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: 811-2652
Name of Registrant: Vanguard Index 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: December 31
Date of reporting period: January 1, 2008– December 31, 2008
Item 1: Reports to Shareholders |
insert here
> For the year ended December 31, 2008, Vanguard 500 Index Fund returned about –37%, closely tracking the fund’s benchmark.
> U.S. equity markets plummeted in 2008 as the credit-market crisis intensified and fears about the global economy grew.
> The fund suffered double-digit declines across all sectors, most notably in financials and information technology.
Contents | |
| |
Your Fund’s Total Returns | 1 |
President’s Letter | 2 |
Fund Profile | 7 |
Performance Summary | 8 |
Financial Statements | 10 |
Your Fund’s After-Tax Returns | 27 |
About Your Fund’s Expenses | 28 |
Glossary | 30 |
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.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2008 | | |
| Ticker | Total |
| Symbol | Returns |
Vanguard 500 Index Fund | | |
Investor Shares | VFINX | –37.02% |
Admiral™ Shares1 | VFIAX | –36.97 |
Signal® Shares2 | VIFSX | –36.97 |
S&P 500 Index | | –37.00 |
Average Large-Cap Core Fund3 | | –37.23 |
Your Fund’s Performance at a Glance |
December 31, 2007–December 31, 2008 |
| | | Distributions Per Share |
| Starting | Ending | Income | Capital |
| Share Price | Share Price | Dividends | Gains |
Vanguard 500 Index Fund | | | | |
Investor Shares | $135.15 | $83.09 | $2.505 | $0.000 |
Admiral Shares | 135.15 | 83.09 | 2.594 | 0.000 |
Signal Shares | 111.64 | 68.64 | 2.140 | 0.000 |
1 A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
2 Signal Shares also carry lower costs and are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria.
3 Derived from data provided by Lipper Inc.
1
President’s Letter
Dear Shareholder,
During a punishing 2008, Vanguard 500 Index Fund returned about –37%, a disappointing result that reflected severe upheaval in global financial markets.
The fund fulfilled its objective of closely matching its unmanaged benchmark, the Standard & Poor’s 500 Index. Its return was slightly better than the average return of competing large-capitalization core funds.
If you own the fund in a taxable account, you may wish to review the report on the fund’s after-tax returns on page 27.
Global stock markets faced historic challenges
Problems that had festered in the financial markets for much of 2008 erupted in the year’s final months, leading to high-profile bankruptcies and government rescues. U.S. stocks lost about –23% for the fourth quarter. For the full 12 months, the broad U.S. stock market returned about –37%, the worst calendar-year performance since 1931. The financial sector, the epicenter of the crisis, was hardest hit, but no sector was safe from the market’s violent downdraft.
Overseas, the news was worse. Stock markets outside the United States returned about –45%, as credit-market turmoil and economic distress reverberated worldwide. Emerging markets fell especially hard, in part because of collapsing commodity prices, which put pressure on the group’s many natural-resource producers.
2
U.S. Treasuries provided a safe and liquid haven
Bonds provided shelter from the stock market turmoil, though strength was largely confined to U.S. Treasuries. Treasuries surged as investors bid up the highest-quality, most liquid securities. The Federal Reserve Board added fuel to the rally with repeated cuts in its target for the federal funds rate, a benchmark for short-term interest rates. At the start of 2008, the federal funds rate stood at 4.25%; by year-end, it was between 0.00% and 0.25%.
U.S. government-backed mortgage securities also performed well, though corporate and municipal bonds struggled. For the full year, the broad taxable bond market returned 5.24%.
Fund skidded to losses as credit crisis deepened
After five straight years of positive returns, the U.S. stock market finished 2008 in disarray. Vanguard 500 Index Fund moved lower during the year’s first half, then fell sharply in the second, as the financial crisis produced a number of high-profile bankruptcies and reorganizations.
Prices fell in all ten of the fund’s sectors, especially financials, which provided more than one-quarter of the index’s 12-month loss. Several major financial institutions required government assistance, went bankrupt, or were forced to merge. In this environment, the entire industry came under severe pressure.
Market Barometer | | | |
| | Average Annual Total Returns |
| | Periods Ended December 31, 2008 |
| One Year | Three Years | Five Years |
Stocks | | | |
Russell 1000 Index (Large-caps) | –37.60% | –8.66% | –2.04% |
Russell 2000 Index (Small-caps) | –33.79 | –8.29 | –0.93 |
Dow Jones Wilshire 5000 Index (Entire market) | –37.34 | –8.43 | –1.67 |
MSCI All Country World Index ex USA (International) | –45.24 | –6.57 | 3.00 |
| | | |
| | | |
Bonds | | | |
Barclays Capital U.S. Aggregate Bond Index (Broad taxable market) | 5.24% | 5.51% | 4.65% |
Barclays Capital Municipal Bond Index | –2.47 | 1.86 | 2.71 |
Citigroup 3-Month Treasury Bill Index | 1.80 | 3.76 | 3.10 |
| | | |
| | | |
CPI | | | |
Consumer Price Index | 0.09% | 2.22% | 2.67% |
3
The information technology sector was another source of major weakness. Because of belt-tightening, many companies delayed making infrastructure and technology improvements. Sales of home computers and electronic components suffered, as consumers felt the squeeze.
A year ago, energy stocks were leading the market higher, with seemingly no limit to oil’s surge. In recent months, this trend underwent a sharp reversal. Energy stocks, particularly oil companies, tumbled, chipping away at the fund’s return. Industrials struggled, too, laid low by slowing business expansion and budget tightening. Even consumer staples, often a beacon during recessions, suffered losses.
Low expenses, sophisticated management, kept fund in line with index
Vanguard 500 Index Fund’s Investor Shares have an average annual return of –1.46% for the decade ended December 31, 2008, a period that includes two of the worst bear markets on record. The result is no doubt discouraging. In our view, however, it does nothing to invalidate the long-term case for equities. We expect stocks to outperform less risky assets precisely because stocks can occasionally produce such dismal returns. Financial theory, affirmed by the historical evidence, dictates that investors need to be compensated for this risk.
Expense Ratios1 | | | | |
Your Fund Compared With Its Peer Group |
| | | | Average |
| Investor | Admiral | Signal | Large-Cap |
| Shares | Shares | Shares | Core Fund |
500 Index Fund | 0.15% | 0.07% | 0.07% | 1.29% |
1 The fund expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the 500 Index Fund’s expense ratios were 0.16% for Investor Shares, 0.08% for Admiral Shares, and 0.08% for Signal Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2007.
4
As low as it was, the fund’s 10-year return was almost one percentage point higher than the average result of competing funds (most of which are actively managed). Also, the fund nearly matched the return of its unmanaged benchmark, which has no costs or operating expenses. That’s a tribute to Vanguard’s prudent management and the skill of the Quantitative Equity Group, which brings more than 30 years of index-tracking expertise to its mandate. Like all Vanguard funds, the 500 Index Fund also benefits from its modest operating costs.
One rocky decade does not diminish fund outlook
It’s best to look at even longer time periods to properly assess your fund—and the financial market’s performance. Since its inception in 1976, the 500 Index Fund has produced an average annual return of 10.03% for its Investor Shares, a figure that is much more in line with the financial market’s results over the past 100 years.
To say the least, the investment environment was a difficult and challenging one in 2008, a year that brought extreme volatility to the financial markets and saw the world fall into a potentially deep recession.
Total Returns | |
Ten Years Ended December 31, 2008 | |
| Average |
| Annual Return |
500 Index Fund Investor Shares | –1.46% |
S&P 500 Index | –1.38 |
Average Large-Cap Core Fund1 | –2.38 |
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 www.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.
1 Derived from data provided by Lipper Inc.
5
What’s ahead for 2009? It’s tough to say. We can’t control the markets, the economy, or any number of other variables. What we can control, however, is how we respond to these variables. As always, we advise investors to develop or maintain a mix of stock, bond, and money market funds consistent with their goals and circumstances and with their willingness and ability to withstand the market’s occasional downturns. Such an approach puts you in a good position to reap the stock market’s expected long-term returns while keeping risk to a level that you can live with.
Vanguard 500 Index Fund can play an important role in such a portfolio, providing you with broadly diversified, low-cost exposure to large U.S. companies in a single portfolio.
Thank you for your confidence in Vanguard.
Sincerely,
F. William McNabb III
President and Chief Executive Officer
January 13, 2009
6
500 Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target |
| Fund | Index1 |
Number of Stocks | 510 | 500 |
Median Market Cap | $39.5B | $39.5B |
Price/Earnings Ratio | 11.3x | 11.3x |
Price/Book Ratio | 1.8x | 1.8x |
Yield2 | | 3.0% |
Investor Shares | 2.8% | |
Admiral Shares | 2.9% | |
Signal Shares | 2.9% | |
Return on Equity | 22.1% | 22.1% |
Earnings Growth Rate | 17.4% | 17.4% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate | 6% | — |
Expense Ratio (12/31/2007)3 | | — |
Investor Shares | 0.15% | |
Admiral Shares | 0.07% | |
Signal Shares | 0.07% | |
Short-Term Reserves | 0.3% | — |
| | |
| | |
Sector Diversification (% of equity exposure) |
| | Target |
| Fund | Index1 |
Consumer Discretionary | 8.4% | 8.4% |
Consumer Staples | 12.9 | 12.9 |
Energy | 13.3 | 13.3 |
Financials | 13.3 | 13.3 |
Health Care | 14.8 | 14.8 |
Industrials | 11.1 | 11.1 |
Information Technology | 15.2 | 15.3 |
Materials | 3.0 | 2.9 |
Telecommunication Services | 3.8 | 3.8 |
Utilities | 4.2 | 4.2 |
| | |
| | |
Volatility Measures4 | |
| Fund Versus |
| Target Index1 |
R-Squared | 1.00 |
Beta | 1.00 |
Ten Largest Holdings5 (% of total net assets) |
| | |
ExxonMobil Corp. | integrated oil | |
| and gas | 5.1% |
The Procter & Gamble Co. | household products | 2.3 |
General Electric Co. | industrial | |
| conglomerate | 2.1 |
AT&T Inc. | integrated | |
| telecommunications | 2.1 |
Johnson & Johnson | pharmaceuticals | 2.1 |
Chevron Corp. | integrated oil and gas | 1.9 |
Microsoft Corp. | systems software | 1.9 |
Wal-Mart Stores, Inc. | hypermarkets and | |
| super centers | 1.6 |
Pfizer Inc. | pharmaceuticals | 1.5 |
JPMorgan Chase & Co. | other diversified | |
| financial services | 1.5 |
Top Ten | | 22.1% |
Investment Focus
1 S&P 500 Index.
2 30-day SEC yield for the fund; annualized dividend yield for the index. See the Glossary.
3 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the expense ratios were 0.16% for Investor Shares, 0.08% for Admiral Shares, and 0.08% for Signal Shares.
4 For an explanation of R-squared, beta, and other terms used here, see the Glossary.
5 The holdings listed exclude any temporary cash investments and equity index products.
7
500 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 www.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: December 31, 1998–December 31, 2008
Initial Investment of $10,000
| Average Annual Total Returns | Final Value |
| Periods Ended December 31, 2008 | of a $10,000 |
| One Year | Five Years | Ten Years | Investment |
500 Index Fund Investor Shares1 | –37.02% | –2.29% | –1.46% | $8,630 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 9,388 |
S&P 500 Index | –37.00 | –2.19 | –1.38 | 8,700 |
Average Large-Cap Core Fund2 | –37.23 | –3.16 | –2.38 | 7,859 |
| | | | |
| | | | |
| | | | Final Value |
| | | Since | of a $100,000 |
| One Year | Five Years | Inception3 | Investment |
500 Index Fund Admiral Shares | –36.97% | –2.21% | –3.13% | $77,201 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –2.26 | 83,059 |
S&P 500 Index | –37.00 | –2.19 | –3.10 | 77,388 |
| | | Final Value |
| | Since | of a $1,000,000 |
| One Year | Inception3 | Investment |
500 Index Fund Signal Shares | –36.97% | –14.13% | $709,224 |
Dow Jones Wilshire 5000 Index | –37.34 | –14.04 | 711,059 |
S&P 500 Index | –37.00 | –14.14 | 709,153 |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Derived from data provided by Lipper Inc.
3 Performance for the fund and its comparative standards is calculated since the following inception dates: November 13, 2000, for Admiral Shares; September 29, 2006, for Signal Shares.
8
500 Index Fund
Fiscal Year Total Returns (%): December 31, 1998–December 31, 2008
Note: See Financial Highlights tables for dividend and capital gains information.
9
500 Index Fund
Financial Statements
Statement of Net Assets
December 31, 2008
The fund provides a complete list of its holdings 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 www.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 (99.4%)1 | | |
Consumer Discretionary (8.3%) | | |
| McDonald’s Corp. | 10,545,298 | 655,812 |
| Comcast Corp. Class A | 27,096,268 | 457,385 |
| The Walt Disney Co. | 17,513,496 | 397,381 |
| Home Depot, Inc. | 16,041,529 | 369,276 |
| Time Warner, Inc. | 33,942,688 | 341,463 |
| Lowe’s Cos., Inc. | 13,867,384 | 298,426 |
| Target Corp. | 7,122,348 | 245,935 |
| News Corp., Class A | 21,750,532 | 197,712 |
| NIKE, Inc. Class B | 3,711,868 | 189,305 |
* | Amazon.com, Inc. | 3,042,927 | 156,041 |
| Yum! Brands, Inc. | 4,376,260 | 137,852 |
| Staples, Inc. | 6,749,431 | 120,950 |
* | DIRECTV Group, Inc. | 5,164,211 | 118,312 |
* | Viacom Inc. Class B | 5,732,813 | 109,267 |
* | Kohl’s Corp. | 2,879,739 | 104,247 |
| Johnson Controls, Inc. | 5,614,455 | 101,958 |
| Carnival Corp. | 4,131,629 | 100,481 |
| Best Buy Co., Inc. | 3,193,931 | 89,781 |
| TJX Cos., Inc. | 3,938,877 | 81,023 |
| Omnicom Group Inc. | 2,951,852 | 79,464 |
* | Apollo Group, Inc. Class A | 1,004,238 | 76,945 |
| H & R Block, Inc. | 3,219,308 | 73,143 |
| The McGraw-Hill Cos., Inc. | 2,975,301 | 68,997 |
* | Starbucks Corp. | 6,985,739 | 66,085 |
* | Coach, Inc. | 3,105,079 | 64,492 |
* | Bed Bath & Beyond, Inc. | 2,462,356 | 62,593 |
| The Gap, Inc. | 4,411,208 | 59,066 |
| Fortune Brands, Inc. | 1,417,501 | 58,514 |
| Genuine Parts Co. | 1,508,288 | 57,104 |
| Sherwin-Williams Co. | 932,895 | 55,740 |
| Mattel, Inc. | 3,408,970 | 54,544 |
| Marriott International, Inc. | |
| Class A | 2,789,485 | 54,255 |
| CBS Corp. | 6,357,416 | 52,067 |
*^ | Ford Motor Co. | 22,689,183 | 51,958 |
* | AutoZone Inc. | 361,687 | 50,444 |
| VF Corp. | 836,423 | 45,811 |
| J.C. Penney Co., Inc. | | |
| (Holding Co.) | 2,099,921 | 41,368 |
| Macy’s Inc. | 3,976,487 | 41,157 |
| Harley-Davidson, Inc. | 2,202,449 | 37,376 |
| Darden Restaurants Inc. | 1,312,281 | 36,980 |
| Family Dollar Stores, Inc. | 1,320,869 | 34,435 |
| Hasbro, Inc. | 1,171,934 | 34,185 |
* | GameStop Corp. Class A | 1,544,659 | 33,457 |
| International Game | | |
| Technology | 2,798,966 | 33,280 |
| Starwood Hotels & Resorts | | |
| Worldwide, Inc. | 1,731,242 | 30,989 |
| Whirlpool Corp. | 703,915 | 29,107 |
| Tiffany & Co. | 1,172,483 | 27,706 |
| Limited Brands, Inc. | 2,569,917 | 25,802 |
| Newell Rubbermaid, Inc. | 2,620,048 | 25,624 |
| The Stanley Works | 742,993 | 25,336 |
*^ | Wynn Resorts Ltd. | 581,062 | 24,556 |
| Polo Ralph Lauren Corp. | 537,526 | 24,409 |
| Black & Decker Corp. | 567,037 | 23,708 |
| Leggett & Platt, Inc. | 1,477,374 | 22,441 |
| Washington Post Co. | | |
| Class B | 56,663 | 22,113 |
| Pulte Homes, Inc. | 2,020,180 | 22,081 |
| Snap-On Inc. | 543,039 | 21,385 |
*^ | Sears Holdings Corp. | 526,263 | 20,456 |
| Nordstrom, Inc. | 1,507,931 | 20,071 |
| Abercrombie & Fitch Co. | 822,946 | 18,985 |
| Scripps Networks | | |
| Interactive | 849,802 | 18,696 |
^ | General Motors Corp. | 5,772,355 | 18,472 |
| D. R. Horton, Inc. | 2,604,528 | 18,414 |
* | Interpublic Group of | | |
| Cos., Inc. | 4,505,368 | 17,841 |
| Gannett Co., Inc. | 2,156,938 | 17,256 |
| Eastman Kodak Co. | 2,538,459 | 16,703 |
* | Expedia, Inc. | 1,978,596 | 16,304 |
| RadioShack Corp. | 1,182,681 | 14,121 |
* | The Goodyear | | |
| Tire & Rubber Co. | 2,280,068 | 13,612 |
| Centex Corp. | 1,168,357 | 12,431 |
10
500 Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Lennar Corp. Class A | 1,340,967 | 11,626 |
* | Big Lots Inc. | 778,130 | 11,275 |
| Wyndham Worldwide Corp. | 1,677,571 | 10,988 |
*^ | AutoNation, Inc. | 1,022,505 | 10,102 |
^ | KB Home | 712,513 | 9,704 |
| Harman International | | |
| Industries, Inc. | 553,805 | 9,265 |
^ | New York Times Co. | | |
| Class A | 1,101,513 | 8,074 |
* | Office Depot, Inc. | 2,600,732 | 7,750 |
| Meredith Corp. | 342,622 | 5,866 |
| Jones Apparel Group, Inc. | 790,875 | 4,635 |
| Comcast Corp. Special | | |
| Class A | 150,777 | 2,435 |
*^ | Viacom Inc. Class A | 71,693 | 1,442 |
| CBS Corp. Class A | 71,693 | 591 |
| News Corp., Class B | 9,800 | 94 |
| | | 6,238,533 |
Consumer Staples (12.8%) | | |
| The Procter & Gamble Co. | 28,249,605 | 1,746,391 |
| Wal-Mart Stores, Inc. | 21,154,748 | 1,185,935 |
| The Coca-Cola Co. | 18,825,317 | 852,222 |
| Philip Morris | | |
| International Inc. | 19,141,118 | 832,830 |
| PepsiCo, Inc. | 14,694,921 | 804,841 |
| CVS Caremark Corp. | 13,588,798 | 390,542 |
| Kraft Foods Inc. | 13,900,161 | 373,219 |
| Colgate-Palmolive Co. | 4,775,252 | 327,296 |
| Altria Group, Inc. | 19,494,335 | 293,585 |
| Walgreen Co. | 9,365,590 | 231,049 |
| Costco Wholesale Corp. | 4,084,228 | 214,422 |
| Kimberly-Clark Corp. | 3,914,713 | 206,462 |
| General Mills, Inc. | 3,161,342 | 192,052 |
| Archer-Daniels-Midland Co. | 6,069,172 | 174,974 |
| The Kroger Co. | 6,173,221 | 163,035 |
| Sysco Corp. | 5,668,516 | 130,036 |
| H.J. Heinz Co. | 2,974,884 | 111,856 |
| Kellogg Co. | 2,383,416 | 104,513 |
| UST, Inc. | 1,403,937 | 97,405 |
| Avon Products, Inc. | 4,025,152 | 96,724 |
| Safeway, Inc. | 4,055,886 | 96,408 |
| Lorillard, Inc. | 1,596,269 | 89,950 |
| The Clorox Co. | 1,305,750 | 72,547 |
| ConAgra Foods, Inc. | 4,229,690 | 69,790 |
| Molson Coors | | |
| Brewing Co. Class B | 1,408,076 | 68,883 |
| Sara Lee Corp. | 6,679,329 | 65,391 |
| Reynolds American Inc. | 1,607,404 | 64,794 |
| Campbell Soup Co. | 1,954,018 | 58,640 |
| The Hershey Co. | 1,566,998 | 54,438 |
| J.M. Smucker Co. | 1,115,586 | 48,372 |
| Brown-Forman Corp. | | |
| Class B | 927,208 | 47,742 |
* | Dr. Pepper Snapple | | |
| Group, Inc. | 2,398,766 | 38,980 |
| McCormick & Co., Inc. | 1,219,271 | 38,846 |
| Coca-Cola Enterprises, Inc. | 2,998,249 | 36,069 |
| The Estee Lauder | | |
| Cos. Inc. Class A | 1,085,652 | 33,612 |
| SuperValu Inc. | 2,008,293 | 29,321 |
| The Pepsi Bottling | | |
| Group, Inc. | 1,291,348 | 29,068 |
* | Constellation Brands, Inc. | | |
| Class A | 1,832,878 | 28,904 |
* | Dean Foods Co. | 1,440,558 | 25,887 |
| Tyson Foods, Inc. | 2,837,060 | 24,853 |
^ | Whole Foods Market, Inc. | 1,326,516 | 12,522 |
| | | 9,564,406 |
Energy (13.2%) | | |
| ExxonMobil Corp. | 48,128,128 | 3,842,068 |
| Chevron Corp. | 19,224,064 | 1,422,004 |
| ConocoPhillips Co. | 14,105,482 | 730,664 |
| Schlumberger Ltd. | 11,317,540 | 479,071 |
| Occidental | | |
| Petroleum Corp. | 7,662,664 | 459,683 |
| Devon Energy Corp. | 4,179,977 | 274,666 |
| Apache Corp. | 3,166,397 | 235,992 |
| XTO Energy, Inc. | 5,457,391 | 192,482 |
| Marathon Oil Corp. | 6,675,595 | 182,644 |
| Anadarko Petroleum Corp. | 4,343,077 | 167,426 |
| EOG Resources, Inc. | 2,361,285 | 157,214 |
| Halliburton Co. | 8,456,011 | 153,730 |
| Hess Corp. | 2,683,871 | 143,963 |
| Valero Energy Corp. | 4,881,976 | 105,646 |
* | National Oilwell Varco Inc. | 3,946,613 | 96,455 |
* | Southwestern Energy Co. | 3,245,036 | 94,009 |
| Baker Hughes Inc. | 2,914,479 | 93,467 |
| Spectra Energy Corp. | 5,781,085 | 90,994 |
| Chesapeake Energy Corp. | 5,137,065 | 83,066 |
| Noble Energy, Inc. | 1,632,933 | 80,373 |
| Murphy Oil Corp. | 1,800,702 | 79,861 |
| Williams Cos., Inc. | 5,449,005 | 78,902 |
* | Weatherford | | |
| International Ltd. | 6,435,993 | 69,637 |
| Peabody Energy Corp. | 2,532,384 | 57,612 |
| Noble Corp. | 2,506,765 | 55,299 |
| El Paso Corp. | 6,630,331 | 51,915 |
| Range Resources Corp. | 1,466,544 | 50,434 |
| CONSOL Energy, Inc. | 1,714,118 | 48,989 |
| Sunoco, Inc. | 1,104,978 | 48,022 |
| Smith International, Inc. | 2,078,760 | 47,583 |
* | Cameron International Corp. | 2,058,291 | 42,195 |
| ENSCO International, Inc. | 1,341,544 | 38,086 |
| BJ Services Co. | 2,781,354 | 32,458 |
* | Nabors Industries, Inc. | 2,649,093 | 31,710 |
| Cabot Oil & Gas Corp. | 977,222 | 25,408 |
| Pioneer Natural | | |
| Resources Co. | 1,131,373 | 18,306 |
| Tesoro Corp. | 1,304,216 | 17,177 |
| Rowan Cos., Inc. | 1,068,530 | 16,990 |
| Massey Energy Co. | 802,221 | 11,063 |
| | | 9,907,264 |
11
500 Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
Financials (13.2%) | | |
| JPMorgan Chase & Co. | 35,314,107 | 1,113,454 |
| Wells Fargo & Co. | 35,856,858 | 1,057,060 |
| Bank of America Corp. | 47,424,338 | 667,735 |
| U.S. Bancorp | 16,600,884 | 415,188 |
| The Goldman Sachs | | |
| Group, Inc. | 4,183,795 | 353,070 |
| Citigroup Inc. | 51,560,750 | 345,973 |
| Bank of New York | | |
| Mellon Corp. | 10,857,576 | 307,595 |
| MetLife, Inc. | 7,508,432 | 261,744 |
| The Travelers Cos., Inc. | 5,530,360 | 249,972 |
| American Express Co. | 10,974,098 | 203,570 |
| AFLAC Inc. | 4,410,142 | 202,161 |
| Merrill Lynch & Co., Inc. | 15,207,775 | 177,018 |
| The Chubb Corp. | 3,365,390 | 171,635 |
| The Allstate Corp. | 5,070,784 | 166,119 |
| Morgan Stanley | 10,047,592 | 161,163 |
| State Street Corp. | 4,086,760 | 160,732 |
| PNC Financial | | |
| Services Group | 3,273,570 | 160,405 |
| BB&T Corp. | 5,227,159 | 143,538 |
| Charles Schwab Corp. | 8,852,919 | 143,152 |
| CME Group, Inc. | 634,406 | 132,026 |
| Prudential Financial, Inc. | 4,011,424 | 121,386 |
| Capital One Financial Corp. | 3,705,462 | 118,167 |
| Marsh & McLennan | | |
| Cos., Inc. | 4,863,732 | 118,043 |
| Aon Corp. | 2,552,421 | 116,595 |
| Simon Property Group, | | |
| Inc. REIT | 2,136,338 | 113,504 |
| Wachovia Corp. | 20,413,481 | 113,091 |
| Northern Trust Corp. | 2,110,106 | 110,021 |
| SunTrust Banks, Inc. | 3,344,346 | 98,792 |
| Loews Corp. | 3,423,872 | 96,724 |
| Progressive Corp. of Ohio | 6,387,787 | 94,603 |
| Public Storage, Inc. REIT | 1,184,074 | 94,134 |
| Franklin Resources Corp. | 1,430,970 | 91,267 |
| T. Rowe Price Group Inc. | 2,446,545 | 86,706 |
| Hudson City Bancorp, Inc. | 4,913,864 | 78,425 |
| Vornado Realty Trust REIT | 1,295,101 | 78,159 |
| Equity Residential REIT | 2,561,703 | 76,390 |
| NYSE Euronext | 2,515,214 | 68,867 |
| HCP, Inc. REIT | 2,379,441 | 66,077 |
| Boston Properties, | | |
| Inc. REIT | 1,147,426 | 63,108 |
| Unum Group | 3,144,916 | 58,495 |
| People’s United | | |
| Financial Inc. | 3,280,277 | 58,487 |
* | Intercontinental | | |
| Exchange Inc. | 686,127 | 56,564 |
| The Principal | | |
| Financial Group, Inc. | 2,450,539 | 55,309 |
| Plum Creek Timber | | |
| Co. Inc. REIT | 1,584,159 | 55,034 |
| Invesco, Ltd. | 3,657,071 | 52,808 |
| Regions Financial Corp. | 6,569,810 | 52,296 |
| Ameriprise Financial, Inc. | 2,051,182 | 47,916 |
| The Hartford Financial | | |
| Services Group Inc. | 2,848,906 | 46,779 |
| Lincoln National Corp. | 2,428,437 | 45,752 |
| Fifth Third Bancorp | 5,460,927 | 45,107 |
| Cincinnati Financial Corp. | 1,535,442 | 44,635 |
| Avalonbay Communities, | | |
| Inc. REIT | 728,510 | 44,133 |
| Discover Financial Services | 4,532,536 | 43,195 |
| M & T Bank Corp. | 729,447 | 41,878 |
| American International | | |
| Group, Inc. | 25,424,853 | 39,917 |
| KeyCorp | 4,677,348 | 39,851 |
* | SLM Corp. | 4,418,579 | 39,325 |
| Kimco Realty Corp. REIT | 2,147,162 | 39,250 |
| Host Hotels & Resorts | | |
| Inc. REIT | 4,911,909 | 37,183 |
| Moody’s Corp. | 1,837,372 | 36,913 |
| Torchmark Corp. | 807,609 | 36,100 |
| National City Corp. | 19,781,721 | 35,805 |
| ProLogis REIT | 2,481,881 | 34,473 |
| Assurant, Inc. | 1,121,369 | 33,641 |
| Marshall & Ilsley Corp. | 2,453,135 | 33,461 |
* | Leucadia National Corp. | 1,673,258 | 33,131 |
* | Nasdaq Stock Market Inc. | 1,285,511 | 31,765 |
| Legg Mason Inc. | 1,340,274 | 29,365 |
| Comerica, Inc. | 1,422,567 | 28,238 |
| Zions Bancorp | 1,084,330 | 26,577 |
| Huntington Bancshares Inc. | 3,462,150 | 26,520 |
| First Horizon National Corp. | 1,942,626 | 20,534 |
| CIT Group Inc. | 3,422,566 | 15,538 |
* | Sovereign Bancorp, Inc. | 5,139,041 | 15,314 |
| Federated Investors, Inc. | 830,844 | 14,091 |
| Janus Capital Group Inc. | 1,511,224 | 12,135 |
| XL Capital Ltd. Class A | 3,137,899 | 11,610 |
| Genworth Financial Inc. | 4,096,202 | 11,592 |
| Apartment Investment & | | |
| Management Co. | | |
| Class A REIT | 918,681 | 10,611 |
* | CB Richard Ellis Group, Inc. | 2,034,875 | 8,791 |
^ | MBIA, Inc. | 1,853,303 | 7,543 |
^ | American Capital Ltd. | 1,963,695 | 6,362 |
*^ | E*TRADE Financial Corp. | 5,086,001 | 5,849 |
| Developers Diversified | | |
| Realty Corp. REIT | 1,136,168 | 5,544 |
| | | 9,872,786 |
Health Care (14.7%) | | |
| Johnson & Johnson | 26,251,946 | 1,570,654 |
| Pfizer Inc. | 63,799,115 | 1,129,882 |
| Abbott Laboratories | 14,680,431 | 783,495 |
| Merck & Co., Inc. | 20,003,497 | 608,106 |
* | Amgen Inc. | 10,024,668 | 578,925 |
| Wyeth | 12,597,869 | 472,546 |
* | Gilead Sciences, Inc. | 8,703,711 | 445,108 |
| Bristol-Myers Squibb Co. | 18,730,086 | 435,474 |
12
500 Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Eli Lilly & Co. | 9,466,417 | 381,213 |
| Medtronic, Inc. | 10,579,992 | 332,423 |
| Baxter International, Inc. | 5,867,703 | 314,450 |
| UnitedHealth Group Inc. | 11,427,626 | 303,975 |
| Schering-Plough Corp. | 15,380,348 | 261,927 |
* | Celgene Corp. | 4,335,050 | 239,642 |
* | WellPoint Inc. | 4,816,150 | 202,904 |
* | Medco Health | | |
| Solutions, Inc. | 4,711,875 | 197,475 |
| Covidien Ltd. | 4,764,444 | 172,663 |
* | Genzyme Corp. | 2,559,434 | 169,870 |
| Becton, Dickinson & Co. | 2,303,085 | 157,508 |
* | Thermo Fisher | | |
| Scientific, Inc. | 3,975,696 | 135,452 |
* | Biogen Idec Inc. | 2,760,318 | 131,474 |
* | Express Scripts Inc. | 2,341,196 | 128,719 |
| Aetna Inc. | 4,362,453 | 124,330 |
| Allergan, Inc. | 2,907,716 | 117,239 |
| Cardinal Health, Inc. | 3,395,950 | 117,058 |
* | Boston Scientific Corp. | 14,189,619 | 109,828 |
* | St. Jude Medical, Inc. | 3,256,242 | 107,326 |
| McKesson Corp. | 2,608,813 | 101,039 |
| Stryker Corp. | 2,300,721 | 91,914 |
* | Zimmer Holdings, Inc. | 2,129,686 | 86,082 |
| C.R. Bard, Inc. | 939,214 | 79,138 |
| Quest Diagnostics, Inc. | 1,494,461 | 77,577 |
* | Forest Laboratories, Inc. | 2,851,215 | 72,620 |
* | Laboratory Corp. of | | |
| America Holdings | 1,025,698 | 66,065 |
* | Humana Inc. | 1,597,015 | 59,537 |
| AmerisourceBergen Corp. | 1,477,850 | 52,700 |
*^ | Cephalon, Inc. | 642,691 | 49,513 |
* | DaVita, Inc. | 987,200 | 48,936 |
* | Intuitive Surgical, Inc. | 367,133 | 46,622 |
| CIGNA Corp. | 2,598,908 | 43,792 |
* | Varian Medical | | |
| Systems, Inc. | 1,180,480 | 41,364 |
* | Hospira, Inc. | 1,507,611 | 40,434 |
| DENTSPLY | | |
| International Inc. | 1,405,656 | 39,696 |
* | Life Technologies Corp. | 1,631,163 | 38,022 |
* | Waters Corp. | 935,889 | 34,300 |
*^ | Mylan Inc. | 2,879,093 | 28,474 |
* | Millipore Corp. | 521,829 | 26,885 |
* | Watson | | |
| Pharmaceuticals, Inc. | 987,756 | 26,245 |
| IMS Health, Inc. | 1,719,628 | 26,070 |
* | King Pharmaceuticals, Inc. | 2,330,687 | 24,752 |
* | Coventry Health Care Inc. | 1,400,475 | 20,839 |
* | Patterson Companies, Inc. | 861,202 | 16,148 |
| PerkinElmer, Inc. | 1,129,966 | 15,718 |
| Teva Pharmaceutical | | |
| Industries Ltd. | | |
| Sponsored ADR | 110,433 | 4,701 |
* | Tenet Healthcare Corp. | 3,923,672 | 4,512 |
| | | 10,993,361 |
Industrials (11.0%) | | |
| General Electric Co. | 99,378,321 | 1,609,929 |
| United Parcel Service, Inc. | 9,415,959 | 519,384 |
| United Technologies Corp. | 8,994,218 | 482,090 |
| 3M Co. | 6,556,355 | 377,253 |
| The Boeing Co. | 6,933,623 | 295,858 |
| Emerson Electric Co. | 7,257,482 | 265,696 |
| Lockheed Martin Corp. | 3,150,043 | 264,856 |
| Caterpillar, Inc. | 5,707,426 | 254,951 |
| Union Pacific Corp. | 4,791,534 | 229,035 |
| Honeywell International Inc. | 6,871,635 | 225,596 |
| General Dynamics Corp. | 3,688,402 | 212,415 |
| Burlington Northern | | |
| Santa Fe Corp. | 2,655,828 | 201,073 |
| Raytheon Co. | 3,856,974 | 196,860 |
| FedEx Corp. | 2,944,715 | 188,903 |
| Norfolk Southern Corp. | 3,503,270 | 164,829 |
| Deere & Co. | 4,037,583 | 154,720 |
| Waste Management, Inc. | 4,637,645 | 153,692 |
| Northrop Grumman Corp. | 3,093,181 | 139,317 |
| Danaher Corp. | 2,419,004 | 136,940 |
| Illinois Tool Works, Inc. | 3,723,786 | 130,519 |
| CSX Corp. | 3,732,110 | 121,182 |
| PACCAR, Inc. | 3,435,627 | 98,259 |
| Tyco International, Ltd. | 4,489,709 | 96,978 |
| C.H. Robinson | | |
| Worldwide Inc. | 1,607,537 | 88,463 |
| L-3 Communications | | |
| Holdings, Inc. | 1,133,963 | 83,664 |
| ITT Industries, Inc. | 1,718,447 | 79,031 |
| Precision Castparts Corp. | 1,317,606 | 78,371 |
| Eaton Corp. | 1,560,078 | 77,551 |
| Fluor Corp. | 1,724,004 | 77,356 |
| Republic Services, | | |
| Inc. Class A | 3,033,933 | 75,211 |
| Expeditors International | | |
| of Washington, Inc. | 2,014,542 | 67,024 |
| Parker Hannifin Corp. | 1,530,572 | 65,111 |
| Southwest Airlines Co. | 7,025,859 | 60,563 |
| Rockwell Collins, Inc. | 1,507,276 | 58,919 |
| Dover Corp. | 1,759,291 | 57,916 |
* | Jacobs Engineering | | |
| Group Inc. | 1,157,437 | 55,673 |
| Ingersoll-Rand Co. | 3,011,878 | 52,256 |
| Cummins Inc. | 1,916,651 | 51,232 |
| Pitney Bowes, Inc. | 1,964,693 | 50,060 |
| W.W. Grainger, Inc. | 612,661 | 48,302 |
| Cooper Industries, Inc. | | |
| Class A | 1,645,175 | 48,088 |
| Rockwell Automation, Inc. | 1,343,882 | 43,327 |
| Goodrich Corp. | 1,164,521 | 43,111 |
^ | Fastenal Co. | 1,221,790 | 42,579 |
* | Stericycle, Inc. | 807,537 | 42,057 |
| The Dun & Bradstreet Corp. | 509,749 | 39,353 |
| Masco Corp. | 3,404,030 | 37,887 |
| Avery Dennison Corp. | 1,006,876 | 32,955 |
| Textron, Inc. | 2,289,858 | 31,760 |
13
500 Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Pall Corp. | 1,116,878 | 31,753 |
| Equifax, Inc. | 1,194,804 | 31,686 |
| Robert Half | | |
| International, Inc. | 1,474,228 | 30,693 |
| Cintas Corp. | 1,249,819 | 29,033 |
| Flowserve Corp. | 534,808 | 27,543 |
| R.R. Donnelley & Sons Co. | 1,939,022 | 26,332 |
| Ryder System, Inc. | 533,749 | 20,699 |
* | Monster Worldwide Inc. | 1,176,091 | 14,219 |
| The Manitowoc Co., Inc. | 1,231,816 | 10,668 |
* | Raytheon Co. | | |
| Warrants Exp. 6/16/11 | 60,569 | 963 |
| | | 8,231,744 |
Information Technology (15.2%) | |
| Microsoft Corp. | 72,383,376 | 1,407,133 |
| International Business | | |
| Machines Corp. | 12,711,238 | 1,069,778 |
* | Cisco Systems, Inc. | 55,398,485 | 902,995 |
| Hewlett-Packard Co. | 23,172,400 | 840,926 |
| Intel Corp. | 52,625,400 | 771,488 |
* | Apple Inc. | 8,410,706 | 717,854 |
* | Google Inc. | 2,263,331 | 696,314 |
* | Oracle Corp. | 37,064,646 | 657,156 |
| QUALCOMM Inc. | 15,663,312 | 561,216 |
* | EMC Corp. | 19,308,235 | 202,157 |
| Texas Instruments, Inc. | 12,265,809 | 190,365 |
| Automatic Data | | |
| Processing, Inc. | 4,811,600 | 189,288 |
* | Dell Inc. | 16,373,112 | 167,661 |
* | Yahoo! Inc. | 13,129,530 | 160,180 |
* | eBay Inc. | 10,148,384 | 141,671 |
| Corning, Inc. | 14,705,750 | 140,146 |
| Applied Materials, Inc. | 12,686,278 | 128,512 |
* | Symantec Corp. | 7,934,235 | 107,271 |
* | Adobe Systems, Inc. | 5,015,809 | 106,787 |
| MasterCard, Inc. Class A | 683,967 | 97,759 |
| Western Union Co. | 6,769,925 | 97,081 |
| Motorola, Inc. | 21,420,802 | 94,894 |
* | Juniper Networks, Inc. | 5,014,370 | 87,802 |
| Paychex, Inc. | 3,033,828 | 79,729 |
* | Intuit, Inc. | 3,035,291 | 72,210 |
* | Broadcom Corp. | 4,218,391 | 71,586 |
| Tyco Electronics Ltd. | 4,346,487 | 70,457 |
| CA, Inc. | 3,724,260 | 69,011 |
| Xerox Corp. | 8,189,054 | 65,267 |
* | Fiserv, Inc. | 1,521,060 | 55,321 |
| Analog Devices, Inc. | 2,746,323 | 52,235 |
* | Agilent Technologies, Inc. | 3,324,249 | 51,958 |
* | Computer Sciences Corp. | 1,430,997 | 50,285 |
* | Cognizant Technology | | |
| Solutions Corp. | 2,757,490 | 49,800 |
* | Electronic Arts Inc. | 3,014,661 | 48,355 |
| Harris Corp. | 1,268,927 | 48,283 |
* | BMC Software, Inc. | 1,773,807 | 47,733 |
* | McAfee Inc. | 1,378,654 | 47,660 |
| Altera Corp. | 2,813,115 | 47,007 |
| | | | |
| Linear Technology Corp. | 2,094,680 | 46,334 |
| Xilinx, Inc. | 2,591,071 | 46,173 |
* | NetApp, Inc. | 3,095,713 | 43,247 |
* | Affiliated Computer | | |
| Services, Inc. Class A | 919,701 | 42,260 |
* | Autodesk, Inc. | 2,127,127 | 41,798 |
* | NVIDIA Corp. | 5,100,940 | 41,165 |
* | Citrix Systems, Inc. | 1,724,463 | 40,646 |
| Amphenol Corp. | 1,671,761 | 40,089 |
| KLA-Tencor Corp. | 1,603,752 | 34,946 |
* | VeriSign, Inc. | 1,826,941 | 34,858 |
| Microchip Technology, Inc. | 1,720,588 | 33,603 |
* | FLIR Systems, Inc. | 1,063,359 | 32,624 |
* | salesforce.com, inc. | 983,910 | 31,495 |
* | MEMC Electronic | | |
| Materials, Inc. | 2,136,046 | 30,503 |
| Fidelity National | | |
| Information Services, Inc. | 1,793,840 | 29,186 |
* | Sun Microsystems, Inc. | 6,986,299 | 26,688 |
| Total System | | |
| Services, Inc. | 1,869,185 | 26,169 |
* | Teradata Corp. | 1,687,771 | 25,030 |
* | Akamai Technologies, Inc. | 1,599,120 | 24,131 |
* | SanDisk Corp. | 2,127,594 | 20,425 |
* | LSI Corp. | 6,085,900 | 20,023 |
* | Lexmark International, Inc. | 741,297 | 19,941 |
| Molex, Inc. | 1,344,889 | 19,487 |
* | Micron Technology, Inc. | 7,196,118 | 18,998 |
| National | | |
| Semiconductor Corp. | 1,843,507 | 18,564 |
* | QLogic Corp. | 1,209,857 | 16,260 |
* | Compuware Corp. | 2,331,077 | 15,735 |
* | Tellabs, Inc. | 3,759,313 | 15,488 |
| Jabil Circuit, Inc. | 1,985,928 | 13,405 |
* | Novell, Inc. | 3,275,176 | 12,740 |
*^ | Advanced Micro | | |
| Devices, Inc. | 5,741,463 | 12,402 |
* | Novellus Systems, Inc. | 940,643 | 11,608 |
* | JDS Uniphase Corp. | 2,027,467 | 7,400 |
* | Convergys Corp. | 1,151,957 | 7,384 |
* | Teradyne, Inc. | 1,598,564 | 6,746 |
* | Ciena Corp. | 856,776 | 5,740 |
| Molex, Inc. Class A | 4,051 | 52 |
| | | 11,376,674 |
Materials (3.0%) | | |
| Monsanto Co. | 5,184,219 | 364,710 |
| E.I. du Pont de | | |
| Nemours & Co. | 8,537,499 | 215,999 |
| Newmont Mining Corp. | | |
| (Holding Co.) | 4,298,175 | 174,936 |
| Praxair, Inc. | 2,917,799 | 173,201 |
| Nucor Corp. | 2,970,293 | 137,228 |
| Dow Chemical Co. | 8,746,153 | 131,979 |
14
500 Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Air Products & | | |
| Chemicals, Inc. | 1,982,637 | 99,667 |
| Freeport-McMoRan | | |
| Copper & Gold, Inc. | | |
| Class B | 3,586,911 | 87,664 |
| Alcoa Inc. | 7,601,325 | 85,591 |
| Rohm & Haas Co. | 1,186,562 | 73,318 |
^ | Vulcan Materials Co. | 1,038,504 | 72,259 |
| PPG Industries, Inc. | 1,551,901 | 65,847 |
| Weyerhaeuser Co. | 1,997,761 | 61,151 |
| Ecolab, Inc. | 1,592,308 | 55,970 |
| Sigma-Aldrich Corp. | 1,191,047 | 50,310 |
| International Paper Co. | 4,042,761 | 47,705 |
| United States Steel Corp. | 1,099,754 | 40,911 |
* | Owens-Illinois, Inc. | 1,379,034 | 37,689 |
| Ball Corp. | 894,763 | 37,213 |
* | Pactiv Corp. | 1,237,870 | 30,798 |
| CF Industries Holdings, Inc. | 534,144 | 26,259 |
| Allegheny Technologies Inc. | 914,497 | 23,347 |
| Sealed Air Corp. | 1,494,808 | 22,332 |
| Bemis Co., Inc. | 942,183 | 22,311 |
| International Flavors & | | |
| Fragrances, Inc. | 742,827 | 22,077 |
| Eastman Chemical Co. | 685,948 | 21,751 |
| MeadWestvaco Corp. | 1,615,095 | 18,073 |
| AK Steel Holding Corp. | 1,063,600 | 9,913 |
^ | Titanium Metals Corp. | 806,626 | 7,106 |
| | | 2,217,315 |
Telecommunication Services (3.8%) | |
| AT&T Inc. | 55,757,449 | 1,589,087 |
| Verizon | | |
| Communications Inc. | 26,875,508 | 911,080 |
* | American Tower Corp. | | |
| Class A | 3,753,038 | 110,039 |
^ | Qwest Communications | | |
| International Inc. | 13,858,760 | 50,446 |
* | Sprint Nextel Corp. | 26,988,406 | 49,389 |
| Embarq Corp. | 1,347,433 | 48,454 |
| Windstream Corp. | 4,156,761 | 38,242 |
| Frontier Communications | | |
| Corp. | 2,987,616 | 26,112 |
| CenturyTel, Inc. | 947,129 | 25,885 |
| | | 2,848,734 |
Utilities (4.2%) | | |
| Exelon Corp. | 6,224,832 | 346,163 |
| Southern Co. | 7,328,613 | 271,159 |
| Dominion Resources, Inc. | 5,500,209 | 197,127 |
| FPL Group, Inc. | 3,867,019 | 194,627 |
| Duke Energy Corp. | 11,971,254 | 179,689 |
| Entergy Corp. | 1,791,212 | 148,903 |
| FirstEnergy Corp. | 2,882,325 | 140,023 |
| Public Service Enterprise | | |
| Group, Inc. | 4,788,194 | 139,672 |
| PG&E Corp. | 3,415,274 | 132,205 |
| American Electric Power | | |
| Co., Inc. | 3,818,083 | 127,066 |
| | | | |
| PPL Corp. | 3,541,028 | 108,674 |
| Consolidated Edison Inc. | 2,583,169 | 100,563 |
| Progress Energy, Inc. | 2,489,019 | 99,187 |
| Edison International | 3,080,726 | 98,953 |
| Sempra Energy | 2,304,985 | 98,262 |
| Xcel Energy, Inc. | 4,265,069 | 79,117 |
| Ameren Corp. | 1,987,648 | 66,109 |
| DTE Energy Co. | 1,542,197 | 55,010 |
| Allegheny Energy, Inc. | 1,596,669 | 54,063 |
| Questar Corp. | 1,639,423 | 53,593 |
* | AES Corp. | 6,361,257 | 52,417 |
| Wisconsin Energy Corp. | 1,105,542 | 46,411 |
| Constellation Energy | | |
| Group, Inc. | 1,686,253 | 42,308 |
| Equitable Resources, Inc. | 1,240,653 | 41,624 |
| CenterPoint Energy Inc. | 3,232,146 | 40,790 |
| SCANA Corp. | 1,031,541 | 36,723 |
| Pepco Holdings, Inc. | 2,040,034 | 36,231 |
| Integrys Energy | | |
| Group, Inc. | 722,661 | 31,060 |
| Pinnacle West | | |
| Capital Corp. | 952,396 | 30,600 |
| NiSource, Inc. | 2,592,953 | 28,445 |
| TECO Energy, Inc. | 2,011,535 | 24,842 |
| CMS Energy Corp. | 2,130,194 | 21,515 |
| Nicor Inc. | 426,899 | 14,830 |
* | Dynegy, Inc. | 4,795,814 | 9,592 |
| | | 3,147,553 |
Total Common Stocks | | |
(Cost $69,583,754) | | 74,398,370 |
15
500 Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
Temporary Cash Investments (1.2%)1 | |
Money Market Fund (1.1%) | | |
2,3 | Vanguard Market | | |
| Liquidity Fund, | | |
| 1.378% | 849,835,676 | 849,836 |
| | | |
| | | |
| | Face | |
| | Amount | |
| | ($000) | |
U.S. Agency Obligations (0.1%) | |
4 | Federal Home Loan Bank | | |
5 | 2.574%, 2/27/09 | 20,000 | 19,997 |
4 | Federal Home Loan | | |
| Mortgage Corp. | | |
5 | 2.642%, 2/19/09 | 20,000 | 19,997 |
5 | 1.204%, 2/23/09 | 23,000 | 22,997 |
5 | 1.205%, 3/20/09 | 18,000 | 17,992 |
| | | 80,983 |
Total Temporary Cash Investments | |
(Cost $930,596) | | 930,819 |
Total Investments (100.6%) | | |
(Cost $70,514,350) | | 75,329,189 |
Other Assets and Liabilities (–0.6%) | |
Other Assets | | 701,327 |
Liabilities3 | | (1,144,486) |
| | | (443,159) |
Net Assets (100%) | | 74,886,030 |
At December 31, 2008, net assets consisted of: |
| Amount |
| ($000) |
Paid-in Capital | 77,988,310 |
Overdistributed Net Investment Income | (225,108) |
Accumulated Net Realized Losses | (7,706,387) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 4,814,839 |
Futures Contracts | 14,376 |
Net Assets | 74,886,030 |
| |
| |
Investor Shares—Net Assets | |
Applicable to 466,701,865 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 38,778,051 |
Net Asset Value Per Share— | |
Investor Shares | $83.09 |
| |
| |
Admiral Shares—Net Assets | |
Applicable to 276,918,445 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 23,009,423 |
Net Asset Value Per Share— | |
Admiral Shares | $83.09 |
| |
| |
Signal Shares—Net Assets | |
Applicable to 190,837,159 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 13,098,556 |
Net Asset Value Per Share— | |
Signal Shares | $68.64 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $212,896,000.
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 0.6%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $235,695,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
5 Securities with a value of $80,983,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
16
500 Index Fund
Statement of Operations
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 2,319,593 |
Interest1 | 10,736 |
Security Lending | 29,353 |
Total Income | 2,359,682 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,411 |
Management and Administrative—Investor Shares | 66,775 |
Management and Administrative—Admiral Shares | 16,017 |
Management and Administrative—Signal Shares | 9,933 |
Marketing and Distribution—Investor Shares | 13,333 |
Marketing and Distribution—Admiral Shares | 7,335 |
Marketing and Distribution—Signal Shares | 3,840 |
Custodian Fees | 272 |
Auditing Fees | 27 |
Shareholders’ Reports—Investor Shares | 1,214 |
Shareholders’ Reports—Admiral Shares | 49 |
Shareholders’ Reports—Signal Shares | 119 |
Trustees’ Fees and Expenses | 159 |
Total Expenses | 121,484 |
Net Investment Income | 2,238,198 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (1,916,742) |
Futures Contracts | (113,877) |
Realized Net Gain (Loss) | (2,030,619) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (44,977,422) |
Futures Contracts | 14,504 |
Change in Unrealized Appreciation (Depreciation) | (44,962,918) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (44,755,339) |
1 Interest income from an affiliated company of the fund was $9,727,000.
See accompanying Notes, which are an integral part of the Financial Statements.
17
500 Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 2,238,198 | 2,288,863 |
Realized Net Gain (Loss) | (2,030,619) | 1,378,958 |
Change in Unrealized Appreciation (Depreciation) | (44,962,918) | 2,871,929 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (44,755,339) | 6,539,750 |
Distributions | | |
Net Investment Income | | |
Investor Shares | (1,158,418) | (1,246,791) |
Admiral Shares | (714,034) | (874,969) |
Signal Shares | (420,262) | (181,450) |
Realized Capital Gain | | |
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Total Distributions | (2,292,714) | (2,303,210) |
Capital Share Transactions | | |
Investor Shares | (445,693) | (11,330,836) |
Admiral Shares | 292,556 | (11,692,119) |
Signal Shares | 214,326 | 21,467,078 |
Net Increase (Decrease) from Capital Share Transactions | 61,189 | (1,555,877) |
Total Increase (Decrease) | (46,986,864) | 2,680,663 |
Net Assets | | |
Beginning of Period | 121,872,894 | 119,192,231 |
End of Period1 | 74,886,030 | 121,872,894 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($225,108,000) and ($170,592,000). See accompanying Notes, which are an integral part of the Financial Statements.
18
500 Index Fund
Financial Highlights
Investor Shares | | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $135.15 | $130.59 | $114.92 | $111.64 | $102.67 |
Investment Operations | | | | | |
Net Investment Income | 2.443 | 2.470 | 2.110 | 1.950 | 1.950 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (51.998) | 4.580 | 15.700 | 3.310 | 8.970 |
Total from Investment Operations | (49.555) | 7.050 | 17.810 | 5.260 | 10.920 |
Distributions | | | | | |
Dividends from Net Investment Income | (2.505) | (2.490) | (2.140) | (1.980) | (1.950) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.505) | (2.490) | (2.140) | (1.980) | (1.950) |
Net Asset Value, End of Period | $83.09 | $135.15 | $130.59 | $114.92 | $111.64 |
| | | | | |
| | | | | |
Total Return1 | –37.02% | 5.39% | 15.64% | 4.77% | 10.74% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $38,778 | $63,327 | $72,013 | $69,375 | $84,167 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.16% | 0.15% | 0.18% | 0.18% | 0.18% |
Ratio of Net Investment | | | | | |
Income to Average Net Assets | 2.16% | 1.81% | 1.74% | 1.75% | 1.86% |
Portfolio Turnover Rate2 | 6% | 5% | 5% | 6% | 3% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. See accompanying Notes, which are an integral part of the Financial Statements.
19
500 Index Fund
Financial Highlights
Admiral Shares | | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $135.15 | $130.59 | $114.92 | $111.64 | $102.68 |
Investment Operations | | | | | |
Net Investment Income | 2.534 | 2.583 | 2.222 | 2.052 | 2.030 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (52.000) | 4.576 | 15.700 | 3.310 | 8.970 |
Total from Investment Operations | (49.466) | 7.159 | 17.922 | 5.362 | 11.000 |
Distributions | | | | | |
Dividends from Net Investment Income | (2.594) | (2.599) | (2.252) | (2.082) | (2.040) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.594) | (2.599) | (2.252) | (2.082) | (2.040) |
Net Asset Value, End of Period | $83.09 | $135.15 | $130.59 | $114.92 | $111.64 |
| | | | | |
| | | | | |
Total Return | –36.97% | 5.47% | 15.75% | 4.87% | 10.82% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $23,009 | $37,113 | $46,467 | $38,028 | $22,412 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.08% | 0.07% | 0.09% | 0.09% | 0.09% |
Ratio of Net Investment | | | | | |
Income to Average Net Assets | 2.24% | 1.89% | 1.83% | 1.84% | 1.96% |
Portfolio Turnover Rate1 | 6% | 5% | 5% | 6% | 3% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. See accompanying Notes, which are an integral part of the Financial Statements.
20
500 Index Fund
Financial Highlights
Signal Shares | | | |
| | | |
| | | Sept. 29,, |
| | 2006,1 to |
| Year Ended Dec. 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $111.64 | $107.86 | $101.61 |
Investment Operations | | | |
Net Investment Income | 2.092 | 2.119 | .502 |
Net Realized and Unrealized Gain (Loss) on Investments | (42.952) | 3.794 | 6.287 |
Total from Investment Operations | (40.860) | 5.913 | 6.789 |
Distributions | | | |
Dividends from Net Investment Income | (2.140) | (2.133) | (.539) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (2.140) | (2.133) | (.539) |
Net Asset Value, End of Period | $68.64 | $111.64 | $107.86 |
| | | |
| | | |
Total Return | –36.97% | 5.47% | 6.68% |
| | | |
| | | |
Ratios/Supplemental Data | | | |
Net Assets, End of Period (Millions) | $13,099 | $21,433 | $713 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.07% | 0.09%3 |
Ratio of Net Investment Income to Average Net Assets | 2.24% | 1.89% | 1.83%3 |
Portfolio Turnover Rate2 | 6% | 5% | 5% |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
3 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
21
500 Index Fund
Notes to Financial Statements
Vanguard 500 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: Investor Shares, Admiral Shares, and Signal Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2005–2008), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market
22
500 Index Fund
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $19,939,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 7.97% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $26,245,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchange 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 December 31, 2008, the fund had $15,951,000 of ordinary income available for distribution. The fund had available realized losses of $7,386,974,000 to offset future net capital gains of $430,361,000 through December 31, 2009, $3,087,963,000 through December 31, 2010, $145,498,000 through December 31, 2011, $44,874,000 through December 31, 2012, $757,853,000 through December 31, 2013, $1,156,455,000 through December 31, 2014, and $1,763,970,000 through December 31, 2016.
At December 31, 2008, the cost of investment securities for tax purposes was $70,815,775,000. Net unrealized appreciation of investment securities for tax purposes was $4,513,414,000, consisting of unrealized gains of $22,864,298,000 on securities that had risen in value since their purchase and $18,350,884,000 in unrealized losses on securities that had fallen in value since their purchase.
23
500 Index Fund
At December 31, 2008, the aggregate settlement value of open futures contracts expiring in March 2009 and the related unrealized appreciation (depreciation) were:
| | | ($000) |
| Number of | Aggregate | Unrealized |
| Long (Short) | Settlement | Appreciation |
Futures Contracts | Contracts | Value | (Depreciation) |
S&P 500 Index | 1,908 | 429,348 | 13,259 |
E-mini S&P 500 Index | 1,194 | 53,736 | 1,117 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the year ended December 31, 2008, the fund purchased $5,870,798,000 of investment securities and sold $6,352,184,000 of investment securities, other than temporary cash investments.
E. Capital share transactions for each class of shares were:
| Year Ended December 31, |
| | 2008 | | | 2007 |
| Amount | Shares | | Amount | Shares |
| ($000) | (000) | | ($000) | (000) |
Investor Shares | | | | | |
Issued | 8,623,602 | 79,879 | | 8,861,924 | 65,448 |
Issued in Lieu of Cash Distributions | 1,121,903 | 10,825 | | 1,205,688 | 8,811 |
Redeemed | (10,191,198) | (92,585) | | (21,398,448) | (157,123) |
Net Increase (Decrease)—Investor Shares | (445,693) | (1,881) | | (11,330,836) | (82,864) |
Admiral Shares | | | | | |
Issued | 4,245,265 | 40,714 | | 7,899,760 | 58,273 |
Issued in Lieu of Cash Distributions | 627,499 | 6,044 | | 772,424 | 5,640 |
Redeemed | (4,580,208) | (44,442) | | (20,364,303) | (145,129) |
Net Increase (Decrease)—Admiral Shares | 292,556 | 2,316 | | (11,692,119) | (81,216) |
Signal Shares | | | | | |
Issued | 5,268,980 | 58,305 | | 22,704,623 | 196,291 |
Issued in Lieu of Cash Distributions | 386,239 | 4,497 | | 169,722 | 1,495 |
Redeemed | (5,440,893) | (63,953) | | (1,407,267) | (12,407) |
Net Increase (Decrease)—Signal Shares | 214,326 | (1,151) | | 21,467,078 | 185,379 |
24
500 Index Fund
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 fund’s investments as of December 31, 2008, based on the inputs used to value them:
| Investments | Futures |
| in Securities | Contracts |
Valuation Inputs | ($000) | ($000) |
Level 1—Quoted prices | 75,248,206 | 14,376 |
Level 2—Other significant observable inputs | 80,983 | — |
Level 3—Significant unobservable inputs | — | — |
Total | 75,329,189 | 14,376 |
25
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard 500 Index 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 500 Index Fund (constituting a separate portfolio of Vanguard Index Funds, hereafter referred to as the “Fund”) at December 31, 2008, 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 December 31, 2008 by correspondence with the custodian and broker, and by agreement the underlying ownership records for Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2009
Special 2008 tax information (unaudited) for Vanguard 500 Index Fund
This information for the fiscal year ended December 31, 2008, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $2,292,713,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 98.2% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
26
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. (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 Investor 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: 500 Index Fund Investor Shares1 |
Periods Ended December 31, 2008 | | | |
| One | Five | Ten |
| Year | Years | Years |
Returns Before Taxes | –37.02% | –2.29% | –1.46% |
Returns After Taxes on Distributions | –37.25 | –2.57 | –1.83 |
Returns After Taxes on Distributions and Sale of Fund Shares | –23.66 | –1.84 | –1.29 |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
27
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.
Six Months Ended December 31, 2008 | | | |
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
500 Index Fund | 6/30/2008 | 12/31/2008 | Period1 |
Based on Actual Fund Return | | | |
Investor Shares | $1,000.00 | $715.38 | $0.74 |
Admiral Shares | 1,000.00 | 715.66 | 0.39 |
Signal Shares | 1,000.00 | 715.70 | 0.39 |
Based on Hypothetical 5% Yearly Return | | | |
Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
Signal Shares | 1,000.00 | 1,024.75 | 0.46 |
1 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 0.17% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for Signal 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.
28
Note that the expenses shown in the table on the previous page 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 the account service fee described in the prospectus. If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it 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.
29
Glossary
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.
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. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Foreign Holdings. The percentage of a fund represented by stocks 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.
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.
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.
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.
30
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 (in the case of bonds) 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.
31
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 155 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 www.vanguard.com.
Chairman of the Board and Interested Trustee
John J. Brennan1
Born 1954. Trustee Since May 1987. Chairman of the Board. Principal Occupation(s) During the Past Five Years: Chairman of the Board and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group; Chief Executive Officer and President of The Vanguard Group and of each of the investment companies served by The Vanguard Group (1996–2008).
Independent Trustees
Charles D. Ellis
Born 1937. Trustee Since January 2001. Principal Occupation(s) During the Past Five Years: Applecore Partners (pro bono ventures in education); Senior Advisor to Greenwich Associates (international business strategy consulting); Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research.
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years: Retired Executive Chief Staff and Marketing Officer for North America and Corporate Vice President of Xerox Corporation (photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), of the United Way of Rochester, and of the Boy Scouts of America.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years: Chairman, President, and Chief Executive Officer of Rohm and Haas Co. (chemicals); Board Member of the American Chemistry Council; Director of Tyco International, Ltd. (diversified manufacturing and services), since 2005.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal
Occupation(s) During the Past Five Years: President of the University of Pennsylvania since 2004; Professor in the School of Arts and Sciences, Annenberg School for Communication, and Graduate School of Education of the University of Pennsylvania since 2004; Provost (2001–2004) and Laurance S. Rockefeller Professor of Politics and the University Center for Human Values (1990–2004), Princeton University; Director of Carnegie Corporation of New York since 2005 and of Schuylkill River Development Corporation and Greater Philadelphia Chamber of Commerce since 2004; Trustee of the National Constitution Center since 2007.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years: Retired Corporate Vice President, Chief Global Diversity Officer, and Member of the Executive Committee of Johnson & Johnson (pharmaceuticals/consumer products); Vice President and Chief Information Officer (1997–2005) of Johnson & Johnson; Director of the University Medical Center at Princeton and Women’s Research and Education Institute.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance and Banking, Senior Associate Dean, and Director of Faculty Recruiting, Harvard Business School; Director and Chairman of UNX, Inc. (equities trading firm); Chair of the Investment Committee of HighVista Strategies LLC (private investment firm) since 2005.
Alfred M. Rankin, Jr.
Born 1941. Trustee Since January 1993. Principal Occupation(s) During the Past Five Years: Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/ lignite); Director of Goodrich Corporation (industrial products/aircraft systems and services).
J. Lawrence Wilson
Born 1936. Trustee Since April 1985. Principal Occupation(s) During the Past Five Years: Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines) and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University and of Culver Educational Foundation.
Executive Officers
Thomas J. Higgins1
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group since 2008; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Kathryn J. Hyatt1
Born 1955. Treasurer Since November 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group since 2008; Assistant Treasurer of each of the investment companies served by The Vanguard Group
F. William McNabb III1
Born 1957. Chief Executive Officer Since August 2008. President Since March 2008. Principal Occupation(s) During the Past Five Years: Chief Executive Officer, Director, and President of The Vanguard Group, Inc., since 2008; Chief Executive Officer and President of each of the investment companies served by The Vanguard Group since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
Heidi Stam1
Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years: Managing Director of The Vanguard Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2005; Director and Senior Vice President of Vanguard Marketing Corporation since 2005; Principal of The Vanguard Group (1997–2006).
Vanguard Senior Management Team |
| |
| |
R. Gregory Barton | James M. Norris |
Mortimer J. Buckley | Ralph K. Packard |
Kathleen C. Gubanich | Glenn W. Reed |
Paul A. Heller | George U. Sauter |
Michael S. Miller | |
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
1 These individuals are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
13
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Fund Information > 800-662-7447 | All comparative mutual fund data are from Lipper Inc. |
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| |
| Q400 022009 |
> For 2008, the three Vanguard small-capitalization index funds generated returns ranging from about –40% to –32%. All three funds closely tracked their target indexes.
> Although returns were uniformly poor, small-cap stocks held up modestly better than their large- and mid-cap counterparts. In both the broad market and the small-cap arena, value stocks outpaced growth stocks.
> Information technology stocks weighed heavily on performance.
Contents | |
| |
Your Fund’s Total Returns | 1 |
President’s Letter | 2 |
Small-Cap Index Fund | 10 |
Small-Cap Growth Index Fund | 29 |
Small-Cap Value Index Fund | 45 |
Your Fund’s After-Tax Returns | 61 |
About Your Fund’s Expenses | 62 |
Glossary | 64 |
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.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2008 | | |
| Ticker | Total |
| Symbol | Returns |
Vanguard Small-Cap Index Fund | | |
Investor Shares | NAESX | –36.07% |
Admiral™ Shares1 | VSMAX | –36.00 |
Signal® Shares2 | VSISX | –36.00 |
Institutional Shares3 | VSCIX | –35.98 |
ETF Shares4 | VB | |
Market Price | | –36.27 |
Net Asset Value | | –35.99 |
MSCI US Small Cap 1750 Index | | –36.20 |
Average Small-Cap Core Fund5 | | –36.21 |
| | |
| | |
Vanguard Small-Cap Growth Index Fund | | |
Investor Shares | VISGX | –40.00% |
Institutional Shares3 | VSGIX | –39.91 |
ETF Shares4 | VBK | |
Market Price | | –40.12 |
Net Asset Value | | –39.92 |
MSCI US Small Cap Growth Index | | –40.11 |
Average Small-Cap Growth Fund5 | | –42.10 |
| | |
| | |
Vanguard Small-Cap Value Index Fund | | |
Investor Shares | VISVX | –32.05% |
Institutional Shares3 | VSIIX | –32.02 |
ETF Shares4 | VBR | |
Market Price | | –32.34 |
Net Asset Value | | –31.99 |
MSCI US Small Cap Value Index | | –32.11 |
Average Small-Cap Value Fund5 | | –33.45 |
1 A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
2 Signal Shares also carry lower costs and are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria.
3 This class of shares carries low expenses and is available for a minimum initial investment of $5 million.
4 Vanguard ETF® Shares are traded on the NYSE Arca exchange and are available only through brokers. The table shows ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
5 Derived from data provided by Lipper Inc.
1
President’s Letter
Dear Shareholder,
For the fiscal year ended December 31, 2008, the three Vanguard small-cap index funds successfully tracked their indexes. Nonetheless, it was a disappointing and notably poor year for both small-capitalization stocks and the broad market. The Investor Shares of Vanguard Small-Cap Index Fund declined –36.07%.
Across the stock market, value stocks fared better than growth stocks, and the gap between them was wider among small-cap issues. The Investor Shares of Vanguard Small-Cap Value Index Fund and Small-Cap Growth Index Fund returned –32.05% and –40.00%, respectively.
If you own shares in a taxable account, you may want to review information about the funds’ after-tax returns later in this report.
Global stock markets faced historic challenges
Problems that had festered in the financial markets for much of 2008 erupted in the year’s final months, leading to high-profile bankruptcies and government rescues. U.S. stocks returned about –23% for the fourth quarter. For the full 12 months, the U.S. stock market returned about –37%, the worst calendar-year performance since 1931. The financial sector, the epicenter of the crisis, was hardest hit, but no sector was safe from the market’s violent downdraft.
2
Overseas, the news was worse. Stock markets outside the United States returned about –45%, as credit-market turmoil and economic distress reverberated worldwide. Emerging markets fell especially hard, in part because of commodity prices, which put pressure on the group’s many natural-resource producers.
U.S. Treasuries provided a safe and liquid haven
Bonds provided shelter from the stock market turmoil, though strength was largely confined to U.S. Treasuries. Treasuries surged as investors bid up the highest-quality, most liquid securities. The Federal Reserve Board added fuel to the rally with repeated cuts in its target for the federal funds rate, a benchmark for short-term interest rates. At the start of 2008, the federal funds rate stood at 4.25%; by year-end, it was between 0.00% and 0.25%.
U.S. government-backed mortgage securities also performed well, though corporate and municipal bonds struggled. For the full year, the broad taxable bond market returned 5.24%.
Information technology stocks impeded the funds’ performance
Although small-cap value stocks held up a bit better than small-cap growth stocks for the year, the difference between them was almost eclipsed by the large declines in every segment of the market. All ten sectors represented in the three funds produced negative returns as the financial
Market Barometer | | | |
| Average Annual Total Returns |
| Periods Ended December 31, 2008 |
| One Year | Three Years | Five Years |
Stocks | | | |
Russell 1000 Index (Large-caps) | –37.60% | –8.66% | –2.04% |
Russell 2000 Index (Small-caps) | –33.79 | –8.29 | –0.93 |
Dow Jones Wilshire 5000 Index (Entire market) | –37.34 | –8.43 | –1.67 |
MSCI All Country World Index ex USA (International) | –45.24 | –6.57 | 3.00 |
| | | |
| | | |
Bonds | | | |
Barclays Capital Aggregate Bond Index (Broad taxable market) | 5.24% | 5.51% | 4.65% |
Barclays Capital Municipal Bond Index | –2.47 | 1.86 | 2.71 |
Citigroup 3-Month Treasury Bill Index | 1.80 | 3.76 | 3.10 |
| | | |
| | | |
CPI | | | |
Consumer Price Index | 0.09% | 2.22% | 2.67% |
3
crisis deepened and spread throughout the global economy. The funds’ performance varied according to their degrees of exposure to the different industry sectors.
Information technology stocks, which make up nearly one-quarter of the target index of the Small-Cap Growth Index Fund, trimmed more than ten percentage points from overall performance for both the index and the fund. The results were also grim for the Small-Cap Index Fund and the
Small-Cap Value Index Fund. Tech stocks suffered as companies put off infrastructure and technology improvements in the face of budget restrictions, and cost-conscious consumers didn’t buy as many home computers and electronic components.
Consumer discretionary stocks were another source of weakness for all three small-cap funds. As the recession deepened and consumer confidence waned, Americans delayed major
Expense Ratios1 | |
Your Fund Compared With Its Peer Group | |
| Expense |
| Ratio |
Small-Cap Index Fund | |
Investor Shares | 0.22% |
Admiral Shares | 0.11 |
Signal Shares | 0.11 |
Institutional Shares | 0.07 |
ETF Shares | 0.10 |
Average Small-Cap Core Fund | 1.47 |
| |
| |
Small-Cap Growth Index Fund | |
Investor Shares | 0.22% |
Institutional Shares | 0.07 |
ETF Shares | 0.11 |
Average Small-Cap Growth Fund | 1.61 |
| |
| |
Small-Cap Value Index Fund | |
Investor Shares | 0.22% |
Institutional Shares | 0.07 |
ETF Shares | 0.11 |
Average Small-Cap Value Fund | 1.52 |
1 The fund expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the Small-Cap Index Fund’s expense ratios were 0.23% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares. The Small-Cap Growth Index Fund’s expense ratios were 0.23% for Investor Shares, 0.07% for Institutional Shares, and 0.11% for ETF Shares. The Small-Cap Value Index Fund’s expense ratios were 0.23% for Investor Shares, 0.07% for Institutional Shares, and 0.11% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2007.
4
purchases, such as cars and home appliances, and cut back on traveling, amusement, and eating at restaurants. The weak business environment led to reduced advertising dollars, which in turn also negatively affected media and broadcast companies.
The financial sector, the worst-performing group in the broad market, also weighed down the small-cap indexes, particularly affecting the Small-Cap Value Index Fund.
During the year, as a succession of major financial institutions required government assistance, went bankrupt, or were forced to merge, the entire industry came under severe pressure.
Slowing business expansion and budget tightening also affected the industrial, energy, and health care sectors, which all suffered sharp declines. Even the usually less-volatile utilities and consumer staples sectors, which can sometimes provide a
Total Returns | |
Ten Years Ended December 31, 2008 | |
| Average |
| Annual Return |
Small-Cap Index Fund Investor Shares | 3.31% |
Spliced Small Cap Index1 | 3.00 |
Average Small-Cap Core Fund2 | 4.59 |
Small-Cap Growth Index Fund Investor Shares | 3.08 |
Spliced Small Cap Growth Index3 | 2.86 |
Average Small-Cap Growth Fund2 | 1.28 |
Small-Cap Value Index Fund Investor Shares | 5.22 |
Spliced Small Cap Value Index4 | 4.94 |
Average Small-Cap Value Fund2 | 5.79 |
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 www.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.
1 Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index thereafter.
2 Derived from data provided by Lipper Inc.
3 Standard & Poor’s SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter.
4 S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter.
5
cushion during a recession, experienced losses and detracted from the returns of all three small-cap index funds.
The funds tracked their indexes with skill aided by low costs
Vanguard Small-Cap Index Fund Investor Shares returned an average of 3.31% per year over the past decade, a period that includes two of the worst bear markets on record. Small-Cap Value Index Fund and Small-Cap Growth Index Fund posted average annual returns of 5.22% and 3.08% for the same period.
These results are modest and, in fact, a bit lower than the returns produced by the broad U.S. bond market over the past decade. In our view, however, that does nothing to invalidate the long-term case for equities. We expect stocks to outperform less-risky assets precisely because stocks can occasionally produce the kinds of dismal returns on display in 2008. Financial theory, affirmed by the historical evidence, dictates that investors need to be compensated for this risk.
As the table illustrates, for the ten years ended December 31, the funds successfully tracked their target indexes. The table also shows that two of the funds trailed the average annual returns of their peer groups, though we caution investors not to make too much of this data. Until 2003, the funds tracked indexes that did not reflect the small-cap stock market as it is viewed by active managers. Since May 2003, the funds have targeted indexes from Morgan Stanley Capital International that better represent this market from an active management standpoint. Over the past five years, the average returns of all three funds have outpaced the average returns of their actively managed competitors.
Like all Vanguard funds, the three small-cap index funds benefit from modest operating costs, an advantage that can compound for investors over time.
The funds’ record of tracking the returns of their target benchmarks, which have no costs or operating expenses, is striking. Such success is a tribute to Vanguard’s prudent management and the skill of the Quantitative Equity Group, which brings years of index-tracking expertise to its mandate.
Small-cap stocks have a place in a balanced portfolio
While small-cap stocks sometimes behave differently from their large-cap counterparts, no segment of the stock market was safe from the year’s financial turmoil. To say the least, the investment environment was difficult and challenging in 2008, a year that brought extreme volatility to the financial markets and saw the world fall into a potentially deep recession.
What’s ahead for 2009? It’s tough to say. We can’t control the markets, the economy, or any number of other variables. What we can control, however, is how we respond to these variables. As always, we advise
6
clients to develop and maintain a mix of stock, bond, and money market funds that is consistent with their goals and circumstances and with their willingness and ability to withstand the market’s occasional downturns. Such an approach puts you in a good position to reap the stock market’s expected long-term returns while helping you keep risk to a level that you can live with.
Because small companies often have limited resources and capital, they can be more vulnerable than larger companies to periods of economic weakness. However, small-cap stocks also represent opportunities not found among larger stocks.
Vanguard’s small-cap index funds provide cost-effective exposure to these companies, an important component of a well-diversified portfolio.
We thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
President and Chief Executive Officer
January 13, 2009
7
Your Fund’s Performance at a Glance |
December 31, 2007–December 31, 2008 |
| | | Distributions Per Share |
| Starting | Ending | Income | Capital |
| Share Price | Share Price | Dividends | Gains |
Small-Cap Index Fund | | | | |
Investor Shares | $32.58 | $20.40 | $0.404 | $0.000 |
Admiral Shares | 32.59 | 20.40 | 0.431 | 0.000 |
Signal Shares | 29.38 | 18.39 | 0.390 | 0.000 |
Institutional Shares | 32.60 | 20.40 | 0.445 | 0.000 |
ETF Shares | 68.07 | 42.60 | 0.918 | 0.000 |
Small-Cap Growth Index Fund | | | | |
Investor Shares | $20.01 | $11.90 | $0.101 | $0.000 |
Institutional Shares | 20.04 | 11.91 | 0.125 | 0.000 |
ETF Shares | 71.18 | 42.32 | 0.425 | 0.000 |
Small-Cap Value Index Fund | | | | |
Investor Shares | $15.49 | $10.21 | $0.296 | $0.000 |
Institutional Shares | 15.53 | 10.22 | 0.318 | 0.000 |
ETF Shares | 64.65 | 42.58 | 1.313 | 0.000 |
8
Vanguard Small-Cap Index ETF |
Premium/Discount: January 26, 20041–December 31, 2008 |
| | | | | |
| Market Price Above or | | | Market Price Below |
| Equal to Net Asset Value | | | Net Asset Value |
| Number | Percentage | | Number | Percentage |
Basis Point Differential2 | of Days | of Total Days | | of Days | of Total Days |
0–24.9 | 515 | 41.36% | | 685 | 55.02% |
25–49.9 | 16 | 1.29 | | 23 | 1.85 |
50–74.9 | 0 | 0.00 | | 1 | 0.08 |
75–100.0 | 2 | 0.16 | | 1 | 0.08 |
>100.0 | 1 | 0.08 | | 1 | 0.08 |
Total | 534 | 42.89% | | 711 | 57.11% |
Vanguard Small-Cap Growth ETF |
Premium/Discount: January 26, 20041–December 31, 2008 |
| Market Price Above or | | | Market Price Below |
| Equal to Net Asset Value | | | Net Asset Value |
| Number | Percentage | | Number | Percentage |
Basis Point Differential2 | of Days | of Total Days | | of Days | of Total Days |
0–24.9 | 528 | 42.41% | | 663 | 53.26% |
25–49.9 | 7 | 0.56 | | 30 | 2.41 |
50–74.9 | 2 | 0.16 | | 2 | 0.16 |
75–100.0 | 1 | 0.08 | | 2 | 0.16 |
>100.0 | 2 | 0.16 | | 8 | 0.64 |
Total | 540 | 43.37% | | 705 | 56.63% |
Vanguard Small-Cap Value ETF |
Premium/Discount: January 26, 20041–December 31, 2008 |
| Market Price Above or | | | Market Price Below |
| Equal to Net Asset Value | | | Net Asset Value |
| Number | Percentage | | Number | Percentage |
Basis Point Differential2 | of Days | of Total Days | | of Days | of Total Days |
0–24.9 | 537 | 43.13% | | 652 | 52.37% |
25–49.9 | 23 | 1.85 | | 25 | 2.01 |
50–74.9 | 3 | 0.24 | | 3 | 0.24 |
75–100.0 | 0 | 0.00 | | 0 | 0.00 |
>100.0 | 1 | 0.08 | | 1 | 0.08 |
Total | 564 | 45.30% | | 681 | 54.70% |
1 Inception.
2 One basis point equals 1/100 of a percentage point.
9
Small-Cap Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 1,744 | 1,742 | 4,593 |
Median Market Cap | $1.0B | $1.0B | $25.3B |
Price/Earnings Ratio | 15.5x | 15.5x | 11.8x |
Price/Book Ratio | 1.4x | 1.4x | 1.7x |
Yield3 | | 1.9% | 2.8% |
Investor Shares | 2.1% | | |
Admiral Shares | 2.2% | | |
Signal Shares | 2.2% | | |
Institutional Shares | 2.3% | | |
ETF Shares | 2.3% | | |
Return on Equity | 13.3% | 13.2% | 20.8% |
Earnings Growth Rate | 14.1% | 14.1% | 17.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 14% | — | — |
Expense Ratio | | | |
(12/31/2007)4 | | — | — |
Investor Shares | 0.22% | | |
Admiral Shares | 0.11% | | |
Signal Shares | 0.11% | | |
Institutional Shares | 0.07% | | |
ETF Shares | 0.10% | | |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) |
| | Target | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 12.1% | 12.1% | 8.9% |
Consumer Staples | 3.5 | 3.5 | 11.2 |
Energy | 5.3 | 5.3 | 12.4 |
Financials | 22.3 | 22.3 | 15.6 |
Health Care | 13.0 | 13.0 | 14.4 |
Industrials | 17.0 | 17.0 | 11.2 |
Information Technology | 16.3 | 16.3 | 15.2 |
Materials | 4.3 | 4.3 | 3.3 |
Telecommunication | | | |
Services | 1.0 | 1.0 | 3.4 |
Utilities | 5.2 | 5.2 | 4.4 |
Volatility Measures5 | |
| Fund Versus | Fund Versus |
| Target Index1 | Broad Index2 |
R-Squared | 1.00 | 0.93 |
Beta | 1.00 | 1.21 |
1 MSCI US Small Cap 1750 Index.
2 Dow Jones Wilshire 5000 Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the expense ratios were 0.23% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares.
5 For an explanation of R-squared, beta, and other terms used here, see the Glossary.
10
Small-Cap Index Fund
Ten Largest Holdings1 (% of total net assets) |
| | |
URS Corp. | construction and | |
| engineering | 0.4% |
Strayer Education, Inc. | education services | 0.3 |
Aqua America, Inc. | water utilities | 0.3 |
Watson | | |
Pharmaceuticals, Inc. | pharmaceuticals | 0.3 |
UGI Corp. Holding Co. | gas utilities | 0.3 |
Valley National Bancorp | regional banks | 0.3 |
Waste Connections, Inc. | environmental and | |
| facilities services | 0.3 |
Arthur J. Gallagher & Co. | insurance brokers | 0.2 |
AGL Resources Inc. | gas utilities | 0.2 |
AptarGroup Inc. | metal and | |
| glass containers | 0.2 |
Top Ten | | 2.8% |
Investment Focus
1 The holdings listed exclude any temporary cash investments and equity index products.
11
Small-Cap 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 www.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: December 31, 1998–December 31, 2008
Initial Investment of $10,000
| Average Annual Total Returns | Final Value of |
| Periods Ended December 31, 2008 | a $10,000 |
| One Year | Five Years | Ten Years | Investment |
Small-Cap Index Fund Investor Shares1 | –36.07% | –0.76% | 3.31% | $13,854 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 9,388 |
Spliced Small Cap Index2 | –36.20 | –0.73 | 3.00 | 13,441 |
Average Small-Cap Core Fund3 | –36.21 | –1.78 | 4.59 | 15,658 |
| | | | Final Value of |
| | | Since | a $100,000 |
| One Year | Five Years | Inception4 | Investment |
Small-Cap Index Fund Admiral Shares | –36.00% | –0.66% | 2.11% | $118,533 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –2.26 | 83,059 |
Spliced Small Cap Index2 | –36.20 | –0.73 | 1.87 | 116,255 |
| | | Final Value of |
| | Since | a $1,000,000 |
| One Year | Inception4 | Investment |
Small-Cap Index Fund Signal Shares | –36.00% | –19.45% | $642,722 |
Dow Jones Wilshire 5000 Index | –37.34 | –18.49 | 658,483 |
MSCI US Small Cap 1750 Index | –36.20 | –19.59 | 640,443 |
1 Total return figures do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index thereafter.
3 Derived from data provided by Lipper Inc.
4 Performance for the fund and its comparative standards is calculated since the following inception dates: November 13, 2000, for Admiral Shares, and December 15, 2006, for Signal Shares.
12
Small-Cap Index Fund
| | | | Final Value of |
| | | | a $5,000,000 |
| One Year | Five Years | Ten Years | Investment |
Small-Cap Index Fund Institutional Shares | –35.98% | –0.61% | 3.47% | $7,034,118 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 4,693,933 |
Spliced Small Cap Index1 | –36.20 | –0.73 | 3.00 | 6,720,600 |
| | | Final Value of |
| | Since | a $10,000 |
| One Year | Inception2 | Investment |
Small-Cap Index Fund ETF Shares Net Asset Value | –35.99% | –2.04% | $9,032 |
Dow Jones Wilshire 5000 Index | –37.34 | –2.57 | 8,795 |
MSCI US Small Cap 1750 Index | –36.20 | –2.13 | 8,995 |
Cumulative Returns of ETF Shares: January 26, 2004–December 31, 2008 | |
| | |
| | Cumulative |
| One Year | Since Inception2 |
Small-Cap Index Fund ETF Shares Market Price | –36.27% | –10.06% |
Small-Cap Index Fund ETF Shares Net Asset Value | –35.99 | –9.68 |
MSCI US Small Cap 1750 Index | –36.20 | –10.05 |
Fiscal-Year Total Returns (%): December 31, 1998–December 31, 2008
1 Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index thereafter.
2 Performance for the fund and its comparative standards is calculated since the ETF Shares’ inception date: January 26, 2004. Note: See Financial Highlights tables for dividend and capital gains information.
13
Small-Cap Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2008
This Statement summarizes the fund’s holdings by asset type (common stocks, bonds, etc.) and by industry sector. 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 provides a complete list of its holdings 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 (www.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 | | | |
| Strayer Education, Inc. | 152,064 | 32,604 | 0.3% |
| Snap-On Inc. | 612,031 | 24,102 | 0.2% |
| Wendy’s/Arby’s Group, Inc. | 4,254,149 | 21,015 | 0.2% |
† | Consumer Discretionary—Other | | 1,169,833 | 11.3% |
| | | 1,247,554 | 12.0% |
Consumer Staples | | | |
| Corn Products International, Inc. | 793,409 | 22,890 | 0.2% |
| Alberto-Culver Co. | 933,009 | 22,868 | 0.2% |
| Flowers Foods, Inc. | 903,053 | 21,998 | 0.2% |
* | BJ’s Wholesale Club, Inc. | 639,831 | 21,921 | 0.2% |
† | Consumer Staples—Other | | 273,032 | 2.7% |
| | | 362,709 | 3.5% |
Energy | | | |
* | Comstock Resources, Inc. | 490,255 | 23,165 | 0.2% |
† | Energy—Other | | 519,629 | 5.0% |
| | | 542,794 | 5.2% |
Financials | | | |
| Valley National Bancorp | 1,364,685 | 27,635 | 0.3% |
| Arthur J. Gallagher & Co. | 994,012 | 25,755 | 0.3% |
^ | Realty Income Corp. REIT | 1,079,697 | 24,995 | 0.2% |
| Digital Realty Trust, Inc. REIT | 728,043 | 23,916 | 0.2% |
| The Hanover Insurance Group Inc. | 543,121 | 23,338 | 0.2% |
| Bank of Hawaii Corp. | 508,962 | 22,990 | 0.2% |
| Senior Housing Properties Trust REIT | 1,219,799 | 21,859 | 0.2% |
| StanCorp Financial Group, Inc. | 520,888 | 21,757 | 0.2% |
| Aspen Insurance Holdings Ltd. | 892,149 | 21,635 | 0.2% |
| Essex Property Trust, Inc. REIT | 272,438 | 20,910 | 0.2% |
| Alexandria Real Estate Equities, Inc. REIT | 342,209 | 20,649 | 0.2% |
† | Financials—Other | | 2,050,314 | 19.7% |
| | | 2,305,753 | 22.1% |
14
Small-Cap Index Fund
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
Health Care | | | |
* | Watson Pharmaceuticals, Inc. | 1,057,367 | 28,094 | 0.3% |
* | Gen-Probe Inc. | 577,684 | 24,748 | 0.2% |
* | OSI Pharmaceuticals, Inc. | 613,056 | 23,940 | 0.2% |
* | IDEXX Laboratories, Inc. | 633,266 | 22,848 | 0.2% |
*,^ | Valeant Pharmaceuticals International | 938,287 | 21,487 | 0.2% |
| Teleflex Inc. | 422,658 | 21,175 | 0.2% |
† | Health Care—Other | | 1,194,180 | 11.5% |
| | | 1,336,472 | 12.8% |
Industrials | | | |
* | URS Corp. | 899,664 | 36,679 | 0.4% |
* | Waste Connections, Inc. | 831,296 | 26,244 | 0.3% |
| Lincoln Electric Holdings, Inc. | 456,502 | 23,250 | 0.2% |
| Watson Wyatt & Co. Holdings | 460,943 | 22,042 | 0.2% |
* | Corrections Corp. of America | 1,335,693 | 21,852 | 0.2% |
* | Aecom Technology Corp. | 710,043 | 21,820 | 0.2% |
| Landstar System, Inc. | 564,232 | 21,683 | 0.2% |
| IDEX Corp. | 879,596 | 21,242 | 0.2% |
* | Continental Airlines, Inc. Class B | 1,169,781 | 21,126 | 0.2% |
† | Industrials—Other | | 1,537,494 | 14.7% |
| | | 1,753,432 | 16.8% |
Information Technology | | | |
* | ANSYS, Inc. | 899,939 | 25,099 | 0.3% |
* | Itron, Inc. | 365,542 | 23,300 | 0.2% |
^ | FactSet Research Systems Inc. | 485,829 | 21,493 | 0.2% |
* | Sybase, Inc. | 857,412 | 21,238 | 0.2% |
† | Information Technology—Other | | 1,586,814 | 15.2% |
| | | 1,677,944 | 16.1% |
Materials | | | |
| AptarGroup Inc. | 723,066 | 25,481 | 0.3% |
† | Materials—Other | | 417,228 | 3.9% |
| | | 442,709 | 4.2% |
| | | | |
†Telecommunication Services | | 103,828 | 1.0% |
| | | | |
Utilities | | | |
| Aqua America, Inc. | 1,436,864 | 29,585 | 0.3% |
| UGI Corp. Holding Co. | 1,146,938 | 28,008 | 0.3% |
| AGL Resources Inc. | 816,847 | 25,608 | 0.2% |
| OGE Energy Corp. | 983,338 | 25,350 | 0.2% |
| Piedmont Natural Gas, Inc. | 781,761 | 24,758 | 0.2% |
| Great Plains Energy, Inc. | 1,265,330 | 24,459 | 0.2% |
| Westar Energy, Inc. | 1,152,336 | 23,634 | 0.2% |
| ITC Holdings Corp. | 527,078 | 23,023 | 0.2% |
| Atmos Energy Corp. | 965,556 | 22,884 | 0.2% |
| Hawaiian Electric Industries Inc. | 960,744 | 21,271 | 0.2% |
| Vectren Corp. | 819,627 | 20,499 | 0.2% |
† | Utilities—Other | | 268,374 | 2.7% |
| | | 537,453 | 5.1% |
Total Common Stocks (Cost $14,173,920) | | 10,310,648 | 98.8%1 |
15
Small-Cap Index Fund
| | | Market | Percentage |
| | | Value• | of Net |
| Coupon | Shares | ($000) | Assets |
Temporary Cash Investments | | | | |
Money Market Fund | | | | |
2,3 Vanguard Market Liquidity Fund | 1.378% | 424,976,026 | 424,976 | 4.1% |
| | | | |
†4U.S. Agency Obligations | | | 13,996 | 0.1% |
Total Temporary Cash Investments (Cost $438,932) | | | 438,972 | 4.2%1 |
Total Investments (Cost $14,612,852) | | | 10,749,620 | 103.0% |
Other Assets and Liabilities | | | | |
Other Assets | | | 75,877 | 0.7% |
Liabilities3 | | | (390,109) | (3.7%) |
| | | (314,232) | (3.0%) |
Net Assets | | | 10,435,388 | 100.0% |
16
Small-Cap Index Fund
At December 31, 2008, net assets consisted of: | |
| Amount |
| ($000) |
Paid-in Capital | 15,621,456 |
Overdistributed Net Investment Income | (16,175) |
Accumulated Net Realized Losses | (1,310,917) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (3,863,232) |
Futures Contracts | 4,256 |
Net Assets | 10,435,388 |
| |
| |
Investor Shares—Net Assets | |
Applicable to 198,529,185 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,050,185 |
Net Asset Value Per Share—Investor Shares | $20.40 |
| |
| |
Admiral Shares—Net Assets | |
Applicable to 70,795,689 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,444,319 |
Net Asset Value Per Share—Admiral Shares | $20.40 |
| |
| |
Signal Shares—Net Assets | |
Applicable to 63,700,953 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,171,526 |
Net Asset Value Per Share—Signal Shares | $18.39 |
| |
| |
Institutional Shares—Net Assets | |
Applicable to 124,736,518 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,545,216 |
Net Asset Value Per Share—Institutional Shares | $20.40 |
| |
| |
ETF Shares—Net Assets | |
Applicable to 28,734,991 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,224,142 |
Net Asset Value Per Share—ETF Shares | $42.60 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ The total value of securities on loan is $293,301,000.
† 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 3.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $314,782,000 of collateral received for securities on loan.
4 Securities with a value of $13,996,000 have been segregated as initial margin for open futures contracts. REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Small-Cap Index Fund
Statement of Operations
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 188,224 |
Interest1 | 2,002 |
Security Lending | 37,057 |
Total Income | 227,283 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 373 |
Management and Administrative—Investor Shares | 9,984 |
Management and Administrative—Admiral Shares | 1,624 |
Management and Administrative—Signal Shares | 1,240 |
Management and Administrative—Institutional Shares | 1,050 |
Management and Administrative—ETF Shares | 708 |
Marketing and Distribution—Investor Shares | 1,548 |
Marketing and Distribution—Admiral Shares | 549 |
Marketing and Distribution—Signal Shares | 362 |
Marketing and Distribution—Institutional Shares | 946 |
Marketing and Distribution—ETF Shares | 312 |
Custodian Fees | 595 |
Auditing Fees | 29 |
Shareholders’ Reports—Investor Shares | 228 |
Shareholders’ Reports—Admiral Shares | 6 |
Shareholders’ Reports—Signal Shares | 35 |
Shareholders’ Reports—Institutional Shares | 41 |
Shareholders’ Reports—ETF Shares | 52 |
Trustees’ Fees and Expenses | 21 |
Total Expenses | 19,703 |
Net Investment Income | 207,580 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 570,477 |
Futures Contracts | (39,765) |
Realized Net Gain (Loss) | 530,712 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (6,347,839) |
Futures Contracts | 2,844 |
Change in Unrealized Appreciation (Depreciation) | (6,344,995) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (5,606,703) |
1 Interest income from an affiliated company of the fund was $1,762,000.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Small-Cap Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 207,580 | 196,145 |
Realized Net Gain (Loss) | 530,712 | 1,177,881 |
Change in Unrealized Appreciation (Depreciation) | (6,344,995) | (1,202,902) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (5,606,703) | 171,124 |
Distributions | | |
Net Investment Income | | |
Investor Shares | (78,250) | (77,893) |
Admiral Shares | (30,066) | (31,988) |
Signal Shares | (24,267) | (22,088) |
Institutional Shares | (53,803) | (49,873) |
ETF Shares | (25,370) | (14,502) |
Realized Capital Gain | | |
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (211,756) | (196,344) |
Capital Share Transactions | | |
Investor Shares | 168,313 | (620,006) |
Admiral Shares | (11,036) | (837,510) |
Signal Shares | 199,826 | 1,581,465 |
Institutional Shares | 429,108 | 498,024 |
ETF Shares | 598,110 | 452,664 |
Net Increase (Decrease) from Capital Share Transactions | 1,384,321 | 1,074,637 |
Total Increase (Decrease) | (4,434,138) | 1,049,417 |
Net Assets | | |
Beginning of Period | 14,869,526 | 13,820,109 |
End of Period1 | 10,435,388 | 14,869,526 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($16,175,000) and ($11,999,000). See accompanying Notes, which are an integral part of the Financial Statements.
19
Small-Cap Index Fund
Financial Highlights
Investor Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $32.58 | $32.62 | $28.52 | $26.83 | $22.60 |
Investment Operations | | | | | |
Net Investment Income | .398 | .413 | .357 | .290 | .267 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (12.174) | (.041) | 4.101 | 1.690 | 4.228 |
Total from Investment Operations | (11.776) | .372 | 4.458 | 1.980 | 4.495 |
Distributions | | | | | |
Dividends from Net Investment Income | (.404) | (.412) | (.358) | (.290) | (.265) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.404) | (.412) | (.358) | (.290) | (.265) |
Net Asset Value, End of Period | $20.40 | $32.58 | $32.62 | $28.52 | $26.83 |
| | | | | |
| | | | | |
Total Return1 | –36.07% | 1.16% | 15.64% | 7.36% | 19.90% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $4,050 | $6,214 | $6,808 | $5,902 | $6,247 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.23% | 0.22% | 0.23% | 0.23% | 0.23% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.49% | 1.23% | 1.18% | 1.08% | 1.13% |
Portfolio Turnover Rate2 | 14% | 16% | 13% | 18% | 19% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Small-Cap Index Fund
Financial Highlights
Admiral Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $32.59 | $32.64 | $28.53 | $26.83 | $22.60 |
Investment Operations | | | | | |
Net Investment Income | .426 | .440 | .395 | .325 | .294 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (12.185) | (.040) | 4.101 | 1.690 | 4.228 |
Total from Investment Operations | (11.759) | .400 | 4.496 | 2.015 | 4.522 |
Distributions | | | | | |
Dividends from Net Investment Income | (.431) | (.450) | (.386) | (.315) | (.292) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.431) | (.450) | (.386) | (.315) | (.292) |
Net Asset Value, End of Period | $20.40 | $32.59 | $32.64 | $28.53 | $26.83 |
| | | | | |
| | | | | |
Total Return | –36.00% | 1.24% | 15.77% | 7.49% | 20.02% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $1,444 | $2,325 | $3,078 | $2,382 | $1,451 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.12% | 0.11% | 0.13% | 0.13% | 0.13% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.60% | 1.34% | 1.28% | 1.18% | 1.25% |
Portfolio Turnover Rate1 | 14% | 16% | 13% | 18% | 19% |
1 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
Small-Cap Index Fund
Financial Highlights
Signal Shares | | | |
| | | |
| | Dec. 15, |
| Year Ended | 20061 to |
| December 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $29.38 | $29.42 | $29.98 |
Investment Operations | | | |
Net Investment Income | .385 | .406 | .004 |
Net Realized and Unrealized Gain (Loss) on Investments | (10.985) | (.042) | (.251) |
Total from Investment Operations | (10.600) | .364 | (.247) |
Distributions | | | |
Dividends from Net Investment Income | (.390) | (.404) | (.313) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.390) | (.404) | (.313) |
Net Asset Value, End of Period | $18.39 | $29.38 | $29.42 |
| | | |
| | | |
Total Return | –36.00% | 1.25% | –0.82% |
| | | |
| | | |
Ratios/Supplemental Data | | | |
Net Assets, End of Period (Millions) | $1,172 | $1,625 | $157 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.11% | 0.13%2 |
Ratio of Net Investment Income to Average Net Assets | 1.60% | 1.34% | 1.28%2 |
Portfolio Turnover Rate3 | 14% | 16% | 13% |
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.
22
Small-Cap Index Fund
Financial Highlights
Institutional Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $32.60 | $32.65 | $28.54 | $26.84 | $22.61 |
Investment Operations | | | | | |
Net Investment Income | .441 | .457 | .411 | .343 | .306 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (12.196) | (.041) | 4.101 | 1.690 | 4.228 |
Total from Investment Operations | (11.755) | .416 | 4.512 | 2.033 | 4.534 |
Distributions | | | | | |
Dividends from Net Investment Income | (.445) | (.466) | (.402) | (.333) | (.304) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.445) | (.466) | (.402) | (.333) | (.304) |
Net Asset Value, End of Period | $20.40 | $32.60 | $32.65 | $28.54 | $26.84 |
| | | | | |
| | | | | |
Total Return | –35.98% | 1.29% | 15.82% | 7.56% | 20.06% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $2,545 | $3,585 | $3,107 | $2,089 | $1,648 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.07% | 0.07% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.65% | 1.38% | 1.33% | 1.23% | 1.30% |
Portfolio Turnover Rate1 | 14% | 16% | 13% | 18% | 19% |
1 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
Small-Cap Index Fund
Financial Highlights
ETF Shares | | | | | |
| | | | | |
| | | | | Jan. 26, |
| | | 20041 to |
For a Share Outstanding | Year Ended December 31, | Dec. 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $68.07 | $68.16 | $59.59 | $56.05 | $50.65 |
Investment Operations | | | | | |
Net Investment Income | .910 | .959 | .836 | .668 | .585 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (25.462) | (.093) | 8.569 | 3.555 | 5.436 |
Total from Investment Operations | (24.552) | .866 | 9.405 | 4.223 | 6.021 |
Distributions | | | | | |
Dividends from Net Investment Income | (.918) | (.956) | (.835) | (.683) | (.621) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.918) | (.956) | (.835) | (.683) | (.621) |
Net Asset Value, End of Period | $42.60 | $68.07 | $68.16 | $59.59 | $56.05 |
| | | | | |
| | | | | |
Total Return | –35.99% | 1.27% | 15.79% | 7.53% | 11.90% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $1,224 | $1,121 | $670 | $265 | $186 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.18%2 |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.62% | 1.35% | 1.31% | 1.20% | 1.19%2 |
Portfolio Turnover Rate3 | 14% | 16% | 13% | 18% | 19% |
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.
24
Small-Cap Index Fund
Notes to Financial Statements
Vanguard Small-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2005–2008), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
25
Small-Cap Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $2,467,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.99% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $1,277,708,000 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 December 31, 2008, the fund had $4,391,000 of ordinary income available for distribution. The fund had available realized losses of $1,299,876,000 to offset future net capital gains of $326,341,000 through December 31, 2011, $23,049,000 through December 31, 2015, $481,807,000 through December 31, 2016, and $468,679,000 through December 31, 2017.
At December 31, 2008, the cost of investment securities for tax purposes was $14,619,607,000. Net unrealized depreciation of investment securities for tax purposes was $3,869,987,000, consisting of unrealized gains of $812,978,000 on securities that had risen in value since their purchase and $4,682,965,000 in unrealized losses on securities that had fallen in value since their purchase.
26
Small-Cap Index Fund
At December 31, 2008, the aggregate settlement value of open futures contracts expiring in March 2009 and the related unrealized appreciation (depreciation) were:
| | | ($000) |
| Number of | Aggregate | Unrealized |
| Long (Short) | Settlement | Appreciation |
Futures Contracts | Contracts | Value | (Depreciation) |
E-mini Russell 2000 Index | 2,353 | 117,156 | 4,256 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the year ended December 31, 2008, the fund purchased $5,603,316,000 of investment securities and sold $4,271,368,000 of investment securities, other than temporary cash investments.
E. Capital share transactions for each class of shares were:
| Year Ended December 31, |
| | 2008 | | | 2007 |
| Amount | Shares | | Amount | Shares |
| ($000) | (000) | | ($000) | (000) |
Investor Shares | | | | | |
Issued | 1,369,493 | 50,519 | | 1,361,813 | 39,979 |
Issued in Lieu of Cash Distributions | 74,366 | 3,864 | | 74,557 | 2,316 |
Redeemed | (1,275,546) | (46,583) | | (2,056,376) | (60,246) |
Net Increase (Decrease)—Investor Shares | 168,313 | 7,800 | | (620,006) | (17,951) |
Admiral Shares | | | | | |
Issued | 313,670 | 11,694 | | 818,163 | 23,907 |
Issued in Lieu of Cash Distributions | 26,178 | 1,359 | | 28,260 | 877 |
Redeemed | (350,884) | (13,585) | | (1,683,933) | (47,757) |
Net Increase (Decrease)—Admiral Shares | (11,036) | (532) | | (837,510) | (22,973) |
Signal Shares | | | | | |
Issued | 565,494 | 23,032 | | 1,803,211 | 57,241 |
Issued in Lieu of Cash Distributions | 21,794 | 1,257 | | 20,008 | 690 |
Redeemed | (387,462) | (15,887) | | (241,754) | (7,956) |
Net Increase (Decrease)—Signal Shares | 199,826 | 8,402 | | 1,581,465 | 49,975 |
Institutional Shares | | | | | |
Issued | 1,225,972 | 44,213 | | 1,279,839 | 37,539 |
Issued in Lieu of Cash Distributions | 50,865 | 2,644 | | 46,539 | 1,445 |
Redeemed | (847,729) | (32,066) | | (828,354) | (24,209) |
Net Increase (Decrease)—Institutional Shares | 429,108 | 14,791 | | 498,024 | 14,775 |
ETF Shares | | | | | |
Issued | 3,053,322 | 53,168 | | 3,122,592 | 43,730 |
Issued in Lieu of Cash Distributions | — | — | | — | — |
Redeemed | (2,455,212) | (40,900) | | (2,669,928) | (37,100) |
Net Increase (Decrease)—ETF Shares | 598,110 | 12,268 | | 452,664 | 6,630 |
27
Small-Cap Index Fund
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 fund’s investments as of December 31, 2008, based on the inputs used to value them:
| Investments | Futures |
| in Securities | Contracts |
Valuation Inputs | ($000) | ($000) |
Level 1—Quoted prices | 10,735,624 | 4,256 |
Level 2—Other significant observable inputs | 13,996 | — |
Level 3—Significant unobservable inputs | — | — |
Total | 10,749,620 | 4,256 |
28
Small-Cap Growth Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 975 | 973 | 4,593 |
Median Market Cap | $1.0B | $1.0B | $25.3B |
Price/Earnings Ratio | 17.8x | 17.8x | 11.8x |
Price/Book Ratio | 1.9x | 1.9x | 1.7x |
Yield3 | | 0.5% | 2.8% |
Investor Shares | 0.7% | | |
Institutional Shares | 0.9% | | |
ETF Shares | 0.9% | | |
Return on Equity | 15.6% | 15.3% | 20.8% |
Earnings Growth Rate | 21.7% | 21.8% | 17.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 38% | — | — |
Expense Ratio | | | |
(12/31/2007)4 | | — | — |
Investor Shares | 0.22% | | |
Institutional Shares | 0.07% | | |
ETF Shares | 0.11% | | |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) |
| | Target | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 14.1% | 14.0% | 8.9% |
Consumer Staples | 3.3 | 3.3 | 11.2 |
Energy | 6.1 | 6.0 | 12.4 |
Financials | 8.0 | 8.1 | 15.6 |
Health Care | 20.0 | 20.0 | 14.4 |
Industrials | 19.3 | 19.3 | 11.2 |
Information Technology | 24.5 | 24.6 | 15.2 |
Materials | 2.8 | 2.8 | 3.3 |
Telecommunication | | | |
Services | 1.3 | 1.3 | 3.4 |
Utilities | 0.6 | 0.6 | 4.4 |
Volatility Measures5 | |
| Fund Versus | Fund Versus |
| Target Index1 | Broad Index2 |
R-Squared | 1.00 | 0.91 |
Beta | 1.00 | 1.30 |
Ten Largest Holdings6 (% of total net assets) |
| | |
Strayer Education, Inc. | education services | 0.6% |
Waste Connections, Inc. | environmental and | |
| facilities services | 0.5 |
ANSYS, Inc. | application software | 0.5 |
Gen-Probe Inc. | health care | |
| equipment | 0.5 |
OSI Pharmaceuticals, Inc. | biotechnology | 0.5 |
Itron, Inc. | electronic equipment | |
| and instruments | 0.4 |
Comstock Resources, Inc. | oil and | |
| gas exploration | |
| and production | 0.4 |
ITC Holdings Corp. | electric utilities | 0.4 |
Alberto-Culver Co. | personal products | 0.4 |
IDEXX Laboratories, Inc. | health care | |
| equipment | 0.4 |
Top Ten | | 4.6% |
Investment Focus
1 MSCI US Small Cap Growth Index.
2 Dow Jones Wilshire 5000 Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the expense ratios were 0.23% for Investor Shares, 0.07% for Institutional Shares, and 0.11% for ETF Shares.
5 For an explanation of R-squared, beta, and other terms used here, see the Glossary.
6 The holdings listed exclude any temporary cash investments and equity index products.
29
Small-Cap 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 www.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: December 31, 1998–December 31, 2008
Initial Investment of $10,000
| Average Annual Total Returns | Final Value of |
| Periods Ended December 31, 2008 | a $10,000 |
| One Year | Five Years | Ten Years | Investment |
Small-Cap Growth Index Fund | | | | |
Investor Shares1 | –40.00% | –1.48% | 3.08% | $13,550 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 9,388 |
Spliced Small Cap Growth Index2 | –40.11 | –1.46 | 2.86 | 13,262 |
Average Small-Cap Growth Fund3 | –42.10 | –4.09 | 1.28 | 11,356 |
| | | | Final Value of |
| | | Since | a $5,000,000 |
| One Year | Five Years | Inception4 | Investment |
Small-Cap Growth Index Fund Institutional Shares | –39.91% | –1.32% | 1.97% | $5,911,367 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –2.34 | 4,079,227 |
Spliced Small Cap Growth Index2 | –40.11 | –1.46 | 1.63 | 5,744,036 |
1 Total return figures do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter.
3 Derived from data provided by Lipper Inc.
4 Performance for the fund and its comparative standards is calculated since the Institutional Shares’ inception date: May 24, 2000.
30
Small-Cap Growth Index Fund
| | | Final Value of |
| | Since | a $10,000 |
| One Year | Inception1 | Investment |
Small-Cap Growth Index Fund ETF Shares | | | |
Net Asset Value | –39.92% | –3.12% | $8,553 |
Dow Jones Wilshire 5000 Index | –37.34 | –2.57 | 8,795 |
MSCI US Small Cap Growth Index | –40.11 | –3.20 | 8,518 |
Cumulative Returns of ETF Shares: January 26, 2004–December 31, 2008 |
| | Cumulative |
| One Year | Since Inception1 |
Small-Cap Growth Index Fund ETF Shares | | |
Market Price | –40.12% | –14.74% |
Small-Cap Growth Index Fund ETF Shares | | |
Net Total Returns | –39.92 | –14.47 |
MSCI US Small Cap Growth Index | –40.11 | –14.82 |
Fiscal-Year Total Returns (%): December 31, 1998–December 31, 2008
1 Performance for the fund and its comparative standards is calculated since the ETF Shares’ inception date: January 26, 2004.
2 S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter.
Note: See Financial Highlights tables for dividend and capital gains information.
31
Small-Cap Growth Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2008
This Statement summarizes the fund’s holdings by asset type (common stocks, bonds, etc.) and by industry sector. 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 provides a complete list of its holdings 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 (www.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 | | | |
| Strayer Education, Inc. | 89,822 | 19,259 | 0.6% |
| John Wiley & Sons Class A | 279,269 | 9,936 | 0.3% |
* | Marvel Entertainment, Inc. | 320,684 | 9,861 | 0.3% |
*,^ | Panera Bread Co. | 182,865 | 9,553 | 0.3% |
*,^ | Netflix.com, Inc. | 306,201 | 9,152 | 0.3% |
† | Consumer Discretionary—Other | | 371,304 | 12.2% |
| | | 429,065 | 14.0% |
Consumer Staples | | | |
| Alberto-Culver Co. | 550,970 | 13,504 | 0.4% |
† | Consumer Staples—Other | | 85,821 | 2.8% |
| | | 99,325 | 3.2% |
Energy | | | |
* | Comstock Resources, Inc. | 289,421 | 13,675 | 0.4% |
* | EXCO Resources, Inc. | 1,127,809 | 10,218 | 0.3% |
* | Oceaneering International, Inc. | 348,715 | 10,162 | 0.3% |
* | Dresser Rand Group, Inc. | 526,541 | 9,083 | 0.3% |
† | Energy—Other | | 142,454 | 4.8% |
| | | 185,592 | 6.1% |
Financials | | | |
* | Affiliated Managers Group, Inc. | 256,985 | 10,773 | 0.4% |
| Odyssey Re Holdings Corp. | 179,286 | 9,289 | 0.3% |
| Digital Realty Trust, Inc. REIT | 279,422 | 9,179 | 0.3% |
† | Financials—Other | | 214,342 | 7.0% |
| | | 243,583 | 8.0% |
Health Care | | | |
* | Gen-Probe Inc. | 341,004 | 14,609 | 0.5% |
* | OSI Pharmaceuticals, Inc. | 362,071 | 14,139 | 0.5% |
* | IDEXX Laboratories, Inc. | 373,913 | 13,491 | 0.4% |
* | Valeant Pharmaceuticals International | 554,140 | 12,690 | 0.4% |
* | Onyx Pharmaceuticals, Inc. | 353,001 | 12,059 | 0.4% |
* | Immucor Inc. | 441,407 | 11,733 | 0.4% |
32
Small-Cap Growth Index Fund
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
* | Thoratec Corp. | 343,847 | 11,172 | 0.4% |
* | BioMarin Pharmaceutical Inc. | 626,524 | 11,152 | 0.4% |
* | VCA Antech, Inc. | 530,672 | 10,550 | 0.3% |
* | Psychiatric Solutions, Inc. | 350,129 | 9,751 | 0.3% |
† | Health Care—Other | | 487,052 | 15.9% |
| | | 608,398 | 19.9% |
Industrials | | | |
* | Waste Connections, Inc. | 490,932 | 15,499 | 0.5% |
* | Corrections Corp. of America | 788,459 | 12,899 | 0.4% |
* | Aecom Technology Corp. | 419,283 | 12,885 | 0.4% |
| Landstar System, Inc. | 333,126 | 12,802 | 0.4% |
| IDEX Corp. | 519,506 | 12,546 | 0.4% |
* | Continental Airlines, Inc. Class B | 690,767 | 12,475 | 0.4% |
| Wabtec Corp. | 289,562 | 11,510 | 0.4% |
| MSC Industrial Direct Co., Inc. Class A | 280,048 | 10,314 | 0.3% |
| CLARCOR Inc. | 303,138 | 10,058 | 0.3% |
* | Teledyne Technologies, Inc. | 213,380 | 9,506 | 0.3% |
* | JetBlue Airways Corp. | 1,277,159 | 9,068 | 0.3% |
† | Industrials—Other | | 459,116 | 15.1% |
| | | 588,678 | 19.2% |
Information Technology | | | |
* | ANSYS, Inc. | 531,467 | 14,823 | 0.5% |
* | Itron, Inc. | 215,955 | 13,765 | 0.5% |
^ | FactSet Research Systems Inc. | 286,804 | 12,688 | 0.4% |
* | Sybase, Inc. | 506,395 | 12,543 | 0.4% |
* | F5 Networks, Inc. | 506,458 | 11,578 | 0.4% |
* | Equinix, Inc. | 210,589 | 11,201 | 0.4% |
* | Solera Holdings, Inc. | 414,670 | 9,994 | 0.3% |
* | NeuStar, Inc. Class A | 495,211 | 9,473 | 0.3% |
* | Rambus Inc. | 594,724 | 9,468 | 0.3% |
| Jack Henry & Associates Inc. | 487,274 | 9,458 | 0.3% |
* | Parametric Technology Corp. | 725,422 | 9,177 | 0.3% |
* | Metavante Technologies | 564,234 | 9,090 | 0.3% |
| National Instruments Corp. | 370,910 | 9,035 | 0.3% |
† | Information Technology—Other | | 606,630 | 19.8% |
| | | 748,923 | 24.5% |
Materials | | | |
| Compass Minerals International, Inc. | 204,098 | 11,972 | 0.4% |
† | Materials—Other | | 72,405 | 2.3% |
| | | 84,377 | 2.7% |
Telecommunication Services | | | |
* | SBA Communications Corp. | 600,409 | 9,799 | 0.3% |
† | Telecommunication Services—Other | | 30,488 | 1.0% |
| | | 40,287 | 1.3% |
Utilities | | | |
| ITC Holdings Corp. | 311,304 | 13,598 | 0.5% |
† | Utilities—Other | | 4,222 | 0.1% |
| | | 17,820 | 0.6% |
Total Common Stocks (Cost $4,155,233) | | 3,046,048 | 99.5%1 |
33
Small-Cap Growth Index Fund
| | | Market | Percentage |
| | | Value• | of Net |
| Coupon | Shares | ($000) | Assets |
Temporary Cash Investments | | | | |
Money Market Fund | | | | |
2,3 Vanguard Market Liquidity Fund | 1.378% | 119,061,964 | 119,062 | 3.9% |
| | | | |
†4U.S. Agency Obligations | | | 4,499 | 0.1% |
Total Temporary Cash Investments (Cost $123,545) | | | 123,561 | 4.0%1 |
Total Investments (Cost $4,278,778) | | | 3,169,609 | 103.5% |
Other Assets and Liabilities | | | | |
Other Assets | | | 33,897 | 1.1% |
Liabilities3 | | | (142,011) | (4.6%) |
| | | (108,114) | (3.5%) |
Net Assets | | | 3,061,495 | 100.0% |
34
Small-Cap Growth Index Fund
At December 31, 2008, net assets consisted of: | |
| Amount |
| ($000) |
Paid-in Capital | 5,164,187 |
Overdistributed Net Investment Income | (4,781) |
Accumulated Net Realized Losses | (989,293) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (1,109,169) |
Futures Contracts | 551 |
Net Assets | 3,061,495 |
| |
| |
Investor Shares—Net Assets | |
Applicable to 157,190,647 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,870,570 |
Net Asset Value Per Share—Investor Shares | $11.90 |
| |
| |
Institutional Shares—Net Assets | |
Applicable to 42,907,699 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 511,181 |
Net Asset Value Per Share—Institutional Shares | $11.91 |
| |
| |
ETF Shares—Net Assets | |
Applicable to 16,063,690 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 679,744 |
Net Asset Value Per Share—ETF Shares | $42.32 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $106,956,000.
† 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 99.8% 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 Includes $112,277,000 of collateral received for securities on loan.
4 Securities with a value of $4,499,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
35
Small-Cap Growth Index Fund
Statement of Operations
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 20,567 |
Interest1 | 498 |
Security Lending | 11,734 |
Total Income | 32,799 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 148 |
Management and Administrative—Investor Shares | 4,508 |
Management and Administrative—Institutional Shares | 110 |
Management and Administrative—ETF Shares | 507 |
Marketing and Distribution—Investor Shares | 724 |
Marketing and Distribution—Institutional Shares | 188 |
Marketing and Distribution—ETF Shares | 232 |
Custodian Fees | 390 |
Auditing Fees | 28 |
Shareholders’ Reports—Investor Shares | 93 |
Shareholders’ Reports—Institutional Shares | 57 |
Shareholders’ Reports—ETF Shares | 40 |
Trustees’ Fees and Expenses | 6 |
Total Expenses | 7,031 |
Net Investment Income | 25,768 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (364,844) |
Futures Contracts | (9,748) |
Realized Net Gain (Loss) | (374,592) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (1,579,793) |
Futures Contracts | (127) |
Change in Unrealized Appreciation (Depreciation) | (1,579,920) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,928,744) |
1 Interest income from an affiliated company of the fund was $438,000.
See accompanying Notes, which are an integral part of the Financial Statements.
36
Small-Cap Growth Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 25,768 | 21,572 |
Realized Net Gain (Loss) | (374,592) | 322,528 |
Change in Unrealized Appreciation (Depreciation) | (1,579,920) | (44,420) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,928,744) | 299,680 |
Distributions | | |
Net Investment Income | | |
Investor Shares | (15,611) | (13,044) |
Institutional Shares | (5,087) | (4,183) |
ETF Shares | (6,779) | (5,007) |
Realized Capital Gain | | |
Investor Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (27,477) | (22,234) |
Capital Share Transactions | | |
Investor Shares | 269,325 | 421,491 |
Institutional Shares | 129,511 | 421,067 |
ETF Shares | 232,705 | 283,966 |
Net Increase (Decrease) from Capital Share Transactions | 631,541 | 1,126,524 |
Total Increase (Decrease) | (1,324,680) | 1,403,970 |
Net Assets | | |
Beginning of Period | 4,386,175 | 2,982,205 |
End of Period1 | 3,061,495 | 4,386,175 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($4,781,000) and ($3,072,000).
See accompanying Notes, which are an integral part of the Financial Statements.
37
Small-Cap Growth Index Fund
Financial Highlights
Investor Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $20.01 | $18.34 | $16.43 | $15.16 | $13.08 |
Investment Operations | | | | | |
Net Investment Income | .096 | .095 | .051 | .040 | .020 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (8.105) | 1.669 | 1.911 | 1.270 | 2.080 |
Total from Investment Operations | (8.009) | 1.764 | 1.962 | 1.310 | 2.100 |
Distributions | | | | | |
Dividends from Net Investment Income | (.101) | (.094) | (.052) | (.040) | (.020) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.101) | (.094) | (.052) | (.040) | (.020) |
Net Asset Value, End of Period | $11.90 | $20.01 | $18.34 | $16.43 | $15.16 |
| | | | | |
| | | | | |
Total Return1 | –40.00% | 9.63% | 11.94% | 8.64% | 16.06% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $1,871 | $2,825 | $2,208 | $1,726 | $1,435 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.23% | 0.22% | 0.23% | 0.23% | 0.23% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 0.60% | 0.52% | 0.30% | 0.27% | 0.13% |
Portfolio Turnover Rate2 | 38% | 32% | 40% | 39% | 41% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 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
Small-Cap Growth Index Fund
Financial Highlights
Institutional Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $20.04 | $18.37 | $16.46 | $15.18 | $13.09 |
Investment Operations | | | | | |
Net Investment Income | .121 | .125 | .080 | .073 | .048 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (8.126) | 1.669 | 1.910 | 1.270 | 2.080 |
Total from Investment Operations | (8.005) | 1.794 | 1.990 | 1.343 | 2.128 |
Distributions | | | | | |
Dividends from Net Investment Income | (.125) | (.124) | (.080) | (.063) | (.038) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.125) | (.124) | (.080) | (.063) | (.038) |
Net Asset Value, End of Period | $11.91 | $20.04 | $18.37 | $16.46 | $15.18 |
| | | | | |
| | | | | |
Total Return | –39.91% | 9.78% | 12.09% | 8.84% | 16.26% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $511 | $703 | $257 | $73 | $38 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.07% | 0.07% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 0.76% | 0.67% | 0.45% | 0.42% | 0.28% |
Portfolio Turnover Rate1 | 38% | 32% | 40% | 39% | 41% |
1 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
Small-Cap Growth Index Fund
Financial Highlights
ETF Shares | | | | | |
| | | | | |
| | | | | Jan. 26, |
| | | 20041 to |
For a Share Outstanding | Year Ended December 31, | Dec. 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $71.18 | $65.24 | $58.47 | $53.95 | $50.77 |
Investment Operations | | | | | |
Net Investment Income | .411 | .415 | .262 | .200 | .091 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (28.846) | 5.940 | 6.773 | 4.534 | 3.177 |
Total from Investment Operations | (28.435) | 6.355 | 7.035 | 4.734 | 3.268 |
Distributions | | | | | |
Dividends from Net Investment Income | (.425) | (.415) | (.265) | (.214) | (.088) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.425) | (.415) | (.265) | (.214) | (.088) |
Net Asset Value, End of Period | $42.32 | $71.18 | $65.24 | $58.47 | $53.95 |
| | | | | |
| | | | | |
Total Return | –39.92% | 9.74% | 12.03% | 8.77% | 6.44% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $680 | $858 | $518 | $206 | $92 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.11% | 0.11% | 0.12% | 0.12% | 0.22%2 |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 0.72% | 0.63% | 0.41% | 0.37% | 0.15%2 |
Portfolio Turnover Rate3 | 38% | 32% | 40% | 39% | 41% |
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
Small-Cap Growth Index Fund
Notes to Financial Statements
Vanguard Small-Cap Growth 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: Investor Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2005–2008), 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.
41
Small-Cap Growth Index Fund
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $765,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.31% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $440,973,000 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 December 31, 2008, the fund had $328,000 of ordinary income available for distribution. The fund had available realized losses of $970,087,000 to offset future net capital gains of $13,814,000 through December 31, 2011, $15,893,000 through December 31, 2014, $12,561,000 through December 31, 2015, $302,440,000 through December 31, 2016, and $625,379,000 through December 31, 2017.
At December 31, 2008, the cost of investment securities for tax purposes was $4,297,429,000. Net unrealized depreciation of investment securities for tax purposes was $1,127,820,000, consisting of unrealized gains of $135,349,000 on securities that had risen in value since their purchase and $1,263,169,000 in unrealized losses on securities that had fallen in value since their purchase.
42
Small-Cap Growth Index Fund
At December 31, 2008, the aggregate settlement value of open futures contracts expiring in March 2009 and the related unrealized appreciation (depreciation) were:
| | | ($000) |
| Number of | Aggregate | Unrealized |
| Long (Short) | Settlement | Appreciation |
Futures Contracts | Contracts | Value | (Depreciation) |
E-mini Russell 2000 Index | 201 | 10,008 | 551 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the year ended December 31, 2008, the fund purchased $3,227,645,000 of investment securities and sold $2,596,243,000 of investment securities, other than temporary cash investments.
E. Capital share transactions for each class of shares were:
| | | Year Ended December 31, |
| | 2008 | | | 2007 |
| Amount | Shares | | Amount | Shares |
| ($000) | (000) | | ($000) | (000) |
Investor Shares | | | | | |
Issued | 948,611 | 58,907 | | 964,991 | 48,107 |
Issued in Lieu of Cash Distributions | 14,677 | 1,296 | | 12,288 | 626 |
Redeemed | (693,963) | (44,169) | | (555,788) | (27,954) |
Net Increase (Decrease)—Investor Shares | 269,325 | 16,034 | | 421,491 | 20,779 |
Institutional Shares | | | | | |
Issued | 283,248 | 17,034 | | 515,647 | 25,803 |
Issued in Lieu of Cash Distributions | 4,709 | 416 | | 3,957 | 201 |
Redeemed | (158,446) | (9,630) | | (98,537) | (4,882) |
Net Increase (Decrease)—Institutional Shares | 129,511 | 7,820 | | 421,067 | 21,122 |
ETF Shares | | | | | |
Issued | 1,346,817 | 21,705 | | 1,461,000 | 20,320 |
Issued in Lieu of Cash Distributions | — | — | | — | — |
Redeemed | (1,114,112) | (17,700) | | (1,177,034) | (16,200) |
Net Increase (Decrease)—ETF Shares | 232,705 | 4,005 | | 283,966 | 4,120 |
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
43
Small-Cap Growth Index Fund
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 fund’s investments as of December 31, 2008, based on the inputs used to value them:
| Investments | Futures |
| in Securities | Contracts |
Valuation Inputs | ($000) | ($000) |
Level 1—Quoted prices | 3,165,110 | 551 |
Level 2—Other significant observable inputs | 4,499 | — |
Level 3—Significant unobservable inputs | — | — |
Total | 3,169,609 | 551 |
44
Small-Cap Value Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 977 | 977 | 4,593 |
Median Market Cap | $1.0B | $1.0B | $25.3B |
Price/Earnings Ratio | 13.7x | 13.7x | 11.8x |
Price/Book Ratio | 1.0x | 1.0x | 1.7x |
Yield3 | | 3.4% | 2.8% |
Investor Shares | 3.5% | | |
Institutional Shares | 3.7% | | |
ETF Shares | 3.7% | | |
Return on Equity | 11.5% | 11.5% | 20.8% |
Earnings Growth Rate | 8.2% | 8.2% | 17.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 30% | — | — |
Expense Ratio | | | |
(12/31/12007)4 | | — | — |
Investor Shares | 0.22% | | |
Institutional Shares | 0.07% | | |
ETF Shares | 0.11% | | |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) |
| | Target | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 10.1% | 10.1% | 8.9% |
Consumer Staples | 3.8 | 3.8 | 11.2 |
Energy | 4.4 | 4.5 | 12.4 |
Financials | 36.8 | 36.8 | 15.6 |
Health Care | 5.9 | 5.9 | 14.4 |
Industrials | 14.7 | 14.7 | 11.2 |
Information Technology | 8.0 | 7.9 | 15.2 |
Materials | 5.8 | 5.8 | 3.3 |
Telecommunication | | | |
Services | 0.7 | 0.7 | 3.4 |
Utilities | 9.8 | 9.8 | 4.4 |
Volatility Measures5 | |
| Fund Versus | Fund Versus |
| Target Index1 | Broad Index2 |
R-Squared | 1.00 | 0.87 |
Beta | 1.00 | 1.12 |
Ten Largest Holdings6 (% of total net assets) |
| | |
URS Corp. | construction | |
| and engineering | 0.7% |
Aqua America, Inc. | water utilities | 0.6 |
Watson | | |
Pharmaceuticals, Inc. | pharmaceuticals | 0.5 |
UGI Corp. Holding Co. | gas utilities | 0.5 |
Valley National Bancorp | regional banks | 0.5 |
Arthur J. Gallagher & Co. | insurance brokers | 0.5 |
AGL Resources Inc. | gas utilities | 0.5 |
AptarGroup Inc. | metal and | |
| glass containers | 0.5 |
OGE Energy Corp. | multi-utilities | 0.5 |
Realty Income Corp. REIT | retail REITs | 0.5 |
Top Ten | | 5.3% |
Investment Focus
1 MSCI US Small Cap Value Index.
2 Dow Jones Wilshire 5000 Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the expense ratios were 0.23% for Investor Shares, 0.07% for Institutional Shares, and 0.11% for ETF Shares.
5 For an explanation of R-squared, beta, and other terms used here, see the Glossary.
6 The holdings listed exclude any temporary cash investments and equity index products.
45
Small-Cap 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 www.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: December 31, 1998–December 31, 2008
Initial Investment of $10,000
| | | |
| | | | |
| Average Annual Total Returns | Final Value of |
| Periods Ended December 31, 2008 | a $10,000 |
| One Year | Five Years | Ten Years | Investment |
Small-Cap Value Index Fund Investor Shares1 | –32.05% | –0.27% | 5.22% | $16,634 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 9,388 |
Spliced Small Cap Value Index2 | –32.11 | –0.16 | 4.94 | 16,201 |
Average Small-Cap Value Fund3 | –33.45 | –1.23 | 5.79 | 17,559 |
| | | | Final Value of |
| | | Since | a $5,000,000 |
| One Year | Five Years | Inception4 | Investment |
Small-Cap Value Index Fund Institutional Shares | –32.02% | –0.11% | 5.87% | $8,388,871 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –2.46 | 3,990,065 |
Spliced Small Cap Value Index2 | –32.11 | –0.16 | 5.43 | 8,074,426 |
| | | Final Value of |
| | Since | a $10,000 |
| One Year | Inception4 | Investment |
Small-Cap Value Index Fund ETF Shares | | | |
Net Asset Value | –31.99% | –1.22% | $9,415 |
Dow Jones Wilshire 5000 Index | –37.34 | –2.57 | 8,795 |
MSCI US Small Cap Value Index | –32.11 | –1.21 | 9,419 |
1 Total return figures do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter.
3 Derived from data provided by Lipper Inc.
4 Performance for the fund and its comparative standards is calculated since the following inception dates: December 7, 1999, for Institutional Shares, and January 26, 2004, for ETF Shares.
46
Small-Cap Value Index Fund
Cumulative Returns of ETF Shares: January 26, 2004–December 31, 2008 |
| | |
| | Cumulative |
| One Year | Since Inception1 |
Small-Cap Value Index Fund ETF Shares | | |
Market Price | –32.34% | –6.31% |
Small-Cap Value Index Fund ETF Shares | | |
Net Total Returns | –31.99 | –5.85 |
MSCI US Small Cap Value Index | –32.11 | –5.81 |
Fiscal-Year Total Returns (%): December 31, 1998–December 31, 2008
1 Performance for the fund and its comparative standards is calculated since the ETF Shares’ inception date: January 26, 2004.
2 S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter.
Note: See Financial Highlights tables for dividend and capital gains information.
47
Small-Cap Value Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2008
This Statement summarizes the fund’s holdings by asset type (common stocks, bonds, etc.) and by industry sector. 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 provides a complete list of its holdings 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 (www.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 | | | |
| Snap-On Inc. | 441,002 | 17,367 | 0.5% |
† | Consumer Discretionary—Other | | 358,465 | 9.6% |
| | | 375,832 | 10.1% |
Consumer Staples | | | |
| Corn Products International, Inc. | 571,668 | 16,493 | 0.4% |
† | Consumer Staples—Other | | 123,703 | 3.4% |
| | | 140,196 | 3.8% |
| | | | |
†Energy | | 164,775 | 4.4% |
| | | | |
Financials | | | |
| Valley National Bancorp | 983,388 | 19,914 | 0.5% |
| Arthur J. Gallagher & Co. | 716,303 | 18,559 | 0.5% |
| Realty Income Corp. REIT | 778,007 | 18,011 | 0.5% |
| The Hanover Insurance Group Inc. | 391,322 | 16,815 | 0.5% |
| Bank of Hawaii Corp. | 366,660 | 16,562 | 0.4% |
| Senior Housing Properties Trust REIT | 879,003 | 15,752 | 0.4% |
| StanCorp Financial Group, Inc. | 375,288 | 15,676 | 0.4% |
| Aspen Insurance Holdings Ltd. | 642,892 | 15,590 | 0.4% |
| Essex Property Trust, Inc. REIT | 196,276 | 15,064 | 0.4% |
| Alexandria Real Estate Equities, Inc. REIT | 246,481 | 14,873 | 0.4% |
| First Niagara Financial Group, Inc. | 854,418 | 13,816 | 0.4% |
| Platinum Underwriters Holdings, Ltd. | 373,759 | 13,485 | 0.4% |
| Highwood Properties, Inc. REIT | 487,587 | 13,340 | 0.4% |
| BancorpSouth, Inc. | 569,325 | 13,299 | 0.4% |
| Fulton Financial Corp. | 1,340,207 | 12,893 | 0.3% |
* | ProAssurance Corp. | 244,072 | 12,882 | 0.3% |
| FirstMerit Corp. | 620,770 | 12,782 | 0.3% |
| Mack-Cali Realty Corp. REIT | 504,816 | 12,368 | 0.3% |
48
Small-Cap Value Index Fund
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| Allied World Assurance Holdings, Ltd. | 300,730 | 12,210 | 0.3% |
| Corporate Office Properties Trust, Inc. REIT | 390,989 | 12,003 | 0.3% |
† | Financials—Other | | 1,067,872 | 28.9% |
| | | 1,363,766 | 36.7% |
Health Care | | | |
* | Watson Pharmaceuticals, Inc. | 761,946 | 20,245 | 0.6% |
| Teleflex Inc. | 304,505 | 15,256 | 0.4% |
| Universal Health Services Class B | 362,209 | 13,608 | 0.4% |
| PerkinElmer, Inc. | 917,518 | 12,763 | 0.4% |
* | AMERIGROUP Corp. | 407,166 | 12,020 | 0.3% |
† | Health Care—Other | | 146,644 | 3.8% |
| | | 220,536 | 5.9% |
Industrials | | | |
* | URS Corp. | 648,270 | 26,430 | 0.7% |
| Lincoln Electric Holdings, Inc. | 328,942 | 16,753 | 0.5% |
| Kennametal, Inc. | 587,945 | 13,046 | 0.4% |
| The Timken Co. | 629,447 | 12,356 | 0.3% |
| Hubbell Inc. Class B | 375,662 | 12,277 | 0.3% |
† | Industrials—Other | | 463,961 | 12.5% |
| | | 544,823 | 14.7% |
Information Technology | | | |
| Diebold, Inc. | 505,092 | 14,188 | 0.4% |
* | Compuware Corp. | 1,957,096 | 13,210 | 0.4% |
† | Information Technology—Other | | 267,771 | 7.2% |
| | | 295,169 | 8.0% |
Materials | | | |
| AptarGroup Inc. | 521,041 | 18,361 | 0.5% |
| RPM International, Inc. | 991,129 | 13,172 | 0.4% |
| Valspar Corp. | 725,470 | 13,124 | 0.4% |
† | Materials—Other | | 171,543 | 4.5% |
| | | 216,200 | 5.8% |
| | | | |
†Telecommunication Services | | 25,749 | 0.7% |
| | | | |
Utilities | | | |
| Aqua America, Inc. | 1,035,397 | 21,319 | 0.6% |
| UGI Corp. Holding Co. | 826,439 | 20,182 | 0.5% |
| AGL Resources Inc. | 588,588 | 18,452 | 0.5% |
| OGE Energy Corp. | 708,603 | 18,268 | 0.5% |
| Piedmont Natural Gas, Inc. | 563,345 | 17,841 | 0.5% |
| Great Plains Energy, Inc. | 911,774 | 17,625 | 0.5% |
| Westar Energy, Inc. | 830,397 | 17,031 | 0.5% |
| Atmos Energy Corp. | 695,812 | 16,491 | 0.4% |
| Hawaiian Electric Industries Inc. | 692,354 | 15,329 | 0.4% |
| Vectren Corp. | 590,563 | 14,770 | 0.4% |
| New Jersey Resources Corp. | 322,684 | 12,698 | 0.3% |
| WGL Holdings Inc. | 383,129 | 12,524 | 0.3% |
| Nicor Inc. | 346,566 | 12,040 | 0.3% |
† | Utilities—Other | | 150,824 | 4.2% |
| | | 365,394 | 9.9% |
Total Common Stocks (Cost $5,092,340) | | 3,712,440 | 100.0% |
49
Small-Cap Value Index Fund
| | | Market | Percentage |
| | | Value• | of Net |
| Coupon | Shares | ($000) | Assets |
Temporary Cash Investments | | | | |
Money Market Fund (1.5%) | | | | |
1,2 Vanguard Market Liquidity Fund | 1.378% | 56,071,977 | 56,072 | 1.5% |
| | | | |
†U.S. Agency Obligations | | | 4,999 | 0.2% |
Total Temporary Cash Investments (Cost $61,054) | | | 61,071 | 1.7% |
^Total Investments (Cost $5,153,394) | | | 3,773,511 | 101.7% |
Other Assets and Liabilities | | | | |
Other Assets | | | 23,741 | 0.6% |
Liabilities2 | | | (85,320) | (2.3%) |
| | | (61,579) | (1.7%) |
Net Assets | | | 3,711,932 | 100.0% |
At December 31, 2008, net assets consisted of: | |
| Amount |
| ($000) |
Paid-in Capital | 5,931,380 |
Overdistributed Net Investment Income | (4,742) |
Accumulated Net Realized Losses | (834,823) |
Unrealized Appreciation (Depreciation) | (1,379,883) |
Net Assets | 3,711,932 |
| |
| |
Investor Shares—Net Assets | |
Applicable to 238,478,751 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,434,619 |
Net Asset Value Per Share—Investor Shares | $10.21 |
| |
| |
Institutional Shares—Net Assets | |
Applicable to 37,448,418 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 382,902 |
Net Asset Value Per Share—Institutional Shares | $10.22 |
| |
| |
ETF Shares—Net Assets | |
Applicable to 21,007,329 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 894,411 |
Net Asset Value Per Share—ETF Shares | $42.58 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ The total value of securities on loan is $48,045,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $56,072,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
50
Small-Cap Value Index Fund
Statement of Operations
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 103,454 |
Interest1 | 670 |
Security Lending | 9,656 |
Total Income | 113,780 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 164 |
Management and Administrative—Investor Shares | 5,780 |
Management and Administrative—Institutional Shares | 110 |
Management and Administrative—ETF Shares | 573 |
Marketing and Distribution—Investor Shares | 918 |
Marketing and Distribution—Institutional Shares | 115 |
Marketing and Distribution—ETF Shares | 235 |
Custodian Fees | 376 |
Auditing Fees | 29 |
Shareholders’ Reports—Investor Shares | 111 |
Shareholders’ Reports—Institutional Shares | 8 |
Shareholders’ Reports—ETF Shares | 38 |
Trustees’ Fees and Expenses | 8 |
Total Expenses | 8,465 |
Net Investment Income | 105,315 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (143,491) |
Futures Contracts | (15,825) |
Realized Net Gain (Loss) | (159,316) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (1,598,920) |
Futures Contracts | 152 |
Change in Unrealized Appreciation (Depreciation) | (1,598,768) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,652,769) |
1 Interest income from an affiliated company of the fund was $527,000.
See accompanying Notes, which are an integral part of the Financial Statements.
51
Small-Cap Value Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 105,315 | 109,442 |
Realized Net Gain (Loss) | (159,316) | 225,806 |
Change in Unrealized Appreciation (Depreciation) | (1,598,768) | (701,819) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,652,769) | (366,571) |
Distributions | | |
Net Investment Income | | |
Investor Shares | (68,805) | (82,480) |
Institutional Shares | (11,527) | (10,317) |
ETF Shares | (26,694) | (19,320) |
Realized Capital Gain | | |
Investor Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (107,026) | (112,117) |
Capital Share Transactions | | |
Investor Shares | (2,691) | (275,469) |
Institutional Shares | 140,295 | 168,165 |
ETF Shares | 407,664 | 378,127 |
Net Increase (Decrease) from Capital Share Transactions | 545,268 | 270,823 |
Total Increase (Decrease) | (1,214,527) | (207,865) |
Net Assets | | |
Beginning of Period | 4,926,459 | 5,134,324 |
End of Period1 | 3,711,932 | 4,926,459 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($4,742,000) and ($3,031,000).
See accompanying Notes, which are an integral part of the Financial Statements.
52
Small-Cap Value Index Fund
Financial Highlights
Investor Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $15.49 | $17.05 | $14.56 | $13.97 | $11.49 |
Investment Operations | | | | | |
Net Investment Income | .293 | .344 | .311 | .263 | .227 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (5.277) | (1.551) | 2.488 | .589 | 2.478 |
Total from Investment Operations | (4.984) | (1.207) | 2.799 | .852 | 2.705 |
Distributions | | | | | |
Dividends from Net Investment Income | (.296) | (.353) | (.309) | (.262) | (.225) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.296) | (.353) | (.309) | (.262) | (.225) |
Net Asset Value, End of Period | $10.21 | $15.49 | $17.05 | $14.56 | $13.97 |
| | | | | |
| | | | | |
Total Return1 | –32.05% | –7.07% | 19.24% | 6.07% | 23.55% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $2,435 | $3,678 | $4,314 | $3,446 | $2,947 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.23% | 0.22% | 0.23% | 0.23% | 0.23% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 2.33% | 1.95% | 2.06% | 1.96% | 2.15% |
Portfolio Turnover Rate2 | 30% | 34% | 25% | 28% | 30% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
53
Small-Cap Value Index Fund
Financial Highlights
Institutional Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $15.53 | $17.09 | $14.59 | $13.99 | $11.50 |
Investment Operations | | | | | |
Net Investment Income | .315 | .372 | .345 | .294 | .255 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (5.307) | (1.551) | 2.488 | .589 | 2.478 |
Total from Investment Operations | (4.992) | (1.179) | 2.833 | .883 | 2.733 |
Distributions | | | | | |
Dividends from Net Investment Income | (.318) | (.381) | (.333) | (.283) | (.243) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.318) | (.381) | (.333) | (.283) | (.243) |
Net Asset Value, End of Period | $10.22 | $15.53 | $17.09 | $14.59 | $13.99 |
| | | | | |
| | | | | |
Total Return | –32.02% | –6.89% | 19.44% | 6.28% | 23.77% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $383 | $430 | $310 | $247 | $153 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.07% | 0.07% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 2.49% | 2.10% | 2.21% | 2.11% | 2.29% |
Portfolio Turnover Rate1 | 30% | 34% | 25% | 28% | 30% |
1 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
Small-Cap Value Index Fund
Financial Highlights
ETF Shares | | | | | |
| | | | | |
| | | | | Jan. 26, |
| | | 20041 to |
For a Share Outstanding | Year Ended December 31, | Dec. 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $64.65 | $71.16 | $60.76 | $58.31 | $50.53 |
Investment Operations | | | | | |
Net Investment Income | 1.296 | 1.531 | 1.380 | 1.174 | .930 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (22.053) | (6.474) | 10.391 | 2.443 | 7.818 |
Total from Investment Operations | (20.757) | (4.943) | 11.771 | 3.617 | 8.748 |
Distributions | | | | | |
Dividends from Net Investment Income | (1.313) | (1.567) | (1.371) | (1.167) | (.968) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.313) | (1.567) | (1.371) | (1.167) | (.968) |
Net Asset Value, End of Period | $42.58 | $64.65 | $71.16 | $60.76 | $58.31 |
| | | | | |
| | | | | |
Total Return | –31.99% | –6.96% | 19.40% | 6.20% | 17.34% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $894 | $819 | $510 | $188 | $47 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.11% | 0.11% | 0.12% | 0.12% | 0.22%2 |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 2.45% | 2.06% | 2.17% | 2.07% | 2.16%2 |
Portfolio Turnover Rate3 | 30% | 34% | 25% | 28% | 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.
55
Small-Cap Value Index Fund
Notes to Financial Statements
Vanguard Small-Cap Value 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: Investor Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2005–2008), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
56
Small-Cap Value Index Fund
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $939,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 0.38% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $371,629,000 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 December 31, 2008, the fund had $2,352,000 of ordinary income available for distribution. The fund had available realized losses of $793,035,000 to offset future net capital gains of $67,032,000 through December 31, 2011, $86,085,000 through December 31, 2015, $318,931,000 through December 31, 2016, and $320,987,000 through December 31, 2017.
At December 31, 2008, the cost of investment securities for tax purposes was $5,194,140,000. Net unrealized depreciation of investment securities for tax purposes was $1,420,629,000, consisting of unrealized gains of $191,939,000 on securities that had risen in value since their purchase and $1,612,568,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the year ended December 31, 2008, the fund purchased $2,947,827,000 of investment securities and sold $2,389,501,000 of investment securities, other than temporary cash investments.
57
Small-Cap Value Index Fund
E. Capital share transactions for each class of shares were:
| Year Ended December 31, |
| | 2008 | | | 2007 |
| Amount | Shares | | Amount | Shares |
| ($000) | (000) | | ($000) | (000) |
Investor Shares | | | | | |
Issued | 848,310 | 64,696 | | 998,369 | 58,420 |
Issued in Lieu of Cash Distributions | 63,599 | 6,620 | | 76,259 | 4,934 |
Redeemed | (914,600) | (70,180) | | (1,350,097) | (79,017) |
Net Increase (Decrease)—Investor Shares | (2,691) | 1,136 | | (275,469) | (15,663) |
Institutional Shares | | | | | |
Issued | 297,675 | 21,816 | | 375,146 | 21,639 |
Issued in Lieu of Cash Distributions | 9,355 | 976 | | 7,755 | 500 |
Redeemed | (166,735) | (13,010) | | (214,736) | (12,598) |
Net Increase (Decrease)—Institutional Shares | 140,295 | 9,782 | | 168,165 | 9,541 |
ETF Shares | | | | | |
Issued | 1,476,368 | 26,734 | | 1,589,273 | 22,302 |
Issued in Lieu of Cash Distributions | — | — | | — | — |
Redeemed | (1,068,704) | (18,400) | | (1,211,146) | (16,800) |
Net Increase (Decrease)—ETF Shares | 407,664 | 8,334 | | 378,127 | 5,502 |
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 fund’s investments as of December 31, 2008, based on the inputs used to value them:
| Investments |
| in Securities |
Valuation Inputs | ($000) |
Level 1—Quoted prices | 3,768,512 |
Level 2—Other significant observable inputs | 4,999 |
Level 3—Significant unobservable inputs | — |
Total | 3,773,511 |
58
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value 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 Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) at December 31, 2008, 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 December 31, 2008 by correspondence with the custodian and broker, and by agreement to the underlying ownership records for Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2009
59
Special 2008 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Small-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2008, 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) |
Small-Cap | 143,317 |
Small-Cap Growth | 19,264 |
Small-Cap Value | 76,801 |
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 |
Small-Cap | 65.3% |
Small-Cap Growth | 67.9 |
Small-Cap Value | 69.5 |
60
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. (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 Investor 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: Vanguard U.S. Stock Index Funds—Small Capitalization Portfolios |
Periods Ended December 31, 2008 | | | |
| One | Five | Ten |
| Year | Years | Years |
Vanguard Small-Cap Index Fund Investor Shares1 | | | |
Returns Before Taxes | –36.07% | –0.76% | 3.31% |
Returns After Taxes on Distributions | –36.35 | –1.02 | 2.44 |
Returns After Taxes on Distributions and Sale of Fund Shares | –23.29 | –0.68 | 2.50 |
| | | |
| | | |
Small-Cap Growth Index Fund Investor Shares1 | | | |
Returns Before Taxes | –40.00% | –1.48% | 3.08% |
Returns After Taxes on Distributions | –40.11 | –1.55 | 2.86 |
Returns After Taxes on Distributions and Sale of Fund Shares | –25.93 | –1.25 | 2.57 |
| | | |
| | | |
Small-Cap Value Index Fund Investor Shares1 | | | |
Returns Before Taxes | –32.05% | –0.27% | 5.22% |
Returns After Taxes on Distributions | –32.47 | –0.70 | 4.07 |
Returns After Taxes on Distributions and Sale of Fund Shares | –20.58 | –0.28 | 3.91 |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
61
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 the account service fee described in the prospectus. If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it 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 funds’ 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.
62
Six Months Ended December 31, 2008 | | | |
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
| 6/30/2008 | 12/31/2008 | Period1 |
Based on Actual Fund Return | | | |
Small-Cap Index Fund | | | |
Investor Shares | $1,000.00 | $696.57 | $1.03 |
Admiral Shares | 1,000.00 | 696.80 | 0.56 |
Signal Shares | 1,000.00 | 696.90 | 0.56 |
Institutional Shares | 1,000.00 | 697.07 | 0.30 |
ETF Shares | 1,000.00 | 697.05 | 0.43 |
Small-Cap Growth Index Fund | | | |
Investor Shares | $1,000.00 | $641.20 | $0.99 |
Institutional Shares | 1,000.00 | 641.73 | 0.29 |
ETF Shares | 1,000.00 | 641.74 | 0.46 |
Small-Cap Value Index Fund | | | |
Investor Shares | $1,000.00 | $755.56 | $1.06 |
Institutional Shares | 1,000.00 | 755.72 | 0.31 |
ETF Shares | 1,000.00 | 755.93 | 0.49 |
Based on Hypothetical 5% Yearly Return | | | |
Small-Cap Index Fund | | | |
Investor Shares | $1,000.00 | $1,024.00 | $1.22 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.66 |
Signal Shares | 1,000.00 | 1,024.55 | 0.66 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
ETF Shares | 1,000.00 | 1,024.70 | 0.51 |
Small-Cap Growth Index Fund | | | |
Investor Shares | $1,000.00 | $1,024.00 | $1.22 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
ETF Shares | 1,000.00 | 1,024.65 | 0.56 |
Small-Cap Value Index Fund | | | |
Investor Shares | $1,000.00 | $1,024.00 | $1.22 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
ETF Shares | 1,000.00 | 1,024.65 | 0.56 |
1 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: 0.24% for the Small-Cap Index Fund Investor Shares, 0.13% for Admiral Shares, 0.13% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares; 0.24% for the Small-Cap Growth Index Fund Investor Shares, 0.07% for Institutional Shares, and 0.11% for ETF Shares; 0.24% for the Small-Cap Value Index Fund Investor Shares, 0.07% for Institutional Shares, and 0.11% 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.
63
Glossary
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.
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. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Foreign Holdings. The percentage of a fund represented by stocks 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.
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.
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.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
64
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.
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 (in the case of bonds) 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.
65
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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 155 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 www.vanguard.com.
Chairman of the Board and Interested Trustee
John J. Brennan1
Born 1954. Trustee Since May 1987. Chairman of the Board. Principal Occupation(s) During the Past Five Years: Chairman of the Board and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group; Chief Executive Officer and President of The Vanguard Group and of each of the investment companies served by The Vanguard Group (1996–2008).
Independent Trustees
Charles D. Ellis
Born 1937. Trustee Since January 2001. Principal Occupation(s) During the Past Five Years: Applecore Partners (pro bono ventures in education); Senior Advisor to Greenwich Associates (international business strategy consulting); Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research.
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years: Retired Executive Chief Staff and Marketing Officer for North America and Corporate Vice President of Xerox Corporation (photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), of the United Way of Rochester, and of the Boy Scouts of America.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years: Chairman, President, and Chief Executive Officer of Rohm and Haas Co. (chemicals); Board Member of the American Chemistry Council; Director of Tyco International, Ltd. (diversified manufacturing and services), since 2005.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal
Occupation(s) During the Past Five Years: President of the University of Pennsylvania since 2004; Professor in the School of Arts and Sciences, Annenberg School for Communication, and Graduate School of Education of the University of Pennsylvania since 2004; Provost (2001–2004) and Laurance S. Rockefeller Professor of Politics and the University Center for Human Values (1990–2004), Princeton University; Director of Carnegie Corporation of New York since 2005 and of Schuylkill River Development Corporation and Greater Philadelphia Chamber of Commerce since 2004; Trustee of the National Constitution Center
since 2007.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years: Retired Corporate Vice President, Chief Global Diversity Officer, and Member of the Executive Committee of Johnson & Johnson (pharmaceuticals/consumer products); Vice President and Chief Information Officer (1997–2005) of Johnson & Johnson; Director of the University Medical Center at Princeton and Women’s Research and Education Institute.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance and Banking, Senior Associate Dean, and Director of Faculty Recruiting, Harvard Business School; Director and Chairman of UNX, Inc. (equities trading firm); Chair of the Investment Committee of HighVista Strategies LLC (private investment firm) since 2005.
Alfred M. Rankin, Jr.
Born 1941. Trustee Since January 1993. Principal Occupation(s) During the Past Five Years: Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/ lignite); Director of Goodrich Corporation (industrial products/aircraft systems and services).
J. Lawrence Wilson
Born 1936. Trustee Since April 1985. Principal Occupation(s) During the Past Five Years: Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines) and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University and of Culver Educational Foundation.
