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, 2010 – June 30, 2010
Item 1: Reports to Shareholders
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| Vanguard 500 Index Fund |
| Semiannual Report |
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| June 30, 2010 |
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> For the fiscal half-year ended June 30, 2010, the Investor Shares of Vanguard 500 Index Fund returned –6.71%, closely tracking the performance of the fund’s target benchmark.
> The first half of the six-month period yielded positive results for U.S. stocks; however, a swift downturn later in the period erased returns and led stocks into negative territory.
> Holdings in information technology, energy, and health care weighed most heavily on returns during the period.
| |
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 6 |
| Performance Summary. | 7 |
| Financial Statements. | 8 |
| About Your Fund’s Expenses. | 24 |
| Trustees Approve Advisory Arrangement. | 26 |
| Glossary. | 27 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
Cover photograph: Veronica Coia.
Your Fund’s Total Returns
Six Months Ended June 30, 2010
| |
| | Total |
| | Returns |
| Vanguard 500 Index Fund | |
| Investor Shares | -6.71% |
| Admiral™ Shares | -6.66 |
| Signal® Shares | -6.66 |
| S&P 500 Index | -6.65 |
| Large-Cap Core Funds Average | -7.89 |
| Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Admiral Shares are a lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. Signal Shares are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria.
Your Fund’s Performance at a Glance
December 31, 2009 , Through June 30, 2010
| | | | |
| | | | Distributions Per Share |
| | Starting | Ending | Income | Capital |
| | Share Price | Share Price | Dividends | Gains |
| Vanguard 500 Index Fund | | | | |
| Investor Shares | $102.67 | $94.91 | $0.943 | $0.000 |
| Admiral Shares | 102.67 | 94.91 | 0.997 | 0.000 |
| Signal Shares | 84.81 | 78.40 | 0.822 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
After rebounding strongly from recent fallout from the financial crisis, U.S. stocks slipped again over the final two months of the period. For the six months ended June 30, the broad U.S. stock market returned –5.67%. Vanguard 500 Index Fund underperformed the broad market, with Investor Shares of the fund returning –6.71% for the period. Despite posting negative returns, the fund met its objective of closely tracking the performance of its target benchmark, the Standard & Poor’s 500 Index. The fund bested its peer-group average for the period, finishing ahead of the average return for large-capitalization core funds.
Both the fund and its index posted negative results in all ten sectors of the stock market for the period. Stocks in the information technology, energy, and health care sectors lagged the most. Relatively speaking, the industrial and consumer discretionary sectors were among the fund’s better-performing areas.
Sovereign debt worries pulled down stock returns
After pulling back a bit in January from 2009’s strong gains, stocks rose steadily as winter turned to spring. Rapid growth in corporate earnings and optimism about the strength of the economic recovery were dominant themes. But in May, the scope of Europe’s fiscal challenges became clearer, and stock prices retreated sharply. For the full six months, U.S. stocks
2
returned about –6%. Small-capitalization stocks, representing companies less exposed to global turmoil than large-cap multinationals, lost less ground than larger stocks.
International stocks also posted negative six-month returns. For U.S.-based investors, a strengthening U.S. dollar further reduced the returns from non-U.S. stocks, particularly in Europe, where the euro fell noticeably in value.
Bonds continued to show strength as investors looked for safer assets
With the economic recovery appearing to decelerate and inflation remaining dormant, bonds stayed in favor throughout the period. As worries persisted about possible fallout from Europe’s sovereign debt problems, many investors sought safety in U.S. Treasuries. Higher-quality corporate bonds also performed well as earnings reports indicated that company balance sheets remained in good shape.
Municipal bonds, with their history of low default rates, also held their ground despite ongoing concerns about deficits confronting many state and local governments. In this risk-averse environment, lower-rated, higher-risk corporate bonds lagged a bit. For the full six months, the broad taxable market returned more than 5%; municipal securities returned more than 3%.
| | | |
| Market Barometer | | | |
| |
| | | | Total Returns |
| | | Periods Ended June 30, 2010 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | -6.40% | 15.24% | -0.56% |
| Russell 2000 Index (Small-caps) | -1.95 | 21.48 | 0.37 |
| Dow Jones U.S. Total Stock Market Index | -5.67 | 16.20 | -0.08 |
| MSCI All Country World Index ex USA (International) | -10.80 | 10.87 | 3.84 |
| |
| Bonds | | | |
| Barclays Capital U.S. Aggregate Bond Index (Broad | | | |
| taxable market) | 5.33% | 9.50% | 5.54% |
| Barclays Capital Municipal Bond Index | 3.31 | 9.61 | 4.40 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.12 | 2.63 |
| |
| CPI | | | |
| Consumer Price Index | 0.93% | 1.05% | 2.30% |
3
Negative returns across sectors hindered fund performance
Vanguard 500 Index Fund, like the broad U.S. stock market, kicked off the half-year with positive returns. However, the market tumbled in May and June and stocks ended the six months in negative territory. Stocks were down across the board, and both the fund and the index registered negative results in all ten sectors.
Information technology—the index’s most heavily weighted sector—was hit hard during the downturn and subtracted 2 percentage points from the index’s total return for the period. Big-name software companies and internet giants suffered the biggest blows, as nervousness about the economy’s near-term prospects raised concerns about technology spending.
The energy sector also dragged down fund performance. In particular, big oil and gas companies endured heavy losses, as consumer demand decreased and the oil spill in the Gulf of Mexico continued to spark fear among investors. Health care stocks also weighed on returns. Sector losses were led by big-name pharmaceutical companies, which wrestled with a number of regulatory and commercial challenges.
| | | | |
| Expense Ratios | | | | |
| Your Fund Compared With Its Peer Group | | | | |
| | Investor | Admiral | Signal | Peer Group |
| | Shares | Shares | Shares | Average |
| 500 Index Fund | 0.18% | 0.07% | 0.07% | 1.27% |
The fund expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the fund’s annualized expense ratios were 0.17% for Investor Shares, 0.07% for Admiral Shares, and 0.07% for Signal Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2009.
Peer group: Large-Cap Core Funds.
4
Despite the fund’s negative overall returns, a few industries contributed positive results. Some areas of the industrial sector—most notably the construction and railroad industries—were up for the period. In the consumer discretionary sector, fast food chains and toy companies performed well, while insurance and real estate companies were bright spots for the financial sector.
Regardless of market conditions, diversification is important
The past six months have been a dramatic time in the U.S. stock market. At the beginning of the period, stocks continued to stage an impressive rally that began in March 2009, following the worst downturn in decades. However, in May, stocks retreated swiftly as investor concerns grew over the European debt crisis and concern about the economy’s strength.
While you can’t control what happens in the financial markets, you can control how you invest your hard-earned money. Vanguard encourages you to create a long-term investment plan that includes a mix of stocks, bonds, and short-term investments that is appropriate for your goals and risk tolerance. A well-diversified portfolio can offer some protection from the market’s inevitable swings, while also providing an opportunity for long-term growth.
With its low costs and broad exposure to large- and mid-capitalization stocks, Vanguard 500 Index Fund can play an important role in such a diversified investment program.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 12, 2010
5
| | | |
| 500 Index Fund | | |
| |
| |
| Fund Profile | | |
| As of June 30, 2010 | | | |
| |
| Share-Class Characteristics | | |
| Investor | Admiral | Signal |
| | Shares | Shares | Shares |
| Ticker Symbol | VFINX | VFIAX | VIFSX |
| Expense Ratio1 | 0.18% | 0.07% | 0.07% |
| 30-Day SEC Yield | 1.81% | 1.91% | 1.91% |
| |
| Portfolio Characteristics | | |
| | | | DJ |
| | | | U.S. Total |
| | | S&P 500 | Market |
| | Fund | Index | Index |
| Number of Stocks | 504 | 500 | 4,114 |
| Median Market Cap $41.7B | $41.7B | $25.2B |
| Price/Earnings Ratio | 16.2x | 16.2x | 17.6x |
| Price/Book Ratio | 1.9x | 1.9x | 1.9x |
| Return on Equity | 20.6% | 20.6% | 19.1% |
| Earnings Growth Rate | 6.5% | 6.5% | 6.6% |
| Dividend Yield | 2.2% | 2.2% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 5% | — | — |
| Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
| | | |
| | | | DJ |
| | | | U.S. Total |
| | | S&P 500 | Market |
| | Fund | Index | Index |
| Consumer | | | |
| Discretionary | 10.1% | 10.1% | 11.4% |
| Consumer Staples | 11.5 | 11.5 | 10.4 |
| Energy | 10.7 | 10.7 | 9.4 |
| Financials | 16.3 | 16.3 | 17.5 |
| Health Care | 12.1 | 12.1 | 11.7 |
| Industrials | 10.3 | 10.3 | 10.8 |
| Information | | | |
| Technology | 18.8 | 18.8 | 18.7 |
| Materials | 3.4 | 3.4 | 3.9 |
| Telecommunication | | | |
| Services | 3.0 | 3.0 | 2.7 |
| Utilities | 3.8 | 3.8 | 3.5 |
| | |
| Volatility Measures | | |
| | | DJ |
| | | U.S. Total |
| | S&P 500 | Market |
| | Index | Index |
| R-Squared | 1.00 | 0.99 |
| Beta | 1.00 | 0.97 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
| | |
| Exxon Mobil Corp. | Integrated Oil & | |
| | Gas | 3.1% |
| Apple Inc. | Computer | |
| | Hardware | 2.5 |
| Microsoft Corp. | Systems Software | 1.9 |
| Procter & Gamble Co. | Household | |
| | Products | 1.9 |
| Johnson & Johnson | Pharmaceuticals | 1.7 |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.7 |
| General Electric Co. | Industrial | |
| | Conglomerates | 1.7 |
| JPMorgan Chase & Co. | Diversified Financial | |
| | Services | 1.6 |
| Bank of America Corp. | Diversified Financial | |
| | Services | 1.5 |
| AT&T Inc. | Integrated | |
| | Telecommunication | |
| | Services | 1.5 |
| Top Ten | | 19.1% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.17% for Investor Shares, 0.07% for Admiral Shares, and 0.07% for Signal Shares.
6
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.
Fiscal-Year Total Returns (%): December 31, 1999, Through June 30, 2010
| | | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | | |
| |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Investor Shares | 8/31/1976 | 14.33% | -0.87% | -1.67% |
| Admiral Shares | 11/13/2000 | 14.45 | -0.78 | -0.951 |
| Signal Shares | 9/29/2006 | 14.45 | — | -4.601 |
| 1 Return since inception. | | | | |
See Financial Highlights for dividend and capital gains information.
7
500 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2010
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at 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 (10.1%) | |
| | McDonald’s Corp. | 9,918,374 | 653,323 |
| | Walt Disney Co. | 18,057,095 | 568,798 |
| | Home Depot Inc. | 15,492,177 | 434,865 |
| | Comcast Corp. Class A | 24,709,418 | 429,203 |
| * | Amazon.com Inc. | 3,163,797 | 345,676 |
| | Target Corp. | 6,790,193 | 333,874 |
| *,^ | Ford Motor Co. | 31,408,626 | 316,599 |
| | Time Warner Inc. | 10,508,073 | 303,788 |
| * | DIRECTV Class A | 8,379,079 | 284,218 |
| | Lowe’s Cos. Inc. | 13,177,176 | 269,078 |
| | News Corp. Class A | 20,779,993 | 248,529 |
| | NIKE Inc. Class B | 3,582,440 | 241,994 |
| | Viacom Inc. Class B | 5,599,649 | 175,661 |
| | Time Warner Cable Inc. | 3,263,830 | 169,980 |
| | Yum! Brands Inc. | 4,309,581 | 168,246 |
| | Starbucks Corp. | 6,869,809 | 166,936 |
| | Johnson Controls Inc. | 6,202,305 | 166,656 |
| | TJX Cos. Inc. | 3,761,531 | 157,796 |
| * | Kohl’s Corp. | 2,838,919 | 134,849 |
| | Staples Inc. | 6,727,450 | 128,158 |
| | Carnival Corp. | 3,991,558 | 120,705 |
| | Best Buy Co. Inc. | 3,189,691 | 108,003 |
| | Coach Inc. | 2,813,023 | 102,816 |
| | Omnicom Group Inc. | 2,830,080 | 97,072 |
| * | Discovery Communications | |
| | Inc. Class A | 2,616,580 | 93,438 |
| * | Bed Bath & Beyond Inc. | 2,427,172 | 90,000 |
| | McGraw-Hill Cos. Inc. | 2,909,111 | 81,862 |
| | CBS Corp. Class B | 6,255,113 | 80,879 |
| | Gap Inc. | 4,139,332 | 80,551 |
| * | priceline.com Inc. | 437,451 | 77,228 |
| | Stanley Black & Decker Inc. 1,478,999 | 74,719 |
| | Starwood Hotels & Resorts | |
| | Worldwide Inc. | 1,747,325 | 72,392 |
| | Mattel Inc. | 3,363,207 | 71,165 |
| | Marriott International Inc. | | |
| | Class A | 2,365,621 | 70,827 |
| | Macy’s Inc. | 3,889,645 | 69,625 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Whirlpool Corp. | 692,585 | 60,823 |
| * | O’Reilly Automotive Inc. | 1,270,762 | 60,437 |
| | Ross Stores Inc. | 1,129,782 | 60,206 |
| | VF Corp. | 813,360 | 57,895 |
| | Genuine Parts Co. | 1,467,235 | 57,882 |
| | Fortune Brands Inc. | 1,404,534 | 55,030 |
| | Ltd Brands Inc. | 2,488,826 | 54,928 |
| * | AutoZone Inc. | 270,381 | 52,243 |
| | Darden Restaurants Inc. | 1,293,233 | 50,242 |
| | Hasbro Inc. | 1,209,462 | 49,709 |
| | Nordstrom Inc. | 1,539,166 | 49,546 |
| * | Apollo Group Inc. Class A | 1,162,994 | 49,392 |
| | Wynn Resorts Ltd. | 636,740 | 48,564 |
| | Harley-Davidson Inc. | 2,164,689 | 48,121 |
| | H&R Block Inc. | 3,043,081 | 47,746 |
| | Family Dollar Stores Inc. | 1,248,444 | 47,054 |
| | JC Penney Co. Inc. | 2,177,748 | 46,778 |
| | Tiffany & Co. | 1,175,361 | 44,558 |
| | Polo Ralph Lauren Corp. | | |
| | Class A | 607,921 | 44,354 |
| | International Game | | |
| | Technology | 2,740,476 | 43,025 |
| * | Urban Outfitters Inc. | 1,199,793 | 41,261 |
| * | CarMax Inc. | 2,060,738 | 41,009 |
| | Newell Rubbermaid Inc. | 2,563,578 | 37,531 |
| | Expedia Inc. | 1,916,463 | 35,991 |
| | Scripps Networks | | |
| | Interactive Inc. Class A | 827,945 | 33,399 |
| | Wyndham Worldwide Corp. | 1,653,566 | 33,303 |
| * | Interpublic Group of | | |
| | Cos. Inc. | 4,500,214 | 32,086 |
| | DeVry Inc. | 572,001 | 30,024 |
| | Gannett Co. Inc. | 2,187,948 | 29,450 |
| *,^ | Sears Holdings Corp. | 444,930 | 28,765 |
| | Leggett & Platt Inc. | 1,365,907 | 27,400 |
| * | GameStop Corp. Class A | 1,412,920 | 26,549 |
| | DR Horton Inc. | 2,558,353 | 25,149 |
| | Abercrombie & Fitch Co. | 814,421 | 24,995 |
| * | Pulte Group Inc. | 2,922,500 | 24,198 |
| * | Big Lots Inc. | 743,154 | 23,848 |
8
| | | |
| 500 Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Washington Post Co. | | |
| | Class B | 56,015 | 22,993 |
| | RadioShack Corp. | 1,159,407 | 22,620 |
| * | Goodyear Tire & | | |
| | Rubber Co. | 2,242,849 | 22,294 |
| | Comcast Corp. | 1,304,720 | 21,437 |
| | Lennar Corp. Class A | 1,494,022 | 20,782 |
| * | Harman International | | |
| | Industries Inc. | 642,343 | 19,200 |
| *,^ | AutoNation Inc. | 828,305 | 16,152 |
| * | Eastman Kodak Co. | 2,483,116 | 10,777 |
| | Meredith Corp. | 339,390 | 10,565 |
| * | Office Depot Inc. | 2,543,583 | 10,276 |
| * | New York Times Co. | | |
| | Class A | 1,070,408 | 9,259 |
| | | | 8,699,355 |
| Consumer Staples (11.5%) | | |
| | Procter & Gamble Co. | 26,551,556 | 1,592,562 |
| | Coca-Cola Co. | 21,270,038 | 1,066,054 |
| | Wal-Mart Stores Inc. | 19,152,754 | 920,673 |
| | PepsiCo Inc. | 14,868,614 | 906,242 |
| | Philip Morris | | |
| | International Inc. | 17,073,480 | 782,648 |
| | Kraft Foods Inc. | 16,074,198 | 450,078 |
| | Altria Group Inc. | 19,200,422 | 384,776 |
| | CVS Caremark Corp. | 12,546,786 | 367,872 |
| | Colgate-Palmolive Co. | 4,521,940 | 356,148 |
| | Walgreen Co. | 9,021,026 | 240,861 |
| | Kimberly-Clark Corp. | 3,816,771 | 231,411 |
| | Costco Wholesale Corp. | 4,065,677 | 222,921 |
| | General Mills Inc. | 6,117,903 | 217,308 |
| | Sysco Corp. | 5,454,352 | 155,831 |
| | Archer-Daniels-Midland Co. 5,930,055 | 153,114 |
| | HJ Heinz Co. | 2,915,625 | 126,013 |
| | Kellogg Co. | 2,353,710 | 118,392 |
| | Kroger Co. | 5,958,089 | 117,315 |
| | Avon Products Inc. | 3,946,306 | 104,577 |
| | Lorillard Inc. | 1,409,282 | 101,440 |
| | ConAgra Foods Inc. | 4,107,965 | 95,798 |
| | Mead Johnson | | |
| | Nutrition Co. | 1,885,746 | 94,514 |
| | Sara Lee Corp. | 6,097,280 | 85,972 |
| | Dr Pepper Snapple | | |
| | Group Inc. | 2,265,438 | 84,705 |
| | Reynolds American Inc. | 1,558,617 | 81,235 |
| | Clorox Co. | 1,295,026 | 80,499 |
| | Coca-Cola Enterprises Inc. | 2,999,354 | 77,563 |
| | Hershey Co. | 1,529,511 | 73,309 |
| | Safeway Inc. | 3,583,028 | 70,442 |
| | JM Smucker Co. | 1,099,072 | 66,186 |
| | Campbell Soup Co. | 1,725,625 | 61,829 |
| | Molson Coors Brewing Co. | |
| | Class B | 1,456,789 | 61,710 |
| | Estee Lauder Cos. Inc. | | |
| | Class A | 1,103,332 | 61,489 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Brown-Forman Corp. | | |
| | Class B | 1,004,134 | 57,467 |
| * | Whole Foods Market Inc. | 1,574,444 | 56,711 |
| | Tyson Foods Inc. Class A | 2,818,846 | 46,201 |
| | McCormick & Co. Inc. | 1,212,672 | 46,033 |
| * | Constellation Brands Inc. | | |
| | Class A | 1,772,871 | 27,692 |
| | Hormel Foods Corp. | 641,282 | 25,959 |
| | SUPERVALU Inc. | 1,963,541 | 21,285 |
| * | Dean Foods Co. | 1,671,625 | 16,833 |
| | | | 9,909,668 |
| Energy (10.7%) | | |
| | Exxon Mobil Corp. | 47,131,540 | 2,689,797 |
| | Chevron Corp. | 18,518,886 | 1,256,692 |
| | ConocoPhillips | 13,721,677 | 673,597 |
| | Schlumberger Ltd. | 10,997,148 | 608,582 |
| | Occidental Petroleum | | |
| | Corp. | 7,487,860 | 577,688 |
| | Apache Corp. | 3,109,569 | 261,795 |
| | Devon Energy Corp. | 4,120,348 | 251,012 |
| | EOG Resources Inc. | 2,334,016 | 229,597 |
| | Halliburton Co. | 8,345,848 | 204,890 |
| | Marathon Oil Corp. | 6,541,509 | 203,375 |
| | Anadarko Petroleum Corp. | 4,561,452 | 164,623 |
| | Baker Hughes Inc. | 3,957,708 | 164,522 |
| | Hess Corp. | 2,694,263 | 135,629 |
| | National Oilwell Varco Inc. | 3,861,640 | 127,704 |
| | Chesapeake Energy Corp. | 5,997,216 | 125,642 |
| * | Southwestern Energy Co. | 3,193,900 | 123,412 |
| | Spectra Energy Corp. | 5,975,202 | 119,922 |
| | Williams Cos. Inc. | 5,385,674 | 98,450 |
| | Noble Energy Inc. | 1,609,951 | 97,128 |
| | Peabody Energy Corp. | 2,479,877 | 97,038 |
| | Valero Energy Corp. | 5,214,397 | 93,755 |
| | Murphy Oil Corp. | 1,763,828 | 87,398 |
| | Smith International Inc. | 2,290,754 | 86,247 |
| * | Cameron International | | |
| | Corp. | 2,251,630 | 73,223 |
| | El Paso Corp. | 6,472,052 | 71,904 |
| | Consol Energy Inc. | 2,081,211 | 70,262 |
| | Pioneer Natural | | |
| | Resources Co. | 1,068,207 | 63,505 |
| * | FMC Technologies Inc. | 1,121,188 | 59,042 |
| | Range Resources Corp. | 1,469,989 | 59,020 |
| * | Denbury Resources Inc. | 3,681,437 | 53,896 |
| * | Nabors Industries Ltd. | 2,624,194 | 46,238 |
| ^ | Diamond Offshore | | |
| | Drilling Inc. | 641,417 | 39,890 |
| | Sunoco Inc. | 1,114,379 | 38,747 |
| | Helmerich & Payne Inc. | 977,489 | 35,698 |
| | Cabot Oil & Gas Corp. | 959,507 | 30,052 |
| | Massey Energy Co. | 939,046 | 25,683 |
| * | Rowan Cos. Inc. | 1,053,403 | 23,112 |
| | Tesoro Corp. | 1,298,114 | 15,149 |
| | | | 9,183,916 |
9
| | | |
| 500 Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Financials (16.3%) | | |
| | JPMorgan Chase & Co. | 36,681,996 | 1,342,928 |
| | Bank of America Corp. | 92,499,804 | 1,329,222 |
| | Wells Fargo & Co. | 48,035,505 | 1,229,709 |
| * | Berkshire Hathaway Inc. | | |
| | Class B | 13,733,330 | 1,094,409 |
| * | Citigroup Inc. | 208,402,794 | 783,594 |
| | Goldman Sachs | | |
| | Group Inc. | 4,746,059 | 623,015 |
| | American Express Co. | 11,075,140 | 439,683 |
| | US Bancorp | 17,672,961 | 394,991 |
| | Morgan Stanley | 12,886,995 | 299,107 |
| | MetLife Inc. | 7,561,708 | 285,530 |
| | Bank of New York | | |
| | Mellon Corp. | 11,183,216 | 276,114 |
| | PNC Financial Services | | |
| | Group Inc. | 4,850,112 | 274,031 |
| | Prudential Financial Inc. | 4,296,450 | 230,547 |
| | Travelers Cos. Inc. | 4,566,927 | 224,921 |
| | Simon Property Group Inc. | 2,698,502 | 217,904 |
| | Aflac Inc. | 4,329,865 | 184,755 |
| | CME Group Inc. | 605,644 | 170,519 |
| | Capital One Financial Corp. 4,209,172 | 169,630 |
| | BB&T Corp. | 6,381,132 | 167,888 |
| | State Street Corp. | 4,625,747 | 156,443 |
| | Chubb Corp. | 3,012,821 | 150,671 |
| | Allstate Corp. | 4,959,440 | 142,485 |
| | Charles Schwab Corp. | 9,021,842 | 127,930 |
| * | Berkshire Hathaway Inc. | | |
| | Class A | 1,019 | 122,280 |
| | Franklin Resources Inc. | 1,362,408 | 117,426 |
| | Progressive Corp. | 6,181,312 | 115,714 |
| | Marsh & McLennan | | |
| | Cos. Inc. | 4,990,168 | 112,528 |
| | Public Storage | 1,253,509 | 110,196 |
| | Equity Residential | 2,608,677 | 108,625 |
| | Loews Corp. | 3,241,084 | 107,960 |
| | SunTrust Banks Inc. | 4,608,184 | 107,371 |
| | Vornado Realty Trust | 1,459,191 | 106,448 |
| | T Rowe Price Group Inc. | 2,393,081 | 106,229 |
| | Northern Trust Corp. | 2,230,328 | 104,156 |
| | AON Corp. | 2,484,023 | 92,207 |
| | Boston Properties Inc. | 1,282,417 | 91,488 |
| | Hartford Financial | | |
| | Services Group Inc. | 4,094,870 | 90,619 |
| | Fifth Third Bancorp | 7,328,845 | 90,071 |
| | HCP Inc. | 2,714,032 | 87,528 |
| | Ameriprise Financial Inc. | 2,361,024 | 85,304 |
| | Host Hotels & Resorts Inc. | 6,069,302 | 81,814 |
| * | Intercontinental- | | |
| | Exchange Inc. | 681,772 | 77,061 |
| | Invesco Ltd. | 4,307,859 | 72,501 |
| | Regions Financial Corp. | 11,005,408 | 72,416 |
| | AvalonBay | | |
| | Communities Inc. | 765,168 | 71,444 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Discover Financial | | |
| | Services | 5,018,096 | 70,153 |
| | Principal Financial | | |
| | Group Inc. | 2,948,078 | 69,103 |
| | Ventas Inc. | 1,446,085 | 67,894 |
| | Lincoln National Corp. | 2,789,387 | 67,754 |
| | Unum Group | 3,067,261 | 66,560 |
| | NYSE Euronext | 2,408,425 | 66,545 |
| | M&T Bank Corp. | 765,680 | 65,045 |
| | KeyCorp | 8,113,072 | 62,390 |
| | Comerica Inc. | 1,625,857 | 59,880 |
| * | Genworth Financial Inc. | | |
| | Class A | 4,513,341 | 58,989 |
| | Hudson City Bancorp Inc. | 4,379,526 | 53,605 |
| | Plum Creek Timber Co. Inc. | 1,502,494 | 51,881 |
| | XL Capital Ltd. Class A | 3,156,997 | 50,544 |
| | Kimco Realty Corp. | 3,721,180 | 50,013 |
| | Health Care REIT Inc. | 1,139,450 | 47,994 |
| * | SLM Corp. | 4,480,208 | 46,549 |
| | People’s United | | |
| | Financial Inc. | 3,432,805 | 46,343 |
| | ProLogis | 4,383,439 | 44,404 |
| *,^ | American International | | |
| | Group Inc. | 1,246,709 | 42,937 |
| | Legg Mason Inc. | 1,522,019 | 42,662 |
| | Cincinnati Financial Corp. | 1,506,971 | 38,985 |
| | Torchmark Corp. | 760,879 | 37,671 |
| | Huntington Bancshares Inc. | 6,622,944 | 36,691 |
| | Moody’s Corp. | 1,818,227 | 36,219 |
| | Assurant Inc. | 1,033,610 | 35,866 |
| | Marshall & Ilsley Corp. | 4,857,320 | 34,876 |
| * | Leucadia National Corp. | 1,756,517 | 34,270 |
| * | CB Richard Ellis Group Inc. | | |
| | Class A | 2,496,876 | 33,982 |
| | Zions Bancorporation | 1,482,109 | 31,969 |
| * | First Horizon National Corp. | 2,110,959 | 24,170 |
| * | NASDAQ OMX Group Inc. | 1,346,118 | 23,934 |
| * | E*Trade Financial Corp. | 1,829,597 | 21,626 |
| | Apartment Investment & | | |
| | Management Co. | 1,083,365 | 20,985 |
| | Federated Investors Inc. | | |
| | Class B | 815,829 | 16,896 |
| | Janus Capital Group Inc. | 1,685,614 | 14,968 |
| | | | 14,021,765 |
| Health Care (12.1%) | | |
| | Johnson & Johnson | 25,428,285 | 1,501,795 |
| | Pfizer Inc. | 74,366,588 | 1,060,468 |
| | Merck & Co. Inc. | 28,749,017 | 1,005,353 |
| | Abbott Laboratories | 14,231,010 | 665,727 |
| * | Amgen Inc. | 8,831,755 | 464,550 |
| | Bristol-Myers Squibb Co. | 15,854,650 | 395,415 |
| | Medtronic Inc. | 10,155,662 | 368,346 |
| | Eli Lilly & Co. | 9,356,026 | 313,427 |
| | UnitedHealth Group Inc. | 10,480,157 | 297,637 |
| * | Gilead Sciences Inc. | 8,204,948 | 281,266 |
10
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| 500 Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Express Scripts Inc. | 5,053,384 | 237,610 |
| * | Medco Health | | |
| | Solutions Inc. | 4,212,108 | 232,003 |
| | Baxter International Inc. | 5,499,267 | 223,490 |
| * | Celgene Corp. | 4,249,081 | 215,938 |
| * | WellPoint Inc. | 3,938,627 | 192,717 |
| * | Thermo Fisher | | |
| | Scientific Inc. | 3,783,918 | 185,601 |
| | McKesson Corp. | 2,502,163 | 168,045 |
| | Allergan Inc. | 2,835,076 | 165,172 |
| | Becton Dickinson and Co. | 2,151,241 | 145,467 |
| | Stryker Corp. | 2,596,892 | 130,000 |
| * | Genzyme Corp. | 2,457,187 | 124,751 |
| * | Biogen Idec Inc. | 2,461,624 | 116,804 |
| * | Intuitive Surgical Inc. | 361,103 | 113,971 |
| | Cardinal Health Inc. | 3,335,698 | 112,113 |
| * | St. Jude Medical Inc. | 3,012,866 | 108,734 |
| | Aetna Inc. | 3,917,552 | 103,345 |
| * | Zimmer Holdings Inc. | 1,869,868 | 101,066 |
| * | Hospira Inc. | 1,529,574 | 87,874 |
| | AmerisourceBergen Corp. | | |
| | Class A | 2,605,936 | 82,739 |
| * | Boston Scientific Corp. | 13,947,527 | 80,896 |
| * | Life Technologies Corp. | 1,683,769 | 79,558 |
| | CIGNA Corp. | 2,551,179 | 79,240 |
| * | Forest Laboratories Inc. | 2,788,227 | 76,481 |
| * | Laboratory Corp. of | | |
| | America Holdings | 960,381 | 72,365 |
| * | Humana Inc. | 1,569,372 | 71,673 |
| | Quest Diagnostics Inc. | 1,393,656 | 69,362 |
| | CR Bard Inc. | 878,124 | 68,081 |
| * | DaVita Inc. | 958,043 | 59,820 |
| * | Varian Medical | | |
| | Systems Inc. | 1,139,126 | 59,554 |
| * | Waters Corp. | 858,303 | 55,532 |
| * | Millipore Corp. | 515,012 | 54,926 |
| *,^ | Mylan Inc. | 2,830,648 | 48,234 |
| * | Cerner Corp. | 628,057 | 47,663 |
| | DENTSPLY International | | |
| | Inc. | 1,349,696 | 40,369 |
| * | Watson Pharmaceuticals | | |
| | Inc. | 982,580 | 39,863 |
| * | Cephalon Inc. | 691,497 | 39,242 |
| * | CareFusion Corp. | 1,640,507 | 37,240 |
| | Patterson Cos. Inc. | 861,921 | 24,591 |
| * | Coventry Health Care Inc. | 1,370,594 | 24,232 |
| | PerkinElmer Inc. | 1,081,323 | 22,351 |
| * | King Pharmaceuticals Inc. | 2,297,884 | 17,441 |
| * | Tenet Healthcare Corp. | 4,010,008 | 17,403 |
| | | | 10,387,541 |
| Industrials (10.3%) | | |
| | General Electric Co. | 98,433,301 | 1,419,408 |
| | United Technologies Corp. | 8,602,609 | 558,395 |
| | United Parcel Service Inc. | | |
| | Class B | 9,131,737 | 519,505 |
| | 3M Co. | 6,574,130 | 519,291 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Boeing Co. | 6,997,929 | 439,120 |
| | Caterpillar Inc. | 5,787,494 | 347,655 |
| | Union Pacific Corp. | 4,666,389 | 324,361 |
| | Emerson Electric Co. | 6,944,162 | 303,390 |
| | Honeywell International | | |
| | Inc. | 7,064,122 | 275,713 |
| | Deere & Co. | 3,916,910 | 218,094 |
| | Lockheed Martin Corp. | 2,873,209 | 214,054 |
| | General Dynamics Corp. | 3,556,193 | 208,251 |
| | FedEx Corp. | 2,887,536 | 202,445 |
| | Norfolk Southern Corp. | 3,411,837 | 180,998 |
| | Danaher Corp. | 4,848,983 | 179,994 |
| | CSX Corp. | 3,588,688 | 178,107 |
| | Raytheon Co. | 3,452,817 | 167,082 |
| | Northrop Grumman Corp. | 2,777,004 | 151,180 |
| | Illinois Tool Works Inc. | 3,567,210 | 147,254 |
| | Waste Management Inc. | 4,453,439 | 139,348 |
| | Precision Castparts Corp. | 1,311,004 | 134,929 |
| | PACCAR Inc. | 3,364,318 | 134,135 |
| | Cummins Inc. | 1,849,369 | 120,449 |
| | Eaton Corp. | 1,545,200 | 101,118 |
| | Republic Services Inc. | | |
| | Class A | 2,991,694 | 88,943 |
| | CH Robinson Worldwide | | |
| | Inc. | 1,529,651 | 85,140 |
| | Parker Hannifin Corp. | 1,483,855 | 82,295 |
| | Rockwell Collins Inc. | 1,450,823 | 77,082 |
| | Southwest Airlines Co. | 6,869,440 | 76,320 |
| | Goodrich Corp. | 1,151,911 | 76,314 |
| | ITT Corp. | 1,687,814 | 75,817 |
| | L-3 Communications | | |
| | Holdings Inc. | 1,066,595 | 75,558 |
| | Dover Corp. | 1,719,268 | 71,848 |
| | Fluor Corp. | 1,648,092 | 70,044 |
| | Expeditors International | | |
| | of Washington Inc. | 1,957,531 | 67,554 |
| | Rockwell Automation Inc. | 1,314,790 | 64,543 |
| | Fastenal Co. | 1,209,938 | 60,727 |
| | WW Grainger Inc. | 571,283 | 56,814 |
| * | Stericycle Inc. | 780,075 | 51,157 |
| | Roper Industries Inc. | 864,510 | 48,378 |
| | Flowserve Corp. | 515,385 | 43,705 |
| | Textron Inc. | 2,511,369 | 42,618 |
| | Pitney Bowes Inc. | 1,918,610 | 42,133 |
| * | Jacobs Engineering | | |
| | Group Inc. | 1,151,688 | 41,968 |
| * | Quanta Services Inc. | 1,943,472 | 40,133 |
| | Iron Mountain Inc. | 1,668,796 | 37,481 |
| | Pall Corp. | 1,078,191 | 37,057 |
| | Masco Corp. | 3,310,897 | 35,625 |
| | Avery Dennison Corp. | 1,020,788 | 32,798 |
| | Equifax Inc. | 1,166,042 | 32,719 |
| | Robert Half | | |
| | International Inc. | 1,372,989 | 32,334 |
| | Dun & Bradstreet Corp. | 465,298 | 31,231 |
| | RR Donnelley & Sons Co. | 1,900,576 | 31,112 |
11
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| 500 Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Cintas Corp. | 1,216,946 | 29,170 |
| | Snap-On Inc. | 534,598 | 21,870 |
| | Ryder System Inc. | 491,029 | 19,754 |
| *,^ | Raytheon Co. Warrants | | |
| | Exp. 06/16/2011 | 60,569 | 727 |
| | | | 8,865,245 |
| Information Technology (18.7%) | |
| * | Apple Inc. | 8,389,266 | 2,110,152 |
| | Microsoft Corp. | 70,295,210 | 1,617,493 |
| | International Business | | |
| | Machines Corp. | 11,822,706 | 1,459,868 |
| * | Cisco Systems Inc. | 52,654,556 | 1,122,069 |
| | Intel Corp. | 51,297,864 | 997,743 |
| * | Google Inc. Class A | 2,231,601 | 992,951 |
| | Hewlett-Packard Co. | 21,523,077 | 931,519 |
| | Oracle Corp. | 36,093,698 | 774,571 |
| | QUALCOMM Inc. | 15,123,568 | 496,658 |
| * | EMC Corp. | 18,951,860 | 346,819 |
| | Visa Inc. Class A | 4,172,771 | 295,224 |
| | Texas Instruments Inc. | 11,268,843 | 262,339 |
| | Corning Inc. | 14,390,148 | 232,401 |
| * | eBay Inc. | 10,483,637 | 205,584 |
| * | Dell Inc. | 15,886,429 | 191,590 |
| | Automatic Data | | |
| | Processing Inc. | 4,637,340 | 186,699 |
| | Mastercard Inc. Class A | 892,485 | 178,078 |
| * | Yahoo! Inc. | 10,854,653 | 150,120 |
