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: 811-00834
Name of Registrant: | Vanguard Windsor Funds |
Address of Registrant: | P.O. Box 2600 Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire P.O. Box 876 Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: October 31
Date of reporting period: November 1, 2020—October 31, 2021
Item 1: Reports to Shareholders
Your Fund’s Performance at a Glance | 1 |
Advisors' Report | 2 |
About Your Fund’s Expenses | 6 |
Performance Summary | 8 |
Financial Statements | 10 |
• | For the 12 months ended October 31, 2021, Vanguard Windsor Fund returned 53.49% for Investor Shares and 53.60% for Admiral Shares, outpacing the 43.76% return of its benchmark, the Russell 1000 Value Index. |
• | During the period, the global economy continued to recover from the sharp pandemic-induced contraction of spring 2020. Countries that were more successful in containing the coronavirus, whether through vaccinations, lockdowns, or both, generally fared better economically. Swift and extensive fiscal and monetary support from policymakers was also key to the rebound. Stock returns for the period were excellent, even amid concerns late in the fiscal year about inflation and the prospect of less accommodative monetary policy. |
• | The broad U.S. stock market, as measured by the Russell 3000 Index, climbed 43.90%. Value stocks outperformed growth, and mid- and small-capitalization stocks surpassed large-caps. |
• | Returns were positive in all 11 sectors represented in the portfolio. The advisors’ selections in financials and consumer staples contributed most to outperformance relative to the benchmark. Real estate and materials were the only net detractors. |
• | For the decade ended October 31, the fund’s average annual return was 13.78%, ahead of the 12.85% return of its benchmark. |
Average Annual Total Returns Periods Ended October 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 43.51% | 22.01% | 19.16% |
Russell 2000 Index (Small-caps) | 50.80 | 16.47 | 15.52 |
Russell 3000 Index (Broad U.S. market) | 43.90 | 21.62 | 18.91 |
FTSE All-World ex US Index (International) | 30.23 | 12.42 | 10.05 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.48% | 5.63% | 3.10% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 2.64 | 5.17 | 3.41 |
FTSE Three-Month U.S. Treasury Bill Index | 0.05 | 1.08 | 1.12 |
CPI | |||
Consumer Price Index | 6.22% | 3.03% | 2.73% |
Fund Assets Managed | |||
Investment Advisor | % | $ Million | Investment Strategy |
Wellington Management Company LLP | 70 | 16,821 | Seeks to provide long-term total returns above both the S&P 500 and value-oriented indexes over a complete market cycle through bottom-up, fundamentally driven stock selection focused on undervalued securities. |
Pzena Investment Management, LLC | 29 | 7,102 | Uses a fundamental, bottom-up, deep-value-oriented investment strategy. Seeks to buy good businesses at low prices, focusing exclusively on companies that are underperforming their historically demonstrated earnings power. |
Cash Investments | 1 | 346 | 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. |
• | 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. |
• | 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. |
Six Months Ended October 31, 2021 | |||
Beginning Account Value 4/30/2021 | Ending Account Value 10/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Windsor Fund | |||
Investor Shares | $1,000.00 | $1,062.20 | $1.56 |
Admiral™ Shares | 1,000.00 | 1,062.70 | 1.09 |
Based on Hypothetical 5% Yearly Return | |||
Windsor Fund | |||
Investor Shares | $1,000.00 | $1,023.69 | $1.53 |
Admiral Shares | 1,000.00 | 1,024.15 | 1.07 |
Average Annual Total Returns Periods Ended October 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Windsor Fund Investor Shares | 53.49% | 14.62% | 13.78% | $36,353 | |
Russell 1000 Value Index | 43.76 | 12.39 | 12.85 | 33,491 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 44.07 | 18.87 | 16.04 | 44,284 |
One Year | Five Years | Ten Years | Final Value of a $50,000 Investment | ||
Windsor Fund Admiral Shares | 53.60% | 14.73% | 13.89% | $183,640 | |
Russell 1000 Value Index | 43.76 | 12.39 | 12.85 | 167,456 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 44.07 | 18.87 | 16.04 | 221,419 |
Communication Services | 3.6% |
Consumer Discretionary | 10.7 |
Consumer Staples | 3.9 |
Energy | 7.1 |
Financials | 23.8 |
Health Care | 15.4 |
Industrials | 7.8 |
Information Technology | 13.5 |
Materials | 3.6 |
Real Estate | 4.2 |
Utilities | 6.4 |
Other | 0.0 |
Shares | Market Value• ($000) | ||
Common Stocks (97.4%) | |||
Communication Services (3.5%) | |||
Electronic Arts Inc. | 1,984,564 | 278,335 | |
* | T-Mobile US Inc. | 1,996,136 | 229,616 |
Cable One Inc. | 127,787 | 218,670 | |
* | Alphabet Inc. Class A | 40,456 | 119,787 |
Verizon Communications Inc. | 220,056 | 11,661 | |
858,069 | |||
Consumer Discretionary (10.4%) | |||
* | Dollar Tree Inc. | 2,970,805 | 320,134 |
* | Compass Group plc | 10,539,882 | 223,663 |
* | Las Vegas Sands Corp. | 5,736,039 | 222,616 |
Lear Corp. | 1,287,305 | 221,223 | |
* | CarMax Inc. | 1,568,791 | 214,799 |
Gildan Activewear Inc. | 5,470,264 | 200,868 | |
* | PVH Corp. | 1,588,525 | 173,673 |
* | Airbnb Inc. Class A | 907,128 | 154,811 |
* | Mohawk Industries Inc. | 766,250 | 135,787 |
* | General Motors Co. | 2,414,446 | 131,418 |
Newell Brands Inc. | 5,632,130 | 128,919 | |
* | Alibaba Group Holding Ltd. ADR | 612,655 | 101,051 |
TJX Cos. Inc. | 1,340,838 | 87,812 | |
Ford Motor Co. | 4,189,975 | 71,565 | |
* | Booking Holdings Inc. | 28,294 | 68,494 |
* | Skechers USA Inc. Class A | 1,409,806 | 65,147 |
2,521,980 | |||
Consumer Staples (3.8%) | |||
Philip Morris International Inc. | 3,514,844 | 332,293 | |
Keurig Dr Pepper Inc. | 8,566,553 | 309,167 | |
Tyson Foods Inc. Class A | 2,527,708 | 202,141 | |
Sysco Corp. | 973,259 | 74,844 | |
918,445 | |||
Energy (6.9%) | |||