Executive Officers
Thomas J. Higgins1
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group since 2008; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Kathryn J. Hyatt1
Born 1955. Treasurer Since November 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group since 2008; Assistant Treasurer of each of the investment companies served by The Vanguard Group (1988–2008).
F. William McNabb III1
Born 1957. Chief Executive Officer Since August 2008. President Since March 2008. Principal Occupation(s) During the Past Five Years: Chief Executive Officer, Director, and President of The Vanguard Group, Inc., since 2008; Chief Executive Officer and President of each of the investment companies served by The Vanguard Group since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
Heidi Stam1
Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years: Managing Director of The Vanguard Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2005; Director and Senior Vice President of Vanguard Marketing Corporation since 2005; Principal of The Vanguard Group (1997–2006).
Vanguard Senior Management Team |
| |
| |
R. Gregory Barton | James M. Norris |
Mortimer J. Buckley | Ralph K. Packard |
Kathleen C. Gubanich | Glenn W. Reed |
Paul A. Heller | George U. Sauter |
Michael S. Miller | |
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
1 These individuals are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600
Valley Forge, PA 19482-2600
Connect with Vanguard® > www.vanguard.com
Fund Information > 800-662-7447 | All comparative mutual fund data are from Lipper Inc. |
| or Morningstar, Inc., unless otherwise noted. |
Direct Investor Account Services > 800-662-2739 | |
| You can obtain a free copy of Vanguard’s proxy voting |
Institutional Investor Services > 800-523-1036 | guidelines by visiting our website, www.vanguard.com, |
| and searching for “proxy voting guidelines,” or by |
Text Telephone for People | calling Vanguard at 800-662-2739. The guidelines are |
With Hearing Impairment > 800-952-3335 | also available from the SEC’s website, www.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 |
This material may be used in conjunction | either www.vanguard.com or www.sec.gov. |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
| |
| 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 |
The funds or securities referred to herein are not | at 202-551-8090. Information about your fund is also |
sponsored, endorsed, or promoted by MSCI, and MSCI | available on the SEC’s website, and you can receive |
bears no liability with respect to any such funds or | copies of this information, for a fee, by sending a |
securities. For any such funds or securities, the | request in either of two ways: via e-mail addressed to |
prospectus or the Statement of Additional Information | publicinfo@sec.gov or via regular mail addressed to the |
contains a more detailed description of the limited | Public Reference Section, Securities and Exchange |
relationship MSCI has with The Vanguard Group and | Commission, Washington, DC 20549-0102. |
any related funds. | |
| |
Russell is a trademark of The Frank Russell Company. | |
| |
Standard & Poor’s® and S&P ® are trademarks of | |
The McGraw-Hill Companies, Inc., and have been | |
licensed for use by The Vanguard Group, Inc. Vanguard | |
mutual funds are not sponsored, endorsed, sold, or | |
promoted by Standard & Poor’s, and Standard & Poor’s | |
makes no representation regarding the advisability of | |
investing in the funds. | |
| © 2009 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| Q480 022009 |
Vanguard® Small-Cap Index Fund |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
Common Stocks (98.8%)1 | | |
Consumer Discretionary (12.0%) | | |
| Strayer Education, Inc. | 152,064 | 32,604 |
| Snap-On Inc. | 612,031 | 24,102 |
| Wendy’s/Arby’s Group, Inc. | 4,254,149 | 21,015 |
* | DreamWorks Animation SKG, Inc. | 729,658 | 18,431 |
* | Career Education Corp. | 955,026 | 17,133 |
| John Wiley & Sons Class A | 473,257 | 16,838 |
* | Marvel Entertainment, Inc. | 543,002 | 16,697 |
*,^ | Panera Bread Co. | 309,674 | 16,177 |
*,^ | Netflix.com, Inc. | 518,832 | 15,508 |
* | LKQ Corp. | 1,300,183 | 15,160 |
| Tupperware Brands Corp. | 662,037 | 15,028 |
* | Corinthian Colleges, Inc. | 910,034 | 14,897 |
* | WMS Industries, Inc. | 534,413 | 14,376 |
| Service Corp. International | 2,739,944 | 13,618 |
| Gentex Corp. | 1,512,606 | 13,356 |
* | Jack in the Box Inc. | 604,364 | 13,350 |
* | Scientific Games Corp. | 742,055 | 13,016 |
* | Dick’s Sporting Goods, Inc. | 910,604 | 12,849 |
* | Hanesbrands Inc. | 999,334 | 12,742 |
* | Tractor Supply Co. | 349,479 | 12,630 |
* | Big Lots Inc. | 870,065 | 12,607 |
* | Bally Technologies Inc. | 523,975 | 12,591 |
* | Rent-A-Center, Inc. | 710,898 | 12,547 |
| Aaron Rents, Inc. | 455,753 | 12,132 |
| Matthews International Corp. | 329,472 | 12,085 |
| MDC Holdings, Inc. | 395,328 | 11,978 |
* | Carter’s, Inc. | 598,833 | 11,534 |
* | Aeropostale, Inc. | 713,516 | 11,488 |
| Hillenbrand Inc. | 665,710 | 11,104 |
| Choice Hotels International, Inc. | 368,542 | 11,078 |
| Phillips-Van Heusen Corp. | 548,456 | 11,040 |
| Wolverine World Wide, Inc. | 522,326 | 10,990 |
* | Chipotle Mexican Grill, Inc. Class B | 187,380 | 10,735 |
* | Deckers Outdoor Corp. | 132,244 | 10,562 |
* | Brink’s Home Security Holdings, Inc. | 480,258 | 10,527 |
^ | Polaris Industries, Inc. | 346,411 | 9,925 |
| Interactive Data Corp. | 399,407 | 9,849 |
* | The Warnaco Group, Inc. | 491,018 | 9,639 |
*,^ | Chipotle Mexican Grill, Inc. | 155,369 | 9,630 |
| Pool Corp. | 509,739 | 9,160 |
* | Office Depot, Inc. | 2,926,604 | 8,721 |
| International Speedway Corp. | 300,827 | 8,643 |
| Regal Entertainment Group Class A | 831,291 | 8,487 |
* | Jarden Corp. | 734,764 | 8,450 |
* | Fossil, Inc. | 505,526 | 8,442 |
| Ryland Group, Inc. | 454,912 | 8,038 |
* | The Gymboree Corp. | 307,424 | 8,021 |
* | Collective Brands, Inc. | 679,948 | 7,969 |
* | Chico’s FAS, Inc. | 1,883,901 | 7,875 |
* | Capella Education Co. | 132,884 | 7,808 |
*,^ | Vail Resorts Inc. | 285,785 | 7,602 |
*,^ | Under Armour, Inc. | 312,365 | 7,447 |
* | Sonic Corp. | 610,215 | 7,426 |
| Men’s Wearhouse, Inc. | 523,363 | 7,086 |
* | Lions Gate Entertainment Corp. | 1,249,041 | 6,870 |
| Bob Evans Farms, Inc. | 328,278 | 6,707 |
* | The Cheesecake Factory Inc. | 654,707 | 6,613 |
| Meredith Corp. | 383,584 | 6,567 |
*,^ | Saks Inc. | 1,452,303 | 6,361 |
| Sotheby’s | 715,407 | 6,360 |
| Regis Corp. | 435,204 | 6,324 |
| OfficeMax, Inc. | 808,839 | 6,180 |
* | Morningstar, Inc. | 173,011 | 6,142 |
Page 1
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Barnes & Noble, Inc. | 408,626 | 6,129 |
| Callaway Golf Co. | 655,384 | 6,089 |
* | Coinstar, Inc. | 300,641 | 5,866 |
* | CEC Entertainment Inc. | 241,015 | 5,845 |
* | Timberland Co. | 501,922 | 5,797 |
* | The Children’s Place Retail Stores, Inc. | 264,903 | 5,743 |
* | JAKKS Pacific, Inc. | 277,076 | 5,716 |
* | 99 Cents Only Stores | 521,822 | 5,704 |
* | The Dress Barn, Inc. | 512,997 | 5,510 |
* | American Public Education, Inc. | 147,423 | 5,483 |
* | Iconix Brand Group Inc. | 553,427 | 5,413 |
^ | Tempur-Pedic International Inc. | 758,405 | 5,377 |
| The Buckle, Inc. | 244,752 | 5,340 |
*,^ | P.F. Chang’s China Bistro, Inc. | 253,620 | 5,311 |
* | Helen of Troy Ltd. | 305,183 | 5,298 |
* | Liberty Media Corp.-Capital Series A | 1,122,476 | 5,287 |
* | J. Crew Group, Inc. | 431,241 | 5,261 |
^ | Columbia Sportswear Co. | 147,759 | 5,226 |
| Jones Apparel Group, Inc. | 888,267 | 5,205 |
*,^ | Jos. A. Bank Clothiers, Inc. | 194,117 | 5,076 |
| Thor Industries, Inc. | 384,694 | 5,070 |
* | Sally Beauty Co. Inc. | 868,503 | 4,942 |
* | Pinnacle Entertainment, Inc. | 640,581 | 4,920 |
* | Steiner Leisure Ltd. | 164,771 | 4,864 |
| Cracker Barrel Old Country Store Inc. | 235,946 | 4,858 |
| Jackson Hewitt Tax Service Inc. | 305,462 | 4,793 |
* | Hibbett Sports Inc. | 302,609 | 4,754 |
* | Gaylord Entertainment Co. | 435,120 | 4,717 |
| Scholastic Corp. | 347,285 | 4,716 |
*,^ | Life Time Fitness, Inc. | 359,329 | 4,653 |
* | Skechers U.S.A., Inc. | 355,076 | 4,552 |
| National CineMedia Inc. | 448,810 | 4,551 |
| Monro Muffler Brake, Inc. | 177,509 | 4,526 |
| Cato Corp. Class A | 296,184 | 4,472 |
* | PetMed Express, Inc. | 252,265 | 4,447 |
* | Live Nation, Inc. | 768,688 | 4,412 |
* | Papa John’s International, Inc. | 239,174 | 4,408 |
* | Texas Roadhouse, Inc. | 568,587 | 4,407 |
*,^ | Buffalo Wild Wings Inc. | 170,736 | 4,379 |
* | Fuel Systems Solutions, Inc. | 133,521 | 4,374 |
| CKE Restaurants Inc. | 502,944 | 4,366 |
| NutriSystem, Inc. | 298,902 | 4,361 |
| Fred’s, Inc. | 404,851 | 4,356 |
* | Hot Topic, Inc. | 466,241 | 4,322 |
| UniFirst Corp. | 145,393 | 4,317 |
* | Exide Technologies | 804,708 | 4,257 |
| Ethan Allen Interiors, Inc. | 290,460 | 4,174 |
| Orient-Express Hotel Ltd. | 542,564 | 4,156 |
| Churchill Downs, Inc. | 102,291 | 4,135 |
* | Jo-Ann Stores, Inc. | 257,449 | 3,988 |
| Brunswick Corp. | 934,419 | 3,934 |
* | Universal Technical Institute Inc. | 227,235 | 3,902 |
| Arbitron Inc. | 282,423 | 3,751 |
| Cooper Tire & Rubber Co. | 598,047 | 3,684 |
| American Greetings Corp. Class A | 482,913 | 3,656 |
| Brown Shoe Co., Inc. | 429,762 | 3,640 |
| National Presto Industries, Inc. | 47,273 | 3,640 |
* | Steven Madden, Ltd. | 169,821 | 3,621 |
| The Marcus Corp. | 220,788 | 3,583 |
* | Meritage Corp. | 293,047 | 3,566 |
| Penske Automotive Group Inc. | 458,162 | 3,519 |
* | Pre-Paid Legal Services, Inc. | 94,350 | 3,518 |
* | AnnTaylor Stores Corp. | 607,393 | 3,505 |
| Genesco, Inc. | 204,702 | 3,464 |
*,^ | Blue Nile Inc. | 139,523 | 3,417 |
| Stage Stores, Inc. | 409,118 | 3,375 |
Page 2
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Peet’s Coffee & Tea Inc. | 144,347 | 3,356 |
* | thinkorswim Group, Inc. | 597,018 | 3,355 |
| K-Swiss, Inc. | 284,998 | 3,249 |
* | Ascent Media Corp. | 142,861 | 3,120 |
* | HSN, Inc. | 416,278 | 3,026 |
| Finish Line, Inc. | 531,988 | 2,979 |
* | Charming Shoppes, Inc. | 1,210,463 | 2,954 |
*,^ | True Religion Apparel, Inc. | 233,713 | 2,907 |
^ | Boyd Gaming Corp. | 610,664 | 2,888 |
* | Red Robin Gourmet Burgers, Inc. | 170,221 | 2,865 |
* | Shuffle Master, Inc. | 561,190 | 2,784 |
* | The Wet Seal, Inc. Class A | 922,603 | 2,740 |
| Harte-Hanks, Inc. | 438,787 | 2,738 |
| Stewart Enterprises, Inc. Class A | 902,761 | 2,717 |
*,^ | Cabela’s Inc. | 461,092 | 2,688 |
* | Ticketmaster Entertainment Inc. | 417,396 | 2,680 |
* | California Pizza Kitchen, Inc. | 249,200 | 2,671 |
| Group 1 Automotive, Inc. | 247,056 | 2,661 |
| Liz Claiborne, Inc. | 1,014,612 | 2,638 |
| Speedway Motorsports, Inc. | 162,742 | 2,622 |
| Weyco Group, Inc. | 79,179 | 2,617 |
| World Wrestling Entertainment, Inc. | 236,134 | 2,616 |
| Cinemark Holdings Inc. | 344,569 | 2,560 |
| Superior Industries International, Inc. | 242,888 | 2,555 |
| Dillard’s Inc. | 641,479 | 2,547 |
* | Drew Industries, Inc. | 208,483 | 2,502 |
* | Quiksilver, Inc. | 1,352,017 | 2,488 |
* | Universal Electronics, Inc. | 147,863 | 2,398 |
| Ameristar Casinos, Inc. | 272,682 | 2,356 |
* | RCN Corp. | 397,465 | 2,345 |
* | Standard Pacific Corp. | 1,315,762 | 2,342 |
*,^ | Lululemon Athletica, Inc. | 289,299 | 2,294 |
| The Pep Boys (Manny, Moe & Jack) | 549,249 | 2,268 |
* | Interval Leisure Group, Inc. | 412,710 | 2,225 |
* | Core-Mark Holding Co., Inc. | 101,201 | 2,178 |
* | Domino’s Pizza, Inc. | 458,743 | 2,161 |
* | TRW Automotive Holdings Corp. | 593,237 | 2,136 |
| bebe stores, inc. | 285,422 | 2,132 |
| Blyth, Inc. | 271,773 | 2,131 |
| ArvinMeritor, Inc. | 742,203 | 2,115 |
| Christopher & Banks Corp. | 375,299 | 2,102 |
* | Denny’s Corp. | 1,020,029 | 2,030 |
* | Ulta Salon, Cosmetics & Fragrance, Inc. | 243,267 | 2,014 |
* | BJ’s Restaurants Inc. | 183,864 | 1,980 |
^ | DineEquity, Inc. | 169,032 | 1,954 |
* | K12 Inc. | 104,177 | 1,953 |
* | RC2 Corp. | 181,649 | 1,938 |
* | Coldwater Creek Inc. | 675,946 | 1,926 |
* | Mediacom Communications Corp. | 431,112 | 1,854 |
*,^ | Volcom, Inc. | 169,739 | 1,850 |
*,^ | DSW Inc. Class A | 148,048 | 1,845 |
*,^ | Overstock.com, Inc. | 170,422 | 1,837 |
| Movado Group, Inc. | 191,006 | 1,794 |
| Winnebago Industries, Inc. | 295,522 | 1,782 |
| Sinclair Broadcast Group, Inc. | 570,365 | 1,768 |
* | Stamps.com Inc. | 176,960 | 1,740 |
| CKX, Inc. | 463,531 | 1,701 |
| Systemax Inc. | 157,183 | 1,693 |
^ | Hearst-Argyle Television Inc. | 278,784 | 1,689 |
* | Knology, Inc. | 324,803 | 1,676 |
* | Steak n Shake Co. | 273,261 | 1,626 |
* | Dolan Media Co. | 246,227 | 1,623 |
| Fisher Communications, Inc. | 78,580 | 1,622 |
| Modine Manufacturing Co. | 329,261 | 1,603 |
| Ambassadors Group, Inc. | 170,739 | 1,571 |
* | Orbitz Worldwide, Inc. | 402,366 | 1,561 |
Page 3
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Citi Trends Inc. | 105,719 | 1,556 |
*,^ | iRobot Corp. | 172,175 | 1,555 |
* | Cox Radio, Inc. | 258,524 | 1,554 |
| Asbury Automotive Group, Inc. | 338,021 | 1,545 |
* | Zumiez Inc. | 203,141 | 1,513 |
* | hhgregg, Inc. | 174,060 | 1,511 |
| Belo Corp. Class A | 937,360 | 1,462 |
* | Tenneco Automotive, Inc. | 493,643 | 1,456 |
* | Unifi, Inc. | 515,507 | 1,454 |
| American Axle & Manufacturing Holdings, Inc. | 498,203 | 1,440 |
* | Charlotte Russe Holding Inc. | 221,556 | 1,438 |
| M/I Homes, Inc. | 136,019 | 1,434 |
*,^ | Blockbuster Inc. Class A | 1,124,839 | 1,417 |
| Landry’s Restaurants, Inc. | 119,877 | 1,391 |
*,^ | Morgans Hotel Group | 297,391 | 1,386 |
*,^ | Raser Technologies, Inc. | 362,542 | 1,352 |
| CSS Industries, Inc. | 75,014 | 1,331 |
| Oxford Industries, Inc. | 151,605 | 1,330 |
* | Leapfrog Enterprises, Inc. | 361,205 | 1,264 |
*,^ | Zale Corp. | 375,999 | 1,252 |
* | AFC Enterprises, Inc. | 266,330 | 1,249 |
| Warner Music Group Corp. | 406,688 | 1,228 |
^ | Sealy Corp. | 488,193 | 1,225 |
* | Shutterfly, Inc. | 172,732 | 1,207 |
* | Monarch Casino & Resort, Inc. | 102,910 | 1,199 |
| Sonic Automotive, Inc. | 299,255 | 1,191 |
* | Lumber Liquidators, Inc. | 112,742 | 1,191 |
| La-Z-Boy Inc. | 542,821 | 1,178 |
* | Pacific Sunwear of California, Inc. | 732,962 | 1,165 |
* | RHI Entertainment, Inc. | 142,677 | 1,159 |
| Big 5 Sporting Goods Corp. | 217,400 | 1,133 |
* | Tween Brands, Inc. | 261,999 | 1,132 |
| Furniture Brands International Inc. | 495,212 | 1,094 |
* | 1-800-FLOWERS.COM, Inc. | 280,924 | 1,073 |
* | Retail Ventures, Inc. | 309,097 | 1,073 |
| Journal Communications, Inc. | 425,842 | 1,043 |
*,^ | Crocs, Inc. | 834,803 | 1,035 |
*,^ | Krispy Kreme Doughnuts, Inc. | 595,202 | 1,000 |
* | Lear Corp. | 690,912 | 974 |
* | Hovnanian Enterprises Inc. Class A | 556,120 | 957 |
*,^ | Smith & Wesson Holding Corp. | 419,637 | 953 |
*,^ | Conn’s, Inc. | 105,794 | 897 |
* | Ruby Tuesday, Inc. | 560,908 | 875 |
* | Entravision Communications Corp. | 538,435 | 840 |
* | Build-A-Bear-Workshop, Inc. | 165,734 | 805 |
* | Dana Holding Corp. | 1,054,695 | 780 |
* | Gaiam, Inc. | 168,243 | 777 |
| Marine Products Corp. | 135,543 | 762 |
* | Lincoln Educational Services | 53,766 | 712 |
| Kenneth Cole Productions, Inc. | 99,727 | 706 |
*,^ | Martha Stewart Living Omnimedia, Inc. | 264,527 | 688 |
| E.W. Scripps Co. Class A | 309,349 | 684 |
*,^ | American Apparel, Inc. | 338,078 | 673 |
* | Valassis Communications, Inc. | 505,534 | 667 |
* | New York & Co., Inc. | 282,111 | 654 |
^ | Talbots Inc. | 264,357 | 632 |
*,^ | Beazer Homes USA, Inc. | 394,655 | 624 |
*,^ | Isle of Capri Casinos, Inc. | 179,617 | 575 |
^ | Brookfield Homes Corp. | 126,271 | 545 |
* | Blockbuster Inc. Class B | 799,063 | 519 |
^ | The McClatchy Co. Class A | 614,132 | 491 |
* | Visteon Corp. | 1,387,323 | 486 |
| Dover Downs Gaming & Entertainment, Inc. | 148,340 | 472 |
| O’Charley’s Inc. | 233,233 | 466 |
*,^ | Champion Enterprises, Inc. | 815,839 | 457 |
*,^ | Crown Media Holdings, Inc. | 156,969 | 447 |
Page 4
Vanguard® Small-Cap Index Fund | | | |
Schedule of Investments | | | |
December 31, 2008 | | | |
| | | Market | |
| | | Value | |
| | Shares | ($000) | |
* | MTR Gaming Group Inc. | 245,068 | 412 | |
* | Town Sports International Holdings, Inc. | 125,151 | 399 | |
| Entercom Communications Corp. | 313,959 | 386 | |
^ | Media General, Inc. Class A | 211,495 | 370 | |
* | Pier 1 Imports Inc. | 938,325 | 347 | |
* | Charter Communications, Inc. | 4,091,259 | 335 | |
* | Stein Mart, Inc. | 290,767 | 329 | |
* | Lin TV Corp. | 291,997 | 318 | |
| Borders Group, Inc. | 638,929 | 256 | |
^ | Lee Enterprises, Inc. | 408,469 | 167 | |
| | | 1,247,554 | |
Consumer Staples (3.5%) | | |
| Corn Products International, Inc. | 793,409 | 22,890 | |
| Alberto-Culver Co. | 933,009 | 22,868 | |
| Flowers Foods, Inc. | 903,053 | 21,998 | |
* | BJ’s Wholesale Club, Inc. | 639,831 | 21,921 | |
| Del Monte Foods Co. | 2,103,072 | 15,016 | |
*,^ | Chattem, Inc. | 169,790 | 12,145 | |
| Casey’s General Stores, Inc. | 514,244 | 11,709 | |
| Ruddick Corp. | 412,078 | 11,394 | |
| Herbalife Ltd. | 509,284 | 11,041 | |
* | Winn-Dixie Stores, Inc. | 578,619 | 9,316 | |
* | NBTY, Inc. | 585,241 | 9,159 | |
* | TreeHouse Foods Inc. | 335,586 | 9,141 | |
* | Central European Distribution Corp. | 444,732 | 8,761 | |
* | Hain Celestial Group, Inc. | 430,886 | 8,226 | |
| Universal Corp. (VA) | 271,135 | 8,099 | |
| Lancaster Colony Corp. | 225,395 | 7,731 | |
* | United Natural Foods, Inc. | 433,184 | 7,719 | |
*,^ | Green Mountain Coffee Roasters, Inc. | 180,826 | 6,998 | |
* | Chiquita Brands International, Inc. | 470,510 | 6,954 | |
| Vector Group Ltd. | 491,296 | 6,691 | |
| Sanderson Farms, Inc. | 183,784 | 6,352 | |
| Lance, Inc. | 268,002 | 6,148 | |
| Nash-Finch Co. | 136,299 | 6,118 | |
| Tootsie Roll Industries, Inc. | 227,752 | 5,833 | |
| Nu Skin Enterprises, Inc. | 541,451 | 5,647 | |
| Spartan Stores, Inc. | 235,132 | 5,467 | |
| J & J Snack Foods Corp. | 149,266 | 5,356 | |
* | The Pantry, Inc. | 236,746 | 5,078 | |
* | Darling International, Inc. | 871,640 | 4,785 | |
| WD-40 Co. | 166,502 | 4,710 | |
*,^ | American Oriental Bioengineering, Inc. | 667,590 | 4,533 | |
* | Smart Balance Inc. | 633,261 | 4,306 | |
* | Prestige Brands Holdings Inc. | 371,692 | 3,921 | |
| Weis Markets, Inc. | 115,357 | 3,879 | |
^ | Cal-Maine Foods, Inc. | 125,008 | 3,588 | |
* | Elizabeth Arden, Inc. | 275,553 | 3,475 | |
| Diamond Foods, Inc. | 155,103 | 3,125 | |
* | Bare Escentuals, Inc. | 586,116 | 3,065 | |
*,^ | USANA Health Sciences, Inc. | 86,424 | 2,959 | |
* | Central Garden & Pet Co. Class A | 489,336 | 2,887 | |
* | Boston Beer Co., Inc. Class A | 100,809 | 2,863 | |
| The Andersons, Inc. | 163,041 | 2,687 | |
* | Alliance One International, Inc. | 898,892 | 2,643 | |
| PriceSmart, Inc. | 126,613 | 2,616 |
| Ingles Markets, Inc. | 132,405 | 2,329 |
* | The Great Atlantic & Pacific Tea Co., Inc. | 370,410 | 2,322 |
| B&G Foods Inc. | 393,458 | 2,125 |
| Coca-Cola Bottling Co. | 42,745 | 1,965 |
*,^ | Rite Aid Corp. | 6,300,041 | 1,953 |
| Farmer Brothers, Inc. | 76,525 | 1,909 |
| Alico, Inc. | 38,887 | 1,594 |
| Village Super Market Inc. Class A | 27,233 | 1,563 |
* | Central Garden and Pet Co. | 236,518 | 1,386 |
Page 5
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Inter Parfums, Inc. | 162,981 | 1,252 |
* | Revlon, Inc. | 180,146 | 1,202 |
* | National Beverage Corp. | 96,313 | 867 |
^ | Mannatech, Inc. | 172,941 | 424 |
| | | 362,709 |
Energy (5.2%) | | |
* | Comstock Resources, Inc. | 490,255 | 23,165 |
* | EXCO Resources, Inc. | 1,909,805 | 17,303 |
* | Oceaneering International, Inc. | 590,428 | 17,205 |
| Southern Union Co. | 1,189,319 | 15,509 |
* | Dresser Rand Group, Inc. | 892,038 | 15,388 |
* | Whiting Petroleum Corp. | 451,050 | 15,092 |
* | SEACOR Holdings Inc. | 211,138 | 14,072 |
| Core Laboratories N.V. | 233,019 | 13,949 |
* | Encore Acquisition Co. | 539,996 | 13,781 |
* | Superior Energy Services, Inc. | 860,867 | 13,714 |
| St. Mary Land & Exploration Co. | 662,672 | 13,459 |
* | Unit Corp. | 503,539 | 13,455 |
* | Concho Resources, Inc. | 584,925 | 13,348 |
| Overseas Shipholding Group Inc. | 307,462 | 12,947 |
| Penn Virginia Corp. | 446,088 | 11,589 |
| World Fuel Services Corp. | 296,479 | 10,970 |
* | Arena Resources, Inc. | 384,098 | 10,789 |
* | Oil States International, Inc. | 531,677 | 9,937 |
* | Atwood Oceanics, Inc. | 613,223 | 9,370 |
* | Mariner Energy Inc. | 853,529 | 8,706 |
* | Contango Oil & Gas Co. | 150,526 | 8,475 |
* | Goodrich Petroleum Corp. | 279,313 | 8,365 |
| Holly Corp. | 450,118 | 8,206 |
| CARBO Ceramics Inc. | 222,240 | 7,896 |
* | Bristow Group, Inc. | 294,286 | 7,884 |
* | Bill Barrett Corp. | 336,252 | 7,105 |
| Foundation Coal Holdings, Inc. | 483,512 | 6,779 |
* | Helix Energy Solutions Group, Inc. | 929,294 | 6,728 |
* | Dril-Quip, Inc. | 316,644 | 6,494 |
* | Key Energy Services, Inc. | 1,326,330 | 5,849 |
| Atlas America, Inc. | 387,950 | 5,761 |
* | Swift Energy Co. | 328,388 | 5,520 |
| Lufkin Industries, Inc. | 158,507 | 5,469 |
* | McMoRan Exploration Co. | 544,376 | 5,335 |
*,^ | USEC Inc. | 1,183,155 | 5,312 |
* | Patriot Coal Corp. | 823,405 | 5,146 |
* | Gulfmark Offshore, Inc. | 215,743 | 5,133 |
* | Carrizo Oil & Gas, Inc. | 295,184 | 4,753 |
* | General Maritime Corp. | 439,052 | 4,742 |
| W&T Offshore, Inc. | 325,436 | 4,660 |
* | Vaalco Energy, Inc. | 620,043 | 4,613 |
* | James River Coal Co. | 292,226 | 4,480 |
* | Hercules Offshore, Inc. | 939,252 | 4,461 |
* | Complete Production Services, Inc. | 517,774 | 4,220 |
* | Hornbeck Offshore Services, Inc. | 247,652 | 4,047 |
* | Rosetta Resources, Inc. | 548,324 | 3,882 |
* | TETRA Technologies, Inc. | 798,742 | 3,882 |
* | GMX Resources Inc. | 150,681 | 3,815 |
* | Petroleum Development Corp. | 158,119 | 3,806 |
*,^ | BPZ Energy, Inc. | 587,519 | 3,760 |
*,^ | Global Industries Ltd. | 1,044,673 | 3,646 |
| RPC Inc. | 366,388 | 3,576 |
* | Willbros Group, Inc. | 417,309 | 3,535 |
* | Clayton Williams Energy, Inc. | 77,618 | 3,527 |
* | Newpark Resources, Inc. | 952,459 | 3,524 |
* | Stone Energy Corp. | 318,484 | 3,510 |
* | Parker Drilling Co. | 1,205,719 | 3,497 |
*,^ | Delta Petroleum Corp. | 712,183 | 3,390 |
* | Cal Dive International, Inc. | 509,103 | 3,314 |
Page 6
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Enbridge Energy Management LLC | 133,210 | 3,257 |
*,^ | International Coal Group, Inc. | 1,389,379 | 3,196 |
* | ION Geophysical Corp. | 919,335 | 3,153 |
* | Basic Energy Services Inc. | 241,161 | 3,145 |
* | NATCO Group Inc. | 204,694 | 3,107 |
* | PetroQuest Energy, Inc. | 456,857 | 3,088 |
* | Pioneer Drilling Co. | 528,265 | 2,942 |
| Berry Petroleum Class A | 387,425 | 2,929 |
| APCO Argentina Inc. | 109,846 | 2,925 |
| Precision Drilling Trust | 322,796 | 2,708 |
^ | Western Refining, Inc. | 328,877 | 2,552 |
* | Tesco Corp. | 341,358 | 2,437 |
* | Matrix Service Co. | 275,738 | 2,115 |
* | Bronco Drilling Co., Inc. | 305,951 | 1,976 |
* | PHI Inc. Non-Voting Shares | 133,666 | 1,873 |
| Gulf Island Fabrication, Inc. | 129,904 | 1,872 |
* | ATP Oil & Gas Corp. | 303,579 | 1,776 |
*,^ | Oilsands Quest, Inc. | 2,417,293 | 1,765 |
| Crosstex Energy, Inc. | 416,363 | 1,624 |
* | Superior Well Services, Inc. | 149,518 | 1,495 |
* | Brigham Exploration Co. | 464,508 | 1,486 |
* | Harvest Natural Resources, Inc. | 343,667 | 1,478 |
* | Dawson Geophysical Co. | 79,469 | 1,415 |
* | Allis-Chalmers Energy Inc. | 229,859 | 1,264 |
* | T-3 Energy Services, Inc. | 125,579 | 1,186 |
* | Warren Resources Inc. | 592,993 | 1,180 |
* | Gulfport Energy Corp. | 292,773 | 1,156 |
| Alon USA Energy, Inc. | 124,394 | 1,138 |
*,^ | Rentech, Inc. | 1,664,295 | 1,132 |
* | CVR Energy, Inc. | 273,840 | 1,095 |
*,^ | Clean Energy Fuels Corp. | 163,458 | 987 |
* | OYO Geospace Corp. | 49,748 | 869 |
* | Parallel Petroleum Corp. | 419,533 | 843 |
| Delek US Holdings, Inc. | 141,839 | 750 |
* | Rex Energy Corp. | 251,064 | 738 |
*,^ | GeoGlobal Resources Inc. | 423,111 | 677 |
*,^ | SulphCo, Inc. | 709,352 | 667 |
* | Approach Resources Inc. | 87,579 | 640 |
*,^ | Trico Marine Services, Inc. | 131,782 | 589 |
* | Veneco Inc. | 213,809 | 579 |
* | TXCO Resources Inc. | 333,194 | 497 |
* | Energy Partners, Ltd. | 320,879 | 433 |
* | Aventine Renewable Energy Holdings, Inc. | 331,084 | 215 |
| | | 542,794 |
Financials (22.1%) | | |
| Valley National Bancorp | 1,364,685 | 27,635 |
| Arthur J. Gallagher & Co. | 994,012 | 25,755 |
^ | Realty Income Corp. REIT | 1,079,697 | 24,995 |
| Digital Realty Trust, Inc. REIT | 728,043 | 23,916 |
| The Hanover Insurance Group Inc. | 543,121 | 23,338 |
| Bank of Hawaii Corp. | 508,962 | 22,990 |
| Senior Housing Properties Trust REIT | 1,219,799 | 21,859 |
| StanCorp Financial Group, Inc. | 520,888 | 21,757 |
| Aspen Insurance Holdings Ltd. | 892,149 | 21,635 |
| Essex Property Trust, Inc. REIT | 272,438 | 20,910 |
| Alexandria Real Estate Equities, Inc. REIT | 342,209 | 20,649 |
| First Niagara Financial Group, Inc. | 1,185,651 | 19,172 |
| Platinum Underwriters Holdings, Ltd. | 518,756 | 18,717 |
| Highwood Properties, Inc. REIT | 676,760 | 18,516 |
| BancorpSouth, Inc. | 790,100 | 18,457 |
* | Affiliated Managers Group, Inc. | 435,164 | 18,242 |
* | ProAssurance Corp. | 339,041 | 17,895 |
| Fulton Financial Corp. | 1,859,734 | 17,891 |
| FirstMerit Corp. | 861,479 | 17,738 |
| Mack-Cali Realty Corp. REIT | 700,653 | 17,166 |
Page 7
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Allied World Assurance Holdings, Ltd. | 417,452 | 16,949 |
| Corporate Office Properties Trust, Inc. REIT | 542,943 | 16,668 |
| Endurance Specialty Holdings Ltd. | 540,647 | 16,506 |
* | Alleghany Corp. | 57,807 | 16,302 |
| Wilmington Trust Corp. | 717,383 | 15,955 |
| IPC Holdings Ltd. | 533,356 | 15,947 |
| Westamerica Bancorporation | 308,625 | 15,786 |
| Odyssey Re Holdings Corp. | 303,878 | 15,744 |
| Montpelier Re Holdings Ltd. | 926,017 | 15,548 |
| BRE Properties Inc. Class A REIT | 543,962 | 15,220 |
| UMB Financial Corp. | 305,361 | 15,005 |
| Washington REIT | 527,101 | 14,917 |
* | Knight Capital Group, Inc. Class A | 917,459 | 14,817 |
| Susquehanna Bancshares, Inc. | 916,920 | 14,588 |
| United Bankshares, Inc. | 438,129 | 14,555 |
| Healthcare Realty Trust Inc. REIT | 615,533 | 14,453 |
| Taubman Co. REIT | 563,557 | 14,348 |
| Astoria Financial Corp. | 867,879 | 14,303 |
^ | Apollo Investment Corp. | 1,509,411 | 14,053 |
| Washington Federal Inc. | 936,619 | 14,012 |
| Omega Healthcare Investors, Inc. REIT | 872,808 | 13,939 |
| Home Properties, Inc. REIT | 340,155 | 13,810 |
| National Retail Properties REIT | 788,347 | 13,552 |
| NewAlliance Bancshares, Inc. | 1,026,803 | 13,523 |
| Douglas Emmett, Inc. REIT | 1,035,338 | 13,521 |
| Waddell & Reed Financial, Inc. | 868,129 | 13,421 |
| Erie Indemnity Co. Class A | 355,950 | 13,394 |
* | MSCI, Inc.-Class A Shares | 746,196 | 13,252 |
| Prosperity Bancshares, Inc. | 441,798 | 13,073 |
| Greenhill & Co., Inc. | 186,696 | 13,026 |
| Selective Insurance Group | 561,541 | 12,876 |
| Old National Bancorp | 705,770 | 12,817 |
| International Bancshares Corp. | 584,711 | 12,764 |
| Tanger Factory Outlet Centers, Inc. REIT | 337,088 | 12,681 |
| Zenith National Insurance Corp. | 397,021 | 12,534 |
| MFA Mortgage Investments, Inc. REIT | 2,107,972 | 12,416 |
| Glacier Bancorp, Inc. | 638,175 | 12,138 |
| F.N.B. Corp. | 917,621 | 12,113 |
| R.L.I. Corp. | 193,578 | 11,839 |
| Kilroy Realty Corp. REIT | 348,249 | 11,652 |
| Hancock Holding Co. | 251,337 | 11,426 |
| Trustmark Corp. | 518,106 | 11,186 |
* | Argo Group International Holdings | 327,795 | 11,119 |
| National Penn Bancshares Inc. | 764,515 | 11,093 |
| Potlatch Corp. REIT | 421,229 | 10,956 |
| Mid-America Apartment Communities, Inc. REIT | 293,308 | 10,899 |
| Whitney Holdings Corp. | 680,640 | 10,883 |
| East West Bancorp, Inc. | 675,183 | 10,783 |
| Cathay General Bancorp | 448,452 | 10,651 |
* | Investment Technology Group, Inc. | 464,418 | 10,552 |
* | Signature Bank | 367,768 | 10,551 |
* | Stifel Financial Corp. | 229,861 | 10,539 |
| Entertainment Properties Trust REIT | 349,665 | 10,420 |
| PrivateBancorp, Inc. | 320,093 | 10,390 |
| First Midwest Bancorp, Inc. | 517,021 | 10,325 |
* | Conseco, Inc. | 1,971,865 | 10,214 |
| Protective Life Corp. | 708,348 | 10,165 |
| Hatteras Financial Corp. REIT | 372,905 | 9,919 |
| BioMed Realty Trust, Inc. REIT | 845,009 | 9,903 |
| First Commonwealth Financial Corp. | 799,739 | 9,901 |
| Jones Lang LaSalle Inc. | 346,183 | 9,589 |
| Equity Lifestyle Properties, Inc. REIT | 249,167 | 9,558 |
| EastGroup Properties, Inc. REIT | 267,305 | 9,511 |
*,^ | AmeriCredit Corp. | 1,241,102 | 9,482 |
| Franklin Street Properties Corp. REIT | 638,494 | 9,418 |
| First BanCorp Puerto Rico | 837,860 | 9,334 |
Page 8
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| DCT Industrial Trust Inc. REIT | 1,844,209 | 9,332 |
^ | Umpqua Holdings Corp. | 639,617 | 9,255 |
| American Campus Communities, Inc. REIT | 451,344 | 9,243 |
| First Financial Bankshares, Inc. | 166,426 | 9,188 |
| NBT Bancorp, Inc. | 326,082 | 9,117 |
* | SVB Financial Group | 345,790 | 9,070 |
| Provident Financial Services Inc. | 577,157 | 8,830 |
| S & T Bancorp, Inc. | 248,687 | 8,828 |
| Fannie Mae | 11,413,290 | 8,674 |
| Employers Holdings, Inc. | 522,951 | 8,629 |
| Extra Space Storage Inc. REIT | 828,488 | 8,550 |
| Park National Corp. | 119,108 | 8,546 |
| Max Re Capital Ltd. | 482,639 | 8,543 |
| Cash America International Inc. | 309,728 | 8,471 |
| Sovran Self Storage, Inc. REIT | 233,947 | 8,422 |
| Community Bank System, Inc. | 344,328 | 8,398 |
| Assured Guaranty Ltd. | 727,851 | 8,297 |
| Inland Real Estate Corp. REIT | 635,264 | 8,246 |
| HRPT Properties Trust REIT | 2,423,493 | 8,167 |
* | Piper Jaffray Cos., Inc. | 203,984 | 8,110 |
| UCBH Holdings, Inc. | 1,174,403 | 8,080 |
| Delphi Financial Group, Inc. | 438,107 | 8,079 |
| Unitrin, Inc. | 502,489 | 8,010 |
| CVB Financial Corp. | 664,490 | 7,907 |
| Pacific Capital Bancorp | 466,925 | 7,882 |
* | Navigators Group, Inc. | 143,257 | 7,866 |
| MB Financial, Inc. | 277,984 | 7,770 |
| Post Properties, Inc. REIT | 469,719 | 7,750 |
* | Interactive Brokers Group, Inc. | 432,449 | 7,736 |
| Webster Financial Corp. | 558,731 | 7,699 |
^ | Equity One, Inc. REIT | 434,646 | 7,693 |
| TrustCo Bank NY | 806,512 | 7,670 |
| Infinity Property & Casualty Corp. | 162,778 | 7,607 |
| IBERIABANK Corp. | 157,177 | 7,544 |
| PacWest Bancorp | 275,554 | 7,412 |
* | PHH Corp. | 578,704 | 7,367 |
*,^ | KBW Inc. | 318,080 | 7,316 |
| National Health Investors REIT | 266,201 | 7,302 |
| PS Business Parks, Inc. REIT | 163,358 | 7,296 |
| Brandywine Realty Trust REIT | 943,522 | 7,275 |
| First Citizens BancShares Class A | 46,721 | 7,139 |
| United Fire & Casualty Co. | 228,358 | 7,095 |
* | Investors Bancorp, Inc. | 521,854 | 7,008 |
| Investors Real Estate Trust REIT | 619,698 | 6,637 |
| Brookline Bancorp, Inc. | 621,432 | 6,618 |
*,^ | E*TRADE Financial Corp. | 5,718,820 | 6,577 |
| Ares Capital Corp. | 1,034,513 | 6,548 |
| WesBanco, Inc. | 240,211 | 6,536 |
| Capstead Mortgage Corp. REIT | 600,434 | 6,467 |
| Chemical Financial Corp. | 228,115 | 6,360 |
| Tower Group, Inc. | 224,022 | 6,320 |
^ | Cousins Properties, Inc. REIT | 437,245 | 6,056 |
| Financial Federal Corp. | 258,541 | 6,016 |
| Saul Centers, Inc. REIT | 152,101 | 6,008 |
| optionsXpress Holdings Inc. | 448,531 | 5,992 |
| City Holding Co. | 172,205 | 5,989 |
| Anworth Mortgage Asset Corp. REIT | 904,803 | 5,818 |
| Harleysville National Corp. | 399,564 | 5,770 |
| Bank Mutual Corp. | 487,877 | 5,630 |
| Safety Insurance Group, Inc. | 147,898 | 5,629 |
* | EZCORP, Inc. | 369,494 | 5,620 |
*,^ | Portfolio Recovery Associates, Inc. | 163,551 | 5,535 |
^ | United Community Banks, Inc. | 405,030 | 5,500 |
| Alexander’s, Inc. REIT | 21,556 | 5,495 |
| TowneBank | 218,198 | 5,409 |
* | First Cash Financial Services, Inc. | 280,671 | 5,350 |
Page 9
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Chimera Investment Corp. | 1,549,114 | 5,344 |
| Harleysville Group, Inc. | 152,700 | 5,303 |
| Community Trust Bancorp Inc. | 143,918 | 5,289 |
^ | BlackRock Kelso Capital Corp. | 533,630 | 5,262 |
^ | First Busey Corp. | 286,744 | 5,230 |
| SWS Group, Inc. | 274,569 | 5,203 |
| Wintrust Financial Corp. | 251,349 | 5,170 |
^ | Freddie Mac | 6,903,518 | 5,040 |
*,^ | Enstar Group Ltd. | 85,120 | 5,034 |
| Castlepoint Holdings Ltd. | 367,976 | 4,990 |
| DiamondRock Hospitality Co. REIT | 983,602 | 4,987 |
| Sterling Financial Corp. | 554,878 | 4,883 |
* | Pinnacle Financial Partners, Inc. | 163,455 | 4,873 |
* | Riskmetrics Group Inc. | 323,415 | 4,816 |
* | PICO Holdings, Inc. | 180,738 | 4,804 |
| LaSalle Hotel Properties REIT | 430,807 | 4,760 |
| Provident New York Bancorp, Inc. | 382,143 | 4,739 |
| Sterling Bancshares, Inc. | 778,782 | 4,735 |
* | Hilltop Holdings Inc. | 480,857 | 4,684 |
| Acadia Realty Trust REIT | 328,086 | 4,682 |
| MGIC Investment Corp. | 1,333,740 | 4,641 |
| Medical Properties Trust Inc. REIT | 707,003 | 4,461 |
| American Physicians Capital, Inc. | 92,676 | 4,458 |
| Northwest Bancorp, Inc. | 206,619 | 4,417 |
| State Auto Financial Corp. | 146,784 | 4,412 |
| CBL & Associates Properties, Inc. REIT | 670,790 | 4,360 |
| Independent Bank Corp. (MA) | 164,817 | 4,312 |
| National Western Life Insurance Co. Class A | 25,462 | 4,307 |
| First Financial Corp. (IN) | 104,726 | 4,293 |
| Stewart Information Services Corp. | 182,092 | 4,277 |
^ | Redwood Trust, Inc. REIT | 286,041 | 4,265 |
| LTC Properties, Inc. REIT | 208,926 | 4,237 |
^ | Colonial BancGroup, Inc. | 2,043,188 | 4,229 |
| First Financial Bancorp | 339,694 | 4,209 |
| Getty Realty Holding Corp. REIT | 198,191 | 4,174 |
| Tompkins Trustco, Inc. | 71,994 | 4,172 |
| Boston Private Financial Holdings, Inc. | 609,738 | 4,171 |
* | Amerisafe Inc. | 200,527 | 4,117 |
| Colonial Properties Trust REIT | 484,497 | 4,036 |
* | Citizens, Inc. | 414,049 | 4,016 |
| Bank of the Ozarks, Inc. | 134,947 | 4,000 |
* | Beneficial Mutual Bancorp, Inc. | 351,142 | 3,950 |
| Universal Health Realty Income REIT | 119,927 | 3,947 |
* | FPIC Insurance Group, Inc. | 87,878 | 3,847 |
| First Merchants Corp. | 173,131 | 3,845 |
| Sandy Spring Bancorp, Inc. | 175,201 | 3,825 |
| Horace Mann Educators Corp. | 415,832 | 3,821 |
| The Phoenix Cos., Inc. | 1,164,215 | 3,807 |
^ | Ambac Financial Group, Inc. | 2,910,591 | 3,784 |
| Prospect Energy Corp. | 314,528 | 3,765 |
| Berkshire Hills Bancorp, Inc. | 121,693 | 3,755 |
| Univest Corp. of Pennsylvania | 116,531 | 3,745 |
| Home Bancshares Inc. | 137,253 | 3,699 |
*,^ | Ocwen Financial Corp. | 401,847 | 3,689 |
| Suffolk Bancorp | 101,341 | 3,641 |
* | Texas Capital Bancshares, Inc. | 271,588 | 3,628 |
* | Forestar Real Estate Group, Inc. | 380,957 | 3,627 |
| Renasant Corp. | 212,483 | 3,619 |
* | CNA Surety Corp. | 187,446 | 3,599 |
| First Industrial Realty Trust REIT | 473,623 | 3,576 |
| TriCo Bancshares | 143,020 | 3,571 |
| American Equity Investment Life Holding Co. | 509,293 | 3,565 |
| Flagstone Reinsurance Holdings Ltd. | 364,082 | 3,557 |
| Simmons First National Corp. | 118,482 | 3,492 |
| First Community Bancshares, Inc. | 99,018 | 3,453 |
| Lexington Realty Trust REIT | 688,145 | 3,441 |
Page 10
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| BancFirst Corp. | 64,721 | 3,425 |
| Provident Bankshares Corp. | 354,551 | 3,425 |
| Dime Community Bancshares | 255,225 | 3,394 |
| Union Bankshares Corp. | 136,742 | 3,391 |
| Sunstone Hotel Investors, Inc. REIT | 546,835 | 3,385 |
| Cedar Shopping Centers, Inc. REIT | 475,768 | 3,368 |
| The South Financial Group, Inc. | 777,440 | 3,359 |
| S.Y. Bancorp, Inc. | 121,721 | 3,347 |
| Amtrust Financial Services Inc. | 287,914 | 3,340 |
* | Tejon Ranch Co. | 134,925 | 3,338 |
| First Source Corp. | 140,955 | 3,331 |
^ | General Growth Properties Inc. REIT | 2,564,162 | 3,308 |
| Capital Southwest Corp. | 29,886 | 3,232 |
| SCBT Financial Corp. | 93,026 | 3,209 |
^ | iStar Financial Inc. REIT | 1,423,730 | 3,175 |
| Radian Group, Inc. | 861,670 | 3,171 |
| Pennsylvania REIT | 424,524 | 3,163 |
| WSFS Financial Corp. | 65,170 | 3,127 |
| Westfield Financial, Inc. | 301,443 | 3,111 |
* | World Acceptance Corp. | 157,016 | 3,103 |
| Central Pacific Financial Co. | 307,006 | 3,082 |
| Citizens Banking Corp. | 1,023,922 | 3,051 |
^ | Capital City Bank Group, Inc. | 109,051 | 2,971 |
| Parkway Properties Inc. REIT | 162,872 | 2,932 |
| Nelnet, Inc. | 202,592 | 2,903 |
| Kearny Financial Corp. | 226,800 | 2,903 |
* | LaBranche & Co. Inc. | 597,517 | 2,862 |
| Lakeland Financial Corp. | 118,258 | 2,817 |
| Life Partners Holdings | 64,412 | 2,811 |
| Hercules Technology Growth Capital, Inc. | 350,878 | 2,779 |
| Mainsource Financial Group, Inc. | 177,925 | 2,758 |
* | Greenlight Capital Re. Ltd. | 208,803 | 2,712 |
| MVC Capital, Inc. | 246,867 | 2,708 |
| First Potomac REIT | 288,817 | 2,686 |
| Arrow Financial Corp. | 106,608 | 2,680 |
| GFI Group Inc. | 750,034 | 2,655 |
* | Dollar Financial Corp. | 257,219 | 2,649 |
| Compass Diversified Trust | 234,316 | 2,636 |
| Republic Bancorp, Inc. Class A | 96,738 | 2,631 |
| OneBeacon Insurance Group Ltd. | 250,076 | 2,611 |
| StellarOne Corp. | 153,093 | 2,587 |
| Urstadt Biddle Properties Class A REIT | 161,826 | 2,578 |
* | MarketAxess Holdings, Inc. | 314,593 | 2,567 |
| Sterling Bancorp | 182,911 | 2,566 |
| Danvers Bancorp, Inc. | 190,930 | 2,553 |
* | Seabright Insurance Holdings, Inc. | 217,046 | 2,548 |
* | Oritani Financial Corp. | 150,434 | 2,535 |
^ | Heartland Financial USA, Inc. | 120,854 | 2,488 |
^ | NorthStar Realty Finance Corp. REIT | 633,599 | 2,477 |
| Sun Communities, Inc. REIT | 176,124 | 2,466 |
* | United America Indemnity, Ltd. | 192,423 | 2,465 |
| Nara Bancorp, Inc. | 250,520 | 2,463 |
| Northfield Bancorp, Inc. | 215,621 | 2,426 |
| Abington Community Bancorp Inc. | 261,476 | 2,419 |
| Washington Trust Bancorp, Inc. | 121,790 | 2,405 |
| First Financial Holdings, Inc. | 118,544 | 2,399 |
*,^ | Western Alliance Bancorp | 237,241 | 2,394 |
^ | American Capital Agency Corp. REIT | 111,792 | 2,388 |
| FBL Financial Group, Inc. Class A | 153,348 | 2,369 |
| Flushing Financial Corp. | 196,624 | 2,352 |
| Presidential Life Corp. | 237,541 | 2,349 |
| Southside Bancshares, Inc. | 99,299 | 2,333 |
| U-Store-It Trust REIT | 522,369 | 2,325 |
| Columbia Banking System, Inc. | 192,051 | 2,291 |
*,^ | MF Global Ltd. | 1,093,898 | 2,232 |
| Consolidated-Tomoka Land Co. | 58,356 | 2,229 |
Page 11
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Kansas City Life Insurance Co. | 49,359 | 2,140 |
| Donegal Group Inc. Class A | 127,082 | 2,131 |
| BankFinancial Corp. | 208,878 | 2,128 |
* | eHealth, Inc. | 159,727 | 2,121 |
* | TradeStation Group, Inc. | 322,876 | 2,083 |
^ | Frontier Financial Corp. | 453,679 | 1,978 |
| NGP Capital Resources Co. | 232,258 | 1,944 |
| CoBiz Inc. | 198,069 | 1,929 |
| ViewPoint Financial Group | 119,537 | 1,919 |
| Southwest Bancorp, Inc. | 146,924 | 1,904 |
| Kite Realty Group Trust REIT | 341,570 | 1,899 |
| Greene County Bancshares | 132,679 | 1,796 |
^ | Anthracite Capital Inc. REIT | 787,543 | 1,756 |
* | Crawford & Co. Class B | 118,293 | 1,720 |
^ | Cohen & Steers, Inc. | 156,204 | 1,717 |
| Wilshire Bancorp Inc. | 186,348 | 1,692 |
| The PMI Group Inc. | 867,512 | 1,692 |
^ | RAIT Financial Trust REIT | 643,795 | 1,674 |
| EMC Insurance Group, Inc. | 63,852 | 1,638 |
^ | Cascade Bancorp | 239,889 | 1,619 |
| Education Realty Trust, Inc. REIT | 305,672 | 1,596 |
| Gamco Investors Inc. Class A | 58,352 | 1,594 |
| Westwood Holdings Group, Inc. | 55,238 | 1,569 |
*,^ | Credit Acceptance Corp. | 113,911 | 1,561 |
*,^ | Avatar Holding, Inc. | 58,681 | 1,556 |
* | NewStar Financial, Inc. | 386,080 | 1,540 |
^ | Old Second Bancorp, Inc. | 132,316 | 1,535 |
| Winthrop Realty Trust REIT | 141,196 | 1,531 |
| Calamos Asset Management, Inc. | 206,756 | 1,530 |
| Hersha Hospitality Trust REIT | 508,492 | 1,525 |
| Baldwin & Lyons, Inc. Class B | 79,511 | 1,446 |
| Oriental Financial Group Inc. | 231,684 | 1,402 |
| Ashford Hospitality Trust REIT | 1,207,592 | 1,389 |
* | FBR Capital Markets Corp. | 281,913 | 1,370 |
| Clifton Savings Bancorp, Inc. | 113,570 | 1,347 |
| Strategic Hotels and Resorts, Inc. REIT | 788,065 | 1,324 |
| United Financial Bancorp, Inc. | 84,509 | 1,279 |
| BGC Partners, Inc. | 457,492 | 1,263 |
^ | Roma Financial Corp. | 99,735 | 1,256 |
| FelCor Lodging Trust, Inc. REIT | 671,733 | 1,236 |
| National Financial Partners Corp. | 404,473 | 1,230 |
| Capitol Bancorp Ltd. | 155,263 | 1,211 |
| Ramco-Gershenson Properties Trust REIT | 195,111 | 1,206 |
* | FCStone Group, Inc. | 265,555 | 1,176 |
| Banner Corp. | 122,731 | 1,155 |
| Glimcher Realty Trust REIT | 404,864 | 1,138 |
* | Penson Worldwide, Inc. | 148,632 | 1,133 |
* | Guaranty Bancorp | 555,221 | 1,110 |
| National Interstate Corp. | 61,213 | 1,094 |
* | Virginia Commerce Bancorp, Inc. | 211,371 | 1,093 |
| Great Southern Bancorp, Inc. | 92,526 | 1,058 |
| West Coast Bancorp | 157,937 | 1,041 |
* | Meridian Interstate Bancorp, Inc. | 110,155 | 1,019 |
^ | Seacoast Banking Corp. of Florida | 152,366 | 1,006 |
* | Crawford & Co. | 140,240 | 945 |
*,^ | Guaranty Financial Group, Inc. | 353,481 | 923 |
*,^ | The First Marblehead Corp. | 680,439 | 878 |
| Hanmi Financial Corp. | 417,634 | 860 |
*,^ | CompuCredit Corp. | 151,319 | 837 |
*,^ | Asset Acceptance Capital Corp. | 161,049 | 823 |
| Amcore Financial, Inc. | 224,773 | 814 |
| Advance America, Cash Advance Centers, Inc. | 422,140 | 798 |
| CapLease, Inc. REIT | 450,543 | 779 |
| DuPont Fabros Technology Inc. REIT | 372,277 | 771 |
| City Bank Lynnwood (WA) | 140,589 | 731 |
| Urstadt Biddle Properties REIT | 50,992 | 727 |
Page 12
Vanguard® Small-Cap Index Fund | | | |
Schedule of Investments | | | |
December 31, 2008 | | | |
| | | Market | |
| | | Value | |
| | Shares | ($000) | |
| Advanta Corp. Class B | 305,286 | 638 | |
* | First Acceptance Corp. | 208,983 | 606 | |
^ | Maguire Properties, Inc. REIT | 405,465 | 592 | |
| Gramercy Capital Corp. REIT | 458,677 | 587 | |
^ | Arbor Realty Trust, Inc. REIT | 197,221 | 582 | |
^ | Capital Trust Class A REIT | 156,742 | 564 | |
| Grubb & Ellis Co. | 451,168 | 559 | |
| Anchor Bancorp Wisconsin Inc. | 191,351 | 528 | |
^ | Newcastle Investment Corp. REIT | 562,184 | 472 | |
| Independent Bank Corp. (MI) | 216,955 | 469 | |
* | Thomas Weisel Partners Group, Inc. | 91,235 | 431 | |
^ | Corus Bankshares Inc. | 351,211 | 390 | |
| Taylor Capital Group, Inc. | 62,951 | 368 | |
| First State Bancorporation | 212,886 | 351 | |
*,^ | Flagstar Bancorp, Inc. | 491,607 | 349 | |
* | Waterstone Financial, Inc. | 97,925 | 328 | |
| Integra Bank Corp. | 206,142 | 282 | |
* | Friedman, Billings, Ramsey Group, Inc. REIT | 1,561,274 | 265 | |
*,^ | First Federal Financial Corp. | 145,003 | 254 | |
^ | JER Investors Trust Inc. REIT | 261,274 | 243 | |
* | Cardtronics Inc. | 143,371 | 185 | |
| Advanta Corp. Class A | 108,227 | 126 | |
* | CSF Holdings Inc. Contingent Litigation Rights | 29,125 | — | |
| | | 2,305,753 | |
Health Care (12.8%) | | |
* | Watson Pharmaceuticals, Inc. | 1,057,367 | 28,094 | |
* | Gen-Probe Inc. | 577,684 | 24,748 | |
* | OSI Pharmaceuticals, Inc. | 613,056 | 23,940 | |
* | IDEXX Laboratories, Inc. | 633,266 | 22,848 | |
*,^ | Valeant Pharmaceuticals International | 938,287 | 21,487 | |
| Teleflex Inc. | 422,658 | 21,175 | |
* | Onyx Pharmaceuticals, Inc. | 598,125 | 20,432 | |
* | Immucor Inc. | 747,879 | 19,879 | |
* | Thoratec Corp. | 582,237 | 18,917 | |
| Universal Health Services Class B | 502,750 | 18,888 | |
* | BioMarin Pharmaceutical Inc. | 1,060,894 | 18,884 | |
* | VCA Antech, Inc. | 899,136 | 17,875 | |
| PerkinElmer, Inc. | 1,273,280 | 17,711 | |
* | Magellan Health Services, Inc. | 432,869 | 16,951 | |
* | AMERIGROUP Corp. | 565,082 | 16,681 | |
| Owens & Minor, Inc. | 440,565 | 16,587 | |
* | Psychiatric Solutions, Inc. | 593,016 | 16,515 | |
* | Pediatrix Medical Group, Inc. | 485,918 | 15,404 | |
* | Masimo Corp. | 513,040 | 15,304 | |
* | Haemonetics Corp. | 270,584 | 15,288 | |
* | United Therapeutics Corp. | 243,102 | 15,206 | |
* | Bio-Rad Laboratories, Inc. Class A | 200,001 | 15,062 | |
| STERIS Corp. | 629,401 | 15,036 | |
* | Inverness Medical Innovations, Inc. | 789,202 | 14,924 | |
* | Cubist Pharmaceuticals, Inc. | 602,789 | 14,563 | |
* | Isis Pharmaceuticals, Inc. | 1,019,162 | 14,452 | |
* | Nuvasive, Inc. | 382,453 | 13,252 | |
| West Pharmaceutical Services, Inc. | 346,615 | 13,092 | |
* | PSS World Medical, Inc. | 663,047 | 12,479 | |
* | LifePoint Hospitals, Inc. | 539,315 | 12,318 | |
* | Regeneron Pharmaceuticals, Inc. | 656,663 | 12,056 |
*,^ | Auxilium Pharmaceuticals, Inc. | 420,528 | 11,960 |
*,^ | Amedisys Inc. | 285,917 | 11,820 |
* | Sequenom, Inc. | 575,415 | 11,416 |
| Mentor Corp. | 359,859 | 11,130 |
| Meridian Bioscience Inc. | 428,913 | 10,924 |
*,^ | HLTH Corp. | 1,032,284 | 10,798 |
* | Alkermes, Inc. | 1,008,696 | 10,743 |
| Martek Biosciences Corp. | 351,232 | 10,646 |
* | Healthspring, Inc. | 530,264 | 10,589 |
Page 13
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Varian, Inc. | 312,552 | 10,474 |
| Hill-Rom Holdings, Inc. | 633,094 | 10,421 |
* | HealthSouth Corp. | 937,200 | 10,272 |
| Chemed Corp. | 244,409 | 9,720 |
* | ViroPharma Inc. | 745,373 | 9,705 |
* | Celera Corp. | 853,523 | 9,500 |
* | Centene Corp. | 461,297 | 9,092 |
* | Catalyst Health Solutions, Inc. | 368,974 | 8,984 |
* | Luminex Corp. | 416,594 | 8,898 |
* | Dionex Corp. | 195,523 | 8,769 |
* | Alnylam Pharmaceuticals Inc. | 351,768 | 8,699 |
* | Gentiva Health Services, Inc. | 289,231 | 8,463 |
| Medicis Pharmaceutical Corp. | 605,163 | 8,412 |
* | Wright Medical Group, Inc. | 400,984 | 8,192 |
* | The Medicines Co. | 554,889 | 8,173 |
* | HMS Holdings Corp. | 253,309 | 7,984 |
| PDL BioPharma Inc. | 1,274,488 | 7,876 |
* | AmSurg Corp. | 337,090 | 7,868 |
| Cooper Cos., Inc. | 478,934 | 7,855 |
* | Integra LifeSciences Holdings | 218,979 | 7,789 |
* | Acorda Therapeutics Inc. | 374,163 | 7,674 |
| Datascope Corp. | 141,963 | 7,416 |
* | Eclipsys Corp. | 522,482 | 7,414 |
* | CONMED Corp. | 306,358 | 7,334 |
| Landauer, Inc. | 99,038 | 7,259 |
* | Medarex, Inc. | 1,295,249 | 7,227 |
*,^ | AthenaHealth Inc. | 191,598 | 7,208 |
* | American Medical Systems Holdings, Inc. | 777,167 | 6,987 |
* | AMAG Pharmaceuticals, Inc. | 180,838 | 6,483 |
* | Greatbatch, Inc. | 243,226 | 6,436 |
* | Cepheid, Inc. | 610,779 | 6,340 |
* | Theravance, Inc. | 500,043 | 6,196 |
* | Seattle Genetics, Inc. | 678,375 | 6,065 |
* | Xenoport Inc. | 241,655 | 6,061 |
| Allscripts Healthcare Solutions, Inc. | 605,240 | 6,004 |
* | CV Therapeutics, Inc. | 648,661 | 5,974 |
* | LHC Group Inc. | 165,564 | 5,960 |
* | Tenet Healthcare Corp. | 5,072,758 | 5,834 |
* | PAREXEL International Corp. | 587,454 | 5,704 |
* | Exelixis, Inc. | 1,125,713 | 5,651 |
* | Abraxis BioScience | 85,409 | 5,630 |
* | Nektar Therapeutics | 982,603 | 5,463 |
* | Phase Forward Inc. | 432,433 | 5,414 |
* | ABIOMED, Inc. | 327,352 | 5,375 |
* | Align Technology, Inc. | 611,907 | 5,354 |
* | PharMerica Corp. | 324,143 | 5,079 |
* | Merit Medical Systems, Inc. | 282,022 | 5,057 |
* | Par Pharmaceutical Cos. Inc. | 368,057 | 4,936 |
* | Conceptus, Inc. | 323,365 | 4,922 |
| Invacare Corp. | 313,699 | 4,869 |
* | Cyberonics, Inc. | 291,789 | 4,835 |
* | Hanger Orthopedic Group, Inc. | 326,257 | 4,734 |
* | Health Management Associates Class A | 2,597,827 | 4,650 |
* | Questcor Pharmaceuticals, Inc. | 494,606 | 4,605 |
* | MedAssets, Inc. | 314,556 | 4,593 |
* | Cougar Biotechnology Inc. | 175,913 | 4,574 |
*,^ | Dendreon Corp. | 993,422 | 4,550 |
* | Volcano Corp. | 303,220 | 4,548 |
* | ICU Medical, Inc. | 136,996 | 4,540 |
* | Salix Pharmaceuticals, Ltd. | 511,913 | 4,520 |
* | Advanced Medical Optics, Inc. | 653,800 | 4,322 |
* | Kindred Healthcare, Inc. | 331,455 | 4,316 |
* | Zoll Medical Corp. | 224,443 | 4,240 |
*,^ | SurModics, Inc. | 163,217 | 4,124 |
* | Healthways, Inc. | 357,589 | 4,105 |
* | Halozyme Therapeutics Inc. | 728,706 | 4,081 |
Page 14
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Quidel Corp. | 311,706 | 4,074 |
* | inVentiv Health, Inc. | 352,480 | 4,068 |
* | Omnicell, Inc. | 330,759 | 4,039 |
* | Res-Care, Inc. | 266,016 | 3,996 |
*,^ | Medivation Inc. | 271,583 | 3,957 |
*,^ | Geron Corp. | 839,194 | 3,919 |
| Analogic Corp. | 142,437 | 3,886 |
* | Universal American Corp. | 438,631 | 3,869 |
* | ev3 Inc. | 620,429 | 3,785 |
* | Abaxis, Inc. | 232,074 | 3,720 |
* | Vivus, Inc. | 698,073 | 3,714 |
* | Momenta Pharmaceuticals, Inc. | 318,266 | 3,692 |
* | Allos Therapeutics Inc. | 602,981 | 3,690 |
* | Sun Healthcare Group Inc. | 416,087 | 3,682 |
* | Neogen Corp. | 147,240 | 3,678 |
* | Natus Medical Inc. | 281,026 | 3,639 |
* | Kendle International Inc. | 141,131 | 3,630 |
*,^ | InterMune Inc. | 335,266 | 3,547 |
* | Incyte Corp. | 912,712 | 3,459 |
* | Emergency Medical Services LP Class A | 94,358 | 3,454 |
| National Healthcare Corp. | 68,138 | 3,450 |
* | SonoSite, Inc. | 180,414 | 3,442 |
* | AngioDynamics, Inc. | 245,886 | 3,366 |
* | Savient Pharmaceuticals Inc. | 579,506 | 3,355 |
* | Genoptix, Inc. | 96,860 | 3,301 |
* | Arena Pharmaceuticals, Inc. | 789,842 | 3,294 |
* | Bio-Reference Laboratories, Inc. | 124,737 | 3,272 |
* | Odyssey Healthcare, Inc. | 350,965 | 3,246 |
*,^ | Osiris Therapeutics, Inc. | 168,706 | 3,232 |
* | NPS Pharmaceuticals Inc. | 503,588 | 3,127 |
* | MWI Veterinary Supply Inc. | 115,877 | 3,124 |
* | Rigel Pharmaceuticals, Inc. | 388,440 | 3,108 |
* | AMN Healthcare Services, Inc. | 360,993 | 3,054 |
* | Symmetry Medical Inc. | 381,914 | 3,044 |
* | Progenics Pharmaceuticals, Inc. | 290,877 | 2,999 |
* | Genomic Health, Inc. | 150,943 | 2,940 |
* | Noven Pharmaceuticals, Inc. | 266,155 | 2,928 |
* | Human Genome Sciences, Inc. | 1,378,184 | 2,922 |
* | RehabCare Group, Inc. | 192,594 | 2,920 |
* | Almost Family Inc. | 64,895 | 2,919 |
* | eResearch Technology, Inc. | 433,427 | 2,874 |
* | Ligand Pharmaceuticals Inc. Class B | 1,035,077 | 2,836 |
* | Cypress Bioscience, Inc. | 404,484 | 2,767 |
* | CryoLife Inc. | 283,180 | 2,750 |
* | IRIS International, Inc. | 196,773 | 2,743 |
* | Cross Country Healthcare, Inc. | 308,903 | 2,715 |
| Computer Programs and Systems, Inc. | 98,036 | 2,627 |
*,^ | GTx, Inc. | 153,966 | 2,593 |
* | Molina Healthcare Inc. | 146,207 | 2,575 |
* | Orthofix International N.V. | 164,776 | 2,526 |
* | Durect Corp. | 743,002 | 2,519 |
* | Bruker BioSciences Corp. | 610,693 | 2,467 |
* | Albany Molecular Research, Inc. | 251,793 | 2,452 |
* | Facet Biotech Corp. | 253,811 | 2,434 |
* | VNUS Medical Technologies, Inc. | 144,673 | 2,347 |
* | Assisted Living Concepts Inc. | 561,123 | 2,329 |
* | IPC The Hospitalist Co. | 137,586 | 2,316 |
*,^ | Emeritus Corp. | 229,958 | 2,306 |
* | Accuray Inc. | 439,002 | 2,265 |
* | Affymetrix, Inc. | 753,380 | 2,253 |
*,^ | MannKind Corp. | 651,363 | 2,234 |
* | Pain Therapeutics, Inc. | 376,191 | 2,227 |
* | Vital Images, Inc. | 159,978 | 2,225 |
*,^ | Indevus Pharmaceuticals, Inc. | 697,000 | 2,189 |
* | Alliance Imaging, Inc. | 273,054 | 2,176 |
* | Kensey Nash Corp. | 111,498 | 2,164 |
Page 15
Vanguard® Small-Cap Index Fund | | | |
Schedule of Investments | | | |
December 31, 2008 | | | |
| | | Market | |
| | | Value | |
| | Shares | ($000) | |
* | Sirona Dental Systems Inc. | 203,876 | 2,141 | |
* | Palomar Medical Technologies, Inc. | 182,628 | 2,106 | |
| Brookdale Senior Living Inc. | 375,993 | 2,098 | |
* | Triple-S Management Corp. | 172,878 | 1,988 | |
* | CorVel Corp. | 88,523 | 1,946 | |
* | Array BioPharma Inc. | 477,425 | 1,934 | |
* | Air Methods Corp. | 117,042 | 1,871 | |
* | MedCath Corp. | 178,466 | 1,863 | |
* | OraSure Technologies, Inc. | 503,334 | 1,852 | |
* | Nabi Biopharmaceuticals | 552,120 | 1,850 | |
* | Skilled Healthcare Group Inc. | 205,497 | 1,734 | |
* | Enzo Biochem, Inc. | 353,595 | 1,729 | |
* | Emergent BioSolutions Inc. | 62,958 | 1,644 | |
* | Cadence Pharmaceuticals, Inc. | 222,786 | 1,611 | |
* | Pharmasset, Inc. | 122,767 | 1,609 | |
* | Insulet Corp. | 191,303 | 1,477 | |
| Ensign Group Inc. | 86,843 | 1,454 | |
* | Cambrex Corp. | 313,212 | 1,447 | |
*,^ | Opko Health, Inc. | 886,703 | 1,436 | |
* | Idenix Pharmaceuticals Inc. | 238,383 | 1,380 | |
* | Pozen Inc. | 267,218 | 1,347 | |
*,^ | ArthroCare Corp. | 282,007 | 1,345 | |
* | RTI Biologics, Inc. | 485,695 | 1,341 | |
*,^ | Stereotaxis Inc. | 301,832 | 1,328 | |
*,^ | Zymogenetics, Inc. | 440,788 | 1,322 | |
* | Neurocrine Biosciences, Inc. | 407,883 | 1,305 | |
*,^ | Akorn, Inc. | 566,471 | 1,303 | |
*,^ | Sangamo BioSciences, Inc. | 366,463 | 1,275 | |
* | Affymax Inc. | 112,133 | 1,120 | |
* | Lexicon Pharmaceuticals Inc. | 792,783 | 1,110 | |
*,^ | Clinical Data, Inc. | 122,922 | 1,094 | |
* | Nighthawk Radiology Holdings, Inc. | 215,411 | 1,047 | |
* | Chindex International, Inc. | 127,534 | 1,014 | |
* | Orexigen Therapeutics Inc. | 180,706 | 1,008 | |
* | Life Sciences Research, Inc. | 106,986 | 1,006 | |
*,^ | Hansen Medical Inc. | 131,817 | 952 | |
* | Cynosure Inc. | 102,758 | 938 | |
* | Senomyx, Inc. | 321,575 | 897 | |
* | K-V Pharmaceutical Co. Class A | 307,390 | 885 | |
* | XOMA Ltd. | 1,400,611 | 868 | |
*,^ | Sunrise Senior Living, Inc. | 495,812 | 833 | |
*,^ | Virtual Radiologic Corp. | 78,791 | 668 | |
*,^ | Amicus Therapeutics, Inc. | 82,523 | 659 | |
* | Caraco Pharmaceutical Laboratories, Ltd. | 106,414 | 630 | |
* | TomoTherapy, Inc. | 240,893 | 573 | |
* | MAP Pharmaceuticals Inc. | 74,671 | 521 | |
* | Sucampo Pharmaceuticals Inc. | 74,412 | 428 | |
* | K-V Pharmaceutical Co. Class B | 53,281 | 152 | |
| | | 1,336,472 | |
Industrials (16.8%) | | |
* | URS Corp. | 899,664 | 36,679 | |
* | Waste Connections, Inc. | 831,296 | 26,244 | |
| Lincoln Electric Holdings, Inc. | 456,502 | 23,250 | |
| Watson Wyatt & Co. Holdings | 460,943 | 22,042 | |
* | Corrections Corp. of America | 1,335,693 | 21,852 | |
* | Aecom Technology Corp. | 710,043 | 21,820 |
| Landstar System, Inc. | 564,232 | 21,683 |
| IDEX Corp. | 879,596 | 21,242 |
* | Continental Airlines, Inc. Class B | 1,169,781 | 21,126 |
| Wabtec Corp. | 490,260 | 19,488 |
| Kennametal, Inc. | 816,024 | 18,108 |
| MSC Industrial Direct Co., Inc. Class A | 474,164 | 17,463 |
| The Timken Co. | 873,940 | 17,155 |
| CLARCOR Inc. | 513,637 | 17,042 |
| Hubbell Inc. Class B | 521,483 | 17,042 |
Page 16
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Lennox International Inc. | 499,464 | 16,128 |
* | Teledyne Technologies, Inc. | 361,277 | 16,095 |
| GATX Corp. | 518,868 | 16,069 |
| Curtiss-Wright Corp. | 478,458 | 15,976 |
* | EMCOR Group, Inc. | 696,227 | 15,616 |
* | JetBlue Airways Corp. | 2,162,750 | 15,356 |
* | Tetra Tech, Inc. | 633,386 | 15,296 |
| Granite Construction Co. | 346,790 | 15,234 |
| Graco, Inc. | 639,928 | 15,186 |
| Acuity Brands, Inc. | 433,216 | 15,124 |
* | Moog Inc. | 411,612 | 15,053 |
* | Kirby Corp. | 546,965 | 14,965 |
| Woodward Governor Co. | 645,722 | 14,865 |
| UAL Corp. | 1,348,787 | 14,864 |
* | Thomas & Betts Corp. | 613,657 | 14,740 |
* | Clean Harbors Inc. | 225,693 | 14,318 |
| Trinity Industries, Inc. | 870,278 | 13,716 |
| UTI Worldwide, Inc. | 955,833 | 13,707 |
| Carlisle Co., Inc. | 650,302 | 13,461 |
* | Gardner Denver Inc. | 567,260 | 13,240 |
| The Toro Co. | 399,740 | 13,191 |
| Regal-Beloit Corp. | 343,477 | 13,049 |
| Con-way, Inc. | 487,327 | 12,963 |
| The Brink’s Co. | 479,921 | 12,900 |
| Brady Corp. Class A | 536,271 | 12,844 |
* | Energy Conversion Devices, Inc. | 486,841 | 12,273 |
* | Orbital Sciences Corp. | 623,911 | 12,185 |
* | Huron Consulting Group Inc. | 210,217 | 12,039 |
| Valmont Industries, Inc. | 195,147 | 11,974 |
* | Esterline Technologies Corp. | 314,546 | 11,918 |
^ | Simpson Manufacturing Co. | 414,842 | 11,516 |
* | ESCO Technologies Inc. | 277,604 | 11,368 |
| Actuant Corp. | 594,996 | 11,317 |
| Skywest, Inc. | 606,809 | 11,287 |
* | Alaska Air Group, Inc. | 384,145 | 11,236 |
| Alexander & Baldwin, Inc. | 440,973 | 11,051 |
* | GrafTech International Ltd. | 1,274,777 | 10,606 |
| Nordson Corp. | 327,353 | 10,570 |
| Heartland Express, Inc. | 666,625 | 10,506 |
* | Hub Group, Inc. | 393,660 | 10,444 |
* | Genesee & Wyoming Inc. Class A | 340,264 | 10,378 |
| Knight Transportation, Inc. | 639,625 | 10,311 |
| Kaydon Corp. | 297,198 | 10,209 |
| Watsco, Inc. | 261,909 | 10,057 |
* | General Cable Corp. | 563,484 | 9,968 |
| Mueller Industries Inc. | 396,245 | 9,938 |
* | Geo Group Inc. | 543,025 | 9,791 |
| Belden Inc. | 459,978 | 9,604 |
* | TransDigm Group, Inc. | 284,073 | 9,536 |
| Briggs & Stratton Corp. | 531,517 | 9,349 |
| ABM Industries Inc. | 484,261 | 9,225 |
| Crane Co. | 508,907 | 8,774 |
| Rollins, Inc. | 484,424 | 8,758 |
* | US Airways Group Inc. | 1,126,969 | 8,711 |
* | WESCO International, Inc. | 450,704 | 8,667 |
| Werner Enterprises, Inc. | 492,210 | 8,535 |
* | Old Dominion Freight Line, Inc. | 297,369 | 8,463 |
* | United Stationers, Inc. | 249,541 | 8,357 |
| Deluxe Corp. | 549,867 | 8,226 |
| Otter Tail Corp. | 350,814 | 8,184 |
* | Navigant Consulting, Inc. | 513,552 | 8,150 |
* | BE Aerospace, Inc. | 1,058,175 | 8,137 |
| The Corporate Executive Board Co. | 362,642 | 8,000 |
| Baldor Electric Co. | 442,810 | 7,904 |
| Watts Water Technologies, Inc. | 311,557 | 7,780 |
| Mine Safety Appliances Co. | 324,092 | 7,749 |
Page 17
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Herman Miller, Inc. | 593,183 | 7,729 |
| Mueller Water Products, Inc. | 913,850 | 7,713 |
| Arkansas Best Corp. | 255,768 | 7,701 |
| Applied Industrial Technology, Inc. | 406,576 | 7,692 |
* | AAR Corp. | 411,898 | 7,583 |
* | Hexcel Corp. | 1,022,327 | 7,555 |
| Triumph Group, Inc. | 176,345 | 7,488 |
| Forward Air Corp. | 307,440 | 7,462 |
* | Resources Connection, Inc. | 455,365 | 7,459 |
* | MPS Group, Inc. | 989,215 | 7,449 |
| Barnes Group, Inc. | 491,826 | 7,131 |
*,^ | American Superconductor Corp. | 435,669 | 7,106 |
| Oshkosh Truck Corp. | 793,029 | 7,050 |
| Healthcare Services Group, Inc. | 434,745 | 6,925 |
| American Science & Engineering, Inc. | 93,463 | 6,913 |
* | Sykes Enterprises, Inc. | 351,279 | 6,716 |
^ | HNI Corp. | 423,554 | 6,709 |
* | Beacon Roofing Supply, Inc. | 470,995 | 6,537 |
* | CoStar Group, Inc. | 198,254 | 6,530 |
* | Perini Corp. | 276,179 | 6,457 |
* | Allegiant Travel Co. | 129,914 | 6,310 |
| A.O. Smith Corp. | 209,550 | 6,186 |
* | Astec Industries, Inc. | 190,335 | 5,963 |
* | Insituform Technologies Inc. Class A | 297,970 | 5,867 |
| Ameron International Corp. | 93,174 | 5,863 |
* | Mastec Inc. | 501,758 | 5,810 |
* | Korn/Ferry International | 494,058 | 5,642 |
* | AirTran Holdings, Inc. | 1,246,605 | 5,535 |
* | Axsys Technologies, Inc. | 100,761 | 5,528 |
| Franklin Electric, Inc. | 195,484 | 5,495 |
* | Ceradyne, Inc. | 266,459 | 5,412 |
| Administaff, Inc. | 248,990 | 5,388 |
* | Mobile Mini, Inc. | 371,070 | 5,351 |
* | Team, Inc. | 189,907 | 5,260 |
| Viad Corp. | 212,195 | 5,250 |
* | II-VI, Inc. | 270,680 | 5,167 |
*,^ | RSC Holdings Inc. | 604,821 | 5,153 |
| McGrath RentCorp | 239,209 | 5,110 |
| Robbins & Myers, Inc. | 313,410 | 5,068 |
*,^ | Evergreen Solar, Inc. | 1,577,932 | 5,034 |
| Gorman-Rupp Co. | 160,420 | 4,992 |
* | Layne Christensen Co. | 205,854 | 4,943 |
* | Aerovironment Inc. | 133,445 | 4,912 |
| Kaman Corp. Class A | 270,889 | 4,911 |
| Tredegar Corp. | 269,460 | 4,899 |
| HEICO Corp. | 124,669 | 4,841 |
*,^ | The Middleby Corp. | 177,409 | 4,838 |
| Seaboard Corp. | 3,963 | 4,732 |
* | RBC Bearings Inc. | 232,074 | 4,706 |
| CIRCOR International, Inc. | 170,621 | 4,692 |
| Cubic Corp. | 170,845 | 4,647 |
| Universal Forest Products, Inc. | 172,442 | 4,640 |
* | United Rentals, Inc. | 505,498 | 4,610 |
| Armstrong Worldwide Industries, Inc. | 212,910 | 4,603 |
* | EnPro Industries, Inc. | 213,688 | 4,603 |
* | Exponent, Inc. | 152,511 | 4,588 |
| Knoll, Inc. | 505,595 | 4,560 |
| Comfort Systems USA, Inc. | 421,015 | 4,488 |
* | Griffon Corp. | 481,022 | 4,488 |
* | TrueBlue, Inc. | 461,466 | 4,416 |
* | EnerSys | 397,444 | 4,372 |
* | Force Protection, Inc. | 727,406 | 4,350 |
| EnergySolutions | 755,199 | 4,267 |
* | CBIZ Inc. | 492,044 | 4,256 |
| Genco Shipping and Trading Ltd. | 287,467 | 4,255 |
| Raven Industries, Inc. | 173,609 | 4,184 |
Page 18
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | DynCorp International Inc. Class A | 274,132 | 4,159 |
* | Northwest Pipe Co. | 97,582 | 4,158 |
| Federal Signal Corp. | 504,865 | 4,145 |
* | The Advisory Board Co. | 184,784 | 4,121 |
* | Blount International, Inc. | 429,868 | 4,075 |
| G & K Services, Inc. Class A | 201,238 | 4,069 |
^ | Lindsay Manufacturing Co. | 122,872 | 3,906 |
* | Stanley Inc. | 107,673 | 3,900 |
* | Colfax Corp. | 374,750 | 3,894 |
| Pacer International, Inc. | 373,206 | 3,893 |
| Badger Meter, Inc. | 132,982 | 3,859 |
* | School Specialty, Inc. | 199,962 | 3,823 |
| Heidrick & Struggles International, Inc. | 175,299 | 3,776 |
| Quanex Building Products Corp. | 400,784 | 3,755 |
| Albany International Corp. | 283,323 | 3,627 |
| Steelcase Inc. | 634,072 | 3,563 |
| American Ecology Corp. | 175,044 | 3,541 |
* | L.B. Foster Co. Class A | 113,021 | 3,535 |
* | GeoEye Inc. | 182,387 | 3,507 |
* | Dycom Industries, Inc. | 425,521 | 3,498 |
* | Republic Airways Holdings Inc. | 327,380 | 3,493 |
| Encore Wire Corp. | 183,923 | 3,487 |
| Kelly Services, Inc. Class A | 266,941 | 3,473 |
* | NCI Building Systems, Inc. | 209,270 | 3,411 |
| Eagle Bulk Shipping Inc. | 498,444 | 3,399 |
| Ennis, Inc. | 275,973 | 3,342 |
* | Marten Transport, Ltd. | 173,801 | 3,295 |
*,^ | Taser International Inc. | 623,282 | 3,291 |
* | Interline Brands, Inc. | 309,139 | 3,286 |
* | ATC Technology Corp. | 223,734 | 3,273 |
* | Chart Industries, Inc. | 301,123 | 3,201 |
| Apogee Enterprises, Inc. | 307,444 | 3,185 |
*,^ | Ener1, Inc. | 444,955 | 3,181 |
* | AZZ Inc. | 123,071 | 3,089 |
* | CRA International Inc. | 113,652 | 3,061 |
| Gibraltar Industries Inc. | 254,365 | 3,037 |
* | Hawaiian Holdings, Inc. | 455,746 | 2,908 |
| AAON, Inc. | 137,943 | 2,880 |
* | Kforce Inc. | 371,498 | 2,853 |
| Titan International, Inc. | 345,404 | 2,850 |
* | Atlas Air Worldwide Holdings, Inc. | 149,735 | 2,830 |
* | Cornell Cos., Inc. | 149,355 | 2,777 |
| Tennant Co. | 176,220 | 2,714 |
* | American Reprographics Co. | 391,099 | 2,699 |
* | Columbus McKinnon Corp. | 192,729 | 2,631 |
| Dynamic Materials Corp. | 134,738 | 2,602 |
| Cascade Corp. | 86,893 | 2,595 |
* | Argon ST, Inc. | 137,291 | 2,589 |
*,^ | FuelCell Energy, Inc. | 660,434 | 2,562 |
* | Amerco, Inc. | 73,565 | 2,540 |
| Standex International Corp. | 126,341 | 2,507 |
| Sun Hydraulics Corp. | 133,041 | 2,507 |
^ | Mueller Water Products, Inc. Class A | 298,157 | 2,505 |
| Interface, Inc. | 537,276 | 2,493 |
* | Powell Industries, Inc. | 85,169 | 2,472 |
* | Cenveo Inc. | 548,490 | 2,441 |
| TAL International Group, Inc. | 173,032 | 2,440 |
*,^ | Energy Recovery Inc. | 321,085 | 2,434 |
* | Consolidated Graphics, Inc. | 106,243 | 2,405 |
* | Pike Electric Corp. | 194,741 | 2,395 |
| Aircastle Ltd. | 500,636 | 2,393 |
* | Rush Enterprises, Inc. Class A | 278,272 | 2,385 |
| Freightcar America Inc. | 127,483 | 2,329 |
| NACCO Industries, Inc. Class A | 60,149 | 2,250 |
| Kimball International, Inc. Class B | 257,440 | 2,217 |
* | Innerworkings, Inc. | 337,416 | 2,210 |
Page 19
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Duff & Phelps Corp. | 113,869 | 2,177 |
| HEICO Corp. Class A | 74,836 | 2,167 |
*,^ | Fuel-Tech N.V. | 204,217 | 2,163 |
* | Ladish Co., Inc. | 154,179 | 2,135 |
* | Waste Services, Inc. | 321,471 | 2,115 |
* | American Commercial Lines Inc. | 428,431 | 2,099 |
* | Furmanite Corp. | 385,551 | 2,078 |
* | M&F Worldwide Corp. | 133,725 | 2,066 |
* | Acco Brands Corp. | 578,298 | 1,995 |
| Ampco-Pittsburgh Corp. | 91,545 | 1,987 |
* | Titan Machinery, Inc. | 140,796 | 1,980 |
| CDI Corp. | 152,571 | 1,974 |
| Courier Corp. | 110,112 | 1,971 |
* | Polypore International Inc. | 260,193 | 1,967 |
* | ICF International, Inc. | 77,848 | 1,913 |
| American Woodmark Corp. | 104,784 | 1,910 |
| Schawk, Inc. | 160,040 | 1,834 |
* | Hill International Inc. | 260,374 | 1,833 |
* | Standard Parking Corp. | 94,275 | 1,823 |
| Great Lakes Dredge & Dock Co. | 439,312 | 1,823 |
* | GenCorp, Inc. | 490,442 | 1,805 |
* | LECG Corp. | 260,890 | 1,751 |
*,^ | YRC Worldwide, Inc. | 605,336 | 1,737 |
* | H&E Equipment Services, Inc. | 225,280 | 1,737 |
| Macquarie Infrastructure Co. LLC | 452,208 | 1,705 |
| Houston Wire & Cable Co. | 180,420 | 1,680 |
| Bowne & Co., Inc. | 285,085 | 1,676 |
| Wabash National Corp. | 328,177 | 1,477 |
* | Tecumseh Products Co. Class A | 149,628 | 1,433 |
* | First Advantage Corp. Class A | 99,691 | 1,411 |
* | 3D Systems Corp. | 176,835 | 1,404 |
* | TBS International Ltd. | 138,326 | 1,387 |
| Vicor Corp. | 205,542 | 1,359 |
| Textainer Group Holdings Ltd. | 125,581 | 1,331 |
* | Spherion Corp. | 559,609 | 1,237 |
| American Railcar Industries, Inc. | 111,935 | 1,179 |
| The Greenbrier Cos., Inc. | 167,239 | 1,149 |
| Sauer-Danfoss, Inc. | 129,934 | 1,137 |
*,^ | EnerNOC Inc. | 148,808 | 1,107 |
* | Volt Information Sciences Inc. | 150,892 | 1,091 |
| Horizon Lines Inc. | 300,712 | 1,049 |
* | TurboChef Technologies, Inc. | 213,574 | 1,049 |
| Lawson Products, Inc. | 45,037 | 1,029 |
| Paragon Shipping, Inc. | 213,561 | 1,014 |
*,^ | Orion Energy Systems Inc. | 184,978 | 1,001 |
* | Clearwater Paper Corp. | 119,212 | 1,000 |
* | Universal Truckload Services, Inc. | 67,750 | 959 |
| The Standard Register Co. | 101,847 | 910 |
* | Hudson Highland Group, Inc. | 271,344 | 909 |
* | Power-One, Inc. | 690,702 | 822 |
* | Plug Power, Inc. | 795,962 | 812 |
* | Safe Bulkers, Inc. | 115,026 | 768 |
* | Avis Budget Group, Inc. | 1,064,052 | 745 |
* | Rush Enterprises, Inc. Class B | 90,434 | 741 |
* | Fushi Copperweld, Inc. | 128,641 | 678 |
*,^ | Valence Technology Inc. | 308,703 | 562 | |
*,^ | China Architectural Engineering Inc. | 164,279 | 404 | |
*,^ | Metalico, Inc. | 227,536 | 353 | |
*,^ | Builders FirstSource, Inc. | 190,902 | 292 | |
* | TriMas Corp. | 175,358 | 242 | |
* | Tecumseh Products Co. Class B | 24,750 | 236 | |
| | | 1,753,432 | |
Information Technology (16.1%) | | |
* | ANSYS, Inc. | 899,939 | 25,099 | |
* | Itron, Inc. | 365,542 | 23,300 | |
^ | FactSet Research Systems Inc. | 485,829 | 21,493 | |
Page 20
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Sybase, Inc. | 857,412 | 21,238 |
| Diebold, Inc. | 700,975 | 19,690 |
* | F5 Networks, Inc. | 857,615 | 19,605 |
* | Equinix, Inc. | 356,566 | 18,966 |
* | QLogic Corp. | 1,397,591 | 18,784 |
| Broadridge Financial Solutions LLC | 1,496,635 | 18,768 |
* | Compuware Corp. | 2,715,684 | 18,331 |
* | Solera Holdings, Inc. | 702,894 | 16,940 |
* | NeuStar, Inc. Class A | 839,072 | 16,051 |
* | Rambus Inc. | 1,007,020 | 16,032 |
| Jack Henry & Associates Inc. | 825,372 | 16,020 |
* | IAC/InterActiveCorp | 1,011,542 | 15,912 |
* | Parametric Technology Corp. | 1,229,122 | 15,548 |
* | Metavante Technologies | 955,803 | 15,398 |
| National Instruments Corp. | 628,409 | 15,308 |
* | Concur Technologies, Inc. | 447,318 | 14,681 |
* | Novell, Inc. | 3,770,373 | 14,667 |
* | CACI International, Inc. | 322,568 | 14,545 |
* | MICROS Systems, Inc. | 867,844 | 14,163 |
* | Atmel Corp. | 4,516,879 | 14,138 |
* | ON Semiconductor Corp. | 4,142,035 | 14,083 |
* | Zebra Technologies Corp. Class A | 694,865 | 14,078 |
* | Varian Semiconductor Equipment Associates, Inc. | 773,828 | 14,022 |
* | Macrovision Solutions Corp. | 1,097,158 | 13,879 |
* | Sohu.com Inc. | 286,465 | 13,561 |
*,^ | Cree, Inc. | 844,953 | 13,409 |
* | InterDigital, Inc. | 476,832 | 13,113 |
* | Perot Systems Corp. | 958,078 | 13,097 |
*,^ | SINA.com | 565,172 | 13,084 |
* | Informatica Corp. | 948,649 | 13,025 |
* | Gartner, Inc. Class A | 700,699 | 12,493 |
* | Polycom, Inc. | 906,984 | 12,253 |
* | ManTech International Corp. | 226,059 | 12,250 |
* | Silicon Laboratories Inc. | 484,259 | 12,000 |
* | Comtech Telecommunications Corp. | 258,572 | 11,848 |
* | CommScope, Inc. | 749,066 | 11,640 |
* | PMC Sierra Inc. | 2,340,719 | 11,376 |
* | Brocade Communications Systems, Inc. | 3,963,844 | 11,099 |
* | Microsemi Corp. | 845,641 | 10,689 |
* | International Rectifier Corp. | 776,511 | 10,483 |
* | Arris Group Inc. | 1,309,169 | 10,408 |
* | Integrated Device Technology Inc. | 1,812,077 | 10,166 |
* | TIBCO Software Inc. | 1,948,653 | 10,113 |
* | Tech Data Corp. | 562,623 | 10,037 |
* | 3Com Corp. | 4,317,868 | 9,845 |
* | Digital River, Inc. | 394,750 | 9,790 |
* | Skyworks Solutions, Inc. | 1,759,502 | 9,748 |
* | Anixter International Inc. | 318,679 | 9,599 |
* | j2 Global Communications, Inc. | 467,410 | 9,367 |
* | Atheros Communications, Inc. | 638,218 | 9,133 |
* | Benchmark Electronics, Inc. | 709,677 | 9,063 |
| ADTRAN Inc. | 609,038 | 9,062 |
* | Quest Software, Inc. | 709,084 | 8,927 |
| Fair Isaac, Inc. | 515,242 | 8,687 |
* | Avocent Corp. | 478,081 | 8,562 |
* | Progress Software Corp. | 439,179 | 8,459 |
* | CyberSource Corp. | 703,316 | 8,433 |
* | Tekelec | 630,084 | 8,405 |
^ | Quality Systems, Inc. | 192,278 | 8,387 |
*,^ | VistaPrint Ltd. | 448,963 | 8,355 |
* | Convergys Corp. | 1,297,030 | 8,314 |
* | Blackboard Inc. | 315,714 | 8,281 |
* | EarthLink, Inc. | 1,176,178 | 7,951 |
* | SRA International, Inc. | 453,860 | 7,829 |
* | Teradyne, Inc. | 1,797,796 | 7,587 |
* | Semtech Corp. | 666,525 | 7,512 |
Page 21
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | TiVo Inc. | 1,030,995 | 7,382 |
* | FEI Co. | 390,733 | 7,369 |
* | FormFactor Inc. | 494,840 | 7,225 |
* | Cypress Semiconductor Corp. | 1,614,041 | 7,215 |
* | Websense, Inc. | 479,086 | 7,172 |
* | Infinera Corp. | 792,647 | 7,102 |
* | ViaSat, Inc. | 294,680 | 7,096 |
* | Plexus Corp. | 417,820 | 7,082 |
| MAXIMUS, Inc. | 199,057 | 6,989 |
* | Intermec, Inc. | 525,643 | 6,981 |
* | Cymer, Inc. | 315,114 | 6,904 |
| Plantronics, Inc. | 520,367 | 6,869 |
* | ADC Telecommunications, Inc. | 1,253,309 | 6,856 |
* | EchoStar Corp. | 449,957 | 6,691 |
* | Wind River Systems Inc. | 737,558 | 6,660 |
* | Ariba, Inc. | 915,366 | 6,600 |
* | MKS Instruments, Inc. | 445,717 | 6,592 |
* | Lawson Software, Inc. | 1,388,314 | 6,581 |
* | Genpact, Ltd. | 797,143 | 6,552 |
* | Riverbed Technology, Inc. | 571,625 | 6,511 |
* | Fairchild Semiconductor International, Inc. | 1,330,031 | 6,504 |
* | CSG Systems International, Inc. | 371,803 | 6,495 |
* | Cogent Inc. | 475,797 | 6,457 |
* | Cabot Microelectronics Corp. | 247,564 | 6,454 |
* | Ciena Corp. | 959,461 | 6,428 |
| Acxiom Corp. | 785,418 | 6,370 |
* | Rofin-Sinar Technologies Inc. | 307,134 | 6,321 |
* | ValueClick, Inc. | 922,020 | 6,307 |
* | Emulex Corp. | 900,578 | 6,286 |
| Cognex Corp. | 424,170 | 6,278 |
| Blackbaud, Inc. | 463,858 | 6,262 |
* | Vishay Intertechnology, Inc. | 1,829,377 | 6,256 |
| Take-Two Interactive Software, Inc. | 821,176 | 6,208 |
* | Omniture, Inc. | 579,408 | 6,165 |
* | Interwoven Inc. | 488,169 | 6,151 |
* | Verigy Ltd. | 638,796 | 6,145 |
* | Tessera Technologies, Inc. | 515,830 | 6,128 |
| Syntel, Inc. | 264,561 | 6,117 |
* | ACI Worldwide, Inc. | 367,258 | 5,839 |
* | Commvault Systems, Inc. | 429,854 | 5,764 |
* | Sycamore Networks, Inc. | 2,113,549 | 5,685 |
* | Harmonic, Inc. | 1,009,112 | 5,661 |
* | Synaptics Inc. | 340,778 | 5,643 |
* | Coherent, Inc. | 253,128 | 5,432 |
* | Net 1 UEPS Technologies, Inc. | 396,130 | 5,427 |
* | ScanSource, Inc. | 281,096 | 5,417 |
* | EPIQ Systems, Inc. | 321,371 | 5,370 |
*,^ | Data Domain, Inc. | 285,076 | 5,359 |
* | Electronics for Imaging, Inc. | 559,618 | 5,350 |
* | Hittite Microwave Corp. | 181,430 | 5,345 |
* | Rogers Corp. | 191,828 | 5,327 |
*,^ | Bankrate, Inc. | 139,965 | 5,319 |
* | TriQuint Semiconductor, Inc. | 1,538,534 | 5,293 |
* | SPSS, Inc. | 192,889 | 5,200 |
* | Wright Express Corp. | 412,352 | 5,196 |
* | Euronet Worldwide, Inc. | 443,883 | 5,153 |
* | ATMI, Inc. | 332,698 | 5,134 |
* | Mercadolibre Inc. | 305,649 | 5,016 |
* | Mentor Graphics Corp. | 966,917 | 4,999 |
| United Online, Inc. | 822,154 | 4,990 |
* | Forrester Research, Inc. | 173,274 | 4,888 |
| Black Box Corp. | 186,586 | 4,874 |
* | S1 Corp. | 604,307 | 4,768 |
* | L-1 Identity Solutions Inc. | 705,542 | 4,755 |
* | Tyler Technologies, Inc. | 389,702 | 4,669 |
| Imation Corp. | 341,488 | 4,634 |
Page 22
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Sonus Networks, Inc. | 2,886,627 | 4,561 |
| AVX Corp. | 547,593 | 4,348 |
| MTS Systems Corp. | 162,469 | 4,328 |
* | EMS Technologies, Inc. | 166,508 | 4,308 |
* | Avid Technology, Inc. | 394,823 | 4,308 |
* | NETGEAR, Inc. | 377,296 | 4,305 |
* | Adaptec, Inc. | 1,279,652 | 4,223 |
^ | Heartland Payment Systems, Inc. | 239,774 | 4,196 |
* | DealerTrack Holdings Inc. | 346,901 | 4,125 |
* | Manhattan Associates, Inc. | 260,597 | 4,120 |
* | JDA Software Group, Inc. | 312,708 | 4,106 |
| Micrel, Inc. | 560,889 | 4,100 |
*,^ | Netlogic Microsystems Inc. | 185,100 | 4,074 |
* | Checkpoint Systems, Inc. | 411,186 | 4,046 |
*,^ | Advent Software, Inc. | 200,602 | 4,006 |
* | Brooks Automation, Inc. | 677,947 | 3,939 |
| Park Electrochemical Corp. | 206,961 | 3,924 |
* | Standard Microsystem Corp. | 238,098 | 3,891 |
* | Sapient Corp. | 873,201 | 3,877 |
* | The Ultimate Software Group, Inc. | 263,051 | 3,841 |
* | Littelfuse, Inc. | 230,777 | 3,831 |
* | AsiaInfo Holdings, Inc. | 319,520 | 3,783 |
* | Zoran Corp. | 552,344 | 3,772 |
* | RealNetworks, Inc. | 1,066,494 | 3,765 |
* | TeleTech Holdings, Inc. | 449,168 | 3,751 |
* | MicroStrategy Inc. | 97,213 | 3,610 |
*,^ | Starent Networks Corp. | 298,243 | 3,558 |
* | Advanced Energy Industries, Inc. | 357,343 | 3,556 |
* | DTS Inc. | 193,539 | 3,551 |
* | VeriFone Holdings, Inc. | 718,242 | 3,519 |
* | Vocus, Inc. | 190,114 | 3,462 |
* | Blue Coat Systems, Inc. | 411,643 | 3,458 |
^ | Daktronics, Inc. | 364,735 | 3,414 |
*,^ | Palm, Inc. | 1,100,754 | 3,379 |
* | Insight Enterprises, Inc. | 486,191 | 3,355 |
* | Silicon Image, Inc. | 780,492 | 3,278 |
* | VASCO Data Security International, Inc. | 315,955 | 3,264 |
*,^ | Universal Display Corp. | 345,084 | 3,261 |
* | Unisys Corp. | 3,836,038 | 3,261 |
* | Telecommunication Systems, Inc. | 379,090 | 3,256 |
* | Actel Corp. | 275,719 | 3,231 |
* | MSC Software Corp. | 480,996 | 3,213 |
* | Monolithic Power Systems | 250,166 | 3,155 |
* | Neutral Tandem, Inc. | 187,194 | 3,036 |
* | THQ Inc. | 710,546 | 2,977 |
* | Supertex, Inc. | 123,736 | 2,971 |
* | FARO Technologies, Inc. | 169,679 | 2,861 |
* | OmniVision Technologies, Inc. | 544,484 | 2,859 |
| Cohu, Inc. | 235,055 | 2,856 |
* | Ultratech, Inc. | 237,991 | 2,846 |
| InfoSpace, Inc. | 369,246 | 2,788 |
* | Amkor Technology, Inc. | 1,268,624 | 2,766 |
* | Epicor Software Corp. | 572,950 | 2,750 |
* | Ciber, Inc. | 571,642 | 2,750 |
*,^ | Cavium Networks, Inc. | 261,302 | 2,746 |
* | Applied Micro Circuits Corp. | 695,335 | 2,733 |
| Methode Electronics, Inc. Class A | 404,863 | 2,729 |
*,^ | Sigma Designs, Inc. | 282,978 | 2,688 |
* | Art Technology Group, Inc. | 1,381,797 | 2,667 |
* | Sanmina-SCI Corp. | 5,668,223 | 2,664 |
* | Entegris Inc. | 1,193,463 | 2,614 |
* | Exar Corp. | 387,800 | 2,587 |
* | The Knot, Inc. | 309,366 | 2,574 |
*,^ | Echelon Corp. | 303,499 | 2,474 |
* | Move, Inc. | 1,534,539 | 2,455 |
* | Brightpoint, Inc. | 562,604 | 2,447 |
Page 23
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | GSI Commerce, Inc. | 228,082 | 2,399 |
* | TTM Technologies, Inc. | 458,838 | 2,391 |
* | Vignette Corp. | 253,102 | 2,382 |
* | OSI Systems Inc. | 171,856 | 2,380 |
| Cass Information Systems, Inc. | 77,956 | 2,375 |
* | DSP Group Inc. | 294,908 | 2,365 |
* | Newport Corp. | 347,942 | 2,359 |
* | Ixia | 405,185 | 2,342 |
* | ComScore Inc. | 183,464 | 2,339 |
* | Synchronoss Technologies, Inc. | 218,469 | 2,329 |
| Electro Rent Corp. | 207,726 | 2,318 |
*,^ | Stratasys, Inc. | 213,392 | 2,294 |
* | SonicWALL, Inc. | 567,832 | 2,260 |
* | Internet Capital Group Inc. | 414,604 | 2,260 |
* | TNS Inc. | 240,465 | 2,258 |
* | NCI, Inc. | 73,863 | 2,225 |
* | 3PAR, Inc. | 290,146 | 2,214 |
* | IPG Photonics Corp. | 167,214 | 2,204 |
* | Silicon Storage Technology, Inc. | 962,110 | 2,203 |
*,^ | SAVVIS, Inc. | 315,185 | 2,172 |
* | NetScout Systems, Inc. | 250,263 | 2,157 |
*,^ | WebMD Health Corp. Class A | 91,417 | 2,157 |
| Bel Fuse, Inc. Class B | 100,937 | 2,140 |
* | SYNNEX Corp. | 186,993 | 2,119 |
*,^ | UTStarcom, Inc. | 1,141,933 | 2,113 |
* | Extreme Networks, Inc. | 900,349 | 2,107 |
* | DG FastChannel Inc. | 166,575 | 2,079 |
* | Netezza Corp. | 312,386 | 2,074 |
* | Veeco Instruments, Inc. | 326,150 | 2,068 |
* | RF Micro Devices, Inc. | 2,641,039 | 2,060 |
* | Symyx Technologies, Inc. | 344,194 | 2,044 |
* | Taleo Corp. Class A | 256,837 | 2,011 |
| NIC Inc. | 435,258 | 2,002 |
| CTS Corp. | 359,494 | 1,981 |
* | Diodes Inc. | 326,559 | 1,979 |
* | Integral Systems, Inc. | 162,694 | 1,960 |
* | Electro Scientific Industries, Inc. | 286,572 | 1,946 |
*,^ | LoopNet, Inc. | 282,902 | 1,929 |
| Pegasystems Inc. | 154,619 | 1,911 |
* | Loral Space and Communications Ltd. | 130,315 | 1,893 |
* | Lattice Semiconductor Corp. | 1,236,324 | 1,867 |
* | SuccessFactors Inc. | 324,799 | 1,864 |
*,^ | Internet Brands Inc. | 306,443 | 1,783 |
* | infoGROUP, Inc. | 365,869 | 1,734 |
* | Kenexa Corp. | 214,118 | 1,709 |
* | Terremark Worldwide, Inc. | 437,586 | 1,702 |
* | RightNow Technologies Inc. | 216,712 | 1,675 |
* | Cirrus Logic, Inc. | 618,072 | 1,656 |
* | Hughes Communications Inc. | 103,315 | 1,647 |
* | ArcSight, Inc. | 200,052 | 1,602 |
*,^ | Constant Contact, Inc. | 120,867 | 1,601 |
* | Ness Technologies Inc. | 372,920 | 1,596 |
| Marchex, Inc. | 271,443 | 1,582 |
* | Perficient, Inc. | 327,367 | 1,565 |
* | Novatel Wireless, Inc. | 334,543 | 1,552 |
* | Finisar Corp. | 3,985,352 | 1,514 |
*,^ | Airvana, Inc. | 244,785 | 1,498 |
* | Switch and Data Inc. | 201,648 | 1,490 |
* | iGATE Corp. | 227,628 | 1,482 |
* | Aruba Networks, Inc. | 578,855 | 1,476 |
| Technitrol, Inc. | 415,322 | 1,445 |
* | ModusLink Global Solutions, Inc. | 497,518 | 1,438 |
* | Harris Stratex Networks, Inc. Class A | 270,299 | 1,395 |
* | Cogo Group, Inc. | 284,796 | 1,384 |
*,^ | NetSuite Inc. | 161,757 | 1,365 |
* | Liquidity Services, Inc. | 162,245 | 1,351 |
Page 24
Vanguard® Small-Cap Index Fund | | | |
Schedule of Investments | | | |
December 31, 2008 | | | |
| | | Market | |
| | | Value | |
| | Shares | ($000) | |
* | Internap Network Services Corp. | 533,148 | 1,333 | |
* | ExlService Holdings, Inc. | 151,977 | 1,302 | |
* | Acme Packet, Inc. | 246,058 | 1,294 | |
* | MRV Communications Inc. | 1,661,402 | 1,279 | |
* | Rackable Systems Inc. | 315,006 | 1,241 | |
* | STEC Inc. | 291,022 | 1,240 | |
* | Multi-Fineline Electronix, Inc. | 105,108 | 1,229 | |
* | Trident Microsystems, Inc. | 644,285 | 1,218 | |
* | Advanced Analogic Technologies, Inc. | 392,881 | 1,186 | |
* | Monotype Imaging Holdings Inc. | 199,781 | 1,159 | |
* | BigBand Networks Inc. | 203,552 | 1,124 | |
* | Global Cash Access, Inc. | 487,757 | 1,083 | |
* | Rudolph Technologies, Inc. | 306,379 | 1,082 | |
| Agilysys, Inc. | 239,687 | 1,028 | |
* | ANADIGICS, Inc. | 684,375 | 1,013 | |
* | ICx Technologies, Inc. | 126,562 | 1,001 | |
* | China Information Security Technology, Inc. | 276,147 | 994 | |
* | DivX, Inc. | 187,982 | 983 | |
* | Limelight Networks Inc. | 393,447 | 964 | |
* | Kulicke & Soffa Industries, Inc. | 566,160 | 962 | |
* | Compellent Technologies, Inc. | 97,841 | 952 | |
* | Dice Holdings Inc. | 229,525 | 936 | |
* | Radiant Systems, Inc. | 273,015 | 920 | |
*,^ | EMCORE Corp. | 656,435 | 853 | |
* | FalconStor Software, Inc. | 305,621 | 850 | |
* | Chordiant Software, Inc. | 317,172 | 844 | |
* | Hutchinson Technology, Inc. | 239,223 | 832 | |
*,^ | Isilon Systems Inc. | 240,559 | 791 | |
*,^ | Comverge Inc. | 161,261 | 790 | |
* | Quantum Corp. | 2,171,880 | 782 | |
* | Mattson Technology, Inc. | 518,344 | 731 | |
* | Powerwave Technologies, Inc. | 1,382,908 | 691 | |
| Renaissance Learning, Inc. | 76,738 | 690 | |
* | Smart Modular Technologies Inc. | 383,321 | 590 | |
*,^ | Orbcomm, Inc. | 263,625 | 569 | |
* | Rubicon Technology, Inc. | 132,906 | 566 | |
* | Deltek, Inc. | 114,271 | 530 | |
* | TechTarget | 107,694 | 465 | |
* | Magma Design Automation, Inc. | 415,401 | 424 | |
* | OpNext, Inc. | 239,844 | 420 | |
| Gevity HR, Inc. | 245,572 | 371 | |
* | Conexant Systems, Inc. | 520,753 | 357 | |
* | Spansion Inc. Class A | 1,268,063 | 240 | |
* | Kemet Corp. | 882,881 | 238 | |
* | GSI Group, Inc. | 400,517 | 229 | |
| Bel Fuse, Inc. Class A | 11,210 | 202 | |
| | | 1,677,944 | |
Materials (4.2%) | | |
| AptarGroup Inc. | 723,066 | 25,481 | |
| Compass Minerals International, Inc. | 345,502 | 20,267 | |
| RPM International, Inc. | 1,375,414 | 18,279 | |
| Valspar Corp. | 1,006,792 | 18,213 | |
| Royal Gold, Inc. | 325,297 | 16,008 | |
| Packaging Corp. of America | 1,103,897 | 14,858 | |
| Olin Corp. | 803,477 | 14,527 | |
| Scotts Miracle-Gro Co. | 481,998 | 14,325 |
| Silgan Holdings, Inc. | 282,757 | 13,519 |
| Rock-Tenn Co. | 386,551 | 13,212 |
| Sensient Technologies Corp. | 489,422 | 11,687 |
| Cabot Corp. | 683,595 | 10,459 |
| Cytec Industries, Inc. | 480,837 | 10,203 |
| Carpenter Technology Corp. | 449,912 | 9,241 |
| Schnitzer Steel Industries, Inc. Class A | 232,508 | 8,754 |
| Texas Industries, Inc. | 248,553 | 8,575 |
| Eagle Materials, Inc. | 462,891 | 8,522 |
Page 25
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Greif Inc. Class A | 254,755 | 8,516 |
| H.B. Fuller Co. | 514,936 | 8,296 |
* | Intrepid Potash, Inc. | 397,868 | 8,264 |
| Minerals Technologies, Inc. | 201,806 | 8,254 |
| Worthington Industries, Inc. | 712,753 | 7,855 |
| Arch Chemicals, Inc. | 264,495 | 6,895 |
* | OM Group, Inc. | 324,043 | 6,841 |
* | Calgon Carbon Corp. | 394,796 | 6,064 |
| Wausau Paper Corp. | 493,682 | 5,648 |
| Temple-Inland Inc. | 1,135,129 | 5,449 |
* | Hecla Mining Co. | 1,915,827 | 5,364 |
| Deltic Timber Corp. | 113,073 | 5,173 |
* | Rockwood Holdings, Inc. | 472,643 | 5,105 |
| AMCOL International Corp. | 242,620 | 5,083 |
| NewMarket Corp. | 140,252 | 4,896 |
| Balchem Corp. | 193,455 | 4,819 |
*,^ | Coeur d’Alene Mines Corp. | 5,280,693 | 4,647 |
* | W.R. Grace & Co. | 768,097 | 4,586 |
* | Solutia Inc. | 1,004,630 | 4,521 |
| Glatfelter | 482,223 | 4,485 |
| A. Schulman Inc. | 253,408 | 4,308 |
| Zep, Inc. | 222,935 | 4,305 |
* | Century Aluminum Co. | 417,787 | 4,178 |
| Koppers Holdings, Inc. | 185,530 | 4,011 |
| Kaiser Aluminum Corp. | 164,709 | 3,709 |
| Chemtura Corp. | 2,588,653 | 3,624 |
| Stepan Co. | 75,872 | 3,565 |
* | RTI International Metals, Inc. | 245,352 | 3,511 |
| Westlake Chemical Corp. | 208,816 | 3,402 |
| Ferro Corp. | 467,541 | 3,296 |
| Schweitzer-Mauduit International, Inc. | 157,776 | 3,159 |
* | Haynes International, Inc. | 127,526 | 3,140 |
| Innophos Holdings Inc. | 156,441 | 3,099 |
* | Headwaters Inc. | 449,325 | 3,033 |
* | PolyOne Corp. | 939,242 | 2,959 |
* | Brush Engineered Materials Inc. | 216,739 | 2,757 |
*,^ | Zoltek Cos., Inc. | 292,876 | 2,633 |
| American Vanguard Corp. | 213,465 | 2,498 |
* | Stillwater Mining Co. | 497,542 | 2,458 |
| Myers Industries, Inc. | 299,006 | 2,392 |
| Spartech Corp. | 325,039 | 2,035 |
| Olympic Steel, Inc. | 99,108 | 2,019 |
| A.M. Castle & Co. | 182,274 | 1,974 |
* | Horsehead Holding Corp. | 376,674 | 1,770 |
| Louisiana-Pacific Corp. | 1,094,073 | 1,707 |
* | Buckeye Technology, Inc. | 417,338 | 1,519 |
| Innospec, Inc. | 250,000 | 1,472 |
* | Graphic Packaging Holding Co. | 1,262,707 | 1,439 |
| NL Industries, Inc. | 103,455 | 1,386 |
| Neenah Paper Inc. | 154,010 | 1,361 |
* | Smurfit-Stone Container Corp. | 2,709,549 | 691 |
*,^ | General Moly, Inc. | 562,054 | 663 |
* | Flotek Industries, Inc. | 227,380 | 573 |
*,^ | Apex Silver Mines Ltd. | 562,279 | 551 |
^ | Georgia Gulf Corp. | 347,191 | 371 |
*,^ | AbitibiBowater, Inc. | 531,927 | 250 |
| | | 442,709 |
Telecommunication Services (1.0%) | | |
* | SBA Communications Corp. | 1,016,735 | 16,593 |
* | tw telecom inc. | 1,492,780 | 12,644 |
* | Centennial Communications Corp. Class A | 862,899 | 6,955 |
| Shenandoah Telecommunications Co. | 237,971 | 6,675 |
* | Syniverse Holdings Inc. | 473,212 | 5,650 |
* | Premiere Global Services, Inc. | 621,562 | 5,352 |
| Iowa Telecommunications Services Inc. | 340,868 | 4,868 |
Page 26
Vanguard® Small-Cap Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Cincinnati Bell Inc. | 2,507,681 | 4,840 |
| NTELOS Holdings Corp. | 179,457 | 4,425 |
| Alaska Communications Systems Holdings, Inc. | 463,867 | 4,351 |
* | General Communication, Inc. | 480,205 | 3,885 |
* | Cbeyond Inc. | 242,682 | 3,878 |
| FairPoint Communications, Inc. | 944,066 | 3,097 |
*,^ | Cogent Communications Group, Inc. | 460,582 | 3,008 |
| Consolidated Communications Holdings, Inc. | 250,713 | 2,978 |
| USA Mobility, Inc. | 248,221 | 2,872 |
| Atlantic Tele-Network, Inc. | 104,677 | 2,779 |
* | Global Crossing Ltd. | 270,077 | 2,144 |
* | PAETEC Holding Corp. | 1,311,767 | 1,889 |
| SureWest Communications | 140,582 | 1,605 |
* | ICO Global Communications (Holdings) Ltd. | 1,218,105 | 1,376 |
* | iPCS, Inc. | 153,778 | 1,055 |
*,^ | Vonage Holdings Corp. | 821,233 | 542 |
*,^ | TerreStar Corp. | 583,737 | 234 |
* | Fibertower Corp. | 791,064 | 127 |
* | Globalstar, Inc. | 29,594 | 6 |
| | | 103,828 |
Utilities (5.1%) | | |
| Aqua America, Inc. | 1,436,864 | 29,585 |
| UGI Corp. Holding Co. | 1,146,938 | 28,008 |
| AGL Resources Inc. | 816,847 | 25,608 |
| OGE Energy Corp. | 983,338 | 25,350 |
| Piedmont Natural Gas, Inc. | 781,761 | 24,758 |
| Great Plains Energy, Inc. | 1,265,330 | 24,459 |
| Westar Energy, Inc. | 1,152,336 | 23,634 |
| ITC Holdings Corp. | 527,078 | 23,023 |
| Atmos Energy Corp. | 965,556 | 22,884 |
| Hawaiian Electric Industries Inc. | 960,744 | 21,271 |
| Vectren Corp. | 819,627 | 20,499 |
| New Jersey Resources Corp. | 447,911 | 17,625 |
| WGL Holdings Inc. | 531,792 | 17,384 |
| Nicor Inc. | 481,023 | 16,711 |
| Cleco Corp. | 641,692 | 14,650 |
| IDACORP, Inc. | 482,700 | 14,215 |
| Portland General Electric Co. | 666,756 | 12,982 |
| South Jersey Industries, Inc. | 317,157 | 12,639 |
| Northwest Natural Gas Co. | 281,795 | 12,464 |
| Southwest Gas Corp. | 464,349 | 11,711 |
| UniSource Energy Corp. | 378,503 | 11,113 |
| Black Hills Corp. | 409,205 | 11,032 |
| Avista Corp. | 569,225 | 11,031 |
| The Laclede Group, Inc. | 222,113 | 10,404 |
| California Water Service Group | 209,946 | 9,748 |
| NorthWestern Corp. | 407,476 | 9,563 |
| PNM Resources Inc. | 921,528 | 9,289 |
| ALLETE, Inc. | 280,933 | 9,066 |
| CH Energy Group, Inc. | 168,244 | 8,646 |
* | El Paso Electric Co. | 477,235 | 8,633 |
| MGE Energy, Inc. | 236,294 | 7,798 |
| UIL Holdings Corp. | 255,104 | 7,661 |
| Ormat Technologies Inc. | 217,810 | 6,942 |
| Empire District Electric Co. | 360,616 | 6,347 |
| American States Water Co. | 184,312 | 6,079 |
| SJW Corp. | 147,242 | 4,408 |
* | Synthesis Energy Systems, Inc. | 342,571 | 233 |
| | | 537,453 |
| | | |
Total Common Stocks (Cost $14,173,920) | | 10,310,648 |
Page 27
Vanguard® Small-Cap Index Fund | | | | |
Schedule of Investments | | | | |
December 31, 2008 | | | | |
| | | | | Market |
| | | Maturity | | Value |
| | Coupon | Date | Shares | ($000) |
Temporary Cash Investments (4.2%)1 | | | | |
Money Market Fund (4.1%) | | | | |
2,3 | Vanguard Market Liquidity Fund | 1.378% | | 424,976,026 | 424,976 |
| | | | | |
| | | | Face | |
| | | | Amount | |
| | | | ($000) | |
U.S. Agency Obligations (0.1%) | | | | |
4,5 | Federal Home Loan Bank | 2.624% | 2/27/09 | 6,000 | 5,999 |
4,5 | Federal Home Loan Mortgage Corp. | 1.204% | 2/23/09 | 3,000 | 3,000 |
4,5 | Federal Home Loan Mortgage Corp. | 1.205%–1.256% | 3/23/09 | 5,000 | 4,997 |
| | | | | 13,996 |
| | | | | |
Total Temporary Cash Investments (Cost $438,932) | | | | 438,972 |
Total Investments (103.0%) (Cost $14,612,852) | | | | 10,749,620 |
Other Assets and Liabilities—Net (–3.0%)3 | | | | (314,232) |
Net Assets (100%) | | | | 10,435,388 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $293,301,000.