| | Applied Materials Inc. | 12,384,440 | 148,861 |
| * | Motorola Inc. | 21,427,969 | 139,710 |
| * | Cognizant Technology | | |
| | Solutions Corp. Class A | 2,760,621 | 138,197 |
| | Broadcom Corp. Class A | 3,979,404 | 131,201 |
| * | Adobe Systems Inc. | 4,853,542 | 128,279 |
| * | NetApp Inc. | 3,180,515 | 118,665 |
| * | Juniper Networks Inc. | 4,848,903 | 110,652 |
| * | Symantec Corp. | 7,365,716 | 102,236 |
| | Xerox Corp. | 12,714,682 | 102,226 |
| * | Intuit Inc. | 2,896,970 | 100,728 |
| | Western Union Co. | 6,197,083 | 92,398 |
| * | Agilent Technologies Inc. | 3,209,185 | 91,237 |
| * | Salesforce.com Inc. | 1,044,716 | 89,658 |
| * | SanDisk Corp. | 2,123,426 | 89,333 |
| | Fidelity National | | |
| | Information Services Inc. | 3,055,761 | 81,955 |
| | Paychex Inc. | 2,968,354 | 77,088 |
| | Analog Devices Inc. | 2,747,227 | 76,538 |
| * | Citrix Systems Inc. | 1,712,758 | 72,330 |
| | Altera Corp. | 2,781,580 | 69,011 |
| * | Micron Technology Inc. | 7,850,232 | 66,648 |
| | CA Inc. | 3,601,058 | 66,259 |
| * | Akamai Technologies Inc. | 1,586,438 | 64,362 |
| | Computer Sciences Corp. | 1,422,244 | 64,357 |
| * | Fiserv Inc. | 1,408,223 | 64,299 |
| | Xilinx Inc. | 2,525,169 | 63,786 |
| * | Western Digital Corp. | 2,109,928 | 63,635 |
| | Amphenol Corp. Class A | 1,600,322 | 62,861 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | BMC Software Inc. | 1,676,246 | 58,048 |
| | Linear Technology Corp. | 2,066,750 | 57,476 |
| * | NVIDIA Corp. | 5,276,238 | 53,870 |
| * | Autodesk Inc. | 2,119,910 | 51,641 |
| *,^ | First Solar Inc. | 449,277 | 51,141 |
| * | Red Hat Inc. | 1,739,361 | 50,337 |
| | Harris Corp. | 1,198,966 | 49,937 |
| ^ | Microchip Technology Inc. | 1,700,503 | 47,172 |
| * | Teradata Corp. | 1,539,529 | 46,925 |
| * | SAIC Inc. | 2,704,403 | 45,272 |
| * | VeriSign Inc. | 1,685,467 | 44,749 |
| * | McAfee Inc. | 1,442,077 | 44,301 |
| | KLA-Tencor Corp. | 1,569,777 | 43,765 |
| * | Electronic Arts Inc. | 3,014,864 | 43,414 |
| * | FLIR Systems Inc. | 1,405,009 | 40,872 |
| * | Advanced Micro | | |
| | Devices Inc. | 5,215,385 | 38,177 |
| | National Semiconductor | | |
| | Corp. | 2,190,304 | 29,481 |
| * | LSI Corp. | 6,049,651 | 27,828 |
| | Total System Services Inc. | 1,825,216 | 24,823 |
| * | Lexmark International Inc. | | |
| | Class A | 723,290 | 23,890 |
| | Jabil Circuit Inc. | 1,764,485 | 23,468 |
| | Molex Inc. | 1,251,030 | 22,819 |
| | Tellabs Inc. | 3,551,015 | 22,691 |
| * | Novellus Systems Inc. | 885,727 | 22,462 |
| * | MEMC Electronic | | |
| | Materials Inc. | 2,070,493 | 20,456 |
| * | JDS Uniphase Corp. | 2,061,378 | 20,284 |
| * | Novell Inc. | 3,210,929 | 18,238 |
| * | QLogic Corp. | 1,029,923 | 17,117 |
| * | Compuware Corp. | 2,087,098 | 16,655 |
| * | Teradyne Inc. | 1,666,058 | 16,244 |
| * | Monster Worldwide Inc. | 1,163,995 | 13,561 |
| | Molex Inc. Class A | 4,051 | 63 |
| | | | 16,115,565 |
| Materials (3.4%) | | |
| | EI du Pont de | | |
| | Nemours & Co. | 8,353,615 | 288,952 |
| | Newmont Mining Corp. | 4,529,781 | 279,669 |
| | Freeport-McMoRan | | |
| | Copper & Gold Inc. | 4,349,238 | 257,170 |
| | Dow Chemical Co. | 10,648,151 | 252,574 |
| | Monsanto Co. | 5,029,866 | 232,480 |
| | Praxair Inc. | 2,820,776 | 214,351 |
| | Air Products & | | |
| | Chemicals Inc. | 1,957,751 | 126,882 |
| | Nucor Corp. | 2,906,152 | 111,248 |
| | Ecolab Inc. | 2,151,662 | 96,631 |
| | Alcoa Inc. | 9,415,565 | 94,721 |
| | PPG Industries Inc. | 1,530,777 | 92,474 |
| | International Paper Co. | 4,031,033 | 91,222 |
| | Weyerhaeuser Co. | 1,952,713 | 68,735 |
| | Cliffs Natural | | |
| | Resources Inc. | 1,248,073 | 58,859 |
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| 500 Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Sherwin-Williams Co. | 849,289 | 58,762 |
| | Sigma-Aldrich Corp. | 1,121,647 | 55,892 |
| | Vulcan Materials Co. | 1,180,304 | 51,733 |
| | United States Steel Corp. | 1,322,988 | 51,001 |
| | Airgas Inc. | 771,607 | 47,994 |
| | Ball Corp. | 853,374 | 45,084 |
| | CF Industries Holdings Inc. | 656,786 | 41,673 |
| * | Owens-Illinois Inc. | 1,524,683 | 40,328 |
| | Allegheny Technologies Inc. | 907,903 | 40,120 |
| | FMC Corp. | 669,228 | 38,434 |
| | Eastman Chemical Co. | 667,632 | 35,625 |
| | MeadWestvaco Corp. | 1,580,089 | 35,078 |
| * | Pactiv Corp. | 1,224,815 | 34,111 |
| | International Flavors & | | |
| | Fragrances Inc. | 731,654 | 31,037 |
| | Sealed Air Corp. | 1,471,413 | 29,016 |
| | Bemis Co. Inc. | 1,001,494 | 27,040 |
| * | Titanium Metals Corp. | 782,785 | 13,769 |
| | AK Steel Holding Corp. | 1,012,733 | 12,072 |
| | | | 2,954,737 |
| Telecommunication Services (3.0%) | |
| | AT&T Inc. | 54,478,639 | 1,317,838 |
| | Verizon Communications | | |
| | Inc. | 26,061,311 | 730,238 |
| * | American Tower Corp. | | |
| | Class A | 3,719,579 | 165,521 |
| * | Sprint Nextel Corp. | 27,489,550 | 116,556 |
| | CenturyLink Inc. | 2,769,702 | 92,259 |
| | Qwest Communications | | |
| | International Inc. | 13,755,208 | 72,215 |
| | Windstream Corp. | 4,465,957 | 47,160 |
| ^ | Frontier Communicati ons | | |
| | Corp. | 2,892,314 | 20,564 |
| * | MetroPCS | | |
| | Communications Inc. | 2,414,482 | 19,775 |
| | | | 2,582,126 |
| Utilities (3.8%) | | |
| | Southern Co. | 7,602,168 | 253,000 |
| | Exelon Corp. | 6,090,528 | 231,257 |
| | Dominion Resources Inc. | 5,495,584 | 212,899 |
| | Duke Energy Corp. | 12,107,046 | 193,713 |
| | NextEra Energy Inc. | 3,823,234 | 186,421 |
| | Public Service Enterprise | | |
| | Group Inc. | 4,664,613 | 146,142 |
| | American Electric Power | | |
| | Co. Inc. | 4,411,637 | 142,496 |
| | PG&E Corp. | 3,433,007 | 141,097 |
| | Entergy Corp. | 1,745,930 | 125,043 |
| | Consolidated Edison Inc. | 2,598,051 | 111,976 |
| | Sempra Energy | 2,281,738 | 106,762 |
| | PPL Corp. | 4,234,234 | 105,644 |
| | Progress Energy Inc. | 2,647,683 | 103,842 |
| | FirstEnergy Corp. | 2,810,703 | 99,021 |
| | Edison International | 3,004,127 | 95,291 |
| | Xcel Energy Inc. | 4,237,563 | 87,336 |
| | Questar Corp. | 1,611,641 | 73,314 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | DTE Energy Co. | 1,552,848 | 70,825 |
| | Constellation Energy | | |
| | Group Inc. | 1,855,714 | 59,847 |
| * | AES Corp. | 6,168,879 | 57,000 |
| | Wisconsin Energy Corp. | 1,078,806 | 54,739 |
| | Ameren Corp. | 2,186,372 | 51,970 |
| | CenterPoint Energy Inc. | 3,827,280 | 50,367 |
| * | NRG Energy Inc. | 2,359,843 | 50,052 |
| | EQT Corp. | 1,329,804 | 48,059 |
| | Oneok Inc. | 973,454 | 42,102 |
| | Northeast Utilities | 1,619,217 | 41,258 |
| | SCANA Corp. | 1,048,309 | 37,487 |
| | NiSource Inc. | 2,552,752 | 37,015 |
| | Pinnacle West Capital Corp. | 993,376 | 36,119 |
| | Allegheny Energy Inc. | 1,569,676 | 32,461 |
| | Pepco Holdings Inc. | 2,052,407 | 32,182 |
| | CMS Energy Corp. | 2,126,594 | 31,155 |
| | Integrys Energy Group Inc. | 707,352 | 30,940 |
| | TECO Energy Inc. | 1,978,779 | 29,820 |
| | Nicor Inc. | 418,779 | 16,961 |
| | | | 3,225,613 |
| Total Common Stocks | | |
| (Cost $76,819,195) | | 85,945,531 |
| Temporary Cash Investments (0.3%)1 | |
| Money Market Fund (0.3%) | | |
| 2,3 | Vanguard Market | | |
| | Liquidity Fund, | | |
| | 0.286% | 224,833,685 | 224,834 |
| | | Face | |
| | | Amount | |
| | | ($000) | |
| U.S. Government and Agency Obligations (0.0%) |
| 4,5 | Freddie Mac | | |
| | Discount Notes, | | |
| | 0.245%, 9/21/10 | 43,000 | 42,983 |
| Total Temporary Cash Investments | |
| (Cost $267,810) | | 267,817 |
| Total Investments (100.2%) | | |
| (Cost $77,087,005) | | 86,213,348 |
| Other Assets and Liabilities (-0.2%) | |
| Other Assets | | 305,017 |
| Liabilities3 | | (513,144) |
| | | | (208,127) |
| Net Assets (100%) | | 86,005,221 |
13
500 Index Fund
At June 30, 2010, net assets consisted of:
| |
| | Amount |
| | ($000) |
| Paid-in Capital | 78,629,015 |
| Overdistributed Net Investment Income | (189,708) |
| Accumulated Net Realized Losses | (1,556,719) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 9,126,343 |
| Futures Contracts | (3,710) |
| Net Assets | 86,005,221 |
| |
| |
| Investor Shares—Net Assets | |
| Applicable to 465,133,396 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 44,145,675 |
| Net Asset Value Per Share— | |
| Investor Shares | $94.91 |
| |
| |
| Admiral Shares—Net Assets | |
| Applicable to 280,090,235 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 26,583,816 |
| Net Asset Value Per Share— | |
| Admiral Shares | $94.91 |
| |
| |
| Signal Shares—Net Assets | |
| Applicable to 194,838,295 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 15,275,730 |
| Net Asset Value Per Share— | |
| Signal Shares | $78.40 |
• 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 $166,434,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets.
2 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 $172,313,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
5 Securities with a value of $42,983,000 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.
14
| |
| 500 Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 942,806 |
| Interest1 | 196 |
| Security Lending | 3,772 |
| Total Income | 946,774 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 2,702 |
| Management and Administrati ve—Investor Shares | 33,278 |
| Management and Administrati ve—Admiral Shares | 6,113 |
| Management and Administrati ve—Signal Shares | 3,002 |
| Marketing and Distribution& #151;Investor Shares | 5,617 |
| Marketing and Distribution& #151;Admiral Shares | 2,528 |
| Marketing and Distribution& #151;Signal Shares | 2,197 |
| Custodian Fees | 518 |
| Shareholders’ Reports—Investor Shares | 516 |
| Shareholders’ Reports—Admiral Shares | 28 |
| Shareholders’ Reports—Signal Shares | 51 |
| Trustees’ Fees and Expenses | 81 |
| Total Expenses | 56,631 |
| Net Investment Income | 890,143 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 1,444,615 |
| Futures Contracts | (17,586) |
| Realized Net Gain (Loss) | 1,427,029 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (8,495,949) |
| Futures Contracts | (3,906) |
| Change in Unrealized Appreciation (Depreciation) | (8,499,855) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (6,182,683) |
| 1 Interest income from an affiliated company of the fund was $142,000. | |
| |
| |
| |
| |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
15
| | |
| 500 Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 890,143 | 1,976,600 |
| Realized Net Gain (Loss) | 1,427,029 | 5,105,226 |
| Change in Unrealized Appreciation (Depreciation) | (8,499,855) | 12,793,273 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (6,182,683) | 19,875,099 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (439,236) | (992,312) |
| Admiral Shares | (276,926) | (603,880) |
| Signal Shares | (159,899) | (359,090) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Total Distributions | (876,061) | (1,955,282) |
| Capital Share Transactions | | |
| Investor Shares | (545,799) | 204,042 |
| Admiral Shares | 380,829 | 59,911 |
| Signal Shares | (53,924) | 213,059 |
| Net Increase (Decrease) from Capital Share Transactions | (218,894) | 477,012 |
| Total Increase (Decrease) | (7,277,638) | 18,396,829 |
| Net Assets | | |
| Beginning of Period | 93,282,859 | 74,886,030 |
| End of Period1 | 86,005,221 | 93,282,859 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($189,708,000) and ($203,790,000).
See accompanying Notes, which are an integral part of the Financial Statements.
16
| | | | | | |
| 500 Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Investor Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $102.67 | $83.09 | $135.15 | $130.59 | $114.92 | $111.64 |
| Investment Operations | | | | | | |
| Net Investment Income | .958 | 2.131 | 2.443 | 2.470 | 2.110 | 1.950 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (7.775) | 19.553 | (51.998) | 4.580 | 15.700 | 3.310 |
| Total from Investment Operations | (6.817) | 21.684 | (49.555) | 7.050 | 17.810 | 5.260 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.943) | (2.104) | (2.505) | (2.490) | (2.140) | (1.980) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.943) | (2.104) | (2.505) | (2.490) | (2.140) | (1.980) |
| Net Asset Value, End of Period | $94.91 | $102.67 | $83.09 | $135.15 | $130.59 | $114.92 |
| |
| Total Return1 | -6.71% | 26.49% | -37.02% | 5.39% | 15.64% | 4.77% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $44,146 | $48,313 | $38,778 | $63,327 | $72,013 | $69,375 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.17%2 | 0.18% | 0.16% | 0.15% | 0.18% | 0.18% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.85%2 | 2.42% | 2.16% | 1.81% | 1.74% | 1.75% |
| Portfolio Turnover Rate3 | 5%2 | 12% | 6% | 5% | 5% | 6% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
17
| | | | | | |
| 500 Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $102.67 | $83.09 | $135.15 | $130.59 | $114.92 | $111.64 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.012 | 2.227 | 2.534 | 2.583 | 2.222 | 2.052 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (7.775) | 19.556 | (52.000) | 4.576 | 15.700 | 3.310 |
| Total from Investment Operations | (6.763) | 21.783 | (49.466) | 7.159 | 17.922 | 5.362 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.997) | (2.203) | (2.594) | (2.599) | (2.252) | (2.082) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.997) | (2.203) | (2.594) | (2.599) | (2.252) | (2.082) |
| Net Asset Value, End of Period | $94.91 | $102.67 | $83.09 | $135.15 | $130.59 | $114.92 |
| |
| Total Return | -6.66% | 26.62% | -36.97% | 5.47% | 15.75% | 4.87% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $26,584 | $28,380 | $23,009 | $37,113 | $46,467 | $38,028 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07%1 | 0.07% | 0.08% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.95%1 | 2.53% | 2.24% | 1.89% | 1.83% | 1.84% |
| Portfolio Turnover Rate2 | 5%1 | 12% | 6% | 5% | 5% | 6% |
1 Annualized.
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.
18
| | | | | |
| 500 Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Signal Shares | | | | | |
| | Six Months | | | | Sept. 29, |
| | Ended | | | | 20061 to |
| | June 30, | | Year Ended December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $84.81 | $68.64 | $111.64 | $107.86 | $101.61 |
| Investment Operations | | | | | |
| Net Investment Income | .834 | 1.839 | 2.092 | 2.119 | .502 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (6.422) | 16.151 | (42.952) | 3.794 | 6.287 |
| Total from Investment Operations | (5.588) | 17.990 | (40.860) | 5.913 | 6.789 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.822) | (1.820) | (2.140) | (2.133) | (.539) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.822) | (1.820) | (2.140) | (2.133) | (.539) |
| Net Asset Value, End of Period | $78.40 | $84.81 | $68.64 | $111.64 | $107.86 |
| |
| Total Return | -6.66% | 26.61% | -36.97% | 5.47% | 6.68% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $15,276 | $16,590 | $13,099 | $21,433 | $713 |
| Ratio of Total Expenses to Average Net Assets | 0.07%2 | 0.07% | 0.08% | 0.07% | 0.09%2 |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.95%2 | 2.53% | 2.24% | 1.89% | 1.83%2 |
| Portfolio Turnover Rate3 | 5%2 | 12% | 6% | 5% | 5% |
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.
See accompanying Notes, which are an integral part of the Financial Statements.
19
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 value d at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not re adily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006-2009), and for the period ended June 30, 2010, 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
20
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 distri-butions 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 an d distribution expenses are alloc ated to each class of shares base d 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 June 30, 2010, the fund had contributed capital of $17,509,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 7.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in acti ve markets for identical securiti es.
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 June 30, 2010, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 85,945,531 | — | — |
| Temporary Cash Investments | 224,834 | 42,983 | — |
| Futures Contracts—Liabilites1 | (718) | — | — |
| Total | 86,169,467 | 42,983 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
21
500 Index Fund
D. At June 30, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| | | | |
| | | | | ($000) |
| | | Number of | Aggregate | Unrealized |
| | | Long (Short) | Settlement | Appreciation |
| Futures Contracts | Expiration | Contracts | Value | (Depreciation) |
| E-mini S&P 500 Index | September 2010 | 1,285 | 65,959 | (3,193) |
| S&P 500 Index | September 2010 | 73 | 18,735 | (517) |
Unrealized appreciation (depreciation) on open futures contracts is required t o be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment in come and realized capital gains f or financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital acc ounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $131,817,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $2,848,108,000 to offset future net capital gains of $1,084,138,000 through December 31, 2014, and $1,763,970,000 through December 31, 2016. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2010, the cost of investment securities for tax purposes was $77,087,005,000. Net unrealized appreciation of investment securities for tax purposes was $9,126,343,000, consisting of unrealized gains of $23,096,748,000 on securities that had risen in value since their purchase and $13,970,405,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2010, the fund purchased $2,311,971,000 of investment securities and sold $2,610,470,000 of investment securities, other than temporary cash investments.
22
500 Index Fund
| | | | |
| G. Capitalshare transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 3,628,422 | 34,715 | 6,999,037 | 82,421 |
| Issued in Lieu of Cash Distributions | 426,282 | 4,139 | 961,778 | 10,704 |
| Redeemed | (4,600,503) | (44,291) | (7,756,773) | (89,256) |
| Net Increase (Decrease)—Investor Shares | (545,799) | (5,437) | 204,042 | 3,869 |
| Admiral Shares | | | | |
| Issued | 1,915,238 | 18,376 | 3,155,584 | 36,520 |
| Issued in Lieu of Cash Distributions | 242,390 | 2,354 | 527,723 | 5,866 |
| Redeemed | (1,776,799) | (17,054) | (3,623,396) | (42,890) |
| Net Increase (Decrease)—Admiral Shares | 380,829 | 3,676 | 59,911 | (504) |
| Signal Shares | | | | |
| Issued | 1,767,782 | 20,496 | 3,948,201 | 56,496 |
| Issued in Lieu of Cash Distributions | 144,794 | 1,702 | 323,718 | 4,362 |
| Redeemed | (1,966,500) | (22,972) | (4,058,860) | (56,083) |
| Net Increase (Decrease)—Signal Shares | (53,924) | (774) | 213,059 | 4,775 |
H. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
23
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 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.
24
| | | |
| Six Months Ended June 30, 2010 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| 500 Index Fund | 12/31/2009 | 6/30/2010 | Period |
| Based on Actual Fund Return | | | |
| Investor Shares | $1,000.00 | $932.90 | $0.81 |
| Admiral Shares | 1,000.00 | 933.39 | 0.34 |
| Signal Shares | 1,000.00 | 933.37 | 0.34 |
| Based on Hypothetical 5% Yearly Return | | | |
| Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
| Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
| Signal Shares | 1,000.00 | 1,024.45 | 0.35 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for the period are 0.17% for Investor Shares, 0.07% for Admiral Shares, and 0.07% 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.
25
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard 500 Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as the investment advisor for the fund. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management over both the short and long term, and took into account the orga nizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance of its target index and peer group. The board concluded that the fund has performed in line with expectations, and that its results have been consistent with its investment strategies. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group. The boa rd noted that the fund’s advisory expense ratio was also well below its peer-group average. In formation about the fund’s expense ratio appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most ot her mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vangua rd ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
26
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (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 o r lower than implied by the SEC yield.
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.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. 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.
27
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.
28
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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 162 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 Informatio n, which can be obtained, wit hout charge, by contacting Vanguard at 800-662-7447, or online at www.vanguard.com.
| |
| Interested Trustee1 | Rajiv L. Gupta |
| | Born 1945. Trustee Since December 2001.2 |
| F. William McNabb III | Principal Occupation(s) During the Past Five Years: |
| Born 1957. Trustee Since July 2009. Chairman of the | Chairman and Chief Executive Officer (retired 2009) |
| Board. Principal Occupation(s) During the Past Five | and President (2006–2008) of Rohm and Haas Co. |
| Years: Chairman of the Board of The Vanguard Group, | (chemicals); Director of Tyco International, Ltd. |
| Inc., and of each of the investment companies served | (diversified manufacturing and services) and Hewlett- |
| by The Vanguard Group, since January 2010; Director | Packard Co. (electronic computer manufacturing); |
| of The Vanguard Group since 2008; Chief Executive | Trustee of The Conference Board; Member of the |
| Officer and President of The Vanguard Group and of | Board of Managers of Delphi Automotive LLP |
| each of the investment companies served by The | (automotive components). |
| Vanguard Group since 2008; Director of Vanguard | |
| Marketing Corporation; Managing Director of The | Amy Gutmann |
| Vanguard Group (1995–2008). | Born 1949. Trustee Since June 2006. Principal |
| | Occupation(s) During the Past Five Years: President |
| | of the University of Pennsylvania; Christopher H. |
| Independent Trustees | Browne Distinguished Professor of Political Science |
| | in the School of Arts and Sciences with secondary |
| Emerson U. Fullwood | appointments at the Annenberg School for Commu- |
| Born 1948. Trustee Since January 2008. Principal | nication and the Graduate School of Education of |
| Occupation(s) During the Past Five Years: Executive | the University of Pennsylvania; Director of Carnegie |
| Chief Staff and Marketing Officer for North America | Corporation of New York, Schuylkill River Development |
| and Corporate Vice President (retired 2008) of Xerox | Corporation, and Greater Philadelphia Chamber of |
| Corporation (document management products and | Commerce; Trustee of the National Constitution Center; |
| services); Director of SPX Corporation (multi-industry | Chair of the Presidential Commission for the Study of |
| manufacturing), the United Way of Rochester, | Bioethical Issues. |
| Amerigroup Corporation (managed health care), | |
| the University of Rochester Medical Center, and | |
| Monroe Community College Foundation. | |
| | |
| JoAnn Heffernan Heisen | Executive Officers | |
| Born 1950. Trustee Since July 1998. Principal | | |
| Occupation(s) During the Past Five Years: Corporate | Thomas J. Higgins | |
| Vice President and Chief Global Diversity Officer since | Born 1957. Chief Financial Officer Since September |
| 2006 (retired 2008) and Member of the Executive | 2008. Principal Occupation(s) During the Past Five |
| Committee (retired 2008) of Johnson & Johnson | Years: Principal of The Vanguard Group, Inc.; Chief |
| (pharmaceuticals/consumer products); Vice President | Financial Officer of each of the investment companies |
| and Chief Information Officer of Johnson & Johnson | served by The Vanguard Group since 2008; Treasurer |
| (1997–2005); Director of the University Medical Center | of each of the investment companies served by The |
| at Princeton and Women’s Research and Education | Vanguard Group (1998–2008). |
| Institute; Member of the Advisory Board of the | | |
| Maxwell School of Citizenship and Public Affairs | Kathryn J. Hyatt | |
| at Syracuse University. | Born 1955. Treasurer Since November 2008. Principal |
| | Occupation(s) During the Past Five Years: Principal |
| F. Joseph Loughrey | of The Vanguard Group, Inc.; Treasurer of each of |
| Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard |
| Occupation(s) During the Past Five Years: President | Group since 2008; Assistant Treasurer of each of the |
| and Chief Operating Officer since 2005 (retired 2009) | investment companies served by The Vanguard Group |
| and Vice Chairman of the Board (2008–2009) of | (1988–2008). | |
| Cummins Inc. (industrial machinery); Director of | | |
| SKF AB (industrial machinery), Hillenbrand, Inc. | Heidi Stam | |
| (specialized consumer services), Sauer-Danfoss Inc. | Born 1956. Secretary Since July 2005. Principal |
| (machinery), the Lumina Foundation for Education, | Occupation(s) During the Past Five Years: Managing |
| and Oxfam America; Chairman of the Advisory Council | Director of The Vanguard Group, Inc., since 2006; |
| for the College of Arts and Letters at the University of | General Counsel of The Vanguard Group since 2005; |
| Notre Dame. | Secretary of The Vanguard Group and of each of the |
| | investment companies served by The Vanguard Group |
| André F. Perold | since 2005; Director and Senior Vice President of |
| Born 1952. Trustee Since December 2004. Principal | Vanguard Marketing Corporation since 2005; |
| Occupation(s) During the Past Five Years: George | Principal of The Vanguard Group (1997–2006). |
| Gund Professor of Finance and Banking at the Harvard | | |
| Business School; Chair of the Investment Committee | | |
| of HighVista Strategies LLC (private investment firm). | Vanguard Senior Management Team |
| |
| Alfred M. Rankin, Jr. | R. Gregory Barton | Michael S. Miller |
| Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | James M. Norris |
| Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Glenn W. Reed |
| President, and Chief Executive Officer of NACCO | Paul A. Heller | George U. Sauter |
| Industries, Inc. (forklift trucks/housewares/lignite); | | |
| Director of Goodrich Corporation (industrial products/ | | |
| aircraft systems and services); Chairman of the Federal | Chairman Emeritus and Senior Advisor |
| Reserve Bank of Cleveland; Trustee of The Cleveland | | |
| Museum of Art. | John J. Brennan | |
| | Chairman, 1996–2009 | |
| Peter F. Volanakis | Chief Executive Officer and President, 1996–2008 |
| Born 1955. Trustee Since July 2009. Principal | | |
| Occupation(s) During the Past Five Years: President | | |
| since 2007 and Chief Operating Officer since 2005 | Founder | |
| of Corning Incorporated (communications equipment); | | |
| President of Corning Technologies (2001–2005); | John C. Bogle | |
| Director of Corning Incorporated and Dow Corning; | Chairman and Chief Executive Officer, 1974–1996 |
| Trustee of the Corning Incorporated Foundation and | | |
| the Corning Museum of Glass; Overseer of the | | |
| Amos Tuck School of Business Administration at | | |
| Dartmouth College. | | |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
|  |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
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| Connect with Vanguard® > Vanguard.com | |
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| Fund Information > 800-662-7447 | Standard & Poor’s ®, S&P®, S&P 500®, Standard & |
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| | Standard & Poor’s Financial Services LLC (“S&P”) and |
| Institutional Investor Services > 800-523-1036 | have been licensed for use by The Vanguard Group, Inc. |
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| With Hearing Impairment > 800-749-7273 | endorsed, sold or promoted by S&P or its Affiliates, and |
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| This material may be used in conjunction | warranty, or condition regarding the advisability of |
| with the offering of shares of any Vanguard | buying, selling, or holding units/shares in the funds. |
| fund only if preceded or accompanied by | |
| the fund’s current prospectus. | |
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| All comparative mutual fund data are from Lipper Inc. or | |
| Morningstar, Inc., unless otherwise noted. | |
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| You can obtain a free copy of Vanguard’s proxy voting | |
| guidelines by visiting our website, Vanguard.com, and | |
| searching for “proxy voting guidelines,” or by calling | |
| Vanguard at 800-662-2739. The guidelines are also | |
| available from the SEC’s website, sec.gov. In addition, | |
| you may obtain a free report on how your fund voted the | |
| proxies for securities it owned during the 12 months | |
| ended June 30. To get the report, visit either | |
| Vanguard.com or sec.gov. | |
| |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
| copies of this information, for a fee, by sending a | |
| request in either of two ways: via e-mail addressed to | |
| publicinfo@sec.gov or via regular mail addressed to the | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| |
| © 2010 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| Q402 082010 |
 |
| Vanguard U.S. Stock Index Funds |
| Small-Capitalization Portfolios |
| Semiannual Report |
|
|
| June 30, 2010 |
 |
|
|
| Vanguard Small-Cap Index Fund |
| Vanguard Small-Cap Growth Index Fund |
| Vanguard Small-Cap Value Index Fund |
> Vanguard’s small-capitalization index funds posted slight losses in the first half of 2010, arresting last year’s strong advance.
> Small-company value stocks narrowly outpaced their small-company growth counterparts.