Canadian Natural Resources Ltd. | 7,724,218 | 328,356 | |
Halliburton Co. | 12,285,357 | 307,011 | |
Baker Hughes Co. Class A | 8,642,559 | 216,755 | |
Exxon Mobil Corp. | 2,835,717 | 182,819 | |
Schlumberger NV | 4,836,393 | 156,022 | |
ConocoPhillips | 1,634,188 | 121,731 | |
Royal Dutch Shell plc Class A ADR | 2,564,255 | 117,751 | |
* | NOV Inc. | 7,869,660 | 110,333 |
Shares | Market Value• ($000) | ||
Diamondback Energy Inc. | 875,449 | 93,839 | |
Cenovus Energy Inc. | 3,490,886 | 41,821 | |
1,676,438 | |||
Financials (23.2%) | |||
Bank of America Corp. | 14,932,890 | 713,493 | |
MetLife Inc. | 7,002,127 | 439,733 | |
Charles Schwab Corp. | 5,168,369 | 423,961 | |
Chubb Ltd. | 1,959,017 | 382,753 | |
Voya Financial Inc. | 4,843,503 | 337,931 | |
Equitable Holdings Inc. | 9,918,831 | 332,281 | |
Wells Fargo & Co. | 5,815,753 | 297,534 | |
M&T Bank Corp. | 1,990,972 | 292,912 | |
Raymond James Financial Inc. | 2,633,164 | 259,604 | |
Zions Bancorp NA | 3,601,603 | 226,865 | |
American International Group Inc. | 3,818,628 | 225,643 | |
* | Athene Holding Ltd. Class A | 2,492,325 | 216,857 |
S&P Global Inc. | 453,060 | 214,823 | |
Capital One Financial Corp. | 1,284,225 | 193,956 | |
Citigroup Inc. | 2,779,032 | 192,198 | |
JPMorgan Chase & Co. | 1,102,065 | 187,230 | |
Travelers Cos. Inc. | 964,439 | 155,159 | |
Goldman Sachs Group Inc. | 353,777 | 146,234 | |
1 | ING Groep NV ADR | 9,560,670 | 144,653 |
Axis Capital Holdings Ltd. | 1,829,345 | 95,254 | |
Morgan Stanley | 720,717 | 74,075 | |
UBS Group AG (Registered) | 2,753,680 | 49,979 | |
Invesco Ltd. | 852,369 | 21,659 | |
5,624,787 | |||
Health Care (15.0%) | |||
* | Seagen Inc. | 1,797,465 | 316,947 |
CVS Health Corp. | 2,879,633 | 257,094 | |
UnitedHealth Group Inc. | 552,667 | 254,487 | |
AstraZeneca plc ADR | 3,743,764 | 233,536 | |
Medtronic plc | 1,890,702 | 226,619 | |
* | Regeneron Pharmaceuticals Inc. | 348,653 | 223,117 |
* | Centene Corp. | 3,078,168 | 219,289 |
Humana Inc. | 418,426 | 193,798 | |
* | Boston Scientific Corp. | 4,416,326 | 190,476 |
Organon & Co. | 4,051,313 | 148,886 | |
Eli Lilly & Co. | 581,528 | 148,150 |
Shares | Market Value• ($000) | ||
Becton Dickinson and Co. | 613,274 | 146,934 | |
McKesson Corp. | 700,633 | 145,648 | |
Johnson & Johnson | 864,151 | 140,753 | |
Pfizer Inc. | 3,155,348 | 138,015 | |
Sanofi | 1,358,254 | 136,429 | |
1 | Fresenius Medical Care AG & Co. KGaA ADR | 3,943,421 | 131,040 |
Anthem Inc. | 186,825 | 81,293 | |
* | Biogen Inc. | 269,240 | 71,801 |
Bristol-Myers Squibb Co. | 1,128,085 | 65,880 | |
Cigna Corp. | 298,096 | 63,676 | |
Amgen Inc. | 269,795 | 55,839 | |
Cardinal Health Inc. | 1,164,253 | 55,663 | |
3,645,370 | |||
Industrials (7.5%) | |||
Westinghouse Air Brake Technologies Corp. | 5,441,000 | 493,662 | |
Raytheon Technologies Corp. | 3,814,330 | 338,941 | |
General Electric Co. | 2,643,985 | 277,275 | |
Leidos Holdings Inc. | 2,405,610 | 240,513 | |
* | Airbus SE | 1,009,838 | 129,544 |
Stanley Black & Decker Inc. | 634,919 | 114,114 | |
JB Hunt Transport Services Inc. | 494,683 | 97,546 | |
Textron Inc. | 979,737 | 72,354 | |
General Dynamics Corp. | 339,199 | 68,773 | |
1,832,722 | |||
Information Technology (13.1%) | |||
Cognizant Technology Solutions Corp. Class A | 5,574,863 | 435,341 | |
Cisco Systems Inc. | 5,826,499 | 326,109 | |
* | F5 Networks Inc. | 1,198,181 | 252,996 |
Broadcom Inc. | 455,310 | 242,075 | |
* | FleetCor Technologies Inc. | 829,502 | 205,227 |
*,1 | VMware Inc. Class A | 1,311,369 | 198,935 |
Fidelity National Information Services Inc. | 1,714,833 | 189,901 | |
* | GoDaddy Inc. Class A | 2,598,923 | 179,768 |
Hewlett Packard Enterprise Co. | 11,420,593 | 167,312 | |
Micron Technology Inc. | 2,356,848 | 162,858 | |
Amdocs Ltd. | 1,666,717 | 129,737 | |
Genpact Ltd. | 2,621,398 | 129,366 | |
KLA Corp. | 314,112 | 117,088 | |
* | Lumentum Holdings Inc. | 1,354,353 | 111,842 |
Oracle Corp. | 1,125,306 | 107,962 | |
NXP Semiconductors NV | 525,083 | 105,468 | |
Samsung Electronics Co. Ltd. | 940,697 | 56,322 | |
Juniper Networks Inc. | 1,231,241 | 36,346 | |
SS&C Technologies Holdings Inc. | 368,606 | 29,293 | |
3,183,946 | |||
Materials (3.6%) | |||
Reliance Steel & Aluminum Co. | 1,454,175 | 212,542 | |
LG Chem Ltd. | 247,469 | 177,573 | |
Dow Inc. | 2,955,997 | 165,447 | |
Celanese Corp. Class A | 973,491 | 157,228 |
Shares | Market Value• ($000) | ||
FMC Corp. | 1,654,950 | 150,617 | |
863,407 | |||
Other (0.0%) | |||
2 | Allstar Coinv LLC | 1,647,100 | — |
Real Estate (4.1%) | |||
VICI Properties Inc. | 10,070,652 | 295,574 | |
American Tower Corp. | 980,947 | 276,597 | |
Americold Realty Trust | 5,917,235 | 174,381 | |
Equinix Inc. | 166,767 | 139,596 | |
Digital Realty Trust Inc. | 669,079 | 105,587 | |
991,735 | |||
Utilities (6.3%) | |||
Exelon Corp. | 6,580,566 | 350,020 | |
NRG Energy Inc. | 5,782,825 | 230,677 | |
Edison International | 3,310,563 | 208,334 | |
Duke Energy Corp. | 1,975,773 | 201,549 | |
Iberdrola SA (XMAD) | 16,378,464 | 193,580 | |
Pinnacle West Capital Corp. | 2,082,251 | 134,284 | |
Avangrid Inc. | 2,210,172 | 116,476 | |
Consolidated Edison Inc. | 1,097,025 | 82,716 | |
1,517,636 | |||
Total Common Stocks (Cost $17,004,976) | 23,634,535 | ||
Temporary Cash Investments (2.8%) | |||
Money Market Fund (2.2%) | |||
3,4 | Vanguard Market Liquidity Fund, 0.070% | 5,336,879 | 533,688 |
Face Amount ($000) | Market Value• ($000) | ||
Repurchase Agreement (0.6%) | |||
Bank of America Securities LLC 0.050%, 11/1/21 (Dated 10/29/21, Repurchase Value $145,201,000, collateralized by Federal Farm Credit Bank 0.055%, 9/30/22, with a value of $148,104,000) | 145,200 | 145,200 | |
Total Temporary Cash Investments (Cost $678,851) | 678,888 | ||
Total Investments (100.2%) (Cost $17,683,827) | 24,313,423 | ||
Other Assets and Liabilities—Net (-0.2%) | (44,819) | ||
Net Assets (100%) | 24,268,604 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $146,727,000. |
2 | Security value determined using significant unobservable inputs. |