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 99.9% and 3.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $314,782,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
5 Securities with a value of $13,996,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
Page 28
Vanguard® Small-Cap Growth Index Fund |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
Common Stocks (99.5%)1 | | |
Consumer Discretionary (14.0%) | | |
| Strayer Education, Inc. | 89,822 | 19,259 |
| John Wiley & Sons Class A | 279,269 | 9,936 |
* | Marvel Entertainment, Inc. | 320,684 | 9,861 |
*,^ | Panera Bread Co. | 182,865 | 9,553 |
*,^ | Netflix.com, Inc. | 306,201 | 9,152 |
* | LKQ Corp. | 767,539 | 8,950 |
* | Corinthian Colleges, Inc. | 537,333 | 8,796 |
* | WMS Industries, Inc. | 315,505 | 8,487 |
| Gentex Corp. | 893,104 | 7,886 |
* | Jack in the Box Inc. | 356,840 | 7,883 |
* | Scientific Games Corp. | 437,872 | 7,680 |
* | Dick’s Sporting Goods, Inc. | 537,522 | 7,584 |
* | Hanesbrands Inc. | 589,798 | 7,520 |
* | Tractor Supply Co. | 206,318 | 7,456 |
* | Bally Technologies Inc. | 309,816 | 7,445 |
* | Big Lots Inc. | 513,690 | 7,443 |
| Aaron Rents, Inc. | 268,988 | 7,160 |
| Matthews International Corp. | 194,371 | 7,130 |
* | Aeropostale, Inc. | 421,143 | 6,780 |
| Hillenbrand Inc. | 392,680 | 6,550 |
| Phillips-Van Heusen Corp. | 323,479 | 6,512 |
* | Chipotle Mexican Grill, Inc. Class B | 110,731 | 6,344 |
* | Deckers Outdoor Corp. | 78,072 | 6,236 |
* | Brink’s Home Security Holdings, Inc. | 283,340 | 6,211 |
^ | Polaris Industries, Inc. | 204,344 | 5,854 |
* | The Warnaco Group, Inc. | 289,547 | 5,684 |
*,^ | Chipotle Mexican Grill, Inc. | 91,638 | 5,680 |
| Pool Corp. | 301,089 | 5,411 |
* | Career Education Corp. | 282,017 | 5,059 |
* | Fossil, Inc. | 298,090 | 4,978 |
* | The Gymboree Corp. | 181,887 | 4,745 |
| Wendy’s/Arby’s Group, Inc. | 944,828 | 4,667 |
* | Chico’s FAS, Inc. | 1,110,659 | 4,643 |
* | Capella Education Co. | 78,591 | 4,618 |
*,^ | Vail Resorts Inc. | 169,042 | 4,497 |
*,^ | Under Armour, Inc. | 184,931 | 4,409 |
* | Sonic Corp. | 360,636 | 4,389 |
* | Lions Gate Entertainment Corp. | 738,321 | 4,061 |
* | The Cheesecake Factory Inc. | 386,972 | 3,908 |
* | DreamWorks Animation SKG, Inc. | 150,861 | 3,811 |
* | Morningstar, Inc. | 102,322 | 3,632 |
* | Coinstar, Inc. | 177,514 | 3,463 |
* | CEC Entertainment Inc. | 142,470 | 3,455 |
* | The Children’s Place Retail Stores, Inc. | 156,692 | 3,397 |
* | American Public Education, Inc. | 87,137 | 3,241 |
* | Iconix Brand Group Inc. | 327,309 | 3,201 |
* | P.F. Chang’s China Bistro, Inc. | 149,690 | 3,135 |
* | Liberty Media Corp.-Capital Series A | 662,863 | 3,122 |
*,^ | J. Crew Group, Inc. | 255,054 | 3,112 |
*,^ | Jos. A. Bank Clothiers, Inc. | 114,509 | 2,994 |
| Thor Industries, Inc. | 226,793 | 2,989 |
*,^ | Sally Beauty Co. Inc. | 513,189 | 2,920 |
* | Steiner Leisure Ltd. | 97,397 | 2,875 |
* | Hibbett Sports Inc. | 179,059 | 2,813 |
*,^ | Life Time Fitness, Inc. | 211,841 | 2,743 |
| National CineMedia Inc. | 264,544 | 2,682 |
* | PetMed Express, Inc. | 149,216 | 2,631 |
* | Papa John’s International, Inc. | 141,407 | 2,606 |
* | Texas Roadhouse, Inc. | 335,988 | 2,604 |
* | Live Nation, Inc. | 452,797 | 2,599 |
* | Buffalo Wild Wings Inc. | 100,976 | 2,590 |
* | Fuel Systems Solutions, Inc. | 79,057 | 2,590 |
| CKE Restaurants Inc. | 296,939 | 2,577 |
Page 29
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| MDC Holdings, Inc. | 81,630 | 2,473 |
* | Universal Technical Institute Inc. | 134,279 | 2,306 |
| Choice Hotels International, Inc. | 76,136 | 2,289 |
| Arbitron Inc. | 167,015 | 2,218 |
* | 99 Cents Only Stores | 200,647 | 2,193 |
* | Meritage Corp. | 173,828 | 2,116 |
* | Pre-Paid Legal Services, Inc. | 55,805 | 2,081 |
* | AnnTaylor Stores Corp. | 359,102 | 2,072 |
*,^ | Blue Nile Inc. | 82,507 | 2,021 |
* | thinkorswim Group, Inc. | 353,455 | 1,986 |
* | Peet’s Coffee & Tea Inc. | 85,380 | 1,985 |
* | Ascent Media Corp. | 84,318 | 1,842 |
* | Gaylord Entertainment Co. | 167,169 | 1,812 |
* | True Religion Apparel, Inc. | 138,193 | 1,719 |
* | Red Robin Gourmet Burgers, Inc. | 101,016 | 1,700 |
| NutriSystem, Inc. | 114,953 | 1,677 |
| Ryland Group, Inc. | 93,852 | 1,658 |
* | Shuffle Master, Inc. | 332,717 | 1,650 |
* | The Wet Seal, Inc. Class A | 542,728 | 1,612 |
* | Ticketmaster Entertainment Inc. | 245,428 | 1,576 |
* | California Pizza Kitchen, Inc. | 146,644 | 1,572 |
* | Drew Industries, Inc. | 123,206 | 1,478 |
| Men’s Wearhouse, Inc. | 108,062 | 1,463 |
* | Universal Electronics, Inc. | 87,625 | 1,421 |
* | RCN Corp. | 235,574 | 1,390 |
*,^ | Lululemon Athletica, Inc. | 171,485 | 1,360 |
* | Core-Mark Holding Co., Inc. | 60,124 | 1,294 |
* | Ulta Salon, Cosmetics & Fragrance, Inc. | 144,429 | 1,196 |
* | Denny’s Corp. | 599,058 | 1,192 |
* | BJ’s Restaurants Inc. | 107,815 | 1,161 |
* | K12 Inc. | 61,168 | 1,147 |
* | The Dress Barn, Inc. | 106,382 | 1,143 |
* | Coldwater Creek Inc. | 400,284 | 1,141 |
* | Mediacom Communications Corp. | 255,201 | 1,097 |
* | Volcom, Inc. | 99,689 | 1,087 |
*,^ | Overstock.com, Inc. | 100,524 | 1,084 |
* | Stamps.com Inc. | 103,183 | 1,014 |
| CKX, Inc. | 275,778 | 1,012 |
* | Pinnacle Entertainment, Inc. | 131,322 | 1,009 |
| Systemax Inc. | 91,680 | 987 |
* | Knology, Inc. | 190,266 | 982 |
* | Dolan Media Co. | 145,759 | 961 |
| Fisher Communications, Inc. | 46,403 | 958 |
* | Skechers U.S.A., Inc. | 72,933 | 935 |
* | Citi Trends Inc. | 62,824 | 925 |
| Ambassadors Group, Inc. | 99,799 | 918 |
*,^ | iRobot Corp. | 100,409 | 907 |
* | Zumiez Inc. | 119,492 | 890 |
* | hhgregg, Inc. | 101,224 | 879 |
* | Unifi, Inc. | 304,712 | 859 |
*,^ | Raser Technologies, Inc. | 213,087 | 795 |
* | AFC Enterprises, Inc. | 158,504 | 743 |
*,^ | Zale Corp. | 221,072 | 736 |
* | Shutterfly, Inc. | 101,934 | 713 |
* | Lumber Liquidators, Inc. | 67,344 | 711 |
* | Monarch Casino & Resort, Inc. | 60,534 | 705 |
* | RHI Entertainment, Inc. | 84,215 | 684 |
* | Retail Ventures, Inc. | 183,005 | 635 |
* | 1-800-FLOWERS.COM, Inc. | 165,968 | 634 |
* | Charming Shoppes, Inc. | 249,302 | 608 |
* | Smith & Wesson Holding Corp. | 250,155 | 568 |
* | Morgans Hotel Group | 114,169 | 532 |
* | Interval Leisure Group, Inc. | 85,683 | 462 |
* | Gaiam, Inc. | 99,214 | 458 |
* | Lincoln Educational Services | 31,825 | 422 |
| M/I Homes, Inc. | 39,018 | 411 |
Page 30
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Martha Stewart Living Omnimedia, Inc. | 154,792 | 402 |
*,^ | American Apparel, Inc. | 194,047 | 386 |
* | DSW Inc. Class A | 30,394 | 379 |
* | Leapfrog Enterprises, Inc. | 107,264 | 375 |
* | Steak n Shake Co. | 55,713 | 332 |
*,^ | Crocs, Inc. | 243,342 | 302 |
*,^ | Krispy Kreme Doughnuts, Inc. | 172,598 | 290 |
* | Visteon Corp. | 805,120 | 282 |
* | Champion Enterprises, Inc. | 479,744 | 269 |
*,^ | Crown Media Holdings, Inc. | 91,315 | 260 |
* | Entravision Communications Corp. | 158,613 | 247 |
* | MTR Gaming Group Inc. | 144,000 | 242 |
| Talbots Inc. | 100,452 | 240 |
* | Town Sports International Holdings, Inc. | 72,898 | 233 |
* | Charter Communications, Inc. | 2,392,809 | 196 |
* | Isle of Capri Casinos, Inc. | 35,724 | 114 |
| Borders Group, Inc. | 130,998 | 52 |
| | | 429,065 |
Consumer Staples (3.2%) | | |
| Alberto-Culver Co. | 550,970 | 13,504 |
* | BJ’s Wholesale Club, Inc. | 245,666 | 8,416 |
*,^ | Chattem, Inc. | 100,469 | 7,187 |
| Casey’s General Stores, Inc. | 303,385 | 6,908 |
| Herbalife Ltd. | 300,537 | 6,516 |
* | NBTY, Inc. | 345,620 | 5,409 |
* | Central European Distribution Corp. | 263,050 | 5,182 |
* | United Natural Foods, Inc. | 256,288 | 4,567 |
| Flowers Foods, Inc. | 186,650 | 4,547 |
*,^ | Green Mountain Coffee Roasters, Inc. | 106,743 | 4,131 |
* | Winn-Dixie Stores, Inc. | 221,816 | 3,571 |
| Spartan Stores, Inc. | 138,958 | 3,231 |
* | Darling International, Inc. | 515,087 | 2,828 |
*,^ | American Oriental Bioengineering, Inc. | 393,893 | 2,674 |
* | Smart Balance Inc. | 373,850 | 2,542 |
| Tootsie Roll Industries, Inc. | 87,488 | 2,241 |
* | TreeHouse Foods Inc. | 69,385 | 1,890 |
| Diamond Foods, Inc. | 91,639 | 1,846 |
* | Bare Escentuals, Inc. | 345,094 | 1,805 |
*,^ | USANA Health Sciences, Inc. | 51,314 | 1,757 |
* | Boston Beer Co., Inc. Class A | 59,477 | 1,689 |
* | The Great Atlantic & Pacific Tea Co., Inc. | 217,749 | 1,365 |
| Lance, Inc. | 55,513 | 1,273 |
| PriceSmart, Inc. | 37,168 | 768 |
| Coca-Cola Bottling Co. | 16,216 | 745 |
| Cal-Maine Foods, Inc. | 25,758 | 739 |
| Inter Parfums, Inc. | 95,788 | 736 |
* | Alliance One International, Inc. | 185,578 | 546 |
* | Revlon, Inc. | 68,629 | 458 |
* | National Beverage Corp. | 28,188 | 254 |
| | | 99,325 |
Energy (6.1%) | | |
* | Comstock Resources, Inc. | 289,421 | 13,675 |
* | EXCO Resources, Inc. | 1,127,809 | 10,218 |
* | Oceaneering International, Inc. | 348,715 | 10,162 |
* | Dresser Rand Group, Inc. | 526,541 | 9,083 |
| Core Laboratories N.V. | 137,611 | 8,237 |
| St. Mary Land & Exploration Co. | 391,253 | 7,946 |
* | Concho Resources, Inc. | 345,323 | 7,880 |
| Penn Virginia Corp. | 263,218 | 6,838 |
* | Arena Resources, Inc. | 226,673 | 6,367 |
* | Atwood Oceanics, Inc. | 362,576 | 5,540 |
* | Superior Energy Services, Inc. | 330,422 | 5,264 |
* | Contango Oil & Gas Co. | 88,889 | 5,004 |
* | Goodrich Petroleum Corp. | 165,390 | 4,953 |
* | Bill Barrett Corp. | 198,453 | 4,193 |
Page 31
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | SEACOR Holdings Inc. | 62,316 | 4,153 |
* | Dril-Quip, Inc. | 187,111 | 3,838 |
| Atlas America, Inc. | 229,072 | 3,402 |
| World Fuel Services Corp. | 87,497 | 3,237 |
* | McMoRan Exploration Co. | 321,214 | 3,148 |
* | Patriot Coal Corp. | 486,876 | 3,043 |
| CARBO Ceramics Inc. | 85,469 | 3,037 |
* | Carrizo Oil & Gas, Inc. | 174,411 | 2,808 |
* | Unit Corp. | 104,138 | 2,783 |
* | James River Coal Co. | 172,497 | 2,644 |
| Foundation Coal Holdings, Inc. | 185,966 | 2,607 |
* | GMX Resources Inc. | 88,962 | 2,253 |
*,^ | BPZ Energy, Inc. | 345,619 | 2,212 |
| RPC Inc. | 217,012 | 2,118 |
* | Newpark Resources, Inc. | 560,479 | 2,074 |
*,^ | Delta Petroleum Corp. | 422,451 | 2,011 |
* | Cal Dive International, Inc. | 299,892 | 1,952 |
* | ION Geophysical Corp. | 540,554 | 1,854 |
* | NATCO Group Inc. | 120,795 | 1,834 |
* | Key Energy Services, Inc. | 392,137 | 1,729 |
| APCO Argentina Inc. | 64,858 | 1,727 |
| Holly Corp. | 92,932 | 1,694 |
| Lufkin Industries, Inc. | 46,829 | 1,616 |
| Precision Drilling Trust | 190,550 | 1,599 |
* | Hornbeck Offshore Services, Inc. | 95,163 | 1,555 |
* | TETRA Technologies, Inc. | 305,999 | 1,487 |
* | Tesco Corp. | 200,369 | 1,431 |
* | Matrix Service Co. | 163,853 | 1,257 |
*,^ | International Coal Group, Inc. | 532,314 | 1,224 |
* | PHI Inc. Non-Voting Shares | 78,092 | 1,094 |
*,^ | Global Industries Ltd. | 307,962 | 1,075 |
* | Gulfmark Offshore, Inc. | 44,606 | 1,061 |
| W&T Offshore, Inc. | 66,924 | 958 |
* | PetroQuest Energy, Inc. | 134,138 | 907 |
* | Superior Well Services, Inc. | 88,568 | 886 |
* | T-3 Energy Services, Inc. | 74,806 | 706 |
* | ATP Oil & Gas Corp. | 116,800 | 683 |
^ | Alon USA Energy, Inc. | 73,280 | 671 |
* | Rentech, Inc. | 985,147 | 670 |
* | CVR Energy, Inc. | 161,661 | 647 |
| Berry Petroleum Class A | 79,780 | 603 |
*,^ | Clean Energy Fuels Corp. | 97,335 | 588 |
* | OYO Geospace Corp. | 29,574 | 517 |
* | Rex Energy Corp. | 147,662 | 434 |
| Gulf Island Fabrication, Inc. | 26,189 | 377 |
* | Approach Resources Inc. | 50,928 | 372 |
* | Veneco Inc. | 126,853 | 344 |
* | Warren Resources Inc. | 172,735 | 344 |
* | Dawson Geophysical Co. | 15,929 | 284 |
*,^ | SulphCo, Inc. | 267,797 | 252 |
* | Gulfport Energy Corp. | 59,669 | 236 |
*,^ | GeoGlobal Resources Inc. | 122,747 | 196 |
| | | 185,592 |
Financials (8.0%) | | |
* | Affiliated Managers Group, Inc. | 256,985 | 10,773 |
| Odyssey Re Holdings Corp. | 179,286 | 9,289 |
| Digital Realty Trust, Inc. REIT | 279,422 | 9,179 |
| Taubman Co. REIT | 332,756 | 8,472 |
* | MSCI, Inc.-Class A Shares | 440,176 | 7,817 |
| Greenhill & Co., Inc. | 110,244 | 7,692 |
| International Bancshares Corp. | 344,875 | 7,529 |
| R.L.I. Corp. | 114,268 | 6,989 |
* | Investment Technology Group, Inc. | 274,177 | 6,229 |
* | Stifel Financial Corp. | 135,853 | 6,229 |
* | Signature Bank | 217,037 | 6,227 |
Page 32
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
^ | PrivateBancorp, Inc. | 188,616 | 6,122 |
| Equity Lifestyle Properties, Inc. REIT | 147,390 | 5,654 |
* | SVB Financial Group | 204,498 | 5,364 |
| Cash America International Inc. | 182,951 | 5,004 |
* | Navigators Group, Inc. | 84,473 | 4,638 |
* | Interactive Brokers Group, Inc. | 255,369 | 4,569 |
| UMB Financial Corp. | 90,209 | 4,433 |
*,^ | KBW Inc. | 188,008 | 4,324 |
| First Citizens BancShares Class A | 27,680 | 4,229 |
* | Investors Bancorp, Inc. | 308,516 | 4,143 |
| Tanger Factory Outlet Centers, Inc. REIT | 99,491 | 3,743 |
| Tower Group, Inc. | 132,111 | 3,727 |
*,^ | AmeriCredit Corp. | 475,543 | 3,633 |
| Glacier Bancorp, Inc. | 188,338 | 3,582 |
| optionsXpress Holdings Inc. | 264,434 | 3,533 |
| Hancock Holding Co. | 74,153 | 3,371 |
* | EZCORP, Inc. | 217,956 | 3,315 |
* | Argo Group International Holdings | 96,778 | 3,283 |
*,^ | Portfolio Recovery Associates, Inc. | 96,660 | 3,271 |
| Westamerica Bancorporation | 63,804 | 3,264 |
| Alexander’s, Inc. REIT | 12,787 | 3,259 |
* | First Cash Financial Services, Inc. | 165,485 | 3,154 |
* | Enstar Group Ltd. | 50,229 | 2,970 |
* | Pinnacle Financial Partners, Inc. | 96,605 | 2,880 |
* | PICO Holdings, Inc. | 106,755 | 2,837 |
* | Riskmetrics Group Inc. | 190,559 | 2,837 |
| NewAlliance Bancshares, Inc. | 212,307 | 2,796 |
* | Citizens, Inc. | 244,220 | 2,369 |
* | Beneficial Mutual Bancorp, Inc. | 206,947 | 2,328 |
| Home Bancshares Inc. | 81,104 | 2,186 |
| Suffolk Bancorp | 60,221 | 2,164 |
* | Texas Capital Bancshares, Inc. | 160,302 | 2,142 |
* | Forestar Real Estate Group, Inc. | 224,610 | 2,138 |
* | Tejon Ranch Co. | 80,104 | 1,982 |
| First Financial Bankshares, Inc. | 34,461 | 1,903 |
* | World Acceptance Corp. | 92,706 | 1,832 |
* | LaBranche & Co. Inc. | 350,888 | 1,681 |
^ | Life Partners Holdings | 37,970 | 1,657 |
* | Greenlight Capital Re. Ltd. | 122,861 | 1,596 |
* | Dollar Financial Corp. | 152,462 | 1,570 |
| SWS Group, Inc. | 81,304 | 1,541 |
* | MarketAxess Holdings, Inc. | 185,286 | 1,512 |
| PS Business Parks, Inc. REIT | 33,792 | 1,509 |
| Danvers Bancorp, Inc. | 112,308 | 1,502 |
* | Oritani Financial Corp. | 88,414 | 1,490 |
| First Financial Corp. (IN) | 30,983 | 1,270 |
* | eHealth, Inc. | 94,712 | 1,258 |
| Saul Centers, Inc. REIT | 31,568 | 1,247 |
* | TradeStation Group, Inc. | 191,542 | 1,235 |
| Bank of the Ozarks, Inc. | 39,784 | 1,179 |
| ViewPoint Financial Group | 70,577 | 1,133 |
| Freddie Mac | 1,423,196 | 1,039 |
* | Crawford & Co. Class B | 69,545 | 1,011 |
* | Hilltop Holdings Inc. | 98,845 | 963 |
| Westwood Holdings Group, Inc. | 32,667 | 928 |
*,^ | Credit Acceptance Corp. | 66,917 | 917 |
| Consolidated-Tomoka Land Co. | 22,151 | 846 |
| BancFirst Corp. | 13,470 | 713 |
| S.Y. Bancorp, Inc. | 25,024 | 688 |
| Amtrust Financial Services Inc. | 59,166 | 686 |
* | Meridian Interstate Bancorp, Inc. | 65,007 | 601 |
* | Crawford & Co. | 81,415 | 549 |
* | FBR Capital Markets Corp. | 108,953 | 529 |
| Heartland Financial USA, Inc. | 24,925 | 513 |
| Roma Financial Corp. | 38,340 | 483 |
| Gamco Investors Inc. Class A | 17,262 | 472 |
Page 33
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| BankFinancial Corp. | 42,544 | 433 |
* | FCStone Group, Inc. | 77,921 | 345 |
* | Asset Acceptance Capital Corp. | 61,397 | 314 |
| Seacoast Banking Corp. of Florida | 31,206 | 206 |
* | Waterstone Financial, Inc. | 58,081 | 195 |
| DuPont Fabros Technology Inc. REIT | 76,814 | 159 |
* | Cardtronics Inc. | 87,862 | 113 |
| Newcastle Investment Corp. REIT | 114,284 | 96 |
| | | 243,583 |
Health Care (19.9%) | | |
* | Gen-Probe Inc. | 341,004 | 14,609 |
* | OSI Pharmaceuticals, Inc. | 362,071 | 14,139 |
* | IDEXX Laboratories, Inc. | 373,913 | 13,491 |
* | Valeant Pharmaceuticals International | 554,140 | 12,690 |
* | Onyx Pharmaceuticals, Inc. | 353,001 | 12,059 |
* | Immucor Inc. | 441,407 | 11,733 |
* | Thoratec Corp. | 343,847 | 11,172 |
* | BioMarin Pharmaceutical Inc. | 626,524 | 11,152 |
* | VCA Antech, Inc. | 530,672 | 10,550 |
* | Psychiatric Solutions, Inc. | 350,129 | 9,751 |
* | Masimo Corp. | 302,750 | 9,031 |
* | Haemonetics Corp. | 159,713 | 9,024 |
* | United Therapeutics Corp. | 143,556 | 8,979 |
* | Bio-Rad Laboratories, Inc. Class A | 118,082 | 8,893 |
| STERIS Corp. | 371,704 | 8,880 |
* | Cubist Pharmaceuticals, Inc. | 355,995 | 8,601 |
* | Isis Pharmaceuticals, Inc. | 601,775 | 8,533 |
* | Nuvasive, Inc. | 225,815 | 7,824 |
| West Pharmaceutical Services, Inc. | 204,622 | 7,729 |
* | PSS World Medical, Inc. | 391,079 | 7,360 |
* | Regeneron Pharmaceuticals, Inc. | 387,348 | 7,112 |
*,^ | Auxilium Pharmaceuticals, Inc. | 248,171 | 7,058 |
*,^ | Amedisys Inc. | 168,585 | 6,969 |
| Mentor Corp. | 212,562 | 6,575 |
* | Magellan Health Services, Inc. | 166,253 | 6,510 |
| Meridian Bioscience Inc. | 252,888 | 6,441 |
*,^ | HLTH Corp. | 609,116 | 6,371 |
* | Alkermes, Inc. | 594,656 | 6,333 |
| Martek Biosciences Corp. | 207,737 | 6,296 |
* | Varian, Inc. | 184,821 | 6,193 |
* | HealthSouth Corp. | 554,197 | 6,074 |
* | Pediatrix Medical Group, Inc. | 186,522 | 5,913 |
| Chemed Corp. | 144,129 | 5,732 |
* | ViroPharma Inc. | 440,159 | 5,731 |
* | Celera Corp. | 503,347 | 5,602 |
* | Catalyst Health Solutions, Inc. | 217,570 | 5,298 |
* | Luminex Corp. | 245,630 | 5,247 |
* | Dionex Corp. | 115,375 | 5,175 |
* | Alnylam Pharmaceuticals Inc. | 207,371 | 5,128 |
* | Gentiva Health Services, Inc. | 171,168 | 5,008 |
| Medicis Pharmaceutical Corp. | 356,934 | 4,961 |
* | Wright Medical Group, Inc. | 237,145 | 4,845 |
* | The Medicines Co. | 327,565 | 4,825 |
* | HMS Holdings Corp. | 149,736 | 4,720 |
| PDL BioPharma Inc. | 751,380 | 4,644 |
* | Integra LifeSciences Holdings | 129,478 | 4,606 |
* | Acorda Therapeutics Inc. | 221,100 | 4,535 |
* | Sequenom, Inc. | 220,743 | 4,380 |
| Datascope Corp. | 83,795 | 4,377 |
* | Eclipsys Corp. | 307,946 | 4,370 |
* | Medarex, Inc. | 766,014 | 4,274 |
* | AthenaHealth Inc. | 113,242 | 4,260 |
* | American Medical Systems Holdings, Inc. | 459,820 | 4,134 |
* | Cepheid, Inc. | 361,510 | 3,752 |
*,^ | Theravance, Inc. | 294,996 | 3,655 |
Page 34
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Seattle Genetics, Inc. | 400,964 | 3,585 |
* | Xenoport Inc. | 142,737 | 3,580 |
| Allscripts Healthcare Solutions, Inc. | 357,789 | 3,549 |
* | CV Therapeutics, Inc. | 383,062 | 3,528 |
* | LHC Group Inc. | 97,891 | 3,524 |
* | Tenet Healthcare Corp. | 2,999,992 | 3,450 |
* | PAREXEL International Corp. | 347,249 | 3,372 |
* | Exelixis, Inc. | 664,128 | 3,334 |
* | Abraxis BioScience | 50,420 | 3,324 |
* | Nektar Therapeutics | 581,445 | 3,233 |
* | Phase Forward Inc. | 255,873 | 3,204 |
* | ABIOMED, Inc. | 193,292 | 3,174 |
* | Align Technology, Inc. | 361,647 | 3,164 |
* | Inverness Medical Innovations, Inc. | 163,208 | 3,086 |
* | PharMerica Corp. | 191,476 | 3,000 |
* | Merit Medical Systems, Inc. | 166,622 | 2,988 |
* | Conceptus, Inc. | 190,769 | 2,903 |
* | Cyberonics, Inc. | 172,070 | 2,851 |
* | Hanger Orthopedic Group, Inc. | 192,185 | 2,789 |
* | Questcor Pharmaceuticals, Inc. | 292,421 | 2,722 |
* | MedAssets, Inc. | 185,968 | 2,715 |
* | Cougar Biotechnology Inc. | 104,145 | 2,708 |
* | ICU Medical, Inc. | 80,943 | 2,682 |
* | Volcano Corp. | 178,615 | 2,679 |
* | Salix Pharmaceuticals, Ltd. | 302,160 | 2,668 |
* | Zoll Medical Corp. | 132,416 | 2,501 |
*,^ | SurModics, Inc. | 96,685 | 2,443 |
* | Healthways, Inc. | 210,989 | 2,422 |
* | Halozyme Therapeutics Inc. | 429,669 | 2,406 |
* | Quidel Corp. | 183,949 | 2,404 |
* | Omnicell, Inc. | 195,529 | 2,387 |
*,^ | Geron Corp. | 494,913 | 2,311 |
* | ev3 Inc. | 366,134 | 2,233 |
* | Abaxis, Inc. | 137,140 | 2,198 |
* | Vivus, Inc. | 412,773 | 2,196 |
* | Sun Healthcare Group Inc. | 245,566 | 2,173 |
* | Momenta Pharmaceuticals, Inc. | 187,339 | 2,173 |
* | Neogen Corp. | 86,793 | 2,168 |
* | Natus Medical Inc. | 165,998 | 2,150 |
* | Kendle International Inc. | 83,350 | 2,144 |
*,^ | InterMune Inc. | 197,916 | 2,094 |
* | Incyte Corp. | 540,691 | 2,049 |
| National Healthcare Corp. | 40,338 | 2,043 |
* | SonoSite, Inc. | 106,358 | 2,029 |
* | AngioDynamics, Inc. | 145,274 | 1,989 |
* | Genoptix, Inc. | 57,235 | 1,951 |
* | Bio-Reference Laboratories, Inc. | 73,796 | 1,936 |
* | AMAG Pharmaceuticals, Inc. | 53,548 | 1,920 |
* | NPS Pharmaceuticals Inc. | 297,247 | 1,846 |
* | MWI Veterinary Supply Inc. | 68,305 | 1,841 |
* | Symmetry Medical Inc. | 225,417 | 1,797 |
* | AMN Healthcare Services, Inc. | 212,355 | 1,797 |
* | Progenics Pharmaceuticals, Inc. | 172,370 | 1,777 |
*,^ | Dendreon Corp. | 381,229 | 1,746 |
* | Genomic Health, Inc. | 89,072 | 1,735 |
* | Almost Family Inc. | 38,519 | 1,733 |
* | Noven Pharmaceuticals, Inc. | 156,759 | 1,724 |
* | Human Genome Sciences, Inc. | 810,354 | 1,718 |
* | eResearch Technology, Inc. | 256,013 | 1,697 |
* | Cypress Bioscience, Inc. | 238,416 | 1,631 |
* | CryoLife Inc. | 167,473 | 1,626 |
* | IRIS International, Inc. | 115,682 | 1,613 |
*,^ | GTx, Inc. | 91,490 | 1,541 |
*,^ | Medivation Inc. | 104,353 | 1,520 |
| Landauer, Inc. | 20,548 | 1,506 |
* | Durect Corp. | 434,648 | 1,473 |
Page 35
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Bruker BioSciences Corp. | 360,423 | 1,456 |
* | Facet Biotech Corp. | 150,166 | 1,440 |
* | Allos Therapeutics Inc. | 232,037 | 1,420 |
* | VNUS Medical Technologies, Inc. | 85,053 | 1,380 |
* | Assisted Living Concepts Inc. | 331,760 | 1,377 |
* | IPC The Hospitalist Co. | 80,672 | 1,358 |
* | Accuray Inc. | 257,703 | 1,330 |
*,^ | MannKind Corp. | 383,379 | 1,315 |
* | Vital Images, Inc. | 94,501 | 1,314 |
* | Pain Therapeutics, Inc. | 221,230 | 1,310 |
* | Indevus Pharmaceuticals, Inc. | 414,834 | 1,303 |
* | Kensey Nash Corp. | 66,001 | 1,281 |
* | Alliance Imaging, Inc. | 160,520 | 1,279 |
* | Sirona Dental Systems Inc. | 120,585 | 1,266 |
* | Arena Pharmaceuticals, Inc. | 302,252 | 1,260 |
*,^ | Osiris Therapeutics, Inc. | 65,141 | 1,248 |
* | Palomar Medical Technologies, Inc. | 107,963 | 1,245 |
* | inVentiv Health, Inc. | 104,524 | 1,206 |
* | Rigel Pharmaceuticals, Inc. | 149,649 | 1,197 |
* | Array BioPharma Inc. | 284,087 | 1,151 |
* | CorVel Corp. | 52,045 | 1,144 |
* | Air Methods Corp. | 68,811 | 1,100 |
* | Ligand Pharmaceuticals Inc. Class B | 396,961 | 1,088 |
* | OraSure Technologies, Inc. | 294,487 | 1,084 |
* | Savient Pharmaceuticals Inc. | 169,912 | 984 |
* | Emergent BioSolutions Inc. | 37,376 | 976 |
* | Pharmasset, Inc. | 72,692 | 953 |
* | Albany Molecular Research, Inc. | 96,717 | 942 |
* | Emeritus Corp. | 87,398 | 877 |
* | Insulet Corp. | 113,086 | 873 |
| Ensign Group Inc. | 51,707 | 866 |
*,^ | Opko Health, Inc. | 521,308 | 845 |
* | Pozen Inc. | 158,200 | 797 |
*,^ | ArthroCare Corp. | 166,532 | 794 |
* | RTI Biologics, Inc. | 286,591 | 791 |
*,^ | Stereotaxis Inc. | 175,660 | 773 |
* | Neurocrine Biosciences, Inc. | 240,377 | 769 |
*,^ | Akorn, Inc. | 334,416 | 769 |
*,^ | Sangamo BioSciences, Inc. | 217,251 | 756 |
* | Emergency Medical Services LP Class A | 19,494 | 714 |
* | MedCath Corp. | 67,691 | 707 |
* | Affymax Inc. | 67,001 | 669 |
* | Odyssey Healthcare, Inc. | 72,111 | 667 |
* | Enzo Biochem, Inc. | 135,665 | 663 |
* | Lexicon Pharmaceuticals Inc. | 471,609 | 660 |
* | Cadence Pharmaceuticals, Inc. | 85,839 | 621 |
* | Chindex International, Inc. | 75,402 | 599 |
* | Orexigen Therapeutics Inc. | 107,418 | 599 |
*,^ | Hansen Medical Inc. | 78,555 | 567 |
* | Cynosure Inc. | 60,844 | 555 |
* | K-V Pharmaceutical Co. Class A | 186,535 | 537 |
* | Senomyx, Inc. | 191,744 | 535 |
* | Idenix Pharmaceuticals Inc. | 91,427 | 529 |
* | XOMA Ltd. | 829,349 | 514 |
* | Zymogenetics, Inc. | 167,862 | 504 |
* | Sunrise Senior Living, Inc. | 287,073 | 482 |
* | Affymetrix, Inc. | 154,389 | 462 |
*,^ | Virtual Radiologic Corp. | 47,272 | 401 |
*,^ | Amicus Therapeutics, Inc. | 48,893 | 390 |
* | Life Sciences Research, Inc. | 41,207 | 387 |
* | Caraco Pharmaceutical Laboratories, Ltd. | 61,504 | 364 |
* | TomoTherapy, Inc. | 139,334 | 332 |
*,^ | Clinical Data, Inc. | 35,960 | 320 |
* | MAP Pharmaceuticals Inc. | 43,918 | 307 |
* | Sucampo Pharmaceuticals Inc. | 28,182 | 162 |
* | K-V Pharmaceutical Co. Class B | 26,991 | 77 |
| | | 608,398 |
Page 36
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
Industrials (19.2%) | | |
* | Waste Connections, Inc. | 490,932 | 15,499 |
* | Corrections Corp. of America | 788,459 | 12,899 |
* | Aecom Technology Corp. | 419,283 | 12,885 |
| Landstar System, Inc. | 333,126 | 12,802 |
| IDEX Corp. | 519,506 | 12,546 |
* | Continental Airlines, Inc. Class B | 690,767 | 12,475 |
| Wabtec Corp. | 289,562 | 11,510 |
| MSC Industrial Direct Co., Inc. Class A | 280,048 | 10,314 |
| CLARCOR Inc. | 303,138 | 10,058 |
* | Teledyne Technologies, Inc. | 213,380 | 9,506 |
* | JetBlue Airways Corp. | 1,277,159 | 9,068 |
* | Tetra Tech, Inc. | 373,840 | 9,028 |
| Graco, Inc. | 377,665 | 8,962 |
| Acuity Brands, Inc. | 255,824 | 8,931 |
* | Kirby Corp. | 322,799 | 8,832 |
| UAL Corp. | 796,507 | 8,778 |
| Woodward Governor Co. | 381,060 | 8,772 |
* | Thomas & Betts Corp. | 362,388 | 8,705 |
* | Clean Harbors Inc. | 133,265 | 8,454 |
| UTI Worldwide, Inc. | 564,192 | 8,091 |
* | Gardner Denver Inc. | 334,873 | 7,816 |
| The Toro Co. | 236,015 | 7,789 |
*,^ | Energy Conversion Devices, Inc. | 287,324 | 7,243 |
* | Orbital Sciences Corp. | 368,994 | 7,206 |
* | Huron Consulting Group Inc. | 124,074 | 7,106 |
| Valmont Industries, Inc. | 115,199 | 7,069 |
* | Esterline Technologies Corp. | 185,679 | 7,035 |
* | ESCO Technologies Inc. | 163,759 | 6,706 |
| Actuant Corp. | 351,882 | 6,693 |
| Watson Wyatt & Co. Holdings | 136,137 | 6,510 |
| Nordson Corp. | 193,172 | 6,238 |
| Heartland Express, Inc. | 393,237 | 6,197 |
* | Hub Group, Inc. | 232,827 | 6,177 |
* | Genesee & Wyoming Inc. Class A | 200,686 | 6,121 |
| Knight Transportation, Inc. | 377,170 | 6,080 |
* | Geo Group Inc. | 321,307 | 5,793 |
* | TransDigm Group, Inc. | 167,515 | 5,623 |
| Rollins, Inc. | 285,605 | 5,164 |
* | US Airways Group Inc. | 664,503 | 5,137 |
* | Old Dominion Freight Line, Inc. | 175,968 | 5,008 |
* | Navigant Consulting, Inc. | 303,944 | 4,824 |
| The Corporate Executive Board Co. | 214,094 | 4,723 |
* | EMCOR Group, Inc. | 205,617 | 4,612 |
| Mine Safety Appliances Co. | 191,418 | 4,577 |
| Applied Industrial Technology, Inc. | 239,607 | 4,533 |
* | Hexcel Corp. | 605,021 | 4,471 |
| Forward Air Corp. | 181,862 | 4,414 |
* | Resources Connection, Inc. | 269,434 | 4,413 |
*,^ | American Superconductor Corp. | 257,494 | 4,200 |
| American Science & Engineering, Inc. | 55,288 | 4,089 |
| Healthcare Services Group, Inc. | 256,602 | 4,088 |
* | Sykes Enterprises, Inc. | 207,564 | 3,969 |
* | Beacon Roofing Supply, Inc. | 278,672 | 3,868 |
* | CoStar Group, Inc. | 117,268 | 3,863 |
* | Allegiant Travel Co. | 76,662 | 3,723 |
* | Astec Industries, Inc. | 112,674 | 3,530 |
* | AirTran Holdings, Inc. | 736,714 | 3,271 |
* | Axsys Technologies, Inc. | 59,513 | 3,265 |
| Administaff, Inc. | 147,485 | 3,192 |
* | Mobile Mini, Inc. | 219,164 | 3,160 |
* | Team, Inc. | 112,104 | 3,105 |
* | II-VI, Inc. | 159,859 | 3,052 |
* | RSC Holdings Inc. | 357,505 | 3,046 |
| McGrath RentCorp | 141,314 | 3,018 |
| Robbins & Myers, Inc. | 185,150 | 2,994 |
Page 37
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
*,^ | Evergreen Solar, Inc. | 932,644 | 2,975 |
| HEICO Corp. | 76,402 | 2,967 |
| Gorman-Rupp Co. | 94,585 | 2,943 |
* | General Cable Corp. | 166,163 | 2,939 |
* | Layne Christensen Co. | 121,294 | 2,912 |
* | Aerovironment Inc. | 78,910 | 2,905 |
*,^ | The Middleby Corp. | 104,726 | 2,856 |
| Seaboard Corp. | 2,347 | 2,802 |
* | RBC Bearings Inc. | 137,133 | 2,781 |
| CIRCOR International, Inc. | 100,724 | 2,770 |
| Cubic Corp. | 100,994 | 2,747 |
* | Exponent, Inc. | 90,221 | 2,714 |
| The Brink’s Co. | 99,182 | 2,666 |
| Comfort Systems USA, Inc. | 249,294 | 2,657 |
* | TrueBlue, Inc. | 272,983 | 2,612 |
* | CBIZ Inc. | 291,133 | 2,518 |
| Raven Industries, Inc. | 102,232 | 2,464 |
* | DynCorp International Inc. Class A | 161,479 | 2,450 |
* | The Advisory Board Co. | 109,259 | 2,436 |
| Simpson Manufacturing Co. | 85,648 | 2,378 |
* | Alaska Air Group, Inc. | 79,382 | 2,322 |
| Lindsay Manufacturing Co. | 72,667 | 2,310 |
* | Stanley Inc. | 63,722 | 2,308 |
| Badger Meter, Inc. | 78,437 | 2,276 |
* | AAR Corp. | 121,969 | 2,245 |
| Heidrick & Struggles International, Inc. | 103,723 | 2,234 |
* | GrafTech International Ltd. | 263,266 | 2,190 |
* | L.B. Foster Co. Class A | 66,926 | 2,093 |
| American Ecology Corp. | 103,434 | 2,092 |
* | Dycom Industries, Inc. | 252,220 | 2,073 |
| Encore Wire Corp. | 109,232 | 2,071 |
* | GeoEye Inc. | 107,654 | 2,070 |
* | Taser International Inc. | 368,999 | 1,948 |
* | Marten Transport, Ltd. | 102,744 | 1,948 |
* | ATC Technology Corp. | 132,326 | 1,936 |
* | Chart Industries, Inc. | 178,478 | 1,897 |
*,^ | Ener1, Inc. | 262,265 | 1,875 |
* | AZZ Inc. | 72,660 | 1,824 |
* | CRA International Inc. | 67,305 | 1,813 |
| Werner Enterprises, Inc. | 101,654 | 1,763 |
* | Hawaiian Holdings, Inc. | 269,482 | 1,719 |
| AAON, Inc. | 81,572 | 1,703 |
| Titan International, Inc. | 205,102 | 1,692 |
* | Kforce Inc. | 219,651 | 1,687 |
* | BE Aerospace, Inc. | 218,419 | 1,680 |
* | Korn/Ferry International | 146,146 | 1,669 |
* | Cornell Cos., Inc. | 87,973 | 1,635 |
| Herman Miller, Inc. | 122,786 | 1,600 |
* | American Reprographics Co. | 229,915 | 1,586 |
* | Blount International, Inc. | 164,956 | 1,564 |
| Dynamic Materials Corp. | 79,529 | 1,536 |
*,^ | FuelCell Energy, Inc. | 389,226 | 1,510 |
| Interface, Inc. | 318,514 | 1,478 |
| Sun Hydraulics Corp. | 78,307 | 1,475 |
* | Powell Industries, Inc. | 50,145 | 1,455 |
*,^ | Energy Recovery Inc. | 188,787 | 1,431 |
| Freightcar America Inc. | 74,770 | 1,366 |
* | Innerworkings, Inc. | 198,441 | 1,300 |
* | Duff & Phelps Corp. | 67,775 | 1,296 |
* | Force Protection, Inc. | 214,811 | 1,285 |
* | Fuel-Tech N.V. | 120,787 | 1,279 |
* | American Commercial Lines Inc. | 254,777 | 1,248 |
* | Waste Services, Inc. | 188,261 | 1,239 |
* | Furmanite Corp. | 229,793 | 1,239 |
* | M&F Worldwide Corp. | 78,965 | 1,220 |
| HEICO Corp. Class A | 41,358 | 1,198 |
Page 38
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Titan Machinery, Inc. | 83,172 | 1,169 |
* | Polypore International Inc. | 153,372 | 1,159 |
* | ICF International, Inc. | 46,138 | 1,134 |
* | Ceradyne, Inc. | 54,885 | 1,115 |
* | Hill International Inc. | 154,473 | 1,087 |
* | Standard Parking Corp. | 55,845 | 1,080 |
* | GenCorp, Inc. | 286,200 | 1,053 |
| Houston Wire & Cable Co. | 105,200 | 979 |
* | Amerco, Inc. | 28,023 | 968 |
* | Cenveo Inc. | 208,308 | 927 |
* | Griffon Corp. | 98,906 | 923 |
| Genco Shipping and Trading Ltd. | 59,212 | 876 |
* | Northwest Pipe Co. | 20,150 | 859 |
* | Atlas Air Worldwide Holdings, Inc. | 44,277 | 837 |
* | 3D Systems Corp. | 104,985 | 834 |
| Vicor Corp. | 121,560 | 804 |
* | Pike Electric Corp. | 57,117 | 703 |
*,^ | EnerNOC Inc. | 87,767 | 653 |
*,^ | Orion Energy Systems Inc. | 109,865 | 594 |
| Ampco-Pittsburgh Corp. | 27,243 | 591 |
* | Columbus McKinnon Corp. | 39,587 | 540 |
* | Hudson Highland Group, Inc. | 158,867 | 532 |
* | Power-One, Inc. | 412,354 | 491 |
* | TurboChef Technologies, Inc. | 79,415 | 390 |
| American Railcar Industries, Inc. | 32,922 | 347 |
*,^ | Valence Technology Inc. | 183,265 | 334 |
* | Universal Truckload Services, Inc. | 19,849 | 281 |
*,^ | China Architectural Engineering Inc. | 95,848 | 236 |
* | Fushi Copperweld, Inc. | 38,116 | 201 |
* | Safe Bulkers, Inc. | 22,917 | 153 |
*,^ | Metalico, Inc. | 46,747 | 72 |
* | Builders FirstSource, Inc. | 38,902 | 60 |
| | | 588,678 |
Information Technology (24.5%) | | |
* | ANSYS, Inc. | 531,467 | 14,823 |
* | Itron, Inc. | 215,955 | 13,765 |
^ | FactSet Research Systems Inc. | 286,804 | 12,688 |
* | Sybase, Inc. | 506,395 | 12,543 |
* | F5 Networks, Inc. | 506,458 | 11,578 |
* | Equinix, Inc. | 210,589 | 11,201 |
* | Solera Holdings, Inc. | 414,670 | 9,994 |
* | NeuStar, Inc. Class A | 495,211 | 9,473 |
* | Rambus Inc. | 594,724 | 9,468 |
| Jack Henry & Associates Inc. | 487,274 | 9,458 |
* | Parametric Technology Corp. | 725,422 | 9,177 |
* | Metavante Technologies | 564,234 | 9,090 |
| National Instruments Corp. | 370,910 | 9,035 |
* | Concur Technologies, Inc. | 264,013 | 8,665 |
* | MICROS Systems, Inc. | 512,102 | 8,358 |
* | Atmel Corp. | 2,666,944 | 8,348 |
* | Zebra Technologies Corp. Class A | 409,938 | 8,305 |
* | Varian Semiconductor Equipment Associates, Inc. | 456,928 | 8,280 |
* | Macrovision Solutions Corp. | 647,745 | 8,194 |
* | Sohu.com Inc. | 169,158 | 8,008 |
*,^ | Cree, Inc. | 498,818 | 7,916 |
* | InterDigital, Inc. | 281,427 | 7,739 |
* | Perot Systems Corp. | 565,275 | 7,727 |
* | SINA.com | 333,647 | 7,724 |
* | Informatica Corp. | 560,065 | 7,690 |
* | Gartner, Inc. Class A | 413,707 | 7,376 |
* | Polycom, Inc. | 535,328 | 7,232 |
* | ManTech International Corp. | 133,435 | 7,231 |
* | QLogic Corp. | 536,490 | 7,210 |
| Broadridge Financial Solutions LLC | 574,417 | 7,203 |
* | Silicon Laboratories Inc. | 285,833 | 7,083 |
Page 39
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Comtech Telecommunications Corp. | 152,609 | 6,993 |
* | CommScope, Inc. | 441,810 | 6,866 |
* | Brocade Communications Systems, Inc. | 2,338,067 | 6,547 |
* | Microsemi Corp. | 498,909 | 6,306 |
* | International Rectifier Corp. | 458,268 | 6,187 |
* | TIBCO Software Inc. | 1,152,174 | 5,980 |
* | Digital River, Inc. | 232,873 | 5,775 |
* | Anixter International Inc. | 187,931 | 5,660 |
* | j2 Global Communications, Inc. | 275,380 | 5,519 |
* | ON Semiconductor Corp. | 1,589,809 | 5,405 |
* | Atheros Communications, Inc. | 377,483 | 5,402 |
| ADTRAN Inc. | 359,192 | 5,345 |
* | Quest Software, Inc. | 418,279 | 5,266 |
* | CyberSource Corp. | 415,234 | 4,979 |
^ | Quality Systems, Inc. | 113,627 | 4,956 |
* | VistaPrint Ltd. | 264,600 | 4,924 |
* | Blackboard Inc. | 186,189 | 4,884 |
* | EarthLink, Inc. | 695,893 | 4,704 |
* | SRA International, Inc. | 268,497 | 4,632 |
* | TiVo Inc. | 609,763 | 4,366 |
* | FormFactor Inc. | 292,167 | 4,266 |
* | Infinera Corp. | 469,024 | 4,202 |
* | ViaSat, Inc. | 174,084 | 4,192 |
* | Plexus Corp. | 246,907 | 4,185 |
* | Intermec, Inc. | 310,510 | 4,124 |
* | Cymer, Inc. | 186,373 | 4,083 |
* | EchoStar Corp. | 265,630 | 3,950 |
* | Wind River Systems Inc. | 435,705 | 3,934 |
* | Riverbed Technology, Inc. | 337,942 | 3,849 |
* | CSG Systems International, Inc. | 219,946 | 3,842 |
* | Cabot Microelectronics Corp. | 146,349 | 3,815 |
* | Rofin-Sinar Technologies Inc. | 181,479 | 3,735 |
* | ValueClick, Inc. | 544,953 | 3,727 |
| Cognex Corp. | 250,771 | 3,711 |
| Blackbaud, Inc. | 273,966 | 3,699 |
* | Omniture, Inc. | 342,367 | 3,643 |
* | Interwoven Inc. | 288,448 | 3,634 |
* | Verigy Ltd. | 376,324 | 3,620 |
| Syntel, Inc. | 156,486 | 3,618 |
* | Tessera Technologies, Inc. | 304,458 | 3,617 |
* | Commvault Systems, Inc. | 253,121 | 3,394 |
* | Sycamore Networks, Inc. | 1,250,232 | 3,363 |
* | Harmonic, Inc. | 595,980 | 3,343 |
* | Synaptics Inc. | 201,459 | 3,336 |
* | Coherent, Inc. | 149,358 | 3,205 |
* | ScanSource, Inc. | 165,889 | 3,197 |
* | EPIQ Systems, Inc. | 189,920 | 3,174 |
*,^ | Data Domain, Inc. | 167,986 | 3,158 |
* | Hittite Microwave Corp. | 107,184 | 3,158 |
* | Rogers Corp. | 113,112 | 3,141 |
*,^ | Bankrate, Inc. | 82,642 | 3,140 |
* | TriQuint Semiconductor, Inc. | 910,524 | 3,132 |
* | Wright Express Corp. | 244,195 | 3,077 |
* | SPSS, Inc. | 114,094 | 3,076 |
* | Arris Group Inc. | 386,260 | 3,071 |
* | Euronet Worldwide, Inc. | 262,498 | 3,048 |
* | ATMI, Inc. | 196,610 | 3,034 |
* | Novell, Inc. | 779,353 | 3,032 |
* | Mercadolibre Inc. | 181,192 | 2,973 |
* | Teradyne, Inc. | 690,595 | 2,914 |
* | Semtech Corp. | 256,477 | 2,890 |
* | Forrester Research, Inc. | 102,142 | 2,881 |
* | FEI Co. | 150,311 | 2,835 |
* | S1 Corp. | 356,552 | 2,813 |
* | L-1 Identity Solutions Inc. | 415,869 | 2,803 |
* | Tyler Technologies, Inc. | 230,311 | 2,759 |
Page 40
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Websense, Inc. | 184,255 | 2,758 |
* | Sonus Networks, Inc. | 1,706,485 | 2,696 |
| Fair Isaac, Inc. | 152,511 | 2,571 |
* | EMS Technologies, Inc. | 98,608 | 2,551 |
* | NETGEAR, Inc. | 222,892 | 2,543 |
* | Genpact, Ltd. | 306,125 | 2,516 |
* | Progress Software Corp. | 129,536 | 2,495 |
* | Cogent Inc. | 182,761 | 2,480 |
^ | Heartland Payment Systems, Inc. | 141,621 | 2,478 |
* | Ciena Corp. | 368,794 | 2,471 |
* | DealerTrack Holdings Inc. | 205,089 | 2,439 |
* | Manhattan Associates, Inc. | 154,231 | 2,438 |
| Micrel, Inc. | 332,319 | 2,429 |
*,^ | Netlogic Microsystems Inc. | 109,417 | 2,408 |
*,^ | Advent Software, Inc. | 118,173 | 2,360 |
* | PMC Sierra Inc. | 483,514 | 2,350 |
* | Brooks Automation, Inc. | 399,856 | 2,323 |
| Park Electrochemical Corp. | 122,394 | 2,321 |
* | Standard Microsystem Corp. | 139,996 | 2,288 |
* | Sapient Corp. | 514,138 | 2,283 |
* | The Ultimate Software Group, Inc. | 155,357 | 2,268 |
* | ACI Worldwide, Inc. | 140,876 | 2,240 |
* | AsiaInfo Holdings, Inc. | 188,837 | 2,236 |
* | RealNetworks, Inc. | 628,291 | 2,218 |
* | TeleTech Holdings, Inc. | 264,434 | 2,208 |
* | MicroStrategy Inc. | 57,415 | 2,132 |
* | Starent Networks Corp. | 176,078 | 2,101 |
* | DTS Inc. | 114,418 | 2,100 |
* | Advanced Energy Industries, Inc. | 210,262 | 2,092 |
* | Net 1 UEPS Technologies, Inc. | 152,095 | 2,084 |
* | Vocus, Inc. | 112,363 | 2,046 |
* | Blue Coat Systems, Inc. | 243,237 | 2,043 |
| Daktronics, Inc. | 216,110 | 2,023 |
*,^ | Palm, Inc. | 649,147 | 1,993 |
* | Ariba, Inc. | 270,559 | 1,951 |
* | Silicon Image, Inc. | 463,228 | 1,946 |
* | VASCO Data Security International, Inc. | 187,547 | 1,937 |
*,^ | Universal Display Corp. | 203,648 | 1,924 |
* | Telecommunication Systems, Inc. | 223,708 | 1,922 |
* | Actel Corp. | 162,189 | 1,901 |
* | MSC Software Corp. | 283,266 | 1,892 |
* | Monolithic Power Systems | 148,458 | 1,872 |
* | Neutral Tandem, Inc. | 110,432 | 1,791 |
* | THQ Inc. | 420,042 | 1,760 |
* | Supertex, Inc. | 72,788 | 1,748 |
* | Tekelec | 130,563 | 1,742 |
* | OmniVision Technologies, Inc. | 322,631 | 1,694 |
| Cohu, Inc. | 138,822 | 1,687 |
* | FARO Technologies, Inc. | 99,841 | 1,683 |
* | Ultratech, Inc. | 140,414 | 1,679 |
* | Cavium Networks, Inc. | 154,100 | 1,620 |
* | Epicor Software Corp. | 337,333 | 1,619 |
*,^ | Sigma Designs, Inc. | 167,334 | 1,590 |
* | Art Technology Group, Inc. | 811,492 | 1,566 |
* | The Knot, Inc. | 181,859 | 1,513 |
* | Move, Inc. | 907,710 | 1,452 |
* | GSI Commerce, Inc. | 134,416 | 1,414 |
* | Vignette Corp. | 149,611 | 1,408 |
| Cass Information Systems, Inc. | 46,032 | 1,402 |
* | OSI Systems Inc. | 101,071 | 1,400 |
* | ComScore Inc. | 109,069 | 1,391 |
* | Newport Corp. | 204,486 | 1,386 |
* | Ixia | 238,905 | 1,381 |
* | Synchronoss Technologies, Inc. | 128,511 | 1,370 |
* | Stratasys, Inc. | 125,661 | 1,351 |
* | SonicWALL, Inc. | 335,613 | 1,336 |
Page 41
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Internet Capital Group Inc. | 243,552 | 1,327 |
* | NCI, Inc. | 43,715 | 1,317 |
* | 3PAR, Inc. | 171,562 | 1,309 |
* | IPG Photonics Corp. | 98,235 | 1,295 |
* | Silicon Storage Technology, Inc. | 564,722 | 1,293 |
| MTS Systems Corp. | 48,071 | 1,281 |
*,^ | WebMD Health Corp. Class A | 54,117 | 1,277 |
* | NetScout Systems, Inc. | 148,011 | 1,276 |
* | SAVVIS, Inc. | 184,814 | 1,273 |
* | Extreme Networks, Inc. | 527,414 | 1,234 |
* | DG FastChannel Inc. | 98,503 | 1,229 |
* | Veeco Instruments, Inc. | 192,303 | 1,219 |
* | Netezza Corp. | 183,500 | 1,218 |
* | Symyx Technologies, Inc. | 200,789 | 1,193 |
* | Taleo Corp. Class A | 151,780 | 1,188 |
| NIC Inc. | 256,174 | 1,178 |
* | Integral Systems, Inc. | 96,961 | 1,168 |
| CTS Corp. | 211,996 | 1,168 |
* | LoopNet, Inc. | 167,710 | 1,144 |
* | Littelfuse, Inc. | 68,386 | 1,135 |
* | SuccessFactors Inc. | 192,725 | 1,106 |
* | Lattice Semiconductor Corp. | 726,346 | 1,097 |
* | Internet Brands Inc. | 179,300 | 1,044 |
* | VeriFone Holdings, Inc. | 211,969 | 1,039 |
* | Cirrus Logic, Inc. | 366,907 | 983 |
* | RightNow Technologies Inc. | 126,123 | 975 |
* | Hughes Communications Inc. | 60,976 | 972 |
* | ArcSight, Inc. | 116,631 | 934 |
*,^ | Constant Contact, Inc. | 70,344 | 932 |
| Marchex, Inc. | 159,680 | 931 |
* | Novatel Wireless, Inc. | 198,176 | 920 |
* | TTM Technologies, Inc. | 173,978 | 906 |
*,^ | Finisar Corp. | 2,372,864 | 902 |
* | iGATE Corp. | 134,831 | 878 |
* | Switch and Data Inc. | 118,653 | 877 |
* | Airvana, Inc. | 142,600 | 873 |
* | Aruba Networks, Inc. | 336,739 | 859 |
* | TNS Inc. | 91,318 | 857 |
* | Liquidity Services, Inc. | 96,356 | 803 |
*,^ | NetSuite Inc. | 94,855 | 801 |
| Bel Fuse, Inc. Class B | 36,907 | 782 |
* | ExlService Holdings, Inc. | 90,271 | 774 |
* | Acme Packet, Inc. | 146,225 | 769 |
* | STEC Inc. | 172,996 | 737 |
* | Rackable Systems Inc. | 186,029 | 733 |
* | Multi-Fineline Electronix, Inc. | 62,508 | 731 |
| Pegasystems Inc. | 59,095 | 730 |
*,^ | Echelon Corp. | 89,283 | 728 |
* | Trident Microsystems, Inc. | 381,548 | 721 |
* | Advanced Analogic Technologies, Inc. | 229,100 | 692 |
* | BigBand Networks Inc. | 120,131 | 663 |
* | Terremark Worldwide, Inc. | 168,079 | 654 |
* | Global Cash Access, Inc. | 289,850 | 643 |
* | ICx Technologies, Inc. | 74,620 | 590 |
* | China Information Security Technology, Inc. | 162,618 | 585 |
* | DivX, Inc. | 110,936 | 580 |
* | Limelight Networks Inc. | 234,138 | 574 |
| InfoSpace, Inc. | 75,933 | 573 |
* | Kulicke & Soffa Industries, Inc. | 335,425 | 570 |
* | Amkor Technology, Inc. | 261,392 | 570 |
* | Compellent Technologies, Inc. | 57,717 | 562 |
* | Applied Micro Circuits Corp. | 142,722 | 561 |
* | Dice Holdings Inc. | 135,304 | 552 |
* | Radiant Systems, Inc. | 162,664 | 548 |
* | Cogo Group, Inc. | 109,240 | 531 |
*,^ | EMCORE Corp. | 386,347 | 502 |
Page 42
Vanguard® Small-Cap Growth Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Chordiant Software, Inc. | 188,259 | 501 |
* | FalconStor Software, Inc. | 179,755 | 500 |
* | Ness Technologies Inc. | 110,801 | 474 |
*,^ | Comverge Inc. | 95,756 | 469 |
*,^ | Isilon Systems Inc. | 139,706 | 460 |
* | Perficient, Inc. | 95,950 | 459 |
* | Mattson Technology, Inc. | 310,108 | 437 |
* | UTStarcom, Inc. | 231,228 | 428 |
* | Diodes Inc. | 66,325 | 402 |
* | Kenexa Corp. | 43,864 | 350 |
* | Monotype Imaging Holdings Inc. | 58,446 | 339 |
*,^ | Orbcomm, Inc. | 155,574 | 336 |
* | Rubicon Technology, Inc. | 78,224 | 333 |
* | Rudolph Technologies, Inc. | 90,000 | 318 |
* | Deltek, Inc. | 66,419 | 308 |
* | TechTarget | 63,908 | 276 |
* | OpNext, Inc. | 139,340 | 244 |
* | ANADIGICS, Inc. | 136,867 | 203 |
| Bel Fuse, Inc. Class A | 2,152 | 39 |
| | | 748,923 |
Materials (2.7%) | | |
| Compass Minerals International, Inc. | 204,098 | 11,972 |
| Royal Gold, Inc. | 125,016 | 6,152 |
| Silgan Holdings, Inc. | 108,583 | 5,191 |
| Texas Industries, Inc. | 147,016 | 5,072 |
| Greif Inc. Class A | 150,808 | 5,041 |
| Eagle Materials, Inc. | 273,579 | 5,037 |
* | Intrepid Potash, Inc. | 235,454 | 4,890 |
* | Calgon Carbon Corp. | 233,367 | 3,585 |
* | Hecla Mining Co. | 1,130,991 | 3,167 |
| AMCOL International Corp. | 143,450 | 3,005 |
| Scotts Miracle-Gro Co. | 99,685 | 2,963 |
| NewMarket Corp. | 82,837 | 2,892 |
| Balchem Corp. | 114,414 | 2,850 |
* | W.R. Grace & Co. | 454,081 | 2,711 |
* | Solutia Inc. | 593,940 | 2,673 |
| Zep, Inc. | 131,754 | 2,544 |
| Stepan Co. | 44,837 | 2,107 |
| Deltic Timber Corp. | 43,418 | 1,986 |
| Schnitzer Steel Industries, Inc. Class A | 48,133 | 1,812 |
*,^ | Zoltek Cos., Inc. | 172,817 | 1,554 |
* | Stillwater Mining Co. | 293,089 | 1,448 |
| Koppers Holdings, Inc. | 54,608 | 1,181 |
*,^ | Coeur d’Alene Mines Corp. | 1,087,103 | 957 |
| Myers Industries, Inc. | 88,180 | 705 |
* | Haynes International, Inc. | 26,207 | 645 |
* | Brush Engineered Materials Inc. | 44,848 | 570 |
| American Vanguard Corp. | 43,928 | 514 |
* | Flotek Industries, Inc. | 134,764 | 340 |
*,^ | Apex Silver Mines Ltd. | 328,142 | 322 |
* | Graphic Packaging Holding Co. | 259,480 | 296 |
*,^ | General Moly, Inc. | 165,314 | 195 |
| | | 84,377 |
Telecommunication Services (1.3%) | | |
* | SBA Communications Corp. | 600,409 | 9,799 |
* | tw telecom inc. | 881,142 | 7,463 |
* | Centennial Communications Corp. Class A | 510,452 | 4,114 |
| Shenandoah Telecommunications Co. | 140,683 | 3,946 |
* | Syniverse Holdings Inc. | 279,832 | 3,341 |
* | Cbeyond Inc. | 143,008 | 2,285 |
* | Premiere Global Services, Inc. | 239,234 | 2,060 |
* | Cogent Communications Group, Inc. | 272,115 | 1,777 |
* | Global Crossing Ltd. | 158,789 | 1,261 |
* | General Communication, Inc. | 141,524 | 1,145 |
* | PAETEC Holding Corp. | 779,489 | 1,123 |
Page 43
Vanguard® Small-Cap Growth Index Fund | | | | |
Schedule of Investments | | | | |
December 31, 2008 | | | | |
| | | | | Market |
| | | | | Value |
| | | | Shares | ($000) |
* | ICO Global Communications (Holdings) Ltd. | | | 723,230 | 817 |
* | iPCS, Inc. | | | 91,289 | 626 |
*,^ | Vonage Holdings Corp. | | | 481,829 | 318 |
* | TerreStar Corp. | | | 336,064 | 134 |
* | Fibertower Corp. | | | 463,516 | 74 |
* | Globalstar, Inc. | | | 18,152 | 4 |
| | | | | 40,287 |
Utilities (0.6%) | | | | |
| ITC Holdings Corp. | | | 311,304 | 13,598 |
| Ormat Technologies Inc. | | | 128,218 | 4,086 |
* | Synthesis Energy Systems, Inc. | | | 199,162 | 136 |
| | | | | 17,820 |
Total Common Stocks (Cost $4,155,233) | | | | 3,046,048 |
| | | | | |
| | | Maturity | | |
| | Coupon | Date | | |
Temporary Cash Investments (4.0%)1 | | | | |
Money Market Fund (3.9%) | | | | |
2,3 | Vanguard Market Liquidity Fund | 1.378% | | 119,061,964 | 119,062 |
| | | | | |
| | | | Face | |
| | | | Amount | |
| | | | ($000) | |
U.S. Agency Obligations (0.1%) | | | | |
4,5 | Federal Home Loan Bank | 2.625% | 2/27/09 | 3,000 | 3,000 |
4,5 | Federal National Mortgage Assn. | 1.357% | 3/31/09 | 1,500 | 1,499 |
| | | | | 4,499 |
| | | | | |
Total Temporary Cash Investments (Cost $123,545) | | | | 123,561 |
Total Investments (103.5%) (Cost $4,278,778) | | | | 3,169,609 |
Other Assets and Liabilities—Net (–3.5%)3 | | | | (108,114) |
Net Assets (100%) | | | | 3,061,495 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $106,956,000.
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 99.8% 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 Includes $112,277,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
5 Securities with a value of $4,499,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
Page 44
Vanguard® Small-Cap Value Index Fund |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
Common Stocks (100.0%) | | |
Consumer Discretionary (10.1%) | | |
| Snap-On Inc. | 441,002 | 17,367 |
| Tupperware Brands Corp. | 477,005 | 10,828 |
| Wendy’s/Arby’s Group, Inc. | 1,991,470 | 9,838 |
| Service Corp. International | 1,973,961 | 9,811 |
* | Rent-A-Center, Inc. | 511,382 | 9,026 |
* | DreamWorks Animation SKG, Inc. | 341,476 | 8,626 |
* | Carter’s, Inc. | 430,617 | 8,294 |
| Wolverine World Wide, Inc. | 375,765 | 7,906 |
| Interactive Data Corp. | 287,768 | 7,096 |
* | Office Depot, Inc. | 2,107,391 | 6,280 |
| International Speedway Corp. | 216,730 | 6,227 |
* | Career Education Corp. | 343,382 | 6,160 |
| Regal Entertainment Group Class A | 596,728 | 6,093 |
* | Jarden Corp. | 529,237 | 6,086 |
* | Collective Brands, Inc. | 491,353 | 5,759 |
| MDC Holdings, Inc. | 185,238 | 5,613 |
| Choice Hotels International, Inc. | 172,739 | 5,193 |
| Bob Evans Farms, Inc. | 237,426 | 4,851 |
| Meredith Corp. | 277,001 | 4,742 |
| Sotheby’s | 517,448 | 4,600 |
*,^ | Saks Inc. | 1,044,520 | 4,575 |
| Regis Corp. | 314,693 | 4,573 |
| OfficeMax, Inc. | 583,686 | 4,459 |
| Barnes & Noble, Inc. | 295,510 | 4,433 |
| Callaway Golf Co. | 471,351 | 4,379 |
* | Timberland Co. | 362,797 | 4,190 |
* | JAKKS Pacific, Inc. | 200,352 | 4,133 |
^ | Tempur-Pedic International Inc. | 546,681 | 3,876 |
| The Buckle, Inc. | 176,734 | 3,856 |
* | Helen of Troy Ltd. | 220,520 | 3,828 |
| Columbia Sportswear Co. | 106,462 | 3,766 |
| Ryland Group, Inc. | 212,821 | 3,761 |
| Jones Apparel Group, Inc. | 641,576 | 3,760 |
| Cracker Barrel Old Country Store Inc. | 170,254 | 3,506 |
| Jackson Hewitt Tax Service Inc. | 220,316 | 3,457 |
| Scholastic Corp. | 250,612 | 3,403 |
| Men’s Wearhouse, Inc. | 245,012 | 3,317 |
| Monro Muffler Brake, Inc. | 128,081 | 3,266 |
| Cato Corp. Class A | 213,752 | 3,228 |
| Fred’s, Inc. | 291,625 | 3,138 |
| UniFirst Corp. | 105,078 | 3,120 |
* | Hot Topic, Inc. | 336,368 | 3,118 |
* | Exide Technologies | 579,961 | 3,068 |
| Ethan Allen Interiors, Inc. | 209,609 | 3,012 |
| Orient-Express Hotel Ltd. | 392,139 | 3,004 |
| Churchill Downs, Inc. | 73,437 | 2,968 |
* | Jo-Ann Stores, Inc. | 184,332 | 2,855 |
| Brunswick Corp. | 674,577 | 2,840 |
| Cooper Tire & Rubber Co. | 430,905 | 2,654 |
| American Greetings Corp. Class A | 348,501 | 2,638 |
| National Presto Industries, Inc. | 34,131 | 2,628 |
| Brown Shoe Co., Inc. | 309,596 | 2,622 |
* | Steven Madden, Ltd. | 122,346 | 2,608 |
| The Marcus Corp. | 160,368 | 2,603 |
* | The Dress Barn, Inc. | 241,569 | 2,594 |
| Penske Automotive Group Inc. | 330,745 | 2,540 |
| Genesco, Inc. | 147,463 | 2,495 |
| Stage Stores, Inc. | 295,185 | 2,435 |
| K-Swiss, Inc. | 206,061 | 2,349 |
* | Pinnacle Entertainment, Inc. | 300,072 | 2,305 |
* | HSN, Inc. | 297,958 | 2,166 |
| Finish Line, Inc. | 382,709 | 2,143 |
* | Skechers U.S.A., Inc. | 166,747 | 2,138 |
Page 45
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
^ | Boyd Gaming Corp. | 439,389 | 2,078 |
| Harte-Hanks, Inc. | 316,534 | 1,975 |
| Stewart Enterprises, Inc. Class A | 653,440 | 1,967 |
*,^ | Cabela’s Inc. | 332,328 | 1,937 |
| Group 1 Automotive, Inc. | 179,313 | 1,931 |
| Liz Claiborne, Inc. | 729,865 | 1,898 |
| Speedway Motorsports, Inc. | 117,026 | 1,885 |
| Weyco Group, Inc. | 56,922 | 1,881 |
| World Wrestling Entertainment, Inc. | 169,655 | 1,880 |
| Dillard’s Inc. | 466,445 | 1,852 |
| Cinemark Holdings Inc. | 248,448 | 1,846 |
| Superior Industries International, Inc. | 173,889 | 1,829 |
* | Quiksilver, Inc. | 966,325 | 1,778 |
| Ameristar Casinos, Inc. | 198,305 | 1,713 |
* | Standard Pacific Corp. | 944,585 | 1,681 |
| The Pep Boys (Manny, Moe & Jack) | 398,916 | 1,648 |
* | Domino’s Pizza, Inc. | 328,571 | 1,548 |
| ArvinMeritor, Inc. | 538,782 | 1,536 |
| bebe stores, inc. | 205,162 | 1,533 |
| Blyth, Inc. | 195,353 | 1,532 |
| Christopher & Banks Corp. | 273,143 | 1,530 |
* | TRW Automotive Holdings Corp. | 423,973 | 1,526 |
* | 99 Cents Only Stores | 132,068 | 1,444 |
^ | DineEquity, Inc. | 121,283 | 1,402 |
* | RC2 Corp. | 131,079 | 1,399 |
* | Charming Shoppes, Inc. | 568,629 | 1,387 |
| Movado Group, Inc. | 139,022 | 1,305 |
| Winnebago Industries, Inc. | 212,862 | 1,284 |
| Sinclair Broadcast Group, Inc. | 408,883 | 1,268 |
| Hearst-Argyle Television Inc. | 201,393 | 1,220 |
* | Gaylord Entertainment Co. | 109,008 | 1,182 |
| Modine Manufacturing Co. | 235,460 | 1,147 |
| Asbury Automotive Group, Inc. | 246,247 | 1,125 |
* | Cox Radio, Inc. | 184,655 | 1,110 |
* | Orbitz Worldwide, Inc. | 285,353 | 1,107 |
| NutriSystem, Inc. | 75,742 | 1,105 |
| Belo Corp. Class A | 681,334 | 1,063 |
* | Tenneco Automotive, Inc. | 359,706 | 1,061 |
* | Interval Leisure Group, Inc. | 195,596 | 1,054 |
*,^ | Blockbuster Inc. Class A | 835,337 | 1,053 |
| American Axle & Manufacturing Holdings, Inc. | 358,290 | 1,035 |
* | Charlotte Russe Holding Inc. | 158,606 | 1,029 |
^ | Landry’s Restaurants, Inc. | 87,118 | 1,011 |
| Oxford Industries, Inc. | 110,008 | 965 |
| CSS Industries, Inc. | 53,691 | 952 |
| Warner Music Group Corp. | 298,329 | 901 |
*,^ | DSW Inc. Class A | 69,700 | 868 |
| Sealy Corp. | 345,716 | 868 |
| La-Z-Boy Inc. | 396,978 | 861 |
| Sonic Automotive, Inc. | 214,705 | 855 |
* | Pacific Sunwear of California, Inc. | 531,681 | 845 |
| Big 5 Sporting Goods Corp. | 157,839 | 822 |
* | Tween Brands, Inc. | 188,921 | 816 |
| Furniture Brands International Inc. | 352,003 | 778 |
* | Steak n Shake Co. | 128,602 | 765 |
| Journal Communications, Inc. | 303,013 | 742 |
* | Lear Corp. | 509,422 | 718 |
*,^ | Hovnanian Enterprises Inc. Class A | 401,765 | 691 |
*,^ | Conn’s, Inc. | 74,802 | 634 |
* | Ruby Tuesday, Inc. | 387,693 | 605 |
* | Build-A-Bear-Workshop, Inc. | 118,027 | 574 |
* | Dana Holding Corp. | 773,982 | 573 |
| Marine Products Corp. | 95,902 | 539 |
| Kenneth Cole Productions, Inc. | 72,462 | 513 |
| M/I Homes, Inc. | 47,276 | 498 |
| E.W. Scripps Co. Class A | 224,928 | 497 |
Page 46
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Valassis Communications, Inc. | 372,672 | 492 |
* | New York & Co., Inc. | 209,150 | 485 |
* | Leapfrog Enterprises, Inc. | 130,686 | 457 |
*,^ | Beazer Homes USA, Inc. | 289,128 | 457 |
^ | Brookfield Homes Corp. | 90,570 | 391 |
*,^ | Crocs, Inc. | 308,037 | 382 |
* | Blockbuster Inc. Class B | 557,468 | 362 |
* | Morgans Hotel Group | 76,643 | 357 |
^ | The McClatchy Co. Class A | 442,755 | 354 |
* | Krispy Kreme Doughnuts, Inc. | 206,635 | 347 |
| Dover Downs Gaming & Entertainment, Inc. | 103,772 | 330 |
| O’Charley’s Inc. | 163,094 | 326 |
* | Entravision Communications Corp. | 200,743 | 313 |
| Entercom Communications Corp. | 220,925 | 272 |
*,^ | Isle of Capri Casinos, Inc. | 81,975 | 262 |
^ | Media General, Inc. Class A | 148,972 | 261 |
* | Pier 1 Imports Inc. | 696,846 | 258 |
* | Stein Mart, Inc. | 215,281 | 243 |
* | Lin TV Corp. | 202,439 | 221 |
^ | Talbots Inc. | 68,431 | 164 |
| Borders Group, Inc. | 307,878 | 123 |
^ | Lee Enterprises, Inc. | 285,252 | 117 |
| | | 375,832 |
Consumer Staples (3.8%) | | |
| Corn Products International, Inc. | 571,668 | 16,493 |
| Del Monte Foods Co. | 1,514,931 | 10,817 |
| Flowers Foods, Inc. | 422,767 | 10,299 |
| Ruddick Corp. | 296,286 | 8,192 |
* | Hain Celestial Group, Inc. | 311,503 | 5,947 |
| Universal Corp. (VA) | 195,337 | 5,835 |
| Lancaster Colony Corp. | 162,799 | 5,584 |
* | BJ’s Wholesale Club, Inc. | 161,534 | 5,534 |
* | Chiquita Brands International, Inc. | 339,683 | 5,020 |
| Vector Group Ltd. | 355,348 | 4,840 |
| Sanderson Farms, Inc. | 132,036 | 4,563 |
| Nash-Finch Co. | 98,229 | 4,409 |
* | TreeHouse Foods Inc. | 157,143 | 4,281 |
| Nu Skin Enterprises, Inc. | 390,713 | 4,075 |
| J & J Snack Foods Corp. | 107,669 | 3,863 |
* | The Pantry, Inc. | 170,799 | 3,664 |
| WD-40 Co. | 120,114 | 3,398 |
| Lance, Inc. | 125,958 | 2,889 |
* | Prestige Brands Holdings Inc. | 268,991 | 2,838 |
| Weis Markets, Inc. | 82,848 | 2,786 |
* | Elizabeth Arden, Inc. | 198,116 | 2,498 |
* | Winn-Dixie Stores, Inc. | 146,176 | 2,353 |
* | Central Garden & Pet Co. Class A | 351,604 | 2,074 |
| The Andersons, Inc. | 118,397 | 1,951 |
| Ingles Markets, Inc. | 96,270 | 1,693 |
| Cal-Maine Foods, Inc. | 58,645 | 1,683 |
| B&G Foods Inc. | 283,240 | 1,529 |
| Tootsie Roll Industries, Inc. | 57,632 | 1,476 |
*,^ | Rite Aid Corp. | 4,540,662 | 1,408 |
| Farmer Brothers, Inc. | 55,194 | 1,377 |
* | Alliance One International, Inc. | 423,652 | 1,246 |
| Alico, Inc. | 28,002 | 1,148 |
| Village Super Market Inc. Class A | 19,569 | 1,123 |
* | Central Garden and Pet Co. | 166,156 | 974 |
| PriceSmart, Inc. | 45,050 | 931 |
| Coca-Cola Bottling Co. | 10,426 | 479 |
* | National Beverage Corp. | 35,980 | 324 |
* | Revlon, Inc. | 45,715 | 305 |
^ | Mannatech, Inc. | 121,397 | 297 |
| | | 140,196 |
Page 47
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
Energy (4.4%) | | |
| Southern Union Co. | 857,003 | 11,175 |
* | Whiting Petroleum Corp. | 324,935 | 10,872 |
* | Encore Acquisition Co. | 388,643 | 9,918 |
| Overseas Shipholding Group Inc. | 221,237 | 9,316 |
* | Oil States International, Inc. | 382,071 | 7,141 |
* | Unit Corp. | 235,981 | 6,305 |
* | Mariner Energy Inc. | 614,707 | 6,270 |
* | Bristow Group, Inc. | 212,471 | 5,692 |
* | SEACOR Holdings Inc. | 76,014 | 5,066 |
* | Helix Energy Solutions Group, Inc. | 671,027 | 4,858 |
* | Swift Energy Co. | 237,287 | 3,989 |
| World Fuel Services Corp. | 106,798 | 3,952 |
| Holly Corp. | 210,654 | 3,840 |
*,^ | USEC Inc. | 855,252 | 3,840 |
* | Superior Energy Services, Inc. | 217,327 | 3,462 |
* | General Maritime Corp. | 320,434 | 3,461 |
* | Vaalco Energy, Inc. | 447,861 | 3,332 |
* | Hercules Offshore, Inc. | 676,251 | 3,212 |
* | Complete Production Services, Inc. | 374,584 | 3,053 |
* | Rosetta Resources, Inc. | 397,295 | 2,813 |
* | Petroleum Development Corp. | 114,208 | 2,749 |
* | Willbros Group, Inc. | 300,993 | 2,549 |
* | Clayton Williams Energy, Inc. | 55,998 | 2,545 |
* | Stone Energy Corp. | 229,062 | 2,524 |
* | Parker Drilling Co. | 870,360 | 2,524 |
* | Gulfmark Offshore, Inc. | 101,110 | 2,405 |
* | Enbridge Energy Management LLC | 96,468 | 2,359 |
* | Basic Energy Services Inc. | 173,461 | 2,262 |
| W&T Offshore, Inc. | 151,786 | 2,174 |
* | Pioneer Drilling Co. | 382,562 | 2,131 |
* | Key Energy Services, Inc. | 479,829 | 2,116 |
| CARBO Ceramics Inc. | 55,869 | 1,985 |
| Lufkin Industries, Inc. | 57,043 | 1,968 |
^ | Western Refining, Inc. | 237,121 | 1,840 |
| Foundation Coal Holdings, Inc. | 122,479 | 1,717 |
* | Bronco Drilling Co., Inc. | 221,347 | 1,430 |
| Berry Petroleum Class A | 181,757 | 1,374 |
*,^ | Global Industries Ltd. | 377,288 | 1,317 |
*,^ | Oilsands Quest, Inc. | 1,745,417 | 1,274 |
| Crosstex Energy, Inc. | 305,071 | 1,190 |
* | PetroQuest Energy, Inc. | 165,305 | 1,118 |
* | Brigham Exploration Co. | 338,571 | 1,083 |
* | Harvest Natural Resources, Inc. | 245,209 | 1,054 |
* | Hornbeck Offshore Services, Inc. | 62,648 | 1,024 |
* | TETRA Technologies, Inc. | 201,735 | 981 |
* | Allis-Chalmers Energy Inc. | 163,608 | 900 |
| Gulf Island Fabrication, Inc. | 61,169 | 882 |
* | International Coal Group, Inc. | 353,444 | 813 |
* | Dawson Geophysical Co. | 37,250 | 663 |
* | Parallel Petroleum Corp. | 306,002 | 615 |
* | Gulfport Energy Corp. | 137,031 | 541 |
| Delek US Holdings, Inc. | 102,244 | 541 |
* | ATP Oil & Gas Corp. | 78,680 | 460 |
* | Trico Marine Services, Inc. | 96,191 | 430 |
* | Warren Resources Inc. | 213,132 | 424 |
* | TXCO Resources Inc. | 247,136 | 368 |
* | Energy Partners, Ltd. | 238,440 | 322 |
*,^ | GeoGlobal Resources Inc. | 139,733 | 224 |
*,^ | SulphCo, Inc. | 184,129 | 173 |
* | Aventine Renewable Energy Holdings, Inc. | 244,062 | 159 |
| | | 164,775 |
Financials (36.7%) | | |
| Valley National Bancorp | 983,388 | 19,914 |
| Arthur J. Gallagher & Co. | 716,303 | 18,559 |
| Realty Income Corp. REIT | 778,007 | 18,011 |
Page 48
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| The Hanover Insurance Group Inc. | 391,322 | 16,815 |
| Bank of Hawaii Corp. | 366,660 | 16,562 |
| Senior Housing Properties Trust REIT | 879,003 | 15,752 |
| StanCorp Financial Group, Inc. | 375,288 | 15,676 |
| Aspen Insurance Holdings Ltd. | 642,892 | 15,590 |
| Essex Property Trust, Inc. REIT | 196,276 | 15,064 |
| Alexandria Real Estate Equities, Inc. REIT | 246,481 | 14,873 |
| First Niagara Financial Group, Inc. | 854,418 | 13,816 |
| Platinum Underwriters Holdings, Ltd. | 373,759 | 13,485 |
| Highwood Properties, Inc. REIT | 487,587 | 13,340 |
| BancorpSouth, Inc. | 569,325 | 13,299 |
| Fulton Financial Corp. | 1,340,207 | 12,893 |
* | ProAssurance Corp. | 244,072 | 12,882 |
| FirstMerit Corp. | 620,770 | 12,782 |
| Mack-Cali Realty Corp. REIT | 504,816 | 12,368 |
| Allied World Assurance Holdings, Ltd. | 300,730 | 12,210 |
| Corporate Office Properties Trust, Inc. REIT | 390,989 | 12,003 |
| Endurance Specialty Holdings Ltd. | 389,571 | 11,894 |
* | Alleghany Corp. | 41,650 | 11,745 |
| Wilmington Trust Corp. | 516,831 | 11,494 |
| IPC Holdings Ltd. | 384,181 | 11,487 |
| Montpelier Re Holdings Ltd. | 667,328 | 11,204 |
| BRE Properties Inc. Class A REIT | 391,685 | 10,959 |
| Washington REIT | 379,562 | 10,742 |
* | Knight Capital Group, Inc. Class A | 660,928 | 10,674 |
| Susquehanna Bancshares, Inc. | 660,617 | 10,510 |
| United Bankshares, Inc. | 315,603 | 10,484 |
| Healthcare Realty Trust Inc. REIT | 443,356 | 10,410 |
| Astoria Financial Corp. | 625,296 | 10,305 |
| Apollo Investment Corp. | 1,086,729 | 10,117 |
| Washington Federal Inc. | 673,846 | 10,081 |
| Omega Healthcare Investors, Inc. REIT | 628,530 | 10,038 |
| Home Properties, Inc. REIT | 244,933 | 9,944 |
| National Retail Properties REIT | 567,936 | 9,763 |
| Douglas Emmett, Inc. REIT | 745,690 | 9,739 |
| Waddell & Reed Financial, Inc. | 624,677 | 9,658 |
| Erie Indemnity Co. Class A | 256,266 | 9,643 |
| Prosperity Bancshares, Inc. | 317,869 | 9,406 |
| Selective Insurance Group | 403,975 | 9,263 |
| Old National Bancorp | 507,545 | 9,217 |
| Zenith National Insurance Corp. | 285,679 | 9,019 |
| MFA Mortgage Investments, Inc. REIT | 1,517,715 | 8,939 |
| F.N.B. Corp. | 659,645 | 8,707 |
| Kilroy Realty Corp. REIT | 250,614 | 8,386 |
| Trustmark Corp. | 373,355 | 8,061 |
| National Penn Bancshares Inc. | 549,876 | 7,979 |
| Potlatch Corp. REIT | 302,851 | 7,877 |
| Whitney Holdings Corp. | 490,592 | 7,845 |
| Mid-America Apartment Communities, Inc. REIT | 210,765 | 7,832 |
| East West Bancorp, Inc. | 486,763 | 7,774 |
| Cathay General Bancorp | 322,321 | 7,655 |
| Entertainment Properties Trust REIT | 251,965 | 7,509 |
| First Midwest Bancorp, Inc. | 372,557 | 7,440 |
| Westamerica Bancorporation | 144,223 | 7,377 |
* | Conseco, Inc. | 1,415,616 | 7,333 |
| Protective Life Corp. | 509,144 | 7,306 |
| Hatteras Financial Corp. REIT | 267,933 | 7,127 |
| BioMed Realty Trust, Inc. REIT | 607,296 | 7,118 |
| First Commonwealth Financial Corp. | 574,474 | 7,112 |
| Jones Lang LaSalle Inc. | 249,397 | 6,908 |
| EastGroup Properties, Inc. REIT | 192,007 | 6,832 |
| Franklin Street Properties Corp. REIT | 459,198 | 6,773 |
| First BanCorp Puerto Rico | 604,364 | 6,733 |
| DCT Industrial Trust Inc. REIT | 1,325,107 | 6,705 |
| Umpqua Holdings Corp. | 460,714 | 6,667 |
| American Campus Communities, Inc. REIT | 324,437 | 6,644 |
Page 49
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| NBT Bancorp, Inc. | 234,144 | 6,547 |
| Provident Financial Services Inc. | 414,537 | 6,342 |
| S & T Bancorp, Inc. | 178,638 | 6,342 |
| NewAlliance Bancshares, Inc. | 481,467 | 6,341 |
| Fannie Mae | 8,223,665 | 6,250 |
| Employers Holdings, Inc. | 375,600 | 6,197 |
| Park National Corp. | 85,823 | 6,158 |
| Extra Space Storage Inc. REIT | 596,408 | 6,155 |
| Max Re Capital Ltd. | 347,697 | 6,154 |
| Sovran Self Storage, Inc. REIT | 168,668 | 6,072 |
| Community Bank System, Inc. | 247,439 | 6,035 |
| Digital Realty Trust, Inc. REIT | 183,191 | 6,018 |
| Assured Guaranty Ltd. | 522,402 | 5,955 |
| Inland Real Estate Corp. REIT | 456,175 | 5,921 |
| HRPT Properties Trust REIT | 1,744,018 | 5,877 |
* | Piper Jaffray Cos., Inc. | 146,832 | 5,838 |
| Delphi Financial Group, Inc. | 316,515 | 5,837 |
| UCBH Holdings, Inc. | 846,212 | 5,822 |
| Unitrin, Inc. | 361,884 | 5,768 |
| CVB Financial Corp. | 478,309 | 5,692 |
| Pacific Capital Bancorp | 336,142 | 5,674 |
| MB Financial, Inc. | 200,929 | 5,616 |
| Post Properties, Inc. REIT | 339,273 | 5,598 |
| Webster Financial Corp. | 402,542 | 5,547 |
| TrustCo Bank NY | 581,184 | 5,527 |
^ | Equity One, Inc. REIT | 311,990 | 5,522 |
| Infinity Property & Casualty Corp. | 117,674 | 5,499 |
| IBERIABANK Corp. | 113,393 | 5,443 |
| UMB Financial Corp. | 110,134 | 5,412 |
| PacWest Bancorp | 198,669 | 5,344 |
* | PHH Corp. | 417,031 | 5,309 |
| Brandywine Realty Trust REIT | 681,155 | 5,252 |
| National Health Investors REIT | 191,320 | 5,248 |
| United Fire & Casualty Co. | 164,775 | 5,120 |
| Investors Real Estate Trust REIT | 447,432 | 4,792 |
| Brookline Bancorp, Inc. | 446,939 | 4,760 |
*,^ | E*TRADE Financial Corp. | 4,130,912 | 4,751 |
| Ares Capital Corp. | 746,839 | 4,727 |
| WesBanco, Inc. | 173,519 | 4,721 |
| Capstead Mortgage Corp. REIT | 433,578 | 4,670 |
| Chemical Financial Corp. | 164,790 | 4,594 |
| Tanger Factory Outlet Centers, Inc. REIT | 121,515 | 4,571 |
| Glacier Bancorp, Inc. | 230,153 | 4,378 |
| Cousins Properties, Inc. REIT | 315,784 | 4,374 |
| Financial Federal Corp. | 186,207 | 4,333 |
| City Holding Co. | 124,054 | 4,315 |
| First Financial Bankshares, Inc. | 77,873 | 4,299 |
| Anworth Mortgage Asset Corp. REIT | 653,110 | 4,200 |
| Harleysville National Corp. | 288,489 | 4,166 |
| Hancock Holding Co. | 90,562 | 4,117 |
| Bank Mutual Corp. | 352,379 | 4,066 |
| Safety Insurance Group, Inc. | 106,440 | 4,051 |
* | Argo Group International Holdings | 118,167 | 4,008 |
^ | United Community Banks, Inc. | 291,933 | 3,964 |
| BlackRock Kelso Capital Corp. | 396,719 | 3,912 |
| TowneBank | 157,083 | 3,894 |
| Chimera Investment Corp. | 1,118,715 | 3,860 |
| Harleysville Group, Inc. | 110,322 | 3,831 |
| Community Trust Bancorp Inc. | 103,711 | 3,811 |
| First Busey Corp. | 206,381 | 3,764 |
| Wintrust Financial Corp. | 181,719 | 3,738 |
| DiamondRock Hospitality Co. REIT | 708,820 | 3,594 |
| Castlepoint Holdings Ltd. | 265,017 | 3,594 |
| Sterling Financial Corp. | 398,353 | 3,506 |
| LaSalle Hotel Properties REIT | 310,921 | 3,436 |
| Sterling Bancshares, Inc. | 562,632 | 3,421 |
Page 50
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Provident New York Bancorp, Inc. | 275,573 | 3,417 |
| PS Business Parks, Inc. REIT | 76,504 | 3,417 |
| Acadia Realty Trust REIT | 236,215 | 3,371 |
| MGIC Investment Corp. | 956,566 | 3,329 |
| Medical Properties Trust Inc. REIT | 509,967 | 3,218 |
| American Physicians Capital, Inc. | 66,691 | 3,208 |
| State Auto Financial Corp. | 106,157 | 3,191 |
| Northwest Bancorp, Inc. | 149,056 | 3,187 |
| CBL & Associates Properties, Inc. REIT | 484,226 | 3,147 |
| Independent Bank Corp. (MA) | 118,785 | 3,107 |
| National Western Life Insurance Co. Class A | 18,292 | 3,094 |
^ | Redwood Trust, Inc. REIT | 206,468 | 3,078 |
| Stewart Information Services Corp. | 130,728 | 3,071 |
| LTC Properties, Inc. REIT | 150,876 | 3,060 |
^ | Colonial BancGroup, Inc. | 1,476,478 | 3,056 |
| First Financial Bancorp | 244,971 | 3,035 |
| Boston Private Financial Holdings, Inc. | 440,175 | 3,011 |
| Tompkins Trustco, Inc. | 51,911 | 3,008 |
| Getty Realty Holding Corp. REIT | 142,815 | 3,008 |
* | Amerisafe Inc. | 144,005 | 2,956 |
| Colonial Properties Trust REIT | 347,874 | 2,898 |
| Universal Health Realty Income REIT | 86,614 | 2,850 |
| Saul Centers, Inc. REIT | 71,351 | 2,818 |
| First Merchants Corp. | 125,343 | 2,784 |
* | FPIC Insurance Group, Inc. | 63,425 | 2,777 |
| Horace Mann Educators Corp. | 300,487 | 2,761 |
| Sandy Spring Bancorp, Inc. | 125,597 | 2,742 |
| The Phoenix Cos., Inc. | 837,560 | 2,739 |
^ | Ambac Financial Group, Inc. | 2,094,983 | 2,723 |
| Prospect Energy Corp. | 227,003 | 2,717 |
| Berkshire Hills Bancorp, Inc. | 87,567 | 2,702 |
| Univest Corp. of Pennsylvania | 84,015 | 2,700 |
* | Ocwen Financial Corp. | 289,732 | 2,660 |
* | CNA Surety Corp. | 135,975 | 2,611 |
| Renasant Corp. | 152,912 | 2,604 |
| American Equity Investment Life Holding Co. | 367,781 | 2,574 |
| First Industrial Realty Trust REIT | 340,582 | 2,571 |
| Flagstone Reinsurance Holdings Ltd. | 262,838 | 2,568 |
| TriCo Bancshares | 102,805 | 2,567 |
| Simmons First National Corp. | 85,702 | 2,526 |
| First Community Bancshares, Inc. | 71,627 | 2,498 |
| Lexington Realty Trust REIT | 496,638 | 2,483 |
| Provident Bankshares Corp. | 255,390 | 2,467 |
| Sunstone Hotel Investors, Inc. REIT | 396,829 | 2,456 |
| Union Bankshares Corp. | 98,465 | 2,442 |
| Dime Community Bancshares | 182,770 | 2,431 |
| The South Financial Group, Inc. | 559,623 | 2,418 |
| First Source Corp. | 101,991 | 2,410 |
| Cedar Shopping Centers, Inc. REIT | 339,834 | 2,406 |
*,^ | AmeriCredit Corp. | 313,449 | 2,395 |
^ | General Growth Properties Inc. REIT | 1,854,881 | 2,393 |
| Freddie Mac | 3,214,363 | 2,346 |
| SCBT Financial Corp. | 67,723 | 2,336 |
| Capital Southwest Corp. | 21,419 | 2,317 |
^ | iStar Financial Inc. REIT | 1,030,077 | 2,297 |
| Radian Group, Inc. | 620,235 | 2,282 |
| Pennsylvania REIT | 304,065 | 2,265 |
| WSFS Financial Corp. | 47,176 | 2,264 |
| Westfield Financial, Inc. | 217,176 | 2,241 |
| Central Pacific Financial Co. | 221,191 | 2,221 |
| Citizens Banking Corp. | 738,421 | 2,201 |
* | Hilltop Holdings Inc. | 225,534 | 2,197 |
| Capital City Bank Group, Inc. | 79,192 | 2,157 |
| Parkway Properties Inc. REIT | 117,723 | 2,119 |
| Kearny Financial Corp. | 162,877 | 2,085 |
| Nelnet, Inc. | 145,089 | 2,079 |
Page 51
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Lakeland Financial Corp. | 84,984 | 2,024 |
| Hercules Technology Growth Capital, Inc. | 252,502 | 2,000 |
| Mainsource Financial Group, Inc. | 128,888 | 1,998 |
| MVC Capital, Inc. | 177,480 | 1,947 |
| First Potomac REIT | 207,524 | 1,930 |
| Arrow Financial Corp. | 76,684 | 1,928 |
| GFI Group Inc. | 543,689 | 1,925 |
| Compass Diversified Trust | 169,671 | 1,909 |
| Republic Bancorp, Inc. Class A | 70,122 | 1,907 |
| StellarOne Corp. | 111,788 | 1,889 |
| SWS Group, Inc. | 99,442 | 1,884 |
| OneBeacon Insurance Group Ltd. | 178,443 | 1,863 |
| Sterling Bancorp | 131,402 | 1,844 |
* | Seabright Insurance Holdings, Inc. | 155,996 | 1,831 |
| Urstadt Biddle Properties Class A REIT | 114,829 | 1,829 |
^ | NorthStar Realty Finance Corp. REIT | 460,140 | 1,799 |
| Sun Communities, Inc. REIT | 127,463 | 1,784 |
| Nara Bancorp, Inc. | 181,532 | 1,784 |
* | United America Indemnity, Ltd. | 139,256 | 1,784 |
| Northfield Bancorp, Inc. | 155,043 | 1,744 |
| Abington Community Bancorp Inc. | 187,838 | 1,738 |
| Washington Trust Bancorp, Inc. | 87,615 | 1,730 |
| First Financial Holdings, Inc. | 85,333 | 1,727 |
^ | American Capital Agency Corp. REIT | 80,846 | 1,727 |
| FBL Financial Group, Inc. Class A | 111,535 | 1,723 |
* | Western Alliance Bancorp | 170,110 | 1,716 |
| Presidential Life Corp. | 170,736 | 1,689 |
| Flushing Financial Corp. | 141,031 | 1,687 |
| U-Store-It Trust REIT | 378,531 | 1,684 |
| Southside Bancshares, Inc. | 71,241 | 1,674 |
| Columbia Banking System, Inc. | 139,697 | 1,667 |
*,^ | MF Global Ltd. | 787,631 | 1,607 |
| BancFirst Corp. | 30,358 | 1,607 |
| S.Y. Bancorp, Inc. | 57,107 | 1,570 |
| Amtrust Financial Services Inc. | 133,787 | 1,552 |
| First Financial Corp. (IN) | 37,832 | 1,551 |
| Donegal Group Inc. Class A | 92,010 | 1,543 |
| Kansas City Life Insurance Co. | 35,203 | 1,526 |
| Bank of the Ozarks, Inc. | 48,617 | 1,441 |
^ | Frontier Financial Corp. | 326,279 | 1,423 |
| CoBiz Inc. | 142,877 | 1,392 |
| NGP Capital Resources Co. | 166,172 | 1,391 |
| Southwest Bancorp, Inc. | 106,415 | 1,379 |
| Kite Realty Group Trust REIT | 244,082 | 1,357 |
| Greene County Bancshares | 95,972 | 1,299 |
^ | Anthracite Capital Inc. REIT | 564,481 | 1,259 |
| Cohen & Steers, Inc. | 112,049 | 1,231 |
| The PMI Group Inc. | 630,086 | 1,229 |
| Wilshire Bancorp Inc. | 133,779 | 1,215 |
^ | RAIT Financial Trust REIT | 466,674 | 1,213 |
| EMC Insurance Group, Inc. | 45,975 | 1,179 |
| Heartland Financial USA, Inc. | 57,028 | 1,174 |
^ | Cascade Bancorp | 172,999 | 1,168 |
| Education Realty Trust, Inc. REIT | 218,907 | 1,143 |
* | Avatar Holding, Inc. | 42,978 | 1,140 |
| Calamos Asset Management, Inc. | 149,983 | 1,110 |
^ | Old Second Bancorp, Inc. | 95,279 | 1,105 |
* | NewStar Financial, Inc. | 276,348 | 1,103 |
| Winthrop Realty Trust REIT | 101,712 | 1,103 |
| Hersha Hospitality Trust REIT | 365,888 | 1,098 |
| Baldwin & Lyons, Inc. Class B | 56,082 | 1,020 |
| Oriental Financial Group Inc. | 168,587 | 1,020 |
| Ashford Hospitality Trust REIT | 874,966 | 1,006 |
| BankFinancial Corp. | 98,440 | 1,003 |
| Strategic Hotels and Resorts, Inc. REIT | 577,061 | 969 |
| Clifton Savings Bancorp, Inc. | 81,495 | 967 |
Page 52
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| BGC Partners, Inc. | 333,759 | 921 |
| United Financial Bancorp, Inc. | 60,645 | 918 |
| Ramco-Gershenson Properties Trust REIT | 143,273 | 885 |
| FelCor Lodging Trust, Inc. REIT | 479,771 | 883 |
| National Financial Partners Corp. | 286,117 | 870 |
| Capitol Bancorp Ltd. | 109,285 | 852 |
| Banner Corp. | 88,005 | 828 |
* | Penson Worldwide, Inc. | 106,956 | 815 |
| Glimcher Realty Trust REIT | 287,066 | 807 |
| National Interstate Corp. | 44,271 | 791 |
* | Guaranty Bancorp | 393,896 | 788 |
* | Virginia Commerce Bancorp, Inc. | 151,972 | 786 |
| Great Southern Bancorp, Inc. | 66,098 | 756 |
| West Coast Bancorp | 113,116 | 745 |
*,^ | Guaranty Financial Group, Inc. | 254,831 | 665 |
*,^ | The First Marblehead Corp. | 484,383 | 625 |
*,^ | CompuCredit Corp. | 110,385 | 610 |
| Hanmi Financial Corp. | 294,760 | 607 |
| Amcore Financial, Inc. | 159,619 | 578 |
| Gamco Investors Inc. Class A | 20,809 | 569 |
| Consolidated-Tomoka Land Co. | 14,835 | 567 |
| Advance America, Cash Advance Centers, Inc. | 299,019 | 565 |
| CapLease, Inc. REIT | 321,668 | 556 |
| Urstadt Biddle Properties REIT | 38,239 | 545 |
| City Bank Lynnwood (WA) | 101,326 | 527 |
^ | Seacoast Banking Corp. of Florida | 73,003 | 482 |
* | FCStone Group, Inc. | 98,668 | 437 |
^ | Maguire Properties, Inc. REIT | 297,151 | 434 |
| Gramercy Capital Corp. REIT | 330,821 | 423 |
| Grubb & Ellis Co. | 332,807 | 413 |
^ | Arbor Realty Trust, Inc. REIT | 139,667 | 412 |
* | First Acceptance Corp. | 141,740 | 411 |
| Advanta Corp. Class B | 194,309 | 406 |
^ | Capital Trust Class A REIT | 108,599 | 391 |
| Anchor Bancorp Wisconsin Inc. | 138,182 | 381 |
| DuPont Fabros Technology Inc. REIT | 180,610 | 374 |
* | FBR Capital Markets Corp. | 71,395 | 347 |
| Independent Bank Corp. (MI) | 153,099 | 331 |
| Roma Financial Corp. | 25,648 | 323 |
* | Thomas Weisel Partners Group, Inc. | 64,116 | 303 |
^ | Corus Bankshares Inc. | 243,726 | 271 |
| Taylor Capital Group, Inc. | 45,748 | 268 |
* | Flagstar Bancorp, Inc. | 360,775 | 256 |
| First State Bancorporation | 149,725 | 247 |
^ | Newcastle Investment Corp. REIT | 268,598 | 226 |
* | Asset Acceptance Capital Corp. | 41,745 | 213 |
| Integra Bank Corp. | 145,542 | 199 |
* | Friedman, Billings, Ramsey Group, Inc. REIT | 1,099,808 | 187 |
* | First Federal Financial Corp. | 102,612 | 180 |
^ | JER Investors Trust Inc. REIT | 181,166 | 168 |
| Advanta Corp. Class A | 103,742 | 120 |
| | | 1,363,766 |
Health Care (5.9%) | | |
* | Watson Pharmaceuticals, Inc. | 761,946 | 20,245 |
| Teleflex Inc. | 304,505 | 15,256 |
| | | | |
| Universal Health Services Class B | 362,209 | 13,608 |
| PerkinElmer, Inc. | 917,518 | 12,763 |
* | AMERIGROUP Corp. | 407,166 | 12,020 |
| Owens & Minor, Inc. | 317,217 | 11,943 |
* | LifePoint Hospitals, Inc. | 387,841 | 8,858 |
* | Healthspring, Inc. | 381,223 | 7,613 |
| Hill-Rom Holdings, Inc. | 455,006 | 7,489 |
*,^ | Inverness Medical Innovations, Inc. | 369,189 | 6,981 |
* | Centene Corp. | 331,439 | 6,533 |
* | AmSurg Corp. | 243,229 | 5,677 |
Page 53
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Cooper Cos., Inc. | 344,729 | 5,654 |
* | CONMED Corp. | 221,047 | 5,292 |
* | Greatbatch, Inc. | 175,773 | 4,651 |
* | Magellan Health Services, Inc. | 109,271 | 4,279 |
* | Pediatrix Medical Group, Inc. | 122,653 | 3,888 |
* | Par Pharmaceutical Cos. Inc. | 265,301 | 3,558 |
| Invacare Corp. | 225,987 | 3,507 |
| Landauer, Inc. | 46,424 | 3,403 |
* | Health Management Associates Class A | 1,878,401 | 3,362 |
* | Kindred Healthcare, Inc. | 238,798 | 3,109 |
* | Advanced Medical Optics, Inc. | 468,427 | 3,096 |
* | Res-Care, Inc. | 192,343 | 2,889 |
* | Sequenom, Inc. | 145,150 | 2,880 |
| Analogic Corp. | 103,028 | 2,811 |
* | Universal American Corp. | 316,841 | 2,795 |
* | AMAG Pharmaceuticals, Inc. | 65,262 | 2,340 |
* | RehabCare Group, Inc. | 138,729 | 2,103 |
* | Cross Country Healthcare, Inc. | 222,309 | 1,954 |
| Computer Programs and Systems, Inc. | 70,810 | 1,898 |
* | Molina Healthcare Inc. | 105,422 | 1,856 |
* | Orthofix International N.V. | 118,341 | 1,814 |
* | Emergency Medical Services LP Class A | 44,313 | 1,622 |
| Brookdale Senior Living Inc. | 273,011 | 1,523 |
* | Odyssey Healthcare, Inc. | 164,157 | 1,518 |
* | inVentiv Health, Inc. | 127,800 | 1,475 |
* | Triple-S Management Corp. | 125,191 | 1,440 |
* | Nabi Biopharmaceuticals | 397,263 | 1,331 |
* | Skilled Healthcare Group Inc. | 150,009 | 1,266 |
* | Savient Pharmaceuticals Inc. | 209,469 | 1,213 |
*,^ | Dendreon Corp. | 251,662 | 1,153 |
* | Affymetrix, Inc. | 352,150 | 1,053 |
* | Cambrex Corp. | 221,926 | 1,025 |
*,^ | Medivation Inc. | 68,794 | 1,002 |
* | Allos Therapeutics Inc. | 153,950 | 942 |
* | Arena Pharmaceuticals, Inc. | 199,158 | 831 |
*,^ | Osiris Therapeutics, Inc. | 42,219 | 809 |
* | Rigel Pharmaceuticals, Inc. | 98,424 | 787 |
* | Nighthawk Radiology Holdings, Inc. | 151,536 | 736 |
* | Ligand Pharmaceuticals Inc. Class B | 258,911 | 709 |
* | Albany Molecular Research, Inc. | 62,905 | 613 |
* | Emeritus Corp. | 56,782 | 570 |
* | MedCath Corp. | 45,602 | 476 |
* | Enzo Biochem, Inc. | 88,350 | 432 |
* | Cadence Pharmaceuticals, Inc. | 57,798 | 418 |
*,^ | Clinical Data, Inc. | 45,606 | 406 |
* | Idenix Pharmaceuticals Inc. | 61,289 | 355 |
* | Zymogenetics, Inc. | 112,489 | 337 |
* | Life Sciences Research, Inc. | 27,479 | 258 |
* | Sucampo Pharmaceuticals Inc. | 19,239 | 111 |
| | | 220,536 |
Industrials (14.7%) | | |
* | URS Corp. | 648,270 | 26,430 |
| Lincoln Electric Holdings, Inc. | 328,942 | 16,753 |
| Kennametal, Inc. | 587,945 | 13,046 |
| The Timken Co. | 629,447 | 12,356 |
| Hubbell Inc. Class B | 375,662 | 12,277 |
| Lennox International Inc. | 359,831 | 11,619 |
| GATX Corp. | 373,839 | 11,578 |
| Curtiss-Wright Corp. | 344,653 | 11,508 |
| Granite Construction Co. | 249,641 | 10,967 |
* | Moog Inc. | 296,483 | 10,842 |
| Trinity Industries, Inc. | 626,503 | 9,874 |
| Carlisle Co., Inc. | 468,234 | 9,692 |
| Regal-Beloit Corp. | 247,307 | 9,395 |
| Con-way, Inc. | 350,605 | 9,326 |
Page 54
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Brady Corp. Class A | 386,083 | 9,247 |
| Skywest, Inc. | 437,203 | 8,132 |
| Alexander & Baldwin, Inc. | 317,065 | 7,946 |
| Watson Wyatt & Co. Holdings | 165,724 | 7,925 |
| Kaydon Corp. | 214,049 | 7,353 |
| Watsco, Inc. | 188,605 | 7,242 |
| Mueller Industries Inc. | 284,668 | 7,139 |
| Belden Inc. | 330,405 | 6,899 |
| Briggs & Stratton Corp. | 381,883 | 6,717 |
| ABM Industries Inc. | 348,325 | 6,636 |
| Crane Co. | 366,544 | 6,319 |
* | WESCO International, Inc. | 324,046 | 6,231 |
| The Brink’s Co. | 224,094 | 6,024 |
* | United Stationers, Inc. | 179,845 | 6,023 |
| Deluxe Corp. | 394,851 | 5,907 |
| Otter Tail Corp. | 252,014 | 5,879 |
| Baldor Electric Co. | 318,636 | 5,688 |
* | EMCOR Group, Inc. | 251,231 | 5,635 |
| Watts Water Technologies, Inc. | 224,307 | 5,601 |
| Arkansas Best Corp. | 184,720 | 5,562 |
| Mueller Water Products, Inc. | 657,317 | 5,548 |
| Triumph Group, Inc. | 127,441 | 5,411 |
^ | Simpson Manufacturing Co. | 194,302 | 5,394 |
* | MPS Group, Inc. | 715,099 | 5,385 |
* | Alaska Air Group, Inc. | 180,002 | 5,265 |
| Barnes Group, Inc. | 355,668 | 5,157 |
| Oshkosh Truck Corp. | 570,901 | 5,075 |
* | GrafTech International Ltd. | 597,301 | 4,970 |
| HNI Corp. | 305,895 | 4,845 |
* | Perini Corp. | 199,643 | 4,668 |
| A.O. Smith Corp. | 150,557 | 4,444 |
* | Insituform Technologies Inc. Class A | 214,737 | 4,228 |
| Ameron International Corp. | 67,011 | 4,216 |
* | Mastec Inc. | 361,795 | 4,190 |
| Werner Enterprises, Inc. | 230,480 | 3,997 |
| Franklin Electric, Inc. | 140,763 | 3,957 |
* | BE Aerospace, Inc. | 495,399 | 3,810 |
| Viad Corp. | 153,108 | 3,788 |
| Herman Miller, Inc. | 278,438 | 3,628 |
*,^ | General Cable Corp. | 202,873 | 3,589 |
| Kaman Corp. Class A | 195,385 | 3,542 |
| Tredegar Corp. | 194,163 | 3,530 |
| Universal Forest Products, Inc. | 124,026 | 3,338 |
| Armstrong Worldwide Industries, Inc. | 153,599 | 3,321 |
* | EnPro Industries, Inc. | 153,759 | 3,312 |
* | United Rentals, Inc. | 362,989 | 3,310 |
| Knoll, Inc. | 365,415 | 3,296 |
* | EnerSys | 286,150 | 3,148 |
| EnergySolutions | 542,949 | 3,068 |
| Federal Signal Corp. | 365,067 | 2,997 |
| G & K Services, Inc. Class A | 145,534 | 2,943 |
* | Colfax Corp. | 270,539 | 2,811 |
| Pacer International, Inc. | 266,715 | 2,782 |
* | School Specialty, Inc. | 144,404 | 2,761 |
* | AAR Corp. | 148,820 | 2,740 |
| Quanex Building Products Corp. | 289,406 | 2,712 |
| Albany International Corp. | 204,505 | 2,618 |
| Steelcase Inc. | 457,327 | 2,570 |
* | Ceradyne, Inc. | 124,621 | 2,531 |
* | Republic Airways Holdings Inc. | 236,288 | 2,521 |
| Kelly Services, Inc. Class A | 192,363 | 2,503 |
* | NCI Building Systems, Inc. | 151,011 | 2,461 |
| Eagle Bulk Shipping Inc. | 359,518 | 2,452 |
| Ennis, Inc. | 198,191 | 2,400 |
* | Interline Brands, Inc. | 224,469 | 2,386 |
| Apogee Enterprises, Inc. | 221,742 | 2,297 |
Page 55
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Gibraltar Industries Inc. | 183,921 | 2,196 |
* | Griffon Corp. | 226,119 | 2,110 |
* | Korn/Ferry International | 178,801 | 2,042 |
| Genco Shipping and Trading Ltd. | 134,189 | 1,986 |
| Tennant Co. | 127,429 | 1,962 |
* | Northwest Pipe Co. | 45,854 | 1,954 |
* | Argon ST, Inc. | 99,752 | 1,881 |
| Cascade Corp. | 61,948 | 1,850 |
| Mueller Water Products, Inc. Class A | 216,296 | 1,817 |
| Standex International Corp. | 90,447 | 1,794 |
| TAL International Group, Inc. | 126,073 | 1,778 |
* | Consolidated Graphics, Inc. | 77,317 | 1,750 |
| Aircastle Ltd. | 363,117 | 1,736 |
* | Rush Enterprises, Inc. Class A | 202,142 | 1,732 |
| NACCO Industries, Inc. Class A | 43,655 | 1,633 |
| Kimball International, Inc. Class B | 184,691 | 1,590 |
* | Force Protection, Inc. | 262,937 | 1,572 |
* | Ladish Co., Inc. | 112,173 | 1,554 |
| CDI Corp. | 109,677 | 1,419 |
| Courier Corp. | 78,464 | 1,404 |
* | Acco Brands Corp. | 406,338 | 1,402 |
| American Woodmark Corp. | 74,916 | 1,366 |
| Schawk, Inc. | 115,093 | 1,319 |
| Great Lakes Dredge & Dock Co. | 315,662 | 1,310 |
*,^ | YRC Worldwide, Inc. | 441,131 | 1,266 |
* | H&E Equipment Services, Inc. | 163,834 | 1,263 |
* | LECG Corp. | 187,399 | 1,257 |
| Macquarie Infrastructure Co. LLC | 329,457 | 1,242 |
* | Columbus McKinnon Corp. | 90,564 | 1,236 |
| Bowne & Co., Inc. | 200,904 | 1,181 |
| Wabash National Corp. | 237,117 | 1,067 |
* | Tecumseh Products Co. Class A | 109,678 | 1,051 |
* | Blount International, Inc. | 108,775 | 1,031 |
* | Atlas Air Worldwide Holdings, Inc. | 53,581 | 1,013 |
* | First Advantage Corp. Class A | 71,268 | 1,008 |
* | TBS International Ltd. | 99,497 | 998 |
| Textainer Group Holdings Ltd. | 88,879 | 942 |
* | Spherion Corp. | 408,361 | 902 |
* | Pike Electric Corp. | 70,183 | 863 |
| The Greenbrier Cos., Inc. | 120,166 | 826 |
| Sauer-Danfoss, Inc. | 93,653 | 819 |
* | Volt Information Sciences Inc. | 106,474 | 770 |
| Horizon Lines Inc. | 216,636 | 756 |
| Paragon Shipping, Inc. | 155,056 | 736 |
| Lawson Products, Inc. | 32,218 | 736 |
* | Clearwater Paper Corp. | 87,309 | 733 |
| Ampco-Pittsburgh Corp. | 33,254 | 722 |
| The Standard Register Co. | 72,217 | 645 |
* | Amerco, Inc. | 18,456 | 637 |
* | Cenveo Inc. | 135,066 | 601 |
* | Plug Power, Inc. | 581,305 | 593 |
* | Avis Budget Group, Inc. | 771,353 | 540 |
* | Rush Enterprises, Inc. Class B | 65,183 | 534 |
| American Railcar Industries, Inc. | 39,891 | 420 |
* | Safe Bulkers, Inc. | 53,852 | 360 |
* | Universal Truckload Services, Inc. | 23,787 | 337 |
* | Fushi Copperweld, Inc. | 48,362 | 255 |
*,^ | Metalico, Inc. | 110,074 | 171 |
* | TriMas Corp. | 123,338 | 170 |
* | Tecumseh Products Co. Class B | 17,177 | 164 |
*,^ | Builders FirstSource, Inc. | 90,193 | 138 |
* | TurboChef Technologies, Inc. | 61 | — |
| | | 544,823 |
Page 56
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
Information Technology (8.0%) | | |
| Diebold, Inc. | 505,092 | 14,188 |
* | Compuware Corp. | 1,957,096 | 13,210 |
* | IAC/InterActiveCorp | 728,880 | 11,465 |
* | CACI International, Inc. | 232,294 | 10,474 |
* | Integrated Device Technology Inc. | 1,302,440 | 7,307 |
* | Tech Data Corp. | 405,358 | 7,232 |
* | 3Com Corp. | 3,107,482 | 7,085 |
* | Skyworks Solutions, Inc. | 1,264,312 | 7,004 |
* | Novell, Inc. | 1,762,852 | 6,857 |
* | Benchmark Electronics, Inc. | 509,958 | 6,512 |
* | Avocent Corp. | 343,236 | 6,147 |
* | Convergys Corp. | 933,490 | 5,984 |
* | PMC Sierra Inc. | 1,093,283 | 5,313 |
* | Cypress Semiconductor Corp. | 1,165,565 | 5,210 |
| MAXIMUS, Inc. | 143,393 | 5,035 |
| Plantronics, Inc. | 376,138 | 4,965 |
* | ADC Telecommunications, Inc. | 905,219 | 4,952 |
* | Lawson Software, Inc. | 1,003,427 | 4,756 |
* | MKS Instruments, Inc. | 321,558 | 4,756 |
* | QLogic Corp. | 353,022 | 4,745 |
| Broadridge Financial Solutions LLC | 378,008 | 4,740 |
* | Fairchild Semiconductor International, Inc. | 961,108 | 4,700 |
| Acxiom Corp. | 567,398 | 4,602 |
* | Emulex Corp. | 650,326 | 4,539 |
* | Vishay Intertechnology, Inc. | 1,323,160 | 4,525 |
| Take-Two Interactive Software, Inc. | 593,768 | 4,489 |
* | Tekelec | 296,036 | 3,949 |
* | Electronics for Imaging, Inc. | 403,386 | 3,856 |
* | Arris Group Inc. | 471,770 | 3,751 |
* | Mentor Graphics Corp. | 699,111 | 3,614 |
| United Online, Inc. | 593,365 | 3,602 |
* | ON Semiconductor Corp. | 1,045,830 | 3,556 |
| Black Box Corp. | 134,597 | 3,516 |
| Imation Corp. | 245,931 | 3,337 |
| Fair Isaac, Inc. | 186,168 | 3,139 |
| AVX Corp. | 393,959 | 3,128 |
* | Avid Technology, Inc. | 284,959 | 3,109 |
* | Adaptec, Inc. | 925,694 | 3,055 |
* | Progress Software Corp. | 158,199 | 3,047 |
* | JDA Software Group, Inc. | 225,858 | 2,965 |
* | Checkpoint Systems, Inc. | 296,913 | 2,922 |
* | Zoran Corp. | 398,767 | 2,724 |
* | Insight Enterprises, Inc. | 350,248 | 2,417 |
* | Ariba, Inc. | 330,427 | 2,382 |
* | Unisys Corp. | 2,768,867 | 2,354 |
* | Ciber, Inc. | 411,649 | 1,980 |
| Methode Electronics, Inc. Class A | 293,015 | 1,975 |
* | Sanmina-SCI Corp. | 4,087,140 | 1,921 |
* | Teradyne, Inc. | 455,152 | 1,921 |
* | Semtech Corp. | 168,978 | 1,904 |
* | Entegris Inc. | 861,036 | 1,886 |
* | FEI Co. | 99,020 | 1,867 |
* | Exar Corp. | 279,503 | 1,864 |
* | Websense, Inc. | 120,464 | 1,803 |
* | Brightpoint, Inc. | 408,539 | 1,777 |
* | DSP Group Inc. | 213,316 | 1,711 |
| Electro Rent Corp. | 150,208 | 1,676 |
* | Genpact, Ltd. | 201,769 | 1,659 |
* | Cogent Inc. | 120,437 | 1,634 |
* | Ciena Corp. | 243,015 | 1,628 |
| MTS Systems Corp. | 58,859 | 1,568 |
* | SYNNEX Corp. | 135,586 | 1,536 |
* | RF Micro Devices, Inc. | 1,914,236 | 1,493 |
* | ACI Worldwide, Inc. | 92,882 | 1,477 |
* | Electro Scientific Industries, Inc. | 207,686 | 1,410 |
Page 57
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Littelfuse, Inc. | 83,551 | 1,387 |
* | Net 1 UEPS Technologies, Inc. | 100,403 | 1,375 |
* | Loral Space and Communications Ltd. | 90,956 | 1,322 |
| InfoSpace, Inc. | 172,877 | 1,305 |
* | Amkor Technology, Inc. | 596,194 | 1,300 |
* | Applied Micro Circuits Corp. | 325,500 | 1,279 |
* | VeriFone Holdings, Inc. | 259,637 | 1,272 |
* | infoGROUP, Inc. | 259,503 | 1,230 |
| Technitrol, Inc. | 300,298 | 1,045 |
* | ModusLink Global Solutions, Inc. | 355,796 | 1,028 |
* | Harris Stratex Networks, Inc. Class A | 197,020 | 1,017 |
*,^ | UTStarcom, Inc. | 534,560 | 989 |
* | Internap Network Services Corp. | 388,237 | 971 |
* | MRV Communications Inc. | 1,218,306 | 938 |
* | Diodes Inc. | 153,596 | 931 |
* | Echelon Corp. | 107,351 | 875 |
* | Kenexa Corp. | 100,364 | 801 |
| Agilysys, Inc. | 174,140 | 747 |
* | Hutchinson Technology, Inc. | 175,471 | 611 |
* | TTM Technologies, Inc. | 113,081 | 589 |
* | Ness Technologies Inc. | 136,973 | 586 |
* | Quantum Corp. | 1,562,373 | 562 |
* | Perficient, Inc. | 115,594 | 553 |
* | TNS Inc. | 58,652 | 551 |
| Bel Fuse, Inc. Class B | 23,516 | 499 |
| Renaissance Learning, Inc. | 55,262 | 497 |
* | Powerwave Technologies, Inc. | 988,260 | 494 |
* | ANADIGICS, Inc. | 321,777 | 476 |
| Pegasystems Inc. | 38,143 | 471 |
* | Terremark Worldwide, Inc. | 112,452 | 437 |
* | Smart Modular Technologies Inc. | 282,362 | 435 |
* | Monotype Imaging Holdings Inc. | 74,059 | 430 |
* | Rudolph Technologies, Inc. | 113,861 | 402 |
* | Cogo Group, Inc. | 73,289 | 356 |
* | Magma Design Automation, Inc. | 297,517 | 303 |
| Gevity HR, Inc. | 173,505 | 262 |
* | Conexant Systems, Inc. | 369,308 | 253 |
* | Spansion Inc. Class A | 943,875 | 179 |
| Bel Fuse, Inc. Class A | 9,569 | 173 |
* | Kemet Corp. | 622,084 | 168 |
* | GSI Group, Inc. | 287,861 | 165 |
| | | 295,169 |
Materials (5.8%) | | |
| AptarGroup Inc. | 521,041 | 18,361 |
| RPM International, Inc. | 991,129 | 13,172 |
| Valspar Corp. | 725,470 | 13,124 |
| Packaging Corp. of America | 794,914 | 10,700 |
| Olin Corp. | 578,663 | 10,462 |
| Rock-Tenn Co. | 278,145 | 9,507 |
| Sensient Technologies Corp. | 352,095 | 8,408 |
| Cabot Corp. | 492,627 | 7,537 |
| Cytec Industries, Inc. | 346,374 | 7,350 |
| Scotts Miracle-Gro Co. | 225,960 | 6,716 |
| Carpenter Technology Corp. | 323,163 | 6,638 |
| H.B. Fuller Co. | 371,048 | 5,978 |
| Minerals Technologies, Inc. | 145,350 | 5,945 |
| Worthington Industries, Inc. | 514,800 | 5,673 |
| Arch Chemicals, Inc. | 191,191 | 4,984 |
* | OM Group, Inc. | 234,238 | 4,945 |
| Schnitzer Steel Industries, Inc. Class A | 108,907 | 4,100 |
| Wausau Paper Corp. | 356,525 | 4,079 |
| Royal Gold, Inc. | 82,092 | 4,040 |
| Temple-Inland Inc. | 817,212 | 3,923 |
* | Rockwood Holdings, Inc. | 341,385 | 3,687 |
| Silgan Holdings, Inc. | 71,351 | 3,411 |
Page 58
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Glatfelter | 347,969 | 3,236 |
| A. Schulman Inc. | 182,913 | 3,110 |
* | Century Aluminum Co. | 301,484 | 3,015 |
| Kaiser Aluminum Corp. | 118,757 | 2,674 |
| Chemtura Corp. | 1,866,308 | 2,613 |
* | RTI International Metals, Inc. | 176,731 | 2,529 |
| Westlake Chemical Corp. | 151,258 | 2,464 |
| Ferro Corp. | 335,837 | 2,368 |
| Schweitzer-Mauduit International, Inc. | 114,615 | 2,295 |
| Innophos Holdings Inc. | 112,499 | 2,229 |
*,^ | Coeur d’Alene Mines Corp. | 2,487,861 | 2,189 |
* | Headwaters Inc. | 323,331 | 2,182 |
* | PolyOne Corp. | 682,539 | 2,150 |
* | Haynes International, Inc. | 59,921 | 1,475 |
| Spartech Corp. | 232,934 | 1,458 |
| Olympic Steel, Inc. | 71,283 | 1,452 |
| Koppers Holdings, Inc. | 67,006 | 1,449 |
| A.M. Castle & Co. | 130,889 | 1,418 |
| Deltic Timber Corp. | 28,436 | 1,301 |
* | Brush Engineered Materials Inc. | 102,225 | 1,300 |
* | Horsehead Holding Corp. | 271,421 | 1,276 |
| Louisiana-Pacific Corp. | 795,026 | 1,240 |
| American Vanguard Corp. | 99,942 | 1,169 |
* | Buckeye Technology, Inc. | 302,049 | 1,099 |
| Innospec, Inc. | 179,070 | 1,055 |
| NL Industries, Inc. | 74,936 | 1,004 |
| Neenah Paper Inc. | 110,439 | 976 |
| Myers Industries, Inc. | 107,764 | 862 |
* | Graphic Packaging Holding Co. | 593,307 | 676 |
* | Smurfit-Stone Container Corp. | 1,985,209 | 506 |
^ | Georgia Gulf Corp. | 249,755 | 267 |
*,^ | General Moly, Inc. | 209,311 | 247 |
*,^ | AbitibiBowater, Inc. | 373,706 | 176 |
| | | 216,200 |
Telecommunication Services (0.7%) | | |
| Iowa Telecommunications Services Inc. | 245,887 | 3,511 |
* | Cincinnati Bell Inc. | 1,810,014 | 3,493 |
| NTELOS Holdings Corp. | 129,626 | 3,197 |
| Alaska Communications Systems Holdings, Inc. | 335,012 | 3,142 |
| FairPoint Communications, Inc. | 684,279 | 2,245 |
| Consolidated Communications Holdings, Inc. | 181,679 | 2,158 |
| USA Mobility, Inc. | 179,022 | 2,071 |
| Atlantic Tele-Network, Inc. | 76,040 | 2,019 |
* | General Communication, Inc. | 173,002 | 1,400 |
* | Premiere Global Services, Inc. | 157,222 | 1,354 |
| SureWest Communications | 101,481 | 1,159 |
| | | 25,749 |
Utilities (9.9%) | | |
| Aqua America, Inc. | 1,035,397 | 21,319 |
| UGI Corp. Holding Co. | 826,439 | 20,182 |
| AGL Resources Inc. | 588,588 | 18,452 |
| OGE Energy Corp. | 708,603 | 18,268 |
| Piedmont Natural Gas, Inc. | 563,345 | 17,841 |
| Great Plains Energy, Inc. | 911,774 | 17,625 |
| Westar Energy, Inc. | 830,397 | 17,031 |
| Atmos Energy Corp. | 695,812 | 16,491 |
| Hawaiian Electric Industries Inc. | 692,354 | 15,329 |
| Vectren Corp. | 590,563 | 14,770 |
| New Jersey Resources Corp. | 322,684 | 12,698 |
| WGL Holdings Inc. | 383,129 | 12,524 |
| Nicor Inc. | 346,566 | 12,040 |
| Cleco Corp. | 462,210 | 10,552 |
| IDACORP, Inc. | 347,670 | 10,239 |
| Portland General Electric Co. | 479,604 | 9,338 |
| South Jersey Industries, Inc. | 228,170 | 9,093 |
Page 59
Vanguard® Small-Cap Value Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Northwest Natural Gas Co. | 202,688 | 8,965 |
| Southwest Gas Corp. | 333,883 | 8,420 |
| UniSource Energy Corp. | 272,235 | 7,993 |
| Avista Corp. | 410,105 | 7,948 |
| Black Hills Corp. | 294,421 | 7,938 |
| The Laclede Group, Inc. | 160,168 | 7,502 |
| California Water Service Group | 150,847 | 7,004 |
| NorthWestern Corp. | 292,761 | 6,871 |
| PNM Resources Inc. | 662,295 | 6,676 |
| ALLETE, Inc. | 202,331 | 6,529 |
| CH Energy Group, Inc. | 121,298 | 6,233 |
* | El Paso Electric Co. | 343,483 | 6,214 |
| MGE Energy, Inc. | 170,770 | 5,635 |
| UIL Holdings Corp. | 184,396 | 5,537 |
| Empire District Electric Co. | 260,552 | 4,586 |
| American States Water Co. | 132,607 | 4,373 |
| SJW Corp. | 106,159 | 3,178 |
| | | 365,394 |
Total Common Stocks (Cost $5,092,340) | | 3,712,440 |
| | | Maturity | | |
| | Coupon | Date | | |
Temporary Cash Investments (1.7%) | | | | |
Money Market Fund (1.5%) | | | | |
1,2 | Vanguard Market Liquidity Fund | 1.378% | | 56,071,977 | 56,072 |
| | | | | |
| | | | Face | |
| | | | Amount | |
| | | | ($000) | |
U.S. Agency Obligations (0.2%) | | | | |
3 | Federal Home Loan Bank | 2.571% | 2/17/09 | 3,000 | 2,999 |
3 | Federal Home Loan Bank | 2.574% | 2/27/09 | 2,000 | 2,000 |
| | | | | 4,999 |
Total Temporary Cash Investments (Cost $61,054) | | | | 61,071 |
Total Investments (101.7%) (Cost $5,153,394) | | | | 3,773,511 |
Other Assets and Liabilities—Net (–1.7%)2 | | | | (61,579) |
Net Assets (100%) | | | | 3,711,932 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $48,045,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $56,072,000 of collateral received for securities on loan.
3 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
REIT—Real Estate Investment Trust.
Page 60
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements (not presented herein) of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) as of December 31, 2008, and for the year then ended and have issued our unqualified report thereon dated February 13, 2009. Our audits included audits of the Funds’ schedules of investments as of December 31, 2008. These schedules of investments are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these schedules of investments based on our audits.
In our opinion, the accompanying schedules of investments referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.
PricewaterhouseCoopers LLP Philadelphia, PA
February 13, 2009
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This page intentionally left blank.
© 2009 Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA480 022009
> The U.S. stock market in 2008 suffered its biggest calendar-year decline since 1931. No sector of the market was spared.
> Returns for Vanguard’s mid-capitalization index funds ranged from about –37% for the Mid-Cap Value Index Fund to about –47% for the Mid-Cap Growth Index Fund.
> Vanguard Extended Market Index Fund, which encompasses small-cap stocks as well as mid-cap stocks, declined by more than –38%.
Contents | |
| |
Your Fund’s Total Returns | 1 |
President’s Letter | 4 |
Extended Market Index Fund | 11 |
Mid-Cap Index Fund | 30 |
Mid-Cap Growth Index Fund | 52 |
Mid-Cap Value Index Fund | 66 |
Your Fund’s After-Tax Returns | 83 |
About Your Fund’s Expenses | 85 |
Glossary | 88 |
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.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2008 | | |
| Ticker | Total |
| Symbol | Returns |
Vanguard Extended Market Index Fund | | |
Investor Shares | VEXMX | –38.73% |
Admiral™ Shares1 | VEXAX | –38.63 |
Signal® Shares2 | VEMSX | –38.61 |
Institutional Shares3 | VIEIX | –38.58 |
ETF Shares4 | VXF | |
Market Price | | –38.73 |
Net Asset Value | | –38.60 |
S&P Completion Index | | –38.94 |
Average Mid-Cap Core Fund5 | | –38.53 |
| | |
| | |
Vanguard Mid-Cap Index Fund | | |
Investor Shares | VIMSX | –41.82% |
Admiral Shares1 | VIMAX | –41.78 |
Signal Shares2 | VMISX | –41.78 |
Institutional Shares3 | VMCIX | –41.76 |
ETF Shares4 | VO | |
Market Price | | –41.79 |
Net Asset Value | | –41.79 |
MSCI® US Mid Cap 450 Index | | –41.80 |
Average Mid-Cap Core Fund5 | | –38.53 |
1 A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
2 Signal Shares also carry lower costs and are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria.
3 This class of shares carries low expenses and is available for a minimum initial investment of $5 million.
4 Vanguard ETF™ Shares are traded on the NYSE Arca exchange and are available only through brokers. The table shows ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
5 Derived from data provided by Lipper Inc.
1
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2008 | | |
| Ticker | Total |
| Symbol | Returns |
Vanguard Mid-Cap Growth Index Fund | | |
Investor Shares | VMGIX | –47.07% |
ETF Shares1 | VOT | |
Market Price | | –47.09 |
Net Asset Value | | –47.02 |
MSCI US Mid Cap Growth Index | | –47.07 |
Average Mid-Cap Growth Fund2 | | –44.49 |
| | |
| | |
Vanguard Mid-Cap Value Index Fund | | |
Investor Shares | VMVIX | –36.64% |
ETF Shares1 | VOE | |
Market Price | | –36.48 |
Net Asset Value | | –36.53 |
MSCI US Mid Cap Value Index | | –36.50 |
Average Mid-Cap Value Fund2 | | –38.26 |
1 Vanguard ETF Shares are traded on the NYSE Arca exchange and are available only through brokers. The table shows ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
2 Derived from data provided by Lipper Inc.
2
Your Fund’s Performance at a Glance
December 31, 2007–December 31, 2008 | | | | |
| | | Distributions Per Share |
| Starting | Ending | Income | Capital |
| Share Price | Share Price | Dividends | Gains |
Vanguard Extended Market Index Fund | | | | |
Investor Shares | $39.89 | $24.01 | $0.410 | $0.000 |
Admiral Shares | 39.90 | 24.01 | 0.452 | 0.000 |
Signal Shares | 34.29 | 20.64 | 0.389 | 0.000 |
Institutional Shares | 39.91 | 24.02 | 0.466 | 0.000 |
ETF Shares | 52.621 | 31.67 | 0.6101 | 0.000 |
Vanguard Mid-Cap Index Fund | | | | |
Investor Shares | $20.70 | $11.80 | $0.230 | $0.000 |
Admiral Shares | 93.93 | 53.49 | 1.134 | 0.000 |
Signal Shares | 29.66 | 16.89 | 0.360 | 0.000 |
Institutional Shares | 20.76 | 11.82 | 0.257 | 0.000 |
ETF Shares | 75.90 | 43.21 | 0.929 | 0.000 |
Vanguard Mid-Cap Growth Index Fund | | | | |
Investor Shares | $25.50 | $13.43 | $0.064 | $0.000 |
ETF Shares | 64.85 | 34.12 | 0.227 | 0.000 |
Vanguard Mid-Cap Value Index Fund | | | | |
Investor Shares | $20.95 | $12.92 | $0.340 | $0.000 |
ETF Shares | 53.16 | 32.80 | 0.905 | 0.000 |
1 Adjusted to reflect a 2-for-1 share split as of the close of business on June 13, 2008.
3
President’s Letter
Dear Shareholder,
Stocks plunged steeply in the fourth quarter, wrapping up a tumultuous 12 months during which the equity market steadily declined as investors worried about a global economic slump and frozen credit markets. Stocks of all investment styles—large, mid, and small capitalizations as well as value and growth—and just about all investment approaches were swept lower in a downdraft that affected every sector of the market.
The Vanguard Mid-Cap Index Funds, as usual, did their jobs of tracking specific market segments efficiently and at low cost, although of course we all wish that the outcomes were happier.
The Mid-Cap Value Index Fund returned –36.64%, while the Mid-Cap Growth Index Fund returned –47.07%. The return of the Mid-Cap Index Fund, which is basically a combination of the other two funds, fell in between (–41.82%), as you might expect. The Extended Market Index Fund, which also includes small-cap stocks, returned –38.73%. (All these returns are for the funds’ Investor Shares.)
If you own one or more of these funds in a taxable account, you may wish to review our report on their after-tax returns on page 83.
4
Global stock markets faced historic challenges
Problems that had festered in the financial markets for much of 2008 erupted in the year’s final months, leading to high-profile bankruptcies and government rescues. Overall, U.S. stocks lost about –23% for the fourth quarter. For the full 12 months, the broad U.S. market returned about –37%, the worst calendar-year performance since 1931. The financial sector, the epicenter of the crisis, was hardest hit, but no sector was safe from fierce selling pressures.
Overseas, the news was worse. Stock markets outside the United States returned about –45%, as credit-market turmoil and economic distress reverberated worldwide. Emerging markets fell especially hard, in part because of collapsing commodity prices, which put pressure on the group’s many natural-resource producers.
U.S. Treasuries provided a safe and liquid haven
Bonds provided shelter from the stock market turmoil, though strength was largely confined to U.S. Treasuries. Treasuries surged as investors bid up the highest-quality, most liquid securities. The Federal Reserve Board added fuel to the rally with repeated cuts in its target for the federal funds rate, a benchmark for short-term interest rates. At the start of 2008, the federal funds rate stood at 4.25%; by year-end, it was between 0% and 0.25%.
Market Barometer | | | |
| | Average Annual Total Returns |
| Periods Ended December 31, 2008 |
| One Year | Three Years | Five Years |
Stocks | | | |
Russell 1000 Index (Large-caps) | –37.60% | –8.66% | –2.04% |
Russell 2000 Index (Small-caps) | –33.79 | –8.29 | –0.93 |
Dow Jones Wilshire 5000 Index (Entire market) | –37.34 | –8.43 | –1.67 |
MSCI All Country World Index ex USA (International) | –45.24 | –6.57 | 3.00 |
| | | |
| | | |
Bonds | | | |
Barclays Capital U.S. Aggregate Bond Index | | | |
(Broad taxable market) | 5.24% | 5.51% | 4.65% |
Barclays Capital Municipal Bond Index | –2.47 | 1.86 | 2.71 |
Citigroup 3-Month Treasury Bill Index | 1.80 | 3.76 | 3.10 |
| | | |
| | | |
CPI | | | |
Consumer Price Index | 0.09% | 2.22% | 2.67% |
5
Expense Ratios1 | |
Your Fund Compared With Its Peer Group | |
| Expense |
| Ratio |
Extended Market Index Fund | |
Investor Shares | 0.24% |
Admiral Shares | 0.09 |
Signal Shares | 0.09 |
Institutional Shares | 0.06 |
ETF Shares | 0.08 |
Average Mid-Cap Core Fund | 1.33 |
| |
| |
Mid-Cap Index Fund | |
Investor Shares | 0.21% |
Admiral Shares | 0.10 |
Signal Shares | 0.10 |
Institutional Shares | 0.07 |
ETF Shares | 0.13 |
Average Mid-Cap Core Fund | 1.33 |
| |
| |
Mid-Cap Growth Index Fund | |
Investor Shares | 0.24% |
ETF Shares | 0.13 |
Average Mid-Cap Growth Fund | 1.50 |
| |
| |
Mid-Cap Value Index Fund | |
Investor Shares | 0.24% |
ETF Shares | 0.13 |
Average Mid-Cap Value Fund | 1.41 |
1 The fund expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the Extended Market Index Fund’s expense ratios were 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.06% for Institutional Shares, and 0.08% for ETF Shares. The Mid-Cap Index Fund’s expense ratios were 0.22% for Investor Shares, 0.11% for Admiral Shares, 0.11% for Signal Shares, 0.07% for Institutional Shares, and 0.12% for ETF Shares. The Mid-Cap Growth Index Fund’s expense ratios were 0.25% for Investor Shares and 0.12% for ETF Shares. The Mid-Cap Value Index Fund’s expense ratios were 0.25% for Investor Shares and 0.12% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2007.
6
U.S. government-backed mortgage securities also performed well, though corporate and municipal bonds struggled. For the full year, the broad taxable bond market returned 5.24%.
Credit crisis and recession combined to scuttle fund returns
Every sector posted substantial double-digit losses during calendar-year 2008. The most severe declines came in the energy and financial sectors, but investors also punished sectors viewed as particularly sensitive to economic downturns.
Each fund’s energy holdings—which bore the brunt of soaring and then collapsing fuel prices—fell by more than –50%. The sector’s decline was the largest factor in the Mid-Cap Growth Index Fund’s performance. It weighed somewhat less heavily on the Mid-Cap Value Index Fund,
Total Returns | |
Ten Years Ended December 31, 2008 | |
| Average |
| Annual Return |
Extended Market Index Fund Investor Shares | 1.62% |
Spliced Extended Market Index1 | 1.56 |
Average Mid-Cap Core Fund2 | 3.96 |
Mid-Cap Index Fund Investor Shares | 4.08 |
Spliced Mid-Cap Index3 | 4.00 |
Average Mid-Cap Core Fund2 | 3.96 |
| |
| |
Total Returns | |
August 24, 20064–December 31, 2008 | |
| Average |
| Annual Return |
Mid-Cap Growth Index Fund Investor Shares | –15.19% |
MSCI US Mid Cap Growth Index | –15.14 |
Average Mid-Cap Growth Fund2 | –13.37 |
Mid-Cap Value Index Fund Investor Shares | –15.06 |
MSCI US Mid Cap Value Index | –14.96 |
Average Mid-Cap Value Fund2 | –13.90 |
| | |
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 www.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.
1 Dow Jones Wilshire 4500 Index through June 17, 2005; S&P Transitional Completion Index through September 16, 2005; S&P Completion Index thereafter.
2 Derived from data provided by Lipper Inc.
3 S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index thereafter.
4 Inception date for Investor Shares.
7
which was hit even harder by returns from a financial sector grappling with impaired assets and nearly frozen credit markets.
The U.S. economic slump, now officially tagged as a recession, also created gale-force headwinds for the funds. The Mid-Cap Growth Index Fund was particularly affected by problems among industrial companies, which are typically on a recession’s front line, and information technology firms, which faced belt-tightening on the part of their corporate and retail customers.
In the Mid-Cap Value Index Fund, by contrast, the recession was felt more through the decline in the consumer discretionary sector. This sector consists of businesses like restaurants, retailers, and purveyors of entertainment whose retail customers are prone to cut back spending in worrisome times.
The declines in the energy, industrial, and financial sectors accounted for about half the drop of the Mid-Cap Index Fund, which essentially incorporates the mid-cap growth and value market segments. About half the decline of the Extended Market Index Fund, which includes both mid- and small-cap stocks, can be attributed to the performance of the industrial, consumer discretionary, and information technology sectors.
The challenge for investors now: Don’t lose sight of the long term
As Vanguard has long advised, a sensible approach to evaluating an investment is to assess its longer-term performance. That can help you put short-term swings in perspective—something particularly valuable in trying times like these.
However, an investment’s long-term record can be skewed, for better or worse, by the most recent results. The Extended Market and Mid-Cap Index Funds provide a good example. When we reported to you 12 months ago, the Extended Market Fund had provided an average return of 7.58% a year for its Investor Shares over the previous decade, and the Mid-Cap Index Fund had earned an average of 11.23% a year since its inception in May 1998.
Today, the longer-term picture looks very different: For the decade that ended this past December 31, the Extended Market Index Fund reported an average annual return of 1.62%, and the Mid-Cap Index Fund reported one of 4.08%. (The first full year of operations for the Mid-Cap Value and Growth Index Funds was 2007.)
The numbers suggest that while ten-year returns are clearly a better anchor for long-term expectations than one-year results, they too can be significantly influenced by an extraordinarily volatile year such as 2008.
8
Some principles of investing never go out of style
Over the past year, global financial markets have experienced an unnerving confluence of events. As experienced investors know, selling in a panic, or letting your emotions drive your investment decisions, is often a recipe for disappointment.
Instead, it’s important to focus on the time-tested principles of balance and diversification, both within and across asset classes. That is why we always encourage you to choose a mix of stock, bond, and money market funds that is consistent with your goals, time horizon, and tolerance for the markets’ inevitable ups and downs—and then try to stick with it.
Of course, even balanced portfolios of stocks and bonds have faced tough times during the past 12 months. Everything that history has taught us about the markets, however, suggests that these principles can put you in the best position to achieve long-term investment success.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
President and Chief Executive Officer
January 13, 2009
Vanguard Extended Market ETF |
Premium/Discount: December 31, 2003–December 31, 2008 |
| | | | |
| Market Price Above or | Market Price Below |
| Equal to Net Asset Value | Net Asset Value |
| Number | Percentage | | Number | Percentage | |
Basis Point Differential1 | of Days | of Total Days | | of Days | of Total Days | |
0–24.9 | 568 | 45.08% | | 664 | 52.70% | |
25–49.9 | 11 | 0.87 | | 14 | 1.11 | |
50–74.9 | 0 | 0.00 | | 2 | 0.16 | |
75–100.0 | 0 | 0.00 | | 0 | 0.00 | |
>100.0 | 0 | 0.00 | | 1 | 0.08 | |
Total | 579 | 45.95% | | 681 | 54.05% | |
| | | | | | | | |
1 One basis point equals 1/100 of a percentage point.
9
Vanguard Mid-Cap ETF |
Premium/Discount: January 26, 20041–December 31, 2008 |
| | | | |
| Market Price Above or | Market Price Below |
| Equal to Net Asset Value | Net Asset Value |
| Number | Percentage | | Number | Percentage | |
Basis Point Differential1 | of Days | of Total Days | | of Days | of Total Days | |
0–24.9 | 657 | 52.77% | | 563 | 45.23% |
25–49.9 | 9 | 0.72 | | 10 | 0.80 |
50–74.9 | 1 | 0.08 | | 2 | 0.16 |
75–100.0 | 1 | 0.08 | | 1 | 0.08 |
>100.0 | 1 | 0.08 | | 0 | 0.00 |
Total | 669 | 53.73% | | 576 | 46.27% |
| | | | | | | |
Vanguard Mid-Cap Growth ETF |
Premium/Discount: August 17, 20061–December 31, 2008 |
| | | | |
| Market Price Above or | Market Price Below |
| Equal to Net Asset Value | Net Asset Value |
| Number | Percentage | | Number | Percentage |
Basis Point Differential2 | of Days | of Total Days | | of Days | of Total Days |
0–24.9 | 323 | 53.92% | | 259 | 43.24% |
25–49.9 | 6 | 1.00 | | 7 | 1.17 |
50–74.9 | 1 | 0.17 | | 2 | 0.33 |
75–100.0 | 0 | 0.00 | | 0 | 0.00 |
>100.0 | 1 | 0.17 | | 0 | 0.00 |
Total | 331 | 55.26% | | 268 | 44.74% |
| | | | | | | |
Vanguard Mid-Cap Value ETF |
Premium/Discount: August 17, 20061–December 31, 2008 |
| | | | |
| Market Price Above or | Market Price Below |
| Equal to Net Asset Value | Net Asset Value |
| Number | Percentage | | Number | Percentage |
Basis Point Differential2 | of Days | of Total Days | | of Days | of Total Days |
0–24.9 | 339 | 56.59% | | 234 | 39.07% |
25–49.9 | 10 | 1.67 | | 5 | 0.83 |
50–74.9 | 1 | 0.17 | | 3 | 0.50 |
75–100.0 | 2 | 0.33 | | 0 | 0.00 |
>100.0 | 4 | 0.67 | | 1 | 0.17 |
Total | 356 | 59.43% | | 243 | 40.57% |
| | | | | | | |
1 Inception.
2 One basis point equals 1/100 of a percentage point.
10
Extended Market Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 3,062 | 3,733 | 4,593 |
Median Market Cap | $1.6B | $1.6B | $25.3B |
Price/Earnings Ratio | 14.8x | 14.8x | 11.8x |
Price/Book Ratio | 1.4x | 1.4x | 1.7x |
Yield3 | | 1.7% | 2.8% |
Investor Shares | 1.8% | | |
Admiral Shares | 2.0% | | |
Signal Shares | 2.0% | | |
Institutional Shares | 2.1% | | |
ETF Shares | 2.0% | | |
Return on Equity | 14.1% | 14.2% | 20.8% |
Earnings Growth Rate | 16.1% | 16.5% | 17.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 13% | — | — |
Expense Ratio | | | |
(12/31/2007)4 | | — | — |
Investor Shares | 0.24% | | |
Admiral Shares | 0.09% | | |
Signal Shares | 0.09% | | |
Institutional Shares | 0.06% | | |
ETF Shares | 0.08% | | |
Short-Term Reserves | 0.4% | — | — |
Sector Diversification (% of equity exposure) |
| | Target | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 11.9% | 11.6% | 8.9% |
Consumer Staples | 3.6 | 3.5 | 11.2 |
Energy | 6.1 | 5.9 | 12.4 |
Financials | 20.7 | 20.3 | 15.6 |
Health Care | 14.4 | 14.2 | 14.4 |
Industrials | 15.9 | 16.1 | 11.2 |
Information Technology | 14.5 | 15.0 | 15.2 |
Materials | 5.2 | 5.4 | 3.3 |
Telecommunication | | | |
Services | 1.8 | 1.8 | 3.4 |
Utilities | 5.9 | 6.2 | 4.4 |
Volatility Measures5 | |
| Fund Versus | Fund Versus |
| Target Index1 | Broad Index2 |
R-Squared | 1.00 | 0.95 |
Beta | 1.00 | 1.20 |
1 S&P Completion Index.
2 Dow Jones Wilshire 5000 Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the expense ratios were 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.06% for Institutional Shares, and 0.08% for ETF Shares.
5 For an explanation of R-squared, beta, and other terms used here, see the Glossary.
11
Extended Market Index Fund
Ten Largest Holdings1 (% of total net assets) |
| | |
Genentech, Inc. | biotechnology | 2.3% |
Visa Inc. | data processing and | |
| outsourced services | 1.1 |
Delta Air Lines Inc. | airlines | 0.4 |
Bunge Ltd. | agricultural products | 0.4 |
First Solar, Inc. | electrical | |
| components | |
| and equipment | 0.3 |
The Mosaic Co. | fertilizers and | |
| agricultural chemicals | 0.3 |
NRG Energy, Inc. | independent power | |
| producers and | |
| energy traders | 0.3 |
Activision Blizzard, Inc. | home entertainment | |
| software | 0.3 |
Ultra Petroleum Corp. | oil and gas | |
| exploration | |
| and production | 0.3 |
Ventas, Inc. REIT | specialized REITs | 0.3 |
Top Ten | | 6.0% |
Investment Focus
1 The holdings listed exclude any temporary cash investments and equity index products.
12
Extended Market 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 www.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: December 31, 1998–December 31, 2008
Initial Investment of $10,000
| | | |
| | | | |
| Average Annual Total Returns | Final Value |
| Periods Ended December 31, 2008 | of a $10,000 |
| One Year | Five Years | Ten Years | Investment |
Extended Market Index Fund Investor Shares1 | –38.73% | –0.89% | 1.62% | $11,748 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 9,388 |
Spliced Extended Market Index2 | –38.94 | –0.94 | 1.56 | 11,673 |
Average Mid-Cap Core Fund3 | –38.53 | –1.43 | 3.96 | 14,748 |
| | | | Final Value |
| | | Since | of a $100,000 |
| One Year | Five Years | Inception4 | Investment |
Extended Market Index Fund Admiral Shares | –38.63% | –0.75% | –0.18% | $98,575 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –2.26 | 83,059 |
Spliced Extended Market Index2 | –38.94 | –0.94 | –0.27 | 97,796 |
| | | Final Value of |
| | Since | a $1,000,000 |
| One Year | Inception4 | Investment |
Extended Market Index Fund Signal Shares | –38.61% | –14.13% | $701,111 |
Dow Jones Wilshire 5000 Index | –37.34 | –12.95 | 723,675 |
S&P Completion Index | –38.94 | –14.32 | 697,434 |
1 Total returns do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Dow Jones Wilshire 4500 Index through June 17, 2005; S&P Transitional Completion Index through September 16, 2005; S&P Completion Index thereafter.
3 Derived from data provided by Lipper Inc.
4 Performance for the fund and its comparative standards is calculated since the following inception dates: November 13, 2000, for Admiral Shares and September 1, 2006, for Signal Shares.
13
Extended Market Index Fund
| | | | Final Value of |
| | | | a $5,000,000 |
| One Year | Five Years | Ten Years | Investment |
Extended Market Index Fund Institutional Shares | –38.58% | –0.70% | 1.80% | $5,974,464 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 4,693,933 |
Spliced Extended Market Index1 | –38.94 | –0.94 | 1.56 | 5,836,731 |
| | | | Final Value of |
| | | Since | a $10,000 |
| One Year | Five Years | Inception2 | Investment |
Extended Market Index Fund ETF Shares | | | | |
Net Asset Value | –38.60% | –0.74% | 1.82% | $11,345 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.70 | 9,519 |
Spliced Extended Market Index1 | –38.94 | –0.94 | 1.75 | 11,296 |
Cumulative Returns of ETF Shares: December 27, 20012–December 31, 2008 | |
| | | Cumulative |
| One Year | Five Years | Since Inception |
Extended Market Index Fund ETF Shares | | | |
Market Price | –38.73% | –4.24% | 13.02% |
Extended Market Index Fund ETF Shares | | | |
Net Asset Value | –38.60 | –3.66 | 13.45 |
Spliced Extended Market Index1 | –38.94 | –4.59 | 12.96 |
Fiscal-Year Total Returns (%): December 31, 1998–December 31, 2008
1 Dow Jones Wilshire 4500 Index through June 17, 2005; S&P Transitional Completion Index through September 16, 2005; S&P Completion Index thereafter.
2 Inception date for ETF Shares: December 27, 2001.
Note: See Financial Highlights tables for dividend and capital gains information.
14
Extended Market Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2008
This Statement summarizes the fund’s holdings by asset type (common stocks, bonds, etc.) and by industry sector. 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 provides a complete list of its holdings 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 (www.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 | | | |
* | O’Reilly Automotive, Inc. | 734,794 | 22,588 | 0.3% |
| Cablevision Systems NY Group Class A | 1,281,480 | 21,580 | 0.3% |
| Ross Stores, Inc. | 712,022 | 21,168 | 0.3% |
* | Dollar Tree, Inc. | 494,479 | 20,669 | 0.2% |
| DeVry, Inc. | 336,908 | 19,342 | 0.2% |
* | Time Warner Cable, Inc. | 855,053 | 18,341 | 0.2% |
| Advance Auto Parts, Inc. | 519,611 | 17,485 | 0.2% |
† | Consumer Discretionary—Other | | 913,097 | 10.1% |
| | | 1,054,270 | 11.8% |
Consumer Staples | | | |
| Bunge Ltd. | 665,647 | 34,461 | 0.4% |
| Church & Dwight, Inc. | 382,652 | 21,474 | 0.3% |
* | Ralcorp Holdings, Inc. | 307,497 | 17,958 | 0.2% |
† | Consumer Staples—Other | | 247,605 | 2.7% |
| | | 321,498 | 3.6% |
Energy | | | |
* | Ultra Petroleum Corp. | 826,198 | 28,512 | 0.3% |
| Diamond Offshore Drilling, Inc. | 379,427 | 22,363 | 0.3% |
* | Petrohawk Energy Corp. | 1,365,648 | 21,345 | 0.2% |
† | Energy—Other | | 465,382 | 5.2% |
| | | 537,602 | 6.0% |
Financials | | | |
| Ventas, Inc. REIT | 782,556 | 26,270 | 0.3% |
| Everest Re Group, Ltd. | 336,450 | 25,617 | 0.3% |
| Health Care Inc. REIT | 564,886 | 23,838 | 0.3% |
| W.R. Berkley Corp. | 759,420 | 23,542 | 0.3% |
| New York Community Bancorp, Inc. | 1,880,944 | 22,496 | 0.3% |
| Fidelity National Financial, Inc. Class A | 1,157,502 | 20,546 | 0.2% |
15
Extended Market Index Fund
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| Federal Realty Investment Trust REIT | 322,164 | 20,000 | 0.2% |
* | TD Ameritrade Holding Corp. | 1,324,049 | 18,868 | 0.2% |
| Regency Centers Corp. REIT | 382,213 | 17,849 | 0.2% |
† | Financials—Other | | 1,633,904 | 18.2% |
| | | 1,832,930 | 20.5% |
Health Care | | | |
* | Genentech, Inc. | 2,530,460 | 209,800 | 2.4% |
* | Vertex Pharmaceuticals, Inc. | 821,225 | 24,949 | 0.3% |
| Pharmaceutical Product Development, Inc. | 647,165 | 18,774 | 0.2% |
* | Hologic, Inc. | 1,401,916 | 18,323 | 0.2% |
* | Henry Schein, Inc. | 489,041 | 17,943 | 0.2% |
* | Illumina, Inc. | 675,662 | 17,601 | 0.2% |
† | Health Care—Other | | 972,545 | 10.8% |
| | | 1,279,935 | 14.3% |
Industrials | | | |
* | Delta Air Lines Inc. | 3,277,256 | 37,557 | 0.4% |
* | First Solar, Inc. | 225,164 | 31,064 | 0.4% |
* | Iron Mountain, Inc. | 981,915 | 24,283 | 0.3% |
* | Quanta Services, Inc. | 1,078,478 | 21,354 | 0.2% |
| Roper Industries Inc. | 490,121 | 21,276 | 0.2% |
* | URS Corp. | 458,282 | 18,684 | 0.2% |
| Ametek, Inc. | 583,465 | 17,626 | 0.2% |
† | Industrials—Other | | 1,241,840 | 13.9% |
| | | 1,413,684 | 15.8% |
Information Technology | | | |
| Visa Inc. | 1,944,669 | 101,998 | 1.2% |
* | Activision Blizzard, Inc. | 3,317,859 | 28,666 | 0.3% |
* | SAIC, Inc. | 1,106,196 | 21,549 | 0.3% |
† | Information Technology—Other | | 1,133,584 | 12.6% |
| | | 1,285,797 | 14.4% |
Materials | | | |
| The Mosaic Co. | 874,293 | 30,251 | 0.3% |
^ | Martin Marietta Materials, Inc. | 226,714 | 22,009 | 0.3% |
| FMC Corp. | 407,452 | 18,225 | 0.2% |
| Airgas, Inc. | 445,921 | 17,386 | 0.2% |
† | Materials—Other | | 375,374 | 4.2% |
| | | 463,245 | 5.2% |
Telecommunication Services | | | |
* | Crown Castle International Corp. | 1,338,256 | 23,527 | 0.3% |
* | MetroPCS Communications Inc. | 1,376,853 | 20,446 | 0.2% |
† | Telecommunication Services—Other | | 113,930 | 1.3% |
| | | 157,903 | 1.8% |
Utilities | | | |
* | NRG Energy, Inc. | 1,278,096 | 29,818 | 0.3% |
| MDU Resources Group, Inc. | 1,002,586 | 21,636 | 0.2% |
| NSTAR | 583,138 | 21,279 | 0.2% |
| Northeast Utilities | 850,568 | 20,465 | 0.2% |
| Puget Energy, Inc. | 710,104 | 19,365 | 0.2% |
| Alliant Energy Corp. | 603,452 | 17,609 | 0.2% |
† | Utilities—Other | | 392,678 | 4.5% |
| | | 522,850 | 5.8% |
Total Common Stocks (Cost $11,814,739) | | 8,869,714 | 99.2%1 |
16
Extended Market Index Fund
| | | Market | Percentage |
| | | Value• | of Net |
| Coupon | Shares | ($000) | Assets |
Temporary Cash Investments | | | | |
Money Market Fund | | | | |
2,3 Vanguard Market Liquidity Fund | 1.378% | 307,378,485 | 307,378 | 3.4% |
| | | | |
†4 U.S. Agency Obligations | | | 9,996 | 0.1% |
Total Temporary Cash Investments (Cost $317,341) | | 317,374 | 3.5%1 |
Total Investments (Cost $12,132,080) | | | 9,187,088 | 102.7% |
Other Assets and Liabilities | | | | |
Other Assets | | | 242,283 | 2.7% |
Liabilities3 | | | (487,684) | (5.4%) |
| | | (245,401) | (2.7%) |
Net Assets | | | 8,941,687 | 100.0% |
At December 31, 2008, net assets consisted of: | | | |
| | | | Amount |
| | | | ($000) |
Paid-in Capital | | | | 13,254,414 |
Overdistributed Net Investment Income | | | | (15,801) |
Accumulated Net Realized Losses | | | | (1,355,443) |
Unrealized Appreciation (Depreciation) | | | | |
Investment Securities | | | | (2,944,992) |
Futures Contracts | | | | 3,509 |
Net Assets | | | | 8,941,687 |
| | | | |
| | | | |
Investor Shares—Net Assets | | | | |
Applicable to 128,253,358 outstanding $.001 par value shares of | | | |
beneficial interest (unlimited authorization) | | | 3,079,932 |
Net Asset Value Per Share—Investor Shares | | | $24.01 |
| | | | |
| | | | |
Admiral Shares—Net Assets | | | | |
Applicable to 70,987,750 outstanding $.001 par value shares of | | | |
beneficial interest (unlimited authorization) | | | 1,704,766 |
Net Asset Value Per Share—Admiral Shares | | | $24.01 |
| | | | |
| | | | |
Signal Shares—Net Assets | | | | |
Applicable to 59,620,807 outstanding $.001 par value shares of | | | |
beneficial interest (unlimited authorization) | | | 1,230,431 |
Net Asset Value Per Share—Signal Shares | | | $20.64 |
17
Extended Market Index Fund
| Amount |
| ($000) |
Institutional Shares—Net Assets | |
Applicable to 101,694,760 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,442,429 |
Net Asset Value Per Share—Institutional Shares | $24.02 |
| |
| |
ETF Shares—Net Assets | |
Applicable to 15,288,996 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 484,129 |
Net Asset Value Per Share—ETF Shares | $31.67 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $187,135,000.
† 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 2.7%, 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 Includes $209,463,000 of collateral received for securities on loan.
4 Securities with a value of $9,996,000 have been segregated as initial margin for open futures contracts. REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Extended Market Index Fund
Statement of Operations
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 146,422 |
Interest1 | 1,142 |
Security Lending | 27,680 |
Total Income | 175,244 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 352 |
Management and Administrative—Investor Shares | 8,884 |
Management and Administrative—Admiral Shares | 1,571 |
Management and Administrative—Signal Shares | 1,099 |
Management and Administrative—Institutional Shares | 607 |
Management and Administrative—ETF Shares | 215 |
Marketing and Distribution—Investor Shares | 1,198 |
Marketing and Distribution—Admiral Shares | 557 |
Marketing and Distribution—Signal Shares | 443 |
Marketing and Distribution—Institutional Shares | 816 |
Marketing and Distribution—ETF Shares | 158 |
Custodian Fees | 600 |
Auditing Fees | 29 |
Shareholders’ Reports—Investor Shares | 350 |
Shareholders’ Reports—Admiral Shares | 13 |
Shareholders’ Reports—Signal Shares | 60 |
Shareholders’ Reports—Institutional Shares | 44 |
Shareholders’ Reports—ETF Shares | 26 |
Trustees’ Fees and Expenses | 19 |
Total Expenses | 17,041 |
Net Investment Income | 158,203 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (243,845) |
Futures Contracts | (13,581) |
Realized Net Gain (Loss) | (257,426) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (5,335,839) |
Futures Contracts | 3,515 |
Change in Unrealized Appreciation (Depreciation) | (5,332,324) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (5,431,547) |
1 Interest income from an affiliated company of the fund was $1,006,000.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Extended Market Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 158,203 | 171,576 |
Realized Net Gain (Loss) | (257,426) | 766,273 |
Change in Unrealized Appreciation (Depreciation) | (5,332,324) | (367,954) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (5,431,547) | 569,895 |
Distributions | | |
Net Investment Income | | |
Investor Shares | (52,024) | (60,098) |
Admiral Shares | (31,634) | (36,683) |
Signal Shares | (24,173) | (26,614) |
Institutional Shares | (46,301) | (41,426) |
ETF Shares | (9,379) | (8,626) |
Realized Capital Gain | | |
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (163,511) | (173,447) |
Capital Share Transactions | | |
Investor Shares | (145,336) | (1,167,446) |
Admiral Shares | 17,030 | (476,305) |
Signal Shares | (27,503) | 1,757,708 |
Institutional Shares | 623,997 | 483,777 |
ETF Shares | 190,528 | 136,419 |
Net Increase (Decrease) from Capital Share Transactions | 658,716 | 734,153 |
Total Increase (Decrease) | (4,936,342) | 1,130,601 |
Net Assets | | |
Beginning of Period | 13,878,029 | 12,747,428 |
End of Period1 | 8,941,687 | 13,878,029 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($15,801,000) and ($10,493,000).
See accompanying Notes, which are an integral part of the Financial Statements.
20
Extended Market Index Fund
Financial Highlights
Investor Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $39.89 | $38.68 | $34.26 | $31.36 | $26.66 |
Investment Operations | | | | | |
Net Investment Income | .392 | .453 | .447 | .350 | .284 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (15.862) | 1.214 | 4.440 | 2.880 | 4.701 |
Total from Investment Operations | (15.470) | 1.667 | 4.887 | 3.230 | 4.985 |
Distributions | | | | | |
Dividends from Net Investment Income | (.410) | (.457) | (.467) | (.330) | (.285) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.410) | (.457) | (.467) | (.330) | (.285) |
Net Asset Value, End of Period | $24.01 | $39.89 | $38.68 | $34.26 | $31.36 |
| | | | | |
| | | | | |
Total Return1 | –38.73% | 4.33% | 14.27% | 10.29% | 18.71% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $3,080 | $5,254 | $6,172 | $5,441 | $5,484 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.25% | 0.24% | 0.25% | 0.25% | 0.25% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.22% | 1.13% | 1.22% | 1.12% | 1.05% |
Portfolio Turnover Rate2 | 13% | 14% | 16% | 27%3 | 17% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 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.
3 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Extended Market Index Fund
Financial Highlights
Admiral Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $39.90 | $38.70 | $34.28 | $31.36 | $26.66 |
Investment Operations | | | | | |
Net Investment Income | .443 | .510 | .503 | .409 | .315 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (15.881) | 1.214 | 4.440 | 2.880 | 4.701 |
Total from Investment Operations | (15.438) | 1.724 | 4.943 | 3.289 | 5.016 |
Distributions | | | | | |
Dividends from Net Investment Income | (.452) | (.524) | (.523) | (.369) | (.316) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.452) | (.524) | (.523) | (.369) | (.316) |
Net Asset Value, End of Period | $24.01 | $39.90 | $38.70 | $34.28 | $31.36 |
| | | | | |
| | | | | |
Total Return | –38.63% | 4.48% | 14.43% | 10.47% | 18.82% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $1,705 | $2,811 | $3,137 | $2,379 | $1,353 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.10% | 0.09% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.37% | 1.28% | 1.37% | 1.27% | 1.15% |
Portfolio Turnover Rate1 | 13% | 14% | 16% | 27%2 | 17% |
1 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.
2 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Extended Market Index Fund
Financial Highlights
Signal Shares | | | |
| | | |
| | Sept. 1, |
| Year Ended | 20061 to |
| December 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $34.29 | $33.26 | $30.79 |
Investment Operations | | | |
Net Investment Income | .381 | .443 | .173 |
Net Realized and Unrealized Gain (Loss) on Investments | (13.642) | 1.035 | 2.698 |
Total from Investment Operations | (13.261) | 1.478 | 2.871 |
Distributions | | | |
Dividends from Net Investment Income | (.389) | (.448) | (.401) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.389) | (.448) | (.401) |
Net Asset Value, End of Period | $20.64 | $34.29 | $33.26 |
| | | |
| | | |
Total Return | –38.61% | 4.46% | 9.33% |
| | | |
| | | |
Ratios/Supplemental Data | | | |
Net Assets, End of Period (Millions) | $1,230 | $2,079 | $408 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.09% | 0.10%2 |
Ratio of Net Investment Income to Average Net Assets | 1.37% | 1.28% | 1.37%2 |
Portfolio Turnover Rate3 | 13% | 14% | 16% |
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
Extended Market Index Fund
Financial Highlights
Institutional Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $39.91 | $38.71 | $34.29 | $31.38 | $26.67 |
Investment Operations | | | | | |
Net Investment Income | .458 | .523 | .513 | .419 | .343 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (15.882) | 1.214 | 4.440 | 2.880 | 4.701 |
Total from Investment Operations | (15.424) | 1.737 | 4.953 | 3.299 | 5.044 |
Distributions | | | | | |
Dividends from Net Investment Income | (.466) | (.537) | (.533) | (.389) | (.334) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.466) | (.537) | (.533) | (.389) | (.334) |
Net Asset Value, End of Period | $24.02 | $39.91 | $38.71 | $34.29 | $31.38 |
| | | | | |
| | | | | |
Total Return | –38.58% | 4.51% | 14.46% | 10.50% | 18.92% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $2,442 | $3,175 | $2,621 | $2,361 | $2,136 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.06% | 0.06% | 0.07% | 0.07% | 0.08% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.41% | 1.31% | 1.40% | 1.30% | 1.22% |
Portfolio Turnover Rate1 | 13% | 14% | 16% | 27%2 | 17% |
1 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.
2 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
24
Extended Market Index Fund
Financial Highlights
ETF Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period1 | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $52.62 | $51.03 | $45.20 | $41.37 | $35.19 |
Investment Operations | | | | | |
Net Investment Income | .595 | .695 | .669 | .532 | .398 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (20.935) | 1.592 | 5.858 | 3.806 | 6.189 |
Total from Investment Operations | (20.340) | 2.287 | 6.527 | 4.338 | 6.587 |
Distributions | | | | | |
Dividends from Net Investment Income | (.610) | (.697) | (.697) | (.508) | (.407) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.610) | (.697) | (.697) | (.508) | (.407) |
Net Asset Value, End of Period | $31.67 | $52.62 | $51.03 | $45.20 | $41.37 |
| | | | | |
| | | | | |
Total Return | –38.60% | 4.49% | 14.46% | 10.48% | 18.75% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $484 | $559 | $409 | $368 | $231 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.20% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.39% | 1.29% | 1.39% | 1.29% | 1.12% |
Portfolio Turnover Rate2 | 13% | 14% | 16% | 27%3 | 17% |
1 Adjusted to reflect a 2-for-1 share split as of the close of business on June 13, 2008.
2 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.
3 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
25
Extended Market Index Fund
Notes to Financial Statements
Vanguard Extended Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2005–2008), 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.
26
Extended Market Index Fund
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $2,256,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 0.90% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $764,853,000 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 December 31, 2008, the fund had $3,720,000 of ordinary income available for distribution. The fund had available realized losses of $1,282,581,000 to offset future net capital gains of $100,407,000 through December 31, 2011, $60,375,000 through December 31, 2014, $168,517,000 through December 31, 2015, $708,199,000 through December 31, 2016, and $245,083,000 through December 31, 2017.
27
Extended Market Index Fund
At December 31, 2008, the cost of investment securities for tax purposes was $12,200,244,000. Net unrealized depreciation of investment securities for tax purposes was $3,013,156,000, consisting of unrealized gains of $821,223,000 on securities that had risen in value since their purchase and $3,834,379,000 in unrealized losses on securities that had fallen in value since their purchase.
At December 31, 2008, the aggregate settlement value of open futures contracts expiring in March 2009 and the related unrealized appreciation (depreciation) were:
| | | ($000) |
| Number of | Aggregate | Unrealized |
| Long (Short) | Settlement | Appreciation |
Futures Contracts | Contracts | Value | (Depreciation) |
E-mini Russell 2000 Index | 725 | 36,098 | 2,002 |
S&P MidCap 400 Index | 102 | 27,397 | 1,357 |
E-mini S&P 500 Index | 264 | 11,881 | 150 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the year ended December 31, 2008, the fund purchased $3,689,060,000 of investment securities and sold $3,057,236,000 of investment securities, other than temporary cash investments.
E. During the year ended December 31, 2008, the fund’s ETF Shares underwent a 2-for-1 split. Each shareholder of record on June 13, 2008, received one additional share for every ETF Share held on that date. The additional shares were distributed to the shareholders on June 17, 2008. The split had no effect on net assets or total return.
Capital share transactions for each class of shares were:
| Year Ended December 31, |
| | 2008 | | | 2007 |
| Amount | Shares | | Amount | Shares |
| ($000) | (000) | | ($000) | (000) |
Investor Shares | | | | | |
Issued | 816,164 | 25,353 | | 1,131,083 | 27,672 |
Issued in Lieu of Cash Distributions | 50,355 | 2,207 | | 58,396 | 1,486 |
Redeemed | (1,011,855) | (31,028) | | (2,356,925) | (57,003) |
Net Increase (Decrease)—Investor Shares | (145,336) | (3,468) | | (1,167,446) | (27,845) |
Admiral Shares | | | | | |
Issued | 405,123 | 13,178 | | 766,744 | 18,662 |
Issued in Lieu of Cash Distributions | 27,416 | 1,202 | | 32,343 | 823 |
Redeemed | (415,509) | (13,844) | | (1,275,392) | (30,100) |
Net Increase (Decrease)—Admiral Shares | 17,030 | 536 | | (476,305) | (10,615) |
28
Extended Market Index Fund
| Year Ended December 31, |
| | 2008 | | | 2007 |
| Amount | Shares | | Amount | Shares |
| ($000) | (000) | | ($000) | (000) |
Signal Shares | | | | | |
Issued | 497,458 | 18,247 | | 1,965,106 | 54,169 |
Issued in Lieu of Cash Distributions | 23,189 | 1,184 | | 25,403 | 752 |
Redeemed | (548,150) | (20,434) | | (232,801) | (6,576) |
Net Increase (Decrease)—Signal Shares | (27,503) | (1,003) | | 1,757,708 | 48,345 |
Institutional Shares | | | | | |
Issued | 1,258,019 | 41,148 | | 1,021,388 | 24,831 |
Issued in Lieu of Cash Distributions | 43,456 | 1,909 | | 38,081 | 969 |
Redeemed | (677,478) | (20,908) | | (575,692) | (13,953) |
Net Increase (Decrease)—Institutional Shares | 623,997 | 22,149 | | 483,777 | 11,847 |
ETF Shares1 | | | | | |
Issued | 1,742,565 | 40,470 | | 2,295,098 | 42,206 |
Issued in Lieu of Cash Distributions | — | — | | — | — |
Redeemed | (1,552,037) | (35,800) | | (2,158,679) | (39,600) |
Net Increase (Decrease)—ETF Shares | 190,528 | 4,670 | | 136,419 | 2,606 |
1 Shares adjusted to reflect a 2-for-1 split as of the close of business on June 13, 2008.
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 fund’s investments as of December 31, 2008, based on the inputs used to value them:
| Investments | Futures |
| in Securities | Contracts |
Valuation Inputs | ($000) | ($000) |
Level 1—Quoted prices | 9,177,092 | 3,509 |
Level 2—Other significant observable inputs | 9,996 | — |
Level 3—Significant unobservable inputs | — | — |
Total | 9,187,088 | 3,509 |
29
Mid-Cap Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 449 | 447 | 4,593 |
Median Market Cap | $3.7B | $3.7B | $25.3B |
Price/Earnings Ratio | 11.7x | 11.6x | 11.8x |
Price/Book Ratio | 1.4x | 1.5x | 1.7x |
Yield3 | | 2.3% | 2.8% |
Investor Shares | 2.1% | | |
Admiral Shares | 2.3% | | |
Signal Shares | 2.3% | | |
Institutional Shares | 2.4% | | |
ETF Shares | 2.3% | | |
Return on Equity | 17.1% | 17.2% | 20.8% |
Earnings Growth Rate | 17.9% | 17.9% | 17.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 24% | — | — |
Expense Ratio | | | |
(12/31/2007)4 | | — | — |
Investor Shares | 0.21% | | |
Admiral Shares | 0.10% | | |
Signal Shares | 0.10% | | |
Institutional Shares | 0.07% | | |
ETF Shares | 0.13% | | |
Short-Term Reserves | –0.1%5 | — | — |
Sector Diversification (% of equity exposure) |
| | Target | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 13.9% | 13.9% | 8.9% |
Consumer Staples | 5.4 | 5.4 | 11.2 |
Energy | 8.4 | 8.3 | 12.4 |
Financials | 17.4 | 17.6 | 15.6 |
Health Care | 10.2 | 10.2 | 14.4 |
Industrials | 15.3 | 15.2 | 11.2 |
Information Technology | 12.8 | 12.8 | 15.2 |
Materials | 6.0 | 6.0 | 3.3 |
Telecommunication | | | |
Services | 2.5 | 2.5 | 3.4 |
Utilities | 8.1 | 8.1 | 4.4 |
Volatility Measures6 | |
| Fund Versus | Fund Versus |
| Target Index1 | Broad Index2 |
R-Squared | 1.00 | 0.95 |
Beta | 1.00 | 1.19 |
1 MSCI US Mid Cap 450 Index.
2 Dow Jones Wilshire 5000 Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the expense ratios were 0.22% for Investor Shares, 0.11% for Admiral Shares, 0.11% for Signal Shares, 0.07% for Institutional Shares, and 0.12% for ETF Shares.
5 The fund invested a portion of its cash reserves in equity markets through the use of index futures contracts. After the effect of the futures investments, the fund’s temporary cash position was negative.
6 For an explanation of R-squared, beta, and other terms used here, see the Glossary.
30
Mid-Cap Index Fund
Ten Largest Holdings1 (% of total net assets) |
| | |
C.H. Robinson | air freight | |
Worldwide Inc. | and logistics | 0.7% |
Annaly Capital | | |
Management Inc. REIT | mortgage REITs | 0.7 |
Noble Energy, Inc. | oil and gas | |
| exploration | |
| and production | 0.7 |
Fluor Corp. | construction | |
| and engineering | 0.6 |
Xcel Energy, Inc. | multi-utilities | 0.6 |
Vulcan Materials Co. | construction | |
| materials | 0.6 |
H&R Block, Inc. | specialized | |
| consumer services | 0.6 |
Laboratory Corp. of | health care | |
America Holdings | services | 0.6 |
Parker Hannifin Corp. | industrial machinery | 0.6 |
Expeditors International | air freight | |
of Washington, Inc. | and logistics | 0.6 |
Top Ten | | 6.3% |
Investment Focus
1 The holdings listed exclude any temporary cash investments and equity index products.
31
Mid-Cap 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 www.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: December 31, 1998–December 31, 2008
Initial Investment of $10,000
| Average Annual Total Returns | |
| Periods Ended December 31, 2008 | Final Value |
| | | Ten | of a $10,000 |
| One Year | Five Years | Years | Investment |
Mid-Cap Index Fund Investor Shares1 | –41.82% | –0.80% | 4.08% | $14,912 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 9,388 |
Spliced Mid-Cap Index2 | –41.80 | –0.70 | 4.00 | 14,800 |
Average Mid-Cap Core Fund3 | –38.53 | –1.43 | 3.96 | 14,748 |
| | | | Final Value |
| | | Since | of a $100,000 |
| One Year | Five Years | Inception4 | Investment |
Mid-Cap Index Fund Admiral Shares | –41.78% | –0.71% | 2.54% | $119,625 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.02 | 99,872 |
Spliced Mid-Cap Index2 | –41.80 | –0.70 | 2.51 | 119,339 |
| | | Final Value of |
| | Since | a $1,000,000 |
| One Year | Inception4 | Investment |
Mid-Cap Index Fund Signal Shares | –41.78% | –25.88% | $590,964 |
Dow Jones Wilshire 5000 Index | –37.34 | –21.56 | 652,881 |
MSCI US Mid Cap 450 Index | –41.80 | –25.89 | 590,787 |
1 Total returns do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.
2 S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index thereafter.
3 Derived from data provided by Lipper Inc.
4 Performance for the fund and its comparative standards is calculated since the following inception dates: November 12, 2001, for Admiral Shares and March 30, 2007, for Signal Shares.
32
Mid-Cap Index Fund
| | | | Final Value of |
| | | Since | a $5,000,000 |
| One Year | Five Years | Inception1 | Investment |
Mid-Cap Index Fund Institutional Shares | –41.76% | –0.66% | 4.23% | $7,565,922 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 4,693,933 |
Spliced Mid-Cap Index2 | –41.80 | –0.70 | 4.00 | 7,399,764 |
| | | Final Value of |
| | Since | a $10,000 |
| One Year | Inception1 | Investment |
Mid-Cap Index Fund ETF Shares Net Asset Value | –41.79% | –1.62% | $9,224 |
Dow Jones Wilshire 5000 Index | –37.34 | –2.57 | 8,795 |
Spliced Mid-Cap Index2 | –41.80 | –1.60 | 9,235 |
Cumulative Returns of ETF Shares: January 26, 20041–December 31, 2008 | |
| | Cumulative |
| One Year | Since Inception |
Mid-Cap Index Fund ETF Shares Market Price | –41.79% | –7.82% |
Mid-Cap Index Fund ETF Shares Net Asset Value | –41.79 | –7.76 |
Spliced Mid-Cap Index2 | –41.80 | –7.65 |
Fiscal-Year Total Returns (%): May 21, 1998–December 31, 2008
1 Inception dates are: for Institutional Shares, May 21, 1998; for ETF Shares, January 26, 2004.
2 S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index thereafter.
Note: See Financial Highlights tables for dividend and capital gains information.