> The funds’ returns were restrained by a modest retreat in the information technology sector.
| |
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 4 |
| Small-Cap Index Fund. | 8 |
| Small-Cap Growth Index Fund. | 26 |
| Small-Cap Value Index Fund. | 41 |
| About Your Fund’s Expenses. | 56 |
| Trustees Approve Advisory Arrangement. | 58 |
| Glossary. | 59 |
Small-Cap Index Fund
Small-Cap Growth Index Fund
Small-Cap Value Index Fund
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
Cover photograph: Veronica Coia.
| |
| Your Fund’s Total Returns | |
| |
| |
| |
| |
| Six Months Ended June 30, 2010 | |
| | Total |
| | Returns |
| Vanguard Small-Cap Index Fund | |
| Investor Shares | -1.37% |
| Admiral™ Shares | -1.33 |
| Signal® Shares | -1.35 |
| Institutional Shares | -1.29 |
| ETF Shares | |
| Market Price | -1.24 |
| Net Asset Value | -1.33 |
| MSCI US Small Cap 1750 Index | -1.34 |
| Small-Cap Core Funds Average | -2.08 |
| Small-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
| Vanguard Small-Cap Growth Index Fund | |
| Investor Shares | -1.72% |
| Institutional Shares | -1.60 |
| ETF Shares | |
| Market Price | -1.60 |
| Net Asset Value | -1.65 |
| MSCI US Small Cap Growth Index | -1.72 |
| Small-Cap Growth Funds Average | -2.57 |
| Small-Cap Growth Funds Average: Derived from data provided by Lipper Inc. | |
Admiral Shares are a lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. Signal Shares and Institutional Shares are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides 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.
1
| |
| Your Fund’s Total Returns | |
| |
| |
| |
| |
| Six Months Ended June 30, 2010 | |
| | Total |
| | Returns |
| Vanguard Small-Cap Value Index Fund | |
| Investor Shares | -1.03% |
| Institutional Shares | -1.02 |
| ETF Shares | |
| Market Price | -0.94 |
| Net Asset Value | -1.00 |
| MSCI US Small Cap Value Index | -0.98 |
| Small-Cap Value Funds Average | -1.37 |
| Small-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
Admiral Shares are a lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. Signal Shares and Institutional Shares are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides 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
| | | | |
| Your Fund’s Performance at a Glance | | |
| |
| |
| |
| |
| December 31, 2009 , Through June 30, 2010 | | | | |
| | | | Distributions Per Share |
| | Starting | Ending | Income | Capital |
| | Share Price | Share Price | Dividends | Gains |
| Vanguard Small-Cap Index Fund | | | | |
| Investor Shares | $27.49 | $27.11 | $0.004 | $0.000 |
| Admiral Shares | 27.50 | 27.13 | 0.005 | 0.000 |
| Signal Shares | 24.79 | 24.45 | 0.005 | 0.000 |
| Institutional Shares | 27.50 | 27.14 | 0.005 | 0.000 |
| ETF Shares | 57.41 | 56.64 | 0.009 | 0.000 |
| Vanguard Small-Cap Growth Index Fund | | | | |
| Investor Shares | $16.83 | $16.54 | $0.000 | $0.000 |
| Institutional Shares | 16.85 | 16.58 | 0.000 | 0.000 |
| ETF Shares | 59.86 | 58.87 | 0.000 | 0.000 |
| Vanguard Small-Cap Value Index Fund | | | | |
| Investor Shares | $13.06 | $12.92 | $0.006 | $0.000 |
| Institutional Shares | 13.09 | 12.95 | 0.007 | 0.000 |
| ETF Shares | 54.49 | 53.92 | 0.029 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
After a strong showing in 2009, small-capitalization stocks took a step back in the first half of 2010, although they lost less ground than mid- and large-cap stocks did. The three Vanguard small-cap funds again closely tracked their respective target indexes.
Vanguard Small-Cap Value Index Fund lost the least, returning about –1%. Vanguard Small-Cap Growth Index Fund was the laggard, returning closer to –2%. As expected, the performance of the broader-based Vanguard Small-Cap Index Fund, which covers both the growth and value segments of the small-cap market, fell between those of the two other funds.
The funds did manage to outperform the average of actively managed funds investing in similar stocks.
Sovereign debt worries pulled down stock returns
After pulling back a bit in January from 2009’s strong gains, stocks rose steadily as winter turned to spring. Rapid growth in corporate earnings and optimism about the strength of the economic recovery were dominant themes. But in May, the scope of Europe’s fiscal challenges became clearer, and stock prices retreated sharply. For the full six months, U.S. stocks returned about –6%. Small-capitalization stocks, representing companies less
4
exposed to global turmoil than large-cap multinationals, lost less ground than larger stocks.
International stocks also posted negative six-month returns. For U.S.-based investors, a strengthening dollar further reduced the returns from non-U.S. stocks, particularly in Europe, where the euro fell noticeably in value.
Bonds continued to show strength as investors looked for safer assets
With the economic recovery appearing to decelerate and inflation remaining dormant, bonds stayed in favor throughout the period. As worries persisted about possible fallout from Europe’s sovereign debt problems, many investors sought safety in U.S. Treasuries. Higher-quality corporate bonds also performed well, as earnings reports indicated that company balance sheets remained in good shape.
Municipal bonds, with their history of low default rates, held their ground despite ongoing concerns about deficits confronting many state and local governments. In this risk-averse environment, lower-rated, higher-risk corporate bonds lagged a bit. For the full six months, the broad taxable market returned more than 5%; municipal securities returned more than 3%.
| | | |
| Market Barometer | | | |
| |
| | | | Total Returns |
| | | Periods Ended June 30, 2010 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | -6.40% | 15.24% | -0.56% |
| Russell 2000 Index (Small-caps) | -1.95 | 21.48 | 0.37 |
| Dow Jones U.S. Total Stock Market Index | -5.67 | 16.20 | -0.08 |
| MSCI All Country World Index ex USA (International) | -10.80 | 10.87 | 3.84 |
| |
| Bonds | | | |
| Barclays Capital U.S. Aggregate Bond Index (Broad | | | |
| taxable market) | 5.33% | 9.50% | 5.54% |
| Barclays Capital Municipal Bond Index | 3.31 | 9.61 | 4.40 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.12 | 2.63 |
| |
| CPI | | | |
| Consumer Price Index | 0.93% | 1.05% | 2.30% |
5
Pullback in IT stocks was a prominent influence
Smaller information technology companies were outstanding performers last year, so perhaps it’s not surprising that they have been the leading detractors so far this year. As the market continually shifts, a sector that leads in one period can fall back the most in the next, as investors reconsider their enthusiasm or take some profits.
Worries about the staying power of the economic recovery, including projected demand for IT products and services, played a part in the sector’s retreat. IT stocks, which lost about –4%, made up about half of the negative return from the Small-Cap and Small-Cap Growth Index Funds. Because the sector’s presence is smaller in the Small-Cap Value Index Fund, its negative influence there was more muted.
Other sectors that lagged included energy, materials, and industrials, as fading hopes of a robust recovery caused those cyclically sensitive stocks to dip.
The best-performing sector in the broad small-cap arena was consumer discretionary, which gained 1%. Businesses such as media companies and multiline retailers did well as consumer spending in many places continued its comeback from the recession. Financial companies, including
| | | | | | |
| Expense Ratios | | | | | | |
| Your Fund Compared With Its Peer Group | | | | | | |
| | | | | | | Peer |
| | Investor | Admiral | Signal | Institutional | ETF | Group |
| | Shares | Shares | Shares | Shares | Shares | Average |
| Small-Cap Index Fund | 0.28% | 0.14% | 0.14% | 0.08% | 0.14% | 1.50% |
| Small-Cap Growth Index Fund | 0.28 | — | — | 0.08 | 0.14 | 1.64 |
| Small-Cap Value Index Fund | 0.28 | — | — | 0.08 | 0.14 | 1.53 |
The fund expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the funds’ net assets as of the prospectus date. For the six months ended June 30, 2010, the funds’ annualized expense ratios were: for the Small-Cap Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; for the Small-Cap Growth Index Fund, 0.26% for Investor Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; and for the Small-Cap Value Index Fund, 0.26% for Investor Shares, 0.08% for Institutional 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 2009.
Peer groups: For the Small-Cap Index Fund, Small-Cap Core Funds; for the Small-Cap Growth Index Fund, Small-Cap Growth Funds; for the Small-Cap Value Index Fund, Small-Cap Value Funds.
6
real estate investment trusts and regional banks, also stayed above water as they worked to repair their balance sheets.
Throughout the period, the funds’ advisor, Vanguard Quantitative Equity Group, relied on its skilled team and sophisticated risk-control and trading systems to deliver market-tracking results.
The market’s unpredictability favors a diversified approach
A plunge in 2008, a notable recovery in 2009, and then uncertainty and a backwards drift thus far in 2010—the stock market follows its own twists and turns that are difficult to predict ahead of time. During the most recent six months, investors dialed back their appetite for risk. In the past, such skittishness has sometimes led them to shy away from smaller companies. But that wasn’t the case during the market’s recent retreat.
Still, it’s worth remembering that along with the potential for superior growth and reward, small-company stocks bring with them the potential for greater risk. Vanguard’s small-cap index funds offer broadly diversified exposure to small-cap opportunities, which can help reduce risk. In addition, our funds’ low costs help them closely reflect the performance of their benchmark indexes.
Of course, an investment in any of our small-cap funds should be considered within the context of a broader mix of stocks, as well as bond and money market funds, all tailored to your circumstances and tolerance for risk. As we’ve seen over the past several years, a diversified approach can provide a reassuring buffer in the midst of volatile markets.
Thank you for your confidence in Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 14, 2010
7
Small-Cap Index Fund
Fund Profile
As of June 30, 2010
| | | | | |
| Share-Class Characteristics | | | | | |
| | Investor | Admiral | Signal | Institutional | ETF |
| | Shares | Shares | Shares | Shares | Shares |
| Ticker Symbol | NAESX | VSMAX | VSISX | VSCIX | VB |
| Expense Ratio1 | 0.28% | 0.14% | 0.14% | 0.08% | 0.14% |
| 30-Day SEC Yield | 1.29% | 1.43% | 1.43% | 1.47% | 1.43% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | MSCI US | U.S. Total |
| | | Small Cap | Market |
| | Fund | 1750 Index | Index |
| Number of Stocks | 1,753 | 1,750 | 4,114 |
| Median Market Cap | $1.3B | $1.3B | $25.2B |
| Price/Earnings Ratio | 26.0x | 26.0x | 17.6x |
| Price/Book Ratio | 1.7x | 1.7x | 1.9x |
| Return on Equity | 10.6% | 10.6% | 19.1% |
| Earnings Growth Rate | 5.4% | 5.4% | 6.6% |
| Dividend Yield | 1.4% | 1.4% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 11% | — | — |
| Short-Term Reserves | 0.1% | — | — |
| |
| |
| Volatility Measures | | | |
| | | | DJ |
| | MSCI US | U.S. Total |
| | Small Cap | Market |
| | 1750 Index | Index |
| R-Squared | | 1.00 | 0.94 |
| Beta | | 1.00 | 1.24 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| | |
| Ten Largest Holdings (% of total net assets) |
| Valeant Pharmaceuticals | Pharmaceuticals | |
| International | | 0.3% |
| UAL Corp. | Airlines | 0.3 |
| Core Laboratories NV | Oil & Gas | |
| | Equipment & | |
| | Services | 0.3 |
| Continental Airlines Inc. | Airlines | |
| Class B | | 0.2 |
| MSCI Inc. Class A | Specialized Finance | 0.2 |
| Chimera Investment | Mortgage REITs | |
| Corp. | | 0.2 |
| Skyworks Solutions Inc. | Semiconductors | 0.2 |
| Essex Property Trust Inc. | Residential REITs | 0.2 |
| Aeropostale Inc. | Apparel Retail | 0.2 |
| Green Mountain Coffee | Packaged Foods & | |
| Roasters Inc. | Meats | 0.2 |
| Top Ten | | 2.3% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares.
8
Small-Cap Index Fund
Sector Diversification (% of equity exposure)
| | | |
| | | | DJ |
| | | MSCI US | U.S. Total |
| | | Small Cap | Market |
| | Fund | 1750 Index | Index |
| Consumer | | | |
| Discretionary | 14.6% | 14.6% | 11.4% |
| Consumer Staples | 3.6 | 3.6 | 10.4 |
| Energy | 5.6 | 5.5 | 9.4 |
| Financials | 21.0 | 21.2 | 17.5 |
| Health Care | 11.7 | 11.7 | 11.7 |
| Industrials | 16.1 | 16.0 | 10.8 |
| Information | | | |
| Technology | 17.7 | 17.6 | 18.7 |
| Materials | 5.3 | 5.4 | 3.9 |
| Telecommunication | | | |
| Services | 0.9 | 0.9 | 2.7 |
| Utilities | 3.5 | 3.5 | 3.5 |
Investment Focus
9
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.
Fiscal-Year Total Returns (%): December 31, 1999, Through June 30, 2010
| | | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | | |
| |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Investor Shares | 10/3/1960 | 25.06% | 1.34% | 3.85% |
| Admiral Shares | 11/13/2000 | 25.24 | 1.45 | 4.971 |
| Signal Shares | 12/15/2006 | 25.16 | — | -4.031 |
| Institutional Shares | 7/7/1997 | 25.28 | 1.50 | 4.02 |
| ETF Shares | 1/26/2004 | | | |
| Market Price | | 25.23 | 1.50 | 3.071 |
| Net Asset Value | | 25.20 | 1.47 | 3.081 |
1 Return since inception.
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
10
Small-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2010
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount wi thin each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exc hange 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 46;s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SE C’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 | | | |
| * Aeropostale Inc. | 1,397,517 | 40,025 | 0.2% |
| * Big Lots Inc. | 1,146,548 | 36,793 | 0.2% |
| Phillips-Van Heusen Corp. | 792,686 | 36,678 | 0.2% |
| Tupperware Brands Corp. | 874,634 | 34,854 | 0.2% |
| Gentex Corp. | 1,926,976 | 34,647 | 0.2% |
| Jarden Corp. | 1,277,178 | 34,318 | 0.2% |
| RadioShack Corp. | 1,736,936 | 33,888 | 0.2% |
| Williams-Sonoma Inc. | 1,325,780 | 32,906 | 0.2% |
| * Signet Jewelers Ltd. | 1,185,987 | 32,615 | 0.2% |
| Consumer Discretionary—Other † | | 2,266,868 | 12.7% |
| | | 2,583,592 | 14.5% |
| Consumer Staples | | | |
| * Green Mountain Coffee Roasters Inc. | 1,546,570 | 39,747 | 0.3% |
| Del Monte Foods Co. | 2,749,652 | 39,567 | 0.2% |
| Herbalife Ltd. | 836,311 | 38,512 | 0.2% |
| Consumer Staples—Other † | | 513,281 | 2.9% |
| | | 631,107 | 3.6% |
| Energy | | | |
| ^ Core Laboratories NV | 309,393 | 45,669 | 0.2% |
| SM Energy Co. | 870,617 | 34,964 | 0.2% |
| Southern Union Co. | 1,549,247 | 33,867 | 0.2% |
| Energy—Other † | | 869,728 | 4.9% |
| | | 984,228 | 5.5% |
| Financials | | | |
| * MSCI Inc. Class A | 1,548,486 | 42,428 | 0.2% |
| Chimera Investment Corp. | 11,442,047 | 41,306 | 0.2% |
| Essex Property Trust Inc. | 411,531 | 40,141 | 0.2% |
| Alexandria Real Estate Equities Inc. | 608,314 | 38,549 | 0.2% |
| Jones Lang LaSalle Inc. | 581,793 | 38,189 | 0.2% |
11
| | | | |
| Small-Cap Index Fund | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value • | of Net |
| | | Shares | ($000) | Assets |
| | Camden Property Trust | 895,350 | 36,575 | 0.2% |
| | First Niagara Financial Group Inc. | 2,898,963 | 36,324 | 0.2% |
| | Senior Housing Properties Trust | 1,767,211 | 35,539 | 0.2% |
| | Arthur J Gallagher & Co. | 1,421,811 | 34,664 | 0.2% |
| * | AmeriCredit Corp. | 1,857,316 | 33,840 | 0.2% |
| | Ares Capital Corp. | 2,654,828 | 33,265 | 0.2% |
| | Mack-Cali Realty Corp. | 1,098,672 | 32,664 | 0.2% |
| | Financials—Other † | | 3,317,376 | 18.7% |
| | | | 3,760,860 | 21.1% |
| Health Care | | | |
| * | Valeant Pharmaceuticals International | 1,082,521 | 56,605 | 0.3% |
| * | Mednax Inc. | 652,418 | 36,281 | 0.2% |
| * | United Therapeutics Corp. | 719,782 | 35,133 | 0.2% |
| | PerkinElmer Inc. | 1,619,412 | 33,473 | 0.2% |
| | Health Care—Other † | | 1,906,198 | 10.7% |
| | | | 2,067,690 | 11.6% |
| Industrials | | | |
| * | UAL Corp. | 2,323,205 | 47,765 | 0.3% |
| * | Continental Airlines Inc. Class B | 1,929,270 | 42,444 | 0.2% |
| * | Oshkosh Corp. | 1,242,093 | 38,704 | 0.2% |
| * | Waste Connections Inc. | 1,036,577 | 36,166 | 0.2% |
| * | BE Aerospace Inc. | 1,347,189 | 34,259 | 0.2% |
| | TransDigm Group Inc. | 646,002 | 32,965 | 0.2% |
| | Snap-On Inc. | 801,050 | 32,771 | 0.2% |
| | Industrials—Other † | | 2,579,125 | 14.5% |
| | | | 2,844,199 | 16.0% |
| Information Technology | | | |
| * | Skyworks Solutions Inc. | 2,438,454 | 40,942 | 0.2% |
| * | MICROS Systems Inc. | 1,105,230 | 35,224 | 0.2% |
| | Solera Holdings Inc. | 968,933 | 35,075 | 0.2% |
| * | Polycom Inc. | 1,167,441 | 34,778 | 0.2% |
| * | Itron Inc. | 557,229 | 34,448 | 0.2% |
| *,^ | WebMD Health Corp. | 702,185 | 32,602 | 0.2% |
| | Information Technology—Other † | | 2,914,965 | 16.4% |
| | | | 3,128,034 | 17.6% |
| Materials | | | |
| | Aptargroup Inc. | 941,337 | 35,601 | 0.2% |
| | Royal Gold Inc. | 695,424 | 33,380 | 0.2% |
| | Materials—Other † | | 865,727 | 4.9% |
| | | | 934,708 | 5.3% |
| Telecommunication Services | | | |
| * | tw telecom inc Class A | 1,978,660 | 33,004 | 0.2% |
| | Telecommunication Services—Other † | | 127,717 | 0.7% |
| | | | 160,721 | 0.9% |
| Utilities | | | |
| | ITC Holdings Corp. | 694,913 | 36,768 | 0.2% |
| | Atmos Energy Corp. | 1,289,326 | 34,863 | 0.2% |
| | Westar Energy Inc. | 1,532,061 | 33,108 | 0.2% |
| | Utilities—Other † | | 516,823 | 2.9% |
| | | | 621,562 | 3.5% |
| Total Common Stocks (Cost $17,966,607) | | 17,716,701 | 99.6%1 |
12
| | | | |
| 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 | 0.286% | 451,028,126 | 451,028 | 2.5% |
| |
| 4U.S. Government and Agency Obligations † | | | 8,496 | 0.1% |
| Total Temporary Cash Investments (Cost $459,521) | | | 459,524 | 2.6%1 |
| Total Investments (Cost $18,426,128) | | | 18,176,225 | 102.2% |
| Other Assets and Liabilities | | | | |
| Other Assets | | | 68,672 | 0.4% |
| Liabilities3 | | | (458,453) | (2.6%) |
| | | | (389,781) | (2.2%) |
| Net Assets | | | 17,786,444 | 100.0% |
13
| |
| Small-Cap Index Fund | |
| |
| |
| At June 30, 2010, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 20,490,284 |
| Undistributed Net Investment Income | 74,628 |
| Accumulated Net Realized Losses | (2,521,938) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | (249,903) |
| Futures Contracts | (6,627) |
| Net Assets | 17,786,444 |
| |
| Investor Shares—Net Assets | |
| Applicable to 226,081,195 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 6,128,117 |
| Net Asset Value Per Share—Investor Shares | $27.11 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 77,101,117 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 2,091,790 |
| Net Asset Value Per Share—Admiral Shares | $27.13 |
| |
| Signal Shares—Net Assets | |
| Applicable to 73,004,614 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,785,280 |
| Net Asset Value Per Share—Signal Shares | $24.45 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 161,391,006 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 4,380,381 |
| Net Asset Value Per Share—Institutional Shares | $27.14 |
| |
| ETF Shares—Net Assets | |
| Applicable to 60,041,159 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 3,400,876 |
| Net Asset Value Per Share—ETF Shares | $56.64 |
• 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 $318,490,000.
† 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 100.1% and 2.1%, 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 $358,932,000 of collateral received for securities on loan.
4 Securities with a value of $8,496,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
14
| |
| Small-Cap Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 102,985 |
| Interest1 | 110 |
| Security Lending | 11,895 |
| Total Income | 114,990 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 528 |
| Management and Administrati ve—Investor Shares | 7,139 |
| Management and Administrati ve—Admiral Shares | 968 |
| Management and Administrati ve—Signal Shares | 776 |
| Management and Administrati ve—Institutional Shares | 908 |
| Management and Administrati ve—ETF Shares | 1,353 |
| Marketing and Distribution& #151;Investor Shares | 779 |
| Marketing and Distribution& #151;Admiral Shares | 179 |
| Marketing and Distribution& #151;Signal Shares | 251 |
| Marketing and Distribution& #151;Institutional Shares | 582 |
| Marketing and Distribution& #151;ETF Shares | 467 |
| Custodian Fees | 476 |
| Shareholders’ Reports—Investor Shares | 83 |
| Shareholders’ Reports—Admiral Shares | 2 |
| Shareholders’ Reports—Signal Shares | 13 |
| Shareholders’ Reports—Institutional Shares | 69 |
| Shareholders’ Reports—ETF Shares | 84 |
| Trustees’ Fees and Expenses | 15 |
| Total Expenses | 14,672 |
| Net Investment Income | 100,318 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 375,819 |
| Futures Contracts | (3,462) |
| Realized Net Gain (Loss) | 372,357 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (870,392) |
| Futures Contracts | (6,741) |
| Change in Unrealized Appreciation (Depreciation) | (877,133) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (404,458) |
1 Interest income from an affiliated company of the fund was $101,000.
See accompanying Notes, which are an integral part of the Financial Statements.
15
| | |
| Small-Cap Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 100,318 | 178,324 |
| Realized Net Gain (Loss) | 372,357 | (433,963) |
| Change in Unrealized Appreciation (Depreciation) | (877,133) | 4,479,579 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (404,458) | 4,223,940 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (885) | (58,993) |
| Admiral Shares | (368) | (22,117) |
| Signal Shares | (366) | (19,496) |
| Institutional Shares | (765) | (48,371) |
| ETF Shares | (454) | (36,024) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (2,838) | (185,001) |
| Capital Share Transactions | | |
| Investor Shares | 331,935 | 372,313 |
| Admiral Shares | 140,767 | 40,938 |
| Signal Shares | 52,694 | 128,306 |
| Institutional Shares | 310,236 | 603,547 |
| ETF Shares | 67,187 | 1,671,490 |
| Net Increase (Decrease) from Capital Share Transactions | 902,819 | 2,816,594 |
| Total Increase (Decrease) | 495,523 | 6,855,533 |
| Net Assets | | |
| Beginning of Period | 17,290,921 | 10,435,388 |
| End of Period1 | 17,786,444 | 17,290,921 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $74,628,000 and ($22,852,000).
See accompanying Notes, which are an integral part of the Financial Statements.
16
| | | | | | |
| Small-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Investor Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $27.49 | $20.40 | $32.58 | $32.62 | $28.52 | $26.83 |
| Investment Operations | | | | | | |
| Net Investment Income | .140 | .272 | .398 | .413 | .357 | .290 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.516) | 7.094 | (12.174) | (.041) | 4.101 | 1.690 |
| Total from Investment Operations | (.376) | 7.366 | (11.776) | .372 | 4.458 | 1.980 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.004) | (.276) | (.404) | (.412) | (.358) | (.290) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.004) | (.276) | (.404) | (.412) | (.358) | (.290) |
| Net Asset Value, End of Period | $27.11 | $27.49 | $20.40 | $32.58 | $32.62 | $28.52 |
| |
| Total Return1 | -1.37% | 36.12% | -36.07% | 1.16% | 15.64% | 7.36% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $6,128 | $5,913 | $4,050 | $6,214 | $6,808 | $5,902 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.26%2 | 0.28% | 0.23% | 0.22% | 0.23% | 0.23% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 0.98%2 | 1.30% | 1.49% | 1.23% | 1.18% | 1.08% |
| Portfolio Turnover Rate3 | 11%2 | 14% | 14% | 16% | 13% | 18% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
| | | | | | |
| Small-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $27.50 | $20.40 | $32.59 | $32.64 | $28.53 | $26.83 |
| Investment Operations | | | | | | |
| Net Investment Income | .161 | .303 | .426 | .440 | .395 | .325 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.526) | 7.105 | (12.185) | (.040) | 4.101 | 1.690 |
| Total from Investment Operations | (.365) | 7.408 | (11.759) | .400 | 4.496 | 2.015 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.005) | (.308) | (.431) | (.450) | (.386) | (.315) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.005) | (.308) | (.431) | (.450) | (.386) | (.315) |
| Net Asset Value, End of Period | $27.13 | $27.50 | $20.40 | $32.59 | $32.64 | $28.53 |
| |
| Total Return | -1.33% | 36.33% | -36.00% | 1.24% | 15.77% | 7.49% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,092 | $1,992 | $1,444 | $2,325 | $3,078 | $2,382 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.14% | 0.12% | 0.11% | 0.13% | 0.13% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.12%1 | 1.44% | 1.60% | 1.34% | 1.28% | 1.18% |
| Portfolio Turnover Rate2 | 11%1 | 14% | 14% | 16% | 13% | 18% |
1 Annualized.
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.
18
| | | | | |
| Small-Cap Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Signal Shares | | | | | |
| | | | | | |
| | Six Months | | | | Dec. 15, |
| | Ended | | 20061 to |
| | June 30, | | Year Ended December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $24.79 | $18.39 | $29.38 | $29.42 | $29.98 |
| Investment Operations | | | | | |
| Net Investment Income | .145 | .274 | .385 | .406 | .004 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.480) | 6.405 | (10.985) | (.042) | (.251) |
| Total from Investment Operations | (.335) | 6.679 | (10.600) | .364 | (.247) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.005) | (.279) | (.390) | (.404) | (.313) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.005) | (.279) | (.390) | (.404) | (.313) |
| Net Asset Value, End of Period | $24.45 | $24.79 | $18.39 | $29.38 | $29.42 |
| |
| Total Return | -1.35% | 36.34% | -36.00% | 1.25% | -0.82% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,785 | $1,763 | $1,172 | $1,625 | $157 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.12%2 | 0.14% | 0.12% | 0.11% | 0.13%2 |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.12%2 | 1.44% | 1.60% | 1.34% | 1.28%2 |
| Portfolio Turnover Rate3 | 11%2 | 14% | 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.
19
| | | | | | |
| Small-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $27.50 | $20.40 | $32.60 | $32.65 | $28.54 | $26.84 |
| Investment Operations | | | | | | |
| Net Investment Income | .166 | .316 | .441 | .457 | .411 | .343 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.521) | 7.106 | (12.196) | (.041) | 4.101 | 1.690 |
| Total from Investment Operations | (.355) | 7.422 | (11.755) | .416 | 4.512 | 2.033 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.005) | (.322) | (.445) | (.466) | (.402) | (.333) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.005) | (.322) | (.445) | (.466) | (.402) | (.333) |
| Net Asset Value, End of Period | $27.14 | $27.50 | $20.40 | $32.60 | $32.65 | $28.54 |
| |
| Total Return | -1.29% | 36.40% | -35.98% | 1.29% | 15.82% | 7.56% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $4,380 | $4,162 | $2,545 | $3,585 | $3,107 | $2,089 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08%1 | 0.08% | 0.07% | 0.07% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.16%1 | 1.50% | 1.65% | 1.38% | 1.33% | 1.23% |
| Portfolio Turnover Rate2 | 11%1 | 14% | 14% | 16% | 13% | 18% |
1 Annualized.
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 | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $57.41 | $42.60 | $68.07 | $68.16 | $59.59 | $56.05 |
| Investment Operations | | | | | | |
| Net Investment Income | .334 | .646 | .910 | .959 | .836 | .668 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.095) | 14.822 | (25.462) | (.093) | 8.569 | 3.555 |
| Total from Investment Operations | (.761) | 15.468 | (24.552) | .866 | 9.405 | 4.223 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.009) | (.658) | (.918) | (.956) | (.835) | (.683) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.009) | (.658) | (.918) | (.956) | (.835) | (.683) |
| Net Asset Value, End of Period | $56.64 | $57.41 | $42.60 | $68.07 | $68.16 | $59.59 |
| |
| Total Return | -1.33% | 36.31% | -35.99% | 1.27% | 15.79% | 7.53% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $3,401 | $3,460 | $1,224 | $1,121 | $670 | $265 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.14% | 0.10% | 0.10% | 0.10% | 0.10% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.12%1 | 1.44% | 1.62% | 1.35% | 1.31% | 1.20% |
| Portfolio Turnover Rate2 | 11%1 | 14% | 14% | 16% | 13% | 18% |
1 Annualized.
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.
21
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 and Institutional Shares are designed for institutional investors who meet certain administrative, service, and account-size criteri a. 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 th e 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 sec urities’ 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 t he 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 pri ces. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, 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.
22
Small-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 tho se 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 a llocated 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 June 30, 2010, the fund had contributed capital of $3,703,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.48% of
Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quote d 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 June 30, 2010, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 17,716,701 | — | — |
| Temporary Cash Investments | 451,028 | 8,496 | — |
| Futures Contracts—Liabilities1 | (795) | — | — |
| Total | 18,166,934 | 8,496 | — |
1 Represents variation margin on the last day of the reporting period.
23
Small-Cap Index Fund
D. At June 30, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) w ere:
| | | | |
| | | | | ($000) |
| | | | Aggregate | |
| | | Number of | Settlement | Unrealized |
| | | Long (Short) | Value | Appreciation |
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini Russell 2000 Index | September 2010 | 1,472 | 89,468 | (6,627) |
Unrealized appreciation (depreciation) on open futures contracts is required t o be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the trea tment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $683,646,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only a t the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $1,801,773,000 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 $970,576,000 through December 31, 2017. In addition, the fund realized losses of $405,904,000 during the period from November 1, 2009, through December 31, 2009, which are deferred and will be treated as realized for tax purposes in fiscal 2010. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending Decembe r 31, 2010; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2010, the cost of investment securities for tax purposes was $18,426,128,000. Net unrealized depreciation of investment securities for tax purposes was $249,903,000, consisting of unrealized gains of $2,317,631,000 on securities that had risen in value since their purchase and $2,567,534,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2010, the fund purchased $3,325, 652,000 of investment securities and sold $2,340,142,000 of investment securities, other than temporary cash investments.
24
Small-Cap Index Fund
| | | | |
| G. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 1,043,681 | 35,364 | 1,292,322 | 58,916 |
| Issued in Lieu of Cash Distributions | 851 | 28 | 56,593 | 2,071 |
| Redeemed | (712,597) | (24,410) | (976,602) | (44,417) |
| Net Increase (Decrease)—Investor Shares | 331,935 | 10,982 | 372,313 | 16,570 |
| Admiral Shares | | | | |
| Issued | 295,887 | 9,962 | 290,764 | 13,073 |
| Issued in Lieu of Cash Distributions | 319 | 11 | 19,054 | 699 |
| Redeemed | (155,439) | (5,330) | (268,880) | (12,110) |
| Net Increase (Decrease)—Admiral Shares | 140,767 | 4,643 | 40,938 | 1,662 |
| Signal Shares | | | | |
| Issued | 387,616 | 14,482 | 550,957 | 27,652 |
| Issued in Lieu of Cash Distributions | 320 | 12 | 16,939 | 691 |
| Redeemed | (335,242) | (12,637) | (439,590) | (20,897) |
| Net Increase (Decrease)—Signal Shares | 52,694 | 1,857 | 128,306 | 7,446 |
| Institutional Shares | | | | |
| Issued | 839,187 | 28,431 | 1,294,155 | 57,320 |
| Issued in Lieu of Cash Distributions | 725 | 24 | 45,986 | 1,686 |
| Redeemed | (529,676) | (18,378) | (736,594) | (32,428) |
| Net Increase (Decrease)—Institutional Shares | 310,236 | 10,077 | 603,547 | 26,578 |
| ETF Shares | | | | |
| Issued | 1,435,852 | 22,869 | 2,815,775 | 56,037 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (1,368,665) | (23,100) | (1,144,285) | (24,500) |
| Net Increase (Decrease)—ETF Shares | 67,187 | (231) | 1,671,490 | 31,537 |
H. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
25
Small-Cap Growth Index Fund
Fund Profile
As of June 30, 2010
| | | |
| Share-Class Characteristics | | |
| |
| | Investor | Institutional | ETF |
| | Shares | Shares | Shares |
| Ticker Symbol | VISGX | VSGIX | VBK |
| Expense Ratio1 | 0.28% | 0.08% | 0.14% |
| 30-Day SEC Yield | 0.30% | 0.48% | 0.44% |
| |
| Portfolio Characteristics | | |
| | | | DJ |
| | | MSCI US | U.S. Total |
| | | Small Cap | Market |
| | Fund | Growth | Index |
| Number of Stocks | 1,034 | 1,031 | 4,114 |
| Median Market Cap | $1.3B | $1.3B | $25.2B |
| Price/Earnings Ratio | 35.9x | 35.9x | 17.6x |
| Price/Book Ratio | 2.5x | 2.5x | 1.9x |
| Return on Equity | 12.7% | 12.7% | 19.1% |
| Earnings Growth Rate | 11.0% | 11.0% | 6.6% |
| Dividend Yield | 0.3% | 0.3% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 32% | — | — |
| Short-Term Reserves | 0.2% | — | — |
| |
| Sector Diversification (% of equity exposure) |
| | | | DJ |
| | | MSCI US | U.S. Total |
| | | Small Cap | Market |
| | Fund | Growth | Index |
| Consumer | | | |
| Discretionary | 17.3% | 17.3% | 11.4% |
| Consumer Staples | 3.3 | 3.3 | 10.4 |
| Energy | 6.8 | 6.8 | 9.4 |
| Financials | 6.1 | 6.0 | 17.5 |
| Health Care | 17.5 | 17.5 | 11.7 |
| Industrials | 17.1 | 17.1 | 10.8 |
| Information | | | |
| Technology | 26.9 | 26.9 | 18.7 |
| Materials | 3.3 | 3.4 | 3.9 |
| Telecommunication | | | |
| Services | 1.2 | 1.2 | 2.7 |
| Utilities | 0.5 | 0.5 | 3.5 |
| | |
| Volatility Measures | | |
| | | DJ |
| | MSCI US | U.S. Total |
| | Small Cap | Market |
| | Growth | Index |
| R-Squared | 1.00 | 0.93 |
| Beta | 1.00 | 1.23 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| | |
| Ten Largest Holdings (% of total net assets) |
| Valeant Pharmaceuticals | Pharmaceuticals | |
| International | | 0.6% |
| UAL Corp. | Airlines | 0.5 |
| Core Laboratories NV | Oil & Gas | |
| | Equipment & | |
| | Services | 0.5 |
| MSCI Inc. Class A | Specialized Finance | 0.5 |
| Aeropostale Inc. | Apparel Retail | 0.5 |
| Green Mountain Coffee | Packaged Foods & | |
| Roasters Inc. | Meats | 0.4 |
| Oshkosh Corp. | Construction & | |
| | Farm Machinery & | |
| | Heavy Trucks | 0.4 |
| Herbalife Ltd. | Personal Products | 0.4 |
| Jones Lang LaSalle Inc. | Real Estate | |
| | Services | 0.4 |
| Big Lots Inc. | General | |
| | Merchandise Stores | 0.4 |
| Top Ten | | 4.6% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.26% for Investor Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares.
