028 | 599 | 0.4% |
Bristol-Myers Squibb Co. | 17,955 | 593 | 0.3% |
Health Care—Other † | 11,018 | 6.7% | |
19,259 | 11.6% | ||
Industrials | |||
General Electric Co. | 112,624 | 2,332 | 1.4% |
United Technologies Corp. | 9,688 | 774 | 0.5% |
3M Co. | 7,376 | 683 | 0.4% |
Union Pacific Corp. | 5,063 | 615 | 0.4% |
Caterpillar Inc. | 6,936 | 592 | 0.3% |
Industrials—Other † | 12,816 | 7.8% | |
17,812 | 10.8% | ||
Information Technology | |||
Apple Inc. | 9,940 | 6,612 | 4.0% |
Microsoft Corp. | 80,011 | 2,466 | 1.5% |
International Business Machines Corp. | 11,587 | 2,258 | 1.4% |
* Google Inc. Class A | 2,752 | 1,885 | 1.1% |
Intel Corp. | 53,478 | 1,328 | 0.8% |
Oracle Corp. | 40,615 | 1,285 | 0.8% |
QUALCOMM Inc. | 18,223 | 1,120 | 0.7% |
Cisco Systems Inc. | 56,942 | 1,086 | 0.7% |
Visa Inc. Class A | 5,555 | 712 | 0.4% |
* EMC Corp. | 22,320 | 587 | 0.4% |
* eBay Inc. | 12,312 | 584 | 0.3% |
Information Technology—Other † | 11,944 | 7.2% | |
31,867 | 19.3% | ||
Materials † | 6,393 | 3.9% | |
Telecommunication Services | |||
AT&T Inc. | 62,322 | 2,283 | 1.4% |
Verizon Communications Inc. | 30,200 | 1,297 | 0.8% |
Telecommunication Services—Other † | 1,064 | 0.6% | |
4,644 | 2.8% | ||
Utilities † | 5,902 | 3.6% | |
Total Common Stocks (Cost $156,650) | 164,441 | 99.6%1 |
11
Russell 3000 Index Fund
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
2,3 Vanguard Market Liquidity Fund | 0.158% | 191,000 | 191 | 0.1% |
4U.S. Government and Agency Obligations † | 100 | 0.1% | ||
Total Temporary Cash Investments (Cost $291) | 291 | 0.2%1 | ||
5Total Investments (Cost $156,941) | 164,732 | 99.8% | ||
Other Assets and Liabilities | ||||
Other Assets | 2,051 | 1.2% | ||
Liabilities2 | (1,743) | (1.0%) | ||
308 | 0.2% | |||
Net Assets | 165,040 | 100.0% | ||
At August 31, 2012, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 158,872 | |||
Undistributed Net Investment Income | 636 | |||
Accumulated Net Realized Losses | (2,286) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 7,791 | |||
Futures Contracts | 27 | |||
Net Assets | 165,040 | |||
Institutional Shares—Net Assets | ||||
Applicable to 1,016,644 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 126,469 | |||
Net Asset Value Per Share—Institutional Shares | $124.40 | |||
ETF Shares—Net Assets | ||||
Applicable to 600,000 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 38,571 | |||
Net Asset Value Per Share—ETF Shares | $64.28 |
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 -0.2%, respectively,
of net assets.
2 Includes $2,000 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 $100,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $1,000.
See accompanying Notes, which are an integral part of the Financial Statements.
12
Russell 3000 Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,030 |
Interest1 | 1 |
Security Lending | 2 |
Total Income | 2,033 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 9 |
Management and Administrative—ETF Shares | 23 |
Marketing and Distribution—Institutional Shares | 5 |
Marketing and Distribution—ETF Shares | 3 |
Custodian Fees | 35 |
Auditing Fees | 20 |
Shareholders’ Reports—Institutional Shares | 1 |
Shareholders’ Reports—ETF Shares | 1 |
Total Expenses | 97 |
Net Investment Income | 1,936 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 2,727 |
Futures Contracts | 64 |
Realized Net Gain (Loss) | 2,791 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 9,492 |
Futures Contracts | 17 |
Change in Unrealized Appreciation (Depreciation) | 9,509 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,236 |
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.
13
Russell 3000 Index Fund
Statement of Changes in Net Assets
Sept. 20, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,936 | 529 |
Realized Net Gain (Loss) | 2,791 | (215) |
Change in Unrealized Appreciation (Depreciation) | 9,509 | (1,691) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,236 | (1,377) |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (1,029) | (181) |
ETF Shares | (465) | (154) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,494) | (335) |
Capital Share Transactions | ||
Institutional Shares | 81,675 | 35,657 |
ETF Shares | 13,646 | 23,032 |
Net Increase (Decrease) from Capital Share Transactions | 95,321 | 58,689 |
Total Increase (Decrease) | 108,063 | 56,977 |
Net Assets | ||
Beginning of Period | 56,977 | — |
End of Period2 | 165,040 | 56,977 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $636,000 and $194,000.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 3000 Index Fund
Financial Highlights
Institutional Shares | ||
Year | Nov. 1, | |
Ended | 20101 to | |
August 31, | August 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 | 2.087 | 1.494 |
Net Realized and Unrealized Gain (Loss) on Investments | 15.972 | 3.650 |
Total from Investment Operations | 18.059 | 5.144 |
Distributions | ||
Dividends from Net Investment Income | (1.979) | (1.264) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (1.979) | (1.264) |
Net Asset Value, End of Period | $124.40 | $108.32 |
Total Return | 16.89% | 4.87% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $126 | $35 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.06% | 1.78%2 |
Portfolio Turnover Rate3 | 20% | 32% |
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
Financial Highlights
ETF Shares | ||
Year | Sept. 20, | |
Ended | 20101 to | |
August 31, | August 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 | 1.037 | .819 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.255 | 3.924 |
Total from Investment Operations | 9.292 | 4.743 |
Distributions | ||
Dividends from Net Investment Income | (.982) | (.633) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.982) | (.633) |
Net Asset Value, End of Period | $64.28 | $55.97 |
Total Return | 16.80% | 9.09% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $39 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.99% | 1.71%2 |
Portfolio Turnover Rate3 | 20% | 32% |
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 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. 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).
During the year ended August 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
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, 2011–2012), 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.
17
Russell 3000 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 August 31, 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.
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 August 31, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 164,440 | 1 | — |
Temporary Cash Investments | 191 | 100 | — |
Futures Contracts—Assets1 | 4 | — | — |
Total | 164,635 | 101 | — |
1 Represents variation margin on the last day of the reporting period.
18
Russell 3000 Index Fund
D. At August 31, 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 | September 2012 | 5 | 351 | 18 |
E-mini Russell 2000 Index | September 2012 | 3 | 244 | 9 |
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 year ended August 31, 2012, the fund realized $3,549,000 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.
For tax purposes, at August 31, 2012, the fund had $642,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $2,232,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $156,968,000. Net unrealized appreciation of investment securities for tax purposes was $7,764,000, consisting of unrealized gains of $12,050,000 on securities that had risen in value since their purchase and $4,286,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2012, the fund purchased $138,973,000 of investment securities and sold $43,441,000 of investment securities, other than temporary cash investments. Purchases and sales include $37,495,000 and $24,080,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
19
Russell 3000 Index Fund
G. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 96,532 | 830 | 37,726 | 337 |
Issued in Lieu of Cash Distributions | 1,029 | 9 | 181 | 2 |
Redeemed | (15,886) | (142) | (2,250) | (20) |
Net Increase (Decrease) —Institutional Shares | 81,675 | 697 | 35,657 | 319 |
ETF Shares | ||||
Issued | 37,746 | 600 | 34,354 | 600 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (24,100) | (400) | (11,322) | (200) |
Net Increase (Decrease)—ETF Shares | 13,646 | 200 | 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 August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
20
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 3000 Index Fund:
In our opinion, the accompanying statement of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Russell 3000 Index Fund (constituting a separate portfolio of Vanguard Scottsdale Funds, hereafter referred to as the “Fund”) at August 31, 2012, and the results of its operations for the year then ended, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian and broker and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2012
![](https://capedge.com/proxy/N-CSR/0000932471-12-005626/russell3000indexx23x1.jpg)
Special 2012 tax information (unaudited) for Vanguard Russell 3000 Index Fund
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the
Internal Revenue Code.
The fund distributed $1,494,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 94.9% of investment income (dividend income plus short-term gains,
if any) qualifies for the dividends-received deduction.
21
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income , using actual prior-year figures and estimates for 2012. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for ETF Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: Russell 3000 Index Fund ETF Shares
Periods Ended August 31, 2012
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Returns Before Taxes | 16.80% | 13.26% |
Returns After Taxes on Distributions | 16.51 | 13.01 |
Returns After Taxes on Distributions and Sale of Fund Shares | 11.26 | 11.32 |
22
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.
23
Six Months Ended August 31, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Russell 3000 Index Fund | 2/29/2012 | 8/31/2012 | Period |
Based on Actual Fund Return | |||
Institutional Shares | $1,000.00 | $1,033.13 | $0.41 |
ETF Shares | 1,000.00 | 1,032.72 | 0.77 |
Based on Hypothetical 5% Yearly Return | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.45 | 0.77 |
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.
24
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Russell 3000 Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Equity Investment Group—serves as investment advisor to the fund. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the 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 arrangement. 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 investment management services provided to the fund since its inception in 2010, and took into account the organizational depth and stability of the advisor. The
board noted that Vanguard has been managing investments for more than three decades. The Equity Investment Group adheres to a sound, disciplined investment management process; the team has
considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangement.
Investment performance
The board considered the fund’s performance since its inception, including any periods of outperformance or underperformance of its target index and peer group. The board concluded
that the fund has performed in line with expectations and that its results have been consistent with its investment strategies. Information about the fund’s most recent performance 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 the report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund
assets increase.
The board will consider whether to renew the advisory arrangement 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.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study of Bioethical Issues. |
Emerson U. Fullwood | |
Born 1948. Trustee Since January 2008. Principal | |
Occupation(s) During the Past Five Years: Executive | JoAnn Heffernan Heisen |
Chief Staff and Marketing Officer for North America | Born 1950. Trustee Since July 1998. Principal |
and Corporate Vice President (retired 2008) of Xerox | Occupation(s) During the Past Five Years: Corporate |
Corporation (document management products and | Vice President and Chief Global Diversity Officer |
services); Executive in Residence and 2010 | (retired 2008) and Member of the Executive |
Distinguished Minett Professor at the Rochester | Committee (1997–2008) of Johnson & Johnson |
Institute of Technology; Director of SPX Corporation | (pharmaceuticals/medical devices/consumer |
(multi-industry manufacturing), the United Way of | products); Director of Skytop Lodge Corporation |
Rochester, Amerigroup Corporation (managed health | (hotels), the University Medical Center at Princeton, |
care), the University of Rochester Medical Center, | the Robert Wood Johnson Foundation, and the Center |
Monroe Community College Foundation, and North | for Talent Innovation; Member of the Advisory Board |
Carolina A&T University. | of the Maxwell School of Citizenship and Public Affairs at Syracuse University. |
Rajiv L. Gupta | F. Joseph Loughrey |
Born 1945. Trustee Since December 2001.2 | Born 1949. Trustee Since October 2009. Principal |
Principal Occupation(s) During the Past Five Years: | Occupation(s) During the Past Five Years: President |
Chairman and Chief Executive Officer (retired 2009) | and Chief Operating Officer (retired 2009) of Cummins |
and President (2006–2008) of Rohm and Haas Co. | Inc. (industrial machinery); Director of SKF AB |
(chemicals); Director of Tyco International, Ltd. | (industrial machinery), Hillenbrand, Inc. (specialized |
(diversified manufacturing and services), Hewlett- | consumer services), the Lumina Foundation for |
Packard Co. (electronic computer manufacturing), | |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Vanguard Senior ManagementTeam | |
Occupation(s) During the Past Five Years: Chairman, | ||
President, and Chief Executive Officer of NACCO | Mortimer J. Buckley | Michael S. Miller |
Industries, Inc. (forklift trucks/housewares/lignite); | Kathleen C. Gubanich | James M. Norris |
Director of Goodrich Corporation (industrial products/ | Paul A. Heller | Glenn W. Reed |
aircraft systems and services) and the National | Martha G. King | George U. Sauter |
Association of Manufacturers; Chairman of the Board | Chris D. McIsaac | |
of the Federal Reserve Bank of Cleveland and of | ||
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | Chairman Emeritus and Senior Advisor | |
Peter F. Volanakis | John J. Brennan | |
Born 1955. Trustee Since July 2009. Principal | Chairman, 1996–2009 | |
Occupation(s) During the Past Five Years: President | Chief Executive Officer and President, 1996–2008 | |
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director | Founder | |
of SPX Corporation (multi-industry manufacturing); | John C. Bogle | |
Overseer of the Amos Tuck School of Business | Chairman and Chief Executive Officer, 1974–1996 | |
Administration at Dartmouth College; Advisor to the | ||
Norris Cotton Cancer Center. | ||
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 | |
Fund Information > 800-662-7447 | The Russell Indexes and Russell® are registered |
Direct Investor Account Services > 800-662-2739 | trademarks of Russell Investments and have been |
licensed for use by The Vanguard Group, Inc. The | |
Institutional Investor Services > 800-523-1036 | products are not sponsored, endorsed, sold, or |
Text Telephone for People | promoted by Russell Investments and Russell |
With Hearing Impairment > 800-749-7273 | Investments makes no representation regarding the |
advisability of investing in the products. | |
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 | |
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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. | |
Q18540 102012 |
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.6%)1 | ||
Consumer Discretionary (12.1%) | ||
McDonald's Corp. | 10,803 | 967 |
Comcast Corp. Class A | 28,545 | 957 |