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 | Collateral of $151,208,000 was received for securities on loan. |
ADR—American Depositary Receipt. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | December 2021 | 1,517 | 348,682 | 9,999 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $17,150,176) | 23,779,735 |
Affiliated Issuers (Cost $533,651) | 533,688 |
Total Investments in Securities | 24,313,423 |
Investment in Vanguard | 785 |
Cash Collateral Pledged—Futures Contracts | 16,794 |
Receivables for Investment Securities Sold | 155,006 |
Receivables for Accrued Income | 12,016 |
Receivables for Capital Shares Issued | 6,889 |
Variation Margin Receivable—Futures Contracts | 694 |
Total Assets | 24,505,607 |
Liabilities | |
Due to Custodian | 49,482 |
Payables for Investment Securities Purchased | 22,257 |
Collateral for Securities on Loan | 151,208 |
Payables to Investment Advisor | 4,810 |
Payables for Capital Shares Redeemed | 7,610 |
Payables to Vanguard | 1,636 |
Total Liabilities | 237,003 |
Net Assets | 24,268,604 |
At October 31, 2021, net assets consisted of: | |
Paid-in Capital | 15,361,846 |
Total Distributable Earnings (Loss) | 8,906,758 |
Net Assets | 24,268,604 |
Investor Shares—Net Assets | |
Applicable to 218,298,362 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,728,001 |
Net Asset Value Per Share—Investor Shares | $26.24 |
Admiral Shares—Net Assets | |
Applicable to 209,498,104 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 18,540,603 |
Net Asset Value Per Share—Admiral Shares | $88.50 |
Year Ended October 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 399,517 |
Interest2 | 385 |
Securities Lending—Net | 2,613 |
Total Income | 402,515 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 28,231 |
Performance Adjustment | (12,314) |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 12,788 |
Management and Administrative—Admiral Shares | 21,056 |
Marketing and Distribution—Investor Shares | 255 |
Marketing and Distribution—Admiral Shares | 340 |
Custodian Fees | 422 |
Auditing Fees | 45 |
Shareholders’ Reports—Investor Shares | 71 |
Shareholders’ Reports—Admiral Shares | 50 |
Trustees’ Fees and Expenses | 16 |
Total Expenses | 50,960 |
Net Investment Income | 351,555 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 2,187,539 |
Futures Contracts | 76,756 |
Foreign Currencies | 191 |
Realized Net Gain (Loss) | 2,264,486 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 6,297,039 |
Futures Contracts | 20,302 |
Foreign Currencies | (44) |
Change in Unrealized Appreciation (Depreciation) | 6,317,297 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,933,338 |
1 | Dividends are net of foreign withholding taxes of $5,222,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $295,000, $3,000, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended October 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 351,555 | 393,487 |
Realized Net Gain (Loss) | 2,264,486 | 1,453,321 |
Change in Unrealized Appreciation (Depreciation) | 6,317,297 | (2,814,038) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,933,338 | (967,230) |
Distributions | ||
Investor Shares | (424,284) | (459,718) |
Admiral Shares | (1,221,462) | (1,481,286) |
Total Distributions | (1,645,746) | (1,941,004) |
Capital Share Transactions | ||
Investor Shares | (723,894) | 647,387 |
Admiral Shares | 439,865 | 329,826 |
Net Increase (Decrease) from Capital Share Transactions | (284,029) | 977,213 |
Total Increase (Decrease) | 7,003,563 | (1,931,021) |
Net Assets | ||
Beginning of Period | 17,265,041 | 19,196,062 |
End of Period | 24,268,604 | 17,265,041 |
Investor Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended October 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $18.55 | $21.76 | $22.02 | $23.38 | $19.70 |
Investment Operations | |||||
Net Investment Income1 | .356 | .408 | .419 | .417 | .363 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.122 | (1.412) | 1.700 | (.753) | 4.345 |
Total from Investment Operations | 9.478 | (1.004) | 2.119 | (.336) | 4.708 |
Distributions | |||||
Dividends from Net Investment Income | (.411) | (.420) | (.426) | (.378) | (.433) |
Distributions from Realized Capital Gains | (1.377) | (1.786) | (1.953) | (.646) | (.595) |
Total Distributions | (1.788) | (2.206) | (2.379) | (1.024) | (1.028) |
Net Asset Value, End of Period | $26.24 | $18.55 | $21.76 | $22.02 | $23.38 |
Total Return2 | 53.49% | -5.64% | 11.59% | -1.69% | 24.53% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $5,728 | $4,570 | $4,549 | $4,468 | $5,191 |
Ratio of Total Expenses to Average Net Assets3 | 0.30% | 0.29% | 0.30% | 0.31% | 0.31% |
Ratio of Net Investment Income to Average Net Assets | 1.49% | 2.14% | 2.04% | 1.76% | 1.66% |
Portfolio Turnover Rate | 33% | 51% | 39% | 33% | 26% |
1 | Calculated based on average shares outstanding. |
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 (0.05%), (0.07%), (0.05%), (0.05%), and (0.05%). |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended October 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $62.58 | $73.41 | $74.29 | $78.88 | $66.48 |
Investment Operations | |||||
Net Investment Income1 | 1.278 | 1.448 | 1.484 | 1.484 | 1.295 |
Net Realized and Unrealized Gain (Loss) on Investments | 30.747 | (4.770) | 5.735 | (2.538) | 14.650 |
Total from Investment Operations | 32.025 | (3.322) | 7.219 | (1.054) | 15.945 |
Distributions | |||||
Dividends from Net Investment Income | (1.460) | (1.485) | (1.509) | (1.358) | (1.538) |
Distributions from Realized Capital Gains | (4.645) | (6.023) | (6.590) | (2.178) | (2.007) |
Total Distributions | (6.105) | (7.508) | (8.099) | (3.536) | (3.545) |
Net Asset Value, End of Period | $88.50 | $62.58 | $73.41 | $74.29 | $78.88 |
Total Return2 | 53.60% | -5.55% | 11.71% | -1.59% | 24.63% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $18,541 | $12,695 | $14,647 | $13,948 | $14,366 |
