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
Name of Registrant: Vanguard Scottsdale Funds
Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2012 – August 31, 2013
Item 1: Reports to Shareholders
Annual Report | August 31, 2013
Vanguard Explorer Value™ Fund
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/explorervaluex1x2.jpg)
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisors’ Report. | 9 |
Fund Profile. | 13 |
Performance Summary. | 14 |
Financial Statements. | 16 |
Your Fund’s After-Tax Returns. | 28 |
About Your Fund’s Expenses. | 29 |
Glossary. | 31 |
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: The ship's wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMS Vanguard, another ship of that era, served as the flagship for Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns | ||||
Fiscal Year Ended August 31, 2013 | ||||
Total | ||||
Returns | ||||
Vanguard Explorer Value Fund | 29.19% | |||
Russell 2500 Value Index | 24.86 | |||
Small-Cap Value Funds Average | 26.46 | |||
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Your Fund’s Performance at a Glance August 31, 2012, Through August 31, 2013 | ||||
Distributions Per Share | ||||
Starting | Ending | |||
Share | Share | Income | Capital | |
Price | Price | Dividends | Gains | |
Vanguard Explorer Value Fund | $23.44 | $29.39 | $0.290 | $0.444 |
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![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/explorervaluex4x1.jpg)
Chairman’s Letter
Dear Shareholder,
Vanguard Explorer Value Fund returned 29.19% for the 12 months ended August 31, 2013, as smaller-capitalization stocks continued to outperform large-cap stocks.
The fund’s return led that of its benchmark index, the Russell 2500 Value Index, by more than four percentage points. The fund also beat the average return for small-cap value funds.
All ten of Explorer Value’s industry sectors recorded double-digit gains for the fiscal year. The fund’s three advisors chose especially strong performers in the financial, telecommunication services, and consumer staples sectors. Only the fund’s information technology and consumer discretionary stocks lagged their counterpart sectors in the benchmark.
If you hold shares of the 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. Please note that as of August 31, 2013, the fund had realized short-term capital gains of $0.50 per share and long-term gains of $1.06, together accounting for about 5% of fund assets. Gains are distributed in December.
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Stocks posted robust results despite setbacks at the finish
U.S. stocks advanced about 20% during the 12 months despite slipping in June and August. Through most of the fiscal year, stocks surged as the economy continued to show modest growth and investors appeared more receptive to risk.
Much of the market’s recent weakness stemmed from fear that the Federal Reserve would begin scaling back its stimulative bond-buying program. Heightened strife in the Middle East also contributed to anxiety in the global markets.
International stocks in aggregate finished with a return of about 13%. Developed markets in the Pacific region and Europe posted results closer to those of the United States. Returns for emerging-market stocks overall were virtually flat as economic growth slowed in China and Brazil.
Although global economic worries and tensions over conflicts abroad have unsettled markets, Jonathan Lemco, a senior sovereign-debt analyst in Vanguard’s Taxable Credit Research Group, pointed out that investors can still manage risks amid international instability. “Vanguard believes a diversified portfolio is the best way to spread the risk of geopolitical uncertainty,” he said.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2013 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.84% | 18.74% | 7.59% |
Russell 2000 Index (Small-caps) | 26.27 | 20.50 | 7.98 |
Russell 3000 Index (Broad U.S. market) | 20.32 | 18.87 | 7.63 |
MSCI All Country World Index ex USA (International) | 12.98 | 6.93 | 1.48 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.47% | 2.58% | 4.93% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -3.70 | 2.45 | 4.52 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.07 | 0.08 | 0.17 |
CPI | |||
Consumer Price Index | 1.52% | 2.32% | 1.32% |
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Bond returns turned negative amid worry about the Fed’s next move
Bonds, which maintained slightly positive returns through the first eight months of the period, reversed course in May and then continued to retreat as investors anticipated reductions in the Fed’s bond-buying program.
The broad U.S. taxable bond market returned –2.47% for the 12 months. The yield of the 10-year Treasury note finished at 2.76%, up from 1.56% at the end of August 2012. (Bond yields and prices move in opposite directions.) Municipal bonds suffered more, returning –3.70% for the fiscal year.
Returns for money market funds and savings accounts were minuscule as the Fed kept its target for short-term interest rates at 0%–0.25%.
Advisors’ picks in eight sectors helped the fund top the benchmark
The Explorer Value Fund posted its third straight double-digit gain for a fiscal year as small-cap stocks once again outperformed large-caps in the U.S. stock market. All ten sectors represented in the fund rose at least 11%, with several advancing more than 50%.
The fund’s three advisors, Frontier Capital Management, Cardinal Capital Management, and Sterling Capital Management, employ distinct but complementary methods in identifying
Expense Ratios | ||
Your Fund Compared With Its Peer Group | ||
Peer Group | ||
Fund | Average | |
Explorer Value Fund | 0.63% | 1.40% |
The fund expense ratio shown is from the prospectus dated April 23, 2013, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the fund’s expense ratio was 0.60%. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2012.
Peer group: Small-Cap Value Funds.
4
undervalued companies that they believe can outperform the market. Their efforts were largely successful, as the fund’s holdings in eight of ten sectors outdistanced the corresponding segments in the Russell 2500 Value Index.
The advisors’ stock selections had the greatest impact in the financial sector, the fund’s largest. These holdings rose more than 32% thanks to strong performances from banks and consumer finance stocks, which benefited from increasing loan business.
The next most significant contributors to the fund’s outperformance were its health care stocks. Although this group made up only about 5% of the fund, the advisors’ selections advanced 51% as companies providing equipment and services for health care and the life sciences recorded strong gains.
The fund’s two smallest sectors actually posted the highest total returns. A handful of holdings in the telecommunications arena, making up only 1% of the fund, soared 92%, providing an outsized boost. Consumer staples stocks, which constituted less than 2% of fund assets, rose an impressive 63%. Together, these two tiny corners of the small-cap value market provided more than one-tenth of the fund’s performance advantage over the benchmark.
Total Returns | |
Inception Through August 31, 2013 | |
Average | |
Annual Return | |
Explorer Value Fund (Returns since inception: 3/30/2010) | 15.27% |
Russell 2500 Value Index | 13.04 |
Small-Cap Value Funds Average | 12.39 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (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.
5
Investment insight |
Growth stocks versus value stocks: A case for both |
Growth and value stocks typically take turns outperforming each other. The chart |
here shows how they have switched off during the past 20 years in leading or |
lagging a broader market average. |
These two styles of investing are typically considered complementary—when growth |
is performing well, value typically isn’t, and vice versa. Generally speaking, growth |
stocks represent companies that are expected to expand their businesses at a rapid |
pace, while value stocks typically represent more established, slower-growing |
companies. |
Which does better in the long run? Neither. Vanguard research has shown that there |
is no significant long-term difference in the risk/reward characteristics of growth and |
value stocks. But, because their performance can vary considerably over shorter time |
periods, a truly diversified portfolio should have exposure to both. |
Rolling 12-month return differences, 1993–2012 |
![]() |
Note: “Rolling” means here that 12-month returns were calculated from the start of each month in the 20-year period ended December 31, 2012.
Sources: Vanguard and Russell Investments.
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Only two sectors failed to beat their counterparts in the Russell 2500 Value Index: information technology and consumer discretionary. Still, gains in both industries were healthy, at 21% and 36% respectively.
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’s admirable performance needs to be kept in perspective
Since its launch on March 30, 2010, the Explorer Value Fund has done well, outperforming its benchmark index and peer-group average over the full period. At the same time, the small-cap stocks that the fund focuses on have outgained larger-company stocks in the broad market.
It’s very important to keep in mind that small-cap stocks can just as easily underperform large-caps in any given 12-month period. And in fact, they did so for some 12-month periods within the past three years.
Over longer periods, the performance of these two segments of the U.S. market tends to converge, as you can see in the Market Barometer table on page 3. The difference in total return between large-cap stocks (represented by the Russell 1000 Index) and small-cap stocks (the Russell 2000 Index) is noticeable over the past 12 months. But the gap is narrower when returns are averaged over the past three years and is even smaller over five years.
Experienced long-term investors know that all segments of the stock market take turns in the lead, and the market as a whole goes through ups and downs, sometimes lasting for extensive periods. Explorer Value’s outstanding record since its inception should not be taken as an indicator of its future performance, whether short-term or long-term. Stock investors, particularly those exploring the relatively volatile small-cap world, should expect stormy seas and setbacks from time to time.
But over the long term, investing in small-cap value stocks can give you the chance to profit from the resourcefulness of small companies. That’s why we believe Vanguard Explorer Value Fund can play a valuable role in an otherwise diversified and well-balanced portfolio.
The benefit of combining low costs with diversity of thought
Investors sometimes ask why Vanguard uses a multi-manager approach for many of its actively managed equity funds. Just as we recommend diversification within and across asset classes for an investor’s overall portfolio, we think significant benefits can accrue from using multiple advisory firms for a single fund: diversity of investment process and style, thought, and holdings.
All of these elements can lead to less risk and better results. Because not all investment managers invest the same way, their returns relative to the benchmark don’t move in lockstep.
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As with many other investment topics, however, there are some misconceptions about the benefits of using a multi-manager approach. For example, it is often suggested that the best ideas of the advisors are diluted when they are combined in one portfolio. Recent Vanguard research has found otherwise.
Conventional wisdom also suggests that multi-manager funds tend to be expensive. At Vanguard, this is not the case, because low costs are a hallmark of all our offerings. And Vanguard research indicates that low costs can contribute greatly to investing success, helping investors keep more of a portfolio’s return. (You can read more in Analyzing Multi-Manager Funds: Does Management Structure Affect Performance? at vanguard.com/research.)
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/explorervaluex10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
September 13, 2013
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Advisors’ Report
For the fiscal year ended August 31, 2013, Vanguard Explorer Value Fund returned 29.19%. 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 classifications, rather than by the Global Industry Classification Standard used elsewhere in this report.) These comments were prepared on September 17, 2013.
Vanguard Explorer Value Fund Investment Advisors | |||
Fund Assets Managed | |||
Investment Advisor | % | $ Million | Investment Strategy |
Cardinal Capital Management, | 32 | 71 | 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 | 32 | 70 | 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. | ||
Frontier Capital Management Co., | 31 | 69 | 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. | |||
Cash Investments | 5 | 12 | 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. |
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Cardinal Capital Management, L.L.C.
Portfolio Managers:
Amy K. Minella, Managing Partner Robert B. Kirkpatrick, CFA, Managing Partner Eugene Fox III, Managing Partner
The strong performance of domestic equities during the fiscal year was consistent with a more optimistic view of the economy and of U.S. growth prospects. Although government sequestration and higher taxes have been felt, the salutary effects of the housing recovery, combined with the “wealth effect” produced by higher stock prices, have led to higher consumer spending.
Long-term interest rates rose sharply after the Federal Reserve indicated that it would begin tapering its asset purchases if the economy continued to improve. The question is whether this major increase in interest rates will derail the modest economic recovery that is underway, given that overseas economies remain weak, as Europe has been in recession and growth has slowed in China and other emerging markets.
Our portfolio’s relative performance benefited from stock selection in the consumer staples and financial sectors. The stock of Herbalife, a global nutrition company, climbed on strong results and the expectation that the company would accelerate its share-repurchase program, although a change in auditor delayed that.
Shares of CapitalSource, a California-based commercial lender, rose sharply on the announcement of its merger with PacWest Bancorp.
Detractors from relative performance included stock selection in the information technology and industrial sectors and the drag that came from holding residual cash in a strong market. Shares of IAC/InterActiveCorp, a leading media and Internet firm, declined modestly as investors questioned whether the company’s profitability and strong growth rates would suffer from the migration to mobile devices. Atlas Air Worldwide, an international air-freight logistics provider, lagged as the company lowered guidance in expectation of a less-profitable peak season.
Our investment outlook remains cautiously optimistic: cautious because of Europe’s problems, political headwinds in the United States, and a continued slowdown in government spending at all levels; optimistic because of several positive influences that should support the U.S. stock market, including easy monetary policy, improvement in the housing market and its related wealth effect, and tame inflation. Further, companies are holding record levels of cash, and a rebound in mergers and acquisitions should support corporate earnings growth. As business confidence and credit markets have continued to improve, the corporate managements of companies in our portfolio have been actively employing their free cash flow and debt capacity to make acquisitions and share repurchases.
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Sterling Capital Management LLC
Portfolio Managers:
Eduardo A. Brea, CFA, Managing Director Timothy P. Beyer, CFA, Managing Director
The capital markets are adjusting to the eventual tapering of the Federal Reserve’s purchases of U.S. Treasury and agency obligations. Treasuries and other yield-oriented bond and stock investments, the “darlings of the market” over the past few years, began to recede as intermediate interest rates rose. Our underweighting of these richly valued, yield-oriented sectors of the market enhanced our results relative to the benchmark.
Our relative performance also benefited from both stock selection and sector selection. Financial services provided the lion’s share of the outperformance, led by E*TRADE Financial, Lincoln National, and Investment Technology Group. We also witnessed a sharp recovery in Lexmark International and Omnicare, while Life Technologies announced that it was being acquired by Thermo Fisher Scientific at a significant premium to our cost.
We did face a sharp decline in EarthLink, a long-time portfolio holding. We have become less convinced that the mature local-exchange carrier services can maintain their strength against strong competitive cable offerings for small businesses. Forest Oil and Itron also performed poorly. Forest is selling assets to reduce its large debt balances, something that we expect to improve the remaining equity value. Itron, which sells electric, gas, and water metering equipment globally, is facing a weaker backlog following large order fulfillments in its North American business.
We focus on finding exceptional, well-managed businesses whose stocks are selling at attractive prices. We define quality businesses as those that generate substantial levels of free cash flow, have numerous reinvestment opportunities at attractive returns, and enjoy competitive advantages. We think a quality management team is shareholder-oriented and allocates capital to increase shareholder value.
Although the geopolitical landscape remains uncertain (when isn’t it?), the recent rise in interest rates has important implications for investors. Companies with growing earnings and reinvestment plans will be increasingly favored over bonds and high-yield-oriented equities. The merger-and-acquisition marketplace appears to be heating up as well. This backdrop should favor our investment process, which is built on finding companies poised to return to more favorable free cash flows, balance-sheet strength, and low valuations.
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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 both stock selection and sector selection relative to our benchmark, with outperformance largely driven by financial services, producer durables, and materials and processing.
Our portfolio’s ten largest contributors were spread over five sectors. They included three financial services companies, one energy stock, and two stocks each from producer durables, materials and processing, and health care.
The most significant contributor was Saia, a leading freight carrier operating in 34 states. Saia generates revenue by collecting, aggregating, and delivering shipments from customers that do not have enough freight for dedicated truckloads. Its stock climbed after the company reported earnings that exceeded consensus estimates. Saia’s profitability came from higher rates and improved productivity. We believe the company can continue to expand its operating margin in coming years.
The portfolio’s largest detractors also were spread over several sectors; they included four technology holdings and two companies each from consumer discretionary and producer durables. The technology stocks were from three different industries within that sector.
The holding that hurt results most was Pericom Semiconductor, which sells chips that improve the speed and quality of data in electronic devices. In January, the company announced weaker-than-expected revenues for its fiscal second quarter, attributing the shortfall to challenging global macroeconomic conditions and softness in the personal computer industry. We continue to own the stock, as most of Pericom’s end-markets—telecommunications and networking, for example—offer better growth and profitability characteristics than its personal computer business. Furthermore, the stock is inexpensive, trading below its historical median valuations on measures such as tangible book value and enterprise-value-to-sales.
During the period we bought 20 new stocks and also sold 20 holdings. The purchases were spread across eight sectors; the sales were across six. The net effect was primarily an increase in technology and energy stocks and a reduction in holdings within the financial services and materials and processing sectors. As is typical for Frontier, the changes were based on company-specific factors rather than top-down positioning.
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Explorer Value Fund
Fund Profile
As of August 31, 2013
Portfolio Characteristics | |||
Russell | DJ U.S. | ||
2500 | Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 180 | 1,694 | 3,631 |
Median Market Cap | $2.3B | $2.8B | $39.3B |
Price/Earnings Ratio | 21.2x | 20.9x | 18.7x |
Price/Book Ratio | 1.7x | 1.5x | 2.4x |
Return on Equity | 9.5% | 6.7% | 16.6% |
Earnings Growth Rate | 10.0% | 5.8% | 11.1% |
Dividend Yield | 1.5% | 2.1% | 2.0% |
Foreign Holdings | 1.6% | 0.0% | 0.0% |
Turnover Rate | 46% | — | — |
Ticker Symbol | VEVFX | — | — |
Expense Ratio1 | 0.63% | — | — |
30-Day SEC Yield | 0.82% | — | — |
Short-Term Reserves | 3.7% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ U.S. | |||
Russell | Total | ||
2500 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 12.1% | 11.0% | 13.1% |
Consumer Staples | 1.7 | 2.2 | 8.9 |
Energy | 5.8 | 7.2 | 9.8 |
Financials | 29.1 | 37.2 | 17.5 |
Health Care | 5.3 | 4.9 | 12.6 |
Industrials | 16.2 | 12.9 | 11.2 |
Information Technology | 21.9 | 9.7 | 17.6 |
Materials | 4.8 | 5.7 | 3.8 |
Telecommunication | |||
Services | 1.0 | 0.9 | 2.3 |
Utilities | 2.1 | 8.3 | 3.2 |
Volatility Measures | ||
Russell | ||
2500 | DJ U.S. | |
Value | Total Market | |
Index | FA Index | |
R-Squared | 0.99 | 0.95 |
Beta | 1.02 | 1.18 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Aspen Insurance | Property & Casualty | |
Holdings Ltd. | Insurance | 1.8% |
Endurance Specialty | ||
Holdings Ltd. | Reinsurance | 1.5 |
E*TRADE Financial | Investment Banking | |
Corp. | & Brokerage | 1.5 |
Loral Space & | ||
Communications Inc. | Cable & Satellite | 1.3 |
CapitalSource Inc. | Regional Banks | 1.3 |
Skyworks Solutions Inc. | Semiconductors | 1.2 |
KAR Auction Services | Diversified Support | |
Inc. | Services | 1.2 |
Silgan Holdings Inc. | Metal & Glass | |
Containers | 1.2 | |
j2 Global Inc. | Internet Software & | |
Services | 1.1 | |
IAC/InterActiveCorp | Internet Software & | |
Services | 1.1 | |
Top Ten | 13.2% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/explorervaluex15x1.jpg)
1 The expense ratio shown is from the prospectus dated April 23, 2013, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratio was 0.60%.
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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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/explorervaluex16x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (3/30/2010) | Investment | ||
Explorer Value Fund | 29.19% | 15.27% | $16,262 | |
•••••••• | Russell 2500 Value Index | 24.86 | 13.04 | 15,212 |
– – – – | Small-Cap Value Funds Average | 26.46 | 12.39 | 14,914 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.15 | 12.94 | 15,165 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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.
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Explorer Value Fund
Fiscal-Year Total Returns (%): March 30, 2010, Through August 31, 2013
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/explorervaluex17x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2013
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 | 29.32% | 15.15% |
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Explorer Value Fund
Financial Statements
Statement of Net Assets
As of August 31, 2013
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 (91.7%)1 | |||
Consumer Discretionary (11.0%) | |||
Loral Space & | |||
Communications Inc. | 44,400 | 2,935 | |
Interpublic Group of Cos. | |||
Inc. | 148,300 | 2,331 | |
Cinemark Holdings Inc. | 59,800 | 1,762 | |
Harman International | |||
Industries Inc. | 26,500 | 1,697 | |
Six Flags Entertainment | |||
Corp. | 50,000 | 1,651 | |
* | Crocs Inc. | 120,800 | 1,626 |
* | Ascena Retail Group Inc. | 92,950 | 1,517 |
* | Modine Manufacturing Co. | 111,823 | 1,457 |
Guess? Inc. | 45,200 | 1,379 | |
Meredith Corp. | 28,950 | 1,245 | |
News Corp. Class B | 70,700 | 1,120 | |
Bob Evans Farms Inc. | 19,800 | 971 | |
* | American Public Education | ||
Inc. | 23,200 | 928 | |
Kohl’s Corp. | 14,000 | 718 | |
Regis Corp. | 44,700 | 705 | |
Chico’s FAS Inc. | 29,528 | 461 | |
Universal Technical Institute | |||
Inc. | 41,700 | 443 | |
* | Maidenform Brands Inc. | 17,100 | 401 |
International Speedway | |||
Corp. Class A | 12,656 | 392 | |
* | Quiksilver Inc. | 63,554 | 315 |
* | Tuesday Morning Corp. | 16,400 | 202 |
* | Cambium Learning Group | ||
Inc. | 58,100 | 89 | |
24,345 | |||
Consumer Staples (1.4%) | |||
Herbalife Ltd. | 23,500 | 1,434 | |
Pinnacle Foods Inc. | 36,700 | 994 | |
JM Smucker Co. | 7,300 | 775 | |
3,203 |
Market | |||
Value | |||
Shares | ($000) | ||
Energy (5.3%) | |||
* | Bonanza Creek Energy Inc. | 60,775 | 2,413 |
World Fuel Services Corp. | 40,400 | 1,541 | |
* | Carrizo Oil & Gas Inc. | 33,876 | 1,161 |
SM Energy Co. | 16,698 | 1,141 | |
* | Oasis Petroleum Inc. | 27,100 | 1,062 |
* | Concho Resources Inc. | 8,500 | 820 |
* | Forest Oil Corp. | 124,700 | 693 |
Comstock Resources Inc. | 45,965 | 671 | |
* | Resolute Energy Corp. | 84,800 | 665 |
Tidewater Inc. | 11,492 | 620 | |
* | TETRA Technologies Inc. | 44,565 | 524 |
* | SandRidge Energy Inc. | 75,320 | 388 |
11,699 | |||
Exchange-Traded Fund (0.6%) | |||
* | iShares Russell 2000 Value | ||
ETF | 15,800 | 1,374 | |
Financials (26.8%) | |||
Aspen Insurance Holdings | |||
Ltd. | 110,828 | 3,942 | |
Endurance Specialty | |||
Holdings Ltd. | 68,300 | 3,423 | |
* | E*TRADE Financial Corp. | 238,157 | 3,344 |
CapitalSource Inc. | 245,500 | 2,835 | |
* | Popular Inc. | 75,768 | 2,353 |
Leucadia National Corp. | 83,700 | 2,087 | |
* | Howard Hughes Corp. | 18,500 | 1,891 |
Cash America International | |||
Inc. | 39,100 | 1,673 | |
Argo Group International | |||
Holdings Ltd. | 38,335 | 1,566 | |
Willis Group Holdings plc | 36,700 | 1,515 | |
Selective Insurance Group | |||
Inc. | 66,052 | 1,515 | |
Ares Capital Corp. | 82,500 | 1,450 | |
HCC Insurance Holdings Inc. | 34,320 | 1,448 | |
Ryman Hospitality | |||
Properties Inc. | 42,815 | 1,415 | |
* | American Capital Ltd. | 109,400 | 1,365 |
16
Explorer Value Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
WSFS Financial Corp. | 21,655 | 1,291 | |
Assured Guaranty Ltd. | 64,600 | 1,285 | |
* | Navigators Group Inc. | 23,341 | 1,277 |
Flushing Financial Corp. | 70,854 | 1,268 | |
Renasant Corp. | 49,639 | 1,249 | |
* | Pinnacle Financial Partners | ||
Inc. | 44,173 | 1,235 | |
Medical Properties Trust | |||
Inc. | 106,800 | 1,233 | |
Lincoln National Corp. | 28,300 | 1,190 | |
First Midwest Bancorp Inc. | 75,471 | 1,134 | |
Amtrust Financial Services | |||
Inc. | 31,570 | 1,128 | |
Nelnet Inc. Class A | 29,300 | 1,110 | |
Starwood Property Trust | |||
Inc. | 43,600 | 1,087 | |
First Horizon National Corp. | 94,494 | 1,045 | |
* | Investment Technology | ||
Group Inc. | 61,400 | 1,044 | |
First Citizens BancShares | |||
Inc. Class A | 4,950 | 1,001 | |
AG Mortgage Investment | |||
Trust Inc. | 55,800 | 980 | |
Washington Federal Inc. | 44,802 | 936 | |
National Retail Properties | |||
Inc. | 29,760 | 912 | |
Parkway Properties Inc. | 52,168 | 853 | |
Campus Crest Communities | |||
Inc. | 73,507 | 778 | |
BancorpSouth Inc. | 38,900 | 754 | |
EPR Properties | 15,000 | 735 | |
Berkshire Hills Bancorp Inc. | 27,500 | 683 | |
* | PHH Corp. | 30,000 | 626 |
BGC Partners Inc. Class A | 111,700 | 624 | |
Ramco-Gershenson | |||
Properties Trust | 42,000 | 608 | |
Western Asset Mortgage | |||
Capital Corp. | 36,400 | 568 | |
* | Texas Capital Bancshares | ||
Inc. | 10,686 | 471 | |
* | Affiliated Managers Group | ||
Inc. | 2,000 | 349 | |
CYS Investments Inc. | 25,900 | 199 | |
59,475 | |||
Health Care (4.5%) | |||
Omnicare Inc. | 25,900 | 1,408 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 90,989 | 1,323 | |
* | Laboratory Corp. of | ||
America Holdings | 13,200 | 1,264 | |
* | VCA Antech Inc. | 42,900 | 1,171 |
* | Covance Inc. | 13,599 | 1,102 |
* | Globus Medical Inc. | 53,400 | 941 |
Mallinckrodt plc | 20,900 | 912 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Bio-Rad Laboratories Inc. | ||
Class A | 6,300 | 718 | |
* | Symmetry Medical Inc. | 88,703 | 696 |
* | Merit Medical Systems Inc. | 29,268 | 375 |
9,910 | |||
Industrials (14.9%) | |||
KAR Auction Services Inc. | 99,800 | 2,659 | |
* | Teledyne Technologies Inc. | 28,842 | 2,226 |
* | Atlas Air Worldwide | ||
Holdings Inc. | 44,825 | 2,071 | |
* | Saia Inc. | 57,199 | 1,717 |
Copa Holdings SA Class A | 10,900 | 1,426 | |
* | MasTec Inc. | 42,100 | 1,339 |
UTi Worldwide Inc. | 81,000 | 1,337 | |
Altra Holdings Inc. | 52,430 | 1,303 | |
Lennox International Inc. | 17,627 | 1,210 | |
* | AerCap Holdings NV | 66,450 | 1,192 |
Celadon Group Inc. | 63,299 | 1,148 | |
* | Clean Harbors Inc. | 19,600 | 1,114 |
* | FTI Consulting Inc. | 32,500 | 1,087 |
Kaman Corp. | 30,600 | 1,077 | |
Encore Wire Corp. | 27,474 | 1,037 | |
* | WABCO Holdings Inc. | 11,172 | 871 |
Carlisle Cos. Inc. | 13,067 | 870 | |
* | Wabash National Corp. | 81,286 | 847 |
Woodward Inc. | 21,400 | 825 | |
Harsco Corp. | 30,517 | 718 | |
Equifax Inc. | 11,300 | 668 | |
* | DXP Enterprises Inc. | 9,210 | 626 |
HNI Corp. | 18,626 | 624 | |
* | MRC Global Inc. | 23,256 | 610 |
* | Furmanite Corp. | 67,257 | 603 |
* | Accuride Corp. | 112,850 | 591 |
Primoris Services Corp. | 23,550 | 529 | |
Mine Safety Appliances Co. | 9,750 | 469 | |
* | Performant Financial Corp. | 41,800 | 453 |
* | Columbus McKinnon Corp. | 19,311 | 413 |
* | WESCO International Inc. | 5,293 | 390 |
* | Hub Group Inc. Class A | 10,097 | 375 |
Briggs & Stratton Corp. | 15,797 | 302 | |
* | CRA International Inc. | 16,520 | 296 |
33,023 | |||
Information Technology (20.2%) | |||
* | Skyworks Solutions Inc. | 107,300 | 2,721 |
j2 Global Inc. | 50,000 | 2,462 | |
IAC/InterActiveCorp | 49,900 | 2,450 | |
Lender Processing | |||
Services Inc. | 72,750 | 2,321 | |
Convergys Corp. | 119,000 | 2,098 | |
* | ACI Worldwide Inc. | 42,800 | 2,083 |
* | ValueClick Inc. | 81,000 | 1,714 |
Global Payments Inc. | 35,400 | 1,687 | |
InterDigital Inc. | 41,000 | 1,457 | |
* | Sykes Enterprises Inc. | 83,500 | 1,422 |
17
Explorer Value Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
DST Systems Inc. | 19,525 | 1,393 | |
* | MicroStrategy Inc. Class A | 14,855 | 1,364 |
* | Itron Inc. | 36,152 | 1,354 |
* | TriQuint Semiconductor Inc. | 156,482 | 1,180 |
Jabil Circuit Inc. | 47,806 | 1,091 | |
Fidelity National Information | |||
Services Inc. | 24,000 | 1,067 | |
* | Ingram Micro Inc. | 47,365 | 1,047 |
* | MICROS Systems Inc. | 21,250 | 1,039 |
* | Progress Software Corp. | 42,400 | 1,037 |
* | ON Semiconductor Corp. | 137,557 | 996 |
Belden Inc. | 17,500 | 993 | |
* | Virtusa Corp. | 37,662 | 991 |
Black Box Corp. | 37,000 | 983 | |
* | Insight Enterprises Inc. | 51,070 | 976 |
* | Advanced Energy Industries | ||
Inc. | 53,181 | 969 | |
* | Orbotech Ltd. | 66,500 | 803 |
* | QLogic Corp. | 71,300 | 755 |
Broadridge Financial | |||
Solutions Inc. | 25,000 | 744 | |
Western Union Co. | 42,000 | 736 | |
* | Atmel Corp. | 97,549 | 708 |
* | Pericom Semiconductor | ||
Corp. | 96,532 | 679 | |
EarthLink Inc. | 135,200 | 665 | |
* | Fairchild Semiconductor | ||
International Inc. Class A | 49,757 | 608 | |
* | Dice Holdings Inc. | 63,250 | 527 |
* | CIBER Inc. | 140,118 | 510 |
Littelfuse Inc. | 6,534 | 482 | |
* | Integrated Device | ||
Technology Inc. | 48,911 | 426 | |
* | Kulicke & Soffa Industries | ||
Inc. | 22,700 | 251 | |
44,789 | |||
Materials (4.3%) | |||
Silgan Holdings Inc. | 55,700 | 2,628 | |
FMC Corp. | 21,900 | 1,459 | |
Albemarle Corp. | 23,200 | 1,447 | |
PH Glatfelter Co. | 49,805 | 1,276 | |
Schnitzer Steel Industries | |||
Inc. | 35,000 | 884 | |
Eagle Materials Inc. | 11,211 | 719 | |
Cabot Corp. | 13,841 | 553 | |
Cytec Industries Inc. | 4,921 | 368 | |
* | Kraton Performance | ||
Polymers Inc. | 18,100 | 336 | |
9,670 | |||
Telecommunication Services (0.9%) | |||
* | Intelsat SA | 68,500 | 1,564 |
* | NII Holdings Inc. | 83,307 | 498 |
2,062 |
Market | |||
Value | |||
Shares | ($000) | ||
Utilities (1.8%) | |||
Westar Energy Inc. | 40,643 | 1,264 | |
Portland General Electric Co. | 38,910 | 1,121 | |
Unitil Corp. | 25,215 | 710 | |
Southwest Gas Corp. | 14,054 | 657 | |
Piedmont Natural Gas Co. | |||
Inc. | 10,913 | 352 | |
4,104 | |||
Total Common Stocks | |||
(Cost $170,925) | 203,654 | ||
Temporary Cash Investments (8.5%)1 | |||
Money Market Fund (8.0%) | |||
2 | Vanguard Market | ||
Liquidity Fund, | |||
0.122% | 17,717,779 | 17,718 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.5%) | |||
3 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.055%, 11/29/13 | 300 | 300 | |
4,5 | Freddie Mac Discount | ||
Notes, 0.100%, 9/4/13 | 500 | 500 | |
4,5 | Freddie Mac Discount | ||
Notes, 0.095%, 11/18/13 | 300 | 300 | |
1,100 | |||
Total Temporary Cash Investments | |||
(Cost $18,818) | 18,818 | ||
Total Investments (100.2%) | |||
(Cost $189,743) | 222,472 | ||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | 949 | ||
Liabilities | (1,467) | ||
(518) | |||
Net Assets (100%) | |||
Applicable to 7,551,783 outstanding | |||
$.001 par value shares of beneficial | |||
interest (unlimited authorization) | 221,954 | ||
Net Asset Value Per Share | $29.39 |
18
Explorer Value Fund
At August 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 177,156 |
Undistributed Net Investment Income | 369 |
Accumulated Net Realized Gains | 11,872 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 32,729 |
Futures Contracts | (172) |
Net Assets | 221,954 |
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 96.5% and 3.7%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
4 Securities with a value of $600,000 have been segregated as initial margin for open futures contracts.
5 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Explorer Value Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,430 |
Interest1 | 21 |
Securities Lending | 1 |
Total Income | 2,452 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 578 |
Performance Adjustment | 64 |
The Vanguard Group—Note C | |
Management and Administrative | 261 |
Marketing and Distribution | 24 |
Custodian Fees | 19 |
Auditing Fees | 40 |
Shareholders’ Reports | 3 |
Total Expenses | 989 |
Net Investment Income | 1,463 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 12,655 |
Futures Contracts | 2,044 |
Realized Net Gain (Loss) | 14,699 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 22,856 |
Futures Contracts | (444) |
Change in Unrealized Appreciation (Depreciation) | 22,412 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 38,574 |
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.
20
Explorer Value Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,463 | 1,183 |
Realized Net Gain (Loss) | 14,699 | 891 |
Change in Unrealized Appreciation (Depreciation) | 22,412 | 12,010 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 38,574 | 14,084 |
Distributions | ||
Net Investment Income | (1,492) | (962) |
Realized Capital Gain1 | (2,284) | (5,185) |
Total Distributions | (3,776) | (6,147) |
Capital Share Transactions | ||
Issued | 104,200 | 25,380 |
Issued in Lieu of Cash Distributions | 3,514 | 5,669 |
Redeemed | (43,330) | (31,933) |
Net Increase (Decrease) from Capital Share Transactions | 64,384 | (884) |
Total Increase (Decrease) | 99,182 | 7,053 |
Net Assets | ||
Beginning of Period | 122,772 | 115,719 |
End of Period2 | 221,954 | 122,772 |
1 Includes fiscal 2013 and 2012 short-term gain distributions totaling $530,000 and $4,152,000, respectively. 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 $369,000 and $527,000.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Explorer Value Fund | ||||
Financial Highlights | ||||
March 16, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $23.44 | $21.94 | $18.09 | $20.00 |
Investment Operations | ||||
Net Investment Income | . 255 | . 232 | .190 | . 044 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.429 | 2.476 | 3.991 | (1.954) |
Total from Investment Operations | 6.684 | 2.708 | 4.181 | (1.910) |
Distributions | ||||
Dividends from Net Investment Income | (. 290) | (.189) | (.135) | — |
Distributions from Realized Capital Gains | (. 444) | (1.019) | (.196) | — |
Total Distributions | (.734) | (1.208) | (. 331) | — |
Net Asset Value, End of Period | $29.39 | $23.44 | $21.94 | $18.09 |
Total Return2 | 29.19% | 13.10% | 23.04% | -9.55% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $222 | $123 | $116 | $75 |
Ratio of Total Expenses to Average Net Assets3 | 0.60% | 0.59% | 0.57% | 0.56% 4 |
Ratio of Net Investment Income to Average Net Assets | 0.88% | 1.00% | 0.82% | 0.55% 4 |
Portfolio Turnover Rate | 46% | 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 (decreases) of 0.04%, 0.03%, 0.01% and 0.00%.
4 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
22
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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts represented 4% and 0% 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, 2010–2013), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
23
Explorer Value Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund, provided that such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default, the fund may experience delays and costs in recovering the 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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. 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.
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 for the preceding three years 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, 2013, 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 $64,000 (0.04%) based on performance.
C. The Vanguard Group furnishes at cost corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At August 31, 2013, the fund had contributed capital of $29,000 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.
24
Explorer Value Fund
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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 203,654 | — | — |
Temporary Cash Investments | 17,718 | 1,100 | — |
Futures Contracts—Liabilities1 | (147) | — | — |
Total | 221,225 | 1,100 | — |
1 Represents variation margin on the last day of the reporting period. |
E. At August 31, 2013, 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 2013 | 105 | 10,606 | (172) |
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 $129,000 from undistributed net investment income, and $1,166,000 from accumulated net realized gains, to paid-in capital.
For tax purposes, at August 31, 2013, the fund had $4,328,000 of ordinary income and $7,975,000 of long-term capital gains available for distribution.
25
Explorer Value Fund
At August 31, 2013, the cost of investment securities for tax purposes was $189,786,000. Net unrealized appreciation of investment securities for tax purposes was $32,686,000, consisting of unrealized gains of $36,805,000 on securities that had risen in value since their purchase and $4,119,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the year ended August 31, 2013, the fund purchased $124,142,000 of investment securities and sold $70,345,000 of investment securities, other than temporary cash investments.
H. Capital shares issued and redeemed were:
Year Ended August 31, | ||
2013 | 2012 | |
Shares | Shares | |
(000) | (000) | |
Issued | 3,776 | 1,125 |
Issued in Lieu of Cash Distributions | 145 | 275 |
Redeemed | (1,607) | (1,437) |
Net Increase (Decrease) in Shares Outstanding | 2,314 | (37) |
I. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition or disclosure in these financial statements.
26
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, 2013, the results of its operations for the year then ended, the changes in its 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 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, 2013 by correspondence with the custodian and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 10, 2013
Special 2013 tax information (unaudited) for Vanguard Explorer Value Fund |
This information for the fiscal year ended August 31, 2013, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $2,574,000 as capital gain dividends (from net long-term capital gains) to |
shareholders during the fiscal year. |
The fund distributed $1,608,000 of qualified dividend income to shareholders during the fiscal year. |
For corporate shareholders, 27.9% of investment income (dividend income plus short-term gains, if |
any) qualifies for the dividends-received deduction. |
27
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 2013. (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, 2013 | ||
Since | ||
One | Inception | |
Year | (3/30/2010) | |
Returns Before Taxes | 29.19% | 15.27% |
Returns After Taxes on Distributions | 28.54 | 14.46 |
Returns After Taxes on Distributions and Sale of Fund Shares | 17.28 | 11.86 |
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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.
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Six Months Ended August 31, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Explorer Value Fund | 2/28/2013 | 8/31/2013 | Period |
Based on Actual Fund Return | $1,000.00 | $1,099.51 | $3.18 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,022.18 | 3.06 |
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 0.60%. 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.
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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.
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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 181 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); Chairman of the Board of |
(diversified manufacturing and services), Hewlett- | Hillenbrand, Inc. (specialized consumer services) and |
Packard Co. (electronic computer manufacturing), | of Oxfam America; Director of SKF AB (industrial |
machinery) and the Lumina Foundation for Education; | Executive Officers | |
Member of the Advisory Council for the College of | ||
Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
the University 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 | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
Advisory Chairman of the Board of The Cleveland | ||
Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | ||
Overseer of the Amos Tuck School of Business | Founder | |
Administration at Dartmouth College; Advisor to the | John C. Bogle | |
Norris Cotton Cancer Center. | Chairman and Chief Executive Officer, 1974–1996 | |
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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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, a | |
Thomson Reuters Company, 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. | |
© 2013 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q16900 102013 |
Annual Report | August 31, 2013
Vanguard Russell 1000 Index Funds
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x1x2.jpg)
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Russell 1000 Index Fund. | 9 |
Russell 1000 Value Index Fund. | 23 |
Russell 1000 Growth Index Fund. | 37 |
Your Fund’s After-Tax Returns. | 53 |
About Your Fund’s Expenses. | 54 |
Trustees Approve Advisory Arrangement. | 56 |
Glossary. | 57 |
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: The ship's wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMS Vanguard, another ship of that era, served as the flagship for Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns | |
Fiscal Year Ended August 31, 2013 | |
Total | |
Returns | |
Vanguard Russell 1000 Index Fund | |
Institutional Shares | 19.73% |
ETF Shares | |
Market Price | 19.59 |
Net Asset Value | 19.70 |
Russell 1000 Index | 19.84 |
Large-Cap Core Funds Average | 18.71 |
Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Russell 1000 Value Index Fund | |
Institutional Shares | 23.00% |
ETF Shares | |
Market Price | 22.82 |
Net Asset Value | 22.90 |
Russell 1000 Value Index | 23.10 |
Large-Cap Value Funds Average | 22.08 |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Russell 1000 Growth Index Fund | |
Institutional Shares | 16.35% |
ETF Shares | |
Market Price | 16.88 |
Net Asset Value | 16.27 |
Russell 1000 Growth Index | 16.43 |
Large-Cap Growth Funds Average | 16.24 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
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; 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.
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Chairman’s Letter
Dear Shareholder,
The three Vanguard Russell 1000 Index Funds delivered strong performances for the 12 months ended August 31, 2013. All three funds closely tracked their respective target indexes.
U.S. stocks generally performed well. Large-capitalization growth and value stocks each turned in double-digit results for the period, but the value segment was especially strong, ending several percentage points ahead.
In this investment environment, the Russell 1000 Index Funds posted returns ranging from 16.35% for the Growth Index Fund to 23.00% for the Value Index Fund. The Russell 1000 Index Fund, which encompasses both value and growth stocks, fell between, returning 19.73% for the period. (All these returns 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 after-tax returns that appears later in this report.
Stocks posted robust results despite setbacks at the finish
The broad U.S. stock market, like the Russell 1000 Index Fund, advanced about 20% in the 12 months ended August 31, although it slipped in June and August. Through most of the fiscal year, stocks surged as the economy continued to show modest growth and investors appeared more receptive to risk.
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Much of the market’s recent weakness stemmed from fear that the Federal Reserve would begin scaling back its stimulative bond-buying program. Heightened strife in the Middle East also contributed to anxiety in the global markets.
International stocks in aggregate finished with a return of about 13%. Developed markets in the Pacific region and Europe posted results closer to those of the United States. Returns for emerging-market stocks overall were virtually flat as economic growth slowed in China and Brazil.
Although global economic worries and tensions over conflicts abroad have unsettled markets, Jonathan Lemco, a senior sovereign-debt analyst in Vanguard’s Taxable Credit Research Group, pointed out that investors can still manage risks amid international instability. “Vanguard believes a diversified portfolio is the best way to spread the risk of geopolitical uncertainty,” he said.
Bond returns turned negative amid worry about the Fed’s next move
Bonds, which maintained slightly positive returns through the first eight months of the period, reversed course in May and
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2013 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.84% | 18.74% | 7.59% |
Russell 2000 Index (Small-caps) | 26.27 | 20.50 | 7.98 |
Russell 3000 Index (Broad U.S. market) | 20.32 | 18.87 | 7.63 |
MSCI All Country World Index ex USA (International) | 12.98 | 6.93 | 1.48 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.47% | 2.58% | 4.93% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -3.70 | 2.45 | 4.52 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.07 | 0.08 | 0.17 |
CPI | |||
Consumer Price Index | 1.52% | 2.32% | 1.32% |
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then continued to retreat as investors anticipated reductions in the Fed’s bond-buying program.
The broad U.S. taxable bond market returned –2.47% for the 12 months. The yield of the 10-year Treasury note finished at 2.76%, up from 1.56% at the end of August 2012. (Bond yields and prices move in opposite directions.) Municipal bonds suffered more, returning –3.70% for the fiscal year.
Returns for money markets and savings accounts were minuscule as the Fed kept its target for short-term interest rates at 0%–0.25%.
Resurgent financial stocks gave a strong boost to two funds
The Vanguard Russell 1000 Index Funds provide exposure to some of the biggest companies in the United States. Investors may choose to invest broadly in the large-cap segment of the market through the Russell 1000 Index Fund or to focus specifically on its growth or value sectors through one of the other funds.
As I mentioned, this was a robust period for value stocks, which were propelled by the resurgent financial sector, a traditional staple of value investing. Not surprisingly, then, it was financials—the Russell 1000 Value Index Fund’s largest sector—that
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Institutional | ETF | Peer Group | |
Shares | Shares | Average | |
Russell 1000 Index Fund | 0.08% | 0.12% | 1.15% |
Russell 1000 Value Index Fund | 0.08 | 0.15 | 1.19 |
Russell 1000 Growth Index Fund | 0.08 | 0.15 | 1.28 |
The fund expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, 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, a Thomson Reuters Company, and capture information through year-end 2012.
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
Investment insight |
Growth stocks versus value stocks: A case for both |
Growth and value stocks typically take turns outperforming each other. The chart |
here shows how they have switched off during the past 20 years in leading or |
lagging a broader market average. |
These two styles of investing are typically considered complementary—when growth |
is performing well, value typically isn’t, and vice versa. Generally speaking, growth |
stocks represent companies that are expected to expand their businesses at a rapid |
pace, while value stocks typically represent more established, slower-growing |
companies. |
Which does better in the long run? Neither. Vanguard research has shown that there |
is no significant long-term difference in the risk/reward characteristics of growth and |
value stocks. But, because their performance can vary considerably over shorter time |
periods, a truly diversified portfolio should have exposure to both. |
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Note: “Rolling” means here that 12-month returns were calculated from the start of each month in the 20-year period ended December 31, 2012.
Sources: Vanguard and Russell Investments.
5
contributed the most to the fund’s 12-month return. After years of dismal results following the crisis of 2008–2009, financial stocks of all varieties were among the market’s top performers.
The health care sector was another source of strength for the fund, as biotechnology and pharmaceutical firms continued to benefit from favorable rulings by the Food and Drug Administration and improved pipelines of new medicines. Consumer discretionary holdings produced notable gains as well, with stocks of automakers, media companies, and specialty retailers contributing most.
The Russell 1000 Index Fund also benefited from holdings in the financial, health care, and consumer discretionary sectors, and got a further lift from its producer durables stocks. Within the latter sector, holdings in diversified manufacturing companies and aerospace firms helped boost fund returns.
For the Russell 1000 Growth Index Fund, consumer-related stocks—such as specialty retail, cable companies, and aerospace firms—and health care stocks added most to returns. Technology stocks, which make up the fund’s second-largest sector, detracted from performance. Although software and telecommunications companies did well, computer technology and electronics companies ended the period in negative territory. Consumers continued to gravitate toward tablets rather than personal computers. Smartphone competition remained fierce, and some major firms fell short of earnings expectations.
The fund had minimal exposure to the top-performing financial sector—stocks of financial companies aren’t typically considered growth issues—and this also hindered its results relative to the other two funds.
All three funds have tracked their benchmarks since inception
The Vanguard Russell 1000 Index Funds were launched three years ago, on September 20, 2010. While that’s not a very long track record to judge them on, we can say that so far the funds have been successful in meeting their primary objective of closely tracking their target indexes.
Credit for this good start is due to the funds’ advisor, Vanguard Equity Investment Group, whose deep experience and sophisticated portfolio tracking techniques have enabled the funds to capture nearly all the returns of their benchmarks. The advisor has been aided in this task by the funds’ low expenses.
In challenging markets, index funds can be a solid portfolio foundation
As you know, index funds seek to capture the return of the market they track, minus only their operating expenses, which—at least at Vanguard—are typically very low. The funds do so by investing in an entire market or by relying on a sophisticated market sampling technique.
In actively managed funds, by contrast, advisors troll the markets and reel in selected stocks or bonds that their analysis suggests will allow them to outperform
6
their benchmarks. As we show in The Case for Index Fund Investing, a paper available at vanguard.com/research, there’s typically a big gap between hope and reality: Consistent outperformance by any one active manager has been rare.
I used the word “typically” because we believe that some actively managed funds, including Vanguard’s, can increase the odds of outperforming benchmarks over the long term. As demonstrated in a companion paper, The Case for Vanguard Active Management: Solving the Low-Cost/Top-Talent Paradox? (also at vanguard.com/research), the most reliable quantitative indicator of future manager success is low expenses—a Vanguard hallmark. And, as the paper’s title implies, finding talented advisors is a key aspect of active investing. We believe we have the process in place to identify the best.
Even so, investors in actively managed funds should expect, and be comfortable with, the extended periods of under-performance that such funds can undergo.
The challenges of active investing, conversely, point to the potential benefits of indexing. Well-run index funds offer you virtually the market return, year in and year out. In a portfolio that is diversified within asset classes, and balanced among them, low-cost index funds can be the bedrock of a sound investment plan.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x9x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
September 18, 2013
7
Your Fund’s Performance at a Glance | ||||
August 31, 2012, Through August 31, 2013 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Russell 1000 Index Fund | ||||
Institutional Shares | $124.53 | $146.04 | $2.764 | $0.000 |
ETF Shares | 64.29 | 75.40 | 1.402 | 0.000 |
Vanguard Russell 1000 Value Index Fund | ||||
Institutional Shares | $120.04 | $144.13 | $3.155 | $0.000 |
ETF Shares | 61.49 | 73.82 | 1.570 | 0.000 |
Vanguard Russell 1000 Growth Index Fund | ||||
Institutional Shares | $129.59 | $148.07 | $2.454 | $0.000 |
ETF Shares | 67.41 | 77.02 | 1.227 | 0.000 |
8
Russell 1000 Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Institutional | ETF | ||
Shares | Shares | ||
Ticker Symbol | VRNIX | VONE | |
Expense Ratio1 | 0.08% | 0.12% | |
30-Day SEC Yield | 2.00% | 1.96% | |
Portfolio Characteristics | |||
DJ U.S. | |||
Total | |||
Russell | Market | ||
1000 | FA | ||
Fund | Index | Index | |
Number of Stocks | 1,006 | 1,004 | 3,631 |
Median Market Cap | $49.3B | $49.3B | $39.3B |
Price/Earnings Ratio | 18.2x | 18.2x | 18.7x |
Price/Book Ratio | 2.4x | 2.4x | 2.4x |
Return on Equity | 17.5% | 17.3% | 16.6% |
Earnings Growth | |||
Rate | 11.1% | 11.1% | 11.1% |
Dividend Yield | 2.1% | 2.1% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 11% | — | — |
Short-Term Reserves | -0.2% | — | — |
Sector Diversification (% of equity exposure)
DJ U.S. | |||
Russell | Total | ||
1000 | Market | ||
Fund | Index | FA Index | |
Consumer | |||
Discretionary | 14.7% | 14.7% | 14.8% |
Consumer Staples | 8.2 | 8.2 | 7.8 |
Energy | 9.9 | 9.9 | 9.8 |
Financial Services | 18.5 | 18.5 | 18.8 |
Health Care | 12.4 | 12.4 | 12.4 |
Materials & | |||
Processing | 4.1 | 4.1 | 4.4 |
Producer Durables | 11.2 | 11.2 | 11.4 |
Technology | 15.5 | 15.5 | 15.2 |
Utilities | 5.5 | 5.5 | 5.4 |
Ten Largest Holdings (% of total net assets)
Apple Inc. | Computer | |
Technology | 2.7% | |
Exxon Mobil Corp. | Oil - Integrated | 2.3 |
Microsoft Corp. | Computer Services | |
Software & Systems | 1.7 | |
Johnson & Johnson | Pharmaceuticals | 1.4 |
General Electric Co. | Diversified | |
Manufacturing | ||
Operations | 1.4 | |
Chevron Corp. | Oil - Integrated | 1.4 |
Google Inc. | Computer Services | |
Software & Systems | 1.4 | |
Procter & Gamble Co. | Personal Care | 1.3 |
Berkshire Hathaway Inc. Insurance - Multi-Line | 1.2 | |
Wells Fargo & Co. | Banks - Diversified | 1.2 |
Top Ten | 16.0% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x11x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.08% for Institutional Shares and 0.12% for ETF Shares.
9
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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x12x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 1000 Index Fund*ETF Shares | ||||
Net Asset Value | 19.70% | 15.52% | $15,293 | |
Russell 1000 Index Fund*ETF Shares | ||||
Market Price | 19.59 | 15.49 | 15,285 | |
•••••••• | Russell 1000 Index | 19.84 | 15.65 | 15,345 |
– – – – | Large-Cap Core Funds Average | 18.71 | 13.69 | 14,593 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.15 | 15.74 | 15,381 |
Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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 | 19.73% | 14.69% | $7,417,032 |
Russell 1000 Index | 19.84 | 14.78 | 7,434,004 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 20.15 | 14.82 | 7,440,312 |
"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.
10
Russell 1000 Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2013 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Index Fund ETF Shares Market Price | 19.59% | 52.85% |
Russell 1000 Index Fund ETF Shares Net Asset | ||
Value | 19.70 | 52.93 |
Russell 1000 Index | 19.84 | 53.45 |
"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, 2013
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x13x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2013
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 | 21.13% | 14.66% |
ETF Shares | 9/20/2010 | ||
Market Price | 20.97 | 15.49 | |
Net Asset Value | 21.07 | 15.54 |
11
Russell 1000 Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 2013
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 | |||
Wal-Mart Stores Inc. | 85,507 | 6,240 | 0.7% |
Comcast Corp. Class A | 139,470 | 5,870 | 0.7% |
Walt Disney Co. | 95,642 | 5,818 | 0.6% |
Home Depot Inc. | 77,745 | 5,791 | 0.6% |
* Amazon.com Inc. | 19,548 | 5,493 | 0.6% |
McDonald’s Corp. | 53,379 | 5,037 | 0.6% |
Consumer Discretionary—Other † | 97,337 | 10.9% | |
131,586 | 14.7% | ||
Consumer Staples | |||
Procter & Gamble Co. | 145,765 | 11,354 | 1.3% |
Coca-Cola Co. | 203,339 | 7,763 | 0.9% |
Philip Morris International Inc. | 86,856 | 7,247 | 0.8% |
PepsiCo Inc. | 82,243 | 6,557 | 0.7% |
CVS Caremark Corp. | 65,177 | 3,784 | 0.4% |
Altria Group Inc. | 106,769 | 3,617 | 0.4% |
Consumer Staples—Other † | 32,823 | 3.7% | |
73,145 | 8.2% | ||
Energy | |||
Exxon Mobil Corp. | 236,303 | 20,596 | 2.3% |
Chevron Corp. | 103,075 | 12,413 | 1.4% |
Schlumberger Ltd. | 70,718 | 5,724 | 0.6% |
ConocoPhillips | 65,046 | 4,313 | 0.5% |
Occidental Petroleum Corp. | 42,863 | 3,781 | 0.4% |
Energy—Other † | 41,639 | 4.7% | |
88,466 | 9.9% | ||
Financial Services | |||
* Berkshire Hathaway Inc. Class B | 95,709 | 10,645 | 1.2% |
Wells Fargo & Co. | 256,671 | 10,544 | 1.2% |
JPMorgan Chase & Co. | 201,019 | 10,157 | 1.1% |
Bank of America Corp. | 573,135 | 8,093 | 0.9% |
12
Russell 1000 Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Citigroup Inc. | 161,755 | 7,818 | 0.9% |
Visa Inc. Class A | 27,871 | 4,861 | 0.5% |
Mastercard Inc. Class A | 6,222 | 3,771 | 0.4% |
Goldman Sachs Group Inc. | 24,424 | 3,716 | 0.4% |
* American International Group Inc. | 78,435 | 3,644 | 0.4% |
American Express Co. | 50,431 | 3,626 | 0.4% |
Financial Services—Other † | 99,000 | 11.1% | |
165,875 | 18.5% | ||
Health Care | |||
Johnson & Johnson | 149,375 | 12,908 | 1.4% |
Pfizer Inc. | 355,539 | 10,030 | 1.1% |
Merck & Co. Inc. | 160,504 | 7,590 | 0.9% |
* Gilead Sciences Inc. | 81,179 | 4,893 | 0.6% |
Amgen Inc. | 39,776 | 4,333 | 0.5% |
UnitedHealth Group Inc. | 54,256 | 3,892 | 0.4% |
Bristol-Myers Squibb Co. | 87,276 | 3,639 | 0.4% |
Health Care—Other † | 63,615 | 7.1% | |
110,900 | 12.4% | ||
Materials & Processing † | 36,695 | 4.1% | |
Producer Durables | |||
General Electric Co. | 549,787 | 12,722 | 1.4% |
United Technologies Corp. | 48,965 | 4,901 | 0.5% |
Boeing Co. | 40,388 | 4,197 | 0.5% |
3M Co. | 36,783 | 4,178 | 0.5% |
Union Pacific Corp. | 24,718 | 3,795 | 0.4% |
Producer Durables—Other † | 69,821 | 7.8% | |
99,614 | 11.1% | ||
Technology | |||
Apple Inc. | 49,901 | 24,304 | 2.7% |
Microsoft Corp. | 443,990 | 14,829 | 1.7% |
* Google Inc. Class A | 14,327 | 12,133 | 1.4% |
International Business Machines Corp. | 55,406 | 10,099 | 1.1% |
Cisco Systems Inc. | 284,113 | 6,623 | 0.7% |
QUALCOMM Inc. | 91,931 | 6,093 | 0.7% |
Oracle Corp. | 188,721 | 6,013 | 0.7% |
Intel Corp. | 264,287 | 5,809 | 0.6% |
* Facebook Inc. Class A | 90,568 | 3,739 | 0.4% |
Technology—Other † | 48,408 | 5.4% | |
138,050 | 15.4% | ||
Utilities | |||
AT&T Inc. | 286,051 | 9,677 | 1.1% |
Verizon Communications Inc. | 152,073 | 7,205 | 0.8% |
Utilities—Other † | 31,976 | 3.6% | |
48,858 | 5.5% | ||
Total Common Stocks (Cost $757,783) | 893,189 | 99.8%1 |
13
Russell 1000 Index Fund | ||
Market | Percentage | |
Value | of Net | |
($000) | Assets | |
Temporary Cash Investments | ||
2U.S. Government and Agency Obligations† (Cost $300) | 300 | 0.0%1 |
Total Investments (Cost $758,083) | 893,489 | 99.8% |
Other Assets and Liabilities | ||
Other Assets | 7,135 | 0.8% |
Liabilities | (5,237) | (0.6%) |
1,898 | 0.2% | |
Net Assets | 895,387 | 100.0% |
At August 31, 2013, net assets consisted of: | ||
Amount | ||
($000) | ||
Paid-in Capital | 759,207 | |
Undistributed Net Investment Income | 3,473 | |
Accumulated Net Realized Losses | (2,628) | |
Unrealized Appreciation (Depreciation) | ||
Investment Securities | 135,406 | |
Futures Contracts | (71) | |
Net Assets | 895,387 | |
Institutional Shares—Net Assets | ||
Applicable to 4,634,060 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 676,740 | |
Net Asset Value Per Share—Institutional Shares | $146.04 | |
ETF Shares—Net Assets | ||
Applicable to 2,900,000 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 218,647 | |
Net Asset Value Per Share—ETF Shares | $75.40 |
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 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 1000 Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 15,673 |
Interest1 | 6 |
Securities Lending | 12 |
Total Income | 15,691 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 90 |
Management and Administrative—Institutional Shares | 170 |
Management and Administrative—ETF Shares | 135 |
Marketing and Distribution—Institutional Shares | 118 |
Marketing and Distribution—ETF Shares | 45 |
Custodian Fees | 55 |
Auditing Fees | 29 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 2 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 645 |
Net Investment Income | 15,046 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 2,800 |
Futures Contracts | 809 |
Realized Net Gain (Loss) | 3,609 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 103,286 |
Futures Contracts | (145) |
Change in Unrealized Appreciation (Depreciation) | 103,141 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 121,796 |
1 Interest income from an affiliated company of the fund was $6,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 1000 Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 15,046 | 6,352 |
Realized Net Gain (Loss) | 3,609 | (1,237) |
Change in Unrealized Appreciation (Depreciation) | 103,141 | 40,081 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 121,796 | 45,196 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (9,647) | (4,470) |
ETF Shares | (3,789) | (731) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (13,436) | (5,201) |
Capital Share Transactions | ||
Institutional Shares | 263,546 | 123,480 |
ETF Shares | 41,569 | 126,405 |
Net Increase (Decrease) from Capital Share Transactions | 305,115 | 249,885 |
Total Increase (Decrease) | 413,475 | 289,880 |
Net Assets | ||
Beginning of Period | 481,912 | 192,032 |
End of Period1 | 895,387 | 481,912 |
1 Net Assets—End of Period includes undistributed net investment income of $3,473,000 and $1,863,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
Russell 1000 Index Fund | |||
Financial Highlights | |||
Institutional Shares | |||
Oct. 15, | |||
Year Ended | 20101 to | ||
August 31, | August 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $124.53 | $108.35 | $103.49 |
Investment Operations | |||
Net Investment Income | 2.850 | 2.314 | 1.348 |
Net Realized and Unrealized Gain (Loss) on Investments | 21.424 | 16.100 | 4.569 |
Total from Investment Operations | 24.274 | 18.414 | 5.917 |
Distributions | |||
Dividends from Net Investment Income | (2.764) | (2.234) | (1.057) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (2.764) | (2.234) | (1.057) |
Net Asset Value, End of Period | $146.04 | $124.53 | $108.35 |
Total Return | 19.73% | 17.25% | 5.67% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $677 | $334 | $178 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.13% | 2.10% | 1.90%2 |
Portfolio Turnover Rate3 | 11% | 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 | |||
Financial Highlights | |||
ETF Shares | |||
Sept. 20, | |||
Year Ended | 20101 to | ||
August 31, | August 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $64.29 | $55.94 | $51.78 |
Investment Operations | |||
Net Investment Income | 1.444 | 1.176 | .736 |
Net Realized and Unrealized Gain (Loss) on Investments | 11.068 | 8.307 | 3.957 |
Total from Investment Operations | 12.512 | 9.483 | 4.693 |
Distributions | |||
Dividends from Net Investment Income | (1.402) | (1.133) | (.533) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (1.402) | (1.133) | (.533) |
Net Asset Value, End of Period | $75.40 | $64.29 | $55.94 |
Total Return | 19.70% | 17.19% | 9.02% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $219 | $148 | $14 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.12%2 |
Ratio of Net Investment Income to Average Net Assets | 2.09% | 2.06% | 1.86%2 |
Portfolio Turnover Rate3 | 11% | 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.
18
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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
19
Russell 1000 Index Fund
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, 2011–2013), 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund, provided that such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default, the fund may experience delays and costs in recovering the 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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. 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.
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, 2013, the fund had contributed capital of $112,000 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.
20
Russell 1000 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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 893,189 | — | — |
Temporary Cash Investments | — | 300 | — |
Futures Contracts—Liabilities1 | (7) | — | — |
Total | 893,182 | 300 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At August 31, 2013, 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 2013 | 27 | 2,202 | (71) |
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, 2013, the fund realized $1,646,000 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.
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Russell 1000 Index Fund
For tax purposes, at August 31, 2013, the fund had $3,580,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $752,000 to offset taxable capital gains realized during the year ended August 31, 2013. At August 31, 2013, the fund had available capital losses totaling $1,938,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2013, the cost of investment securities for tax purposes was $758,849,000. Net unrealized appreciation of investment securities for tax purposes was $134,640,000, consisting of unrealized gains of $144,898,000 on securities that had risen in value since their purchase and $10,258,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2013, the fund purchased $390,309,000 of investment securities and sold $83,006,000 of investment securities, other than temporary cash investments. Purchases and sales include $46,554,000 and $4,482,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 298,339 | 2,195 | 220,283 | 1,895 |
Issued in Lieu of Cash Distributions | 8,779 | 66 | 4,065 | 36 |
Redeemed | (43,572) | (309) | (100,868) | (892) |
Net Increase (Decrease) —Institutional Shares | 263,546 | 1,952 | 123,480 | 1,039 |
ETF Shares | ||||
Issued | 45,250 | 650 | 132,510 | 2,150 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (3,681) | (50) | (6,105) | (100) |
Net Increase (Decrease)—ETF Shares | 41,569 | 600 | 126,405 | 2,050 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition or disclosure in these financial statements.
22
Russell 1000 Value Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Institutional | ETF | ||
Shares | Shares | ||
Ticker Symbol | VRVIX | VONV | |
Expense Ratio1 | 0.08% | 0.15% | |
30-Day SEC Yield | 2.39% | 2.32% | |
Portfolio Characteristics | |||
DJ U.S. | |||
Russell | Total | ||
1000 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Number of Stocks | 649 | 648 | 3,631 |
Median Market Cap | $46.8B | $46.8B | $39.3B |
Price/Earnings Ratio | 16.0x | 16.0x | 18.7x |
Price/Book Ratio | 1.6x | 1.6x | 2.4x |
Return on Equity | 12.6% | 12.6% | 16.6% |
Earnings Growth | |||
Rate | 6.9% | 6.9% | 11.1% |
Dividend Yield | 2.4% | 2.4% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 26% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
Russell | DJ U.S. | ||
1000 | Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Consumer | |||
Discretionary | 6.8% | 6.8% | 14.8% |
Consumer Staples | 5.6 | 5.5 | 7.8 |
Energy | 15.1 | 15.1 | 9.8 |
Financial Services | 29.2 | 29.2 | 18.8 |
Health Care | 12.9 | 13.0 | 12.4 |
Materials & | |||
Processing | 2.9 | 2.9 | 4.4 |
Producer Durables | 10.0 | 10.0 | 11.4 |
Technology | 8.5 | 8.5 | 15.2 |
Utilities | 9.0 | 9.0 | 5.4 |
Ten Largest Holdings (% of total net assets)
Exxon Mobil Corp. | Oil - Integrated | 4.6% |
General Electric Co. | Diversified | |
Manufacturing | ||
Operations | 2.9 | |
Chevron Corp. | Oil - Integrated | 2.8 |
Procter & Gamble Co. | Personal Care | 2.6 |
Johnson & Johnson | Pharmaceuticals | 2.5 |
Berkshire Hathaway Inc. Insurance - Multi-Line | 2.4 | |
Wells Fargo & Co. | Banks - Diversified | 2.4 |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 2.3 | |
Pfizer Inc. | Pharmaceuticals | 2.3 |
AT&T Inc. | Utilities - | |
Telecommunications | 2.2 | |
Top Ten | 27.0% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x25x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
23
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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x26x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 1000 Value Index Fund*ETF | ||||
Shares Net Asset Value | 22.90% | 15.17% | $15,160 | |
Russell 1000 Value Index Fund*ETF | ||||
Shares Market Price | 22.82 | 15.17 | 15,158 | |
•••••••• | Russell 1000 Value Index | 23.10 | 15.35 | 15,229 |
– – – – | Large-Cap Value Funds Average | 22.08 | 13.70 | 14,597 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.15 | 15.74 | 15,381 |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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 | 23.00% | 13.51% | $7,060,656 |
Russell 1000 Value Index | 23.10 | 13.61 | 7,076,819 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 20.15 | 13.04 | 6,980,807 |
"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.
24
Russell 1000 Value Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2013 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Value Index Fund ETF Shares Market | ||
Price | 22.82% | 51.58% |
Russell 1000 Value Index Fund ETF Shares Net | ||
Asset Value | 22.90 | 51.60 |
Russell 1000 Value Index | 23.10 | 52.29 |
"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, 2013
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x27x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2013
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 | 25.21% | 13.86% |
ETF Shares | 9/20/2010 | ||
Market Price | 25.13 | 15.60 | |
Net Asset Value | 25.12 | 15.60 |
25
Russell 1000 Value Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 2013
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. | 156,532 | 9,522 | 1.0% |
Time Warner Inc. | 104,081 | 6,300 | 0.7% |
Ford Motor Co. | 280,001 | 4,533 | 0.5% |
Wal-Mart Stores Inc. | 60,782 | 4,436 | 0.5% |
Consumer Discretionary—Other † | 38,706 | 4.1% | |
63,497 | 6.8% | ||
Consumer Staples | |||
Procter & Gamble Co. | 306,264 | 23,855 | 2.6% |
CVS Caremark Corp. | 120,970 | 7,022 | 0.7% |
Mondelez International Inc. Class A | 199,180 | 6,109 | 0.6% |
Consumer Staples—Other † | 14,632 | 1.6% | |
51,618 | 5.5% | ||
Energy | |||
Exxon Mobil Corp. | 496,901 | 43,310 | 4.6% |
Chevron Corp. | 216,623 | 26,088 | 2.8% |
ConocoPhillips | 136,552 | 9,053 | 1.0% |
Occidental Petroleum Corp. | 89,979 | 7,937 | 0.9% |
Anadarko Petroleum Corp. | 52,939 | 4,840 | 0.5% |
Phillips 66 | 69,143 | 3,948 | 0.4% |
Apache Corp. | 43,721 | 3,746 | 0.4% |
National Oilwell Varco Inc. | 47,783 | 3,550 | 0.4% |
Energy—Other † | 38,000 | 4.1% | |
140,472 | 15.1% | ||
Financial Services | |||
* Berkshire Hathaway Inc. Class B | 201,054 | 22,361 | 2.4% |
Wells Fargo & Co. | 539,582 | 22,166 | 2.4% |
JPMorgan Chase & Co. | 422,338 | 21,341 | 2.3% |
Bank of America Corp. | 1,204,817 | 17,012 | 1.8% |
Citigroup Inc. | 340,010 | 16,433 | 1.8% |
Goldman Sachs Group Inc. | 51,179 | 7,786 | 0.8% |
26
Russell 1000 Value Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
* American International Group Inc. | 164,862 | 7,659 | 0.8% |
US Bancorp | 206,535 | 7,462 | 0.8% |
MetLife Inc. | 99,844 | 4,612 | 0.5% |
Morgan Stanley | 170,136 | 4,383 | 0.5% |
PNC Financial Services Group Inc. | 59,314 | 4,287 | 0.5% |
Capital One Financial Corp. | 65,281 | 4,214 | 0.4% |
Bank of New York Mellon Corp. | 129,662 | 3,856 | 0.4% |
Financial Services—Other † | 129,005 | 13.8% | |
272,577 | 29.2% | ||
Health Care | |||
Johnson & Johnson | 273,398 | 23,624 | 2.5% |
Pfizer Inc. | 747,462 | 21,086 | 2.3% |
Merck & Co. Inc. | 337,386 | 15,955 | 1.7% |
UnitedHealth Group Inc. | 113,916 | 8,172 | 0.9% |
Medtronic Inc. | 113,399 | 5,868 | 0.6% |
Abbott Laboratories | 173,901 | 5,796 | 0.6% |
Eli Lilly & Co. | 86,486 | 4,445 | 0.5% |
Thermo Fisher Scientific Inc. | 40,087 | 3,561 | 0.4% |
Health Care—Other † | 32,085 | 3.4% | |
120,592 | 12.9% | ||
Materials & Processing | |||
Dow Chemical Co. | 117,441 | 4,392 | 0.5% |
Materials & Processing—Other † | 22,919 | 2.4% | |
27,311 | 2.9% | ||
Producer Durables | |||
General Electric Co. | 1,155,602 | 26,741 | 2.9% |
Caterpillar Inc. | 60,141 | 4,964 | 0.5% |
FedEx Corp. | 35,546 | 3,816 | 0.4% |
Danaher Corp. | 53,447 | 3,502 | 0.4% |
Producer Durables—Other † | 54,477 | 5.8% | |
93,500 | 10.0% | ||
Technology | |||
Cisco Systems Inc. | 597,263 | 13,922 | 1.5% |
Apple Inc. | 25,486 | 12,413 | 1.4% |
Intel Corp. | 519,433 | 11,417 | 1.2% |
Hewlett-Packard Co. | 217,938 | 4,869 | 0.5% |
Technology—Other † | 36,365 | 3.9% | |
78,986 | 8.5% | ||
Utilities | |||
AT&T Inc. | 601,237 | 20,340 | 2.2% |
Duke Energy Corp. | 78,812 | 5,170 | 0.6% |
Southern Co. | 97,254 | 4,048 | 0.4% |
NextEra Energy Inc. | 47,551 | 3,821 | 0.4% |
Dominion Resources Inc. | 64,326 | 3,753 | 0.4% |
Utilities—Other † | 46,904 | 5.0% | |
84,036 | 9.0% | ||
Total Investments (Cost $811,492) | 932,589 | 99.9% | |
Other Assets and Liabilities | |||
Other Assets | 8,026 | 0.9% | |
Liabilities | (6,936) | (0.8%) | |
1,090 | 0.1% | ||
Net Assets | 933,679 | 100.0% |
27
Russell 1000 Value Index Fund | |
At August 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 810,721 |
Undistributed Net Investment Income | 4,578 |
Accumulated Net Realized Losses | (2,717) |
Unrealized Appreciation (Depreciation) | 121,097 |
Net Assets | 933,679 |
Institutional Shares—Net Assets | |
Applicable to 5,530,348 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 797,103 |
Net Asset Value Per Share—Institutional Shares | $144.13 |
ETF Shares—Net Assets | |
Applicable to 1,850,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 136,576 |
Net Asset Value Per Share—ETF Shares | $73.82 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
See accompanying Notes, which are an integral part of the Financial Statements.
28
Russell 1000 Value Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 20,172 |
Interest1 | 3 |
Securities Lending | 10 |
Total Income | 20,185 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 100 |
Management and Administrative—Institutional Shares | 225 |
Management and Administrative—ETF Shares | 110 |
Marketing and Distribution—Institutional Shares | 167 |
Marketing and Distribution—ETF Shares | 19 |
Custodian Fees | 50 |
Auditing Fees | 29 |
Shareholders’ Reports—Institutional Shares | 2 |
Shareholders’ Reports—ETF Shares | 2 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 705 |
Net Investment Income | 19,480 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 44,558 |
Futures Contracts | 93 |
Realized Net Gain (Loss) | 44,651 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 92,597 |
Futures Contracts | (35) |
Change in Unrealized Appreciation (Depreciation) | 92,562 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 156,693 |
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.
29
Russell 1000 Value Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 19,480 | 9,078 |
Realized Net Gain (Loss) | 44,651 | 10,755 |
Change in Unrealized Appreciation (Depreciation) | 92,562 | 37,930 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 156,693 | 57,763 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (15,933) | (6,032) |
ETF Shares | (2,071) | (761) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (18,004) | (6,793) |
Capital Share Transactions | ||
Institutional Shares | 134,199 | 330,167 |
ETF Shares | 73,821 | 15,060 |
Net Increase (Decrease) from Capital Share Transactions | 208,020 | 345,227 |
Total Increase (Decrease) | 346,709 | 396,197 |
Net Assets | ||
Beginning of Period | 586,970 | 190,773 |
End of Period1 | 933,679 | 586,970 |
1 Net Assets—End of Period includes undistributed net investment income of $4,578,000 and $3,102,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
30
Russell 1000 Value Index Fund | |||
Financial Highlights | |||
Institutional Shares | |||
Dec. 10, | |||
Year Ended | 20101 to | ||
August 31, | August 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $120.04 | $104.59 | $108.03 |
Investment Operations | |||
Net Investment Income | 3.228 | 2.474 | 1.239 |
Net Realized and Unrealized Gain (Loss) on Investments | 24.017 | 15.262 | (3.373) |
Total from Investment Operations | 27.245 | 17.736 | (2.134) |
Distributions | |||
Dividends from Net Investment Income | (3.155) | (2.286) | (1.306) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (3.155) | (2.286) | (1.306) |
Net Asset Value, End of Period | $144.13 | $120.04 | $104.59 |
Total Return | 23.00% | 17.23% | -2.06% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $797 | $541 | $164 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.46% | 2.55% | 2.30%2 |
Portfolio Turnover Rate3 | 26% | 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 | |||
Financial Highlights | |||
ETF Shares | |||
Sept. 20, | |||
Year Ended | 20101 to | ||
August 31, | August 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $61.49 | $53.57 | $51.46 |
Investment Operations | |||
Net Investment Income | 1.610 | 1.228 | .876 |
Net Realized and Unrealized Gain (Loss) on Investments | 12.290 | 7.833 | 1.886 |
Total from Investment Operations | 13.900 | 9.061 | 2.762 |
Distributions | |||
Dividends from Net Investment Income | (1.570) | (1.141) | (.652) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (1.570) | (1.141) | (.652) |
Net Asset Value, End of Period | $73.82 | $61.49 | $53.57 |
Total Return | 22.90% | 17.17% | 5.28% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $137 | $46 | $27 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 2.39% | 2.48% | 2.23%2 |
Portfolio Turnover Rate3 | 26% | 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.
32
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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values. The fund had no open futures contracts at August 31, 2013.
33
Russell 1000 Value Index Fund
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, 2011–2013), 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund, provided that such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default, the fund may experience delays and costs in recovering the 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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. 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.
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, 2013, the fund had contributed capital of $122,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.05% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
34
Russell 1000 Value 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, 2013, 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, 2013, the fund realized $44,825,000 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, 2013, the fund had $4,720,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $605,000 to offset taxable capital gains realized during the year ended August 31, 2013. At August 31, 2013, the fund had available capital losses totaling $1,192,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2013, the cost of investment securities for tax purposes was $813,035,000. Net unrealized appreciation of investment securities for tax purposes was $119,554,000, consisting of unrealized gains of $132,484,000 on securities that had risen in value since their purchase and $12,930,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2013, the fund purchased $550,890,000 of investment securities and sold $341,942,000 of investment securities, other than temporary cash investments. Purchases and sales include $211,166,000 and $137,939,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
35
Russell 1000 Value Index Fund
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 274,140 | 2,054 | 386,895 | 3,435 |
Issued in Lieu of Cash Distributions | 15,713 | 120 | 5,816 | 53 |
Redeemed | (155,654) | (1,149) | (62,544) | (550) |
Net Increase (Decrease) —Institutional Shares | 134,199 | 1,025 | 330,167 | 2,938 |
ETF Shares | ||||
Issued | 211,506 | 2,950 | 70,502 | 1,200 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (137,685) | (1,850) | (55,442) | (950) |
Net Increase (Decrease) —ETF Shares | 73,821 | 1,100 | 15,060 | 250 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition or disclosure in these financial statements.
36
Russell 1000 Growth Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Institutional | ETF | ||
Shares | Shares | ||
Ticker Symbol | VRGWX | VONG | |
Expense Ratio1 | 0.08% | 0.15% | |
30-Day SEC Yield | 1.63% | 1.56% | |
Portfolio Characteristics | |||
DJ U.S. | |||
Russell | Total | ||
1000 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 612 | 611 | 3,631 |
Median Market Cap | $49.3B | $49.3B | $39.3B |
Price/Earnings Ratio | 21.1x | 21.0x | 18.7x |
Price/Book Ratio | 4.6x | 4.6x | 2.4x |
Return on Equity | 23.0% | 22.7% | 16.6% |
Earnings Growth | |||
Rate | 15.1% | 15.1% | 11.1% |
Dividend Yield | 1.7% | 1.7% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 29% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
Russell | DJ U.S. | ||
1000 | Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Consumer | |||
Discretionary | 22.6% | 22.5% | 14.8% |
Consumer Staples | 10.8 | 10.8 | 7.8 |
Energy | 4.8 | 4.8 | 9.8 |
Financial Services | 8.0 | 8.0 | 18.8 |
Health Care | 11.9 | 11.9 | 12.4 |
Materials & | |||
Processing | 5.3 | 5.3 | 4.4 |
Producer Durables | 12.3 | 12.3 | 11.4 |
Technology | 22.3 | 22.4 | 15.2 |
Utilities | 2.0 | 2.0 | 5.4 |
Ten Largest Holdings (% of total net assets)
Apple Inc. | Computer | |
Technology | 4.1% | |
Microsoft Corp. | Computer Services | |
Software & Systems | 3.3 | |
Google Inc. | Computer Services | |
Software & Systems | 2.7 | |
International Business | Computer | |
Machines Corp. | Technology | 2.2 |
Coca-Cola Co. | Beverage - Soft | |
Drinks | 1.7 | |
Philip Morris | ||
International Inc. | Tobacco | 1.6 |
Verizon Communications Utilities - | ||
Inc. | Telecommunications | 1.6 |
PepsiCo Inc. | Beverage - Soft | |
Drinks | 1.5 | |
QUALCOMM Inc. | Communications | |
Technology | 1.4 | |
Oracle Corp. | Computer Services | |
Software & Systems | 1.3 | |
Top Ten | 21.4% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x39x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
37
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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x40x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 1000 Growth Index | ||||
Fund*ETF Shares Net Asset Value | 16.27% | 15.67% | $15,353 | |
Russell 1000 Growth Index | ||||
Fund*ETF Shares Market Price | 16.88 | 15.67 | 15,354 | |
•••••••• | Russell 1000 Growth Index | 16.43 | 15.87 | 15,432 |
– – – – | Large-Cap Growth Funds Average | 16.24 | 13.58 | 14,550 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.15 | 15.74 | 15,381 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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 | 16.35% | 12.82% | $6,952,850 |
Russell 1000 Growth Index | 16.43 | 12.93 | 6,972,205 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 20.15 | 13.56 | 7,079,658 |
"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.
38
Russell 1000 Growth Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2013 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Growth Index Fund ETF Shares | ||
Market Price | 16.88% | 53.54% |
Russell 1000 Growth Index Fund ETF Shares Net | ||
Asset Value | 16.27 | 53.53 |
Russell 1000 Growth Index | 16.43 | 54.32 |
"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, 2013
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell1000x41x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2013
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 | 16.99% | 12.21% |
ETF Shares | 9/20/2010 | ||
Market Price | 16.95 | 15.28 | |
Net Asset Value | 16.92 | 15.28 |
39
Russell 1000 Growth Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 2013
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 | |||
Home Depot Inc. | 196,880 | 14,666 | 1.3% |
* Amazon.com Inc. | 49,552 | 13,923 | 1.2% |
Comcast Corp. Class A | 326,733 | 13,752 | 1.2% |
McDonald’s Corp. | 135,012 | 12,740 | 1.1% |
Wal-Mart Stores Inc. | 143,748 | 10,491 | 0.9% |
* eBay Inc. | 174,766 | 8,737 | 0.8% |
Starbucks Corp. | 101,095 | 7,129 | 0.6% |
Lowe’s Cos. Inc. | 146,917 | 6,732 | 0.6% |
Costco Wholesale Corp. | 58,917 | 6,591 | 0.6% |
* priceline.com Inc. | 6,965 | 6,537 | 0.6% |
* Twenty-First Century Fox Inc. | 197,648 | 6,192 | 0.5% |
NIKE Inc. Class B | 95,556 | 6,003 | 0.5% |
Viacom Inc. Class B | 65,421 | 5,205 | 0.5% |
TJX Cos. Inc. | 97,189 | 5,124 | 0.5% |
Consumer Discretionary—Other † | 133,210 | 11.7% | |
257,032 | 22.6% | ||
Consumer Staples | |||
Coca-Cola Co. | 515,476 | 19,681 | 1.7% |
Philip Morris International Inc. | 220,434 | 18,393 | 1.6% |
PepsiCo Inc. | 208,346 | 16,611 | 1.5% |
Altria Group Inc. | 270,550 | 9,166 | 0.8% |
Colgate-Palmolive Co. | 125,903 | 7,273 | 0.6% |
Consumer Staples—Other † | 52,126 | 4.6% | |
123,250 | 10.8% | ||
Energy | |||
Schlumberger Ltd. | 179,134 | 14,499 | 1.3% |
Halliburton Co. | 125,631 | 6,030 | 0.5% |
EOG Resources Inc. | 34,332 | 5,392 | 0.5% |
Energy—Other † | 28,967 | 2.5% | |
54,888 | 4.8% |
40
Russell 1000 Growth Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Financial Services | |||
Visa Inc. Class A | 70,327 | 12,266 | 1.1% |
Mastercard Inc. Class A | 15,743 | 9,542 | 0.8% |
American Express Co. | 127,470 | 9,166 | 0.8% |
Financial Services—Other † | 60,400 | 5.3% | |
91,374 | 8.0% | ||
Health Care | |||
* Gilead Sciences Inc. | 205,571 | 12,390 | 1.1% |
Amgen Inc. | 101,004 | 11,003 | 1.0% |
AbbVie Inc. | 213,234 | 9,086 | 0.8% |
Bristol-Myers Squibb Co. | 191,022 | 7,964 | 0.7% |
* Celgene Corp. | 56,331 | 7,885 | 0.7% |
* Biogen Idec Inc. | 32,043 | 6,826 | 0.6% |
* Express Scripts Holding Co. | 96,476 | 6,163 | 0.5% |
Health Care—Other † | 74,304 | 6.5% | |
135,621 | 11.9% | ||
Materials & Processing | |||
Monsanto Co. | 72,117 | 7,059 | 0.6% |
EI du Pont de Nemours & Co. | 124,202 | 7,032 | 0.6% |
Materials & Processing—Other † | 46,277 | 4.1% | |
60,368 | 5.3% | ||
Producer Durables | |||
United Technologies Corp. | 116,014 | 11,613 | 1.0% |
Boeing Co. | 102,211 | 10,622 | 0.9% |
Union Pacific Corp. | 62,871 | 9,653 | 0.9% |
3M Co. | 78,583 | 8,925 | 0.8% |
Honeywell International Inc. | 106,234 | 8,453 | 0.7% |
United Parcel Service Inc. Class B | 97,483 | 8,343 | 0.7% |
Accenture plc Class A | 86,719 | 6,265 | 0.6% |
Producer Durables—Other † | 76,260 | 6.7% | |
140,134 | 12.3% | ||
Technology | |||
Apple Inc. | 95,766 | 46,643 | 4.1% |
Microsoft Corp. | 1,125,580 | 37,594 | 3.3% |
* Google Inc. Class A | 36,343 | 30,779 | 2.7% |
International Business Machines Corp. | 140,222 | 25,558 | 2.2% |
QUALCOMM Inc. | 232,826 | 15,432 | 1.4% |
Oracle Corp. | 478,525 | 15,246 | 1.3% |
* Facebook Inc. Class A | 229,354 | 9,468 | 0.8% |
Texas Instruments Inc. | 149,606 | 5,715 | 0.5% |
Technology—Other † | 68,236 | 6.0% | |
254,671 | 22.3% | ||
Utilities | |||
Verizon Communications Inc. | 385,612 | 18,270 | 1.6% |
Utilities—Other † | 4,125 | 0.4% | |
22,395 | 2.0% | ||
Total Common Stocks (Cost $956,852) | 1,139,733 | 100.0%1 |
41
Russell 1000 Growth Index Fund | ||
Market | Percentage | |
Value | of Net | |
($000) | Assets | |
Temporary Cash Investment | ||
2U.S. Government and Agency Obligations† (Cost $100) | 100 | 0.0%1 |
Total Investments (Cost $956,952) | 1,139,833 | 100.0% |
Other Assets and Liabilities | ||
Other Assets | 5,273 | 0.4% |
Liabilities | (4,937) | (0.4%) |
336 | 0.0% | |
Net Assets | 1,140,169 | 100.0% |
At August 31, 2013, net assets consisted of: | ||
Amount | ||
($000) | ||
Paid-in Capital | 980,540 | |
Undistributed Net Investment Income | 3,422 | |
Accumulated Net Realized Losses | (26,681) | |
Unrealized Appreciation (Depreciation) | ||
Investment Securities | 182,881 | |
Futures Contracts | 7 | |
Net Assets | 1,140,169 | |
Institutional Shares—Net Assets | ||
Applicable to 6,698,133 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 991,769 | |
Net Asset Value Per Share—Institutional Shares | $148.07 | |
ETF Shares—Net Assets | ||
Applicable to 1,926,711 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 148,400 | |
Net Asset Value Per Share—ETF Shares | $77.02 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.
2 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.
42
Russell 1000 Growth Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 17,253 |
Interest1 | 5 |
Securities Lending | 40 |
Total Income | 17,298 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 112 |
Management and Administrative—Institutional Shares | 299 |
Management and Administrative—ETF Shares | 120 |
Marketing and Distribution—Institutional Shares | 187 |
Marketing and Distribution—ETF Shares | 27 |
Custodian Fees | 38 |
Auditing Fees | 29 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 4 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 817 |
Net Investment Income | 16,481 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 6,405 |
Futures Contracts | 124 |
Realized Net Gain (Loss) | 6,529 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 117,293 |
Futures Contracts | (59) |
Change in Unrealized Appreciation (Depreciation) | 117,234 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 140,244 |
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.
43
Russell 1000 Growth Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 16,481 | 7,214 |
Realized Net Gain (Loss) | 6,529 | (6,304) |
Change in Unrealized Appreciation (Depreciation) | 117,234 | 76,908 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 140,244 | 77,818 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (13,426) | (4,645) |
ETF Shares | (1,906) | (835) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (15,332) | (5,480) |
Capital Share Transactions | ||
Institutional Shares | 306,975 | 357,685 |
ETF Shares | 56,213 | 15,690 |
Net Increase (Decrease) from Capital Share Transactions | 363,188 | 373,375 |
Total Increase (Decrease) | 488,100 | 445,713 |
Net Assets | ||
Beginning of Period | 652,069 | 206,356 |
End of Period1 | 1,140,169 | 652,069 |
1 Net Assets—End of Period includes undistributed net investment income of $3,422,000 and $2,273,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
44
Russell 1000 Growth Index Fund | |||
Financial Highlights | |||
Institutional Shares | |||
Dec. 6, | |||
Year Ended | 20101 to | ||
August 31, | August 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $129.59 | $112.09 | $110.81 |
Investment Operations | |||
Net Investment Income | 2.446 | 1.812 | .879 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.488 | 17.342 | 1.278 |
Total from Investment Operations | 20.934 | 19.154 | 2.157 |
Distributions | |||
Dividends from Net Investment Income | (2.454) | (1.654) | (.877) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (2.454) | (1.654) | (.877) |
Net Asset Value, End of Period | $148.07 | $129.59 | $112.09 |
Total Return | 16.35% | 17.26% | 1.92% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $992 | $576 | $154 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.80% | 1.66% | 1.54%2 |
Portfolio Turnover Rate3 | 29% | 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 | |||
Financial Highlights | |||
ETF Shares | |||
Sept. 20, | |||
Year Ended | 20101 to | ||
August 31, | August 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $67.41 | $58.31 | $52.12 |
Investment Operations | |||
Net Investment Income | 1.226 | .900 | .579 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.611 | 9.023 | 6.044 |
Total from Investment Operations | 10.837 | 9.923 | 6.623 |
Distributions | |||
Dividends from Net Investment Income | (1.227) | (.823) | (.433) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (1.227) | (.823) | (.433) |
Net Asset Value, End of Period | $77.02 | $67.41 | $58.31 |
Total Return | 16.27% | 17.18% | 12.69% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $148 | $76 | $52 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.73% | 1.59% | 1.47%2 |
Portfolio Turnover Rate3 | 29% | 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.
46
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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
47
Russell 1000 Growth Index Fund
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, 2011–2013), 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund, provided that such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default, the fund may experience delays and costs in recovering the 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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. 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.
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, 2013, the fund had contributed capital of $139,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.06% 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.
48
Russell 1000 Growth Index Fund
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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,139,733 | — | — |
Temporary Cash Investments | — | 100 | — |
Futures Contracts—Liabilities1 | (1) | — | — |
Total | 1,139,732 | 100 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At August 31, 2013, 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 2013 | 1 | 408 | 7 |
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, 2013, the fund realized $18,367,000 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, 2013, the fund had $3,559,000 of ordinary income available for distribution. The fund had available capital losses totaling $25,555,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2013, the cost of investment securities for tax purposes was $958,072,000. Net unrealized appreciation of investment securities for tax purposes was $181,761,000, consisting of unrealized gains of $189,176,000 on securities that had risen in value since their purchase and $7,415,000 in unrealized losses on securities that had fallen in value since their purchase.
49
Russell 1000 Growth Index Fund
F. During the year ended August 31, 2013, the fund purchased $695,453,000 of investment securities and sold $330,143,000 of investment securities, other than temporary cash investments. Purchases and sales include $168,144,000 and $68,681,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 461,871 | 3,371 | 414,139 | 3,534 |
Issued in Lieu of Cash Distributions | 13,026 | 96 | 4,481 | 38 |
Redeemed | (167,922) | (1,215) | (60,935) | (499) |
Net Increase (Decrease) —Institutional Shares | 306,975 | 2,252 | 357,685 | 3,073 |
ETF Shares | ||||
Issued | 125,778 | 1,750 | 57,142 | 877 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (69,565) | (950) | (41,452) | (650) |
Net Increase (Decrease) —ETF Shares | 56,213 | 800 | 15,690 | 227 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition or disclosure in these financial statements.
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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, 2013, 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, 2013 by correspondence with the custodian and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2013
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Special 2013 tax information (unaudited) for Vanguard Russell 1000 Index Funds |
This information for the fiscal year ended August 31, 2013, 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 | |
Index Fund | ($000) |
Russell 1000 Index | 13,436 |
Russell 1000 Value Index | 17,526 |
Russell 1000 Growth Index | 15,332 |
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:
Index Fund | Percentage |
Russell 1000 Index | 95.5% |
Russell 1000 Value Index | 92.2 |
Russell 1000 Growth Index | 99.1 |
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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 2013. (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, 2013 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Index Fund ETF Shares | ||
Returns Before Taxes | 19.70% | 15.52% |
Returns After Taxes on Distributions | 19.24 | 15.20 |
Returns After Taxes on Distributions and Sale of Fund Shares | 11.66 | 12.25 |
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Value Index Fund ETF Shares | ||
Returns Before Taxes | 22.90% | 15.17% |
Returns After Taxes on Distributions | 22.36 | 14.82 |
Returns After Taxes on Distributions and Sale of Fund Shares | 13.56 | 11.97 |
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 1000 Growth Index Fund ETF Shares | ||
Returns Before Taxes | 16.27% | 15.67% |
Returns After Taxes on Distributions | 15.89 | 15.42 |
Returns After Taxes on Distributions and Sale of Fund Shares | 9.64 | 12.36 |
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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.
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Six Months Ended August 31, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2013 | 8/31/2013 | Period | |
Based on Actual Fund Return | |||
Russell 1000 Index Fund | |||
Institutional Shares | $1,000.00 | $1,091.78 | $0.42 |
ETF Shares | 1,000.00 | 1,091.67 | 0.63 |
Russell 1000 Value Index Fund | |||
Institutional Shares | $1,000.00 | $1,087.51 | $0.42 |
ETF Shares | 1,000.00 | 1,087.14 | 0.79 |
Russell 1000 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $1,095.54 | $0.42 |
ETF Shares | 1,000.00 | 1,095.12 | 0.79 |
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.
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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). 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 relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. 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’ at-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.
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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.
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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 181 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 | 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); Chairman of the Board of |
(chemicals); Director of Tyco International, Ltd. | Hillenbrand, Inc. (specialized consumer services) and |
(diversified manufacturing and services), Hewlett- | of Oxfam America; Director of SKF AB (industrial |
Packard Co. (electronic computer manufacturing), |
machinery) and the Lumina Foundation for Education; | Executive Officers | |
Member of the Advisory Council for the College of | ||
Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
the University 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 | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
Advisory Chairman of the Board of The Cleveland | ||
Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
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.
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All comparative mutual fund data are from Lipper, a | |
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© 2013 The Vanguard Group, Inc. | |
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Q18480 102013 |
Annual Report | August 31, 2013
Vanguard Russell 2000 Index Funds
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Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Russell 2000 Index Fund. | 9 |
Russell 2000 Value Index Fund. | 23 |
Russell 2000 Growth Index Fund. | 37 |
Your Fund’s After-Tax Returns. | 53 |
About Your Fund’s Expenses. | 54 |
Trustees Approve Advisory Arrangement. | 56 |
Glossary. | 57 |
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: The ship's wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMS Vanguard, another ship of that era, served as the flagship for Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns | |
Fiscal Year Ended August 31, 2013 | |
Total | |
Returns | |
Vanguard Russell 2000 Index Fund | |
Institutional Shares | 26.33% |
ETF Shares | |
Market Price | 26.19 |
Net Asset Value | 26.23 |
Russell 2000 Index | 26.27 |
Small-Cap Core Funds Average | 25.00 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Russell 2000 Value Index Fund | |
Institutional Shares | 24.29% |
ETF Shares | |
Market Price | 24.61 |
Net Asset Value | 24.14 |
Russell 2000 Value Index | 24.38 |
Small-Cap Value Funds Average | 26.46 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Russell 2000 Growth Index Fund | |
Institutional Shares | 28.23% |
ETF Shares | |
Market Price | 28.03 |
Net Asset Value | 28.07 |
Russell 2000 Growth Index | 28.14 |
Small-Cap Growth Funds Average | 25.95 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
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; 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
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Chairman’s Letter
Dear Shareholder,
Sluggish but sustained growth in the U.S. economy was enough to lift investor sentiment and push the broad stock market significantly higher during the fiscal year ended August 31, 2013. Small-capitalization stocks led the surge, outperforming their larger-cap counterparts.
Growth stocks garnered investor favor, with the Russell 2000 Growth Index Fund advancing 28.07%. (The returns cited in this letter are for ETF Shares based on net asset value.) The Russell 2000 Value Index Fund returned 24.14%; the Russell 2000 Index Fund, which includes growth and value stocks, took the middle ground, returning 26.23%.
Each fund met its investment objective of closely tracking its target index. The Russell 2000 Index Fund and the Russell 2000 Growth Index Fund each ended up with a return that was higher than the average return of its peer group; the Russell 2000 Value Index Fund did not.
If you hold fund shares in a taxable account, you may wish to review the information on after-tax returns that appears later in this report.
Stocks posted robust results despite setbacks at the finish
U.S. stocks advanced about 20% in the 12 months ended August 31 despite slipping in June and August. Through most of the
2
fiscal year, stocks rallied as the economy continued to show modest growth and investors appeared more receptive to risk.
Much of the market’s recent weakness was linked to concerns that the Federal Reserve would begin scaling back its stimulative bond-buying program. Heightened strife in the Middle East also contributed to anxiety in the global markets.
International stocks in aggregate finished with a return of about 13%. Developed markets in the Pacific region and Europe posted results closer to those of the United States. Returns for emerging-market stocks were virtually flat as growth slowed in China and Brazil.
Although global economic worries and tensions over conflicts abroad have unsettled markets, Jonathan Lemco, a senior sovereign-debt analyst in the Vanguard Taxable Credit Research Group, pointed out that investors can still manage risks amid international instability. “Vanguard believes a diversified portfolio is the best way to spread the risk of geopolitical uncertainty,” he said.
Bond returns turned negative amid worry about the Fed’s plans
Bonds, which maintained slightly positive returns overall through the first eight months of the period, reversed course in May and then continued to retreat as investors anticipated reductions in the Fed’s bond-buying program.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2013 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.84% | 18.74% | 7.59% |
Russell 2000 Index (Small-caps) | 26.27 | 20.50 | 7.98 |
Russell 3000 Index (Broad U.S. market) | 20.32 | 18.87 | 7.63 |
MSCI All Country World Index ex USA (International) | 12.98 | 6.93 | 1.48 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.47% | 2.58% | 4.93% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -3.70 | 2.45 | 4.52 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.07 | 0.08 | 0.17 |
CPI | |||
Consumer Price Index | 1.52% | 2.32% | 1.32% |
3
The broad U.S. taxable bond market returned –2.47% for the 12 months. The yield of the 10-year Treasury note finished at 2.76%, up from 1.56% at the end of August 2012. (Bond yields and prices move in opposite directions.) Municipal bonds suffered more, returning –3.70% for the fiscal year.
Returns for money markets and savings accounts were minuscule as the Fed kept its target for short-term interest rates at 0%–0.25%.
A rising tide lifted almost all stocks
Notwithstanding a few months when the market lost ground because of concerns about the so-called fiscal cliff and a possible tapering of the Fed’s bond-buying, stocks ended the 12 months substantially higher as the overall economic outlook brightened. All nine sectors that make up the Russell 2000 Index posted double-digit returns.
Consumer confidence improved over the period as the housing market continued to recover and the unemployment rate ticked down. The consumer discretionary and producer durables sectors benefited from this trend, returning between roughly 30% and 40% for all three funds; among the stocks that rose the most were retailers, restaurants, and airlines. Given that each fund had more than 10% of its assets in each of these two strongly performing sectors at the end of the period, the boost to performance was significant.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Institutional | ETF | Peer Group | |
Shares | Shares | Average | |
Russell 2000 Index Fund | 0.14% | 0.21% | 1.34% |
Russell 2000 Value Index Fund | 0.20 | 0.32 | 1.40 |
Russell 2000 Growth Index Fund | 0.08 | 0.20 | 1.47 |
The fund expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, 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 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, a Thomson Reuters Company, and capture information through year-end 2012.
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 |
Growth stocks versus value stocks: A case for both |
Growth and value stocks typically take turns outperforming each other. The chart |
here shows how they have switched off during the past 20 years in leading or |
lagging a broader market average. |
These two styles of investing are typically considered complementary—when growth |
is performing well, value typically isn’t, and vice versa. Generally speaking, growth |
stocks represent companies that are expected to expand their businesses at a rapid |
pace, while value stocks typically represent more established, slower-growing |
companies. |
Which does better in the long run? Neither. Vanguard research has shown that there |
is no significant long-term difference in the risk/reward characteristics of growth and |
value stocks. But, because their performance can vary considerably over shorter time |
periods, a truly diversified portfolio should have exposure to both. |
Rolling 12-month return differences, 1993–2012 |
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5
To a large extent, the growth fund’s return was driven by holdings in health care, which accounted for about one-fifth of the fund’s assets at the close of the fiscal year. Pharmaceutical and biotechnology stocks performed particularly well; stronger drug pipelines helped offset concerns about the impact of expiring patents, and merger and acquisition activity picked up. The technology sector—especially software, telecom, and electronics—also boosted the fund’s return.
The value fund, by contrast, had more than one-third of its assets in the financial services sector as of August 31. Investor sentiment toward financial firms, and banks in particular, continued to improve amid strong corporate earnings, healthier balance sheets, and increasing lending activity. The sector’s overall return of 20%, however, was among the weakest of the sector returns in the index.
The materials & processing sector turned in a subpar performance for all three funds. While building materials were a bright spot because of the upswing in housing construction and renovation, the prices of many basic materials stocks were affected by the prospect of lower global demand.
Short but strong track records for all three Russell 2000 funds
The Russell 2000 Index Funds’ ETF Shares were launched on September 20, 2010. Since then, they have posted average annual returns of more than 14% to about 18%.
Timing was admittedly on their side; these funds started operations shortly after the stock market began to rebound from the steep price declines of 2008–2009. Although that timing contributed to the funds’ impressive absolute returns, credit for capturing so much of the performance of their target indexes is due to the deep experience and sophisticated portfolio tracking techniques of the funds’ advisor, Vanguard Equity Investment Group, as well as its ability to keep costs low.
In challenging markets, index funds can be a solid portfolio foundation
As you know, index funds seek to capture the return of the market they track, minus only their operating expenses. The funds do so by investing in an entire market or category within it, or by relying on a sophisticated market sampling technique.
In actively managed funds, by contrast, advisors troll the markets and reel in selected stocks or bonds that their analysis suggests will allow them to outperform their benchmarks. As we show in The Case for Index-Fund Investing, a paper available at vanguard.com/research, there’s typically a big gap between hope and reality: Consistent outperformance by any one active manager has been rare.
I use the word “typically” because we believe that some actively managed funds, including Vanguard’s, can increase the odds of outperforming benchmarks over the long term. As demonstrated in a companion paper, The Case for Vanguard Active Management: Solving the Low-Cost/Top-Talent Paradox? (also
6
available at vanguard.com/research), the most reliable quantitative indicator of future manager success is low expenses—a Vanguard hallmark. And, as the paper’s title implies, finding talented advisors is a key aspect of active investing. We believe we have the process in place to identify the best.
Even so, investors in actively managed funds should expect, and be comfortable with, the extended periods of under-performance that actively managed funds can undergo. The challenges of active investing, conversely, point to the potential benefits of indexing. Well-run index funds can offer you virtually the market return, year in and year out. In a portfolio that is diversified within asset classes, and balanced among them, low-cost index funds can be the bedrock of a sound investment plan.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
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F. William McNabb III
Chairman and Chief Executive Officer
September 18, 2013
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. |
7
Your Fund’s Performance at a Glance | ||||
August 31, 2012, Through August 31, 2013 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Russell 2000 Index Fund | ||||
Institutional Shares | $123.77 | $153.88 | $2.054 | $0.000 |
ETF Shares | 64.74 | 80.46 | 1.045 | 0.000 |
Vanguard Russell 2000 Value Index Fund | ||||
Institutional Shares | $122.12 | $148.87 | $2.498 | $0.000 |
ETF Shares | 61.97 | 75.48 | 1.238 | 0.000 |
Vanguard Russell 2000 Growth Index Fund | ||||
Institutional Shares | $128.23 | $162.99 | $1.156 | $0.000 |
ETF Shares | 67.37 | 85.58 | 0.562 | 0.000 |
8
Russell 2000 Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Institutional | ETF | ||
Shares | Shares | ||
Ticker Symbol | VRTIX | VTWO | |
Expense Ratio1 | 0.14% | 0.21% | |
30-Day SEC Yield | 1.27% | 1.20% | |
Portfolio Characteristics | |||
DJ U.S. | |||
Total | |||
Russell | Market | ||
2000 | FA | ||
Fund | Index | Index | |
Number of Stocks | 1,991 | 1,968 | 3,631 |
Median Market Cap | $1.4B | $1.4B | $39.3B |
Price/Earnings Ratio | 29.5x | 29.3x | 18.7x |
Price/Book Ratio | 2.1x | 2.1x | 2.4x |
Return on Equity | 7.5% | 7.5% | 16.6% |
Earnings Growth | |||
Rate | 10.6% | 10.5% | 11.1% |
Dividend Yield | 1.4% | 1.4% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 32% | — | — |
Short-Term Reserves | 0.2% | — | — |
Sector Diversification (% of equity exposure)
DJ U.S. | |||
Russell | Total | ||
2000 | Market | ||
Fund | Index | FA Index | |
Consumer | |||
Discretionary | 14.7% | 14.7% | 14.8% |
Consumer Staples | 3.5 | 3.5 | 7.8 |
Energy | 5.4 | 5.4 | 9.8 |
Financial Services | 23.6 | 23.6 | 18.8 |
Health Care | 13.0 | 13.0 | 12.4 |
Materials & | |||
Processing | 7.1 | 7.1 | 4.4 |
Other | 0.1 | 0.0 | 0.0 |
Producer Durables | 14.0 | 14.0 | 11.4 |
Technology | 14.5 | 14.6 | 15.2 |
Utilities | 4.1 | 4.1 | 5.4 |
Ten Largest Holdings (% of total net assets) | ||
CoStar Group Inc. | Back Office Support | |
HR & Consulting | 0.3% | |
CommVault Systems | Computer Services | |
Inc. | Software & Systems | 0.3 |
Ultimate Software Group Computer Services | ||
Inc. | Software & Systems | 0.3 |
athenahealth Inc. | Health Care Services | 0.3 |
Acuity Brands Inc. | Building Materials | 0.3 |
Prosperity Bancshares | ||
Inc. | Banks - Diversified | 0.2 |
FirstMerit Corp. | Banks - Diversified | 0.2 |
Middleby Corp. | Machinery - Industrial | 0.2 |
Questcor | ||
Pharmaceuticals Inc. | Pharmaceuticals | 0.2 |
Chart Industries Inc. | Machinery - Industrial | 0.2 |
Top Ten | 2.5% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
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1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
9
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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell2000x12x1.jpg)
"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 | 26.33% | 11.11% | $6,637,772 |
Russell 2000 Index | 26.27 | 11.10 | 6,636,143 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 20.15 | 12.53 | 6,869,104 |
"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.
10
Russell 2000 Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2013 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Index Fund ETF Shares Market Price | 26.19% | 56.81% |
Russell 2000 Index Fund ETF Shares Net Asset | ||
Value | 26.23 | 56.81 |
Russell 2000 Index | 26.27 | 57.11 |
"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, 2013
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell2000x13x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2013
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 | 24.24% | 10.33% |
ETF Shares | 9/20/2010 | ||
Market Price | 23.73 | 15.98 | |
Net Asset Value | 24.16 | 16.11 |
11
Russell 2000 Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 2013
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 | |||
Brunswick Corp. | 33,205 | 1,207 | 0.2% |
Sotheby’s | 25,102 | 1,157 | 0.2% |
Dana Holding Corp. | 53,902 | 1,130 | 0.2% |
* Fifth & Pacific Cos. Inc. | 44,099 | 1,051 | 0.2% |
Wolverine World Wide Inc. | 18,412 | 1,036 | 0.2% |
* Tenneco Inc. | 22,298 | 1,029 | 0.2% |
* Lumber Liquidators Holdings Inc. | 10,083 | 1,002 | 0.2% |
Consumer Discretionary—Other † | 70,871 | 13.2% | |
78,483 | 14.6% | ||
Consumer Staples | |||
* Hain Celestial Group Inc. | 14,120 | 1,155 | 0.2% |
* United Natural Foods Inc. | 18,130 | 1,099 | 0.2% |
Consumer Staples—Other † | 16,461 | 3.1% | |
18,715 | 3.5% | ||
Energy | |||
* Rosetta Resources Inc. | 22,459 | 1,045 | 0.2% |
* Kodiak Oil & Gas Corp. | 97,821 | 977 | 0.2% |
* Helix Energy Solutions Group Inc. | 38,970 | 975 | 0.2% |
Energy—Other † | 25,836 | 4.8% | |
28,833 | 5.4% | ||
Financial Services | |||
Prosperity Bancshares Inc. | 22,159 | 1,325 | 0.3% |
FirstMerit Corp. | 60,930 | 1,289 | 0.2% |
* WEX Inc. | 14,242 | 1,140 | 0.2% |
Highwoods Properties Inc. | 32,982 | 1,114 | 0.2% |
CNO Financial Group Inc. | 81,556 | 1,108 | 0.2% |
Prospect Capital Corp. | 95,370 | 1,056 | 0.2% |
RLJ Lodging Trust | 45,467 | 1,045 | 0.2% |
Hancock Holding Co. | 31,206 | 1,003 | 0.2% |
12
Russell 2000 Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
* Portfolio Recovery Associates Inc. | 18,704 | 992 | 0.2% |
Financial Engines Inc. | 18,038 | 964 | 0.2% |
Financial Services—Other † | 115,721 | 21.6% | |
126,757 | 23.7% | ||
Health Care | |||
* athenahealth Inc. | 13,487 | 1,423 | 0.3% |
Questcor Pharmaceuticals Inc. | 19,075 | 1,272 | 0.2% |
* Align Technology Inc. | 26,811 | 1,168 | 0.2% |
* Centene Corp. | 19,949 | 1,140 | 0.2% |
* Alnylam Pharmaceuticals Inc. | 21,334 | 1,105 | 0.2% |
* Isis Pharmaceuticals Inc. | 41,229 | 1,065 | 0.2% |
* WellCare Health Plans Inc. | 15,993 | 1,018 | 0.2% |
* HealthSouth Corp. | 32,065 | 1,009 | 0.2% |
* Team Health Holdings Inc. | 25,252 | 970 | 0.2% |
* PAREXEL International Corp. | 20,899 | 970 | 0.2% |
Health Care—Other † | 58,405 | 10.9% | |
69,545 | 13.0% | ||
Materials & Processing | |||
Acuity Brands Inc. | 15,748 | 1,346 | 0.2% |
Axiall Corp. | 25,588 | 1,024 | 0.2% |
PolyOne Corp. | 36,530 | 987 | 0.2% |
CLARCOR Inc. | 18,271 | 979 | 0.2% |
Materials & Processing—Other † | 33,751 | 6.3% | |
38,087 | 7.1% | ||
Other † | 325 | 0.1% | |
Producer Durables | |||
* CoStar Group Inc. | 10,477 | 1,556 | 0.3% |
* Middleby Corp. | 6,899 | 1,283 | 0.2% |
* Chart Industries Inc. | 11,129 | 1,271 | 0.2% |
HEICO Corp. | 19,465 | 1,217 | 0.2% |
* US Airways Group Inc. | 70,590 | 1,141 | 0.2% |
* Teledyne Technologies Inc. | 13,698 | 1,057 | 0.2% |
Woodward Inc. | 25,278 | 975 | 0.2% |
Producer Durables—Other † | 66,147 | 12.4% | |
74,647 | 13.9% | ||
Technology | |||
* CommVault Systems Inc. | 17,062 | 1,430 | 0.3% |
* Ultimate Software Group Inc. | 10,148 | 1,423 | 0.3% |
FEI Co. | 15,325 | 1,200 | 0.2% |
* Aspen Technology Inc. | 34,373 | 1,149 | 0.2% |
* PTC Inc. | 43,911 | 1,145 | 0.2% |
* QLIK Technologies Inc. | 31,999 | 1,049 | 0.2% |
Technology—Other † | 70,331 | 13.1% | |
77,727 | 14.5% | ||
Utilities | |||
Cleco Corp. | 22,221 | 1,003 | 0.2% |
Utilities—Other † | 20,866 | 3.9% | |
21,869 | 4.1% | ||
Total Common Stocks (Cost $448,961) | 534,988 | 99.9%1 |
13
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 | 0.122% | 2,724,764 | 2,725 | 0.5% |
4U.S. Government and Agency Obligations † | 300 | 0.1% | ||
Total Temporary Cash Investments (Cost $3,025) | 3,025 | 0.6%1 | ||
5Total Investments (Cost $451,986) | 538,013 | 100.5% | ||
Other Assets and Liabilities | ||||
Other Assets | 4,386 | 0.8% | ||
Liabilities3 | (6,905) | (1.3%) | ||
(2,519) | (0.5%) | |||
Net Assets | 535,494 | 100.0% | ||
At August 31, 2013, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 450,586 | |||
Undistributed Net Investment Income | 3,608 | |||
Accumulated Net Realized Losses | (4,712) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 86,027 | |||
Futures Contracts | (15) | |||
Net Assets | 535,494 | |||
Institutional Shares—Net Assets | ||||
Applicable to 1,806,720 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 278,022 | |||
Net Asset Value Per Share—Institutional Shares | $153.88 | |||
ETF Shares—Net Assets | ||||
Applicable to 3,200,000 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 257,472 | |||
Net Asset Value Per Share—ETF Shares | $80.46 |
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% and 0.5%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $1,570,000 of collateral received for securities on loan.
4 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $1,467,000.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 2000 Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,824 |
Interest1 | 5 |
Securities Lending | 300 |
Total Income | 8,129 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 51 |
Management and Administrative—Institutional Shares | 3 |
Management and Administrative—ETF Shares | 139 |
Marketing and Distribution—Institutional Shares | 57 |
Marketing and Distribution—ETF Shares | 46 |
Custodian Fees | 163 |
Auditing Fees | 23 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 8 |
Total Expenses | 490 |
Net Investment Income | 7,639 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 15,381 |
Futures Contracts | 726 |
Realized Net Gain (Loss) | 16,107 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 76,448 |
Futures Contracts | (25) |
Change in Unrealized Appreciation (Depreciation) | 76,423 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 100,169 |
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.
15
Russell 2000 Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 7,639 | 2,934 |
Realized Net Gain (Loss) | 16,107 | (982) |
Change in Unrealized Appreciation (Depreciation) | 76,423 | 18,923 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 100,169 | 20,875 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (3,588) | (895) |
ETF Shares | (2,717) | (484) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (6,305) | (1,379) |
Capital Share Transactions | ||
Institutional Shares | 24,759 | 112,757 |
ETF Shares | 66,096 | 111,403 |
Net Increase (Decrease) from Capital Share Transactions | 90,855 | 224,160 |
Total Increase (Decrease) | 184,719 | 243,656 |
Net Assets | ||
Beginning of Period | 350,775 | 107,119 |
End of Period1 | 535,494 | 350,775 |
1 Net Assets—End of Period includes undistributed net investment income of $3,608,000 and $2,245,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
Russell 2000 Index Fund | |||
Financial Highlights | |||
Institutional Shares | |||
Dec. 22, | |||
Year Ended | 20101 to | ||
August 31, | Aug. 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $123.77 | $110.21 | $119.33 |
Investment Operations | |||
Net Investment Income | 2.306 | 1.733 2 | .652 |
Net Realized and Unrealized Gain (Loss) on Investments | 29.858 | 12.899 | (9.340) |
Total from Investment Operations | 32.164 | 14.632 | (8.688) |
Distributions | |||
Dividends from Net Investment Income | (2.054) | (1.072) | (. 432) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (2.054) | (1.072) | (. 432) |
Net Asset Value, End of Period | $153.88 | $123.77 | $110.21 |
Total Return | 26.33% | 13.37% | -7.31% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $278 | $202 | $78 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 1.78% | 1.52% | 1.21%3 |
Portfolio Turnover Rate 4 | 32% | 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 | |||
Financial Highlights | |||
ETF Shares | |||
Sept. 20, | |||
Year Ended | 20101 to | ||
August 31, | Aug. 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $64.74 | $57.66 | $52.78 |
Investment Operations | |||
Net Investment Income | 1.161 | . 8692 | .575 |
Net Realized and Unrealized Gain (Loss) on Investments | 15.604 | 6.749 | 4.531 |
Total from Investment Operations | 16.765 | 7.618 | 5.106 |
Distributions | |||
Dividends from Net Investment Income | (1.045) | (. 538) | (.226) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (1.045) | (. 538) | (.226) |
Net Asset Value, End of Period | $80.46 | $64.74 | $57.66 |
Total Return | 26.23% | 13.30% | 9.64% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $257 | $149 | $29 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 1.71% | 1.45% | 1.14%3 |
Portfolio Turnover Rate 4 | 32% | 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.
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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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
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Russell 2000 Index Fund
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, 2011–2013), 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund, provided that such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default, the fund may experience delays and costs in recovering the 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of their 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.
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, 2013, 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.
20
Russell 2000 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 sed to value securities are not necessarily an indication of the risk associated with investing in hose securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest ates, 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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 534,986 | — | 2 |
Temporary Cash Investments | 2,725 | 300 | — |
Futures Contracts—Assets1 | 14 | — | — |
Futures Contracts—Liabilities1 | (35) | — | — |
Total | 537,690 | 300 | 2 |
1 Represents variation margin on the last day of the reporting period. |
D. At August 31, 2013, 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 2013 | 4 | 404 | (15) |
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.
Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended August 31, 2013, the fund realized gains on the sale of passive foreign investment companies of $29,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from
21
Russell 2000 Index Fund
accumulated net realized losses to undistributed net investment income. Passive foreign investment companies held at August 31, 2013, had unrealized appreciation of $155,000, of which $22,000 has been distributed and is reflected in the balance of undistributed net investment income.
During the year ended August 31, 2013, the fund realized $15,482,000 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, 2013, the fund had $3,828,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $1,509,000 to offset taxable capital gains realized during the year ended August 31, 2013. The fund had available capital losses totaling $3,740,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2013, the cost of investment securities for tax purposes was $453,128,000. Net unrealized appreciation of investment securities for tax purposes was $84,885,000, consisting of unrealized gains of $103,295,000 on securities that had risen in value since their purchase and $18,410,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2013, the fund purchased $269,079,000 of investment securities and sold $175,443,000 of investment securities, other than temporary cash investments. Purchases and sales include $104,736,000 and $37,889,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 85,359 | 607 | 149,881 | 1,222 |
Issued in Lieu of Cash Distributions | 3,450 | 27 | 809 | 7 |
Redeemed | (64,050) | (458) | (37,933) | (308) |
Net Increase (Decrease) —Institutional Shares | 24,759 | 176 | 112,757 | 921 |
ETF Shares | ||||
Issued | 104,908 | 1,400 | 129,895 | 2,100 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (38,812) | (500) | (18,492) | (300) |
Net Increase (Decrease) —ETF Shares | 66,096 | 900 | 111,403 | 1,800 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition or disclosure in these financial statements.
22
Russell 2000 Value Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Institutional | ETF | ||
Shares | Shares | ||
Ticker Symbol | VRTVX | VTWV | |
Expense Ratio1 | 0.20% | 0.32% | |
30-Day SEC Yield | 2.03% | 1.91% | |
Portfolio Characteristics | |||
DJ U.S. | |||
Russell | Total | ||
2000 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Number of Stocks | 1,351 | 1,346 | 3,631 |
Median Market Cap | $1.2B | $1.2B | $39.3B |
Price/Earnings Ratio | 22.8x | 22.6x | 18.7x |
Price/Book Ratio | 1.4x | 1.4x | 2.4x |
Return on Equity | 5.1% | 5.1% | 16.6% |
Earnings Growth | |||
Rate | 7.8% | 7.8% | 11.1% |
Dividend Yield | 2.1% | 2.1% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 60% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
Russell | DJ U.S. | ||
2000 | Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Consumer | |||
Discretionary | 11.0% | 11.0% | 14.8% |
Consumer Staples | 2.5 | 2.5 | 7.8 |
Energy | 6.6 | 6.6 | 9.8 |
Financial Services | 39.0 | 38.8 | 18.8 |
Health Care | 4.6 | 4.5 | 12.4 |
Materials & | |||
Processing | 5.5 | 5.6 | 4.4 |
Producer Durables | 13.9 | 13.9 | 11.4 |
Technology | 10.0 | 10.1 | 15.2 |
Utilities | 6.9 | 7.0 | 5.4 |
Ten Largest Holdings (% of total net assets)
Prosperity Bancshares | ||
Inc. | Banks - Diversified | 0.5% |
FirstMerit Corp. | Banks - Diversified | 0.5 |
CNO Financial Group | ||
Inc. | Insurance - Life | 0.4 |
Prospect Capital Corp. | Asset Management | |
& Custodian | 0.4 | |
Fifth & Pacific Cos. Inc. | Textiles Apparel & | |
Shoes | 0.4 | |
RLJ Lodging Trust | Real Estate | |
Investment Trusts | ||
(REITs) | 0.4 | |
Dana Holding Corp. | Auto Parts | 0.4 |
Axiall Corp. | Chemicals - | |
Diversified | 0.4 | |
WellCare Health Plans | Health Care | |
Inc. | Management | |
Services | 0.4 | |
Cleco Corp. | Utilities - Electrical | 0.4 |
Top Ten | 4.2% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell2000x25x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
23
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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell2000x26x1.jpg)
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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 | (7/13/2012) | Investment | |
Russell 2000 Value Index Fund Institutional | |||
Shares | 24.29% | 22.68% | $6,303,197 |
Russell 2000 Value Index | 24.38 | 22.77 | 6,308,522 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 20.15 | 21.49 | 6,234,018 |
"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.
24
Russell 2000 Value Index Fund | ||
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2013 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Value Index Fund ETF Shares Market | ||
Price | 24.61% | 49.82% |
Russell 2000 Value Index Fund ETF Shares Net | ||
Asset Value | 24.14 | 49.73 |
Russell 2000 Value Index | 24.38 | 50.51 |
"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, 2013
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell2000x27x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2013
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 | 7/13/2012 | — | 23.93% |
ETF Shares | 9/20/2010 | ||
Market Price | 24.29% | 14.86 | |
Net Asset Value | 24.52 | 14.96 |
25
Russell 2000 Value Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 2013
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 | |||
* Fifth & Pacific Cos. Inc. | 16,029 | 382 | 0.4% |
Dana Holding Corp. | 17,993 | 377 | 0.4% |
* Live Nation Entertainment Inc. | 18,806 | 317 | 0.3% |
Rent-A-Center Inc. | 7,134 | 268 | 0.3% |
Consumer Discretionary—Other † | 9,109 | 9.5% | |
10,453 | 10.9% | ||
Consumer Staples | |||
Harris Teeter Supermarkets Inc. | 5,856 | 288 | 0.3% |
Consumer Staples—Other † | 2,066 | 2.2% | |
2,354 | 2.5% | ||
Energy | |||
* Helix Energy Solutions Group Inc. | 14,156 | 354 | 0.4% |
Energy XXI Bermuda Ltd. | 10,606 | 282 | 0.3% |
* PDC Energy Inc. | 4,758 | 273 | 0.3% |
Energy—Other † | 5,376 | 5.6% | |
6,285 | 6.6% | ||
Financial Services | |||
Prosperity Bancshares Inc. | 8,096 | 484 | 0.5% |
FirstMerit Corp. | 22,262 | 471 | 0.5% |
CNO Financial Group Inc. | 29,868 | 406 | 0.4% |
Prospect Capital Corp. | 34,717 | 384 | 0.4% |
RLJ Lodging Trust | 16,526 | 380 | 0.4% |
Hancock Holding Co. | 11,343 | 365 | 0.4% |
* Stifel Financial Corp. | 8,495 | 340 | 0.4% |
LaSalle Hotel Properties | 12,766 | 339 | 0.3% |
Webster Financial Corp. | 12,061 | 319 | 0.3% |
Susquehanna Bancshares Inc. | 24,917 | 314 | 0.3% |
EPR Properties | 6,285 | 308 | 0.3% |
First American Financial Corp. | 14,456 | 302 | 0.3% |
CubeSmart | 17,801 | 296 | 0.3% |
26
Russell 2000 Value Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Primerica Inc. | 7,615 | 283 | 0.3% |
NorthStar Realty Finance Corp. | 32,030 | 281 | 0.3% |
Highwoods Properties Inc. | 8,297 | 280 | 0.3% |
Invesco Mortgage Capital Inc. | 18,068 | 277 | 0.3% |
Lexington Realty Trust | 22,551 | 264 | 0.3% |
* Sunstone Hotel Investors Inc. | 21,758 | 262 | 0.3% |
Colonial Properties Trust | 11,843 | 262 | 0.3% |
DCT Industrial Trust Inc. | 38,847 | 260 | 0.3% |
UMB Financial Corp. | 4,336 | 259 | 0.3% |
Financial Services—Other † | 29,964 | 31.2% | |
37,100 | 38.7% | ||
Health Care | |||
* WellCare Health Plans Inc. | 5,846 | 372 | 0.4% |
Health Care—Other † | 3,946 | 4.1% | |
4,318 | 4.5% | ||
Materials & Processing | |||
Axiall Corp. | 9,327 | 373 | 0.4% |
Sensient Technologies Corp. | 6,687 | 277 | 0.3% |
Materials & Processing—Other † | 4,615 | 4.8% | |
5,265 | 5.5% | ||
Other † | — | 0.0% | |
Producer Durables | |||
Actuant Corp. Class A | 9,779 | 349 | 0.4% |
EMCOR Group Inc. | 8,968 | 337 | 0.3% |
* Esterline Technologies Corp. | 4,179 | 319 | 0.3% |
Bristow Group Inc. | 4,830 | 317 | 0.3% |
* Moog Inc. Class A | 5,498 | 279 | 0.3% |
* Teledyne Technologies Inc. | 3,440 | 265 | 0.3% |
Curtiss-Wright Corp. | 6,256 | 261 | 0.3% |
Producer Durables—Other † | 11,147 | 11.6% | |
13,274 | 13.8% | ||
Technology | |||
* DigitalGlobe Inc. | 9,953 | 301 | 0.3% |
Mentor Graphics Corp. | 12,743 | 282 | 0.3% |
Technology—Other † | 8,947 | 9.3% | |
9,530 | 9.9% | ||
Utilities | |||
Cleco Corp. | 8,077 | 365 | 0.4% |
Piedmont Natural Gas Co. Inc. | 10,091 | 326 | 0.3% |
IDACORP Inc. | 6,712 | 321 | 0.3% |
Portland General Electric Co. | 10,112 | 291 | 0.3% |
Southwest Gas Corp. | 6,190 | 290 | 0.3% |
WGL Holdings Inc. | 6,909 | 288 | 0.3% |
Black Hills Corp. | 5,938 | 285 | 0.3% |
* Dynegy Inc. | 13,362 | 260 | 0.3% |
Utilities—Other † | 4,197 | 4.4% | |
6,623 | 6.9% | ||
Total Common Stocks (Cost $88,165) | 95,202 | 99.3%1 |
27
Russell 2000 Value Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
2 Vanguard Market Liquidity Fund | 0.122% | 442,250 | 442 | 0.4% |
3U.S. Government and Agency Obligations † | 200 | 0.2% | ||
Total Temporary Cash Investments (Cost $642) | 642 | 0.6%1 | ||
Total Investments (Cost $88,807) | 95,844 | 99.9% | ||
Other Assets and Liabilities | ||||
Other Assets | 945 | 1.0% | ||
Liabilities | (896) | (0.9%) | ||
49 | 0.1% | |||
Net Assets | 95,893 | 100.0% | ||
At August 31, 2013, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 88,470 | |||
Undistributed Net Investment Income | 1,077 | |||
Accumulated Net Realized Losses | (676) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 7,037 | |||
Futures Contracts | (15) | |||
Net Assets | 95,893 | |||
Institutional Shares—Net Assets | ||||
Applicable to 339,921 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 50,604 | |||
Net Asset Value Per Share—Institutional Shares | $148.87 | |||
ETF Shares—Net Assets | ||||
Applicable to 600,000 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 45,289 | |||
Net Asset Value Per Share—ETF Shares | $75.48 |
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 99.9% and 0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 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.
28
Russell 2000 Value Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,475 |
Interest1 | 1 |
Total Income | 1,476 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 2 |
Management and Administrative—ETF Shares | 34 |
Custodian Fees | 25 |
Auditing Fees | 23 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 2 |
Total Expenses | 86 |
Net Investment Income | 1,390 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 3,606 |
Futures Contracts | 74 |
Realized Net Gain (Loss) | 3,680 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 6,527 |
Futures Contracts | (15) |
Change in Unrealized Appreciation (Depreciation) | 6,512 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,582 |
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.
29
Russell 2000 Value Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,390 | 255 |
Realized Net Gain (Loss) | 3,680 | 900 |
Change in Unrealized Appreciation (Depreciation) | 6,512 | 205 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,582 | 1,360 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (115) | — |
ETF Shares | (371) | (144) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (486) | (144) |
Capital Share Transactions | ||
Institutional Shares | 38,653 | 5,782 |
ETF Shares | 21,687 | 918 |
Net Increase (Decrease) from Capital Share Transactions | 60,340 | 6,700 |
Total Increase (Decrease) | 71,436 | 7,916 |
Net Assets | ||
Beginning of Period | 24,457 | 16,541 |
End of Period1 | 95,893 | 24,457 |
1 Net Assets—End of Period includes undistributed net investment income of $1,077,000 and $166,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
30
Russell 2000 Value Index Fund | ||
Financial Highlights | ||
Institutional Shares | ||
Year | July 13, | |
Ended | 20121 to | |
August 31, | August 31, | |
For a Share Outstanding Throughout Each Period | 2013 | 2012 |
Net Asset Value, Beginning of Period | $122.12 | $120.40 |
Investment Operations | ||
Net Investment Income | 3.360 | . 276 2 |
Net Realized and Unrealized Gain (Loss) on Investments | 25.888 | 1.444 |
Total from Investment Operations | 29.248 | 1.720 |
Distributions | ||
Dividends from Net Investment Income | (2.498) | — |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (2.498) | — |
Net Asset Value, End of Period | $148.87 | $122.12 |
Total Return | 24.29% | 1.43% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $51 | $6 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 2.24% | 2.14% 3 |
Portfolio Turnover Rate 4 | 60% | 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.
31
Russell 2000 Value Index Fund | |||
Financial Highlights | |||
ETF Shares | |||
Sept. 20, | |||
Year Ended | 20101 to | ||
August 31, | Aug. 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $61.97 | $55.14 | $52.39 |
Investment Operations | |||
Net Investment Income | 1.639 | 1.126 2 | .9212 |
Net Realized and Unrealized Gain (Loss) on Investments | 13.109 | 6.424 | 2.249 |
Total from Investment Operations | 14.748 | 7.550 | 3.170 |
Distributions | |||
Dividends from Net Investment Income | (1.238) | (.720) | (.420) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (1.238) | (.720) | (.420) |
Net Asset Value, End of Period | $75.48 | $61.97 | $55.14 |
Total Return | 24.14% | 13.81% | 5.98% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $45 | $19 | $17 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 2.12% | 2.02% | 1.79% 3 |
Portfolio Turnover Rate 4 | 60% | 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.
32
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. 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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
33
Russell 2000 Value Index Fund
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, 2011–2013), 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. 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 their 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.
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, 2013, the fund had contributed capital of $14,000 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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 95,202 | — | — |
Temporary Cash Investments | 442 | 200 | — |
Futures Contracts—Liabilities1 | (8) | — | — |
Total | 95,636 | 200 | — |
1 Represents variation margin on the last day of the reporting period. |
34
Russell 2000 Value Index Fund
D. At August 31, 2013, 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 2013 | 6 | 606 | (15) |
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, 2013, the fund realized $4,040,000 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, 2013, the fund had $1,102,000 of ordinary income available for distribution. The fund had available capital losses totaling $525,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2013, the cost of investment securities for tax purposes was $88,999,000. Net unrealized appreciation of investment securities for tax purposes was $6,845,000, consisting of unrealized gains of $9,517,000 on securities that had risen in value since their purchase and $2,672,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2013, the fund purchased $110,754,000 of investment securities and sold $50,106,000 of investment securities, other than temporary cash investments. Purchases and sales include $29,050,000 and $12,971,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
35
Russell 2000 Value Index Fund
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares1 | ||||
Issued | 59,105 | 426 | 5,782 | 48 |
Issued in Lieu of Cash Distributions | 115 | 1 | — | — |
Redeemed | (20,567) | (135) | — | — |
Net Increase (Decrease) —Institutional Shares | 38,653 | 292 | 5,782 | 48 |
ETF Shares | ||||
Issued | 29,108 | 400 | 12,178 | 200 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (7,421) | (100) | (11,260) | (200) |
Net Increase (Decrease) —ETF Shares | 21,687 | 300 | 918 | — |
1 Inception was July 13, 2012, for Institutional Shares. |
At August 31, 2013, one shareholder was the record or beneficial owner of 33% 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.
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition or disclosure in these financial statements.
36
Russell 2000 Growth Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Institutional | ETF | ||
Shares | Shares | ||
Ticker Symbol | VRTGX | VTWG | |
Expense Ratio1 | 0.08% | 0.20% | |
30-Day SEC Yield | 0.55% | 0.43% | |
Portfolio Characteristics | |||
DJ U.S. | |||
Russell | Total | ||
2000 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 1,142 | 1,120 | 3,631 |
Median Market Cap | $1.6B | $1.6B | $39.3B |
Price/Earnings Ratio | 40.5x | 40.3x | 18.7x |
Price/Book Ratio | 3.9x | 3.9x | 2.4x |
Return on Equity | 10.1% | 10.1% | 16.6% |
Earnings Growth | |||
Rate | 13.1% | 13.0% | 11.1% |
Dividend Yield | 0.6% | 0.6% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 50% | — | — |
Short-Term Reserves | 3.8% | — | — |
Sector Diversification (% of equity exposure)
Russell | DJ U.S. | ||
2000 | Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Consumer | |||
Discretionary | 18.2% | 18.3% | 14.8% |
Consumer Staples | 4.5 | 4.5 | 7.8 |
Energy | 4.2 | 4.2 | 9.8 |
Financial Services | 9.2 | 9.1 | 18.8 |
Health Care | 21.1 | 21.0 | 12.4 |
Materials & | |||
Processing | 8.6 | 8.7 | 4.4 |
Other | 0.1 | 0.0 | 0.0 |
Producer Durables | 14.0 | 14.0 | 11.4 |
Technology | 18.8 | 18.9 | 15.2 |
Utilities | 1.3 | 1.3 | 5.4 |
Ten Largest Holdings (% of total net assets)
CoStar Group Inc. | Back Office Support | |
HR & Consulting | 0.6% | |
CommVault Systems | Computer Services | |
Inc. | Software & Systems | 0.5 |
Ultimate Software Group Computer Services | ||
Inc. | Software & Systems | 0.5 |
athenahealth Inc. | Health Care Services | 0.5 |
Acuity Brands Inc. | Building Materials | 0.5 |
Middleby Corp. | Machinery - Industrial | 0.5 |
Chart Industries Inc. | Machinery - Industrial | 0.5 |
Questcor | ||
Pharmaceuticals Inc. | Pharmaceuticals | 0.5 |
HEICO Corp. | Aerospace | 0.4 |
FEI Co. | Production | |
Technology | ||
Equipment | 0.4 | |
Top Ten | 4.9% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell2000x39x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
37
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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell2000x40x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 2000 Growth Index | ||||
Fund*ETF Shares Net Asset Value | 28.07% | 18.09% | $16,320 | |
Russell 2000 Growth Index | ||||
Fund*ETF Shares Market Price | 28.03 | 18.09 | 16,318 | |
•••••••• | Russell 2000 Growth Index | 28.14 | 18.21 | 16,369 |
– – – – | Small-Cap Growth Funds Average | 25.95 | 16.95 | 15,859 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.15 | 15.74 | 15,381 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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 | 28.23% | 11.66% | $6,421,012 |
Russell 2000 Growth Index | 28.14 | 11.65 | 6,419,779 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 20.15 | 12.13 | 6,483,139 |
"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.
38
Russell 2000 Growth Index Fund | ||
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2013 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Growth Index Fund ETF Shares | ||
Market Price | 28.03% | 63.18% |
Russell 2000 Growth Index Fund ETF Shares Net | ||
Asset Value | 28.07 | 63.20 |
Russell 2000 Growth Index | 28.14 | 63.69 |
"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, 2013
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell2000x41x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2013
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 | 23.73% | 9.82% |
ETF Shares | 9/20/2010 | ||
Market Price | 23.52 | 16.98 | |
Net Asset Value | 23.57 | 17.03 |
39
Russell 2000 Growth Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 2013
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Common Stocks | |||
Consumer Discretionary | |||
Sotheby’s | 23,128 | 1,066 | 0.4% |
Brunswick Corp. | 28,985 | 1,054 | 0.4% |
Wolverine World Wide Inc. | 16,996 | 956 | 0.4% |
* Tenneco Inc. | 20,605 | 951 | 0.4% |
* Lumber Liquidators Holdings Inc. | 9,304 | 925 | 0.4% |
Vail Resorts Inc. | 12,163 | 827 | 0.3% |
Pool Corp. | 15,779 | 822 | 0.3% |
Consumer Discretionary—Other † | 39,500 | 15.6% | |
46,101 | 18.2% | ||
Consumer Staples | |||
* Hain Celestial Group Inc. | 13,008 | 1,064 | 0.4% |
* United Natural Foods Inc. | 16,704 | 1,013 | 0.4% |
Casey’s General Stores Inc. | 12,983 | 856 | 0.4% |
Consumer Staples—Other † | 8,369 | 3.3% | |
11,302 | 4.5% | ||
Energy | |||
* Rosetta Resources Inc. | 20,692 | 963 | 0.4% |
* Kodiak Oil & Gas Corp. | 89,909 | 898 | 0.4% |
Energy—Other † | 8,753 | 3.4% | |
10,614 | 4.2% | ||
Financial Services | |||
* WEX Inc. | 13,142 | 1,052 | 0.4% |
* Portfolio Recovery Associates Inc. | 17,177 | 911 | 0.4% |
Financial Engines Inc. | 16,565 | 885 | 0.3% |
Financial Services—Other † | 20,310 | 8.0% | |
23,158 | 9.1% | ||
Health Care | |||
* athenahealth Inc. | 12,445 | 1,313 | 0.5% |
Questcor Pharmaceuticals Inc. | 17,574 | 1,172 | 0.5% |
* Align Technology Inc. | 24,773 | 1,079 | 0.4% |
40
Russell 2000 Growth Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
* Centene Corp. | 18,434 | 1,053 | 0.4% |
* Isis Pharmaceuticals Inc. | 38,043 | 983 | 0.4% |
* Alnylam Pharmaceuticals Inc. | 18,564 | 962 | 0.4% |
* Team Health Holdings Inc. | 23,266 | 894 | 0.4% |
* PAREXEL International Corp. | 19,256 | 894 | 0.4% |
West Pharmaceutical Services Inc. | 11,714 | 866 | 0.4% |
* Aegerion Pharmaceuticals Inc. | 9,761 | 846 | 0.3% |
STERIS Corp. | 19,966 | 816 | 0.3% |
* Cepheid Inc. | 22,730 | 813 | 0.3% |
* Medidata Solutions Inc. | 9,006 | 805 | 0.3% |
* HealthSouth Corp. | 24,729 | 778 | 0.3% |
Health Care—Other † | 40,098 | 15.8% | |
53,372 | 21.1% | ||
Materials & Processing | |||
Acuity Brands Inc. | 14,509 | 1,241 | 0.5% |
PolyOne Corp. | 33,658 | 909 | 0.4% |
CLARCOR Inc. | 16,829 | 901 | 0.3% |
Watsco Inc. | 8,699 | 781 | 0.3% |
Materials & Processing—Other † | 17,999 | 7.1% | |
21,831 | 8.6% | ||
Other † | 256 | 0.1% | |
Producer Durables | |||
* CoStar Group Inc. | 9,667 | 1,436 | 0.6% |
* Middleby Corp. | 6,366 | 1,184 | 0.5% |
* Chart Industries Inc. | 10,269 | 1,172 | 0.5% |
HEICO Corp. | 17,977 | 1,124 | 0.4% |
Woodward Inc. | 23,290 | 898 | 0.3% |
MAXIMUS Inc. | 23,138 | 868 | 0.3% |
Producer Durables—Other † | 28,664 | 11.3% | |
35,346 | 13.9% | ||
Technology | |||
* CommVault Systems Inc. | 15,744 | 1,320 | 0.5% |
* Ultimate Software Group Inc. | 9,364 | 1,313 | 0.5% |
FEI Co. | 14,141 | 1,107 | 0.4% |
* PTC Inc. | 40,519 | 1,056 | 0.4% |
* Aspen Technology Inc. | 29,932 | 1,001 | 0.4% |
* QLIK Technologies Inc. | 29,476 | 966 | 0.4% |
* ViaSat Inc. | 13,401 | 854 | 0.4% |
Cognex Corp. | 14,718 | 839 | 0.3% |
* Sourcefire Inc. | 10,551 | 796 | 0.3% |
* Tyler Technologies Inc. | 10,671 | 788 | 0.3% |
Technology—Other † | 37,633 | 14.9% | |
47,673 | 18.8% | ||
Utilities | |||
j2 Global Inc. | 15,557 | 766 | 0.3% |
Utilities—Other † | 2,626 | 1.0% | |
3,392 | 1.3% | ||
Total Common Stocks (Cost $210,210) | 253,045 | 99.8%1 |
41
Russell 2000 Growth Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
2,3 Vanguard Market Liquidity Fund | 0.122% | 11,164,684 | 11,165 | 4.4% |
4U.S. Government and Agency Obligations † | 100 | 0.1% | ||
Total Temporary Cash Investments (Cost $11,265) | 11,265 | 4.5%1 | ||
5Total Investments (Cost $221,475) | 264,310 | 104.3% | ||
Other Assets and Liabilities | ||||
Other Assets | 539 | 0.2% | ||
Liabilities3 | (11,324) | (4.5%) | ||
(10,785) | (4.3%) | |||
Net Assets | 253,525 | 100.0% | ||
At August 31, 2013, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 215,168 | |||
Undistributed Net Investment Income | 902 | |||
Accumulated Net Realized Losses | (5,376) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 42,835 | |||
Futures Contracts | (4) | |||
Net Assets | 253,525 | |||
Institutional Shares—Net Assets | ||||
Applicable to 1,135,413 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 185,060 | |||
Net Asset Value Per Share—Institutional Shares | $162.99 | |||
ETF Shares—Net Assets | ||||
Applicable to 800,000 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 68,465 | |||
Net Asset Value Per Share—ETF Shares | $85.58 |
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 4.3%, 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 $935,000 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 $842,000.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Russell 2000 Growth Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,095 |
Interest1 | 2 |
Securities Lending | 134 |
Total Income | 2,231 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 11 |
Management and Administrative—Institutional Shares | 15 |
Management and Administrative—ETF Shares | 51 |
Marketing and Distribution—Institutional Shares | 29 |
Marketing and Distribution—ETF Shares | 10 |
Custodian Fees | 71 |
Auditing Fees | 23 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 3 |
Total Expenses | 213 |
Net Investment Income | 2,018 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 7,685 |
Futures Contracts | 74 |
Realized Net Gain (Loss) | 7,759 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 38,174 |
Futures Contracts | (4) |
Change in Unrealized Appreciation (Depreciation) | 38,170 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 47,947 |
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.
43
Russell 2000 Growth Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,018 | 376 |
Realized Net Gain (Loss) | 7,759 | (680) |
Change in Unrealized Appreciation (Depreciation) | 38,170 | 7,370 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 47,947 | 7,066 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (1,000) | (126) |
ETF Shares | (393) | (37) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,393) | (163) |
Capital Share Transactions | ||
Institutional Shares | 62,677 | 59,621 |
ETF Shares | 37,319 | 6,536 |
Net Increase (Decrease) from Capital Share Transactions | 99,996 | 66,157 |
Total Increase (Decrease) | 146,550 | 73,060 |
Net Assets | ||
Beginning of Period | 106,975 | 33,915 |
End of Period1 | 253,525 | 106,975 |
1 Net Assets—End of Period includes undistributed net investment income of $902,000 and $274,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
44
Russell 2000 Growth Index Fund | |||
Financial Highlights | |||
Institutional Shares | |||
May 25, | |||
Year Ended | 20111 to | ||
August 31, | Aug. 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $128.23 | $114.21 | $128.54 |
Investment Operations | |||
Net Investment Income | 1.412 | . 8592 | .228 |
Net Realized and Unrealized Gain (Loss) on Investments | 34.504 | 13.616 | (14.558) |
Total from Investment Operations | 35.916 | 14.475 | (14.330) |
Distributions | |||
Dividends from Net Investment Income | (1.156) | (. 455) | — |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (1.156) | (. 455) | — |
Net Asset Value, End of Period | $162.99 | $128.23 | $114.21 |
Total Return | 28.23% | 12.72% | -11.15% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $185 | $87 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 1.08% | 0.75% | 0.57%3 |
Portfolio Turnover Rate 4 | 50% | 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.
45
Russell 2000 Growth Index Fund | |||
Financial Highlights | |||
ETF Shares | |||
Sept. 20, | |||
Year Ended | 20101 to | ||
August 31, | Aug. 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $67.37 | $60.02 | $53.17 |
Investment Operations | |||
Net Investment Income | . 699 | . 402 2 | .258 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.073 | 7.133 | 6.762 |
Total from Investment Operations | 18.772 | 7.535 | 7.020 |
Distributions | |||
Dividends from Net Investment Income | (. 562) | (.185) | (.170) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (. 562) | (.185) | (.170) |
Net Asset Value, End of Period | $85.58 | $67.37 | $60.02 |
Total Return | 28.07% | 12.58% | 13.18% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $68 | $20 | $12 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 0.96% | 0.63% | 0.45%3 |
Portfolio Turnover Rate 4 | 50% | 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.
46
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. 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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
47
Russell 2000 Growth Index Fund
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, 2011–2013), 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund, provided that such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default, the fund may experience delays and costs in recovering the 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of their 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.
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, 2013, the fund had contributed capital of $30,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
48
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).
The following table summarizes the market value of the fund’s investments as of August 31, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 253,043 | — | 2 |
Temporary Cash Investments | 11,165 | 100 | — |
Futures Contracts—Assets1 | 10 | — | — |
Futures Contracts—Liabilities1 | (25) | — | — |
Total | 264,193 | 100 | 2 |
1 Represents variation margin on the last day of the reporting period. |
D. At August 31, 2013, 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 2013 | 3 | 303 | (4) |
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.
49
Russell 2000 Growth Index Fund
During the year ended August 31, 2013, the fund realized $9,541,000 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, 2013, the fund had $924,000 of ordinary income available for distribution. The fund had available capital losses totaling $5,375,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2013, the cost of investment securities for tax purposes was $221,484,000. Net unrealized appreciation of investment securities for tax purposes was $42,826,000, consisting of unrealized gains of $48,259,000 on securities that had risen in value since their purchase and $5,433,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2013, the fund purchased $225,700,000 of investment securities and sold $125,325,000 of investment securities, other than temporary cash investments. Purchases and sales include $68,952,000 and $30,808,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 102,692 | 721 | 70,367 | 569 |
Issued in Lieu of Cash Distributions | 1,000 | 8 | 126 | 1 |
Redeemed | (41,015) | (270) | (10,872) | (85) |
Net Increase (Decrease) —Institutional Shares | 62,677 | 459 | 59,621 | 485 |
ETF Shares | ||||
Issued | 69,084 | 900 | 12,959 | 200 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (31,765) | (400) | (6,423) | (100) |
Net Increase (Decrease) —ETF Shares | 37,319 | 500 | 6,536 | 100 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition or disclosure in these financial statements.
50
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, 2013, 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, 2013 by correspondence with the custodian and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2013
51
Special 2013 tax information (unaudited) for Vanguard Russell 2000 Index Funds |
This information for the fiscal year ended August 31, 2013, is included pursuant to provisions of the |
Internal Revenue Code. |
The funds distributed qualified dividend income to shareholders during the fiscal year as follows: |
Fund | ($000) |
Russell 2000 Index Fund | 4,525 |
Russell 2000 Value Index Fund | 344 |
Russell 2000 Growth Index Fund | 1,211 |
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 | 66.3% |
Russell 2000 Value Index Fund | 55.2 |
Russell 2000 Growth Index Fund | 87.2 |
52
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 2013. (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, 2013 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Index Fund ETF Shares | ||
Returns Before Taxes | 26.23% | 16.50% |
Returns After Taxes on Distributions | 25.83 | 16.26 |
Returns After Taxes on Distributions and Sale of Fund Shares | 15.17 | 12.95 |
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Value Index Fund ETF Shares | ||
Returns Before Taxes | 24.14% | 14.69% |
Returns After Taxes on Distributions | 23.65 | 14.36 |
Returns After Taxes on Distributions and Sale of Fund Shares | 14.07 | 11.48 |
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 2000 Growth Index Fund ETF Shares | ||
Returns Before Taxes | 28.07% | 18.09% |
Returns After Taxes on Distributions | 27.89 | 18.00 |
Returns After Taxes on Distributions and Sale of Fund Shares | 16.08 | 14.28 |
53
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.
54
Six Months Ended August 31, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2013 | 8/31/2013 | Period | |
Based on Actual Fund Return | |||
Russell 2000 Index Fund | |||
Institutional Shares | $1,000.00 | $1,117.83 | $0.43 |
ETF Shares | 1,000.00 | 1,117.50 | 0.80 |
Russell 2000 Value Index Fund | |||
Institutional Shares | $1,000.00 | $1,085.69 | $0.42 |
ETF Shares | 1,000.00 | 1,084.95 | 1.05 |
Russell 2000 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $1,150.98 | $0.43 |
ETF Shares | 1,000.00 | 1,150.27 | 1.08 |
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 | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
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, 0.08% for Institutional Shares and 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.
55
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). 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 relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. 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’ at-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.
56
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.
57
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.
58
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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 181 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); Chairman of the Board of |
(diversified manufacturing and services), Hewlett- | Hillenbrand, Inc. (specialized consumer services) and |
Packard Co. (electronic computer manufacturing), | of Oxfam America; Director of SKF AB (industrial |
machinery) and the Lumina Foundation for Education; | Executive Officers | |
Member of the Advisory Council for the College of | ||
Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
the University 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 | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
Advisory Chairman of the Board of The Cleveland | ||
Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | Founder | |
Overseer of the Amos Tuck School of Business | ||
Administration at Dartmouth College; Advisor to the | John C. Bogle | |
Norris Cotton Cancer Center. | Chairman and Chief Executive Officer, 1974–1996 | |
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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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, a | |
Thomson Reuters Company, 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. | |
© 2013 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18510 102013 |
Annual Report | August 31, 2013
Vanguard Russell 3000 Index Fund
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell3000x1x2.jpg)
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
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: The ship's wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMS Vanguard, another ship of that era, served as the flagship for Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns | |
Fiscal Year Ended August 31, 2013 | |
Total | |
Returns | |
Vanguard Russell 3000 Index Fund | |
Institutional Shares | 20.21% |
ETF Shares | |
Market Price | 20.64 |
Net Asset Value | 20.14 |
Russell 3000 Index | 20.32 |
Multi-Cap Core Funds Average | 20.81 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
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; 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, 2012, Through August 31, 2013 | ||||
Distributions Per Share | ||||
Starting | Ending | |||
Share | Share | Income | Capital | |
Price | Price | Dividends | Gains | |
Vanguard Russell 3000 Index Fund | ||||
Institutional Shares | $124.40 | $146.68 | $2.576 | $0.000 |
ETF Shares | 64.28 | 75.79 | 1.287 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
U.S. stocks surged during the fiscal year as investors reacted positively to modest improvements in the economy.
For the 12 months ended August 31, 2013, Vanguard Russell 3000 Index Fund returned about 20%, in line with both its target index and the average result of its peers.
Each of the fund’s nine industry sectors posted a positive return. Financial services, consumer discretionary, and health care were the top contributors; technology turned in weaker results.
If you hold shares of the 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.
Stocks posted robust results despite setbacks at the finish
U.S. stocks advanced about 20% in the 12 months ended August 31 despite slipping in June and August. Through most of the fiscal year, stocks surged as the economy continued to show modest growth and investors appeared more receptive to risk.
Much of the market’s recent weakness was linked to fear that the Federal Reserve would begin scaling back its stimulative bond-buying program. Heightened strife in the Middle East also contributed to anxiety in the global markets.
2
International stocks in aggregate finished with a return of about 13%. Developed markets in the Pacific region and Europe posted results closer to those of the United States. Returns for emerging-market stocks overall were virtually flat as economic growth slowed in China and Brazil.
Although global economic worries and tensions over conflicts abroad have unsettled markets, Jonathan Lemco, a senior sovereign debt analyst in Vanguard’s Taxable Credit Research Group, pointed out that investors can still manage risks amid international instability. “Vanguard believes a diversified portfolio is the best way to spread the risk of geopolitical uncertainty,” he said.
Bond returns turned negative amid worry about Fed’s next move
Bonds, which maintained slightly positive returns through the first eight months of the period, reversed course in May and then continued to retreat as investors anticipated reductions in the Fed’s bond-buying program.