* Amazon.com Inc. | 3,846 | 955 |
Walt Disney Co. | 18,999 | 940 |
Home Depot Inc. | 16,271 | 923 |
News Corp. Class A | 22,266 | 521 |
Target Corp. | 7,029 | 450 |
Time Warner Inc. | 10,204 | 424 |
Starbucks Corp. | 8,063 | 400 |
NIKE Inc. Class B | 3,845 | 374 |
Ford Motor Co. | 39,877 | 372 |
Lowe's Cos. Inc. | 12,744 | 363 |
* DIRECTV | 6,963 | 363 |
TJX Cos. Inc. | 7,877 | 361 |
* priceline.com Inc. | 530 | 320 |
Yum! Brands Inc. | 4,896 | 312 |
Time Warner Cable Inc. | 3,322 | 295 |
Viacom Inc. Class B | 5,611 | 281 |
CBS Corp. Class B | 6,890 | 250 |
Johnson Controls Inc. | 7,231 | 197 |
Las Vegas Sands Corp. | 4,225 | 179 |
Macy's Inc. | 4,408 | 178 |
Coach Inc. | 3,055 | 178 |
* General Motors Co. | 8,140 | 174 |
Ross Stores Inc. | 2,409 | 167 |
* Bed Bath & Beyond Inc. | 2,472 | 166 |
* Liberty Global Inc. Class A | 2,789 | 154 |
Carnival Corp. | 4,418 | 153 |
McGraw-Hill Cos. Inc. | 2,974 | 152 |
Omnicom Group Inc. | 2,898 | 149 |
* Discovery Communications Inc. Class A | 2,711 | 149 |
* AutoZone Inc. | 405 | 146 |
VF Corp. | 932 | 142 |
Kohl's Corp. | 2,586 | 135 |
Mattel Inc. | 3,621 | 127 |
Limited Brands Inc. | 2,566 | 125 |
* Liberty Media Corp. - Liberty Capital Class A | 1,155 | 120 |
* Dollar Tree Inc. | 2,466 | 119 |
Starwood Hotels & Resorts Worldwide Inc. | 2,104 | 116 |
Gap Inc. | 3,223 | 115 |
Thomson Reuters Corp. | 3,950 | 112 |
* Liberty Interactive Corp. Class A | 5,949 | 109 |
* O'Reilly Automotive Inc. | 1,264 | 107 |
* Delphi Automotive plc | 3,499 | 106 |
Genuine Parts Co. | 1,662 | 105 |
Ralph Lauren Corp. Class A | 656 | 104 |
Harley-Davidson Inc. | 2,468 | 104 |
* Sirius XM Radio Inc. | 40,569 | 103 |
Marriott International Inc. Class A | 2,711 | 102 |
* Dollar General Corp. | 1,972 | 101 |
* Chipotle Mexican Grill Inc. Class A | 338 | 98 |
Nordstrom Inc. | 1,673 | 97 |
Wynn Resorts Ltd. | 843 | 87 |
Tiffany & Co. | 1,348 | 83 |
* BorgWarner Inc. | 1,213 | 83 |
PetSmart Inc. | 1,148 | 81 |
Virgin Media Inc. | 2,940 | 81 |
Wyndham Worldwide Corp. | 1,545 | 81 |
Staples Inc. | 7,326 | 80 |
* CarMax Inc. | 2,436 | 75 |
Tractor Supply Co. | 770 | 74 |
1
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Darden Restaurants Inc. | 1,374 | 71 |
PVH Corp. | 752 | 71 |
DISH Network Corp. Class A | 2,181 | 70 |
Family Dollar Stores Inc. | 1,034 | 66 |
Ulta Salon Cosmetics & Fragrance Inc. | 665 | 63 |
Whirlpool Corp. | 817 | 62 |
* LKQ Corp. | 1,557 | 59 |
DR Horton Inc. | 2,944 | 56 |
Lennar Corp. Class A | 1,717 | 56 |
Foot Locker Inc. | 1,610 | 56 |
Advance Auto Parts Inc. | 780 | 55 |
Newell Rubbermaid Inc. | 3,072 | 55 |
Scripps Networks Interactive Inc. Class A | 904 | 53 |
Polaris Industries Inc. | 690 | 52 |
Best Buy Co. Inc. | 2,863 | 51 |
Interpublic Group of Cos. Inc. | 4,725 | 50 |
* Toll Brothers Inc. | 1,534 | 50 |
* PulteGroup Inc. | 3,660 | 50 |
Dick's Sporting Goods Inc. | 992 | 49 |
* Fossil Inc. | 575 | 49 |
* Under Armour Inc. Class A | 832 | 48 |
* Michael Kors Holdings Ltd. | 895 | 48 |
H&R Block Inc. | 2,903 | 48 |
Expedia Inc. | 935 | 48 |
* TRW Automotive Holdings Corp. | 1,082 | 47 |
Garmin Ltd. | 1,167 | 47 |
American Eagle Outfitters Inc. | 2,105 | 47 |
Hasbro Inc. | 1,238 | 46 |
* Panera Bread Co. Class A | 298 | 46 |
* Sally Beauty Holdings Inc. | 1,663 | 46 |
* NVR Inc. | 55 | 46 |
JC Penney Co. Inc. | 1,687 | 44 |
* Mohawk Industries Inc. | 600 | 43 |
Royal Caribbean Cruises Ltd. | 1,595 | 43 |
* Urban Outfitters Inc. | 1,127 | 42 |
* MGM Resorts International | 4,186 | 41 |
Signet Jewelers Ltd. | 898 | 41 |
Lear Corp. | 1,050 | 41 |
Jarden Corp. | 840 | 41 |
* Charter Communications Inc. Class A | 514 | 40 |
Williams-Sonoma Inc. | 939 | 39 |
Gannett Co. Inc. | 2,489 | 38 |
Leggett & Platt Inc. | 1,490 | 35 |
* Netflix Inc. | 591 | 35 |
Harman International Industries Inc. | 755 | 35 |
International Game Technology | 2,810 | 35 |
* Hanesbrands Inc. | 1,041 | 34 |
Chico's FAS Inc. | 1,765 | 33 |
Abercrombie & Fitch Co. | 912 | 33 |
Cablevision Systems Corp. Class A | 2,147 | 32 |
Tupperware Brands Corp. | 599 | 32 |
* Goodyear Tire & Rubber Co. | 2,571 | 31 |
* TripAdvisor Inc. | 913 | 31 |
Service Corp. International | 2,328 | 30 |
* Carter's Inc. | 524 | 29 |
Cinemark Holdings Inc. | 1,201 | 28 |
GNC Holdings Inc. Class A | 724 | 28 |
Brinker International Inc. | 815 | 28 |
* Apollo Group Inc. Class A | 1,007 | 27 |
* Penn National Gaming Inc. | 688 | 27 |
* Madison Square Garden Co. Class A | 634 | 27 |
* Lamar Advertising Co. Class A | 805 | 27 |
Gentex Corp. | 1,506 | 26 |
* Ascena Retail Group Inc. | 1,284 | 25 |
2
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Visteon Corp. | 552 | 25 |
GameStop Corp. Class A | 1,310 | 25 |
Wolverine World Wide Inc. | 517 | 24 |
John Wiley & Sons Inc. Class A | 492 | 24 |
Aaron's Inc. | 795 | 24 |
* Cabela's Inc. | 491 | 24 |
* AMC Networks Inc. Class A | 596 | 23 |
Dillard's Inc. Class A | 309 | 23 |
Six Flags Entertainment Corp. | 415 | 23 |
DSW Inc. Class A | 350 | 23 |
* Warnaco Group Inc. | 433 | 22 |
Brunswick Corp. | 938 | 22 |
Sotheby's | 710 | 22 |
Rent-A-Center Inc. | 623 | 22 |
Dunkin' Brands Group Inc. | 749 | 22 |
Domino's Pizza Inc. | 610 | 22 |
* Life Time Fitness Inc. | 451 | 21 |
Dana Holding Corp. | 1,556 | 21 |
* Big Lots Inc. | 692 | 21 |
* Deckers Outdoor Corp. | 409 | 20 |
* Bally Technologies Inc. | 456 | 20 |
* Sears Holdings Corp. | 382 | 20 |
Pool Corp. | 509 | 20 |
Vail Resorts Inc. | 382 | 20 |
* Tesla Motors Inc. | 690 | 20 |
* Tempur-Pedic International Inc. | 626 | 20 |
* Tenneco Inc. | 643 | 20 |
Pier 1 Imports Inc. | 1,049 | 19 |
Cheesecake Factory Inc. | 577 | 19 |
* Genesco Inc. | 261 | 18 |
* Hyatt Hotels Corp. Class A | 485 | 18 |
HSN Inc. | 406 | 18 |
* Steven Madden Ltd. | 423 | 18 |
* ANN Inc. | 505 | 18 |
Guess? Inc. | 685 | 18 |
* Select Comfort Corp. | 619 | 18 |
* Coinstar Inc. | 334 | 17 |
Men's Wearhouse Inc. | 539 | 17 |
* Vitamin Shoppe Inc. | 316 | 17 |
* Hibbett Sports Inc. | 282 | 16 |
* Crocs Inc. | 929 | 16 |
Washington Post Co. Class B | 46 | 16 |
* Fifth & Pacific Cos. Inc. | 1,185 | 16 |
* Buffalo Wild Wings Inc. | 203 | 16 |
* Express Inc. | 969 | 15 |
Morningstar Inc. | 254 | 15 |
* Children's Place Retail Stores Inc. | 260 | 15 |
* AutoNation Inc. | 361 | 15 |
* Iconix Brand Group Inc. | 767 | 14 |
* Liberty Ventures Class A | 307 | 14 |
Thor Industries Inc. | 449 | 14 |
* Jos A Bank Clothiers Inc. | 293 | 14 |
* Collective Brands Inc. | 647 | 14 |
* Lumber Liquidators Holdings Inc. | 300 | 14 |
MDC Holdings Inc. | 399 | 14 |
DeVry Inc. | 705 | 14 |
* New York Times Co. Class A | 1,473 | 14 |
Buckle Inc. | 294 | 13 |
* Pandora Media Inc. | 1,116 | 13 |
Cooper Tire & Rubber Co. | 668 | 13 |
* Saks Inc. | 1,134 | 13 |
* Francesca's Holdings Corp. | 377 | 13 |
Group 1 Automotive Inc. | 242 | 13 |
Weight Watchers International Inc. | 277 | 13 |
3
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Lions Gate Entertainment Corp. | 889 | 13 |
Finish Line Inc. Class A | 557 | 13 |
* Live Nation Entertainment Inc. | 1,487 | 13 |
Meredith Corp. | 388 | 13 |
Ryland Group Inc. | 471 | 13 |
Cracker Barrel Old Country Store Inc. | 200 | 13 |
* Aeropostale Inc. | 898 | 13 |
Wendy's Co. | 2,896 | 12 |
* Gaylord Entertainment Co. | 300 | 12 |
* Jack in the Box Inc. | 463 | 12 |
Regal Entertainment Group Class A | 865 | 12 |
Penske Automotive Group Inc. | 442 | 12 |
* DreamWorks Animation SKG Inc. Class A | 693 | 12 |
Bob Evans Farms Inc. | 298 | 12 |
* Meritage Homes Corp. | 314 | 12 |
Texas Roadhouse Inc. Class A | 677 | 12 |
Jones Group Inc. | 911 | 12 |
* Shutterfly Inc. | 387 | 12 |
Regis Corp. | 633 | 11 |
* Valassis Communications Inc. | 453 | 11 |
Monro Muffler Brake Inc. | 326 | 11 |
Hillenbrand Inc. | 605 | 11 |
* BJ's Restaurants Inc. | 263 | 11 |
* Helen of Troy Ltd. | 336 | 11 |
* Peet's Coffee & Tea Inc. | 134 | 10 |
* Papa John's International Inc. | 188 | 10 |
Arbitron Inc. | 272 | 10 |
* Orient-Express Hotels Ltd. Class A | 1,083 | 10 |
* Shuffle Master Inc. | 616 | 9 |
KB Home | 842 | 9 |
* WMS Industries Inc. | 564 | 9 |
Choice Hotels International Inc. | 283 | 9 |
Matthews International Corp. Class A | 297 | 9 |
* Grand Canyon Education Inc. | 410 | 9 |
* Marriott Vacations Worldwide Corp. | 268 | 9 |
* DineEquity Inc. | 162 | 9 |
* Skechers U.S.A. Inc. Class A | 393 | 9 |
Scholastic Corp. | 275 | 8 |
Sturm Ruger & Co. Inc. | 194 | 8 |
* Asbury Automotive Group Inc. | 303 | 8 |
Cato Corp. Class A | 284 | 8 |
Churchill Downs Inc. | 144 | 8 |
National CineMedia Inc. | 563 | 8 |
International Speedway Corp. Class A | 305 | 8 |
* American Axle & Manufacturing Holdings Inc. | 719 | 8 |
Oxford Industries Inc. | 147 | 8 |
* Standard Pacific Corp. | 1,183 | 8 |
* HomeAway Inc. | 335 | 8 |
Sonic Automotive Inc. Class A | 441 | 8 |
Strayer Education Inc. | 120 | 8 |
* ITT Educational Services Inc. | 242 | 8 |
* Ascent Capital Group Inc. Class A | 150 | 8 |
Interval Leisure Group Inc. | 419 | 8 |
* Pinnacle Entertainment Inc. | 683 | 8 |
* La-Z-Boy Inc. | 546 | 8 |
Belo Corp. Class A | 1,028 | 7 |
* Dorman Products Inc. | 253 | 7 |
* Steiner Leisure Ltd. | 159 | 7 |
* iRobot Corp. | 288 | 7 |
Stage Stores Inc. | 335 | 7 |
Columbia Sportswear Co. | 137 | 7 |
* Zumiez Inc. | 244 | 7 |
Movado Group Inc. | 199 | 7 |
Brown Shoe Co. Inc. | 452 | 7 |
4
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Lithia Motors Inc. Class A | 218 | 6 |
* K12 Inc. | 302 | 6 |
True Religion Apparel Inc. | 269 | 6 |
Ameristar Casinos Inc. | 368 | 6 |
* LeapFrog Enterprises Inc. | 567 | 6 |
* Sonic Corp. | 651 | 6 |
* AFC Enterprises Inc. | 252 | 6 |
* American Public Education Inc. | 177 | 6 |
Stewart Enterprises Inc. Class A | 809 | 6 |
Sinclair Broadcast Group Inc. Class A | 513 | 6 |
CEC Entertainment Inc. | 192 | 6 |
American Greetings Corp. Class A | 395 | 6 |
* Blue Nile Inc. | 151 | 6 |
Core-Mark Holding Co. Inc. | 124 | 6 |
Pep Boys-Manny Moe & Jack | 615 | 6 |
* Drew Industries Inc. | 189 | 5 |
OfficeMax Inc. | 942 | 5 |
* Arctic Cat Inc. | 126 | 5 |
Fred's Inc. Class A | 405 | 5 |
* G-III Apparel Group Ltd. | 170 | 5 |
* Denny's Corp. | 1,099 | 5 |
* Maidenform Brands Inc. | 240 | 5 |
Ethan Allen Interiors Inc. | 240 | 5 |
* Smith & Wesson Holding Corp. | 650 | 5 |
Allison Transmission Holdings Inc. | 292 | 5 |
Blyth Inc. | 120 | 5 |
* Krispy Kreme Doughnuts Inc. | 685 | 5 |
* Tumi Holdings Inc. | 239 | 5 |
* Biglari Holdings Inc. | 14 | 5 |
* rue21 inc | 173 | 5 |
* Multimedia Games Holding Co. Inc. | 312 | 5 |
* Capella Education Co. | 155 | 5 |
* Quiksilver Inc. | 1,512 | 5 |
* Ruby Tuesday Inc. | 679 | 5 |
* Office Depot Inc. | 2,999 | 5 |
Superior Industries International Inc. | 267 | 5 |
Hot Topic Inc. | 481 | 5 |
* Vera Bradley Inc. | 208 | 4 |
* Red Robin Gourmet Burgers Inc. | 141 | 4 |
Callaway Golf Co. | 753 | 4 |
* Mattress Firm Holding Corp. | 133 | 4 |
* Scientific Games Corp. Class A | 582 | 4 |
* America's Car-Mart Inc. | 93 | 4 |
* Beazer Homes USA Inc. | 1,370 | 4 |
* Boyd Gaming Corp. | 653 | 4 |
JAKKS Pacific Inc. | 231 | 4 |
Harte-Hanks Inc. | 541 | 4 |
* M/I Homes Inc. | 195 | 4 |
Shoe Carnival Inc. | 169 | 4 |
* Cavco Industries Inc. | 81 | 4 |
* Bravo Brio Restaurant Group Inc. | 226 | 4 |
* Barnes & Noble Inc. | 300 | 4 |
* Conn's Inc. | 154 | 4 |
Standard Motor Products Inc. | 198 | 3 |
* Winnebago Industries Inc. | 301 | 3 |
* Amerigon Inc. | 288 | 3 |
* Town Sports International Holdings Inc. | 250 | 3 |
* Fisher Communications Inc. | 91 | 3 |
* Digital Generation Inc. | 275 | 3 |
* Modine Manufacturing Co. | 437 | 3 |
* EW Scripps Co. Class A | 293 | 3 |
* Fuel Systems Solutions Inc. | 172 | 3 |
* Skullcandy Inc. | 191 | 3 |
* Caribou Coffee Co. Inc. | 226 | 3 |
5
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Libbey Inc. | 192 | 3 |
Nutrisystem Inc. | 270 | 3 |
* Wet Seal Inc. Class A | 956 | 3 |
Universal Technical Institute Inc. | 229 | 3 |
* Hovnanian Enterprises Inc. Class A | 915 | 3 |
Marcus Corp. | 205 | 3 |
* Journal Communications Inc. Class A | 491 | 3 |
* Stein Mart Inc. | 287 | 3 |
MDC Partners Inc. Class A | 255 | 3 |
* Perry Ellis International Inc. | 125 | 3 |
* Exide Technologies | 821 | 3 |
* Tuesday Morning Corp. | 446 | 2 |
* Fiesta Restaurant Group Inc. | 154 | 2 |
Haverty Furniture Cos. Inc. | 188 | 2 |
World Wrestling Entertainment Inc. Class A | 271 | 2 |
* Caesars Entertainment Corp. | 331 | 2 |
PetMed Express Inc. | 226 | 2 |
bebe stores inc | 423 | 2 |
Destination Maternity Corp. | 123 | 2 |
RadioShack Corp. | 926 | 2 |
* Casual Male Retail Group Inc. | 541 | 2 |
* Universal Electronics Inc. | 145 | 2 |
* Black Diamond Inc. | 227 | 2 |
* Central European Media Enterprises Ltd. Class A | 390 | 2 |
Clear Channel Outdoor Holdings Inc. Class A | 409 | 2 |
* Groupon Inc. | 501 | 2 |
* Ruth's Hospitality Group Inc. | 337 | 2 |
* Federal-Mogul Corp. | 220 | 2 |
* Entercom Communications Corp. Class A | 322 | 2 |
* Stoneridge Inc. | 322 | 2 |
* Citi Trends Inc. | 175 | 2 |
* Gordmans Stores Inc. | 114 | 2 |
* Steinway Musical Instruments Inc. | 78 | 2 |
Spartan Motors Inc. | 386 | 2 |
* Saga Communications Inc. Class A | 47 | 2 |
Speedway Motorsports Inc. | 125 | 2 |
Weyco Group Inc. | 81 | 2 |
CSS Industries Inc. | 93 | 2 |
* Jamba Inc. | 751 | 2 |
* Carmike Cinemas Inc. | 159 | 2 |
* West Marine Inc. | 175 | 2 |
Mac-Gray Corp. | 139 | 2 |
* Rentrak Corp. | 101 | 2 |
* Zagg Inc. | 232 | 2 |
* Isle of Capri Casinos Inc. | 279 | 2 |
* Career Education Corp. | 542 | 2 |
* LIN TV Corp. Class A | 418 | 2 |
* Morgans Hotel Group Co. | 324 | 2 |
Bon-Ton Stores Inc. | 158 | 2 |
* Systemax Inc. | 141 | 2 |
* Bridgepoint Education Inc. | 164 | 2 |
* ReachLocal Inc. | 128 | 2 |
* Cumulus Media Inc. Class A | 567 | 2 |
* Overstock.com Inc. | 179 | 2 |
Cherokee Inc. | 118 | 2 |
* VOXX International Corp. Class A | 205 | 2 |
* Tilly's Inc. Class A | 83 | 2 |
* New York & Co. Inc. | 390 | 1 |
* Johnson Outdoors Inc. Class A | 70 | 1 |
* Luby's Inc. | 231 | 1 |
Einstein Noah Restaurant Group Inc. | 79 | 1 |
* hhgregg Inc. | 191 | 1 |
* Kenneth Cole Productions Inc. Class A | 86 | 1 |
Carriage Services Inc. Class A | 143 | 1 |
6
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Big 5 Sporting Goods Corp. | 149 | 1 |
* 1-800-Flowers.com Inc. Class A | 352 | 1 |
* Vitacost.com Inc. | 198 | 1 |
* Unifi Inc. | 112 | 1 |
* Body Central Corp. | 141 | 1 |
* Corinthian Colleges Inc. | 611 | 1 |
Bassett Furniture Industries Inc. | 101 | 1 |
Lincoln Educational Services Corp. | 285 | 1 |
* MarineMax Inc. | 167 | 1 |
* Teavana Holdings Inc. | 107 | 1 |
* Global Sources Ltd. | 200 | 1 |
Hooker Furniture Corp. | 97 | 1 |
* McClatchy Co. Class A | 697 | 1 |
* Kirkland's Inc. | 109 | 1 |
Entravision Communications Corp. Class A | 911 | 1 |
* Orbitz Worldwide Inc. | 347 | 1 |
* Education Management Corp. | 329 | 1 |
* Reading International Inc. Class A | 150 | 1 |
Frisch's Restaurants Inc. | 29 | 1 |
* Ignite Restaurant Group Inc. | 60 | 1 |
RG Barry Corp. | 59 | 1 |
* Liberty Ventures Rights, Exp. Date 10/9/12 | 95 | 1 |
Culp Inc. | 79 | 1 |
* US Auto Parts Network Inc. | 279 | 1 |
* Daily Journal Corp. | 9 | 1 |
Flexsteel Industries Inc. | 41 | 1 |
* Five Below Inc. | 25 | 1 |
Outdoor Channel Holdings Inc. | 114 | 1 |
Winmark Corp. | 16 | 1 |
* Red Lion Hotels Corp. | 108 | 1 |
* Nathan's Famous Inc. | 24 | 1 |
* Tower International Inc. | 101 | 1 |
Lifetime Brands Inc. | 68 | 1 |
* MTR Gaming Group Inc. | 203 | 1 |
* Bluegreen Corp. | 129 | 1 |
Collectors Universe | 48 | 1 |
* Nexstar Broadcasting Group Inc. Class A | 68 | 1 |
* Delta Apparel Inc. | 41 | 1 |
Martha Stewart Living Omnimedia Class A | 178 | 1 |
* Premier Exhibitions Inc. | 231 | 1 |
* Sealy Corp. | 311 | — |
* Carrols Restaurant Group Inc. | 84 | — |
Salem Communications Corp. Class A | 91 | — |
* Geeknet Inc. | 22 | — |
* CafePress Inc. | 42 | — |
* Perfumania Holdings Inc. | 46 | — |
* K-Swiss Inc. Class A | 115 | — |
* Monarch Casino & Resort Inc. | 30 | — |
* Beasley Broadcasting Group Inc. Class A | 40 | — |
Value Line Inc. | 15 | — |
* Crown Media Holdings Inc. Class A | 98 | — |
* Orchard Supply Hardware Stores Corp. Class A | 11 | — |
Marine Products Corp. | 26 | — |
Shiloh Industries Inc. | 15 | — |
National American University Holdings Inc. | 21 | — |
* Dial Global Inc. | 20 | — |