Ratio of Total Expenses to Average Net Assets3 | 0.20% | 0.19% | 0.20% | 0.21% | 0.21% |
Ratio of Net Investment Income to Average Net Assets | 1.58% | 2.24% | 2.14% | 1.86% | 1.76% |
Portfolio Turnover Rate | 33% | 51% | 39% | 33% | 26% |
1 | Calculated based on average shares outstanding. |
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 (0.05%), (0.07%), (0.05%), (0.05%), and (0.05%). |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | The investment advisory firms Wellington Management Company llp and Pzena Investment 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 fee of Wellington Management Company llp is subject to quarterly adjustments based on performance relative to the S&P 500 Index for the preceding three years. The basic fee of Pzena Investment Management, LLC, is subject to quarterly adjustments based on performance relative to the Russell 1000 Value Index for the preceding three years. |
C. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, distribution and cash management services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 22,717,424 | 917,111 | — | 23,634,535 |
Temporary Cash Investments | 533,688 | 145,200 | — | 678,888 |
Total | 23,251,112 | 1,062,311 | — | 24,313,423 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 9,999 | — | — | 9,999 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for distributions in connection with fund share redemptions, and foreign currency transactions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 83,161 |
Total Distributable Earnings (Loss) | (83,161) |
Amount ($000) | |
Undistributed Ordinary Income | 790,595 |
Undistributed Long-Term Gains | 1,494,793 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 6,621,370 |
Year Ended October 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 794,066 | 424,622 |
Long-Term Capital Gains | 851,680 | 1,516,382 |
Total | 1,645,746 | 1,941,004 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 17,692,037 |
Gross Unrealized Appreciation | 7,119,342 |
Gross Unrealized Depreciation | (497,957) |
Net Unrealized Appreciation (Depreciation) | 6,621,385 |
F. | During the year ended October 31, 2021, the fund purchased $7,018,613,000 of investment securities and sold $8,623,859,000 of investment securities, other than temporary cash investments. |
G. | Capital share transactions for each class of shares were: |
Year Ended October 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 422,386 | 17,602 | 754,962 | 45,996 | |
Issued in Connection with Acquisition of Vanguard Capital Value Fund | — | — | 696,113 | 37,613 | |
Issued in Lieu of Cash Distributions | 412,533 | 19,492 | 446,705 | 21,481 | |
Redeemed | (1,558,813) | (65,085) | (1,250,393) | (67,795) | |
Net Increase (Decrease)—Investor Shares | (723,894) | (27,991) | 647,387 | 37,295 | |
Admiral Shares | |||||
Issued | 1,733,594 | 21,194 | 1,082,877 | 17,290 | |
Issued in Lieu of Cash Distributions | 1,138,412 | 15,936 | 1,385,454 | 19,747 | |
Redeemed | (2,432,141) | (30,502) | (2,138,505) | (33,692) | |
Net Increase (Decrease)—Admiral Shares | 439,865 | 6,628 | 329,826 | 3,345 |
H. | Management has determined that no other events or transactions occurred subsequent to October 31, 2021, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
December 17, 2021
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
John T. Marcante | Lauren Valente |
Chris D. Mclsaac |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Your Fund’s Performance at a Glance | 1 |
Advisors' Report | 2 |
About Your Fund’s Expenses | 6 |
Performance Summary | 8 |
Financial Statements | 10 |
• | For the 12 months ended October 31, 2021, Vanguard Windsor II Fund returned 49.42% for Investor Shares and 49.55% for Admiral Shares, outpacing the 43.76% return of its benchmark, the Russell 1000 Value Index. |
• | During the period, the global economy continued to recover from the sharp pandemic-induced contraction of spring 2020. Countries that were more successful in containing COVID-19 generally fared better economically. Swift and extensive fiscal and monetary support from policymakers was also key to the rebound. Stock returns for the period were excellent, even amid concerns late in the fiscal year about inflation and the prospect of less accommodative monetary policy. |
• | The broad U.S. stock market, as measured by the Russell 3000 Index, climbed 43.90%. Value stocks outperformed growth, and mid- and small-capitalization stocks outperformed large-caps. |
• | Returns were positive in all 11 sectors represented in the portfolio. Strong selection in communication services and an underweight position in utilities contributed most to performance relative to the benchmark. Consumer discretionary and real estate were the only net laggards on a relative basis. |
• | Over the decade ended October 31, the fund’s average annualized return was 14.14% for Investor Shares and 14.23% for Admiral Shares, ahead of the 12.85% return of its benchmark. |
Average Annual Total Returns Periods Ended October 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 43.51% | 22.01% | 19.16% |
Russell 2000 Index (Small-caps) | 50.80 | 16.47 | 15.52 |
Russell 3000 Index (Broad U.S. market) | 43.90 | 21.62 | 18.91 |
FTSE All-World ex US Index (International) | 30.23 | 12.42 | 10.05 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.48% | 5.63% | 3.10% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 2.64 | 5.17 | 3.41 |
FTSE Three-Month U.S. Treasury Bill Index | 0.05 | 1.08 | 1.12 |
CPI | |||
Consumer Price Index | 6.22% | 3.03% | 2.73% |
• | Compounders: These are companies that our analysis indicates can sustain |
• | Improvers: We believe that companies can improve returns, but investors often are too optimistic about the probability of success. Our research indicates that companies that improve their returns on capital materially outperform the broad market. We typically invest 20% to 40% of our capital in these types of ideas. |