33
Mid-Cap Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2008
The fund provides a complete list of its holdings 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 www.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 (99.9%)1 | | |
Consumer Discretionary (13.9%) | | |
| H & R Block, Inc. | 3,280,694 | 74,537 |
* | AutoZone Inc. | 441,648 | 61,597 |
| Genuine Parts Co. | 1,612,631 | 61,054 |
| Sherwin-Williams Co. | 995,135 | 59,459 |
| Mattel, Inc. | 3,593,112 | 57,490 |
| Tim Hortons, Inc. | 1,825,080 | 52,635 |
| VF Corp. | 868,347 | 47,559 |
| Ross Stores, Inc. | 1,323,706 | 39,354 |
| Cablevision Systems | | |
| NY Group Class A | 2,329,160 | 39,223 |
* | O’Reilly Automotive, Inc. | 1,268,450 | 38,992 |
* | Dollar Tree, Inc. | 897,873 | 37,531 |
| Darden Restaurants Inc. | 1,321,905 | 37,251 |
| Hasbro, Inc. | 1,265,423 | 36,912 |
| DeVry, Inc. | 640,629 | 36,779 |
* | ITT Educational | | |
| Services, Inc. | 387,085 | 36,765 |
| Family Dollar Stores, Inc. | 1,321,220 | 34,444 |
* | GameStop Corp. Class A | 1,549,465 | 33,561 |
| Advance Auto Parts, Inc. | 952,380 | 32,048 |
| Whirlpool Corp. | 741,085 | 30,644 |
| Limited Brands, Inc. | 3,049,269 | 30,615 |
| Tiffany & Co. | 1,254,085 | 29,634 |
* | Toll Brothers, Inc. | 1,343,149 | 28,784 |
* | Priceline.com, Inc. | 368,241 | 27,121 |
| Newell Rubbermaid, Inc. | 2,758,525 | 26,978 |
*,^ | Wynn Resorts Ltd. | 613,307 | 25,918 |
| Polo Ralph Lauren Corp. | 562,150 | 25,527 |
| BorgWarner, Inc. | 1,157,167 | 25,192 |
| Black & Decker Corp. | 597,716 | 24,991 |
* | Mohawk Industries, Inc. | 578,953 | 24,878 |
| Leggett & Platt, Inc. | 1,600,279 | 24,308 |
| The Stanley Works | 704,851 | 24,035 |
| Pulte Homes, Inc. | 2,178,194 | 23,808 |
| Washington Post Co. | | |
| Class B | 60,294 | 23,530 |
| PetSmart, Inc. | 1,267,611 | 23,387 |
| Burger King Holdings Inc. | 942,806 | 22,514 |
| Nordstrom, Inc. | 1,608,840 | 21,414 |
| D. R. Horton, Inc. | 2,835,053 | 20,044 |
| Abercrombie & Fitch Co. | 865,588 | 19,969 |
| Scripps Networks | | |
| Interactive | 883,808 | 19,444 |
^ | Royal Caribbean | | |
| Cruises, Ltd. | 1,380,894 | 18,987 |
* | Discovery | | |
| Communications Inc. | | |
| Class A | 1,333,515 | 18,883 |
| Eastman Kodak Co. | 2,867,358 | 18,867 |
* | Interpublic Group | | |
| of Cos., Inc. | 4,740,578 | 18,773 |
* | Discovery | | |
| Communications Inc. | | |
| Class C | 1,399,932 | 18,745 |
* | NVR, Inc. | 40,521 | 18,488 |
| Gannett Co., Inc. | 2,269,602 | 18,157 |
* | Urban Outfitters, Inc. | 1,164,303 | 17,441 |
*,^ | CarMax, Inc. | 2,192,437 | 17,276 |
| American Eagle | | |
| Outfitters, Inc. | 1,843,023 | 17,251 |
* | Expedia, Inc. | 1,948,012 | 16,052 |
* | Penn National Gaming, Inc. | 723,792 | 15,475 |
| Autoliv, Inc. | 715,698 | 15,359 |
| RadioShack Corp. | 1,239,524 | 14,800 |
^ | General Motors Corp. | 4,506,372 | 14,420 |
| Virgin Media Inc. | 2,774,869 | 13,847 |
* | The Goodyear Tire & | | |
| Rubber Co. | 2,279,304 | 13,607 |
| Centex Corp. | 1,230,319 | 13,091 |
*,^ | AutoNation, Inc. | 1,318,316 | 13,025 |
| Wyndham | | |
| Worldwide Corp. | 1,765,817 | 11,566 |
| Foot Locker, Inc. | 1,540,198 | 11,305 |
| Brinker International, Inc. | 1,009,407 | 10,639 |
| Lennar Corp. Class A | 1,224,416 | 10,616 |
34
Mid-Cap Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Weight Watchers | | |
| International, Inc. | 351,147 | 10,331 |
| KB Home | 757,885 | 10,322 |
| New York Times Co. | | |
| Class A | 1,351,337 | 9,905 |
| WABCO Holdings Inc. | 582,416 | 9,196 |
| Harman International | | |
| Industries, Inc. | 549,462 | 9,193 |
*,^ | Lamar Advertising Co. | | |
| Class A | 718,670 | 9,026 |
| Guess ?, Inc. | 567,144 | 8,706 |
| Williams-Sonoma, Inc. | 893,459 | 7,023 |
*,^ | Sirius XM Radio Inc. | 28,385,720 | 3,406 |
* | Clear Channel Outdoor | | |
| Holdings, Inc. Class A | 405,690 | 2,495 |
* | CTC Media, Inc. | 453,115 | 2,175 |
| Lennar Corp. Class B | 63,528 | 411 |
| | | 1,778,785 |
Consumer Staples (5.4%) | | |
| Bunge Ltd. | 1,212,097 | 62,750 |
| Molson Coors Brewing Co. | | |
| Class B | 1,238,269 | 60,576 |
| J.M. Smucker Co. | 1,175,954 | 50,989 |
* | Dr. Pepper | | |
| Snapple Group, Inc. | 2,528,336 | 41,086 |
| Church & Dwight, Inc. | 664,124 | 37,271 |
| McCormick & Co., Inc. | 1,157,576 | 36,881 |
| Coca-Cola | | |
| Enterprises, Inc. | 2,917,130 | 35,093 |
| Brown-Forman Corp. | | |
| Class B | 678,001 | 34,910 |
* | Ralcorp Holdings, Inc. | 559,746 | 32,689 |
| The Estee Lauder Cos. Inc. | | |
| Class A | 1,044,204 | 32,329 |
| The Pepsi | | |
| Bottling Group, Inc. | 1,380,819 | 31,082 |
| SuperValu Inc. | 2,114,475 | 30,871 |
* | Constellation Brands, Inc. | | |
| Class A | 1,931,536 | 30,460 |
* | Energizer Holdings, Inc. | 550,022 | 29,778 |
* | Dean Foods Co. | 1,516,689 | 27,255 |
| Tyson Foods, Inc. | 2,884,276 | 25,266 |
* | Hansen Natural Corp. | 735,455 | 24,660 |
| Hormel Foods Corp. | 742,947 | 23,091 |
* | Smithfield Foods, Inc. | 1,232,036 | 17,335 |
^ | Whole Foods Market, Inc. | 1,395,811 | 13,177 |
| PepsiAmericas, Inc. | 633,363 | 12,895 |
| | | 690,444 |
Energy (8.3%) | | |
| Noble Energy, Inc. | 1,721,135 | 84,714 |
| Noble Corp. | 2,682,205 | 59,169 |
| El Paso Corp. | 6,988,303 | 54,718 |
| Range Resources Corp. | 1,545,824 | 53,161 |
* | Ultra Petroleum Corp. | 1,523,164 | 52,564 |
| CONSOL Energy, Inc. | 1,825,700 | 52,179 |
| Sunoco, Inc. | 1,164,763 | 50,621 |
| | | | |
* | Cameron | | |
| International Corp. | 2,169,541 | 44,476 |
| ENSCO International, Inc. | 1,428,257 | 40,548 |
* | Petrohawk Energy Corp. | 2,464,046 | 38,513 |
| BJ Services Co. | 2,931,700 | 34,213 |
* | Nabors Industries, Inc. | 2,788,960 | 33,384 |
* | FMC Technologies Inc. | 1,268,507 | 30,229 |
* | Pride International, Inc. | 1,722,845 | 27,531 |
* | Kinder Morgan | | |
| Management, LLC | 686,785 | 27,458 |
* | Denbury Resources, Inc. | 2,458,084 | 26,842 |
| Cabot Oil & Gas Corp. | 1,030,143 | 26,784 |
* | Newfield Exploration Co. | 1,316,016 | 25,991 |
* | Plains Exploration & | | |
| Production Co. | 1,071,173 | 24,894 |
| Helmerich & Payne, Inc. | 1,047,472 | 23,830 |
| Arch Coal, Inc. | 1,437,229 | 23,412 |
| Cimarex Energy Co. | 827,123 | 22,150 |
| Tidewater Inc. | 487,423 | 19,629 |
| Pioneer Natural | | |
| Resources Co. | 1,191,294 | 19,275 |
| Tesoro Corp. | 1,372,023 | 18,070 |
| Patterson-UTI Energy, Inc. | 1,558,442 | 17,938 |
| Rowan Cos., Inc. | 1,124,396 | 17,878 |
* | Forest Oil Corp. | 849,118 | 14,002 |
* | IHS Inc. Class A | 363,527 | 13,603 |
* | Exterran Holdings, Inc. | 621,500 | 13,238 |
| Frontier Oil Corp. | 1,033,595 | 13,054 |
| Massey Energy Co. | 841,467 | 11,604 |
* | Alpha Natural | | |
| Resources, Inc. | 701,406 | 11,356 |
* | Continental Resources, Inc. | 505,459 | 10,468 |
| Walter Industries, Inc. | 554,618 | 9,711 |
* | CNX Gas Corp. | 300,438 | 8,202 |
* | SandRidge Energy, Inc. | 1,072,272 | 6,594 |
* | Quicksilver Resources, Inc. | 1,026,617 | 5,718 |
| | | 1,067,721 |
Financials (17.4%) | | |
| Annaly Capital | | |
| Management Inc. REIT | 5,367,284 | 85,179 |
| HCP, Inc. REIT | 2,488,609 | 69,109 |
| Unum Group | 3,443,331 | 64,046 |
| People’s United | | |
| Financial Inc. | 3,457,369 | 61,645 |
| Plum Creek | | |
| Timber Co. Inc. REIT | 1,705,537 | 59,250 |
| Ventas, Inc. REIT | 1,423,981 | 47,803 |
| Everest Re Group, Ltd. | 614,806 | 46,811 |
| Avalonbay | | |
| Communities, Inc. REIT | 767,935 | 46,522 |
* | IntercontinentalExchange Inc. | 563,616 | 46,465 |
| W.R. Berkley Corp. | 1,460,888 | 45,288 |
35
Mid-Cap Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Cincinnati Financial Corp. | 1,537,435 | 44,693 |
| Willis Group Holdings Ltd. | 1,677,783 | 41,743 |
| Kimco Realty Corp. REIT | 2,278,777 | 41,656 |
| Health Care Inc. REIT | 968,111 | 40,854 |
| Axis Capital Holdings Ltd. | 1,372,213 | 39,959 |
| New York Community | | |
| Bancorp, Inc. | 3,254,172 | 38,920 |
| Torchmark Corp. | 869,424 | 38,863 |
| PartnerRe Ltd. | 528,322 | 37,654 |
| Host Hotels & Resorts Inc. | | |
| REIT | 4,918,408 | 37,232 |
| Federal Realty Investment | | |
| Trust REIT | 586,542 | 36,413 |
| Fidelity National | | |
| Financial, Inc. Class A | 2,002,159 | 35,538 |
| Assurant, Inc. | 1,180,683 | 35,421 |
* | Nasdaq Stock Market Inc. | 1,393,218 | 34,426 |
* | TD Ameritrade | | |
| Holding Corp. | 2,359,440 | 33,622 |
| Regency Centers Corp. | | |
| REIT | 696,589 | 32,531 |
| Marshall & Ilsley Corp. | 2,324,457 | 31,706 |
* | Reinsurance Group of | | |
| America, Inc. | 717,080 | 30,705 |
| HCC Insurance | | |
| Holdings, Inc. | 1,141,892 | 30,546 |
| Legg Mason Inc. | 1,392,444 | 30,508 |
| RenaissanceRe | | |
| Holdings Ltd. | 579,153 | 29,861 |
| Comerica, Inc. | 1,497,766 | 29,731 |
* | Arch Capital Group Ltd. | 418,953 | 29,369 |
| Commerce | | |
| Bancshares, Inc. | 640,214 | 28,137 |
* | Markel Corp. | 93,273 | 27,889 |
| Nationwide Health | | |
| Properties, Inc. REIT | 963,508 | 27,672 |
| Cullen/Frost Bankers, Inc. | 529,524 | 26,836 |
| Huntington | | |
| Bancshares Inc. | 3,462,838 | 26,525 |
| Zions Bancorp | 1,066,543 | 26,141 |
| Old Republic | | |
| International Corp. | 2,182,023 | 26,010 |
| Associated Banc-Corp. | 1,206,237 | 25,247 |
| Brown & Brown, Inc. | 1,192,028 | 24,913 |
| Rayonier Inc. REIT | 782,750 | 24,539 |
| Synovus Financial Corp. | 2,793,725 | 23,188 |
| Eaton Vance Corp. | 1,091,551 | 22,933 |
| AMB Property Corp. REIT | 975,741 | 22,852 |
| First American Corp. | 783,826 | 22,645 |
*,^ | The St. Joe Co. | 918,612 | 22,341 |
| Liberty Property Trust REIT | 976,410 | 22,291 |
| White Mountains | | |
| Insurance Group Inc. | 80,902 | 21,610 |
| First Horizon | | |
| National Corp. | 2,044,136 | 21,607 |
| SEI Investments Co. | 1,334,812 | 20,970 |
| City National Corp. | 404,785 | 19,713 |
| UDR, Inc. REIT | 1,353,492 | 18,665 |
| American Financial | | |
| Group, Inc. | 745,480 | 17,057 |
* | Sovereign Bancorp, Inc. | 5,608,127 | 16,712 |
| Camden Property Trust | | |
| REIT | 528,906 | 16,576 |
| CIT Group Inc. | 3,617,647 | 16,424 |
| Raymond James | | |
| Financial, Inc. | 952,968 | 16,324 |
| Duke Realty Corp. REIT | 1,462,879 | 16,033 |
| TCF Financial Corp. | 1,173,567 | 16,031 |
| Jefferies Group, Inc. | 1,130,164 | 15,890 |
| Weingarten Realty | | |
| Investors REIT | 752,051 | 15,560 |
| Federated Investors, Inc. | 904,414 | 15,339 |
| SL Green Realty Corp. | | |
| REIT | 578,575 | 14,985 |
| TFS Financial Corp. | 1,124,059 | 14,500 |
| Hospitality Properties | | |
| Trust REIT | 934,850 | 13,901 |
| Popular, Inc. | 2,663,057 | 13,741 |
| The Macerich Co. REIT | 742,689 | 13,487 |
| Janus Capital Group Inc. | 1,590,094 | 12,768 |
| Mercury General Corp. | 272,379 | 12,527 |
| Genworth Financial Inc. | 4,308,890 | 12,194 |
| XL Capital Ltd. Class A | 3,023,258 | 11,186 |
| Transatlantic Holdings, Inc. | 263,545 | 10,558 |
| Capitol Federal Financial | 221,141 | 10,084 |
| Apartment Investment & | | |
| Management Co. | | |
| Class A REIT | 852,470 | 9,846 |
| BOK Financial Corp. | 234,953 | 9,492 |
* | CB Richard Ellis | | |
| Group, Inc. | 2,155,392 | 9,311 |
| CapitalSource Inc. REIT | 1,923,151 | 8,885 |
^ | MBIA, Inc. | 2,014,577 | 8,199 |
^ | American Capital Ltd. | 2,061,089 | 6,678 |
| Developers Diversified | | |
| Realty Corp. REIT | 1,197,574 | 5,844 |
^ | Allied Capital Corp. | 1,779,318 | 4,786 |
| Forest City Enterprise | | |
| Class A | 631,521 | 4,231 |
| Student Loan Corp. | 39,865 | 1,634 |
| National City Corp. | 535,914 | 970 |
| Nationwide Financial | | |
| Services, Inc. | 4,186 | 219 |
| | | 2,228,765 |
36
Mid-Cap Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
Health Care (10.2%) | | |
* | Laboratory Corp. of | | |
| America Holdings | 1,108,300 | 71,386 |
* | Humana Inc. | 1,683,208 | 62,750 |
| AmerisourceBergen Corp. | 1,579,322 | 56,319 |
* | Cephalon, Inc. | 677,558 | 52,199 |
* | DaVita, Inc. | 1,040,497 | 51,577 |
* | Intuitive Surgical, Inc. | 387,048 | 49,151 |
* | Vertex | | |
| Pharmaceuticals, Inc. | 1,481,203 | 44,999 |
* | Varian Medical | | |
| Systems, Inc. | 1,244,261 | 43,599 |
* | Hospira, Inc. | 1,589,201 | 42,622 |
| DENTSPLY | | |
| International Inc. | 1,407,539 | 39,749 |
* | Life Technologies Corp. | 1,691,432 | 39,427 |
* | Waters Corp. | 986,533 | 36,156 |
* | Hologic, Inc. | 2,551,078 | 33,343 |
| Omnicare, Inc. | 1,177,874 | 32,698 |
* | Henry Schein, Inc. | 889,724 | 32,644 |
*,^ | Illumina, Inc. | 1,207,452 | 31,454 |
* | Endo Pharmaceuticals | | |
| Holdings, Inc. | 1,197,531 | 30,992 |
| Pharmaceutical Product | | |
| Development, Inc. | 1,067,198 | 30,959 |
* | Edwards | | |
| Lifesciences Corp. | 559,785 | 30,760 |
* | Myriad Genetics, Inc. | 454,461 | 30,113 |
*,^ | Mylan Inc. | 3,034,687 | 30,013 |
* | Covance, Inc. | 627,518 | 28,885 |
* | Millipore Corp. | 550,051 | 28,339 |
* | ResMed Inc. | 752,238 | 28,194 |
| IMS Health, Inc. | 1,810,529 | 27,448 |
| Beckman Coulter, Inc. | 619,315 | 27,213 |
* | Alexion | | |
| Pharmaceuticals, Inc. | 726,746 | 26,301 |
* | Cerner Corp. | 683,703 | 26,288 |
* | King Pharmaceuticals, Inc. | 2,453,884 | 26,060 |
| Perrigo Co. | 788,452 | 25,475 |
| Techne Corp. | 365,672 | 23,593 |
* | Coventry Health Care Inc. | 1,474,538 | 21,941 |
* | Lincare Holdings, Inc. | 730,908 | 19,683 |
* | Charles River | | |
| Laboratories, Inc. | 674,600 | 17,674 |
* | Patterson Companies, Inc. | 906,219 | 16,992 |
* | Amylin | | |
| Pharmaceuticals, Inc. | 1,365,506 | 14,816 |
* | Warner Chilcott Ltd. | 998,695 | 14,481 |
* | Community Health | | |
| Systems, Inc. | 954,079 | 13,910 |
* | Sepracor Inc. | 1,083,056 | 11,892 |
* | Health Net Inc. | 1,067,926 | 11,630 |
* | Kinetic Concepts, Inc. | 541,352 | 10,383 |
* | WellCare Health Plans Inc. | 415,292 | 5,341 |
| Teva Pharmaceutical | | |
| Industries Ltd. | | |
| | | | |
| Sponsored ADR | 85,769 | 3,651 |
| | | 1,303,100 |
Industrials (15.3%) | | |
| C.H. Robinson | | |
| Worldwide Inc. | 1,693,285 | 93,181 |
| Fluor Corp. | 1,784,017 | 80,049 |
| Parker Hannifin Corp. | 1,670,686 | 71,071 |
| Expeditors International of | | |
| Washington, Inc. | 2,123,363 | 70,644 |
| Rockwell Collins, Inc. | 1,588,813 | 62,107 |
| Dover Corp. | 1,872,196 | 61,633 |
* | Jacobs Engineering | | |
| Group Inc. | 1,220,076 | 58,686 |
| Pitney Bowes, Inc. | 2,070,506 | 52,756 |
| Cummins Inc. | 1,919,220 | 51,301 |
| W.W. Grainger, Inc. | 645,824 | 50,917 |
| Cooper Industries, Inc. | | |
| Class A | 1,734,130 | 50,689 |
* | Iron Mountain, Inc. | 1,907,450 | 47,171 |
| Goodrich Corp. | 1,246,862 | 46,159 |
| Rockwell Automation, Inc. | 1,378,455 | 44,441 |
* | Stericycle, Inc. | 851,209 | 44,331 |
^ | Fastenal Co. | 1,258,246 | 43,850 |
| The Dun & | | |
| Bradstreet Corp. | 543,871 | 41,987 |
| Masco Corp. | 3,675,613 | 40,910 |
| Roper Industries Inc. | 893,113 | 38,770 |
* | Delta Air Lines Inc. | 3,027,865 | 34,699 |
* | Quanta Services, Inc. | 1,738,962 | 34,431 |
| Pall Corp. | 1,193,364 | 33,927 |
| Equifax, Inc. | 1,276,758 | 33,860 |
* | Foster Wheeler Ltd. | 1,437,522 | 33,609 |
| Ametek, Inc. | 1,062,462 | 32,097 |
| Cintas Corp. | 1,376,986 | 31,987 |
| Avery Dennison Corp. | 954,148 | 31,229 |
| Robert Half | | |
| International, Inc. | 1,474,500 | 30,699 |
| Flowserve Corp. | 571,240 | 29,419 |
| R.R. Donnelley & | | |
| Sons Co. | 2,090,561 | 28,390 |
* | Alliant Techsystems, Inc. | 328,066 | 28,135 |
* | Covanta Holding Corp. | 1,228,780 | 26,984 |
| Manpower Inc. | 790,424 | 26,867 |
* | AMR Corp. | 2,504,056 | 26,718 |
| KBR Inc. | 1,690,614 | 25,697 |
| Joy Global Inc. | 1,077,782 | 24,670 |
| Donaldson Co., Inc. | 699,782 | 23,548 |
| Harsco Corp. | 839,323 | 23,232 |
* | FTI Consulting, Inc. | 504,462 | 22,539 |
37
Mid-Cap Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | McDermott | | |
| International, Inc. | 2,265,346 | 22,382 |
| Pentair, Inc. | 935,524 | 22,144 |
| SPX Corp. | 539,455 | 21,875 |
| Ryder System, Inc. | 562,056 | 21,797 |
* | AGCO Corp. | 913,328 | 21,545 |
| J.B. Hunt Transport | | |
| Services, Inc. | 812,872 | 21,354 |
* | Copart, Inc. | 728,232 | 19,801 |
* | Kansas City Southern | 904,561 | 17,232 |
* | Shaw Group, Inc. | 830,511 | 17,001 |
* | Terex Corp. | 967,696 | 16,761 |
*,^ | SunPower Corp. Class A | 388,218 | 14,364 |
| Bucyrus International, Inc. | 744,910 | 13,796 |
* | Navistar International Corp. | 637,834 | 13,637 |
* | Monster Worldwide Inc. | 1,126,515 | 13,620 |
* | Owens Corning Inc. | 772,710 | 13,368 |
* | SunPower Corp. Class B | 418,539 | 12,740 |
| The Manitowoc Co., Inc. | 1,296,224 | 11,225 |
* | Spirit Aerosystems | | |
| Holdings Inc. | 1,026,981 | 10,444 |
* | Hertz Global Holdings Inc. | 1,446,605 | 7,334 |
* | USG Corp. | 739,858 | 5,948 |
| | | 1,951,758 |
Information Technology (12.8%) | |
* | Fiserv, Inc. | 1,634,862 | 59,460 |
* | Computer Sciences Corp. | 1,508,358 | 53,004 |
* | Cognizant Technology | | |
| Solutions Corp. | 2,906,448 | 52,490 |
* | McAfee Inc. | 1,507,791 | 52,124 |
* | BMC Software, Inc. | 1,893,887 | 50,964 |
| Harris Corp. | 1,337,519 | 50,893 |
| Altera Corp. | 2,998,001 | 50,097 |
| Xilinx, Inc. | 2,755,179 | 49,097 |
| Linear Technology Corp. | 2,207,848 | 48,838 |
* | Autodesk, Inc. | 2,231,917 | 43,857 |
* | Citrix Systems, Inc. | 1,817,722 | 42,844 |
| Amphenol Corp. | 1,762,083 | 42,255 |
* | Affiliated Computer | | |
| Services, Inc. Class A | 903,636 | 41,522 |
* | FLIR Systems, Inc. | 1,318,006 | 40,436 |
| KLA-Tencor Corp. | 1,726,470 | 37,620 |
* | VeriSign, Inc. | 1,925,681 | 36,742 |
| Microchip Technology, Inc. | 1,835,104 | 35,839 |
* | SAIC, Inc. | 1,833,995 | 35,726 |
* | Marvell Technology | | |
| Group Ltd. | 5,117,815 | 34,136 |
* | salesforce.com, inc. | 1,023,887 | 32,775 |
* | Alliance Data | | |
| Systems Corp. | 669,800 | 31,166 |
| Fidelity National | | |
| Information Services, Inc. | 1,888,680 | 30,729 |
| Lender Processing | | |
| Services, Inc. | 943,881 | 27,797 |
* | Avnet, Inc. | 1,497,397 | 27,268 |
* | LAM Research Corp. | 1,248,705 | 26,572 |
* | Teradata Corp. | 1,777,003 | 26,353 |
* | Synopsys, Inc. | 1,422,031 | 26,336 |
* | Trimble Navigation Ltd. | 1,203,665 | 26,011 |
| Global Payments Inc. | 793,066 | 26,005 |
* | Akamai Technologies, Inc. | 1,683,654 | 25,406 |
* | Western Digital Corp. | 2,204,959 | 25,247 |
* | Red Hat, Inc. | 1,904,814 | 25,182 |
* | Hewitt Associates, Inc. | 872,819 | 24,771 |
* | Lexmark International, Inc. | 875,847 | 23,560 |
| Total System | | |
| Services, Inc. | 1,672,764 | 23,419 |
* | NCR Corp. | 1,628,695 | 23,030 |
| National | | |
| Semiconductor Corp. | 2,283,515 | 22,995 |
* | Mettler-Toledo | | |
| International Inc. | 340,145 | 22,926 |
* | Arrow Electronics, Inc. | 1,191,095 | 22,440 |
* | SanDisk Corp. | 2,238,718 | 21,492 |
* | Flextronics | | |
| International Ltd. | 8,342,906 | 21,358 |
* | LSI Corp. | 6,414,731 | 21,104 |
* | Micron Technology, Inc. | 7,576,326 | 20,001 |
* | Ingram Micro, Inc. Class A | 1,485,372 | 19,889 |
* | Nuance | | |
| Communications, Inc. | 1,811,210 | 18,764 |
* | Dolby Laboratories Inc. | 514,276 | 16,848 |
* | Tellabs, Inc. | 3,757,850 | 15,482 |
* | DST Systems, Inc. | 389,225 | 14,783 |
*,^ | Advanced Micro | | |
| Devices, Inc. | 6,041,368 | 13,049 |
* | Novellus Systems, Inc. | 986,596 | 12,174 |
| Jabil Circuit, Inc. | 1,777,442 | 11,998 |
| Molex, Inc. | 818,680 | 11,863 |
| Intersil Corp. | 1,230,715 | 11,310 |
* | Cadence Design | | |
| Systems, Inc. | 2,589,617 | 9,478 |
* | JDS Uniphase Corp. | 2,133,121 | 7,786 |
| Molex, Inc. Class A | 564,569 | 7,311 |
| | | 1,632,622 |
Materials (6.0%) | | |
^ | Vulcan Materials Co. | 1,094,689 | 76,168 |
| Sigma-Aldrich Corp. | 1,255,513 | 53,033 |
* | Owens-Illinois, Inc. | 1,663,721 | 45,469 |
^ | Martin Marietta | | |
| Materials, Inc. | 412,413 | 40,037 |
| Ball Corp. | 915,501 | 38,076 |
* | Pactiv Corp. | 1,303,372 | 32,428 |
| FMC Corp. | 707,485 | 31,646 |
38
Mid-Cap Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Crown Holdings, Inc. | 1,602,356 | 30,765 |
| Airgas, Inc. | 738,935 | 28,811 |
| Cliffs Natural | | |
| Resources Inc. | 1,062,438 | 27,209 |
| CF Industries | | |
| Holdings, Inc. | 534,924 | 26,297 |
| Lubrizol Corp. | 674,003 | 24,527 |
| Eastman Chemical Co. | 760,534 | 24,116 |
| Bemis Co., Inc. | 993,267 | 23,521 |
| Sealed Air Corp. | 1,573,807 | 23,513 |
| Sonoco Products Co. | 990,954 | 22,950 |
| Allegheny | | |
| Technologies Inc. | 898,627 | 22,942 |
| International Flavors & | | |
| Fragrances, Inc. | 703,497 | 20,908 |
| MeadWestvaco Corp. | 1,699,516 | 19,018 |
| Steel Dynamics, Inc. | 1,696,608 | 18,968 |
| Celanese Corp. Series A | 1,493,957 | 18,570 |
| Albemarle Corp. | 728,127 | 16,237 |
| Nalco Holding Co. | 1,400,775 | 16,165 |
| Terra Industries, Inc. | 914,340 | 15,242 |
| Commercial Metals Co. | 1,139,197 | 13,522 |
| Reliance Steel & | | |
| Aluminum Co. | 656,248 | 13,086 |
| AK Steel Holding Corp. | 1,117,151 | 10,412 |
| Titanium Metals Corp. | 1,170,997 | 10,316 |
* | Domtar Corp. | 5,135,683 | 8,577 |
| Ashland, Inc. | 693,867 | 7,293 |
| Huntsman Corp. | 1,634,118 | 5,621 |
| | | 765,443 |
Telecommunication Services (2.5%) | |
| Embarq Corp. | 1,420,303 | 51,074 |
* | Crown Castle | | |
| International Corp. | 2,708,979 | 47,624 |
| Windstream Corp. | 4,381,315 | 40,308 |
* | MetroPCS | | |
| Communications Inc. | 2,090,057 | 31,037 |
* | NII Holdings Inc. | 1,649,538 | 29,989 |
| Frontier | | |
| Communications Corp. | 3,145,429 | 27,491 |
| CenturyTel, Inc. | 968,045 | 26,457 |
| Telephone & | | |
| Data Systems, Inc. | 579,009 | 18,384 |
* | Leap Wireless | | |
| International, Inc. | 550,896 | 14,814 |
| Telephone & | | |
| Data Systems, Inc.– | | |
| Special Common Shares | 465,779 | 13,088 |
*,^ | Level 3 | | |
| Communications, Inc. | 15,517,549 | 10,862 |
* | U.S. Cellular Corp. | 189,743 | 8,204 |
| | | 319,332 |
Utilities (8.1%) | | |
| Xcel Energy, Inc. | 4,295,494 | 79,681 |
| DTE Energy Co. | 1,625,525 | 57,982 |
| Allegheny Energy, Inc. | 1,682,916 | 56,984 |
| | | | |
| Questar Corp. | 1,727,978 | 56,488 |
* | NRG Energy, Inc. | 2,234,308 | 52,126 |
| Wisconsin Energy Corp. | 1,165,286 | 48,919 |
| Equitable Resources, Inc. | 1,238,993 | 41,568 |
| CenterPoint Energy Inc. | 3,236,431 | 40,844 |
| SCANA Corp. | 1,107,656 | 39,433 |
| NSTAR | 1,064,546 | 38,845 |
| Pepco Holdings, Inc. | 2,154,887 | 38,271 |
| MDU Resources | | |
| Group, Inc. | 1,734,767 | 37,436 |
| Northeast Utilities | 1,550,358 | 37,302 |
| Puget Energy, Inc. | 1,291,022 | 35,206 |
* | Mirant Corp. | 1,850,483 | 34,919 |
| Integrys Energy | | |
| Group, Inc. | 760,884 | 32,703 |
| Pinnacle West | | |
| Capital Corp. | 1,002,803 | 32,220 |
| Alliant Energy Corp. | 1,099,537 | 32,085 |
| NiSource, Inc. | 2,729,943 | 29,947 |
| ONEOK, Inc. | 987,689 | 28,762 |
| TECO Energy, Inc. | 2,117,858 | 26,156 |
| DPL Inc. | 1,131,011 | 25,832 |
| NV Energy Inc. | 2,330,376 | 23,047 |
| National Fuel Gas Co. | 730,032 | 22,872 |
| CMS Energy Corp. | 2,244,964 | 22,674 |
* | Reliant Energy, Inc. | 3,470,851 | 20,062 |
| Energen Corp. | 677,681 | 19,876 |
| American | | |
| Water Works Co., Inc. | 636,458 | 13,289 |
* | Dynegy, Inc. | 5,003,657 | 10,007 |
| | | 1,035,536 |
Total Common Stocks | | |
(Cost $18,624,130) | | 12,773,506 |
39
Mid-Cap Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
Temporary Cash Investments (1.4%)1 | |
Money Market Fund (1.4%) | | |
2,3 | Vanguard Market | | |
| Liquidity Fund, 1.378% | 178,304,688 | 178,305 |
| | | |
| | | |
| | Face | |
| | Amount | |
| | ($000) | |
U.S. Agency Obligations (0.0%) | | |
4,5 | Federal Home Loan | | |
| Mortgage Corp., | | |
| 2.268%, 2/18/09 | 2,000 | 2,000 |
4,5 | Federal National | | |
| Mortgage Assn., | | |
| 1.357%, 3/31/09 | 3,000 | 2,998 |
| | | 4,998 |
Total Temporary Cash Investments | |
(Cost $183,289) | | 183,303 |
Total Investments (101.3%) | | |
(Cost $18,807,419) | | 12,956,809 |
Other Assets and Liabilities (–1.3%) | |
Other Assets | | 113,038 |
Liabilities3 | | (275,043) |
| | | (162,005) |
Net Assets (100%) | | 12,794,804 |
At December 31, 2008, net assets consisted of: |
| Amount |
| ($000) |
Paid-in Capital | 20,351,416 |
Overdistributed Net Investment Income | (11,480) |
Accumulated Net Realized Losses | (1,695,224) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (5,850,610) |
Futures Contracts | 702 |
Net Assets | 12,794,804 |
| Amount |
| ($000) |
Investor Shares—Net Assets | |
Applicable to 394,354,670 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,652,008 |
Net Asset Value Per Share— | |
Investor Shares | $11.80 |
| |
| |
Admiral Shares—Net Assets | |
Applicable to 29,924,979 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,600,739 |
Net Asset Value Per Share— | |
Admiral Shares | $53.49 |
| |
| |
Signal Shares—Net Assets | |
Applicable to 95,291,604 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,609,118 |
Net Asset Value Per Share— | |
Signal Shares | $16.89 |
| |
| |
Institutional Shares—Net Assets | |
Applicable to 323,202,151 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,819,611 |
Net Asset Value Per Share— | |
Institutional Shares | $11.82 |
| |
| |
ETF Shares—Net Assets | |
Applicable to 25,764,682 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,113,328 |
Net Asset Value Per Share— | |
ETF Shares | $43.21 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $160,656,000.
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 1.3%, 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 $177,857,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
5 Securities with a value of $4,998,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Mid-Cap Index Fund
Statement of Operations
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 259,773 |
Interest1 | 909 |
Security Lending | 16,828 |
Total Income | 277,510 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 482 |
Management and Administrative—Investor Shares | 11,850 |
Management and Administrative—Admiral Shares | 1,764 |
Management and Administrative—Signal Shares | 1,657 |
Management and Administrative—Institutional Shares | 1,755 |
Management and Administrative—ETF Shares | 833 |
Marketing and Distribution—Investor Shares | 1,970 |
Marketing and Distribution—Admiral Shares | 723 |
Marketing and Distribution—Signal Shares | 489 |
Marketing and Distribution—Institutional Shares | 1,557 |
Marketing and Distribution—ETF Shares | 293 |
Custodian Fees | 436 |
Auditing Fees | 27 |
Shareholders’ Reports—Investor Shares | 350 |
Shareholders’ Reports—Admiral Shares | 10 |
Shareholders’ Reports—Signal Shares | 80 |
Shareholders’ Reports—Institutional Shares | 114 |
Shareholders’ Reports—ETF Shares | 74 |
Trustees’ Fees and Expenses | 27 |
Total Expenses | 24,491 |
Net Investment Income | 253,019 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (370,099) |
Futures Contracts | (8,675) |
Realized Net Gain (Loss) | (378,774) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (8,786,172) |
Futures Contracts | 496 |
Change in Unrealized Appreciation (Depreciation) | (8,785,676) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,911,431) |
1 Interest income from an affiliated company of the fund was $755,000.
See accompanying Notes, which are an integral part of the Financial Statements.
41
Mid-Cap Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 253,019 | 282,394 |
Realized Net Gain (Loss) | (378,774) | 1,720,110 |
Change in Unrealized Appreciation (Depreciation) | (8,785,676) | (859,628) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,911,431) | 1,142,876 |
Distributions | | |
Net Investment Income | | |
Investor Shares | (88,881) | (102,894) |
Admiral Shares | (33,682) | (41,575) |
Signal Shares | (33,374) | (33,651) |
Institutional Shares | (81,431) | (86,246) |
ETF Shares | (23,651) | (15,991) |
Realized Capital Gain | | |
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (261,019) | (280,357) |
Capital Share Transactions | | |
Investor Shares | 38,937 | 20,900 |
Admiral Shares | (92,327) | (1,410,420) |
Signal Shares | 294,541 | 2,601,769 |
Institutional Shares | 459,621 | 1,334,261 |
ETF Shares | 510,638 | (620,564) |
Net Increase (Decrease) from Capital Share Transactions | 1,211,410 | 1,925,946 |
Total Increase (Decrease) | (7,961,040) | 2,788,465 |
Net Assets | | |
Beginning of Period | 20,755,844 | 17,967,379 |
End of Period1 | 12,794,804 | 20,755,844 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($11,480,000) and ($3,480,000).
See accompanying Notes, which are an integral part of the Financial Statements.
42
Mid-Cap Index Fund
Financial Highlights
Investor Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $20.70 | $19.78 | $17.63 | $15.64 | $13.13 |
Investment Operations | | | | | |
Net Investment Income | .224 | .269 | .253 | .198 | .159 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (8.894) | .918 | 2.144 | 1.983 | 2.512 |
Total from Investment Operations | (8.670) | 1.187 | 2.397 | 2.181 | 2.671 |
Distributions | | | | | |
Dividends from Net Investment Income | (.230) | (.267) | (.247) | (.191) | (.161) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.230) | (.267) | (.247) | (.191) | (.161) |
Net Asset Value, End of Period | $11.80 | $20.70 | $19.78 | $17.63 | $15.64 |
| | | | | |
| | | | | |
Total Return1 | –41.82% | 6.02% | 13.60% | 13.93% | 20.35% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $4,652 | $8,075 | $7,677 | $6,399 | $5,234 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.22% | 0.21% | 0.22% | 0.22% | 0.22% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.36% | 1.30% | 1.43% | 1.36% | 1.26% |
Portfolio Turnover Rate2 | 24% | 19% | 18% | 18% | 16% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
43
Mid-Cap Index Fund
Financial Highlights
Admiral Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $93.93 | $89.73 | $79.98 | $70.92 | $59.55 |
Investment Operations | | | | | |
Net Investment Income | 1.099 | 1.327 | 1.226 | .946 | .771 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (40.405) | 4.188 | 9.725 | 9.022 | 11.383 |
Total from Investment Operations | (39.306) | 5.515 | 10.951 | 9.968 | 12.154 |
Distributions | | | | | |
Dividends from Net Investment Income | (1.134) | (1.315) | (1.201) | (.908) | (.784) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.134) | (1.315) | (1.201) | (.908) | (.784) |
Net Asset Value, End of Period | $53.49 | $93.93 | $89.73 | $79.98 | $70.92 |
| | | | | |
| | | | | |
Total Return | –41.78% | 6.17% | 13.69% | 14.04% | 20.42% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $1,601 | $2,975 | $4,075 | $2,852 | $1,196 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.11% | 0.10% | 0.13% | 0.13% | 0.13% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.47% | 1.41% | 1.52% | 1.45% | 1.35% |
Portfolio Turnover Rate1 | 24% | 19% | 18% | 18% | 16% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
44
Mid-Cap Index Fund
Financial Highlights
Signal Shares | | |
| Year | March 30, |
| Ended | 20071 to |
| Dec. 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 |
Net Asset Value, Beginning of Period | $29.66 | $29.63 |
Investment Operations | | |
Net Investment Income | .349 | .300 |
Net Realized and Unrealized Gain (Loss) on Investments | (12.759) | .138 |
Total from Investment Operations | (12.410) | .438 |
Distributions | | |
Dividends from Net Investment Income | (.360) | (.408) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.360) | (.408) |
Net Asset Value, End of Period | $16.89 | $29.66 |
| | |
| | |
Total Return | –41.78% | 1.50% |
| | |
| | |
Ratios/Supplemental Data | | |
Net Assets, End of Period (Millions) | $1,609 | $2,458 |
Ratio of Total Expenses to Average Net Assets | 0.11% | 0.10%2 |
Ratio of Net Investment Income to Average Net Assets | 1.47% | 1.41%2 |
Portfolio Turnover Rate3 | 24% | 19% |
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
Mid-Cap Index Fund
Financial Highlights
Institutional Shares | | | | | |
| | | | | |
| | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $20.76 | $19.83 | $17.67 | $15.67 | $13.16 |
Investment Operations | | | | | |
Net Investment Income | .250 | .300 | .286 | .228 | .180 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (8.933) | .928 | 2.149 | 1.983 | 2.510 |
Total from Investment Operations | (8.683) | 1.228 | 2.435 | 2.211 | 2.690 |
Distributions | | | | | |
Dividends from Net Investment Income | (.257) | (.298) | (.275) | (.211) | (.180) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.257) | (.298) | (.275) | (.211) | (.180) |
Net Asset Value, End of Period | $11.82 | $20.76 | $19.83 | $17.67 | $15.67 |
| | | | | |
| | | | | |
Total Return | –41.76% | 6.22% | 13.78% | 14.09% | 20.45% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $3,820 | $6,162 | $4,633 | $2,905 | $2,056 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.07% | 0.07% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.51% | 1.44% | 1.57% | 1.50% | 1.40% |
Portfolio Turnover Rate1 | 24% | 19% | 18% | 18% | 16% |
1 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
Mid-Cap Index Fund
Financial Highlights
ETF Shares | | | | | |
| | | | | |
| | | | | Jan. 26, |
| | | 20041 to |
| Year Ended December 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $75.90 | $72.48 | $64.61 | $57.32 | $50.34 |
Investment Operations | | | | | |
Net Investment Income | .895 | 1.042 | .992 | .785 | .617 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (32.656) | 3.403 | 7.851 | 7.258 | 7.004 |
Total from Investment Operations | (31.761) | 4.445 | 8.843 | 8.043 | 7.621 |
Distributions | | | | | |
Dividends from Net Investment Income | (.929) | (1.025) | (.973) | (.753) | (.641) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.929) | (1.025) | (.973) | (.753) | (.641) |
Net Asset Value, End of Period | $43.21 | $75.90 | $72.48 | $64.61 | $57.32 |
| | | | | |
| | | | | |
Total Return | –41.79% | 6.14% | 13.69% | 14.03% | 15.16% |
| | | | | |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $1,113 | $1,087 | $1,582 | $1,044 | $58 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.12% | 0.13% | 0.13% | 0.13% | 0.18%2 |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.46% | 1.38% | 1.52% | 1.45% | 1.30%2 |
Portfolio Turnover Rate3 | 24% | 19% | 18% | 18% | 16% |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
47
Mid-Cap Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2005–2008), 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.
48
Mid-Cap Index Fund
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $3,229,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 1.29% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $917,176,000 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 December 31, 2008, the fund had $8,900,000 of ordinary income available for distribution. The fund had available realized losses of $1,594,817,000 to offset future net capital gains of 14,378,000 through December 31, 2011, $63,490,000 through December 31, 2014, $1,194,244,000 through December 31, 2016, and $322,705,000 through December 31, 2017.
At December 31, 2008, the cost of investment securities for tax purposes was $18,905,927,000. Net unrealized depreciation of investment securities for tax purposes was $5,949,118,000, consisting of unrealized gains of $461,305,000 on securities that had risen in value since their purchase and $6,410,423,000 in unrealized losses on securities that had fallen in value since their purchase.
49
Mid-Cap Index Fund
At December 31, 2008, the aggregate settlement value of open futures contracts expiring in March 2009 and the related unrealized appreciation (depreciation) were:
| | | ($000) |
| Number of | Aggregate | Unrealized |
| Long (Short) | Settlement | Appreciation |
Futures Contracts | Contracts | Value | (Depreciation) |
S&P MidCap 400 Index | 53 | 14,236 | 702 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the year ended December 31, 2008, the fund purchased $7,697,005,000 of investment securities and sold $6,431,445,000 of investment securities, other than temporary cash investments.
E. Capital share transactions for each class of shares were:
| Year Ended December 31, |
| | 2008 | | | 2007 | |
| Amount | Shares | | Amount | Shares | |
| ($000) | (000) | | ($000) | (000) | |
Investor Shares | | | | | | |
Issued | 1,737,395 | 104,616 | | 2,607,525 | 123,455 | |
Issued in Lieu of Cash Distributions | 82,868 | 7,401 | | 96,421 | 4,727 | |
Redeemed | (1,781,326) | (107,716) | | (2,683,046) | (126,339) | |
Net Increase (Decrease)—Investor Shares | 38,937 | 4,301 | | 20,900 | 1,843 | |
Admiral Shares | | | | | | |
Issued | 404,218 | 5,373 | | 1,369,227 | 14,249 | |
Issued in Lieu of Cash Distributions | 29,154 | 573 | | 36,461 | 394 | |
Redeemed | (525,699) | (7,688) | | (2,816,108) | (28,390) | |
Net Increase (Decrease)—Admiral Shares | (92,327) | (1,742) | | (1,410,420) | (13,747) | |
Signal Shares | | | | | | |
Issued | 872,795 | 36,859 | | 2,783,750 | 88,837 | |
Issued in Lieu of Cash Distributions | 29,003 | 1,809 | | 30,095 | 1,030 | |
Redeemed | (607,257) | (26,247) | | (212,076) | (6,996) | |
Net Increase (Decrease)—Signal Shares | 294,541 | 12,421 | | 2,601,769 | 82,871 | |
Institutional Shares | | | | | | |
Issued | 1,589,915 | 92,750 | | 2,224,483 | 104,983 | |
Issued in Lieu of Cash Distributions | 76,936 | 6,856 | | 79,174 | 3,872 | |
Redeemed | (1,207,230) | (73,261) | | (969,396) | (45,646) | |
Net Increase (Decrease)—Institutional Shares | 459,621 | 26,345 | | 1,334,261 | 63,209 | |
50
Mid-Cap Index Fund
| Year Ended December 31, |
| | 2008 | | | 2007 |
| Amount | Shares | | Amount | Shares |
| ($000) | (000) | | ($000) | (000) |
ETF Shares | | | | | |
Issued | 2,672,698 | 47,242 | | 4,416,222 | 56,093 |
Issued in Lieu of Cash Distributions | — | — | | — | — |
Redeemed | (2,162,060) | (35,800) | | (5,036,786) | (63,600) |
Net Increase (Decrease)—ETF Shares | 510,638 | 11,442 | | (620,564) | (7,507) |
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 fund’s investments as of December 31, 2008, based on the inputs used to value them:
| Investments | Futures |
| in Securities | Contracts |
Valuation Inputs | ($000) | ($000) |
Level 1—Quoted prices | 12,951,811 | 702 |
Level 2—Other significant observable inputs | 4,998 | — |
Level 3—Significant unobservable inputs | — | — |
Total | 12,956,809 | 702 |
51
Mid-Cap Growth Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 231 | 230 | 4,593 |
Median Market Cap | $4.0B | $4.0B | $25.3B |
Price/Earnings Ratio | 13.0x | 13.0x | 11.8x |
Price/Book Ratio | 2.3x | 2.3x | 1.7x |
Yield3 | | 0.8% | 2.8% |
Investor Shares | 0.6% | | |
ETF Shares | 0.8% | | |
Return on Equity | 20.2% | 20.6% | 20.8% |
Earnings Growth Rate | 26.0% | 26.0% | 17.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 54% | — | — |
Expense Ratio | | | |
(12/31/2007)4 | | — | — |
Investor Shares | 0.24% | | |
ETF Shares | 0.13% | | |
Short-Term Reserves | 1.6% | — | — |
Sector Diversification (% of equity exposure) | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 13.1% | 13.1% | 8.9% |
Consumer Staples | 3.9 | 4.0 | 11.2 |
Energy | 8.1 | 8.1 | 12.4 |
Financials | 5.0 | 5.0 | 15.6 |
Health Care | 17.5 | 17.5 | 14.4 |
Industrials | 22.8 | 22.7 | 11.2 |
Information Technology | 19.5 | 19.5 | 15.2 |
Materials | 4.9 | 4.9 | 3.3 |
Telecommunication | | | |
Services | 2.1 | 2.1 | 3.4 |
Utilities | 3.1 | 3.1 | 4.4 |
| | | | |
Ten Largest Holdings5 (% of total net assets) |
| | |
C.H. Robinson | air freight | |
Worldwide Inc. | and logistics | 1.5% |
Fluor Corp. | construction | |
| and engineering | 1.3 |
Laboratory Corp. of | health care | |
America Holdings | services | 1.1 |
Expeditors International | air freight | |
of Washington, Inc. | and logistics | 1.1 |
Humana Inc. | managed | |
| health care | 1.0 |
Rockwell Collins, Inc. | aerospace | |
| and defense | 1.0 |
AutoZone Inc. | automotive retail | 1.0 |
Fiserv, Inc. | data processing | |
| and outsourced | |
| services | 0.9 |
Noble Corp. | oil and gas drilling | 0.9 |
Jacobs Engineering | construction | |
Group Inc. | and engineering | 0.9 |
Top Ten | | 10.7% |
Investment Focus
1 MSCI US Mid Cap Growth Index.
2 Dow Jones Wilshire 5000 Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the expense ratios were 0.25% for Investor Shares and 0.12% for ETF Shares.
5 The holdings listed exclude any temporary cash investments and equity index products.
52
Mid-Cap 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 www.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: August 24, 2006–December 31, 2008
Initial Investment of $10,000
| Average Annual Total Returns | |
| Periods Ended December 31, 2008 | Final Value |
| | Since | of a $10,000 |
| One Year | Inception1 | Investment |
Mid-Cap Growth Index Fund Investor Shares2 | –47.07% | –15.19% | $6,786 |
Dow Jones Wilshire 5000 Index | –37.34 | –12.25 | 7,353 |
MSCI US Mid Cap Growth Index | –47.07 | –15.14 | 6,795 |
Average Mid-Cap Growth Fund3 | –44.49 | –13.37 | 7,134 |
| | | Final Value |
| | Since | of a $10,000 |
| One Year | Inception1 | Investment |
Mid-Cap Growth Index Fund ETF Shares | | | |
Net Asset Value | –47.02% | –15.50% | $6,706 |
Dow Jones Wilshire 5000 Index | –37.34 | –12.30 | 7,325 |
MSCI US Mid Cap Growth Index | –47.07 | –15.54 | 6,698 |
1 Performance for the fund and its comparative standards is calculated since the following inception dates: August 24, 2006, for Investor Shares and August 17, 2006, for ETF Shares.
2 Total returns do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.
3 Derived from data provided by Lipper Inc.
53
Mid-Cap Growth Index Fund
Cumulative Returns of ETF Shares: August 17, 20061–December 31, 2008 |
| | Cumulative |
| One Year | Since Inception |
Mid-Cap Growth Index Fund ETF Shares | | |
Market Price | –47.09% | –33.03% |
Mid-Cap Growth Index Fund ETF Shares | | |
Net Asset Value | –47.02 | –32.94 |
MSCI US Mid Cap Growth Index | –47.07 | –33.02 |
Fiscal-Year Total Returns (%): August 24, 2006–December 31, 2008
1 Inception date for ETF Shares.
Note: See Financial Highlights tables for dividend and capital gains information.
54
Mid-Cap Growth Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2008
The fund provides a complete list of its holdings 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 www.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 (100.3%) | | |
Consumer Discretionary (13.1%) | | |
* | AutoZone Inc. | 48,410 | 6,752 |
| Tim Hortons, Inc. | 200,058 | 5,770 |
| Ross Stores, Inc. | 145,096 | 4,314 |
| Cablevision Systems | | |
| NY Group Class A | 255,306 | 4,299 |
* | O’Reilly Automotive, Inc. | 139,042 | 4,274 |
* | Dollar Tree, Inc. | 98,414 | 4,114 |
| H & R Block, Inc. | 179,811 | 4,085 |
| DeVry, Inc. | 70,214 | 4,031 |
* | ITT Educational | | |
| Services, Inc. | 42,424 | 4,029 |
| Family Dollar Stores, Inc. | 144,984 | 3,780 |
* | GameStop Corp. Class A | 169,847 | 3,679 |
| Tiffany & Co. | 137,624 | 3,252 |
* | Toll Brothers, Inc. | 147,389 | 3,159 |
* | Priceline.com, Inc. | 40,363 | 2,973 |
*,^ | Wynn Resorts Ltd. | 67,305 | 2,844 |
| Polo Ralph Lauren Corp. | 61,682 | 2,801 |
| PetSmart, Inc. | 139,106 | 2,567 |
| Burger King Holdings Inc. | 102,871 | 2,457 |
| Scripps Networks | | |
| Interactive | 96,489 | 2,123 |
* | Discovery | | |
| Communications Inc. | | |
| Class C | 152,748 | 2,045 |
* | NVR, Inc. | 4,421 | 2,017 |
* | Urban Outfitters, Inc. | 127,114 | 1,904 |
* | CarMax, Inc. | 239,395 | 1,886 |
* | Penn National Gaming, Inc. | 79,028 | 1,690 |
| Abercrombie & Fitch Co. | 61,440 | 1,417 |
* | Discovery | | |
| Communications Inc. | | |
| Class A | 94,657 | 1,340 |
| Nordstrom, Inc. | 87,850 | 1,169 |
| Weight Watchers | | |
| International, Inc. | 38,339 | 1,128 |
| Harman International | | |
| Industries, Inc. | 60,069 | 1,005 |
* | Lamar Advertising Co. | | |
| Class A | 78,431 | 985 |
| | | | |
| Guess ?, Inc. | 61,931 | 951 |
* | Interpublic Group | | |
| of Cos., Inc. | 181,372 | 718 |
* | Sirius XM Radio Inc. | 3,111,370 | 373 |
* | Clear Channel Outdoor | | |
| Holdings, Inc. Class A | 44,013 | 271 |
* | CTC Media, Inc. | 49,363 | 237 |
| | | 90,439 |
Consumer Staples (4.0%) | | |
| Church & Dwight, Inc. | 72,792 | 4,085 |
* | Ralcorp Holdings, Inc. | 61,425 | 3,587 |
| The Estee Lauder Cos. Inc. | | |
| Class A | 114,589 | 3,548 |
* | Energizer Holdings, Inc. | 60,352 | 3,267 |
* | Dean Foods Co. | 166,440 | 2,991 |
* | Hansen Natural Corp. | 80,704 | 2,706 |
* | Dr. Pepper | | |
| Snapple Group, Inc. | 137,780 | 2,239 |
| McCormick & Co., Inc. | 63,084 | 2,010 |
| Brown-Forman Corp. | | |
| Class B | 36,946 | 1,902 |
| Hormel Foods Corp. | 28,387 | 882 |
| | | 27,217 |
Energy (8.1%) | | |
| Noble Corp. | 294,014 | 6,486 |
| Range Resources Corp. | 169,444 | 5,827 |
* | Ultra Petroleum Corp. | 166,965 | 5,762 |
| CONSOL Energy, Inc. | 200,125 | 5,720 |
* | Cameron International Corp. | 237,811 | 4,875 |
* | Petrohawk Energy Corp. | 270,091 | 4,222 |
* | FMC Technologies Inc. | 139,200 | 3,317 |
* | Denbury Resources, Inc. | 269,744 | 2,946 |
| ENSCO International, Inc. | 101,765 | 2,889 |
| Helmerich & Payne, Inc. | 74,297 | 1,690 |
55
Mid-Cap Growth Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Arch Coal, Inc. | 101,945 | 1,661 |
* | IHS Inc. Class A | 39,687 | 1,485 |
* | Nabors Industries, Inc. | 106,543 | 1,275 |
| Massey Energy Co. | 91,878 | 1,267 |
* | Continental Resources, Inc. | 55,166 | 1,143 |
* | CNX Gas Corp. | 32,808 | 896 |
* | Alpha Natural | | |
| Resources, Inc. | 49,805 | 806 |
| Tidewater Inc. | 18,632 | 750 |
* | SandRidge Energy, Inc. | 117,119 | 720 |
| Walter Industries, Inc. | 39,404 | 690 |
| Rowan Cos., Inc. | 43,011 | 684 |
* | Quicksilver Resources, Inc. | 112,141 | 625 |
| | | 55,736 |
Financials (5.0%) | | |
| Ventas, Inc. REIT | 156,090 | 5,240 |
* | IntercontinentalExchange Inc. | 61,775 | 5,093 |
* | Nasdaq Stock Market Inc. | 152,888 | 3,778 |
* | TD Ameritrade | | |
| Holding Corp. | 258,924 | 3,690 |
| Brown & Brown, Inc. | 130,664 | 2,731 |
| Eaton Vance Corp. | 119,093 | 2,502 |
| SEI Investments Co. | 145,647 | 2,288 |
| Plum Creek Timber Co. Inc. | | |
| REIT | 65,062 | 2,260 |
| Jefferies Group, Inc. | 123,400 | 1,735 |
* | Markel Corp. | 5,091 | 1,522 |
| TFS Financial Corp. | 79,794 | 1,029 |
* | The St. Joe Co. | 35,100 | 854 |
| BOK Financial Corp. | 12,834 | 518 |
* | CB Richard Ellis Group, Inc. | 117,846 | 510 |
| Capitol Federal Financial | 8,464 | 386 |
| Forest City Enterprise | | |
| Class A | 24,313 | 163 |
| | | 34,299 |
Health Care (17.6%) | | |
* | Laboratory Corp. of | | |
| America Holdings | 121,482 | 7,825 |
* | Humana Inc. | 184,508 | 6,878 |
* | Cephalon, Inc. | 74,267 | 5,722 |
* | DaVita, Inc. | 114,054 | 5,654 |
* | Intuitive Surgical, Inc. | 42,427 | 5,388 |
* | Varian Medical | | |
| Systems, Inc. | 136,391 | 4,779 |
| DENTSPLY International Inc. | 154,286 | 4,357 |
* | Life Technologies Corp. | 185,400 | 4,322 |
* | Waters Corp. | 108,138 | 3,963 |
* | Hologic, Inc. | 279,957 | 3,659 |
* | Henry Schein, Inc. | 97,638 | 3,582 |
* | Illumina, Inc. | 132,503 | 3,452 |
* | Endo Pharmaceuticals | | |
| Holdings, Inc. | 131,413 | 3,401 |
| Pharmaceutical Product | | |
| Development, Inc. | 117,108 | 3,397 |
* | Edwards Lifesciences Corp. | 61,428 | 3,375 |
* | Myriad Genetics, Inc. | 49,874 | 3,305 |
* | Vertex Pharmaceuticals, Inc. | 105,537 | 3,206 |
* | Covance, Inc. | 68,856 | 3,169 |
* | Millipore Corp. | 60,292 | 3,106 |
* | ResMed Inc. | 82,552 | 3,094 |
* | Hospira, Inc. | 113,228 | 3,037 |
| IMS Health, Inc. | 198,688 | 3,012 |
| Beckman Coulter, Inc. | 67,960 | 2,986 |
* | Alexion | | |
| Pharmaceuticals, Inc. | 79,747 | 2,886 |
* | Cerner Corp. | 75,027 | 2,885 |
| Perrigo Co. | 86,516 | 2,795 |
| Techne Corp. | 40,124 | 2,589 |
* | Coventry Health Care Inc. | 160,890 | 2,394 |
* | Lincare Holdings, Inc. | 79,747 | 2,148 |
* | Charles River | | |
| Laboratories, Inc. | 73,653 | 1,930 |
* | Patterson Companies, Inc. | 98,942 | 1,855 |
* | Amylin | | |
| Pharmaceuticals, Inc. | 149,096 | 1,618 |
* | Warner Chilcott Ltd. | 108,973 | 1,580 |
* | Sepracor Inc. | 118,262 | 1,299 |
* | Kinetic Concepts, Inc. | 59,118 | 1,134 |
* | WellCare Health Plans Inc. | 45,367 | 583 |
| Teva Pharmaceutical | | |
| Industries Ltd. | | |
| Sponsored ADR | 9,274 | 395 |
| | | 120,760 |
Industrials (22.8%) | | |
| C.H. Robinson | | |
| Worldwide Inc. | 185,609 | 10,213 |
| Fluor Corp. | 195,552 | 8,774 |
| Expeditors International of | | |
| Washington, Inc. | 232,754 | 7,744 |
| Rockwell Collins, Inc. | 174,154 | 6,808 |
* | Jacobs Engineering | | |
| Group Inc. | 133,735 | 6,433 |
| Pitney Bowes, Inc. | 226,963 | 5,783 |
| Cummins Inc. | 210,372 | 5,623 |
| W.W. Grainger, Inc. | 70,792 | 5,581 |
| Cooper Industries, Inc. | | |
| Class A | 190,082 | 5,556 |
* | Iron Mountain, Inc. | 209,079 | 5,171 |
* | Stericycle, Inc. | 93,304 | 4,859 |
| Fastenal Co. | 137,925 | 4,807 |
| The Dun & Bradstreet Corp. | 59,612 | 4,602 |
| Roper Industries Inc. | 97,896 | 4,250 |
* | Delta Air Lines Inc. | 331,896 | 3,804 |
* | Quanta Services, Inc. | 190,828 | 3,778 |
| Equifax, Inc. | 140,108 | 3,716 |
56
Mid-Cap Growth Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Foster Wheeler Ltd. | 157,576 | 3,684 |
| Ametek, Inc. | 116,589 | 3,522 |
| Robert Half | | |
| International, Inc. | 161,813 | 3,369 |
| Flowserve Corp. | 62,687 | 3,228 |
* | Alliant Techsystems, Inc. | 36,001 | 3,087 |
* | Covanta Holding Corp. | 134,838 | 2,961 |
* | AMR Corp. | 274,798 | 2,932 |
| KBR Inc. | 185,521 | 2,820 |
| Joy Global Inc. | 118,267 | 2,707 |
| Donaldson Co., Inc. | 76,791 | 2,584 |
* | FTI Consulting, Inc. | 54,975 | 2,456 |
* | McDermott | | |
| International, Inc. | 246,941 | 2,440 |
| Ryder System, Inc. | 61,322 | 2,378 |
* | AGCO Corp. | 99,648 | 2,351 |
| J.B. Hunt Transport | | |
| Services, Inc. | 88,692 | 2,330 |
* | Copart, Inc. | 79,458 | 2,160 |
* | Kansas City Southern | 98,754 | 1,881 |
| Pall Corp. | 65,111 | 1,851 |
| Goodrich Corp. | 47,571 | 1,761 |
* | SunPower Corp. Class A | 42,361 | 1,567 |
| Bucyrus International, Inc. | 81,337 | 1,506 |
* | Monster Worldwide Inc. | 123,041 | 1,488 |
* | Navistar International Corp. | 69,499 | 1,486 |
* | SunPower Corp. Class B | 45,667 | 1,390 |
* | Spirit Aerosystems | | |
| Holdings Inc. | 56,145 | 571 |
| The Manitowoc Co., Inc. | 49,624 | 430 |
* | USG Corp. | 28,125 | 226 |
| | | 156,668 |
Information Technology (19.6%) | |
* | Fiserv, Inc. | 179,206 | 6,518 |
* | Cognizant Technology | | |
| Solutions Corp. | 318,590 | 5,754 |
* | McAfee Inc. | 165,277 | 5,714 |
* | BMC Software, Inc. | 207,600 | 5,587 |
| Harris Corp. | 146,605 | 5,578 |
| Altera Corp. | 328,629 | 5,491 |
| Linear Technology Corp. | 242,008 | 5,353 |
* | Autodesk, Inc. | 244,656 | 4,808 |
* | Citrix Systems, Inc. | 199,244 | 4,696 |
| Amphenol Corp. | 193,153 | 4,632 |
* | Affiliated Computer | | |
| Services, Inc. Class A | 99,053 | 4,552 |
* | FLIR Systems, Inc. | 144,473 | 4,432 |
| KLA-Tencor Corp. | 189,241 | 4,124 |
* | VeriSign, Inc. | 211,076 | 4,027 |
| Microchip Technology, Inc. | 201,153 | 3,929 |
* | SAIC, Inc. | 201,034 | 3,916 |
* | Marvell Technology | | |
| Group Ltd. | 560,988 | 3,742 |
* | salesforce.com, inc. | 112,361 | 3,597 |
* | Alliance Data | | |
| Systems Corp. | 73,501 | 3,420 |
* | LAM Research Corp. | 137,028 | 2,916 |
* | Teradata Corp. | 195,007 | 2,892 |
* | Trimble Navigation Ltd. | 132,087 | 2,854 |
| Global Payments Inc. | 87,024 | 2,854 |
* | Akamai Technologies, Inc. | 184,759 | 2,788 |
* | Red Hat, Inc. | 209,027 | 2,763 |
* | Hewitt Associates, Inc. | 95,776 | 2,718 |
| Total System Services, Inc. | 183,565 | 2,570 |
* | Mettler-Toledo | | |
| International Inc. | 37,343 | 2,517 |
| National | | |
| Semiconductor Corp. | 249,449 | 2,512 |
* | LSI Corp. | 699,130 | 2,300 |
* | Micron Technology, Inc. | 826,682 | 2,182 |
* | Nuance | | |
| Communications, Inc. | 197,754 | 2,049 |
* | Dolby Laboratories Inc. | 56,148 | 1,839 |
* | DST Systems, Inc. | 42,496 | 1,614 |
* | SanDisk Corp. | 158,894 | 1,525 |
* | Novellus Systems, Inc. | 107,728 | 1,329 |
| Molex, Inc. | 69,539 | 1,008 |
* | Western Digital Corp. | 84,237 | 965 |
* | Advanced Micro | | |
| Devices, Inc. | 428,892 | 926 |
* | NCR Corp. | 62,233 | 880 |
* | JDS Uniphase Corp. | 232,984 | 850 |
| | | 134,721 |
Materials (4.9%) | | |
| Sigma-Aldrich Corp. | 137,616 | 5,813 |
* | Owens-Illinois, Inc. | 182,369 | 4,984 |
* | Crown Holdings, Inc. | 175,841 | 3,376 |
| Airgas, Inc. | 81,087 | 3,162 |
^ | Martin Marietta | | |
| Materials, Inc. | 29,382 | 2,852 |
* | Pactiv Corp. | 92,439 | 2,300 |
| CF Industries Holdings, Inc. | 37,898 | 1,863 |
| Albemarle Corp. | 79,451 | 1,772 |
| Nalco Holding Co. | 152,945 | 1,765 |
| Cliffs Natural | | |
| Resources Inc. | 57,972 | 1,485 |
| FMC Corp. | 27,026 | 1,209 |
| Allegheny Technologies Inc. | 34,331 | 876 |
| Celanese Corp. Series A | 57,153 | 710 |
| Terra Industries, Inc. | 34,963 | 583 |
| AK Steel Holding Corp. | 61,030 | 569 |
| Reliance Steel & | | |
| Aluminum Co. | 25,095 | 500 |
| | | 33,819 |
57
Mid-Cap Growth Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
Telecommunication Services (2.1%) | |
* | Crown Castle | | |
| International Corp. | 296,943 | 5,220 |
* | MetroPCS | | |
| Communications Inc. | 229,366 | 3,406 |
* | NII Holdings Inc. | 181,018 | 3,291 |
* | Leap Wireless | | |
| International, Inc. | 60,150 | 1,617 |
* | Level 3 | | |
| Communications, Inc. | 1,693,560 | 1,186 |
| | | 14,720 |
Utilities (3.1%) | | |
| Allegheny Energy, Inc. | 184,475 | 6,246 |
* | NRG Energy, Inc. | 244,914 | 5,714 |
| Equitable Resources, Inc. | 135,807 | 4,556 |
| Questar Corp. | 123,122 | 4,025 |
| Energen Corp. | 37,007 | 1,085 |
| | | 21,626 |
Total Common Stocks | | |
(Cost $1,020,909) | | 690,005 |
Temporary Cash Investment (2.5%) | |
1,2 | Vanguard Market | | |
| Liquidity Fund, 1.378% | | |
| (Cost $17,270) | 17,269,554 | 17,270 |
Total Investments (102.8%) | | |
(Cost $1,038,179) | | 707,275 |
Other Assets and Liabilities (–2.8%) | |
Other Assets | | 2,516 |
Liabilities2 | | (21,787) |
| | | (19,271) |
Net Assets (100%) | | 688,004 |
At December 31, 2008, net assets consisted of: | |
| Amount |
| ($000) |
Paid-in Capital | 1,240,298 |
Overdistributed Net Investment Income | (378) |
Accumulated Net Realized Losses | (221,012) |
Unrealized Appreciation (Depreciation) | (330,904) |
Net Assets | 688,004 |
| |
| |
Investor Shares—Net Assets | |
Applicable to 20,458,167 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 274,657 |
Net Asset Value Per Share— | |
Investor Shares | $13.43 |
| |
| |
ETF Shares—Net Assets | |
Applicable to 12,114,143 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 413,347 |
Net Asset Value Per Share— | |
ETF Shares | $34.12 |
| | |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $5,823,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $5,995,000 of collateral received for securities on loan.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
58
Mid-Cap Growth Index Fund
Statement of Operations
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 4,490 |
Interest1 | 49 |
Security Lending | 642 |
Total Income | 5,181 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 60 |
Management and Administrative—Investor Shares | 695 |
Management and Administrative—ETF Shares | 250 |
Marketing and Distribution—Investor Shares | 110 |
Marketing and Distribution—ETF Shares | 122 |
Custodian Fees | 183 |
Auditing Fees | 23 |
Shareholders’ Reports—Investor Shares | 21 |
Shareholders’ Reports—ETF Shares | 31 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,496 |
Net Investment Income | 3,685 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (141,509) |
Futures Contracts | 154 |
Realized Net Gain (Loss) | (141,355) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (357,531) |
Futures Contracts | — |
Change in Unrealized Appreciation (Depreciation) | (357,531) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (495,201) |
1 Interest income from an affiliated company of the fund was $49,000.
See accompanying Notes, which are an integral part of the Financial Statements.
59
Mid-Cap Growth Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 3,685 | 1,393 |
Realized Net Gain (Loss) | (141,355) | 12,048 |
Change in Unrealized Appreciation (Depreciation) | (357,531) | 25,337 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (495,201) | 38,778 |
Distributions | | |
Net Investment Income | | |
Investor Shares | (1,267) | (640) |
ETF Shares | (2,723) | (840) |
Realized Capital Gain | | |
Investor Shares | — | — |
ETF Shares | — | — |
Total Distributions | (3,990) | (1,480) |
Capital Share Transactions | | |
Investor Shares | 117,345 | 346,924 |
ETF Shares | 304,432 | 334,802 |
Net Increase (Decrease) from Capital Share Transactions | 421,777 | 681,726 |
Total Increase (Decrease) | (77,414) | 719,024 |
Net Assets | | |
Beginning of Period | 765,418 | 46,394 |
End of Period1 | 688,004 | 765,418 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($378,000) and ($73,000).
See accompanying Notes, which are an integral part of the Financial Statements.
60
Mid-Cap Growth Index Fund
Financial Highlights
Investor Shares | | | |
| | | |
| Year Ended | Aug. 24, |
| December 31, | 20061 to |
| | | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $25.50 | $21.78 | $20.00 |
Investment Operations | | | |
Net Investment Income | .059 | .0812 | .090 |
Net Realized and Unrealized Gain (Loss) on Investments | (12.065) | 3.686 | 1.770 |
Total from Investment Operations | (12.006) | 3.767 | 1.860 |
Distributions | | | |
Dividends from Net Investment Income | (.064) | (.047) | (.080) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.064) | (.047) | (.080) |
Net Asset Value, End of Period | $13.43 | $25.50 | $21.78 |
| | | |
| | | |
Total Return3 | –47.07% | 17.30% | 9.30% |
| | | |
| | | |
Ratios/Supplemental Data | | | |
Net Assets, End of Period (Millions) | $275 | $389 | $24 |
Ratio of Total Expenses to Average Net Assets | 0.25% | 0.24% | 0.26%4 |
Ratio of Net Investment Income to Average Net Assets | 0.37% | 0.33% | 1.00%4 |
Portfolio Turnover Rate5 | 54% | 56% | 20% |
1 Inception.
2 Calculated based on average shares outstanding.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances under $10,000.
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.
61
Mid-Cap Growth Index Fund
Financial Highlights
ETF Shares | | | |
| | | |
| | Aug. 17, |
| Year Ended | 20061 to |
| December 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $64.85 | $55.35 | $51.55 |
Investment Operations | | | |
Net Investment Income | .214 | .2752 | .228 |
Net Realized and Unrealized Gain (Loss) on Investments | (30.717) | 9.378 | 3.783 |
Total from Investment Operations | (30.503) | 9.653 | 4.011 |
Distributions | | | |
Dividends from Net Investment Income | (.227) | (.153) | (.211) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.227) | (.153) | (.211) |
Net Asset Value, End of Period | $34.12 | $64.85 | $55.35 |
| | | |
| | | |
Total Return | –47.02% | 17.44% | 7.78% |
| | | |
| | | |
Ratios/Supplemental Data | | | |
Net Assets, End of Period (Millions) | $413 | $377 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.13% | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 0.50% | 0.44% | 1.13%3 |
Portfolio Turnover Rate4 | 54% | 56% | 20% |
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.
62
Mid-Cap Growth Index Fund
Notes to Financial Statements
Vanguard Mid-Cap 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: Investor Shares and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
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 on federal income tax returns for all open tax years (tax years ended December 31, 2006–2008), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
63
Mid-Cap Growth Index Fund
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $169,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.07% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $66,740,000 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 December 31, 2008, the fund had $81,000 of ordinary income available for distribution. The fund had available realized losses of $210,785,000 to offset future net capital gains of $35,000 through December 31, 2014, $480,000 through December 31, 2015, $48,884,000 through December 31, 2016, and $161,386,000 through December 31, 2017.
At December 31, 2008, the cost of investment securities for tax purposes was $1,048,405,000. Net unrealized depreciation of investment securities for tax purposes was $341,130,000, consisting of unrealized gains of $16,478,000 on securities that had risen in value since their purchase and $357,608,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the year ended December 31, 2008, the fund purchased $1,302,840,000 of investment securities and sold $878,230,000 of investment securities other than temporary cash investments.
64
Mid-Cap Growth Index Fund
E. Capital share transactions for each class of shares were:
| Year Ended December 31, |
| | 2008 | | | 2007 |
| Amount | Shares | | Amount | Shares |
| ($000) | (000) | | ($000) | (000) |
Investor Shares | | | | | |
Issued | 294,655 | 14,349 | | 422,163 | 17,170 |
Issued in Lieu of Cash Distributions | 1,177 | 92 | | 587 | 24 |
Redeemed | (178,487) | (9,222) | | (75,826) | (3,067) |
Net Increase (Decrease)—Investor Shares | 117,345 | 5,219 | | 346,924 | 14,127 |
ETF Shares | | | | | |
Issued | 745,420 | 14,904 | | 469,155 | 7,510 |
Issued in Lieu of Cash Distributions | — | — | | — | — |
Redeemed | (440,988) | (8,600) | | (134,353) | (2,100) |
Net Increase (Decrease)—ETF Shares | 304,432 | 6,304 | | 334,802 | 5,410 |
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 December 31, 2008, 100% of the fund’s investments were valued based on Level 1 inputs.
65
Mid-Cap Value Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 265 | 265 | 4,593 |
Median Market Cap | $3.4B | $3.4B | $25.3B |
Price/Earnings Ratio | 10.7x | 10.5x | 11.8x |
Price/Book Ratio | 1.1x | 1.1x | 1.7x |
Yield3 | | 3.7% | 2.8% |
Investor Shares | 3.4% | | |
ETF Shares | 3.6% | | |
Return on Equity | 14.5% | 14.5% | 20.8% |
Earnings Growth Rate | 10.5% | 10.5% | 17.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 45% | — | — |
Expense Ratio | | | |
(12/31/2007)4 | | — | — |
Investor Shares | 0.24% | | |
ETF Shares | 0.13% | | |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) |
| | Target | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 14.7% | 14.6% | 8.9% |
Consumer Staples | 6.8 | 6.8 | 11.2 |
Energy | 8.6 | 8.6 | 12.4 |
Financials | 29.9 | 30.0 | 15.6 |
Health Care | 3.1 | 3.1 | 14.4 |
Industrials | 8.0 | 8.0 | 11.2 |
Information Technology | 6.2 | 6.2 | 15.2 |
Materials | 7.0 | 7.0 | 3.3 |
Telecommunication | | | |
Services | 2.8 | 2.8 | 3.4 |
Utilities | 12.9 | 12.9 | 4.4 |
Ten Largest Holdings5 (% of total net assets) |
| | |
Annaly Capital | | |
Management Inc. REIT | mortgage REITs | 1.3% |
Noble Energy, Inc. | oil and gas | |
| exploration | 1.3 |
Xcel Energy, Inc. | multi-utilities | 1.2 |
Vulcan Materials Co. | construction | |
| materials | 1.2 |
Parker Hannifin Corp. | industrial machinery | 1.1 |
HCP, Inc. REIT | specialized REITs | 1.1 |
Unum Group | life and health | |
| insurance | 1.0 |
Bunge Ltd. | agricultural products | 1.0 |
People’s United | thrifts and | |
Financial Inc. | mortgage finance | 1.0 |
Dover Corp. | industrial machinery | 1.0 |
Top Ten | | 11.2% |
Investment Focus
1 MSCI US Mid Cap Value Index.
2 Dow Jones Wilshire 5000 Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the expense ratios were 0.25% for Investor Shares and 0.12% for ETF Shares.
5 The holdings listed exclude any temporary cash investments and equity index products.
66
Mid-Cap 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 www.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: August 24, 20061–December 31, 2008
Initial Investment of $10,000
| Average Annual Total Returns | |
| Periods Ended December 31, 2008 | Final Value |
| | Since | of a $10,000 |
| One Year | Inception1 | Investment |
Mid-Cap Value Index Fund Investor Shares2 | –36.64% | –15.06% | $6,810 |
Dow Jones Wilshire 5000 Index | –37.34 | –12.25 | 7,353 |
MSCI US Mid Cap Value Index | –36.50 | –14.96 | 6,830 |
Average Mid-Cap Value Fund3 | –38.26 | –13.90 | 7,031 |
| | | Final Value |
| | Since | of a $10,000 |
| One Year | Inception1 | Investment |
Mid-Cap Value Index Fund ETF Shares | | | |
Net Asset Value | –36.53% | –15.03% | $6,795 |
Dow Jones Wilshire 5000 Index | –37.34 | –12.30 | 7,325 |
MSCI US Mid Cap Value Index | –36.50 | –15.04 | 6,792 |
1 Performance for the fund and its comparative standards is calculated since the following inception dates: August 24, 2006, for Investor Shares and August 17, 2006, for ETF Shares.
2 Total returns do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.
3 Derived from data provided by Lipper Inc.
67
Mid-Cap Value Index Fund
Cumulative Returns of ETF Shares: August 17, 20061–December 31, 2008 |
| | Cumulative |
| One Year | Since Inception |
Mid-Cap Value Index Fund ETF Shares Market Price | –36.48% | –32.11% |
Mid-Cap Value Index Fund ETF | | |
Shares Net Asset Value | –36.53 | –32.05 |
MSCI US Mid Cap Value Index | –36.50 | –32.08 |
Fiscal-Year Total Returns (%): August 24, 2006–December 31, 2008
1 Inception date for ETF Shares.
Note: See Financial Highlights tables for dividend and capital gains information.
68
Mid-Cap Value Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2008
The fund provides a complete list of its holdings 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 www.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 (100.3%) | | |
Consumer Discretionary (14.7%) | | |
| Genuine Parts Co. | 143,225 | 5,422 |
| Sherwin-Williams Co. | 88,377 | 5,281 |
| Mattel, Inc. | 319,125 | 5,106 |
| VF Corp. | 77,122 | 4,224 |
| H & R Block, Inc. | 145,692 | 3,310 |
| Darden Restaurants Inc. | 117,406 | 3,308 |
| Hasbro, Inc. | 112,389 | 3,278 |
| Advance Auto Parts, Inc. | 84,676 | 2,849 |
| Whirlpool Corp. | 65,892 | 2,725 |
| Limited Brands, Inc. | 271,132 | 2,722 |
| Newell Rubbermaid, Inc. | 245,283 | 2,399 |
| BorgWarner, Inc. | 102,885 | 2,240 |
| Black & Decker Corp. | 53,084 | 2,219 |
* | Mohawk Industries, Inc. | 51,473 | 2,212 |
| Leggett & Platt, Inc. | 142,285 | 2,161 |
| The Stanley Works | 62,601 | 2,135 |
| Pulte Homes, Inc. | 193,678 | 2,117 |
| Washington Post Co. | | |
| Class B | 5,361 | 2,092 |
| D. R. Horton, Inc. | 252,232 | 1,783 |
| Royal Caribbean | | |
| Cruises, Ltd. | 122,853 | 1,689 |
| Eastman Kodak Co. | 255,105 | 1,679 |
| Gannett Co., Inc. | 201,924 | 1,615 |
| American Eagle | | |
| Outfitters, Inc. | 163,974 | 1,535 |
* | Expedia, Inc. | 173,311 | 1,428 |
| Autoliv, Inc. | 63,674 | 1,366 |
| RadioShack Corp. | 110,277 | 1,317 |
| General Motors Corp. | 400,929 | 1,283 |
| Virgin Media Inc. | 246,875 | 1,232 |
* | The Goodyear Tire & | | |
| Rubber Co. | 202,786 | 1,211 |
| Centex Corp. | 109,387 | 1,164 |
*,^ | AutoNation, Inc. | 117,284 | 1,159 |
* | Interpublic Group | | |
| of Cos., Inc. | 274,155 | 1,086 |
| Wyndham Worldwide Corp. | 157,097 | 1,029 |
| Foot Locker, Inc. | 137,027 | 1,006 |
| Lennar Corp. Class A | 114,512 | 993 |
| Nordstrom, Inc. | 71,570 | 953 |
| Brinker International, Inc. | 89,750 | 946 |
| KB Home | 67,423 | 918 |
| New York Times Co. | | |
| Class A | 120,219 | 881 |
| WABCO Holdings Inc. | 51,863 | 819 |
| Williams-Sonoma, Inc. | 79,431 | 624 |
| Abercrombie & Fitch Co. | 26,956 | 622 |
* | Discovery | | |
| Communications Inc. | | |
| Class A | 41,528 | 588 |
| | | 84,726 |
Consumer Staples (6.8%) | | |
| Bunge Ltd. | 107,652 | 5,573 |
| Molson Coors Brewing Co. | | |
| Class B | 109,974 | 5,380 |
| J.M. Smucker Co. | 104,438 | 4,528 |
| Coca-Cola Enterprises, Inc. | 259,089 | 3,117 |
| The Pepsi | | |
| Bottling Group, Inc. | 122,780 | 2,764 |
| SuperValu Inc. | 188,012 | 2,745 |
* | Constellation Brands, Inc. | | |
| Class A | 171,742 | 2,708 |
| Tyson Foods, Inc. | 256,461 | 2,247 |
* | Dr. Pepper | | |
| Snapple Group, Inc. | 112,280 | 1,825 |
| McCormick & Co., Inc. | 51,408 | 1,638 |
| Brown-Forman Corp. Class B | 30,108 | 1,550 |
* | Smithfield Foods, Inc. | 109,613 | 1,542 |
| Hormel Foods Corp. | 42,940 | 1,335 |
| Whole Foods Market, Inc. | 124,181 | 1,172 |
| PepsiAmericas, Inc. | 56,342 | 1,147 |
| | | 39,271 |
Energy (8.6%) | | |
| Noble Energy, Inc. | 152,865 | 7,524 |
| El Paso Corp. | 620,681 | 4,860 |
69
Mid-Cap Value Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Sunoco, Inc. | 103,443 | 4,496 |
| BJ Services Co. | 260,376 | 3,039 |
* | Pride International, Inc. | 153,190 | 2,448 |
* | Kinder Morgan | | |
| Management, LLC | 61,065 | 2,441 |
| Cabot Oil & Gas Corp. | 91,485 | 2,379 |
* | Newfield Exploration Co. | 117,016 | 2,311 |
* | Plains Exploration & | | |
| Production Co. | 95,246 | 2,214 |
| Cimarex Energy Co. | 73,539 | 1,969 |
* | Nabors Industries, Inc. | 161,192 | 1,929 |
| Pioneer Natural | | |
| Resources Co. | 105,920 | 1,714 |
| Tesoro Corp. | 122,062 | 1,608 |
| Patterson-UTI Energy, Inc. | 138,653 | 1,596 |
| ENSCO International, Inc. | 44,399 | 1,260 |
* | Forest Oil Corp. | 75,495 | 1,245 |
* | Exterran Holdings, Inc. | 55,309 | 1,178 |
| Frontier Oil Corp. | 91,951 | 1,161 |
| Tidewater Inc. | 28,172 | 1,134 |
| Rowan Cos., Inc. | 65,021 | 1,034 |
| Helmerich & Payne, Inc. | 32,418 | 737 |
| Arch Coal, Inc. | 44,731 | 729 |
* | Alpha Natural | | |
| Resources, Inc. | 21,817 | 353 |
| Walter Industries, Inc. | 17,038 | 298 |
| | | 49,657 |
Financials (29.9%) | | |
| Annaly Capital | | |
| Management Inc. REIT | 476,705 | 7,565 |
| HCP, Inc. REIT | 221,026 | 6,138 |
| Unum Group | 305,821 | 5,688 |
| People’s United | | |
| Financial Inc. | 307,072 | 5,475 |
| Everest Re Group, Ltd. | 54,605 | 4,158 |
| Avalonbay | | |
| Communities, Inc. REIT | 68,197 | 4,131 |
| W.R. Berkley Corp. | 129,748 | 4,022 |
| Cincinnati Financial Corp. | 136,548 | 3,969 |
| Willis Group Holdings Ltd. | 149,007 | 3,707 |
| Kimco Realty Corp. REIT | 202,386 | 3,700 |
| Health Care Inc. REIT | 85,978 | 3,628 |
| Axis Capital Holdings Ltd. | 121,870 | 3,549 |
| New York Community | | |
| Bancorp, Inc. | 289,020 | 3,457 |
| Torchmark Corp. | 77,215 | 3,452 |
| Plum Creek Timber Co. Inc. | | |
| REIT | 98,461 | 3,421 |
| PartnerRe Ltd. | 46,921 | 3,344 |
| Host Hotels & Resorts Inc. | | |
| REIT | 436,830 | 3,307 |
| Federal Realty Investment | | |
| Trust REIT | 52,149 | 3,237 |
| Fidelity National | | |
| Financial, Inc. Class A | 177,818 | 3,156 |
| Assurant, Inc. | 104,977 | 3,149 |
| | | | |
| Regency Centers Corp. REIT | 61,936 | 2,892 |
| Marshall & Ilsley Corp. | 206,683 | 2,819 |
* | Reinsurance Group of | | |
| America, Inc. | 63,758 | 2,730 |
| HCC Insurance | | |
| Holdings, Inc. | 101,530 | 2,716 |
| Legg Mason Inc. | 123,811 | 2,713 |
| RenaissanceRe Holdings Ltd. | 51,496 | 2,655 |
| Comerica, Inc. | 133,176 | 2,644 |
* | Arch Capital Group Ltd. | 37,247 | 2,611 |
| Commerce Bancshares, Inc. | 56,924 | 2,502 |
| Nationwide Health | | |
| Properties, Inc. REIT | 85,670 | 2,460 |
| Cullen/Frost Bankers, Inc. | 47,076 | 2,386 |
| Huntington Bancshares Inc. | 307,904 | 2,359 |
| Zions Bancorp | 94,830 | 2,324 |
| Old Republic | | |
| International Corp. | 194,016 | 2,313 |
| Associated Banc-Corp. | 107,251 | 2,245 |
| Rayonier Inc. REIT | 69,598 | 2,182 |
| Nationwide Financial | | |
| Services, Inc. | 40,827 | 2,132 |
| Synovus Financial Corp. | 248,406 | 2,062 |
| AMB Property Corp. REIT | 86,761 | 2,032 |
| First American Corp. | 69,688 | 2,013 |
| Liberty Property Trust REIT | 86,813 | 1,982 |
| First Horizon National Corp. | 181,862 | 1,922 |
| White Mountains | | |
| Insurance Group Inc. | 7,193 | 1,921 |
| City National Corp. | 35,992 | 1,753 |
| UDR, Inc. REIT | 120,413 | 1,660 |
| American Financial | | |
| Group, Inc. | 66,280 | 1,516 |
* | Sovereign Bancorp, Inc. | 498,655 | 1,486 |
| Camden Property Trust REIT | 47,056 | 1,475 |
| CIT Group Inc. | 321,664 | 1,460 |
| Raymond James | | |
| Financial, Inc. | 84,780 | 1,452 |
| TCF Financial Corp. | 104,409 | 1,426 |
| Duke Realty Corp. REIT | 130,073 | 1,426 |
| Weingarten Realty | | |
| Investors REIT | 66,907 | 1,384 |
| Federated Investors, Inc. | 80,462 | 1,365 |
| SL Green Realty Corp. REIT | 51,475 | 1,333 |
* | The St. Joe Co. | 53,092 | 1,291 |
* | Markel Corp. | 4,147 | 1,240 |
| Hospitality Properties | | |
| Trust REIT | 83,166 | 1,237 |
| Popular, Inc. | 236,925 | 1,223 |
| The Macerich Co. REIT | 66,073 | 1,200 |
70
Mid-Cap Value Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Janus Capital Group Inc. | 141,466 | 1,136 |
| Mercury General Corp. | 24,230 | 1,114 |
| Genworth Financial Inc. | 383,354 | 1,085 |
| XL Capital Ltd. Class A | 269,161 | 996 |
| Transatlantic Holdings, Inc. | 23,462 | 940 |
| Apartment Investment & | | |
| Management Co. | | |
| Class A REIT | 75,792 | 875 |
| CapitalSource Inc. REIT | 171,092 | 790 |
| MBIA, Inc. | 179,402 | 730 |
| American Capital Ltd. | 183,251 | 594 |
| Capitol Federal Financial | 12,787 | 583 |
| Developers Diversified | | |
| Realty Corp. REIT | 106,472 | 520 |
| TFS Financial Corp. | 35,006 | 452 |
| Allied Capital Corp. | 157,814 | 425 |
| BOK Financial Corp. | 10,445 | 422 |
* | CB Richard Ellis Group, Inc. | 95,928 | 414 |
| Forest City Enterprise | | |
| Class A | 36,240 | 243 |
| Student Loan Corp. | 3,612 | 148 |
| National City Corp. | 46,990 | 85 |
| | | 172,347 |
Health Care (3.1%) | | |
| AmerisourceBergen Corp. | 140,265 | 5,002 |
| Omnicare, Inc. | 104,608 | 2,904 |
* | Mylan Inc. | 269,527 | 2,666 |
* | King Pharmaceuticals, Inc. | 218,188 | 2,317 |
* | Vertex Pharmaceuticals, Inc. | 46,046 | 1,399 |
* | Hospira, Inc. | 49,401 | 1,325 |
* | Community Health | | |
| Systems, Inc. | 84,878 | 1,238 |
* | Health Net Inc. | 95,007 | 1,035 |
| | | 17,886 |
Industrials (8.1%) | | |
| Parker Hannifin Corp. | 148,380 | 6,312 |
| Dover Corp. | 166,276 | 5,474 |
| Rockwell Automation, Inc. | 122,429 | 3,947 |
| Masco Corp. | 326,451 | 3,633 |
| Cintas Corp. | 122,439 | 2,844 |
| Avery Dennison Corp. | 84,835 | 2,777 |
| Goodrich Corp. | 71,981 | 2,665 |
| R.R. Donnelley & Sons Co. | 185,887 | 2,524 |
| Manpower Inc. | 70,283 | 2,389 |
| Harsco Corp. | 74,629 | 2,066 |
| Pentair, Inc. | 83,184 | 1,969 |
| SPX Corp. | 47,961 | 1,945 |
* | Shaw Group, Inc. | 73,886 | 1,512 |
| Pall Corp. | 53,057 | 1,508 |
* | Terex Corp. | 86,041 | 1,490 |
* | Owens Corning Inc. | 68,740 | 1,189 |
* | Hertz Global Holdings Inc. | 128,616 | 652 |
| The Manitowoc Co., Inc. | 74,961 | 649 |
* | Spirit Aerosystems | | |
| Holdings Inc. | 45,687 | 465 |
* | USG Corp. | 42,758 | 344 |
| | | 46,354 |
Information Technology (6.2%) | | |
* | Computer Sciences Corp. | 133,963 | 4,707 |
| Xilinx, Inc. | 244,702 | 4,361 |
| Fidelity National Information | | |
| Services, Inc. | 167,936 | 2,732 |
| Lender Processing | | |
| Services, Inc. | 83,924 | 2,472 |
* | Avnet, Inc. | 133,138 | 2,424 |
* | Synopsys, Inc. | 126,443 | 2,342 |
* | Lexmark International, Inc. | 77,875 | 2,095 |
* | Arrow Electronics, Inc. | 105,903 | 1,995 |
* | Flextronics International Ltd. | 741,818 | 1,899 |
* | Ingram Micro, Inc. Class A | 132,151 | 1,769 |
* | Western Digital Corp. | 127,438 | 1,459 |
* | Tellabs, Inc. | 334,331 | 1,377 |
* | NCR Corp. | 94,132 | 1,331 |
| Jabil Circuit, Inc. | 158,034 | 1,067 |
| Intersil Corp. | 109,497 | 1,006 |
| Molex, Inc. Class A | 66,417 | 860 |
* | Cadence Design | | |
| Systems, Inc. | 230,384 | 843 |
* | SanDisk Corp. | 69,716 | 669 |
* | Advanced Micro | | |
| Devices, Inc. | 187,763 | 406 |
| | | 35,814 |
Materials (7.1%) | | |
| Vulcan Materials Co. | 97,222 | 6,765 |
| Ball Corp. | 81,305 | 3,381 |
| Lubrizol Corp. | 59,929 | 2,181 |
| Eastman Chemical Co. | 67,622 | 2,144 |
| Sealed Air Corp. | 139,938 | 2,091 |
| Bemis Co., Inc. | 88,214 | 2,089 |
| Sonoco Products Co. | 88,109 | 2,041 |
| International Flavors & | | |
| Fragrances, Inc. | 62,589 | 1,860 |
| FMC Corp. | 40,886 | 1,829 |
| MeadWestvaco Corp. | 151,200 | 1,692 |
| Steel Dynamics, Inc. | 150,852 | 1,687 |
| Allegheny Technologies Inc. | 51,933 | 1,326 |
| Martin Marietta | | |
| Materials, Inc. | 12,819 | 1,244 |
| Cliffs Natural Resources Inc. | 47,235 | 1,210 |
| Commercial Metals Co. | 101,373 | 1,203 |
| Celanese Corp. Series A | 86,394 | 1,074 |
* | Pactiv Corp. | 40,562 | 1,009 |
| Titanium Metals Corp. | 104,179 | 918 |
| Terra Industries, Inc. | 52,842 | 881 |
| CF Industries Holdings, Inc. | 16,628 | 817 |
* | Domtar Corp. | 456,904 | 763 |
71
Mid-Cap Value Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Reliance Steel & | | |
| Aluminum Co. | 37,709 | 752 |
| Ashland, Inc. | 61,793 | 649 |
| Huntsman Corp. | 145,289 | 500 |
| AK Steel Holding Corp. | 49,533 | 462 |
| | | 40,568 |
Telecommunication Services (2.9%) | |
| Embarq Corp. | 126,143 | 4,536 |
| Windstream Corp. | 389,131 | 3,580 |
| Frontier | | |
| Communications Corp. | 279,678 | 2,444 |
| CenturyTel, Inc. | 86,069 | 2,352 |
| Telephone & | | |
| Data Systems, Inc. | 47,087 | 1,495 |
| Telephone & | | |
| Data Systems, Inc.– | | |
| Special Common Shares | 45,815 | 1,287 |
* | U.S. Cellular Corp. | 16,785 | 726 |
| | | 16,420 |
Utilities (12.9%) | | |
| Xcel Energy, Inc. | 381,509 | 7,077 |
| DTE Energy Co. | 144,367 | 5,150 |
| Wisconsin Energy Corp. | 103,494 | 4,345 |
| CenterPoint Energy Inc. | 287,444 | 3,628 |
| SCANA Corp. | 98,371 | 3,502 |
| NSTAR | 94,544 | 3,450 |
| Pepco Holdings, Inc. | 191,382 | 3,399 |
| MDU Resources Group, Inc. | 154,070 | 3,325 |
| Northeast Utilities | 137,698 | 3,313 |
| Puget Energy, Inc. | 114,788 | 3,130 |
* | Mirant Corp. | 164,354 | 3,101 |
| Integrys Energy Group, Inc. | 67,648 | 2,908 |
| Pinnacle West Capital Corp. | 89,168 | 2,865 |
| Alliant Energy Corp. | 97,768 | 2,853 |
| NiSource, Inc. | 242,741 | 2,663 |
| ONEOK, Inc. | 87,820 | 2,557 |
| TECO Energy, Inc. | 188,312 | 2,326 |
| DPL Inc. | 100,565 | 2,297 |
| NV Energy Inc. | 207,212 | 2,049 |
| National Fuel Gas Co. | 64,909 | 2,034 |
| CMS Energy Corp. | 199,613 | 2,016 |
* | Reliant Energy, Inc. | 308,617 | 1,784 |
| Questar Corp. | 53,717 | 1,756 |
| American | | |
| Water Works Co., Inc. | 56,639 | 1,183 |
* | Dynegy, Inc. | 444,892 | 890 |
| Energen Corp. | 30,148 | 884 |
| | | 74,485 |
Total Common Stocks | | |
(Cost $786,897) | | 577,528 |
Temporary Cash Investments (0.2%) | |
Money Market Fund (0.2%) | | |
1,2 | Vanguard Market | | |
| Liquidity Fund, 1.378% | 1,042,042 | 1,042 |
| | | | |
| Face | |
| Amount | |
| ($000) | |
U.S. Agency Obligation (0.0%) | | |
3 Federal Home Loan | | |
Mortgage Corp. | | |
1.307%, 4/14/09 | 100 | 100 |
Total Temporary Cash Investments | |
(Cost $1,142) | | 1,142 |
Total Investments (100.5%) | | |
(Cost $788,039) | | 578,670 |
Other Assets and Liabilities (–0.5%) | |
Other Assets | | 5,007 |
Liabilities2 | | (7,838) |
| | (2,831) |
Net Assets (100%) | | 575,839 |
72
Mid-Cap Value Index Fund
At December 31, 2008, net assets consisted of: |
| Amount |
| ($000) |
Paid-in Capital | 891,564 |
Undistributed Net Investment Income | 406 |
Accumulated Net Realized Losses | (106,762) |
Unrealized Appreciation (Depreciation) | (209,369) |
Net Assets | 575,839 |
| |
| |
Investor Shares—Net Assets | |
Applicable to 16,769,236 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 216,721 |
Net Asset Value Per Share— | |
Investor Shares | $12.92 |
| |
| |
ETF Shares—Net Assets | |
Applicable to 10,950,345 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 359,118 |
Net Asset Value Per Share— | |
ETF Shares | $32.80 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $656,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $664,000 of collateral received for securities on loan.
3 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
73
Mid-Cap Value Index Fund
Statement of Operations
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 15,268 |
Interest1 | 27 |
Security Lending | 288 |
Total Income | 15,583 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 52 |
Management and Administrative—Investor Shares | 355 |
Management and Administrative—ETF Shares | 147 |
Marketing and Distribution—Investor Shares | 57 |
Marketing and Distribution—ETF Shares | 82 |
Custodian Fees | 136 |
Auditing Fees | 26 |
Shareholders’ Reports—Investor Shares | 13 |
Shareholders’ Reports—ETF Shares | 25 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 894 |
Net Investment Income | 14,689 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (66,653) |
Futures Contracts | (11) |
Realized Net Gain (Loss) | (66,664) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (173,106) |
Futures Contracts | (5) |
Change in Unrealized Appreciation (Depreciation) | (173,111) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (225,086) |
1 Interest income from an affiliated company of the fund was $26,000.
See accompanying Notes, which are an integral part of the Financial Statements.
74
Mid-Cap Value Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 14,689 | 8,580 |
Realized Net Gain (Loss) | (66,664) | (2,661) |
Change in Unrealized Appreciation (Depreciation) | (173,111) | (40,664) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (225,086) | (34,745) |
Distributions | | |
Net Investment Income | | |
Investor Shares | (5,334) | (3,809) |
ETF Shares | (9,346) | (4,390) |
Realized Capital Gain | | |
Investor Shares | — | — |
ETF Shares | — | — |
Total Distributions | (14,680) | (8,199) |
Capital Share Transactions | | |
Investor Shares | 116,809 | 149,699 |
ETF Shares | 288,413 | 192,161 |
Net Increase (Decrease) from Capital Share Transactions | 405,222 | 341,860 |
Total Increase (Decrease) | 165,456 | 298,916 |
Net Assets | | |
Beginning of Period | 410,383 | 111,467 |
End of Period1 | 575,839 | 410,383 |
1 Net Assets—End of Period includes undistributed net investment income of $406,000 and $397,000.
See accompanying Notes, which are an integral part of the Financial Statements.
75
Mid-Cap Value Index Fund
Financial Highlights
Investor Shares | | | |
| | | |
| | Aug. 24, |
| Year Ended | 20061 to |
| December 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $20.95 | $22.34 | $20.00 |
Investment Operations | | | |
Net Investment Income | .4662 | .427 | .140 |
Net Realized and Unrealized Gain (Loss) on Investments | (8.156) | (1.407) | 2.340 |
Total from Investment Operations | (7.690) | (.980) | 2.480 |
Distributions | | | |
Dividends from Net Investment Income | (.340) | (.410) | (.140) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.340) | (.410) | (.140) |
Net Asset Value, End of Period | $12.92 | $20.95 | $22.34 |
| | | |
| | | |
Total Return3 | –36.64% | –4.37% | 12.40% |
| | | |
| | | |
Ratios/Supplemental Data | | | |
Net Assets, End of Period (Millions) | $217 | $195 | $65 |
Ratio of Total Expenses to Average Net Assets | 0.25% | 0.24% | 0.26%4 |
Ratio of Net Investment Income to Average Net Assets | 2.73% | 2.48% | 2.50%4 |
Portfolio Turnover Rate5 | 45% | 46% | 16% |
1 Inception.
2 Calculated based on average shares outstanding.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.
76
Mid-Cap Value Index Fund
Financial Highlights
ETF Shares | | | |
| | | |
| | Aug. 17, |
| Year Ended | 20061 to |
| December 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $53.16 | $56.67 | $51.00 |
Investment Operations | | | |
Net Investment Income | 1.2612 | 1.133 | .373 |
Net Realized and Unrealized Gain (Loss) on Investments | (20.716) | (3.553) | 5.661 |
Total from Investment Operations | (19.455) | (2.420) | 6.034 |
Distributions | | | |
Dividends from Net Investment Income | (.905) | (1.090) | (.364) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.905) | (1.090) | (.364) |
Net Asset Value, End of Period | $32.80 | $53.16 | $56.67 |
| | | |
| | | |
Total Return | –36.53% | –4.27% | 11.84% |
| | | |
| | | |
Ratios/Supplemental Data | | | |
Net Assets, End of Period (Millions) | $359 | $215 | $46 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.13% | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 2.86% | 2.59% | 2.63%3 |
Portfolio Turnover Rate4 | 45% | 46% | 16% |
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.
77
Mid-Cap Value Index Fund
Notes to Financial Statements
Vanguard Mid-Cap 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: Investor Shares and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2006–2008), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market
78
Mid-Cap Value Index Fund
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $137,000 to Vanguard (included in Other Assets), representing 0.02% 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. 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 December 31, 2008, the fund realized $22,788,000 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 December 31, 2008, the fund had $720,000 of ordinary income available for distribution. The fund had available realized losses of $96,856,000 to offset future net capital gains of $11,000 through December 31, 2014, $390,000 through December 31, 2015, $47,840,000 through December 31, 2016, and $48,615,000 through December 31, 2017.
At December 31, 2008, the cost of investment securities for tax purposes was $797,945,000. Net unrealized depreciation of investment securities for tax purposes was $219,275,000, consisting of unrealized gains of $9,829,000 on securities that had risen in value since their purchase and $229,104,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the year ended December 31, 2008, the fund purchased $826,557,000 of investment securities and sold $417,134,000 of investment securities other than temporary cash investments.
79
Mid-Cap Value Index Fund
E. Capital share transactions for each class of shares were:
| Year Ended December 31, | |
| | 2008 | | | 2007 |
| Amount | Shares | | Amount | Shares |
| ($000) | (000) | | ($000) | (000) |
Investor Shares | | | | | |
Issued | 195,334 | 11,939 | | 230,376 | 9,922 |
Issued in Lieu of Cash Distributions | 4,764 | 386 | | 3,464 | 167 |
Redeemed | (83,289) | (4,876) | | (84,141) | (3,692) |
Net Increase (Decrease)—Investor Shares | 116,809 | 7,449 | | 149,699 | 6,397 |
ETF Shares | | | | | |
Issued | 475,011 | 11,404 | | 297,171 | 5,033 |
Issued in Lieu of Cash Distributions | — | — | | — | — |
Redeemed | (186,598) | (4,500) | | (105,010) | (1,800) |
Net Increase (Decrease)—ETF Shares | 288,413 | 6,904 | | 192,161 | 3,233 |
| | | | | | |
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 fund’s investments as of December 31, 2008, based on the inputs used to value them:
| Investments |
| in Securities |
Valuation Inputs | ($000) |
Level 1—Quoted prices | 578,570 |
Level 2—Other significant observable inputs | 100 |
Level 3—Significant unobservable inputs | — |
Total | 578,670 |
80
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund:
In our opinion, the accompanying statement of net assets—investments summary and statements 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 Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) at December 31, 2008, 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 December 31, 2008 by correspondence with the custodian and broker, and by agreement to the underlying ownership records for Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2009
81
Special 2008 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Mid-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2008, 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) |
Extended Market | 114,768 |
Mid-Cap | 213,958 |
Mid-Cap Growth | 3,990 |
Mid-Cap Value | 11,136 |
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 |
Extended Market | 67.6% |
Mid-Cap | 74.7 |
Mid-Cap Growth | 100.0 |
Mid-Cap Value | 71.2 |
82
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. (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 Investor 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: U.S. Stock Index Funds (Mid-Capitalization Portfolios) | |
Periods Ended December 31, 2008 | | | |
| One | Five | Ten |
| Year | Years | Years |
Extended Market Index Fund Investor Shares1 | | | |
Returns Before Taxes | 38.73% | –0.89% | 1.62% |
Returns After Taxes on Distributions | –38.95 | –1.13 | 0.66 |
Returns After Taxes on Distributions and Sale of Fund Shares | –25.04 | –0.77 | 1.04 |
| | | |
| | | |
Mid-Cap Index Fund Investor Shares1 | | | |
Returns Before Taxes | –41.82% | –0.80% | 4.08% |
Returns After Taxes on Distributions | –42.04 | –1.03 | 3.13 |
Returns After Taxes on Distributions and Sale of Fund Shares | –27.01 | –0.66 | 3.04 |
1 Total returns do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.
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Average Annual Total Returns: U.S. Stock Index Funds (Mid-Capitalization Portfolios) |
Periods Ended December 31, 2008 | | |
| One | Since |
| Year | Inception1 |
Mid-Cap Growth Index Fund Investor Shares2 | | |
Returns Before Taxes | –47.07% | –15.19% |
Returns After Taxes on Distributions | –47.11 | –15.25 |
Returns After Taxes on Distributions and Sale of Fund Shares | –30.55 | –12.66 |
| | |
| | |
Mid-Cap Value Index Fund Investor Shares2 | | |
Returns Before Taxes | –36.64% | –15.06% |
Returns After Taxes on Distributions | –36.98 | –15.43 |
Returns After Taxes on Distributions and Sale of Fund Shares | –23.58 | –12.60 |
1 August 24, 2006.
2 Total returns do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.
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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 on the next page 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 account service fee described in the prospectus. If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it 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.
85
Six Months Ended December 31, 2008 | | | |
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
U.S. Stock Index Fund | 6/30/2008 | 12/31/2008 | Period1 |
Based on Actual Fund Return | | | |
Extended Market | | | |
Investor Shares | $1,000.00 | $661.27 | $1.09 |
Admiral Shares | 1,000.00 | 661.74 | 0.46 |
Signal Shares | 1,000.00 | 661.94 | 0.46 |
Institutional Shares | 1,000.00 | 662.24 | 0.25 |
ETF Shares | 1,000.00 | 662.13 | 0.34 |
Mid-Cap | | | |
Investor Shares | $1,000.00 | $631.68 | $0.95 |
Admiral Shares | 1,000.00 | 631.72 | 0.49 |
Signal Shares | 1,000.00 | 631.94 | 0.49 |
Institutional Shares | 1,000.00 | 631.85 | 0.29 |
ETF Shares | 1,000.00 | 631.74 | 0.49 |
Mid-Cap Growth | | | |
Investor Shares | $1,000.00 | $564.44 | $1.03 |
ETF Shares | 1,000.00 | 564.66 | 0.47 |
Mid-Cap Value | | | |
Investor Shares | $1,000.00 | $701.26 | $1.11 |
ETF Shares | 1,000.00 | 701.91 | 0.51 |
1 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 Extended Market Index Fund, 0.26% for Investor Shares, 0.11% for Admiral Shares, 0.11% for Signal Shares, 0.06% for Institutional Shares, and 0.08% for ETF Shares; for the Mid-Cap Index Fund, 0.23% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.12% for ETF Shares; for the Mid-Cap Growth Index Fund, 0.26% for Investor Shares and 0.12% for ETF Shares; for the Mid-Cap Value Index Fund, 0.26% for Investor 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.
86
Six Months Ended December 31, 2008 | | | |
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
U.S. Stock Index Fund | 6/30/2008 | 12/31/2008 | Period1 |
Based on Hypothetical 5% Yearly Return | | |
Extended Market | | | |
Investor Shares | $1,000.00 | $1,023.89 | $1.33 |
Admiral Shares | 1,000.00 | 1,024.65 | 0.56 |
Signal Shares | 1,000.00 | 1,024.65 | 0.56 |
Institutional Shares | 1,000.00 | 1,024.90 | 0.31 |
ETF Shares | 1,000.00 | 1,024.80 | 0.41 |
Mid-Cap | | | |
Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
Admiral Shares | 1,000.00 | 1,024.60 | 0.61 |
Signal Shares | 1,000.00 | 1,024.60 | 0.61 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
Mid-Cap Growth | | | |
Investor Shares | $1,000.00 | $1,023.89 | $1.33 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
Mid-Cap Value | | | |
Investor Shares | $1,000.00 | $1,023.89 | $1.33 |
ETF Shares | 1,000.00 | 1,024.60 | 0.61 |
1 Amounts in this table are calculated in the manner described in the footnote on the preceding page.
87
Glossary
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.
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. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Foreign Holdings. The percentage of a fund represented by stocks 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.
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.
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.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
88
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.
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 (in the case of bonds) 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.
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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 155 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 www.vanguard.com.
Chairman of the Board and Interested Trustee
John J. Brennan1
Born 1954. Trustee Since May 1987. Chairman of the Board. Principal Occupation(s) During the Past Five Years: Chairman of the Board and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group; Chief Executive Officer and President of The Vanguard Group and of each of the investment companies served by The Vanguard Group (1996–2008).
Independent Trustees
Charles D. Ellis
Born 1937. Trustee Since January 2001. Principal Occupation(s) During the Past Five Years: Applecore Partners (pro bono ventures in education); Senior Advisor to Greenwich Associates (international business strategy consulting); Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research.
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years: Retired Executive Chief Staff and Marketing Officer for North America and Corporate Vice President of Xerox Corporation (photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), of the United Way of Rochester, and of the Boy Scouts of America.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years: Chairman, President, and Chief Executive Officer of Rohm and Haas Co. (chemicals); Board Member of the American Chemistry Council; Director of Tyco International, Ltd. (diversified manufacturing and services), since 2005.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal
Occupation(s) During the Past Five Years: President of the University of Pennsylvania since 2004; Professor in the School of Arts and Sciences, Annenberg School for Communication, and Graduate School of Education of the University of Pennsylvania since 2004; Provost (2001–2004) and Laurance S. Rockefeller Professor of Politics and the University Center for Human Values (1990–2004), Princeton University; Director of Carnegie Corporation of New York since 2005 and of Schuylkill River Development Corporation and Greater Philadelphia Chamber of Commerce since 2004; Trustee of the National Constitution Center since 2007.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years: Retired Corporate Vice President, Chief Global Diversity Officer, and Member of the Executive Committee of Johnson & Johnson (pharmaceuticals/consumer products); Vice President and Chief Information Officer (1997–2005) of Johnson & Johnson; Director of the University Medical Center at Princeton and Women’s Research and Education Institute.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance and Banking, Senior Associate Dean, and Director of Faculty Recruiting, Harvard Business School; Director and Chairman of UNX, Inc. (equities trading firm); Chair of the Investment Committee of HighVista Strategies LLC (private investment firm) since 2005.
Alfred M. Rankin, Jr.
Born 1941. Trustee Since January 1993. Principal Occupation(s) During the Past Five Years: Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/ lignite); Director of Goodrich Corporation (industrial products/aircraft systems and services).
J. Lawrence Wilson
Born 1936. Trustee Since April 1985. Principal Occupation(s) During the Past Five Years: Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines) and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University and of Culver Educational Foundation.
Executive Officers
Thomas J. Higgins1
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group since 2008; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Kathryn J. Hyatt1
Born 1955. Treasurer Since November 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group since 2008; Assistant Treasurer of each of the investment companies served by The Vanguard Group (1988–2008).
F. William McNabb III1
Born 1957. Chief Executive Officer Since August 2008. President Since March 2008. Principal Occupation(s) During the Past Five Years: Chief Executive Officer, Director, and President of The Vanguard Group, Inc., since 2008; Chief Executive Officer and President of each of the investment companies served by The Vanguard Group since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
Heidi Stam1
Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years: Managing Director of The Vanguard Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2005; Director and Senior Vice President of Vanguard Marketing Corporation since 2005; Principal of The Vanguard Group (1997–2006).