* Digital Domain Media Group Inc. | 24 | — |
19,975 | ||
Consumer Staples (9.5%) | ||
Procter & Gamble Co. | 29,127 | 1,957 |
Philip Morris International Inc. | 18,130 | 1,619 |
Coca-Cola Co. | 41,294 | 1,544 |
Wal-Mart Stores Inc. | 17,966 | 1,304 |
PepsiCo Inc. | 16,625 | 1,204 |
7
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Kraft Foods Inc. | 18,847 | 783 |
Altria Group Inc. | 21,630 | 735 |
CVS Caremark Corp. | 13,622 | 620 |
Colgate-Palmolive Co. | 5,073 | 539 |
Costco Wholesale Corp. | 4,606 | 451 |
Kimberly-Clark Corp. | 4,169 | 349 |
Walgreen Co. | 9,171 | 328 |
General Mills Inc. | 6,881 | 271 |
HJ Heinz Co. | 3,401 | 189 |
Whole Foods Market Inc. | 1,952 | 189 |
Sysco Corp. | 6,227 | 189 |
Archer-Daniels-Midland Co. | 7,000 | 187 |
Lorillard Inc. | 1,388 | 174 |
Reynolds American Inc. | 3,500 | 161 |
Mead Johnson Nutrition Co. | 2,168 | 159 |
Estee Lauder Cos. Inc. Class A | 2,447 | 147 |
Kroger Co. | 5,963 | 133 |
Kellogg Co. | 2,569 | 130 |
Hershey Co. | 1,597 | 115 |
ConAgra Foods Inc. | 4,422 | 111 |
Brown-Forman Corp. Class B | 1,599 | 102 |
Dr Pepper Snapple Group Inc. | 2,260 | 101 |
JM Smucker Co. | 1,191 | 101 |
Clorox Co. | 1,388 | 101 |
Bunge Ltd. | 1,558 | 99 |
Beam Inc. | 1,683 | 98 |
Coca-Cola Enterprises Inc. | 3,190 | 94 |
* Monster Beverage Corp. | 1,535 | 90 |
McCormick & Co. Inc. | 1,413 | 87 |
Church & Dwight Co. Inc. | 1,484 | 81 |
Avon Products Inc. | 4,590 | 71 |
Campbell Soup Co. | 1,868 | 66 |
Herbalife Ltd. | 1,251 | 61 |
Molson Coors Brewing Co. Class B | 1,353 | 60 |
* Constellation Brands Inc. Class A | 1,558 | 51 |
Tyson Foods Inc. Class A | 3,107 | 49 |
Energizer Holdings Inc. | 699 | 48 |
Ingredion Inc. | 804 | 43 |
* Ralcorp Holdings Inc. | 585 | 42 |
Hormel Foods Corp. | 1,418 | 41 |
Safeway Inc. | 2,535 | 40 |
* Green Mountain Coffee Roasters Inc. | 1,472 | 36 |
Hillshire Brands Co. | 1,268 | 33 |
* Dean Foods Co. | 1,983 | 33 |
* Smithfield Foods Inc. | 1,598 | 31 |
* United Natural Foods Inc. | 513 | 29 |
* Hain Celestial Group Inc. | 394 | 27 |
Flowers Foods Inc. | 1,196 | 25 |
Nu Skin Enterprises Inc. Class A | 587 | 24 |
Casey's General Stores Inc. | 399 | 23 |
* Darling International Inc. | 1,237 | 21 |
* TreeHouse Foods Inc. | 381 | 20 |
Harris Teeter Supermarkets Inc. | 468 | 18 |
* Fresh Market Inc. | 289 | 17 |
B&G Foods Inc. Class A | 500 | 15 |
Lancaster Colony Corp. | 199 | 14 |
PriceSmart Inc. | 190 | 14 |
* Elizabeth Arden Inc. | 269 | 13 |
Universal Corp. | 251 | 12 |
Snyders-Lance Inc. | 469 | 11 |
Sanderson Farms Inc. | 249 | 11 |
Fresh Del Monte Produce Inc. | 411 | 10 |
Vector Group Ltd. | 550 | 9 |
J&J Snack Foods Corp. | 161 | 9 |
8
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Spectrum Brands Holdings Inc. | 235 | 9 |
* Boston Beer Co. Inc. Class A | 84 | 9 |
* Post Holdings Inc. | 282 | 8 |
* Prestige Brands Holdings Inc. | 512 | 8 |
* Rite Aid Corp. | 6,836 | 8 |
WD-40 Co. | 166 | 8 |
Andersons Inc. | 194 | 8 |
* Smart Balance Inc. | 647 | 7 |
Cal-Maine Foods Inc. | 166 | 7 |
Tootsie Roll Industries Inc. | 239 | 6 |
* Star Scientific Inc. | 1,543 | 6 |
SUPERVALU Inc. | 2,312 | 5 |
* Dole Food Co. Inc. | 417 | 5 |
Weis Markets Inc. | 123 | 5 |
* Central Garden and Pet Co. Class A | 395 | 5 |
Diamond Foods Inc. | 221 | 4 |
* Medifast Inc. | 146 | 4 |
* Harbinger Group Inc. | 482 | 4 |
* Susser Holdings Corp. | 114 | 4 |
Village Super Market Inc. Class A | 104 | 3 |
* Chiquita Brands International Inc. | 570 | 3 |
Coca-Cola Bottling Co. Consolidated | 48 | 3 |
* Pantry Inc. | 233 | 3 |
* USANA Health Sciences Inc. | 69 | 3 |
Spartan Stores Inc. | 203 | 3 |
* Pilgrim's Pride Corp. | 549 | 3 |
Calavo Growers Inc. | 110 | 3 |
* Seneca Foods Corp. Class A | 98 | 3 |
* Schiff Nutrition International Inc. | 135 | 3 |
Inter Parfums Inc. | 153 | 3 |
Nash Finch Co. | 127 | 2 |
Ingles Markets Inc. Class A | 155 | 2 |
* Alliance One International Inc. | 786 | 2 |
* National Beverage Corp. | 134 | 2 |
Nature's Sunshine Products Inc. | 126 | 2 |
* Annie's Inc. | 45 | 2 |
* Central European Distribution Corp. | 661 | 2 |
* Nutraceutical International Corp. | 117 | 2 |
* Omega Protein Corp. | 243 | 2 |
Limoneira Co. | 98 | 2 |
* Revlon Inc. Class A | 125 | 2 |
^ Roundy's Inc. | 218 | 2 |
Arden Group Inc. | 18 | 2 |
Alico Inc. | 50 | 2 |
* Chefs' Warehouse Inc. | 100 | 2 |
* Synutra International Inc. | 250 | 1 |
Griffin Land & Nurseries Inc. | 43 | 1 |
* John B Sanfilippo & Son Inc. | 72 | 1 |
Female Health Co. | 163 | 1 |
Orchids Paper Products Co. | 52 | 1 |
Oil-Dri Corp. of America | 37 | 1 |
* Westway Group Inc. | 109 | 1 |
* Inventure Foods Inc. | 118 | 1 |
* Craft Brew Alliance Inc. | 53 | — |
* Farmer Bros Co. | 25 | — |
Lifeway Foods Inc. | 17 | — |
15,760 | ||
Energy (10.1%) | ||
Exxon Mobil Corp. | 49,706 | 4,339 |
Chevron Corp. | 20,969 | 2,352 |
Schlumberger Ltd. | 14,176 | 1,026 |
ConocoPhillips | 13,442 | 763 |
Occidental Petroleum Corp. | 8,622 | 733 |
Anadarko Petroleum Corp. | 5,311 | 368 |
9
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
National Oilwell Varco Inc. | 4,531 | 357 |
Apache Corp. | 4,155 | 356 |
Halliburton Co. | 9,812 | 321 |
EOG Resources Inc. | 2,866 | 310 |
Phillips 66 | 6,647 | 279 |
Devon Energy Corp. | 4,299 | 249 |
Williams Cos. Inc. | 6,651 | 215 |
Baker Hughes Inc. | 4,661 | 213 |
Marathon Oil Corp. | 7,498 | 209 |
Spectra Energy Corp. | 6,939 | 196 |
Marathon Petroleum Corp. | 3,622 | 187 |
Kinder Morgan Inc. | 5,194 | 186 |
Valero Energy Corp. | 5,877 | 184 |
Noble Energy Inc. | 1,890 | 166 |
Hess Corp. | 3,236 | 164 |
* Cameron International Corp. | 2,618 | 143 |
Chesapeake Energy Corp. | 7,041 | 136 |
Pioneer Natural Resources Co. | 1,308 | 127 |
* FMC Technologies Inc. | 2,543 | 119 |
* Southwestern Energy Co. | 3,714 | 116 |
Range Resources Corp. | 1,727 | 113 |
Murphy Oil Corp. | 2,068 | 106 |
* Concho Resources Inc. | 1,111 | 100 |
Cabot Oil & Gas Corp. | 2,231 | 92 |
HollyFrontier Corp. | 2,202 | 89 |
EQT Corp. | 1,400 | 76 |
CONSOL Energy Inc. | 2,428 | 73 |
* Denbury Resources Inc. | 4,178 | 65 |
Peabody Energy Corp. | 2,913 | 63 |
Oceaneering International Inc. | 1,143 | 61 |
Tesoro Corp. | 1,493 | 59 |
* Whiting Petroleum Corp. | 1,251 | 56 |
QEP Resources Inc. | 1,893 | 54 |
* Plains Exploration & Production Co. | 1,367 | 54 |
Sunoco Inc. | 1,111 | 52 |
Cimarex Energy Co. | 911 | 52 |
Diamond Offshore Drilling Inc. | 736 | 49 |
* Newfield Exploration Co. | 1,447 | 47 |
Helmerich & Payne Inc. | 1,026 | 47 |
* Rowan Cos. plc Class A | 1,329 | 47 |
* Nabors Industries Ltd. | 3,109 | 46 |
* Oil States International Inc. | 577 | 45 |
* Cobalt International Energy Inc. | 1,972 | 45 |
* Dresser-Rand Group Inc. | 799 | 40 |
Energen Corp. | 763 | 39 |
* Superior Energy Services Inc. | 1,671 | 35 |
* SandRidge Energy Inc. | 5,202 | 34 |
* Cheniere Energy Inc. | 2,311 | 34 |
* Continental Resources Inc. | 452 | 33 |
* Ultra Petroleum Corp. | 1,624 | 33 |
* WPX Energy Inc. | 2,122 | 33 |
SM Energy Co. | 688 | 32 |
* Dril-Quip Inc. | 421 | 29 |
World Fuel Services Corp. | 778 | 29 |
* Atwood Oceanics Inc. | 617 | 29 |
* McDermott International Inc. | 2,546 | 28 |
Energy XXI Bermuda Ltd. | 823 | 27 |
Tidewater Inc. | 556 | 26 |
Patterson-UTI Energy Inc. | 1,655 | 25 |
* Kodiak Oil & Gas Corp. | 2,781 | 25 |
* Oasis Petroleum Inc. | 835 | 24 |
* Rosetta Resources Inc. | 553 | 24 |
* Unit Corp. | 510 | 20 |
Berry Petroleum Co. Class A | 550 | 20 |
10
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* SEACOR Holdings Inc. | 230 | 20 |
* Helix Energy Solutions Group Inc. | 1,112 | 20 |
Lufkin Industries Inc. | 357 | 19 |
Golar LNG Ltd. | 462 | 18 |
Bristow Group Inc. | 372 | 17 |
Western Refining Inc. | 605 | 17 |
* Gulfport Energy Corp. | 590 | 16 |
* SemGroup Corp. Class A | 430 | 15 |
CARBO Ceramics Inc. | 214 | 15 |
* Hornbeck Offshore Services Inc. | 363 | 14 |
* Alpha Natural Resources Inc. | 2,342 | 14 |
Targa Resources Corp. | 302 | 14 |
Arch Coal Inc. | 2,194 | 13 |
* McMoRan Exploration Co. | 1,043 | 13 |
* Exterran Holdings Inc. | 701 | 13 |
* Key Energy Services Inc. | 1,605 | 13 |
* Stone Energy Corp. | 510 | 12 |
* Cloud Peak Energy Inc. | 668 | 12 |
Teekay Corp. | 392 | 12 |
* Bill Barrett Corp. | 519 | 11 |
* Northern Oil and Gas Inc. | 690 | 11 |
* Carrizo Oil & Gas Inc. | 426 | 11 |
* ION Geophysical Corp. | 1,480 | 10 |
* Gulfmark Offshore Inc. | 271 | 10 |
* C&J Energy Services Inc. | 457 | 9 |
* Approach Resources Inc. | 311 | 9 |
* Forest Oil Corp. | 1,196 | 9 |
* Halcon Resources Corp. | 1,148 | 9 |
* Clean Energy Fuels Corp. | 664 | 9 |
* PDC Energy Inc. | 307 | 9 |
EXCO Resources Inc. | 1,247 | 9 |
* Swift Energy Co. | 433 | 8 |
RPC Inc. | 656 | 8 |
* Comstock Resources Inc. | 485 | 8 |
Ship Finance International Ltd. | 491 | 8 |
* Contango Oil & Gas Co. | 131 | 7 |
* Hercules Offshore Inc. | 1,748 | 7 |
* Kosmos Energy Ltd. | 730 | 7 |
* Magnum Hunter Resources Corp. | 1,599 | 7 |
W&T Offshore Inc. | 386 | 7 |
Nordic American Tankers Ltd. | 555 | 7 |
* OYO Geospace Corp. | 69 | 6 |
* Newpark Resources Inc. | 883 | 6 |
* Forum Energy Technologies Inc. | 248 | 6 |
Crosstex Energy Inc. | 472 | 6 |
* TETRA Technologies Inc. | 900 | 6 |
* CVR Energy Inc. | 191 | 6 |
* Rex Energy Corp. | 454 | 6 |
* Parker Drilling Co. | 1,318 | 5 |
* Energy Partners Ltd. | 301 | 5 |
* Rentech Inc. | 2,344 | 5 |
* Laredo Petroleum Holdings Inc. | 226 | 5 |
Delek US Holdings Inc. | 186 | 5 |
* Pioneer Energy Services Corp. | 624 | 5 |
* Endeavour International Corp. | 522 | 4 |
* Solazyme Inc. | 367 | 4 |
* Resolute Energy Corp. | 484 | 4 |
* PHI Inc. | 157 | 4 |
* Vaalco Energy Inc. | 583 | 4 |
Gulf Island Fabrication Inc. | 166 | 4 |
* FX Energy Inc. | 547 | 4 |
* Quicksilver Resources Inc. | 1,173 | 4 |
* Goodrich Petroleum Corp. | 303 | 4 |
* Basic Energy Services Inc. | 333 | 4 |
11
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Heckmann Corp. | 1,352 | 4 |
* Petroquest Energy Inc. | 557 | 4 |
* Harvest Natural Resources Inc. | 410 | 4 |
* Tesco Corp. | 344 | 3 |
* Clayton Williams Energy Inc. | 71 | 3 |
* Triangle Petroleum Corp. | 483 | 3 |
* Venoco Inc. | 295 | 3 |
* Matrix Service Co. | 256 | 3 |
Penn Virginia Corp. | 479 | 3 |
* Vantage Drilling Co. | 1,798 | 3 |
* Warren Resources Inc. | 905 | 3 |
* Bonanza Creek Energy Inc. | 124 | 2 |
Panhandle Oil and Gas Inc. Class A | 83 | 2 |
Teekay Tankers Ltd. Class A | 592 | 2 |
* GasLog Ltd. | 211 | 2 |
* BPZ Resources Inc. | 981 | 2 |
* Uranium Energy Corp. | 869 | 2 |
* Callon Petroleum Co. | 387 | 2 |
* Natural Gas Services Group Inc. | 153 | 2 |
* Willbros Group Inc. | 423 | 2 |
* Sanchez Energy Corp. | 107 | 2 |
* Mitcham Industries Inc. | 132 | 2 |
* Scorpio Tankers Inc. | 373 | 2 |
* RigNet Inc. | 111 | 2 |
* Dawson Geophysical Co. | 91 | 2 |
* Miller Energy Resources Inc. | 418 | 2 |
* Abraxas Petroleum Corp. | 919 | 2 |
* Matador Resources Co. | 183 | 2 |
* KiOR Inc. | 237 | 2 |
* Midstates Petroleum Co. Inc. | 216 | 2 |
* Evolution Petroleum Corp. | 213 | 2 |
Frontline Ltd. | 515 | 2 |
Apco Oil and Gas International Inc. | 100 | 2 |
* Gevo Inc. | 441 | 2 |
* Cal Dive International Inc. | 1,037 | 2 |
Knightsbridge Tankers Ltd. | 241 | 2 |
Overseas Shipholding Group Inc. | 257 | 2 |
* Isramco Inc. | 15 | 2 |
* Uranerz Energy Corp. | 986 | 1 |
* Global Geophysical Services Inc. | 268 | 1 |
Alon USA Energy Inc. | 88 | 1 |
* Amyris Inc. | 366 | 1 |
Bolt Technology Corp. | 77 | 1 |
* Westmoreland Coal Co. | 129 | 1 |
* Synergy Resources Corp. | 351 | 1 |
* CREDO Petroleum Corp. | 62 | 1 |
* REX American Resources Corp. | 50 | 1 |
* Saratoga Resources Inc. | 163 | 1 |
* TGC Industries Inc. | 131 | 1 |
* Green Plains Renewable Energy Inc. | 161 | 1 |
* Gastar Exploration Ltd. | 421 | 1 |
* ZaZa Energy Corp. | 223 | 1 |
Adams Resources & Energy Inc. | 19 | 1 |
* Crimson Exploration Inc. | 138 | 1 |
* Forbes Energy Services Ltd. | 133 | — |
* Voyager Oil & Gas Inc. | 212 | — |
* Union Drilling Inc. | 60 | — |
* Ceres Inc. | 37 | — |
* Renewable Energy Group Inc. | 47 | — |
Hallador Energy Co. | 20 | — |
* Magnum Hunter Resources Corp. Warrants Exp. 10/14/2013 | 45 | — |
16,619 | ||
Financials (15.9%) | ||
Wells Fargo & Co. | 52,079 | 1,772 |
12
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Berkshire Hathaway Inc. Class B | 18,930 | 1,597 |
JPMorgan Chase & Co. | 40,464 | 1,503 |
Citigroup Inc. | 31,168 | 926 |
Bank of America Corp. | 114,552 | 915 |
US Bancorp | 20,135 | 673 |
American Express Co. | 10,644 | 621 |
Goldman Sachs Group Inc. | 5,229 | 553 |
Simon Property Group Inc. | 3,223 | 511 |
PNC Financial Services Group Inc. | 5,621 | 349 |
Capital One Financial Corp. | 6,169 | 349 |
MetLife Inc. | 9,043 | 309 |
American Tower Corporation | 4,195 | 295 |
Bank of New York Mellon Corp. | 12,679 | 286 |
Prudential Financial Inc. | 4,966 | 271 |
Travelers Cos. Inc. | 4,136 | 268 |
ACE Ltd. | 3,601 | 265 |
Morgan Stanley | 16,377 | 246 |
BlackRock Inc. | 1,354 | 239 |
* American International Group Inc. | 6,853 | 235 |
BB&T Corp. | 7,427 | 234 |
Aflac Inc. | 4,971 | 230 |
Public Storage | 1,517 | 221 |
Discover Financial Services | 5,638 | 218 |
State Street Corp. | 5,194 | 216 |
Chubb Corp. | 2,870 | 212 |
HCP Inc. | 4,460 | 205 |
Ventas Inc. | 3,073 | 201 |
Marsh & McLennan Cos. Inc. | 5,807 | 198 |
Allstate Corp. | 5,215 | 194 |
CME Group Inc. | 3,533 | 194 |
Equity Residential | 3,196 | 193 |
Aon plc | 3,470 | 180 |
Annaly Capital Management Inc. | 10,360 | 179 |
Boston Properties Inc. | 1,593 | 179 |
Franklin Resources Inc. | 1,480 | 174 |
Prologis Inc. | 4,894 | 167 |
T. Rowe Price Group Inc. | 2,712 | 167 |
Vornado Realty Trust | 1,974 | 160 |
Charles Schwab Corp. | 11,421 | 154 |
Fifth Third Bancorp | 9,780 | 148 |
SunTrust Banks Inc. | 5,721 | 144 |
AvalonBay Communities Inc. | 1,014 | 143 |
Weyerhaeuser Co. | 5,713 | 142 |
Health Care REIT Inc. | 2,429 | 142 |
Loews Corp. | 3,316 | 135 |
Ameriprise Financial Inc. | 2,324 | 128 |
Progressive Corp. | 6,497 | 127 |
American Capital Agency Corp. | 3,632 | 127 |
M&T Bank Corp. | 1,347 | 117 |
Host Hotels & Resorts Inc. | 7,647 | 117 |
General Growth Properties Inc. | 5,617 | 116 |
Invesco Ltd. | 4,770 | 113 |
Northern Trust Corp. | 2,297 | 107 |
* IntercontinentalExchange Inc. | 777 | 106 |
Regions Financial Corp. | 15,044 | 105 |
Digital Realty Trust Inc. | 1,295 | 96 |
Kimco Realty Corp. | 4,332 | 88 |
Principal Financial Group Inc. | 3,196 | 88 |
KeyCorp | 10,150 | 86 |
Macerich Co. | 1,404 | 84 |
Hartford Financial Services Group Inc. | 4,663 | 84 |
Moody's Corp. | 2,093 | 83 |
SLM Corp. | 5,199 | 82 |
* CIT Group Inc. | 2,126 | 80 |
13
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
SL Green Realty Corp. | 953 | 77 |
XL Group plc Class A | 3,314 | 77 |
Federal Realty Investment Trust | 683 | 74 |
Plum Creek Timber Co. Inc. | 1,725 | 71 |
Lincoln National Corp. | 3,037 | 71 |
NYSE Euronext | 2,714 | 68 |
UDR Inc. | 2,643 | 67 |
Comerica Inc. | 2,103 | 65 |
Rayonier Inc. | 1,311 | 64 |
* Affiliated Managers Group Inc. | 542 | 64 |
New York Community Bancorp Inc. | 4,703 | 62 |
* Alleghany Corp. | 180 | 61 |
Huntington Bancshares Inc. | 9,118 | 60 |
* CBRE Group Inc. Class A | 3,462 | 60 |
Cincinnati Financial Corp. | 1,541 | 60 |
Realty Income Corp. | 1,409 | 59 |
Camden Property Trust | 850 | 59 |
Unum Group | 3,018 | 59 |
Everest Re Group Ltd. | 558 | 58 |
* Arch Capital Group Ltd. | 1,434 | 57 |
Essex Property Trust Inc. | 374 | 57 |
Torchmark Corp. | 1,047 | 54 |
PartnerRe Ltd. | 688 | 50 |
Taubman Centers Inc. | 628 | 50 |
Alexandria Real Estate Equities Inc. | 664 | 49 |
Regency Centers Corp. | 963 | 47 |
* MSCI Inc. Class A | 1,305 | 46 |
People's United Financial Inc. | 3,817 | 46 |
Reinsurance Group of America Inc. Class A | 775 | 46 |
Arthur J Gallagher & Co. | 1,271 | 45 |
American Campus Communities Inc. | 973 | 45 |
Leucadia National Corp. | 2,115 | 45 |
Ares Capital Corp. | 2,610 | 45 |
Fidelity National Financial Inc. Class A | 2,389 | 45 |
* Markel Corp. | 103 | 45 |
WR Berkley Corp. | 1,192 | 45 |
RenaissanceRe Holdings Ltd. | 546 | 42 |
Raymond James Financial Inc. | 1,198 | 42 |
TD Ameritrade Holding Corp. | 2,448 | 42 |
Senior Housing Properties Trust | 1,878 | 42 |
Duke Realty Corp. | 2,807 | 41 |
Apartment Investment & Management Co. Class A | 1,529 | 40 |