Fund Assets Managed | |||
Investment Advisor | % | $ Million | Investment Strategy |
Lazard Asset Management LLC | 37 | 22,360 | Employs a relative-value approach that seeks a combination of attractive valuation and high financial productivity. The process is research-driven, relying upon bottom-up stock analysis performed by the firm’s global sector analysts. |
Hotchkis and Wiley Capital Management, LLC | 22 | 13,514 | Uses a disciplined investment approach, focusing on such investment parameters as a company’s tangible assets, sustainable cash flow, and potential for improving business performance. |
Sanders Capital, LLC | 20 | 12,153 | Employs a traditional, bottom-up, fundamental research approach to identifying securities that are undervalued relative to their expected total return. |
Aristotle Capital Management, LLC | 20 | 11,867 | Employs a fundamental, bottom-up security selection process focused on quality companies with attractive valuations and compelling catalysts. |
Cash Investments | 1 | 673 | 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. |
• | 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. |
• | 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. |
Six Months Ended October 31, 2021 | |||
Beginning Account Value 4/30/2021 | Ending Account Value 10/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Windsor II Fund | |||
Investor Shares | $1,000.00 | $1,081.40 | $1.78 |
Admiral™ Shares | 1,000.00 | 1,081.70 | 1.36 |
Based on Hypothetical 5% Yearly Return | |||
Windsor II Fund | |||
Investor Shares | $1,000.00 | $1,023.49 | $1.73 |
Admiral Shares | 1,000.00 | 1,023.90 | 1.33 |
Average Annual Total Returns Periods Ended October 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Windsor II Fund Investor Shares | 49.42% | 16.31% | 14.14% | $37,544 | |
Russell 1000 Value Index | 43.76 | 12.39 | 12.85 | 33,491 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 44.07 | 18.87 | 16.04 | 44,284 |
One Year | Five Years | Ten Years | Final Value of a $50,000 Investment | ||
Windsor II Fund Admiral Shares | 49.55% | 16.40% | 14.23% | $189,206 | |
Russell 1000 Value Index | 43.76 | 12.39 | 12.85 | 167,456 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 44.07 | 18.87 | 16.04 | 221,419 |
Communication Services | 8.0% |
Consumer Discretionary | 10.6 |
Consumer Staples | 5.5 |
Energy | 5.3 |
Financials | 18.3 |
Health Care | 17.1 |
Industrials | 8.7 |
Information Technology | 20.9 |
Materials | 2.3 |
Real Estate | 1.8 |
Utilities | 0.7 |
Other | 0.8 |
Shares | Market Value• ($000) | ||
Common Stocks (95.7%) | |||
Communication Services (7.7%) | |||
* | Alphabet Inc. Class A | 663,435 | 1,964,378 |
* | Alphabet Inc. Class C | 292,365 | 866,982 |
* | Meta Platforms Inc. Class A | 1,722,738 | 557,426 |
* | Walt Disney Co. | 1,448,581 | 244,912 |
* | Twitter Inc. | 4,540,000 | 243,072 |
* | Discovery Inc. Class C | 9,977,848 | 225,100 |
News Corp. Class A | 7,309,310 | 167,383 | |
Vodafone Group plc ADR | 10,811,932 | 161,639 | |
Comcast Corp. Class A | 2,884,213 | 148,335 | |
Omnicom Group Inc. | 913,679 | 62,203 | |
4,641,430 | |||
Consumer Discretionary (10.1%) | |||
* | Amazon.com Inc. | 258,722 | 872,522 |
McDonald's Corp. | 2,188,469 | 537,379 | |
Lennar Corp. Class A | 5,274,422 | 527,073 | |
* | General Motors Co. | 7,490,801 | 407,724 |
Sony Group Corp. ADR | 3,375,000 | 390,791 | |
Dollar General Corp. | 1,668,001 | 369,496 | |
Lowe's Cos. Inc. | 1,463,751 | 342,254 | |
Home Depot Inc. | 912,660 | 339,272 | |
* | Aptiv plc | 1,858,543 | 321,324 |
Starbucks Corp. | 2,824,827 | 299,629 | |
Magna International Inc. | 3,364,732 | 273,553 | |
1 | Cie Generale des Etablissements Michelin SCA ADR | 8,570,000 | 269,441 |
DR Horton Inc. | 2,888,131 | 257,823 | |
Daimler AG (Registered) | 2,159,229 | 214,330 | |
* | Booking Holdings Inc. | 85,400 | 206,735 |
Bayerische Motoren Werke AG | 2,025,426 | 204,641 | |
Ross Stores Inc. | 1,211,380 | 137,128 | |
* | Goodyear Tire & Rubber Co. | 3,226,296 | 61,687 |
* | Adient plc | 1,311,943 | 54,603 |
Harley-Davidson Inc. | 1,395,273 | 50,914 | |
Lennar Corp. Class B | 46,457 | 3,813 | |
6,142,132 | |||
Consumer Staples (5.3%) | |||
Procter & Gamble Co. | 5,744,066 | 821,344 | |
Coca-Cola Co. | 11,667,954 | 657,723 | |
PepsiCo Inc. | 2,658,773 | 429,658 | |
Sysco Corp. | 3,576,650 | 275,044 | |
Unilever plc ADR | 3,871,398 | 207,430 | |
Tyson Foods Inc. Class A | 2,404,064 | 192,253 |
Shares | Market Value• ($000) | ||
Unilever plc (XLON) | 3,390,000 | 181,507 | |
Nestle SA (Registered) | 1,212,973 | 160,000 | |
Mondelez International Inc. Class A | 2,026,888 | 123,113 | |
Walgreens Boots Alliance Inc. | 2,100,000 | 98,742 | |
Constellation Brands Inc. Class A | 168,642 | 36,563 | |
3,183,377 | |||
Energy (5.1%) | |||
ConocoPhillips | 7,751,334 | 577,397 | |
Marathon Oil Corp. | 26,018,487 | 424,622 | |
Halliburton Co. | 11,140,235 | 278,394 | |
APA Corp. | 10,164,477 | 266,411 | |
Hess Corp. | 2,939,167 | 242,687 | |
Coterra Energy Inc. | 10,471,000 | 223,242 | |
Royal Dutch Shell plc Class A ADR | 4,824,512 | 221,541 | |
Suncor Energy Inc. | 7,518,132 | 197,727 | |
Phillips 66 | 1,990,000 | 148,812 | |
* | NOV Inc. | 10,076,888 | 141,278 |
Marathon Petroleum Corp. | 1,680,189 | 110,775 | |
Schlumberger NV | 2,915,800 | 94,064 | |
Baker Hughes Co. Class A | 3,043,100 | 76,321 | |
Murphy Oil Corp. | 2,182,252 | 60,732 | |
3,064,003 | |||
Financials (17.5%) | |||
Bank of America Corp. | 21,825,307 | 1,042,813 | |
Wells Fargo & Co. | 19,845,708 | 1,015,306 | |
Citigroup Inc. | 13,406,558 | 927,198 | |
Intercontinental Exchange Inc. | 6,004,149 | 831,334 | |
PNC Financial Services Group Inc. | 3,659,095 | 772,179 | |
American Express Co. | 3,553,707 | 617,563 | |
American International Group Inc. | 10,323,356 | 610,007 | |
Marsh & McLennan Cos. Inc. | 2,343,356 | 390,872 | |
Capital One Financial Corp. | 2,453,000 | 370,477 | |
JPMorgan Chase & Co. | 2,053,101 | 348,801 | |
Ameriprise Financial Inc. | 1,057,000 | 319,351 | |