Vanguard Senior Management Team |
| |
| |
R. Gregory Barton | James M. Norris |
Mortimer J. Buckley | Ralph K. Packard |
Kathleen C. Gubanich | Glenn W. Reed |
Paul A. Heller | George U. Sauter |
Michael S. Miller | |
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
1 These individuals are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600
Valley Forge, PA 19482-2600
Connect with Vanguard® > www.vanguard.com
Fund Information > 800-662-7447 | All comparative mutual fund data are from Lipper Inc. |
| or Morningstar, Inc., unless otherwise noted. |
Direct Investor Account Services > 800-662-2739 | |
| You can obtain a free copy of Vanguard’s proxy voting |
Institutional Investor Services > 800-523-1036 | guidelines by visiting our website, www.vanguard.com, |
| and searching for “proxy voting guidelines,” or by |
Text Telephone for People | calling Vanguard at 800-662-2739. The guidelines are |
With Hearing Impairment > 800-952-3335 | also available from the SEC’s website, www.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 |
This material may be used in conjunction | either www.vanguard.com or www.sec.gov. |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
| |
| 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 |
The funds or securities referred to herein are not | at 202-551-8090. Information about your fund is also |
sponsored, endorsed, or promoted by MSCI, and MSCI | available on the SEC’s website, and you can receive |
bears no liability with respect to any such funds or | copies of this information, for a fee, by sending a |
securities. For any such funds or securities, the | request in either of two ways: via e-mail addressed to |
prospectus or the Statement of Additional Information | publicinfo@sec.gov or via regular mail addressed to the |
contains a more detailed description of the limited | Public Reference Section, Securities and Exchange |
relationship MSCI has with The Vanguard Group and | Commission, Washington, DC 20549-0102. |
any related funds. | |
| |
Russell is a trademark of The Frank Russell Company. | |
| |
Standard & Poor’s® and S&P® are trademarks of | |
The McGraw-Hill Companies, Inc., and have been | |
licensed for use by The Vanguard Group, Inc. Vanguard | |
mutual funds are not sponsored, endorsed, sold, or | |
promoted by Standard & Poor’s, and Standard & Poor’s | |
makes no representation regarding the advisability of | |
investing in the funds. | |
| © 2009 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| Q980 022009 |
Vanguard® Extended Market Index Fund |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
Common Stocks (99.2%)1 | | |
Consumer Discretionary (11.8%) | | |
* | O’Reilly Automotive, Inc. | 734,794 | 22,588 |
| Cablevision Systems NY Group Class A | 1,281,480 | 21,580 |
| Ross Stores, Inc. | 712,022 | 21,168 |
* | Dollar Tree, Inc. | 494,479 | 20,669 |
| DeVry, Inc. | 336,908 | 19,342 |
* | Time Warner Cable, Inc. | 855,053 | 18,341 |
| Advance Auto Parts, Inc. | 519,611 | 17,485 |
* | Liberty Global, Inc. Series C | 1,135,210 | 17,233 |
| Strayer Education, Inc. | 77,708 | 16,661 |
* | ITT Educational Services, Inc. | 171,428 | 16,282 |
* | Priceline.com, Inc. | 220,210 | 16,218 |
* | Toll Brothers, Inc. | 711,958 | 15,257 |
| BorgWarner, Inc. | 634,470 | 13,812 |
* | NVR, Inc. | 29,568 | 13,490 |
* | Mohawk Industries, Inc. | 306,869 | 13,186 |
| PetSmart, Inc. | 694,647 | 12,816 |
* | DISH Network Corp. | 1,152,784 | 12,784 |
| Wendy’s/Arby’s Group, Inc. | 2,285,727 | 11,292 |
* | Discovery Communications Inc. Class C | 835,639 | 11,189 |
* | DreamWorks Animation SKG, Inc. | 435,203 | 10,993 |
| American Eagle Outfitters, Inc. | 1,125,565 | 10,535 |
* | Discovery Communications Inc. Class A | 713,894 | 10,109 |
*,^ | MGM Mirage, Inc. | 710,859 | 9,781 |
*,^ | Chipotle Mexican Grill, Inc. | 154,357 | 9,567 |
*,^ | CarMax, Inc. | 1,206,822 | 9,510 |
* | Urban Outfitters, Inc. | 623,016 | 9,333 |
* | LKQ Corp. | 768,018 | 8,955 |
*,^ | Panera Bread Co. | 167,350 | 8,742 |
* | Liberty Global, Inc. Class A | 541,104 | 8,614 |
| John Wiley & Sons Class A | 237,399 | 8,447 |
* | Marvel Entertainment, Inc. | 267,464 | 8,225 |
* | Penn National Gaming, Inc. | 365,433 | 7,813 |
| Aaron Rents, Inc. | 290,181 | 7,725 |
| Royal Caribbean Cruises, Ltd. | 559,894 | 7,699 |
| Tupperware Brands Corp. | 339,096 | 7,697 |
* | Corinthian Colleges, Inc. | 468,502 | 7,669 |
* | WMS Industries, Inc. | 273,575 | 7,359 |
* | Bally Technologies Inc. | 301,119 | 7,236 |
| Burger King Holdings Inc. | 302,827 | 7,232 |
* | Career Education Corp. | 403,055 | 7,231 |
| Service Corp. International | 1,401,362 | 6,965 |
*,^ | Netflix.com, Inc. | 231,332 | 6,915 |
* | Jack in the Box Inc. | 310,805 | 6,866 |
| Gentex Corp. | 767,841 | 6,780 |
* | Dick’s Sporting Goods, Inc. | 470,514 | 6,639 |
* | Hanesbrands Inc. | 517,573 | 6,599 |
* | Rent-A-Center, Inc. | 369,275 | 6,518 |
* | Tractor Supply Co. | 174,496 | 6,306 |
* | Scientific Games Corp. | 359,323 | 6,303 |
| Foot Locker, Inc. | 857,033 | 6,291 |
| MDC Holdings, Inc. | 202,832 | 6,146 |
| Matthews International Corp. | 167,369 | 6,139 |
* | Carter’s, Inc. | 311,428 | 5,998 |
| Brinker International, Inc. | 562,315 | 5,927 |
* | Aeropostale, Inc. | 365,127 | 5,879 |
| Weight Watchers International, Inc. | 197,092 | 5,798 |
* | Deckers Outdoor Corp. | 72,263 | 5,772 |
| Phillips-Van Heusen Corp. | 284,891 | 5,735 |
| Hillenbrand Inc. | 343,400 | 5,728 |
| Wolverine World Wide, Inc. | 270,752 | 5,697 |
| Choice Hotels International, Inc. | 187,986 | 5,651 |
*,^ | Lamar Advertising Co. Class A | 420,207 | 5,278 |
| Polaris Industries, Inc. | 180,125 | 5,161 |
Page 1
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Guess ?, Inc. | 333,360 | 5,117 |
* | Brink’s Home Security Holdings, Inc. | 231,204 | 5,068 |
* | The Warnaco Group, Inc. | 256,643 | 5,038 |
| Interactive Data Corp. | 202,538 | 4,995 |
* | Jarden Corp. | 423,517 | 4,870 |
*,^ | Under Armour, Inc. | 201,609 | 4,806 |
^ | Pool Corp. | 265,214 | 4,766 |
* | Capella Education Co. | 78,589 | 4,618 |
*,^ | Vail Resorts Inc. | 170,736 | 4,542 |
| Regal Entertainment Group Class A | 442,482 | 4,518 |
| International Speedway Corp. | 155,245 | 4,460 |
* | The Gymboree Corp. | 160,606 | 4,190 |
| Ryland Group, Inc. | 236,445 | 4,178 |
* | Collective Brands, Inc. | 352,849 | 4,135 |
* | Fossil, Inc. | 246,177 | 4,111 |
* | Chico’s FAS, Inc. | 981,277 | 4,102 |
* | Sonic Corp. | 334,770 | 4,074 |
| Men’s Wearhouse, Inc. | 285,621 | 3,867 |
| Williams-Sonoma, Inc. | 480,262 | 3,775 |
* | Las Vegas Sands Corp. | 592,021 | 3,511 |
*,^ | J. Crew Group, Inc. | 286,991 | 3,501 |
| Bob Evans Farms, Inc. | 170,995 | 3,493 |
| Regis Corp. | 239,069 | 3,474 |
*,^ | Saks Inc. | 788,157 | 3,452 |
* | The Cheesecake Factory Inc. | 332,620 | 3,359 |
| Callaway Golf Co. | 358,136 | 3,327 |
| Sotheby’s | 373,908 | 3,324 |
| OfficeMax, Inc. | 420,536 | 3,213 |
*,^ | Morningstar, Inc. | 90,376 | 3,208 |
* | JAKKS Pacific, Inc. | 152,736 | 3,151 |
* | Iconix Brand Group Inc. | 321,614 | 3,145 |
| Barnes & Noble, Inc. | 205,208 | 3,078 |
* | CEC Entertainment Inc. | 126,225 | 3,061 |
* | Coinstar, Inc. | 156,506 | 3,053 |
* | Timberland Co. | 261,083 | 3,016 |
^ | Tempur-Pedic International Inc. | 414,816 | 2,941 |
* | K12 Inc. | 156,576 | 2,936 |
* | The Children’s Place Retail Stores, Inc. | 133,567 | 2,896 |
| The Buckle, Inc. | 130,725 | 2,852 |
* | 99 Cents Only Stores | 259,761 | 2,839 |
* | P.F. Chang’s China Bistro, Inc. | 132,239 | 2,769 |
* | The Dress Barn, Inc. | 249,753 | 2,682 |
*,^ | Jos. A. Bank Clothiers, Inc. | 101,337 | 2,650 |
| Monro Muffler Brake, Inc. | 103,201 | 2,632 |
| CKE Restaurants Inc. | 298,944 | 2,595 |
| Thor Industries, Inc. | 196,605 | 2,591 |
* | Sally Beauty Co. Inc. | 453,730 | 2,582 |
| Cracker Barrel Old Country Store Inc. | 124,060 | 2,554 |
* | Pinnacle Entertainment, Inc. | 331,899 | 2,549 |
*,^ | Buffalo Wild Wings Inc. | 99,017 | 2,540 |
*,^ | Life Time Fitness, Inc. | 194,395 | 2,517 |
* | Hibbett Sports Inc. | 158,005 | 2,482 |
| Cato Corp. Class A | 163,528 | 2,469 |
| Jackson Hewitt Tax Service Inc. | 157,374 | 2,469 |
* | Gaylord Entertainment Co. | 226,277 | 2,453 |
| Columbia Sportswear Co. | 69,256 | 2,450 |
* | Live Nation, Inc. | 425,414 | 2,442 |
* | Helen of Troy Ltd. | 139,020 | 2,413 |
^ | NutriSystem, Inc. | 164,063 | 2,394 |
| Fred’s, Inc. | 221,788 | 2,386 |
| Churchill Downs, Inc. | 58,873 | 2,380 |
| National CineMedia Inc. | 233,278 | 2,365 |
* | Skechers U.S.A., Inc. | 184,016 | 2,359 |
| UniFirst Corp. | 79,332 | 2,355 |
* | American Public Education, Inc. | 62,984 | 2,342 |
* | PetMed Express, Inc. | 130,953 | 2,309 |
Page 2
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Ethan Allen Interiors, Inc. | 158,769 | 2,282 |
* | Hot Topic, Inc. | 244,382 | 2,265 |
* | Universal Technical Institute Inc. | 131,742 | 2,262 |
* | Texas Roadhouse, Inc. | 291,177 | 2,257 |
* | Fuel Systems Solutions, Inc. | 68,308 | 2,238 |
* | Papa John’s International, Inc. | 119,960 | 2,211 |
* | Exide Technologies | 417,850 | 2,210 |
* | Jo-Ann Stores, Inc. | 140,561 | 2,177 |
* | Pre-Paid Legal Services, Inc. | 58,185 | 2,170 |
* | Steven Madden, Ltd. | 99,161 | 2,114 |
*,^ | Sirius XM Radio Inc. | 17,576,895 | 2,109 |
* | Meritage Corp. | 170,144 | 2,071 |
| National Presto Industries, Inc. | 26,795 | 2,063 |
| Brunswick Corp. | 485,260 | 2,043 |
| Cooper Tire & Rubber Co. | 325,925 | 2,008 |
| Scholastic Corp. | 147,418 | 2,002 |
| Brown Shoe Co., Inc. | 235,352 | 1,993 |
*,^ | Blue Nile Inc. | 80,831 | 1,980 |
| American Greetings Corp. Class A | 261,161 | 1,977 |
* | Peet’s Coffee & Tea Inc. | 84,524 | 1,965 |
| Arbitron Inc. | 146,351 | 1,944 |
* | AnnTaylor Stores Corp. | 316,909 | 1,829 |
| Genesco, Inc. | 106,396 | 1,800 |
| Penske Automotive Group Inc. | 228,112 | 1,752 |
* | California Pizza Kitchen, Inc. | 162,068 | 1,737 |
| Stage Stores, Inc. | 209,799 | 1,731 |
* | thinkorswim Group, Inc. | 306,737 | 1,724 |
| K-Swiss, Inc. | 149,779 | 1,707 |
| Finish Line, Inc. | 303,760 | 1,701 |
* | Ascent Media Corp. | 77,666 | 1,696 |
| Speedway Motorsports, Inc. | 101,540 | 1,636 |
| World Wrestling Entertainment, Inc. | 143,070 | 1,585 |
| The Marcus Corp. | 97,374 | 1,580 |
| Stewart Enterprises, Inc. Class A | 507,628 | 1,528 |
* | Red Robin Gourmet Burgers, Inc. | 90,199 | 1,518 |
* | Chipotle Mexican Grill, Inc. Class B | 26,200 | 1,501 |
* | HSN,Inc. | 204,559 | 1,487 |
| Dillard’s Inc. | 368,865 | 1,464 |
| Harte-Hanks, Inc. | 233,905 | 1,460 |
| Boyd Gaming Corp. | 303,672 | 1,436 |
* | The Wet Seal, Inc. Class A | 481,201 | 1,429 |
* | Charming Shoppes, Inc. | 584,171 | 1,425 |
* | Mediacom Communications Corp. | 329,824 | 1,418 |
* | Clear Channel Outdoor Holdings, Inc. Class A | 229,284 | 1,410 |
*,^ | Blockbuster Inc. Class A | 1,077,843 | 1,358 |
* | Ticketmaster Entertainment Inc. | 211,055 | 1,355 |
| Group 1 Automotive, Inc. | 124,452 | 1,340 |
| Superior Industries International, Inc. | 121,989 | 1,283 |
*,^ | Cabela’s Inc. | 213,506 | 1,245 |
| Christopher & Banks Corp. | 220,542 | 1,235 |
| bebe stores, inc. | 164,816 | 1,231 |
| Ameristar Casinos, Inc. | 141,863 | 1,226 |
* | Stamps.com Inc. | 124,585 | 1,225 |
* | RC2 Corp. | 114,134 | 1,218 |
* | RCN Corp. | 204,629 | 1,207 |
| Spartan Motors, Inc. | 252,540 | 1,195 |
* | Drew Industries, Inc. | 98,631 | 1,184 |
* | Midas Inc. | 112,309 | 1,178 |
| Ambassadors Group, Inc. | 127,500 | 1,173 |
* | Denny’s Corp. | 585,941 | 1,166 |
| ArvinMeritor, Inc. | 408,720 | 1,165 |
* | Shuffle Master, Inc. | 232,817 | 1,155 |
^ | Landry’s Restaurants, Inc. | 98,451 | 1,142 |
* | Standard Pacific Corp. | 641,246 | 1,141 |
| Blyth, Inc. | 144,945 | 1,136 |
* | Universal Electronics, Inc. | 69,692 | 1,130 |
Page 3
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
*,^ | Raser Technologies, Inc. | 295,627 | 1,103 |
*,^ | True Religion Apparel, Inc. | 88,141 | 1,096 |
| Liz Claiborne, Inc. | 418,280 | 1,088 |
* | Volcom, Inc. | 98,799 | 1,077 |
* | Rentrak Corp. | 89,224 | 1,052 |
* | Interval Leisure Group, Inc. | 195,133 | 1,052 |
| Movado Group, Inc. | 110,867 | 1,041 |
* | Steinway Musical Instruments Inc. | 59,422 | 1,040 |
| CKX, Inc. | 281,176 | 1,032 |
| Weyco Group, Inc. | 30,980 | 1,024 |
* | Quiksilver, Inc. | 546,680 | 1,006 |
* | Cox Radio, Inc. | 166,646 | 1,002 |
| The Pep Boys (Manny, Moe & Jack) | 232,965 | 962 |
* | Steak n Shake Co. | 160,162 | 953 |
* | Domino’s Pizza, Inc. | 199,461 | 939 |
| Winnebago Industries, Inc. | 155,379 | 937 |
* | Hawk Corp. Class A | 56,343 | 935 |
* | Maidenform Brands, Inc. | 92,100 | 935 |
^ | DineEquity, Inc. | 80,822 | 934 |
* | Charlotte Russe Holding Inc. | 143,814 | 933 |
*,^ | Overstock.com, Inc. | 86,327 | 931 |
| Cinemark Holdings Inc. | 125,096 | 929 |
* | Cavco Industries, Inc. | 33,650 | 905 |
| Cherokee Inc. | 51,801 | 899 |
| Modine Manufacturing Co. | 173,721 | 846 |
* | Nobel Learning Communities, Inc. | 61,943 | 839 |
| Haverty Furniture Cos., Inc. | 88,967 | 830 |
* | Tween Brands, Inc. | 187,364 | 809 |
* | Dorman Products, Inc. | 61,021 | 805 |
| CSS Industries, Inc. | 45,356 | 805 |
* | Coldwater Creek Inc. | 279,608 | 797 |
* | BJ’s Restaurants Inc. | 73,585 | 793 |
* | Unifi, Inc. | 280,571 | 791 |
| Marine Products Corp. | 139,733 | 785 |
* | Citi Trends Inc. | 53,019 | 780 |
* | hhgregg, Inc. | 89,768 | 779 |
* | Entravision Communications Corp. | 494,068 | 771 |
| Hearst-Argyle Television Inc. | 125,941 | 763 |
* | Core-Mark Holding Co., Inc. | 35,309 | 760 |
* | Shutterfly, Inc. | 108,672 | 760 |
* | Morgans Hotel Group | 162,596 | 758 |
* | 1-800-FLOWERS.COM, Inc. | 196,803 | 752 |
| Sinclair Broadcast Group, Inc. | 240,352 | 745 |
| Oxford Industries, Inc. | 83,754 | 735 |
* | Tenneco Automotive, Inc. | 248,821 | 734 |
* | Zumiez Inc. | 97,811 | 729 |
* | Audiovox Corp. | 143,130 | 717 |
* | Amerigon Inc. | 218,180 | 711 |
| American Axle & Manufacturing Holdings, Inc. | 243,123 | 703 |
* | AFC Enterprises, Inc. | 148,633 | 697 |
^ | Warner Music Group Corp. | 228,650 | 691 |
| Systemax Inc. | 64,019 | 690 |
*,^ | The Princeton Review, Inc. | 139,455 | 688 |
| M/I Homes, Inc. | 64,410 | 679 |
* | TRW Automotive Holdings Corp. | 185,331 | 667 |
* | Learning Tree International, Inc. | 77,851 | 663 |
* | Sturm, Ruger & Co., Inc. | 108,812 | 650 |
* | Dolan Media Co. | 96,547 | 636 |
*,^ | Crown Media Holdings, Inc. | 222,490 | 634 |
| Sonic Automotive, Inc. | 158,888 | 632 |
* | Ulta Salon, Cosmetics & Fragrance, Inc. | 76,058 | 630 |
| Sealy Corp. | 250,422 | 629 |
* | iRobot Corp. | 68,215 | 616 |
* | America’s Car-Mart, Inc. | 44,567 | 615 |
* | Knology, Inc. | 117,595 | 607 |
* | Monarch Casino & Resort, Inc. | 51,748 | 603 |
Page 4
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| La-Z-Boy Inc. | 273,891 | 594 |
*,^ | Zale Corp. | 174,411 | 581 |
| Furniture Brands International Inc. | 259,892 | 574 |
* | Pacific Sunwear of California, Inc. | 359,716 | 572 |
| Big 5 Sporting Goods Corp. | 109,366 | 570 |
*,^ | DSW Inc. Class A | 45,718 | 570 |
| Asbury Automotive Group, Inc. | 124,054 | 567 |
| Kenneth Cole Productions, Inc. | 79,752 | 565 |
| Stanley Furniture Co., Inc. | 69,439 | 550 |
| Skyline Corp. | 27,267 | 545 |
* | Franklin Covey Co. | 88,883 | 538 |
* | Destination Maternity Corp. | 67,520 | 530 |
*,^ | Martha Stewart Living Omnimedia, Inc. | 203,327 | 529 |
| Fisher Communications, Inc. | 25,186 | 520 |
| Journal Communications, Inc. | 208,315 | 510 |
| Belo Corp. Class A | 325,673 | 508 |
*,^ | Bidz.com, Inc. | 110,291 | 507 |
* | Nautilus Inc. | 229,524 | 507 |
*,^ | Quantum Fuel Systems Technologies Worldwide, Inc. | 582,640 | 495 |
* | Gaiam, Inc. | 105,348 | 487 |
* | Palm Harbor Homes, Inc. | 97,586 | 486 |
| Frisch’s Restaurants, Inc. | 25,701 | 484 |
* | Lumber Liquidators, Inc. | 44,905 | 474 |
* | Orbitz Worldwide, Inc. | 117,855 | 457 |
* | Leapfrog Enterprises, Inc. | 129,971 | 455 |
| Talbots Inc. | 188,162 | 450 |
*,^ | Rocky Brands Inc | 113,776 | 449 |
* | Krispy Kreme Doughnuts, Inc. | 267,459 | 449 |
* | Luby’s, Inc. | 106,375 | 446 |
* | Shoe Carnival, Inc. | 46,656 | 446 |
| PRIMEDIA Inc. | 204,545 | 444 |
* | Federal-Mogul Corp. | 103,586 | 438 |
* | Cumulus Media Inc. | 173,911 | 433 |
* | MarineMax, Inc. | 127,091 | 431 |
| Books-a-Million Inc. | 168,904 | 431 |
* | Outdoor Channel Holdings Inc. | 57,165 | 428 |
* | Rubio’s Restaurants, Inc. | 118,426 | 423 |
*,^ | Forward Industries, Inc. | 188,728 | 421 |
* | Build-A-Bear-Workshop, Inc. | 86,589 | 421 |
* | Coachmen Industries, Inc. | 220,894 | 406 |
* | Youbet.com, Inc. | 467,035 | 406 |
* | Bluegreen Corp. | 129,358 | 405 |
* | Smith & Wesson Holding Corp. | 177,144 | 402 |
^ | Brookfield Homes Corp. | 89,023 | 385 |
* | drugstore.com, Inc. | 298,346 | 370 |
| Lakes Entertainment, Inc. | 89,413 | 359 |
*,^ | Conn’s, Inc. | 41,416 | 351 |
* | Ruby Tuesday, Inc. | 208,798 | 326 |
* | Hollywood Media Corp. | 321,267 | 321 |
* | Dana Holding Corp. | 432,753 | 320 |
* | Perry Ellis International Corp. | 50,145 | 318 |
*,^ | Isle of Capri Casinos, Inc. | 99,158 | 317 |
*,^ | Crocs, Inc. | 253,353 | 314 |
* | Champion Enterprises, Inc. | 544,215 | 305 |
*,^ | American Apparel, Inc. | 150,280 | 299 |
* | G-III Apparel Group, Ltd. | 46,457 | 297 |
| AH Belo Corp. | 134,709 | 294 |
* | Russ Berrie and Co., Inc. | 97,425 | 289 |
* | New York & Co., Inc. | 122,895 | 285 |
* | Tuesday Morning Corp. | 174,568 | 285 |
* | Stein Mart, Inc. | 247,439 | 280 |
| Lithia Motors, Inc. | 85,377 | 278 |
* | Saga Communications, Inc. | 167,742 | 277 |
* | MTR Gaming Group Inc. | 164,685 | 277 |
* | Multimedia Games Inc. | 116,070 | 276 |
* | Playboy Enterprises, Inc. Class B | 126,112 | 272 |
Page 5
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Bassett Furniture Industries, Inc. | 80,407 | 269 |
* | Tandy Leather Factory, Inc. | 121,205 | 261 |
* | Lear Corp. | 183,502 | 259 |
| Strattec Security Corp. | 15,593 | 257 |
* | Hayes Lemmerz International, Inc. | 564,939 | 254 |
| Dover Motorsports, Inc. | 194,085 | 252 |
* | Gaming Partners International | 48,997 | 251 |
| Dover Downs Gaming & Entertainment, Inc. | 76,182 | 242 |
| Arctic Cat, Inc. | 50,072 | 240 |
| Hooker Furniture Corp. | 30,800 | 236 |
* | Trans World Entertainment Corp. | 179,907 | 236 |
* | Stoneridge, Inc. | 50,516 | 230 |
* | A.C. Moore Arts & Crafts, Inc. | 162,806 | 228 |
| Sport Supply Group Inc. | 31,490 | 220 |
| Flexsteel Industries, Inc. | 32,181 | 215 |
* | Red Lion Hotels Corp. | 90,200 | 215 |
* | Famous Dave’s of America, Inc. | 72,918 | 211 |
*,^ | Empire Resorts Inc. | 192,357 | 210 |
* | Perfumania Holdings, Inc. | 38,691 | 209 |
* | Kirkland’s, Inc. | 77,713 | 206 |
| E.W. Scripps Co. Class A | 92,933 | 205 |
* | West Marine, Inc. | 48,185 | 204 |
* | Insignia Systems, Inc. | 214,549 | 195 |
*,^ | VCG Holding Corp | 129,258 | 194 |
* | 4Kids Entertainment Inc. | 96,964 | 190 |
* | REX Stores Corp. | 23,108 | 186 |
* | Cache, Inc. | 91,781 | 185 |
* | Pomeroy IT Solutions, Inc. | 57,309 | 179 |
^ | The McClatchy Co. Class A | 222,844 | 178 |
| Libbey, Inc. | 141,117 | 176 |
| Heelys Inc. | 76,770 | 174 |
* | Town Sports International Holdings, Inc. | 54,278 | 173 |
| CPI Corp. | 48,667 | 170 |
| Standard Motor Products, Inc. | 48,730 | 169 |
| Nobility Homes, Inc. | 20,807 | 165 |
* | Lodgian, Inc. | 77,000 | 164 |
* | Culp, Inc. | 82,428 | 163 |
* | McCormick & Schmick’s Seafood Restaurants, Inc. | 40,173 | 162 |
| Shiloh Industries, Inc. | 53,686 | 161 |
| O’Charley’s Inc. | 79,789 | 160 |
* | Lin TV Corp. | 142,434 | 155 |
| Beasley Broadcast Group, Inc. | 85,961 | 155 |
* | Delta Apparel, Inc. | 40,646 | 148 |
* | Mac-Gray Corp. | 22,799 | 148 |
*,^ | LodgeNet Interactive Corp. | 203,267 | 142 |
* | Lincoln Educational Services | 10,635 | 141 |
| Lifetime Brands, Inc. | 39,254 | 139 |
* | Joe’s Jeans, Inc. | 389,951 | 137 |
* | Design Within Reach Inc. | 198,052 | 135 |
* | Carrols Restaurant Group Inc. | 49,616 | 134 |
* | Ruth’s Hospitality Group Inc. | 94,882 | 131 |
* | Alloy, Inc. | 30,775 | 130 |
* | Visteon Corp. | 371,210 | 130 |
* | DEI Holdings, Inc. | 322,343 | 129 |
| ARK Restaurants Corp. | 11,003 | 126 |
* | Interstate Hotels & Resorts, Inc. | 170,801 | 118 |
* | MKTG Inc., | 93,399 | 117 |
* | Riviera Holdings Corp. | 38,655 | 116 |
* | Benihana Inc. Class A | 54,980 | 115 |
* | Casual Male Retail Group, Inc. | 219,326 | 114 |
| Collectors Universe, Inc. | 38,822 | 114 |
* | R.H. Donnelley Corp. | 301,690 | 112 |
* | Rockford Corp. | 168,328 | 108 |
| J. Alexander’s Corp. | 45,600 | 107 |
| Craftmade International, Inc. | 57,419 | 99 |
* | Harris Interactive Inc. | 149,054 | 97 |
Page 6
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Emerson Radio Corp. | 146,755 | 97 |
* | Premier Exhibitions Inc. | 86,968 | 96 |
* | Global Traffic Network, Inc. | 16,235 | 95 |
* | Century Casinos, Inc. | 91,400 | 94 |
* | Franklin Electronic Publishers, Inc. | 109,761 | 91 |
* | Citadel Broadcasting Corp. | 555,034 | 89 |
* | WPT Enterprises Inc. | 193,572 | 83 |
*,^ | Jamba Inc. | 189,850 | 82 |
* | Syms Corp. | 9,144 | 81 |
* | Beazer Homes USA, Inc. | 50,958 | 81 |
* | Concord Camera Corp. | 32,844 | 80 |
* | Silverleaf Resorts, Inc. | 107,300 | 76 |
*,^ | Playboy Enterprises, Inc. Class A | 22,850 | 72 |
* | Great Wolf Resorts, Inc. | 46,870 | 72 |
*,^ | Charter Communications, Inc. | 875,682 | 72 |
* | New Motion, Inc. | 60,487 | 70 |
| Escalade, Inc. | 91,854 | 69 |
* | Duckwall-ALCO Stores, Inc. | 6,717 | 66 |
* | Nexstar Broadcasting Group, Inc. | 128,675 | 66 |
* | Rick’s Cabaret International, Inc. | 16,335 | 65 |
* | Carriage Services, Inc. | 32,285 | 65 |
*,^ | The Walking Co. Holdings, Inc. | 29,163 | 58 |
* | Benihana Inc. | 27,540 | 58 |
*,^ | Ambassadors International, Inc. | 77,088 | 56 |
* | Hallwood Group Inc. | 1,600 | 52 |
* | Hovnanian Enterprises Inc. Class A | 30,498 | 52 |
* | The Dixie Group, Inc. | 32,160 | 49 |
*,^ | Gander Mountain Co. | 21,005 | 49 |
*,^ | Caribou Coffee Co. | 35,776 | 49 |
* | Proliance International Inc. | 133,284 | 48 |
* | Blockbuster Inc. Class B | 73,732 | 48 |
| Borders Group, Inc. | 116,701 | 47 |
^ | Orleans Homebuilders, Inc. | 39,354 | 46 |
*,^ | Radio One, Inc. | 102,984 | 46 |
* | Navarre Corp. | 112,691 | 45 |
| Aaron Rents, Inc. Class A | 2,025 | 44 |
* | ValueVision Media, Inc. | 134,078 | 44 |
* | Morton’s Restaurant Group Inc. | 15,060 | 43 |
^ | Bon-Ton Stores, Inc. | 41,606 | 43 |
* | Six Flags, Inc. | 134,016 | 42 |
* | Bakers Footwear Group Inc. | 69,383 | 40 |
* | Cavalier Homes, Inc. | 34,901 | 36 |
*,^ | Charles & Colvard Ltd. | 179,486 | 36 |
* | NTN Communications, Inc. | 273,189 | 36 |
| Johnson Outdoors Inc. | 7,174 | 35 |
*,^ | Bluefly, Inc. | 44,063 | 32 |
* | Golfsmith International Holdings, Inc. | 43,811 | 31 |
* | InfoSonics Corp. | 122,486 | 31 |
^ | Lee Enterprises, Inc. | 74,461 | 31 |
| Aldila, Inc. | 12,499 | 30 |
*,^ | Nitches Inc. | 136,011 | 27 |
* | Emmis Communications, Inc. | 77,425 | 27 |
| Noble International, Ltd. | 60,630 | 27 |
* | Williams Controls, Inc. | 3,442 | 25 |
*,^ | Amerityre Corp. | 99,178 | 24 |
* | Fairchild Corp. | 79,335 | 24 |
* | Regent Communications, Inc. | 260,556 | 23 |
* | Nexcen Brands, Inc. | 163,997 | 18 |
* | Pier 1 Imports Inc. | 44,873 | 17 |
* | Select Comfort Corp. | 53,488 | 13 |
* | Meade Instruments Corp. | 115,979 | 13 |
* | California Coastal Communities, Inc. | 24,348 | 12 |
* | Cost Plus, Inc. | 12,943 | 12 |
* | ILX Resorts Inc. | 18,700 | 11 |
* | Eddie Bauer Holding, Inc. | 17,889 | 9 |
* | Nathan’s Famous Inc | 700 | 9 |
Page 7
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Fleetwood Enterprises, Inc. | 82,660 | 8 |
* | SPEEDUS Corp. | 19,899 | 8 |
| Monaco Coach Corp. | 14,781 | 8 |
| Entercom Communications Corp. | 4,931 | 6 |
*,^ | Source Interlink Cos., Inc. | 44,957 | 6 |
* | Tarragon Corp. | 71,044 | 6 |
* | SPAR Group, Inc. | 7,650 | 5 |
| Gray Television, Inc. | 6,951 | 3 |
* | Spanish Broadcasting System, Inc. | 10,335 | 1 |
* | Radio One, Inc. Class D | 3,455 | 1 |
* | Singing Machine Co., Inc. | 6,000 | 1 |
* | Medialink Worldwide, Inc. | 1,500 | — |
*,^ | Gadzooks, Inc. | 92,160 | — |
| | | 1,054,270 |
Consumer Staples (3.6%) | | |
| Bunge Ltd. | 665,647 | 34,461 |
| Church & Dwight, Inc. | 382,652 | 21,474 |
* | Ralcorp Holdings, Inc. | 307,497 | 17,958 |
* | Energizer Holdings, Inc. | 318,562 | 17,247 |
* | Hansen Natural Corp. | 403,369 | 13,525 |
| Hormel Foods Corp. | 382,833 | 11,898 |
| Corn Products International, Inc. | 407,202 | 11,748 |
| Alberto-Culver Co. | 465,654 | 11,413 |
* | BJ’s Wholesale Club, Inc. | 321,958 | 11,030 |
| Flowers Foods, Inc. | 434,646 | 10,588 |
*,^ | Smithfield Foods, Inc. | 647,898 | 9,116 |
| Del Monte Foods Co. | 1,080,450 | 7,714 |
*,^ | Chattem, Inc. | 104,259 | 7,458 |
| PepsiAmericas, Inc. | 316,742 | 6,449 |
| Casey’s General Stores, Inc. | 281,262 | 6,404 |
| Ruddick Corp. | 216,347 | 5,982 |
* | Winn-Dixie Stores, Inc. | 300,651 | 4,840 |
* | TreeHouse Foods Inc. | 174,471 | 4,753 |
* | NBTY, Inc. | 301,523 | 4,719 |
* | Hain Celestial Group, Inc. | 223,253 | 4,262 |
* | United Natural Foods, Inc. | 237,817 | 4,238 |
| Universal Corp. (VA) | 137,292 | 4,101 |
| Lance, Inc. | 174,292 | 3,998 |
| Lancaster Colony Corp. | 111,207 | 3,814 |
*,^ | Green Mountain Coffee Roasters, Inc. | 96,897 | 3,750 |
| Tootsie Roll Industries, Inc. | 143,695 | 3,680 |
* | Chiquita Brands International, Inc. | 245,947 | 3,635 |
| Sanderson Farms, Inc. | 96,885 | 3,348 |
| Vector Group Ltd. | 241,263 | 3,286 |
| Nash-Finch Co. | 70,926 | 3,184 |
| Nu Skin Enterprises, Inc. | 276,936 | 2,888 |
| Spartan Stores, Inc. | 122,319 | 2,844 |
| J & J Snack Foods Corp. | 79,117 | 2,839 |
* | Central Garden & Pet Co. Class A | 457,994 | 2,702 |
* | The Pantry, Inc. | 122,869 | 2,636 |
| WD-40 Co. | 91,611 | 2,592 |
| Weis Markets, Inc. | 74,380 | 2,501 |
* | Darling International, Inc. | 454,549 | 2,495 |
* | Smart Balance Inc. | 347,278 | 2,361 |
* | Prestige Brands Holdings Inc. | 212,942 | 2,247 |
| Cal-Maine Foods, Inc. | 69,849 | 2,005 |
| Diamond Foods, Inc. | 90,636 | 1,826 |
| PriceSmart, Inc. | 86,775 | 1,793 |
* | Bare Escentuals, Inc. | 326,160 | 1,706 |
* | Elizabeth Arden, Inc. | 134,762 | 1,699 |
| The Andersons, Inc. | 100,904 | 1,663 |
* | Boston Beer Co., Inc. Class A | 54,849 | 1,558 |
| Farmer Brothers, Inc. | 61,755 | 1,540 |
* | Alliance One International, Inc. | 507,022 | 1,491 |
* | American Italian Pasta Co. | 59,370 | 1,326 |
Page 8
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
| Ingles Markets, Inc. | 74,314 | 1,307 |
* | National Beverage Corp. | 141,614 | 1,275 |
| Coca-Cola Bottling Co. | 25,577 | 1,176 |
*,^ | Star Scientific, Inc. | 271,363 | 1,039 |
| Alico, Inc. | 20,636 | 846 |
| B&G Foods Inc. | 153,771 | 830 |
| Imperial Sugar Co. | 57,309 | 822 |
*,^ | Rite Aid Corp. | 2,650,990 | 822 |
* | The Great Atlantic & Pacific Tea Co., Inc. | 129,043 | 809 |
| Arden Group Inc. Class A | 6,188 | 780 |
* | Susser Holdings Corp. | 57,510 | 764 |
*,^ | Lifeway Foods, Inc. | 84,722 | 761 |
| Village Super Market Inc. Class A | 11,857 | 680 |
* | Revlon, Inc. | 93,619 | 624 |
| United Guardian, Inc. | 59,489 | 547 |
* | Zapata Corp. | 89,872 | 542 |
| Inter Parfums, Inc. | 68,725 | 528 |
* | Natural Alternatives International, Inc. | 75,737 | 462 |
* | Nutraceutical International Corp. | 59,967 | 461 |
| Calavo Growers, Inc. | 31,574 | 363 |
* | John B. Sanfilippo & Son, Inc. | 63,824 | 344 |
* | Omega Protein Corp. | 82,108 | 329 |
* | Medifast, Inc. | 59,409 | 329 |
| Oil-Dri Corp. of America | 17,217 | 323 |
* | Schiff Nutrition International, Inc. | 53,707 | 321 |
* | Monterey Pasta Co. | 278,661 | 295 |
| Rocky Mountain Chocolate Factory, Inc. | 42,162 | 224 |
* | Parlux Fragrances, Inc. | 73,046 | 213 |
| Reliv International, Inc. | 39,264 | 177 |
^ | Mannatech, Inc. | 60,320 | 148 |
* | Overhill Farms Inc. | 32,135 | 135 |
* | Physicians Formula Holdings, Inc. | 48,005 | 134 |
| Reddy Ice Holdings, Inc. | 54,800 | 79 |
* | HQ Sustainable Maritime Industries, Inc. | 7,500 | 59 |
* | Cusine Solutions, Inc. | 95,240 | 49 |
| MGP Ingredients, Inc. | 68,059 | 46 |
* | IGI, Inc. | 72,500 | 36 |
* | Integrated Biopharma, Inc. | 59,810 | 13 |
*,^ | Jones Soda Co. | 31,699 | 10 |
* | iBioPharma Inc. | 59,810 | 6 |
* | Diedrich Coffee, Inc. | 13,950 | 5 |
* | Vermont Pure Holdings, Ltd. | 600 | — |
| | | 321,498 |
Energy (6.0%) | | |
* | Ultra Petroleum Corp. | 826,198 | 28,512 |
| Diamond Offshore Drilling, Inc. | 379,427 | 22,363 |
* | Petrohawk Energy Corp. | 1,365,648 | 21,345 |
* | FMC Technologies Inc. | 689,940 | 16,441 |
* | Pride International, Inc. | 944,463 | 15,093 |
* | Denbury Resources, Inc. | 1,349,368 | 14,735 |
* | Newfield Exploration Co. | 722,413 | 14,268 |
* | Plains Exploration & Production Co. | 588,247 | 13,671 |
| Helmerich & Payne, Inc. | 574,495 | 13,070 |
| Arch Coal, Inc. | 782,055 | 12,740 |
| Cimarex Energy Co. | 454,915 | 12,183 |
* | Comstock Resources, Inc. | 251,314 | 11,875 |
| Tidewater Inc. | 281,701 | 11,344 |
| Patterson-UTI Energy, Inc. | 849,699 | 9,780 |
| Southern Union Co. | 677,837 | 8,839 |
* | Forest Oil Corp. | 530,531 | 8,748 |
* | Oceaneering International, Inc. | 299,407 | 8,725 |
* | IHS Inc. Class A | 227,148 | 8,500 |
* | Dresser Rand Group, Inc. | 458,522 | 7,909 |
* | Whiting Petroleum Corp. | 231,481 | 7,745 |
* | SEACOR Holdings Inc. | 113,875 | 7,590 |
Page 9
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Exterran Holdings, Inc. | 355,874 | 7,580 |
* | Encore Acquisition Co. | 289,674 | 7,392 |
| Frontier Oil Corp. | 567,555 | 7,168 |
* | Superior Energy Services, Inc. | 436,643 | 6,956 |
| St. Mary Land & Exploration Co. | 339,912 | 6,904 |
* | Unit Corp. | 258,329 | 6,903 |
* | Concho Resources, Inc. | 277,645 | 6,336 |
* | Alpha Natural Resources, Inc. | 389,860 | 6,312 |
| Penn Virginia Corp. | 231,644 | 6,018 |
| World Fuel Services Corp. | 159,947 | 5,918 |
* | Arena Resources, Inc. | 210,589 | 5,915 |
| Overseas Shipholding Group Inc. | 139,752 | 5,885 |
* | Oil States International, Inc. | 275,765 | 5,154 |
* | Mariner Energy Inc. | 492,196 | 5,020 |
* | Atwood Oceanics, Inc. | 308,499 | 4,714 |
* | Contango Oil & Gas Co. | 78,426 | 4,415 |
* | Bill Barrett Corp. | 205,037 | 4,332 |
* | Bristow Group, Inc. | 161,200 | 4,319 |
* | SandRidge Energy, Inc. | 690,699 | 4,248 |
* | CNX Gas Corp. | 150,649 | 4,113 |
| Holly Corp. | 225,388 | 4,109 |
* | EXCO Resources, Inc. | 449,836 | 4,075 |
| CARBO Ceramics Inc. | 112,941 | 4,013 |
* | Goodrich Petroleum Corp. | 124,608 | 3,732 |
* | Helix Energy Solutions Group, Inc. | 508,463 | 3,681 |
* | Continental Resources, Inc. | 168,762 | 3,495 |
* | Quicksilver Resources, Inc. | 625,371 | 3,483 |
* | Dril-Quip, Inc. | 169,052 | 3,467 |
| Foundation Coal Holdings, Inc. | 246,009 | 3,449 |
* | General Maritime Corp. | 316,822 | 3,422 |
| Atlas America, Inc. | 221,373 | 3,287 |
* | Key Energy Services, Inc. | 689,051 | 3,039 |
* | Gulfmark Offshore, Inc. | 126,559 | 3,011 |
* | McMoRan Exploration Co. | 300,573 | 2,946 |
* | Swift Energy Co. | 171,003 | 2,875 |
| Lufkin Industries, Inc. | 82,343 | 2,841 |
*,^ | USEC Inc. | 618,649 | 2,778 |
* | Carrizo Oil & Gas, Inc. | 151,755 | 2,443 |
* | Complete Production Services, Inc. | 299,452 | 2,441 |
* | Vaalco Energy, Inc. | 322,208 | 2,397 |
| W&T Offshore, Inc. | 165,063 | 2,364 |
* | James River Coal Co. | 151,692 | 2,325 |
* | Hercules Offshore, Inc. | 486,698 | 2,312 |
* | Global Industries Ltd. | 636,697 | 2,222 |
* | Patriot Coal Corp. | 352,655 | 2,204 |
*,^ | BPZ Energy, Inc. | 334,447 | 2,140 |
* | Stone Energy Corp. | 192,969 | 2,127 |
* | Hornbeck Offshore Services, Inc. | 128,282 | 2,096 |
* | Rosetta Resources, Inc. | 286,636 | 2,029 |
* | TETRA Technologies, Inc. | 416,849 | 2,026 |
* | Petroleum Development Corp. | 82,312 | 1,981 |
| Berry Petroleum Class A | 247,856 | 1,874 |
* | Newpark Resources, Inc. | 493,766 | 1,827 |
* | Parker Drilling Co. | 628,185 | 1,822 |
* | PetroQuest Energy, Inc. | 254,534 | 1,721 |
* | NATCO Group Inc. | 112,260 | 1,704 |
| RPC Inc. | 174,300 | 1,701 |
* | GMX Resources Inc. | 65,745 | 1,665 |
*,^ | International Coal Group, Inc. | 707,149 | 1,626 |
* | ION Geophysical Corp. | 467,218 | 1,603 |
*,^ | Delta Petroleum Corp. | 331,869 | 1,580 |
* | Basic Energy Services Inc. | 120,089 | 1,566 |
* | Clayton Williams Energy, Inc. | 34,081 | 1,549 |
* | Pioneer Drilling Co. | 274,545 | 1,529 |
| Precision Drilling Trust | 168,306 | 1,412 |
* | Cal Dive International, Inc. | 211,822 | 1,379 |
Page 10
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
| Gulf Island Fabrication, Inc. | 81,293 | 1,171 |
^ | Western Refining, Inc. | 145,673 | 1,130 |
* | PHI Inc. | 68,398 | 1,124 |
* | Harvest Natural Resources, Inc. | 258,697 | 1,112 |
* | Matrix Service Co. | 140,479 | 1,077 |
| Crosstex Energy, Inc. | 273,282 | 1,066 |
* | Superior Well Services, Inc. | 87,932 | 879 |
* | Warren Resources Inc. | 429,905 | 855 |
* | ATP Oil & Gas Corp. | 136,929 | 801 |
* | Bronco Drilling Co., Inc. | 123,435 | 797 |
* | Westmoreland Coal Co. | 71,654 | 795 |
*,^ | Allis-Chalmers Energy Inc. | 139,309 | 766 |
*,^ | Clean Energy Fuels Corp. | 125,757 | 760 |
* | Rentech, Inc. | 1,088,611 | 740 |
* | Dawson Geophysical Co. | 41,439 | 738 |
* | FX Energy, Inc. | 249,451 | 696 |
*,^ | Crusader Energy Group Inc. | 575,849 | 674 |
* | Brigham Exploration Co. | 208,953 | 669 |
* | GeoResources Inc. | 73,406 | 638 |
*,^ | Cheniere Energy, Inc. | 215,145 | 613 |
* | Gulfport Energy Corp. | 151,955 | 600 |
* | Natural Gas Services Group | 59,160 | 599 |
*,^ | Toreador Resources Corp. | 107,948 | 593 |
| Panhandle Royalty Co. | 32,100 | 578 |
* | Credo Pete Corp. | 66,075 | 556 |
* | T-3 Energy Services, Inc. | 52,930 | 500 |
* | CVR Energy, Inc. | 120,560 | 482 |
* | Double Eagle Petroleum Co. | 65,228 | 458 |
* | Bolt Technology Corp. | 63,799 | 444 |
* | Parallel Petroleum Corp. | 219,966 | 442 |
*,^ | Verenium Corp. | 495,374 | 436 |
*,^ | SulphCo, Inc. | 449,179 | 422 |
* | OYO Geospace Corp. | 23,929 | 418 |
| Alon USA Energy, Inc. | 43,840 | 401 |
* | Boots & Coots International Well Control, Inc. | 336,332 | 397 |
* | ENGlobal Corp. | 121,631 | 395 |
* | Northern Oil and Gas, Inc. | 143,129 | 372 |
*,^ | Trico Marine Services, Inc. | 82,422 | 368 |
* | Veneco Inc. | 133,512 | 362 |
*,^ | Tri-Valley Corp. | 194,274 | 350 |
* | Syntroleum Corp. | 637,059 | 344 |
* | Union Drilling, Inc. | 65,967 | 342 |
* | Energy Partners, Ltd. | 253,549 | 342 |
* | RAM Energy Resources, Inc. | 367,188 | 323 |
* | Endeavor International Corp. | 638,458 | 319 |
* | Uranium Resources Inc. | 390,490 | 301 |
* | Approach Resources Inc. | 40,900 | 299 |
* | Callon Petroleum Co. | 112,720 | 293 |
*,^ | Ngas Resources Inc. | 166,832 | 274 |
* | Mitcham Industries, Inc. | 68,710 | 273 |
* | Gasco Energy Inc. | 672,029 | 262 |
* | Abraxas Petroleum Corp. | 361,304 | 260 |
* | OMNI Energy Services Corp. | 217,149 | 258 |
* | American Oil & Gas Inc. | 311,932 | 250 |
* | TXCO Resources Inc. | 165,609 | 247 |
* | Royale Energy, Inc. | 75,548 | 212 |
* | Geomet, Inc. | 121,818 | 210 |
* | The Meridian Resource Corp. | 343,302 | 196 |
* | PHI Inc. Non-Voting Shares | 12,172 | 171 |
* | Harken Energy Corp. | 55,145 | 164 |
* | National Coal Corp. | 112,750 | 143 |
| Barnwell Industries, Inc. | 30,666 | 136 |
* | Rex Energy Corp. | 45,995 | 135 |
*,^ | Hyperdynamics Corp. | 291,794 | 131 |
*,^ | Evergreen Energy, Inc. | 415,944 | 121 |
* | Cano Petroleum Inc. | 249,987 | 110 |
Page 11
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Delek US Holdings, Inc. | 19,600 | 104 |
| Houston American Energy Corp. | 30,267 | 102 |
* | Tengasco, Inc. | 152,330 | 94 |
*,^ | Pacific Ethanol, Inc. | 179,860 | 79 |
* | Green Plains Renewable Energy, Inc. | 42,152 | 78 |
* | Aventine Renewable Energy Holdings, Inc. | 100,929 | 66 |
* | Teton Energy Corp. | 64,268 | 63 |
* | Geokinetics Inc. | 19,900 | 49 |
*,^ | Dune Energy, Inc. | 244,700 | 44 |
*,^ | Nova Biosource Fuels, Inc. | 440,344 | 44 |
* | Edge Petroleum Corp. | 213,783 | 34 |
* | Quest Resource Corp. | 19,654 | 9 |
| | | 537,602 |
Financials (20.5%) | | |
| Ventas, Inc. REIT | 782,556 | 26,270 |
| Everest Re Group, Ltd. | 336,450 | 25,617 |
| Health Care Inc. REIT | 564,886 | 23,838 |
| W.R. Berkley Corp. | 759,420 | 23,542 |
| New York Community Bancorp, Inc. | 1,880,944 | 22,496 |
| Fidelity National Financial, Inc. Class A | 1,157,502 | 20,546 |
| Federal Realty Investment Trust REIT | 322,164 | 20,000 |
* | TD Ameritrade Holding Corp. | 1,324,049 | 18,868 |
| Regency Centers Corp. REIT | 382,213 | 17,849 |
* | Reinsurance Group of America, Inc. | 395,585 | 16,939 |
| HCC Insurance Holdings, Inc. | 625,803 | 16,740 |
| BlackRock, Inc. | 122,743 | 16,466 |
| Cullen/Frost Bankers, Inc. | 324,106 | 16,426 |
* | Markel Corp. | 53,973 | 16,138 |
| Commerce Bancshares, Inc. | 360,625 | 15,849 |
| Nationwide Health Properties, Inc. REIT | 541,372 | 15,548 |
| Old Republic International Corp. | 1,260,423 | 15,024 |
| Valley National Bancorp | 736,539 | 14,915 |
| First American Corp. | 508,492 | 14,690 |
| Associated Banc-Corp. | 698,751 | 14,625 |
| Rayonier Inc. REIT | 430,621 | 13,500 |
| Arthur J. Gallagher & Co. | 519,828 | 13,469 |
| Eaton Vance Corp. | 633,826 | 13,317 |
| Brown & Brown, Inc. | 633,646 | 13,243 |
^ | Realty Income Corp. REIT | 566,191 | 13,107 |
| Digital Realty Trust, Inc. REIT | 398,557 | 13,093 |
| White Mountains Insurance Group Inc. | 48,237 | 12,885 |
| Synovus Financial Corp. | 1,535,388 | 12,744 |
| AMB Property Corp. REIT | 537,774 | 12,595 |
*,^ | The St. Joe Co. | 504,996 | 12,281 |
| Liberty Property Trust REIT | 536,237 | 12,242 |
| The Hanover Insurance Group Inc. | 278,945 | 11,986 |
| Bank of Hawaii Corp. | 260,568 | 11,770 |
| SEI Investments Co. | 730,626 | 11,478 |
| Senior Housing Properties Trust REIT | 625,274 | 11,205 |
| Essex Property Trust, Inc. REIT | 145,961 | 11,202 |
| StanCorp Financial Group, Inc. | 267,144 | 11,159 |
| City National Corp. | 220,740 | 10,750 |
| Alexandria Real Estate Equities, Inc. REIT | 176,050 | 10,623 |
| First Niagara Financial Group, Inc. | 647,246 | 10,466 |
| UDR, Inc. REIT | 743,265 | 10,250 |
* | ProAssurance Corp. | 183,064 | 9,662 |
| Highwood Properties, Inc. REIT | 347,354 | 9,504 |
* | Affiliated Managers Group, Inc. | 224,382 | 9,406 |
| American Financial Group, Inc. | 409,822 | 9,377 |
| Jefferies Group, Inc. | 660,109 | 9,281 |
| BancorpSouth, Inc. | 395,274 | 9,234 |
| Fulton Financial Corp. | 957,466 | 9,211 |
| FirstMerit Corp. | 442,948 | 9,120 |
| Camden Property Trust REIT | 290,836 | 9,115 |
| Raymond James Financial, Inc. | 527,429 | 9,035 |
Page 12
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
| Mercury General Corp. | 194,392 | 8,940 |
| Duke Realty Corp. REIT | 804,881 | 8,821 |
| Mack-Cali Realty Corp. REIT | 360,027 | 8,821 |
| Weingarten Realty Investors REIT | 420,886 | 8,708 |
| Douglas Emmett, Inc. REIT | 664,916 | 8,684 |
| Corporate Office Properties Trust, Inc. REIT | 281,634 | 8,646 |
| TCF Financial Corp. | 629,806 | 8,603 |
* | Alleghany Corp. | 29,437 | 8,301 |
| Wilmington Trust Corp. | 371,886 | 8,271 |
| SL Green Realty Corp. REIT | 313,605 | 8,122 |
| Washington REIT | 286,373 | 8,104 |
| Westamerica Bancorporation | 157,980 | 8,081 |
| Popular, Inc. | 1,542,282 | 7,958 |
* | Knight Capital Group, Inc. Class A | 492,303 | 7,951 |
| UMB Financial Corp. | 160,894 | 7,906 |
| BRE Properties Inc. Class A REIT | 279,356 | 7,816 |
| NewAlliance Bancshares, Inc. | 585,321 | 7,709 |
| Hospitality Properties Trust REIT | 513,373 | 7,634 |
| Healthcare Realty Trust Inc. REIT | 323,948 | 7,606 |
| The Macerich Co. REIT | 415,836 | 7,552 |
| Susquehanna Bancshares, Inc. | 470,650 | 7,488 |
| Taubman Co. REIT | 289,514 | 7,371 |
| National Retail Properties REIT | 428,406 | 7,364 |
| Omega Healthcare Investors, Inc. REIT | 455,227 | 7,270 |
| Astoria Financial Corp. | 440,520 | 7,260 |
| Apollo Investment Corp. | 777,595 | 7,239 |
| Waddell & Reed Financial, Inc. | 466,009 | 7,204 |
| Washington Federal Inc. | 481,276 | 7,200 |
| Home Properties, Inc. REIT | 176,324 | 7,159 |
| TFS Financial Corp. | 547,871 | 7,068 |
| Greenhill & Co., Inc. | 99,335 | 6,931 |
| United Bankshares, Inc. | 208,364 | 6,922 |
| Prosperity Bancshares, Inc. | 226,896 | 6,714 |
| Selective Insurance Group | 288,563 | 6,617 |
| Erie Indemnity Co. Class A | 175,362 | 6,599 |
| Old National Bancorp | 362,910 | 6,590 |
| Tanger Factory Outlet Centers, Inc. REIT | 175,105 | 6,587 |
| Odyssey Re Holdings Corp. | 125,885 | 6,522 |
| Zenith National Insurance Corp. | 206,101 | 6,507 |
| Cathay General Bancorp | 273,552 | 6,497 |
| National Penn Bancshares Inc. | 441,923 | 6,412 |
* | Stifel Financial Corp. | 139,446 | 6,394 |
| F.N.B. Corp. | 477,633 | 6,305 |
| First Financial Bankshares, Inc. | 113,986 | 6,293 |
| Glacier Bancorp, Inc. | 330,290 | 6,282 |
| International Bancshares Corp. | 281,079 | 6,136 |
| Kilroy Realty Corp. REIT | 182,959 | 6,122 |
| Transatlantic Holdings, Inc. | 150,642 | 6,035 |
| R.L.I. Corp. | 98,110 | 6,000 |
| Hancock Holding Co. | 131,101 | 5,960 |
| Trustmark Corp. | 269,494 | 5,818 |
| Whitney Holdings Corp. | 363,408 | 5,811 |
| Mid-America Apartment Communities, Inc. REIT | 154,317 | 5,734 |
| Potlatch Corp. REIT | 218,578 | 5,685 |
| East West Bancorp, Inc. | 351,505 | 5,614 |
| Capitol Federal Financial | 122,870 | 5,603 |
| Protective Life Corp. | 386,942 | 5,553 |
* | Signature Bank | 193,379 | 5,548 |
| Entertainment Properties Trust REIT | 182,423 | 5,436 |
* | Investment Technology Group, Inc. | 237,326 | 5,392 |
| MB Financial, Inc. | 192,495 | 5,380 |
| First Midwest Bancorp, Inc. | 269,215 | 5,376 |
* | Conseco, Inc. | 1,021,618 | 5,292 |
| Jones Lang LaSalle Inc. | 190,968 | 5,290 |
| Equity Lifestyle Properties, Inc. REIT | 136,564 | 5,239 |
| BioMed Realty Trust, Inc. REIT | 442,612 | 5,187 |
Page 13
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| BOK Financial Corp. | 127,215 | 5,139 |
| First Commonwealth Financial Corp. | 406,352 | 5,031 |
| NBT Bancorp, Inc. | 178,733 | 4,997 |
| EastGroup Properties, Inc. REIT | 139,115 | 4,950 |
*,^ | AmeriCredit Corp. | 644,819 | 4,926 |
| PrivateBancorp, Inc. | 151,614 | 4,921 |
| Extra Space Storage Inc. REIT | 472,707 | 4,878 |
| DCT Industrial Trust Inc. REIT | 960,727 | 4,861 |
| Franklin Street Properties Corp. REIT | 328,360 | 4,843 |
| Umpqua Holdings Corp. | 332,926 | 4,817 |
| American Campus Communities, Inc. REIT | 233,976 | 4,792 |
* | SVB Financial Group | 181,072 | 4,750 |
| First BanCorp Puerto Rico | 420,733 | 4,687 |
| S & T Bancorp, Inc. | 129,824 | 4,609 |
| Fannie Mae | 5,950,285 | 4,522 |
| Provident Financial Services Inc. | 292,954 | 4,482 |
| Employers Holdings, Inc. | 270,350 | 4,461 |
| First Citizens BancShares Class A | 28,944 | 4,423 |
| Cash America International Inc. | 160,511 | 4,390 |
| Sovran Self Storage, Inc. REIT | 121,908 | 4,389 |
| CVB Financial Corp. | 368,562 | 4,386 |
| Unitrin, Inc. | 274,040 | 4,368 |
| Community Bank System, Inc. | 178,611 | 4,356 |
| Pacific Capital Bancorp | 256,841 | 4,335 |
| HRPT Properties Trust REIT | 1,264,904 | 4,263 |
| UCBH Holdings, Inc. | 613,419 | 4,220 |
| Delphi Financial Group, Inc. | 228,649 | 4,216 |
| Inland Real Estate Corp. REIT | 319,498 | 4,147 |
| Post Properties, Inc. REIT | 245,480 | 4,050 |
* | Navigators Group, Inc. | 73,456 | 4,033 |
* | Interactive Brokers Group, Inc. | 224,613 | 4,018 |
| Webster Financial Corp. | 291,578 | 4,018 |
| WesBanco, Inc. | 147,440 | 4,012 |
| Park National Corp. | 55,801 | 4,004 |
| TrustCo Bank NY | 419,998 | 3,994 |
* | Pinnacle Financial Partners, Inc. | 131,668 | 3,925 |
| United Fire & Casualty Co. | 125,041 | 3,885 |
* | PHH Corp. | 301,000 | 3,832 |
| Infinity Property & Casualty Corp. | 81,229 | 3,796 |
| Brandywine Realty Trust REIT | 489,663 | 3,775 |
*,^ | KBW Inc. | 163,060 | 3,750 |
| Chemical Financial Corp. | 132,700 | 3,700 |
| PS Business Parks, Inc. REIT | 82,740 | 3,695 |
| National Health Investors REIT | 133,752 | 3,669 |
| PacWest Bancorp | 135,680 | 3,650 |
* | EZCORP, Inc. | 229,609 | 3,492 |
* | Investors Bancorp, Inc. | 259,815 | 3,489 |
| Investors Real Estate Trust REIT | 323,910 | 3,469 |
| IBERIABANK Corp. | 71,938 | 3,453 |
| Harleysville National Corp. | 239,060 | 3,452 |
| Safety Insurance Group, Inc. | 90,603 | 3,448 |
| Brookline Bancorp, Inc. | 323,275 | 3,443 |
| Ares Capital Corp. | 537,851 | 3,405 |
| Cousins Properties, Inc. REIT | 241,632 | 3,347 |
* | Piper Jaffray Cos., Inc. | 84,032 | 3,341 |
| Financial Federal Corp. | 142,063 | 3,306 |
^ | Equity One, Inc. REIT | 180,575 | 3,196 |
| Tower Group, Inc. | 112,591 | 3,176 |
| optionsXpress Holdings Inc. | 235,773 | 3,150 |
| City Holding Co. | 89,681 | 3,119 |
| Bank Mutual Corp. | 267,803 | 3,090 |
^ | United Community Banks, Inc. | 225,965 | 3,069 |
| Community Trust Bancorp Inc. | 83,453 | 3,067 |
| Alexander’s, Inc. REIT | 11,313 | 2,884 |
| SWS Group, Inc. | 152,115 | 2,883 |
*,^ | Portfolio Recovery Associates, Inc. | 85,048 | 2,878 |
Page 14
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Forest City Enterprise Class A | 413,286 | 2,769 |
* | First Cash Financial Services, Inc. | 142,782 | 2,721 |
| Wintrust Financial Corp. | 131,529 | 2,706 |
| First Financial Corp. (IN) | 65,368 | 2,679 |
^ | Allied Capital Corp. | 989,498 | 2,662 |
| State Auto Financial Corp. | 87,842 | 2,641 |
| American Physicians Capital, Inc. | 54,489 | 2,621 |
^ | Freddie Mac | 3,585,297 | 2,617 |
| LTC Properties, Inc. REIT | 129,029 | 2,617 |
| Harleysville Group, Inc. | 74,912 | 2,602 |
| First Busey Corp. | 141,828 | 2,587 |
| DiamondRock Hospitality Co. REIT | 509,687 | 2,584 |
| Acadia Realty Trust REIT | 179,117 | 2,556 |
| Sterling Financial Corp. | 289,022 | 2,543 |
* | Riskmetrics Group Inc. | 168,865 | 2,514 |
| LaSalle Hotel Properties REIT | 226,088 | 2,498 |
| Univest Corp. of Pennsylvania | 77,688 | 2,497 |
| Sterling Bancshares, Inc. | 406,876 | 2,474 |
| CNA Financial Corp. | 148,945 | 2,449 |
* | Hilltop Holdings Inc. | 249,689 | 2,432 |
| Boston Private Financial Holdings, Inc. | 353,113 | 2,415 |
| Universal Health Realty Income REIT | 73,299 | 2,412 |
| CBL & Associates Properties, Inc. REIT | 369,467 | 2,402 |
| MGIC Investment Corp. | 688,288 | 2,395 |
| Saul Centers, Inc. REIT | 60,544 | 2,391 |
* | PICO Holdings, Inc. | 89,814 | 2,387 |
| Stewart Information Services Corp. | 101,247 | 2,378 |
* | Crawford & Co. Class B | 162,452 | 2,362 |
| Independent Bank Corp. (MA) | 90,093 | 2,357 |
| Simmons First National Corp. | 79,788 | 2,351 |
^ | Colonial BancGroup, Inc. | 1,124,273 | 2,327 |
| Provident New York Bancorp, Inc. | 187,125 | 2,320 |
| BancFirst Corp. | 43,756 | 2,316 |
| Medical Properties Trust Inc. REIT | 366,935 | 2,315 |
* | CNA Surety Corp. | 119,952 | 2,303 |
| S.Y. Bancorp, Inc. | 82,697 | 2,274 |
| Getty Realty Holding Corp. REIT | 107,325 | 2,260 |
| Suffolk Bancorp | 62,788 | 2,256 |
* | Beneficial Mutual Bancorp, Inc. | 200,146 | 2,252 |
| First Merchants Corp. | 101,060 | 2,245 |
| Colonial Properties Trust REIT | 267,064 | 2,225 |
| National Western Life Insurance Co. Class A | 12,980 | 2,196 |
| Kearny Financial Corp. | 171,333 | 2,193 |
| First Financial Bancorp | 176,307 | 2,184 |
| WSFS Financial Corp. | 45,218 | 2,170 |
| First Source Corp. | 91,763 | 2,168 |
| Provident Bankshares Corp. | 223,112 | 2,155 |
* | Amerisafe Inc. | 104,610 | 2,148 |
| Tompkins Trustco, Inc. | 36,963 | 2,142 |
* | FPIC Insurance Group, Inc. | 48,921 | 2,142 |
| Northwest Bancorp, Inc. | 99,675 | 2,131 |
* | Ocwen Financial Corp. | 231,326 | 2,124 |
| StellarOne Corp. | 125,296 | 2,117 |
| Mainsource Financial Group, Inc. | 133,684 | 2,072 |
| American Equity Investment Life Holding Co. | 295,448 | 2,068 |
^ | Ambac Financial Group, Inc. | 1,590,249 | 2,067 |
| Bank of the Ozarks, Inc. | 69,423 | 2,058 |
| Berkshire Hills Bancorp, Inc. | 66,186 | 2,042 |
| Citizens Banking Corp. | 684,747 | 2,041 |
| The Phoenix Cos., Inc. | 622,671 | 2,036 |
*,^ | Citizens, Inc. | 209,896 | 2,036 |
| Meadowbrook Insurance Group, Inc. | 314,434 | 2,025 |
| Horace Mann Educators Corp. | 216,604 | 1,991 |
| Republic Bancorp, Inc. Class A | 73,176 | 1,990 |
| Renasant Corp. | 116,786 | 1,989 |
| Home Bancshares Inc. | 73,771 | 1,988 |
Page 15
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Sandy Spring Bancorp, Inc. | 90,902 | 1,984 |
| SCBT Financial Corp. | 56,746 | 1,958 |
* | Tejon Ranch Co. | 78,768 | 1,949 |
| Dime Community Bancshares | 145,649 | 1,937 |
| Lexington Realty Trust REIT | 386,759 | 1,934 |
| Union Bankshares Corp. | 75,793 | 1,880 |
| First Industrial Realty Trust REIT | 245,243 | 1,852 |
* | eHealth, Inc. | 136,982 | 1,819 |
* | Forestar Real Estate Group, Inc. | 189,763 | 1,807 |
* | World Acceptance Corp. | 90,775 | 1,794 |
| Prospect Energy Corp. | 149,254 | 1,787 |
| Westfield Financial, Inc. | 172,973 | 1,785 |
^ | Capital City Bank Group, Inc. | 64,932 | 1,769 |
| Sunstone Hotel Investors, Inc. REIT | 285,110 | 1,765 |
| The South Financial Group, Inc. | 406,329 | 1,755 |
| First Bancorp (NC) | 93,914 | 1,723 |
| TriCo Bancshares | 68,839 | 1,719 |
| Cedar Shopping Centers, Inc. REIT | 240,397 | 1,702 |
| Sterling Bancorp | 118,747 | 1,666 |
* | LaBranche & Co. Inc. | 341,599 | 1,636 |
| General Growth Properties Inc. REIT | 1,255,177 | 1,619 |
^ | Heartland Financial USA, Inc. | 78,177 | 1,610 |
| TowneBank | 64,452 | 1,598 |
| Central Pacific Financial Co. | 159,019 | 1,597 |
| Nelnet, Inc. | 110,611 | 1,585 |
| Washington Trust Bancorp, Inc. | 79,911 | 1,578 |
| First Community Bancshares, Inc. | 45,032 | 1,570 |
* | Texas Capital Bancshares, Inc. | 116,686 | 1,559 |
| West Bancorporation | 126,934 | 1,555 |
| First Financial Holdings, Inc. | 76,322 | 1,545 |
| National Interstate Corp. | 86,185 | 1,540 |
* | MarketAxess Holdings, Inc. | 188,596 | 1,539 |
| FBL Financial Group, Inc. Class A | 98,815 | 1,527 |
| First Potomac REIT | 163,686 | 1,522 |
* | MSCI, Inc.-Class A Shares | 85,428 | 1,517 |
| Pennsylvania REIT | 203,541 | 1,516 |
| Capital Southwest Corp. | 13,964 | 1,510 |
| Hercules Technology Growth Capital, Inc. | 188,990 | 1,497 |
| Parkway Properties Inc. REIT | 81,557 | 1,468 |
| Flushing Financial Corp. | 121,685 | 1,455 |
| OneBeacon Insurance Group Ltd. | 139,334 | 1,455 |
| Essa Bancorp Inc. | 101,217 | 1,430 |
^ | iStar Financial Inc. REIT | 634,112 | 1,414 |
| Lakeland Bancorp, Inc. | 124,082 | 1,397 |
*,^ | Western Alliance Bancorp | 137,500 | 1,387 |
| Arrow Financial Corp. | 54,116 | 1,360 |
| Sun Communities, Inc. REIT | 95,097 | 1,331 |
| Peoples Bancorp, Inc. | 67,316 | 1,288 |
| First Financial Northwest, Inc. | 137,275 | 1,282 |
| BankFinancial Corp. | 125,373 | 1,278 |
^ | Cascade Bancorp | 189,177 | 1,277 |
| Urstadt Biddle Properties Class A REIT | 79,772 | 1,271 |
| Lakeland Financial Corp. | 52,775 | 1,257 |
| Abington Community Bancorp Inc. | 135,377 | 1,252 |
| Radian Group, Inc. | 339,384 | 1,249 |
*,^ | Guaranty Financial Group, Inc. | 477,720 | 1,247 |
| Student Loan Corp. | 30,097 | 1,234 |
| GFI Group Inc. | 347,540 | 1,230 |
| Southside Bancshares, Inc. | 51,673 | 1,214 |
| Associated Estates Realty Corp. REIT | 132,989 | 1,214 |
| Columbia Banking System, Inc. | 101,412 | 1,210 |
| MVC Capital, Inc. | 110,200 | 1,209 |
| OceanFirst Financial Corp. | 72,726 | 1,207 |
| Baldwin & Lyons, Inc. Class B | 65,929 | 1,199 |
| United Financial Bancorp, Inc. | 77,830 | 1,178 |
| BlackRock Kelso Capital Corp. | 119,336 | 1,177 |
Page 16
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| U-Store-It Trust REIT | 264,379 | 1,176 |
| Financial Institutions, Inc. | 80,582 | 1,156 |
| Mission West Properties Inc. REIT | 150,674 | 1,153 |
| Southwest Bancorp, Inc. | 87,318 | 1,132 |
| German American Bancorp | 97,855 | 1,115 |
| Nara Bancorp, Inc. | 111,770 | 1,099 |
| Presidential Life Corp. | 111,067 | 1,098 |
| Clifton Savings Bancorp, Inc. | 92,302 | 1,095 |
| Donegal Group Inc. Class B | 63,194 | 1,093 |
^ | Frontier Financial Corp. | 248,208 | 1,082 |
*,^ | Avatar Holding, Inc. | 40,585 | 1,076 |
| Amtrust Financial Services Inc. | 92,046 | 1,068 |
* | PMA Capital Corp. Class A | 149,796 | 1,061 |
* | Seabright Insurance Holdings, Inc. | 90,318 | 1,060 |
* | Republic First Bancorp, Inc. | 118,946 | 1,047 |
| Wilshire Bancorp Inc. | 114,579 | 1,040 |
^ | BancTrust Financial Group, Inc. | 70,428 | 1,040 |
* | Pennsylvania Commerce Bancorp, Inc. | 38,832 | 1,035 |
| Cardinal Financial Corp. | 181,919 | 1,035 |
| Gamco Investors Inc. Class A | 37,303 | 1,019 |
^ | Life Partners Holdings | 23,270 | 1,015 |
| Greene County Bancshares | 74,811 | 1,013 |
| Cohen & Steers, Inc. | 91,828 | 1,009 |
| Danvers Bancorp, Inc. | 75,089 | 1,004 |
| Home Federal Bancorp, Inc. | 93,646 | 1,004 |
* | Sun Bancorp, Inc. (NJ) | 131,721 | 987 |
* | TradeStation Group, Inc. | 152,844 | 986 |
* | Dollar Financial Corp. | 95,284 | 981 |
| NGP Capital Resources Co. | 116,077 | 972 |
* | Oritani Financial Corp. | 57,536 | 969 |
| Pacific Continental Corp. | 64,165 | 961 |
* | Guaranty Bancorp | 476,643 | 953 |
^ | Sierra Bancorp | 44,772 | 940 |
| Great Southern Bancorp, Inc. | 81,439 | 932 |
| Diamond Hill Investment Group | 14,004 | 910 |
| ViewPoint Financial Group | 56,704 | 910 |
| Shore Bancshares, Inc. | 37,933 | 910 |
| Westwood Holdings Group, Inc. | 32,026 | 910 |
| Yadkin Valley Bank and Trust Co. | 63,405 | 904 |
| PremierWest Bancorp | 134,517 | 900 |
^ | Enterprise Financial Services Corp. | 58,633 | 894 |
| Northfield Bancorp, Inc. | 78,472 | 883 |
| Citizens & Northern Corp. | 44,647 | 882 |
| Peapack Gladstone Financial Corp. | 33,068 | 881 |
* | Virginia Commerce Bancorp, Inc. | 169,381 | 876 |
| Oriental Financial Group Inc. | 143,768 | 870 |
| Smithtown Bancorp, Inc. | 53,813 | 863 |
| Consolidated-Tomoka Land Co. | 22,273 | 851 |
*,^ | CompuCredit Corp. | 152,706 | 844 |
| Calamos Asset Management, Inc. | 113,949 | 843 |
| Kite Realty Group Trust REIT | 148,318 | 825 |
* | Encore Capital Group, Inc. | 113,440 | 817 |
| Hanmi Financial Corp. | 395,161 | 814 |
| Ameris Bancorp | 68,562 | 812 |
| Evercore Partners Inc. | 64,600 | 807 |
| Kansas City Life Insurance Co. | 18,429 | 799 |
* | First Mercury Financial Corp. | 55,800 | 796 |
| Glimcher Realty Trust REIT | 282,121 | 793 |
| Camden National Corp. | 29,091 | 785 |
| Ashford Hospitality Trust REIT | 675,124 | 776 |
| Gladstone Capital Corp. | 94,739 | 766 |
| Heritage Commerce Corp. | 67,676 | 761 |
^ | Old Second Bancorp, Inc. | 65,295 | 757 |
| United Security Bancshares, Inc. | 39,227 | 747 |
| Monmouth Real Estate Investment Corp. REIT | 106,602 | 746 |
| Banner Corp. | 77,823 | 732 |
Page 17
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| First United Corp. | 53,992 | 728 |
| CoBiz Inc. | 73,762 | 718 |
| Strategic Hotels and Resorts, Inc. REIT | 415,301 | 698 |
*,^ | Doral Financial Corp. | 92,484 | 694 |
| Sanders Morris Harris Group Inc. | 115,735 | 693 |
^ | Seacoast Banking Corp. of Florida | 104,620 | 690 |
* | Broadpoint Securities Group | 230,548 | 685 |
| Amcore Financial, Inc. | 188,819 | 684 |
| Center Bancorp, Inc. | 83,476 | 683 |
| EMC Insurance Group, Inc. | 26,272 | 674 |
| Capitol Bancorp Ltd. | 86,203 | 672 |
| First Bancorp, Inc. | 33,721 | 671 |
* | Penson Worldwide, Inc. | 87,887 | 670 |
| American Bancorp of New Jersey, Inc. | 55,682 | 663 |
| Brooklyn Federal Bancorp | 46,900 | 659 |
| Advance America, Cash Advance Centers, Inc. | 346,795 | 655 |
| Northrim Bancorp Inc. | 63,797 | 655 |
| Farmers Capital Bank Corp. | 26,778 | 654 |
| Heritage Financial Corp. | 53,119 | 651 |
| MetroCorp Bancshares, Inc. | 87,029 | 648 |
| Century Bancorp, Inc. Class A | 41,022 | 646 |
| National Bankshares, Inc. | 32,178 | 625 |
| NYMAGIC, Inc. | 32,639 | 622 |
| United Western Bancorp. Inc. | 65,761 | 616 |
| Hersha Hospitality Trust REIT | 203,607 | 611 |
| Ramco-Gershenson Properties Trust REIT | 98,043 | 606 |
| Center Financial Corp. | 97,399 | 601 |
| Merchants Bancshares, Inc. | 31,813 | 598 |
| West Coast Bancorp | 90,103 | 594 |
| Pacific Mercantile Bancorp | 121,059 | 593 |
| Peoples Bancorp of North Carolina | 64,518 | 592 |
| Bryn Mawr Bank Corp. | 29,177 | 586 |
* | Harris & Harris Group, Inc. | 148,289 | 586 |
* | Thomas Weisel Partners Group, Inc. | 123,619 | 583 |
| Education Realty Trust, Inc. REIT | 110,516 | 577 |
* | Asset Acceptance Capital Corp. | 112,184 | 573 |
| Ameriserv Financial Inc. | 284,315 | 566 |
| American National Bankshares Inc. | 32,544 | 553 |
* | FCStone Group, Inc. | 124,722 | 553 |
| Urstadt Biddle Properties REIT | 38,700 | 551 |
| Gladstone Investment Corp. | 111,413 | 547 |
| State Bancorp, Inc. | 56,068 | 546 |
| MBT Financial Corp. | 178,786 | 543 |
* | Bank of Florida Corp. | 128,499 | 541 |
| Jefferson Bancshares, Inc. | 66,311 | 538 |
| Kohlberg Capital Corp. | 145,731 | 530 |
| MutualFirst Financial Inc. | 78,090 | 527 |
^ | United Security Bancshares (CA) | 45,261 | 524 |
| ESB Financial Corp. | 48,715 | 523 |
| Centerstate Banks of Florida | 30,604 | 520 |
| Highland Distressed Opportunities, Inc. | 241,781 | 520 |
| Agree Realty Corp. REIT | 28,041 | 508 |
* | NewStar Financial, Inc. | 126,229 | 504 |
^ | Macatawa Bank Corp. | 140,976 | 489 |
| Rockville Financial, Inc. | 34,995 | 489 |
| Winthrop Realty Trust | 44,816 | 486 |
| Cogdell Spencer Inc. REIT | 51,830 | 485 |
| Indiana Community Bancorp | 40,231 | 483 |
* | The Bancorp Inc. | 128,713 | 483 |
| Taylor Capital Group, Inc. | 81,892 | 479 |
| Hawthorn Bancshares Inc. | 27,608 | 476 |
| Ames National Corp. | 17,816 | 473 |
| North Valley Bancorp | 125,837 | 471 |
* | Meridian Interstate Bancorp, Inc. | 50,570 | 468 |
| BGC Partners, Inc. | 169,482 | 468 |
| TF Financial Corp. | 24,189 | 467 |
Page 18
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Medallion Financial Corp. | 60,450 | 461 |
^ | First South Bancorp, Inc. | 36,419 | 457 |
| American Physicians Service Group, Inc. | 20,991 | 452 |
| TierOne Corp. | 120,395 | 451 |
| Timberland Bancorp, Inc. | 60,218 | 449 |
| American Land Lease, Inc. REIT | 32,411 | 448 |
| Citizens South Banking Corp. | 73,822 | 442 |
* | FBR Capital Markets Corp. | 90,970 | 442 |
* | Rewards Network Inc. | 169,838 | 440 |
| Wainwright Bank & Trust Co. | 74,238 | 436 |
| U.S. Global Investors, Inc. Class A | 89,030 | 435 |
^ | One Liberty Properties, Inc. REIT | 49,099 | 432 |
*,^ | Community Bancorp | 123,810 | 430 |
| PMC Commercial Trust REIT | 57,454 | 428 |
| PennantPark Investment Corp. | 117,919 | 426 |
| NASB Financial Inc. | 15,692 | 424 |
| TIB Financial Corp. | 96,967 | 422 |
^ | Pzena Investment Management Class A | 95,600 | 403 |
^ | Columbia Bancorp (OR) | 200,096 | 402 |
* | Meruelo Maddux Properties Inc. | 322,732 | 400 |
| The PMI Group Inc. | 204,945 | 400 |
* | Superior Bancorp | 125,618 | 398 |
| Bancorp Rhode Island Inc. | 18,728 | 397 |
| CapLease, Inc. REIT | 226,895 | 393 |
| DuPont Fabros Technology Inc. | 189,340 | 392 |
^ | Corus Bankshares Inc. | 347,814 | 386 |
| First of Long Island Corp. | 16,098 | 382 |
| Bank of Granite Corp. | 154,728 | 379 |
| Epoch Holding Corp. | 48,911 | 371 |
| MCG Capital Corp. | 520,679 | 370 |
| Patriot Capital Funding Inc. | 101,502 | 369 |
| City Bank Lynnwood (WA) | 70,857 | 368 |
* | Southcoast Financial Corp | 87,760 | 367 |
| Bank of Marin Bancorp | 15,494 | 366 |
| Community Capital Corp. | 50,304 | 365 |
| Pulaski Financial Corp. | 54,498 | 365 |
| First State Bancorporation | 219,611 | 362 |
| NewBridge Bancorp. | 152,219 | 362 |
| First Security Group Inc. | 78,371 | 362 |
| Penns Woods Bancorp, Inc. | 15,659 | 361 |
| American River Bankshares | 35,795 | 360 |
| Cascade Financial Corp. | 66,376 | 360 |
| Parkvale Financial Corp. | 28,538 | 354 |
* | Waterstone Financial, Inc. | 104,481 | 350 |
| BankAtlantic Bancorp, Inc. Class A | 59,649 | 346 |
| First Place Financial Corp. | 89,725 | 344 |
| Capital Bank Corp. | 55,893 | 343 |
^ | K-Fed Bancorp | 51,186 | 333 |
* | First Acceptance Corp. | 114,698 | 333 |
* | Irwin Financial Corp. | 255,585 | 330 |
^ | Colony Bankcorp, Inc. | 41,077 | 329 |
| Independent Bank Corp. (MI) | 151,389 | 327 |
| Anchor Bancorp Wisconsin Inc. | 118,157 | 326 |
| Summit Financial Group, Inc. | 36,010 | 324 |
* | First Regional Bancorp | 99,866 | 324 |
| National Financial Partners Corp. | 105,462 | 321 |
| FelCor Lodging Trust, Inc. REIT | 171,973 | 316 |
| TICC Capital Corp. | 83,134 | 316 |
* | United PanAm Financial Corp. | 196,431 | 314 |
| Provident Financial Holdings, Inc. | 69,499 | 314 |
| Maguire Properties, Inc. REIT | 211,792 | 309 |
| Meta Financial Group, Inc. | 34,070 | 307 |
* | EuroBancshares, Inc. | 187,480 | 302 |
| Horizon Financial Corp. | 63,321 | 300 |
| Legacy Bancorp, Inc. | 28,235 | 298 |
| WSB Holdings, Inc. | 100,139 | 298 |
Page 19
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
| MicroFinancial Inc. | 147,515 | 298 |
*,^ | Credit Acceptance Corp. | 21,647 | 297 |
| Roma Financial Corp. | 23,368 | 294 |
* | Market Leader, Inc. | 172,707 | 294 |
| Southern Community Financial Corp. | 82,078 | 290 |
* | Stratus Properties Inc. | 22,695 | 283 |
* | Bridge Capital Holdings | 74,364 | 283 |
*,^ | The First Marblehead Corp. | 215,654 | 278 |
| Alliance Financial Corp. | 11,674 | 277 |
* | Reis, Inc. | 54,774 | 274 |
| Gramercy Capital Corp. REIT | 212,236 | 272 |
| Ocean Shore Holding Co. | 39,472 | 270 |
| Camco Financial Corp. | 84,751 | 269 |
| Centrue Financial Corp. | 43,499 | 268 |
* | Fox Chase Bancorp Inc. | 24,234 | 267 |
| Citizens First Bancorp, Inc. | 126,696 | 266 |
*,^ | Maui Land & Pineapple Co., Inc. | 19,374 | 260 |
* | Central Jersy Bancorp | 40,575 | 258 |
| Thomas Properties Group, Inc. | 97,826 | 253 |
| Princeton National Bancorp, Inc. | 10,984 | 252 |
| Prudential Bancorp, Inc. of Pennsylvania | 24,588 | 252 |
| Mercer Insurance Group, Inc. | 19,856 | 251 |
* | Flagstar Bancorp, Inc. | 348,898 | 248 |
* | HFF Inc. Class A | 99,764 | 244 |
| Preferred Bank | 40,712 | 244 |
| Cadence Financial Corp. | 52,358 | 244 |
| Supertel Hospitality, Inc. REIT | 143,228 | 243 |
* | Specialty Underwriters’ Alliance, Inc. | 92,294 | 243 |
| CFS Bancorp, Inc. | 62,058 | 242 |
^ | ASTA Funding, Inc. | 87,493 | 238 |
| 21st Century Holding Co. | 51,331 | 238 |
| Bridge Bancorp, Inc. | 12,618 | 233 |
| Eastern Insurance Holdings, Inc. | 29,046 | 233 |
| Donegal Group Inc. Class A | 13,755 | 231 |
*,^ | Ladenburg Thalmann Financial Services, Inc. | 317,521 | 229 |
| PAB Bankshares, Inc. | 51,604 | 227 |
| Kayne Anderson Energy Development Co. | 30,122 | 226 |
*,^ | First Federal Financial Corp. | 123,771 | 217 |
| Firstbank Corp. | 25,522 | 214 |
| Federal Agricultural Mortgage Corp. Class C | 61,120 | 214 |
*,^ | International Assets Holding Corp. | 24,922 | 214 |
| FNB Corp. (NC) | 67,977 | 213 |
| QC Holdings Inc. | 56,099 | 213 |
| Cooperative Bankshares, Inc. | 94,371 | 212 |
| Gateway Financial Holdings, Inc. | 43,410 | 211 |
| Fidelity Southern Corp. | 58,065 | 210 |
| United Community Financial Corp. | 227,102 | 204 |
* | ZipRealty, Inc. | 75,182 | 199 |
* | Cape Bancorp, Inc. | 21,402 | 196 |
* | Benjamin Franklin Bancorp, Inc. | 13,100 | 195 |
^ | W Holding Co., Inc. | 18,777 | 193 |
| Atlantic Coast Federal Corp. | 48,558 | 189 |
* | Dearborn Bancorp, Inc. | 113,719 | 189 |
| Pamrapo Bancorp, Inc. | 24,648 | 186 |
| Mercantile Bank Corp. | 42,927 | 185 |
| UMH Properties, Inc. REIT | 30,906 | 184 |
^ | Hampton Roads Bankshares, Inc. | 21,022 | 182 |
| Washington Banking Co. | 20,432 | 178 |
| Gladstone Commercial Corp. REIT | 20,310 | 173 |
^ | Eagle Bancorp, Inc. | 29,973 | 172 |
* | Cowen Group, Inc. | 27,374 | 171 |
| Integra Bank Corp. | 124,010 | 170 |
| Advanta Corp. Class B | 80,936 | 169 |
^ | Midwest Banc Holdings, Inc. | 115,335 | 161 |
* | Encore Bancshares, Inc. | 14,644 | 161 |
| HMN Financial, Inc. | 36,082 | 151 |
Page 20
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Louisiana Bancorp, Inc. | 11,626 | 149 |
| Guaranty Federal Bancshares, Inc. | 27,970 | 149 |
| Middleburg Financial Corp. | 10,188 | 143 |
^ | Security Bank Corp. | 131,884 | 141 |
| Grubb & Ellis Co. | 113,800 | 141 |
| Nationwide Financial Services, Inc. | 2,669 | 139 |
| VIST Financial Corp. | 17,945 | 139 |
| Advanta Corp. Class A | 116,032 | 135 |
* | Tree.com, Inc. | 51,045 | 133 |
| First Defiance Financial Corp. | 16,050 | 124 |
| BRT Realty Trust REIT | 33,405 | 124 |
| Intervest Bancshares Corp. | 30,839 | 123 |
* | Marlin Business Services Inc. | 46,117 | 122 |
| Royal Bancshares of Pennsylvania, Inc. | 36,445 | 121 |
^ | Mercantile Bancorp, Inc | 11,050 | 117 |
* | FirstCity Financial Corp. | 58,877 | 117 |
| Heritage Financial Group | 12,943 | 116 |
* | Wilshire Enterprises, Inc. | 109,616 | 109 |
| Universal Insurance Holdings, INC. | 43,936 | 107 |
| Independence Holding Co. | 29,549 | 107 |
| Northern States Financial Corp. | 26,846 | 105 |
* | Nicholas Financial Inc. | 43,600 | 102 |
| Beverly Hills Bancorp Inc. | 287,246 | 101 |
| Hampden Bancorp Inc. | 10,600 | 97 |
* | Home Bancorp, Inc. | 8,600 | 84 |
| Commonwealth Bankshares, Inc. | 11,013 | 79 |
| Riverview Bancorp Inc. | 34,604 | 78 |
| Presidential Realty Corp. REIT | 46,000 | 74 |
| Fifth Street Finance Corp. | 9,400 | 71 |
| Old Point Financial Corp. | 3,300 | 63 |
| Citizens Holding Co | 2,785 | 58 |
| Tortoise Capital Resources Corp. | 12,975 | 58 |
| Main Street Capital Corp. | 5,759 | 56 |
| Rainier Pacific Financial Group Inc. | 37,527 | 53 |
| Investors Capital Holdings, Ltd. | 26,100 | 52 |
| First Citizens Banc Corp. | 8,600 | 52 |
* | Friedman, Billings, Ramsey Group, Inc. REIT | 300,818 | 51 |
*,^ | Triad Guaranty, Inc. | 105,541 | 40 |
| Federal Agricultural Mortgage Corp. Class A | 12,788 | 37 |
* | Consumer Portfolio Services, Inc. | 87,963 | 35 |
* | Sun American Bancorp | 91,047 | 34 |
| Triangle Capital Corp. | 3,310 | 33 |
| Peoples Financial Corp. | 1,735 | 31 |
* | Cardtronics Inc. | 23,755 | 31 |
* | American Community Bancshares | 2,702 | 28 |
| JMP Group, Inc. | 4,300 | 24 |
* | MidWestOne Financial Group Inc. | 2,400 | 24 |
* | Bar Harbor Bankshares | 879 | 23 |
* | FX Real Estate and Entertainment Inc. | 111,517 | 17 |
| Investors Title Co. | 400 | 15 |
^ | Vineyard National Bancorp Co. | 71,714 | 11 |
* | AMV Liquidating Trust | 94,702 | 11 |
^ | Temecula Valley Bancorp, Inc. | 8,273 | 8 |
* | Peoples Community Bancorp | 28,820 | 6 |
^ | BankUnited Financial Corp. | 29,861 | 5 |
* | Community Bankers Trust Corp. | 1,600 | 5 |
* | Malan Realty Investors, Inc. REIT | 49,200 | 1 |
| Imperial Capital Bancorp Inc. | 150 | — |
| | | 1,832,930 |
Health Care (14.3%) | | |
* | Genentech, Inc. | 2,530,460 | 209,800 |
* | Vertex Pharmaceuticals, Inc. | 821,225 | 24,949 |
| Pharmaceutical Product Development, Inc. | 647,165 | 18,774 |
* | Hologic, Inc. | 1,401,916 | 18,323 |
* | Henry Schein, Inc. | 489,041 | 17,943 |
Page 21
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Illumina, Inc. | 675,662 | 17,601 |
* | Endo Pharmaceuticals Holdings, Inc. | 655,114 | 16,954 |
* | Myriad Genetics, Inc. | 254,224 | 16,845 |
* | Edwards Lifesciences Corp. | 305,748 | 16,801 |
* | Covance, Inc. | 345,455 | 15,901 |
| Omnicare, Inc. | 568,683 | 15,787 |
* | ResMed Inc. | 413,008 | 15,480 |
* | Alexion Pharmaceuticals, Inc. | 425,465 | 15,398 |
| Beckman Coulter, Inc. | 341,768 | 15,017 |
* | Cerner Corp. | 372,392 | 14,318 |
| Perrigo Co. | 424,175 | 13,705 |
| Techne Corp. | 211,676 | 13,657 |
* | Gen-Probe Inc. | 296,387 | 12,697 |
* | OSI Pharmaceuticals, Inc. | 314,697 | 12,289 |
* | IDEXX Laboratories, Inc. | 326,004 | 11,762 |
* | Lincare Holdings, Inc. | 406,093 | 10,936 |
| Teleflex Inc. | 217,042 | 10,874 |
*,^ | Valeant Pharmaceuticals International | 463,896 | 10,623 |
* | Onyx Pharmaceuticals, Inc. | 308,557 | 10,540 |
| Universal Health Services Class B | 277,587 | 10,429 |
* | Immucor Inc. | 385,169 | 10,238 |
* | Thoratec Corp. | 307,211 | 9,981 |
* | BioMarin Pharmaceutical Inc. | 546,161 | 9,722 |
* | Charles River Laboratories, Inc. | 370,741 | 9,713 |
* | VCA Antech, Inc. | 463,885 | 9,222 |
* | Magellan Health Services, Inc. | 221,132 | 8,660 |
* | AMERIGROUP Corp. | 289,143 | 8,536 |
| Owens & Minor, Inc. | 226,175 | 8,516 |
* | Psychiatric Solutions, Inc. | 305,431 | 8,506 |
* | Inverness Medical Innovations, Inc. | 427,537 | 8,085 |
* | United Therapeutics Corp. | 126,571 | 7,917 |
* | Pediatrix Medical Group, Inc. | 249,537 | 7,910 |
* | Bio-Rad Laboratories, Inc. Class A | 104,620 | 7,879 |
* | Haemonetics Corp. | 138,413 | 7,820 |
* | Masimo Corp. | 261,982 | 7,815 |
| STERIS Corp. | 321,824 | 7,688 |
* | Cubist Pharmaceuticals, Inc. | 314,371 | 7,595 |
* | Community Health Systems, Inc. | 516,433 | 7,530 |
* | Isis Pharmaceuticals, Inc. | 530,543 | 7,523 |
* | Amylin Pharmaceuticals, Inc. | 646,525 | 7,015 |
* | Nuvasive, Inc. | 198,922 | 6,893 |
| West Pharmaceutical Services, Inc. | 180,668 | 6,824 |
* | LifePoint Hospitals, Inc. | 293,986 | 6,715 |
* | Sequenom, Inc. | 333,006 | 6,607 |
* | Sepracor Inc. | 601,552 | 6,605 |
* | PSS World Medical, Inc. | 339,181 | 6,383 |
* | Health Net Inc. | 586,107 | 6,383 |
* | Regeneron Pharmaceuticals, Inc. | 347,153 | 6,374 |
*,^ | Amedisys Inc. | 148,750 | 6,149 |
* | Kinetic Concepts, Inc. | 307,075 | 5,890 |
* | Auxilium Pharmaceuticals, Inc. | 206,235 | 5,865 |
* | HLTH Corp. | 557,665 | 5,833 |
| Mentor Corp. | 186,922 | 5,782 |
| Hill-Rom Holdings, Inc. | 345,240 | 5,683 |
| Meridian Bioscience Inc. | 222,712 | 5,672 |
* | ViroPharma Inc. | 432,013 | 5,625 |
* | Alkermes, Inc. | 526,351 | 5,606 |
| Martek Biosciences Corp. | 183,178 | 5,552 |
* | Healthspring, Inc. | 275,086 | 5,493 |
* | HealthSouth Corp. | 486,660 | 5,334 |
* | Varian, Inc. | 158,826 | 5,322 |
* | Catalyst Health Solutions, Inc. | 210,895 | 5,135 |
* | Celera Corp. | 444,131 | 4,943 |
*,^ | Alnylam Pharmaceuticals Inc. | 198,843 | 4,917 |
| Chemed Corp. | 123,283 | 4,903 |
* | Luminex Corp. | 227,114 | 4,851 |
Page 22
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Gentiva Health Services, Inc. | 159,084 | 4,655 |
* | Centene Corp. | 235,504 | 4,642 |
* | Dionex Corp. | 100,134 | 4,491 |
* | HMS Holdings Corp. | 139,483 | 4,397 |
| Medicis Pharmaceutical Corp. | 314,482 | 4,371 |
* | AthenaHealth Inc. | 116,185 | 4,371 |
* | Eclipsys Corp. | 302,207 | 4,288 |
* | Wright Medical Group, Inc. | 209,496 | 4,280 |
* | Acorda Therapeutics Inc. | 207,927 | 4,265 |
* | The Medicines Co. | 288,968 | 4,257 |
| Cooper Cos., Inc. | 249,539 | 4,092 |
* | AmSurg Corp. | 175,198 | 4,089 |
* | Medarex, Inc. | 709,612 | 3,960 |
| Datascope Corp. | 74,044 | 3,868 |
* | Integra LifeSciences Holdings | 108,345 | 3,854 |
* | CONMED Corp. | 160,067 | 3,832 |
| Landauer, Inc. | 51,697 | 3,789 |
* | American Medical Systems Holdings, Inc. | 405,713 | 3,647 |
* | Theravance, Inc. | 290,265 | 3,596 |
* | Xenoport Inc. | 139,768 | 3,505 |
* | AMAG Pharmaceuticals, Inc. | 94,269 | 3,380 |
* | Greatbatch, Inc. | 126,814 | 3,356 |
* | Questcor Pharmaceuticals, Inc. | 357,958 | 3,333 |
* | Cepheid, Inc. | 319,459 | 3,316 |
* | Align Technology, Inc. | 374,063 | 3,273 |
| Allscripts Healthcare Solutions, Inc. | 326,981 | 3,244 |
* | Volcano Corp. | 213,207 | 3,198 |
* | CV Therapeutics, Inc. | 337,833 | 3,111 |
* | Seattle Genetics, Inc. | 336,663 | 3,010 |
* | Phase Forward Inc. | 238,364 | 2,984 |
* | WellCare Health Plans Inc. | 231,557 | 2,978 |
* | PAREXEL International Corp. | 305,801 | 2,969 |
* | LHC Group Inc. | 82,212 | 2,960 |
* | Exelixis, Inc. | 585,041 | 2,937 |
* | Nektar Therapeutics | 513,345 | 2,854 |
* | ABIOMED, Inc. | 170,870 | 2,806 |
| National Healthcare Corp. | 55,287 | 2,800 |
* | Merit Medical Systems, Inc. | 154,931 | 2,778 |
| Invacare Corp. | 178,412 | 2,769 |
* | PharMerica Corp. | 169,172 | 2,651 |
* | Par Pharmaceutical Cos. Inc. | 191,832 | 2,572 |
* | Conceptus, Inc. | 168,624 | 2,566 |
*,^ | Abraxis BioScience | 37,794 | 2,491 |
* | Health Management Associates Class A | 1,355,168 | 2,426 |
*,^ | Dendreon Corp. | 526,358 | 2,411 |
* | ev3 Inc. | 394,878 | 2,409 |
* | Salix Pharmaceuticals, Ltd. | 270,548 | 2,389 |
* | ICU Medical, Inc. | 70,349 | 2,331 |
* | Universal American Corp. | 262,051 | 2,311 |
* | Cougar Biotechnology Inc. | 86,458 | 2,248 |
* | Omnicell, Inc. | 181,379 | 2,215 |
* | Zoll Medical Corp. | 116,747 | 2,205 |
* | Halozyme Therapeutics Inc. | 393,670 | 2,205 |
* | Kindred Healthcare, Inc. | 166,481 | 2,168 |
* | Res-Care, Inc. | 142,657 | 2,143 |
* | Healthways, Inc. | 186,025 | 2,136 |
* | Cyberonics, Inc. | 128,874 | 2,135 |
* | Sun Healthcare Group Inc. | 241,195 | 2,135 |
*,^ | SurModics, Inc. | 84,240 | 2,129 |
* | inVentiv Health, Inc. | 183,975 | 2,123 |
* | Hanger Orthopedic Group, Inc. | 142,674 | 2,070 |
*,^ | Medivation Inc. | 141,602 | 2,063 |
* | Quidel Corp. | 156,957 | 2,051 |
* | Vivus, Inc. | 385,318 | 2,050 |
*,^ | Geron Corp. | 438,423 | 2,047 |
* | Incyte Corp. | 534,572 | 2,026 |
Page 23
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
| Analogic Corp. | 74,166 | 2,023 |
* | Almost Family Inc. | 44,894 | 2,019 |
* | Neogen Corp. | 80,734 | 2,017 |
* | Natus Medical Inc. | 154,650 | 2,003 |
* | Emergent BioSolutions Inc. | 76,030 | 1,985 |
* | Abaxis, Inc. | 121,197 | 1,943 |
* | Emergency Medical Services LP Class A | 53,046 | 1,942 |
* | Advanced Medical Optics, Inc. | 290,500 | 1,920 |
* | Maxygen Inc. | 213,656 | 1,906 |
* | Kendle International Inc. | 73,608 | 1,893 |
*,^ | Osiris Therapeutics, Inc. | 97,221 | 1,863 |
* | Odyssey Healthcare, Inc. | 201,229 | 1,861 |
* | Ligand Pharmaceuticals Inc. Class B | 674,718 | 1,849 |
* | MWI Veterinary Supply Inc. | 66,975 | 1,806 |
* | NPS Pharmaceuticals Inc. | 290,313 | 1,803 |
* | SonoSite, Inc. | 94,034 | 1,794 |
* | Genoptix, Inc. | 52,196 | 1,779 |
* | Noven Pharmaceuticals, Inc. | 161,559 | 1,777 |
*,^ | GTx, Inc. | 104,580 | 1,761 |
* | CryoLife Inc. | 180,960 | 1,757 |
* | Arena Pharmaceuticals, Inc. | 413,457 | 1,724 |
* | Allos Therapeutics Inc. | 277,118 | 1,696 |
* | Human Genome Sciences, Inc. | 798,053 | 1,692 |
* | eResearch Technology, Inc. | 253,883 | 1,683 |
* | Durect Corp. | 492,807 | 1,671 |
* | RehabCare Group, Inc. | 109,210 | 1,656 |
* | Momenta Pharmaceuticals, Inc. | 141,228 | 1,638 |
* | Bio-Reference Laboratories, Inc. | 62,055 | 1,628 |
* | Rigel Pharmaceuticals, Inc. | 199,794 | 1,598 |
*,^ | InterMune Inc. | 150,494 | 1,592 |
* | IRIS International, Inc. | 114,107 | 1,591 |
* | Symmetry Medical Inc. | 198,359 | 1,581 |
* | AMN Healthcare Services, Inc. | 185,728 | 1,571 |
* | Dyax Corp. | 430,897 | 1,568 |
* | Optimer Pharmaceuticals Inc. | 128,687 | 1,558 |
* | Cypress Bioscience, Inc. | 227,510 | 1,556 |
*,^ | Enzon Pharmaceuticals, Inc. | 264,949 | 1,545 |
* | Kensey Nash Corp. | 79,102 | 1,535 |
* | Savient Pharmaceuticals Inc. | 263,535 | 1,526 |
* | Emeritus Corp. | 152,088 | 1,525 |
| PDL BioPharma Inc. | 240,967 | 1,489 |
* | Orthovita, Inc. | 438,940 | 1,488 |
* | Cross Country Healthcare, Inc. | 166,525 | 1,464 |
* | AngioDynamics, Inc. | 106,809 | 1,462 |
* | VNUS Medical Technologies, Inc. | 89,913 | 1,458 |
* | Molina Healthcare Inc. | 82,121 | 1,446 |
* | Albany Molecular Research, Inc. | 144,592 | 1,408 |
* | Assisted Living Concepts Inc. | 328,158 | 1,362 |
* | CorVel Corp. | 61,941 | 1,361 |
* | Inspire Pharmaceuticals, Inc. | 374,713 | 1,349 |
* | US Physical Therapy, Inc. | 97,278 | 1,297 |
* | Nabi Biopharmaceuticals | 378,640 | 1,268 |
* | OraSure Technologies, Inc. | 341,660 | 1,257 |
* | Facet Biotech Corp. | 130,647 | 1,253 |
| Computer Programs and Systems, Inc. | 46,525 | 1,247 |
* | Idenix Pharmaceuticals Inc. | 213,259 | 1,235 |
* | Progenics Pharmaceuticals, Inc. | 114,538 | 1,181 |
* | Indevus Pharmaceuticals, Inc. | 376,072 | 1,181 |
* | Palomar Medical Technologies, Inc. | 101,761 | 1,173 |
* | ImmunoGen, Inc. | 266,824 | 1,145 |
* | Accuray Inc. | 221,178 | 1,141 |
* | Medical Action Industries Inc. | 113,398 | 1,134 |
* | Genomic Health, Inc. | 57,826 | 1,126 |
* | Bruker BioSciences Corp. | 275,716 | 1,114 |
* | Vital Images, Inc. | 80,068 | 1,114 |
*,^ | MannKind Corp. | 307,314 | 1,054 |
Page 24
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Cantel Medical Corp. | 71,350 | 1,047 |
*,^ | Repros Therapeutics, Inc. | 98,599 | 1,037 |
*,^ | Idera Pharmaceuticals, Inc. | 130,910 | 1,005 |
* | Skilled Healthcare Group Inc. | 115,274 | 973 |
* | Immunomedics Inc. | 570,898 | 971 |
*,^ | SIGA Technologies, Inc. | 292,157 | 955 |
*,^ | Stereotaxis Inc. | 214,178 | 942 |
* | Matrixx Initiatives, Inc. | 57,058 | 941 |
* | Array BioPharma Inc. | 230,862 | 935 |
* | Accelrys Inc. | 214,114 | 934 |
* | Synovis Life Technologies, Inc. | 48,300 | 905 |
*,^ | Metabolix Inc. | 69,743 | 887 |
* | Air Methods Corp. | 54,486 | 871 |
* | Somanetics Corp. | 52,042 | 859 |
* | Repligen Corp. | 226,701 | 857 |
* | ArQule, Inc. | 202,912 | 856 |
*,^ | AspenBio Pharma, Inc. | 138,637 | 855 |
* | Chindex International, Inc. | 105,951 | 842 |
* | Affymetrix, Inc. | 279,669 | 836 |
* | MedCath Corp. | 79,645 | 832 |
| Brookdale Senior Living Inc. | 147,255 | 822 |
* | Micrus Endovascular Corp. | 70,723 | 821 |
* | ATS Medical, Inc. | 294,520 | 819 |
* | RTI Biologics, Inc. | 291,218 | 804 |
* | Pain Therapeutics, Inc. | 135,662 | 803 |
* | Cardiac Science Corp. | 106,774 | 801 |
* | Alliance Imaging, Inc. | 99,471 | 793 |
*,^ | Pozen Inc. | 155,438 | 783 |
* | Vascular Solutions, Inc. | 86,337 | 779 |
* | CardioNet, Inc. | 30,359 | 748 |
*,^ | Discovery Laboratories, Inc. | 655,838 | 735 |
* | America Service Group Inc. | 68,352 | 731 |
* | Cambrex Corp. | 156,933 | 725 |
* | I-Flow Corp. | 149,178 | 716 |
* | StemCells, Inc. | 523,979 | 713 |
* | Dexcom Inc. | 256,565 | 708 |
* | ArthroCare Corp. | 147,551 | 704 |
*,^ | Hansen Medical Inc. | 97,300 | 703 |
* | Amicas, Inc. | 420,581 | 702 |
*,^ | Sangamo BioSciences, Inc. | 201,221 | 700 |
* | Enzo Biochem, Inc. | 143,025 | 699 |
* | Adolor Corp. | 416,531 | 691 |
* | Cytokinetics, Inc. | 242,473 | 691 |
* | TomoTherapy, Inc. | 284,599 | 677 |
*,^ | Clarient, Inc. | 413,732 | 674 |
* | Insulet Corp. | 87,347 | 674 |
* | Rochester Medical Corp. | 42,755 | 658 |
*,^ | Micromet, Inc. | 150,580 | 657 |
*,^ | Opko Health, Inc. | 399,656 | 647 |
* | MedAssets, Inc. | 44,055 | 643 |
*,^ | Akorn, Inc. | 277,295 | 638 |
*,^ | Molecular Insight Pharmaceuticals, Inc. | 146,468 | 630 |
*,^ | Zymogenetics, Inc. | 207,775 | 623 |
* | Spectranetics Corp. | 238,603 | 623 |
* | XOMA Ltd. | 981,678 | 609 |
* | Lexicon Pharmaceuticals Inc. | 427,939 | 599 |
* | STAAR Surgical Co. | 250,510 | 596 |
* | Biomimetic Therapeutics, Inc. | 64,418 | 594 |
* | Bovie Medical Corp. | 93,760 | 580 |
* | K-V Pharmaceutical Co. Class A | 201,025 | 579 |
* | Harvard Bioscience, Inc. | 216,667 | 574 |
*,^ | CombiMatrix Corp. | 81,449 | 566 |
* | Genelabs Technologies, Inc. | 436,806 | 563 |
*,^ | MiddleBrook Pharmaceuticals Inc. | 373,694 | 561 |
*,^ | Novamed, Inc. | 161,512 | 559 |
* | Columbia Laboratories Inc. | 438,089 | 556 |
Page 25
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Allion Healthcare Inc. | 132,942 | 548 |
*,^ | RadNet, Inc. | 160,705 | 538 |
* | BioScrip Inc. | 242,281 | 538 |
* | Novavax, Inc. | 277,092 | 524 |
* | Rural/Metro Corp. | 291,113 | 521 |
* | Senomyx, Inc. | 185,245 | 517 |
* | Curis, Inc. | 683,767 | 513 |
* | Nighthawk Radiology Holdings, Inc. | 102,209 | 497 |
* | Five Star Quality Care, Inc. | 324,394 | 496 |
* | Neurocrine Biosciences, Inc. | 152,313 | 487 |
* | Aspect Medical Systems, Inc. | 142,025 | 479 |
* | Medtox Scientific, Inc. | 58,054 | 477 |
| Atrion Corp. | 4,866 | 473 |
* | Cynosure Inc. | 51,575 | 471 |
* | Cutera, Inc. | 52,375 | 465 |
* | Dialysis Corp. of America | 66,002 | 462 |
* | Cadence Pharmaceuticals, Inc. | 62,180 | 450 |
* | IPC The Hospitalist Co. | 26,659 | 449 |
* | Exactech, Inc. | 26,624 | 448 |
* | ARIAD Pharmaceuticals, Inc. | 522,671 | 444 |
*,^ | Sunrise Senior Living, Inc. | 264,292 | 444 |
^ | LCA-Vision Inc. | 107,901 | 443 |
*,^ | Insmed Inc. | 940,341 | 442 |
* | Pharmasset, Inc. | 32,733 | 429 |
* | Monogram Biosciences Inc. | 161,805 | 421 |
*,^ | Aastrom Biosciences, Inc. | 838,008 | 419 |
* | Caraco Pharmaceutical Laboratories, Ltd. | 70,000 | 414 |
| Ensign Group Inc. | 24,689 | 413 |
* | Poniard Pharmaceuticals, Inc. | 213,363 | 412 |
* | DepoMed, Inc. | 248,222 | 410 |
* | Ardea Biosciences, Inc. | 33,938 | 406 |
* | Mediware Information Systems, Inc. | 82,082 | 394 |
* | Penwest Pharmaceuticals Co. | 244,866 | 384 |
* | Peregrine Pharmaceuticals, Inc. | 1,308,631 | 380 |
*,^ | Javelin Pharmaceuticals, Inc. | 303,275 | 379 |
* | Alexza Pharmaceuticals, Inc. | 118,551 | 376 |
* | Memory Pharmaceuticals Corp. | 607,078 | 369 |
*,^ | Arrowhead Research Corp. | 385,594 | 362 |
* | Orexigen Therapeutics Inc. | 62,514 | 349 |
* | American Dental Partners, Inc. | 49,539 | 344 |
* | Osteotech, Inc. | 203,339 | 344 |
* | Life Sciences Research, Inc. | 36,394 | 342 |
| Psychemedics Corp. | 52,505 | 339 |
| Young Innovations, Inc. | 21,951 | 338 |
* | Anadys Pharmaceuticals Inc. | 214,289 | 336 |
* | Icad Inc. | 305,341 | 336 |
*,^ | Clinical Data, Inc. | 36,149 | 322 |
* | Hi-Tech Pharmacal Co., Inc. | 58,045 | 322 |
* | PDI, Inc. | 79,289 | 318 |
| National Research Corp. | 10,904 | 316 |
* | Health Grades, Inc | 152,267 | 314 |
*,^ | GenVec, Inc. | 702,536 | 302 |
* | Santarus Inc. | 188,578 | 296 |
*,^ | Synta Pharmaceuticals Corp. | 48,279 | 295 |
* | Capital Senior Living Corp. | 98,993 | 295 |
* | Obagi Medical Products, Inc. | 39,155 | 292 |
*,^ | BioLase Technology, Inc. | 195,284 | 291 |
* | NxStage Medical, Inc. | 105,831 | 283 |
* | SciClone Pharmaceuticals, Inc. | 377,706 | 280 |
* | Transcend Services, Inc. | 28,474 | 279 |
* | Trans1, Inc. | 38,737 | 279 |
* | Theragenics Corp. | 237,889 | 278 |
* | HealthTronics Surgical Services, Inc. | 123,464 | 278 |
* | BioCryst Pharmaceuticals, Inc. | 199,343 | 273 |
* | Emageon Inc. | 146,746 | 271 |
* | National Dentex Corp. | 57,327 | 261 |
Page 26
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Anika Resh Inc. | 84,718 | 258 |
* | Celldex Therapeutics, Inc. | 31,753 | 252 |
* | BioSphere Medical Inc. | 125,816 | 243 |
* | Spectrum Pharmaceuticals Inc. | 166,160 | 243 |
* | Corcept Therapeutics Inc. | 232,993 | 240 |
^ | Cytrx Corp. | 767,613 | 238 |
* | RXi Pharmaceuticals Corp. | 41,165 | 237 |
* | Endologix, Inc. | 195,978 | 235 |
* | Affymax Inc. | 22,602 | 226 |
*,^ | Exact Sciences Corp. | 395,218 | 225 |
* | Cerus Corp. | 310,736 | 218 |
* | Cytori Therapeutics, Inc. | 60,216 | 217 |
* | Caliper Life Sciences, Inc. | 216,766 | 210 |
* | ThermoGenesis Corp. | 481,455 | 207 |
* | Avigen, Inc. | 272,076 | 207 |
* | Pharmacyclics, Inc. | 261,440 | 207 |
* | Oxigene, Inc. | 308,504 | 204 |
*,^ | Epicept Corp. | 314,767 | 201 |
* | Avanir Pharmaceuticals Class A | 490,723 | 201 |
* | AtriCure, Inc. | 90,042 | 200 |
* | LeMaitre Vascular Inc. | 97,315 | 197 |
* | SuperGen, Inc. | 102,625 | 196 |
* | Acadia Pharmaceuticals Inc. | 217,085 | 195 |
* | Allied Healthcare International Inc. | 175,932 | 192 |
* | Alphatec Holdings, Inc. | 80,639 | 190 |
* | Sonic Innovations, Inc. | 185,109 | 185 |
* | Home Diagnostics Inc. | 36,894 | 183 |
| Merge Healthcare Inc. | 143,252 | 183 |
* | CuraGen Corp. | 397,475 | 183 |
* | Continucare Corp. | 86,448 | 182 |
*,^ | Pure Bioscience | 58,941 | 182 |
* | The Quigley Corp. | 43,997 | 180 |
*,^ | AVI BioPharma, Inc. | 251,647 | 166 |
* | SenoRx, Inc. | 70,631 | 165 |
* | DUSA Pharmaceuticals, Inc. | 152,100 | 160 |
* | American Caresource Holding, Inc. | 22,574 | 159 |
* | SRI/Surgical Express, Inc. | 91,061 | 156 |
* | Metropolitan Health Networks Inc. | 95,746 | 153 |
* | Cardica, Inc. | 43,467 | 152 |
*,^ | Hollis-Eden Pharmaceuticals, Inc. | 222,016 | 151 |
*,^ | Synergetics USA, Inc. | 168,639 | 150 |
* | Emisphere Technologies, Inc. | 189,650 | 150 |
* | Orthologic Corp. | 355,615 | 149 |
* | GTC Biotherapeutics, Inc. | 455,051 | 146 |
* | Escalon Medical Corp. | 91,117 | 145 |
* | PhotoMedex, Inc. | 668,212 | 141 |
* | Digirad Corp. | 231,278 | 134 |
* | Vical, Inc. | 87,272 | 123 |
* | Biodel Inc. | 24,800 | 120 |
* | Urologix, Inc. | 212,418 | 117 |
* | Nanosphere Inc. | 24,500 | 117 |
* | Dynavax Technologies Corp. | 138,658 | 116 |
* | Cortex Pharmaceuticals, Inc. | 202,102 | 115 |
* | Pharmanet Development Group, Inc. | 126,474 | 115 |
*,^ | Alfacell Corp. | 420,076 | 113 |
* | La Jolla Pharmaceutical Co. | 194,568 | 113 |
* | Heska Corp. | 447,038 | 112 |
* | Infinity Pharmaceuticals, Inc. | 13,950 | 111 |
* | Metabasis Therapeutics, Inc. | 348,111 | 111 |
*,^ | Hythiam Inc. | 281,612 | 110 |
* | Bioanalytical Systems, Inc. | 86,496 | 108 |
*,^ | Antigenics, Inc. | 224,073 | 108 |
* | MAKO Surgical Corp. | 16,026 | 107 |
* | Animal Health International, Inc. | 49,195 | 105 |
* | Orchid Cellmark, Inc. | 158,668 | 105 |
* | Ista Pharmaceuticals Inc. | 140,179 | 101 |
Page 27
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | NexMed, Inc. | 749,203 | 99 |
* | Providence Service Corp. | 68,474 | 99 |
* | Sucampo Pharmaceuticals Inc. | 17,127 | 99 |
* | NMT Medical, Inc. | 103,475 | 98 |
* | Inhibitex Inc. | 326,688 | 95 |
* | Iridex Corp. | 105,888 | 91 |
*,^ | Northfield Laboratories, Inc. | 88,556 | 88 |
* | Jazz Pharmaceuticals Inc. | 44,620 | 86 |
* | Arcadia Resources, Inc. | 229,920 | 85 |
| Utah Medical Products, Inc. | 3,716 | 82 |
* | Encorium Group, Inc. | 300,015 | 81 |
* | Electro-Optical Sciences, Inc. | 24,134 | 81 |
* | SCOLR Pharma Inc. | 127,266 | 80 |
* | Chelsea Therapeutics International, Ltd. | 59,419 | 80 |
* | BioSante Pharmaceuticals, Inc. | 73,745 | 75 |
* | Hemispherx Biopharma, Inc. | 212,892 | 75 |
* | Icagen, Inc. | 130,110 | 72 |
| Trimeris, Inc. | 53,800 | 72 |
* | EPIX Pharmaceuticals Inc. | 63,742 | 66 |
* | CPEX Pharmaceuticals, Inc. | 6,397 | 62 |
*,^ | Nutrition 21 Inc. | 360,490 | 61 |
* | Nuvelo, Inc. | 183,270 | 55 |
* | Northstar Neuroscience, Inc. | 45,320 | 55 |
* | Sunlink Health Systems, Inc. | 59,100 | 53 |
* | Oscient Pharmaceuticals Corp. | 290,009 | 52 |
*,^ | Cell Genesys, Inc. | 218,324 | 48 |
* | Insite Vision, Inc. | 240,685 | 46 |
* | United American Healthcare Corp. | 30,666 | 45 |
* | Cyclacel Pharmaceuticals Inc. | 105,191 | 44 |
* | Candela Corp. | 78,168 | 41 |
* | Retractable Technologies, Inc. | 48,106 | 41 |
* | Combinatorx, Inc. | 59,722 | 37 |
*,^ | Nanogen, Inc. | 250,524 | 35 |
* | Targeted Genetics Corp. | 195,595 | 34 |
* | Cornerstone Therapeutics Inc. | 12,847 | 34 |
* | Neurometrix Inc. | 39,628 | 34 |
*,^ | Bionovo Inc. | 163,131 | 33 |
*,^ | Minrad International, Inc. | 275,146 | 30 |
* | EntreMed, Inc. | 180,829 | 29 |
* | Fonar Corp. | 34,838 | 29 |
* | Acura Pharmaceuticals Inc. | 3,800 | 28 |
*,^ | OncoGenex Pharmaceutical Inc. | 9,163 | 28 |
* | Targacept, Inc. | 7,322 | 26 |
* | Genaera Corp. | 66,870 | 23 |
* | Trubion Pharmaceuticals, Inc. | 17,153 | 22 |
* | AdvanSource Biomaterials Corp. | 86,454 | 22 |
* | TorreyPines Therapeutics Inc. | 78,968 | 21 |
*,^ | Hana Biosciences, Inc. | 86,495 | 20 |
* | NeoPharm, Inc. | 99,959 | 16 |
* | ADVENTRX Pharmaceuticals, Inc. | 162,044 | 15 |
* | IVAX Diagnostics, Inc. | 27,208 | 14 |
* | Inovio Biomedical Corp. | 26,355 | 14 |
* | Interleukin Genetics, Inc. | 56,701 | 12 |
* | RegeneRx Biopharmaceuticals, Inc. | 9,500 | 11 |
* | MDRNA Inc. | 32,179 | 11 |
* | Palatin Technologies, Inc. | 118,190 | 11 |
* | Somaxon Pharmaceuticals, Inc. | 7,409 | 9 |
* | Telik, Inc. | 22,042 | 8 |
* | CardioDynamics International Corp. | 14,163 | 8 |
* | ULURU Inc. | 28,716 | 8 |
* | Hooper Holmes, Inc. | 29,388 | 7 |
* | Ore Pharmaceuticals, Inc. | 11,059 | 5 |
* | Sunesis Pharmaceuticals, Inc. | 15,915 | 5 |
* | Zila Inc. | 21,075 | 5 |
* | Neurogen Corp. | 30,685 | 4 |
* | Cytomedix, Inc. | 21,700 | 4 |
Page 28
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Targanta Therapeutics Corp. | 6,000 | 4 |
* | Biopure Corp. | 15,104 | 2 |
* | Panacos Pharmaceuticals Inc. | 14,507 | 2 |
* | Vanda Parmaceuticals, Inc. | 1,600 | 1 |
* | Cell Therapeutics, Inc. | 5,625 | 1 |
* | Synvista Therapuetics Inc. | 522 | 1 |
* | NitroMed, Inc. | 1,040 | — |
| | | 1,279,935 |
Industrials (15.8%) | | |
* | Delta Air Lines Inc. | 3,277,256 | 37,557 |
* | First Solar, Inc. | 225,164 | 31,064 |
* | Iron Mountain, Inc. | 981,915 | 24,283 |
* | Quanta Services, Inc. | 1,078,478 | 21,354 |
| Roper Industries Inc. | 490,121 | 21,276 |
* | URS Corp. | 458,282 | 18,684 |
| Ametek, Inc. | 583,465 | 17,626 |
* | Foster Wheeler Ltd. | 730,710 | 17,084 |
* | AMR Corp. | 1,519,979 | 16,218 |
* | Alliant Techsystems, Inc. | 179,287 | 15,376 |
| Manpower Inc. | 430,062 | 14,618 |
* | Covanta Holding Corp. | 658,004 | 14,450 |
| Donaldson Co., Inc. | 428,826 | 14,430 |
* | Waste Connections, Inc. | 436,358 | 13,776 |
| Joy Global Inc. | 588,494 | 13,471 |
| KBR Inc. | 885,724 | 13,463 |
* | Aecom Technology Corp. | 415,745 | 12,776 |
| Pentair, Inc. | 539,603 | 12,772 |
| Harsco Corp. | 458,805 | 12,700 |
* | FTI Consulting, Inc. | 277,658 | 12,406 |
* | McDermott International, Inc. | 1,244,348 | 12,294 |
| SPX Corp. | 297,542 | 12,065 |
| Lincoln Electric Holdings, Inc. | 234,328 | 11,934 |
* | AGCO Corp. | 500,567 | 11,808 |
| J.B. Hunt Transport Services, Inc. | 448,381 | 11,779 |
| Watson Wyatt & Co. Holdings | 236,680 | 11,318 |
* | Corrections Corp. of America | 686,584 | 11,233 |
| Landstar System, Inc. | 288,252 | 11,078 |
| IDEX Corp. | 451,413 | 10,902 |
* | Continental Airlines, Inc. Class B | 603,013 | 10,890 |
| Wabtec Corp. | 264,676 | 10,521 |
| Hubbell Inc. Class B | 308,890 | 10,095 |
*,^ | SunPower Corp. Class A | 259,241 | 9,592 |
* | Copart, Inc. | 350,289 | 9,524 |
* | Kansas City Southern | 499,245 | 9,511 |
* | Shaw Group, Inc. | 456,329 | 9,341 |
| Kennametal, Inc. | 416,450 | 9,241 |
| CLARCOR Inc. | 277,567 | 9,210 |
| The Timken Co. | 463,983 | 9,108 |
* | Terex Corp. | 523,296 | 9,063 |
| MSC Industrial Direct Co., Inc. Class A | 245,756 | 9,051 |
* | Owens Corning Inc. | 512,732 | 8,870 |
* | Teledyne Technologies, Inc. | 195,943 | 8,729 |
* | Moog Inc. | 234,880 | 8,590 |
| Lennox International Inc. | 257,098 | 8,302 |
| GATX Corp. | 265,872 | 8,234 |
| Curtiss-Wright Corp. | 246,084 | 8,217 |
* | EMCOR Group, Inc. | 357,481 | 8,018 |
* | Kirby Corp. | 293,028 | 8,017 |
* | Tetra Tech, Inc. | 330,111 | 7,972 |
| Granite Construction Co. | 179,622 | 7,891 |
| UAL Corp. | 709,027 | 7,813 |
| Graco, Inc. | 326,640 | 7,751 |
| Acuity Brands, Inc. | 221,489 | 7,732 |
| Bucyrus International, Inc. | 408,932 | 7,573 |
* | Thomas & Betts Corp. | 314,535 | 7,555 |
Page 29
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Navistar International Corp. | 346,368 | 7,405 |
* | JetBlue Airways Corp. | 1,002,276 | 7,116 |
| Brady Corp. Class A | 293,109 | 7,020 |
* | Clean Harbors Inc. | 110,525 | 7,012 |
| Trinity Industries, Inc. | 438,580 | 6,912 |
| Carlisle Co., Inc. | 333,651 | 6,907 |
| Woodward Governor Co. | 298,322 | 6,867 |
* | TransDigm Group, Inc. | 204,201 | 6,855 |
| Regal-Beloit Corp. | 178,491 | 6,781 |
* | Gardner Denver Inc. | 290,309 | 6,776 |
| Con-way, Inc. | 253,533 | 6,744 |
| The Toro Co. | 196,515 | 6,485 |
| Kaydon Corp. | 187,310 | 6,434 |
* | Energy Conversion Devices, Inc. | 252,746 | 6,372 |
* | SunPower Corp. Class B | 208,266 | 6,340 |
* | Orbital Sciences Corp. | 324,584 | 6,339 |
* | Esterline Technologies Corp. | 164,243 | 6,223 |
| Nordson Corp. | 188,808 | 6,097 |
* | Huron Consulting Group Inc. | 106,412 | 6,094 |
| The Brink’s Co. | 226,264 | 6,082 |
| Valmont Industries, Inc. | 96,936 | 5,948 |
| Watsco, Inc. | 154,697 | 5,940 |
* | Spirit Aerosystems Holdings Inc. | 581,636 | 5,915 |
* | ESCO Technologies Inc. | 144,414 | 5,914 |
| Actuant Corp. | 310,623 | 5,908 |
| Skywest, Inc. | 315,783 | 5,874 |
* | Alaska Air Group, Inc. | 200,026 | 5,851 |
| Simpson Manufacturing Co. | 207,123 | 5,750 |
| Alexander & Baldwin, Inc. | 228,782 | 5,733 |
* | Hub Group, Inc. | 208,177 | 5,523 |
* | GrafTech International Ltd. | 660,540 | 5,496 |
* | Genesee & Wyoming Inc. Class A | 177,990 | 5,429 |
| Belden Inc. | 257,622 | 5,379 |
* | General Cable Corp. | 293,685 | 5,195 |
| Mueller Industries Inc. | 206,334 | 5,175 |
* | Geo Group Inc. | 283,341 | 5,109 |
| Knight Transportation, Inc. | 315,354 | 5,083 |
| Heartland Express, Inc. | 308,861 | 4,868 |
| Briggs & Stratton Corp. | 275,965 | 4,854 |
* | US Airways Group Inc. | 620,665 | 4,798 |
| Mueller Water Products, Inc. | 558,299 | 4,712 |
| ABM Industries Inc. | 244,604 | 4,660 |
| Crane Co. | 268,277 | 4,625 |
| Baldor Electric Co. | 256,459 | 4,578 |
* | WESCO International, Inc. | 234,490 | 4,509 |
* | United Stationers, Inc. | 130,411 | 4,367 |
* | Old Dominion Freight Line, Inc. | 152,786 | 4,348 |
| Otter Tail Corp. | 183,742 | 4,287 |
| Deluxe Corp. | 284,498 | 4,256 |
* | BE Aerospace, Inc. | 551,317 | 4,240 |
| Arkansas Best Corp. | 139,882 | 4,212 |
| The Corporate Executive Board Co. | 188,405 | 4,156 |
| Rollins, Inc. | 228,741 | 4,136 |
| Werner Enterprises, Inc. | 236,285 | 4,097 |
* | Navigant Consulting, Inc. | 258,145 | 4,097 |
* | Resources Connection, Inc. | 249,831 | 4,092 |
* | Hertz Global Holdings Inc. | 806,566 | 4,089 |
| HEICO Corp. | 104,302 | 4,050 |
| Watts Water Technologies, Inc. | 161,843 | 4,041 |
| Herman Miller, Inc. | 303,383 | 3,953 |
* | Hexcel Corp. | 534,069 | 3,947 |
* | AAR Corp. | 214,341 | 3,946 |
| Mine Safety Appliances Co. | 164,463 | 3,932 |
*,^ | American Superconductor Corp. | 239,380 | 3,904 |
| Forward Air Corp. | 160,832 | 3,903 |
| Triumph Group, Inc. | 91,427 | 3,882 |
Page 30
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
^ | HNI Corp. | 245,022 | 3,881 |
* | MPS Group, Inc. | 514,569 | 3,875 |
| Applied Industrial Technology, Inc. | 201,990 | 3,822 |
| Healthcare Services Group, Inc. | 238,076 | 3,793 |
| A.O. Smith Corp. | 125,083 | 3,692 |
* | Allegiant Travel Co. | 75,707 | 3,677 |
| Oshkosh Truck Corp. | 412,837 | 3,670 |
* | USG Corp. | 455,892 | 3,665 |
| American Science & Engineering, Inc. | 48,783 | 3,608 |
* | CoStar Group, Inc. | 108,981 | 3,590 |
| Franklin Electric, Inc. | 127,260 | 3,577 |
* | Perini Corp. | 151,425 | 3,540 |
* | Sykes Enterprises, Inc. | 185,116 | 3,539 |
| Barnes Group, Inc. | 240,536 | 3,488 |
* | Astec Industries, Inc. | 109,587 | 3,433 |
* | Beacon Roofing Supply, Inc. | 247,342 | 3,433 |
| Ameron International Corp. | 51,258 | 3,225 |
* | Aerovironment Inc. | 85,956 | 3,164 |
| Robbins & Myers, Inc. | 192,122 | 3,107 |
* | Insituform Technologies Inc. Class A | 154,865 | 3,049 |
* | United Rentals, Inc. | 329,838 | 3,008 |
* | Ceradyne, Inc. | 145,468 | 2,954 |
* | Korn/Ferry International | 257,188 | 2,937 |
* | Team, Inc. | 104,495 | 2,895 |
* | AirTran Holdings, Inc. | 651,498 | 2,893 |
| Viad Corp. | 115,923 | 2,868 |
* | Mastec Inc. | 246,691 | 2,857 |
| McGrath RentCorp | 131,560 | 2,810 |
* | Axsys Technologies, Inc. | 50,970 | 2,796 |
* | Mobile Mini, Inc. | 193,317 | 2,788 |
| Administaff, Inc. | 124,399 | 2,692 |
* | Stanley Inc. | 73,584 | 2,665 |
| CIRCOR International, Inc. | 94,338 | 2,594 |
* | II-VI, Inc. | 135,436 | 2,585 |
* | EnerSys | 234,333 | 2,578 |
* | The Middleby Corp. | 94,333 | 2,572 |
* | Layne Christensen Co. | 106,617 | 2,560 |
| Kaman Corp. Class A | 141,181 | 2,560 |
| Seaboard Corp. | 2,102 | 2,510 |
| Universal Forest Products, Inc. | 93,123 | 2,506 |
| Gorman-Rupp Co. | 79,810 | 2,484 |
* | RBC Bearings Inc. | 120,876 | 2,451 |
* | EnPro Industries, Inc. | 111,911 | 2,411 |
| Armstrong Worldwide Industries, Inc. | 110,728 | 2,394 |
| Badger Meter, Inc. | 81,908 | 2,377 |
| Cubic Corp. | 87,188 | 2,372 |
| Knoll, Inc. | 262,880 | 2,371 |
* | Exponent, Inc. | 78,704 | 2,367 |
| Comfort Systems USA, Inc. | 221,019 | 2,356 |
* | TrueBlue, Inc. | 240,953 | 2,306 |
* | Griffon Corp. | 245,996 | 2,295 |
| Tredegar Corp. | 125,795 | 2,287 |
* | CBIZ Inc. | 263,653 | 2,281 |
* | Force Protection, Inc. | 378,965 | 2,266 |
| Genco Shipping and Trading Ltd. | 151,268 | 2,239 |
* | Northwest Pipe Co. | 50,942 | 2,171 |
| Federal Signal Corp. | 263,024 | 2,159 |
| Lindsay Manufacturing Co. | 67,760 | 2,154 |
| Steelcase Inc. | 382,186 | 2,148 |
*,^ | Evergreen Solar, Inc. | 672,830 | 2,146 |
| Raven Industries, Inc. | 88,951 | 2,144 |
* | Michael Baker Corp. | 57,998 | 2,141 |
| G & K Services, Inc. Class A | 105,330 | 2,130 |
* | DynCorp International Inc. Class A | 135,848 | 2,061 |
* | The Advisory Board Co. | 92,032 | 2,052 |
* | Blount International, Inc. | 214,414 | 2,033 |
Page 31
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Republic Airways Holdings Inc. | 189,399 | 2,021 |
| Pacer International, Inc. | 193,481 | 2,018 |
| Encore Wire Corp. | 104,873 | 1,988 |
| Kelly Services, Inc. Class A | 152,373 | 1,982 |
| Heidrick & Struggles International, Inc. | 91,065 | 1,962 |
| Quanex Building Products Corp. | 208,274 | 1,952 |
* | GeoEye Inc. | 100,633 | 1,935 |
* | Interline Brands, Inc. | 179,758 | 1,911 |
| Albany International Corp. | 147,624 | 1,890 |
* | Taser International Inc. | 354,929 | 1,874 |
| Eagle Bulk Shipping Inc. | 271,400 | 1,851 |
* | L.B. Foster Co. Class A | 59,064 | 1,848 |
| AAON, Inc. | 87,970 | 1,837 |
* | Rush Enterprises, Inc. Class A | 213,829 | 1,833 |
| American Ecology Corp. | 89,726 | 1,815 |
* | NCI Building Systems, Inc. | 110,217 | 1,797 |
| Gibraltar Industries Inc. | 149,370 | 1,783 |
* | Dycom Industries, Inc. | 214,636 | 1,764 |
* | ATC Technology Corp. | 117,038 | 1,712 |
| Cascade Corp. | 57,204 | 1,708 |
* | CRA International Inc. | 62,236 | 1,676 |
* | Chart Industries, Inc. | 157,393 | 1,673 |
* | School Specialty, Inc. | 87,026 | 1,664 |
| Titan International, Inc. | 198,223 | 1,635 |
| Apogee Enterprises, Inc. | 154,691 | 1,603 |
* | AZZ Inc. | 63,148 | 1,585 |
* | Hawaiian Holdings, Inc. | 248,000 | 1,582 |
| Tennant Co. | 101,793 | 1,568 |
* | Amerco, Inc. | 45,083 | 1,557 |
| Kimball International, Inc. Class B | 179,402 | 1,545 |
* | Kforce Inc. | 199,365 | 1,531 |
*,^ | FuelCell Energy, Inc. | 389,044 | 1,509 |
| Ennis, Inc. | 122,656 | 1,485 |
* | Columbus McKinnon Corp. | 108,485 | 1,481 |
| Interface, Inc. | 313,399 | 1,454 |
* | Orion Marine Group, Inc. | 149,179 | 1,441 |
| Standex International Corp. | 72,007 | 1,429 |
* | Argon ST, Inc. | 74,233 | 1,400 |
* | American Reprographics Co. | 201,912 | 1,393 |
| Freightcar America Inc. | 76,135 | 1,391 |
| Sun Hydraulics Corp. | 73,610 | 1,387 |
* | Consolidated Graphics, Inc. | 60,407 | 1,368 |
* | Duff & Phelps Corp. | 70,500 | 1,348 |
* | Atlas Air Worldwide Holdings, Inc. | 71,145 | 1,345 |
* | American Commercial Lines Inc. | 272,717 | 1,336 |
*,^ | Trex Co., Inc. | 78,947 | 1,299 |
* | Marten Transport, Ltd. | 68,515 | 1,299 |
| Ampco-Pittsburgh Corp. | 59,860 | 1,299 |
*,^ | Ener1, Inc. | 181,610 | 1,299 |
| American Woodmark Corp. | 70,971 | 1,294 |
| Dynamic Materials Corp. | 66,332 | 1,281 |
* | Cenveo Inc. | 286,532 | 1,275 |
* | Standard Parking Corp. | 64,688 | 1,251 |
| John Bean Technologies Corp. | 152,663 | 1,247 |
* | On Assignment, Inc. | 219,736 | 1,246 |
* | Innerworkings, Inc. | 189,748 | 1,243 |
* | Kadant Inc. | 91,358 | 1,231 |
| Aceto Corp. | 122,284 | 1,224 |
| HEICO Corp. Class A | 41,440 | 1,200 |
* | Herley Industries Inc. | 97,198 | 1,194 |
*,^ | Odyssey Marine Exploration, Inc. | 357,949 | 1,153 |
| NACCO Industries, Inc. Class A | 30,777 | 1,151 |
* | GenCorp, Inc. | 305,662 | 1,125 |
* | Pike Electric Corp. | 90,685 | 1,115 |
* | Sterling Construction Co., Inc. | 59,397 | 1,101 |
* | USA Truck, Inc. | 79,456 | 1,096 |
Page 32
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| The Standard Register Co. | 120,940 | 1,080 |
| Met-Pro Corp. | 80,626 | 1,074 |
* | Ladish Co., Inc. | 77,521 | 1,074 |
* | M&F Worldwide Corp. | 69,320 | 1,071 |
| Vicor Corp. | 159,373 | 1,053 |
| Bowne & Co., Inc. | 175,222 | 1,030 |
| CDI Corp. | 79,354 | 1,027 |
* | Furmanite Corp. | 188,490 | 1,016 |
* | Powell Industries, Inc. | 34,081 | 989 |
| Applied Signal Technology, Inc. | 54,073 | 970 |
* | Ultralife Corp. | 72,098 | 967 |
* | Cornell Cos., Inc. | 51,263 | 953 |
| TAL International Group, Inc. | 66,143 | 933 |
*,^ | 3D Systems Corp. | 116,628 | 926 |
* | Celadon Group Inc. | 106,577 | 909 |
| EnergySolutions | 159,908 | 903 |
*,^ | YRC Worldwide, Inc. | 312,372 | 896 |
| Great Lakes Dredge & Dock Co. | 211,475 | 878 |
* | Power-One, Inc. | 734,839 | 874 |
* | Altra Holdings Inc. | 110,339 | 873 |
| Ducommun, Inc. | 50,704 | 847 |
* | H&E Equipment Services, Inc. | 109,728 | 846 |
* | LECG Corp. | 121,835 | 818 |
* | Dynamex Inc. | 54,340 | 802 |
*,^ | Valence Technology Inc. | 439,585 | 800 |
* | Volt Information Sciences Inc. | 109,779 | 794 |
* | Polypore International Inc. | 104,720 | 792 |
| Wabash National Corp. | 175,515 | 790 |
* | Colfax Corp. | 75,175 | 781 |
*,^ | Fuel-Tech N.V. | 73,752 | 781 |
* | Tecumseh Products Co. Class A | 79,912 | 766 |
* | Lydall, Inc. | 131,627 | 757 |
| Multi-Color Corp. | 47,296 | 748 |
*,^ | C & D Technologies, Inc. | 237,797 | 744 |
*,^ | Microvision, Inc. | 435,456 | 732 |
| Insteel Industries, Inc. | 64,778 | 731 |
| Horizon Lines Inc. | 204,715 | 714 |
* | K-Tron International, Inc | 8,812 | 704 |
* | Key Technology, Inc. | 36,886 | 697 |
| Mueller Water Products, Inc. Class A | 82,600 | 694 |
* | PRG-Schultz International, Inc. | 169,019 | 690 |
* | Spherion Corp. | 308,689 | 682 |
* | Universal Truckload Services, Inc. | 47,823 | 677 |
* | Magnatek, Inc. | 280,031 | 672 |
| Houston Wire & Cable Co. | 71,294 | 664 |
* | Capstone Turbine Corp. | 782,696 | 657 |
| Graham Corp. | 60,600 | 656 |
| Sauer-Danfoss, Inc. | 73,857 | 646 |
* | MYR Group, Inc. | 64,542 | 645 |
*,^ | SatCon Technology Corp. | 413,131 | 640 |
| LSI Industries Inc. | 92,345 | 634 |
* | Hill International Inc. | 90,105 | 634 |
* | RSC Holdings Inc. | 74,200 | 632 |
| Schawk, Inc. | 55,116 | 632 |
* | Integrated Electrical Services, Inc. | 71,604 | 627 |
* | ICF International, Inc. | 25,355 | 623 |
* | La Barge, Inc. | 43,341 | 622 |
* | Acco Brands Corp. | 179,534 | 619 |
| Courier Corp. | 34,601 | 619 |
* | Saia, Inc. | 56,798 | 617 |
* | PMFG Inc. | 64,384 | 616 |
| Preformed Line Products Co. | 13,133 | 605 |
* | LMI Aerospace, Inc. | 52,761 | 600 |
| International Shipholding Corp. | 23,363 | 592 |
* | Willis Lease Finance Corp. | 63,320 | 587 |
* | Casella Waste Systems, Inc. | 143,636 | 586 |
Page 33
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Flanders Corp. | 123,093 | 577 |
| Lawson Products, Inc. | 25,241 | 577 |
* | United Capital Corp. | 31,463 | 571 |
* | Flow International Corp. | 235,046 | 569 |
*,^ | Energy Recovery Inc. | 73,169 | 555 |
| L.S. Starrett Co. Class A | 34,332 | 553 |
* | First Advantage Corp. Class A | 37,887 | 536 |
* | DXP Enterprises Inc | 36,230 | 529 |
* | The Allied Defense Group, Inc. | 85,135 | 528 |
| American Railcar Industries, Inc. | 49,053 | 517 |
* | Clearwater Paper Corp. | 60,964 | 511 |
| Diamond Management and Technology Consultants,Inc. | 121,115 | 510 |
| The Greenbrier Cos., Inc. | 73,709 | 506 |
| VSE Corp. | 12,680 | 497 |
* | Plug Power, Inc. | 485,452 | 495 |
* | CPI Aerostructures, Inc. | 89,365 | 491 |
* | Kratos Defense & Security Inc. | 334,865 | 469 |
| Macquarie Infrastructure Co. LLC | 124,264 | 468 |
* | Ocean Power Technologies, Inc. | 67,376 | 451 |
* | P.A.M. Transportation Services, Inc. | 64,282 | 450 |
*,^ | EnerNOC Inc. | 59,920 | 446 |
* | Astronics Corp. | 49,888 | 444 |
* | APAC Teleservices, Inc. | 363,262 | 440 |
* | Titan Machinery, Inc. | 31,065 | 437 |
* | Patriot Transportation Holding, Inc. | 6,178 | 433 |
| Omega Flex Inc. | 20,504 | 429 |
* | Hudson Highland Group, Inc. | 122,933 | 412 |
| Innovative Solutions and Support, Inc. | 103,249 | 408 |
*,^ | Advanced Battery Technologies Inc. | 150,836 | 401 |
*,^ | AMREP Corp. | 12,689 | 397 |
| Todd Shipyards Corp. | 32,767 | 393 |
*,^ | Hurco Cos., Inc. | 32,371 | 388 |
* | Park-Ohio Holdings Corp. | 62,047 | 383 |
* | Intersections Inc. | 73,428 | 382 |
| Barrett Business Services, Inc. | 34,900 | 380 |
*,^ | Beacon Power Corp. | 700,639 | 371 |
* | UQM Technologies, Inc. | 287,368 | 359 |
* | GP Strategies Corp. | 78,560 | 354 |
* | Ceco Environmental Corp. | 142,337 | 344 |
* | Miller Industries, Inc. | 64,700 | 343 |
| Virco Manufacturing Corp. | 172,163 | 336 |
* | A.T. Cross Co. Class A | 120,318 | 334 |
| Ecology and Environment, Inc. | 27,806 | 333 |
* | Baldwin Technology Class A | 206,023 | 330 |
| Quixote Corp. | 48,218 | 313 |
| Alamo Group, Inc. | 19,022 | 284 |
| Hardinge, Inc. | 67,663 | 274 |
* | TurboChef Technologies, Inc. | 55,623 | 273 |
* | BTU International, Inc. | 65,948 | 264 |
* | Perma-Fix Environmental Services, Inc. | 202,497 | 253 |
*,^ | Coleman Cable Inc. | 54,872 | 249 |
* | GT Solar International Inc. | 85,115 | 246 |
* | PowerSecure International, Inc. | 74,700 | 246 |
*,^ | Spire Corp. | 47,702 | 245 |
* | Pinnacle Airlines Corp. | 143,445 | 244 |
*,^ | Orion Energy Systems Inc. | 44,341 | 240 |
* | Hudson Technology, Inc. | 177,425 | 240 |
* | Sifco Industries, Inc. | 39,009 | 232 |
* | U.S. Home Systems, Inc. | 88,063 | 228 |
| Providence and Worcester Railroad Co. | 18,600 | 223 |
* | Nashua Corp. | 42,021 | 221 |
| Twin Disc, Inc. | 31,492 | 217 |
*,^ | Bluelinx Holdings Inc. | 112,164 | 212 |
| Frozen Food Express Industries, Inc. | 36,616 | 208 |
*,^ | Akeena Solar, Inc. | 119,403 | 205 |
* | COMSYS IT Partners Inc. | 85,870 | 192 |
Page 34
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
*,^ | Hoku Scientific, Inc. | 70,576 | 188 |
*,^ | Metalico, Inc. | 118,683 | 184 |
* | Gencor Industries, Inc. | 25,887 | 181 |
| NN, Inc. | 77,926 | 178 |
* | WCA Waste Corp. | 70,553 | 177 |
* | Energy Focus Inc. | 148,296 | 171 |
* | Quality Distribution Inc. | 56,369 | 169 |
* | ICT Group, Inc. | 36,852 | 169 |
*,^ | Daystar Technologies, Inc. | 168,567 | 158 |
* | Allied Motion Technologies, Inc. | 79,097 | 158 |
* | Peco II, Inc. | 50,920 | 153 |
* | Xerium Technologies Inc. | 209,235 | 138 |
* | Thermadyne Holdings Corp. | 19,684 | 135 |
* | CAI International Inc. | 42,650 | 135 |
* | Innotrac Corp. | 72,154 | 133 |
*,^ | Builders FirstSource, Inc. | 84,318 | 129 |
* | Dollar Thrifty Automotive Group, Inc. | 118,104 | 129 |
| Superior Uniform Group, Inc. | 15,754 | 124 |
* | Avis Budget Group, Inc. | 173,048 | 121 |
| The Eastern Co. | 13,968 | 120 |
* | COMFORCE Corp. | 129,816 | 117 |
* | Tecumseh Products Co. Class B | 11,900 | 114 |
* | Argan Inc. | 10,386 | 114 |
* | TRC Cos., Inc. | 56,411 | 109 |
* | MFRI, Inc. | 24,644 | 107 |
* | Astronics Corp. Class B | 12,325 | 106 |
| Supreme Industries, Inc. Class A | 120,585 | 102 |
*,^ | Applied Energetics, Inc. | 302,745 | 97 |
* | TriMas Corp. | 65,607 | 91 |
| Chase Corp. | 7,254 | 82 |
* | Spherix Inc. | 197,035 | 79 |
* | Active Power, Inc. | 230,185 | 74 |
* | Competitive Technologies, Inc. | 71,692 | 71 |
| Empire Resources Inc. | 56,406 | 70 |
* | American Electric Technologies Inc. | 36,928 | 68 |
* | Commercial Vehicle Group Inc. | 72,304 | 67 |
* | Protection One, Inc. | 13,421 | 64 |
*,^ | Document Security Systems, Inc. | 29,900 | 55 |
* | Covenant Transport, Inc. | 26,676 | 54 |
* | Rush Enterprises, Inc. Class B | 5,550 | 45 |
* | UTEK Corp. | 4,640 | 41 |
* | GigOptix, Inc. | 37,408 | 37 |
* | TVI Corp. | 314,222 | 33 |
* | LGL Group | 16,300 | 32 |
* | TeamStaff, Inc. | 17,157 | 32 |
* | PGT, Inc. | 25,701 | 29 |
* | Arotech Corp. | 63,975 | 26 |
*,^ | Ascent Solar Technologies, Inc. | 6,655 | 25 |
* | Air Transport Services Group Inc. | 131,263 | 24 |
| Sypris Solutions, Inc. | 28,286 | 18 |
| Hubbell Inc. Class A | 500 | 15 |
* | Mesa Air Group Inc. | 38,157 | 10 |
* | ExpressJet Holdings, Inc. | 1,435 | 2 |
* | Kaiser Ventures LLC Class A | 36,800 | — |
* | BMC Industries, Inc. | 126,104 | — |
| | | 1,413,684 |
Information Technology (14.4%) | | |
| Visa Inc. | 1,944,669 | 101,998 |
* | Activision Blizzard, Inc. | 3,317,859 | 28,666 |
* | SAIC, Inc. | 1,106,196 | 21,549 |
* | Alliance Data Systems Corp. | 352,565 | 16,405 |
| Maxim Integrated Products, Inc. | 1,418,680 | 16,201 |
* | Hewitt Associates, Inc. | 532,358 | 15,108 |
* | Avnet, Inc. | 823,999 | 15,005 |
* | Synopsys, Inc. | 787,782 | 14,590 |
Page 35
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | LAM Research Corp. | 683,697 | 14,549 |
| Global Payments Inc. | 437,922 | 14,359 |
* | Trimble Navigation Ltd. | 655,363 | 14,162 |
* | Western Digital Corp. | 1,211,062 | 13,867 |
* | Red Hat, Inc. | 1,040,552 | 13,756 |
* | ANSYS, Inc. | 489,502 | 13,652 |
| Lender Processing Services, Inc. | 456,821 | 13,453 |
* | NCR Corp. | 889,059 | 12,571 |
* | Mettler-Toledo International Inc. | 183,608 | 12,375 |
* | Arrow Electronics, Inc. | 652,919 | 12,301 |
* | Ingram Micro, Inc. Class A | 908,582 | 12,166 |
* | Itron, Inc. | 188,199 | 11,996 |
* | Sybase, Inc. | 442,099 | 10,951 |
* | Nuance Communications, Inc. | 1,050,094 | 10,879 |
* | Equinix, Inc. | 204,181 | 10,860 |
| FactSet Research Systems Inc. | 231,699 | 10,250 |
| Diebold, Inc. | 361,388 | 10,151 |
* | F5 Networks, Inc. | 437,420 | 9,999 |
| Broadridge Financial Solutions LLC | 774,216 | 9,709 |
* | Rambus Inc. | 573,721 | 9,134 |
| Jack Henry & Associates Inc. | 470,313 | 9,129 |
* | Dolby Laboratories Inc. | 278,049 | 9,109 |
* | DST Systems, Inc. | 231,843 | 8,805 |
* | NeuStar, Inc. Class A | 431,333 | 8,251 |
* | Parametric Technology Corp. | 640,126 | 8,098 |
* | Metavante Technologies | 494,624 | 7,968 |
* | IAC/InterActiveCorp | 499,044 | 7,850 |
*,^ | Cree, Inc. | 487,275 | 7,733 |
* | ON Semiconductor Corp. | 2,265,225 | 7,702 |
* | Atmel Corp. | 2,448,601 | 7,664 |
* | Concur Technologies, Inc. | 233,079 | 7,650 |
| National Instruments Corp. | 311,663 | 7,592 |
* | CACI International, Inc. | 164,551 | 7,420 |
* | Solera Holdings, Inc. | 304,631 | 7,342 |
* | Zebra Technologies Corp. Class A | 356,705 | 7,227 |
* | MICROS Systems, Inc. | 441,021 | 7,197 |
* | Varian Semiconductor Equipment Associates, Inc. | 396,623 | 7,187 |
* | Perot Systems Corp. | 486,692 | 6,653 |
* | Informatica Corp. | 482,180 | 6,620 |
* | InterDigital, Inc. | 239,770 | 6,594 |
* | Silicon Laboratories Inc. | 255,657 | 6,335 |
* | ManTech International Corp. | 115,421 | 6,255 |
* | Comtech Telecommunications Corp. | 135,870 | 6,226 |
* | Polycom, Inc. | 459,510 | 6,208 |
| Intersil Corp. | 674,672 | 6,200 |
*,^ | VMware Inc. | 258,700 | 6,129 |
* | CommScope, Inc. | 389,120 | 6,047 |
* | PMC Sierra Inc. | 1,219,457 | 5,927 |
* | Gartner, Inc. Class A | 328,634 | 5,860 |
* | Macrovision Solutions Corp. | 461,526 | 5,838 |
* | Brocade Communications Systems, Inc. | 2,052,093 | 5,746 |
* | Microsemi Corp. | 443,723 | 5,609 |
* | International Rectifier Corp. | 403,108 | 5,442 |
* | Arris Group Inc. | 680,569 | 5,411 |
* | Cadence Design Systems, Inc. | 1,441,541 | 5,276 |
* | Integrated Device Technology Inc. | 938,739 | 5,266 |
* | TIBCO Software Inc. | 990,386 | 5,140 |
* | 3Com Corp. | 2,246,451 | 5,122 |
* | Digital River, Inc. | 204,640 | 5,075 |
* | Skyworks Solutions, Inc. | 914,375 | 5,066 |
* | Quest Software, Inc. | 397,452 | 5,004 |
* | Anixter International Inc. | 165,507 | 4,985 |
* | Tech Data Corp. | 274,764 | 4,902 |
* | Tekelec | 365,620 | 4,877 |
* | j2 Global Communications, Inc. | 242,685 | 4,863 |
* | Atheros Communications, Inc. | 332,844 | 4,763 |
Page 36
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Benchmark Electronics, Inc. | 364,366 | 4,653 |
* | Infinera Corp. | 517,745 | 4,639 |
* | CyberSource Corp. | 385,228 | 4,619 |
* | Blackboard Inc. | 172,958 | 4,537 |
| Fair Isaac, Inc. | 268,461 | 4,526 |
| ADTRAN Inc. | 301,142 | 4,481 |
* | Avocent Corp. | 247,880 | 4,440 |
* | Progress Software Corp. | 225,281 | 4,339 |
| Quality Systems, Inc. | 99,279 | 4,331 |
* | EarthLink, Inc. | 605,838 | 4,095 |
* | SRA International, Inc. | 235,118 | 4,056 |
* | TiVo Inc. | 565,970 | 4,052 |
* | MKS Instruments, Inc. | 272,486 | 4,030 |
* | FormFactor Inc. | 271,539 | 3,964 |
* | FEI Co. | 204,470 | 3,856 |
* | Semtech Corp. | 335,747 | 3,784 |
* | Websense, Inc. | 249,790 | 3,739 |
* | Omniture, Inc. | 350,525 | 3,730 |
* | Plexus Corp. | 217,703 | 3,690 |
* | Cypress Semiconductor Corp. | 822,233 | 3,675 |
* | ViaSat, Inc. | 150,336 | 3,620 |
* | Cymer, Inc. | 164,237 | 3,598 |
* | Intermec, Inc. | 269,888 | 3,584 |
| Plantronics, Inc. | 270,393 | 3,569 |
* | ADC Telecommunications, Inc. | 651,783 | 3,565 |
* | Riverbed Technology, Inc. | 312,381 | 3,558 |
*,^ | Data Domain, Inc. | 188,496 | 3,544 |
| MAXIMUS, Inc. | 100,912 | 3,543 |
* | Vishay Intertechnology, Inc. | 1,028,208 | 3,516 |
* | EchoStar Corp. | 233,664 | 3,475 |
* | Ariba, Inc. | 478,953 | 3,453 |
* | Wind River Systems Inc. | 379,525 | 3,427 |
* | CSG Systems International, Inc. | 193,882 | 3,387 |
* | Fairchild Semiconductor International, Inc. | 691,387 | 3,381 |
* | Cabot Microelectronics Corp. | 128,783 | 3,357 |
| Cognex Corp. | 223,862 | 3,313 |
* | Rofin-Sinar Technologies Inc. | 160,349 | 3,300 |
| Power Integrations, Inc. | 165,571 | 3,292 |
* | EPIQ Systems, Inc. | 196,943 | 3,291 |
* | ValueClick, Inc. | 480,364 | 3,286 |
| Take-Two Interactive Software, Inc. | 430,591 | 3,255 |
| Blackbaud, Inc. | 240,867 | 3,252 |
* | Interwoven Inc. | 256,220 | 3,228 |
* | Emulex Corp. | 459,691 | 3,209 |
* | Euronet Worldwide, Inc. | 275,548 | 3,199 |
* | Tessera Technologies, Inc. | 267,504 | 3,178 |
* | Lawson Software, Inc. | 668,653 | 3,169 |
* | Commvault Systems, Inc. | 234,485 | 3,144 |
* | Hittite Microwave Corp. | 106,193 | 3,128 |
* | Synaptics Inc. | 187,939 | 3,112 |
* | ACI Worldwide, Inc. | 192,353 | 3,058 |
| Acxiom Corp. | 375,574 | 3,046 |
* | Harmonic, Inc. | 526,517 | 2,954 |
*,^ | Bankrate, Inc. | 77,512 | 2,945 |
* | Cogent Inc. | 213,712 | 2,900 |
* | Sycamore Networks, Inc. | 1,052,551 | 2,831 |
* | ScanSource, Inc. | 146,763 | 2,828 |
* | TriQuint Semiconductor, Inc. | 805,561 | 2,771 |
* | Rogers Corp. | 99,706 | 2,769 |
| United Online, Inc. | 452,100 | 2,744 |
* | ATMI, Inc. | 176,438 | 2,722 |
* | SPSS, Inc. | 100,470 | 2,709 |
* | Wright Express Corp. | 214,752 | 2,706 |
* | DealerTrack Holdings Inc. | 225,718 | 2,684 |
* | Sapient Corp. | 601,794 | 2,672 |
* | Mentor Graphics Corp. | 511,993 | 2,647 |
Page 37
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Black Box Corp. | 97,018 | 2,534 |
| MTS Systems Corp. | 94,421 | 2,515 |
* | Electronics for Imaging, Inc. | 262,239 | 2,507 |
* | L-1 Identity Solutions Inc. | 361,720 | 2,438 |
* | Forrester Research, Inc. | 85,380 | 2,409 |
* | Sonus Networks, Inc. | 1,504,424 | 2,377 |
^ | Heartland Payment Systems, Inc. | 135,628 | 2,373 |
* | EMS Technologies, Inc. | 88,366 | 2,286 |
| Imation Corp. | 167,430 | 2,272 |
* | NETGEAR, Inc. | 195,799 | 2,234 |
* | Adaptec, Inc. | 671,097 | 2,215 |
| AVX Corp. | 274,640 | 2,181 |
* | Netlogic Microsystems Inc. | 98,408 | 2,166 |
| Park Electrochemical Corp. | 113,427 | 2,151 |
* | Manhattan Associates, Inc. | 135,535 | 2,143 |
* | S1 Corp. | 269,903 | 2,130 |
* | Checkpoint Systems, Inc. | 215,016 | 2,116 |
* | Brooks Automation, Inc. | 353,022 | 2,051 |
* | Ixia | 353,519 | 2,043 |
* | Starent Networks Corp. | 171,197 | 2,042 |
* | Tyler Technologies, Inc. | 169,884 | 2,035 |
* | Standard Microsystem Corp. | 123,952 | 2,025 |
* | Littelfuse, Inc. | 120,798 | 2,005 |
| Micrel, Inc. | 274,013 | 2,003 |
* | JDA Software Group, Inc. | 152,282 | 1,999 |
* | The Ultimate Software Group, Inc. | 136,512 | 1,993 |
* | Zoran Corp. | 288,194 | 1,968 |
* | Vocus, Inc. | 104,578 | 1,904 |
* | MicroStrategy Inc. | 50,903 | 1,890 |
* | Monolithic Power Systems | 149,298 | 1,883 |
* | Advanced Energy Industries, Inc. | 189,044 | 1,881 |
*,^ | Advent Software, Inc. | 93,291 | 1,863 |
*,^ | Palm, Inc. | 602,874 | 1,851 |
* | DTS Inc. | 100,812 | 1,850 |
* | Avid Technology, Inc. | 168,732 | 1,841 |
* | Blue Coat Systems, Inc. | 217,365 | 1,826 |
* | Cavium Networks, Inc. | 170,161 | 1,788 |
| Daktronics, Inc. | 187,529 | 1,755 |
* | TeleTech Holdings, Inc. | 209,951 | 1,753 |
* | RealNetworks, Inc. | 488,995 | 1,726 |
* | Silicon Image, Inc. | 408,610 | 1,716 |
* | Insight Enterprises, Inc. | 244,760 | 1,689 |
* | Telecommunication Systems, Inc. | 195,715 | 1,681 |
* | Actel Corp. | 142,482 | 1,670 |
* | FARO Technologies, Inc. | 98,595 | 1,662 |
* | MSC Software Corp. | 248,550 | 1,660 |
| Syntel, Inc. | 71,757 | 1,659 |
* | VeriFone Holdings, Inc. | 336,404 | 1,648 |
* | Vignette Corp. | 170,961 | 1,609 |
* | Exar Corp. | 238,217 | 1,589 |
* | GSI Commerce, Inc. | 148,160 | 1,559 |
* | THQ Inc. | 370,585 | 1,553 |
* | VASCO Data Security International, Inc. | 150,250 | 1,552 |
* | NetScout Systems, Inc. | 178,848 | 1,542 |
* | Epicor Software Corp. | 321,098 | 1,541 |
* | Ultratech, Inc. | 128,383 | 1,535 |
| Pegasystems Inc. | 122,466 | 1,514 |
* | Anaren, Inc. | 125,417 | 1,499 |
* | Ciber, Inc. | 310,956 | 1,496 |
| IXYS Corp. | 180,846 | 1,494 |
* | OmniVision Technologies, Inc. | 281,839 | 1,480 |
* | Stratasys, Inc. | 137,348 | 1,476 |
| Cohu, Inc. | 121,441 | 1,476 |
*,^ | Sigma Designs, Inc. | 154,829 | 1,471 |
* | Integral Systems, Inc. | 121,576 | 1,465 |
*,^ | UTStarcom, Inc. | 784,619 | 1,452 |
Page 38
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| InfoSpace, Inc. | 189,285 | 1,429 |
| Methode Electronics, Inc. Class A | 210,184 | 1,417 |
* | Echelon Corp. | 172,802 | 1,408 |
* | Terremark Worldwide, Inc. | 361,776 | 1,407 |
* | Move, Inc. | 878,712 | 1,406 |
*,^ | WebMD Health Corp. Class A | 59,491 | 1,403 |
* | The Knot, Inc. | 167,768 | 1,396 |
* | Applied Micro Circuits Corp. | 352,417 | 1,385 |
* | Supertex, Inc. | 57,606 | 1,383 |
* | Newport Corp. | 201,507 | 1,366 |
* | Synchronoss Technologies, Inc. | 127,646 | 1,361 |
* | SonicWALL, Inc. | 336,040 | 1,337 |
* | DSP Group Inc. | 166,465 | 1,335 |
* | Art Technology Group, Inc. | 690,100 | 1,332 |
* | Entegris Inc. | 604,145 | 1,323 |
* | Sanmina-SCI Corp. | 2,791,885 | 1,312 |
* | iGATE Corp. | 198,728 | 1,294 |
* | Amkor Technology, Inc. | 592,118 | 1,291 |
* | Brightpoint, Inc. | 295,975 | 1,287 |
* | Taleo Corp. Class A | 164,249 | 1,286 |
| CTS Corp. | 232,859 | 1,283 |
* | Symyx Technologies, Inc. | 211,093 | 1,254 |
*,^ | Universal Display Corp. | 132,486 | 1,252 |
* | Unisys Corp. | 1,472,424 | 1,252 |
* | TNS Inc. | 132,123 | 1,241 |
* | Extreme Networks, Inc. | 518,287 | 1,213 |
* | Neutral Tandem, Inc. | 74,132 | 1,202 |
* | Silicon Storage Technology, Inc. | 517,414 | 1,185 |
* | TTM Technologies, Inc. | 227,143 | 1,183 |
* | Cirrus Logic, Inc. | 438,593 | 1,175 |
* | OPNET Technologies, Inc. | 117,642 | 1,160 |
* | SAVVIS, Inc. | 166,996 | 1,151 |
* | OSI Systems Inc. | 81,625 | 1,131 |
* | Electro Scientific Industries, Inc. | 166,206 | 1,129 |
* | DG FastChannel Inc. | 89,432 | 1,116 |
* | Veeco Instruments, Inc. | 175,884 | 1,115 |
| Marchex, Inc. | 188,846 | 1,101 |
* | RF Micro Devices, Inc. | 1,379,993 | 1,076 |
* | Kenexa Corp. | 132,158 | 1,055 |
| Electro Rent Corp. | 94,277 | 1,052 |
* | IPG Photonics Corp. | 78,852 | 1,039 |
* | Digi International, Inc. | 128,051 | 1,039 |
* | Transmeta Corp. | 56,811 | 1,034 |
* | Diodes Inc. | 170,070 | 1,031 |
* | SeaChange International, Inc. | 141,646 | 1,021 |
* | ComScore Inc. | 79,203 | 1,010 |
| Cass Information Systems, Inc. | 32,109 | 978 |
* | ExlService Holdings, Inc. | 111,773 | 958 |
* | Internet Capital Group Inc. | 175,756 | 958 |
* | Keynote Systems Inc. | 123,729 | 954 |
* | Oplink Communications, Inc. | 110,233 | 948 |
* | Mercury Computer Systems, Inc. | 149,806 | 945 |
* | Lattice Semiconductor Corp. | 624,399 | 943 |
| NIC Inc. | 203,563 | 936 |
* | Ebix, Inc. | 37,954 | 907 |
* | MRV Communications Inc. | 1,153,056 | 888 |
| Bel Fuse, Inc. Class B | 41,457 | 879 |
* | infoGROUP, Inc. | 182,476 | 865 |
* | SYNNEX Corp. | 74,303 | 842 |
* | Novatel Wireless, Inc. | 180,321 | 837 |
* | Symmetricom Inc. | 211,112 | 834 |
* | BigBand Networks Inc. | 150,766 | 832 |
* | RightNow Technologies Inc. | 106,866 | 826 |
* | Netezza Corp. | 122,518 | 814 |
* | 3PAR, Inc. | 105,823 | 807 |
* | Finisar Corp. | 2,114,937 | 804 |
Page 39
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Pericom Semiconductor Corp. | 146,489 | 803 |
* | NCI, Inc. | 26,451 | 797 |
* | Presstek, Inc. | 247,682 | 795 |
* | Kopin Corp. | 387,788 | 791 |
* | Perficient, Inc. | 165,398 | 791 |
* | Pervasive Software Inc. | 185,483 | 785 |
* | SupportSoft, Inc. | 349,894 | 780 |
*,^ | NVE Corp. | 29,791 | 778 |
* | GSE Systems, Inc. | 131,680 | 777 |
| Renaissance Learning, Inc. | 85,280 | 767 |
* | Bottomline Technologies, Inc. | 107,960 | 767 |
* | ModusLink Global Solutions, Inc. | 263,602 | 762 |
| Technitrol, Inc. | 217,832 | 758 |
* | Immersion Corp. | 128,379 | 756 |
*,^ | LoopNet, Inc. | 110,025 | 750 |
* | Radiant Systems, Inc. | 220,914 | 744 |
* | Catapult Communications Corp. | 113,095 | 743 |
* | Gerber Scientific, Inc. | 144,311 | 737 |
| Agilysys, Inc. | 171,405 | 735 |
* | Internet Brands Inc. | 125,804 | 732 |
* | Limelight Networks Inc. | 298,333 | 731 |
* | Trident Microsystems, Inc. | 381,168 | 720 |
* | Volterra Semiconductor Corp. | 99,928 | 714 |
* | Multi-Fineline Electronix, Inc. | 61,003 | 713 |
* | Globecomm Systems, Inc. | 129,838 | 713 |
* | Loral Space and Communications Ltd. | 47,671 | 693 |
* | DivX, Inc. | 132,329 | 692 |
* | Information Services Group, Inc. | 202,749 | 689 |
* | Intevac, Inc. | 134,718 | 683 |
* | Kulicke & Soffa Industries, Inc. | 396,796 | 675 |
* | Super Micro Computer Inc. | 104,684 | 663 |
* | Constant Contact, Inc. | 49,317 | 653 |
* | RadiSys Corp. | 115,290 | 638 |
* | FalconStor Software, Inc. | 229,084 | 637 |
* | Zygo Corp. | 91,815 | 634 |
* | Double-Take Software Inc. | 70,361 | 631 |
* | Switch and Data Inc. | 85,373 | 631 |
* | Smith Micro Software, Inc. | 112,388 | 625 |
* | Network Equipment Technologies, Inc. | 215,930 | 622 |
*,^ | i2 Technologies, Inc. | 96,715 | 618 |
* | Microtune, Inc. | 302,196 | 616 |
* | SiRF Technology Holdings, Inc. | 479,379 | 614 |
* | Dynamics Research Corp. | 75,484 | 604 |
* | ZiLOG, Inc. | 202,394 | 587 |
* | Bitstream Inc. | 126,703 | 587 |
* | OpenTV Corp. | 475,368 | 585 |
* | Online Resources Corp. | 123,276 | 584 |
*,^ | Comverge Inc. | 118,919 | 583 |
* | iPass Inc. | 476,221 | 581 |
*,^ | Orbcomm, Inc. | 268,704 | 580 |
* | Computer Task Group, Inc. | 179,848 | 579 |
* | Rimage Corp. | 43,154 | 579 |
* | Rudolph Technologies, Inc. | 163,410 | 577 |
*,^ | Zix Corp. | 483,117 | 575 |
* | Interactive Intelligence Inc. | 88,792 | 569 |
* | Versant Corp. | 37,647 | 562 |
| MOCON, Inc. | 63,143 | 557 |
* | Phoenix Technologies Ltd. | 158,275 | 554 |
* | Callidus Software Inc. | 180,441 | 540 |
* | Spectrum Control, Inc. | 87,445 | 537 |
* | ActivIdentity Corp. | 299,736 | 537 |
* | Safeguard Scientifics, Inc. | 777,111 | 536 |
* | Performance Technologies, Inc. | 159,575 | 533 |
* | Acme Packet, Inc. | 100,683 | 530 |
* | PC Mall, Inc. | 131,008 | 525 |
* | DemandTec, Inc. | 64,905 | 524 |
Page 40
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Global Cash Access, Inc. | 233,366 | 518 |
* | Datalink Corp. | 166,017 | 516 |
* | STEC Inc. | 120,608 | 514 |
* | Innodata Isogen, Inc. | 202,097 | 505 |
| American Software, Inc. Class A | 107,257 | 504 |
* | Advanced Analogic Technologies, Inc. | 164,354 | 496 |
* | ANADIGICS, Inc. | 334,407 | 495 |
* | Hutchinson Technology, Inc. | 142,192 | 495 |
* | Harris Stratex Networks, Inc. Class A | 95,229 | 491 |
* | The Hackett Group Inc. | 167,847 | 490 |
* | SuccessFactors Inc. | 85,188 | 489 |
| PC-Tel, Inc. | 74,262 | 488 |
| Communications Systems, Inc. | 61,404 | 479 |
*,^ | Maxwell Technologies, Inc. | 93,640 | 475 |
* | KVH Industries, Inc. | 91,587 | 474 |
* | Peerless Systems Corp. | 253,853 | 459 |
* | Lasercard Corp. | 125,116 | 455 |
* | Ramtron International Corp. | 247,156 | 455 |
* | Semitool, Inc. | 148,622 | 453 |
* | ShoreTel, Inc. | 100,399 | 451 |
* | TechTeam Global, Inc. | 77,028 | 451 |
* | Mattson Technology, Inc. | 319,101 | 450 |
* | Photronics, Inc. | 229,007 | 447 |
* | PROS Holdings, Inc. | 77,100 | 443 |
* | Measurement Specialties, Inc. | 62,821 | 437 |
* | SCM Microsystems, Inc. | 193,072 | 434 |
* | Startek, Inc. | 96,998 | 432 |
* | Sumtotal Systems Inc. | 151,566 | 430 |
*,^ | ParkerVision, Inc. | 172,227 | 425 |
* | Tollgrade Communications, Inc. | 88,314 | 422 |
* | White Electronic Designs Corp. | 115,241 | 422 |
* | Video Display Corp. | 52,289 | 419 |
* | Compellent Technologies, Inc. | 42,935 | 418 |
* | MoSys, Inc. | 196,723 | 413 |
*,^ | Research Frontiers, Inc. | 190,352 | 413 |
* | Hughes Communications Inc. | 25,204 | 402 |
* | Aetrium, Inc. | 205,036 | 400 |
*,^ | EMCORE Corp. | 306,747 | 399 |
* | AXT, Inc. | 295,279 | 399 |
| Astro-Med, Inc. | 64,839 | 394 |
* | iGo, Inc. | 558,045 | 391 |
* | Lionbridge Technologies, Inc. | 307,275 | 384 |
* | LoJack Corp. | 93,043 | 383 |
* | Chordiant Software, Inc. | 143,021 | 380 |
* | Aware, Inc. | 203,027 | 380 |
* | Liquidity Services, Inc. | 45,549 | 379 |
* | Telular Corp. | 286,552 | 378 |
* | Rackable Systems Inc. | 95,916 | 378 |
| TheStreet.com, Inc. | 130,289 | 378 |
* | DDi Corp. | 121,432 | 374 |
* | Internap Network Services Corp. | 149,218 | 373 |
* | SRS Labs, Inc. | 77,319 | 369 |
*,^ | Local.com Corp | 228,617 | 366 |
* | Data I/O Corp. | 151,536 | 362 |
* | Tier Technologies, Inc. | 66,386 | 358 |
| QAD Inc. | 85,408 | 358 |
* | LivePerson, Inc. | 193,389 | 352 |
| Keithley Instruments Inc. | 95,046 | 347 |
* | Virage Logic Corp. | 115,291 | 345 |
* | Entrust, Inc. | 216,973 | 343 |
* | PC Connection, Inc. | 66,806 | 342 |
* | Nu Horizons Electronics Corp. | 194,365 | 334 |
* | Aruba Networks, Inc. | 131,024 | 334 |
* | BSQUARE Corp. | 140,983 | 323 |
* | EFJ, Inc. | 239,664 | 321 |
* | Cray, Inc. | 154,015 | 320 |
Page 41
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | I.D. Systems, Inc. | 78,892 | 320 |
* | Airvana, Inc. | 51,197 | 313 |
* | MIPS Technologies, Inc. | 277,691 | 308 |
* | Web.com Group, Inc. | 84,176 | 308 |
* | Monotype Imaging Holdings Inc. | 51,522 | 299 |
* | Saba Software, Inc. | 191,808 | 297 |
* | Quantum Corp. | 810,811 | 292 |
* | TransAct Technologies Inc. | 63,366 | 291 |
* | Micronetics Inc. | 86,414 | 290 |
^ | Imergent, Inc. | 69,800 | 290 |
*,^ | NetSuite Inc. | 34,300 | 290 |
* | Hypercom Corp. | 264,962 | 286 |
* | InFocus Corp. | 362,215 | 286 |
* | Onvia.com, Inc. | 82,133 | 281 |
* | TranSwitch Corp. | 962,203 | 269 |
*,^ | X-Rite Inc. | 179,188 | 267 |
* | ICx Technologies, Inc. | 33,403 | 264 |
*,^ | Intelli-Check Inc. | 158,340 | 261 |
* | Digimarc Corp. | 25,742 | 258 |
* | Techwell, Inc. | 39,500 | 257 |
| Gevity HR, Inc. | 169,418 | 256 |
* | Optical Cable Corp. | 94,361 | 255 |
* | Sourcefire Inc. | 44,748 | 251 |
| Mesa Laboratories, Inc. | 14,700 | 250 |
* | CPI International, Inc. | 28,530 | 247 |
* | Integrated Silicon Solution, Inc. | 146,934 | 240 |
* | OpNext, Inc. | 134,030 | 235 |
*,^ | American Technology Corp. | 268,929 | 229 |
* | Actuate Software Corp. | 77,037 | 228 |
* | Napco Security Systems, Inc. | 169,098 | 218 |
* | Bookham, Inc. | 483,420 | 218 |
*,^ | Silicon Graphics Inc. | 78,102 | 211 |
* | Sonic Solutions, Inc. | 119,020 | 209 |
* | CyberOptics Corp. | 40,195 | 209 |
* | Dice Holdings Inc. | 51,172 | 209 |
* | Endwave Corp. | 86,627 | 208 |
* | Axcelis Technologies, Inc. | 403,427 | 206 |
*,^ | On2 Technologies, Inc. | 1,026,995 | 205 |
* | hi/fn, Inc. | 86,879 | 205 |
* | Selectica, Inc. | 242,075 | 203 |
* | Ultra Clean Holdings, Inc. | 96,353 | 194 |
* | Network Engines, Inc. | 488,278 | 190 |
* | LookSmart, Ltd. | 115,542 | 188 |
* | PAR Technology Corp. | 33,869 | 188 |
* | Occam Networks, Inc. | 77,961 | 187 |
* | NYFIX, Inc. | 206,900 | 186 |
* | Magma Design Automation, Inc. | 182,125 | 186 |
* | Openwave Systems Inc. | 284,775 | 185 |
* | Dot Hill Systems Corp. | 226,620 | 184 |
*,^ | Digital Ally, Inc. | 58,963 | 182 |
* | Unica Corp. | 32,627 | 179 |
* | Conexant Systems, Inc. | 254,139 | 174 |
* | Borland Software Corp. | 165,720 | 174 |
* | SourceForge Inc. | 191,320 | 172 |
* | Lantronix, Inc. | 306,807 | 172 |
* | Hauppage Digital, Inc. | 153,081 | 171 |
* | Frequency Electronics, Inc. | 59,585 | 170 |
* | PLX Technology, Inc. | 98,327 | 169 |
*,^ | Superconductor Technologies Inc. | 166,026 | 168 |
* | LTX-Credence Corp. | 593,661 | 160 |
* | Amtech Systems, Inc. | 42,749 | 158 |
* | LeCroy Corp. | 50,938 | 155 |
* | Soapstone Networks Inc. | 58,902 | 152 |
* | California Micro Devices Corp. | 79,885 | 149 |
* | InsWeb Corp. | 61,961 | 147 |
* | Salary.com, Inc. | 67,340 | 146 |
Page 42
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Simulations Plus, Inc. | 156,710 | 144 |
* | Management Network Group Inc. | 347,479 | 139 |
* | Deltek, Inc. | 28,719 | 133 |
* | Evolving Systems, Inc. | 164,879 | 132 |
* | Rubicon Technology, Inc. | 30,800 | 131 |
* | Rackspace Hosting, Inc. | 24,310 | 131 |
* | Mindspeed Technologies Inc. | 156,939 | 129 |
* | Key Tronic Corp. | 131,723 | 128 |
* | QuickLogic Corp. | 202,760 | 128 |
* | RAE Systems, Inc. | 227,708 | 128 |
* | Isilon Systems Inc. | 38,204 | 126 |
*,^ | Convera Corp. | 453,594 | 122 |
* | I-many, Inc. | 554,781 | 122 |
* | Spansion Inc. Class A | 642,848 | 122 |
* | Autobytel Inc. | 266,374 | 120 |
* | PDF Solutions, Inc. | 79,887 | 115 |
| TSR, Inc. | 54,086 | 108 |
| Bel Fuse, Inc. Class A | 5,719 | 103 |
* | TechTarget | 23,048 | 100 |
* | Majesco Entertainment Co. | 176,715 | 99 |
* | Ditech Networks Inc. | 120,061 | 98 |
| MoneyGram International, Inc. | 89,148 | 90 |
* | Comarco, Inc. | 112,532 | 90 |
* | CallWave, Inc. | 176,508 | 90 |
* | Smart Modular Technologies Inc. | 56,255 | 87 |
* | Powerwave Technologies, Inc. | 172,038 | 86 |
* | GSI Technology Inc. | 30,391 | 83 |
* | Asyst Technologies, Inc. | 306,841 | 77 |
* | SteelCloud Inc. | 234,983 | 75 |
* | LogicVision, Inc. | 94,461 | 71 |
* | En Pointe Technologies, Inc. | 117,959 | 71 |
* | Nanometrics Inc. | 60,288 | 70 |
* | Sonic Foundry, Inc. | 161,520 | 69 |
* | Intraware, Inc. | 17,673 | 69 |
* | TII Network Technologies, Inc. | 107,178 | 68 |
* | Kemet Corp. | 249,665 | 67 |
* | Entropic Communications Inc. | 130,121 | 65 |
* | Cascade Microtech, Inc. | 32,100 | 63 |
* | RF Monolithics, Inc. | 160,383 | 61 |
* | Westell Technologies, Inc. | 207,883 | 55 |
* | Calamp Corp. | 117,789 | 53 |
* | Evans & Sutherland Computer Corp. | 87,527 | 53 |
* | Ikanos Communications, Inc. | 40,764 | 51 |
* | Goldleaf Financial Solutions, Inc. | 69,232 | 51 |
* | AuthenTec, Inc. | 28,700 | 48 |
*,^ | Procera Networks, Inc. | 51,570 | 47 |
* | Livewire Movile, Inc. | 419,224 | 46 |
*,^ | LightPath Technologies, Inc. Class A | 55,757 | 43 |
| Richardson Electronics, Ltd. | 14,409 | 43 |
* | Zhone Technologies | 497,775 | 41 |
* | Intellon Corp. | 15,501 | 39 |
* | Pixelworks, Inc. | 48,796 | 36 |
* | Mastech Holdings, Inc. | 12,664 | 30 |
* | FSI International, Inc. | 83,302 | 26 |
* | AuthentiDate Holding Corp. | 92,855 | 23 |
* | Planar Systems, Inc. | 37,685 | 23 |
*,^ | Access Intergrated Technologies Inc. | 61,852 | 23 |
* | Newtek Business Services, Inc. | 96,342 | 21 |
* | Entorian Technologies Inc. | 65,121 | 19 |
* | DataTRAK International Inc. | 85,096 | 17 |
* | Leadis Technology Inc. | 50,620 | 17 |
*,^ | Midway Games Inc. | 67,218 | 13 |
* | Miva Inc. | 67,625 | 12 |
* | Merix Corp. | 40,537 | 12 |
* | Technology Solutions Co. | 9,671 | 11 |
* | MakeMusic! Inc. | 3,956 | 10 |
Page 43
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Airspan Networks Inc. | 98,904 | 9 |
* | Elixir Gaming Technologies, Inc. | 60,584 | 8 |
* | Glu Mobile Inc. | 13,100 | 7 |
*,^ | Telkonet, Inc. | 46,282 | 6 |
* | Electroglas, Inc. | 39,201 | 6 |
* | PlanetOut, Inc. | 12,670 | 6 |
* | Overland Storage, Inc. | 21,120 | 5 |
* | Kowabunga! Inc. | 61,766 | 4 |
* | Avanex Corp. | 1,751 | 2 |
* | ISCO International, Inc. | 18,000 | 1 |
* | Conolog Corp. | 119 | — |
* | US Dataworks Inc. | 100 | — |
* | PLATO Learning, Inc. | 7 | — |
| | | 1,285,797 |
Materials (5.2%) | | |
| The Mosaic Co. | 874,293 | 30,251 |
^ | Martin Marietta Materials, Inc. | 226,714 | 22,009 |
| FMC Corp. | 407,452 | 18,225 |
| Airgas, Inc. | 445,921 | 17,386 |
* | Crown Holdings, Inc. | 879,953 | 16,895 |
| Cliffs Natural Resources Inc. | 620,036 | 15,879 |
| Lubrizol Corp. | 368,122 | 13,396 |
| AptarGroup Inc. | 369,477 | 13,020 |
| Sonoco Products Co. | 545,004 | 12,622 |
| Albemarle Corp. | 499,300 | 11,134 |
| Compass Minerals International, Inc. | 177,131 | 10,391 |
| Celanese Corp. Series A | 814,038 | 10,119 |
| Steel Dynamics, Inc. | 883,711 | 9,880 |
| Valspar Corp. | 545,854 | 9,875 |
| RPM International, Inc. | 705,957 | 9,382 |
| Terra Industries, Inc. | 558,837 | 9,316 |
| Nalco Holding Co. | 758,425 | 8,752 |
| Royal Gold, Inc. | 163,419 | 8,042 |
| Olin Corp. | 420,831 | 7,609 |
| Packaging Corp. of America | 562,804 | 7,575 |
| Commercial Metals Co. | 623,118 | 7,396 |
| Rock-Tenn Co. | 211,068 | 7,214 |
| Scotts Miracle-Gro Co. | 241,211 | 7,169 |
| Reliance Steel & Aluminum Co. | 348,403 | 6,947 |
| Silgan Holdings, Inc. | 140,430 | 6,714 |
| Sensient Technologies Corp. | 267,310 | 6,383 |
| Greif Inc. Class A | 188,427 | 6,299 |
| Cabot Corp. | 361,720 | 5,534 |
| Cytec Industries, Inc. | 257,982 | 5,474 |
| Texas Industries, Inc. | 152,489 | 5,261 |
| Carpenter Technology Corp. | 241,961 | 4,970 |
* | Domtar Corp. | 2,928,517 | 4,891 |
* | Calgon Carbon Corp. | 299,299 | 4,597 |
| Schnitzer Steel Industries, Inc. Class A | 119,691 | 4,506 |
| Eagle Materials, Inc. | 241,368 | 4,444 |
| H.B. Fuller Co. | 267,962 | 4,317 |
| Minerals Technologies, Inc. | 104,456 | 4,272 |
| Ashland, Inc. | 365,767 | 3,844 |
| Worthington Industries, Inc. | 331,803 | 3,656 |
| Arch Chemicals, Inc. | 137,983 | 3,597 |
* | OM Group, Inc. | 169,420 | 3,576 |
* | Intrepid Potash, Inc. | 165,593 | 3,439 |
| Wausau Paper Corp. | 269,924 | 3,088 |
| Huntsman Corp. | 894,848 | 3,078 |
| Temple-Inland Inc. | 589,213 | 2,828 |
*,^ | Coeur d’Alene Mines Corp. | 3,069,394 | 2,701 |
| Deltic Timber Corp. | 58,628 | 2,682 |
| AMCOL International Corp. | 124,992 | 2,619 |
| Balchem Corp. | 101,268 | 2,523 |
| A. Schulman Inc. | 147,082 | 2,500 |
Page 44
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Koppers Holdings, Inc. | 113,891 | 2,462 |
| NewMarket Corp. | 69,860 | 2,439 |
* | Solutia Inc. | 524,114 | 2,359 |
| Glatfelter | 251,619 | 2,340 |
* | Hecla Mining Co. | 827,532 | 2,317 |
| Zep, Inc. | 118,500 | 2,288 |
* | Rockwood Holdings, Inc. | 189,066 | 2,042 |
* | Century Aluminum Co. | 204,134 | 2,041 |
* | W.R. Grace & Co. | 341,422 | 2,038 |
| Westlake Chemical Corp. | 121,743 | 1,983 |
| Kaiser Aluminum Corp. | 86,957 | 1,958 |
| Chemtura Corp. | 1,342,750 | 1,880 |
| Stepan Co. | 38,893 | 1,828 |
* | RTI International Metals, Inc. | 127,363 | 1,823 |
| Schweitzer-Mauduit International, Inc. | 87,795 | 1,758 |
| Ferro Corp. | 241,937 | 1,706 |
* | PolyOne Corp. | 507,086 | 1,597 |
* | Headwaters Inc. | 233,126 | 1,574 |
* | Brush Engineered Materials Inc. | 111,989 | 1,425 |
* | Haynes International, Inc. | 56,967 | 1,403 |
| Myers Industries, Inc. | 165,567 | 1,325 |
| NL Industries, Inc. | 98,560 | 1,321 |
* | Stillwater Mining Co. | 260,639 | 1,288 |
*,^ | Zoltek Cos., Inc. | 138,123 | 1,242 |
| Olympic Steel, Inc. | 57,950 | 1,180 |
| Spartech Corp. | 175,964 | 1,102 |
| American Vanguard Corp. | 88,478 | 1,035 |
| A.M. Castle & Co. | 88,232 | 956 |
* | Allied Nevada Gold Corp. | 176,036 | 891 |
| Quaker Chemical Corp. | 51,422 | 846 |
* | Buckeye Technology, Inc. | 214,624 | 781 |
| Innophos Holdings Inc. | 39,217 | 777 |
* | Horsehead Holding Corp. | 161,340 | 758 |
* | GenTek, Inc. | 49,504 | 745 |
* | U.S. Concrete, Inc. | 219,904 | 739 |
* | AEP Industries, Inc. | 39,913 | 702 |
* | LSB Industries, Inc. | 82,237 | 684 |
| Penford Corp. | 64,853 | 656 |
| Neenah Paper Inc. | 74,237 | 656 |
* | Universal Stainless & Alloy Products, Inc. | 40,327 | 584 |
* | Landec Corp. | 85,657 | 564 |
* | Graphic Packaging Holding Co. | 482,413 | 550 |
* | General Moly, Inc. | 440,851 | 520 |
| Great Northern Iron Ore Properties | 6,484 | 464 |
*,^ | Flotek Industries, Inc. | 166,180 | 419 |
* | ICO, Inc. | 129,280 | 409 |
* | Kapstone Paper and Packaging Corp. | 160,108 | 381 |
| Hawkins, Inc. | 23,659 | 362 |
| Louisiana-Pacific Corp. | 230,390 | 359 |
* | U.S. Gold Corp. | 331,602 | 302 |
* | ADA-ES Inc. | 97,540 | 298 |
* | American Pacific Corp. | 35,645 | 287 |
* | U.S. Energy Corp. | 167,994 | 276 |
* | Smurfit-Stone Container Corp. | 972,117 | 248 |
* | Omnova Solutions Inc. | 374,867 | 244 |
*,^ | Nanophase Technologies Corp. | 231,023 | 243 |
* | Mercer International Inc. | 113,088 | 217 |
* | Bway Holding Co. | 24,801 | 197 |
| Synalloy Corp. | 40,392 | 194 |
* | Rock of Ages Corp. | 91,696 | 183 |
* | United States Lime & Mineral | 7,451 | 178 |
* | TOR Minerals International, Inc. | 160,090 | 131 |
* | Material Sciences Corp. | 78,240 | 121 |
* | Mod-Pac Corp. | 49,498 | 117 |
* | Solitario Exploration & Royalty Corp. | 49,600 | 74 |
* | Boise, Inc. | 85,944 | 37 |
Page 45
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
* | Eden Bioscience Corp. | 19,908 | 25 |
* | Caraustar Industries, Inc. | 31,483 | 15 |
* | Clean Diesel Technologies, Inc. | 4,027 | 10 |
| Georgia Gulf Corp. | 7,087 | 8 |
* | AbitibiBowater, Inc. | 13,651 | 6 |
| | | 463,245 |
Telecommunication Services (1.8%) | | |
* | Crown Castle International Corp. | 1,338,256 | 23,527 |
* | MetroPCS Communications Inc. | 1,376,853 | 20,446 |
* | NII Holdings Inc. | 905,566 | 16,463 |
| Telephone & Data Systems, Inc. | 437,566 | 13,893 |
* | SBA Communications Corp. | 633,474 | 10,338 |
* | Leap Wireless International, Inc. | 291,394 | 7,836 |
* | tw telecom inc. | 815,813 | 6,910 |
*,^ | Level 3 Communications, Inc. | 8,821,136 | 6,175 |
| Telephone & Data Systems, Inc. - Special Common Shares | 147,351 | 4,141 |
| NTELOS Holdings Corp. | 165,598 | 4,084 |
* | U.S. Cellular Corp. | 92,213 | 3,987 |
* | Centennial Communications Corp. Class A | 462,441 | 3,727 |
| Shenandoah Telecommunications Co. | 130,272 | 3,654 |
* | Syniverse Holdings Inc. | 288,623 | 3,446 |
* | Premiere Global Services, Inc. | 341,850 | 2,943 |
| Iowa Telecommunications Services Inc. | 177,793 | 2,539 |
* | Cincinnati Bell Inc. | 1,303,163 | 2,515 |
| Alaska Communications Systems Holdings, Inc. | 242,324 | 2,273 |
* | Cbeyond Inc. | 141,913 | 2,268 |
* | General Communication, Inc. | 273,127 | 2,210 |
| USA Mobility, Inc. | 165,978 | 1,920 |
* | Cogent Communications Group, Inc. | 249,870 | 1,632 |
| FairPoint Communications, Inc. | 492,150 | 1,614 |
| Consolidated Communications Holdings, Inc. | 97,327 | 1,156 |
| Atlantic Tele-Network, Inc. | 39,471 | 1,048 |
* | FiberNet Telecom Group, Inc. | 92,666 | 973 |
| SureWest Communications | 77,410 | 884 |
* | PAETEC Holding Corp. | 557,422 | 803 |
* | ICO Global Communications (Holdings) Ltd. | 486,630 | 550 |
| Hickory Tech Corp. | 98,065 | 533 |
* | iPCS, Inc. | 73,277 | 503 |
| D&E Communications, Inc. | 66,929 | 448 |
| Warwick Valley Telephone Co. | 48,561 | 444 |
*,^ | 8X8 Inc. | 697,676 | 331 |
* | Vonage Holdings Corp. | 477,040 | 315 |
* | XETA Technologies Inc. | 174,075 | 287 |
* | Virgin Mobile USA, Inc. Class A | 287,750 | 242 |
* | iBasis, Inc. | 136,114 | 192 |
*,^ | Clearwire Corp. | 27,385 | 135 |
* | IDT Corp. Class B | 301,296 | 120 |
| Arbinet Holdings, Inc. | 75,960 | 114 |
* | Fibertower Corp. | 677,138 | 108 |
* | GoAmerica, Inc. | 12,120 | 56 |
* | Multiband Corp. | 33,188 | 33 |
* | TerreStar Corp. | 73,700 | 29 |
* | UCN Inc. | 21,050 | 27 |
* | Globalstar, Inc. | 103,235 | 21 |
* | Fusion Telecommunications International, Inc. | 36,100 | 7 |
* | IDT Corp. | 7,368 | 3 |
| | | 157,903 |
Utilities (5.8%) | | |
* | NRG Energy, Inc. | 1,278,096 | 29,818 |
| MDU Resources Group, Inc. | 1,002,586 | 21,636 |
| NSTAR | 583,138 | 21,279 |
| Northeast Utilities | 850,568 | 20,465 |
| Puget Energy, Inc. | 710,104 | 19,365 |
| Alliant Energy Corp. | 603,452 | 17,609 |
| ONEOK, Inc. | 571,179 | 16,633 |
Page 46
Vanguard® Extended Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
| | | |
* | Mirant Corp. | 854,517 | 16,125 |
| Aqua America, Inc. | 738,576 | 15,207 |
| DPL Inc. | 631,222 | 14,417 |
| UGI Corp. Holding Co. | 589,463 | 14,395 |
| National Fuel Gas Co. | 443,779 | 13,904 |
| AGL Resources Inc. | 419,225 | 13,143 |
| OGE Energy Corp. | 506,722 | 13,063 |
| Piedmont Natural Gas, Inc. | 400,794 | 12,693 |
| NV Energy Inc. | 1,279,740 | 12,657 |
| Great Plains Energy, Inc. | 649,989 | 12,564 |
| Westar Energy, Inc. | 591,739 | 12,137 |
| ITC Holdings Corp. | 271,300 | 11,850 |
| Atmos Energy Corp. | 497,500 | 11,791 |
| Energen Corp. | 391,928 | 11,495 |
| Vectren Corp. | 442,931 | 11,078 |
* | Reliant Energy, Inc. | 1,910,741 | 11,044 |
| Hawaiian Electric Industries Inc. | 492,511 | 10,904 |
| New Jersey Resources Corp. | 230,353 | 9,064 |
| WGL Holdings Inc. | 272,444 | 8,906 |
| Cleco Corp. | 329,089 | 7,513 |
* | Calpine Corp. | 1,014,053 | 7,382 |
| IDACORP, Inc. | 248,566 | 7,320 |
| American Water Works Co., Inc. | 350,011 | 7,308 |
| Portland General Electric Co. | 346,046 | 6,738 |
| Northwest Natural Gas Co. | 146,474 | 6,479 |
| South Jersey Industries, Inc. | 162,433 | 6,473 |
| Southwest Gas Corp. | 241,916 | 6,101 |
| Avista Corp. | 299,423 | 5,803 |
| UniSource Energy Corp. | 196,535 | 5,770 |
| The Laclede Group, Inc. | 122,384 | 5,732 |
| Black Hills Corp. | 212,561 | 5,731 |
| California Water Service Group | 115,112 | 5,345 |
| PNM Resources Inc. | 478,704 | 4,825 |
| ALLETE, Inc. | 146,990 | 4,743 |
| NorthWestern Corp. | 200,733 | 4,711 |
| CH Energy Group, Inc. | 87,703 | 4,507 |
* | El Paso Electric Co. | 248,337 | 4,492 |
| UIL Holdings Corp. | 139,871 | 4,200 |
| MGE Energy, Inc. | 123,174 | 4,065 |
| SCANA Corp. | 100,000 | 3,560 |
| Empire District Electric Co. | 188,141 | 3,311 |
| Ormat Technologies Inc. | 100,638 | 3,207 |
| American States Water Co. | 95,857 | 3,161 |
| SJW Corp. | 74,113 | 2,219 |
| Connecticut Water Services, Inc. | 53,269 | 1,258 |
| Chesapeake Utilities Corp. | 37,582 | 1,183 |
| Central Vermont Public Service Corp. | 48,017 | 1,146 |
| Middlesex Water Co. | 65,928 | 1,136 |
* | Cadiz Inc. | 83,978 | 1,051 |
| Maine & Maritimes Corp. | 20,903 | 812 |
| Unitil Corp. | 23,826 | 492 |
| Southwest Water Co. | 147,946 | 476 |
| The York Water Co. | 31,315 | 380 |
| Artesian Resources Corp Class A | 22,626 | 358 |
| Delta Natural Gas Co., Inc. | 10,850 | 263 |
* | Pure Cycle Corp. | 73,486 | 189 |
| Pennichuck Corp. | 5,833 | 120 |
| Florida Public Util. Co. | 3,708 | 39 |
* | Renegy Holdings, Inc. | 26,965 | 9 |
| | | 522,850 |
Total Common Stocks (Cost $11,814,739) | | 8,869,714 |
Page 47
Vanguard® Extended Market Index Fund | | | | |
Schedule of Investments | | | | |
December 31, 2008 | | | | |
| | | | | Market |
| | | | | Value |
| | Coupon | | Shares | ($000) |
Temporary Cash Investments (3.5%)1 | | | | |
Money Market Fund (3.4%) | | | | |
2,3 | Vanguard Market Liquidity Fund | 1.378% | | 307,378,485 | 307,378 |
| | | | | |
| | | | Face | |
| | | Maturity | Amount | |
| | | Date | ($000) | |
U.S. Agency Obligations (0.1%) | | | | |
4,5 | Federal Home Loan Mortgage Corp. | 2.642% | 2/19/09 | 7,000 | 6,999 |
4,5 | Federal Home Loan Mortgage Corp. | 1.206% | 4/30/09 | 3,000 | 2,997 |
| | | | | 9,996 |
Total Temporary Cash Investments (Cost $317,341) | | | | 317,374 |
Total Investments (102.7%) (Cost $12,132,080) | | | | 9,187,088 |
Other Assets and Liabilities—Net (–2.7%)3 | | | | (245,401) |
Net Assets (100%) | | | | 8,941,687 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $187,135,000.