The broad U.S. taxable bond market returned –2.47% for the 12 months. The yield of the 10-year Treasury note finished at 2.76%, up from 1.56% at the end of August 2012. (Bond yields and prices move in opposite directions.) Municipal bonds suffered more, returning –3.70% for the fiscal year.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2013 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.84% | 18.74% | 7.59% |
Russell 2000 Index (Small-caps) | 26.27 | 20.50 | 7.98 |
Russell 3000 Index (Broad U.S. market) | 20.32 | 18.87 | 7.63 |
MSCI All Country World Index ex USA (International) | 12.98 | 6.93 | 1.48 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.47% | 2.58% | 4.93% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -3.70 | 2.45 | 4.52 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.07 | 0.08 | 0.17 |
CPI | |||
Consumer Price Index | 1.52% | 2.32% | 1.32% |
3
Returns for money markets and savings accounts were minuscule as the Fed kept its target for short-term interest rates at 0%–0.25%.
Financial stocks led the pack; technology holdings trailed
Notwithstanding a few months when the market lost ground, U.S. stocks rose substantially higher during the fiscal year as investors optimistic about the overall economy were increasingly willing to take on risk. As I noted at the beginning of this letter, each of the Russell 3000 Index Fund’s nine industry sectors posted positive returns; seven delivered double-digit gains.
The fund’s largest sector holding, financial services, was key to its success during the 12 months. More than five years after the start of the 2008–2009 financial crisis, the nation’s largest banks and financial services companies have recovered. Many have significantly restructured and are in better shape than they have been in years. Higher capital levels, improved lending conditions, and the recovering housing and labor markets have all helped create a more attractive investing climate.
The consumer discretionary sector was the next-biggest contributor to returns, as consumer confidence climbed notably over the year and shoppers pursued a wide
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Institutional | ETF | Peer Group | |
Shares | Shares | Average | |
Russell 3000 Index Fund | 0.08% | 0.15% | 1.20% |
The fund expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, 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, a Thomson Reuters Company, and captures information through year-end 2012.
Peer group: Multi-Cap Core Funds.
4
variety of goods. Specialty and internet retailers, movie and entertainment companies, and automobile manufacturers profited from the rise in spending. The housing market’s continued rebound also helped large home improvement chains.
The health care sector was another strong performer; leading pharmaceutical and biotechnology companies gained as new products replaced aging blockbusters.
Although technology stocks represented the fund’s second-largest holding, they were its weakest performers. Internet software and service providers and semiconductor manufacturers did well, but computer hardware and equipment makers struggled as consumers continued to gravitate toward tablets and away from personal computers. Smartphone competition remained fierce, and key players fell short of earnings expectations.
The utilities sector also notched a relatively modest, single-digit return. Often viewed as defensive holdings in periods of uncertainty, utilities traditionally lag the broad market during major upswings.
The fund’s track record is short but successful
The Russell 3000 Index Fund marks its third anniversary this year. From its inception through August 31, 2013, the fund delivered an average annualized return of about 15%.
While three years isn’t a very long time to judge performance by, it’s still worth noting that thus far the fund has successfully achieved its investment objective of closely tracking its target index.
Credit for this good start is due to the fund’s advisor, Vanguard Equity Investment Group, whose skilled portfolio construction and management have enabled the fund to successfully track its benchmark while keeping the associated costs very low.
In challenging markets, index funds can be a solid portfolio foundation
As you know, index funds seek to capture the return of the markets they track, minus only their operating expenses. They do so by investing in an entire market or by relying on a sophisticated market sampling technique.
In actively managed funds, by contrast, advisors troll the markets and reel in selected stocks or bonds that their analysis suggests will allow them to outperform their benchmarks. As we show in The Case for Index Fund Investing, a paper available at vanguard.com/research, there’s typically a big gap between hope and reality: Consistent outperformance by any one active manager has been rare.
I use the word “typically” because we believe that some actively managed funds, including Vanguard’s, can increase
5
the odds of outperforming benchmarks over the long term. As demonstrated in a companion paper, The Case for Vanguard Active Management: Solving the Low-Cost/Top-Talent Paradox? (also at vanguard.com/research), the most reliable quantitative indicator of future manager success is low expenses—a Vanguard hallmark. And, as the paper’s title implies, finding talented advisors is a key aspect of active investing. We believe we have the process in place to identify the best.
Even so, investors should expect, and be comfortable with, the extended periods of underperformance that actively managed funds can undergo. The challenges of active investing, conversely, point to the potential benefits of indexing. Well-run index funds offer you virtually the market return, year in and year out. In a portfolio that is diversified within asset classes and balanced among them, low-cost index funds can be the bedrock of a sound investment plan.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell3000x8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
September 18, 2013
6
Russell 3000 Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Institutional | ETF | ||
Shares | Shares | ||
Ticker Symbol | VRTTX | VTHR | |
Expense Ratio1 | 0.08% | 0.15% | |
30-Day SEC Yield | 1.93% | 1.86% | |
Portfolio Characteristics | |||
DJ U.S. | |||
Total | |||
Russell | Market | ||
3000 | FA | ||
Fund | Index | Index | |
Number of Stocks | 2,984 | 2,972 | 3,631 |
Median Market Cap | $40.4B | $40.4B | $39.3B |
Price/Earnings Ratio | 18.8x | 18.7x | 18.7x |
Price/Book Ratio | 2.4x | 2.4x | 2.4x |
Return on Equity | 16.8% | 16.6% | 16.6% |
Earnings Growth | |||
Rate | 11.1% | 11.1% | 11.1% |
Dividend Yield | 2.0% | 2.0% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 16% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ U.S. | |||
Russell | Total | ||
3000 | Market | ||
Fund | Index | FA Index | |
Consumer | |||
Discretionary | 14.7% | 14.7% | 14.8% |
Consumer Staples | 7.8 | 7.8 | 7.8 |
Energy | 9.5 | 9.5 | 9.8 |
Financial Services | 18.9 | 19.0 | 18.8 |
Health Care | 12.5 | 12.5 | 12.4 |
Materials & | |||
Processing | 4.4 | 4.4 | 4.4 |
Producer Durables | 11.4 | 11.4 | 11.4 |
Technology | 15.4 | 15.4 | 15.2 |
Utilities | 5.4 | 5.3 | 5.4 |
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer | |
Technology | 2.5% | |
Exxon Mobil Corp. | Oil - Integrated | 2.1 |
Microsoft Corp. | Computer Services | |
Software & Systems | 1.5 | |
Johnson & Johnson | Pharmaceuticals | 1.3 |
General Electric Co. | Diversified | |
Manufacturing | ||
Operations | 1.3 | |
Chevron Corp. | Oil - Integrated | 1.3 |
Google Inc. | Computer Services | |
Software & Systems | 1.3 | |
Procter & Gamble Co. | Personal Care | 1.2 |
Berkshire Hathaway Inc. Insurance - Multi-Line | 1.1 | |
Wells Fargo & Co. | Banks - Diversified | 1.1 |
Top Ten | 14.7% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell3000x9x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
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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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell3000x10x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/20/2010) | Investment | ||
Russell 3000 Index Fund*ETF Shares | ||||
Net Asset Value | 20.14% | 15.56% | $15,308 | |
Russell 3000 Index Fund*ETF Shares | ||||
Market Price | 20.64 | 15.56 | 15,309 | |
•••••••• | Russell 3000 Index | 20.32 | 15.72 | 15,373 |
– – – – | Multi-Cap Core Funds Average | 20.81 | 13.31 | 14,450 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 20.15 | 15.74 | 15,381 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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 | 20.21% | 14.68% | $7,367,987 |
Russell 3000 Index | 20.32 | 14.76 | 7,383,034 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 20.15 | 14.78 | 7,386,003 |
"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, 2013 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Russell 3000 Index Fund ETF Shares Market Price | 20.64% | 53.09% |
Russell 3000 Index Fund ETF Shares Net Asset | ||
Value | 20.14 | 53.08 |
Russell 3000 Index | 20.32 | 53.73 |
"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, 2013
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/russell3000x11x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2013
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 | 21.36% | 14.61% |
ETF Shares | 9/20/2010 | ||
Market Price | 21.33 | 15.56 | |
Net Asset Value | 21.28 | 15.55 |
9
Russell 3000 Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 2013
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 | |||
Wal-Mart Stores Inc. | 44,239 | 3,229 | 0.6% |
Comcast Corp. Class A | 72,085 | 3,034 | 0.6% |
Walt Disney Co. | 49,475 | 3,010 | 0.6% |
Home Depot Inc. | 40,131 | 2,989 | 0.6% |
* Amazon.com Inc. | 10,101 | 2,838 | 0.6% |
McDonald’s Corp. | 27,542 | 2,599 | 0.5% |
Consumer Discretionary—Other † | 56,176 | 11.2% | |
73,875 | 14.7% | ||
Consumer Staples | |||
Procter & Gamble Co. | 75,294 | 5,865 | 1.2% |
Coca-Cola Co. | 105,075 | 4,012 | 0.8% |
Philip Morris International Inc. | 44,930 | 3,749 | 0.7% |
PepsiCo Inc. | 42,483 | 3,387 | 0.7% |
CVS Caremark Corp. | 33,637 | 1,953 | 0.4% |
Altria Group Inc. | 55,182 | 1,870 | 0.4% |
Consumer Staples—Other † | 18,355 | 3.6% | |
39,191 | 7.8% | ||
Energy | |||
Exxon Mobil Corp. | 122,149 | 10,647 | 2.1% |
Chevron Corp. | 53,254 | 6,413 | 1.3% |
Schlumberger Ltd. | 36,523 | 2,956 | 0.6% |
ConocoPhillips | 33,589 | 2,227 | 0.4% |
Occidental Petroleum Corp. | 22,133 | 1,952 | 0.4% |
Energy—Other † | 23,704 | 4.7% | |
47,899 | 9.5% | ||
Financial Services | |||
* Berkshire Hathaway Inc. Class B | 49,440 | 5,499 | 1.1% |
Wells Fargo & Co. | 132,633 | 5,449 | 1.1% |
JPMorgan Chase & Co. | 103,834 | 5,247 | 1.0% |
10
Russell 3000 Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Bank of America Corp. | 296,154 | 4,182 | 0.8% |
Citigroup Inc. | 83,593 | 4,040 | 0.8% |
Visa Inc. Class A | 14,353 | 2,503 | 0.5% |
Mastercard Inc. Class A | 3,211 | 1,946 | 0.4% |
Goldman Sachs Group Inc. | 12,596 | 1,916 | 0.4% |
* American International Group Inc. | 40,558 | 1,884 | 0.4% |
American Express Co. | 26,029 | 1,872 | 0.4% |
Financial Services—Other † | 60,548 | 12.0% | |
95,086 | 18.9% | ||
Health Care | |||
Johnson & Johnson | 77,165 | 6,668 | 1.3% |
Pfizer Inc. | 183,733 | 5,183 | 1.0% |
Merck & Co. Inc. | 82,954 | 3,923 | 0.8% |
* Gilead Sciences Inc. | 41,904 | 2,526 | 0.5% |
Amgen Inc. | 20,604 | 2,245 | 0.5% |
UnitedHealth Group Inc. | 28,022 | 2,010 | 0.4% |
Bristol-Myers Squibb Co. | 45,124 | 1,881 | 0.4% |
Health Care—Other † | 38,126 | 7.6% | |
62,562 | 12.5% | ||
Materials & Processing † | 21,870 | 4.4% | |
Producer Durables | |||
General Electric Co. | 284,060 | 6,573 | 1.3% |
United Technologies Corp. | 25,255 | 2,528 | 0.5% |
Boeing Co. | 20,843 | 2,166 | 0.5% |
3M Co. | 18,961 | 2,154 | 0.4% |
Union Pacific Corp. | 12,824 | 1,969 | 0.4% |
Producer Durables—Other † | 41,666 | 8.3% | |
57,056 | 11.4% | ||
Technology | |||
Apple Inc. | 25,787 | 12,560 | 2.5% |
Microsoft Corp. | 229,419 | 7,663 | 1.5% |
* Google Inc. Class A | 7,409 | 6,275 | 1.3% |
International Business Machines Corp. | 28,599 | 5,213 | 1.0% |
Cisco Systems Inc. | 146,818 | 3,422 | 0.7% |
QUALCOMM Inc. | 47,467 | 3,146 | 0.6% |
Oracle Corp. | 97,536 | 3,107 | 0.6% |
Intel Corp. | 136,562 | 3,002 | 0.6% |
* Facebook Inc. Class A | 46,804 | 1,932 | 0.4% |
Technology—Other † | 30,835 | 6.2% | |
77,155 | 15.4% | ||
Utilities | |||
AT&T Inc. | 147,798 | 5,000 | 1.0% |
Verizon Communications Inc. | 78,597 | 3,724 | 0.7% |
Utilities—Other † | 18,123 | 3.6% | |
26,847 | 5.3% | ||
Total Common Stocks (Cost $438,904) | 501,541 | 99.9%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 | 0.122% | 40,000 | 40 | 0.0% |
4U.S. Government and Agency Obligations † | 200 | 0.1% | ||
Total Temporary Cash Investments (Cost $240) | 240 | 0.1%1 | ||
5Total Investments (Cost $439,144) | 501,781 | 100.0% | ||
Other Assets and Liabilities | ||||
Other Assets | 13,578 | 2.7% | ||
Liabilities2 | (13,546) | (2.7%) | ||
32 | 0.0% | |||
Net Assets | 501,813 | 100.0% | ||
At August 31, 2013, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 439,288 | |||
Undistributed Net Investment Income | 1,833 | |||
Accumulated Net Realized Losses | (1,940) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 62,637 | |||
Futures Contracts | (5) | |||
Net Assets | 501,813 | |||
Institutional Shares—Net Assets | ||||
Applicable to 2,904,370 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 426,019 | |||
Net Asset Value Per Share—Institutional Shares | $146.68 | |||
ETF Shares—Net Assets | ||||
Applicable to 1,000,000 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 75,794 | |||
Net Asset Value Per Share—ETF Shares | $75.79 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.
2 Includes $40,000 of collateral received for securities on loan.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $40,000.
See accompanying Notes, which are an integral part of the Financial Statements.
12
Russell 3000 Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,415 |
Interest1 | 8 |
Securities Lending | 5 |
Total Income | 7,428 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 33 |
Management and Administrative—Institutional Shares | 18 |
Management and Administrative—ETF Shares | 36 |
Marketing and Distribution—Institutional Shares | 61 |
Marketing and Distribution—ETF Shares | 12 |
Custodian Fees | 121 |
Auditing Fees | 26 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 2 |
Total Expenses | 309 |
Net Investment Income | 7,119 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (122) |
Futures Contracts | 471 |
Realized Net Gain (Loss) | 349 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 54,846 |
Futures Contracts | (32) |
Change in Unrealized Appreciation (Depreciation) | 54,814 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 62,282 |
1 Interest income from an affiliated company of the fund was $6,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
13
Russell 3000 Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 7,119 | 1,936 |
Realized Net Gain (Loss) | 349 | 2,791 |
Change in Unrealized Appreciation (Depreciation) | 54,814 | 9,509 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 62,282 | 14,236 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (5,025) | (1,029) |
ETF Shares | (898) | (465) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (5,923) | (1,494) |
Capital Share Transactions | ||
Institutional Shares | 250,923 | 81,675 |
ETF Shares | 29,491 | 13,646 |
Net Increase (Decrease) from Capital Share Transactions | 280,414 | 95,321 |
Total Increase (Decrease) | 336,773 | 108,063 |
Net Assets | ||
Beginning of Period | 165,040 | 56,977 |
End of Period1 | 501,813 | 165,040 |
1 Net Assets—End of Period includes undistributed net investment income of $1,833,000 and $636,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 3000 Index Fund | |||
Financial Highlights | |||
Institutional Shares | |||
Nov. 1, | |||
Year Ended | 20101 to | ||
August 31, | August 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $124.40 | $108.32 | $104.44 |
Investment Operations | |||
Net Investment Income | 2.630 | 2.087 | 1.494 |
Net Realized and Unrealized Gain (Loss) on Investments | 22.226 | 15.972 | 3.650 |
Total from Investment Operations | 24.856 | 18.059 | 5.144 |
Distributions | |||
Dividends from Net Investment Income | (2.576) | (1.979) | (1.264) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (2.576) | (1.979) | (1.264) |
Net Asset Value, End of Period | $146.68 | $124.40 | $108.32 |
Total Return | 20.21% | 16.89% | 4.87% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $426 | $126 | $35 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.10% | 2.06% | 1.78%2 |
Portfolio Turnover Rate3 | 16% | 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 | |||
Sept. 20, | |||
Year Ended | 20101 to | ||
August 31, | August 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $64.28 | $55.97 | $51.86 |
Investment Operations | |||
Net Investment Income | 1.313 | 1.037 | .819 |
Net Realized and Unrealized Gain (Loss) on Investments | 11.484 | 8.255 | 3.924 |
Total from Investment Operations | 12.797 | 9.292 | 4.743 |
Distributions | |||
Dividends from Net Investment Income | (1.287) | (.982) | (.633) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (1.287) | (.982) | (.633) |
Net Asset Value, End of Period | $75.79 | $64.28 | $55.97 |
Total Return | 20.14% | 16.80% | 9.09% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $76 | $39 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 2.03% | 1.99% | 1.71%2 |
Portfolio Turnover Rate3 | 16% | 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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
17
Russell 3000 Index Fund
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, 2011–2013), 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund, provided that such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default, the fund may experience delays and costs in recovering the 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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. 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.
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, 2013, the fund had contributed capital of $58,000 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.
18
Russell 3000 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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 501,541 | — | — |
Temporary Cash Investments | 40 | 200 | — |
Futures Contracts—Liabilities1 | (2) | — | — |
Total | 501,579 | 200 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At August 31, 2013, 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 2013 | 1 | 101 | (2) |
E-mini S&P 500 Index | September 2013 | 2 | 163 | (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.
For tax purposes, at August 31, 2013, the fund had $1,881,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $875,000 to offset taxable capital gains realized during the year ended August 31, 2013. At August 31, 2013, the fund had available capital losses totaling $1,357,000 that may be carried forward indefinitely to offset future net capital gains.
19
Russell 3000 Index Fund
At August 31, 2013, the cost of investment securities for tax purposes was $439,744,000. Net unrealized appreciation of investment securities for tax purposes was $62,037,000, consisting of unrealized gains of $67,823,000 on securities that had risen in value since their purchase and $5,786,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2013, the fund purchased $335,747,000 of investment securities and sold $53,257,000 of investment securities, other than temporary cash investments. Purchases and sales include $29,501,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 298,341 | 2,238 | 96,532 | 830 |
Issued in Lieu of Cash Distributions | 5,025 | 37 | 1,029 | 9 |
Redeemed | (52,443) | (387) | (15,886) | (142) |
Net Increase (Decrease)—Institutional Shares | 250,923 | 1,888 | 81,675 | 697 |
ETF Shares | ||||
Issued | 29,491 | 400 | 37,746 | 600 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | — | — | (24,100) | (400) |
Net Increase (Decrease)—ETF Shares | 29,491 | 400 | 13,646 | 200 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require 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, 2013, the results of its operations for the year then ended, the changes in its 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 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, 2013 by correspondence with the custodian and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2013
Special 2013 tax information (unaudited) for Vanguard Russell 3000 Index Fund |
This information for the fiscal year ended August 31, 2013, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $5,923,000 of qualified dividend income to shareholders during the fiscal year. |
For corporate shareholders, 93.3% 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 2013. (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 one share class 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, 2013 | ||
Since | ||
One | Inception | |
Year | (9/20/2010) | |
Returns Before Taxes | 20.14% | 15.56 |
Returns After Taxes on Distributions | 19.71 | 15.25 |
Returns After Taxes on Distributions and Sale of Fund Shares | 11.87 | 12.27 |
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, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Russell 3000 Index Fund | 2/28/2013 | 8/31/2013 | Period |
Based on Actual Fund Return | |||
Institutional Shares | $1,000.00 | $1,093.58 | $0.42 |
ETF Shares | 1,000.00 | 1,093.13 | 0.79 |
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). 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 relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. 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 at-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 181 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); Chairman of the Board of |
(diversified manufacturing and services), Hewlett- | Hillenbrand, Inc. (specialized consumer services) and |
Packard Co. (electronic computer manufacturing), | of Oxfam America; Director of SKF AB (industrial |
machinery) and the Lumina Foundation for Education; | Executive Officers | |
Member of the Advisory Council for the College of | ||
Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
the University 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 | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
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.
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P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
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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, a | |
Thomson Reuters Company, 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 | |
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publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2013 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18540 102013 |
Annual Report | August 31, 2013
Vanguard Sector Bond Index Funds
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Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Short-Term Government Bond Index Fund. | 10 |
Intermediate-Term Government Bond Index Fund. | 27 |
Long-Term Government Bond Index Fund. | 44 |
Short-Term Corporate Bond Index Fund. | 60 |
Intermediate-Term Corporate Bond Index Fund. | 104 |
Long-Term Corporate Bond Index Fund. | 144 |
Mortgage-Backed Securities Index Fund. | 181 |
About Your Fund’s Expenses. | 202 |
Trustees Approve Advisory Arrangement. | 205 |
Glossary. | 206 |
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: The ship's wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMS Vanguard, another ship of that era, served as the flagship for Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns | ||||
Fiscal Year Ended August 31, 2013 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Government Bond Index Fund | ||||
Signal® Shares | 0.24% | 0.26% | -0.24% | 0.02% |
Institutional Shares | 0.27 | 0.29 | -0.23 | 0.06 |
ETF Shares | 0.24 | |||
Market Price | 0.03 | |||
Net Asset Value | 0.04 | |||
Barclays U.S. 1–3 Year Government Float | ||||
Adjusted Index | 0.16 | |||
Short U.S. Government Funds Average | -0.71 | |||
Short U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Intermediate-Term Government Bond Index Fund | ||||
Signal Shares | 1.47% | 1.27% | -4.48% | -3.21% |
Institutional Shares | 1.50 | 1.29 | -4.46 | -3.17 |
ETF Shares | 1.47 | |||
Market Price | -3.18 | |||
Net Asset Value | -3.18 | |||
Barclays U.S. 3–10 Year Government Float | ||||
Adjusted Index | -2.99 | |||
Intermediate U.S. Government Funds Average | -3.24 |
Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
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; 7,337,138; 7,720,749; 7,925,573; 8,090,646.
1
Your Fund’s Total Returns | ||||
Fiscal Year Ended August 31, 2013 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Long-Term Government Bond Index Fund | ||||
Signal Shares | 3.49% | 2.42% | -15.55% | -13.13% |
Institutional Shares | 3.52 | 2.46 | -15.56 | -13.10 |
ETF Shares | 3.49 | |||
Market Price | -13.07 | |||
Net Asset Value | -13.13 | |||
Barclays U.S. Long Government Float Adjusted | ||||
Index | -12.46 | |||
General U.S. Government Funds Average | -4.20 | |||
General U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Short-Term Corporate Bond Index Fund | ||||
Signal Shares | 1.63% | 1.90% | -0.87% | 1.03% |
Institutional Shares | 1.66 | 1.93 | -0.87 | 1.06 |
ETF Shares | 1.63 | |||
Market Price | 0.93 | |||
Net Asset Value | 1.03 | |||
Barclays U.S. 1–5 Year Corporate Bond Index | 1.29 | |||
Short-Intermediate Investment-Grade Debt Funds | ||||
Average | -0.24 | |||
Short-Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Intermediate-Term Corporate Bond Index Fund | ||||
Signal Shares | 3.58% | 3.04% | -4.66% | -1.62% |
Institutional Shares | 3.61 | 3.07 | -4.68 | -1.61 |
ETF Shares | 3.58 | |||
Market Price | -1.94 | |||
Net Asset Value | -1.64 | |||
Barclays U.S. 5–10 Year Corporate Bond Index | -1.27 | |||
Intermediate Investment-Grade Debt Funds | ||||
Average | -1.73 |
Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
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; 7,337,138; 7,720,749; 7,925,573; 8,090,646.
2
Your Fund’s Total Returns | ||||
Fiscal Year Ended August 31, 2013 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Long-Term Corporate Bond Index Fund | ||||
Signal Shares | 5.17% | 4.13% | -10.70% | -6.57% |
Institutional Shares | 5.20 | 4.16 | -10.66 | -6.50 |
ETF Shares | 5.17 | |||
Market Price | -7.76 | |||
Net Asset Value | -6.55 | |||
Barclays U.S. 10+ Year Corporate Bond Index | -6.09 | |||
Corporate Debt Funds BBB-Rated Average | -1.05 | |||
Corporate Debt Funds BBB-Rated Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Mortgage-Backed Securities Index Fund | ||||
Signal Shares | 0.95% | 0.55% | -2.90% | -2.35% |
ETF Shares | 0.95 | |||
Market Price | -2.60 | |||
Net Asset Value | -2.36 | |||
Barclays U.S. MBS Float Adjusted Index | -2.03 | |||
U.S. Mortgage Funds Average | -1.47 | |||
U.S. Mortgage Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
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; 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 year ended August 31, 2013, was difficult for the U.S. bond market. Prices dropped after the Federal Reserve chairman indicated that a key support for the bond market—the central bank’s large-scale purchases of U.S. Treasury bonds and mortgage-backed securities—might be reduced earlier than many anticipated.
The Vanguard Sector Bond Index Funds produced a wide span of returns from narrowly positive to sharply negative. Returns for the government funds ranged from 0.04% for the short-term fund to –13.13% for the long-term fund. The range for the corporate funds was 1.03% for the short-term fund to –6.55% for the long-term fund. The Mortgage-Backed Securities Index Fund returned –2.36%. (The returns cited in this letter are for the funds’ ETF Shares, based on net asset value.)
Six of the seven funds posted increases in the 30-day SEC yields for their ETF Shares during the period (bond prices and yields move in opposite directions). The exception was the mortgage-backed fund, which finished the period at 0.95%, compared with 1.12% a year earlier. Mortgage-backed securities can respond differently from other types of bonds to interest rate changes.
After the close of the period, we announced that we would make Admiral Shares available for certain Vanguard index funds while streamlining our share class offerings through the phaseout of Signal Shares. For
4
the Vanguard Sector Bond Index Funds, Signal Shares have been renamed Admiral Shares. Individuals who directly invest a minimum of $10,000 can qualify for Admiral Shares.
We also announced that we had eliminated the purchase fee for the Short-Term Corporate Bond Index Fund and reduced the purchase fee, from 0.50% to 0.25%, for the Intermediate-Term Corporate Bond Index Fund.
Bond returns turned negative amid worry about the Fed’s next move
The overall bond market generated slightly positive returns through the first eight months of the period before reversing course in May, following comments by the Federal Reserve that it might scale back its stimulative bond-buying program. The broad U.S. taxable bond market returned –2.47%, while municipal bonds posted a –3.70% result for the period.
Returns for money market funds and savings accounts were minuscule as the Fed’s target for short-term rates remained between 0% and 0.25%.
Stocks posted robust results despite setbacks at the finish
U.S. stocks advanced about 20% for the 12 months ended August 31, despite slipping in June and August. Through most of the fiscal year, stocks surged as the economy continued to show modest growth and investors appeared more receptive to risk.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2013 | |||
One | Three | Five | |
Year | Years | Years | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | -2.47% | 2.58% | 4.93% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -3.70 | 2.45 | 4.52 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.07 | 0.08 | 0.17 |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.84% | 18.74% | 7.59% |
Russell 2000 Index (Small-caps) | 26.27 | 20.50 | 7.98 |
Russell 3000 Index (Broad U.S. market) | 20.32 | 18.87 | 7.63 |
MSCI All Country World Index ex USA (International) | 12.98 | 6.93 | 1.48 |
CPI | |||
Consumer Price Index | 1.52% | 2.32% | 1.32% |
5
Much of the market’s recent weakness was linked to fears about the Fed’s plans. Heightened strife in the Middle East also contributed to anxiety in the global markets.
International stocks in aggregate finished with a return of about 13%. Developed markets in the Pacific region and Europe posted results closer to those of the United States. Returns for emerging-market stocks were virtually flat as economic growth slowed in China and Brazil.
Although global economic worries and tensions over conflicts abroad have unsettled markets, Jonathan Lemco, a senior sovereign debt analyst in the Vanguard Taxable Credit Research Group, pointed out that investors can still manage risks amid international instability. “Vanguard believes a diversified portfolio is the best way to spread the risk of geopolitical uncertainty,” he said.
Expense Ratios | ||||
Your Fund Compared With Its Peer Group | ||||
Signal | Institutional | ETF | Peer Group | |
Shares | Shares | Shares | Average | |
Short-Term Government Bond Index | ||||
Fund | 0.12% | 0.09% | 0.12% | 0.80% |
Intermediate-Term Government Bond | ||||
Index Fund | 0.12 | 0.09 | 0.12 | 0.96 |
Long-Term Government Bond Index | ||||
Fund | 0.12 | 0.09 | 0.12 | 1.09 |
Short-Term Corporate Bond Index Fund | 0.12 | 0.09 | 0.12 | 0.86 |
Intermediate-Term Corporate Bond | ||||
Index Fund | 0.12 | 0.09 | 0.12 | 0.86 |
Long-Term Corporate Bond Index Fund | 0.12 | 0.09 | 0.12 | 0.97 |
Mortgage-Backed Securities Index | ||||
Fund | 0.12 | — | 0.12 | 0.89 |
The fund expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, 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 and 0.12% for ETF Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2012.
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
Yields marched higher, pressuring bond returns
A rise in bond yields started to accelerate in May in the wake of hints, and then more expansive comments, from the Fed that it might scale back its bond-buying program earlier than originally thought. Because the nation’s central bank is such a large presence in the bond market, investors feared that its reduced demand would lower bond prices and crimp returns.
We can expect that the funds’ results will continue to be influenced by the actions of the Fed and by investors’ perceptions of what those actions will be. Of course, peering into the future is fraught with uncertainty, and the unprecedented steps taken by the Fed (and other central banks) have left us sailing in uncharted waters.
What does seem certain is that the timing of the Fed’s actions will be determined by the evolving conditions in the U.S. economy.
Among the government funds, the Short-Term Government Bond Index Fund’s barely positive return made it the best performer, reflecting the fund’s shorter duration, a gauge of interest rate sensitivity. Conversely, the Long-Term Government Bond Index Fund suffered the steepest decline, a consequence of its longer duration. A similar pattern was seen with the corporate funds, although they fared better than their government counterparts. Because the Fed’s buying has been targeted at government securities, investors apparently didn’t think the
Yields of U.S. Treasury Securities | ||
August 31, | August 31, | |
Maturity | 2012 | 2013 |
2 years | 0.22% | 0.40% |
3 years | 0.29 | 0.77 |
5 years | 0.59 | 1.61 |
10 years | 1.56 | 2.76 |
30 years | 2.68 | 3.72 |
Source: Vanguard. |
7
Fed’s anticipated pullback would have as much of an effect on the corporate segment of the market.
The Mortgage-Backed Securities Index Fund invests primarily in U.S. agency mortgage-backed securities issued by Ginnie Mae, Fannie Mae, and Freddie Mac. Investors anticipated that demand for these securities would fall when the Fed begins to taper its purchases.
Whether it’s stocks or bonds, market-timing is ill-advised
Many investors who owned stocks during the financial crisis probably still have a healthy respect for the unpredictability of that asset class. The crisis was tough to go through, but investors who stayed the course benefited from the strong rally that followed.
Bonds are going through a rough patch of late. Investors have seen rates move higher and prices fall, and many are wondering how they can reposition their bond holdings to avoid further pain. Should they shift to shorter-duration bonds, to higher-quality bonds, or even to cash and wait it out on the sidelines?
While it’s understandable to want to sidestep potential losses, keep in mind that preparing your portfolio for higher interest rates is essentially an attempt to time the market, and that’s no easier with bonds than it is with stocks. This point was highlighted in a recent Vanguard report on rates and bonds, which said: “Interest rate movements rarely conform to expectations. … Just because interest rates are low doesn’t mean they can’t go lower or that they must go higher.” (You can find the full report, Risk of Loss: Should the Prospect of Rising Rates Push Investors From High-Quality Bonds?, at vanguard.com/research.)
The authors’ conclusion will sound familiar to many Vanguard investors: Avoid the temptation to make abrupt adjustments to your asset allocation. The authors also remind investors that bonds remain one of the best diversifiers of equity market risk and that “they will likely provide downside protection to balanced investors over the long term.”
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
October 16, 2013
8
Your Fund’s Performance at a Glance | ||||
August 31, 2012, Through August 31, 2013 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Short-Term Government Bond Index | ||||
Fund | ||||
Signal Shares | $20.35 | $20.27 | $0.053 | $0.032 |
Institutional Shares | 25.57 | 25.47 | 0.075 | 0.041 |
ETF Shares | 60.98 | 60.75 | 0.158 | 0.096 |
Vanguard Intermediate-Term Government | ||||
Bond Index Fund | ||||
Signal Shares | $22.50 | $21.27 | $0.292 | $0.230 |
Institutional Shares | 27.91 | 26.39 | 0.368 | 0.285 |
ETF Shares | 66.58 | 62.96 | 0.861 | 0.680 |
Vanguard Long-Term Government Bond Index | ||||
Fund | ||||
Signal Shares | $26.48 | $22.32 | $0.693 | $0.048 |
Institutional Shares | 33.60 | 28.32 | 0.890 | 0.061 |
ETF Shares | 78.69 | 66.33 | 2.056 | 0.143 |
Vanguard Short-Term Corporate Bond Index | ||||
Fund | ||||
Signal Shares | $21.73 | $21.51 | $0.413 | $0.032 |
Institutional Shares | 26.60 | 26.33 | 0.514 | 0.039 |
ETF Shares | 79.78 | 78.97 | 1.517 | 0.117 |
Vanguard Intermediate-Term Corporate Bond | ||||
Index Fund | ||||
Signal Shares | $23.40 | $22.20 | $0.731 | $0.116 |
Institutional Shares | 28.93 | 27.44 | 0.913 | 0.143 |
ETF Shares | 86.78 | 82.31 | 2.713 | 0.430 |
Vanguard Long-Term Corporate Bond Index | ||||
Fund | ||||
Signal Shares | $24.74 | $22.04 | $1.078 | $0.060 |
Institutional Shares | 30.71 | 27.37 | 1.347 | 0.075 |
ETF Shares | 92.15 | 82.11 | 4.018 | 0.224 |
Vanguard Mortgage-Backed Securities Index | ||||
Fund | ||||
Signal Shares | $21.06 | $20.35 | $0.118 | $0.102 |
ETF Shares | 52.63 | 50.85 | 0.294 | 0.254 |
9
Short-Term Government Bond Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Signal | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VSBSX | VSBIX | VGSH |
Expense Ratio1 | 0.12% | 0.09% | 0.12% |
30-Day SEC Yield | 0.24% | 0.27% | 0.24% |
Financial Attributes | |||
Barclays | |||
1–3 Year | |||
Gov’t | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 109 | 412 | 8,445 |
Yield to Maturity | |||
(before expenses) | 0.4% | 0.4% | 2.4% |
Average Coupon | 1.3% | 1.5% | 3.3% |
Average Duration | 1.9 years | 1.9 years | 5.5 years |
Average Effective | |||
Maturity | 1.9 years | 1.9 years | 7.4 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.
Volatility Measures | ||
Barclays | ||
1–3 Year | ||
Gov’t | Barclays | |
Float Adj | Aggregate | |
Index | FA Index | |
R-Squared | 0.98 | 0.53 |
Beta | 1.04 | 0.14 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Distribution by Effective Maturity | ||
(% of portfolio) | ||
Under 1 Year | 2.0% | |
1 - 3 Years | 97.8 | |
3 - 5 Years | 0.2 | |
Distribution by Credit Quality (% of portfolio) | ||
U.S. Government | 99.4% | |
Aaa | 0.6 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx12x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares, and 0.12% for ETF Shares.
10
Short-Term Government Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: November 19, 2009, Through August 31, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx13x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
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 | 0.04% | 0.93% | $10,355 | |
Short-Term Government Bond Index | ||||
Fund ETF Shares Market Price | 0.03 | 0.94 | 10,359 | |
Barclays U.S. 1–3 Year Government | ||||
•••••••• | Float Adjusted Index | 0.16 | 1.06 | 10,406 |
– – – – | Short U.S. Government Funds | |||
Average | -0.71 | 1.04 | 10,399 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | -2.41 | 3.91 | 11,560 |
For a benchmark description, see the Glossary.
Short U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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.
11
Short-Term Government Bond Index Fund | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2013 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (12/28/2009) | Investment | |
Short-Term Government Bond Index Fund | |||
Signal Shares | 0.02% | 1.08% | $10,404 |
Barclays U.S. 1–3 Year Government Float | |||
Adjusted Index | 0.16 | 1.21 | 10,450 |
Spliced Barclays U.S. Aggregate Float | |||
Adjusted Index | -2.41 | 4.32 | 11,680 |
"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 | 0.06% | 0.65% | $5,099,196 |
Barclays U.S. 1–3 Year Government Float | |||
Adjusted Index | 0.16 | 0.73 | 5,111,877 |
Barclays U.S. Aggregate Float Adjusted | |||
Index | -2.41 | 2.75 | 5,427,403 |
"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, 2013 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Short-Term Government Bond Index Fund ETF | ||
Shares Market Price | 0.03% | 3.59% |
Short-Term Government Bond Index Fund ETF | ||
Shares Net Asset Value | 0.04 | 3.55 |
Barclays U.S. 1–3 Year Government Float Adjusted | ||
Index | 0.16 | 4.06 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
12
Short-Term Government Bond Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 2013 | ||
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 |
2013 | 0.04 | 0.16 |
Average Annual Total Returns: Periods Ended June 30, 2013
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 | 0.24% | 0.53% | 0.60% | 1.13% |
Institutional Shares | 8/23/2010 | 0.28 | 0.54 | 0.14 | 0.68 |
ETF Shares | 11/19/2009 | ||||
Market Price | 0.26 | 0.98 | |||
Net Asset Value | 0.23 | 0.96 |
13
Short-Term Government Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2013
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (99.2%) | ||||
U.S. Government Securities (88.0%) | ||||
United States Treasury Note/Bond | 2.375% | 8/31/14 | 5,080 | 5,191 |
United States Treasury Note/Bond | 0.250% | 9/15/14 | 6,935 | 6,942 |
United States Treasury Note/Bond | 0.250% | 9/30/14 | 8,480 | 8,488 |
United States Treasury Note/Bond | 2.375% | 9/30/14 | 170 | 174 |
United States Treasury Note/Bond | 0.500% | 10/15/14 | 4,295 | 4,310 |
United States Treasury Note/Bond | 2.375% | 10/31/14 | 30 | 31 |
United States Treasury Note/Bond | 0.375% | 11/15/14 | 9,305 | 9,324 |
United States Treasury Note/Bond | 4.250% | 11/15/14 | 2,745 | 2,878 |
United States Treasury Note/Bond | 0.250% | 11/30/14 | 4,595 | 4,597 |
United States Treasury Note/Bond | 2.125% | 11/30/14 | 4,655 | 4,766 |
United States Treasury Note/Bond | 0.250% | 12/15/14 | 8,175 | 8,179 |
United States Treasury Note/Bond | 0.125% | 12/31/14 | 551 | 550 |
United States Treasury Note/Bond | 2.625% | 12/31/14 | 6,925 | 7,144 |
United States Treasury Note/Bond | 0.250% | 1/15/15 | 2,625 | 2,625 |
United States Treasury Note/Bond | 2.250% | 1/31/15 | 8,640 | 8,880 |
United States Treasury Note/Bond | 0.250% | 2/15/15 | 5,381 | 5,379 |
United States Treasury Note/Bond | 4.000% | 2/15/15 | 7,210 | 7,596 |
United States Treasury Note/Bond | 0.250% | 2/28/15 | 6,860 | 6,857 |
United States Treasury Note/Bond | 2.375% | 2/28/15 | 6,525 | 6,727 |
United States Treasury Note/Bond | 0.375% | 3/15/15 | 6,545 | 6,553 |
United States Treasury Note/Bond | 0.250% | 3/31/15 | 4,095 | 4,091 |
United States Treasury Note/Bond | 2.500% | 3/31/15 | 8,690 | 8,987 |
United States Treasury Note/Bond | 0.375% | 4/15/15 | 450 | 450 |
United States Treasury Note/Bond | 0.125% | 4/30/15 | 4,000 | 3,987 |
United States Treasury Note/Bond | 2.500% | 4/30/15 | 4,865 | 5,039 |
United States Treasury Note/Bond | 0.250% | 5/15/15 | 4,750 | 4,743 |
United States Treasury Note/Bond | 4.125% | 5/15/15 | 3,845 | 4,090 |
United States Treasury Note/Bond | 0.250% | 5/31/15 | 10,260 | 10,242 |
United States Treasury Note/Bond | 2.125% | 5/31/15 | 4,600 | 4,741 |
United States Treasury Note/Bond | 0.375% | 6/15/15 | 11,510 | 11,512 |
United States Treasury Note/Bond | 1.875% | 6/30/15 | 1,570 | 1,613 |
United States Treasury Note/Bond | 0.250% | 7/15/15 | 4,510 | 4,499 |
United States Treasury Note/Bond | 0.250% | 7/31/15 | 3,675 | 3,665 |
United States Treasury Note/Bond | 1.750% | 7/31/15 | 3,380 | 3,467 |
United States Treasury Note/Bond | 0.250% | 8/15/15 | 5,075 | 5,059 |
United States Treasury Note/Bond | 4.250% | 8/15/15 | 9,030 | 9,702 |
United States Treasury Note/Bond | 0.375% | 8/31/15 | 3,000 | 2,998 |
14
Short-Term Government Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.250% | 8/31/15 | 7,315 | 7,436 |
United States Treasury Note/Bond | 0.250% | 9/15/15 | 6,250 | 6,228 |
United States Treasury Note/Bond | 0.250% | 10/15/15 | 9,605 | 9,564 |
United States Treasury Note/Bond | 1.250% | 10/31/15 | 750 | 763 |
United States Treasury Note/Bond | 1.375% | 11/30/15 | 8,575 | 8,742 |
United States Treasury Note/Bond | 0.250% | 12/15/15 | 8,400 | 8,350 |
United States Treasury Note/Bond | 2.125% | 12/31/15 | 1,750 | 1,815 |
United States Treasury Note/Bond | 2.000% | 1/31/16 | 9,725 | 10,062 |
United States Treasury Note/Bond | 0.375% | 2/15/16 | 8,130 | 8,091 |
United States Treasury Note/Bond | 0.375% | 3/15/16 | 13,225 | 13,146 |
United States Treasury Note/Bond | 0.250% | 4/15/16 | 7,530 | 7,455 |
United States Treasury Note/Bond | 2.000% | 4/30/16 | 300 | 311 |
United States Treasury Note/Bond | 0.250% | 5/15/16 | 6,065 | 5,997 |
United States Treasury Note/Bond | 5.125% | 5/15/16 | 2,500 | 2,798 |
United States Treasury Note/Bond | 7.250% | 5/15/16 | 750 | 882 |
United States Treasury Note/Bond | 1.750% | 5/31/16 | 6,920 | 7,117 |
United States Treasury Note/Bond | 3.250% | 5/31/16 | 1,000 | 1,069 |
United States Treasury Note/Bond | 0.500% | 6/15/16 | 2,675 | 2,660 |
United States Treasury Note/Bond | 1.500% | 6/30/16 | 4,500 | 4,596 |
United States Treasury Note/Bond | 3.250% | 6/30/16 | 3,075 | 3,292 |
United States Treasury Note/Bond | 0.625% | 7/15/16 | 3,780 | 3,768 |
United States Treasury Note/Bond | 1.500% | 7/31/16 | 4,681 | 4,779 |
United States Treasury Note/Bond | 3.250% | 7/31/16 | 3,018 | 3,234 |
United States Treasury Note/Bond | 0.625% | 8/15/16 | 3,200 | 3,186 |
United States Treasury Note/Bond | 4.875% | 8/15/16 | 2,175 | 2,433 |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 4,700 | 4,726 |
United States Treasury Note/Bond | 3.000% | 8/31/16 | 3,100 | 3,301 |
331,877 | ||||
Agency Bonds and Notes (11.2%) | ||||
1 Federal Agricultural Mortgage Corp. | 2.125% | 9/15/15 | 50 | 52 |
1 Federal Farm Credit Banks | 1.625% | 11/19/14 | 50 | 51 |
1 Federal Farm Credit Banks | 0.270% | 2/24/15 | 750 | 749 |
1 Federal Farm Credit Banks | 0.500% | 6/23/15 | 200 | 200 |
1 Federal Farm Credit Banks | 1.500% | 11/16/15 | 50 | 51 |
1 Federal Farm Credit Banks | 1.050% | 3/28/16 | 100 | 101 |
1 Federal Home Loan Banks | 4.500% | 11/14/14 | 100 | 105 |
1 Federal Home Loan Banks | 2.750% | 12/12/14 | 675 | 695 |
1 Federal Home Loan Banks | 0.250% | 1/16/15 | 1,690 | 1,689 |
1 Federal Home Loan Banks | 0.250% | 2/20/15 | 600 | 600 |
1 Federal Home Loan Banks | 0.375% | 8/28/15 | 1,400 | 1,398 |
1 Federal Home Loan Banks | 0.500% | 11/20/15 | 2,480 | 2,479 |
1 Federal Home Loan Banks | 3.125% | 3/11/16 | 425 | 450 |
1 Federal Home Loan Banks | 0.375% | 6/24/16 | 1,625 | 1,608 |
2 Federal Home Loan Mortgage Corp. | 0.500% | 9/19/14 | 475 | 476 |
2 Federal Home Loan Mortgage Corp. | 0.750% | 11/25/14 | 1,430 | 1,439 |
2 Federal Home Loan Mortgage Corp. | 0.625% | 12/29/14 | 2,555 | 2,567 |
2 Federal Home Loan Mortgage Corp. | 4.500% | 1/15/15 | 50 | 53 |
2 Federal Home Loan Mortgage Corp. | 2.875% | 2/9/15 | 675 | 700 |
2 Federal Home Loan Mortgage Corp. | 0.500% | 4/17/15 | 1,000 | 1,002 |
2 Federal Home Loan Mortgage Corp. | 4.375% | 7/17/15 | 500 | 537 |
2 Federal Home Loan Mortgage Corp. | 1.750% | 9/10/15 | 2,790 | 2,861 |
2 Federal Home Loan Mortgage Corp. | 4.750% | 11/17/15 | 500 | 546 |
2 Federal Home Loan Mortgage Corp. | 0.500% | 5/13/16 | 1,700 | 1,688 |
2 Federal Home Loan Mortgage Corp. | 2.500% | 5/27/16 | 980 | 1,026 |
15
Short-Term Government Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2 | Federal Home Loan Mortgage Corp. | 5.500% | 7/18/16 | 250 | 283 |
2 | Federal Home Loan Mortgage Corp. | 2.000% | 8/25/16 | 525 | 542 |
2 | Federal Home Loan Mortgage Corp. | 0.875% | 10/14/16 | 850 | 848 |
2 | Federal National Mortgage Assn. | 0.625% | 10/30/14 | 2,100 | 2,110 |
2 | Federal National Mortgage Assn. | 2.625% | 11/20/14 | 2,215 | 2,279 |
2 | Federal National Mortgage Assn. | 0.750% | 12/19/14 | 500 | 503 |
2 | Federal National Mortgage Assn. | 0.375% | 3/16/15 | 2,055 | 2,056 |
2 | Federal National Mortgage Assn. | 0.500% | 5/27/15 | 600 | 602 |
2 | Federal National Mortgage Assn. | 0.500% | 7/2/15 | 475 | 476 |
2 | Federal National Mortgage Assn. | 0.500% | 9/28/15 | 2,935 | 2,936 |
2 | Federal National Mortgage Assn. | 4.375% | 10/15/15 | 975 | 1,054 |
2 | Federal National Mortgage Assn. | 1.625% | 10/26/15 | 75 | 77 |
2 | Federal National Mortgage Assn. | 0.375% | 12/21/15 | 300 | 299 |
2 | Federal National Mortgage Assn. | 5.000% | 3/15/16 | 25 | 28 |
2 | Federal National Mortgage Assn. | 0.500% | 3/30/16 | 1,325 | 1,318 |
2 | Federal National Mortgage Assn. | 2.375% | 4/11/16 | 800 | 834 |
2 | Federal National Mortgage Assn. | 0.375% | 7/5/16 | 1,725 | 1,703 |
2 | Federal National Mortgage Assn. | 0.625% | 8/26/16 | 1,000 | 992 |
Private Export Funding Corp. | 3.050% | 10/15/14 | 175 | 180 | |
42,243 | |||||
Total U.S. Government and Agency Obligations (Cost $374,558) | 374,120 | ||||
Shares | |||||
Temporary Cash Investment (1.0%) | |||||
Money Market Fund (1.0%) | |||||
3 | Vanguard Market Liquidity Fund (Cost $3,693) | 0.122% | 3,693,000 | 3,693 | |
Total Investments (100.2%) (Cost $378,251) | 377,813 | ||||
Other Assets and Liabilities (-0.2%) | |||||
Other Assets | 21,809 | ||||
Liabilities | (22,393) | ||||
(584) | |||||
Net Assets (100%) | 377,229 |
16
Short-Term Government Bond Index Fund | |
At August 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 377,344 |
Overdistributed Net Investment Income | (1) |
Accumulated Net Realized Gains | 324 |
Unrealized Appreciation (Depreciation) | (438) |
Net Assets | 377,229 |
Signal Shares—Net Assets | |
Applicable to 2,617,270 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 53,046 |
Net Asset Value Per Share—Signal Shares | $20.27 |
Institutional Shares—Net Assets | |
Applicable to 683,304 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 17,402 |
Net Asset Value Per Share—Institutional Shares | $25.47 |
ETF Shares—Net Assets | |
Applicable to 5,050,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 306,781 |
Net Asset Value Per Share—ETF Shares | $60.75 |
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.
17
Short-Term Government Bond Index Fund | |
Statement of Assets and Liabilities | |
As of August 31, 2013 | |
Market | |
Value | |
($000) | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 374,120 |
Affiliated Vanguard Funds | 3,693 |
Total Investments in Securities | 377,813 |
Receivables for Investment Securities Sold | 20,348 |
Other Assets | 1,461 |
Total Assets | 399,622 |
Liabilities | |
Payables for Investment Securities Purchased | 21,815 |
Other Liabilities | 578 |
Total Liabilities | 22,393 |
Net Assets | 377,229 |
See Note A in Notes to Financial Statements.
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, 2013 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 1,251 |
Total Income | 1,251 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 9 |
Management and Administrative—Signal Shares | 32 |
Management and Administrative—Institutional Shares | 16 |
Management and Administrative—ETF Shares | 189 |
Marketing and Distribution—Signal Shares | 12 |
Marketing and Distribution—Institutional Shares | 11 |
Marketing and Distribution—ETF Shares | 61 |
Custodian Fees | 2 |
Auditing Fees | 42 |
Shareholders’ Reports—Signal Shares | 1 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 7 |
Total Expenses | 382 |
Net Investment Income | 869 |
Realized Net Gain (Loss) on Investment Securities Sold | 565 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (1,328) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 106 |
1 Interest income from an affiliated company of the fund was $6,000. |
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, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 869 | 1,013 |
Realized Net Gain (Loss) | 565 | 665 |
Change in Unrealized Appreciation (Depreciation) | (1,328) | (705) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 106 | 973 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (113) | (98) |
Institutional Shares | (107) | (160) |
ETF Shares | (651) | (745) |
Realized Capital Gain1 | ||
Signal Shares | (61) | (22) |
Institutional Shares | (65) | (57) |
ETF Shares | (389) | (294) |
Total Distributions | (1,386) | (1,376) |
Capital Share Transactions | ||
Signal Shares | 16,393 | 26,194 |
Institutional Shares | (26,223) | 10,460 |
ETF Shares | 124,806 | 33,558 |
Net Increase (Decrease) from Capital Share Transactions | 114,976 | 70,212 |
Total Increase (Decrease) | 113,696 | 69,809 |
Net Assets | ||
Beginning of Period | 263,533 | 193,724 |
End of Period2 | 377,229 | 263,533 |
1 Includes fiscal 2013 and 2012 short-term gain distributions totaling $163,000 and $178,000, 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 $1,000.
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, | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $20.35 | $20.39 | $20.25 | $19.92 |
Investment Operations | ||||
Net Investment Income | .053 | .089 | .134 | .101 |
Net Realized and Unrealized Gain (Loss) on Investments | (.048) | (.007) | .149 | .329 |
Total from Investment Operations | .005 | .082 | .283 | .430 |
Distributions | ||||
Dividends from Net Investment Income | (.053) | (.087) | (.135) | (.100) |
Distributions from Realized Capital Gains | (.032) | (.035) | (.008) | — |
Total Distributions | (.085) | (.122) | (.143) | (.100) |
Net Asset Value, End of Period | $20.27 | $20.35 | $20.39 | $20.25 |
Total Return2 | 0.02% | 0.40% | 1.40% | 2.16% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $53 | $37 | $11 | $6 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 0.26% | 0.44% | 0.66% | 0.84%3 |
Portfolio Turnover Rate4 | 73% | 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, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $25.57 | $25.62 | $25.45 | $25.46 |
Investment Operations | ||||
Net Investment Income | .075 | .121 | .183 | .005 |
Net Realized and Unrealized Gain (Loss) on Investments | (.059) | (.007) | .180 | .003 |
Total from Investment Operations | .016 | .114 | .363 | .008 |
Distributions | ||||
Dividends from Net Investment Income | (.075) | (.120) | (.183) | (.018) |
Distributions from Realized Capital Gains | (.041) | (.044) | (.010) | — |
Total Distributions | (.116) | (.164) | (.193) | (.018) |
Net Asset Value, End of Period | $25.47 | $25.57 | $25.62 | $25.45 |
Total Return2 | 0.06% | 0.45% | 1.43% | 0.03% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $17 | $44 | $33 | $8 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09%3 |
Ratio of Net Investment Income to Average Net Assets | 0.29% | 0.47% | 0.71% | 0.90%3 |
Portfolio Turnover Rate4 | 73% | 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, | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $60.98 | $61.11 | $60.70 | $60.04 |
Investment Operations | ||||
Net Investment Income | .158 | .270 | .405 | .349 |
Net Realized and Unrealized Gain (Loss) on Investments | (.134) | (.028) | .434 | .660 |
Total from Investment Operations | .024 | .242 | .839 | 1.009 |
Distributions | ||||
Dividends from Net Investment Income | (.158) | (.267) | (.405) | (.349) |
Distributions from Realized Capital Gains | (.096) | (.105) | (.024) | — |
Total Distributions | (.254) | (.372) | (.429) | (.349) |
Net Asset Value, End of Period | $60.75 | $60.98 | $61.11 | $60.70 |
Total Return | 0.04% | 0.40% | 1.39% | 1.69% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $307 | $183 | $150 | $79 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 0.26% | 0.44% | 0.66% | 0.84%2 |
Portfolio Turnover Rate3 | 73% | 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, 2010–2013), 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, 2013, the fund had contributed capital of $45,000 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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 374,120 | — |
Temporary Cash Investments | 3,693 | — | — |
Total | 3,693 | 374,120 | — |
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, 2013, the fund realized $96,000 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 $95,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at August 31, 2013, the fund had short-term and long-term capital gains of $62,000 and $262,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
At August 31, 2013, the cost of investment securities for tax purposes was $378,251,000. Net unrealized depreciation of investment securities for tax purposes was $438,000, consisting of unrealized gains of $142,000 on securities that had risen in value since their purchase and $580,000 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, 2013, the fund purchased $397,835,000 of investment securities and sold $278,453,000 of investment securities, other than temporary cash investments. Purchases and sales include $163,192,000 and $39,209,000, 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, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 38,480 | 1,895 | 42,585 | 2,095 |
Issued in Lieu of Cash Distributions | 171 | 8 | 118 | 6 |
Redeemed | (22,258) | (1,096) | (16,509) | (812) |
Net Increase (Decrease) —Signal Shares | 16,393 | 807 | 26,194 | 1,289 |
Institutional Shares | ||||
Issued1 | 2,001 | 78 | 10,243 | 400 |
Issued in Lieu of Cash Distributions | 166 | 7 | 217 | 9 |
Redeemed | (28,390) | (1,113) | — | — |
Net Increase (Decrease) —Institutional Shares | (26,223) | (1,028) | 10,460 | 409 |
ETF Shares | ||||
Issued1 | 164,370 | 2,700 | 45,749 | 750 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (39,564) | (650) | (12,191) | (200) |
Net Increase (Decrease) —ETF Shares | 124,806 | 2,050 | 33,558 | 550 |
1 Includes purchase fees for fiscal 2013 and 2012 of $17,000 and $8,000, respectively (fund totals). |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition in these financial statements. On October 16, 2013, Signal Shares were renamed Admiral Shares.
26
Intermediate-Term Government Bond Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Signal | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VSIGX | VIIGX | VGIT |
Expense Ratio1 | 0.12% | 0.09% | 0.12% |
30-Day SEC Yield | 1.47% | 1.50% | 1.47% |
Financial Attributes | |||
Barclays | |||
3–10 Year | |||
Gov’t | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 172 | 519 | 8,445 |
Yield to Maturity | |||
(before expenses) | 1.7% | 1.7% | 2.4% |
Average Coupon | 2.3% | 2.1% | 3.3% |
Average Duration | 5.1 years | 5.1 years | 5.5 years |
Average Effective | |||
Maturity | 5.5 years | 5.5 years | 7.4 years |
Short-Term | |||
Reserves | 0.6% | — | — |
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.
Volatility Measures | ||
Barclays | ||
3–10 Year | ||
Gov’t | Barclays | |
Float Adj | Aggregate | |
Index | FA Index | |
R-Squared | 0.99 | 0.86 |
Beta | 1.01 | 1.20 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Effective Maturity | |
(% of portfolio) | |
1 - 3 Years | 1.9% |
3 - 5 Years | 52.1 |
5 - 10 Years | 46.0 |
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/0000932471-13-008346/ussectorbondx29x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, 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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx30x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
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 | -3.18% | 3.69% | $11,469 | |
Intermediate-Term Government Bond | ||||
Index Fund ETF Shares Market Price | -3.18 | 3.70 | 11,473 | |
Barclays U.S. 3–10 Year Government | ||||
•••••••• | Float Adjusted Index | -2.99 | 3.83 | 11,529 |
– – – – | Intermediate U.S. Government Funds | |||
Average | -3.24 | 2.72 | 11,066 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | -2.41 | 3.91 | 11,560 |
For a benchmark description, see the Glossary.
Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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, 2013 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (8/4/2010) | Investment | |
Intermediate-Term Government Bond Index | |||
Fund Signal Shares | -3.21% | 2.72% | $10,860 |
Barclays U.S. 3–10 Year Government Float | |||
Adjusted Index | -2.99 | 2.87 | 10,908 |
Barclays U.S. Aggregate Float Adjusted Index | -2.41 | 3.06 | 10,970 |
"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 | -3.17% | 4.09% | $5,742,327 |
Barclays U.S. 3–10 Year Government Float | |||
Adjusted Index | -2.99 | 4.22 | 5,765,915 |
Barclays U.S. Aggregate Float Adjusted | |||
Index | -2.41 | 3.93 | 5,710,929 |
"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, 2013 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Intermediate-Term Government Bond Index Fund | ||
ETF Shares Market Price | -3.18% | 14.73% |
Intermediate-Term Government Bond Index Fund | ||
ETF Shares Net Asset Value | -3.18 | 14.69 |
Barclays U.S. 3–10 Year Government Float Adjusted | ||
Index | -2.99 | 15.29 |
"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, 2013 | ||
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 |
2013 | -3.18 | -2.99 |
Average Annual Total Returns: Periods Ended June 30, 2013
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 | -1.53% | 1.77% | 1.38% | 3.15% |
Institutional Shares | 3/19/2010 | -1.51 | 1.90 | 2.65 | 4.55 |
ETF Shares | 11/19/2009 | ||||
Market Price | -1.60 | 4.08 | |||
Net Asset Value | -1.52 | 4.09 |
30
Intermediate-Term Government Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2013
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 (99.5%) | ||||
U.S. Government Securities (90.7%) | ||||
United States Treasury Note/Bond | 4.875% | 8/15/16 | 1,272 | 1,423 |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 3,965 | 3,987 |
United States Treasury Note/Bond | 3.000% | 8/31/16 | 2,367 | 2,520 |
United States Treasury Note/Bond | 1.000% | 9/30/16 | 1,405 | 1,412 |
United States Treasury Note/Bond | 3.000% | 9/30/16 | 2,935 | 3,128 |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 2,175 | 2,183 |
United States Treasury Note/Bond | 3.125% | 10/31/16 | 1,957 | 2,093 |
United States Treasury Note/Bond | 4.625% | 11/15/16 | 1,805 | 2,016 |
United States Treasury Note/Bond | 7.500% | 11/15/16 | 1,000 | 1,208 |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 2,530 | 2,526 |
United States Treasury Note/Bond | 2.750% | 11/30/16 | 1,965 | 2,079 |
United States Treasury Note/Bond | 0.875% | 12/31/16 | 2,625 | 2,617 |
United States Treasury Note/Bond | 3.250% | 12/31/16 | 1,173 | 1,261 |
United States Treasury Note/Bond | 0.875% | 1/31/17 | 1,082 | 1,077 |
United States Treasury Note/Bond | 3.125% | 1/31/17 | 2,750 | 2,946 |
United States Treasury Note/Bond | 4.625% | 2/15/17 | 2,130 | 2,390 |
United States Treasury Note/Bond | 0.875% | 2/28/17 | 1,940 | 1,929 |
United States Treasury Note/Bond | 3.000% | 2/28/17 | 1,002 | 1,070 |
United States Treasury Note/Bond | 1.000% | 3/31/17 | 1,950 | 1,944 |
United States Treasury Note/Bond | 3.250% | 3/31/17 | 3,134 | 3,373 |
United States Treasury Note/Bond | 0.875% | 4/30/17 | 1,170 | 1,160 |
United States Treasury Note/Bond | 3.125% | 4/30/17 | 3,218 | 3,450 |
United States Treasury Note/Bond | 4.500% | 5/15/17 | 1,659 | 1,861 |
United States Treasury Note/Bond | 8.750% | 5/15/17 | 577 | 737 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 1,850 | 1,813 |
United States Treasury Note/Bond | 2.750% | 5/31/17 | 699 | 740 |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 2,000 | 1,966 |
United States Treasury Note/Bond | 2.500% | 6/30/17 | 1,796 | 1,885 |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 2,615 | 2,541 |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 1,648 | 1,720 |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 1,224 | 1,391 |
United States Treasury Note/Bond | 8.875% | 8/15/17 | 1,320 | 1,711 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 1,845 | 1,798 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 1,811 | 1,855 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 1,200 | 1,167 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 2,923 | 2,991 |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 490 | 478 |
31
Intermediate-Term Government Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 2,480 | 2,535 |
United States Treasury Note/Bond | 4.250% | 11/15/17 | 798 | 893 |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 3,770 | 3,653 |
United States Treasury Note/Bond | 2.250% | 11/30/17 | 2,715 | 2,815 |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 2,015 | 1,959 |
United States Treasury Note/Bond | 2.750% | 12/31/17 | 1,125 | 1,189 |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 3,045 | 2,972 |
United States Treasury Note/Bond | 2.625% | 1/31/18 | 909 | 956 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 1,701 | 1,853 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 2,150 | 2,083 |
United States Treasury Note/Bond | 2.750% | 2/28/18 | 5,716 | 6,042 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 2,590 | 2,504 |
United States Treasury Note/Bond | 2.875% | 3/31/18 | 807 | 857 |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 3,770 | 3,618 |
United States Treasury Note/Bond | 2.625% | 4/30/18 | 2,662 | 2,795 |
United States Treasury Note/Bond | 3.875% | 5/15/18 | 1,100 | 1,218 |
United States Treasury Note/Bond | 9.125% | 5/15/18 | 1,260 | 1,698 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 187 | 182 |
United States Treasury Note/Bond | 2.375% | 5/31/18 | 1,702 | 1,767 |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 4,220 | 4,180 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 1,955 | 2,028 |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 2,250 | 2,226 |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 1,570 | 1,618 |
United States Treasury Note/Bond | 4.000% | 8/15/18 | 1,155 | 1,289 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 5,300 | 5,267 |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 2,355 | 2,323 |
United States Treasury Note/Bond | 1.750% | 10/31/18 | 2,145 | 2,152 |
United States Treasury Note/Bond | 3.750% | 11/15/18 | 3,332 | 3,675 |
United States Treasury Note/Bond | 9.000% | 11/15/18 | 133 | 182 |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 610 | 600 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 840 | 824 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 2,800 | 2,724 |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 2,697 | 2,832 |
United States Treasury Note/Bond | 8.875% | 2/15/19 | 369 | 507 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 2,550 | 2,493 |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 2,340 | 2,299 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 1,450 | 1,402 |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 2,458 | 2,629 |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 1,310 | 1,255 |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 1,175 | 1,116 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 1,695 | 1,593 |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 1,392 | 1,525 |
United States Treasury Note/Bond | 8.125% | 8/15/19 | 93 | 126 |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 2,340 | 2,211 |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 300 | 283 |
United States Treasury Note/Bond | 1.250% | 10/31/19 | 450 | 430 |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 2,950 | 3,193 |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 1,980 | 1,858 |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 275 | 260 |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 277 | 265 |
United States Treasury Note/Bond | 3.625% | 2/15/20 | 4,525 | 4,959 |
United States Treasury Note/Bond | 8.500% | 2/15/20 | 60 | 84 |
United States Treasury Note/Bond | 1.250% | 2/29/20 | 1,060 | 1,004 |
United States Treasury Note/Bond | 1.125% | 3/31/20 | 1,100 | 1,031 |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 1,925 | 1,800 |
32
Intermediate-Term Government Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 1,699 | 1,847 |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 2,700 | 2,563 |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 2,450 | 2,399 |
United States Treasury Note/Bond | 2.000% | 7/31/20 | 1,850 | 1,823 |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 3,929 | 4,036 |
United States Treasury Note/Bond | 8.750% | 8/15/20 | 250 | 357 |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 2,000 | 1,984 |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 6,627 | 6,782 |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 4,055 | 4,420 |
United States Treasury Note/Bond | 7.875% | 2/15/21 | 716 | 992 |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 3,042 | 3,200 |
United States Treasury Note/Bond | 8.125% | 5/15/21 | 1,040 | 1,467 |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 4,900 | 4,777 |
United States Treasury Note/Bond | 8.125% | 8/15/21 | 925 | 1,311 |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 2,923 | 2,810 |
United States Treasury Note/Bond | 8.000% | 11/15/21 | 3,580 | 5,065 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 3,370 | 3,222 |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 3,425 | 3,191 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 3,865 | 3,541 |
United States Treasury Note/Bond | 7.250% | 8/15/22 | 350 | 482 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 4,720 | 4,299 |
United States Treasury Note/Bond | 7.625% | 11/15/22 | 175 | 247 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 4,875 | 4,573 |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 475 | 654 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 4,820 | 4,396 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 3,000 | 2,928 |
251,644 | ||||
Agency Bonds and Notes (8.8%) | ||||
1 Federal Agricultural Mortgage Corp. | 2.000% | 7/27/16 | 50 | 52 |
1 Federal Farm Credit Banks | 4.875% | 1/17/17 | 500 | 561 |
1 Federal Home Loan Banks | 4.750% | 12/16/16 | 285 | 321 |
1 Federal Home Loan Banks | 1.000% | 6/21/17 | 1,850 | 1,832 |
1 Federal Home Loan Banks | 1.875% | 3/13/20 | 150 | 144 |
1 Federal Home Loan Banks | 4.125% | 3/13/20 | 605 | 661 |
1 Federal Home Loan Banks | 3.375% | 6/12/20 | 125 | 131 |
1 Federal Home Loan Banks | 5.250% | 12/11/20 | 250 | 291 |
1 Federal Home Loan Banks | 5.625% | 6/11/21 | 400 | 474 |
1 Federal Home Loan Banks | 2.125% | 3/10/23 | 250 | 226 |
2 Federal Home Loan Mortgage Corp. | 0.875% | 10/14/16 | 300 | 299 |
2 Federal Home Loan Mortgage Corp. | 5.000% | 2/16/17 | 100 | 113 |
2 Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 1,040 | 1,033 |
2 Federal Home Loan Mortgage Corp. | 5.000% | 4/18/17 | 200 | 227 |
2 Federal Home Loan Mortgage Corp. | 1.000% | 6/29/17 | 375 | 370 |
2 Federal Home Loan Mortgage Corp. | 1.000% | 7/28/17 | 550 | 542 |
2 Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 400 | 393 |
2 Federal Home Loan Mortgage Corp. | 5.125% | 11/17/17 | 125 | 143 |
2 Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 300 | 289 |
2 Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 1,250 | 1,206 |
2 Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 440 | 478 |
2 Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 400 | 392 |
2 Federal Home Loan Mortgage Corp. | 1.250% | 8/1/19 | 450 | 426 |
2 Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 720 | 677 |
2 Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 595 | 555 |
2 Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 855 | 818 |
2 Federal National Mortgage Assn. | 1.250% | 9/28/16 | 50 | 50 |
33
Intermediate-Term Government Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2 | Federal National Mortgage Assn. | 1.375% | 11/15/16 | 75 | 76 |
2 | Federal National Mortgage Assn. | 1.250% | 1/30/17 | 200 | 201 |
2 | Federal National Mortgage Assn. | 5.000% | 2/13/17 | 880 | 995 |
2 | Federal National Mortgage Assn. | 1.125% | 4/27/17 | 700 | 697 |
2 | Federal National Mortgage Assn. | 5.000% | 5/11/17 | 555 | 629 |
2 | Federal National Mortgage Assn. | 5.375% | 6/12/17 | 1,230 | 1,414 |
2 | Federal National Mortgage Assn. | 0.875% | 8/28/17 | 350 | 343 |
2 | Federal National Mortgage Assn. | 0.875% | 10/26/17 | 750 | 731 |
2 | Federal National Mortgage Assn. | 0.875% | 12/20/17 | 900 | 873 |
2 | Federal National Mortgage Assn. | 0.875% | 2/8/18 | 850 | 822 |
2 | Federal National Mortgage Assn. | 0.875% | 5/21/18 | 2,150 | 2,063 |
2 | Federal National Mortgage Assn. | 1.875% | 9/18/18 | 550 | 550 |
2 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 450 | 376 |
1 | Financing Corp. | 10.700% | 10/6/17 | 122 | 164 |
1 | Financing Corp. | 9.800% | 4/6/18 | 200 | 269 |
1 | Financing Corp. | 10.350% | 8/3/18 | 250 | 347 |
1 | Financing Corp. | 9.700% | 4/5/19 | 50 | 69 |
NCUA Guaranteed Notes | 3.000% | 6/12/19 | 180 | 187 | |
Private Export Funding Corp. | 1.375% | 2/15/17 | 250 | 250 | |
Private Export Funding Corp. | 2.250% | 12/15/17 | 25 | 26 | |
Private Export Funding Corp. | 1.875% | 7/15/18 | 50 | 50 | |
Private Export Funding Corp. | 1.450% | 8/15/19 | 100 | 95 | |
Private Export Funding Corp. | 2.050% | 11/15/22 | 175 | 157 | |
1 | Tennessee Valley Authority | 5.500% | 7/18/17 | 125 | 144 |
1 | Tennessee Valley Authority | 3.875% | 2/15/21 | 225 | 238 |
1 | Tennessee Valley Authority | 1.875% | 8/15/22 | 125 | 111 |
24,581 | |||||
Total U.S. Government and Agency Obligations (Cost $280,752) | 276,225 | ||||
Shares | |||||
Temporary Cash Investment (0.7%) | |||||
Money Market Fund (0.7%) | |||||
3 | Vanguard Market Liquidity Fund (Cost $1,768) | 0.122% | 1,768,288 | 1,768 | |
Total Investments (100.2%) (Cost $282,520) | 277,993 | ||||
Other Assets and Liabilities (-0.2%) | |||||
Other Assets | 9,602 | ||||
Liabilities | (10,060) | ||||
(458) | |||||
Net Assets (100%) | 277,535 |
34
Intermediate-Term Government Bond Index Fund | |
At August 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 281,155 |
Undistributed Net Investment Income | 4 |
Accumulated Net Realized Gains | 903 |
Unrealized Appreciation (Depreciation) | (4,527) |
Net Assets | 277,535 |
Signal Shares—Net Assets | |
Applicable to 4,482,247 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 95,352 |
Net Asset Value Per Share—Signal Shares | $21.27 |
Institutional Shares—Net Assets | |
Applicable to 2,251,450 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 59,415 |
Net Asset Value Per Share—Institutional Shares | $26.39 |
ETF Shares—Net Assets | |
Applicable to 1,950,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 122,768 |
Net Asset Value Per Share—ETF Shares | $62.96 |
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, 2013 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 4,171 |
Total Income | 4,171 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 9 |
Management and Administrative—Signal Shares | 46 |
Management and Administrative—Institutional Shares | 34 |
Management and Administrative—ETF Shares | 101 |
Marketing and Distribution—Signal Shares | 13 |
Marketing and Distribution—Institutional Shares | 26 |
Marketing and Distribution—ETF Shares | 40 |
Custodian Fees | 2 |
Auditing Fees | 42 |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | 1 |
Shareholders’ Reports—ETF Shares | 9 |
Total Expenses | 323 |
Net Investment Income | 3,848 |
Realized Net Gain (Loss) on Investment Securities Sold | 5,278 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (17,798) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,672) |
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.
36
Intermediate-Term Government Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase(Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,848 | 4,113 |
Realized Net Gain (Loss) | 5,278 | 3,051 |
Change in Unrealized Appreciation (Depreciation) | (17,798) | 3,779 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,672) | 10,943 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (779) | (288) |
Institutional Shares | (1,120) | (2,183) |
ETF Shares | (1,948) | (1,633) |
Realized Capital Gain1 | ||
Signal Shares | (525) | (22) |
Institutional Shares | (838) | (215) |
ETF Shares | (1,224) | (155) |
Total Distributions | (6,434) | (4,496) |
Capital Share Transactions | ||
Signal Shares | 64,413 | 25,741 |
Institutional Shares | (54,102) | (3,558) |
ETF Shares | (2,923) | 75,411 |
Net Increase (Decrease) from Capital Share Transactions | 7,388 | 97,594 |
Total Increase (Decrease) | (7,718) | 104,041 |
Net Assets | ||
Beginning of Period | 285,253 | 181,212 |
End of Period2 | 277,535 | 285,253 |
1 Includes fiscal 2013 and 2012 short-term gain distributions totaling $753,000 and $178,000, 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 $4,000 and $3,000.
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, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $22.50 | $21.94 | $21.49 | $21.11 |
Investment Operations | ||||
Net Investment Income | .292 | .369 | .441 | .033 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.000) | .602 | .658 | .385 |
Total from Investment Operations | (.708) | .971 | 1.099 | .418 |
Distributions | ||||
Dividends from Net Investment Income | (.292) | (.369) | (.441) | (.038) |
Distributions from Realized Capital Gains | (.230) | (.042) | (.208) | — |
Total Distributions | (.522) | (.411) | (.649) | (.038) |
Net Asset Value, End of Period | $21.27 | $22.50 | $21.94 | $21.49 |
Total Return2 | -3.21% | 4.47% | 5.31% | 1.98% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $95 | $35 | $8 | $3 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.13% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 1.32% | 1.67% | 2.10% | 2.29%3 |
Portfolio Turnover Rate4 | 54% | 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, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $27.91 | $27.21 | $26.65 | $25.01 |
Investment Operations | ||||
Net Investment Income | .368 | .466 | .557 | .239 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.235) | .752 | .819 | 1.674 |
Total from Investment Operations | (.867) | 1.218 | 1.376 | 1.913 |
Distributions | ||||
Dividends from Net Investment Income | (.368) | (.465) | (.558) | (.273) |
Distributions from Realized Capital Gains | (.285) | (.053) | (.258) | — |
Total Distributions | (.653) | (.518) | (.816) | (.273) |
Net Asset Value, End of Period | $26.39 | $27.91 | $27.21 | $26.65 |
Total Return2 | -3.17% | 4.52% | 5.36% | 7.69% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $59 | $117 | $118 | $73 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09%3 |
Ratio of Net Investment Income to Average Net Assets | 1.35% | 1.70% | 2.14% | 2.35%3 |
Portfolio Turnover Rate4 | 54% | 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.
39
Intermediate-Term Government Bond Index Fund | ||||
Financial Highlights | ||||
ETF Shares | ||||
Nov. 19, | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $66.58 | $64.91 | $63.58 | $60.00 |
Investment Operations | ||||
Net Investment Income | .861 | 1.097 | 1.301 | .961 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.940) | 1.791 | 1.949 | 3.579 |
Total from Investment Operations | (2.079) | 2.888 | 3.250 | 4.540 |
Distributions | ||||
Dividends from Net Investment Income | (.861) | (1.094) | (1.304) | (.960) |
Distributions from Realized Capital Gains | (.680) | (.124) | (.616) | — |
Total Distributions | (1.541) | (1.218) | (1.920) | (.960) |
Net Asset Value, End of Period | $62.96 | $66.58 | $64.91 | $63.58 |
Total Return | -3.18% | 4.50% | 5.30% | 7.65% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $123 | $133 | $55 | $38 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.32% | 1.67% | 2.09% | 2.29%2 |
Portfolio Turnover Rate3 | 54% | 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, 2010–2013), 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, 2013, the fund had contributed capital of $33,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 276,225 | — |
Temporary Cash Investments | 1,768 | — | — |
Total | 1,768 | 276,225 | — |
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, 2013, the fund realized $3,291,000 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 $944,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at August 31, 2013, the fund had short-term and long-term capital gains of $76,000 and $838,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
At August 31, 2013, the cost of investment securities for tax purposes was $282,525,000. Net unrealized depreciation of investment securities for tax purposes was $4,532,000, consisting of unrealized gains of $1,367,000 on securities that had risen in value since their purchase and $5,899,000 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, 2013, the fund purchased $271,574,000 of investment securities and sold $260,745,000 of investment securities, other than temporary cash investments. Purchases and sales include $102,953,000 and $106,061,000, 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, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 82,433 | 3,768 | 31,176 | 1,401 |
Issued in Lieu of Cash Distributions | 1,291 | 59 | 306 | 14 |
Redeemed | (19,311) | (882) | (5,741) | (258) |
Net Increase (Decrease) —Signal Shares | 64,413 | 2,945 | 25,741 | 1,157 |
Institutional Shares | ||||
Issued1 | 7,164 | 260 | 34,026 | 1,236 |
Issued in Lieu of Cash Distributions | 1,800 | 66 | 1,731 | 63 |
Redeemed | (63,066) | (2,285) | (39,315) | (1,415) |
Net Increase (Decrease) —Institutional Shares | (54,102) | (1,959) | (3,558) | (116) |
ETF Shares | ||||
Issued1 | 104,369 | 1,600 | 78,722 | 1,200 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (107,292) | (1,650) | (3,311) | (50) |
Net Increase (Decrease)—ETF Shares | (2,923) | (50) | 75,411 | 1,150 |
1 Includes purchase fees for fiscal 2013 and 2012 of $15,000 and $10,000, respectively (fund totals). |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition in these financial statements. On October 16, 2013, Signal Shares were renamed Admiral Shares.
43
Long-Term Government Bond Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Signal | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VLGSX | VLGIX | VGLT |
Expense Ratio1 | 0.12% | 0.09% | 0.12% |
30-Day SEC Yield | 3.49% | 3.52% | 3.49% |
Financial Attributes | |||
Barclays | |||
Long Gov | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 64 | 94 | 8,445 |
Yield to Maturity | |||
(before expenses) | 3.6% | 3.6% | 2.4% |
Average Coupon | 4.2% | 4.1% | 3.3% |
Average Duration | 16.0 years | 16.0 years | 5.5 years |
Average Effective | |||
Maturity | 24.3 years | 24.3 years | 7.4 years |
Short-Term | |||
Reserves | 1.4% | — | — |
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.
Volatility Measures | ||
Barclays | ||
Long Gov | Barclays | |
Float Adj | Aggregate | |
Index | FA Index | |
R-Squared | 0.99 | 0.60 |
Beta | 1.01 | 3.46 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Distribution by Effective Maturity | ||
(% of portfolio) | ||
Under 1 Year | 0.2% | |
10 - 20 Years | 24.4 | |
20 - 30 Years | 74.9 | |
Over 30 Years | 0.5 | |
Distribution by Credit Quality (% of portfolio) | ||
U.S. Government | 99.8% | |
Aaa | 0.2 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx46x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, 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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx47x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
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 | -13.13% | 6.25% | $12,575 | |
Long-Term Government Bond Index | ||||
Fund ETF Shares Market Price | -13.07 | 6.28 | 12,588 | |
Barclays U.S. Long Government Float | ||||
•••••••• | Adjusted Index | -12.46 | 6.48 | 12,680 |
– – – – | General U.S. Government Funds | |||
Average | -4.20 | 3.26 | 11,291 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | -2.41 | 3.91 | 11,560 |
For a benchmark description, see the Glossary.
General U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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, 2013 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (3/1/2010) | Investment | |
Long-Term Government Bond Index Fund | |||
Signal Shares | -13.13% | 7.18% | $12,746 |
Barclays U.S. Long Government Float | |||
Adjusted Index | -12.46 | 7.42 | 12,847 |
Barclays U.S. Aggregate Float Adjusted Index | -2.41 | 3.94 | 11,451 |
"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 | -13.10% | 4.88% | $5,791,909 |
Barclays U.S. Long Government Float | |||
Adjusted Index | -12.46 | 5.05 | 5,821,867 |
Barclays U.S. Aggregate Float Adjusted | |||
Index | -2.41 | 3.02 | 5,480,435 |
"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, 2013 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Long-Term Government Bond Index Fund ETF | ||
Shares Market Price | -13.07% | 25.88% |
Long-Term Government Bond Index Fund ETF | ||
Shares Net Asset Value | -13.13 | 25.75 |
Barclays U.S. Long Government Float Adjusted | ||
Index | -12.46 | 26.80 |
"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, 2013 | ||
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 |
2013 | -13.13 | -12.46 |
Average Annual Total Returns: Periods Ended June 30, 2013
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 | -8.39% | 3.44% | 5.12% | 8.56% |
Institutional Shares | 7/30/2010 | -8.36 | 3.35 | 2.95 | 6.30 |
ETF Shares | 11/19/2009 | ||||
Market Price | -8.37 | 7.47 | |||
Net Asset Value | -8.37 | 7.48 |
47
Long-Term Government Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2013
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 (99.1%) | ||||
U.S. Government Securities (91.3%) | ||||
United States Treasury Note/Bond | 7.500% | 11/15/24 | 605 | 873 |
United States Treasury Note/Bond | 7.625% | 2/15/25 | 240 | 351 |
United States Treasury Note/Bond | 6.875% | 8/15/25 | 703 | 979 |
United States Treasury Note/Bond | 6.000% | 2/15/26 | 1,551 | 2,027 |
United States Treasury Note/Bond | 6.750% | 8/15/26 | 460 | 641 |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 949 | 1,298 |
United States Treasury Note/Bond | 6.625% | 2/15/27 | 633 | 876 |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 1,033 | 1,406 |
United States Treasury Note/Bond | 6.125% | 11/15/27 | 1,860 | 2,482 |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 893 | 1,129 |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 754 | 931 |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 1,260 | 1,556 |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 829 | 1,119 |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 1,192 | 1,638 |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 1,435 | 1,811 |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 2,545 | 2,924 |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 1,080 | 1,284 |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 991 | 1,219 |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 1,094 | 1,233 |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 2,116 | 2,429 |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 1,940 | 1,894 |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 2,132 | 2,357 |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 2,280 | 2,621 |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 2,297 | 2,589 |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 3,967 | 4,645 |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 3,513 | 3,958 |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 3,373 | 3,501 |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 2,802 | 3,093 |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 2,763 | 3,299 |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 2,604 | 2,933 |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 3,420 | 3,464 |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 4,830 | 4,340 |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 4,440 | 3,984 |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 3,850 | 3,361 |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 5,320 | 4,393 |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 5,665 | 4,671 |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 5,550 | 4,955 |
48
Long-Term Government Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
United States Treasury Note/Bond | 2.875% | 5/15/43 | 5,490 | 4,644 | |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 3,750 | 3,694 | |
96,602 | |||||
Agency Bonds and Notes (7.8%) | |||||
1 | Federal Home Loan Banks | 5.500% | 7/15/36 | 360 | 425 |
2 | Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 355 | 477 |
2 | Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 455 | 613 |
2 | Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 590 | 765 |
2 | Federal National Mortgage Assn. | 6.250% | 5/15/29 | 450 | 574 |
2 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 480 | 664 |
2 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 525 | 735 |
2 | Federal National Mortgage Assn. | 6.625% | 11/15/30 | 650 | 866 |
2 | Federal National Mortgage Assn. | 5.625% | 7/15/37 | 175 | 215 |
Israel Government AID Bond | 5.500% | 9/18/23 | 125 | 147 | |
Israel Government AID Bond | 5.500% | 12/4/23 | 127 | 149 | |
Israel Government AID Bond | 5.500% | 4/26/24 | 375 | 442 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 205 | 184 | |
1 | Tennessee Valley Authority | 6.750% | 11/1/25 | 330 | 421 |
1 | Tennessee Valley Authority | 7.125% | 5/1/30 | 150 | 201 |
1 | Tennessee Valley Authority | 4.650% | 6/15/35 | 75 | 76 |
1 | Tennessee Valley Authority | 5.880% | 4/1/36 | 220 | 264 |
1 | Tennessee Valley Authority | 6.150% | 1/15/38 | 225 | 280 |
1 | Tennessee Valley Authority | 5.500% | 6/15/38 | 150 | 169 |
1 | Tennessee Valley Authority | 5.250% | 9/15/39 | 27 | 29 |
1 | Tennessee Valley Authority | 3.500% | 12/15/42 | 150 | 120 |
1 | Tennessee Valley Authority | 4.875% | 1/15/48 | 95 | 95 |
1 | Tennessee Valley Authority | 5.375% | 4/1/56 | 215 | 236 |
1 | Tennessee Valley Authority | 4.625% | 9/15/60 | 150 | 140 |
8,287 | |||||
Total U.S. Government and Agency Obligations (Cost $115,995) | 104,889 | ||||
Shares | |||||
Temporary Cash Investment (1.4%) | |||||
Money Market Fund (1.4%) | |||||
3 | Vanguard Market Liquidity Fund (Cost $1,444) | 0.122% | 1,444,000 | 1,444 | |
Total Investments (100.5%) (Cost $117,439) | 106,333 | ||||
Other Assets and Liabilities (-0.5%) | |||||
Other Assets | 25,729 | ||||
Liabilities | (26,213) | ||||
(484) | |||||
Net Assets (100%) | 105,849 |
49
Long-Term Government Bond Index Fund | |
At August 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 123,675 |
Undistributed Net Investment Income | 10 |
Accumulated Net Realized Losses | (6,730) |
Unrealized Appreciation (Depreciation) | (11,106) |
Net Assets | 105,849 |
Signal Shares—Net Assets | |
Applicable to 269,126 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,006 |
Net Asset Value Per Share—Signal Shares | $22.32 |
Institutional Shares—Net Assets | |
Applicable to 1,300,736 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 36,832 |
Net Asset Value Per Share—Institutional Shares | $28.32 |
ETF Shares—Net Assets | |
Applicable to 950,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 63,011 |
Net Asset Value Per Share—ETF Shares | $66.33 |
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 Assets and Liabilities | |
As of August 31, 2013 | |
Market | |
Value | |
($000) | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 104,889 |
Affiliated Vanguard Funds | 1,444 |
Total Investments in Securities | 106,333 |
Receivables for Investment Securities Sold | 24,233 |
Other Assets | 1,496 |
Total Assets | 132,062 |
Liabilities | |
Payables for Capital Shares Redeemed | 21,909 |
Other Liabilities | 4,304 |
Total Liabilities | 26,213 |
Net Assets | 105,849 |
See Note A in Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
51
Long-Term Government Bond Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 6,863 |
Total Income | 6,863 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 7 |
Management and Administrative—Signal Shares | 6 |
Management and Administrative—Institutional Shares | 42 |
Management and Administrative—ETF Shares | 90 |
Marketing and Distribution—Signal Shares | — |
Marketing and Distribution—Institutional Shares | 23 |
Marketing and Distribution—ETF Shares | 36 |
Custodian Fees | 1 |
Auditing Fees | 42 |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 6 |
Total Expenses | 253 |
Net Investment Income | 6,610 |
Realized Net Gain (Loss) on Investment Securities Sold | (2,529) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (30,324) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (26,243) |
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.
52
Long-Term Government Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 6,610 | 4,146 |
Realized Net Gain (Loss) | (2,529) | 7,144 |
Change in Unrealized Appreciation (Depreciation) | (30,324) | 11,088 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (26,243) | 22,378 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (156) | (84) |
Institutional Shares | (2,707) | (2,170) |
ETF Shares | (3,753) | (1,875) |
Realized Capital Gain1 | ||
Signal Shares | (10) | — |
Institutional Shares | (198) | — |
ETF Shares | (157) | — |
Total Distributions | (6,981) | (4,129) |
Capital Share Transactions | ||
Signal Shares | 1,704 | 3,695 |
Institutional Shares | (31,020) | 12,630 |
ETF Shares | 4,671 | 33,114 |
Net Increase (Decrease) from Capital Share Transactions | (24,645) | 49,439 |
Total Increase (Decrease) | (57,869) | 67,688 |
Net Assets | ||
Beginning of Period | 163,718 | 96,030 |
End of Period2 | 105,849 | 163,718 |
1 Includes fiscal 2013 short-term gain distributions totaling $54,000. 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 $10,000 and $16,000.
See accompanying Notes, which are an integral part of the Financial Statements.
53
Long-Term Government Bond Index Fund | ||||
Financial Highlights | ||||
Signal Shares | ||||
March 1, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $26.48 | $22.91 | $22.75 | $19.66 |
Investment Operations | ||||
Net Investment Income | .693 | .746 | .780 | .364 |
Net Realized and Unrealized Gain (Loss) on Investments | (4.112) | 3.567 | .182 | 3.084 |
Total from Investment Operations | (3.419) | 4.313 | .962 | 3.448 |
Distributions | ||||
Dividends from Net Investment Income | (.693) | (.743) | (.781) | (.358) |
Distributions from Realized Capital Gains | (.048) | — | (.021) | — |
Total Distributions | (.741) | (.743) | (.802) | (.358) |
Net Asset Value, End of Period | $22.32 | $26.48 | $22.91 | $22.75 |
Total Return2 | -13.13% | 19.05% | 4.66% | 17.75% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $6 | $5 | $1 | $1 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 2.80% | 2.99% | 3.68% | 3.75%3 |
Portfolio Turnover Rate4 | 54% | 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 | ||||
Institutional Shares | ||||
July 30, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $33.60 | $29.06 | $28.87 | $27.07 |
Investment Operations | ||||
Net Investment Income | .890 | .956 | 1.003 | .070 |
Net Realized and Unrealized Gain (Loss) on Investments | (5.219) | 4.537 | .218 | 1.799 |
Total from Investment Operations | (4.329) | 5.493 | 1.221 | 1.869 |
Distributions | ||||
Dividends from Net Investment Income | (.890) | (.953) | (1.004) | (.069) |
Distributions from Realized Capital Gains | (.061) | — | (.027) | — |
Total Distributions | (.951) | (.953) | (1.031) | (.069) |
Net Asset Value, End of Period | $28.32 | $33.60 | $29.06 | $28.87 |
Total Return2 | -13.10% | 19.13% | 4.67% | 6.91% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $37 | $84 | $61 | $9 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09%3 |
Ratio of Net Investment Income to Average Net Assets | 2.83% | 3.02% | 3.73% | 3.81%3 |
Portfolio Turnover Rate4 | 54% | 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 pplicable 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.
55
Long-Term Government Bond Index Fund | ||||
Financial Highlights | ||||
ETF Shares | ||||
Nov. 19, | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $78.69 | $68.07 | $67.61 | $59.84 |
Investment Operations | ||||
Net Investment Income | 2.055 | 2.213 | 2.321 | 1.691 |
Net Realized and Unrealized Gain (Loss) on Investments | (12.216) | 10.611 | .526 | 7.768 |
Total from Investment Operations | (10.161) | 12.824 | 2.847 | 9.459 |
Distributions | ||||
Dividends from Net Investment Income | (2.056) | (2.204) | (2.324) | (1.689) |
Distributions from Realized Capital Gains | (.143) | — | (.063) | — |
Total Distributions | (2.199) | (2.204) | (2.387) | (1.689) |
Net Asset Value, End of Period | $66.33 | $78.69 | $68.07 | $67.61 |
Total Return | -13.13% | 19.06% | 4.63% | 16.21% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $63 | $75 | $34 | $78 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 2.80% | 2.99% | 3.68% | 3.75%2 |
Portfolio Turnover Rate3 | 54% | 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.
56
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, 2010–2013), 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, 2013, the fund had contributed capital of $18,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
57
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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 104,889 | — |
Temporary Cash Investments | 1,444 | — | — |
Total | 1,444 | 104,889 | — |
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, 2013, the fund realized $4,079,000 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, 2013, the fund had available capital losses totaling $6,699,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2013, the cost of investment securities for tax purposes was $117,439,000. Net unrealized depreciation of investment securities for tax purposes was $11,106,000, consisting of unrealized gains of $135,000 on securities that had risen in value since their purchase and $11,241,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2013, the fund purchased $349,957,000 of investment securities and sold $373,288,000 of investment securities, other than temporary cash investments. Purchases and sales include $227,965,000 and $245,655,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
58
Long-Term Government Bond Index Fund
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 3,088 | 128 | 4,461 | 176 |
Issued in Lieu of Cash Distributions | 166 | 7 | 84 | 3 |
Redeemed | (1,550) | (64) | (850) | (34) |
Net Increase (Decrease) —Signal Shares | 1,704 | 71 | 3,695 | 145 |
Institutional Shares | ||||
Issued1 | 31,632 | 971 | 41,946 | 1,322 |
Issued in Lieu of Cash Distributions | 2,905 | 93 | 2,170 | 68 |
Redeemed | (65,557) | (2,255) | (31,486) | (989) |
Net Increase (Decrease) —Institutional Shares | (31,020) | (1,191) | 12,630 | 401 |
ETF Shares | ||||
Issued1 | 231,737 | 3,150 | 59,782 | 800 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (227,066) | (3,150) | (26,668) | (350) |
Net Increase (Decrease) —ETF Shares | 4,671 | — | 33,114 | 450 |
1 Includes purchase fees for fiscal 2013 and 2012 of $24,000 and $7,000, respectively (fund totals). |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition in these financial statements. On October 16, 2013, Signal Shares were renamed Admiral Shares.
59
Short-Term Corporate Bond Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Signal | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VSCSX | VSTBX | VCSH |
Expense Ratio1 | 0.12% | 0.09% | 0.12% |
30-Day SEC Yield | 1.63% | 1.66% | 1.63% |
Financial Attributes | |||
Barclays | |||
1–5 Year | Barclays | ||
Corporate | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 1,572 | 1,795 | 8,445 |
Yield to Maturity | |||
(before expenses) | 1.9% | 1.9% | 2.4% |
Average Coupon | 3.9% | 4.0% | 3.3% |
Average Duration | 2.9 years | 2.9 years | 5.5 years |
Average Effective | |||
Maturity | 3.1 years | 3.1 years | 7.4 years |
Short-Term | |||
Reserves | 0.2% | — | — |
Sector Diversification (% of portfolio) | |||
Finance | 44.8% | ||
Industrial | 48.1 | ||
Utilities | 6.9 | ||
Other | 0.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | ||
1–5 Year | Barclays | |
Corporate | Aggregate | |
Index | FA Index | |
R-Squared | 0.99 | 0.31 |
Beta | 1.03 | 0.44 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. | ||
Distribution by Effective Maturity | ||
(% of portfolio) | ||
Under 1 Year | 0.4% | |
1 - 3 Years | 47.4 | |
3 - 5 Years | 52.2 | |
Distribution by Credit Quality (% of portfolio) | ||
Aaa | 0.7% | |
Aa | 12.5 | |
A | 51.2 | |
Baa | 35.6 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx62x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares, and 0.12% for ETF Shares.
60
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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx63x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
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 | 1.03% | 3.69% | $11,469 | |
Short-Term Corporate Bond Index | ||||
Fund ETF Shares Market Price | 0.93 | 3.76 | 11,498 | |
Barclays U.S. 1–5 Year Corporate | ||||
•••••••• | Bond Index | 1.29 | 4.00 | 11,599 |
– – – – | Short-Intermediate Investment-Grade | |||
Debt Funds Average | -0.24 | 3.28 | 11,298 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | -2.41 | 3.91 | 11,560 |
For a benchmark description, see the Glossary.
Short-Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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.
61
Short-Term Corporate Bond Index Fund
Average Annual Total Returns | |||
Periods Ended August 31, 2013 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (11/18/2010) | Investment | |
Short-Term Corporate Bond Index Fund | |||
Signal Shares | 0.78% | 2.77% | $10,791 |
Barclays U.S. 1–5 Year Corporate Bond Index | 1.29 | 3.10 | 10,887 |
Barclays U.S. Aggregate Float Adjusted Index | -2.41 | 3.00 | 10,859 |
"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 | 0.81% | 3.67% | $5,729,059 |
Barclays U.S. 1–5 Year Corporate Bond Index | 1.29 | 4.00 | 5,799,678 |
Spliced Barclays U.S. Aggregate Float | |||
Adjusted Index | -2.41 | 3.91 | 5,780,027 |
"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, 2013 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Short-Term Corporate Bond Index Fund ETF Shares | ||
Market Price | 0.93% | 14.98% |
Short-Term Corporate Bond Index Fund ETF Shares | ||
Net Asset Value | 1.03 | 14.69 |
Barclays U.S. 1–5 Year Corporate Bond Index | 1.29 | 15.99 |
"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.
62
Short-Term Corporate Bond Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 2013 | ||
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 |
2013 | 1.03 | 1.29 |
Average Annual Total Returns: Periods Ended June 30, 2013
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Since Inception | |||||
Inception Date | One Year | Income | Capital | Total | |
Signal Shares | 11/18/2010 | 2.23% | 2.26% | 0.62% | 2.88% |
Fee-Adjusted Returns | 1.97 | 2.78 | |||
Institutional Shares | 11/19/2009 | 2.28 | 2.30 | 1.49 | 3.79 |
Fee-Adjusted Returns | 2.03 | 3.72 | |||
ETF Shares | 11/19/2009 | ||||
Market Price | 2.06 | 3.82 | |||
Net Asset Value | 2.23 | 3.75 |
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.
63
Short-Term Corporate Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2013
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 (0.2%) | ||||
U.S. Government Securities (0.2%) | ||||
United States Treasury | ||||
Note/Bond (Cost $13,135) | 1.500% | 8/31/18 | 13,200 | 13,118 |
Corporate Bonds (99.1%) | ||||
Finance (44.5%) | ||||
Banking (33.0%) | ||||
Abbey National Treasury Services plc | 4.000% | 4/27/16 | 8,175 | 8,665 |
Abbey National Treasury Services plc | 3.050% | 8/23/18 | 4,750 | 4,760 |
American Express Bank FSB | 6.000% | 9/13/17 | 5,880 | 6,752 |
American Express Centurion Bank | 0.875% | 11/13/15 | 2,900 | 2,894 |
American Express Centurion Bank | 5.950% | 6/12/17 | 300 | 341 |
American Express Centurion Bank | 6.000% | 9/13/17 | 4,299 | 4,933 |
American Express Co. | 5.500% | 9/12/16 | 3,350 | 3,728 |
American Express Co. | 6.150% | 8/28/17 | 7,050 | 8,131 |
American Express Co. | 7.000% | 3/19/18 | 6,450 | 7,714 |
American Express Co. | 1.550% | 5/22/18 | 4,750 | 4,591 |
1 American Express Co. | 6.800% | 9/1/66 | 3,150 | 3,355 |
American Express Credit Corp. | 5.125% | 8/25/14 | 438 | 457 |
American Express Credit Corp. | 1.750% | 6/12/15 | 8,475 | 8,603 |
American Express Credit Corp. | 2.750% | 9/15/15 | 9,725 | 10,084 |
American Express Credit Corp. | 1.300% | 7/29/16 | 6,625 | 6,639 |
American Express Credit Corp. | 2.800% | 9/19/16 | 11,025 | 11,501 |
American Express Credit Corp. | 2.375% | 3/24/17 | 9,725 | 9,932 |
American Express Credit Corp. | 2.125% | 7/27/18 | 4,100 | 4,070 |
Australia & New Zealand Banking Group Ltd. | 0.900% | 2/12/16 | 8,330 | 8,273 |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 4,125 | 4,084 |
Bancolombia SA | 4.250% | 1/12/16 | 1,500 | 1,548 |
Bancolombia SA | 5.950% | 6/3/21 | 100 | 101 |
Bank of America Corp. | 4.500% | 4/1/15 | 15,450 | 16,202 |
Bank of America Corp. | 4.750% | 8/1/15 | 7,625 | 8,083 |
Bank of America Corp. | 7.750% | 8/15/15 | 1,000 | 1,113 |
Bank of America Corp. | 3.700% | 9/1/15 | 10,450 | 10,905 |
Bank of America Corp. | 1.500% | 10/9/15 | 11,775 | 11,794 |
Bank of America Corp. | 5.250% | 12/1/15 | 4,000 | 4,311 |
Bank of America Corp. | 1.250% | 1/11/16 | 4,825 | 4,794 |
Bank of America Corp. | 3.625% | 3/17/16 | 9,625 | 10,077 |
Bank of America Corp. | 3.750% | 7/12/16 | 15,200 | 16,007 |
Bank of America Corp. | 6.500% | 8/1/16 | 15,400 | 17,346 |
Bank of America Corp. | 5.750% | 8/15/16 | 3,200 | 3,502 |
64
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bank of America Corp. | 7.800% | 9/15/16 | 3,400 | 3,894 |
Bank of America Corp. | 5.625% | 10/14/16 | 6,775 | 7,511 |
Bank of America Corp. | 5.420% | 3/15/17 | 4,875 | 5,260 |
Bank of America Corp. | 3.875% | 3/22/17 | 8,800 | 9,265 |
Bank of America Corp. | 6.000% | 9/1/17 | 7,475 | 8,389 |
Bank of America Corp. | 5.750% | 12/1/17 | 13,800 | 15,425 |
Bank of America Corp. | 2.000% | 1/11/18 | 17,075 | 16,502 |
Bank of America Corp. | 5.650% | 5/1/18 | 17,250 | 19,218 |
Bank of America NA | 5.300% | 3/15/17 | 7,575 | 8,272 |
Bank of America NA | 6.100% | 6/15/17 | 2,475 | 2,766 |
Bank of Montreal | 0.800% | 11/6/15 | 5,350 | 5,344 |
Bank of Montreal | 1.300% | 7/15/16 | 4,675 | 4,673 |
Bank of Montreal | 2.500% | 1/11/17 | 9,530 | 9,751 |
Bank of Montreal | 1.400% | 9/11/17 | 8,635 | 8,435 |
Bank of Montreal | 1.450% | 4/9/18 | 2,800 | 2,697 |
Bank of New York Mellon Corp. | 1.700% | 11/24/14 | 2,100 | 2,131 |
Bank of New York Mellon Corp. | 3.100% | 1/15/15 | 7,900 | 8,157 |
Bank of New York Mellon Corp. | 1.200% | 2/20/15 | 1,950 | 1,963 |
Bank of New York Mellon Corp. | 4.950% | 3/15/15 | 1,528 | 1,620 |
Bank of New York Mellon Corp. | 2.950% | 6/18/15 | 2,050 | 2,131 |
Bank of New York Mellon Corp. | 0.700% | 10/23/15 | 3,975 | 3,968 |
Bank of New York Mellon Corp. | 2.500% | 1/15/16 | 1,875 | 1,934 |
Bank of New York Mellon Corp. | 0.700% | 3/4/16 | 700 | 692 |
Bank of New York Mellon Corp. | 2.300% | 7/28/16 | 11,450 | 11,797 |
Bank of New York Mellon Corp. | 2.400% | 1/17/17 | 3,425 | 3,498 |
Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 550 | 554 |
Bank of New York Mellon Corp. | 1.350% | 3/6/18 | 5,050 | 4,877 |
Bank of Nova Scotia | 1.850% | 1/12/15 | 4,290 | 4,357 |
Bank of Nova Scotia | 3.400% | 1/22/15 | 10,825 | 11,221 |
Bank of Nova Scotia | 2.050% | 10/7/15 | 8,550 | 8,749 |
Bank of Nova Scotia | 0.750% | 10/9/15 | 9,550 | 9,528 |
Bank of Nova Scotia | 0.950% | 3/15/16 | 290 | 289 |
Bank of Nova Scotia | 2.900% | 3/29/16 | 7,300 | 7,617 |
Bank of Nova Scotia | 1.375% | 7/15/16 | 1,300 | 1,303 |
Bank of Nova Scotia | 2.550% | 1/12/17 | 4,815 | 4,953 |
Bank of Nova Scotia | 1.375% | 12/18/17 | 7,500 | 7,274 |
Bank of Nova Scotia | 1.450% | 4/25/18 | 1,900 | 1,837 |
Bank One Corp. | 4.900% | 4/30/15 | 2,000 | 2,117 |
Barclays Bank plc | 2.750% | 2/23/15 | 5,400 | 5,535 |
Barclays Bank plc | 3.900% | 4/7/15 | 4,200 | 4,387 |
Barclays Bank plc | 5.000% | 9/22/16 | 11,575 | 12,726 |
BB&T Corp. | 5.200% | 12/23/15 | 5,315 | 5,778 |
BB&T Corp. | 3.200% | 3/15/16 | 3,925 | 4,095 |
BB&T Corp. | 3.950% | 4/29/16 | 2,100 | 2,243 |
BB&T Corp. | 2.150% | 3/22/17 | 5,975 | 6,005 |
BB&T Corp. | 4.900% | 6/30/17 | 2,575 | 2,798 |
BB&T Corp. | 1.600% | 8/15/17 | 2,630 | 2,584 |
BB&T Corp. | 1.450% | 1/12/18 | 1,000 | 970 |
BB&T Corp. | 2.050% | 6/19/18 | 2,300 | 2,267 |
BBVA US Senior SAU | 4.664% | 10/9/15 | 11,850 | 12,253 |
Bear Stearns Cos. LLC | 5.700% | 11/15/14 | 10,452 | 11,063 |
Bear Stearns Cos. LLC | 5.300% | 10/30/15 | 2,100 | 2,275 |
Bear Stearns Cos. LLC | 5.550% | 1/22/17 | 5,900 | 6,501 |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 9,725 | 11,221 |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 15,600 | 18,526 |
BNP Paribas SA | 3.250% | 3/11/15 | 9,095 | 9,385 |
65
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
BNP Paribas SA | 3.600% | 2/23/16 | 11,100 | 11,670 |
BNP Paribas SA | 2.375% | 9/14/17 | 11,400 | 11,421 |
BNP Paribas SA | 2.700% | 8/20/18 | 8,100 | 8,052 |
Canadian Imperial Bank of Commerce | 0.900% | 10/1/15 | 6,275 | 6,274 |
Canadian Imperial Bank of Commerce | 2.350% | 12/11/15 | 7,820 | 8,060 |
Canadian Imperial Bank of Commerce | 1.350% | 7/18/16 | 1,950 | 1,956 |
Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 1,100 | 1,070 |
Capital One Financial Corp. | 2.150% | 3/23/15 | 5,675 | 5,765 |
Capital One Financial Corp. | 1.000% | 11/6/15 | 3,900 | 3,869 |
Capital One Financial Corp. | 3.150% | 7/15/16 | 4,175 | 4,340 |
Capital One Financial Corp. | 6.150% | 9/1/16 | 7,800 | 8,660 |
Capital One Financial Corp. | 6.750% | 9/15/17 | 4,025 | 4,676 |
Capital One NA | 1.500% | 3/22/18 | 1,775 | 1,702 |
Citigroup Inc. | 6.375% | 8/12/14 | 10,950 | 11,525 |
Citigroup Inc. | 5.000% | 9/15/14 | 15,172 | 15,762 |
Citigroup Inc. | 5.500% | 10/15/14 | 11,725 | 12,329 |
Citigroup Inc. | 6.010% | 1/15/15 | 7,050 | 7,512 |
Citigroup Inc. | 2.650% | 3/2/15 | 8,725 | 8,913 |
Citigroup Inc. | 4.875% | 5/7/15 | 3,911 | 4,125 |
Citigroup Inc. | 4.750% | 5/19/15 | 10,910 | 11,567 |
Citigroup Inc. | 4.700% | 5/29/15 | 3,900 | 4,127 |
Citigroup Inc. | 2.250% | 8/7/15 | 6,500 | 6,613 |
Citigroup Inc. | 4.587% | 12/15/15 | 8,325 | 8,896 |
Citigroup Inc. | 5.300% | 1/7/16 | 3,575 | 3,868 |
Citigroup Inc. | 1.250% | 1/15/16 | 10,540 | 10,450 |
Citigroup Inc. | 1.300% | 4/1/16 | 3,075 | 3,049 |
Citigroup Inc. | 3.953% | 6/15/16 | 12,165 | 12,885 |
Citigroup Inc. | 1.700% | 7/25/16 | 7,775 | 7,768 |
Citigroup Inc. | 4.450% | 1/10/17 | 11,400 | 12,260 |
Citigroup Inc. | 5.500% | 2/15/17 | 8,299 | 9,011 |
Citigroup Inc. | 6.000% | 8/15/17 | 8,226 | 9,299 |
Citigroup Inc. | 6.125% | 11/21/17 | 20,270 | 23,229 |
Citigroup Inc. | 1.750% | 5/1/18 | 7,575 | 7,264 |
Citigroup Inc. | 6.125% | 5/15/18 | 10,244 | 11,730 |
Comerica Bank | 5.750% | 11/21/16 | 2,225 | 2,511 |
Comerica Bank | 5.200% | 8/22/17 | 1,675 | 1,845 |
Comerica Inc. | 4.800% | 5/1/15 | 1,500 | 1,581 |
Comerica Inc. | 3.000% | 9/16/15 | 3,375 | 3,504 |
Commonwealth Bank of Australia | 1.950% | 3/16/15 | 8,350 | 8,499 |
Commonwealth Bank of Australia | 1.250% | 9/18/15 | 4,425 | 4,465 |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 8,450 | 8,402 |
Compass Bank | 6.400% | 10/1/17 | 1,730 | 1,848 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 2.125% | 10/13/15 | 7,125 | 7,295 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 3.375% | 1/19/17 | 13,900 | 14,628 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 1.700% | 3/19/18 | 8,525 | 8,302 |
Corpbanca SA | 3.125% | 1/15/18 | 1,700 | 1,528 |
Countrywide Financial Corp. | 6.250% | 5/15/16 | 2,245 | 2,451 |
Credit Suisse | 3.500% | 3/23/15 | 9,475 | 9,877 |
Credit Suisse | 6.000% | 2/15/18 | 7,600 | 8,507 |
Credit Suisse USA Inc. | 4.875% | 1/15/15 | 7,400 | 7,814 |
Credit Suisse USA Inc. | 5.125% | 8/15/15 | 7,895 | 8,532 |
Credit Suisse USA Inc. | 5.375% | 3/2/16 | 4,725 | 5,193 |
Credit Suisse USA Inc. | 5.850% | 8/16/16 | 2,600 | 2,929 |
66
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Deutsche Bank AG | 3.450% | 3/30/15 | 6,665 | 6,931 |
Deutsche Bank AG | 3.250% | 1/11/16 | 9,960 | 10,403 |
Deutsche Bank AG | 6.000% | 9/1/17 | 16,990 | 19,395 |
Deutsche Bank Financial LLC | 5.375% | 3/2/15 | 3,750 | 3,944 |
Discover Bank | 2.000% | 2/21/18 | 4,575 | 4,424 |
Discover Financial Services | 6.450% | 6/12/17 | 2,175 | 2,448 |
Fifth Third Bancorp | 3.625% | 1/25/16 | 7,586 | 7,968 |
Fifth Third Bancorp | 5.450% | 1/15/17 | 1,755 | 1,921 |
Fifth Third Bancorp | 4.500% | 6/1/18 | 1,875 | 1,992 |
Fifth Third Bank | 4.750% | 2/1/15 | 1,425 | 1,494 |
Fifth Third Bank | 0.900% | 2/26/16 | 750 | 740 |
Fifth Third Bank | 1.450% | 2/28/18 | 2,000 | 1,920 |
First Horizon National Corp. | 5.375% | 12/15/15 | 2,025 | 2,186 |
First Tennessee Bank NA | 5.650% | 4/1/16 | 1,500 | 1,623 |
Goldman Sachs Group Inc. | 5.000% | 10/1/14 | 3,000 | 3,133 |
Goldman Sachs Group Inc. | 5.500% | 11/15/14 | 5,950 | 6,261 |
Goldman Sachs Group Inc. | 5.125% | 1/15/15 | 10,700 | 11,280 |
Goldman Sachs Group Inc. | 3.300% | 5/3/15 | 11,125 | 11,512 |
Goldman Sachs Group Inc. | 3.700% | 8/1/15 | 13,075 | 13,664 |
Goldman Sachs Group Inc. | 1.600% | 11/23/15 | 9,475 | 9,522 |
Goldman Sachs Group Inc. | 5.350% | 1/15/16 | 9,775 | 10,625 |
Goldman Sachs Group Inc. | 3.625% | 2/7/16 | 17,750 | 18,587 |
Goldman Sachs Group Inc. | 5.750% | 10/1/16 | 10,575 | 11,747 |
Goldman Sachs Group Inc. | 5.625% | 1/15/17 | 13,900 | 15,116 |
Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 13,575 | 15,329 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 14,834 | 16,546 |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 16,400 | 16,025 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 18,800 | 21,240 |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 10,650 | 10,614 |
HSBC Bank USA NA | 6.000% | 8/9/17 | 2,050 | 2,309 |
HSBC USA Inc. | 2.375% | 2/13/15 | 10,225 | 10,458 |
HSBC USA Inc. | 1.625% | 1/16/18 | 11,300 | 10,919 |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 2,050 | 2,030 |
Huntington National Bank | 1.350% | 8/2/16 | 1,500 | 1,496 |
Intesa Sanpaolo SPA | 3.125% | 1/15/16 | 9,375 | 9,323 |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 8,350 | 8,136 |
JPMorgan Chase & Co. | 5.125% | 9/15/14 | 8,500 | 8,870 |
JPMorgan Chase & Co. | 3.700% | 1/20/15 | 16,950 | 17,578 |
JPMorgan Chase & Co. | 4.750% | 3/1/15 | 8,975 | 9,460 |
JPMorgan Chase & Co. | 1.875% | 3/20/15 | 7,225 | 7,318 |
JPMorgan Chase & Co. | 5.250% | 5/1/15 | 6,709 | 7,146 |
JPMorgan Chase & Co. | 3.400% | 6/24/15 | 6,800 | 7,083 |
JPMorgan Chase & Co. | 5.150% | 10/1/15 | 5,299 | 5,709 |
JPMorgan Chase & Co. | 1.100% | 10/15/15 | 11,150 | 11,141 |
JPMorgan Chase & Co. | 2.600% | 1/15/16 | 3,975 | 4,087 |
JPMorgan Chase & Co. | 1.125% | 2/26/16 | 6,450 | 6,418 |
JPMorgan Chase & Co. | 3.450% | 3/1/16 | 16,025 | 16,813 |
JPMorgan Chase & Co. | 3.150% | 7/5/16 | 22,950 | 23,937 |
JPMorgan Chase & Co. | 6.125% | 6/27/17 | 3,650 | 4,115 |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 13,703 | 13,608 |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 21,826 | 24,959 |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 6,350 | 6,165 |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 7,325 | 6,994 |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 12,685 | 14,407 |
KeyBank NA | 4.950% | 9/15/15 | 1,000 | 1,071 |
KeyBank NA | 5.450% | 3/3/16 | 3,600 | 3,937 |
67
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
KeyBank NA | 1.650% | 2/1/18 | 6,550 | 6,350 |
KeyCorp | 3.750% | 8/13/15 | 3,375 | 3,551 |
Lloyds Bank plc | 4.875% | 1/21/16 | 7,500 | 8,067 |
Lloyds Bank plc | 4.200% | 3/28/17 | 3,350 | 3,569 |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 2,975 | 3,459 |
Manufacturers & Traders Trust Co. | 1.450% | 3/7/18 | 2,150 | 2,082 |
1 Manufacturers & Traders Trust Co. | 5.585% | 12/28/20 | 1,500 | 1,501 |
MBNA Corp. | 5.000% | 6/15/15 | 2,800 | 2,977 |
Merrill Lynch & Co. Inc. | 5.000% | 1/15/15 | 6,400 | 6,743 |
Merrill Lynch & Co. Inc. | 6.050% | 5/16/16 | 8,550 | 9,339 |
Merrill Lynch & Co. Inc. | 5.700% | 5/2/17 | 5,560 | 6,005 |
Merrill Lynch & Co. Inc. | 6.400% | 8/28/17 | 15,410 | 17,483 |
Merrill Lynch & Co. Inc. | 6.875% | 4/25/18 | 26,300 | 30,540 |
Morgan Stanley | 4.200% | 11/20/14 | 4,750 | 4,910 |
Morgan Stanley | 4.100% | 1/26/15 | 7,275 | 7,541 |
Morgan Stanley | 6.000% | 4/28/15 | 13,300 | 14,254 |
Morgan Stanley | 4.000% | 7/24/15 | 6,750 | 7,046 |
Morgan Stanley | 5.375% | 10/15/15 | 12,050 | 12,912 |
Morgan Stanley | 3.450% | 11/2/15 | 5,000 | 5,181 |
Morgan Stanley | 1.750% | 2/25/16 | 8,650 | 8,648 |
Morgan Stanley | 3.800% | 4/29/16 | 11,300 | 11,822 |
Morgan Stanley | 5.750% | 10/18/16 | 7,575 | 8,376 |
Morgan Stanley | 5.450% | 1/9/17 | 11,775 | 12,794 |
Morgan Stanley | 4.750% | 3/22/17 | 10,575 | 11,335 |
Morgan Stanley | 5.550% | 4/27/17 | 9,255 | 10,112 |
Morgan Stanley | 6.250% | 8/28/17 | 6,225 | 7,010 |
Morgan Stanley | 5.950% | 12/28/17 | 10,775 | 12,027 |
Morgan Stanley | 6.625% | 4/1/18 | 15,700 | 17,974 |
Morgan Stanley | 2.125% | 4/25/18 | 9,850 | 9,473 |
Murray Street Investment Trust I | 4.647% | 3/9/17 | 11,125 | 11,798 |
National Australia Bank Ltd. | 2.000% | 3/9/15 | 6,450 | 6,575 |
National Australia Bank Ltd. | 1.600% | 8/7/15 | 7,825 | 7,921 |
National Australia Bank Ltd. | 0.900% | 1/20/16 | 2,925 | 2,904 |
National Australia Bank Ltd. | 1.300% | 7/25/16 | 700 | 698 |
National Australia Bank Ltd. | 2.750% | 3/9/17 | 4,550 | 4,662 |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 3,675 | 3,653 |
National Bank of Canada | 1.500% | 6/26/15 | 4,100 | 4,148 |
National Bank of Canada | 1.450% | 11/7/17 | 3,550 | 3,448 |
National City Corp. | 4.900% | 1/15/15 | 4,050 | 4,264 |
PNC Bank NA | 0.800% | 1/28/16 | 3,500 | 3,474 |
PNC Bank NA | 5.250% | 1/15/17 | 3,000 | 3,315 |
PNC Bank NA | 4.875% | 9/21/17 | 2,225 | 2,445 |
PNC Bank NA | 6.000% | 12/7/17 | 3,300 | 3,793 |
PNC Funding Corp. | 3.625% | 2/8/15 | 5,300 | 5,508 |
PNC Funding Corp. | 4.250% | 9/21/15 | 2,230 | 2,378 |
PNC Funding Corp. | 5.250% | 11/15/15 | 3,400 | 3,688 |
PNC Funding Corp. | 2.700% | 9/19/16 | 6,050 | 6,267 |
PNC Funding Corp. | 5.625% | 2/1/17 | 1,950 | 2,160 |
Regions Financial Corp. | 7.750% | 11/10/14 | 945 | 1,015 |
Regions Financial Corp. | 5.750% | 6/15/15 | 3,000 | 3,216 |
Regions Financial Corp. | 2.000% | 5/15/18 | 4,775 | 4,556 |
Royal Bank of Canada | 1.450% | 10/30/14 | 10,375 | 10,485 |
Royal Bank of Canada | 1.150% | 3/13/15 | 3,050 | 3,072 |
Royal Bank of Canada | 0.800% | 10/30/15 | 2,875 | 2,875 |
Royal Bank of Canada | 2.625% | 12/15/15 | 7,875 | 8,177 |
Royal Bank of Canada | 0.850% | 3/8/16 | 6,000 | 5,965 |
68
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Royal Bank of Canada | 2.875% | 4/19/16 | 6,575 | 6,873 |
Royal Bank of Canada | 2.300% | 7/20/16 | 4,125 | 4,251 |
Royal Bank of Canada | 1.500% | 1/16/18 | 7,500 | 7,333 |
Royal Bank of Canada | 2.200% | 7/27/18 | 7,900 | 7,884 |
Royal Bank of Scotland Group plc | 2.550% | 9/18/15 | 14,600 | 14,884 |
Royal Bank of Scotland plc | 4.875% | 3/16/15 | 3,795 | 3,981 |
Royal Bank of Scotland plc | 3.950% | 9/21/15 | 3,550 | 3,709 |
Royal Bank of Scotland plc | 4.375% | 3/16/16 | 6,700 | 7,110 |
Santander Holdings USA Inc. | 3.000% | 9/24/15 | 2,525 | 2,568 |
Santander Holdings USA Inc. | 4.625% | 4/19/16 | 2,725 | 2,874 |
Santander Holdings USA Inc. | 3.450% | 8/27/18 | 3,300 | 3,328 |
Societe Generale SA | 2.750% | 10/12/17 | 9,250 | 9,384 |
Sovereign Bank | 8.750% | 5/30/18 | 1,675 | 1,980 |
State Street Corp. | 2.875% | 3/7/16 | 8,025 | 8,376 |
State Street Corp. | 4.956% | 3/15/18 | 1,000 | 1,090 |
State Street Corp. | 1.350% | 5/15/18 | 5,250 | 5,062 |
Sumitomo Mitsui Banking Corp. | 1.350% | 7/18/15 | 3,950 | 3,974 |
Sumitomo Mitsui Banking Corp. | 0.900% | 1/18/16 | 2,475 | 2,450 |
Sumitomo Mitsui Banking Corp. | 1.450% | 7/19/16 | 3,550 | 3,551 |
Sumitomo Mitsui Banking Corp. | 1.800% | 7/18/17 | 4,275 | 4,239 |
Sumitomo Mitsui Banking Corp. | 1.500% | 1/18/18 | 4,400 | 4,241 |
Sumitomo Mitsui Banking Corp. | 2.500% | 7/19/18 | 2,225 | 2,228 |
SunTrust Bank | 7.250% | 3/15/18 | 2,250 | 2,668 |
SunTrust Banks Inc. | 3.600% | 4/15/16 | 7,375 | 7,768 |
SunTrust Banks Inc. | 3.500% | 1/20/17 | 1,850 | 1,934 |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 1,600 | 1,819 |
Svenska Handelsbanken AB | 3.125% | 7/12/16 | 7,625 | 7,963 |
Svenska Handelsbanken AB | 2.875% | 4/4/17 | 5,475 | 5,654 |
Svenska Handelsbanken AB | 1.625% | 3/21/18 | 4,800 | 4,666 |
Toronto-Dominion Bank | 2.500% | 7/14/16 | 8,110 | 8,390 |
Toronto-Dominion Bank | 2.375% | 10/19/16 | 9,585 | 9,865 |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 5,300 | 5,145 |
UBS AG | 3.875% | 1/15/15 | 4,890 | 5,086 |
UBS AG | 7.000% | 10/15/15 | 1,000 | 1,099 |
UBS AG | 5.875% | 7/15/16 | 5,925 | 6,548 |
UBS AG | 7.375% | 6/15/17 | 200 | 223 |
UBS AG | 5.875% | 12/20/17 | 12,500 | 14,369 |
UBS AG | 5.750% | 4/25/18 | 8,500 | 9,729 |
Union Bank NA | 5.950% | 5/11/16 | 2,050 | 2,267 |
Union Bank NA | 3.000% | 6/6/16 | 4,000 | 4,181 |
Union Bank NA | 2.125% | 6/16/17 | 2,475 | 2,457 |
US Bancorp | 2.875% | 11/20/14 | 1,375 | 1,412 |
US Bancorp | 3.150% | 3/4/15 | 3,950 | 4,093 |
US Bancorp | 2.450% | 7/27/15 | 4,375 | 4,512 |
US Bancorp | 3.442% | 2/1/16 | 2,550 | 2,658 |
US Bancorp | 2.200% | 11/15/16 | 7,625 | 7,834 |
US Bancorp | 1.650% | 5/15/17 | 7,425 | 7,368 |
US Bank NA | 4.950% | 10/30/14 | 3,860 | 4,054 |
US Bank NA | 4.800% | 4/15/15 | 2,100 | 2,233 |
1 US Bank NA | 3.778% | 4/29/20 | 1,250 | 1,303 |
Vesey Street Investment Trust I | 4.404% | 9/1/16 | 1,375 | 1,485 |
Wachovia Bank NA | 4.800% | 11/1/14 | 3,500 | 3,660 |
Wachovia Bank NA | 4.875% | 2/1/15 | 4,150 | 4,377 |
Wachovia Bank NA | 5.000% | 8/15/15 | 500 | 536 |
Wachovia Bank NA | 5.600% | 3/15/16 | 1,823 | 2,010 |
Wachovia Bank NA | 6.000% | 11/15/17 | 5,400 | 6,177 |
69
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Wachovia Corp. | 5.625% | 10/15/16 | 6,650 | 7,412 |
Wachovia Corp. | 5.750% | 6/15/17 | 12,125 | 13,764 |
Wachovia Corp. | 5.750% | 2/1/18 | 8,500 | 9,739 |
Wells Fargo & Co. | 3.750% | 10/1/14 | 10,650 | 11,017 |
Wells Fargo & Co. | 5.000% | 11/15/14 | 5,200 | 5,437 |
Wells Fargo & Co. | 1.250% | 2/13/15 | 10,505 | 10,565 |
Wells Fargo & Co. | 3.625% | 4/15/15 | 3,521 | 3,675 |
Wells Fargo & Co. | 1.500% | 7/1/15 | 10,325 | 10,431 |
Wells Fargo & Co. | 3.676% | 6/15/16 | 15,380 | 16,326 |
Wells Fargo & Co. | 1.250% | 7/20/16 | 7,250 | 7,223 |
Wells Fargo & Co. | 5.125% | 9/15/16 | 4,212 | 4,632 |
Wells Fargo & Co. | 2.625% | 12/15/16 | 7,400 | 7,675 |
Wells Fargo & Co. | 2.100% | 5/8/17 | 9,500 | 9,606 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 12,026 | 13,703 |
Wells Fargo & Co. | 1.500% | 1/16/18 | 13,875 | 13,453 |
Wells Fargo Bank NA | 4.750% | 2/9/15 | 1,000 | 1,054 |
Wells Fargo Bank NA | 5.750% | 5/16/16 | 3,250 | 3,612 |
Westpac Banking Corp. | 4.200% | 2/27/15 | 7,325 | 7,690 |
Westpac Banking Corp. | 3.000% | 8/4/15 | 12,875 | 13,431 |
Westpac Banking Corp. | 1.125% | 9/25/15 | 4,550 | 4,572 |
Westpac Banking Corp. | 3.000% | 12/9/15 | 1,650 | 1,728 |
Westpac Banking Corp. | 0.950% | 1/12/16 | 5,075 | 5,050 |
Westpac Banking Corp. | 2.000% | 8/14/17 | 7,200 | 7,193 |
Westpac Banking Corp. | 1.600% | 1/12/18 | 4,250 | 4,155 |
Westpac Banking Corp. | 2.250% | 7/30/18 | 6,500 | 6,447 |
Zions Bancorporation | 4.500% | 3/27/17 | 3,350 | 3,530 |
Brokerage (0.8%) | ||||
Ameriprise Financial Inc. | 5.650% | 11/15/15 | 4,500 | 4,949 |
1 Ameriprise Financial Inc. | 7.518% | 6/1/66 | 1,200 | 1,326 |
BlackRock Inc. | 3.500% | 12/10/14 | 3,275 | 3,396 |
BlackRock Inc. | 1.375% | 6/1/15 | 1,300 | 1,316 |
BlackRock Inc. | 6.250% | 9/15/17 | 5,150 | 5,992 |
Charles Schwab Corp. | 0.850% | 12/4/15 | 1,200 | 1,198 |
Charles Schwab Corp. | 2.200% | 7/25/18 | 2,175 | 2,161 |
Eaton Vance Corp. | 6.500% | 10/2/17 | 409 | 469 |
Franklin Resources Inc. | 3.125% | 5/20/15 | 150 | 156 |
Franklin Resources Inc. | 1.375% | 9/15/17 | 2,250 | 2,195 |
Jefferies Group LLC | 3.875% | 11/9/15 | 1,900 | 1,980 |
Jefferies Group LLC | 5.500% | 3/15/16 | 2,000 | 2,141 |
Jefferies Group LLC | 5.125% | 4/13/18 | 5,392 | 5,725 |
Lazard Group LLC | 7.125% | 5/15/15 | 1,375 | 1,492 |
Lazard Group LLC | 6.850% | 6/15/17 | 2,600 | 2,933 |
Nomura Holdings Inc. | 5.000% | 3/4/15 | 5,050 | 5,302 |
Nomura Holdings Inc. | 4.125% | 1/19/16 | 6,520 | 6,799 |
Nomura Holdings Inc. | 2.000% | 9/13/16 | 6,275 | 6,214 |
Raymond James Financial Inc. | 4.250% | 4/15/16 | 300 | 315 |
TD Ameritrade Holding Corp. | 4.150% | 12/1/14 | 1,994 | 2,081 |
Finance Companies (3.3%) | ||||
Air Lease Corp. | 5.625% | 4/1/17 | 6,550 | 7,025 |
Block Financial LLC | 5.125% | 10/30/14 | 950 | 993 |
GATX Corp. | 4.750% | 5/15/15 | 170 | 179 |
GATX Corp. | 3.500% | 7/15/16 | 2,000 | 2,086 |
1 GE Capital Trust I | 6.375% | 11/15/67 | 3,175 | 3,346 |
General Electric Capital Corp. | 4.750% | 9/15/14 | 5,200 | 5,428 |
70
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
General Electric Capital Corp. | 3.750% | 11/14/14 | 7,825 | 8,110 |
General Electric Capital Corp. | 2.150% | 1/9/15 | 12,325 | 12,564 |
General Electric Capital Corp. | 4.875% | 3/4/15 | 9,215 | 9,757 |
General Electric Capital Corp. | 3.500% | 6/29/15 | 5,775 | 6,039 |
General Electric Capital Corp. | 1.625% | 7/2/15 | 12,800 | 12,977 |
General Electric Capital Corp. | 4.375% | 9/21/15 | 2,000 | 2,135 |
General Electric Capital Corp. | 2.250% | 11/9/15 | 13,925 | 14,250 |
General Electric Capital Corp. | 1.000% | 12/11/15 | 4,025 | 4,032 |
General Electric Capital Corp. | 1.000% | 1/8/16 | 7,450 | 7,410 |
General Electric Capital Corp. | 5.000% | 1/8/16 | 9,090 | 9,851 |
General Electric Capital Corp. | 2.950% | 5/9/16 | 9,175 | 9,534 |
General Electric Capital Corp. | 1.500% | 7/12/16 | 2,275 | 2,282 |
General Electric Capital Corp. | 3.350% | 10/17/16 | 6,600 | 6,957 |
General Electric Capital Corp. | 2.900% | 1/9/17 | 9,700 | 10,043 |
General Electric Capital Corp. | 5.400% | 2/15/17 | 5,630 | 6,267 |
General Electric Capital Corp. | 2.300% | 4/27/17 | 8,665 | 8,767 |
General Electric Capital Corp. | 5.625% | 9/15/17 | 13,990 | 15,807 |
General Electric Capital Corp. | 1.600% | 11/20/17 | 7,900 | 7,734 |
General Electric Capital Corp. | 1.625% | 4/2/18 | 2,450 | 2,385 |
General Electric Capital Corp. | 5.625% | 5/1/18 | 17,275 | 19,654 |
1 General Electric Capital Corp. | 6.375% | 11/15/67 | 7,875 | 8,298 |
1 HSBC Finance Capital Trust IX | 5.911% | 11/30/35 | 6,300 | 6,402 |
HSBC Finance Corp. | 5.250% | 4/15/15 | 2,238 | 2,381 |
HSBC Finance Corp. | 5.000% | 6/30/15 | 8,845 | 9,400 |
HSBC Finance Corp. | 5.500% | 1/19/16 | 8,500 | 9,279 |
Insurance (5.1%) | ||||
ACE INA Holdings Inc. | 5.600% | 5/15/15 | 2,450 | 2,644 |
ACE INA Holdings Inc. | 2.600% | 11/23/15 | 5,040 | 5,229 |
ACE INA Holdings Inc. | 5.700% | 2/15/17 | 400 | 448 |
ACE INA Holdings Inc. | 5.800% | 3/15/18 | 2,500 | 2,874 |
Aegon NV | 4.625% | 12/1/15 | 3,275 | 3,509 |
Aetna Inc. | 6.000% | 6/15/16 | 5,515 | 6,203 |
Aetna Inc. | 1.750% | 5/15/17 | 600 | 592 |
Aetna Inc. | 1.500% | 11/15/17 | 1,225 | 1,188 |
Aflac Inc. | 2.650% | 2/15/17 | 3,900 | 3,983 |
Allied World Assurance Co. Ltd. | 7.500% | 8/1/16 | 2,277 | 2,614 |
Allstate Corp. | 5.000% | 8/15/14 | 682 | 711 |
1 Allstate Corp. | 6.125% | 5/15/67 | 700 | 732 |
American International Group Inc. | 4.250% | 9/15/14 | 5,115 | 5,286 |
American International Group Inc. | 3.000% | 3/20/15 | 3,350 | 3,448 |
American International Group Inc. | 2.375% | 8/24/15 | 700 | 709 |
American International Group Inc. | 5.050% | 10/1/15 | 4,275 | 4,614 |
American International Group Inc. | 4.875% | 9/15/16 | 5,800 | 6,326 |
American International Group Inc. | 5.600% | 10/18/16 | 3,725 | 4,143 |
American International Group Inc. | 3.800% | 3/22/17 | 7,025 | 7,418 |
American International Group Inc. | 5.450% | 5/18/17 | 6,475 | 7,182 |
American International Group Inc. | 5.850% | 1/16/18 | 10,525 | 11,860 |
American International Group Inc. | 8.250% | 8/15/18 | 14,747 | 18,223 |
Aon Corp. | 3.500% | 9/30/15 | 3,675 | 3,852 |
Assurant Inc. | 2.500% | 3/15/18 | 1,200 | 1,168 |
Axis Capital Holdings Ltd. | 5.750% | 12/1/14 | 2,550 | 2,695 |
Berkshire Hathaway Finance Corp. | 4.850% | 1/15/15 | 4,200 | 4,443 |
Berkshire Hathaway Finance Corp. | 1.600% | 5/15/17 | 9,575 | 9,570 |
Berkshire Hathaway Finance Corp. | 1.300% | 5/15/18 | 2,600 | 2,512 |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 5,600 | 6,421 |
71
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Berkshire Hathaway Finance Corp. | 2.000% | 8/15/18 | 2,825 | 2,803 |