Commerce Bancshares Inc. | 4,348,061 | 306,582 | |
Cincinnati Financial Corp. | 2,192,000 | 266,197 |
Shares | Market Value• ($000) | ||
Bank of New York Mellon Corp. | 4,029,434 | 238,543 | |
Goldman Sachs Group Inc. | 543,949 | 224,841 | |
Cullen/Frost Bankers Inc. | 1,702,000 | 220,409 | |
Chubb Ltd. | 1,121,000 | 219,021 | |
* | Berkshire Hathaway Inc. Class B | 728,900 | 209,202 |
Travelers Cos. Inc. | 1,204,992 | 193,859 | |
BNP Paribas SA | 2,782,700 | 186,266 | |
Truist Financial Corp. | 2,831,319 | 179,704 | |
Hartford Financial Services Group Inc. | 2,324,200 | 169,504 | |
Citizens Financial Group Inc. | 3,383,851 | 160,327 | |
Credit Suisse Group AG ADR | 12,213,200 | 125,918 | |
East West Bancorp Inc. | 1,404,561 | 111,635 | |
1 | Mitsubishi UFJ Financial Group Inc. ADR | 19,937,000 | 109,853 |
CIT Group Inc. | 1,947,710 | 96,470 | |
Synchrony Financial | 1,589,451 | 73,830 | |
State Street Corp. | 665,188 | 65,554 | |
Natwest Group plc | 20,774,647 | 62,639 | |
Equitable Holdings Inc. | 1,842,040 | 61,708 | |
China Construction Bank Corp. Class H | 51,864,000 | 35,298 | |
Sumitomo Mitsui Financial Group Inc. | 963,900 | 31,278 | |
* | Banco de Sabadell SA | 36,345,074 | 29,250 |
10,623,789 | |||
Health Care (16.3%) | |||
Medtronic plc | 11,408,805 | 1,367,459 | |
Danaher Corp. | 3,128,904 | 975,498 | |
Johnson & Johnson | 5,723,877 | 932,305 | |
UnitedHealth Group Inc. | 1,883,543 | 867,315 | |
Anthem Inc. | 1,955,738 | 851,000 | |
HCA Healthcare Inc. | 2,229,500 | 558,401 | |
Thermo Fisher Scientific Inc. | 786,468 | 497,889 | |
Humana Inc. | 862,514 | 399,482 | |
Cigna Corp. | 1,502,773 | 321,007 | |
Roche Holding AG | 776,049 | 300,637 | |
Zoetis Inc. | 1,346,898 | 291,199 | |
* | Boston Scientific Corp. | 6,679,168 | 288,073 |
Alcon Inc. | 3,105,000 | 258,833 | |
* | IQVIA Holdings Inc. | 957,951 | 250,428 |
Amgen Inc. | 1,116,000 | 230,979 | |
* | Elanco Animal Health Inc. (XNYS) | 6,499,000 | 213,687 |
Pfizer Inc. | 4,650,531 | 203,414 | |
GlaxoSmithKline plc ADR | 4,176,194 | 176,778 | |
CVS Health Corp. | 1,853,800 | 165,507 | |
* | Centene Corp. | 2,232,688 | 159,057 |
* | Laboratory Corp. of America Holdings | 502,377 | 144,192 |
Novartis AG ADR | 1,570,316 | 129,959 | |
Sanofi ADR | 2,209,191 | 111,410 | |
Bristol-Myers Squibb Co. | 1,123,900 | 65,636 | |
Zimmer Biomet Holdings Inc. | 440,508 | 63,046 | |
AbbVie Inc. | 544,967 | 62,491 | |
9,885,682 |
Shares | Market Value• ($000) | ||
Industrials (8.4%) | |||
Honeywell International Inc. | 4,182,748 | 914,432 | |
General Electric Co. | 5,607,985 | 588,109 | |
FedEx Corp. | 1,859,877 | 438,057 | |
Norfolk Southern Corp. | 1,458,003 | 427,268 | |
Waste Management Inc. | 2,135,940 | 342,242 | |
Johnson Controls International plc | 4,410,000 | 323,562 | |
Xylem Inc. | 2,400,000 | 313,416 | |
Parker-Hannifin Corp. | 979,000 | 290,362 | |
CNH Industrial NV | 13,389,999 | 229,103 | |
Northrop Grumman Corp. | 620,719 | 221,733 | |
General Dynamics Corp. | 1,018,000 | 206,399 | |
Cummins Inc. | 714,472 | 171,359 | |
Caterpillar Inc. | 738,613 | 150,684 | |
Raytheon Technologies Corp. | 1,531,400 | 136,080 | |
PACCAR Inc. | 1,427,720 | 127,952 | |
* | Southwest Airlines Co. | 1,780,864 | 84,199 |
Stanley Black & Decker Inc. | 334,890 | 60,190 | |
* | Fluor Corp. | 1,993,085 | 38,746 |
Oshkosh Corp. | 48,252 | 5,163 | |
5,069,056 | |||
Information Technology (20.0%) | |||
Microsoft Corp. | 9,893,113 | 3,280,754 | |
* | Adobe Inc. | 1,118,707 | 727,562 |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 6,298,485 | 716,138 | |
Visa Inc. Class A | 2,773,770 | 587,401 | |
Apple Inc. | 3,764,348 | 563,899 | |
Cisco Systems Inc. | 9,969,485 | 557,992 | |
Samsung Electronics Co. Ltd. | 8,514,100 | 509,766 | |
Micron Technology Inc. | 6,402,023 | 442,380 | |
Analog Devices Inc. | 2,309,512 | 400,677 | |
* | salesforce.com Inc. | 1,321,256 | 395,967 |
* | ANSYS Inc. | 1,042,000 | 395,522 |
Texas Instruments Inc. | 1,999,851 | 374,932 | |
Microchip Technology Inc. | 4,184,000 | 309,993 | |
QUALCOMM Inc. | 2,191,000 | 291,491 | |
Accenture plc Class A | 769,234 | 275,994 | |
* | F5 Networks Inc. | 1,291,900 | 272,785 |
Amphenol Corp. Class A | 3,350,112 | 257,188 | |
* | PayPal Holdings Inc. | 1,068,000 | 248,406 |
Oracle Corp. | 2,453,125 | 235,353 | |
Corning Inc. | 4,483,651 | 159,484 | |
TE Connectivity Ltd. | 1,070,466 | 156,288 | |
Fidelity National Information Services Inc. | 1,391,422 | 154,086 | |
Hewlett Packard Enterprise Co. | 9,685,341 | 141,890 | |
* | Palo Alto Networks Inc. | 276,009 | 140,513 |
Telefonaktiebolaget LM Ericsson ADR | 11,420,180 | 124,137 | |
CDW Corp. | 631,698 | 117,907 | |
Applied Materials Inc. | 780,230 | 106,618 | |
Cognizant Technology Solutions Corp. Class A | 937,900 | 73,241 | |
* | Western Digital Corp. | 871,600 | 45,576 |
Shares | Market Value• ($000) | ||
Seagate Technology Holdings plc | 233,447 | 20,793 | |
12,084,733 | |||
Materials (2.2%) | |||
Martin Marietta Materials Inc. | 807,000 | 317,022 | |
Corteva Inc. | 6,961,000 | 300,367 | |
Ecolab Inc. | 1,293,000 | 287,331 | |
RPM International Inc. | 2,570,000 | 224,104 | |
Avery Dennison Corp. | 700,226 | 152,453 | |
International Paper Co. | 1,051,929 | 52,249 | |
1,333,526 | |||
Other (0.8%) | |||
SPDR S&P 500 ETF Trust | 1,073,673 | 493,084 | |
Real Estate (1.7%) | |||
Prologis Inc. | 3,145,211 | 455,930 | |
Crown Castle International Corp. | 1,627,000 | 293,348 | |
Sun Communities Inc. | 720,000 | 141,106 | |
Equity LifeStyle Properties Inc. | 1,600,000 | 135,216 | |
1,025,600 | |||
Utilities (0.6%) | |||
PPL Corp. | 11,229,703 | 323,415 | |
Southern Co. | 994,110 | 61,953 | |
385,368 | |||
Total Common Stocks (Cost $34,749,065) | 57,931,780 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (4.3%) | |||
Money Market Fund (4.3%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.070% (Cost $2,628,685) | 26,288,381 | 2,628,838 |
Total Investments (100.0%) (Cost $37,377,750) | 60,560,618 | ||