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 2.7%, 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 Includes $209,463,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
5 Securities with a value of $9,996,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
Page 48
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Extended Market Index Fund:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements (not presented herein) of Vanguard Extended Market Index Fund (constituting a separate portfolio of Vanguard Index Funds, hereafter referred to as the “Fund”) as of December 31, 2008, and for the year then ended and have issued our unqualified report thereon dated February 13, 2009. Our audit included an audit of the Fund’s schedule of investments as of December 31, 2008. This schedule of investments is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this schedule of investments based on our audit.
In our opinion, the accompanying schedule of investments referred to above, when read in conjunction with the financial statements of the Fund referred to above, presents fairly, in all material respects, the information set forth therein.
PricewaterhouseCoopers LLP Philadelphia, PA
February 13, 2009
Page 49
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© 2009 Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA980 022009
> | The U.S. stock market in 2008 suffered its worst calendar-year decline since 1931. No sector was spared. |
> | Returns for Vanguard’s large-capitalization index funds ranged from about –36% for the Value Index Fund to about –38% for the Growth Index Fund. |
> | The Total Stock Market Index Fund, which encompasses large-, mid-, and small-cap stocks, returned about –37%. |
Contents | |
| |
Your Fund’s Total Returns | 1 |
President’s Letter | 4 |
Growth Index Fund | 12 |
Value Index Fund | 31 |
Large-Cap Index Fund | 50 |
Total Stock Market Index Fund | 64 |
Your Fund’s After-Tax Returns | 80 |
About Your Fund’s Expenses | 81 |
Glossary | 84 |
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.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2008 | | |
| Ticker | Total |
| Symbol | Returns |
Vanguard Growth Index Fund | | |
Investor Shares | VIGRX | –38.32% |
Admiral™ Shares1 | VIGAX | –38.22 |
Signal® Shares2 | VIGSX | –38.21 |
Institutional Shares3 | VIGIX | –38.19 |
ETF Shares4 | VUG | |
Market Price | | –38.12 |
Net Asset Value | | –38.22 |
MSCI US Prime Market Growth Index | | –38.22 |
Average Large-Cap Growth Fund5 | | –40.70 |
| | |
Vanguard Value Index Fund | | |
Investor Shares | VIVAX | –35.97% |
Admiral Shares1 | VVIAX | –35.90 |
Signal Shares2 | VVISX | –35.93 |
Institutional Shares3 | VIVIX | –35.88 |
ETF Shares4 | VTV | |
Market Price | | –35.84 |
Net Asset Value | | –35.91 |
MSCI US Prime Market Value Index | | –36.00 |
Average Large-Cap Value Fund5 | | –37.36 |
1 A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
2 Signal Shares also carry lower costs and are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria.
3 This class of shares carries low expenses and is available for a minimum initial investment of $5 million.
4 Vanguard ETF™ Shares are traded on the NYSE Arca exchange and are available only through brokers. The table shows ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337, 138.
5 Derived from data provided by Lipper Inc.
1
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2008 | | |
| Ticker | Total |
| Symbol | Returns |
Vanguard Large-Cap Index Fund | | |
Investor Shares | VLACX | –37.08% |
Admiral Shares1 | VLCAX | –37.05 |
Signal Shares2 | VLCSX | –37.03 |
Institutional Shares3 | VLISX | –37.01 |
ETF Shares4 | VV | |
Market Price | | –36.82 |
Net Asset Value | | –37.02 |
MSCI US Prime Market 750 Index | | –37.06 |
Average Large-Cap Core Fund5 | | –37.23 |
| | |
Vanguard Total Stock Market Index Fund | | |
Investor Shares | VTSMX | –37.04% |
Admiral Shares1 | VTSAX | –36.99 |
Signal Shares2 | VTSSX | –36.99 |
Institutional Shares3 | VITSX | –36.94 |
ETF Shares4 | VTI | |
Market Price | | –36.81 |
Net Asset Value | | –36.97 |
MSCI US Broad Market Index | | –37.04 |
Average Multi-Cap Core Fund5 | | –38.79 |
1 A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
2 Signal Shares also carry lower costs and are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria.
3 This class of shares carries low expenses and is available for a minimum initial investment of $5 million.
4 Vanguard ETF Shares are traded on the NYSE Arca exchange and are available only through brokers. The table shows ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337, 138.
5 Derived from data provided by Lipper Inc.
2
Your Fund’s Performance at a Glance
December 31, 2007–December 31, 2008 | | | | |
| | | Distributions Per Share |
| Starting | Ending | Income | Capital |
| Share Price | Share Price | Dividends | Gains |
Growth Index Fund | | | | |
Investor Shares | $33.23 | $20.29 | $0.262 | $0.000 |
Admiral Shares | 33.23 | 20.30 | 0.295 | 0.000 |
Signal Shares | 30.77 | 18.80 | 0.273 | 0.000 |
Institutional Shares | 33.23 | 20.30 | 0.305 | 0.000 |
ETF Shares | 64.56 | 39.43 | 0.577 | 0.000 |
Value Index Fund | | | | |
Investor Shares | $25.94 | $16.08 | $0.657 | $0.000 |
Admiral Shares | 25.94 | 16.08 | 0.678 | 0.000 |
Signal Shares | 27.00 | 16.73 | 0.706 | 0.000 |
Institutional Shares | 25.94 | 16.08 | 0.686 | 0.000 |
ETF Shares | 66.51 | 41.21 | 1.743 | 0.000 |
Large-Cap Index Fund | | | | |
Investor Shares | $26.59 | $16.41 | $0.405 | $0.000 |
Admiral Shares | 33.25 | 20.51 | 0.537 | 0.000 |
Signal Shares | 29.00 | 17.89 | 0.470 | 0.000 |
Institutional Shares | 136.82 | 84.43 | 2.233 | 0.000 |
ETF Shares | 65.83 | 40.61 | 1.075 | 0.000 |
Total Stock Market Index Fund | | | | |
Investor Shares | $35.36 | $21.80 | $0.586 | $0.000 |
Admiral Shares | 35.36 | 21.80 | 0.609 | 0.000 |
Signal Shares | 34.13 | 21.04 | 0.589 | 0.000 |
Institutional Shares | 35.36 | 21.81 | 0.617 | 0.000 |
ETF Shares | 72.641 | 44.78 | 1.2561 | 0.000 |
1 | Adjusted to reflect a 2-for-1 share split as of close of business on June 13, 2008. |
3
President’s Letter
Dear Shareholder,
Stocks plunged in the fourth quarter, toward the end of a tumultuous 12 months in which the market declined steadily as investors worried about a global economic slump and frozen credit markets. Stocks of all investment styles—large, mid, and small capitalizations as well as value and growth—and just about all investment approaches were swept lower.
Vanguard’s large-cap index funds, as usual, did their job of tracking their indexes efficiently and at low cost, although of course we all wish that the outcomes were happier.
Vanguard Value Index Fund returned –35.97%, while Vanguard Growth Index Fund returned –38.32%. The return of Vanguard Large-Cap Index Fund (–37.08%), which is basically a combination of the Value and Growth Funds, was between theirs, as you might expect. Vanguard Total Stock Market Index Fund—which holds both growth and value funds of all market capitalizations—returned –37.04%. (All of these returns are for Investor Shares.)
If you own one or more of these funds in a taxable account, you may wish to review our report on the funds’ after-tax returns on page 80.
4
Global stock markets faced historic challenges
Problems that had festered in the financial markets for much of 2008 erupted in the year’s final months, leading to high-profile bankruptcies and government rescues. U.S. stocks lost about –23% for the fourth quarter. For the full 12 months, the U.S. stock market returned about –37%, the worst calendar-year performance since 1931. The financial sector, the epicenter of the crisis, was hardest hit, but no sector was safe from the market’s violent downdraft.
Overseas, the news was worse. Stock markets outside the United States returned about –45%, as credit-market turmoil and economic distress reverberated worldwide. Emerging markets fell especially hard, in part because of collapsing commodity prices, which put pressure on the group’s many natural-resource producers.
U.S. Treasuries provided a safe and liquid haven
Bonds provided shelter from the stock market turmoil, though strength was largely confined to U.S. Treasuries. Treasuries surged as investors bid up the highest-quality, most liquid securities. The Federal Reserve Board added fuel to the rally with repeated cuts in its target for the federal funds rate, a benchmark for short-term interest rates. At the start of 2008, the federal funds rate stood at 4.25%; by year-end, it was between 0.00% and 0.25%.
Market Barometer |
| Average Annual Total Returns |
| Periods Ended December 31, 2008 |
| One Year | Three Years | Five Years |
Stocks | | | |
Russell 1000 Index (Large-caps) | –37.60% | –8.66% | –2.04% |
Russell 2000 Index (Small-caps) | –33.79 | –8.29 | –0.93 |
Dow Jones Wilshire 5000 Index (Entire market) | –37.34 | –8.43 | –1.67 |
MSCI All Country World Index ex USA (International) | –45.24 | –6.57 | 3.00 |
| | | |
Bonds | | | |
Barclays Capital U.S. Aggregate Bond Index (Broad taxable market) | 5.24% | 5.51% | 4.65% |
Barclays Capital Municipal Bond Index | –2.47 | 1.86 | 2.71 |
Citigroup 3-Month Treasury Bill Index | 1.80 | 3.76 | 3.10 |
| | | |
CPI | | | |
Consumer Price Index | 0.09% | 2.22% | 2.67% |
| | | | |
5
U.S. government-backed mortgage securities also performed well, though corporate and municipal bonds struggled. For the full year, the broad taxable bond market returned 5.24%.
Energy, credit crisis, and recession combined to scuttle fund returns
Two of the largest sectors of the Total Stock Market Index Fund and the Large-Cap Index Fund were financials and information technology, which together accounted for about a third of each fund’s holdings on average during the period. During a year in which every sector posted double-digit losses, these two sectors accounted for the lion’s share of each fund’s negative return. Large-company stocks dominate the Total Stock Market Index Fund, so it’s not surprising that the funds’ returns were close to each other.
Both financial and tech stocks were under severe pressure. The financial industry grappled with impaired assets, producing nearly frozen credit markets. Some of Wall Street’s biggest firms underwent sweeping changes. Tech companies faced recession-induced belt-tightening by corporations and consumers alike; moreover, financial companies are among their major customers.
Total Returns | |
Ten Years Ended December 31, 2008 | |
| Average |
| Annual Return |
Growth Index Fund Investor Shares | –3.30% |
Spliced Growth Index1 | –3.20 |
Average Large-Cap Growth Fund2 | –4.11 |
Value Index Fund Investor Shares | 0.62% |
Spliced Value Index3 | 0.73 |
Average Large-Cap Value Fund2 | –0.35 |
Large-Cap Index Fund Investor Shares | –2.25%4 |
MSCI US Prime Market 750 Index | –2.134 |
Average Large-Cap Core Fund2 | –3.524 |
Total Stock Market Index Fund Investor Shares | –0.66% |
Spliced Total Stock Market Index5 | –0.63 |
Average Multi-Cap Core Fund2 | –0.61 |
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 www.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.
1 S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth Index thereafter.
2 Derived from data provided by Lipper Inc.
3 S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value Index thereafter.
4 Values since Investor Shares’ inception on January 30, 2004.
5 Dow Jones Wilshire 5000 Index through April 22, 2005; MSCI US Broad Market Index thereafter.
6
Industrial and energy holdings put additional pressure on the funds. The recession, which began just before the fiscal year did, took its toll on industrial companies, which are typically among the first to feel the brunt of a downturn. Soaring, and then collapsing, energy prices whipsawed the energy sector: In our mid-year report, we told you that energy stocks were the market’s best performers, but they’ve since lost a third of their value.
These factors influenced the Growth Index Fund and the Value Index Fund too, of course. But these funds’ focus on stocks of a particular investment style means that each fund emphasizes certain sectors over others, whereas the Total Stock and Large-Cap Funds seek to match market proportions irrespective of investment style. In the Growth Index Fund, the largest sector holding on average was information technology, which accounted for about a third of the fund’s negative return. Energy stocks also hurt performance. For the Value Index Fund, the troubled financial sector was responsible for almost half of its decline.
The challenge for investors now: Don’t lose sight of the long term
As Vanguard has long advised, a sensible approach to evaluating an investment is to assess its longer-term performance. That can help you put short-term swings in perspective—something particularly valuable in trying times like these.
However, an investment’s long-term record can be skewed, for better or worse, by the most recent short-term results. The Total Stock Market Index Fund provides a good example. When we reported to you 12 months ago, the fund had provided an average annual return of 6.25% for its Investor Shares over the decade ended December 31, 2007. Today, owing to the difficult year we just experienced, the picture looks very different: For the decade that ended this past December 31, Total Stock Market reported an average annual return of –0.66%.
The numbers suggest that while ten-year returns are clearly a better anchor for long-term expectations than one-year results are, they too can be heavily influenced by recent performance, especially during extraordinarily volatile years such as 2008.
Some principles of investing never go out of style
Over the past year, global financial markets have experienced an unnerving confluence of events. As experienced investors know, selling in a panic, or letting your emotions drive your investment decisions, is often a recipe for disappointment.
Instead, it’s important to focus on the time-tested principles of balance and diversification, both within and across asset classes. That is why we always encourage investors to choose a mix of stock, bond, and money market funds that is consistent with their goals, time horizon,
7
and tolerance for the markets’ inevitable ups and downs—and then try to stick with it.
Of course, even balanced portfolios of stocks and bonds have faced tough times during the past 12 months. Everything that history has taught us about the markets, however, suggests that these principles can put you in the best position to achieve long-term investment success.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
President and Chief Executive Officer
January 13, 2009
8
Expense Ratios1 | |
Your Fund Compared With Its Peer Group | |
| Expense |
| Ratio |
Growth Index Fund | |
Investor Shares | 0.22% |
Admiral Shares | 0.10 |
Signal Shares | 0.10 |
Institutional Shares | 0.07 |
ETF Shares | 0.10 |
Average Large-Cap Growth Fund | 1.36 |
| |
Value Index Fund | |
Investor Shares | 0.20% |
Admiral Shares | 0.10 |
Signal Shares | 0.10 |
Institutional Shares | 0.07 |
ETF Shares | 0.10 |
Average Large-Cap Value Fund | 1.28 |
| |
Large-Cap Index Fund | |
Investor Shares | 0.20% |
Admiral Shares | 0.08 |
Signal Shares | 0.08 |
Institutional Shares | 0.08 |
ETF Shares | 0.07 |
Average Large-Cap Core Fund | 1.29 |
| |
Total Stock Market Index Fund | |
Investor Shares | 0.15% |
Admiral Shares | 0.07 |
Signal Shares | 0.07 |
Institutional Shares | 0.05 |
ETF Shares | 0.07 |
Average Multi-Cap Core Fund | 1.27 |
1 The fund expense ratios shown are from the prospectuses dated April 29, 2008. For the fiscal year ended December 31, 2008, the Growth Index Fund’s expense ratios were 0.23% for Investor Shares, 0.11% for Admiral Shares, 0.11% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares. The Value Index Fund’s expense ratios were 0.21% for Investor Shares, 0.11% for Admiral Shares, 0.11% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares. The Large-Cap Index Fund’s expense ratios were 0.21% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.07% for Institutional Shares, and 0.07% for ETF Shares. The Total Stock Market Index Fund’s expense ratios were 0.16% for Investor Shares, 0.08% for Admiral Shares, 0.08% for Signal Shares, 0.05% for Institutional Shares, and 0.07% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2007.
9
Vanguard Growth ETF |
Premium/Discount: January 26, 20041–December 31, 2008 |
| | | | |
| Market Price Above or | Market Price Below |
| Equal to Net Asset Value | | Net Asset Value |
| Number | Percentage | Number | Percentage |
Basis Point Differential2 | of Days | of Total Days | of Days | of Total Days |
0–24.9 | 686 | 55.11% | 522 | 41.93% |
25–49.9 | 13 | 1.04 | 5 | 0.40 |
50–74.9 | 4 | 0.32 | 3 | 0.24 |
75–100.0 | 1 | 0.08 | 0 | 0.00 |
>100.0 | 11 | 0.88 | 0 | 0.00 |
Total | 715 | 57.43 | 530 | 42.57 |
Vanguard Value ETF |
Premium/Discount: January 26, 20041–December 31, 2008 |
| | | | |
| Market Price Above or | Market Price Below |
| Equal to Net Asset Value | | Net Asset Value |
| Number | Percentage | Number | Percentage |
Basis Point Differential2 | of Days | of Total Days | of Days | of Total Days |
0–24.9 | 675 | 54.21% | 518 | 41.61% |
25–49.9 | 18 | 1.45 | 5 | 0.40 |
50–74.9 | 2 | 0.16 | 7 | 0.56 |
75–100.0 | 0 | 0.00 | 2 | 0.16 |
>100.0 | 16 | 1.29 | 2 | 0.16 |
Total | 711 | 57.11 | 534 | 42.89 |
Vanguard Large-Cap ETF |
Premium/Discount: January 27, 20041–December 31, 2008 |
| | | | |
| Market Price Above or | Market Price Below |
| Equal to Net Asset Value | | Net Asset Value |
| Number | Percentage | Number | Percentage |
Basis Point Differential2 | of Days | of Total Days | of Days | of Total Days |
0–24.9 | 667 | 53.62% | 540 | 43.41% |
25–49.9 | 16 | 1.29 | 7 | 0.56 |
50–74.9 | 3 | 0.24 | 3 | 0.24 |
75–100.0 | 1 | 0.08 | 1 | 0.08 |
>100.0 | 6 | 0.48 | 0 | 0.00 |
Total | 693 | 55.71 | 551 | 44.29 |
1 Inception.
2 One basis point equals 1/100 of a percentage point.
10
Vanguard Total Stock Market ETF |
Premium/Discount: December 31, 2003–December 31, 2008 |
| | | | |
| Market Price Above or | Market Price Below |
| Equal to Net Asset Value | | Net Asset Value |
| Number | Percentage | Number | Percentage |
Basis Point Differential1 | of Days | of Total Days | of Days | of Total Days |
0–24.9 | 777 | 61.67% | 461 | 36.58% |
25–49.9 | 10 | 0.79 | 3 | 0.24 |
50–74.9 | 2 | 0.16 | 3 | 0.24 |
75–100.0 | 2 | 0.16 | 0 | 0.00 |
>100.0 | 2 | 0.16 | 0 | 0.00 |
Total | 793 | 62.94 | 467 | 37.06 |
1 One basis point equals 1/100 of a percentage point.
11
Growth Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 405 | 403 | 4,593 |
Median Market Cap | $31.5B | $31.5B | $25.3B |
Price/Earnings Ratio | 13.1x | 13.2x | 11.8x |
Price/Book Ratio | 2.6x | 2.6x | 1.7x |
Yield3 | | 1.6% | 2.8% |
Investor Shares | 1.3% | | |
Admiral Shares | 1.5% | | |
Signal Shares | 1.5% | | |
Institutional Shares | 1.6% | | |
ETF Shares | 1.5% | | |
Return on Equity | 23.8% | 23.8% | 20.8% |
Earnings Growth Rate | 23.4% | 23.4% | 17.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 27% | — | — |
Expense Ratio | | | |
(12/31/2007)4 | | — | — |
Investor Shares | 0.22% | | |
Admiral Shares | 0.10% | | |
Signal Shares | 0.10% | | |
Institutional Shares | 0.07% | | |
ETF Shares | 0.10% | | |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) |
| | Target | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 10.4% | 10.4% | 8.9% |
Consumer Staples | 17.1 | 17.1 | 11.2 |
Energy | 5.6 | 5.6 | 12.4 |
Financials | 4.9 | 4.9 | 15.6 |
Health Care | 18.7 | 18.7 | 14.4 |
Industrials | 11.6 | 11.6 | 11.2 |
Information Technology | 27.5 | 27.5 | 15.2 |
Materials | 3.0 | 3.0 | 3.3 |
Telecommunication | | | |
Services | 0.6 | 0.6 | 3.4 |
Utilities | 0.6 | 0.6 | 4.4 |
Volatility Measures5 | |
| Fund Versus | Fund Versus |
| Target Index1 | Broad Index2 |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 1.02 |
Ten Largest Holdings6 (% of total net assets) |
| | |
Microsoft Corp. | systems software | 3.8% |
Wal-Mart Stores, Inc. | hypermarkets and | |
| supercenters | 3.1 |
The Procter & Gamble Co. | household products | 2.8 |
International Business | | |
Machines Corp. | computer hardware | 2.7 |
Cisco Systems, Inc. | communications | |
| equipment | 2.3 |
Philip Morris | | |
International Inc. | tobacco | 2.1 |
Hewlett-Packard Co. | computer hardware | 2.1 |
PepsiCo, Inc. | soft drinks | 2.0 |
Johnson & Johnson | pharmaceuticals | 2.0 |
Abbott Laboratories | pharmaceuticals | 1.9 |
Top Ten | | 24.8% |
Investment Focus
1 MSCI US Prime Market Growth Index.
2 Dow Jones Wilshire 5000 Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the fund’s expense ratios were 0.23% for Investor Shares, 0.11% for Admiral Shares, 0.11% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares.
5 For an explanation of R-squared, beta, and other terms used here, see the Glossary.
6 The holdings listed exclude any temporary cash investments and equity index products.
12
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 www.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: December 31, 1998–December 31, 2008
Initial Investment of $10,000
| Average Annual Total Returns | Final Value |
| Periods Ended December 31, 2008 | of a $10,000 |
| One Year | Five Years | Ten Years | Investment |
Growth Index Fund Investor Shares1 | –38.32% | –3.14% | –3.30% | $7,147 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 9,388 |
Spliced Growth Index2 | –38.22 | –2.98 | –3.20 | 7,223 |
Average Large-Cap Growth Fund3 | –40.70 | –4.04 | –4.11 | 6,573 |
| | | | Final Value |
| | | Since | of a $100,000 |
| One Year | Five Years | Inception4 | Investment |
Growth Index Fund Admiral Shares | –38.22% | –3.02% | –4.90% | $66,481 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –2.26 | 83,059 |
Spliced Growth Index2 | –38.22 | –2.98 | –4.83 | 66,888 |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth Index thereafter.
3 Derived from data provided by Lipper Inc.
4 Performance for the fund’s Admiral Shares and comparative standards is calculated since the Admiral Shares’ inception: November 13, 2000.
Note: See Financial Highlights tables for dividend and capital gains information.
13
Growth Index Fund
| | | Final Value of |
| | Since | a $1,000,000 |
| One Year | Inception1 | Investment |
Growth Index Fund Signal Shares | –38.21% | –25.20% | $632,954 |
Dow Jones Wilshire 5000 Index | –37.34 | –27.50 | 602,494 |
MSCI US Prime Market Growth Index | –38.22 | –25.19 | 633,012 |
| | | | Final Value of |
| | | Ten | a $5,000,000 |
| One Year | Five Years | Years | Investment |
Growth Index Fund Institutional Shares | –38.19% | –2.99% | –3.17% | $3,622,073 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 4,693,933 |
Spliced Growth Index2 | –38.22 | –2.98 | –3.20 | 3,611,387 |
| | | Final Value |
| | Since | of a $10,000 |
| One Year | Inception1 | Investment |
Growth Index Fund ETF Shares Net Asset Value | –38.22% | –3.94% | $8,201 |
Dow Jones Wilshire 5000 Index | –37.34 | –2.57 | 8,795 |
MSCI US Prime Market Growth Index | –38.22 | –3.90 | 8,221 |
Cumulative Returns of ETF Shares: January 26, 2004–December 31, 2008 |
| | |
| | Cumulative |
| One Year | Since Inception1 |
Growth Index Fund ETF Shares Market Price | –38.12% | –17.88% |
Growth Index Fund ETF Shares Net Asset Value | –38.22 | –17.99 |
MSCI US Prime Market Growth Index | –38.22 | –17.79 |
Fiscal-Year Total Returns (%): December 31, 1998–December 31, 2008
1 Performance for the fund and its comparative standards is calculated since the following inception dates: June 4, 2007, for Signal Shares and January 26, 2004, for ETF Shares.
2 S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth Index thereafter.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
Note: See Financial Highlights tables for dividend and capital gains information.
14
Growth Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2008
The fund provides a complete list of its holdings 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 www.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 (100.0%) | | |
Consumer Discretionary (10.4%) | | |
| McDonald’s Corp. | 2,990,486 | 185,978 |
| Lowe’s Cos., Inc. | 3,892,650 | 83,770 |
| Target Corp. | 1,957,600 | 67,596 |
| Comcast Corp. Special | | |
| Class A | 3,816,907 | 61,643 |
| Comcast Corp. Class A | 3,643,507 | 61,502 |
| NIKE, Inc. Class B | 995,781 | 50,785 |
* | Amazon.com, Inc. | 849,278 | 43,551 |
| Yum! Brands, Inc. | 1,246,235 | 39,256 |
* | DIRECTV Group, Inc. | 1,623,329 | 37,191 |
| Staples, Inc. | 1,866,821 | 33,453 |
* | Kohl’s Corp. | 774,706 | 28,044 |
* | Apollo Group, Inc. Class A | 357,138 | 27,364 |
* | Viacom Inc. Class B | 1,423,429 | 27,131 |
| Best Buy Co., Inc. | 930,947 | 26,169 |
| TJX Cos., Inc. | 1,115,116 | 22,938 |
| Omnicom Group Inc. | 847,588 | 22,817 |
| The McGraw-Hill Cos., Inc. | 844,414 | 19,582 |
* | Coach, Inc. | 895,705 | 18,604 |
* | Starbucks Corp. | 1,942,539 | 18,376 |
* | Bed Bath & Beyond, Inc. | 692,343 | 17,599 |
* | AutoZone Inc. | 117,747 | 16,422 |
| Marriott International, Inc. | | |
| Class A | 748,270 | 14,554 |
| Tim Hortons, Inc. | 486,799 | 14,039 |
| Ross Stores, Inc. | 353,048 | 10,496 |
| Cablevision Systems NY | | |
| Group Class A | 621,294 | 10,463 |
* | O’Reilly Automotive, Inc. | 338,310 | 10,400 |
* | Dollar Tree, Inc. | 239,392 | 10,007 |
| H & R Block, Inc. | 437,576 | 9,942 |
| DeVry, Inc. | 170,898 | 9,811 |
* | ITT Educational | | |
| Services, Inc. | 103,270 | 9,809 |
| Family Dollar Stores, Inc. | 352,776 | 9,197 |
* | GameStop Corp. Class A | 413,241 | 8,951 |
| Starwood Hotels & | | |
| Resorts Worldwide, Inc. | 496,345 | 8,885 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Tiffany & Co. | 334,794 | 7,911 |
* | Liberty Global, Inc. Series C | 513,061 | 7,788 |
* | Toll Brothers, Inc. | 358,675 | 7,686 |
*,^ | Priceline.com, Inc. | 98,209 | 7,233 |
*,^ | Wynn Resorts Ltd. | 163,826 | 6,923 |
| Polo Ralph Lauren Corp. | 150,005 | 6,812 |
| PetSmart, Inc. | 338,475 | 6,245 |
| Burger King Holdings Inc. | 251,738 | 6,012 |
| Garmin Ltd. | 302,982 | 5,808 |
| Scripps Networks Interactive | 236,056 | 5,193 |
* | Discovery Communications | | |
| Inc. Class C | 373,746 | 5,004 |
* | NVR, Inc. | 10,820 | 4,937 |
* | Las Vegas Sands Corp. | 828,923 | 4,916 |
* | Urban Outfitters, Inc. | 311,011 | 4,659 |
* | Liberty Global, Inc. Class A | 291,960 | 4,648 |
*,^ | CarMax, Inc. | 585,774 | 4,616 |
* | Penn National Gaming, Inc. | 193,368 | 4,134 |
* | DISH Network Corp. | 365,553 | 4,054 |
*,^ | MGM Mirage, Inc. | 256,936 | 3,535 |
| Abercrombie & Fitch Co. | 150,249 | 3,466 |
* | Discovery Communications | | |
| Inc. Class A | 231,508 | 3,278 |
| Nordstrom, Inc. | 214,886 | 2,860 |
| Weight Watchers | | |
| International, Inc. | 93,740 | 2,758 |
| Harman International | | |
| Industries, Inc. | 146,826 | 2,456 |
*,^ | Lamar Advertising Co. | | |
| Class A | 191,778 | 2,409 |
| Guess ?, Inc. | 151,401 | 2,324 |
* | Interpublic Group of | | |
| Cos., Inc. | 443,159 | 1,755 |
* | Liberty Media Corp.– | | |
| Interactive Series A | 524,219 | 1,636 |
* | Sirius XM Radio Inc. | 7,610,364 | 913 |
* | Clear Channel Outdoor | | |
| Holdings, Inc. Class A | 108,496 | 667 |
* | CTC Media, Inc. | 120,836 | 580 |
| | | 1,169,541 |
15
Growth Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
Consumer Staples (17.1%) | | |
| Wal-Mart Stores, Inc. | 6,291,698 | 352,713 |
| The Procter & Gamble Co. | 5,093,366 | 314,872 |
| Philip Morris | | |
| International Inc. | 5,480,614 | 238,461 |
| PepsiCo, Inc. | 4,160,202 | 227,854 |
| The Coca-Cola Co. | 2,765,777 | 125,207 |
| CVS Caremark Corp. | 3,816,102 | 109,675 |
| Colgate-Palmolive Co. | 1,344,718 | 92,167 |
| Walgreen Co. | 2,632,014 | 64,932 |
| Costco Wholesale Corp. | 1,156,013 | 60,691 |
| The Kroger Co. | 1,654,214 | 43,688 |
| Sysco Corp. | 1,600,587 | 36,717 |
| General Mills, Inc. | 578,259 | 35,129 |
| Kellogg Co. | 706,083 | 30,962 |
| Avon Products, Inc. | 1,131,825 | 27,198 |
| The Clorox Co. | 367,066 | 20,394 |
| Kimberly-Clark Corp. | 386,384 | 20,378 |
| H.J. Heinz Co. | 415,164 | 15,610 |
| UST, Inc. | 196,056 | 13,602 |
| Lorillard, Inc. | 231,202 | 13,028 |
| Campbell Soup Co. | 385,163 | 11,559 |
| Church & Dwight, Inc. | 177,184 | 9,944 |
* | Ralcorp Holdings, Inc. | 149,500 | 8,731 |
| The Estee Lauder Cos. Inc. | |
| Class A | 278,818 | 8,632 |
* | Energizer Holdings, Inc. | 146,829 | 7,949 |
| The Hershey Co. | 209,787 | 7,288 |
* | Dean Foods Co. | 404,945 | 7,277 |
* | Hansen Natural Corp. | 196,320 | 6,583 |
* | Dr. Pepper Snapple | | |
| Group, Inc. | 337,204 | 5,479 |
| McCormick & Co., Inc. | 154,325 | 4,917 |
| Brown-Forman Corp. | | |
| Class B | 90,338 | 4,651 |
| Hormel Foods Corp. | 69,401 | 2,157 |
| | | 1,928,445 |
Energy (5.6%) | | |
| Schlumberger Ltd. | 3,189,641 | 135,017 |
| Occidental Petroleum Corp. | 760,369 | 45,614 |
| EOG Resources, Inc. | 661,535 | 44,045 |
* | Transocean Ltd. | 848,232 | 40,079 |
| XTO Energy, Inc. | 949,322 | 33,483 |
| Halliburton Co. | 1,515,387 | 27,550 |
| Hess Corp. | 505,959 | 27,140 |
* | Southwestern Energy Co. | 912,472 | 26,434 |
| Baker Hughes Inc. | 819,555 | 26,283 |
* | Weatherford | | |
| International Ltd. | 1,809,729 | 19,581 |
* | National Oilwell Varco Inc. | 721,258 | 17,628 |
| Noble Corp. | 715,494 | 15,784 |
| Range Resources Corp. | 412,349 | 14,181 |
* | Ultra Petroleum Corp. | 406,265 | 14,020 |
| CONSOL Energy, Inc. | 487,009 | 13,919 |
| Murphy Oil Corp. | 312,606 | 13,864 |
| Smith International, Inc. | 581,757 | 13,316 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Cameron International Corp. | 578,711 | 11,864 |
| Diamond Offshore | | |
| Drilling, Inc. | 184,752 | 10,889 |
| Peabody Energy Corp. | 469,966 | 10,692 |
* | Petrohawk Energy Corp. | 657,271 | 10,273 |
* | FMC Technologies Inc. | 338,676 | 8,071 |
| Williams Cos., Inc. | 536,144 | 7,763 |
* | Denbury Resources, Inc. | 656,357 | 7,167 |
| ENSCO International, Inc. | 247,582 | 7,029 |
| Helmerich & Payne, Inc. | 181,753 | 4,135 |
| Arch Coal, Inc. | 249,378 | 4,062 |
* | IHS Inc. Class A | 97,081 | 3,633 |
* | Nabors Industries, Inc. | 260,547 | 3,119 |
| Massey Energy Co. | 224,707 | 3,099 |
* | Continental Resources, Inc. | 134,882 | 2,793 |
* | CNX Gas Corp. | 80,131 | 2,188 |
* | Alpha Natural | | |
| Resources, Inc. | 121,737 | 1,971 |
| Tidewater Inc. | 45,439 | 1,830 |
* | SandRidge Energy, Inc. | 286,002 | 1,759 |
| Walter Industries, Inc. | 96,210 | 1,685 |
| Rowan Cos., Inc. | 104,982 | 1,669 |
* | Quicksilver Resources, Inc. | 273,882 | 1,525 |
| | | 635,154 |
Financials (4.9%) | | |
* | Berkshire Hathaway Inc. | | |
| Class B | 26,657 | 85,676 |
| AFLAC Inc. | 1,266,209 | 58,043 |
| The Goldman | | |
| Sachs Group, Inc. | 519,830 | 43,868 |
| Charles Schwab Corp. | 2,602,940 | 42,090 |
| CME Group, Inc. | 160,976 | 33,501 |
| State Street Corp. | 746,124 | 29,345 |
| Franklin Resources Corp. | 435,941 | 27,804 |
| Northern Trust Corp. | 528,900 | 27,577 |
| Public Storage, Inc. REIT | 337,443 | 26,827 |
| T. Rowe Price Group Inc. | 653,514 | 23,161 |
| Hudson City Bancorp, Inc. | 1,243,470 | 19,846 |
| Simon Property | | |
| Group, Inc. REIT | 299,084 | 15,890 |
| Ventas, Inc. REIT | 379,780 | 12,749 |
* | IntercontinentalExchange | | |
| Inc. | 150,354 | 12,395 |
| Moody’s Corp. | 550,664 | 11,063 |
| Aon Corp. | 232,430 | 10,617 |
* | Nasdaq Stock Market Inc. | 371,959 | 9,191 |
* | TD Ameritrade | | |
| Holding Corp. | 630,019 | 8,978 |
| Progressive Corp. of Ohio | 597,099 | 8,843 |
| Brown & Brown, Inc. | 317,938 | 6,645 |
| Eaton Vance Corp. | 291,394 | 6,122 |
| SEI Investments Co. | 356,405 | 5,599 |
| Plum Creek Timber | | |
| Co. Inc. REIT | 159,169 | 5,529 |
| Jefferies Group, Inc. | 301,851 | 4,244 |
* | Markel Corp. | 12,446 | 3,721 |
16
Growth Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| NYSE Euronext | 123,672 | 3,386 |
| TFS Financial Corp. | 195,130 | 2,517 |
* | The St. Joe Co. | 85,806 | 2,087 |
| BOK Financial Corp. | 31,406 | 1,269 |
* | CB Richard Ellis Group, Inc. | 284,272 | 1,228 |
| Capitol Federal Financial | 20,659 | 942 |
| Forest City Enterprise | | |
| Class A | 58,924 | 395 |
| | | 551,148 |
Health Care (18.7%) | | |
| Johnson & Johnson | 3,715,218 | 222,282 |
| Abbott Laboratories | 4,098,900 | 218,758 |
* | Amgen Inc. | 2,813,202 | 162,462 |
* | Gilead Sciences, Inc. | 2,444,578 | 125,016 |
* | Genentech, Inc. | 1,263,053 | 104,720 |
| Medtronic, Inc. | 2,993,256 | 94,048 |
| Baxter International, Inc. | 1,668,836 | 89,433 |
| UnitedHealth Group Inc. | 3,237,599 | 86,120 |
| Schering-Plough Corp. | 4,322,297 | 73,609 |
* | Celgene Corp. | 1,209,458 | 66,859 |
* | WellPoint Inc. | 1,359,556 | 57,278 |
* | Medco Health | | |
| Solutions, Inc. | 1,344,523 | 56,349 |
* | Genzyme Corp. | 714,328 | 47,410 |
| Becton, Dickinson & Co. | 647,549 | 44,286 |
* | Thermo Fisher | | |
| Scientific, Inc. | 1,114,034 | 37,955 |
* | Biogen Idec Inc. | 771,683 | 36,755 |
| Aetna Inc. | 1,253,857 | 35,735 |
| Allergan, Inc. | 809,263 | 32,629 |
| Stryker Corp. | 767,362 | 30,656 |
* | Express Scripts Inc. | 557,338 | 30,642 |
* | St. Jude Medical, Inc. | 908,776 | 29,953 |
| McKesson Corp. | 733,619 | 28,413 |
* | Zimmer Holdings, Inc. | 598,780 | 24,203 |
| Covidien Ltd. | 667,056 | 24,174 |
| Quest Diagnostics, Inc. | 440,958 | 22,890 |
| C.R. Bard, Inc. | 264,100 | 22,253 |
* | Laboratory Corp. of | | |
| America Holdings | 295,570 | 19,038 |
* | Humana Inc. | 449,031 | 16,740 |
* | Cephalon, Inc. | 180,782 | 13,927 |
* | DaVita, Inc. | 277,547 | 13,758 |
* | Intuitive Surgical, Inc. | 103,249 | 13,112 |
* | Varian Medical Systems, Inc. | 331,930 | 11,631 |
| DENTSPLY International Inc. | 375,470 | 10,603 |
* | Life Technologies Corp. | 451,172 | 10,517 |
* | Forest Laboratories, Inc. | 405,236 | 10,321 |
* | Waters Corp. | 263,071 | 9,642 |
* | Hologic, Inc. | 681,262 | 8,904 |
* | Henry Schein, Inc. | 237,541 | 8,715 |
* | Illumina, Inc. | 322,373 | 8,398 |
* | Endo Pharmaceuticals | | |
| Holdings, Inc. | 319,737 | 8,275 |
| Pharmaceutical Product | | |
| Development, Inc. | 284,948 | 8,266 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Edwards Lifesciences Corp. | 149,508 | 8,215 |
* | Myriad Genetics, Inc. | 121,313 | 8,038 |
* | Vertex Pharmaceuticals, Inc. | 256,731 | 7,800 |
* | Covance, Inc. | 167,466 | 7,708 |
* | Millipore Corp. | 146,737 | 7,560 |
* | ResMed Inc. | 200,791 | 7,526 |
* | Hospira, Inc. | 275,528 | 7,390 |
| IMS Health, Inc. | 483,411 | 7,329 |
| Beckman Coulter, Inc. | 165,258 | 7,261 |
* | Cerner Corp. | 182,613 | 7,021 |
* | Alexion | | |
| Pharmaceuticals, Inc. | 193,980 | 7,020 |
| Perrigo Co. | 210,496 | 6,801 |
| Techne Corp. | 97,592 | 6,297 |
* | Coventry Health Care Inc. | 393,735 | 5,859 |
* | Lincare Holdings, Inc. | 195,070 | 5,253 |
* | Charles River | | |
| Laboratories, Inc. | 180,181 | 4,721 |
* | Patterson Companies, Inc. | 242,103 | 4,539 |
* | Amylin | | |
| Pharmaceuticals, Inc. | 364,772 | 3,958 |
* | Warner Chilcott Ltd. | 266,609 | 3,866 |
* | Sepracor Inc. | 289,228 | 3,176 |
* | Kinetic Concepts, Inc. | 144,587 | 2,773 |
* | WellCare Health Plans Inc. | 110,710 | 1,424 |
| Teva Pharmaceutical | | |
| Industries Ltd. | | |
| Sponsored ADR | 22,943 | 977 |
| | | 2,109,247 |
Industrials (11.6%) | | |
| 3M Co. | 1,765,607 | 101,593 |
| The Boeing Co. | 1,869,802 | 79,784 |
| Emerson Electric Co. | 2,063,172 | 75,533 |
| Lockheed Martin Corp. | 895,769 | 75,316 |
| Burlington Northern | | |
| Santa Fe Corp. | 915,715 | 69,329 |
| Union Pacific Corp. | 1,353,764 | 64,710 |
| Raytheon Co. | 1,108,475 | 56,577 |
| FedEx Corp. | 786,026 | 50,424 |
| Caterpillar, Inc. | 1,052,006 | 46,993 |
| Danaher Corp. | 678,396 | 38,404 |
| CSX Corp. | 1,083,852 | 35,193 |
| United Parcel Service, Inc. | 634,853 | 35,018 |
| PACCAR, Inc. | 917,751 | 26,248 |
| C.H. Robinson | | |
| Worldwide Inc. | 451,718 | 24,858 |
| L-3 Communications | | |
| Holdings, Inc. | 322,764 | 23,813 |
| Precision Castparts Corp. | 370,505 | 22,038 |
| Deere & Co. | 572,842 | 21,951 |
| Honeywell International Inc. | 658,040 | 21,603 |
| Fluor Corp. | 475,929 | 21,355 |
| ITT Industries, Inc. | 459,011 | 21,110 |
| Expeditors International | | |
| of Washington, Inc. | 566,449 | 18,846 |
| Southwest Airlines Co. | 1,951,364 | 16,821 |
17
Growth Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Rockwell Collins, Inc. | 423,795 | 16,566 |
* | Jacobs Engineering | | |
| Group Inc. | 325,428 | 15,653 |
| Waste Management, Inc. | 456,374 | 15,124 |
* | First Solar, Inc. | 106,412 | 14,681 |
| Pitney Bowes, Inc. | 552,278 | 14,072 |
| Cummins Inc. | 511,923 | 13,684 |
| W.W. Grainger, Inc. | 172,188 | 13,575 |
| Cooper Industries, Inc. | | |
| Class A | 462,414 | 13,516 |
* | Iron Mountain, Inc. | 508,739 | 12,581 |
* | Stericycle, Inc. | 227,056 | 11,825 |
^ | Fastenal Co. | 335,596 | 11,695 |
| The Dun & Bradstreet Corp. | 145,023 | 11,196 |
| Roper Industries Inc. | 238,124 | 10,337 |
| Tyco International, Ltd. | 441,796 | 9,543 |
* | Delta Air Lines Inc. | 807,676 | 9,256 |
* | Quanta Services, Inc. | 464,367 | 9,194 |
| Equifax, Inc. | 340,938 | 9,042 |
* | Foster Wheeler Ltd. | 383,395 | 8,964 |
| Ametek, Inc. | 283,640 | 8,569 |
| Robert Half | | |
| International, Inc. | 393,711 | 8,197 |
| Flowserve Corp. | 152,565 | 7,857 |
* | Alliant Techsystems, Inc. | 87,579 | 7,511 |
* | Covanta Holding Corp. | 328,070 | 7,204 |
* | AMR Corp. | 668,638 | 7,134 |
| KBR Inc. | 451,389 | 6,861 |
| Joy Global Inc. | 287,724 | 6,586 |
| Donaldson Co., Inc. | 186,786 | 6,285 |
* | FTI Consulting, Inc. | 134,487 | 6,009 |
* | McDermott | | |
| International, Inc. | 604,316 | 5,971 |
| Ryder System, Inc. | 150,031 | 5,818 |
* | AGCO Corp. | 243,871 | 5,753 |
| J.B. Hunt Transport | | |
| Services, Inc. | 217,044 | 5,702 |
* | Copart, Inc. | 194,398 | 5,286 |
* | Kansas City Southern | 241,586 | 4,602 |
| Pall Corp. | 159,285 | 4,528 |
| Goodrich Corp. | 116,366 | 4,308 |
*,^ | SunPower Corp. Class A | 103,584 | 3,833 |
| Bucyrus International, Inc. | 198,920 | 3,684 |
* | Navistar International Corp. | 170,236 | 3,640 |
* | Monster Worldwide Inc. | 300,996 | 3,639 |
* | SunPower Corp. Class B | 111,685 | 3,400 |
* | Spirit Aerosystems | | |
| Holdings Inc. | 137,412 | 1,397 |
| The Manitowoc Co., Inc. | 121,380 | 1,051 |
* | USG Corp. | 68,786 | 553 |
| | | 1,303,399 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
Information Technology (27.5%) | |
| Microsoft Corp. | 21,849,485 | 424,754 |
| International Business | | |
| Machines Corp. | 3,602,472 | 303,184 |
* | Cisco Systems, Inc. | 15,693,690 | 255,807 |
| Hewlett-Packard Co. | 6,553,703 | 237,834 |
* | Apple Inc. | 2,355,435 | 201,036 |
* | Google Inc. | 635,400 | 195,481 |
* | Oracle Corp. | 10,980,493 | 194,684 |
| QUALCOMM Inc. | 4,363,254 | 156,335 |
| Visa Inc. | 1,190,535 | 62,444 |
* | EMC Corp. | 5,505,350 | 57,641 |
| Automatic Data | | |
| Processing, Inc. | 1,378,342 | 54,224 |
| Texas Instruments, Inc. | 3,485,517 | 54,095 |
| Accenture Ltd. | 1,598,479 | 52,414 |
* | Dell Inc. | 4,836,123 | 49,522 |
* | Yahoo! Inc. | 3,500,407 | 42,705 |
* | eBay Inc. | 2,939,341 | 41,033 |
| Corning, Inc. | 4,195,542 | 39,984 |
| Applied Materials, Inc. | 3,603,969 | 36,508 |
| MasterCard, Inc. Class A | 235,291 | 33,630 |
* | Symantec Corp. | 2,231,004 | 30,163 |
* | Adobe Systems, Inc. | 1,410,387 | 30,027 |
| Western Union Co. | 1,938,591 | 27,799 |
* | Juniper Networks, Inc. | 1,445,201 | 25,305 |
| Paychex, Inc. | 862,601 | 22,669 |
| CA, Inc. | 1,102,347 | 20,426 |
* | Broadcom Corp. | 1,170,951 | 19,871 |
* | Intuit, Inc. | 810,807 | 19,289 |
* | Fiserv, Inc. | 436,144 | 15,863 |
* | Agilent Technologies, Inc. | 957,419 | 14,964 |
* | Cognizant Technology | | |
| Solutions Corp. | 775,338 | 14,003 |
* | McAfee Inc. | 402,223 | 13,905 |
* | Activision Blizzard, Inc. | 1,577,404 | 13,629 |
* | BMC Software, Inc. | 505,236 | 13,596 |
* | Electronic Arts Inc. | 847,580 | 13,595 |
| Harris Corp. | 356,709 | 13,573 |
| Altera Corp. | 799,777 | 13,364 |
| Linear Technology Corp. | 588,889 | 13,026 |
* | NetApp, Inc. | 869,338 | 12,145 |
* | Autodesk, Inc. | 595,382 | 11,699 |
* | Citrix Systems, Inc. | 484,809 | 11,427 |
* | NVIDIA Corp. | 1,405,802 | 11,345 |
| Amphenol Corp. | 470,049 | 11,272 |
* | Affiliated Computer | | |
| Services, Inc. Class A | 241,011 | 11,074 |
* | FLIR Systems, Inc. | 351,522 | 10,785 |
| KLA-Tencor Corp. | 460,519 | 10,035 |
* | VeriSign, Inc. | 513,640 | 9,800 |
18
Growth Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Microchip Technology, Inc. | 489,495 | 9,560 |
* | SAIC, Inc. | 489,207 | 9,530 |
* | Marvell Technology | | |
| Group Ltd. | 1,365,181 | 9,106 |
* | salesforce.com, inc. | 273,383 | 8,751 |
* | MEMC Electronic | | |
| Materials, Inc. | 600,557 | 8,576 |
* | Alliance Data | | |
| Systems Corp. | 178,736 | 8,317 |
* | LAM Research Corp. | 333,596 | 7,099 |
* | Teradata Corp. | 474,529 | 7,037 |
* | Trimble Navigation Ltd. | 321,567 | 6,949 |
| Global Payments Inc. | 211,674 | 6,941 |
* | Akamai Technologies, Inc. | 449,542 | 6,784 |
* | Red Hat, Inc. | 508,628 | 6,724 |
* | Hewitt Associates, Inc. | 233,138 | 6,616 |
| Total System Services, Inc. | 446,682 | 6,254 |
| National | | |
| Semiconductor Corp. | 609,711 | 6,140 |
* | Mettler-Toledo | | |
| International Inc. | 90,838 | 6,122 |
* | LSI Corp. | 1,711,049 | 5,629 |
* | Micron Technology, Inc. | 2,023,056 | 5,341 |
* | Nuance | | |
| Communications, Inc. | 483,894 | 5,013 |
* | Dolby Laboratories Inc. | 137,320 | 4,499 |
* | DST Systems, Inc. | 103,970 | 3,949 |
* | SanDisk Corp. | 388,747 | 3,732 |
* | Novellus Systems, Inc. | 263,469 | 3,251 |
* | VMware Inc. | 118,017 | 2,796 |
* | Western Digital Corp. | 205,940 | 2,358 |
* | Advanced Micro | | |
| Devices, Inc. | 1,048,872 | 2,266 |
* | NCR Corp. | 152,172 | 2,152 |
* | JDS Uniphase Corp. | 569,632 | 2,079 |
| Molex, Inc. Class A | 102,501 | 1,327 |
| Molex, Inc. | 67,505 | 978 |
| | | 3,093,840 |
Materials (3.0%) | | |
| Monsanto Co. | 1,462,349 | 102,876 |
| Praxair, Inc. | 837,513 | 49,715 |
| Newmont Mining Corp. | | |
| (Holding Co.) | 1,167,872 | 47,532 |
| Ecolab, Inc. | 633,365 | 22,263 |
| Rohm & Haas Co. | 334,515 | 20,670 |
| The Mosaic Co. | 413,285 | 14,300 |
| Sigma-Aldrich Corp. | 334,918 | 14,147 |
* | Owens-Illinois, Inc. | 443,756 | 12,128 |
* | Crown Holdings, Inc. | 427,837 | 8,215 |
| Airgas, Inc. | 197,236 | 7,690 |
^ | Martin Marietta | | |
| Materials, Inc. | 71,478 | 6,939 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Pactiv Corp. | 226,218 | 5,628 |
| CF Industries | | |
| Holdings, Inc. | 92,724 | 4,558 |
| Albemarle Corp. | 194,367 | 4,334 |
| Nalco Holding Co. | 374,222 | 4,319 |
| Cliffs Natural | | |
| Resources Inc. | 141,744 | 3,630 |
| FMC Corp. | 66,014 | 2,953 |
| Allegheny Technologies Inc. | 83,952 | 2,143 |
| Celanese Corp. Series A | 139,603 | 1,735 |
| Terra Industries, Inc. | 85,265 | 1,421 |
| AK Steel Holding Corp. | 148,980 | 1,389 |
| Reliance Steel & | | |
| Aluminum Co. | 61,419 | 1,225 |
| | | 339,810 |
Telecommunication Services (0.6%) | | |
* | American Tower Corp. | | |
| Class A | 1,047,352 | 30,709 |
* | Crown Castle | | |
| International Corp. | 722,656 | 12,704 |
* | MetroPCS Communications | | |
| Inc. | 558,118 | 8,288 |
* | NII Holdings Inc. | 440,501 | 8,008 |
* | Leap Wireless | | |
| International, Inc. | 147,155 | 3,957 |
* | Level 3 | | |
| Communications, Inc. | 4,142,704 | 2,900 |
| | | 66,566 |
Utilities (0.6%) | | |
| Allegheny Energy, Inc. | 448,940 | 15,201 |
* | AES Corp. | 1,788,657 | 14,739 |
* | NRG Energy, Inc. | 595,989 | 13,904 |
| Equitable Resources, Inc. | 330,418 | 11,085 |
| Questar Corp. | 299,621 | 9,795 |
| Energen Corp. | 90,511 | 2,655 |
| | | 67,379 |
Total Common Stocks | | |
(Cost $12,883,883) | | 11,264,529 |
Temporary Cash Investment (0.2%) | | |
1,2 | Vanguard Market Liquidity | | |
| Fund, 1.378% | | |
| (Cost $26,378) | 26,378,002 | 26,378 |
Total Investments (100.2%) | | |
(Cost $12,910,261) | | 11,290,907 |
Other Assets and Liabilities (–0.2%) | | |
Other Assets | | 67,999 |
Liabilities2 | | (90,764) |
| | | (22,765) |
Net Assets (100%) | | 11,268,142 |
19
Growth Index Fund
At December 31, 2008, net assets consisted of: |
| Amount |
| ($000) |
Paid-in Capital | 16,613,884 |
Overdistributed Net Investment Income | (21,855) |
Accumulated Net Realized Losses | (3,704,533) |
Unrealized Appreciation (Depreciation) | (1,619,354) |
Net Assets | 11,268,142 |
| |
Investor Shares—Net Assets | |
Applicable to 210,819,923 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,278,532 |
Net Asset Value Per Share— | |
Investor Shares | $20.29 |
| |
Admiral Shares—Net Assets | |
Applicable to 63,851,660 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,295,951 |
Net Asset Value Per Share— | |
Admiral Shares | $20.30 |
| |
Signal Shares—Net Assets | |
Applicable to 50,084,801 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 941,401 |
Net Asset Value Per Share— | |
Signal Shares | $18.80 |
| |
Institutional Shares—Net Assets | |
Applicable to 99,322,748 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,015,995 |
Net Asset Value Per Share— | |
Institutional Shares | $20.30 |
| |
ETF Shares—Net Assets | |
Applicable to 69,393,282 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,736,263 |
Net Asset Value Per Share—ETF Shares | $39.43 |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
^ | Part of security position is on loan to broker-dealers. The total value of securities on loan is $25,666,000. |
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $26,378,000 of collateral received for securities on loan.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Growth Index Fund
Statement of Operations
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 169,325 |
Interest1 | 559 |
Security Lending | 5,044 |
Total Income | 174,928 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 406 |
Management and Administrative—Investor Shares | 11,481 |
Management and Administrative—Admiral Shares | 1,386 |
Management and Administrative—Signal Shares | 992 |
Management and Administrative—Institutional Shares | 902 |
Management and Administrative—ETF Shares | 1,944 |
Marketing and Distribution—Investor Shares | 1,502 |
Marketing and Distribution—Admiral Shares | 518 |
Marketing and Distribution—Signal Shares | 302 |
Marketing and Distribution—Institutional Shares | 801 |
Marketing and Distribution—ETF Shares | 905 |
Custodian Fees | 414 |
Auditing Fees | 25 |
Shareholders’ Reports—Investor Shares | 221 |
Shareholders’ Reports—Admiral Shares | 3 |
Shareholders’ Reports—Signal Shares | 17 |
Shareholders’ Reports—Institutional Shares | 66 |
Shareholders’ Reports—ETF Shares | 205 |
Trustees’ Fees and Expenses | 23 |
Total Expenses | 22,113 |
Net Investment Income | 152,815 |
Realized Net Gain (Loss) on Investment Securities Sold | (511,130) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (6,513,214) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (6,871,529) |
1 Interest income from an affiliated company of the fund was $559,000.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Growth Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 152,815 | 137,110 |
Realized Net Gain (Loss) | (511,130) | 460,884 |
Change in Unrealized Appreciation (Depreciation) | (6,513,214) | 1,141,910 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (6,871,529) | 1,739,904 |
Distributions | | |
Net Investment Income | | |
Investor Shares | (55,275) | (58,403) |
Admiral Shares | (19,516) | (25,834) |
Signal Shares | (13,528) | (3,706) |
Institutional Shares | (30,079) | (28,089) |
ETF Shares | (36,000) | (24,495) |
Realized Capital Gain | | |
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (154,398) | (140,527) |
Capital Share Transactions | | |
Investor Shares | 21,388 | (477,598) |
Admiral Shares | (40,052) | (625,137) |
Signal Shares | 113,345 | 1,439,706 |
Institutional Shares | 91,254 | 784,955 |
ETF Shares | 1,045,987 | 1,660,934 |
Net Increase (Decrease) from Capital Share Transactions | 1,231,922 | 2,782,860 |
Total Increase (Decrease) | (5,794,005) | 4,382,237 |
Net Assets | | |
Beginning of Period | 17,062,147 | 12,679,910 |
End of Period1 | 11,268,142 | 17,062,147 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($21,855,000) and ($20,272,000).
See accompanying Notes, which are an integral part of the Financial Statements.
22
Growth Index Fund
Financial Highlights
Investor Shares | | | | | |
| | | | | |
| | | | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $33.23 | $29.77 | $27.54 | $26.41 | $24.92 |
Investment Operations | | | | | |
Net Investment Income | .261 | .270 | .241 | .196 | .2911 |
Net Realized and Unrealized | | | | | |
Gain (Loss) on Investments | (12.939) | 3.460 | 2.228 | 1.139 | 1.494 |
Total from Investment Operations | (12.678) | 3.730 | 2.469 | 1.335 | 1.785 |
Distributions | | | | | |
Dividends from Net Investment Income | (.262) | (.270) | (.239) | (.205) | (.295) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.262) | (.270) | (.239) | (.205) | (.295) |
Net Asset Value, End of Period | $20.29 | $33.23 | $29.77 | $27.54 | $26.41 |
| | | | | |
Total Return2 | –38.32% | 12.56% | 9.01% | 5.09% | 7.20% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $4,279 | $6,992 | $6,707 | $6,761 | $7,711 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.23% | 0.22% | 0.22% | 0.22% | 0.22% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 0.93% | 0.83% | 0.86% | 0.75% | 1.14%1 |
Portfolio Turnover Rate3 | 27% | 23% | 28% | 23% | 24% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.139 and 0.55%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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
Growth Index Fund
Financial Highlights
Admiral Shares | | | | | |
| | | | | |
| | | | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $33.23 | $29.77 | $27.54 | $26.41 | $24.92 |
Investment Operations | | | | | |
Net Investment Income | .294 | .308 | .272 | .226 | .3201 |
Net Realized and Unrealized | | | | | |
Gain (Loss) on Investments | (12.929) | 3.460 | 2.228 | 1.139 | 1.490 |
Total from Investment Operations | (12.635) | 3.768 | 2.500 | 1.365 | 1.810 |
Distributions | | | | | |
Dividends from Net Investment Income | (.295) | (.308) | (.270) | (.235) | (.320) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.295) | (.308) | (.270) | (.235) | (.320) |
Net Asset Value, End of Period | $20.30 | $33.23 | $29.77 | $27.54 | $26.41 |
| | | | | |
Total Return | –38.22% | 12.70% | 9.13% | 5.21% | 7.31% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $1,296 | $2,203 | $2,505 | $2,076 | $1,214 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.11% | 0.10% | 0.11% | 0.11% | 0.11% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.05% | 0.95% | 0.97% | 0.86% | 1.27%1 |
Portfolio Turnover Rate2 | 27% | 23% | 28% | 23% | 24% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.14 and 0.55%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 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.
24
Growth Index Fund
Financial Highlights
Signal Shares | | |
| Year | June 4, |
| Ended | 20071 to |
| Dec. 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 |
Net Asset Value, Beginning of Period | $30.77 | $30.26 |
Investment Operations | | |
Net Investment Income | .273 | .168 |
Net Realized and Unrealized Gain (Loss) on Investments | (11.970) | .563 |
Total from Investment Operations | (11.697) | .731 |
Distributions | | |
Dividends from Net Investment Income | (.273) | (.221) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.273) | (.221) |
Net Asset Value, End of Period | $18.80 | $30.77 |
| | |
Total Return | –38.21% | 2.43% |
| | |
Ratios/Supplemental Data | | |
Net Assets, End of Period (Millions) | $941 | $1,425 |
Ratio of Total Expenses to Average Net Assets | 0.11% | 0.10%2 |
Ratio of Net Investment Income to Average Net Assets | 1.05% | 0.95%2 |
Portfolio Turnover Rate3 | 27% | 23% |
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.
25
Growth Index Fund
Financial Highlights
Institutional Shares | | | | | |
| | | | | |
| | | | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $33.23 | $29.77 | $27.54 | $26.41 | $24.92 |
Investment Operations | | | | | |
Net Investment Income | .305 | .318 | .280 | .234 | .3241 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (12.930) | 3.460 | 2.228 | 1.139 | 1.494 |
Total from Investment Operations | (12.625) | 3.778 | 2.508 | 1.373 | 1.818 |
Distributions | | | | | |
Dividends from Net Investment Income | (.305) | (.318) | (.278) | (.243) | (.328) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.305) | (.318) | (.278) | (.243) | (.328) |
Net Asset Value, End of Period | $20.30 | $33.23 | $29.77 | $27.54 | $26.41 |
| | | | | |
Total Return | –38.19% | 12.73% | 9.16% | 5.24% | 7.34% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $2,016 | $3,210 | $2,132 | $1,448 | $1,185 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.07% | 0.07% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.09% | 0.98% | 1.00% | 0.89% | 1.29%1 |
Portfolio Turnover Rate2 | 27% | 23% | 28% | 23% | 24% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.139 and 0.55%, respectively, resulting from a special divdend from Microsoft Corp. in November 2004.
2 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.
26
Growth Index Fund
Financial Highlights
ETF Shares | | | | | |
| | | | | Jan. 26, |
| | | | | 20041 to |
For a Share Outstanding | Year Ended December 31, | Dec. 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $64.56 | $57.85 | $53.52 | $51.33 | $50.64 |
Investment Operations | | | | | |
Net Investment Income | .579 | .600 | .535 | .444 | .6092 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (25.132) | 6.710 | 4.323 | 2.206 | .694 |
Total from Investment Operations | (24.553) | 7.310 | 4.858 | 2.650 | 1.303 |
Distributions | | | | | |
Dividends from Net Investment Income | (.577) | (.600) | (.528) | (.460) | (.613) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.577) | (.600) | (.528) | (.460) | (.613) |
Net Asset Value, End of Period | $39.43 | $64.56 | $57.85 | $53.52 | $51.33 |
| | | | | |
Total Return | –38.22% | 12.68% | 9.13% | 5.20% | 2.62% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $2,736 | $3,232 | $1,336 | $324 | $104 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.11% | 0.11% | 0.15%3 |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 1.06% | 0.95% | 0.97% | 0.86% | 1.22%2,3 |
Portfolio Turnover Rate4 | 27% | 23% | 28% | 23% | 24% |
1 Inception.
2 Net investment income per share and the ratio of net investment income to average net assets include $.269 and 0.55%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
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.
27
Growth Index Fund
Notes to Financial Statements
Vanguard Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2005–2008), 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. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
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. 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
28
Growth Index Fund
net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $2,962,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 1.18% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $100,098,000 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 December 31, 2008, the fund had $3,249,000 of ordinary income available for distribution. The fund had available realized losses of $3,701,892,000 to offset future net capital gains of $1,193,638,000 through December 31, 2009, $747,930,000 through December 31, 2010, $742,396,000 through December 31, 2011, and $1,017,928,000 through December 31, 2017.
At December 31, 2008, the cost of investment securities for tax purposes was $12,910,397,000. Net unrealized depreciation of investment securities for tax purposes was $1,619,490,000, consisting of unrealized gains of $880,218,000 on securities that had risen in value since their purchase and $2,499,708,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the year ended December 31, 2008, the fund purchased $5,613,489,000 of investment securities and sold $4,380,893,000 of investment securities, other than temporary cash investments.
E. Capital share transactions for each class of shares were:
| | | Year Ended December 31, |
| | 2008 | | 2007 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Investor Shares | | | | |
Issued | 1,177,045 | 42,851 | 1,266,387 | 39,579 |
Issued in Lieu of Cash Distributions | 52,974 | 2,046 | 55,983 | 1,745 |
Redeemed | (1,208,631) | (44,523) | (1,799,968) | (56,160) |
Net Increase (Decrease)—Investor Shares | 21,388 | 374 | (477,598) | (14,836) |
Admiral Shares | | | | |
Issued | 302,897 | 11,068 | 840,904 | 26,500 |
Issued in Lieu of Cash Distributions | 16,426 | 628 | 21,898 | 683 |
Redeemed | (359,375) | (14,153) | (1,487,939) | (44,996) |
Net Increase (Decrease)—Admiral Shares | (40,052) | (2,457) | (625,137) | (17,813) |
29
Growth Index Fund
| | | Year Ended December 31, |
| | 2008 | | 2007 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Signal Shares | | | | |
Issued | 549,092 | 21,398 | 1,499,482 | 48,230 |
Issued in Lieu of Cash Distributions | 11,980 | 496 | 3,379 | 111 |
Redeemed | (447,727) | (18,106) | (63,155) | (2,044) |
Net Increase (Decrease)—Signal Shares | 113,345 | 3,788 | 1,439,706 | 46,297 |
Institutional Shares | | | | |
Issued | 711,522 | 24,895 | 1,391,689 | 43,714 |
Issued in Lieu of Cash Distributions | 26,884 | 1,032 | 24,937 | 776 |
Redeemed | (647,152) | (23,207) | (631,671) | (19,479) |
Net Increase (Decrease)—Institutional Shares | 91,254 | 2,720 | 784,955 | 25,011 |
ETF Shares | | | | |
Issued | 1,296,261 | 24,431 | 1,832,816 | 29,760 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (250,274) | (5,100) | (171,882) | (2,800) |
Net Increase (Decrease)—ETF Shares | 1,045,987 | 19,331 | 1,660,934 | 26,960 |
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 December 31, 2008, 100% of the fund’s investments were valued based on Level 1 inputs.
30
Value Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 429 | 429 | 4,593 |
Median Market Cap | $39.5B | $39.5B | $25.3B |
Price/Earnings Ratio | 10.0x | 9.9x | 11.8x |
Price/Book Ratio | 1.3x | 1.3x | 1.7x |
Yield3 | | 4.1% | 2.8% |
Investor Shares | 4.0% | | |
Admiral Shares | 4.1% | | |
Signal Shares | 4.1% | | |
Institutional Shares | 4.2% | | |
ETF Shares | 4.1% | | |
Return on Equity | 19.9% | 19.9% | 20.8% |
Earnings Growth Rate | 12.6% | 12.6% | 17.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 27% | — | — |
Expense Ratio | | | |
(12/31/2007)4 | | — | — |
Investor Shares | 0.20% | | |
Admiral Shares | 0.10% | | |
Signal Shares | 0.10% | | |
Institutional Shares | 0.07% | | |
ETF Shares | 0.10% | | |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) |
| | Target | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 7.1% | 7.1% | 8.9% |
Consumer Staples | 7.3 | 7.3 | 11.2 |
Energy | 20.3 | 20.3 | 12.4 |
Financials | 22.8 | 22.8 | 15.6 |
Health Care | 10.7 | 10.7 | 14.4 |
Industrials | 10.1 | 10.1 | 11.2 |
Information Technology | 3.6 | 3.6 | 15.2 |
Materials | 3.4 | 3.4 | 3.3 |
Telecommunication | | | |
Services | 6.8 | 6.8 | 3.4 |
Utilities | 7.9 | 7.9 | 4.4 |
Volatility Measures5 | |
| Fund Versus | Fund Versus |
| Target Index1 | Broad Index2 |
R-Squared | 1.00 | 0.93 |
Beta | 1.00 | 0.91 |
Ten Largest Holdings6 (% of total net assets) |
| | |
ExxonMobil Corp. | integrated oil | |
| and gas | 9.5% |
General Electric Co. | industrial | |
| conglomerates | 3.9 |
AT&T Inc. | integrated | |
| telecommunication | |
| services | 3.9 |
Chevron Corp. | integrated oil | |
| and gas | 3.5 |
Pfizer Inc. | pharmaceuticals | 2.7 |
JPMorgan Chase & Co. | diversified financial | |
| services | 2.7 |
Wells Fargo & Co. | diversified banks | 2.4 |
Verizon | integrated | |
Communications Inc. | telecommunication | |
| services | 2.2 |
Johnson & Johnson | pharmaceuticals | 1.9 |
Intel Corp. | semiconductors | 1.9 |
Top Ten | | 34.6% |
Investment Focus
1 MSCI US Prime Market Value Index.
2 Dow Jones Wilshire 5000 Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the fund’s expense ratios were 0.21% for Investor Shares, 0.11% for Admiral Shares, 0.11% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares.
5 For an explanation of R-squared, beta, and other terms used here, see the Glossary.
6 The holdings listed exclude any temporary cash investments and equity index products.
31
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 www.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: December 31, 1998–December 31, 2008
Initial Investment of $10,000
| Average Annual Total Returns | Final Value |
| Periods Ended December 31, 2008 | of a $10,000 |
| One Year | Five Years | Ten Years | Investment |
Value Index Fund Investor Shares1 | –35.97% | –0.68% | 0.62% | $10,638 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 9,388 |
Spliced Value Index2 | –36.00 | –0.57 | 0.73 | 10,750 |
Average Large-Cap Value Fund3 | –37.36 | –2.21 | –0.35 | 9,655 |
| | | | Final Value |
| | | Since | of a $100,000 |
| One Year | Five Years | Inception4 | Investment |
Value Index Fund Admiral Shares | –35.90% | –0.58% | –0.95% | $92,520 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –2.26 | 83,059 |
Spliced Value Index2 | –36.00 | –0.57 | –0.93 | 92,648 |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value Index thereafter.
3 Derived from data provided by Lipper Inc.
4 Performance for the fund’s Admiral Shares and comparative standards is calculated since the Admiral Shares’ inception: November 13, 2000.
Note: See Financial Highlights tables for dividend and capital gains information.
32
Value Index Fund
| | | Final Value of |
| | Since | a $1,000,000 |
| One Year | Inception1 | Investment |
Value Index Fund Signal Shares | –35.93% | –28.80% | $585,572 |
Dow Jones Wilshire 5000 Index | –37.34 | –27.50 | 602,494 |
MSCI US Prime Market Value Index | –36.00 | –28.86 | 584,870 |
| | | | Final Value of |
| | | Ten | a $5,000,000 |
| One Year | Five Years | Years | Investment |
Value Index Fund Institutional Shares | –35.88% | –0.55% | 0.74% | $5,384,665 |
Dow Jones Wilshire 5000 Index | –37.34 | –1.67 | –0.63 | 4,693,933 |
Spliced Value Index2 | –36.00 | –0.57 | 0.73 | 5,374,879 |
| | | Final Value of |
| | Since | a $10,000 |
| One Year | Inception1 | Investment |
Value Index Fund ETF Shares Net Asset Value | –35.91% | –1.30% | $9,374 |
Dow Jones Wilshire 5000 Index | –37.34 | –2.57 | 8,795 |
MSCI US Prime Market Value Index | –36.00 | –1.28 | 9,383 |
Cumulative Returns of ETF Shares: January 26, 2004–December 31, 2008 |
| | |
| | Cumulative |
| One Year | Since Inception1 |
Value Index Fund ETF Shares Market Price | –35.84% | –6.14% |
Value Index Fund ETF Shares Net Asset Value | –35.91 | –6.26 |
MSCI US Prime Market Value Index | –36.00 | –6.17 |
Fiscal-Year Total Returns (%): December 31, 1998–December 31, 2008
1 Performance for the fund and its comparative standards is calculated since the following inception dates: June 4, 2007, for Signal Shares and January 26, 2004, for ETF Shares.
2 S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value Index thereafter.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
Note: See Financial Highlights tables for dividend and capital gains information.
33
Value Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2008
The fund provides a complete list of its holdings 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 www.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 (100.0%) | | |
Consumer Discretionary (7.1%) | | |
| The Walt Disney Co. | 3,556,058 | 80,687 |
| Home Depot, Inc. | 3,385,344 | 77,931 |
| Time Warner, Inc. | 7,147,274 | 71,902 |
| News Corp., Class A | 3,616,183 | 32,871 |
| Johnson Controls, Inc. | 1,184,491 | 21,510 |
| Carnival Corp. | 871,609 | 21,198 |
* | Liberty Media Corp. | 983,432 | 17,190 |
| The Gap, Inc. | 1,010,476 | 13,530 |
| Fortune Brands, Inc. | 298,984 | 12,342 |
| Genuine Parts Co. | 322,606 | 12,214 |
| Sherwin-Williams Co. | 199,096 | 11,896 |
| Mattel, Inc. | 719,181 | 11,507 |
| CBS Corp. | 1,179,862 | 9,663 |
| VF Corp. | 173,747 | 9,516 |
| Macy’s Inc. | 837,865 | 8,672 |
| News Corp., Class B | 877,770 | 8,409 |
| J.C. Penney Co., Inc. | | |
| (Holding Co.) | 421,559 | 8,305 |
*,^ | Ford Motor Co. | 3,501,101 | 8,018 |
| Harley-Davidson, Inc. | 468,792 | 7,955 |
* | Time Warner Cable, Inc. | 359,453 | 7,710 |
| H & R Block, Inc. | 328,572 | 7,465 |
| Darden Restaurants Inc. | 264,544 | 7,455 |
| Hasbro, Inc. | 252,960 | 7,379 |
| International Game | | |
| Technology | 592,021 | 7,039 |
| Advance Auto Parts, Inc. | 190,842 | 6,422 |
| Whirlpool Corp. | 148,435 | 6,138 |
| Limited Brands, Inc. | 610,963 | 6,134 |
| Newell Rubbermaid, Inc. | 552,576 | 5,404 |
*,^ | Sears Holdings Corp. | 138,742 | 5,393 |
| BorgWarner, Inc. | 232,026 | 5,051 |
| Black & Decker Corp. | 119,648 | 5,003 |
* | Mohawk Industries, Inc. | 116,120 | 4,990 |
| Leggett & Platt, Inc. | 321,422 | 4,882 |
| The Stanley Works | 141,157 | 4,813 |
| Pulte Homes, Inc. | 436,563 | 4,772 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Washington Post Co. | | |
| Class B | 12,082 | 4,715 |
| D. R. Horton, Inc. | 568,234 | 4,017 |
| Royal Caribbean | | |
| Cruises, Ltd. | 277,700 | 3,818 |
| Eastman Kodak Co. | 577,044 | 3,797 |
| Gannett Co., Inc. | 456,131 | 3,649 |
| American Eagle | | |
| Outfitters, Inc. | 370,901 | 3,472 |
* | Expedia, Inc. | 392,325 | 3,233 |
| Autoliv, Inc. | 144,195 | 3,094 |
| RadioShack Corp. | 247,767 | 2,958 |
^ | General Motors Corp. | 902,134 | 2,887 |
| Virgin Media Inc. | 554,316 | 2,766 |
* | The Goodyear Tire & | | |
| Rubber Co. | 459,509 | 2,743 |
| Centex Corp. | 247,579 | 2,634 |
*,^ | AutoNation, Inc. | 263,508 | 2,604 |
* | Interpublic Group of | | |
| Cos., Inc. | 616,007 | 2,439 |
| Wyndham Worldwide Corp. | 356,156 | 2,333 |
* | Liberty Media Corp.- | | |
| Interactive Series A | 735,817 | 2,296 |
| Foot Locker, Inc. | 310,506 | 2,279 |
| Lennar Corp. Class A | 257,023 | 2,228 |
| Brinker International, Inc. | 203,470 | 2,145 |
| Nordstrom, Inc. | 160,497 | 2,136 |
| KB Home | 151,245 | 2,060 |
^ | New York Times Co. | | |
| Class A | 269,593 | 1,976 |
| WABCO Holdings Inc. | 116,348 | 1,837 |
* | DISH Network Corp. | 146,989 | 1,630 |
| Williams-Sonoma, Inc. | 178,454 | 1,403 |
| Abercrombie & Fitch Co. | 60,435 | 1,394 |
* | Discovery Communications | | |
| Inc. Class A | 93,131 | 1,319 |
| | | 615,228 |
34
Value Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
Consumer Staples (7.3%) | | |
| The Procter & Gamble Co. | 2,057,608 | 127,201 |
| The Coca-Cola Co. | 2,074,958 | 93,933 |
| Kraft Foods Inc. | 2,903,011 | 77,946 |
| Altria Group, Inc. | 4,108,877 | 61,880 |
| Archer-Daniels-Midland Co. | 1,156,659 | 33,346 |
| Kimberly-Clark Corp. | 538,347 | 28,392 |
| Safeway, Inc. | 868,768 | 20,651 |
| ConAgra Foods, Inc. | 903,681 | 14,911 |
| General Mills, Inc. | 233,567 | 14,189 |
| Reynolds American Inc. | 350,644 | 14,134 |
| Sara Lee Corp. | 1,408,298 | 13,787 |
| Bunge Ltd. | 242,585 | 12,559 |
| Molson Coors Brewing Co. | | |
| Class B | 247,825 | 12,124 |
| H.J. Heinz Co. | 311,369 | 11,707 |
| J.M. Smucker Co. | 235,628 | 10,217 |
| UST, Inc. | 147,132 | 10,208 |
| Lorillard, Inc. | 173,669 | 9,786 |
| Coca-Cola Enterprises, Inc. | 583,697 | 7,022 |
| The Pepsi Bottling | | |
| Group, Inc. | 277,080 | 6,237 |
| SuperValu Inc. | 423,664 | 6,186 |
* | Constellation Brands, Inc. | | |
| Class A | 386,849 | 6,101 |
| The Hershey Co. | 157,164 | 5,460 |
| Tyson Foods, Inc. | 578,406 | 5,067 |
| Campbell Soup Co. | 155,290 | 4,660 |
* | Dr. Pepper Snapple | | |
| Group, Inc. | 253,272 | 4,116 |
| McCormick & Co., Inc. | 116,319 | 3,706 |
| Brown-Forman Corp. | | |
| Class B | 67,910 | 3,497 |
* | Smithfield Foods, Inc. | 248,130 | 3,491 |
| Hormel Foods Corp. | 96,409 | 2,996 |
^ | Whole Foods Market, Inc. | 281,151 | 2,654 |
| PepsiAmericas, Inc. | 126,513 | 2,576 |
| | | 630,740 |
Energy (20.3%) | | |
| ExxonMobil Corp. | 10,361,397 | 827,150 |
| Chevron Corp. | 4,098,388 | 303,158 |
| ConocoPhillips Co. | 2,880,228 | 149,196 |
| Occidental Petroleum | | |
| Corp. | 1,059,407 | 63,554 |
| Devon Energy Corp. | 843,337 | 55,416 |
| Apache Corp. | 667,095 | 49,719 |
| Marathon Oil Corp. | 1,407,462 | 38,508 |
| Anadarko Petroleum Corp. | 934,544 | 36,027 |
| Valero Energy Corp. | 1,043,593 | 22,583 |
| Spectra Energy Corp. | 1,226,452 | 19,304 |
| Chesapeake Energy Corp. | 1,097,539 | 17,747 |
| Noble Energy, Inc. | 344,473 | 16,955 |
| XTO Energy, Inc. | 383,321 | 13,520 |
| Halliburton Co. | 612,199 | 11,130 |
| Hess Corp. | 204,421 | 10,965 |
| El Paso Corp. | 1,398,781 | 10,952 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Williams Cos., Inc. | 747,204 | 10,819 |
| Sunoco, Inc. | 233,119 | 10,131 |
* | National Oilwell Varco Inc. | 291,068 | 7,114 |
| BJ Services Co. | 586,560 | 6,845 |
| Murphy Oil Corp. | 126,280 | 5,601 |
* | Pride International, Inc. | 345,401 | 5,519 |
* | Kinder Morgan | | |
| Management, LLC | 137,887 | 5,513 |
| Cabot Oil & Gas Corp. | 206,305 | 5,364 |
* | Newfield Exploration Co. | 263,825 | 5,211 |
* | Plains Exploration & | | |
| Production Co. | 214,830 | 4,993 |
| Cimarex Energy Co. | 165,876 | 4,442 |
* | Nabors Industries, Inc. | 364,230 | 4,360 |
| Peabody Energy Corp. | 190,031 | 4,323 |
| Pioneer Natural | | |
| Resources Co. | 239,273 | 3,871 |
| Tesoro Corp. | 274,359 | 3,613 |
| Patterson-UTI Energy, Inc. | 313,730 | 3,611 |
| ENSCO International, Inc. | 99,677 | 2,830 |
* | Forest Oil Corp. | 169,536 | 2,796 |
* | Exterran Holdings, Inc. | 125,326 | 2,669 |
| Frontier Oil Corp. | 208,386 | 2,632 |
| Tidewater Inc. | 63,862 | 2,572 |
| Rowan Cos., Inc. | 146,032 | 2,322 |
| Helmerich & Payne, Inc. | 73,085 | 1,663 |
| Arch Coal, Inc. | 100,287 | 1,634 |
* | Alpha Natural Resources, Inc. | 48,988 | 793 |
| Walter Industries, Inc. | 38,747 | 678 |
| | | 1,757,803 |
Financials (22.8%) | | |
| JPMorgan Chase & Co. | 7,349,030 | 231,715 |
| Wells Fargo & Co. | 7,018,912 | 206,918 |
| Bank of America Corp. | 10,068,781 | 141,768 |
| U.S. Bancorp | 3,475,109 | 86,913 |
| Citigroup Inc. | 10,862,944 | 72,890 |
| Bank of New York | | |
| Mellon Corp. | 2,286,270 | 64,770 |
| MetLife, Inc. | 1,560,563 | 54,401 |
| The Travelers Cos., Inc. | 1,178,552 | 53,271 |
| American Express Co. | 2,081,461 | 38,611 |
| PNC Financial | | |
| Services Group | 781,242 | 38,281 |
| The Chubb Corp. | 719,218 | 36,680 |
| Merrill Lynch & Co., Inc. | 3,057,286 | 35,587 |
| Ace Ltd. | 664,739 | 35,178 |
| The Allstate Corp. | 1,026,207 | 33,619 |
| The Goldman | | |
| Sachs Group, Inc. | 389,927 | 32,906 |
| Morgan Stanley | 1,991,058 | 31,937 |
| BB&T Corp. | 1,096,128 | 30,100 |
| Prudential Financial, Inc. | 847,761 | 25,653 |
| Marsh & McLennan | | |
| Cos., Inc. | 1,023,126 | 24,831 |
| Wachovia Corp. | 4,316,835 | 23,915 |
| Capital One Financial Corp. | 749,460 | 23,900 |
35
Value Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| SunTrust Banks, Inc. | 670,252 | 19,799 |
| Loews Corp. | 652,695 | 18,439 |
| Annaly Capital | | |
| Management Inc. REIT | 1,074,347 | 17,050 |
| Vornado Realty Trust REIT | 276,281 | 16,674 |
| Equity Residential REIT | 540,387 | 16,114 |
| Aon Corp. | 323,976 | 14,799 |
| HCP, Inc. REIT | 497,882 | 13,826 |
| Boston Properties, Inc. | | |
| REIT | 238,916 | 13,140 |
| Unum Group | 689,080 | 12,817 |
| People’s United | | |
| Financial Inc. | 691,760 | 12,334 |
| Progressive Corp. of Ohio | 831,825 | 12,319 |
| Simon Property | | |
| Group, Inc. REIT | 224,422 | 11,924 |
| State Street Corp. | 301,433 | 11,855 |
| The Principal Financial | | |
| Group, Inc. | 516,610 | 11,660 |
| Invesco, Ltd. | 771,519 | 11,141 |
| Regions Financial Corp. | 1,385,605 | 11,029 |
| Ameriprise Financial, Inc. | 433,254 | 10,121 |
| The Hartford Financial | | |
| Services Group Inc. | 600,992 | 9,868 |
| Lincoln National Corp. | 513,049 | 9,666 |
| Everest Re Group, Ltd. | 122,858 | 9,354 |
| Avalonbay Communities, | | |
| Inc. REIT | 153,466 | 9,297 |
| W.R. Berkley Corp. | 292,824 | 9,078 |
| Cincinnati Financial Corp. | 308,037 | 8,955 |
| Fifth Third Bancorp | 1,038,623 | 8,579 |
| KeyCorp | 986,385 | 8,404 |
| Willis Group Holdings Ltd. | 336,434 | 8,371 |
| Kimco Realty Corp. REIT | 456,750 | 8,349 |
* | SLM Corp. | 931,669 | 8,292 |
| M & T Bank Corp. | 143,158 | 8,219 |
| Discover Financial Services | 860,375 | 8,199 |
| Health Care Inc. REIT | 193,647 | 8,172 |
| Axis Capital Holdings Ltd. | 274,573 | 7,996 |
| New York Community | | |
| Bancorp, Inc. | 652,409 | 7,803 |
| Torchmark Corp. | 174,351 | 7,794 |
| Plum Creek | | |
| Timber Co. Inc. REIT | 221,568 | 7,697 |
| American International | | |
| Group, Inc. | 4,836,241 | 7,593 |
| PartnerRe Ltd. | 105,601 | 7,526 |
| Host Hotels & | | |
| Resorts Inc. REIT | 984,048 | 7,449 |
* | Leucadia National Corp. | 371,433 | 7,354 |
| Federal Realty | | |
| Investment Trust REIT | 117,435 | 7,290 |
| ProLogis REIT | 523,601 | 7,273 |
| Fidelity National | | |
| Financial, Inc. Class A | 400,586 | 7,110 |
| Assurant, Inc. | 236,404 | 7,092 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Regency Centers | | |
| Corp. REIT | 139,445 | 6,512 |
| Marshall & Ilsley Corp. | 465,521 | 6,350 |
* | Reinsurance Group of | | |
| America, Inc. | 143,889 | 6,161 |
| HCC Insurance | | |
| Holdings, Inc. | 228,710 | 6,118 |
| Legg Mason Inc. | 278,955 | 6,112 |
| RenaissanceRe | | |
| Holdings Ltd. | 116,077 | 5,985 |
| Comerica, Inc. | 300,100 | 5,957 |
* | Arch Capital Group Ltd. | 83,900 | 5,881 |
| Commerce Bancshares, Inc. | 128,617 | 5,653 |
| Nationwide Health | | |
| Properties, Inc. REIT | 193,090 | 5,546 |
| Cullen/Frost Bankers, Inc. | 106,078 | 5,376 |
| Huntington Bancshares Inc. | 693,052 | 5,309 |
| Zions Bancorp | 213,874 | 5,242 |
| Old Republic | | |
| International Corp. | 437,598 | 5,216 |
| Associated Banc-Corp. | 242,278 | 5,071 |
| Rayonier Inc. REIT | 156,977 | 4,921 |
| Nationwide Financial | | |
| Services, Inc. | 92,020 | 4,804 |
| NYSE Euronext | 172,689 | 4,728 |
| Synovus Financial Corp. | 561,283 | 4,659 |
| AMB Property Corp. REIT | 196,112 | 4,593 |
| First American Corp. | 157,191 | 4,541 |
| Liberty Property Trust REIT | 195,979 | 4,474 |
| First Horizon National Corp. | 411,160 | 4,346 |
| White Mountains | | |
| Insurance Group Inc. | 16,260 | 4,343 |
| City National Corp. | 80,840 | 3,937 |
| UDR, Inc. REIT | 272,490 | 3,758 |
| American Financial | | |
| Group, Inc. | 149,946 | 3,431 |
* | Sovereign Bancorp, Inc. | 1,127,964 | 3,361 |
| Camden Property | | |
| Trust REIT | 106,392 | 3,334 |
| CIT Group Inc. | 723,888 | 3,286 |
| Raymond James | | |
| Financial, Inc. | 191,702 | 3,284 |
| TCF Financial Corp. | 236,376 | 3,229 |
| Duke Realty Corp. REIT | 294,489 | 3,228 |
| Weingarten Realty | | |
| Investors REIT | 151,453 | 3,134 |
| Federated Investors, Inc. | 180,749 | 3,066 |
| SL Green Realty Corp. REIT | 116,521 | 3,018 |
* | The St. Joe Co. | 120,267 | 2,925 |
* | Markel Corp. | 9,317 | 2,786 |
| Hospitality Properties | | |
| Trust REIT | 186,656 | 2,776 |
| Popular, Inc. | 532,098 | 2,746 |
| The Macerich Co. REIT | 149,564 | 2,716 |
| National City Corp. | 1,472,295 | 2,665 |
| Janus Capital Group Inc. | 320,716 | 2,575 |
36
Value Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Mercury General Corp. | 54,925 | 2,526 |
| Genworth Financial Inc. | 863,328 | 2,443 |
| XL Capital Ltd. Class A | 605,252 | 2,239 |
| Transatlantic Holdings, Inc. | 52,570 | 2,106 |
| Apartment Investment & | | |
| Management Co. | | |
| Class A REIT | 170,056 | 1,964 |
| CapitalSource Inc. REIT | 383,157 | 1,770 |
| MBIA, Inc. | 405,471 | 1,650 |
^ | American Capital Ltd. | 412,178 | 1,335 |
| Capitol Federal Financial | 28,669 | 1,307 |
| Developers Diversified | | |
| Realty Corp. REIT | 238,394 | 1,163 |
| TFS Financial Corp. | 78,815 | 1,017 |
^ | Allied Capital Corp. | 356,662 | 959 |
| BOK Financial Corp. | 23,396 | 945 |
* | CB Richard Ellis Group, Inc. | 215,003 | 929 |
| Forest City Enterprise | | |
| Class A | 82,241 | 551 |
| Student Loan Corp. | 7,875 | 323 |
| | | 1,982,045 |
Health Care (10.7%) | | |
| Pfizer Inc. | 13,447,530 | 238,156 |
| Johnson & Johnson | 2,787,347 | 166,767 |
| Merck & Co., Inc. | 4,274,000 | 129,930 |
| Wyeth | 2,659,956 | 99,775 |
| Bristol-Myers Squibb Co. | 3,949,050 | 91,815 |
| Eli Lilly & Co. | 2,041,248 | 82,201 |
| Cardinal Health, Inc. | 716,415 | 24,695 |
* | Boston Scientific Corp. | 2,694,213 | 20,853 |
| Covidien Ltd. | 500,430 | 18,136 |
| AmerisourceBergen Corp. | 316,097 | 11,272 |
| CIGNA Corp. | 549,023 | 9,251 |
* | Forest Laboratories, Inc. | 303,784 | 7,737 |
| Omnicare, Inc. | 236,063 | 6,553 |
* | Mylan Inc. | 607,238 | 6,006 |
* | King Pharmaceuticals, Inc. | 492,606 | 5,232 |
* | Vertex Pharmaceuticals, Inc. | 103,366 | 3,140 |
* | Hospira, Inc. | 110,904 | 2,974 |
* | Community Health | | |
| Systems, Inc. | 192,235 | 2,803 |
* | Health Net Inc. | 213,261 | 2,322 |
| | | 929,618 |
Industrials (10.1%) | | |
| General Electric Co. | 20,938,055 | 339,196 |
| United Technologies Corp. | 1,827,586 | 97,959 |
| United Parcel Service, Inc. | 884,591 | 48,794 |
| General Dynamics Corp. | 673,568 | 38,791 |
| Norfolk Southern Corp. | 748,468 | 35,215 |
| Honeywell International Inc. | 916,940 | 30,103 |
| Illinois Tool Works, Inc. | 828,809 | 29,050 |
| Northrop Grumman Corp. | 639,641 | 28,809 |
| Waste Management, Inc. | 635,922 | 21,074 |
| Caterpillar, Inc. | 424,977 | 18,984 |
| Republic Services, Inc. | | |
| Class A | 714,880 | 17,722 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Deere & Co. | 429,799 | 16,470 |
| Eaton Corp. | 314,835 | 15,650 |
| Parker Hannifin Corp. | 334,320 | 14,222 |
| Tyco International, Ltd. | 615,314 | 13,291 |
| Dover Corp. | 374,729 | 12,336 |
| Ingersoll-Rand Co. | 635,407 | 11,024 |
| Rockwell Automation, Inc. | 276,354 | 8,910 |
| Masco Corp. | 736,915 | 8,202 |
| Textron, Inc. | 495,136 | 6,868 |
| Cintas Corp. | 275,862 | 6,408 |
| Avery Dennison Corp. | 191,131 | 6,256 |
| Goodrich Corp. | 162,173 | 6,004 |
| R.R. Donnelley & Sons Co. | 418,949 | 5,689 |
| Manpower Inc. | 158,536 | 5,389 |
| Harsco Corp. | 168,439 | 4,662 |
| Pentair, Inc. | 187,596 | 4,440 |
| SPX Corp. | 108,405 | 4,396 |
* | Shaw Group, Inc. | 166,979 | 3,418 |
| Pall Corp. | 119,287 | 3,391 |
* | Terex Corp. | 194,440 | 3,368 |
* | Owens Corning Inc. | 155,715 | 2,694 |
* | Hertz Global Holdings Inc. | 288,139 | 1,461 |
| The Manitowoc Co., Inc. | 168,090 | 1,456 |
* | Spirit Aerosystems | | |
| Holdings Inc. | 102,424 | 1,042 |
* | USG Corp. | 95,999 | 772 |
| | | 873,516 |
Information Technology (3.6%) | | |
| Intel Corp. | 11,215,286 | 164,416 |
| Motorola, Inc. | 4,519,117 | 20,020 |
| Tyco Electronics Ltd. | 942,151 | 15,272 |
| Xerox Corp. | 1,739,034 | 13,860 |
| Analog Devices, Inc. | 579,402 | 11,020 |
* | Computer Sciences Corp. | 301,829 | 10,606 |
| Xilinx, Inc. | 552,015 | 9,837 |
| Fidelity National | | |
| Information Services, Inc. | 378,285 | 6,155 |
* | Sun Microsystems, Inc. | 1,501,567 | 5,736 |
| Lender Processing | | |
| Services, Inc. | 189,477 | 5,580 |
* | Avnet, Inc. | 300,076 | 5,465 |
* | Synopsys, Inc. | 285,396 | 5,286 |
* | Lexmark International, Inc. | 175,908 | 4,732 |
* | Arrow Electronics, Inc. | 239,284 | 4,508 |
| Seagate Technology | 975,431 | 4,321 |
* | Flextronics | | |
| International Ltd. | 1,677,032 | 4,293 |
* | Ingram Micro, Inc. Class A | 298,673 | 3,999 |
* | Western Digital Corp. | 288,465 | 3,303 |
* | Tellabs, Inc. | 756,868 | 3,118 |
* | NCR Corp. | 211,396 | 2,989 |
| Jabil Circuit, Inc. | 354,795 | 2,395 |
| Intersil Corp. | 246,054 | 2,261 |
| Molex, Inc. Class A | 149,030 | 1,930 |
* | Cadence Design | | |
| Systems, Inc. | 518,040 | 1,896 |
37
Value Index Fund
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | SanDisk Corp. | 156,339 | 1,501 |
* | Advanced Micro | | |
| Devices, Inc. | 422,778 | 913 |
| | | 315,412 |
Materials (3.4%) | | |
| E.I. du Pont de Nemours | | |
| & Co. | 1,799,624 | 45,530 |
| Nucor Corp. | 631,494 | 29,175 |
| Dow Chemical Co. | 1,845,200 | 27,844 |
| Air Products & | | |
| Chemicals, Inc. | 422,501 | 21,239 |
| Freeport-McMoRan | | |
| Copper & Gold, Inc. | | |
| Class B | 765,916 | 18,719 |
| Alcoa Inc. | 1,622,588 | 18,270 |
| Vulcan Materials Co. | 219,015 | 15,239 |
| PPG Industries, Inc. | 327,277 | 13,886 |
| Weyerhaeuser Co. | 421,300 | 12,896 |
| International Paper Co. | 810,271 | 9,561 |
| United States Steel Corp. | 234,104 | 8,709 |
| Ball Corp. | 183,040 | 7,613 |
| Lubrizol Corp. | 135,169 | 4,919 |
| Eastman Chemical Co. | 152,498 | 4,836 |
| Sealed Air Corp. | 315,593 | 4,715 |
| Bemis Co., Inc. | 198,897 | 4,710 |
| Sonoco Products Co. | 198,942 | 4,607 |
| International Flavors & | | |
| Fragrances, Inc. | 141,372 | 4,202 |
| FMC Corp. | 92,369 | 4,132 |
| MeadWestvaco Corp. | 342,084 | 3,828 |
| Steel Dynamics, Inc. | 340,719 | 3,809 |
| Allegheny Technologies Inc. | 117,475 | 2,999 |
^ | Martin Marietta | | |
| Materials, Inc. | 29,042 | 2,819 |
| Cliffs Natural Resources Inc. | 106,939 | 2,739 |
| Commercial Metals Co. | 229,437 | 2,723 |
| Celanese Corp. Series A | 193,897 | 2,410 |
* | Pactiv Corp. | 91,057 | 2,266 |
| Titanium Metals Corp. | 233,710 | 2,059 |
| Terra Industries, Inc. | 118,508 | 1,976 |
| CF Industries Holdings, Inc. | 37,282 | 1,833 |
* | Domtar Corp. | 1,027,524 | 1,716 |
| Reliance Steel & | | |
| Aluminum Co. | 84,987 | 1,695 |
| Ashland, Inc. | 138,854 | 1,459 |
| Huntsman Corp. | 326,124 | 1,122 |
| AK Steel Holding Corp. | 111,368 | 1,038 |
| | | 297,293 |
Telecommunication Services (6.8%) | | |
| AT&T Inc. | 11,755,840 | 335,042 |
| Verizon Communications | | |
| Inc. | 5,680,836 | 192,580 |
| Qwest Communications | | |
| International Inc. | 3,098,727 | 11,279 |
| Embarq Corp. | 284,539 | 10,232 |
* | Sprint Nextel Corp. | 5,544,489 | 10,146 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Windstream Corp. | 878,245 | 8,080 |
| Frontier Communications | | |
| Corp. | 630,306 | 5,509 |
| CenturyTel, Inc. | 194,005 | 5,302 |
| Telephone & Data | | |
| Systems, Inc. | 105,641 | 3,354 |
| Telephone & Data | | |
| Systems, Inc.–Special | | |
| Common Shares | 103,717 | 2,915 |
* | U.S. Cellular Corp. | 37,879 | 1,638 |
| | | 586,077 |
Utilities (7.9%) | | |
| Exelon Corp. | 1,311,294 | 72,921 |
| Southern Co. | 1,536,429 | 56,848 |
| Dominion Resources, Inc. | 1,156,872 | 41,462 |
| FPL Group, Inc. | 774,124 | 38,962 |
| Duke Energy Corp. | 2,523,307 | 37,875 |
| Entergy Corp. | 382,125 | 31,766 |
| Public Service Enterprise | | |
| Group, Inc. | 1,014,269 | 29,586 |
| FirstEnergy Corp. | 608,099 | 29,541 |
| PG&E Corp. | 726,240 | 28,113 |
| American Electric | | |
| Power Co., Inc. | 802,377 | 26,703 |
| PPL Corp. | 747,013 | 22,926 |
| Consolidated Edison Inc. | 544,946 | 21,215 |
| Sempra Energy | 466,875 | 19,903 |
| Edison International | 617,391 | 19,831 |
| Progress Energy, Inc. | 496,436 | 19,783 |
| Xcel Energy, Inc. | 859,780 | 15,949 |
| Ameren Corp. | 419,164 | 13,941 |
| DTE Energy Co. | 325,333 | 11,605 |
| Wisconsin Energy Corp. | 233,502 | 9,802 |
| Constellation Energy | | |
| Group, Inc. | 356,163 | 8,936 |
| CenterPoint Energy Inc. | 648,916 | 8,189 |
| SCANA Corp. | 221,470 | 7,884 |
| NSTAR | 212,813 | 7,766 |
| Pepco Holdings, Inc. | 430,722 | 7,650 |
| MDU Resources | | |
| Group, Inc. | 347,158 | 7,492 |
| Northeast Utilities | 309,909 | 7,456 |
| Puget Energy, Inc. | 258,592 | 7,052 |
* | Mirant Corp. | 370,214 | 6,986 |
| Integrys Energy Group, Inc. | 152,393 | 6,550 |
| Pinnacle West Capital Corp. | 200,861 | 6,454 |
| Alliant Energy Corp. | 220,228 | 6,426 |
| NiSource, Inc. | 546,973 | 6,000 |
| ONEOK, Inc. | 197,887 | 5,762 |
| TECO Energy, Inc. | 424,578 | 5,244 |
| DPL Inc. | 227,131 | 5,188 |
| NV Energy Inc. | 467,448 | 4,623 |
| National Fuel Gas Co. | 145,903 | 4,571 |
| CMS Energy Corp. | 450,856 | 4,554 |
* | Reliant Energy, Inc. | 696,931 | 4,028 |
| Questar Corp. | 121,349 | 3,967 |
38
Value Index Fund
| | Market |
| | Value• |
| Shares | ($000) |
American Water | | |
Works Co., Inc. | 127,323 | 2,658 |
* Dynegy, Inc. | 997,949 | 1,996 |
Energen Corp. | 67,661 | 1,984 |
| | 688,148 |
Total Common Stocks | | |
(Cost $11,273,603) | | 8,675,880 |
Temporary Cash Investment (0.3%) | | |
Money Market Fund (0.3%) | | |
1,2 Vanguard Market Liquidity | | |
Fund, 1.378% | | |
(Cost $22,740) | 22,740,163 | 22,740 |
Total Investments (100.3%) | | |
(Cost $11,296,343) | | 8,698,620 |
Other Assets and Liabilities (–0.3%) | | |
Other Assets | | 70,124 |
Liabilities2 | | (94,674) |
| | (24,550) |
Net Assets (100%) | | 8,674,070 |
At December 31, 2008, net assets consisted of: |
| Amount |
| ($000) |
Paid-in Capital | 13,337,496 |
Overdistributed Net Investment Income | | (7,158) |
Accumulated Net Realized Losses | | (2,058,545) |
Unrealized Appreciation (Depreciation) | | (2,597,723) |
Net Assets | | 8,674,070 |
| | |
Investor Shares—Net Assets | | |
Applicable to 162,844,418 outstanding | | |
$.001 par value shares of beneficial | | |
interest (unlimited authorization) | | 2,617,803 |
Net Asset Value Per Share— | | |
Investor Shares | | $16.08 |
| |
Admiral Shares—Net Assets | |
Applicable to 78,481,594 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,261,693 |
Net Asset Value Per Share— | |
Admiral Shares | $16.08 |
| |
Signal Shares—Net Assets | |
Applicable to 38,110,414 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 637,562 |
Net Asset Value Per Share— | |
Signal Shares | $16.73 |
| |
Institutional Shares—Net Assets | |
Applicable to 123,897,599 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,991,898 |
Net Asset Value Per Share— | |
Institutional Shares | $16.08 |
| |
ETF Shares—Net Assets | |
Applicable to 52,543,083 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,165,114 |
Net Asset Value Per Share— | |
ETF Shares | $41.21 |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
^ | Part of security position is on loan to broker-dealers. The total value of securities on loan is $15,480,000. |
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $17,244,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
39
Value Index Fund
Statement of Operations
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 347,246 |
Interest1 | 738 |
Security Lending | 3,643 |
Total Income | 351,627 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 319 |
Management and Administrative—Investor Shares | 5,900 |
Management and Administrative—Admiral Shares | 1,268 |
Management and Administrative—Signal Shares | 552 |
Management and Administrative—Institutional Shares | 700 |
Management and Administrative—ETF Shares | 1,364 |
Marketing and Distribution—Investor Shares | 1,019 |
Marketing and Distribution—Admiral Shares | 438 |
Marketing and Distribution—Signal Shares | 187 |
Marketing and Distribution—Institutional Shares | 663 |
Marketing and Distribution—ETF Shares | 599 |
Custodian Fees | 515 |
Auditing Fees | 25 |
Shareholders’ Reports—Investor Shares | 151 |
Shareholders’ Reports—Admiral Shares | 1 |
Shareholders’ Reports—Signal Shares | 11 |
Shareholders’ Reports—Institutional Shares | 63 |
Shareholders’ Reports—ETF Shares | 55 |
Trustees’ Fees and Expenses | 15 |
Total Expenses | 13,845 |
Net Investment Income | 337,782 |
Realized Net Gain (Loss) on Investment Securities Sold | (675,445) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (4,128,281) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,465,944) |
1 Interest income from an affiliated company of the fund was $109,000.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Value Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 337,782 | 321,635 |
Realized Net Gain (Loss) | (675,445) | 467,186 |
Change in Unrealized Appreciation (Depreciation) | (4,128,281) | (759,357) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,465,944) | 29,464 |
Distributions | | |
Net Investment Income | | |
Investor Shares | (108,368) | (115,059) |
Admiral Shares | (53,908) | (69,263) |
Signal Shares | (24,510) | (8,338) |
Institutional Shares | (75,111) | (73,247) |
ETF Shares | (75,028) | (55,180) |
Realized Capital Gain | | |
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (336,925) | (321,087) |
Capital Share Transactions | | |
Investor Shares | (59,203) | (9,448) |
Admiral Shares | (13,571) | (547,512) |
Signal Shares | 125,768 | 934,233 |
Institutional Shares | 405,400 | 527,216 |
ETF Shares | 899,880 | 609,521 |
Net Increase (Decrease) from Capital Share Transactions | 1,358,274 | 1,514,010 |
Total Increase (Decrease) | (3,444,595) | 1,222,387 |
Net Assets | | |
Beginning of Period | 12,118,665 | 10,896,278 |
End of Period1 | 8,674,070 | 12,118,665 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($7,158,000) and ($8,015,000).
See accompanying Notes, which are an integral part of the Financial Statements.
41
Value Index Fund
Financial Highlights
Investor Shares | | | | | |
| | | | | |
| | | | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $25.94 | $26.58 | $22.29 | $21.35 | $18.95 |
Investment Operations | | | | | |
Net Investment Income | .660 | .687 | .586 | .559 | .460 |
Net Realized and Unrealized Gain | | | | | |
(Loss) on Investments | (9.863) | (.644) | 4.295 | .936 | 2.399 |
Total from Investment Operations | (9.203) | .043 | 4.881 | 1.495 | 2.859 |
Distributions | | | | | |
Dividends from Net Investment Income | (.657) | (.683) | (.591) | (.555) | (.459) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.657) | (.683) | (.591) | (.555) | (.459) |
Net Asset Value, End of Period | $16.08 | $25.94 | $26.58 | $22.29 | $21.35 |
| | | | | |
Total Return1 | –35.97% | 0.09% | 22.15% | 7.09% | 15.29% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $2,618 | $4,310 | $4,417 | $3,376 | $3,592 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.21% | 0.20% | 0.21% | 0.21% | 0.21% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 3.14% | 2.49% | 2.48% | 2.63% | 2.40% |
Portfolio Turnover Rate2 | 27% | 20% | 20% | 21% | 18% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Value Index Fund
Financial Highlights
Admiral Shares | | | | | |
| | | | | |
| | | | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $25.94 | $26.58 | $22.29 | $21.35 | $18.95 |
Investment Operations | | | | | |
Net Investment Income | .681 | .710 | .611 | .581 | .479 |
Net Realized and Unrealized Gain | | | | | |
(Loss) on Investments | (9.863) | (.640) | 4.295 | .936 | 2.399 |
Total from Investment Operations | (9.182) | .070 | 4.906 | 1.517 | 2.878 |
Distributions | | | | | |
Dividends from Net Investment Income | (.678) | (.710) | (.616) | (.577) | (.478) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.678) | (.710) | (.616) | (.577) | (.478) |
Net Asset Value, End of Period | $16.08 | $25.94 | $26.58 | $22.29 | $21.35 |
| | | | | |
Total Return | –35.90% | 0.18% | 22.27% | 7.20% | 15.40% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $1,262 | $2,069 | $2,625 | $1,880 | $1,075 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.11% | 0.10% | 0.11% | 0.11% | 0.11% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 3.24% | 2.59% | 2.58% | 2.72% | 2.50% |
Portfolio Turnover Rate1 | 27% | 20% | 20% | 21% | 18% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
43
Value Index Fund
Financial Highlights
Signal Shares | | |
| Year | June 4, |
| Ended | 20071 to |
| Dec. 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 |
Net Asset Value, Beginning of Period | $27.00 | $30.14 |
Investment Operations | | |
Net Investment Income | .710 | .442 |
Net Realized and Unrealized Gain (Loss) on Investments | (10.274) | (3.017) |
Total from Investment Operations | (9.564) | (2.575) |
Distributions | | |
Dividends from Net Investment Income | (.706) | (.565) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.706) | (.565) |
Net Asset Value, End of Period | $16.73 | $27.00 |
| | |
Total Return | –35.93% | –8.61% |
| | |
Ratios/Supplemental Data | | |
Net Assets, End of Period (Millions) | $638 | $864 |
Ratio of Total Expenses to Average Net Assets | 0.11% | 0.10%2 |
Ratio of Net Investment Income to Average Net Assets | 3.24% | 2.59%2 |
Portfolio Turnover Rate3 | 27% | 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.
44
Value Index Fund
Financial Highlights
Institutional Shares | | | | | |
| | | | | |
| | | | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $25.94 | $26.58 | $22.29 | $21.35 | $18.95 |
Investment Operations | | | | | |
Net Investment Income | .690 | .722 | .618 | .588 | .485 |
Net Realized and Unrealized Gain | | | | | |
(Loss) on Investments | (9.864) | (.644) | 4.295 | .936 | 2.399 |
Total from Investment Operations | (9.174) | .078 | 4.913 | 1.524 | 2.884 |
Distributions | | | | | |
Dividends from Net Investment Income | (.686) | (.718) | (.623) | (.584) | (.484) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.686) | (.718) | (.623) | (.584) | (.484) |
Net Asset Value, End of Period | $16.08 | $25.94 | $26.58 | $22.29 | $21.35 |
| | | | | |
Total Return | –35.88% | 0.21% | 22.31% | 7.23% | 15.43% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $1,992 | $2,660 | $2,209 | $1,224 | $807 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.07% | 0.07% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 3.28% | 2.62% | 2.61% | 2.76% | 2.53% |
Portfolio Turnover Rate1 | 27% | 20% | 20% | 21% | 18% |
1 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 acompanying Notes, which are an integral part of the Financial Statements.
45
Value Index Fund
Financial Highlights
ETF Shares | | | | | |
| | | | | Jan. 26, |
| | | | | 20041 to |
For a Share Outstanding | Year Ended December 31, | Dec. 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $66.51 | $68.14 | $57.14 | $54.74 | $50.34 |
Investment Operations | | | | | |
Net Investment Income | 1.754 | 1.830 | 1.565 | 1.489 | 1.184 |
Net Realized and Unrealized Gain | | | | | |
(Loss) on Investments | (25.311) | (1.640) | 11.016 | 2.392 | 4.437 |
Total from Investment Operations | (23.557) | .190 | 12.581 | 3.881 | 5.621 |
Distributions | | | | | |
Dividends from Net Investment Income | (1.743) | (1.820) | (1.581) | (1.481) | (1.221) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.743) | (1.820) | (1.581) | (1.481) | (1.221) |
Net Asset Value, End of Period | $41.21 | $66.51 | $68.14 | $57.14 | $54.74 |
| | | | | |
Total Return | –35.91% | 0.20% | 22.28% | 7.19% | 11.37% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $2,165 | $2,215 | $1,646 | $600 | $406 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.10% | 0.10% | 0.11% | 0.11% | 0.15%2 |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 3.25% | 2.59% | 2.58% | 2.72% | 2.46%2 |
Portfolio Turnover Rate3 | 27% | 20% | 20% | 21% | 18% |
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
Value Index Fund
Notes to Financial Statements
Vanguard Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2005–2008), 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. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
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. 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
47
Value Index Fund
capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $2,280,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 0.91% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $439,844,000 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 December 31, 2008, the fund had $8,533,000 of ordinary income available for distribution. The fund had available realized losses of $2,016,969,000 to offset future net capital gains of $125,066,000 through December 31, 2010, $503,996,000 through December 31, 2011, $40,920,000 through December 31, 2014, $73,605,000 through December 31, 2015, $574,313,000 through December 31, 2016, and $699,069,000 through December 31, 2017.
At December 31, 2008, the cost of investment securities for tax purposes was $11,337,919,000. Net unrealized depreciation of investment securities for tax purposes was $2,639,299,000, consisting of unrealized gains of $594,425,000 on securities that had risen in value since their purchase and $3,233,724,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the year ended December 31, 2008, the fund purchased $5,391,433,000 of investment securities and sold $4,013,140,000 of investment securities, other than temporary cash investments.
E. Capital share transactions for each class of shares were:
| | | Year Ended December 31, |
| | 2008 | | 2007 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Investor Shares | | | | |
Issued | 958,875 | 46,972 | 1,243,599 | 45,924 |
Issued in Lieu of Cash Distributions | 101,818 | 5,036 | 108,296 | 4,010 |
Redeemed | (1,119,896) | (55,314) | (1,361,343) | (49,970) |
Net Increase (Decrease)—Investor Shares | (59,203) | (3,306) | (9,448) | (36) |
Admiral Shares | | | | |
Issued | 354,896 | 17,158 | 748,614 | 27,493 |
Issued in Lieu of Cash Distributions | 45,976 | 2,274 | 60,022 | 2,214 |
Redeemed | (414,443) | (20,714) | (1,356,148) | (48,702) |
Net Increase (Decrease)—Admiral Shares | (13,571) | (1,282) | (547,512) | (18,995) |
48
Value Index Fund
| | | Year Ended December 31, |
| | 2008 | | 2007 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Signal Shares | | | | |
Issued | 354,914 | 16,824 | 1,008,680 | 34,686 |
Issued in Lieu of Cash Distributions | 22,513 | 1,082 | 7,624 | 281 |
Redeemed | (251,659) | (11,816) | (82,071) | (2,946) |
Net Increase (Decrease)—Signal Shares | 125,768 | 6,090 | 934,233 | 32,021 |
Institutional Shares | | | | |
Issued | 742,481 | 37,106 | 996,416 | 36,844 |
Issued in Lieu of Cash Distributions | 66,917 | 3,359 | 61,363 | 2,273 |
Redeemed | (403,998) | (19,090) | (530,563) | (19,696) |
Net Increase (Decrease)—Institutional Shares | 405,400 | 21,375 | 527,216 | 19,421 |
ETF Shares | | | | |
Issued | 2,099,670 | 44,145 | 2,399,525 | 34,844 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,199,790) | (24,900) | (1,790,004) | (25,700) |
Net Increase (Decrease)—ETF Shares | 899,880 | 19,245 | 609,521 | 9,144 |
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 December 31, 2008, 100% of the fund’s investments were valued based on Level 1 inputs.
49
Large-Cap Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 751 | 750 | 4,593 |
Median Market Cap | $35.3B | $35.3B | $25.3B |
Price/Earnings Ratio | 11.3x | 11.3x | 11.8x |
Price/Book Ratio | 1.8x | 1.8x | 1.7x |
Yield3 | | 2.9% | 2.8% |
Investor Shares | 2.6% | | |
Admiral Shares | 2.7% | | |
Signal Shares | 2.8% | | |
Institutional Shares | 2.8% | | |
ETF Shares | 2.8% | | |
Return on Equity | 21.7% | 21.7% | 20.8% |
Earnings Growth Rate | 17.7% | 17.7% | 17.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 9% | — | — |
Expense Ratio | | | |
(12/31/2007)4 | | — | — |
Investor Shares | 0.20% | | |
Admiral Shares | 0.08% | | |
Signal Shares | 0.08% | | |
Institutional Shares | 0.08% | | |
ETF Shares | 0.07% | | |
Short-Term Reserves | 0.4% | — | — |
Sector Diversification (% of equity exposure) |
| | Target | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 8.7% | 8.7% | 8.9% |
Consumer Staples | 12.1 | 12.1 | 11.2 |
Energy | 13.0 | 13.1 | 12.4 |
Financials | 14.0 | 14.0 | 15.6 |
Health Care | 14.7 | 14.7 | 14.4 |
Industrials | 10.8 | 10.8 | 11.2 |
Information Technology | 15.5 | 15.4 | 15.2 |
Materials | 3.2 | 3.2 | 3.3 |
Telecommunication | | | |
Services | 3.7 | 3.7 | 3.4 |
Utilities | 4.3 | 4.3 | 4.4 |
Volatility Measures5 | |
| Fund Versus | Fund Versus |
| Target Index1 | Broad Index2 |
R-Squared | 1.00 | 1.00 |
Beta | 1.00 | 0.97 |
Ten Largest Holdings6 (% of total net assets) |
| | |
ExxonMobil Corp. | integrated oil | |
| and gas | 4.8% |
The Procter & Gamble Co. | household products | 2.1 |
General Electric Co. | industrial | |
| conglomerates | 2.0 |
AT&T Inc. | integrated | |
| telecommunication | |
| services | 1.9 |
Johnson & Johnson | pharmaceuticals | 1.9 |
Microsoft Corp. | systems software | 1.9 |
Chevron Corp. | integrated oil | |
| and gas | 1.8 |
Wal-Mart Stores, Inc. | hypermarkets and | |
| supercenters | 1.5 |
Pfizer Inc. | pharmaceuticals | 1.4 |
JPMorgan Chase & Co. | diversified financial | |
| services | 1.3 |
Top Ten | | 20.6% |
Investment Focus
1 MSCI US Prime Market 750 Index.
2 Dow Jones Wilshire 5000 Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the fund’s expense ratios were 0.21% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.07% for Institutional Shares, and 0.07% for ETF Shares.
5 For an explanation of R-squared, beta, and other terms used here, see the Glossary.
6 The holdings listed exclude any temporary cash investments and equity index products.
50
Large-Cap 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 www.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: January 30, 2004–December 31, 2008
Initial Investment of $10,000
| Average Annual Total Returns | Final Value |
| Periods Ended December 31, 2008 | of a $10,000 |
| One Year | Since Inception1 | Investment |
Large-Cap Index Fund Investor Shares2 | –37.08% | –2.25% | $8,943 |
Dow Jones Wilshire 5000 Index | –37.34 | –2.13 | 8,993 |
MSCI US Prime Market 750 Index | –37.06 | –2.13 | 8,997 |
Average Large-Cap Core Fund3 | –37.23 | –3.52 | 8,384 |
| | | Final Value |
| | | of a $100,000 |
| One Year | Since Inception1 | Investment |
Large-Cap Index Fund Admiral Shares | –37.05% | –2.23% | $89,526 |
Dow Jones Wilshire 5000 Index | –37.34 | –2.20 | 89,672 |
MSCI US Prime Market 750 Index | –37.06 | –2.20 | 89,666 |
1 Performance for the fund and its comparative standards is calculated since the following inception dates: January 30, 2004, for Investor Shares; February 2, 2004, for Admiral Shares.
2 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
3 Derived from data provided by Lipper Inc.
Note: See Financial Highlights tables for dividend and capital gains information.
51
Large-Cap Index Fund
| | | Final Value of |
| | Since | a $1,000,000 |
| One Year | Inception1 | Investment |
Large-Cap Index Fund Signal Shares | –37.03% | –28.27% | $641,313 |
Dow Jones Wilshire 5000 Index | –37.34 | –28.67 | 636,575 |
MSCI US Prime Market 750 Index | –37.06 | –28.30 | 640,943 |
| | | Final Value of |
| | Since | a $5,000,000 |
| One Year | Inception1 | Investment |
Large-Cap Index Fund Institutional Shares | –37.01% | –5.38% | $4,118,433 |
Dow Jones Wilshire 5000 Index | –37.34 | –5.63 | 4,080,586 |
MSCI US Prime Market 750 Index | –37.06 | –5.40 | 4,116,368 |
| | | Final Value |
| | Since | of a $10,000 |
| One Year | Inception1 | Investment |
Large-Cap Index Fund ETF Shares Net Asset Value | –37.02% | –2.35% | $8,894 |
Dow Jones Wilshire 5000 Index | –37.34 | –2.39 | 8,877 |
MSCI US Prime Market 750 Index | –37.06 | –2.34 | 8,897 |
Cumulative Returns of ETF Shares: January 27, 2004–December 31, 2008 |
| | |
| | Cumulative |
| One Year | Since Inception1 |
Large-Cap Index Fund ETF Shares Market Price | –36.82% | –10.97% |
Large-Cap Index Fund ETF Shares Net Asset Value | –37.02 | –11.06 |
MSCI US Prime Market 750 Index | –37.06 | –11.03 |
Fiscal-Year Total Returns (%): January 30, 2004–December 31, 2008
1 Performance for the fund and its comparative standards is calculated since the following inception dates: August 30, 2007, for Signal Shares; June 30, 2005, for Institutional Shares; January 27, 2004, for ETF Shares.
2 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
Note: See Financial Highlights tables for dividend and capital gains information.
52
Large-Cap Index Fund
Statement of Operations
The Statement of Net Assets—an integral part of the Financial Statements for Vanguard Large-Cap Index Fund—is included as an insert to this report.
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 51,183 |
Interest1 | 520 |
Security Lending | 447 |
Total Income | 52,150 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 111 |
Management and Administrative—Investor Shares | 521 |
Management and Administrative—Admiral Shares | 112 |
Management and Administrative—Signal Shares | 27 |
Management and Administrative—Institutional Shares | 28 |
Management and Administrative—ETF Shares | 331 |
Marketing and Distribution—Investor Shares | 92 |
Marketing and Distribution—Admiral Shares | 53 |
Marketing and Distribution—Signal Shares | 9 |
Marketing and Distribution—Institutional Shares | 39 |
Marketing and Distribution—ETF Shares | 378 |
Custodian Fees | 307 |
Auditing Fees | 27 |
Shareholders’ Reports—Investor Shares | 14 |
Shareholders’ Reports—Admiral Shares | — |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | 10 |
Shareholders’ Reports—ETF Shares | 49 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 2,111 |
Net Investment Income | 50,039 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 11,623 |
Futures Contracts | 2,268 |
Realized Net Gain (Loss) | 13,891 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (979,556) |
Futures Contracts | 293 |
Change in Unrealized Appreciation (Depreciation) | (979,263) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (915,333) |
1 Interest income from an affiliated company of the fund was $144,000.
See accompanying Notes, which are an integral part of the Financial Statements.
53
Large-Cap Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 50,039 | 26,892 |
Realized Net Gain (Loss) | 13,891 | 3,839 |
Change in Unrealized Appreciation (Depreciation) | (979,263) | 43,523 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (915,333) | 74,254 |
Distributions | | |
Net Investment Income | | |
Investor Shares | (6,574) | (4,931) |
Admiral Shares | (4,453) | (3,840) |
Signal Shares | (1,150) | (201) |
Institutional Shares | (3,662) | (1,648) |
ETF Shares | (33,171) | (16,482) |
Realized Capital Gain | | |
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (49,010) | (27,102) |
Capital Share Transactions | | |
Investor Shares | 180,832 | 126,254 |
Admiral Shares | 128,891 | 45,042 |
Signal Shares | 82,023 | 41,168 |
Institutional Shares | 167,696 | 20,625 |
ETF Shares | 1,431,967 | 549,534 |
Net Increase (Decrease) from Capital Share Transactions | 1,991,409 | 782,623 |
Total Increase (Decrease) | 1,027,066 | 829,775 |
Net Assets | | |
Beginning of Period | 1,869,937 | 1,040,162 |
End of Period1 | 2,897,003 | 1,869,937 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $609,000 and ($420,000).
See accompanying Notes, which are an integral part of the Financial Statements.
54
Large-Cap Index Fund
Financial Highlights
Investor Shares | | | | | |
| | | | | Jan. 30, |
| | | | | 20041 to |
For a Share Outstanding | Year Ended December 31, | Dec. 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $26.59 | $25.42 | $22.38 | $21.41 | $20.00 |
Investment Operations | | | | | |
Net Investment Income | .416 | .426 | .393 | .328 | .3902 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (10.191) | 1.171 | 3.044 | .970 | 1.410 |
Total from Investment Operations | (9.775) | 1.597 | 3.437 | 1.298 | 1.800 |
Distributions | | | | | |
Dividends from Net Investment Income | (.405) | (.427) | (.397) | (.328) | (.390) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.405) | (.427) | (.397) | (.328) | (.390) |
Net Asset Value, End of Period | $16.41 | $26.59 | $25.42 | $22.38 | $21.41 |
| | | | | |
Total Return3 | –37.08% | 6.29% | 15.49% | 6.12% | 9.13% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $376 | $346 | $211 | $94 | $44 |
Ratio of Total Expenses to Average Net Assets | 0.21% | 0.20% | 0.20% | 0.20% | 0.20%4 |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 2.12% | 1.69% | 1.74% | 1.72% | 1.92%2,4 |
Portfolio Turnover Rate5 | 9% | 8% | 9% | 9% | 5% |
1 Inception.
2 Net investment income per share and the ratio of net investment income to average net assets include $.05 and 0.30%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.
55
Large-Cap Index Fund
Financial Highlights
Admiral Shares | | | | | |
| | | | | Feb. 2, |
| | | | | 20041 to |
For a Share Outstanding | Year Ended December 31, | Dec. 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $33.25 | $31.78 | $27.98 | $26.77 | $25.08 |
Investment Operations | | | | | |
Net Investment Income | .547 | .570 | .514 | .431 | .5012 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (12.750) | 1.470 | 3.806 | 1.209 | 1.692 |
Total from Investment Operations | (12.203) | 2.040 | 4.320 | 1.640 | 2.193 |
Distributions | | | | | |
Dividends from Net Investment Income | (.537) | (.570) | (.520) | (.430) | (.503) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.537) | (.570) | (.520) | (.430) | (.503) |
Net Asset Value, End of Period | $20.51 | $33.25 | $31.78 | $27.98 | $26.77 |
| | | | | |
Total Return | –37.05% | 6.43% | 15.58% | 6.19% | 8.87% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $254 | $220 | $164 | $71 | $27 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.08% | 0.12% | 0.12% | 0.12%3 |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 2.23% | 1.81% | 1.82% | 1.80% | 2.00%2,3 |
Portfolio Turnover Rate4 | 9% | 8% | 9% | 9% | 5% |
1 Inception.
2 Net investment income per share and the ratio of net investment income to average net assets include $.063 and 0.30%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
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.
56
Large-Cap Index Fund
Financial Highlights
Signal Shares | | |
| Year | Aug. 30, |
| Ended | 20071 to |
| Dec. 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 |
Net Asset Value, Beginning of Period | $29.00 | $28.74 |
Investment Operations | | |
Net Investment Income | .481 | .173 |
Net Realized and Unrealized Gain (Loss) on Investments | (11.121) | .361 |
Total from Investment Operations | (10.640) | .534 |
Distributions | | |
Dividends from Net Investment Income | (.470) | (.274) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.470) | (.274) |
Net Asset Value, End of Period | $17.89 | $29.00 |
| | |
Total Return | –37.03% | 1.85% |
| | |
Ratios/Supplemental Data | | |
Net Assets, End of Period (Millions) | $102 | $39 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.23% | 1.81%2 |
Portfolio Turnover Rate3 | 9% | 8% |
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.
57
Large-Cap Index Fund
Financial Highlights
Institutional Shares | | | | |
| | | | June 30, |
| | | | 20051 to |
| Year Ended December 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 | 2006 | 2005 |
Net Asset Value, Beginning of Period | $136.82 | $130.78 | $115.14 | $109.32 |
Investment Operations | | | | |
Net Investment Income | 2.283 | 2.344 | 2.151 | .989 |
Net Realized and Unrealized Gain (Loss) on Investments | (52.440) | 6.047 | 15.660 | 5.863 |
Total from Investment Operations | (50.157) | 8.391 | 17.811 | 6.852 |
Distributions | | | | |
Dividends from Net Investment Income | (2.233) | (2.351) | (2.171) | (1.032) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (2.233) | (2.351) | (2.171) | (1.032) |
Net Asset Value, End of Period | $84.43 | $136.82 | $130.78 | $115.14 |
| | | | |
Total Return | –37.01% | 6.42% | 15.61% | 6.28% |
| | | | |
Ratios/Supplemental Data | | | | |
Net Assets, End of Period (Millions) | $207 | $103 | $79 | $83 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.26% | 1.81% | 1.86% | 1.83%2 |
Portfolio Turnover Rate3 | 9% | 8% | 9% | 9% |
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.
58
Large-Cap Index Fund
Financial Highlights
ETF Shares | | | | | |
| | | | | Jan. 27, |
| | | | | 20041 to |
For a Share Outstanding | Year Ended December 31, | Dec. 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $65.83 | $62.92 | $55.40 | $52.99 | $50.01 |
Investment Operations | | | | | |
Net Investment Income | 1.098 | 1.136 | 1.044 | .873 | .9582 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (25.243) | 2.912 | 7.529 | 2.410 | 2.983 |
Total from Investment Operations | (24.145) | 4.048 | 8.573 | 3.283 | 3.941 |
Distributions | | | | | |
Dividends from Net Investment Income | (1.075) | (1.138) | (1.053) | (.873) | (.961) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.075) | (1.138) | (1.053) | (.873) | (.961) |
Net Asset Value, End of Period | $40.61 | $65.83 | $62.92 | $55.40 | $52.99 |
| | | | | |
Total Return | –37.02% | 6.44% | 15.61% | 6.26% | 8.00% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $1,957 | $1,162 | $587 | $178 | $48 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.12%3 |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 2.26% | 1.82% | 1.87% | 1.84% | 2.00%2,3 |
Portfolio Turnover Rate4 | 9% | 8% | 9% | 9% | 5% |
1 Inception.
2 Net investment income per share and the ratio of net investment income to average net assets include $.125 and 0.30%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
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.
59
Large-Cap Index Fund
Notes to Financial Statements
Vanguard Large-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2005–2008), 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.
60
Large-Cap Index Fund
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $633,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.25% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $67,531,000 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 December 31, 2008, the fund had $2,104,000 of ordinary income available for distribution. The fund had available realized losses of $60,820,000 to offset future net capital gains of $11,000 through December 31, 2013, $463,000 through December 31, 2014, $1,570,000 through December 31, 2015, $48,005,000 through December 31, 2016, and $10,771,000 through December 31, 2017.
At December 31, 2008, the cost of investment securities for tax purposes was $3,794,270,000. Net unrealized depreciation of investment securities for tax purposes was $883,340,000, consisting of unrealized gains of $18,983,000 on securities that had risen in value since their purchase and $902,323,000 in unrealized losses on securities that had fallen in value since their purchase.
61
Large-Cap Index Fund
At December 31, 2008, the aggregate settlement value of open futures contracts expiring in March 2009 and the related unrealized appreciation (depreciation) were:
| | | ($000) |
| Number of | Aggregate | Unrealized |
| Long (Short) | Settlement | Appreciation |
Futures Contracts | Contracts | Value | (Depreciation) |
E-mini S&P 500 Index | 215 | 9,676 | 319 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the year ended December 31, 2008, the fund purchased $2,662,215,000 of investment securities and sold $673,648,000 of investment securities, other than temporary cash investments.
E. Capital share transactions for each class of shares were:
| | | Year Ended December 31, |
| | 2008 | | 2007 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Investor Shares | | | | |
Issued | 319,575 | 16,587 | 242,609 | 9,099 |
Issued in Lieu of Cash Distributions | 5,905 | 289 | 4,380 | 164 |
Redeemed | (144,648) | (6,943) | (120,735) | (4,533) |
Net Increase (Decrease)—Investor Shares | 180,832 | 9,933 | 126,254 | 4,730 |
Admiral Shares | | | | |
Issued | 243,749 | 10,451 | 156,250 | 4,734 |
Issued in Lieu of Cash Distributions | 3,746 | 146 | 3,299 | 99 |
Redeemed | (118,604) | (4,819) | (114,507) | (3,368) |
Net Increase (Decrease)—Admiral Shares | 128,891 | 5,778 | 45,042 | 1,465 |
Signal Shares | | | | |
Issued | 92,524 | 4,858 | 41,600 | 1,369 |
Issued in Lieu of Cash Distributions | 960 | 47 | 153 | 5 |
Redeemed | (11,461) | (568) | (585) | (20) |
Net Increase (Decrease)—Signal Shares | 82,023 | 4,337 | 41,168 | 1,354 |
Institutional Shares | | | | |
Issued | 237,128 | 2,272 | 22,477 | 161 |
Issued in Lieu of Cash Distributions | 3,618 | 35 | 1,648 | 12 |
Redeemed | (73,050) | (606) | (3,500) | (25) |
Net Increase (Decrease)—Institutional Shares | 167,696 | 1,701 | 20,625 | 148 |
ETF Shares | | | | |
Issued | 1,905,328 | 42,648 | 602,779 | 9,121 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (473,361) | (12,100) | (53,245) | (800) |
Net Increase (Decrease)—ETF Shares | 1,431,967 | 30,548 | 549,534 | 8,321 |
62
Large-Cap Index Fund
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 fund’s investments as of December 31, 2008, based on the inputs used to value them:
| Investments | Futures |
| in Securities | Contracts |
Valuation Inputs | ($000) | ($000) |
Level 1—Quoted prices | 2,908,931 | 319 |
Level 2—Other significant observable inputs | 1,999 | — |
Level 3—Significant unobservable inputs | — | — |
Total | 2,910,930 | 319 |
63
Total Stock Market Index Fund
Fund Profile
As of December 31, 2008
Portfolio Characteristics | | |
| | Target |
| Fund | Index1 |
Number of Stocks | 3,397 | 3,706 |
Median Market Cap | $26.1B | $25.3B |
Price/Earnings Ratio | 11.7x | 11.7x |
Price/Book Ratio | 1.7x | 1.7x |
Yield2 | | 2.8% |
Investor Shares | 2.7% | |
Admiral Shares | 2.7% | |
Signal Shares | 2.7% | |
Institutional Shares | 2.8% | |
ETF Shares | 2.8% | |
Return on Equity | 20.9% | 20.9% |
Earnings Growth Rate | 17.4% | 17.4% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate | 5% | — |
Expense Ratio (12/31/2007)3 | | — |
Investor Shares | 0.15% | |
Admiral Shares | 0.07% | |
Signal Shares | 0.07% | |
Institutional Shares | 0.05% | |
ETF Shares | 0.07% | |
Short-Term Reserves | 0.0% | — |
Sector Diversification (% of equity exposure) |
| | Target |
| Fund | Index1 |
Consumer Discretionary | 9.1% | 9.1% |
Consumer Staples | 11.2 | 11.2 |
Energy | 12.2 | 12.2 |
Financials | 14.9 | 14.9 |
Health Care | 14.5 | 14.5 |
Industrials | 11.4 | 11.5 |
Information Technology | 15.6 | 15.5 |
Materials | 3.3 | 3.3 |
Telecommunication Services | 3.4 | 3.4 |
Utilities | 4.4 | 4.4 |
Volatility Measures4 | |
| Fund Versus |
| Target Index1 |
R-Squared | 1.00 |
Beta | 1.00 |
Ten Largest Holdings5 (% of total net assets) |
| | |
ExxonMobil Corp. | integrated oil | |
| and gas | 4.3% |
The Procter & Gamble Co. | household products | 1.9 |
General Electric Co. | industrial | |
| conglomerates | 1.8 |
AT&T Inc. | integrated | |
| telecommunication | |
| services | 1.7 |
Johnson & Johnson | pharmaceuticals | 1.7 |
Microsoft Corp. | systems software | 1.6 |
Chevron Corp. | integrated oil | |
| and gas | 1.6 |
Wal-Mart Stores, Inc. | hypermarkets and | |
| supercenters | 1.4 |
Pfizer Inc. | pharmaceuticals | 1.2 |
JPMorgan Chase & Co. | diversified financial | |
| services | 1.2 |
Top Ten | | 18.4% |
Investment Focus
1 MSCI US Broad Market Index.
2 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
3 The expense ratios shown are from the prospectus dated April 29, 2008. For the fiscal year ended December 31, 2008, the fund’s expense ratios were 0.16% for Investor Shares, 0.08% for Admiral Shares, 0.08% for Signal Shares, 0.05% for Institutional Shares, and 0.07% for ETF Shares.
4 For an explanation of R-squared, beta, and other terms used here, see the Glossary.
5 The holdings listed exclude any temporary cash investments and equity index products.
64
Total Stock Market 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 www.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: December 31, 1998–December 31, 2008
Initial Investment of $10,000
| Average Annual Total Returns | Final Value |
| Periods Ended December 31, 2008 | of a $10,000 |
| One Year | Five Years | Ten Years | Investment |
Total Stock Market Index Fund | | | | |
Investor Shares1 | –37.04% | –1.76% | –0.66% | $9,363 |
Spliced Total Stock Market Index2 | –37.04 | –1.67 | –0.63 | 9,385 |
Average Multi-Cap Core Fund3 | –38.79 | –2.66 | –0.61 | 9,403 |
| | | | Final Value |
| | | Since | of a $100,000 |
| One Year | Five Years | Inception4 | Investment |
Total Stock Market Index Fund Admiral Shares | –36.99% | –1.68% | –2.28% | $82,890 |
Spliced Total Stock Market Index2 | –37.04 | –1.67 | –2.26 | 83,031 |
| | | Final Value of |
| | Since | a $1,000,000 |
| One Year | Inception4 | Investment |
Total Stock Market Index Fund Signal Shares | –36.99% | –12.90% | $724,604 |
MSCI US Broad Market Index | –37.04 | –12.91 | 724,504 |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Dow Jones Wilshire 5000 Index through April 22, 2005; MSCI US Broad Market Index thereafter.
3 Derived from data provided by Lipper Inc.
4 Performance for the fund and its comparative standards is calculated since the following inception dates: November 13, 2000, for Admiral Shares; September 1, 2006, for Signal Shares.
Note: See Financial Highlights tables for dividend and capital gains information.
65
Total Stock Market Index Fund
| | | | Final Value of |
| | | | a $5,000,000 |
| One Year | Five Years | Ten Years | Investment |
Total Stock Market Index Fund Institutional Shares | –36.94% | –1.65% | –0.54% | $4,736,202 |
Spliced Total Stock Market Index1 | –37.04 | –1.67 | –0.63 | 4,692,338 |
| | | | Final Value |
| | | Since | of a $10,000 |
| One Year | Five Years | Inception2 | Investment |
Total Stock Market Index Fund ETF Shares | | | | |
Net Asset Value | –36.97% | –1.67% | –1.94% | $8,613 |
Spliced Total Stock Market Index1 | –37.04 | –1.67 | –1.92 | 8,632 |
Cumulative Returns of ETF Shares: May 24, 2001–December 31, 2008 | |
| | | |
| | | Cumulative |
| One Year | Five Years | Since Inception2 |
Total Stock Market Index Fund | | | |
ETF Shares Market Price | –36.81% | –7.81% | –13.78% |
Total Stock Market Index Fund | | | |
ETF Shares Net Asset Value | –36.97 | –8.10 | –13.87 |
Spliced Total Stock Market Index1 | –37.04 | –8.10 | –13.68 |
Fiscal-Year Total Returns (%): December 31, 1998–December 31, 2008
1 Dow Jones Wilshire 5000 Index through April 22, 2005; MSCI US Broad Market Index thereafter.
2 Performance for the fund’s ETF Shares and comparative standards is calculated since the ETF Shares’ inception: May 24, 2001.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
Note: See Financial Highlights tables for dividend and capital gains information.
66
Total Stock Market Index Fund
Statement of Operations
The Statement of Net Assets—Investments Summary—an integral part of the Financial Statements for Vanguard Total Stock Market Index Fund—is included as an insert to this report.
| Year Ended |
| December 31, 2008 |
| ($000) |
Investment Income | |
Income | |
Dividends | 2,071,308 |
Interest1 | 17,208 |
Security Lending | 66,307 |
Total Income | 2,154,823 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,142 |
Management and Administrative—Investor Shares | 59,080 |
Management and Administrative—Admiral Shares | 13,370 |
Management and Administrative—Signal Shares | 2,002 |
Management and Administrative—Institutional Shares | 2,203 |
Management and Administrative—ETF Shares | 3,528 |
Marketing and Distribution—Investor Shares | 13,356 |
Marketing and Distribution—Admiral Shares | 5,042 |
Marketing and Distribution—Signal Shares | 1,030 |
Marketing and Distribution—Institutional Shares | 3,573 |
Marketing and Distribution—ETF Shares | 2,678 |
Custodian Fees | 1,276 |
Auditing Fees | 29 |
Shareholders’ Reports—Investor Shares | 356 |
Shareholders’ Reports—Admiral Shares | 24 |
Shareholders’ Reports—Signal Shares | 8 |
Shareholders’ Reports—Institutional Shares | 54 |
Shareholders’ Reports—ETF Shares | 155 |
Trustees’ Fees and Expenses | 133 |
Total Expenses | 110,039 |
Net Investment Income | 2,044,784 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (1,746,224) |
Futures Contracts | (190,879) |
Realized Net Gain (Loss) | (1,937,103) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (43,552,748) |
Futures Contracts | 20,418 |
Change in Unrealized Appreciation (Depreciation) | (43,532,330) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (43,424,649) |
1 Interest income from an affiliated company of the fund was $16,013,000.
See accompanying Notes, which are an integral part of the Financial Statements.
67
Total Stock Market Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net Investment Income | 2,044,784 | 1,718,920 |
Realized Net Gain (Loss) | (1,937,103) | 2,244,679 |
Change in Unrealized Appreciation (Depreciation) | (43,532,330) | 858,924 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (43,424,649) | 4,822,523 |
Distributions | | |
Net Investment Income | | |
Investor Shares | (958,719) | (787,927) |
Admiral Shares | (512,715) | (518,030) |
Signal Shares | (86,202) | (32,426) |
Institutional Shares | (271,636) | (233,151) |
ETF Shares | (208,428) | (156,007) |
Realized Capital Gain | | |
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (2,037,700) | (1,727,541) |
Capital Share Transactions | | |
Investor Shares | 11,074,199 | 9,657,529 |
Admiral Shares | 2,389,384 | (154,149) |
Signal Shares | 886,845 | 4,460,045 |
Institutional Shares | 3,369,728 | 699,595 |
ETF Shares | 3,276,950 | 3,149,215 |
Net Increase (Decrease) from Capital Share Transactions | 20,997,106 | 17,812,235 |
Total Increase (Decrease) | (24,465,243) | 20,907,217 |
Net Assets | | |
Beginning of Period | 106,384,415 | 85,477,198 |
End of Period1 | 81,919,172 | 106,384,415 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($64,609,000) and ($71,693,000).
See accompanying Notes, which are an integral part of the Financial Statements.
68
Total Stock Market Index Fund
Financial Highlights
Investor Shares | | | | | |
| | | | | |
| | | | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $35.36 | $34.09 | $30.00 | $28.77 | $25.99 |
Investment Operations | | | | | |
Net Investment Income | .592 | .604 | .523 | .466 | .445 |
Net Realized and Unrealized | | | | | |
Gain (Loss) on Investments | (13.566) | 1.268 | 4.091 | 1.237 | 2.780 |
Total from Investment Operations | (12.974) | 1.872 | 4.614 | 1.703 | 3.225 |
Distributions | | | | | |
Dividends from Net Investment Income | (.586) | (.602) | (.524) | (.473) | (.445) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.586) | (.602) | (.524) | (.473) | (.445) |
Net Asset Value, End of Period | $21.80 | $35.36 | $34.09 | $30.00 | $28.77 |
| | | | | |
Total Return1 | –37.04% | 5.49% | 15.51% | 5.98% | 12.52% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $39,440 | $50,183 | $39,095 | $29,785 | $31,718 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.16% | 0.15% | 0.19% | 0.19% | 0.19% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 2.04% | 1.71% | 1.66% | 1.62% | 1.70% |
Portfolio Turnover Rate2 | 5% | 4% | 4% | 12%3 | 4% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 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.
3 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
69
Total Stock Market Index Fund
Financial Highlights
Admiral Shares | | | | | |
| | | | | |
| | | | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $35.36 | $34.09 | $30.00 | $28.77 | $25.99 |
Investment Operations | | | | | |
Net Investment Income | .615 | .631 | .555 | .495 | .468 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (13.566) | 1.268 | 4.091 | 1.237 | 2.780 |
Total from Investment Operations | (12.951) | 1.899 | 4.646 | 1.732 | 3.248 |
Distributions | | | | | |
Dividends from Net Investment Income | (.609) | (.629) | (.556) | (.502) | (.468) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.609) | (.629) | (.556) | (.502) | (.468) |
Net Asset Value, End of Period | $21.80 | $35.36 | $34.09 | $30.00 | $28.77 |
| | | | | |
Total Return | –36.99% | 5.57% | 15.63% | 6.09% | 12.61% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $18,781 | $27,895 | $26,853 | $20,347 | $10,856 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.08% | 0.07% | 0.09% | 0.09% | 0.10% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 2.12% | 1.79% | 1.76% | 1.72% | 1.79% |
Portfolio Turnover Rate1 | 5% | 4% | 4% | 12%2 | 4% |
1 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.
2 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
70
Total Stock Market Index Fund
Financial Highlights
Signal Shares | | | |
| | | Sept. 1, |
| Year Ended | 20061 to |
| December 31, | Dec. 31, |
For a Share Outstanding Throughout Each Period | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $34.13 | $32.91 | $30.47 |
Investment Operations | | | |
Net Investment Income | .595 | .607 | .181 |
Net Realized and Unrealized Gain (Loss) on Investments | (13.096) | 1.220 | 2.536 |
Total from Investment Operations | (12.501) | 1.827 | 2.717 |
Distributions | | | |
Dividends from Net Investment Income | (.589) | (.607) | (.277) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.589) | (.607) | (.277) |
Net Asset Value, End of Period | $21.04 | $34.13 | $32.91 |
| | | |
Total Return | –36.99% | 5.55% | 8.95% |
| | | |
Ratios/Supplemental Data | | | |
Net Assets, End of Period (Millions) | $3,717 | $4,655 | $381 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.07% | 0.09%2 |
Ratio of Net Investment Income to Average Net Assets | 2.12% | 1.79% | 1.76%2 |
Portfolio Turnover Rate3 | 5% | 4% | 4% |
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.
71
Total Stock Market Index Fund
Financial Highlights
Institutional Shares | | | | | |
| | | | | |
| | | | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $35.36 | $34.10 | $30.00 | $28.77 | $26.00 |
Investment Operations | | | | | |
Net Investment Income | .624 | .638 | .573 | .504 | .465 |
Net Realized and Unrealized Gain | | | | | |
(Loss) on Investments | (13.557) | 1.260 | 4.091 | 1.237 | 2.780 |
Total from Investment Operations | (12.933) | 1.898 | 4.664 | 1.741 | 3.245 |
Distributions | | | | | |
Dividends from Net Investment Income | (.617) | (.638) | (.564) | (.511) | (.475) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.617) | (.638) | (.564) | (.511) | (.475) |
Net Asset Value, End of Period | $21.81 | $35.36 | $34.10 | $30.00 | $28.77 |
| | | | | |
Total Return | –36.94% | 5.56% | 15.69% | 6.12% | 12.60% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $10,782 | $13,396 | $12,262 | $9,676 | $10,181 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.06% | 0.08% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 2.15% | 1.81% | 1.79% | 1.75% | 1.82% |
Portfolio Turnover Rate1 | 5% | 4% | 4% | 12%2 | 4% |
1 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.