26
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.
Fiscal-Year Total Returns (%): December 31, 1999, Through June 30, 2010
| | | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | | |
| |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Investor Shares | 5/21/1998 | 22.77% | 2.20% | 3.71% |
| Institutional Shares | 5/24/2000 | 23.07 | 2.36 | 3.88 |
| ETF Shares | 1/26/2004 | | | |
| Market Price | | 23.04 | 2.34 | 2.801 |
| Net Asset Value | | 22.96 | 2.32 | 2.811 |
1 Return since inception.
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
27
Small-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2010
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount wi thin each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exc hange 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 46;s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SE C’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 | | | |
| * Aeropostale Inc. | 835,395 | 23,926 | 0.5% |
| * Big Lots Inc. | 685,294 | 21,991 | 0.4% |
| Gentex Corp. | 1,151,800 | 20,709 | 0.4% |
| * WMS Industries Inc. | 484,272 | 19,008 | 0.4% |
| * Panera Bread Co. Class A | 249,729 | 18,802 | 0.4% |
| * Dick’s Sporting Goods Inc. | 741,226 | 18,449 | 0.4% |
| * J Crew Group Inc. | 500,751 | 18,433 | 0.3% |
| Tractor Supply Co. | 299,200 | 18,242 | 0.3% |
| * Tempur-Pedic International Inc. | 580,371 | 17,846 | 0.3% |
| * DreamWorks Animation SKG Inc. Class A | 595,503 | 17,002 | 0.3% |
| Consumer Discretionary—Other † | | 720,286 | 13.6% |
| | | 914,694 | 17.3% |
| Consumer Staples | | | |
| * Green Mountain Coffee Roasters Inc. | 924,111 | 23,750 | 0.5% |
| Herbalife Ltd. | 499,770 | 23,014 | 0.4% |
| * NBTY Inc. | 471,691 | 16,042 | 0.3% |
| Consumer Staples—Other † | | 111,800 | 2.1% |
| | | 174,606 | 3.3% |
| Energy | | | |
| Core Laboratories NV | 184,957 | 27,301 | 0.5% |
| SM Energy Co. | 520,390 | 20,899 | 0.4% |
| * Mariner Energy Inc. | 843,665 | 18,122 | 0.4% |
| * Atlas Energy Inc. | 648,478 | 17,554 | 0.3% |
| Energy—Other † | | 275,916 | 5.2% |
| | | 359,792 | 6.8% |
| Financials | | | |
| * MSCI Inc. Class A | 925,312 | 25,354 | 0.5% |
| Jones Lang LaSalle Inc. | 347,579 | 22,815 | 0.4% |
| Taubman Centers Inc. | 450,345 | 16,946 | 0.3% |
| Financials—Other † | | 257,242 | 4.9% |
| | | 322,357 | 6.1% |
28
| | | |
| Small-Cap Growth Index Fund | | | |
| |
| |
| |
| | | Market | Percentage |
| | | Value • | of Net |
| | Shares | ($000) | Assets |
| Health Care | | | |
| * Valeant Pharmaceuticals International | 646,897 | 33,826 | 0.6% |
| * United Therapeutics Corp. | 430,048 | 20,991 | 0.4% |
| * Thoratec Corp. | 449,431 | 19,204 | 0.4% |
| * Salix Pharmaceuticals Ltd. | 460,177 | 17,961 | 0.4% |
| * Tenet Healthcare Corp. | 3,988,768 | 17,311 | 0.3% |
| * VCA Antech Inc. | 674,701 | 16,706 | 0.3% |
| Health Care—Other † | | 799,865 | 15.1% |
| | | 925,864 | 17.5% |
| Industrials | | | |
| * UAL Corp. | 1,388,309 | 28,544 | 0.5% |
| * Oshkosh Corp. | 742,205 | 23,127 | 0.4% |
| * Waste Connections Inc. | 619,580 | 21,617 | 0.4% |
| TransDigm Group Inc. | 386,096 | 19,703 | 0.4% |
| Gardner Denver Inc. | 432,728 | 19,295 | 0.4% |
| IDEX Corp. | 670,090 | 19,145 | 0.4% |
| * Corrections Corp. of America | 961,469 | 18,345 | 0.3% |
| * WABCO Holdings Inc. | 531,240 | 16,723 | 0.3% |
| * Kirby Corp. | 425,290 | 16,267 | 0.3% |
| Landstar System Inc. | 416,548 | 16,241 | 0.3% |
| Industrials—Other † | | 707,065 | 13.4% |
| | | 906,072 | 17.1% |
| Information Technology | | | |
| * MICROS Systems Inc. | 660,338 | 21,045 | 0.4% |
| Solera Holdings Inc. | 579,191 | 20,967 | 0.4% |
| * Polycom Inc. | 697,606 | 20,782 | 0.4% |
| * Itron Inc. | 332,926 | 20,581 | 0.4% |
| * WebMD Health Corp. | 419,717 | 19,487 | 0.4% |
| * CommScope Inc. | 781,447 | 18,575 | 0.4% |
| * Atmel Corp. | 3,761,242 | 18,054 | 0.4% |
| * JDS Uniphase Corp. | 1,817,058 | 17,880 | 0.3% |
| * Informatica Corp. | 741,493 | 17,707 | 0.3% |
| * Varian Semiconductor Equipment Associates Inc. | 616,320 | 17,664 | 0.3% |
| * VistaPrint NV | 359,944 | 17,094 | 0.3% |
| * TIBCO Software Inc. | 1,380,736 | 16,652 | 0.3% |
| Information Technology—Other † | | 1,202,245 | 22.7% |
| | | 1,428,733 | 27.0% |
| |
| Materials † | | 173,773 | 3.3% |
| |
| Telecommunication Services | | | |
| * tw telecom inc Class A | 1,182,657 | 19,727 | 0.4% |
| Telecommunication Services—Other † | | 44,024 | 0.8% |
| | | 63,751 | 1.2% |
| Utilities | | | |
| ITC Holdings Corp. | 415,273 | 21,972 | 0.4% |
| Utilities—Other † | | 6,409 | 0.2% |
| | | 28,381 | 0.6% |
| Total Common Stocks (Cost $4,989,240) | | 5,298,023 | 100.2%1 |
29
| | | | |
| 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 | 0.286% | 154,067,065 | 154,067 | 2.9% |
| |
| 4U.S. Government and Agency Obligations † | | | 200 | 0.0% |
| Total Temporary Cash Investments (Cost $154,266) | | | 154,267 | 2.9%1 |
| 5Total Investments (Cost $5,143,506) | | | 5,452,290 | 103.1% |
| Other Assets and Liabilities | | | | |
| Other Assets | | | 66,327 | 1.2% |
| Liabilities3 | | | (228,952) | (4.3%) |
| | | | (162,625) | (3.1%) |
| Net Assets | | | 5,289,665 | 100.0% |
30
| |
| Small-Cap Growth Index Fund | |
| |
| |
| At June 30, 2010, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 6,501,848 |
| Undistributed Net Investment Income | 2,489 |
| Accumulated Net Realized Losses | (1,523,314) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 308,784 |
| Futures Contracts | (142) |
| Net Assets | 5,289,665 |
| |
| Investor Shares—Net Assets | |
| Applicable to 186,098,509 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 3,078,114 |
| Net Asset Value Per Share—Investor Shares | $16.54 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 59,215,780 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 981,779 |
| Net Asset Value Per Share—Institutional Shares | $16.58 |
| |
| ETF Shares—Net Assets | |
| Applicable to 20,888,024 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,229,772 |
| Net Asset Value Per Share—ETF Shares | $58.87 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.2% and 2.9%, 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 $143,748,000 of collateral received for securities on loan.
4 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $124,625,000.
See accompanying Notes, which are an integral part of the Financial Statements.
31
| |
| Small-Cap Growth Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 9,465 |
| Interest1 | 16 |
| Security Lending | 5,339 |
| Total Income | 14,820 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 199 |
| Management and Administrati ve—Investor Shares | 3,612 |
| Management and Administrati ve—Institutional Shares | 168 |
| Management and Administrati ve—ETF Shares | 480 |
| Marketing and Distribution& #151;Investor Shares | 415 |
| Marketing and Distribution& #151;Institutional Shares | 136 |
| Marketing and Distribution& #151;ETF Shares | 177 |
| Custodian Fees | 170 |
| Shareholders’ Reports—Investor Shares | 27 |
| Shareholders’ Reports—Institutional Shares | 34 |
| Shareholders’ Reports—ETF Shares | 41 |
| Trustees’ Fees and Expenses | 5 |
| Total Expenses | 5,464 |
| Net Investment Income | 9,356 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 20,359 |
| Futures Contracts | (350) |
| Realized Net Gain (Loss) | 20,009 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (152,306) |
| Futures Contracts | (97) |
| Change in Unrealized Appreciation (Depreciation) | (152,403) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (123,038) |
| 1 Interest income from an affiliated company of the fund was $13,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
32
| | |
| Small-Cap Growth Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 9,356 | 15,557 |
| Realized Net Gain (Loss) | 20,009 | (141,233) |
| Change in Unrealized Appreciation (Depreciation) | (152,403) | 1,569,663 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (123,038) | 1,443,987 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | — | (8,702) |
| Institutional Shares | — | (4,179) |
| ETF Shares | — | (4,659) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | — | (17,540) |
| Capital Share Transactions | | |
| Investor Shares | 129,001 | 322,971 |
| Institutional Shares | 58,948 | 177,511 |
| ETF Shares | 85,029 | 151,301 |
| Net Increase (Decrease) from Capital Share Transactions | 272,978 | 651,783 |
| Total Increase (Decrease) | 149,940 | 2,078,230 |
| Net Assets | | |
| Beginning of Period | 5,139,725 | 3,061,495 |
| End of Period1 | 5,289,665 | 5,139,725 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $2,489,000 and ($6,764,000).
See accompanying Notes, which are an integral part of the Financial Statements.
33
| | | | | | |
| Small-Cap Growth Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Investor Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $16.83 | $11.90 | $20.01 | $18.34 | $16.43 | $15.16 |
| Investment Operations | | | | | | |
| Net Investment Income | .024 | .046 | .096 | .095 | .051 | .040 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.314) | 4.933 | (8.105) | 1.669 | 1.911 | 1.270 |
| Total from Investment Operations | (.290) | 4.979 | (8.009) | 1.764 | 1.962 | 1.310 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | — | (.049) | (.101) | (.094) | (.052) | (.040) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | — | (.049) | (.101) | (.094) | (.052) | (.040) |
| Net Asset Value, End of Period | $16.54 | $16.83 | $11.90 | $20.01 | $18.34 | $16.43 |
| |
| Total Return1 | -1.72% | 41.85% | -40.00% | 9.63% | 11.94% | 8.64% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $3,078 | $3,018 | $1,871 | $2,825 | $2,208 | $1,726 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.26%2 | 0.28% | 0.23% | 0.22% | 0.23% | 0.23% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 0.27%2 | 0.33% | 0.60% | 0.52% | 0.30% | 0.27% |
| Portfolio Turnover Rate3 | 32%2 | 38% | 38% | 32% | 40% | 39% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
34
| | | | | | |
| Small-Cap Growth Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $16.85 | $11.91 | $20.04 | $18.37 | $16.46 | $15.18 |
| Investment Operations | | | | | | |
| Net Investment Income | .040 | .072 | .121 | .125 | .080 | .073 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.310) | 4.944 | (8.126) | 1.669 | 1.910 | 1.270 |
| Total from Investment Operations | (.270) | 5.016 | (8.005) | 1.794 | 1.990 | 1.343 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | — | (.076) | (.125) | (.124) | (.080) | (.063) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | — | (.076) | (.125) | (.124) | (.080) | (.063) |
| Net Asset Value, End of Period | $16.58 | $16.85 | $11.91 | $20.04 | $18.37 | $16.46 |
| |
| Total Return | -1.60% | 42.13% | -39.91% | 9.78% | 12.09% | 8.84% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $982 | $945 | $511 | $703 | $257 | $73 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08%1 | 0.08% | 0.07% | 0.07% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 0.45%1 | 0.53% | 0.76% | 0.67% | 0.45% | 0.42% |
| Portfolio Turnover Rate2 | 32%1 | 38% | 38% | 32% | 40% | 39% |
1 Annualized.
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.
35
| | | | | | |
| Small-Cap Growth Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $59.86 | $42.32 | $71.18 | $65.24 | $58.47 | $53.95 |
| Investment Operations | | | | | | |
| Net Investment Income | .130 | .225 | .411 | .415 | .262 | .200 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.120) | 17.555 | (28.846) | 5.940 | 6.773 | 4.534 |
| Total from Investment Operations | (.990) | 17.780 | (28.435) | 6.355 | 7.035 | 4.734 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | — | (.240) | (.425) | (.415) | (.265) | (.214) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | — | (.240) | (.425) | (.415) | (.265) | (.214) |
| Net Asset Value, End of Period | $58.87 | $59.86 | $42.32 | $71.18 | $65.24 | $58.47 |
| |
| Total Return | -1.65% | 42.02% | -39.92% | 9.74% | 12.03% | 8.77% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,230 | $1,177 | $680 | $858 | $518 | $206 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.14% | 0.11% | 0.11% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 0.41%1 | 0.47% | 0.72% | 0.63% | 0.41% | 0.37% |
| Portfolio Turnover Rate2 | 32%1 | 38% | 38% | 32% | 40% | 39% |
1 Annualized.
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.
36
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 institutional investors who meet certain administrative, service, and account-size criteria. 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 th e 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 sec urities’ 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 t he 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 pri ces. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, 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.
37
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 tho se 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 a llocated 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 June 30, 2010, the fund had contributed capital of $1,109,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.44% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quote d 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 June 30, 2010, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 5,298,023 | — | — |
| Temporary Cash Investments | 154,067 | 200 | — |
| Futures Contracts—Liabilities1 | (14) | — | — |
| Total | 5,452,076 | 200 | — |
1 Represents variation margin on the last day of the reporting period.
38
Small-Cap Growth Index Fund
D. At June 30, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) w ere:
| | | | |
| | | | | ($000) |
| | | | Aggregate | |
| | | Number of | Settlement | Unrealized |
| | | Long (Short) | Value | Appreciation |
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini Russell 2000 Index | September 2010 | 25 | 1,520 | (142) |
Unrealized appreciation (depreciation) on open futures contracts is required t o be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the trea tment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $163,366,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only a t the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $1,167,190,000 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 $822,482,000 through December 31, 2017. In addition, the fund realized losses of $205,442,000 during the period from November 1, 2009, through December 31, 2009, which are deferred an d will be treated as realized for tax purposes in fiscal 2010. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2010, the cost of investment securities for tax purposes was $5,143,506,000. Net unrealized appreciation of investment securities for tax purposes was $308,784,000, consisting of unrealized gains of $756,887,000 on securities that had risen in value since their purchase and $448,103,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2010, the fund purchased $1,564, 551,000 of investment securities and sold $1,262,349,000 of investment securities, other than temporary cash investments.
39
Small-Cap Growth Index Fund
| | | | |
| G. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 524,590 | 29,261 | 817,190 | 59,537 |
| Issued in Lieu of Cash Distributions | — | — | 8,181 | 494 |
| Redeemed | (395,589) | (22,465) | (502,400) | (37,919) |
| Net Increase (Decrease)—Investor Shares | 129,001 | 6,796 | 322,971 | 22,112 |
| Institutional Shares | | | | |
| Issued | 144,146 | 8,013 | 357,212 | 27,809 |
| Issued in Lieu of Cash Distributions | — | — | 3,909 | 235 |
| Redeemed | (85,198) | (4,853) | (183,610) | (14,896) |
| Net Increase (Decrease)—Institutional Shares | 58,948 | 3,160 | 177,511 | 13,148 |
| ETF Shares | | | | |
| Issued | 484,392 | 7,721 | 839,418 | 17,004 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (399,363) | (6,500) | (688,117) | (13,400) |
| Net Increase (Decrease)—ETF Shares | 85,029 | 1,221 | 151,301 | 3,604 |
H. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
40
Small-Cap Value Index Fund
Fund Profile
As of June 30, 2010
| | | |
| Share-Class Characteristics | | |
| |
| | Investor | Institutional | ETF |
| | Shares | Shares | Shares |
| Ticker Symbol | VISVX | VSIIX | VBR |
| Expense Ratio1 | 0.28% | 0.08% | 0.14% |
| 30-Day SEC Yield | 2.06% | 2.24% | 2.20% |
| |
| Portfolio Characteristics | | |
| | | MSCI US | DJ |
| | | Small Cap | U.S. Total |
| | | Value | Market |
| | Fund | Index | Index |
| Number of Stocks | 993 | 990 | 4,114 |
| Median Market Cap | $1.3B | $1.3B | $25.2B |
| Price/Earnings Ratio | 20.3x | 20.3x | 17.6x |
| Price/Book Ratio | 1.3x | 1.3x | 1.9x |
| Return on Equity | 8.9% | 8.9% | 19.1% |
| Earnings Growth Rate | 0.7% | 0.7% | 6.6% |
| Dividend Yield | 2.4% | 2.4% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 22% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| |
| Sector Diversification (% of equity exposure) |
| | | MSCI US | DJ |
| | | Small Cap | U.S. Total |
| | | Value | Market |
| | Fund | Index | Index |
| Consumer | | | |
| Discretionary | 11.9% | 11.9% | 11.4% |
| Consumer Staples | 3.8 | 3.8 | 10.4 |
| Energy | 4.3 | 4.3 | 9.4 |
| Financials | 36.3 | 36.4 | 17.5 |
| Health Care | 5.9 | 5.9 | 11.7 |
| Industrials | 15.0 | 15.0 | 10.8 |
| Information | | | |
| Technology | 8.4 | 8.3 | 18.7 |
| Materials | 7.3 | 7.3 | 3.9 |
| Telecommunication | | | |
| Services | 0.6 | 0.6 | 2.7 |
| Utilities | 6.5 | 6.5 | 3.5 |
| | |
| Volatility Measures | | |
| | MSCI US | DJ |
| | Small Cap | U.S. Total |
| | Value | Market |
| | Index | Index |
| R-Squared | 1.00 | 0.90 |
| Beta | 1.00 | 1.26 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| | |
| Ten Largest Holdings (% of total net assets) |
| Continental Airlines Inc. | Airlines | |
| Class B | | 0.5% |
| Chimera Investment | Mortgage REITs | |
| Corp. | | 0.5 |
| Skyworks Solutions Inc. | Semiconductors | 0.5 |
| Essex Property Trust Inc. | Residential REITs | 0.5 |
| Del Monte Foods Co. | Packaged Foods & | |
| | Meats | 0.4 |
| Alexandria Real Estate | Office REITs | |
| Equities Inc. | | 0.4 |
| Camden Property Trust | Residential REITs | 0.4 |
| First Niagara Financial | Thrifts & Mortgage | |
| Group Inc. | Finance | 0.4 |
| Mednax Inc. | Health Care | |
| | Services | 0.4 |
| Aptargroup Inc. | Metal & Glass | |
| | Containers | 0.4 |
| Top Ten | | 4.4% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.26% for Investor Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares.
41
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.
Fiscal-Year Total Returns (%): December 31, 1999, Through June 30, 2010
| | | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | | |
| |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Investor Shares | 5/21/1998 | 27.26% | 0.25% | 7.04% |
| Institutional Shares | 12/7/1999 | 27.50 | 0.41 | 7.21 |
| ETF Shares | 1/26/2004 | | | |
| Market Price | | 27.50 | 0.40 | 3.101 |
| Net Asset Value | | 27.42 | 0.37 | 3.101 |
1 Return since inception.
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
42
Small-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2010
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exchange Commission’s website (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 | | | |
| Tupperware Brands Corp. | 554,365 | 22,091 | 0.4% |
| Jarden Corp. | 809,570 | 21,753 | 0.4% |
| RadioShack Corp. | 1,100,906 | 21,479 | 0.4% |
| Williams-Sonoma Inc. | 840,034 | 20,850 | 0.4% |
| * Signet Jewelers Ltd. | 751,483 | 20,666 | 0.3% |
| Consumer Discretionary—Other † | | 560,709 | 10.0% |
| | | 667,548 | 11.9% |
| Consumer Staples | | | |
| Del Monte Foods Co. | 1,742,271 | 25,071 | 0.4% |
| Corn Products International Inc. | 660,125 | 20,002 | 0.4% |
| Consumer Staples—Other † | | 169,607 | 3.0% |
| | | 214,680 | 3.8% |
| Energy | | | |
| Southern Union Co. | 981,571 | 21,457 | 0.4% |
| Energy—Other † | | 221,033 | 3.9% |
| | | 242,490 | 4.3% |
| Financials | | | |
| Chimera Investment Corp. | 7,246,451 | 26,160 | 0.5% |
| Essex Property Trust Inc. | 260,753 | 25,434 | 0.4% |
| Alexandria Real Estate Equities Inc. | 385,410 | 24,423 | 0.4% |
| Camden Property Trust | 567,230 | 23,171 | 0.4% |
| First Niagara Financial Group Inc. | 1,836,892 | 23,016�� | 0.4% |
| Senior Housing Properties Trust | 1,119,750 | 22,518 | 0.4% |
| Arthur J Gallagher & Co. | 900,857 | 21,963 | 0.4% |
| * AmeriCredit Corp. | 1,176,823 | 21,442 | 0.4% |
| Ares Capital Corp. | 1,682,415 | 21,081 | 0.4% |
| Mack-Cali Realty Corp. | 696,132 | 20,696 | 0.4% |
| * E*Trade Financial Corp. | 1,737,756 | 20,540 | 0.4% |
| Bank of Hawaii Corp. | 422,041 | 20,406 | 0.4% |
43
| | | |
| Small-Cap Value Index Fund | | | |
| |
| |
| |
| | | Market | Percentage |
| | | Value • | of Net |
| | Shares | ($000) | Assets |
| BRE Properties Inc. | 550,763 | 20,340 | 0.4% |
| Corporate Office Properties Trust SBI | 513,216 | 19,379 | 0.3% |
| Developers Diversified Realty Corp. | 1,865,479 | 18,468 | 0.3% |
| Valley National Bancorp | 1,342,877 | 18,290 | 0.3% |
| MFA Financial Inc. | 2,468,111 | 18,264 | 0.3% |
| Hanover Insurance Group Inc. | 416,670 | 18,125 | 0.3% |
| Financials—Other † | | 1,657,808 | 29.5% |
| | | 2,041,524 | 36.3% |
| Health Care | | | |
| * Mednax Inc. | 413,321 | 22,985 | 0.4% |
| PerkinElmer Inc. | 1,026,376 | 21,215 | 0.4% |
| Teleflex Inc. | 349,484 | 18,970 | 0.4% |
| Health Care—Other † | | 265,839 | 4.7% |
| | | 329,009 | 5.9% |
| Industrials | | | |
| * Continental Airlines Inc. Class B | 1,222,443 | 26,894 | 0.5% |
| * BE Aerospace Inc. | 853,585 | 21,707 | 0.4% |
| Snap-On Inc. | 507,704 | 20,770 | 0.4% |
| Carlisle Cos. Inc. | 528,961 | 19,111 | 0.4% |
| Lincoln Electric Holdings Inc. | 374,792 | 19,111 | 0.3% |
| Timken Co. | 723,985 | 18,816 | 0.3% |
| Hubbell Inc. Class B | 462,136 | 18,342 | 0.3% |
| Kennametal Inc. | 716,805 | 18,228 | 0.3% |
| Regal-Beloit Corp. | 323,704 | 18,056 | 0.3% |
| Lennox International Inc. | 420,603 | 17,485 | 0.3% |
| Industrials—Other † | | 643,198 | 11.5% |
| | | 841,718 | 15.0% |
| Information Technology | | | |
| * Skyworks Solutions Inc. | 1,545,053 | 25,941 | 0.4% |
| Information Technology—Other † | | 442,098 | 7.9% |
| | | 468,039 | 8.3% |
| Materials | | | |
| Aptargroup Inc. | 596,388 | 22,555 | 0.4% |
| RPM International Inc. | 1,138,364 | 20,308 | 0.4% |
| Compass Minerals International Inc. | 287,116 | 20,179 | 0.4% |
| Packaging Corp. of America | 905,676 | 19,943 | 0.4% |
| Domtar Corp. | 378,777 | 18,617 | 0.3% |
| Temple-Inland Inc. | 897,916 | 18,560 | 0.3% |
| Materials—Other † | | 288,020 | 5.1% |
| | | 408,182 | 7.3% |
| |
| Telecommunication Services † | | 34,311 | 0.6% |
| |
| Utilities | | | |
| Atmos Energy Corp. | 816,925 | 22,090 | 0.4% |
| Westar Energy Inc. | 970,727 | 20,977 | 0.4% |
| Great Plains Energy Inc. | 1,189,915 | 20,252 | 0.4% |
| Hawaiian Electric Industries Inc. | 814,283 | 18,549 | 0.3% |
| Utilities—Other † | | 281,976 | 5.0% |
| | | 363,844 | 6.5% |
| Total Common Stocks (Cost $5,726,734) | | 5,611,345 | 99.9%1 |
44
| | | | |
| Small-Cap Value Index Fund | | | | |
| |
| |
| | | | Market | Percentage |
| | | | Value • | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 2,3 Vanguard Market Liquidity Fund | 0.286% | 42,903,000 | 42,903 | 0.8% |
| |
| 4U.S. Government and Agency Obligations † | | | 1,399 | 0.0% |
| Total Temporary Cash Investments (Cost $44,301) | | | 44,302 | 0.8%1 |
| 5Total Investments (Cost $5,771,035) | | | 5,655,647 | 100.7% |
| Other Assets and Liabilities | | | | |
| Other Assets | | | 22,124 | 0.4% |
| Liabilities3 | | | (62,400) | (1.1%) |
| | | | (40,276) | (0.7%) |
| Net Assets | | | 5,615,371 | 100.0% |
45
| |
| Small-Cap Value Index Fund | |
| |
| |
| At June 30, 2010, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 7,324,982 |
| Undistributed Net Investment Income | 40,864 |
| Accumulated Net Realized Losses | (1,634,445) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | (115,388) |
| Futures Contracts | (642) |
| Net Assets | 5,615,371 |
| |
| Investor Shares—Net Assets | |
| Applicable to 270,296,975 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 3,491,174 |
| Net Asset Value Per Share—Investor Shares | $12.92 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 47,297,083 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 612,589 |
| Net Asset Value Per Share—Institutional Shares | $12.95 |
| |
| ETF Shares—Net Assets | |
| Applicable to 28,032,897 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,511,608 |
| Net Asset Value Per Share—ETF Shares | $53.92 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 0.6%, 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 $37,812,000 of collateral received for securities on loan.
4 Securities with a value of $1,399,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $33,988,000.
See accompanying Notes, which are an integral part of the Financial Statements.
46
| |
| Small-Cap Value Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 53,917 |
| Interest1 | 20 |
| Security Lending | 1,751 |
| Total Income | 55,688 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 202 |
| Management and Administrati ve—Investor Shares | 4,002 |
| Management and Administrati ve—Institutional Shares | 108 |
| Management and Administrati ve—ETF Shares | 560 |
| Marketing and Distribution& #151;Investor Shares | 427 |
| Marketing and Distribution& #151;Institutional Shares | 83 |
| Marketing and Distribution& #151;ETF Shares | 200 |
| Custodian Fees | 177 |
| Shareholders’ Reports—Investor Shares | 28 |
| Shareholders’ Reports—Institutional Shares | 16 |
| Shareholders’ Reports—ETF Shares | 45 |
| Trustees’ Fees and Expenses | 5 |
| Total Expenses | 5,853 |
| Net Investment Income | 49,835 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 26,817 |
| Futures Contracts | (262) |
| Realized Net Gain (Loss) | 26,555 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (204,024) |
| Futures Contracts | (520) |
| Change in Unrealized Appreciation (Depreciation) | (204,544) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (128,154) |
| 1 Interest income from an affiliated company of the fund was $19,000. | |
| |
| |
| |
| |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
47
| | |
| Small-Cap Value Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 49,835 | 95,323 |
| Realized Net Gain (Loss) | 26,555 | (377,566) |
| Change in Unrealized Appreciation (Depreciation) | (204,544) | 1,468,397 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (128,154) | 1,186,154 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (1,548) | (60,460) |
| Institutional Shares | (311) | (10,732) |
| ETF Shares | (729) | (25,772) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (2,588) | (96,964) |
| Capital Share Transactions | | |
| Investor Shares | 282,871 | 154,755 |
| Institutional Shares | 80,367 | 49,011 |
| ETF Shares | 250,202 | 127,785 |
| Net Increase (Decrease) from Capital Share Transactions | 613,440 | 331,551 |
| Total Increase (Decrease) | 482,698 | 1,420,741 |
| Net Assets | | |
| Beginning of Period | 5,132,673 | 3,711,932 |
| End of Period1 | 5,615,371 | 5,132,673 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $40,864,000 and ($6,383,000).
See accompanying Notes, which are an integral part of the Financial Statements.
48
| | | | | | |
| Small-Cap Value Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Investor Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $13.06 | $10.21 | $15.49 | $17.05 | $14.56 | $13.97 |
| Investment Operations | | | | | | |
| Net Investment Income | .113 | .241 | .293 | .344 | .311 | .263 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.247) | 2.854 | (5.277) | (1.551) | 2.488 | .589 |
| Total from Investment Operations | (.134) | 3.095 | (4.984) | (1.207) | 2.799 | .852 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.006) | (.245) | (.296) | (.353) | (.309) | (.262) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.006) | (.245) | (.296) | (.353) | (.309) | (.262) |
| Net Asset Value, End of Period | $12.92 | $13.06 | $10.21 | $15.49 | $17.05 | $14.56 |
| |
| Total Return1 | -1.03% | 30.34% | -32.05% | -7.07% | 19.24% | 6.07% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $3,491 | $3,279 | $2,435 | $3,678 | $4,314 | $3,446 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.26%2 | 0.28% | 0.23% | 0.22% | 0.23% | 0.23% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.68%2 | 2.26% | 2.33% | 1.95% | 2.06% | 1.96% |
| Portfolio Turnover Rate3 | 22%2 | 33% | 30% | 34% | 25% | 28% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.
49
| | | | | | |
| Small-Cap Value Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $13.09 | $10.22 | $15.53 | $17.09 | $14.59 | $13.99 |
| Investment Operations | | | | | | |
| Net Investment Income | .125 | .262 | .315 | .372 | .345 | .294 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.258) | 2.874 | (5.307) | (1.551) | 2.488 | .589 |
| Total from Investment Operations | (.133) | 3.136 | (4.992) | (1.179) | 2.833 | .883 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.007) | (.266) | (.318) | (.381) | (.333) | (.283) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.007) | (.266) | (.318) | (.381) | (.333) | (.283) |
| Net Asset Value, End of Period | $12.95 | $13.09 | $10.22 | $15.53 | $17.09 | $14.59 |
| |
| Total Return | -1.02% | 30.71% | -32.02% | -6.89% | 19.44% | 6.28% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $613 | $543 | $383 | $430 | $310 | $247 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08%1 | 0.08% | 0.07% | 0.07% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.86%1 | 2.46% | 2.49% | 2.10% | 2.21% | 2.11% |
| Portfolio Turnover Rate2 | 22%1 | 33% | 30% | 34% | 25% | 28% |
1 Annualized.
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.
50
| | | | | | |
| Small-Cap Value Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $54.49 | $42.58 | $64.65 | $71.16 | $60.76 | $58.31 |
| Investment Operations | | | | | | |
| Net Investment Income | .510 | 1.071 | 1.296 | 1.531 | 1.380 | 1.174 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.051) | 11.923 | (22.053) | (6.474) | 10.391 | 2.443 |
| Total from Investment Operations | (.541) | 12.994 | (20.757) | (4.943) | 11.771 | 3.617 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.029) | (1.084) | (1.313) | (1.567) | (1.371) | (1.167) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.029) | (1.084) | (1.313) | (1.567) | (1.371) | (1.167) |
| Net Asset Value, End of Period | $53.92�� | $54.49 | $42.58 | $64.65 | $71.16 | $60.76 |
| |
| Total Return | -1.00% | 30.52% | -31.99% | -6.96% | 19.40% | 6.20% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,512 | $1,310 | $894 | $819 | $510 | $188 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.14% | 0.11% | 0.11% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.82%1 | 2.40% | 2.45% | 2.06% | 2.17% | 2.07% |
| Portfolio Turnover Rate2 | 22%1 | 33% | 30% | 34% | 25% | 28% |
1 Annualized.
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.