Berkshire Hathaway Inc. | 3.200% | 2/11/15 | 8,300 | 8,614 |
Berkshire Hathaway Inc. | 0.800% | 2/11/16 | 375 | 374 |
Berkshire Hathaway Inc. | 2.200% | 8/15/16 | 4,200 | 4,334 |
Berkshire Hathaway Inc. | 1.900% | 1/31/17 | 6,000 | 6,048 |
Berkshire Hathaway Inc. | 1.550% | 2/9/18 | 4,375 | 4,275 |
Chubb Corp. | 5.750% | 5/15/18 | 925 | 1,065 |
1 Chubb Corp. | 6.375% | 3/29/67 | 6,200 | 6,649 |
Cigna Corp. | 2.750% | 11/15/16 | 4,975 | 5,150 |
CNA Financial Corp. | 5.850% | 12/15/14 | 2,550 | 2,704 |
CNA Financial Corp. | 6.500% | 8/15/16 | 2,800 | 3,157 |
Coventry Health Care Inc. | 5.950% | 3/15/17 | 3,900 | 4,392 |
Genworth Holdings Inc. | 4.950% | 10/1/15 | 1,000 | 1,080 |
Genworth Holdings Inc. | 8.625% | 12/15/16 | 2,925 | 3,467 |
Genworth Holdings Inc. | 6.515% | 5/22/18 | 3,150 | 3,522 |
Hartford Financial Services Group Inc. | 4.000% | 3/30/15 | 3,620 | 3,775 |
Hartford Financial Services Group Inc. | 5.375% | 3/15/17 | 2,025 | 2,220 |
Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 3,153 | 3,619 |
Humana Inc. | 6.450% | 6/1/16 | 775 | 872 |
Humana Inc. | 7.200% | 6/15/18 | 3,850 | 4,575 |
Humana Inc. | 6.300% | 8/1/18 | 785 | 894 |
ING US Inc. | 2.900% | 2/15/18 | 3,350 | 3,339 |
Kemper Corp. | 6.000% | 11/30/15 | 200 | 216 |
Kemper Corp. | 6.000% | 5/15/17 | 3,425 | 3,709 |
Lincoln National Corp. | 4.300% | 6/15/15 | 400 | 422 |
1 Lincoln National Corp. | 7.000% | 5/17/66 | 4,375 | 4,452 |
1 Lincoln National Corp. | 6.050% | 4/20/67 | 3,500 | 3,448 |
Loews Corp. | 5.250% | 3/15/16 | 1,525 | 1,665 |
Manulife Financial Corp. | 3.400% | 9/17/15 | 6,125 | 6,397 |
Marsh & McLennan Cos. Inc. | 5.750% | 9/15/15 | 2,882 | 3,139 |
Marsh & McLennan Cos. Inc. | 2.300% | 4/1/17 | 1,450 | 1,450 |
MetLife Inc. | 5.000% | 6/15/15 | 3,675 | 3,942 |
MetLife Inc. | 6.750% | 6/1/16 | 6,350 | 7,270 |
MetLife Inc. | 1.756% | 12/15/17 | 4,475 | 4,404 |
MetLife Inc. | 6.817% | 8/15/18 | 3,750 | 4,511 |
2 Metropolitan Life Global Funding I | 5.125% | 6/10/14 | 100 | 103 |
Principal Financial Group Inc. | 1.850% | 11/15/17 | 1,575 | 1,540 |
2 Principal Life Global Funding I | 5.125% | 10/15/13 | 175 | 176 |
1 Progressive Corp. | 6.700% | 6/15/67 | 4,117 | 4,446 |
Prudential Financial Inc. | 5.100% | 9/20/14 | 5,775 | 6,036 |
Prudential Financial Inc. | 3.875% | 1/14/15 | 3,160 | 3,289 |
Prudential Financial Inc. | 6.200% | 1/15/15 | 400 | 428 |
Prudential Financial Inc. | 4.750% | 9/17/15 | 7,018 | 7,548 |
Prudential Financial Inc. | 5.500% | 3/15/16 | 1,725 | 1,894 |
Prudential Financial Inc. | 3.000% | 5/12/16 | 2,400 | 2,493 |
Prudential Financial Inc. | 6.000% | 12/1/17 | 5,925 | 6,817 |
Prudential Financial Inc. | 2.300% | 8/15/18 | 625 | 622 |
1 Prudential Financial Inc. | 8.875% | 6/15/68 | 1,605 | 1,926 |
Reinsurance Group of America Inc. | 5.625% | 3/15/17 | 1,500 | 1,631 |
1 Reinsurance Group of America Inc. | 6.750% | 12/15/65 | 1,400 | 1,386 |
1 StanCorp Financial Group Inc. | 6.900% | 6/1/67 | 1,420 | 1,420 |
Torchmark Corp. | 6.375% | 6/15/16 | 1,500 | 1,654 |
Transatlantic Holdings Inc. | 5.750% | 12/14/15 | 2,825 | 3,073 |
Travelers Cos. Inc. | 5.500% | 12/1/15 | 1,540 | 1,697 |
Travelers Cos. Inc. | 6.250% | 6/20/16 | 1,990 | 2,255 |
Travelers Cos. Inc. | 5.750% | 12/15/17 | 2,200 | 2,534 |
72
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 1,950 | 2,252 |
UnitedHealth Group Inc. | 4.875% | 3/15/15 | 1,756 | 1,863 |
UnitedHealth Group Inc. | 0.850% | 10/15/15 | 2,800 | 2,804 |
UnitedHealth Group Inc. | 5.375% | 3/15/16 | 2,600 | 2,874 |
UnitedHealth Group Inc. | 1.875% | 11/15/16 | 3,550 | 3,615 |
UnitedHealth Group Inc. | 1.400% | 10/15/17 | 4,600 | 4,491 |
UnitedHealth Group Inc. | 6.000% | 2/15/18 | 6,270 | 7,287 |
Unum Group | 7.125% | 9/30/16 | 1,445 | 1,656 |
WellPoint Inc. | 5.000% | 12/15/14 | 521 | 549 |
WellPoint Inc. | 1.250% | 9/10/15 | 3,950 | 3,976 |
WellPoint Inc. | 5.250% | 1/15/16 | 5,500 | 5,988 |
WellPoint Inc. | 2.375% | 2/15/17 | 3,000 | 3,030 |
WellPoint Inc. | 5.875% | 6/15/17 | 2,450 | 2,770 |
WellPoint Inc. | 1.875% | 1/15/18 | 3,025 | 2,966 |
Willis Group Holdings plc | 4.125% | 3/15/16 | 3,550 | 3,733 |
Willis North America Inc. | 6.200% | 3/28/17 | 245 | 270 |
XL Group plc | 5.250% | 9/15/14 | 2,250 | 2,350 |
Other Finance (0.2%) | ||||
NASDAQ OMX Group Inc. | 4.000% | 1/15/15 | 2,800 | 2,897 |
NASDAQ OMX Group Inc. | 5.250% | 1/16/18 | 500 | 535 |
NYSE Euronext | 2.000% | 10/5/17 | 3,350 | 3,326 |
ORIX Corp. | 4.710% | 4/27/15 | 4,650 | 4,878 |
ORIX Corp. | 5.000% | 1/12/16 | 1,775 | 1,890 |
ORIX Corp. | 3.750% | 3/9/17 | 1,950 | 2,008 |
XTRA Finance Corp. | 5.150% | 4/1/17 | 1,600 | 1,787 |
Real Estate Investment Trusts (2.1%) | ||||
Arden Realty LP | 5.250% | 3/1/15 | 3,625 | 3,822 |
AvalonBay Communities Inc. | 5.750% | 9/15/16 | 500 | 561 |
AvalonBay Communities Inc. | 5.700% | 3/15/17 | 1,335 | 1,490 |
BioMed Realty LP | 3.850% | 4/15/16 | 1,900 | 1,984 |
Boston Properties LP | 5.625% | 4/15/15 | 2,800 | 3,003 |
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 2,900 | 3,161 |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 1,375 | 1,458 |
BRE Properties Inc. | 5.500% | 3/15/17 | 1,625 | 1,783 |
CommonWealth REIT | 6.250% | 6/15/17 | 1,000 | 1,079 |
CommonWealth REIT | 6.650% | 1/15/18 | 1,000 | 1,087 |
DDR Corp. | 7.500% | 4/1/17 | 4,200 | 4,883 |
Digital Realty Trust LP | 4.500% | 7/15/15 | 2,500 | 2,626 |
Duke Realty LP | 7.375% | 2/15/15 | 850 | 922 |
Duke Realty LP | 5.950% | 2/15/17 | 4,450 | 4,926 |
ERP Operating LP | 5.250% | 9/15/14 | 1,950 | 2,040 |
ERP Operating LP | 6.584% | 4/13/15 | 1,000 | 1,086 |
ERP Operating LP | 5.125% | 3/15/16 | 5,425 | 5,926 |
ERP Operating LP | 5.375% | 8/1/16 | 500 | 554 |
ERP Operating LP | 5.750% | 6/15/17 | 3,725 | 4,187 |
HCP Inc. | 3.750% | 2/1/16 | 5,225 | 5,473 |
HCP Inc. | 6.000% | 1/30/17 | 3,000 | 3,351 |
HCP Inc. | 6.700% | 1/30/18 | 3,870 | 4,497 |
Health Care REIT Inc. | 3.625% | 3/15/16 | 3,675 | 3,848 |
Health Care REIT Inc. | 6.200% | 6/1/16 | 1,575 | 1,761 |
Health Care REIT Inc. | 4.700% | 9/15/17 | 4,800 | 5,188 |
Health Care REIT Inc. | 2.250% | 3/15/18 | 2,100 | 2,054 |
Healthcare Realty Trust Inc. | 6.500% | 1/17/17 | 1,857 | 2,073 |
Highwoods Realty LP | 5.850% | 3/15/17 | 1,300 | 1,422 |
73
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Hospitality Properties Trust | 5.125% | 2/15/15 | 2,525 | 2,609 |
Hospitality Properties Trust | 5.625% | 3/15/17 | 975 | 1,051 |
Hospitality Properties Trust | 6.700% | 1/15/18 | 3,925 | 4,369 |
Kilroy Realty LP | 5.000% | 11/3/15 | 1,125 | 1,209 |
Kilroy Realty LP | 4.800% | 7/15/18 | 1,825 | 1,943 |
Kimco Realty Corp. | 5.783% | 3/15/16 | 1,100 | 1,212 |
Kimco Realty Corp. | 5.700% | 5/1/17 | 1,100 | 1,229 |
Kimco Realty Corp. | 4.300% | 2/1/18 | 3,075 | 3,292 |
Liberty Property LP | 5.125% | 3/2/15 | 2,350 | 2,481 |
Liberty Property LP | 5.500% | 12/15/16 | 113 | 125 |
Liberty Property LP | 6.625% | 10/1/17 | 450 | 514 |
Mack-Cali Realty LP | 2.500% | 12/15/17 | 1,000 | 977 |
ProLogis LP | 6.250% | 3/15/17 | 1,450 | 1,629 |
ProLogis LP | 4.500% | 8/15/17 | 2,125 | 2,270 |
ProLogis LP | 6.625% | 5/15/18 | 3,025 | 3,507 |
Realty Income Corp. | 5.950% | 9/15/16 | 1,900 | 2,113 |
Realty Income Corp. | 2.000% | 1/31/18 | 2,325 | 2,253 |
Regency Centers LP | 5.250% | 8/1/15 | 1,750 | 1,874 |
Regency Centers LP | 5.875% | 6/15/17 | 300 | 332 |
Senior Housing Properties Trust | 4.300% | 1/15/16 | 845 | 875 |
Simon Property Group LP | 4.200% | 2/1/15 | 5,650 | 5,888 |
Simon Property Group LP | 5.100% | 6/15/15 | 3,075 | 3,306 |
Simon Property Group LP | 5.750% | 12/1/15 | 2,100 | 2,302 |
Simon Property Group LP | 5.250% | 12/1/16 | 3,150 | 3,510 |
Simon Property Group LP | 2.800% | 1/30/17 | 2,975 | 3,063 |
Simon Property Group LP | 5.875% | 3/1/17 | 86 | 97 |
Simon Property Group LP | 2.150% | 9/15/17 | 2,525 | 2,548 |
Simon Property Group LP | 6.125% | 5/30/18 | 3,775 | 4,404 |
UDR Inc. | 4.250% | 6/1/18 | 750 | 793 |
Ventas Realty LP / Ventas Capital Corp. | 3.125% | 11/30/15 | 2,200 | 2,299 |
Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 4,425 | 4,286 |
Vornado Realty LP | 4.250% | 4/1/15 | 2,520 | 2,620 |
3,136,980 | ||||
Industrial (47.7%) | ||||
Basic Industry (3.7%) | ||||
Air Products & Chemicals Inc. | 2.000% | 8/2/16 | 1,425 | 1,449 |
Air Products & Chemicals Inc. | 1.200% | 10/15/17 | 1,625 | 1,569 |
Airgas Inc. | 4.500% | 9/15/14 | 2,700 | 2,799 |
Airgas Inc. | 3.250% | 10/1/15 | 950 | 985 |
Airgas Inc. | 2.950% | 6/15/16 | 500 | 518 |
Alcoa Inc. | 5.550% | 2/1/17 | 3,550 | 3,769 |
Alcoa Inc. | 6.500% | 6/15/18 | 865 | 921 |
Alcoa Inc. | 6.750% | 7/15/18 | 3,525 | 3,816 |
Barrick Gold Corp. | 2.900% | 5/30/16 | 8,075 | 8,124 |
2 Barrick Gold Corp. | 2.500% | 5/1/18 | 375 | 352 |
Barrick Gold Finance Co. | 4.875% | 11/15/14 | 700 | 726 |
BHP Billiton Finance USA Ltd. | 1.125% | 11/21/14 | 4,881 | 4,919 |
BHP Billiton Finance USA Ltd. | 1.000% | 2/24/15 | 8,375 | 8,426 |
BHP Billiton Finance USA Ltd. | 1.875% | 11/21/16 | 5,025 | 5,088 |
BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 9,079 | 9,033 |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 300 | 336 |
Cabot Corp. | 2.550% | 1/15/18 | 1,050 | 1,045 |
Celulosa Arauco y Constitucion SA | 5.625% | 4/20/15 | 3,300 | 3,468 |
CF Industries Inc. | 6.875% | 5/1/18 | 5,175 | 6,042 |
Cliffs Natural Resources Inc. | 3.950% | 1/15/18 | 2,500 | 2,445 |
Domtar Corp. | 10.750% | 6/1/17 | 1,175 | 1,466 |
74
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Dow Chemical Co. | 2.500% | 2/15/16 | 4,260 | 4,398 |
Dow Chemical Co. | 5.700% | 5/15/18 | 3,850 | 4,410 |
Eastman Chemical Co. | 3.000% | 12/15/15 | 250 | 260 |
Eastman Chemical Co. | 2.400% | 6/1/17 | 8,200 | 8,225 |
Ecolab Inc. | 2.375% | 12/8/14 | 2,190 | 2,230 |
Ecolab Inc. | 1.000% | 8/9/15 | 4,550 | 4,551 |
Ecolab Inc. | 3.000% | 12/8/16 | 6,125 | 6,415 |
Ecolab Inc. | 1.450% | 12/8/17 | 2,800 | 2,721 |
EI du Pont de Nemours & Co. | 3.250% | 1/15/15 | 5,350 | 5,549 |
EI du Pont de Nemours & Co. | 1.950% | 1/15/16 | 875 | 894 |
EI du Pont de Nemours & Co. | 2.750% | 4/1/16 | 5,200 | 5,419 |
EI du Pont de Nemours & Co. | 5.250% | 12/15/16 | 2,465 | 2,771 |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 5,450 | 6,412 |
Freeport-McMoRan Copper & Gold Inc. | 1.400% | 2/13/15 | 2,425 | 2,427 |
Freeport-McMoRan Copper & Gold Inc. | 2.150% | 3/1/17 | 3,500 | 3,427 |
2 Freeport-McMoRan Copper & Gold Inc. | 2.375% | 3/15/18 | 9,045 | 8,476 |
Georgia-Pacific LLC | 7.700% | 6/15/15 | 750 | 834 |
Goldcorp Inc. | 2.125% | 3/15/18 | 3,800 | 3,661 |
International Paper Co. | 5.300% | 4/1/15 | 1,200 | 1,277 |
International Paper Co. | 7.950% | 6/15/18 | 10,503 | 12,951 |
Lubrizol Corp. | 5.500% | 10/1/14 | 2,500 | 2,632 |
Monsanto Co. | 2.750% | 4/15/16 | 750 | 783 |
Monsanto Co. | 5.125% | 4/15/18 | 1,400 | 1,589 |
Nucor Corp. | 5.750% | 12/1/17 | 2,900 | 3,287 |
Nucor Corp. | 5.850% | 6/1/18 | 2,975 | 3,377 |
Plum Creek Timberlands LP | 5.875% | 11/15/15 | 1,925 | 2,109 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 3,940 | 4,059 |
PPG Industries Inc. | 6.650% | 3/15/18 | 3,000 | 3,514 |
Praxair Inc. | 5.250% | 11/15/14 | 2,625 | 2,771 |
Praxair Inc. | 4.625% | 3/30/15 | 4,300 | 4,571 |
Praxair Inc. | 0.750% | 2/21/16 | 3,600 | 3,571 |
Praxair Inc. | 5.200% | 3/15/17 | 2,125 | 2,371 |
Praxair Inc. | 1.050% | 11/7/17 | 1,675 | 1,620 |
Rio Tinto Alcan Inc. | 5.000% | 6/1/15 | 3,025 | 3,223 |
Rio Tinto Finance USA Ltd. | 1.875% | 11/2/15 | 3,625 | 3,677 |
Rio Tinto Finance USA Ltd. | 2.250% | 9/20/16 | 2,650 | 2,702 |
Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 6,035 | 7,008 |
Rio Tinto Finance USA plc | 1.125% | 3/20/15 | 4,180 | 4,187 |
Rio Tinto Finance USA plc | 1.375% | 6/17/16 | 3,600 | 3,580 |
Rio Tinto Finance USA plc | 2.000% | 3/22/17 | 4,525 | 4,498 |
Rio Tinto Finance USA plc | 1.625% | 8/21/17 | 8,400 | 8,193 |
Rohm & Haas Co. | 6.000% | 9/15/17 | 4,029 | 4,600 |
Sherwin-Williams Co. | 1.350% | 12/15/17 | 6,200 | 5,985 |
Teck Resources Ltd. | 3.150% | 1/15/17 | 4,425 | 4,481 |
Teck Resources Ltd. | 3.850% | 8/15/17 | 1,900 | 1,963 |
Teck Resources Ltd. | 2.500% | 2/1/18 | 2,991 | 2,888 |
Vale Canada Ltd. | 5.700% | 10/15/15 | 1,555 | 1,661 |
Vale Overseas Ltd. | 6.250% | 1/11/16 | 6,500 | 7,121 |
Vale Overseas Ltd. | 6.250% | 1/23/17 | 5,650 | 6,266 |
Xstrata Canada Corp. | 6.000% | 10/15/15 | 1,475 | 1,590 |
Xstrata Canada Corp. | 5.500% | 6/15/17 | 900 | 965 |
Capital Goods (4.1%) | ||||
3M Co. | 1.375% | 9/29/16 | 3,525 | 3,565 |
3M Co. | 1.000% | 6/26/17 | 4,900 | 4,773 |
ABB Finance USA Inc. | 1.625% | 5/8/17 | 400 | 396 |
75
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bemis Co. Inc. | 5.650% | 8/1/14 | 800 | 835 |
Black & Decker Corp. | 5.750% | 11/15/16 | 2,400 | 2,716 |
Boeing Capital Corp. | 3.250% | 10/27/14 | 3,350 | 3,456 |
Boeing Capital Corp. | 2.125% | 8/15/16 | 2,740 | 2,824 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 850 | 879 |
Boeing Co. | 3.500% | 2/15/15 | 4,825 | 5,032 |
Boeing Co. | 3.750% | 11/20/16 | 1,731 | 1,869 |
Boeing Co. | 0.950% | 5/15/18 | 600 | 571 |
Caterpillar Financial Services Corp. | 1.125% | 12/15/14 | 2,675 | 2,695 |
Caterpillar Financial Services Corp. | 1.050% | 3/26/15 | 400 | 402 |
Caterpillar Financial Services Corp. | 1.100% | 5/29/15 | 9,400 | 9,470 |
Caterpillar Financial Services Corp. | 4.625% | 6/1/15 | 600 | 639 |
Caterpillar Financial Services Corp. | 2.650% | 4/1/16 | 3,200 | 3,321 |
Caterpillar Financial Services Corp. | 2.050% | 8/1/16 | 7,675 | 7,864 |
Caterpillar Financial Services Corp. | 1.625% | 6/1/17 | 4,049 | 4,023 |
Caterpillar Financial Services Corp. | 1.250% | 11/6/17 | 5,525 | 5,387 |
Caterpillar Financial Services Corp. | 1.300% | 3/1/18 | 750 | 724 |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 1,000 | 1,144 |
Caterpillar Inc. | 0.950% | 6/26/15 | 3,625 | 3,642 |
Caterpillar Inc. | 5.700% | 8/15/16 | 2,000 | 2,259 |
Caterpillar Inc. | 1.500% | 6/26/17 | 2,370 | 2,340 |
Cooper US Inc. | 5.450% | 4/1/15 | 1,300 | 1,391 |
Cooper US Inc. | 2.375% | 1/15/16 | 550 | 564 |
Cooper US Inc. | 6.100% | 7/1/17 | 1,800 | 2,049 |
CRH America Inc. | 4.125% | 1/15/16 | 1,250 | 1,312 |
CRH America Inc. | 6.000% | 9/30/16 | 9,425 | 10,600 |
Danaher Corp. | 2.300% | 6/23/16 | 3,100 | 3,197 |
Danaher Corp. | 5.625% | 1/15/18 | 2,025 | 2,316 |
Dover Corp. | 4.875% | 10/15/15 | 175 | 190 |
Dover Corp. | 5.450% | 3/15/18 | 900 | 1,026 |
Eaton Corp. | 5.300% | 3/15/17 | 2,300 | 2,536 |
2 Eaton Corp. | 1.500% | 11/2/17 | 4,900 | 4,758 |
Eaton Corp. | 5.600% | 5/15/18 | 2,650 | 2,996 |
Embraer Overseas Ltd. | 6.375% | 1/24/17 | 1,600 | 1,762 |
Emerson Electric Co. | 5.125% | 12/1/16 | 375 | 421 |
Emerson Electric Co. | 5.375% | 10/15/17 | 5,000 | 5,696 |
Exelis Inc. | 4.250% | 10/1/16 | 1,100 | 1,158 |
General Dynamics Corp. | 1.375% | 1/15/15 | 3,875 | 3,920 |
General Dynamics Corp. | 1.000% | 11/15/17 | 6,450 | 6,208 |
General Electric Co. | 0.850% | 10/9/15 | 10,775 | 10,771 |
General Electric Co. | 5.250% | 12/6/17 | 18,975 | 21,440 |
Harsco Corp. | 2.700% | 10/15/15 | 840 | 846 |
Harsco Corp. | 5.750% | 5/15/18 | 2,220 | 2,353 |
Honeywell International Inc. | 5.400% | 3/15/16 | 275 | 304 |
Honeywell International Inc. | 5.300% | 3/15/17 | 2,400 | 2,690 |
Honeywell International Inc. | 5.300% | 3/1/18 | 5,250 | 5,977 |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 4,874 | 5,698 |
John Deere Capital Corp. | 1.250% | 12/2/14 | 2,975 | 3,004 |
John Deere Capital Corp. | 2.950% | 3/9/15 | 3,250 | 3,365 |
John Deere Capital Corp. | 0.875% | 4/17/15 | 1,900 | 1,907 |
John Deere Capital Corp. | 0.950% | 6/29/15 | 750 | 754 |
John Deere Capital Corp. | 0.700% | 9/4/15 | 1,700 | 1,700 |
John Deere Capital Corp. | 0.750% | 1/22/16 | 650 | 646 |
John Deere Capital Corp. | 2.250% | 6/7/16 | 1,900 | 1,960 |
John Deere Capital Corp. | 1.850% | 9/15/16 | 3,300 | 3,361 |
John Deere Capital Corp. | 2.000% | 1/13/17 | 4,510 | 4,546 |
76
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
John Deere Capital Corp. | 1.400% | 3/15/17 | 2,000 | 1,985 |
John Deere Capital Corp. | 5.500% | 4/13/17 | 1,675 | 1,882 |
John Deere Capital Corp. | 2.800% | 9/18/17 | 3,625 | 3,755 |
John Deere Capital Corp. | 1.200% | 10/10/17 | 5,600 | 5,447 |
John Deere Capital Corp. | 1.300% | 3/12/18 | 2,525 | 2,447 |
John Deere Capital Corp. | 5.350% | 4/3/18 | 1,975 | 2,240 |
Joy Global Inc. | 6.000% | 11/15/16 | 1,185 | 1,330 |
L-3 Communications Corp. | 3.950% | 11/15/16 | 4,425 | 4,690 |
Lockheed Martin Corp. | 7.650% | 5/1/16 | 500 | 584 |
Lockheed Martin Corp. | 2.125% | 9/15/16 | 4,825 | 4,926 |
Martin Marietta Materials Inc. | 6.600% | 4/15/18 | 3,050 | 3,398 |
Mohawk Industries Inc. | 6.375% | 1/15/16 | 4,275 | 4,706 |
Northrop Grumman Corp. | 1.750% | 6/1/18 | 4,025 | 3,902 |
Owens Corning | 6.500% | 12/1/16 | 2,882 | 3,207 |
Pentair Finance SA | 1.350% | 12/1/15 | 1,500 | 1,508 |
Pentair Finance SA | 1.875% | 9/15/17 | 1,000 | 976 |
Precision Castparts Corp. | 0.700% | 12/20/15 | 2,425 | 2,415 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 5,940 | 5,742 |
Republic Services Inc. | 3.800% | 5/15/18 | 250 | 264 |
Rockwell Automation Inc. | 5.650% | 12/1/17 | 500 | 568 |
Roper Industries Inc. | 1.850% | 11/15/17 | 1,325 | 1,300 |
Textron Inc. | 4.625% | 9/21/16 | 2,000 | 2,155 |
Textron Inc. | 5.600% | 12/1/17 | 2,275 | 2,489 |
United Technologies Corp. | 4.875% | 5/1/15 | 8,400 | 8,992 |
United Technologies Corp. | 1.800% | 6/1/17 | 10,050 | 10,117 |
United Technologies Corp. | 5.375% | 12/15/17 | 2,710 | 3,097 |
Waste Management Inc. | 6.375% | 3/11/15 | 2,934 | 3,169 |
Waste Management Inc. | 2.600% | 9/1/16 | 5,021 | 5,177 |
Xylem Inc. | 3.550% | 9/20/16 | 2,225 | 2,327 |
Communication (7.5%) | ||||
Alltel Corp. | 7.000% | 3/15/16 | 1,500 | 1,701 |
America Movil SAB de CV | 5.750% | 1/15/15 | 3,000 | 3,182 |
America Movil SAB de CV | 3.625% | 3/30/15 | 4,500 | 4,660 |
America Movil SAB de CV | 2.375% | 9/8/16 | 10,025 | 10,178 |
America Movil SAB de CV | 5.625% | 11/15/17 | 1,525 | 1,719 |
American Tower Corp. | 4.625% | 4/1/15 | 3,850 | 4,028 |
American Tower Corp. | 7.000% | 10/15/17 | 2,300 | 2,621 |
American Tower Corp. | 4.500% | 1/15/18 | 5,260 | 5,546 |
AT&T Inc. | 5.100% | 9/15/14 | 10,450 | 10,935 |
AT&T Inc. | 0.875% | 2/13/15 | 7,950 | 7,964 |
AT&T Inc. | 2.500% | 8/15/15 | 12,675 | 13,080 |
AT&T Inc. | 0.800% | 12/1/15 | 4,500 | 4,485 |
AT&T Inc. | 0.900% | 2/12/16 | 4,544 | 4,521 |
AT&T Inc. | 2.950% | 5/15/16 | 8,090 | 8,446 |
AT&T Inc. | 5.625% | 6/15/16 | 3,470 | 3,864 |
AT&T Inc. | 2.400% | 8/15/16 | 7,650 | 7,851 |
AT&T Inc. | 1.600% | 2/15/17 | 5,300 | 5,278 |
AT&T Inc. | 1.700% | 6/1/17 | 5,161 | 5,119 |
AT&T Inc. | 1.400% | 12/1/17 | 10,300 | 9,999 |
AT&T Inc. | 5.500% | 2/1/18 | 12,865 | 14,560 |
AT&T Inc. | 5.600% | 5/15/18 | 3,400 | 3,891 |
BellSouth Corp. | 5.200% | 9/15/14 | 9,400 | 9,833 |
British Telecommunications plc | 2.000% | 6/22/15 | 5,175 | 5,264 |
British Telecommunications plc | 1.625% | 6/28/16 | 1,300 | 1,306 |
British Telecommunications plc | 5.950% | 1/15/18 | 4,340 | 4,971 |
77
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CBS Corp. | 1.950% | 7/1/17 | 2,125 | 2,106 |
CBS Corp. | 4.625% | 5/15/18 | 525 | 568 |
CC Holdings GS V LLC / | ||||
Crown Castle GS III Corp. | 2.381% | 12/15/17 | 1,000 | 980 |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 1,800 | 2,239 |
Comcast Corp. | 6.500% | 1/15/15 | 4,750 | 5,123 |
Comcast Corp. | 5.850% | 11/15/15 | 5,475 | 6,063 |
Comcast Corp. | 5.900% | 3/15/16 | 7,950 | 8,893 |
Comcast Corp. | 4.950% | 6/15/16 | 5,000 | 5,514 |
Comcast Corp. | 6.500% | 1/15/17 | 5,324 | 6,156 |
Comcast Corp. | 6.300% | 11/15/17 | 3,225 | 3,785 |
Comcast Corp. | 5.875% | 2/15/18 | 3,200 | 3,711 |
Comcast Corp. | 5.700% | 5/15/18 | 3,325 | 3,850 |
COX Communications Inc. | 5.450% | 12/15/14 | 3,273 | 3,464 |
COX Communications Inc. | 5.500% | 10/1/15 | 2,225 | 2,404 |
Deutsche Telekom International Finance BV | 5.750% | 3/23/16 | 6,375 | 7,038 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 2,500 | 2,981 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 4.750% | 10/1/14 | 7,704 | 8,015 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 3.550% | 3/15/15 | 4,925 | 5,091 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 3.125% | 2/15/16 | 3,075 | 3,166 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 3.500% | 3/1/16 | 7,650 | 7,947 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 2.400% | 3/15/17 | 7,125 | 7,064 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 1.750% | 1/15/18 | 2,700 | 2,574 |
Discovery Communications LLC | 3.700% | 6/1/15 | 3,585 | 3,755 |
Embarq Corp. | 7.082% | 6/1/16 | 5,825 | 6,587 |
Grupo Televisa SAB | 6.000% | 5/15/18 | 2,350 | 2,622 |
GTE Corp. | 6.840% | 4/15/18 | 750 | 879 |
Interpublic Group of Cos. Inc. | 6.250% | 11/15/14 | 4,225 | 4,436 |
Interpublic Group of Cos. Inc. | 2.250% | 11/15/17 | 1,800 | 1,756 |
McGraw Hill Financial Inc. | 5.900% | 11/15/17 | 1,900 | 2,051 |
NBCUniversal Media LLC | 3.650% | 4/30/15 | 4,525 | 4,740 |
NBCUniversal Media LLC | 2.875% | 4/1/16 | 4,900 | 5,117 |
News America Inc. | 5.300% | 12/15/14 | 6,740 | 7,130 |
Nippon Telegraph & Telephone Corp. | 1.400% | 7/18/17 | 3,825 | 3,771 |
Omnicom Group Inc. | 5.900% | 4/15/16 | 7,310 | 8,159 |
Orange SA | 2.125% | 9/16/15 | 2,075 | 2,110 |
Orange SA | 2.750% | 9/14/16 | 7,450 | 7,686 |
Qwest Corp. | 7.500% | 10/1/14 | 2,000 | 2,123 |
Qwest Corp. | 8.375% | 5/1/16 | 1,925 | 2,204 |
Qwest Corp. | 6.500% | 6/1/17 | 3,800 | 4,282 |
Rogers Communications Inc. | 7.500% | 3/15/15 | 3,100 | 3,405 |
Rogers Communications Inc. | 6.800% | 8/15/18 | 7,425 | 8,774 |
Scripps Networks Interactive Inc. | 2.700% | 12/15/16 | 2,225 | 2,302 |
TCI Communications Inc. | 8.750% | 8/1/15 | 1,125 | 1,290 |
Telecom Italia Capital SA | 6.175% | 6/18/14 | 2,356 | 2,432 |
Telecom Italia Capital SA | 5.250% | 10/1/15 | 5,575 | 5,822 |
Telecom Italia Capital SA | 6.999% | 6/4/18 | 5,150 | 5,562 |
Telefonica Emisiones SAU | 4.949% | 1/15/15 | 4,450 | 4,630 |
Telefonica Emisiones SAU | 3.729% | 4/27/15 | 1,650 | 1,697 |
Telefonica Emisiones SAU | 3.992% | 2/16/16 | 11,175 | 11,536 |
78
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Telefonica Emisiones SAU | 6.421% | 6/20/16 | 4,600 | 5,041 |
Telefonica Emisiones SAU | 6.221% | 7/3/17 | 750 | 822 |
Telefonica Emisiones SAU | 3.192% | 4/27/18 | 7,800 | 7,613 |
Telefonos de Mexico SAB de CV | 5.500% | 1/27/15 | 2,000 | 2,125 |
Thomson Reuters Corp. | 5.700% | 10/1/14 | 3,825 | 4,021 |
Thomson Reuters Corp. | 6.500% | 7/15/18 | 6,250 | 7,302 |
Time Warner Cable Inc. | 3.500% | 2/1/15 | 3,225 | 3,323 |
Time Warner Cable Inc. | 5.850% | 5/1/17 | 8,200 | 8,922 |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 9,617 | 10,728 |
Verizon Communications Inc. | 1.250% | 11/3/14 | 5,050 | 5,084 |
Verizon Communications Inc. | 5.550% | 2/15/16 | 5,350 | 5,899 |
Verizon Communications Inc. | 3.000% | 4/1/16 | 4,650 | 4,839 |
Verizon Communications Inc. | 2.000% | 11/1/16 | 14,775 | 14,963 |
Verizon Communications Inc. | 5.500% | 4/1/17 | 3,400 | 3,813 |
Verizon Communications Inc. | 1.100% | 11/1/17 | 3,750 | 3,627 |
Verizon Communications Inc. | 5.500% | 2/15/18 | 5,425 | 6,114 |
Verizon Communications Inc. | 6.100% | 4/15/18 | 8,500 | 9,863 |
Vodafone Group plc | 5.375% | 1/30/15 | 6,790 | 7,206 |
Vodafone Group plc | 5.000% | 9/15/15 | 2,700 | 2,894 |
Vodafone Group plc | 3.375% | 11/24/15 | 3,300 | 3,458 |
Vodafone Group plc | 0.900% | 2/19/16 | 5,000 | 4,930 |
Vodafone Group plc | 5.750% | 3/15/16 | 2,525 | 2,789 |
Vodafone Group plc | 2.875% | 3/16/16 | 2,850 | 2,947 |
Vodafone Group plc | 5.625% | 2/27/17 | 7,500 | 8,338 |
Vodafone Group plc | 1.625% | 3/20/17 | 3,625 | 3,571 |
Vodafone Group plc | 1.250% | 9/26/17 | 5,725 | 5,490 |
Vodafone Group plc | 1.500% | 2/19/18 | 4,000 | 3,855 |
Vodafone Group plc | 4.625% | 7/15/18 | 2,725 | 2,981 |
WPP Finance UK | 8.000% | 9/15/14 | 2,725 | 2,913 |
Consumer Cyclical (6.9%) | ||||
Amazon.com Inc. | 0.650% | 11/27/15 | 5,650 | 5,626 |
Amazon.com Inc. | 1.200% | 11/29/17 | 4,025 | 3,893 |
AutoZone Inc. | 5.750% | 1/15/15 | 2,450 | 2,610 |
AutoZone Inc. | 5.500% | 11/15/15 | 2,500 | 2,733 |
AutoZone Inc. | 7.125% | 8/1/18 | 125 | 149 |
Brinker International Inc. | 2.600% | 5/15/18 | 1,100 | 1,081 |
Carnival Corp. | 1.200% | 2/5/16 | 1,425 | 1,410 |
Carnival Corp. | 1.875% | 12/15/17 | 5,375 | 5,214 |
Costco Wholesale Corp. | 0.650% | 12/7/15 | 4,400 | 4,395 |
Costco Wholesale Corp. | 5.500% | 3/15/17 | 7,150 | 8,110 |
Costco Wholesale Corp. | 1.125% | 12/15/17 | 5,400 | 5,261 |
CVS Caremark Corp. | 4.875% | 9/15/14 | 1,725 | 1,800 |
CVS Caremark Corp. | 3.250% | 5/18/15 | 4,050 | 4,214 |
CVS Caremark Corp. | 6.125% | 8/15/16 | 1,055 | 1,202 |
CVS Caremark Corp. | 5.750% | 6/1/17 | 7,220 | 8,223 |
Darden Restaurants Inc. | 6.200% | 10/15/17 | 1,600 | 1,793 |
Dollar General Corp. | 4.125% | 7/15/17 | 4,000 | 4,198 |
eBay Inc. | 1.625% | 10/15/15 | 2,950 | 3,008 |
eBay Inc. | 1.350% | 7/15/17 | 6,100 | 6,029 |
Expedia Inc. | 7.456% | 8/15/18 | 1,925 | 2,221 |
Ford Motor Credit Co. LLC | 8.700% | 10/1/14 | 6,125 | 6,595 |
Ford Motor Credit Co. LLC | 3.875% | 1/15/15 | 5,625 | 5,792 |
Ford Motor Credit Co. LLC | 7.000% | 4/15/15 | 9,700 | 10,491 |
Ford Motor Credit Co. LLC | 2.750% | 5/15/15 | 7,700 | 7,827 |
Ford Motor Credit Co. LLC | 12.000% | 5/15/15 | 3,475 | 4,052 |
79
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Ford Motor Credit Co. LLC | 5.625% | 9/15/15 | 6,300 | 6,759 |
Ford Motor Credit Co. LLC | 2.500% | 1/15/16 | 3,500 | 3,533 |
Ford Motor Credit Co. LLC | 4.207% | 4/15/16 | 4,700 | 4,926 |
Ford Motor Credit Co. LLC | 1.700% | 5/9/16 | 3,000 | 2,960 |
Ford Motor Credit Co. LLC | 3.984% | 6/15/16 | 7,850 | 8,197 |
Ford Motor Credit Co. LLC | 8.000% | 12/15/16 | 9,525 | 11,065 |
Ford Motor Credit Co. LLC | 4.250% | 2/3/17 | 7,375 | 7,727 |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 10,550 | 10,619 |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 9,125 | 10,294 |
Ford Motor Credit Co. LLC | 2.375% | 1/16/18 | 7,393 | 7,186 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 6,675 | 7,154 |
Historic TW Inc. | 6.875% | 6/15/18 | 2,764 | 3,298 |
Home Depot Inc. | 5.400% | 3/1/16 | 14,518 | 16,063 |
Hyatt Hotels Corp. | 3.875% | 8/15/16 | 400 | 424 |
Johnson Controls Inc. | 5.500% | 1/15/16 | 2,950 | 3,225 |
Johnson Controls Inc. | 2.600% | 12/1/16 | 1,475 | 1,521 |
Kohl’s Corp. | 6.250% | 12/15/17 | 2,500 | 2,867 |
Lowe’s Cos. Inc. | 5.000% | 10/15/15 | 2,125 | 2,311 |
Lowe’s Cos. Inc. | 2.125% | 4/15/16 | 2,850 | 2,925 |
Lowe’s Cos. Inc. | 5.400% | 10/15/16 | 500 | 563 |
Lowe’s Cos. Inc. | 1.625% | 4/15/17 | 5,825 | 5,799 |
Macy’s Retail Holdings Inc. | 7.875% | 7/15/15 | 2,425 | 2,722 |
Macy’s Retail Holdings Inc. | 5.900% | 12/1/16 | 3,158 | 3,569 |
Macy’s Retail Holdings Inc. | 7.450% | 7/15/17 | 1,250 | 1,480 |
Marriott International Inc. | 6.200% | 6/15/16 | 4,650 | 5,213 |
Marriott International Inc. | 6.375% | 6/15/17 | 1,825 | 2,038 |
McDonald’s Corp. | 0.750% | 5/29/15 | 400 | 401 |
McDonald’s Corp. | 5.300% | 3/15/17 | 4,000 | 4,486 |
McDonald’s Corp. | 5.800% | 10/15/17 | 1,920 | 2,217 |
McDonald’s Corp. | 5.350% | 3/1/18 | 6,215 | 7,086 |
Nordstrom Inc. | 6.250% | 1/15/18 | 2,467 | 2,854 |
PACCAR Financial Corp. | 1.050% | 6/5/15 | 1,600 | 1,608 |
PACCAR Financial Corp. | 0.700% | 11/16/15 | 1,000 | 997 |
PACCAR Financial Corp. | 0.800% | 2/8/16 | 1,725 | 1,715 |
PACCAR Financial Corp. | 0.750% | 5/16/16 | 3,000 | 2,965 |
PACCAR Financial Corp. | 1.150% | 8/16/16 | 3,700 | 3,696 |
PACCAR Financial Corp. | 1.600% | 3/15/17 | 1,925 | 1,903 |
Staples Inc. | 2.750% | 1/12/18 | 1,175 | 1,179 |
Starbucks Corp. | 6.250% | 8/15/17 | 1,600 | 1,842 |
Starwood Hotels & Resorts Worldwide Inc. | 7.375% | 11/15/15 | 1,850 | 2,077 |
Starwood Hotels & Resorts Worldwide Inc. | 6.750% | 5/15/18 | 1,300 | 1,523 |
Target Corp. | 5.875% | 7/15/16 | 4,275 | 4,842 |
Target Corp. | 5.375% | 5/1/17 | 4,353 | 4,925 |
Target Corp. | 6.000% | 1/15/18 | 6,450 | 7,510 |
Time Warner Cos. Inc. | 7.250% | 10/15/17 | 468 | 563 |
Time Warner Inc. | 3.150% | 7/15/15 | 6,875 | 7,160 |
Time Warner Inc. | 5.875% | 11/15/16 | 4,600 | 5,206 |
TJX Cos. Inc. | 4.200% | 8/15/15 | 1,775 | 1,891 |
Toyota Motor Credit Corp. | 1.250% | 11/17/14 | 7,175 | 7,239 |
Toyota Motor Credit Corp. | 1.000% | 2/17/15 | 4,575 | 4,605 |
Toyota Motor Credit Corp. | 3.200% | 6/17/15 | 5,275 | 5,509 |
Toyota Motor Credit Corp. | 0.875% | 7/17/15 | 5,642 | 5,668 |
Toyota Motor Credit Corp. | 2.800% | 1/11/16 | 3,300 | 3,434 |
Toyota Motor Credit Corp. | 2.000% | 9/15/16 | 7,200 | 7,364 |
Toyota Motor Credit Corp. | 2.050% | 1/12/17 | 3,625 | 3,675 |
Toyota Motor Credit Corp. | 1.750% | 5/22/17 | 9,875 | 9,870 |
80
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Toyota Motor Credit Corp. | 1.250% | 10/5/17 | 5,550 | 5,408 |
Toyota Motor Credit Corp. | 1.375% | 1/10/18 | 5,044 | 4,906 |
Viacom Inc. | 4.375% | 9/15/14 | 2,350 | 2,434 |
Viacom Inc. | 1.250% | 2/27/15 | 4,700 | 4,717 |
Viacom Inc. | 4.250% | 9/15/15 | 700 | 741 |
Viacom Inc. | 6.250% | 4/30/16 | 2,850 | 3,188 |
Viacom Inc. | 2.500% | 12/15/16 | 3,300 | 3,373 |
Viacom Inc. | 3.500% | 4/1/17 | 475 | 495 |
Viacom Inc. | 6.125% | 10/5/17 | 4,600 | 5,244 |
Viacom Inc. | 2.500% | 9/1/18 | 1,100 | 1,088 |
Wal-Mart Stores Inc. | 2.875% | 4/1/15 | 3,750 | 3,887 |
Wal-Mart Stores Inc. | 4.500% | 7/1/15 | 4,425 | 4,747 |
Wal-Mart Stores Inc. | 2.250% | 7/8/15 | 3,425 | 3,530 |
Wal-Mart Stores Inc. | 1.500% | 10/25/15 | 9,025 | 9,194 |
Wal-Mart Stores Inc. | 0.600% | 4/11/16 | 2,150 | 2,136 |
Wal-Mart Stores Inc. | 2.800% | 4/15/16 | 2,075 | 2,177 |
Wal-Mart Stores Inc. | 5.375% | 4/5/17 | 7,725 | 8,753 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 2,425 | 2,824 |
Wal-Mart Stores Inc. | 1.125% | 4/11/18 | 4,100 | 3,965 |
Walgreen Co. | 1.000% | 3/13/15 | 4,700 | 4,712 |
Walgreen Co. | 1.800% | 9/15/17 | 4,865 | 4,830 |
Walt Disney Co. | 0.875% | 12/1/14 | 5,350 | 5,379 |
Walt Disney Co. | 0.450% | 12/1/15 | 2,000 | 1,992 |
Walt Disney Co. | 1.350% | 8/16/16 | 3,425 | 3,457 |
Walt Disney Co. | 5.625% | 9/15/16 | 4,500 | 5,104 |
Walt Disney Co. | 1.125% | 2/15/17 | 1,050 | 1,029 |
Walt Disney Co. | 6.000% | 7/17/17 | 2,100 | 2,429 |
Walt Disney Co. | 1.100% | 12/1/17 | 5,300 | 5,159 |
Walt Disney Co. | 5.875% | 12/15/17 | 3,700 | 4,299 |
Western Union Co. | 5.930% | 10/1/16 | 4,450 | 4,938 |
Western Union Co. | 2.875% | 12/10/17 | 1,965 | 1,979 |
Western Union Co. | 3.650% | 8/22/18 | 3,250 | 3,319 |
Wyndham Worldwide Corp. | 6.000% | 12/1/16 | 1,688 | 1,876 |
Wyndham Worldwide Corp. | 2.950% | 3/1/17 | 300 | 304 |
Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 3,165 | 3,098 |
Yum! Brands Inc. | 6.250% | 4/15/16 | 2,714 | 3,039 |
Yum! Brands Inc. | 6.250% | 3/15/18 | 1,700 | 1,960 |
Consumer Noncyclical (13.0%) | ||||
AbbVie Inc. | 1.200% | 11/6/15 | 17,425 | 17,511 |
AbbVie Inc. | 1.750% | 11/6/17 | 18,225 | 17,968 |
Actavis Inc. | 1.875% | 10/1/17 | 5,021 | 4,938 |
Allergan Inc. | 5.750% | 4/1/16 | 3,000 | 3,346 |
Allergan Inc. | 1.350% | 3/15/18 | 2,025 | 1,949 |
Altria Group Inc. | 4.125% | 9/11/15 | 6,213 | 6,598 |
AmerisourceBergen Corp. | 5.875% | 9/15/15 | 3,375 | 3,701 |
Amgen Inc. | 1.875% | 11/15/14 | 4,050 | 4,112 |
Amgen Inc. | 4.850% | 11/18/14 | 4,900 | 5,143 |
Amgen Inc. | 2.300% | 6/15/16 | 3,500 | 3,589 |
Amgen Inc. | 2.500% | 11/15/16 | 5,800 | 5,985 |
Amgen Inc. | 2.125% | 5/15/17 | 9,275 | 9,331 |
Amgen Inc. | 5.850% | 6/1/17 | 3,900 | 4,424 |
Amgen Inc. | 6.150% | 6/1/18 | 1,800 | 2,096 |
Anheuser-Busch Cos. LLC | 5.600% | 3/1/17 | 1,385 | 1,566 |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 4,600 | 5,258 |
Anheuser-Busch InBev Finance Inc. | 0.800% | 1/15/16 | 750 | 748 |
81
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 7,275 | 7,062 |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 11/15/14 | 6,875 | 7,263 |
Anheuser-Busch InBev Worldwide Inc. | 4.125% | 1/15/15 | 8,050 | 8,430 |
Anheuser-Busch InBev Worldwide Inc. | 3.625% | 4/15/15 | 2,800 | 2,933 |
Anheuser-Busch InBev Worldwide Inc. | 0.800% | 7/15/15 | 9,700 | 9,720 |
Anheuser-Busch InBev Worldwide Inc. | 2.875% | 2/15/16 | 600 | 627 |
Anheuser-Busch InBev Worldwide Inc. | 1.375% | 7/15/17 | 13,025 | 12,870 |
Archer-Daniels-Midland Co. | 8.375% | 4/15/17 | 750 | 916 |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 3,925 | 4,489 |
AstraZeneca plc | 5.900% | 9/15/17 | 9,300 | 10,713 |
Avon Products Inc. | 2.375% | 3/15/16 | 825 | 833 |
Avon Products Inc. | 5.750% | 3/1/18 | 1,500 | 1,611 |
Baxter International Inc. | 4.625% | 3/15/15 | 1,200 | 1,273 |
Baxter International Inc. | 5.900% | 9/1/16 | 5,085 | 5,784 |
Baxter International Inc. | 1.850% | 1/15/17 | 1,000 | 1,010 |
Baxter International Inc. | 5.375% | 6/1/18 | 2,725 | 3,093 |
Baxter International Inc. | 1.850% | 6/15/18 | 5,000 | 4,949 |
Beam Inc. | 5.375% | 1/15/16 | 1,568 | 1,705 |
Beam Inc. | 1.875% | 5/15/17 | 1,125 | 1,120 |
Beam Inc. | 1.750% | 6/15/18 | 2,725 | 2,659 |
Becton Dickinson & Co. | 1.750% | 11/8/16 | 2,375 | 2,408 |
Biogen Idec Inc. | 6.875% | 3/1/18 | 2,325 | 2,738 |
Boston Scientific Corp. | 4.500% | 1/15/15 | 4,365 | 4,561 |
Boston Scientific Corp. | 6.250% | 11/15/15 | 3,800 | 4,192 |
Boston Scientific Corp. | 6.400% | 6/15/16 | 1,575 | 1,765 |
Boston Scientific Corp. | 5.125% | 1/12/17 | 1,650 | 1,776 |
Bottling Group LLC | 5.500% | 4/1/16 | 625 | 693 |
Bristol-Myers Squibb Co. | 0.875% | 8/1/17 | 2,600 | 2,515 |
Bristol-Myers Squibb Co. | 5.450% | 5/1/18 | 3,205 | 3,709 |
Brown-Forman Corp. | 2.500% | 1/15/16 | 725 | 746 |
Brown-Forman Corp. | 1.000% | 1/15/18 | 2,150 | 2,065 |
Bunge Ltd. Finance Corp. | 5.100% | 7/15/15 | 3,000 | 3,203 |
Bunge Ltd. Finance Corp. | 4.100% | 3/15/16 | 2,875 | 3,027 |
Bunge Ltd. Finance Corp. | 3.200% | 6/15/17 | 2,500 | 2,560 |
Campbell Soup Co. | 3.375% | 8/15/14 | 500 | 513 |
Campbell Soup Co. | 3.050% | 7/15/17 | 1,320 | 1,377 |
Cardinal Health Inc. | 4.000% | 6/15/15 | 2,100 | 2,211 |
Cardinal Health Inc. | 1.900% | 6/15/17 | 3,900 | 3,873 |
Cardinal Health Inc. | 1.700% | 3/15/18 | 2,250 | 2,171 |
Catholic Health Initiatives Colorado GO | 1.600% | 11/1/17 | 1,200 | 1,165 |
Celgene Corp. | 2.450% | 10/15/15 | 3,575 | 3,673 |
Celgene Corp. | 1.900% | 8/15/17 | 600 | 597 |
Celgene Corp. | 2.300% | 8/15/18 | 2,575 | 2,545 |
Church & Dwight Co. Inc. | 3.350% | 12/15/15 | 350 | 363 |
Clorox Co. | 5.000% | 1/15/15 | 1,025 | 1,084 |
Clorox Co. | 5.950% | 10/15/17 | 6,950 | 7,941 |
Coca-Cola Co. | 0.750% | 3/13/15 | 6,600 | 6,628 |
Coca-Cola Co. | 1.500% | 11/15/15 | 4,220 | 4,313 |
Coca-Cola Co. | 1.800% | 9/1/16 | 8,425 | 8,607 |
Coca-Cola Co. | 5.350% | 11/15/17 | 4,875 | 5,562 |
Coca-Cola Co. | 1.650% | 3/14/18 | 1,875 | 1,862 |
Coca-Cola Co. | 1.150% | 4/1/18 | 5,700 | 5,525 |
Coca-Cola Enterprises Inc. | 2.125% | 9/15/15 | 2,900 | 2,964 |
Coca-Cola Enterprises Inc. | 2.000% | 8/19/16 | 500 | 507 |
Coca-Cola HBC Finance BV | 5.500% | 9/17/15 | 1,250 | 1,344 |
Colgate-Palmolive Co. | 0.600% | 11/15/14 | 2,000 | 2,004 |
82
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Colgate-Palmolive Co. | 1.300% | 1/15/17 | 2,506 | 2,505 |
Colgate-Palmolive Co. | 2.625% | 5/1/17 | 625 | 647 |
Colgate-Palmolive Co. | 0.900% | 5/1/18 | 2,950 | 2,830 |
ConAgra Foods Inc. | 1.350% | 9/10/15 | 1,000 | 1,007 |
ConAgra Foods Inc. | 1.300% | 1/25/16 | 6,985 | 6,978 |
ConAgra Foods Inc. | 5.819% | 6/15/17 | 1,500 | 1,679 |
ConAgra Foods Inc. | 1.900% | 1/25/18 | 5,050 | 4,955 |
Covidien International Finance SA | 1.350% | 5/29/15 | 3,475 | 3,505 |
Covidien International Finance SA | 2.800% | 6/15/15 | 2,250 | 2,326 |
Covidien International Finance SA | 6.000% | 10/15/17 | 4,650 | 5,316 |
CR Bard Inc. | 1.375% | 1/15/18 | 2,000 | 1,931 |
Delhaize Group SA | 6.500% | 6/15/17 | 2,450 | 2,749 |
DENTSPLY International Inc. | 2.750% | 8/15/16 | 525 | 538 |
Diageo Capital plc | 0.625% | 4/29/16 | 5,900 | 5,816 |
Diageo Capital plc | 5.500% | 9/30/16 | 1,700 | 1,911 |
Diageo Capital plc | 1.500% | 5/11/17 | 5,475 | 5,421 |
Diageo Capital plc | 5.750% | 10/23/17 | 5,350 | 6,117 |
Diageo Capital plc | 1.125% | 4/29/18 | 2,650 | 2,533 |
Diageo Finance BV | 3.250% | 1/15/15 | 400 | 414 |
Diageo Finance BV | 5.300% | 10/28/15 | 3,100 | 3,394 |
Dr Pepper Snapple Group Inc. | 2.900% | 1/15/16 | 3,110 | 3,223 |
Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 3,970 | 4,728 |
Eli Lilly & Co. | 5.200% | 3/15/17 | 5,800 | 6,510 |
Express Scripts Holding Co. | 2.750% | 11/21/14 | 1,800 | 1,840 |
Express Scripts Holding Co. | 2.100% | 2/12/15 | 3,025 | 3,073 |
Express Scripts Holding Co. | 3.125% | 5/15/16 | 11,450 | 11,932 |
Express Scripts Holding Co. | 3.500% | 11/15/16 | 4,225 | 4,464 |
Express Scripts Holding Co. | 2.650% | 2/15/17 | 5,675 | 5,806 |
Genentech Inc. | 4.750% | 7/15/15 | 4,175 | 4,481 |
General Mills Inc. | 5.200% | 3/17/15 | 5,775 | 6,167 |
General Mills Inc. | 0.875% | 1/29/16 | 1,140 | 1,134 |
General Mills Inc. | 5.700% | 2/15/17 | 3,825 | 4,319 |
Genzyme Corp. | 3.625% | 6/15/15 | 2,300 | 2,417 |
Gilead Sciences Inc. | 2.400% | 12/1/14 | 2,900 | 2,955 |
Gilead Sciences Inc. | 3.050% | 12/1/16 | 2,665 | 2,800 |
GlaxoSmithKline Capital Inc. | 0.700% | 3/18/16 | 4,975 | 4,953 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 13,600 | 15,665 |
GlaxoSmithKline Capital plc | 0.750% | 5/8/15 | 5,675 | 5,690 |
GlaxoSmithKline Capital plc | 1.500% | 5/8/17 | 10,425 | 10,360 |
Hasbro Inc. | 6.300% | 9/15/17 | 1,975 | 2,215 |
Hershey Co. | 5.450% | 9/1/16 | 1,400 | 1,574 |
Hershey Co. | 1.500% | 11/1/16 | 375 | 378 |
Hillshire Brands Co. | 2.750% | 9/15/15 | 1,125 | 1,152 |
Ingredion Inc. | 3.200% | 11/1/15 | 2,625 | 2,731 |
Johnson & Johnson | 2.150% | 5/15/16 | 3,720 | 3,850 |
Johnson & Johnson | 5.550% | 8/15/17 | 3,100 | 3,558 |
Johnson & Johnson | 5.150% | 7/15/18 | 5,850 | 6,710 |
Kellogg Co. | 1.125% | 5/15/15 | 1,600 | 1,610 |
Kellogg Co. | 4.450% | 5/30/16 | 3,975 | 4,315 |
Kellogg Co. | 1.875% | 11/17/16 | 4,200 | 4,260 |
Kellogg Co. | 1.750% | 5/17/17 | 2,775 | 2,768 |
Kellogg Co. | 3.250% | 5/21/18 | 450 | 470 |
Kimberly-Clark Corp. | 4.875% | 8/15/15 | 2,550 | 2,757 |
Kimberly-Clark Corp. | 6.125% | 8/1/17 | 4,646 | 5,403 |
Kimberly-Clark Corp. | 6.250% | 7/15/18 | 1,000 | 1,183 |
Koninklijke Philips NV | 5.750% | 3/11/18 | 8,500 | 9,803 |
83
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kraft Foods Group Inc. | 1.625% | 6/4/15 | 7,400 | 7,506 |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 5,100 | 5,165 |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 4,250 | 4,973 |
Kroger Co. | 3.900% | 10/1/15 | 2,550 | 2,694 |
Kroger Co. | 2.200% | 1/15/17 | 5,050 | 5,082 |
Kroger Co. | 6.400% | 8/15/17 | 2,425 | 2,781 |
Laboratory Corp. of America Holdings | 5.625% | 12/15/15 | 1,475 | 1,608 |
Laboratory Corp. of America Holdings | 3.125% | 5/15/16 | 100 | 103 |
Laboratory Corp. of America Holdings | 2.200% | 8/23/17 | 4,950 | 4,890 |
Life Technologies Corp. | 4.400% | 3/1/15 | 2,650 | 2,766 |
Lorillard Tobacco Co. | 3.500% | 8/4/16 | 4,650 | 4,855 |
Lorillard Tobacco Co. | 2.300% | 8/21/17 | 2,215 | 2,177 |
Mattel Inc. | 2.500% | 11/1/16 | 2,255 | 2,316 |
McKesson Corp. | 0.950% | 12/4/15 | 900 | 900 |
McKesson Corp. | 3.250% | 3/1/16 | 5,775 | 6,065 |
McKesson Corp. | 5.700% | 3/1/17 | 1,500 | 1,686 |
McKesson Corp. | 1.400% | 3/15/18 | 2,100 | 2,025 |
Mead Johnson Nutrition Co. | 3.500% | 11/1/14 | 1,000 | 1,025 |
Medco Health Solutions Inc. | 2.750% | 9/15/15 | 5,950 | 6,141 |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 8,175 | 9,806 |
Medtronic Inc. | 3.000% | 3/15/15 | 6,250 | 6,473 |
Medtronic Inc. | 2.625% | 3/15/16 | 4,300 | 4,462 |
Medtronic Inc. | 1.375% | 4/1/18 | 4,800 | 4,669 |
Merck & Co. Inc. | 2.250% | 1/15/16 | 3,675 | 3,793 |
Merck & Co. Inc. | 6.000% | 9/15/17 | 5,075 | 5,879 |
Merck & Co. Inc. | 1.100% | 1/31/18 | 4,176 | 4,029 |
Merck & Co. Inc. | 1.300% | 5/18/18 | 9,000 | 8,681 |
Merck Sharp & Dohme Corp. | 4.750% | 3/1/15 | 3,425 | 3,643 |
Merck Sharp & Dohme Corp. | 4.000% | 6/30/15 | 4,725 | 5,011 |
Molson Coors Brewing Co. | 2.000% | 5/1/17 | 1,100 | 1,104 |
Mondelez International Inc. | 4.125% | 2/9/16 | 10,200 | 10,877 |
Mondelez International Inc. | 6.500% | 8/11/17 | 10,057 | 11,643 |
Mondelez International Inc. | 6.125% | 2/1/18 | 5,900 | 6,780 |
Mondelez International Inc. | 6.125% | 8/23/18 | 2,300 | 2,659 |
2 Mylan Inc. | 1.800% | 6/24/16 | 2,100 | 2,101 |
2 Mylan Inc. | 2.600% | 6/24/18 | 2,725 | 2,701 |
Newell Rubbermaid Inc. | 2.000% | 6/15/15 | 375 | 380 |
Newell Rubbermaid Inc. | 2.050% | 12/1/17 | 2,700 | 2,649 |
Novartis Capital Corp. | 2.900% | 4/24/15 | 10,075 | 10,465 |
PepsiAmericas Inc. | 4.875% | 1/15/15 | 225 | 238 |
PepsiAmericas Inc. | 5.000% | 5/15/17 | 750 | 827 |
PepsiCo Inc. | 3.100% | 1/15/15 | 5,775 | 5,967 |
PepsiCo Inc. | 0.750% | 3/5/15 | 4,715 | 4,720 |
PepsiCo Inc. | 0.700% | 8/13/15 | 5,250 | 5,256 |
PepsiCo Inc. | 2.500% | 5/10/16 | 8,500 | 8,805 |
PepsiCo Inc. | 1.250% | 8/13/17 | 8,300 | 8,117 |
PepsiCo Inc. | 5.000% | 6/1/18 | 9,181 | 10,303 |
Pfizer Inc. | 5.350% | 3/15/15 | 15,435 | 16,521 |
Pfizer Inc. | 1.500% | 6/15/18 | 3,925 | 3,849 |
Philip Morris International Inc. | 2.500% | 5/16/16 | 6,950 | 7,207 |
Philip Morris International Inc. | 1.625% | 3/20/17 | 5,425 | 5,410 |
Philip Morris International Inc. | 1.125% | 8/21/17 | 1,325 | 1,289 |
Philip Morris International Inc. | 5.650% | 5/16/18 | 11,525 | 13,276 |
Procter & Gamble Co. | 3.500% | 2/15/15 | 3,375 | 3,520 |
Procter & Gamble Co. | 3.150% | 9/1/15 | 3,275 | 3,437 |
Procter & Gamble Co. | 1.800% | 11/15/15 | 4,350 | 4,456 |
84
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Procter & Gamble Co. | 4.850% | 12/15/15 | 3,850 | 4,209 |
Procter & Gamble Co. | 1.450% | 8/15/16 | 6,425 | 6,504 |
Quest Diagnostics Inc. | 5.450% | 11/1/15 | 1,090 | 1,182 |
Quest Diagnostics Inc. | 3.200% | 4/1/16 | 1,100 | 1,140 |
Quest Diagnostics Inc. | 6.400% | 7/1/17 | 1,725 | 1,946 |
Reynolds American Inc. | 1.050% | 10/30/15 | 1,050 | 1,049 |
Reynolds American Inc. | 7.625% | 6/1/16 | 4,250 | 4,924 |
Reynolds American Inc. | 6.750% | 6/15/17 | 4,850 | 5,580 |
Reynolds American Inc. | 7.750% | 6/1/18 | 1,350 | 1,634 |
Safeway Inc. | 6.350% | 8/15/17 | 6,565 | 7,460 |
Sanofi | 1.200% | 9/30/14 | 5,475 | 5,523 |
Sanofi | 2.625% | 3/29/16 | 7,940 | 8,257 |
Sanofi | 1.250% | 4/10/18 | 6,375 | 6,165 |
St. Jude Medical Inc. | 2.500% | 1/15/16 | 2,200 | 2,251 |
Stryker Corp. | 3.000% | 1/15/15 | 1,728 | 1,783 |
Stryker Corp. | 2.000% | 9/30/16 | 2,675 | 2,740 |
Stryker Corp. | 1.300% | 4/1/18 | 4,000 | 3,862 |
Sysco Corp. | 0.550% | 6/12/15 | 5,268 | 5,267 |
Teva Pharmaceutical Finance Co. BV | 2.400% | 11/10/16 | 4,100 | 4,204 |
Teva Pharmaceutical Finance II BV / | ||||
Teva Pharmaceutical Finance III LLC | 3.000% | 6/15/15 | 5,325 | 5,508 |
Thermo Fisher Scientific Inc. | 3.250% | 11/20/14 | 150 | 154 |
Thermo Fisher Scientific Inc. | 3.200% | 5/1/15 | 3,700 | 3,828 |
Thermo Fisher Scientific Inc. | 3.200% | 3/1/16 | 4,010 | 4,164 |
Thermo Fisher Scientific Inc. | 2.250% | 8/15/16 | 8,700 | 8,810 |
Tyson Foods Inc. | 6.600% | 4/1/16 | 4,585 | 5,135 |
Unilever Capital Corp. | 0.450% | 7/30/15 | 650 | 647 |
Unilever Capital Corp. | 2.750% | 2/10/16 | 2,500 | 2,607 |
Unilever Capital Corp. | 0.850% | 8/2/17 | 3,375 | 3,259 |
UST LLC | 5.750% | 3/1/18 | 1,275 | 1,454 |
Wyeth LLC | 5.500% | 2/15/16 | 4,675 | 5,199 |
Wyeth LLC | 5.450% | 4/1/17 | 4,545 | 5,173 |
Zimmer Holdings Inc. | 1.400% | 11/30/14 | 1,225 | 1,234 |
2 Zoetis Inc. | 1.150% | 2/1/16 | 2,425 | 2,420 |
2 Zoetis Inc. | 1.875% | 2/1/18 | 3,025 | 2,966 |
Energy (5.9%) | ||||
Anadarko Petroleum Corp. | 5.950% | 9/15/16 | 11,150 | 12,502 |
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 9,850 | 11,392 |
Apache Corp. | 5.625% | 1/15/17 | 3,025 | 3,402 |
Apache Corp. | 1.750% | 4/15/17 | 3,050 | 3,051 |
BP Capital Markets plc | 1.700% | 12/5/14 | 3,400 | 3,451 |
BP Capital Markets plc | 3.875% | 3/10/15 | 12,775 | 13,379 |
BP Capital Markets plc | 3.125% | 10/1/15 | 10,850 | 11,354 |
BP Capital Markets plc | 0.700% | 11/6/15 | 1,000 | 997 |
BP Capital Markets plc | 3.200% | 3/11/16 | 6,030 | 6,329 |
BP Capital Markets plc | 2.248% | 11/1/16 | 4,390 | 4,485 |
BP Capital Markets plc | 1.846% | 5/5/17 | 8,007 | 8,002 |
BP Capital Markets plc | 1.375% | 11/6/17 | 7,900 | 7,683 |
BP Capital Markets plc | 1.375% | 5/10/18 | 6,350 | 6,100 |
Cameron International Corp. | 1.600% | 4/30/15 | 600 | 603 |
Cameron International Corp. | 6.375% | 7/15/18 | 2,500 | 2,913 |
Canadian Natural Resources Ltd. | 1.450% | 11/14/14 | 5,125 | 5,159 |
Canadian Natural Resources Ltd. | 4.900% | 12/1/14 | 400 | 419 |
Canadian Natural Resources Ltd. | 5.700% | 5/15/17 | 7,400 | 8,318 |
Cenovus Energy Inc. | 4.500% | 9/15/14 | 4,600 | 4,781 |
85
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Chevron Corp. | 0.889% | 6/24/16 | 4,100 | 4,092 |
Chevron Corp. | 1.104% | 12/5/17 | 8,175 | 7,961 |
Chevron Corp. | 1.718% | 6/24/18 | 8,875 | 8,751 |
ConocoPhillips | 4.600% | 1/15/15 | 5,810 | 6,118 |
ConocoPhillips | 5.200% | 5/15/18 | 1,325 | 1,501 |
ConocoPhillips Canada Funding Co. I | 5.625% | 10/15/16 | 9,050 | 10,250 |
ConocoPhillips Co. | 1.050% | 12/15/17 | 5,400 | 5,207 |
Devon Energy Corp. | 2.400% | 7/15/16 | 1,675 | 1,719 |
Devon Energy Corp. | 1.875% | 5/15/17 | 3,775 | 3,735 |
Diamond Offshore Drilling Inc. | 5.150% | 9/1/14 | 750 | 783 |
Diamond Offshore Drilling Inc. | 4.875% | 7/1/15 | 1,200 | 1,289 |
Encana Corp. | 5.900% | 12/1/17 | 2,700 | 3,079 |
Ensco plc | 3.250% | 3/15/16 | 6,863 | 7,141 |
EOG Resources Inc. | 2.950% | 6/1/15 | 5,925 | 6,152 |
EOG Resources Inc. | 5.875% | 9/15/17 | 1,650 | 1,895 |
EQT Corp. | 6.500% | 4/1/18 | 2,500 | 2,803 |
FMC Technologies Inc. | 2.000% | 10/1/17 | 475 | 466 |
Halliburton Co. | 1.000% | 8/1/16 | 1,750 | 1,741 |
Halliburton Co. | 2.000% | 8/1/18 | 1,750 | 1,731 |
Marathon Oil Corp. | 0.900% | 11/1/15 | 8,100 | 8,085 |
Marathon Oil Corp. | 6.000% | 10/1/17 | 2,825 | 3,231 |
Marathon Oil Corp. | 5.900% | 3/15/18 | 4,625 | 5,263 |
Marathon Petroleum Corp. | 3.500% | 3/1/16 | 2,700 | 2,835 |
Murphy Oil Corp. | 2.500% | 12/1/17 | 2,500 | 2,465 |
Nabors Industries Inc. | 6.150% | 2/15/18 | 5,350 | 5,928 |
National Oilwell Varco Inc. | 1.350% | 12/1/17 | 2,500 | 2,433 |
Noble Holding International Ltd. | 3.450% | 8/1/15 | 800 | 830 |
Noble Holding International Ltd. | 3.050% | 3/1/16 | 3,900 | 4,012 |
Noble Holding International Ltd. | 2.500% | 3/15/17 | 700 | 700 |
Occidental Petroleum Corp. | 2.500% | 2/1/16 | 1,200 | 1,239 |
Occidental Petroleum Corp. | 4.125% | 6/1/16 | 4,450 | 4,799 |
Occidental Petroleum Corp. | 1.750% | 2/15/17 | 9,550 | 9,549 |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 2,170 | 2,107 |
PC Financial Partnership | 5.000% | 11/15/14 | 3,000 | 3,144 |
Petro-Canada | 6.050% | 5/15/18 | 1,525 | 1,761 |
Petrohawk Energy Corp. | 7.875% | 6/1/15 | 3,125 | 3,180 |
Petrohawk Energy Corp. | 7.250% | 8/15/18 | 6,450 | 7,006 |
Phillips 66 | 1.950% | 3/5/15 | 2,825 | 2,869 |
Phillips 66 | 2.950% | 5/1/17 | 10,616 | 10,938 |
Pioneer Natural Resources Co. | 5.875% | 7/15/16 | 4,530 | 5,028 |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 2,825 | 3,306 |
Rowan Cos. Inc. | 5.000% | 9/1/17 | 1,700 | 1,837 |
Shell International Finance BV | 3.100% | 6/28/15 | 7,500 | 7,838 |
Shell International Finance BV | 3.250% | 9/22/15 | 7,175 | 7,550 |
Shell International Finance BV | 0.625% | 12/4/15 | 3,125 | 3,120 |
Shell International Finance BV | 5.200% | 3/22/17 | 4,100 | 4,603 |
Shell International Finance BV | 1.125% | 8/21/17 | 4,250 | 4,180 |
Shell International Finance BV | 1.900% | 8/10/18 | 3,500 | 3,475 |
Southwestern Energy Co. | 7.500% | 2/1/18 | 2,200 | 2,610 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 5,881 | 6,826 |
Talisman Energy Inc. | 5.125% | 5/15/15 | 1,450 | 1,542 |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 3,983 | 3,903 |
Total Capital International SA | 0.750% | 1/25/16 | 4,625 | 4,600 |
Total Capital International SA | 1.000% | 8/12/16 | 1,000 | 992 |
Total Capital International SA | 1.500% | 2/17/17 | 6,075 | 6,041 |
Total Capital International SA | 1.550% | 6/28/17 | 5,450 | 5,404 |
86
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Total Capital SA | 3.000% | 6/24/15 | 9,425 | 9,834 |
Total Capital SA | 3.125% | 10/2/15 | 3,350 | 3,507 |
Total Capital SA | 2.300% | 3/15/16 | 3,450 | 3,555 |
Total Capital SA | 2.125% | 8/10/18 | 5,725 | 5,704 |
Transocean Inc. | 4.950% | 11/15/15 | 6,995 | 7,506 |
Transocean Inc. | 5.050% | 12/15/16 | 6,600 | 7,208 |
Transocean Inc. | 2.500% | 10/15/17 | 2,800 | 2,771 |
Transocean Inc. | 6.000% | 3/15/18 | 5,864 | 6,529 |
Valero Energy Corp. | 4.500% | 2/1/15 | 2,600 | 2,727 |
Valero Energy Corp. | 6.125% | 6/15/17 | 4,800 | 5,463 |
Weatherford International Ltd. | 6.350% | 6/15/17 | 3,500 | 3,923 |
Weatherford International Ltd. | 5.500% | 2/15/16 | 1,705 | 1,839 |
Weatherford International Ltd. | 6.000% | 3/15/18 | 2,125 | 2,359 |
XTO Energy Inc. | 6.250% | 8/1/17 | 2,950 | 3,451 |
XTO Energy Inc. | 5.500% | 6/15/18 | 1,100 | 1,281 |
Other Industrial (0.1%) | ||||
Cintas Corp. No 2 | 6.125% | 12/1/17 | 875 | 1,003 |
Leucadia National Corp. | 8.125% | 9/15/15 | 1,444 | 1,610 |
2 URS Corp. | 4.350% | 4/1/17 | 750 | 764 |
Yale University Connecticut GO | 2.900% | 10/15/14 | 331 | 340 |
Technology (5.5%) | ||||
Adobe Systems Inc. | 3.250% | 2/1/15 | 2,250 | 2,323 |
Agilent Technologies Inc. | 5.500% | 9/14/15 | 1,775 | 1,928 |
Agilent Technologies Inc. | 6.500% | 11/1/17 | 3,700 | 4,280 |
Altera Corp. | 1.750% | 5/15/17 | 3,675 | 3,620 |
Amphenol Corp. | 4.750% | 11/15/14 | 3,700 | 3,867 |
Analog Devices Inc. | 3.000% | 4/15/16 | 1,000 | 1,042 |
Apple Inc. | 0.450% | 5/3/16 | 6,700 | 6,615 |
Apple Inc. | 1.000% | 5/3/18 | 18,150 | 17,304 |
Applied Materials Inc. | 2.650% | 6/15/16 | 2,500 | 2,587 |
Arrow Electronics Inc. | 3.375% | 11/1/15 | 500 | 518 |
Autodesk Inc. | 1.950% | 12/15/17 | 1,975 | 1,919 |
Avnet Inc. | 6.625% | 9/15/16 | 1,600 | 1,798 |
Baidu Inc. | 2.250% | 11/28/17 | 4,500 | 4,382 |
Baidu Inc. | 3.250% | 8/6/18 | 3,800 | 3,754 |
BMC Software Inc. | 7.250% | 6/1/18 | 250 | 254 |
Broadcom Corp. | 2.375% | 11/1/15 | 2,900 | 2,986 |
CA Inc. | 6.125% | 12/1/14 | 1,500 | 1,591 |
CA Inc. | 2.875% | 8/15/18 | 1,850 | 1,840 |
Cisco Systems Inc. | 2.900% | 11/17/14 | 2,350 | 2,419 |
Cisco Systems Inc. | 5.500% | 2/22/16 | 14,625 | 16,243 |
Cisco Systems Inc. | 3.150% | 3/14/17 | 2,550 | 2,694 |
Computer Sciences Corp. | 2.500% | 9/15/15 | 1,000 | 1,022 |
Computer Sciences Corp. | 6.500% | 3/15/18 | 5,450 | 6,196 |
Corning Inc. | 1.450% | 11/15/17 | 1,850 | 1,809 |
Dell Inc. | 2.300% | 9/10/15 | 7,475 | 7,407 |
Dell Inc. | 3.100% | 4/1/16 | 425 | 424 |
Dun & Bradstreet Corp. | 2.875% | 11/15/15 | 1,625 | 1,670 |
Dun & Bradstreet Corp. | 3.250% | 12/1/17 | 2,100 | 2,112 |
EMC Corp. | 1.875% | 6/1/18 | 11,950 | 11,768 |
Equifax Inc. | 4.450% | 12/1/14 | 250 | 260 |
Equifax Inc. | 6.300% | 7/1/17 | 1,300 | 1,458 |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 475 | 456 |
Fiserv Inc. | 3.125% | 6/15/16 | 4,275 | 4,451 |
87
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Fiserv Inc. | 6.800% | 11/20/17 | 1,725 | 2,007 |
Google Inc. | 2.125% | 5/19/16 | 5,200 | 5,371 |
Harris Corp. | 5.950% | 12/1/17 | 1,675 | 1,856 |
Hewlett-Packard Co. | 2.625% | 12/9/14 | 2,150 | 2,194 |
Hewlett-Packard Co. | 2.350% | 3/15/15 | 6,125 | 6,219 |
Hewlett-Packard Co. | 2.125% | 9/13/15 | 5,950 | 6,030 |
Hewlett-Packard Co. | 2.200% | 12/1/15 | 1,000 | 1,017 |
Hewlett-Packard Co. | 2.650% | 6/1/16 | 4,695 | 4,792 |
Hewlett-Packard Co. | 3.000% | 9/15/16 | 6,657 | 6,862 |
Hewlett-Packard Co. | 3.300% | 12/9/16 | 4,405 | 4,567 |
Hewlett-Packard Co. | 5.400% | 3/1/17 | 2,850 | 3,119 |
Hewlett-Packard Co. | 2.600% | 9/15/17 | 7,250 | 7,263 |
Hewlett-Packard Co. | 5.500% | 3/1/18 | 3,400 | 3,758 |
Intel Corp. | 1.950% | 10/1/16 | 7,075 | 7,246 |
Intel Corp. | 1.350% | 12/15/17 | 11,600 | 11,351 |
International Business Machines Corp. | 0.875% | 10/31/14 | 5,625 | 5,658 |
International Business Machines Corp. | 0.550% | 2/6/15 | 5,425 | 5,431 |
International Business Machines Corp. | 0.750% | 5/11/15 | 6,600 | 6,627 |
International Business Machines Corp. | 2.000% | 1/5/16 | 3,700 | 3,796 |
International Business Machines Corp. | 0.450% | 5/6/16 | 2,075 | 2,050 |
International Business Machines Corp. | 1.950% | 7/22/16 | 11,755 | 12,069 |
International Business Machines Corp. | 1.250% | 2/6/17 | 5,125 | 5,092 |
International Business Machines Corp. | 5.700% | 9/14/17 | 14,556 | 16,760 |
International Business Machines Corp. | 1.250% | 2/8/18 | 6,925 | 6,731 |
Intuit Inc. | 5.750% | 3/15/17 | 2,025 | 2,249 |
Jabil Circuit Inc. | 7.750% | 7/15/16 | 2,700 | 3,065 |
Jabil Circuit Inc. | 8.250% | 3/15/18 | 1,550 | 1,825 |
Juniper Networks Inc. | 3.100% | 3/15/16 | 1,450 | 1,492 |
KLA-Tencor Corp. | 6.900% | 5/1/18 | 2,275 | 2,655 |
Microsoft Corp. | 1.625% | 9/25/15 | 7,075 | 7,232 |
Microsoft Corp. | 2.500% | 2/8/16 | 3,752 | 3,905 |
Microsoft Corp. | 0.875% | 11/15/17 | 2,600 | 2,525 |
Microsoft Corp. | 1.000% | 5/1/18 | 1,400 | 1,354 |
Motorola Solutions Inc. | 6.000% | 11/15/17 | 3,500 | 3,938 |
National Semiconductor Corp. | 6.600% | 6/15/17 | 1,300 | 1,518 |
NetApp Inc. | 2.000% | 12/15/17 | 3,055 | 2,982 |
Oracle Corp. | 5.250% | 1/15/16 | 4,150 | 4,571 |
Oracle Corp. | 1.200% | 10/15/17 | 13,225 | 12,863 |
Oracle Corp. | 5.750% | 4/15/18 | 11,949 | 13,836 |
Pitney Bowes Inc. | 4.750% | 1/15/16 | 3,750 | 3,969 |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 3,080 | 3,323 |
Pitney Bowes Inc. | 5.600% | 3/15/18 | 725 | 783 |
Pitney Bowes Inc. | 4.750% | 5/15/18 | 2,750 | 2,868 |
Symantec Corp. | 2.750% | 9/15/15 | 1,600 | 1,650 |
Symantec Corp. | 2.750% | 6/15/17 | 2,675 | 2,701 |
Tech Data Corp. | 3.750% | 9/21/17 | 1,200 | 1,212 |
Texas Instruments Inc. | 0.450% | 8/3/15 | 3,694 | 3,682 |
Texas Instruments Inc. | 2.375% | 5/16/16 | 5,200 | 5,393 |
Texas Instruments Inc. | 1.000% | 5/1/18 | 2,250 | 2,147 |
Total System Services Inc. | 2.375% | 6/1/18 | 1,975 | 1,908 |
Tyco Electronics Group SA | 1.600% | 2/3/15 | 1,500 | 1,510 |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 3,575 | 4,093 |
Xerox Corp. | 4.250% | 2/15/15 | 10,150 | 10,581 |
Xerox Corp. | 6.400% | 3/15/16 | 3,000 | 3,332 |
Xerox Corp. | 6.750% | 2/1/17 | 3,250 | 3,699 |
Xerox Corp. | 2.950% | 3/15/17 | 3,500 | 3,573 |
Xerox Corp. | 6.350% | 5/15/18 | 3,315 | 3,777 |
88
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Transportation (1.0%) | ||||
Burlington Northern Santa Fe LLC | 5.650% | 5/1/17 | 2,250 | 2,542 |
Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 4,200 | 4,817 |
Canadian National Railway Co. | 5.800% | 6/1/16 | 700 | 788 |
Canadian National Railway Co. | 1.450% | 12/15/16 | 1,200 | 1,212 |
Canadian National Railway Co. | 5.850% | 11/15/17 | 1,000 | 1,151 |
Canadian National Railway Co. | 5.550% | 5/15/18 | 900 | 1,033 |
Con-way Inc. | 7.250% | 1/15/18 | 1,500 | 1,693 |
1 Continental Airlines 2009-1 Pass Through Trust | 9.000% | 1/8/18 | 803 | 913 |
CSX Corp. | 6.250% | 4/1/15 | 4,646 | 5,030 |
CSX Corp. | 5.600% | 5/1/17 | 1,545 | 1,732 |
CSX Corp. | 6.250% | 3/15/18 | 4,750 | 5,527 |
JB Hunt Transport Services Inc. | 3.375% | 9/15/15 | 300 | 310 |
Norfolk Southern Corp. | 5.257% | 9/17/14 | 2,000 | 2,093 |
Norfolk Southern Corp. | 5.750% | 1/15/16 | 3,200 | 3,538 |
Norfolk Southern Corp. | 7.700% | 5/15/17 | 800 | 960 |
Norfolk Southern Corp. | 5.750% | 4/1/18 | 3,175 | 3,644 |
Ryder System Inc. | 3.150% | 3/2/15 | 1,225 | 1,262 |
Ryder System Inc. | 7.200% | 9/1/15 | 325 | 362 |
Ryder System Inc. | 3.600% | 3/1/16 | 2,100 | 2,195 |
Ryder System Inc. | 2.500% | 3/1/17 | 4,100 | 4,116 |
Ryder System Inc. | 3.500% | 6/1/17 | 2,325 | 2,401 |
Ryder System Inc. | 2.500% | 3/1/18 | 1,075 | 1,070 |
Southwest Airlines Co. | 5.250% | 10/1/14 | 100 | 105 |
Southwest Airlines Co. | 5.750% | 12/15/16 | 1,390 | 1,549 |
Southwest Airlines Co. | 5.125% | 3/1/17 | 1,600 | 1,728 |
1 UAL 2009-1 Pass Through Trust | 10.400% | 5/1/18 | 1,644 | 1,861 |
1 UAL 2009-2A Pass Through Trust | 9.750% | 7/15/18 | 2,174 | 2,484 |
Union Pacific Corp. | 5.750% | 11/15/17 | 2,200 | 2,519 |
Union Pacific Corp. | 5.700% | 8/15/18 | 1,825 | 2,097 |
United Parcel Service Inc. | 1.125% | 10/1/17 | 2,825 | 2,763 |
United Parcel Service Inc. | 5.500% | 1/15/18 | 4,350 | 4,966 |
3,357,444 | ||||
Utilities (6.9%) | ||||
Electric (4.3%) | ||||
Alabama Power Co. | 0.550% | 10/15/15 | 1,100 | 1,095 |
Alabama Power Co. | 5.500% | 10/15/17 | 1,925 | 2,181 |
Ameren Illinois Co. | 6.125% | 11/15/17 | 625 | 723 |
American Electric Power Co. Inc. | 1.650% | 12/15/17 | 4,875 | 4,738 |
Appalachian Power Co. | 3.400% | 5/24/15 | 2,525 | 2,628 |
Appalachian Power Co. | 5.000% | 6/1/17 | 200 | 218 |
Arizona Public Service Co. | 4.650% | 5/15/15 | 800 | 850 |
Avista Corp. | 5.950% | 6/1/18 | 1,450 | 1,676 |
Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 2,250 | 2,550 |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 200 | 236 |
Cleveland Electric Illuminating Co. | 7.880% | 11/1/17 | 575 | 684 |
CMS Energy Corp. | 4.250% | 9/30/15 | 1,500 | 1,584 |
CMS Energy Corp. | 6.550% | 7/17/17 | 1,000 | 1,146 |
CMS Energy Corp. | 5.050% | 2/15/18 | 1,000 | 1,092 |
Commonwealth Edison Co. | 4.700% | 4/15/15 | 600 | 637 |
Commonwealth Edison Co. | 5.950% | 8/15/16 | 700 | 792 |
Commonwealth Edison Co. | 1.950% | 9/1/16 | 500 | 509 |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 1,475 | 1,717 |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 3,305 | 3,825 |
Connecticut Light & Power Co. | 5.650% | 5/1/18 | 2,550 | 2,933 |
Consolidated Edison Co. of New York Inc. | 5.375% | 12/15/15 | 2,772 | 3,054 |
89
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Consolidated Edison Co. of New York Inc. | 5.500% | 9/15/16 | 4,513 | 5,060 |
Consolidated Edison Co. of New York Inc. | 5.850% | 4/1/18 | 1,300 | 1,517 |
Consolidated Natural Gas Co. | 5.000% | 12/1/14 | 1,425 | 1,497 |
Constellation Energy Group Inc. | 4.550% | 6/15/15 | 2,975 | 3,148 |
Consumers Energy Co. | 5.500% | 8/15/16 | 1,300 | 1,457 |
Consumers Energy Co. | 5.150% | 2/15/17 | 1,000 | 1,106 |
Dominion Resources Inc. | 5.150% | 7/15/15 | 3,625 | 3,904 |
Dominion Resources Inc. | 2.250% | 9/1/15 | 1,625 | 1,669 |
Dominion Resources Inc. | 1.950% | 8/15/16 | 4,680 | 4,760 |
Dominion Resources Inc. | 1.400% | 9/15/17 | 5,225 | 5,090 |
Dominion Resources Inc. | 6.000% | 11/30/17 | 2,100 | 2,412 |
Dominion Resources Inc. | 6.400% | 6/15/18 | 325 | 384 |
1 Dominion Resources Inc. | 7.500% | 6/30/66 | 1,100 | 1,187 |
DTE Electric Co. | 5.600% | 6/15/18 | 850 | 976 |
DTE Energy Co. | 6.350% | 6/1/16 | 1,865 | 2,108 |
Duke Energy Carolinas LLC | 5.300% | 10/1/15 | 3,100 | 3,394 |
Duke Energy Carolinas LLC | 1.750% | 12/15/16 | 5,125 | 5,214 |
Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 1,300 | 1,467 |
Duke Energy Corp. | 3.950% | 9/15/14 | 3,986 | 4,118 |
Duke Energy Corp. | 3.350% | 4/1/15 | 5,175 | 5,373 |
Duke Energy Corp. | 2.150% | 11/15/16 | 3,000 | 3,075 |
Duke Energy Corp. | 1.625% | 8/15/17 | 6,125 | 6,051 |
Duke Energy Florida Inc. | 5.100% | 12/1/15 | 2,150 | 2,360 |
Duke Energy Florida Inc. | 5.800% | 9/15/17 | 265 | 304 |
Duke Energy Florida Inc. | 5.650% | 6/15/18 | 3,825 | 4,410 |
Duke Energy Indiana Inc. | 6.050% | 6/15/16 | 500 | 563 |
Duke Energy Progress Inc. | 5.150% | 4/1/15 | 237 | 253 |
Edison International | 3.750% | 9/15/17 | 4,275 | 4,486 |
Entergy Corp. | 4.700% | 1/15/17 | 6,075 | 6,476 |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 1,875 | 2,160 |
Entergy Louisiana LLC | 1.875% | 12/15/14 | 2,000 | 2,029 |
Exelon Corp. | 4.900% | 6/15/15 | 3,375 | 3,596 |
Exelon Generation Co. LLC | 6.200% | 10/1/17 | 5,865 | 6,689 |
Florida Power & Light Co. | 5.550% | 11/1/17 | 1,250 | 1,425 |
Georgia Power Co. | 0.750% | 8/10/15 | 2,850 | 2,844 |
Georgia Power Co. | 0.625% | 11/15/15 | 3,375 | 3,361 |
Georgia Power Co. | 5.700% | 6/1/17 | 800 | 908 |
1 Integrys Energy Group Inc. | 6.110% | 12/1/66 | 2,000 | 2,038 |
Jersey Central Power & Light Co. | 5.625% | 5/1/16 | 4,050 | 4,454 |
Jersey Central Power & Light Co. | 5.650% | 6/1/17 | 1,000 | 1,107 |
Kansas City Power & Light Co. | 6.375% | 3/1/18 | 586 | 679 |
Kentucky Utilities Co. | 1.625% | 11/1/15 | 350 | 356 |
LG&E & KU Energy LLC | 2.125% | 11/15/15 | 7,045 | 7,196 |
Louisville Gas & Electric Co. | 1.625% | 11/15/15 | 1,200 | 1,223 |
MidAmerican Energy Co. | 4.650% | 10/1/14 | 1,625 | 1,696 |
MidAmerican Energy Co. | 5.950% | 7/15/17 | 3,539 | 4,051 |
MidAmerican Energy Holdings Co. | 5.750% | 4/1/18 | 2,225 | 2,561 |
Mississippi Power Co. | 2.350% | 10/15/16 | 550 | 563 |
National Rural Utilities Cooperative Finance Corp. | 1.000% | 2/2/15 | 3,100 | 3,118 |
National Rural Utilities Cooperative Finance Corp. | 1.900% | 11/1/15 | 1,350 | 1,382 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 3/1/16 | 4,600 | 4,799 |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 2,700 | 3,040 |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 2,750 | 3,123 |
Nevada Power Co. | 5.875% | 1/15/15 | 260 | 278 |
Nevada Power Co. | 6.500% | 5/15/18 | 475 | 563 |
Nevada Power Co. | 6.500% | 8/1/18 | 1,410 | 1,680 |
90
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
NextEra Energy Capital Holdings Inc. | 1.200% | 6/1/15 | 3,850 | 3,864 |
NextEra Energy Capital Holdings Inc. | 7.875% | 12/15/15 | 3,865 | 4,435 |
1 NextEra Energy Capital Holdings Inc. | 6.350% | 10/1/66 | 2,800 | 2,856 |
1 NextEra Energy Capital Holdings Inc. | 6.650% | 6/15/67 | 1,075 | 1,137 |
1 NextEra Energy Capital Holdings Inc. | 7.300% | 9/1/67 | 675 | 746 |
Northeast Utilities | 1.450% | 5/1/18 | 3,200 | 3,086 |
Northern States Power Co. | 1.950% | 8/15/15 | 1,125 | 1,153 |
Northern States Power Co. | 5.250% | 3/1/18 | 2,800 | 3,186 |
NSTAR Electric Co. | 5.625% | 11/15/17 | 525 | 595 |
Ohio Power Co. | 6.000% | 6/1/16 | 4,150 | 4,631 |
Ohio Power Co. | 6.050% | 5/1/18 | 275 | 319 |
Oncor Electric Delivery Co. LLC | 6.375% | 1/15/15 | 3,250 | 3,484 |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 5,095 | 5,820 |
PacifiCorp | 5.650% | 7/15/18 | 1,425 | 1,654 |
Peco Energy Co. | 5.000% | 10/1/14 | 25 | 26 |
Peco Energy Co. | 5.350% | 3/1/18 | 2,700 | 3,087 |
Pennsylvania Electric Co. | 6.050% | 9/1/17 | 3,275 | 3,674 |
Pepco Holdings Inc. | 2.700% | 10/1/15 | 500 | 512 |
PG&E Corp. | 5.750% | 4/1/14 | 50 | 51 |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 500 | 487 |
PPL Energy Supply LLC | 6.200% | 5/15/16 | 2,100 | 2,320 |
PPL Energy Supply LLC | 6.500% | 5/1/18 | 450 | 514 |
Progress Energy Inc. | 5.625% | 1/15/16 | 154 | 170 |
PSEG Power LLC | 5.500% | 12/1/15 | 975 | 1,065 |
PSEG Power LLC | 2.750% | 9/15/16 | 300 | 310 |
Public Service Co. of New Mexico | 7.950% | 5/15/18 | 1,265 | 1,506 |
Public Service Electric & Gas Co. | 2.700% | 5/1/15 | 5,600 | 5,786 |
Public Service Electric & Gas Co. | 5.300% | 5/1/18 | 2,595 | 2,955 |
San Diego Gas & Electric Co. | 5.300% | 11/15/15 | 300 | 329 |
Scottish Power Ltd. | 5.375% | 3/15/15 | 2,425 | 2,567 |
Sierra Pacific Power Co. | 6.000% | 5/15/16 | 5,150 | 5,810 |
Southern California Edison Co. | 4.150% | 9/15/14 | 1,089 | 1,129 |
Southern California Edison Co. | 4.650% | 4/1/15 | 500 | 531 |
Southern California Edison Co. | 5.000% | 1/15/16 | 1,000 | 1,090 |
Southern California Edison Co. | 5.500% | 8/15/18 | 3,700 | 4,268 |
Southern Co. | 2.375% | 9/15/15 | 3,350 | 3,443 |
Southern Co. | 1.950% | 9/1/16 | 4,850 | 4,926 |
Southern Power Co. | 4.875% | 7/15/15 | 4,112 | 4,402 |
Southwestern Electric Power Co. | 5.550% | 1/15/17 | 675 | 740 |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 100 | 113 |
TECO Finance Inc. | 4.000% | 3/15/16 | 725 | 768 |
TECO Finance Inc. | 6.572% | 11/1/17 | 1,785 | 2,081 |
TransAlta Corp. | 4.750% | 1/15/15 | 2,450 | 2,564 |
TransAlta Corp. | 6.650% | 5/15/18 | 2,100 | 2,364 |
Union Electric Co. | 6.400% | 6/15/17 | 4,215 | 4,896 |
Virginia Electric & Power Co. | 5.400% | 1/15/16 | 350 | 386 |
Virginia Electric & Power Co. | 5.950% | 9/15/17 | 500 | 577 |
Virginia Electric & Power Co. | 1.200% | 1/15/18 | 4,100 | 3,971 |
Virginia Electric & Power Co. | 5.400% | 4/30/18 | 2,400 | 2,749 |
Wisconsin Electric Power Co. | 1.700% | 6/15/18 | 2,250 | 2,217 |
1 Wisconsin Energy Corp. | 6.250% | 5/15/67 | 2,275 | 2,389 |
Xcel Energy Inc. | 0.750% | 5/9/16 | 2,750 | 2,716 |
Natural Gas (2.5%) | ||||
AGL Capital Corp. | 6.375% | 7/15/16 | 775 | 875 |
Atmos Energy Corp. | 4.950% | 10/15/14 | 2,105 | 2,202 |
91
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Atmos Energy Corp. | 6.350% | 6/15/17 | 2,300 | 2,651 |
Boardwalk Pipelines LP | 5.500% | 2/1/17 | 1,700 | 1,857 |
British Transco Finance Inc. | 6.625% | 6/1/18 | 100 | 117 |
Buckeye Partners LP | 6.050% | 1/15/18 | 2,525 | 2,815 |
CenterPoint Energy Resources Corp. | 6.150% | 5/1/16 | 1,350 | 1,507 |
CenterPoint Energy Resources Corp. | 6.125% | 11/1/17 | 900 | 1,036 |
CenterPoint Energy Resources Corp. | 6.000% | 5/15/18 | 1,600 | 1,843 |
Colorado Interstate Gas Co. LLC | 6.800% | 11/15/15 | 3,426 | 3,836 |
DCP Midstream Operating LP | 3.250% | 10/1/15 | 200 | 207 |
DCP Midstream Operating LP | 2.500% | 12/1/17 | 4,755 | 4,690 |
El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 2,050 | 2,304 |
Enbridge Energy Partners LP | 5.875% | 12/15/16 | 1,000 | 1,127 |
Enbridge Energy Partners LP | 6.500% | 4/15/18 | 1,400 | 1,619 |
Enbridge Inc. | 4.900% | 3/1/15 | 3,200 | 3,385 |
Enbridge Inc. | 5.600% | 4/1/17 | 2,653 | 2,948 |
Energy Transfer Partners LP | 5.950% | 2/1/15 | 3,925 | 4,183 |
Energy Transfer Partners LP | 6.125% | 2/15/17 | 3,000 | 3,367 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 4,200 | 4,898 |
Enterprise Products Operating LLC | 5.600% | 10/15/14 | 2,500 | 2,630 |
Enterprise Products Operating LLC | 5.000% | 3/1/15 | 606 | 642 |
Enterprise Products Operating LLC | 3.700% | 6/1/15 | 1,600 | 1,674 |
Enterprise Products Operating LLC | 1.250% | 8/13/15 | 3,250 | 3,265 |
Enterprise Products Operating LLC | 3.200% | 2/1/16 | 4,025 | 4,215 |
Enterprise Products Operating LLC | 6.300% | 9/15/17 | 4,150 | 4,784 |
Enterprise Products Operating LLC | 6.650% | 4/15/18 | 1,350 | 1,594 |
1 Enterprise Products Operating LLC | 8.375% | 8/1/66 | 3,600 | 3,987 |
1 Enterprise Products Operating LLC | 7.034% | 1/15/68 | 3,265 | 3,628 |
Kinder Morgan Energy Partners LP | 5.125% | 11/15/14 | 3,325 | 3,494 |
Kinder Morgan Energy Partners LP | 5.625% | 2/15/15 | 610 | 652 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/16 | 2,400 | 2,533 |
Kinder Morgan Energy Partners LP | 6.000% | 2/1/17 | 3,750 | 4,237 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 6,000 | 6,875 |
Magellan Midstream Partners LP | 5.650% | 10/15/16 | 1,525 | 1,712 |
National Grid plc | 6.300% | 8/1/16 | 3,800 | 4,303 |
Nisource Finance Corp. | 5.250% | 9/15/17 | 2,900 | 3,214 |
Nisource Finance Corp. | 6.400% | 3/15/18 | 4,075 | 4,713 |
ONEOK Inc. | 5.200% | 6/15/15 | 1,625 | 1,726 |
ONEOK Partners LP | 3.250% | 2/1/16 | 2,325 | 2,417 |
ONEOK Partners LP | 6.150% | 10/1/16 | 2,450 | 2,767 |
ONEOK Partners LP | 2.000% | 10/1/17 | 3,175 | 3,109 |
Panhandle Eastern Pipe Line Co. LP | 6.200% | 11/1/17 | 1,725 | 1,973 |
Panhandle Eastern Pipe Line Co. LP | 7.000% | 6/15/18 | 2,575 | 2,997 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 3.950% | 9/15/15 | 1,200 | 1,272 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 6.125% | 1/15/17 | 1,800 | 2,046 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 6.500% | 5/1/18 | 3,100 | 3,641 |
Questar Corp. | 2.750% | 2/1/16 | 275 | 285 |
Sempra Energy | 6.500% | 6/1/16 | 1,674 | 1,902 |
Sempra Energy | 2.300% | 4/1/17 | 4,150 | 4,196 |
Sempra Energy | 6.150% | 6/15/18 | 3,825 | 4,421 |
2 Southern Natural Gas Co. LLC | 5.900% | 4/1/17 | 2,325 | 2,623 |
Spectra Energy Capital LLC | 6.200% | 4/15/18 | 1,000 | 1,134 |
Sunoco Inc. | 5.750% | 1/15/17 | 100 | 109 |
Tennessee Gas Pipeline Co. LLC | 7.500% | 4/1/17 | 2,525 | 2,976 |
92
Short-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Texas Gas Transmission LLC | 4.600% | 6/1/15 | 175 | 183 |
TransCanada PipeLines Ltd. | 0.875% | 3/2/15 | 2,725 | 2,730 |
TransCanada PipeLines Ltd. | 3.400% | 6/1/15 | 2,375 | 2,482 |
TransCanada PipeLines Ltd. | 0.750% | 1/15/16 | 4,225 | 4,188 |
TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 4,467 | 5,308 |
1 TransCanada PipeLines Ltd. | 6.350% | 5/15/67 | 5,625 | 5,878 |
Transcontinental Gas Pipe Line Co. LLC | 6.050% | 6/15/18 | 1,375 | 1,602 |
Western Gas Partners LP | 2.600% | 8/15/18 | 650 | 642 |
Williams Partners LP | 3.800% | 2/15/15 | 4,050 | 4,213 |
Williams Partners LP / | ||||
Williams Partners Finance Corp. | 7.250% | 2/1/17 | 2,825 | 3,277 |
Other Utility (0.1%) | ||||
American Water Capital Corp. | 6.085% | 10/15/17 | 3,000 | 3,444 |
Veolia Environnement SA | 6.000% | 6/1/18 | 1,675 | 1,905 |
483,126 | ||||
Total Corporate Bonds (Cost $6,981,368) | 6,977,550 | |||
Shares | ||||
Temporary Cash Investment (0.2%) | ||||
Money Market Fund (0.2%) | ||||
3 Vanguard Market Liquidity Fund (Cost $13,862) | 0.122% | 13,862,207 | 13,862 | |
Total Investments (99.5%) (Cost $7,008,365) | 7,004,530 | |||
Other Assets and Liabilities (0.5%) | ||||
Other Assets | 93,848 | |||
Liabilities | (56,265) | |||
37,583 | ||||
Net Assets (100%) | 7,042,113 |
93
Short-Term Corporate Bond Index Fund | |
At August 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 7,031,709 |
Overdistributed Net Investment Income | (223) |
Accumulated Net Realized Gains | 14,462 |
Unrealized Appreciation (Depreciation) | (3,835) |
Net Assets | 7,042,113 |
Signal Shares—Net Assets | |
Applicable to 3,519,419 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 75,704 |
Net Asset Value Per Share—Signal Shares | $21.51 |
Institutional Shares—Net Assets | |
Applicable to 9,937,868 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 261,683 |
Net Asset Value Per Share—Institutional Shares | $26.33 |
ETF Shares—Net Assets | |
Applicable to 84,900,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,704,726 |
Net Asset Value Per Share—ETF Shares | $78.97 |
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, 2013, the aggregate value of these securities was $27,440,000, representing 0.4% of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
94
Short-Term Corporate Bond Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 113,167 |
Total Income | 113,167 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 154 |
Management and Administrative—Signal Shares | 42 |
Management and Administrative—Institutional Shares | 126 |
Management and Administrative—ETF Shares | 4,716 |
Marketing and Distribution—Signal Shares | 10 |
Marketing and Distribution—Institutional Shares | 32 |
Marketing and Distribution—ETF Shares | 1,256 |
Custodian Fees | 17 |
Auditing Fees | 42 |
Shareholders’ Reports—Signal Shares | 1 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 189 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 6,590 |
Net Investment Income | 106,577 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 19,104 |
Futures Contracts | 409 |
Realized Net Gain (Loss) | 19,513 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (94,827) |
Futures Contracts | 2 |
Change in Unrealized Appreciation (Depreciation) | (94,825) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 31,265 |
1 Interest income from an affiliated company of the fund was $34,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
95
Short-Term Corporate Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 106,577 | 66,206 |
Realized Net Gain (Loss) | 19,513 | 4,410 |
Change in Unrealized Appreciation (Depreciation) | (94,825) | 69,500 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 31,265 | 140,116 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (886) | (285) |
Institutional Shares | (3,583) | (3,395) |
ETF Shares | (102,130) | (62,521) |
Realized Capital Gain1 | ||
Signal Shares | (46) | (7) |
Institutional Shares | (235) | (179) |
ETF Shares | (6,926) | (2,576) |
Total Distributions | (113,806) | (68,963) |
Capital Share Transactions | ||
Signal Shares | 51,421 | 21,240 |
Institutional Shares | 101,926 | 33,072 |
ETF Shares | 3,098,685 | 1,713,862 |
Net Increase (Decrease) from Capital Share Transactions | 3,252,032 | 1,768,174 |
Total Increase (Decrease) | 3,169,491 | 1,839,327 |
Net Assets | ||
Beginning of Period | 3,872,622 | 2,033,295 |
End of Period2 | 7,042,113 | 3,872,622 |
1 Includes fiscal 2013 and 2012 short-term gain distributions totaling $2,033,000 and $1,425,000, 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 ($223,000) and ($201,000).
See accompanying Notes, which are an integral part of the Financial Statements.
96
Short-Term Corporate Bond Index Fund | |||
Financial Highlights | |||
Signal Shares | |||
Nov. 18, | |||
Year Ended | 20101 to | ||
August 31, | Aug. 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $21.73 | $21.26 | $21.21 |
Investment Operations | |||
Net Investment Income | .414 | .488 | .387 |
Net Realized and Unrealized Gain (Loss) on Investments | (.189) | .494 | .091 |
Total from Investment Operations | .225 | .982 | .478 |
Distributions | |||
Dividends from Net Investment Income | (.413) | (.487) | (.410) |
Distributions from Realized Capital Gains | (.032) | (.025) | (.018) |
Total Distributions | (.445) | (.512) | (.428) |
Net Asset Value, End of Period | $21.51 | $21.73 | $21.26 |
Total Return2 | 1.03% | 4.69% | 2.28% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $76 | $25 | $3 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14%3 |
Ratio of Net Investment Income to Average Net Assets | 1.92% | 2.33% | 2.39%3 |
Portfolio Turnover Rate4 | 61% | 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.
97
Short-Term Corporate Bond Index Fund | ||||
Financial Highlights | ||||
Institutional Shares | ||||
Nov. 19 | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $26.60 | $26.03 | $25.90 | $25.02 |
Investment Operations | ||||
Net Investment Income | .516 | .605 | .619 | .453 |
Net Realized and Unrealized Gain (Loss) on Investments | (.233) | .599 | .151 | .882 |
Total from Investment Operations | .283 | 1.204 | .770 | 1.335 |
Distributions | ||||
Dividends from Net Investment Income | (.514) | (.603) | (.618) | (.455) |
Distributions from Realized Capital Gains | (.039) | (.031) | (.022) | — |
Total Distributions | (.553) | (.634) | (.640) | (.455) |
Net Asset Value, End of Period | $26.33 | $26.60 | $26.03 | $25.90 |
Total Return2 | 1.06% | 4.70% | 3.01% | 5.39% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $262 | $161 | $125 | $134 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09%3 |
Ratio of Net Investment Income to Average Net Assets | 1.95% | 2.36% | 2.44% | 2.62%3 |
Portfolio Turnover Rate4 | 61% | 65% | 63% | 68% |
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.
98
Short-Term Corporate Bond Index Fund | ||||
Financial Highlights | ||||
ETF Shares | ||||
Nov. 19 | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $79.78 | $78.06 | $77.68 | $75.05 |
Investment Operations | ||||
Net Investment Income | 1.523 | 1.793 | 1.815 | 1.334 |
Net Realized and Unrealized Gain (Loss) on Investments | (.699) | 1.808 | .443 | 2.636 |
Total from Investment Operations | .824 | 3.601 | 2.258 | 3.970 |
Distributions | ||||
Dividends from Net Investment Income | (1.517) | (1.789) | (1.813) | (1.340) |
Distributions from Realized Capital Gains | (.117) | (.092) | (.065) | — |
Total Distributions | (1.634) | (1.881) | (1.878) | (1.340) |
Net Asset Value, End of Period | $78.97 | $79.78 | $78.06 | $77.68 |
Total Return | 1.03% | 4.68% | 2.94% | 5.34% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $6,705 | $3,686 | $1,905 | $707 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.92% | 2.33% | 2.39% | 2.56%2 |
Portfolio Turnover Rate3 | 61% | 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.
99
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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades future contracts on an exchange; monitors the financial strength of its clearing brokers and clearing-house; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values. The fund had no open futures contracts at August 31, 2013.
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Short-Term Corporate Bond Index Fund
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, 2010–2013), 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.
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, 2013, the fund had contributed capital of $820,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.33% 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).
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Short-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund’s investments as of August 31, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 13,118 | — |
Corporate Bonds | — | 6,977,550 | — |
Temporary Cash Investments | 13,862 | — | — |
Total | 13,862 | 6,990,668 | — |
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, 2013, the fund realized $1,689,000 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 $346,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at August 31, 2013, the fund had short-term and long-term capital gains of $3,896,000 and $11,653,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
At August 31, 2013, the cost of investment securities for tax purposes was $7,009,452,000. Net unrealized depreciation of investment securities for tax purposes was $4,922,000, consisting of unrealized gains of $54,448,000 on securities that had risen in value since their purchase and $59,370,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2013, the fund purchased $5,300,529,000 of investment securities and sold $2,007,090,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $1,450,175,000 and $1,456,954,000, respectively. Total purchases and sales include $3,133,915,000 and $109,054,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
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Short-Term Corporate Bond Index Fund
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 60,095 | 2,764 | 22,449 | 1,048 |
Issued in Lieu of Cash Distributions | 674 | 31 | 232 | 11 |
Redeemed | (9,348) | (430) | (1,441) | (68) |
Net Increase (Decrease) —Signal Shares | 51,421 | 2,365 | 21,240 | 991 |
Institutional Shares | ||||
Issued1 | 107,808 | 4,088 | 72,659 | 2,780 |
Issued in Lieu of Cash Distributions | 3,818 | 143 | 3,574 | 137 |
Redeemed | (9,700) | (363) | (43,161) | (1,656) |
Net Increase (Decrease) —Institutional Shares | 101,926 | 3,868 | 33,072 | 1,261 |
ETF Shares | ||||
Issued1 | 3,209,688 | 40,100 | 1,713,862 | 21,800 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (111,003) | (1,400) | — | — |
Net Increase (Decrease)—ETF Shares | 3,098,685 | 38,700 | 1,713,862 | 21,800 |
1 Includes purchase fees for fiscal 2013 and 2012 of $382,000 and $268,000, respectively (fund totals). |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition in these financial statements. On October 16, 2013, Signal Shares were renamed Admiral Shares. In addition, the purchase fee for the fund has been eliminated.
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Intermediate-Term Corporate Bond Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Signal | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VICSX | VICBX | VCIT |
Expense Ratio1 | 0.12% | 0.09% | 0.12% |
30-Day SEC Yield | 3.58% | 3.61% | 3.58% |
Financial Attributes | |||
Barclays | |||
5–10 Year | Barclays | ||
Corporate | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 1,363 | 1,535 | 8,445 |
Yield to Maturity | |||
(before expenses) | 3.8% | 3.8% | 2.4% |
Average Coupon | 4.6% | 4.6% | 3.3% |
Average Duration | 6.5 years | 6.5 years | 5.5 years |
Average Effective | |||
Maturity | 7.6 years | 7.6 years | 7.4 years |
Short-Term | |||
Reserves | 0.4% | — | — |
Sector Diversification (% of portfolio) | |||
Finance | 29.4% | ||
Industrial | 60.0 | ||
Utilities | 10.4 | ||
Other | 0.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | ||
5–10 Year | Barclays | |
Corporate | Aggregate | |
Index | FA Index | |
R-Squared | 0.99 | 0.65 |
Beta | 1.02 | 1.43 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Distribution by Effective Maturity | ||
(% of portfolio) | ||
Under 1 Year | 0.2% | |
1 - 3 Years | 0.1 | |
3 - 5 Years | 0.4 | |
5 - 10 Years | 99.0 | |
10 - 20 Years | 0.3 |
Distribution by Credit Quality (% of portfolio) | |
Aaa | 0.7% |
Aa | 7.8 |
A | 44.4 |
Baa | 47.1 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx106x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares, and 0.12% for ETF Shares.
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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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx107x1.jpg)
For a benchmark description, see the Glossary.
Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
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 | -1.64% | 6.69% | $12,772 | |
Intermediate-Term Corporate Bond | ||||
Index Fund ETF Shares Market Price | -1.94 | 6.72 | 12,787 | |
Barclays U.S. 5–10 Year Corporate | ||||
•••••••• | Bond Index | -1.27 | 6.87 | 12,856 |
– – – – | Intermediate Investment-Grade Debt | |||
Funds Average | -1.73 | 4.60 | 11,855 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | -2.41 | 3.91 | 11,560 |
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.
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Intermediate-Term Corporate Bond Index Fund | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2013 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (3/2/2010) | Investment | |
Intermediate-Term Corporate Bond Index | |||
Fund Signal Shares | -2.11% | 6.41% | $12,429 |
Barclays U.S. 5–10 Year Corporate Bond | |||
Index | -1.27 | 6.68 | 12,540 |
Barclays U.S. Aggregate Float Adjusted Index | -2.41 | 3.93 | 11,442 |
"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 | -2.11% | 6.59% | $6,365,348 |
Barclays U.S. 5–10 Year Corporate Bond | |||
Index | -1.27 | 6.87 | 6,428,169 |
Spliced Barclays U.S. Aggregate Float | |||
Adjusted Index | -2.41 | 3.91 | 5,780,027 |
"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, 2013 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Intermediate-Term Corporate Bond Index Fund ETF | ||
Shares Market Price | -1.94% | 27.87% |
Intermediate-Term Corporate Bond Index Fund ETF | ||
Shares Net Asset Value | -1.64 | 27.72 |
Barclays U.S. 5–10 Year Corporate Bond Index | -1.27 | 28.56 |
"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.
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Intermediate-Term Corporate Bond Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 2013 | ||
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 |
2013 | -1.64 | -1.27 |
Average Annual Total Returns: Periods Ended June 30, 2013
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 | 1.76% | 3.91% | 3.10% | 7.01% |
Fee-Adjusted Returns | 1.25 | 6.85 | |||
Institutional Shares | 11/19/2009 | 1.79 | 3.98 | 3.18 | 7.16 |
Fee-Adjusted Returns | 1.28 | 7.01 | |||
ETF Shares | 11/19/2009 | ||||
Market Price | 1.07 | 7.10 | |||
Net Asset Value | 1.75 | 7.11 |
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.
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Intermediate-Term Corporate Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2013
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 | 4.250% | 8/15/14 | 20 | 21 |
United States Treasury Note/Bond | 0.375% | 6/15/15 | 5 | 5 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 15 | 14 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 4,000 | 3,904 |
Total U.S. Government and Agency Obligations (Cost $3,952) | 3,944 | |||
Corporate Bonds (98.6%) | ||||
Finance (29.1%) | ||||
Banking (16.5%) | ||||
American Express Co. | 8.125% | 5/20/19 | 875 | 1,124 |
American Express Co. | 2.650% | 12/2/22 | 4,063 | 3,702 |
Associates Corp. of North America | 6.950% | 11/1/18 | 2,800 | 3,281 |
Bancolombia SA | 5.950% | 6/3/21 | 2,100 | 2,124 |
Bank of America Corp. | 5.490% | 3/15/19 | 1,075 | 1,165 |
Bank of America Corp. | 7.625% | 6/1/19 | 8,675 | 10,428 |
Bank of America Corp. | 5.625% | 7/1/20 | 9,870 | 10,855 |
Bank of America Corp. | 5.875% | 1/5/21 | 3,175 | 3,522 |
Bank of America Corp. | 5.000% | 5/13/21 | 3,670 | 3,875 |
Bank of America Corp. | 5.700% | 1/24/22 | 6,375 | 7,030 |
Bank of America Corp. | 3.300% | 1/11/23 | 13,350 | 12,271 |
Bank of America Corp. | 4.100% | 7/24/23 | 5,850 | 5,728 |
Bank of Montreal | 2.550% | 11/6/22 | 3,025 | 2,766 |
Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 1,600 | 1,827 |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 2,425 | 2,622 |
Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 1,900 | 1,987 |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 3,975 | 4,005 |
Bank of Nova Scotia | 4.375% | 1/13/21 | 2,200 | 2,355 |
Barclays Bank plc | 6.750% | 5/22/19 | 3,904 | 4,627 |
Barclays Bank plc | 5.125% | 1/8/20 | 5,390 | 5,919 |
Barclays Bank plc | 5.140% | 10/14/20 | 3,425 | 3,548 |
BB&T Corp. | 6.850% | 4/30/19 | 1,600 | 1,928 |
BB&T Corp. | 5.250% | 11/1/19 | 1,650 | 1,821 |
BB&T Corp. | 3.950% | 3/22/22 | 1,609 | 1,596 |
BNP Paribas SA | 5.000% | 1/15/21 | 9,540 | 10,148 |
BNP Paribas SA | 3.250% | 3/3/23 | 3,350 | 3,051 |
Capital One Bank USA NA | 8.800% | 7/15/19 | 1,875 | 2,381 |
Capital One Bank USA NA | 3.375% | 2/15/23 | 3,955 | 3,650 |
Capital One Financial Corp. | 4.750% | 7/15/21 | 3,675 | 3,849 |
1 Capital One Financial Corp. | 3.500% | 6/15/23 | 2,415 | 2,242 |
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Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Citigroup Inc. | 8.500% | 5/22/19 | 10,383 | 13,139 |
Citigroup Inc. | 5.375% | 8/9/20 | 6,999 | 7,749 |
Citigroup Inc. | 4.500% | 1/14/22 | 6,250 | 6,492 |
Citigroup Inc. | 4.050% | 7/30/22 | 2,550 | 2,441 |
Citigroup Inc. | 3.375% | 3/1/23 | 4,825 | 4,523 |
Citigroup Inc. | 3.500% | 5/15/23 | 3,400 | 3,058 |
City National Corp. | 5.250% | 9/15/20 | 1,050 | 1,117 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 4.500% | 1/11/21 | 5,140 | 5,385 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 3.875% | 2/8/22 | 8,650 | 8,566 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 3.950% | 11/9/22 | 3,575 | 3,399 |
Credit Suisse | 5.300% | 8/13/19 | 4,820 | 5,362 |
Credit Suisse | 5.400% | 1/14/20 | 3,825 | 4,134 |
Credit Suisse | 4.375% | 8/5/20 | 3,660 | 3,894 |
2 Deutsche Bank AG | 4.296% | 5/24/28 | 4,750 | 4,275 |
Discover Bank | 7.000% | 4/15/20 | 2,425 | 2,830 |
Discover Bank | 4.200% | 8/8/23 | 875 | 855 |
Discover Financial Services | 3.850% | 11/21/22 | 2,002 | 1,883 |
Fifth Third Bancorp | 3.500% | 3/15/22 | 825 | 804 |
First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 1,100 | 1,264 |
First Niagara Financial Group Inc. | 7.250% | 12/15/21 | 950 | 1,087 |
FirstMerit Corp. | 4.350% | 2/4/23 | 1,125 | 1,096 |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 7,777 | 9,267 |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 9,854 | 10,695 |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 5,355 | 5,984 |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 12,800 | 13,631 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 13,208 | 14,474 |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 4,850 | 4,549 |
HSBC Bank USA NA | 4.875% | 8/24/20 | 3,380 | 3,594 |
HSBC Holdings plc | 5.100% | 4/5/21 | 7,475 | 8,166 |
HSBC Holdings plc | 4.875% | 1/14/22 | 2,525 | 2,702 |
HSBC Holdings plc | 4.000% | 3/30/22 | 6,975 | 7,004 |
HSBC USA Inc. | 5.000% | 9/27/20 | 1,950 | 2,056 |
Huntington Bancshares Inc. | 7.000% | 12/15/20 | 675 | 789 |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 8,275 | 9,576 |
JPMorgan Chase & Co. | 4.950% | 3/25/20 | 6,347 | 6,893 |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 7,425 | 7,779 |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 8,700 | 9,012 |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 5,325 | 5,622 |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 9,850 | 10,210 |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 10,050 | 10,367 |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 7,425 | 6,956 |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 5,425 | 5,031 |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 7,800 | 7,044 |
KeyCorp | 5.100% | 3/24/21 | 3,300 | 3,595 |
Lloyds Bank plc | 6.375% | 1/21/21 | 3,333 | 3,838 |
Merrill Lynch & Co. Inc. | 6.875% | 11/15/18 | 5,011 | 5,871 |
Morgan Stanley | 7.300% | 5/13/19 | 9,540 | 11,279 |
Morgan Stanley | 5.625% | 9/23/19 | 10,015 | 11,003 |
Morgan Stanley | 5.500% | 1/26/20 | 6,200 | 6,774 |
Morgan Stanley | 5.500% | 7/24/20 | 6,561 | 7,160 |
Morgan Stanley | 5.750% | 1/25/21 | 6,752 | 7,423 |
Morgan Stanley | 5.500% | 7/28/21 | 7,325 | 7,917 |
Morgan Stanley | 4.875% | 11/1/22 | 6,150 | 6,031 |
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Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Morgan Stanley | 3.750% | 2/25/23 | 3,975 | 3,750 |
Morgan Stanley | 4.100% | 5/22/23 | 5,875 | 5,373 |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 3,525 | 3,243 |
National City Corp. | 6.875% | 5/15/19 | 2,550 | 3,009 |
Northern Trust Corp. | 3.450% | 11/4/20 | 2,125 | 2,160 |
Northern Trust Corp. | 3.375% | 8/23/21 | 1,650 | 1,648 |
Northern Trust Corp. | 2.375% | 8/2/22 | 1,375 | 1,246 |
People’s United Financial Inc. | 3.650% | 12/6/22 | 1,250 | 1,169 |
PNC Bank NA | 2.700% | 11/1/22 | 3,250 | 2,919 |
PNC Bank NA | 2.950% | 1/30/23 | 1,675 | 1,520 |
PNC Bank NA | 3.800% | 7/25/23 | 2,050 | 1,981 |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 850 | 774 |
PNC Funding Corp. | 6.700% | 6/10/19 | 4,940 | 5,902 |
PNC Funding Corp. | 5.125% | 2/8/20 | 2,802 | 3,101 |
PNC Funding Corp. | 4.375% | 8/11/20 | 1,050 | 1,107 |
PNC Funding Corp. | 3.300% | 3/8/22 | 1,877 | 1,816 |
Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 4,911 | 5,510 |
Royal Bank of Scotland plc | 5.625% | 8/24/20 | 3,638 | 3,939 |
Royal Bank of Scotland plc | 6.125% | 1/11/21 | 3,875 | 4,308 |
State Street Corp. | 4.375% | 3/7/21 | 2,675 | 2,841 |
State Street Corp. | 3.100% | 5/15/23 | 3,400 | 3,122 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 2,475 | 2,333 |
Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 775 | 719 |
Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 1,700 | 1,683 |
SunTrust Bank | 2.750% | 5/1/23 | 2,325 | 2,083 |
UBS AG | 4.875% | 8/4/20 | 6,302 | 6,902 |
UnionBanCal Corp. | 3.500% | 6/18/22 | 700 | 676 |
US Bancorp | 4.125% | 5/24/21 | 2,756 | 2,881 |
US Bancorp | 3.000% | 3/15/22 | 3,350 | 3,237 |
US Bancorp | 2.950% | 7/15/22 | 3,325 | 3,092 |
Wells Fargo & Co. | 4.600% | 4/1/21 | 8,772 | 9,432 |
Wells Fargo & Co. | 3.500% | 3/8/22 | 7,225 | 7,151 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 5,275 | 4,887 |
Wells Fargo & Co. | 4.125% | 8/15/23 | 5,200 | 5,069 |
Westpac Banking Corp. | 4.875% | 11/19/19 | 5,913 | 6,562 |
Zions Bancorporation | 4.500% | 6/13/23 | 800 | 778 |
Brokerage (1.2%) | ||||
Ameriprise Financial Inc. | 7.300% | 6/28/19 | 500 | 618 |
Ameriprise Financial Inc. | 5.300% | 3/15/20 | 2,775 | 3,137 |
BlackRock Inc. | 5.000% | 12/10/19 | 3,150 | 3,535 |
BlackRock Inc. | 4.250% | 5/24/21 | 1,700 | 1,792 |
BlackRock Inc. | 3.375% | 6/1/22 | 3,750 | 3,696 |
Charles Schwab Corp. | 4.450% | 7/22/20 | 2,150 | 2,310 |
Charles Schwab Corp. | 3.225% | 9/1/22 | 575 | 545 |
Eaton Vance Corp. | 3.625% | 6/15/23 | 1,000 | 956 |
Franklin Resources Inc. | 2.800% | 9/15/22 | 2,800 | 2,608 |
Invesco Finance plc | 3.125% | 11/30/22 | 1,900 | 1,739 |
Jefferies Group LLC | 8.500% | 7/15/19 | 2,230 | 2,688 |
Jefferies Group LLC | 6.875% | 4/15/21 | 2,585 | 2,857 |
Jefferies Group LLC | 5.125% | 1/20/23 | 1,900 | 1,899 |
Legg Mason Inc. | 5.500% | 5/21/19 | 2,050 | 2,197 |
Nomura Holdings Inc. | 6.700% | 3/4/20 | 4,775 | 5,364 |
Prospect Capital Corp. | 5.875% | 3/15/23 | 825 | 784 |
Raymond James Financial Inc. | 8.600% | 8/15/19 | 500 | 617 |
TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 1,500 | 1,720 |
110
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Finance Companies (2.2%) | ||||
Block Financial LLC | 5.500% | 11/1/22 | 1,500 | 1,513 |
GATX Corp. | 4.750% | 6/15/22 | 975 | 982 |
GATX Corp. | 3.900% | 3/30/23 | 725 | 694 |
General Electric Capital Corp. | 6.000% | 8/7/19 | 8,136 | 9,354 |
General Electric Capital Corp. | 2.100% | 12/11/19 | 1,375 | 1,336 |
General Electric Capital Corp. | 5.500% | 1/8/20 | 5,175 | 5,812 |
General Electric Capital Corp. | 5.550% | 5/4/20 | 4,901 | 5,516 |
General Electric Capital Corp. | 4.375% | 9/16/20 | 2,750 | 2,899 |
General Electric Capital Corp. | 4.625% | 1/7/21 | 8,513 | 8,993 |
General Electric Capital Corp. | 5.300% | 2/11/21 | 6,350 | 6,843 |
General Electric Capital Corp. | 4.650% | 10/17/21 | 9,225 | 9,697 |
General Electric Capital Corp. | 3.150% | 9/7/22 | 6,200 | 5,756 |
General Electric Capital Corp. | 3.100% | 1/9/23 | 4,125 | 3,811 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 8,733 | 9,983 |
Insurance (5.2%) | ||||
ACE INA Holdings Inc. | 5.900% | 6/15/19 | 1,775 | 2,082 |
ACE INA Holdings Inc. | 2.700% | 3/13/23 | 1,172 | 1,085 |
AEGON Funding Co. LLC | 5.750% | 12/15/20 | 1,520 | 1,707 |
Aetna Inc. | 6.500% | 9/15/18 | 2,325 | 2,732 |
Aetna Inc. | 3.950% | 9/1/20 | 3,735 | 3,855 |
Aetna Inc. | 2.750% | 11/15/22 | 2,300 | 2,094 |
Aflac Inc. | 8.500% | 5/15/19 | 1,100 | 1,408 |
Aflac Inc. | 4.000% | 2/15/22 | 2,300 | 2,333 |
Aflac Inc. | 3.625% | 6/15/23 | 2,575 | 2,477 |
Alleghany Corp. | 5.625% | 9/15/20 | 300 | 327 |
Alleghany Corp. | 4.950% | 6/27/22 | 2,475 | 2,611 |
Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 375 | 404 |
Allstate Corp. | 3.150% | 6/15/23 | 1,350 | 1,295 |
2 Allstate Corp. | 5.750% | 8/15/53 | 2,300 | 2,266 |
Alterra Finance LLC | 6.250% | 9/30/20 | 320 | 360 |
American Financial Group Inc. | 9.875% | 6/15/19 | 2,650 | 3,406 |
American International Group Inc. | 3.375% | 8/15/20 | 2,225 | 2,192 |
American International Group Inc. | 6.400% | 12/15/20 | 4,699 | 5,463 |
American International Group Inc. | 4.875% | 6/1/22 | 4,350 | 4,635 |
Aon Corp. | 5.000% | 9/30/20 | 1,725 | 1,877 |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 100 | 110 |
Assurant Inc. | 4.000% | 3/15/23 | 1,000 | 959 |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 1,692 | 1,866 |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 2,924 | 3,118 |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 1,500 | 1,439 |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 2,125 | 2,192 |
Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 1,300 | 1,240 |
Cigna Corp. | 5.125% | 6/15/20 | 690 | 754 |
Cigna Corp. | 4.500% | 3/15/21 | 2,924 | 3,098 |
Cigna Corp. | 4.000% | 2/15/22 | 2,525 | 2,554 |
CNA Financial Corp. | 7.350% | 11/15/19 | 1,764 | 2,138 |
CNA Financial Corp. | 5.875% | 8/15/20 | 2,202 | 2,489 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 1,300 | 1,427 |
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 975 | 1,012 |
First American Financial Corp. | 4.300% | 2/1/23 | 725 | 686 |
Genworth Holdings Inc. | 7.700% | 6/15/20 | 900 | 1,045 |
Genworth Holdings Inc. | 7.200% | 2/15/21 | 2,025 | 2,302 |
Genworth Holdings Inc. | 7.625% | 9/24/21 | 2,625 | 3,062 |
Hanover Insurance Group Inc. | 6.375% | 6/15/21 | 725 | 785 |
111
Intermediate-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 800 | 909 | |
Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 1,454 | 1,619 | |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 2,000 | 2,170 | |
HCC Insurance Holdings Inc. | 6.300% | 11/15/19 | 1,000 | 1,157 | |
Humana Inc. | 3.150% | 12/1/22 | 2,808 | 2,590 | |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 575 | 562 | |
ING US Inc. | 5.500% | 7/15/22 | 1,600 | 1,705 | |
Lincoln National Corp. | 8.750% | 7/1/19 | 1,925 | 2,470 | |
Lincoln National Corp. | 6.250% | 2/15/20 | 1,350 | 1,553 | |
Lincoln National Corp. | 4.200% | 3/15/22 | 1,172 | 1,186 | |
Lincoln National Corp. | 4.000% | 9/1/23 | 1,000 | 986 | |
Loews Corp. | 2.625% | 5/15/23 | 1,300 | 1,169 | |
Manulife Financial Corp. | 4.900% | 9/17/20 | 1,025 | 1,101 | |
Markel Corp. | 7.125% | 9/30/19 | 1,000 | 1,187 | |
Markel Corp. | 5.350% | 6/1/21 | 380 | 410 | |
Markel Corp. | 4.900% | 7/1/22 | 2,375 | 2,495 | |
Markel Corp. | 3.625% | 3/30/23 | 1,025 | 965 | |
Marsh & McLennan Cos. Inc. | 9.250% | 4/15/19 | 1,800 | 2,317 | |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 1,425 | 1,528 | |
MetLife Inc. | 7.717% | 2/15/19 | 2,595 | 3,236 | |
MetLife Inc. | 4.750% | 2/8/21 | 3,650 | 3,951 | |
MetLife Inc. | 3.048% | 12/15/22 | 475 | 448 | |
Montpelier Re Holdings Ltd. | 4.700% | 10/15/22 | 675 | 654 | |
OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 725 | 710 | |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 2,095 | 2,275 | |
Primerica Inc. | 4.750% | 7/15/22 | 750 | 779 | |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 1,000 | 1,289 | |
Principal Financial Group Inc. | 3.300% | 9/15/22 | 725 | 698 | |
Principal Financial Group Inc. | 3.125% | 5/15/23 | 1,250 | 1,174 | |
Progressive Corp. | 3.750% | 8/23/21 | 1,563 | 1,587 | |
Protective Life Corp. | 7.375% | 10/15/19 | 1,100 | 1,316 | |
Prudential Financial Inc. | 7.375% | 6/15/19 | 2,325 | 2,856 | |
Prudential Financial Inc. | 5.375% | 6/21/20 | 3,325 | 3,704 | |
Prudential Financial Inc. | 4.500% | 11/15/20 | 900 | 958 | |
Prudential Financial Inc. | 4.500% | 11/16/21 | 1,180 | 1,244 | |
2 | Prudential Financial Inc. | 5.875% | 9/15/42 | 3,150 | 3,071 |
2 | Prudential Financial Inc. | 5.625% | 6/15/43 | 3,275 | 3,070 |
Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 1,600 | 1,841 | |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 1,270 | 1,347 | |
Torchmark Corp. | 9.250% | 6/15/19 | 1,000 | 1,292 | |
Torchmark Corp. | 3.800% | 9/15/22 | 700 | 683 | |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 1,490 | 1,756 | |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 1,125 | 1,188 | |
Trinity Acquisition plc | 4.625% | 8/15/23 | 725 | 705 | |
UnitedHealth Group Inc. | 1.625% | 3/15/19 | 200 | 191 | |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 1,275 | 1,329 | |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 1,150 | 1,249 | |
UnitedHealth Group Inc. | 3.375% | 11/15/21 | 1,725 | 1,703 | |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 2,950 | 2,763 | |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 3,650 | 3,351 | |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 1,600 | 1,485 | |
Unum Group | 5.625% | 9/15/20 | 825 | 899 | |
WellPoint Inc. | 4.350% | 8/15/20 | 2,700 | 2,853 | |
WellPoint Inc. | 3.700% | 8/15/21 | 1,500 | 1,491 | |
WellPoint Inc. | 3.125% | 5/15/22 | 2,625 | 2,471 | |
WellPoint Inc. | 3.300% | 1/15/23 | 3,800 | 3,566 | |
112 |
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Willis Group Holdings plc | 5.750% | 3/15/21 | 1,400 | 1,496 |
WR Berkley Corp. | 7.375% | 9/15/19 | 750 | 902 |
WR Berkley Corp. | 5.375% | 9/15/20 | 1,050 | 1,139 |
WR Berkley Corp. | 4.625% | 3/15/22 | 1,500 | 1,537 |
XLIT Ltd. | 5.750% | 10/1/21 | 1,265 | 1,431 |
Other Finance (0.1%) | ||||
CME Group Inc. | 3.000% | 9/15/22 | 2,275 | 2,127 |
Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 925 | 892 |
NASDAQ OMX Group Inc. | 5.550% | 1/15/20 | 1,750 | 1,838 |
Real Estate Investment Trusts (3.9%) | ||||
Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 1,125 | 1,137 |
Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 2,025 | 1,899 |
American Campus Communities | ||||
Operating Partnership LP | 3.750% | 4/15/23 | 1,100 | 1,036 |
AvalonBay Communities Inc. | 3.950% | 1/15/21 | 1,000 | 1,011 |
AvalonBay Communities Inc. | 2.950% | 9/15/22 | 2,275 | 2,081 |
BioMed Realty LP | 4.250% | 7/15/22 | 850 | 815 |
Boston Properties LP | 3.700% | 11/15/18 | 3,640 | 3,802 |
Boston Properties LP | 5.875% | 10/15/19 | 2,109 | 2,414 |
Boston Properties LP | 5.625% | 11/15/20 | 2,225 | 2,482 |
Boston Properties LP | 4.125% | 5/15/21 | 1,325 | 1,351 |
Boston Properties LP | 3.850% | 2/1/23 | 3,355 | 3,270 |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 625 | 586 |
BRE Properties Inc. | 3.375% | 1/15/23 | 1,250 | 1,147 |
Camden Property Trust | 4.625% | 6/15/21 | 2,100 | 2,197 |
Camden Property Trust | 2.950% | 12/15/22 | 1,425 | 1,288 |
CommonWealth REIT | 5.875% | 9/15/20 | 800 | 814 |
Corporate Office Properties LP | 3.600% | 5/15/23 | 975 | 892 |
CubeSmart LP | 4.800% | 7/15/22 | 575 | 590 |
DDR Corp. | 7.875% | 9/1/20 | 1,000 | 1,216 |
DDR Corp. | 4.625% | 7/15/22 | 1,499 | 1,505 |
DDR Corp. | 3.375% | 5/15/23 | 850 | 769 |
Digital Realty Trust LP | 5.875% | 2/1/20 | 1,600 | 1,752 |
Digital Realty Trust LP | 5.250% | 3/15/21 | 2,160 | 2,229 |
Digital Realty Trust LP | 3.625% | 10/1/22 | 1,600 | 1,453 |
Duke Realty LP | 8.250% | 8/15/19 | 1,250 | 1,540 |
Duke Realty LP | 6.750% | 3/15/20 | 1,650 | 1,880 |
Duke Realty LP | 3.875% | 10/15/22 | 1,650 | 1,548 |
EPR Properties | 7.750% | 7/15/20 | 500 | 563 |
EPR Properties | 5.750% | 8/15/22 | 1,300 | 1,306 |
EPR Properties | 5.250% | 7/15/23 | 1,000 | 971 |
Equity One Inc. | 3.750% | 11/15/22 | 1,000 | 931 |
ERP Operating LP | 4.750% | 7/15/20 | 2,550 | 2,721 |
ERP Operating LP | 4.625% | 12/15/21 | 2,650 | 2,777 |
ERP Operating LP | 3.000% | 4/15/23 | 875 | 795 |
Essex Portfolio LP | 3.625% | 8/15/22 | 800 | 756 |
Essex Portfolio LP | 3.250% | 5/1/23 | 1,075 | 975 |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 575 | 531 |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 925 | 820 |
HCP Inc. | 3.750% | 2/1/19 | 1,700 | 1,742 |
HCP Inc. | 2.625% | 2/1/20 | 2,575 | 2,416 |
HCP Inc. | 5.375% | 2/1/21 | 2,658 | 2,873 |
HCP Inc. | 3.150% | 8/1/22 | 1,525 | 1,393 |
Health Care REIT Inc. | 4.125% | 4/1/19 | 2,536 | 2,640 |
113
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Health Care REIT Inc. | 6.125% | 4/15/20 | 1,100 | 1,237 |
Health Care REIT Inc. | 4.950% | 1/15/21 | 1,060 | 1,115 |
Health Care REIT Inc. | 5.250% | 1/15/22 | 1,665 | 1,769 |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 800 | 865 |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 1,150 | 1,073 |
1 Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 875 | 811 |
Highwoods Realty LP | 3.625% | 1/15/23 | 700 | 646 |
Hospitality Properties Trust | 5.000% | 8/15/22 | 1,225 | 1,216 |
Hospitality Properties Trust | 4.500% | 6/15/23 | 1,375 | 1,317 |
Kilroy Realty LP | 3.800% | 1/15/23 | 2,000 | 1,861 |
Kimco Realty Corp. | 6.875% | 10/1/19 | 950 | 1,138 |
Kimco Realty Corp. | 3.125% | 6/1/23 | 1,100 | 1,001 |
Liberty Property LP | 4.125% | 6/15/22 | 1,581 | 1,552 |
Liberty Property LP | 3.375% | 6/15/23 | 1,225 | 1,119 |
Mack-Cali Realty LP | 7.750% | 8/15/19 | 1,475 | 1,775 |
Mack-Cali Realty LP | 4.500% | 4/18/22 | 200 | 197 |
Mack-Cali Realty LP | 3.150% | 5/15/23 | 500 | 437 |
National Retail Properties Inc. | 3.800% | 10/15/22 | 1,725 | 1,643 |
National Retail Properties Inc. | 3.300% | 4/15/23 | 900 | 815 |
Omega Healthcare Investors Inc. | 6.750% | 10/15/22 | 1,615 | 1,714 |
Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 700 | 629 |
ProLogis LP | 2.750% | 2/15/19 | 700 | 693 |
ProLogis LP | 6.875% | 3/15/20 | 2,225 | 2,609 |
ProLogis LP | 4.250% | 8/15/23 | 2,000 | 1,962 |
Realty Income Corp. | 6.750% | 8/15/19 | 2,000 | 2,335 |
Realty Income Corp. | 5.750% | 1/15/21 | 450 | 494 |
Realty Income Corp. | 3.250% | 10/15/22 | 2,020 | 1,833 |
Realty Income Corp. | 4.650% | 8/1/23 | 1,525 | 1,532 |
Regency Centers LP | 4.800% | 4/15/21 | 500 | 523 |
Simon Property Group LP | 10.350% | 4/1/19 | 2,450 | 3,307 |
Simon Property Group LP | 5.650% | 2/1/20 | 2,276 | 2,577 |
Simon Property Group LP | 4.375% | 3/1/21 | 2,425 | 2,557 |
Simon Property Group LP | 4.125% | 12/1/21 | 2,350 | 2,432 |
Simon Property Group LP | 3.375% | 3/15/22 | 1,904 | 1,876 |
Simon Property Group LP | 2.750% | 2/1/23 | 1,000 | 912 |
UDR Inc. | 4.625% | 1/10/22 | 1,700 | 1,749 |
Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 2,025 | 2,104 |
Ventas Realty LP / Ventas Capital Corp. | 2.700% | 4/1/20 | 1,125 | 1,062 |
Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 2,695 | 2,803 |
Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 875 | 873 |
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 2,250 | 2,078 |
Vornado Realty LP | 5.000% | 1/15/22 | 700 | 731 |
Washington REIT | 4.950% | 10/1/20 | 425 | 440 |
Washington REIT | 3.950% | 10/15/22 | 1,050 | 1,001 |
Weingarten Realty Investors | 3.375% | 10/15/22 | 600 | 553 |
Weingarten Realty Investors | 3.500% | 4/15/23 | 1,175 | 1,081 |
983,716 | ||||
Industrial (59.1%) | ||||
Basic Industry (7.7%) | ||||
Agrium Inc. | 6.750% | 1/15/19 | 1,450 | 1,701 |
Agrium Inc. | 3.150% | 10/1/22 | 1,005 | 922 |
Agrium Inc. | 3.500% | 6/1/23 | 2,100 | 1,987 |
Air Products & Chemicals Inc. | 4.375% | 8/21/19 | 1,100 | 1,188 |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 1,925 | 1,844 |
Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 1,400 | 1,291 |
Airgas Inc. | 2.900% | 11/15/22 | 800 | 731 |
114
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Albemarle Corp. | 4.500% | 12/15/20 | 925 | 958 |
Alcoa Inc. | 5.720% | 2/23/19 | 2,400 | 2,481 |
Alcoa Inc. | 6.150% | 8/15/20 | 1,625 | 1,702 |
Alcoa Inc. | 5.400% | 4/15/21 | 5,830 | 5,766 |
Allegheny Technologies Inc. | 9.375% | 6/1/19 | 1,900 | 2,318 |
Allegheny Technologies Inc. | 5.950% | 1/15/21 | 265 | 273 |
Allegheny Technologies Inc. | 5.875% | 8/15/23 | 1,000 | 968 |
Barrick Gold Corp. | 6.950% | 4/1/19 | 1,925 | 2,104 |
Barrick Gold Corp. | 3.850% | 4/1/22 | 3,025 | 2,663 |
1 Barrick Gold Corp. | 4.100% | 5/1/23 | 4,450 | 3,873 |
Barrick North America Finance LLC | 6.800% | 9/15/18 | 3,221 | 3,566 |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 4,401 | 4,107 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 3,925 | 4,652 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 4,150 | 4,050 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 3,950 | 3,714 |
Cabot Corp. | 3.700% | 7/15/22 | 1,000 | 961 |
Carpenter Technology Corp. | 5.200% | 7/15/21 | 200 | 204 |
Carpenter Technology Corp. | 4.450% | 3/1/23 | 1,500 | 1,454 |
Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 2,315 | 2,624 |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 1,275 | 1,215 |
CF Industries Inc. | 7.125% | 5/1/20 | 1,490 | 1,749 |
CF Industries Inc. | 3.450% | 6/1/23 | 1,900 | 1,754 |
Cliffs Natural Resources Inc. | 5.900% | 3/15/20 | 1,100 | 1,112 |
Cliffs Natural Resources Inc. | 4.800% | 10/1/20 | 1,000 | 929 |
Cliffs Natural Resources Inc. | 4.875% | 4/1/21 | 2,150 | 1,989 |
Cytec Industries Inc. | 3.500% | 4/1/23 | 725 | 667 |
Dow Chemical Co. | 8.550% | 5/15/19 | 4,625 | 5,888 |
Dow Chemical Co. | 4.250% | 11/15/20 | 4,200 | 4,356 |
Dow Chemical Co. | 4.125% | 11/15/21 | 3,294 | 3,343 |
Dow Chemical Co. | 3.000% | 11/15/22 | 6,818 | 6,259 |
Eastman Chemical Co. | 5.500% | 11/15/19 | 1,196 | 1,331 |
Eastman Chemical Co. | 3.600% | 8/15/22 | 4,000 | 3,863 |
Ecolab Inc. | 4.350% | 12/8/21 | 4,625 | 4,827 |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 3,125 | 3,425 |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 3,325 | 3,398 |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 2,000 | 2,118 |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 4,400 | 4,091 |
FMC Corp. | 3.950% | 2/1/22 | 750 | 748 |
1 Freeport-McMoRan Copper & Gold Inc. | 3.100% | 3/15/20 | 4,642 | 4,205 |
Freeport-McMoRan Copper & Gold Inc. | 3.550% | 3/1/22 | 5,775 | 5,147 |
1 Freeport-McMoRan Copper & Gold Inc. | 3.875% | 3/15/23 | 6,455 | 5,761 |
Goldcorp Inc. | 3.700% | 3/15/23 | 3,200 | 2,927 |
International Paper Co. | 9.375% | 5/15/19 | 2,725 | 3,590 |
International Paper Co. | 7.500% | 8/15/21 | 3,140 | 3,851 |
International Paper Co. | 4.750% | 2/15/22 | 3,650 | 3,824 |
Kinross Gold Corp. | 5.125% | 9/1/21 | 1,950 | 1,793 |
Lubrizol Corp. | 8.875% | 2/1/19 | 1,675 | 2,206 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 6,675 | 7,242 |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 2,975 | 3,360 |
MeadWestvaco Corp. | 7.375% | 9/1/19 | 750 | 873 |
Methanex Corp. | 3.250% | 12/15/19 | 1,025 | 997 |
Mosaic Co. | 3.750% | 11/15/21 | 1,325 | 1,272 |
NewMarket Corp. | 4.100% | 12/15/22 | 1,050 | 999 |
Newmont Mining Corp. | 5.125% | 10/1/19 | 1,906 | 1,999 |
Newmont Mining Corp. | 3.500% | 3/15/22 | 3,957 | 3,466 |
Nucor Corp. | 4.125% | 9/15/22 | 2,280 | 2,271 |
115
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Nucor Corp. | 4.000% | 8/1/23 | 975 | 946 |
Packaging Corp. of America | 3.900% | 6/15/22 | 1,175 | 1,144 |
Plains Exploration & Production Co. | 6.125% | 6/15/19 | 2,900 | 3,078 |
Plains Exploration & Production Co. | 6.500% | 11/15/20 | 4,500 | 4,781 |
Plains Exploration & Production Co. | 6.625% | 5/1/21 | 2,000 | 2,115 |
Plains Exploration & Production Co. | 6.750% | 2/1/22 | 2,025 | 2,152 |
Plains Exploration & Production Co. | 6.875% | 2/15/23 | 4,000 | 4,255 |
Plum Creek Timberlands LP | 4.700% | 3/15/21 | 1,750 | 1,794 |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 850 | 992 |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 2,125 | 2,291 |
PPG Industries Inc. | 3.600% | 11/15/20 | 2,645 | 2,674 |
Praxair Inc. | 1.250% | 11/7/18 | 500 | 476 |
Praxair Inc. | 4.500% | 8/15/19 | 2,200 | 2,409 |
Praxair Inc. | 4.050% | 3/15/21 | 1,025 | 1,074 |
Praxair Inc. | 3.000% | 9/1/21 | 2,500 | 2,431 |
Praxair Inc. | 2.450% | 2/15/22 | 3,600 | 3,354 |
Praxair Inc. | 2.700% | 2/21/23 | 425 | 397 |
Rayonier Inc. | 3.750% | 4/1/22 | 725 | 692 |
Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 1,375 | 1,315 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 4,934 | 6,322 |
Rio Tinto Finance USA Ltd. | 3.500% | 11/2/20 | 2,625 | 2,561 |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 2,379 | 2,398 |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 3,650 | 3,577 |
Rio Tinto Finance USA plc | 2.250% | 12/14/18 | 3,200 | 3,091 |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 2,100 | 1,989 |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 4,406 | 3,976 |
RPM International Inc. | 6.125% | 10/15/19 | 750 | 852 |
RPM International Inc. | 3.450% | 11/15/22 | 1,775 | 1,658 |
Sigma-Aldrich Corp. | 3.375% | 11/1/20 | 240 | 238 |
Southern Copper Corp. | 5.375% | 4/16/20 | 800 | 839 |
Southern Copper Corp. | 3.500% | 11/8/22 | 950 | 841 |
Syngenta Finance NV | 3.125% | 3/28/22 | 1,500 | 1,444 |
Teck Resources Ltd. | 3.000% | 3/1/19 | 1,436 | 1,386 |
Teck Resources Ltd. | 4.500% | 1/15/21 | 1,100 | 1,067 |
Teck Resources Ltd. | 4.750% | 1/15/22 | 1,975 | 1,938 |
Teck Resources Ltd. | 3.750% | 2/1/23 | 2,900 | 2,588 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 3,950 | 4,241 |
Vale Overseas Ltd. | 4.625% | 9/15/20 | 2,625 | 2,615 |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 6,515 | 6,091 |
Valspar Corp. | 7.250% | 6/15/19 | 425 | 509 |
Valspar Corp. | 4.200% | 1/15/22 | 1,875 | 1,884 |
Westlake Chemical Corp. | 3.600% | 7/15/22 | 200 | 191 |
Weyerhaeuser Co. | 7.375% | 10/1/19 | 1,600 | 1,923 |
Capital Goods (6.0%) | ||||
3M Co. | 2.000% | 6/26/22 | 1,475 | 1,364 |
ABB Finance USA Inc. | 2.875% | 5/8/22 | 3,975 | 3,779 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 1,125 | 1,220 |
Avery Dennison Corp. | 3.350% | 4/15/23 | 1,500 | 1,397 |
Bemis Co. Inc. | 4.500% | 10/15/21 | 2,625 | 2,699 |
Boeing Capital Corp. | 4.700% | 10/27/19 | 560 | 625 |
Boeing Co. | 6.000% | 3/15/19 | 2,950 | 3,476 |
Boeing Co. | 4.875% | 2/15/20 | 3,700 | 4,171 |
Boeing Co. | 8.750% | 8/15/21 | 300 | 402 |
Carlisle Cos. Inc. | 3.750% | 11/15/22 | 1,725 | 1,640 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 3,422 | 4,199 |
116
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 1,800 | 1,702 |
Caterpillar Inc. | 7.900% | 12/15/18 | 5,550 | 7,044 |
Caterpillar Inc. | 3.900% | 5/27/21 | 1,775 | 1,835 |
Caterpillar Inc. | 2.600% | 6/26/22 | 1,800 | 1,669 |
Cooper US Inc. | 3.875% | 12/15/20 | 100 | 103 |
CRH America Inc. | 5.750% | 1/15/21 | 700 | 761 |
Danaher Corp. | 5.400% | 3/1/19 | 2,600 | 2,977 |
Danaher Corp. | 3.900% | 6/23/21 | 2,950 | 3,071 |
Deere & Co. | 4.375% | 10/16/19 | 2,425 | 2,686 |
Deere & Co. | 2.600% | 6/8/22 | 4,150 | 3,877 |
Dover Corp. | 4.300% | 3/1/21 | 1,750 | 1,864 |
Eaton Corp. | 6.950% | 3/20/19 | 1,085 | 1,292 |
1 Eaton Corp. | 2.750% | 11/2/22 | 5,375 | 4,954 |
Embraer Overseas Ltd. | 6.375% | 1/15/20 | 1,575 | 1,726 |
Embraer SA | 5.150% | 6/15/22 | 925 | 907 |
Emerson Electric Co. | 5.250% | 10/15/18 | 200 | 227 |
Emerson Electric Co. | 4.875% | 10/15/19 | 2,665 | 2,998 |
Emerson Electric Co. | 4.250% | 11/15/20 | 1,075 | 1,150 |
Emerson Electric Co. | 2.625% | 2/15/23 | 2,150 | 2,020 |
Exelis Inc. | 5.550% | 10/1/21 | 1,200 | 1,198 |
Flowserve Corp. | 3.500% | 9/15/22 | 3,350 | 3,125 |
General Dynamics Corp. | 3.875% | 7/15/21 | 1,800 | 1,860 |
General Dynamics Corp. | 2.250% | 11/15/22 | 3,100 | 2,773 |
General Electric Co. | 2.700% | 10/9/22 | 10,925 | 10,169 |
Honeywell International Inc. | 5.000% | 2/15/19 | 1,300 | 1,466 |
Honeywell International Inc. | 4.250% | 3/1/21 | 3,192 | 3,443 |
IDEX Corp. | 4.200% | 12/15/21 | 600 | 598 |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 1,925 | 2,288 |
Illinois Tool Works Inc. | 3.375% | 9/15/21 | 977 | 980 |
1 Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 1,875 | 1,849 |
1 Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 1,800 | 1,773 |
John Deere Capital Corp. | 5.750% | 9/10/18 | 330 | 382 |
John Deere Capital Corp. | 2.250% | 4/17/19 | 1,750 | 1,740 |
John Deere Capital Corp. | 1.700% | 1/15/20 | 2,125 | 1,982 |
John Deere Capital Corp. | 3.900% | 7/12/21 | 2,200 | 2,279 |
John Deere Capital Corp. | 3.150% | 10/15/21 | 2,550 | 2,509 |
John Deere Capital Corp. | 2.750% | 3/15/22 | 300 | 284 |
John Deere Capital Corp. | 2.800% | 1/27/23 | 1,000 | 939 |
Joy Global Inc. | 5.125% | 10/15/21 | 1,450 | 1,523 |
Kennametal Inc. | 2.650% | 11/1/19 | 1,550 | 1,491 |
Kennametal Inc. | 3.875% | 2/15/22 | 350 | 336 |
L-3 Communications Corp. | 5.200% | 10/15/19 | 1,325 | 1,417 |
L-3 Communications Corp. | 4.750% | 7/15/20 | 3,150 | 3,270 |
L-3 Communications Corp. | 4.950% | 2/15/21 | 1,450 | 1,518 |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 3,525 | 3,792 |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 2,625 | 2,589 |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 1,825 | 1,724 |
Northrop Grumman Corp. | 5.050% | 8/1/19 | 1,275 | 1,420 |
Northrop Grumman Corp. | 3.500% | 3/15/21 | 1,225 | 1,232 |
Northrop Grumman Corp. | 3.250% | 8/1/23 | 4,200 | 3,948 |
Owens Corning | 9.000% | 6/15/19 | 358 | 431 |
Owens Corning | 4.200% | 12/15/22 | 1,775 | 1,713 |
Parker Hannifin Corp. | 3.500% | 9/15/22 | 920 | 912 |
Pentair Finance SA | 5.000% | 5/15/21 | 2,220 | 2,329 |
Pentair Finance SA | 3.150% | 9/15/22 | 875 | 794 |
Precision Castparts Corp. | 2.500% | 1/15/23 | 3,450 | 3,148 |
117
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Raytheon Co. | 6.400% | 12/15/18 | 2,900 | 3,466 |
Raytheon Co. | 4.400% | 2/15/20 | 325 | 348 |
Raytheon Co. | 3.125% | 10/15/20 | 3,375 | 3,378 |
Raytheon Co. | 2.500% | 12/15/22 | 1,825 | 1,655 |
Republic Services Inc. | 5.500% | 9/15/19 | 1,425 | 1,605 |
Republic Services Inc. | 5.000% | 3/1/20 | 3,400 | 3,688 |
Republic Services Inc. | 5.250% | 11/15/21 | 1,825 | 1,974 |
Republic Services Inc. | 3.550% | 6/1/22 | 1,508 | 1,456 |
Republic Services Inc. | 4.750% | 5/15/23 | 1,170 | 1,211 |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 1,359 | 1,322 |
Roper Industries Inc. | 2.050% | 10/1/18 | 3,250 | 3,165 |
Roper Industries Inc. | 6.250% | 9/1/19 | 1,100 | 1,270 |
Roper Industries Inc. | 3.125% | 11/15/22 | 2,225 | 2,056 |
Snap-on Inc. | 6.125% | 9/1/21 | 1,410 | 1,613 |
Sonoco Products Co. | 4.375% | 11/1/21 | 775 | 787 |
Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 1,275 | 1,235 |
Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 2,500 | 2,328 |
Textron Inc. | 7.250% | 10/1/19 | 1,520 | 1,778 |
Tyco International Finance SA | 8.500% | 1/15/19 | 2,008 | 2,481 |
Tyco International Finance SA / | ||||
Tyco International Ltd. | 6.875% | 1/15/21 | 200 | 233 |
United Technologies Corp. | 6.125% | 2/1/19 | 3,975 | 4,698 |
United Technologies Corp. | 4.500% | 4/15/20 | 6,290 | 6,912 |
United Technologies Corp. | 3.100% | 6/1/22 | 3,954 | 3,845 |
Waste Management Inc. | 7.375% | 3/11/19 | 750 | 899 |
Waste Management Inc. | 4.750% | 6/30/20 | 3,225 | 3,456 |
Waste Management Inc. | 4.600% | 3/1/21 | 580 | 612 |
Waste Management Inc. | 2.900% | 9/15/22 | 400 | 369 |
Xylem Inc. | 4.875% | 10/1/21 | 1,850 | 1,932 |
Communication (7.6%) | ||||
America Movil SAB de CV | 5.000% | 10/16/19 | 2,375 | 2,548 |
America Movil SAB de CV | 5.000% | 3/30/20 | 6,431 | 6,759 |
America Movil SAB de CV | 3.125% | 7/16/22 | 4,975 | 4,485 |
American Tower Corp. | 5.050% | 9/1/20 | 2,981 | 3,075 |
American Tower Corp. | 5.900% | 11/1/21 | 2,374 | 2,540 |
American Tower Corp. | 4.700% | 3/15/22 | 2,450 | 2,432 |
American Tower Corp. | 3.500% | 1/31/23 | 3,100 | 2,780 |
AT&T Inc. | 5.800% | 2/15/19 | 5,225 | 5,973 |
AT&T Inc. | 4.450% | 5/15/21 | 3,800 | 4,016 |
AT&T Inc. | 3.875% | 8/15/21 | 4,704 | 4,787 |
AT&T Inc. | 3.000% | 2/15/22 | 4,750 | 4,449 |
AT&T Inc. | 2.625% | 12/1/22 | 6,325 | 5,632 |
CBS Corp. | 8.875% | 5/15/19 | 1,300 | 1,650 |
CBS Corp. | 5.750% | 4/15/20 | 1,815 | 2,008 |
CBS Corp. | 4.300% | 2/15/21 | 1,700 | 1,732 |
CBS Corp. | 3.375% | 3/1/22 | 2,067 | 1,941 |
CC Holdings GS V LLC / | ||||
Crown Castle GS III Corp. | 3.849% | 4/15/23 | 2,625 | 2,419 |
Cellco Partnership / Verizon Wireless Capital LLC | 8.500% | 11/15/18 | 5,344 | 6,749 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 2,888 | 4,028 |
Comcast Corp. | 5.700% | 7/1/19 | 2,790 | 3,237 |
Comcast Corp. | 5.150% | 3/1/20 | 4,150 | 4,663 |
Comcast Corp. | 3.125% | 7/15/22 | 2,025 | 1,950 |
Comcast Corp. | 2.850% | 1/15/23 | 3,500 | 3,280 |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 3,350 | 3,911 |
118
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 5.875% | 10/1/19 | 3,990 | 4,411 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 5.200% | 3/15/20 | 3,265 | 3,444 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 4.600% | 2/15/21 | 3,120 | 3,124 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 5.000% | 3/1/21 | 2,450 | 2,507 |
DIRECTV Holdings LLC / | ||||
DIRECTV Financing Co. Inc. | 3.800% | 3/15/22 | 4,506 | 4,194 |
Discovery Communications LLC | 5.625% | 8/15/19 | 160 | 183 |
Discovery Communications LLC | 5.050% | 6/1/20 | 5,525 | 6,011 |
Discovery Communications LLC | 4.375% | 6/15/21 | 1,850 | 1,916 |
Discovery Communications LLC | 3.300% | 5/15/22 | 1,800 | 1,688 |
Discovery Communications LLC | 3.250% | 4/1/23 | 1,500 | 1,392 |
GTE Corp. | 8.750% | 11/1/21 | 1,175 | 1,547 |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 2,000 | 1,857 |
Moody’s Corp. | 5.500% | 9/1/20 | 1,850 | 1,980 |
Moody’s Corp. | 4.500% | 9/1/22 | 1,131 | 1,130 |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 6,715 | 7,554 |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 5,751 | 6,139 |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 2,850 | 2,670 |
News America Inc. | 6.900% | 3/1/19 | 1,325 | 1,582 |
News America Inc. | 5.650% | 8/15/20 | 1,500 | 1,684 |
News America Inc. | 4.500% | 2/15/21 | 2,850 | 2,973 |
News America Inc. | 3.000% | 9/15/22 | 4,700 | 4,330 |
Omnicom Group Inc. | 6.250% | 7/15/19 | 950 | 1,095 |
Omnicom Group Inc. | 4.450% | 8/15/20 | 4,575 | 4,761 |
Omnicom Group Inc. | 3.625% | 5/1/22 | 2,500 | 2,407 |
Orange SA | 5.375% | 7/8/19 | 4,075 | 4,480 |
Orange SA | 4.125% | 9/14/21 | 1,450 | 1,443 |
Qwest Corp. | 6.750% | 12/1/21 | 2,480 | 2,656 |
Reed Elsevier Capital Inc. | 3.125% | 10/15/22 | 3,356 | 3,099 |
Rogers Communications Inc. | 3.000% | 3/15/23 | 1,200 | 1,084 |
Telecom Italia Capital SA | 7.175% | 6/18/19 | 3,159 | 3,413 |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 3,185 | 3,421 |
Telefonica Emisiones SAU | 5.134% | 4/27/20 | 4,450 | 4,510 |
Telefonica Emisiones SAU | 5.462% | 2/16/21 | 4,695 | 4,787 |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 2,375 | 2,264 |
Telefonos de Mexico SAB de CV | 5.500% | 11/15/19 | 750 | 817 |
Thomson Reuters Corp. | 4.700% | 10/15/19 | 2,225 | 2,417 |
Thomson Reuters Corp. | 3.950% | 9/30/21 | 1,027 | 1,036 |
Time Warner Cable Inc. | 8.750% | 2/14/19 | 3,900 | 4,625 |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 6,350 | 7,425 |
Time Warner Cable Inc. | 5.000% | 2/1/20 | 2,325 | 2,348 |
Time Warner Cable Inc. | 4.125% | 2/15/21 | 2,175 | 2,067 |
Time Warner Cable Inc. | 4.000% | 9/1/21 | 3,116 | 2,925 |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 2,680 | 3,089 |
Verizon Communications Inc. | 8.750% | 11/1/18 | 4,129 | 5,259 |
Verizon Communications Inc. | 6.350% | 4/1/19 | 5,150 | 6,025 |
Verizon Communications Inc. | 4.600% | 4/1/21 | 4,450 | 4,689 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 5,518 | 5,392 |
Verizon Communications Inc. | 2.450% | 11/1/22 | 5,050 | 4,437 |
Vodafone Group plc | 5.450% | 6/10/19 | 3,630 | 4,072 |
Vodafone Group plc | 4.375% | 3/16/21 | 1,343 | 1,394 |
Vodafone Group plc | 2.500% | 9/26/22 | 2,500 | 2,202 |
119
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Vodafone Group plc | 2.950% | 2/19/23 | 5,188 | 4,721 |
Washington Post Co. | 7.250% | 2/1/19 | 600 | 703 |
WPP Finance 2010 | 3.625% | 9/7/22 | 3,475 | 3,242 |
Consumer Cyclical (6.2%) | ||||
Advance Auto Parts Inc. | 5.750% | 5/1/20 | 750 | 786 |
Advance Auto Parts Inc. | 4.500% | 1/15/22 | 1,075 | 1,043 |
Amazon.com Inc. | 2.500% | 11/29/22 | 4,425 | 3,991 |
AutoZone Inc. | 4.000% | 11/15/20 | 1,750 | 1,774 |
AutoZone Inc. | 3.700% | 4/15/22 | 2,500 | 2,432 |
AutoZone Inc. | 2.875% | 1/15/23 | 1,425 | 1,287 |
BorgWarner Inc. | 4.625% | 9/15/20 | 75 | 78 |
Brinker International Inc. | 3.875% | 5/15/23 | 700 | 652 |
Costco Wholesale Corp. | 1.700% | 12/15/19 | 3,350 | 3,223 |
CVS Caremark Corp. | 4.750% | 5/18/20 | 2,025 | 2,217 |
CVS Caremark Corp. | 4.125% | 5/15/21 | 2,004 | 2,099 |
CVS Caremark Corp. | 2.750% | 12/1/22 | 3,750 | 3,457 |
Darden Restaurants Inc. | 4.500% | 10/15/21 | 1,225 | 1,238 |
Darden Restaurants Inc. | 3.350% | 11/1/22 | 775 | 706 |
Dollar General Corp. | 3.250% | 4/15/23 | 2,800 | 2,544 |
eBay Inc. | 3.250% | 10/15/20 | 1,600 | 1,611 |
eBay Inc. | 2.600% | 7/15/22 | 3,550 | 3,263 |
Expedia Inc. | 5.950% | 8/15/20 | 1,650 | 1,718 |
Family Dollar Stores Inc. | 5.000% | 2/1/21 | 565 | 581 |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 3,150 | 3,826 |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 3,750 | 4,039 |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 6,077 | 6,589 |
Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 4,725 | 4,583 |
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 2,025 | 1,973 |
Gap Inc. | 5.950% | 4/12/21 | 2,272 | 2,510 |
Historic TW Inc. | 9.150% | 2/1/23 | 1,795 | 2,361 |
Home Depot Inc. | 3.950% | 9/15/20 | 1,000 | 1,068 |
Home Depot Inc. | 4.400% | 4/1/21 | 3,213 | 3,496 |
Home Depot Inc. | 2.700% | 4/1/23 | 1,675 | 1,560 |
Host Hotels & Resorts LP | 5.875% | 6/15/19 | 600 | 649 |
Host Hotels & Resorts LP | 6.000% | 10/1/21 | 1,500 | 1,622 |
Host Hotels & Resorts LP | 5.250% | 3/15/22 | 1,647 | 1,690 |
Host Hotels & Resorts LP | 4.750% | 3/1/23 | 2,384 | 2,375 |
Hyatt Hotels Corp. | 5.375% | 8/15/21 | 800 | 846 |
Hyatt Hotels Corp. | 3.375% | 7/15/23 | 975 | 901 |
International Game Technology | 7.500% | 6/15/19 | 1,825 | 2,106 |
International Game Technology | 5.500% | 6/15/20 | 550 | 568 |
Johnson Controls Inc. | 5.000% | 3/30/20 | 725 | 787 |
Johnson Controls Inc. | 4.250% | 3/1/21 | 1,934 | 1,992 |
Johnson Controls Inc. | 3.750% | 12/1/21 | 2,400 | 2,387 |
Kohl’s Corp. | 4.000% | 11/1/21 | 1,900 | 1,886 |
Kohl’s Corp. | 3.250% | 2/1/23 | 1,975 | 1,812 |
Lowe’s Cos. Inc. | 4.625% | 4/15/20 | 2,025 | 2,213 |
Lowe’s Cos. Inc. | 3.800% | 11/15/21 | 2,249 | 2,289 |
Lowe’s Cos. Inc. | 3.120% | 4/15/22 | 1,000 | 972 |
Macy’s Retail Holdings Inc. | 3.875% | 1/15/22 | 2,700 | 2,669 |
Macy’s Retail Holdings Inc. | 2.875% | 2/15/23 | 1,121 | 1,009 |
Marriott International Inc. | 3.000% | 3/1/19 | 1,450 | 1,456 |
Marriott International Inc. | 3.250% | 9/15/22 | 400 | 370 |
McDonald’s Corp. | 5.000% | 2/1/19 | 645 | 731 |
McDonald’s Corp. | 3.500% | 7/15/20 | 1,500 | 1,553 |
120
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
McDonald’s Corp. | 3.625% | 5/20/21 | 750 | 773 |
McDonald’s Corp. | 2.625% | 1/15/22 | 4,100 | 3,894 |
MDC Holdings Inc. | 5.625% | 2/1/20 | 400 | 418 |
NIKE Inc. | 2.250% | 5/1/23 | 1,300 | 1,180 |
Nordstrom Inc. | 4.750% | 5/1/20 | 600 | 659 |
Nordstrom Inc. | 4.000% | 10/15/21 | 2,125 | 2,213 |
NVR Inc. | 3.950% | 9/15/22 | 1,175 | 1,121 |
O’Reilly Automotive Inc. | 4.875% | 1/14/21 | 1,235 | 1,287 |
O’Reilly Automotive Inc. | 4.625% | 9/15/21 | 375 | 388 |
O’Reilly Automotive Inc. | 3.800% | 9/1/22 | 700 | 682 |
O’Reilly Automotive Inc. | 3.850% | 6/15/23 | 1,950 | 1,896 |
QVC Inc. | 5.125% | 7/2/22 | 1,825 | 1,813 |
QVC Inc. | 4.375% | 3/15/23 | 2,700 | 2,510 |
Staples Inc. | 4.375% | 1/12/23 | 1,425 | 1,362 |
Starwood Hotels & Resorts Worldwide Inc. | 3.125% | 2/15/23 | 1,000 | 907 |
Target Corp. | 3.875% | 7/15/20 | 2,500 | 2,654 |
Target Corp. | 2.900% | 1/15/22 | 3,900 | 3,773 |
Time Warner Inc. | 4.875% | 3/15/20 | 2,774 | 2,988 |
Time Warner Inc. | 4.700% | 1/15/21 | 4,275 | 4,526 |
Time Warner Inc. | 4.750% | 3/29/21 | 2,125 | 2,255 |
Time Warner Inc. | 4.000% | 1/15/22 | 1,125 | 1,126 |
Time Warner Inc. | 3.400% | 6/15/22 | 1,800 | 1,725 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 1,525 | 1,837 |
TJX Cos. Inc. | 2.500% | 5/15/23 | 1,125 | 1,032 |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 1,400 | 1,514 |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 1,625 | 1,715 |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 3,625 | 3,614 |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 2,575 | 2,516 |
Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 2,554 | 2,344 |
VF Corp. | 3.500% | 9/1/21 | 2,000 | 1,988 |
Viacom Inc. | 5.625% | 9/15/19 | 2,500 | 2,809 |
Viacom Inc. | 4.500% | 3/1/21 | 1,655 | 1,710 |
Viacom Inc. | 3.875% | 12/15/21 | 2,800 | 2,743 |
Viacom Inc. | 3.125% | 6/15/22 | 400 | 367 |
Viacom Inc. | 4.250% | 9/1/23 | 2,725 | 2,686 |
Wal-Mart Stores Inc. | 4.125% | 2/1/19 | 2,190 | 2,388 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 4,108 | 4,287 |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 4,833 | 4,942 |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 2,300 | 2,465 |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 4,450 | 4,081 |
Walgreen Co. | 5.250% | 1/15/19 | 2,583 | 2,897 |
Walgreen Co. | 3.100% | 9/15/22 | 3,100 | 2,897 |
Walt Disney Co. | 3.750% | 6/1/21 | 3,275 | 3,384 |
Walt Disney Co. | 2.750% | 8/16/21 | 2,125 | 2,057 |
Walt Disney Co. | 2.550% | 2/15/22 | 1,600 | 1,499 |
Walt Disney Co. | 2.350% | 12/1/22 | 2,850 | 2,598 |
Western Union Co. | 5.253% | 4/1/20 | 1,175 | 1,252 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 1,375 | 1,339 |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 3,250 | 3,058 |
Yum! Brands Inc. | 5.300% | 9/15/19 | 900 | 1,003 |
Yum! Brands Inc. | 3.875% | 11/1/20 | 1,850 | 1,864 |
Consumer Noncyclical (15.1%) | ||||
Abbott Laboratories | 5.125% | 4/1/19 | 2,235 | 2,545 |
Abbott Laboratories | 4.125% | 5/27/20 | 2,660 | 2,866 |
AbbVie Inc. | 2.000% | 11/6/18 | 2,975 | 2,897 |
121
Intermediate-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
AbbVie Inc. | 2.900% | 11/6/22 | 9,729 | 9,021 | |
Actavis Inc. | 6.125% | 8/15/19 | 750 | 867 | |
Actavis Inc. | 3.250% | 10/1/22 | 3,925 | 3,644 | |
Allergan Inc. | 3.375% | 9/15/20 | 1,325 | 1,335 | |
Allergan Inc. | 2.800% | 3/15/23 | 1,600 | 1,495 | |
Altria Group Inc. | 9.700% | 11/10/18 | 7,341 | 9,608 | |
Altria Group Inc. | 9.250% | 8/6/19 | 3,993 | 5,227 | |
Altria Group Inc. | 4.750% | 5/5/21 | 4,674 | 4,939 | |
Altria Group Inc. | 2.850% | 8/9/22 | 2,225 | 1,997 | |
Altria Group Inc. | 2.950% | 5/2/23 | 1,750 | 1,583 | |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 1,720 | 1,912 | |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 1,500 | 1,489 | |
Amgen Inc. | 5.700% | 2/1/19 | 3,211 | 3,659 | |
Amgen Inc. | 4.500% | 3/15/20 | 1,100 | 1,170 | |
Amgen Inc. | 3.450% | 10/1/20 | 3,192 | 3,196 | |
Amgen Inc. | 4.100% | 6/15/21 | 2,975 | 3,039 | |
Amgen Inc. | 3.875% | 11/15/21 | 5,050 | 5,045 | |
Amgen Inc. | 3.625% | 5/15/22 | 1,775 | 1,736 | |
Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 850 | 950 | |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 4,250 | 3,923 | |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 8,215 | 10,247 | |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 2,997 | 3,679 | |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 5,750 | 6,568 | |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 4,725 | 5,303 | |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 1,950 | 2,106 | |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 5,563 | 5,107 | |
Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 2,925 | 3,103 | |
AstraZeneca plc | 1.950% | 9/18/19 | 3,217 | 3,127 | |
Avon Products Inc. | 6.500% | 3/1/19 | 1,800 | 2,011 | |
Avon Products Inc. | 4.600% | 3/15/20 | 1,400 | 1,434 | |
Avon Products Inc. | 5.000% | 3/15/23 | 1,000 | 995 | |
Baxter International Inc. | 4.500% | 8/15/19 | 1,450 | 1,610 | |
Baxter International Inc. | 4.250% | 3/15/20 | 2,975 | 3,205 | |
Baxter International Inc. | 2.400% | 8/15/22 | 1,125 | 1,026 | |
Baxter International Inc. | 3.200% | 6/15/23 | 2,825 | 2,715 | |
Beam Inc. | 3.250% | 5/15/22 | 475 | 458 | |
Beam Inc. | 3.250% | 6/15/23 | 1,050 | 1,002 | |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 3,210 | 3,251 | |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 3,650 | 3,577 | |
Boston Scientific Corp. | 2.650% | 10/1/18 | 2,200 | 2,176 | |
Boston Scientific Corp. | 6.000% | 1/15/20 | 2,300 | 2,618 | |
Bottling Group LLC | 5.125% | 1/15/19 | 2,815 | 3,171 | |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 1,800 | 1,599 | |
Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 900 | 1,149 | |
Brown-Forman Corp. | 2.250% | 1/15/23 | 1,400 | 1,253 | |
Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 1,450 | 1,769 | |
Campbell Soup Co. | 4.500% | 2/15/19 | 700 | 752 | |
Campbell Soup Co. | 4.250% | 4/15/21 | 1,600 | 1,678 | |
Campbell Soup Co. | 2.500% | 8/2/22 | 1,575 | 1,415 | |
Cardinal Health Inc. | 4.625% | 12/15/20 | 825 | 879 | |
Cardinal Health Inc. | 3.200% | 6/15/22 | 1,200 | 1,133 | |
Cardinal Health Inc. | 3.200% | 3/15/23 | 2,725 | 2,509 | |
CareFusion Corp. | 6.375% | 8/1/19 | 2,750 | 3,121 | |
1 | CareFusion Corp. | 3.300% | 3/1/23 | 850 | 790 |
Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 1,800 | 1,649 | |
Celgene Corp. | 3.950% | 10/15/20 | 1,440 | 1,465 | |
122 |
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Celgene Corp. | 3.250% | 8/15/22 | 2,625 | 2,460 |
Celgene Corp. | 4.000% | 8/15/23 | 2,400 | 2,362 |
Church & Dwight Co. Inc. | 2.875% | 10/1/22 | 900 | 837 |
Clorox Co. | 3.800% | 11/15/21 | 1,358 | 1,359 |
Clorox Co. | 3.050% | 9/15/22 | 1,600 | 1,509 |
Coca-Cola Co. | 4.875% | 3/15/19 | 2,300 | 2,587 |
Coca-Cola Co. | 3.150% | 11/15/20 | 3,109 | 3,161 |
Coca-Cola Co. | 3.300% | 9/1/21 | 4,200 | 4,271 |
Coca-Cola Co. | 2.500% | 4/1/23 | 3,075 | 2,872 |
Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 2,950 | 2,945 |
Coca-Cola Enterprises Inc. | 3.250% | 8/19/21 | 425 | 410 |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 1,175 | 1,237 |
Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 975 | 1,291 |
Colgate-Palmolive Co. | 2.450% | 11/15/21 | 1,575 | 1,490 |
Colgate-Palmolive Co. | 2.300% | 5/3/22 | 1,600 | 1,485 |
Colgate-Palmolive Co. | 1.950% | 2/1/23 | 900 | 794 |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 1,000 | 898 |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 2,225 | 2,658 |
ConAgra Foods Inc. | 3.250% | 9/15/22 | 725 | 687 |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 2,450 | 2,285 |
Covidien International Finance SA | 4.200% | 6/15/20 | 1,625 | 1,729 |
Covidien International Finance SA | 3.200% | 6/15/22 | 2,275 | 2,207 |
Covidien International Finance SA | 2.950% | 6/15/23 | 1,425 | 1,324 |
CR Bard Inc. | 4.400% | 1/15/21 | 1,345 | 1,411 |
Delhaize Group SA | 4.125% | 4/10/19 | 400 | 408 |
DENTSPLY International Inc. | 4.125% | 8/15/21 | 1,130 | 1,137 |
Diageo Capital plc | 4.828% | 7/15/20 | 1,885 | 2,092 |
Diageo Capital plc | 2.625% | 4/29/23 | 3,575 | 3,257 |
Diageo Investment Corp. | 2.875% | 5/11/22 | 4,050 | 3,823 |
Dignity Health California GO | 3.125% | 11/1/22 | 700 | 637 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 475 | 475 |
Dr Pepper Snapple Group Inc. | 2.000% | 1/15/20 | 1,175 | 1,091 |
Dr Pepper Snapple Group Inc. | 3.200% | 11/15/21 | 1,475 | 1,436 |
Dr Pepper Snapple Group Inc. | 2.700% | 11/15/22 | 200 | 183 |
Energizer Holdings Inc. | 4.700% | 5/19/21 | 1,725 | 1,747 |
Energizer Holdings Inc. | 4.700% | 5/24/22 | 2,200 | 2,208 |
Express Scripts Holding Co. | 7.250% | 6/15/19 | 1,875 | 2,277 |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 2,650 | 2,813 |
Express Scripts Holding Co. | 3.900% | 2/15/22 | 3,125 | 3,136 |
Flowers Foods Inc. | 4.375% | 4/1/22 | 350 | 343 |
Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 800 | 721 |
General Mills Inc. | 5.650% | 2/15/19 | 2,265 | 2,607 |
General Mills Inc. | 3.150% | 12/15/21 | 3,025 | 2,950 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 3,625 | 3,875 |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 3,650 | 3,865 |
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 2,275 | 2,126 |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 6,850 | 6,510 |
Hershey Co. | 4.125% | 12/1/20 | 1,825 | 1,953 |
Hillshire Brands Co. | 4.100% | 9/15/20 | 54 | 54 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 100 | 104 |
Ingredion Inc. | 4.625% | 11/1/20 | 375 | 391 |
International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 875 | 818 |
JM Smucker Co. | 3.500% | 10/15/21 | 2,200 | 2,167 |
Johnson & Johnson | 3.550% | 5/15/21 | 1,250 | 1,306 |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 675 | 651 |
Kellogg Co. | 4.150% | 11/15/19 | 1,600 | 1,726 |
123
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kellogg Co. | 4.000% | 12/15/20 | 3,150 | 3,275 |
Kellogg Co. | 3.125% | 5/17/22 | 2,150 | 2,079 |
Kimberly-Clark Corp. | 7.500% | 11/1/18 | 2,915 | 3,644 |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 300 | 312 |
Kimberly-Clark Corp. | 3.875% | 3/1/21 | 1,075 | 1,125 |
Kimberly-Clark Corp. | 2.400% | 6/1/23 | 1,425 | 1,301 |
Koninklijke Philips NV | 3.750% | 3/15/22 | 4,662 | 4,615 |
Kraft Foods Group Inc. | 5.375% | 2/10/20 | 1,994 | 2,239 |
Kraft Foods Group Inc. | 3.500% | 6/6/22 | 5,552 | 5,433 |
Kroger Co. | 6.800% | 12/15/18 | 425 | 505 |
Kroger Co. | 6.150% | 1/15/20 | 1,989 | 2,267 |
Kroger Co. | 3.400% | 4/15/22 | 1,168 | 1,127 |
Kroger Co. | 3.850% | 8/1/23 | 2,650 | 2,593 |
Laboratory Corp. of America Holdings | 4.625% | 11/15/20 | 2,650 | 2,763 |
Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 1,450 | 1,396 |
Life Technologies Corp. | 6.000% | 3/1/20 | 1,875 | 2,099 |
Life Technologies Corp. | 5.000% | 1/15/21 | 1,333 | 1,400 |
Lorillard Tobacco Co. | 8.125% | 6/23/19 | 2,492 | 2,991 |
Lorillard Tobacco Co. | 6.875% | 5/1/20 | 2,250 | 2,548 |
Lorillard Tobacco Co. | 3.750% | 5/20/23 | 975 | 862 |
Mattel Inc. | 3.150% | 3/15/23 | 1,350 | 1,267 |
McCormick & Co. Inc. | 3.900% | 7/15/21 | 275 | 285 |
McCormick & Co. Inc. | 3.500% | 9/1/23 | 1,200 | 1,186 |
McKesson Corp. | 7.500% | 2/15/19 | 1,900 | 2,339 |
McKesson Corp. | 4.750% | 3/1/21 | 1,600 | 1,723 |
McKesson Corp. | 2.700% | 12/15/22 | 825 | 760 |
Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 1,850 | 2,026 |
Medco Health Solutions Inc. | 4.125% | 9/15/20 | 3,350 | 3,442 |
Medtronic Inc. | 5.600% | 3/15/19 | 2,100 | 2,394 |
Medtronic Inc. | 4.450% | 3/15/20 | 2,550 | 2,766 |
Medtronic Inc. | 3.125% | 3/15/22 | 3,375 | 3,268 |
Medtronic Inc. | 2.750% | 4/1/23 | 4,375 | 4,036 |
Merck & Co. Inc. | 3.875% | 1/15/21 | 4,361 | 4,541 |
Merck & Co. Inc. | 2.400% | 9/15/22 | 1,950 | 1,785 |
Merck & Co. Inc. | 2.800% | 5/18/23 | 5,725 | 5,327 |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 4,225 | 4,778 |
Molson Coors Brewing Co. | 3.500% | 5/1/22 | 1,375 | 1,352 |
Mondelez International Inc. | 5.375% | 2/10/20 | 8,701 | 9,692 |
Newell Rubbermaid Inc. | 4.700% | 8/15/20 | 1,350 | 1,425 |
Newell Rubbermaid Inc. | 4.000% | 6/15/22 | 1,125 | 1,105 |
Novartis Capital Corp. | 4.400% | 4/24/20 | 5,625 | 6,117 |
Novartis Capital Corp. | 2.400% | 9/21/22 | 4,300 | 3,952 |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 6,645 | 7,578 |
Partners Healthcare System Massachusetts GO | 3.443% | 7/1/21 | 225 | 222 |
PepsiCo Inc. | 7.900% | 11/1/18 | 6,594 | 8,337 |
PepsiCo Inc. | 2.250% | 1/7/19 | 500 | 495 |
PepsiCo Inc. | 4.500% | 1/15/20 | 3,900 | 4,244 |
PepsiCo Inc. | 3.125% | 11/1/20 | 895 | 901 |
PepsiCo Inc. | 3.000% | 8/25/21 | 1,850 | 1,796 |
PepsiCo Inc. | 2.750% | 3/5/22 | 4,940 | 4,639 |
PepsiCo Inc. | 2.750% | 3/1/23 | 2,225 | 2,051 |
PerkinElmer Inc. | 5.000% | 11/15/21 | 2,650 | 2,715 |
Perrigo Co. | 2.950% | 5/15/23 | 1,625 | 1,547 |
Pfizer Inc. | 6.200% | 3/15/19 | 10,379 | 12,436 |
Pfizer Inc. | 3.000% | 6/15/23 | 3,650 | 3,468 |
Pharmacia Corp. | 6.500% | 12/1/18 | 840 | 1,009 |
124
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Philip Morris International Inc. | 4.500% | 3/26/20 | 1,436 | 1,565 |
Philip Morris International Inc. | 4.125% | 5/17/21 | 2,420 | 2,517 |
Philip Morris International Inc. | 2.900% | 11/15/21 | 2,150 | 2,062 |
Philip Morris International Inc. | 2.500% | 8/22/22 | 1,775 | 1,610 |
Philip Morris International Inc. | 2.625% | 3/6/23 | 1,500 | 1,369 |
Procter & Gamble Co. | 4.700% | 2/15/19 | 4,435 | 4,976 |
Procter & Gamble Co. | 2.300% | 2/6/22 | 4,855 | 4,566 |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 275 | 291 |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 2,175 | 2,293 |
Reynolds American Inc. | 3.250% | 11/1/22 | 2,150 | 1,964 |
Safeway Inc. | 5.000% | 8/15/19 | 1,500 | 1,580 |
Safeway Inc. | 3.950% | 8/15/20 | 1,800 | 1,783 |
Safeway Inc. | 4.750% | 12/1/21 | 1,500 | 1,518 |
Sanofi | 4.000% | 3/29/21 | 6,525 | 6,829 |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 3,425 | 3,206 |
Stryker Corp. | 4.375% | 1/15/20 | 1,700 | 1,848 |
Sysco Corp. | 5.375% | 3/17/19 | 150 | 172 |
Sysco Corp. | 2.600% | 6/12/22 | 2,050 | 1,909 |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 1,650 | 1,624 |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 3,675 | 3,373 |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 2,825 | 2,780 |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 2,280 | 2,137 |
Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 1,000 | 1,055 |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 2,725 | 2,813 |
Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 3,625 | 3,525 |
Thermo Fisher Scientific Inc. | 3.150% | 1/15/23 | 860 | 785 |
Tupperware Brands Corp. | 4.750% | 6/1/21 | 1,750 | 1,755 |
Tyson Foods Inc. | 4.500% | 6/15/22 | 4,525 | 4,627 |
Unilever Capital Corp. | 4.800% | 2/15/19 | 2,225 | 2,478 |
Unilever Capital Corp. | 4.250% | 2/10/21 | 2,113 | 2,264 |
Whirlpool Corp. | 4.850% | 6/15/21 | 1,350 | 1,423 |
Whirlpool Corp. | 4.700% | 6/1/22 | 348 | 360 |
Whirlpool Corp. | 3.700% | 3/1/23 | 2,075 | 1,979 |
Zimmer Holdings Inc. | 4.625% | 11/30/19 | 175 | 191 |
Zimmer Holdings Inc. | 3.375% | 11/30/21 | 1,800 | 1,749 |
1 Zoetis Inc. | 3.250% | 2/1/23 | 4,125 | 3,891 |
Energy (7.9%) | ||||
Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 3,500 | 4,484 |
Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 50 | 60 |
Apache Corp. | 6.900% | 9/15/18 | 3,150 | 3,842 |
Apache Corp. | 3.625% | 2/1/21 | 1,500 | 1,517 |
Apache Corp. | 3.250% | 4/15/22 | 3,175 | 3,087 |
Apache Corp. | 2.625% | 1/15/23 | 1,850 | 1,686 |
Baker Hughes Inc. | 7.500% | 11/15/18 | 2,000 | 2,489 |
Baker Hughes Inc. | 3.200% | 8/15/21 | 2,200 | 2,186 |
BP Capital Markets plc | 4.750% | 3/10/19 | 3,000 | 3,293 |
BP Capital Markets plc | 4.500% | 10/1/20 | 4,865 | 5,174 |
BP Capital Markets plc | 4.742% | 3/11/21 | 5,095 | 5,461 |
BP Capital Markets plc | 3.561% | 11/1/21 | 2,836 | 2,787 |
BP Capital Markets plc | 3.245% | 5/6/22 | 4,954 | 4,725 |
BP Capital Markets plc | 2.500% | 11/6/22 | 3,425 | 3,064 |
BP Capital Markets plc | 2.750% | 5/10/23 | 1,450 | 1,311 |
Cameron International Corp. | 4.500% | 6/1/21 | 350 | 372 |
Cameron International Corp. | 3.600% | 4/30/22 | 1,150 | 1,143 |
Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 1,865 | 1,830 |
125
Intermediate-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Cenovus Energy Inc. | 5.700% | 10/15/19 | 3,025 | 3,439 | |
Cenovus Energy Inc. | 3.000% | 8/15/22 | 2,600 | 2,429 | |
Chevron Corp. | 4.950% | 3/3/19 | 4,525 | 5,130 | |
Chevron Corp. | 2.427% | 6/24/20 | 3,500 | 3,404 | |
Chevron Corp. | 2.355% | 12/5/22 | 7,050 | 6,412 | |
Chevron Corp. | 3.191% | 6/24/23 | 4,325 | 4,201 | |
ConocoPhillips | 5.750% | 2/1/19 | 6,504 | 7,529 | |
ConocoPhillips | 6.000% | 1/15/20 | 2,155 | 2,542 | |
ConocoPhillips Co. | 2.400% | 12/15/22 | 5,425 | 4,936 | |
Devon Energy Corp. | 6.300% | 1/15/19 | 2,165 | 2,498 | |
Devon Energy Corp. | 4.000% | 7/15/21 | 2,040 | 2,077 | |
Devon Energy Corp. | 3.250% | 5/15/22 | 1,950 | 1,853 | |
Diamond Offshore Drilling Inc. | 5.875% | 5/1/19 | 1,750 | 2,041 | |
Encana Corp. | 6.500% | 5/15/19 | 1,300 | 1,529 | |
Encana Corp. | 3.900% | 11/15/21 | 1,000 | 990 | |
Energen Corp. | 4.625% | 9/1/21 | 1,075 | 1,055 | |
Ensco plc | 4.700% | 3/15/21 | 5,975 | 6,313 | |
EOG Resources Inc. | 5.625% | 6/1/19 | 3,625 | 4,188 | |
EOG Resources Inc. | 4.400% | 6/1/20 | 2,000 | 2,150 | |
EOG Resources Inc. | 4.100% | 2/1/21 | 2,740 | 2,874 | |
EOG Resources Inc. | 2.625% | 3/15/23 | 3,550 | 3,236 | |
EQT Corp. | 8.125% | 6/1/19 | 1,600 | 1,922 | |
EQT Corp. | 4.875% | 11/15/21 | 1,175 | 1,200 | |
FMC Technologies Inc. | 3.450% | 10/1/22 | 1,475 | 1,396 | |
Halliburton Co. | 5.900% | 9/15/18 | 2,100 | 2,453 | |
Halliburton Co. | 6.150% | 9/15/19 | 2,575 | 3,067 | |
Halliburton Co. | 3.250% | 11/15/21 | 1,350 | 1,336 | |
Halliburton Co. | 3.500% | 8/1/23 | 2,775 | 2,736 | |
Hess Corp. | 8.125% | 2/15/19 | 3,633 | 4,524 | |
Husky Energy Inc. | 7.250% | 12/15/19 | 2,750 | 3,369 | |
Husky Energy Inc. | 3.950% | 4/15/22 | 1,625 | 1,624 | |
Marathon Oil Corp. | 2.800% | 11/1/22 | 3,300 | 3,045 | |
Marathon Petroleum Corp. | 5.125% | 3/1/21 | 2,400 | 2,567 | |
Murphy Oil Corp. | 3.700% | 12/1/22 | 3,100 | 2,863 | |
Nabors Industries Inc. | 9.250% | 1/15/19 | 4,175 | 5,113 | |
Nabors Industries Inc. | 5.000% | 9/15/20 | 650 | 667 | |
1 | Nabors Industries Inc. | 4.625% | 9/15/21 | 1,350 | 1,341 |
Nabors Industries Inc. | 4.625% | 9/15/21 | 925 | 919 | |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 3,675 | 3,383 | |
Noble Energy Inc. | 8.250% | 3/1/19 | 2,702 | 3,368 | |
Noble Energy Inc. | 4.150% | 12/15/21 | 3,786 | 3,874 | |
Noble Holding International Ltd. | 4.900% | 8/1/20 | 1,725 | 1,800 | |
Noble Holding International Ltd. | 3.950% | 3/15/22 | 1,500 | 1,448 | |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 5,565 | 5,738 | |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 1,650 | 1,567 | |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 3,570 | 3,237 | |
Petrohawk Energy Corp. | 6.250% | 6/1/19 | 1,650 | 1,811 | |
Phillips 66 | 4.300% | 4/1/22 | 5,975 | 6,035 | |
Pioneer Natural Resources Co. | 7.500% | 1/15/20 | 1,000 | 1,221 | |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 2,890 | 2,837 | |
Pride International Inc. | 8.500% | 6/15/19 | 1,850 | 2,341 | |
Pride International Inc. | 6.875% | 8/15/20 | 2,250 | 2,661 | |
Rowan Cos. Inc. | 7.875% | 8/1/19 | 1,500 | 1,797 | |
Rowan Cos. Inc. | 4.875% | 6/1/22 | 1,600 | 1,634 | |
Sasol Financing International plc | 4.500% | 11/14/22 | 2,800 | 2,528 | |
Shell International Finance BV | 4.300% | 9/22/19 | 4,425 | 4,836 | |
126 |
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Shell International Finance BV | 4.375% | 3/25/20 | 3,825 | 4,169 |
Shell International Finance BV | 2.375% | 8/21/22 | 3,900 | 3,556 |
Shell International Finance BV | 2.250% | 1/6/23 | 2,706 | 2,432 |
Shell International Finance BV | 3.400% | 8/12/23 | 2,500 | 2,460 |
Southwestern Energy Co. | 4.100% | 3/15/22 | 2,975 | 2,923 |
Talisman Energy Inc. | 7.750% | 6/1/19 | 1,750 | 2,113 |
Talisman Energy Inc. | 3.750% | 2/1/21 | 1,860 | 1,808 |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 2,525 | 2,319 |
Total Capital International SA | 2.875% | 2/17/22 | 2,825 | 2,685 |
Total Capital International SA | 2.700% | 1/25/23 | 3,100 | 2,858 |
Total Capital SA | 4.450% | 6/24/20 | 3,975 | 4,294 |
Total Capital SA | 4.125% | 1/28/21 | 3,100 | 3,252 |
Transocean Inc. | 6.500% | 11/15/20 | 1,790 | 1,972 |
Transocean Inc. | 6.375% | 12/15/21 | 2,550 | 2,803 |
Transocean Inc. | 3.800% | 10/15/22 | 3,150 | 2,938 |
Valero Energy Corp. | 9.375% | 3/15/19 | 2,125 | 2,742 |
Valero Energy Corp. | 6.125% | 2/1/20 | 1,115 | 1,271 |
Weatherford International Ltd. | 9.625% | 3/1/19 | 2,847 | 3,601 |
Weatherford International Ltd. | 5.125% | 9/15/20 | 2,275 | 2,356 |
Weatherford International Ltd. | 4.500% | 4/15/22 | 3,400 | 3,315 |
XTO Energy Inc. | 6.500% | 12/15/18 | 625 | 766 |
Other Industrial (0.2%) | ||||
Cintas Corp. No 2 | 4.300% | 6/1/21 | 700 | 729 |
Cintas Corp. No 2 | 3.250% | 6/1/22 | 600 | 573 |
Fluor Corp. | 3.375% | 9/15/21 | 1,580 | 1,570 |
Howard Hughes Medical Institute | 3.500% | 9/1/23 | 1,550 | 1,528 |
1 URS Corp. | 5.500% | 4/1/22 | 1,800 | 1,834 |
Valmont Industries Inc. | 6.625% | 4/20/20 | 1,000 | 1,119 |
Technology (6.1%) | ||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 1,575 | 1,709 |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 1,825 | 1,948 |
Agilent Technologies Inc. | 3.200% | 10/1/22 | 2,700 | 2,489 |
Amphenol Corp. | 4.000% | 2/1/22 | 650 | 637 |
Analog Devices Inc. | 2.875% | 6/1/23 | 1,500 | 1,377 |
Apple Inc. | 2.400% | 5/3/23 | 15,125 | 13,599 |
Applied Materials Inc. | 4.300% | 6/15/21 | 2,450 | 2,540 |
Arrow Electronics Inc. | 6.000% | 4/1/20 | 1,500 | 1,614 |
Arrow Electronics Inc. | 5.125% | 3/1/21 | 300 | 308 |
Arrow Electronics Inc. | 4.500% | 3/1/23 | 725 | 709 |
Autodesk Inc. | 3.600% | 12/15/22 | 850 | 799 |
Avnet Inc. | 5.875% | 6/15/20 | 1,300 | 1,376 |
Avnet Inc. | 4.875% | 12/1/22 | 1,050 | 1,043 |
Baidu Inc. | 3.500% | 11/28/22 | 3,102 | 2,824 |
BMC Software Inc. | 4.250% | 2/15/22 | 2,050 | 1,999 |
BMC Software Inc. | 4.500% | 12/1/22 | 550 | 551 |
Broadcom Corp. | 2.700% | 11/1/18 | 1,875 | 1,901 |
Broadcom Corp. | 2.500% | 8/15/22 | 2,050 | 1,848 |
Broadridge Financial Solutions Inc. | 3.950% | 9/1/20 | 1,150 | 1,150 |
CA Inc. | 5.375% | 12/1/19 | 1,825 | 2,009 |
CA Inc. | 4.500% | 8/15/23 | 900 | 888 |
Cisco Systems Inc. | 4.950% | 2/15/19 | 6,350 | 7,143 |
Cisco Systems Inc. | 4.450% | 1/15/20 | 5,825 | 6,368 |
Computer Sciences Corp. | 4.450% | 9/15/22 | 500 | 488 |
Corning Inc. | 4.250% | 8/15/20 | 1,150 | 1,223 |
127
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Dell Inc. | 5.875% | 6/15/19 | 1,625 | 1,631 |
Dell Inc. | 4.625% | 4/1/21 | 1,275 | 1,206 |
Dun & Bradstreet Corp. | 4.375% | 12/1/22 | 850 | 826 |
EMC Corp. | 2.650% | 6/1/20 | 5,730 | 5,605 |
EMC Corp. | 3.375% | 6/1/23 | 3,175 | 3,071 |
Equifax Inc. | 3.300% | 12/15/22 | 1,000 | 932 |
Fidelity National Information Services Inc. | 5.000% | 3/15/22 | 1,350 | 1,385 |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 5,175 | 4,670 |
Fiserv Inc. | 4.625% | 10/1/20 | 1,275 | 1,319 |
Fiserv Inc. | 3.500% | 10/1/22 | 3,075 | 2,872 |
Google Inc. | 3.625% | 5/19/21 | 2,570 | 2,662 |
Harris Corp. | 6.375% | 6/15/19 | 650 | 743 |
Harris Corp. | 4.400% | 12/15/20 | 2,275 | 2,349 |
Hewlett-Packard Co. | 3.750% | 12/1/20 | 3,350 | 3,226 |
Hewlett-Packard Co. | 4.300% | 6/1/21 | 6,370 | 6,119 |
Hewlett-Packard Co. | 4.375% | 9/15/21 | 2,700 | 2,588 |
Hewlett-Packard Co. | 4.650% | 12/9/21 | 4,549 | 4,452 |
Hewlett-Packard Co. | 4.050% | 9/15/22 | 400 | 379 |
Intel Corp. | 3.300% | 10/1/21 | 6,875 | 6,794 |
Intel Corp. | 2.700% | 12/15/22 | 2,575 | 2,373 |
International Business Machines Corp. | 7.625% | 10/15/18 | 5,029 | 6,340 |
International Business Machines Corp. | 8.375% | 11/1/19 | 1,389 | 1,839 |
International Business Machines Corp. | 1.625% | 5/15/20 | 4,850 | 4,510 |
International Business Machines Corp. | 2.900% | 11/1/21 | 1,450 | 1,409 |
International Business Machines Corp. | 1.875% | 8/1/22 | 2,850 | 2,523 |
International Business Machines Corp. | 3.375% | 8/1/23 | 5,625 | 5,516 |
Jabil Circuit Inc. | 5.625% | 12/15/20 | 1,675 | 1,738 |
Jabil Circuit Inc. | 4.700% | 9/15/22 | 175 | 169 |
Juniper Networks Inc. | 4.600% | 3/15/21 | 890 | 897 |
Lexmark International Inc. | 5.125% | 3/15/20 | 2,175 | 2,213 |
Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 1,350 | 1,250 |
Microsoft Corp. | 4.200% | 6/1/19 | 2,675 | 2,940 |
Microsoft Corp. | 3.000% | 10/1/20 | 3,200 | 3,235 |
Microsoft Corp. | 4.000% | 2/8/21 | 2,100 | 2,246 |
Microsoft Corp. | 2.125% | 11/15/22 | 1,775 | 1,581 |
Microsoft Corp. | 2.375% | 5/1/23 | 2,375 | 2,149 |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 2,400 | 2,265 |
Motorola Solutions Inc. | 3.500% | 3/1/23 | 1,820 | 1,681 |
Oracle Corp. | 2.375% | 1/15/19 | 5,800 | 5,771 |
Oracle Corp. | 5.000% | 7/8/19 | 5,150 | 5,826 |
Oracle Corp. | 3.875% | 7/15/20 | 1,900 | 2,011 |
Oracle Corp. | 2.500% | 10/15/22 | 10,150 | 9,275 |
Pitney Bowes Inc. | 6.250% | 3/15/19 | 849 | 939 |
SAIC Inc. | 4.450% | 12/1/20 | 1,300 | 1,326 |
Symantec Corp. | 4.200% | 9/15/20 | 4,175 | 4,288 |
Symantec Corp. | 3.950% | 6/15/22 | 600 | 583 |
Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 2,975 | 2,901 |
Texas Instruments Inc. | 1.650% | 8/3/19 | 2,550 | 2,436 |
Total System Services Inc. | 3.750% | 6/1/23 | 1,300 | 1,191 |
Tyco Electronics Group SA | 4.875% | 1/15/21 | 300 | 313 |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 2,761 | 2,622 |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 2,200 | 2,165 |
Xerox Corp. | 5.625% | 12/15/19 | 975 | 1,076 |
Xerox Corp. | 4.500% | 5/15/21 | 4,725 | 4,865 |
128
Intermediate-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Transportation (2.3%) | |||||
2 | American Airlines 2011-1 | ||||
Class A Pass Through Trust | 5.250% | 7/31/22 | 1,028 | 1,082 | |
1,2 | American Airlines 2013-2 | ||||
Class A Pass Through Trust | 4.950% | 7/15/24 | 3,950 | 3,925 | |
Burlington Northern Santa Fe LLC | 4.700% | 10/1/19 | 1,060 | 1,177 | |
Burlington Northern Santa Fe LLC | 3.600% | 9/1/20 | 1,000 | 1,025 | |
Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 1,900 | 1,892 | |
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 2,325 | 2,214 | |
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 2,150 | 2,027 | |
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 1,333 | 1,240 | |
Canadian National Railway Co. | 5.550% | 3/1/19 | 1,725 | 1,998 | |
Canadian National Railway Co. | 2.850% | 12/15/21 | 1,905 | 1,846 | |
Canadian National Railway Co. | 2.250% | 11/15/22 | 800 | 724 | |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 1,880 | 2,290 | |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 1,975 | 2,045 | |
Canadian Pacific Railway Ltd. | 4.500% | 1/15/22 | 700 | 731 | |
2 | Continental Airlines 2007-1 | ||||
Class A Pass Through Trust | 5.983% | 4/19/22 | 2,412 | 2,587 | |
2 | Continental Airlines 2009-2 | ||||
Class A Pass Through Trust | 7.250% | 5/10/21 | 1,596 | 1,828 | |
2 | Continental Airlines 2010-1 | ||||
Class A Pass Through Trust | 4.750% | 1/12/21 | 535 | 563 | |
CSX Corp. | 7.375% | 2/1/19 | 1,790 | 2,189 | |
CSX Corp. | 3.700% | 10/30/20 | 2,024 | 2,088 | |
CSX Corp. | 4.250% | 6/1/21 | 1,700 | 1,785 | |
2 | Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 1,806 | 2,048 |
2 | Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 12/17/19 | 1,214 | 1,410 |
2 | Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 5/23/19 | 1,396 | 1,492 |
2 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 2,628 | 2,779 |
FedEx Corp. | 8.000% | 1/15/19 | 1,650 | 2,053 | |
FedEx Corp. | 2.625% | 8/1/22 | 1,475 | 1,342 | |
FedEx Corp. | 2.700% | 4/15/23 | 300 | 271 | |
1 | Kansas City Southern de Mexico SA de CV | 2.350% | 5/15/20 | 2,850 | 2,714 |
1 | Kansas City Southern de Mexico SA de CV | 3.000% | 5/15/23 | 150 | 137 |
Norfolk Southern Corp. | 5.900% | 6/15/19 | 2,450 | 2,851 | |
Norfolk Southern Corp. | 3.250% | 12/1/21 | 2,175 | 2,127 | |
Norfolk Southern Corp. | 2.903% | 2/15/23 | 1,589 | 1,477 | |
Ryder System Inc. | 2.350% | 2/26/19 | 400 | 387 | |
2 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 797 | 912 |
Union Pacific Corp. | 4.000% | 2/1/21 | 2,475 | 2,603 | |
Union Pacific Corp. | 4.163% | 7/15/22 | 1,716 | 1,789 | |
Union Pacific Corp. | 2.750% | 4/15/23 | 1,825 | 1,692 | |
1 | Union Pacific Corp. | 3.646% | 2/15/24 | 1,410 | 1,396 |
United Parcel Service Inc. | 5.125% | 4/1/19 | 2,150 | 2,444 | |
United Parcel Service Inc. | 3.125% | 1/15/21 | 6,275 | 6,282 | |
United Parcel Service Inc. | 2.450% | 10/1/22 | 3,670 | 3,398 | |
United Parcel Service of America Inc. | 8.375% | 4/1/20 | 300 | 388 | |
1,996,710 | |||||
Utilities (10.4%) | |||||
Electric (6.1%) | |||||
Ameren Illinois Co. | 2.700% | 9/1/22 | 900 | 841 | |
American Electric Power Co. Inc. | 2.950% | 12/15/22 | 500 | 455 | |
Appalachian Power Co. | 7.950% | 1/15/20 | 1,925 | 2,415 | |
Appalachian Power Co. | 4.600% | 3/30/21 | 1,667 | 1,779 | |
Arizona Public Service Co. | 8.750% | 3/1/19 | 1,975 | 2,529 |
129
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Atlantic City Electric Co. | 7.750% | 11/15/18 | 1,000 | 1,251 |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 1,922 | 1,934 |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 575 | 555 |
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 825 | 751 |
Cleveland Electric Illuminating Co. | 8.875% | 11/15/18 | 490 | 621 |
CMS Energy Corp. | 8.750% | 6/15/19 | 750 | 955 |
CMS Energy Corp. | 6.250% | 2/1/20 | 1,000 | 1,147 |
CMS Energy Corp. | 5.050% | 3/15/22 | 1,100 | 1,176 |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 1,325 | 1,403 |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 1,000 | 1,010 |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 3,175 | 2,936 |
Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 1,600 | 1,975 |
Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 2,400 | 2,907 |
Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 1,000 | 1,093 |
Constellation Energy Group Inc. | 5.150% | 12/1/20 | 1,500 | 1,617 |
Consumers Energy Co. | 5.650% | 9/15/18 | 1,000 | 1,164 |
Consumers Energy Co. | 6.700% | 9/15/19 | 1,775 | 2,178 |
Consumers Energy Co. | 5.650% | 4/15/20 | 1,375 | 1,589 |
Consumers Energy Co. | 2.850% | 5/15/22 | 1,000 | 958 |
Consumers Energy Co. | 3.375% | 8/15/23 | 2,700 | 2,659 |
Dominion Resources Inc. | 8.875% | 1/15/19 | 1,975 | 2,542 |
Dominion Resources Inc. | 5.200% | 8/15/19 | 2,325 | 2,619 |
Dominion Resources Inc. | 4.450% | 3/15/21 | 944 | 1,006 |
DTE Electric Co. | 3.900% | 6/1/21 | 1,275 | 1,338 |
DTE Electric Co. | 2.650% | 6/15/22 | 1,800 | 1,701 |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 710 | 868 |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 1,375 | 1,481 |
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 1,675 | 1,756 |
Duke Energy Corp. | 5.050% | 9/15/19 | 2,295 | 2,541 |
Duke Energy Corp. | 3.550% | 9/15/21 | 1,000 | 995 |
Duke Energy Corp. | 3.050% | 8/15/22 | 1,425 | 1,348 |
Duke Energy Florida Inc. | 3.100% | 8/15/21 | 1,625 | 1,610 |
Duke Energy Indiana Inc. | 3.750% | 7/15/20 | 1,700 | 1,773 |
Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 1,230 | 1,398 |
Duke Energy Progress Inc. | 5.300% | 1/15/19 | 3,075 | 3,512 |
Duke Energy Progress Inc. | 3.000% | 9/15/21 | 300 | 295 |
Duke Energy Progress Inc. | 2.800% | 5/15/22 | 1,000 | 957 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 1,175 | 1,206 |
Entergy Arkansas Inc. | 3.050% | 6/1/23 | 200 | 187 |
Entergy Corp. | 5.125% | 9/15/20 | 800 | 826 |
Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 785 | 809 |
Entergy Louisiana LLC | 6.500% | 9/1/18 | 450 | 530 |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 1,200 | 1,214 |
Entergy Mississippi Inc. | 3.100% | 7/1/23 | 1,425 | 1,330 |
Entergy Texas Inc. | 7.125% | 2/1/19 | 2,450 | 2,883 |
Exelon Generation Co. LLC | 5.200% | 10/1/19 | 4,150 | 4,534 |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 2,082 | 2,086 |
FirstEnergy Solutions Corp. | 6.050% | 8/15/21 | 2,800 | 2,983 |
Florida Power & Light Co. | 2.750% | 6/1/23 | 1,475 | 1,394 |
Georgia Power Co. | 4.250% | 12/1/19 | 1,905 | 2,067 |
Georgia Power Co. | 2.850% | 5/15/22 | 2,400 | 2,279 |
Great Plains Energy Inc. | 4.850% | 6/1/21 | 1,200 | 1,276 |
Indiana Michigan Power Co. | 3.200% | 3/15/23 | 1,625 | 1,526 |
ITC Holdings Corp. | 4.050% | 7/1/23 | 1,425 | 1,404 |
Kansas City Power & Light Co. | 7.150% | 4/1/19 | 1,950 | 2,389 |
Kansas City Power & Light Co. | 3.150% | 3/15/23 | 1,275 | 1,198 |
130
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kentucky Utilities Co. | 3.250% | 11/1/20 | 925 | 943 |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 3,445 | 3,463 |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 1,375 | 1,409 |
Metropolitan Edison Co. | 7.700% | 1/15/19 | 592 | 711 |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 3,539 | 4,847 |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 1,825 | 1,748 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 1,108 | 1,084 |
2 National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 1,175 | 1,088 |
Nevada Power Co. | 7.125% | 3/15/19 | 2,280 | 2,802 |
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 1,550 | 1,779 |
NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 1,375 | 1,445 |
NextEra Energy Capital Holdings Inc. | 3.625% | 6/15/23 | 925 | 879 |
Northeast Utilities | 2.800% | 5/1/23 | 1,000 | 918 |
Northern States Power Co. | 2.150% | 8/15/22 | 175 | 158 |
Northern States Power Co. | 2.600% | 5/15/23 | 1,350 | 1,250 |
NSTAR Electric Co. | 2.375% | 10/15/22 | 1,200 | 1,100 |
NSTAR LLC | 4.500% | 11/15/19 | 1,862 | 2,046 |
Oglethorpe Power Corp. | 6.100% | 3/15/19 | 500 | 587 |
Ohio Power Co. | 5.375% | 10/1/21 | 2,200 | 2,460 |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 3,450 | 4,105 |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 2,500 | 3,062 |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 2,650 | 3,369 |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 2,236 | 2,253 |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 825 | 865 |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 500 | 488 |
Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 2,800 | 2,520 |
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 1,200 | 1,138 |
PacifiCorp | 3.850% | 6/15/21 | 2,900 | 3,031 |
PacifiCorp | 2.950% | 2/1/22 | 2,020 | 1,961 |
Peco Energy Co. | 2.375% | 9/15/22 | 450 | 413 |
Pennsylvania Electric Co. | 5.200% | 4/1/20 | 650 | 697 |
Portland General Electric Co. | 6.100% | 4/15/19 | 1,000 | 1,188 |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 4,150 | 4,098 |
PPL Energy Supply LLC | 4.600% | 12/15/21 | 1,225 | 1,228 |
Progress Energy Inc. | 7.050% | 3/15/19 | 2,200 | 2,649 |
Progress Energy Inc. | 4.400% | 1/15/21 | 2,247 | 2,368 |
Progress Energy Inc. | 3.150% | 4/1/22 | 175 | 167 |
PSEG Power LLC | 5.125% | 4/15/20 | 1,125 | 1,230 |
PSEG Power LLC | 4.150% | 9/15/21 | 1,011 | 1,022 |
Public Service Co. of Colorado | 5.125% | 6/1/19 | 2,400 | 2,734 |
Public Service Co. of Colorado | 3.200% | 11/15/20 | 675 | 683 |
Public Service Co. of Colorado | 2.250% | 9/15/22 | 2,050 | 1,859 |
Public Service Co. of Colorado | 2.500% | 3/15/23 | 400 | 367 |
Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 472 | 526 |
Public Service Co. of Oklahoma | 4.400% | 2/1/21 | 500 | 523 |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 375 | 386 |
Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 1,275 | 1,155 |
San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 908 | 902 |
SCANA Corp. | 4.750% | 5/15/21 | 2,500 | 2,585 |
SCANA Corp. | 4.125% | 2/1/22 | 2,150 | 2,102 |
Sierra Pacific Power Co. | 3.375% | 8/15/23 | 750 | 738 |
Southern California Edison Co. | 3.875% | 6/1/21 | 2,200 | 2,320 |
Southern Co. | 2.450% | 9/1/18 | 1,300 | 1,301 |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 1,600 | 1,850 |
Southwestern Electric Power Co. | 3.550% | 2/15/22 | 1,075 | 1,031 |
Tampa Electric Co. | 2.600% | 9/15/22 | 475 | 444 |
131
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
TECO Finance Inc. | 5.150% | 3/15/20 | 1,950 | 2,121 |
TransAlta Corp. | 4.500% | 11/15/22 | 1,669 | 1,587 |
Tucson Electric Power Co. | 5.150% | 11/15/21 | 600 | 638 |
UIL Holdings Corp. | 4.625% | 10/1/20 | 1,150 | 1,162 |
Union Electric Co. | 6.700% | 2/1/19 | 2,400 | 2,906 |
Virginia Electric & Power Co. | 2.950% | 1/15/22 | 2,000 | 1,957 |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 900 | 902 |
Virginia Electric & Power Co. | 2.750% | 3/15/23 | 1,600 | 1,500 |
Westar Energy Inc. | 8.625% | 12/1/18 | 1,094 | 1,408 |
Wisconsin Electric Power Co. | 2.950% | 9/15/21 | 925 | 912 |
Wisconsin Power & Light Co. | 5.000% | 7/15/19 | 1,175 | 1,328 |
Wisconsin Power & Light Co. | 2.250% | 11/15/22 | 875 | 792 |
Xcel Energy Inc. | 4.700% | 5/15/20 | 2,425 | 2,654 |
Natural Gas (4.2%) | ||||
AGL Capital Corp. | 5.250% | 8/15/19 | 750 | 842 |
AGL Capital Corp. | 3.500% | 9/15/21 | 1,050 | 1,051 |
Atmos Energy Corp. | 8.500% | 3/15/19 | 825 | 1,053 |
Boardwalk Pipelines LP | 5.750% | 9/15/19 | 755 | 831 |
Boardwalk Pipelines LP | 3.375% | 2/1/23 | 1,200 | 1,088 |
Buckeye Partners LP | 4.875% | 2/1/21 | 2,283 | 2,331 |
Buckeye Partners LP | 4.150% | 7/1/23 | 1,740 | 1,675 |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 2,050 | 2,188 |
Copano Energy LLC / | ||||
Copano Energy Finance Corp. | 7.125% | 4/1/21 | 973 | 1,109 |
DCP Midstream Operating LP | 4.950% | 4/1/22 | 875 | 867 |
DCP Midstream Operating LP | 3.875% | 3/15/23 | 2,425 | 2,207 |
El Paso Natural Gas Co. LLC | 8.625% | 1/15/22 | 150 | 192 |
El Paso Pipeline Partners Operating Co. LLC | 6.500% | 4/1/20 | 2,600 | 2,982 |
El Paso Pipeline Partners Operating Co. LLC | 5.000% | 10/1/21 | 1,600 | 1,687 |
Enbridge Energy Partners LP | 9.875% | 3/1/19 | 1,825 | 2,377 |
Enbridge Energy Partners LP | 5.200% | 3/15/20 | 1,300 | 1,398 |
Enbridge Energy Partners LP | 4.200% | 9/15/21 | 2,400 | 2,412 |
Energy Transfer Partners LP | 9.700% | 3/15/19 | 1,776 | 2,281 |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 1,607 | 2,018 |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 2,000 | 2,052 |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 2,500 | 2,629 |
Energy Transfer Partners LP | 3.600% | 2/1/23 | 3,600 | 3,333 |
Enterprise Products Operating LLC | 6.500% | 1/31/19 | 2,275 | 2,676 |
Enterprise Products Operating LLC | 5.250% | 1/31/20 | 1,350 | 1,494 |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 2,225 | 2,465 |
Enterprise Products Operating LLC | 4.050% | 2/15/22 | 2,375 | 2,411 |
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 3,400 | 3,222 |
Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 750 | 736 |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 1,650 | 1,632 |
Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 1,850 | 2,352 |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 5,125 | 6,011 |
Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 1,150 | 1,278 |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 650 | 644 |
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 4,330 | 4,218 |
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 1,000 | 932 |
Magellan Midstream Partners LP | 6.550% | 7/15/19 | 2,996 | 3,545 |
National Fuel Gas Co. | 4.900% | 12/1/21 | 1,475 | 1,553 |
National Fuel Gas Co. | 3.750% | 3/1/23 | 2,075 | 1,990 |
Nisource Finance Corp. | 6.800% | 1/15/19 | 1,600 | 1,873 |
Nisource Finance Corp. | 5.450% | 9/15/20 | 3,150 | 3,426 |
132
Intermediate-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Nisource Finance Corp. | 6.125% | 3/1/22 | 1,950 | 2,192 |
ONEOK Inc. | 4.250% | 2/1/22 | 2,289 | 2,123 |
ONEOK Partners LP | 8.625% | 3/1/19 | 1,475 | 1,853 |
ONEOK Partners LP | 3.375% | 10/1/22 | 2,244 | 2,045 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 5.750% | 1/15/20 | 1,700 | 1,923 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 5.000% | 2/1/21 | 2,034 | 2,211 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 3.650% | 6/1/22 | 2,600 | 2,556 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 2.850% | 1/31/23 | 900 | 823 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 3.850% | 10/15/23 | 1,950 | 1,915 |
Sempra Energy | 9.800% | 2/15/19 | 1,550 | 2,065 |
Sempra Energy | 2.875% | 10/1/22 | 1,500 | 1,383 |
Southern Natural Gas Co. LLC / | ||||
Southern Natural Issuing Corp. | 4.400% | 6/15/21 | 1,400 | 1,451 |
Spectra Energy Capital LLC | 8.000% | 10/1/19 | 1,325 | 1,595 |
Spectra Energy Capital LLC | 3.300% | 3/15/23 | 2,925 | 2,597 |
Spectra Energy Partners LP | 4.600% | 6/15/21 | 1,000 | 1,019 |
Sunoco Logistics Partners Operations LP | 5.500% | 2/15/20 | 1,200 | 1,295 |
Sunoco Logistics Partners Operations LP | 4.650% | 2/15/22 | 1,650 | 1,682 |
Sunoco Logistics Partners Operations LP | 3.450% | 1/15/23 | 1,574 | 1,451 |
TC Pipelines LP | 4.650% | 6/15/21 | 1,253 | 1,264 |
TransCanada PipeLines Ltd. | 7.125% | 1/15/19 | 2,167 | 2,612 |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 3,967 | 4,135 |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 4,940 | 4,501 |
Western Gas Partners LP | 5.375% | 6/1/21 | 1,682 | 1,794 |
Western Gas Partners LP | 4.000% | 7/1/22 | 1,800 | 1,751 |
Williams Cos. Inc. | 7.875% | 9/1/21 | 1,063 | 1,276 |
Williams Cos. Inc. | 3.700% | 1/15/23 | 2,603 | 2,333 |
Williams Partners LP | 5.250% | 3/15/20 | 2,695 | 2,897 |
Williams Partners LP | 4.125% | 11/15/20 | 1,807 | 1,818 |
Williams Partners LP | 4.000% | 11/15/21 | 1,886 | 1,858 |
Williams Partners LP | 3.350% | 8/15/22 | 1,975 | 1,799 |
Other Utility (0.1%) | ||||
United Utilities plc | 5.375% | 2/1/19 | 1,500 | 1,601 |
350,580 | ||||
Total Corporate Bonds (Cost $3,444,335) | 3,331,006 | |||
Taxable Municipal Bonds (0.1%) | ||||
California Educational Facilities Authority Revenue | ||||
(Stanford University) | 4.750% | 5/1/19 | 1,150 | 1,299 |
Cornell University New York GO | 5.450% | 2/1/19 | 750 | 868 |
Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 200 | 224 |
George Washington University | ||||
District of Columbia GO | 3.485% | 9/15/22 | 950 | 929 |
Total Taxable Municipal Bonds (Cost $3,397) | 3,320 |
133
Intermediate-Term Corporate Bond Index Fund | |||
Market | |||
Value | |||
Coupon | Shares | ($000) | |
Temporary Cash Investment (0.4%) | |||
Money Market Fund (0.4%) | |||
3 Vanguard Market Liquidity Fund (Cost $15,018) | 0.122% | 15,018,219 | 15,018 |
Total Investments (99.2%) (Cost $3,466,702) | 3,353,288 | ||
Other Assets and Liabilities (0.8%) | |||
Other Assets | 41,922 | ||
Liabilities | (14,868) | ||
27,054 | |||
Net Assets (100%) | 3,380,342 | ||
At August 31, 2013, net assets consisted of: | |||
Amount | |||
($000) | |||
Paid-in Capital | 3,470,314 | ||
Overdistributed Net Investment Income | (73) | ||
Accumulated Net Realized Gains | 23,515 | ||
Unrealized Appreciation (Depreciation) | (113,414) | ||
Net Assets | 3,380,342 | ||
Signal Shares—Net Assets | |||
Applicable to 2,492,031 outstanding $.001 par value shares of | |||
beneficial interest (unlimited authorization) | 55,330 | ||
Net Asset Value Per Share—Signal Shares | $22.20 | ||
Institutional Shares—Net Assets | |||
Applicable to 5,988,579 outstanding $.001 par value shares of | |||
beneficial interest (unlimited authorization) | 164,332 | ||
Net Asset Value Per Share—Institutional Shares | $27.44 | ||
ETF Shares—Net Assets | |||
Applicable to 38,400,000 outstanding $.001 par value shares of | |||
beneficial interest (unlimited authorization) | 3,160,680 | ||
Net Asset Value Per Share—ETF Shares | $82.31 |
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, 2013, the aggregate value of these securities was $41,496,000, representing 1.2% 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.
134
Intermediate-Term Corporate Bond Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 116,164 |
Total Income | 116,164 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 102 |
Management and Administrative—Signal Shares | 47 |
Management and Administrative—Institutional Shares | 116 |
Management and Administrative—ETF Shares | 2,796 |
Marketing and Distribution—Signal Shares | 15 |
Marketing and Distribution—Institutional Shares | 51 |
Marketing and Distribution—ETF Shares | 841 |
Custodian Fees | 15 |
Auditing Fees | 42 |
Shareholders’ Reports—Signal Shares | 1 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 160 |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 4,190 |
Net Investment Income | 111,974 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 69,908 |
Futures Contracts | 387 |
Realized Net Gain (Loss) | 70,295 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (256,154) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (73,885) |
1 Interest income from an affiliated company of the fund was $28,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
135
Intermediate-Term Corporate Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 111,974 | 64,623 |
Realized Net Gain (Loss) | 70,295 | 8,375 |
Change in Unrealized Appreciation (Depreciation) | (256,154) | 122,444 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (73,885) | 195,442 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (1,717) | (1,370) |
Institutional Shares | (6,146) | (5,086) |
ETF Shares | (104,040) | (58,246) |
Realized Capital Gain1 | ||
Signal Shares | (264) | (24) |
Institutional Shares | (984) | (73) |
ETF Shares | (16,426) | (699) |
Total Distributions | (129,577) | (65,498) |
Capital Share Transactions | ||
Signal Shares | 7,708 | 41,249 |
Institutional Shares | (10,832) | 92,461 |
ETF Shares | 599,923 | 1,908,873 |
Net Increase (Decrease) from Capital Share Transactions | 596,799 | 2,042,583 |
Total Increase (Decrease) | 393,337 | 2,172,527 |
Net Assets | ||
Beginning of Period | 2,987,005 | 814,478 |
End of Period2 | 3,380,342 | 2,987,005 |
1 Includes fiscal 2013 and 2012 short-term gain distributions totaling $11,000,000 and $0, 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 ($73,000) and ($144,000).
See accompanying Notes, which are an integral part of the Financial Statements.
136
Intermediate-Term Corporate Bond Index Fund | ||||
Financial Highlights | ||||
Signal Shares | ||||
March 2, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $23.40 | $21.98 | $21.76 | $20.43 |
Investment Operations | ||||
Net Investment Income | .732 | .800 | .876 | .441 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (1.085) | 1.437 | .312 | 1.345 |
Total from Investment Operations | (.353) | 2.237 | 1.188 | 1.786 |
Distributions | ||||
Dividends from Net Investment Income | (.731) | (.800) | (.875) | (.456) |
Distributions from Realized Capital Gains | (.116) | (.017) | (.093) | — |
Total Distributions | (.847) | (.817) | (.968) | (.456) |
Net Asset Value, End of Period | $22.20 | $23.40 | $21.98 | $21.76 |
Total Return3 | -1.62% | 10.41% | 5.65% | 8.86% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $55 | $51 | $7 | $2 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14% | 0.15%4 |
Ratio of Net Investment Income to Average Net Assets | 3.16% | 3.62% | 4.15% | 4.60%4 |
Portfolio Turnover Rate5 | 73% | 69% | 80% | 61% |
1 Inception.
2 Includes increases from purchase fees of $.00, $.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.
137
Intermediate-Term Corporate Bond Index Fund | ||||
Financial Highlights | ||||
Institutional Shares | ||||
Nov. 19, | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $28.93 | $27.17 | $26.90 | $24.97 |
Investment Operations | ||||
Net Investment Income | .913 | .999 | 1.098 | .850 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (1.347) | 1.780 | .383 | 1.933 |
Total from Investment Operations | (.434) | 2.779 | 1.481 | 2.783 |
Distributions | ||||
Dividends from Net Investment Income | (.913) | (.998) | (1.097) | (.853) |
Distributions from Realized Capital Gains | (.143) | (.021) | (.114) | — |
Total Distributions | (1.056) | (1.019) | (1.211) | (.853) |
Net Asset Value, End of Period | $27.44 | $28.93 | $27.17 | $26.90 |
Total Return3 | -1.61% | 10.46% | 5.70% | 11.38% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $164 | $185 | $82 | $12 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09%4 |
Ratio of Net Investment Income to Average Net Assets | 3.19% | 3.65% | 4.20% | 4.66%4 |
Portfolio Turnover Rate5 | 73% | 69% | 80% | 61% |
1 Inception.
2 Includes increases from purchase fees of $.00, $.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.
138
Intermediate-Term Corporate Bond Index Fund | ||||
Financial Highlights | ||||
ETF Shares | ||||
Nov. 19, | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $86.78 | $81.49 | $80.67 | $74.90 |
Investment Operations | ||||
Net Investment Income | 2.715 | 2.966 | 3.249 | 2.519 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (4.042) | 5.350 | 1.162 | 5.778 |
Total from Investment Operations | (1.327) | 8.316 | 4.411 | 8.297 |
Distributions | ||||
Dividends from Net Investment Income | (2.713) | (2.963) | (3.248) | (2.527) |
Distributions from Realized Capital Gains | (.430) | (.063) | (.343) | — |
Total Distributions | (3.143) | (3.026) | (3.591) | (2.527) |
Net Asset Value, End of Period | $82.31 | $86.78 | $81.49 | $80.67 |
Total Return | -1.64% | 10.43% | 5.65% | 11.30% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $3,161 | $2,751 | $725 | $274 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 3.16% | 3.62% | 4.15% | 4.60%3 |
Portfolio Turnover Rate4 | 73% | 69% | 80% | 61% |
1 Inception.
2 Includes increases from purchase fees of $.00, $.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.
139
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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades future contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts each represented 0% of net assets, based on quarterly average aggregate settlement values. The fund had no open futures contracts at August 31, 2013.
140
Intermediate-Term Corporate Bond Index Fund
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, 2010–2013), 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.
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, 2013, the fund had contributed capital of $417,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.17% 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).
141
Intermediate-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund’s investments as of August 31, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 3,944 | — |
Corporate Bonds | — | 3,331,006 | — |
Taxable Municipal Bonds | — | 3,320 | — |
Temporary Cash Investments | 15,018 | — | — |
Total | 15,018 | 3,338,270 | — |
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.
During the year ended August 31, 2013, the fund realized $31,273,000 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 $5,960,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at August 31, 2013, the fund had short-term and long-term capital gains of $5,415,000 and $18,975,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
At August 31, 2013, the cost of investment securities for tax purposes was $3,467,577,000. Net unrealized depreciation of investment securities for tax purposes was $114,289,000, consisting of unrealized gains of $16,127,000 on securities that had risen in value since their purchase and $130,416,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2013, the fund purchased $2,664,080,000 of investment securities and sold $2,025,162,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $1,293,225,000 and $1,314,268,000, respectively. Total purchases and sales include $1,396,619,000 and $808,698,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
142
Intermediate-Term Corporate Bond Index Fund
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 29,059 | 1,246 | 43,804 | 1,965 |
Issued in Lieu of Cash Distributions | 1,849 | 79 | 1,333 | 59 |
Redeemed | (23,200) | (1,000) | (3,888) | (171) |
Net Increase (Decrease) —Signal Shares | 7,708 | 325 | 41,249 | 1,853 |
Institutional Shares | ||||
Issued1 | 18,952 | 656 | 110,537 | 4,035 |
Issued in Lieu of Cash Distributions | 5,903 | 205 | 4,616 | 166 |
Redeemed | (35,687) | (1,285) | (22,692) | (819) |
Net Increase (Decrease) —Institutional Shares | (10,832) | (424) | 92,461 | 3,382 |
ETF Shares | ||||
Issued1 | 1,435,939 | 16,400 | 1,908,873 | 22,800 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (836,016) | (9,700) | — | — |
Net Increase (Decrease) —ETF Shares | 599,923 | 6,700 | 1,908,873 | 22,800 |
1 Includes purchase fees for fiscal 2013 and 2012 of $235,000 and $1,049,000, respectively (fund totals). |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition in these financial statements. On October 16, 2013, Signal Shares were renamed Admiral Shares. In addition, the purchase fee for the fund has been reduced from 0.50% to 0.25%.
143
Long-Term Corporate Bond Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Signal | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VLTCX | VLCIX | VCLT |
Expense Ratio1 | 0.12% | 0.09% | 0.12% |
30-Day SEC Yield | 5.17% | 5.20% | 5.17% |
Financial Attributes | |||
Barclays | |||
10+ Year | Barclays | ||
Corporate | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 1,223 | 1,329 | 8,445 |
Yield to Maturity | |||
(before expenses) | 5.2% | 5.2% | 2.4% |
Average Coupon | 6.0% | 6.0% | 3.3% |
Average Duration | 13.2 years | 13.2 years | 5.5 years |
Average Effective | |||
Maturity | 24.0 years | 24.1 years | 7.4 years |
Short-Term | |||
Reserves | 0.5% | — | — |
Sector Diversification (% of portfolio) | |||
Finance | 18.4% | ||
Industrial | 63.3 | ||
Treasury/Agency | 0.1 | ||
Utilities | 18.1 | ||
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.
Volatility Measures | ||
Barclays | ||
10+ Year | Barclays | |
Corporate | Aggregate | |
Index | FA Index | |
R-Squared | 0.99 | 0.68 |
Beta | 1.02 | 2.61 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. | ||
Distribution by Effective Maturity | ||
(% of portfolio) | ||
Under 1 Year | 0.1% | |
1 - 3 Years | 0.1 | |
5 - 10 Years | 0.5 | |
10 - 20 Years | 22.3 | |
20 - 30 Years | 75.8 | |
Over 30 Years | 1.2 | |
Distribution by Credit Quality (% of portfolio) | ||
U.S. Government | 0.1% | |
Aaa | 1.4 | |
Aa | 6.8 | |
A | 46.6 | |
Baa | 45.1 | |
For information about these ratings, see the Glossary entry for Credit Quality. | ||
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx146x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.12% for Signal Shares, 0.09% for Institutional Shares, and 0.12% for ETF Shares.
144
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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx147x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
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 | -6.55% | 7.87% | $13,315 | |
Long-Term Corporate Bond Index | ||||
Fund ETF Shares Market Price | -7.76 | 7.76 | 13,267 | |
Barclays U.S. 10+ Year Corporate | ||||
•••••••• | Bond Index | -6.09 | 8.00 | 13,378 |
– – – – | Corporate Debt Funds BBB-Rated | |||
Average | -1.05 | 6.58 | 12,724 | |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | -2.41 | 3.91 | 11,560 |
For a benchmark description, see the Glossary.
Corporate Debt Funds BBB-Rated Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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.
145
Long-Term Corporate Bond Index Fund | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2013 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (1/19/2010) | Investment | |
Long-Term Corporate Bond Index Fund Signal | |||
Shares | -7.50% | 7.65% | $13,051 |
Barclays U.S. 10+ Year Corporate Bond Index | -6.09 | 8.13 | 13,262 |
Barclays U.S. Aggregate Float Adjusted Index | -2.41 | 4.04 | 11,539 |
"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 | -7.43% | 7.64% | $6,604,800 |
Barclays U.S. 10+ Year Corporate Bond | |||
Index | -6.09 | 8.00 | 6,688,792 |
Spliced Barclays U.S. Aggregate Float | |||
Adjusted Index | -2.41 | 3.91 | 5,780,027 |
"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, 2013 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Long-Term Corporate Bond Index Fund ETF Shares | ||
Market Price | -7.76% | 32.67% |
Long-Term Corporate Bond Index Fund ETF Shares | ||
Net Asset Value | -6.55 | 33.15 |
Barclays U.S. 10+ Year Corporate Bond Index | -6.09 | 33.78 |
"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.
146
Long-Term Corporate Bond Index Fund
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 2013 | ||
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 |
2013 | -6.55 | -6.09 |
Average Annual Total Returns: Periods Ended June 30, 2013
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 | -1.05% | 5.27% | 3.21% | 8.48% |
Fee-Adjusted Returns | -2.04 | 8.16 | |||
Institutional Shares | 11/19/2009 | -1.00 | 5.25 | 3.17 | 8.42 |
Fee-Adjusted Returns | -1.99 | 8.12 | |||
ETF Shares | 11/19/2009 | ||||
Market Price | -2.77 | 8.31 | |||
Net Asset Value | -1.03 | 8.37 |
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.
147
Long-Term Corporate Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2013
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 (0.3%) | ||||
U.S. Government Securities (0.3%) | ||||
United States Treasury Note/Bond | 2.500% | 8/15/23 | 350 | 342 |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 2,325 | 1,967 |
Total U.S. Government and Agency Obligations (Cost $2,303) | 2,309 | |||
Corporate Bonds (98.3%) | ||||
Finance (18.2%) | ||||
Banking (8.6%) | ||||
1 Abbey National Capital Trust I | 8.963% | 12/29/49 | 650 | 806 |
American Express Co. | 4.050% | 12/3/42 | 922 | 804 |
Bank of America Corp. | 5.875% | 2/7/42 | 1,565 | 1,726 |
Bank of America NA | 6.000% | 10/15/36 | 1,400 | 1,585 |
Bank One Capital III | 8.750% | 9/1/30 | 290 | 380 |
Bank One Corp. | 7.625% | 10/15/26 | 1,580 | 1,939 |
Bank One Corp. | 8.000% | 4/29/27 | 135 | 173 |
Citigroup Inc. | 6.625% | 1/15/28 | 25 | 28 |
Citigroup Inc. | 6.625% | 6/15/32 | 985 | 1,045 |
Citigroup Inc. | 5.875% | 2/22/33 | 1,355 | 1,322 |
Citigroup Inc. | 6.000% | 10/31/33 | 595 | 586 |
Citigroup Inc. | 5.850% | 12/11/34 | 673 | 717 |
Citigroup Inc. | 6.125% | 8/25/36 | 1,610 | 1,607 |
Citigroup Inc. | 5.875% | 5/29/37 | 1,200 | 1,295 |
Citigroup Inc. | 6.875% | 3/5/38 | 2,180 | 2,694 |
Citigroup Inc. | 8.125% | 7/15/39 | 1,750 | 2,393 |
Citigroup Inc. | 5.875% | 1/30/42 | 1,155 | 1,267 |
Cooperatieve Centrale Raiffeisen- | ||||
Boerenleenbank BA | 5.250% | 5/24/41 | 1,400 | 1,446 |
Credit Suisse USA Inc. | 7.125% | 7/15/32 | 775 | 1,006 |
Fifth Third Bancorp | 8.250% | 3/1/38 | 1,057 | 1,357 |
Goldman Sachs Capital I | 6.345% | 2/15/34 | 2,380 | 2,267 |
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 1,810 | 1,841 |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 915 | 991 |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 1,235 | 1,240 |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 5,180 | 5,331 |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 2,555 | 2,837 |
HSBC Bank plc | 7.650% | 5/1/25 | 625 | 755 |
HSBC Bank USA NA | 5.875% | 11/1/34 | 1,375 | 1,457 |
HSBC Bank USA NA | 5.625% | 8/15/35 | 600 | 612 |
148 |
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
HSBC Bank USA NA | 7.000% | 1/15/39 | 725 | 864 |
HSBC Holdings plc | 7.625% | 5/17/32 | 1,145 | 1,398 |
HSBC Holdings plc | 6.500% | 5/2/36 | 1,600 | 1,804 |
HSBC Holdings plc | 6.500% | 9/15/37 | 760 | 852 |
HSBC Holdings plc | 6.800% | 6/1/38 | 1,655 | 1,927 |
HSBC Holdings plc | 6.100% | 1/14/42 | 460 | 543 |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 2,520 | 2,978 |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 1,185 | 1,269 |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 630 | 678 |
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 1,345 | 1,412 |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 300 | 299 |
KeyBank NA | 6.950% | 2/1/28 | 450 | 529 |
Merrill Lynch & Co. Inc. | 6.750% | 6/1/28 | 540 | 585 |
Merrill Lynch & Co. Inc. | 6.110% | 1/29/37 | 1,575 | 1,593 |
Merrill Lynch & Co. Inc. | 7.750% | 5/14/38 | 1,578 | 1,895 |
Morgan Stanley | 6.250% | 8/9/26 | 565 | 616 |
Morgan Stanley | 7.250% | 4/1/32 | 1,130 | 1,359 |
Morgan Stanley | 6.375% | 7/24/42 | 1,636 | 1,809 |
UBS AG | 7.750% | 9/1/26 | 625 | 769 |
Wachovia Bank NA | 5.850% | 2/1/37 | 1,250 | 1,390 |
Wachovia Bank NA | 6.600% | 1/15/38 | 2,000 | 2,404 |
Wachovia Corp. | 6.605% | 10/1/25 | 565 | 650 |
Wachovia Corp. | 7.500% | 4/15/35 | 45 | 53 |
Wachovia Corp. | 5.500% | 8/1/35 | 1,265 | 1,288 |
Wachovia Corp. | 6.550% | 10/15/35 | 25 | 28 |
Wells Fargo & Co. | 5.375% | 2/7/35 | 785 | 831 |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 725 | 816 |
1 Wells Fargo Capital X | 5.950% | 12/1/86 | 1,085 | 1,039 |
Brokerage (0.2%) | ||||
Jefferies Group LLC | 6.450% | 6/8/27 | 400 | 408 |
Jefferies Group LLC | 6.250% | 1/15/36 | 510 | 492 |
Jefferies Group LLC | 6.500% | 1/20/43 | 500 | 497 |
Finance Companies (2.2%) | ||||
General Electric Capital Corp. | 5.550% | 1/5/26 | 475 | 519 |
General Electric Capital Corp. | 6.750% | 3/15/32 | 6,255 | 7,459 |
General Electric Capital Corp. | 6.150% | 8/7/37 | 2,085 | 2,324 |
General Electric Capital Corp. | 5.875% | 1/14/38 | 5,740 | 6,190 |
General Electric Capital Corp. | 6.875% | 1/10/39 | 1,885 | 2,279 |
Insurance (6.7%) | ||||
ACE Capital Trust II | 9.700% | 4/1/30 | 315 | 441 |
ACE INA Holdings Inc. | 4.150% | 3/13/43 | 725 | 666 |
Aetna Inc. | 6.625% | 6/15/36 | 780 | 935 |
Aetna Inc. | 6.750% | 12/15/37 | 690 | 844 |
Aetna Inc. | 4.500% | 5/15/42 | 455 | 421 |
Aetna Inc. | 4.125% | 11/15/42 | 200 | 175 |
Aflac Inc. | 6.900% | 12/17/39 | 245 | 304 |
Aflac Inc. | 6.450% | 8/15/40 | 650 | 771 |
AIG Life Holdings Inc. | 8.500% | 7/1/30 | 810 | 1,045 |
Allstate Corp. | 5.350% | 6/1/33 | 415 | 447 |
Allstate Corp. | 5.550% | 5/9/35 | 315 | 349 |
Allstate Corp. | 5.950% | 4/1/36 | 295 | 344 |
Allstate Corp. | 4.500% | 6/15/43 | 475 | 454 |
149
Long-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
1 | Allstate Corp. | 6.500% | 5/15/67 | 525 | 556 |
American International Group Inc. | 6.250% | 5/1/36 | 1,010 | 1,142 | |
American International Group Inc. | 6.820% | 11/15/37 | 150 | 178 | |
1 | American International Group Inc. | 8.175% | 5/15/68 | 2,090 | 2,446 |
1 | American International Group Inc. | 6.250% | 3/15/87 | 1,135 | 1,135 |
Aon Corp. | 8.205% | 1/1/27 | 550 | 672 | |
Aon Corp. | 6.250% | 9/30/40 | 385 | 439 | |
Aon plc | 4.250% | 12/12/42 | 425 | 357 | |
Aon plc | 4.450% | 5/24/43 | 250 | 223 | |
Arch Capital Group Ltd. | 7.350% | 5/1/34 | 250 | 310 | |
Assurant Inc. | 6.750% | 2/15/34 | 625 | 670 | |
AXA SA | 8.600% | 12/15/30 | 1,500 | 1,782 | |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 855 | 955 | |
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 570 | 525 | |
Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 325 | 294 | |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 890 | 834 | |
Chubb Corp. | 6.000% | 5/11/37 | 400 | 471 | |
Chubb Corp. | 6.500% | 5/15/38 | 275 | 345 | |
Cigna Corp. | 7.875% | 5/15/27 | 365 | 446 | |
Cigna Corp. | 5.875% | 3/15/41 | 495 | 552 | |
Cigna Corp. | 5.375% | 2/15/42 | 475 | 499 | |
Cincinnati Financial Corp. | 6.920% | 5/15/28 | 300 | 352 | |
Cincinnati Financial Corp. | 6.125% | 11/1/34 | 694 | 735 | |
Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 420 | 447 | |
Genworth Holdings Inc. | 6.500% | 6/15/34 | 485 | 508 | |
Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 230 | 253 | |
Hartford Financial Services Group Inc. | 6.625% | 3/30/40 | 291 | 348 | |
Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 450 | 510 | |
Hartford Financial Services Group Inc. | 4.300% | 4/15/43 | 325 | 286 | |
Humana Inc. | 8.150% | 6/15/38 | 145 | 192 | |
Humana Inc. | 4.625% | 12/1/42 | 725 | 643 | |
2 | ING US Inc. | 5.700% | 7/15/43 | 350 | 343 |
Lincoln National Corp. | 6.150% | 4/7/36 | 300 | 342 | |
Lincoln National Corp. | 7.000% | 6/15/40 | 385 | 485 | |
Loews Corp. | 6.000% | 2/1/35 | 440 | 480 | |
Loews Corp. | 4.125% | 5/15/43 | 400 | 341 | |
Markel Corp. | 5.000% | 3/30/43 | 325 | 305 | |
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 515 | 555 | |
MetLife Inc. | 6.500% | 12/15/32 | 360 | 435 | |
MetLife Inc. | 6.375% | 6/15/34 | 800 | 954 | |
MetLife Inc. | 5.700% | 6/15/35 | 660 | 727 | |
MetLife Inc. | 5.875% | 2/6/41 | 695 | 790 | |
MetLife Inc. | 4.125% | 8/13/42 | 725 | 640 | |
1 | MetLife Inc. | 6.400% | 12/15/66 | 1,165 | 1,174 |
1 | MetLife Inc. | 10.750% | 8/1/69 | 460 | 681 |
Munich Re America Corp. | 7.450% | 12/15/26 | 350 | 441 | |
1 | Nationwide Financial Services Inc. | 6.750% | 5/15/67 | 365 | 370 |
Principal Financial Group Inc. | 6.050% | 10/15/36 | 490 | 561 | |
Principal Financial Group Inc. | 4.625% | 9/15/42 | 275 | 259 | |
Principal Financial Group Inc. | 4.350% | 5/15/43 | 350 | 316 | |
Progressive Corp. | 6.625% | 3/1/29 | 175 | 211 | |
Progressive Corp. | 6.250% | 12/1/32 | 275 | 326 | |
Protective Life Corp. | 8.450% | 10/15/39 | 390 | 494 | |
Prudential Financial Inc. | 5.750% | 7/15/33 | 550 | 588 | |
Prudential Financial Inc. | 5.400% | 6/13/35 | 545 | 560 | |
150 |
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Prudential Financial Inc. | 5.900% | 3/17/36 | 540 | 591 |
Prudential Financial Inc. | 5.700% | 12/14/36 | 275 | 294 |
Prudential Financial Inc. | 6.625% | 12/1/37 | 985 | 1,179 |
Prudential Financial Inc. | 5.100% | 8/15/43 | 775 | 768 |
1 Prudential Financial Inc. | 5.200% | 3/15/44 | 650 | 582 |
Swiss Re Solutions Holding Corp. | 7.000% | 2/15/26 | 595 | 724 |
Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 280 | 348 |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 555 | 710 |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 775 | 940 |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 946 | 1,046 |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 150 | 148 |
Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 70 | 85 |
Trinity Acquisition plc | 6.125% | 8/15/43 | 275 | 268 |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 685 | 760 |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 625 | 761 |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 190 | 234 |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 685 | 858 |
UnitedHealth Group Inc. | 5.700% | 10/15/40 | 10 | 11 |
UnitedHealth Group Inc. | 5.950% | 2/15/41 | 485 | 558 |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 963 | 916 |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 275 | 254 |
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 775 | 663 |
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 350 | 318 |
Unum Group | 5.750% | 8/15/42 | 300 | 307 |
Validus Holdings Ltd. | 8.875% | 1/26/40 | 285 | 349 |
WellPoint Inc. | 5.950% | 12/15/34 | 531 | 586 |
WellPoint Inc. | 5.850% | 1/15/36 | 795 | 857 |
WellPoint Inc. | 6.375% | 6/15/37 | 670 | 780 |
WellPoint Inc. | 5.800% | 8/15/40 | 695 | 756 |
WellPoint Inc. | 4.625% | 5/15/42 | 610 | 561 |
WellPoint Inc. | 4.650% | 1/15/43 | 725 | 664 |
XL Group plc | 6.375% | 11/15/24 | 405 | 464 |
XL Group plc | 6.250% | 5/15/27 | 280 | 309 |
Real Estate Investment Trusts (0.5%) | ||||
Boston Properties LP | 3.125% | 9/1/23 | 700 | 638 |
Boston Properties LP | 3.800% | 2/1/24 | 550 | 528 |
HCP Inc. | 6.750% | 2/1/41 | 235 | 275 |
Health Care REIT Inc. | 6.500% | 3/15/41 | 500 | 541 |
Health Care REIT Inc. | 5.125% | 3/15/43 | 225 | 205 |
Omega Healthcare Investors Inc. | 5.875% | 3/15/24 | 375 | 376 |
Realty Income Corp. | 5.875% | 3/15/35 | 225 | 233 |
Simon Property Group LP | 6.750% | 2/1/40 | 520 | 639 |
Simon Property Group LP | 4.750% | 3/15/42 | 690 | 657 |
154,773 | ||||
Industrial (62.3%) | ||||
Basic Industry (5.9%) | ||||
Agrium Inc. | 7.125% | 5/23/36 | 530 | 628 |
Agrium Inc. | 6.125% | 1/15/41 | 175 | 187 |
Agrium Inc. | 4.900% | 6/1/43 | 500 | 454 |
Alcoa Inc. | 5.900% | 2/1/27 | 480 | 455 |
Alcoa Inc. | 5.950% | 2/1/37 | 479 | 437 |
Barrick Gold Corp. | 5.250% | 4/1/42 | 790 | 642 |
Barrick North America Finance LLC | 7.500% | 9/15/38 | 265 | 261 |
Barrick North America Finance LLC | 5.700% | 5/30/41 | 920 | 780 |
151
Long-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2 | Barrick North America Finance LLC | 5.750% | 5/1/43 | 1,025 | 884 |
Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 820 | 706 | |
BHP Billiton Finance USA Ltd. | 6.420% | 3/1/26 | 300 | 353 | |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 1,005 | 918 | |
CF Industries Inc. | 4.950% | 6/1/43 | 825 | 751 | |
Cliffs Natural Resources Inc. | 6.250% | 10/1/40 | 996 | 834 | |
Domtar Corp. | 6.250% | 9/1/42 | 225 | 216 | |
Dow Chemical Co. | 7.375% | 11/1/29 | 975 | 1,240 | |
Dow Chemical Co. | 9.400% | 5/15/39 | 1,070 | 1,557 | |
Dow Chemical Co. | 5.250% | 11/15/41 | 520 | 522 | |
Dow Chemical Co. | 4.375% | 11/15/42 | 850 | 745 | |
Eastman Chemical Co. | 4.800% | 9/1/42 | 420 | 401 | |
Ecolab Inc. | 5.500% | 12/8/41 | 1,015 | 1,092 | |
EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 450 | 537 | |
EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 445 | 451 | |
EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 175 | 158 | |
2 | Freeport-McMoRan Copper & Gold Inc. | 5.450% | 3/15/43 | 1,855 | 1,603 |
Georgia-Pacific LLC | 8.000% | 1/15/24 | 80 | 102 | |
Georgia-Pacific LLC | 7.375% | 12/1/25 | 315 | 393 | |
Georgia-Pacific LLC | 7.250% | 6/1/28 | 585 | 705 | |
Georgia-Pacific LLC | 7.750% | 11/15/29 | 360 | 456 | |
Georgia-Pacific LLC | 8.875% | 5/15/31 | 365 | 503 | |
International Paper Co. | 8.700% | 6/15/38 | 275 | 376 | |
International Paper Co. | 7.300% | 11/15/39 | 810 | 994 | |
International Paper Co. | 6.000% | 11/15/41 | 680 | 737 | |
Kinross Gold Corp. | 6.875% | 9/1/41 | 260 | 224 | |
Lubrizol Corp. | 6.500% | 10/1/34 | 465 | 573 | |
LYB International Finance BV | 5.250% | 7/15/43 | 375 | 373 | |
LyondellBasell Industries NV | 5.750% | 4/15/24 | 575 | 636 | |
Monsanto Co. | 5.500% | 8/15/25 | 535 | 612 | |
Monsanto Co. | 5.875% | 4/15/38 | 230 | 268 | |
Monsanto Co. | 3.600% | 7/15/42 | 345 | 292 | |
Mosaic Co. | 4.875% | 11/15/41 | 145 | 133 | |
Newmont Mining Corp. | 5.875% | 4/1/35 | 230 | 211 | |
Newmont Mining Corp. | 6.250% | 10/1/39 | 1,240 | 1,173 | |
Newmont Mining Corp. | 4.875% | 3/15/42 | 1,235 | 955 | |
Nucor Corp. | 6.400% | 12/1/37 | 730 | 825 | |
Nucor Corp. | 5.200% | 8/1/43 | 575 | 551 | |
Placer Dome Inc. | 6.450% | 10/15/35 | 50 | 45 | |
Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 400 | 436 | |
Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 585 | 616 | |
PPG Industries Inc. | 7.700% | 3/15/38 | 445 | 584 | |
PPG Industries Inc. | 5.500% | 11/15/40 | 160 | 170 | |
Praxair Inc. | 3.550% | 11/7/42 | 400 | 334 | |
Reliance Steel & Aluminum Co. | 6.850% | 11/15/36 | 35 | 35 | |
Rio Tinto Alcan Inc. | 7.250% | 3/15/31 | 480 | 579 | |
Rio Tinto Alcan Inc. | 6.125% | 12/15/33 | 719 | 813 | |
Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 535 | 569 | |
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 515 | 626 | |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 445 | 427 | |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 290 | 262 | |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 725 | 601 | |
Rohm & Haas Co. | 7.850% | 7/15/29 | 900 | 1,191 | |
Southern Copper Corp. | 7.500% | 7/27/35 | 1,055 | 1,062 | |
Southern Copper Corp. | 6.750% | 4/16/40 | 990 | 922 | |
152 |
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Southern Copper Corp. | 5.250% | 11/8/42 | 1,175 | 908 |
Syngenta Finance NV | 4.375% | 3/28/42 | 225 | 214 |
Teck Resources Ltd. | 6.125% | 10/1/35 | 780 | 721 |
Teck Resources Ltd. | 6.000% | 8/15/40 | 570 | 523 |
Teck Resources Ltd. | 6.250% | 7/15/41 | 785 | 746 |
Teck Resources Ltd. | 5.200% | 3/1/42 | 720 | 600 |
Teck Resources Ltd. | 5.400% | 2/1/43 | 475 | 404 |
Vale Canada Ltd. | 7.200% | 9/15/32 | 660 | 675 |
Vale Overseas Ltd. | 8.250% | 1/17/34 | 95 | 106 |
Vale Overseas Ltd. | 6.875% | 11/21/36 | 1,680 | 1,643 |
Vale Overseas Ltd. | 6.875% | 11/10/39 | 1,730 | 1,678 |
Vale SA | 5.625% | 9/11/42 | 1,625 | 1,357 |
Westvaco Corp. | 7.950% | 2/15/31 | 500 | 573 |
Weyerhaeuser Co. | 8.500% | 1/15/25 | 300 | 377 |
Weyerhaeuser Co. | 6.950% | 10/1/27 | 200 | 224 |
Weyerhaeuser Co. | 7.375% | 3/15/32 | 1,155 | 1,396 |
Weyerhaeuser Co. | 6.875% | 12/15/33 | 275 | 312 |
Xstrata Canada Corp. | 6.200% | 6/15/35 | 175 | 158 |
Capital Goods (4.7%) | ||||
3M Co. | 6.375% | 2/15/28 | 550 | 669 |
3M Co. | 5.700% | 3/15/37 | 735 | 853 |
ABB Finance USA Inc. | 4.375% | 5/8/42 | 775 | 731 |
Boeing Co. | 7.950% | 8/15/24 | 290 | 392 |
Boeing Co. | 6.125% | 2/15/33 | 380 | 452 |
Boeing Co. | 6.625% | 2/15/38 | 20 | 26 |
Boeing Co. | 6.875% | 3/15/39 | 520 | 699 |
Boeing Co. | 5.875% | 2/15/40 | 675 | 813 |
Caterpillar Inc. | 5.300% | 9/15/35 | 350 | 370 |
Caterpillar Inc. | 6.050% | 8/15/36 | 890 | 1,017 |
Caterpillar Inc. | 3.803% | 8/15/42 | 1,605 | 1,379 |
Deere & Co. | 5.375% | 10/16/29 | 1,020 | 1,163 |
Deere & Co. | 8.100% | 5/15/30 | 40 | 56 |
Deere & Co. | 7.125% | 3/3/31 | 145 | 190 |
Deere & Co. | 3.900% | 6/9/42 | 895 | 795 |
Dover Corp. | 5.375% | 10/15/35 | 35 | 38 |
Dover Corp. | 6.600% | 3/15/38 | 165 | 208 |
Dover Corp. | 5.375% | 3/1/41 | 680 | 746 |
2 Eaton Corp. | 4.000% | 11/2/32 | 625 | 575 |
2 Eaton Corp. | 4.150% | 11/2/42 | 975 | 858 |
Emerson Electric Co. | 6.000% | 8/15/32 | 160 | 193 |
Emerson Electric Co. | 6.125% | 4/15/39 | 140 | 168 |
Emerson Electric Co. | 5.250% | 11/15/39 | 620 | 670 |
General Dynamics Corp. | 3.600% | 11/15/42 | 725 | 612 |
General Electric Co. | 4.125% | 10/9/42 | 850 | 772 |
Honeywell International Inc. | 5.700% | 3/15/37 | 1,005 | 1,154 |
Honeywell International Inc. | 5.375% | 3/1/41 | 740 | 837 |
Illinois Tool Works Inc. | 4.875% | 9/15/41 | 605 | 609 |
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 750 | 656 |
2 Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 475 | 490 |
Legrand France SA | 8.500% | 2/15/25 | 385 | 477 |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 860 | 996 |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 725 | 767 |
Lockheed Martin Corp. | 5.720% | 6/1/40 | 735 | 814 |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 705 | 699 |
153
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Lockheed Martin Corp. | 4.070% | 12/15/42 | 30 | 26 |
Northrop Grumman Corp. | 5.050% | 11/15/40 | 600 | 596 |
Northrop Grumman Corp. | 4.750% | 6/1/43 | 650 | 617 |
Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 525 | 677 |
Owens Corning | 7.000% | 12/1/36 | 465 | 505 |
Parker Hannifin Corp. | 6.250% | 5/15/38 | 390 | 472 |
Precision Castparts Corp. | 3.900% | 1/15/43 | 675 | 603 |
Raytheon Co. | 7.200% | 8/15/27 | 655 | 810 |
Raytheon Co. | 4.875% | 10/15/40 | 465 | 465 |
Raytheon Co. | 4.700% | 12/15/41 | 410 | 404 |
Republic Services Inc. | 6.086% | 3/15/35 | 25 | 27 |
Republic Services Inc. | 6.200% | 3/1/40 | 110 | 125 |
Republic Services Inc. | 5.700% | 5/15/41 | 1,350 | 1,451 |
Rockwell Automation Inc. | 6.700% | 1/15/28 | 135 | 167 |
Rockwell Automation Inc. | 6.250% | 12/1/37 | 330 | 392 |
Sonoco Products Co. | 5.750% | 11/1/40 | 595 | 625 |
Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 315 | 321 |
United Technologies Corp. | 6.700% | 8/1/28 | 400 | 495 |
United Technologies Corp. | 7.500% | 9/15/29 | 1,155 | 1,553 |
United Technologies Corp. | 5.400% | 5/1/35 | 35 | 39 |
United Technologies Corp. | 6.125% | 7/15/38 | 1,040 | 1,258 |
United Technologies Corp. | 5.700% | 4/15/40 | 945 | 1,097 |
United Technologies Corp. | 4.500% | 6/1/42 | 2,575 | 2,507 |
Waste Management Inc. | 7.100% | 8/1/26 | 415 | 505 |
Waste Management Inc. | 7.000% | 7/15/28 | 480 | 600 |
Waste Management Inc. | 7.750% | 5/15/32 | 450 | 590 |
Waste Management Inc. | 6.125% | 11/30/39 | 505 | 572 |
Communication (13.9%) | ||||
Alltel Corp. | 6.800% | 5/1/29 | 420 | 504 |
Alltel Corp. | 7.875% | 7/1/32 | 725 | 953 |
America Movil SAB de CV | 6.375% | 3/1/35 | 955 | 1,015 |
America Movil SAB de CV | 6.125% | 11/15/37 | 400 | 414 |
America Movil SAB de CV | 6.125% | 3/30/40 | 1,825 | 1,887 |
America Movil SAB de CV | 4.375% | 7/16/42 | 1,075 | 869 |
Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 385 | 413 |
AT&T Corp. | 6.500% | 3/15/29 | 255 | 281 |
AT&T Corp. | 8.000% | 11/15/31 | 905 | 1,249 |
AT&T Inc. | 6.150% | 9/15/34 | 867 | 945 |
AT&T Inc. | 6.500% | 9/1/37 | 2,017 | 2,299 |
AT&T Inc. | 6.300% | 1/15/38 | 1,960 | 2,178 |
AT&T Inc. | 6.400% | 5/15/38 | 660 | 739 |
AT&T Inc. | 6.550% | 2/15/39 | 2,205 | 2,527 |
AT&T Inc. | 5.350% | 9/1/40 | 3,915 | 3,866 |
AT&T Inc. | 5.550% | 8/15/41 | 1,781 | 1,809 |
AT&T Inc. | 4.300% | 12/15/42 | 1,713 | 1,467 |
AT&T Inc. | 4.350% | 6/15/45 | 2,839 | 2,412 |
AT&T Mobility LLC | 7.125% | 12/15/31 | 660 | 824 |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 1,048 | 1,274 |
BellSouth Corp. | 6.875% | 10/15/31 | 498 | 556 |
BellSouth Corp. | 6.550% | 6/15/34 | 495 | 539 |
BellSouth Telecommunications Inc. | 7.000% | 10/1/25 | 295 | 338 |
BellSouth Telecommunications Inc. | 6.375% | 6/1/28 | 315 | 344 |
BellSouth Telecommunications Inc. | 0.000% | 12/15/95 | 470 | 437 |
British Telecommunications plc | 9.625% | 12/15/30 | 2,497 | 3,774 |
154
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CBS Corp. | 7.875% | 7/30/30 | 1,011 | 1,228 |
CBS Corp. | 5.500% | 5/15/33 | 335 | 326 |
CBS Corp. | 5.900% | 10/15/40 | 150 | 152 |
CBS Corp. | 4.850% | 7/1/42 | 670 | 593 |
Comcast Corp. | 4.250% | 1/15/33 | 1,180 | 1,119 |
Comcast Corp. | 7.050% | 3/15/33 | 1,035 | 1,281 |
Comcast Corp. | 5.650% | 6/15/35 | 1,035 | 1,135 |
Comcast Corp. | 6.500% | 11/15/35 | 1,735 | 2,085 |
Comcast Corp. | 6.450% | 3/15/37 | 1,485 | 1,765 |
Comcast Corp. | 6.950% | 8/15/37 | 750 | 941 |
Comcast Corp. | 6.400% | 5/15/38 | 1,030 | 1,215 |
Comcast Corp. | 6.550% | 7/1/39 | 570 | 683 |
Comcast Corp. | 6.400% | 3/1/40 | 1,100 | 1,310 |
Comcast Corp. | 4.650% | 7/15/42 | 1,050 | 999 |
Comcast Corp. | 4.500% | 1/15/43 | 475 | 446 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 2,985 | 4,171 |
Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 515 | 753 |
DIRECTV Holdings LLC / DIRECTV | ||||
Financing Co. Inc. | 6.350% | 3/15/40 | 70 | 69 |
DIRECTV Holdings LLC / DIRECTV | ||||
Financing Co. Inc. | 6.000% | 8/15/40 | 1,310 | 1,245 |
DIRECTV Holdings LLC / DIRECTV | ||||
Financing Co. Inc. | 6.375% | 3/1/41 | 1,070 | 1,064 |
DIRECTV Holdings LLC / DIRECTV | ||||
Financing Co. Inc. | 5.150% | 3/15/42 | 1,160 | 994 |
Discovery Communications LLC | 6.350% | 6/1/40 | 635 | 699 |
Discovery Communications LLC | 4.875% | 4/1/43 | 950 | 874 |
Embarq Corp. | 7.995% | 6/1/36 | 1,580 | 1,606 |
Grupo Televisa SAB | 6.625% | 3/18/25 | 510 | 576 |
Grupo Televisa SAB | 8.500% | 3/11/32 | 660 | 834 |
GTE Corp. | 6.940% | 4/15/28 | 1,080 | 1,281 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 975 | 1,252 |
McGraw Hill Financial Inc. | 6.550% | 11/15/37 | 400 | 384 |
Moody’s Corp. | 4.875% | 2/15/24 | 450 | 444 |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 990 | 1,175 |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 1,445 | 1,628 |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 300 | 277 |
New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 775 | 1,118 |
News America Inc. | 7.700% | 10/30/25 | 165 | 200 |
News America Inc. | 6.550% | 3/15/33 | 335 | 377 |
News America Inc. | 6.200% | 12/15/34 | 1,015 | 1,086 |
News America Inc. | 6.400% | 12/15/35 | 1,205 | 1,334 |
News America Inc. | 8.150% | 10/17/36 | 110 | 136 |
News America Inc. | 6.150% | 3/1/37 | 1,775 | 1,924 |
News America Inc. | 6.650% | 11/15/37 | 1,400 | 1,606 |
News America Inc. | 6.900% | 8/15/39 | 1,010 | 1,172 |
News America Inc. | 6.150% | 2/15/41 | 75 | 83 |
News America Inc. | 7.750% | 12/1/45 | 360 | 449 |
Orange SA | 8.500% | 3/1/31 | 2,310 | 3,112 |
Orange SA | 5.375% | 1/13/42 | 535 | 527 |
Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 80 | 96 |
Pacific Bell Telephone Co. | 6.625% | 10/15/34 | 145 | 146 |
Qwest Corp. | 7.200% | 11/10/26 | 30 | 30 |
Qwest Corp. | 6.875% | 9/15/33 | 1,735 | 1,696 |
Qwest Corp. | 7.125% | 11/15/43 | 85 | 83 |
155
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Rogers Communications Inc. | 7.500% | 8/15/38 | 475 | 607 |
Rogers Communications Inc. | 4.500% | 3/15/43 | 525 | 456 |
TCI Communications Inc. | 7.875% | 2/15/26 | 390 | 505 |
TCI Communications Inc. | 7.125% | 2/15/28 | 220 | 276 |
Telecom Italia Capital SA | 6.375% | 11/15/33 | 1,075 | 947 |
Telecom Italia Capital SA | 6.000% | 9/30/34 | 855 | 717 |
Telecom Italia Capital SA | 7.200% | 7/18/36 | 960 | 931 |
Telecom Italia Capital SA | 7.721% | 6/4/38 | 845 | 822 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 1,340 | 1,430 |
Telefonica Europe BV | 8.250% | 9/15/30 | 1,285 | 1,518 |
Thomson Reuters Corp. | 5.500% | 8/15/35 | 175 | 179 |
Thomson Reuters Corp. | 5.850% | 4/15/40 | 390 | 416 |
Thomson Reuters Corp. | 4.500% | 5/23/43 | 300 | 263 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 1,225 | 1,180 |
Time Warner Cable Inc. | 7.300% | 7/1/38 | 1,240 | 1,290 |
Time Warner Cable Inc. | 6.750% | 6/15/39 | 1,570 | 1,540 |
Time Warner Cable Inc. | 5.875% | 11/15/40 | 985 | 881 |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 915 | 785 |
Time Warner Cable Inc. | 4.500% | 9/15/42 | 1,275 | 986 |
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 950 | 1,056 |
United States Cellular Corp. | 6.700% | 12/15/33 | 585 | 566 |
Verizon Communications Inc. | 7.750% | 12/1/30 | 2,170 | 2,781 |
Verizon Communications Inc. | 7.750% | 6/15/32 | 380 | 477 |
Verizon Communications Inc. | 5.850% | 9/15/35 | 1,405 | 1,475 |
Verizon Communications Inc. | 6.250% | 4/1/37 | 1,020 | 1,115 |
Verizon Communications Inc. | 6.400% | 2/15/38 | 1,425 | 1,588 |
Verizon Communications Inc. | 6.900% | 4/15/38 | 1,290 | 1,534 |
Verizon Communications Inc. | 6.000% | 4/1/41 | 1,040 | 1,112 |
Verizon Communications Inc. | 4.750% | 11/1/41 | 805 | 733 |
Verizon Communications Inc. | 3.850% | 11/1/42 | 175 | 139 |
Verizon Florida LLC | 6.860% | 2/1/28 | 600 | 651 |
Verizon Maryland LLC | 5.125% | 6/15/33 | 595 | 573 |
Verizon New England Inc. | 7.875% | 11/15/29 | 50 | 60 |
Verizon New York Inc. | 7.375% | 4/1/32 | 802 | 922 |
Vodafone Group plc | 7.875% | 2/15/30 | 735 | 938 |
Vodafone Group plc | 6.250% | 11/30/32 | 365 | 395 |
Vodafone Group plc | 6.150% | 2/27/37 | 1,835 | 1,994 |
Vodafone Group plc | 4.375% | 2/19/43 | 375 | 331 |
WPP Finance 2010 | 5.125% | 9/7/42 | 275 | 251 |
Consumer Cyclical (8.1%) | ||||
Cummins Inc. | 7.125% | 3/1/28 | 425 | 523 |
CVS Caremark Corp. | 6.250% | 6/1/27 | 995 | 1,179 |
CVS Caremark Corp. | 6.125% | 9/15/39 | 630 | 730 |
CVS Caremark Corp. | 5.750% | 5/15/41 | 864 | 969 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 990 | 1,429 |
eBay Inc. | 4.000% | 7/15/42 | 650 | 544 |
Ford Motor Co. | 6.625% | 10/1/28 | 675 | 748 |
Ford Motor Co. | 6.375% | 2/1/29 | 350 | 376 |
Ford Motor Co. | 7.450% | 7/16/31 | 1,585 | 1,902 |
Ford Motor Co. | 4.750% | 1/15/43 | 1,875 | 1,652 |
Ford Motor Co. | 7.400% | 11/1/46 | 345 | 409 |
Historic TW Inc. | 6.625% | 5/15/29 | 1,540 | 1,747 |
Home Depot Inc. | 5.875% | 12/16/36 | 2,265 | 2,605 |
Home Depot Inc. | 5.400% | 9/15/40 | 455 | 501 |
156
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Home Depot Inc. | 5.950% | 4/1/41 | 1,065 | 1,262 |
Home Depot Inc. | 4.200% | 4/1/43 | 675 | 625 |
Host Hotels & Resorts LP | 3.750% | 10/15/23 | 425 | 389 |
Johnson Controls Inc. | 6.000% | 1/15/36 | 340 | 367 |
Johnson Controls Inc. | 5.700% | 3/1/41 | 320 | 334 |
Johnson Controls Inc. | 5.250% | 12/1/41 | 280 | 278 |
Kohl’s Corp. | 6.000% | 1/15/33 | 345 | 353 |
Kohl’s Corp. | 6.875% | 12/15/37 | 415 | 451 |
Lowe’s Cos. Inc. | 6.875% | 2/15/28 | 60 | 73 |
Lowe’s Cos. Inc. | 6.500% | 3/15/29 | 530 | 616 |
Lowe’s Cos. Inc. | 5.500% | 10/15/35 | 570 | 606 |
Lowe’s Cos. Inc. | 6.650% | 9/15/37 | 625 | 765 |
Lowe’s Cos. Inc. | 5.800% | 4/15/40 | 695 | 778 |
Lowe’s Cos. Inc. | 5.125% | 11/15/41 | 455 | 471 |
Lowe’s Cos. Inc. | 4.650% | 4/15/42 | 510 | 497 |
Macy’s Retail Holdings Inc. | 6.900% | 4/1/29 | 735 | 839 |
Macy’s Retail Holdings Inc. | 6.900% | 1/15/32 | 225 | 256 |
Macy’s Retail Holdings Inc. | 6.700% | 7/15/34 | 40 | 45 |
Macy’s Retail Holdings Inc. | 6.375% | 3/15/37 | 660 | 731 |
Macy’s Retail Holdings Inc. | 5.125% | 1/15/42 | 205 | 202 |
Macy’s Retail Holdings Inc. | 4.300% | 2/15/43 | 225 | 191 |
McDonald’s Corp. | 6.300% | 10/15/37 | 885 | 1,100 |
McDonald’s Corp. | 6.300% | 3/1/38 | 895 | 1,102 |
McDonald’s Corp. | 5.700% | 2/1/39 | 50 | 59 |
McDonald’s Corp. | 3.700% | 2/15/42 | 595 | 520 |
McDonald’s Corp. | 3.625% | 5/1/43 | 825 | 705 |
MDC Holdings Inc. | 6.000% | 1/15/43 | 500 | 444 |
NIKE Inc. | 3.625% | 5/1/43 | 625 | 539 |
Nordstrom Inc. | 6.950% | 3/15/28 | 30 | 36 |
Nordstrom Inc. | 7.000% | 1/15/38 | 610 | 786 |
QVC Inc. | 5.950% | 3/15/43 | 350 | 311 |
Target Corp. | 6.350% | 11/1/32 | 585 | 713 |
Target Corp. | 6.500% | 10/15/37 | 1,335 | 1,642 |
Target Corp. | 7.000% | 1/15/38 | 1,500 | 1,938 |
Target Corp. | 4.000% | 7/1/42 | 1,010 | 904 |
Time Warner Cos. Inc. | 7.570% | 2/1/24 | 470 | 572 |
Time Warner Cos. Inc. | 6.950% | 1/15/28 | 85 | 100 |
Time Warner Inc. | 7.625% | 4/15/31 | 610 | 762 |
Time Warner Inc. | 7.700% | 5/1/32 | 1,055 | 1,335 |
Time Warner Inc. | 6.500% | 11/15/36 | 840 | 935 |
Time Warner Inc. | 6.200% | 3/15/40 | 410 | 444 |
Time Warner Inc. | 6.100% | 7/15/40 | 985 | 1,050 |
Time Warner Inc. | 6.250% | 3/29/41 | 1,170 | 1,283 |
Time Warner Inc. | 5.375% | 10/15/41 | 400 | 397 |
Time Warner Inc. | 4.900% | 6/15/42 | 1,405 | 1,321 |
VF Corp. | 6.450% | 11/1/37 | 635 | 745 |
Viacom Inc. | 6.875% | 4/30/36 | 740 | 826 |
Viacom Inc. | 4.375% | 3/15/43 | 920 | 758 |
Viacom Inc. | 5.850% | 9/1/43 | 2,125 | 2,146 |
Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 1,180 | 1,427 |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 1,000 | 1,352 |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 2,755 | 2,958 |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 3,175 | 3,976 |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 1,960 | 2,374 |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 1,872 | 2,137 |
157
Long-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 625 | 654 | |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 1,365 | 1,555 | |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 400 | 359 | |
Walgreen Co. | 4.400% | 9/15/42 | 725 | 652 | |
Walt Disney Co. | 7.000% | 3/1/32 | 435 | 573 | |
Walt Disney Co. | 4.125% | 12/1/41 | 385 | 357 | |
Walt Disney Co. | 3.700% | 12/1/42 | 350 | 304 | |
Western Union Co. | 6.200% | 11/17/36 | 500 | 489 | |
Western Union Co. | 6.200% | 6/21/40 | 170 | 163 | |
Yum! Brands Inc. | 6.875% | 11/15/37 | 520 | 609 | |
Consumer Noncyclical (13.9%) | |||||
Abbott Laboratories | 6.150% | 11/30/37 | 700 | 855 | |
Abbott Laboratories | 6.000% | 4/1/39 | 470 | 564 | |
Abbott Laboratories | 5.300% | 5/27/40 | 520 | 575 | |
AbbVie Inc. | 4.400% | 11/6/42 | 2,625 | 2,434 | |
Actavis Inc. | 4.625% | 10/1/42 | 900 | 802 | |
Ahold Finance USA LLC | 6.875% | 5/1/29 | 515 | 614 | |
Altria Group Inc. | 9.950% | 11/10/38 | 1,525 | 2,255 | |
Altria Group Inc. | 10.200% | 2/6/39 | 1,565 | 2,386 | |
Altria Group Inc. | 4.250% | 8/9/42 | 525 | 433 | |
Altria Group Inc. | 4.500% | 5/2/43 | 625 | 531 | |
Amgen Inc. | 6.375% | 6/1/37 | 995 | 1,126 | |
Amgen Inc. | 6.900% | 6/1/38 | 65 | 77 | |
Amgen Inc. | 6.400% | 2/1/39 | 1,435 | 1,596 | |
Amgen Inc. | 5.750% | 3/15/40 | 740 | 770 | |
Amgen Inc. | 4.950% | 10/1/41 | 1,110 | 1,040 | |
Amgen Inc. | 5.150% | 11/15/41 | 480 | 464 | |
Amgen Inc. | 5.650% | 6/15/42 | 1,420 | 1,459 | |
Amgen Inc. | 5.375% | 5/15/43 | 495 | 493 | |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 65 | 81 | |
Anheuser-Busch Cos. LLC | 5.950% | 1/15/33 | 20 | 23 | |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 25 | 28 | |
Anheuser-Busch Cos. LLC | 6.450% | 9/1/37 | 680 | 833 | |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 735 | 666 | |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 1,255 | 1,858 | |
Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 255 | 366 | |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 1,260 | 1,568 | |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 1,060 | 923 | |
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 545 | 614 | |
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 710 | 756 | |
Archer-Daniels-Midland Co. | 5.765% | 3/1/41 | 510 | 579 | |
Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 230 | 220 | |
Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 425 | 373 | |
1 | Ascension Health Alliance | 4.847% | 11/15/53 | 475 | 470 |
AstraZeneca plc | 6.450% | 9/15/37 | 2,575 | 3,107 | |
AstraZeneca plc | 4.000% | 9/18/42 | 800 | 714 | |
Avon Products Inc. | 6.950% | 3/15/43 | 225 | 224 | |
Baxter International Inc. | 6.250% | 12/1/37 | 370 | 449 | |
Baxter International Inc. | 3.650% | 8/15/42 | 300 | 256 | |
Baxter International Inc. | 4.500% | 6/15/43 | 400 | 390 | |
Becton Dickinson & Co. | 6.000% | 5/15/39 | 30 | 35 | |
Becton Dickinson & Co. | 5.000% | 11/12/40 | 540 | 557 | |
Boston Scientific Corp. | 4.125% | 10/1/23 | 450 | 440 | |
Boston Scientific Corp. | 7.000% | 11/15/35 | 50 | 59 | |
158 |
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Boston Scientific Corp. | 7.375% | 1/15/40 | 570 | 701 |
Bristol-Myers Squibb Co. | 6.800% | 11/15/26 | 45 | 57 |
Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 1,380 | 1,593 |
Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 335 | 403 |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 475 | 377 |
Bristol-Myers Squibb Co. | 6.875% | 8/1/97 | 35 | 44 |
Brown-Forman Corp. | 3.750% | 1/15/43 | 275 | 234 |
Campbell Soup Co. | 3.800% | 8/2/42 | 500 | 406 |
Cardinal Health Inc. | 4.600% | 3/15/43 | 425 | 386 |
1 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 800 | 718 |
Celgene Corp. | 5.700% | 10/15/40 | 310 | 321 |
Celgene Corp. | 5.250% | 8/15/43 | 375 | 371 |
ConAgra Foods Inc. | 7.125% | 10/1/26 | 510 | 624 |
ConAgra Foods Inc. | 7.000% | 10/1/28 | 375 | 454 |
ConAgra Foods Inc. | 8.250% | 9/15/30 | 495 | 631 |
ConAgra Foods Inc. | 4.650% | 1/25/43 | 300 | 274 |
Covidien International Finance SA | 6.550% | 10/15/37 | 860 | 1,077 |
Delhaize America LLC | 9.000% | 4/15/31 | 470 | 562 |
Delhaize Group SA | 5.700% | 10/1/40 | 707 | 681 |
Diageo Capital plc | 5.875% | 9/30/36 | 570 | 655 |
Diageo Capital plc | 3.875% | 4/29/43 | 375 | 325 |
Diageo Investment Corp. | 7.450% | 4/15/35 | 235 | 313 |
Diageo Investment Corp. | 4.250% | 5/11/42 | 385 | 356 |
Dignity Health California GO | 4.500% | 11/1/42 | 325 | 280 |
Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 330 | 424 |
Eli Lilly & Co. | 7.125% | 6/1/25 | 360 | 463 |
Eli Lilly & Co. | 5.500% | 3/15/27 | 150 | 170 |
Eli Lilly & Co. | 6.770% | 1/1/36 | 290 | 365 |
Eli Lilly & Co. | 5.550% | 3/15/37 | 930 | 1,032 |
Eli Lilly & Co. | 5.950% | 11/15/37 | 665 | 778 |
Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 215 | 238 |
Estee Lauder Cos. Inc. | 3.700% | 8/15/42 | 600 | 517 |
Express Scripts Holding Co. | 6.125% | 11/15/41 | 510 | 585 |
Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 700 | 597 |
Genentech Inc. | 5.250% | 7/15/35 | 545 | 582 |
General Mills Inc. | 5.400% | 6/15/40 | 440 | 479 |
General Mills Inc. | 4.150% | 2/15/43 | 575 | 533 |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 715 | 790 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 655 | 719 |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 1,370 | 1,701 |
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 1,075 | 988 |
Hasbro Inc. | 6.350% | 3/15/40 | 630 | 689 |
Hershey Co. | 7.200% | 8/15/27 | 250 | 321 |
Ingredion Inc. | 6.625% | 4/15/37 | 175 | 199 |
Johnson & Johnson | 6.730% | 11/15/23 | 50 | 64 |
Johnson & Johnson | 6.950% | 9/1/29 | 440 | 581 |
Johnson & Johnson | 4.950% | 5/15/33 | 300 | 330 |
Johnson & Johnson | 5.950% | 8/15/37 | 960 | 1,163 |
Johnson & Johnson | 5.850% | 7/15/38 | 795 | 951 |
Johnson & Johnson | 4.500% | 9/1/40 | 195 | 199 |
Johnson & Johnson | 4.850% | 5/15/41 | 95 | 101 |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 620 | 597 |
Kellogg Co. | 7.450% | 4/1/31 | 1,125 | 1,433 |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 500 | 637 |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 485 | 539 |
159
Long-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Kimberly-Clark Corp. | 3.700% | 6/1/43 | 225 | 196 | |
Koninklijke Philips NV | 6.875% | 3/11/38 | 660 | 820 | |
Koninklijke Philips NV | 5.000% | 3/15/42 | 900 | 906 | |
Kraft Foods Group Inc. | 6.875% | 1/26/39 | 1,425 | 1,741 | |
Kraft Foods Group Inc. | 6.500% | 2/9/40 | 675 | 797 | |
Kraft Foods Group Inc. | 5.000% | 6/4/42 | 340 | 330 | |
Kroger Co. | 7.700% | 6/1/29 | 20 | 25 | |
Kroger Co. | 8.000% | 9/15/29 | 150 | 190 | |
Kroger Co. | 7.500% | 4/1/31 | 380 | 469 | |
Kroger Co. | 6.900% | 4/15/38 | 535 | 635 | |
Kroger Co. | 5.400% | 7/15/40 | 280 | 281 | |
Kroger Co. | 5.000% | 4/15/42 | 475 | 458 | |
Kroger Co. | 5.150% | 8/1/43 | 450 | 439 | |
Lorillard Tobacco Co. | 8.125% | 5/1/40 | 40 | 46 | |
Lorillard Tobacco Co. | 7.000% | 8/4/41 | 535 | 549 | |
Mattel Inc. | 5.450% | 11/1/41 | 470 | 478 | |
1 | Mayo Clinic | 3.774% | 11/15/43 | 400 | 331 |
1 | Mayo Clinic | 4.000% | 11/15/47 | 225 | 189 |
McKesson Corp. | 6.000% | 3/1/41 | 655 | 761 | |
Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 445 | 491 | |
Medtronic Inc. | 6.500% | 3/15/39 | 155 | 191 | |
Medtronic Inc. | 5.550% | 3/15/40 | 580 | 647 | |
Medtronic Inc. | 4.500% | 3/15/42 | 360 | 352 | |
Medtronic Inc. | 4.000% | 4/1/43 | 620 | 557 | |
Memorial Sloan-Kettering Cancer Center | |||||
New York GO | 5.000% | 7/1/42 | 400 | 399 | |
Memorial Sloan-Kettering Cancer Center | |||||
New York GO | 4.125% | 7/1/52 | 450 | 374 | |
Merck & Co. Inc. | 6.500% | 12/1/33 | 945 | 1,200 | |
Merck & Co. Inc. | 6.550% | 9/15/37 | 725 | 923 | |
Merck & Co. Inc. | 3.600% | 9/15/42 | 600 | 507 | |
Merck & Co. Inc. | 4.150% | 5/18/43 | 800 | 743 | |
Merck Sharp & Dohme Corp. | 6.300% | 1/1/26 | 30 | 36 | |
Merck Sharp & Dohme Corp. | 6.400% | 3/1/28 | 640 | 786 | |
Merck Sharp & Dohme Corp. | 5.950% | 12/1/28 | 380 | 450 | |
Merck Sharp & Dohme Corp. | 5.750% | 11/15/36 | 70 | 81 | |
Merck Sharp & Dohme Corp. | 5.850% | 6/30/39 | 1,610 | 1,878 | |
Molson Coors Brewing Co. | 5.000% | 5/1/42 | 1,050 | 1,028 | |
Mondelez International Inc. | 6.500% | 11/1/31 | 730 | 838 | |
Mondelez International Inc. | 7.000% | 8/11/37 | 848 | 1,037 | |
Mondelez International Inc. | 6.875% | 2/1/38 | 655 | 788 | |
Mondelez International Inc. | 6.875% | 1/26/39 | 715 | 862 | |
Mondelez International Inc. | 6.500% | 2/9/40 | 1,665 | 1,958 | |
Novant Health Inc. | 4.371% | 11/1/43 | 300 | 263 | |
Novartis Capital Corp. | 3.700% | 9/21/42 | 950 | 836 | |
Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 935 | 1,190 | |
PepsiAmericas Inc. | 5.500% | 5/15/35 | 125 | 136 | |
PepsiCo Inc. | 5.500% | 1/15/40 | 870 | 957 | |
PepsiCo Inc. | 4.875% | 11/1/40 | 870 | 876 | |
PepsiCo Inc. | 4.000% | 3/5/42 | 1,000 | 892 | |
PepsiCo Inc. | 3.600% | 8/13/42 | 275 | 228 | |
Pfizer Inc. | 7.200% | 3/15/39 | 2,230 | 3,018 | |
Pharmacia Corp. | 6.600% | 12/1/28 | 355 | 437 | |
Philip Morris International Inc. | 6.375% | 5/16/38 | 765 | 906 | |
Philip Morris International Inc. | 4.375% | 11/15/41 | 745 | 680 | |
160 |
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 | 428 |
Philip Morris International Inc. | 3.875% | 8/21/42 | 675 | 572 |
Philip Morris International Inc. | 4.125% | 3/4/43 | 975 | 866 |
Procter & Gamble Co. | 6.450% | 1/15/26 | 50 | 63 |
Procter & Gamble Co. | 5.500% | 2/1/34 | 310 | 359 |
Procter & Gamble Co. | 5.800% | 8/15/34 | 650 | 770 |
Procter & Gamble Co. | 5.550% | 3/5/37 | 990 | 1,150 |
Quest Diagnostics Inc. | 6.950% | 7/1/37 | 235 | 267 |
Quest Diagnostics Inc. | 5.750% | 1/30/40 | 460 | 460 |
Reynolds American Inc. | 7.250% | 6/15/37 | 275 | 316 |
Reynolds American Inc. | 4.750% | 11/1/42 | 925 | 810 |
Safeway Inc. | 7.250% | 2/1/31 | 780 | 835 |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 675 | 636 |
Stryker Corp. | 4.100% | 4/1/43 | 400 | 365 |
Sysco Corp. | 5.375% | 9/21/35 | 755 | 825 |
Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 485 | 560 |
Unilever Capital Corp. | 5.900% | 11/15/32 | 1,210 | 1,478 |
Wyeth LLC | 6.450% | 2/1/24 | 905 | 1,112 |
Wyeth LLC | 6.500% | 2/1/34 | 1,530 | 1,887 |
Wyeth LLC | 6.000% | 2/15/36 | 115 | 135 |
Wyeth LLC | 5.950% | 4/1/37 | 2,145 | 2,518 |
Zimmer Holdings Inc. | 5.750% | 11/30/39 | 425 | 471 |
2 Zoetis Inc. | 4.700% | 2/1/43 | 350 | 328 |
Energy (8.8%) | ||||
Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 580 | 683 |
Anadarko Finance Co. | 7.500% | 5/1/31 | 965 | 1,208 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 1,440 | 1,670 |
Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 355 | 482 |
Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 715 | 812 |
Apache Corp. | 6.000% | 1/15/37 | 880 | 989 |
Apache Corp. | 5.100% | 9/1/40 | 1,460 | 1,463 |
Apache Corp. | 5.250% | 2/1/42 | 505 | 515 |
Apache Corp. | 4.750% | 4/15/43 | 795 | 759 |
Apache Corp. | 4.250% | 1/15/44 | 950 | 841 |
Apache Finance Canada Corp. | 7.750% | 12/15/29 | 425 | 536 |
Baker Hughes Inc. | 6.875% | 1/15/29 | 350 | 447 |
Baker Hughes Inc. | 5.125% | 9/15/40 | 1,115 | 1,195 |
Burlington Resources Finance Co. | 7.200% | 8/15/31 | 915 | 1,184 |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 55 | 72 |
Cameron International Corp. | 7.000% | 7/15/38 | 340 | 428 |
Cameron International Corp. | 5.950% | 6/1/41 | 230 | 261 |
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 528 | 635 |
Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 350 | 392 |
Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 200 | 213 |
Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 455 | 522 |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 855 | 972 |
Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 425 | 501 |
Cenovus Energy Inc. | 6.750% | 11/15/39 | 1,170 | 1,403 |
Cenovus Energy Inc. | 4.450% | 9/15/42 | 925 | 830 |
Conoco Funding Co. | 7.250% | 10/15/31 | 515 | 679 |
ConocoPhillips | 5.900% | 10/15/32 | 765 | 886 |
ConocoPhillips | 5.900% | 5/15/38 | 500 | 585 |
ConocoPhillips | 6.500% | 2/1/39 | 1,380 | 1,744 |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 575 | 664 |
161
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 1,510 | 1,926 |
Devon Energy Corp. | 7.950% | 4/15/32 | 1,030 | 1,345 |
Devon Energy Corp. | 5.600% | 7/15/41 | 1,290 | 1,325 |
Devon Energy Corp. | 4.750% | 5/15/42 | 765 | 710 |
Devon Financing Co. LLC | 7.875% | 9/30/31 | 235 | 302 |
Diamond Offshore Drilling Inc. | 5.700% | 10/15/39 | 375 | 429 |
Encana Corp. | 7.200% | 11/1/31 | 55 | 65 |
Encana Corp. | 6.500% | 8/15/34 | 785 | 857 |
Encana Corp. | 6.625% | 8/15/37 | 660 | 727 |
Encana Corp. | 6.500% | 2/1/38 | 600 | 658 |
Encana Corp. | 5.150% | 11/15/41 | 640 | 601 |
Eni USA Inc. | 7.300% | 11/15/27 | 395 | 481 |
Global Marine Inc. | 7.000% | 6/1/28 | 255 | 266 |
Halliburton Co. | 6.700% | 9/15/38 | 945 | 1,170 |
Halliburton Co. | 7.450% | 9/15/39 | 970 | 1,295 |
Halliburton Co. | 4.500% | 11/15/41 | 400 | 386 |
Halliburton Co. | 4.750% | 8/1/43 | 755 | 752 |
Hess Corp. | 7.875% | 10/1/29 | 940 | 1,181 |
Hess Corp. | 7.300% | 8/15/31 | 960 | 1,161 |
Hess Corp. | 7.125% | 3/15/33 | 265 | 314 |
Hess Corp. | 6.000% | 1/15/40 | 125 | 134 |
Hess Corp. | 5.600% | 2/15/41 | 675 | 692 |
Husky Energy Inc. | 6.800% | 9/15/37 | 385 | 470 |
Kerr-McGee Corp. | 6.950% | 7/1/24 | 790 | 931 |
Kerr-McGee Corp. | 7.875% | 9/15/31 | 490 | 620 |
Marathon Oil Corp. | 6.800% | 3/15/32 | 540 | 637 |
Marathon Oil Corp. | 6.600% | 10/1/37 | 685 | 809 |
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 1,210 | 1,324 |
Murphy Oil Corp. | 7.050% | 5/1/29 | 330 | 359 |
Murphy Oil Corp. | 5.125% | 12/1/42 | 275 | 239 |
National Oilwell Varco Inc. | 3.950% | 12/1/42 | 1,000 | 886 |
Noble Energy Inc. | 8.000% | 4/1/27 | 245 | 315 |
Noble Energy Inc. | 6.000% | 3/1/41 | 740 | 833 |
Noble Holding International Ltd. | 6.200% | 8/1/40 | 450 | 457 |
Noble Holding International Ltd. | 6.050% | 3/1/41 | 350 | 353 |
Noble Holding International Ltd. | 5.250% | 3/15/42 | 465 | 424 |
Petro-Canada | 7.875% | 6/15/26 | 270 | 354 |
Petro-Canada | 7.000% | 11/15/28 | 145 | 182 |
Petro-Canada | 5.350% | 7/15/33 | 345 | 350 |
Petro-Canada | 5.950% | 5/15/35 | 645 | 697 |
Petro-Canada | 6.800% | 5/15/38 | 760 | 907 |
Phillips 66 | 5.875% | 5/1/42 | 1,495 | 1,585 |
Pioneer Natural Resources Co. | 7.200% | 1/15/28 | 275 | 327 |
Pride International Inc. | 7.875% | 8/15/40 | 485 | 651 |
Rowan Cos. Inc. | 5.400% | 12/1/42 | 625 | 563 |
Shell International Finance BV | 6.375% | 12/15/38 | 2,245 | 2,802 |
Shell International Finance BV | 5.500% | 3/25/40 | 895 | 1,017 |
Shell International Finance BV | 3.625% | 8/21/42 | 550 | 466 |
Shell International Finance BV | 4.550% | 8/12/43 | 1,100 | 1,095 |
Suncor Energy Inc. | 7.150% | 2/1/32 | 715 | 883 |
Suncor Energy Inc. | 5.950% | 12/1/34 | 525 | 568 |
Suncor Energy Inc. | 6.500% | 6/15/38 | 890 | 1,043 |
Suncor Energy Inc. | 6.850% | 6/1/39 | 770 | 920 |
Talisman Energy Inc. | 7.250% | 10/15/27 | 235 | 268 |
Talisman Energy Inc. | 5.850% | 2/1/37 | 1,045 | 1,014 |
162
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Talisman Energy Inc. | 6.250% | 2/1/38 | 650 | 673 |
Talisman Energy Inc. | 5.500% | 5/15/42 | 172 | 162 |
Tosco Corp. | 7.800% | 1/1/27 | 315 | 418 |
Tosco Corp. | 8.125% | 2/15/30 | 620 | 854 |
Total Capital International SA | 3.700% | 1/15/24 | 975 | 962 |
Transocean Inc. | 7.500% | 4/15/31 | 755 | 834 |
Transocean Inc. | 6.800% | 3/15/38 | 785 | 834 |
Transocean Inc. | 7.350% | 12/15/41 | 405 | 464 |
Valero Energy Corp. | 7.500% | 4/15/32 | 780 | 909 |
Valero Energy Corp. | 6.625% | 6/15/37 | 965 | 1,047 |
Valero Energy Corp. | 10.500% | 3/15/39 | 40 | 59 |
Weatherford International Ltd. | 6.800% | 6/15/37 | 310 | 319 |
Weatherford International Ltd. | 6.500% | 8/1/36 | 655 | 652 |
Weatherford International Ltd. | 7.000% | 3/15/38 | 348 | 363 |
Weatherford International Ltd. | 9.875% | 3/1/39 | 255 | 342 |
Weatherford International Ltd. | 6.750% | 9/15/40 | 805 | 829 |
Weatherford International Ltd. | 5.950% | 4/15/42 | 30 | 29 |
XTO Energy Inc. | 6.750% | 8/1/37 | 205 | 273 |
Other Industrial (0.4%) | ||||
California Institute of Technology GO | 4.700% | 11/1/11 | 435 | 395 |
Howard Hughes Medical Institute | 3.500% | 9/1/23 | 1,200 | 1,183 |
1 Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 400 | 361 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 730 | 861 |
President & Fellows of Harvard College | 3.619% | 10/1/37 | 700 | 608 |
University of Pennsylvania GO | 4.674% | 9/1/12 | 275 | 246 |
Technology (3.4%) | ||||
Apple Inc. | 3.850% | 5/4/43 | 2,575 | 2,180 |
Applied Materials Inc. | 5.850% | 6/15/41 | 590 | 613 |
Cisco Systems Inc. | 5.900% | 2/15/39 | 2,010 | 2,340 |
Cisco Systems Inc. | 5.500% | 1/15/40 | 2,025 | 2,252 |
Corning Inc. | 7.250% | 8/15/36 | 35 | 41 |
Corning Inc. | 4.700% | 3/15/37 | 385 | 358 |
Corning Inc. | 5.750% | 8/15/40 | 890 | 983 |
Corning Inc. | 4.750% | 3/15/42 | 530 | 520 |
Dell Inc. | 7.100% | 4/15/28 | 265 | 255 |
Dell Inc. | 6.500% | 4/15/38 | 460 | 415 |
Dell Inc. | 5.400% | 9/10/40 | 335 | 267 |
Harris Corp. | 6.150% | 12/15/40 | 400 | 431 |
Hewlett-Packard Co. | 6.000% | 9/15/41 | 760 | 699 |
Intel Corp. | 4.000% | 12/15/32 | 925 | 865 |
Intel Corp. | 4.800% | 10/1/41 | 1,580 | 1,538 |
Intel Corp. | 4.250% | 12/15/42 | 700 | 626 |
International Business Machines Corp. | 7.000% | 10/30/25 | 645 | 829 |
International Business Machines Corp. | 6.220% | 8/1/27 | 590 | 716 |
International Business Machines Corp. | 6.500% | 1/15/28 | 225 | 278 |
International Business Machines Corp. | 5.875% | 11/29/32 | 855 | 1,015 |
International Business Machines Corp. | 5.600% | 11/30/39 | 240 | 275 |
International Business Machines Corp. | 4.000% | 6/20/42 | 609 | 557 |
Juniper Networks Inc. | 5.950% | 3/15/41 | 570 | 583 |
Microsoft Corp. | 5.200% | 6/1/39 | 1,030 | 1,092 |
Microsoft Corp. | 4.500% | 10/1/40 | 250 | 243 |
Microsoft Corp. | 5.300% | 2/8/41 | 1,720 | 1,848 |
Microsoft Corp. | 3.500% | 11/15/42 | 880 | 718 |
163
Long-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Microsoft Corp. | 3.750% | 5/1/43 | 335 | 289 | |
Motorola Solutions Inc. | 7.500% | 5/15/25 | 196 | 233 | |
Oracle Corp. | 6.500% | 4/15/38 | 1,270 | 1,574 | |
Oracle Corp. | 6.125% | 7/8/39 | 940 | 1,120 | |
Oracle Corp. | 5.375% | 7/15/40 | 1,716 | 1,886 | |
SAIC Inc. | 5.950% | 12/1/40 | 60 | 60 | |
Science Applications International Corp. | 5.500% | 7/1/33 | 365 | 346 | |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 370 | 438 | |
Xerox Corp. | 6.750% | 12/15/39 | 310 | 341 | |
Transportation (3.2%) | |||||
1,2 | American Airlines 2013-1 Class A | ||||
Pass Through Trust | 4.000% | 1/15/27 | 385 | 357 | |
1 | BNSF Funding Trust I | 6.613% | 12/15/55 | 620 | 701 |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 60 | 74 | |
Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 50 | 65 | |
Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 320 | 362 | |
Burlington Northern Santa Fe LLC | 6.150% | 5/1/37 | 675 | 762 | |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 960 | 1,052 | |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 605 | 604 | |
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 620 | 646 | |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 270 | 244 | |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 1,355 | 1,219 | |
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 570 | 519 | |
Canadian National Railway Co. | 6.900% | 7/15/28 | 460 | 580 | |
Canadian National Railway Co. | 6.250% | 8/1/34 | 45 | 54 | |
Canadian National Railway Co. | 6.200% | 6/1/36 | 475 | 576 | |
Canadian National Railway Co. | 6.375% | 11/15/37 | 180 | 225 | |
Canadian National Railway Co. | 3.500% | 11/15/42 | 500 | 407 | |
Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 395 | 486 | |
Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 845 | 935 | |
Canadian Pacific Railway Ltd. | 5.750% | 1/15/42 | 360 | 394 | |
Con-way Inc. | 6.700% | 5/1/34 | 355 | 354 | |
1 | Continental Airlines 2012-1 Class A | ||||
Pass Through Trust | 4.150% | 10/11/25 | 540 | 531 | |
1 | Continental Airlines 2012-2 Class A | ||||
Pass Through Trust | 4.000% | 4/29/26 | 625 | 607 | |
CSX Corp. | 6.000% | 10/1/36 | 575 | 639 | |
CSX Corp. | 6.150% | 5/1/37 | 410 | 466 | |
CSX Corp. | 6.220% | 4/30/40 | 515 | 595 | |
CSX Corp. | 5.500% | 4/15/41 | 570 | 605 | |
CSX Corp. | 4.750% | 5/30/42 | 240 | 230 | |
CSX Corp. | 4.400% | 3/1/43 | 500 | 452 | |
CSX Corp. | 4.100% | 3/15/44 | 450 | 388 | |
FedEx Corp. | 3.875% | 8/1/42 | 285 | 238 | |
FedEx Corp. | 4.100% | 4/15/43 | 450 | 390 | |
1 | Hawaiian Airlines 2013-1 Class A | ||||
Pass Through Certificates | 3.900% | 1/15/26 | 325 | 298 | |
2 | Kansas City Southern Railway | 4.300% | 5/15/43 | 475 | 417 |
Norfolk Southern Corp. | 5.590% | 5/17/25 | 424 | 471 | |
Norfolk Southern Corp. | 7.250% | 2/15/31 | 230 | 289 | |
Norfolk Southern Corp. | 7.050% | 5/1/37 | 300 | 381 | |
Norfolk Southern Corp. | 4.837% | 10/1/41 | 593 | 581 | |
Norfolk Southern Corp. | 3.950% | 10/1/42 | 475 | 407 | |
Norfolk Southern Corp. | 4.800% | 8/15/43 | 225 | 221 | |
164 |
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Norfolk Southern Corp. | 7.900% | 5/15/97 | 350 | 490 |
Norfolk Southern Corp. | 6.000% | 3/15/05 | 502 | 540 |
Norfolk Southern Corp. | 6.000% | 5/23/11 | 550 | 597 |
Union Pacific Corp. | 6.625% | 2/1/29 | 610 | 748 |
Union Pacific Corp. | 4.750% | 9/15/41 | 450 | 450 |
Union Pacific Corp. | 4.300% | 6/15/42 | 600 | 561 |
Union Pacific Corp. | 4.250% | 4/15/43 | 425 | 391 |
2 Union Pacific Corp. | 4.821% | 2/1/44 | 392 | 393 |
1 United Airlines 2013-1 Class A | ||||
Pass Through Trust | 4.300% | 2/15/27 | 750 | 733 |
United Parcel Service Inc. | 6.200% | 1/15/38 | 850 | 1,041 |
United Parcel Service Inc. | 4.875% | 11/15/40 | 720 | 750 |
United Parcel Service Inc. | 3.625% | 10/1/42 | 175 | 150 |
United Parcel Service of America Inc. | 8.375% | 4/1/30 | 25 | 34 |
1 US Airways 2012-1 Class A Pass Through Trust | 5.900% | 4/1/26 | 399 | 418 |
1 US Airways 2013-1 Class A Pass Through Trust | 3.950% | 5/15/27 | 450 | 418 |
1 US Airways Inc. 2012-2 Class A | ||||
Pass Through Trust | 4.625% | 12/3/26 | 325 | 314 |
528,317 | ||||
Utilities (17.8%) | ||||
Electric (12.5%) | ||||
AEP Texas Central Co. | 6.650% | 2/15/33 | 325 | 374 |
Alabama Power Co. | 5.650% | 3/15/35 | 525 | 546 |
Alabama Power Co. | 6.000% | 3/1/39 | 445 | 524 |
Alabama Power Co. | 5.500% | 3/15/41 | 345 | 385 |
Alabama Power Co. | 5.200% | 6/1/41 | 480 | 514 |
Alabama Power Co. | 4.100% | 1/15/42 | 215 | 195 |
Alabama Power Co. | 3.850% | 12/1/42 | 500 | 432 |
Appalachian Power Co. | 5.800% | 10/1/35 | 500 | 536 |
Appalachian Power Co. | 6.375% | 4/1/36 | 335 | 380 |
Appalachian Power Co. | 7.000% | 4/1/38 | 305 | 368 |
Arizona Public Service Co. | 5.500% | 9/1/35 | 30 | 32 |
Arizona Public Service Co. | 5.050% | 9/1/41 | 1,045 | 1,092 |
Arizona Public Service Co. | 4.500% | 4/1/42 | 235 | 227 |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 570 | 676 |
CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 30 | 39 |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 75 | 64 |
Cleco Power LLC | 6.500% | 12/1/35 | 330 | 378 |
Cleco Power LLC | 6.000% | 12/1/40 | 235 | 260 |
Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 425 | 462 |
CMS Energy Corp. | 4.700% | 3/31/43 | 175 | 160 |
Commonwealth Edison Co. | 5.875% | 2/1/33 | 185 | 211 |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 510 | 599 |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 770 | 664 |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 351 | 426 |
Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 490 | 538 |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 525 | 609 |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 160 | 193 |
Consolidated Edison Co. of New York Inc. | 5.700% | 12/1/36 | 1,000 | 1,144 |
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 375 | 459 |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 475 | 609 |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 650 | 731 |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 335 | 385 |
Consumers Energy Co. | 3.950% | 5/15/43 | 525 | 473 |
Delmarva Power & Light Co. | 4.000% | 6/1/42 | 60 | 55 |
165
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Dominion Resources Inc. | 6.300% | 3/15/33 | 290 | 340 |
Dominion Resources Inc. | 5.250% | 8/1/33 | 248 | 267 |
Dominion Resources Inc. | 5.950% | 6/15/35 | 560 | 642 |
Dominion Resources Inc. | 7.000% | 6/15/38 | 480 | 612 |
Dominion Resources Inc. | 4.900% | 8/1/41 | 450 | 454 |
Dominion Resources Inc. | 4.050% | 9/15/42 | 250 | 220 |
DTE Electric Co. | 3.650% | 3/15/24 | 625 | 626 |
DTE Electric Co. | 6.625% | 6/1/36 | 100 | 128 |
DTE Electric Co. | 3.950% | 6/15/42 | 200 | 180 |
DTE Electric Co. | 4.000% | 4/1/43 | 400 | 367 |
DTE Energy Co. | 6.375% | 4/15/33 | 545 | 628 |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 550 | 628 |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 450 | 540 |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 175 | 203 |
Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 480 | 572 |
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 575 | 679 |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 660 | 721 |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 440 | 411 |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 575 | 520 |
Duke Energy Florida Inc. | 6.350% | 9/15/37 | 295 | 363 |
Duke Energy Florida Inc. | 6.400% | 6/15/38 | 670 | 826 |
Duke Energy Florida Inc. | 5.650% | 4/1/40 | 445 | 507 |
Duke Energy Florida Inc. | 3.850% | 11/15/42 | 430 | 377 |
Duke Energy Indiana Inc. | 6.120% | 10/15/35 | 560 | 609 |
Duke Energy Indiana Inc. | 6.350% | 8/15/38 | 480 | 588 |
Duke Energy Indiana Inc. | 6.450% | 4/1/39 | 250 | 310 |
Duke Energy Indiana Inc. | 4.200% | 3/15/42 | 450 | 414 |
Duke Energy Indiana Inc. | 4.900% | 7/15/43 | 100 | 103 |
Duke Energy Progress Inc. | 4.100% | 5/15/42 | 670 | 613 |
Duke Energy Progress Inc. | 4.100% | 3/15/43 | 600 | 548 |
El Paso Electric Co. | 6.000% | 5/15/35 | 55 | 58 |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 535 | 596 |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 290 | 327 |
Entergy Louisiana LLC | 4.440% | 1/15/26 | 110 | 112 |
Exelon Corp. | 5.625% | 6/15/35 | 550 | 562 |
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 540 | 570 |
Exelon Generation Co. LLC | 5.750% | 10/1/41 | 445 | 446 |
Exelon Generation Co. LLC | 5.600% | 6/15/42 | 738 | 717 |
FirstEnergy Solutions Corp. | 6.800% | 8/15/39 | 75 | 75 |
Florida Power & Light Co. | 5.950% | 10/1/33 | 45 | 55 |
Florida Power & Light Co. | 5.625% | 4/1/34 | 50 | 57 |
Florida Power & Light Co. | 4.950% | 6/1/35 | 565 | 605 |
Florida Power & Light Co. | 5.400% | 9/1/35 | 70 | 79 |
Florida Power & Light Co. | 6.200% | 6/1/36 | 40 | 48 |
Florida Power & Light Co. | 5.650% | 2/1/37 | 425 | 487 |
Florida Power & Light Co. | 5.850% | 5/1/37 | 245 | 288 |
Florida Power & Light Co. | 5.950% | 2/1/38 | 560 | 663 |
Florida Power & Light Co. | 5.960% | 4/1/39 | 760 | 911 |
Florida Power & Light Co. | 5.690% | 3/1/40 | 555 | 644 |
Florida Power & Light Co. | 5.250% | 2/1/41 | 785 | 860 |
Florida Power & Light Co. | 5.125% | 6/1/41 | 185 | 201 |
Florida Power & Light Co. | 4.125% | 2/1/42 | 395 | 371 |
Florida Power & Light Co. | 4.050% | 6/1/42 | 870 | 809 |
Florida Power & Light Co. | 3.800% | 12/15/42 | 425 | 378 |
Georgia Power Co. | 5.650% | 3/1/37 | 545 | 599 |
166
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Georgia Power Co. | 5.950% | 2/1/39 | 365 | 415 |
Georgia Power Co. | 5.400% | 6/1/40 | 575 | 611 |
Georgia Power Co. | 4.750% | 9/1/40 | 230 | 225 |
Georgia Power Co. | 4.300% | 3/15/42 | 250 | 227 |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 330 | 360 |
Interstate Power & Light Co. | 6.250% | 7/15/39 | 300 | 364 |
ITC Holdings Corp. | 5.300% | 7/1/43 | 725 | 718 |
Jersey Central Power & Light Co. | 6.150% | 6/1/37 | 400 | 416 |
1 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 715 | 712 |
Kansas City Power & Light Co. | 6.050% | 11/15/35 | 30 | 33 |
Kansas City Power & Light Co. | 5.300% | 10/1/41 | 710 | 731 |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 785 | 856 |
Louisville Gas & Electric Co. | 5.125% | 11/15/40 | 45 | 49 |
MidAmerican Energy Co. | 6.750% | 12/30/31 | 350 | 434 |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 430 | 485 |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 315 | 358 |
MidAmerican Energy Holdings Co. | 8.480% | 9/15/28 | 288 | 398 |
MidAmerican Energy Holdings Co. | 6.125% | 4/1/36 | 1,210 | 1,374 |
MidAmerican Energy Holdings Co. | 5.950% | 5/15/37 | 560 | 630 |
MidAmerican Energy Holdings Co. | 6.500% | 9/15/37 | 1,350 | 1,596 |
Midamerican Funding LLC | 6.927% | 3/1/29 | 350 | 430 |
Mississippi Power Co. | 4.250% | 3/15/42 | 590 | 520 |
National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 580 | 793 |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 311 | 300 |
Nevada Power Co. | 6.650% | 4/1/36 | 375 | 470 |
Nevada Power Co. | 6.750% | 7/1/37 | 390 | 495 |
Nevada Power Co. | 5.375% | 9/15/40 | 410 | 450 |
Nevada Power Co. | 5.450% | 5/15/41 | 435 | 486 |
Northern States Power Co. | 5.250% | 7/15/35 | 45 | 49 |
Northern States Power Co. | 6.250% | 6/1/36 | 400 | 493 |
Northern States Power Co. | 6.200% | 7/1/37 | 220 | 271 |
Northern States Power Co. | 5.350% | 11/1/39 | 575 | 640 |
Northern States Power Co. | 4.850% | 8/15/40 | 190 | 197 |
Northern States Power Co. | 3.400% | 8/15/42 | 450 | 373 |
NSTAR Electric Co. | 5.500% | 3/15/40 | 45 | 51 |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 280 | 317 |
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 445 | 460 |
Ohio Edison Co. | 6.875% | 7/15/36 | 345 | 395 |
Ohio Power Co. | 6.600% | 2/15/33 | 70 | 83 |
Ohio Power Co. | 5.850% | 10/1/35 | 250 | 272 |
Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 320 | 371 |
Oklahoma Gas & Electric Co. | 5.250% | 5/15/41 | 30 | 33 |
Oklahoma Gas & Electric Co. | 3.900% | 5/1/43 | 475 | 418 |
Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 575 | 720 |
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 40 | 51 |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 120 | 158 |
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 445 | 470 |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 45 | 43 |
Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 360 | 383 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 1,745 | 1,976 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 1,295 | 1,430 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 160 | 186 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 595 | 687 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 445 | 465 |
Pacific Gas & Electric Co. | 4.500% | 12/15/41 | 925 | 850 |
167
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 920 | 845 |
Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 600 | 568 |
PacifiCorp | 7.700% | 11/15/31 | 120 | 162 |
PacifiCorp | 5.250% | 6/15/35 | 45 | 49 |
PacifiCorp | 6.100% | 8/1/36 | 485 | 584 |
PacifiCorp | 5.750% | 4/1/37 | 85 | 98 |
PacifiCorp | 6.250% | 10/15/37 | 425 | 522 |
PacifiCorp | 6.000% | 1/15/39 | 755 | 905 |
PacifiCorp | 4.100% | 2/1/42 | 185 | 172 |
Peco Energy Co. | 5.950% | 10/1/36 | 650 | 767 |
Pennsylvania Electric Co. | 6.150% | 10/1/38 | 405 | 430 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 420 | 531 |
Potomac Electric Power Co. | 7.900% | 12/15/38 | 45 | 65 |
PPL Capital Funding Inc. | 4.700% | 6/1/43 | 350 | 316 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 245 | 300 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 545 | 593 |
PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 125 | 128 |
Progress Energy Inc. | 7.750% | 3/1/31 | 560 | 722 |
Progress Energy Inc. | 7.000% | 10/30/31 | 535 | 645 |
Progress Energy Inc. | 6.000% | 12/1/39 | 595 | 663 |
PSEG Power LLC | 8.625% | 4/15/31 | 455 | 626 |
Public Service Co. of Colorado | 6.250% | 9/1/37 | 500 | 627 |
Public Service Co. of Colorado | 6.500% | 8/1/38 | 45 | 57 |
Public Service Co. of Colorado | 4.750% | 8/15/41 | 255 | 263 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 325 | 278 |
Public Service Co. of Colorado | 3.950% | 3/15/43 | 375 | 341 |
Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 25 | 29 |
Public Service Electric & Gas Co. | 5.700% | 12/1/36 | 350 | 406 |
Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 605 | 708 |
Public Service Electric & Gas Co. | 5.375% | 11/1/39 | 555 | 620 |
Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 475 | 433 |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 350 | 303 |
Public Service Electric & Gas Co. | 3.800% | 1/1/43 | 325 | 292 |
Puget Sound Energy Inc. | 7.020% | 12/1/27 | 525 | 664 |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 50 | 55 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 385 | 465 |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 70 | 81 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 190 | 221 |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 40 | 46 |
Puget Sound Energy Inc. | 5.638% | 4/15/41 | 195 | 223 |
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 485 | 469 |
San Diego Gas & Electric Co. | 6.000% | 6/1/26 | 670 | 816 |
San Diego Gas & Electric Co. | 5.350% | 5/15/35 | 465 | 522 |
San Diego Gas & Electric Co. | 6.125% | 9/15/37 | 45 | 56 |
San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 305 | 373 |
San Diego Gas & Electric Co. | 5.350% | 5/15/40 | 20 | 23 |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 405 | 411 |
San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 430 | 398 |
San Diego Gas & Electric Co. | 4.300% | 4/1/42 | 60 | 58 |
Scottish Power Ltd. | 5.810% | 3/15/25 | 600 | 615 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 450 | 547 |
South Carolina Electric & Gas Co. | 5.300% | 5/15/33 | 30 | 32 |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 115 | 134 |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 265 | 292 |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 755 | 709 |
168
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 850 | 827 |
Southern California Edison Co. | 6.650% | 4/1/29 | 45 | 55 |
Southern California Edison Co. | 6.000% | 1/15/34 | 405 | 486 |
Southern California Edison Co. | 5.750% | 4/1/35 | 70 | 81 |
Southern California Edison Co. | 5.350% | 7/15/35 | 370 | 409 |
Southern California Edison Co. | 5.550% | 1/15/36 | 20 | 23 |
Southern California Edison Co. | 5.625% | 2/1/36 | 40 | 46 |
Southern California Edison Co. | 5.550% | 1/15/37 | 820 | 932 |
Southern California Edison Co. | 5.950% | 2/1/38 | 730 | 869 |
Southern California Edison Co. | 6.050% | 3/15/39 | 975 | 1,176 |
Southern California Edison Co. | 5.500% | 3/15/40 | 95 | 109 |
Southern California Edison Co. | 4.500% | 9/1/40 | 690 | 682 |
Southern California Edison Co. | 3.900% | 12/1/41 | 545 | 496 |
Southern California Edison Co. | 3.900% | 3/15/43 | 425 | 384 |
Southern Power Co. | 5.150% | 9/15/41 | 730 | 723 |
Southern Power Co. | 5.250% | 7/15/43 | 500 | 502 |
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 320 | 360 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 550 | 534 |
Tampa Electric Co. | 6.550% | 5/15/36 | 255 | 316 |
Tampa Electric Co. | 6.150% | 5/15/37 | 340 | 404 |
Tampa Electric Co. | 4.100% | 6/15/42 | 200 | 184 |
Toledo Edison Co. | 6.150% | 5/15/37 | 470 | 516 |
TransAlta Corp. | 6.500% | 3/15/40 | 375 | 369 |
Union Electric Co. | 5.300% | 8/1/37 | 45 | 49 |
Union Electric Co. | 8.450% | 3/15/39 | 500 | 748 |
Union Electric Co. | 3.900% | 9/15/42 | 555 | 494 |
Virginia Electric & Power Co. | 6.000% | 1/15/36 | 605 | 716 |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 490 | 580 |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 565 | 695 |
Virginia Electric & Power Co. | 8.875% | 11/15/38 | 540 | 843 |
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 605 | 555 |
Westar Energy Inc. | 4.125% | 3/1/42 | 490 | 453 |
Westar Energy Inc. | 4.100% | 4/1/43 | 250 | 231 |
Westar Energy Inc. | 4.625% | 9/1/43 | 250 | 253 |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 455 | 518 |
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 340 | 393 |
Wisconsin Electric Power Co. | 3.650% | 12/15/42 | 225 | 195 |
Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 609 | 738 |
Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 400 | 349 |
Xcel Energy Inc. | 6.500% | 7/1/36 | 350 | 427 |
Xcel Energy Inc. | 4.800% | 9/15/41 | 325 | 321 |
Natural Gas (5.0%) | ||||
AGL Capital Corp. | 6.000% | 10/1/34 | 175 | 197 |
AGL Capital Corp. | 5.875% | 3/15/41 | 605 | 678 |
AGL Capital Corp. | 4.400% | 6/1/43 | 700 | 645 |
Atmos Energy Corp. | 5.500% | 6/15/41 | 525 | 573 |
Atmos Energy Corp. | 4.150% | 1/15/43 | 650 | 592 |
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 230 | 279 |
CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 254 | 291 |
DCP Midstream LLC | 8.125% | 8/16/30 | 495 | 610 |
El Paso Natural Gas Co. LLC | 8.375% | 6/15/32 | 400 | 522 |
El Paso Pipeline Partners Operating Co. LLC | 7.500% | 11/15/40 | 400 | 484 |
El Paso Pipeline Partners Operating Co. LLC | 4.700% | 11/1/42 | 575 | 506 |
Enbridge Energy Partners LP | 7.500% | 4/15/38 | 640 | 768 |
169
Long-Term Corporate Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Enbridge Energy Partners LP | 5.500% | 9/15/40 | 400 | 397 | |
2 | Energy Transfer Partners LP | 7.600% | 2/1/24 | 255 | 306 |
2 | Energy Transfer Partners LP | 8.250% | 11/15/29 | 264 | 324 |
Energy Transfer Partners LP | 6.625% | 10/15/36 | 425 | 456 | |
Energy Transfer Partners LP | 7.500% | 7/1/38 | 555 | 639 | |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 656 | 666 | |
Energy Transfer Partners LP | 6.500% | 2/1/42 | 1,205 | 1,290 | |
Energy Transfer Partners LP | 5.150% | 2/1/43 | 475 | 436 | |
Enterprise Products Operating LLC | 6.875% | 3/1/33 | 890 | 1,065 | |
Enterprise Products Operating LLC | 6.650% | 10/15/34 | 160 | 188 | |
Enterprise Products Operating LLC | 5.750% | 3/1/35 | 250 | 267 | |
Enterprise Products Operating LLC | 7.550% | 4/15/38 | 390 | 498 | |
Enterprise Products Operating LLC | 6.125% | 10/15/39 | 560 | 623 | |
Enterprise Products Operating LLC | 6.450% | 9/1/40 | 510 | 591 | |
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 675 | 739 | |
Enterprise Products Operating LLC | 5.700% | 2/15/42 | 670 | 712 | |
Enterprise Products Operating LLC | 4.850% | 8/15/42 | 590 | 560 | |
Enterprise Products Operating LLC | 4.450% | 2/15/43 | 800 | 723 | |
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 250 | 239 | |
KeySpan Corp. | 8.000% | 11/15/30 | 240 | 310 | |
KeySpan Corp. | 5.803% | 4/1/35 | 65 | 68 | |
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 575 | 535 | |
Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 350 | 416 | |
Kinder Morgan Energy Partners LP | 7.750% | 3/15/32 | 300 | 368 | |
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 575 | 685 | |
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 525 | 540 | |
Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 765 | 850 | |
Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 1,025 | 1,209 | |
Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 855 | 950 | |
Kinder Morgan Energy Partners LP | 6.375% | 3/1/41 | 525 | 579 | |
Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 540 | 541 | |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 400 | 370 | |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 500 | 466 | |
Magellan Midstream Partners LP | 6.400% | 5/1/37 | 265 | 304 | |
Magellan Midstream Partners LP | 4.200% | 12/1/42 | 250 | 217 | |
Nisource Finance Corp. | 6.250% | 12/15/40 | 590 | 646 | |
Nisource Finance Corp. | 5.950% | 6/15/41 | 565 | 590 | |
Nisource Finance Corp. | 5.800% | 2/1/42 | 25 | 26 | |
Nisource Finance Corp. | 5.250% | 2/15/43 | 470 | 450 | |
ONEOK Inc. | 6.000% | 6/15/35 | 490 | 453 | |
ONEOK Partners LP | 6.650% | 10/1/36 | 600 | 645 | |
ONEOK Partners LP | 6.850% | 10/15/37 | 685 | 764 | |
ONEOK Partners LP | 6.125% | 2/1/41 | 495 | 507 | |
Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 325 | 326 | |
Plains All American Pipeline LP / PAA | |||||
Finance Corp. | 6.700% | 5/15/36 | 265 | 315 | |
Plains All American Pipeline LP / PAA | |||||
Finance Corp. | 6.650% | 1/15/37 | 460 | 548 | |
Plains All American Pipeline LP / PAA | |||||
Finance Corp. | 5.150% | 6/1/42 | 345 | 348 | |
Plains All American Pipeline LP / PAA | |||||
Finance Corp. | 4.300% | 1/31/43 | 125 | 112 | |
Sempra Energy | 6.000% | 10/15/39 | 765 | 850 | |
Southern California Gas Co. | 5.750% | 11/15/35 | 25 | 29 | |
Southern California Gas Co. | 3.750% | 9/15/42 | 475 | 423 | |
170 |
Long-Term Corporate Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Southern Natural Gas Co. LLC | 8.000% | 3/1/32 | 270 | 348 |
Spectra Energy Capital LLC | 7.500% | 9/15/38 | 360 | 424 |
Sunoco Logistics Partners Operations LP | 6.850% | 2/15/40 | 235 | 265 |
Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 325 | 337 |
Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 400 | 360 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 310 | 371 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 65 | 78 |
Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 235 | 305 |
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 265 | 318 |
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 360 | 393 |
TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 485 | 543 |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 890 | 1,031 |
TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 875 | 1,130 |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 312 | 417 |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 745 | 864 |
Transcontinental Gas Pipe Line Co. LLC | 5.400% | 8/15/41 | 300 | 307 |
Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 485 | 440 |
Williams Cos. Inc. | 7.500% | 1/15/31 | 287 | 325 |
Williams Cos. Inc. | 7.750% | 6/15/31 | 256 | 294 |
Williams Cos. Inc. | 8.750% | 3/15/32 | 476 | 598 |
Williams Partners LP | 6.300% | 4/15/40 | 530 | 555 |
Other Utility (0.3%) | ||||
American Water Capital Corp. | 6.593% | 10/15/37 | 855 | 1,050 |
American Water Capital Corp. | 4.300% | 12/1/42 | 75 | 68 |
United Utilities plc | 6.875% | 8/15/28 | 445 | 483 |
Veolia Environnement SA | 6.750% | 6/1/38 | 625 | 691 |
150,630 | ||||
Total Corporate Bonds (Cost $898,272) | 833,720 | |||
Taxable Municipal Bonds (0.2%) | ||||
Harvard University Massachusetts GO | 4.875% | 10/15/40 | 425 | 449 |
New York University Hospitals Center Revenue | 4.428% | 7/1/42 | 350 | 291 |
New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 350 | 356 |
President & Fellows of Harvard College | ||||
Massachusetts GO | 6.300% | 10/1/37 | 65 | 73 |
Princeton University New Jersey GO | 5.700% | 3/1/39 | 510 | 595 |
Tufts University Massachusetts GO | 5.017% | 4/15/12 | 225 | 213 |
University of Southern California Revenue | 5.250% | 10/1/11 | 265 | 290 |
Total Taxable Municipal Bonds (Cost $2,472) | 2,267 | |||
Shares | ||||
Temporary Cash Investment (0.5%) | ||||
Money Market Fund (0.5%) | ||||
3 Vanguard Market Liquidity Fund (Cost $4,105) | 0.122% | 4,105,393 | 4,105 | |
Total Investments (99.3%) (Cost $907,152) | 842,401 | |||
Other Assets and Liabilities (0.7%) | ||||
Other Assets | 14,844 | |||
Liabilities | (9,068) | |||
5,776 | ||||
Net Assets (100%) | 848,177 |
171
Long-Term Corporate Bond Index Fund | |
At August 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 915,413 |
Overdistributed Net Investment Income | (8) |
Accumulated Net Realized Losses | (2,477) |
Unrealized Appreciation (Depreciation) | (64,751) |
Net Assets | 848,177 |
Signal Shares—Net Assets | |
Applicable to 826,303 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 18,212 |
Net Asset Value Per Share—Signal Shares | $22.04 |
Institutional Shares—Net Assets | |
Applicable to 7,526,462 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 205,962 |
Net Asset Value Per Share—Institutional Shares | $27.37 |
ETF Shares—Net Assets | |
Applicable to 7,600,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 624,003 |
Net Asset Value Per Share—ETF Shares | $82.11 |
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, 2013, the aggregate value of these securities was $6,878,000, representing 0.8% of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
172
Long-Term Corporate Bond Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 55,265 |
Total Income | 55,265 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 36 |
Management and Administrative—Signal Shares | 15 |
Management and Administrative—Institutional Shares | 121 |
Management and Administrative—ETF Shares | 763 |
Marketing and Distribution—Signal Shares | 4 |
Marketing and Distribution—Institutional Shares | 47 |
Marketing and Distribution—ETF Shares | 277 |
Custodian Fees | 13 |
Auditing Fees | 42 |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 62 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,381 |
Net Investment Income | 53,884 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 26,138 |
Futures Contracts | 48 |
Realized Net Gain (Loss) | 26,186 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (148,334) |
Futures Contracts | (80) |
Change in Unrealized Appreciation (Depreciation) | (148,414) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (68,344) |
1 Interest income from an affiliated company of the fund was $7,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
173
Long-Term Corporate Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 53,884 | 31,300 |
Realized Net Gain (Loss) | 26,186 | 2,495 |
Change in Unrealized Appreciation (Depreciation) | (148,414) | 78,890 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (68,344) | 112,685 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (769) | (548) |
Institutional Shares | (9,371) | (1,254) |
ETF Shares | (43,744) | (29,507) |
Realized Capital Gain1 | ||
Signal Shares | (38) | — |
Institutional Shares | (527) | — |
ETF Shares | (2,822) | — |
Total Distributions | (57,271) | (31,309) |
Capital Share Transactions | ||
Signal Shares | 5,594 | 3,766 |
Institutional Shares | 67,132 | 147,853 |
ETF Shares | (309,830) | 679,038 |
Net Increase (Decrease) from Capital Share Transactions | (237,104) | 830,657 |
Total Increase (Decrease) | (362,719) | 912,033 |
Net Assets | ||
Beginning of Period | 1,210,896 | 298,863 |
End of Period2 | 848,177 | 1,210,896 |
1 Includes fiscal 2013 short-term gain distributions totaling $2,936,000. 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 ($8,000) and ($8,000).