BRE Properties Inc. | 809 | 40 |
Liberty Property Trust | 1,093 | 40 |
Hudson City Bancorp Inc. | 5,602 | 40 |
Axis Capital Holdings Ltd. | 1,157 | 39 |
* American Capital Ltd. | 3,514 | 39 |
DDR Corp. | 2,500 | 38 |
Zions Bancorporation | 1,952 | 38 |
Extra Space Storage Inc. | 1,101 | 38 |
Kilroy Realty Corp. | 786 | 37 |
Legg Mason Inc. | 1,493 | 37 |
Weingarten Realty Investors | 1,286 | 36 |
HCC Insurance Holdings Inc. | 1,077 | 36 |
Douglas Emmett Inc. | 1,482 | 36 |
First Republic Bank | 1,084 | 35 |
National Retail Properties Inc. | 1,138 | 35 |
Two Harbors Investment Corp. | 3,005 | 35 |
Lazard Ltd. Class A | 1,218 | 35 |
American Financial Group Inc. | 910 | 34 |
CBL & Associates Properties Inc. | 1,588 | 34 |
Jones Lang LaSalle Inc. | 469 | 34 |
East West Bancorp Inc. | 1,541 | 34 |
Validus Holdings Ltd. | 1,002 | 34 |
14
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Signature Bank | 519 | 34 |
Eaton Vance Corp. | 1,234 | 33 |
White Mountains Insurance Group Ltd. | 64 | 33 |
Tanger Factory Outlet Centers | 989 | 33 |
Home Properties Inc. | 519 | 33 |
Brown & Brown Inc. | 1,249 | 33 |
Commerce Bancshares Inc. | 804 | 32 |
SEI Investments Co. | 1,469 | 32 |
Hospitality Properties Trust | 1,321 | 32 |
Cullen/Frost Bankers Inc. | 570 | 32 |
MFA Financial Inc. | 3,826 | 31 |
Piedmont Office Realty Trust Inc. Class A | 1,846 | 31 |
Allied World Assurance Co. Holdings AG | 390 | 31 |
BioMed Realty Trust Inc. | 1,652 | 31 |
Equity Lifestyle Properties Inc. | 444 | 31 |
Assurant Inc. | 853 | 30 |
First Niagara Financial Group Inc. | 3,799 | 30 |
Post Properties Inc. | 582 | 30 |
Hatteras Financial Corp. | 1,023 | 30 |
Mid-America Apartment Communities Inc. | 428 | 29 |
* Ocwen Financial Corp. | 1,123 | 29 |
Starwood Property Trust Inc. | 1,217 | 29 |
ProAssurance Corp. | 321 | 29 |
NASDAQ OMX Group Inc. | 1,222 | 28 |
Waddell & Reed Financial Inc. Class A | 935 | 28 |
Omega Healthcare Investors Inc. | 1,143 | 27 |
* Genworth Financial Inc. Class A | 5,187 | 27 |
Chimera Investment Corp. | 10,742 | 27 |
CBOE Holdings Inc. | 946 | 27 |
* SVB Financial Group | 463 | 27 |
* E*TRADE Financial Corp. | 3,093 | 27 |
Highwoods Properties Inc. | 777 | 25 |
CYS Investments Inc. | 1,758 | 25 |
City National Corp. | 487 | 25 |
LaSalle Hotel Properties | 910 | 25 |
Invesco Mortgage Capital Inc. | 1,207 | 25 |
Mack-Cali Realty Corp. | 924 | 25 |
Protective Life Corp. | 846 | 24 |
Assured Guaranty Ltd. | 1,804 | 24 |
First Horizon National Corp. | 2,649 | 24 |
Hancock Holding Co. | 797 | 24 |
Associated Banc-Corp | 1,818 | 24 |
Old Republic International Corp. | 2,712 | 23 |
ARMOUR Residential REIT Inc. | 3,131 | 23 |
* Forest City Enterprises Inc. Class A | 1,525 | 23 |
Jefferies Group Inc. | 1,528 | 22 |
Entertainment Properties Trust | 492 | 22 |
Bank of Hawaii Corp. | 478 | 22 |
Aspen Insurance Holdings Ltd. | 751 | 22 |
First American Financial Corp. | 1,118 | 22 |
Susquehanna Bancshares Inc. | 2,034 | 21 |
Prosperity Bancshares Inc. | 500 | 21 |
Capitol Federal Financial Inc. | 1,759 | 21 |
Valley National Bancorp | 2,140 | 21 |
Alterra Capital Holdings Ltd. | 901 | 21 |
Fulton Financial Corp. | 2,114 | 21 |
Federated Investors Inc. Class B | 968 | 21 |
Colonial Properties Trust | 927 | 20 |
RLJ Lodging Trust | 1,130 | 20 |
Healthcare Realty Trust Inc. | 825 | 20 |
CNO Financial Group Inc. | 2,235 | 20 |
American Realty Capital Trust Inc. | 1,678 | 20 |
* Texas Capital Bancshares Inc. | 430 | 20 |
DiamondRock Hospitality Co. | 2,028 | 20 |
15
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
TCF Financial Corp. | 1,722 | 19 |
* Howard Hughes Corp. | 291 | 19 |
Washington REIT | 702 | 19 |
* Stifel Financial Corp. | 576 | 19 |
Brandywine Realty Trust | 1,537 | 19 |
Prospect Capital Corp. | 1,607 | 18 |
FirstMerit Corp. | 1,168 | 18 |
Washington Federal Inc. | 1,132 | 18 |
DuPont Fabros Technology Inc. | 652 | 18 |
Endurance Specialty Holdings Ltd. | 470 | 18 |
Synovus Financial Corp. | 8,490 | 18 |
Erie Indemnity Co. Class A | 276 | 18 |
Sovran Self Storage Inc. | 309 | 18 |
* Popular Inc. | 1,106 | 18 |
Hanover Insurance Group Inc. | 487 | 17 |
Corporate Office Properties Trust | 775 | 17 |
Apollo Investment Corp. | 2,160 | 17 |
CubeSmart | 1,333 | 17 |
CapitalSource Inc. | 2,470 | 17 |
UMB Financial Corp. | 349 | 17 |
Janus Capital Group Inc. | 1,948 | 17 |
DCT Industrial Trust Inc. | 2,663 | 17 |
Webster Financial Corp. | 779 | 17 |
EastGroup Properties Inc. | 309 | 17 |
* MBIA Inc. | 1,516 | 16 |
Trustmark Corp. | 696 | 16 |
FNB Corp. | 1,491 | 16 |
BOK Financial Corp. | 280 | 16 |
Glimcher Realty Trust | 1,525 | 16 |
Potlatch Corp. | 442 | 16 |
Kemper Corp. | 514 | 16 |
* Sunstone Hotel Investors Inc. | 1,496 | 16 |
LPL Financial Holdings Inc. | 544 | 16 |
Iberiabank Corp. | 324 | 15 |
Umpqua Holdings Corp. | 1,190 | 15 |
Capstead Mortgage Corp. | 1,039 | 15 |
Wintrust Financial Corp. | 398 | 15 |
StanCorp Financial Group Inc. | 471 | 15 |
Platinum Underwriters Holdings Ltd. | 370 | 15 |
Medical Properties Trust Inc. | 1,392 | 14 |
BancorpSouth Inc. | 971 | 14 |
Primerica Inc. | 490 | 14 |
Westamerica Bancorporation | 304 | 14 |
Pebblebrook Hotel Trust | 595 | 14 |
* First Cash Financial Services Inc. | 313 | 14 |
Greenhill & Co. Inc. | 318 | 14 |
RLI Corp. | 218 | 14 |
Education Realty Trust Inc. | 1,190 | 14 |
CommonWealth REIT | 915 | 14 |
PS Business Parks Inc. | 198 | 13 |
* St. Joe Co. | 700 | 13 |
Cathay General Bancorp | 819 | 13 |
Old National Bancorp | 1,013 | 13 |
PennyMac Mortgage Investment Trust | 620 | 13 |
National Health Investors Inc. | 254 | 13 |
Sun Communities Inc. | 283 | 13 |
* Alexander & Baldwin Inc. | 436 | 13 |
United Bankshares Inc. | 527 | 13 |
MarketAxess Holdings Inc. | 393 | 13 |
Acadia Realty Trust | 509 | 13 |
Northwest Bancshares Inc. | 1,046 | 13 |
Redwood Trust Inc. | 859 | 12 |
Equity One Inc. | 577 | 12 |
Lexington Realty Trust | 1,297 | 12 |
16
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* First Industrial Realty Trust Inc. | 939 | 12 |
Glacier Bancorp Inc. | 778 | 12 |
National Penn Bancshares Inc. | 1,331 | 12 |
First Financial Bankshares Inc. | 340 | 12 |
Cash America International Inc. | 304 | 12 |
MB Financial Inc. | 577 | 12 |
Montpelier Re Holdings Ltd. | 543 | 12 |
Community Bank System Inc. | 417 | 12 |
CVB Financial Corp. | 973 | 12 |
* Ezcorp Inc. Class A | 511 | 12 |
* Strategic Hotels & Resorts Inc. | 1,871 | 11 |
Mercury General Corp. | 293 | 11 |
LTC Properties Inc. | 331 | 11 |
* Financial Engines Inc. | 513 | 11 |
* PHH Corp. | 624 | 11 |
PrivateBancorp Inc. Class A | 667 | 11 |
International Bancshares Corp. | 585 | 11 |
* BBCN Bancorp Inc. | 846 | 11 |
Selective Insurance Group Inc. | 590 | 11 |
First Financial Bancorp | 647 | 11 |
Symetra Financial Corp. | 860 | 11 |
Bank of the Ozarks Inc. | 319 | 10 |
Anworth Mortgage Asset Corp. | 1,478 | 10 |
Alexander's Inc. | 22 | 10 |
American Assets Trust Inc. | 362 | 10 |
Retail Properties of America Inc. | 866 | 10 |
Solar Capital Ltd. | 416 | 10 |
Provident Financial Services Inc. | 608 | 9 |
Hersha Hospitality Trust Class A | 1,876 | 9 |
First Citizens BancShares Inc. Class A | 56 | 9 |
Government Properties Income Trust | 407 | 9 |
American Capital Mortgage Investment Corp. | 367 | 9 |
First Midwest Bancorp Inc. | 760 | 9 |
Fifth Street Finance Corp. | 852 | 9 |
Pennsylvania REIT | 568 | 9 |
Astoria Financial Corp. | 882 | 9 |
BankUnited Inc. | 351 | 9 |
* Citizens Republic Bancorp Inc. | 416 | 9 |
Walter Investment Management Corp. | 300 | 8 |
* DFC Global Corp. | 445 | 8 |
* Investors Bancorp Inc. | 481 | 8 |
* World Acceptance Corp. | 113 | 8 |
NorthStar Realty Finance Corp. | 1,380 | 8 |
Franklin Street Properties Corp. | 728 | 8 |
Argo Group International Holdings Ltd. | 273 | 8 |
* Enstar Group Ltd. | 87 | 8 |
Sabra Health Care REIT Inc. | 414 | 8 |
* Credit Acceptance Corp. | 79 | 8 |
Park National Corp. | 115 | 8 |
Associated Estates Realty Corp. | 509 | 8 |
CreXus Investment Corp. | 748 | 8 |
Boston Private Financial Holdings Inc. | 808 | 8 |
Cousins Properties Inc. | 958 | 8 |
First Commonwealth Financial Corp. | 1,098 | 8 |
Main Street Capital Corp. | 287 | 8 |
Home BancShares Inc. | 241 | 8 |
NBT Bancorp Inc. | 361 | 8 |
BlackRock Kelso Capital Corp. | 765 | 8 |
Investors Real Estate Trust | 899 | 8 |
Evercore Partners Inc. Class A | 303 | 7 |
Infinity Property & Casualty Corp. | 133 | 7 |
PacWest Bancorp | 314 | 7 |
Columbia Banking System Inc. | 409 | 7 |
Horace Mann Educators Corp. | 415 | 7 |
17
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* TFS Financial Corp. | 824 | 7 |
Amtrust Financial Services Inc. | 278 | 7 |
CNA Financial Corp. | 277 | 7 |
* Pinnacle Financial Partners Inc. | 377 | 7 |
American Equity Investment Life Holding Co. | 623 | 7 |
First Potomac Realty Trust | 562 | 7 |
Tower Group Inc. | 386 | 7 |
* Western Alliance Bancorp | 772 | 7 |
Colony Financial Inc. | 374 | 7 |
* Greenlight Capital Re Ltd. Class A | 295 | 7 |
Triangle Capital Corp. | 288 | 7 |
Oritani Financial Corp. | 482 | 7 |
Chemical Financial Corp. | 306 | 7 |
Hudson Pacific Properties Inc. | 394 | 7 |
Independent Bank Corp. | 239 | 7 |
Inland Real Estate Corp. | 844 | 7 |
SCBT Financial Corp. | 171 | 7 |
Chesapeake Lodging Trust | 364 | 7 |
Banco Latinoamericano de Comercio Exterior SA | 320 | 7 |
Cohen & Steers Inc. | 199 | 7 |
Retail Opportunity Investments Corp. | 528 | 7 |
* National Financial Partners Corp. | 447 | 7 |
Ramco-Gershenson Properties Trust | 495 | 6 |
* iStar Financial Inc. | 889 | 6 |
PennantPark Investment Corp. | 587 | 6 |
Employers Holdings Inc. | 349 | 6 |
ViewPoint Financial Group Inc. | 340 | 6 |
Brookline Bancorp Inc. | 721 | 6 |
Kennedy-Wilson Holdings Inc. | 442 | 6 |
Dynex Capital Inc. | 585 | 6 |
Interactive Brokers Group Inc. | 437 | 6 |
Hercules Technology Growth Capital Inc. | 529 | 6 |
* Nationstar Mortgage Holdings Inc. | 215 | 6 |
Nelnet Inc. Class A | 243 | 6 |
Sterling Financial Corp. | 270 | 6 |
Safety Insurance Group Inc. | 126 | 6 |
* FelCor Lodging Trust Inc. | 1,228 | 6 |
AG Mortgage Investment Trust Inc. | 239 | 6 |
Coresite Realty Corp. | 203 | 6 |
KBW Inc. | 358 | 5 |
* Navigators Group Inc. | 111 | 5 |
Apollo Residential Mortgage Inc. | 263 | 5 |
STAG Industrial Inc. | 348 | 5 |
Flushing Financial Corp. | 351 | 5 |
Community Trust Bancorp Inc. | 155 | 5 |
Flagstone Reinsurance Holdings SA | 623 | 5 |
Maiden Holdings Ltd. | 576 | 5 |
Monmouth Real Estate Investment Corp. Class A | 471 | 5 |
TrustCo Bank Corp. NY | 931 | 5 |
Renasant Corp. | 284 | 5 |
* AMERISAFE Inc. | 206 | 5 |
Getty Realty Corp. | 287 | 5 |
* Virtus Investment Partners Inc. | 60 | 5 |
* Forestar Group Inc. | 357 | 5 |
American National Insurance Co. | 72 | 5 |
* Hilltop Holdings Inc. | 454 | 5 |
State Bank Financial Corp. | 313 | 5 |
Universal Health Realty Income Trust | 117 | 5 |
Sandy Spring Bancorp Inc. | 274 | 5 |
Resource Capital Corp. | 840 | 5 |
City Holding Co. | 147 | 5 |
Ashford Hospitality Trust Inc. | 605 | 5 |
Banner Corp. | 207 | 5 |
* PICO Holdings Inc. | 228 | 5 |
18
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Oriental Financial Group Inc. | 464 | 5 |
Lakeland Financial Corp. | 185 | 5 |
Dime Community Bancshares Inc. | 350 | 5 |
S&T Bancorp Inc. | 281 | 5 |
Berkshire Hills Bancorp Inc. | 217 | 5 |
WesBanco Inc. | 237 | 5 |
BGC Partners Inc. Class A | 1,052 | 5 |
Tompkins Financial Corp. | 121 | 5 |
* Piper Jaffray Cos. | 189 | 5 |
Meadowbrook Insurance Group Inc. | 597 | 5 |
TowneBank | 306 | 5 |
Urstadt Biddle Properties Inc. Class A | 230 | 4 |
* Citizens Inc. | 459 | 4 |
TICC Capital Corp. | 428 | 4 |
* West Coast Bancorp | 223 | 4 |
Cardinal Financial Corp. | 343 | 4 |
Simmons First National Corp. Class A | 190 | 4 |
Excel Trust Inc. | 368 | 4 |
Radian Group Inc. | 1,280 | 4 |
United Fire Group Inc. | 194 | 4 |
MCG Capital Corp. | 923 | 4 |
Campus Crest Communities Inc. | 395 | 4 |
Washington Trust Bancorp Inc. | 172 | 4 |
* HFF Inc. Class A | 320 | 4 |
Stewart Information Services Corp. | 214 | 4 |
Duff & Phelps Corp. Class A | 319 | 4 |
* WisdomTree Investments Inc. | 671 | 4 |
* Hanmi Financial Corp. | 332 | 4 |
Provident New York Bancorp | 468 | 4 |
FBL Financial Group Inc. Class A | 117 | 4 |
* Wilshire Bancorp Inc. | 618 | 4 |
First Merchants Corp. | 270 | 4 |
WSFS Financial Corp. | 93 | 4 |
Sterling Bancorp | 375 | 4 |
MVC Capital Inc. | 292 | 4 |
Heartland Financial USA Inc. | 139 | 4 |
Southside Bancshares Inc. | 164 | 4 |
* Tejon Ranch Co. | 128 | 4 |
OneBeacon Insurance Group Ltd. Class A | 275 | 4 |
CapLease Inc. | 718 | 4 |
Apollo Commercial Real Estate Finance Inc. | 200 | 4 |
Rockville Financial Inc. | 287 | 3 |
Epoch Holding Corp. | 161 | 3 |
First Financial Corp. | 111 | 3 |
* Taylor Capital Group Inc. | 200 | 3 |
Great Southern Bancorp Inc. | 114 | 3 |
Winthrop Realty Trust | 294 | 3 |
First Busey Corp. | 692 | 3 |
Presidential Life Corp. | 235 | 3 |
German American Bancorp Inc. | 141 | 3 |
* ICG Group Inc. | 353 | 3 |
1st Source Corp. | 141 | 3 |
* United Community Banks Inc. | 399 | 3 |
Cedar Realty Trust Inc. | 577 | 3 |
* eHealth Inc. | 191 | 3 |
* Safeguard Scientifics Inc. | 203 | 3 |
Camden National Corp. | 83 | 3 |
* NewStar Financial Inc. | 259 | 3 |
* Investment Technology Group Inc. | 360 | 3 |
GAMCO Investors Inc. | 67 | 3 |
Saul Centers Inc. | 70 | 3 |
Rouse Properties Inc. | 217 | 3 |
Bancfirst Corp. | 72 | 3 |
Agree Realty Corp. | 120 | 3 |
19
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Netspend Holdings Inc. | 312 | 3 |
StellarOne Corp. | 223 | 3 |
* Ameris Bancorp | 247 | 3 |
* Eagle Bancorp Inc. | 172 | 3 |
National Western Life Insurance Co. Class A | 21 | 3 |
Kite Realty Group Trust | 564 | 3 |
* Knight Capital Group Inc. Class A | 1,040 | 3 |
Territorial Bancorp Inc. | 123 | 3 |
* Beneficial Mutual Bancorp Inc. | 321 | 3 |
Medley Capital Corp. | 216 | 3 |
Capital Southwest Corp. | 27 | 3 |
Bryn Mawr Bank Corp. | 128 | 3 |
Centerstate Banks Inc. | 341 | 3 |
SY Bancorp Inc. | 119 | 3 |
* Bancorp Inc. | 287 | 3 |
CoBiz Financial Inc. | 389 | 3 |
Univest Corp. of Pennsylvania | 167 | 3 |
Northfield Bancorp Inc. | 180 | 3 |
* Central Pacific Financial Corp. | 194 | 3 |
Union First Market Bankshares Corp. | 182 | 3 |
Summit Hotel Properties Inc. | 313 | 3 |
First Community Bancshares Inc. | 179 | 3 |
* Southwest Bancorp Inc. | 239 | 3 |
Lakeland Bancorp Inc. | 259 | 3 |
Hudson Valley Holding Corp. | 155 | 3 |
* INTL. FCStone Inc. | 144 | 3 |
First Connecticut Bancorp Inc. | 200 | 3 |
* Green Dot Corp. Class A | 225 | 3 |
Financial Institutions Inc. | 147 | 3 |
Westwood Holdings Group Inc. | 70 | 3 |
Citizens & Northern Corp. | 134 | 3 |
Trico Bancshares | 167 | 3 |
* Franklin Financial Corp. | 154 | 3 |
Peoples Bancorp Inc. | 116 | 3 |
National Bankshares Inc. | 79 | 3 |
RAIT Financial Trust | 532 | 2 |
Arrow Financial Corp. | 102 | 2 |
One Liberty Properties Inc. | 130 | 2 |
United Financial Bancorp Inc. | 174 | 2 |
Republic Bancorp Inc. Class A | 110 | 2 |
First Interstate Bancsystem Inc. | 173 | 2 |
Home Loan Servicing Solutions Ltd. | 158 | 2 |
Bank of Marin Bancorp | 63 | 2 |
* BofI Holding Inc. | 104 | 2 |
First Financial Holdings Inc. | 191 | 2 |
* OmniAmerican Bancorp Inc. | 111 | 2 |
* Global Indemnity plc | 121 | 2 |
Westfield Financial Inc. | 333 | 2 |
* First BanCorp | 631 | 2 |
FXCM Inc. Class A | 275 | 2 |
Heritage Financial Corp. | 172 | 2 |
MainSource Financial Group Inc. | 199 | 2 |
SeaBright Holdings Inc. | 218 | 2 |
Calamos Asset Management Inc. Class A | 215 | 2 |
EverBank Financial Corp. | 201 | 2 |
Gladstone Commercial Corp. | 132 | 2 |
Gladstone Capital Corp. | 273 | 2 |
OceanFirst Financial Corp. | 165 | 2 |
Enterprise Financial Services Corp. | 185 | 2 |
Washington Banking Co. | 166 | 2 |
* Cowen Group Inc. Class A | 866 | 2 |
Bank Mutual Corp. | 514 | 2 |
Federal Agricultural Mortgage Corp. | 90 | 2 |
State Auto Financial Corp. | 158 | 2 |
20
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Fox Chase Bancorp Inc. | 147 | 2 |
First of Long Island Corp. | 74 | 2 |
* MGIC Investment Corp. | 1,866 | 2 |
CNB Financial Corp. | 132 | 2 |
Alliance Financial Corp. | 59 | 2 |
Baldwin & Lyons Inc. | 96 | 2 |
NGP Capital Resources Co. | 287 | 2 |
GFI Group Inc. | 763 | 2 |