51
Small-Cap Value Index Fund
Notes to Financial Statements
Vanguard Small-Cap Value Index Fund is registered under the Investment C ompany 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 ins titutional investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on the NYSE Arca, Inc.; they ca n 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 th e 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 sec urities’ 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 t he 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 pri ces. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, 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.
52
Small-Cap Value 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 tho se 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 a llocated 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 June 30, 2010, the fund had contributed capital of $1,176,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.47% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quote d 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 June 30, 2010, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 5,611,345 | — | — |
| Temporary Cash Investments | 42,903 | 1,399 | — |
| Futures Contracts—Liabilities1 | (76) | — | — |
| Total | 5,654,172 | 1,399 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
53
Small-Cap Value Index Fund
D. At June 30, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| | | | |
| | | | | ($000) |
| | | | Aggregate | |
| | | Number of | Settlement | Unrealized |
| | | Long (Short) | Value | Appreciation |
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini Russell 2000 Index | September 2010 | 140 | 8,509 | (642) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $137,032,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $1,250,195,000 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 $778,147,000 through December 31, 2017. In addition, the fund realized losses of $268,813,000 during the period from November 1, 2009, through December 31, 2009, which are deferred and will be treated as realized for tax purposes in fiscal 2010. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2010, the cost of investment securities for tax purposes was $5,771,035,000. Net unrealized depreciation of investment securities for tax purposes was $115,388,000, consisting of unrealized gains of $520,771,000 on securities that had risen in value since their purchase and $636,159,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2010, the fund purchased $1,737,982,000 of investment securities and sold $1,064,454,000 of investment securities, other than temporary cash investments.
54
Small-Cap Value Index Fund
| | | | |
| G. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 678,136 | 47,586 | 676,646 | 63,651 |
| Issued in Lieu of Cash Distributions | 1,429 | 99 | 55,690 | 4,297 |
| Redeemed | (396,694) | (28,447) | (577,581) | (55,367) |
| Net Increase (Decrease)—Investor Shares | 282,871 | 19,238 | 154,755 | 12,581 |
| Institutional Shares | | | | |
| Issued | 139,205 | 10,004 | 190,927 | 17,053 |
| Issued in Lieu of Cash Distributions | 269 | 19 | 9,248 | 713 |
| Redeemed | (59,107) | (4,245) | (151,164) | (13,695) |
| Net Increase (Decrease)—Institutional Shares | 80,367 | 5,778 | 49,011 | 4,071 |
| ETF Shares | | | | |
| Issued | 697,395 | 11,891 | 874,144 | 18,135 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (447,193) | (7,900) | (746,359) | (15,100) |
| Net Increase (Decrease)—ETF Shares | 250,202 | 3,991 | 127,785 | 3,035 |
H. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
55
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 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.
56
| | | |
| Six Months Ended June 30, 2010 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 12/31/2009 | 6/30/2010 | Period |
| Based on Actual Fund Return | | | |
| Small-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $986.31 | $1.28 |
| Admiral Shares | 1,000.00 | 986.71 | 0.59 |
| Signal Shares | 1,000.00 | 986.47 | 0.59 |
| Institutional Shares | 1,000.00 | 987.07 | 0.39 |
| ETF Shares | 1,000.00 | 986.73 | 0.59 |
| Small-Cap Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $982.77 | $1.28 |
| Institutional Shares | 1,000.00 | 983.98 | 0.39 |
| ETF Shares | 1,000.00 | 983.46 | 0.59 |
| Small-Cap Value Index Fund | | | |
| Investor Shares | $1,000.00 | $989.69 | $1.28 |
| Institutional Shares | 1,000.00 | 989.78 | 0.39 |
| ETF Shares | 1,000.00 | 990.01 | 0.59 |
| Based on Hypothetical 5% Yearly Return | | | |
| Small-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
| Admiral Shares | 1,000.00 | 1,024.20 | 0.60 |
| Signal Shares | 1,000.00 | 1,024.20 | 0.60 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
| Small-Cap Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
| Small-Cap Value Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
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 Small-Cap Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; for the Small-Cap Growth Index Fund, 0.26% for Investor Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; and for the Small-Cap Value Index Fund, 0.26% for Investor Shares, 0.08% for Institutional 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.
57
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Small-Cap Index Fund, Small-Cap Growth Index Fund, and Small-Cap Value Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as the investment advisor for the funds. The board determined that continuing the funds’ internalized management structure was in the best interests of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among ot hers.
However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the funds’ investment management over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the funds, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations, and that their results have been consistent with their investment strategies. Information about the funds’ most recent performance can be found on the Performance Summary pages of this r eport.
Cost
The board concluded that the funds’ expense ratios were well below the average expense ratios charged by funds in their peer groups. The board noted that the funds’ advisory expense ratios were also well below their peer-group averages. Information about the funds’ expense ratios appears in the About Your Fund’s Expenses secti on of this report as well as in the Financial Statements secti ons.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
58
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (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.
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.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. 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.
59
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.
60
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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 f und. Your fund’s trustees also serve on the board of directors of The Vanguard Group, In c., 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 background s in business, academia, and public service. Each of the trustees and executive officers oversees 162 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.
| |
| Interested Trustee1 | Rajiv L. Gupta |
| | Born 1945. Trustee Since December 2001.2 |
| F. William McNabb III | Principal Occupation(s) During the Past Five Years: |
| Born 1957. Trustee Since July 2009. Chairman of the | Chairman and Chief Executive Officer (retired 2009) |
| Board. Principal Occupation(s) During the Past Five | and President (2006–2008) of Rohm and Haas Co. |
| Years: Chairman of the Board of The Vanguard Group, | (chemicals); Director of Tyco International, Ltd. |
| Inc., and of each of the investment companies served | (diversified manufacturing and services) and Hewlett- |
| by The Vanguard Group, since January 2010; Director | Packard Co. (electronic computer manufacturing); |
| of The Vanguard Group since 2008; Chief Executive | Trustee of The Conference Board; Member of the |
| Officer and President of The Vanguard Group and of | Board of Managers of Delphi Automotive LLP |
| each of the investment companies served by The | (automotive components). |
| Vanguard Group since 2008; Director of Vanguard | |
| Marketing Corporation; Managing Director of The | Amy Gutmann |
| Vanguard Group (1995–2008). | Born 1949. Trustee Since June 2006. Principal |
| | Occupation(s) During the Past Five Years: President |
| | of the University of Pennsylvania; Christopher H. |
| Independent Trustees | Browne Distinguished Professor of Political Science |
| | in the School of Arts and Sciences with secondary |
| Emerson U. Fullwood | appointments at the Annenberg School for Commu- |
| Born 1948. Trustee Since January 2008. Principal | nication and the Graduate School of Education of |
| Occupation(s) During the Past Five Years: Executive | the University of Pennsylvania; Director of Carnegie |
| Chief Staff and Marketing Officer for North America | Corporation of New York, Schuylkill River Development |
| and Corporate Vice President (retired 2008) of Xerox | Corporation, and Greater Philadelphia Chamber of |
| Corporation (document management products and | Commerce; Trustee of the National Constitution Center; |
| services); Director of SPX Corporation (multi-industry | Chair of the Presidential Commission for the Study of |
| manufacturing), the United Way of Rochester, | Bioethical Issues. |
| Amerigroup Corporation (managed health care), | |
| the University of Rochester Medical Center, and | |
| Monroe Community College Foundation. | |
| | |
| JoAnn Heffernan Heisen | Executive Officers | |
| Born 1950. Trustee Since July 1998. Principal | | |
| Occupation(s) During the Past Five Years: Corporate | Thomas J. Higgins | |
| Vice President and Chief Global Diversity Officer since | Born 1957. Chief Financial Officer Since September |
| 2006 (retired 2008) and Member of the Executive | 2008. Principal Occupation(s) During the Past Five |
| Committee (retired 2008) of Johnson & Johnson | Years: Principal of The Vanguard Group, Inc.; Chief |
| (pharmaceuticals/consumer products); Vice President | Financial Officer of each of the investment companies |
| and Chief Information Officer of Johnson & Johnson | served by The Vanguard Group since 2008; Treasurer |
| (1997–2005); Director of the University Medical Center | of each of the investment companies served by The |
| at Princeton and Women’s Research and Education | Vanguard Group (1998–2008). |
| Institute; Member of the Advisory Board of the | | |
| Maxwell School of Citizenship and Public Affairs | Kathryn J. Hyatt | |
| at Syracuse University. | Born 1955. Treasurer Since November 2008. Principal |
| | Occupation(s) During the Past Five Years: Principal |
| F. Joseph Loughrey | of The Vanguard Group, Inc.; Treasurer of each of |
| Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard |
| Occupation(s) During the Past Five Years: President | Group since 2008; Assistant Treasurer of each of the |
| and Chief Operating Officer since 2005 (retired 2009) | investment companies served by The Vanguard Group |
| and Vice Chairman of the Board (2008–2009) of | (1988–2008). | |
| Cummins Inc. (industrial machinery); Director of | | |
| SKF AB (industrial machinery), Hillenbrand, Inc. | Heidi Stam | |
| (specialized consumer services), Sauer-Danfoss Inc. | Born 1956. Secretary Since July 2005. Principal |
| (machinery), the Lumina Foundation for Education, | Occupation(s) During the Past Five Years: Managing |
| and Oxfam America; Chairman of the Advisory Council | Director of The Vanguard Group, Inc., since 2006; |
| for the College of Arts and Letters at the University of | General Counsel of The Vanguard Group since 2005; |
| Notre Dame. | Secretary of The Vanguard Group and of each of the |
| | investment companies served by The Vanguard Group |
| André F. Perold | since 2005; Director and Senior Vice President of |
| Born 1952. Trustee Since December 2004. Principal | Vanguard Marketing Corporation since 2005; |
| Occupation(s) During the Past Five Years: George | Principal of The Vanguard Group (1997–2006). |
| Gund Professor of Finance and Banking at the Harvard | | |
| Business School; Chair of the Investment Committee | | |
| of HighVista Strategies LLC (private investment firm). | Vanguard Senior Management Team |
| |
| Alfred M. Rankin, Jr. | R. Gregory Barton | Michael S. Miller |
| Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | James M. Norris |
| Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Glenn W. Reed |
| President, and Chief Executive Officer of NACCO | Paul A. Heller | George U. Sauter |
| Industries, Inc. (forklift trucks/housewares/lignite); | | |
| Director of Goodrich Corporation (industrial products/ | | |
| aircraft systems and services); Chairman of the Federal | Chairman Emeritus and Senior Advisor |
| Reserve Bank of Cleveland; Trustee of The Cleveland | | |
| Museum of Art. | John J. Brennan | |
| | Chairman, 1996–2009 | |
| Peter F. Volanakis | Chief Executive Officer and President, 1996–2008 |
| Born 1955. Trustee Since July 2009. Principal | | |
| Occupation(s) During the Past Five Years: President | | |
| since 2007 and Chief Operating Officer since 2005 | Founder | |
| of Corning Incorporated (communications equipment); | | |
| President of Corning Technologies (2001–2005); | John C. Bogle | |
| Director of Corning Incorporated and Dow Corning; | Chairman and Chief Executive Officer, 1974–1996 |
| Trustee of the Corning Incorporated Foundation and | | |
| the Corning Museum of Glass; Overseer of the | | |
| Amos Tuck School of Business Administration at | | |
| Dartmouth College. | | |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
|  |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
| |
| |
| |
| Connect with Vanguard® > Vanguard.com | |
| |
| |
| |
| Fund Information > 800-662-7447 | The funds or securities referred to herein are not |
| Direct Investor Account Services > 800-662-2739 | sponsored, endorsed, or promoted by MSCI, and MSCI |
| | bears no liability with respect to any such funds or |
| Institutional Investor Services > 800-523-1036 | securities. For any such funds or securities, the |
| Text Telephone for People | prospectus or the Statement of Additional Information |
| With Hearing Impairment > 800-749-7273 | contains a more detailed description of the limited |
| | relationship MSCI has with The Vanguard Group and |
| This material may be used in conjunction | any related funds. |
| with the offering of shares of any Vanguard | |
| fund only if preceded or accompanied by | |
| the fund’s current prospectus. | |
| |
| All comparative mutual fund data are from Lipper Inc. or | |
| Morningstar, Inc., unless otherwise noted. | |
| |
| You can obtain a free copy of Vanguard’s proxy voting | |
| guidelines by visiting our website, Vanguard.com, and | |
| searching for “proxy voting guidelines,” or by calling | |
| Vanguard at 800-662-2739. The guidelines are also | |
| available from the SEC’s website, sec.gov. In addition, | |
| you may obtain a free report on how your fund voted the | |
| proxies for securities it owned during the 12 months | |
| ended June 30. To get the report, visit either | |
| Vanguard.com or sec.gov. | |
| |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
| copies of this information, for a fee, by sending a | |
| request in either of two ways: via e-mail addressed to | |
| publicinfo@sec.gov or via regular mail addressed to the | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| |
| | © 2010 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q482 082010 |
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (99.6%)1 | | |
| Consumer Discretionary (14.5%) | | |
| * | Aeropostale Inc. | 1,397,517 | 40,025 |
| * | Big Lots Inc. | 1,146,548 | 36,793 |
| | Phillips-Van Heusen Corp. | 792,686 | 36,678 |
| | Tupperware Brands Corp. | 874,634 | 34,854 |
| | Gentex Corp. | 1,926,976 | 34,647 |
| | Jarden Corp. | 1,277,178 | 34,318 |
| | RadioShack Corp. | 1,736,936 | 33,888 |
| | Williams-Sonoma Inc. | 1,325,780 | 32,906 |
| * | Signet Jewelers Ltd. | 1,185,987 | 32,615 |
| * | Hanesbrands Inc. | 1,323,630 | 31,847 |
| * | WMS Industries Inc. | 810,523 | 31,813 |
| * | Panera Bread Co. Class A | 417,976 | 31,469 |
| * | Dick's Sporting Goods Inc. | 1,240,128 | 30,867 |
| * | J Crew Group Inc. | 838,105 | 30,851 |
| | Tractor Supply Co. | 500,784 | 30,533 |
| * | Tempur-Pedic International Inc. | 971,441 | 29,872 |
| * | DreamWorks Animation SKG Inc. Class A | 996,807 | 28,459 |
| * | Career Education Corp. | 1,166,601 | 26,855 |
| | Service Corp. International | 3,524,420 | 26,081 |
| * | Fossil Inc. | 740,310 | 25,689 |
| * | Deckers Outdoor Corp. | 178,126 | 25,449 |
| * | Bally Technologies Inc. | 766,131 | 24,815 |
| | Chico's FAS Inc. | 2,468,231 | 24,386 |
| | John Wiley & Sons Inc. Class A | 613,024 | 23,706 |
| *,^ | Lululemon Athletica Inc. | 633,167 | 23,566 |
| | Polaris Industries Inc. | 430,364 | 23,506 |
| * | Warnaco Group Inc. | 631,151 | 22,810 |
| | Sotheby's | 928,159 | 21,227 |
| * | Valassis Communications Inc. | 667,660 | 21,178 |
| * | Carter's Inc. | 805,072 | 21,133 |
| * | Live Nation Entertainment Inc. | 1,870,003 | 19,542 |
| * | Dana Holding Corp. | 1,932,685 | 19,327 |
| * | Dress Barn Inc. | 810,962 | 19,309 |
| | Jones Apparel Group Inc. | 1,208,654 | 19,157 |
| * | Rent-A-Center Inc. | 910,760 | 18,452 |
| | Hillenbrand Inc. | 862,521 | 18,449 |
| * | Gymboree Corp. | 416,115 | 17,772 |
| * | Cheesecake Factory Inc. | 794,958 | 17,696 |
| * | Coinstar Inc. | 409,889 | 17,613 |
| * | Tenneco Inc. | 823,981 | 17,353 |
| | Wolverine World Wide Inc. | 686,942 | 17,325 |
| * | Skechers U.S.A. Inc. Class A | 467,062 | 17,057 |
| * | Capella Education Co. | 208,563 | 16,967 |
| * | Madison Square Garden Inc. Class A | 857,922 | 16,875 |
| | Aaron's Inc. | 966,185 | 16,493 |
| *,^ | Under Armour Inc. Class A | 497,733 | 16,490 |
| * | Life Time Fitness Inc. | 516,427 | 16,417 |
| * | Eastman Kodak Co. | 3,722,903 | 16,157 |
| | Meredith Corp. | 501,512 | 15,612 |
| * | New York Times Co. Class A | 1,803,291 | 15,598 |
| | Dillard's Inc. Class A | 725,473 | 15,598 |
| * | Office Depot Inc. | 3,807,251 | 15,381 |
| * | OfficeMax Inc. | 1,172,989 | 15,319 |
| | Regal Entertainment Group Class A | 1,173,290 | 15,300 |
| | Brunswick Corp. | 1,225,588 | 15,234 |
| * | Childrens Place Retail Stores Inc. | 341,627 | 15,038 |
| * | Jack in the Box Inc. | 767,327 | 14,924 |
| | Pool Corp. | 679,692 | 14,899 |
| | Cracker Barrel Old Country Store Inc. | 316,417 | 14,732 |
| | Cooper Tire & Rubber Co. | 754,189 | 14,707 |
| *,^ | Saks Inc. | 1,878,982 | 14,261 |
1
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Iconix Brand Group Inc. | 990,402 | 14,232 |
| | MDC Holdings Inc. | 522,625 | 14,085 |
| * | Collective Brands Inc. | 888,165 | 14,033 |
| * | Vail Resorts Inc. | 401,815 | 14,027 |
| * | JOS A Bank Clothiers Inc. | 253,859 | 13,706 |
| * | Jo-Ann Stores Inc. | 353,444 | 13,258 |
| * | AnnTaylor Stores Corp. | 814,001 | 13,244 |
| * | HSN Inc. | 548,039 | 13,153 |
| * | Morningstar Inc. | 303,022 | 12,884 |
| | Thor Industries Inc. | 537,586 | 12,768 |
| | Men's Wearhouse Inc. | 689,225 | 12,654 |
| | PF Chang's China Bistro Inc. | 317,595 | 12,593 |
| * | CROCS Inc. | 1,189,405 | 12,584 |
| ^ | Buckle Inc. | 385,410 | 12,495 |
| | Choice Hotels International Inc. | 413,047 | 12,478 |
| | Regis Corp. | 793,101 | 12,349 |
| | Matthews International Corp. Class A | 420,852 | 12,323 |
| | KB Home | 1,100,611 | 12,107 |
| *,^ | Corinthian Colleges Inc. | 1,214,754 | 11,965 |
| * | Sally Beauty Holdings Inc. | 1,388,146 | 11,383 |
| * | Lions Gate Entertainment Corp. | 1,630,608 | 11,382 |
| * | American Public Education Inc. | 254,170 | 11,107 |
| | Scholastic Corp. | 457,517 | 11,035 |
| * | CEC Entertainment Inc. | 308,153 | 10,865 |
| * | Steven Madden Ltd. | 339,933 | 10,715 |
| | CTC Media Inc. | 737,399 | 10,648 |
| * | Ulta Salon Cosmetics & Fragrance Inc. | 442,473 | 10,469 |
| | Bob Evans Farms Inc. | 423,175 | 10,419 |
| | Monro Muffler Brake Inc. | 261,556 | 10,339 |
| | Finish Line Inc. Class A | 736,502 | 10,259 |
| * | Pier 1 Imports Inc. | 1,600,398 | 10,259 |
| | Cinemark Holdings Inc. | 772,459 | 10,158 |
| * | Gaylord Entertainment Co. | 456,767 | 10,090 |
| | International Speedway Corp. Class A | 386,796 | 9,964 |
| * | 99 Cents Only Stores | 670,857 | 9,929 |
| | National CineMedia Inc. | 584,791 | 9,743 |
| * | Timberland Co. Class A | 598,536 | 9,666 |
| | Ryland Group Inc. | 610,002 | 9,650 |
| * | Hibbett Sports Inc. | 397,578 | 9,526 |
| *,^ | Blue Nile Inc. | 201,102 | 9,468 |
| | American Greetings Corp. Class A | 503,397 | 9,444 |
| | Arbitron Inc. | 368,364 | 9,441 |
| * | Orient-Express Hotels Ltd. Class A | 1,256,588 | 9,299 |
| * | Texas Roadhouse Inc. Class A | 736,025 | 9,289 |
| | Brown Shoe Co. Inc. | 595,204 | 9,035 |
| * | Talbots Inc. | 868,012 | 8,949 |
| * | Scientific Games Corp. Class A | 971,579 | 8,939 |
| * | Helen of Troy Ltd. | 402,393 | 8,877 |
| ^ | NutriSystem Inc. | 386,840 | 8,874 |
| | Unifirst Corp. | 200,632 | 8,832 |
| * | Buffalo Wild Wings Inc. | 238,177 | 8,712 |
| * | Genesco Inc. | 329,639 | 8,673 |
| | Cato Corp. Class A | 386,537 | 8,512 |
| | CKE Restaurants Inc. | 651,113 | 8,158 |
| * | Group 1 Automotive Inc. | 340,049 | 8,001 |
| *,^ | Cabela's Inc. | 560,152 | 7,921 |
| * | Pinnacle Entertainment Inc. | 831,335 | 7,864 |
| * | Shutterfly Inc. | 323,380 | 7,748 |
| | Columbia Sportswear Co. | 164,199 | 7,663 |
| * | Steiner Leisure Ltd. | 192,404 | 7,396 |
| * | True Religion Apparel Inc. | 332,975 | 7,349 |
| * | Penske Automotive Group Inc. | 639,679 | 7,267 |
| * | Belo Corp. Class A | 1,259,257 | 7,165 |
| * | Peet's Coffee & Tea Inc. | 181,889 | 7,143 |
2
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Lumber Liquidators Holdings Inc. | 302,951 | 7,068 |
| * | BJ's Restaurants Inc. | 297,545 | 7,022 |
| * | RCN Corp. | 471,195 | 6,978 |
| * | Papa John's International Inc. | 301,739 | 6,976 |
| * | K12 Inc. | 313,470 | 6,953 |
| * | Ruby Tuesday Inc. | 805,856 | 6,850 |
| * | Interval Leisure Group Inc. | 549,340 | 6,839 |
| * | Citi Trends Inc. | 203,962 | 6,718 |
| ^ | Barnes & Noble Inc. | 517,951 | 6,682 |
| * | Grand Canyon Education Inc. | 285,050 | 6,679 |
| * | Universal Technical Institute Inc. | 281,508 | 6,655 |
| * | Quiksilver Inc. | 1,788,825 | 6,619 |
| * | Boyd Gaming Corp. | 777,190 | 6,598 |
| * | Select Comfort Corp. | 752,106 | 6,581 |
| * | American Axle & Manufacturing Holdings Inc. | 892,546 | 6,542 |
| * | Meritage Homes Corp. | 397,180 | 6,466 |
| | PEP Boys-Manny Moe & Jack | 726,811 | 6,440 |
| * | Domino's Pizza Inc. | 567,845 | 6,417 |
| | Stewart Enterprises Inc. Class A | 1,181,539 | 6,392 |
| * | Maidenform Brands Inc. | 312,510 | 6,363 |
| * | Vitamin Shoppe Inc. | 244,074 | 6,260 |
| * | Sonic Corp. | 805,743 | 6,244 |
| * | hhgregg Inc. | 266,810 | 6,222 |
| | National Presto Industries Inc. | 66,634 | 6,188 |
| * | Charming Shoppes Inc. | 1,604,824 | 6,018 |
| * | Shuffle Master Inc. | 744,326 | 5,962 |
| * | DineEquity Inc. | 207,465 | 5,792 |
| | Fred's Inc. Class A | 523,233 | 5,787 |
| ^ | PetMed Express Inc. | 317,254 | 5,647 |
| | Stage Stores Inc. | 528,477 | 5,644 |
| * | Rue21 Inc. | 184,349 | 5,593 |
| * | iRobot Corp. | 296,584 | 5,573 |
| * | Jakks Pacific Inc. | 387,404 | 5,571 |
| * | Liz Claiborne Inc. | 1,316,543 | 5,556 |
| | Harte-Hanks Inc. | 529,521 | 5,533 |
| * | Drew Industries Inc. | 273,712 | 5,529 |
| | Churchill Downs Inc. | 167,207 | 5,484 |
| * | Exide Technologies | 1,049,449 | 5,457 |
| | Ameristar Casinos Inc. | 360,282 | 5,426 |
| | Callaway Golf Co. | 894,019 | 5,400 |
| *,^ | Fuel Systems Solutions Inc. | 207,622 | 5,388 |
| * | Federal-Mogul Corp. | 411,939 | 5,363 |
| * | La-Z-Boy Inc. | 715,617 | 5,317 |
| * | Lincoln Educational Services Corp. | 251,941 | 5,187 |
| | Ethan Allen Interiors Inc. | 361,309 | 5,055 |
| | World Wrestling Entertainment Inc. Class A | 321,370 | 5,001 |
| *,^ | G-III Apparel Group Ltd. | 218,111 | 4,993 |
| * | Wet Seal Inc. Class A | 1,352,811 | 4,938 |
| * | Standard Pacific Corp. | 1,461,897 | 4,868 |
| * | Biglari Holdings Inc. | 16,945 | 4,862 |
| * | California Pizza Kitchen Inc. | 318,914 | 4,832 |
| * | RC2 Corp. | 296,877 | 4,783 |
| * | Zumiez Inc. | 294,056 | 4,737 |
| * | Ascent Media Corp. Class A | 186,387 | 4,708 |
| * | Modine Manufacturing Co. | 610,083 | 4,685 |
| * | Knology Inc. | 425,878 | 4,655 |
| * | DSW Inc. Class A | 205,850 | 4,623 |
| *,^ | Pre-Paid Legal Services Inc. | 97,629 | 4,441 |
| * | Volcom Inc. | 236,903 | 4,399 |
| * | Sonic Automotive Inc. Class A | 501,056 | 4,289 |
| * | Asbury Automotive Group Inc. | 403,185 | 4,250 |
| | Superior Industries International Inc. | 314,711 | 4,230 |
| * | K-Swiss Inc. Class A | 376,156 | 4,224 |
| * | Bridgepoint Education Inc. | 259,941 | 4,110 |
3
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Oxford Industries Inc. | 195,052 | 4,082 |
| * | Winnebago Industries Inc. | 403,639 | 4,012 |
| *,^ | Overstock.com Inc. | 221,871 | 4,009 |
| ^ | Sturm Ruger & Co. Inc. | 264,813 | 3,795 |
| * | Mediacom Communications Corp. Class A | 563,883 | 3,789 |
| *,^ | Beazer Homes USA Inc. | 1,037,021 | 3,764 |
| * | Dorman Products Inc. | 184,261 | 3,746 |
| | Big 5 Sporting Goods Corp. | 284,025 | 3,732 |
| * | Sinclair Broadcast Group Inc. Class A | 631,398 | 3,681 |
| * | Warner Music Group Corp. | 751,551 | 3,653 |
| * | Core-Mark Holding Co. Inc. | 130,430 | 3,574 |
| * | Red Robin Gourmet Burgers Inc. | 205,905 | 3,533 |
| * | Denny's Corp. | 1,341,245 | 3,487 |
| * | Smith & Wesson Holding Corp. | 829,493 | 3,393 |
| * | America's Car-Mart Inc. | 146,665 | 3,319 |