See accompanying Notes, which are an integral part of the Financial Statements.
174
Long-Term Corporate Bond Index Fund | ||||
Financial Highlights | ||||
Signal Shares | ||||
Jan. 19, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $24.74 | $21.69 | $22.00 | $20.12 |
Investment Operations | ||||
Net Investment Income | 1.078 | 1.068 | 1.100 | .680 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (2.640) | 3.051 | (.246) | 1.936 |
Total from Investment Operations | (1.562) | 4.119 | .854 | 2.616 |
Distributions | ||||
Dividends from Net Investment Income | (1.078) | (1.069) | (1.100) | (.736) |
Distributions from Realized Capital Gains | (.060) | — | (.064) | — |
Total Distributions | (1.138) | (1.069) | (1.164) | (.736) |
Net Asset Value, End of Period | $22.04 | $24.74 | $21.69 | $22.00 |
Total Return3 | -6.57% | 19.43% | 4.21% | 13.37% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $18 | $15 | $9 | $4 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14% | 0.15%4 |
Ratio of Net Investment Income to Average Net Assets | 4.47% | 4.73% | 5.36% | 5.65%4 |
Portfolio Turnover Rate5 | 57% | 71% | 110% | 41% |
1 Inception.
2 Includes increases from purchase fees of $.01, $.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.
175
Long-Term Corporate Bond Index Fund | ||||
Financial Highlights | ||||
Institutional Shares | ||||
Nov. 19, | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $30.71 | $26.93 | $27.32 | $24.89 |
Investment Operations | ||||
Net Investment Income | 1.347 | 1.337 | 1.377 | 1.090 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (3.265) | 3.780 | (.308) | 2.428 |
Total from Investment Operations | (1.918) | 5.117 | 1.069 | 3.518 |
Distributions | ||||
Dividends from Net Investment Income | (1.347) | (1.337) | (1.379) | (1.088) |
Distributions from Realized Capital Gains | (.075) | — | (.080) | — |
Total Distributions | (1.422) | (1.337) | (1.459) | (1.088) |
Net Asset Value, End of Period | $27.37 | $30.71 | $26.93 | $27.32 |
Total Return3 | -6.50% | 19.44% | 4.25% | 14.61% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $206 | $164 | $15 | $7 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09%4 |
Ratio of Net Investment Income to Average Net Assets | 4.50% | 4.76% | 5.41% | 5.71%4 |
Portfolio Turnover Rate5 | 57% | 71% | 110% | 41% |
1 Inception.
2 Includes increases from purchase fees of $.01, $.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.
176
Long-Term Corporate Bond Index Fund | ||||
Financial Highlights | ||||
ETF Shares | ||||
Nov. 19, | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $92.15 | $80.80 | $81.96 | $74.67 |
Investment Operations | ||||
Net Investment Income | 4.018 | 3.980 | 4.091 | 3.236 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (9.816) | 11.351 | (.917) | 7.286 |
Total from Investment Operations | (5.798) | 15.331 | 3.174 | 10.522 |
Distributions | ||||
Dividends from Net Investment Income | (4.018) | (3.981) | (4.095) | (3.232) |
Distributions from Realized Capital Gains | (.224) | — | (.239) | — |
Total Distributions | (4.242) | (3.981) | (4.334) | (3.232) |
Net Asset Value, End of Period | $82.11 | $92.15 | $80.80 | $81.96 |
Total Return | -6.55% | 19.40% | 4.19% | 14.54% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $624 | $1,032 | $275 | $66 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.14% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 4.47% | 4.73% | 5.36% | 5.65%3 |
Portfolio Turnover Rate4 | 57% | 71% | 110% | 41% |
1 Inception
2 Includes increases from purchase fees of $.07, $.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.
177
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 may use 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. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades future contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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, 2013, the fund’s average investments in long and short futures contracts each represented less than 1% of net assets, based on quarterly average aggregate settlement values. The fund had no open futures contracts at August 31, 2013.
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, 2010–2013), 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
178
Long-Term Corporate Bond Index Fund
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.
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, 2013, the fund had contributed capital of $121,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.05% 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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 2,309 | — |
Corporate Bonds | — | 833,720 | — |
Taxable Municipal Bonds | — | 2,267 | — |
Temporary Cash Investments | 4,105 | — | — |
Total | 4,105 | 838,296 | — |
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.
179
Long-Term Corporate Bond Index Fund
During the year ended August 31, 2013, the fund realized $26,522,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund 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 reclassified $606,000 from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2013, the fund had available capital losses totaling $1,887,000 that may be carried forward indefinitely to offset future capital gains.
At August 31, 2013, the cost of investment securities for tax purposes was $907,742,000. Net unrealized depreciation of investment securities for tax purposes was $65,341,000, consisting of unrealized gains of $3,259,000 on securities that had risen in value since their purchase and $68,600,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2013, the fund purchased $682,219,000 of investment securities and sold $917,186,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $345,976,000 and $344,031,000, respectively. Total purchases and sales include $287,258,000 and $591,488,000, 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, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 5,284 | 219 | 3,773 | 163 |
Issued in Lieu of Cash Distributions | 805 | 34 | 547 | 23 |
Redeemed | (495) | (21) | (554) | (24) |
Net Increase (Decrease) —Signal Shares | 5,594 | 232 | 3,766 | 162 |
Institutional Shares | ||||
Issued1 | 59,510 | 1,928 | 156,689 | 5,103 |
Issued in Lieu of Cash Distributions | 9,898 | 335 | 1,254 | 43 |
Redeemed | (2,276) | (79) | (10,090) | (352) |
Net Increase (Decrease) —Institutional Shares | 67,132 | 2,184 | 147,853 | 4,794 |
ETF Shares | ||||
Issued1 | 309,262 | 3,400 | 679,038 | 7,800 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (619,092) | (7,000) | — | — |
Net Increase (Decrease)—ETF Shares | (309,830) | (3,600) | 679,038 | 7,800 |
1 Includes purchase fees for fiscal 2013 and 2012 of $647,000 and $238,000, respectively (fund totals). |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition in these financial statements. On October 16, 2013, Signal Shares were renamed Admiral Shares.
180
Mortgage-Backed Securities Index Fund
Fund Profile
As of August 31, 2013
Share-Class Characteristics | |||
Signal | ETF | ||
Shares | Shares | ||
Ticker Symbol | VMBSX | VMBS | |
Expense Ratio1 | 0.12% | 0.12% | |
30-Day SEC Yield | 0.95% | 0.95% | |
Financial Attributes | |||
Barclays | |||
MBS | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 4652 | 774 | 8,445 |
Yield to Maturity | |||
(before expenses) | 3.2% | 3.2% | 2.4% |
Average Coupon | 4.1% | 4.1% | 3.3% |
Average Duration | 5.1 years | 5.3 years | 5.5 years |
Average Effective | |||
Maturity | 7.0 years | 7.1 years | 7.4 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. | |||
Volatility Measures | ||
Barclays | ||
MBS | Barclays | |
Float Adj | Aggregate | |
Index | FA Index | |
R-Squared | 0.98 | 0.76 |
Beta | 1.04 | 0.60 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Distribution by Effective Maturity | ||
(% of portfolio) | ||
Under 1 Year | 1.9% | |
1 - 3 Years | 4.9 | |
3 - 5 Years | 14.0 | |
5 - 10 Years | 71.4 | |
10 - 20 Years | 7.8 | |
Distribution by Credit Quality (% of portfolio) | ||
U.S. Government | 98.1% | |
Aaa | 1.9 | |
For information about these ratings, see the Glossary entry for Credit Quality. | ||
Distribution by Coupon (% of portfolio) | ||
Below 5% | 84.5% | |
5% - 6% | 13.0 | |
Above 6% | 2.5 |
Investment Focus
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx183x1.jpg)
1 The expense ratios shown are from the prospectus dated December 21, 2012, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2013, the expense ratios were 0.12% for Signal Shares, and 0.12% for ETF Shares.
2 Issues are mortgage pools grouped by coupon.
181
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, 2013
Initial Investment of $10,000
![](https://capedge.com/proxy/N-CSR/0000932471-13-008346/ussectorbondx184x1.jpg)
Average Annual Total Returns | ||||
Periods Ended August 31, 2013 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (11/19/2009) | Investment | ||
Mortgage-Backed Securities Index | ||||
Fund ETF Shares Net Asset Value | -2.36% | 2.81% | $11,104 | |
Mortgage-Backed Securities Index | ||||
Fund ETF Shares Market Price | -2.60 | 2.77 | 11,089 | |
Barclays U.S. MBS Float Adjusted | ||||
•••••••• | Index | -2.03 | 2.85 | 11,122 |
– – – – | U.S. Mortgage Funds Average | -1.47 | 3.64 | 11,449 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | -2.41 | 3.91 | 11,560 |
For a benchmark description, see the Glossary.
U.S. Mortgage Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"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.
182
Mortgage-Backed Securities Index Fund | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2013 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (12/3/2009) | Investment | |
Mortgage-Backed Securities Index Fund | |||
Signal Shares | -2.35% | 2.78% | $11,081 |
Barclays U.S. MBS Float Adjusted Index | -2.03 | 2.86 | 11,112 |
Spliced Barclays U.S. Aggregate Float | |||
Adjusted Index | -2.41 | 3.92 | 11,546 |
"Since Inception" performance is calculated from the Signal Shares’ inception date for both the fund and its comparative standards.
Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2013 | ||
Since | ||
One | Inception | |
Year | (11/19/2009) | |
Mortgage-Backed Securities Index Fund ETF Shares | ||
Market Price | -2.60% | 10.89% |
Mortgage-Backed Securities Index Fund ETF Shares | ||
Net Asset Value | -2.36 | 11.04 |
Barclays U.S. MBS Float Adjusted Index | -2.03 | 11.22 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 2013 | ||
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 |
2013 | -2.36 | -2.03 |
183
Mortgage-Backed Securities Index Fund
Average Annual Total Returns: Periods Ended June 30, 2013
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 | -1.07% | 1.71% | 1.30% | 3.01% |
ETF Shares | 11/19/2009 | ||||
Market Price | -1.38 | 3.01 | |||
Net Asset Value | -1.04 | 3.04 |
184
Mortgage-Backed Securities Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2013
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 (99.9%) | |||||
Conventional Mortgage-Backed Securities (96.3%) | |||||
1,2,3 Fannie Mae Pool | 2.000% | 9/1/28 | 2,600 | 2,502 | |
1,2,3 Fannie Mae Pool | 2.500% | 6/1/27–1/1/43 | 15,605 | 15,382 | |
1,2,3 Fannie Mae Pool | 3.000% | 10/1/26–9/1/43 | 47,983 | 47,220 | |
1,2,3 Fannie Mae Pool | 3.500% | 10/1/21–9/1/43 | 60,125 | 60,708 | |
1,2,3 Fannie Mae Pool | 4.000% | 7/1/18–9/1/43 | 52,669 | 54,730 | |
2,3 | Fannie Mae Pool | 4.500% | 4/1/15–9/1/43 | 38,036 | 40,298 |
2,3 | Fannie Mae Pool | 5.000% | 12/1/14–10/1/43 | 30,705 | 33,111 |
2,3 | Fannie Mae Pool | 5.500% | 12/1/16–9/1/43 | 24,787 | 27,077 |
2,3 | Fannie Mae Pool | 6.000% | 12/1/13–10/1/43 | 17,633 | 19,464 |
2,3 | Fannie Mae Pool | 6.500% | 4/1/16–9/1/43 | 7,373 | 8,259 |
2,3 | Fannie Mae Pool | 7.000% | 12/1/15–10/1/37 | 1,243 | 1,417 |
2,3 | Fannie Mae Pool | 7.500% | 11/1/22 | 16 | 19 |
2,3 | Freddie Mac Gold Pool | 2.000% | 8/1/28 | 975 | 939 |
2,3 | Freddie Mac Gold Pool | 2.500% | 6/1/28–2/1/43 | 12,240 | 12,038 |
1,2,3 Freddie Mac Gold Pool | 3.000% | 1/1/27–9/1/43 | 22,188 | 21,855 | |
1,2,3 Freddie Mac Gold Pool | 3.500% | 7/1/25–9/1/43 | 30,811 | 31,003 | |
1,2,3 Freddie Mac Gold Pool | 4.000% | 7/1/18–9/1/43 | 28,768 | 29,810 | |
2,3 | Freddie Mac Gold Pool | 4.500% | 5/1/14–9/1/43 | 24,988 | 26,354 |
1,2,3 Freddie Mac Gold Pool | 5.000% | 9/1/15–9/1/43 | 19,138 | 20,510 | |
2,3 | Freddie Mac Gold Pool | 5.500% | 4/1/14–9/1/43 | 17,731 | 19,194 |
2,3 | Freddie Mac Gold Pool | 6.000% | 4/1/14–9/1/43 | 11,524 | 12,677 |
2,3 | Freddie Mac Gold Pool | 6.500% | 10/1/28–9/1/39 | 4,225 | 4,739 |
2,3 | Freddie Mac Gold Pool | 7.000% | 7/1/28–12/1/38 | 859 | 979 |
2,3 | Freddie Mac Gold Pool | 8.000% | 11/1/22 | 3 | 3 |
2 | Ginnie Mae I Pool | 3.000% | 1/15/26–9/1/43 | 5,065 | 4,929 |
2 | Ginnie Mae I Pool | 3.500% | 2/15/26–9/1/43 | 6,429 | 6,501 |
1,2 | Ginnie Mae I Pool | 4.000% | 7/15/24–9/1/43 | 11,338 | 11,803 |
1,2 | Ginnie Mae I Pool | 4.500% | 9/15/18–9/1/43 | 16,126 | 17,173 |
1,2 | Ginnie Mae I Pool | 5.000% | 1/15/18–9/1/43 | 9,890 | 10,680 |
2 | Ginnie Mae I Pool | 5.500% | 10/15/32–8/1/43 | 5,183 | 5,673 |
2 | Ginnie Mae I Pool | 6.000% | 4/15/28–9/1/43 | 4,754 | 5,239 |
2 | Ginnie Mae I Pool | 6.500% | 5/15/24–1/15/39 | 1,255 | 1,438 |
2 | Ginnie Mae I Pool | 7.000% | 10/15/27 | 12 | 13 |
2 | Ginnie Mae II Pool | 2.500% | 2/20/28–6/20/28 | 1,260 | 1,266 |
1,2 | Ginnie Mae II Pool | 3.000% | 10/20/26–9/1/43 | 21,167 | 20,609 |
1,2 | Ginnie Mae II Pool | 3.500% | 12/20/25–9/1/43 | 35,168 | 35,561 |
2 | Ginnie Mae II Pool | 4.000% | 9/20/25–9/1/43 | 20,945 | 21,839 |
185
Mortgage-Backed Securities Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
1,2 | Ginnie Mae II Pool | 4.500% | 4/20/18–9/1/43 | 21,845 | 23,328 |
2 | Ginnie Mae II Pool | 5.000% | 6/20/33–9/1/43 | 15,668 | 17,072 |
2 | Ginnie Mae II Pool | 5.500% | 12/20/33–9/1/43 | 5,835 | 6,374 |
2 | Ginnie Mae II Pool | 6.000% | 3/20/31–9/1/43 | 3,477 | 3,866 |
2 | Ginnie Mae II Pool | 6.500% | 10/20/28–9/20/40 | 2,057 | 2,313 |
2 | Ginnie Mae II Pool | 7.000% | 4/20/38–11/20/38 | 255 | 288 |
686,253 | |||||
Nonconventional Mortgage-Backed Securities (3.6%) | |||||
2,3 | Fannie Mae Pool | 2.193% | 12/1/41 | 504 | 528 |
2,3 | Fannie Mae Pool | 2.205% | 6/1/43 | 743 | 753 |
2,3 | Fannie Mae Pool | 2.206% | 9/1/42 | 833 | 853 |
2,3 | Fannie Mae Pool | 2.240% | 10/1/42 | 565 | 569 |
2,3 | Fannie Mae Pool | 2.268% | 7/1/43 | 791 | 764 |
2,3,4 Fannie Mae Pool | 2.387% | 9/1/37 | 33 | 36 | |
2,3 | Fannie Mae Pool | 2.420% | 5/1/42 | 521 | 531 |
2,3 | Fannie Mae Pool | 2.451% | 5/1/43 | 531 | 523 |
2,3 | Fannie Mae Pool | 2.480% | 10/1/42 | 524 | 534 |
2,3 | Fannie Mae Pool | 2.516% | 12/1/40 | 769 | 785 |
2,3 | Fannie Mae Pool | 2.535% | 10/1/40 | 299 | 305 |
2,3 | Fannie Mae Pool | 2.612% | 11/1/41 | 141 | 145 |
2,3 | Fannie Mae Pool | 2.617% | 12/1/41 | 157 | 163 |
2,3 | Fannie Mae Pool | 2.670% | 1/1/42 | 154 | 158 |
2,3 | Fannie Mae Pool | 2.795% | 3/1/42 | 780 | 792 |
2,3 | Fannie Mae Pool | 2.824% | 3/1/41 | 742 | 759 |
2,3 | Fannie Mae Pool | 2.840% | 11/1/41 | 394 | 403 |
2,3 | Fannie Mae Pool | 2.901% | 12/1/40 | 220 | 223 |
2,3 | Fannie Mae Pool | 2.951% | 5/1/42 | 185 | 196 |
2,3 | Fannie Mae Pool | 3.008% | 3/1/42 | 336 | 356 |
2,3 | Fannie Mae Pool | 3.033% | 3/1/41 | 694 | 706 |
2,3 | Fannie Mae Pool | 3.061% | 2/1/42 | 582 | 615 |
2,3 | Fannie Mae Pool | 3.135% | 2/1/41 | 23 | 23 |
2,3 | Fannie Mae Pool | 3.151% | 2/1/41 | 55 | 56 |
2,3 | Fannie Mae Pool | 3.162% | 12/1/40 | 38 | 40 |
2,3 | Fannie Mae Pool | 3.211% | 12/1/40 | 39 | 40 |
2,3 | Fannie Mae Pool | 3.239% | 10/1/40 | 53 | 54 |
2,3 | Fannie Mae Pool | 3.287% | 5/1/41 | 255 | 263 |
2,3 | Fannie Mae Pool | 3.292% | 1/1/40 | 10 | 10 |
2,3 | Fannie Mae Pool | 3.293% | 11/1/40 | 39 | 41 |
2,3 | Fannie Mae Pool | 3.335% | 8/1/42 | 333 | 347 |
2,3 | Fannie Mae Pool | 3.437% | 12/1/39 | 459 | 476 |
2,3 | Fannie Mae Pool | 3.490% | 10/1/39 | 75 | 78 |
2,3 | Fannie Mae Pool | 3.492% | 5/1/40 | 18 | 19 |
2,3 | Fannie Mae Pool | 3.555% | 3/1/40 | 21 | 22 |
2,3 | Fannie Mae Pool | 3.570% | 7/1/41 | 417 | 442 |
2,3 | Fannie Mae Pool | 3.580% | 8/1/39 | 90 | 92 |
2,3 | Fannie Mae Pool | 3.594% | 11/1/39 | 76 | 79 |
2,3 | Fannie Mae Pool | 3.632% | 4/1/41 | 179 | 180 |
2,3 | Fannie Mae Pool | 3.695% | 5/1/40 | 1,052 | 1,096 |
2,3 | Fannie Mae Pool | 3.819% | 9/1/40 | 601 | 627 |
2,3 | Fannie Mae Pool | 5.079% | 3/1/38 | 67 | 72 |
2,3,4 Fannie Mae Pool | 5.265% | 11/1/39 | 118 | 128 | |
2,3 | Fannie Mae Pool | 5.369% | 8/1/39 | 250 | 269 |
2,3 | Fannie Mae Pool | 5.658% | 4/1/37 | 44 | 47 |
2,3 | Fannie Mae Pool | 6.113% | 10/1/37 | 347 | 372 |
2,3 | Freddie Mac Non Gold Pool | 2.584% | 2/1/42 | 257 | 265 |
186
Mortgage-Backed Securities Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2,3,4 Freddie Mac Non Gold Pool | 2.677% | 10/1/37 | 26 | 28 | |
2,3 | Freddie Mac Non Gold Pool | 2.703% | 12/1/40 | 125 | 128 |
2,3 | Freddie Mac Non Gold Pool | 2.782% | 1/1/41 | 135 | 138 |
2,3 | Freddie Mac Non Gold Pool | 2.931% | 2/1/41 | 39 | 41 |
2,3 | Freddie Mac Non Gold Pool | 2.948% | 2/1/41 | 578 | 599 |
2,3 | Freddie Mac Non Gold Pool | 3.078% | 6/1/41 | 452 | 469 |
2,3 | Freddie Mac Non Gold Pool | 3.364% | 5/1/40 | 6 | 6 |
2,3 | Freddie Mac Non Gold Pool | 3.428% | 3/1/42 | 367 | 383 |
2,3 | Freddie Mac Non Gold Pool | 3.450% | 4/1/40 | 27 | 28 |
2,3 | Freddie Mac Non Gold Pool | 3.463% | 8/1/40 | 96 | 100 |
2,3 | Freddie Mac Non Gold Pool | 3.559% | 11/1/39 | 85 | 88 |
2,3 | Freddie Mac Non Gold Pool | 3.566% | 6/1/40 | 134 | 140 |
2,3 | Freddie Mac Non Gold Pool | 3.622% | 6/1/40 | 274 | 284 |
2,3 | Freddie Mac Non Gold Pool | 3.642% | 1/1/40 | 59 | 61 |
2,3 | Freddie Mac Non Gold Pool | 3.676% | 9/1/40 | 144 | 150 |
2,3 | Freddie Mac Non Gold Pool | 4.021% | 3/1/40 | 970 | 1,012 |
2,3 | Freddie Mac Non Gold Pool | 4.063% | 12/1/39 | 66 | 69 |
2,3 | Freddie Mac Non Gold Pool | 4.801% | 12/1/35 | 64 | 67 |
2,3 | Freddie Mac Non Gold Pool | 5.247% | 3/1/38 | 348 | 371 |
2,3 | Freddie Mac Non Gold Pool | 6.354% | 2/1/37 | 36 | 38 |
2 | Ginnie Mae II Pool | 2.500% | 11/20/40–1/20/42 | 2,437 | 2,532 |
2 | Ginnie Mae II Pool | 3.000% | 11/20/40–11/20/41 | 1,504 | 1,587 |
2 | Ginnie Mae II Pool | 3.500% | 7/20/41–8/20/41 | 567 | 585 |
2 | Ginnie Mae II Pool | 3.750% | 1/20/40 | 75 | 78 |
2 | Ginnie Mae II Pool | 4.000% | 10/20/39–12/20/39 | 504 | 526 |
25,343 | |||||
Total U.S. Government and Agency Obligations (Cost $725,350) | 711,596 | ||||
Shares | |||||
Temporary Cash Investment (15.9%) | |||||
Money Market Fund (15.9%) | |||||
5 | Vanguard Market Liquidity Fund (Cost $113,110) | 0.122% | 113,110,000 | 113,110 | |
Total Investments (115.8%) (Cost $838,460) | 824,706 | ||||
Other Assets and Liabilities (-15.8%) | |||||
Other Assets | 76,803 | ||||
Liabilities | (189,283) | ||||
(112,480) | |||||
Net Assets (100%) | 712,226 |
187
Mortgage-Backed Securities Index Fund | |
At August 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 731,735 |
Undistributed Net Investment Income | 12 |
Accumulated Net Realized Losses | (5,767) |
Unrealized Appreciation (Depreciation) | (13,754) |
Net Assets | 712,226 |
Signal Shares—Net Assets | |
Applicable to 14,502,813 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 295,168 |
Net Asset Value Per Share—Signal Shares | $20.35 |
ETF Shares—Net Assets | |
Applicable to 8,201,190 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 417,058 |
Net Asset Value Per Share—ETF Shares | $50.85 |
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, 2013.
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 th 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
188
Mortgage-Backed Securities Index Fund
Statement of Assets and Liabilities
As of August 31, 2013
Market | |
Value | |
($000) | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 711,596 |
Affiliated Vanguard Funds | 113,110 |
Total Investments in Securities | 824,706 |
Receivables for Investment Securities Sold | 72,066 |
Other Assets | 4,737 |
Total Assets | 901,509 |
Liabilities | |
Payables for Investment Securities Purchased | 187,924 |
Other Liabilities | 1,359 |
Total Liabilities | 189,283 |
Net Assets | 712,226 |
See Note A in Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
189
Mortgage-Backed Securities Index Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 4,859 |
Total Income | 4,859 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 19 |
Management and Administrative—Signal Shares | 251 |
Management and Administrative—Institutional Shares | 2 |
Management and Administrative—ETF Shares | 274 |
Marketing and Distribution—Signal Shares | 70 |
Marketing and Distribution—Institutional Shares | 2 |
Marketing and Distribution—ETF Shares | 86 |
Custodian Fees | 78 |
Auditing Fees | 36 |
Shareholders’ Reports—Signal Shares | 5 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 16 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 840 |
Net Investment Income | 4,019 |
Realized Net Gain (Loss) on Investment Securities Sold | (4,358) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (17,819) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (18,158) |
1 Interest income from an affiliated company of the fund was $366,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
190
Mortgage-Backed Securities Index Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,019 | 2,859 |
Realized Net Gain (Loss) | (4,358) | 1,846 |
Change in Unrealized Appreciation (Depreciation) | (17,819) | 2,268 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (18,158) | 6,973 |
Distributions | ||
Net Investment Income | ||
Signal Shares | (1,833) | (290) |
Institutional Shares | (26) | (58) |
ETF Shares | (2,167) | (2,485) |
Realized Capital Gain1 | ||
Signal Shares | (1,465) | (78) |
Institutional Shares | (73) | — |
ETF Shares | (1,423) | (633) |
Total Distributions | (6,987) | (3,544) |
Capital Share Transactions | ||
Signal Shares | 96,081 | 195,740 |
Institutional Shares | (14,605) | 14,637 |
ETF Shares | 182,530 | 171,898 |
Net Increase (Decrease) from Capital Share Transactions | 264,006 | 382,275 |
Total Increase (Decrease) | 238,861 | 385,704 |
Net Assets | ||
Beginning of Period | 473,365 | 87,661 |
End of Period2 | 712,226 | 473,365 |
1 Includes fiscal 2013 and 2012 short-term gain distributions totaling $2,874,000 and $682,000, 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 $12,000 and $19,000.
See accompanying Notes, which are an integral part of the Financial Statements.
191
Mortgage-Backed Securities Index Fund | ||||
Financial Highlights | ||||
Signal Shares | ||||
Dec. 3, | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $21.06 | $20.76 | $20.52 | $20.04 |
Investment Operations | ||||
Net Investment Income | .118 | .344 | .456 | .332 |
Net Realized and Unrealized Gain (Loss) on Investments | (.608) | .399 | .569 | .487 |
Total from Investment Operations | (.490) | .743 | 1.025 | .819 |
Distributions | ||||
Dividends from Net Investment Income | (.118) | (.342) | (.456) | (.339) |
Distributions from Realized Capital Gains | (.102) | (.101) | (.329) | — |
Total Distributions | (.220) | (.443) | (.785) | (.339) |
Net Asset Value, End of Period | $20.35 | $21.06 | $20.76 | $20.52 |
Total Return2 | -2.35% | 3.63% | 5.16% | 4.13% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $295 | $211 | $15 | $6 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.15% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 0.57% | 1.57% | 2.30% | 2.12%3 |
Portfolio Turnover Rate4 | 840% | 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 371%, 231%, 187%, and 166% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
192
Mortgage-Backed Securities Index Fund | ||
Financial Highlights | ||
Institutional Shares | ||
Sept. 1, | May 9, | |
2012 to | 20121 to | |
Jan. 22, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 20132 | 2012 |
Net Asset Value, Beginning of Period | $28.34 | $28.10 |
Investment Operations | ||
Net Investment Income | .042 | .137 |
Net Realized and Unrealized Gain (Loss) on Investments | (.146) | .218 |
Total from Investment Operations | (.104) | .355 |
Distributions | ||
Dividends from Net Investment Income | (.049) | (.115) |
Distributions from Realized Capital Gains | (.137) | — |
Total Distributions | (.186) | (.115) |
Net Asset Value, End of Period | $28.052 | $28.34 |
Total Return3 | -0.37% | 1.27% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $0 | $15 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09%4 |
Ratio of Net Investment Income to Average Net Assets | 0.35% | 1.60%4 |
Portfolio Turnover Rate5 | 840% | 529% |
1 Inception.
2 Net asset value as of January 22, 2013, at which date all shares were redeemed.
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 Includes 371% and 231% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
193
Mortgage-Backed Securities Index Fund | ||||
Financial Highlights | ||||
ETF Shares | ||||
Nov. 19, | ||||
20091 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $52.63 | $51.90 | $51.31 | $49.98 |
Investment Operations | ||||
Net Investment Income | .292 | .875 | 1.142 | .836 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (1.524) | .976 | 1.412 | 1.338 |
Total from Investment Operations | (1.232) | 1.851 | 2.554 | 2.174 |
Distributions | ||||
Dividends from Net Investment Income | (.294) | (.868) | (1.142) | (.844) |
Distributions from Realized Capital Gains | (.254) | (.253) | (.822) | — |
Total Distributions | (.548) | (1.121) | (1.964) | (.844) |
Net Asset Value, End of Period | $50.85 | $52.63 | $51.90 | $51.31 |
Total Return3 | -2.36% | 3.62% | 5.14% | 4.39% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $417 | $247 | $73 | $31 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.15% | 0.15%4 |
Ratio of Net Investment Income to Average Net Assets | 0.57% | 1.57% | 2.30% | 2.12%4 |
Portfolio Turnover Rate5 | 840% | 529% | 344% | 402% |
1 Inception.
2 Includes increases from purchase fees of $.01, $.02, $.00, 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 Includes 371%, 231%, 187%, and 166% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
194
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. All outstanding Institutional Shares were redeemed on January 22, 2013. The Fund has not issued any additional Institutional Shares as of August 31, 2013. 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 associated with mortgage dollar rolls is that a counterparty will default on its obligations. This risk is mitigated by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.
195
Mortgage-Backed Securities Index Fund
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, 2010–2013), 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, 2013, 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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 711,596 | — |
Temporary Cash Investments | 113,110 | — | — |
Total | 113,110 | 711,596 | — |
196
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 $152,000 from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2013, the fund had available capital losses totaling $5,547,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2013, the cost of investment securities for tax purposes was $838,680,000. Net unrealized depreciation of investment securities for tax purposes was $13,974,000, consisting of unrealized gains of $830,000 on securities that had risen in value since their purchase and $14,804,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2013, the fund purchased $5,991,238,000 of investment securities and sold $5,716,361,000 of investment securities, other than temporary cash investments.
F. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2013 | 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Signal Shares | ||||
Issued1 | 258,637 | 12,391 | 209,248 | 9,956 |
Issued in Lieu of Cash Distributions | 1,174 | 56 | 277 | 13 |
Redeemed | (163,730) | (7,971) | (13,785) | (663) |
Net Increase (Decrease) —Signal Shares | 96,081 | 4,476 | 195,740 | 9,306 |
Institutional Shares2 | ||||
Issued1 | 1,571 | 55 | 15,173 | 540 |
Issued in Lieu of Cash Distributions | 99 | 4 | 58 | 2 |
Redeemed | (16,275) | (580) | (594) | (21) |
Net Increase (Decrease) —Institutional Shares | (14,605) | (521) | 14,637 | 521 |
ETF Shares | ||||
Issued1 | 377,501 | 7,300 | 171,898 | 3,300 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (194,971) | (3,800) | — | — |
Net Increase (Decrease)—ETF Shares | 182,530 | 3,500 | 171,898 | 3,300 |
1 Includes purchase fees for fiscal 2013 and 2012 of $218,000 and $98,000, respectively (fund totals). | ||||
2 Inception was May 9, 2012. On January 22, 2013, all Institutional Shares were redeemed. |
197
Mortgage-Backed Securities Index Fund
At August 31, 2013, 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 to the fund’s expense ratio, cause the fund to incur higher transaction costs, or result in the realization of taxable capital gains.
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2013, that would require recognition in these financial statements. On October 16, 2013, Signal Shares were renamed Admiral Shares.
198
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, 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, 2013, 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 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, 2013 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2013
Special 2013 tax information (unaudited) for Vanguard Short-Term Government Bond |
Index Fund |
This information for the fiscal year ended August 31, 2013, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $427,000 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, 99.9% of income dividends are interest-related dividends. |
199
Special 2013 tax information (unaudited) for Vanguard Intermediate-Term Government Bond |
Index Fund |
This information for the fiscal year ended August 31, 2013, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $2,714,000 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. |
Special 2013 tax information (unaudited) for Vanguard Long-Term Government Bond |
Index Fund |
This information for the fiscal year ended August 31, 2013, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $312,000 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. |
Special 2013 tax information (unaudited) for Vanguard Short-Term Corporate Bond Index Fund |
This information for the fiscal year ended August 31, 2013, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $5,432,000 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, 80.9% of income dividends are interest-related dividends. |
200
Special 2013 tax information (unaudited) for Vanguard Intermediate-Term Corporate Bond |
Index Fund |
This information for the fiscal year ended August 31, 2013, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $9,718,000 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, 84.5% of income dividends are interest-related dividends. |
Special 2013 tax information (unaudited) for Vanguard Long-Term Corporate Bond Index Fund |
This information for the fiscal year ended August 31, 2013, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $1,057,000 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, 84.8% of income dividends are interest-related dividends. |
Special 2013 tax information (unaudited) for Vanguard Mortgage-Backed Securities Index Fund |
This information for the fiscal year ended August 31, 2013, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $230,000 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, 97.0% of income dividends are interest-related dividends. |
201
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.
202
Six Months Ended August 31, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2013 | 8/31/2013 | Period | |
Based on Actual Fund Return | |||
Short-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $999.21 | $0.60 |
Institutional Shares | 1,000.00 | 999.37 | 0.45 |
ETF Shares | 1,000.00 | 999.06 | 0.60 |
Intermediate-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $969.05 | $0.60 |
Institutional Shares | 1,000.00 | 969.37 | 0.45 |
ETF Shares | 1,000.00 | 969.41 | 0.60 |
Long-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $913.46 | $0.58 |
Institutional Shares | 1,000.00 | 913.58 | 0.43 |
ETF Shares | 1,000.00 | 913.26 | 0.58 |
Short-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $994.42 | $0.60 |
Institutional Shares | 1,000.00 | 994.24 | 0.45 |
ETF Shares | 1,000.00 | 994.09 | 0.60 |
Intermediate-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $959.23 | $0.59 |
Institutional Shares | 1,000.00 | 959.37 | 0.44 |
ETF Shares | 1,000.00 | 959.12 | 0.59 |
Long-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $935.48 | $0.59 |
Institutional Shares | 1,000.00 | 935.72 | 0.44 |
ETF Shares | 1,000.00 | 935.36 | 0.59 |
Mortgage-Backed Securities Index Fund | |||
Signal Shares | $1,000.00 | $978.87 | $0.60 |
ETF Shares | 1,000.00 | 978.77 | 0.60 |
203
Six Months Ended August 31, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2013 | 8/31/2013 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.60 | $0.61 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
Intermediate-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.60 | $0.61 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
Long-Term Government Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.60 | $0.61 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
Short-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.60 | $0.61 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
Intermediate-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.60 | $0.61 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
Long-Term Corporate Bond Index Fund | |||
Signal Shares | $1,000.00 | $1,024.60 | $0.61 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
Mortgage-Backed Securities Index Fund | |||
Signal Shares | $1,000.00 | $1,024.60 | $0.61 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
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, 0.12% 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; for the Mortgage-Backed Securities Index Fund, 0.12% for Signal Shares and 0.12% 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.
204
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). 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 relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. 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 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’ at-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.
205
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
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.
206
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
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.
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.
207
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 181 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); Chairman of the Board of |
(diversified manufacturing and services), Hewlett- | Hillenbrand, Inc. (specialized consumer services) and |
Packard Co. (electronic computer manufacturing), | of Oxfam America; Director of SKF AB (industrial |
machinery) and the Lumina Foundation for Education; | Executive Officers | |
Member of the Advisory Council for the College of | ||
Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
the University 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 | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
Advisory Chairman of the Board of The Cleveland | ||
Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
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.
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P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | The Vanguard ETFs are not sponsored, endorsed, sold, |
Direct Investor Account Services > 800-662-2739 | or promoted by Barclays. Barclays does not make any |
representation regarding the advisability of investing in | |
Institutional Investor Services > 800-523-1036 | Vanguard ETFs or the advisability of investing in |
Text Telephone for People | securities generally. Barclays’ only relationship with |
With Hearing Impairment > 800-749-7273 | Vanguard is the licensing of the Index, which is |
determined, composed, and calculated by Barclays | |
This material may be used in conjunction | without regard to Vanguard or the Vanguard ETFs. |
with the offering of shares of any Vanguard | Barclays has no obligation to take the needs of |
fund only if preceded or accompanied by | Vanguard or the owners of the Vanguard ETFs into |
the fund’s current prospectus. | consideration in determining, composing, or calculating |
the Index. Barclays has no obligation or liability in | |
All comparative mutual fund data are from Lipper, a | connection with administration, marketing, or trading |
Thomson Reuters Company, or Morningstar, Inc., unless | of the Vanguard ETFs. Source of index data: Barclays |
otherwise noted. | Global Family of Indices. Copyright 2013, Barclays. All |
rights reserved. | |
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. | |
© 2013 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q16420 102013 |
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, 2013: $510,000 Fiscal Year Ended August 31, 2012: $455,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2013: $5,714,113
Fiscal Year Ended August 31, 2012: $4,809,780
Includes fees billed in connection with audits of the Registrant and other registered investment companies in the Vanguard complex. Also includes fees billed in connection with audits of The Vanguard Group, Inc. and Vanguard Marketing Corporation for Fiscal Year Ended August 31, 2013.
(b) Audit-Related Fees.
Fiscal Year Ended August 31, 2013: $1,552,950
Fiscal Year Ended August 31, 2012: $1,812,565
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended August 31, 2013: $110,000
Fiscal Year Ended August 31, 2012: $490,518
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation. Also includes fees billed in connection with certain tax services related to audits of the Registrant and other registered investment companies in the Vanguard complex for Fiscal Year Ended August 31, 2012.
(d) All Other Fees.
Fiscal Year Ended August 31, 2013: $132,000
Fiscal Year Ended August 31, 2012: $16,000
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(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: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. 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: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(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, 2013: $242,000
Fiscal Year Ended August 31, 2012: $506,518
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(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.
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.8%)1 | ||
Consumer Discretionary (14.7%) | ||
Wal-Mart Stores Inc. | 85,507 | 6,240 |
Comcast Corp. Class A | 139,470 | 5,870 |
Walt Disney Co. | 95,642 | 5,818 |
Home Depot Inc. | 77,745 | 5,791 |
* Amazon.com Inc. | 19,548 | 5,493 |
McDonald's Corp. | 53,379 | 5,037 |
* eBay Inc. | 69,005 | 3,450 |
Ford Motor Co. | 205,239 | 3,323 |
* Twenty-First Century Fox Inc. | 105,624 | 3,309 |
Time Warner Inc. | 49,638 | 3,005 |
Starbucks Corp. | 39,837 | 2,809 |
Lowe's Cos. Inc. | 57,801 | 2,648 |
Costco Wholesale Corp. | 23,101 | 2,584 |
* priceline.com Inc. | 2,745 | 2,576 |
NIKE Inc. Class B | 37,687 | 2,368 |
Target Corp. | 34,147 | 2,162 |
Viacom Inc. Class B | 25,870 | 2,058 |
TJX Cos. Inc. | 38,224 | 2,015 |
Yum! Brands Inc. | 23,813 | 1,667 |
Time Warner Cable Inc. | 15,519 | 1,666 |
CBS Corp. Class B | 32,571 | 1,664 |
* DIRECTV | 27,729 | 1,613 |
* General Motors Co. | 44,234 | 1,508 |
Johnson Controls Inc. | 36,444 | 1,477 |
* Liberty Global plc Class A | 18,190 | 1,413 |
Las Vegas Sands Corp. | 20,864 | 1,176 |
* Discovery Communications Inc. Class A | 12,919 | 1,001 |
* Dollar General Corp. | 17,479 | 943 |
Delphi Automotive plc | 16,692 | 918 |
Macy's Inc. | 20,358 | 905 |
VF Corp. | 4,739 | 887 |
* Bed Bath & Beyond Inc. | 11,566 | 853 |
McGraw Hill Financial Inc. | 14,580 | 851 |
Omnicom Group Inc. | 13,704 | 831 |
Estee Lauder Cos. Inc. Class A | 12,399 | 810 |
Carnival Corp. | 22,218 | 802 |
* Michael Kors Holdings Ltd. | 10,802 | 800 |
Ross Stores Inc. | 11,781 | 792 |
* AutoZone Inc. | 1,881 | 790 |
Coach Inc. | 14,839 | 784 |
* Netflix Inc. | 2,664 | 756 |
* Liberty Media Corp. Class A | 5,458 | 745 |
Mattel Inc. | 18,336 | 743 |
* Tesla Motors Inc. | 4,371 | 739 |
* O'Reilly Automotive Inc. | 5,964 | 732 |
L Brands Inc. | 12,704 | 729 |
Harley-Davidson Inc. | 11,853 | 711 |
* Chipotle Mexican Grill Inc. Class A | 1,639 | 669 |
Starwood Hotels & Resorts Worldwide Inc. | 10,253 | 656 |
* Liberty Interactive Corp. Class A | 28,096 | 634 |
* Dollar Tree Inc. | 11,964 | 631 |
Genuine Parts Co. | 8,155 | 628 |
Wynn Resorts Ltd. | 4,348 | 613 |
BorgWarner Inc. | 6,237 | 602 |
Kohl's Corp. | 11,739 | 602 |
Gap Inc. | 14,884 | 602 |
Sirius XM Radio Inc. | 164,592 | 589 |
* CarMax Inc. | 11,929 | 567 |
PVH Corp. | 4,379 | 564 |
Whirlpool Corp. | 4,245 | 546 |
Best Buy Co. Inc. | 14,604 | 526 |
1
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Ralph Lauren Corp. Class A | 3,101 | 513 |
DISH Network Corp. Class A | 11,069 | 498 |
Marriott International Inc. Class A | 12,436 | 497 |
Staples Inc. | 35,238 | 490 |
* LKQ Corp. | 15,804 | 462 |
Tractor Supply Co. | 3,759 | 460 |
Avon Products Inc. | 23,207 | 459 |
Tiffany & Co. | 5,853 | 451 |
* TripAdvisor Inc. | 6,038 | 447 |
* Hertz Global Holdings Inc. | 18,455 | 443 |
* Charter Communications Inc. Class A | 3,597 | 437 |
Nordstrom Inc. | 7,679 | 428 |
Wyndham Worldwide Corp. | 7,201 | 427 |
Scripps Networks Interactive Inc. Class A | 5,746 | 423 |
News Corp. Class A | 26,355 | 414 |
H&R Block Inc. | 14,405 | 402 |
* TRW Automotive Holdings Corp. | 5,810 | 401 |
Nielsen Holdings NV | 11,593 | 400 |
PetSmart Inc. | 5,569 | 392 |
* Mohawk Industries Inc. | 3,290 | 387 |
Newell Rubbermaid Inc. | 15,237 | 386 |
Polaris Industries Inc. | 3,499 | 382 |
Family Dollar Stores Inc. | 5,187 | 369 |
Interpublic Group of Cos. Inc. | 22,730 | 357 |
* MGM Resorts International | 19,812 | 351 |
* Ulta Salon Cosmetics & Fragrance Inc. | 3,290 | 327 |
Fortune Brands Home & Security Inc. | 8,845 | 326 |
* Fossil Group Inc. | 2,783 | 323 |
GameStop Corp. Class A | 6,410 | 322 |
Darden Restaurants Inc. | 6,938 | 321 |
Royal Caribbean Cruises Ltd. | 8,712 | 320 |
* Under Armour Inc. Class A | 4,382 | 318 |
PulteGroup Inc. | 20,644 | 318 |
Hanesbrands Inc. | 5,316 | 316 |
Advance Auto Parts Inc. | 3,813 | 305 |
Williams-Sonoma Inc. | 5,268 | 297 |
Gannett Co. Inc. | 12,308 | 297 |
Lear Corp. | 4,258 | 293 |
Signet Jewelers Ltd. | 4,249 | 282 |
Lennar Corp. Class A | 8,794 | 280 |
* Toll Brothers Inc. | 9,032 | 276 |
Hasbro Inc. | 6,022 | 275 |
DR Horton Inc. | 15,009 | 268 |
Expedia Inc. | 5,645 | 264 |
Garmin Ltd. | 6,470 | 264 |
* Goodyear Tire & Rubber Co. | 13,092 | 263 |
International Game Technology | 13,888 | 262 |
* Jarden Corp. | 5,941 | 255 |
Foot Locker Inc. | 7,918 | 255 |
Nu Skin Enterprises Inc. Class A | 3,019 | 253 |
Dick's Sporting Goods Inc. | 5,323 | 247 |
* Urban Outfitters Inc. | 5,752 | 241 |
Dunkin' Brands Group Inc. | 5,581 | 241 |
Carter's Inc. | 3,238 | 238 |
* WABCO Holdings Inc. | 3,032 | 236 |
Tupperware Brands Corp. | 2,909 | 235 |
* Sally Beauty Holdings Inc. | 8,940 | 234 |
* Panera Bread Co. Class A | 1,397 | 229 |
Harman International Industries Inc. | 3,525 | 226 |
Leggett & Platt Inc. | 7,648 | 221 |
* NVR Inc. | 256 | 219 |
Service Corp. International | 11,149 | 202 |
* Liberty Global plc | 2,708 | 199 |
* AMC Networks Inc. Class A | 3,144 | 195 |
2
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Penn National Gaming Inc. | 3,580 | 188 |
* Madison Square Garden Co. Class A | 3,225 | 188 |
Cablevision Systems Corp. Class A | 10,523 | 187 |
* Visteon Corp. | 2,569 | 184 |
Cinemark Holdings Inc. | 6,206 | 183 |
Domino's Pizza Inc. | 2,932 | 180 |
* Lamar Advertising Co. Class A | 4,239 | 178 |
Gentex Corp. | 7,707 | 174 |
* Liberty Ventures Class A | 2,015 | 173 |
DSW Inc. Class A | 1,962 | 169 |
* Cabela's Inc. | 2,478 | 162 |
* Avis Budget Group Inc. | 5,813 | 156 |
* Bally Technologies Inc. | 2,136 | 154 |
Starz | 6,165 | 154 |
Brinker International Inc. | 3,819 | 153 |
American Eagle Outfitters Inc. | 10,322 | 149 |
* Lions Gate Entertainment Corp. | 4,208 | 147 |
Abercrombie & Fitch Co. | 4,119 | 145 |
Chico's FAS Inc. | 8,588 | 134 |
Thor Industries Inc. | 2,446 | 125 |
Washington Post Co. Class B | 222 | 125 |
* Tempur Sealy International Inc. | 3,244 | 125 |
* AutoNation Inc. | 2,672 | 125 |
* Pandora Media Inc. | 6,754 | 124 |
Wendy's Co. | 15,167 | 115 |
Six Flags Entertainment Corp. | 3,443 | 114 |
* JC Penney Co. Inc. | 9,105 | 114 |
* DreamWorks Animation SKG Inc. Class A | 3,976 | 113 |
* Ascena Retail Group Inc. | 6,775 | 111 |
Aaron's Inc. | 4,076 | 110 |
* Big Lots Inc. | 3,070 | 109 |
KAR Auction Services Inc. | 4,031 | 107 |
John Wiley & Sons Inc. Class A | 2,420 | 106 |
Dillard's Inc. Class A | 1,388 | 106 |
* Deckers Outdoor Corp. | 1,776 | 104 |
Burger King Worldwide Inc. | 5,228 | 102 |
DeVry Inc. | 3,407 | 102 |
* Sears Holdings Corp. | 2,290 | 101 |
* Hyatt Hotels Corp. Class A | 2,304 | 100 |
* Apollo Group Inc. Class A | 5,286 | 98 |
Guess? Inc. | 3,161 | 96 |
* HomeAway Inc. | 2,947 | 93 |
* CST Brands Inc. | 3,117 | 92 |
Regal Entertainment Group Class A | 4,436 | 79 |
AMERCO | 483 | 79 |
Choice Hotels International Inc. | 1,380 | 53 |
Weight Watchers International Inc. | 1,448 | 52 |
SeaWorld Entertainment Inc. | 1,588 | 48 |
* Norwegian Cruise Line Holdings Ltd. | 1,369 | 43 |
* Taylor Morrison Home Corp. Class A | 1,654 | 34 |
* Clear Channel Outdoor Holdings Inc. Class A | 1,750 | 13 |
131,586 | ||
Consumer Staples (8.2%) | ||
Procter & Gamble Co. | 145,765 | 11,354 |
Coca-Cola Co. | 203,339 | 7,763 |
Philip Morris International Inc. | 86,856 | 7,247 |
PepsiCo Inc. | 82,243 | 6,557 |
CVS Caremark Corp. | 65,177 | 3,784 |
Altria Group Inc. | 106,769 | 3,617 |
Mondelez International Inc. Class A | 94,850 | 2,909 |
Colgate-Palmolive Co. | 49,611 | 2,866 |
Walgreen Co. | 50,315 | 2,419 |
Kimberly-Clark Corp. | 20,537 | 1,920 |
General Mills Inc. | 34,177 | 1,686 |
3
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Kraft Foods Group Inc. | 31,549 | 1,633 |
Archer-Daniels-Midland Co. | 35,074 | 1,235 |
Whole Foods Market Inc. | 19,778 | 1,043 |
Sysco Corp. | 31,594 | 1,012 |
Kroger Co. | 27,634 | 1,011 |
Lorillard Inc. | 20,028 | 847 |
Kellogg Co. | 13,823 | 839 |
Mead Johnson Nutrition Co. | 10,679 | 801 |
Reynolds American Inc. | 16,737 | 797 |
ConAgra Foods Inc. | 22,115 | 748 |
Hershey Co. | 8,066 | 742 |
* Green Mountain Coffee Roasters Inc. | 8,021 | 692 |
Bunge Ltd. | 7,914 | 600 |
JM Smucker Co. | 5,618 | 596 |
Clorox Co. | 6,931 | 573 |
Brown-Forman Corp. Class B | 8,134 | 545 |
Coca-Cola Enterprises Inc. | 14,564 | 545 |
Beam Inc. | 8,464 | 530 |
Dr Pepper Snapple Group Inc. | 10,844 | 485 |
McCormick & Co. Inc. | 6,937 | 469 |
Church & Dwight Co. Inc. | 7,441 | 442 |
* Constellation Brands Inc. Class A | 8,091 | 439 |
Tyson Foods Inc. Class A | 14,852 | 430 |
* Monster Beverage Corp. | 7,221 | 414 |
Campbell Soup Co. | 9,323 | 403 |
Molson Coors Brewing Co. Class B | 7,514 | 367 |
Safeway Inc. | 12,829 | 332 |
Energizer Holdings Inc. | 3,235 | 320 |
Hormel Foods Corp. | 7,118 | 295 |
Herbalife Ltd. | 4,434 | 271 |
GNC Holdings Inc. Class A | 5,254 | 267 |
Ingredion Inc. | 4,039 | 254 |
* Smithfield Foods Inc. | 7,443 | 250 |
Hillshire Brands Co. | 6,612 | 214 |
Flowers Foods Inc. | 9,125 | 190 |
* Fresh Market Inc. | 2,182 | 107 |
* Dean Foods Co. | 5,017 | 96 |
* WhiteWave Foods Co. Class A | 4,096 | 78 |
* WhiteWave Foods Co. Class B | 3,369 | 64 |
Pinnacle Foods Inc. | 1,741 | 47 |
73,145 | ||
Energy (9.9%) | ||
Exxon Mobil Corp. | 236,303 | 20,596 |
Chevron Corp. | 103,075 | 12,413 |
Schlumberger Ltd. | 70,718 | 5,724 |
ConocoPhillips | 65,046 | 4,313 |
Occidental Petroleum Corp. | 42,863 | 3,781 |
Anadarko Petroleum Corp. | 26,594 | 2,431 |
Halliburton Co. | 49,452 | 2,374 |
EOG Resources Inc. | 14,507 | 2,278 |
Phillips 66 | 32,892 | 1,878 |
Apache Corp. | 20,745 | 1,777 |
National Oilwell Varco Inc. | 22,793 | 1,693 |
Kinder Morgan Inc. | 35,130 | 1,332 |
Williams Cos. Inc. | 36,377 | 1,318 |
Marathon Oil Corp. | 37,751 | 1,300 |
Marathon Petroleum Corp. | 17,338 | 1,257 |
Pioneer Natural Resources Co. | 7,167 | 1,254 |
Devon Energy Corp. | 21,515 | 1,228 |
Hess Corp. | 16,252 | 1,216 |
Spectra Energy Corp. | 35,488 | 1,175 |
Noble Energy Inc. | 18,991 | 1,167 |
Baker Hughes Inc. | 23,439 | 1,090 |
Valero Energy Corp. | 29,014 | 1,031 |
4
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Cabot Oil & Gas Corp. | 22,362 | 875 |
Seadrill Ltd. | 18,812 | 870 |
Chesapeake Energy Corp. | 30,759 | 794 |
* Cameron International Corp. | 13,274 | 754 |
* Southwestern Energy Co. | 18,649 | 712 |
EQT Corp. | 8,051 | 690 |
Murphy Oil Corp. | 10,068 | 679 |
* FMC Technologies Inc. | 12,621 | 677 |
Range Resources Corp. | 8,597 | 645 |
* Concho Resources Inc. | 5,616 | 542 |
HollyFrontier Corp. | 10,765 | 479 |
Oceaneering International Inc. | 5,654 | 439 |
Cimarex Energy Co. | 4,651 | 390 |
CONSOL Energy Inc. | 12,167 | 380 |
* Cheniere Energy Inc. | 12,875 | 360 |
* Cobalt International Energy Inc. | 14,703 | 359 |
* Denbury Resources Inc. | 19,811 | 343 |
Tesoro Corp. | 7,300 | 336 |
Helmerich & Payne Inc. | 5,133 | 324 |
* Whiting Petroleum Corp. | 6,234 | 315 |
QEP Resources Inc. | 9,565 | 261 |
* Oil States International Inc. | 2,871 | 256 |
Peabody Energy Corp. | 14,409 | 248 |
* Dresser-Rand Group Inc. | 4,014 | 245 |
* Gulfport Energy Corp. | 4,131 | 244 |
Nabors Industries Ltd. | 15,684 | 242 |
Diamond Offshore Drilling Inc. | 3,741 | 240 |
SM Energy Co. | 3,470 | 237 |
* Rowan Cos. plc Class A | 6,686 | 237 |
* Dril-Quip Inc. | 2,215 | 226 |
* Superior Energy Services Inc. | 8,540 | 210 |
* Continental Resources Inc. | 2,188 | 202 |
* WPX Energy Inc. | 10,741 | 200 |
* Oasis Petroleum Inc. | 4,876 | 191 |
* Atwood Oceanics Inc. | 3,140 | 175 |
* Newfield Exploration Co. | 7,186 | 171 |
* Ultra Petroleum Corp. | 8,220 | 170 |
Patterson-UTI Energy Inc. | 7,797 | 153 |
World Fuel Services Corp. | 3,859 | 147 |
* SandRidge Energy Inc. | 26,250 | 135 |
* First Solar Inc. | 3,676 | 135 |
* Unit Corp. | 2,533 | 117 |
* McDermott International Inc. | 12,619 | 95 |
Golar LNG Ltd. | 2,258 | 84 |
* Laredo Petroleum Holdings Inc. | 2,287 | 60 |
* Kosmos Energy Ltd. | 5,442 | 55 |
RPC Inc. | 3,185 | 45 |
* SolarCity Corp. | 1,124 | 35 |
CVR Energy Inc. | 813 | 35 |
PBF Energy Inc. Class A | 1,191 | 26 |
88,466 | ||
Financial Services (18.5%) | ||
* Berkshire Hathaway Inc. Class B | 95,709 | 10,645 |
Wells Fargo & Co. | 256,671 | 10,544 |
JPMorgan Chase & Co. | 201,019 | 10,157 |
Bank of America Corp. | 573,135 | 8,093 |
Citigroup Inc. | 161,755 | 7,818 |
Visa Inc. Class A | 27,871 | 4,861 |
Mastercard Inc. Class A | 6,222 | 3,771 |
Goldman Sachs Group Inc. | 24,424 | 3,716 |
* American International Group Inc. | 78,435 | 3,644 |
American Express Co. | 50,431 | 3,626 |
US Bancorp | 98,260 | 3,550 |
Simon Property Group Inc. | 16,551 | 2,410 |
5
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
MetLife Inc. | 47,451 | 2,192 |
Morgan Stanley | 80,919 | 2,084 |
PNC Financial Services Group Inc. | 28,223 | 2,040 |
Capital One Financial Corp. | 30,991 | 2,000 |
Prudential Financial Inc. | 24,742 | 1,853 |
Bank of New York Mellon Corp. | 61,698 | 1,835 |
BlackRock Inc. | 6,939 | 1,806 |
State Street Corp. | 24,183 | 1,613 |
ACE Ltd. | 18,178 | 1,595 |
Travelers Cos. Inc. | 19,956 | 1,594 |
American Tower Corporation | 20,969 | 1,457 |
Aflac Inc. | 24,874 | 1,437 |
BB&T Corp. | 37,208 | 1,264 |
Discover Financial Services | 26,065 | 1,232 |
Charles Schwab Corp. | 58,542 | 1,222 |
Marsh & McLennan Cos. Inc. | 29,270 | 1,207 |
Allstate Corp. | 24,881 | 1,192 |
CME Group Inc. | 16,750 | 1,191 |
Public Storage | 7,689 | 1,174 |
Chubb Corp. | 13,712 | 1,140 |
Aon plc | 16,519 | 1,097 |
Franklin Resources Inc. | 21,871 | 1,010 |
Equity Residential | 19,177 | 995 |
HCP Inc. | 24,102 | 982 |
Ventas Inc. | 15,518 | 966 |
T. Rowe Price Group Inc. | 13,694 | 960 |
Prologis Inc. | 26,557 | 936 |
Health Care REIT Inc. | 15,145 | 930 |
Ameriprise Financial Inc. | 10,779 | 929 |
SunTrust Banks Inc. | 28,789 | 922 |
AvalonBay Communities Inc. | 6,938 | 860 |
Fifth Third Bancorp | 46,581 | 852 |
Weyerhaeuser Co. | 30,967 | 848 |
Boston Properties Inc. | 8,154 | 836 |
Vornado Realty Trust | 10,034 | 816 |
Progressive Corp. | 31,992 | 802 |
M&T Bank Corp. | 6,930 | 785 |
Loews Corp. | 16,323 | 726 |
Invesco Ltd. | 23,675 | 719 |
Hartford Financial Services Group Inc. | 24,238 | 717 |
Regions Financial Corp. | 75,466 | 709 |
Northern Trust Corp. | 12,796 | 702 |
Fidelity National Information Services Inc. | 15,586 | 693 |
* Fiserv Inc. | 7,176 | 691 |
* IntercontinentalExchange Inc. | 3,782 | 680 |
Host Hotels & Resorts Inc. | 39,550 | 674 |
Thomson Reuters Corp. | 19,929 | 655 |
Moody's Corp. | 10,296 | 654 |
Principal Financial Group Inc. | 15,597 | 638 |
General Growth Properties Inc. | 31,559 | 605 |
Lincoln National Corp. | 14,262 | 600 |
Annaly Capital Management Inc. | 50,731 | 592 |
KeyCorp | 48,861 | 570 |
SLM Corp. | 23,571 | 565 |
NYSE Euronext | 12,951 | 541 |
Western Union Co. | 29,597 | 519 |
* CIT Group Inc. | 10,661 | 510 |
* Alliance Data Systems Corp. | 2,525 | 494 |
* Affiliated Managers Group Inc. | 2,832 | 494 |
American Capital Agency Corp. | 21,150 | 481 |
XL Group plc Class A | 15,601 | 461 |
Kimco Realty Corp. | 21,911 | 439 |
Unum Group | 14,271 | 421 |
SL Green Realty Corp. | 4,789 | 418 |
6
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Realty Income Corp. | 10,433 | 412 |
Macerich Co. | 7,240 | 407 |
Comerica Inc. | 9,901 | 404 |
Cincinnati Financial Corp. | 8,729 | 399 |
Leucadia National Corp. | 15,773 | 393 |
Plum Creek Timber Co. Inc. | 8,651 | 383 |
* Markel Corp. | 742 | 379 |
Digital Realty Trust Inc. | 6,783 | 377 |
* Arch Capital Group Ltd. | 7,052 | 376 |
Equifax Inc. | 6,312 | 373 |
Everest Re Group Ltd. | 2,695 | 369 |
Rayonier Inc. | 6,663 | 368 |
Huntington Bancshares Inc. | 44,512 | 367 |
* FleetCor Technologies Inc. | 3,552 | 366 |
* Alleghany Corp. | 896 | 347 |
New York Community Bancorp Inc. | 23,457 | 344 |
Torchmark Corp. | 4,824 | 332 |
Federal Realty Investment Trust | 3,382 | 329 |
* CBRE Group Inc. Class A | 14,857 | 325 |
TD Ameritrade Holding Corp. | 12,376 | 318 |
* Genworth Financial Inc. Class A | 26,218 | 309 |
UDR Inc. | 13,372 | 302 |
Essex Property Trust Inc. | 2,063 | 296 |
Fidelity National Financial Inc. Class A | 12,103 | 287 |
Camden Property Trust | 4,608 | 285 |
* Ocwen Financial Corp. | 5,599 | 282 |
Arthur J Gallagher & Co. | 6,803 | 281 |
Zions Bancorporation | 9,885 | 276 |
Raymond James Financial Inc. | 6,568 | 275 |
First Republic Bank | 6,152 | 272 |
Axis Capital Holdings Ltd. | 6,304 | 271 |
* Realogy Holdings Corp. | 6,304 | 267 |
Hudson City Bancorp Inc. | 28,031 | 258 |
Reinsurance Group of America Inc. Class A | 3,925 | 254 |
Ares Capital Corp. | 14,259 | 251 |
Duke Realty Corp. | 17,133 | 250 |
Eaton Vance Corp. | 6,427 | 248 |
Extra Space Storage Inc. | 5,956 | 246 |
PartnerRe Ltd. | 2,788 | 243 |
Liberty Property Trust | 6,940 | 240 |
Total System Services Inc. | 8,671 | 240 |
Lazard Ltd. Class A | 6,773 | 240 |
* MSCI Inc. Class A | 6,332 | 237 |
People's United Financial Inc. | 16,483 | 234 |
WR Berkley Corp. | 5,688 | 234 |
Regency Centers Corp. | 4,905 | 233 |
FactSet Research Systems Inc. | 2,250 | 230 |
Alexandria Real Estate Equities Inc. | 3,725 | 230 |
Senior Housing Properties Trust | 10,090 | 230 |
HCC Insurance Holdings Inc. | 5,408 | 228 |
SEI Investments Co. | 7,648 | 228 |
Jack Henry & Associates Inc. | 4,548 | 227 |
* Howard Hughes Corp. | 2,193 | 224 |
Taubman Centers Inc. | 3,312 | 223 |
DDR Corp. | 14,231 | 221 |
Waddell & Reed Financial Inc. Class A | 4,617 | 220 |
Dun & Bradstreet Corp. | 2,199 | 219 |
Starwood Property Trust Inc. | 8,758 | 218 |
CBOE Holdings Inc. | 4,727 | 217 |
* E*TRADE Financial Corp. | 15,342 | 215 |
Apartment Investment & Management Co. Class A | 7,814 | 215 |
RenaissanceRe Holdings Ltd. | 2,461 | 215 |
American Financial Group Inc. | 4,153 | 214 |
* Signature Bank | 2,438 | 214 |
7
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
East West Bancorp Inc. | 7,297 | 213 |
Assurant Inc. | 4,009 | 213 |
* SVB Financial Group | 2,477 | 205 |
* American Capital Ltd. | 16,394 | 205 |
Corrections Corp. of America | 6,134 | 202 |
Hospitality Properties Trust | 7,473 | 202 |
Cullen/Frost Bankers Inc. | 2,830 | 200 |
BRE Properties Inc. | 4,130 | 198 |
Kilroy Realty Corp. | 4,052 | 198 |
WP Carey Inc. | 2,992 | 197 |
Old Republic International Corp. | 13,848 | 197 |
Brown & Brown Inc. | 6,314 | 197 |
Validus Holdings Ltd. | 5,627 | 195 |
National Retail Properties Inc. | 6,356 | 195 |
Legg Mason Inc. | 5,952 | 194 |
Global Payments Inc. | 4,013 | 191 |
Broadridge Financial Solutions Inc. | 6,382 | 190 |
First Niagara Financial Group Inc. | 18,776 | 190 |
White Mountains Insurance Group Ltd. | 336 | 188 |
Two Harbors Investment Corp. | 19,631 | 187 |
American Campus Communities Inc. | 5,602 | 187 |
Weingarten Realty Investors | 6,495 | 186 |
Jones Lang LaSalle Inc. | 2,265 | 186 |
BioMed Realty Trust Inc. | 9,930 | 183 |
Assured Guaranty Ltd. | 9,078 | 181 |
Omega Healthcare Investors Inc. | 6,252 | 178 |
Douglas Emmett Inc. | 7,645 | 177 |
NASDAQ OMX Group Inc. | 5,898 | 176 |
Commerce Bancshares Inc. | 4,030 | 174 |
Allied World Assurance Co. Holdings AG | 1,892 | 174 |
Protective Life Corp. | 4,129 | 173 |
* Spirit Realty Capital Inc. | 19,632 | 171 |
* Popular Inc. | 5,489 | 170 |
Home Properties Inc. | 2,945 | 170 |
CBL & Associates Properties Inc. | 8,800 | 169 |
Synovus Financial Corp. | 52,072 | 166 |
Chimera Investment Corp. | 54,631 | 161 |
Equity Lifestyle Properties Inc. | 4,520 | 157 |
CommonWealth REIT | 6,381 | 157 |
City National Corp. | 2,391 | 157 |
Tanger Factory Outlet Centers | 5,013 | 155 |
ProAssurance Corp. | 3,197 | 151 |
Piedmont Office Realty Trust Inc. Class A | 8,762 | 150 |
* Forest City Enterprises Inc. Class A | 8,378 | 150 |
Lender Processing Services Inc. | 4,631 | 148 |
Mid-America Apartment Communities Inc. | 2,357 | 145 |
First Horizon National Corp. | 12,814 | 142 |
Associated Banc-Corp | 8,847 | 141 |
MFA Financial Inc. | 19,233 | 138 |
Federated Investors Inc. Class B | 5,014 | 136 |
* CoreLogic Inc. | 4,998 | 128 |
Post Properties Inc. | 2,825 | 128 |
Hanover Insurance Group Inc. | 2,384 | 127 |
Aspen Insurance Holdings Ltd. | 3,538 | 126 |
Fulton Financial Corp. | 10,257 | 124 |
TCF Financial Corp. | 8,723 | 123 |
* Vantiv Inc. Class A | 4,633 | 122 |
CapitalSource Inc. | 10,543 | 122 |
StanCorp Financial Group Inc. | 2,276 | 119 |
Bank of Hawaii Corp. | 2,308 | 119 |
Washington Federal Inc. | 5,454 | 114 |
LPL Financial Holdings Inc. | 3,091 | 114 |
ING US Inc. | 3,907 | 112 |
Endurance Specialty Holdings Ltd. | 2,218 | 111 |
8
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Valley National Bancorp | 10,730 | 108 |
Brandywine Realty Trust | 8,419 | 108 |
Corporate Office Properties Trust | 4,661 | 106 |
Mack-Cali Realty Corp. | 4,773 | 103 |
BankUnited Inc. | 3,415 | 101 |
Hatteras Financial Corp. | 5,291 | 97 |
Retail Properties of America Inc. | 7,059 | 94 |
Erie Indemnity Co. Class A | 1,228 | 91 |
* MBIA Inc. | 7,648 | 90 |
Kemper Corp. | 2,543 | 86 |
BOK Financial Corp. | 1,330 | 85 |
First Citizens BancShares Inc. Class A | 395 | 80 |
Morningstar Inc. | 1,050 | 79 |
* St. Joe Co. | 3,613 | 70 |
Mercury General Corp. | 1,438 | 63 |
Healthcare Trust of America Inc. Class A | 5,806 | 60 |
* Nationstar Mortgage Holdings Inc. | 1,117 | 55 |
American National Insurance Co. | 484 | 51 |
CNA Financial Corp. | 1,418 | 50 |
* TFS Financial Corp. | 4,120 | 45 |
Interactive Brokers Group Inc. | 2,507 | 42 |
Artisan Partners Asset Management Inc. | 663 | 32 |
165,875 | ||
Health Care (12.4%) | ||
Johnson & Johnson | 149,375 | 12,908 |
Pfizer Inc. | 355,539 | 10,030 |
Merck & Co. Inc. | 160,504 | 7,590 |
* Gilead Sciences Inc. | 81,179 | 4,893 |
Amgen Inc. | 39,776 | 4,333 |
UnitedHealth Group Inc. | 54,256 | 3,892 |
Bristol-Myers Squibb Co. | 87,276 | 3,639 |
AbbVie Inc. | 84,198 | 3,588 |
* Celgene Corp. | 22,191 | 3,106 |
Medtronic Inc. | 54,077 | 2,799 |
* Express Scripts Holding Co. | 43,505 | 2,779 |
Abbott Laboratories | 82,882 | 2,762 |
Eli Lilly & Co. | 52,717 | 2,710 |
* Biogen Idec Inc. | 12,616 | 2,688 |
Baxter International Inc. | 28,817 | 2,005 |
Thermo Fisher Scientific Inc. | 18,987 | 1,687 |
Covidien plc | 24,982 | 1,484 |
McKesson Corp. | 12,096 | 1,469 |
Allergan Inc. | 15,669 | 1,385 |
WellPoint Inc. | 16,050 | 1,367 |
Aetna Inc. | 20,037 | 1,270 |
Cigna Corp. | 15,174 | 1,194 |
Stryker Corp. | 17,554 | 1,174 |
* Alexion Pharmaceuticals Inc. | 10,451 | 1,126 |
* Regeneron Pharmaceuticals Inc. | 4,265 | 1,033 |
Becton Dickinson and Co. | 10,417 | 1,014 |
* Actavis Inc. | 7,013 | 948 |
* Vertex Pharmaceuticals Inc. | 12,386 | 931 |
Cardinal Health Inc. | 18,233 | 917 |
* Intuitive Surgical Inc. | 2,130 | 823 |
Zoetis Inc. | 26,653 | 777 |
Humana Inc. | 8,310 | 765 |
St. Jude Medical Inc. | 15,158 | 764 |
* Boston Scientific Corp. | 71,898 | 761 |
* Cerner Corp. | 15,724 | 724 |
* Mylan Inc. | 20,290 | 717 |
Zimmer Holdings Inc. | 8,868 | 701 |
AmerisourceBergen Corp. Class A | 12,200 | 694 |
* Life Technologies Corp. | 9,063 | 674 |
* Forest Laboratories Inc. | 14,274 | 607 |
9
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Catamaran Corp. | 11,002 | 604 |
Perrigo Co. | 4,935 | 600 |
HCA Holdings Inc. | 14,254 | 544 |
* DaVita HealthCare Partners Inc. | 4,950 | 532 |
* Illumina Inc. | 6,514 | 507 |
CR Bard Inc. | 4,320 | 496 |
Quest Diagnostics Inc. | 8,377 | 491 |
* BioMarin Pharmaceutical Inc. | 7,357 | 482 |
* Henry Schein Inc. | 4,698 | 475 |
* Onyx Pharmaceuticals Inc. | 3,790 | 468 |
* Laboratory Corp. of America Holdings | 4,860 | 465 |
* CareFusion Corp. | 11,620 | 417 |
* Edwards Lifesciences Corp. | 5,915 | 416 |
* Varian Medical Systems Inc. | 5,673 | 400 |
ResMed Inc. | 7,621 | 360 |
* Hospira Inc. | 8,788 | 343 |
* Pharmacyclics Inc. | 3,046 | 340 |
Universal Health Services Inc. Class B | 4,890 | 331 |
Cooper Cos. Inc. | 2,498 | 326 |
DENTSPLY International Inc. | 7,693 | 323 |
* Hologic Inc. | 14,294 | 305 |
Omnicare Inc. | 5,554 | 302 |
Warner Chilcott plc Class A | 13,441 | 288 |
* IDEXX Laboratories Inc. | 2,950 | 277 |
* MEDNAX Inc. | 2,742 | 267 |
* QIAGEN NV | 12,434 | 249 |
* Endo Health Solutions Inc. | 6,002 | 247 |
* Jazz Pharmaceuticals plc | 2,703 | 237 |
* Covance Inc. | 2,910 | 236 |
* Seattle Genetics Inc. | 5,430 | 230 |
* Medivation Inc. | 3,899 | 220 |
* Alkermes plc | 6,786 | 215 |
* Cubist Pharmaceuticals Inc. | 3,399 | 215 |
PerkinElmer Inc. | 5,933 | 213 |
* Salix Pharmaceuticals Ltd. | 3,174 | 213 |
* Tenet Healthcare Corp. | 5,406 | 211 |
Community Health Systems Inc. | 5,033 | 198 |
* Sirona Dental Systems Inc. | 3,011 | 195 |
* Incyte Corp. Ltd. | 5,551 | 188 |
* Ariad Pharmaceuticals Inc. | 9,879 | 184 |
Patterson Cos. Inc. | 4,566 | 182 |
* Health Management Associates Inc. Class A | 13,783 | 177 |
* United Therapeutics Corp. | 2,386 | 169 |
Teleflex Inc. | 2,087 | 161 |
Techne Corp. | 2,033 | 158 |
* Theravance Inc. | 4,202 | 151 |
* Allscripts Healthcare Solutions Inc. | 9,443 | 137 |
Mallinckrodt plc | 3,122 | 136 |
* Alere Inc. | 4,356 | 136 |
* Brookdale Senior Living Inc. Class A | 5,329 | 133 |
* Bio-Rad Laboratories Inc. Class A | 1,148 | 131 |
* VCA Antech Inc. | 4,763 | 130 |
* Health Net Inc. | 4,296 | 130 |
* Bruker Corp. | 5,839 | 117 |
* Charles River Laboratories International Inc. | 2,529 | 117 |
* LifePoint Hospitals Inc. | 2,501 | 113 |
* Myriad Genetics Inc. | 4,320 | 113 |
Hill-Rom Holdings Inc. | 3,216 | 110 |
* Quintiles Transnational Holdings Inc. | 1,419 | 61 |
110,900 | ||
Materials & Processing (4.1%) | ||
Monsanto Co. | 28,471 | 2,787 |
EI du Pont de Nemours & Co. | 49,006 | 2,775 |
Dow Chemical Co. | 64,281 | 2,404 |
10
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Praxair Inc. | 15,793 | 1,854 |
Freeport-McMoRan Copper & Gold Inc. | 54,967 | 1,661 |
Precision Castparts Corp. | 7,772 | 1,642 |
LyondellBasell Industries NV Class A | 21,490 | 1,508 |
Ecolab Inc. | 13,869 | 1,267 |
PPG Industries Inc. | 7,647 | 1,195 |
Air Products & Chemicals Inc. | 11,136 | 1,137 |
International Paper Co. | 23,601 | 1,114 |
Newmont Mining Corp. | 26,097 | 829 |
Sherwin-Williams Co. | 4,793 | 826 |
Nucor Corp. | 16,804 | 764 |
Fastenal Co. | 15,755 | 693 |
Mosaic Co. | 15,865 | 661 |
Eastman Chemical Co. | 8,144 | 619 |
CF Industries Holdings Inc. | 3,073 | 585 |
Sigma-Aldrich Corp. | 6,302 | 520 |
FMC Corp. | 7,198 | 479 |
Alcoa Inc. | 57,322 | 441 |
Celanese Corp. Class A | 8,578 | 422 |
Rock Tenn Co. Class A | 3,740 | 416 |
Airgas Inc. | 3,530 | 359 |
Ashland Inc. | 4,112 | 359 |
Masco Corp. | 18,934 | 358 |
Ball Corp. | 7,975 | 354 |
MeadWestvaco Corp. | 9,456 | 339 |
International Flavors & Fragrances Inc. | 4,284 | 339 |
Vulcan Materials Co. | 6,943 | 332 |
* Crown Holdings Inc. | 7,625 | 331 |
* WR Grace & Co. | 3,978 | 320 |
Valspar Corp. | 4,822 | 300 |
Sealed Air Corp. | 10,478 | 298 |
Packaging Corp. of America | 5,299 | 281 |
Albemarle Corp. | 4,400 | 274 |
Reliance Steel & Aluminum Co. | 4,033 | 269 |
Rockwood Holdings Inc. | 4,041 | 258 |
Timken Co. | 4,548 | 255 |
* Owens-Illinois Inc. | 8,776 | 249 |
Martin Marietta Materials Inc. | 2,542 | 244 |
RPM International Inc. | 7,039 | 239 |
* Owens Corning | 6,380 | 239 |
Southern Copper Corp. | 8,376 | 230 |
Bemis Co. Inc. | 5,492 | 219 |
Aptargroup Inc. | 3,497 | 206 |
Royal Gold Inc. | 3,493 | 203 |
Sonoco Products Co. | 5,396 | 201 |
* Hexcel Corp. | 5,422 | 193 |
Huntsman Corp. | 10,378 | 182 |
Steel Dynamics Inc. | 11,765 | 180 |
Lennox International Inc. | 2,602 | 179 |
Valmont Industries Inc. | 1,323 | 179 |
Cliffs Natural Resources Inc. | 8,098 | 169 |
Eagle Materials Inc. | 2,579 | 165 |
Allegheny Technologies Inc. | 5,804 | 155 |
United States Steel Corp. | 7,734 | 138 |
Cytec Industries Inc. | 1,848 | 138 |
NewMarket Corp. | 504 | 138 |
Cabot Corp. | 3,446 | 138 |
Carpenter Technology Corp. | 2,556 | 137 |
Scotts Miracle-Gro Co. Class A | 2,380 | 125 |
Compass Minerals International Inc. | 1,673 | 123 |
* MRC Global Inc. | 4,348 | 114 |
Domtar Corp. | 1,697 | 112 |
Silgan Holdings Inc. | 2,300 | 109 |
Westlake Chemical Corp. | 983 | 99 |
11
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Greif Inc. Class A | 1,715 | 92 |
* Tahoe Resources Inc. | 4,578 | 82 |
* Armstrong World Industries Inc. | 1,553 | 75 |
Kronos Worldwide Inc. | 1,214 | 18 |
36,695 | ||
Producer Durables (11.1%) | ||
General Electric Co. | 549,787 | 12,722 |
United Technologies Corp. | 48,965 | 4,901 |
Boeing Co. | 40,388 | 4,197 |
3M Co. | 36,783 | 4,178 |
Union Pacific Corp. | 24,718 | 3,795 |
Honeywell International Inc. | 41,870 | 3,332 |
United Parcel Service Inc. Class B | 38,588 | 3,302 |
Caterpillar Inc. | 35,026 | 2,891 |
Accenture plc Class A | 34,235 | 2,473 |
Emerson Electric Co. | 38,251 | 2,309 |
Danaher Corp. | 31,912 | 2,091 |
Automatic Data Processing Inc. | 25,733 | 1,831 |
FedEx Corp. | 16,758 | 1,799 |
Deere & Co. | 20,531 | 1,717 |
Lockheed Martin Corp. | 13,891 | 1,701 |
Eaton Corp. plc | 25,062 | 1,587 |
Illinois Tool Works Inc. | 20,169 | 1,441 |
CSX Corp. | 54,241 | 1,335 |
General Dynamics Corp. | 15,811 | 1,316 |
Raytheon Co. | 17,191 | 1,296 |
Cummins Inc. | 10,143 | 1,250 |
Norfolk Southern Corp. | 16,710 | 1,206 |
Northrop Grumman Corp. | 12,448 | 1,149 |
Waste Management Inc. | 24,819 | 1,004 |
PACCAR Inc. | 18,720 | 1,004 |
Ingersoll-Rand plc | 15,847 | 937 |
Delta Air Lines Inc. | 45,593 | 900 |
Agilent Technologies Inc. | 18,499 | 863 |
Parker Hannifin Corp. | 7,989 | 799 |
WW Grainger Inc. | 3,135 | 775 |
Dover Corp. | 9,030 | 768 |
Stanley Black & Decker Inc. | 8,673 | 739 |
Rockwell Automation Inc. | 7,487 | 728 |
Paychex Inc. | 17,243 | 667 |
Xerox Corp. | 65,199 | 651 |
Pentair Ltd. | 10,775 | 648 |
Roper Industries Inc. | 5,180 | 641 |
Kansas City Southern | 5,935 | 626 |
AMETEK Inc. | 12,997 | 558 |
Fluor Corp. | 8,628 | 547 |
* United Continental Holdings Inc. | 18,938 | 539 |
* Stericycle Inc. | 4,527 | 510 |
Rockwell Collins Inc. | 7,153 | 506 |
* Verisk Analytics Inc. Class A | 7,947 | 494 |
Southwest Airlines Co. | 38,531 | 494 |
CH Robinson Worldwide Inc. | 8,492 | 483 |
Republic Services Inc. Class A | 14,393 | 468 |
ADT Corp. | 11,644 | 464 |
Expeditors International of Washington Inc. | 10,981 | 445 |
* Waters Corp. | 4,465 | 441 |
L-3 Communications Holdings Inc. | 4,871 | 440 |
Flowserve Corp. | 7,687 | 429 |
Pall Corp. | 5,857 | 405 |
* Jacobs Engineering Group Inc. | 6,864 | 400 |
Textron Inc. | 14,698 | 396 |
TransDigm Group Inc. | 2,826 | 387 |
* IHS Inc. Class A | 3,419 | 366 |
* B/E Aerospace Inc. | 5,195 | 354 |
12
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Mettler-Toledo International Inc. | 1,595 | 351 |
JB Hunt Transport Services Inc. | 4,817 | 347 |
* Trimble Navigation Ltd. | 13,621 | 344 |
Hubbell Inc. Class B | 3,201 | 324 |
Chicago Bridge & Iron Co. NV | 5,310 | 318 |
Wabtec Corp. | 5,058 | 296 |
* Quanta Services Inc. | 11,159 | 292 |
AGCO Corp. | 5,103 | 289 |
Lincoln Electric Holdings Inc. | 4,514 | 282 |
Waste Connections Inc. | 6,642 | 281 |
Snap-on Inc. | 3,005 | 281 |
Joy Global Inc. | 5,680 | 279 |
Towers Watson & Co. Class A | 3,384 | 278 |
Donaldson Co. Inc. | 7,829 | 276 |
* United Rentals Inc. | 4,943 | 271 |
Cintas Corp. | 5,555 | 265 |
Manpowergroup Inc. | 4,021 | 261 |
Robert Half International Inc. | 7,324 | 258 |
IDEX Corp. | 4,285 | 254 |
* Kirby Corp. | 3,093 | 249 |
Xylem Inc. | 9,907 | 245 |
Copa Holdings SA Class A | 1,812 | 237 |
KBR Inc. | 7,935 | 237 |
FLIR Systems Inc. | 7,537 | 236 |
* Colfax Corp. | 4,492 | 234 |
Nordson Corp. | 3,499 | 233 |
Iron Mountain Inc. | 9,036 | 233 |
Avery Dennison Corp. | 5,235 | 224 |
Graco Inc. | 3,206 | 223 |
Carlisle Cos. Inc. | 3,324 | 221 |
* Oshkosh Corp. | 4,705 | 211 |
Alaska Air Group Inc. | 3,665 | 208 |
* Genesee & Wyoming Inc. Class A | 2,357 | 204 |
URS Corp. | 4,000 | 198 |
Triumph Group Inc. | 2,674 | 192 |
MSC Industrial Direct Co. Inc. Class A | 2,468 | 188 |
Babcock & Wilcox Co. | 6,015 | 186 |
* Copart Inc. | 5,846 | 186 |
SPX Corp. | 2,417 | 179 |
* Clean Harbors Inc. | 3,119 | 177 |
Kennametal Inc. | 4,113 | 175 |
Genpact Ltd. | 9,058 | 174 |
Huntington Ingalls Industries Inc. | 2,742 | 174 |
Trinity Industries Inc. | 4,112 | 174 |
* Terex Corp. | 5,984 | 174 |
Pitney Bowes Inc. | 10,562 | 172 |
Alliant Techsystems Inc. | 1,775 | 172 |
AO Smith Corp. | 4,029 | 169 |
* WESCO International Inc. | 2,276 | 168 |
RR Donnelley & Sons Co. | 9,693 | 162 |
* Old Dominion Freight Line Inc. | 3,699 | 161 |
Toro Co. | 3,018 | 159 |
Ryder System Inc. | 2,857 | 159 |
* AECOM Technology Corp. | 5,391 | 157 |
ITT Corp. | 4,747 | 156 |
Exelis Inc. | 9,993 | 147 |
Tidewater Inc. | 2,720 | 147 |
Regal-Beloit Corp. | 2,299 | 146 |
Crane Co. | 2,518 | 145 |
* Spirit Aerosystems Holdings Inc. Class A | 6,376 | 144 |
Manitowoc Co. Inc. | 7,150 | 143 |
National Instruments Corp. | 5,110 | 142 |
Landstar System Inc. | 2,484 | 136 |
Con-way Inc. | 3,086 | 128 |
13
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Zebra Technologies Corp. | 2,667 | 122 |
Covanta Holding Corp. | 5,538 | 117 |
Lexmark International Inc. Class A | 3,388 | 116 |
GATX Corp. | 2,423 | 110 |
Harsco Corp. | 4,410 | 104 |
* Navistar International Corp. | 2,895 | 99 |
Air Lease Corp. Class A | 3,798 | 98 |
Rollins Inc. | 3,461 | 86 |
Teekay Corp. | 2,086 | 83 |
CNH Global NV | 1,665 | 76 |
Allison Transmission Holdings Inc. | 1,841 | 41 |
Booz Allen Hamilton Holding Corp. | 1,732 | 35 |
99,614 | ||
Technology (15.4%) | ||
Apple Inc. | 49,901 | 24,304 |
Microsoft Corp. | 443,990 | 14,829 |
* Google Inc. Class A | 14,327 | 12,133 |
International Business Machines Corp. | 55,406 | 10,099 |
Cisco Systems Inc. | 284,113 | 6,623 |
QUALCOMM Inc. | 91,931 | 6,093 |
Oracle Corp. | 188,721 | 6,013 |
Intel Corp. | 264,287 | 5,809 |
* Facebook Inc. Class A | 90,568 | 3,739 |
EMC Corp. | 111,688 | 2,879 |
Hewlett-Packard Co. | 103,315 | 2,308 |
Texas Instruments Inc. | 58,945 | 2,252 |
* Salesforce.com Inc. | 31,420 | 1,544 |
* Yahoo! Inc. | 47,533 | 1,289 |
* Adobe Systems Inc. | 26,695 | 1,221 |
* Cognizant Technology Solutions Corp. Class A | 16,047 | 1,176 |
* LinkedIn Corp. Class A | 4,823 | 1,158 |
Corning Inc. | 78,664 | 1,104 |
* Crown Castle International Corp. | 15,557 | 1,080 |
Intuit Inc. | 15,879 | 1,009 |
Applied Materials Inc. | 63,994 | 961 |
Symantec Corp. | 37,078 | 950 |
Dell Inc. | 66,613 | 917 |
NetApp Inc. | 19,141 | 795 |
Broadcom Corp. Class A | 30,257 | 764 |
Analog Devices Inc. | 16,350 | 757 |
* Micron Technology Inc. | 54,714 | 742 |
Motorola Solutions Inc. | 12,966 | 726 |
SanDisk Corp. | 12,877 | 711 |
* Citrix Systems Inc. | 9,849 | 697 |
Western Digital Corp. | 11,182 | 693 |
Amphenol Corp. Class A | 8,567 | 649 |
Xilinx Inc. | 14,005 | 608 |
Altera Corp. | 17,103 | 601 |
* Red Hat Inc. | 10,167 | 514 |
CA Inc. | 17,426 | 510 |
* Juniper Networks Inc. | 26,847 | 507 |
Avago Technologies Ltd. Class A | 13,111 | 505 |
* Teradata Corp. | 8,620 | 505 |
* SBA Communications Corp. Class A | 6,720 | 504 |
KLA-Tencor Corp. | 8,759 | 483 |
Linear Technology Corp. | 12,406 | 475 |
NVIDIA Corp. | 30,672 | 452 |
* Equinix Inc. | 2,543 | 442 |
* Autodesk Inc. | 11,941 | 439 |
* Akamai Technologies Inc. | 9,483 | 436 |
Maxim Integrated Products Inc. | 15,504 | 432 |
* Electronic Arts Inc. | 16,014 | 427 |
* ANSYS Inc. | 5,027 | 422 |
Microchip Technology Inc. | 10,542 | 409 |
14
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Lam Research Corp. | 8,702 | 406 |
Computer Sciences Corp. | 7,991 | 401 |
* VMware Inc. Class A | 4,494 | 378 |
Activision Blizzard Inc. | 22,711 | 371 |
* VeriSign Inc. | 7,620 | 366 |
* F5 Networks Inc. | 4,259 | 355 |
* BMC Software Inc. | 7,649 | 352 |
* Cree Inc. | 6,241 | 346 |
Harris Corp. | 5,850 | 331 |
* NCR Corp. | 8,809 | 313 |
Amdocs Ltd. | 8,457 | 312 |
* Synopsys Inc. | 8,217 | 298 |
* Splunk Inc. | 5,395 | 298 |
* Gartner Inc. | 4,923 | 285 |
* Avnet Inc. | 7,357 | 284 |
* 3D Systems Corp. | 5,442 | 280 |
* Nuance Communications Inc. | 14,078 | 269 |
* Rackspace Hosting Inc. | 5,990 | 268 |
* Skyworks Solutions Inc. | 10,260 | 260 |
* Arrow Electronics Inc. | 5,521 | 256 |
Marvell Technology Group Ltd. | 20,836 | 252 |
* Concur Technologies Inc. | 2,568 | 251 |
Jabil Circuit Inc. | 10,858 | 248 |
SAIC Inc. | 15,513 | 234 |
* Groupon Inc. | 22,535 | 229 |
* LSI Corp. | 29,529 | 219 |
Molex Inc. | 7,403 | 215 |
* Informatica Corp. | 5,779 | 207 |
* Cadence Design Systems Inc. | 15,094 | 203 |
* MICROS Systems Inc. | 4,157 | 203 |
* TIBCO Software Inc. | 8,886 | 200 |
* ServiceNow Inc. | 4,212 | 197 |
* NetSuite Inc. | 1,921 | 191 |
IAC/InterActiveCorp | 3,882 | 191 |
Solera Holdings Inc. | 3,567 | 184 |
* NeuStar Inc. Class A | 3,585 | 181 |
* Ingram Micro Inc. | 8,153 | 180 |
* Stratasys Ltd. | 1,628 | 175 |
* ON Semiconductor Corp. | 24,068 | 174 |
* Brocade Communications Systems Inc. | 23,254 | 172 |
* Atmel Corp. | 22,809 | 166 |
* JDS Uniphase Corp. | 12,360 | 159 |
* Teradyne Inc. | 10,139 | 156 |
* Workday Inc. Class A | 2,065 | 150 |
* Fortinet Inc. | 7,240 | 143 |
AOL Inc. | 4,114 | 135 |
* Riverbed Technology Inc. | 8,759 | 135 |
DST Systems Inc. | 1,861 | 133 |
* SolarWinds Inc. | 3,503 | 128 |
Compuware Corp. | 11,115 | 119 |
* VeriFone Systems Inc. | 5,835 | 116 |
* Advanced Micro Devices Inc. | 31,852 | 104 |
* Rovi Corp. | 5,617 | 101 |
* Tech Data Corp. | 2,039 | 100 |
Diebold Inc. | 3,437 | 97 |
* Polycom Inc. | 9,031 | 90 |
IPG Photonics Corp. | 1,629 | 88 |
* Zynga Inc. Class A | 30,465 | 86 |
* Palo Alto Networks Inc. | 1,795 | 86 |
* Silicon Laboratories Inc. | 2,192 | 85 |
* EchoStar Corp. Class A | 2,076 | 84 |
* Vishay Intertechnology Inc. | 6,769 | 83 |
* Fairchild Semiconductor International Inc. Class A | 6,496 | 79 |
Dolby Laboratories Inc. Class A | 2,480 | 78 |
15
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Freescale Semiconductor Ltd. | 3,084 | 44 |
* Tableau Software Inc. Class A | 591 | 43 |
AVX Corp. | 2,522 | 32 |
138,050 | ||
Utilities (5.5%) | ||
AT&T Inc. | 286,051 | 9,677 |
Verizon Communications Inc. | 152,073 | 7,205 |
Duke Energy Corp. | 37,555 | 2,464 |
Southern Co. | 46,227 | 1,924 |
NextEra Energy Inc. | 22,664 | 1,821 |
Dominion Resources Inc. | 30,674 | 1,790 |
Exelon Corp. | 45,423 | 1,385 |
American Electric Power Co. Inc. | 25,859 | 1,107 |
Sempra Energy | 12,894 | 1,089 |
CenturyLink Inc. | 32,346 | 1,071 |
PPL Corp. | 33,596 | 1,031 |
PG&E Corp. | 23,467 | 971 |
Consolidated Edison Inc. | 15,655 | 880 |
Public Service Enterprise Group Inc. | 26,835 | 870 |
FirstEnergy Corp. | 22,222 | 833 |
Edison International | 17,318 | 795 |
Xcel Energy Inc. | 26,372 | 736 |
Northeast Utilities | 16,680 | 683 |
DTE Energy Co. | 9,164 | 613 |
Entergy Corp. | 9,428 | 596 |
ONEOK Inc. | 10,907 | 561 |
CenterPoint Energy Inc. | 22,951 | 526 |
Wisconsin Energy Corp. | 12,227 | 502 |
NiSource Inc. | 16,676 | 488 |
NRG Energy Inc. | 17,126 | 450 |
Ameren Corp. | 12,886 | 436 |
AES Corp. | 32,926 | 418 |
* Calpine Corp. | 21,014 | 406 |
American Water Works Co. Inc. | 9,378 | 382 |
CMS Energy Corp. | 14,228 | 377 |
OGE Energy Corp. | 10,624 | 374 |
SCANA Corp. | 7,486 | 360 |
Pinnacle West Capital Corp. | 5,805 | 315 |
Sprint Corp. | 45,559 | 306 |
Alliant Energy Corp. | 5,992 | 297 |
NV Energy Inc. | 12,572 | 295 |
AGL Resources Inc. | 6,302 | 277 |
MDU Resources Group Inc. | 10,022 | 268 |
National Fuel Gas Co. | 3,994 | 261 |
Windstream Corp. | 31,561 | 255 |
Pepco Holdings Inc. | 13,359 | 253 |
Energen Corp. | 3,791 | 251 |
ITC Holdings Corp. | 2,698 | 240 |
UGI Corp. | 6,086 | 239 |
Integrys Energy Group Inc. | 4,128 | 231 |
* tw telecom inc Class A | 8,029 | 230 |
Aqua America Inc. | 7,552 | 229 |
Frontier Communications Corp. | 52,941 | 229 |
* T-Mobile US Inc. | 9,241 | 216 |
Westar Energy Inc. | 6,790 | 211 |
Questar Corp. | 9,277 | 203 |
* Level 3 Communications Inc. | 8,641 | 193 |
TECO Energy Inc. | 11,641 | 192 |
Atmos Energy Corp. | 4,716 | 190 |
Great Plains Energy Inc. | 8,340 | 183 |
Vectren Corp. | 4,452 | 145 |
Telephone & Data Systems Inc. | 5,045 | 140 |
Hawaiian Electric Industries Inc. | 5,227 | 131 |
United States Cellular Corp. | 709 | 30 |
16
Vanguard® Russell 1000 Index Fund | |||||
Schedule of Investments | |||||
August 31, 2013 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
* | Intelsat SA | 1,167 | 27 | ||
48,858 | |||||
Total Common Stocks (Cost $757,783) | 893,189 | ||||
Temporary Cash Investments (0.0%)1 | |||||
Face | |||||
Maturity | Amount | ||||
Coupon | Date | ($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||||
2,3 | Federal Home Loan Bank Discount Notes | 0.090% | 10/25/13 | 100 | 100 |
3,4 | Freddie Mac Discount Notes | 0.130% | 9/16/13 | 100 | 100 |
3,4 | Freddie Mac Discount Notes | 0.093% | 9/30/13 | 100 | 100 |
300 | |||||
Total Temporary Cash Investments (Cost $300) | 300 | ||||
Total Investments (99.8%) (Cost $758,083) | 893,489 | ||||
Other Assets and Liabilities—Net (0.2%) | 1,898 | ||||
Net Assets (100%) | 895,387 |
* 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 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.
3 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
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.
REIT—Real Estate Investment Trust.
17
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.9%) | ||
Consumer Discretionary (6.8%) | ||
Walt Disney Co. | 156,532 | 9,522 |
Time Warner Inc. | 104,081 | 6,300 |
Ford Motor Co. | 280,001 | 4,533 |
Wal-Mart Stores Inc. | 60,782 | 4,436 |
* General Motors Co. | 92,971 | 3,168 |
Johnson Controls Inc. | 76,692 | 3,108 |
* Twenty-First Century Fox Inc. | 58,410 | 1,830 |
Carnival Corp. | 46,705 | 1,686 |
* Liberty Media Corp. Class A | 11,249 | 1,535 |
Kohl's Corp. | 24,635 | 1,264 |
* Liberty Interactive Corp. Class A | 54,394 | 1,228 |
Whirlpool Corp. | 8,196 | 1,054 |
Staples Inc. | 74,320 | 1,034 |
Target Corp. | 15,488 | 981 |
McGraw Hill Financial Inc. | 16,185 | 945 |
* TRW Automotive Holdings Corp. | 12,086 | 835 |
Best Buy Co. Inc. | 22,349 | 805 |
* Mohawk Industries Inc. | 6,835 | 803 |
Starwood Hotels & Resorts Worldwide Inc. | 12,518 | 800 |
* MGM Resorts International | 41,563 | 735 |
Nielsen Holdings NV | 20,915 | 722 |
Royal Caribbean Cruises Ltd. | 18,235 | 669 |
GameStop Corp. Class A | 13,293 | 667 |
Sirius XM Radio Inc. | 182,148 | 652 |
Gannett Co. Inc. | 25,543 | 615 |
Lennar Corp. Class A | 18,469 | 588 |
* Toll Brothers Inc. | 18,956 | 580 |
DR Horton Inc. | 31,554 | 563 |
Garmin Ltd. | 13,755 | 561 |
Signet Jewelers Ltd. | 8,363 | 555 |
Lear Corp. | 7,958 | 547 |
* Liberty Global plc Class A | 6,623 | 514 |
Harman International Industries Inc. | 7,562 | 484 |
Foot Locker Inc. | 14,425 | 465 |
Leggett & Platt Inc. | 15,976 | 462 |
Comcast Corp. Class A | 10,928 | 460 |
Comcast Corp. | 11,200 | 456 |
Macy's Inc. | 9,637 | 428 |
Interpublic Group of Cos. Inc. | 26,052 | 410 |
* Penn National Gaming Inc. | 7,392 | 389 |
Newell Rubbermaid Inc. | 13,551 | 343 |
CBS Corp. Class B | 5,729 | 293 |
Abercrombie & Fitch Co. | 7,636 | 270 |
Washington Post Co. Class B | 472 | 266 |
* JC Penney Co. Inc. | 19,529 | 244 |
* DreamWorks Animation SKG Inc. Class A | 8,555 | 242 |
Darden Restaurants Inc. | 5,037 | 233 |
Wendy's Co. | 30,711 | 232 |
News Corp. Class A | 14,597 | 229 |
John Wiley & Sons Inc. Class A | 5,131 | 225 |
* Sears Holdings Corp. | 4,908 | 217 |
* Hyatt Hotels Corp. Class A | 4,977 | 216 |
DeVry Inc. | 6,937 | 208 |
* Apollo Group Inc. Class A | 10,903 | 202 |
Guess? Inc. | 6,553 | 200 |
* Ascena Retail Group Inc. | 12,223 | 199 |
* CST Brands Inc. | 6,721 | 198 |
Aaron's Inc. | 7,303 | 198 |
* Big Lots Inc. | 4,785 | 170 |
Gentex Corp. | 6,824 | 154 |
PVH Corp. | 1,113 | 143 |
18
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
KAR Auction Services Inc. | 5,337 | 142 |
Regal Entertainment Group Class A | 7,233 | 129 |
* Deckers Outdoor Corp. | 2,167 | 127 |
Marriott International Inc. Class A | 3,061 | 122 |
American Eagle Outfitters Inc. | 7,756 | 112 |
Choice Hotels International Inc. | 2,728 | 105 |
Service Corp. International | 5,124 | 93 |
Hasbro Inc. | 1,972 | 90 |
* NVR Inc. | 98 | 84 |
Fortune Brands Home & Security Inc. | 2,186 | 81 |
Dillard's Inc. Class A | 982 | 75 |
Genuine Parts Co. | 950 | 73 |
AMERCO | 378 | 62 |
Weight Watchers International Inc. | 1,378 | 50 |
Starz | 1,403 | 35 |
Chico's FAS Inc. | 1,071 | 17 |
DSW Inc. Class A | 194 | 17 |
* Taylor Morrison Home Corp. Class A | 422 | 9 |
* Norwegian Cruise Line Holdings Ltd. | 106 | 3 |
63,497 | ||
Consumer Staples (5.5%) | ||
Procter & Gamble Co. | 306,264 | 23,855 |
CVS Caremark Corp. | 120,970 | 7,022 |
Mondelez International Inc. Class A | 199,180 | 6,109 |
Archer-Daniels-Midland Co. | 68,101 | 2,398 |
Sysco Corp. | 43,385 | 1,389 |
Walgreen Co. | 26,118 | 1,256 |
Bunge Ltd. | 16,461 | 1,247 |
Beam Inc. | 17,983 | 1,127 |
JM Smucker Co. | 10,422 | 1,106 |
Tyson Foods Inc. Class A | 31,458 | 911 |
Molson Coors Brewing Co. Class B | 15,698 | 766 |
Energizer Holdings Inc. | 6,946 | 686 |
Kimberly-Clark Corp. | 7,062 | 660 |
Safeway Inc. | 24,610 | 637 |
* Smithfield Foods Inc. | 15,468 | 519 |
Ingredion Inc. | 7,672 | 483 |
Reynolds American Inc. | 8,547 | 407 |
Campbell Soup Co. | 6,739 | 291 |
* Dean Foods Co. | 10,447 | 200 |
Clorox Co. | 2,337 | 193 |
Kellogg Co. | 2,332 | 142 |
ConAgra Foods Inc. | 3,438 | 116 |
* Constellation Brands Inc. Class A | 1,013 | 55 |
Pinnacle Foods Inc. | 1,590 | 43 |
51,618 | ||
Energy (15.1%) | ||
Exxon Mobil Corp. | 496,901 | 43,310 |
Chevron Corp. | 216,623 | 26,088 |
ConocoPhillips | 136,552 | 9,053 |
Occidental Petroleum Corp. | 89,979 | 7,937 |
Anadarko Petroleum Corp. | 52,939 | 4,840 |
Phillips 66 | 69,143 | 3,948 |
Apache Corp. | 43,721 | 3,746 |
National Oilwell Varco Inc. | 47,783 | 3,550 |
Marathon Oil Corp. | 79,210 | 2,727 |
Marathon Petroleum Corp. | 36,154 | 2,622 |
Devon Energy Corp. | 45,393 | 2,592 |
Hess Corp. | 34,285 | 2,566 |
Spectra Energy Corp. | 74,739 | 2,475 |
Valero Energy Corp. | 60,946 | 2,165 |
Noble Energy Inc. | 35,106 | 2,157 |
Baker Hughes Inc. | 46,276 | 2,151 |
Chesapeake Energy Corp. | 65,077 | 1,680 |
19
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Murphy Oil Corp. | 21,269 | 1,434 |
Williams Cos. Inc. | 34,434 | 1,248 |
HollyFrontier Corp. | 22,785 | 1,013 |
Cimarex Energy Co. | 9,859 | 826 |
CONSOL Energy Inc. | 25,477 | 796 |
* Denbury Resources Inc. | 41,555 | 718 |
Pioneer Natural Resources Co. | 4,088 | 715 |
Tesoro Corp. | 15,019 | 692 |
Helmerich & Payne Inc. | 10,666 | 672 |
* Whiting Petroleum Corp. | 12,187 | 615 |
* Cameron International Corp. | 10,315 | 586 |
* Oil States International Inc. | 6,224 | 555 |
Peabody Energy Corp. | 29,508 | 508 |
Nabors Industries Ltd. | 32,898 | 507 |
QEP Resources Inc. | 18,026 | 492 |
* Rowan Cos. plc Class A | 13,798 | 489 |
Diamond Offshore Drilling Inc. | 7,610 | 487 |
* Superior Energy Services Inc. | 17,752 | 436 |
* WPX Energy Inc. | 22,322 | 417 |
* Newfield Exploration Co. | 15,315 | 365 |
* Ultra Petroleum Corp. | 17,018 | 352 |
Patterson-UTI Energy Inc. | 16,330 | 320 |
EOG Resources Inc. | 1,944 | 305 |
* Atwood Oceanics Inc. | 5,290 | 295 |
* SandRidge Energy Inc. | 55,261 | 285 |
* First Solar Inc. | 7,614 | 280 |
World Fuel Services Corp. | 6,641 | 253 |
* Unit Corp. | 5,415 | 249 |
Kinder Morgan Inc. | 6,216 | 236 |
* McDermott International Inc. | 26,383 | 198 |
Golar LNG Ltd. | 4,898 | 183 |
EQT Corp. | 1,394 | 120 |
* Gulfport Energy Corp. | 1,606 | 95 |
* Cobalt International Energy Inc. | 2,641 | 64 |
PBF Energy Inc. Class A | 2,205 | 48 |
RPC Inc. | 583 | 8 |
* Laredo Petroleum Holdings Inc. | 119 | 3 |
140,472 | ||
Financial Services (29.2%) | ||
* Berkshire Hathaway Inc. Class B | 201,054 | 22,361 |
Wells Fargo & Co. | 539,582 | 22,166 |
JPMorgan Chase & Co. | 422,338 | 21,341 |
Bank of America Corp. | 1,204,817 | 17,012 |
Citigroup Inc. | 340,010 | 16,433 |
Goldman Sachs Group Inc. | 51,179 | 7,786 |
* American International Group Inc. | 164,862 | 7,659 |
US Bancorp | 206,535 | 7,462 |
MetLife Inc. | 99,844 | 4,612 |
Morgan Stanley | 170,136 | 4,383 |
PNC Financial Services Group Inc. | 59,314 | 4,287 |
Capital One Financial Corp. | 65,281 | 4,214 |
Bank of New York Mellon Corp. | 129,662 | 3,856 |
State Street Corp. | 50,941 | 3,399 |
ACE Ltd. | 37,999 | 3,333 |
Aflac Inc. | 52,051 | 3,008 |
BB&T Corp. | 78,325 | 2,660 |
Discover Financial Services | 54,709 | 2,585 |
CME Group Inc. | 35,327 | 2,512 |
Allstate Corp. | 52,305 | 2,506 |
BlackRock Inc. | 9,458 | 2,462 |
Travelers Cos. Inc. | 30,745 | 2,457 |
Prudential Financial Inc. | 31,830 | 2,383 |
Charles Schwab Corp. | 105,932 | 2,212 |
Equity Residential | 40,315 | 2,092 |
20
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
HCP Inc. | 50,812 | 2,070 |
Chubb Corp. | 24,810 | 2,063 |
Prologis Inc. | 55,521 | 1,957 |
Health Care REIT Inc. | 31,790 | 1,953 |
SunTrust Banks Inc. | 60,270 | 1,930 |
AvalonBay Communities Inc. | 14,506 | 1,797 |
Fifth Third Bancorp | 97,915 | 1,791 |
M&T Bank Corp. | 14,340 | 1,625 |
Boston Properties Inc. | 15,378 | 1,576 |
Invesco Ltd. | 49,689 | 1,509 |
Hartford Financial Services Group Inc. | 50,908 | 1,507 |
Regions Financial Corp. | 157,941 | 1,485 |
Northern Trust Corp. | 26,745 | 1,468 |
Host Hotels & Resorts Inc. | 83,185 | 1,417 |
Loews Corp. | 31,507 | 1,401 |
Thomson Reuters Corp. | 41,747 | 1,373 |
Vornado Realty Trust | 16,841 | 1,369 |
Principal Financial Group Inc. | 32,739 | 1,340 |
Ameriprise Financial Inc. | 15,278 | 1,316 |
Fidelity National Information Services Inc. | 29,565 | 1,314 |
Simon Property Group Inc. | 8,806 | 1,282 |
General Growth Properties Inc. | 66,420 | 1,274 |
Lincoln National Corp. | 30,120 | 1,266 |
Annaly Capital Management Inc. | 105,650 | 1,233 |
KeyCorp | 103,005 | 1,202 |
SLM Corp. | 49,627 | 1,191 |
NYSE Euronext | 27,168 | 1,136 |
Ventas Inc. | 17,994 | 1,120 |
* CIT Group Inc. | 22,603 | 1,082 |
American Capital Agency Corp. | 44,278 | 1,008 |
XL Group plc Class A | 32,565 | 963 |
Kimco Realty Corp. | 45,576 | 913 |
SL Green Realty Corp. | 10,200 | 889 |
Unum Group | 29,715 | 877 |
Macerich Co. | 15,455 | 870 |
Realty Income Corp. | 21,782 | 860 |
Comerica Inc. | 20,877 | 853 |
Marsh & McLennan Cos. Inc. | 20,511 | 846 |
Cincinnati Financial Corp. | 18,332 | 837 |
* Markel Corp. | 1,572 | 803 |
Huntington Bancshares Inc. | 93,746 | 772 |
Everest Re Group Ltd. | 5,629 | 771 |
* Arch Capital Group Ltd. | 13,922 | 742 |
* Alleghany Corp. | 1,877 | 727 |
New York Community Bancorp Inc. | 49,243 | 721 |
Torchmark Corp. | 10,396 | 716 |
Leucadia National Corp. | 28,642 | 714 |
TD Ameritrade Holding Corp. | 26,038 | 668 |
* Genworth Financial Inc. Class A | 55,083 | 650 |
UDR Inc. | 27,754 | 627 |
Essex Property Trust Inc. | 4,247 | 609 |
Fidelity National Financial Inc. Class A | 25,374 | 602 |
Camden Property Trust | 9,568 | 591 |
First Republic Bank | 13,091 | 580 |
Zions Bancorporation | 20,563 | 575 |
Raymond James Financial Inc. | 13,381 | 560 |
Hudson City Bancorp Inc. | 59,100 | 543 |
PartnerRe Ltd. | 6,036 | 526 |
Ares Capital Corp. | 29,922 | 526 |
Duke Realty Corp. | 35,961 | 525 |
Reinsurance Group of America Inc. Class A | 8,044 | 521 |
Aon plc | 7,826 | 520 |
Liberty Property Trust | 14,528 | 503 |
People's United Financial Inc. | 35,122 | 499 |
21
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Alexandria Real Estate Equities Inc. | 8,096 | 499 |
WR Berkley Corp. | 12,060 | 496 |
HCC Insurance Holdings Inc. | 11,211 | 473 |
Extra Space Storage Inc. | 11,459 | 472 |
Starwood Property Trust Inc. | 18,591 | 463 |
* Howard Hughes Corp. | 4,522 | 462 |
DDR Corp. | 29,505 | 458 |
Assurant Inc. | 8,543 | 453 |
* E*TRADE Financial Corp. | 31,987 | 449 |
East West Bancorp Inc. | 15,225 | 445 |
Senior Housing Properties Trust | 19,429 | 442 |
RenaissanceRe Holdings Ltd. | 4,946 | 432 |
Axis Capital Holdings Ltd. | 9,917 | 426 |
* American Capital Ltd. | 33,885 | 423 |
WP Carey Inc. | 6,427 | 422 |
* Signature Bank | 4,809 | 422 |
Hospitality Properties Trust | 15,543 | 420 |
BRE Properties Inc. | 8,637 | 414 |
* SVB Financial Group | 5,005 | 414 |
Old Republic International Corp. | 28,966 | 411 |
Cullen/Frost Bankers Inc. | 5,768 | 409 |
National Retail Properties Inc. | 13,175 | 404 |
Jones Lang LaSalle Inc. | 4,883 | 402 |
Legg Mason Inc. | 12,333 | 401 |
First Niagara Financial Group Inc. | 39,511 | 399 |
Taubman Centers Inc. | 5,858 | 395 |
Kilroy Realty Corp. | 8,093 | 395 |
American Campus Communities Inc. | 11,763 | 392 |
Weingarten Realty Investors | 13,614 | 391 |
Two Harbors Investment Corp. | 40,854 | 389 |
White Mountains Insurance Group Ltd. | 692 | 387 |
American Financial Group Inc. | 7,431 | 383 |
BioMed Realty Trust Inc. | 20,766 | 382 |
Home Properties Inc. | 6,528 | 377 |
Assured Guaranty Ltd. | 18,847 | 375 |
NASDAQ OMX Group Inc. | 12,430 | 371 |
Validus Holdings Ltd. | 10,701 | 370 |
Commerce Bancshares Inc. | 8,530 | 368 |
Douglas Emmett Inc. | 15,896 | 367 |
Protective Life Corp. | 8,724 | 365 |
* Popular Inc. | 11,538 | 358 |
City National Corp. | 5,376 | 352 |
Synovus Financial Corp. | 109,432 | 349 |
Chimera Investment Corp. | 114,893 | 338 |
Progressive Corp. | 13,163 | 330 |
CommonWealth REIT | 13,156 | 323 |
Piedmont Office Realty Trust Inc. Class A | 18,742 | 322 |
ProAssurance Corp. | 6,824 | 322 |
* Forest City Enterprises Inc. Class A | 17,380 | 311 |
Associated Banc-Corp | 18,680 | 298 |
First Horizon National Corp. | 26,934 | 298 |
Mid-America Apartment Communities Inc. | 4,824 | 297 |
* MSCI Inc. Class A | 7,844 | 294 |
* Spirit Realty Capital Inc. | 33,749 | 294 |
MFA Financial Inc. | 40,390 | 291 |
Regency Centers Corp. | 5,998 | 285 |
Post Properties Inc. | 6,142 | 278 |
* CoreLogic Inc. | 10,584 | 272 |
TCF Financial Corp. | 18,909 | 266 |
CapitalSource Inc. | 22,611 | 261 |
Aspen Insurance Holdings Ltd. | 7,334 | 261 |
Bank of Hawaii Corp. | 5,004 | 258 |
StanCorp Financial Group Inc. | 4,916 | 257 |
Fulton Financial Corp. | 20,834 | 252 |
22
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Federal Realty Investment Trust | 2,528 | 246 |
Washington Federal Inc. | 11,650 | 243 |
Allied World Assurance Co. Holdings AG | 2,646 | 243 |
ING US Inc. | 8,387 | 242 |
CBL & Associates Properties Inc. | 12,189 | 234 |
Corporate Office Properties Trust | 10,232 | 233 |
Valley National Bancorp | 23,073 | 233 |
Brandywine Realty Trust | 17,481 | 224 |
Brown & Brown Inc. | 7,143 | 222 |
Mack-Cali Realty Corp. | 10,260 | 222 |
BankUnited Inc. | 7,226 | 214 |
Apartment Investment & Management Co. Class A | 7,400 | 204 |
Hatteras Financial Corp. | 10,979 | 201 |
Retail Properties of America Inc. | 15,009 | 200 |
Hanover Insurance Group Inc. | 3,569 | 190 |
* MBIA Inc. | 15,754 | 186 |
Kemper Corp. | 5,283 | 179 |
BOK Financial Corp. | 2,781 | 178 |
First Citizens BancShares Inc. Class A | 864 | 175 |
Digital Realty Trust Inc. | 3,076 | 171 |
Public Storage | 1,094 | 167 |
Endurance Specialty Holdings Ltd. | 3,093 | 155 |
Corrections Corp. of America | 4,653 | 153 |
* St. Joe Co. | 7,789 | 150 |
Mercury General Corp. | 3,036 | 133 |
Healthcare Trust of America Inc. Class A | 12,465 | 128 |
Total System Services Inc. | 4,185 | 116 |
CNA Financial Corp. | 3,060 | 108 |
Interactive Brokers Group Inc. | 5,980 | 100 |
* TFS Financial Corp. | 9,119 | 99 |
Equity Lifestyle Properties Inc. | 2,586 | 90 |
Federated Investors Inc. Class B | 2,817 | 77 |
American National Insurance Co. | 716 | 75 |
* Realogy Holdings Corp. | 1,395 | 59 |
LPL Financial Holdings Inc. | 1,383 | 51 |
Lender Processing Services Inc. | 1,528 | 49 |
Dun & Bradstreet Corp. | 409 | 41 |
Artisan Partners Asset Management Inc. | 831 | 40 |
SEI Investments Co. | 877 | 26 |
272,577 | ||
Health Care (12.9%) | ||
Johnson & Johnson | 273,398 | 23,624 |
Pfizer Inc. | 747,462 | 21,086 |
Merck & Co. Inc. | 337,386 | 15,955 |
UnitedHealth Group Inc. | 113,916 | 8,172 |
Medtronic Inc. | 113,399 | 5,868 |
Abbott Laboratories | 173,901 | 5,796 |
Eli Lilly & Co. | 86,486 | 4,445 |
Thermo Fisher Scientific Inc. | 40,087 | 3,561 |
Covidien plc | 52,549 | 3,121 |
WellPoint Inc. | 33,425 | 2,846 |
Cigna Corp. | 30,060 | 2,365 |
Aetna Inc. | 31,007 | 1,966 |
Cardinal Health Inc. | 38,400 | 1,931 |
Humana Inc. | 17,585 | 1,619 |
* Boston Scientific Corp. | 151,243 | 1,600 |
Zimmer Holdings Inc. | 17,643 | 1,395 |
* Forest Laboratories Inc. | 29,765 | 1,266 |
HCA Holdings Inc. | 27,829 | 1,063 |
Bristol-Myers Squibb Co. | 25,435 | 1,060 |
Stryker Corp. | 15,565 | 1,041 |
Quest Diagnostics Inc. | 16,202 | 950 |
* CareFusion Corp. | 24,428 | 876 |
* Express Scripts Holding Co. | 11,528 | 736 |
23
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Hospira Inc. | 18,508 | 722 |
Omnicare Inc. | 11,713 | 637 |
St. Jude Medical Inc. | 11,558 | 583 |
* QIAGEN NV | 26,109 | 523 |
* Life Technologies Corp. | 6,690 | 498 |
DENTSPLY International Inc. | 11,604 | 487 |
* Hologic Inc. | 21,207 | 453 |
PerkinElmer Inc. | 12,445 | 448 |
Community Health Systems Inc. | 9,709 | 381 |
Teleflex Inc. | 4,556 | 351 |
* Allscripts Healthcare Solutions Inc. | 19,953 | 290 |
Mallinckrodt plc | 6,567 | 287 |
* VCA Antech Inc. | 10,353 | 283 |
* Alere Inc. | 8,739 | 272 |
* Bio-Rad Laboratories Inc. Class A | 2,372 | 271 |
* Health Net Inc. | 8,804 | 266 |
* LifePoint Hospitals Inc. | 5,202 | 235 |
Hill-Rom Holdings Inc. | 6,645 | 227 |
Universal Health Services Inc. Class B | 3,261 | 221 |
* MEDNAX Inc. | 1,934 | 188 |
Cooper Cos. Inc. | 1,325 | 173 |
Techne Corp. | 2,200 | 171 |
* Charles River Laboratories International Inc. | 3,074 | 142 |
* Quintiles Transnational Holdings Inc. | 1,674 | 72 |
Warner Chilcott plc Class A | 1,887 | 41 |
Patterson Cos. Inc. | 694 | 28 |
120,592 | ||
Materials & Processing (2.9%) | ||
Dow Chemical Co. | 117,441 | 4,392 |
Freeport-McMoRan Copper & Gold Inc. | 115,834 | 3,501 |
Air Products & Chemicals Inc. | 23,399 | 2,390 |
Newmont Mining Corp. | 55,219 | 1,754 |
Nucor Corp. | 35,526 | 1,616 |
Mosaic Co. | 33,336 | 1,389 |
CF Industries Holdings Inc. | 6,703 | 1,276 |
Alcoa Inc. | 119,450 | 920 |
Ashland Inc. | 8,911 | 777 |
MeadWestvaco Corp. | 19,991 | 717 |
Vulcan Materials Co. | 14,491 | 693 |
Reliance Steel & Aluminum Co. | 8,630 | 576 |
Timken Co. | 9,628 | 540 |
* Owens Corning | 13,262 | 497 |
Sonoco Products Co. | 11,447 | 426 |
Steel Dynamics Inc. | 24,731 | 377 |
Huntsman Corp. | 21,550 | 377 |
Cliffs Natural Resources Inc. | 17,113 | 357 |
Albemarle Corp. | 5,705 | 356 |
International Paper Co. | 6,893 | 325 |
Allegheny Technologies Inc. | 12,059 | 322 |
Royal Gold Inc. | 5,360 | 311 |
Cytec Industries Inc. | 4,062 | 304 |
United States Steel Corp. | 16,788 | 301 |
Cabot Corp. | 7,497 | 300 |
Carpenter Technology Corp. | 5,048 | 271 |
Bemis Co. Inc. | 6,444 | 256 |
Rock Tenn Co. Class A | 2,194 | 244 |
Domtar Corp. | 3,658 | 241 |
PPG Industries Inc. | 1,432 | 224 |
* Owens-Illinois Inc. | 7,645 | 217 |
Rockwood Holdings Inc. | 2,377 | 152 |
Greif Inc. Class A | 2,734 | 147 |
* MRC Global Inc. | 5,343 | 140 |
* Tahoe Resources Inc. | 7,799 | 140 |
Aptargroup Inc. | 2,215 | 130 |
24
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Crown Holdings Inc. | 2,301 | 100 |
* WR Grace & Co. | 1,158 | 93 |
Sigma-Aldrich Corp. | 754 | 62 |
Westlake Chemical Corp. | 414 | 42 |
RPM International Inc. | 866 | 29 |
Kronos Worldwide Inc. | 1,966 | 29 |
27,311 | ||
Producer Durables (10.0%) | ||
General Electric Co. | 1,155,602 | 26,741 |
Caterpillar Inc. | 60,141 | 4,964 |
FedEx Corp. | 35,546 | 3,816 |
Danaher Corp. | 53,447 | 3,502 |
Eaton Corp. plc | 52,946 | 3,352 |
General Dynamics Corp. | 33,430 | 2,783 |
Raytheon Co. | 36,226 | 2,732 |
Northrop Grumman Corp. | 26,281 | 2,425 |
Norfolk Southern Corp. | 28,824 | 2,080 |
Waste Management Inc. | 48,025 | 1,942 |
Illinois Tool Works Inc. | 26,581 | 1,900 |
PACCAR Inc. | 34,483 | 1,849 |
Parker Hannifin Corp. | 16,816 | 1,681 |
Agilent Technologies Inc. | 34,289 | 1,599 |
CSX Corp. | 57,279 | 1,410 |
Stanley Black & Decker Inc. | 16,477 | 1,405 |
Pentair Ltd. | 22,875 | 1,375 |
Xerox Corp. | 137,286 | 1,370 |
3M Co. | 11,899 | 1,351 |
Emerson Electric Co. | 20,379 | 1,230 |
Delta Air Lines Inc. | 52,076 | 1,027 |
Republic Services Inc. Class A | 30,204 | 982 |
ADT Corp. | 24,280 | 967 |
Southwest Airlines Co. | 72,014 | 922 |
L-3 Communications Holdings Inc. | 9,977 | 901 |
Textron Inc. | 31,550 | 850 |
* Jacobs Engineering Group Inc. | 14,322 | 835 |
United Technologies Corp. | 6,472 | 648 |
AGCO Corp. | 10,861 | 614 |
Towers Watson & Co. Class A | 7,338 | 604 |
Joy Global Inc. | 11,884 | 584 |
Ingersoll-Rand plc | 9,694 | 573 |
Manpowergroup Inc. | 8,627 | 559 |
Snap-on Inc. | 5,851 | 548 |
KBR Inc. | 16,467 | 492 |
Xylem Inc. | 19,660 | 487 |
* Quanta Services Inc. | 18,431 | 482 |
Cummins Inc. | 3,821 | 471 |
Fluor Corp. | 7,315 | 464 |
Carlisle Cos. Inc. | 6,859 | 457 |
* Oshkosh Corp. | 9,748 | 438 |
URS Corp. | 8,710 | 431 |
Dover Corp. | 4,994 | 425 |
Cintas Corp. | 8,294 | 396 |
SPX Corp. | 5,257 | 389 |
Trinity Industries Inc. | 8,833 | 373 |
Kennametal Inc. | 8,529 | 363 |
* WESCO International Inc. | 4,869 | 359 |
* Terex Corp. | 12,341 | 358 |
Alliant Techsystems Inc. | 3,576 | 346 |
Triumph Group Inc. | 4,670 | 336 |
Regal-Beloit Corp. | 5,273 | 336 |
Ryder System Inc. | 5,908 | 329 |
Avery Dennison Corp. | 7,571 | 324 |
Exelis Inc. | 21,823 | 321 |
* AECOM Technology Corp. | 10,339 | 301 |
25
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Tidewater Inc. | 5,531 | 298 |
Covanta Holding Corp. | 12,155 | 257 |
* Spirit Aerosystems Holdings Inc. Class A | 11,254 | 254 |
* Zebra Technologies Corp. | 5,363 | 245 |
Lexmark International Inc. Class A | 7,013 | 240 |
* Genesee & Wyoming Inc. Class A | 2,718 | 235 |
GATX Corp. | 4,914 | 222 |
Air Lease Corp. Class A | 8,352 | 215 |
* Kirby Corp. | 2,636 | 212 |
Pitney Bowes Inc. | 12,792 | 209 |
AO Smith Corp. | 4,942 | 208 |
Harsco Corp. | 8,335 | 196 |
Hubbell Inc. Class B | 1,885 | 191 |
* Navistar International Corp. | 5,407 | 185 |
Teekay Corp. | 4,346 | 174 |
Con-way Inc. | 3,997 | 166 |
RR Donnelley & Sons Co. | 9,195 | 153 |
FLIR Systems Inc. | 4,870 | 152 |
CNH Global NV | 3,240 | 149 |
Paychex Inc. | 3,743 | 145 |
Babcock & Wilcox Co. | 3,896 | 121 |
Rockwell Collins Inc. | 1,648 | 117 |
Allison Transmission Holdings Inc. | 3,304 | 74 |
Iron Mountain Inc. | 2,438 | 63 |
* B/E Aerospace Inc. | 704 | 48 |
Donaldson Co. Inc. | 1,282 | 45 |
Alaska Air Group Inc. | 611 | 35 |
IDEX Corp. | 576 | 34 |
Waste Connections Inc. | 770 | 33 |
Crane Co. | 409 | 23 |
Booz Allen Hamilton Holding Corp. | 111 | 2 |
93,500 | ||
Technology (8.5%) | ||
Cisco Systems Inc. | 597,263 | 13,922 |
Apple Inc. | 25,486 | 12,413 |
Intel Corp. | 519,433 | 11,417 |
Hewlett-Packard Co. | 217,938 | 4,869 |
EMC Corp. | 117,582 | 3,031 |
* Yahoo! Inc. | 99,908 | 2,710 |
Corning Inc. | 164,822 | 2,314 |
Dell Inc. | 140,241 | 1,931 |
* Adobe Systems Inc. | 34,251 | 1,567 |
* Micron Technology Inc. | 115,073 | 1,562 |
Western Digital Corp. | 23,661 | 1,467 |
CA Inc. | 36,730 | 1,074 |
KLA-Tencor Corp. | 18,481 | 1,019 |
NVIDIA Corp. | 64,606 | 953 |
Analog Devices Inc. | 19,541 | 904 |
Broadcom Corp. Class A | 35,616 | 900 |
* Juniper Networks Inc. | 46,064 | 871 |
Computer Sciences Corp. | 16,884 | 847 |
Altera Corp. | 23,453 | 825 |
SanDisk Corp. | 14,940 | 824 |
Activision Blizzard Inc. | 47,684 | 778 |
Applied Materials Inc. | 45,396 | 681 |
Amdocs Ltd. | 17,971 | 662 |
* Lam Research Corp. | 13,982 | 653 |
* Synopsys Inc. | 17,025 | 617 |
* Avnet Inc. | 15,700 | 605 |
Harris Corp. | 10,146 | 575 |
* Nuance Communications Inc. | 29,241 | 558 |
* Arrow Electronics Inc. | 11,698 | 543 |
Symantec Corp. | 21,137 | 541 |
Marvell Technology Group Ltd. | 44,099 | 534 |
26
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Jabil Circuit Inc. | 22,716 | 518 |
SAIC Inc. | 32,746 | 493 |
Molex Inc. | 15,461 | 449 |
* LSI Corp. | 54,333 | 403 |
* Brocade Communications Systems Inc. | 49,612 | 367 |
* MICROS Systems Inc. | 7,481 | 366 |
* Ingram Micro Inc. | 16,419 | 363 |
* Teradyne Inc. | 21,344 | 328 |
AOL Inc. | 8,694 | 286 |
Compuware Corp. | 23,823 | 254 |
* VeriFone Systems Inc. | 12,151 | 241 |
* Electronic Arts Inc. | 7,842 | 209 |
* Polycom Inc. | 20,884 | 207 |
* Tech Data Corp. | 4,207 | 207 |
Diebold Inc. | 7,214 | 204 |
* Autodesk Inc. | 5,176 | 190 |
* Fairchild Semiconductor International Inc. Class A | 15,342 | 187 |
* Zynga Inc. Class A | 65,235 | 185 |
* EchoStar Corp. Class A | 4,565 | 184 |
* Rovi Corp. | 10,024 | 180 |
* Vishay Intertechnology Inc. | 14,638 | 179 |
* Stratasys Ltd. | 1,536 | 165 |
Dolby Laboratories Inc. Class A | 3,079 | 97 |
* Skyworks Solutions Inc. | 3,697 | 94 |
Avago Technologies Ltd. Class A | 2,393 | 92 |
Motorola Solutions Inc. | 1,459 | 82 |
* JDS Uniphase Corp. | 6,003 | 77 |
AVX Corp. | 5,162 | 66 |
* Freescale Semiconductor Ltd. | 3,528 | 51 |
DST Systems Inc. | 631 | 45 |
* ON Semiconductor Corp. | 2,501 | 18 |
* Silicon Laboratories Inc. | 418 | 16 |
* Riverbed Technology Inc. | 1,005 | 16 |
78,986 | ||
Utilities (9.0%) | ||
AT&T Inc. | 601,237 | 20,340 |
Duke Energy Corp. | 78,812 | 5,170 |
Southern Co. | 97,254 | 4,048 |
NextEra Energy Inc. | 47,551 | 3,821 |
Dominion Resources Inc. | 64,326 | 3,753 |
Exelon Corp. | 95,572 | 2,914 |
American Electric Power Co. Inc. | 54,255 | 2,322 |
Sempra Energy | 27,187 | 2,295 |
CenturyLink Inc. | 67,959 | 2,251 |
PPL Corp. | 70,627 | 2,168 |
PG&E Corp. | 49,277 | 2,038 |
Consolidated Edison Inc. | 32,743 | 1,841 |
Public Service Enterprise Group Inc. | 56,525 | 1,833 |
FirstEnergy Corp. | 46,808 | 1,754 |
Edison International | 36,358 | 1,668 |
Xcel Energy Inc. | 55,592 | 1,552 |
Northeast Utilities | 35,160 | 1,441 |
DTE Energy Co. | 19,433 | 1,300 |
Entergy Corp. | 19,919 | 1,260 |
CenterPoint Energy Inc. | 47,774 | 1,095 |
Wisconsin Energy Corp. | 25,420 | 1,043 |
NiSource Inc. | 34,785 | 1,018 |
NRG Energy Inc. | 35,875 | 942 |
Ameren Corp. | 27,117 | 917 |
AES Corp. | 69,611 | 885 |
American Water Works Co. Inc. | 19,740 | 804 |
CMS Energy Corp. | 29,330 | 778 |
OGE Energy Corp. | 22,011 | 775 |
* Calpine Corp. | 39,061 | 755 |
27
Vanguard® Russell 1000 Value Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
SCANA Corp. | 15,599 | 751 | |
Pinnacle West Capital Corp. | 12,426 | 674 | |
NV Energy Inc. | 26,269 | 616 | |
Alliant Energy Corp. | 12,382 | 614 | |
AGL Resources Inc. | 13,182 | 579 | |
MDU Resources Group Inc. | 21,045 | 562 | |
National Fuel Gas Co. | 8,231 | 537 | |
Energen Corp. | 8,007 | 531 | |
Sprint Corp. | 79,030 | 530 | |
Pepco Holdings Inc. | 27,770 | 526 | |
UGI Corp. | 12,665 | 496 | |
Integrys Energy Group Inc. | 8,653 | 484 | |
Frontier Communications Corp. | 111,537 | 483 | |
* | T-Mobile US Inc. | 19,326 | 451 |
Westar Energy Inc. | 14,190 | 441 | |
Atmos Energy Corp. | 10,103 | 408 | |
TECO Energy Inc. | 24,318 | 402 | |
Great Plains Energy Inc. | 17,216 | 377 | |
Questar Corp. | 16,825 | 369 | |
Telephone & Data Systems Inc. | 11,149 | 309 | |
Vectren Corp. | 9,310 | 304 | |
* | Level 3 Communications Inc. | 12,163 | 272 |
Hawaiian Electric Industries Inc. | 10,749 | 269 | |
ONEOK Inc. | 1,390 | 72 | |
United States Cellular Corp. | 1,382 | 59 | |
Aqua America Inc. | 1,859 | 56 | |
* | Intelsat SA | 2,355 | 54 |
Windstream Corp. | 3,576 | 29 | |
84,036 | |||
Total Investments (99.9%) (Cost $811,492) | 932,589 | ||
Other Assets and Liabilities—Net (0.1%) | 1,090 | ||
Net Assets (100%) | 933,679 |
* Non-income-producing security.
REIT—Real Estate Investment Trust.