Penns Woods Bancorp Inc. | 53 | 2 |
West Bancorporation Inc. | 208 | 2 |
First Bancorp | 212 | 2 |
* Virginia Commerce Bancorp Inc. | 260 | 2 |
* Walker & Dunlop Inc. | 159 | 2 |
Chatham Lodging Trust | 149 | 2 |
New York Mortgage Trust Inc. | 302 | 2 |
* American Safety Insurance Holdings Ltd. | 120 | 2 |
* Phoenix Cos. Inc. | 67 | 2 |
Select Income REIT | 83 | 2 |
* Metro Bancorp Inc. | 164 | 2 |
Medallion Financial Corp. | 180 | 2 |
* HomeStreet Inc. | 57 | 2 |
Home Federal Bancorp Inc. | 190 | 2 |
ESB Financial Corp. | 146 | 2 |
Edelman Financial Group Inc. | 226 | 2 |
KCAP Financial Inc. | 230 | 2 |
* 1st United Bancorp Inc. | 327 | 2 |
* Pacific Capital Bancorp | 43 | 2 |
Merchants Bancshares Inc. | 70 | 2 |
Ames National Corp. | 93 | 2 |
National Interstate Corp. | 78 | 2 |
Mission West Properties Inc. | 213 | 2 |
Gladstone Investment Corp. | 252 | 2 |
Diamond Hill Investment Group Inc. | 26 | 2 |
Golub Capital BDC Inc. | 122 | 2 |
* SWS Group Inc. | 316 | 2 |
THL Credit Inc. | 135 | 2 |
BankFinancial Corp. | 244 | 2 |
First Bancorp Inc. | 113 | 2 |
Pacific Continental Corp. | 205 | 2 |
Terreno Realty Corp. | 122 | 2 |
Fidus Investment Corp. | 112 | 2 |
Kearny Financial Corp. | 188 | 2 |
Center Bancorp Inc. | 158 | 2 |
Parkway Properties Inc. | 155 | 2 |
Consolidated-Tomoka Land Co. | 62 | 2 |
* AV Homes Inc. | 121 | 2 |
Manning & Napier Inc. | 150 | 2 |
* Ladenburg Thalmann Financial Services Inc. | 1,283 | 2 |
UMH Properties Inc. | 158 | 2 |
Sierra Bancorp | 163 | 2 |
* Heritage Commerce Corp. | 267 | 2 |
First Defiance Financial Corp. | 106 | 2 |
Arlington Asset Investment Corp. Class A | 76 | 2 |
Nicholas Financial Inc. | 126 | 2 |
Bank of Kentucky Financial Corp. | 70 | 2 |
Crawford & Co. Class B | 381 | 2 |
* Park Sterling Corp. | 354 | 2 |
* Bridge Capital Holdings | 112 | 2 |
Bridge Bancorp Inc. | 82 | 2 |
Oppenheimer Holdings Inc. Class A | 111 | 2 |
Thomas Properties Group Inc. | 289 | 2 |
Solar Senior Capital Ltd. | 90 | 2 |
New Mountain Finance Corp. | 107 | 2 |
American National Bankshares Inc. | 71 | 2 |
21
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
First Pactrust Bancorp Inc. | 130 | 2 |
Hampton Roads Bankshares Inc. | 780 | 2 |
Western Asset Mortgage Capital Corp. | 72 | 2 |
* Doral Financial Corp. | 1,395 | 2 |
* GSV Capital Corp. | 174 | 1 |
* MetroCorp Bancshares Inc. | 142 | 1 |
Whitestone REIT | 113 | 1 |
* Cape Bancorp Inc. | 161 | 1 |
* Seacoast Banking Corp. of Florida | 992 | 1 |
* Hallmark Financial Services | 182 | 1 |
Enterprise Bancorp Inc. | 91 | 1 |
* First California Financial Group Inc. | 202 | 1 |
MidSouth Bancorp Inc. | 107 | 1 |
* Preferred Bank | 106 | 1 |
Donegal Group Inc. Class A | 95 | 1 |
* Guaranty Bancorp | 683 | 1 |
* Sun Bancorp Inc. | 468 | 1 |
MidWestOne Financial Group Inc. | 61 | 1 |
* Mercantile Bank Corp. | 78 | 1 |
* Harris & Harris Group Inc. | 360 | 1 |
Homeowners Choice Inc. | 65 | 1 |
EMC Insurance Group Inc. | 66 | 1 |
* Zillow Inc. Class A | 31 | 1 |
Kaiser Federal Financial Group Inc. | 82 | 1 |
Bar Harbor Bankshares | 35 | 1 |
* Firsthand Technology Value Fund Inc. | 77 | 1 |
* Gyrodyne Co. of America Inc. | 11 | 1 |
Roma Financial Corp. | 130 | 1 |
Clifton Savings Bancorp Inc. | 125 | 1 |
Northrim BanCorp Inc. | 58 | 1 |
Peapack Gladstone Financial Corp. | 80 | 1 |
Ares Commercial Real Estate Corp. | 70 | 1 |
Provident Financial Holdings Inc. | 88 | 1 |
* FBR & Co. | 375 | 1 |
C&F Financial Corp. | 29 | 1 |
* Suffolk Bancorp | 73 | 1 |
* Gramercy Capital Corp. | 412 | 1 |
* FNB United Corp. | 90 | 1 |
SI Financial Group Inc. | 95 | 1 |
* First Financial Northwest Inc. | 144 | 1 |
Kansas City Life Insurance Co. | 30 | 1 |
Heritage Financial Group Inc. | 78 | 1 |
* Home Bancorp Inc. | 62 | 1 |
* Heritage Oaks Bancorp | 181 | 1 |
Farmers National Banc Corp. | 169 | 1 |
Marlin Business Services Corp. | 62 | 1 |
Eastern Insurance Holdings Inc. | 60 | 1 |
Horizon Technology Finance Corp. | 57 | 1 |
* Meridian Interstate Bancorp Inc. | 64 | 1 |
* BSB Bancorp Inc. | 74 | 1 |
Access National Corp. | 67 | 1 |
Horizon Bancorp | 34 | 1 |
Peoples Federal Bancshares Inc. | 55 | 1 |
* Tree.com Inc. | 55 | 1 |
Middleburg Financial Corp. | 49 | 1 |
TCP Capital Corp. | 52 | 1 |
ESSA Bancorp Inc. | 78 | 1 |
Century Bancorp Inc. Class A | 25 | 1 |
Fidelity Southern Corp. | 86 | 1 |
Investors Title Co. | 12 | 1 |
* NASB Financial Inc. | 38 | 1 |
Hingham Institution for Savings | 12 | 1 |
* Regional Management Corp. | 44 | 1 |
Capital City Bank Group Inc. | 82 | 1 |
22
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Artio Global Investors Inc. Class A | 228 | 1 |
Resource America Inc. Class A | 108 | 1 |
MicroFinancial Inc. | 76 | 1 |
* Pacific Mercantile Bancorp | 96 | 1 |
JMP Group Inc. | 115 | 1 |
* CIFC Corp. | 64 | — |
Independence Holding Co. | 41 | — |
Charter Financial Corp. | 37 | — |
* Berkshire Bancorp Inc. | 39 | — |
* Waterstone Financial Inc. | 66 | — |
* First Federal Bancshares of Arkansas Inc. | 32 | — |
* Fortegra Financial Corp. | 33 | — |
* First Marblehead Corp. | 194 | — |
Gain Capital Holdings Inc. | 48 | — |
Universal Insurance Holdings Inc. | 59 | — |
* Green Bankshares Inc. | 110 | — |
* Cascade Bancorp | 38 | — |
* Capital Bank Corp. | 77 | — |
California First National Bancorp | 10 | — |
Pzena Investment Management Inc. Class A | 27 | — |
* Crescent Financial Bancshares Inc. | 25 | — |
26,210 | ||
Health Care (11.6%) | ||
Johnson & Johnson | 29,193 | 1,968 |
Pfizer Inc. | 79,596 | 1,899 |
Merck & Co. Inc. | 32,331 | 1,392 |
Abbott Laboratories | 16,725 | 1,096 |
Amgen Inc. | 8,267 | 694 |
UnitedHealth Group Inc. | 11,028 | 599 |
Bristol-Myers Squibb Co. | 17,955 | 593 |
* Express Scripts Holding Co. | 8,562 | 536 |
Eli Lilly & Co. | 10,892 | 489 |
* Gilead Sciences Inc. | 8,051 | 464 |
Medtronic Inc. | 11,025 | 448 |
* Biogen Idec Inc. | 2,547 | 373 |
Baxter International Inc. | 5,853 | 343 |
* Celgene Corp. | 4,683 | 337 |
Covidien plc | 5,127 | 287 |
Allergan Inc. | 3,226 | 278 |
Thermo Fisher Scientific Inc. | 3,905 | 224 |
* Alexion Pharmaceuticals Inc. | 2,042 | 219 |
McKesson Corp. | 2,503 | 218 |
WellPoint Inc. | 3,517 | 211 |
* Intuitive Surgical Inc. | 423 | 208 |
Stryker Corp. | 3,292 | 175 |
Becton Dickinson and Co. | 2,155 | 164 |
Cardinal Health Inc. | 3,679 | 146 |
Aetna Inc. | 3,693 | 142 |
Cigna Corp. | 3,065 | 140 |
Agilent Technologies Inc. | 3,696 | 137 |
St. Jude Medical Inc. | 3,336 | 126 |
* Edwards Lifesciences Corp. | 1,219 | 124 |
* Regeneron Pharmaceuticals Inc. | 823 | 122 |
Humana Inc. | 1,735 | 122 |
* Vertex Pharmaceuticals Inc. | 2,244 | 120 |
Zimmer Holdings Inc. | 1,875 | 116 |
* Cerner Corp. | 1,543 | 113 |
* Watson Pharmaceuticals Inc. | 1,358 | 110 |
Perrigo Co. | 997 | 110 |
AmerisourceBergen Corp. Class A | 2,698 | 104 |
Quest Diagnostics Inc. | 1,692 | 102 |
* Mylan Inc. | 4,315 | 102 |
* Forest Laboratories Inc. | 2,825 | 98 |
* DaVita Inc. | 1,001 | 97 |
23
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Catamaran Corp. | 1,088 | 95 |
* Life Technologies Corp. | 1,902 | 91 |
* Laboratory Corp. of America Holdings | 1,031 | 91 |
CR Bard Inc. | 895 | 88 |
* Boston Scientific Corp. | 15,120 | 82 |
* Waters Corp. | 945 | 76 |
* Henry Schein Inc. | 960 | 74 |
* Varian Medical Systems Inc. | 1,192 | 70 |
* CareFusion Corp. | 2,341 | 62 |
Coventry Health Care Inc. | 1,432 | 60 |
* Hospira Inc. | 1,741 | 58 |
* ResMed Inc. | 1,518 | 57 |
* IDEXX Laboratories Inc. | 586 | 56 |
* Hologic Inc. | 2,805 | 55 |
* Illumina Inc. | 1,308 | 55 |
* Mettler-Toledo International Inc. | 332 | 55 |
DENTSPLY International Inc. | 1,500 | 54 |
HCA Holdings Inc. | 1,761 | 50 |
* Onyx Pharmaceuticals Inc. | 686 | 49 |
* BioMarin Pharmaceutical Inc. | 1,303 | 49 |
* AMERIGROUP Corp. | 510 | 46 |
* QIAGEN NV | 2,527 | 45 |
Cooper Cos. Inc. | 501 | 42 |
* Medivation Inc. | 385 | 40 |
* Endo Health Solutions Inc. | 1,239 | 39 |
* Pharmacyclics Inc. | 580 | 39 |
Omnicare Inc. | 1,196 | 39 |
Universal Health Services Inc. Class B | 947 | 38 |
* Ariad Pharmaceuticals Inc. | 1,764 | 36 |
* MEDNAX Inc. | 523 | 36 |
* athenahealth Inc. | 384 | 34 |
Patterson Cos. Inc. | 993 | 34 |
PerkinElmer Inc. | 1,219 | 33 |
* Sirona Dental Systems Inc. | 600 | 32 |
* HMS Holdings Corp. | 920 | 32 |
* Cubist Pharmaceuticals Inc. | 665 | 31 |
* United Therapeutics Corp. | 530 | 29 |
* Covance Inc. | 598 | 29 |
Teleflex Inc. | 427 | 28 |
Techne Corp. | 399 | 27 |
* Cepheid Inc. | 710 | 27 |
* Salix Pharmaceuticals Ltd. | 606 | 27 |
* WellCare Health Plans Inc. | 466 | 26 |
* Seattle Genetics Inc. | 992 | 26 |
* Community Health Systems Inc. | 964 | 26 |
* Align Technology Inc. | 749 | 25 |
* Questcor Pharmaceuticals Inc. | 572 | 25 |
Warner Chilcott plc Class A | 1,811 | 25 |
* Alkermes plc | 1,280 | 23 |
* HealthSouth Corp. | 1,002 | 23 |
* Centene Corp. | 558 | 23 |
* Brookdale Senior Living Inc. Class A | 1,039 | 23 |
* Vivus Inc. | 1,049 | 23 |
* Tenet Healthcare Corp. | 4,331 | 22 |
* Myriad Genetics Inc. | 889 | 22 |
STERIS Corp. | 628 | 22 |
* Thoratec Corp. | 634 | 21 |
* Bio-Rad Laboratories Inc. Class A | 213 | 21 |
* LifePoint Hospitals Inc. | 514 | 21 |
* Health Management Associates Inc. Class A | 2,709 | 21 |
* Arena Pharmaceuticals Inc. | 2,282 | 21 |
* Health Net Inc. | 882 | 21 |
* Incyte Corp. Ltd. | 1,020 | 20 |
* Jazz Pharmaceuticals plc | 439 | 20 |
24
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Haemonetics Corp. | 270 | 20 |
* Par Pharmaceutical Cos. Inc. | 389 | 19 |
* ViroPharma Inc. | 726 | 19 |
Medicis Pharmaceutical Corp. Class A | 607 | 19 |
* Allscripts Healthcare Solutions Inc. | 1,803 | 19 |
* Charles River Laboratories International Inc. | 521 | 19 |
Owens & Minor Inc. | 672 | 19 |
Hill-Rom Holdings Inc. | 670 | 19 |
* PAREXEL International Corp. | 637 | 18 |
* VCA Antech Inc. | 930 | 18 |
* Theravance Inc. | 651 | 17 |
* Impax Laboratories Inc. | 730 | 17 |
West Pharmaceutical Services Inc. | 362 | 17 |
* Alere Inc. | 869 | 16 |
* Volcano Corp. | 575 | 16 |
* Air Methods Corp. | 133 | 16 |
* Cyberonics Inc. | 299 | 15 |
* Magellan Health Services Inc. | 297 | 15 |
* Medicines Co. | 569 | 15 |
* Isis Pharmaceuticals Inc. | 1,034 | 14 |
Chemed Corp. | 211 | 14 |
* MWI Veterinary Supply Inc. | 134 | 14 |
* HeartWare International Inc. | 148 | 13 |
* Immunogen Inc. | 861 | 12 |
* Bruker Corp. | 987 | 12 |
* PSS World Medical Inc. | 552 | 12 |
* Auxilium Pharmaceuticals Inc. | 498 | 12 |
* Masimo Corp. | 514 | 11 |
PDL BioPharma Inc. | 1,538 | 11 |
* Hanger Inc. | 377 | 11 |
* Nektar Therapeutics | 1,254 | 11 |
* Insulet Corp. | 513 | 11 |
* MedAssets Inc. | 611 | 10 |
* Ironwood Pharmaceuticals Inc. Class A | 831 | 10 |
* Amsurg Corp. Class A | 348 | 10 |
* DexCom Inc. | 765 | 10 |
* Neogen Corp. | 254 | 10 |
* Acorda Therapeutics Inc. | 432 | 10 |
* NuVasive Inc. | 461 | 10 |
* Alnylam Pharmaceuticals Inc. | 513 | 9 |
* Sunrise Senior Living Inc. | 649 | 9 |
Analogic Corp. | 129 | 9 |
* Akorn Inc. | 641 | 9 |
* Orthofix International NV | 208 | 9 |
* Abaxis Inc. | 229 | 9 |
* Exelixis Inc. | 1,929 | 9 |
* Luminex Corp. | 440 | 9 |
* Integra LifeSciences Holdings Corp. | 213 | 8 |
* ABIOMED Inc. | 374 | 8 |
* Wright Medical Group Inc. | 403 | 8 |
* Team Health Holdings Inc. | 291 | 8 |
* ArthroCare Corp. | 280 | 8 |
* Medidata Solutions Inc. | 235 | 8 |
* Molina Healthcare Inc. | 331 | 8 |
* IPC The Hospitalist Co. Inc. | 179 | 8 |
CONMED Corp. | 290 | 8 |
* Spectrum Pharmaceuticals Inc. | 655 | 8 |
Quality Systems Inc. | 435 | 8 |
Meridian Bioscience Inc. | 421 | 7 |
* ICU Medical Inc. | 133 | 7 |
* Optimer Pharmaceuticals Inc. | 486 | 7 |
* Rigel Pharmaceuticals Inc. | 768 | 7 |
* NPS Pharmaceuticals Inc. | 934 | 7 |
* Dynavax Technologies Corp. | 1,814 | 7 |
25
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Bio-Reference Labs Inc. | 271 | 7 |
* Accretive Health Inc. | 595 | 7 |
* Momenta Pharmaceuticals Inc. | 498 | 7 |
* Exact Sciences Corp. | 700 | 7 |
* Endologix Inc. | 577 | 7 |
* Dendreon Corp. | 1,538 | 7 |
* Merit Medical Systems Inc. | 480 | 7 |
* Conceptus Inc. | 359 | 7 |
* NxStage Medical Inc. | 529 | 7 |
* Affymax Inc. | 378 | 7 |
* MAKO Surgical Corp. | 403 | 7 |
Computer Programs & Systems Inc. | 126 | 6 |
* Emeritus Corp. | 309 | 6 |
Cantel Medical Corp. | 240 | 6 |
* Kindred Healthcare Inc. | 533 | 6 |
* OraSure Technologies Inc. | 609 | 6 |
* Genomic Health Inc. | 167 | 6 |
* Array BioPharma Inc. | 1,028 | 6 |
Landauer Inc. | 96 | 6 |
* HealthStream Inc. | 190 | 5 |
Ensign Group Inc. | 183 | 5 |
* Idenix Pharmaceuticals Inc. | 949 | 5 |
* Neurocrine Biosciences Inc. | 722 | 5 |
* Greatbatch Inc. | 230 | 5 |
* Halozyme Therapeutics Inc. | 908 | 5 |
* Synageva BioPharma Corp. | 104 | 5 |
* Acadia Healthcare Co. Inc. | 261 | 5 |
* InterMune Inc. | 678 | 5 |
* Omnicell Inc. | 343 | 5 |
National Healthcare Corp. | 107 | 5 |
* Lexicon Pharmaceuticals Inc. | 2,133 | 5 |
* Quidel Corp. | 293 | 5 |
* Opko Health Inc. | 1,069 | 5 |
* Amedisys Inc. | 330 | 5 |
* Threshold Pharmaceuticals Inc. | 526 | 5 |
* Infinity Pharmaceuticals Inc. | 255 | 5 |
* XenoPort Inc. | 489 | 5 |
* Spectranetics Corp. | 373 | 5 |
* AVANIR Pharmaceuticals Inc. | 1,353 | 4 |
* BioScrip Inc. | 524 | 4 |
* Hi-Tech Pharmacal Co. Inc. | 124 | 4 |
* PharMerica Corp. | 350 | 4 |
* Accuray Inc. | 718 | 4 |
* Emergent Biosolutions Inc. | 290 | 4 |
Invacare Corp. | 305 | 4 |
* MAP Pharmaceuticals Inc. | 307 | 4 |
* AMN Healthcare Services Inc. | 491 | 4 |
* Achillion Pharmaceuticals Inc. | 577 | 4 |
* Metropolitan Health Networks Inc. | 502 | 4 |
* Fluidigm Corp. | 256 | 4 |
* ZIOPHARM Oncology Inc. | 803 | 4 |
* Sequenom Inc. | 1,082 | 4 |
* Select Medical Holdings Corp. | 381 | 4 |
* Geron Corp. | 1,411 | 4 |
* Cambrex Corp. | 318 | 4 |
* Curis Inc. | 877 | 4 |
* Antares Pharma Inc. | 967 | 4 |
* MannKind Corp. | 1,378 | 4 |
* Triple-S Management Corp. Class B | 182 | 4 |
* Celldex Therapeutics Inc. | 659 | 4 |
* Aegerion Pharmaceuticals Inc. | 264 | 4 |
* Santarus Inc. | 594 | 4 |
US Physical Therapy Inc. | 141 | 4 |
* Navidea Biopharmaceuticals Inc. | 1,000 | 4 |
26
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Healthways Inc. | 343 | 4 |
* Arqule Inc. | 685 | 4 |
* Pacira Pharmaceuticals Inc. | 195 | 4 |
* Gentiva Health Services Inc. | 322 | 4 |
* ExamWorks Group Inc. | 278 | 4 |
* Ligand Pharmaceuticals Inc. Class B | 202 | 3 |
* Oncothyreon Inc. | 659 | 3 |
Atrion Corp. | 16 | 3 |
* AVEO Pharmaceuticals Inc. | 361 | 3 |
* Universal American Corp. | 376 | 3 |
* Natus Medical Inc. | 283 | 3 |
* Symmetry Medical Inc. | 353 | 3 |
* SurModics Inc. | 173 | 3 |
* Vanguard Health Systems Inc. | 324 | 3 |
* Capital Senior Living Corp. | 261 | 3 |
* AMAG Pharmaceuticals Inc. | 209 | 3 |
* Sangamo Biosciences Inc. | 570 | 3 |
* Vical Inc. | 840 | 3 |
* Cynosure Inc. Class A | 115 | 3 |
* Omeros Corp. | 315 | 3 |
* Depomed Inc. | 558 | 3 |
* LHC Group Inc. | 166 | 3 |
* Unilife Corp. | 957 | 3 |
* Corvel Corp. | 64 | 3 |
* Sun Healthcare Group Inc. | 329 | 3 |
* AngioDynamics Inc. | 241 | 3 |
* Enzon Pharmaceuticals Inc. | 401 | 3 |
* Cadence Pharmaceuticals Inc. | 686 | 3 |
* Vascular Solutions Inc. | 196 | 3 |
* Endocyte Inc. | 266 | 3 |
* Orexigen Therapeutics Inc. | 569 | 3 |
* Sciclone Pharmaceuticals Inc. | 509 | 3 |
* Dyax Corp. | 1,095 | 2 |
* Tornier NV | 136 | 2 |
* Affymetrix Inc. | 635 | 2 |
* Astex Pharmaceuticals | 835 | 2 |
* Novavax Inc. | 1,121 | 2 |
* Staar Surgical Co. | 348 | 2 |
* Obagi Medical Products Inc. | 169 | 2 |
* Cytori Therapeutics Inc. | 710 | 2 |
* Synta Pharmaceuticals Corp. | 333 | 2 |
* Raptor Pharmaceutical Corp. | 438 | 2 |
* IRIS International Inc. | 171 | 2 |
Young Innovations Inc. | 58 | 2 |
* Solta Medical Inc. | 707 | 2 |
* Clovis Oncology Inc. | 123 | 2 |
* XOMA Corp. | 611 | 2 |
* Immunomedics Inc. | 629 | 2 |
* RTI Biologics Inc. | 552 | 2 |
* Merge Healthcare Inc. | 656 | 2 |
* Maxygen Inc. | 327 | 2 |
* Pozen Inc. | 306 | 2 |
* Palomar Medical Technologies Inc. | 222 | 2 |
* Osiris Therapeutics Inc. | 214 | 2 |
* BioCryst Pharmaceuticals Inc. | 441 | 2 |
* Providence Service Corp. | 166 | 2 |
* Furiex Pharmaceuticals Inc. | 102 | 2 |
* Synergy Pharmaceuticals Inc. | 369 | 2 |
* Cerus Corp. | 551 | 2 |
* Greenway Medical Technologies | 116 | 2 |
* OncoGenex Pharmaceutical Inc. | 127 | 2 |