| * | CKX Inc. | 646,018 | 3,224 |
| * | AFC Enterprises Inc. | 353,441 | 3,216 |
| *,^ | SuperMedia Inc. | 175,631 | 3,212 |
| * | Universal Electronics Inc. | 190,108 | 3,161 |
| | HOT Topic Inc. | 614,971 | 3,124 |
| | Christopher & Banks Corp. | 499,691 | 3,093 |
| * | EW Scripps Co. Class A | 414,891 | 3,091 |
| * | Coldwater Creek Inc. | 894,712 | 3,006 |
| * | Pacific Sunwear Of California | 917,859 | 2,937 |
| * | Krispy Kreme Doughnuts Inc. | 842,765 | 2,840 |
| | Ambassadors Group Inc. | 248,406 | 2,804 |
| | Speedway Motorsports Inc. | 205,984 | 2,793 |
| | Marcus Corp. | 291,599 | 2,759 |
| | Blyth Inc. | 80,301 | 2,736 |
| *,^ | Hovnanian Enterprises Inc. Class A | 741,973 | 2,730 |
| | Haverty Furniture Cos. Inc. | 218,534 | 2,686 |
| | Bebe Stores Inc. | 418,890 | 2,681 |
| * | Movado Group Inc. | 248,925 | 2,659 |
| * | Retail Ventures Inc. | 339,630 | 2,656 |
| * | Furniture Brands International Inc. | 506,951 | 2,646 |
| * | M/I Homes Inc. | 257,193 | 2,479 |
| *,^ | Landry's Restaurants Inc. | 100,760 | 2,465 |
| * | Unifi Inc. | 626,490 | 2,393 |
| | Weyco Group Inc. | 102,170 | 2,327 |
| * | Journal Communications Inc. Class A | 578,120 | 2,295 |
| | Systemax Inc. | 151,789 | 2,287 |
| * | Stein Mart Inc. | 356,292 | 2,220 |
| * | LIN TV Corp. Class A | 399,953 | 2,164 |
| * | Isle of Capri Casinos Inc. | 225,863 | 2,091 |
| * | Vitacost.com Inc. | 229,296 | 2,061 |
| * | Leapfrog Enterprises Inc. | 486,934 | 1,957 |
| *,^ | Wonder Auto Technology Inc. | 257,858 | 1,888 |
| * | Martha Stewart Living Omnimedia Class A | 372,894 | 1,835 |
| | Spartan Motors Inc. | 433,684 | 1,821 |
| | CSS Industries Inc. | 107,292 | 1,770 |
| * | Sealy Corp. | 661,223 | 1,765 |
| | Courier Corp. | 141,337 | 1,726 |
| *,^ | China Automotive Systems Inc. | 94,010 | 1,655 |
| *,^ | Fuqi International Inc. | 230,087 | 1,565 |
| * | Build-A-Bear Workshop Inc. | 225,850 | 1,531 |
| * | Kenneth Cole Productions Inc. Class A | 132,712 | 1,461 |
| * | Monarch Casino & Resort Inc. | 134,317 | 1,361 |
| | Gaiam Inc. Class A | 208,837 | 1,268 |
| * | China MediaExpress Holdings Inc. | 137,122 | 1,203 |
| *,^ | Deer Consumer Products Inc. | 135,961 | 1,128 |
| *,^ | Borders Group Inc. | 833,821 | 1,109 |
| *,^ | Brookfield Homes Corp. | 158,446 | 1,068 |
| * | Orbitz Worldwide Inc. | 280,129 | 1,067 |
| * | American Apparel Inc. | 493,309 | 903 |
4
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Marine Products Corp. | 152,158 | 861 |
| * | New York & Co. Inc. | 367,159 | 841 |
| * | Outdoor Channel Holdings Inc. | 178,015 | 831 |
| *,^ | Conn's Inc. | 124,657 | 733 |
| * | 1-800-Flowers.com Inc. Class A | 351,572 | 724 |
| * | Krispy Kreme Doughnuts Inc. Warrants Exp. 3/2/2012 | 7,748 | 1 |
| | | | 2,583,592 |
| Consumer Staples (3.6%) | | |
| * | Green Mountain Coffee Roasters Inc. | 1,546,570 | 39,747 |
| | Del Monte Foods Co. | 2,749,652 | 39,567 |
| | Herbalife Ltd. | 836,311 | 38,512 |
| | Corn Products International Inc. | 1,041,915 | 31,570 |
| * | BJ's Wholesale Club Inc. | 772,547 | 28,592 |
| * | NBTY Inc. | 789,125 | 26,838 |
| | Casey's General Stores Inc. | 706,419 | 24,654 |
| * | TreeHouse Foods Inc. | 476,574 | 21,760 |
| | Nu Skin Enterprises Inc. Class A | 785,999 | 19,595 |
| * | Central European Distribution Corp. | 901,583 | 19,276 |
| | Ruddick Corp. | 574,223 | 17,795 |
| * | United Natural Foods Inc. | 568,176 | 16,977 |
| * | American Italian Pasta Co. | 292,993 | 15,491 |
| | Sanderson Farms Inc. | 303,251 | 15,387 |
| | Lancaster Colony Corp. | 274,019 | 14,622 |
| | Universal Corp. | 340,101 | 13,495 |
| * | Fresh Del Monte Produce Inc. | 618,153 | 12,511 |
| | Diamond Foods Inc. | 293,351 | 12,057 |
| * | Hain Celestial Group Inc. | 565,371 | 11,404 |
| * | Boston Beer Co. Inc. Class A | 140,989 | 9,510 |
| ^ | Vector Group Ltd. | 543,465 | 9,141 |
| * | Rite Aid Corp. | 9,242,221 | 9,057 |
| | J&J Snack Foods Corp. | 204,361 | 8,604 |
| * | Darling International Inc. | 1,139,924 | 8,561 |
| | Andersons Inc. | 241,115 | 7,858 |
| * | Chiquita Brands International Inc. | 622,319 | 7,561 |
| * | Winn-Dixie Stores Inc. | 762,049 | 7,346 |
| | WD-40 Co. | 218,755 | 7,306 |
| | B&G Foods Inc. Class A | 657,624 | 7,089 |
| | Tootsie Roll Industries Inc. | 281,654 | 6,661 |
| * | Heckmann Corp. | 1,432,967 | 6,649 |
| | Cal-Maine Foods Inc. | 193,266 | 6,171 |
| | Nash Finch Co. | 178,202 | 6,087 |
| | Lance Inc. | 356,391 | 5,877 |
| | Pricesmart Inc. | 247,746 | 5,755 |
| *,^ | Dole Food Co. Inc. | 551,152 | 5,749 |
| | Weis Markets Inc. | 168,031 | 5,530 |
| * | Central Garden and Pet Co. Class A | 614,606 | 5,513 |
| * | Elizabeth Arden Inc. | 341,940 | 4,965 |
| * | Pilgrim's Pride Corp. | 739,882 | 4,861 |
| * | Prestige Brands Holdings Inc. | 660,196 | 4,674 |
| *,^ | Zhongpin Inc. | 382,895 | 4,503 |
| * | Pantry Inc. | 314,622 | 4,439 |
| | Spartan Stores Inc. | 311,666 | 4,276 |
| * | Alliance One International Inc. | 1,175,023 | 4,183 |
| * | USANA Health Sciences Inc. | 106,343 | 3,885 |
| * | Smart Balance Inc. | 869,752 | 3,557 |
| | Inter Parfums Inc. | 208,788 | 2,971 |
| | Coca-Cola Bottling Co. Consolidated | 59,475 | 2,850 |
| | Calavo Growers Inc. | 151,039 | 2,713 |
| | Ingles Markets Inc. Class A | 179,013 | 2,694 |
| *,^ | American Dairy Inc. | 150,638 | 2,403 |
| *,^ | American Oriental Bioengineering Inc. | 869,895 | 2,192 |
| * | Central Garden and Pet Co. | 224,974 | 2,139 |
| | Village Super Market Inc. Class A | 77,582 | 2,037 |
| *,^ | China-Biotics Inc. | 155,215 | 2,019 |
5
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | National Beverage Corp. | 159,662 | 1,961 |
| * | Revlon Inc. Class A | 168,248 | 1,878 |
| *,^ | China Sky One Medical Inc. | 150,327 | 1,690 |
| | Arden Group Inc. | 17,485 | 1,536 |
| | Farmer Bros Co. | 100,783 | 1,521 |
| *,^ | Great Atlantic & Pacific Tea Co. | 387,667 | 1,512 |
| * | Susser Holdings Corp. | 118,784 | 1,400 |
| *,^ | AgFeed Industries Inc. | 409,568 | 1,200 |
| | Alico Inc. | 51,033 | 1,173 |
| | | | 631,107 |
| Energy (5.5%) | | |
| ^ | Core Laboratories NV | 309,393 | 45,669 |
| | SM Energy Co. | 870,617 | 34,964 |
| | Southern Union Co. | 1,549,247 | 33,867 |
| * | Mariner Energy Inc. | 1,411,567 | 30,320 |
| * | Atlas Energy Inc. | 1,084,971 | 29,370 |
| * | Oil States International Inc. | 691,801 | 27,381 |
| * | Brigham Exploration Co. | 1,584,138 | 24,364 |
| * | Unit Corp. | 560,993 | 22,771 |
| * | Exterran Holdings Inc. | 823,278 | 21,249 |
| * | SEACOR Holdings Inc. | 297,792 | 21,042 |
| * | Atwood Oceanics Inc. | 803,210 | 20,498 |
| * | Superior Energy Services Inc. | 1,088,507 | 20,322 |
| | World Fuel Services Corp. | 781,777 | 20,279 |
| | CARBO Ceramics Inc. | 272,528 | 19,674 |
| | Frontier Oil Corp. | 1,450,879 | 19,514 |
| * | Dril-Quip Inc. | 440,756 | 19,402 |
| * | Comstock Resources Inc. | 652,801 | 18,096 |
| | Berry Petroleum Co. Class A | 670,831 | 17,254 |
| * | Arena Resources Inc. | 532,389 | 16,983 |
| | Holly Corp. | 625,378 | 16,623 |
| * | Bill Barrett Corp. | 536,671 | 16,513 |
| | Lufkin Industries Inc. | 413,084 | 16,106 |
| * | Key Energy Services Inc. | 1,738,090 | 15,956 |
| *,^ | Gran Tierra Energy Inc. | 3,151,057 | 15,629 |
| * | Helix Energy Solutions Group Inc. | 1,377,778 | 14,839 |
| | Overseas Shipholding Group Inc. | 400,124 | 14,821 |
| * | Rosetta Resources Inc. | 728,658 | 14,435 |
| * | Swift Energy Co. | 520,732 | 14,013 |
| * | Bristow Group Inc. | 473,788 | 13,929 |
| *,^ | SandRidge Energy Inc. | 2,170,467 | 12,654 |
| | Penn Virginia Corp. | 628,531 | 12,640 |
| * | Patriot Coal Corp. | 1,069,670 | 12,569 |
| * | Complete Production Services Inc. | 859,953 | 12,297 |
| * | McMoRan Exploration Co. | 1,014,823 | 11,275 |
| * | Enbridge Energy Management LLC | 200,588 | 10,230 |
| * | Tetra Technologies Inc. | 1,047,318 | 9,510 |
| *,^ | Energy XXI Bermuda Ltd. | 597,182 | 9,424 |
| * | Gulfmark Offshore Inc. | 320,885 | 8,407 |
| *,^ | Clean Energy Fuels Corp. | 539,017 | 8,053 |
| * | Northern Oil and Gas Inc. | 623,262 | 8,003 |
| * | Contango Oil & Gas Co. | 176,160 | 7,883 |
| * | Cal Dive International Inc. | 1,307,049 | 7,646 |
| * | Newpark Resources Inc. | 1,234,181 | 7,467 |
| | General Maritime Corp. | 1,233,944 | 7,453 |
| * | USEC Inc. | 1,563,687 | 7,443 |
| * | International Coal Group Inc. | 1,820,717 | 7,010 |
| * | Carrizo Oil & Gas Inc. | 450,539 | 6,997 |
| * | Petroleum Development Corp. | 266,835 | 6,836 |
| * | Stone Energy Corp. | 606,050 | 6,764 |
| * | Resolute Energy Corp. | 551,459 | 6,750 |
| * | Global Industries Ltd. | 1,422,575 | 6,387 |
| * | Parker Drilling Co. | 1,612,970 | 6,371 |
| *,^ | ATP Oil & Gas Corp. | 596,920 | 6,321 |
6
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | James River Coal Co. | 382,384 | 6,088 |
| * | Cloud Peak Energy Inc. | 435,401 | 5,773 |
| * | Energy Partners Ltd. | 470,173 | 5,741 |
| | RPC Inc. | 409,813 | 5,594 |
| *,^ | Superior Well Services Inc. | 319,671 | 5,345 |
| * | Petroquest Energy Inc. | 789,129 | 5,334 |
| * | ION Geophysical Corp. | 1,483,702 | 5,163 |
| * | Tesco Corp. | 418,208 | 5,136 |
| * | T-3 Energy Services Inc. | 180,969 | 5,049 |
| * | Venoco Inc. | 291,529 | 4,801 |
| * | Hornbeck Offshore Services Inc. | 326,253 | 4,763 |
| *,^ | BPZ Resources Inc. | 1,118,323 | 4,641 |
| * | Clayton Williams Energy Inc. | 109,561 | 4,615 |
| * | Gulfport Energy Corp. | 385,224 | 4,569 |
| * | Rex Energy Corp. | 445,801 | 4,503 |
| | W&T Offshore Inc. | 466,752 | 4,415 |
| | Vaalco Energy Inc. | 785,698 | 4,400 |
| * | Pioneer Drilling Co. | 751,420 | 4,261 |
| * | Willbros Group Inc. | 550,323 | 4,072 |
| * | Goodrich Petroleum Corp. | 338,556 | 4,063 |
| * | CVR Energy Inc. | 539,311 | 4,056 |
| * | Hercules Offshore Inc. | 1,591,863 | 3,868 |
| * | Crosstex Energy Inc. | 581,229 | 3,726 |
| *,^ | Western Refining Inc. | 739,299 | 3,719 |
| * | Matrix Service Co. | 365,182 | 3,400 |
| * | OYO Geospace Corp. | 66,939 | 3,245 |
| * | Harvest Natural Resources Inc. | 438,876 | 3,234 |
| | Gulf Island Fabrication Inc. | 188,624 | 2,927 |
| * | Warren Resources Inc. | 931,898 | 2,702 |
| *,^ | GMX Resources Inc. | 411,720 | 2,672 |
| * | PHI Inc. | 172,971 | 2,437 |
| *,^ | Oilsands Quest Inc. | 3,960,891 | 2,416 |
| * | Basic Energy Services Inc. | 310,788 | 2,393 |
| * | Dawson Geophysical Co. | 108,514 | 2,308 |
| * | Magnum Hunter Resources Corp. | 512,115 | 2,233 |
| *,^ | Delta Petroleum Corp. | 2,497,160 | 2,148 |
| * | Gastar Exploration Ltd. | 590,368 | 2,131 |
| * | Cheniere Energy Inc. | 754,191 | 2,127 |
| *,^ | Uranium Energy Corp. | 751,271 | 1,773 |
| * | Endeavour International Corp. | 1,565,225 | 1,659 |
| * | Seahawk Drilling Inc. | 145,507 | 1,414 |
| | Delek US Holdings Inc. | 186,124 | 1,359 |
| * | China Integrated Energy Inc. | 161,700 | 1,342 |
| * | Approach Resources Inc. | 171,978 | 1,183 |
| * | Allis-Chalmers Energy Inc. | 545,424 | 1,124 |
| * | Bronco Drilling Co. Inc. | 321,104 | 1,076 |
| ^ | Alon USA Energy Inc. | 150,526 | 957 |
| | | | 984,228 |
| Financials (21.1%) | | |
| * | MSCI Inc. Class A | 1,548,486 | 42,428 |
| | Chimera Investment Corp. | 11,442,047 | 41,306 |
| | Essex Property Trust Inc. | 411,531 | 40,141 |
| | Alexandria Real Estate Equities Inc. | 608,314 | 38,549 |
| | Jones Lang LaSalle Inc. | 581,793 | 38,189 |
| | Camden Property Trust | 895,350 | 36,575 |
| | First Niagara Financial Group Inc. | 2,898,963 | 36,324 |
| | Senior Housing Properties Trust | 1,767,211 | 35,539 |
| | Arthur J Gallagher & Co. | 1,421,811 | 34,664 |
| * | AmeriCredit Corp. | 1,857,316 | 33,840 |
| | Ares Capital Corp. | 2,654,828 | 33,265 |
| | Mack-Cali Realty Corp. | 1,098,672 | 32,664 |
| * | E*Trade Financial Corp. | 2,742,605 | 32,418 |
| | Bank of Hawaii Corp. | 666,087 | 32,205 |
| | BRE Properties Inc. | 869,377 | 32,106 |
7
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Apartment Investment & Management Co. | 1,625,242 | 31,481 |
| | Corporate Office Properties Trust SBI | 810,065 | 30,588 |
| | Developers Diversified Realty Corp. | 2,943,884 | 29,144 |
| | Valley National Bancorp | 2,119,360 | 28,866 |
| | MFA Financial Inc. | 3,895,259 | 28,825 |
| | Hanover Insurance Group Inc. | 657,704 | 28,610 |
| | Taubman Centers Inc. | 753,776 | 28,365 |
| | Highwoods Properties Inc. | 986,229 | 27,378 |
| | Allied World Assurance Co. Holdings Ltd. | 586,536 | 26,617 |
| | StanCorp Financial Group Inc. | 655,373 | 26,569 |
| | Fulton Financial Corp. | 2,752,442 | 26,561 |
| | Waddell & Reed Financial Inc. | 1,186,088 | 25,952 |
| | Endurance Specialty Holdings Ltd. | 688,269 | 25,831 |
| * | Alleghany Corp. | 87,772 | 25,744 |
| | FirstMerit Corp. | 1,495,071 | 25,611 |
| | Protective Life Corp. | 1,187,099 | 25,392 |
| | Washington Federal Inc. | 1,559,823 | 25,238 |
| | Omega Healthcare Investors Inc. | 1,254,909 | 25,010 |
| | Synovus Financial Corp. | 9,816,579 | 24,934 |
| | BioMed Realty Trust Inc. | 1,544,999 | 24,859 |
| | Apollo Investment Corp. | 2,646,024 | 24,687 |
| | National Retail Properties Inc. | 1,150,201 | 24,660 |
| | Entertainment Properties Trust | 644,968 | 24,554 |
| | Aspen Insurance Holdings Ltd. | 980,255 | 24,251 |
| * | ProAssurance Corp. | 427,242 | 24,250 |
| * | Popular Inc. | 8,869,476 | 23,770 |
| * | SVB Financial Group | 573,589 | 23,649 |
| | East West Bancorp Inc. | 1,532,561 | 23,372 |
| | Tanger Factory Outlet Centers | 558,876 | 23,126 |
| | Platinum Underwriters Holdings Ltd. | 634,322 | 23,020 |
| | Washington Real Estate Investment Trust | 829,196 | 22,878 |
| | CBL & Associates Properties Inc. | 1,817,476 | 22,609 |
| | CommonWealth REIT | 3,519,340 | 21,855 |
| | Home Properties Inc. | 484,739 | 21,847 |
| | Douglas Emmett Inc. | 1,518,566 | 21,594 |
| * | Signature Bank | 562,595 | 21,384 |
| | Westamerica Bancorporation | 405,626 | 21,303 |
| | Prosperity Bancshares Inc. | 612,986 | 21,301 |
| | Kilroy Realty Corp. | 708,290 | 21,057 |
| | Mid-America Apartment Communities Inc. | 404,884 | 20,839 |
| | American Campus Communities Inc. | 723,459 | 19,743 |
| | Potlatch Corp. | 551,988 | 19,723 |
| | LaSalle Hotel Properties | 956,421 | 19,674 |
| | DuPont Fabros Technology Inc. | 791,813 | 19,447 |
| | Erie Indemnity Co. Class A | 425,762 | 19,372 |
| | Equity Lifestyle Properties Inc. | 399,589 | 19,272 |
| | Brandywine Realty Trust | 1,782,197 | 19,159 |
| * | Forest City Enterprises Inc. Class A | 1,669,771 | 18,902 |
| ^ | American Capital Ltd. | 3,893,849 | 18,768 |
| | Healthcare Realty Trust Inc. | 851,231 | 18,702 |
| | BancorpSouth Inc. | 1,040,806 | 18,610 |
| | Iberiabank Corp. | 358,066 | 18,433 |
| | Webster Financial Corp. | 1,025,819 | 18,403 |
| | Unitrin Inc. | 691,347 | 17,698 |
| | Northwest Bancshares Inc. | 1,533,667 | 17,591 |
| | Trustmark Corp. | 838,413 | 17,456 |
| | DiamondRock Hospitality Co. | 2,097,172 | 17,239 |
| * | Knight Capital Group Inc. Class A | 1,243,182 | 17,143 |
| | CapitalSource Inc. | 3,580,776 | 17,044 |
| | Astoria Financial Corp. | 1,221,131 | 16,803 |
| * | Stifel Financial Corp. | 386,234 | 16,759 |
| * | MGIC Investment Corp. | 2,379,283 | 16,393 |
| * | CNO Financial Group Inc. | 3,301,669 | 16,343 |
| | First American Financial Corp. | 1,288,856 | 16,343 |
8
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Delphi Financial Group Inc. | 667,236 | 16,287 |
| | UMB Financial Corp. | 448,798 | 15,959 |
| | Extra Space Storage Inc. | 1,141,428 | 15,866 |
| * | Portfolio Recovery Associates Inc. | 232,456 | 15,523 |
| | Post Properties Inc. | 673,225 | 15,302 |
| | Umpqua Holdings Corp. | 1,322,202 | 15,179 |
| | PS Business Parks Inc. | 271,030 | 15,118 |
| | Redwood Trust Inc. | 1,023,154 | 14,979 |
| | NewAlliance Bancshares Inc. | 1,321,247 | 14,811 |
| | Montpelier Re Holdings Ltd. | 982,999 | 14,676 |
| * | PHH Corp. | 760,189 | 14,474 |
| | Glacier Bancorp Inc. | 978,159 | 14,350 |
| | Susquehanna Bancshares Inc. | 1,717,293 | 14,305 |
| | Medical Properties Trust Inc. | 1,489,428 | 14,060 |
| | Cash America International Inc. | 410,136 | 14,055 |
| | First Citizens BancShares Inc. | 72,844 | 14,010 |
| | Hatteras Financial Corp. | 502,566 | 13,981 |
| | Wintrust Financial Corp. | 418,561 | 13,955 |
| ^ | United Bankshares Inc. | 573,016 | 13,718 |
| | Hancock Holding Co. | 409,377 | 13,657 |
| ^ | Wilmington Trust Corp. | 1,223,683 | 13,571 |
| * | Sunstone Hotel Investors Inc. | 1,358,900 | 13,494 |
| | Radian Group Inc. | 1,842,341 | 13,339 |
| | National Health Investors Inc. | 344,401 | 13,280 |
| | EastGroup Properties Inc. | 372,370 | 13,249 |
| | Sovran Self Storage Inc. | 382,398 | 13,166 |
| | Argo Group International Holdings Ltd. | 430,148 | 13,158 |
| | DCT Industrial Trust Inc. | 2,885,437 | 13,042 |
| | Colonial Properties Trust | 880,938 | 12,800 |
| * | MBIA Inc. | 2,269,113 | 12,730 |
| | FNB Corp. | 1,583,030 | 12,712 |
| | Tower Group Inc. | 586,661 | 12,631 |
| | International Bancshares Corp. | 756,086 | 12,619 |
| | Old National Bancorp | 1,210,583 | 12,542 |
| | Alterra Capital Holdings Ltd. | 658,973 | 12,375 |
| | Whitney Holding Corp. | 1,335,612 | 12,354 |
| | RLI Corp. | 234,876 | 12,333 |
| | MB Financial Inc. | 667,353 | 12,273 |
| | First Midwest Bancorp Inc. | 989,981 | 12,038 |
| | First Financial Bancorp | 792,183 | 11,843 |
| | Franklin Street Properties Corp. | 995,757 | 11,760 |
| | Anworth Mortgage Asset Corp. | 1,618,720 | 11,525 |
| | American Capital Agency Corp. | 432,179 | 11,418 |
| ^ | CVB Financial Corp. | 1,180,080 | 11,211 |
| * | Ezcorp Inc. Class A | 603,329 | 11,192 |
| | Starwood Property Trust Inc. | 659,612 | 11,180 |
| | First Financial Bankshares Inc. | 230,832 | 11,101 |
| | Selective Insurance Group Inc. | 738,172 | 10,969 |
| * | MF Global Holdings Ltd. | 1,899,378 | 10,845 |
| | Capstead Mortgage Corp. | 962,214 | 10,642 |
| * | Ocwen Financial Corp. | 1,040,526 | 10,603 |
| | American National Insurance Co. | 130,052 | 10,530 |
| | National Penn Bancshares Inc. | 1,745,926 | 10,493 |
| * | Greenlight Capital Re Ltd. Class A | 416,265 | 10,486 |
| | Cathay General Bancorp | 1,009,427 | 10,427 |
| | Park National Corp. | 154,972 | 10,079 |
| | Community Bank System Inc. | 455,348 | 10,031 |
| * | KBW Inc. | 466,647 | 10,005 |
| * | Investment Technology Group Inc. | 608,089 | 9,766 |
| | NBT Bancorp Inc. | 476,470 | 9,729 |
| | Alexander's Inc. | 31,918 | 9,669 |
| | Columbia Banking System Inc. | 525,115 | 9,589 |
| * | optionsXpress Holdings Inc. | 600,722 | 9,455 |
| * | Investors Bancorp Inc. | 714,093 | 9,369 |
9
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | PrivateBancorp Inc. Class A | 841,398 | 9,323 |
| | Lexington Realty Trust | 1,549,221 | 9,311 |
| | Acadia Realty Trust | 552,377 | 9,291 |
| | Investors Real Estate Trust | 1,020,860 | 9,014 |
| | Equity One Inc. | 573,867 | 8,952 |
| * | Piper Jaffray Cos. | 273,641 | 8,817 |
| | Provident Financial Services Inc. | 747,610 | 8,740 |
| * | World Acceptance Corp. | 227,956 | 8,733 |
| | Employers Holdings Inc. | 590,668 | 8,701 |
| | Pennsylvania Real Estate Investment Trust | 711,157 | 8,690 |
| | U-Store-It Trust | 1,157,036 | 8,631 |
| * | Strategic Hotels & Resorts Inc. | 1,961,504 | 8,611 |
| | Infinity Property & Casualty Corp. | 186,154 | 8,597 |
| * | Interactive Brokers Group Inc. | 514,619 | 8,543 |
| | Cousins Properties Inc. | 1,264,666 | 8,524 |
| | Prospect Capital Corp. | 883,042 | 8,521 |
| * | Forestar Group Inc. | 473,763 | 8,509 |
| * | Pico Holdings Inc. | 282,261 | 8,459 |
| | Inland Real Estate Corp. | 1,067,618 | 8,456 |
| * | GLG Partners Inc. | 1,924,365 | 8,429 |
| | BlackRock Kelso Capital Corp. | 847,021 | 8,360 |
| | Horace Mann Educators Corp. | 543,718 | 8,319 |
| | Chemical Financial Corp. | 380,276 | 8,282 |
| | Nelnet Inc. Class A | 425,147 | 8,197 |
| * | Navigators Group Inc. | 198,847 | 8,179 |
| | Fifth Street Finance Corp. | 739,297 | 8,154 |
| | Hersha Hospitality Trust | 1,760,604 | 7,958 |
| | American Equity Investment Life Holding Co. | 760,955 | 7,853 |
| * | Texas Capital Bancshares Inc. | 476,830 | 7,820 |
| | Government Properties Income Trust | 303,730 | 7,751 |
| * | First Cash Financial Services Inc. | 351,951 | 7,673 |
| | Saul Centers Inc. | 187,562 | 7,621 |
| | Flagstone Reinsurance Holdings SA | 692,699 | 7,495 |
| | LTC Properties Inc. | 307,705 | 7,468 |
| * | Credit Acceptance Corp. | 151,322 | 7,380 |
| | PacWest Bancorp | 400,197 | 7,328 |
| | Brookline Bancorp Inc. | 816,444 | 7,250 |
| | First Potomac Realty Trust | 503,692 | 7,238 |
| ^ | S&T Bancorp Inc. | 366,180 | 7,236 |
| | Home Bancshares Inc. | 313,584 | 7,153 |
| | Artio Global Investors Inc. Class A | 439,239 | 6,914 |
| * | Enstar Group Ltd. | 103,482 | 6,875 |
| | Getty Realty Corp. | 304,730 | 6,829 |
| | Independent Bank Corp. | 275,531 | 6,800 |
| | Bank of the Ozarks Inc. | 187,762 | 6,660 |
| * | Dollar Financial Corp. | 336,418 | 6,658 |
| | Compass Diversified Holdings | 492,421 | 6,603 |
| | Safety Insurance Group Inc. | 177,577 | 6,574 |
| | Meadowbrook Insurance Group Inc. | 750,537 | 6,477 |
| * | FelCor Lodging Trust Inc. | 1,290,237 | 6,438 |
| | SCBT Financial Corp. | 176,929 | 6,231 |
| | United Fire & Casualty Co. | 313,801 | 6,220 |
| | First Commonwealth Financial Corp. | 1,182,563 | 6,208 |
| | Sterling Bancshares Inc. | 1,308,552 | 6,163 |
| | City Holding Co. | 220,695 | 6,153 |
| * | Western Alliance Bancorp | 855,754 | 6,136 |
| * | PMI Group Inc. | 2,122,425 | 6,134 |
| | Sun Communities Inc. | 234,407 | 6,085 |
| | Boston Private Financial Holdings Inc. | 927,435 | 5,963 |
| | Trustco Bank Corp. NY | 1,064,260 | 5,960 |
| * | Hilltop Holdings Inc. | 588,078 | 5,887 |
| *,^ | iStar Financial Inc. | 1,308,031 | 5,834 |
| | Walter Investment Management Corp. | 356,014 | 5,821 |
| * | Altisource Portfolio Solutions SA | 233,832 | 5,785 |
10
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Glimcher Realty Trust | 954,137 | 5,706 |
| | MarketAxess Holdings Inc. | 410,801 | 5,665 |
| * | Pinnacle Financial Partners Inc. | 439,465 | 5,647 |
| * | National Financial Partners Corp. | 574,881 | 5,617 |
| | Oriental Financial Group Inc. | 442,057 | 5,596 |
| | WesBanco Inc. | 332,045 | 5,595 |
| | Retail Opportunity Investments Corp. | 577,656 | 5,574 |
| | GFI Group Inc. | 986,621 | 5,505 |
| * | Emdeon Inc. Class A | 438,298 | 5,492 |
| | Cohen & Steers Inc. | 263,925 | 5,474 |
| | Harleysville Group Inc. | 172,479 | 5,352 |
| *,^ | Federal National Mortgage Assn. | 15,506,555 | 5,311 |
| | Simmons First National Corp. Class A | 201,699 | 5,297 |
| | Universal Health Realty Income Trust | 159,462 | 5,123 |
| | National Western Life Insurance Co. Class A | 33,219 | 5,075 |
| * | Pebblebrook Hotel Trust | 266,888 | 5,031 |
| | Flushing Financial Corp. | 410,645 | 5,022 |
| | Dime Community Bancshares | 406,082 | 5,007 |
| | Cypress Sharpridge Investments Inc. | 391,918 | 4,962 |
| | Ramco-Gershenson Properties Trust | 488,504 | 4,934 |
| * | United Community Banks Inc. | 1,241,059 | 4,902 |
| | Evercore Partners Inc. Class A | 209,278 | 4,887 |
| | Maiden Holdings Ltd. | 732,605 | 4,813 |
| | Education Realty Trust Inc. | 787,265 | 4,747 |
| * | Ashford Hospitality Trust Inc. | 635,012 | 4,655 |
| * | Citizens Republic Bancorp Inc. | 5,474,515 | 4,653 |
| | OneBeacon Insurance Group Ltd. Class A | 324,378 | 4,645 |
| * | AMERISAFE Inc. | 262,119 | 4,600 |
| | Cedar Shopping Centers Inc. | 758,622 | 4,567 |
| | Hercules Technology Growth Capital Inc. | 494,706 | 4,556 |
| * | Beneficial Mutual Bancorp Inc. | 456,861 | 4,514 |
| * | Cardtronics Inc. | 346,971 | 4,497 |
| | Community Trust Bancorp Inc. | 179,135 | 4,496 |
| | Sandy Spring Bancorp Inc. | 320,811 | 4,495 |
| | Tompkins Financial Corp. | 118,912 | 4,489 |
| | Amtrust Financial Services Inc. | 370,477 | 4,461 |
| | Parkway Properties Inc. | 300,420 | 4,377 |
| | Provident New York Bancorp | 488,057 | 4,319 |
| * | Tejon Ranch Co. | 186,310 | 4,300 |
| | American Physicians Capital Inc. | 138,681 | 4,278 |
| | FBL Financial Group Inc. Class A | 203,474 | 4,273 |
| | Danvers Bancorp Inc. | 294,349 | 4,253 |
| * | Nara Bancorp Inc. | 498,844 | 4,205 |
| | Lakeland Financial Corp. | 209,645 | 4,189 |
| | MVC Capital Inc. | 320,513 | 4,141 |
| | Suffolk Bancorp | 133,529 | 4,131 |
| | SY Bancorp Inc. | 179,535 | 4,126 |
| ^ | TowneBank | 283,890 | 4,122 |
| * | Citizens Inc. | 608,353 | 4,052 |
| | StellarOne Corp. | 314,597 | 4,017 |
| | Renasant Corp. | 278,098 | 3,991 |
| * | CNA Surety Corp. | 245,878 | 3,951 |
| | Southside Bancshares Inc. | 196,024 | 3,850 |
| | SWS Group Inc. | 405,066 | 3,848 |
| | First Financial Corp. | 145,962 | 3,767 |
| | Berkshire Hills Bancorp Inc. | 193,220 | 3,764 |
| | Univest Corp. of Pennsylvania | 217,272 | 3,763 |
| | First Busey Corp. | 829,284 | 3,757 |
| *,^ | Federal Home Loan Mortgage Corp. | 9,002,452 | 3,718 |
| * | First Industrial Realty Trust Inc. | 769,708 | 3,710 |
| * | Pennymac Mortgage Investment Trust | 232,753 | 3,701 |
| | Capital Southwest Corp. | 41,631 | 3,660 |
| | Kite Realty Group Trust | 875,520 | 3,660 |
| * | FPIC Insurance Group Inc. | 141,249 | 3,623 |
11
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Duff & Phelps Corp. Class A | 284,635 | 3,595 |
| * | eHealth Inc. | 308,026 | 3,502 |
| | Cardinal Financial Corp. | 378,730 | 3,499 |
| | Bancfirst Corp. | 95,678 | 3,491 |
| * | TradeStation Group Inc. | 516,864 | 3,489 |
| | Bank Mutual Corp. | 608,861 | 3,458 |
| | Colony Financial Inc. | 203,503 | 3,439 |
| | State Auto Financial Corp. | 221,033 | 3,428 |
| | 1st Source Corp. | 202,223 | 3,422 |
| | Northfield Bancorp Inc. | 260,603 | 3,383 |
| * | Phoenix Cos. Inc. | 1,599,508 | 3,375 |
| | Arrow Financial Corp. | 143,994 | 3,326 |
| | CapLease Inc. | 717,914 | 3,310 |
| | Oppenheimer Holdings Inc. Class A | 137,813 | 3,301 |
| | Southwest Bancorp Inc. | 247,716 | 3,292 |
| | First Community Bancshares Inc. | 221,945 | 3,260 |
| | Washington Trust Bancorp Inc. | 189,284 | 3,225 |
| | Territorial Bancorp Inc. | 169,838 | 3,218 |