2 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
72
Total Stock Market Index Fund
Financial Highlights
ETF Shares | | | | | |
| | | | | |
| | | | | |
For a Share Outstanding | Year Ended December 31, |
Throughout Each Period1 | 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $72.64 | $70.04 | $61.63 | $59.11 | $53.41 |
Investment Operations | | | | | |
Net Investment Income | 1.270 | 1.298 | 1.152 | 1.027 | .947 |
Net Realized and Unrealized Gain (Loss) | | | | | |
on Investments | (27.874) | 2.600 | 8.409 | 2.535 | 5.704 |
Total from Investment Operations | (26.604) | 3.898 | 9.561 | 3.562 | 6.651 |
Distributions | | | | | |
Dividends from Net Investment Income | (1.256) | (1.298) | (1.151) | (1.042) | (.951) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.256) | (1.298) | (1.151) | (1.042) | (.951) |
Net Asset Value, End of Period | $44.78 | $72.64 | $70.04 | $61.63 | $59.11 |
| | | | | |
Total Return | –36.97% | 5.56% | 15.66% | 6.10% | 12.57% |
| | | | | |
Ratios/Supplemental Data | | | | | |
Net Assets, End of Period (Millions) | $9,199 | $10,255 | $6,885 | $5,612 | $4,259 |
Ratio of Total Expenses to | | | | | |
Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.13% |
Ratio of Net Investment Income to | | | | | |
Average Net Assets | 2.13% | 1.79% | 1.78% | 1.74% | 1.79% |
Portfolio Turnover Rate2 | 5% | 4% | 4% | 12%3 | 4% |
1 Adjusted to reflect a 2-for-1 share split as of close of business on June 13, 2008.
2 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.
3 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
73
Total Stock Market Index Fund
Notes to Financial Statements
Vanguard Total Stock Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2005–2008), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market
74
Total Stock Market Index Fund
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2008, the fund had contributed capital of $20,989,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 8.39% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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 December 31, 2008, the fund realized $925,166,000 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.
In December 2007, the fund issued 17,301,549 capital shares for a value of $583,408,000 in connection with a nontaxable in-kind transfer of investment securities from a common trust fund. The securities received in the transfer had net unrealized appreciation, creating a difference between the cost of investments for financial statement and tax purposes that reverses when the securities are sold; $347,514,000 of this difference remained at December 31, 2007. Through December 31, 2008, the fund realized tax-based gains on the sale of these securities that were $218,094,000 greater than realized gains for financial statement purposes; accordingly, such gains have been reclassified from paid-in capital to accumulated net realized losses. The remaining difference of $129,420,000 between the securities’ cost for financial statement and tax purposes is reflected in unrealized appreciation.
For tax purposes, at December 31, 2008, the fund had $57,661,000 of ordinary income available for distribution. The fund had available realized losses of $4,519,642,000 to offset future net capital gains of $60,790,000 through December 31, 2009, $439,204,000 through December 31, 2010, $411,583,000 through December 31, 2011, $762,181,000 through December 31, 2013, $19,516,000 through December 31, 2015, $2,263,486,000 through December 31, 2016, and $562,882,000 through December 31, 2017.
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Total Stock Market Index Fund
At December 31, 2008, the cost of investment securities for tax purposes was $105,601,351,000. Net unrealized depreciation of investment securities for tax purposes was $23,147,486,000, consisting of unrealized gains of $5,805,181,000 on securities that had risen in value since their purchase and $28,952,667,000 in unrealized losses on securities that had fallen in value since their purchase.
At December 31, 2008, the aggregate settlement value of open futures contracts expiring in March 2009 and the related unrealized appreciation (depreciation) were:
| | | ($000) |
| Number of | Aggregate | Unrealized |
| Long (Short) | Settlement | Appreciation |
Futures Contracts | Contracts | Value | (Depreciation) |
E-mini S&P 500 Index | 8,352 | 375,882 | 9,895 |
S&P 500 Index | 696 | 156,617 | 5,596 |
Russell 2000 Index | 1,120 | 55,765 | 3,094 |
S&P MidCap 400 Index | 82 | 22,025 | 1,085 |
E-mini S&P MidCap 400 Index | 50 | 2,686 | 217 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the year ended December 31, 2008, the fund purchased $27,319,659,000 of investment securities and sold $6,224,186,000 of investment securities, other than temporary cash investments.
E. During the year ended December 31, 2008, the fund’s ETF Shares underwent a 2-for-1 split. Each shareholder of record on June 13, 2008, received one additional share for every ETF Share held on that date. The additional shares were distributed to shareholders on June 17, 2008. The split had no effect on net assets or total return.
Capital share transactions for each class of shares were:
| | | Year Ended December 31, |
| | 2008 | | 2007 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Investor Shares | | | | |
Issued | 18,977,196 | 674,286 | 15,171,470 | 426,972 |
Issued in Lieu of Cash Distributions | 946,239 | 34,441 | 775,156 | 21,762 |
Redeemed | (8,849,236) | (319,034) | (6,289,097) | (176,070) |
Net Increase (Decrease)—Investor Shares | 11,074,199 | 389,693 | 9,657,529 | 272,664 |
Admiral Shares | | | | |
Issued | 6,249,442 | 220,660 | 7,021,287 | 197,249 |
Issued in Lieu of Cash Distributions | 448,085 | 16,133 | 456,865 | 12,812 |
Redeemed | (4,308,143) | (164,335) | (7,632,301) | (208,755) |
Net Increase (Decrease)—Admiral Shares | 2,389,384 | 72,458 | (154,149) | 1,306 |
76
Total Stock Market Index Fund
| | | Year Ended December 31, |
| | 2008 | | 2007 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Signal Shares | | | | |
Issued | 2,028,953 | 83,738 | 5,464,636 | 153,655 |
Issued in Lieu of Cash Distributions | 78,091 | 2,944 | 29,550 | 869 |
Redeemed | (1,220,199) | (46,428) | (1,034,141) | (29,707) |
Net Increase (Decrease)—Signal Shares | 886,845 | 40,254 | 4,460,045 | 124,817 |
Institutional Shares | | | | |
Issued | 5,833,727 | 205,199 | 4,630,746 | 129,369 |
Issued in Lieu of Cash Distributions | 228,684 | 8,376 | 193,599 | 5,431 |
Redeemed | (2,692,683) | (97,957) | (4,124,750) | (115,589) |
Net Increase (Decrease)—Institutional Shares | 3,369,728 | 115,618 | 699,595 | 19,211 |
ETF Shares1 | | | | |
Issued | 5,060,470 | 94,537 | 6,126,390 | 83,176 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,783,520) | (30,300) | (2,977,175) | (40,300) |
Net Increase (Decrease)—ETF Shares | 3,276,950 | 64,237 | 3,149,215 | 42,876 |
1 Shares adjusted to reflect a 2-for-1 split as of close of business on June 13, 2008.
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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 fund’s investments as of December 31, 2008, based on the inputs used to value them:
| Investments | Futures |
| in Securities | Contracts |
Valuation Inputs | ($000) | ($000) |
Level 1—Quoted prices | 82,378,863 | 19,887 |
Level 2—Other significant observable inputs | 75,002 | — |
Level 3—Significant unobservable inputs | — | — |
Total | 82,453,865 | 19,887 |
77
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Growth Index Fund, Vanguard Value Index Fund, Vanguard Large-Cap Index Fund, and Vanguard Total Stock Market Index Fund:
In our opinion, the accompanying statements of net assets appearing herein, the statement of net assets and the statement of net assets—investments summary appearing in the inserts to this annual report 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 Growth Index Fund, Vanguard Value Index Fund, Vanguard Large-Cap Index Fund and Vanguard Total Stock Market Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) at December 31, 2008, 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 December 31, 2008 by correspondence with the custodian and broker, and by agreement to the underlying ownership records for Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2009
78
Special 2008 tax information (unaudited) for Vanguard U.S. Stock Index Funds |
(Large-Capitalization Portfolios) |
This information for the fiscal year ended December 31, 2008, 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) |
Growth | 154,397 |
Value | 336,925 |
Large-Cap | 49,010 |
Total Stock Market | 2,037,700 |
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 |
Growth | 100.0% |
Value | 96.8 |
Large-Cap | 95.0 |
Total Stock Market | 93.1 |
79
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. (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 Investor 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: U.S. Stock Index Funds Large-Capitalization Portfolios |
Periods Ended December 31, 2008 | | | |
| One | Five | Ten |
| Year | Years | Years |
Growth Index Fund Investor Shares1 | | | |
Returns Before Taxes | –38.32% | –3.14% | –3.30% |
Returns After Taxes on Distributions | –38.41 | –3.27 | –3.56 |
Returns After Taxes on Distributions and Sale of Fund Shares | –24.73 | –2.60 | –2.78 |
| | | |
Value Index Fund Investor Shares1 | | | |
Returns Before Taxes | –35.97% | –0.68% | 0.62% |
Returns After Taxes on Distributions | –36.28 | –1.07 | –0.34 |
Returns After Taxes on Distributions and Sale of Fund Shares | –22.82 | –0.45 | 0.23 |
| | | |
Large-Cap Index Fund Investor Shares1 | | | |
Returns Before Taxes | –37.08% | –2.25%2 | — |
Returns After Taxes on Distributions | –37.27 | –2.502 | — |
Returns After Taxes on Distributions and Sale of Fund Shares | –23.77 | –1.812 | — |
| | | |
Total Stock Market Index Fund Investor Shares1 | | | |
Returns Before Taxes | –37.04% | –1.76% | –0.66% |
Returns After Taxes on Distributions | –37.24 | –2.02 | –1.03 |
Returns After Taxes on Distributions and Sale of Fund Shares | –23.71 | –1.40 | –0.63 |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Since inception on January 30, 2004.
80
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 examples on the next two pages 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 tables illustrate your fund’s costs in two ways:
• Based on actual fund return. This table 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 table 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 tables 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 the account service fee described in the prospectus. If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it 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.
81
Six Months Ended December 31, 2008
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Index Fund | 6/30/2008 | 12/31/2008 | Period1 |
Based on Actual Fund Return | | | |
Growth | | | |
Investor Shares | $1,000.00 | $669.60 | $1.05 |
Admiral Shares | 1,000.00 | 670.35 | 0.51 |
Signal Shares | 1,000.00 | 670.50 | 0.51 |
Institutional Shares | 1,000.00 | 670.50 | 0.29 |
ETF Shares | 1,000.00 | 670.36 | 0.42 |
Value | | | |
Investor Shares | $1,000.00 | $750.12 | $0.97 |
Admiral Shares | 1,000.00 | 750.49 | 0.53 |
Signal Shares | 1,000.00 | 750.26 | 0.53 |
Institutional Shares | 1,000.00 | 750.66 | 0.31 |
ETF Shares | 1,000.00 | 750.37 | 0.44 |
Large-Cap | | | |
Investor Shares | $1,000.00 | $708.52 | $0.95 |
Admiral Shares | 1,000.00 | 708.46 | 0.52 |
Signal Shares | 1,000.00 | 708.48 | 0.52 |
Institutional Shares | 1,000.00 | 708.82 | 0.30 |
ETF Shares | 1,000.00 | 708.71 | 0.30 |
Total Stock Market | | | |
Investor Shares | $1,000.00 | $706.74 | $0.73 |
Admiral Shares | 1,000.00 | 706.99 | 0.39 |
Signal Shares | 1,000.00 | 706.84 | 0.39 |
Institutional Shares | 1,000.00 | 707.27 | 0.22 |
ETF Shares | 1,000.00 | 707.09 | 0.30 |
1 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: 0.25% for the Growth Index Fund Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares; 0.22% for the Value Index Fund Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares; 0.22% for the Large-Cap Index Fund Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.07% for ETF Shares; 0.17% for the Total Stock Market Index Fund Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.05% for Institutional Shares, and 0.07% 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.
82
Six Months Ended December 31, 2008 | | | |
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Index Fund | 6/30/2008 | 12/31/2008 | Period1 |
Based on Hypothetical 5% Yearly Return | | | |
Growth | | | |
Investor Shares | $1,000.00 | $1,023.95 | $1.28 |
Admiral Shares | 1,000.00 | 1,024.60 | 0.61 |
Signal Shares | 1,000.00 | 1,024.60 | 0.61 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
ETF Shares | 1,000.00 | 1,024.70 | 0.51 |
Value | | | |
Investor Shares | $1,000.00 | $1,024.10 | $1.12 |
Admiral Shares | 1,000.00 | 1,024.60 | 0.61 |
Signal Shares | 1,000.00 | 1,024.60 | 0.61 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
ETF Shares | 1,000.00 | 1,024.70 | 0.51 |
Large-Cap | | | |
Investor Shares | $1,000.00 | $1,024.10 | $1.12 |
Admiral Shares | 1,000.00 | 1,024.60 | 0.61 |
Signal Shares | 1,000.00 | 1,024.60 | 0.61 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
ETF Shares | 1,000.00 | 1,024.85 | 0.36 |
Total Stock Market | | | |
Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
Signal Shares | 1,000.00 | 1,024.75 | 0.46 |
Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
ETF Shares | 1,000.00 | 1,024.85 | 0.36 |
1 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: 0.25% for the Growth Index Fund Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares; 0.22% for the Value Index Fund Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.10% for ETF Shares; 0.22% for the Large-Cap Index Fund Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.07% for ETF Shares; 0.17% for the Total Stock Market Index Fund Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.05% for Institutional Shares, and 0.07% 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.
83
Glossary
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 below). 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.
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. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Foreign Holdings. The percentage of a fund represented by stocks 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.
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.
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.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
84
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.
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 (in the case of bonds) 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.
85
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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 155 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 www.vanguard.com.
Chairman of the Board and Interested Trustee | Rajiv L. Gupta |
| Born 1945. Trustee Since December 2001.2 Principal |
| Occupation(s) During the Past Five Years: Chairman, |
John J. Brennan1 | President, and Chief Executive Officer of Rohm and |
Born 1954. Trustee Since May 1987. Chairman of | Haas Co. (chemicals); Board Member of the American |
the Board. Principal Occupation(s) During the Past Five | Chemistry Council; Director of Tyco International, Ltd. |
Years: Chairman of the Board and Director/Trustee of | (diversified manufacturing and services), since 2005. |
The Vanguard Group, Inc., and of each of the investment | |
companies served by The Vanguard Group; Chief | |
Executive Officer and President of The Vanguard Group | Amy Gutmann |
and of each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group (1996–2008). | Occupation(s) During the Past Five Years: President of |
| the University of Pennsylvania since 2004; Professor in |
| the School of Arts and Sciences, Annenberg School for |
Independent Trustees | Communication, and Graduate School of Education of |
| the University of Pennsylvania since 2004; Provost |
| (2001–2004) and Laurance S. Rockefeller Professor of |
Charles D. Ellis | Politics and the University Center for Human Values |
Born 1937. Trustee Since January 2001. Principal | (1990–2004), Princeton University; Director of Carnegie |
Occupation(s) During the Past Five Years: Applecore | Corporation of New York since 2005 and of Schuylkill |
Partners (pro bono ventures in education); Senior | River Development Corporation and Greater Philadelphia |
Advisor to Greenwich Associates (international business | Chamber of Commerce since 2004; Trustee of the |
strategy consulting); Successor Trustee of Yale University; | National Constitution Center since 2007. |
Overseer of the Stern School of Business at New York | |
University; Trustee of the Whitehead Institute for | |
Biomedical Research. | JoAnn Heffernan Heisen |
| Born 1950. Trustee Since July 1998. Principal |
| Occupation(s) During the Past Five Years: Retired |
Emerson U. Fullwood | Corporate Vice President, Chief Global Diversity Officer, |
Born 1948. Trustee Since January 2008. Principal | and Member of the Executive Committee of Johnson & |
Occupation(s) During the Past Five Years: Retired | Johnson (pharmaceuticals/consumer products); Vice |
Executive Chief Staff and Marketing Officer for | President and Chief Information Officer (1997–2005) |
North America and Corporate Vice President of | of Johnson & Johnson; Director of the University |
Xerox Corporation (photocopiers and printers); | Medical Center at Princeton and Women’s Research |
Director of SPX Corporation (multi-industry | and Education Institute. |
manufacturing), of the United Way of Rochester, | |
and of the Boy Scouts of America. | |
André F. Perold | F. William McNabb III1 |
Born 1952. Trustee Since December 2004. Principal | Born 1957. Chief Executive Officer Since August 2008. |
Occupation(s) During the Past Five Years: George Gund | President Since March 2008. Principal Occupation(s) |
Professor of Finance and Banking, Senior Associate | During the Past Five Years: Chief Executive Officer, |
Dean, and Director of Faculty Recruiting, Harvard | Director, and President of The Vanguard Group, Inc., |
Business School; Director and Chairman of UNX, Inc. | since 2008; Chief Executive Officer and President of |
(equities trading firm); Chair of the Investment | each of the investment companies served by The |
Committee of HighVista Strategies LLC (private | Vanguard Group since 2008; Director of Vanguard |
investment firm) since 2005. | Marketing Corporation; Managing Director of The |
| Vanguard Group (1995–2008). |
| |
Alfred M. Rankin, Jr. | |
Born 1941. Trustee Since January 1993. Principal | Heidi Stam1 |
Occupation(s) During the Past Five Years: Chairman, | Born 1956. Secretary Since July 2005. Principal |
President, Chief Executive Officer, and Director of | Occupation(s) During the Past Five Years: Managing |
NACCO Industries, Inc. (forklift trucks/housewares/ | Director of The Vanguard Group, Inc., since 2006; |
lignite); Director of Goodrich Corporation (industrial | General Counsel of The Vanguard Group since 2005; |
products/aircraft systems and services). | Secretary of The Vanguard Group and of each of the |
| investment companies served by The Vanguard Group |
| since 2005; Director and Senior Vice President of |
J. Lawrence Wilson | Vanguard Marketing Corporation since 2005; Principal |
Born 1936. Trustee Since April 1985. Principal | of The Vanguard Group (1997–2006). |
Occupation(s) During the Past Five Years: Retired | |
Chairman and Chief Executive Officer of Rohm and | |
Haas Co. (chemicals); Director of Cummins Inc. (diesel | Vanguard Senior Management Team |
engines) and AmerisourceBergen Corp. (pharmaceutical | |
distribution); Trustee of Vanderbilt University and of | |
Culver Educational Foundation. | R. Gregory Barton | James M. Norris |
| Mortimer J. Buckley | Ralph K. Packard |
| Kathleen C. Gubanich | Glenn W. Reed |
Executive Officers | Paul A. Heller | George U. Sauter |
| Michael S. Miller | |
| |
Thomas J. Higgins1 | |
Born 1957. Chief Financial Officer Since September | Founder |
2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | |
Financial Officer of each of the investment companies | John C. Bogle |
served by The Vanguard Group since 2008; Treasurer | Chairman and Chief Executive Officer, 1974–1996 |
of each of the investment companies served by The | |
Vanguard Group (1998–2008). | |
| |
| |
Kathryn J. Hyatt1 | |
Born 1955. Treasurer Since November 2008. Principal | |
Occupation(s) During the Past Five Years: Principal of | |
The Vanguard Group, Inc.; Treasurer of each of the | |
investment companies served by The Vanguard | |
Group since 2008; Assistant Treasurer of each of the | |
investment companies served by The Vanguard Group | |
(1988–2008). | |
1 These individuals are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
| 
|
| P.O. Box 2600 |
| Valley Forge, PA 19482-2600 |
Connect with Vanguard® > www.vanguard.com
Fund Information > 800-662-7447 | All comparative mutual fund data are from Lipper Inc. |
| or Morningstar, Inc., unless otherwise noted. |
Direct Investor Account Services > 800-662-2739 | |
| |
Institutional Investor Services > 800-523-1036 | You can obtain a free copy of Vanguard’s proxy voting |
| guidelines by visiting our website, www.vanguard.com, |
Text Telephone for People | and searching for “proxy voting guidelines,” or by |
With Hearing Impairment > 800-952-3335 | calling Vanguard at 800-662-2739. The guidelines are |
| also available from the SEC’s website, www.sec.gov. |
| In addition, you may obtain a free report on how your |
| fund voted the proxies for securities it owned during |
This material may be used in conjunction | the 12 months ended June 30. To get the report, visit |
with the offering of shares of any Vanguard | either www.vanguard.com or www.sec.gov. |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
| You can review and copy information about your fund |
| at the SEC’s Public Reference Room in Washington, D.C. |
The funds or securities referred to herein are not | To find out more about this public service, call the SEC |
sponsored, endorsed, or promoted by MSCI, and MSCI | at 202-551-8090. Information about your fund is also |
bears no liability with respect to any such funds or | available on the SEC’s website, and you can receive |
securities. For any such funds or securities, the | copies of this information, for a fee, by sending a |
prospectus or the Statement of Additional Information | request in either of two ways: via e-mail addressed to |
contains a more detailed description of the limited | publicinfo@sec.gov or via regular mail addressed to the |
relationship MSCI has with The Vanguard Group and | Public Reference Section, Securities and Exchange |
any related funds. | Commission, Washington, DC 20549-0102. |
| |
| |
Russell is a trademark of The Frank Russell Company. | |
| |
| |
| |
| |
| |
| |
| |
| |
| © 2009 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| Q850 022009 |
Vanguard® U.S. Stock Index Funds
Large-Cap Index Fund
Statement of Net Assets
As of December 31, 2008
The Statement of Net Assets should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, Notes to Financial Statements, and Report of Independent Registered Public Accounting Firm, all of which appear in the accompanying report.
The fund provides a complete list of its holdings 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 www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of the accompanying report for further information).
| | | Market |
| | | Value• |
| | Shares | ($000) |
Common Stocks (99.6%)1 | | |
Consumer Discretionary (8.7%) | | |
| McDonald’s Corp. | 377,981 | 23,507 |
| The Walt Disney Co. | 599,156 | 13,595 |
| Home Depot, Inc. | 570,399 | 13,131 |
| Time Warner, Inc. | 1,204,215 | 12,114 |
| Comcast Corp. Class A | 657,371 | 11,096 |
| Lowe’s Cos., Inc. | 492,125 | 10,591 |
| Target Corp. | 247,486 | 8,546 |
| NIKE, Inc. Class B | 125,866 | 6,419 |
| News Corp., Class A | 609,589 | 5,541 |
* | Amazon.com, Inc. | 107,368 | 5,506 |
| Yum! Brands, Inc. | 157,554 | 4,963 |
* | DIRECTV Group, Inc. | 205,236 | 4,702 |
| Comcast Corp. Special | | |
| Class A | 285,720 | 4,614 |
| Staples, Inc. | 236,046 | 4,230 |
| Johnson Controls, Inc. | 199,525 | 3,623 |
| Carnival Corp. | 146,874 | 3,572 |
* | Kohl’s Corp. | 97,922 | 3,545 |
* | Apollo Group, Inc. Class A | 45,127 | 3,458 |
* | Viacom Inc. Class B | 179,922 | 3,429 |
| Best Buy Co., Inc. | 117,681 | 3,308 |
| TJX Cos., Inc. | 140,940 | 2,899 |
* | Liberty Media Corp. | 165,500 | 2,893 |
| Omnicom Group Inc. | 107,174 | 2,885 |
| H & R Block, Inc. | 110,631 | 2,514 |
| The McGraw-Hill Cos., Inc. | 106,785 | 2,476 |
* | Coach, Inc. | 113,264 | 2,352 |
* | Starbucks Corp. | 245,514 | 2,323 |
| The Gap, Inc. | 170,318 | 2,281 |
* | Bed Bath & Beyond, Inc. | 87,521 | 2,225 |
| Fortune Brands, Inc. | 50,266 | 2,075 |
* | AutoZone Inc. | 14,868 | 2,074 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Genuine Parts Co. | 54,382 | 2,059 |
| Sherwin-Williams Co. | 33,491 | 2,001 |
| Mattel, Inc. | 121,440 | 1,943 |
| Marriott International, Inc. | | |
| Class A | 94,375 | 1,836 |
| Tim Hortons, Inc. | 61,485 | 1,773 |
| CBS Corp. | 198,297 | 1,624 |
| VF Corp. | 29,354 | 1,608 |
| Macy’s Inc. | 141,329 | 1,463 |
| News Corp., Class B | 147,025 | 1,408 |
| J.C. Penney Co., Inc. | | |
| (Holding Co.) | 70,970 | 1,398 |
*,^ | Ford Motor Co. | 588,466 | 1,348 |
| Harley-Davidson, Inc. | 79,233 | 1,345 |
| Ross Stores, Inc. | 44,645 | 1,327 |
| Cablevision Systems NY | | |
| Group Class A | 78,673 | 1,325 |
* | O’Reilly Automotive, Inc. | 42,674 | 1,312 |
* | Time Warner Cable, Inc. | 60,597 | 1,300 |
* | Dollar Tree, Inc. | 30,200 | 1,262 |
| Darden Restaurants Inc. | 44,592 | 1,257 |
* | ITT Educational Services, Inc. | 13,119 | 1,246 |
| DeVry, Inc. | 21,664 | 1,244 |
| Hasbro, Inc. | 42,533 | 1,241 |
| International Game | | |
| Technology | 99,629 | 1,185 |
| Family Dollar Stores, Inc. | 44,509 | 1,160 |
* | GameStop Corp. Class A | 52,355 | 1,134 |
| Starwood Hotels & | | |
| Resorts Worldwide, Inc. | 62,516 | 1,119 |
| Advance Auto Parts, Inc. | 32,191 | 1,083 |
| Whirlpool Corp. | 24,970 | 1,032 |
| Limited Brands, Inc. | 102,735 | 1,031 |
| Tiffany & Co. | 42,277 | 999 |
1
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Toll Brothers, Inc. | 45,264 | 970 |
* | Priceline.com, Inc. | 12,515 | 922 |
| Newell Rubbermaid, Inc. | 93,226 | 912 |
*,^ | Sears Holdings Corp. | 23,361 | 908 |
* | Wynn Resorts Ltd. | 20,763 | 877 |
| Polo Ralph Lauren Corp. | 18,896 | 858 |
| BorgWarner, Inc. | 39,079 | 851 |
| Black & Decker Corp. | 20,185 | 844 |
* | Mohawk Industries, Inc. | 19,430 | 835 |
| Leggett & Platt, Inc. | 54,113 | 822 |
| The Stanley Works | 23,841 | 813 |
| Pulte Homes, Inc. | 73,516 | 804 |
* | Liberty Global, Inc. Class A | 50,079 | 797 |
| Washington Post Co. Class B | 2,026 | 791 |
| PetSmart, Inc. | 42,840 | 790 |
* | DISH Network Corp. | 71,132 | 789 |
* | Liberty Global, Inc. Series C | 51,650 | 784 |
| Burger King Holdings Inc. | 31,607 | 755 |
| Garmin Ltd. | 38,471 | 737 |
| Nordstrom, Inc. | 54,447 | 725 |
| D. R. Horton, Inc. | 95,130 | 673 |
| Abercrombie & Fitch Co. | 29,047 | 670 |
| Scripps Networks Interactive | 29,642 | 652 |
| Royal Caribbean Cruises, Ltd. | 46,686 | 642 |
* | Discovery Communications | | |
| Inc. Class C | 47,376 | 634 |
| Eastman Kodak Co. | 96,229 | 633 |
* | Discovery Communications | | |
| Inc. Class A | 44,685 | 633 |
* | NVR, Inc. | 1,384 | 631 |
* | Interpublic Group of | | |
| Cos., Inc. | 159,182 | 630 |
* | Las Vegas Sands Corp. | 103,804 | 616 |
| Gannett Co., Inc. | 76,029 | 608 |
* | Liberty Media Corp.– | | |
| Interactive Series A | 188,575 | 588 |
* | Urban Outfitters, Inc. | 39,124 | 586 |
| American Eagle | | |
| Outfitters, Inc. | 62,484 | 585 |
* | CarMax, Inc. | 73,417 | 579 |
* | Expedia, Inc. | 65,326 | 538 |
* | Penn National Gaming, Inc. | 24,276 | 519 |
| Autoliv, Inc. | 24,050 | 516 |
| RadioShack Corp. | 41,666 | 497 |
^ | General Motors Corp. | 151,400 | 484 |
| Virgin Media Inc. | 93,453 | 466 |
* | The Goodyear Tire & | | |
| Rubber Co. | 76,810 | 459 |
*,^ | MGM Mirage, Inc. | 32,446 | 446 |
*,^ | AutoNation, Inc. | 44,498 | 440 |
| Centex Corp. | 41,244 | 439 |
| Wyndham Worldwide Corp. | 59,546 | 390 |
| Foot Locker, Inc. | 51,772 | 380 |
| Lennar Corp. Class A | 43,464 | 377 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Brinker International, Inc. | 34,244 | 361 |
| Weight Watchers | | |
| International, Inc. | 11,959 | 352 |
| KB Home | 25,767 | 351 |
| New York Times Co. Class A | 45,581 | 334 |
| WABCO Holdings Inc. | 19,860 | 314 |
* | Lamar Advertising Co. | | |
| Class A | 24,456 | 307 |
| Harman International | | |
| Industries, Inc. | 18,235 | 305 |
| Guess ?, Inc. | 19,315 | 296 |
| Williams-Sonoma, Inc. | 30,100 | 237 |
* | Sirius XM Radio Inc. | 987,283 | 118 |
* | Clear Channel Outdoor | | |
| Holdings, Inc. Class A | 13,412 | 82 |
* | CTC Media, Inc. | 15,691 | 75 |
| | | 251,577 |
Consumer Staples (12.1%) | | |
| The Procter & Gamble Co. | 990,456 | 61,230 |
| Wal-Mart Stores, Inc. | 795,240 | 44,581 |
| The Coca-Cola Co. | 699,223 | 31,654 |
| Philip Morris | | |
| International Inc. | 692,749 | 30,141 |
| PepsiCo, Inc. | 526,156 | 28,818 |
| CVS Caremark Corp. | 482,457 | 13,866 |
| Kraft Foods Inc. | 489,156 | 13,134 |
| Colgate-Palmolive Co. | 170,036 | 11,654 |
| Altria Group, Inc. | 692,315 | 10,426 |
| Walgreen Co. | 332,736 | 8,209 |
| Costco Wholesale Corp. | 146,206 | 7,676 |
| Kimberly-Clark Corp. | 139,565 | 7,361 |
| General Mills, Inc. | 112,491 | 6,834 |
| Archer-Daniels-Midland Co. | 194,973 | 5,621 |
| The Kroger Co. | 209,209 | 5,525 |
| Sysco Corp. | 202,467 | 4,645 |
| H.J. Heinz Co. | 104,941 | 3,946 |
| Kellogg Co. | 89,317 | 3,917 |
| Safeway, Inc. | 146,392 | 3,480 |
| UST, Inc. | 49,704 | 3,448 |
| Avon Products, Inc. | 143,078 | 3,438 |
| Lorillard, Inc. | 58,541 | 3,299 |
| The Clorox Co. | 46,407 | 2,578 |
| ConAgra Foods, Inc. | 152,172 | 2,511 |
| Reynolds American Inc. | 59,134 | 2,384 |
| Sara Lee Corp. | 237,360 | 2,324 |
| Campbell Soup Co. | 74,999 | 2,251 |
| Bunge Ltd. | 40,836 | 2,114 |
| Molson Coors Brewing Co. | | |
| Class B | 41,777 | 2,044 |
| The Hershey Co. | 52,967 | 1,840 |
| J.M. Smucker Co. | 39,661 | 1,720 |
* | Dr. Pepper Snapple | | |
| Group, Inc. | 85,330 | 1,387 |
2
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Church & Dwight, Inc. | 22,486 | 1,262 |
| McCormick & Co., Inc. | 39,030 | 1,243 |
| Brown-Forman Corp. | | |
| Class B | 22,905 | 1,179 |
| Coca-Cola Enterprises, Inc. | 97,979 | 1,179 |
* | Ralcorp Holdings, Inc. | 18,904 | 1,104 |
| The Estee Lauder Cos. Inc. | | |
| Class A | 35,302 | 1,093 |
| The Pepsi Bottling | | |
| Group, Inc. | 46,600 | 1,049 |
| SuperValu Inc. | 71,257 | 1,040 |
* | Constellation Brands, Inc. | | |
| Class A | 65,086 | 1,026 |
* | Energizer Holdings, Inc. | 18,478 | 1,000 |
* | Dean Foods Co. | 51,200 | 920 |
| Tyson Foods, Inc. | 97,419 | 853 |
* | Hansen Natural Corp. | 24,798 | 831 |
| Hormel Foods Corp. | 24,900 | 774 |
* | Smithfield Foods, Inc. | 41,303 | 581 |
| Whole Foods Market, Inc. | 46,941 | 443 |
| PepsiAmericas, Inc. | 21,277 | 433 |
| | | 350,066 |
Energy (13.0%) | | |
| ExxonMobil Corp. | 1,745,697 | 139,359 |
| Chevron Corp. | 690,542 | 51,079 |
| ConocoPhillips Co. | 485,344 | 25,141 |
| Schlumberger Ltd. | 403,155 | 17,066 |
| Occidental Petroleum Corp. | 274,700 | 16,479 |
| Devon Energy Corp. | 142,096 | 9,337 |
| Apache Corp. | 112,476 | 8,383 |
| XTO Energy, Inc. | 184,749 | 6,516 |
| Marathon Oil Corp. | 237,113 | 6,487 |
| Anadarko Petroleum Corp. | 157,524 | 6,073 |
| EOG Resources, Inc. | 83,632 | 5,568 |
| Halliburton Co. | 294,739 | 5,358 |
| Hess Corp. | 98,452 | 5,281 |
* | Transocean Ltd. | 107,236 | 5,067 |
| Valero Energy Corp. | 175,900 | 3,807 |
* | National Oilwell Varco Inc. | 140,308 | 3,429 |
* | Southwestern Energy Co. | 115,324 | 3,341 |
| Baker Hughes Inc. | 103,656 | 3,324 |
| Spectra Energy Corp. | 206,615 | 3,252 |
| Chesapeake Energy Corp. | 185,106 | 2,993 |
| Noble Energy, Inc. | 58,030 | 2,856 |
| Williams Cos., Inc. | 193,394 | 2,800 |
| Murphy Oil Corp. | 60,775 | 2,695 |
* | Weatherford | | |
| International Ltd. | 228,788 | 2,476 |
| Peabody Energy Corp. | 91,513 | 2,082 |
| Noble Corp. | 90,236 | 1,991 |
| El Paso Corp. | 235,011 | 1,840 |
| Range Resources Corp. | 52,172 | 1,794 |
* | Ultra Petroleum Corp. | 51,384 | 1,773 |
| CONSOL Energy, Inc. | 61,502 | 1,758 |
| Sunoco, Inc. | 39,305 | 1,708 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Smith International, Inc. | 73,446 | 1,681 |
* | Cameron International Corp. | 73,122 | 1,499 |
| Diamond Offshore | | |
| Drilling, Inc. | 23,455 | 1,382 |
| ENSCO International, Inc. | 48,115 | 1,366 |
* | Petrohawk Energy Corp. | 82,860 | 1,295 |
| BJ Services Co. | 98,530 | 1,150 |
* | Nabors Industries, Inc. | 93,909 | 1,124 |
* | FMC Technologies Inc. | 42,781 | 1,020 |
* | Pride International, Inc. | 58,159 | 929 |
* | Kinder Morgan | | |
| Management, LLC | 23,219 | 928 |
* | Denbury Resources, Inc. | 83,103 | 908 |
| Cabot Oil & Gas Corp. | 34,733 | 903 |
* | Newfield Exploration Co. | 44,492 | 879 |
* | Plains Exploration & | | |
| Production Co. | 36,209 | 842 |
| Helmerich & Payne, Inc. | 35,120 | 799 |
| Arch Coal, Inc. | 48,612 | 792 |
| Cimarex Energy Co. | 27,980 | 749 |
| Tidewater Inc. | 16,393 | 660 |
| Pioneer Natural | | |
| Resources Co. | 40,392 | 654 |
| Tesoro Corp. | 46,013 | 606 |
| Patterson-UTI Energy, Inc. | 52,211 | 601 |
| Rowan Cos., Inc. | 37,724 | 600 |
* | Forest Oil Corp. | 28,550 | 471 |
* | IHS Inc. Class A | 12,253 | 459 |
* | Exterran Holdings, Inc. | 21,060 | 449 |
| Frontier Oil Corp. | 34,791 | 439 |
| Massey Energy Co. | 28,417 | 392 |
* | Alpha Natural Resources, Inc. | 23,837 | 386 |
* | Continental Resources, Inc. | 17,242 | 357 |
| Walter Industries, Inc. | 18,908 | 331 |
* | CNX Gas Corp. | 10,163 | 277 |
* | SandRidge Energy, Inc. | 35,461 | 218 |
* | Quicksilver Resources, Inc. | 33,557 | 187 |
| | | 376,446 |
Financials (13.9%) | | |
| JPMorgan Chase & Co. | 1,238,113 | 39,038 |
| Wells Fargo & Co. | 1,182,101 | 34,848 |
| Bank of America Corp. | 1,698,264 | 23,912 |
| U.S. Bancorp | 585,556 | 14,645 |
| Citigroup Inc. | 1,830,173 | 12,280 |
| The Goldman Sachs | | |
| Group, Inc. | 131,481 | 11,096 |
| Bank of New York | | |
| Mellon Corp. | 385,200 | 10,913 |
* | Berkshire Hathaway Inc. | | |
| Class B | 3,383 | 10,873 |
| MetLife, Inc. | 262,931 | 9,166 |
| The Travelers Cos., Inc. | 198,695 | 8,981 |
| AFLAC Inc. | 160,081 | 7,338 |
| American Express Co. | 350,787 | 6,507 |
3
| | | Market |
| | | Value• |
| | Shares | ($000) |
| PNC Financial | | |
| Services Group | 131,728 | 6,455 |
| The Chubb Corp. | 121,170 | 6,180 |
| Merrill Lynch & Co., Inc. | 512,450 | 5,965 |
| Ace Ltd. | 111,998 | 5,927 |
| State Street Corp. | 145,192 | 5,710 |
| The Allstate Corp. | 172,966 | 5,666 |
| Morgan Stanley | 335,535 | 5,382 |
| Charles Schwab Corp. | 329,135 | 5,322 |
| BB&T Corp. | 184,766 | 5,074 |
| Prudential Financial, Inc. | 142,903 | 4,324 |
| CME Group, Inc. | 20,334 | 4,232 |
| Marsh & McLennan | | |
| Cos., Inc. | 172,430 | 4,185 |
| Capital One Financial Corp. | 126,359 | 4,030 |
| Wachovia Corp. | 725,622 | 4,020 |
| Simon Property | | |
| Group, Inc. REIT | 75,638 | 4,019 |
| Aon Corp. | 84,034 | 3,839 |
| Franklin Resources Corp. | 55,175 | 3,519 |
| Northern Trust Corp. | 66,817 | 3,484 |
| Public Storage, Inc. REIT | 42,732 | 3,397 |
| SunTrust Banks, Inc. | 112,942 | 3,336 |
| Progressive Corp. of Ohio | 215,726 | 3,195 |
| Loews Corp. | 109,967 | 3,107 |
| T. Rowe Price Group Inc. | 82,637 | 2,929 |
| Annaly Capital | | |
| Management Inc. REIT | 181,183 | 2,875 |
| Vornado Realty Trust REIT | 46,576 | 2,811 |
| Equity Residential REIT | 91,082 | 2,716 |
| Hudson City Bancorp, Inc. | 157,196 | 2,509 |
| HCP, Inc. REIT | 83,976 | 2,332 |
| Boston Properties, Inc. REIT | 40,211 | 2,212 |
| Unum Group | 116,245 | 2,162 |
| People’s United | | |
| Financial Inc. | 116,738 | 2,081 |
| Plum Creek | | |
| Timber Co. Inc. REIT | 57,504 | 1,998 |
| The Principal | | |
| Financial Group, Inc. | 86,989 | 1,963 |
| Invesco, Ltd. | 129,631 | 1,872 |
| Regions Financial Corp. | 232,906 | 1,854 |
| Ameriprise Financial, Inc. | 72,900 | 1,703 |
| The Hartford Financial | | |
| Services Group Inc. | 101,144 | 1,661 |
| Lincoln National Corp. | 86,352 | 1,627 |
| Ventas, Inc. REIT | 48,153 | 1,616 |
| Everest Re Group, Ltd. | 20,750 | 1,580 |
| Avalonbay Communities, | | |
| Inc. REIT | 25,996 | 1,575 |
* | IntercontinentalExchange Inc. | 19,080 | 1,573 |
| W.R. Berkley Corp. | 49,270 | 1,527 |
| Cincinnati Financial Corp. | 51,791 | 1,506 |
| Fifth Third Bancorp | 174,588 | 1,442 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| KeyCorp | 166,161 | 1,416 |
| Willis Group Holdings Ltd. | 56,649 | 1,409 |
| Kimco Realty Corp. REIT | 76,894 | 1,406 |
| Moody’s Corp. | 69,681 | 1,400 |
* | SLM Corp. | 156,981 | 1,397 |
| Discover Financial Services | 145,028 | 1,382 |
| M & T Bank Corp. | 24,021 | 1,379 |
| Health Care Inc. REIT | 32,545 | 1,373 |
| Axis Capital Holdings Ltd. | 46,106 | 1,343 |
| New York Community | | |
| Bancorp, Inc. | 109,688 | 1,312 |
| Torchmark Corp. | 29,244 | 1,307 |
| American International | | |
| Group, Inc. | 812,620 | 1,276 |
| PartnerRe Ltd. | 17,855 | 1,272 |
| Host Hotels & | | |
| Resorts Inc. REIT | 165,895 | 1,256 |
* | Leucadia National Corp. | 62,406 | 1,236 |
| Federal Realty Investment | | |
| Trust REIT | 19,799 | 1,229 |
| ProLogis REIT | 87,892 | 1,221 |
| NYSE Euronext | 44,484 | 1,218 |
| Fidelity National | | |
| Financial, Inc. Class A | 67,254 | 1,194 |
| Assurant, Inc. | 39,736 | 1,192 |
* | Nasdaq Stock Market Inc. | 46,910 | 1,159 |
* | TD Ameritrade Holding Corp. | 79,405 | 1,131 |
| Regency Centers Corp. REIT | 23,572 | 1,101 |
| Marshall & Ilsley Corp. | 78,284 | 1,068 |
* | Reinsurance Group of | | |
| America, Inc. | 24,189 | 1,036 |
| Legg Mason Inc. | 46,944 | 1,029 |
| HCC Insurance Holdings, Inc. | 38,442 | 1,028 |
| RenaissanceRe Holdings Ltd. | 19,572 | 1,009 |
| Comerica, Inc. | 50,500 | 1,002 |
* | Arch Capital Group Ltd. | 14,250 | 999 |
| Commerce Bancshares, Inc. | 21,603 | 949 |
* | Markel Corp. | 3,156 | 944 |
| Nationwide Health | | |
| Properties, Inc. REIT | 32,579 | 936 |
| Cullen/Frost Bankers, Inc. | 17,805 | 902 |
| Huntington Bancshares Inc. | 116,843 | 895 |
| Zions Bancorp | 36,119 | 885 |
| Old Republic | | |
| International Corp. | 73,691 | 878 |
| Associated Banc-Corp. | 40,802 | 854 |
| Brown & Brown, Inc. | 40,169 | 839 |
| Rayonier Inc. REIT | 26,504 | 831 |
| Nationwide Financial | | |
| Services, Inc. | 15,389 | 803 |
| Synovus Financial Corp. | 94,417 | 784 |
| Eaton Vance Corp. | 36,997 | 777 |
| AMB Property Corp. REIT | 33,025 | 773 |
| First American Corp. | 26,549 | 767 |
4
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | The St. Joe Co. | 31,114 | 757 |
| Liberty Property Trust REIT | 33,050 | 754 |
| First Horizon National Corp. | 69,021 | 730 |
| White Mountains | | |
| Insurance Group Inc. | 2,728 | 729 |
| SEI Investments Co. | 45,198 | 710 |
| City National Corp. | 13,747 | 669 |
| UDR, Inc. REIT | 45,263 | 624 |
| American Financial | | |
| Group, Inc. | 25,067 | 574 |
* | Sovereign Bancorp, Inc. | 189,985 | 566 |
| Camden Property Trust REIT | 17,920 | 562 |
| CIT Group Inc. | 121,298 | 551 |
| Raymond James | | |
| Financial, Inc. | 31,932 | 547 |
| TCF Financial Corp. | 39,500 | 540 |
| Duke Realty Corp. REIT | 49,048 | 538 |
| Jefferies Group, Inc. | 38,103 | 536 |
| Weingarten Realty | | |
| Investors REIT | 25,223 | 522 |
| Federated Investors, Inc. | 30,561 | 518 |
| SL Green Realty Corp. REIT | 19,471 | 504 |
| TFS Financial Corp. | 37,640 | 486 |
| Hospitality Properties | | |
| Trust REIT | 31,428 | 467 |
| Popular, Inc. | 89,607 | 462 |
| The Macerich Co. REIT | 24,973 | 453 |
| National City Corp. | 245,350 | 444 |
| Janus Capital Group Inc. | 53,461 | 429 |
| Mercury General Corp. | 9,207 | 423 |
| Genworth Financial Inc. | 144,574 | 409 |
| XL Capital Ltd. Class A | 101,905 | 377 |
| Transatlantic Holdings, Inc. | 8,868 | 355 |
| Capitol Federal Financial | 7,527 | 343 |
| Apartment Investment & | | |
| Management Co. | | |
| Class A REIT | 28,642 | 331 |
| BOK Financial Corp. | 7,892 | 319 |
* | CB Richard Ellis Group, Inc. | 72,616 | 314 |
| CapitalSource Inc. REIT | 65,086 | 301 |
| MBIA, Inc. | 67,901 | 276 |
| American Capital Ltd. | 70,202 | 227 |
| Developers Diversified | | |
| Realty Corp. REIT | 40,700 | 199 |
| Allied Capital Corp. | 59,390 | 160 |
| Forest City Enterprise | | |
| Class A | 21,662 | 145 |
| Student Loan Corp. | 1,205 | 49 |
| | | 403,586 |
Health Care (14.6%) | | |
| Johnson & Johnson | 939,229 | 56,194 |
| Pfizer Inc. | 2,265,649 | 40,125 |
| Abbott Laboratories | 518,155 | 27,654 |
| Merck & Co., Inc. | 720,085 | 21,891 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Amgen Inc. | 355,651 | 20,539 |
| Wyeth | 448,169 | 16,811 |
* | Gilead Sciences, Inc. | 309,245 | 15,815 |
| Bristol-Myers Squibb Co. | 665,377 | 15,470 |
| Eli Lilly & Co. | 344,040 | 13,854 |
* | Genentech, Inc. | 159,713 | 13,242 |
| Medtronic, Inc. | 378,313 | 11,887 |
| Baxter International, Inc. | 211,007 | 11,308 |
| UnitedHealth Group Inc. | 409,278 | 10,887 |
| Schering-Plough Corp. | 546,396 | 9,305 |
* | Celgene Corp. | 152,897 | 8,452 |
* | WellPoint Inc. | 171,924 | 7,243 |
* | Medco Health Solutions, Inc. | 169,979 | 7,124 |
| Covidien Ltd. | 168,755 | 6,116 |
* | Genzyme Corp. | 90,351 | 5,997 |
| Becton, Dickinson & Co. | 81,915 | 5,602 |
* | Thermo Fisher Scientific, Inc. | 140,877 | 4,800 |
* | Biogen Idec Inc. | 97,595 | 4,648 |
| Aetna Inc. | 158,585 | 4,520 |
| Cardinal Health, Inc. | 120,733 | 4,162 |
| Allergan, Inc. | 102,272 | 4,124 |
| Stryker Corp. | 97,030 | 3,876 |
* | Express Scripts Inc. | 70,448 | 3,873 |
* | St. Jude Medical, Inc. | 114,930 | 3,788 |
| McKesson Corp. | 92,774 | 3,593 |
* | Boston Scientific Corp. | 454,243 | 3,516 |
* | Zimmer Holdings, Inc. | 75,600 | 3,056 |
| Quest Diagnostics, Inc. | 55,664 | 2,889 |
| C.R. Bard, Inc. | 33,381 | 2,813 |
* | Forest Laboratories, Inc. | 102,497 | 2,611 |
* | Laboratory Corp. of | | |
| America Holdings | 37,472 | 2,413 |
* | Humana Inc. | 56,771 | 2,116 |
| AmerisourceBergen Corp. | 53,124 | 1,894 |
* | Cephalon, Inc. | 22,957 | 1,769 |
* | DaVita, Inc. | 35,145 | 1,742 |
* | Intuitive Surgical, Inc. | 13,034 | 1,655 |
| CIGNA Corp. | 92,359 | 1,556 |
* | Vertex Pharmaceuticals, Inc. | 49,923 | 1,517 |
* | Varian Medical Systems, Inc. | 41,952 | 1,470 |
* | Hospira, Inc. | 53,557 | 1,436 |
| DENTSPLY International Inc. | 47,305 | 1,336 |
* | Life Technologies Corp. | 57,090 | 1,331 |
* | Waters Corp. | 33,163 | 1,215 |
* | Hologic, Inc. | 85,782 | 1,121 |
* | Henry Schein, Inc. | 30,014 | 1,101 |
| Omnicare, Inc. | 39,648 | 1,101 |
* | Illumina, Inc. | 40,641 | 1,059 |
| Pharmaceutical Product | | |
| Development, Inc. | 36,021 | 1,045 |
* | Endo Pharmaceuticals | | |
| Holdings, Inc. | 40,331 | 1,044 |
* | Edwards Lifesciences Corp. | 18,899 | 1,038 |
* | Myriad Genetics, Inc. | 15,415 | 1,021 |
5
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Mylan Inc. | 102,167 | 1,010 |
* | Covance, Inc. | 21,263 | 979 |
* | Millipore Corp. | 18,560 | 956 |
* | ResMed Inc. | 25,392 | 952 |
| IMS Health, Inc. | 61,194 | 928 |
| Beckman Coulter, Inc. | 20,934 | 920 |
* | Cerner Corp. | 23,075 | 887 |
* | Alexion Pharmaceuticals, Inc. | 24,495 | 886 |
* | King Pharmaceuticals, Inc. | 82,767 | 879 |
| Perrigo Co. | 26,436 | 854 |
| Techne Corp. | 12,275 | 792 |
* | Coventry Health Care Inc. | 49,853 | 742 |
* | Lincare Holdings, Inc. | 24,482 | 659 |
* | Charles River | | |
| Laboratories, Inc. | 22,730 | 595 |
* | Patterson Companies, Inc. | 30,390 | 570 |
* | Amylin Pharmaceuticals, Inc. | 45,824 | 497 |
* | Warner Chilcott Ltd. | 33,534 | 486 |
* | Community Health | | |
| Systems, Inc. | 32,221 | 470 |
* | Sepracor Inc. | 36,583 | 402 |
* | Health Net Inc. | 35,978 | 392 |
* | Kinetic Concepts, Inc. | 18,412 | 353 |
* | WellCare Health Plans Inc. | 13,849 | 178 |
| Teva Pharmaceutical | | |
| Industries Ltd. | | |
| Sponsored ADR | 2,741 | 117 |
| | | 423,269 |
Industrials (10.8%) | | |
| General Electric Co. | 3,527,548 | 57,146 |
| United Technologies Corp. | 308,016 | 16,510 |
| 3M Co. | 223,224 | 12,844 |
| United Parcel Service, Inc. | 229,321 | 12,649 |
| The Boeing Co. | 236,353 | 10,085 |
| Emerson Electric Co. | 260,801 | 9,548 |
| Lockheed Martin Corp. | 113,292 | 9,526 |
| Caterpillar, Inc. | 204,669 | 9,143 |
| Burlington Northern | | |
| Santa Fe Corp. | 115,769 | 8,765 |
| Union Pacific Corp. | 171,152 | 8,181 |
| Honeywell International Inc. | 237,733 | 7,805 |
| Raytheon Co. | 140,185 | 7,155 |
| General Dynamics Corp. | 113,489 | 6,536 |
| FedEx Corp. | 99,356 | 6,374 |
| Norfolk Southern Corp. | 126,112 | 5,934 |
| Deere & Co. | 144,934 | 5,554 |
| Waste Management, Inc. | 164,933 | 5,466 |
| Illinois Tool Works, Inc. | 139,741 | 4,898 |
| Danaher Corp. | 85,750 | 4,854 |
| Northrop Grumman Corp. | 107,758 | 4,853 |
| CSX Corp. | 137,100 | 4,452 |
| Tyco International, Ltd. | 159,554 | 3,446 |
| PACCAR, Inc. | 116,083 | 3,320 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| C.H. Robinson | | |
| Worldwide Inc. | 57,162 | 3,146 |
| L-3 Communications | | |
| Holdings, Inc. | 40,927 | 3,020 |
| Republic Services, Inc. | | |
| Class A | 120,273 | 2,982 |
| Precision Castparts Corp. | 46,801 | 2,784 |
| Fluor Corp. | 60,184 | 2,700 |
| ITT Industries, Inc. | 58,080 | 2,671 |
| Eaton Corp. | 53,104 | 2,640 |
| Parker Hannifin Corp. | 56,388 | 2,399 |
| Expeditors International of | | |
| Washington, Inc. | 71,699 | 2,385 |
| Southwest Airlines Co. | 246,919 | 2,128 |
| Rockwell Collins, Inc. | 53,611 | 2,096 |
| Dover Corp. | 63,078 | 2,077 |
* | Jacobs Engineering | | |
| Group Inc. | 41,167 | 1,980 |
| Ingersoll-Rand Co. | 106,907 | 1,855 |
* | First Solar, Inc. | 13,439 | 1,854 |
| Pitney Bowes, Inc. | 69,765 | 1,778 |
| Cummins Inc. | 64,713 | 1,730 |
| W.W. Grainger, Inc. | 21,772 | 1,716 |
| Cooper Industries, Inc. | | |
| Class A | 58,379 | 1,706 |
* | Iron Mountain, Inc. | 64,366 | 1,592 |
| Goodrich Corp. | 42,003 | 1,555 |
* | Stericycle, Inc. | 28,783 | 1,499 |
| Rockwell Automation, Inc. | 46,494 | 1,499 |
| Fastenal Co. | 42,426 | 1,479 |
| The Dun & Bradstreet Corp. | 18,294 | 1,412 |
| Masco Corp. | 123,872 | 1,379 |
| Roper Industries Inc. | 30,109 | 1,307 |
* | Delta Air Lines Inc. | 102,297 | 1,172 |
* | Quanta Services, Inc. | 58,580 | 1,160 |
| Textron, Inc. | 83,186 | 1,154 |
| Pall Corp. | 40,234 | 1,144 |
| Equifax, Inc. | 43,023 | 1,141 |
* | Foster Wheeler Ltd. | 48,336 | 1,130 |
| Ametek, Inc. | 35,816 | 1,082 |
| Cintas Corp. | 46,425 | 1,078 |
| Avery Dennison Corp. | 32,219 | 1,055 |
| Robert Half International, Inc. | 49,867 | 1,038 |
| Flowserve Corp. | 19,305 | 994 |
| R.R. Donnelley & Sons Co. | 70,459 | 957 |
* | Alliant Techsystems, Inc. | 11,071 | 949 |
* | Covanta Holding Corp. | 41,530 | 912 |
| Manpower Inc. | 26,532 | 902 |
* | AMR Corp. | 84,432 | 901 |
| KBR Inc. | 57,050 | 867 |
| Joy Global Inc. | 36,403 | 833 |
| Donaldson Co., Inc. | 23,510 | 791 |
| Harsco Corp. | 28,201 | 781 |
* | McDermott International, Inc. | 76,662 | 757 |
6
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | FTI Consulting, Inc. | 16,925 | 756 |
| Pentair, Inc. | 31,354 | 742 |
| SPX Corp. | 18,156 | 736 |
| Ryder System, Inc. | 18,897 | 733 |
* | AGCO Corp. | 30,614 | 722 |
| J.B. Hunt Transport | | |
| Services, Inc. | 27,265 | 716 |
* | Copart, Inc. | 24,428 | 664 |
* | Kansas City Southern | 30,436 | 580 |
* | Shaw Group, Inc. | 27,901 | 571 |
* | Terex Corp. | 32,489 | 563 |
* | SunPower Corp. Class A | 13,008 | 481 |
| Bucyrus International, Inc. | 25,096 | 465 |
* | Monster Worldwide Inc. | 37,991 | 459 |
* | Navistar International Corp. | 21,425 | 458 |
* | Owens Corning Inc. | 25,962 | 449 |
* | SunPower Corp. Class B | 14,088 | 429 |
| The Manitowoc Co., Inc. | 43,733 | 379 |
* | Spirit Aerosystems | | |
| Holdings Inc. | 34,648 | 352 |
* | Hertz Global Holdings Inc. | 49,292 | 250 |
* | USG Corp. | 25,412 | 204 |
| | | 311,920 |
Information Technology (15.3%) | | |
| Microsoft Corp. | 2,761,800 | 53,689 |
| International Business | | |
| Machines Corp. | 455,457 | 38,331 |
* | Cisco Systems, Inc. | 1,985,348 | 32,361 |
| Hewlett-Packard Co. | 828,901 | 30,081 |
| Intel Corp. | 1,889,596 | 27,701 |
* | Apple Inc. | 297,760 | 25,414 |
* | Google Inc. | 80,344 | 24,718 |
* | Oracle Corp. | 1,387,952 | 24,608 |
| QUALCOMM Inc. | 551,587 | 19,763 |
| Visa Inc. | 150,504 | 7,894 |
* | EMC Corp. | 695,960 | 7,287 |
| Automatic Data | | |
| Processing, Inc. | 174,278 | 6,856 |
| Texas Instruments, Inc. | 440,657 | 6,839 |
| Accenture Ltd. | 202,168 | 6,629 |
* | Dell Inc. | 611,358 | 6,260 |
* | Yahoo! Inc. | 442,506 | 5,399 |
* | eBay Inc. | 371,582 | 5,187 |
| Corning, Inc. | 530,335 | 5,054 |
| Applied Materials, Inc. | 455,609 | 4,615 |
| MasterCard, Inc. Class A | 29,780 | 4,256 |
* | Symantec Corp. | 282,079 | 3,814 |
* | Adobe Systems, Inc. | 178,327 | 3,797 |
| Western Union Co. | 244,991 | 3,513 |
| Motorola, Inc. | 761,172 | 3,372 |
* | Juniper Networks, Inc. | 182,709 | 3,199 |
| Paychex, Inc. | 108,909 | 2,862 |
| CA, Inc. | 139,264 | 2,581 |
| Tyco Electronics Ltd. | 158,654 | 2,572 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Broadcom Corp. | 148,010 | 2,512 |
* | Intuit, Inc. | 102,502 | 2,438 |
| Xerox Corp. | 293,148 | 2,336 |
* | Fiserv, Inc. | 55,171 | 2,007 |
* | Agilent Technologies, Inc. | 120,760 | 1,887 |
| Analog Devices, Inc. | 97,403 | 1,853 |
* | Computer Sciences Corp. | 50,918 | 1,789 |
* | Cognizant Technology | | |
| Solutions Corp. | 97,827 | 1,767 |
* | McAfee Inc. | 50,876 | 1,759 |
* | Activision Blizzard, Inc. | 199,054 | 1,720 |
* | Electronic Arts Inc. | 107,001 | 1,716 |
* | BMC Software, Inc. | 63,758 | 1,716 |
| Harris Corp. | 44,999 | 1,712 |
| Altera Corp. | 101,083 | 1,689 |
| Xilinx, Inc. | 92,928 | 1,656 |
| Linear Technology Corp. | 74,346 | 1,644 |
* | NetApp, Inc. | 109,856 | 1,535 |
* | Autodesk, Inc. | 75,256 | 1,479 |
* | Citrix Systems, Inc. | 61,251 | 1,444 |
* | NVIDIA Corp. | 177,551 | 1,433 |
| Amphenol Corp. | 59,470 | 1,426 |
* | Affiliated Computer | | |
| Services, Inc. Class A | 30,403 | 1,397 |
* | FLIR Systems, Inc. | 44,437 | 1,363 |
| KLA-Tencor Corp. | 58,218 | 1,269 |
* | VeriSign, Inc. | 65,032 | 1,241 |
| Microchip Technology, Inc. | 61,674 | 1,204 |
* | SAIC, Inc. | 61,651 | 1,201 |
* | Marvell Technology | | |
| Group Ltd. | 172,831 | 1,153 |
* | salesforce.com, inc. | 34,569 | 1,107 |
* | MEMC Electronic | | |
| Materials, Inc. | 75,683 | 1,081 |
* | Alliance Data Systems Corp. | 22,709 | 1,057 |
| Fidelity National Information | | |
| Services, Inc. | 63,710 | 1,037 |
* | Sun Microsystems, Inc. | 252,299 | 964 |
| Lender Processing | | |
| Services, Inc. | 31,888 | 939 |
* | Avnet, Inc. | 50,547 | 920 |
* | LAM Research Corp. | 42,103 | 896 |
* | Teradata Corp. | 59,923 | 889 |
* | Synopsys, Inc. | 47,884 | 887 |
| Global Payments Inc. | 26,869 | 881 |
* | Trimble Navigation Ltd. | 40,761 | 881 |
* | Akamai Technologies, Inc. | 56,833 | 858 |
* | Western Digital Corp. | 74,316 | 851 |
* | Red Hat, Inc. | 64,268 | 850 |
* | Hewitt Associates, Inc. | 29,514 | 838 |
* | Lexmark International, Inc. | 29,558 | 795 |
| Total System Services, Inc. | 56,595 | 792 |
* | NCR Corp. | 55,106 | 779 |
7
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Mettler-Toledo | | |
| International Inc. | 11,502 | 775 |
| National | | |
| Semiconductor Corp. | 76,607 | 771 |
* | Arrow Electronics, Inc. | 40,384 | 761 |
| Seagate Technology | 164,436 | 728 |
* | SanDisk Corp. | 75,814 | 728 |
* | Flextronics | | |
| International Ltd. | 281,942 | 722 |
* | LSI Corp. | 216,200 | 711 |
* | Micron Technology, Inc. | 256,541 | 677 |
* | Ingram Micro, Inc. Class A | 50,265 | 673 |
* | Nuance | | |
| Communications, Inc. | 60,857 | 630 |
* | Dolby Laboratories Inc. | 17,336 | 568 |
* | Tellabs, Inc. | 125,921 | 519 |
* | DST Systems, Inc. | 13,060 | 496 |
* | Advanced Micro | | |
| Devices, Inc. | 203,445 | 439 |
* | Novellus Systems, Inc. | 33,324 | 411 |
| Jabil Circuit, Inc. | 59,617 | 402 |
| Intersil Corp. | 41,524 | 382 |
* | VMware Inc. | 14,981 | 355 |
| Molex, Inc. Class A | 25,238 | 327 |
* | Cadence Design | | |
| Systems, Inc. | 88,256 | 323 |
| Molex, Inc. | 21,714 | 315 |
* | JDS Uniphase Corp. | 72,389 | 264 |
| | | 444,277 |
Materials (3.2%) | | |
| Monsanto Co. | 184,974 | 13,013 |
| E.I. du Pont de Nemours | | |
| & Co. | 303,247 | 7,672 |
| Praxair, Inc. | 105,934 | 6,288 |
| Newmont Mining Corp. | | |
| (Holding Co.) | 147,720 | 6,012 |
| Nucor Corp. | 106,455 | 4,918 |
| Dow Chemical Co. | 310,899 | 4,692 |
| Air Products & | | |
| Chemicals, Inc. | 71,113 | 3,575 |
| Freeport-McMoRan | | |
| Copper & Gold, Inc. | | |
| Class B | 129,241 | 3,159 |
| Alcoa Inc. | 273,694 | 3,082 |
| Ecolab, Inc. | 80,074 | 2,815 |
| Rohm & Haas Co. | 42,395 | 2,620 |
| Vulcan Materials Co. | 37,021 | 2,576 |
| PPG Industries, Inc. | 55,152 | 2,340 |
| Weyerhaeuser Co. | 71,133 | 2,177 |
| The Mosaic Co. | 52,205 | 1,806 |
| Sigma-Aldrich Corp. | 42,349 | 1,789 |
| International Paper Co. | 136,222 | 1,607 |
* | Owens-Illinois, Inc. | 55,905 | 1,528 |
| United States Steel Corp. | 39,452 | 1,468 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
^ | Martin Marietta | | |
| Materials, Inc. | 13,943 | 1,354 |
| Ball Corp. | 30,857 | 1,283 |
* | Pactiv Corp. | 43,939 | 1,093 |
| FMC Corp. | 23,891 | 1,069 |
* | Crown Holdings, Inc. | 54,036 | 1,038 |
| Airgas, Inc. | 24,934 | 972 |
| Cliffs Natural Resources Inc. | 35,941 | 921 |
| CF Industries Holdings, Inc. | 17,981 | 884 |
| Lubrizol Corp. | 22,737 | 827 |
| Eastman Chemical Co. | 25,778 | 817 |
| Bemis Co., Inc. | 33,585 | 795 |
| Sealed Air Corp. | 53,168 | 794 |
| Allegheny Technologies Inc. | 30,453 | 778 |
| Sonoco Products Co. | 33,189 | 769 |
| International Flavors & | | |
| Fragrances, Inc. | 23,799 | 707 |
| MeadWestvaco Corp. | 57,562 | 644 |
| Steel Dynamics, Inc. | 57,514 | 643 |
| Celanese Corp. Series A | 50,055 | 622 |
| Albemarle Corp. | 24,548 | 547 |
| Nalco Holding Co. | 46,958 | 542 |
| Terra Industries, Inc. | 30,786 | 513 |
| Commercial Metals Co. | 38,424 | 456 |
| Reliance Steel & | | |
| Aluminum Co. | 22,138 | 441 |
| Titanium Metals Corp. | 39,881 | 351 |
| AK Steel Holding Corp. | 37,633 | 351 |
* | Domtar Corp. | 173,993 | 291 |
| Ashland, Inc. | 22,854 | 240 |
| Huntsman Corp. | 53,369 | 184 |
| | | 93,063 |
Telecommunication Services (3.7%) | | |
| AT&T Inc. | 1,980,624 | 56,448 |
| Verizon | | |
| Communications Inc. | 957,142 | 32,447 |
* | American Tower Corp. | | |
| Class A | 132,489 | 3,885 |
| Qwest Communications | | |
| International Inc. | 522,591 | 1,902 |
| Embarq Corp. | 47,869 | 1,721 |
* | Sprint Nextel Corp. | 931,821 | 1,705 |
* | Crown Castle | | |
| International Corp. | 91,328 | 1,606 |
| Windstream Corp. | 147,679 | 1,359 |
* | MetroPCS | | |
| Communications Inc. | 70,432 | 1,046 |
* | NII Holdings Inc. | 55,618 | 1,011 |
| Frontier | | |
| Communications Corp. | 106,102 | 927 |
| CenturyTel, Inc. | 32,737 | 895 |
| Telephone & Data | | |
| Systems, Inc. | 17,727 | 563 |
8
| | | Market |
| | | Value• |
| | Shares | ($000) |
* | Leap Wireless | | |
| International, Inc. | 18,561 | 499 |
| Telephone & Data | | |
| Systems, Inc.–Special | | |
| Common Shares | 17,313 | 486 |
* | Level 3 | | |
| Communications, Inc. | 521,418 | 365 |
* | U.S. Cellular Corp. | 6,276 | 271 |
| | | 107,136 |
Utilities (4.3%) | | |
| Exelon Corp. | 220,947 | 12,287 |
| Southern Co. | 258,909 | 9,580 |
| Dominion Resources, Inc. | 195,018 | 6,989 |
| FPL Group, Inc. | 130,490 | 6,568 |
| Duke Energy Corp. | 425,187 | 6,382 |
| Entergy Corp. | 64,355 | 5,350 |
| Public Service Enterprise | | |
| Group, Inc. | 170,998 | 4,988 |
| FirstEnergy Corp. | 102,437 | 4,976 |
| PG&E Corp. | 122,435 | 4,739 |
| American Electric | | |
| Power Co., Inc. | 135,274 | 4,502 |
| PPL Corp. | 125,969 | 3,866 |
| Consolidated Edison Inc. | 91,886 | 3,577 |
| Sempra Energy | 78,571 | 3,350 |
| Edison International | 104,125 | 3,345 |
| Progress Energy, Inc. | 83,696 | 3,335 |
| Xcel Energy, Inc. | 144,661 | 2,683 |
| Ameren Corp. | 70,517 | 2,345 |
| DTE Energy Co. | 54,677 | 1,950 |
| Allegheny Energy, Inc. | 56,738 | 1,921 |
| Questar Corp. | 58,184 | 1,902 |
* | AES Corp. | 226,431 | 1,866 |
* | NRG Energy, Inc. | 75,202 | 1,755 |
| Wisconsin Energy Corp. | 39,339 | 1,651 |
| Constellation Energy | | |
| Group, Inc. | 59,946 | 1,504 |
| Equitable Resources, Inc. | 41,723 | 1,400 |
| CenterPoint Energy Inc. | 109,026 | 1,376 |
| SCANA Corp. | 37,233 | 1,326 |
| NSTAR | 35,919 | 1,311 |
| Pepco Holdings, Inc. | 72,842 | 1,294 |
| MDU Resources Group, Inc. | 58,490 | 1,262 |
| Northeast Utilities | 52,127 | 1,254 |
| Puget Energy, Inc. | 43,491 | 1,186 |
* | Mirant Corp. | 62,183 | 1,173 |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Integrys Energy Group, Inc. | 25,698 | 1,105 |
| Pinnacle West Capital Corp. | 33,854 | 1,088 |
| Alliant Energy Corp. | 37,017 | 1,080 |
| NiSource, Inc. | 91,927 | 1,008 |
| ONEOK, Inc. | 33,288 | 969 |
| TECO Energy, Inc. | 71,524 | 883 |
| DPL Inc. | 38,245 | 874 |
| NV Energy Inc. | 78,706 | 778 |
| National Fuel Gas Co. | 24,717 | 774 |
| CMS Energy Corp. | 75,950 | 767 |
* | Reliant Energy, Inc. | 116,097 | 671 |
| Energen Corp. | 22,742 | 667 |
| American Water | | |
| Works Co., Inc. | 21,444 | 448 |
* | Dynegy, Inc. | 167,767 | 336 |
| | | 124,441 |
Total Common Stocks | | |
(Cost $3,768,782) | | 2,885,781 |
Temporary Cash Investments (0.9%)1 | | |
Money Market Fund (0.8%) | | |
2,3 | Vanguard Market | | |
| Liquidity Fund, | | |
| 1.378% | 23,150,205 | 23,150 |
| | | |
| | Face | |
| | Amount | |
| | ($000) | |
U.S. Agency Obligation (0.1%) | | |
4,5 | Federal Home Loan | | |
| Mortgage Corp., | | |
| 0.200%, 5/6/09 | 2,000 | 1,999 |
Total Temporary Cash Investments | | |
(Cost $25,149) | | 25,149 |
Total Investments (100.5%) | | |
(Cost $3,793,931) | | 2,910,930 |
Other Assets and Liabilities (-0.5%) | | |
Other Assets | | 26,478 |
Liabilities3 | | (40,405) |
| | | (13,927) |
Net Assets (100%) | | 2,897,003 |
9
At December 31, 2008, net assets consisted of: |
| Amount |
| ($000) |
Paid-in Capital | 3,840,555 |
Undistributed Net Investment Income | 609 |
Accumulated Net Realized Losses | (61,479) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (883,001) |
Futures Contracts | 319 |
Net Assets | 2,897,003 |
| |
Investor Shares—Net Assets | |
Applicable to 22,945,489 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 376,447 |
Net Asset Value Per Share— | |
Investor Shares | $16.41 |
| |
Admiral Shares—Net Assets | |
Applicable to 12,393,225 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 254,228 |
Net Asset Value Per Share— | |
Admiral Shares | $20.51 |
| |
Signal Shares—Net Assets | |
Applicable to 5,690,819 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 101,832 |
Net Asset Value Per Share— | |
Signal Shares | $17.89 |
| |
Institutional Shares—Net Assets | |
Applicable to 2,453,713 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 207,156 |
Net Asset Value Per Share— | |
Institutional Shares | $84.43 |
| |
ETF Shares—Net Assets | |
Applicable to 48,194,315 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,957,340 |
Net Asset Value Per Share— | |
ETF Shares | $40.61 |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
^ | Part of security position is on loan to broker-dealers. The total value of securities on loan is $2,952,000. |
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 0.5%, 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 $3,215,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
5 Securities with a value of $1,999,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
10
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| © 2009 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| F03070 022009 |
Vanguard® U.S. Stock Index Funds Total Stock Market Index Fund
Statement of Net Assets—Investments Summary
As of December 31, 2008
This Statement should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, Notes to Financial Statements, and Report of Independent Registered Public Accounting Firm, all of which appear in the accompanying report.
This Statement summarizes the fund’s holdings by asset type (common stocks, bonds, etc.) and by industry sector. 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 provides a complete list of its holdings 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 (www.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 the accompanying report for further information).
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
Common Stocks | | | |
Consumer Discretionary | | | |
| McDonald’s Corp. | 9,511,958 | 591,549 | 0.7% |
| Comcast Corp. Class A | 22,004,671 | 371,439 | 0.5% |
| The Walt Disney Co. | 15,076,657 | 342,089 | 0.4% |
| Home Depot, Inc. | 14,352,496 | 330,394 | 0.4% |
| Time Warner, Inc. | 30,301,677 | 304,835 | 0.4% |
† | Consumer Discretionary—Other | | 5,434,210 | 6.6% |
| | | 7,374,516 | 9.0% |
Consumer Staples | | | |
| The Procter & Gamble Co. | 24,924,071 | 1,540,806 | 1.9% |
| Wal-Mart Stores, Inc. | 20,012,411 | 1,121,896 | 1.4% |
| The Coca-Cola Co. | 17,594,532 | 796,504 | 1.0% |
| Philip Morris International Inc. | 17,432,550 | 758,490 | 0.9% |
| PepsiCo, Inc. | 13,240,276 | 725,170 | 0.9% |
| CVS Caremark Corp. | 12,138,037 | 348,847 | 0.4% |
| Kraft Foods Inc. | 12,307,558 | 330,458 | 0.4% |
† | Consumer Staples—Other | | 3,486,765 | 4.2% |
| | | 9,108,936 | 11.1% |
Energy | | | |
| ExxonMobil Corp. | 43,927,801 | 3,506,756 | 4.3% |
| Chevron Corp. | 17,375,518 | 1,285,267 | 1.6% |
| ConocoPhillips Co. | 12,211,019 | 632,531 | 0.8% |
| Schlumberger Ltd. | 10,145,707 | 429,468 | 0.5% |
| Occidental Petroleum Corp. | 6,910,353 | 414,552 | 0.5% |
† | Energy—Other | | 3,646,773 | 4.4% |
| | | 9,915,347 | 12.1% |
Financials | | | |
| JPMorgan Chase & Co. | 31,156,899 | 982,377 | 1.2% |
| Wells Fargo & Co. | 29,784,536 | 878,048 | 1.1% |
1
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| Bank of America Corp. | 42,709,977 | 601,356 | 0.8% |
| U.S. Bancorp | 14,733,235 | 368,478 | 0.5% |
| Citigroup Inc. | 46,054,752 | 309,027 | 0.4% |
† | Financials—Other | | 8,959,006 | 10.8% |
| | | 12,098,292 | 14.8% |
Health Care | | | |
| Johnson & Johnson | 23,634,256 | 1,414,038 | 1.7% |
| Pfizer Inc. | 57,011,805 | 1,009,679 | 1.3% |
| Abbott Laboratories | 13,037,546 | 695,814 | 0.9% |
| Merck & Co., Inc. | 18,119,970 | 550,847 | 0.7% |
* | Amgen Inc. | 8,948,252 | 516,762 | 0.7% |
| Wyeth | 11,277,485 | 423,018 | 0.5% |
* | Gilead Sciences, Inc. | 7,780,317 | 397,885 | 0.5% |
| Bristol-Myers Squibb Co. | 16,742,429 | 389,261 | 0.5% |
| Eli Lilly & Co. | 8,654,221 | 348,505 | 0.4% |
* | Genentech, Inc. | 4,017,684 | 333,106 | 0.4% |
| Medtronic, Inc. | 9,520,815 | 299,144 | 0.4% |
† | Health Care—Other | | 5,427,888 | 6.4% |
| | | 11,805,947 | 14.4% |
Industrials | | | |
| General Electric Co. | 88,768,218 | 1,438,045 | 1.8% |
| United Technologies Corp. | 7,748,246 | 415,306 | 0.5% |
| 3M Co. | 5,616,274 | 323,160 | 0.4% |
| United Parcel Service, Inc. | 5,769,761 | 318,260 | 0.4% |
† | Industrials—Other | | 6,808,983 | 8.2% |
| | | 9,303,754 | 11.3% |
Information Technology | | | |
| Microsoft Corp. | 69,496,756 | 1,351,017 | 1.7% |
| International Business Machines Corp. | 11,458,447 | 964,343 | 1.2% |
* | Cisco Systems, Inc. | 49,959,230 | 814,335 | 1.0% |
| Hewlett-Packard Co. | 20,857,817 | 756,930 | 0.9% |
| Intel Corp. | 47,547,604 | 697,048 | 0.9% |
* | Apple Inc. | 7,492,311 | 639,469 | 0.8% |
* | Google Inc. | 2,022,252 | 622,146 | 0.8% |
* | Oracle Corp. | 34,925,761 | 619,234 | 0.8% |
| QUALCOMM Inc. | 13,878,460 | 497,265 | 0.6% |
† | Information Technology—Other | | 5,634,777 | 6.7% |
| | | 12,596,564 | 15.4% |
Materials | | | |
| Monsanto Co. | 4,651,744 | 327,250 | 0.4% |
† | Materials—Other | | 2,382,915 | 2.9% |
| | | 2,710,165 | 3.3% |
Telecommunication Services | | | |
| AT&T Inc. | 49,839,526 | 1,420,426 | 1.8% |
| Verizon Communications Inc. | 24,084,510 | 816,465 | 1.0% |
† | Telecommunication Services—Other | | 545,900 | 0.6% |
| | | 2,782,791 | 3.4% |
Utilities | | | |
| Exelon Corp. | 5,559,462 | 309,162 | 0.4% |
† | Utilities—Other | | 3,267,698 | 4.0% |
| | | 3,576,860 | 4.4% |
Total Common Stocks (Cost $104,538,428) | | 81,273,172 | 99.2%1 |
2
| | | Market | Percentage |
| | | Value• | of Net |
| Coupon | Shares | ($000) | Assets |
Temporary Cash Investments | | | | |
Money Market Fund | | | | |
2,3 Vanguard Market Liquidity Fund | 1.378% | 1,105,723,733 | 1,105,724 | 1.4% |
| | | | |
†U.S. Agency Obligation | | | 74,969 | 0.1% |
^Total Temporary Cash Investments (Cost $1,180,499) | | 1,180,693 | 1.5%1 |
Total Investments (Cost $105,718,927) | | | 82,453,865 | 100.7% |
Other Assets and Liabilities | | | | |
Other Assets | | | 712,005 | 0.8% |
Liabilities3 | | | (1,246,698) | (1.5%) |
| | | (534,693) | (0.7%) |
Net Assets | | | 81,919,172 | 100.0% |
At December 31, 2008, net assets consisted of: | |
| Amount |
| ($000) |
Paid-in Capital | 109,784,047 |
Overdistributed Net Investment Income | (64,609) |
Accumulated Net Realized Losses | (4,555,091) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (23,265,062) |
Futures Contracts | 19,887 |
Net Assets | 81,919,172 |
3
| Amount |
| ($000) |
Investor Shares—Net Assets | |
Applicable to 1,809,097,699 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 39,440,420 |
Net Asset Value Per Share—Investor Shares | $21.80 |
| |
Admiral Shares—Net Assets | |
Applicable to 861,378,042 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 18,780,641 |
Net Asset Value Per Share—Admiral Shares | $21.80 |
| |
Signal Shares—Net Assets | |
Applicable to 176,658,879 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,717,351 |
Net Asset Value Per Share—Signal Shares | $21.04 |
| |
Institutional Shares—Net Assets | |
Applicable to 494,429,774 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 10,781,659 |
Net Asset Value Per Share—Institutional Shares | $21.81 |
| |
ETF Shares—Net Assets | |
Applicable to 205,417,541 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 9,199,101 |
Net Asset Value Per Share—ETF Shares | $44.78 |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
^ | The total value of securities on loan is $484,561,000. |
† 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 0.7%, 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 Includes $527,743,000 of collateral received for securities on loan.
| © 2009 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| F850 022009 |
Vanguard® Total Stock Market Index Fund | | |
Schedule of Investments | | |
December 31, 2008 | | |
| | | Market |
| | | Value |
| | Shares | ($000) |
Common Stocks (99.2%)1 | | |
Consumer Discretionary (9.0%) | | |
| McDonald’s Corp. | 9,511,958 | 591,549 |
| Comcast Corp. Class A | 22,004,671 | 371,439 |
| The Walt Disney Co. | 15,076,657 | 342,089 |
| Home Depot, Inc. | 14,352,496 | 330,394 |
| Time Warner, Inc. | 30,301,677 | 304,835 |
| Lowe’s Cos., Inc. | 12,381,650 | 266,453 |
| Target Corp. | 6,227,084 | 215,021 |
| News Corp., Class A | 18,652,240 | 169,549 |
| NIKE, Inc. Class B | 3,167,519 | 161,543 |
* | Amazon.com, Inc. | 2,702,914 | 138,605 |
| Yum! Brands, Inc. | 3,966,942 | 124,959 |
* | DIRECTV Group, Inc. | 5,164,925 | 118,328 |
| Staples, Inc. | 5,938,899 | 106,425 |
| Johnson Controls, Inc. | 5,026,312 | 91,278 |
| Carnival Corp. | 3,697,864 | 89,932 |
* | Kohl’s Corp. | 2,464,872 | 89,228 |
* | Apollo Group, Inc. Class A | 1,137,052 | 87,121 |
| Best Buy Co., Inc. | 2,961,508 | 83,248 |
* | Viacom Inc. Class B | 4,344,566 | 82,807 |
| TJX Cos., Inc. | 3,551,753 | 73,060 |
* | Liberty Media Corp. | 4,170,441 | 72,899 |
| Omnicom Group Inc. | 2,699,887 | 72,681 |
| H & R Block, Inc. | 2,784,490 | 63,264 |
| The McGraw-Hill Cos., Inc. | 2,686,591 | 62,302 |
* | Coach, Inc. | 2,850,791 | 59,211 |
* | Starbucks Corp. | 6,180,127 | 58,464 |
| The Gap, Inc. | 4,287,510 | 57,410 |
* | Bed Bath & Beyond, Inc. | 2,205,281 | 56,058 |
| Fortune Brands, Inc. | 1,270,132 | 52,431 |
* | AutoZone Inc. | 375,318 | 52,346 |
| Genuine Parts Co. | 1,370,058 | 51,870 |
| Sherwin-Williams Co. | 845,388 | 50,512 |
| Mattel, Inc. | 3,051,924 | 48,831 |
| Marriott International, Inc. Class A | 2,385,620 | 46,400 |
| Tim Hortons, Inc. | 1,549,516 | 44,688 |
| VF Corp. | 738,107 | 40,426 |
| CBS Corp. | 4,813,152 | 39,420 |
| Macy’s Inc. | 3,562,520 | 36,872 |
| J.C. Penney Co., Inc. (Holding Co.) | 1,785,897 | 35,182 |
*,^ | Ford Motor Co. | 14,854,845 | 34,018 |
| Harley-Davidson, Inc. | 1,992,266 | 33,809 |
| Ross Stores, Inc. | 1,125,672 | 33,466 |
| Cablevision Systems NY Group Class A | 1,979,432 | 33,334 |
* | O’Reilly Automotive, Inc. | 1,077,421 | 33,120 |
* | Time Warner Cable, Inc. | 1,525,960 | 32,732 |
* | Dollar Tree, Inc. | 762,593 | 31,876 |
| Darden Restaurants Inc. | 1,124,192 | 31,680 |
| Hasbro, Inc. | 1,076,631 | 31,405 |
| DeVry, Inc. | 544,327 | 31,250 |
* | ITT Educational Services, Inc. | 328,671 | 31,217 |
| International Game Technology | 2,518,491 | 29,945 |
| Family Dollar Stores, Inc. | 1,125,267 | 29,336 |
* | GameStop Corp. Class A | 1,317,840 | 28,544 |
| Starwood Hotels & Resorts Worldwide, Inc. | 1,581,990 | 28,318 |
| Comcast Corp. Special Class A | 1,725,663 | 27,869 |
| Advance Auto Parts, Inc. | 811,808 | 27,317 |
| Limited Brands, Inc. | 2,600,590 | 26,110 |
| Whirlpool Corp. | 629,840 | 26,044 |
| Strayer Education, Inc. | 120,999 | 25,943 |
| Tiffany & Co. | 1,067,196 | 25,218 |
* | Toll Brothers, Inc. | 1,144,241 | 24,521 |
* | Priceline.com, Inc. | 313,194 | 23,067 |
| Newell Rubbermaid, Inc. | 2,347,094 | 22,955 |
*,^ | Sears Holdings Corp. | 589,521 | 22,915 |
*,^ | Wynn Resorts Ltd. | 522,320 | 22,073 |
| Polo Ralph Lauren Corp. | 479,107 | 21,756 |
| BorgWarner, Inc. | 987,653 | 21,501 |
| Black & Decker Corp. | 509,480 | 21,301 |
* | Mohawk Industries, Inc. | 491,840 | 21,134 |
| Leggett & Platt, Inc. | 1,364,345 | 20,724 |
| The Stanley Works | 600,746 | 20,485 |
| Pulte Homes, Inc. | 1,857,449 | 20,302 |
* | Liberty Global, Inc. Class A | 1,268,168 | 20,189 |
| Washington Post Co. Class B | 51,311 | 20,024 |
| PetSmart, Inc. | 1,081,264 | 19,949 |
* | DISH Network Corp. | 1,790,096 | 19,852 |
* | Liberty Global, Inc. Series C | 1,302,023 | 19,765 |
| Burger King Holdings Inc. | 803,441 | 19,186 |
| Snap-On Inc. | 486,534 | 19,160 |
| Garmin Ltd. | 968,315 | 18,563 |
| Nordstrom, Inc. | 1,370,187 | 18,237 |
| D. R. Horton, Inc. | 2,423,070 | 17,131 |
| Abercrombie & Fitch Co. | 737,610 | 17,017 |
| Wendy’s/Arby’s Group, Inc. | 3,391,422 | 16,754 |
| Scripps Networks Interactive | 753,905 | 16,586 |
^ | Royal Caribbean Cruises, Ltd. | 1,177,059 | 16,185 |
* | Discovery Communications Inc. Class A | 1,138,646 | 16,123 |
| Eastman Kodak Co. | 2,445,914 | 16,094 |
* | Interpublic Group of Cos., Inc. | 4,040,589 | 16,001 |
* | Discovery Communications Inc. Class C | 1,190,431 | 15,940 |
* | NVR, Inc. | 34,459 | 15,722 |
* | Las Vegas Sands Corp. | 2,644,386 | 15,681 |
| Gannett Co., Inc. | 1,940,709 | 15,526 |
* | Liberty Media Corp.-Interactive Series A | 4,791,501 | 14,949 |
* | Urban Outfitters, Inc. | 991,040 | 14,846 |
*,^ | CarMax, Inc. | 1,865,226 | 14,698 |
| American Eagle Outfitters, Inc. | 1,569,845 | 14,694 |
* | DreamWorks Animation SKG, Inc. | 581,209 | 14,681 |
* | Expedia, Inc. | 1,659,043 | 13,671 |
* | Career Education Corp. | 760,605 | 13,645 |
| John Wiley & Sons Class A | 378,095 | 13,453 |
* | Marvel Entertainment, Inc. | 433,917 | 13,343 |
* | Penn National Gaming, Inc. | 617,486 | 13,202 |
| Autoliv, Inc. | 611,520 | 13,123 |
*,^ | Panera Bread Co. | 247,760 | 12,943 |
| RadioShack Corp. | 1,061,703 | 12,677 |
*,^ | Netflix.com, Inc. | 413,988 | 12,374 |
^ | General Motors Corp. | 3,845,903 | 12,307 |
* | LKQ Corp. | 1,041,546 | 12,144 |
| Tupperware Brands Corp. | 526,893 | 11,960 |
* | Corinthian Colleges, Inc. | 725,948 | 11,884 |
| Virgin Media Inc. | 2,372,950 | 11,841 |
* | The Goodyear Tire & Rubber Co. | 1,941,116 | 11,588 |
* | WMS Industries, Inc. | 425,557 | 11,447 |
*,^ | MGM Mirage, Inc. | 818,431 | 11,262 |
| Centex Corp. | 1,050,685 | 11,179 |
*,^ | AutoNation, Inc. | 1,130,514 | 11,169 |
| Service Corp. International | 2,185,191 | 10,860 |
| Gentex Corp. | 1,208,054 | 10,667 |
* | Jack in the Box Inc. | 482,512 | 10,659 |
* | Scientific Games Corp. | 591,444 | 10,374 |
* | Dick’s Sporting Goods, Inc. | 723,841 | 10,213 |
* | Hanesbrands Inc. | 798,832 | 10,185 |
* | Tractor Supply Co. | 277,796 | 10,040 |
* | Bally Technologies Inc. | 417,179 | 10,025 |
* | Big Lots Inc. | 691,515 | 10,020 |
* | Rent-A-Center, Inc. | 564,522 | 9,964 |
| Wyndham Worldwide Corp. | 1,511,830 | 9,902 |
| Foot Locker, Inc. | 1,321,292 | 9,698 |
| | | |
| Matthews International Corp. | 263,009 | 9,647 |
| MDC Holdings, Inc. | 315,024 | 9,545 |
| Aaron Rents, Inc. | 352,860 | 9,393 |
* | Carter’s, Inc. | 478,019 | 9,207 |
* | Aeropostale, Inc. | 569,839 | 9,174 |
| Brinker International, Inc. | 865,555 | 9,123 |
| Hillenbrand Inc. | 531,856 | 8,871 |
| Choice Hotels International, Inc. | 294,673 | 8,858 |
| KB Home | 650,228 | 8,856 |
| Phillips-Van Heusen Corp. | 438,752 | 8,832 |
| Weight Watchers International, Inc. | 299,270 | 8,805 |
| Wolverine World Wide, Inc. | 414,874 | 8,729 |
* | Chipotle Mexican Grill, Inc. Class B | 148,819 | 8,526 |
| New York Times Co. Class A | 1,159,682 | 8,500 |
* | Deckers Outdoor Corp. | 105,810 | 8,451 |
* | Brink’s Home Security Holdings, Inc. | 385,003 | 8,439 |
^ | Polaris Industries, Inc. | 276,934 | 7,934 |
| WABCO Holdings Inc. | 500,138 | 7,897 |
| Interactive Data Corp. | 318,280 | 7,849 |
| Harman International Industries, Inc. | 468,919 | 7,845 |
* | The Warnaco Group, Inc. | 392,480 | 7,704 |
*,^ | Chipotle Mexican Grill, Inc. | 124,018 | 7,687 |
*,^ | Lamar Advertising Co. Class A | 610,831 | 7,672 |
| Guess ?, Inc. | 487,180 | 7,478 |
^ | Pool Corp. | 410,277 | 7,373 |
| Lennar Corp. Class A | 831,155 | 7,206 |
* | Office Depot, Inc. | 2,349,902 | 7,003 |
| International Speedway Corp. | 238,429 | 6,850 |
| Regal Entertainment Group Class A | 666,102 | 6,801 |
* | Jarden Corp. | 586,685 | 6,747 |
* | Fossil, Inc. | 403,200 | 6,733 |
* | The Gymboree Corp. | 247,653 | 6,461 |
| Ryland Group, Inc. | 365,184 | 6,453 |
* | Collective Brands, Inc. | 547,642 | 6,418 |
* | Chico’s FAS, Inc. | 1,497,130 | 6,258 |
* | Capella Education Co. | 105,752 | 6,214 |
*,^ | Vail Resorts Inc. | 230,389 | 6,128 |
* | Sonic Corp. | 491,053 | 5,976 |
| Williams-Sonoma, Inc. | 759,462 | 5,969 |
*,^ | Under Armour, Inc. | 248,975 | 5,936 |
| Men’s Wearhouse, Inc. | 420,738 | 5,697 |
* | Lions Gate Entertainment Corp. | 998,735 | 5,493 |
| Meredith Corp. | 320,437 | 5,486 |
* | The Cheesecake Factory Inc. | 536,052 | 5,414 |
| Bob Evans Farms, Inc. | 261,289 | 5,338 |
* | CEC Entertainment Inc. | 219,180 | 5,315 |
^ | Sotheby’s | 571,959 | 5,085 |
*,^ | Jos. A. Bank Clothiers, Inc. | 192,089 | 5,023 |
*,^ | Saks Inc. | 1,145,896 | 5,019 |
* | Helen of Troy Ltd. | 284,562 | 4,940 |
^ | Columbia Sportswear Co. | 138,807 | 4,910 |
| Barnes & Noble, Inc. | 326,721 | 4,901 |
| Callaway Golf Co. | 526,373 | 4,890 |
* | Liberty Media Corp.-Capital Series A | 1,032,324 | 4,862 |
| Regis Corp. | 333,476 | 4,845 |
* | The Dress Barn, Inc. | 446,893 | 4,800 |
| Cracker Barrel Old Country Store Inc. | 228,279 | 4,700 |
* | 99 Cents Only Stores | 429,786 | 4,698 |
| OfficeMax, Inc. | 613,314 | 4,686 |
* | P.F. Chang’s China Bistro, Inc. | 223,186 | 4,674 |
* | Iconix Brand Group Inc. | 474,647 | 4,642 |
* | Morningstar, Inc. | 130,350 | 4,627 |
* | Coinstar, Inc. | 236,952 | 4,623 |
* | The Children’s Place Retail Stores, Inc. | 210,074 | 4,554 |
* | Pinnacle Entertainment, Inc. | 569,809 | 4,376 |
| Jackson Hewitt Tax Service Inc. | 275,385 | 4,321 |
* | American Public Education, Inc. | 116,054 | 4,316 |
^ | NutriSystem, Inc. | 291,009 | 4,246 |
| The Buckle, Inc. | 194,212 | 4,238 |
| Jones Apparel Group, Inc. | 716,342 | 4,198 |
* | JAKKS Pacific, Inc. | 200,635 | 4,139 |
* | Timberland Co. | 357,974 | 4,135 |
* | Hibbett Sports Inc. | 262,876 | 4,130 |
| Cato Corp. Class A | 271,049 | 4,093 |
* | Papa John’s International, Inc. | 221,570 | 4,084 |
*,^ | J. Crew Group, Inc. | 332,059 | 4,051 |
| Thor Industries, Inc. | 305,987 | 4,033 |
| News Corp., Class B | 406,409 | 3,893 |
| CKE Restaurants Inc. | 447,242 | 3,882 |
* | Fuel Systems Solutions, Inc. | 115,901 | 3,797 |
*,^ | Viacom Inc. Class A | 187,325 | 3,769 |
| Fred’s, Inc. | 345,269 | 3,715 |
| Scholastic Corp. | 272,925 | 3,706 |
* | Gaylord Entertainment Co. | 335,824 | 3,640 |
*,^ | Life Time Fitness, Inc. | 278,609 | 3,608 |
^ | Tempur-Pedic International Inc. | 506,088 | 3,588 |
* | Pre-Paid Legal Services, Inc. | 95,573 | 3,564 |
* | Hot Topic, Inc. | 380,762 | 3,530 |
| National CineMedia Inc. | 345,597 | 3,504 |
* | Live Nation, Inc. | 603,134 | 3,462 |
| Ethan Allen Interiors, Inc. | 239,158 | 3,437 |
* | Exide Technologies | 626,618 | 3,315 |
| Arbitron Inc. | 248,215 | 3,296 |
* | Sally Beauty Co. Inc. | 577,973 | 3,289 |
| Monro Muffler Brake, Inc. | 127,577 | 3,253 |
* | Meritage Corp. | 262,351 | 3,193 |
| Cooper Tire & Rubber Co. | 513,887 | 3,166 |
* | Texas Roadhouse, Inc. | 408,006 | 3,162 |
* | Skechers U.S.A., Inc. | 242,443 | 3,108 |
* | Steven Madden, Ltd. | 144,192 | 3,074 |
* | Steiner Leisure Ltd. | 102,406 | 3,023 |
* | PetMed Express, Inc. | 171,174 | 3,018 |
| Brown Shoe Co., Inc. | 356,232 | 3,017 |
* | HSN, Inc. | 411,920 | 2,995 |
| Brunswick Corp. | 710,963 | 2,993 |
| American Greetings Corp. Class A | 394,730 | 2,988 |
* | Buffalo Wild Wings Inc. | 115,502 | 2,963 |
| Churchill Downs, Inc. | 72,130 | 2,915 |
| Ameristar Casinos, Inc. | 335,791 | 2,901 |
* | Charming Shoppes, Inc. | 1,178,326 | 2,875 |
* | AnnTaylor Stores Corp. | 489,596 | 2,825 |
| K-Swiss, Inc. | 247,656 | 2,823 |
* | Universal Technical Institute Inc. | 156,604 | 2,689 |
* | Sirius XM Radio Inc. | 21,985,269 | 2,638 |
| Orient-Express Hotel Ltd. | 342,677 | 2,625 |
| Genesco, Inc. | 154,206 | 2,609 |
*,^ | Blue Nile Inc. | 105,767 | 2,590 |
| UniFirst Corp. | 86,178 | 2,559 |
* | Jo-Ann Stores, Inc. | 163,988 | 2,540 |
| Stage Stores, Inc. | 304,774 | 2,514 |
| Harte-Hanks, Inc. | 397,338 | 2,479 |
* | Standard Pacific Corp. | 1,392,297 | 2,478 |
* | True Religion Apparel, Inc. | 195,666 | 2,434 |
| The Marcus Corp. | 145,763 | 2,366 |
| National Presto Industries, Inc. | 30,656 | 2,361 |
* | Quiksilver, Inc. | 1,234,734 | 2,272 |
* | thinkorswim Group, Inc. | 403,994 | 2,270 |
| Stewart Enterprises, Inc. Class A | 744,944 | 2,242 |
| Penske Automotive Group Inc. | 279,656 | 2,148 |
* | Mediacom Communications Corp. | 495,271 | 2,130 |
| Finish Line, Inc. | 378,334 | 2,119 |
* | Domino’s Pizza, Inc. | 442,534 | 2,084 |
* | The Wet Seal, Inc. Class A | 692,066 | 2,055 |
*,^ | DSW Inc. Class A | 164,429 | 2,049 |
| Liz Claiborne, Inc. | 786,257 | 2,044 |
*,^ | Blockbuster Inc. Class A | 1,600,943 | 2,017 |
* | Denny’s Corp. | 1,009,988 | 2,010 |
* | Peet’s Coffee & Tea Inc. | 86,409 | 2,009 |
^ | Superior Industries International, Inc. | 187,565 | 1,973 |
* | California Pizza Kitchen, Inc. | 183,365 | 1,966 |
| Boyd Gaming Corp. | 414,687 | 1,961 |
* | TRW Automotive Holdings Corp. | 543,368 | 1,956 |
| Weyco Group, Inc. | 57,665 | 1,906 |
* | Ticketmaster Entertainment Inc. | 296,720 | 1,905 |
| Group 1 Automotive, Inc. | 176,739 | 1,903 |
*,^ | Drew Industries, Inc. | 158,131 | 1,898 |
| Blyth, Inc. | 241,185 | 1,891 |
| Dillard’s Inc. | 468,157 | 1,859 |
* | Rentrak Corp. | 155,678 | 1,835 |
* | K12 Inc. | 97,712 | 1,832 |
*,^ | Cabela’s Inc. | 314,135 | 1,831 |
* | Coldwater Creek Inc. | 642,059 | 1,830 |
^ | Landry’s Restaurants, Inc. | 156,076 | 1,810 |
* | Cox Radio, Inc. | 297,603 | 1,789 |
| Lennar Corp. Class B | 273,234 | 1,768 |
* | CTC Media, Inc. | 362,805 | 1,741 |
* | Unifi, Inc. | 601,723 | 1,697 |
* | America’s Car-Mart, Inc. | 121,756 | 1,681 |
* | Red Robin Gourmet Burgers, Inc. | 99,706 | 1,678 |
*,^ | Lululemon Athletica, Inc. | 211,592 | 1,678 |
| CKX, Inc. | 456,672 | 1,676 |
| Christopher & Banks Corp. | 297,529 | 1,666 |
| World Wrestling Entertainment, Inc. | 148,399 | 1,644 |
* | Interval Leisure Group, Inc. | 303,420 | 1,635 |
| ArvinMeritor, Inc. | 573,457 | 1,634 |
| Speedway Motorsports, Inc. | 101,296 | 1,632 |
* | Ascent Media Corp. | 74,109 | 1,619 |
* | Clear Channel Outdoor Holdings, Inc. Class A | 255,544 | 1,572 |
* | Midas Inc. | 148,720 | 1,560 |
^ | Winnebago Industries, Inc. | 257,283 | 1,551 |
* | Lumber Liquidators, Inc. | 146,800 | 1,550 |
| CBS Corp. Class A | 187,325 | 1,544 |
* | Core-Mark Holding Co., Inc. | 70,393 | 1,515 |
| Systemax Inc. | 138,446 | 1,491 |
^ | DineEquity, Inc. | 128,871 | 1,490 |
* | Stamps.com Inc. | 151,285 | 1,487 |
* | Cavco Industries, Inc. | 55,249 | 1,486 |
| Cinemark Holdings Inc. | 198,040 | 1,471 |
| Movado Group, Inc. | 156,214 | 1,467 |
| The Pep Boys (Manny, Moe & Jack) | 351,860 | 1,453 |
* | Steak n Shake Co. | 243,706 | 1,450 |
* | Universal Electronics, Inc. | 89,157 | 1,446 |
* | RCN Corp. | 243,211 | 1,435 |
| bebe stores, inc. | 188,277 | 1,406 |
*,^ | Raser Technologies, Inc. | 372,889 | 1,391 |
* | Monarch Casino & Resort, Inc. | 117,878 | 1,373 |
* | Steinway Musical Instruments Inc. | 75,253 | 1,318 |
| Stanley Furniture Co., Inc. | 165,753 | 1,313 |
| Cherokee Inc. | 75,661 | 1,313 |
* | Shuffle Master, Inc. | 260,529 | 1,292 |
*,^ | Overstock.com, Inc. | 119,661 | 1,290 |
| Sinclair Broadcast Group, Inc. | 412,686 | 1,279 |
| Journal Communications, Inc. | 512,491 | 1,256 |
* | Sturm, Ruger & Co., Inc. | 207,396 | 1,238 |
| Modine Manufacturing Co. | 252,563 | 1,230 |
* | Knology, Inc. | 234,228 | 1,209 |
* | Shutterfly, Inc. | 170,017 | 1,188 |
* | Charlotte Russe Holding Inc. | 181,641 | 1,179 |
| Carmike Cinemas, Inc. | 321,978 | 1,175 |
* | drugstore.com, Inc. | 940,106 | 1,166 |
* | BJ’s Restaurants Inc. | 106,805 | 1,150 |
* | Dorman Products, Inc. | 86,558 | 1,143 |
* | RC2 Corp. | 105,565 | 1,126 |
* | Tenneco Automotive, Inc. | 380,561 | 1,123 |
* | Maidenform Brands, Inc. | 107,282 | 1,089 |
| CSS Industries, Inc. | 61,065 | 1,083 |
* | The Princeton Review, Inc. | 219,428 | 1,082 |
*,^ | Volcom, Inc. | 99,221 | 1,082 |
*,^ | Zale Corp. | 320,874 | 1,069 |
| Hearst-Argyle Television Inc. | 175,466 | 1,063 |
* | Learning Tree International, Inc. | 117,924 | 1,005 |
| Asbury Automotive Group, Inc. | 218,377 | 998 |
* | Smith & Wesson Holding Corp. | 437,051 | 992 |
* | Ulta Salon, Cosmetics & Fragrance, Inc. | 118,510 | 981 |
* | Alloy, Inc. | 231,836 | 981 |
* | Hovnanian Enterprises Inc. Class A | 569,544 | 980 |
* | Leapfrog Enterprises, Inc. | 279,195 | 977 |
| Oxford Industries, Inc. | 105,094 | 922 |
* | Audiovox Corp. | 183,839 | 921 |
* | Tween Brands, Inc. | 206,675 | 893 |
| Ambassadors Group, Inc. | 96,747 | 890 |
^ | Haverty Furniture Cos., Inc. | 94,958 | 886 |
| Spartan Motors, Inc. | 185,944 | 879 |
| Furniture Brands International Inc. | 396,145 | 875 |
| Big 5 Sporting Goods Corp. | 167,487 | 873 |
*,^ | Zumiez Inc. | 116,392 | 867 |
* | Pacific Sunwear of California, Inc. | 534,062 | 849 |
| Strattec Security Corp. | 51,582 | 849 |
* | Perry Ellis International Corp. | 133,406 | 846 |
| Fisher Communications, Inc. | 40,877 | 844 |
* | Morgans Hotel Group | 176,057 | 820 |
* | FGX International Holdings Ltd. | 59,356 | 816 |
* | REX Stores Corp. | 99,759 | 805 |
* | 1-800-FLOWERS.COM, Inc. | 210,260 | 803 |
* | Retail Ventures, Inc. | 225,780 | 783 |
* | Russ Berrie and Co., Inc. | 262,535 | 780 |
| Sealy Corp. | 309,085 | 776 |
* | Orbitz Worldwide, Inc. | 198,340 | 770 |
| Standard Motor Products, Inc. | 222,247 | 769 |
| Warner Music Group Corp. | 249,012 | 752 |
* | AFC Enterprises, Inc. | 158,471 | 743 |
| E.W. Scripps Co. Class A | 335,572 | 742 |
| Sonic Automotive, Inc. | 185,368 | 738 |
| La-Z-Boy Inc. | 337,607 | 733 |
*,^ | Beazer Homes USA, Inc. | 462,429 | 731 |
* | Outdoor Channel Holdings Inc. | 97,130 | 728 |
*,^ | Quantum Fuel Systems Technologies Worldwide, Inc. | 855,130 | 727 |
* | Citi Trends Inc. | 49,308 | 726 |
* | Stoneridge, Inc. | 159,033 | 725 |
| Hooker Furniture Corp. | 94,247 | 722 |
| Skyline Corp. | 35,529 | 710 |
*,^ | Martha Stewart Living Omnimedia, Inc. | 271,787 | 707 |
| Marine Products Corp. | 124,104 | 697 |
* | Playboy Enterprises, Inc. Class B | 316,965 | 685 |
| American Axle & Manufacturing Holdings, Inc. | 232,373 | 672 |
* | Gaiam, Inc. | 143,140 | 661 |
| Heelys Inc. | 282,118 | 640 |
| Arctic Cat, Inc. | 133,319 | 639 |
* | Amerigon Inc. | 194,729 | 635 |
| Kenneth Cole Productions, Inc. | 86,903 | 615 |
* | hhgregg, Inc. | 70,366 | 611 |
| AH Belo Corp. | 276,742 | 603 |
* | dELiA*S, Inc. | 272,013 | 598 |
* | Hawk Corp. Class A | 35,144 | 583 |
| M/I Homes, Inc. | 53,898 | 568 |
* | Daily Journal Corp. | 16,429 | 563 |
* | iRobot Corp. | 62,284 | 562 |
| Dover Downs Gaming & Entertainment, Inc. | 176,190 | 560 |
* | Maxxam Inc. | 40,462 | 546 |
* | Build-A-Bear-Workshop, Inc. | 110,703 | 538 |
* | Luby’s, Inc. | 120,681 | 506 |
| | | | |
* | G-III Apparel Group, Ltd. | 79,083 | 505 |
*,^ | American Apparel, Inc. | 250,016 | 498 |
^ | CPI Corp. | 142,030 | 497 |
* | Dolan Media Co. | 74,382 | 490 |
* | Famous Dave’s of America, Inc. | 168,209 | 488 |
| Bassett Furniture Industries, Inc. | 144,672 | 485 |
*,^ | Conn’s, Inc. | 56,748 | 481 |
* | Cumulus Media Inc. | 190,445 | 474 |
* | Carriage Services, Inc. | 233,907 | 470 |
* | Multimedia Games Inc. | 193,582 | 461 |
^ | Brookfield Homes Corp. | 105,217 | 455 |
* | Rubio’s Restaurants, Inc. | 126,717 | 452 |
* | Private Media Group, Inc. | 366,589 | 451 |
*,^ | Crocs, Inc. | 361,351 | 448 |
^ | Talbots Inc. | 180,118 | 430 |
* | Mac-Gray Corp. | 66,133 | 430 |
* | Shoe Carnival, Inc. | 44,471 | 425 |
*,^ | Krispy Kreme Doughnuts, Inc. | 249,238 | 419 |
| O’Charley’s Inc. | 203,105 | 406 |
* | Bluegreen Corp. | 125,143 | 392 |
* | West Marine, Inc. | 90,940 | 386 |
* | Destination Maternity Corp. | 49,107 | 385 |
* | Great Wolf Resorts, Inc. | 248,722 | 383 |
* | Morton’s Restaurant Group Inc. | 133,881 | 383 |
| PRIMEDIA Inc. | 176,268 | 383 |
* | New York & Co., Inc. | 164,381 | 381 |
* | Kirkland’s, Inc. | 141,488 | 375 |
*,^ | Isle of Capri Casinos, Inc. | 110,915 | 355 |
* | MTR Gaming Group Inc. | 205,681 | 346 |
* | McCormick & Schmick’s Seafood Restaurants, Inc. | 83,802 | 337 |
* | Town Sports International Holdings, Inc. | 104,570 | 334 |
* | Red Lion Hotels Corp. | 139,613 | 332 |
* | Cache, Inc. | 163,302 | 330 |
* | Youbet.com, Inc. | 373,015 | 325 |
*,^ | MarineMax, Inc. | 91,527 | 310 |
*,^ | Empire Resorts Inc. | 276,955 | 302 |
| Lakes Entertainment, Inc. | 73,901 | 297 |
* | Reading International Inc. Class A | 74,141 | 285 |
* | Lin TV Corp. | 255,137 | 278 |
* | Visteon Corp. | 781,591 | 274 |
* | Hayes Lemmerz International, Inc. | 607,171 | 273 |
* | Harris Interactive Inc. | 388,366 | 252 |
| Dover Motorsports, Inc. | 187,304 | 244 |
* | Hallwood Group Inc. | 7,400 | 243 |
* | Stein Mart, Inc. | 210,108 | 237 |
* | Saga Communications, Inc. | 137,462 | 227 |
* | Duckwall-ALCO Stores, Inc. | 23,108 | 226 |
| Lithia Motors, Inc. | 69,247 | 226 |
| Belo Corp. Class A | 143,957 | 225 |
| Aaron Rents, Inc. Class A | 10,125 | 222 |
*,^ | Jamba Inc. | 494,963 | 213 |
* | Trans World Entertainment Corp. | 158,191 | 207 |
* | Pomeroy IT Solutions, Inc. | 65,916 | 206 |
*,^ | Premier Exhibitions Inc. | 185,540 | 204 |
| Lifetime Brands, Inc. | 55,386 | 196 |
* | Ruby Tuesday, Inc. | 123,853 | 193 |
* | Hastings Entertainment, Inc. | 110,957 | 192 |
| Johnson Outdoors Inc. | 38,263 | 187 |
* | Carrols Restaurant Group Inc. | 66,058 | 178 |
* | Nautilus Inc. | 80,482 | 178 |
*,^ | Gander Mountain Co. | 68,721 | 160 |
*,^ | Cost Plus, Inc. | 170,645 | 160 |
* | Hollywood Media Corp. | 159,336 | 159 |
* | New Motion, Inc. | 137,081 | 158 |
* | Riviera Holdings Corp. | 51,400 | 154 |
* | Blockbuster Inc. Class B | 230,696 | 150 |
* | Benihana Inc. Class A | 67,172 | 141 |
| Canterbury Park Holding Corp. | 23,700 | 140 |
| Books-a-Million Inc. | 54,238 | 138 |
* | Navarre Corp. | 335,197 | 134 |
| Beasley Broadcast Group, Inc. | 74,414 | 134 |
* | Pier 1 Imports Inc. | 361,274 | 134 |
* | EDCI Holdings, Inc. | 36,383 | 132 |
* | Valassis Communications, Inc. | 99,740 | 132 |
* | Lodgian, Inc. | 59,256 | 126 |
* | Century Casinos, Inc. | 121,886 | 126 |
* | Design Within Reach Inc. | 184,019 | 125 |
* | The Dixie Group, Inc. | 80,217 | 123 |
* | Entravision Communications Corp. | 77,431 | 121 |
* | Citadel Broadcasting Corp. | 640,753 | 103 |
| Borders Group, Inc. | 256,163 | 102 |
| Shiloh Industries, Inc. | 32,722 | 98 |
^ | Lee Enterprises, Inc. | 236,170 | 97 |
* | Tuesday Morning Corp. | 59,373 | 97 |
* | Interstate Hotels & Resorts, Inc. | 140,111 | 97 |
* | Radio One, Inc. Class D | 413,901 | 95 |
* | Emerson Radio Corp. | 135,771 | 90 |
| Craftmade International, Inc. | 49,016 | 85 |
* | Benihana Inc. | 37,839 | 79 |
* | 4Kids Entertainment Inc. | 38,841 | 76 |
^ | The McClatchy Co. Class A | 89,659 | 72 |
* | A.C. Moore Arts & Crafts, Inc. | 46,071 | 65 |
| Escalade, Inc. | 85,042 | 64 |
* | Lazare Kaplan International, Inc. | 15,258 | 64 |
* | Salem Communications Corp. | 75,777 | 57 |
* | Joe’s Jeans, Inc. | 157,620 | 55 |
*,^ | Six Flags, Inc. | 168,633 | 52 |
* | Tarrant Apparel Group, Inc. | 89,701 | 49 |
| Cobra Electronics Corp. | 43,655 | 46 |
* | Champion Enterprises, Inc. | 79,900 | 45 |
^ | Orleans Homebuilders, Inc. | 37,570 | 44 |
* | Eddie Bauer Holding, Inc. | 79,071 | 40 |
* | Fleetwood Enterprises, Inc. | 357,891 | 36 |
* | R.H. Donnelley Corp. | 93,800 | 35 |
* | Hovnanian Enterprises | 19,300 | 33 |
* | Select Comfort Corp. | 131,313 | 33 |
* | Spanish Broadcasting System, Inc. | 320,397 | 31 |
* | DEI Holdings, Inc. | 76,252 | 31 |
*,^ | Charter Communications, Inc. | 336,670 | 28 |
* | Nobel Learning Communities, Inc. | 1,986 | 27 |
* | Nexstar Broadcasting Group, Inc. | 52,253 | 27 |
| Bon-Ton Stores, Inc. | 21,973 | 23 |
| Tandy Brands Accessories, Inc. | 16,602 | 22 |
* | Sport Chalet, Inc. Class A | 48,300 | 21 |
| Monaco Coach Corp. | 30,002 | 15 |
* | WPT Enterprises Inc. | 35,397 | 15 |
* | California Coastal Communities, Inc. | 28,604 | 14 |
* | S&K Famous Brands Inc. | 41,491 | 14 |
| Gray Television, Inc. | 32,600 | 13 |
* | Fairchild Corp. | 42,344 | 13 |
* | Palm Harbor Homes, Inc. | 2,433 | 12 |
* | Casual Male Retail Group, Inc. | 21,755 | 11 |
* | SPAR Group, Inc. | 16,174 | 11 |
| Libbey, Inc. | 7,100 | 9 |
* | Lear Corp. | 5,401 | 8 |
| Noble International, Ltd. | 17,007 | 7 |
*,^ | Trump Entertainment Resorts, Inc. | 41,222 | 7 |
* | Regent Communications, Inc. | 58,200 | 5 |
| Media General, Inc. Class A | 2,615 | 5 |
* | Emmis Communications, Inc. | 6,535 | 2 |
* | ValueVision Media, Inc. | 4,326 | 1 |
*,^ | Source Interlink Cos., Inc. | 8,923 | 1 |
* | Sport Chalet, Inc. | 1,825 | 1 |
*,^ | Gadzooks, Inc. | 257,226 | — |
| | | 7,374,516 |
Consumer Staples (11.1%) | | |
| The Procter & Gamble Co. | 24,924,071 | 1,540,806 |
| Wal-Mart Stores, Inc. | 20,012,411 | 1,121,896 |
| The Coca-Cola Co. | 17,594,532 | 796,504 |
| Philip Morris International Inc. | 17,432,550 | 758,490 |
| PepsiCo, Inc. | 13,240,276 | 725,170 |
| CVS Caremark Corp. | 12,138,037 | 348,847 |
| Kraft Foods Inc. | 12,307,558 | 330,458 |
| Colgate-Palmolive Co. | 4,277,259 | 293,163 |
| Altria Group, Inc. | 17,420,276 | 262,349 |
| Walgreen Co. | 8,371,850 | 206,534 |
| Costco Wholesale Corp. | 3,677,183 | 193,052 |
| Kimberly-Clark Corp. | 3,511,687 | 185,206 |
| General Mills, Inc. | 2,829,959 | 171,920 |
| Archer-Daniels-Midland Co. | 4,904,384 | 141,393 |
| The Kroger Co. | 5,264,259 | 139,029 |
| Sysco Corp. | 5,094,006 | 116,857 |
| H.J. Heinz Co. | 2,642,039 | 99,341 |
| Kellogg Co. | 2,248,224 | 98,585 |
| Safeway, Inc. | 3,683,764 | 87,563 |
| UST, Inc. | 1,248,498 | 86,621 |
| Avon Products, Inc. | 3,604,443 | 86,615 |
| Lorillard, Inc. | 1,472,009 | 82,948 |
| The Clorox Co. | 1,168,678 | 64,932 |
| ConAgra Foods, Inc. | 3,834,469 | 63,269 |
| Reynolds American Inc. | 1,488,125 | 59,986 |
| Sara Lee Corp. | 5,983,519 | 58,579 |
| Campbell Soup Co. | 1,887,202 | 56,635 |
| Bunge Ltd. | 1,028,630 | 53,252 |
| Molson Coors Brewing Co. Class B | 1,052,110 | 51,469 |
| The Hershey Co. | 1,337,430 | 46,462 |
| J.M. Smucker Co. | 998,549 | 43,297 |
* | Dr. Pepper Snapple Group, Inc. | 2,149,677 | 34,932 |
| Church & Dwight, Inc. | 563,927 | 31,648 |
| McCormick & Co., Inc. | 984,941 | 31,380 |
| Coca-Cola Enterprises, Inc. | 2,480,374 | 29,839 |
| Brown-Forman Corp. Class B | 577,143 | 29,717 |
* | Ralcorp Holdings, Inc. | 476,085 | 27,803 |
| The Estee Lauder Cos. Inc. Class A | 888,607 | 27,511 |
| The Pepsi Bottling Group, Inc. | 1,173,354 | 26,412 |
| SuperValu Inc. | 1,798,540 | 26,259 |
* | Constellation Brands, Inc. Class A | 1,642,228 | 25,898 |
* | Energizer Holdings, Inc. | 469,132 | 25,399 |
* | Dean Foods Co. | 1,291,888 | 23,215 |
| Tyson Foods, Inc. | 2,451,766 | 21,477 |
* | Hansen Natural Corp. | 626,142 | 20,995 |
| Hormel Foods Corp. | 633,957 | 19,703 |
| Alberto-Culver Co. | 743,470 | 18,222 |
| Corn Products International, Inc. | 629,890 | 18,172 |
| Flowers Foods, Inc. | 719,638 | 17,530 |
* | BJ’s Wholesale Club, Inc. | 509,947 | 17,471 |
* | Smithfield Foods, Inc. | 1,053,445 | 14,822 |
| Del Monte Foods Co. | 1,672,788 | 11,944 |
^ | Whole Foods Market, Inc. | 1,189,561 | 11,229 |
| PepsiAmericas, Inc. | 540,152 | 10,998 |
*,^ | Chattem, Inc. | 135,888 | 9,720 |
| Casey’s General Stores, Inc. | 412,628 | 9,396 |
| Ruddick Corp. | 327,841 | 9,065 |
| Herbalife Ltd. | 407,852 | 8,842 |
* | Winn-Dixie Stores, Inc. | 462,958 | 7,454 |
* | NBTY, Inc. | 468,493 | 7,332 |
* | TreeHouse Foods Inc. | 267,326 | 7,282 |
* | Central European Distribution Corp. | 353,697 | 6,968 |
* | Hain Celestial Group, Inc. | 347,311 | 6,630 |
| Universal Corp. (VA) | 215,108 | 6,425 |
| Lancaster Colony Corp. | 181,560 | 6,228 |
* | United Natural Foods, Inc. | 349,037 | 6,220 |
*,^ | Green Mountain Coffee Roasters, Inc. | 143,845 | 5,567 |
* | Chiquita Brands International, Inc. | 368,275 | 5,443 |
| Vector Group Ltd. | 393,348 | 5,357 |
| Sanderson Farms, Inc. | 151,974 | 5,252 |
| Nash-Finch Co. | 116,197 | 5,216 |
| Lance, Inc. | 211,436 | 4,850 |
^ | Tootsie Roll Industries, Inc. | 184,312 | 4,720 |
| Nu Skin Enterprises, Inc. | 431,446 | 4,500 |
| J & J Snack Foods Corp. | 115,035 | 4,127 |
* | Darling International, Inc. | 703,058 | 3,860 |
* | The Pantry, Inc. | 179,700 | 3,855 |
| Spartan Stores, Inc. | 164,682 | 3,829 |
| WD-40 Co. | 129,541 | 3,665 |
| Diamond Foods, Inc. | 164,643 | 3,318 |
| Weis Markets, Inc. | 89,353 | 3,005 |
* | Smart Balance Inc. | 435,601 | 2,962 |
* | Prestige Brands Holdings Inc. | 276,462 | 2,917 |
*,^ | American Oriental Bioengineering, Inc. | 419,245 | 2,847 |
*,^ | USANA Health Sciences, Inc. | 82,835 | 2,836 |
| PriceSmart, Inc. | 129,493 | 2,675 |
* | Elizabeth Arden, Inc. | 195,175 | 2,461 |
| The Andersons, Inc. | 139,639 | 2,301 |
^ | Cal-Maine Foods, Inc. | 74,958 | 2,151 |
* | Alliance One International, Inc. | 704,749 | 2,072 |
* | Bare Escentuals, Inc. | 367,460 | 1,922 |
* | Boston Beer Co., Inc. Class A | 65,288 | 1,854 |
* | The Great Atlantic & Pacific Tea Co., Inc. | 279,023 | 1,749 |
* | Central Garden & Pet Co. Class A | 278,018 | 1,640 |
| Village Super Market Inc. Class A | 26,518 | 1,522 |
| Imperial Sugar Co. | 103,812 | 1,489 |
| Ingles Markets, Inc. | 80,604 | 1,418 |
* | Central Garden and Pet Co. | 230,992 | 1,354 |
| Coca-Cola Bottling Co. | 29,093 | 1,337 |
| Alico, Inc. | 32,069 | 1,315 |
| B&G Foods Inc. | 210,319 | 1,136 |
*,^ | Rite Aid Corp. | 3,637,106 | 1,128 |
| Arden Group Inc. Class A | 8,202 | 1,033 |
*,^ | Star Scientific, Inc. | 266,827 | 1,022 |
| Oil-Dri Corp. of America | 51,667 | 969 |
*,^ | Lifeway Foods, Inc. | 106,472 | 956 |
* | Nutraceutical International Corp. | 123,091 | 947 |
| Farmer Brothers, Inc. | 35,298 | 880 |
* | John B. Sanfilippo & Son, Inc. | 158,467 | 854 |
*,^ | Medifast, Inc. | 136,948 | 757 |
* | Revlon, Inc. | 112,539 | 751 |
| Tasty Baking Co. Class A | 212,745 | 721 |
| Calavo Growers, Inc. | 59,689 | 686 |
* | National Beverage Corp. | 76,231 | 686 |
* | Physicians Formula Holdings, Inc. | 235,100 | 656 |
^ | Reliv International, Inc. | 143,244 | 645 |
* | Schiff Nutrition International, Inc. | 89,111 | 532 |
| Inter Parfums, Inc. | 63,699 | 489 |
| Griffin Land & Nurseries, Inc. | 12,715 | 469 |
*,^ | Susser Holdings Corp. | 32,374 | 430 |
^ | Mannatech, Inc. | 175,060 | 429 |
* | Omega Protein Corp. | 102,395 | 411 |
* | Seneca Foods Corp. | 16,890 | 353 |
* | Parlux Fragrances, Inc. | 118,160 | 345 |
* | Zapata Corp. | 40,800 | 246 |
* | Inventure Group, Inc. | 136,975 | 223 |
| Reddy Ice Holdings, Inc. | 136,494 | 197 |
* | American Dairy, Inc. | 11,259 | 169 |
| MGP Ingredients, Inc. | 54,774 | 37 |
* | Vermont Pure Holdings, Ltd. | 33,000 | 23 |
*,^ | Jones Soda Co. | 7,049 | 2 |
* | iBioPharma Inc. | 19,300 | 2 |
| | | 9,108,936 |
Energy (12.1%) | | |
| ExxonMobil Corp. | 43,927,801 | 3,506,756 |
| Chevron Corp. | 17,375,518 | 1,285,267 |
| ConocoPhillips Co. | 12,211,019 | 632,531 |
| Schlumberger Ltd. | 10,145,707 | 429,468 |
| Occidental Petroleum Corp. | 6,910,353 | 414,552 |
| Devon Energy Corp. | 3,575,596 | 234,952 |
| Apache Corp. | 2,828,803 | 210,831 |
| XTO Energy, Inc. | 4,645,938 | 163,862 |
| Marathon Oil Corp. | 5,967,167 | 163,262 |
| Anadarko Petroleum Corp. | 3,962,335 | 152,748 |
| EOG Resources, Inc. | 2,104,573 | 140,122 |
| Halliburton Co. | 7,417,252 | 134,846 |
| Hess Corp. | 2,476,874 | 132,860 |
* | Transocean Ltd. | 2,698,969 | 127,526 |
| Valero Energy Corp. | 4,426,421 | 95,788 |
* | National Oilwell Varco Inc. | 3,530,432 | 86,284 |
* | Southwestern Energy Co. | 2,903,465 | 84,113 |
| Baker Hughes Inc. | 2,607,814 | 83,633 |
| Spectra Energy Corp. | 5,204,115 | 81,913 |
| Chesapeake Energy Corp. | 4,659,920 | 75,351 |
| Noble Energy, Inc. | 1,461,254 | 71,923 |
| Williams Cos., Inc. | 4,879,786 | 70,659 |
| Murphy Oil Corp. | 1,530,194 | 67,864 |
* | Weatherford International Ltd. | 5,765,683 | 62,385 |
| Peabody Energy Corp. | 2,300,522 | 52,337 |
| Noble Corp. | 2,280,110 | 50,299 |
| El Paso Corp. | 5,943,068 | 46,534 |
| Range Resources Corp. | 1,312,468 | 45,136 |
* | Ultra Petroleum Corp. | 1,293,716 | 44,646 |
| CONSOL Energy, Inc. | 1,551,089 | 44,330 |
| Sunoco, Inc. | 989,966 | 43,024 |
| Smith International, Inc. | 1,851,806 | 42,388 |
* | Cameron International Corp. | 1,841,582 | 37,752 |
| Diamond Offshore Drilling, Inc. | 588,373 | 34,679 |
| ENSCO International, Inc. | 1,215,163 | 34,498 |
* | Petrohawk Energy Corp. | 2,097,307 | 32,781 |
| BJ Services Co. | 2,495,284 | 29,120 |
* | Nabors Industries, Inc. | 2,374,038 | 28,417 |
* | FMC Technologies Inc. | 1,080,730 | 25,754 |
* | Pride International, Inc. | 1,465,525 | 23,419 |
* | Kinder Morgan Management, LLC | 584,585 | 23,372 |
* | Denbury Resources, Inc. | 2,090,839 | 22,832 |
| Cabot Oil & Gas Corp. | 876,027 | 22,777 |
* | Newfield Exploration Co. | 1,120,657 | 22,133 |
* | Plains Exploration & Production Co. | 912,985 | 21,218 |
| Helmerich & Payne, Inc. | 891,508 | 20,282 |
| Arch Coal, Inc. | 1,225,557 | 19,964 |
| Cimarex Energy Co. | 703,338 | 18,835 |
* | Comstock Resources, Inc. | 390,685 | 18,460 |
| Tidewater Inc. | 414,785 | 16,703 |
| Pioneer Natural Resources Co. | 1,017,836 | 16,469 |
| Tesoro Corp. | 1,172,006 | 15,435 |
| Patterson-UTI Energy, Inc. | 1,324,820 | 15,249 |
| Rowan Cos., Inc. | 955,822 | 15,198 |
* | EXCO Resources, Inc. | 1,516,750 | 13,742 |
* | Oceaneering International, Inc. | 470,072 | 13,698 |
| Southern Union Co. | 944,693 | 12,319 |
* | Dresser Rand Group, Inc. | 710,498 | 12,256 |
* | Whiting Petroleum Corp. | 359,524 | 12,030 |
* | Forest Oil Corp. | 723,733 | 11,934 |
* | IHS Inc. Class A | 310,422 | 11,616 |
* | Exterran Holdings, Inc. | 532,196 | 11,336 |
* | SEACOR Holdings Inc. | 168,947 | 11,260 |
| Core Laboratories N.V. | 185,815 | 11,123 |
| Frontier Oil Corp. | 878,882 | 11,100 |
* | Encore Acquisition Co. | 431,921 | 11,023 |
* | Superior Energy Services, Inc. | 688,559 | 10,969 |
* | Unit Corp. | 402,437 | 10,753 |
| St. Mary Land & Exploration Co. | 527,273 | 10,709 |
* | Concho Resources, Inc. | 468,538 | 10,692 |
| Overseas Shipholding Group Inc. | 245,779 | 10,350 |
| Massey Energy Co. | 720,783 | 9,940 |
* | Alpha Natural Resources, Inc. | 601,226 | 9,734 |
| Penn Virginia Corp. | 357,165 | 9,279 |
* | Continental Resources, Inc. | 433,491 | 8,978 |
| World Fuel Services Corp. | 235,887 | 8,728 |
* | Arena Resources, Inc. | 308,015 | 8,652 |
| Walter Industries, Inc. | 474,932 | 8,316 |
* | Oil States International, Inc. | 425,692 | 7,956 |
* | Atwood Oceanics, Inc. | 491,800 | 7,515 |
* | CNX Gas Corp. | 258,320 | 7,052 |
* | Mariner Energy Inc. | 676,381 | 6,899 |
* | Contango Oil & Gas Co. | 120,785 | 6,800 |
* | Goodrich Petroleum Corp. | 224,997 | 6,739 |
| Holly Corp. | 358,551 | 6,536 |
| CARBO Ceramics Inc. | 179,381 | 6,373 |
* | Bristow Group, Inc. | 236,386 | 6,333 |
* | Bill Barrett Corp. | 271,230 | 5,731 |
* | SandRidge Energy, Inc. | 922,038 | 5,671 |
| Foundation Coal Holdings, Inc. | 389,104 | 5,455 |
* | Helix Energy Solutions Group, Inc. | 742,372 | 5,375 |
* | Dril-Quip, Inc. | 253,154 | 5,192 |
* | Quicksilver Resources, Inc. | 868,938 | 4,840 |
*,^ | USEC Inc. | 1,060,086 | 4,760 |
| Atlas America, Inc. | 318,365 | 4,728 |
* | General Maritime Corp. | 437,195 | 4,722 |
* | Key Energy Services, Inc. | 1,046,883 | 4,617 |
* | Swift Energy Co. | 261,067 | 4,389 |
| Lufkin Industries, Inc. | 126,314 | 4,358 |
* | Patriot Coal Corp. | 665,124 | 4,157 |
* | McMoRan Exploration Co. | 420,065 | 4,117 |
* | Gulfmark Offshore, Inc. | 167,524 | 3,985 |
* | Carrizo Oil & Gas, Inc. | 237,567 | 3,825 |
* | TETRA Technologies, Inc. | 749,967 | 3,645 |
* | James River Coal Co. | 237,626 | 3,643 |
*,^ | Global Industries Ltd. | 1,037,019 | 3,619 |
| W&T Offshore, Inc. | 246,830 | 3,535 |
* | Hercules Offshore, Inc. | 732,690 | 3,480 |
* | GMX Resources Inc. | 136,823 | 3,464 |
* | Rosetta Resources, Inc. | 464,219 | 3,287 |
* | Hornbeck Offshore Services, Inc. | 197,366 | 3,225 |
* | Complete Production Services, Inc. | 390,403 | 3,182 |
* | Vaalco Energy, Inc. | 387,646 | 2,884 |
* | Stone Energy Corp. | 253,409 | 2,793 |
* | Newpark Resources, Inc. | 750,185 | 2,776 |
*,^ | BPZ Energy, Inc. | 425,360 | 2,722 |
* | Petroleum Development Corp. | 112,927 | 2,718 |
* | Willbros Group, Inc. | 318,456 | 2,697 |
*,^ | Delta Petroleum Corp. | 561,852 | 2,674 |
* | Parker Drilling Co. | 899,420 | 2,608 |
* | PetroQuest Energy, Inc. | 371,152 | 2,509 |
* | ION Geophysical Corp. | 711,010 | 2,439 |
*,^ | International Coal Group, Inc. | 1,053,125 | 2,422 |
* | Pioneer Drilling Co. | 421,200 | 2,346 |
| RPC Inc. | 235,608 | 2,300 |
| Berry Petroleum Class A | 298,250 | 2,255 |
* | Enbridge Energy Management LLC | 91,855 | 2,246 |
| Precision Drilling Trust | 258,727 | 2,171 |
* | Clayton Williams Energy, Inc. | 46,312 | 2,104 |
* | NATCO Group Inc. | 132,607 | 2,013 |
* | Matrix Service Co. | 250,602 | 1,922 |
* | Cal Dive International, Inc. | 286,484 | 1,865 |
| Gulf Island Fabrication, Inc. | 126,325 | 1,820 |
* | Basic Energy Services Inc. | 137,491 | 1,793 |
^ | Western Refining, Inc. | 213,523 | 1,657 |
| APCO Argentina Inc. | 56,334 | 1,500 |
* | Harvest Natural Resources, Inc. | 345,451 | 1,485 |
*,^ | Oilsands Quest, Inc. | 1,867,257 | 1,363 |
* | Bronco Drilling Co., Inc. | 201,634 | 1,303 |
* | Dawson Geophysical Co. | 68,869 | 1,227 |
* | Allis-Chalmers Energy Inc. | 221,050 | 1,216 |
^ | Alon USA Energy, Inc. | 125,079 | 1,144 |
* | Brigham Exploration Co. | 355,379 | 1,137 |
* | Superior Well Services, Inc. | 113,231 | 1,132 |
*,^ | Rentech, Inc. | 1,661,217 | 1,130 |
*,^ | Clean Energy Fuels Corp. | 183,628 | 1,109 |
* | Tesco Corp. | 152,152 | 1,086 |
* | Warren Resources Inc. | 526,696 | 1,048 |
* | PHI Inc. Non-Voting Shares | 73,329 | 1,027 |
* | Westmoreland Coal Co. | 89,552 | 994 |
* | Double Eagle Petroleum Co. | 120,329 | 845 |
* | Natural Gas Services Group | 81,853 | 829 |
* | FX Energy, Inc. | 268,600 | 749 |
* | Boots & Coots International Well Control, Inc. | 634,665 | 749 |
| Panhandle Royalty Co. | 41,355 | 744 |
* | T-3 Energy Services, Inc. | 76,428 | 721 |
* | Credo Pete Corp. | 83,315 | 702 |
* | Gulfport Energy Corp. | 171,251 | 676 |
*,^ | Toreador Resources Corp. | 121,222 | 665 |
* | Endeavor International Corp. | 1,295,046 | 648 |
* | CVR Energy, Inc. | 159,215 | 637 |
* | ENGlobal Corp. | 190,026 | 618 |
* | Parallel Petroleum Corp. | 303,350 | 610 |
* | Trico Marine Services, Inc. | 135,525 | 606 |
* | Veneco Inc. | 213,079 | 577 |
*,^ | SulphCo, Inc. | 597,832 | 562 |
*,^ | GeoGlobal Resources Inc. | 340,071 | 544 |
| Delek US Holdings, Inc. | 101,000 | 534 |
* | TXCO Resources Inc. | 337,471 | 503 |
* | Union Drilling, Inc. | 90,414 | 469 |
* | OYO Geospace Corp. | 26,197 | 458 |
* | Syntroleum Corp. | 842,927 | 455 |
* | Bolt Technology Corp. | 65,211 | 454 |
*,^ | Cheniere Energy, Inc. | 151,776 | 433 |
* | Abraxas Petroleum Corp. | 561,755 | 404 |
*,^ | Pacific Ethanol, Inc. | 907,372 | 399 |
* | Callon Petroleum Co. | 143,642 | 373 |
* | Energy Partners, Ltd. | 276,269 | 373 |
* | Gasco Energy Inc. | 943,505 | 368 |
* | The Meridian Resource Corp. | 633,127 | 361 |
* | RAM Energy Resources, Inc. | 346,770 | 305 |
*,^ | Verenium Corp. | 337,139 | 297 |
*,^ | Tri-Valley Corp. | 157,282 | 283 |
| Barnwell Industries, Inc. | 62,795 | 279 |
* | Kodiak Oil & Gas Corp. | 900,216 | 279 |
* | ATP Oil & Gas Corp. | 44,339 | 259 |
*,^ | BMB Munai Inc. | 177,427 | 247 |
* | Approach Resources Inc. | 33,619 | 246 |
* | Mitcham Industries, Inc. | 38,511 | 153 |
* | Ngas Resources Inc. | 84,091 | 138 |
* | American Oil & Gas Inc. | 154,760 | 124 |
| Houston American Energy Corp. | 34,100 | 115 |
* | Rex Energy Corp. | 37,421 | 110 |
* | Harken Energy Corp. | 34,414 | 102 |
* | Cano Petroleum Inc. | 227,791 | 100 |
* | Geomet, Inc. | 52,296 | 90 |
* | Aventine Renewable Energy Holdings, Inc. | 117,303 | 76 |
*,^ | CanArgo Energy Corp. | 1,068,229 | 64 |
| Crosstex Energy, Inc. | 8,925 | 35 |
* | Geokinetics Inc. | 13,371 | 33 |
*,^ | Evergreen Energy, Inc. | 111,824 | 32 |
* | Edge Petroleum Corp. | 2,945 | — |
| | | 9,915,347 |
Financials (14.8%) | | |
| JPMorgan Chase & Co. | 31,156,899 | 982,377 |
| Wells Fargo & Co. | 29,784,536 | 878,048 |
| Bank of America Corp. | 42,709,977 | 601,356 |
| U.S. Bancorp | 14,733,235 | 368,478 |
| Citigroup Inc. | 46,054,752 | 309,027 |
| The Goldman Sachs Group, Inc. | 3,307,077 | 279,084 |
| Bank of New York Mellon Corp. | 9,692,986 | 274,602 |
| MetLife, Inc. | 6,616,417 | 230,648 |
| The Travelers Cos., Inc. | 4,996,683 | 225,850 |
* | Berkshire Hathaway Inc. Class B | 59,474 | 191,149 |
| AFLAC Inc. | 4,027,838 | 184,636 |
| American Express Co. | 8,826,036 | 163,723 |
| PNC Financial Services Group | 3,312,684 | 162,322 |
| The Chubb Corp. | 3,049,501 | 155,525 |
| Merrill Lynch & Co., Inc. | 12,911,894 | 150,294 |
| Ace Ltd. | 2,818,669 | 149,164 |
| State Street Corp. | 3,651,797 | 143,625 |
| The Allstate Corp. | 4,351,936 | 142,569 |
| Morgan Stanley | 8,442,664 | 135,420 |
| Charles Schwab Corp. | 8,284,078 | 133,954 |
| BB&T Corp. | 4,648,594 | 127,650 |
| Prudential Financial, Inc. | 3,594,873 | 108,781 |
| CME Group, Inc. | 512,281 | 106,611 |
| Marsh & McLennan Cos., Inc. | 4,337,849 | 105,280 |
| Capital One Financial Corp. | 3,178,165 | 101,352 |
| Simon Property Group, Inc. REIT | 1,903,635 | 101,140 |
| Wachovia Corp. | 18,239,574 | 101,047 |
| Aon Corp. | 2,115,562 | 96,639 |
| Franklin Resources Corp. | 1,387,880 | 88,519 |
| Northern Trust Corp. | 1,682,925 | 87,748 |
| Public Storage, Inc. REIT | 1,074,114 | 85,392 |
| SunTrust Banks, Inc. | 2,842,455 | 83,966 |
* | Berkshire Hathaway Inc. Class A | 848 | 81,917 |
| Progressive Corp. of Ohio | 5,431,732 | 80,444 |
| Loews Corp. | 2,770,006 | 78,253 |
| T. Rowe Price Group Inc. | 2,078,888 | 73,676 |
| Annaly Capital Management Inc. REIT | 4,560,293 | 72,372 |
| Vornado Realty Trust REIT | 1,172,695 | 70,772 |
| Equity Residential REIT | 2,291,833 | 68,342 |
| Hudson City Bancorp, Inc. | 3,957,032 | 63,154 |
| HCP, Inc. REIT | 2,113,907 | 58,703 |
| Boston Properties, Inc. REIT | 1,013,538 | 55,745 |
| Unum Group | 2,926,440 | 54,432 |
| People’s United Financial Inc. | 2,938,384 | 52,391 |
| Plum Creek Timber Co. Inc. REIT | 1,447,481 | 50,286 |
| The Principal Financial Group, Inc. | 2,191,545 | 49,463 |
| Invesco, Ltd. | 3,272,510 | 47,255 |
| Regions Financial Corp. | 5,884,021 | 46,837 |
| Ameriprise Financial, Inc. | 1,836,539 | 42,902 |
| The Hartford Financial Services Group Inc. | 2,551,731 | 41,899 |
| Lincoln National Corp. | 2,174,435 | 40,966 |
| Ventas, Inc. REIT | 1,208,734 | 40,577 |
| Everest Re Group, Ltd. | 522,456 | 39,780 |
| Avalonbay Communities, Inc. REIT | 651,854 | 39,489 |
* | IntercontinentalExchange Inc. | 478,366 | 39,437 |
| W.R. Berkley Corp. | 1,240,160 | 38,445 |
| Cincinnati Financial Corp. | 1,305,333 | 37,946 |
| Fifth Third Bancorp | 4,404,380 | 36,380 |
| KeyCorp | 4,189,607 | 35,695 |
| Willis Group Holdings Ltd. | 1,427,309 | 35,511 |
| Kimco Realty Corp. REIT | 1,939,056 | 35,446 |
* | SLM Corp. | 3,959,529 | 35,240 |
| Moody’s Corp. | 1,752,615 | 35,210 |
| Discover Financial Services | 3,653,341 | 34,816 |
| M & T Bank Corp. | 605,823 | 34,780 |
| Health Care Inc. REIT | 823,828 | 34,766 |
| Axis Capital Holdings Ltd. | 1,165,317 | 33,934 |
| New York Community Bancorp, Inc. | 2,769,011 | 33,117 |
| Torchmark Corp. | 738,933 | 33,030 |
| American International Group, Inc. | 20,510,862 | 32,202 |
| PartnerRe Ltd. | 448,503 | 31,965 |
| Host Hotels & Resorts Inc. REIT | 4,181,136 | 31,651 |
* | Leucadia National Corp. | 1,577,903 | 31,242 |
| Federal Realty Investment Trust REIT | 498,609 | 30,954 |
| NYSE Euronext | 1,127,239 | 30,864 |
| ProLogis REIT | 2,221,626 | 30,858 |
| Fidelity National Financial, Inc. Class A | 1,705,036 | 30,264 |
| Assurant, Inc. | 1,004,713 | 30,141 |
* | Nasdaq Stock Market Inc. | 1,186,663 | 29,322 |
* | TD Ameritrade Holding Corp. | 2,010,855 | 28,655 |
| Regency Centers Corp. REIT | 592,138 | 27,653 |
| Marshall & Ilsley Corp. | 1,976,930 | 26,965 |
* | Reinsurance Group of America, Inc. | 609,899 | 26,116 |
| HCC Insurance Holdings, Inc. | 972,844 | 26,024 |
| Legg Mason Inc. | 1,187,313 | 26,014 |
| RenaissanceRe Holdings Ltd. | 492,844 | 25,411 |
| Comerica, Inc. | 1,274,796 | 25,305 |
* | Arch Capital Group Ltd. | 356,217 | 24,971 |
| Commerce Bancshares, Inc. | 546,348 | 24,012 |
* | Markel Corp. | 79,413 | 23,744 |
| Nationwide Health Properties, Inc. REIT | 821,481 | 23,593 |
| Cullen/Frost Bankers, Inc. | 450,485 | 22,831 |
| Huntington Bancshares Inc. | 2,945,832 | 22,565 |
| Zions Bancorp | 909,284 | 22,287 |
| Old Republic International Corp. | 1,855,486 | 22,117 |
| Valley National Bancorp | 1,085,312 | 21,978 |
| Associated Banc-Corp. | 1,027,530 | 21,506 |
| Brown & Brown, Inc. | 1,015,778 | 21,230 |
| Rayonier Inc. REIT | 667,413 | 20,923 |
| Arthur J. Gallagher & Co. | 791,068 | 20,497 |
| Realty Income Corp. REIT | 861,264 | 19,938 |
| Synovus Financial Corp. | 2,383,874 | 19,786 |
| Eaton Vance Corp. | 930,929 | 19,559 |
| AMB Property Corp. REIT | 833,415 | 19,519 |
| First American Corp. | 666,442 | 19,254 |
| Liberty Property Trust REIT | 832,837 | 19,014 |
| Digital Realty Trust, Inc. REIT | 578,773 | 19,013 |
*,^ | The St. Joe Co. | 781,014 | 18,994 |
| The Hanover Insurance Group Inc. | 432,915 | 18,602 |
| White Mountains Insurance Group Inc. | 69,055 | 18,445 |
| | | |
| First Horizon National Corp. | 1,741,352 | 18,406 |
| Bank of Hawaii Corp. | 404,882 | 18,289 |
| SEI Investments Co. | 1,139,996 | 17,909 |
| Senior Housing Properties Trust REIT | 969,726 | 17,378 |
| StanCorp Financial Group, Inc. | 415,687 | 17,363 |
| Aspen Insurance Holdings Ltd. | 710,845 | 17,238 |
| City National Corp. | 344,944 | 16,799 |
| Essex Property Trust, Inc. REIT | 216,369 | 16,606 |
| Alexandria Real Estate Equities, Inc. REIT | 272,880 | 16,466 |
| UDR, Inc. REIT | 1,155,307 | 15,932 |
| First Niagara Financial Group, Inc. | 943,858 | 15,262 |
| Platinum Underwriters Holdings, Ltd. | 414,217 | 14,945 |
| Highwood Properties, Inc. REIT | 538,411 | 14,731 |
| BancorpSouth, Inc. | 629,939 | 14,715 |
| American Financial Group, Inc. | 636,934 | 14,573 |
* | Affiliated Managers Group, Inc. | 345,957 | 14,503 |
| Fulton Financial Corp. | 1,484,178 | 14,278 |
* | Sovereign Bancorp, Inc. | 4,776,878 | 14,235 |
* | ProAssurance Corp. | 269,338 | 14,216 |
| Camden Property Trust REIT | 451,169 | 14,140 |
| FirstMerit Corp. | 684,140 | 14,086 |
| Raymond James Financial, Inc. | 815,490 | 13,969 |
| CIT Group Inc. | 3,074,366 | 13,958 |
| Duke Realty Corp. REIT | 1,250,206 | 13,702 |
| Mack-Cali Realty Corp. REIT | 557,352 | 13,655 |
| TCF Financial Corp. | 997,512 | 13,626 |
| Jefferies Group, Inc. | 964,367 | 13,559 |