28
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (100.0%)1 | ||
Consumer Discretionary (22.6%) | ||
Home Depot Inc. | 196,880 | 14,666 |
* Amazon.com Inc. | 49,552 | 13,923 |
Comcast Corp. Class A | 326,733 | 13,752 |
McDonald's Corp. | 135,012 | 12,740 |
Wal-Mart Stores Inc. | 143,748 | 10,491 |
* eBay Inc. | 174,766 | 8,737 |
Starbucks Corp. | 101,095 | 7,129 |
Lowe's Cos. Inc. | 146,917 | 6,732 |
Costco Wholesale Corp. | 58,917 | 6,591 |
* priceline.com Inc. | 6,965 | 6,537 |
* Twenty-First Century Fox Inc. | 197,648 | 6,192 |
NIKE Inc. Class B | 95,556 | 6,003 |
Viacom Inc. Class B | 65,421 | 5,205 |
TJX Cos. Inc. | 97,189 | 5,124 |
Target Corp. | 67,946 | 4,302 |
Yum! Brands Inc. | 60,751 | 4,254 |
Time Warner Cable Inc. | 39,238 | 4,212 |
* DIRECTV | 70,466 | 4,100 |
CBS Corp. Class B | 76,029 | 3,885 |
* Liberty Global plc Class A | 45,050 | 3,500 |
Walt Disney Co. | 54,106 | 3,291 |
Ford Motor Co. | 183,734 | 2,975 |
Las Vegas Sands Corp. | 52,569 | 2,962 |
* Discovery Communications Inc. Class A | 33,219 | 2,575 |
* Dollar General Corp. | 44,120 | 2,381 |
Delphi Automotive plc | 42,026 | 2,312 |
VF Corp. | 11,807 | 2,210 |
* Bed Bath & Beyond Inc. | 29,244 | 2,156 |
Omnicom Group Inc. | 34,742 | 2,107 |
Estee Lauder Cos. Inc. Class A | 31,211 | 2,040 |
* Michael Kors Holdings Ltd. | 27,314 | 2,024 |
Ross Stores Inc. | 29,769 | 2,002 |
* AutoZone Inc. | 4,758 | 1,998 |
Coach Inc. | 37,803 | 1,996 |
* Netflix Inc. | 6,782 | 1,925 |
* Tesla Motors Inc. | 11,258 | 1,903 |
Mattel Inc. | 46,619 | 1,888 |
L Brands Inc. | 32,450 | 1,861 |
* O'Reilly Automotive Inc. | 14,950 | 1,835 |
Harley-Davidson Inc. | 30,329 | 1,819 |
Macy's Inc. | 40,263 | 1,789 |
* Chipotle Mexican Grill Inc. Class A | 4,173 | 1,703 |
* Dollar Tree Inc. | 30,307 | 1,597 |
Wynn Resorts Ltd. | 10,909 | 1,539 |
Genuine Parts Co. | 19,834 | 1,527 |
Gap Inc. | 37,722 | 1,525 |
BorgWarner Inc. | 15,716 | 1,518 |
* CarMax Inc. | 30,511 | 1,451 |
Ralph Lauren Corp. Class A | 8,104 | 1,341 |
DISH Network Corp. Class A | 28,467 | 1,280 |
PVH Corp. | 9,789 | 1,260 |
* LKQ Corp. | 40,725 | 1,191 |
Tiffany & Co. | 15,225 | 1,174 |
Avon Products Inc. | 58,889 | 1,164 |
Tractor Supply Co. | 9,488 | 1,161 |
* Hertz Global Holdings Inc. | 47,072 | 1,131 |
Marriott International Inc. Class A | 28,083 | 1,123 |
Scripps Networks Interactive Inc. Class A | 14,971 | 1,101 |
* TripAdvisor Inc. | 14,871 | 1,100 |
Nordstrom Inc. | 19,707 | 1,098 |
Wyndham Worldwide Corp. | 18,229 | 1,082 |
29
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Charter Communications Inc. Class A | 8,787 | 1,067 |
H&R Block Inc. | 37,244 | 1,040 |
McGraw Hill Financial Inc. | 17,649 | 1,030 |
PetSmart Inc. | 14,130 | 995 |
Polaris Industries Inc. | 8,796 | 961 |
Family Dollar Stores Inc. | 13,192 | 939 |
* Ulta Salon Cosmetics & Fragrance Inc. | 8,722 | 866 |
* Fossil Group Inc. | 7,032 | 817 |
* Under Armour Inc. Class A | 11,125 | 808 |
Advance Auto Parts Inc. | 10,046 | 804 |
Hanesbrands Inc. | 13,521 | 804 |
PulteGroup Inc. | 51,532 | 793 |
News Corp. Class A | 50,511 | 793 |
Williams-Sonoma Inc. | 13,061 | 737 |
Starwood Hotels & Resorts Worldwide Inc. | 11,404 | 729 |
Sirius XM Radio Inc. | 201,033 | 720 |
Fortune Brands Home & Security Inc. | 19,380 | 714 |
Expedia Inc. | 14,231 | 665 |
* Goodyear Tire & Rubber Co. | 32,676 | 657 |
International Game Technology | 34,608 | 654 |
Nu Skin Enterprises Inc. Class A | 7,719 | 646 |
* Jarden Corp. | 15,003 | 644 |
Dick's Sporting Goods Inc. | 13,681 | 635 |
* WABCO Holdings Inc. | 8,094 | 631 |
Dunkin' Brands Group Inc. | 14,190 | 611 |
* Panera Bread Co. Class A | 3,713 | 609 |
* Urban Outfitters Inc. | 14,210 | 596 |
* Sally Beauty Holdings Inc. | 22,573 | 590 |
Hasbro Inc. | 12,889 | 588 |
Carter's Inc. | 7,868 | 579 |
Tupperware Brands Corp. | 7,012 | 566 |
Newell Rubbermaid Inc. | 22,171 | 561 |
Darden Restaurants Inc. | 11,177 | 517 |
* AMC Networks Inc. Class A | 7,940 | 492 |
* Visteon Corp. | 6,649 | 476 |
* Madison Square Garden Co. Class A | 8,141 | 474 |
* NVR Inc. | 544 | 466 |
Cablevision Systems Corp. Class A | 25,900 | 459 |
Domino's Pizza Inc. | 7,468 | 459 |
Cinemark Holdings Inc. | 15,293 | 451 |
* Lamar Advertising Co. Class A | 10,549 | 444 |
* Liberty Ventures Class A | 4,887 | 419 |
* Cabela's Inc. | 6,311 | 414 |
Interpublic Group of Cos. Inc. | 25,888 | 407 |
Service Corp. International | 21,941 | 397 |
* Avis Budget Group Inc. | 14,301 | 383 |
DSW Inc. Class A | 4,375 | 377 |
* Lions Gate Entertainment Corp. | 10,722 | 375 |
Brinker International Inc. | 9,337 | 373 |
* Bally Technologies Inc. | 5,034 | 363 |
Best Buy Co. Inc. | 9,677 | 348 |
Starz | 13,726 | 343 |
* AutoNation Inc. | 6,768 | 316 |
* Pandora Media Inc. | 17,166 | 316 |
Chico's FAS Inc. | 20,244 | 316 |
* Tempur Sealy International Inc. | 7,924 | 305 |
Thor Industries Inc. | 5,950 | 305 |
Six Flags Entertainment Corp. | 8,767 | 289 |
Burger King Worldwide Inc. | 13,323 | 261 |
Gentex Corp. | 10,901 | 246 |
American Eagle Outfitters Inc. | 16,465 | 238 |
* HomeAway Inc. | 7,526 | 237 |
Dillard's Inc. Class A | 2,411 | 184 |
Nielsen Holdings NV | 3,916 | 135 |
30
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Liberty Interactive Corp. Class A | 5,664 | 128 |
SeaWorld Entertainment Inc. | 4,045 | 121 |
* Deckers Outdoor Corp. | 1,948 | 114 |
* Norwegian Cruise Line Holdings Ltd. | 3,397 | 106 |
KAR Auction Services Inc. | 3,769 | 100 |
Lear Corp. | 1,388 | 95 |
Whirlpool Corp. | 738 | 95 |
AMERCO | 532 | 87 |
* Taylor Morrison Home Corp. Class A | 3,709 | 76 |
Foot Locker Inc. | 2,296 | 74 |
* Big Lots Inc. | 1,957 | 69 |
Weight Watchers International Inc. | 1,868 | 67 |
Signet Jewelers Ltd. | 934 | 62 |
Abercrombie & Fitch Co. | 1,216 | 43 |
* Clear Channel Outdoor Holdings Inc. Class A | 5,638 | 43 |
Regal Entertainment Group Class A | 2,312 | 41 |
* Ascena Retail Group Inc. | 2,361 | 39 |
Aaron's Inc. | 1,422 | 39 |
Choice Hotels International Inc. | 241 | 9 |
257,032 | ||
Consumer Staples (10.8%) | ||
Coca-Cola Co. | 515,476 | 19,681 |
Philip Morris International Inc. | 220,434 | 18,393 |
PepsiCo Inc. | 208,346 | 16,611 |
Altria Group Inc. | 270,550 | 9,166 |
Colgate-Palmolive Co. | 125,903 | 7,273 |
Walgreen Co. | 96,192 | 4,624 |
General Mills Inc. | 86,969 | 4,289 |
Kraft Foods Group Inc. | 80,258 | 4,155 |
Kimberly-Clark Corp. | 43,201 | 4,038 |
Whole Foods Market Inc. | 49,905 | 2,633 |
Kroger Co. | 69,854 | 2,557 |
Lorillard Inc. | 50,649 | 2,142 |
Mead Johnson Nutrition Co. | 27,280 | 2,047 |
Kellogg Co. | 32,375 | 1,966 |
Hershey Co. | 20,231 | 1,860 |
ConAgra Foods Inc. | 52,071 | 1,761 |
* Green Mountain Coffee Roasters Inc. | 19,933 | 1,720 |
Reynolds American Inc. | 32,355 | 1,541 |
Coca-Cola Enterprises Inc. | 37,291 | 1,395 |
Brown-Forman Corp. Class B | 20,628 | 1,382 |
Dr Pepper Snapple Group Inc. | 27,762 | 1,243 |
Clorox Co. | 15,011 | 1,241 |
McCormick & Co. Inc. | 17,921 | 1,212 |
CVS Caremark Corp. | 19,104 | 1,109 |
Church & Dwight Co. Inc. | 18,336 | 1,088 |
* Constellation Brands Inc. Class A | 19,808 | 1,075 |
* Monster Beverage Corp. | 18,252 | 1,048 |
Sysco Corp. | 28,079 | 899 |
Hormel Foods Corp. | 18,498 | 766 |
Herbalife Ltd. | 11,767 | 718 |
Campbell Soup Co. | 15,973 | 690 |
GNC Holdings Inc. Class A | 13,098 | 666 |
Hillshire Brands Co. | 16,363 | 529 |
Flowers Foods Inc. | 22,675 | 471 |
* Fresh Market Inc. | 5,474 | 267 |
Archer-Daniels-Midland Co. | 6,649 | 234 |
* WhiteWave Foods Co. Class A | 10,602 | 203 |
JM Smucker Co. | 1,864 | 198 |
* WhiteWave Foods Co. Class B | 7,836 | 149 |
Ingredion Inc. | 1,215 | 77 |
Pinnacle Foods Inc. | 2,558 | 69 |
31
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Safeway Inc. | 2,475 | 64 |
123,250 | ||
Energy (4.8%) | ||
Schlumberger Ltd. | 179,134 | 14,499 |
Halliburton Co. | 125,631 | 6,030 |
EOG Resources Inc. | 34,332 | 5,392 |
Kinder Morgan Inc. | 81,487 | 3,091 |
Pioneer Natural Resources Co. | 13,540 | 2,369 |
Cabot Oil & Gas Corp. | 57,130 | 2,235 |
Seadrill Ltd. | 47,803 | 2,211 |
Williams Cos. Inc. | 50,601 | 1,834 |
* Southwestern Energy Co. | 47,549 | 1,816 |
* FMC Technologies Inc. | 32,062 | 1,719 |
Range Resources Corp. | 22,030 | 1,652 |
EQT Corp. | 18,672 | 1,601 |
* Concho Resources Inc. | 14,281 | 1,378 |
* Cameron International Corp. | 21,157 | 1,201 |
Oceaneering International Inc. | 14,690 | 1,140 |
* Cheniere Energy Inc. | 32,110 | 899 |
* Cobalt International Energy Inc. | 34,616 | 845 |
* Dresser-Rand Group Inc. | 10,545 | 643 |
SM Energy Co. | 8,816 | 602 |
* Dril-Quip Inc. | 5,386 | 549 |
* Continental Resources Inc. | 5,612 | 518 |
* Gulfport Energy Corp. | 8,372 | 494 |
* Oasis Petroleum Inc. | 12,419 | 487 |
Noble Energy Inc. | 5,998 | 368 |
Anadarko Petroleum Corp. | 3,663 | 335 |
Baker Hughes Inc. | 3,696 | 172 |
* Kosmos Energy Ltd. | 13,454 | 137 |
* Laredo Petroleum Holdings Inc. | 4,607 | 121 |
RPC Inc. | 6,809 | 97 |
* SolarCity Corp. | 2,863 | 90 |
CVR Energy Inc. | 2,075 | 89 |
* Atwood Oceanics Inc. | 1,413 | 79 |
World Fuel Services Corp. | 1,729 | 66 |
QEP Resources Inc. | 2,403 | 66 |
* Whiting Petroleum Corp. | 1,244 | 63 |
54,888 | ||
Financial Services (8.0%) | ||
Visa Inc. Class A | 70,327 | 12,266 |
Mastercard Inc. Class A | 15,743 | 9,542 |
American Express Co. | 127,470 | 9,166 |
Simon Property Group Inc. | 31,055 | 4,523 |
American Tower Corporation | 53,124 | 3,692 |
Public Storage | 17,976 | 2,744 |
Franklin Resources Inc. | 55,581 | 2,566 |
T. Rowe Price Group Inc. | 34,848 | 2,444 |
Weyerhaeuser Co. | 78,732 | 2,156 |
Aon plc | 32,148 | 2,134 |
Marsh & McLennan Cos. Inc. | 49,761 | 2,052 |
Prudential Financial Inc. | 24,049 | 1,801 |
* IntercontinentalExchange Inc. | 9,851 | 1,771 |
* Fiserv Inc. | 18,121 | 1,745 |
Moody's Corp. | 26,264 | 1,669 |
Progressive Corp. | 65,563 | 1,644 |
BlackRock Inc. | 6,229 | 1,622 |
Western Union Co. | 75,624 | 1,326 |
* Alliance Data Systems Corp. | 6,646 | 1,301 |
* Affiliated Managers Group Inc. | 7,212 | 1,257 |
Ventas Inc. | 18,048 | 1,124 |
Travelers Cos. Inc. | 13,839 | 1,106 |
Plum Creek Timber Co. Inc. | 22,223 | 985 |
Equifax Inc. | 16,321 | 964 |
32
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* FleetCor Technologies Inc. | 9,077 | 936 |
Rayonier Inc. | 16,789 | 927 |
* CBRE Group Inc. Class A | 38,410 | 840 |
Digital Realty Trust Inc. | 13,391 | 745 |
Ameriprise Financial Inc. | 8,532 | 735 |
Arthur J Gallagher & Co. | 16,935 | 700 |
* Ocwen Financial Corp. | 13,754 | 694 |
Eaton Vance Corp. | 16,639 | 641 |
Lazard Ltd. Class A | 17,087 | 605 |
* Realogy Holdings Corp. | 14,270 | 604 |
FactSet Research Systems Inc. | 5,836 | 597 |
Jack Henry & Associates Inc. | 11,411 | 569 |
Waddell & Reed Financial Inc. Class A | 11,390 | 542 |
Federal Realty Investment Trust | 5,567 | 542 |
SEI Investments Co. | 18,072 | 538 |
CBOE Holdings Inc. | 11,596 | 532 |
Dun & Bradstreet Corp. | 4,943 | 492 |
Global Payments Inc. | 10,044 | 479 |
Broadridge Financial Solutions Inc. | 16,071 | 478 |
Total System Services Inc. | 16,816 | 465 |
Omega Healthcare Investors Inc. | 15,418 | 438 |
Charles Schwab Corp. | 19,819 | 414 |
Chubb Corp. | 4,921 | 409 |
Vornado Realty Trust | 4,812 | 391 |
Tanger Factory Outlet Centers | 12,445 | 384 |
Corrections Corp. of America | 9,678 | 319 |
Lender Processing Services Inc. | 9,672 | 309 |
* Vantiv Inc. Class A | 11,654 | 308 |
Apartment Investment & Management Co. Class A | 10,625 | 292 |
Equity Lifestyle Properties Inc. | 7,906 | 275 |
* MSCI Inc. Class A | 6,657 | 250 |
Federated Investors Inc. Class B | 9,056 | 246 |
Erie Indemnity Co. Class A | 3,285 | 242 |
Regency Centers Corp. | 5,074 | 241 |
Brown & Brown Inc. | 7,253 | 226 |
LPL Financial Holdings Inc. | 6,049 | 222 |
Morningstar Inc. | 2,708 | 203 |
Boston Properties Inc. | 1,829 | 187 |
Axis Capital Holdings Ltd. | 4,036 | 174 |
Fidelity National Information Services Inc. | 3,851 | 171 |
Loews Corp. | 3,261 | 145 |
* Nationstar Mortgage Holdings Inc. | 2,844 | 141 |
CBL & Associates Properties Inc. | 7,078 | 136 |
Allied World Assurance Co. Holdings AG | 1,481 | 136 |
Leucadia National Corp. | 5,230 | 130 |
Endurance Specialty Holdings Ltd. | 2,034 | 102 |
Taubman Centers Inc. | 1,469 | 99 |
Hanover Insurance Group Inc. | 1,604 | 85 |
* Spirit Realty Capital Inc. | 9,578 | 83 |
American Financial Group Inc. | 1,404 | 72 |
* Arch Capital Group Ltd. | 1,100 | 59 |
* Signature Bank | 544 | 48 |
Extra Space Storage Inc. | 1,123 | 46 |
Senior Housing Properties Trust | 1,822 | 41 |
Validus Holdings Ltd. | 1,188 | 41 |
Artisan Partners Asset Management Inc. | 704 | 34 |
* St. Joe Co. | 719 | 14 |
91,374 | ||
Health Care (11.9%) | ||
* Gilead Sciences Inc. | 205,571 | 12,390 |
Amgen Inc. | 101,004 | 11,003 |
AbbVie Inc. | 213,234 | 9,086 |
Bristol-Myers Squibb Co. | 191,022 | 7,964 |
* Celgene Corp. | 56,331 | 7,885 |
33
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Biogen Idec Inc. | 32,043 | 6,826 |
* Express Scripts Holding Co. | 96,476 | 6,163 |
Baxter International Inc. | 73,208 | 5,092 |
Johnson & Johnson | 48,658 | 4,205 |
McKesson Corp. | 30,459 | 3,698 |
Allergan Inc. | 39,772 | 3,515 |
* Alexion Pharmaceuticals Inc. | 26,213 | 2,825 |
* Regeneron Pharmaceuticals Inc. | 10,761 | 2,607 |
Becton Dickinson and Co. | 26,177 | 2,549 |
* Actavis Inc. | 17,947 | 2,426 |
* Vertex Pharmaceuticals Inc. | 31,490 | 2,366 |
* Intuitive Surgical Inc. | 5,414 | 2,093 |
Zoetis Inc. | 67,441 | 1,966 |
* Cerner Corp. | 39,948 | 1,840 |
* Mylan Inc. | 51,551 | 1,822 |
AmerisourceBergen Corp. Class A | 31,222 | 1,777 |
Stryker Corp. | 26,059 | 1,743 |
Perrigo Co. | 12,780 | 1,553 |
* Catamaran Corp. | 28,001 | 1,538 |
Eli Lilly & Co. | 29,344 | 1,508 |
* DaVita HealthCare Partners Inc. | 12,430 | 1,336 |
* Illumina Inc. | 16,603 | 1,292 |
CR Bard Inc. | 10,982 | 1,261 |
St. Jude Medical Inc. | 24,538 | 1,237 |
* Onyx Pharmaceuticals Inc. | 9,948 | 1,229 |
* BioMarin Pharmaceutical Inc. | 18,536 | 1,214 |
* Laboratory Corp. of America Holdings | 12,678 | 1,214 |
* Henry Schein Inc. | 11,656 | 1,178 |
* Life Technologies Corp. | 14,889 | 1,108 |
* Edwards Lifesciences Corp. | 15,414 | 1,085 |
* Varian Medical Systems Inc. | 14,855 | 1,047 |
ResMed Inc. | 19,514 | 922 |
* Pharmacyclics Inc. | 7,760 | 865 |
Aetna Inc. | 13,355 | 847 |
Warner Chilcott plc Class A | 31,143 | 668 |
* IDEXX Laboratories Inc. | 7,085 | 665 |
Cooper Cos. Inc. | 4,850 | 633 |
* Endo Health Solutions Inc. | 14,959 | 615 |
* Jazz Pharmaceuticals plc | 6,885 | 604 |
* Covance Inc. | 7,426 | 602 |
* Medivation Inc. | 10,131 | 573 |
* Seattle Genetics Inc. | 13,327 | 565 |
Universal Health Services Inc. Class B | 8,178 | 554 |
* Cubist Pharmaceuticals Inc. | 8,656 | 548 |
* Salix Pharmaceuticals Ltd. | 8,069 | 540 |
* Tenet Healthcare Corp. | 13,822 | 540 |
* Alkermes plc | 16,777 | 533 |
* Incyte Corp. Ltd. | 14,197 | 481 |
* Sirona Dental Systems Inc. | 7,343 | 476 |
* Ariad Pharmaceuticals Inc. | 24,448 | 455 |
* Health Management Associates Inc. Class A | 34,420 | 443 |
* United Therapeutics Corp. | 6,166 | 437 |
* MEDNAX Inc. | 4,320 | 421 |
Patterson Cos. Inc. | 10,369 | 413 |
* Theravance Inc. | 10,687 | 383 |
* Brookdale Senior Living Inc. Class A | 13,191 | 330 |
* Bruker Corp. | 14,618 | 293 |
* Myriad Genetics Inc. | 10,545 | 276 |
* Hologic Inc. | 10,474 | 223 |
DENTSPLY International Inc. | 5,279 | 222 |
Cigna Corp. | 2,199 | 173 |
Techne Corp. | 2,179 | 169 |
* Charles River Laboratories International Inc. | 2,885 | 133 |
HCA Holdings Inc. | 2,526 | 96 |
34
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Zimmer Holdings Inc. | 1,206 | 95 |
Quest Diagnostics Inc. | 1,333 | 78 |
* Quintiles Transnational Holdings Inc. | 1,638 | 71 |
Community Health Systems Inc. | 975 | 38 |
135,621 | ||
Materials & Processing (5.3%) | ||
Monsanto Co. | 72,117 | 7,059 |
EI du Pont de Nemours & Co. | 124,202 | 7,032 |
Praxair Inc. | 39,837 | 4,677 |
Precision Castparts Corp. | 19,760 | 4,174 |
LyondellBasell Industries NV Class A | 54,978 | 3,857 |
Ecolab Inc. | 35,298 | 3,224 |
PPG Industries Inc. | 17,478 | 2,730 |
International Paper Co. | 51,577 | 2,435 |
Sherwin-Williams Co. | 11,945 | 2,059 |
Fastenal Co. | 40,020 | 1,760 |
Eastman Chemical Co. | 20,998 | 1,596 |
Sigma-Aldrich Corp. | 15,419 | 1,272 |
FMC Corp. | 18,551 | 1,236 |
Celanese Corp. Class A | 21,882 | 1,077 |
Masco Corp. | 48,690 | 921 |
Ball Corp. | 20,415 | 907 |
Airgas Inc. | 8,895 | 904 |
International Flavors & Fragrances Inc. | 11,167 | 882 |
Dow Chemical Co. | 21,831 | 816 |
Rock Tenn Co. Class A | 6,913 | 768 |
Sealed Air Corp. | 26,993 | 767 |
Valspar Corp. | 12,268 | 763 |
* WR Grace & Co. | 9,082 | 730 |
Packaging Corp. of America | 13,457 | 714 |
* Crown Holdings Inc. | 16,342 | 710 |
Martin Marietta Materials Inc. | 6,187 | 594 |
Southern Copper Corp. | 21,031 | 578 |
RPM International Inc. | 16,464 | 559 |
Valmont Industries Inc. | 3,636 | 491 |
Rockwood Holdings Inc. | 7,497 | 479 |
* Hexcel Corp. | 13,308 | 473 |
Lennox International Inc. | 6,682 | 459 |
Eagle Materials Inc. | 6,569 | 421 |
Aptargroup Inc. | 6,237 | 367 |
* Owens-Illinois Inc. | 12,738 | 362 |
NewMarket Corp. | 1,298 | 356 |
Compass Minerals International Inc. | 4,349 | 321 |
Scotts Miracle-Gro Co. Class A | 5,754 | 303 |
Albemarle Corp. | 4,404 | 275 |
Silgan Holdings Inc. | 5,758 | 272 |
Westlake Chemical Corp. | 2,393 | 242 |
Bemis Co. Inc. | 5,997 | 239 |
* Armstrong World Industries Inc. | 3,663 | 178 |
* MRC Global Inc. | 4,746 | 125 |
Royal Gold Inc. | 2,124 | 123 |
Greif Inc. Class A | 834 | 45 |
* Tahoe Resources Inc. | 1,986 | 36 |
60,368 | ||
Producer Durables (12.3%) | ||
United Technologies Corp. | 116,014 | 11,613 |
Boeing Co. | 102,211 | 10,622 |
Union Pacific Corp. | 62,871 | 9,653 |
3M Co. | 78,583 | 8,925 |
Honeywell International Inc. | 106,234 | 8,453 |
United Parcel Service Inc. Class B | 97,483 | 8,343 |
Accenture plc Class A | 86,719 | 6,265 |
Automatic Data Processing Inc. | 65,564 | 4,665 |
Deere & Co. | 52,399 | 4,383 |
35
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Emerson Electric Co. | 72,590 | 4,382 |
Lockheed Martin Corp. | 35,129 | 4,300 |
Cummins Inc. | 21,050 | 2,593 |
WW Grainger Inc. | 7,942 | 1,964 |
Rockwell Automation Inc. | 18,923 | 1,840 |
Ingersoll-Rand plc | 28,841 | 1,706 |
CSX Corp. | 68,939 | 1,697 |
Roper Industries Inc. | 13,441 | 1,663 |
Kansas City Southern | 14,927 | 1,574 |
Paychex Inc. | 39,622 | 1,533 |
Dover Corp. | 17,159 | 1,459 |
AMETEK Inc. | 33,007 | 1,417 |
* United Continental Holdings Inc. | 48,173 | 1,371 |
Illinois Tool Works Inc. | 19,056 | 1,362 |
Caterpillar Inc. | 16,175 | 1,335 |
* Stericycle Inc. | 11,709 | 1,318 |
* Verisk Analytics Inc. Class A | 20,676 | 1,286 |
CH Robinson Worldwide Inc. | 21,898 | 1,245 |
Rockwell Collins Inc. | 16,522 | 1,169 |
* Waters Corp. | 11,641 | 1,151 |
Expeditors International of Washington Inc. | 27,781 | 1,127 |
Danaher Corp. | 16,601 | 1,088 |
Flowserve Corp. | 19,251 | 1,074 |
Delta Air Lines Inc. | 53,521 | 1,056 |
Pall Corp. | 14,765 | 1,021 |
TransDigm Group Inc. | 7,014 | 961 |
* IHS Inc. Class A | 8,823 | 945 |
* Mettler-Toledo International Inc. | 4,147 | 913 |
JB Hunt Transport Services Inc. | 12,471 | 898 |
* Trimble Navigation Ltd. | 35,112 | 887 |
* B/E Aerospace Inc. | 12,713 | 867 |
Fluor Corp. | 13,421 | 851 |
Chicago Bridge & Iron Co. NV | 13,462 | 805 |
Wabtec Corp. | 12,762 | 747 |
Lincoln Electric Holdings Inc. | 11,475 | 717 |
* United Rentals Inc. | 12,447 | 682 |
Robert Half International Inc. | 19,274 | 680 |
Waste Connections Inc. | 15,468 | 655 |
Donaldson Co. Inc. | 17,952 | 633 |
IDEX Corp. | 10,235 | 608 |
Hubbell Inc. Class B | 5,967 | 605 |
* Colfax Corp. | 11,417 | 595 |
Copa Holdings SA Class A | 4,489 | 587 |
Nordson Corp. | 8,491 | 566 |
Graco Inc. | 8,083 | 562 |
Norfolk Southern Corp. | 7,570 | 546 |
Iron Mountain Inc. | 20,172 | 520 |
Alaska Air Group Inc. | 8,612 | 488 |
MSC Industrial Direct Co. Inc. Class A | 6,222 | 473 |
* Copart Inc. | 14,649 | 465 |
* Clean Harbors Inc. | 8,113 | 461 |
Genpact Ltd. | 22,360 | 430 |
Huntington Ingalls Industries Inc. | 6,657 | 421 |
* Old Dominion Freight Line Inc. | 9,420 | 409 |
FLIR Systems Inc. | 13,067 | 409 |
Toro Co. | 7,607 | 402 |
ITT Corp. | 11,950 | 393 |
National Instruments Corp. | 13,355 | 371 |
Manitowoc Co. Inc. | 17,809 | 356 |
* Kirby Corp. | 4,386 | 353 |
Crane Co. | 5,941 | 341 |
Landstar System Inc. | 6,117 | 334 |
PACCAR Inc. | 6,034 | 323 |
Babcock & Wilcox Co. | 10,241 | 317 |
36
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Agilent Technologies Inc. | 5,344 | 249 |
Rollins Inc. | 8,818 | 218 |
* Genesee & Wyoming Inc. Class A | 2,518 | 218 |
RR Donnelley & Sons Co. | 13,058 | 218 |
Waste Management Inc. | 4,959 | 201 |
Pitney Bowes Inc. | 11,602 | 189 |
AO Smith Corp. | 4,394 | 185 |
Cintas Corp. | 3,825 | 183 |
Avery Dennison Corp. | 4,189 | 179 |
Stanley Black & Decker Inc. | 1,890 | 161 |
* Quanta Services Inc. | 5,827 | 152 |
Southwest Airlines Co. | 10,544 | 135 |
Con-way Inc. | 2,714 | 113 |
Triumph Group Inc. | 1,373 | 99 |
Booz Allen Hamilton Holding Corp. | 3,844 | 78 |
Snap-on Inc. | 811 | 76 |
* Spirit Aerosystems Holdings Inc. Class A | 1,962 | 44 |
* Zebra Technologies Corp. | 937 | 43 |
* AECOM Technology Corp. | 1,312 | 38 |
Xylem Inc. | 1,476 | 37 |
* Navistar International Corp. | 977 | 33 |
Carlisle Cos. Inc. | 389 | 26 |
Harsco Corp. | 741 | 17 |
Allison Transmission Holdings Inc. | 589 | 13 |
140,134 | ||
Technology (22.3%) | ||
Apple Inc. | 95,766 | 46,643 |
Microsoft Corp. | 1,125,580 | 37,594 |
* Google Inc. Class A | 36,343 | 30,779 |
International Business Machines Corp. | 140,222 | 25,558 |
QUALCOMM Inc. | 232,826 | 15,432 |
Oracle Corp. | 478,525 | 15,246 |
* Facebook Inc. Class A | 229,354 | 9,468 |
Texas Instruments Inc. | 149,606 | 5,715 |
* Salesforce.com Inc. | 79,300 | 3,896 |
EMC Corp. | 142,134 | 3,664 |
* Cognizant Technology Solutions Corp. Class A | 40,575 | 2,974 |
* LinkedIn Corp. Class A | 12,236 | 2,937 |
* Crown Castle International Corp. | 39,425 | 2,737 |
Intuit Inc. | 40,002 | 2,541 |
NetApp Inc. | 48,671 | 2,022 |
* Citrix Systems Inc. | 25,262 | 1,788 |
Symantec Corp. | 68,682 | 1,759 |
Motorola Solutions Inc. | 30,915 | 1,732 |
Amphenol Corp. Class A | 21,518 | 1,630 |
Applied Materials Inc. | 107,318 | 1,611 |
Xilinx Inc. | 35,622 | 1,547 |
* Red Hat Inc. | 25,789 | 1,303 |
* Teradata Corp. | 22,224 | 1,301 |
* SBA Communications Corp. Class A | 17,320 | 1,299 |
* Adobe Systems Inc. | 26,613 | 1,218 |
Linear Technology Corp. | 31,755 | 1,217 |
Avago Technologies Ltd. Class A | 30,710 | 1,183 |
* Equinix Inc. | 6,679 | 1,160 |
Maxim Integrated Products Inc. | 39,822 | 1,109 |
* Akamai Technologies Inc. | 23,848 | 1,097 |
* ANSYS Inc. | 12,762 | 1,072 |
Microchip Technology Inc. | 26,902 | 1,044 |
Intel Corp. | 44,222 | 972 |
* VMware Inc. Class A | 11,477 | 966 |
* BMC Software Inc. | 19,803 | 911 |
* VeriSign Inc. | 18,916 | 908 |
* F5 Networks Inc. | 10,839 | 904 |
* Autodesk Inc. | 24,483 | 900 |
37
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Cree Inc. | 16,153 | 896 |
Broadcom Corp. Class A | 34,309 | 867 |
* Electronic Arts Inc. | 30,950 | 824 |
Analog Devices Inc. | 17,757 | 822 |
SanDisk Corp. | 14,664 | 809 |
* NCR Corp. | 22,665 | 806 |
* Splunk Inc. | 13,711 | 757 |
* Gartner Inc. | 12,393 | 718 |
* Rackspace Hosting Inc. | 15,416 | 691 |
* 3D Systems Corp. | 13,353 | 686 |
* Concur Technologies Inc. | 6,120 | 598 |
* Groupon Inc. | 55,790 | 567 |
* Skyworks Solutions Inc. | 21,011 | 533 |
Altera Corp. | 14,636 | 515 |
* Informatica Corp. | 14,319 | 512 |
* Cadence Design Systems Inc. | 37,475 | 505 |
* ServiceNow Inc. | 10,577 | 496 |
* TIBCO Software Inc. | 21,716 | 489 |
IAC/InterActiveCorp | 9,931 | 488 |
* NetSuite Inc. | 4,826 | 480 |
Solera Holdings Inc. | 9,060 | 468 |
* NeuStar Inc. Class A | 8,654 | 437 |
* Atmel Corp. | 56,951 | 413 |
* ON Semiconductor Corp. | 56,833 | 411 |
* Workday Inc. Class A | 5,011 | 363 |
* Fortinet Inc. | 17,986 | 356 |
* SolarWinds Inc. | 8,767 | 320 |
* Riverbed Technology Inc. | 20,467 | 316 |
* JDS Uniphase Corp. | 23,646 | 303 |
DST Systems Inc. | 3,741 | 267 |
* Advanced Micro Devices Inc. | 80,407 | 263 |
* Stratasys Ltd. | 2,341 | 251 |
* Juniper Networks Inc. | 12,433 | 235 |
* Lam Research Corp. | 5,015 | 234 |
IPG Photonics Corp. | 4,181 | 225 |
* Palo Alto Networks Inc. | 4,425 | 212 |
* Silicon Laboratories Inc. | 4,796 | 186 |
Harris Corp. | 2,488 | 141 |
* Tableau Software Inc. Class A | 1,251 | 90 |
* MICROS Systems Inc. | 1,490 | 73 |
Dolby Laboratories Inc. Class A | 2,316 | 73 |
* LSI Corp. | 8,405 | 62 |
* Freescale Semiconductor Ltd. | 3,291 | 47 |
* Rovi Corp. | 1,592 | 29 |
254,671 | ||
Utilities (2.0%) | ||
Verizon Communications Inc. | 385,612 | 18,270 |
ONEOK Inc. | 26,386 | 1,357 |
ITC Holdings Corp. | 6,943 | 617 |
Windstream Corp. | 74,438 | 601 |
* tw telecom inc Class A | 19,901 | 570 |
Aqua America Inc. | 16,364 | 497 |
* Level 3 Communications Inc. | 7,150 | 160 |
Sprint Corp. | 20,739 | 139 |
* Calpine Corp. | 6,025 | 116 |
Questar Corp. | 2,906 | 64 |
* Intelsat SA | 183 | 4 |
22,395 | ||
Total Common Stocks (Cost $956,852) | 1,139,733 |
38
Vanguard® Russell 1000 Growth Index Fund | ||||
Schedule of Investments | ||||
August 31, 2013 | ||||
Market | ||||
Value | ||||
Coupon | ($000) | |||
Temporary Cash Investment (0.0%)1 | ||||
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||
2,3 Freddie Mac Discount Notes (Cost $100) | 0.130% | 9/16/13 | 100 | 100 |
Total Investments (100.0%) (Cost $956,952) | 1,139,833 | |||
Other Assets and Liabilities—Net (0.0%) | 336 | |||
Net Assets (100%) | 1,140,169 |
* 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 0.0%, respectively, of net assets.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
39
© 2013 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18480_102013
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 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, 2013 and for the year then ended and have issued our unqualified report thereon dated October 16, 2013 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included audits of the Funds' schedules of investments as of August 31, 2013 appearing in Item 6 of this Form N-CSR. These schedules of investments are the responsibility of the Funds' management. Our responsibility is to express an opinion on the schedules of investments based on our audits.
In our opinion, the 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, 2013
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.9%)1 | ||
Consumer Discretionary (14.6%) | ||
Brunswick Corp. | 33,205 | 1,207 |
Sotheby's | 25,102 | 1,157 |
Dana Holding Corp. | 53,902 | 1,130 |
* Fifth & Pacific Cos. Inc. | 44,099 | 1,051 |
Wolverine World Wide Inc. | 18,412 | 1,036 |
* Tenneco Inc. | 22,298 | 1,029 |
* Lumber Liquidators Holdings Inc. | 10,083 | 1,002 |
Vail Resorts Inc. | 13,181 | 896 |
Pool Corp. | 17,170 | 894 |
* Live Nation Entertainment Inc. | 51,662 | 871 |
Cheesecake Factory Inc. | 19,574 | 818 |
* Steven Madden Ltd. | 14,721 | 795 |
* Life Time Fitness Inc. | 15,802 | 790 |
Pier 1 Imports Inc. | 34,794 | 763 |
Cooper Tire & Rubber Co. | 23,252 | 742 |
Rent-A-Center Inc. | 19,598 | 735 |
* Shutterfly Inc. | 13,939 | 724 |
* Buffalo Wild Wings Inc. | 6,885 | 715 |
Cracker Barrel Old Country Store Inc. | 7,211 | 710 |
Men's Wearhouse Inc. | 18,454 | 695 |
* Iconix Brand Group Inc. | 20,932 | 687 |
HSN Inc. | 12,415 | 669 |
* Express Inc. | 31,333 | 658 |
* Jack in the Box Inc. | 16,328 | 645 |
Outerwall Inc. | 10,269 | 638 |
* VistaPrint NV | 11,983 | 638 |
Group 1 Automotive Inc. | 7,984 | 613 |
* Saks Inc. | 38,322 | 610 |
Penske Automotive Group Inc. | 15,507 | 605 |
* ANN Inc. | 17,318 | 601 |
Sinclair Broadcast Group Inc. Class A | 25,116 | 601 |
PriceSmart Inc. | 6,927 | 596 |
* ValueClick Inc. | 27,977 | 592 |
Ryland Group Inc. | 16,930 | 590 |
* Grand Canyon Education Inc. | 16,667 | 575 |
Texas Roadhouse Inc. Class A | 22,914 | 569 |
Meredith Corp. | 13,111 | 564 |
* Asbury Automotive Group Inc. | 11,441 | 562 |
* Conn's Inc. | 8,286 | 552 |
* Genesco Inc. | 8,815 | 544 |
* TiVo Inc. | 46,470 | 542 |
Belo Corp. Class A | 38,093 | 539 |
Lithia Motors Inc. Class A | 8,196 | 538 |
Buckle Inc. | 10,255 | 531 |
* Meritage Homes Corp. | 13,269 | 530 |
* New York Times Co. Class A | 47,358 | 528 |
* WMS Industries Inc. | 20,106 | 517 |
Monro Muffler Brake Inc. | 11,477 | 508 |
* Pinnacle Entertainment Inc. | 21,431 | 507 |
* Select Comfort Corp. | 20,428 | 505 |
Bob Evans Farms Inc. | 10,234 | 502 |
Hillenbrand Inc. | 20,174 | 500 |
* Hibbett Sports Inc. | 9,540 | 494 |
KB Home | 30,669 | 492 |
* American Axle & Manufacturing Holdings Inc. | 24,865 | 478 |
* Helen of Troy Ltd. | 11,791 | 474 |
* Krispy Kreme Doughnuts Inc. | 23,884 | 471 |
* SHFL Entertainment Inc. | 20,662 | 470 |
* Marriott Vacations Worldwide Corp. | 10,788 | 470 |
* Vitamin Shoppe Inc. | 11,140 | 469 |
Arbitron Inc. | 9,955 | 468 |
1
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Dorman Products Inc. | 9,260 | 465 |
* Bloomin' Brands Inc. | 20,303 | 457 |
* Restoration Hardware Holdings Inc. | 6,553 | 456 |
* Children's Place Retail Stores Inc. | 8,561 | 455 |
* Five Below Inc. | 12,150 | 447 |
Jones Group Inc. | 29,658 | 437 |
* Skechers U.S.A. Inc. Class A | 14,196 | 436 |
* Crocs Inc. | 32,346 | 435 |
* Orient-Express Hotels Ltd. Class A | 35,166 | 426 |
* Multimedia Games Holding Co. Inc. | 10,597 | 416 |
Churchill Downs Inc. | 5,047 | 409 |
* Jos A Bank Clothiers Inc. | 10,264 | 408 |
La-Z-Boy Inc. | 19,166 | 407 |
MDC Holdings Inc. | 14,478 | 403 |
DineEquity Inc. | 6,069 | 402 |
* Papa John's International Inc. | 5,867 | 400 |
Valassis Communications Inc. | 14,252 | 393 |
* Standard Pacific Corp. | 54,981 | 393 |
* Francesca's Holdings Corp. | 16,160 | 390 |
* Office Depot Inc. | 90,329 | 378 |
Finish Line Inc. Class A | 18,035 | 378 |
National CineMedia Inc. | 20,882 | 375 |
Matthews International Corp. Class A | 10,121 | 373 |
* K12 Inc. | 10,260 | 373 |
Sturm Ruger & Co. Inc. | 7,092 | 371 |
* Tumi Holdings Inc. | 17,793 | 366 |
Nexstar Broadcasting Group Inc. Class A | 10,749 | 361 |
* AFC Enterprises Inc. | 8,765 | 359 |
OfficeMax Inc. | 32,884 | 357 |
Brown Shoe Co. Inc. | 15,865 | 356 |
Drew Industries Inc. | 8,410 | 353 |
Stewart Enterprises Inc. Class A | 26,596 | 348 |
* Red Robin Gourmet Burgers Inc. | 5,197 | 337 |
* Sonic Corp. | 20,614 | 329 |
International Speedway Corp. Class A | 10,565 | 327 |
* Elizabeth Arden Inc. | 9,408 | 327 |
* Angie's List Inc. | 15,507 | 325 |
Interval Leisure Group Inc. | 14,941 | 323 |
Sonic Automotive Inc. Class A | 14,779 | 322 |
Oxford Industries Inc. | 5,115 | 317 |
* Steiner Leisure Ltd. | 5,574 | 311 |
* Boyd Gaming Corp. | 25,505 | 309 |
* Caesars Entertainment Corp. | 13,386 | 287 |
* BJ's Restaurants Inc. | 9,070 | 283 |
Scholastic Corp. | 9,576 | 283 |
* G-III Apparel Group Ltd. | 6,079 | 278 |
* LifeLock Inc. | 21,977 | 277 |
Movado Group Inc. | 6,400 | 273 |
Regis Corp. | 17,210 | 272 |
Columbia Sportswear Co. | 4,678 | 265 |
* Meritor Inc. | 35,295 | 263 |
CEC Entertainment Inc. | 6,439 | 261 |
Arctic Cat Inc. | 4,774 | 256 |
* American Public Education Inc. | 6,376 | 255 |
* Smith & Wesson Holding Corp. | 23,238 | 254 |
Cato Corp. Class A | 9,976 | 251 |
* Scientific Games Corp. Class A | 17,293 | 247 |
* ITT Educational Services Inc. | 8,461 | 244 |
* HealthStream Inc. | 7,292 | 242 |
* Aeropostale Inc. | 29,275 | 238 |
* Quiksilver Inc. | 48,013 | 238 |
* Fiesta Restaurant Group Inc. | 7,179 | 235 |
Ethan Allen Interiors Inc. | 8,990 | 234 |
* Winnebago Industries Inc. | 10,165 | 226 |
2
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* LeapFrog Enterprises Inc. | 23,081 | 222 |
Stage Stores Inc. | 11,849 | 221 |
Standard Motor Products Inc. | 7,177 | 220 |
* Capella Education Co. | 4,004 | 218 |
* rue21 inc | 5,311 | 217 |
* Pep Boys-Manny Moe & Jack | 19,261 | 216 |
* Constant Contact Inc. | 11,124 | 213 |
Chuy's Holdings Inc. | 5,879 | 211 |
* Hovnanian Enterprises Inc. Class A | 40,986 | 211 |
* Move Inc. | 14,441 | 209 |
Fred's Inc. Class A | 13,301 | 208 |
MDC Partners Inc. Class A | 9,139 | 205 |
* Zumiez Inc. | 7,647 | 204 |
* Gentherm Inc. | 12,107 | 203 |
* Barnes & Noble Inc. | 14,633 | 200 |
* Mattress Firm Holding Corp. | 4,866 | 200 |
* Stamps.com Inc. | 4,729 | 198 |
* Maidenform Brands Inc. | 8,435 | 198 |
* Tuesday Morning Corp. | 15,723 | 194 |
* Denny's Corp. | 33,689 | 189 |
* Biglari Holdings Inc. | 440 | 184 |
* Libbey Inc. | 7,708 | 183 |
Callaway Golf Co. | 26,095 | 181 |
Tile Shop Holdings Inc. | 6,686 | 178 |
Haverty Furniture Cos. Inc. | 7,154 | 173 |
* EW Scripps Co. Class A | 11,326 | 172 |
Viad Corp. | 7,461 | 168 |
* M/I Homes Inc. | 8,873 | 166 |
* Universal Electronics Inc. | 5,504 | 166 |
* Blue Nile Inc. | 4,549 | 165 |
* Ruby Tuesday Inc. | 22,370 | 162 |
* Federal-Mogul Corp. | 10,412 | 159 |
Strayer Education Inc. | 3,968 | 159 |
Bright Horizons Family Solutions Inc. | 4,350 | 158 |
Inter Parfums Inc. | 5,942 | 158 |
Beazer Homes USA Inc. | 9,210 | 156 |
Ruth's Hospitality Group Inc. | 13,152 | 155 |
* Vera Bradley Inc. | 7,839 | 154 |
* Zale Corp. | 11,921 | 149 |
Superior Industries International Inc. | 8,530 | 149 |
* Carmike Cinemas Inc. | 8,459 | 148 |
Shoe Carnival Inc. | 5,508 | 140 |
Destination Maternity Corp. | 4,968 | 138 |
* American Woodmark Corp. | 3,934 | 137 |
* Shutterstock Inc. | 2,721 | 135 |
* Cavco Industries Inc. | 2,557 | 134 |
Nutrisystem Inc. | 10,509 | 133 |
* Cumulus Media Inc. Class A | 27,642 | 133 |
National Presto Industries Inc. | 1,914 | 132 |
* Gray Television Inc. | 19,943 | 132 |
* America's Car-Mart Inc. | 3,200 | 131 |
Harte-Hanks Inc. | 15,779 | 131 |
* Stoneridge Inc. | 10,458 | 130 |
* RadioShack Corp. | 39,593 | 129 |
* XO Group Inc. | 10,660 | 127 |
* Journal Communications Inc. Class A | 17,610 | 127 |
* Overstock.com Inc. | 4,450 | 125 |
Stein Mart Inc. | 10,159 | 123 |
* Central European Media Enterprises Ltd. Class A | 28,107 | 122 |
* RealD Inc. | 14,854 | 122 |
* Bridgepoint Education Inc. | 7,358 | 122 |
* Digital Generation Inc. | 9,748 | 120 |
* Wet Seal Inc. Class A | 32,662 | 119 |
* Bravo Brio Restaurant Group Inc. | 7,906 | 118 |
3
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Entravision Communications Corp. Class A | 22,197 | 116 |
William Lyon Homes Class A | 5,562 | 115 |
Big 5 Sporting Goods Corp. | 6,794 | 114 |
Town Sports International Holdings Inc. | 9,725 | 113 |
* QuinStreet Inc. | 12,699 | 111 |
* Sears Hometown and Outlet Stores Inc. | 3,437 | 110 |
* MarineMax Inc. | 8,232 | 101 |
* Steinway Musical Instruments Inc. | 2,465 | 99 |
World Wrestling Entertainment Inc. Class A | 10,140 | 99 |
Carriage Services Inc. Class A | 5,539 | 98 |
Remy International Inc. | 4,937 | 96 |
* Kirkland's Inc. | 4,914 | 96 |
* Fuel Systems Solutions Inc. | 4,952 | 94 |
* Central Garden and Pet Co. Class A | 14,757 | 92 |
* Rentrak Corp. | 3,684 | 92 |
Destination XL Group Inc. | 14,842 | 90 |
* Revlon Inc. Class A | 3,999 | 90 |
* Citi Trends Inc. | 5,446 | 88 |
Saga Communications Inc. Class A | 1,705 | 84 |
* Black Diamond Inc. | 7,991 | 83 |
* hhgregg Inc. | 4,525 | 82 |
* Orbitz Worldwide Inc. | 8,457 | 80 |
Marcus Corp. | 6,526 | 80 |
* VOXX International Corp. Class A | 6,583 | 80 |
Perry Ellis International Inc. | 4,345 | 80 |
Universal Technical Institute Inc. | 7,478 | 79 |
Jamba Inc. | 5,887 | 76 |
TRI Pointe Homes Inc. | 5,211 | 73 |
Speedway Motorsports Inc. | 4,102 | 73 |
Del Frisco's Restaurant Group Inc. | 3,770 | 73 |
* Media General Inc. Class A | 6,909 | 72 |
* Christopher & Banks Corp. | 12,805 | 71 |
bebe stores inc | 12,264 | 71 |
* Education Management Corp. | 8,512 | 69 |
* Nautilus Inc. | 10,936 | 69 |
* West Marine Inc. | 5,987 | 68 |
* Valuevision Media Inc. Class A | 13,849 | 68 |
* Entercom Communications Corp. Class A | 8,429 | 67 |
* McClatchy Co. Class A | 21,427 | 66 |
CSS Industries Inc. | 2,987 | 65 |
* Morgans Hotel Group Co. | 9,390 | 65 |
* Rosetta Stone Inc. | 4,103 | 63 |
Courier Corp. | 4,036 | 63 |
* Corinthian Colleges Inc. | 27,942 | 62 |
Weyco Group Inc. | 2,296 | 57 |
Winmark Corp. | 789 | 57 |
* Monarch Casino & Resort Inc. | 3,024 | 57 |
RG Barry Corp. | 3,516 | 56 |
Dex Media Inc. | 6,041 | 56 |
* Isle of Capri Casinos Inc. | 7,463 | 56 |
Marchex Inc. Class B | 7,995 | 55 |
Hooker Furniture Corp. | 3,741 | 54 |
* Cenveo Inc. | 18,995 | 53 |
* Pacific Sunwear of California Inc. | 16,275 | 53 |
Bassett Furniture Industries Inc. | 3,825 | 53 |
Bon-Ton Stores Inc. | 4,763 | 52 |
* Career Education Corp. | 19,452 | 51 |
* Franklin Covey Co. | 3,206 | 50 |
* Carrols Restaurant Group Inc. | 8,345 | 50 |
Lifetime Brands Inc. | 3,599 | 50 |
* New York & Co. Inc. | 10,146 | 50 |
* 1-800-Flowers.com Inc. Class A | 9,085 | 49 |
* Nathan's Famous Inc. | 959 | 49 |
* Luby's Inc. | 6,943 | 49 |
4
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Navarre Corp. | 14,118 | 48 |
* Tilly's Inc. Class A | 3,494 | 48 |
* Zagg Inc. | 10,839 | 48 |
AH Belo Corp. Class A | 6,658 | 48 |
* Tower International Inc. | 2,183 | 45 |
* EveryWare Global Inc. | 3,448 | 45 |
* Johnson Outdoors Inc. Class A | 1,745 | 44 |
Lincoln Educational Services Corp. | 8,603 | 44 |
* Gordmans Stores Inc. | 3,129 | 43 |
* ReachLocal Inc. | 3,662 | 40 |
* Daily Journal Corp. | 322 | 40 |
* Reading International Inc. Class A | 6,145 | 38 |
Flexsteel Industries Inc. | 1,700 | 38 |
* Ignite Restaurant Group Inc. | 2,513 | 38 |
Einstein Noah Restaurant Group Inc. | 2,345 | 38 |
* Crown Media Holdings Inc. Class A | 12,216 | 38 |
* Hemisphere Media Group Inc. | 3,034 | 36 |
* Body Central Corp. | 5,826 | 35 |
JAKKS Pacific Inc. | 6,773 | 35 |
Systemax Inc. | 3,840 | 35 |
* Skullcandy Inc. | 6,364 | 34 |
Marine Products Corp. | 3,836 | 33 |
Blyth Inc. | 3,278 | 30 |
* American Apparel Inc. | 20,431 | 29 |
Salem Communications Corp. Class A | 3,660 | 28 |
* JTH Holding Inc. Class A | 1,616 | 27 |
* Martha Stewart Living Omnimedia Class A | 10,479 | 25 |
* Diversified Restaurant Holdings Inc. | 3,780 | 24 |
Trans World Entertainment Corp. | 3,732 | 17 |
* Biglari Holdings Inc. Rights Exp. 09/16/2013 | 440 | 13 |
Beasley Broadcasting Group Inc. Class A | 1,659 | 12 |
78,483 | ||
Consumer Staples (3.5%) | ||
* Hain Celestial Group Inc. | 14,120 | 1,155 |
* United Natural Foods Inc. | 18,130 | 1,099 |
Casey's General Stores Inc. | 14,134 | 932 |
* Rite Aid Corp. | 268,042 | 927 |
Harris Teeter Supermarkets Inc. | 18,251 | 897 |
* TreeHouse Foods Inc. | 13,354 | 868 |
B&G Foods Inc. | 19,404 | 657 |
* Boston Beer Co. Inc. Class A | 3,034 | 643 |
Sanderson Farms Inc. | 8,448 | 553 |
* SUPERVALU Inc. | 74,518 | 534 |
* Post Holdings Inc. | 11,993 | 512 |
Lancaster Colony Corp. | 6,794 | 501 |
Spectrum Brands Holdings Inc. | 7,893 | 478 |
Snyders-Lance Inc. | 17,452 | 469 |
Andersons Inc. | 6,864 | 451 |
J&J Snack Foods Corp. | 5,484 | 422 |
Universal Corp. | 8,567 | 420 |
Fresh Del Monte Produce Inc. | 13,881 | 401 |
Vector Group Ltd. | 22,097 | 361 |
* Boulder Brands Inc. | 22,499 | 350 |
* Pilgrim's Pride Corp. | 22,246 | 341 |
WD-40 Co. | 5,858 | 341 |
* Susser Holdings Corp. | 6,852 | 327 |
Seaboard Corp. | 107 | 287 |
Core-Mark Holding Co. Inc. | 4,154 | 262 |
* Dole Food Co. Inc. | 18,597 | 255 |
Cal-Maine Foods Inc. | 5,377 | 245 |
* Annie's Inc. | 4,960 | 228 |
Tootsie Roll Industries Inc. | 7,090 | 213 |
* Chiquita Brands International Inc. | 16,830 | 207 |
Weis Markets Inc. | 3,988 | 187 |
5
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Diamond Foods Inc. | 8,170 | 169 |
* USANA Health Sciences Inc. | 2,202 | 167 |
Spartan Stores Inc. | 8,037 | 165 |
* Natural Grocers by Vitamin Cottage Inc. | 3,522 | 136 |
Fairway Group Holdings Corp. | 5,762 | 134 |
* Chefs' Warehouse Inc. | 5,574 | 129 |
* Medifast Inc. | 5,070 | 126 |
PetMed Express Inc. | 8,048 | 123 |
Calavo Growers Inc. | 4,894 | 121 |
Nash Finch Co. | 4,933 | 120 |
* Star Scientific Inc. | 61,118 | 120 |
Coca-Cola Bottling Co. Consolidated | 1,878 | 118 |
Ingles Markets Inc. Class A | 4,444 | 111 |
* Lifevantage Corp. | 40,021 | 96 |
* Pantry Inc. | 8,301 | 95 |
* Alliance One International Inc. | 30,895 | 87 |
* Seneca Foods Corp. Class A | 2,871 | 85 |
* PhotoMedex Inc. | 4,945 | 81 |
Village Super Market Inc. Class A | 2,232 | 78 |
Limoneira Co. | 3,529 | 77 |
Roundy's Inc. | 8,879 | 75 |
Nutraceutical International Corp. | 3,016 | 68 |
Nature's Sunshine Products Inc. | 3,843 | 67 |
Female Health Co. | 7,664 | 66 |
National Beverage Corp. | 3,999 | 64 |
* Vitacost.com Inc. | 7,746 | 64 |
* Omega Protein Corp. | 7,022 | 63 |
John B Sanfilippo & Son Inc. | 2,884 | 62 |
Orchids Paper Products Co. | 2,107 | 58 |
Arden Group Inc. | 411 | 55 |
* Craft Brew Alliance Inc. | 3,722 | 45 |
* Inventure Foods Inc. | 4,940 | 45 |
Alico Inc. | 1,017 | 41 |
* Synutra International Inc. | 6,098 | 29 |
* Farmer Bros Co. | 2,085 | 29 |
Lifeway Foods Inc. | 1,622 | 23 |
18,715 | ||
Energy (5.4%) | ||
* Rosetta Resources Inc. | 22,459 | 1,045 |
* Kodiak Oil & Gas Corp. | 97,821 | 977 |
* Helix Energy Solutions Group Inc. | 38,970 | 975 |
Targa Resources Corp. | 12,077 | 822 |
SemGroup Corp. Class A | 15,526 | 822 |
Berry Petroleum Co. Class A | 19,333 | 796 |
Energy XXI Bermuda Ltd. | 29,137 | 774 |
* PDC Energy Inc. | 13,069 | 750 |
* Hornbeck Offshore Services Inc. | 13,138 | 716 |
SEACOR Holdings Inc. | 7,382 | 613 |
CARBO Ceramics Inc. | 7,266 | 593 |
Western Refining Inc. | 19,875 | 583 |
* Exterran Holdings Inc. | 21,134 | 580 |
* Carrizo Oil & Gas Inc. | 14,955 | 512 |
* Stone Energy Corp. | 18,262 | 500 |
* Alpha Natural Resources Inc. | 81,054 | 493 |
* Bonanza Creek Energy Inc. | 10,766 | 427 |
* Hercules Offshore Inc. | 58,543 | 422 |
* SunCoke Energy Inc. | 25,688 | 404 |
* Halcon Resources Corp. | 85,024 | 404 |
* Bill Barrett Corp. | 17,897 | 385 |
* Forum Energy Technologies Inc. | 14,617 | 383 |
* Key Energy Services Inc. | 55,939 | 373 |
* EPL Oil & Gas Inc. | 10,970 | 371 |
EXCO Resources Inc. | 49,695 | 362 |
* Flotek Industries Inc. | 18,034 | 357 |
6
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Rex Energy Corp. | 17,106 | 356 |
* Newpark Resources Inc. | 31,627 | 352 |
* Cloud Peak Energy Inc. | 22,329 | 352 |
Crosstex Energy Inc. | 18,000 | 351 |
* C&J Energy Services Inc. | 17,032 | 350 |
Arch Coal Inc. | 77,914 | 348 |
* TETRA Technologies Inc. | 29,623 | 348 |
* Geospace Technologies Corp. | 4,887 | 341 |
Delek US Holdings Inc. | 13,631 | 339 |
* SunPower Corp. Class A | 15,620 | 336 |
* Clean Energy Fuels Corp. | 25,861 | 325 |
* Matador Resources Co. | 18,811 | 319 |
* Northern Oil and Gas Inc. | 24,248 | 312 |
* Approach Resources Inc. | 13,269 | 309 |
* Magnum Hunter Resources Corp. | 65,413 | 304 |
Walter Energy Inc. | 22,664 | 293 |
* Diamondback Energy Inc. | 7,168 | 288 |
* GT Advanced Technologies Inc. | 43,249 | 279 |
Comstock Resources Inc. | 17,492 | 255 |
* Sanchez Energy Corp. | 10,297 | 249 |
* Parker Drilling Co. | 43,145 | 248 |
* Forest Oil Corp. | 43,209 | 240 |
* ION Geophysical Corp. | 48,230 | 231 |
* Goodrich Petroleum Corp. | 9,687 | 208 |
* Solazyme Inc. | 17,320 | 195 |
W&T Offshore Inc. | 12,594 | 195 |
* Resolute Energy Corp. | 24,523 | 192 |
* Era Group Inc. | 7,387 | 183 |
* Swift Energy Co. | 15,705 | 177 |
* Synergy Resources Corp. | 18,378 | 172 |
* Tesco Corp. | 11,090 | 171 |
Contango Oil & Gas Co. | 4,774 | 171 |
* RigNet Inc. | 4,346 | 158 |
* Pioneer Energy Services Corp. | 22,823 | 154 |
* Green Plains Renewable Energy Inc. | 9,281 | 149 |
* Matrix Service Co. | 9,570 | 149 |
* Willbros Group Inc. | 15,838 | 144 |
* Triangle Petroleum Corp. | 21,543 | 143 |
* EnerNOC Inc. | 9,640 | 140 |
* Renewable Energy Group Inc. | 8,404 | 130 |
* Vaalco Energy Inc. | 23,028 | 128 |
* Basic Energy Services Inc. | 10,980 | 128 |
* Vantage Drilling Co. | 73,782 | 127 |
Gulf Island Fabrication Inc. | 5,308 | 125 |
* Natural Gas Services Group Inc. | 4,540 | 125 |
* Capstone Turbine Corp. | 111,803 | 124 |
* PowerSecure International Inc. | 7,938 | 122 |
Nuverra Environmental Solutions Inc. | 52,361 | 120 |
* Clayton Williams Energy Inc. | 2,371 | 117 |
Alon USA Energy Inc. | 9,397 | 117 |
* Dawson Geophysical Co. | 3,245 | 117 |
* BPZ Resources Inc. | 41,533 | 95 |
* Penn Virginia Corp. | 19,664 | 95 |
* PetroQuest Energy Inc. | 20,089 | 84 |
* Emerald Oil Inc. | 12,889 | 84 |
* Endeavour International Corp. | 16,603 | 83 |
* Mitcham Industries Inc. | 4,500 | 79 |
* Warren Resources Inc. | 25,688 | 74 |
* Quicksilver Resources Inc. | 43,921 | 73 |
* Abraxas Petroleum Corp. | 28,783 | 73 |
Panhandle Oil and Gas Inc. Class A | 2,457 | 70 |
* Cal Dive International Inc. | 34,522 | 70 |
* FuelCell Energy Inc. | 55,944 | 69 |
* Miller Energy Resources Inc. | 10,759 | 67 |
7
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Evolution Petroleum Corp. | 5,977 | 67 |
* FX Energy Inc. | 18,829 | 64 |
* Gastar Exploration Ltd. | 20,096 | 63 |
* Callon Petroleum Co. | 13,868 | 62 |
Equal Energy Ltd. | 12,552 | 60 |
* Ameresco Inc. Class A | 6,893 | 59 |
* REX American Resources Corp. | 1,927 | 57 |
TGC Industries Inc. | 7,143 | 57 |
* Arabian American Development Co. | 7,008 | 55 |
Bolt Technology Corp. | 3,043 | 54 |
* Midstates Petroleum Co. Inc. | 11,701 | 53 |
* Westmoreland Coal Co. | 4,107 | 53 |
* Apco Oil and Gas International Inc. | 3,220 | 47 |
Adams Resources & Energy Inc. | 742 | 45 |
* Edgen Group Inc. | 6,017 | 44 |
* Enphase Energy Inc. | 5,627 | 35 |
* Isramco Inc. | 325 | 34 |
* KiOR Inc. | 15,471 | 34 |
* L&L Energy Inc. | 10,596 | 25 |
* Amyris Inc. | 9,240 | 24 |
* Crimson Exploration Inc. | 8,011 | 24 |
Hallador Energy Co. | 3,063 | 23 |
* Global Geophysical Services Inc. | 8,048 | 20 |
* ZaZa Energy Corp. | 13,068 | 13 |
* Magnum Hunter Resources Corp. Warrants Exp. 10/14/2013 | 1,086 | — |
28,833 | ||
Financial Services (23.7%) | ||
Prosperity Bancshares Inc. | 22,159 | 1,325 |
FirstMerit Corp. | 60,930 | 1,289 |
* WEX Inc. | 14,242 | 1,140 |
Highwoods Properties Inc. | 32,982 | 1,114 |
CNO Financial Group Inc. | 81,556 | 1,108 |
Prospect Capital Corp. | 95,370 | 1,056 |
RLJ Lodging Trust | 45,467 | 1,045 |
Hancock Holding Co. | 31,206 | 1,003 |
* Portfolio Recovery Associates Inc. | 18,704 | 992 |
Financial Engines Inc. | 18,038 | 964 |
* Stifel Financial Corp. | 23,336 | 934 |
LaSalle Hotel Properties | 35,191 | 934 |
Webster Financial Corp. | 33,308 | 881 |
Susquehanna Bancshares Inc. | 68,729 | 867 |
* MGIC Investment Corp. | 119,417 | 862 |
Radian Group Inc. | 63,457 | 860 |
EPR Properties | 17,367 | 851 |
First American Financial Corp. | 39,712 | 830 |
* Zillow Inc. Class A | 8,554 | 825 |
Geo Group Inc. | 26,397 | 824 |
CubeSmart | 48,902 | 814 |
Healthcare Realty Trust Inc. | 35,326 | 794 |
Primerica Inc. | 20,919 | 777 |
NorthStar Realty Finance Corp. | 87,989 | 771 |
Sovran Self Storage Inc. | 11,528 | 764 |
Invesco Mortgage Capital Inc. | 49,634 | 760 |
American Realty Capital Properties Inc. | 56,542 | 758 |
Lexington Realty Trust | 61,950 | 726 |
* Sunstone Hotel Investors Inc. | 59,770 | 719 |
Colonial Properties Trust | 32,534 | 719 |
DCT Industrial Trust Inc. | 106,717 | 714 |
UMB Financial Corp. | 11,912 | 712 |
MarketAxess Holdings Inc. | 13,768 | 699 |
DiamondRock Hospitality Co. | 71,748 | 695 |
Medical Properties Trust Inc. | 59,312 | 685 |
BancorpSouth Inc. | 34,940 | 677 |
Capitol Federal Financial Inc. | 54,681 | 669 |
8
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Umpqua Holdings Corp. | 41,099 | 667 |
First Financial Bankshares Inc. | 11,575 | 666 |
* Texas Capital Bancshares Inc. | 14,970 | 660 |
Fair Isaac Corp. | 13,168 | 659 |
Apollo Investment Corp. | 82,500 | 651 |
FNB Corp. | 53,235 | 643 |
Chambers Street Properties | 86,816 | 638 |
Cathay General Bancorp | 28,950 | 637 |
* Euronet Worldwide Inc. | 18,298 | 629 |
EastGroup Properties Inc. | 11,106 | 624 |
Glacier Bancorp Inc. | 26,439 | 624 |
Platinum Underwriters Holdings Ltd. | 10,744 | 621 |
Trustmark Corp. | 24,654 | 613 |
Cousins Properties Inc. | 61,714 | 613 |
RLI Corp. | 7,813 | 610 |
First Industrial Realty Trust Inc. | 39,457 | 597 |
Washington REIT | 24,411 | 595 |
Home Loan Servicing Solutions Ltd. | 26,069 | 594 |
* First Cash Financial Services Inc. | 10,712 | 592 |
New Residential Investment Corp. | 92,883 | 590 |
Pebblebrook Hotel Trust | 22,543 | 577 |
ARMOUR Residential REIT Inc. | 137,336 | 574 |
* Cardtronics Inc. | 16,542 | 574 |
Potlatch Corp. | 14,863 | 573 |
Iberiabank Corp. | 10,899 | 570 |
* Alexander & Baldwin Inc. | 15,802 | 568 |
Sun Communities Inc. | 13,079 | 562 |
PennyMac Mortgage Investment Trust | 25,862 | 544 |
MB Financial Inc. | 20,116 | 543 |
* Strategic Hotels & Resorts Inc. | 66,552 | 540 |
Wintrust Financial Corp. | 13,596 | 539 |
Redwood Trust Inc. | 30,147 | 536 |
Ryman Hospitality Properties Inc. | 16,193 | 535 |
Glimcher Realty Trust | 53,044 | 525 |
DuPont Fabros Technology Inc. | 22,911 | 522 |
PrivateBancorp Inc. | 23,825 | 520 |
Bank of the Ozarks Inc. | 11,415 | 518 |
Evercore Partners Inc. Class A | 11,606 | 518 |
Symetra Financial Corp. | 29,911 | 517 |
United Bankshares Inc. | 18,480 | 513 |
* Walter Investment Management Corp. | 13,540 | 497 |
National Health Investors Inc. | 9,031 | 496 |
Heartland Payment Systems Inc. | 13,336 | 493 |
CYS Investments Inc. | 64,097 | 492 |
Community Bank System Inc. | 14,789 | 492 |
Greenhill & Co. Inc. | 10,347 | 490 |
Old National Bancorp | 37,210 | 489 |
PS Business Parks Inc. | 6,700 | 487 |
Acadia Realty Trust | 20,217 | 472 |
First Financial Holdings Inc. | 8,755 | 471 |
* Enstar Group Ltd. | 3,496 | 471 |
Westamerica Bancorporation | 9,984 | 470 |
Equity One Inc. | 22,101 | 470 |
Government Properties Income Trust | 20,066 | 469 |
Colony Financial Inc. | 23,713 | 469 |
Selective Insurance Group Inc. | 20,384 | 467 |
PacWest Bancorp | 14,024 | 466 |
American Equity Investment Life Holding Co. | 23,500 | 466 |
Pennsylvania REIT | 24,964 | 463 |
Fifth Street Finance Corp. | 44,679 | 463 |
Northwest Bancshares Inc. | 34,685 | 463 |
Janus Capital Group Inc. | 54,774 | 458 |
Cash America International Inc. | 10,578 | 453 |
LTC Properties Inc. | 12,752 | 452 |
9
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Western Alliance Bancorp | 27,401 | 449 |
Columbia Banking System Inc. | 18,901 | 439 |
National Penn Bancshares Inc. | 43,352 | 435 |
American Capital Mortgage Investment Corp. | 21,648 | 434 |
International Bancshares Corp. | 19,744 | 433 |
CVB Financial Corp. | 33,712 | 429 |
Home BancShares Inc. | 16,792 | 427 |
Main Street Capital Corp. | 14,332 | 417 |
* WisdomTree Investments Inc. | 37,186 | 416 |
EverBank Financial Corp. | 29,546 | 415 |
First Midwest Bancorp Inc. | 27,504 | 413 |
Argo Group International Holdings Ltd. | 10,091 | 412 |
Capstead Mortgage Corp. | 35,079 | 412 |
Franklin Street Properties Corp. | 33,440 | 407 |
Amtrust Financial Services Inc. | 11,364 | 406 |
Montpelier Re Holdings Ltd. | 16,133 | 401 |
Astoria Financial Corp. | 32,418 | 399 |
* Encore Capital Group Inc. | 9,179 | 394 |
Chesapeake Lodging Trust | 17,784 | 391 |
Hersha Hospitality Trust Class A | 74,356 | 390 |
BBCN Bancorp Inc. | 28,844 | 385 |
Horace Mann Educators Corp. | 14,569 | 384 |
National Bank Holdings Corp. Class A | 19,186 | 375 |
* Virtus Investment Partners Inc. | 2,126 | 371 |
* Ambac Financial Group Inc. | 16,519 | 366 |
American Assets Trust Inc. | 12,311 | 365 |
Solar Capital Ltd. | 16,504 | 362 |
Education Realty Trust Inc. | 41,856 | 360 |
* Pinnacle Financial Partners Inc. | 12,858 | 359 |
* Hilltop Holdings Inc. | 22,778 | 357 |
* iStar Financial Inc. | 32,130 | 356 |
Kennedy-Wilson Holdings Inc. | 19,236 | 355 |
Provident Financial Services Inc. | 21,907 | 354 |
NBT Bancorp Inc. | 16,077 | 344 |
Retail Opportunity Investments Corp. | 26,376 | 341 |
Hercules Technology Growth Capital Inc. | 23,322 | 338 |
Investors Bancorp Inc. | 16,212 | 338 |
Park National Corp. | 4,364 | 332 |
First Financial Bancorp | 21,942 | 329 |
* Ezcorp Inc. Class A | 19,367 | 329 |
Nelnet Inc. Class A | 8,678 | 329 |
Hudson Pacific Properties Inc. | 16,435 | 328 |
Ramco-Gershenson Properties Trust | 22,640 | 328 |
Advent Software Inc. | 11,984 | 323 |
Inland Real Estate Corp. | 32,391 | 318 |
Sabra Health Care REIT Inc. | 14,188 | 314 |
Investors Real Estate Trust | 38,356 | 313 |
Sterling Financial Corp. | 12,916 | 313 |
Employers Holdings Inc. | 11,772 | 312 |
Boston Private Financial Holdings Inc. | 30,311 | 310 |
Independent Bank Corp. | 8,703 | 309 |
STAG Industrial Inc. | 15,356 | 307 |
^ Triangle Capital Corp. | 10,493 | 306 |
* World Acceptance Corp. | 3,540 | 303 |
Tower Group International Ltd. | 21,306 | 301 |
ViewPoint Financial Group Inc. | 14,469 | 288 |
Associated Estates Realty Corp. | 20,839 | 287 |
OFG Bancorp | 16,525 | 284 |
* BofI Holding Inc. | 4,381 | 284 |
* Credit Acceptance Corp. | 2,573 | 277 |
HFF Inc. Class A | 11,986 | 276 |
* Greenlight Capital Re Ltd. Class A | 10,216 | 274 |
CapLease Inc. | 32,180 | 274 |
Chemical Financial Corp. | 9,972 | 272 |
10
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
WesBanco Inc. | 9,385 | 269 |
Resource Capital Corp. | 45,990 | 268 |
PennantPark Investment Corp. | 24,067 | 267 |
First Potomac Realty Trust | 21,276 | 265 |
BlackRock Kelso Capital Corp. | 26,838 | 263 |
First Commonwealth Financial Corp. | 35,459 | 260 |
Parkway Properties Inc. | 15,778 | 258 |
BGC Partners Inc. Class A | 46,019 | 257 |
Ashford Hospitality Trust Inc. | 22,257 | 257 |
Banco Latinoamericano de Comercio Exterior SA | 10,602 | 255 |
EVERTEC Inc. | 10,688 | 255 |
Oritani Financial Corp. | 16,434 | 255 |
Northfield Bancorp Inc. | 21,081 | 253 |
Infinity Property & Casualty Corp. | 4,174 | 253 |
FXCM Inc. Class A | 13,250 | 252 |
* Forestar Group Inc. | 12,550 | 251 |
* FelCor Lodging Trust Inc. | 44,956 | 248 |
Campus Crest Communities Inc. | 23,381 | 247 |
S&T Bancorp Inc. | 10,764 | 242 |
Banner Corp. | 7,048 | 241 |
Maiden Holdings Ltd. | 18,048 | 236 |
Stewart Information Services Corp. | 7,717 | 236 |
Safety Insurance Group Inc. | 4,665 | 234 |
Anworth Mortgage Asset Corp. | 52,469 | 232 |
City Holding Co. | 5,671 | 232 |
Renasant Corp. | 9,133 | 230 |
Brookline Bancorp Inc. | 25,387 | 230 |
* Investment Technology Group Inc. | 13,479 | 229 |
CoreSite Realty Corp. | 7,514 | 229 |
Summit Hotel Properties Inc. | 23,880 | 228 |
* United Community Banks Inc. | 15,601 | 227 |
Tompkins Financial Corp. | 5,235 | 227 |
* KCG Holdings Inc. Class A | 26,081 | 226 |
Berkshire Hills Bancorp Inc. | 9,082 | 226 |
* Green Dot Corp. Class A | 9,470 | 217 |
AMERISAFE Inc. | 6,661 | 217 |
Golub Capital BDC Inc. | 12,552 | 217 |
United Fire Group Inc. | 7,453 | 214 |
Cohen & Steers Inc. | 6,816 | 213 |
Alexander's Inc. | 761 | 208 |
* Eagle Bancorp Inc. | 8,080 | 206 |
* Navigators Group Inc. | 3,751 | 205 |
Sandy Spring Bancorp Inc. | 9,041 | 202 |
Excel Trust Inc. | 17,324 | 202 |
Apollo Commercial Real Estate Finance Inc. | 13,359 | 201 |
Flushing Financial Corp. | 11,168 | 200 |
TrustCo Bank Corp. NY | 34,122 | 199 |
New Mountain Finance Corp. | 13,519 | 198 |
Cass Information Systems Inc. | 3,731 | 196 |
THL Credit Inc. | 12,447 | 195 |
Select Income REIT | 7,928 | 193 |
* Piper Jaffray Cos. | 5,924 | 193 |
Community Trust Bancorp Inc. | 5,076 | 191 |
Kite Realty Group Trust | 33,132 | 191 |
* Bancorp Inc. | 12,058 | 191 |
* Global Cash Access Holdings Inc. | 24,308 | 187 |
* eHealth Inc. | 6,760 | 187 |
Hanmi Financial Corp. | 11,442 | 187 |
Lakeland Financial Corp. | 5,950 | 185 |
Dime Community Bancshares Inc. | 11,535 | 184 |
TICC Capital Corp. | 19,031 | 183 |
Cardinal Financial Corp. | 11,110 | 183 |
Wilshire Bancorp Inc. | 22,430 | 182 |
AG Mortgage Investment Trust Inc. | 10,254 | 180 |
11
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Capital Bank Financial Corp. | 9,102 | 180 |
First Merchants Corp. | 10,426 | 178 |
State Bank Financial Corp. | 11,717 | 178 |
Apollo Residential Mortgage Inc. | 11,604 | 177 |
Urstadt Biddle Properties Inc. Class A | 9,029 | 176 |
* PICO Holdings Inc. | 8,345 | 176 |
* Altisource Residential Corp. | 9,199 | 174 |
Universal Health Realty Income Trust | 4,312 | 173 |
WSFS Financial Corp. | 2,881 | 172 |
StellarOne Corp. | 8,337 | 171 |
Getty Realty Corp. | 9,276 | 169 |
* Ameris Bancorp | 8,765 | 168 |
* First BanCorp | 26,113 | 167 |
Provident New York Bancorp | 16,281 | 166 |
* DFC Global Corp. | 14,667 | 166 |
Southside Bancshares Inc. | 6,549 | 163 |
Capital Southwest Corp. | 4,939 | 163 |
Medley Capital Corp. | 12,197 | 160 |
Dynex Capital Inc. | 19,900 | 160 |
Washington Trust Bancorp Inc. | 5,312 | 159 |
* MoneyGram International Inc. | 7,860 | 159 |
Terreno Realty Corp. | 9,052 | 159 |
Union First Market Bankshares Corp. | 7,420 | 159 |
National Western Life Insurance Co. Class A | 794 | 157 |
RAIT Financial Trust | 25,340 | 157 |
Rouse Properties Inc. | 8,232 | 153 |
* Tejon Ranch Co. | 5,059 | 150 |
Chatham Lodging Trust | 8,281 | 150 |
TCP Capital Corp. | 9,536 | 149 |
Heartland Financial USA Inc. | 5,442 | 148 |
Simmons First National Corp. Class A | 6,060 | 147 |
First Interstate Bancsystem Inc. | 6,438 | 146 |
* Virginia Commerce Bancorp Inc. | 9,899 | 146 |
Sterling Bancorp | 11,363 | 144 |
FBL Financial Group Inc. Class A | 3,259 | 144 |
Lakeland Bancorp Inc. | 13,120 | 143 |
1st Source Corp. | 5,538 | 143 |
New York Mortgage Trust Inc. | 23,395 | 141 |
Monmouth Real Estate Investment Corp. Class A | 15,579 | 140 |
Western Asset Mortgage Capital Corp. | 8,922 | 139 |
Arlington Asset Investment Corp. Class A | 5,876 | 136 |
Central Pacific Financial Corp. | 8,012 | 136 |
SY Bancorp Inc. | 5,124 | 136 |
TowneBank | 9,662 | 136 |
HomeTrust Bancshares Inc. | 8,259 | 135 |
* Taylor Capital Group Inc. | 6,341 | 134 |
CyrusOne Inc. | 7,039 | 134 |
Bancfirst Corp. | 2,601 | 133 |
Westwood Holdings Group Inc. | 2,773 | 132 |
Agree Realty Corp. | 4,861 | 132 |
Rockville Financial Inc. | 10,068 | 131 |
* Citizens Inc. Class A | 17,342 | 131 |
Trico Bancshares | 6,358 | 130 |
* Customers Bancorp Inc. | 7,949 | 130 |
Cedar Realty Trust Inc. | 26,542 | 130 |
OneBeacon Insurance Group Ltd. Class A | 9,020 | 129 |
Federal Agricultural Mortgage Corp. | 3,783 | 127 |
GAMCO Investors Inc. | 2,212 | 127 |
Winthrop Realty Trust | 10,685 | 127 |
Univest Corp. of Pennsylvania | 6,657 | 127 |
* NewStar Financial Inc. | 9,634 | 127 |
First Busey Corp. | 26,598 | 127 |
* Cowen Group Inc. Class A | 38,959 | 126 |
First Financial Corp. | 4,121 | 125 |
12
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Saul Centers Inc. | 2,883 | 125 |
Bryn Mawr Bank Corp. | 4,960 | 125 |
Diamond Hill Investment Group Inc. | 1,131 | 124 |
United Financial Bancorp Inc. | 7,894 | 124 |
MCG Capital Corp. | 25,104 | 123 |
* Safeguard Scientifics Inc. | 8,410 | 122 |
* Harbinger Group Inc. | 13,292 | 122 |
Hudson Valley Holding Corp. | 6,599 | 121 |
German American Bancorp Inc. | 5,074 | 121 |
MVC Capital Inc. | 9,633 | 121 |
Enterprise Financial Services Corp. | 7,279 | 120 |
Meadowbrook Insurance Group Inc. | 20,083 | 120 |
AmREIT Inc. | 7,109 | 120 |
* Beneficial Mutual Bancorp Inc. | 12,879 | 119 |
HCI Group Inc. | 3,414 | 119 |
Camden National Corp. | 3,082 | 118 |
First of Long Island Corp. | 3,189 | 117 |
MainSource Financial Group Inc. | 8,218 | 117 |
* American Safety Insurance Holdings Ltd. | 3,883 | 117 |
Flagstar Bancorp Inc. | 7,997 | 116 |
* Southwest Bancorp Inc. | 7,965 | 115 |
Blackhawk Network Holdings Inc. | 4,661 | 114 |
CoBiz Financial Inc. | 12,608 | 113 |
State Auto Financial Corp. | 6,050 | 113 |
First Bancorp | 7,958 | 112 |
Bank Mutual Corp. | 18,757 | 111 |
Ares Commercial Real Estate Corp. | 7,751 | 99 |
GFI Group Inc. | 24,544 | 98 |
Centerstate Banks Inc. | 10,608 | 97 |
Great Southern Bancorp Inc. | 3,631 | 97 |
* INTL. FCStone Inc. | 4,965 | 95 |
First Community Bancshares Inc. | 6,315 | 95 |
Park Sterling Corp. | 15,901 | 95 |
* Metro Bancorp Inc. | 4,983 | 95 |
Arrow Financial Corp. | 3,680 | 93 |
Medallion Financial Corp. | 6,565 | 93 |
Aviv REIT Inc. | 4,054 | 92 |
* OmniAmerican Bancorp Inc. | 4,041 | 92 |
Fidus Investment Corp. | 4,830 | 91 |
Republic Bancorp Inc. Class A | 3,418 | 90 |
National Bankshares Inc. | 2,470 | 90 |
Financial Institutions Inc. | 4,862 | 90 |
Gladstone Commercial Corp. | 5,077 | 90 |
HomeStreet Inc. | 4,569 | 90 |
One Liberty Properties Inc. | 4,141 | 89 |
* Gramercy Property Trust Inc. | 20,932 | 86 |
Whitestone REIT | 6,010 | 85 |
Silver Bay Realty Trust Corp. | 5,370 | 85 |
* GSV Capital Corp. | 6,812 | 84 |
First Defiance Financial Corp. | 3,445 | 84 |
* Walker & Dunlop Inc. | 5,805 | 84 |
BNC Bancorp | 6,458 | 84 |
First Connecticut Bancorp Inc. | 5,988 | 84 |
Citizens & Northern Corp. | 4,358 | 84 |
Penns Woods Bancorp Inc. | 1,769 | 83 |
KCAP Financial Inc. | 9,966 | 83 |
Charter Financial Corp. | 8,022 | 83 |
FBR & Co. | 3,081 | 83 |
* American Residential Properties Inc. | 4,832 | 82 |
Territorial Bancorp Inc. | 3,746 | 82 |
* Higher One Holdings Inc. | 11,055 | 82 |
Heritage Financial Corp. | 5,342 | 81 |
* Pacific Premier Bancorp Inc. | 6,026 | 80 |
Peoples Bancorp Inc. | 3,791 | 79 |
13
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Pacific Continental Corp. | 6,307 | 79 |
OceanFirst Financial Corp. | 4,853 | 79 |
* Banc of California Inc. | 5,913 | 79 |
* Phoenix Cos. Inc. | 2,044 | 77 |
* PennyMac Financial Services Inc. Class A | 4,506 | 77 |
Baldwin & Lyons Inc. | 3,254 | 77 |
Fidelity Southern Corp. | 5,266 | 76 |
Bank of Marin Bancorp | 1,919 | 76 |
* Global Indemnity plc | 3,076 | 75 |
1st United Bancorp Inc. | 10,535 | 75 |
* Yadkin Financial Corp. | 5,070 | 75 |
Washington Banking Co. | 5,453 | 75 |
Consolidated-Tomoka Land Co. | 2,062 | 74 |
CNB Financial Corp. | 4,397 | 74 |
* United Community Financial Corp. | 18,125 | 73 |
Fox Chase Bancorp Inc. | 4,293 | 72 |
Solar Senior Capital Ltd. | 4,059 | 72 |
Manning & Napier Inc. | 4,788 | 72 |
PennantPark Floating Rate Capital Ltd. | 5,327 | 71 |
Universal Insurance Holdings Inc. | 9,543 | 70 |
Crawford & Co. Class B | 9,199 | 70 |
* Xoom Corp. | 2,590 | 70 |
Calamos Asset Management Inc. Class A | 6,999 | 69 |
* Suffolk Bancorp | 4,078 | 69 |
West Bancorporation Inc. | 5,503 | 69 |
Meta Financial Group Inc. | 2,191 | 69 |
* Firsthand Technology Value Fund Inc. | 3,016 | 68 |
Franklin Financial Corp. | 3,789 | 68 |
Bridge Bancorp Inc. | 3,164 | 67 |
Horizon Bancorp | 3,066 | 66 |
Ames National Corp. | 3,281 | 66 |
* Preferred Bank | 4,115 | 66 |
Home Federal Bancorp Inc. | 5,109 | 65 |
* NewBridge Bancorp | 8,904 | 64 |
^ Stellus Capital Investment Corp. | 4,249 | 64 |
Gladstone Investment Corp. | 9,333 | 64 |
Armada Hoffler Properties Inc. | 6,700 | 63 |
* MPG Office Trust Inc. | 20,214 | 63 |
BankFinancial Corp. | 7,428 | 62 |
First Financial Northwest Inc. | 5,829 | 62 |
Guaranty Bancorp | 5,241 | 62 |
Sierra Bancorp | 4,292 | 62 |
Kansas City Life Insurance Co. | 1,415 | 62 |
Mercantile Bank Corp. | 3,068 | 61 |
Oppenheimer Holdings Inc. Class A | 3,495 | 61 |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 5,194 | 61 |
* Ladenburg Thalmann Financial Services Inc. | 36,303 | 61 |
American National Bankshares Inc. | 2,769 | 61 |
Gladstone Capital Corp. | 7,363 | 60 |
JAVELIN Mortgage Investment Corp. | 4,728 | 59 |
National Interstate Corp. | 2,342 | 59 |
Thomas Properties Group Inc. | 10,660 | 59 |
Nicholas Financial Inc. | 3,624 | 59 |
Bank of Kentucky Financial Corp. | 2,164 | 58 |
Center Bancorp Inc. | 4,152 | 58 |
Merchants Bancshares Inc. | 1,977 | 58 |
C&F Financial Corp. | 1,152 | 58 |
Provident Financial Holdings Inc. | 3,235 | 57 |
* Meridian Interstate Bancorp Inc. | 2,910 | 57 |
Tree.com Inc. | 2,272 | 57 |
MetroCorp Bancshares Inc. | 5,620 | 57 |
MidWestOne Financial Group Inc. | 2,386 | 56 |
* CU Bancorp | 3,314 | 55 |
First Bancorp Inc. | 3,368 | 55 |
14
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Doral Financial Corp. | 2,301 | 54 |
* Bridge Capital Holdings | 3,392 | 54 |
* SWS Group Inc. | 10,210 | 54 |
ESB Financial Corp. | 4,524 | 54 |
* AV Homes Inc. | 3,327 | 54 |
Peapack Gladstone Financial Corp. | 3,171 | 53 |
* Farmers Capital Bank Corp. | 2,634 | 53 |
* Seacoast Banking Corp. of Florida | 25,481 | 52 |
* Capital City Bank Group Inc. | 4,400 | 52 |
* Regional Management Corp. | 1,893 | 52 |
* Sun Bancorp Inc. | 14,257 | 52 |
Northrim BanCorp Inc. | 2,296 | 52 |
UMH Properties Inc. | 5,331 | 51 |
Heritage Commerce Corp. | 7,342 | 51 |
Bar Harbor Bankshares | 1,386 | 50 |
* First Security Group Inc. | 22,007 | 50 |
* Kearny Financial Corp. | 5,054 | 49 |
Enterprise Bancorp Inc. | 2,553 | 47 |
First M&F Corp. | 2,927 | 47 |
* Roma Financial Corp. | 2,573 | 46 |
NGP Capital Resources Co. | 7,305 | 46 |
Eastern Insurance Holdings Inc. | 2,268 | 45 |
* Heritage Oaks Bancorp | 7,112 | 44 |
Westfield Financial Inc. | 6,739 | 44 |
EMC Insurance Group Inc. | 1,587 | 44 |
* Intervest Bancshares Corp. Class A | 6,313 | 44 |
Independent Bank Group Inc. | 1,275 | 44 |
MidSouth Bancorp Inc. | 2,899 | 44 |
* Hallmark Financial Services Inc. | 4,962 | 42 |
LCNB Corp. | 2,134 | 41 |
* Imperial Holdings Inc. | 6,082 | 41 |
* NASB Financial Inc. | 1,478 | 40 |
* Chemung Financial Corp. | 1,271 | 39 |
* Home Bancorp Inc. | 2,284 | 39 |
Independence Holding Co. | 2,779 | 39 |
Horizon Technology Finance Corp. | 2,898 | 39 |
Century Bancorp Inc. Class A | 1,199 | 38 |
* Macatawa Bank Corp. | 8,368 | 37 |
* Planet Payment Inc. | 14,985 | 37 |
Clifton Savings Bancorp Inc. | 3,025 | 36 |
WhiteHorse Finance Inc. | 2,379 | 36 |
JMP Group Inc. | 5,582 | 36 |
Access National Corp. | 2,575 | 35 |
* Consumer Portfolio Services Inc. | 5,987 | 35 |
Donegal Group Inc. Class A | 2,591 | 35 |
Middleburg Financial Corp. | 1,874 | 35 |
* First NBC Bank Holding Co. | 1,470 | 35 |
Ellington Residential Mortgage REIT | 2,276 | 34 |
ESSA Bancorp Inc. | 3,168 | 34 |
Investors Title Co. | 466 | 33 |
* BBX Capital Corp. | 2,544 | 32 |
Resource America Inc. Class A | 4,285 | 32 |
^ Garrison Capital Inc. | 2,117 | 32 |
ZAIS Financial Corp. | 2,013 | 32 |
CommunityOne Bancorp | 3,708 | 31 |
Intersections Inc. | 3,334 | 31 |
* Tristate Capital Holdings Inc. | 2,312 | 30 |
Hingham Institution for Savings | 451 | 30 |
Gain Capital Holdings Inc. | 3,881 | 29 |
Griffin Land & Nurseries Inc. | 925 | 28 |
Pzena Investment Management Inc. Class A | 4,003 | 26 |
* First Marblehead Corp. | 32,198 | 26 |
* Waterstone Financial Inc. | 2,595 | 25 |
* VantageSouth Bancshares Inc. | 4,248 | 23 |
15
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | ConnectOne Bancorp Inc. | 622 | 21 |
* | Palmetto Bancshares Inc. | 1,572 | 19 |
CIFC Corp. | 2,429 | 18 | |
* | Hampton Roads Bankshares Inc. | 11,890 | 18 |
* | Fortegra Financial Corp. | 2,263 | 17 |
* | Health Insurance Innovations Inc. Class A | 1,580 | 17 |
* | Cascade Bancorp | 2,280 | 14 |
California First National Bancorp | 873 | 13 | |
* | First Federal Bancshares of Arkansas Inc. | 1,023 | 10 |
* | Tejon Ranch Co. Warrants Exp. 08/31/2016 | 782 | 3 |
126,757 | |||
Health Care (13.0%) | |||
* | athenahealth Inc. | 13,487 | 1,423 |
Questcor Pharmaceuticals Inc. | 19,075 | 1,272 | |
* | Align Technology Inc. | 26,811 | 1,168 |
* | Centene Corp. | 19,949 | 1,140 |
* | Alnylam Pharmaceuticals Inc. | 21,334 | 1,105 |
* | Isis Pharmaceuticals Inc. | 41,229 | 1,065 |
* | WellCare Health Plans Inc. | 15,993 | 1,018 |
* | HealthSouth Corp. | 32,065 | 1,009 |
* | Team Health Holdings Inc. | 25,252 | 970 |
* | PAREXEL International Corp. | 20,899 | 970 |
West Pharmaceutical Services Inc. | 12,735 | 942 | |
* | NPS Pharmaceuticals Inc. | 36,831 | 925 |
* | Aegerion Pharmaceuticals Inc. | 10,579 | 917 |
STERIS Corp. | 21,706 | 888 | |
* | Cepheid Inc. | 24,634 | 881 |
* | Medidata Solutions Inc. | 9,760 | 873 |
* | HMS Holdings Corp. | 32,195 | 805 |
Owens & Minor Inc. | 23,246 | 793 | |
* | Thoratec Corp. | 21,045 | 752 |
* | Haemonetics Corp. | 18,749 | 747 |
* | Medicines Co. | 23,222 | 734 |
* | ViroPharma Inc. | 23,975 | 723 |
* | MWI Veterinary Supply Inc. | 4,699 | 715 |
* | DexCom Inc. | 25,952 | 702 |
* | Insulet Corp. | 19,615 | 654 |
* | Celldex Therapeutics Inc. | 29,686 | 645 |
*,^ | Opko Health Inc. | 69,306 | 640 |
* | Prestige Brands Holdings Inc. | 18,775 | 610 |
Air Methods Corp. | 14,272 | 584 | |
* | Magellan Health Services Inc. | 9,937 | 559 |
* | Nektar Therapeutics | 42,397 | 516 |
* | Cyberonics Inc. | 10,144 | 516 |
* | ACADIA Pharmaceuticals Inc. | 25,724 | 514 |
* | Arena Pharmaceuticals Inc. | 79,944 | 512 |
* | Impax Laboratories Inc. | 25,137 | 512 |
* | MedAssets Inc. | 22,555 | 506 |
* | Acorda Therapeutics Inc. | 14,891 | 503 |
* | Acadia Healthcare Co. Inc. | 13,103 | 502 |
* | ImmunoGen Inc. | 31,031 | 497 |
Chemed Corp. | 6,926 | 482 | |
* | Neogen Corp. | 8,781 | 475 |
* | HeartWare International Inc. | 6,000 | 472 |
*,^ | Vivus Inc. | 36,953 | 463 |
* | Santarus Inc. | 20,487 | 461 |
* | Amsurg Corp. Class A | 11,864 | 442 |
Masimo Corp. | 17,881 | 442 | |
* | Volcano Corp. | 20,021 | 429 |
* | InterMune Inc. | 29,961 | 428 |
* | Sarepta Therapeutics Inc. | 12,308 | 420 |
* | Puma Biotechnology Inc. | 8,099 | 410 |
PDL BioPharma Inc. | 51,391 | 408 | |
* | WebMD Health Corp. | 12,883 | 405 |
16
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Ironwood Pharmaceuticals Inc. Class A | 34,158 | 398 |
* Hanger Inc. | 12,649 | 388 |
* Akorn Inc. | 21,365 | 384 |
* NuVasive Inc. | 16,187 | 381 |
* Clovis Oncology Inc. | 5,862 | 378 |
* Pacira Pharmaceuticals Inc. | 10,116 | 366 |
* Endologix Inc. | 23,052 | 365 |
* Neurocrine Biosciences Inc. | 24,496 | 357 |
* Wright Medical Group Inc. | 14,799 | 356 |
* Globus Medical Inc. | 20,052 | 353 |
* Exelixis Inc. | 69,483 | 348 |
* Molina Healthcare Inc. | 10,377 | 347 |
Analogic Corp. | 4,634 | 346 |
* ABIOMED Inc. | 14,665 | 345 |
Meridian Bioscience Inc. | 15,222 | 342 |
* ICU Medical Inc. | 4,753 | 340 |
* Emeritus Corp. | 15,269 | 333 |
* ArthroCare Corp. | 10,350 | 328 |
* IPC The Hospitalist Co. Inc. | 6,361 | 327 |
CONMED Corp. | 10,519 | 327 |
* Auxilium Pharmaceuticals Inc. | 18,697 | 326 |
* Infinity Pharmaceuticals Inc. | 17,575 | 325 |
* Ligand Pharmaceuticals Inc. Class B | 6,758 | 325 |
Cantel Medical Corp. | 12,443 | 322 |
Abaxis Inc. | 8,090 | 317 |
* MannKind Corp. | 54,602 | 316 |
Quality Systems Inc. | 15,167 | 314 |
* Exact Sciences Corp. | 26,787 | 310 |
* Integra LifeSciences Holdings Corp. | 7,609 | 309 |
* Greatbatch Inc. | 9,092 | 309 |
* Synageva BioPharma Corp. | 6,505 | 305 |
* Raptor Pharmaceutical Corp. | 21,900 | 297 |
Kindred Healthcare Inc. | 19,572 | 288 |
* Luminex Corp. | 13,527 | 275 |
Ensign Group Inc. | 7,040 | 272 |
* Omnicell Inc. | 12,435 | 270 |
* Quidel Corp. | 10,171 | 270 |
* AVANIR Pharmaceuticals Inc. | 52,558 | 268 |
* Halozyme Therapeutics Inc. | 32,176 | 267 |
* NxStage Medical Inc. | 21,636 | 267 |
* BioScrip Inc. | 21,116 | 258 |
* ExamWorks Group Inc. | 10,960 | 258 |
* Vanguard Health Systems Inc. | 12,279 | 257 |
* Bio-Reference Labs Inc. | 8,857 | 256 |
* Keryx Biopharmaceuticals Inc. | 29,598 | 253 |
* Momenta Pharmaceuticals Inc. | 17,102 | 241 |
* Array BioPharma Inc. | 42,296 | 237 |
* Healthways Inc. | 12,387 | 236 |
* Orexigen Therapeutics Inc. | 34,279 | 235 |
* Spectranetics Corp. | 14,615 | 231 |
* MAKO Surgical Corp. | 15,232 | 228 |
* Astex Pharmaceuticals | 34,728 | 228 |
* AMN Healthcare Services Inc. | 16,674 | 227 |
* Achillion Pharmaceuticals Inc. | 34,973 | 226 |
* Optimer Pharmaceuticals Inc. | 17,646 | 221 |
Computer Programs & Systems Inc. | 4,014 | 221 |
* Capital Senior Living Corp. | 10,374 | 216 |
* Lexicon Pharmaceuticals Inc. | 82,336 | 205 |
* Accretive Health Inc. | 21,298 | 200 |
* Merit Medical Systems Inc. | 15,412 | 197 |
* Sangamo Biosciences Inc. | 19,468 | 192 |
* Genomic Health Inc. | 6,059 | 191 |
* Insmed Inc. | 12,530 | 191 |
* Fluidigm Corp. | 9,208 | 188 |
17
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | MiMedx Group Inc. | 30,501 | 188 |
* | Amedisys Inc. | 11,550 | 188 |
* | AMAG Pharmaceuticals Inc. | 7,919 | 187 |
* | Trius Therapeutics Inc. | 13,664 | 187 |
* | Accelrys Inc. | 20,500 | 185 |
* | Antares Pharma Inc. | 41,381 | 182 |
* | Tornier NV | 9,546 | 181 |
* | Accuray Inc. | 27,207 | 180 |
National Healthcare Corp. | 3,895 | 180 | |
* | Dyax Corp. | 40,079 | 179 |
* | Emergent Biosolutions Inc. | 10,072 | 177 |
Invacare Corp. | 11,749 | 176 | |
Hi-Tech Pharmacal Co. Inc. | 4,082 | 176 | |
Spectrum Pharmaceuticals Inc. | 22,956 | 176 | |
* | Repros Therapeutics Inc. | 8,316 | 176 |
* | Idenix Pharmaceuticals Inc. | 36,626 | 175 |
* | Staar Surgical Co. | 13,489 | 171 |
* | TESARO Inc. | 4,911 | 170 |
Landauer Inc. | 3,496 | 166 | |
* | Triple-S Management Corp. Class B | 8,693 | 162 |
* | Dendreon Corp. | 57,082 | 162 |
* | Cynosure Inc. Class A | 7,030 | 161 |
* | Immunomedics Inc. | 26,911 | 160 |
* | Endocyte Inc. | 11,035 | 159 |
* | Orthofix International NV | 7,141 | 158 |
* | Cardiovascular Systems Inc. | 7,679 | 158 |
* | Novavax Inc. | 49,560 | 156 |
* | GenMark Diagnostics Inc. | 13,159 | 151 |
Select Medical Holdings Corp. | 17,860 | 151 | |
* | Cambrex Corp. | 11,024 | 150 |
* | Depomed Inc. | 20,742 | 149 |
* | Natus Medical Inc. | 11,154 | 147 |
* | Affymetrix Inc. | 26,099 | 145 |
* | TearLab Corp. | 10,654 | 140 |
* | Vanda Pharmaceuticals Inc. | 12,174 | 139 |
* | Corvel Corp. | 4,187 | 138 |
Atrion Corp. | 574 | 137 | |
* | Sagent Pharmaceuticals Inc. | 6,125 | 135 |
* | PharMerica Corp. | 10,901 | 134 |
* | Cerus Corp. | 25,592 | 134 |
* | Sequenom Inc. | 45,749 | 134 |
* | Gentiva Health Services Inc. | 11,493 | 132 |
* | Synergy Pharmaceuticals Inc. | 29,572 | 131 |
* | Curis Inc. | 29,565 | 130 |
* | Navidea Biopharmaceuticals Inc. | 43,901 | 129 |
Stemline Therapeutics Inc. | 3,653 | 127 | |
*,^ | Unilife Corp. | 36,509 | 126 |
* | Cadence Pharmaceuticals Inc. | 22,644 | 123 |
* | Repligen Corp. | 12,611 | 123 |
US Physical Therapy Inc. | 4,431 | 122 | |
Intercept Pharmaceuticals Inc. | 2,631 | 120 | |
* | Progenics Pharmaceuticals Inc. | 21,565 | 120 |
* | XOMA Corp. | 25,444 | 119 |
* | Merrimack Pharmaceuticals Inc. | 34,999 | 118 |
* | NewLink Genetics Corp. | 6,799 | 118 |
* | Symmetry Medical Inc. | 14,980 | 118 |
* | SurModics Inc. | 5,847 | 116 |
* | Providence Service Corp. | 4,278 | 115 |
* | Sciclone Pharmaceuticals Inc. | 21,859 | 115 |
Universal American Corp. | 15,547 | 114 | |
* | Anika Therapeutics Inc. | 4,873 | 113 |
* | Osiris Therapeutics Inc. | 6,085 | 106 |
Cytokinetics Inc. | 9,776 | 102 | |
* | Rigel Pharmaceuticals Inc. | 30,719 | 97 |
18
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | LHC Group Inc. | 4,251 | 96 |
* | KYTHERA Biopharmaceuticals Inc. | 3,595 | 95 |
* | AngioDynamics Inc. | 8,683 | 95 |
* | OraSure Technologies Inc. | 19,657 | 94 |
* | Vascular Solutions Inc. | 5,819 | 92 |
* | Anacor Pharmaceuticals Inc. | 8,934 | 90 |
* | Albany Molecular Research Inc. | 8,201 | 90 |
* | Furiex Pharmaceuticals Inc. | 2,344 | 90 |
* | Verastem Inc. | 6,271 | 86 |
* | Synta Pharmaceuticals Corp. | 14,299 | 84 |
* | Prothena Corp. plc | 4,188 | 84 |
* | AcelRx Pharmaceuticals Inc. | 8,453 | 84 |
* | Dynavax Technologies Corp. | 64,474 | 82 |
* | Five Star Quality Care Inc. | 15,290 | 79 |
* | Portola Pharmaceuticals Inc. | 3,415 | 77 |
* | Rockwell Medical Inc. | 13,839 | 77 |
* | Lannett Co. Inc. | 5,756 | 76 |
* | Peregrine Pharmaceuticals Inc. | 54,911 | 75 |
*,^ | Coronado Biosciences Inc. | 9,210 | 75 |
* | XenoPort Inc. | 15,289 | 75 |
* | Pacific Biosciences of California Inc. | 17,557 | 73 |
* | Threshold Pharmaceuticals Inc. | 16,600 | 72 |
* | Hyperion Therapeutics Inc. | 2,960 | 72 |
*,^ | ZIOPHARM Oncology Inc. | 24,089 | 72 |
* | Chindex International Inc. | 4,194 | 71 |
* | Chelsea Therapeutics International Ltd. | 23,651 | 70 |
* | ChemoCentryx Inc. | 8,668 | 70 |
* | Greenway Medical Technologies | 5,094 | 69 |
* | Ampio Pharmaceuticals Inc. | 9,674 | 69 |
* | Derma Sciences Inc. | 4,834 | 68 |
* | RTI Surgical Inc. | 19,837 | 66 |
* | Geron Corp. | 45,980 | 66 |
*,^ | Galena Biopharma Inc. | 29,426 | 65 |
* | Cempra Inc. | 7,252 | 65 |
* | AtriCure Inc. | 7,380 | 65 |
* | Exactech Inc. | 3,296 | 63 |
* | Merge Healthcare Inc. | 23,021 | 61 |
Utah Medical Products Inc. | 1,166 | 59 | |
CryoLife Inc. | 9,684 | 59 | |
* | Arqule Inc. | 20,919 | 58 |
Epizyme Inc. | 2,086 | 58 | |
* | TherapeuticsMD Inc. | 27,517 | 57 |
* | BioDelivery Sciences International Inc. | 10,546 | 55 |
Almost Family Inc. | 2,916 | 55 | |
* | Sunesis Pharmaceuticals Inc. | 11,407 | 55 |
* | Cross Country Healthcare Inc. | 9,564 | 54 |
* | Omeros Corp. | 10,510 | 53 |
* | Solta Medical Inc. | 25,009 | 52 |
* | National Research Corp. Class A | 3,074 | 50 |
* | Targacept Inc. | 9,839 | 50 |
* | Rochester Medical Corp. | 3,825 | 50 |
* | Insys Therapeutics Inc. | 1,786 | 50 |
* | Zeltiq Aesthetics Inc. | 6,232 | 50 |
* | Biotime Inc. | 13,020 | 49 |
* | Pozen Inc. | 9,512 | 49 |
* | Cutera Inc. | 5,174 | 48 |
Chimerix Inc. | 2,993 | 47 | |
* | Cytori Therapeutics Inc. | 22,269 | 47 |
* | SIGA Technologies Inc. | 13,206 | 47 |
* | OncoGenex Pharmaceutical Inc. | 5,172 | 46 |
* | Horizon Pharma Inc. | 18,166 | 46 |
* | Harvard Bioscience Inc. | 8,994 | 44 |
* | Cell Therapeutics Inc. | 39,708 | 44 |
* | Alphatec Holdings Inc. | 21,855 | 43 |
19
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Zogenix Inc. | 25,277 | 43 |
Alliance HealthCare Services Inc. | 1,757 | 43 | |
* | Addus HomeCare Corp. | 1,927 | 41 |
* | AVEO Pharmaceuticals Inc. | 18,292 | 39 |
* | Durata Therapeutics Inc. | 4,568 | 39 |
* | OvaScience Inc. | 3,162 | 36 |
Regulus Therapeutics Inc. | 3,698 | 35 | |
Accelerate Diagnostics Inc. | 3,661 | 35 | |
*,^ | Supernus Pharmaceuticals Inc. | 5,249 | 35 |
Tetraphase Pharmaceuticals Inc. | 4,061 | 35 | |
* | Vical Inc. | 26,779 | 35 |
* | TG Therapeutics Inc. | 5,629 | 34 |
* | Skilled Healthcare Group Inc. | 6,989 | 34 |
^ | Fibrocell Science Inc. | 5,944 | 32 |
* | Receptos Inc. | 2,038 | 32 |
* | Nanosphere Inc. | 14,805 | 31 |
* | Corcept Therapeutics Inc. | 18,605 | 31 |
* | Cornerstone Therapeutics Inc. | 3,192 | 30 |
* | Sucampo Pharmaceuticals Inc. Class A | 4,830 | 29 |
* | Medical Action Industries Inc. | 5,127 | 26 |
* | Amicus Therapeutics Inc. | 10,718 | 26 |
MEI Pharma Inc. | 3,387 | 25 | |
NeoGenomics Inc. | 11,594 | 25 | |
Enanta Pharmaceuticals Inc. | 1,283 | 24 | |
Enzon Pharmaceuticals Inc. | 12,927 | 22 | |
* | Alimera Sciences Inc. | 5,976 | 21 |
* | Biolase Inc. | 11,242 | 19 |
KaloBios Pharmaceuticals Inc. | 3,113 | 17 | |
* | Pernix Therapeutics Holdings | 6,178 | 17 |
* | GTx Inc. | 9,247 | 14 |
* | National Research Corp. Class B | 386 | 11 |
* | USMD Holdings Inc. | 382 | 9 |
69,545 | |||
Materials & Processing (7.1%) | |||
Acuity Brands Inc. | 15,748 | 1,346 | |
Axiall Corp. | 25,588 | 1,024 | |
PolyOne Corp. | 36,530 | 987 | |
CLARCOR Inc. | 18,271 | 979 | |
Belden Inc. | 16,247 | 922 | |
Watsco Inc. | 9,427 | 847 | |
* | Chemtura Corp. | 36,087 | 791 |
* | Louisiana-Pacific Corp. | 51,158 | 765 |
Sensient Technologies Corp. | 18,370 | 762 | |
* | Polypore International Inc. | 17,124 | 732 |
HB Fuller Co. | 18,468 | 689 | |
Olin Corp. | 29,475 | 681 | |
Schweitzer-Mauduit International Inc. | 11,517 | 660 | |
* | USG Corp. | 28,143 | 657 |
* | Beacon Roofing Supply Inc. | 17,870 | 649 |
Worthington Industries Inc. | 19,408 | 647 | |
* | Graphic Packaging Holding Co. | 77,063 | 640 |
Commercial Metals Co. | 42,904 | 638 | |
KapStone Paper and Packaging Corp. | 14,989 | 630 | |
Minerals Technologies Inc. | 12,797 | 568 | |
Mueller Industries Inc. | 10,321 | 553 | |
* | Coeur Mining Inc. | 37,531 | 542 |
Balchem Corp. | 10,893 | 521 | |
* | RBC Bearings Inc. | 8,519 | 509 |
* | Stillwater Mining Co. | 43,591 | 496 |
Kaiser Aluminum Corp. | 7,010 | 485 | |
Berry Plastics Group Inc. | 20,502 | 472 | |
Simpson Manufacturing Co. Inc. | 15,000 | 469 | |
* | Texas Industries Inc. | 7,987 | 469 |
Mueller Water Products Inc. Class A | 57,699 | 436 |
20
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Hecla Mining Co. | 122,177 | 418 | |
PH Glatfelter Co. | 15,695 | 402 | |
Innophos Holdings Inc. | 8,044 | 394 | |
Stepan Co. | 6,904 | 390 | |
* | Clearwater Paper Corp. | 8,133 | 388 |
Interface Inc. Class A | 21,731 | 384 | |
* | RTI International Metals Inc. | 11,501 | 356 |
Innospec Inc. | 8,626 | 353 | |
* | Calgon Carbon Corp. | 20,445 | 352 |
AMCOL International Corp. | 10,534 | 347 | |
Kaydon Corp. | 11,818 | 336 | |
* | Resolute Forest Products Inc. | 26,466 | 334 |
* | OM Group Inc. | 11,736 | 334 |
Quaker Chemical Corp. | 4,980 | 330 | |
Boise Inc. | 38,282 | 327 | |
* | Cabot Microelectronics Corp. | 8,836 | 319 |
Globe Specialty Metals Inc. | 24,506 | 315 | |
Koppers Holdings Inc. | 7,880 | 305 | |
Apogee Enterprises Inc. | 10,409 | 290 | |
A Schulman Inc. | 10,656 | 287 | |
Encore Wire Corp. | 7,485 | 282 | |
* | Trex Co. Inc. | 6,224 | 276 |
*,^ | Molycorp Inc. | 44,915 | 274 |
Universal Forest Products Inc. | 7,196 | 269 | |
American Vanguard Corp. | 10,367 | 260 | |
Intrepid Potash Inc. | 20,087 | 250 | |
Deltic Timber Corp. | 4,033 | 243 | |
AAON Inc. | 10,166 | 237 | |
Schnitzer Steel Industries Inc. | 9,322 | 235 | |
* | Headwaters Inc. | 26,472 | 227 |
Quanex Building Products Corp. | 13,424 | 223 | |
Materion Corp. | 7,439 | 219 | |
* | Kraton Performance Polymers Inc. | 11,782 | 219 |
* | Nortek Inc. | 3,262 | 218 |
Neenah Paper Inc. | 5,787 | 212 | |
* | Rexnord Corp. | 10,971 | 211 |
* | LSB Industries Inc. | 6,925 | 208 |
Comfort Systems USA Inc. | 13,474 | 203 | |
Tredegar Corp. | 8,916 | 199 | |
Haynes International Inc. | 4,468 | 198 | |
Wausau Paper Corp. | 17,895 | 196 | |
* | Ferro Corp. | 26,591 | 195 |
* | Horsehead Holding Corp. | 15,976 | 190 |
Myers Industries Inc. | 10,213 | 190 | |
US Silica Holdings Inc. | 7,768 | 183 | |
Griffon Corp. | 16,160 | 178 | |
* | Allied Nevada Gold Corp. | 37,628 | 175 |
* | AK Steel Holding Corp. | 50,038 | 168 |
Rentech Inc. | 82,923 | 160 | |
LB Foster Co. Class A | 3,732 | 158 | |
Aceto Corp. | 10,055 | 148 | |
* | Century Aluminum Co. | 18,876 | 147 |
* | Gibraltar Industries Inc. | 11,262 | 145 |
* | Zoltek Cos. Inc. | 10,097 | 140 |
* | AEP Industries Inc. | 1,731 | 135 |
* | OMNOVA Solutions Inc. | 17,274 | 133 |
FutureFuel Corp. | 7,979 | 129 | |
Hawkins Inc. | 3,457 | 128 | |
Zep Inc. | 9,046 | 127 | |
* | Landec Corp. | 9,518 | 126 |
Taminco Corp. | 6,314 | 125 | |
* | Unifi Inc. | 5,480 | 124 |
* | PGT Inc. | 12,178 | 124 |
Dynamic Materials Corp. | 5,485 | 121 |
21
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* American Pacific Corp. | 2,380 | 117 |
Insteel Industries Inc. | 7,248 | 116 |
Gold Resource Corp. | 13,422 | 113 |
* Boise Cascade Co. | 4,522 | 104 |
* US Concrete Inc. | 5,194 | 102 |
* Northwest Pipe Co. | 3,326 | 95 |
* Builders FirstSource Inc. | 15,746 | 89 |
TMS International Corp. Class A | 5,064 | 88 |
* NCI Building Systems Inc. | 7,296 | 87 |
* Ply Gem Holdings Inc. | 5,567 | 85 |
Olympic Steel Inc. | 3,218 | 84 |
NN Inc. | 6,031 | 83 |
* Paramount Gold and Silver Corp. | 48,607 | 74 |
* Uranium Energy Corp. | 30,140 | 71 |
KMG Chemicals Inc. | 2,885 | 68 |
Chase Corp. | 2,272 | 67 |
* Universal Stainless & Alloy Products Inc. | 2,451 | 67 |
* Patrick Industries Inc. | 2,351 | 64 |
Global Brass & Copper Holdings Inc. | 2,836 | 56 |
Culp Inc. | 2,875 | 55 |
Oil-Dri Corp. of America | 1,702 | 53 |
LSI Industries Inc. | 7,591 | 51 |
Ampco-Pittsburgh Corp. | 2,981 | 49 |
* Penford Corp. | 3,388 | 46 |
* Ur-Energy Inc. | 42,786 | 44 |
* UFP Technologies Inc. | 1,966 | 41 |
* United States Lime & Minerals Inc. | 687 | 40 |
* Midway Gold Corp. | 39,559 | 40 |
* Handy & Harman Ltd. | 1,923 | 40 |
* General Moly Inc. | 20,245 | 33 |
Noranda Aluminum Holding Corp. | 11,886 | 32 |
Shiloh Industries Inc. | 2,202 | 27 |
NL Industries Inc. | 2,379 | 26 |
* BlueLinx Holdings Inc. | 12,277 | 20 |
Omega Flex Inc. | 1,037 | 19 |
Compx International Inc. | 413 | 6 |
38,087 | ||
Other (0.1%) | ||
* NRG Yield Inc. Class A | 2,351 | 66 |
Envision Healthcare Holdings Inc. | 1,632 | 43 |
Gogo Inc. | 3,317 | 38 |
* Frank's International NV | 1,315 | 36 |
* Tremor Video Inc. | 3,204 | 26 |
Bluebird Bio Inc. | 1,000 | 25 |
Athlon Energy Inc. | 843 | 23 |
Noodles & Co. | 462 | 21 |
Agios Pharmaceuticals Inc. | 668 | 16 |
* Cellular Dynamics International Inc. | 788 | 10 |
Onconova Therapeutics Inc. | 333 | 8 |
OncoMed Pharmaceuticals Inc. | 336 | 6 |
Cvent Inc. | 147 | 5 |
* Omthera Pharmaceuticals Inc. CVR | 2,012 | 1 |
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 913 | 1 |
* Unwired Planet Inc Rights Exp. 09/09/2013 | 30,882 | — |
325 | ||
Producer Durables (13.9%) | ||
* CoStar Group Inc. | 10,477 | 1,556 |
* Middleby Corp. | 6,899 | 1,283 |
* Chart Industries Inc. | 11,129 | 1,271 |
HEICO Corp. | 19,465 | 1,217 |
* US Airways Group Inc. | 70,590 | 1,141 |
* Teledyne Technologies Inc. | 13,698 | 1,057 |
Woodward Inc. | 25,278 | 975 |
22
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Actuant Corp. Class A | 26,944 | 962 |
MAXIMUS Inc. | 25,178 | 944 |
EMCOR Group Inc. | 24,674 | 927 |
EnerSys Inc. | 17,746 | 910 |
* Esterline Technologies Corp. | 11,535 | 880 |
* Darling International Inc. | 43,389 | 878 |
Bristow Group Inc. | 13,336 | 876 |
* Moog Inc. Class A | 16,695 | 848 |
Corporate Executive Board Co. | 12,338 | 800 |
Generac Holdings Inc. | 18,921 | 749 |
Deluxe Corp. | 18,777 | 739 |
Applied Industrial Technologies Inc. | 15,469 | 737 |
Curtiss-Wright Corp. | 17,188 | 718 |
* Advisory Board Co. | 13,031 | 714 |
* MasTec Inc. | 21,808 | 693 |
* Spirit Airlines Inc. | 22,133 | 690 |
Convergys Corp. | 38,567 | 680 |
Scorpio Tankers Inc. | 67,786 | 639 |
Franklin Electric Co. Inc. | 17,406 | 625 |
Barnes Group Inc. | 19,729 | 617 |
Healthcare Services Group Inc. | 25,117 | 608 |
Littelfuse Inc. | 8,114 | 599 |
United Stationers Inc. | 14,888 | 592 |
Brady Corp. Class A | 16,959 | 560 |
HNI Corp. | 16,687 | 559 |
General Cable Corp. | 18,266 | 558 |
* Swift Transportation Co. | 30,775 | 553 |
UTi Worldwide Inc. | 33,308 | 550 |
Herman Miller Inc. | 21,518 | 548 |
* Itron Inc. | 14,512 | 544 |
* Tetra Tech Inc. | 23,834 | 543 |
Watts Water Technologies Inc. Class A | 10,473 | 543 |
* OSI Systems Inc. | 7,318 | 532 |
TAL International Group Inc. | 12,423 | 532 |
* JetBlue Airways Corp. | 85,344 | 525 |
Allegiant Travel Co. Class A | 5,502 | 520 |
UniFirst Corp. | 5,374 | 515 |
* Trimas Corp. | 14,571 | 512 |
* On Assignment Inc. | 16,891 | 510 |
* Hub Group Inc. Class A | 13,577 | 504 |
Mine Safety Appliances Co. | 10,391 | 500 |
* Electronics For Imaging Inc. | 17,041 | 499 |
* FTI Consulting Inc. | 14,796 | 495 |
ABM Industries Inc. | 20,060 | 484 |
Brink's Co. | 17,748 | 458 |
Gulfmark Offshore Inc. | 9,876 | 454 |
Steelcase Inc. Class A | 31,212 | 453 |
* Proto Labs Inc. | 6,265 | 445 |
* Atlas Air Worldwide Holdings Inc. | 9,481 | 438 |
* PHH Corp. | 20,960 | 437 |
* EnPro Industries Inc. | 7,625 | 434 |
* Mobile Mini Inc. | 14,171 | 430 |
Matson Inc. | 15,605 | 416 |
Aircastle Ltd. | 25,043 | 408 |
Granite Construction Inc. | 14,410 | 408 |
Forward Air Corp. | 11,079 | 408 |
* Huron Consulting Group Inc. | 8,545 | 407 |
Raven Industries Inc. | 13,348 | 390 |
Werner Enterprises Inc. | 16,786 | 387 |
* WageWorks Inc. | 9,161 | 382 |
* Orbital Sciences Corp. | 21,971 | 381 |
* Ascent Capital Group Inc. Class A | 5,165 | 381 |
CIRCOR International Inc. | 6,446 | 371 |
G&K Services Inc. Class A | 7,178 | 369 |
23
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
AAR Corp. | 14,585 | 366 |
Cubic Corp. | 7,284 | 366 |
* TrueBlue Inc. | 14,936 | 363 |
Lindsay Corp. | 4,718 | 359 |
AZZ Inc. | 9,350 | 351 |
Knight Transportation Inc. | 21,558 | 351 |
Kaman Corp. | 9,923 | 349 |
MTS Systems Corp. | 5,803 | 349 |
Briggs & Stratton Corp. | 18,224 | 348 |
Tennant Co. | 6,754 | 347 |
* GrafTech International Ltd. | 44,218 | 346 |
* GenCorp Inc. | 22,209 | 335 |
Albany International Corp. | 10,262 | 331 |
Titan International Inc. | 20,303 | 330 |
* Rush Enterprises Inc. Class A | 13,158 | 329 |
Ship Finance International Ltd. | 21,217 | 328 |
* Korn/Ferry International | 18,466 | 327 |
Exponent Inc. | 5,001 | 326 |
* ExlService Holdings Inc. | 11,993 | 325 |
* Dycom Industries Inc. | 12,560 | 319 |
* Aegion Corp. Class A | 14,852 | 318 |
McGrath RentCorp | 9,554 | 316 |
ESCO Technologies Inc. | 10,058 | 308 |
* Team Inc. | 7,835 | 306 |
Hyster-Yale Materials Handling Inc. | 4,009 | 303 |
Primoris Services Corp. | 12,779 | 287 |
* Wesco Aircraft Holdings Inc. | 14,913 | 285 |
Quad/Graphics Inc. | 9,050 | 284 |
* ACCO Brands Corp. | 41,122 | 271 |
Textainer Group Holdings Ltd. | 7,715 | 269 |
* ServiceSource International Inc. | 22,120 | 268 |
* Liquidity Services Inc. | 9,000 | 267 |
Knoll Inc. | 17,450 | 266 |
* Measurement Specialties Inc. | 5,591 | 265 |
* Saia Inc. | 8,794 | 264 |
* Federal Signal Corp. | 22,613 | 264 |
Insperity Inc. | 8,134 | 259 |
* Advanced Energy Industries Inc. | 14,219 | 259 |
H&E Equipment Services Inc. | 10,758 | 259 |
* Wabash National Corp. | 24,801 | 258 |
* Tutor Perini Corp. | 13,429 | 258 |
Astec Industries Inc. | 7,378 | 255 |
* Navigant Consulting Inc. | 18,268 | 249 |
* XPO Logistics Inc. | 10,778 | 247 |
Standex International Corp. | 4,600 | 246 |
Altra Holdings Inc. | 9,779 | 243 |
* Sykes Enterprises Inc. | 14,224 | 242 |
SkyWest Inc. | 18,789 | 242 |
Sun Hydraulics Corp. | 7,774 | 238 |
* ICF International Inc. | 7,142 | 235 |
Badger Meter Inc. | 5,202 | 234 |
* DXP Enterprises Inc. | 3,431 | 233 |
Heartland Express Inc. | 16,649 | 232 |
Arkansas Best Corp. | 9,313 | 232 |
* FARO Technologies Inc. | 6,189 | 230 |
John Bean Technologies Corp. | 10,478 | 230 |
* Modine Manufacturing Co. | 17,103 | 223 |
* Taser International Inc. | 18,798 | 219 |
* Engility Holdings Inc. | 6,218 | 209 |
* Blount International Inc. | 17,828 | 207 |
* Thermon Group Holdings Inc. | 9,820 | 203 |
* Greenbrier Cos. Inc. | 8,853 | 200 |
* Republic Airways Holdings Inc. | 17,796 | 199 |
Gorman-Rupp Co. | 5,462 | 191 |
24
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Monster Worldwide Inc. | 42,209 | 190 |
US Ecology Inc. | 6,669 | 187 | |
* | Roadrunner Transportation Systems Inc. | 6,832 | 185 |
* | Astronics Corp. | 3,970 | 185 |
* | RPX Corp. | 11,735 | 184 |
^ | Nordic American Tankers Ltd. | 23,919 | 184 |
Resources Connection Inc. | 14,776 | 181 | |
* | TeleTech Holdings Inc. | 7,310 | 179 |
* | Powell Industries Inc. | 3,379 | 178 |
Kelly Services Inc. Class A | 9,755 | 178 | |
Ennis Inc. | 9,603 | 171 | |
* | MYR Group Inc. | 7,701 | 169 |
* | InnerWorkings Inc. | 16,274 | 167 |
Barrett Business Services Inc. | 2,585 | 166 | |
* | PHI Inc. | 4,617 | 162 |
Kforce Inc. | 9,938 | 162 | |
*,^ | ExOne Co. | 2,237 | 153 |
* | Columbus McKinnon Corp. | 7,161 | 153 |
Marten Transport Ltd. | 8,594 | 152 | |
Forrester Research Inc. | 4,609 | 152 | |
* | Aerovironment Inc. | 6,798 | 149 |
Great Lakes Dredge & Dock Corp. | 21,801 | 147 | |
* | Advanced Emissions Solutions Inc. | 3,694 | 144 |
* | Consolidated Graphics Inc. | 2,656 | 142 |
* | Echo Global Logistics Inc. | 6,537 | 141 |
Multi-Color Corp. | 4,497 | 141 | |
Michael Baker Corp. | 3,442 | 139 | |
* | Layne Christensen Co. | 7,276 | 138 |
* | CAI International Inc. | 6,303 | 138 |
* | Kratos Defense & Security Solutions Inc. | 16,132 | 136 |
* | GP Strategies Corp. | 5,388 | 136 |
Celadon Group Inc. | 7,375 | 134 | |
* | Hawaiian Holdings Inc. | 19,059 | 133 |
American Railcar Industries Inc. | 3,752 | 133 | |
Kadant Inc. | 4,114 | 128 | |
Electro Rent Corp. | 7,463 | 127 | |
Kimball International Inc. Class B | 12,887 | 127 | |
Graham Corp. | 3,672 | 127 | |
Global Power Equipment Group Inc. | 6,802 | 126 | |
* | Standard Parking Corp. | 5,657 | 126 |
Douglas Dynamics Inc. | 8,874 | 125 | |
GasLog Ltd. | 9,071 | 125 | |
* | Dice Holdings Inc. | 14,904 | 124 |
* | Furmanite Corp. | 13,726 | 123 |
* | Air Transport Services Group Inc. | 19,036 | 122 |
* | Titan Machinery Inc. | 6,927 | 122 |
* | Park-Ohio Holdings Corp. | 3,497 | 121 |
Alamo Group Inc. | 2,599 | 118 | |
* | Mistras Group Inc. | 6,410 | 117 |
* | Ducommun Inc. | 4,293 | 112 |
NACCO Industries Inc. Class A | 2,006 | 111 | |
* | AM Castle & Co. | 6,172 | 98 |
Heidrick & Struggles International Inc. | 6,367 | 96 | |
* | Orion Marine Group Inc. | 9,605 | 94 |
* | Lydall Inc. | 6,006 | 93 |
* | CBIZ Inc. | 13,546 | 93 |
* | Maxwell Technologies Inc. | 10,385 | 92 |
Argan Inc. | 4,927 | 87 | |
* | Performant Financial Corp. | 7,874 | 85 |
* | Zygo Corp. | 5,866 | 81 |
* | Odyssey Marine Exploration Inc. | 27,804 | 80 |
* | Energy Recovery Inc. | 15,574 | 80 |
Houston Wire & Cable Co. | 6,314 | 79 | |
Twin Disc Inc. | 2,933 | 77 |
25
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
FreightCar America Inc. | 4,264 | 77 | |
* | Pacer International Inc. | 12,450 | 76 |
* | Accuride Corp. | 14,128 | 74 |
Knightsbridge Tankers Ltd. | 8,536 | 72 | |
* | Casella Waste Systems Inc. Class A | 13,620 | 72 |
* | Patriot Transportation Holding Inc. | 2,308 | 72 |
* | AT Cross Co. Class A | 3,357 | 72 |
Met-Pro Corp. | 5,180 | 71 | |
Marlin Business Services Corp. | 2,908 | 71 | |
* | Quality Distribution Inc. | 7,496 | 69 |
Spartan Motors Inc. | 12,024 | 69 | |
* | YRC Worldwide Inc. | 3,971 | 68 |
CDI Corp. | 4,974 | 67 | |
VSE Corp. | 1,454 | 65 | |
* | CRA International Inc. | 3,586 | 64 |
Coleman Cable Inc. | 3,349 | 64 | |
Miller Industries Inc. | 3,961 | 63 | |
* | Tecumseh Products Co. Class A | 6,515 | 63 |
Preformed Line Products Co. | 909 | 63 | |
Hurco Cos. Inc. | 2,274 | 63 | |
* | PRGX Global Inc. | 10,169 | 62 |
* | Vishay Precision Group Inc. | 4,357 | 62 |
Mac-Gray Corp. | 4,267 | 61 | |
Mesa Laboratories Inc. | 935 | 61 | |
Hardinge Inc. | 4,146 | 60 | |
* | Commercial Vehicle Group Inc. | 8,554 | 60 |
Hackett Group Inc. | 9,272 | 59 | |
Schawk Inc. Class A | 4,749 | 59 | |
* | Flow International Corp. | 17,070 | 57 |
* | Sterling Construction Co. Inc. | 5,858 | 57 |
* | National Technical Systems Inc. | 2,415 | 55 |
^ | Teekay Tankers Ltd. Class A | 21,937 | 55 |
* | PMFG Inc. | 7,376 | 51 |
* | Vicor Corp. | 6,232 | 49 |
Universal Truckload Services Inc. | 1,902 | 48 | |
Ceco Environmental Corp. | 3,578 | 48 | |
* | Heritage-Crystal Clean Inc. | 3,116 | 47 |
International Shipholding Corp. | 1,970 | 47 | |
* | LMI Aerospace Inc. | 3,655 | 44 |
*,^ | Frontline Ltd. | 18,163 | 44 |
* | Manitex International Inc. | 4,336 | 44 |
* | American Superconductor Corp. | 17,943 | 42 |
* | TRC Cos. Inc. | 5,710 | 42 |
Power Solutions International Inc. | 793 | 42 | |
* | Xerium Technologies Inc. | 3,846 | 42 |
* | Global Sources Ltd. | 6,669 | 41 |
* | Swisher Hygiene Inc. | 40,118 | 33 |
* | API Technologies Corp. | 11,377 | 31 |
* | Astronics Corp. Class B | 577 | 27 |
* | Ultrapetrol Bahamas Ltd. | 7,533 | 25 |
* | Erickson Air-Crane Inc. | 1,330 | 20 |
* | GSE Holding Inc. | 2,814 | 6 |
74,647 | |||
Technology (14.5%) | |||
* | CommVault Systems Inc. | 17,062 | 1,430 |
* | Ultimate Software Group Inc. | 10,148 | 1,423 |
FEI Co. | 15,325 | 1,200 | |
* | Aspen Technology Inc. | 34,373 | 1,149 |
* | PTC Inc. | 43,911 | 1,145 |
* | QLIK Technologies Inc. | 31,999 | 1,049 |
* | ViaSat Inc. | 14,551 | 927 |
Cognex Corp. | 15,950 | 909 | |
* | Microsemi Corp. | 34,107 | 878 |
* | Sourcefire Inc. | 11,482 | 866 |
26
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Tyler Technologies Inc. | 11,564 | 854 |
* Anixter International Inc. | 9,948 | 831 |
* DigitalGlobe Inc. | 27,497 | 830 |
Mentor Graphics Corp. | 35,008 | 776 |
* Cornerstone OnDemand Inc. | 14,915 | 768 |
* SS&C Technologies Holdings Inc. | 21,384 | 757 |
* Ciena Corp. | 37,269 | 742 |
* Semtech Corp. | 24,728 | 735 |
* Cavium Inc. | 18,845 | 716 |
* ACI Worldwide Inc. | 14,628 | 712 |
* Hittite Microwave Corp. | 11,572 | 708 |
* Guidewire Software Inc. | 15,393 | 707 |
* Finisar Corp. | 34,520 | 707 |
* Aruba Networks Inc. | 42,076 | 700 |
Plantronics Inc. | 15,889 | 686 |
* Acxiom Corp. | 27,132 | 675 |
* ARRIS Group Inc. | 42,768 | 670 |
* Infoblox Inc. | 18,382 | 642 |
* Verint Systems Inc. | 19,341 | 641 |
* Dealertrack Technologies Inc. | 15,964 | 632 |
SunEdison Inc. | 85,096 | 626 |
* Manhattan Associates Inc. | 7,144 | 625 |
* OpenTable Inc. | 8,363 | 623 |
Cypress Semiconductor Corp. | 53,976 | 611 |
* International Rectifier Corp. | 25,493 | 609 |
* Sapient Corp. | 40,510 | 606 |
Blackbaud Inc. | 16,756 | 604 |
* CACI International Inc. Class A | 8,468 | 571 |
* Yelp Inc. | 10,926 | 568 |
Power Integrations Inc. | 10,639 | 555 |
* Take-Two Interactive Software Inc. | 29,902 | 549 |
InterDigital Inc. | 15,106 | 537 |
NIC Inc. | 23,724 | 528 |
ADTRAN Inc. | 21,758 | 525 |
* Cirrus Logic Inc. | 23,186 | 522 |
* RF Micro Devices Inc. | 103,246 | 512 |
* Universal Display Corp. | 14,765 | 511 |
* Veeco Instruments Inc. | 14,374 | 505 |
Coherent Inc. | 8,935 | 502 |
* Sanmina Corp. | 30,609 | 498 |
* Progress Software Corp. | 20,240 | 495 |
MKS Instruments Inc. | 19,458 | 487 |
Intersil Corp. Class A | 46,688 | 484 |
* Entegris Inc. | 51,143 | 481 |
* PMC - Sierra Inc. | 74,897 | 467 |
* SYNNEX Corp. | 9,786 | 465 |
* Synaptics Inc. | 12,015 | 464 |
* TriQuint Semiconductor Inc. | 60,501 | 456 |
* Benchmark Electronics Inc. | 19,957 | 438 |
* Web.com Group Inc. | 15,369 | 434 |
* Trulia Inc. | 10,163 | 422 |
* Integrated Device Technology Inc. | 48,266 | 420 |
Monolithic Power Systems Inc. | 13,500 | 413 |
* Plexus Corp. | 12,518 | 410 |
* NETGEAR Inc. | 14,141 | 409 |
Syntel Inc. | 5,666 | 407 |
* Unisys Corp. | 16,168 | 407 |
* Infinera Corp. | 42,917 | 398 |
Acacia Research Corp. | 17,972 | 395 |
* Bottomline Technologies de Inc. | 13,861 | 377 |
* comScore Inc. | 13,104 | 373 |
* InvenSense Inc. | 20,836 | 372 |
* Synchronoss Technologies Inc. | 10,692 | 368 |
* II-VI Inc. | 18,743 | 361 |
27
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Monotype Imaging Holdings Inc. | 14,022 | 361 |
* Cray Inc. | 14,545 | 356 |
Tessera Technologies Inc. | 19,368 | 355 |
* RealPage Inc. | 17,085 | 354 |
* SPS Commerce Inc. | 5,675 | 354 |
* Imperva Inc. | 7,412 | 350 |
* Rogers Corp. | 6,266 | 348 |
* QLogic Corp. | 32,686 | 346 |
* Interactive Intelligence Group Inc. | 5,861 | 345 |
* BroadSoft Inc. | 10,612 | 342 |
* Netscout Systems Inc. | 13,703 | 340 |
* iRobot Corp. | 10,374 | 339 |
* Diodes Inc. | 13,593 | 338 |
Methode Electronics Inc. | 14,066 | 336 |
* Rambus Inc. | 40,932 | 334 |
Loral Space & Communications Inc. | 4,944 | 327 |
* ScanSource Inc. | 10,235 | 317 |
* MicroStrategy Inc. Class A | 3,442 | 316 |
* Insight Enterprises Inc. | 16,526 | 316 |
* OmniVision Technologies Inc. | 20,364 | 315 |
* Blucora Inc. | 15,588 | 312 |
* Ixia | 21,477 | 312 |
* VirnetX Holding Corp. | 16,045 | 310 |
* iGATE Corp. | 13,230 | 309 |
CSG Systems International Inc. | 12,892 | 303 |
* Fusion-io Inc. | 28,347 | 303 |
* FleetMatics Group plc | 5,919 | 293 |
* Applied Micro Circuits Corp. | 26,839 | 289 |
* Bankrate Inc. | 16,749 | 288 |
* Ultratech Inc. | 10,185 | 288 |
Tellabs Inc. | 128,790 | 286 |
* ATMI Inc. | 11,563 | 284 |
* Ellie Mae Inc. | 9,529 | 277 |
* Sonus Networks Inc. | 78,149 | 270 |
* PROS Holdings Inc. | 8,142 | 267 |
United Online Inc. | 33,506 | 263 |
* LogMeIn Inc. | 8,805 | 262 |
* Harmonic Inc. | 36,699 | 259 |
* EPAM Systems Inc. | 7,917 | 253 |
ManTech International Corp. Class A | 8,634 | 246 |
* Demandware Inc. | 5,824 | 245 |
* Comverse Inc. | 8,037 | 243 |
* Emulex Corp. | 32,908 | 237 |
* Tangoe Inc. | 11,371 | 236 |
Pegasystems Inc. | 6,299 | 232 |
* Rofin-Sinar Technologies Inc. | 10,241 | 230 |
* Proofpoint Inc. | 7,902 | 228 |
* Envestnet Inc. | 8,180 | 226 |
* Digital River Inc. | 12,774 | 221 |
* Checkpoint Systems Inc. | 14,859 | 218 |
* Newport Corp. | 14,156 | 217 |
* Intermec Inc. | 21,906 | 216 |
* Ruckus Wireless Inc. | 15,768 | 214 |
Brooks Automation Inc. | 24,083 | 212 |
* Volterra Semiconductor Corp. | 9,181 | 210 |
* CalAmp Corp. | 12,697 | 208 |
Park Electrochemical Corp. | 7,547 | 201 |
* Lattice Semiconductor Corp. | 41,885 | 199 |
* Perficient Inc. | 12,296 | 198 |
* Virtusa Corp. | 7,407 | 195 |
* Active Network Inc. | 19,817 | 194 |
* Responsys Inc. | 13,510 | 194 |
* Calix Inc. | 14,696 | 189 |
* Bazaarvoice Inc. | 17,642 | 189 |
28
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* AVG Technologies NV | 8,670 | 188 |
* LivePerson Inc. | 19,949 | 186 |
* TTM Technologies Inc. | 19,431 | 185 |
EarthLink Inc. | 37,329 | 184 |
* PDF Solutions Inc. | 9,103 | 181 |
* Silicon Graphics International Corp. | 12,250 | 181 |
* Jive Software Inc. | 14,339 | 178 |
* Spansion Inc. Class A | 17,126 | 178 |
* ICG Group Inc. | 13,950 | 175 |
* Exar Corp. | 14,047 | 172 |
* SciQuest Inc. | 8,250 | 172 |
CTS Corp. | 12,305 | 171 |
American Science & Engineering Inc. | 2,993 | 169 |
* Photronics Inc. | 22,310 | 162 |
Ubiquiti Networks Inc. | 4,623 | 162 |
Black Box Corp. | 5,922 | 157 |
Micrel Inc. | 17,092 | 157 |
* Silicon Image Inc. | 28,334 | 154 |
* Super Micro Computer Inc. | 11,694 | 150 |
Comtech Telecommunications Corp. | 6,174 | 148 |
* Ceva Inc. | 8,125 | 147 |
* Fabrinet | 10,407 | 145 |
* Internap Network Services Corp. | 19,672 | 143 |
Daktronics Inc. | 13,411 | 143 |
EPIQ Systems Inc. | 11,545 | 141 |
* Entropic Communications Inc. | 32,881 | 137 |
* KEYW Holding Corp. | 11,701 | 135 |
* DTS Inc. | 6,704 | 134 |
* Inphi Corp. | 10,359 | 132 |
* Nanometrics Inc. | 9,187 | 131 |
* Globecomm Systems Inc. | 9,413 | 131 |
* Actuate Corp. | 18,820 | 131 |
* Immersion Corp. | 10,241 | 131 |
* Oplink Communications Inc. | 6,989 | 130 |
Ebix Inc. | 11,413 | 130 |
* Extreme Networks | 34,135 | 127 |
* Vocera Communications Inc. | 7,740 | 125 |
* Rudolph Technologies Inc. | 11,989 | 124 |
* Quantum Corp. | 85,187 | 123 |
* IntraLinks Holdings Inc. | 15,403 | 120 |
* FormFactor Inc. | 19,801 | 120 |
* Seachange International Inc. | 12,019 | 120 |
* Qualys Inc. | 6,011 | 120 |
* E2open Inc. | 5,935 | 120 |
* Integrated Silicon Solution Inc. | 11,348 | 118 |
* Peregrine Semiconductor Corp. | 10,653 | 117 |
* Parkervision Inc. | 35,376 | 117 |
* Callidus Software Inc. | 15,204 | 117 |
* ShoreTel Inc. | 23,744 | 117 |
* Anaren Inc. | 4,692 | 115 |
* Mercury Systems Inc. | 13,057 | 114 |
* Amkor Technology Inc. | 25,748 | 103 |
Computer Task Group Inc. | 5,456 | 98 |
* CIBER Inc. | 26,298 | 96 |
* Zix Corp. | 21,813 | 94 |
* Procera Networks Inc. | 7,243 | 94 |
Ambarella Inc. | 6,522 | 94 |
* Brightcove Inc. | 9,913 | 93 |
Electro Scientific Industries Inc. | 8,401 | 92 |
* Datalink Corp. | 7,024 | 92 |
* support.com Inc. | 17,719 | 91 |
* GSI Group Inc. | 10,701 | 90 |
* PLX Technology Inc. | 16,065 | 88 |
Cohu Inc. | 8,712 | 87 |
29
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Marketo Inc. | 2,456 | 86 | |
* | Digi International Inc. | 9,180 | 85 |
* | NVE Corp. | 1,722 | 85 |
* | Demand Media Inc. | 12,761 | 83 |
* | Millennial Media Inc. | 12,441 | 81 |
* | STEC Inc. | 11,874 | 81 |
* | VASCO Data Security International Inc. | 10,196 | 81 |
Supertex Inc. | 3,471 | 80 | |
IXYS Corp. | 8,525 | 79 | |
* | Kopin Corp. | 23,378 | 77 |
*,^ | Rubicon Technology Inc. | 6,238 | 76 |
* | Axcelis Technologies Inc. | 38,183 | 76 |
* | Travelzoo Inc. | 2,797 | 76 |
Alliance Fiber Optic Products Inc. | 2,030 | 75 | |
* | Vringo Inc. | 23,637 | 74 |
* | Lionbridge Technologies Inc. | 20,527 | 72 |
* | Symmetricom Inc. | 14,447 | 70 |
* | KVH Industries Inc. | 5,469 | 70 |
Uni-Pixel Inc. | 3,564 | 69 | |
ePlus Inc. | 1,327 | 69 | |
* | MaxLinear Inc. | 8,152 | 69 |
* | LTX-Credence Corp. | 16,763 | 68 |
American Software Inc. Class A | 8,458 | 68 | |
* | Sparton Corp. | 3,604 | 68 |
* | Unwired Planet Inc. | 36,282 | 67 |
* | Global Eagle Entertainment Inc. | 7,570 | 67 |
* | Carbonite Inc. | 4,271 | 66 |
* | Kemet Corp. | 15,835 | 65 |
* | ChannelAdvisor Corp. | 2,113 | 65 |
* | Rally Software Development Corp. | 2,433 | 63 |
Bel Fuse Inc. Class B | 3,475 | 63 | |
* | eGain Corp. | 4,608 | 62 |
* | Vocus Inc. | 6,625 | 61 |
* | M/A-COM Technology Solutions Holdings Inc. | 3,726 | 61 |
Tessco Technologies Inc. | 1,928 | 61 | |
* | RealNetworks Inc. | 7,918 | 61 |
* | MoSys Inc. | 16,578 | 60 |
* | Avid Technology Inc. | 10,958 | 59 |
* | Neonode Inc. | 8,859 | 59 |
* | Pericom Semiconductor Corp. | 8,087 | 57 |
* | ARC Document Solutions Inc. | 13,282 | 57 |
* | Agilysys Inc. | 5,013 | 57 |
* | Ultra Clean Holdings Inc. | 8,419 | 56 |
* | Aviat Networks Inc. | 21,787 | 55 |
* | ANADIGICS Inc. | 29,122 | 54 |
PC-Tel Inc. | 6,508 | 53 | |
* | Sigma Designs Inc. | 10,796 | 51 |
* | Imation Corp. | 12,182 | 51 |
* | Numerex Corp. Class A | 4,930 | 51 |
* | Reis Inc. | 2,939 | 50 |
* | Guidance Software Inc. | 5,916 | 50 |
PC Connection Inc. | 3,350 | 50 | |
*,^ | Glu Mobile Inc. | 19,968 | 48 |
* | Aeroflex Holding Corp. | 6,879 | 48 |
* | GSI Technology Inc. | 7,235 | 48 |
* | Mindspeed Technologies Inc. | 15,247 | 47 |
Richardson Electronics Ltd. | 4,286 | 47 | |
* | Mitek Systems Inc. | 9,030 | 47 |
* | Multi-Fineline Electronix Inc. | 3,092 | 47 |
* | Westell Technologies Inc. Class A | 15,674 | 47 |
* | NeoPhotonics Corp. | 7,114 | 46 |
* | DSP Group Inc. | 6,970 | 44 |
* | Alpha & Omega Semiconductor Ltd. | 6,119 | 43 |
* | TeleCommunication Systems Inc. Class A | 16,771 | 43 |
30
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Spark Networks Inc. | 6,197 | 43 |
* Marin Software Inc. | 3,237 | 43 |
* Silver Spring Networks Inc. | 2,089 | 43 |
Digimarc Corp. | 2,211 | 42 |
Model N Inc. | 2,862 | 41 |
* Limelight Networks Inc. | 19,152 | 39 |
Acorn Energy Inc. | 6,378 | 38 |
* ModusLink Global Solutions Inc. | 13,217 | 37 |
* Intermolecular Inc. | 6,079 | 36 |
* Audience Inc. | 3,393 | 35 |
* Telenav Inc. | 6,254 | 34 |
Innovative Solutions & Support Inc. | 4,436 | 33 |
Sapiens International Corp. NV | 5,978 | 33 |
* Hutchinson Technology Inc. | 8,251 | 28 |
* Radisys Corp. | 8,202 | 28 |
* Revolution Lighting Technologies Inc. | 10,458 | 27 |
* Cyan Inc. | 2,820 | 26 |
QAD Inc. Class A | 2,075 | 26 |
* TechTarget Inc. | 4,986 | 22 |
* Viasystems Group Inc. | 1,284 | 18 |
* Net Element International Inc. | 789 | 3 |
77,727 | ||
Utilities (4.1%) | ||
Cleco Corp. | 22,221 | 1,003 |
Piedmont Natural Gas Co. Inc. | 27,808 | 897 |
IDACORP Inc. | 18,500 | 886 |
j2 Global Inc. | 16,860 | 830 |
Portland General Electric Co. | 27,780 | 800 |
Southwest Gas Corp. | 17,006 | 795 |
WGL Holdings Inc. | 18,980 | 792 |
Black Hills Corp. | 16,314 | 783 |
* Dynegy Inc. | 36,708 | 713 |
UIL Holdings Corp. | 18,611 | 703 |
UNS Energy Corp. | 15,219 | 696 |
ALLETE Inc. | 14,655 | 692 |
South Jersey Industries Inc. | 11,732 | 678 |
New Jersey Resources Corp. | 15,335 | 661 |
PNM Resources Inc. | 29,240 | 641 |
Avista Corp. | 21,996 | 578 |
NorthWestern Corp. | 13,907 | 559 |
Cogent Communications Group Inc. | 17,330 | 538 |
Laclede Group Inc. | 11,985 | 534 |
El Paso Electric Co. | 14,761 | 508 |
MGE Energy Inc. | 8,484 | 442 |
Northwest Natural Gas Co. | 9,892 | 406 |
* NII Holdings Inc. | 63,147 | 378 |
American States Water Co. | 7,079 | 372 |
California Water Service Group | 17,520 | 349 |
Otter Tail Corp. | 13,295 | 349 |
Empire District Electric Co. | 16,162 | 342 |
* Leap Wireless International Inc. | 20,527 | 312 |
Consolidated Communications Holdings Inc. | 14,528 | 242 |
* 8x8 Inc. | 26,128 | 242 |
* Cincinnati Bell Inc. | 75,311 | 225 |
Chesapeake Utilities Corp. | 3,483 | 182 |
* Vonage Holdings Corp. | 56,265 | 176 |
Atlantic Power Corp. | 43,399 | 172 |
West Corp. | 7,820 | 171 |
* Premiere Global Services Inc. | 17,427 | 169 |
Ormat Technologies Inc. | 6,484 | 163 |
* inContact Inc. | 19,589 | 159 |
Atlantic Tele-Network Inc. | 3,369 | 159 |
* Iridium Communications Inc. | 23,251 | 156 |
Shenandoah Telecommunications Co. | 8,805 | 151 |
31
Vanguard® Russell 2000 Index Fund | |||||
Schedule of Investments | |||||
August 31, 2013 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
SJW Corp. | 5,680 | 148 | |||
Unitil Corp. | 5,070 | 143 | |||
Connecticut Water Service Inc. | 4,296 | 131 | |||
Middlesex Water Co. | 6,296 | 126 | |||
* | Pendrell Corp. | 64,708 | 124 | ||
USA Mobility Inc. | 8,675 | 122 | |||
Pike Electric Corp. | 10,481 | 116 | |||
* | General Communication Inc. Class A | 12,713 | 114 | ||
*,^ | magicJack VocalTec Ltd. | 6,540 | 92 | ||
* | Inteliquent Inc. | 11,470 | 92 | ||
* | Hawaiian Telcom Holdco Inc. | 3,643 | 90 | ||
IDT Corp. Class B | 5,422 | 90 | |||
NTELOS Holdings Corp. | 5,386 | 89 | |||
York Water Co. | 4,556 | 89 | |||
Lumos Networks Corp. | 5,443 | 86 | |||
* | Fairpoint Communications Inc. | 7,314 | 68 | ||
Consolidated Water Co. Ltd. | 5,159 | 66 | |||
* | Cbeyond Inc. | 9,454 | 62 | ||
* | ORBCOMM Inc. | 12,772 | 61 | ||
Artesian Resources Corp. Class A | 2,673 | 58 | |||
* | Towerstream Corp. | 23,407 | 52 | ||
Delta Natural Gas Co. Inc. | 2,417 | 49 | |||
HickoryTech Corp. | 4,792 | 48 | |||
* | Boingo Wireless Inc. | 6,543 | 47 | ||
* | Genie Energy Ltd. Class B | 4,550 | 39 | ||
* | Pure Cycle Corp. | 6,070 | 32 | ||
Primus Telecommunications Group Inc. | 4,328 | 17 | |||
Straight Path Communications Inc. Class B | 2,709 | 14 | |||
21,869 | |||||
Total Common Stocks (Cost $448,961) | 534,988 | ||||
Coupon | |||||
Temporary Cash Investments (0.6%)1 | |||||
Money Market Fund (0.5%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.122% | 2,724,764 | 2,725 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
4,5 | Federal Home Loan Bank Discount Notes | 0.100% | 11/8/13 | 100 | 100 |
5,6 | Freddie Mac Discount Notes | 0.095% | 11/18/13 | 200 | 200 |
300 | |||||
Total Temporary Cash Investments (Cost $3,025) | 3,025 | ||||
Total Investments (100.5%) (Cost $451,986) | 538,013 | ||||
Other Assets and Liabilities—Net (-0.5%)3 | (2,519) | ||||
Net Assets (100%) | 535,494 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $1,467,000.
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 nvestments, the fund's effective common stock and temporary cash investment positions represent 100% and 0.5%, respectively, of net ssets.
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 $1,570,000 of collateral received for securities on loan.
32
Vanguard® Russell 2000 Index Fund
Schedule of Investments
August 31, 2013
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
REIT—Real Estate Investment Trust.