* Pain Therapeutics Inc. | 435 | 2 |
* Vocera Communications Inc. | 61 | 2 |
* Keryx Biopharmaceuticals Inc. | 841 | 2 |
27
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Biotime Inc. | 419 | 2 |
* Repros Therapeutics Inc. | 133 | 2 |
* CryoLife Inc. | 311 | 2 |
* Exactech Inc. | 104 | 2 |
* Almost Family Inc. | 76 | 2 |
* Vanda Pharmaceuticals Inc. | 376 | 2 |
* Allos Therapeutics Inc. | 910 | 2 |
* Five Star Quality Care Inc. | 346 | 2 |
* Dusa Pharmaceuticals Inc. | 304 | 2 |
* Cardiovascular Systems Inc. | 173 | 2 |
* NewLink Genetics Corp. | 114 | 2 |
* Rockwell Medical Technologies Inc. | 199 | 2 |
* Repligen Corp. | 277 | 2 |
* Chindex International Inc. | 148 | 2 |
* PhotoMedex Inc. | 118 | 2 |
* Anika Therapeutics Inc. | 106 | 2 |
* Epocrates Inc. | 167 | 1 |
* Cross Country Healthcare Inc. | 356 | 1 |
* Anacor Pharmaceuticals Inc. | 232 | 1 |
* Harvard Bioscience Inc. | 368 | 1 |
* GTx Inc. | 379 | 1 |
* Amicus Therapeutics Inc. | 284 | 1 |
Assisted Living Concepts Inc. Class A | 175 | 1 |
National Research Corp. | 27 | 1 |
* Corcept Therapeutics Inc. | 462 | 1 |
* Biospecifics Technologies Corp. | 70 | 1 |
* Lannett Co. Inc. | 268 | 1 |
* Zeltiq Aesthetics Inc. | 242 | 1 |
* Sagent Pharmaceuticals Inc. | 87 | 1 |
* Discovery Laboratories Inc. | 389 | 1 |
* SIGA Technologies Inc. | 420 | 1 |
* Trius Therapeutics Inc. | 223 | 1 |
* Progenics Pharmaceuticals Inc. | 303 | 1 |
* AtriCure Inc. | 175 | 1 |
* Integramed America Inc. | 79 | 1 |
* Merrimack Pharmaceuticals Inc. | 137 | 1 |
* Zogenix Inc. | 455 | 1 |
* Rochester Medical Corp. | 96 | 1 |
Utah Medical Products Inc. | 30 | 1 |
* BioDelivery Sciences International Inc. | 191 | 1 |
* Agenus Inc. | 205 | 1 |
* ImmunoCellular Therapeutics Ltd. | 357 | 1 |
* Pernix Therapeutics Holdings | 140 | 1 |
* Targacept Inc. | 188 | 1 |
* Horizon Pharma Inc. | 190 | 1 |
* EnteroMedics Inc. | 228 | 1 |
* Derma Sciences Inc. | 84 | 1 |
* Transcept Pharmaceuticals Inc. | 113 | 1 |
* Coronado Biosciences Inc. | 122 | 1 |
* Skilled Healthcare Group Inc. | 130 | 1 |
* Hansen Medical Inc. | 446 | 1 |
* Cumberland Pharmaceuticals Inc. | 107 | 1 |
* PDI Inc. | 90 | 1 |
* Sunesis Pharmaceuticals Inc. | 197 | 1 |
* BG Medicine Inc. | 140 | 1 |
* Alphatec Holdings Inc. | 292 | — |
* Mediware Information Systems | 33 | — |
* Codexis Inc. | 188 | — |
* Ventrus Biosciences Inc. | 112 | — |
* Supernus Pharmaceuticals Inc. | 31 | — |
* Verastem Inc. | 42 | — |
* ChemoCentryx Inc. | 34 | — |
* Sucampo Pharmaceuticals Inc. Class A | 63 | — |
* Pacific Biosciences of California Inc. | 152 | — |
28
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Ampio Pharmaceuticals Inc. | 103 | — |
* Cempra Inc. | 28 | — |
* Cornerstone Therapeutics Inc. | 21 | — |
* Acura Pharmaceuticals Inc. | 41 | — |
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 32 | — |
19,259 | ||
Industrials (10.8%) | ||
General Electric Co. | 112,624 | 2,332 |
United Technologies Corp. | 9,688 | 774 |
3M Co. | 7,376 | 683 |
Union Pacific Corp. | 5,063 | 615 |
Caterpillar Inc. | 6,936 | 592 |
Boeing Co. | 7,963 | 569 |
United Parcel Service Inc. Class B | 7,701 | 568 |
Honeywell International Inc. | 8,283 | 484 |
Emerson Electric Co. | 7,798 | 395 |
Danaher Corp. | 6,171 | 331 |
Deere & Co. | 4,228 | 318 |
FedEx Corp. | 3,353 | 294 |
Tyco International Ltd. | 4,921 | 277 |
Illinois Tool Works Inc. | 4,527 | 268 |
Lockheed Martin Corp. | 2,772 | 253 |
Norfolk Southern Corp. | 3,463 | 251 |
Precision Castparts Corp. | 1,545 | 249 |
CSX Corp. | 11,046 | 248 |
General Dynamics Corp. | 3,377 | 221 |
Raytheon Co. | 3,544 | 200 |
Cummins Inc. | 2,043 | 198 |
Northrop Grumman Corp. | 2,674 | 179 |
Waste Management Inc. | 4,921 | 170 |
Eaton Corp. | 3,590 | 161 |
PACCAR Inc. | 3,792 | 151 |
Ingersoll-Rand plc | 3,176 | 148 |
Fastenal Co. | 3,148 | 136 |
Parker Hannifin Corp. | 1,606 | 128 |
WW Grainger Inc. | 622 | 128 |
Cooper Industries plc | 1,691 | 124 |
Stanley Black & Decker Inc. | 1,817 | 120 |
Dover Corp. | 1,955 | 113 |
Rockwell Automation Inc. | 1,520 | 110 |
Roper Industries Inc. | 1,038 | 107 |
C.H. Robinson Worldwide Inc. | 1,730 | 98 |
Fluor Corp. | 1,800 | 93 |
Kansas City Southern | 1,171 | 91 |
Republic Services Inc. Class A | 3,228 | 89 |
AMETEK Inc. | 2,550 | 87 |
Expeditors International of Washington Inc. | 2,265 | 83 |
* Stericycle Inc. | 901 | 82 |
Textron Inc. | 2,967 | 79 |
* Delta Air Lines Inc. | 9,058 | 78 |
* Verisk Analytics Inc. Class A | 1,563 | 76 |
* TransDigm Group Inc. | 546 | 76 |
Rockwell Collins Inc. | 1,542 | 75 |
L-3 Communications Holdings Inc. | 1,041 | 73 |
Southwest Airlines Co. | 8,130 | 73 |
Flowserve Corp. | 546 | 70 |
Pall Corp. | 1,238 | 69 |
* United Continental Holdings Inc. | 3,550 | 65 |
* IHS Inc. Class A | 533 | 61 |
Joy Global Inc. | 1,135 | 61 |
Equifax Inc. | 1,271 | 58 |
Donaldson Co. Inc. | 1,580 | 56 |
* Jacobs Engineering Group Inc. | 1,369 | 54 |
Masco Corp. | 3,799 | 54 |
29
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Quanta Services Inc. | 2,219 | 53 |
Iron Mountain Inc. | 1,607 | 53 |
Hubbell Inc. Class B | 632 | 51 |
JB Hunt Transport Services Inc. | 957 | 50 |
Xylem Inc. | 1,981 | 48 |
Cintas Corp. | 1,176 | 48 |
Pentair Inc. | 1,063 | 45 |
* AGCO Corp. | 1,044 | 44 |
* Fortune Brands Home & Security Inc. | 1,685 | 43 |
* Owens Corning | 1,286 | 43 |
Snap-on Inc. | 613 | 43 |
KBR Inc. | 1,561 | 42 |
* B/E Aerospace Inc. | 1,032 | 42 |
Nordson Corp. | 681 | 40 |
* WABCO Holdings Inc. | 682 | 40 |
Wabtec Corp. | 508 | 40 |
Robert Half International Inc. | 1,504 | 40 |
Dun & Bradstreet Corp. | 472 | 38 |
Chicago Bridge & Iron Co. NV | 1,027 | 38 |
Waste Connections Inc. | 1,301 | 38 |
* Hertz Global Holdings Inc. | 2,646 | 38 |
Timken Co. | 927 | 37 |
Lincoln Electric Holdings Inc. | 888 | 37 |
* Nielsen Holdings NV | 1,287 | 36 |
IDEX Corp. | 893 | 36 |
Corrections Corp. of America | 1,065 | 35 |
Towers Watson & Co. Class A | 645 | 35 |
Carlisle Cos. Inc. | 663 | 35 |
SPX Corp. | 540 | 34 |
Avery Dennison Corp. | 1,102 | 34 |
MSC Industrial Direct Co. Inc. Class A | 486 | 34 |
* United Rentals Inc. | 1,006 | 32 |
Graco Inc. | 649 | 32 |
Manpower Inc. | 861 | 32 |
Valmont Industries Inc. | 251 | 32 |
Gardner Denver Inc. | 527 | 32 |
Triumph Group Inc. | 534 | 32 |
* Spirit Aerosystems Holdings Inc. Class A | 1,275 | 32 |
Kennametal Inc. | 857 | 32 |
* Kirby Corp. | 597 | 31 |
* Babcock & Wilcox Co. | 1,269 | 31 |
* Shaw Group Inc. | 712 | 30 |
* Copart Inc. | 1,101 | 29 |
Acuity Brands Inc. | 458 | 29 |
URS Corp. | 792 | 29 |
* Clean Harbors Inc. | 512 | 28 |
Regal-Beloit Corp. | 408 | 28 |
* Genesee & Wyoming Inc. Class A | 428 | 27 |
Copa Holdings SA Class A | 349 | 27 |
* WESCO International Inc. | 458 | 26 |
* Dollar Thrifty Automotive Group Inc. | 298 | 26 |
Lennox International Inc. | 545 | 26 |
Woodward Inc. | 732 | 26 |
* Terex Corp. | 1,158 | 26 |
CLARCOR Inc. | 525 | 25 |
Robbins & Myers Inc. | 417 | 25 |
* Alaska Air Group Inc. | 742 | 25 |
* Teledyne Technologies Inc. | 385 | 25 |
* Oshkosh Corp. | 960 | 24 |
Trinity Industries Inc. | 840 | 24 |
Pitney Bowes Inc. | 1,775 | 24 |
* Hexcel Corp. | 1,044 | 24 |
Toro Co. | 636 | 24 |
Watsco Inc. | 310 | 23 |
30
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Landstar System Inc. | 491 | 23 |
* AECOM Technology Corp. | 1,189 | 23 |
* Middleby Corp. | 197 | 23 |
AO Smith Corp. | 410 | 22 |
* Old Dominion Freight Line Inc. | 499 | 22 |
Actuant Corp. Class A | 782 | 22 |
* Chart Industries Inc. | 315 | 22 |
Ryder System Inc. | 538 | 22 |
RR Donnelley & Sons Co. | 1,916 | 21 |
* Huntington Ingalls Industries Inc. | 520 | 21 |
GATX Corp. | 494 | 20 |
Exelis Inc. | 1,957 | 20 |
Crane Co. | 519 | 20 |
Covanta Holding Corp. | 1,147 | 20 |
* Esterline Technologies Corp. | 327 | 20 |
EMCOR Group Inc. | 705 | 19 |
ITT Corp. | 976 | 19 |
HEICO Corp. | 555 | 19 |
* EnerSys Inc. | 510 | 19 |
* Avis Budget Group Inc. | 1,142 | 19 |
* Portfolio Recovery Associates Inc. | 186 | 19 |
Applied Industrial Technologies Inc. | 456 | 19 |
Manitowoc Co. Inc. | 1,431 | 18 |
* US Airways Group Inc. | 1,724 | 18 |
Con-way Inc. | 592 | 18 |
* Moog Inc. Class A | 483 | 18 |
Geo Group Inc. | 668 | 18 |
Harsco Corp. | 859 | 18 |
* Tetra Tech Inc. | 674 | 17 |
Alliant Techsystems Inc. | 346 | 17 |
Corporate Executive Board Co. | 357 | 17 |
Belden Inc. | 485 | 17 |
* USG Corp. | 799 | 16 |
* Advisory Board Co. | 368 | 16 |
Rollins Inc. | 695 | 16 |
* Polypore International Inc. | 497 | 16 |
UTi Worldwide Inc. | 1,137 | 16 |
Healthcare Services Group Inc. | 725 | 15 |
Deluxe Corp. | 538 | 15 |
* Colfax Corp. | 458 | 15 |
* Navistar International Corp. | 671 | 15 |
* General Cable Corp. | 544 | 15 |
Curtiss-Wright Corp. | 484 | 15 |
* Air Lease Corp. | 701 | 14 |
* Atlas Air Worldwide Holdings Inc. | 277 | 14 |
* Acacia Research Corp. | 540 | 14 |
Brady Corp. Class A | 504 | 14 |
* Beacon Roofing Supply Inc. | 490 | 14 |
Barnes Group Inc. | 577 | 14 |
Franklin Electric Co. Inc. | 243 | 13 |
HNI Corp. | 469 | 13 |
Mueller Industries Inc. | 286 | 12 |
Herman Miller Inc. | 618 | 12 |
* FTI Consulting Inc. | 456 | 12 |
* JetBlue Airways Corp. | 2,396 | 12 |
* Hub Group Inc. Class A | 390 | 12 |
ABM Industries Inc. | 578 | 12 |
Granite Construction Inc. | 422 | 12 |
* GrafTech International Ltd. | 1,239 | 12 |
* CNH Global NV | 293 | 12 |
Raven Industries Inc. | 379 | 11 |
* MasTec Inc. | 623 | 11 |
Brink's Co. | 499 | 11 |
Watts Water Technologies Inc. Class A | 302 | 11 |
31
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
TAL International Group Inc. | 321 | 11 |
* RBC Bearings Inc. | 236 | 11 |
* II-VI Inc. | 582 | 11 |
* Allegiant Travel Co. Class A | 160 | 11 |
Werner Enterprises Inc. | 472 | 10 |
ESCO Technologies Inc. | 296 | 10 |
Simpson Manufacturing Co. Inc. | 408 | 10 |
Armstrong World Industries Inc. | 235 | 10 |
Mine Safety Appliances Co. | 294 | 10 |
United Stationers Inc. | 421 | 10 |
Matson Inc. | 448 | 10 |
Forward Air Corp. | 296 | 10 |
UniFirst Corp. | 156 | 10 |
Titan International Inc. | 467 | 10 |
Lindsay Corp. | 143 | 9 |
Briggs & Stratton Corp. | 511 | 9 |
Knight Transportation Inc. | 616 | 9 |
Kaman Corp. | 267 | 9 |
Interface Inc. Class A | 627 | 9 |
* Interline Brands Inc. | 335 | 9 |
* Seaboard Corp. | 4 | 8 |
Tennant Co. | 199 | 8 |
AZZ Inc. | 262 | 8 |
* Orbital Sciences Corp. | 601 | 8 |
Amerco Inc. | 89 | 8 |
Cubic Corp. | 164 | 8 |
* Huron Consulting Group Inc. | 256 | 8 |
* Spirit Airlines Inc. | 421 | 8 |
* DigitalGlobe Inc. | 394 | 8 |
Steelcase Inc. Class A | 837 | 8 |
* Aegion Corp. Class A | 414 | 8 |
* EnPro Industries Inc. | 214 | 8 |
* ACCO Brands Corp. | 1,203 | 8 |
* Trimas Corp. | 362 | 8 |
Universal Forest Products Inc. | 201 | 8 |
* Exponent Inc. | 148 | 8 |
Kaydon Corp. | 342 | 8 |
* On Assignment Inc. | 453 | 7 |
Knoll Inc. | 512 | 7 |
* Mobile Mini Inc. | 421 | 7 |
* Team Inc. | 227 | 7 |
Quanex Building Products Corp. | 405 | 7 |
* Korn/Ferry International | 492 | 7 |
Aircastle Ltd. | 610 | 7 |
Heartland Express Inc. | 527 | 7 |
AAR Corp. | 461 | 7 |
* Swift Transportation Co. | 838 | 7 |
Mueller Water Products Inc. Class A | 1,763 | 7 |
NACCO Industries Inc. Class A | 63 | 7 |
McGrath RentCorp | 265 | 7 |
G&K Services Inc. Class A | 212 | 7 |
* Astec Industries Inc. | 225 | 7 |
* TrueBlue Inc. | 424 | 7 |
Ceradyne Inc. | 277 | 7 |
* Blount International Inc. | 506 | 7 |
* Encore Capital Group Inc. | 231 | 6 |
Albany International Corp. | 306 | 6 |
Insperity Inc. | 262 | 6 |
* Rush Enterprises Inc. Class A | 374 | 6 |
CIRCOR International Inc. | 200 | 6 |
* GenCorp Inc. | 656 | 6 |
* Navigant Consulting Inc. | 539 | 6 |
* RailAmerica Inc. | 214 | 6 |
Generac Holdings Inc. | 272 | 6 |
32
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Encore Wire Corp. | 203 | 6 |
* H&E Equipment Services Inc. | 318 | 6 |
Standex International Corp. | 124 | 6 |
American Science & Engineering Inc. | 92 | 5 |
* MRC Global Inc. | 248 | 5 |
* Dycom Industries Inc. | 373 | 5 |
Quad/Graphics Inc. | 293 | 5 |
Resources Connection Inc. | 480 | 5 |
Altra Holdings Inc. | 288 | 5 |
* Sykes Enterprises Inc. | 383 | 5 |
* Trex Co. Inc. | 168 | 5 |
* KAR Auction Services Inc. | 295 | 5 |
Cascade Corp. | 105 | 5 |
Apogee Enterprises Inc. | 320 | 5 |
Griffon Corp. | 516 | 5 |
John Bean Technologies Corp. | 311 | 5 |
SkyWest Inc. | 564 | 5 |
Great Lakes Dredge & Dock Corp. | 676 | 5 |
Viad Corp. | 237 | 5 |
* MYR Group Inc. | 238 | 5 |
* ICF International Inc. | 217 | 5 |
Textainer Group Holdings Ltd. | 135 | 5 |
Sun Hydraulics Corp. | 205 | 5 |
* Rexnord Corp. | 310 | 5 |
* Aerovironment Inc. | 195 | 5 |
* Nortek Inc. | 90 | 5 |
* Wabash National Corp. | 689 | 5 |
* GeoEye Inc. | 171 | 5 |
* DXP Enterprises Inc. | 97 | 4 |
Sauer-Danfoss Inc. | 117 | 4 |
Gorman-Rupp Co. | 161 | 4 |
* Titan Machinery Inc. | 192 | 4 |
Ennis Inc. | 303 | 4 |
* Layne Christensen Co. | 225 | 4 |
National Presto Industries Inc. | 58 | 4 |
* Meritor Inc. | 932 | 4 |
* Federal Signal Corp. | 690 | 4 |
Kelly Services Inc. Class A | 324 | 4 |
* InnerWorkings Inc. | 324 | 4 |
Kimball International Inc. Class B | 343 | 4 |
US Ecology Inc. | 204 | 4 |
* Tutor Perini Corp. | 353 | 4 |
Primoris Services Corp. | 304 | 4 |
Global Power Equipment Group Inc. | 189 | 4 |
* Greenbrier Cos. Inc. | 255 | 4 |
Comfort Systems USA Inc. | 352 | 4 |
* GP Strategies Corp. | 181 | 4 |
* Saia Inc. | 163 | 4 |
* Standard Parking Corp. | 149 | 3 |
* Astronics Corp. | 122 | 3 |
Celadon Group Inc. | 200 | 3 |
* Kforce Inc. | 278 | 3 |
* Thermon Group Holdings Inc. | 142 | 3 |
AAON Inc. | 172 | 3 |
* Powell Industries Inc. | 83 | 3 |
* Mistras Group Inc. | 144 | 3 |
* American Railcar Industries Inc. | 110 | 3 |
* Gibraltar Industries Inc. | 285 | 3 |
* Capstone Turbine Corp. | 3,007 | 3 |
* Taser International Inc. | 554 | 3 |
* Echo Global Logistics Inc. | 167 | 3 |
* Wesco Aircraft Holdings Inc. | 211 | 3 |
* Odyssey Marine Exploration Inc. | 805 | 3 |
Douglas Dynamics Inc. | 207 | 3 |
33
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Hawaiian Holdings Inc. | 488 | 3 |
* Kadant Inc. | 124 | 3 |
Multi-Color Corp. | 138 | 3 |
* Engility Holdings Inc. | 152 | 3 |
LB Foster Co. Class A | 87 | 3 |
* Northwest Pipe Co. | 110 | 3 |
Marten Transport Ltd. | 156 | 3 |
* CAI International Inc. | 136 | 3 |
* Columbus McKinnon Corp. | 182 | 3 |
* EnerNOC Inc. | 273 | 3 |
* Air Transport Services Group Inc. | 561 | 3 |
* NCI Building Systems Inc. | 232 | 2 |
* Commercial Vehicle Group Inc. | 295 | 2 |
* Ameresco Inc. Class A | 207 | 2 |
* Orion Marine Group Inc. | 325 | 2 |
* Quality Distribution Inc. | 253 | 2 |
Graham Corp. | 126 | 2 |
* XPO Logistics Inc. | 159 | 2 |
* Consolidated Graphics Inc. | 88 | 2 |
Barrett Business Services Inc. | 93 | 2 |
Aceto Corp. | 257 | 2 |
* CBIZ Inc. | 414 | 2 |
* Republic Airways Holdings Inc. | 515 | 2 |
* Builders FirstSource Inc. | 506 | 2 |
* RPX Corp. | 190 | 2 |
* Accuride Corp. | 440 | 2 |
FreightCar America Inc. | 122 | 2 |
Dynamic Materials Corp. | 135 | 2 |
* Roadrunner Transportation Systems Inc. | 124 | 2 |
* KEYW Holding Corp. | 192 | 2 |
* LMI Aerospace Inc. | 110 | 2 |
* American Woodmark Corp. | 110 | 2 |
Alamo Group Inc. | 73 | 2 |
* Pendrell Corp. | 1,759 | 2 |
Houston Wire & Cable Co. | 192 | 2 |
* Lydall Inc. | 164 | 2 |
* EnergySolutions Inc. | 852 | 2 |
SeaCube Container Leasing Ltd. | 109 | 2 |
Heidrick & Struggles International Inc. | 168 | 2 |
* Park-Ohio Holdings Corp. | 96 | 2 |
Arkansas Best Corp. | 224 | 2 |
* Furmanite Corp. | 420 | 2 |
Argan Inc. | 121 | 2 |
* CRA International Inc. | 126 | 2 |
CDI Corp. | 120 | 2 |
* Franklin Covey Co. | 190 | 2 |
* Sterling Construction Co. Inc. | 200 | 2 |
Insteel Industries Inc. | 193 | 2 |
* Zipcar Inc. | 241 | 2 |
* Proto Labs Inc. | 60 | 2 |
* Pike Electric Corp. | 207 | 2 |
* American Superconductor Corp. | 490 | 2 |
Preformed Line Products Co. | 31 | 2 |
* Patriot Transportation Holding Inc. | 71 | 2 |
Ampco-Pittsburgh Corp. | 108 | 2 |
* Michael Baker Corp. | 76 | 2 |
* Swisher Hygiene Inc. | 1,023 | 2 |
* PMFG Inc. | 249 | 2 |
* NN Inc. | 212 | 2 |
Twin Disc Inc. | 96 | 2 |
* Kratos Defense & Security Solutions Inc. | 361 | 2 |
* Hudson Global Inc. | 369 | 2 |
Met-Pro Corp. | 187 | 2 |
* Energy Recovery Inc. | 646 | 2 |
34