Other Assets and Liabilities—Net (0.0%) | 6,139 | ||
Net Assets (100%) | 60,566,757 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $8,433,000. |
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 | Collateral of $9,170,000 was received for securities on loan. |
ADR—American Depositary Receipt. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | December 2021 | 2,944 | 676,678 | 21,407 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $34,749,065) | 57,931,780 |
Affiliated Issuers (Cost $2,628,685) | 2,628,838 |
Total Investments in Securities | 60,560,618 |
Investment in Vanguard | 1,946 |
Cash Collateral Pledged—Futures Contracts | 33,863 |
Receivables for Investment Securities Sold | 85,423 |
Receivables for Accrued Income | 52,233 |
Receivables for Capital Shares Issued | 16,323 |
Variation Margin Receivable—Futures Contracts | 1,398 |
Total Assets | 60,751,804 |
Liabilities | |
Due to Custodian | 1,236 |
Payables for Investment Securities Purchased | 136,377 |
Collateral for Securities on Loan | 9,170 |
Payables to Investment Advisor | 17,405 |
Payables for Capital Shares Redeemed | 16,679 |
Payables to Vanguard | 4,180 |
Total Liabilities | 185,047 |
Net Assets | 60,566,757 |
At October 31, 2021, net assets consisted of: | |
Paid-in Capital | 33,351,990 |
Total Distributable Earnings (Loss) | 27,214,767 |
Net Assets | 60,566,757 |
Investor Shares—Net Assets | |
Applicable to 283,284,433 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 13,733,720 |
Net Asset Value Per Share—Investor Shares | $48.48 |
Admiral Shares—Net Assets | |
Applicable to 544,377,040 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 46,833,037 |
Net Asset Value Per Share—Admiral Shares | $86.03 |
Year Ended October 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 809,389 |
Interest2 | 1,541 |
Securities Lending—Net | 783 |
Total Income | 811,713 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 67,724 |
Performance Adjustment | (1,302) |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 28,902 |
Management and Administrative—Admiral Shares | 55,621 |
Marketing and Distribution—Investor Shares | 600 |
Marketing and Distribution—Admiral Shares | 858 |
Custodian Fees | 578 |
Auditing Fees | 47 |
Shareholders’ Reports—Investor Shares | 440 |
Shareholders’ Reports—Admiral Shares | 255 |
Trustees’ Fees and Expenses | 37 |
Total Expenses | 153,760 |
Net Investment Income | 657,953 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 3,792,940 |
Futures Contracts | 215,903 |
Foreign Currencies | (849) |
Realized Net Gain (Loss) | 4,007,994 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Unaffiliated Issuers2 | 15,707,807 |
Futures Contracts | 44,103 |
Foreign Currencies | (131) |
Change in Unrealized Appreciation (Depreciation) | 15,751,779 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,417,726 |
1 | Dividends are net of foreign withholding taxes of $15,972,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,541,000, $137,000, and ($136,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended October 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 657,953 | 722,332 |
Realized Net Gain (Loss) | 4,007,994 | 3,203,815 |
Change in Unrealized Appreciation (Depreciation) | 15,751,779 | (2,732,840) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,417,726 | 1,193,307 |
Distributions | ||
Investor Shares | (877,466) | (1,132,159) |
Admiral Shares | (2,558,212) | (3,219,357) |
Total Distributions | (3,435,678) | (4,351,516) |
Capital Share Transactions | ||
Investor Shares | (1,563,435) | (360,690) |
Admiral Shares | 3,159,805 | (633,591) |
Net Increase (Decrease) from Capital Share Transactions | 1,596,370 | (994,281) |
Total Increase (Decrease) | 18,578,418 | (4,152,490) |
Net Assets | ||
Beginning of Period | 41,988,339 | 46,140,829 |
End of Period | 60,566,757 | 41,988,339 |
Investor Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended October 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $34.85 | $37.22 | $37.39 | $38.81 | $35.03 |
Investment Operations | |||||
Net Investment Income1 | .502 | .551 | .775 | .783 | .750 |
Net Realized and Unrealized Gain (Loss) on Investments | 15.971 | .607 | 2.628 | .950 | 5.847 |
Total from Investment Operations | 16.473 | 1.158 | 3.403 | 1.733 | 6.597 |
Distributions | |||||
Dividends from Net Investment Income | (.516) | (.635) | (.844) | (.740) | (.851) |
Distributions from Realized Capital Gains | (2.327) | (2.893) | (2.729) | (2.413) | (1.966) |
Total Distributions | (2.843) | (3.528) | (3.573) | (3.153) | (2.817) |
Net Asset Value, End of Period | $48.48 | $34.85 | $37.22 | $37.39 | $38.81 |
Total Return2 | 49.42% | 2.93% | 10.82% | 4.44% | 19.60% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $13,734 | $10,997 | $12,119 | $12,061 | $13,638 |
Ratio of Total Expenses to Average Net Assets3 | 0.34% | 0.34% | 0.33% | 0.33% | 0.34% |
Ratio of Net Investment Income to Average Net Assets | 1.15% | 1.61% | 2.20% | 2.04% | 2.01% |
Portfolio Turnover Rate | 20% | 61% | 32% | 29% | 32% |
1 | Calculated based on average shares outstanding. |
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 (0.00%), (0.01%), (0.03%), (0.03%), and (0.02%). |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended October 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $61.84 | $66.06 | $66.35 | $68.88 | $62.18 |
Investment Operations | |||||
Net Investment Income1 | .950 | 1.027 | 1.426 | 1.443 | 1.377 |
Net Realized and Unrealized Gain (Loss) on Investments | 28.341 | 1.065 | 4.675 | 1.682 | 10.376 |
Total from Investment Operations | 29.291 | 2.092 | 6.101 | 3.125 | 11.753 |
Distributions | |||||
Dividends from Net Investment Income | (.972) | (1.178) | (1.547) | (1.371) | (1.565) |
Distributions from Realized Capital Gains | (4.129) | (5.134) | (4.844) | (4.284) | (3.488) |
Total Distributions | (5.101) | (6.312) | (6.391) | (5.655) | (5.053) |
Net Asset Value, End of Period | $86.03 | $61.84 | $66.06 | $66.35 | $68.88 |