33
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.3%)1 | ||
Consumer Discretionary (10.9%) | ||
* Fifth & Pacific Cos. Inc. | 16,029 | 382 |
Dana Holding Corp. | 17,993 | 377 |
* Live Nation Entertainment Inc. | 18,806 | 317 |
Rent-A-Center Inc. | 7,134 | 268 |
Men's Wearhouse Inc. | 6,718 | 253 |
Cooper Tire & Rubber Co. | 7,465 | 238 |
Group 1 Automotive Inc. | 2,906 | 223 |
* Saks Inc. | 13,950 | 222 |
Meredith Corp. | 4,773 | 205 |
* New York Times Co. Class A | 17,239 | 192 |
* WMS Industries Inc. | 7,319 | 188 |
* Helen of Troy Ltd. | 4,263 | 171 |
Penske Automotive Group Inc. | 4,380 | 171 |
* Marriott Vacations Worldwide Corp. | 3,895 | 170 |
Bob Evans Farms Inc. | 3,308 | 162 |
* Skechers U.S.A. Inc. Class A | 5,167 | 159 |
Jones Group Inc. | 10,702 | 158 |
* Orient-Express Hotels Ltd. Class A | 12,801 | 155 |
Valassis Communications Inc. | 5,188 | 143 |
* Standard Pacific Corp. | 19,805 | 141 |
* Life Time Fitness Inc. | 2,720 | 136 |
* Iconix Brand Group Inc. | 4,061 | 133 |
Belo Corp. Class A | 9,304 | 132 |
* Jos A Bank Clothiers Inc. | 3,183 | 127 |
OfficeMax Inc. | 11,626 | 126 |
MDC Holdings Inc. | 4,165 | 116 |
International Speedway Corp. Class A | 3,720 | 115 |
La-Z-Boy Inc. | 5,177 | 110 |
* Children's Place Retail Stores Inc. | 2,035 | 108 |
* TiVo Inc. | 9,050 | 106 |
Scholastic Corp. | 3,532 | 104 |
* Office Depot Inc. | 24,661 | 103 |
Regis Corp. | 6,349 | 100 |
Columbia Sportswear Co. | 1,726 | 98 |
* Meritor Inc. | 13,021 | 97 |
National CineMedia Inc. | 5,336 | 96 |
Movado Group Inc. | 2,226 | 95 |
Finish Line Inc. Class A | 4,329 | 91 |
Sonic Automotive Inc. Class A | 3,871 | 84 |
* LeapFrog Enterprises Inc. | 8,515 | 82 |
Stage Stores Inc. | 4,371 | 81 |
* Pep Boys-Manny Moe & Jack | 7,105 | 80 |
Fred's Inc. Class A | 4,907 | 77 |
Matthews International Corp. Class A | 2,066 | 76 |
* Steiner Leisure Ltd. | 1,342 | 75 |
Cato Corp. Class A | 2,944 | 74 |
* Maidenform Brands Inc. | 3,111 | 73 |
* Tuesday Morning Corp. | 5,723 | 70 |
* Biglari Holdings Inc. | 167 | 70 |
DineEquity Inc. | 1,051 | 70 |
* Barnes & Noble Inc. | 5,042 | 69 |
Callaway Golf Co. | 9,500 | 66 |
* EW Scripps Co. Class A | 4,179 | 64 |
Viad Corp. | 2,717 | 61 |
* Federal-Mogul Corp. | 3,978 | 61 |
* Ruby Tuesday Inc. | 8,144 | 59 |
* Genesco Inc. | 899 | 55 |
* Universal Electronics Inc. | 1,808 | 55 |
* Zale Corp. | 4,340 | 54 |
Superior Industries International Inc. | 3,106 | 54 |
* American Axle & Manufacturing Holdings Inc. | 2,749 | 53 |
34
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Angie's List Inc. | 2,456 | 51 |
Shoe Carnival Inc. | 2,006 | 51 |
MDC Partners Inc. Class A | 2,233 | 50 |
Brown Shoe Co. Inc. | 2,196 | 49 |
Haverty Furniture Cos. Inc. | 2,014 | 49 |
Harte-Hanks Inc. | 5,744 | 48 |
* Jack in the Box Inc. | 1,201 | 47 |
* Central European Media Enterprises Ltd. Class A | 10,232 | 45 |
* RadioShack Corp. | 13,321 | 44 |
* M/I Homes Inc. | 2,320 | 43 |
* Journal Communications Inc. Class A | 5,894 | 42 |
* Gray Television Inc. | 6,271 | 41 |
National Presto Industries Inc. | 591 | 41 |
* Bridgepoint Education Inc. | 2,450 | 40 |
* MarineMax Inc. | 3,291 | 40 |
* Digital Generation Inc. | 3,233 | 40 |
Town Sports International Holdings Inc. | 3,380 | 39 |
* Carmike Cinemas Inc. | 2,214 | 39 |
Remy International Inc. | 1,977 | 39 |
* QuinStreet Inc. | 4,412 | 38 |
* Fuel Systems Solutions Inc. | 1,985 | 38 |
* Steinway Musical Instruments Inc. | 934 | 38 |
* Meritage Homes Corp. | 897 | 36 |
Destination XL Group Inc. | 5,627 | 34 |
World Wrestling Entertainment Inc. Class A | 3,444 | 34 |
* Citi Trends Inc. | 1,955 | 32 |
* Black Diamond Inc. | 2,992 | 31 |
* hhgregg Inc. | 1,715 | 31 |
* Central Garden and Pet Co. Class A | 4,895 | 31 |
Marcus Corp. | 2,474 | 30 |
* VOXX International Corp. Class A | 2,496 | 30 |
Perry Ellis International Inc. | 1,648 | 30 |
Universal Technical Institute Inc. | 2,835 | 30 |
Speedway Motorsports Inc. | 1,555 | 28 |
* Media General Inc. Class A | 2,619 | 27 |
bebe stores inc | 4,649 | 27 |
TRI Pointe Homes Inc. | 1,870 | 26 |
* West Marine Inc. | 2,269 | 26 |
* Entercom Communications Corp. Class A | 3,196 | 25 |
Beazer Homes USA Inc. | 1,471 | 25 |
* G-III Apparel Group Ltd. | 540 | 25 |
CSS Industries Inc. | 1,131 | 25 |
* Sonic Corp. | 1,538 | 25 |
* Asbury Automotive Group Inc. | 491 | 24 |
Courier Corp. | 1,529 | 24 |
Brunswick Corp. | 652 | 24 |
* Quiksilver Inc. | 4,765 | 24 |
* Corinthian Colleges Inc. | 10,591 | 23 |
* Hovnanian Enterprises Inc. Class A | 4,460 | 23 |
Standard Motor Products Inc. | 749 | 23 |
* Revlon Inc. Class A | 1,016 | 23 |
* Scientific Games Corp. Class A | 1,588 | 23 |
Saga Communications Inc. Class A | 460 | 23 |
* Crocs Inc. | 1,581 | 21 |
Dex Media Inc. | 2,289 | 21 |
Stein Mart Inc. | 1,738 | 21 |
* Isle of Capri Casinos Inc. | 2,828 | 21 |
Hooker Furniture Corp. | 1,435 | 21 |
Marchex Inc. Class B | 2,994 | 21 |
Bassett Furniture Industries Inc. | 1,480 | 20 |
Weyco Group Inc. | 815 | 20 |
RG Barry Corp. | 1,224 | 20 |
Lifetime Brands Inc. | 1,386 | 19 |
* Career Education Corp. | 7,283 | 19 |
35
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Carrols Restaurant Group Inc. | 3,124 | 19 |
* Luby's Inc. | 2,633 | 18 |
* Zagg Inc. | 4,058 | 18 |
* Navarre Corp. | 5,280 | 18 |
AH Belo Corp. Class A | 2,493 | 18 |
* Elizabeth Arden Inc. | 511 | 18 |
Inter Parfums Inc. | 659 | 18 |
* Johnson Outdoors Inc. Class A | 649 | 16 |
* Denny's Corp. | 2,737 | 15 |
* Red Robin Gourmet Burgers Inc. | 237 | 15 |
Del Frisco's Restaurant Group Inc. | 782 | 15 |
* Shutterstock Inc. | 302 | 15 |
* Daily Journal Corp. | 120 | 15 |
Flexsteel Industries Inc. | 656 | 15 |
* Morgans Hotel Group Co. | 2,097 | 14 |
* Reading International Inc. Class A | 2,293 | 14 |
* Pinnacle Entertainment Inc. | 578 | 14 |
JAKKS Pacific Inc. | 2,568 | 13 |
Systemax Inc. | 1,457 | 13 |
* Body Central Corp. | 2,156 | 13 |
* Sears Hometown and Outlet Stores Inc. | 400 | 13 |
* Skullcandy Inc. | 2,410 | 13 |
* Gordmans Stores Inc. | 892 | 12 |
Ethan Allen Interiors Inc. | 468 | 12 |
Stewart Enterprises Inc. Class A | 911 | 12 |
* Caesars Entertainment Corp. | 549 | 12 |
Lincoln Educational Services Corp. | 2,227 | 11 |
* Crown Media Holdings Inc. Class A | 3,654 | 11 |
* Select Comfort Corp. | 446 | 11 |
* Cumulus Media Inc. Class A | 2,254 | 11 |
Salem Communications Corp. Class A | 1,388 | 11 |
* American Apparel Inc. | 7,462 | 11 |
* Kirkland's Inc. | 543 | 11 |
* America's Car-Mart Inc. | 255 | 10 |
* Cenveo Inc. | 3,571 | 10 |
* Monarch Casino & Resort Inc. | 531 | 10 |
* Martha Stewart Living Omnimedia Class A | 3,882 | 9 |
* New York & Co. Inc. | 1,569 | 8 |
* Stoneridge Inc. | 597 | 7 |
* RealD Inc. | 789 | 6 |
Trans World Entertainment Corp. | 1,414 | 6 |
* Franklin Covey Co. | 385 | 6 |
Destination Maternity Corp. | 184 | 5 |
* McClatchy Co. Class A | 1,624 | 5 |
* Cavco Industries Inc. | 93 | 5 |
* Biglari Holdings Inc. Rights Exp. 09/16/2013 | 159 | 5 |
* 1-800-Flowers.com Inc. Class A | 775 | 4 |
Beasley Broadcasting Group Inc. Class A | 549 | 4 |
* Valuevision Media Inc. Class A | 763 | 4 |
* Bravo Brio Restaurant Group Inc. | 210 | 3 |
* Pacific Sunwear of California Inc. | 820 | 3 |
* Rentrak Corp. | 93 | 2 |
Einstein Noah Restaurant Group Inc. | 104 | 2 |
* Tilly's Inc. Class A | 111 | 2 |
Bon-Ton Stores Inc. | 136 | 2 |
* JTH Holding Inc. Class A | 63 | 1 |
10,453 | ||
Consumer Staples (2.5%) | ||
Harris Teeter Supermarkets Inc. | 5,856 | 288 |
* Post Holdings Inc. | 4,365 | 186 |
Andersons Inc. | 2,498 | 164 |
Universal Corp. | 3,118 | 153 |
Fresh Del Monte Produce Inc. | 5,059 | 146 |
Snyders-Lance Inc. | 5,393 | 145 |
36
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Rite Aid Corp. | 38,346 | 133 |
* TreeHouse Foods Inc. | 1,685 | 110 |
Seaboard Corp. | 36 | 96 |
* Dole Food Co. Inc. | 6,861 | 94 |
Core-Mark Holding Co. Inc. | 1,324 | 84 |
* Chiquita Brands International Inc. | 6,208 | 77 |
Weis Markets Inc. | 1,472 | 69 |
* Diamond Foods Inc. | 2,975 | 62 |
Spartan Stores Inc. | 2,926 | 60 |
* SUPERVALU Inc. | 6,999 | 50 |
Nash Finch Co. | 1,641 | 40 |
Ingles Markets Inc. Class A | 1,580 | 39 |
Vector Group Ltd. | 2,108 | 34 |
* Pantry Inc. | 2,936 | 33 |
* Alliance One International Inc. | 11,568 | 33 |
* Seneca Foods Corp. Class A | 1,075 | 32 |
Fairway Group Holdings Corp. | 1,227 | 28 |
Roundy's Inc. | 3,365 | 28 |
Nutraceutical International Corp. | 1,143 | 26 |
Nature's Sunshine Products Inc. | 1,457 | 25 |
John B Sanfilippo & Son Inc. | 1,094 | 24 |
* Omega Protein Corp. | 2,418 | 22 |
* PhotoMedex Inc. | 1,270 | 21 |
Cal-Maine Foods Inc. | 288 | 13 |
* Craft Brew Alliance Inc. | 879 | 11 |
Village Super Market Inc. Class A | 295 | 10 |
* Boulder Brands Inc. | 421 | 7 |
Tootsie Roll Industries Inc. | 164 | 5 |
Orchids Paper Products Co. | 114 | 3 |
Alico Inc. | 53 | 2 |
* Synutra International Inc. | 247 | 1 |
2,354 | ||
Energy (6.6%) | ||
* Helix Energy Solutions Group Inc. | 14,156 | 354 |
Energy XXI Bermuda Ltd. | 10,606 | 282 |
* PDC Energy Inc. | 4,758 | 273 |
* Hornbeck Offshore Services Inc. | 4,524 | 246 |
* Exterran Holdings Inc. | 7,693 | 211 |
SEACOR Holdings Inc. | 2,461 | 204 |
Berry Petroleum Co. Class A | 4,785 | 197 |
* Stone Energy Corp. | 6,677 | 183 |
* Alpha Natural Resources Inc. | 29,506 | 179 |
* Hercules Offshore Inc. | 21,311 | 153 |
* SunCoke Energy Inc. | 9,351 | 147 |
* Halcon Resources Corp. | 30,951 | 147 |
* Key Energy Services Inc. | 20,353 | 136 |
* Cloud Peak Energy Inc. | 8,128 | 128 |
Arch Coal Inc. | 28,362 | 127 |
* C&J Energy Services Inc. | 6,019 | 124 |
* TETRA Technologies Inc. | 10,459 | 123 |
CARBO Ceramics Inc. | 1,497 | 122 |
* Matador Resources Co. | 6,618 | 112 |
* Northern Oil and Gas Inc. | 8,523 | 110 |
* Bill Barrett Corp. | 4,625 | 100 |
Comstock Resources Inc. | 6,453 | 94 |
Western Refining Inc. | 3,154 | 92 |
* Parker Drilling Co. | 15,917 | 91 |
* EPL Oil & Gas Inc. | 2,699 | 91 |
* Sanchez Energy Corp. | 3,552 | 86 |
* Forest Oil Corp. | 13,868 | 77 |
* Magnum Hunter Resources Corp. | 15,759 | 73 |
W&T Offshore Inc. | 4,647 | 72 |
* Resolute Energy Corp. | 9,047 | 71 |
Walter Energy Inc. | 5,436 | 70 |
37
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Forum Energy Technologies Inc. | 2,629 | 69 |
* Era Group Inc. | 2,690 | 67 |
* ION Geophysical Corp. | 13,916 | 67 |
* Swift Energy Co. | 5,794 | 65 |
EXCO Resources Inc. | 8,833 | 64 |
* Tesco Corp. | 4,038 | 62 |
* Pioneer Energy Services Corp. | 8,309 | 56 |
* Green Plains Renewable Energy Inc. | 3,379 | 54 |
Contango Oil & Gas Co. | 1,412 | 51 |
* Willbros Group Inc. | 5,343 | 49 |
* Approach Resources Inc. | 2,056 | 48 |
* Basic Energy Services Inc. | 3,997 | 47 |
* Vantage Drilling Co. | 26,859 | 46 |
* Matrix Service Co. | 2,920 | 46 |
Gulf Island Fabrication Inc. | 1,932 | 45 |
* Natural Gas Services Group Inc. | 1,653 | 45 |
Delek US Holdings Inc. | 1,712 | 43 |
* Triangle Petroleum Corp. | 6,400 | 43 |
Nuverra Environmental Solutions Inc. | 18,051 | 41 |
Alon USA Energy Inc. | 3,270 | 41 |
* Clayton Williams Energy Inc. | 787 | 39 |
* Dawson Geophysical Co. | 1,077 | 39 |
* BPZ Resources Inc. | 16,611 | 38 |
* Penn Virginia Corp. | 7,379 | 35 |
* Renewable Energy Group Inc. | 2,242 | 35 |
* EnerNOC Inc. | 2,267 | 33 |
* Emerald Oil Inc. | 4,886 | 32 |
* Endeavour International Corp. | 6,294 | 31 |
* Mitcham Industries Inc. | 1,715 | 30 |
* Warren Resources Inc. | 9,737 | 28 |
* Carrizo Oil & Gas Inc. | 777 | 27 |
* Cal Dive International Inc. | 13,085 | 26 |
* Miller Energy Resources Inc. | 4,146 | 26 |
* Newpark Resources Inc. | 2,198 | 24 |
* Callon Petroleum Co. | 5,262 | 24 |
Equal Energy Ltd. | 4,825 | 23 |
* Ameresco Inc. Class A | 2,668 | 23 |
* Quicksilver Resources Inc. | 13,666 | 23 |
* Vaalco Energy Inc. | 3,929 | 22 |
SemGroup Corp. Class A | 382 | 20 |
Bolt Technology Corp. | 1,138 | 20 |
* Midstates Petroleum Co. Inc. | 4,435 | 20 |
* REX American Resources Corp. | 678 | 20 |
* Westmoreland Coal Co. | 1,553 | 20 |
* GT Advanced Technologies Inc. | 2,537 | 16 |
Adams Resources & Energy Inc. | 258 | 16 |
* Apco Oil and Gas International Inc. | 1,029 | 15 |
Crosstex Energy Inc. | 546 | 11 |
* L&L Energy Inc. | 4,017 | 10 |
* Crimson Exploration Inc. | 2,932 | 9 |
Hallador Energy Co. | 1,160 | 8 |
* Global Geophysical Services Inc. | 2,791 | 7 |
* ZaZa Energy Corp. | 3,224 | 3 |
* PetroQuest Energy Inc. | 574 | 2 |
Panhandle Oil and Gas Inc. Class A | 72 | 2 |
* Arabian American Development Co. | 252 | 2 |
TGC Industries Inc. | 205 | 2 |
6,285 | ||
Financial Services (38.7%) | ||
Prosperity Bancshares Inc. | 8,096 | 484 |
FirstMerit Corp. | 22,262 | 471 |
CNO Financial Group Inc. | 29,868 | 406 |
Prospect Capital Corp. | 34,717 | 384 |
RLJ Lodging Trust | 16,526 | 380 |
38
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Hancock Holding Co. | 11,343 | 365 |
* Stifel Financial Corp. | 8,495 | 340 |
LaSalle Hotel Properties | 12,766 | 339 |
Webster Financial Corp. | 12,061 | 319 |
Susquehanna Bancshares Inc. | 24,917 | 314 |
EPR Properties | 6,285 | 308 |
First American Financial Corp. | 14,456 | 302 |
CubeSmart | 17,801 | 296 |
Primerica Inc. | 7,615 | 283 |
NorthStar Realty Finance Corp. | 32,030 | 281 |
Highwoods Properties Inc. | 8,297 | 280 |
Invesco Mortgage Capital Inc. | 18,068 | 277 |
Lexington Realty Trust | 22,551 | 264 |
* Sunstone Hotel Investors Inc. | 21,758 | 262 |
Colonial Properties Trust | 11,843 | 262 |
DCT Industrial Trust Inc. | 38,847 | 260 |
UMB Financial Corp. | 4,336 | 259 |
DiamondRock Hospitality Co. | 26,118 | 253 |
Medical Properties Trust Inc. | 21,592 | 249 |
BancorpSouth Inc. | 12,719 | 246 |
Capitol Federal Financial Inc. | 19,905 | 244 |
Umpqua Holdings Corp. | 14,961 | 243 |
* Texas Capital Bancshares Inc. | 5,449 | 240 |
Apollo Investment Corp. | 30,032 | 237 |
FNB Corp. | 19,379 | 234 |
Chambers Street Properties | 31,603 | 232 |
Cathay General Bancorp | 10,538 | 232 |
American Realty Capital Properties Inc. | 17,125 | 230 |
Radian Group Inc. | 16,794 | 228 |
Glacier Bancorp Inc. | 9,624 | 227 |
Platinum Underwriters Holdings Ltd. | 3,911 | 226 |
Trustmark Corp. | 8,975 | 223 |
Cousins Properties Inc. | 22,466 | 223 |
RLI Corp. | 2,844 | 222 |
First Industrial Realty Trust Inc. | 14,363 | 217 |
Home Loan Servicing Solutions Ltd. | 9,490 | 216 |
New Residential Investment Corp. | 33,812 | 215 |
Pebblebrook Hotel Trust | 8,206 | 210 |
ARMOUR Residential REIT Inc. | 49,993 | 209 |
Iberiabank Corp. | 3,967 | 208 |
* Alexander & Baldwin Inc. | 5,752 | 207 |
PennyMac Mortgage Investment Trust | 9,415 | 198 |
MB Financial Inc. | 7,322 | 198 |
Wintrust Financial Corp. | 4,949 | 196 |
Redwood Trust Inc. | 10,974 | 195 |
PrivateBancorp Inc. | 8,673 | 189 |
Symetra Financial Corp. | 10,888 | 188 |
United Bankshares Inc. | 6,727 | 187 |
* Walter Investment Management Corp. | 4,929 | 181 |
CYS Investments Inc. | 23,333 | 179 |
Old National Bancorp | 13,545 | 178 |
Community Bank System Inc. | 5,345 | 178 |
Healthcare Realty Trust Inc. | 7,826 | 176 |
First Financial Holdings Inc. | 3,211 | 173 |
Equity One Inc. | 8,045 | 171 |
Government Properties Income Trust | 7,304 | 171 |
Colony Financial Inc. | 8,632 | 171 |
Selective Insurance Group Inc. | 7,420 | 170 |
Westamerica Bancorporation | 3,605 | 170 |
Pennsylvania REIT | 9,087 | 169 |
PacWest Bancorp | 5,066 | 168 |
Geo Group Inc. | 5,386 | 168 |
Fifth Street Finance Corp. | 16,136 | 167 |
Northwest Bancshares Inc. | 12,525 | 167 |
39
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Janus Capital Group Inc. | 19,939 | 167 |
Cash America International Inc. | 3,812 | 163 |
* Western Alliance Bancorp | 9,897 | 162 |
Columbia Banking System Inc. | 6,818 | 158 |
American Capital Mortgage Investment Corp. | 7,880 | 158 |
National Penn Bancshares Inc. | 15,638 | 157 |
American Equity Investment Life Holding Co. | 7,904 | 157 |
International Bancshares Corp. | 7,133 | 156 |
CVB Financial Corp. | 12,272 | 156 |
Washington REIT | 6,398 | 156 |
EverBank Financial Corp. | 10,755 | 151 |
First Midwest Bancorp Inc. | 10,031 | 151 |
Capstead Mortgage Corp. | 12,769 | 150 |
Franklin Street Properties Corp. | 12,028 | 146 |
Montpelier Re Holdings Ltd. | 5,873 | 146 |
Astoria Financial Corp. | 11,801 | 145 |
Chesapeake Lodging Trust | 6,490 | 143 |
Main Street Capital Corp. | 4,878 | 142 |
Hersha Hospitality Trust Class A | 27,067 | 142 |
BBCN Bancorp Inc. | 10,554 | 141 |
* MGIC Investment Corp. | 19,497 | 141 |
Acadia Realty Trust | 6,012 | 140 |
Horace Mann Educators Corp. | 5,303 | 140 |
National Bank Holdings Corp. Class A | 6,984 | 137 |
American Assets Trust Inc. | 4,489 | 133 |
Solar Capital Ltd. | 6,014 | 132 |
Education Realty Trust Inc. | 15,236 | 131 |
* Pinnacle Financial Partners Inc. | 4,680 | 131 |
* Hilltop Holdings Inc. | 8,292 | 130 |
Provident Financial Services Inc. | 7,974 | 129 |
* iStar Financial Inc. | 11,365 | 126 |
NBT Bancorp Inc. | 5,852 | 125 |
Retail Opportunity Investments Corp. | 9,602 | 124 |
Investors Bancorp Inc. | 5,901 | 123 |
Hercules Technology Growth Capital Inc. | 8,225 | 119 |
Park National Corp. | 1,538 | 117 |
Kennedy-Wilson Holdings Inc. | 6,323 | 117 |
First Financial Bancorp | 7,730 | 116 |
* Ezcorp Inc. Class A | 6,821 | 116 |
Nelnet Inc. Class A | 3,057 | 116 |
Hudson Pacific Properties Inc. | 5,790 | 116 |
Ramco-Gershenson Properties Trust | 7,975 | 115 |
Home BancShares Inc. | 4,448 | 113 |
STAG Industrial Inc. | 5,590 | 112 |
* Enstar Group Ltd. | 824 | 111 |
Sterling Financial Corp. | 4,540 | 110 |
Boston Private Financial Holdings Inc. | 10,650 | 109 |
Independent Bank Corp. | 3,057 | 109 |
Triangle Capital Corp. | 3,683 | 107 |
DuPont Fabros Technology Inc. | 4,712 | 107 |
ViewPoint Financial Group Inc. | 5,338 | 106 |
Associated Estates Realty Corp. | 7,688 | 106 |
* Ambac Financial Group Inc. | 4,768 | 106 |
OFG Bancorp | 6,097 | 105 |
Investors Real Estate Trust | 12,738 | 104 |
CapLease Inc. | 11,872 | 101 |
Tower Group International Ltd. | 7,099 | 100 |
Chemical Financial Corp. | 3,679 | 100 |
WesBanco Inc. | 3,462 | 99 |
Argo Group International Holdings Ltd. | 2,419 | 99 |
Resource Capital Corp. | 16,967 | 99 |
PennantPark Investment Corp. | 8,879 | 98 |
First Potomac Realty Trust | 7,849 | 98 |
BlackRock Kelso Capital Corp. | 9,901 | 97 |
40
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
First Commonwealth Financial Corp. | 13,082 | 96 |
Parkway Properties Inc. | 5,820 | 95 |
Ashford Hospitality Trust Inc. | 8,211 | 95 |
Banco Latinoamericano de Comercio Exterior SA | 3,911 | 94 |
* FelCor Lodging Trust Inc. | 16,586 | 91 |
Campus Crest Communities Inc. | 8,626 | 91 |
S&T Bancorp Inc. | 3,971 | 89 |
Banner Corp. | 2,600 | 89 |
Stewart Information Services Corp. | 2,847 | 87 |
Safety Insurance Group Inc. | 1,721 | 86 |
Anworth Mortgage Asset Corp. | 19,358 | 86 |
City Holding Co. | 2,092 | 85 |
Renasant Corp. | 3,370 | 85 |
Brookline Bancorp Inc. | 9,366 | 85 |
* Investment Technology Group Inc. | 4,972 | 85 |
Summit Hotel Properties Inc. | 8,810 | 84 |
* United Community Banks Inc. | 5,755 | 84 |
Tompkins Financial Corp. | 1,931 | 84 |
Berkshire Hills Bancorp Inc. | 3,351 | 83 |
* Forestar Group Inc. | 4,102 | 82 |
AMERISAFE Inc. | 2,457 | 80 |
Golub Capital BDC Inc. | 4,631 | 80 |
* Green Dot Corp. Class A | 3,447 | 79 |
First Financial Bankshares Inc. | 1,352 | 78 |
* Greenlight Capital Re Ltd. Class A | 2,849 | 76 |
* Eagle Bancorp Inc. | 2,980 | 76 |
Maiden Holdings Ltd. | 5,793 | 76 |
* Navigators Group Inc. | 1,384 | 76 |
Sandy Spring Bancorp Inc. | 3,335 | 75 |
Excel Trust Inc. | 6,392 | 75 |
Apollo Commercial Real Estate Finance Inc. | 4,928 | 74 |
Flushing Financial Corp. | 4,120 | 74 |
TrustCo Bank Corp. NY | 12,588 | 74 |
New Mountain Finance Corp. | 4,987 | 73 |
United Fire Group Inc. | 2,521 | 72 |
Northfield Bancorp Inc. | 6,012 | 72 |
Select Income REIT | 2,925 | 71 |
THL Credit Inc. | 4,531 | 71 |
Community Trust Bancorp Inc. | 1,873 | 71 |
Kite Realty Group Trust | 12,223 | 71 |
* Piper Jaffray Cos. | 2,156 | 70 |
* Bancorp Inc. | 4,390 | 69 |
Hanmi Financial Corp. | 4,221 | 69 |
Ryman Hospitality Properties Inc. | 2,075 | 69 |
Lakeland Financial Corp. | 2,194 | 68 |
* Global Cash Access Holdings Inc. | 8,849 | 68 |
Dime Community Bancshares Inc. | 4,256 | 68 |
TICC Capital Corp. | 7,022 | 68 |
Wilshire Bancorp Inc. | 8,275 | 67 |
Cardinal Financial Corp. | 4,045 | 66 |
First Merchants Corp. | 3,847 | 66 |
AG Mortgage Investment Trust Inc. | 3,733 | 66 |
* Capital Bank Financial Corp. | 3,314 | 65 |
Apollo Residential Mortgage Inc. | 4,281 | 65 |
Sabra Health Care REIT Inc. | 2,934 | 65 |
Oritani Financial Corp. | 4,178 | 65 |
State Bank Financial Corp. | 4,266 | 65 |
* PICO Holdings Inc. | 3,038 | 64 |
* Altisource Residential Corp. | 3,349 | 63 |
WSFS Financial Corp. | 1,049 | 63 |
Getty Realty Corp. | 3,423 | 62 |
StellarOne Corp. | 3,036 | 62 |
* First BanCorp | 9,635 | 62 |
* Ameris Bancorp | 3,191 | 61 |
41
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* DFC Global Corp. | 5,410 | 61 |
Provident New York Bancorp | 5,927 | 60 |
Southside Bancshares Inc. | 2,385 | 59 |
Capital Southwest Corp. | 1,799 | 59 |
Dynex Capital Inc. | 7,342 | 59 |
Terreno Realty Corp. | 3,340 | 59 |
Medley Capital Corp. | 4,441 | 58 |
Washington Trust Bancorp Inc. | 1,934 | 58 |
National Western Life Insurance Co. Class A | 293 | 58 |
Union First Market Bankshares Corp. | 2,702 | 58 |
RAIT Financial Trust | 9,349 | 58 |
Rouse Properties Inc. | 2,997 | 56 |
Chatham Lodging Trust | 3,015 | 55 |
Bank of the Ozarks Inc. | 1,193 | 54 |
TCP Capital Corp. | 3,472 | 54 |
Heartland Financial USA Inc. | 1,982 | 54 |
Simmons First National Corp. Class A | 2,207 | 53 |
First Interstate Bancsystem Inc. | 2,344 | 53 |
* Virginia Commerce Bancorp Inc. | 3,604 | 53 |
Sterling Bancorp | 4,137 | 52 |
FBL Financial Group Inc. Class A | 1,187 | 52 |
Lakeland Bancorp Inc. | 4,776 | 52 |
1st Source Corp. | 2,017 | 52 |
New York Mortgage Trust Inc. | 8,517 | 51 |
Monmouth Real Estate Investment Corp. Class A | 5,672 | 51 |
Western Asset Mortgage Capital Corp. | 3,248 | 51 |
Arlington Asset Investment Corp. Class A | 2,140 | 50 |
Central Pacific Financial Corp. | 2,917 | 50 |
SY Bancorp Inc. | 1,866 | 50 |
TowneBank | 3,518 | 49 |
* Taylor Capital Group Inc. | 2,309 | 49 |
CyrusOne Inc. | 2,563 | 49 |
Bancfirst Corp. | 948 | 48 |
Agree Realty Corp. | 1,770 | 48 |
Rockville Financial Inc. | 3,665 | 48 |
Infinity Property & Casualty Corp. | 783 | 47 |
Cedar Realty Trust Inc. | 9,663 | 47 |
* KCG Holdings Inc. Class A | 5,365 | 47 |
Federal Agricultural Mortgage Corp. | 1,378 | 46 |
* NewStar Financial Inc. | 3,508 | 46 |
First Busey Corp. | 9,683 | 46 |
MCG Capital Corp. | 9,399 | 46 |
First Financial Corp. | 1,500 | 46 |
Bryn Mawr Bank Corp. | 1,806 | 46 |
HomeTrust Bancshares Inc. | 2,783 | 45 |
AmREIT Inc. | 2,623 | 44 |
Trico Bancshares | 2,141 | 44 |
* Customers Bancorp Inc. | 2,669 | 44 |
* Citizens Inc. Class A | 5,805 | 44 |
* MoneyGram International Inc. | 2,150 | 44 |
OneBeacon Insurance Group Ltd. Class A | 3,024 | 43 |
Winthrop Realty Trust | 3,618 | 43 |
* Harbinger Group Inc. | 4,634 | 43 |
Univest Corp. of Pennsylvania | 2,231 | 43 |
CoBiz Financial Inc. | 4,737 | 42 |
* Cowen Group Inc. Class A | 13,050 | 42 |
* Beneficial Mutual Bancorp Inc. | 4,488 | 42 |
United Financial Bancorp Inc. | 2,630 | 41 |
MainSource Financial Group Inc. | 2,862 | 41 |
* Safeguard Scientifics Inc. | 2,804 | 41 |
German American Bancorp Inc. | 1,693 | 40 |
Flagstar Bancorp Inc. | 2,787 | 40 |
Hudson Valley Holding Corp. | 2,196 | 40 |
MVC Capital Inc. | 3,197 | 40 |
42
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Enterprise Financial Services Corp. | 2,420 | 40 |
* Southwest Bancorp Inc. | 2,770 | 40 |
Meadowbrook Insurance Group Inc. | 6,625 | 40 |
GFI Group Inc. | 9,812 | 39 |
State Auto Financial Corp. | 2,103 | 39 |
Camden National Corp. | 1,021 | 39 |
First Bancorp | 2,767 | 39 |
First of Long Island Corp. | 1,056 | 39 |
Centerstate Banks Inc. | 4,244 | 39 |
Bank Mutual Corp. | 6,526 | 39 |
Ares Commercial Real Estate Corp. | 3,022 | 39 |
Great Southern Bancorp Inc. | 1,450 | 39 |
First Community Bancshares Inc. | 2,529 | 38 |
* Metro Bancorp Inc. | 1,997 | 38 |
Park Sterling Corp. | 6,310 | 38 |
Arrow Financial Corp. | 1,474 | 37 |
Medallion Financial Corp. | 2,632 | 37 |
Financial Institutions Inc. | 1,949 | 36 |
HomeStreet Inc. | 1,835 | 36 |
* American Safety Insurance Holdings Ltd. | 1,186 | 36 |
* OmniAmerican Bancorp Inc. | 1,530 | 35 |
* Gramercy Property Trust Inc. | 8,433 | 34 |
Fidus Investment Corp. | 1,831 | 34 |
Whitestone REIT | 2,419 | 34 |
Republic Bancorp Inc. Class A | 1,296 | 34 |
First Defiance Financial Corp. | 1,389 | 34 |
National Bankshares Inc. | 929 | 34 |
One Liberty Properties Inc. | 1,570 | 34 |
Employers Holdings Inc. | 1,245 | 33 |
Gladstone Commercial Corp. | 1,850 | 33 |
Silver Bay Realty Trust Corp. | 2,036 | 32 |
* GSV Capital Corp. | 2,581 | 32 |
BNC Bancorp | 2,448 | 32 |
First Connecticut Bancorp Inc. | 2,270 | 32 |
Citizens & Northern Corp. | 1,649 | 32 |
* Walker & Dunlop Inc. | 2,172 | 32 |
Aviv REIT Inc. | 1,382 | 31 |
* Encore Capital Group Inc. | 732 | 31 |
Charter Financial Corp. | 3,041 | 31 |
FBR & Co. | 1,169 | 31 |
* Strategic Hotels & Resorts Inc. | 3,853 | 31 |
* American Residential Properties Inc. | 1,831 | 31 |
KCAP Financial Inc. | 3,731 | 31 |
Territorial Bancorp Inc. | 1,420 | 31 |
Heritage Financial Corp. | 2,024 | 31 |
Pacific Continental Corp. | 2,390 | 30 |
OceanFirst Financial Corp. | 1,839 | 30 |
Peoples Bancorp Inc. | 1,425 | 30 |
* Pacific Premier Bancorp Inc. | 2,224 | 30 |
* Phoenix Cos. Inc. | 776 | 29 |
* PennyMac Financial Services Inc. Class A | 1,708 | 29 |
Baldwin & Lyons Inc. | 1,233 | 29 |
Bank of Marin Bancorp | 727 | 29 |
* Banc of California Inc. | 2,154 | 29 |
1st United Bancorp Inc. | 3,994 | 29 |
Amtrust Financial Services Inc. | 799 | 29 |
* Yadkin Financial Corp. | 1,923 | 29 |
Penns Woods Bancorp Inc. | 604 | 28 |
Washington Banking Co. | 2,072 | 28 |
Consolidated-Tomoka Land Co. | 781 | 28 |
CNB Financial Corp. | 1,671 | 28 |
Fidelity Southern Corp. | 1,943 | 28 |
* Global Indemnity plc | 1,120 | 27 |
Fox Chase Bancorp Inc. | 1,627 | 27 |
43
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Solar Senior Capital Ltd. | 1,538 | 27 |
Manning & Napier Inc. | 1,815 | 27 |
* United Community Financial Corp. | 6,598 | 27 |
Calamos Asset Management Inc. Class A | 2,652 | 26 |
* Suffolk Bancorp | 1,545 | 26 |
PennantPark Floating Rate Capital Ltd. | 1,965 | 26 |
* Firsthand Technology Value Fund Inc. | 1,143 | 26 |
Franklin Financial Corp. | 1,437 | 26 |
Bridge Bancorp Inc. | 1,200 | 25 |
Horizon Bancorp | 1,161 | 25 |
Meta Financial Group Inc. | 798 | 25 |
Ames National Corp. | 1,244 | 25 |
* Preferred Bank | 1,558 | 25 |
Sovran Self Storage Inc. | 377 | 25 |
* INTL. FCStone Inc. | 1,289 | 25 |
Home Federal Bancorp Inc. | 1,936 | 25 |
* NewBridge Bancorp | 3,375 | 24 |
Stellus Capital Investment Corp. | 1,610 | 24 |
Gladstone Investment Corp. | 3,538 | 24 |
West Bancorporation Inc. | 1,914 | 24 |
Armada Hoffler Properties Inc. | 2,539 | 24 |
* MPG Office Trust Inc. | 7,661 | 24 |
BankFinancial Corp. | 2,816 | 24 |
Sierra Bancorp | 1,627 | 23 |
Gladstone Capital Corp. | 2,865 | 23 |
Mercantile Bank Corp. | 1,163 | 23 |
Guaranty Bancorp | 1,965 | 23 |
Universal Insurance Holdings Inc. | 3,144 | 23 |
Oppenheimer Holdings Inc. Class A | 1,324 | 23 |
JAVELIN Mortgage Investment Corp. | 1,842 | 23 |
American National Bankshares Inc. | 1,050 | 23 |
Kansas City Life Insurance Co. | 520 | 23 |
Merchants Bancshares Inc. | 765 | 22 |
Nicholas Financial Inc. | 1,373 | 22 |
Bank of Kentucky Financial Corp. | 820 | 22 |
Thomas Properties Group Inc. | 3,991 | 22 |
C&F Financial Corp. | 436 | 22 |
LTC Properties Inc. | 614 | 22 |
Center Bancorp Inc. | 1,554 | 22 |
First Financial Northwest Inc. | 2,022 | 22 |
Provident Financial Holdings Inc. | 1,210 | 21 |
MetroCorp Bancshares Inc. | 2,104 | 21 |
MidWestOne Financial Group Inc. | 893 | 21 |
* SWS Group Inc. | 3,946 | 21 |
* CU Bancorp | 1,240 | 21 |
Doral Financial Corp. | 872 | 21 |
First Bancorp Inc. | 1,261 | 21 |
* Bridge Capital Holdings | 1,270 | 20 |
ESB Financial Corp. | 1,715 | 20 |
* Meridian Interstate Bancorp Inc. | 1,029 | 20 |
* AV Homes Inc. | 1,246 | 20 |
Glimcher Realty Trust | 2,023 | 20 |
* Seacoast Banking Corp. of Florida | 9,681 | 20 |
* Farmers Capital Bank Corp. | 998 | 20 |
Peapack Gladstone Financial Corp. | 1,187 | 20 |
* Sun Bancorp Inc. | 5,404 | 20 |
* Capital City Bank Group Inc. | 1,647 | 20 |
Northrim BanCorp Inc. | 859 | 19 |
Heritage Commerce Corp. | 2,782 | 19 |
Bar Harbor Bankshares | 524 | 19 |
* First Security Group Inc. | 8,228 | 19 |
* Kearny Financial Corp. | 1,892 | 18 |
Enterprise Bancorp Inc. | 955 | 18 |
First M&F Corp. | 1,095 | 18 |
44
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Imperial Holdings Inc. | 2,608 | 18 |
NGP Capital Resources Co. | 2,774 | 17 |
* Hallmark Financial Services Inc. | 2,039 | 17 |
Independent Bank Group Inc. | 497 | 17 |
* Heritage Oaks Bancorp | 2,663 | 17 |
UMH Properties Inc. | 1,732 | 17 |
EMC Insurance Group Inc. | 590 | 16 |
Crawford & Co. Class B | 2,157 | 16 |
* Intervest Bancshares Corp. Class A | 2,348 | 16 |
MidSouth Bancorp Inc. | 1,085 | 16 |
Urstadt Biddle Properties Inc. Class A | 832 | 16 |
Westfield Financial Inc. | 2,426 | 16 |
National Interstate Corp. | 628 | 16 |
HFF Inc. Class A | 681 | 16 |
LCNB Corp. | 795 | 15 |
Inland Real Estate Corp. | 1,549 | 15 |
* NASB Financial Inc. | 561 | 15 |
* Chemung Financial Corp. | 482 | 15 |
* Home Bancorp Inc. | 866 | 15 |
Independence Holding Co. | 1,054 | 15 |
Horizon Technology Finance Corp. | 1,086 | 14 |
Century Bancorp Inc. Class A | 455 | 14 |
EastGroup Properties Inc. | 251 | 14 |
Eastern Insurance Holdings Inc. | 700 | 14 |
WhiteHorse Finance Inc. | 923 | 14 |
* Macatawa Bank Corp. | 3,076 | 14 |
JMP Group Inc. | 2,099 | 13 |
Clifton Savings Bancorp Inc. | 1,113 | 13 |
Donegal Group Inc. Class A | 991 | 13 |
Access National Corp. | 977 | 13 |
Middleburg Financial Corp. | 711 | 13 |
* First NBC Bank Holding Co. | 557 | 13 |
Ellington Residential Mortgage REIT | 862 | 13 |
ESSA Bancorp Inc. | 1,201 | 13 |
Investors Title Co. | 177 | 13 |
Resource America Inc. Class A | 1,647 | 12 |
* BBX Capital Corp. | 965 | 12 |
Garrison Capital Inc. | 803 | 12 |
CommunityOne Bancorp | 1,405 | 12 |
Intersections Inc. | 1,264 | 12 |
* Tristate Capital Holdings Inc. | 877 | 11 |
Hingham Institution for Savings | 171 | 11 |
Gain Capital Holdings Inc. | 1,471 | 11 |
Griffin Land & Nurseries Inc. | 351 | 11 |
* Regional Management Corp. | 352 | 10 |
* First Marblehead Corp. | 12,056 | 10 |
* Waterstone Financial Inc. | 984 | 10 |
Tree.com Inc. | 361 | 9 |
* VantageSouth Bancshares Inc. | 1,609 | 9 |
* ConnectOne Bancorp Inc. | 233 | 8 |
* Palmetto Bancshares Inc. | 595 | 7 |
* Hampton Roads Bankshares Inc. | 4,507 | 7 |
CIFC Corp. | 914 | 7 |
* Fortegra Financial Corp. | 858 | 7 |
* Consumer Portfolio Services Inc. | 1,098 | 6 |
California First National Bancorp | 309 | 5 |
* Cascade Bancorp | 767 | 5 |
* Tejon Ranch Co. | 134 | 4 |
* First Federal Bancshares of Arkansas Inc. | 273 | 3 |
* Roma Financial Corp. | 107 | 2 |
ZAIS Financial Corp. | 76 | 1 |
* Tejon Ranch Co. Warrants Exp. 08/31/2016 | 22 | — |
37,100 |
45
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Health Care (4.5%) | ||
* WellCare Health Plans Inc. | 5,846 | 372 |
Owens & Minor Inc. | 6,668 | 227 |
* Magellan Health Services Inc. | 3,617 | 203 |
* Impax Laboratories Inc. | 9,150 | 187 |
* Wright Medical Group Inc. | 5,397 | 130 |
* NPS Pharmaceuticals Inc. | 4,786 | 120 |
CONMED Corp. | 3,705 | 115 |
* Amsurg Corp. Class A | 3,027 | 113 |
* NuVasive Inc. | 4,645 | 109 |
* Greatbatch Inc. | 3,193 | 108 |
Kindred Healthcare Inc. | 7,221 | 106 |
* Hanger Inc. | 2,626 | 81 |
* Merit Medical Systems Inc. | 5,686 | 73 |
* BioScrip Inc. | 5,936 | 72 |
* Astex Pharmaceuticals | 10,822 | 71 |
* Amedisys Inc. | 4,204 | 69 |
Analogic Corp. | 904 | 68 |
* Accelrys Inc. | 7,463 | 67 |
National Healthcare Corp. | 1,438 | 66 |
* Tornier NV | 3,476 | 66 |
Spectrum Pharmaceuticals Inc. | 8,460 | 65 |
Invacare Corp. | 4,277 | 64 |
* HealthSouth Corp. | 1,900 | 60 |
* Nektar Therapeutics | 4,770 | 58 |
* Orthofix International NV | 2,600 | 57 |
* Triple-S Management Corp. Class B | 2,988 | 56 |
Select Medical Holdings Corp. | 6,502 | 55 |
* Emergent Biosolutions Inc. | 3,029 | 53 |
* Affymetrix Inc. | 9,501 | 53 |
* Integra LifeSciences Holdings Corp. | 1,219 | 50 |
* PharMerica Corp. | 3,969 | 49 |
* Omnicell Inc. | 1,978 | 43 |
* ImmunoGen Inc. | 2,644 | 42 |
Hi-Tech Pharmacal Co. Inc. | 970 | 42 |
Universal American Corp. | 5,405 | 39 |
* Symmetry Medical Inc. | 4,982 | 39 |
* Rigel Pharmaceuticals Inc. | 12,317 | 39 |
* Cynosure Inc. Class A | 1,680 | 39 |
* LHC Group Inc. | 1,700 | 38 |
* AngioDynamics Inc. | 3,478 | 38 |
* Albany Molecular Research Inc. | 3,294 | 36 |
* OraSure Technologies Inc. | 7,421 | 35 |
* Prothena Corp. plc | 1,587 | 32 |
* Healthways Inc. | 1,572 | 30 |
* Five Star Quality Care Inc. | 5,727 | 30 |
* Cambrex Corp. | 2,039 | 28 |
* Pacific Biosciences of California Inc. | 6,392 | 27 |
* Derma Sciences Inc. | 1,831 | 26 |
* RTI Surgical Inc. | 7,519 | 25 |
* Geron Corp. | 17,429 | 25 |
* XenoPort Inc. | 4,932 | 24 |
* Rockwell Medical Inc. | 4,347 | 24 |
* Alnylam Pharmaceuticals Inc. | 437 | 23 |
* Arena Pharmaceuticals Inc. | 3,463 | 22 |
* Natus Medical Inc. | 1,676 | 22 |
* ArthroCare Corp. | 682 | 22 |
CryoLife Inc. | 3,447 | 21 |
* Chindex International Inc. | 1,226 | 21 |
Almost Family Inc. | 1,091 | 21 |
* Cross Country Healthcare Inc. | 3,580 | 20 |
* Solta Medical Inc. | 9,480 | 20 |
* Targacept Inc. | 3,729 | 19 |
* Exactech Inc. | 990 | 19 |
46
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Pozen Inc. | 3,561 | 18 |
* Cutera Inc. | 1,937 | 18 |
* Alphatec Holdings Inc. | 8,372 | 17 |
* Harvard Bioscience Inc. | 3,188 | 16 |
* Anika Therapeutics Inc. | 665 | 15 |
* Celldex Therapeutics Inc. | 703 | 15 |
* AVEO Pharmaceuticals Inc. | 6,934 | 15 |
* Momenta Pharmaceuticals Inc. | 1,005 | 14 |
* Addus HomeCare Corp. | 651 | 14 |
* Vanguard Health Systems Inc. | 635 | 13 |
* National Research Corp. Class A | 795 | 13 |
* ICU Medical Inc. | 161 | 12 |
* Curis Inc. | 2,604 | 11 |
* InterMune Inc. | 774 | 11 |
* Cornerstone Therapeutics Inc. | 1,186 | 11 |
* ACADIA Pharmaceuticals Inc. | 515 | 10 |
* Sciclone Pharmaceuticals Inc. | 1,944 | 10 |
Alliance HealthCare Services Inc. | 404 | 10 |
* Progenics Pharmaceuticals Inc. | 1,567 | 9 |
Enzon Pharmaceuticals Inc. | 4,955 | 9 |
* Horizon Pharma Inc. | 3,332 | 8 |
* Idenix Pharmaceuticals Inc. | 1,694 | 8 |
Cytokinetics Inc. | 750 | 8 |
* Navidea Biopharmaceuticals Inc. | 2,381 | 7 |
* Pernix Therapeutics Holdings | 2,341 | 6 |
* Medical Action Industries Inc. | 1,170 | 6 |
* XOMA Corp. | 1,149 | 5 |
* Lexicon Pharmaceuticals Inc. | 2,126 | 5 |
Ensign Group Inc. | 129 | 5 |
* Staar Surgical Co. | 328 | 4 |
* Cytori Therapeutics Inc. | 1,873 | 4 |
* Dynavax Technologies Corp. | 2,957 | 4 |
* Immunomedics Inc. | 618 | 4 |
* USMD Holdings Inc. | 144 | 4 |
* Arqule Inc. | 518 | 1 |
* Vical Inc. | 1,038 | 1 |
* Skilled Healthcare Group Inc. | 216 | 1 |
* SIGA Technologies Inc. | 283 | 1 |
* Biolase Inc. | 409 | 1 |
4,318 | ||
Materials & Processing (5.5%) | ||
Axiall Corp. | 9,327 | 373 |
Sensient Technologies Corp. | 6,687 | 277 |
Commercial Metals Co. | 15,618 | 232 |
Minerals Technologies Inc. | 4,658 | 207 |
* Stillwater Mining Co. | 15,781 | 180 |
Kaiser Aluminum Corp. | 2,526 | 175 |
Simpson Manufacturing Co. Inc. | 4,972 | 155 |
Hecla Mining Co. | 38,115 | 130 |
* RTI International Metals Inc. | 4,186 | 130 |
Kaydon Corp. | 4,302 | 122 |
* Coeur Mining Inc. | 8,475 | 122 |
* Resolute Forest Products Inc. | 9,328 | 118 |
Boise Inc. | 13,481 | 115 |
* OM Group Inc. | 3,994 | 113 |
A Schulman Inc. | 3,931 | 106 |
Globe Specialty Metals Inc. | 8,133 | 104 |
* Molycorp Inc. | 16,571 | 101 |
Universal Forest Products Inc. | 2,655 | 99 |
Encore Wire Corp. | 2,419 | 91 |
Intrepid Potash Inc. | 7,311 | 91 |
Quaker Chemical Corp. | 1,325 | 88 |
Olin Corp. | 3,594 | 83 |
Quanex Building Products Corp. | 4,952 | 82 |
47
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Schnitzer Steel Industries Inc. | 3,253 | 82 |
* Kraton Performance Polymers Inc. | 4,346 | 81 |
* Louisiana-Pacific Corp. | 5,139 | 77 |
AMCOL International Corp. | 2,291 | 76 |
Haynes International Inc. | 1,648 | 73 |
* Horsehead Holding Corp. | 5,893 | 70 |
Neenah Paper Inc. | 1,911 | 70 |
Schweitzer-Mauduit International Inc. | 1,162 | 67 |
Griffon Corp. | 5,962 | 66 |
* Allied Nevada Gold Corp. | 13,883 | 64 |
* AK Steel Holding Corp. | 18,216 | 61 |
Myers Industries Inc. | 3,267 | 61 |
LB Foster Co. Class A | 1,359 | 58 |
Stepan Co. | 1,018 | 57 |
Comfort Systems USA Inc. | 3,689 | 56 |
* Century Aluminum Co. | 6,872 | 54 |
* Gibraltar Industries Inc. | 4,100 | 53 |
* Zoltek Cos. Inc. | 3,676 | 51 |
Tredegar Corp. | 2,083 | 47 |
* Unifi Inc. | 1,995 | 45 |
Aceto Corp. | 2,929 | 43 |
Dynamic Materials Corp. | 1,829 | 40 |
Materion Corp. | 1,301 | 38 |
Belden Inc. | 671 | 38 |
* Northwest Pipe Co. | 1,331 | 38 |
* LSB Industries Inc. | 1,222 | 37 |
FutureFuel Corp. | 2,205 | 36 |
NN Inc. | 2,286 | 32 |
Apogee Enterprises Inc. | 1,105 | 31 |
* Clearwater Paper Corp. | 635 | 30 |
Zep Inc. | 1,861 | 26 |
* Universal Stainless & Alloy Products Inc. | 914 | 25 |
Olympic Steel Inc. | 898 | 23 |
LSI Industries Inc. | 2,852 | 19 |
Global Brass & Copper Holdings Inc. | 938 | 19 |
Ampco-Pittsburgh Corp. | 1,115 | 18 |
TMS International Corp. Class A | 1,028 | 18 |
Chase Corp. | 574 | 17 |
* UFP Technologies Inc. | 767 | 16 |
PH Glatfelter Co. | 606 | 16 |
Oil-Dri Corp. of America | 483 | 15 |
* Penford Corp. | 1,045 | 14 |
* Ur-Energy Inc. | 12,959 | 13 |
* General Moly Inc. | 7,725 | 13 |
Noranda Aluminum Holding Corp. | 4,506 | 12 |
* Texas Industries Inc. | 198 | 12 |
Shiloh Industries Inc. | 815 | 10 |
NL Industries Inc. | 902 | 10 |
Innospec Inc. | 169 | 7 |
* NCI Building Systems Inc. | 442 | 5 |
KMG Chemicals Inc. | 202 | 5 |
Taminco Corp. | 238 | 5 |
Wausau Paper Corp. | 365 | 4 |
* Ply Gem Holdings Inc. | 250 | 4 |
Culp Inc. | 152 | 3 |
Insteel Industries Inc. | 170 | 3 |
Compx International Inc. | 166 | 2 |
* Handy & Harman Ltd. | 101 | 2 |
* Midway Gold Corp. | 1,756 | 2 |
* United States Lime & Minerals Inc. | 17 | 1 |
5,265 | ||
Other (0.0%) | ||
* Unwired Planet Inc Rights Exp. 09/09/2013 | 841 | — |
48
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
— | ||
Producer Durables (13.8%) | ||
Actuant Corp. Class A | 9,779 | 349 |
EMCOR Group Inc. | 8,968 | 337 |
* Esterline Technologies Corp. | 4,179 | 319 |
Bristow Group Inc. | 4,830 | 317 |
* Moog Inc. Class A | 5,498 | 279 |
* Teledyne Technologies Inc. | 3,440 | 265 |
Curtiss-Wright Corp. | 6,256 | 261 |
* US Airways Group Inc. | 15,524 | 251 |
Convergys Corp. | 14,039 | 248 |
* Darling International Inc. | 11,561 | 234 |
Scorpio Tankers Inc. | 24,676 | 233 |
Barnes Group Inc. | 7,182 | 225 |
EnerSys Inc. | 4,327 | 222 |
United Stationers Inc. | 5,419 | 215 |
Brady Corp. Class A | 6,173 | 204 |
* Itron Inc. | 5,282 | 198 |
* JetBlue Airways Corp. | 31,067 | 191 |
General Cable Corp. | 6,150 | 188 |
Watts Water Technologies Inc. Class A | 3,526 | 183 |
* Tetra Tech Inc. | 8,008 | 182 |
* FTI Consulting Inc. | 5,386 | 180 |
ABM Industries Inc. | 7,302 | 176 |
Gulfmark Offshore Inc. | 3,567 | 164 |
* Atlas Air Worldwide Holdings Inc. | 3,451 | 159 |
* PHH Corp. | 7,630 | 159 |
Granite Construction Inc. | 5,186 | 147 |
Steelcase Inc. Class A | 9,982 | 145 |
* Mobile Mini Inc. | 4,622 | 140 |
* Orbital Sciences Corp. | 8,016 | 139 |
AAR Corp. | 5,309 | 133 |
* Huron Consulting Group Inc. | 2,700 | 129 |
CIRCOR International Inc. | 2,210 | 127 |
Cubic Corp. | 2,468 | 124 |
Briggs & Stratton Corp. | 6,436 | 123 |
* GrafTech International Ltd. | 15,615 | 122 |
* Ascent Capital Group Inc. Class A | 1,643 | 121 |
Ship Finance International Ltd. | 7,476 | 116 |
* Korn/Ferry International | 6,505 | 115 |
G&K Services Inc. Class A | 2,174 | 112 |
Quad/Graphics Inc. | 3,338 | 105 |
TAL International Group Inc. | 2,406 | 103 |
Albany International Corp. | 3,167 | 102 |
Werner Enterprises Inc. | 4,381 | 101 |
* ACCO Brands Corp. | 15,171 | 100 |
* Aegion Corp. Class A | 4,616 | 99 |
* Tutor Perini Corp. | 4,954 | 95 |
Astec Industries Inc. | 2,722 | 94 |
Deluxe Corp. | 2,378 | 94 |
* Navigant Consulting Inc. | 6,739 | 92 |
* Sykes Enterprises Inc. | 5,247 | 89 |
Aircastle Ltd. | 5,415 | 88 |
* Wabash National Corp. | 8,418 | 88 |
* ICF International Inc. | 2,634 | 87 |
Arkansas Best Corp. | 3,435 | 85 |
SkyWest Inc. | 6,578 | 85 |
* Electronics For Imaging Inc. | 2,872 | 84 |
UniFirst Corp. | 874 | 84 |
* Wesco Aircraft Holdings Inc. | 4,313 | 83 |
* Modine Manufacturing Co. | 6,309 | 82 |
* EnPro Industries Inc. | 1,411 | 80 |
ESCO Technologies Inc. | 2,529 | 78 |
49
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Engility Holdings Inc. | 2,293 | 77 |
* Greenbrier Cos. Inc. | 3,265 | 74 |
* Rush Enterprises Inc. Class A | 2,920 | 73 |
Standex International Corp. | 1,364 | 73 |
* Dycom Industries Inc. | 2,779 | 71 |
* Monster Worldwide Inc. | 15,573 | 70 |
Nordic American Tankers Ltd. | 8,824 | 68 |
Resources Connection Inc. | 5,452 | 67 |
Textainer Group Holdings Ltd. | 1,893 | 66 |
* XPO Logistics Inc. | 2,868 | 66 |
Kelly Services Inc. Class A | 3,599 | 65 |
* Powell Industries Inc. | 1,231 | 65 |
Ennis Inc. | 3,496 | 62 |
* MYR Group Inc. | 2,804 | 61 |
* RPX Corp. | 3,728 | 58 |
McGrath RentCorp | 1,741 | 58 |
UTi Worldwide Inc. | 3,480 | 57 |
Marten Transport Ltd. | 3,129 | 55 |
* PHI Inc. | 1,577 | 55 |
* Aerovironment Inc. | 2,475 | 54 |
* Consolidated Graphics Inc. | 968 | 52 |
* Layne Christensen Co. | 2,649 | 50 |
* Kratos Defense & Security Solutions Inc. | 5,873 | 50 |
Great Lakes Dredge & Dock Corp. | 7,223 | 49 |
* Hawaiian Holdings Inc. | 6,939 | 49 |
Brink's Co. | 1,865 | 48 |
* Columbus McKinnon Corp. | 2,235 | 48 |
GasLog Ltd. | 3,410 | 47 |
Michael Baker Corp. | 1,156 | 47 |
Kadant Inc. | 1,498 | 47 |
Celadon Group Inc. | 2,498 | 45 |
American Railcar Industries Inc. | 1,263 | 45 |
Kaman Corp. | 1,265 | 45 |
* Air Transport Services Group Inc. | 6,930 | 44 |
Alamo Group Inc. | 946 | 43 |
Kimball International Inc. Class B | 4,334 | 43 |
Global Power Equipment Group Inc. | 2,274 | 42 |
* Titan Machinery Inc. | 2,300 | 40 |
* AM Castle & Co. | 2,465 | 39 |
Heidrick & Struggles International Inc. | 2,545 | 38 |
* Orion Marine Group Inc. | 3,843 | 38 |
* Lydall Inc. | 2,408 | 37 |
* Republic Airways Holdings Inc. | 3,339 | 37 |
* Ducommun Inc. | 1,418 | 37 |
* CBIZ Inc. | 5,378 | 37 |
NACCO Industries Inc. Class A | 662 | 37 |
* Roadrunner Transportation Systems Inc. | 1,261 | 34 |
Argan Inc. | 1,867 | 33 |
* CAI International Inc. | 1,466 | 32 |
Knoll Inc. | 2,060 | 31 |
* Zygo Corp. | 2,224 | 31 |
Twin Disc Inc. | 1,111 | 29 |
FreightCar America Inc. | 1,606 | 29 |
Titan International Inc. | 1,723 | 28 |
Knightsbridge Tankers Ltd. | 3,270 | 28 |
* Patriot Transportation Holding Inc. | 875 | 27 |
Marlin Business Services Corp. | 1,102 | 27 |
* GenCorp Inc. | 1,762 | 27 |
* Pacer International Inc. | 4,270 | 26 |
Met-Pro Corp. | 1,896 | 26 |
Spartan Motors Inc. | 4,558 | 26 |
CDI Corp. | 1,884 | 26 |
VSE Corp. | 551 | 25 |
* CRA International Inc. | 1,359 | 24 |
50
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Miller Industries Inc. | 1,501 | 24 |
* Tecumseh Products Co. Class A | 2,469 | 24 |
Hurco Cos. Inc. | 861 | 24 |
* PRGX Global Inc. | 3,854 | 23 |
* Vishay Precision Group Inc. | 1,651 | 23 |
Hardinge Inc. | 1,571 | 23 |
* TeleTech Holdings Inc. | 920 | 23 |
Schawk Inc. Class A | 1,800 | 22 |
Preformed Line Products Co. | 321 | 22 |
Applied Industrial Technologies Inc. | 451 | 21 |
Littelfuse Inc. | 286 | 21 |
Teekay Tankers Ltd. Class A | 8,213 | 21 |
Mac-Gray Corp. | 1,426 | 20 |
Electro Rent Corp. | 1,196 | 20 |
Heartland Express Inc. | 1,456 | 20 |
Houston Wire & Cable Co. | 1,605 | 20 |
Multi-Color Corp. | 633 | 20 |
Gorman-Rupp Co. | 567 | 20 |
* Sterling Construction Co. Inc. | 2,035 | 20 |
* PMFG Inc. | 2,795 | 19 |
* YRC Worldwide Inc. | 1,115 | 19 |
* Vicor Corp. | 2,363 | 18 |
* Flow International Corp. | 5,367 | 18 |
International Shipholding Corp. | 746 | 18 |
* Quality Distribution Inc. | 1,864 | 17 |
* Furmanite Corp. | 1,884 | 17 |
* Energy Recovery Inc. | 3,273 | 17 |
* Frontline Ltd. | 6,757 | 16 |
* Standard Parking Corp. | 706 | 16 |
Hackett Group Inc. | 2,423 | 16 |
* American Superconductor Corp. | 6,532 | 15 |
* TRC Cos. Inc. | 2,104 | 15 |
* LMI Aerospace Inc. | 1,220 | 15 |
* OSI Systems Inc. | 198 | 14 |
* Global Sources Ltd. | 2,254 | 14 |
* Swisher Hygiene Inc. | 15,097 | 13 |
* API Technologies Corp. | 4,353 | 12 |
* Measurement Specialties Inc. | 250 | 12 |
Franklin Electric Co. Inc. | 326 | 12 |
HNI Corp. | 330 | 11 |
* Ultrapetrol Bahamas Ltd. | 2,855 | 10 |
* ExOne Co. | 113 | 8 |
* FARO Technologies Inc. | 205 | 8 |
* Commercial Vehicle Group Inc. | 957 | 7 |
* Advanced Energy Industries Inc. | 325 | 6 |
Kforce Inc. | 325 | 5 |
Douglas Dynamics Inc. | 273 | 4 |
* National Technical Systems Inc. | 151 | 3 |
Ceco Environmental Corp. | 254 | 3 |
* Casella Waste Systems Inc. Class A | 545 | 3 |
* GSE Holding Inc. | 1,202 | 3 |
* Erickson Air-Crane Inc. | 170 | 3 |
* Odyssey Marine Exploration Inc. | 830 | 2 |
* AT Cross Co. Class A | 104 | 2 |
* Accuride Corp. | 385 | 2 |
* Heritage-Crystal Clean Inc. | 112 | 2 |
13,274 | ||
Technology (9.9%) | ||
* DigitalGlobe Inc. | 9,953 | 301 |
Mentor Graphics Corp. | 12,743 | 282 |
* Finisar Corp. | 12,485 | 256 |
* International Rectifier Corp. | 9,280 | 222 |
* CACI International Inc. Class A | 3,082 | 208 |
* Acxiom Corp. | 7,397 | 184 |
51
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Sanmina Corp. | 11,062 | 180 |
MKS Instruments Inc. | 7,083 | 177 |
Intersil Corp. Class A | 16,995 | 176 |
* SYNNEX Corp. | 3,527 | 168 |
* Benchmark Electronics Inc. | 7,265 | 160 |
* Plexus Corp. | 4,557 | 149 |
* NETGEAR Inc. | 5,147 | 149 |
* Entegris Inc. | 15,825 | 149 |
* TriQuint Semiconductor Inc. | 19,657 | 148 |
* Veeco Instruments Inc. | 4,060 | 143 |
* Unisys Corp. | 5,603 | 141 |
* II-VI Inc. | 6,823 | 132 |
Tessera Technologies Inc. | 7,050 | 129 |
* Anixter International Inc. | 1,510 | 126 |
* QLogic Corp. | 11,898 | 126 |
* ScanSource Inc. | 3,725 | 115 |
* Cirrus Logic Inc. | 5,030 | 113 |
* Insight Enterprises Inc. | 5,815 | 111 |
* Integrated Device Technology Inc. | 12,452 | 108 |
* Bankrate Inc. | 6,179 | 106 |
Tellabs Inc. | 47,516 | 106 |
* ATMI Inc. | 4,266 | 105 |
Acacia Research Corp. | 4,687 | 103 |
* OmniVision Technologies Inc. | 6,585 | 102 |
* PMC - Sierra Inc. | 15,595 | 97 |
United Online Inc. | 12,362 | 97 |
* Harmonic Inc. | 13,540 | 96 |
* Sonus Networks Inc. | 26,814 | 93 |
ManTech International Corp. Class A | 3,185 | 91 |
* Progress Software Corp. | 3,698 | 90 |
* Emulex Corp. | 12,141 | 87 |
* Digital River Inc. | 4,712 | 81 |
* Checkpoint Systems Inc. | 5,481 | 80 |
* Newport Corp. | 5,222 | 80 |
* Rofin-Sinar Technologies Inc. | 3,513 | 79 |
Brooks Automation Inc. | 8,885 | 78 |
* Rogers Corp. | 1,400 | 78 |
Park Electrochemical Corp. | 2,784 | 74 |
* Microsemi Corp. | 2,756 | 71 |
* Active Network Inc. | 7,215 | 71 |
* Volterra Semiconductor Corp. | 3,082 | 71 |
* Ciena Corp. | 3,527 | 70 |
EarthLink Inc. | 13,773 | 68 |
* TTM Technologies Inc. | 7,073 | 67 |
ADTRAN Inc. | 2,773 | 67 |
* Spansion Inc. Class A | 6,319 | 66 |
* Cray Inc. | 2,585 | 63 |
* Perficient Inc. | 3,890 | 63 |
CTS Corp. | 4,480 | 62 |
* ICG Group Inc. | 4,754 | 60 |
* Photronics Inc. | 8,122 | 59 |
Black Box Corp. | 2,156 | 57 |
* Super Micro Computer Inc. | 4,258 | 55 |
* Lattice Semiconductor Corp. | 11,467 | 55 |
Comtech Telecommunications Corp. | 2,248 | 54 |
* Ceva Inc. | 2,959 | 54 |
* Fabrinet | 3,789 | 53 |
* Internap Network Services Corp. | 7,162 | 52 |
Methode Electronics Inc. | 2,175 | 52 |
American Science & Engineering Inc. | 918 | 52 |
* Entropic Communications Inc. | 11,970 | 50 |
EPIQ Systems Inc. | 3,943 | 48 |
CSG Systems International Inc. | 2,047 | 48 |
* Extreme Networks | 12,427 | 46 |
52
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Globecomm Systems Inc. | 3,162 | 44 |
* Seachange International Inc. | 4,376 | 44 |
* FormFactor Inc. | 7,209 | 44 |
* Oplink Communications Inc. | 2,321 | 43 |
Daktronics Inc. | 3,862 | 41 |
* Integrated Silicon Solution Inc. | 3,951 | 41 |
* Quantum Corp. | 28,371 | 41 |
* Blucora Inc. | 2,022 | 40 |
* IntraLinks Holdings Inc. | 5,131 | 40 |
* Mercury Systems Inc. | 4,543 | 40 |
* Rudolph Technologies Inc. | 3,811 | 39 |
* CIBER Inc. | 10,525 | 38 |
* Amkor Technology Inc. | 9,373 | 38 |
* GSI Group Inc. | 4,299 | 36 |
Electro Scientific Industries Inc. | 3,185 | 35 |
Cohu Inc. | 3,499 | 35 |
* Anaren Inc. | 1,384 | 34 |
* ShoreTel Inc. | 6,898 | 34 |
* Digi International Inc. | 3,455 | 32 |
* Fusion-io Inc. | 3,001 | 32 |
* Demand Media Inc. | 4,837 | 31 |
* STEC Inc. | 4,500 | 31 |
* Bazaarvoice Inc. | 2,858 | 31 |
Supertex Inc. | 1,317 | 30 |
* KEYW Holding Corp. | 2,612 | 30 |
IXYS Corp. | 3,192 | 30 |
* Kopin Corp. | 8,862 | 29 |
* Procera Networks Inc. | 2,236 | 29 |
* ARRIS Group Inc. | 1,837 | 29 |
* Axcelis Technologies Inc. | 14,473 | 29 |
* Inphi Corp. | 2,204 | 28 |
Coherent Inc. | 491 | 28 |
* Symmetricom Inc. | 5,476 | 27 |
* Diodes Inc. | 1,050 | 26 |
* LTX-Credence Corp. | 6,355 | 26 |
* Sparton Corp. | 1,366 | 26 |
* Dealertrack Technologies Inc. | 639 | 25 |
* Rubicon Technology Inc. | 2,069 | 25 |
* Kemet Corp. | 6,002 | 25 |
ePlus Inc. | 470 | 24 |
* Aspen Technology Inc. | 705 | 24 |
* RF Micro Devices Inc. | 4,735 | 24 |
Bel Fuse Inc. Class B | 1,301 | 23 |
* Vringo Inc. | 7,338 | 23 |
* RealNetworks Inc. | 2,964 | 23 |
* Avid Technology Inc. | 4,153 | 22 |
* ARC Document Solutions Inc. | 5,034 | 22 |
* Pericom Semiconductor Corp. | 3,028 | 21 |
Tessco Technologies Inc. | 673 | 21 |
* Agilysys Inc. | 1,876 | 21 |
* Vocus Inc. | 2,257 | 21 |
* Aviat Networks Inc. | 8,083 | 21 |
* ANADIGICS Inc. | 10,862 | 20 |
Plantronics Inc. | 462 | 20 |
* Ultra Clean Holdings Inc. | 2,947 | 20 |
* Sigma Designs Inc. | 4,042 | 19 |
* Numerex Corp. Class A | 1,845 | 19 |
PC Connection Inc. | 1,268 | 19 |
* Imation Corp. | 4,477 | 19 |
* Aeroflex Holding Corp. | 2,587 | 18 |
* GSI Technology Inc. | 2,709 | 18 |
* VASCO Data Security International Inc. | 2,268 | 18 |
Richardson Electronics Ltd. | 1,604 | 18 |
* Multi-Fineline Electronix Inc. | 1,158 | 17 |
53
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Westell Technologies Inc. Class A | 5,860 | 17 |
* NeoPhotonics Corp. | 2,697 | 17 |
PC-Tel Inc. | 2,086 | 17 |
* DSP Group Inc. | 2,610 | 17 |
* Alpha & Omega Semiconductor Ltd. | 2,318 | 16 |
* TeleCommunication Systems Inc. Class A | 6,260 | 16 |
* Infinera Corp. | 1,646 | 15 |
* Telenav Inc. | 2,738 | 15 |
* Limelight Networks Inc. | 7,139 | 14 |
* Nanometrics Inc. | 986 | 14 |
* ModusLink Global Solutions Inc. | 4,944 | 14 |
* Audience Inc. | 1,286 | 13 |
Ebix Inc. | 1,101 | 13 |
* Hutchinson Technology Inc. | 3,128 | 11 |
Sapiens International Corp. NV | 1,885 | 10 |
* Radisys Corp. | 3,024 | 10 |
* Calix Inc. | 716 | 9 |
* TechTarget Inc. | 1,890 | 8 |
* Cyan Inc. | 860 | 8 |
* Vocera Communications Inc. | 433 | 7 |
* Viasystems Group Inc. | 449 | 6 |
* Responsys Inc. | 373 | 5 |
* KVH Industries Inc. | 319 | 4 |
* MoSys Inc. | 891 | 3 |
* Immersion Corp. | 253 | 3 |
* Mindspeed Technologies Inc. | 936 | 3 |
* Actuate Corp. | 404 | 3 |
* PLX Technology Inc. | 512 | 3 |
* Lionbridge Technologies Inc. | 552 | 2 |
* Unwired Planet Inc. | 900 | 2 |
* M/A-COM Technology Solutions Holdings Inc. | 88 | 1 |
* Glu Mobile Inc. | 580 | 1 |
QAD Inc. Class A | 105 | 1 |
* Revolution Lighting Technologies Inc. | 277 | 1 |
9,530 | ||
Utilities (6.9%) | ||
Cleco Corp. | 8,077 | 365 |
Piedmont Natural Gas Co. Inc. | 10,091 | 326 |
IDACORP Inc. | 6,712 | 321 |
Portland General Electric Co. | 10,112 | 291 |
Southwest Gas Corp. | 6,190 | 290 |
WGL Holdings Inc. | 6,909 | 288 |
Black Hills Corp. | 5,938 | 285 |
* Dynegy Inc. | 13,362 | 260 |
UIL Holdings Corp. | 6,774 | 256 |
ALLETE Inc. | 5,334 | 252 |
New Jersey Resources Corp. | 5,582 | 240 |
UNS Energy Corp. | 5,196 | 238 |
PNM Resources Inc. | 10,644 | 233 |
Avista Corp. | 8,007 | 210 |
NorthWestern Corp. | 5,062 | 203 |
South Jersey Industries Inc. | 3,472 | 201 |
Laclede Group Inc. | 4,362 | 194 |
El Paso Electric Co. | 5,373 | 185 |
MGE Energy Inc. | 3,088 | 161 |
Northwest Natural Gas Co. | 3,601 | 148 |
* NII Holdings Inc. | 22,987 | 137 |
Otter Tail Corp. | 4,846 | 127 |
California Water Service Group | 6,378 | 127 |
American States Water Co. | 2,358 | 124 |
Empire District Electric Co. | 5,701 | 121 |
* Leap Wireless International Inc. | 5,612 | 85 |
Chesapeake Utilities Corp. | 1,285 | 67 |
* Vonage Holdings Corp. | 20,759 | 65 |
54
Vanguard® Russell 2000 Value Index Fund | |||||
Schedule of Investments | |||||
August 31, 2013 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Atlantic Power Corp. | 16,012 | 64 | |||
Ormat Technologies Inc. | 2,361 | 59 | |||
* | Iridium Communications Inc. | 8,579 | 57 | ||
* | Cincinnati Bell Inc. | 18,811 | 56 | ||
Unitil Corp. | 1,846 | 52 | |||
* | Premiere Global Services Inc. | 5,157 | 50 | ||
Connecticut Water Service Inc. | 1,445 | 44 | |||
Middlesex Water Co. | 2,115 | 42 | |||
USA Mobility Inc. | 2,893 | 41 | |||
SJW Corp. | 1,502 | 39 | |||
* | Pendrell Corp. | 19,505 | 37 | ||
* | Hawaiian Telcom Holdco Inc. | 1,463 | 36 | ||
Consolidated Water Co. Ltd. | 1,931 | 25 | |||
* | ORBCOMM Inc. | 4,782 | 23 | ||
* | Cbeyond Inc. | 3,467 | 23 | ||
Artesian Resources Corp. Class A | 1,000 | 22 | |||
West Corp. | 958 | 21 | |||
* | Inteliquent Inc. | 2,602 | 21 | ||
Delta Natural Gas Co. Inc. | 916 | 19 | |||
* | Boingo Wireless Inc. | 2,449 | 17 | ||
Pike Electric Corp. | 1,564 | 17 | |||
* | Genie Energy Ltd. Class B | 1,949 | 17 | ||
* | magicJack VocalTec Ltd. | 811 | 11 | ||
York Water Co. | 454 | 9 | |||
Shenandoah Telecommunications Co. | 323 | 6 | |||
* | Towerstream Corp. | 2,058 | 5 | ||
* | inContact Inc. | 477 | 4 | ||
* | Fairpoint Communications Inc. | 404 | 4 | ||
IDT Corp. Class B | 136 | 2 | |||
Straight Path Communications Inc. Class B | 68 | — | |||
6,623 | |||||
Total Common Stocks (Cost $88,165) | 95,202 | ||||
Coupon | |||||
Temporary Cash Investments (0.6%)1 | |||||
Money Market Fund (0.4%) | |||||
2 | Vanguard Market Liquidity Fund | 0.122% | 442,250 | 442 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.2%) | |||||
3,4 | Freddie Mac Discount Notes | 0.073% | 11/12/13 | 200 | 200 |
Total Temporary Cash Investments (Cost $642) | 642 | ||||
Total Investments (99.9%) (Cost $88,807) | 95,844 | ||||
Other Assets and Liabilities—Net (0.1%) | 49 | ||||
Net Assets (100%) | 95,893 |
* 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 99.9% and 0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 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.
55
Vanguard® Russell 2000 Value Index Fund
Schedule of Investments
August 31, 2013
4 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
56
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.8%)1 | ||
Consumer Discretionary (18.2%) | ||
Sotheby's | 23,128 | 1,066 |
Brunswick Corp. | 28,985 | 1,054 |
Wolverine World Wide Inc. | 16,996 | 956 |
* Tenneco Inc. | 20,605 | 951 |
* Lumber Liquidators Holdings Inc. | 9,304 | 925 |
Vail Resorts Inc. | 12,163 | 827 |
Pool Corp. | 15,779 | 822 |
Cheesecake Factory Inc. | 18,062 | 754 |
* Steven Madden Ltd. | 13,584 | 734 |
Pier 1 Imports Inc. | 32,106 | 704 |
* Shutterfly Inc. | 12,862 | 668 |
* Buffalo Wild Wings Inc. | 6,353 | 660 |
Cracker Barrel Old Country Store Inc. | 6,654 | 655 |
HSN Inc. | 11,492 | 619 |
* Express Inc. | 29,001 | 609 |
Outerwall Inc. | 9,556 | 594 |
* VistaPrint NV | 11,092 | 591 |
* ANN Inc. | 16,029 | 556 |
Sinclair Broadcast Group Inc. Class A | 23,247 | 556 |
PriceSmart Inc. | 6,412 | 551 |
* ValueClick Inc. | 25,895 | 548 |
Ryland Group Inc. | 15,671 | 546 |
* Grand Canyon Education Inc. | 15,427 | 532 |
Texas Roadhouse Inc. Class A | 21,209 | 527 |
* Conn's Inc. | 7,626 | 508 |
Lithia Motors Inc. Class A | 7,543 | 495 |
Buckle Inc. | 9,493 | 492 |
* Jack in the Box Inc. | 12,061 | 476 |
Monro Muffler Brake Inc. | 10,624 | 470 |
Hillenbrand Inc. | 18,673 | 462 |
* Asbury Automotive Group Inc. | 9,341 | 459 |
* Hibbett Sports Inc. | 8,831 | 457 |
KB Home | 28,387 | 455 |
* Select Comfort Corp. | 17,774 | 439 |
* Krispy Kreme Doughnuts Inc. | 22,248 | 439 |
* SHFL Entertainment Inc. | 19,124 | 435 |
* Vitamin Shoppe Inc. | 10,312 | 434 |
* Pinnacle Entertainment Inc. | 18,271 | 433 |
Dorman Products Inc. | 8,571 | 431 |
Arbitron Inc. | 9,125 | 429 |
* Bloomin' Brands Inc. | 18,792 | 423 |
* Restoration Hardware Holdings Inc. | 6,009 | 418 |
* Five Below Inc. | 11,142 | 409 |
* Meritage Homes Corp. | 10,133 | 405 |
* Life Time Fitness Inc. | 7,709 | 385 |
* Multimedia Games Holding Co. Inc. | 9,809 | 385 |
Churchill Downs Inc. | 4,672 | 378 |
* Papa John's International Inc. | 5,443 | 371 |
* Genesco Inc. | 5,875 | 362 |
* Francesca's Holdings Corp. | 14,958 | 361 |
* Crocs Inc. | 25,868 | 348 |
Sturm Ruger & Co. Inc. | 6,565 | 344 |
* K12 Inc. | 9,229 | 335 |
Nexstar Broadcasting Group Inc. Class A | 9,976 | 335 |
* Tumi Holdings Inc. | 16,268 | 334 |
* AFC Enterprises Inc. | 8,113 | 332 |
Drew Industries Inc. | 7,784 | 327 |
* American Axle & Manufacturing Holdings Inc. | 15,852 | 305 |
* Iconix Brand Group Inc. | 9,048 | 297 |
Stewart Enterprises Inc. Class A | 22,303 | 292 |
Interval Leisure Group Inc. | 13,378 | 289 |
57
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Boyd Gaming Corp. | 23,534 | 285 |
Oxford Industries Inc. | 4,572 | 284 |
* Red Robin Gourmet Burgers Inc. | 4,210 | 273 |
* BJ's Restaurants Inc. | 8,380 | 262 |
* LifeLock Inc. | 20,617 | 260 |
* Elizabeth Arden Inc. | 7,385 | 256 |
CEC Entertainment Inc. | 6,041 | 244 |
* Sonic Corp. | 15,169 | 242 |
Arctic Cat Inc. | 4,479 | 240 |
* Caesars Entertainment Corp. | 11,164 | 240 |
* American Public Education Inc. | 5,982 | 239 |
* Smith & Wesson Holding Corp. | 21,800 | 238 |
* TiVo Inc. | 20,000 | 233 |
* ITT Educational Services Inc. | 7,938 | 229 |
* HealthStream Inc. | 6,841 | 227 |
* Fiesta Restaurant Group Inc. | 6,736 | 220 |
* Aeropostale Inc. | 26,661 | 217 |
* Winnebago Industries Inc. | 9,536 | 212 |
Brown Shoe Co. Inc. | 9,111 | 204 |
* Capella Education Co. | 3,756 | 204 |
* rue21 inc | 4,982 | 204 |
* Constant Contact Inc. | 10,435 | 200 |
* G-III Apparel Group Ltd. | 4,329 | 198 |
Chuy's Holdings Inc. | 5,514 | 198 |
* Move Inc. | 13,547 | 196 |
DineEquity Inc. | 2,945 | 195 |
* Zumiez Inc. | 7,173 | 192 |
* Gentherm Inc. | 11,357 | 190 |
Ethan Allen Interiors Inc. | 7,245 | 189 |
* Mattress Firm Holding Corp. | 4,565 | 188 |
* Stamps.com Inc. | 4,436 | 186 |
* Scientific Games Corp. Class A | 12,134 | 173 |
* Angie's List Inc. | 8,110 | 170 |
* Libbey Inc. | 7,135 | 169 |
Tile Shop Holdings Inc. | 6,271 | 167 |
Belo Corp. Class A | 11,600 | 164 |
* Quiksilver Inc. | 32,924 | 163 |
* Blue Nile Inc. | 4,211 | 152 |
Matthews International Corp. Class A | 4,128 | 152 |
Standard Motor Products Inc. | 4,828 | 148 |
Strayer Education Inc. | 3,674 | 147 |
Bright Horizons Family Solutions Inc. | 4,027 | 147 |
* Vera Bradley Inc. | 7,353 | 144 |
Ruth's Hospitality Group Inc. | 12,173 | 144 |
* Children's Place Retail Stores Inc. | 2,677 | 142 |
* Hovnanian Enterprises Inc. Class A | 27,106 | 140 |
* Denny's Corp. | 24,104 | 135 |
Penske Automotive Group Inc. | 3,215 | 125 |
Nutrisystem Inc. | 9,728 | 123 |
Finish Line Inc. Class A | 5,722 | 120 |
* American Woodmark Corp. | 3,375 | 118 |
Destination Maternity Corp. | 4,131 | 115 |
* Cavco Industries Inc. | 2,129 | 112 |
* Wet Seal Inc. Class A | 30,231 | 110 |
* XO Group Inc. | 9,098 | 109 |
* Overstock.com Inc. | 3,800 | 107 |
National CineMedia Inc. | 5,766 | 104 |
Inter Parfums Inc. | 3,901 | 104 |
* Stoneridge Inc. | 8,170 | 102 |
La-Z-Boy Inc. | 4,637 | 99 |
Entravision Communications Corp. Class A | 18,778 | 98 |
William Lyon Homes Class A | 4,697 | 97 |
* RealD Inc. | 11,780 | 96 |
Big 5 Sporting Goods Corp. | 5,735 | 96 |
58
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Cumulus Media Inc. Class A | 19,794 | 95 |
Carriage Services Inc. Class A | 5,322 | 94 |
* Bravo Brio Restaurant Group Inc. | 6,162 | 92 |
* Office Depot Inc. | 20,838 | 87 |
* Steiner Leisure Ltd. | 1,566 | 87 |
Dana Holding Corp. | 4,129 | 87 |
* Shutterstock Inc. | 1,731 | 86 |
* America's Car-Mart Inc. | 2,081 | 85 |
* Rentrak Corp. | 3,341 | 83 |
Cooper Tire & Rubber Co. | 2,532 | 81 |
Beazer Homes USA Inc. | 4,768 | 81 |
* Orbitz Worldwide Inc. | 7,954 | 76 |
MDC Holdings Inc. | 2,673 | 74 |
Sonic Automotive Inc. Class A | 3,388 | 74 |
Jamba Inc. | 5,658 | 73 |
* Christopher & Banks Corp. | 12,303 | 68 |
* Education Management Corp. | 8,206 | 67 |
* Nautilus Inc. | 10,510 | 66 |
* Kirkland's Inc. | 3,354 | 65 |
MDC Partners Inc. Class A | 2,898 | 65 |
Stein Mart Inc. | 5,013 | 61 |
* Sears Hometown and Outlet Stores Inc. | 1,897 | 61 |
* Rosetta Stone Inc. | 3,937 | 61 |
* Valuevision Media Inc. Class A | 11,625 | 57 |
* Jos A Bank Clothiers Inc. | 1,410 | 56 |
Winmark Corp. | 763 | 55 |
Bob Evans Farms Inc. | 1,061 | 52 |
* McClatchy Co. Class A | 16,520 | 51 |
* Nathan's Famous Inc. | 933 | 48 |
Cato Corp. Class A | 1,874 | 47 |
Bon-Ton Stores Inc. | 4,126 | 45 |
* Pacific Sunwear of California Inc. | 13,855 | 45 |
* M/I Homes Inc. | 2,309 | 43 |
* Tilly's Inc. Class A | 3,104 | 43 |
* Tower International Inc. | 2,062 | 42 |
* EveryWare Global Inc. | 3,175 | 41 |
* ReachLocal Inc. | 3,567 | 39 |
* Carmike Cinemas Inc. | 2,194 | 38 |
Haverty Furniture Cos. Inc. | 1,586 | 38 |
* 1-800-Flowers.com Inc. Class A | 6,768 | 37 |
* Ignite Restaurant Group Inc. | 2,441 | 37 |
* Hemisphere Media Group Inc. | 2,915 | 35 |
* Franklin Covey Co. | 2,108 | 33 |
Einstein Noah Restaurant Group Inc. | 1,956 | 31 |
Marine Products Corp. | 3,570 | 31 |
Del Frisco's Restaurant Group Inc. | 1,593 | 31 |
* Monarch Casino & Resort Inc. | 1,566 | 29 |
Blyth Inc. | 3,152 | 29 |
* Revlon Inc. Class A | 1,267 | 28 |
* New York & Co. Inc. | 5,772 | 28 |
* Cenveo Inc. | 9,218 | 26 |
* Morgans Hotel Group Co. | 3,715 | 26 |
* JTH Holding Inc. Class A | 1,415 | 24 |
* Diversified Restaurant Holdings Inc. | 3,639 | 23 |
Saga Communications Inc. Class A | 457 | 22 |
* Universal Electronics Inc. | 499 | 15 |
Movado Group Inc. | 342 | 15 |
* Barnes & Noble Inc. | 943 | 13 |
Lincoln Educational Services Corp. | 2,492 | 13 |
* Central Garden and Pet Co. Class A | 1,775 | 11 |
* Gordmans Stores Inc. | 746 | 10 |
World Wrestling Entertainment Inc. Class A | 1,014 | 10 |
National Presto Industries Inc. | 138 | 10 |
* Crown Media Holdings Inc. Class A | 2,481 | 8 |
59
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Gray Television Inc. | 1,145 | 8 |
* | Citi Trends Inc. | 277 | 5 |
RG Barry Corp. | 236 | 4 | |
TRI Pointe Homes Inc. | 265 | 4 | |
Weyco Group Inc. | 141 | 4 | |
Beasley Broadcasting Group Inc. Class A | 67 | 1 | |
46,101 | |||
Consumer Staples (4.5%) | |||
* | Hain Celestial Group Inc. | 13,008 | 1,064 |
* | United Natural Foods Inc. | 16,704 | 1,013 |
Casey's General Stores Inc. | 12,983 | 856 | |
B&G Foods Inc. | 17,960 | 608 | |
* | Boston Beer Co. Inc. Class A | 2,801 | 593 |
* | TreeHouse Foods Inc. | 8,029 | 522 |
* | Rite Aid Corp. | 150,589 | 521 |
Sanderson Farms Inc. | 7,820 | 512 | |
Lancaster Colony Corp. | 6,289 | 464 | |
Spectrum Brands Holdings Inc. | 7,306 | 442 | |
J&J Snack Foods Corp. | 5,077 | 390 | |
* | SUPERVALU Inc. | 51,177 | 367 |
* | Pilgrim's Pride Corp. | 20,591 | 316 |
WD-40 Co. | 5,256 | 306 | |
* | Boulder Brands Inc. | 19,146 | 298 |
* | Susser Holdings Corp. | 6,131 | 292 |
Vector Group Ltd. | 15,094 | 246 | |
* | Annie's Inc. | 4,652 | 214 |
Cal-Maine Foods Inc. | 4,313 | 197 | |
Tootsie Roll Industries Inc. | 6,233 | 187 | |
* | USANA Health Sciences Inc. | 2,039 | 155 |
* | Medifast Inc. | 4,692 | 117 |
* | Natural Grocers by Vitamin Cottage Inc. | 3,011 | 116 |
*,^ | Star Scientific Inc. | 56,568 | 111 |
* | Chefs' Warehouse Inc. | 4,754 | 110 |
PetMed Express Inc. | 6,848 | 105 | |
Calavo Growers Inc. | 4,161 | 103 | |
Coca-Cola Bottling Co. Consolidated | 1,587 | 100 | |
Harris Teeter Supermarkets Inc. | 1,927 | 95 | |
* | Lifevantage Corp. | 38,455 | 93 |
Limoneira Co. | 3,402 | 74 | |
Snyders-Lance Inc. | 2,443 | 66 | |
Female Health Co. | 7,401 | 64 | |
National Beverage Corp. | 3,865 | 62 | |
* | Vitacost.com Inc. | 7,334 | 60 |
Arden Group Inc. | 400 | 53 | |
Fairway Group Holdings Corp. | 2,219 | 51 | |
Village Super Market Inc. Class A | 1,401 | 49 | |
Orchids Paper Products Co. | 1,772 | 49 | |
* | Inventure Foods Inc. | 4,777 | 43 |
Alico Inc. | 864 | 35 | |
Core-Mark Holding Co. Inc. | 529 | 33 | |
* | Farmer Bros Co. | 2,008 | 28 |
* | Synutra International Inc. | 5,313 | 25 |
* | PhotoMedex Inc. | 1,495 | 24 |
Seaboard Corp. | 9 | 24 | |
Lifeway Foods Inc. | 1,563 | 22 | |
* | Craft Brew Alliance Inc. | 1,352 | 16 |
* | Pantry Inc. | 535 | 6 |
* | Omega Protein Corp. | 541 | 5 |
11,302 | |||
Energy (4.2%) | |||
* | Rosetta Resources Inc. | 20,692 | 963 |
* | Kodiak Oil & Gas Corp. | 89,909 | 898 |
Targa Resources Corp. | 11,144 | 759 | |
SemGroup Corp. Class A | 13,260 | 702 |
60
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Carrizo Oil & Gas Inc. | 11,746 | 402 |
* | Bonanza Creek Energy Inc. | 10,000 | 397 |
* | Flotek Industries Inc. | 16,214 | 321 |
* | Rex Energy Corp. | 15,361 | 320 |
* | Geospace Technologies Corp. | 4,387 | 306 |
Western Refining Inc. | 10,376 | 304 | |
* | SunPower Corp. Class A | 14,007 | 301 |
* | Clean Energy Fuels Corp. | 23,144 | 291 |
Crosstex Energy Inc. | 14,782 | 288 | |
* | Diamondback Energy Inc. | 6,614 | 266 |
* | Newpark Resources Inc. | 23,682 | 264 |
CARBO Ceramics Inc. | 2,919 | 238 | |
Berry Petroleum Co. Class A | 5,726 | 236 | |
* | GT Advanced Technologies Inc. | 34,120 | 220 |
Delek US Holdings Inc. | 8,265 | 206 | |
* | Goodrich Petroleum Corp. | 8,967 | 192 |
* | Solazyme Inc. | 16,247 | 183 |
* | Forum Energy Technologies Inc. | 6,683 | 175 |
EXCO Resources Inc. | 23,656 | 172 | |
* | Synergy Resources Corp. | 17,240 | 161 |
* | Approach Resources Inc. | 6,624 | 154 |
* | RigNet Inc. | 4,024 | 146 |
* | Capstone Turbine Corp. | 103,480 | 115 |
* | PowerSecure International Inc. | 7,325 | 112 |
* | EPL Oil & Gas Inc. | 3,290 | 111 |
* | Bill Barrett Corp. | 4,809 | 104 |
Walter Energy Inc. | 7,477 | 97 | |
* | Magnum Hunter Resources Corp. | 17,962 | 84 |
* | PetroQuest Energy Inc. | 18,029 | 76 |
* | Abraxas Petroleum Corp. | 27,373 | 69 |
* | FuelCell Energy Inc. | 54,189 | 67 |
* | Evolution Petroleum Corp. | 5,761 | 65 |
Panhandle Oil and Gas Inc. Class A | 2,210 | 63 | |
* | FX Energy Inc. | 18,184 | 62 |
* | Gastar Exploration Ltd. | 18,794 | 59 |
* | Vaalco Energy Inc. | 9,944 | 55 |
* | Arabian American Development Co. | 6,245 | 49 |
SEACOR Holdings Inc. | 574 | 48 | |
* | ION Geophysical Corp. | 9,834 | 47 |
* | EnerNOC Inc. | 3,063 | 44 |
* | Edgen Group Inc. | 5,782 | 43 |
TGC Industries Inc. | 4,899 | 39 | |
* | Hornbeck Offshore Services Inc. | 654 | 36 |
*,^ | Enphase Energy Inc. | 5,407 | 34 |
* | Isramco Inc. | 314 | 33 |
* | KiOR Inc. | 14,360 | 32 |
Contango Oil & Gas Co. | 829 | 30 | |
* | Forest Oil Corp. | 5,264 | 29 |
* | Triangle Petroleum Corp. | 3,658 | 24 |
* | Renewable Energy Group Inc. | 1,486 | 23 |
* | Amyris Inc. | 8,896 | 23 |
* | Matrix Service Co. | 1,434 | 22 |
* | Sanchez Energy Corp. | 626 | 15 |
* | Quicksilver Resources Inc. | 7,147 | 12 |
* | Apco Oil and Gas International Inc. | 490 | 7 |
Nuverra Environmental Solutions Inc. | 2,565 | 6 | |
* | REX American Resources Corp. | 172 | 5 |
* | ZaZa Energy Corp. | 4,626 | 4 |
Adams Resources & Energy Inc. | 42 | 3 | |
* | Global Geophysical Services Inc. | 657 | 2 |
* | Magnum Hunter Resources Corp. Warrants Exp. 10/14/2013 | 807 | — |
10,614 | |||
Financial Services (9.1%) | |||
* | WEX Inc. | 13,142 | 1,052 |
61
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Portfolio Recovery Associates Inc. | 17,177 | 911 |
Financial Engines Inc. | 16,565 | 885 |
* Zillow Inc. Class A | 7,893 | 761 |
MarketAxess Holdings Inc. | 12,704 | 645 |
Sovran Self Storage Inc. | 9,680 | 641 |
Fair Isaac Corp. | 12,188 | 610 |
* Euronet Worldwide Inc. | 16,936 | 582 |
* First Cash Financial Services Inc. | 9,916 | 548 |
EastGroup Properties Inc. | 9,623 | 541 |
Potlatch Corp. | 13,757 | 530 |
* Cardtronics Inc. | 15,242 | 529 |
Sun Communities Inc. | 12,183 | 523 |
Evercore Partners Inc. Class A | 10,743 | 479 |
National Health Investors Inc. | 8,359 | 459 |
Heartland Payment Systems Inc. | 12,344 | 456 |
Greenhill & Co. Inc. | 9,577 | 454 |
PS Business Parks Inc. | 6,202 | 451 |
* MGIC Investment Corp. | 60,589 | 437 |
Glimcher Realty Trust | 44,039 | 436 |
* Strategic Hotels & Resorts Inc. | 51,805 | 420 |
First Financial Bankshares Inc. | 7,275 | 418 |
* WisdomTree Investments Inc. | 34,132 | 382 |
LTC Properties Inc. | 10,222 | 362 |
* Virtus Investment Partners Inc. | 1,969 | 343 |
Bank of the Ozarks Inc. | 7,534 | 342 |
Geo Group Inc. | 10,631 | 332 |
Ryman Hospitality Properties Inc. | 9,713 | 321 |
Highwoods Properties Inc. | 9,404 | 318 |
Amtrust Financial Services Inc. | 8,504 | 304 |
Advent Software Inc. | 11,092 | 299 |
Healthcare Realty Trust Inc. | 12,670 | 285 |
* Encore Capital Group Inc. | 6,636 | 284 |
* World Acceptance Corp. | 3,159 | 271 |
* BofI Holding Inc. | 4,110 | 266 |
* Credit Acceptance Corp. | 2,415 | 260 |
Inland Real Estate Corp. | 24,956 | 245 |
BGC Partners Inc. Class A | 43,168 | 241 |
EVERTEC Inc. | 10,025 | 239 |
FXCM Inc. Class A | 12,429 | 236 |
HFF Inc. Class A | 9,512 | 219 |
Radian Group Inc. | 16,035 | 217 |
CoreSite Realty Corp. | 7,049 | 214 |
DuPont Fabros Technology Inc. | 9,225 | 210 |
Cohen & Steers Inc. | 6,394 | 199 |
Alexander's Inc. | 714 | 196 |
Employers Holdings Inc. | 7,351 | 195 |
Cass Information Systems Inc. | 3,500 | 184 |
* eHealth Inc. | 6,238 | 173 |
Universal Health Realty Income Trust | 4,044 | 162 |
Washington REIT | 6,327 | 154 |
* Enstar Group Ltd. | 1,140 | 154 |
* Tejon Ranch Co. | 4,341 | 129 |
Argo Group International Holdings Ltd. | 3,085 | 126 |
Urstadt Biddle Properties Inc. Class A | 6,327 | 124 |
American Realty Capital Properties Inc. | 8,792 | 118 |
GAMCO Investors Inc. | 2,048 | 118 |
Infinity Property & Casualty Corp. | 1,927 | 117 |
Saul Centers Inc. | 2,668 | 116 |
Sabra Health Care REIT Inc. | 5,226 | 116 |
Westwood Holdings Group Inc. | 2,370 | 113 |
HCI Group Inc. | 3,155 | 110 |
Diamond Hill Investment Group Inc. | 960 | 105 |
Home BancShares Inc. | 4,061 | 103 |
Blackhawk Network Holdings Inc. | 3,925 | 96 |
62
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* KCG Holdings Inc. Class A | 10,469 | 91 |
Acadia Realty Trust | 3,414 | 80 |
* Higher One Holdings Inc. | 10,623 | 79 |
Oritani Financial Corp. | 4,780 | 74 |
* Ambac Financial Group Inc. | 3,156 | 70 |
* Xoom Corp. | 2,485 | 67 |
* Greenlight Capital Re Ltd. Class A | 2,339 | 63 |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 5,007 | 59 |
* Ladenburg Thalmann Financial Services Inc. | 35,186 | 59 |
Northfield Bancorp Inc. | 4,492 | 54 |
* Roma Financial Corp. | 2,252 | 40 |
* MoneyGram International Inc. | 1,803 | 37 |
* Planet Payment Inc. | 14,398 | 35 |
American Equity Investment Life Holding Co. | 1,652 | 33 |
Kennedy-Wilson Holdings Inc. | 1,725 | 32 |
Tree.com Inc. | 1,262 | 32 |
* INTL. FCStone Inc. | 1,506 | 29 |
Maiden Holdings Ltd. | 2,198 | 29 |
ZAIS Financial Corp. | 1,744 | 27 |
* Forestar Group Inc. | 1,340 | 27 |
* Regional Management Corp. | 927 | 25 |
Pzena Investment Management Inc. Class A | 3,852 | 25 |
Main Street Capital Corp. | 860 | 25 |
Crawford & Co. Class B | 3,298 | 25 |
Tower Group International Ltd. | 1,460 | 21 |
* Consumer Portfolio Services Inc. | 3,285 | 19 |
United Fire Group Inc. | 581 | 17 |
* Health Insurance Innovations Inc. Class A | 1,565 | 17 |
National Interstate Corp. | 616 | 15 |
Investors Real Estate Trust | 1,884 | 15 |
Aviv REIT Inc. | 394 | 9 |
Winthrop Realty Trust | 691 | 8 |
Eastern Insurance Holdings Inc. | 407 | 8 |
UMH Properties Inc. | 785 | 8 |
* American Safety Insurance Holdings Ltd. | 246 | 7 |
Universal Insurance Holdings Inc. | 946 | 7 |
Meadowbrook Insurance Group Inc. | 965 | 6 |
Penns Woods Bancorp Inc. | 100 | 5 |
* Meridian Interstate Bancorp Inc. | 219 | 4 |
* First Federal Bancshares of Arkansas Inc. | 367 | 3 |
* Hallmark Financial Services Inc. | 314 | 3 |
* Tejon Ranch Co. Warrants Exp. 08/31/2016 | 617 | 2 |
* Cascade Bancorp | 184 | 1 |
23,158 | ||
Health Care (21.1%) | ||
* athenahealth Inc. | 12,445 | 1,313 |
Questcor Pharmaceuticals Inc. | 17,574 | 1,172 |
* Align Technology Inc. | 24,773 | 1,079 |
* Centene Corp. | 18,434 | 1,053 |
* Isis Pharmaceuticals Inc. | 38,043 | 983 |
* Alnylam Pharmaceuticals Inc. | 18,564 | 962 |
* Team Health Holdings Inc. | 23,266 | 894 |
* PAREXEL International Corp. | 19,256 | 894 |
West Pharmaceutical Services Inc. | 11,714 | 866 |
* Aegerion Pharmaceuticals Inc. | 9,761 | 846 |
STERIS Corp. | 19,966 | 816 |
* Cepheid Inc. | 22,730 | 813 |
* Medidata Solutions Inc. | 9,006 | 805 |
* HealthSouth Corp. | 24,729 | 778 |
* HMS Holdings Corp. | 29,708 | 742 |
* Thoratec Corp. | 19,419 | 694 |
* Haemonetics Corp. | 17,301 | 689 |
* Medicines Co. | 21,428 | 677 |
* ViroPharma Inc. | 22,122 | 667 |
63
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | MWI Veterinary Supply Inc. | 4,336 | 659 |
* | DexCom Inc. | 23,947 | 648 |
* | Insulet Corp. | 18,155 | 605 |
*,^ | Opko Health Inc. | 63,951 | 591 |
* | Prestige Brands Holdings Inc. | 17,378 | 564 |
* | Celldex Therapeutics Inc. | 25,691 | 558 |
* | NPS Pharmaceuticals Inc. | 21,920 | 550 |
Air Methods Corp. | 13,211 | 541 | |
* | Cyberonics Inc. | 9,390 | 478 |
* | Acorda Therapeutics Inc. | 13,783 | 466 |
* | MedAssets Inc. | 20,699 | 464 |
* | Acadia Healthcare Co. Inc. | 12,034 | 461 |
* | ACADIA Pharmaceuticals Inc. | 22,500 | 449 |
Chemed Corp. | 6,411 | 446 | |
* | Neogen Corp. | 8,128 | 440 |
* | HeartWare International Inc. | 5,554 | 437 |
* | Vivus Inc. | 34,203 | 429 |
* | Santarus Inc. | 18,829 | 424 |
* | Arena Pharmaceuticals Inc. | 65,188 | 418 |
Masimo Corp. | 16,551 | 409 | |
* | Volcano Corp. | 18,531 | 397 |
* | Sarepta Therapeutics Inc. | 11,357 | 388 |
* | Puma Biotechnology Inc. | 7,526 | 381 |
PDL BioPharma Inc. | 47,566 | 378 | |
* | WebMD Health Corp. | 11,925 | 375 |
* | Ironwood Pharmaceuticals Inc. Class A | 31,616 | 368 |
* | InterMune Inc. | 25,763 | 368 |
* | Akorn Inc. | 19,776 | 355 |
* | ImmunoGen Inc. | 22,001 | 352 |
* | Clovis Oncology Inc. | 5,409 | 349 |
* | Pacira Pharmaceuticals Inc. | 9,364 | 339 |
* | Endologix Inc. | 21,337 | 338 |
* | Neurocrine Biosciences Inc. | 22,673 | 330 |
* | Nektar Therapeutics | 27,116 | 330 |
* | Globus Medical Inc. | 18,560 | 327 |
* | Molina Healthcare Inc. | 9,629 | 322 |
Meridian Bioscience Inc. | 14,089 | 317 | |
* | Exelixis Inc. | 62,449 | 313 |
* | ABIOMED Inc. | 13,161 | 310 |
* | Infinity Pharmaceuticals Inc. | 16,267 | 301 |
* | Emeritus Corp. | 13,694 | 299 |
Abaxis Inc. | 7,510 | 294 | |
* | IPC The Hospitalist Co. Inc. | 5,697 | 293 |
* | MannKind Corp. | 50,538 | 293 |
* | Auxilium Pharmaceuticals Inc. | 16,753 | 292 |
* | Ligand Pharmaceuticals Inc. Class B | 6,053 | 291 |
Cantel Medical Corp. | 11,137 | 288 | |
* | ICU Medical Inc. | 3,991 | 285 |
Quality Systems Inc. | 13,559 | 281 | |
* | Exact Sciences Corp. | 23,926 | 277 |
* | Raptor Pharmaceutical Corp. | 20,208 | 274 |
* | Synageva BioPharma Corp. | 5,805 | 272 |
* | Luminex Corp. | 12,691 | 258 |
* | Quidel Corp. | 9,542 | 253 |
* | AVANIR Pharmaceuticals Inc. | 49,303 | 251 |
* | Halozyme Therapeutics Inc. | 30,184 | 251 |
* | NxStage Medical Inc. | 20,297 | 251 |
* | ArthroCare Corp. | 7,847 | 249 |
Ensign Group Inc. | 6,276 | 243 | |
* | ExamWorks Group Inc. | 10,282 | 242 |
* | Bio-Reference Labs Inc. | 8,309 | 240 |
* | Keryx Biopharmaceuticals Inc. | 27,765 | 237 |
* | Array BioPharma Inc. | 39,676 | 223 |
* | Orexigen Therapeutics Inc. | 32,156 | 221 |
64
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Spectranetics Corp. | 13,710 | 216 |
* | MAKO Surgical Corp. | 14,289 | 214 |
* | AMN Healthcare Services Inc. | 15,642 | 213 |
* | Achillion Pharmaceuticals Inc. | 32,807 | 212 |
* | Vanguard Health Systems Inc. | 9,908 | 208 |
* | Optimer Pharmaceuticals Inc. | 16,554 | 207 |
Computer Programs & Systems Inc. | 3,765 | 207 | |
* | Capital Senior Living Corp. | 9,734 | 203 |
* | Momenta Pharmaceuticals Inc. | 13,412 | 189 |
* | Accretive Health Inc. | 19,978 | 187 |
* | Sangamo Biosciences Inc. | 18,262 | 180 |
* | Genomic Health Inc. | 5,684 | 179 |
* | Lexicon Pharmaceuticals Inc. | 71,829 | 179 |
* | Insmed Inc. | 11,753 | 179 |
* | Fluidigm Corp. | 8,638 | 177 |
* | MiMedx Group Inc. | 28,612 | 177 |
* | AMAG Pharmaceuticals Inc. | 7,331 | 173 |
* | Trius Therapeutics Inc. | 12,648 | 173 |
* | Antares Pharma Inc. | 38,301 | 169 |
* | Accuray Inc. | 25,182 | 167 |
* | Dyax Corp. | 37,096 | 166 |
* | Repros Therapeutics Inc. | 7,800 | 165 |
* | TESARO Inc. | 4,546 | 157 |
* | Hanger Inc. | 5,101 | 157 |
Owens & Minor Inc. | 4,562 | 156 | |
Landauer Inc. | 3,237 | 154 | |
* | Dendreon Corp. | 53,547 | 152 |
* | Integra LifeSciences Holdings Corp. | 3,697 | 150 |
* | Endocyte Inc. | 10,352 | 149 |
* | Staar Surgical Co. | 11,649 | 148 |
* | Cardiovascular Systems Inc. | 7,108 | 146 |
* | Healthways Inc. | 7,623 | 145 |
* | Novavax Inc. | 45,871 | 144 |
* | Omnicell Inc. | 6,638 | 144 |
* | Idenix Pharmaceuticals Inc. | 29,832 | 143 |
* | Immunomedics Inc. | 23,513 | 140 |
* | GenMark Diagnostics Inc. | 12,142 | 140 |
Analogic Corp. | 1,863 | 139 | |
* | Depomed Inc. | 19,198 | 138 |
* | TearLab Corp. | 9,831 | 129 |
* | Vanda Pharmaceuticals Inc. | 11,234 | 128 |
* | Corvel Corp. | 3,876 | 128 |
Atrion Corp. | 532 | 127 | |
* | Sagent Pharmaceuticals Inc. | 5,670 | 125 |
* | Cerus Corp. | 23,687 | 124 |
* | Gentiva Health Services Inc. | 10,639 | 122 |
* | Synergy Pharmaceuticals Inc. | 27,371 | 122 |
* | Amsurg Corp. Class A | 3,174 | 118 |
* | Sequenom Inc. | 39,124 | 114 |
* | Cadence Pharmaceuticals Inc. | 20,959 | 114 |
US Physical Therapy Inc. | 4,101 | 113 | |
Intercept Pharmaceuticals Inc. | 2,428 | 111 | |
* | Merrimack Pharmaceuticals Inc. | 32,830 | 111 |
Stemline Therapeutics Inc. | 3,109 | 108 | |
*,^ | Unilife Corp. | 31,130 | 107 |
* | Repligen Corp. | 10,692 | 104 |
* | Navidea Biopharmaceuticals Inc. | 34,653 | 102 |
* | NewLink Genetics Corp. | 5,760 | 100 |
* | Osiris Therapeutics Inc. | 5,650 | 99 |
* | SurModics Inc. | 4,945 | 98 |
* | Providence Service Corp. | 3,620 | 97 |
* | XOMA Corp. | 20,614 | 96 |
* | KYTHERA Biopharmaceuticals Inc. | 3,455 | 91 |
* | Progenics Pharmaceuticals Inc. | 16,270 | 90 |
65
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Curis Inc. | 20,288 | 89 |
* | Vascular Solutions Inc. | 5,592 | 88 |
* | Anacor Pharmaceuticals Inc. | 8,610 | 87 |
* | Furiex Pharmaceuticals Inc. | 2,252 | 87 |
* | Verastem Inc. | 5,916 | 81 |
* | Synta Pharmaceuticals Corp. | 13,780 | 81 |
* | Natus Medical Inc. | 6,043 | 79 |
* | AcelRx Pharmaceuticals Inc. | 7,976 | 79 |
Cytokinetics Inc. | 7,208 | 75 | |
* | NuVasive Inc. | 3,207 | 75 |
* | Portola Pharmaceuticals Inc. | 3,281 | 74 |
* | Lannett Co. Inc. | 5,548 | 74 |
* | Sciclone Pharmaceuticals Inc. | 13,432 | 71 |
* | Peregrine Pharmaceuticals Inc. | 51,353 | 70 |
* | Hyperion Therapeutics Inc. | 2,853 | 70 |
* | Threshold Pharmaceuticals Inc. | 15,951 | 69 |
* | Dynavax Technologies Corp. | 54,621 | 69 |
* | Coronado Biosciences Inc. | 8,498 | 69 |
*,^ | ZIOPHARM Oncology Inc. | 22,809 | 68 |
* | Chelsea Therapeutics International Ltd. | 22,793 | 68 |
* | ChemoCentryx Inc. | 8,328 | 67 |
* | Cambrex Corp. | 4,949 | 67 |
* | Ampio Pharmaceuticals Inc. | 9,394 | 67 |
* | Greenway Medical Technologies | 4,909 | 67 |
*,^ | Galena Biopharma Inc. | 28,390 | 63 |
* | AtriCure Inc. | 7,148 | 63 |
* | Cempra Inc. | 6,692 | 60 |
* | Merge Healthcare Inc. | 22,118 | 59 |
Utah Medical Products Inc. | 1,131 | 57 | |
Hi-Tech Pharmacal Co. Inc. | 1,315 | 57 | |
Epizyme Inc. | 2,017 | 56 | |
* | BioScrip Inc. | 4,539 | 55 |
* | Anika Therapeutics Inc. | 2,342 | 54 |
* | BioDelivery Sciences International Inc. | 10,165 | 53 |
* | TherapeuticsMD Inc. | 25,542 | 53 |
* | Sunesis Pharmaceuticals Inc. | 11,020 | 53 |
* | Arqule Inc. | 18,816 | 52 |
* | Cynosure Inc. Class A | 2,259 | 52 |
* | Omeros Corp. | 10,186 | 51 |
* | Insys Therapeutics Inc. | 1,719 | 48 |
* | Rochester Medical Corp. | 3,674 | 48 |
* | Biotime Inc. | 12,548 | 47 |
* | Zeltiq Aesthetics Inc. | 5,824 | 47 |
Chimerix Inc. | 2,876 | 45 | |
* | OncoGenex Pharmaceutical Inc. | 5,024 | 45 |
* | Cell Therapeutics Inc. | 38,153 | 42 |
* | SIGA Technologies Inc. | 11,792 | 42 |
* | Zogenix Inc. | 24,029 | 41 |
* | Durata Therapeutics Inc. | 4,371 | 37 |
* | OvaScience Inc. | 3,046 | 35 |
* | Cytori Therapeutics Inc. | 16,648 | 35 |
Accelerate Diagnostics Inc. | 3,526 | 34 | |
* | Supernus Pharmaceuticals Inc. | 5,054 | 33 |
Tetraphase Pharmaceuticals Inc. | 3,909 | 33 | |
Regulus Therapeutics Inc. | 3,415 | 32 | |
^ | Fibrocell Science Inc. | 5,723 | 31 |
* | Receptos Inc. | 1,955 | 31 |
* | TG Therapeutics Inc. | 5,049 | 30 |
* | Astex Pharmaceuticals | 4,625 | 30 |
* | Corcept Therapeutics Inc. | 18,009 | 30 |
* | Nanosphere Inc. | 14,225 | 30 |
* | Skilled Healthcare Group Inc. | 6,152 | 30 |
* | Vical Inc. | 22,262 | 29 |
* | Emergent Biosolutions Inc. | 1,620 | 28 |
66
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sucampo Pharmaceuticals Inc. Class A | 4,649 | 28 |
* | Amicus Therapeutics Inc. | 10,318 | 25 |
MEI Pharma Inc. | 3,261 | 24 | |
NeoGenomics Inc. | 11,140 | 24 | |
Enanta Pharmaceuticals Inc. | 1,236 | 23 | |
* | Horizon Pharma Inc. | 8,714 | 22 |
* | Alimera Sciences Inc. | 5,754 | 21 |
Alliance HealthCare Services Inc. | 664 | 16 | |
KaloBios Pharmaceuticals Inc. | 2,824 | 16 | |
* | Biolase Inc. | 8,868 | 15 |
* | Chindex International Inc. | 885 | 15 |
* | National Research Corp. Class A | 886 | 15 |
* | GTx Inc. | 8,338 | 13 |
* | National Research Corp. Class B | 425 | 12 |
* | Exactech Inc. | 624 | 12 |
*,^ | Rockwell Medical Inc. | 2,145 | 12 |
* | XenoPort Inc. | 2,192 | 11 |
* | Medical Action Industries Inc. | 1,967 | 10 |
* | Triple-S Management Corp. Class B | 450 | 8 |
CryoLife Inc. | 746 | 5 | |
* | Addus HomeCare Corp. | 203 | 4 |
* | Harvard Bioscience Inc. | 550 | 3 |
53,372 | |||
Materials & Processing (8.6%) | |||
Acuity Brands Inc. | 14,509 | 1,241 | |
PolyOne Corp. | 33,658 | 909 | |
CLARCOR Inc. | 16,829 | 901 | |
Watsco Inc. | 8,699 | 781 | |
Belden Inc. | 13,214 | 749 | |
* | Chemtura Corp. | 33,299 | 730 |
* | Polypore International Inc. | 15,801 | 675 |
HB Fuller Co. | 17,041 | 635 | |
* | USG Corp. | 26,048 | 608 |
* | Beacon Roofing Supply Inc. | 16,541 | 601 |
Worthington Industries Inc. | 17,964 | 599 | |
* | Graphic Packaging Holding Co. | 71,327 | 593 |
KapStone Paper and Packaging Corp. | 13,874 | 583 | |
* | Louisiana-Pacific Corp. | 34,282 | 513 |
Mueller Industries Inc. | 9,553 | 511 | |
Balchem Corp. | 10,083 | 483 | |
* | RBC Bearings Inc. | 7,812 | 467 |
Schweitzer-Mauduit International Inc. | 7,708 | 441 | |
Berry Plastics Group Inc. | 18,812 | 433 | |
Olin Corp. | 18,143 | 419 | |
Mueller Water Products Inc. Class A | 53,640 | 405 | |
* | Texas Industries Inc. | 6,891 | 405 |
Innophos Holdings Inc. | 7,460 | 365 | |
Interface Inc. Class A | 20,157 | 356 | |
PH Glatfelter Co. | 13,008 | 333 | |
* | Calgon Carbon Corp. | 18,379 | 316 |
Innospec Inc. | 7,554 | 309 | |
* | Cabot Microelectronics Corp. | 7,907 | 286 |
* | Clearwater Paper Corp. | 5,930 | 283 |
Koppers Holdings Inc. | 7,039 | 273 | |
* | Trex Co. Inc. | 5,839 | 258 |
American Vanguard Corp. | 9,725 | 244 | |
Deltic Timber Corp. | 3,784 | 228 | |
AAON Inc. | 9,537 | 222 | |
Stepan Co. | 3,818 | 215 | |
* | Headwaters Inc. | 24,832 | 213 |
* | Nortek Inc. | 3,060 | 205 |
* | Rexnord Corp. | 10,292 | 198 |
Apogee Enterprises Inc. | 6,953 | 194 | |
* | Coeur Mining Inc. | 12,929 | 187 |
67
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Ferro Corp. | 24,612 | 181 |
Wausau Paper Corp. | 15,930 | 175 |
US Silica Holdings Inc. | 7,287 | 171 |
Rentech Inc. | 76,750 | 148 |
* OMNOVA Solutions Inc. | 15,898 | 123 |
AMCOL International Corp. | 3,633 | 120 |
Hawkins Inc. | 3,201 | 119 |
* Landec Corp. | 8,810 | 116 |
* AEP Industries Inc. | 1,483 | 116 |
* PGT Inc. | 11,272 | 115 |
Materion Corp. | 3,671 | 108 |
* LSB Industries Inc. | 3,561 | 107 |
* American Pacific Corp. | 2,008 | 98 |
* Boise Cascade Co. | 4,172 | 96 |
Taminco Corp. | 4,783 | 94 |
Gold Resource Corp. | 11,234 | 94 |
* US Concrete Inc. | 4,793 | 94 |
Insteel Industries Inc. | 5,764 | 92 |
* Builders FirstSource Inc. | 15,130 | 86 |
* Ply Gem Holdings Inc. | 4,788 | 73 |
Quaker Chemical Corp. | 1,094 | 73 |
* Paramount Gold and Silver Corp. | 46,990 | 71 |
* NCI Building Systems Inc. | 5,890 | 71 |
Tredegar Corp. | 3,061 | 68 |
* Uranium Energy Corp. | 29,048 | 68 |
* Patrick Industries Inc. | 2,266 | 61 |
Hecla Mining Co. | 16,171 | 55 |
KMG Chemicals Inc. | 2,267 | 53 |
Comfort Systems USA Inc. | 3,262 | 49 |
Culp Inc. | 2,428 | 47 |
Zep Inc. | 2,918 | 41 |
TMS International Corp. Class A | 2,277 | 40 |
* United States Lime & Minerals Inc. | 618 | 36 |
Simpson Manufacturing Co. Inc. | 1,127 | 35 |
* Midway Gold Corp. | 34,092 | 35 |
* Handy & Harman Ltd. | 1,629 | 34 |
Encore Wire Corp. | 869 | 33 |
FutureFuel Corp. | 1,778 | 29 |
Aceto Corp. | 1,859 | 27 |
Myers Industries Inc. | 1,272 | 24 |
Neenah Paper Inc. | 568 | 21 |
Chase Corp. | 697 | 21 |
Olympic Steel Inc. | 794 | 21 |
* OM Group Inc. | 706 | 20 |
* BlueLinx Holdings Inc. | 11,466 | 19 |
Omega Flex Inc. | 935 | 17 |
Globe Specialty Metals Inc. | 1,224 | 16 |
Oil-Dri Corp. of America | 413 | 13 |
Global Brass & Copper Holdings Inc. | 611 | 12 |
Schnitzer Steel Industries Inc. | 472 | 12 |
* Ur-Energy Inc. | 8,280 | 9 |
* Penford Corp. | 532 | 7 |
21,831 | ||
Other (0.1%) | ||
Gogo Inc. | 3,250 | 37 |
* NRG Yield Inc. Class A | 1,011 | 28 |
Gigamon Inc. | 750 | 25 |
Bluebird Bio Inc. | 950 | 24 |
* Frank's International NV | 819 | 23 |
Athlon Energy Inc. | 761 | 21 |
* Tremor Video Inc. | 2,523 | 20 |
Envision Healthcare Holdings Inc. | 724 | 19 |
Noodles & Co. | 369 | 17 |
Agios Pharmaceuticals Inc. | 668 | 16 |
68
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Cellular Dynamics International Inc. | 750 | 10 |
Onconova Therapeutics Inc. | 333 | 8 |
Cvent Inc. | 132 | 5 |
OncoMed Pharmaceuticals Inc. | 145 | 2 |
* Omthera Pharmaceuticals Inc. CVR | 2,001 | 1 |
* Unwired Planet Inc Rights Exp. 09/09/2013 | 25,250 | — |
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 367 | — |
256 | ||
Producer Durables (13.9%) | ||
* CoStar Group Inc. | 9,667 | 1,436 |
* Middleby Corp. | 6,366 | 1,184 |
* Chart Industries Inc. | 10,269 | 1,172 |
HEICO Corp. | 17,977 | 1,124 |
Woodward Inc. | 23,290 | 898 |
MAXIMUS Inc. | 23,138 | 868 |
Corporate Executive Board Co. | 11,385 | 738 |
Generac Holdings Inc. | 17,459 | 691 |
* Advisory Board Co. | 12,024 | 659 |
* MasTec Inc. | 20,185 | 642 |
* Spirit Airlines Inc. | 20,486 | 639 |
Applied Industrial Technologies Inc. | 13,173 | 627 |
Healthcare Services Group Inc. | 23,248 | 563 |
Franklin Electric Co. Inc. | 15,273 | 549 |
* Swift Transportation Co. | 28,485 | 512 |
Herman Miller Inc. | 19,917 | 507 |
Littelfuse Inc. | 6,783 | 500 |
HNI Corp. | 14,612 | 489 |
Allegiant Travel Co. Class A | 5,093 | 481 |
* Trimas Corp. | 13,487 | 474 |
* On Assignment Inc. | 15,538 | 469 |
* Hub Group Inc. Class A | 12,567 | 467 |
Mine Safety Appliances Co. | 9,618 | 463 |
* OSI Systems Inc. | 6,273 | 456 |
Deluxe Corp. | 11,233 | 442 |
* US Airways Group Inc. | 25,770 | 416 |
* Proto Labs Inc. | 5,799 | 412 |
Matson Inc. | 14,502 | 386 |
Forward Air Corp. | 10,255 | 378 |
UTi Worldwide Inc. | 21,982 | 363 |
Raven Industries Inc. | 12,355 | 361 |
* WageWorks Inc. | 8,480 | 354 |
* TrueBlue Inc. | 13,825 | 336 |
Lindsay Corp. | 4,368 | 332 |
AZZ Inc. | 8,655 | 325 |
Knight Transportation Inc. | 19,954 | 325 |
MTS Systems Corp. | 5,372 | 323 |
Tennant Co. | 6,252 | 321 |
* Teledyne Technologies Inc. | 3,949 | 305 |
* ExlService Holdings Inc. | 11,087 | 301 |
Brink's Co. | 11,553 | 298 |
Exponent Inc. | 4,480 | 292 |
EnerSys Inc. | 5,347 | 274 |
* Team Inc. | 6,996 | 273 |
Hyster-Yale Materials Handling Inc. | 3,578 | 271 |
Primoris Services Corp. | 11,988 | 269 |
UniFirst Corp. | 2,751 | 264 |
* ServiceSource International Inc. | 20,750 | 251 |
* Liquidity Services Inc. | 8,444 | 250 |
* Electronics For Imaging Inc. | 8,470 | 248 |
* Saia Inc. | 8,250 | 248 |
* Federal Signal Corp. | 21,213 | 248 |
Insperity Inc. | 7,631 | 243 |
H&E Equipment Services Inc. | 10,092 | 243 |
* GenCorp Inc. | 16,075 | 242 |
69
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
TAL International Group Inc. | 5,382 | 230 |
* Advanced Energy Industries Inc. | 12,512 | 228 |
Altra Holdings Inc. | 9,174 | 228 |
Titan International Inc. | 13,803 | 224 |
Sun Hydraulics Corp. | 7,292 | 223 |
Badger Meter Inc. | 4,880 | 220 |
* DXP Enterprises Inc. | 3,220 | 219 |
* Measurement Specialties Inc. | 4,611 | 218 |
* Darling International Inc. | 10,763 | 218 |
John Bean Technologies Corp. | 9,829 | 215 |
Kaman Corp. | 5,971 | 210 |
* Taser International Inc. | 17,400 | 203 |
* EnPro Industries Inc. | 3,505 | 200 |
* FARO Technologies Inc. | 5,285 | 196 |
* Blount International Inc. | 16,724 | 194 |
* Thermon Group Holdings Inc. | 9,211 | 191 |
* Astronics Corp. | 3,842 | 179 |
US Ecology Inc. | 6,256 | 176 |
Knoll Inc. | 11,067 | 169 |
Heartland Express Inc. | 11,870 | 165 |
* InnerWorkings Inc. | 15,063 | 155 |
Aircastle Ltd. | 9,490 | 155 |
Barrett Business Services Inc. | 2,394 | 154 |
Forrester Research Inc. | 4,267 | 141 |
McGrath RentCorp | 4,134 | 137 |
Kforce Inc. | 8,371 | 136 |
* Advanced Emissions Solutions Inc. | 3,420 | 134 |
* Echo Global Logistics Inc. | 6,052 | 131 |
Gorman-Rupp Co. | 3,663 | 128 |
* GP Strategies Corp. | 4,988 | 126 |
* ExOne Co. | 1,782 | 122 |
Graham Corp. | 3,399 | 117 |
* Dice Holdings Inc. | 13,794 | 115 |
* Rush Enterprises Inc. Class A | 4,361 | 109 |
* TeleTech Holdings Inc. | 4,402 | 108 |
* Dycom Industries Inc. | 4,175 | 106 |
* Park-Ohio Holdings Corp. | 2,952 | 102 |
Werner Enterprises Inc. | 4,405 | 101 |
* Mistras Group Inc. | 5,422 | 99 |
Douglas Dynamics Inc. | 6,955 | 98 |
* Republic Airways Holdings Inc. | 8,711 | 97 |
* Maxwell Technologies Inc. | 9,916 | 88 |
* Roadrunner Transportation Systems Inc. | 3,108 | 84 |
Textainer Group Holdings Ltd. | 2,417 | 84 |
* Performant Financial Corp. | 7,568 | 82 |
Multi-Color Corp. | 2,524 | 79 |
ESCO Technologies Inc. | 2,543 | 78 |
* Standard Parking Corp. | 3,393 | 75 |
* Moog Inc. Class A | 1,417 | 72 |
* Odyssey Marine Exploration Inc. | 24,847 | 72 |
* Furmanite Corp. | 7,915 | 71 |
* Accuride Corp. | 12,746 | 67 |
* AT Cross Co. Class A | 3,016 | 64 |
* Casella Waste Systems Inc. Class A | 11,894 | 63 |
* XPO Logistics Inc. | 2,675 | 61 |
Coleman Cable Inc. | 3,090 | 59 |
Mesa Laboratories Inc. | 900 | 59 |
* Wesco Aircraft Holdings Inc. | 3,022 | 58 |
G&K Services Inc. Class A | 1,117 | 57 |
Electro Rent Corp. | 3,317 | 56 |
* Huron Consulting Group Inc. | 1,044 | 50 |
Steelcase Inc. Class A | 3,279 | 48 |
Albany International Corp. | 1,447 | 47 |
* CAI International Inc. | 2,115 | 46 |
70
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Ascent Capital Group Inc. Class A | 625 | 46 |
Universal Truckload Services Inc. | 1,820 | 46 |
* National Technical Systems Inc. | 1,985 | 45 |
Standex International Corp. | 848 | 45 |
* Manitex International Inc. | 4,166 | 42 |
* Commercial Vehicle Group Inc. | 5,769 | 40 |
* Xerium Technologies Inc. | 3,734 | 40 |
* Heritage-Crystal Clean Inc. | 2,646 | 40 |
* Mobile Mini Inc. | 1,291 | 39 |
* Tetra Tech Inc. | 1,709 | 39 |
Power Solutions International Inc. | 737 | 39 |
General Cable Corp. | 1,266 | 39 |
Ceco Environmental Corp. | 2,877 | 38 |
Watts Water Technologies Inc. Class A | 726 | 38 |
* Aegion Corp. Class A | 1,576 | 34 |
* Energy Recovery Inc. | 6,478 | 33 |
Houston Wire & Cable Co. | 1,951 | 24 |
* RPX Corp. | 1,528 | 24 |
Cubic Corp. | 465 | 23 |
* Quality Distribution Inc. | 2,405 | 22 |
* Columbus McKinnon Corp. | 947 | 20 |
CIRCOR International Inc. | 346 | 20 |
* Astronics Corp. Class B | 425 | 20 |
* Wabash National Corp. | 1,859 | 19 |
Hackett Group Inc. | 2,661 | 17 |
* Erickson Air-Crane Inc. | 898 | 14 |
* YRC Worldwide Inc. | 731 | 12 |
Great Lakes Dredge & Dock Corp. | 1,813 | 12 |
SkyWest Inc. | 896 | 12 |
* Flow International Corp. | 2,975 | 10 |
* PHI Inc. | 264 | 9 |
Celadon Group Inc. | 476 | 9 |
* Pacer International Inc. | 1,139 | 7 |
Mac-Gray Corp. | 483 | 7 |
Preformed Line Products Co. | 76 | 5 |
* Global Sources Ltd. | 790 | 5 |
* Sterling Construction Co. Inc. | 468 | 5 |
* LMI Aerospace Inc. | 345 | 4 |
Met-Pro Corp. | 294 | 4 |
35,346 | ||
Technology (18.8%) | ||
* CommVault Systems Inc. | 15,744 | 1,320 |
* Ultimate Software Group Inc. | 9,364 | 1,313 |
FEI Co. | 14,141 | 1,107 |
* PTC Inc. | 40,519 | 1,056 |
* Aspen Technology Inc. | 29,932 | 1,001 |
* QLIK Technologies Inc. | 29,476 | 966 |
* ViaSat Inc. | 13,401 | 854 |
Cognex Corp. | 14,718 | 839 |
* Sourcefire Inc. | 10,551 | 796 |
* Tyler Technologies Inc. | 10,671 | 788 |
* Cornerstone OnDemand Inc. | 13,673 | 704 |
* SS&C Technologies Holdings Inc. | 19,732 | 698 |
* Semtech Corp. | 22,817 | 678 |
* Cavium Inc. | 17,389 | 660 |
* ACI Worldwide Inc. | 13,498 | 657 |
* Hittite Microwave Corp. | 10,678 | 653 |
* Guidewire Software Inc. | 14,204 | 653 |
* Aruba Networks Inc. | 38,596 | 642 |
* Microsemi Corp. | 24,561 | 632 |
* Infoblox Inc. | 17,014 | 594 |
* Verint Systems Inc. | 17,902 | 593 |
Plantronics Inc. | 13,516 | 584 |
SunEdison Inc. | 78,762 | 580 |
71
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Manhattan Associates Inc. | 6,613 | 579 |
* | OpenTable Inc. | 7,741 | 577 |
Cypress Semiconductor Corp. | 49,959 | 566 | |
* | Sapient Corp. | 37,495 | 561 |
Blackbaud Inc. | 15,510 | 559 | |
* | ARRIS Group Inc. | 34,914 | 547 |
* | Yelp Inc. | 10,113 | 526 |
* | Dealertrack Technologies Inc. | 13,151 | 521 |
Power Integrations Inc. | 9,847 | 513 | |
* | Ciena Corp. | 25,527 | 508 |
* | Take-Two Interactive Software Inc. | 27,515 | 505 |
InterDigital Inc. | 13,982 | 497 | |
NIC Inc. | 22,037 | 491 | |
* | Universal Display Corp. | 13,666 | 473 |
* | Anixter International Inc. | 5,369 | 449 |
* | Synaptics Inc. | 11,038 | 427 |
* | RF Micro Devices Inc. | 83,520 | 414 |
* | Web.com Group Inc. | 14,243 | 402 |
Coherent Inc. | 7,022 | 394 | |
* | Trulia Inc. | 9,407 | 391 |
Monolithic Power Systems Inc. | 12,496 | 383 | |
Syntel Inc. | 5,245 | 377 | |
* | Bottomline Technologies de Inc. | 12,852 | 350 |
* | comScore Inc. | 12,129 | 346 |
* | InvenSense Inc. | 19,286 | 345 |
* | Synchronoss Technologies Inc. | 9,897 | 340 |
Monotype Imaging Holdings Inc. | 12,988 | 334 | |
* | RealPage Inc. | 15,814 | 327 |
* | Infinera Corp. | 35,278 | 327 |
* | Imperva Inc. | 6,861 | 324 |
* | SPS Commerce Inc. | 5,102 | 318 |
ADTRAN Inc. | 13,091 | 316 | |
* | iRobot Corp. | 9,603 | 314 |
* | Interactive Intelligence Group Inc. | 5,263 | 310 |
* | Rambus Inc. | 37,932 | 310 |
* | BroadSoft Inc. | 9,527 | 307 |
* | Netscout Systems Inc. | 12,300 | 306 |
Loral Space & Communications Inc. | 4,425 | 293 | |
* | MicroStrategy Inc. Class A | 3,077 | 282 |
* | Ixia | 19,189 | 279 |
*,^ | VirnetX Holding Corp. | 14,340 | 277 |
* | iGATE Corp. | 11,834 | 276 |
* | FleetMatics Group plc | 5,554 | 275 |
* | Applied Micro Circuits Corp. | 24,766 | 266 |
* | Ultratech Inc. | 9,421 | 266 |
* | Ellie Mae Inc. | 8,940 | 260 |
* | PROS Holdings Inc. | 7,639 | 251 |
* | LogMeIn Inc. | 8,261 | 246 |
* | EPAM Systems Inc. | 7,427 | 237 |
* | Diodes Inc. | 9,523 | 237 |
* | Demandware Inc. | 5,464 | 230 |
* | Progress Software Corp. | 9,330 | 228 |
* | Comverse Inc. | 7,539 | 228 |
* | Tangoe Inc. | 10,525 | 219 |
Pegasystems Inc. | 5,910 | 218 | |
* | Proofpoint Inc. | 7,413 | 214 |
* | Envestnet Inc. | 7,673 | 212 |
* | Intermec Inc. | 20,549 | 203 |
* | Ruckus Wireless Inc. | 14,792 | 201 |
* | Cirrus Logic Inc. | 8,743 | 197 |
* | CalAmp Corp. | 11,910 | 195 |
* | Fusion-io Inc. | 18,113 | 194 |
* | PMC - Sierra Inc. | 29,670 | 185 |
* | Virtusa Corp. | 6,948 | 183 |
72
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* AVG Technologies NV | 8,133 | 176 |
* Blucora Inc. | 8,788 | 176 |
* LivePerson Inc. | 18,714 | 174 |
* PDF Solutions Inc. | 8,539 | 169 |
* Silicon Graphics International Corp. | 11,492 | 169 |
Methode Electronics Inc. | 7,064 | 169 |
* Cray Inc. | 6,894 | 169 |
* Jive Software Inc. | 13,451 | 167 |
* Responsys Inc. | 11,555 | 166 |
* SciQuest Inc. | 7,738 | 161 |
* Exar Corp. | 13,002 | 159 |
* Acxiom Corp. | 6,304 | 157 |
* Calix Inc. | 11,780 | 151 |
Ubiquiti Networks Inc. | 4,279 | 150 |
CSG Systems International Inc. | 6,310 | 149 |
Micrel Inc. | 15,820 | 146 |
* Silicon Image Inc. | 26,226 | 142 |
* DTS Inc. | 6,206 | 124 |
* Rogers Corp. | 2,239 | 124 |
* Integrated Device Technology Inc. | 13,122 | 114 |
* Immersion Corp. | 8,835 | 113 |
Acacia Research Corp. | 4,806 | 106 |
* Veeco Instruments Inc. | 2,985 | 105 |
* Actuate Corp. | 15,056 | 105 |
* E2open Inc. | 5,031 | 102 |
* Qualys Inc. | 5,077 | 101 |
* Parkervision Inc. | 30,078 | 100 |
* Peregrine Semiconductor Corp. | 9,014 | 99 |
* Callidus Software Inc. | 12,831 | 99 |
* Vocera Communications Inc. | 6,085 | 99 |
* Bazaarvoice Inc. | 9,103 | 97 |
Computer Task Group Inc. | 5,290 | 95 |
* Zix Corp. | 20,959 | 90 |
Ambarella Inc. | 6,267 | 90 |
* Brightcove Inc. | 9,526 | 89 |
Ebix Inc. | 7,764 | 88 |
* support.com Inc. | 17,025 | 87 |
* Datalink Corp. | 6,482 | 85 |
Marketo Inc. | 2,366 | 83 |
* NVE Corp. | 1,647 | 81 |
* PLX Technology Inc. | 14,368 | 78 |
* Millennial Media Inc. | 11,953 | 78 |
* Nanometrics Inc. | 5,332 | 76 |
* Travelzoo Inc. | 2,710 | 73 |
Alliance Fiber Optic Products Inc. | 1,922 | 71 |
* Entegris Inc. | 7,101 | 67 |
Uni-Pixel Inc. | 3,434 | 67 |
* MaxLinear Inc. | 7,857 | 66 |
American Software Inc. Class A | 8,187 | 66 |
* Lionbridge Technologies Inc. | 18,537 | 65 |
* Global Eagle Entertainment Inc. | 7,350 | 65 |
* Carbonite Inc. | 4,100 | 63 |
* ChannelAdvisor Corp. | 2,035 | 62 |
* Rally Software Development Corp. | 2,342 | 60 |
* eGain Corp. | 4,464 | 60 |
* Unwired Planet Inc. | 31,437 | 58 |
* KVH Industries Inc. | 4,485 | 57 |
* Neonode Inc. | 8,511 | 57 |
* M/A-COM Technology Solutions Holdings Inc. | 3,392 | 55 |
* MoSys Inc. | 14,045 | 51 |
* Lattice Semiconductor Corp. | 10,185 | 48 |
* Reis Inc. | 2,823 | 48 |
* KEYW Holding Corp. | 4,179 | 48 |
* Guidance Software Inc. | 5,684 | 48 |
73
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Glu Mobile Inc. | 18,186 | 44 |
* | Mitek Systems Inc. | 8,099 | 42 |
* | Inphi Corp. | 3,236 | 41 |
* | Marin Software Inc. | 3,114 | 41 |
* | Silver Spring Networks Inc. | 2,006 | 41 |
Digimarc Corp. | 2,150 | 41 | |
* | TriQuint Semiconductor Inc. | 5,399 | 41 |
Model N Inc. | 2,754 | 40 | |
* | Spark Networks Inc. | 5,667 | 39 |
* | Mindspeed Technologies Inc. | 12,622 | 39 |
Acorn Energy Inc. | 6,128 | 37 | |
* | Intermolecular Inc. | 5,946 | 36 |
* | VASCO Data Security International Inc. | 4,053 | 32 |
Innovative Solutions & Support Inc. | 4,272 | 32 | |
Daktronics Inc. | 2,592 | 28 | |
American Science & Engineering Inc. | 437 | 25 | |
* | OmniVision Technologies Inc. | 1,594 | 25 |
* | Perficient Inc. | 1,488 | 24 |
* | Revolution Lighting Technologies Inc. | 8,748 | 23 |
QAD Inc. Class A | 1,783 | 22 | |
* | Rudolph Technologies Inc. | 1,896 | 20 |
* | Unisys Corp. | 748 | 19 |
* | Sonus Networks Inc. | 5,127 | 18 |
* | Procera Networks Inc. | 1,297 | 17 |
* | Volterra Semiconductor Corp. | 661 | 15 |
* | Rofin-Sinar Technologies Inc. | 673 | 15 |
* | Vringo Inc. | 4,119 | 13 |
* | ShoreTel Inc. | 2,456 | 12 |
* | Oplink Communications Inc. | 569 | 11 |
* | Anaren Inc. | 424 | 10 |
* | ICG Group Inc. | 825 | 10 |
* | Rubicon Technology Inc. | 684 | 8 |
EPIQ Systems Inc. | 660 | 8 | |
PC-Tel Inc. | 904 | 7 | |
Sapiens International Corp. NV | 968 | 5 | |
* | Vocus Inc. | 573 | 5 |
* | Cyan Inc. | 529 | 5 |
ePlus Inc. | 82 | 4 | |
Tessco Technologies Inc. | 125 | 4 | |
* | Ultra Clean Holdings Inc. | 528 | 3 |
* | Net Element International Inc. | 762 | 3 |
* | Viasystems Group Inc. | 96 | 1 |
47,673 | |||
Utilities (1.3%) | |||
j2 Global Inc. | 15,557 | 766 | |
Cogent Communications Group Inc. | 16,040 | 498 | |
Consolidated Communications Holdings Inc. | 13,629 | 227 | |
* | 8x8 Inc. | 24,511 | 227 |
Atlantic Tele-Network Inc. | 3,120 | 147 | |
* | inContact Inc. | 16,917 | 138 |
Shenandoah Telecommunications Co. | 7,328 | 126 | |
South Jersey Industries Inc. | 2,031 | 117 | |
West Corp. | 4,770 | 104 | |
* | General Communication Inc. Class A | 10,733 | 96 |
NTELOS Holdings Corp. | 5,178 | 86 | |
Lumos Networks Corp. | 5,232 | 82 | |
IDT Corp. Class B | 4,871 | 81 | |
* | Cincinnati Bell Inc. | 22,822 | 68 |
York Water Co. | 3,188 | 62 | |
* | Leap Wireless International Inc. | 4,097 | 62 |
* | magicJack VocalTec Ltd. | 4,243 | 60 |
* | Fairpoint Communications Inc. | 6,021 | 56 |
Pike Electric Corp. | 4,772 | 53 | |
HickoryTech Corp. | 4,647 | 47 |
74
Vanguard® Russell 2000 Growth Index Fund | |||||
Schedule of Investments | |||||
August 31, 2013 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
UNS Energy Corp. | 880 | 40 | |||
* | Towerstream Corp. | 17,272 | 38 | ||
SJW Corp. | 1,441 | 38 | |||
* | Inteliquent Inc. | 4,350 | 35 | ||
* | Premiere Global Services Inc. | 3,235 | 31 | ||
* | Pure Cycle Corp. | 5,845 | 30 | ||
American States Water Co. | 556 | 29 | |||
* | Pendrell Corp. | 8,082 | 16 | ||
Primus Telecommunications Group Inc. | 3,832 | 16 | |||
Straight Path Communications Inc. Class B | 2,352 | 12 | |||
* | Cbeyond Inc. | 600 | 4 | ||
3,392 | |||||
Total Common Stocks (Cost $210,210) | 253,045 | ||||
Coupon | |||||
Temporary Cash Investments (4.5%)1 | |||||
Money Market Fund (4.4%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.122% | 11,164,684 | 11,165 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
4,5 | Freddie Mac Discount Notes | 0.100% | 9/16/13 | 100 | 100 |
Total Temporary Cash Investments (Cost $11,265) | 11,265 | ||||
Total Investments (104.3%) (Cost $221,475) | 264,310 | ||||
Other Assets and Liabilities—Net (-4.3%)3 | (10,785) | ||||
Net Assets (100%) | 253,525 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $842,000.
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 4.3%, 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 $935,000 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.
75
© 2013 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18510_102013
Report of Independent Registered Public Accounting Firm
To the Trustees of the 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:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements 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") as of August 31, 2013 and for the year then ended and have issued our unqualified report thereon dated October 16, 2013 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included audits of the Funds' schedules of investments as of August 31, 2013 appearing in Item 6 of this Form N-CSR. These schedules of investments are the responsibility of the Funds' management. Our responsibility is to express an opinion on the schedules of investments based on our audits.