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* TMS International Corp. Class A | 159 | 2 |
* Hurco Cos. Inc. | 74 | 2 |
Courier Corp. | 135 | 1 |
* Heritage-Crystal Clean Inc. | 84 | 1 |
* TRC Cos. Inc. | 213 | 1 |
* AT Cross Co. Class A | 147 | 1 |
LSI Industries Inc. | 220 | 1 |
Intersections Inc. | 129 | 1 |
* Casella Waste Systems Inc. Class A | 293 | 1 |
Acorn Energy Inc. | 161 | 1 |
Miller Industries Inc. | 86 | 1 |
* Pacer International Inc. | 311 | 1 |
* Flow International Corp. | 368 | 1 |
* FuelCell Energy Inc. | 1,207 | 1 |
Schawk Inc. Class A | 91 | 1 |
* Rand Logistics Inc. | 159 | 1 |
* American Reprographics Co. | 276 | 1 |
* WageWorks Inc. | 59 | 1 |
* Edgen Group Inc. | 135 | 1 |
Universal Truckload Services Inc. | 70 | 1 |
Eastern Co. | 56 | 1 |
Asta Funding Inc. | 100 | 1 |
Hardinge Inc. | 105 | 1 |
* Asset Acceptance Capital Corp. | 143 | 1 |
* Dolan Co. | 253 | 1 |
* API Technologies Corp. | 290 | 1 |
* Vicor Corp. | 144 | 1 |
VSE Corp. | 34 | 1 |
* Cenveo Inc. | 382 | 1 |
Sypris Solutions Inc. | 95 | 1 |
* CPI Aerostructures Inc. | 51 | 1 |
Ceco Environmental Corp. | 65 | 1 |
* Metalico Inc. | 264 | 1 |
* Willis Lease Finance Corp. | 49 | 1 |
* Genco Shipping & Trading Ltd. | 197 | 1 |
* PGT Inc. | 176 | 1 |
International Shipholding Corp. | 33 | 1 |
* Hill International Inc. | 145 | 1 |
Coleman Cable Inc. | 54 | 1 |
NL Industries Inc. | 43 | 1 |
* BlueLinx Holdings Inc. | 217 | — |
* Patrick Industries Inc. | 36 | — |
SIFCO Industries Inc. | 23 | — |
* Enphase Energy Inc. | 72 | — |
* A123 Systems Inc. | 623 | — |
* Omega Flex Inc. | 10 | — |
Compx International Inc. | 7 | — |
* Astronics Corp. Class B | 2 | — |
17,812 | ||
Information Technology (19.3%) | ||
Apple Inc. | 9,940 | 6,612 |
Microsoft Corp. | 80,011 | 2,466 |
International Business Machines Corp. | 11,587 | 2,258 |
* Google Inc. Class A | 2,752 | 1,885 |
Intel Corp. | 53,478 | 1,328 |
Oracle Corp. | 40,615 | 1,285 |
QUALCOMM Inc. | 18,223 | 1,120 |
Cisco Systems Inc. | 56,942 | 1,086 |
Visa Inc. Class A | 5,555 | 712 |
* EMC Corp. | 22,320 | 587 |
* eBay Inc. | 12,312 | 584 |
Mastercard Inc. Class A | 1,153 | 488 |
Accenture plc Class A | 6,845 | 422 |
Hewlett-Packard Co. | 21,019 | 355 |
35
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Texas Instruments Inc. | 12,165 | 353 |
Automatic Data Processing Inc. | 5,199 | 302 |
* Salesforce.com Inc. | 1,475 | 214 |
Broadcom Corp. Class A | 5,857 | 208 |
* Cognizant Technology Solutions Corp. Class A | 3,237 | 208 |
Corning Inc. | 16,132 | 193 |
* Yahoo! Inc. | 12,955 | 190 |
Intuit Inc. | 3,122 | 183 |
* Dell Inc. | 15,673 | 166 |
* Adobe Systems Inc. | 5,274 | 165 |
Applied Materials Inc. | 13,625 | 159 |
* Citrix Systems Inc. | 1,980 | 154 |
Motorola Solutions Inc. | 3,105 | 148 |
* Teradata Corp. | 1,794 | 137 |
* Symantec Corp. | 7,662 | 137 |
* NetApp Inc. | 3,859 | 133 |
Altera Corp. | 3,430 | 128 |
Analog Devices Inc. | 3,172 | 126 |
* Red Hat Inc. | 2,052 | 115 |
Western Union Co. | 6,521 | 115 |
Paychex Inc. | 3,449 | 115 |
* SanDisk Corp. | 2,595 | 107 |
Xerox Corp. | 14,356 | 106 |
Amphenol Corp. Class A | 1,727 | 105 |
* Western Digital Corp. | 2,504 | 105 |
* Fiserv Inc. | 1,457 | 104 |
* Equinix Inc. | 512 | 101 |
CA Inc. | 3,791 | 99 |
* Juniper Networks Inc. | 5,645 | 98 |
Xilinx Inc. | 2,806 | 95 |
Avago Technologies Ltd. | 2,580 | 94 |
* NVIDIA Corp. | 6,578 | 92 |
KLA-Tencor Corp. | 1,781 | 91 |
Maxim Integrated Products Inc. | 3,113 | 84 |
Fidelity National Information Services Inc. | 2,672 | 84 |
* VMware Inc. Class A | 943 | 84 |
* F5 Networks Inc. | 841 | 82 |
* Facebook Inc. Class A | 4,478 | 81 |
Linear Technology Corp. | 2,437 | 80 |
* VeriSign Inc. | 1,673 | 80 |
* Autodesk Inc. | 2,465 | 77 |
* Alliance Data Systems Corp. | 538 | 74 |
Microchip Technology Inc. | 2,068 | 72 |
* Akamai Technologies Inc. | 1,913 | 72 |
* LinkedIn Corp. Class A | 662 | 71 |
* BMC Software Inc. | 1,715 | 71 |
* ANSYS Inc. | 996 | 69 |
* Rackspace Hosting Inc. | 1,153 | 69 |
* Lam Research Corp. | 1,948 | 66 |
* Micron Technology Inc. | 10,550 | 66 |
* Trimble Navigation Ltd. | 1,320 | 65 |
* Skyworks Solutions Inc. | 2,004 | 61 |
* Nuance Communications Inc. | 2,554 | 61 |
* Amdocs Ltd. | 1,787 | 58 |
Harris Corp. | 1,208 | 57 |
Computer Sciences Corp. | 1,659 | 53 |
Activision Blizzard Inc. | 4,494 | 53 |
* TIBCO Software Inc. | 1,755 | 53 |
* Synopsys Inc. | 1,556 | 51 |
Marvell Technology Group Ltd. | 4,969 | 51 |
* Avnet Inc. | 1,547 | 50 |
* Gartner Inc. | 999 | 49 |
* LSI Corp. | 6,098 | 47 |
* Ariba Inc. | 1,050 | 47 |
36
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Jabil Circuit Inc. | 1,989 | 45 |
* Electronic Arts Inc. | 3,341 | 45 |
FactSet Research Systems Inc. | 473 | 44 |
IAC/InterActiveCorp | 827 | 43 |
* MICROS Systems Inc. | 846 | 43 |
* Arrow Electronics Inc. | 1,174 | 43 |
Total System Services Inc. | 1,708 | 40 |
* VeriFone Systems Inc. | 1,135 | 39 |
Molex Inc. | 1,461 | 39 |
* Cadence Design Systems Inc. | 2,908 | 38 |
* NCR Corp. | 1,676 | 38 |
* Informatica Corp. | 1,151 | 38 |
* Fortinet Inc. | 1,389 | 37 |
SAIC Inc. | 3,015 | 37 |
* SolarWinds Inc. | 655 | 36 |
* Concur Technologies Inc. | 486 | 35 |
* Cree Inc. | 1,245 | 35 |
Global Payments Inc. | 835 | 35 |
Jack Henry & Associates Inc. | 932 | 34 |
* Riverbed Technology Inc. | 1,695 | 34 |
* AOL Inc. | 1,005 | 34 |
FLIR Systems Inc. | 1,644 | 33 |
Broadridge Financial Solutions Inc. | 1,345 | 32 |
Solera Holdings Inc. | 747 | 31 |
* Teradyne Inc. | 1,952 | 30 |
* ON Semiconductor Corp. | 4,848 | 30 |
* Cirrus Logic Inc. | 692 | 29 |
* Atmel Corp. | 4,792 | 28 |
* CoreLogic Inc. | 1,154 | 28 |
* Ultimate Software Group Inc. | 283 | 28 |
* Brocade Communications Systems Inc. | 4,836 | 28 |
* Parametric Technology Corp. | 1,292 | 27 |
* JDS Uniphase Corp. | 2,441 | 27 |
* Wright Express Corp. | 412 | 27 |
* NeuStar Inc. Class A | 698 | 26 |
* Advanced Micro Devices Inc. | 6,806 | 25 |
National Instruments Corp. | 977 | 25 |
Lender Processing Services Inc. | 895 | 25 |
* Ingram Micro Inc. | 1,602 | 24 |
* CoStar Group Inc. | 300 | 24 |
* Genpact Ltd. | 1,321 | 24 |
* Aspen Technology Inc. | 980 | 24 |
* CommVault Systems Inc. | 466 | 23 |
* Aruba Networks Inc. | 1,194 | 23 |
* Compuware Corp. | 2,287 | 23 |
* FleetCor Technologies Inc. | 513 | 22 |
FEI Co. | 411 | 22 |
Diebold Inc. | 675 | 22 |
* 3D Systems Corp. | 503 | 22 |
* Tech Data Corp. | 433 | 21 |
* Fusion-io Inc. | 734 | 21 |
* Zebra Technologies Corp. | 548 | 20 |
* IPG Photonics Corp. | 332 | 20 |
* Polycom Inc. | 1,893 | 20 |
* Fairchild Semiconductor International Inc. Class A | 1,348 | 20 |
Convergys Corp. | 1,246 | 19 |
MAXIMUS Inc. | 353 | 19 |
* QLIK Technologies Inc. | 907 | 19 |
* NetSuite Inc. | 336 | 19 |
Cypress Semiconductor Corp. | 1,622 | 19 |
* Microsemi Corp. | 939 | 19 |
* Cymer Inc. | 327 | 19 |
* ACI Worldwide Inc. | 421 | 18 |
Anixter International Inc. | 300 | 18 |
37
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Itron Inc. | 416 | 18 |
DST Systems Inc. | 354 | 18 |
* Hittite Microwave Corp. | 340 | 18 |
* Dolby Laboratories Inc. Class A | 536 | 18 |
* Rovi Corp. | 1,148 | 18 |
* Silicon Laboratories Inc. | 458 | 18 |
* Universal Display Corp. | 427 | 17 |
* Semtech Corp. | 703 | 17 |
Cognex Corp. | 467 | 17 |
Lexmark International Inc. Class A | 776 | 17 |
* Cavium Inc. | 516 | 17 |
* Sourcefire Inc. | 320 | 17 |
* Mentor Graphics Corp. | 995 | 16 |
* Quest Software Inc. | 582 | 16 |
* Arris Group Inc. | 1,186 | 16 |
* OSI Systems Inc. | 218 | 16 |
Plantronics Inc. | 450 | 16 |
InterDigital Inc. | 475 | 16 |
Fair Isaac Corp. | 367 | 16 |
* ViaSat Inc. | 404 | 16 |
MKS Instruments Inc. | 576 | 16 |
* CACI International Inc. Class A | 290 | 15 |
* NETGEAR Inc. | 417 | 15 |
* Stratasys Inc. | 228 | 15 |
* Veeco Instruments Inc. | 427 | 15 |
* Ciena Corp. | 1,049 | 14 |
j2 Global Inc. | 478 | 14 |
* Comverse Technology Inc. | 2,294 | 14 |
* Kenexa Corp. | 300 | 14 |
* Vishay Intertechnology Inc. | 1,438 | 14 |
ADTRAN Inc. | 676 | 14 |
Tellabs Inc. | 3,845 | 14 |
* JDA Software Group Inc. | 443 | 14 |
* ValueClick Inc. | 834 | 14 |
* Acxiom Corp. | 792 | 14 |
* Liquidity Services Inc. | 257 | 13 |
* Finisar Corp. | 961 | 13 |
* Sapient Corp. | 1,290 | 13 |
* First Solar Inc. | 648 | 13 |
* VistaPrint NV | 359 | 13 |
* International Rectifier Corp. | 739 | 13 |
* Cardtronics Inc. | 455 | 13 |
* PMC - Sierra Inc. | 2,193 | 13 |
* Entegris Inc. | 1,459 | 13 |
* QLogic Corp. | 1,047 | 13 |
* Tyler Technologies Inc. | 312 | 13 |
* Progress Software Corp. | 650 | 12 |
Heartland Payment Systems Inc. | 406 | 12 |
* DealerTrack Holdings Inc. | 439 | 12 |
* Coherent Inc. | 256 | 12 |
* TiVo Inc. | 1,324 | 12 |
* VirnetX Holding Corp. | 458 | 12 |
Intersil Corp. Class A | 1,333 | 12 |
Littelfuse Inc. | 228 | 12 |
* Plexus Corp. | 388 | 12 |
* Acme Packet Inc. | 602 | 11 |
Blackbaud Inc. | 467 | 11 |
* MicroStrategy Inc. Class A | 90 | 11 |
* RF Micro Devices Inc. | 2,961 | 11 |
* EchoStar Corp. Class A | 410 | 11 |
* Synaptics Inc. | 361 | 11 |
* Manhattan Associates Inc. | 208 | 11 |
* BroadSoft Inc. | 290 | 10 |
NIC Inc. | 720 | 10 |
38
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* OpenTable Inc. | 239 | 10 |
* TriQuint Semiconductor Inc. | 1,808 | 10 |
Power Integrations Inc. | 288 | 10 |
* SYNNEX Corp. | 285 | 10 |
* RealPage Inc. | 379 | 10 |
* LivePerson Inc. | 584 | 10 |
* Ancestry.com Inc. | 309 | 10 |
* Benchmark Electronics Inc. | 591 | 9 |
* Ultratech Inc. | 286 | 9 |
* Unisys Corp. | 443 | 9 |
* Cornerstone OnDemand Inc. | 344 | 9 |
* Euronet Worldwide Inc. | 516 | 9 |
Syntel Inc. | 156 | 9 |
* Netscout Systems Inc. | 382 | 9 |
* Vantiv Inc. Class A | 398 | 9 |
* OmniVision Technologies Inc. | 549 | 9 |
* Take-Two Interactive Software Inc. | 868 | 9 |
* Monster Worldwide Inc. | 1,222 | 9 |
Loral Space & Communications Inc. | 116 | 9 |
MTS Systems Corp. | 167 | 8 |
* Bottomline Technologies Inc. | 377 | 8 |
* Insight Enterprises Inc. | 471 | 8 |
* ScanSource Inc. | 278 | 8 |
Cabot Microelectronics Corp. | 246 | 8 |
* Bankrate Inc. | 476 | 8 |
* Integrated Device Technology Inc. | 1,536 | 8 |
* CSG Systems International Inc. | 382 | 8 |
Tessera Technologies Inc. | 530 | 8 |
* Advent Software Inc. | 331 | 8 |
* SS&C Technologies Holdings Inc. | 345 | 8 |
* WebMD Health Corp. | 512 | 8 |
EarthLink Inc. | 1,127 | 8 |
* Electronics for Imaging Inc. | 486 | 8 |
* Sanmina-SCI Corp. | 860 | 7 |
* Monolithic Power Systems Inc. | 340 | 7 |
* Rogers Corp. | 179 | 7 |
* Infinera Corp. | 1,244 | 7 |
* Synchronoss Technologies Inc. | 307 | 7 |
* Brightpoint Inc. | 787 | 7 |
* Rofin-Sinar Technologies Inc. | 320 | 7 |
Ebix Inc. | 289 | 7 |
* Ixia | 466 | 7 |
* Diodes Inc. | 374 | 7 |
* MEMC Electronic Materials Inc. | 2,568 | 7 |
* GT Advanced Technologies Inc. | 1,185 | 7 |
* FARO Technologies Inc. | 173 | 7 |
* Verint Systems Inc. | 236 | 7 |
* Blucora Inc. | 432 | 7 |
* Ellie Mae Inc. | 258 | 7 |
* ATMI Inc. | 349 | 7 |
* Digital River Inc. | 395 | 7 |
* ExlService Holdings Inc. | 252 | 6 |
* Emulex Corp. | 947 | 6 |
* Websense Inc. | 418 | 6 |
* Constant Contact Inc. | 321 | 6 |
* Volterra Semiconductor Corp. | 261 | 6 |
* Web.com Group Inc. | 367 | 6 |
* Splunk Inc. | 176 | 6 |
* iGATE Corp. | 373 | 6 |
* Guidewire Software Inc. | 210 | 6 |
* Monotype Imaging Holdings Inc. | 396 | 6 |
Mantech International Corp. Class A | 257 | 6 |
* Spansion Inc. Class A | 500 | 6 |
* Advanced Energy Industries Inc. | 445 | 6 |
39
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Brooks Automation Inc. | 704 | 6 |
* TTM Technologies Inc. | 527 | 6 |
* Freescale Semiconductor Ltd. | 554 | 6 |
* Global Cash Access Holdings Inc. | 717 | 5 |
Park Electrochemical Corp. | 207 | 5 |
* Harmonic Inc. | 1,168 | 5 |
OPNET | 170 | 5 |
* Entropic Communications Inc. | 970 | 5 |
* comScore Inc. | 363 | 5 |
United Online Inc. | 1,029 | 5 |
* InvenSense Inc. | 407 | 5 |
* Tangoe Inc. | 315 | 5 |
Micrel Inc. | 513 | 5 |
* Rambus Inc. | 1,188 | 5 |
Badger Meter Inc. | 148 | 5 |
* RealD Inc. | 503 | 5 |
Comtech Telecommunications Corp. | 177 | 5 |
* Measurement Specialties Inc. | 153 | 5 |
Black Box Corp. | 191 | 5 |
* Interactive Intelligence Group Inc. | 167 | 5 |
Booz Allen Hamilton Holding Corp. | 268 | 5 |
* ServiceSource International Inc. | 527 | 5 |
AVX Corp. | 475 | 5 |
* DTS Inc. | 214 | 5 |
* Procera Networks Inc. | 226 | 5 |
* LogMeIn Inc. | 217 | 5 |
* Newport Corp. | 383 | 5 |
* Active Network Inc. | 416 | 5 |
* Cray Inc. | 407 | 5 |
* Accelrys Inc. | 589 | 5 |
Pegasystems Inc. | 166 | 4 |
* Lattice Semiconductor Corp. | 1,144 | 4 |
* Vocus Inc. | 228 | 4 |
Forrester Research Inc. | 151 | 4 |
* SPS Commerce Inc. | 125 | 4 |
EPIQ Systems Inc. | 371 | 4 |
* Power-One Inc. | 689 | 4 |
* Dice Holdings Inc. | 529 | 4 |
* AuthenTec Inc. | 524 | 4 |
* Quantum Corp. | 2,610 | 4 |
Cass Information Systems Inc. | 104 | 4 |
* Higher One Holdings Inc. | 337 | 4 |
* Intermec Inc. | 700 | 4 |
* Ceva Inc. | 257 | 4 |
* Photronics Inc. | 704 | 4 |
* Responsys Inc. | 430 | 4 |
* Super Micro Computer Inc. | 334 | 4 |
* MoneyGram International Inc. | 256 | 4 |
* Sonus Networks Inc. | 2,095 | 4 |
* Nanometrics Inc. | 265 | 4 |
* Extreme Networks | 1,125 | 4 |
* Amkor Technology Inc. | 850 | 4 |
Electro Rent Corp. | 227 | 4 |
* TeleTech Holdings Inc. | 228 | 4 |
* TNS Inc. | 257 | 4 |
* Virtusa Corp. | 222 | 4 |
* Angie's List Inc. | 386 | 4 |
* Silicon Image Inc. | 779 | 4 |
* OCZ Technology Group Inc. | 650 | 4 |
* Rudolph Technologies Inc. | 393 | 4 |
* Internap Network Services Corp. | 506 | 4 |
* Zynga Inc. Class A | 1,293 | 4 |
Daktronics Inc. | 375 | 4 |
* PROS Holdings Inc. | 207 | 4 |
40
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Mercury Computer Systems Inc. | 359 | 3 |
* Perficient Inc. | 327 | 3 |
Methode Electronics Inc. | 371 | 3 |
* MIPS Technologies Inc. Class A | 514 | 3 |
* Oplink Communications Inc. | 211 | 3 |
* Actuate Corp. | 483 | 3 |
CTS Corp. | 340 | 3 |
* Saba Software Inc. | 349 | 3 |
* VASCO Data Security International Inc. | 339 | 3 |
* Zygo Corp. | 164 | 3 |
* PLX Technology Inc. | 557 | 3 |
* GSI Group Inc. | 346 | 3 |
* Silicon Graphics International Corp. | 360 | 3 |
* Checkpoint Systems Inc. | 381 | 3 |
* Move Inc. | 391 | 3 |
* Stamps.com Inc. | 137 | 3 |
* SciQuest Inc. | 180 | 3 |
* PDF Solutions Inc. | 249 | 3 |
* Avid Technology Inc. | 325 | 3 |
* Applied Micro Circuits Corp. | 569 | 3 |
* Sycamore Networks Inc. | 196 | 3 |
* STEC Inc. | 389 | 3 |
* Anaren Inc. | 146 | 3 |
* Symmetricom Inc. | 466 | 3 |
* Exar Corp. | 374 | 3 |
* Globecomm Systems Inc. | 237 | 3 |
* NVE Corp. | 50 | 3 |
* Inphi Corp. | 236 | 3 |
* Computer Task Group Inc. | 175 | 3 |
Electro Scientific Industries Inc. | 225 | 3 |
* Digi International Inc. | 267 | 3 |
* Demand Media Inc. | 269 | 3 |
* Deltek Inc. | 211 | 3 |
* Glu Mobile Inc. | 538 | 3 |
* Integrated Silicon Solution Inc. | 271 | 3 |
* Imperva Inc. | 88 | 3 |
* Kopin Corp. | 755 | 3 |
* LTX-Credence Corp. | 458 | 3 |
* Fabrinet | 215 | 3 |
* Envestnet Inc. | 221 | 3 |
* QuinStreet Inc. | 293 | 3 |
Bel Fuse Inc. Class B | 128 | 2 |
* Multi-Fineline Electronix Inc. | 101 | 2 |
* FormFactor Inc. | 481 | 2 |
* Jive Software Inc. | 160 | 2 |
* Maxwell Technologies Inc. | 317 | 2 |
* Pericom Semiconductor Corp. | 299 | 2 |
* IXYS Corp. | 244 | 2 |
* Sigma Designs Inc. | 344 | 2 |
* Supertex Inc. | 136 | 2 |
* KVH Industries Inc. | 172 | 2 |
* CIBER Inc. | 672 | 2 |
Keynote Systems Inc. | 167 | 2 |
* Imation Corp. | 384 | 2 |
* ShoreTel Inc. | 548 | 2 |
* Lionbridge Technologies Inc. | 620 | 2 |
* XO Group Inc. | 274 | 2 |
* RealNetworks Inc. | 272 | 2 |
* Zix Corp. | 817 | 2 |
* FSI International Inc. | 337 | 2 |
* Immersion Corp. | 362 | 2 |
* Intevac Inc. | 327 | 2 |
* Seachange International Inc. | 248 | 2 |
* Bazaarvoice Inc. | 136 | 2 |
41
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Cohu Inc. | 227 | 2 |
* CalAmp Corp. | 258 | 2 |
American Software Inc. Class A | 229 | 2 |
* PRGX Global Inc. | 232 | 2 |
* Oclaro Inc. | 731 | 2 |
* ExactTarget Inc. | 88 | 2 |
* Rubicon Technology Inc. | 220 | 2 |
* Kemet Corp. | 397 | 2 |
* Calix Inc. | 342 | 2 |
Richardson Electronics Ltd. | 150 | 2 |
* Limelight Networks Inc. | 766 | 2 |
* KIT Digital Inc. | 533 | 2 |