Total Return2 | 49.55% | 3.00% | 10.93% | 4.52% | 19.68% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $46,833 | $30,992 | $34,022 | $34,126 | $35,514 |
Ratio of Total Expenses to Average Net Assets3 | 0.26% | 0.26% | 0.25% | 0.25% | 0.26% |
Ratio of Net Investment Income to Average Net Assets | 1.22% | 1.69% | 2.28% | 2.12% | 2.09% |
Portfolio Turnover Rate | 20% | 61% | 32% | 29% | 32% |
1 | Calculated based on average shares outstanding. |
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 (0.00%), (0.01%), (0.03%), (0.03%), and (0.02%). |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | The investment advisory firms Lazard Asset Management LLC, Hotchkis and Wiley Capital Management, LLC, Sanders Capital, LLC, and Aristotle 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 fee of Lazard Asset Management LLC is subject to quarterly adjustments based on performance relative to the S&P 500 Index for the preceding three years. The basic fee of Hotchkis and Wiley Capital Management, LLC, is subject to quarterly adjustments based on performance relative to the MSCI US Investable Market 2500 Index for the preceding five years. The basic fee of Sanders Capital, LLC, is subject to quarterly adjustments based on performance relative to the Russell 3000 Index for the preceding five years. The basic fee of Aristotle Capital Management, LLC, is subject to quarterly adjustments based on performance relative to the S&P 500 Index since January 31, 2020. |
C. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, distribution and cash management services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 56,016,168 | 1,915,612 | — | 57,931,780 |
Temporary Cash Investments | 2,628,838 | — | — | 2,628,838 |
Total | 58,645,006 | 1,915,612 | — | 60,560,618 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 21,407 | — | — | 21,407 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and distributions in connection with fund share redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 140,082 |
Total Distributable Earnings (Loss) | (140,082) |
Amount ($000) | |
Undistributed Ordinary Income | 883,718 |
Undistributed Long-Term Gains | 3,165,696 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 23,165,353 |
Year Ended October 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 781,945 | 810,275 |
Long-Term Capital Gains | 2,653,733 | 3,541,241 |
Total | 3,435,678 | 4,351,516 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 37,395,515 |
Gross Unrealized Appreciation | 24,077,404 |
Gross Unrealized Depreciation | (912,300) |
Net Unrealized Appreciation (Depreciation) | 23,165,104 |
F. | During the year ended October 31, 2021, the fund purchased $10,197,547,000 of investment securities and sold $12,556,602,000 of investment securities, other than temporary cash investments. |
G. | Capital share transactions for each class of shares were: |
Year Ended October 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 823,222 | 18,805 | 1,105,745 | 35,975 | |
Issued in Lieu of Cash Distributions | 856,941 | 22,227 | 1,106,299 | 30,946 | |
Redeemed | (3,243,598) | (73,302) | (2,572,734) | (76,946) | |
Net Increase (Decrease)—Investor Shares | (1,563,435) | (32,270) | (360,690) | (10,025) | |
Admiral Shares | |||||
Issued | 4,997,051 | 63,663 | 2,289,454 | 38,346 | |
Issued in Lieu of Cash Distributions | 2,400,086 | 35,053 | 3,023,063 | 47,668 | |
Redeemed | (4,237,332) | (55,504) | (5,946,108) | (99,892) | |
Net Increase (Decrease)—Admiral Shares | 3,159,805 | 43,212 | (633,591) | (13,878) |
H. | Management has determined that no events or transactions occurred subsequent to October 31, 2021, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
December 17, 2021
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
John T. Marcante | Lauren Valente |
Chris D. Mclsaac |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
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.
All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant.
Fiscal Year Ended October 31, 2021: $92,000
Fiscal Year Ended October 31, 2020: $80,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended October 31, 2021: $11,244,694
Fiscal Year Ended October 31, 2020: $10,761,407
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended October 31, 2021: $2,955,181
Fiscal Year Ended October 31, 2020: $2,915,863
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 October 31, 2021: $2,047,574
Fiscal Year Ended October 31, 2020: $247,168
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.
(d) All Other Fees.
Fiscal Year Ended October 31, 2021: $280,000
Fiscal Year Ended October 31, 2020: $115,000
Includes fees billed for services related to tax reported information 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.
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(g) Aggregate Non-Audit Fees.
Fiscal Year Ended October 31, 2021: $2,327,574
Fiscal Year Ended October 31, 2020: $362,168
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: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
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 the 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: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Code of Ethics filed herewith. | |
(a)(2) | Certifications filed herewith. | |
(b) | Certifications field herewith. |
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 WINDSOR FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: December 20, 2021
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 WINDSOR FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: December 20, 2021
VANGUARD WINDSOR FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: December 20, 2021
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on November 29, 2021 (see File Number 33-64845), a Power of Attorney filed on October 12, 2021 (see File Number 33-23444), and a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.