In our opinion, the 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, 2013
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.9%)1 | ||
Consumer Discretionary (14.7%) | ||
Wal-Mart Stores Inc. | 44,239 | 3,229 |
Comcast Corp. Class A | 72,085 | 3,034 |
Walt Disney Co. | 49,475 | 3,010 |
Home Depot Inc. | 40,131 | 2,989 |
* Amazon.com Inc. | 10,101 | 2,838 |
McDonald's Corp. | 27,542 | 2,599 |
* eBay Inc. | 35,653 | 1,782 |
Ford Motor Co. | 106,050 | 1,717 |
* Twenty-First Century Fox Inc. | 54,594 | 1,710 |
Time Warner Inc. | 25,609 | 1,550 |
Starbucks Corp. | 20,568 | 1,450 |
Lowe's Cos. Inc. | 29,904 | 1,370 |
Costco Wholesale Corp. | 11,988 | 1,341 |
* priceline.com Inc. | 1,417 | 1,330 |
NIKE Inc. Class B | 19,459 | 1,222 |
Target Corp. | 17,629 | 1,116 |
Viacom Inc. Class B | 13,322 | 1,060 |
TJX Cos. Inc. | 19,774 | 1,043 |
Yum! Brands Inc. | 12,358 | 865 |
CBS Corp. Class B | 16,857 | 861 |
Time Warner Cable Inc. | 7,994 | 858 |
* DIRECTV | 14,343 | 834 |
* General Motors Co. | 22,877 | 780 |
Johnson Controls Inc. | 18,818 | 763 |
* Liberty Global plc Class A | 9,484 | 737 |
Las Vegas Sands Corp. | 10,739 | 605 |
* Discovery Communications Inc. Class A | 6,723 | 521 |
* Dollar General Corp. | 8,990 | 485 |
Delphi Automotive plc | 8,589 | 473 |
Macy's Inc. | 10,541 | 468 |
VF Corp. | 2,406 | 450 |
* Bed Bath & Beyond Inc. | 6,005 | 443 |
McGraw Hill Financial Inc. | 7,530 | 440 |
Omnicom Group Inc. | 7,104 | 431 |
Estee Lauder Cos. Inc. Class A | 6,363 | 416 |
Carnival Corp. | 11,476 | 414 |
* Michael Kors Holdings Ltd. | 5,536 | 410 |
* AutoZone Inc. | 975 | 409 |
Coach Inc. | 7,720 | 408 |
Ross Stores Inc. | 6,039 | 406 |
* Netflix Inc. | 1,381 | 392 |
* Tesla Motors Inc. | 2,298 | 388 |
Mattel Inc. | 9,489 | 384 |
* Liberty Media Corp. Class A | 2,774 | 379 |
L Brands Inc. | 6,594 | 378 |
* O'Reilly Automotive Inc. | 3,035 | 372 |
Harley-Davidson Inc. | 6,158 | 369 |
* Chipotle Mexican Grill Inc. Class A | 850 | 347 |
Starwood Hotels & Resorts Worldwide Inc. | 5,345 | 342 |
* Liberty Interactive Corp. Class A | 14,552 | 329 |
Genuine Parts Co. | 4,258 | 328 |
* Dollar Tree Inc. | 6,150 | 324 |
Kohl's Corp. | 6,099 | 313 |
Wynn Resorts Ltd. | 2,215 | 312 |
Gap Inc. | 7,670 | 310 |
BorgWarner Inc. | 3,175 | 307 |
Sirius XM Radio Inc. | 84,735 | 303 |
* CarMax Inc. | 6,170 | 293 |
PVH Corp. | 2,227 | 287 |
Whirlpool Corp. | 2,175 | 280 |
Ralph Lauren Corp. Class A | 1,649 | 273 |
1
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Best Buy Co. Inc. | 7,503 | 270 |
DISH Network Corp. Class A | 5,729 | 258 |
Marriott International Inc. Class A | 6,398 | 256 |
Staples Inc. | 18,239 | 254 |
* LKQ Corp. | 8,213 | 240 |
Tiffany & Co. | 3,075 | 237 |
Avon Products Inc. | 11,919 | 236 |
Tractor Supply Co. | 1,921 | 235 |
* Hertz Global Holdings Inc. | 9,535 | 229 |
* TripAdvisor Inc. | 3,087 | 228 |
Nordstrom Inc. | 3,998 | 223 |
Wyndham Worldwide Corp. | 3,746 | 222 |
Scripps Networks Interactive Inc. Class A | 3,024 | 222 |
* Charter Communications Inc. Class A | 1,826 | 222 |
News Corp. Class A | 13,707 | 215 |
H&R Block Inc. | 7,519 | 210 |
Nielsen Holdings NV | 6,033 | 208 |
* TRW Automotive Holdings Corp. | 2,974 | 205 |
Newell Rubbermaid Inc. | 7,976 | 202 |
PetSmart Inc. | 2,857 | 201 |
* Mohawk Industries Inc. | 1,677 | 197 |
Polaris Industries Inc. | 1,793 | 196 |
Family Dollar Stores Inc. | 2,667 | 190 |
Interpublic Group of Cos. Inc. | 11,869 | 187 |
* MGM Resorts International | 10,309 | 182 |
* Ulta Salon Cosmetics & Fragrance Inc. | 1,768 | 175 |
Fortune Brands Home & Security Inc. | 4,588 | 169 |
Royal Caribbean Cruises Ltd. | 4,568 | 168 |
Darden Restaurants Inc. | 3,613 | 167 |
GameStop Corp. Class A | 3,320 | 167 |
* Fossil Group Inc. | 1,432 | 166 |
PulteGroup Inc. | 10,773 | 166 |
* Under Armour Inc. Class A | 2,267 | 165 |
Hanesbrands Inc. | 2,742 | 163 |
Advance Auto Parts Inc. | 2,031 | 163 |
Lear Corp. | 2,253 | 155 |
Williams-Sonoma Inc. | 2,729 | 154 |
Gannett Co. Inc. | 6,387 | 154 |
Signet Jewelers Ltd. | 2,260 | 150 |
Lennar Corp. Class A | 4,619 | 147 |
Hasbro Inc. | 3,211 | 146 |
* Toll Brothers Inc. | 4,741 | 145 |
DR Horton Inc. | 7,891 | 141 |
* Goodyear Tire & Rubber Co. | 6,886 | 139 |
International Game Technology | 7,301 | 138 |
Garmin Ltd. | 3,337 | 136 |
Foot Locker Inc. | 4,212 | 136 |
Expedia Inc. | 2,878 | 135 |
Nu Skin Enterprises Inc. Class A | 1,593 | 133 |
* Jarden Corp. | 3,081 | 132 |
* Panera Bread Co. Class A | 791 | 130 |
Dunkin' Brands Group Inc. | 2,890 | 125 |
Dick's Sporting Goods Inc. | 2,683 | 125 |
* Urban Outfitters Inc. | 2,951 | 124 |
* WABCO Holdings Inc. | 1,582 | 123 |
* Sally Beauty Holdings Inc. | 4,578 | 120 |
Carter's Inc. | 1,614 | 119 |
Harman International Industries Inc. | 1,854 | 119 |
Tupperware Brands Corp. | 1,456 | 118 |
Leggett & Platt Inc. | 3,857 | 112 |
* NVR Inc. | 127 | 109 |
Service Corp. | 5,817 | 105 |
* AMC Networks Inc. Class A | 1,634 | 101 |
* Penn National Gaming Inc. | 1,902 | 100 |
2
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Visteon Corp. | 1,359 | 97 |
* Madison Square Garden Co. Class A | 1,642 | 96 |
* Liberty Global plc | 1,277 | 94 |
Domino's Pizza Inc. | 1,517 | 93 |
Cablevision Systems Corp. Class A | 5,251 | 93 |
Cinemark Holdings Inc. | 3,156 | 93 |
Brunswick Corp. | 2,510 | 91 |
Gentex Corp. | 4,034 | 91 |
* Lamar Advertising Co. Class A | 2,114 | 89 |
* Cabela's Inc. | 1,314 | 86 |
DSW Inc. Class A | 987 | 85 |
* Liberty Ventures Class A | 987 | 85 |
Sotheby's | 1,832 | 84 |
Dana Holding Corp. | 3,978 | 83 |
Starz | 3,280 | 82 |
Wolverine World Wide Inc. | 1,426 | 80 |
* Avis Budget Group Inc. | 2,965 | 79 |
* Fifth & Pacific Cos. Inc. | 3,257 | 78 |
* Lions Gate Entertainment Corp. | 2,201 | 77 |
* Lumber Liquidators Holdings Inc. | 773 | 77 |
American Eagle Outfitters Inc. | 5,277 | 76 |
* Tenneco Inc. | 1,651 | 76 |
Abercrombie & Fitch Co. | 2,143 | 76 |
Brinker International Inc. | 1,888 | 76 |
* Bally Technologies Inc. | 1,031 | 74 |
Washington Post Co. Class B | 124 | 70 |
Chico's FAS Inc. | 4,414 | 69 |
* Live Nation Entertainment Inc. | 4,023 | 68 |
Vail Resorts Inc. | 996 | 68 |
Pool Corp. | 1,295 | 67 |
* AutoNation Inc. | 1,441 | 67 |
* Pandora Media Inc. | 3,622 | 67 |
Thor Industries Inc. | 1,246 | 64 |
Cheesecake Factory Inc. | 1,508 | 63 |
Rent-A-Center Inc. | 1,640 | 62 |
* Tempur Sealy International Inc. | 1,591 | 61 |
* Steven Madden Ltd. | 1,133 | 61 |
* Life Time Fitness Inc. | 1,200 | 60 |
Six Flags Entertainment Corp. | 1,806 | 60 |
Dillard's Inc. Class A | 780 | 59 |
Cooper Tire & Rubber Co. | 1,846 | 59 |
* JC Penney Co. Inc. | 4,716 | 59 |
* Big Lots Inc. | 1,658 | 59 |
Pier 1 Imports Inc. | 2,677 | 59 |
* DreamWorks Animation SKG Inc. Class A | 2,063 | 58 |
KAR Auction Services Inc. | 2,183 | 58 |
Aaron's Inc. | 2,106 | 57 |
* Buffalo Wild Wings Inc. | 546 | 57 |
Burger King Worldwide Inc. | 2,897 | 57 |
Cracker Barrel Old Country Store Inc. | 572 | 56 |
Wendy's Co. | 7,446 | 56 |
* Hyatt Hotels Corp. Class A | 1,293 | 56 |
* Ascena Retail Group Inc. | 3,408 | 56 |
* Shutterfly Inc. | 1,032 | 54 |
* Deckers Outdoor Corp. | 910 | 53 |
John Wiley & Sons Inc. Class A | 1,216 | 53 |
* Iconix Brand Group Inc. | 1,590 | 52 |
* HomeAway Inc. | 1,648 | 52 |
* Apollo Group Inc. Class A | 2,774 | 52 |
Men's Wearhouse Inc. | 1,351 | 51 |
DeVry Inc. | 1,663 | 50 |
* Sears Holdings Corp. | 1,127 | 50 |
Guess? Inc. | 1,630 | 50 |
* Express Inc. | 2,365 | 50 |
3
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* VistaPrint NV | 932 | 50 |
* CST Brands Inc. | 1,682 | 50 |
* Jack in the Box Inc. | 1,247 | 49 |
HSN Inc. | 907 | 49 |
Group 1 Automotive Inc. | 628 | 48 |
PriceSmart Inc. | 552 | 47 |
* Saks Inc. | 2,958 | 47 |
Penske Automotive Group Inc. | 1,177 | 46 |
Ryland Group Inc. | 1,312 | 46 |
Outerwall Inc. | 730 | 45 |
* ValueClick Inc. | 2,137 | 45 |
* Grand Canyon Education Inc. | 1,282 | 44 |
* Asbury Automotive Group Inc. | 892 | 44 |
* ANN Inc. | 1,246 | 43 |
Sinclair Broadcast Group Inc. Class A | 1,778 | 43 |
Belo Corp. Class A | 3,003 | 42 |
Texas Roadhouse Inc. Class A | 1,683 | 42 |
Meredith Corp. | 968 | 42 |
Regal Entertainment Group Class A | 2,258 | 40 |
* Genesco Inc. | 652 | 40 |
* Meritage Homes Corp. | 998 | 40 |
* New York Times Co. Class A | 3,572 | 40 |
Buckle Inc. | 768 | 40 |
Bob Evans Farms Inc. | 810 | 40 |
Lithia Motors Inc. Class A | 604 | 40 |
* TiVo Inc. | 3,339 | 39 |
* Conn's Inc. | 583 | 39 |
KB Home | 2,414 | 39 |
* Pinnacle Entertainment Inc. | 1,612 | 38 |
* Select Comfort Corp. | 1,544 | 38 |
Hillenbrand Inc. | 1,534 | 38 |
Monro Muffler Brake Inc. | 834 | 37 |
* Children's Place Retail Stores Inc. | 685 | 36 |
* Hibbett Sports Inc. | 703 | 36 |
* WMS Industries Inc. | 1,416 | 36 |
* SHFL Entertainment Inc. | 1,598 | 36 |
* American Axle & Manufacturing Holdings Inc. | 1,868 | 36 |
Arbitron Inc. | 751 | 35 |
* Helen of Troy Ltd. | 869 | 35 |
Dorman Products Inc. | 688 | 35 |
* Multimedia Games Holding Co. Inc. | 878 | 34 |
* Skechers U.S.A. Inc. Class A | 1,116 | 34 |
* Krispy Kreme Doughnuts Inc. | 1,725 | 34 |
* Marriott Vacations Worldwide Corp. | 768 | 34 |
* Vitamin Shoppe Inc. | 780 | 33 |
* Crocs Inc. | 2,412 | 32 |
* Papa John's International Inc. | 475 | 32 |
DineEquity Inc. | 488 | 32 |
Jones Group Inc. | 2,193 | 32 |
* Orient-Express Hotels Ltd. Class A | 2,669 | 32 |
* Bloomin' Brands Inc. | 1,428 | 32 |
La-Z-Boy Inc. | 1,505 | 32 |
* Restoration Hardware Holdings Inc. | 456 | 32 |
Valassis Communications Inc. | 1,137 | 31 |
* Five Below Inc. | 847 | 31 |
AMERCO | 187 | 31 |
Churchill Downs Inc. | 375 | 30 |
* K12 Inc. | 825 | 30 |
Finish Line Inc. Class A | 1,429 | 30 |
* AFC Enterprises Inc. | 726 | 30 |
National CineMedia Inc. | 1,641 | 30 |
* Standard Pacific Corp. | 4,068 | 29 |
* Jos A Bank Clothiers Inc. | 728 | 29 |
Matthews International Corp. Class A | 782 | 29 |
4
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
MDC Holdings Inc. | 1,028 | 29 |
* Francesca's Holdings Corp. | 1,179 | 28 |
* Red Robin Gourmet Burgers Inc. | 435 | 28 |
Sturm Ruger & Co. Inc. | 537 | 28 |
Brown Shoe Co. Inc. | 1,244 | 28 |
OfficeMax Inc. | 2,540 | 28 |
* Sonic Corp. | 1,710 | 27 |
Choice Hotels International Inc. | 710 | 27 |
* Office Depot Inc. | 6,242 | 26 |
Weight Watchers International Inc. | 727 | 26 |
International Speedway Corp. Class A | 835 | 26 |
Drew Industries Inc. | 608 | 26 |
Nexstar Broadcasting Group Inc. Class A | 758 | 25 |
* Tumi Holdings Inc. | 1,236 | 25 |
Interval Leisure Group Inc. | 1,176 | 25 |
* Boyd Gaming Corp. | 2,074 | 25 |
* Norwegian Cruise Line Holdings Ltd. | 802 | 25 |
* Caesars Entertainment Corp. | 1,117 | 24 |
* Elizabeth Arden Inc. | 690 | 24 |
Stewart Enterprises Inc. Class A | 1,826 | 24 |
Movado Group Inc. | 557 | 24 |
Scholastic Corp. | 802 | 24 |
SeaWorld Entertainment Inc. | 787 | 24 |
* Angie's List Inc. | 1,099 | 23 |
* BJ's Restaurants Inc. | 725 | 23 |
Columbia Sportswear Co. | 390 | 22 |
Arctic Cat Inc. | 410 | 22 |
Cato Corp. Class A | 858 | 22 |
Sonic Automotive Inc. Class A | 978 | 21 |
Oxford Industries Inc. | 336 | 21 |
* HealthStream Inc. | 610 | 20 |
Ethan Allen Interiors Inc. | 774 | 20 |
* Steiner Leisure Ltd. | 362 | 20 |
* LifeLock Inc. | 1,566 | 20 |
* Quiksilver Inc. | 3,937 | 20 |
Regis Corp. | 1,224 | 19 |
* Move Inc. | 1,293 | 19 |
* G-III Apparel Group Ltd. | 407 | 19 |
* Hovnanian Enterprises Inc. Class A | 3,600 | 19 |
CEC Entertainment Inc. | 452 | 18 |
* Meritor Inc. | 2,433 | 18 |
* Aeropostale Inc. | 2,194 | 18 |
* Zumiez Inc. | 658 | 18 |
* Stamps.com Inc. | 417 | 17 |
* Smith & Wesson Holding Corp. | 1,591 | 17 |
* Gentherm Inc. | 1,033 | 17 |
* ITT Educational Services Inc. | 597 | 17 |
* American Public Education Inc. | 427 | 17 |
* Tuesday Morning Corp. | 1,372 | 17 |
* Taylor Morrison Home Corp. Class A | 819 | 17 |
* Biglari Holdings Inc. | 40 | 17 |
* Scientific Games Corp. Class A | 1,166 | 17 |
Stage Stores Inc. | 894 | 17 |
* Fiesta Restaurant Group Inc. | 508 | 17 |
* LeapFrog Enterprises Inc. | 1,639 | 16 |
* Winnebago Industries Inc. | 700 | 16 |
* rue21 inc | 379 | 15 |
Haverty Furniture Cos. Inc. | 638 | 15 |
* Mattress Firm Holding Corp. | 375 | 15 |
* Capella Education Co. | 282 | 15 |
* Universal Electronics Inc. | 504 | 15 |
Chuy's Holdings Inc. | 420 | 15 |
Standard Motor Products Inc. | 490 | 15 |
* Barnes & Noble Inc. | 1,091 | 15 |
5
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Blue Nile Inc. | 410 | 15 |
* M/I Homes Inc. | 781 | 15 |
* Pep Boys-Manny Moe & Jack | 1,295 | 15 |
* Constant Contact Inc. | 750 | 14 |
Ruth's Hospitality Group Inc. | 1,200 | 14 |
* Maidenform Brands Inc. | 594 | 14 |
Fred's Inc. Class A | 880 | 14 |
MDC Partners Inc. Class A | 584 | 13 |
* Cavco Industries Inc. | 246 | 13 |
Shoe Carnival Inc. | 507 | 13 |
* Denny's Corp. | 2,282 | 13 |
Destination Maternity Corp. | 461 | 13 |
Nutrisystem Inc. | 1,002 | 13 |
Tile Shop Holdings Inc. | 477 | 13 |
* Libbey Inc. | 529 | 13 |
* Cumulus Media Inc. Class A | 2,579 | 12 |
National Presto Industries Inc. | 179 | 12 |
* EW Scripps Co. Class A | 798 | 12 |
* Clear Channel Outdoor Holdings Inc. Class A | 1,586 | 12 |
* America's Car-Mart Inc. | 288 | 12 |
* Carmike Cinemas Inc. | 669 | 12 |
* XO Group Inc. | 951 | 11 |
Strayer Education Inc. | 279 | 11 |
* Ruby Tuesday Inc. | 1,535 | 11 |
* Wet Seal Inc. Class A | 3,053 | 11 |
Inter Parfums Inc. | 419 | 11 |
Callaway Golf Co. | 1,607 | 11 |
Viad Corp. | 486 | 11 |
* Bridgepoint Education Inc. | 662 | 11 |
* Central European Media Enterprises Ltd. Class A | 2,476 | 11 |
Beazer Homes USA Inc. | 619 | 11 |
* Zale Corp. | 838 | 10 |
* Shutterstock Inc. | 211 | 10 |
* Rentrak Corp. | 419 | 10 |
* Kirkland's Inc. | 533 | 10 |
* Journal Communications Inc. Class A | 1,442 | 10 |
Entravision Communications Corp. Class A | 1,909 | 10 |
* Vera Bradley Inc. | 508 | 10 |
Harte-Hanks Inc. | 1,189 | 10 |
Superior Industries International Inc. | 562 | 10 |
Bright Horizons Family Solutions Inc. | 262 | 10 |
William Lyon Homes Class A | 452 | 9 |
* Orbitz Worldwide Inc. | 976 | 9 |
* American Woodmark Corp. | 263 | 9 |
* Federal-Mogul Corp. | 566 | 9 |
* Gray Television Inc. | 1,298 | 9 |
* RealD Inc. | 1,024 | 8 |
* Sears Hometown and Outlet Stores Inc. | 260 | 8 |
Del Frisco's Restaurant Group Inc. | 404 | 8 |
* Overstock.com Inc. | 259 | 7 |
* Stoneridge Inc. | 578 | 7 |
Stein Mart Inc. | 585 | 7 |
Remy International Inc. | 362 | 7 |
TRI Pointe Homes Inc. | 467 | 7 |
* RadioShack Corp. | 1,996 | 7 |
* Digital Generation Inc. | 529 | 7 |
Carriage Services Inc. Class A | 348 | 6 |
* Bravo Brio Restaurant Group Inc. | 406 | 6 |
* hhgregg Inc. | 335 | 6 |
Big 5 Sporting Goods Corp. | 335 | 6 |
Destination XL Group Inc. | 916 | 6 |
World Wrestling Entertainment Inc. Class A | 563 | 6 |
* MarineMax Inc. | 448 | 6 |
* QuinStreet Inc. | 622 | 5 |
6
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Steinway Musical Instruments Inc. | 134 | 5 |
* Media General Inc. Class A | 506 | 5 |
* Christopher & Banks Corp. | 938 | 5 |
Town Sports International Holdings Inc. | 447 | 5 |
* Fuel Systems Solutions Inc. | 268 | 5 |
* Nautilus Inc. | 801 | 5 |
Saga Communications Inc. Class A | 101 | 5 |
* Valuevision Media Inc. Class A | 1,014 | 5 |
* VOXX International Corp. Class A | 399 | 5 |
* Central Garden and Pet Co. Class A | 774 | 5 |
* Revlon Inc. Class A | 213 | 5 |
* Citi Trends Inc. | 288 | 5 |
* Franklin Covey Co. | 290 | 5 |
CSS Industries Inc. | 208 | 5 |
Universal Technical Institute Inc. | 421 | 4 |
Perry Ellis International Inc. | 241 | 4 |
bebe stores inc | 741 | 4 |
* Entercom Communications Corp. Class A | 523 | 4 |
Marcus Corp. | 335 | 4 |
Dex Media Inc. | 442 | 4 |
* Black Diamond Inc. | 381 | 4 |
* Pacific Sunwear of California Inc. | 1,192 | 4 |
Speedway Motorsports Inc. | 208 | 4 |
Jamba Inc. | 283 | 4 |
* Corinthian Colleges Inc. | 1,632 | 4 |
* McClatchy Co. Class A | 1,145 | 4 |
* Navarre Corp. | 1,034 | 4 |
AH Belo Corp. Class A | 488 | 4 |
* Rosetta Stone Inc. | 228 | 4 |
* West Marine Inc. | 300 | 3 |
* Education Management Corp. | 418 | 3 |
Weyco Group Inc. | 136 | 3 |
Marchex Inc. Class B | 486 | 3 |
* EveryWare Global Inc. | 253 | 3 |
* Nathan's Famous Inc. | 63 | 3 |
* Johnson Outdoors Inc. Class A | 126 | 3 |
* Monarch Casino & Resort Inc. | 159 | 3 |
* Luby's Inc. | 425 | 3 |
Bon-Ton Stores Inc. | 270 | 3 |
Winmark Corp. | 39 | 3 |
Bassett Furniture Industries Inc. | 204 | 3 |
* Gordmans Stores Inc. | 199 | 3 |
Hooker Furniture Corp. | 187 | 3 |
* Hemisphere Media Group Inc. | 223 | 3 |
* Isle of Capri Casinos Inc. | 347 | 3 |
* Cenveo Inc. | 895 | 3 |
* Daily Journal Corp. | 20 | 3 |
* ReachLocal Inc. | 226 | 2 |
Einstein Noah Restaurant Group Inc. | 154 | 2 |
* Zagg Inc. | 552 | 2 |
* Morgans Hotel Group Co. | 352 | 2 |
Lifetime Brands Inc. | 174 | 2 |
Courier Corp. | 152 | 2 |
Systemax Inc. | 259 | 2 |
* Career Education Corp. | 887 | 2 |
* Ignite Restaurant Group Inc. | 155 | 2 |
Salem Communications Corp. Class A | 296 | 2 |
RG Barry Corp. | 143 | 2 |
* Tower International Inc. | 110 | 2 |
Flexsteel Industries Inc. | 100 | 2 |
* Tilly's Inc. Class A | 160 | 2 |
* Reading International Inc. Class A | 353 | 2 |
JAKKS Pacific Inc. | 421 | 2 |
* Crown Media Holdings Inc. Class A | 705 | 2 |
7
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* 1-800-Flowers.com Inc. Class A | 396 | 2 |
* American Apparel Inc. | 1,496 | 2 |
* New York & Co. Inc. | 436 | 2 |
Lincoln Educational Services Corp. | 400 | 2 |
* JTH Holding Inc. Class A | 119 | 2 |
Blyth Inc. | 194 | 2 |
Marine Products Corp. | 205 | 2 |
* Skullcandy Inc. | 335 | 2 |
* Diversified Restaurant Holdings Inc. | 277 | 2 |
* Body Central Corp. | 273 | 2 |
* Carrols Restaurant Group Inc. | 266 | 2 |
* Martha Stewart Living Omnimedia Class A | 565 | 1 |
Trans World Entertainment Corp. | 273 | 1 |
Biglari Holdings Inc. Rights | 40 | 1 |
Beasley Broadcasting Group Inc. Class A | 48 | — |
73,875 | ||
Consumer Staples (7.8%) | ||
Procter & Gamble Co. | 75,294 | 5,865 |
Coca-Cola Co. | 105,075 | 4,012 |
Philip Morris International Inc. | 44,930 | 3,749 |
PepsiCo Inc. | 42,483 | 3,387 |
CVS Caremark Corp. | 33,637 | 1,953 |
Altria Group Inc. | 55,182 | 1,870 |
Mondelez International Inc. Class A | 49,022 | 1,504 |
Colgate-Palmolive Co. | 25,624 | 1,480 |
Walgreen Co. | 26,029 | 1,251 |
Kimberly-Clark Corp. | 10,566 | 988 |
General Mills Inc. | 17,710 | 873 |
Kraft Foods Group Inc. | 16,332 | 846 |
Archer-Daniels-Midland Co. | 18,105 | 637 |
Whole Foods Market Inc. | 10,190 | 538 |
Kroger Co. | 14,287 | 523 |
Sysco Corp. | 16,304 | 522 |
Lorillard Inc. | 10,378 | 439 |
Kellogg Co. | 7,138 | 433 |
Mead Johnson Nutrition Co. | 5,563 | 417 |
Reynolds American Inc. | 8,659 | 412 |
ConAgra Foods Inc. | 11,451 | 387 |
Hershey Co. | 4,121 | 379 |
* Green Mountain Coffee Roasters Inc. | 4,099 | 354 |
JM Smucker Co. | 2,947 | 313 |
Bunge Ltd. | 4,041 | 306 |
Clorox Co. | 3,617 | 299 |
Coca-Cola Enterprises Inc. | 7,529 | 282 |
Brown-Forman Corp. Class B | 4,155 | 278 |
Beam Inc. | 4,420 | 277 |
Dr Pepper Snapple Group Inc. | 5,609 | 251 |
McCormick & Co. Inc. | 3,627 | 245 |
* Constellation Brands Inc. Class A | 4,235 | 230 |
Church & Dwight Co. Inc. | 3,808 | 226 |
Tyson Foods Inc. Class A | 7,720 | 223 |
* Monster Beverage Corp. | 3,706 | 213 |
Campbell Soup Co. | 4,844 | 209 |
Molson Coors Brewing Co. Class B | 3,872 | 189 |
Safeway Inc. | 6,743 | 175 |
Energizer Holdings Inc. | 1,743 | 172 |
Hormel Foods Corp. | 3,743 | 155 |
Herbalife Ltd. | 2,391 | 146 |
GNC Holdings Inc. Class A | 2,652 | 135 |
Ingredion Inc. | 2,087 | 131 |
* Smithfield Foods Inc. | 3,901 | 131 |
Hillshire Brands Co. | 3,336 | 108 |
Flowers Foods Inc. | 4,587 | 95 |
* Hain Celestial Group Inc. | 1,060 | 87 |
8
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* United Natural Foods Inc. | 1,325 | 80 |
Harris Teeter Supermarkets Inc. | 1,407 | 69 |
Casey's General Stores Inc. | 1,043 | 69 |
* Rite Aid Corp. | 19,576 | 68 |
* TreeHouse Foods Inc. | 985 | 64 |
* Fresh Market Inc. | 1,185 | 58 |
* Boston Beer Co. Inc. Class A | 239 | 51 |
* Dean Foods Co. | 2,631 | 50 |
B&G Foods Inc. | 1,393 | 47 |
* SUPERVALU Inc. | 5,859 | 42 |
* WhiteWave Foods Co. Class A | 2,083 | 40 |
Sanderson Farms Inc. | 594 | 39 |
Spectrum Brands Holdings Inc. | 641 | 39 |
Lancaster Colony Corp. | 502 | 37 |
* Post Holdings Inc. | 850 | 36 |
Andersons Inc. | 531 | 35 |
Snyders-Lance Inc. | 1,215 | 33 |
Universal Corp. | 647 | 32 |
* WhiteWave Foods Co. Class B | 1,657 | 31 |
J&J Snack Foods Corp. | 398 | 31 |
Fresh Del Monte Produce Inc. | 1,043 | 30 |
* Boulder Brands Inc. | 1,844 | 29 |
WD-40 Co. | 476 | 28 |
* Pilgrim's Pride Corp. | 1,777 | 27 |
Seaboard Corp. | 10 | 27 |
Vector Group Ltd. | 1,587 | 26 |
Pinnacle Foods Inc. | 864 | 23 |
* Susser Holdings Corp. | 466 | 22 |
* Dole Food Co. Inc. | 1,374 | 19 |
Core-Mark Holding Co. Inc. | 286 | 18 |
Tootsie Roll Industries Inc. | 584 | 18 |
* Annie's Inc. | 354 | 16 |
Cal-Maine Foods Inc. | 353 | 16 |
* Chiquita Brands International Inc. | 1,259 | 16 |
* USANA Health Sciences Inc. | 200 | 15 |
* Diamond Foods Inc. | 717 | 15 |
Weis Markets Inc. | 271 | 13 |
Spartan Stores Inc. | 570 | 12 |
* Natural Grocers by Vitamin Cottage Inc. | 297 | 11 |
* Chefs' Warehouse Inc. | 490 | 11 |
Ingles Markets Inc. Class A | 449 | 11 |
* Star Scientific Inc. | 5,670 | 11 |
Calavo Growers Inc. | 440 | 11 |
* Medifast Inc. | 370 | 9 |
Village Super Market Inc. Class A | 236 | 8 |
Fairway Group Holdings Corp. | 318 | 7 |
* Lifevantage Corp. | 2,930 | 7 |
PetMed Express Inc. | 455 | 7 |
* Alliance One International Inc. | 2,369 | 7 |
Nash Finch Co. | 248 | 6 |
Coca-Cola Bottling Co. Consolidated | 88 | 6 |
* Pantry Inc. | 441 | 5 |
Nutraceutical International Corp. | 193 | 4 |
* Seneca Foods Corp. Class A | 147 | 4 |
Roundy's Inc. | 488 | 4 |
* Omega Protein Corp. | 429 | 4 |
Nature's Sunshine Products Inc. | 216 | 4 |
* PhotoMedex Inc. | 224 | 4 |
Limoneira Co. | 165 | 4 |
National Beverage Corp. | 223 | 4 |
* Vitacost.com Inc. | 393 | 3 |
John B Sanfilippo & Son Inc. | 142 | 3 |
Orchids Paper Products Co. | 109 | 3 |
Female Health Co. | 335 | 3 |
9
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Inventure Foods Inc. | 305 | 3 |
* Craft Brew Alliance Inc. | 203 | 2 |
Arden Group Inc. | 18 | 2 |
Alico Inc. | 54 | 2 |
Lifeway Foods Inc. | 147 | 2 |
* Farmer Bros Co. | 133 | 2 |
* Synutra International Inc. | 278 | 1 |
39,191 | ||
Energy (9.5%) | ||
Exxon Mobil Corp. | 122,149 | 10,647 |
Chevron Corp. | 53,254 | 6,413 |
Schlumberger Ltd. | 36,523 | 2,956 |
ConocoPhillips | 33,589 | 2,227 |
Occidental Petroleum Corp. | 22,133 | 1,952 |
Anadarko Petroleum Corp. | 13,777 | 1,259 |
Halliburton Co. | 25,604 | 1,229 |
EOG Resources Inc. | 7,475 | 1,174 |
Phillips 66 | 17,012 | 971 |
Apache Corp. | 10,765 | 922 |
National Oilwell Varco Inc. | 11,739 | 872 |
Kinder Morgan Inc. | 18,195 | 690 |
Williams Cos. Inc. | 18,755 | 680 |
Marathon Oil Corp. | 19,473 | 670 |
Pioneer Natural Resources Co. | 3,753 | 657 |
Marathon Petroleum Corp. | 8,923 | 647 |
Devon Energy Corp. | 11,154 | 637 |
Hess Corp. | 8,429 | 631 |
Spectra Energy Corp. | 18,384 | 609 |
Noble Energy Inc. | 9,853 | 605 |
Baker Hughes Inc. | 12,138 | 564 |
Valero Energy Corp. | 14,983 | 532 |
Cabot Oil & Gas Corp. | 11,580 | 453 |
Seadrill Ltd. | 9,709 | 449 |
Chesapeake Energy Corp. | 15,917 | 411 |
* Cameron International Corp. | 6,815 | 387 |
* Southwestern Energy Co. | 9,657 | 369 |
EQT Corp. | 4,133 | 354 |
Murphy Oil Corp. | 5,247 | 354 |
* FMC Technologies Inc. | 6,516 | 349 |
Range Resources Corp. | 4,480 | 336 |
* Concho Resources Inc. | 2,878 | 278 |
HollyFrontier Corp. | 5,581 | 248 |
Oceaneering International Inc. | 2,980 | 231 |
Cimarex Energy Co. | 2,405 | 202 |
CONSOL Energy Inc. | 6,330 | 198 |
* Cheniere Energy Inc. | 6,684 | 187 |
* Cobalt International Energy Inc. | 7,630 | 186 |
* Denbury Resources Inc. | 10,358 | 179 |
Tesoro Corp. | 3,773 | 174 |
Helmerich & Payne Inc. | 2,640 | 166 |
* Whiting Petroleum Corp. | 3,189 | 161 |
* Oil States International Inc. | 1,496 | 133 |
QEP Resources Inc. | 4,856 | 133 |
Peabody Energy Corp. | 7,581 | 130 |
* Dresser-Rand Group Inc. | 2,099 | 128 |
* Gulfport Energy Corp. | 2,103 | 124 |
* Rowan Cos. plc Class A | 3,501 | 124 |
SM Energy Co. | 1,813 | 124 |
Nabors Industries Ltd. | 7,990 | 123 |
Diamond Offshore Drilling Inc. | 1,886 | 121 |
* Dril-Quip Inc. | 1,092 | 111 |
* Superior Energy Services Inc. | 4,437 | 109 |
* Continental Resources Inc. | 1,146 | 106 |
* WPX Energy Inc. | 5,558 | 104 |
10
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Oasis Petroleum Inc. | 2,558 | 100 |
* Newfield Exploration Co. | 3,765 | 90 |
* Atwood Oceanics Inc. | 1,606 | 89 |
* Ultra Petroleum Corp. | 4,279 | 89 |
Patterson-UTI Energy Inc. | 4,130 | 81 |
* Rosetta Resources Inc. | 1,734 | 81 |
World Fuel Services Corp. | 2,058 | 79 |
* Kodiak Oil & Gas Corp. | 7,265 | 73 |
* Helix Energy Solutions Group Inc. | 2,883 | 72 |
* SandRidge Energy Inc. | 13,398 | 69 |
* First Solar Inc. | 1,862 | 68 |
Targa Resources Corp. | 943 | 64 |
* Unit Corp. | 1,351 | 62 |
SemGroup Corp. Class A | 1,160 | 61 |
Energy XXI Bermuda Ltd. | 2,270 | 60 |
Berry Petroleum Co. Class A | 1,431 | 59 |
* Hornbeck Offshore Services Inc. | 1,034 | 56 |
* PDC Energy Inc. | 978 | 56 |
* McDermott International Inc. | 6,488 | 49 |
SEACOR Holdings Inc. | 550 | 46 |
Western Refining Inc. | 1,525 | 45 |
Golar LNG Ltd. | 1,156 | 43 |
CARBO Ceramics Inc. | 523 | 43 |
* Exterran Holdings Inc. | 1,495 | 41 |
* Stone Energy Corp. | 1,387 | 38 |
* Carrizo Oil & Gas Inc. | 1,098 | 38 |
* Alpha Natural Resources Inc. | 5,748 | 35 |
* SunCoke Energy Inc. | 2,077 | 33 |
* Laredo Petroleum Holdings Inc. | 1,229 | 32 |
* Halcon Resources Corp. | 6,596 | 31 |
* Hercules Offshore Inc. | 4,287 | 31 |
* Bonanza Creek Energy Inc. | 760 | 30 |
* Key Energy Services Inc. | 4,511 | 30 |
* Newpark Resources Inc. | 2,650 | 29 |
Arch Coal Inc. | 6,520 | 29 |
* Bill Barrett Corp. | 1,345 | 29 |
* EPL Oil & Gas Inc. | 855 | 29 |
* Rex Energy Corp. | 1,384 | 29 |
* TETRA Technologies Inc. | 2,364 | 28 |
* Kosmos Energy Ltd. | 2,717 | 28 |
* Forum Energy Technologies Inc. | 1,015 | 27 |
* Geospace Technologies Corp. | 375 | 26 |
* C&J Energy Services Inc. | 1,272 | 26 |
RPC Inc. | 1,803 | 26 |
EXCO Resources Inc. | 3,470 | 25 |
* Clean Energy Fuels Corp. | 1,981 | 25 |
* SunPower Corp. Class A | 1,146 | 25 |
* Magnum Hunter Resources Corp. | 5,175 | 24 |
* Northern Oil and Gas Inc. | 1,850 | 24 |
Delek US Holdings Inc. | 958 | 24 |
* Cloud Peak Energy Inc. | 1,513 | 24 |
Crosstex Energy Inc. | 1,210 | 24 |
* Flotek Industries Inc. | 1,188 | 24 |
* GT Advanced Technologies Inc. | 3,606 | 23 |
* Approach Resources Inc. | 995 | 23 |
* Diamondback Energy Inc. | 565 | 23 |
Walter Energy Inc. | 1,706 | 22 |
* Matador Resources Co. | 1,278 | 22 |
* Forest Oil Corp. | 3,815 | 21 |
* Parker Drilling Co. | 3,614 | 21 |
* ION Geophysical Corp. | 3,983 | 19 |
* Goodrich Petroleum Corp. | 857 | 18 |
* Sanchez Energy Corp. | 734 | 18 |
PBF Energy Inc. Class A | 797 | 18 |
11
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* SolarCity Corp. | 557 | 17 |
* Resolute Energy Corp. | 2,207 | 17 |
Comstock Resources Inc. | 1,167 | 17 |
* Era Group Inc. | 668 | 17 |
* Tesco Corp. | 1,054 | 16 |
* Solazyme Inc. | 1,421 | 16 |
CVR Energy Inc. | 372 | 16 |
* RigNet Inc. | 408 | 15 |
* Green Plains Renewable Energy Inc. | 871 | 14 |
* Matrix Service Co. | 887 | 14 |
W&T Offshore Inc. | 849 | 13 |
Gulf Island Fabrication Inc. | 530 | 12 |
* Natural Gas Services Group Inc. | 453 | 12 |
* Vantage Drilling Co. | 7,015 | 12 |
* Triangle Petroleum Corp. | 1,777 | 12 |
* Swift Energy Co. | 1,028 | 12 |
Contango Oil & Gas Co. | 320 | 11 |
* Capstone Turbine Corp. | 9,974 | 11 |
* Dawson Geophysical Co. | 308 | 11 |
* Clayton Williams Energy Inc. | 210 | 10 |
* Synergy Resources Corp. | 1,101 | 10 |
* Pioneer Energy Services Corp. | 1,513 | 10 |
* Renewable Energy Group Inc. | 648 | 10 |
* Basic Energy Services Inc. | 785 | 9 |
* EnerNOC Inc. | 628 | 9 |
Nuverra Environmental Solutions Inc. | 3,464 | 8 |
* Willbros Group Inc. | 872 | 8 |
* Vaalco Energy Inc. | 1,425 | 8 |
* PowerSecure International Inc. | 490 | 8 |
* Emerald Oil Inc. | 1,149 | 7 |
* BPZ Resources Inc. | 2,882 | 7 |
* Midstates Petroleum Co. Inc. | 1,437 | 6 |
Alon USA Energy Inc. | 452 | 6 |
* Penn Virginia Corp. | 1,004 | 5 |
* Endeavour International Corp. | 907 | 5 |
* Miller Energy Resources Inc. | 704 | 4 |
Equal Energy Ltd. | 919 | 4 |
* FuelCell Energy Inc. | 3,405 | 4 |
* PetroQuest Energy Inc. | 988 | 4 |
* Evolution Petroleum Corp. | 365 | 4 |
* KiOR Inc. | 1,838 | 4 |
* Warren Resources Inc. | 1,408 | 4 |
* Mitcham Industries Inc. | 223 | 4 |
* Cal Dive International Inc. | 1,930 | 4 |
* Abraxas Petroleum Corp. | 1,531 | 4 |
* Callon Petroleum Co. | 851 | 4 |
Panhandle Oil and Gas Inc. Class A | 132 | 4 |
* Quicksilver Resources Inc. | 2,226 | 4 |
* FX Energy Inc. | 1,066 | 4 |
* REX American Resources Corp. | 118 | 3 |
Adams Resources & Energy Inc. | 55 | 3 |
* Westmoreland Coal Co. | 255 | 3 |
* Apco Oil and Gas International Inc. | 205 | 3 |
* Gastar Exploration Ltd. | 914 | 3 |
* Ameresco Inc. Class A | 333 | 3 |
Bolt Technology Corp. | 161 | 3 |
* Arabian American Development Co. | 337 | 3 |
TGC Industries Inc. | 301 | 2 |
* Edgen Group Inc. | 298 | 2 |
* Amyris Inc. | 752 | 2 |
* L&L Energy Inc. | 776 | 2 |
* Isramco Inc. | 15 | 2 |
* Crimson Exploration Inc. | 449 | 1 |
Hallador Energy Co. | 134 | 1 |
12
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Global Geophysical Services Inc. | 301 | 1 |
* ZaZa Energy Corp. | 701 | 1 |
* Enphase Energy Inc. | 88 | 1 |
47,899 | ||
Financial Services (18.9%) | ||
* Berkshire Hathaway Inc. Class B | 49,440 | 5,499 |
Wells Fargo & Co. | 132,633 | 5,449 |
JPMorgan Chase & Co. | 103,834 | 5,247 |
Bank of America Corp. | 296,154 | 4,182 |
Citigroup Inc. | 83,593 | 4,040 |
Visa Inc. Class A | 14,353 | 2,503 |
Mastercard Inc. Class A | 3,211 | 1,946 |
Goldman Sachs Group Inc. | 12,596 | 1,916 |
* American International Group Inc. | 40,558 | 1,884 |
American Express Co. | 26,029 | 1,872 |
US Bancorp | 50,813 | 1,836 |
Simon Property Group Inc. | 8,518 | 1,240 |
MetLife Inc. | 24,561 | 1,134 |
Morgan Stanley | 41,832 | 1,078 |
PNC Financial Services Group Inc. | 14,545 | 1,051 |
Capital One Financial Corp. | 16,048 | 1,036 |
Prudential Financial Inc. | 12,747 | 955 |
Bank of New York Mellon Corp. | 31,885 | 948 |
BlackRock Inc. | 3,588 | 934 |
State Street Corp. | 12,530 | 836 |
Travelers Cos. Inc. | 10,341 | 826 |
ACE Ltd. | 9,346 | 820 |
American Tower Corporation | 10,865 | 755 |
Aflac Inc. | 12,808 | 740 |
BB&T Corp. | 19,277 | 655 |
Discover Financial Services | 13,473 | 637 |
Charles Schwab Corp. | 30,162 | 630 |
Marsh & McLennan Cos. Inc. | 15,145 | 624 |
CME Group Inc. | 8,706 | 619 |
Allstate Corp. | 12,875 | 617 |
Public Storage | 3,934 | 601 |
Chubb Corp. | 7,121 | 592 |
Aon plc | 8,493 | 564 |
Franklin Resources Inc. | 11,287 | 521 |
Equity Residential | 9,895 | 513 |
HCP Inc. | 12,486 | 509 |
Ventas Inc. | 8,054 | 501 |
T. Rowe Price Group Inc. | 7,125 | 500 |
Prologis Inc. | 13,687 | 482 |
Health Care REIT Inc. | 7,818 | 480 |
Ameriprise Financial Inc. | 5,537 | 477 |
SunTrust Banks Inc. | 14,840 | 475 |
AvalonBay Communities Inc. | 3,555 | 440 |
Fifth Third Bancorp | 24,028 | 439 |
Weyerhaeuser Co. | 15,996 | 438 |
Boston Properties Inc. | 4,169 | 427 |
Vornado Realty Trust | 5,136 | 418 |
Progressive Corp. | 16,571 | 415 |
M&T Bank Corp. | 3,545 | 402 |
Loews Corp. | 8,437 | 375 |
Invesco Ltd. | 12,216 | 371 |
Hartford Financial Services Group Inc. | 12,524 | 371 |
Regions Financial Corp. | 38,828 | 365 |
Northern Trust Corp. | 6,573 | 361 |
* IntercontinentalExchange Inc. | 2,000 | 360 |
Fidelity National Information Services Inc. | 8,053 | 358 |
* Fiserv Inc. | 3,659 | 352 |
Host Hotels & Resorts Inc. | 20,459 | 348 |
13
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Moody's Corp. | 5,343 | 340 |
Thomson Reuters Corp. | 10,257 | 337 |
Principal Financial Group Inc. | 8,061 | 330 |
General Growth Properties Inc. | 16,334 | 313 |
Lincoln National Corp. | 7,376 | 310 |
Annaly Capital Management Inc. | 26,026 | 304 |
KeyCorp | 25,288 | 295 |
SLM Corp. | 12,204 | 293 |
NYSE Euronext | 6,676 | 279 |
Western Union Co. | 15,305 | 268 |
* CIT Group Inc. | 5,529 | 265 |
* Alliance Data Systems Corp. | 1,352 | 265 |
* Affiliated Managers Group Inc. | 1,450 | 253 |
American Capital Agency Corp. | 10,896 | 248 |
XL Group plc Class A | 8,030 | 237 |
Kimco Realty Corp. | 11,261 | 226 |
SL Green Realty Corp. | 2,526 | 220 |
Unum Group | 7,362 | 217 |
Realty Income Corp. | 5,415 | 214 |
Macerich Co. | 3,795 | 214 |
Comerica Inc. | 5,153 | 210 |
Cincinnati Financial Corp. | 4,514 | 206 |
Leucadia National Corp. | 8,175 | 204 |
Plum Creek Timber Co. Inc. | 4,503 | 200 |
Digital Realty Trust Inc. | 3,553 | 198 |
Equifax Inc. | 3,334 | 197 |
* Arch Capital Group Ltd. | 3,683 | 196 |
* Markel Corp. | 382 | 195 |
* FleetCor Technologies Inc. | 1,880 | 194 |
Rayonier Inc. | 3,488 | 193 |
Huntington Bancshares Inc. | 23,224 | 191 |
Everest Re Group Ltd. | 1,385 | 190 |
* Alleghany Corp. | 467 | 181 |
New York Community Bancorp Inc. | 12,230 | 179 |
Torchmark Corp. | 2,568 | 177 |
Federal Realty Investment Trust | 1,811 | 176 |
* CBRE Group Inc. Class A | 7,762 | 170 |
TD Ameritrade Holding Corp. | 6,519 | 167 |
* Genworth Financial Inc. Class A | 13,803 | 163 |
UDR Inc. | 6,989 | 158 |
Essex Property Trust Inc. | 1,062 | 152 |
Fidelity National Financial Inc. Class A | 6,151 | 146 |
Zions Bancorporation | 5,154 | 144 |
* Realogy Holdings Corp. | 3,375 | 143 |
* Ocwen Financial Corp. | 2,818 | 142 |
Arthur J Gallagher & Co. | 3,430 | 142 |
Camden Property Trust | 2,293 | 142 |
First Republic Bank | 3,143 | 139 |
Raymond James Financial Inc. | 3,305 | 138 |
Axis Capital Holdings Ltd. | 3,214 | 138 |
PartnerRe Ltd. | 1,564 | 136 |
Hudson City Bancorp Inc. | 14,827 | 136 |
Reinsurance Group of America Inc. Class A | 2,038 | 132 |
Duke Realty Corp. | 9,035 | 132 |
Eaton Vance Corp. | 3,373 | 130 |
Ares Capital Corp. | 7,338 | 129 |
* MSCI Inc. Class A | 3,399 | 128 |
Total System Services Inc. | 4,597 | 127 |
FactSet Research Systems Inc. | 1,239 | 127 |
Liberty Property Trust | 3,653 | 126 |
WR Berkley Corp. | 3,055 | 126 |
Extra Space Storage Inc. | 3,024 | 125 |
People's United Financial Inc. | 8,728 | 124 |
Lazard Ltd. Class A | 3,495 | 124 |
14
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
SEI Investments Co. | 4,066 | 121 |
HCC Insurance Holdings Inc. | 2,834 | 120 |
Alexandria Real Estate Equities Inc. | 1,929 | 119 |
Regency Centers Corp. | 2,481 | 118 |
Taubman Centers Inc. | 1,739 | 117 |
Senior Housing Properties Trust | 5,150 | 117 |
Jack Henry & Associates Inc. | 2,324 | 116 |
Starwood Property Trust Inc. | 4,577 | 114 |
* Signature Bank | 1,293 | 113 |
Assurant Inc. | 2,137 | 113 |
DDR Corp. | 7,212 | 112 |
CBOE Holdings Inc. | 2,429 | 111 |
* E*TRADE Financial Corp. | 7,865 | 110 |
Waddell & Reed Financial Inc. Class A | 2,313 | 110 |
American Financial Group Inc. | 2,135 | 110 |
* Howard Hughes Corp. | 1,074 | 110 |
Apartment Investment & Management Co. Class A | 3,968 | 109 |
East West Bancorp Inc. | 3,653 | 107 |
Dun & Bradstreet Corp. | 1,072 | 107 |
Corrections Corp. of America | 3,180 | 105 |
RenaissanceRe Holdings Ltd. | 1,194 | 104 |
* American Capital Ltd. | 8,298 | 104 |
Kilroy Realty Corp. | 2,115 | 103 |
WP Carey Inc. | 1,567 | 103 |
Cullen/Frost Bankers Inc. | 1,452 | 103 |
Hospitality Properties Trust | 3,755 | 101 |
* SVB Financial Group | 1,225 | 101 |
Global Payments Inc. | 2,125 | 101 |
Old Republic International Corp. | 7,044 | 100 |
BRE Properties Inc. | 2,068 | 99 |
Prosperity Bancshares Inc. | 1,658 | 99 |
Legg Mason Inc. | 3,042 | 99 |
First Niagara Financial Group Inc. | 9,772 | 99 |
Brown & Brown Inc. | 3,162 | 98 |
National Retail Properties Inc. | 3,198 | 98 |
Jones Lang LaSalle Inc. | 1,183 | 97 |
Broadridge Financial Solutions Inc. | 3,257 | 97 |
Validus Holdings Ltd. | 2,799 | 97 |
Two Harbors Investment Corp. | 10,155 | 97 |
American Campus Communities Inc. | 2,891 | 96 |
White Mountains Insurance Group Ltd. | 172 | 96 |
BioMed Realty Trust Inc. | 5,157 | 95 |
FirstMerit Corp. | 4,446 | 94 |
Weingarten Realty Investors | 3,268 | 94 |
Assured Guaranty Ltd. | 4,631 | 92 |
Omega Healthcare Investors Inc. | 3,231 | 92 |
* Spirit Realty Capital Inc. | 10,274 | 89 |
* Popular Inc. | 2,877 | 89 |
NASDAQ OMX Group Inc. | 2,989 | 89 |
Commerce Bancshares Inc. | 2,064 | 89 |
Protective Life Corp. | 2,121 | 89 |
Douglas Emmett Inc. | 3,825 | 88 |
Home Properties Inc. | 1,525 | 88 |
* WEX Inc. | 1,092 | 87 |
City National Corp. | 1,324 | 87 |
CBL & Associates Properties Inc. | 4,472 | 86 |
Allied World Assurance Co. Holdings AG | 935 | 86 |
Synovus Financial Corp. | 26,875 | 86 |
Chimera Investment Corp. | 28,435 | 84 |
Highwoods Properties Inc. | 2,469 | 83 |
ProAssurance Corp. | 1,736 | 82 |
Piedmont Office Realty Trust Inc. Class A | 4,760 | 82 |
CNO Financial Group Inc. | 5,959 | 81 |
RLJ Lodging Trust | 3,511 | 81 |
15
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Equity Lifestyle Properties Inc. | 2,276 | 79 |
Prospect Capital Corp. | 7,138 | 79 |
* Forest City Enterprises Inc. Class A | 4,405 | 79 |
Tanger Factory Outlet Centers | 2,548 | 79 |
CommonWealth REIT | 3,150 | 77 |
* Portfolio Recovery Associates Inc. | 1,419 | 75 |
First Horizon National Corp. | 6,763 | 75 |
Associated Banc-Corp | 4,639 | 74 |
Hancock Holding Co. | 2,292 | 74 |
Lender Processing Services Inc. | 2,306 | 74 |
Mid-America Apartment Communities Inc. | 1,181 | 73 |
Financial Engines Inc. | 1,358 | 73 |
MFA Financial Inc. | 9,918 | 71 |
* Stifel Financial Corp. | 1,724 | 69 |
LaSalle Hotel Properties | 2,596 | 69 |
Federated Investors Inc. Class B | 2,517 | 68 |
* CoreLogic Inc. | 2,655 | 68 |
Aspen Insurance Holdings Ltd. | 1,900 | 68 |
Webster Financial Corp. | 2,552 | 68 |
Fulton Financial Corp. | 5,514 | 67 |
StanCorp Financial Group Inc. | 1,263 | 66 |
Hanover Insurance Group Inc. | 1,240 | 66 |
Post Properties Inc. | 1,457 | 66 |
Radian Group Inc. | 4,844 | 66 |
* Vantiv Inc. Class A | 2,468 | 65 |
* MGIC Investment Corp. | 9,017 | 65 |
Susquehanna Bancshares Inc. | 5,150 | 65 |
Bank of Hawaii Corp. | 1,253 | 65 |
CubeSmart | 3,848 | 64 |
CapitalSource Inc. | 5,459 | 63 |
TCF Financial Corp. | 4,453 | 63 |
EPR Properties | 1,277 | 63 |
* Zillow Inc. Class A | 641 | 62 |
ING US Inc. | 2,141 | 62 |
Endurance Specialty Holdings Ltd. | 1,208 | 61 |
Primerica Inc. | 1,630 | 61 |
First American Financial Corp. | 2,894 | 60 |
Geo Group Inc. | 1,912 | 60 |
American Realty Capital Properties Inc. | 4,418 | 59 |
Healthcare Realty Trust Inc. | 2,612 | 59 |
NorthStar Realty Finance Corp. | 6,585 | 58 |
Washington Federal Inc. | 2,752 | 57 |
Brandywine Realty Trust | 4,432 | 57 |
Corporate Office Properties Trust | 2,477 | 56 |
Valley National Bancorp | 5,563 | 56 |
Sovran Self Storage Inc. | 835 | 55 |
* Sunstone Hotel Investors Inc. | 4,593 | 55 |
Invesco Mortgage Capital Inc. | 3,607 | 55 |
MarketAxess Holdings Inc. | 1,087 | 55 |
BankUnited Inc. | 1,863 | 55 |
LPL Financial Holdings Inc. | 1,491 | 55 |
Colonial Properties Trust | 2,460 | 54 |
DiamondRock Hospitality Co. | 5,489 | 53 |
Lexington Realty Trust | 4,516 | 53 |
Retail Properties of America Inc. | 3,899 | 52 |
DCT Industrial Trust Inc. | 7,770 | 52 |
Mack-Cali Realty Corp. | 2,403 | 52 |
UMB Financial Corp. | 864 | 52 |
Fair Isaac Corp. | 1,026 | 51 |
Medical Properties Trust Inc. | 4,439 | 51 |
FNB Corp. | 4,204 | 51 |
Glacier Bancorp Inc. | 2,113 | 50 |
BOK Financial Corp. | 775 | 50 |
Platinum Underwriters Holdings Ltd. | 852 | 49 |
16
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
BancorpSouth Inc. | 2,534 | 49 |
Umpqua Holdings Corp. | 2,991 | 49 |
Hatteras Financial Corp. | 2,650 | 48 |
Erie Indemnity Co. Class A | 656 | 48 |
Apollo Investment Corp. | 6,127 | 48 |
Capitol Federal Financial Inc. | 3,932 | 48 |
First Financial Bankshares Inc. | 837 | 48 |
EastGroup Properties Inc. | 853 | 48 |
RLI Corp. | 608 | 47 |
* Euronet Worldwide Inc. | 1,381 | 47 |
Chambers Street Properties | 6,424 | 47 |
Washington REIT | 1,936 | 47 |
* Texas Capital Bancshares Inc. | 1,061 | 47 |
Cathay General Bancorp | 2,107 | 46 |
Potlatch Corp. | 1,192 | 46 |
First Industrial Realty Trust Inc. | 2,996 | 45 |
Cousins Properties Inc. | 4,516 | 45 |
ARMOUR Residential REIT Inc. | 10,682 | 45 |
Kemper Corp. | 1,311 | 45 |
Trustmark Corp. | 1,765 | 44 |
Morningstar Inc. | 584 | 44 |
* MBIA Inc. | 3,692 | 44 |
Home Loan Servicing Solutions Ltd. | 1,905 | 43 |
Redwood Trust Inc. | 2,390 | 43 |
* Alexander & Baldwin Inc. | 1,179 | 42 |
Glimcher Realty Trust | 4,273 | 42 |
* First Cash Financial Services Inc. | 760 | 42 |
Pebblebrook Hotel Trust | 1,640 | 42 |
Iberiabank Corp. | 800 | 42 |
* Cardtronics Inc. | 1,205 | 42 |
New Residential Investment Corp. | 6,529 | 41 |
Evercore Partners Inc. Class A | 921 | 41 |
MB Financial Inc. | 1,514 | 41 |
PennyMac Mortgage Investment Trust | 1,936 | 41 |
Sun Communities Inc. | 940 | 40 |
* Strategic Hotels & Resorts Inc. | 4,885 | 40 |
CYS Investments Inc. | 5,138 | 39 |
First Citizens BancShares Inc.Class A | 195 | 39 |
Wintrust Financial Corp. | 994 | 39 |
Heartland Payment Systems Inc. | 1,060 | 39 |
United Bankshares Inc. | 1,399 | 39 |
Acadia Realty Trust | 1,650 | 38 |
DuPont Fabros Technology Inc. | 1,688 | 38 |
PrivateBancorp Inc. | 1,758 | 38 |
Ryman Hospitality Properties Inc. | 1,147 | 38 |
PS Business Parks Inc. | 519 | 38 |
* Enstar Group Ltd. | 278 | 37 |
Westamerica Bancorporation | 785 | 37 |
Greenhill & Co. Inc. | 775 | 37 |
Northwest Bancshares Inc. | 2,751 | 37 |
Pennsylvania REIT | 1,976 | 37 |
* Walter Investment Management Corp. | 998 | 37 |
Bank of the Ozarks Inc. | 803 | 36 |
Old National Bancorp | 2,770 | 36 |
Symetra Financial Corp. | 2,102 | 36 |
Community Bank System Inc. | 1,087 | 36 |
American Equity Investment Life Holding Co. | 1,795 | 36 |
National Health Investors Inc. | 645 | 35 |
Fifth Street Finance Corp. | 3,398 | 35 |
First Financial Holdings Inc. | 650 | 35 |
LTC Properties Inc. | 986 | 35 |
* St. Joe Co. | 1,799 | 35 |
Cash America International Inc. | 809 | 35 |
PacWest Bancorp | 1,030 | 34 |
17
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Selective Insurance Group Inc. | 1,486 | 34 |
Colony Financial Inc. | 1,720 | 34 |
* Western Alliance Bancorp | 2,034 | 33 |
Government Properties Income Trust | 1,421 | 33 |
Capstead Mortgage Corp. | 2,828 | 33 |
Equity One Inc. | 1,557 | 33 |
Home BancShares Inc. | 1,267 | 32 |
Janus Capital Group Inc. | 3,850 | 32 |
Main Street Capital Corp. | 1,105 | 32 |
Franklin Street Properties Corp. | 2,623 | 32 |
International Bancshares Corp. | 1,455 | 32 |
First Midwest Bancorp Inc. | 2,113 | 32 |
Mercury General Corp. | 719 | 32 |
Astoria Financial Corp. | 2,565 | 32 |
CVB Financial Corp. | 2,456 | 31 |
American Capital Mortgage Investment Corp. | 1,561 | 31 |
Amtrust Financial Services Inc. | 859 | 31 |
* Nationstar Mortgage Holdings Inc. | 615 | 31 |
Horace Mann Educators Corp. | 1,154 | 30 |
Columbia Banking System Inc. | 1,299 | 30 |
Hersha Hospitality Trust Class A | 5,747 | 30 |
National Penn Bancshares Inc. | 2,956 | 30 |
Healthcare Trust of America Inc. Class A | 2,875 | 30 |
Chesapeake Lodging Trust | 1,340 | 29 |
EverBank Financial Corp. | 2,077 | 29 |
Montpelier Re Holdings Ltd. | 1,173 | 29 |
* WisdomTree Investments Inc. | 2,593 | 29 |
Argo Group International Holdings Ltd. | 703 | 29 |
BBCN Bancorp Inc. | 2,143 | 29 |
* Pinnacle Financial Partners Inc. | 1,020 | 29 |
* Virtus Investment Partners Inc. | 163 | 28 |
* Encore Capital Group Inc. | 662 | 28 |
CNA Financial Corp. | 795 | 28 |
Education Realty Trust Inc. | 3,252 | 28 |
* iStar Financial Inc. | 2,497 | 28 |
Provident Financial Services Inc. | 1,701 | 28 |
Retail Opportunity Investments Corp. | 2,116 | 27 |
Investors Bancorp Inc. | 1,308 | 27 |
NBT Bancorp Inc. | 1,271 | 27 |
Nelnet Inc. Class A | 715 | 27 |
Solar Capital Ltd. | 1,229 | 27 |
Kennedy-Wilson Holdings Inc. | 1,441 | 27 |
American Assets Trust Inc. | 896 | 27 |
National Bank Holdings Corp. Class A | 1,349 | 26 |
Park National Corp. | 344 | 26 |
First Financial Bancorp | 1,729 | 26 |
* TFS Financial Corp. | 2,377 | 26 |
* Ambac Financial Group Inc. | 1,162 | 26 |
Hercules Technology Growth Capital Inc. | 1,754 | 25 |
Hudson Pacific Properties Inc. | 1,259 | 25 |
* Hilltop Holdings Inc. | 1,602 | 25 |
OFG Bancorp | 1,430 | 25 |
Triangle Capital Corp. | 841 | 25 |
Advent Software Inc. | 902 | 24 |
Boston Private Financial Holdings Inc. | 2,359 | 24 |
* BofI Holding Inc. | 372 | 24 |
Independent Bank Corp. | 676 | 24 |
HFF Inc. Class A | 1,043 | 24 |
* Greenlight Capital Re Ltd. Class A | 893 | 24 |
Chemical Financial Corp. | 873 | 24 |
Sabra Health Care REIT Inc. | 1,070 | 24 |
Inland Real Estate Corp. | 2,396 | 24 |
* World Acceptance Corp. | 273 | 23 |
American National Insurance Co. | 220 | 23 |
18
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Ezcorp Inc. Class A | 1,352 | 23 |
* Credit Acceptance Corp. | 213 | 23 |
PennantPark Investment Corp. | 2,054 | 23 |
Interactive Brokers Group Inc. | 1,355 | 23 |
BlackRock Kelso Capital Corp. | 2,306 | 23 |
Sterling Financial Corp. | 920 | 22 |
CapLease Inc. | 2,592 | 22 |
Banco Latinoamericano de Comercio Exterior SA | 913 | 22 |
ViewPoint Financial Group Inc. | 1,097 | 22 |
Ramco-Gershenson Properties Trust | 1,476 | 21 |
* Forestar Group Inc. | 1,070 | 21 |
Campus Crest Communities Inc. | 2,017 | 21 |
Investors Real Estate Trust | 2,599 | 21 |
* FelCor Lodging Trust Inc. | 3,839 | 21 |
STAG Industrial Inc. | 1,049 | 21 |
Tower Group International Ltd. | 1,483 | 21 |
S&T Bancorp Inc. | 928 | 21 |
Stewart Information Services Corp. | 681 | 21 |
Associated Estates Realty Corp. | 1,501 | 21 |
Employers Holdings Inc. | 756 | 20 |
Ashford Hospitality Trust Inc. | 1,733 | 20 |
BGC Partners Inc. Class A | 3,497 | 20 |
City Holding Co. | 476 | 19 |
FXCM Inc. Class A | 1,009 | 19 |
Anworth Mortgage Asset Corp. | 4,256 | 19 |
AMERISAFE Inc. | 577 | 19 |
Cohen & Steers Inc. | 598 | 19 |
Parkway Properties Inc. | 1,132 | 19 |
New Mountain Finance Corp. | 1,245 | 18 |
EVERTEC Inc. | 762 | 18 |
Northfield Bancorp Inc. | 1,502 | 18 |
WesBanco Inc. | 626 | 18 |
* Piper Jaffray Cos. | 550 | 18 |
First Commonwealth Financial Corp. | 2,437 | 18 |
Excel Trust Inc. | 1,532 | 18 |
First Potomac Realty Trust | 1,432 | 18 |
* Green Dot Corp. Class A | 774 | 18 |
* Eagle Bancorp Inc. | 694 | 18 |
Tompkins Financial Corp. | 407 | 18 |
Resource Capital Corp. | 3,035 | 18 |
Kite Realty Group Trust | 2,963 | 17 |
Summit Hotel Properties Inc. | 1,789 | 17 |
Infinity Property & Casualty Corp. | 282 | 17 |
THL Credit Inc. | 1,082 | 17 |
Oritani Financial Corp. | 1,085 | 17 |
* Global Cash Access Holdings Inc. | 2,184 | 17 |
Select Income REIT | 672 | 16 |
* Investment Technology Group Inc. | 959 | 16 |
TICC Capital Corp. | 1,686 | 16 |
Banner Corp. | 472 | 16 |
AG Mortgage Investment Trust Inc. | 913 | 16 |
* KCG Holdings Inc. Class A | 1,846 | 16 |
Artisan Partners Asset Management Inc. | 328 | 16 |
Maiden Holdings Ltd. | 1,191 | 16 |
Golub Capital BDC Inc. | 901 | 16 |
Safety Insurance Group Inc. | 309 | 15 |
Brookline Bancorp Inc. | 1,695 | 15 |
CoreSite Realty Corp. | 503 | 15 |
StellarOne Corp. | 747 | 15 |
Renasant Corp. | 607 | 15 |
* Ameris Bancorp | 794 | 15 |
Southside Bancshares Inc. | 604 | 15 |
Berkshire Hills Bancorp Inc. | 604 | 15 |
* United Community Banks Inc. | 1,021 | 15 |
19
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* MoneyGram International Inc. | 720 | 15 |
Apollo Commercial Real Estate Finance Inc. | 967 | 15 |
Provident New York Bancorp | 1,406 | 14 |
United Fire Group Inc. | 490 | 14 |
Chatham Lodging Trust | 767 | 14 |
* Virginia Commerce Bancorp Inc. | 929 | 14 |
* Navigators Group Inc. | 248 | 14 |
Heartland Financial USA Inc. | 495 | 13 |
Cass Information Systems Inc. | 256 | 13 |
Dynex Capital Inc. | 1,672 | 13 |
Alexander's Inc. | 49 | 13 |
First Interstate Bancsystem Inc. | 587 | 13 |
Terreno Realty Corp. | 758 | 13 |
Flushing Financial Corp. | 743 | 13 |
* eHealth Inc. | 480 | 13 |
Western Asset Mortgage Capital Corp. | 842 | 13 |
RAIT Financial Trust | 2,117 | 13 |
TrustCo Bank Corp. NY | 2,238 | 13 |
Sandy Spring Bancorp Inc. | 584 | 13 |
Lakeland Financial Corp. | 418 | 13 |
Apollo Residential Mortgage Inc. | 853 | 13 |
* Tejon Ranch Co. | 435 | 13 |
Wilshire Bancorp Inc. | 1,579 | 13 |
Community Trust Bancorp Inc. | 338 | 13 |
* Capital Bank Financial Corp. | 645 | 13 |
Bancfirst Corp. | 247 | 13 |
Hanmi Financial Corp. | 761 | 12 |
Dime Community Bancshares Inc. | 780 | 12 |
First Merchants Corp. | 726 | 12 |
* Altisource Residential Corp. | 647 | 12 |
* Bancorp Inc. | 771 | 12 |
Westwood Holdings Group Inc. | 255 | 12 |
SY Bancorp Inc. | 456 | 12 |
* Taylor Capital Group Inc. | 559 | 12 |
WSFS Financial Corp. | 198 | 12 |
HCI Group Inc. | 336 | 12 |
* PICO Holdings Inc. | 555 | 12 |
National Western Life Insurance Co. Class A | 59 | 12 |
Cardinal Financial Corp. | 710 | 12 |
* First BanCorp | 1,808 | 12 |
Urstadt Biddle Properties Inc. Class A | 589 | 12 |
* Cowen Group Inc. Class A | 3,546 | 11 |
Universal Health Realty Income Trust | 286 | 11 |
Getty Realty Corp. | 622 | 11 |
FBL Financial Group Inc. Class A | 257 | 11 |
Union First Market Bankshares Corp. | 527 | 11 |
MVC Capital Inc. | 898 | 11 |
Hudson Valley Holding Corp. | 597 | 11 |
Arlington Asset Investment Corp. Class A | 470 | 11 |
Bryn Mawr Bank Corp. | 430 | 11 |
GFI Group Inc. | 2,691 | 11 |
* DFC Global Corp. | 954 | 11 |
State Bank Financial Corp. | 710 | 11 |
Sterling Bancorp | 843 | 11 |
Medley Capital Corp. | 807 | 11 |
TCP Capital Corp. | 676 | 11 |
Rouse Properties Inc. | 567 | 11 |
Simmons First National Corp. Class A | 428 | 10 |
1st Source Corp. | 395 | 10 |
First Bancorp | 704 | 10 |
Central Pacific Financial Corp. | 577 | 10 |
Capital Southwest Corp. | 296 | 10 |
Washington Trust Bancorp Inc. | 323 | 10 |
Rockville Financial Inc. | 739 | 10 |
20
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
TowneBank | 685 | 10 |
New York Mortgage Trust Inc. | 1,580 | 10 |
Whitestone REIT | 673 | 10 |
MCG Capital Corp. | 1,945 | 10 |
Gladstone Commercial Corp. | 530 | 9 |
Lakeland Bancorp Inc. | 857 | 9 |
* NewStar Financial Inc. | 696 | 9 |
First Financial Corp. | 300 | 9 |
Monmouth Real Estate Investment Corp. Class A | 1,002 | 9 |
OneBeacon Insurance Group Ltd. Class A | 626 | 9 |
Agree Realty Corp. | 326 | 9 |
Federal Agricultural Mortgage Corp. | 262 | 9 |
Saul Centers Inc. | 202 | 9 |
Blackhawk Network Holdings Inc. | 355 | 9 |
HomeStreet Inc. | 442 | 9 |
Fidelity Southern Corp. | 603 | 9 |
CoBiz Financial Inc. | 967 | 9 |
* Gramercy Property Trust Inc. | 2,100 | 9 |
* Banc of California Inc. | 644 | 9 |
* Higher One Holdings Inc. | 1,146 | 9 |
* Customers Bancorp Inc. | 515 | 8 |
GAMCO Investors Inc. | 145 | 8 |
* Suffolk Bancorp | 486 | 8 |
* Safeguard Scientifics Inc. | 567 | 8 |
Charter Financial Corp. | 795 | 8 |
* Walker & Dunlop Inc. | 559 | 8 |
Universal Insurance Holdings Inc. | 1,092 | 8 |
CyrusOne Inc. | 421 | 8 |
Horizon Bancorp | 367 | 8 |
Cedar Realty Trust Inc. | 1,607 | 8 |
Consolidated-Tomoka Land Co. | 217 | 8 |
Winthrop Realty Trust | 653 | 8 |
Ares Commercial Real Estate Corp. | 599 | 8 |
Flagstar Bancorp Inc. | 512 | 7 |
AmREIT Inc. | 429 | 7 |
* Harbinger Group Inc. | 776 | 7 |
First Busey Corp. | 1,463 | 7 |
* Beneficial Mutual Bancorp Inc. | 736 | 7 |
HomeTrust Bancshares Inc. | 416 | 7 |
Aviv REIT Inc. | 297 | 7 |
Trico Bancshares | 321 | 7 |
* Citizens Inc. Class A | 873 | 7 |
Diamond Hill Investment Group Inc. | 57 | 6 |
Meadowbrook Insurance Group Inc. | 1,039 | 6 |
Centerstate Banks Inc. | 675 | 6 |
BNC Bancorp | 474 | 6 |
Bank Mutual Corp. | 1,037 | 6 |
Univest Corp. of Pennsylvania | 323 | 6 |
* American Residential Properties Inc. | 354 | 6 |
German American Bancorp Inc. | 253 | 6 |
Enterprise Financial Services Corp. | 363 | 6 |
Park Sterling Corp. | 999 | 6 |
* American Safety Insurance Holdings Ltd. | 197 | 6 |
United Financial Bancorp Inc. | 378 | 6 |
State Auto Financial Corp. | 316 | 6 |
Camden National Corp. | 153 | 6 |
Solar Senior Capital Ltd. | 327 | 6 |
First of Long Island Corp. | 156 | 6 |
Silver Bay Realty Trust Corp. | 362 | 6 |
MainSource Financial Group Inc. | 397 | 6 |
* PennyMac Financial Services Inc. Class A | 330 | 6 |
First Connecticut Bancorp Inc. | 399 | 6 |
* Yadkin Financial Corp. | 372 | 6 |
Great Southern Bancorp Inc. | 207 | 6 |
21
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* INTL. FCStone Inc. | 280 | 5 |
* Southwest Bancorp Inc. | 369 | 5 |
Medallion Financial Corp. | 375 | 5 |
* Pacific Premier Bancorp Inc. | 398 | 5 |
Financial Institutions Inc. | 280 | 5 |
* Metro Bancorp Inc. | 271 | 5 |
Arrow Financial Corp. | 203 | 5 |
First Community Bancshares Inc. | 340 | 5 |
Territorial Bancorp Inc. | 231 | 5 |
FBR & Co. | 188 | 5 |
* OmniAmerican Bancorp Inc. | 220 | 5 |
Fidus Investment Corp. | 258 | 5 |
KCAP Financial Inc. | 571 | 5 |
* NewBridge Bancorp | 652 | 5 |
Armada Hoffler Properties Inc. | 491 | 5 |
* MPG Office Trust Inc. | 1,480 | 5 |
National Bankshares Inc. | 125 | 5 |
Republic Bancorp Inc.Class A | 172 | 5 |
Meta Financial Group Inc. | 142 | 4 |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 381 | 4 |
* Global Indemnity plc | 182 | 4 |
First Defiance Financial Corp. | 181 | 4 |
One Liberty Properties Inc. | 204 | 4 |
OceanFirst Financial Corp. | 265 | 4 |
* Phoenix Cos. Inc. | 114 | 4 |
Pacific Continental Corp. | 343 | 4 |
West Bancorporation Inc. | 335 | 4 |
Franklin Financial Corp. | 234 | 4 |
* GSV Capital Corp. | 333 | 4 |
* United Community Financial Corp. | 1,022 | 4 |
Kansas City Life Insurance Co. | 93 | 4 |
Penns Woods Bancorp Inc. | 86 | 4 |
* CU Bancorp | 243 | 4 |
Heritage Financial Corp. | 268 | 4 |
Citizens & Northern Corp. | 211 | 4 |
JAVELIN Mortgage Investment Corp. | 324 | 4 |
Sierra Bancorp | 276 | 4 |
1st United Bancorp Inc. | 552 | 4 |
Home Federal Bancorp Inc. | 309 | 4 |
Fox Chase Bancorp Inc. | 232 | 4 |
Bank of Marin Bancorp | 98 | 4 |
* Farmers Capital Bank Corp. | 193 | 4 |
Manning & Napier Inc. | 257 | 4 |
Peoples Bancorp Inc. | 181 | 4 |
* Ladenburg Thalmann Financial Services Inc. | 2,243 | 4 |
Center Bancorp Inc. | 267 | 4 |
Baldwin & Lyons Inc. | 155 | 4 |
* First Security Group Inc. | 1,611 | 4 |
Nicholas Financial Inc. | 225 | 4 |
* Xoom Corp. | 135 | 4 |
Washington Banking Co. | 264 | 4 |
Doral Financial Corp. | 153 | 4 |
CNB Financial Corp. | 214 | 4 |
* Seacoast Banking Corp. of Florida | 1,733 | 4 |
PennantPark Floating Rate Capital Ltd. | 266 | 4 |
BankFinancial Corp. | 418 | 4 |
Gladstone Capital Corp. | 425 | 3 |
First M&F Corp. | 214 | 3 |
Calamos Asset Management Inc. Class A | 346 | 3 |
Westfield Financial Inc. | 516 | 3 |
Independent Bank Group Inc. | 99 | 3 |
Oppenheimer Holdings Inc. Class A | 193 | 3 |
* Firsthand Technology Value Fund Inc. | 148 | 3 |
* AV Homes Inc. | 208 | 3 |
22
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Merchants Bancshares Inc. | 114 | 3 |
Crawford & Co. Class B | 439 | 3 |
Tree.com Inc. | 131 | 3 |
Bank of Kentucky Financial Corp. | 120 | 3 |
National Interstate Corp. | 128 | 3 |
* Intervest Bancshares Corp. Class A | 462 | 3 |
Mercantile Bank Corp. | 160 | 3 |
First Financial Northwest Inc. | 300 | 3 |
Guaranty Bancorp | 270 | 3 |
* Sun Bancorp Inc. | 872 | 3 |
Ames National Corp. | 157 | 3 |
* Preferred Bank | 197 | 3 |
* Bridge Capital Holdings | 197 | 3 |
* Kearny Financial Corp. | 323 | 3 |
First Bancorp Inc. | 194 | 3 |
Heritage Commerce Corp. | 457 | 3 |
Bridge Bancorp Inc. | 148 | 3 |
LCNB Corp. | 157 | 3 |
* Imperial Holdings Inc. | 446 | 3 |
* Regional Management Corp. | 110 | 3 |
* SWS Group Inc. | 573 | 3 |
Provident Financial Holdings Inc. | 169 | 3 |
Gladstone Investment Corp. | 438 | 3 |
C&F Financial Corp. | 59 | 3 |
NGP Capital Resources Co. | 465 | 3 |
Thomas Properties Group Inc. | 527 | 3 |
* Chemung Financial Corp. | 93 | 3 |
MidWestOne Financial Group Inc. | 122 | 3 |
American National Bankshares Inc. | 130 | 3 |
MidSouth Bancorp Inc. | 187 | 3 |
Peapack Gladstone Financial Corp. | 167 | 3 |
* Hallmark Financial Services Inc. | 327 | 3 |
MetroCorp Bancshares Inc. | 271 | 3 |
* Macatawa Bank Corp. | 613 | 3 |
UMH Properties Inc. | 282 | 3 |
* Planet Payment Inc. | 1,098 | 3 |
* Meridian Interstate Bancorp Inc. | 136 | 3 |
Northrim BanCorp Inc. | 117 | 3 |
Eastern Insurance Holdings Inc. | 131 | 3 |
Bar Harbor Bankshares | 72 | 3 |
* Consumer Portfolio Services Inc. | 439 | 3 |
* Roma Financial Corp. | 142 | 3 |
* First NBC Bank Holding Co. | 108 | 3 |
Ellington Residential Mortgage REIT | 167 | 3 |
* Heritage Oaks Bancorp | 403 | 3 |
* NASB Financial Inc. | 93 | 2 |
Independence Holding Co. | 175 | 2 |
Donegal Group Inc. Class A | 181 | 2 |
Stellus Capital Investment Corp. | 161 | 2 |
Investors Title Co. | 34 | 2 |
* BBX Capital Corp. | 187 | 2 |
ESB Financial Corp. | 200 | 2 |
* Capital City Bank Group Inc. | 198 | 2 |
Garrison Capital Inc. | 155 | 2 |
WhiteHorse Finance Inc. | 149 | 2 |
* Tristate Capital Holdings Inc. | 170 | 2 |
* Home Bancorp Inc. | 129 | 2 |
Middleburg Financial Corp. | 117 | 2 |
Access National Corp. | 159 | 2 |
Gain Capital Holdings Inc. | 285 | 2 |
Resource America Inc. Class A | 283 | 2 |
JMP Group Inc. | 325 | 2 |
ESSA Bancorp Inc. | 195 | 2 |
EMC Insurance Group Inc. | 74 | 2 |
23
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Hingham Institution for Savings | 31 | 2 |
* Waterstone Financial Inc. | 207 | 2 |
ZAIS Financial Corp. | 124 | 2 |
Century Bancorp Inc.Class A | 60 | 2 |
Enterprise Bancorp Inc. | 100 | 2 |
Horizon Technology Finance Corp. | 131 | 2 |
Clifton Savings Bancorp Inc. | 141 | 2 |
CommunityOne Bancorp | 198 | 2 |
Pzena Investment Management Inc. Class A | 244 | 2 |
Griffin Land & Nurseries Inc. | 47 | 1 |
* Palmetto Bancshares Inc. | 116 | 1 |
* Hampton Roads Bankshares Inc. | 871 | 1 |
Intersections Inc. | 145 | 1 |
* ConnectOne Bancorp Inc. | 40 | 1 |
* Cascade Bancorp | 210 | 1 |
* Fortegra Financial Corp. | 165 | 1 |
California First National Bancorp | 69 | 1 |
* Health Insurance Innovations Inc. Class A | 99 | 1 |
* First Marblehead Corp. | 1,214 | 1 |
CIFC Corp. | 76 | 1 |
* First Federal Bancshares of Arkansas Inc. | 36 | — |
* VantageSouth Bancshares Inc. | 33 | — |
95,086 | ||
Health Care (12.5%) | ||
Johnson & Johnson | 77,165 | 6,668 |
Pfizer Inc. | 183,733 | 5,183 |
Merck & Co. Inc. | 82,954 | 3,923 |
* Gilead Sciences Inc. | 41,904 | 2,526 |
Amgen Inc. | 20,604 | 2,245 |
UnitedHealth Group Inc. | 28,022 | 2,010 |
Bristol-Myers Squibb Co. | 45,124 | 1,881 |
AbbVie Inc. | 43,508 | 1,854 |
* Celgene Corp. | 11,459 | 1,604 |
Medtronic Inc. | 27,912 | 1,444 |
* Express Scripts Holding Co. | 22,459 | 1,435 |
Abbott Laboratories | 42,825 | 1,427 |
Eli Lilly & Co. | 27,232 | 1,400 |
* Biogen Idec Inc. | 6,522 | 1,389 |
Baxter International Inc. | 14,889 | 1,036 |
Thermo Fisher Scientific Inc. | 9,861 | 876 |
Covidien plc | 12,925 | 768 |
McKesson Corp. | 6,226 | 756 |
Allergan Inc. | 8,143 | 720 |
WellPoint Inc. | 8,252 | 703 |
Aetna Inc. | 10,392 | 659 |
Cigna Corp. | 7,839 | 617 |
Stryker Corp. | 9,118 | 610 |
* Alexion Pharmaceuticals Inc. | 5,361 | 578 |
* Regeneron Pharmaceuticals Inc. | 2,201 | 533 |
Becton Dickinson and Co. | 5,337 | 520 |
* Actavis Inc. | 3,663 | 495 |
* Vertex Pharmaceuticals Inc. | 6,396 | 481 |
Cardinal Health Inc. | 9,391 | 472 |
* Intuitive Surgical Inc. | 1,104 | 427 |
Zoetis Inc. | 13,735 | 400 |
Humana Inc. | 4,327 | 398 |
St. Jude Medical Inc. | 7,785 | 392 |
* Boston Scientific Corp. | 37,062 | 392 |
* Cerner Corp. | 8,147 | 375 |
* Mylan Inc. | 10,470 | 370 |
Zimmer Holdings Inc. | 4,626 | 366 |
AmerisourceBergen Corp. Class A | 6,344 | 361 |
* Life Technologies Corp. | 4,728 | 352 |
24
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Perrigo Co. | 2,584 | 314 |
* Forest Laboratories Inc. | 7,326 | 312 |
* Catamaran Corp. | 5,657 | 311 |
HCA Holdings Inc. | 7,352 | 281 |
* DaVita HealthCare Partners Inc. | 2,531 | 272 |
* Illumina Inc. | 3,417 | 266 |
Quest Diagnostics Inc. | 4,343 | 255 |
CR Bard Inc. | 2,211 | 254 |
* BioMarin Pharmaceutical Inc. | 3,821 | 250 |
* Onyx Pharmaceuticals Inc. | 2,000 | 247 |
* Laboratory Corp. of America Holdings | 2,555 | 245 |
* Henry Schein Inc. | 2,397 | 242 |
* Edwards Lifesciences Corp. | 3,115 | 219 |
* CareFusion Corp. | 6,065 | 217 |
* Varian Medical Systems Inc. | 2,994 | 211 |
ResMed Inc. | 3,947 | 186 |
* Pharmacyclics Inc. | 1,621 | 181 |
* Hospira Inc. | 4,614 | 180 |
Cooper Cos. Inc. | 1,342 | 175 |
Universal Health Services Inc. Class B | 2,530 | 171 |
DENTSPLY International Inc. | 3,872 | 163 |
Omnicare Inc. | 2,924 | 159 |
* Hologic Inc. | 7,282 | 155 |
Warner Chilcott plc Class A | 7,036 | 151 |
* IDEXX Laboratories Inc. | 1,516 | 142 |
* MEDNAX Inc. | 1,361 | 133 |
* QIAGEN NV | 6,573 | 132 |
* Endo Health Solutions Inc. | 3,070 | 126 |
* Covance Inc. | 1,544 | 125 |
* Jazz Pharmaceuticals plc | 1,418 | 124 |
* Seattle Genetics Inc. | 2,832 | 120 |
* Medivation Inc. | 2,073 | 117 |
* Cubist Pharmaceuticals Inc. | 1,758 | 111 |
* Tenet Healthcare Corp. | 2,844 | 111 |
* Salix Pharmaceuticals Ltd. | 1,645 | 110 |
PerkinElmer Inc. | 3,036 | 109 |
* Alkermes plc | 3,394 | 108 |
* athenahealth Inc. | 1,011 | 107 |
Community Health Systems Inc. | 2,551 | 100 |
* Incyte Corp. Ltd. | 2,902 | 98 |
* Sirona Dental Systems Inc. | 1,487 | 96 |
Patterson Cos. Inc. | 2,376 | 95 |
* Ariad Pharmaceuticals Inc. | 5,074 | 94 |
Questcor Pharmaceuticals Inc. | 1,392 | 93 |
* Health Management Associates Inc. Class A | 7,189 | 92 |
* United Therapeutics Corp. | 1,267 | 90 |
Teleflex Inc. | 1,125 | 87 |
* Centene Corp. | 1,505 | 86 |
* Align Technology Inc. | 1,952 | 85 |
* Alnylam Pharmaceuticals Inc. | 1,610 | 83 |
* Theravance Inc. | 2,206 | 79 |
Techne Corp. | 1,008 | 78 |
* Isis Pharmaceuticals Inc. | 2,983 | 77 |
* HealthSouth Corp. | 2,370 | 75 |
* WellCare Health Plans Inc. | 1,164 | 74 |
* PAREXEL International Corp. | 1,593 | 74 |
* Team Health Holdings Inc. | 1,922 | 74 |
Mallinckrodt plc | 1,649 | 72 |
* Aegerion Pharmaceuticals Inc. | 816 | 71 |
* Alere Inc. | 2,243 | 70 |
* Allscripts Healthcare Solutions Inc. | 4,754 | 69 |
West Pharmaceutical Services Inc. | 932 | 69 |
* Health Net Inc. | 2,259 | 68 |
* Medidata Solutions Inc. | 760 | 68 |
25
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | NPS Pharmaceuticals Inc. | 2,702 | 68 |
* | VCA Antech Inc. | 2,436 | 66 |
* | Brookdale Senior Living Inc. Class A | 2,638 | 66 |
STERIS Corp. | 1,572 | 64 | |
* | Cepheid Inc. | 1,788 | 64 |
* | Bruker Corp. | 3,141 | 63 |
* | Bio-Rad Laboratories Inc. Class A | 551 | 63 |
* | Charles River Laboratories International Inc. | 1,358 | 63 |
Owens & Minor Inc. | 1,773 | 60 | |
* | LifePoint Hospitals Inc. | 1,333 | 60 |
* | HMS Holdings Corp. | 2,398 | 60 |
Hill-Rom Holdings Inc. | 1,721 | 59 | |
* | Myriad Genetics Inc. | 2,226 | 58 |
* | Thoratec Corp. | 1,628 | 58 |
* | Medicines Co. | 1,789 | 57 |
* | Haemonetics Corp. | 1,404 | 56 |
* | MWI Veterinary Supply Inc. | 358 | 54 |
* | ViroPharma Inc. | 1,734 | 52 |
* | Insulet Corp. | 1,564 | 52 |
* | DexCom Inc. | 1,855 | 50 |
* | Celldex Therapeutics Inc. | 2,227 | 48 |
* | Prestige Brands Holdings Inc. | 1,484 | 48 |
*,^ | Opko Health Inc. | 5,187 | 48 |
* | Magellan Health Services Inc. | 782 | 44 |
* | Arena Pharmaceuticals Inc. | 6,486 | 42 |
Air Methods Corp. | 1,005 | 41 | |
* | Acorda Therapeutics Inc. | 1,166 | 39 |
* | Nektar Therapeutics | 3,117 | 38 |
* | Impax Laboratories Inc. | 1,849 | 38 |
* | Acadia Healthcare Co. Inc. | 980 | 38 |
* | Cyberonics Inc. | 733 | 37 |
* | ImmunoGen Inc. | 2,326 | 37 |
* | HeartWare International Inc. | 468 | 37 |
Chemed Corp. | 524 | 36 | |
* | ACADIA Pharmaceuticals Inc. | 1,809 | 36 |
* | Vivus Inc. | 2,877 | 36 |
* | MedAssets Inc. | 1,560 | 35 |
* | Neogen Corp. | 640 | 35 |
* | Sarepta Therapeutics Inc. | 999 | 34 |
Masimo Corp. | 1,373 | 34 | |
* | Santarus Inc. | 1,506 | 34 |
* | InterMune Inc. | 2,351 | 34 |
* | Volcano Corp. | 1,564 | 33 |
* | Amsurg Corp. Class A | 862 | 32 |
* | Akorn Inc. | 1,760 | 32 |
* | Ironwood Pharmaceuticals Inc. Class A | 2,629 | 31 |
PDL BioPharma Inc. | 3,847 | 31 | |
* | Quintiles Transnational Holdings Inc. | 703 | 30 |
* | NuVasive Inc. | 1,266 | 30 |
* | Clovis Oncology Inc. | 458 | 30 |
* | Puma Biotechnology Inc. | 572 | 29 |
* | Hanger Inc. | 936 | 29 |
* | Neurocrine Biosciences Inc. | 1,957 | 29 |
* | WebMD Health Corp. | 905 | 28 |
* | Molina Healthcare Inc. | 833 | 28 |
* | Exelixis Inc. | 5,547 | 28 |
* | Emeritus Corp. | 1,251 | 27 |
* | ICU Medical Inc. | 381 | 27 |
* | Endologix Inc. | 1,718 | 27 |
CONMED Corp. | 857 | 27 | |
* | Ligand Pharmaceuticals Inc. Class B | 554 | 27 |
* | IPC The Hospitalist Co. Inc. | 512 | 26 |
* | Wright Medical Group Inc. | 1,093 | 26 |
Meridian Bioscience Inc. | 1,165 | 26 |
26
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Pacira Pharmaceuticals Inc. | 716 | 26 |
* | Greatbatch Inc. | 752 | 26 |
Cantel Medical Corp. | 986 | 26 | |
Analogic Corp. | 339 | 25 | |
* | Globus Medical Inc. | 1,410 | 25 |
* | Auxilium Pharmaceuticals Inc. | 1,423 | 25 |
* | Raptor Pharmaceutical Corp. | 1,828 | 25 |
Quality Systems Inc. | 1,188 | 25 | |
* | ArthroCare Corp. | 774 | 25 |
* | Integra LifeSciences Holdings Corp. | 602 | 24 |
* | ABIOMED Inc. | 1,035 | 24 |
Abaxis Inc. | 607 | 24 | |
* | Halozyme Therapeutics Inc. | 2,818 | 23 |
* | AVANIR Pharmaceuticals Inc. | 4,589 | 23 |
* | Quidel Corp. | 870 | 23 |
* | Infinity Pharmaceuticals Inc. | 1,245 | 23 |
* | Omnicell Inc. | 1,056 | 23 |
*,^ | MannKind Corp. | 3,953 | 23 |
* | Vanguard Health Systems Inc. | 1,080 | 23 |
* | Exact Sciences Corp. | 1,951 | 23 |
Ensign Group Inc. | 579 | 22 | |
* | Keryx Biopharmaceuticals Inc. | 2,501 | 21 |
* | Synageva BioPharma Corp. | 444 | 21 |
* | Achillion Pharmaceuticals Inc. | 3,143 | 20 |
* | NxStage Medical Inc. | 1,639 | 20 |
* | Healthways Inc. | 1,060 | 20 |
* | Momenta Pharmaceuticals Inc. | 1,431 | 20 |
* | Luminex Corp. | 978 | 20 |
* | Orexigen Therapeutics Inc. | 2,835 | 19 |
Kindred Healthcare Inc. | 1,311 | 19 | |
* | Capital Senior Living Corp. | 908 | 19 |
* | AMN Healthcare Services Inc. | 1,350 | 18 |
* | Accretive Health Inc. | 1,944 | 18 |
* | ExamWorks Group Inc. | 757 | 18 |
* | BioScrip Inc. | 1,453 | 18 |
* | Astex Pharmaceuticals | 2,704 | 18 |
* | Sangamo Biosciences Inc. | 1,779 | 18 |
* | Insmed Inc. | 1,128 | 17 |
* | Bio-Reference Labs Inc. | 591 | 17 |
* | Dyax Corp. | 3,747 | 17 |
* | Array BioPharma Inc. | 2,958 | 17 |
Hi-Tech Pharmacal Co. Inc. | 379 | 16 | |
* | Spectranetics Corp. | 1,020 | 16 |
* | Staar Surgical Co. | 1,254 | 16 |
* | Trius Therapeutics Inc. | 1,151 | 16 |
Computer Programs & Systems Inc. | 277 | 15 | |
* | Tornier NV | 793 | 15 |
* | Immunomedics Inc. | 2,503 | 15 |
* | MAKO Surgical Corp. | 988 | 15 |
* | Novavax Inc. | 4,636 | 15 |
* | GenMark Diagnostics Inc. | 1,267 | 15 |
* | Repros Therapeutics Inc. | 687 | 15 |
* | Optimer Pharmaceuticals Inc. | 1,141 | 14 |
* | Endocyte Inc. | 981 | 14 |
* | Affymetrix Inc. | 2,490 | 14 |
* | Cynosure Inc. Class A | 600 | 14 |
Select Medical Holdings Corp. | 1,612 | 14 | |
* | Cambrex Corp. | 997 | 14 |
* | Cardiovascular Systems Inc. | 658 | 14 |
* | Dendreon Corp. | 4,748 | 13 |
* | MiMedx Group Inc. | 2,173 | 13 |
* | Merit Medical Systems Inc. | 1,037 | 13 |
* | AMAG Pharmaceuticals Inc. | 561 | 13 |
Atrion Corp. | 55 | 13 |
27
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Lexicon Pharmaceuticals Inc. | 5,248 | 13 |
* Amedisys Inc. | 798 | 13 |
* Gentiva Health Services Inc. | 1,129 | 13 |
* Accuray Inc. | 1,949 | 13 |
* Fluidigm Corp. | 625 | 13 |
* Curis Inc. | 2,894 | 13 |
* Genomic Health Inc. | 399 | 13 |
* Triple-S Management Corp. Class B | 657 | 12 |
* TESARO Inc. | 349 | 12 |
* Antares Pharma Inc. | 2,725 | 12 |
* Accelrys Inc. | 1,312 | 12 |
* Cerus Corp. | 2,253 | 12 |
* Emergent Biosolutions Inc. | 670 | 12 |
Invacare Corp. | 779 | 12 |
National Healthcare Corp. | 252 | 12 |
* Vanda Pharmaceuticals Inc. | 1,015 | 12 |
* Repligen Corp. | 1,144 | 11 |
Landauer Inc. | 235 | 11 |
* Idenix Pharmaceuticals Inc. | 2,265 | 11 |
Spectrum Pharmaceuticals Inc. | 1,402 | 11 |
* Cadence Pharmaceuticals Inc. | 1,968 | 11 |
* Anacor Pharmaceuticals Inc. | 1,049 | 11 |
* Depomed Inc. | 1,474 | 11 |
* Sciclone Pharmaceuticals Inc. | 1,967 | 10 |
* Synergy Pharmaceuticals Inc. | 2,284 | 10 |
* Natus Medical Inc. | 767 | 10 |
* Sagent Pharmaceuticals Inc. | 457 | 10 |
* SurModics Inc. | 508 | 10 |
* Progenics Pharmaceuticals Inc. | 1,793 | 10 |
* Orthofix International NV | 444 | 10 |
Intercept Pharmaceuticals Inc. | 214 | 10 |
* PharMerica Corp. | 749 | 9 |
* LHC Group Inc. | 398 | 9 |
* Pacific Biosciences of California Inc. | 2,111 | 9 |
* Rockwell Medical Inc. | 1,586 | 9 |
* Coronado Biosciences Inc. | 1,076 | 9 |
* TearLab Corp. | 660 | 9 |
* KYTHERA Biopharmaceuticals Inc. | 324 | 9 |
* Greenway Medical Technologies | 627 | 9 |
* Sequenom Inc. | 2,836 | 8 |
Stemline Therapeutics Inc. | 237 | 8 |
* Corvel Corp. | 247 | 8 |
* Merrimack Pharmaceuticals Inc. | 2,345 | 8 |
* Verastem Inc. | 574 | 8 |
* Hyperion Therapeutics Inc. | 315 | 8 |
* Symmetry Medical Inc. | 939 | 7 |
US Physical Therapy Inc. | 264 | 7 |
Universal American Corp. | 995 | 7 |
* Providence Service Corp. | 267 | 7 |
* Navidea Biopharmaceuticals Inc. | 2,399 | 7 |
* OraSure Technologies Inc. | 1,468 | 7 |
* Unilife Corp. | 2,014 | 7 |
* XOMA Corp. | 1,470 | 7 |
Cytokinetics Inc. | 639 | 7 |
* Rigel Pharmaceuticals Inc. | 2,119 | 7 |
* Albany Molecular Research Inc. | 601 | 7 |
* Cempra Inc. | 718 | 6 |
* Merge Healthcare Inc. | 2,413 | 6 |
* Furiex Pharmaceuticals Inc. | 166 | 6 |
* Osiris Therapeutics Inc. | 353 | 6 |
* Prothena Corp. plc | 307 | 6 |
* NewLink Genetics Corp. | 353 | 6 |
* Portola Pharmaceuticals Inc. | 250 | 6 |
* Dynavax Technologies Corp. | 4,399 | 6 |
28
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
August 31, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | AcelRx Pharmaceuticals Inc. | 540 | 5 |
* | Synta Pharmaceuticals Corp. | 893 | 5 |
* | AngioDynamics Inc. | 477 | 5 |
* | ChemoCentryx Inc. | 639 | 5 |
* | Chelsea Therapeutics International Ltd. | 1,732 | 5 |
* | Anika Therapeutics Inc. | 215 | 5 |
* | Peregrine Pharmaceuticals Inc. | 3,538 | 5 |
*,^ | Galena Biopharma Inc. | 2,155 | 5 |
* | Vascular Solutions Inc. | 295 | 5 |
* | Chindex International Inc. | 264 | 4 |
Epizyme Inc. | 153 | 4 | |
* | Five Star Quality Care Inc. | 818 | 4 |
* | TherapeuticsMD Inc. | 2,014 | 4 |
* | XenoPort Inc. | 824 | 4 |
* | ZIOPHARM Oncology Inc. | 1,342 | 4 |
* | Lannett Co. Inc. | 296 | 4 |
* | Threshold Pharmaceuticals Inc. | 848 | 4 |
* | RTI Surgical Inc. | 1,104 | 4 |
* | Insys Therapeutics Inc. | 131 | 4 |
* | Ampio Pharmaceuticals Inc. | 513 | 4 |
* | Cutera Inc. | 379 | 4 |
Chimerix Inc. | 220 | 3 | |
* | Geron Corp. | 2,409 | 3 |
* | Exactech Inc. | 180 | 3 |
* | Arqule Inc. | 1,200 | 3 |
CryoLife Inc. | 529 | 3 | |
* | Cell Therapeutics Inc. | 2,907 | 3 |
* | AtriCure Inc. | 362 | 3 |
Utah Medical Products Inc. | 63 | 3 | |
Alliance HealthCare Services Inc. | 129 | 3 | |
* | SIGA Technologies Inc. | 870 | 3 |
* | Addus HomeCare Corp. | 141 | 3 |
* | Sunesis Pharmaceuticals Inc. | 616 | 3 |
* | Pozen Inc. | 544 | 3 |
* | Rochester Medical Corp. | 214 | 3 |
* | OncoGenex Pharmaceutical Inc. | 310 | 3 |
* | Derma Sciences Inc. | 195 | 3 |
* | OvaScience Inc. | 232 | 3 |
Accelerate Diagnostics Inc. | 268 | 3 | |
Tetraphase Pharmaceuticals Inc. | 298 | 3 | |
Almost Family Inc. | 132 | 2 | |
* | Cross Country Healthcare Inc. | 438 | 2 |
* | Solta Medical Inc. | 1,178 | 2 |
* | National Research Corp. Class A | 149 | 2 |
* | BioDelivery Sciences International Inc. | 464 | 2 |
* | Omeros Corp. | 480 | 2 |
Regulus Therapeutics Inc. | 254 | 2 | |
Fibrocell Science Inc. | 436 | 2 | |
* | Receptos Inc. | 149 | 2 |
* | Cytori Therapeutics Inc. | 1,114 | 2 |
* | AVEO Pharmaceuticals Inc. | 1,099 | 2 |
* | Nanosphere Inc. | 1,084 | 2 |
* | Cornerstone Therapeutics Inc. | 246 | 2 |
* | Targacept Inc. | 422 | 2 |
* | Zeltiq Aesthetics Inc. | 270 | 2 |
* | Corcept Therapeutics Inc. | 1,288 | 2 |
* | Vical Inc. | 1,585 | 2 |
* | Harvard Bioscience Inc. | 409 | 2 |
* | TG Therapeutics Inc. | 330 | 2 |
* | Alphatec Holdings Inc. | 976 | 2 |
* | Medical Action Industries Inc. | 376 | 2 |
* | Durata Therapeutics Inc. | 225 | 2 |
MEI Pharma Inc. | 248 | 2 | |
NeoGenomics Inc. | 849 | 2 |
29
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Biotime Inc. | 475 | 2 |
Enanta Pharmaceuticals Inc. | 95 | 2 |
* Sucampo Pharmaceuticals Inc. Class A | 284 | 2 |
* Zogenix Inc. | 987 | 2 |
* Alimera Sciences Inc. | 438 | 2 |
* Skilled Healthcare Group Inc. | 318 | 2 |
* Horizon Pharma Inc. | 569 | 1 |
* Biolase Inc. | 823 | 1 |
Enzon Pharmaceuticals Inc. | 779 | 1 |
* Amicus Therapeutics Inc. | 552 | 1 |
KaloBios Pharmaceuticals Inc. | 195 | 1 |
* USMD Holdings Inc. | 28 | 1 |
* National Research Corp. Class B | 23 | 1 |
* GTx Inc. | 423 | 1 |
* Pernix Therapeutics Holdings | 159 | — |
* Supernus Pharmaceuticals Inc. | 43 | — |
62,562 | ||
Materials & Processing (4.4%) | ||
Monsanto Co. | 14,666 | 1,436 |
EI du Pont de Nemours & Co. | 25,287 | 1,432 |
Dow Chemical Co. | 33,230 | 1,243 |
Praxair Inc. | 8,125 | 954 |
Freeport-McMoRan Copper & Gold Inc. | 28,415 | 859 |
Precision Castparts Corp. | 4,020 | 849 |
LyondellBasell Industries NV Class A | 11,153 | 782 |
Ecolab Inc. | 7,204 | 658 |
PPG Industries Inc. | 3,919 | 612 |
Air Products & Chemicals Inc. | 5,724 | 585 |
International Paper Co. | 12,221 | 577 |
Newmont Mining Corp. | 13,525 | 430 |
Sherwin-Williams Co. | 2,434 | 420 |
Nucor Corp. | 8,731 | 397 |
Fastenal Co. | 8,150 | 359 |
Mosaic Co. | 8,244 | 343 |
Eastman Chemical Co. | 4,254 | 323 |
CF Industries Holdings Inc. | 1,629 | 310 |
Sigma-Aldrich Corp. | 3,306 | 273 |
FMC Corp. | 3,742 | 249 |
Alcoa Inc. | 29,453 | 227 |
Rock Tenn Co. Class A | 1,984 | 220 |
Celanese Corp. Class A | 4,405 | 217 |
Ashland Inc. | 2,189 | 191 |
Masco Corp. | 9,888 | 187 |
Airgas Inc. | 1,817 | 185 |
Ball Corp. | 4,125 | 183 |
International Flavors & Fragrances Inc. | 2,272 | 180 |
MeadWestvaco Corp. | 4,913 | 176 |
* Crown Holdings Inc. | 4,011 | 174 |
Vulcan Materials Co. | 3,634 | 174 |
* WR Grace & Co. | 2,112 | 170 |
Valspar Corp. | 2,499 | 155 |
Sealed Air Corp. | 5,323 | 151 |
Reliance Steel & Aluminum Co. | 2,146 | 143 |
Packaging Corp. of America | 2,681 | 142 |
Albemarle Corp. | 2,279 | 142 |
Timken Co. | 2,423 | 136 |
Rockwood Holdings Inc. | 2,094 | 134 |
* Owens-Illinois Inc. | 4,621 | 131 |
RPM International Inc. | 3,728 | 127 |
* Owens Corning | 3,349 | 125 |
Martin Marietta Materials Inc. | 1,259 | 121 |
Southern Copper Corp. | 4,243 | 117 |
Bemis Co. Inc. | 2,760 | 110 |
Aptargroup Inc. | 1,795 | 106 |
30
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Sonoco Products Co. | 2,727 | 102 |
Royal Gold Inc. | 1,744 | 101 |
Acuity Brands Inc. | 1,177 | 101 |
Valmont Industries Inc. | 734 | 99 |
* Hexcel Corp. | 2,775 | 99 |
Lennox International Inc. | 1,418 | 97 |
Steel Dynamics Inc. | 6,228 | 95 |
Huntsman Corp. | 5,213 | 91 |
Eagle Materials Inc. | 1,397 | 90 |
Cliffs Natural Resources Inc. | 4,246 | 89 |
Allegheny Technologies Inc. | 3,012 | 80 |
Axiall Corp. | 1,895 | 76 |
Cytec Industries Inc. | 980 | 73 |
NewMarket Corp. | 265 | 73 |
CLARCOR Inc. | 1,346 | 72 |
PolyOne Corp. | 2,660 | 72 |
Belden Inc. | 1,249 | 71 |
Cabot Corp. | 1,763 | 70 |
United States Steel Corp. | 3,870 | 69 |
Carpenter Technology Corp. | 1,249 | 67 |
Watsco Inc. | 727 | 65 |
Compass Minerals International Inc. | 883 | 65 |
Scotts Miracle-Gro Co. Class A | 1,198 | 63 |
* MRC Global Inc. | 2,370 | 62 |
* Chemtura Corp. | 2,747 | 60 |
Westlake Chemical Corp. | 583 | 59 |
Silgan Holdings Inc. | 1,248 | 59 |
Sensient Technologies Corp. | 1,413 | 59 |
Domtar Corp. | 878 | 58 |
* Polypore International Inc. | 1,334 | 57 |
* Louisiana-Pacific Corp. | 3,746 | 56 |
Olin Corp. | 2,284 | 53 |
HB Fuller Co. | 1,413 | 53 |
* Graphic Packaging Holding Co. | 6,126 | 51 |
Commercial Metals Co. | 3,401 | 51 |
* Beacon Roofing Supply Inc. | 1,380 | 50 |
* USG Corp. | 2,108 | 49 |
Schweitzer-Mauduit International Inc. | 855 | 49 |
KapStone Paper and Packaging Corp. | 1,139 | 48 |
Greif Inc. Class A | 887 | 48 |
Worthington Industries Inc. | 1,382 | 46 |
* Tahoe Resources Inc. | 2,455 | 44 |
Minerals Technologies Inc. | 955 | 42 |
* Coeur Mining Inc. | 2,882 | 42 |
Mueller Industries Inc. | 726 | 39 |
* Stillwater Mining Co. | 3,335 | 38 |
Kaiser Aluminum Corp. | 549 | 38 |
* RBC Bearings Inc. | 623 | 37 |
Balchem Corp. | 767 | 37 |
Simpson Manufacturing Co. Inc. | 1,147 | 36 |
Mueller Water Products Inc. Class A | 4,660 | 35 |
* Armstrong World Industries Inc. | 710 | 34 |
Berry Plastics Group Inc. | 1,429 | 33 |
* Texas Industries Inc. | 559 | 33 |
PH Glatfelter Co. | 1,236 | 32 |
Stepan Co. | 561 | 32 |
* Clearwater Paper Corp. | 651 | 31 |
Innophos Holdings Inc. | 602 | 29 |
Hecla Mining Co. | 8,466 | 29 |
Interface Inc. Class A | 1,598 | 28 |
* RTI International Metals Inc. | 906 | 28 |
* Calgon Carbon Corp. | 1,621 | 28 |
Innospec Inc. | 672 | 27 |
Kaydon Corp. | 966 | 27 |
31
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* OM Group Inc. | 936 | 27 |
Quaker Chemical Corp. | 393 | 26 |
Boise Inc. | 3,036 | 26 |
AMCOL International Corp. | 781 | 26 |
* Cabot Microelectronics Corp. | 705 | 25 |
Apogee Enterprises Inc. | 892 | 25 |
Koppers Holdings Inc. | 632 | 24 |
Globe Specialty Metals Inc. | 1,886 | 24 |
A Schulman Inc. | 897 | 24 |
Universal Forest Products Inc. | 601 | 22 |
* Resolute Forest Products Inc. | 1,783 | 22 |
Encore Wire Corp. | 594 | 22 |
* Trex Co. Inc. | 487 | 22 |
Deltic Timber Corp. | 354 | 21 |
Schnitzer Steel Industries Inc. | 814 | 21 |
AAON Inc. | 864 | 20 |
American Vanguard Corp. | 797 | 20 |
Intrepid Potash Inc. | 1,586 | 20 |
* Molycorp Inc. | 3,222 | 20 |
* Kraton Performance Polymers Inc. | 1,030 | 19 |
* Nortek Inc. | 283 | 19 |
Wausau Paper Corp. | 1,628 | 18 |
Tredegar Corp. | 764 | 17 |
* Ferro Corp. | 2,141 | 16 |
* Headwaters Inc. | 1,782 | 15 |
Neenah Paper Inc. | 403 | 15 |
Quanex Building Products Corp. | 860 | 14 |
Materion Corp. | 484 | 14 |
Comfort Systems USA Inc. | 941 | 14 |
Myers Industries Inc. | 749 | 14 |
Aceto Corp. | 927 | 14 |
* Rexnord Corp. | 704 | 13 |
* Zoltek Cos. Inc. | 968 | 13 |
* LSB Industries Inc. | 439 | 13 |
US Silica Holdings Inc. | 558 | 13 |
Haynes International Inc. | 296 | 13 |
* Horsehead Holding Corp. | 1,082 | 13 |
* OMNOVA Solutions Inc. | 1,648 | 13 |
* Unifi Inc. | 543 | 12 |
Griffon Corp. | 1,085 | 12 |
* Allied Nevada Gold Corp. | 2,576 | 12 |
FutureFuel Corp. | 735 | 12 |
Hawkins Inc. | 317 | 12 |
Dynamic Materials Corp. | 521 | 11 |
* PGT Inc. | 1,121 | 11 |
* AK Steel Holding Corp. | 3,232 | 11 |
Gold Resource Corp. | 1,287 | 11 |
Rentech Inc. | 5,469 | 11 |
* Century Aluminum Co. | 1,281 | 10 |
LB Foster Co. Class A | 232 | 10 |
* Gibraltar Industries Inc. | 741 | 10 |
* NCI Building Systems Inc. | 780 | 9 |
Taminco Corp. | 408 | 8 |
Insteel Industries Inc. | 484 | 8 |
* American Pacific Corp. | 153 | 7 |
Zep Inc. | 496 | 7 |
* Boise Cascade Co. | 301 | 7 |
* Landec Corp. | 520 | 7 |
* US Concrete Inc. | 348 | 7 |
* AEP Industries Inc. | 87 | 7 |
* Ply Gem Holdings Inc. | 407 | 6 |
Kronos Worldwide Inc. | 409 | 6 |
NN Inc. | 373 | 5 |
Olympic Steel Inc. | 193 | 5 |
32
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Northwest Pipe Co. | 170 | 5 |
TMS International Corp. Class A | 276 | 5 |
* Builders FirstSource Inc. | 791 | 4 |
* Paramount Gold and Silver Corp. | 2,932 | 4 |
Global Brass & Copper Holdings Inc. | 208 | 4 |
KMG Chemicals Inc. | 169 | 4 |
* Universal Stainless & Alloy Products Inc. | 131 | 4 |
* Uranium Energy Corp. | 1,445 | 3 |
Culp Inc. | 176 | 3 |
* Penford Corp. | 248 | 3 |
* Ur-Energy Inc. | 3,132 | 3 |
Chase Corp. | 105 | 3 |
Ampco-Pittsburgh Corp. | 181 | 3 |
* Midway Gold Corp. | 2,738 | 3 |
Oil-Dri Corp. of America | 90 | 3 |
LSI Industries Inc. | 405 | 3 |
* Patrick Industries Inc. | 100 | 3 |
* United States Lime & Minerals Inc. | 45 | 3 |
* UFP Technologies Inc. | 120 | 2 |
* General Moly Inc. | 1,347 | 2 |
* Handy & Harman Ltd. | 102 | 2 |
Omega Flex Inc. | 96 | 2 |
NL Industries Inc. | 151 | 2 |
Noranda Aluminum Holding Corp. | 577 | 2 |
Shiloh Industries Inc. | 115 | 1 |
* BlueLinx Holdings Inc. | 468 | 1 |
Compx International Inc. | 7 | — |
21,870 | ||
Other (0.0%) | ||
* Unwired Planet Inc Rights Exp 09/09/2013 | 1,621 | — |
— | ||
Producer Durables (11.4%) | ||
General Electric Co. | 284,060 | 6,573 |
United Technologies Corp. | 25,255 | 2,528 |
Boeing Co. | 20,843 | 2,166 |
3M Co. | 18,961 | 2,154 |
Union Pacific Corp. | 12,824 | 1,969 |
Honeywell International Inc. | 21,615 | 1,720 |
United Parcel Service Inc. Class B | 19,900 | 1,703 |
Caterpillar Inc. | 18,069 | 1,491 |
Accenture plc Class A | 17,655 | 1,276 |
Emerson Electric Co. | 19,749 | 1,192 |
Danaher Corp. | 16,445 | 1,077 |
Automatic Data Processing Inc. | 13,330 | 949 |
FedEx Corp. | 8,705 | 935 |
Deere & Co. | 10,661 | 892 |
Lockheed Martin Corp. | 7,132 | 873 |
Eaton Corp. plc | 12,997 | 823 |
Illinois Tool Works Inc. | 10,377 | 742 |
CSX Corp. | 28,075 | 691 |
General Dynamics Corp. | 8,206 | 683 |
Raytheon Co. | 8,918 | 673 |
Cummins Inc. | 5,213 | 642 |
Norfolk Southern Corp. | 8,656 | 625 |
Northrop Grumman Corp. | 6,461 | 596 |
PACCAR Inc. | 9,718 | 521 |
Waste Management Inc. | 12,830 | 519 |
Ingersoll-Rand plc | 8,212 | 486 |
Delta Air Lines Inc. | 23,528 | 464 |
Agilent Technologies Inc. | 9,538 | 445 |
Parker Hannifin Corp. | 4,101 | 410 |
33
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
WW Grainger Inc. | 1,621 | 401 |
Dover Corp. | 4,701 | 400 |
Stanley Black & Decker Inc. | 4,449 | 379 |
Rockwell Automation Inc. | 3,837 | 373 |
Paychex Inc. | 8,937 | 346 |
Pentair Ltd. | 5,613 | 337 |
Xerox Corp. | 33,733 | 337 |
Roper Industries Inc. | 2,721 | 337 |
Kansas City Southern | 3,027 | 319 |
AMETEK Inc. | 6,691 | 287 |
Fluor Corp. | 4,475 | 284 |
* United Continental Holdings Inc. | 9,778 | 278 |
* Stericycle Inc. | 2,371 | 267 |
Rockwell Collins Inc. | 3,728 | 264 |
* Verisk Analytics Inc. Class A | 4,158 | 259 |
Southwest Airlines Co. | 19,844 | 254 |
CH Robinson Worldwide Inc. | 4,412 | 251 |
Republic Services Inc. Class A | 7,436 | 242 |
ADT Corp. | 6,017 | 240 |
* Waters Corp. | 2,360 | 233 |
Expeditors International of Washington Inc. | 5,691 | 231 |
L-3 Communications Holdings Inc. | 2,480 | 224 |
Flowserve Corp. | 3,943 | 220 |
Pall Corp. | 3,073 | 212 |
* Jacobs Engineering Group Inc. | 3,613 | 211 |
Textron Inc. | 7,672 | 207 |
TransDigm Group Inc. | 1,450 | 199 |
* IHS Inc. Class A | 1,820 | 195 |
* B/E Aerospace Inc. | 2,743 | 187 |
* Mettler-Toledo International Inc. | 839 | 185 |
JB Hunt Transport Services Inc. | 2,536 | 183 |
* Trimble Navigation Ltd. | 7,095 | 179 |
Hubbell Inc. Class B | 1,652 | 167 |
Chicago Bridge & Iron Co. NV | 2,797 | 167 |
Wabtec Corp. | 2,621 | 153 |
* Quanta Services Inc. | 5,835 | 153 |
AGCO Corp. | 2,646 | 150 |
Snap-on Inc. | 1,582 | 148 |
Joy Global Inc. | 2,974 | 146 |
Lincoln Electric Holdings Inc. | 2,325 | 145 |
Towers Watson & Co. Class A | 1,766 | 145 |
Donaldson Co. Inc. | 4,105 | 145 |
Waste Connections Inc. | 3,361 | 142 |
* United Rentals Inc. | 2,553 | 140 |
Cintas Corp. | 2,889 | 138 |
Robert Half International Inc. | 3,911 | 138 |
IDEX Corp. | 2,306 | 137 |
Manpowergroup Inc. | 2,094 | 136 |
Xylem Inc. | 5,084 | 126 |
* Kirby Corp. | 1,548 | 125 |
KBR Inc. | 4,163 | 124 |
* Colfax Corp. | 2,323 | 121 |
Nordson Corp. | 1,812 | 121 |
FLIR Systems Inc. | 3,854 | 121 |
Graco Inc. | 1,730 | 120 |
Iron Mountain Inc. | 4,637 | 120 |
Copa Holdings SA Class A | 893 | 117 |
Avery Dennison Corp. | 2,722 | 116 |
Carlisle Cos. Inc. | 1,745 | 116 |
* CoStar Group Inc. | 776 | 115 |
Alaska Air Group Inc. | 1,894 | 107 |
* Oshkosh Corp. | 2,360 | 106 |
* Genesee & Wyoming Inc. Class A | 1,191 | 103 |
URS Corp. | 2,067 | 102 |
34
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Triumph Group Inc. | 1,412 | 102 |
MSC Industrial Direct Co. Inc. Class A | 1,306 | 99 |
Babcock & Wilcox Co. | 3,173 | 98 |
* Copart Inc. | 3,088 | 98 |
* Middleby Corp. | 522 | 97 |
* Clean Harbors Inc. | 1,680 | 95 |
Kennametal Inc. | 2,230 | 95 |
SPX Corp. | 1,274 | 94 |
Trinity Industries Inc. | 2,207 | 93 |
* Chart Industries Inc. | 814 | 93 |
Pitney Bowes Inc. | 5,562 | 91 |
* WESCO International Inc. | 1,219 | 90 |
Huntington Ingalls Industries Inc. | 1,414 | 90 |
HEICO Corp. | 1,429 | 89 |
Genpact Ltd. | 4,631 | 89 |
AO Smith Corp. | 2,083 | 88 |
* Terex Corp. | 3,017 | 87 |
Alliant Techsystems Inc. | 887 | 86 |
Toro Co. | 1,600 | 84 |
* US Airways Group Inc. | 5,151 | 83 |
* Old Dominion Freight Line Inc. | 1,912 | 83 |
RR Donnelley & Sons Co. | 4,926 | 82 |
ITT Corp. | 2,466 | 81 |
* Teledyne Technologies Inc. | 1,046 | 81 |
* AECOM Technology Corp. | 2,765 | 81 |
Ryder System Inc. | 1,437 | 80 |
Regal-Beloit Corp. | 1,194 | 76 |
National Instruments Corp. | 2,713 | 75 |
Exelis Inc. | 5,108 | 75 |
Crane Co. | 1,301 | 75 |
Tidewater Inc. | 1,359 | 73 |
* Spirit Aerosystems Holdings Inc. Class A | 3,223 | 73 |
Woodward Inc. | 1,869 | 72 |
Manitowoc Co. Inc. | 3,579 | 72 |
Actuant Corp. Class A | 1,996 | 71 |
Landstar System Inc. | 1,280 | 70 |
MAXIMUS Inc. | 1,812 | 68 |
EnerSys Inc. | 1,314 | 67 |
EMCOR Group Inc. | 1,782 | 67 |
* Darling International Inc. | 3,257 | 66 |
Con-way Inc. | 1,578 | 66 |
* Zebra Technologies Corp. | 1,423 | 65 |
* Esterline Technologies Corp. | 848 | 65 |
Bristow Group Inc. | 984 | 65 |
Covanta Holding Corp. | 3,002 | 63 |
* Moog Inc. Class A | 1,244 | 63 |
Corporate Executive Board Co. | 958 | 62 |
Generac Holdings Inc. | 1,477 | 58 |
GATX Corp. | 1,286 | 58 |
Applied Industrial Technologies Inc. | 1,212 | 58 |
Lexmark International Inc. Class A | 1,688 | 58 |
Deluxe Corp. | 1,436 | 57 |
* Navistar International Corp. | 1,616 | 55 |
* Advisory Board Co. | 997 | 55 |
* Spirit Airlines Inc. | 1,747 | 54 |
Harsco Corp. | 2,290 | 54 |
Curtiss-Wright Corp. | 1,254 | 52 |
* MasTec Inc. | 1,630 | 52 |
Air Lease Corp. Class A | 1,935 | 50 |
Convergys Corp. | 2,816 | 50 |
Scorpio Tankers Inc. | 5,073 | 48 |
Franklin Electric Co. Inc. | 1,323 | 48 |
Barnes Group Inc. | 1,466 | 46 |
* Swift Transportation Co. | 2,474 | 44 |
35
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
United Stationers Inc. | 1,116 | 44 |
* Tetra Tech Inc. | 1,922 | 44 |
Healthcare Services Group Inc. | 1,805 | 44 |
Brady Corp. Class A | 1,296 | 43 |
Littelfuse Inc. | 576 | 42 |
Rollins Inc. | 1,699 | 42 |
TAL International Group Inc. | 979 | 42 |
Watts Water Technologies Inc. Class A | 791 | 41 |
HNI Corp. | 1,220 | 41 |
* OSI Systems Inc. | 561 | 41 |
General Cable Corp. | 1,319 | 40 |
Herman Miller Inc. | 1,572 | 40 |
Teekay Corp. | 999 | 40 |
* Electronics For Imaging Inc. | 1,350 | 40 |
UniFirst Corp. | 408 | 39 |
UTi Worldwide Inc. | 2,357 | 39 |
* Itron Inc. | 1,029 | 39 |
* JetBlue Airways Corp. | 6,188 | 38 |
* Hub Group Inc. Class A | 1,022 | 38 |
* FTI Consulting Inc. | 1,119 | 37 |
* Trimas Corp. | 1,062 | 37 |
Mine Safety Appliances Co. | 774 | 37 |
CNH Global NV | 796 | 37 |
Allegiant Travel Co. Class A | 386 | 36 |
Steelcase Inc. Class A | 2,505 | 36 |
* On Assignment Inc. | 1,184 | 36 |
* Atlas Air Worldwide Holdings Inc. | 756 | 35 |
ABM Industries Inc. | 1,429 | 35 |
Brink's Co. | 1,325 | 34 |
Gulfmark Offshore Inc. | 735 | 34 |
* EnPro Industries Inc. | 590 | 34 |
* PHH Corp. | 1,606 | 34 |
* Huron Consulting Group Inc. | 688 | 33 |
Forward Air Corp. | 886 | 33 |
Matson Inc. | 1,190 | 32 |
* Proto Labs Inc. | 441 | 31 |
* Mobile Mini Inc. | 1,028 | 31 |
Granite Construction Inc. | 1,092 | 31 |
CIRCOR International Inc. | 524 | 30 |
AAR Corp. | 1,186 | 30 |
* Ascent Capital Group Inc. Class A | 398 | 29 |
* Orbital Sciences Corp. | 1,688 | 29 |
Aircastle Ltd. | 1,779 | 29 |
Lindsay Corp. | 380 | 29 |
MTS Systems Corp. | 476 | 29 |
* TrueBlue Inc. | 1,177 | 29 |
Tennant Co. | 557 | 29 |
G&K Services Inc. Class A | 556 | 29 |
Raven Industries Inc. | 968 | 28 |
Werner Enterprises Inc. | 1,209 | 28 |
Briggs & Stratton Corp. | 1,443 | 28 |
Knight Transportation Inc. | 1,671 | 27 |
* WageWorks Inc. | 644 | 27 |
* GenCorp Inc. | 1,779 | 27 |
* GrafTech International Ltd. | 3,408 | 27 |
Albany International Corp. | 822 | 27 |
Kaman Corp. | 746 | 26 |
Cubic Corp. | 516 | 26 |
AZZ Inc. | 684 | 26 |
* Korn/Ferry International | 1,440 | 26 |
* Rush Enterprises Inc. Class A | 1,010 | 25 |
McGrath RentCorp | 758 | 25 |
* Aegion Corp. Class A | 1,129 | 24 |
* Team Inc. | 610 | 24 |
36
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
Titan International Inc. | 1,448 | 24 |
Ship Finance International Ltd. | 1,497 | 23 |
* ACCO Brands Corp. | 3,504 | 23 |
* ExlService Holdings Inc. | 848 | 23 |
* Measurement Specialties Inc. | 478 | 23 |
Knoll Inc. | 1,476 | 22 |
Primoris Services Corp. | 996 | 22 |
H&E Equipment Services Inc. | 927 | 22 |
ESCO Technologies Inc. | 728 | 22 |
Astec Industries Inc. | 643 | 22 |
* Wabash National Corp. | 2,114 | 22 |
* Tutor Perini Corp. | 1,121 | 21 |
* Advanced Energy Industries Inc. | 1,167 | 21 |
Exponent Inc. | 322 | 21 |
Altra Holdings Inc. | 838 | 21 |
Arkansas Best Corp. | 836 | 21 |
* Wesco Aircraft Holdings Inc. | 1,070 | 20 |
* Dycom Industries Inc. | 804 | 20 |
Allison Transmission Holdings Inc. | 901 | 20 |
* DXP Enterprises Inc. | 298 | 20 |
* ServiceSource International Inc. | 1,664 | 20 |
* Liquidity Services Inc. | 678 | 20 |
Hyster-Yale Materials Handling Inc. | 265 | 20 |
* Taser International Inc. | 1,717 | 20 |
* XPO Logistics Inc. | 858 | 20 |
* Modine Manufacturing Co. | 1,493 | 19 |
Textainer Group Holdings Ltd. | 554 | 19 |
Booz Allen Hamilton Holding Corp. | 943 | 19 |
Quad/Graphics Inc. | 603 | 19 |
* Saia Inc. | 609 | 18 |
* Federal Signal Corp. | 1,517 | 18 |
Insperity Inc. | 546 | 17 |
* Navigant Consulting Inc. | 1,276 | 17 |
* Republic Airways Holdings Inc. | 1,520 | 17 |
* Sykes Enterprises Inc. | 952 | 16 |
* ICF International Inc. | 492 | 16 |
Standex International Corp. | 300 | 16 |
Heartland Express Inc. | 1,149 | 16 |
Kelly Services Inc. Class A | 871 | 16 |
SkyWest Inc. | 1,222 | 16 |
Sun Hydraulics Corp. | 513 | 16 |
* Powell Industries Inc. | 295 | 16 |
Badger Meter Inc. | 343 | 15 |
* FARO Technologies Inc. | 412 | 15 |
* Engility Holdings Inc. | 447 | 15 |
Barrett Business Services Inc. | 233 | 15 |
John Bean Technologies Corp. | 682 | 15 |
* Thermon Group Holdings Inc. | 705 | 15 |
* Roadrunner Transportation Systems Inc. | 538 | 15 |
Marten Transport Ltd. | 800 | 14 |
* Astronics Corp. | 302 | 14 |
* Kratos Defense & Security Solutions Inc. | 1,657 | 14 |
* TeleTech Holdings Inc. | 571 | 14 |
* InnerWorkings Inc. | 1,350 | 14 |
* Advanced Emissions Solutions Inc. | 347 | 14 |
* Echo Global Logistics Inc. | 611 | 13 |
* RPX Corp. | 842 | 13 |
Gorman-Rupp Co. | 376 | 13 |
* Greenbrier Cos. Inc. | 581 | 13 |
* Blount International Inc. | 1,122 | 13 |
* Monster Worldwide Inc. | 2,888 | 13 |
US Ecology Inc. | 455 | 13 |
* CAI International Inc. | 564 | 12 |
* Air Transport Services Group Inc. | 1,897 | 12 |
37
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Furmanite Corp. | 1,348 | 12 |
Michael Baker Corp. | 299 | 12 |
Ennis Inc. | 674 | 12 |
Electro Rent Corp. | 696 | 12 |
* PHI Inc. | 335 | 12 |
Nordic American Tankers Ltd. | 1,524 | 12 |
Kforce Inc. | 717 | 12 |
Resources Connection Inc. | 953 | 12 |
Douglas Dynamics Inc. | 819 | 12 |
* MYR Group Inc. | 502 | 11 |
* Columbus McKinnon Corp. | 502 | 11 |
* CBIZ Inc. | 1,473 | 10 |
Forrester Research Inc. | 304 | 10 |
* Aerovironment Inc. | 451 | 10 |
Argan Inc. | 551 | 10 |
* Orion Marine Group Inc. | 989 | 10 |
* ExOne Co. | 137 | 9 |
* Standard Parking Corp. | 421 | 9 |
* Layne Christensen Co. | 490 | 9 |
Great Lakes Dredge & Dock Corp. | 1,379 | 9 |
Celadon Group Inc. | 505 | 9 |
Multi-Color Corp. | 289 | 9 |
Kimball International Inc. Class B | 900 | 9 |
* Odyssey Marine Exploration Inc. | 2,985 | 9 |
* Consolidated Graphics Inc. | 151 | 8 |
* Performant Financial Corp. | 739 | 8 |
* Hawaiian Holdings Inc. | 1,143 | 8 |
* GP Strategies Corp. | 303 | 8 |
GasLog Ltd. | 529 | 7 |
* Titan Machinery Inc. | 413 | 7 |
* Ducommun Inc. | 274 | 7 |
* Maxwell Technologies Inc. | 803 | 7 |
Kadant Inc. | 227 | 7 |
* Dice Holdings Inc. | 835 | 7 |
Graham Corp. | 200 | 7 |
American Railcar Industries Inc. | 194 | 7 |
Alamo Group Inc. | 148 | 7 |
Global Power Equipment Group Inc. | 344 | 6 |
NACCO Industries Inc. Class A | 103 | 6 |
* Mistras Group Inc. | 308 | 6 |
* Park-Ohio Holdings Corp. | 160 | 6 |
Heidrick & Struggles International Inc. | 363 | 5 |
* Lydall Inc. | 346 | 5 |
* AM Castle & Co. | 337 | 5 |
* Accuride Corp. | 950 | 5 |
Twin Disc Inc. | 178 | 5 |
* Tecumseh Products Co. Class A | 478 | 5 |
Met-Pro Corp. | 326 | 4 |
Marlin Business Services Corp. | 182 | 4 |
FreightCar America Inc. | 244 | 4 |
* Quality Distribution Inc. | 470 | 4 |
* Zygo Corp. | 310 | 4 |
* Casella Waste Systems Inc. Class A | 796 | 4 |
* YRC Worldwide Inc. | 243 | 4 |
* National Technical Systems Inc. | 177 | 4 |
* Pacer International Inc. | 644 | 4 |
* Patriot Transportation Holding Inc. | 126 | 4 |
VSE Corp. | 86 | 4 |
Miller Industries Inc. | 241 | 4 |
Houston Wire & Cable Co. | 308 | 4 |
Spartan Motors Inc. | 660 | 4 |
Knightsbridge Tankers Ltd. | 439 | 4 |
Preformed Line Products Co. | 54 | 4 |
* Energy Recovery Inc. | 705 | 4 |
38
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* CRA International Inc. | 201 | 4 |
CDI Corp. | 265 | 4 |
* Flow International Corp. | 1,055 | 4 |
Hurco Cos. Inc. | 127 | 3 |
* AT Cross Co. Class A | 163 | 3 |
Coleman Cable Inc. | 182 | 3 |
Teekay Tankers Ltd. Class A | 1,370 | 3 |
Hackett Group Inc. | 532 | 3 |
Mac-Gray Corp. | 237 | 3 |
Universal Truckload Services Inc. | 133 | 3 |
* Commercial Vehicle Group Inc. | 476 | 3 |
* Sterling Construction Co. Inc. | 332 | 3 |
Hardinge Inc. | 222 | 3 |
* Manitex International Inc. | 318 | 3 |
Mesa Laboratories Inc. | 49 | 3 |
* PMFG Inc. | 455 | 3 |
* Vishay Precision Group Inc. | 216 | 3 |
* Xerium Technologies Inc. | 282 | 3 |
* Vicor Corp. | 339 | 3 |
Power Solutions International Inc. | 50 | 3 |
* Global Sources Ltd. | 413 | 3 |
Schawk Inc. Class A | 198 | 2 |
* PRGX Global Inc. | 406 | 2 |
International Shipholding Corp. | 102 | 2 |
* Heritage-Crystal Clean Inc. | 160 | 2 |
Ceco Environmental Corp. | 178 | 2 |
* American Superconductor Corp. | 937 | 2 |
* Frontline Ltd. | 905 | 2 |
* LMI Aerospace Inc. | 176 | 2 |
* API Technologies Corp. | 742 | 2 |
* Ultrapetrol Bahamas Ltd. | 552 | 2 |
* TRC Cos. Inc. | 238 | 2 |
* Swisher Hygiene Inc. | 1,954 | 2 |
* Erickson Air-Crane Inc. | 98 | 1 |
* Astronics Corp. Class B | 20 | 1 |
* GSE Holding Inc. | 201 | — |
57,056 | ||
Technology (15.4%) | ||
Apple Inc. | 25,787 | 12,560 |
Microsoft Corp. | 229,419 | 7,663 |
* Google Inc. Class A | 7,409 | 6,275 |
International Business Machines Corp. | 28,599 | 5,213 |
Cisco Systems Inc. | 146,818 | 3,422 |
QUALCOMM Inc. | 47,467 | 3,146 |
Oracle Corp. | 97,536 | 3,107 |
Intel Corp. | 136,562 | 3,002 |
* Facebook Inc. Class A | 46,804 | 1,932 |
EMC Corp. | 57,714 | 1,488 |
Hewlett-Packard Co. | 53,406 | 1,193 |
Texas Instruments Inc. | 30,471 | 1,164 |
* Salesforce.com Inc. | 16,207 | 796 |
* Yahoo! Inc. | 24,571 | 666 |
* Adobe Systems Inc. | 13,789 | 631 |
* Cognizant Technology Solutions Corp. Class A | 8,286 | 607 |
* LinkedIn Corp. Class A | 2,486 | 597 |
Corning Inc. | 40,524 | 569 |
* Crown Castle International Corp. | 8,071 | 560 |
Intuit Inc. | 8,157 | 518 |
Applied Materials Inc. | 33,010 | 495 |
Symantec Corp. | 19,138 | 490 |
Dell Inc. | 34,426 | 474 |
NetApp Inc. | 9,901 | 411 |
Broadcom Corp. Class A | 15,687 | 396 |
Analog Devices Inc. | 8,466 | 392 |
39
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Micron Technology Inc. | 28,299 | 384 |
Motorola Solutions Inc. | 6,652 | 373 |
SanDisk Corp. | 6,686 | 369 |
* Citrix Systems Inc. | 5,141 | 364 |
Western Digital Corp. | 5,804 | 360 |
Amphenol Corp. Class A | 4,391 | 333 |
Xilinx Inc. | 7,249 | 315 |
Altera Corp. | 8,795 | 309 |
CA Inc. | 9,009 | 264 |
* Red Hat Inc. | 5,209 | 263 |
* SBA Communications Corp. Class A | 3,506 | 263 |
* Teradata Corp. | 4,489 | 263 |
* Juniper Networks Inc. | 13,908 | 263 |
Avago Technologies Ltd. Class A | 6,761 | 260 |
KLA-Tencor Corp. | 4,559 | 251 |
Linear Technology Corp. | 6,413 | 246 |
* Equinix Inc. | 1,359 | 236 |
NVIDIA Corp. | 15,908 | 235 |
* Autodesk Inc. | 6,182 | 227 |
* Akamai Technologies Inc. | 4,897 | 225 |
Maxim Integrated Products Inc. | 8,024 | 223 |
* Electronic Arts Inc. | 8,336 | 222 |
* ANSYS Inc. | 2,572 | 216 |
Microchip Technology Inc. | 5,442 | 211 |
* Lam Research Corp. | 4,493 | 210 |
Computer Sciences Corp. | 4,150 | 208 |
* VMware Inc. Class A | 2,366 | 199 |
Activision Blizzard Inc. | 11,833 | 193 |
* VeriSign Inc. | 3,950 | 190 |
* BMC Software Inc. | 4,000 | 184 |
* F5 Networks Inc. | 2,186 | 182 |
* Cree Inc. | 3,269 | 181 |
Harris Corp. | 3,060 | 173 |
Amdocs Ltd. | 4,481 | 165 |
* NCR Corp. | 4,577 | 163 |
* Synopsys Inc. | 4,290 | 156 |
* Splunk Inc. | 2,768 | 153 |
* Avnet Inc. | 3,828 | 148 |
* Gartner Inc. | 2,537 | 147 |
* Rackspace Hosting Inc. | 3,164 | 142 |
* 3D Systems Corp. | 2,724 | 140 |
* Arrow Electronics Inc. | 2,936 | 136 |
* Skyworks Solutions Inc. | 5,361 | 136 |
* Nuance Communications Inc. | 7,113 | 136 |
Marvell Technology Group Ltd. | 10,686 | 129 |
Jabil Circuit Inc. | 5,490 | 125 |
* Concur Technologies Inc. | 1,259 | 123 |
SAIC Inc. | 7,988 | 120 |
* Groupon Inc. | 11,511 | 117 |
* LSI Corp. | 15,051 | 112 |
Molex Inc. | 3,730 | 108 |
* Ultimate Software Group Inc. | 763 | 107 |
* MICROS Systems Inc. | 2,172 | 106 |
* Cadence Design Systems Inc. | 7,779 | 105 |
* CommVault Systems Inc. | 1,247 | 105 |
* Informatica Corp. | 2,916 | 104 |
* ServiceNow Inc. | 2,176 | 102 |
* TIBCO Software Inc. | 4,472 | 101 |
IAC/InterActiveCorp | 2,045 | 100 |
* Stratasys Ltd. | 902 | 97 |
Solera Holdings Inc. | 1,865 | 96 |
* Ingram Micro Inc. | 4,288 | 95 |
* NetSuite Inc. | 950 | 94 |
* NeuStar Inc. Class A | 1,865 | 94 |
40
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Brocade Communications Systems Inc. | 12,332 | 91 |
FEI Co. | 1,147 | 90 |
* Aspen Technology Inc. | 2,665 | 89 |
* ON Semiconductor Corp. | 12,276 | 89 |
* PTC Inc. | 3,381 | 88 |
* Atmel Corp. | 11,569 | 84 |
* JDS Uniphase Corp. | 6,449 | 83 |
* Teradyne Inc. | 5,241 | 80 |
* QLIK Technologies Inc. | 2,338 | 77 |
* Workday Inc. Class A | 1,038 | 75 |
* Fortinet Inc. | 3,794 | 75 |
AOL Inc. | 2,209 | 73 |
Cognex Corp. | 1,233 | 70 |
* Riverbed Technology Inc. | 4,434 | 68 |
* ViaSat Inc. | 1,051 | 67 |
DST Systems Inc. | 917 | 65 |
* Microsemi Corp. | 2,525 | 65 |
* Sourcefire Inc. | 853 | 64 |
* DigitalGlobe Inc. | 2,119 | 64 |
* SolarWinds Inc. | 1,751 | 64 |
* Tyler Technologies Inc. | 860 | 64 |
Compuware Corp. | 5,904 | 63 |
Mentor Graphics Corp. | 2,741 | 61 |
* Cornerstone OnDemand Inc. | 1,171 | 60 |
* Anixter International Inc. | 717 | 60 |
* VeriFone Systems Inc. | 3,004 | 60 |
* SS&C Technologies Holdings Inc. | 1,670 | 59 |
* Ciena Corp. | 2,948 | 59 |
* Cavium Inc. | 1,472 | 56 |
* Guidewire Software Inc. | 1,212 | 56 |
* ACI Worldwide Inc. | 1,138 | 55 |
* Hittite Microwave Corp. | 904 | 55 |
* Tech Data Corp. | 1,100 | 54 |
* Semtech Corp. | 1,814 | 54 |
Plantronics Inc. | 1,244 | 54 |
* Advanced Micro Devices Inc. | 16,401 | 54 |
* Aruba Networks Inc. | 3,140 | 52 |
* Rovi Corp. | 2,874 | 52 |
* ARRIS Group Inc. | 3,286 | 51 |
* Finisar Corp. | 2,514 | 51 |
* Infoblox Inc. | 1,466 | 51 |
* Verint Systems Inc. | 1,537 | 51 |
* Acxiom Corp. | 2,042 | 51 |
Diebold Inc. | 1,791 | 51 |
* Manhattan Associates Inc. | 572 | 50 |
* OpenTable Inc. | 658 | 49 |
IPG Photonics Corp. | 902 | 48 |
* Zynga Inc. Class A | 17,111 | 48 |
* EchoStar Corp. Class A | 1,193 | 48 |
Cypress Semiconductor Corp. | 4,092 | 46 |
* Fairchild Semiconductor International Inc. Class A | 3,753 | 46 |
* Dealertrack Technologies Inc. | 1,152 | 46 |
SunEdison Inc. | 6,178 | 45 |
* Polycom Inc. | 4,516 | 45 |
* International Rectifier Corp. | 1,856 | 44 |
Blackbaud Inc. | 1,226 | 44 |
* Sapient Corp. | 2,867 | 43 |
* Silicon Laboratories Inc. | 1,106 | 43 |
* Vishay Intertechnology Inc. | 3,476 | 43 |
* CACI International Inc. Class A | 627 | 42 |
* Palo Alto Networks Inc. | 861 | 41 |
ADTRAN Inc. | 1,692 | 41 |
* Yelp Inc. | 768 | 40 |
Power Integrations Inc. | 758 | 40 |
41
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Cirrus Logic Inc. | 1,743 | 39 |
* Take-Two Interactive Software Inc. | 2,133 | 39 |
Dolby Laboratories Inc. Class A | 1,245 | 39 |
* Progress Software Corp. | 1,574 | 39 |
* Veeco Instruments Inc. | 1,084 | 38 |
NIC Inc. | 1,706 | 38 |
InterDigital Inc. | 1,068 | 38 |
Coherent Inc. | 659 | 37 |
* RF Micro Devices Inc. | 7,449 | 37 |
* Sanmina Corp. | 2,265 | 37 |
* Synaptics Inc. | 941 | 36 |
Intersil Corp. Class A | 3,504 | 36 |
* PMC - Sierra Inc. | 5,819 | 36 |
* Universal Display Corp. | 1,047 | 36 |
* Entegris Inc. | 3,824 | 36 |
* TriQuint Semiconductor Inc. | 4,748 | 36 |
* SYNNEX Corp. | 748 | 36 |
MKS Instruments Inc. | 1,411 | 35 |
* Benchmark Electronics Inc. | 1,592 | 35 |
* Integrated Device Technology Inc. | 3,895 | 34 |
* Plexus Corp. | 981 | 32 |
* Trulia Inc. | 760 | 32 |
* Unisys Corp. | 1,254 | 32 |
Acacia Research Corp. | 1,420 | 31 |
* Web.com Group Inc. | 1,093 | 31 |
Syntel Inc. | 425 | 31 |
* Bottomline Technologies de Inc. | 1,104 | 30 |
* NETGEAR Inc. | 1,035 | 30 |
* comScore Inc. | 1,047 | 30 |
Monolithic Power Systems Inc. | 968 | 30 |
* Infinera Corp. | 3,174 | 29 |
* Cray Inc. | 1,194 | 29 |
* II-VI Inc. | 1,492 | 29 |
* Synchronoss Technologies Inc. | 827 | 28 |
Monotype Imaging Holdings Inc. | 1,096 | 28 |
* QLogic Corp. | 2,663 | 28 |
* BroadSoft Inc. | 866 | 28 |
* Rogers Corp. | 497 | 28 |
* Rambus Inc. | 3,246 | 26 |
* iRobot Corp. | 810 | 26 |
* Interactive Intelligence Group Inc. | 449 | 26 |
* InvenSense Inc. | 1,475 | 26 |
Tessera Technologies Inc. | 1,430 | 26 |
* Netscout Systems Inc. | 1,048 | 26 |
* SPS Commerce Inc. | 417 | 26 |
* Diodes Inc. | 1,036 | 26 |
* Blucora Inc. | 1,280 | 26 |
* Ixia | 1,745 | 25 |
* RealPage Inc. | 1,210 | 25 |
CSG Systems International Inc. | 1,060 | 25 |
* Imperva Inc. | 525 | 25 |
* Bankrate Inc. | 1,440 | 25 |
* Insight Enterprises Inc. | 1,292 | 25 |
* ScanSource Inc. | 793 | 25 |
* ATMI Inc. | 999 | 25 |
* VirnetX Holding Corp. | 1,262 | 24 |
Tellabs Inc. | 10,975 | 24 |
* iGATE Corp. | 1,038 | 24 |
* MicroStrategy Inc. Class A | 259 | 24 |
* OmniVision Technologies Inc. | 1,536 | 24 |
Loral Space & Communications Inc. | 356 | 24 |
* Sonus Networks Inc. | 6,683 | 23 |
* PROS Holdings Inc. | 680 | 22 |
* Freescale Semiconductor Ltd. | 1,551 | 22 |
42
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
United Online Inc. | 2,828 | 22 |
* Ellie Mae Inc. | 758 | 22 |
Methode Electronics Inc. | 921 | 22 |
* LogMeIn Inc. | 738 | 22 |
* Applied Micro Circuits Corp. | 2,021 | 22 |
* Fusion-io Inc. | 2,011 | 21 |
* FleetMatics Group plc | 425 | 21 |
* Tableau Software Inc. Class A | 286 | 21 |
* Harmonic Inc. | 2,911 | 21 |
* Ultratech Inc. | 724 | 20 |
* Digital River Inc. | 1,149 | 20 |
* CalAmp Corp. | 1,150 | 19 |
Brooks Automation Inc. | 2,103 | 19 |
* Envestnet Inc. | 660 | 18 |
* EPAM Systems Inc. | 564 | 18 |
* Demandware Inc. | 416 | 18 |
* Responsys Inc. | 1,191 | 17 |
* Calix Inc. | 1,322 | 17 |
* Virtusa Corp. | 625 | 16 |
* Proofpoint Inc. | 563 | 16 |
ManTech International Corp.Class A | 570 | 16 |
* Active Network Inc. | 1,648 | 16 |
* Comverse Inc. | 532 | 16 |
Pegasystems Inc. | 426 | 16 |
Ubiquiti Networks Inc. | 446 | 16 |
* Emulex Corp. | 2,124 | 15 |
* Ruckus Wireless Inc. | 1,124 | 15 |
* Tangoe Inc. | 730 | 15 |
CTS Corp. | 1,087 | 15 |
* Volterra Semiconductor Corp. | 657 | 15 |
* Rofin-Sinar Technologies Inc. | 666 | 15 |
* Checkpoint Systems Inc. | 990 | 15 |
AVX Corp. | 1,119 | 14 |
* Photronics Inc. | 1,951 | 14 |
Park Electrochemical Corp. | 529 | 14 |
* Newport Corp. | 910 | 14 |
* Intermec Inc. | 1,406 | 14 |
* Perficient Inc. | 835 | 13 |
* AVG Technologies NV | 618 | 13 |
EPIQ Systems Inc. | 1,090 | 13 |
* Bazaarvoice Inc. | 1,241 | 13 |
* Lattice Semiconductor Corp. | 2,743 | 13 |
* Internap Network Services Corp. | 1,787 | 13 |
* Jive Software Inc. | 1,022 | 13 |
* SciQuest Inc. | 608 | 13 |
* PDF Solutions Inc. | 631 | 13 |
* TTM Technologies Inc. | 1,305 | 12 |
* Oplink Communications Inc. | 669 | 12 |
* Spansion Inc. Class A | 1,192 | 12 |
* Nanometrics Inc. | 862 | 12 |
EarthLink Inc. | 2,488 | 12 |
* Extreme Networks | 3,240 | 12 |
American Science & Engineering Inc. | 214 | 12 |
* LivePerson Inc. | 1,287 | 12 |
* Fabrinet | 856 | 12 |
* Inphi Corp. | 934 | 12 |
* Silicon Image Inc. | 2,181 | 12 |
* ShoreTel Inc. | 2,403 | 12 |
* Exar Corp. | 963 | 12 |
* ICG Group Inc. | 926 | 12 |
* Seachange International Inc. | 1,153 | 12 |
Black Box Corp. | 427 | 11 |
* Ceva Inc. | 624 | 11 |
* Silicon Graphics International Corp. | 765 | 11 |
43
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Callidus Software Inc. | 1,459 | 11 |
* FormFactor Inc. | 1,815 | 11 |
* KEYW Holding Corp. | 941 | 11 |
* Qualys Inc. | 543 | 11 |
Micrel Inc. | 1,164 | 11 |
Comtech Telecommunications Corp. | 434 | 10 |
* IntraLinks Holdings Inc. | 1,304 | 10 |
* Parkervision Inc. | 3,068 | 10 |
* Mercury Systems Inc. | 1,153 | 10 |
* Super Micro Computer Inc. | 775 | 10 |
Daktronics Inc. | 927 | 10 |
* DTS Inc. | 488 | 10 |
* E2open Inc. | 477 | 10 |
* Datalink Corp. | 727 | 10 |
* Demand Media Inc. | 1,460 | 9 |
* Entropic Communications Inc. | 2,243 | 9 |
* Vocera Communications Inc. | 560 | 9 |
* Rudolph Technologies Inc. | 838 | 9 |
* M/A-COM Technology Solutions Holdings Inc. | 482 | 8 |
* Brightcove Inc. | 833 | 8 |
Ebix Inc. | 685 | 8 |
* Immersion Corp. | 607 | 8 |
* Peregrine Semiconductor Corp. | 693 | 8 |
* MoSys Inc. | 1,984 | 7 |
Ambarella Inc. | 484 | 7 |
* Anaren Inc. | 276 | 7 |
* Procera Networks Inc. | 521 | 7 |
* Actuate Corp. | 962 | 7 |
* Rally Software Development Corp. | 258 | 7 |
* Globecomm Systems Inc. | 461 | 6 |
* Quantum Corp. | 4,389 | 6 |
* Millennial Media Inc. | 918 | 6 |
* Amkor Technology Inc. | 1,440 | 6 |
* Integrated Silicon Solution Inc. | 540 | 6 |
* Zix Corp. | 1,284 | 6 |
Alliance Fiber Optic Products Inc. | 149 | 6 |
Computer Task Group Inc. | 307 | 5 |
* Vringo Inc. | 1,731 | 5 |
* CIBER Inc. | 1,430 | 5 |
Uni-Pixel Inc. | 261 | 5 |
Electro Scientific Industries Inc. | 458 | 5 |
* ChannelAdvisor Corp. | 162 | 5 |
* Sparton Corp. | 264 | 5 |
* support.com Inc. | 960 | 5 |
* Rubicon Technology Inc. | 404 | 5 |
Cohu Inc. | 496 | 5 |
* Global Eagle Entertainment Inc. | 555 | 5 |
* Digi International Inc. | 522 | 5 |
Supertex Inc. | 210 | 5 |
* NVE Corp. | 97 | 5 |
* PLX Technology Inc. | 868 | 5 |
* Axcelis Technologies Inc. | 2,338 | 5 |
IXYS Corp. | 496 | 5 |
Marketo Inc. | 131 | 5 |
* eGain Corp. | 337 | 5 |
* GSI Group Inc. | 524 | 4 |
* STEC Inc. | 626 | 4 |
* Symmetricom Inc. | 867 | 4 |
* MaxLinear Inc. | 495 | 4 |
* VASCO Data Security International Inc. | 524 | 4 |
American Software Inc. Class A | 513 | 4 |
* Carbonite Inc. | 263 | 4 |
* Kopin Corp. | 1,159 | 4 |
* Kemet Corp. | 920 | 4 |
44
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Travelzoo Inc. | 138 | 4 |
Bel Fuse Inc. Class B | 206 | 4 |
* Reis Inc. | 215 | 4 |
* LTX-Credence Corp. | 904 | 4 |
* Vocus Inc. | 390 | 4 |
* KVH Industries Inc. | 278 | 4 |
* Lionbridge Technologies Inc. | 1,007 | 4 |
ePlus Inc. | 68 | 4 |
* RealNetworks Inc. | 449 | 3 |
* Neonode Inc. | 505 | 3 |
* Pericom Semiconductor Corp. | 474 | 3 |
Tessco Technologies Inc. | 102 | 3 |
* Ultra Clean Holdings Inc. | 479 | 3 |
* TeleCommunication Systems Inc. Class A | 1,228 | 3 |
* Marin Software Inc. | 237 | 3 |
* Silver Spring Networks Inc. | 153 | 3 |
* DSP Group Inc. | 489 | 3 |
Model N Inc. | 210 | 3 |
* Unwired Planet Inc. | 1,621 | 3 |
* NeoPhotonics Corp. | 468 | 3 |
PC-Tel Inc. | 366 | 3 |
* Mitek Systems Inc. | 574 | 3 |
* Avid Technology Inc. | 537 | 3 |
* Imation Corp. | 684 | 3 |
Richardson Electronics Ltd. | 257 | 3 |
* Aviat Networks Inc. | 1,112 | 3 |
* Limelight Networks Inc. | 1,373 | 3 |
* Agilysys Inc. | 242 | 3 |
* Guidance Software Inc. | 322 | 3 |
* Aeroflex Holding Corp. | 383 | 3 |
* Sigma Designs Inc. | 566 | 3 |
* Glu Mobile Inc. | 1,084 | 3 |
Digimarc Corp. | 137 | 3 |
* Multi-Fineline Electronix Inc. | 167 | 3 |
* ARC Document Solutions Inc. | 578 | 2 |
Innovative Solutions & Support Inc. | 325 | 2 |
* ANADIGICS Inc. | 1,286 | 2 |
* GSI Technology Inc. | 351 | 2 |
* Westell Technologies Inc. Class A | 780 | 2 |
* Alpha & Omega Semiconductor Ltd. | 326 | 2 |
PC Connection Inc. | 142 | 2 |
* Radisys Corp. | 622 | 2 |
* Hutchinson Technology Inc. | 605 | 2 |
* Mindspeed Technologies Inc. | 648 | 2 |
* Spark Networks Inc. | 288 | 2 |
* Revolution Lighting Technologies Inc. | 766 | 2 |
* ModusLink Global Solutions Inc. | 704 | 2 |
* Intermolecular Inc. | 326 | 2 |
Acorn Energy Inc. | 302 | 2 |
* Audience Inc. | 170 | 2 |
* Numerex Corp. Class A | 171 | 2 |
* Cyan Inc. | 189 | 2 |
Sapiens International Corp. NV | 307 | 2 |
* Telenav Inc. | 286 | 2 |
* TechTarget Inc. | 336 | 1 |
QAD Inc. Class A | 113 | 1 |
* Viasystems Group Inc. | 88 | 1 |
* Net Element International Inc. | 58 | — |
77,155 | ||
Utilities (5.3%) | ||
AT&T Inc. | 147,798 | 5,000 |
Verizon Communications Inc. | 78,597 | 3,724 |
Duke Energy Corp. | 19,388 | 1,272 |
Southern Co. | 23,912 | 995 |
45
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
NextEra Energy Inc. | 11,666 | 938 |
Dominion Resources Inc. | 15,870 | 926 |
Exelon Corp. | 23,512 | 717 |
American Electric Power Co. Inc. | 13,353 | 572 |
Sempra Energy | 6,692 | 565 |
CenturyLink Inc. | 16,732 | 554 |
PPL Corp. | 17,354 | 533 |
PG&E Corp. | 12,148 | 502 |
Consolidated Edison Inc. | 8,047 | 453 |
Public Service Enterprise Group Inc. | 13,900 | 451 |
FirstEnergy Corp. | 11,490 | 431 |
Edison International | 8,951 | 411 |
Xcel Energy Inc. | 13,660 | 381 |
Northeast Utilities | 8,644 | 354 |
DTE Energy Co. | 4,779 | 320 |
Entergy Corp. | 4,896 | 310 |
ONEOK Inc. | 5,663 | 291 |
CenterPoint Energy Inc. | 11,773 | 270 |
Wisconsin Energy Corp. | 6,284 | 258 |
NiSource Inc. | 8,576 | 251 |
NRG Energy Inc. | 8,881 | 233 |
Ameren Corp. | 6,687 | 226 |
AES Corp. | 17,123 | 218 |
* Calpine Corp. | 10,893 | 211 |
American Water Works Co. Inc. | 4,914 | 200 |
CMS Energy Corp. | 7,384 | 196 |
OGE Energy Corp. | 5,486 | 193 |
SCANA Corp. | 3,867 | 186 |
Pinnacle West Capital Corp. | 3,080 | 167 |
Sprint Corp. | 23,190 | 156 |
Alliant Energy Corp. | 3,096 | 154 |
NV Energy Inc. | 6,417 | 151 |
MDU Resources Group Inc. | 5,287 | 141 |
AGL Resources Inc. | 3,196 | 140 |
National Fuel Gas Co. | 2,003 | 131 |
Windstream Corp. | 16,084 | 130 |
Energen Corp. | 1,944 | 129 |
Pepco Holdings Inc. | 6,774 | 128 |
ITC Holdings Corp. | 1,409 | 125 |
Frontier Communications Corp. | 28,108 | 122 |
* tw telecom inc Class A | 4,240 | 121 |
UGI Corp. | 3,092 | 121 |
Integrys Energy Group Inc. | 2,141 | 120 |
Aqua America Inc. | 3,824 | 116 |
* T-Mobile US Inc. | 4,725 | 110 |
Westar Energy Inc. | 3,535 | 110 |
Questar Corp. | 4,696 | 103 |
* Level 3 Communications Inc. | 4,436 | 99 |
Atmos Energy Corp. | 2,429 | 98 |
TECO Energy Inc. | 5,836 | 96 |
Great Plains Energy Inc. | 4,244 | 93 |
Cleco Corp. | 1,629 | 74 |
Telephone & Data Systems Inc. | 2,610 | 72 |
Vectren Corp. | 2,184 | 71 |
Piedmont Natural Gas Co. Inc. | 2,052 | 66 |
Hawaiian Electric Industries Inc. | 2,635 | 66 |
IDACORP Inc. | 1,364 | 65 |
Southwest Gas Corp. | 1,274 | 60 |
Black Hills Corp. | 1,241 | 60 |
Portland General Electric Co. | 2,066 | 60 |
j2 Global Inc. | 1,208 | 60 |
WGL Holdings Inc. | 1,419 | 59 |
* Dynegy Inc. | 2,889 | 56 |
UIL Holdings Corp. | 1,426 | 54 |
46
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
August 31, 2013 | ||
Market | ||
Value | ||
Shares | ($000) | |
UNS Energy Corp. | 1,147 | 52 |
New Jersey Resources Corp. | 1,205 | 52 |
South Jersey Industries Inc. | 898 | 52 |
ALLETE Inc. | 1,096 | 52 |
PNM Resources Inc. | 2,069 | 45 |
NorthWestern Corp. | 1,050 | 42 |
Avista Corp. | 1,550 | 41 |
Laclede Group Inc. | 905 | 40 |
Cogent Communications Group Inc. | 1,266 | 39 |
El Paso Electric Co. | 1,096 | 38 |
MGE Energy Inc. | 658 | 34 |
Northwest Natural Gas Co. | 774 | 32 |
* NII Holdings Inc. | 4,887 | 29 |
American States Water Co. | 516 | 27 |
Otter Tail Corp. | 974 | 26 |
California Water Service Group | 1,279 | 26 |
Empire District Electric Co. | 1,188 | 25 |
* Leap Wireless International Inc. | 1,411 | 21 |
Consolidated Communications Holdings Inc. | 953 | 16 |
* 8x8 Inc. | 1,713 | 16 |
* Cincinnati Bell Inc. | 5,153 | 15 |
* Vonage Holdings Corp. | 4,910 | 15 |
Ormat Technologies Inc. | 607 | 15 |
United States Cellular Corp. | 327 | 14 |
Shenandoah Telecommunications Co. | 811 | 14 |
Unitil Corp. | 476 | 13 |
* Intelsat SA | 578 | 13 |
Chesapeake Utilities Corp. | 236 | 12 |
West Corp. | 550 | 12 |
* Premiere Global Services Inc. | 1,235 | 12 |
* inContact Inc. | 1,449 | 12 |
* Iridium Communications Inc. | 1,748 | 12 |
Atlantic Tele-Network Inc. | 235 | 11 |
Atlantic Power Corp. | 2,641 | 11 |
* Pendrell Corp. | 5,226 | 10 |
* Hawaiian Telcom Holdco Inc. | 388 | 10 |
SJW Corp. | 362 | 9 |
Pike Electric Corp. | 828 | 9 |
* magicJack VocalTec Ltd. | 654 | 9 |
Lumos Networks Corp. | 572 | 9 |
Middlesex Water Co. | 354 | 7 |
Connecticut Water Service Inc. | 210 | 6 |
* General Communication Inc. Class A | 714 | 6 |
USA Mobility Inc. | 441 | 6 |
IDT Corp. Class B | 329 | 5 |
York Water Co. | 271 | 5 |
* Inteliquent Inc. | 603 | 5 |
NTELOS Holdings Corp. | 287 | 5 |
* Fairpoint Communications Inc. | 455 | 4 |
* ORBCOMM Inc. | 817 | 4 |
* Cbeyond Inc. | 485 | 3 |
Artesian Resources Corp. Class A | 145 | 3 |
* Genie Energy Ltd. Class B | 352 | 3 |
Consolidated Water Co. Ltd. | 234 | 3 |
HickoryTech Corp. | 294 | 3 |
Delta Natural Gas Co. Inc. | 124 | 3 |
* Towerstream Corp. | 1,061 | 2 |
* Pure Cycle Corp. | 445 | 2 |
* Boingo Wireless Inc. | 315 | 2 |
Straight Path Communications Inc. Class B | 164 | 1 |
Primus Telecommunications Group Inc. | 199 | 1 |
26,847 | ||
Total Common Stocks (Cost $438,904) | 501,541 |
47
Vanguard® Russell 3000 Index Fund | |||||
Schedule of Investments | |||||
August 31, 2013 | |||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (0.1%)1 | |||||
Money Market Fund (0.0%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.122% | 40,000 | 40 | |
Maturity | |||||
Date | |||||
U.S. Government and Agency Obligations (0.1%) | |||||
4,5 | Federal Home Loan Bank Discount Notes | 0.090% | 10/25/13 | 100 | 100 |
5,6 | Freddie Mac Discount Notes | 0.095% | 11/18/13 | 100 | 100 |
200 | |||||
Total Temporary Cash Investments (Cost $240) | 240 | ||||
Total Investments (100.0%) (Cost $439,144) | 501,781 | ||||
Other Assets and Liabilities—Net (0.0%)2 | 32 | ||||
Net Assets (100%) | 501,813 |
Securities with a market 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 $40,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.
2 Includes $40,000 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 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
REIT—Real Estate Investment Trust.
48
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© 2013 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 18540 102013
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 of Vanguard Russell 3000 Index Fund (constituting a separate portfolio of Vanguard Scottsdale Funds, hereafter referred to as the “Fund") as of August 31, 2013 and for the year then ended and have issued our unqualified report thereon dated October 16, 2013 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audit included an audit of the Fund's schedule of investments as of August 31, 2013 appearing in Item 6 of this Form N-CSR. This schedule of investments is the responsibility of the Fund's management. Our responsibility is to express an opinion on the schedule of investments based on our audit.
In our opinion, the 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, 2013
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 21, 2013 |
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 21, 2013 |
VANGUARD SCOTTSDALE FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: October 21, 2013 |
* 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.