| | Westfield Financial Inc. | 381,070 | 3,174 |
| | Republic Bancorp Inc. | 141,231 | 3,164 |
| | Trico Bancshares | 186,411 | 3,156 |
| | Union First Market Bankshares Corp. | 252,137 | 3,091 |
| | Winthrop Realty Trust | 240,606 | 3,082 |
| | Sterling Bancorp | 337,844 | 3,041 |
| | CoBiz Financial Inc. | 459,319 | 3,027 |
| | First Bancorp | 208,578 | 3,022 |
| * | United America Indemnity Ltd. Class A | 404,504 | 2,977 |
| | Urstadt Biddle Properties Inc. Class A | 183,581 | 2,961 |
| * | International Assets Holding Corp. | 182,607 | 2,922 |
| | SeaBright Holdings Inc. | 300,904 | 2,853 |
| | WSFS Financial Corp. | 78,629 | 2,825 |
| | Westwood Holdings Group Inc. | 79,406 | 2,791 |
| ^ | NorthStar Realty Finance Corp. | 1,042,938 | 2,785 |
| | Camden National Corp. | 100,763 | 2,768 |
| | Heartland Financial USA Inc. | 158,792 | 2,744 |
| | United Financial Bancorp Inc. | 200,797 | 2,741 |
| *,^ | Ambac Financial Group Inc. | 3,987,725 | 2,672 |
| * | FBR Capital Markets Corp. | 798,558 | 2,659 |
| * | Gleacher & Co. Inc. | 1,037,516 | 2,646 |
| | Home Federal Bancorp Inc. | 208,612 | 2,635 |
| | First Financial Holdings Inc. | 229,265 | 2,625 |
| | Presidential Life Corp. | 287,385 | 2,615 |
| * | NewStar Financial Inc. | 409,418 | 2,604 |
| | Lakeland Bancorp Inc. | 297,763 | 2,537 |
| | Calamos Asset Management Inc. Class A | 272,375 | 2,528 |
| | First Merchants Corp. | 295,623 | 2,507 |
| | Advance America Cash Advance Centers Inc. | 598,961 | 2,474 |
| | GAMCO Investors Inc. | 66,090 | 2,459 |
| | CreXus Investment Corp. | 188,973 | 2,349 |
| | Wilshire Bancorp Inc. | 265,407 | 2,322 |
| | Baldwin & Lyons Inc. | 109,294 | 2,296 |
| | Stewart Information Services Corp. | 253,262 | 2,284 |
| | Great Southern Bancorp Inc. | 111,632 | 2,267 |
| * | Avatar Holdings Inc. | 118,168 | 2,266 |
| | Abington Bancorp Inc. | 248,386 | 2,166 |
| | Consolidated-Tomoka Land Co. | 75,685 | 2,157 |
| | ViewPoint Financial Group | 155,734 | 2,157 |
| | NGP Capital Resources Co. | 300,267 | 2,153 |
| | First Mercury Financial Corp. | 202,694 | 2,144 |
| ^ | Life Partners Holdings Inc. | 103,064 | 2,109 |
| | BankFinancial Corp. | 252,654 | 2,100 |
| * | First Marblehead Corp. | 888,414 | 2,088 |
| | ESSA Bancorp Inc. | 161,683 | 1,990 |
| * | Flagstar Bancorp Inc. | 633,691 | 1,990 |
12
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | LaBranche & Co. Inc. | 455,918 | 1,951 |
| | Kansas City Life Insurance Co. | 64,590 | 1,910 |
| | MainSource Financial Group Inc. | 265,525 | 1,904 |
| | National Interstate Corp. | 93,745 | 1,858 |
| * | RAIT Financial Trust | 981,882 | 1,836 |
| | Citizens & Northern Corp. | 168,474 | 1,803 |
| | Ames National Corp. | 91,743 | 1,793 |
| | Capital City Bank Group Inc. | 141,857 | 1,756 |
| | Donegal Group Inc. Class A | 138,184 | 1,698 |
| | EMC Insurance Group Inc. | 72,695 | 1,594 |
| * | Meridian Interstate Bancorp Inc. | 138,794 | 1,513 |
| | Rockville Financial Inc. | 122,145 | 1,455 |
| * | Penson Worldwide Inc. | 247,535 | 1,396 |
| | Student Loan Corp. | 55,425 | 1,335 |
| | Roma Financial Corp. | 107,189 | 1,164 |
| | Universal Insurance Holdings Inc. | 238,997 | 999 |
| | First Financial Northwest Inc. | 235,858 | 934 |
| * | Asset Acceptance Capital Corp. | 210,920 | 873 |
| | Urstadt Biddle Properties Inc. | 57,942 | 809 |
| | South Financial Group Inc. | 2,954,134 | 805 |
| | NASB Financial Inc. | 43,229 | 655 |
| * | Crawford & Co. Class B | 188,314 | 595 |
| *,^ | First BanCorp | 1,099,322 | 583 |
| ^ | CompuCredit Holdings Corp. | 147,088 | 582 |
| * | Crawford & Co. Class A | 208,576 | 511 |
| *,^ | Doral Financial Corp. | 172,574 | 421 |
| * | Teton Advisors Inc. Class A | 632 | 6 |
| * | CSF Holdings Inc. Contingent Litigation Rights | 29,125 | — |
| | | | 3,760,860 |
| Health Care (11.6%) | | |
| * | Valeant Pharmaceuticals International | 1,082,521 | 56,605 |
| * | Mednax Inc. | 652,418 | 36,281 |
| * | United Therapeutics Corp. | 719,782 | 35,133 |
| | PerkinElmer Inc. | 1,619,412 | 33,473 |
| * | Thoratec Corp. | 751,855 | 32,127 |
| * | Salix Pharmaceuticals Ltd. | 769,624 | 30,038 |
| | Teleflex Inc. | 551,713 | 29,947 |
| * | Tenet Healthcare Corp. | 6,675,313 | 28,971 |
| * | VCA Antech Inc. | 1,128,737 | 27,948 |
| * | Health Management Associates Inc. Class A | 3,465,701 | 26,928 |
| * | BioMarin Pharmaceutical Inc. | 1,403,073 | 26,602 |
| | Hill-Rom Holdings Inc. | 872,138 | 26,539 |
| | STERIS Corp. | 820,310 | 25,495 |
| | Cooper Cos. Inc. | 634,134 | 25,232 |
| | Owens & Minor Inc. | 873,223 | 24,782 |
| * | Psychiatric Solutions Inc. | 741,138 | 24,250 |
| * | Healthsouth Corp. | 1,294,459 | 24,219 |
| * | LifePoint Hospitals Inc. | 760,996 | 23,895 |
| * | AMERIGROUP Corp. | 708,235 | 23,003 |
| * | American Medical Systems Holdings Inc. | 1,031,986 | 22,828 |
| * | ev3 Inc. | 1,015,259 | 22,752 |
| * | HMS Holdings Corp. | 374,858 | 20,325 |
| * | Emergency Medical Services Corp. Class A | 410,069 | 20,106 |
| * | Sirona Dental Systems Inc. | 572,803 | 19,956 |
| * | NuVasive Inc. | 538,352 | 19,090 |
| * | Onyx Pharmaceuticals Inc. | 864,704 | 18,669 |
| * | Haemonetics Corp. | 348,456 | 18,649 |
| * | Immucor Inc. | 968,210 | 18,444 |
| * | Regeneron Pharmaceuticals Inc. | 825,759 | 18,431 |
| * | Dionex Corp. | 245,085 | 18,249 |
| * | Incyte Corp. Ltd. | 1,643,137 | 18,190 |
| | Medicis Pharmaceutical Corp. Class A | 824,269 | 18,035 |
| * | Catalyst Health Solutions Inc. | 522,219 | 18,017 |
| * | Talecris Biotherapeutics Holdings Corp. | 849,949 | 17,934 |
13
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Parexel International Corp. | 804,885 | 17,450 |
| * | Magellan Health Services Inc. | 478,592 | 17,382 |
| * | Brookdale Senior Living Inc. | 1,157,828 | 17,367 |
| * | PSS World Medical Inc. | 816,454 | 17,268 |
| *,^ | Amedisys Inc. | 392,610 | 17,263 |
| | Chemed Corp. | 315,684 | 17,249 |
| | Masimo Corp. | 723,141 | 17,218 |
| | West Pharmaceutical Services Inc. | 458,617 | 16,735 |
| * | Cubist Pharmaceuticals Inc. | 805,622 | 16,596 |
| * | Acorda Therapeutics Inc. | 529,660 | 16,478 |
| * | Alkermes Inc. | 1,311,133 | 16,324 |
| | Quality Systems Inc. | 278,058 | 16,125 |
| * | Nektar Therapeutics | 1,291,052 | 15,622 |
| * | Auxilium Pharmaceuticals Inc. | 654,921 | 15,391 |
| * | Centene Corp. | 711,819 | 15,304 |
| * | Allscripts-Misys Healthcare Solutions Inc. | 911,989 | 14,683 |
| * | Seattle Genetics Inc. | 1,183,583 | 14,191 |
| * | Eclipsys Corp. | 793,563 | 14,157 |
| * | Impax Laboratories Inc. | 735,704 | 14,023 |
| * | WellCare Health Plans Inc. | 586,570 | 13,925 |
| * | MedAssets Inc. | 589,412 | 13,604 |
| * | Volcano Corp. | 608,344 | 13,274 |
| * | Cepheid Inc. | 818,906 | 13,119 |
| * | Par Pharmaceutical Cos. Inc. | 484,727 | 12,584 |
| * | Isis Pharmaceuticals Inc. | 1,297,420 | 12,416 |
| * | Odyssey HealthCare Inc. | 459,970 | 12,290 |
| * | Viropharma Inc. | 1,075,922 | 12,061 |
| * | Pharmasset Inc. | 440,886 | 12,054 |
| * | Theravance Inc. | 943,670 | 11,862 |
| * | Savient Pharmaceuticals Inc. | 924,931 | 11,654 |
| * | Align Technology Inc. | 783,226 | 11,647 |
| *,^ | athenahealth Inc. | 443,155 | 11,580 |
| * | Bruker Corp. | 911,260 | 11,081 |
| * | Integra LifeSciences Holdings Corp. | 298,607 | 11,048 |
| * | Martek Biosciences Corp. | 462,027 | 10,955 |
| * | inVentiv Health Inc. | 422,152 | 10,807 |
| *,^ | Vivus Inc. | 1,117,107 | 10,724 |
| * | Healthspring Inc. | 679,019 | 10,532 |
| * | Gentiva Health Services Inc. | 388,829 | 10,502 |
| * | Phase Forward Inc. | 603,982 | 10,074 |
| * | AMAG Pharmaceuticals Inc. | 291,400 | 10,010 |
| | Meridian Bioscience Inc. | 563,736 | 9,583 |
| | PDL BioPharma Inc. | 1,661,455 | 9,337 |
| * | Cyberonics Inc. | 385,745 | 9,134 |
| * | Globe Specialty Metals Inc. | 875,753 | 9,047 |
| * | Wright Medical Group Inc. | 538,174 | 8,939 |
| * | Questcor Pharmaceuticals Inc. | 846,692 | 8,645 |
| * | Immunogen Inc. | 922,241 | 8,549 |
| | Invacare Corp. | 411,741 | 8,539 |
| * | Luminex Corp. | 522,180 | 8,470 |
| | Analogic Corp. | 178,723 | 8,134 |
| * | MWI Veterinary Supply Inc. | 161,058 | 8,095 |
| * | Zoll Medical Corp. | 296,437 | 8,033 |
| | Landauer Inc. | 130,306 | 7,933 |
| * | Neogen Corp. | 296,729 | 7,730 |
| * | Bio-Reference Labs Inc. | 346,662 | 7,685 |
| * | Amsurg Corp. Class A | 428,816 | 7,641 |
| * | Orthofix International NV | 238,001 | 7,628 |
| * | DexCom Inc. | 653,259 | 7,552 |
| * | Conmed Corp. | 404,468 | 7,535 |
| * | Celera Corp. | 1,137,871 | 7,453 |
| * | RehabCare Group Inc. | 341,129 | 7,430 |
| * | Alnylam Pharmaceuticals Inc. | 493,709 | 7,415 |
| * | Greatbatch Inc. | 321,967 | 7,183 |
14
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Halozyme Therapeutics Inc. | 1,017,941 | 7,166 |
| * | Kindred Healthcare Inc. | 542,587 | 6,967 |
| * | Insulet Corp. | 459,590 | 6,917 |
| *,^ | Geron Corp. | 1,353,078 | 6,792 |
| * | Hanger Orthopedic Group Inc. | 373,771 | 6,713 |
| * | Universal American Corp. | 465,227 | 6,699 |
| *,^ | Enzon Pharmaceuticals Inc. | 628,741 | 6,696 |
| * | Allos Therapeutics Inc. | 1,082,305 | 6,635 |
| * | Abaxis Inc. | 306,589 | 6,570 |
| * | Momenta Pharmaceuticals Inc. | 526,737 | 6,458 |
| * | Natus Medical Inc. | 394,207 | 6,422 |
| * | InterMune Inc. | 683,831 | 6,394 |
| * | Conceptus Inc. | 405,224 | 6,313 |
| * | PharMerica Corp. | 425,138 | 6,233 |
| * | LHC Group Inc. | 217,610 | 6,039 |
| *,^ | MannKind Corp. | 941,562 | 6,017 |
| * | Merit Medical Systems Inc. | 370,432 | 5,953 |
| * | Affymetrix Inc. | 986,626 | 5,821 |
| * | IPC The Hospitalist Co. Inc. | 225,364 | 5,657 |
| * | ICU Medical Inc. | 175,134 | 5,634 |
| | Computer Programs & Systems Inc. | 137,076 | 5,609 |
| * | Healthways Inc. | 470,033 | 5,603 |
| * | Medicines Co. | 734,035 | 5,586 |
| * | SonoSite Inc. | 201,398 | 5,460 |
| * | Ardea Biosciences Inc. | 259,872 | 5,343 |
| *,^ | Emeritus Corp. | 327,047 | 5,334 |
| * | eResearchTechnology Inc. | 673,174 | 5,305 |
| * | NxStage Medical Inc. | 356,949 | 5,297 |
| * | Omnicell Inc. | 448,654 | 5,245 |
| * | Triple-S Management Corp. Class B | 282,689 | 5,244 |
| * | Symmetry Medical Inc. | 497,111 | 5,240 |
| * | Select Medical Holdings Corp. | 772,376 | 5,237 |
| * | Targacept Inc. | 269,195 | 5,204 |
| * | Rigel Pharmaceuticals Inc. | 719,514 | 5,180 |
| * | Exelixis Inc. | 1,490,979 | 5,174 |
| * | Micromet Inc. | 824,856 | 5,147 |
| * | NPS Pharmaceuticals Inc. | 798,850 | 5,145 |
| * | Angiodynamics Inc. | 341,062 | 5,031 |
| *,^ | Metabolix Inc. | 343,611 | 4,917 |
| * | Sun Healthcare Group Inc. | 607,397 | 4,908 |
| *,^ | Sequenom Inc. | 813,760 | 4,809 |
| * | Air Methods Corp. | 154,775 | 4,605 |
| * | Molina Healthcare Inc. | 159,725 | 4,600 |
| * | Emergent Biosolutions Inc. | 278,106 | 4,544 |
| * | Accuray Inc. | 681,536 | 4,519 |
| * | Quidel Corp. | 341,055 | 4,328 |
| * | ABIOMED Inc. | 442,364 | 4,282 |
| * | Inspire Pharmaceuticals Inc. | 856,776 | 4,275 |
| * | Genoptix Inc. | 240,990 | 4,145 |
| * | Somanetics Corp. | 165,809 | 4,137 |
| * | Almost Family Inc. | 114,330 | 3,994 |
| *,^ | Arena Pharmaceuticals Inc. | 1,287,265 | 3,952 |
| * | Assisted Living Concepts Inc. Class A | 133,130 | 3,939 |
| *,^ | Medivation Inc. | 442,147 | 3,909 |
| *,^ | Protalix BioTherapeutics Inc. | 616,975 | 3,770 |
| * | Nabi Biopharmaceuticals | 687,345 | 3,739 |
| * | XenoPort Inc. | 380,292 | 3,731 |
| * | Lexicon Pharmaceuticals Inc. | 2,911,891 | 3,727 |
| *,^ | SIGA Technologies Inc. | 480,285 | 3,698 |
| * | Medidata Solutions Inc. | 237,007 | 3,671 |
| | National Healthcare Corp. | 104,561 | 3,603 |
| * | SurModics Inc. | 218,027 | 3,578 |
| * | Res-Care Inc. | 368,268 | 3,557 |
| * | Cross Country Healthcare Inc. | 385,308 | 3,464 |
15
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Corvel Corp. | 100,594 | 3,399 |
| * | AMN Healthcare Services Inc. | 452,999 | 3,388 |
| *,^ | Clinical Data Inc. | 265,332 | 3,301 |
| | Cantel Medical Corp. | 197,519 | 3,299 |
| * | Kensey Nash Corp. | 136,562 | 3,238 |
| *,^ | Cell Therapeutics Inc. | 8,555,358 | 3,209 |
| *,^ | MAKO Surgical Corp. | 256,925 | 3,199 |
| *,^ | Opko Health Inc. | 1,400,414 | 3,165 |
| * | Zymogenetics Inc. | 745,463 | 3,146 |
| | Atrion Corp. | 21,895 | 2,957 |
| * | Dyax Corp. | 1,254,843 | 2,848 |
| * | OraSure Technologies Inc. | 605,602 | 2,804 |
| * | ATS Medical Inc. | 700,648 | 2,782 |
| * | Pain Therapeutics Inc. | 499,195 | 2,776 |
| *,^ | Cadence Pharmaceuticals Inc. | 385,388 | 2,702 |
| * | Palomar Medical Technologies Inc. | 238,324 | 2,667 |
| * | AGA Medical Holdings Inc. | 209,017 | 2,652 |
| * | MAP Pharmaceuticals Inc. | 200,822 | 2,635 |
| * | Durect Corp. | 1,075,596 | 2,614 |
| | Ensign Group Inc. | 157,761 | 2,606 |
| *,^ | Genomic Health Inc. | 198,598 | 2,568 |
| * | IRIS International Inc. | 250,412 | 2,539 |
| * | Arqule Inc. | 589,181 | 2,533 |
| * | Idenix Pharmaceuticals Inc. | 505,555 | 2,528 |
| * | Obagi Medical Products Inc. | 213,305 | 2,521 |
| *,^ | MELA Sciences Inc. | 327,665 | 2,438 |
| * | Vital Images Inc. | 188,934 | 2,409 |
| * | Progenics Pharmaceuticals Inc. | 439,544 | 2,409 |
| * | Synovis Life Technologies Inc. | 155,303 | 2,373 |
| * | Pozen Inc. | 331,252 | 2,322 |
| * | Kendle International Inc. | 196,204 | 2,260 |
| * | Akorn Inc. | 752,859 | 2,236 |
| * | RTI Biologics Inc. | 757,371 | 2,219 |
| * | Clarient Inc. | 707,926 | 2,180 |
| * | Ligand Pharmaceuticals Inc. Class B | 1,464,700 | 2,138 |
| * | Maxygen Inc. | 382,308 | 2,114 |
| * | Sangamo Biosciences Inc. | 555,813 | 2,062 |
| *,^ | Orexigen Therapeutics Inc. | 490,059 | 2,058 |
| * | CryoLife Inc. | 375,709 | 2,025 |
| * | Exactech Inc. | 115,742 | 1,977 |
| * | Medcath Corp. | 249,313 | 1,960 |
| * | Sunrise Senior Living Inc. | 696,860 | 1,937 |
| * | Enzo Biochem Inc. | 474,647 | 1,932 |
| * | Skilled Healthcare Group Inc. | 282,347 | 1,917 |
| * | TomoTherapy Inc. | 596,673 | 1,897 |
| *,^ | Stereotaxis Inc. | 558,198 | 1,848 |
| * | Orthovita Inc. | 902,695 | 1,832 |
| * | CardioNet Inc. | 316,261 | 1,733 |
| * | Alliance HealthCare Services Inc. | 396,152 | 1,600 |
| * | Albany Molecular Research Inc. | 307,446 | 1,589 |
| *,^ | Biotime Inc. | 257,218 | 1,584 |
| * | Affymax Inc. | 257,593 | 1,540 |
| * | Cynosure Inc. Class A | 135,427 | 1,459 |
| *,^ | China Biologic Products Inc. | 130,689 | 1,436 |
| *,^ | Osiris Therapeutics Inc. | 227,225 | 1,320 |
| * | Cypress Bioscience Inc. | 531,644 | 1,223 |
| * | Biospecifics Technologies Corp. | 61,139 | 1,215 |
| * | Caraco Pharmaceutical Laboratories Ltd. | 135,565 | 640 |
| * | Sucampo Pharmaceuticals Inc. Class A | 110,149 | 389 |
| | | | 2,067,690 |
| Industrials (16.0%) | | |
| * | UAL Corp. | 2,323,205 | 47,765 |
| * | Continental Airlines Inc. Class B | 1,929,270 | 42,444 |
| * | Oshkosh Corp. | 1,242,093 | 38,704 |
16
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Waste Connections Inc. | 1,036,577 | 36,166 |
| * | BE Aerospace Inc. | 1,347,189 | 34,259 |
| | TransDigm Group Inc. | 646,002 | 32,965 |
| | Snap-On Inc. | 801,050 | 32,771 |
| | Gardner Denver Inc. | 724,265 | 32,295 |
| | IDEX Corp. | 1,120,980 | 32,026 |
| * | Corrections Corp. of America | 1,608,573 | 30,692 |
| | Carlisle Cos. Inc. | 834,856 | 30,163 |
| | Lincoln Electric Holdings Inc. | 591,536 | 30,162 |
| | Timken Co. | 1,142,318 | 29,689 |
| | Hubbell Inc. Class B | 729,233 | 28,943 |
| | Kennametal Inc. | 1,131,327 | 28,770 |
| | Regal-Beloit Corp. | 510,847 | 28,495 |
| * | WABCO Holdings Inc. | 888,979 | 27,985 |
| | Lennox International Inc. | 663,961 | 27,601 |
| * | Kirby Corp. | 711,902 | 27,230 |
| | Landstar System Inc. | 697,130 | 27,181 |
| | Wabtec Corp. | 660,386 | 26,343 |
| * | Thomas & Betts Corp. | 729,636 | 25,318 |
| | Towers Watson & Co. Class A | 650,739 | 25,281 |
| | CLARCOR Inc. | 699,701 | 24,853 |
| * | GrafTech International Ltd. | 1,672,091 | 24,446 |
| | Nordson Corp. | 422,658 | 23,703 |
| | Graco Inc. | 833,526 | 23,497 |
| | Toro Co. | 472,453 | 23,207 |
| | Con-way Inc. | 746,661 | 22,415 |
| * | Alaska Air Group Inc. | 494,592 | 22,232 |
| | Baldor Electric Co. | 614,184 | 22,160 |
| | Acuity Brands Inc. | 602,341 | 21,913 |
| * | Clean Harbors Inc. | 327,063 | 21,720 |
| * | EMCOR Group Inc. | 917,730 | 21,264 |
| | Valmont Industries Inc. | 291,754 | 21,199 |
| | Crane Co. | 690,625 | 20,864 |
| * | Hexcel Corp. | 1,343,977 | 20,845 |
| | Woodward Governor Co. | 806,766 | 20,597 |
| | Watsco Inc. | 349,361 | 20,235 |
| * | Genesee & Wyoming Inc. Class A | 533,971 | 19,922 |
| * | WESCO International Inc. | 587,839 | 19,793 |
| * | Esterline Technologies Corp. | 413,181 | 19,605 |
| | Trinity Industries Inc. | 1,097,851 | 19,454 |
| * | Teledyne Technologies Inc. | 499,494 | 19,270 |
| * | US Airways Group Inc. | 2,233,359 | 19,229 |
| * | General Cable Corp. | 720,863 | 19,211 |
| * | JetBlue Airways Corp. | 3,437,389 | 18,871 |
| | Curtiss-Wright Corp. | 634,822 | 18,435 |
| * | United Stationers Inc. | 332,843 | 18,130 |
| | Actuant Corp. Class A | 940,380 | 17,707 |
| | Knight Transportation Inc. | 865,319 | 17,514 |
| * | Moog Inc. Class A | 542,710 | 17,492 |
| | HNI Corp. | 624,947 | 17,242 |
| | UTi Worldwide Inc. | 1,392,539 | 17,240 |
| | GATX Corp. | 638,690 | 17,040 |
| | Alexander & Baldwin Inc. | 569,770 | 16,968 |
| * | Atlas Air Worldwide Holdings Inc. | 356,348 | 16,927 |
| | Brady Corp. Class A | 676,994 | 16,871 |
| | AO Smith Corp. | 348,729 | 16,805 |
| * | Tetra Tech Inc. | 854,656 | 16,760 |
| | Manitowoc Co. Inc. | 1,811,492 | 16,557 |
| * | ArvinMeritor Inc. | 1,207,224 | 15,815 |
| *,^ | American Superconductor Corp. | 589,574 | 15,736 |
| * | HUB Group Inc. Class A | 519,309 | 15,584 |
| | Triumph Group Inc. | 231,330 | 15,414 |
| | Kaydon Corp. | 464,639 | 15,268 |
| * | Geo Group Inc. | 715,135 | 14,839 |
17
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Dollar Thrifty Automotive Group Inc. | 344,626 | 14,685 |
| | Werner Enterprises Inc. | 650,106 | 14,231 |
| | Belden Inc. | 646,711 | 14,228 |
| | Herman Miller Inc. | 737,635 | 13,919 |
| * | Avis Budget Group Inc. | 1,412,880 | 13,874 |
| * | Old Dominion Freight Line Inc. | 388,138 | 13,639 |
| * | EnerSys | 636,475 | 13,601 |
| | Simpson Manufacturing Co. Inc. | 548,590 | 13,468 |
| | Applied Industrial Technologies Inc. | 529,071 | 13,396 |
| | Deluxe Corp. | 711,544 | 13,341 |
| * | Middleby Corp. | 244,206 | 12,989 |
| | Rollins Inc. | 620,965 | 12,848 |
| | Mueller Industries Inc. | 522,108 | 12,844 |
| | ABM Industries Inc. | 610,582 | 12,792 |
| | Brink's Co. | 662,953 | 12,616 |
| * | Orbital Sciences Corp. | 790,240 | 12,462 |
| | Corporate Executive Board Co. | 474,055 | 12,453 |
| | Briggs & Stratton Corp. | 693,902 | 11,810 |
| | Mine Safety Appliances Co. | 474,180 | 11,750 |
| | Watts Water Technologies Inc. Class A | 409,590 | 11,739 |
| * | USG Corp. | 965,224 | 11,660 |
| | Granite Construction Inc. | 482,785 | 11,384 |
| * | Beacon Roofing Supply Inc. | 629,857 | 11,350 |
| * | Insituform Technologies Inc. Class A | 539,537 | 11,050 |
| | Heartland Express Inc. | 755,439 | 10,969 |
| | Forward Air Corp. | 401,998 | 10,954 |
| * | II-VI Inc. | 361,741 | 10,718 |
| | Barnes Group Inc. | 648,572 | 10,630 |
| * | CoStar Group Inc. | 271,424 | 10,531 |
| | Healthcare Services Group Inc. | 535,427 | 10,146 |
| * | DigitalGlobe Inc. | 376,065 | 9,891 |
| | Otter Tail Corp. | 497,457 | 9,616 |
| | American Science & Engineering Inc. | 124,889 | 9,518 |
| | Skywest Inc. | 777,918 | 9,506 |
| | ESCO Technologies Inc. | 366,844 | 9,446 |
| * | Advisory Board Co. | 215,554 | 9,260 |
| | Quanex Building Products Corp. | 524,953 | 9,076 |
| * | AAR Corp. | 540,112 | 9,041 |
| * | DynCorp International Inc. Class A | 507,935 | 8,899 |
| *,^ | A123 Systems Inc. | 936,610 | 8,832 |
| * | Korn/Ferry International | 635,135 | 8,828 |
| * | Resources Connection Inc. | 644,186 | 8,761 |
| * | RBC Bearings Inc. | 301,503 | 8,741 |
| * | Griffon Corp. | 783,735 | 8,668 |
| | Knoll Inc. | 651,231 | 8,655 |
| * | AirTran Holdings Inc. | 1,777,463 | 8,621 |
| | Robbins & Myers Inc. | 388,203 | 8,440 |
| * | Armstrong World Industries Inc. | 278,932 | 8,418 |
| * | GeoEye Inc. | 264,789 | 8,246 |
| | Allegiant Travel Co. Class A | 192,317 | 8,210 |
| * | Mobile Mini Inc. | 503,669 | 8,200 |
| * | Stanley Inc. | 217,406 | 8,127 |
| | Cubic Corp. | 222,607 | 8,098 |
| | Steelcase Inc. Class A | 1,031,764 | 7,996 |
| * | SYKES Enterprises Inc. | 559,447 | 7,961 |
| | Mueller Water Products Inc. Class A | 2,141,520 | 7,945 |
| | Tennant Co. | 234,741 | 7,939 |
| | HEICO Corp. | 220,440 | 7,918 |
| | Kaman Corp. | 357,892 | 7,917 |
| | Franklin Electric Co. Inc. | 272,803 | 7,862 |
| | Administaff Inc. | 324,530 | 7,841 |
| * | EnPro Industries Inc. | 277,390 | 7,809 |
| * | Interline Brands Inc. | 451,545 | 7,807 |
| * | United Rentals Inc. | 835,141 | 7,784 |
18
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Seaboard Corp. | 5,140 | 7,761 |
| * | Polypore International Inc. | 338,924 | 7,707 |
| * | Macquarie Infrastructure Co. LLC | 597,389 | 7,641 |
| | Badger Meter Inc. | 197,417 | 7,638 |
| | Raven Industries Inc. | 225,102 | 7,588 |
| * | Astec Industries Inc. | 266,070 | 7,378 |
| | Ameron International Corp. | 121,562 | 7,334 |
| *,^ | EnerNOC Inc. | 233,005 | 7,326 |
| | Universal Forest Products Inc. | 241,014 | 7,305 |
| * | Navigant Consulting Inc. | 693,502 | 7,199 |
| | Interface Inc. Class A | 667,067 | 7,164 |
| * | Ceradyne Inc. | 335,104 | 7,161 |
| | McGrath Rentcorp | 313,813 | 7,149 |
| | Arkansas Best Corp. | 333,694 | 6,924 |
| * | TrueBlue Inc. | 611,173 | 6,839 |
| * | Argon ST Inc. | 197,198 | 6,762 |
| * | Layne Christensen Co. | 269,732 | 6,546 |
| * | Consolidated Graphics Inc. | 147,492 | 6,378 |
| | AZZ Inc. | 171,524 | 6,307 |
| | Bowne & Co. Inc. | 556,694 | 6,246 |
| * | Exponent Inc. | 189,741 | 6,208 |
| | Albany International Corp. | 383,239 | 6,205 |
| | NACCO Industries Inc. Class A | 69,680 | 6,185 |
| * | Chart Industries Inc. | 395,540 | 6,163 |
| * | Tutor Perini Corp. | 370,596 | 6,107 |
| | CIRCOR International Inc. | 235,933 | 6,035 |
| *,^ | Genco Shipping & Trading Ltd. | 396,421 | 5,942 |
| * | MasTec Inc. | 628,904 | 5,912 |
| * | Kforce Inc. | 458,889 | 5,851 |
| | John Bean Technologies Corp. | 383,357 | 5,846 |
| * | Blount International Inc. | 563,132 | 5,783 |
| | Tredegar Corp. | 352,806 | 5,758 |
| * | ICF International Inc. | 234,805 | 5,619 |
| | Aircastle Ltd. | 715,019 | 5,613 |
| * | Huron Consulting Group Inc. | 285,914 | 5,550 |
| * | Kelly Services Inc. Class A | 371,965 | 5,531 |
| | Lindsay Corp. | 173,259 | 5,491 |
| | Heidrick & Struggles International Inc. | 236,968 | 5,408 |
| | Ennis Inc. | 358,503 | 5,381 |
| | G&K Services Inc. Class A | 257,771 | 5,323 |
| | EnergySolutions Inc. | 1,042,484 | 5,306 |
| * | Cornell Cos. Inc. | 197,379 | 5,304 |
| * | Orion Marine Group Inc. | 371,720 | 5,278 |
| * | Amerco Inc. | 95,191 | 5,240 |
| | Gorman-Rupp Co. | 208,736 | 5,229 |
| | Comfort Systems USA Inc. | 530,674 | 5,126 |
| | Federal Signal Corp. | 838,543 | 5,065 |
| | Viad Corp. | 285,260 | 5,035 |
| * | Waste Services Inc. | 417,395 | 4,867 |
| | TAL International Group Inc. | 212,968 | 4,785 |
| * | Ladish Co. Inc. | 209,737 | 4,765 |
| * | Marten Transport Ltd. | 227,226 | 4,722 |
| * | School Specialty Inc. | 260,670 | 4,710 |
| | Encore Wire Corp. | 255,874 | 4,654 |
| * | Dycom Industries Inc. | 543,212 | 4,644 |
| | Titan International Inc. | 465,216 | 4,638 |
| | Great Lakes Dredge & Dock Corp. | 772,118 | 4,633 |
| *,^ | Harbin Electric Inc. | 277,942 | 4,628 |
| * | KAR Auction Services Inc. | 374,045 | 4,627 |
| * | Rush Enterprises Inc. Class A | 345,687 | 4,618 |
| * | MYR Group Inc. | 275,080 | 4,591 |
| | Cascade Corp. | 128,544 | 4,577 |
| * | Aerovironment Inc. | 209,297 | 4,548 |
| * | ATC Technology Corp. | 278,376 | 4,487 |
19
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Dolan Co. | 400,216 | 4,450 |
| * | RSC Holdings Inc. | 717,926 | 4,430 |
| * | American Reprographics Co. | 507,189 | 4,428 |
| | Standex International Corp. | 173,242 | 4,392 |
| * | M&F Worldwide Corp. | 161,025 | 4,364 |
| * | Cenveo Inc. | 775,001 | 4,255 |
| | Apogee Enterprises Inc. | 388,395 | 4,206 |
| | AAON Inc. | 179,241 | 4,178 |
| * | Celadon Group Inc. | 292,489 | 4,136 |
| | Sun Hydraulics Corp. | 176,251 | 4,135 |
| * | CBIZ Inc. | 649,724 | 4,132 |
| * | Force Protection Inc. | 971,258 | 3,982 |
| * | SFN Group Inc. | 716,791 | 3,914 |
| * | Michael Baker Corp. | 111,112 | 3,878 |
| | HEICO Corp. Class A | 142,181 | 3,832 |
| * | Gibraltar Industries Inc. | 377,982 | 3,818 |
| * | ACCO Brands Corp. | 757,633 | 3,781 |
| | FreightCar America Inc. | 165,856 | 3,752 |
| * | Hawaiian Holdings Inc. | 715,293 | 3,698 |
| * | LB Foster Co. Class A | 141,062 | 3,656 |
| * | Trex Co. Inc. | 181,940 | 3,655 |
| *,^ | Eagle Bulk Shipping Inc. | 861,553 | 3,636 |
| * | Vicor Corp. | 290,679 | 3,631 |
| * | Columbus McKinnon Corp. | 252,024 | 3,521 |
| | US Ecology Inc. | 241,451 | 3,518 |
| | Applied Signal Technology Inc. | 175,449 | 3,448 |
| * | Colfax Corp. | 330,100 | 3,436 |
| * | Pacer International Inc. | 484,547 | 3,387 |
| * | 3D Systems Corp. | 269,720 | 3,385 |
| * | RailAmerica Inc. | 340,063 | 3,373 |
| * | Saia Inc. | 220,379 | 3,306 |
| * | Team Inc. | 249,876 | 3,261 |
| *,^ | Capstone Turbine Corp. | 3,259,495 | 3,194 |
| * | Taser International Inc. | 817,398 | 3,188 |
| | Schawk Inc. Class A | 208,716 | 3,120 |
| * | Powell Industries Inc. | 112,173 | 3,067 |
| * | GenCorp Inc. | 693,870 | 3,039 |
| * | Standard Parking Corp. | 191,927 | 3,038 |
| * | Greenbrier Cos. Inc. | 266,977 | 2,990 |
| * | American Commercial Lines Inc. | 132,343 | 2,979 |
| * | Kadant Inc. | 170,389 | 2,968 |
| * | H&E Equipment Services Inc. | 387,976 | 2,906 |
| * | Fushi Copperweld Inc. | 352,280 | 2,882 |
| * | CRA International Inc. | 152,676 | 2,875 |
| | Dynamic Materials Corp. | 178,909 | 2,870 |