| Allied World Assurance Holdings, Ltd. | 333,078 | 13,523 |
| Weingarten Realty Investors REIT | 643,609 | 13,316 |
| Corporate Office Properties Trust, Inc. REIT | 432,317 | 13,272 |
| Endurance Specialty Holdings Ltd. | 431,904 | 13,186 |
| Federated Investors, Inc. | 773,518 | 13,119 |
* | Alleghany Corp. | 45,911 | 12,947 |
| SL Green Realty Corp. REIT | 493,489 | 12,781 |
| IPC Holdings Ltd. | 423,876 | 12,674 |
| Wilmington Trust Corp. | 569,825 | 12,673 |
| Odyssey Re Holdings Corp. | 243,158 | 12,598 |
| Westamerica Bancorporation | 246,008 | 12,583 |
| Montpelier Re Holdings Ltd. | 740,338 | 12,430 |
| TFS Financial Corp. | 959,344 | 12,376 |
| BRE Properties Inc. Class A REIT | 434,549 | 12,159 |
| UMB Financial Corp. | 243,245 | 11,953 |
| Washington REIT | 420,464 | 11,899 |
| Hospitality Properties Trust REIT | 799,055 | 11,882 |
* | Knight Capital Group, Inc. Class A | 732,882 | 11,836 |
| Popular, Inc. | 2,270,251 | 11,715 |
| United Bankshares, Inc. | 350,612 | 11,647 |
| Susquehanna Bancshares, Inc. | 727,519 | 11,575 |
^ | The Macerich Co. REIT | 634,767 | 11,527 |
| Healthcare Realty Trust Inc. REIT | 490,893 | 11,526 |
| Astoria Financial Corp. | 694,159 | 11,440 |
| Taubman Co. REIT | 448,391 | 11,416 |
| National City Corp. | 6,224,627 | 11,267 |
^ | Apollo Investment Corp. | 1,204,639 | 11,215 |
| Washington Federal Inc. | 746,684 | 11,170 |
| Omega Healthcare Investors, Inc. REIT | 696,745 | 11,127 |
| Home Properties, Inc. REIT | 271,350 | 11,017 |
| Janus Capital Group Inc. | 1,354,466 | 10,876 |
| NewAlliance Bancshares, Inc. | 820,103 | 10,801 |
| National Retail Properties REIT | 627,131 | 10,780 |
| Douglas Emmett, Inc. REIT | 823,335 | 10,753 |
| Mercury General Corp. | 233,520 | 10,740 |
| Waddell & Reed Financial, Inc. | 694,155 | 10,732 |
| Erie Indemnity Co. Class A | 282,507 | 10,631 |
* | MSCI, Inc.-Class A Shares | 592,808 | 10,528 |
| Prosperity Bancshares, Inc. | 353,423 | 10,458 |
| Genworth Financial Inc. | 3,687,889 | 10,437 |
| Greenhill & Co., Inc. | 148,400 | 10,354 |
| Selective Insurance Group | 449,793 | 10,314 |
| Old National Bancorp | 564,727 | 10,255 |
| International Bancshares Corp. | 468,433 | 10,226 |
| Tanger Factory Outlet Centers, Inc. REIT | 268,442 | 10,099 |
| Zenith National Insurance Corp. | 316,619 | 9,996 |
| MFA Mortgage Investments, Inc. REIT | 1,674,122 | 9,861 |
| F.N.B. Corp. | 732,930 | 9,675 |
| Glacier Bancorp, Inc. | 507,296 | 9,649 |
| XL Capital Ltd. Class A | 2,588,990 | 9,579 |
| R.L.I. Corp. | 154,802 | 9,468 |
| Kilroy Realty Corp. REIT | 276,468 | 9,251 |
| Hancock Holding Co. | 200,763 | 9,127 |
| Transatlantic Holdings, Inc. | 224,841 | 9,007 |
| Trustmark Corp. | 414,284 | 8,944 |
| National Penn Bancshares Inc. | 610,767 | 8,862 |
* | Argo Group International Holdings | 259,720 | 8,810 |
| Potlatch Corp. REIT | 335,019 | 8,714 |
| Mid-America Apartment Communities, Inc. REIT | 233,651 | 8,682 |
| Whitney Holdings Corp. | 541,503 | 8,659 |
| East West Bancorp, Inc. | 541,549 | 8,649 |
| Capitol Federal Financial | 188,347 | 8,589 |
| Cathay General Bancorp | 359,834 | 8,546 |
* | Signature Bank | 294,945 | 8,462 |
* | Investment Technology Group, Inc. | 370,386 | 8,415 |
* | Stifel Financial Corp. | 183,121 | 8,396 |
| Apartment Investment & Management Co. Class A REIT | 726,098 | 8,386 |
^ | PrivateBancorp, Inc. | 255,786 | 8,303 |
| Entertainment Properties Trust REIT | 278,299 | 8,293 |
| First Midwest Bancorp, Inc. | 411,774 | 8,223 |
| Protective Life Corp. | 567,171 | 8,139 |
| BOK Financial Corp. | 201,062 | 8,123 |
* | Conseco, Inc. | 1,564,368 | 8,103 |
* | CB Richard Ellis Group, Inc. | 1,857,216 | 8,023 |
| Hatteras Financial Corp. REIT | 298,635 | 7,944 |
| BioMed Realty Trust, Inc. REIT | 674,680 | 7,907 |
| First Commonwealth Financial Corp. | 637,049 | 7,887 |
^ | CapitalSource Inc. REIT | 1,655,213 | 7,647 |
| Equity Lifestyle Properties, Inc. REIT | 199,016 | 7,634 |
| | | | |
*,^ | AmeriCredit Corp. | 997,863 | 7,624 |
| Jones Lang LaSalle Inc. | 275,122 | 7,621 |
| EastGroup Properties, Inc. REIT | 212,131 | 7,548 |
| Franklin Street Properties Corp. REIT | 509,557 | 7,516 |
| DCT Industrial Trust Inc. REIT | 1,477,594 | 7,477 |
| First BanCorp Puerto Rico | 666,435 | 7,424 |
| American Campus Communities, Inc. REIT | 361,063 | 7,395 |
^ | Umpqua Holdings Corp. | 508,467 | 7,358 |
| NBT Bancorp, Inc. | 261,449 | 7,310 |
| First Financial Bankshares, Inc. | 132,228 | 7,300 |
* | SVB Financial Group | 275,963 | 7,239 |
| Provident Financial Services Inc. | 462,662 | 7,079 |
^ | MBIA, Inc. | 1,728,113 | 7,033 |
| S & T Bancorp, Inc. | 197,846 | 7,024 |
| Fannie Mae | 9,187,731 | 6,983 |
^ | Park National Corp. | 95,717 | 6,868 |
| Employers Holdings, Inc. | 416,191 | 6,867 |
| Max Re Capital Ltd. | 387,752 | 6,863 |
| Extra Space Storage Inc. REIT | 658,785 | 6,799 |
| Cash America International Inc. | 247,801 | 6,777 |
| Community Bank System, Inc. | 277,121 | 6,759 |
| Sovran Self Storage, Inc. REIT | 186,731 | 6,722 |
| Assured Guaranty Ltd. | 581,892 | 6,634 |
| UCBH Holdings, Inc. | 963,630 | 6,630 |
| HRPT Properties Trust REIT | 1,955,830 | 6,591 |
| Inland Real Estate Corp. REIT | 504,723 | 6,551 |
| Delphi Financial Group, Inc. | 353,406 | 6,517 |
* | Piper Jaffray Cos., Inc. | 163,321 | 6,494 |
| CVB Financial Corp. | 535,814 | 6,376 |
| Unitrin, Inc. | 399,808 | 6,373 |
* | Navigators Group, Inc. | 115,012 | 6,315 |
| Pacific Capital Bancorp | 373,845 | 6,311 |
| MB Financial, Inc. | 222,974 | 6,232 |
| Post Properties, Inc. REIT | 375,039 | 6,188 |
* | Interactive Brokers Group, Inc. | 345,799 | 6,186 |
| TrustCo Bank NY | 648,437 | 6,167 |
^ | Equity One, Inc. REIT | 347,544 | 6,152 |
| Webster Financial Corp. | 445,073 | 6,133 |
| Infinity Property & Casualty Corp. | 130,467 | 6,097 |
| IBERIABANK Corp. | 124,923 | 5,996 |
| PacWest Bancorp | 221,790 | 5,966 |
| National Health Investors REIT | 215,380 | 5,908 |
| PS Business Parks, Inc. REIT | 131,904 | 5,891 |
*,^ | KBW Inc. | 254,735 | 5,859 |
| Brandywine Realty Trust REIT | 752,930 | 5,805 |
^ | American Capital Ltd. | 1,778,515 | 5,762 |
| Financial Federal Corp. | 247,217 | 5,753 |
| First Citizens BancShares Class A | 37,585 | 5,743 |
* | Investors Bancorp, Inc. | 419,968 | 5,640 |
* | PHH Corp. | 438,257 | 5,579 |
| Brookline Bancorp, Inc. | 497,080 | 5,294 |
| Ares Capital Corp. | 831,121 | 5,261 |
*,^ | E*TRADE Financial Corp. | 4,545,862 | 5,228 |
| WesBanco, Inc. | 190,985 | 5,197 |
| Bank Mutual Corp. | 450,237 | 5,196 |
| Harleysville National Corp. | 355,751 | 5,137 |
| Capstead Mortgage Corp. REIT | 476,792 | 5,135 |
| Developers Diversified Realty Corp. REIT | 1,043,330 | 5,091 |
^ | Cousins Properties, Inc. REIT | 363,265 | 5,031 |
| United Fire & Casualty Co. | 160,360 | 4,982 |
| DiamondRock Hospitality Co. REIT | 974,919 | 4,943 |
| Tower Group, Inc. | 173,193 | 4,886 |
| Investors Real Estate Trust REIT | 451,004 | 4,830 |
| optionsXpress Holdings Inc. | 359,852 | 4,808 |
| City Holding Co. | 136,069 | 4,732 |
| Chemical Financial Corp. | 166,429 | 4,640 |
* | EZCORP, Inc. | 293,903 | 4,470 |
| Harleysville Group, Inc. | 126,855 | 4,406 |
^ | Allied Capital Corp. | 1,624,098 | 4,369 |
| Provident New York Bancorp, Inc. | 351,682 | 4,361 |
| Alexander’s, Inc. REIT | 16,707 | 4,259 |
^ | Colonial BancGroup, Inc. | 2,039,566 | 4,222 |
| Community Trust Bancorp Inc. | 112,787 | 4,145 |
| State Auto Financial Corp. | 133,686 | 4,019 |
^ | Freddie Mac | 5,494,934 | 4,011 |
^ | United Community Banks, Inc. | 295,211 | 4,009 |
* | Hilltop Holdings Inc. | 411,158 | 4,005 |
*,^ | Portfolio Recovery Associates, Inc. | 118,268 | 4,002 |
| Wintrust Financial Corp. | 194,335 | 3,997 |
| American Physicians Capital, Inc. | 83,106 | 3,997 |
| First Merchants Corp. | 179,152 | 3,979 |
* | Amerisafe Inc. | 192,000 | 3,942 |
| Saul Centers, Inc. REIT | 99,516 | 3,931 |
| Castlepoint Holdings Ltd. | 287,766 | 3,902 |
* | CNA Surety Corp. | 202,520 | 3,888 |
* | First Cash Financial Services, Inc. | 203,580 | 3,880 |
*,^ | Citizens, Inc. | 399,240 | 3,873 |
* | Ocwen Financial Corp. | 417,812 | 3,836 |
^ | Boston Private Financial Holdings, Inc. | 558,615 | 3,821 |
| Anworth Mortgage Asset Corp. REIT | 589,956 | 3,793 |
| Getty Realty Holding Corp. REIT | 179,507 | 3,780 |
| Acadia Realty Trust REIT | 263,407 | 3,759 |
* | Beneficial Mutual Bancorp, Inc. | 333,545 | 3,752 |
| TriCo Bancshares | 148,320 | 3,704 |
| Sterling Bancshares, Inc. | 604,989 | 3,678 |
* | Pinnacle Financial Partners, Inc. | 123,077 | 3,669 |
| Safety Insurance Group, Inc. | 95,684 | 3,642 |
| SWS Group, Inc. | 190,117 | 3,603 |
| LaSalle Hotel Properties REIT | 320,392 | 3,540 |
| Forest City Enterprise Class A | 527,890 | 3,537 |
^ | First Busey Corp. | 193,089 | 3,522 |
| First Source Corp. | 148,463 | 3,508 |
| CBL & Associates Properties, Inc. REIT | 539,280 | 3,505 |
| S.Y. Bancorp, Inc. | 126,501 | 3,479 |
| TowneBank | 139,391 | 3,456 |
| Suffolk Bancorp | 95,439 | 3,429 |
| Dime Community Bancshares | 257,137 | 3,420 |
| BlackRock Kelso Capital Corp. | 345,240 | 3,404 |
| First Financial Corp. (IN) | 82,446 | 3,379 |
| Citizens Banking Corp. | 1,133,531 | 3,378 |
* | Texas Capital Bancshares, Inc. | 252,043 | 3,367 |
| Chimera Investment Corp. | 967,805 | 3,339 |
^ | Ambac Financial Group, Inc. | 2,538,040 | 3,299 |
| Medical Properties Trust Inc. REIT | 519,305 | 3,277 |
| Colonial Properties Trust REIT | 392,799 | 3,272 |
| Northwest Bancorp, Inc. | 152,341 | 3,257 |
| Stewart Information Services Corp. | 138,648 | 3,257 |
| Sandy Spring Bancorp, Inc. | 148,520 | 3,242 |
^ | Redwood Trust, Inc. REIT | 216,751 | 3,232 |
* | LaBranche & Co. Inc. | 669,223 | 3,206 |
| Sterling Financial Corp. | 360,991 | 3,177 |
* | Enstar Group Ltd. | 52,883 | 3,128 |
| First Financial Bancorp | 245,658 | 3,044 |
| General Growth Properties Inc. REIT | 2,316,567 | 2,988 |
| The Phoenix Cos., Inc. | 898,340 | 2,938 |
| National Western Life Insurance Co. Class A | 17,350 | 2,935 |
| Nelnet, Inc. | 203,807 | 2,921 |
* | PICO Holdings, Inc. | 109,760 | 2,917 |
| MGIC Investment Corp. | 838,185 | 2,917 |
* | Riskmetrics Group Inc. | 194,793 | 2,900 |
| Union Bankshares Corp. | 116,591 | 2,891 |
| LTC Properties, Inc. REIT | 142,187 | 2,884 |
| First Community Bancshares, Inc. | 82,545 | 2,878 |
| Meadowbrook Insurance Group, Inc. | 445,723 | 2,870 |
| The South Financial Group, Inc. | 661,792 | 2,859 |
| Cedar Shopping Centers, Inc. REIT | 394,314 | 2,792 |
| First Industrial Realty Trust REIT | 369,437 | 2,789 |
| American Equity Investment Life Holding Co. | 398,418 | 2,789 |
| Arrow Financial Corp. | 110,384 | 2,775 |
| Simmons First National Corp. | 94,079 | 2,773 |
| Horace Mann Educators Corp. | 300,630 | 2,763 |
| Bank of the Ozarks, Inc. | 92,655 | 2,746 |
| WSFS Financial Corp. | 56,943 | 2,733 |
| Sterling Bancorp | 193,444 | 2,714 |
* | Oritani Financial Corp. | 160,732 | 2,708 |
| BancFirst Corp. | 50,927 | 2,695 |
* | FPIC Insurance Group, Inc. | 61,503 | 2,693 |
| Independent Bank Corp. (MA) | 102,455 | 2,680 |
| Renasant Corp. | 153,875 | 2,621 |
| Mainsource Financial Group, Inc. | 168,100 | 2,606 |
* | Greenlight Capital Re. Ltd. | 200,040 | 2,599 |
| Pennsylvania REIT | 347,622 | 2,590 |
| Universal Health Realty Income REIT | 78,559 | 2,585 |
| Sunstone Hotel Investors, Inc. REIT | 417,395 | 2,584 |
| Tompkins Trustco, Inc. | 44,375 | 2,572 |
*,^ | Western Alliance Bancorp | 253,933 | 2,562 |
| Lexington Realty Trust REIT | 512,370 | 2,562 |
* | Forestar Real Estate Group, Inc. | 262,948 | 2,503 |
* | Crawford & Co. Class B | 169,329 | 2,462 |
| Home Bancshares Inc. | 90,962 | 2,451 |
| StellarOne Corp. | 144,946 | 2,450 |
| Essa Bancorp Inc. | 171,597 | 2,425 |
| Republic Bancorp, Inc. Class A | 88,801 | 2,415 |
^ | iStar Financial Inc. REIT | 1,074,441 | 2,396 |
* | Tejon Ranch Co. | 96,788 | 2,395 |
| Sun Communities, Inc. REIT | 165,636 | 2,319 |
| Kearny Financial Corp. | 180,627 | 2,312 |
* | World Acceptance Corp. | 116,885 | 2,310 |
| Univest Corp. of Pennsylvania | 71,346 | 2,293 |
*,^ | MF Global Ltd. | 1,115,568 | 2,276 |
| West Bancorporation | 184,751 | 2,263 |
| Central Pacific Financial Co. | 225,229 | 2,261 |
| Capital Southwest Corp. | 20,888 | 2,259 |
| Amtrust Financial Services Inc. | 194,668 | 2,258 |
| Flagstone Reinsurance Holdings Ltd. | 230,929 | 2,256 |
| Lakeland Bancorp, Inc. | 200,214 | 2,254 |
| Westfield Financial, Inc. | 217,822 | 2,248 |
| Columbia Banking System, Inc. | 188,266 | 2,246 |
^ | Capital City Bank Group, Inc. | 81,842 | 2,229 |
| Peoples Bancorp, Inc. | 114,956 | 2,199 |
| First Bancorp (NC) | 119,785 | 2,198 |
| Nara Bancorp, Inc. | 221,578 | 2,178 |
* | MarketAxess Holdings, Inc. | 264,556 | 2,159 |
| Donegal Group Inc. Class A | 128,387 | 2,153 |
* | Seabright Insurance Holdings, Inc. | 183,257 | 2,151 |
* | TradeStation Group, Inc. | 331,883 | 2,141 |
| First Financial Holdings, Inc. | 104,334 | 2,112 |
| Prospect Energy Corp. | 174,036 | 2,083 |
| Provident Bankshares Corp. | 215,571 | 2,082 |
| Hercules Technology Growth Capital, Inc. | 262,676 | 2,080 |
* | First Mercury Financial Corp. | 145,681 | 2,077 |
| Parkway Properties Inc. REIT | 113,986 | 2,052 |
^ | NorthStar Realty Finance Corp. REIT | 524,075 | 2,049 |
| Berkshire Hills Bancorp, Inc. | 66,243 | 2,044 |
| Washington Trust Bancorp, Inc. | 101,622 | 2,007 |
| Flushing Financial Corp. | 166,846 | 1,995 |
| Lakeland Financial Corp. | 83,137 | 1,980 |
* | FBR Capital Markets Corp. | 404,432 | 1,966 |
| Abington Community Bancorp Inc. | 211,930 | 1,960 |
| OneBeacon Insurance Group Ltd. | 187,692 | 1,960 |
| SCBT Financial Corp. | 56,504 | 1,949 |
| Consolidated-Tomoka Land Co. | 50,050 | 1,911 |
| Mission West Properties Inc. REIT | 248,691 | 1,902 |
| Compass Diversified Trust | 167,656 | 1,886 |
^ | Heartland Financial USA, Inc. | 91,584 | 1,886 |
| Southside Bancshares, Inc. | 80,017 | 1,880 |
| U-Store-It Trust REIT | 420,995 | 1,873 |
| Clifton Savings Bancorp, Inc. | 155,861 | 1,849 |
* | United America Indemnity, Ltd. | 143,485 | 1,838 |
* | Sun Bancorp, Inc. (NJ) | 239,893 | 1,797 |
| FBL Financial Group, Inc. Class A | 115,141 | 1,779 |
*,^ | Guaranty Financial Group, Inc. | 677,477 | 1,768 |
| Gamco Investors Inc. Class A | 64,550 | 1,764 |
| OceanFirst Financial Corp. | 105,949 | 1,759 |
| BankFinancial Corp. | 170,393 | 1,736 |
^ | MVC Capital, Inc. | 157,337 | 1,726 |
| Ames National Corp. | 64,670 | 1,716 |
| Radian Group, Inc. | 460,308 | 1,694 |
| Urstadt Biddle Properties Class A REIT | 105,140 | 1,675 |
| Presidential Life Corp. | 166,821 | 1,650 |
^ | Old Second Bancorp, Inc. | 141,862 | 1,646 |
^ | Frontier Financial Corp. | 374,528 | 1,633 |
* | Dollar Financial Corp. | 158,372 | 1,631 |
| Peapack Gladstone Financial Corp. | 61,065 | 1,627 |
^ | Cascade Bancorp | 237,531 | 1,603 |
* | Republic First Bancorp, Inc. | 180,013 | 1,584 |
| Kite Realty Group Trust REIT | 284,847 | 1,584 |
^ | RAIT Financial Trust REIT | 608,621 | 1,582 |
| Medallion Financial Corp. | 207,388 | 1,582 |
| First Bancorp, Inc. | 78,351 | 1,558 |
^ | Life Partners Holdings | 34,784 | 1,518 |
* | PMA Capital Corp. Class A | 214,352 | 1,518 |
| EMC Insurance Group, Inc. | 57,969 | 1,487 |
* | Virginia Commerce Bancorp, Inc. | 287,465 | 1,486 |
^ | Centerstate Banks of Florida | 87,426 | 1,485 |
| Cardinal Financial Corp. | 260,472 | 1,482 |
| Southwest Bancorp, Inc. | 114,231 | 1,480 |
* | Guaranty Bancorp | 739,922 | 1,480 |
| Monmouth Real Estate Investment Corp. REIT | 210,332 | 1,472 |
| Camden National Corp. | 53,844 | 1,453 |
*,^ | CompuCredit Corp. | 259,102 | 1,433 |
| Ameris Bancorp | 120,242 | 1,425 |
| First Potomac REIT | 153,125 | 1,424 |
| Oriental Financial Group Inc. | 232,449 | 1,406 |
| Calamos Asset Management, Inc. | 189,869 | 1,405 |
| BGC Partners, Inc. | 508,008 | 1,402 |
| Student Loan Corp. | 34,057 | 1,396 |
^ | Anthracite Capital Inc. REIT | 624,704 | 1,393 |
| Evercore Partners Inc. | 110,100 | 1,375 |
| Associated Estates Realty Corp. REIT | 149,964 | 1,369 |
^ | BancTrust Financial Group, Inc. | 90,844 | 1,341 |
| GFI Group Inc. | 378,487 | 1,340 |
| Sanders Morris Harris Group Inc. | 223,285 | 1,337 |
| Great Southern Bancorp, Inc. | 115,968 | 1,327 |
| Smithtown Bancorp, Inc. | 82,545 | 1,323 |
| First of Long Island Corp. | 55,566 | 1,320 |
* | Penson Worldwide, Inc. | 173,154 | 1,319 |
^ | Wilshire Bancorp Inc. | 144,985 | 1,316 |
| Cohen & Steers, Inc. | 119,419 | 1,312 |
| National Bankshares, Inc. | 67,117 | 1,304 |
| Ashford Hospitality Trust REIT | 1,122,324 | 1,291 |
| Agree Realty Corp. REIT | 70,129 | 1,271 |
| The PMI Group Inc. | 649,260 | 1,266 |
| Gladstone Capital Corp. | 155,289 | 1,256 |
| Northfield Bancorp, Inc. | 108,897 | 1,225 |
| Banner Corp. | 125,836 | 1,184 |
* | Meruelo Maddux Properties Inc. | 930,944 | 1,154 |
| Danvers Bancorp, Inc. | 85,294 | 1,140 |
| Bryn Mawr Bank Corp. | 56,682 | 1,139 |
| Hanmi Financial Corp. | 550,628 | 1,134 |
| TICC Capital Corp. | 298,317 | 1,134 |
| NYMAGIC, Inc. | 59,242 | 1,129 |
| Heritage Commerce Corp. | 98,860 | 1,111 |
| NGP Capital Resources Co. | 131,860 | 1,104 |
| German American Bancorp | 96,595 | 1,100 |
| Capitol Bancorp Ltd. | 138,217 | 1,078 |
^ | Enterprise Financial Services Corp. | 70,392 | 1,073 |
| American Land Lease, Inc. REIT | 77,161 | 1,066 |
* | First Acceptance Corp. | 359,413 | 1,042 |
| Resource Capital Corp. REIT | 271,017 | 1,038 |
| Greene County Bancshares | 76,085 | 1,030 |
| Patriot Capital Funding Inc. | 281,538 | 1,025 |
^ | American Capital Agency Corp. REIT | 47,200 | 1,008 |
| First Financial Northwest, Inc. | 107,693 | 1,006 |
| CoBiz Inc. | 102,539 | 999 |
| West Coast Bancorp | 151,355 | 997 |
| ViewPoint Financial Group | 59,508 | 955 |
| Glimcher Realty Trust REIT | 337,314 | 948 |
* | Thomas Weisel Partners Group, Inc. | 197,821 | 934 |
| Financial Institutions, Inc. | 64,601 | 927 |
| Shore Bancshares, Inc. | 38,490 | 923 |
*,^ | Community Bancorp | 263,871 | 916 |
| One Liberty Properties, Inc. REIT | 103,955 | 915 |
| Bancorp Rhode Island Inc. | 43,068 | 913 |
* | Bank of Florida Corp. | 214,370 | 903 |
| Baldwin & Lyons, Inc. Class B | 48,673 | 885 |
* | eHealth, Inc. | 66,129 | 878 |
| National Interstate Corp. | 48,384 | 865 |
| Kansas City Life Insurance Co. | 19,744 | 856 |
| Taylor Capital Group, Inc. | 146,239 | 856 |
* | The Bancorp Inc. | 227,048 | 851 |
| Kohlberg Capital Corp. | 232,381 | 846 |
| Merchants Bancshares, Inc. | 44,936 | 844 |
| Hersha Hospitality Trust REIT | 279,841 | 840 |
| PremierWest Bancorp | 125,436 | 839 |
| Care Investment Trust Inc. | 106,401 | 829 |
^ | Seacoast Banking Corp. of Florida | 124,245 | 820 |
* | First Regional Bancorp | 252,375 | 818 |
| Education Realty Trust, Inc. REIT | 156,362 | 816 |
^ | United Security Bancshares, Inc. | 42,856 | 816 |
| Center Financial Corp. | 131,668 | 812 |
*,^ | The First Marblehead Corp. | 627,232 | 809 |
^ | Citizens & Northern Corp. | 40,869 | 807 |
| U.S. Global Investors, Inc. Class A | 162,160 | 793 |
| Gladstone Investment Corp. | 160,267 | 787 |
| Farmers Capital Bank Corp. | 31,699 | 774 |
| Pacific Mercantile Bancorp | 155,791 | 763 |
* | Harris & Harris Group, Inc. | 193,202 | 763 |
* | Pennsylvania Commerce Bancorp, Inc. | 28,307 | 755 |
| Rome Bancorp, Inc. | 86,343 | 751 |
| City Bank Lynnwood (WA) | 144,249 | 750 |
| ESB Financial Corp. | 69,236 | 744 |
*,^ | Credit Acceptance Corp. | 54,191 | 742 |
| First United Corp. | 54,947 | 741 |
* | NewStar Financial, Inc. | 181,654 | 725 |
*,^ | Avatar Holding, Inc. | 26,732 | 709 |
| Eastern Virginia Bankshares, Inc. | 80,381 | 708 |
* | Encore Capital Group, Inc. | 97,661 | 703 |
| LSB Corp. | 95,020 | 703 |
| State Bancorp, Inc. | 71,970 | 701 |
| TF Financial Corp. | 36,316 | 701 |
* | Rewards Network Inc. | 258,834 | 670 |
^ | Corus Bankshares Inc. | 601,200 | 667 |
^ | BankAtlantic Bancorp, Inc. Class A | 113,882 | 661 |
^ | Arbor Realty Trust, Inc. REIT | 223,680 | 660 |
| Winthrop Realty Trust REIT | 60,830 | 659 |
| Amcore Financial, Inc. | 178,510 | 646 |
| PMC Commercial Trust REIT | 86,675 | 646 |
| Intervest Bancshares Corp. | 161,607 | 645 |
^ | Sierra Bancorp | 30,695 | 645 |
| American National Bankshares Inc. | 37,640 | 640 |
| Cogdell Spencer Inc. REIT | 68,049 | 637 |
^ | Macatawa Bank Corp. | 183,544 | 637 |
*,^ | Ladenburg Thalmann Financial Services, Inc. | 877,990 | 632 |
| Ramco-Gershenson Properties Trust REIT | 102,081 | 631 |
| CapLease, Inc. REIT | 364,492 | 631 |
* | Asset Acceptance Capital Corp. | 123,383 | 630 |
* | Tree.com, Inc. | 236,688 | 615 |
* | Stratus Properties Inc. | 49,372 | 615 |
| Westwood Holdings Group, Inc. | 21,454 | 610 |
| Yadkin Valley Bank and Trust Co. | 42,202 | 601 |
| Independent Bank Corp. (MI) | 274,787 | 594 |
| Gladstone Commercial Corp. REIT | 69,243 | 589 |
| Federal Agricultural Mortgage Corp. Class C | 167,556 | 586 |
^ | First South Bancorp, Inc. | 46,602 | 585 |
| Heritage Financial Corp. | 45,779 | 561 |
| Eastern Insurance Holdings, Inc. | 67,700 | 544 |
| Indiana Community Bancorp | 44,914 | 539 |
* | Reis, Inc. | 107,478 | 537 |
| Urstadt Biddle Properties REIT | 37,652 | 537 |
| Ameriserv Financial Inc. | 267,532 | 532 |
| Firstbank Corp. | 63,287 | 532 |
^ | Preferred Bank | 88,424 | 531 |
* | American Safety Insurance Holdings, Ltd. | 39,148 | 517 |
| Alliance Bancorp, Inc. of Pennsylvania | 68,209 | 512 |
| DuPont Fabros Technology Inc. REIT | 245,665 | 509 |
| First Place Financial Corp. | 128,138 | 491 |
| Center Bancorp, Inc. | 59,802 | 489 |
| Thomas Properties Group, Inc. | 188,310 | 488 |
| Citizens South Banking Corp. | 78,500 | 470 |
| Anchor Bancorp Wisconsin Inc. | 169,570 | 468 |
| Horizon Financial Corp. | 98,115 | 465 |
| Mercantile Bank Corp. | 106,988 | 460 |
| Kayne Anderson Energy Development Co. | 61,200 | 460 |
| Comm Bancorp, Inc. | 13,123 | 459 |
| Capital Bank Corp. | 74,079 | 455 |
| BRT Realty Trust REIT | 122,856 | 455 |
| K-Fed Bancorp | 69,721 | 453 |
* | Broadpoint Securities Group | 152,083 | 452 |
| Hawthorn Bancshares Inc. | 26,069 | 449 |
| TIB Financial Corp. | 99,825 | 434 |
| Penns Woods Bancorp, Inc. | 18,790 | 433 |
| Cadence Financial Corp. | 91,911 | 428 |
| UMH Properties, Inc. REIT | 71,751 | 427 |
| Parkvale Financial Corp. | 34,073 | 423 |
* | Maui Land & Pineapple Co., Inc. | 31,383 | 421 |
| Fifth Street Finance Corp. | 55,574 | 420 |
| Advanta Corp. Class B | 199,218 | 416 |
| Middleburg Financial Corp. | 29,501 | 415 |
| CFS Bancorp, Inc. | 104,713 | 408 |
* | Irwin Financial Corp. | 312,982 | 404 |
*,^ | Waterstone Financial, Inc. | 118,307 | 396 |
*,^ | Flagstar Bancorp, Inc. | 558,207 | 396 |
| LNB Bancorp, Inc. | 74,555 | 394 |
| Jefferson Bancshares, Inc. | 48,534 | 394 |
| Investors Title Co. | 10,524 | 393 |
| Resource America, Inc. | 98,256 | 393 |
| First M&F Corp. | 48,052 | 387 |
| American Physicians Service Group, Inc. | 17,957 | 386 |
| Roma Financial Corp. | 30,606 | 385 |
| Ameriana Bancorp | 68,107 | 380 |
| Pacific Continental Corp. | 24,815 | 371 |
| PennantPark Investment Corp. | 102,303 | 369 |
| Century Bancorp, Inc. Class A | 23,412 | 369 |
| Codorus Valley Bancorp, Inc. | 47,147 | 368 |
*,^ | Superior Bancorp | 111,538 | 354 |
| Midwest Banc Holdings, Inc. | 244,158 | 342 |
| Nationwide Financial Services, Inc. | 6,474 | 338 |
| Provident Financial Holdings, Inc. | 73,034 | 330 |
| HopFed Bancorp, Inc. | 29,361 | 323 |
| NewBridge Bancorp. | 134,272 | 320 |
| Pulaski Financial Corp. | 47,206 | 316 |
| MBT Financial Corp. | 102,605 | 312 |
^ | ASTA Funding, Inc. | 113,904 | 310 |
| Commercial National Financial Corp. | 21,300 | 309 |
* | Market Leader, Inc. | 180,197 | 306 |
* | Cowen Group, Inc. | 49,091 | 306 |
^ | Capital Trust Class A REIT | 83,399 | 300 |
| Diamond Hill Investment Group | 4,584 | 298 |
| Bank of Granite Corp. | 120,301 | 295 |
^ | United Security Bancshares (CA) | 24,920 | 289 |
| Cheviot Financial Corp. | 44,479 | 286 |
| First Pactrust Bancorp | 29,258 | 282 |
* | First Keystone Financial, Inc. | 35,644 | 280 |
| Pamrapo Bancorp, Inc. | 37,008 | 279 |
| Gramercy Capital Corp. REIT | 215,446 | 276 |
| First Defiance Financial Corp. | 35,248 | 272 |
^ | Capital Corp. of the West | 280,471 | 264 |
| Bank of Marin Bancorp | 11,078 | 262 |
| Grubb & Ellis Co. | 207,915 | 258 |
| Southern Community Financial Corp. | 71,633 | 253 |
| Camco Financial Corp. | 78,676 | 250 |
| Wainwright Bank & Trust Co. | 41,184 | 242 |
| MutualFirst Financial Inc. | 35,157 | 237 |
| ECB Bancorp, Inc. | 14,795 | 237 |
| FNB Corp. (NC) | 70,905 | 223 |
| Meta Financial Group, Inc. | 24,707 | 222 |
| Royal Bancshares of Pennsylvania, Inc. | 64,132 | 214 |
| First Federal Bancshares of Arkansas, Inc. | 29,037 | 213 |
*,^ | International Assets Holding Corp. | 24,783 | 213 |
| Bridge Bancorp, Inc. | 11,100 | 205 |
| HMN Financial, Inc. | 48,817 | 204 |
* | Marlin Business Services Inc. | 75,930 | 201 |
| VIST Financial Corp. | 26,028 | 201 |
| Cascade Financial Corp. | 36,979 | 200 |
| Vestin Realty Mortgage II, Inc. | 63,593 | 200 |
| Horizon Bancorp Indiana | 15,935 | 199 |
| Hingham Institution for Savings | 7,900 | 198 |
| North Valley Bancorp | 48,341 | 181 |
| Unity Bancorp, Inc. | 45,911 | 179 |
| United Community Financial Corp. | 198,347 | 179 |
| Integra Bank Corp. | 130,184 | 178 |
| Norwood Financial Corp. | 6,091 | 174 |
*,^ | Ampal-American Israel Corp. | 297,023 | 172 |
| Advanta Corp. Class A | 148,321 | 172 |
| Wayne Savings Bancshares, Inc. | 21,551 | 163 |
| WSB Holdings, Inc. | 54,300 | 162 |
^ | Security Bank Corp. | 150,735 | 161 |
| First Security Group Inc. | 34,271 | 158 |
| AmericanWest Bancorporation | 212,775 | 157 |
^ | W Holding Co., Inc. | 15,203 | 157 |
| Independence Holding Co. | 42,503 | 153 |
| Colony Bankcorp, Inc. | 18,952 | 152 |
*,^ | Primus Guaranty, Ltd. | 122,894 | 140 |
| Atlantic Coast Federal Corp. | 32,338 | 126 |
* | Friedman, Billings, Ramsey Group, Inc. REIT | 737,367 | 125 |
* | Transcontinental Realty Investors, Inc. REIT | 10,500 | 125 |
| Rockville Financial, Inc. | 8,208 | 115 |
| Alliance Financial Corp. | 4,800 | 114 |
| Federal Agricultural Mortgage Corp. Class A | 38,986 | 113 |
| First State Bancorporation | 67,158 | 111 |
| United Financial Bancorp, Inc. | 6,663 | 101 |
* | American Independence Corp. | 35,213 | 97 |
^ | Habersham Bancorp | 34,919 | 84 |
* | BCSB Bancorp, Inc. | 9,610 | 84 |
*,^ | First Mariner Bancorp, Inc. | 108,962 | 79 |
| Beverly Hills Bancorp Inc. | 223,265 | 78 |
^ | Crescent Banking Co. | 18,035 | 77 |
| TierOne Corp. | 18,750 | 70 |
| Citizens First Bancorp, Inc. | 32,429 | 68 |
| National Financial Partners Corp. | 22,357 | 68 |
| Abigail Adams National Bancorp., Inc. | 26,967 | 68 |
* | Consumer Portfolio Services, Inc. | 142,596 | 56 |
^ | Temecula Valley Bancorp, Inc. | 59,006 | 56 |
^ | Alesco Financial, Inc. REIT | 119,475 | 53 |
| Northern States Financial Corp. | 11,261 | 44 |
^ | BankUnited Financial Corp. | 206,025 | 35 |
*,^ | First Federal Financial Corp. | 19,995 | 35 |
| Rainier Pacific Financial Group Inc. | 23,595 | 33 |
* | AMV Liquidating Trust | 289,511 | 32 |
| PAB Bankshares, Inc. | 7,294 | 32 |
* | Valley National Bankcorp Warrants Exp. 6/30/15 | 6,511 | 29 |
*,^ | FX Real Estate and Entertainment Inc. | 157,392 | 24 |
| FelCor Lodging Trust, Inc. REIT | 12,703 | 23 |
| Strategic Hotels and Resorts, Inc. REIT | 6,659 | 11 |
| California National Bancorp | 1,132 | 7 |
| Maguire Properties, Inc. REIT | 4,846 | 7 |
| Newcastle Investment Corp. REIT | 4,610 | 4 |
| First Fed Bankshares Inc | 550 | 1 |
* | RAM Holdings Ltd. | 100 | — |
| | | 12,098,292 |
Health Care (14.4%) | | |
| Johnson & Johnson | 23,634,256 | 1,414,038 |
| Pfizer Inc. | 57,011,805 | 1,009,679 |
| Abbott Laboratories | 13,037,546 | 695,814 |
| Merck & Co., Inc. | 18,119,970 | 550,847 |
* | Amgen Inc. | 8,948,252 | 516,762 |
| Wyeth | 11,277,485 | 423,018 |
* | Gilead Sciences, Inc. | 7,780,317 | 397,885 |
| Bristol-Myers Squibb Co. | 16,742,429 | 389,261 |
| Eli Lilly & Co. | 8,654,221 | 348,505 |
* | Genentech, Inc. | 4,017,684 | 333,106 |
| Medtronic, Inc. | 9,520,815 | 299,144 |
| Baxter International, Inc. | 5,308,393 | 284,477 |
| UnitedHealth Group Inc. | 10,298,157 | 273,931 |
| Schering-Plough Corp. | 13,748,352 | 234,134 |
* | Celgene Corp. | 3,847,120 | 212,669 |
* | WellPoint Inc. | 4,324,756 | 182,202 |
* | Medco Health Solutions, Inc. | 4,277,089 | 179,253 |
| Covidien Ltd. | 4,244,248 | 153,812 |
* | Genzyme Corp. | 2,272,675 | 150,837 |
| Becton, Dickinson & Co. | 2,060,773 | 140,936 |
* | Thermo Fisher Scientific, Inc. | 3,545,177 | 120,784 |
* | Biogen Idec Inc. | 2,456,894 | 117,022 |
| Aetna Inc. | 3,991,122 | 113,747 |
| Cardinal Health, Inc. | 3,038,229 | 104,728 |
| Allergan, Inc. | 2,576,722 | 103,893 |
| Stryker Corp. | 2,441,190 | 97,526 |
* | Express Scripts Inc. | 1,773,366 | 97,500 |
* | St. Jude Medical, Inc. | 2,893,261 | 95,362 |
| McKesson Corp. | 2,335,078 | 90,438 |
* | Boston Scientific Corp. | 11,430,908 | 88,475 |
* | Zimmer Holdings, Inc. | 1,907,015 | 77,082 |
| Quest Diagnostics, Inc. | 1,403,926 | 72,878 |
| C.R. Bard, Inc. | 840,243 | 70,799 |
* | Forest Laboratories, Inc. | 2,579,871 | 65,709 |
* | Laboratory Corp. of America Holdings | 940,646 | 60,587 |
* | Humana Inc. | 1,430,346 | 53,323 |
| AmerisourceBergen Corp. | 1,342,135 | 47,861 |
*,^ | Cephalon, Inc. | 575,398 | 44,329 |
* | DaVita, Inc. | 883,688 | 43,804 |
* | Intuitive Surgical, Inc. | 329,005 | 41,780 |
| CIGNA Corp. | 2,328,592 | 39,237 |
* | Vertex Pharmaceuticals, Inc. | 1,258,015 | 38,218 |
* | Varian Medical Systems, Inc. | 1,058,724 | 37,098 |
* | Hospira, Inc. | 1,351,775 | 36,255 |
| DENTSPLY International Inc. | 1,196,236 | 33,782 |
* | Life Technologies Corp. | 1,439,543 | 33,556 |
* | Waters Corp. | 840,080 | 30,789 |
* | Hologic, Inc. | 2,167,986 | 28,336 |
* | Henry Schein, Inc. | 757,410 | 27,789 |
| Omnicare, Inc. | 999,660 | 27,751 |
*,^ | Illumina, Inc. | 1,026,048 | 26,729 |
* | Endo Pharmaceuticals Holdings, Inc. | 1,019,094 | 26,374 |
| Pharmaceutical Product Development, Inc. | 908,189 | 26,347 |
* | Edwards Lifesciences Corp. | 476,716 | 26,196 |
* | Myriad Genetics, Inc. | 387,133 | 25,651 |
*,^ | Mylan Inc. | 2,577,146 | 25,488 |
* | Covance, Inc. | 533,136 | 24,540 |
* | Millipore Corp. | 468,407 | 24,132 |
* | ResMed Inc. | 640,492 | 24,006 |
| IMS Health, Inc. | 1,541,623 | 23,371 |
| Beckman Coulter, Inc. | 526,968 | 23,155 |
* | Watson Pharmaceuticals, Inc. | 841,925 | 22,370 |
* | Alexion Pharmaceuticals, Inc. | 618,074 | 22,368 |
* | Cerner Corp. | 581,135 | 22,345 |
* | King Pharmaceuticals, Inc. | 2,089,948 | 22,195 |
| Perrigo Co. | 671,186 | 21,686 |
| Techne Corp. | 311,362 | 20,089 |
* | Gen-Probe Inc. | 459,267 | 19,675 |
* | OSI Pharmaceuticals, Inc. | 486,785 | 19,009 |
* | Coventry Health Care Inc. | 1,257,527 | 18,712 |
* | IDEXX Laboratories, Inc. | 504,478 | 18,202 |
*,^ | Valeant Pharmaceuticals International | 746,516 | 17,095 |
| Teleflex Inc. | 335,926 | 16,830 |
* | Lincare Holdings, Inc. | 623,670 | 16,795 |
* | Onyx Pharmaceuticals, Inc. | 476,610 | 16,281 |
* | Immucor Inc. | 597,093 | 15,871 |
* | Thoratec Corp. | 465,376 | 15,120 |
* | BioMarin Pharmaceutical Inc. | 847,907 | 15,093 |
* | Charles River Laboratories, Inc. | 575,822 | 15,087 |
| Universal Health Services Class B | 401,479 | 15,084 |
* | Patterson Companies, Inc. | 770,636 | 14,449 |
* | VCA Antech, Inc. | 713,683 | 14,188 |
| PerkinElmer, Inc. | 1,016,716 | 14,143 |
* | Magellan Health Services, Inc. | 344,073 | 13,474 |
* | AMERIGROUP Corp. | 449,469 | 13,268 |
| Owens & Minor, Inc. | 352,179 | 13,260 |
* | Psychiatric Solutions, Inc. | 472,751 | 13,166 |
* | Amylin Pharmaceuticals, Inc. | 1,166,356 | 12,655 |
* | Warner Chilcott Ltd. | 851,312 | 12,344 |
* | Pediatrix Medical Group, Inc. | 388,257 | 12,308 |
* | Masimo Corp. | 408,774 | 12,194 |
* | Haemonetics Corp. | 215,245 | 12,161 |
* | United Therapeutics Corp. | 193,910 | 12,129 |
* | Bio-Rad Laboratories, Inc. Class A | 158,669 | 11,949 |
| STERIS Corp. | 499,888 | 11,942 |
* | Community Health Systems, Inc. | 817,109 | 11,913 |
* | Inverness Medical Innovations, Inc. | 629,828 | 11,910 |
* | Cubist Pharmaceuticals, Inc. | 479,614 | 11,587 |
* | Isis Pharmaceuticals, Inc. | 813,325 | 11,533 |
* | Nuvasive, Inc. | 305,736 | 10,594 |
| West Pharmaceutical Services, Inc. | 277,563 | 10,484 |
* | Sepracor Inc. | 924,921 | 10,156 |
* | PSS World Medical, Inc. | 529,329 | 9,962 |
* | Health Net Inc. | 907,833 | 9,886 |
* | LifePoint Hospitals, Inc. | 431,493 | 9,855 |
* | Regeneron Pharmaceuticals, Inc. | 521,727 | 9,579 |
* | Auxilium Pharmaceuticals, Inc. | 334,265 | 9,506 |
*,^ | Amedisys Inc. | 227,695 | 9,413 |
* | Sequenom, Inc. | 458,420 | 9,095 |
* | Kinetic Concepts, Inc. | 464,596 | 8,911 |
| Mentor Corp. | 287,996 | 8,908 |
| Meridian Bioscience Inc. | 341,186 | 8,690 |
* | HLTH Corp. | 824,260 | 8,622 |
* | Alkermes, Inc. | 800,069 | 8,521 |
| Martek Biosciences Corp. | 280,735 | 8,509 |
* | Healthspring, Inc. | 425,230 | 8,492 |
| Hill-Rom Holdings, Inc. | 507,726 | 8,357 |
* | Varian, Inc. | 249,220 | 8,351 |
* | HealthSouth Corp. | 749,462 | 8,214 |
| Chemed Corp. | 196,099 | 7,799 |
* | ViroPharma Inc. | 592,249 | 7,711 |
* | Celera Corp. | 685,989 | 7,635 |
* | Centene Corp. | 368,925 | 7,272 |
* | Catalyst Health Solutions, Inc. | 293,693 | 7,151 |
* | Luminex Corp. | 333,485 | 7,123 |
* | Dionex Corp. | 157,301 | 7,055 |
* | Alnylam Pharmaceuticals Inc. | 279,594 | 6,914 |
* | Gentiva Health Services, Inc. | 230,627 | 6,748 |
| Medicis Pharmaceutical Corp. | 484,502 | 6,735 |
* | Wright Medical Group, Inc. | 321,351 | 6,565 |
* | The Medicines Co. | 442,477 | 6,518 |
* | HMS Holdings Corp. | 203,031 | 6,400 |
| Cooper Cos., Inc. | 386,106 | 6,332 |
| PDL BioPharma Inc. | 1,023,464 | 6,325 |
* | AmSurg Corp. | 270,659 | 6,317 |
* | Integra LifeSciences Holdings | 176,638 | 6,283 |
* | Acorda Therapeutics Inc. | 301,240 | 6,178 |
*,^ | AthenaHealth Inc. | 158,283 | 5,955 |
* | Eclipsys Corp. | 418,125 | 5,933 |
| Datascope Corp. | 113,402 | 5,924 |
* | CONMED Corp. | 246,282 | 5,896 |
| Landauer, Inc. | 78,701 | 5,769 |
* | Medarex, Inc. | 1,031,561 | 5,756 |
* | American Medical Systems Holdings, Inc. | 626,885 | 5,636 |
* | Exelixis, Inc. | 1,056,164 | 5,302 |
* | AMAG Pharmaceuticals, Inc. | 147,497 | 5,288 |
* | CV Therapeutics, Inc. | 572,832 | 5,276 |
| Allscripts Healthcare Solutions, Inc. | 523,300 | 5,191 |
* | Greatbatch, Inc. | 195,085 | 5,162 |
*,^ | Theravance, Inc. | 408,873 | 5,066 |
* | Cepheid, Inc. | 487,010 | 5,055 |
* | Xenoport Inc. | 193,265 | 4,847 |
* | Seattle Genetics, Inc. | 526,757 | 4,709 |
* | Tenet Healthcare Corp. | 4,046,063 | 4,653 |
* | PAREXEL International Corp. | 467,856 | 4,543 |
* | WellCare Health Plans Inc. | 348,210 | 4,478 |
* | Merit Medical Systems, Inc. | 247,537 | 4,438 |
* | LHC Group Inc. | 120,306 | 4,331 |
| Invacare Corp. | 276,782 | 4,296 |
*,^ | Dendreon Corp. | 926,130 | 4,242 |
* | Cyberonics, Inc. | 255,677 | 4,237 |
* | PharMerica Corp. | 268,099 | 4,201 |
* | Phase Forward Inc. | 330,109 | 4,133 |
* | Volcano Corp. | 264,393 | 3,966 |
* | Salix Pharmaceuticals, Ltd. | 444,120 | 3,922 |
* | Halozyme Therapeutics Inc. | 693,346 | 3,883 |
* | Questcor Pharmaceuticals, Inc. | 417,023 | 3,882 |
* | Par Pharmaceutical Cos. Inc. | 288,228 | 3,865 |
* | Align Technology, Inc. | 434,845 | 3,805 |
* | Conceptus, Inc. | 244,596 | 3,723 |
* | Abraxis BioScience | 56,441 | 3,721 |
* | Nektar Therapeutics | 659,051 | 3,664 |
* | Kendle International Inc. | 135,998 | 3,498 |
* | Res-Care, Inc. | 231,419 | 3,476 |
* | ABIOMED, Inc. | 210,979 | 3,464 |
* | Allos Therapeutics Inc. | 562,196 | 3,441 |
* | Kindred Healthcare, Inc. | 254,980 | 3,320 |
* | SonoSite, Inc. | 173,872 | 3,317 |
* | Health Management Associates Class A | 1,830,819 | 3,277 |
*,^ | InterMune Inc. | 309,510 | 3,275 |
* | Advanced Medical Optics, Inc. | 494,962 | 3,272 |
* | Quidel Corp. | 249,720 | 3,264 |
* | Healthways, Inc. | 283,444 | 3,254 |
* | Ligand Pharmaceuticals Inc. Class B | 1,187,496 | 3,254 |
* | Arena Pharmaceuticals, Inc. | 775,090 | 3,232 |
* | Zoll Medical Corp. | 168,963 | 3,192 |
* | ICU Medical, Inc. | 94,846 | 3,143 |
* | Hanger Orthopedic Group, Inc. | 215,913 | 3,133 |
*,^ | SurModics, Inc. | 123,829 | 3,129 |
| Teva Pharmaceutical Industries Ltd. Sponsored ADR | 72,751 | 3,097 |
* | Savient Pharmaceuticals Inc. | 528,155 | 3,058 |
* | Sun Healthcare Group Inc. | 343,939 | 3,044 |
* | Momenta Pharmaceuticals, Inc. | 260,373 | 3,020 |
*,^ | Geron Corp. | 644,651 | 3,011 |
* | ev3 Inc. | 492,624 | 3,005 |
* | Progenics Pharmaceuticals, Inc. | 289,281 | 2,982 |
| Analogic Corp. | 108,436 | 2,958 |
| Computer Programs and Systems, Inc. | 110,357 | 2,958 |
* | Universal American Corp. | 333,214 | 2,939 |
* | Incyte Corp. | 763,116 | 2,892 |
* | Natus Medical Inc. | 220,785 | 2,859 |
* | inVentiv Health, Inc. | 247,435 | 2,855 |
* | MedAssets, Inc. | 193,405 | 2,824 |
* | Human Genome Sciences, Inc. | 1,328,339 | 2,816 |
* | Bio-Reference Laboratories, Inc. | 107,213 | 2,812 |
* | AngioDynamics, Inc. | 201,413 | 2,757 |
*,^ | Enzon Pharmaceuticals, Inc. | 470,932 | 2,746 |
* | Cougar Biotechnology Inc. | 104,580 | 2,719 |
* | Omnicell, Inc. | 221,381 | 2,703 |
* | NPS Pharmaceuticals Inc. | 432,486 | 2,686 |
*,^ | Indevus Pharmaceuticals, Inc. | 854,242 | 2,682 |
* | Rigel Pharmaceuticals, Inc. | 328,143 | 2,625 |
*,^ | MannKind Corp. | 762,398 | 2,615 |
*,^ | Medivation Inc. | 179,175 | 2,611 |
* | eResearch Technology, Inc. | 384,379 | 2,548 |
* | Albany Molecular Research, Inc. | 261,116 | 2,543 |
* | AMN Healthcare Services, Inc. | 291,033 | 2,462 |
* | IRIS International, Inc. | 174,050 | 2,426 |
* | Odyssey Healthcare, Inc. | 262,156 | 2,425 |
* | Cypress Bioscience, Inc. | 349,232 | 2,389 |
* | Cross Country Healthcare, Inc. | 270,861 | 2,381 |
* | Abaxis, Inc. | 147,793 | 2,369 |
* | Neogen Corp. | 94,557 | 2,362 |
* | Assisted Living Concepts Inc. | 563,748 | 2,340 |
* | RehabCare Group, Inc. | 154,153 | 2,337 |
*,^ | Emeritus Corp. | 231,043 | 2,317 |
| National Healthcare Corp. | 43,898 | 2,223 |
* | Orthovita, Inc. | 642,714 | 2,179 |
* | Pain Therapeutics, Inc. | 366,418 | 2,169 |
* | Vivus, Inc. | 407,055 | 2,166 |
* | Emergency Medical Services LP Class A | 58,961 | 2,159 |
* | Nabi Biopharmaceuticals | 634,996 | 2,127 |
* | CorVel Corp. | 96,544 | 2,122 |
* | Somanetics Corp. | 124,990 | 2,064 |
* | Bruker BioSciences Corp. | 504,538 | 2,038 |
* | CryoLife Inc. | 209,828 | 2,037 |
* | Rochester Medical Corp. | 132,214 | 2,033 |
* | Matrixx Initiatives, Inc. | 123,017 | 2,029 |
* | Cytokinetics, Inc. | 707,530 | 2,016 |
* | Cantel Medical Corp. | 136,048 | 1,996 |
* | Almost Family Inc. | 44,100 | 1,984 |
* | Noven Pharmaceuticals, Inc. | 179,900 | 1,979 |
* | Symmetry Medical Inc. | 247,590 | 1,973 |
* | Alliance Imaging, Inc. | 246,155 | 1,962 |
* | Durect Corp. | 567,192 | 1,923 |
* | Facet Biotech Corp. | 200,402 | 1,922 |
* | Idenix Pharmaceuticals Inc. | 327,456 | 1,896 |
* | US Physical Therapy, Inc. | 140,072 | 1,867 |
* | MWI Veterinary Supply Inc. | 68,149 | 1,837 |
*,^ | Stereotaxis Inc. | 407,851 | 1,795 |
* | Genoptix, Inc. | 52,208 | 1,779 |
* | Air Methods Corp. | 111,040 | 1,776 |
* | Accuray Inc. | 342,915 | 1,769 |
* | America Service Group Inc. | 164,472 | 1,760 |
*,^ | Osiris Therapeutics, Inc. | 91,228 | 1,748 |
* | Synovis Life Technologies, Inc. | 91,575 | 1,716 |
* | Neurocrine Biosciences, Inc. | 530,723 | 1,698 |
* | Molina Healthcare Inc. | 96,383 | 1,697 |
* | Lexicon Pharmaceuticals Inc. | 1,208,400 | 1,692 |
* | Palomar Medical Technologies, Inc. | 143,455 | 1,654 |
* | Skilled Healthcare Group Inc. | 195,635 | 1,651 |
* | Orthofix International N.V. | 105,744 | 1,621 |
* | Inspire Pharmaceuticals, Inc. | 446,506 | 1,607 |
*,^ | GTx, Inc. | 94,941 | 1,599 |
* | Affymetrix, Inc. | 532,716 | 1,593 |
* | Accelrys Inc. | 364,048 | 1,587 |
* | Repligen Corp. | 411,926 | 1,557 |
* | ATS Medical, Inc. | 558,275 | 1,552 |
* | Pharmasset, Inc. | 118,344 | 1,551 |
* | Exactech, Inc. | 90,121 | 1,518 |
* | Genomic Health, Inc. | 77,433 | 1,508 |
*,^ | Novavax, Inc. | 797,003 | 1,506 |
* | Maxygen Inc. | 168,769 | 1,505 |
* | Nighthawk Radiology Holdings, Inc. | 309,350 | 1,503 |
* | Insulet Corp. | 193,991 | 1,498 |
*,^ | BMP Sunstone Corp. | 263,040 | 1,465 |
* | MedCath Corp. | 135,569 | 1,415 |
* | OraSure Technologies, Inc. | 371,267 | 1,366 |
* | Optimer Pharmaceuticals Inc. | 112,373 | 1,361 |
* | ImmunoGen, Inc. | 314,453 | 1,349 |
*,^ | Synta Pharmaceuticals Corp. | 219,979 | 1,346 |
* | Vital Images, Inc. | 94,581 | 1,316 |
* | Kensey Nash Corp. | 67,582 | 1,312 |
*,^ | Pozen Inc. | 258,818 | 1,304 |
*,^ | StemCells, Inc. | 952,851 | 1,296 |
*,^ | Sangamo BioSciences, Inc. | 371,565 | 1,293 |
* | Dyax Corp. | 327,372 | 1,192 |
*,^ | Discovery Laboratories, Inc. | 1,053,042 | 1,179 |
* | Enzo Biochem, Inc. | 239,491 | 1,171 |
* | I-Flow Corp. | 243,886 | 1,171 |
* | Vascular Solutions, Inc. | 128,522 | 1,159 |
* | Sirona Dental Systems Inc. | 108,096 | 1,135 |
* | TomoTherapy, Inc. | 473,672 | 1,127 |
* | Obagi Medical Products, Inc. | 150,096 | 1,120 |
* | Cambrex Corp. | 240,407 | 1,111 |
*,^ | Metabolix Inc. | 83,645 | 1,064 |
* | Aspect Medical Systems, Inc. | 308,378 | 1,039 |
*,^ | ArthroCare Corp. | 216,197 | 1,031 |
* | NxStage Medical, Inc. | 382,676 | 1,022 |
* | VNUS Medical Technologies, Inc. | 62,540 | 1,014 |
* | Array BioPharma Inc. | 249,381 | 1,010 |
* | Dexcom Inc. | 363,042 | 1,002 |
* | Orexigen Therapeutics Inc. | 177,420 | 990 |
* | Chindex International, Inc. | 123,400 | 981 |
* | BioScrip Inc. | 441,374 | 980 |
* | SuperGen, Inc. | 503,546 | 962 |
* | Immunomedics Inc. | 560,439 | 953 |
* | IPC The Hospitalist Co. | 56,391 | 949 |
* | ArQule, Inc. | 224,047 | 945 |
* | Hi-Tech Pharmacal Co., Inc. | 168,968 | 936 |
* | Triple-S Management Corp. | 81,337 | 935 |
* | XOMA Ltd. | 1,507,184 | 934 |
*,^ | Zymogenetics, Inc. | 309,296 | 928 |
* | K-V Pharmaceutical Co. Class A | 321,707 | 927 |
* | Medical Action Industries Inc. | 92,462 | 925 |
| Young Innovations, Inc. | 59,506 | 916 |
* | Alexza Pharmaceuticals, Inc. | 284,976 | 903 |
*,^ | Poniard Pharmaceuticals, Inc. | 454,320 | 877 |
* | RTI Biologics, Inc. | 305,779 | 844 |
* | Adolor Corp. | 501,626 | 833 |
* | Five Star Quality Care, Inc. | 540,802 | 827 |
* | Cutera, Inc. | 92,440 | 820 |
* | American Dental Partners, Inc. | 116,748 | 810 |
* | Celldex Therapeutics, Inc. | 100,634 | 797 |
* | Santarus Inc. | 506,995 | 796 |
* | Affymax Inc. | 78,003 | 779 |
* | Allion Healthcare Inc. | 187,078 | 771 |
*,^ | Akorn, Inc. | 330,427 | 760 |
*,^ | Idera Pharmaceuticals, Inc. | 95,544 | 734 |
*,^ | MiddleBrook Pharmaceuticals Inc. | 473,043 | 710 |
* | Endologix, Inc. | 573,483 | 688 |
* | Spectranetics Corp. | 261,471 | 682 |
* | DepoMed, Inc. | 411,837 | 680 |
*,^ | AspenBio Pharma, Inc. | 108,861 | 672 |
* | HealthTronics Surgical Services, Inc. | 294,229 | 662 |
* | STAAR Surgical Co. | 276,576 | 658 |
*,^ | RadNet, Inc. | 193,022 | 647 |
*,^ | Monogram Biosciences Inc. | 244,698 | 636 |
* | Capital Senior Living Corp. | 210,791 | 628 |
* | ARIAD Pharmaceuticals, Inc. | 722,473 | 614 |
*,^ | Biodel Inc. | 125,832 | 607 |
| Psychemedics Corp. | 92,927 | 600 |
* | Theragenics Corp. | 507,866 | 594 |
* | Micrus Endovascular Corp. | 51,071 | 593 |
* | Amicas, Inc. | 343,233 | 573 |
* | Harvard Bioscience, Inc. | 213,550 | 566 |
* | Cardiac Science Corp. | 75,296 | 565 |
* | Caraco Pharmaceutical Laboratories, Ltd. | 93,803 | 555 |
* | Senomyx, Inc. | 198,113 | 553 |
*,^ | Micromet, Inc. | 125,981 | 549 |
* | Penwest Pharmaceuticals Co. | 348,379 | 547 |
*,^ | Emageon Inc. | 280,649 | 519 |
* | Columbia Laboratories Inc. | 406,673 | 516 |
* | Infinity Pharmaceuticals, Inc. | 63,823 | 510 |
*,^ | Peregrine Pharmaceuticals, Inc. | 1,747,004 | 507 |
* | SciClone Pharmaceuticals, Inc. | 658,199 | 487 |
* | BioLase Technology, Inc. | 321,661 | 479 |
* | Life Sciences Research, Inc. | 50,155 | 471 |
* | National Dentex Corp. | 102,976 | 469 |
* | CPEX Pharmaceuticals, Inc. | 47,290 | 461 |
| Utah Medical Products, Inc. | 20,958 | 460 |
* | Cynosure Inc. | 50,100 | 457 |
| Atrion Corp. | 4,565 | 443 |
* | PDI, Inc. | 107,404 | 431 |
*,^ | AVI BioPharma, Inc. | 654,511 | 431 |
| LCA-Vision Inc. | 101,768 | 418 |
* | Emergent BioSolutions Inc. | 15,900 | 415 |
* | Cadence Pharmaceuticals, Inc. | 55,657 | 402 |
*,^ | Hansen Medical Inc. | 55,484 | 401 |
* | Continucare Corp. | 184,921 | 390 |
* | Vical, Inc. | 264,045 | 372 |
*,^ | Clinical Data, Inc. | 39,408 | 351 |
* | Allied Healthcare International Inc. | 313,979 | 342 |
| Ensign Group Inc. | 20,300 | 340 |
*,^ | Arrowhead Research Corp. | 358,422 | 337 |
* | Anika Resh Inc. | 110,450 | 336 |
* | Icad Inc. | 302,874 | 333 |
*,^ | Opko Health, Inc. | 204,106 | 331 |
*,^ | BioCryst Pharmaceuticals, Inc. | 232,393 | 318 |
*,^ | Altus Pharmaceuticals, Inc. | 593,089 | 314 |
* | Osteotech, Inc. | 184,160 | 311 |
*,^ | GenVec, Inc. | 705,395 | 303 |
* | Strategic Diagnostics Inc. | 328,955 | 293 |
* | BioSphere Medical Inc. | 149,120 | 288 |
* | Cerus Corp. | 409,092 | 286 |
* | Curis, Inc. | 374,734 | 281 |
*,^ | Aastrom Biosciences, Inc. | 546,506 | 273 |
* | Rural/Metro Corp. | 151,581 | 271 |
*,^ | CombiMatrix Corp. | 36,330 | 252 |
*,^ | Javelin Pharmaceuticals, Inc. | 199,534 | 249 |
* | Clarient, Inc. | 151,318 | 247 |
| Daxor Corp. | 15,600 | 240 |
* | Spectrum Pharmaceuticals Inc. | 163,470 | 239 |
*,^ | Generex Biotechnology Corp. | 750,520 | 233 |
* | Genelabs Technologies, Inc. | 176,821 | 228 |
* | Anadys Pharmaceuticals Inc. | 132,765 | 208 |
* | Mediware Information Systems, Inc. | 43,156 | 207 |
* | Corcept Therapeutics Inc. | 189,853 | 196 |
| Trimeris, Inc. | 144,435 | 192 |
* | Biomimetic Therapeutics, Inc. | 20,636 | 190 |
*,^ | Insmed Inc. | 393,333 | 185 |
* | Lannett Co., Inc. | 34,400 | 172 |
* | EPIX Pharmaceuticals Inc. | 156,947 | 162 |
* | Sonic Innovations, Inc. | 161,037 | 161 |
* | Caliper Life Sciences, Inc. | 152,126 | 148 |
* | Avigen, Inc. | 192,822 | 147 |
* | Animal Health International, Inc. | 67,106 | 143 |
* | Telik, Inc. | 361,828 | 137 |
*,^ | Hythiam Inc. | 348,637 | 136 |
* | NMT Medical, Inc. | 133,618 | 127 |
* | DUSA Pharmaceuticals, Inc. | 119,563 | 126 |
* | La Jolla Pharmaceutical Co. | 211,944 | 123 |
* | RXi Pharmaceuticals Corp. | 20,997 | 121 |
* | The Quigley Corp. | 27,574 | 113 |
*,^ | BioSante Pharmaceuticals, Inc. | 108,792 | 111 |
* | Hemispherx Biopharma, Inc. | 315,885 | 111 |
*,^ | Vanda Parmaceuticals, Inc. | 213,661 | 109 |
* | Orchid Cellmark, Inc. | 164,663 | 109 |
* | Avanir Pharmaceuticals Class A | 247,859 | 102 |
* | Ista Pharmaceuticals Inc. | 131,112 | 94 |
* | Alphatec Holdings, Inc. | 40,065 | 94 |
*,^ | deCODE genetics, Inc. | 505,497 | 94 |
* | PhotoMedex, Inc. | 435,051 | 92 |
*,^ | Hollis-Eden Pharmaceuticals, Inc. | 128,424 | 87 |
* | Candela Corp. | 160,009 | 85 |
* | ThermoGenesis Corp. | 196,394 | 84 |
* | Repros Therapeutics, Inc. | 7,976 | 84 |
* | Dynavax Technologies Corp. | 98,455 | 83 |
* | Orthologic Corp. | 195,946 | 82 |
* | Emisphere Technologies, Inc. | 103,751 | 82 |
* | Hooper Holmes, Inc. | 325,121 | 81 |
* | SRI/Surgical Express, Inc. | 45,760 | 78 |
* | Nuvelo, Inc. | 249,103 | 75 |
* | EntreMed, Inc. | 395,759 | 63 |
* | Heska Corp. | 244,014 | 61 |
* | GTC Biotherapeutics, Inc. | 185,768 | 59 |
*,^ | Antigenics, Inc. | 115,635 | 55 |
* | Retractable Technologies, Inc. | 63,034 | 54 |
*,^ | Molecular Insight Pharmaceuticals, Inc. | 12,300 | 53 |
* | SCOLR Pharma Inc. | 82,225 | 52 |
*,^ | Cell Genesys, Inc. | 209,302 | 46 |
* | Targacept, Inc. | 12,806 | 46 |
* | Insite Vision, Inc. | 232,018 | 44 |
* | Combinatorx, Inc. | 70,600 | 44 |
| Cytrx Corp. | 136,600 | 42 |
* | NexMed, Inc. | 316,001 | 42 |
*,^ | Minrad International, Inc. | 341,491 | 38 |
*,^ | Nanogen, Inc. | 255,983 | 36 |
* | Neose Technologies, Inc. | 105,260 | 36 |
* | Digirad Corp. | 57,873 | 34 |
* | IVAX Diagnostics, Inc. | 61,215 | 32 |
| Brookdale Senior Living Inc. | 5,091 | 28 |
* | Celsion Corp. | 11,000 | 25 |
* | Providence Service Corp. | 15,321 | 22 |
* | Pharmacyclics, Inc. | 27,890 | 22 |
* | CuraGen Corp. | 46,788 | 22 |
* | Acadia Pharmaceuticals Inc. | 22,275 | 20 |
* | Northstar Neuroscience, Inc. | 11,416 | 14 |
*,^ | Hana Biosciences, Inc. | 41,300 | 9 |
* | Panacos Pharmaceuticals Inc. | 56,876 | 8 |
* | Acusphere, Inc. | 103,950 | 7 |
* | Inhibitex Inc. | 24,180 | 7 |
* | Sunrise Senior Living, Inc. | 3,859 | 6 |
* | Neurobiological Technolgoies, Inc. | 14,300 | 5 |
* | K-V Pharmaceutical Co. Class B | 500 | 1 |
* | Oscient Pharmaceuticals Corp. | 4,268 | 1 |
* | Neurogen Corp. | 2,800 | — |
* | Palatin Technologies, Inc. | 6 | — |
| | | 11,805,947 |
Industrials (11.3%) | | |
| General Electric Co. | 88,768,218 | 1,438,045 |
| United Technologies Corp. | 7,748,246 | 415,306 |
| 3M Co. | 5,616,274 | 323,160 |
| United Parcel Service, Inc. | 5,769,761 | 318,260 |
| The Boeing Co. | 5,947,540 | 253,782 |
| Emerson Electric Co. | 6,562,740 | 240,262 |
| Lockheed Martin Corp. | 2,849,329 | 239,572 |
| Caterpillar, Inc. | 5,148,217 | 229,971 |
| Burlington Northern Santa Fe Corp. | 2,913,017 | 220,545 |
| Union Pacific Corp. | 4,306,189 | 205,836 |
| Honeywell International Inc. | 5,981,140 | 196,361 |
| Raytheon Co. | 3,506,124 | 178,953 |
| General Dynamics Corp. | 2,855,853 | 164,469 |
| FedEx Corp. | 2,500,532 | 160,409 |
| Norfolk Southern Corp. | 3,174,158 | 149,344 |
| Deere & Co. | 3,645,151 | 139,682 |
| Waste Management, Inc. | 4,148,993 | 137,498 |
| Illinois Tool Works, Inc. | 3,515,361 | 123,213 |
| Danaher Corp. | 2,158,860 | 122,213 |
| Northrop Grumman Corp. | 2,713,052 | 122,196 |
| CSX Corp. | 3,448,902 | 111,986 |
| Tyco International, Ltd. | 4,017,859 | 86,786 |
| PACCAR, Inc. | 2,922,164 | 83,574 |
| C.H. Robinson Worldwide Inc. | 1,438,278 | 79,148 |
| L-3 Communications Holdings, Inc. | 1,027,982 | 75,845 |
| Republic Services, Inc. Class A | 3,032,576 | 75,178 |
| Precision Castparts Corp. | 1,179,896 | 70,180 |
| Fluor Corp. | 1,515,670 | 68,008 |
| ITT Industries, Inc. | 1,462,342 | 67,253 |
| Eaton Corp. | 1,335,965 | 66,411 |
| Parker Hannifin Corp. | 1,420,141 | 60,413 |
| Expeditors International of Washington, Inc. | 1,803,177 | 59,992 |
| Southwest Airlines Co. | 6,217,167 | 53,592 |
| Rockwell Collins, Inc. | 1,348,944 | 52,730 |
| Dover Corp. | 1,590,281 | 52,352 |
* | Jacobs Engineering Group Inc. | 1,037,405 | 49,899 |
| Ingersoll-Rand Co. | 2,699,215 | 46,831 |
* | First Solar, Inc. | 338,482 | 46,697 |
| Pitney Bowes, Inc. | 1,759,656 | 44,836 |
| Cummins Inc. | 1,632,471 | 43,636 |
| W.W. Grainger, Inc. | 549,228 | 43,301 |
| Cooper Industries, Inc. Class A | 1,473,108 | 43,059 |
* | Iron Mountain, Inc. | 1,622,517 | 40,125 |
| Goodrich Corp. | 1,058,955 | 39,203 |
| Rockwell Automation, Inc. | 1,172,902 | 37,814 |
* | Stericycle, Inc. | 723,614 | 37,686 |
^ | Fastenal Co. | 1,067,964 | 37,219 |
| The Dun & Bradstreet Corp. | 462,690 | 35,720 |
| Masco Corp. | 3,124,522 | 34,776 |
| Roper Industries Inc. | 759,233 | 32,958 |
* | Delta Air Lines Inc. | 2,577,946 | 29,543 |
* | Quanta Services, Inc. | 1,481,458 | 29,333 |
* | URS Corp. | 716,651 | 29,218 |
| Textron, Inc. | 2,105,119 | 29,198 |
| Pall Corp. | 1,015,175 | 28,861 |
| Equifax, Inc. | 1,088,001 | 28,854 |
* | Foster Wheeler Ltd. | 1,223,075 | 28,595 |
| Ametek, Inc. | 905,587 | 27,358 |
| Cintas Corp. | 1,170,400 | 27,188 |
| Avery Dennison Corp. | 811,676 | 26,566 |
| Robert Half International, Inc. | 1,253,005 | 26,088 |
| Flowserve Corp. | 486,142 | 25,036 |
| R.R. Donnelley & Sons Co. | 1,776,833 | 24,129 |
* | Alliant Techsystems, Inc. | 279,628 | 23,981 |
* | Covanta Holding Corp. | 1,044,410 | 22,935 |
| Manpower Inc. | 674,464 | 22,925 |
* | AMR Corp. | 2,130,893 | 22,737 |
| KBR Inc. | 1,440,906 | 21,902 |
| Joy Global Inc. | 917,629 | 21,005 |
* | Waste Connections, Inc. | 660,576 | 20,854 |
| Donaldson Co., Inc. | 596,255 | 20,064 |
| Harsco Corp. | 714,344 | 19,773 |
* | FTI Consulting, Inc. | 429,712 | 19,200 |
* | McDermott International, Inc. | 1,930,187 | 19,070 |
| Pentair, Inc. | 798,326 | 18,896 |
| SPX Corp. | 460,563 | 18,676 |
| Ryder System, Inc. | 480,018 | 18,615 |
| Lincoln Electric Holdings, Inc. | 363,784 | 18,528 |
* | AGCO Corp. | 779,038 | 18,378 |
| J.B. Hunt Transport Services, Inc. | 691,447 | 18,164 |
| Watson Wyatt & Co. Holdings | 367,446 | 17,571 |
* | Corrections Corp. of America | 1,060,620 | 17,352 |
* | Aecom Technology Corp. | 564,428 | 17,345 |
| Landstar System, Inc. | 449,140 | 17,260 |
| IDEX Corp. | 701,580 | 16,943 |
* | Copart, Inc. | 620,644 | 16,875 |
* | Continental Airlines, Inc. Class B | 932,270 | 16,837 |
| Wabtec Corp. | 391,797 | 15,574 |
* | Kansas City Southern | 773,551 | 14,736 |
* | Shaw Group, Inc. | 709,844 | 14,531 |
| Kennametal, Inc. | 647,895 | 14,377 |
* | Terex Corp. | 826,446 | 14,314 |
| MSC Industrial Direct Co., Inc. Class A | 378,401 | 13,937 |
| The Timken Co. | 696,793 | 13,678 |
| CLARCOR Inc. | 410,836 | 13,632 |
| Hubbell Inc. Class B | 409,302 | 13,376 |
| Lennox International Inc. | 398,794 | 12,877 |
| GATX Corp. | 415,041 | 12,854 |
* | Teledyne Technologies, Inc. | 287,803 | 12,822 |
| Curtiss-Wright Corp. | 380,375 | 12,701 |
* | EMCOR Group, Inc. | 556,152 | 12,474 |
*,^ | JetBlue Airways Corp. | 1,728,850 | 12,275 |
*,^ | SunPower Corp. Class A | 330,876 | 12,242 |
* | Tetra Tech, Inc. | 505,640 | 12,211 |
| Granite Construction Co. | 276,554 | 12,149 |
| Graco, Inc. | 508,555 | 12,068 |
* | Moog Inc. | 329,228 | 12,040 |
| Acuity Brands, Inc. | 344,257 | 12,018 |
* | Kirby Corp. | 435,782 | 11,923 |
| Woodward Governor Co. | 515,577 | 11,869 |
| UAL Corp. | 1,072,979 | 11,824 |
| Bucyrus International, Inc. | 634,550 | 11,752 |
* | Thomas & Betts Corp. | 487,694 | 11,714 |
* | Monster Worldwide Inc. | 964,601 | 11,662 |
* | Navistar International Corp. | 541,873 | 11,585 |
* | Clean Harbors Inc. | 180,107 | 11,426 |
* | Owens Corning Inc. | 658,252 | 11,388 |
| Trinity Industries, Inc. | 696,540 | 10,977 |
| UTI Worldwide, Inc. | 759,647 | 10,893 |
* | SunPower Corp. Class B | 357,051 | 10,869 |
| Carlisle Co., Inc. | 519,255 | 10,749 |
| The Toro Co. | 320,519 | 10,577 |
* | Gardner Denver Inc. | 452,310 | 10,557 |
| Regal-Beloit Corp. | 273,714 | 10,398 |
| Con-way, Inc. | 390,267 | 10,381 |
| The Brink’s Co. | 381,051 | 10,243 |
| Brady Corp. Class A | 425,712 | 10,196 |
*,^ | Energy Conversion Devices, Inc. | 388,435 | 9,792 |
* | Orbital Sciences Corp. | 499,354 | 9,752 |
* | Huron Consulting Group Inc. | 168,016 | 9,622 |
| The Manitowoc Co., Inc. | 1,108,947 | 9,603 |
* | Esterline Technologies Corp. | 252,227 | 9,557 |
| Valmont Industries, Inc. | 155,478 | 9,540 |
^ | Simpson Manufacturing Co. | 329,021 | 9,134 |
| Skywest, Inc. | 488,804 | 9,092 |
* | ESCO Technologies Inc. | 221,690 | 9,078 |
| Actuant Corp. | 473,567 | 9,007 |
* | Spirit Aerosystems Holdings Inc. | 879,177 | 8,941 |
* | Alaska Air Group, Inc. | 304,941 | 8,920 |
| Alexander & Baldwin, Inc. | 350,547 | 8,785 |
| Nordson Corp. | 262,339 | 8,471 |
* | GrafTech International Ltd. | 1,013,030 | 8,428 |
* | Hub Group, Inc. | 316,195 | 8,389 |
| Heartland Express, Inc. | 531,311 | 8,373 |
* | Genesee & Wyoming Inc. Class A | 273,217 | 8,333 |
| Knight Transportation, Inc. | 509,055 | 8,206 |
| Kaydon Corp. | 236,237 | 8,115 |
| Watsco, Inc. | 209,200 | 8,033 |
* | General Cable Corp. | 451,039 | 7,979 |
| Mueller Industries Inc. | 314,903 | 7,898 |
* | Geo Group Inc. | 437,028 | 7,880 |
| Belden Inc. | 367,657 | 7,677 |
* | TransDigm Group, Inc. | 225,862 | 7,582 |
| Briggs & Stratton Corp. | 422,244 | 7,427 |
| ABM Industries Inc. | 386,636 | 7,365 |
| Crane Co. | 407,830 | 7,031 |
| Rollins, Inc. | 388,372 | 7,022 |
* | US Airways Group Inc. | 895,185 | 6,920 |
* | WESCO International, Inc. | 358,533 | 6,895 |
| Werner Enterprises, Inc. | 395,404 | 6,856 |
* | Old Dominion Freight Line, Inc. | 240,245 | 6,837 |
* | United Stationers, Inc. | 198,621 | 6,652 |
* | Navigant Consulting, Inc. | 414,952 | 6,585 |
* | BE Aerospace, Inc. | 852,701 | 6,557 |
| Deluxe Corp. | 435,836 | 6,520 |
| Otter Tail Corp. | 278,850 | 6,506 |
| The Corporate Executive Board Co. | 288,334 | 6,361 |
| Baldor Electric Co. | 353,084 | 6,303 |
| Mine Safety Appliances Co. | 260,891 | 6,238 |
* | AAR Corp. | 338,447 | 6,231 |
| Arkansas Best Corp. | 206,382 | 6,214 |
| Watts Water Technologies, Inc. | 248,252 | 6,199 |
* | Hertz Global Holdings Inc. | 1,217,435 | 6,172 |
| Herman Miller, Inc. | 473,141 | 6,165 |
| Applied Industrial Technology, Inc. | 324,766 | 6,145 |
| Forward Air Corp. | 248,793 | 6,038 |
* | Resources Connection, Inc. | 368,122 | 6,030 |
* | Hexcel Corp. | 814,617 | 6,020 |
| Triumph Group, Inc. | 141,284 | 5,999 |
* | MPS Group, Inc. | 795,604 | 5,991 |
*,^ | American Superconductor Corp. | 350,616 | 5,719 |
| Barnes Group, Inc. | 391,813 | 5,681 |
| Oshkosh Truck Corp. | 638,069 | 5,672 |
| American Science & Engineering, Inc. | 75,113 | 5,555 |
| Healthcare Services Group, Inc. | 348,542 | 5,552 |
* | AirTran Holdings, Inc. | 1,236,145 | 5,488 |
^ | HNI Corp. | 342,783 | 5,430 |
* | Sykes Enterprises, Inc. | 281,898 | 5,390 |
* | Beacon Roofing Supply, Inc. | 380,685 | 5,284 |
* | CoStar Group, Inc. | 159,181 | 5,243 |
* | Perini Corp. | 223,943 | 5,236 |
| Mueller Water Products, Inc. | 618,799 | 5,223 |
* | USG Corp. | 634,657 | 5,103 |
* | Allegiant Travel Co. | 104,004 | 5,051 |
| A.O. Smith Corp. | 168,098 | 4,962 |
* | Astec Industries, Inc. | 155,361 | 4,867 |
* | Force Protection, Inc. | 776,330 | 4,642 |
| Administaff, Inc. | 207,974 | 4,501 |
* | Korn/Ferry International | 390,568 | 4,460 |
* | Mastec Inc. | 381,974 | 4,423 |
| Franklin Electric, Inc. | 155,144 | 4,361 |
* | Axsys Technologies, Inc. | 79,356 | 4,353 |
| Ameron International Corp. | 68,278 | 4,296 |
* | Ceradyne, Inc. | 209,949 | 4,264 |
| Armstrong Worldwide Industries, Inc. | 196,340 | 4,245 |
* | Team, Inc. | 148,650 | 4,118 |
* | United Rentals, Inc. | 445,437 | 4,062 |
* | II-VI, Inc. | 210,189 | 4,013 |
| Robbins & Myers, Inc. | 248,086 | 4,012 |
* | Insituform Technologies Inc. Class A | 203,503 | 4,007 |
| Cubic Corp. | 147,239 | 4,005 |
* | School Specialty, Inc. | 201,344 | 3,850 |
* | Layne Christensen Co. | 160,167 | 3,846 |
* | CBIZ Inc. | 443,815 | 3,839 |
| Kaman Corp. Class A | 211,309 | 3,831 |
* | Griffon Corp. | 408,233 | 3,809 |
* | EnPro Industries, Inc. | 173,715 | 3,742 |
| Comfort Systems USA, Inc. | 341,723 | 3,643 |
| CIRCOR International, Inc. | 132,422 | 3,642 |
| McGrath RentCorp | 170,030 | 3,632 |
* | TrueBlue, Inc. | 378,745 | 3,625 |
| Tredegar Corp. | 198,144 | 3,602 |
| Viad Corp. | 144,866 | 3,584 |
*,^ | Evergreen Solar, Inc. | 1,111,305 | 3,545 |
*,^ | The Middleby Corp. | 129,914 | 3,543 |
* | Mobile Mini, Inc. | 244,566 | 3,527 |
*,^ | RSC Holdings Inc. | 413,492 | 3,523 |
| Knoll, Inc. | 389,785 | 3,516 |
| Gorman-Rupp Co. | 111,921 | 3,483 |
| EnergySolutions | 578,724 | 3,270 |
* | Republic Airways Holdings Inc. | 306,126 | 3,266 |
| Universal Forest Products, Inc. | 120,948 | 3,255 |
* | Blount International, Inc. | 342,011 | 3,242 |
| Raven Industries, Inc. | 133,577 | 3,219 |
| Genco Shipping and Trading Ltd. | 215,931 | 3,196 |
* | EnerSys | 286,547 | 3,152 |
| Seaboard Corp. | 2,631 | 3,141 |
* | Aerovironment Inc. | 85,274 | 3,139 |
* | L.B. Foster Co. Class A | 100,202 | 3,134 |
* | Interline Brands, Inc. | 291,993 | 3,104 |
| Pacer International, Inc. | 296,966 | 3,097 |
| Albany International Corp. | 240,720 | 3,081 |
| Badger Meter, Inc. | 102,835 | 2,984 |
| G & K Services, Inc. Class A | 147,214 | 2,977 |
* | The Advisory Board Co. | 132,785 | 2,961 |
| Quanex Building Products Corp. | 314,461 | 2,946 |
| Encore Wire Corp. | 154,353 | 2,927 |
* | RBC Bearings Inc. | 144,303 | 2,926 |
* | Dycom Industries, Inc. | 345,301 | 2,838 |
* | Exponent, Inc. | 93,489 | 2,812 |
^ | Eagle Bulk Shipping Inc. | 405,994 | 2,769 |
| Federal Signal Corp. | 336,652 | 2,764 |
| Applied Signal Technology, Inc. | 152,837 | 2,742 |
| Lindsay Manufacturing Co. | 85,752 | 2,726 |
*,^ | FuelCell Energy, Inc. | 696,272 | 2,702 |
| Steelcase Inc. | 476,672 | 2,679 |
| American Ecology Corp. | 130,280 | 2,636 |
| Heidrick & Struggles International, Inc. | 121,588 | 2,619 |
* | Michael Baker Corp. | 70,390 | 2,598 |
* | Chart Industries, Inc. | 242,545 | 2,578 |
* | DynCorp International Inc. Class A | 166,108 | 2,520 |
* | GeoEye Inc. | 129,633 | 2,493 |
* | Northwest Pipe Co. | 58,194 | 2,480 |
* | ATC Technology Corp. | 165,499 | 2,421 |
| Apogee Enterprises, Inc. | 232,452 | 2,408 |
* | Colfax Corp. | 231,508 | 2,405 |
| Kelly Services, Inc. Class A | 182,728 | 2,377 |
* | Ultralife Corp. | 176,784 | 2,371 |
| Gibraltar Industries Inc. | 198,536 | 2,371 |
* | Taser International Inc. | 440,579 | 2,326 |
* | Waste Services, Inc. | 351,437 | 2,312 |
* | NCI Building Systems, Inc. | 140,247 | 2,286 |
| Cascade Corp. | 76,138 | 2,273 |
* | Innerworkings, Inc. | 343,584 | 2,250 |
| Freightcar America Inc. | 121,899 | 2,227 |
* | Atlas Air Worldwide Holdings, Inc. | 116,725 | 2,206 |
| Met-Pro Corp. | 165,006 | 2,198 |
* | Kforce Inc. | 284,892 | 2,188 |
* | On Assignment, Inc. | 383,435 | 2,174 |
* | American Reprographics Co. | 314,231 | 2,168 |
* | Stanley Inc. | 59,860 | 2,168 |
| AAON, Inc. | 103,221 | 2,155 |
| Dynamic Materials Corp. | 111,540 | 2,154 |
* | Celadon Group Inc. | 250,986 | 2,141 |
* | Sterling Construction Co., Inc. | 114,989 | 2,132 |
| HEICO Corp. Class A | 71,106 | 2,059 |
* | Columbus McKinnon Corp. | 150,227 | 2,051 |
| Titan International, Inc. | 248,143 | 2,047 |
| HEICO Corp. | 52,314 | 2,031 |
* | AZZ Inc. | 80,396 | 2,018 |
* | Furmanite Corp. | 373,841 | 2,015 |
* | Consolidated Graphics, Inc. | 87,353 | 1,978 |
| Insteel Industries, Inc. | 174,925 | 1,975 |
* | Altra Holdings Inc. | 249,356 | 1,972 |
* | Hawaiian Holdings, Inc. | 308,311 | 1,967 |
| Aceto Corp. | 195,961 | 1,962 |
* | Cenveo Inc. | 437,429 | 1,947 |
| Standex International Corp. | 98,106 | 1,946 |
* | Marten Transport, Ltd. | 102,382 | 1,941 |
* | GenCorp, Inc. | 523,421 | 1,926 |
* | American Commercial Lines Inc. | 389,910 | 1,911 |
| Interface, Inc. | 396,649 | 1,840 |
* | Amerco, Inc. | 52,902 | 1,827 |
*,^ | Fuel-Tech N.V. | 171,861 | 1,820 |
* | Rush Enterprises, Inc. Class A | 211,536 | 1,813 |
* | Argon ST, Inc. | 95,251 | 1,796 |
| Tennant Co. | 115,606 | 1,780 |
*,^ | Ener1, Inc. | 247,768 | 1,772 |
| CDI Corp. | 136,390 | 1,765 |
| Sun Hydraulics Corp. | 93,602 | 1,763 |
* | CRA International Inc. | 65,455 | 1,763 |
| Ennis, Inc. | 145,483 | 1,762 |
* | Cornell Cos., Inc. | 94,136 | 1,750 |
| Kimball International, Inc. Class B | 195,782 | 1,686 |
* | Pike Electric Corp. | 136,620 | 1,680 |
*,^ | Odyssey Marine Exploration, Inc. | 520,901 | 1,677 |
* | M&F Worldwide Corp. | 108,453 | 1,676 |
| TAL International Group, Inc. | 117,483 | 1,657 |
* | Kadant Inc. | 119,827 | 1,615 |
| LSI Industries Inc. | 228,457 | 1,570 |
* | Titan Machinery, Inc. | 109,835 | 1,544 |
| Ducommun, Inc. | 88,860 | 1,484 |
| Courier Corp. | 81,559 | 1,460 |
| NACCO Industries, Inc. Class A | 38,726 | 1,449 |
*,^ | Capstone Turbine Corp. | 1,722,926 | 1,447 |
*,^ | Power-One, Inc. | 1,192,338 | 1,419 |
*,^ | YRC Worldwide, Inc. | 490,901 | 1,409 |
* | H&E Equipment Services, Inc. | 182,198 | 1,405 |
* | Standard Parking Corp. | 71,948 | 1,391 |
| Houston Wire & Cable Co. | 149,029 | 1,387 |
| Diamond Management and Technology Consultants,Inc. | 328,779 | 1,384 |
| Aircastle Ltd. | 289,490 | 1,384 |
* | Ladish Co., Inc. | 98,714 | 1,367 |
^ | American Woodmark Corp. | 74,624 | 1,360 |
* | Tecumseh Products Co. Class A | 141,261 | 1,353 |
| Ampco-Pittsburgh Corp. | 59,860 | 1,299 |
* | La Barge, Inc. | 88,160 | 1,265 |
| Lawson Products, Inc. | 55,080 | 1,259 |
| Bowne & Co., Inc. | 213,346 | 1,254 |
* | Spherion Corp. | 560,610 | 1,239 |
* | LECG Corp. | 183,446 | 1,231 |
*,^ | Energy Recovery Inc. | 158,665 | 1,203 |
* | Polypore International Inc. | 156,728 | 1,185 |
| Great Lakes Dredge & Dock Co. | 285,389 | 1,184 |
| | | | |
*,^ | Microvision, Inc. | 704,277 | 1,183 |
^ | Mueller Water Products, Inc. Class A | 140,670 | 1,182 |
* | Powell Industries, Inc. | 40,712 | 1,181 |
| The Standard Register Co. | 131,169 | 1,171 |
*,^ | Valence Technology Inc. | 629,706 | 1,146 |
*,^ | EnerNOC Inc. | 153,094 | 1,139 |
| International Shipholding Corp. | 44,494 | 1,127 |
* | Lydall, Inc. | 195,957 | 1,127 |
* | Volt Information Sciences Inc. | 151,652 | 1,096 |
* | Herley Industries Inc. | 89,203 | 1,095 |
* | Plug Power, Inc. | 1,051,261 | 1,072 |
* | Saia, Inc. | 98,611 | 1,071 |
* | Flow International Corp. | 436,636 | 1,057 |
* | Miller Industries, Inc. | 194,713 | 1,032 |
| Textainer Group Holdings Ltd. | 95,396 | 1,011 |
* | Casella Waste Systems, Inc. | 240,942 | 983 |
* | Kratos Defense & Security Inc. | 696,783 | 975 |
* | Flanders Corp. | 207,322 | 972 |
* | PRG-Schultz International, Inc. | 235,336 | 960 |
*,^ | Trex Co., Inc. | 58,299 | 960 |
| Alamo Group, Inc. | 63,982 | 957 |
| Frozen Food Express Industries, Inc. | 168,130 | 955 |
* | Hill International Inc. | 135,478 | 954 |
* | TurboChef Technologies, Inc. | 193,757 | 951 |
| Quixote Corp. | 143,744 | 934 |
* | 3D Systems Corp. | 115,564 | 918 |
* | TBS International Ltd. | 90,051 | 903 |
*,^ | Orion Energy Systems Inc. | 166,330 | 900 |
| Multi-Color Corp. | 56,828 | 899 |
| The Greenbrier Cos., Inc. | 128,400 | 882 |
* | Acacia Research - Acacia Technologies | 284,670 | 865 |
| Wabash National Corp. | 191,460 | 862 |
* | Dynamex Inc. | 57,866 | 854 |
* | GP Strategies Corp. | 186,953 | 841 |
* | K-Tron International, Inc | 10,448 | 835 |
* | USA Truck, Inc. | 60,183 | 830 |
| Horizon Lines Inc. | 231,424 | 808 |
* | Orion Marine Group, Inc. | 82,440 | 796 |
* | Clearwater Paper Corp. | 94,157 | 790 |
| Superior Uniform Group, Inc. | 98,789 | 779 |
* | WCA Waste Corp. | 309,970 | 778 |
* | Acco Brands Corp. | 222,642 | 768 |
* | Duff & Phelps Corp. | 39,982 | 764 |
* | Hudson Highland Group, Inc. | 222,840 | 747 |
* | Willis Lease Finance Corp. | 79,766 | 739 |
* | LMI Aerospace, Inc. | 64,829 | 737 |
| Todd Shipyards Corp. | 61,242 | 735 |
| Twin Disc, Inc. | 106,321 | 733 |
| L.S. Starrett Co. Class A | 45,283 | 729 |
| Graham Corp. | 67,000 | 725 |
* | Rush Enterprises, Inc. Class B | 88,165 | 722 |
| Barrett Business Services, Inc. | 65,405 | 713 |
| Vicor Corp. | 106,943 | 707 |
* | ICF International, Inc. | 28,335 | 696 |
| Schawk, Inc. | 58,992 | 676 |
| Omega Flex Inc. | 31,471 | 659 |
| Innovative Solutions and Support, Inc. | 165,548 | 654 |
* | Magnatek, Inc. | 270,927 | 650 |
| Chase Corp. | 57,297 | 647 |
* | PMFG Inc. | 64,417 | 616 |
*,^ | C & D Technologies, Inc. | 195,968 | 613 |
* | The Allied Defense Group, Inc. | 95,859 | 594 |
| Sauer-Danfoss, Inc. | 67,171 | 588 |
| American Railcar Industries, Inc. | 52,300 | 551 |
| Paragon Shipping, Inc. | 112,678 | 535 |
*,^ | China BAK Battery, Inc. | 326,857 | 530 |
* | Integrated Electrical Services, Inc. | 59,024 | 517 |
* | DXP Enterprises Inc | 35,000 | 511 |
* | U.S. Home Systems, Inc. | 191,499 | 496 |
* | Park-Ohio Holdings Corp. | 74,609 | 460 |
* | Intersections Inc. | 88,443 | 460 |
* | UQM Technologies, Inc. | 355,462 | 444 |
* | P.A.M. Transportation Services, Inc. | 61,408 | 430 |
| NN, Inc. | 180,907 | 414 |
* | Hurco Cos., Inc. | 33,989 | 408 |
* | Perma-Fix Environmental Services, Inc. | 324,542 | 406 |
*,^ | A-Power Energy Generation Systems Ltd. | 93,152 | 401 |
*,^ | Metalico, Inc. | 256,102 | 397 |
* | First Advantage Corp. Class A | 27,297 | 386 |
* | United Capital Corp. | 21,238 | 385 |
* | Pinnacle Airlines Corp. | 223,506 | 380 |
* | Quality Distribution Inc. | 124,898 | 375 |
*,^ | Bluelinx Holdings Inc. | 196,332 | 371 |
*,^ | Builders FirstSource, Inc. | 235,308 | 360 |
* | Astronics Corp. | 40,136 | 357 |
*,^ | Advanced Battery Technologies Inc. | 133,110 | 354 |
* | Raytheon Co. Warrants Exp. 6/16/11 | 19,938 | 317 |
* | PowerSecure International, Inc. | 94,442 | 311 |
* | ICT Group, Inc. | 66,560 | 305 |
*,^ | AMREP Corp. | 9,612 | 301 |
| Virco Manufacturing Corp. | 150,640 | 294 |
* | TRC Cos., Inc. | 151,355 | 294 |
* | APAC Teleservices, Inc. | 236,289 | 286 |
| Hardinge, Inc. | 69,189 | 280 |
* | COMSYS IT Partners Inc. | 121,928 | 273 |
* | Fushi Copperweld, Inc. | 51,686 | 272 |
| Macquarie Infrastructure Co. LLC | 68,041 | 257 |
*,^ | Protection One, Inc. | 52,830 | 253 |
| Hubbell Inc. Class A | 7,600 | 233 |
* | Nashua Corp. | 43,876 | 230 |
* | Universal Truckload Services, Inc. | 15,349 | 217 |
* | Dollar Thrifty Automotive Group, Inc. | 195,594 | 213 |
*,^ | Basin Water, Inc. | 409,788 | 213 |
* | SL Industries, Inc. | 20,500 | 180 |
| VSE Corp. | 4,436 | 174 |
*,^ | China Architectural Engineering Inc. | 68,040 | 167 |
* | TriMas Corp. | 115,190 | 159 |
* | Xerium Technologies Inc. | 226,723 | 150 |
* | Innotrac Corp. | 73,631 | 136 |
* | Paragon Technologies, Inc. | 46,135 | 130 |
* | Active Power, Inc. | 386,650 | 124 |
* | Patriot Transportation Holding, Inc. | 1,636 | 115 |
*,^ | Applied Energetics, Inc. | 287,190 | 92 |
*,^ | Ascent Solar Technologies, Inc. | 23,382 | 88 |
*,^ | Medis Technology Ltd. | 188,607 | 85 |
* | Astronics Corp. Class B | 9,009 | 77 |
* | Avis Budget Group, Inc. | 93,798 | 66 |
| Sypris Solutions, Inc. | 81,082 | 50 |
* | Commercial Vehicle Group Inc. | 52,570 | 49 |
* | Covenant Transport, Inc. | 18,365 | 37 |
* | Air Transport Services Group Inc. | 142,059 | 26 |
* | CAI International Inc. | 6,200 | 20 |
* | Environmental Tectonics Corp. | 19,900 | 16 |
* | Advanced Environmental Recycling Technologies, Inc. | 78,953 | 13 |
* | Arotech Corp. | 4,845 | 2 |
* | ExpressJet Holdings, Inc. | 869 | 1 |
* | BMC Industries, Inc. | 211,416 | — |
| | | 9,303,754 |
Information Technology (15.4%) | | |
| Microsoft Corp. | 69,496,756 | 1,351,017 |
| International Business Machines Corp. | 11,458,447 | 964,343 |
* | Cisco Systems, Inc. | 49,959,230 | 814,335 |
| Hewlett-Packard Co. | 20,857,817 | 756,930 |
| Intel Corp. | 47,547,604 | 697,048 |
* | Apple Inc. | 7,492,311 | 639,469 |
* | Google Inc. | 2,022,252 | 622,146 |
* | Oracle Corp. | 34,925,761 | 619,234 |
| QUALCOMM Inc. | 13,878,460 | 497,265 |
| Visa Inc. | 3,786,860 | 198,621 |
* | EMC Corp. | 17,511,415 | 183,345 |
| Automatic Data Processing, Inc. | 4,384,730 | 172,495 |
| Texas Instruments, Inc. | 11,087,592 | 172,079 |
| Accenture Ltd. | 5,084,913 | 166,734 |
* | Dell Inc. | 15,384,704 | 157,539 |
* | Yahoo! Inc. | 11,135,646 | 135,855 |
* | eBay Inc. | 9,353,758 | 130,578 |
| Corning, Inc. | 13,348,628 | 127,212 |
| Applied Materials, Inc. | 11,470,043 | 116,192 |
| MasterCard, Inc. Class A | 748,712 | 107,013 |
* | Symantec Corp. | 7,104,207 | 96,049 |
* | Adobe Systems, Inc. | 4,491,092 | 95,615 |
| Western Union Co. | 6,169,471 | 88,470 |
| Motorola, Inc. | 19,171,378 | 84,929 |
* | Juniper Networks, Inc. | 4,597,007 | 80,494 |
| Paychex, Inc. | 2,746,824 | 72,187 |
| CA, Inc. | 3,510,225 | 65,044 |
| Tyco Electronics Ltd. | 3,996,055 | 64,776 |
* | Broadcom Corp. | 3,726,972 | 63,247 |
* | Intuit, Inc. | 2,581,639 | 61,417 |
| Xerox Corp. | 7,377,099 | 58,795 |
* | Fiserv, Inc. | 1,388,443 | 50,498 |
* | Agilent Technologies, Inc. | 3,050,907 | 47,686 |
| Analog Devices, Inc. | 2,461,304 | 46,814 |
* | Computer Sciences Corp. | 1,280,305 | 44,990 |
* | Cognizant Technology Solutions Corp. | 2,466,693 | 44,548 |
* | McAfee Inc. | 1,282,319 | 44,330 |
* | Activision Blizzard, Inc. | 5,027,888 | 43,441 |
* | Electronic Arts Inc. | 2,702,076 | 43,341 |
* | BMC Software, Inc. | 1,608,466 | 43,284 |
| Harris Corp. | 1,135,143 | 43,192 |
| Altera Corp. | 2,546,351 | 42,550 |
| Xilinx, Inc. | 2,342,061 | 41,736 |
| Linear Technology Corp. | 1,875,831 | 41,493 |
* | NetApp, Inc. | 2,766,335 | 38,646 |
* | Autodesk, Inc. | 1,896,153 | 37,259 |
* | Citrix Systems, Inc. | 1,545,279 | 36,422 |
* | NVIDIA Corp. | 4,473,941 | 36,105 |
| Amphenol Corp. | 1,498,824 | 35,942 |
| | | | | |
* | Affiliated Computer Services, Inc. Class A | 768,308 | 35,304 |
* | FLIR Systems, Inc. | 1,118,625 | 34,319 |
| KLA-Tencor Corp. | 1,469,196 | 32,014 |
* | VeriSign, Inc. | 1,637,059 | 31,235 |
| Microchip Technology, Inc. | 1,562,511 | 30,516 |
* | SAIC, Inc. | 1,559,674 | 30,382 |
* | Marvell Technology Group Ltd. | 4,346,116 | 28,989 |
* | salesforce.com, inc. | 871,029 | 27,882 |
* | MEMC Electronic Materials, Inc. | 1,914,383 | 27,337 |
* | Alliance Data Systems Corp. | 570,380 | 26,540 |
| Fidelity National Information Services, Inc. | 1,606,989 | 26,146 |
* | Sun Microsystems, Inc. | 6,383,386 | 24,385 |
| Lender Processing Services, Inc. | 804,566 | 23,694 |
* | Avnet, Inc. | 1,276,898 | 23,252 |
* | LAM Research Corp. | 1,064,960 | 22,662 |
* | Synopsys, Inc. | 1,211,151 | 22,431 |
* | Teradata Corp. | 1,511,235 | 22,412 |
* | Trimble Navigation Ltd. | 1,024,626 | 22,142 |
| Global Payments Inc. | 674,007 | 22,101 |
* | Akamai Technologies, Inc. | 1,432,356 | 21,614 |
* | Western Digital Corp. | 1,876,792 | 21,489 |
* | Red Hat, Inc. | 1,624,273 | 21,473 |
* | Hewitt Associates, Inc. | 744,154 | 21,119 |
* | Lexmark International, Inc. | 747,955 | 20,120 |
* | ANSYS, Inc. | 716,125 | 19,973 |
| Total System Services, Inc. | 1,423,859 | 19,934 |
* | NCR Corp. | 1,390,641 | 19,664 |
* | Mettler-Toledo International Inc. | 290,587 | 19,586 |
| National Semiconductor Corp. | 1,941,352 | 19,549 |
* | Arrow Electronics, Inc. | 1,013,137 | 19,087 |
* | Itron, Inc. | 290,967 | 18,546 |
| Seagate Technology | 4,147,031 | 18,371 |
* | SanDisk Corp. | 1,908,712 | 18,324 |
* | Flextronics International Ltd. | 7,088,649 | 18,147 |
* | LSI Corp. | 5,471,448 | 18,001 |
* | Micron Technology, Inc. | 6,471,689 | 17,085 |
^ | FactSet Research Systems Inc. | 385,952 | 17,075 |
* | Sybase, Inc. | 683,456 | 16,929 |
* | Ingram Micro, Inc. Class A | 1,263,269 | 16,915 |
* | Nuance Communications, Inc. | 1,547,213 | 16,029 |
| Diebold, Inc. | 557,937 | 15,672 |
* | F5 Networks, Inc. | 685,143 | 15,662 |
* | Equinix, Inc. | 284,801 | 15,149 |
* | QLogic Corp. | 1,113,741 | 14,969 |
| Broadridge Financial Solutions LLC | 1,193,300 | 14,964 |
* | Compuware Corp. | 2,170,706 | 14,652 |
* | Dolby Laboratories Inc. | 437,639 | 14,337 |
* | Solera Holdings, Inc. | 561,179 | 13,524 |
* | Tellabs, Inc. | 3,212,246 | 13,234 |
| Jack Henry & Associates Inc. | 658,307 | 12,778 |
* | Rambus Inc. | 802,254 | 12,772 |
* | NeuStar, Inc. Class A | 667,195 | 12,763 |
* | IAC/InterActiveCorp | 808,427 | 12,717 |
* | DST Systems, Inc. | 332,594 | 12,632 |
* | Parametric Technology Corp. | 979,123 | 12,386 |
* | Metavante Technologies | 762,053 | 12,277 |
| National Instruments Corp. | 499,682 | 12,172 |
* | Concur Technologies, Inc. | 358,320 | 11,760 |
* | Novell, Inc. | 3,011,419 | 11,714 |
* | CACI International, Inc. | 258,058 | 11,636 |
* | MICROS Systems, Inc. | 691,273 | 11,282 |
* | ON Semiconductor Corp. | 3,311,831 | 11,260 |
| | | | |
* | Zebra Technologies Corp. Class A | 554,155 | 11,227 |
* | Atmel Corp. | 3,585,343 | 11,222 |
* | Varian Semiconductor Equipment Associates, Inc. | 618,997 | 11,216 |
*,^ | Advanced Micro Devices, Inc. | 5,159,453 | 11,144 |
* | Macrovision Solutions Corp. | 873,018 | 11,044 |
* | Sohu.com Inc. | 228,977 | 10,840 |
*,^ | Cree, Inc. | 674,489 | 10,704 |
* | InterDigital, Inc. | 382,487 | 10,518 |
* | Novellus Systems, Inc. | 845,259 | 10,430 |
* | SINA.com | 450,324 | 10,425 |
* | Perot Systems Corp. | 760,257 | 10,393 |
* | Informatica Corp. | 754,557 | 10,360 |
| Jabil Circuit, Inc. | 1,511,924 | 10,205 |
| Molex, Inc. | 700,385 | 10,149 |
* | Gartner, Inc. Class A | 557,223 | 9,935 |
* | Polycom, Inc. | 726,457 | 9,814 |
* | ManTech International Corp. | 180,878 | 9,802 |
| Intersil Corp. | 1,055,639 | 9,701 |
* | Silicon Laboratories Inc. | 388,169 | 9,619 |
* | Comtech Telecommunications Corp. | 205,850 | 9,432 |
* | CommScope, Inc. | 595,202 | 9,249 |
* | PMC Sierra Inc. | 1,873,819 | 9,107 |
*,^ | VMware Inc. | 376,187 | 8,912 |
* | Brocade Communications Systems, Inc. | 3,164,549 | 8,861 |
* | Microsemi Corp. | 675,331 | 8,536 |
* | International Rectifier Corp. | 619,588 | 8,364 |
* | Arris Group Inc. | 1,049,251 | 8,342 |
* | Cadence Design Systems, Inc. | 2,220,180 | 8,126 |
* | TIBCO Software Inc. | 1,561,138 | 8,102 |
* | Integrated Device Technology Inc. | 1,439,812 | 8,077 |
* | Tech Data Corp. | 452,329 | 8,070 |
* | 3Com Corp. | 3,457,923 | 7,884 |
* | Skyworks Solutions, Inc. | 1,410,389 | 7,814 |
* | Digital River, Inc. | 313,501 | 7,775 |
* | Anixter International Inc. | 255,745 | 7,703 |
* | j2 Global Communications, Inc. | 371,277 | 7,440 |
* | Atheros Communications, Inc. | 508,911 | 7,283 |
| ADTRAN Inc. | 485,836 | 7,229 |
* | Benchmark Electronics, Inc. | 565,719 | 7,224 |
* | Quest Software, Inc. | 563,959 | 7,100 |
| Fair Isaac, Inc. | 415,453 | 7,005 |
* | JDS Uniphase Corp. | 1,914,081 | 6,986 |
* | Avocent Corp. | 383,999 | 6,877 |
* | Tekelec | 508,377 | 6,782 |
^ | Quality Systems, Inc. | 154,698 | 6,748 |
* | Progress Software Corp. | 349,550 | 6,732 |
* | CyberSource Corp. | 559,512 | 6,709 |
* | Convergys Corp. | 1,045,380 | 6,701 |
* | VistaPrint Ltd. | 358,901 | 6,679 |
* | Blackboard Inc. | 250,279 | 6,565 |
* | TiVo Inc. | 900,794 | 6,450 |
* | EarthLink, Inc. | 941,559 | 6,365 |
* | SRA International, Inc. | 362,600 | 6,255 |
| Molex, Inc. Class A | 481,372 | 6,234 |
* | Semtech Corp. | 536,767 | 6,049 |
* | Teradyne, Inc. | 1,433,057 | 6,047 |
* | FEI Co. | 315,857 | 5,957 |
* | Websense, Inc. | 386,853 | 5,791 |
* | Cypress Semiconductor Corp. | 1,295,411 | 5,790 |
* | FormFactor Inc. | 396,327 | 5,786 |
* | Plexus Corp. | 336,414 | 5,702 |
* | ViaSat, Inc. | 236,248 | 5,689 |
* | Infinera Corp. | 630,293 | 5,647 |
* | Intermec, Inc. | 424,964 | 5,644 |
| MAXIMUS, Inc. | 159,984 | 5,617 |
* | Cymer, Inc. | 251,621 | 5,513 |
| Plantronics, Inc. | 415,827 | 5,489 |
* | ADC Telecommunications, Inc. | 996,183 | 5,449 |
* | ValueClick, Inc. | 791,053 | 5,411 |
* | Wind River Systems Inc. | 596,523 | 5,387 |
* | EchoStar Corp. | 360,301 | 5,358 |
* | Lawson Software, Inc. | 1,124,971 | 5,332 |
* | Ariba, Inc. | 737,690 | 5,319 |
* | MKS Instruments, Inc. | 358,381 | 5,300 |
* | Fairchild Semiconductor International, Inc. | 1,075,527 | 5,259 |
* | Cogent Inc. | 383,994 | 5,211 |
* | Cabot Microelectronics Corp. | 199,753 | 5,208 |
* | CSG Systems International, Inc. | 297,792 | 5,202 |
* | Riverbed Technology, Inc. | 452,693 | 5,156 |
| Acxiom Corp. | 633,564 | 5,138 |
* | Ciena Corp. | 765,491 | 5,129 |
* | Genpact, Ltd. | 621,124 | 5,106 |
* | Rofin-Sinar Technologies Inc. | 245,092 | 5,044 |
| Take-Two Interactive Software, Inc. | 664,254 | 5,022 |
* | Emulex Corp. | 714,631 | 4,988 |
* | Vishay Intertechnology, Inc. | 1,457,630 | 4,985 |
| Blackbaud, Inc. | 368,026 | 4,968 |
* | Verigy Ltd. | 514,194 | 4,947 |
| Syntel, Inc. | 213,058 | 4,926 |
* | Rogers Corp. | 177,345 | 4,925 |
| Cognex Corp. | 330,765 | 4,895 |
* | Interwoven Inc. | 385,435 | 4,856 |
* | ACI Worldwide, Inc. | 304,428 | 4,840 |
* | Tessera Technologies, Inc. | 407,270 | 4,838 |
* | Omniture, Inc. | 441,296 | 4,695 |
* | Mercadolibre Inc. | 276,009 | 4,529 |
* | S1 Corp. | 573,269 | 4,523 |
* | Sycamore Networks, Inc. | 1,677,666 | 4,513 |
* | Synaptics Inc. | 271,943 | 4,503 |
* | Commvault Systems, Inc. | 323,068 | 4,332 |
| Imation Corp. | 318,243 | 4,319 |
* | Harmonic, Inc. | 768,308 | 4,310 |
* | Coherent, Inc. | 197,434 | 4,237 |
* | Net 1 UEPS Technologies, Inc. | 303,883 | 4,163 |
* | Wright Express Corp. | 327,898 | 4,132 |
* | Electronics for Imaging, Inc. | 429,110 | 4,102 |
* | ATMI, Inc. | 262,857 | 4,056 |
* | Mentor Graphics Corp. | 770,855 | 3,985 |
* | Forrester Research, Inc. | 139,165 | 3,926 |
* | TriQuint Semiconductor, Inc. | 1,140,283 | 3,923 |
* | Euronet Worldwide, Inc. | 332,917 | 3,865 |
^ | Heartland Payment Systems, Inc. | 218,343 | 3,821 |
*,^ | Bankrate, Inc. | 100,346 | 3,813 |
| United Online, Inc. | 620,200 | 3,765 |
| Black Box Corp. | 142,720 | 3,728 |
* | Sonus Networks, Inc. | 2,356,565 | 3,723 |
* | EPIQ Systems, Inc. | 218,919 | 3,658 |
* | ScanSource, Inc. | 186,315 | 3,590 |
* | Manhattan Associates, Inc. | 225,228 | 3,561 |
* | L-1 Identity Solutions Inc. | 522,821 | 3,524 |
* | Telecommunication Systems, Inc. | 407,864 | 3,504 |
| Micrel, Inc. | 478,857 | 3,500 |
* | Sapient Corp. | 785,152 | 3,486 |
* | Checkpoint Systems, Inc. | 351,851 | 3,462 |
* | Hittite Microwave Corp. | 115,937 | 3,416 |
* | Avid Technology, Inc. | 308,973 | 3,371 |
*,^ | Data Domain, Inc. | 177,465 | 3,336 |
* | Silicon Image, Inc. | 789,326 | 3,315 |
| MTS Systems Corp. | 123,608 | 3,293 |
* | SPSS, Inc. | 121,240 | 3,269 |
*,^ | Advent Software, Inc. | 161,985 | 3,235 |
* | NETGEAR, Inc. | 275,877 | 3,148 |
* | Zoran Corp. | 452,828 | 3,093 |
| AVX Corp. | 387,397 | 3,076 |
* | Tyler Technologies, Inc. | 255,406 | 3,060 |
* | Ultratech, Inc. | 254,603 | 3,045 |
* | Netlogic Microsystems Inc. | 138,256 | 3,043 |
* | TeleTech Holdings, Inc. | 361,835 | 3,021 |
* | VASCO Data Security International, Inc. | 291,493 | 3,011 |
* | Littelfuse, Inc. | 175,453 | 2,913 |
*,^ | Sigma Designs, Inc. | 305,669 | 2,904 |
* | Advanced Energy Industries, Inc. | 290,188 | 2,887 |
* | JDA Software Group, Inc. | 219,474 | 2,882 |
* | RealNetworks, Inc. | 812,069 | 2,867 |
| InfoSpace, Inc. | 360,184 | 2,719 |
* | OmniVision Technologies, Inc. | 511,607 | 2,686 |
* | Insight Enterprises, Inc. | 386,896 | 2,670 |
*,^ | Echelon Corp. | 327,265 | 2,667 |
| Park Electrochemical Corp. | 137,934 | 2,615 |
* | Adaptec, Inc. | 784,414 | 2,589 |
* | The Knot, Inc. | 308,596 | 2,568 |
* | EMS Technologies, Inc. | 98,806 | 2,556 |
* | Synchronoss Technologies, Inc. | 237,916 | 2,536 |
* | Blue Coat Systems, Inc. | 301,671 | 2,534 |
* | The Ultimate Software Group, Inc. | 171,435 | 2,503 |
* | MicroStrategy Inc. | 66,717 | 2,477 |
* | DealerTrack Holdings Inc. | 203,760 | 2,423 |
*,^ | Starent Networks Corp. | 202,330 | 2,414 |
* | Brooks Automation, Inc. | 411,906 | 2,393 |
* | AsiaInfo Holdings, Inc. | 200,230 | 2,371 |
* | Vignette Corp. | 250,763 | 2,360 |
* | Ixia | 407,640 | 2,356 |
* | Actel Corp. | 199,934 | 2,343 |
| Daktronics, Inc. | 250,288 | 2,343 |
* | ComScore Inc. | 183,045 | 2,334 |
* | THQ Inc. | 556,436 | 2,331 |
* | Amkor Technology, Inc. | 1,068,771 | 2,330 |
*,^ | Cavium Networks, Inc. | 220,344 | 2,316 |
* | Standard Microsystem Corp. | 139,722 | 2,283 |
* | Supertex, Inc. | 94,184 | 2,261 |
* | 3PAR, Inc. | 295,895 | 2,258 |
* | Loral Space and Communications Ltd. | 154,121 | 2,239 |
*,^ | Palm, Inc. | 713,904 | 2,192 |
* | Internet Capital Group Inc. | 401,997 | 2,191 |
| IXYS Corp. | 264,057 | 2,181 |
*,^ | UTStarcom, Inc. | 1,143,657 | 2,116 |
*,^ | Stratasys, Inc. | 191,540 | 2,059 |
* | DTS Inc. | 112,126 | 2,058 |
* | Silicon Storage Technology, Inc. | 898,166 | 2,057 |
* | Entegris Inc. | 916,580 | 2,007 |
* | Vocus, Inc. | 109,863 | 2,001 |
* | Newport Corp. | 292,250 | 1,981 |
*,^ | Universal Display Corp. | 208,624 | 1,971 |
* | Exar Corp. | 295,350 | 1,970 |
* | Extreme Networks, Inc. | 834,525 | 1,953 |
* | GSI Commerce, Inc. | 185,199 | 1,948 |
* | Symmetricom Inc. | 493,157 | 1,948 |
| Bel Fuse, Inc. Class B | 91,473 | 1,939 |
* | SonicWALL, Inc. | 486,473 | 1,936 |
* | Sanmina-SCI Corp. | 4,106,063 | 1,930 |
* | FARO Technologies, Inc. | 113,423 | 1,912 |
* | Monolithic Power Systems | 150,840 | 1,902 |
* | Applied Micro Circuits Corp. | 482,703 | 1,897 |
* | TTM Technologies, Inc. | 361,778 | 1,885 |
* | Ciber, Inc. | 388,503 | 1,869 |
* | Smith Micro Software, Inc. | 333,749 | 1,856 |
* | BigBand Networks Inc. | 335,872 | 1,854 |
* | RF Micro Devices, Inc. | 2,368,481 | 1,847 |
* | Brightpoint, Inc. | 422,909 | 1,840 |
* | DSP Group Inc. | 227,630 | 1,826 |
* | MSC Software Corp. | 271,323 | 1,812 |
* | Terremark Worldwide, Inc. | 465,472 | 1,811 |
*,^ | SAVVIS, Inc. | 259,526 | 1,788 |
* | iGATE Corp. | 271,588 | 1,768 |
* | DG FastChannel Inc. | 141,394 | 1,765 |
* | Bottomline Technologies, Inc. | 247,732 | 1,759 |
* | Cirrus Logic, Inc. | 653,594 | 1,752 |
*,^ | NVE Corp. | 66,801 | 1,746 |
* | Symyx Technologies, Inc. | 293,613 | 1,744 |
* | RightNow Technologies Inc. | 224,629 | 1,736 |
*,^ | LoopNet, Inc. | 254,024 | 1,732 |
* | Netezza Corp. | 258,618 | 1,717 |
* | SeaChange International, Inc. | 235,538 | 1,698 |
* | OSI Systems Inc. | 122,271 | 1,693 |
* | Global Cash Access, Inc. | 758,476 | 1,684 |
* | IPG Photonics Corp. | 127,233 | 1,677 |
* | Novatel Wireless, Inc. | 361,238 | 1,676 |
* | Art Technology Group, Inc. | 855,181 | 1,650 |
* | Epicor Software Corp. | 342,880 | 1,646 |
* | Volterra Semiconductor Corp. | 229,819 | 1,643 |
* | Electro Scientific Industries, Inc. | 241,555 | 1,640 |
* | MRV Communications Inc. | 2,070,249 | 1,594 |
* | Anaren, Inc. | 132,416 | 1,582 |
* | Oplink Communications, Inc. | 183,863 | 1,581 |
| Electro Rent Corp. | 140,861 | 1,572 |
| Methode Electronics, Inc. Class A | 232,898 | 1,570 |
* | SYNNEX Corp. | 138,207 | 1,566 |
* | Integral Systems, Inc. | 129,130 | 1,556 |
* | Veeco Instruments, Inc. | 244,383 | 1,549 |
* | Entrust, Inc. | 968,319 | 1,530 |
* | Diodes Inc. | 251,730 | 1,525 |
* | Neutral Tandem, Inc. | 92,578 | 1,502 |
| Cohu, Inc. | 122,825 | 1,492 |
* | Digi International, Inc. | 178,578 | 1,448 |
* | Rimage Corp. | 107,621 | 1,443 |
* | Move, Inc. | 896,513 | 1,434 |
* | NetScout Systems, Inc. | 166,373 | 1,434 |
* | Mercury Computer Systems, Inc. | 225,633 | 1,424 |
* | Limelight Networks Inc. | 577,754 | 1,415 |
* | SupportSoft, Inc. | 625,350 | 1,395 |
* | DivX, Inc. | 265,473 | 1,388 |
* | Catapult Communications Corp. | 207,858 | 1,366 |
* | TNS Inc. | 144,655 | 1,358 |
| Pegasystems Inc. | 109,869 | 1,358 |
* | Harris Stratex Networks, Inc. Class A | 260,980 | 1,347 |
* | ExlService Holdings, Inc. | 155,329 | 1,331 |
* | Taleo Corp. Class A | 169,829 | 1,330 |
* | OpenTV Corp. | 1,065,844 | 1,311 |
* | KVH Industries, Inc. | 247,076 | 1,280 |
| CTS Corp. | 231,198 | 1,274 |
* | infoGROUP, Inc. | 265,095 | 1,257 |
| NIC Inc. | 273,081 | 1,256 |
* | OPNET Technologies, Inc. | 125,107 | 1,234 |
* | Gerber Scientific, Inc. | 238,296 | 1,218 |
*,^ | Constant Contact, Inc. | 90,901 | 1,204 |
* | Switch and Data Inc. | 161,006 | 1,190 |
* | Monotype Imaging Holdings Inc. | 203,450 | 1,180 |
* | Trident Microsystems, Inc. | 613,590 | 1,160 |
* | Advanced Analogic Technologies, Inc. | 383,610 | 1,159 |
| Cass Information Systems, Inc. | 37,830 | 1,152 |
* | Kopin Corp. | 558,354 | 1,139 |
* | PROS Holdings, Inc. | 196,075 | 1,127 |
* | Dynamics Research Corp. | 139,611 | 1,117 |
| PC-Tel, Inc. | 164,587 | 1,081 |
| Technitrol, Inc. | 306,902 | 1,068 |
*,^ | Maxwell Technologies, Inc. | 209,868 | 1,064 |
* | Pericom Semiconductor Corp. | 193,529 | 1,061 |
| Agilysys, Inc. | 246,633 | 1,058 |
* | Ceva, Inc. | 150,217 | 1,052 |
* | RadiSys Corp. | 189,508 | 1,048 |
* | Kenexa Corp. | 131,007 | 1,045 |
* | STEC Inc. | 243,859 | 1,039 |
* | Safeguard Scientifics, Inc. | 1,501,293 | 1,036 |
* | Globecomm Systems, Inc. | 186,295 | 1,023 |
* | Double-Take Software Inc. | 110,200 | 988 |
* | Rackable Systems Inc. | 245,917 | 969 |
* | Intevac, Inc. | 188,898 | 958 |
* | Ness Technologies Inc. | 222,595 | 953 |
* | Chordiant Software, Inc. | 356,259 | 948 |
* | SourceForge Inc. | 1,047,798 | 943 |
* | Hughes Communications Inc. | 59,119 | 942 |
* | DemandTec, Inc. | 116,358 | 939 |
* | SuccessFactors Inc. | 163,529 | 939 |
* | Keynote Systems Inc. | 118,294 | 912 |
* | NCI, Inc. | 30,087 | 907 |
*,^ | Finisar Corp. | 2,381,398 | 905 |
* | Cogo Group, Inc. | 182,919 | 889 |
*,^ | EMCORE Corp. | 675,750 | 878 |
| Marchex, Inc. | 150,376 | 877 |
| American Software, Inc. Class A | 185,231 | 871 |
* | Liquidity Services, Inc. | 104,174 | 868 |
* | Zygo Corp. | 124,098 | 858 |
* | Multi-Fineline Electronix, Inc. | 72,827 | 851 |
* | FalconStor Software, Inc. | 305,084 | 848 |
* | Web.com Group, Inc. | 229,498 | 840 |
* | Kulicke & Soffa Industries, Inc. | 485,227 | 825 |
*,^ | WebMD Health Corp. Class A | 34,880 | 823 |
* | Smart Modular Technologies Inc. | 533,052 | 821 |
* | Lionbridge Technologies, Inc. | 653,727 | 817 |
* | ModusLink Global Solutions, Inc. | 282,676 | 817 |
*,^ | Orbcomm, Inc. | 375,812 | 812 |
* | Virage Logic Corp. | 267,539 | 800 |
* | LoJack Corp. | 191,996 | 791 |
* | Startek, Inc. | 175,888 | 783 |
* | Online Resources Corp. | 164,455 | 780 |
* | ShoreTel, Inc. | 173,191 | 778 |
* | Techwell, Inc. | 119,611 | 777 |
* | Microtune, Inc. | 378,848 | 773 |
* | Transmeta Corp. | 42,263 | 769 |
| Renaissance Learning, Inc. | 83,492 | 751 |
* | Immersion Corp. | 125,586 | 740 |
* | The Hackett Group Inc. | 252,779 | 738 |
* | Soapstone Networks Inc. | 285,482 | 737 |
* | SRS Labs, Inc. | 151,754 | 724 |
* | Hypercom Corp. | 666,695 | 720 |
^ | Imergent, Inc. | 173,277 | 719 |
*,^ | Zix Corp. | 603,905 | 719 |
* | Rudolph Technologies, Inc. | 202,447 | 715 |
*,^ | LeCroy Corp. | 231,916 | 707 |
* | Aruba Networks, Inc. | 273,233 | 697 |
* | Lattice Semiconductor Corp. | 454,162 | 686 |
*,^ | Travelzoo, Inc. | 123,120 | 685 |
* | Perficient, Inc. | 141,477 | 676 |
* | Phoenix Technologies Ltd. | 192,405 | 673 |
* | Tollgrade Communications, Inc. | 140,698 | 673 |
* | White Electronic Designs Corp. | 182,417 | 668 |
* | Unisys Corp. | 783,251 | 666 |
*,^ | NetSuite Inc. | 78,381 | 662 |
* | DDi Corp. | 211,274 | 651 |
* | Acme Packet, Inc. | 123,300 | 649 |
*,^ | Isilon Systems Inc. | 197,128 | 649 |
*,^ | ParkerVision, Inc. | 261,541 | 646 |
* | Presstek, Inc. | 200,422 | 643 |
* | LivePerson, Inc. | 350,632 | 638 |
* | Photronics, Inc. | 324,071 | 632 |
* | Mattson Technology, Inc. | 447,071 | 630 |
* | Lasercard Corp. | 170,250 | 620 |
* | PAR Technology Corp. | 109,438 | 607 |
* | Internet Brands Inc. | 103,565 | 603 |
* | Hutchinson Technology, Inc. | 172,049 | 599 |
* | PC Connection, Inc. | 116,682 | 597 |
* | Magma Design Automation, Inc. | 577,815 | 589 |
* | iPass Inc. | 482,295 | 588 |
* | Sumtotal Systems Inc. | 203,425 | 578 |
* | Internap Network Services Corp. | 228,335 | 571 |
* | Integrated Silicon Solution, Inc. | 344,816 | 562 |
* | Telular Corp. | 417,969 | 552 |
* | TransAct Technologies Inc. | 119,309 | 548 |
* | Performance Technologies, Inc. | 163,352 | 546 |
* | Super Micro Computer Inc. | 85,347 | 540 |
| QAD Inc. | 127,107 | 533 |
* | TechTeam Global, Inc. | 90,812 | 531 |
* | OpNext, Inc. | 301,439 | 528 |
* | Ramtron International Corp. | 285,801 | 526 |
* | Radiant Systems, Inc. | 153,311 | 517 |
* | Concurrent Computer Corp. | 149,720 | 509 |
*,^ | Bookham, Inc. | 1,130,731 | 509 |
* | Datalink Corp. | 160,169 | 498 |
* | Quantum Corp. | 1,382,331 | 498 |
* | California Micro Devices Corp. | 267,337 | 497 |
* | Interactive Intelligence Inc. | 77,456 | 496 |
* | MoSys, Inc. | 235,920 | 495 |
* | GSE Systems, Inc. | 82,611 | 487 |
* | PC Mall, Inc. | 121,277 | 486 |
* | Network Equipment Technologies, Inc. | 167,744 | 483 |
* | Measurement Specialties, Inc. | 67,711 | 471 |
* | Pervasive Software Inc. | 111,123 | 470 |
* | Spectrum Control, Inc. | 74,699 | 459 |
* | LTX-Credence Corp. | 1,692,510 | 457 |
* | Callidus Software Inc. | 152,580 | 456 |
* | Ebix, Inc. | 18,200 | 435 |
| TheStreet.com, Inc. | 149,172 | 433 |
| Keithley Instruments Inc. | 118,202 | 431 |
* | Sonic Solutions, Inc. | 244,477 | 430 |
* | Nu Horizons Electronics Corp. | 249,742 | 430 |
* | Computer Task Group, Inc. | 133,387 | 430 |
* | Edgewater Technology, Inc. | 165,256 | 428 |
* | I.D. Systems, Inc. | 104,902 | 425 |
* | CyberOptics Corp. | 81,616 | 424 |
* | Aware, Inc. | 223,097 | 417 |
| Richardson Electronics, Ltd. | 139,185 | 411 |
* | Comverge Inc. | 83,770 | 410 |
* | RAE Systems, Inc. | 732,830 | 410 |
* | PLX Technology, Inc. | 226,668 | 390 |
* | Video Display Corp. | 48,365 | 388 |
*,^ | X-Rite Inc. | 257,166 | 383 |
* | Rubicon Technology, Inc. | 89,482 | 381 |
* | Saba Software, Inc. | 238,530 | 370 |
* | EFJ, Inc. | 268,122 | 359 |
* | Digimarc Corp. | 35,763 | 358 |
* | TranSwitch Corp. | 1,243,641 | 348 |
* | Semitool, Inc. | 110,471 | 337 |
* | Openwave Systems Inc. | 509,767 | 331 |
* | Tier Technologies, Inc. | 58,800 | 318 |
* | hi/fn, Inc. | 131,867 | 311 |
* | MIPS Technologies, Inc. | 274,947 | 305 |
*,^ | Research Frontiers, Inc. | 136,637 | 297 |
* | Actuate Software Corp. | 95,409 | 282 |
* | InFocus Corp. | 353,766 | 279 |
* | BSQUARE Corp. | 121,429 | 278 |
* | LookSmart, Ltd. | 168,661 | 275 |
* | Rainmaker Systems, Inc. | 317,862 | 270 |
* | Powerwave Technologies, Inc. | 491,521 | 246 |
* | Cray, Inc. | 118,024 | 245 |
* | Axcelis Technologies, Inc. | 443,758 | 226 |
*,^ | On2 Technologies, Inc. | 1,106,806 | 221 |
* | Mindspeed Technologies Inc. | 257,720 | 211 |
* | Ditech Networks Inc. | 240,802 | 197 |
* | ActivIdentity Corp. | 109,021 | 195 |
* | Dice Holdings Inc. | 47,727 | 195 |
* | Airvana, Inc. | 31,500 | 193 |
| Bel Fuse, Inc. Class A | 10,580 | 191 |
* | ArcSight, Inc. | 23,724 | 190 |
* | GTSI Corp. | 30,241 | 181 |
* | PDF Solutions, Inc. | 125,033 | 180 |
* | Intraware, Inc. | 46,037 | 180 |
* | Frequency Electronics, Inc. | 62,912 | 179 |
* | ANADIGICS, Inc. | 119,853 | 177 |
* | SCM Microsystems, Inc. | 74,532 | 168 |
* | QuickLogic Corp. | 247,891 | 156 |
*,^ | American Technology Corp. | 178,297 | 152 |
* | Borland Software Corp. | 141,655 | 149 |
* | VeriFone Holdings, Inc. | 30,122 | 148 |
* | Selectica, Inc. | 167,894 | 141 |
* | iGo, Inc. | 185,915 | 130 |
* | PLATO Learning, Inc. | 105,851 | 127 |
* | Allen Organ Co. Escrow Shares | 11,462 | 118 |
* | Kemet Corp. | 409,582 | 111 |
* | Ultra Clean Holdings, Inc. | 51,061 | 103 |
* | Lantronix, Inc. | 182,643 | 102 |
* | Evolving Systems, Inc. | 125,807 | 101 |
* | Network Engines, Inc. | 227,352 | 89 |
* | Analysts International Corp. | 148,261 | 87 |
* | Planar Systems, Inc. | 142,136 | 87 |
*,^ | Convera Corp. | 309,351 | 84 |
* | Intelli-Check Inc. | 49,751 | 82 |
* | Jupitermedia Corp. | 217,997 | 81 |
* | Calamp Corp. | 178,061 | 80 |
* | Silicon Graphics Inc. | 28,283 | 76 |
* | Comarco, Inc. | 94,810 | 76 |
* | Entropic Communications Inc. | 149,326 | 75 |
*,^ | Wave Systems Corp. Class A | 183,885 | 72 |
| MoneyGram International, Inc. | 67,700 | 68 |
* | Leadis Technology Inc. | 191,644 | 63 |
* | Autobytel Inc. | 136,187 | 61 |
* | Henry Bros. Electronics, Inc. | 9,700 | 58 |
* | Nanometrics Inc. | 46,196 | 54 |
* | Management Network Group Inc. | 126,767 | 51 |
* | Access Intergrated Technologies Inc. | 130,962 | 48 |
* | i2 Technologies, Inc. | 7,306 | 47 |
* | Newtek Business Services, Inc. | 201,851 | 44 |
* | SiRF Technology Holdings, Inc. | 34,354 | 44 |
* | FSI International, Inc. | 111,758 | 35 |
* | Wireless Telecom Group, Inc. | 98,580 | 34 |
* | Zhone Technologies | 364,247 | 30 |
| Gevity HR, Inc. | 17,189 | 26 |
* | Merix Corp. | 85,484 | 26 |
* | Miva Inc. | 139,637 | 25 |
* | Ikanos Communications, Inc. | 18,119 | 23 |
* | AuthentiDate Holding Corp. | 88,943 | 22 |
* | Pixelworks, Inc. | 30,519 | 22 |
* | Endwave Corp. | 9,266 | 22 |
*,^ | Telkonet, Inc. | 151,338 | 21 |
* | Conexant Systems, Inc. | 28,669 | 20 |
* | Airspan Networks Inc. | 193,638 | 18 |
* | Digital Angel Corp. | 27,400 | 14 |
* | Westell Technologies, Inc. | 39,031 | 10 |
* | Asyst Technologies, Inc. | 37,663 | 9 |
* | Avanex Corp. | 8,283 | 9 |
* | Spansion Inc. Class A | 43,196 | 8 |
* | Livewire Movile, Inc. | 60,638 | 7 |
* | AuthenTec, Inc. | 1,826 | 3 |
* | Nextwave Wireless Inc. | 26,666 | 2 |
* | ISCO International, Inc. | 10,333 | — |
* | IAC InterActiveCorp Warrants Exp. 2/4/09 | 38 | — |
| | | 12,596,564 |
Materials (3.3%) | | |
| Monsanto Co. | 4,651,744 | 327,250 |
| E.I. du Pont de Nemours & Co. | 7,630,002 | 193,039 |
| Praxair, Inc. | 2,664,147 | 158,144 |
| Newmont Mining Corp. (Holding Co.) | 3,714,934 | 151,198 |
| Nucor Corp. | 2,678,097 | 123,728 |
| Dow Chemical Co. | 7,827,759 | 118,121 |
| Air Products & Chemicals, Inc. | 1,792,091 | 90,088 |
| Freeport-McMoRan Copper & Gold, Inc. Class B | 3,251,021 | 79,455 |
| Alcoa Inc. | 6,886,269 | 77,539 |
| Ecolab, Inc. | 2,015,047 | 70,829 |
| Rohm & Haas Co. | 1,065,304 | 65,825 |
^ | Vulcan Materials Co. | 929,041 | 64,643 |
| PPG Industries, Inc. | 1,389,591 | 58,960 |
| Weyerhaeuser Co. | 1,790,224 | 54,799 |
| The Mosaic Co. | 1,317,544 | 45,587 |
| Sigma-Aldrich Corp. | 1,067,508 | 45,092 |
| International Paper Co. | 3,436,854 | 40,555 |
* | Owens-Illinois, Inc. | 1,412,336 | 38,599 |
| United States Steel Corp. | 995,074 | 37,017 |
^ | Martin Marietta Materials, Inc. | 350,236 | 34,001 |
| Ball Corp. | 777,461 | 32,335 |
* | Pactiv Corp. | 1,108,744 | 27,586 |
| FMC Corp. | 601,997 | 26,927 |
* | Crown Holdings, Inc. | 1,362,734 | 26,164 |
| Airgas, Inc. | 627,987 | 24,485 |
| Cliffs Natural Resources Inc. | 906,308 | 23,211 |
| CF Industries Holdings, Inc. | 454,849 | 22,360 |
| Lubrizol Corp. | 575,264 | 20,934 |
| Eastman Chemical Co. | 648,339 | 20,559 |
| AptarGroup Inc. | 575,132 | 20,268 |
| Sealed Air Corp. | 1,338,549 | 19,998 |
| Bemis Co., Inc. | 843,623 | 19,977 |
| Sonoco Products Co. | 844,667 | 19,562 |
| Allegheny Technologies Inc. | 763,774 | 19,499 |
| International Flavors & Fragrances, Inc. | 601,567 | 17,879 |
| MeadWestvaco Corp. | 1,450,780 | 16,234 |
| Compass Minerals International, Inc. | 276,045 | 16,193 |
| Steel Dynamics, Inc. | 1,443,840 | 16,142 |
| Celanese Corp. Series A | 1,275,612 | 15,856 |
| RPM International, Inc. | 1,098,420 | 14,598 |
| Valspar Corp. | 801,691 | 14,503 |
| Albemarle Corp. | 619,903 | 13,824 |
| Nalco Holding Co. | 1,194,512 | 13,785 |
| Terra Industries, Inc. | 781,598 | 13,029 |
| Royal Gold, Inc. | 259,913 | 12,790 |
| Packaging Corp. of America | 879,108 | 11,833 |
| Olin Corp. | 640,573 | 11,582 |
| Commercial Metals Co. | 971,054 | 11,526 |
| Scotts Miracle-Gro Co. | 385,468 | 11,456 |
| Reliance Steel & Aluminum Co. | 559,945 | 11,165 |
| Silgan Holdings, Inc. | 225,651 | 10,788 |
| Rock-Tenn Co. | 308,996 | 10,561 |
| Sensient Technologies Corp. | 390,967 | 9,336 |
| AK Steel Holding Corp. | 959,838 | 8,946 |
| Titanium Metals Corp. | 1,001,610 | 8,824 |
| Cabot Corp. | 545,363 | 8,344 |
| Cytec Industries, Inc. | 385,722 | 8,185 |
| Carpenter Technology Corp. | 358,778 | 7,369 |
* | Domtar Corp. | 4,375,709 | 7,307 |
| Schnitzer Steel Industries, Inc. Class A | 184,735 | 6,955 |
| Texas Industries, Inc. | 199,549 | 6,884 |
| Greif Inc. Class A | 205,401 | 6,867 |
| Eagle Materials, Inc. | 371,211 | 6,834 |
| H.B. Fuller Co. | 413,605 | 6,663 |
* | Intrepid Potash, Inc. | 319,905 | 6,644 |
| Minerals Technologies, Inc. | 160,341 | 6,558 |
| Worthington Industries, Inc. | 573,967 | 6,325 |
* | OM Group, Inc. | 295,633 | 6,241 |
| Ashland, Inc. | 591,198 | 6,213 |
| Arch Chemicals, Inc. | 210,044 | 5,476 |
| Wausau Paper Corp. | 426,322 | 4,877 |
| Huntsman Corp. | 1,409,272 | 4,848 |
* | Calgon Carbon Corp. | 297,564 | 4,571 |
* | Hecla Mining Co. | 1,545,528 | 4,327 |
| Temple-Inland Inc. | 871,119 | 4,181 |
| Deltic Timber Corp. | 89,301 | 4,086 |
*,^ | Coeur d’Alene Mines Corp. | 4,632,380 | 4,077 |
| Zep, Inc. | 202,553 | 3,911 |
* | Rockwood Holdings, Inc. | 357,416 | 3,860 |
| AMCOL International Corp. | 182,154 | 3,816 |
| NewMarket Corp. | 109,301 | 3,816 |
| Glatfelter | 387,038 | 3,599 |
| A. Schulman Inc. | 210,404 | 3,577 |
* | Solutia Inc. | 792,102 | 3,564 |
* | W.R. Grace & Co. | 587,731 | 3,509 |
| Balchem Corp. | 137,857 | 3,434 |
| Kaiser Aluminum Corp. | 139,010 | 3,131 |
* | Century Aluminum Co. | 308,108 | 3,081 |
| Koppers Holdings, Inc. | 140,889 | 3,046 |
* | RTI International Metals, Inc. | 212,415 | 3,040 |
| Chemtura Corp. | 1,961,194 | 2,746 |
| Schweitzer-Mauduit International, Inc. | 132,777 | 2,658 |
* | Stillwater Mining Co. | 536,657 | 2,651 |
* | Headwaters Inc. | 385,660 | 2,603 |
| Ferro Corp. | 365,892 | 2,580 |
* | PolyOne Corp. | 775,115 | 2,442 |
*,^ | Zoltek Cos., Inc. | 268,460 | 2,413 |
| Olympic Steel, Inc. | 117,638 | 2,396 |
| NL Industries, Inc. | 159,397 | 2,136 |
| Stepan Co. | 42,853 | 2,014 |
* | Haynes International, Inc. | 77,052 | 1,897 |
* | Brush Engineered Materials Inc. | 146,372 | 1,862 |
| Westlake Chemical Corp. | 113,559 | 1,850 |
| Quaker Chemical Corp. | 110,507 | 1,818 |
| Innophos Holdings Inc. | 89,609 | 1,775 |
| Spartech Corp. | 275,859 | 1,727 |
| Myers Industries, Inc. | 212,751 | 1,702 |
| Louisiana-Pacific Corp. | 893,896 | 1,394 |
* | Horsehead Holding Corp. | 281,625 | 1,324 |
| Great Northern Iron Ore Properties | 18,347 | 1,312 |
| Neenah Paper Inc. | 145,089 | 1,283 |
| American Vanguard Corp. | 105,396 | 1,233 |
| A.M. Castle & Co. | 111,300 | 1,205 |
* | Landec Corp. | 173,118 | 1,139 |
| Penford Corp. | 107,302 | 1,086 |
* | Buckeye Technology, Inc. | 297,596 | 1,083 |
*,^ | Altair Nanotechnology Inc. | 883,693 | 1,078 |
| Innospec, Inc. | 177,858 | 1,048 |
* | Graphic Packaging Holding Co. | 917,355 | 1,046 |
* | Allied Nevada Gold Corp. | 192,959 | 976 |
* | AEP Industries, Inc. | 52,603 | 925 |
* | U.S. Concrete, Inc. | 273,716 | 920 |
* | American Pacific Corp. | 113,651 | 915 |
| Hawkins, Inc. | 54,120 | 828 |
* | GenTek, Inc. | 50,484 | 760 |
* | LSB Industries, Inc. | 85,291 | 710 |
* | Universal Stainless & Alloy Products, Inc. | 44,082 | 639 |
* | ICO, Inc. | 196,205 | 620 |
* | U.S. Gold Corp. | 469,625 | 427 |
* | Mercer International Inc. | 198,310 | 381 |
* | U.S. Energy Corp. | 218,544 | 358 |
* | Nonophase Technologies Corp. | 324,243 | 340 |
* | Omnova Solutions Inc. | 516,235 | 336 |
* | Flotek Industries, Inc. | 132,134 | 333 |
*,^ | General Steel Holdings, Inc. | 40,800 | 161 |
* | Material Sciences Corp. | 89,953 | 139 |
* | Apex Silver Mines Ltd. | 141,200 | 138 |
| Georgia Gulf Corp. | 114,264 | 122 |
* | Smurfit-Stone Container Corp. | 349,564 | 89 |
* | Continental Materials Corp. | 3,500 | 56 |
* | General Moly, Inc. | 35,728 | 42 |
* | Rock of Ages Corp. | 17,900 | 36 |
* | Caraustar Industries, Inc. | 14,501 | 7 |
* | AbitibiBowater, Inc. | 11,740 | 6 |
* | General Chemical Group Inc. | 1 | — |
| | | 2,710,165 |
Telecommunication Services (3.4%) | | |
| AT&T Inc. | 49,839,526 | 1,420,426 |
| Verizon Communications Inc. | 24,084,510 | 816,465 |
* | American Tower Corp. Class A | 3,335,156 | 97,787 |
| Qwest Communications International Inc. | 13,147,581 | 47,857 |
| Embarq Corp. | 1,207,889 | 43,436 |
* | Sprint Nextel Corp. | 23,545,641 | 43,089 |
* | Crown Castle International Corp. | 2,301,309 | 40,457 |
| Windstream Corp. | 3,729,182 | 34,308 |
* | MetroPCS Communications Inc. | 1,778,576 | 26,412 |
* | NII Holdings Inc. | 1,406,321 | 25,567 |
| Frontier Communications Corp. | 2,678,128 | 23,407 |
| CenturyTel, Inc. | 823,214 | 22,498 |
| Telephone & Data Systems, Inc. | 621,941 | 19,747 |
* | SBA Communications Corp. | 809,364 | 13,209 |
* | Leap Wireless International, Inc. | 469,723 | 12,631 |
* | tw telecom inc. | 1,185,386 | 10,040 |
*,^ | Level 3 Communications, Inc. | 13,250,763 | 9,276 |
| Telephone & Data Systems, Inc. - Special Common Shares | 268,744 | 7,552 |
* | U.S. Cellular Corp. | 163,160 | 7,055 |
| | | | |
* | Centennial Communications Corp. Class A | 693,411 | 5,589 |
| Shenandoah Telecommunications Co. | 190,693 | 5,349 |
* | Syniverse Holdings Inc. | 360,910 | 4,309 |
* | Cincinnati Bell Inc. | 2,207,398 | 4,260 |
* | Premiere Global Services, Inc. | 462,688 | 3,984 |
| Iowa Telecommunications Services Inc. | 267,171 | 3,815 |
| NTELOS Holdings Corp. | 147,203 | 3,630 |
| Alaska Communications Systems Holdings, Inc. | 347,495 | 3,260 |
* | Cbeyond Inc. | 187,578 | 2,997 |
| FairPoint Communications, Inc. | 861,643 | 2,826 |
* | General Communication, Inc. | 343,179 | 2,776 |
| Consolidated Communications Holdings, Inc. | 203,361 | 2,416 |
*,^ | Cogent Communications Group, Inc. | 331,363 | 2,164 |
| Atlantic Tele-Network, Inc. | 71,289 | 1,893 |
| USA Mobility, Inc. | 154,737 | 1,790 |
* | ICO Global Communications (Holdings) Ltd. | 1,190,602 | 1,345 |
* | PAETEC Holding Corp. | 887,054 | 1,277 |
| SureWest Communications | 103,536 | 1,182 |
| Hickory Tech Corp. | 212,843 | 1,158 |
* | Global Crossing Ltd. | 144,473 | 1,147 |
*,^ | Vonage Holdings Corp. | 1,205,507 | 796 |
| Warwick Valley Telephone Co. | 74,807 | 684 |
* | iPCS, Inc. | 89,614 | 615 |
| D&E Communications, Inc. | 64,090 | 429 |
* | iBasis, Inc. | 302,250 | 426 |
| Arbinet Holdings, Inc. | 251,630 | 377 |
* | TerreStar Corp. | 889,716 | 356 |
*,^ | 8X8 Inc. | 725,752 | 345 |
* | Fibertower Corp. | 1,156,695 | 185 |
* | IDT Corp. Class B | 217,757 | 87 |
* | Globalstar, Inc. | 410,571 | 82 |
* | IDT Corp. | 64,834 | 23 |
| | | 2,782,791 |
Utilities (4.4%) | | |
| Exelon Corp. | 5,559,462 | 309,162 |
| Southern Co. | 6,513,988 | 241,018 |
| Dominion Resources, Inc. | 4,904,794 | 175,788 |
| FPL Group, Inc. | 3,282,232 | 165,195 |
| Duke Energy Corp. | 10,698,712 | 160,588 |
| Entergy Corp. | 1,621,155 | 134,767 |
| Public Service Enterprise Group, Inc. | 4,301,984 | 125,489 |
| FirstEnergy Corp. | 2,579,923 | 125,333 |
| PG&E Corp. | 3,081,691 | 119,292 |
| American Electric Power Co., Inc. | 3,402,299 | 113,228 |
| PPL Corp. | 3,168,865 | 97,252 |
| Consolidated Edison Inc. | 2,312,598 | 90,029 |
| Sempra Energy | 1,981,119 | 84,455 |
| Edison International | 2,618,547 | 84,108 |
| Progress Energy, Inc. | 2,106,224 | 83,933 |
| Xcel Energy, Inc. | 3,648,812 | 67,685 |
| Ameren Corp. | 1,778,791 | 59,163 |
| DTE Energy Co. | 1,380,317 | 49,236 |
| Allegheny Energy, Inc. | 1,430,426 | 48,434 |
| Questar Corp. | 1,469,082 | 48,024 |
* | AES Corp. | 5,692,113 | 46,903 |
* | NRG Energy, Inc. | 1,898,350 | 44,288 |
| Wisconsin Energy Corp. | 989,081 | 41,522 |
| Constellation Energy Group, Inc. | 1,511,677 | 37,928 |
| Equitable Resources, Inc. | 1,051,699 | 35,284 |
| CenterPoint Energy Inc. | 2,747,268 | 34,671 |
| SCANA Corp. | 941,631 | 33,522 |
| NSTAR | 904,287 | 32,997 |
| Pepco Holdings, Inc. | 1,831,655 | 32,530 |
| MDU Resources Group, Inc. | 1,476,462 | 31,862 |
| Northeast Utilities | 1,318,483 | 31,723 |
| Puget Energy, Inc. | 1,096,838 | 29,911 |
* | Mirant Corp. | 1,575,953 | 29,738 |
| Integrys Energy Group, Inc. | 647,219 | 27,817 |
| Pinnacle West Capital Corp. | 854,924 | 27,469 |
| Alliant Energy Corp. | 936,520 | 27,328 |
| NiSource, Inc. | 2,320,194 | 25,453 |
| ONEOK, Inc. | 840,603 | 24,478 |
| Aqua America, Inc. | 1,141,559 | 23,505 |
| UGI Corp. Holding Co. | 912,942 | 22,294 |
| TECO Energy, Inc. | 1,802,632 | 22,262 |
| DPL Inc. | 963,515 | 22,007 |
| AGL Resources Inc. | 650,642 | 20,398 |
| OGE Energy Corp. | 781,715 | 20,153 |
| Piedmont Natural Gas, Inc. | 621,924 | 19,696 |
| NV Energy Inc. | 1,985,498 | 19,637 |
| National Fuel Gas Co. | 622,962 | 19,517 |
| Great Plains Energy, Inc. | 1,008,917 | 19,502 |
| CMS Energy Corp. | 1,912,767 | 19,319 |
| Westar Energy, Inc. | 917,725 | 18,823 |
| ITC Holdings Corp. | 420,427 | 18,364 |
| Atmos Energy Corp. | 767,936 | 18,200 |
* | Reliant Energy, Inc. | 2,954,068 | 17,074 |
| Energen Corp. | 578,595 | 16,970 |
| Hawaiian Electric Industries Inc. | 762,718 | 16,887 |
| Vectren Corp. | 653,541 | 16,345 |
| New Jersey Resources Corp. | 356,923 | 14,045 |
| WGL Holdings Inc. | 424,507 | 13,877 |
| Nicor Inc. | 383,280 | 13,315 |
| Cleco Corp. | 511,498 | 11,677 |
| IDACORP, Inc. | 384,808 | 11,333 |
| American Water Works Co., Inc. | 541,502 | 11,307 |
| Portland General Electric Co. | 533,016 | 10,378 |
| South Jersey Industries, Inc. | 253,142 | 10,088 |
| Northwest Natural Gas Co. | 226,084 | 10,000 |
| Southwest Gas Corp. | 371,333 | 9,365 |
| UniSource Energy Corp. | 301,731 | 8,859 |
| Black Hills Corp. | 327,603 | 8,832 |
| Avista Corp. | 454,608 | 8,810 |
* | Dynegy, Inc. | 4,268,585 | 8,537 |
| The Laclede Group, Inc. | 177,191 | 8,300 |
| California Water Service Group | 166,917 | 7,750 |
| NorthWestern Corp. | 324,069 | 7,606 |
| PNM Resources Inc. | 740,032 | 7,460 |
| ALLETE, Inc. | 224,564 | 7,247 |
| CH Energy Group, Inc. | 134,389 | 6,906 |
* | El Paso Electric Co. | 380,595 | 6,885 |
| MGE Energy, Inc. | 187,847 | 6,199 |
| UIL Holdings Corp. | 204,211 | 6,132 |
| Ormat Technologies Inc. | 174,692 | 5,567 |
| Empire District Electric Co. | 289,110 | 5,088 |
| American States Water Co. | 144,854 | 4,777 |
| SJW Corp. | 131,129 | 3,926 |
| Central Vermont Public Service Corp. | 96,413 | 2,300 |
| Connecticut Water Services, Inc. | 95,865 | 2,263 |
| Chesapeake Utilities Corp. | 63,044 | 1,985 |
| Middlesex Water Co. | 114,585 | 1,974 |
| Consolidated Water Co., Ltd. | 138,156 | 1,727 |
| Maine & Maritimes Corp. | 27,084 | 1,052 |
| The York Water Co. | 73,881 | 897 |
| Southwest Water Co. | 215,406 | 694 |
* | Cadiz Inc. | 48,922 | 612 |
| Unitil Corp. | 18,407 | 380 |
| Artesian Resources Corp Class A | 8,251 | 131 |
* | Synthesis Energy Systems, Inc. | 33,393 | 23 |
| | | 3,576,860 |
Total Common Stocks (Cost $104,538,428) | | 81,273,172 |
| | | | | Market |
| | | Maturity | | Value |
| | Coupon | Date | Shares | ($000) |
Temporary Cash Investments (1.5%) | | | | |
Money Market Fund (1.4%) | | | | |
2,3 | Vanguard Market Liquidity Fund | 1.378% | | 1,105,723,733 | 1,105,724 |
| | | | | |
| | | | Face | |
| | | | Amount | |
| | | | ($000) | |
U.S. Agency Obligations (0.1%) | | | | |
4,5 | Federal Home Loan Bank | 2.625% | 2/27/09 | 5,000 | 4,999 |
4,5 | Federal Home Loan Mortgage Corp. | 2.268% | 2/18/09 | 20,000 | 19,998 |
4,5 | Federal Home Loan Mortgage Corp. | 2.642% | 2/19/09 | 20,000 | 19,997 |
4,5 | Federal Home Loan Mortgage Corp. | 0.230% | 4/17/09 | 8,000 | 7,993 |
4,5 | Federal Home Loan Mortgage Corp. | 1.206% | 4/30/09 | 12,000 | 11,988 |
4,5 | Federal Home Loan Mortgage Corp. | 0.200% | 5/6/09 | 5,000 | 4,997 |
4,5 | Federal National Mortgage Assn. | 1.357% | 3/31/09 | 5,000 | 4,997 |
| | | | | 74,969 |
Total Temporary Cash Investments (Cost $1,180,499)1 | | | | 1,180,693 |
Total Investments (100.7%) (Cost $105,718,927) | | | | 82,453,865 |
Other Assets and Liabilities—Net (–0.7%)3 | | | | (534,693) |
Net Assets (100%) | | | | 81,919,172 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $484,561,000.
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 0.7%, 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 Includes $527,743,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.
5 Securities with a value of $74,969,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Index Funds and the Shareholders of Vanguard Total Stock Market Index Fund:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements (not presented herein) of Vanguard Total Stock Market Index Fund (constituting a separate portfolio of Vanguard Index Funds, hereafter referred to as the “Fund”) as of December 31, 2008, and for the year then ended and have issued our unqualified report thereon dated February 13, 2009. Our audit included an audit of the Fund’s schedule of investments as of December 31, 2008. This schedule of investments is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this schedule of investments based on our audit.
In our opinion, the accompanying schedule of investments referred to above, when read in conjunction with the financial statements of the Fund referred to above, presents fairly, in all material respects, the information set forth therein.
PricewaterhouseCoopers LLP Philadelphia, PA
February 13, 2009
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| Vanguard Marketing Corporation, Distributor. |
| |
| SNA850 022009 |
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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: Charles D. Ellis, Rajiv L. Gupta, JoAnn Heffernan Heisen, André F. Perold, Alfred M. Rankin, Jr., and J. Lawrence Wilson.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended December 31, 2008: $324,000
Fiscal Year Ended December 31, 2007: $318,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2008: $3,055,590
Fiscal Year Ended December 31, 2007: $2,835,320
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2008: $626,240
Fiscal Year Ended December 31, 2007: $630,400
Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(c) Tax Fees.
Fiscal Year Ended December 31, 2008: $230,400
Fiscal Year Ended December 31, 2007: $215,900
Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.
(d) All Other Fees.
Fiscal Year Ended December 31, 2008: $0
Fiscal Year Ended December 31, 2007: $0
Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2008: $230,400
Fiscal Year Ended December 31, 2007: $215,900
Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: 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: Charles D. Ellis, Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, André F. Perold, Alfred M. Rankin, Jr., and J. Lawrence Wilson.
Item 6: Not Applicable.
Item 7: Not Applicable.
Item 8: Not Applicable.
Item 9: Not Applicable.
Item 10: 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.
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 INDEX FUNDS |
| |
By: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III |
| CHIEF EXECUTIVE OFFICER |
| |
Date: February 13, 2009 |
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 INDEX FUNDS |
| |
By: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III |
| CHIEF EXECUTIVE OFFICER |
| |
Date: February 13, 2009 |
| VANGUARD INDEX FUNDS |
| INDEX FUNDS |
By: | /s/ THOMAS J. HIGGINS* |
| THOMAS J. HIGGINS |
| CHIEF FINANCIAL OFFICER |
| |
Date: February 13, 2009 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on January 18, 2008, see file Number 2-29601, Incorporated by Reference; and pursuant to a Power of Attorney filed on September 26, 2008, see File Number 2-47371, Incorporated by Reference.