* Alpha & Omega Semiconductor Ltd. | 182 | 2 |
* Yelp Inc. | 76 | 2 |
* IntraLinks Holdings Inc. | 308 | 2 |
* DSP Group Inc. | 279 | 2 |
* Echelon Corp. | 480 | 2 |
* SunPower Corp. Class A | 356 | 2 |
Digimarc Corp. | 73 | 2 |
* Vishay Precision Group Inc. | 117 | 2 |
* MoSys Inc. | 463 | 2 |
* Callidus Software Inc. | 351 | 2 |
* Parkervision Inc. | 681 | 2 |
* Numerex Corp. Class A | 150 | 2 |
* Travelzoo Inc. | 69 | 2 |
PC Connection Inc. | 126 | 2 |
* Demandware Inc. | 59 | 2 |
* Ubiquiti Networks Inc. | 127 | 2 |
* Infoblox Inc. | 70 | 2 |
* Westell Technologies Inc. Class A | 705 | 2 |
* Rosetta Stone Inc. | 131 | 1 |
* AXT Inc. | 440 | 1 |
* MaxLinear Inc. | 254 | 1 |
* Aviat Networks Inc. | 635 | 1 |
* Aeroflex Holding Corp. | 201 | 1 |
Telular Corp. | 149 | 1 |
* NeoPhotonics Corp. | 256 | 1 |
* support.com Inc. | 458 | 1 |
* Unwired Planet Inc. | 799 | 1 |
* Guidance Software Inc. | 129 | 1 |
* Ultra Clean Holdings | 223 | 1 |
* Intermolecular Inc. | 167 | 1 |
* Palo Alto Networks Inc. | 19 | 1 |
* Millennial Media Inc. | 103 | 1 |
* Datalink Corp. | 137 | 1 |
Mesa Laboratories Inc. | 24 | 1 |
* Axcelis Technologies Inc. | 1,050 | 1 |
* Sapiens International Corp. NV | 282 | 1 |
* ePlus Inc. | 31 | 1 |
PC-Tel Inc. | 166 | 1 |
* Carbonite Inc. | 138 | 1 |
* Key Tronic Corp. | 94 | 1 |
* Market Leader Inc. | 198 | 1 |
* Audience Inc. | 55 | 1 |
* Pervasive Software Inc. | 119 | 1 |
* QuickLogic Corp. | 347 | 1 |
Tessco Technologies Inc. | 49 | 1 |
* ModusLink Global Solutions Inc. | 304 | 1 |
* Radisys Corp. | 246 | 1 |
* Ipass Inc. | 466 | 1 |
* Agilysys Inc. | 100 | 1 |
* Hackett Group Inc. | 221 | 1 |
* Innodata Inc. | 199 | 1 |
* Neonode Inc. | 202 | 1 |
42
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Mindspeed Technologies Inc. | 310 | 1 |
* TeleNav Inc. | 124 | 1 |
* Proofpoint Inc. | 57 | 1 |
* STR Holdings Inc. | 209 | 1 |
* M/A-COM Technology Solutions Holdings Inc. | 55 | 1 |
Aware Inc. | 103 | 1 |
* Spark Networks Inc. | 103 | 1 |
* ANADIGICS Inc. | 492 | 1 |
* TechTarget Inc. | 98 | 1 |
* AVG Technologies NV | 52 | 1 |
* GSI Technology Inc. | 119 | 1 |
* Mattersight Corp. | 92 | 1 |
* Mattson Technology Inc. | 525 | — |
* Synacor Inc. | 61 | — |
* Brightcove Inc. | 37 | — |
* EPAM Systems Inc. | 25 | — |
* FalconStor Software Inc. | 202 | — |
Marchex Inc. Class B | 102 | — |
QAD Inc. Class A | 28 | — |
* Viasystems Group Inc. | 14 | — |
* Envivio Inc. | 70 | — |
* Ambient Corp. | 25 | — |
* MeetMe Inc. | 45 | — |
31,867 | ||
Materials (3.9%) | ||
EI du Pont de Nemours & Co. | 9,961 | 496 |
Monsanto Co. | 5,671 | 494 |
Dow Chemical Co. | 12,707 | 372 |
Freeport-McMoRan Copper & Gold Inc. | 10,089 | 364 |
Praxair Inc. | 3,175 | 335 |
Newmont Mining Corp. | 5,215 | 264 |
Air Products & Chemicals Inc. | 2,248 | 186 |
Mosaic Co. | 3,153 | 183 |
PPG Industries Inc. | 1,619 | 178 |
Ecolab Inc. | 2,765 | 177 |
LyondellBasell Industries NV Class A | 3,415 | 167 |
International Paper Co. | 4,649 | 161 |
CF Industries Holdings Inc. | 698 | 145 |
Sherwin-Williams Co. | 924 | 132 |
Nucor Corp. | 3,371 | 127 |
Alcoa Inc. | 11,384 | 97 |
Sigma-Aldrich Corp. | 1,288 | 92 |
Eastman Chemical Co. | 1,626 | 90 |
FMC Corp. | 1,452 | 79 |
Ball Corp. | 1,673 | 71 |
Celanese Corp. Class A | 1,673 | 64 |
Ashland Inc. | 829 | 61 |
Airgas Inc. | 725 | 60 |
* Crown Holdings Inc. | 1,575 | 57 |
Southern Copper Corp. | 1,718 | 56 |
Royal Gold Inc. | 627 | 55 |
Cliffs Natural Resources Inc. | 1,528 | 55 |
Vulcan Materials Co. | 1,374 | 53 |
Valspar Corp. | 992 | 53 |
MeadWestvaco Corp. | 1,839 | 53 |
International Flavors & Fragrances Inc. | 865 | 52 |
Albemarle Corp. | 946 | 52 |
Rock-Tenn Co. Class A | 756 | 50 |
* WR Grace & Co. | 800 | 46 |
Reliance Steel & Aluminum Co. | 791 | 41 |
RPM International Inc. | 1,392 | 38 |
Martin Marietta Materials Inc. | 486 | 37 |
Aptargroup Inc. | 707 | 36 |
43
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Rockwood Holdings Inc. | 732 | 35 |
Allegheny Technologies Inc. | 1,139 | 34 |
Cytec Industries Inc. | 493 | 34 |
Packaging Corp. of America | 1,046 | 34 |
Bemis Co. Inc. | 1,100 | 33 |
Sonoco Products Co. | 1,074 | 33 |
* Allied Nevada Gold Corp. | 949 | 31 |
* Owens-Illinois Inc. | 1,762 | 31 |
United States Steel Corp. | 1,543 | 30 |
Sealed Air Corp. | 2,089 | 30 |
Huntsman Corp. | 2,064 | 30 |
Steel Dynamics Inc. | 2,360 | 29 |
Domtar Corp. | 391 | 28 |
Compass Minerals International Inc. | 346 | 25 |
Cabot Corp. | 668 | 23 |
NewMarket Corp. | 91 | 22 |
* Coeur d'Alene Mines Corp. | 965 | 22 |
Carpenter Technology Corp. | 465 | 22 |
Silgan Holdings Inc. | 516 | 22 |
Walter Energy Inc. | 652 | 21 |
Eagle Materials Inc. | 480 | 20 |
* Louisiana-Pacific Corp. | 1,461 | 20 |
Sensient Technologies Corp. | 528 | 19 |
Olin Corp. | 860 | 18 |
Scotts Miracle-Gro Co. Class A | 435 | 18 |
* Chemtura Corp. | 1,070 | 18 |
HB Fuller Co. | 547 | 17 |
Hecla Mining Co. | 2,965 | 16 |
Commercial Metals Co. | 1,255 | 16 |
* Tahoe Resources Inc. | 866 | 16 |
PolyOne Corp. | 972 | 15 |
Westlake Chemical Corp. | 213 | 15 |
Greif Inc. Class A | 325 | 14 |
Georgia Gulf Corp. | 364 | 14 |
Minerals Technologies Inc. | 196 | 13 |
* Stillwater Mining Co. | 1,257 | 13 |
Buckeye Technologies Inc. | 425 | 13 |
* Intrepid Potash Inc. | 556 | 12 |
* SunCoke Energy Inc. | 763 | 12 |
Worthington Industries Inc. | 576 | 12 |
Kaiser Aluminum Corp. | 211 | 12 |
Balchem Corp. | 315 | 12 |
Innophos Holdings Inc. | 227 | 11 |
Titanium Metals Corp. | 857 | 11 |
Schweitzer-Mauduit International Inc. | 320 | 10 |
* Resolute Forest Products | 821 | 10 |
* Graphic Packaging Holding Co. | 1,806 | 10 |
Globe Specialty Metals Inc. | 644 | 9 |
* Clearwater Paper Corp. | 241 | 9 |
* Texas Industries Inc. | 228 | 9 |
* Molycorp Inc. | 765 | 9 |
Stepan Co. | 92 | 9 |
American Vanguard Corp. | 293 | 9 |
AMCOL International Corp. | 279 | 8 |
* McEwen Mining Inc. | 2,102 | 8 |
* KapStone Paper and Packaging Corp. | 407 | 8 |
PH Glatfelter Co. | 475 | 8 |
A Schulman Inc. | 326 | 8 |
Boise Inc. | 1,047 | 8 |
* LSB Industries Inc. | 209 | 8 |
* Calgon Carbon Corp. | 577 | 8 |
* Innospec Inc. | 250 | 8 |
Schnitzer Steel Industries Inc. | 267 | 7 |
Koppers Holdings Inc. | 221 | 7 |
44
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Kraton Performance Polymers Inc. | 331 | 7 |
Deltic Timber Corp. | 113 | 7 |
Quaker Chemical Corp. | 147 | 7 |
* RTI International Metals Inc. | 317 | 7 |
* Flotek Industries Inc. | 560 | 7 |
Haynes International Inc. | 130 | 6 |
* OM Group Inc. | 343 | 6 |
AK Steel Holding Corp. | 1,173 | 6 |
Gold Resource Corp. | 296 | 6 |
* TPC Group Inc. | 136 | 6 |
Myers Industries Inc. | 328 | 5 |
Materion Corp. | 218 | 5 |
Tredegar Corp. | 285 | 5 |
Neenah Paper Inc. | 158 | 4 |
* Headwaters Inc. | 652 | 4 |
* Horsehead Holding Corp. | 478 | 4 |
* Golden Star Resources Ltd. | 2,975 | 4 |
Hawkins Inc. | 106 | 4 |
Kronos Worldwide Inc. | 235 | 4 |
Wausau Paper Corp. | 442 | 4 |
* Century Aluminum Co. | 608 | 4 |
* Omnova Solutions Inc. | 433 | 3 |
* Ferro Corp. | 979 | 3 |
Zep Inc. | 218 | 3 |
* Paramount Gold and Silver Corp. | 1,217 | 3 |
* Zoltek Cos. Inc. | 339 | 3 |
* Landec Corp. | 274 | 3 |
FutureFuel Corp. | 231 | 2 |
* AEP Industries Inc. | 45 | 2 |
Noranda Aluminum Holding Corp. | 371 | 2 |
* Universal Stainless & Alloy | 61 | 2 |
* Vista Gold Corp. | 711 | 2 |
* Spartech Corp. | 413 | 2 |
Olympic Steel Inc. | 121 | 2 |
* ADA-ES Inc. | 81 | 2 |
* US Silica Holdings Inc. | 158 | 2 |
* General Moly Inc. | 683 | 2 |
* Gold Reserve Inc. Class A | 470 | 2 |
KMG Chemicals Inc. | 98 | 2 |
* AM Castle & Co. | 137 | 2 |
* Metals USA Holdings Corp. | 128 | 2 |
* Midway Gold Corp. | 1,280 | 2 |
* Arabian American Development Co. | 179 | 2 |
Chase Corp. | 93 | 2 |
* US Antimony Corp. | 482 | 1 |
* Golden Minerals Co. | 218 | 1 |
* UFP Technologies Inc. | 50 | 1 |
* United States Lime & Minerals Inc. | 18 | 1 |
* GSE Holding Inc. | 52 | — |
* Revett Minerals Inc. | 123 | — |
* Handy & Harman Ltd. | 27 | — |
6,393 | ||
Telecommunication Services (2.8%) | ||
AT&T Inc. | 62,322 | 2,283 |
Verizon Communications Inc. | 30,200 | 1,297 |
CenturyLink Inc. | 6,604 | 279 |
* Crown Castle International Corp. | 3,115 | 198 |
* Sprint Nextel Corp. | 31,877 | 155 |
* SBA Communications Corp. Class A | 1,290 | 77 |
Windstream Corp. | 6,204 | 61 |
Frontier Communications Corp. | 10,645 | 49 |
* tw telecom inc Class A | 1,590 | 40 |
* Level 3 Communications Inc. | 1,726 | 37 |
* MetroPCS Communications Inc. | 3,259 | 32 |
45
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Telephone & Data Systems Inc. | 1,010 | 25 |
* NII Holdings Inc. | 1,755 | 11 |
Cogent Communications Group Inc. | 510 | 10 |
* Cincinnati Bell Inc. | 2,047 | 10 |
Consolidated Communications Holdings Inc. | 402 | 6 |
* Clearwire Corp. Class A | 3,849 | 6 |
* United States Cellular Corp. | 142 | 5 |
* Premiere Global Services Inc. | 576 | 5 |
* magicJack VocalTec Ltd. | 178 | 4 |
* Vonage Holdings Corp. | 1,906 | 4 |
* 8x8 Inc. | 678 | 4 |
Shenandoah Telecommunications Co. | 259 | 4 |
* Iridium Communications Inc. | 499 | 4 |
* General Communication Inc. Class A | 410 | 4 |
Atlantic Tele-Network Inc. | 92 | 3 |
* Neutral Tandem Inc. | 283 | 3 |
* Leap Wireless International Inc. | 549 | 3 |
USA Mobility Inc. | 225 | 3 |
* Cbeyond Inc. | 282 | 2 |
NTELOS Holdings Corp. | 133 | 2 |
IDT Corp. Class B | 198 | 2 |
* Fairpoint Communications Inc. | 282 | 2 |
* ORBCOMM Inc. | 514 | 2 |
* inContact Inc. | 315 | 2 |
HickoryTech Corp. | 168 | 2 |
* Towerstream Corp. | 399 | 2 |
* Hawaiian Telcom Holdco Inc. | 92 | 2 |
Primus Telecommunications Group Inc. | 109 | 2 |
* Boingo Wireless Inc. | 142 | 1 |
Lumos Networks Corp. | 119 | 1 |
4,644 | ||
Utilities (3.6%) | ||
Duke Energy Corp. | 7,482 | 485 |
Southern Co. | 9,234 | 419 |
Exelon Corp. | 9,061 | 330 |
Dominion Resources Inc. | 6,075 | 319 |
NextEra Energy Inc. | 4,434 | 298 |
American Electric Power Co. Inc. | 5,149 | 221 |
PG&E Corp. | 4,490 | 195 |
FirstEnergy Corp. | 4,446 | 194 |
Consolidated Edison Inc. | 3,114 | 189 |
PPL Corp. | 6,166 | 181 |
Public Service Enterprise Group Inc. | 5,378 | 170 |
Sempra Energy | 2,562 | 170 |
Edison International | 3,464 | 152 |
Xcel Energy Inc. | 5,177 | 144 |
Entergy Corp. | 1,884 | 128 |
Northeast Utilities | 3,334 | 126 |
DTE Energy Co. | 1,814 | 106 |
ONEOK Inc. | 2,220 | 99 |
CenterPoint Energy Inc. | 4,543 | 93 |
Wisconsin Energy Corp. | 2,438 | 93 |
Ameren Corp. | 2,585 | 85 |
* AES Corp. | 6,847 | 78 |
* Calpine Corp. | 4,285 | 75 |
NiSource Inc. | 3,020 | 74 |
American Water Works Co. Inc. | 1,883 | 69 |
CMS Energy Corp. | 2,797 | 65 |
Pinnacle West Capital Corp. | 1,173 | 60 |
SCANA Corp. | 1,237 | 59 |
OGE Energy Corp. | 1,044 | 56 |
Alliant Energy Corp. | 1,177 | 52 |
NRG Energy Inc. | 2,426 | 52 |
AGL Resources Inc. | 1,250 | 50 |
46
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Pepco Holdings Inc. | 2,439 | 47 |
Integrys Energy Group Inc. | 838 | 45 |
NV Energy Inc. | 2,529 | 44 |
MDU Resources Group Inc. | 2,027 | 44 |
TECO Energy Inc. | 2,272 | 39 |
ITC Holdings Corp. | 542 | 39 |
Westar Energy Inc. | 1,331 | 39 |
National Fuel Gas Co. | 768 | 38 |
Questar Corp. | 1,884 | 37 |
Aqua America Inc. | 1,471 | 37 |
UGI Corp. | 1,191 | 36 |
Atmos Energy Corp. | 958 | 33 |
Great Plains Energy Inc. | 1,457 | 31 |
Hawaiian Electric Industries Inc. | 1,041 | 28 |
Cleco Corp. | 659 | 27 |
Vectren Corp. | 856 | 24 |
Piedmont Natural Gas Co. Inc. | 750 | 23 |
IDACORP Inc. | 526 | 22 |
Portland General Electric Co. | 793 | 21 |
WGL Holdings Inc. | 541 | 21 |
* GenOn Energy Inc. | 8,327 | 21 |
Southwest Gas Corp. | 486 | 21 |
New Jersey Resources Corp. | 439 | 20 |
UIL Holdings Corp. | 537 | 19 |
PNM Resources Inc. | 857 | 18 |
UNS Energy Corp. | 434 | 17 |
Atlantic Power Corp. | 1,224 | 17 |
ALLETE Inc. | 410 | 17 |
South Jersey Industries Inc. | 327 | 17 |
Black Hills Corp. | 483 | 17 |
Avista Corp. | 631 | 16 |
El Paso Electric Co. | 440 | 15 |
NorthWestern Corp. | 374 | 14 |
Northwest Natural Gas Co. | 278 | 14 |
MGE Energy Inc. | 249 | 12 |
Laclede Group Inc. | 251 | 11 |
CH Energy Group Inc. | 156 | 10 |
Empire District Electric Co. | 470 | 10 |
American States Water Co. | 195 | 8 |
Otter Tail Corp. | 366 | 8 |
California Water Service Group | 429 | 8 |
Chesapeake Utilities Corp. | 108 | 5 |
Unitil Corp. | 161 | 4 |
SJW Corp. | 136 | 3 |
Ormat Technologies Inc. | 163 | 3 |
Middlesex Water Co. | 151 | 3 |
Connecticut Water Service Inc. | 90 | 3 |
York Water Co. | 136 | 2 |
Artesian Resources Corp. Class A | 88 | 2 |
Consolidated Water Co. Ltd. | 210 | 2 |
* Cadiz Inc. | 180 | 1 |
Genie Energy Ltd. Class B | 181 | 1 |
Delta Natural Gas Co. Inc. | 61 | 1 |
* American DG Energy Inc. | 219 | — |
5,902 | ||
Total Common Stocks (Cost $156,650) | 164,441 |
47
Vanguard® Russell 3000 Index Fund
Schedule of Investments
August 31, 2012
Market | ||||
Value | ||||
Coupon | Shares | ($000) | ||
Temporary Cash Investments (0.2%)1 | ||||
Money Market Fund (0.1%) | ||||
2,3 Vanguard Market Liquidity Fund | 0.158% | 191,000 | 191 | |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
U.S. Government and Agency Obligations (0.1%) | ||||
4 United States Treasury Note/Bond | 1.375% | 9/15/12 | 100 | 100 |
Total Temporary Cash Investments (Cost $291) | 291 | |||
Total Investments (99.8%) (Cost $156,941) | 164,732 | |||
Other Assets and Liabilities—Net (0.2%)2 | 308 | |||
Net Assets (100%) | 165,040 |
__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
Securities with a value of less than $500 are displayed with a dash.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $1,000.
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 -0.2%, respectively, of net
assets.
2 Includes $2,000 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 $100,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
48
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 3000 Index Fund:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements (not presented herein) of Vanguard Russell 3000 Index Fund (constituting a separate portfolio of Vanguard Scottsdale Funds, hereafter referred to as the “Fund”) as of August 31, 2012 and for the year then ended and have issued our unqualified report thereon dated October 16, 2012. Our audit included an audit of the Fund’s schedule of investments as of August 31, 2012. This schedule of investments is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this schedule of investments based on our audit.
In our opinion, the accompanying schedule of investments referred to above, when read in conjunction with the financial statements of the Fund referred to above, presents fairly, in all material respects, the information set forth therein.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2012
49
© 2012 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 18540 102012
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, and Alfred M. Rankin, Jr.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended August 31, 2012: $455,000
Fiscal Year Ended August 31, 2011: $370,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2012: $4,809,780
Fiscal Year Ended August 31, 2011: $3,978,540
(b) Audit-Related Fees.
Fiscal Year Ended August 31, 2012: $1,812,565
Fiscal Year Ended August 31, 2011: $1,341,750
Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(c) Tax Fees.
Fiscal Year Ended August 31, 2012: $490,518
Fiscal Year Ended August 31, 2011: $373,830
Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.
(d) All Other Fees.
Fiscal Year Ended August 31, 2012: $16,000
Fiscal Year Ended August 31, 2011: $16,000
Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended August 31, 2012: $506,518
Fiscal Year Ended August 31, 2011: $389,830
Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: Emerson U. Fullwood, Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, Alfred M. Rankin, Jr., and Peter F. Volanakis.
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) Code of Ethics.
(b) 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: October 17, 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: October 17, 2012
| |
VANGUARD SCOTTSDALE FUNDS | |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER
| |
Date: October 17, 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.