| | CDI Corp. | 184,162 | 2,860 |
| * | Republic Airways Holdings Inc. | 454,587 | 2,778 |
| * | Sterling Construction Co. Inc. | 206,914 | 2,677 |
| * | Innerworkings Inc. | 379,942 | 2,595 |
| | Houston Wire & Cable Co. | 232,805 | 2,526 |
| | Ampco-Pittsburgh Corp. | 120,664 | 2,513 |
| * | Northwest Pipe Co. | 128,236 | 2,436 |
| * | Titan Machinery Inc. | 185,091 | 2,430 |
| * | Pike Electric Corp. | 255,817 | 2,410 |
| | Ducommun Inc. | 137,758 | 2,356 |
| *,^ | Ener1 Inc. | 672,692 | 2,274 |
| | American Woodmark Corp. | 127,621 | 2,182 |
| * | Metalico Inc. | 548,111 | 2,181 |
| * | Tecumseh Products Co. Class A | 194,112 | 2,159 |
| *,^ | YRC Worldwide Inc. | 14,168,529 | 2,125 |
| *,^ | Broadwind Energy Inc. | 740,630 | 2,074 |
| * | APAC Customer Services Inc. | 363,115 | 2,070 |
| * | Patriot Transportation Holding Inc. | 25,549 | 2,067 |
| * | Sauer-Danfoss Inc. | 167,914 | 2,052 |
20
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Aceto Corp. | 349,761 | 2,004 |
| | Kimball International Inc. Class B | 354,413 | 1,960 |
| * | Furmanite Corp. | 483,700 | 1,920 |
| *,^ | Lihua International Inc. | 218,598 | 1,858 |
| *,^ | Mistras Group Inc. | 166,865 | 1,789 |
| * | Volt Information Sciences Inc. | 202,658 | 1,702 |
| | Horizon Lines Inc. Class A | 400,426 | 1,694 |
| * | FuelCell Energy Inc. | 1,432,213 | 1,690 |
| *,^ | Energy Recovery Inc. | 417,781 | 1,671 |
| | American Railcar Industries Inc. | 133,082 | 1,608 |
| *,^ | SmartHeat Inc. | 272,752 | 1,557 |
| *,^ | RINO International Corp. | 119,299 | 1,492 |
| * | Fuel Tech Inc. | 234,921 | 1,485 |
| * | Hill International Inc. | 349,988 | 1,421 |
| * | Rush Enterprises Inc. Class B | 115,181 | 1,342 |
| * | Universal Truckload Services Inc. | 88,588 | 1,234 |
| * | TBS International PLC Class A | 194,556 | 1,193 |
| * | Argan Inc. | 103,847 | 1,083 |
| *,^ | China Fire & Security Group Inc. | 112,734 | 1,035 |
| | Preformed Line Products Co. | 32,668 | 913 |
| *,^ | Duoyuan Printing Inc. | 106,232 | 820 |
| *,^ | Valence Technology Inc. | 873,298 | 629 |
| | Standard Register Co. | 150,861 | 474 |
| * | Tecumseh Products Co. Class B | 34,229 | 378 |
| | | | 2,844,199 |
| Information Technology (17.6%) | | |
| * | Skyworks Solutions Inc. | 2,438,454 | 40,942 |
| * | MICROS Systems Inc. | 1,105,230 | 35,224 |
| | Solera Holdings Inc. | 968,933 | 35,075 |
| * | Polycom Inc. | 1,167,441 | 34,778 |
| * | Itron Inc. | 557,229 | 34,448 |
| *,^ | WebMD Health Corp. | 702,185 | 32,602 |
| * | CommScope Inc. | 1,307,413 | 31,077 |
| * | Atmel Corp. | 6,292,699 | 30,205 |
| * | JDS Uniphase Corp. | 3,040,264 | 29,916 |
| * | Informatica Corp. | 1,241,074 | 29,637 |
| * | Varian Semiconductor Equipment Associates Inc. | 1,031,610 | 29,566 |
| * | VistaPrint NV | 602,491 | 28,612 |
| * | Rambus Inc. | 1,604,248 | 28,106 |
| * | TIBCO Software Inc. | 2,310,866 | 27,869 |
| * | Novell Inc. | 4,815,850 | 27,354 |
| | Jack Henry & Associates Inc. | 1,113,770 | 26,597 |
| * | QLogic Corp. | 1,580,334 | 26,265 |
| * | Atheros Communications Inc. | 953,376 | 26,256 |
| | National Instruments Corp. | 815,350 | 25,912 |
| * | Parametric Technology Corp. | 1,625,564 | 25,473 |
| * | Compuware Corp. | 3,153,696 | 25,166 |
| * | Tech Data Corp. | 705,939 | 25,146 |
| | Diebold Inc. | 919,959 | 25,069 |
| * | Concur Technologies Inc. | 582,579 | 24,864 |
| *,^ | Gartner Inc. | 1,064,209 | 24,743 |
| * | Silicon Laboratories Inc. | 605,392 | 24,555 |
| * | PMC - Sierra Inc. | 3,172,619 | 23,858 |
| * | Cybersource Corp. | 929,253 | 23,724 |
| * | Teradyne Inc. | 2,426,173 | 23,655 |
| *,^ | Rackspace Hosting Inc. | 1,288,141 | 23,624 |
| * | Riverbed Technology Inc. | 827,291 | 22,850 |
| | CoreLogic Inc. | 1,289,642 | 22,775 |
| * | VeriFone Systems Inc. | 1,177,876 | 22,297 |
| * | Cadence Design Systems Inc. | 3,747,678 | 21,699 |
| * | GSI Commerce Inc. | 751,092 | 21,631 |
| * | NeuStar Inc. Class A | 1,032,203 | 21,284 |
| * | Genpact Ltd. | 1,361,505 | 21,144 |
| * | Cypress Semiconductor Corp. | 2,099,059 | 21,075 |
21
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | ADTRAN Inc. | 770,961 | 21,024 |
| * | Netlogic Microsystems Inc. | 767,372 | 20,873 |
| | Intersil Corp. Class A | 1,701,449 | 20,605 |
| * | Zebra Technologies Corp. | 802,152 | 20,351 |
| * | Ariba Inc. | 1,238,075 | 19,723 |
| *,^ | MercadoLibre Inc. | 366,995 | 19,286 |
| * | Monster Worldwide Inc. | 1,653,896 | 19,268 |
| | Plantronics Inc. | 668,804 | 19,128 |
| * | Veeco Instruments Inc. | 553,563 | 18,976 |
| * | Vishay Intertechnology Inc. | 2,387,981 | 18,483 |
| * | International Rectifier Corp. | 984,987 | 18,331 |
| * | CACI International Inc. Class A | 418,470 | 17,777 |
| * | Arris Group Inc. | 1,741,270 | 17,744 |
| * | Sohu.com Inc. | 419,447 | 17,235 |
| * | Progress Software Corp. | 571,794 | 17,171 |
| * | Anixter International Inc. | 397,956 | 16,953 |
| * | Microsemi Corp. | 1,149,224 | 16,813 |
| * | Convergys Corp. | 1,706,736 | 16,743 |
| *,^ | Blackboard Inc. | 439,432 | 16,404 |
| * | Ciena Corp. | 1,283,521 | 16,275 |
| * | Viasat Inc. | 489,389 | 15,934 |
| * | Quest Software Inc. | 879,771 | 15,871 |
| * | Acxiom Corp. | 1,043,910 | 15,335 |
| * | Omnivision Technologies Inc. | 710,752 | 15,239 |
| * | Hittite Microwave Corp. | 335,404 | 15,006 |
| * | Wright Express Corp. | 503,777 | 14,962 |
| | Sapient Corp. | 1,475,043 | 14,957 |
| * | InterDigital Inc. | 603,531 | 14,901 |
| * | Sanmina-SCI Corp. | 1,092,326 | 14,867 |
| * | Plexus Corp. | 551,036 | 14,735 |
| * | Fairchild Semiconductor International Inc. Class A | 1,722,227 | 14,484 |
| * | Benchmark Electronics Inc. | 891,979 | 14,138 |
| * | Aruba Networks Inc. | 986,718 | 14,051 |
| | Fair Isaac Corp. | 644,018 | 14,033 |
| * | Semtech Corp. | 855,593 | 14,006 |
| | MAXIMUS Inc. | 241,267 | 13,962 |
| * | Lawson Software Inc. | 1,907,257 | 13,923 |
| * | RF Micro Devices Inc. | 3,532,407 | 13,812 |
| *,^ | Finisar Corp. | 926,367 | 13,803 |
| * | j2 Global Communications Inc. | 627,242 | 13,699 |
| * | Cirrus Logic Inc. | 861,493 | 13,620 |
| * | SuccessFactors Inc. | 649,658 | 13,506 |
| | Blackbaud Inc. | 618,615 | 13,467 |
| * | Mantech International Corp. Class A | 310,965 | 13,238 |
| * | TriQuint Semiconductor Inc. | 2,125,015 | 12,984 |
| * | Digital River Inc. | 536,350 | 12,824 |
| *,^ | Synaptics Inc. | 465,216 | 12,793 |
| * | Cavium Networks Inc. | 484,370 | 12,686 |
| * | CommVault Systems Inc. | 560,972 | 12,622 |
| * | Palm Inc. | 2,207,602 | 12,561 |
| * | ValueClick Inc. | 1,156,709 | 12,365 |
| | Power Integrations Inc. | 382,228 | 12,306 |
| * | MKS Instruments Inc. | 653,344 | 12,231 |
| * | Mentor Graphics Corp. | 1,364,734 | 12,078 |
| * | SRA International Inc. Class A | 607,354 | 11,947 |
| * | Cymer Inc. | 395,026 | 11,867 |
| | Earthlink Inc. | 1,489,265 | 11,855 |
| * | Coherent Inc. | 345,376 | 11,846 |
| * | Blue Coat Systems Inc. | 576,272 | 11,773 |
| | Syntel Inc. | 345,867 | 11,742 |
| * | Comtech Telecommunications Corp. | 392,049 | 11,734 |
| * | JDA Software Group Inc. | 532,254 | 11,699 |
| * | Taleo Corp. Class A | 479,092 | 11,637 |
| * | Integrated Device Technology Inc. | 2,301,692 | 11,393 |
22
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Websense Inc. | 600,660 | 11,352 |
| * | Cabot Microelectronics Corp. | 327,269 | 11,320 |
| * | DG FastChannel Inc. | 347,351 | 11,317 |
| * | TiVo Inc. | 1,526,391 | 11,265 |
| * | Tessera Technologies Inc. | 696,375 | 11,177 |
| * | Tekelec | 842,887 | 11,160 |
| * | Advent Software Inc. | 231,688 | 10,880 |
| * | Acme Packet Inc. | 404,020 | 10,860 |
| * | Unisys Corp. | 585,460 | 10,825 |
| * | AsiaInfo Holdings Inc. | 490,999 | 10,733 |
| * | Ultimate Software Group Inc. | 325,251 | 10,688 |
| * | Take-Two Interactive Software Inc. | 1,173,502 | 10,562 |
| * | FEI Co. | 525,965 | 10,367 |
| * | Emulex Corp. | 1,124,236 | 10,320 |
| * | ADC Telecommunications Inc. | 1,345,595 | 9,971 |
| * | MicroStrategy Inc. Class A | 128,021 | 9,613 |
| * | Littelfuse Inc. | 303,103 | 9,581 |
| * | Applied Micro Circuits Corp. | 911,564 | 9,553 |
| * | L-1 Identity Solutions Inc. | 1,151,384 | 9,430 |
| * | Checkpoint Systems Inc. | 542,005 | 9,409 |
| * | Netezza Corp. | 675,343 | 9,239 |
| * | ACI Worldwide Inc. | 472,560 | 9,201 |
| * | Scansource Inc. | 368,898 | 9,197 |
| | Cognex Corp. | 523,103 | 9,196 |
| | AVX Corp. | 708,729 | 9,086 |
| * | CSG Systems International Inc. | 494,837 | 9,070 |
| * | EchoStar Corp. Class A | 463,486 | 8,843 |
| * | SonicWALL Inc. | 752,582 | 8,843 |
| * | DealerTrack Holdings Inc. | 528,119 | 8,688 |
| * | Manhattan Associates Inc. | 313,920 | 8,648 |
| * | Netgear Inc. | 480,825 | 8,578 |
| * | Rofin-Sinar Technologies Inc. | 403,886 | 8,409 |
| * | Amkor Technology Inc. | 1,525,698 | 8,407 |
| * | Insight Enterprises Inc. | 638,381 | 8,401 |
| * | Monolithic Power Systems Inc. | 464,738 | 8,300 |
| * | Euronet Worldwide Inc. | 634,046 | 8,109 |
| * | Volterra Semiconductor Corp. | 350,051 | 8,072 |
| * | DTS Inc. | 243,249 | 7,996 |
| * | SYNNEX Corp. | 311,662 | 7,985 |
| * | Constant Contact Inc. | 372,711 | 7,950 |
| * | ArcSight Inc. | 351,107 | 7,861 |
| * | Infinera Corp. | 1,216,675 | 7,823 |
| * | Universal Display Corp. | 433,762 | 7,799 |
| * | Sonus Networks Inc. | 2,859,062 | 7,748 |
| *,^ | OpenTable Inc. | 186,363 | 7,728 |
| | Heartland Payment Systems Inc. | 519,189 | 7,705 |
| * | Diodes Inc. | 485,198 | 7,700 |
| * | Oclaro Inc. | 671,041 | 7,442 |
| *,^ | Ebix Inc. | 471,752 | 7,397 |
| | Pegasystems Inc. | 230,017 | 7,386 |
| *,^ | Rubicon Technology Inc. | 245,078 | 7,301 |
| * | Harmonic Inc. | 1,334,422 | 7,259 |
| * | SAVVIS Inc. | 490,625 | 7,237 |
| * | Art Technology Group Inc. | 2,113,637 | 7,229 |
| * | Standard Microsystems Corp. | 310,053 | 7,218 |
| * | Entegris Inc. | 1,815,211 | 7,206 |
| * | Net 1 UEPS Technologies Inc. | 535,721 | 7,184 |
| * | Verigy Ltd. | 823,003 | 7,152 |
| * | FormFactor Inc. | 658,539 | 7,112 |
| * | Intermec Inc. | 685,210 | 7,023 |
| * | Lattice Semiconductor Corp. | 1,601,483 | 6,950 |
| * | Brooks Automation Inc. | 896,182 | 6,927 |
| * | Zoran Corp. | 724,297 | 6,910 |
| | United Online Inc. | 1,179,700 | 6,795 |
23
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Black Box Corp. | 243,568 | 6,793 |
| * | Sourcefire Inc. | 354,738 | 6,740 |
| * | SolarWinds Inc. | 420,099 | 6,738 |
| | MTS Systems Corp. | 228,953 | 6,640 |
| * | Loral Space & Communications Inc. | 155,307 | 6,635 |
| * | Avid Technology Inc. | 520,420 | 6,625 |
| *,^ | Power-One Inc. | 979,827 | 6,614 |
| | Park Electrochemical Corp. | 270,866 | 6,612 |
| * | Forrester Research Inc. | 218,222 | 6,603 |
| * | Stratasys Inc. | 267,091 | 6,560 |
| * | STR Holdings Inc. | 344,438 | 6,475 |
| * | Kulicke & Soffa Industries Inc. | 920,332 | 6,461 |
| * | Tyler Technologies Inc. | 413,951 | 6,425 |
| * | ATMI Inc. | 438,209 | 6,415 |
| * | TNS Inc. | 357,005 | 6,226 |
| * | OSI Systems Inc. | 223,869 | 6,217 |
| * | Cogent Inc. | 685,433 | 6,176 |
| | Micrel Inc. | 605,741 | 6,166 |
| * | Brightpoint Inc. | 876,735 | 6,137 |
| * | Epicor Software Corp. | 767,258 | 6,130 |
| * | Advanced Energy Industries Inc. | 496,810 | 6,106 |
| * | Rogers Corp. | 219,031 | 6,082 |
| * | Electronics for Imaging Inc. | 617,782 | 6,023 |
| *,^ | STEC Inc. | 453,931 | 5,701 |
| * | TTM Technologies Inc. | 599,617 | 5,696 |
| * | Netscout Systems Inc. | 400,182 | 5,691 |
| * | Radiant Systems Inc. | 392,319 | 5,673 |
| * | Global Cash Access Holdings Inc. | 781,943 | 5,638 |
| * | TeleTech Holdings Inc. | 428,796 | 5,527 |
| * | EPIQ Systems Inc. | 426,729 | 5,518 |
| * | Bottomline Technologies Inc. | 415,504 | 5,414 |
| | iGate Corp. | 421,039 | 5,398 |
| * | IPG Photonics Corp. | 350,218 | 5,334 |
| * | Synchronoss Technologies Inc. | 280,672 | 5,324 |
| * | Quantum Corp. | 2,826,541 | 5,314 |
| * | RightNow Technologies Inc. | 331,343 | 5,199 |
| * | Ultratech Inc. | 314,335 | 5,114 |
| * | Electro Scientific Industries Inc. | 382,727 | 5,113 |
| | Methode Electronics Inc. | 521,301 | 5,077 |
| * | LoopNet Inc. | 408,086 | 5,032 |
| * | GT Solar International Inc. | 897,709 | 5,027 |
| * | LogMeIn Inc. | 188,245 | 4,938 |
| * | comScore Inc. | 294,446 | 4,850 |
| * | ADPT Corp. | 1,671,043 | 4,829 |
| | NIC Inc. | 746,302 | 4,784 |
| * | Super Micro Computer Inc. | 348,943 | 4,711 |
| * | Actel Corp. | 363,516 | 4,660 |
| * | Isilon Systems Inc. | 361,058 | 4,636 |
| | Sycamore Networks Inc. | 276,295 | 4,592 |
| * | Terremark Worldwide Inc. | 586,635 | 4,582 |
| * | Newport Corp. | 503,101 | 4,558 |
| * | Move Inc. | 2,163,069 | 4,434 |
| | CTS Corp. | 471,551 | 4,357 |
| * | S1 Corp. | 724,881 | 4,357 |
| *,^ | China Security & Surveillance Technology Inc. | 934,206 | 4,316 |
| * | infoGROUP Inc. | 522,715 | 4,171 |
| * | Oplink Communications Inc. | 290,051 | 4,156 |
| * | Ixia | 481,550 | 4,136 |
| * | THQ Inc. | 938,138 | 4,053 |
| * | RealNetworks Inc. | 1,216,684 | 4,015 |
| * | FARO Technologies Inc. | 212,588 | 3,978 |
| * | Smith Micro Software Inc. | 416,800 | 3,964 |
| * | Vocus Inc. | 255,455 | 3,903 |
| * | Imation Corp. | 423,773 | 3,894 |
24
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Internet Capital Group Inc. | 510,000 | 3,876 |
| * | Anadigics Inc. | 873,519 | 3,809 |
| * | SMART Modular Technologies WWH Inc. | 646,938 | 3,785 |
| | Cohu Inc. | 310,536 | 3,767 |
| * | Supertex Inc. | 152,608 | 3,763 |
| * | ModusLink Global Solutions Inc. | 623,776 | 3,761 |
| *,^ | Maxwell Technologies Inc. | 328,820 | 3,749 |
| * | Infospace Inc. | 494,140 | 3,716 |
| * | Silicon Image Inc. | 1,047,470 | 3,677 |
| * | Compellent Technologies Inc. | 301,677 | 3,656 |
| | Daktronics Inc. | 484,609 | 3,635 |
| *,^ | Sigma Designs Inc. | 362,710 | 3,631 |
| * | Internet Brands Inc. Class A | 351,203 | 3,628 |
| * | 3PAR Inc. | 387,828 | 3,611 |
| * | Perficient Inc. | 404,360 | 3,603 |
| * | Exar Corp. | 517,050 | 3,583 |
| *,^ | Rosetta Stone Inc. | 156,012 | 3,582 |
| | Cass Information Systems Inc. | 104,193 | 3,569 |
| | BGC Partners Inc. Class A | 692,467 | 3,538 |
| * | Multi-Fineline Electronix Inc. | 141,036 | 3,520 |
| * | ExlService Holdings Inc. | 200,985 | 3,451 |
| * | Pericom Semiconductor Corp. | 355,422 | 3,412 |
| * | DivX Inc. | 431,590 | 3,306 |
| * | Intevac Inc. | 308,485 | 3,292 |
| * | Hughes Communications Inc. | 135,117 | 3,287 |
| * | NetSuite Inc. | 259,902 | 3,285 |
| * | Seachange International Inc. | 388,317 | 3,196 |
| * | Kenexa Corp. | 266,250 | 3,195 |
| * | Extreme Networks | 1,181,147 | 3,189 |
| * | EMS Technologies Inc. | 211,549 | 3,177 |
| * | Echelon Corp. | 426,802 | 3,128 |
| * | Kopin Corp. | 920,038 | 3,119 |
| * | Knot Inc. | 397,720 | 3,094 |
| * | Rudolph Technologies Inc. | 408,541 | 3,084 |
| * | Symmetricom Inc. | 605,102 | 3,080 |
| * | Fortinet Inc. | 187,015 | 3,075 |
| * | Aviat Networks Inc. | 828,334 | 3,007 |
| | Electro Rent Corp. | 232,421 | 2,973 |
| * | Interactive Intelligence Inc. | 179,853 | 2,955 |
| * | Anaren Inc. | 196,319 | 2,933 |
| * | Comverge Inc. | 326,156 | 2,922 |
| * | ShoreTel Inc. | 623,605 | 2,894 |
| * | IXYS Corp. | 326,203 | 2,884 |
| * | Silicon Graphics International Corp. | 400,874 | 2,838 |
| * | Powerwave Technologies Inc. | 1,842,360 | 2,837 |
| * | UTStarcom Inc. | 1,535,374 | 2,825 |
| * | Monotype Imaging Holdings Inc. | 312,760 | 2,818 |
| | Opnet Technologies Inc. | 187,596 | 2,756 |
| * | Double-Take Software Inc. | 260,669 | 2,734 |
| * | DemandTec Inc. | 404,621 | 2,731 |
| * | Liquidity Services Inc. | 207,185 | 2,685 |
| * | Digi International Inc. | 324,128 | 2,681 |
| * | Internap Network Services Corp. | 633,408 | 2,641 |
| * | Mattson Technology Inc. | 694,465 | 2,632 |
| *,^ | Energy Conversion Devices Inc. | 635,187 | 2,604 |
| * | Limelight Networks Inc. | 588,333 | 2,583 |
| * | VASCO Data Security International Inc. | 416,303 | 2,569 |
| * | Ciber Inc. | 917,234 | 2,541 |
| * | Conexant Systems Inc. | 1,097,998 | 2,460 |
| * | Novatel Wireless Inc. | 428,256 | 2,458 |
| * | TeleCommunication Systems Inc. Class A | 586,960 | 2,430 |
| * | Symyx Technologies Inc. | 481,615 | 2,413 |
| * | NCI Inc. Class A | 103,620 | 2,340 |
| * | Ness Technologies Inc. | 534,025 | 2,302 |
25
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Cogo Group Inc. | 351,190 | 2,191 |
| *,^ | China Information Security Technology Inc. | 412,957 | 2,147 |
| | Agilysys Inc. | 320,674 | 2,145 |
| | Renaissance Learning Inc. | 142,390 | 2,092 |
| | Bel Fuse Inc. Class B | 126,215 | 2,084 |
| * | DSP Group Inc. | 317,885 | 2,031 |
| * | Deltek Inc. | 230,327 | 1,921 |
| *,^ | Evergreen Solar Inc. | 2,737,410 | 1,867 |
| *,^ | Echo Global Logistics Inc. | 151,378 | 1,848 |
| * | BigBand Networks Inc. | 599,582 | 1,811 |
| * | Advanced Analogic Technologies Inc. | 566,709 | 1,808 |
| * | Dice Holdings Inc. | 260,343 | 1,802 |
| * | PROS Holdings Inc. | 268,191 | 1,743 |
| | Technitrol Inc. | 543,929 | 1,719 |
| * | Stamps.com Inc. | 161,305 | 1,653 |
| * | CPI International Inc. | 103,725 | 1,617 |
| * | Integral Systems Inc. | 237,975 | 1,511 |
| * | Trident Microsystems Inc. | 991,070 | 1,407 |
| * | FalconStor Software Inc. | 467,345 | 1,234 |
| *,^ | ICx Technologies Inc. | 167,321 | 1,221 |
| * | Opnext Inc. | 679,962 | 1,122 |
| * | TechTarget Inc. | 204,400 | 1,100 |
| | Marchex Inc. Class B | 260,850 | 1,004 |
| * | Archipelago Learning Inc. | 87,333 | 998 |
| *,^ | China TransInfo Technology Corp. | 134,475 | 730 |
| | Bel Fuse Inc. Class A | 16,208 | 269 |
| | | | 3,128,034 |
| Materials (5.3%) | | |
| | Aptargroup Inc. | 941,337 | 35,601 |
| | Royal Gold Inc. | 695,424 | 33,380 |
| | RPM International Inc. | 1,796,075 | 32,042 |
| | Compass Minerals International Inc. | 453,193 | 31,850 |
| | Packaging Corp. of America | 1,429,363 | 31,475 |
| | Domtar Corp. | 597,891 | 29,386 |
| | Temple-Inland Inc. | 1,417,071 | 29,291 |
| | Cytec Industries Inc. | 676,461 | 27,052 |
| | Rock-Tenn Co. Class A | 511,462 | 25,404 |
| | Huntsman Corp. | 2,631,758 | 22,817 |
| * | Solutia Inc. | 1,684,106 | 22,062 |
| * | WR Grace & Co. | 1,002,549 | 21,094 |
| | Silgan Holdings Inc. | 741,893 | 21,055 |
| | Cabot Corp. | 860,682 | 20,751 |
| | Commercial Metals Co. | 1,565,505 | 20,696 |
| | Carpenter Technology Corp. | 610,199 | 20,033 |
| | Olin Corp. | 1,091,537 | 19,746 |
| | AK Steel Holding Corp. | 1,523,529 | 18,160 |
| * | Coeur d'Alene Mines Corp. | 1,128,579 | 17,809 |
| | Sensient Technologies Corp. | 678,152 | 17,584 |
| * | Hecla Mining Co. | 3,354,131 | 17,509 |
| * | Allied Nevada Gold Corp. | 870,226 | 17,126 |
| * | Rockwood Holdings Inc. | 720,523 | 16,349 |
| | NewMarket Corp. | 179,188 | 15,647 |
| | Eagle Materials Inc. | 577,477 | 14,974 |
| | HB Fuller Co. | 674,627 | 12,811 |
| | Minerals Technologies Inc. | 260,371 | 12,378 |
| *,^ | Intrepid Potash Inc. | 624,782 | 12,227 |
| | Schweitzer-Mauduit International Inc. | 241,594 | 12,188 |
| | Schnitzer Steel Industries Inc. | 307,503 | 12,054 |
| * | Louisiana-Pacific Corp. | 1,729,197 | 11,568 |
| | Worthington Industries Inc. | 879,367 | 11,309 |
| * | PolyOne Corp. | 1,281,338 | 10,789 |
| | Arch Chemicals Inc. | 348,169 | 10,703 |
| * | Calgon Carbon Corp. | 774,854 | 10,259 |
| * | OM Group Inc. | 424,371 | 10,125 |
26
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | RTI International Metals Inc. | 416,938 | 10,052 |
| | Balchem Corp. | 388,116 | 9,703 |
| | Texas Industries Inc. | 327,439 | 9,673 |
| * | Clearwater Paper Corp. | 159,352 | 8,726 |
| * | Ferro Corp. | 1,120,318 | 8,257 |
| | A Schulman Inc. | 433,087 | 8,211 |
| * | Stillwater Mining Co. | 674,028 | 7,832 |
| | Innophos Holdings Inc. | 295,536 | 7,708 |
| | Stepan Co. | 110,423 | 7,556 |
| * | Century Aluminum Co. | 834,516 | 7,369 |
| | Kaiser Aluminum Corp. | 211,072 | 7,318 |
| | AMCOL International Corp. | 297,985 | 7,003 |
| | PH Glatfelter Co. | 633,070 | 6,869 |
| | Deltic Timber Corp. | 155,252 | 6,490 |
| | Koppers Holdings Inc. | 284,011 | 6,385 |
| * | Georgia Gulf Corp. | 468,125 | 6,245 |
| * | Brush Engineered Materials Inc. | 280,890 | 5,612 |
| * | Buckeye Technologies Inc. | 538,237 | 5,355 |
| * | KapStone Paper and Packaging Corp. | 472,847 | 5,268 |
| | Zep Inc. | 300,031 | 5,233 |
| | Haynes International Inc. | 168,533 | 5,196 |
| | Westlake Chemical Corp. | 274,809 | 5,103 |
| * | Horsehead Holding Corp. | 601,494 | 4,547 |
| * | Boise Inc. | 820,400 | 4,504 |
| * | Spartech Corp. | 426,745 | 4,374 |
| * | Wausau Paper Corp. | 645,321 | 4,369 |
| * | Graphic Packaging Holding Co. | 1,191,438 | 3,753 |
| | Neenah Paper Inc. | 204,165 | 3,736 |
| * | Zoltek Cos. Inc. | 406,150 | 3,440 |
| * | Yongye International Inc. | 494,579 | 3,408 |
| | Myers Industries Inc. | 416,262 | 3,368 |
| * | AM Castle & Co. | 238,543 | 3,313 |
| * | Kraton Performance Polymers Inc. | 170,914 | 3,211 |
| * | LSB Industries Inc. | 238,943 | 3,180 |
| * | Innospec Inc. | 328,538 | 3,082 |
| | Olympic Steel Inc. | 128,392 | 2,949 |
| ^ | Hawkins Inc. | 121,260 | 2,920 |
| *,^ | General Moly Inc. | 854,865 | 2,633 |
| *,^ | Gulf Resources Inc. | 288,297 | 2,476 |
| | American Vanguard Corp. | 301,691 | 2,392 |
| * | Headwaters Inc. | 839,213 | 2,383 |
| * | Landec Corp. | 346,145 | 2,039 |
| *,^ | ShengdaTech Inc. | 413,881 | 1,958 |
| *,^ | China Green Agriculture Inc. | 203,692 | 1,829 |
| *,^ | China Agritech Inc. | 117,127 | 1,189 |
| * | United States Lime & Minerals Inc. | 30,809 | 1,187 |
| | | | 934,708 |
| Telecommunication Services (0.9%) | | |
| * | tw telecom inc Class A | 1,978,660 | 33,004 |
| * | Syniverse Holdings Inc. | 961,564 | 19,664 |
| * | Leap Wireless International Inc. | 858,675 | 11,146 |
| * | AboveNet Inc. | 201,372 | 9,501 |
| * | Cincinnati Bell Inc. | 2,788,447 | 8,393 |
| | NTELOS Holdings Corp. | 431,695 | 7,425 |
| * | PAETEC Holding Corp. | 1,819,880 | 6,206 |
| | Atlantic Tele-Network Inc. | 137,409 | 5,675 |
| | Consolidated Communications Holdings Inc. | 329,225 | 5,600 |
| | Shenandoah Telecommunications Co. | 311,793 | 5,531 |
| *,^ | Iridium Communications Inc. | 535,625 | 5,378 |
| | Alaska Communications Systems Group Inc. | 616,347 | 5,233 |
| * | Neutral Tandem Inc. | 443,603 | 4,990 |
| * | Premiere Global Services Inc. | 783,331 | 4,966 |
| * | Global Crossing Ltd. | 460,150 | 4,864 |
| * | Cogent Communications Group Inc. | 622,876 | 4,721 |
27
| | | |
| Vanguard® Small-Cap Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | USA Mobility Inc. | 312,313 | 4,035 |
| * | Cbeyond Inc. | 321,680 | 4,021 |
| * | ICO Global Communications Holdings Ltd. | 2,220,131 | 3,574 |
| * | Vonage Holdings Corp. | 1,527,265 | 3,513 |
| * | General Communication Inc. Class A | 432,243 | 3,281 |
| | | | 160,721 |
| Utilities (3.5%) | | |
| | ITC Holdings Corp. | 694,913 | 36,768 |
| | Atmos Energy Corp. | 1,289,326 | 34,863 |
| | Westar Energy Inc. | 1,532,061 | 33,108 |
| | Great Plains Energy Inc. | 1,877,394 | 31,953 |
| | Hawaiian Electric Industries Inc. | 1,285,229 | 29,277 |
| | Piedmont Natural Gas Co. Inc. | 1,018,011 | 25,756 |
| | Nicor Inc. | 627,430 | 25,411 |
| | Vectren Corp. | 1,069,014 | 25,293 |
| | WGL Holdings Inc. | 697,292 | 23,729 |
| | Cleco Corp. | 838,640 | 22,148 |
| | IDACORP Inc. | 664,635 | 22,112 |
| | New Jersey Resources Corp. | 574,363 | 20,218 |
| | Portland General Electric Co. | 1,042,289 | 19,105 |
| * | RRI Energy Inc. | 4,901,215 | 18,576 |
| | Southwest Gas Corp. | 626,699 | 18,488 |
| | South Jersey Industries Inc. | 412,876 | 17,737 |
| | Northwest Natural Gas Co. | 368,132 | 16,039 |
| | Unisource Energy Corp. | 498,975 | 15,059 |
| | Allete Inc. | 439,397 | 15,045 |
| | Avista Corp. | 761,286 | 14,868 |
| | Black Hills Corp. | 513,517 | 14,620 |
| | PNM Resources Inc. | 1,202,938 | 13,449 |
| | NorthWestern Corp. | 499,606 | 13,090 |
| * | El Paso Electric Co. | 609,531 | 11,794 |
| | MGE Energy Inc. | 320,769 | 11,560 |
| | UIL Holdings Corp. | 415,714 | 10,405 |
| | Empire District Electric Co. | 531,484 | 9,976 |
| | California Water Service Group | 273,519 | 9,765 |
| | Laclede Group Inc. | 293,235 | 9,715 |
| | CH Energy Group Inc. | 219,108 | 8,598 |
| | American States Water Co. | 257,006 | 8,517 |
| ^ | Ormat Technologies Inc. | 283,694 | 8,026 |
| * | Dynegy Inc. Class A | 1,413,700 | 5,443 |
| | SJW Corp. | 192,615 | 4,515 |
| | Chesapeake Utilities Corp. | 123,827 | 3,888 |
| | Middlesex Water Co. | 211,726 | 3,356 |
| | Central Vermont Public Service Corp. | 154,358 | 3,047 |
| | Connecticut Water Service Inc. | 118,584 | 2,493 |
| | Consolidated Water Co. Ltd. | 191,764 | 2,182 |
| *,^ | China Natural Gas Inc. | 188,657 | 1,570 |
| | | | 621,562 |
| Total Common Stocks (Cost $17,966,607) | | 17,716,701 |
28
| | | | | |
| Vanguard® Small-Cap Index Fund | | | | |
| Schedule of Investments | | | | |
| June 30, 2010 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | Coupon | | Shares | ($000) |
| Temporary Cash Investments (2.6%)1 | | | | |
| Money Market Fund (2.5%) | | | | |
| 2,3 | Vanguard Market Liquidity Fund | 0.286% | | 451,028,126 | 451,028 |
| |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.1%) | | | | |
| 4,5 | Fannie Mae Discount Notes | 0.260% | 9/1/10 | 2,000 | 2,000 |
| 4,5 | Fannie Mae Discount Notes | 0.300% | 9/15/10 | 2,000 | 1,999 |
| 4,5 | Fannie Mae Discount Notes | 0.341% | 10/20/10 | 3,000 | 2,998 |
| 4,5 | Fannie Mae Discount Notes | 0.320% | 10/25/10 | 1,500 | 1,499 |
| | | | | | 8,496 |
| |
| Total Temporary Cash Investments (Cost $459,521) | | | | 459,524 |
| Total Investments (102.2%) (Cost $18,426,128) | | | | 18,176,225 |
| Other Assets and Liabilities—Net (-2.2%)3 | | | | (389,781) |
| Net Assets (100%) | | | | 17,786,444 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $318,490,000.
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 100.1% and 2.1%, 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 $358,932,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
5 Securities with a value of $8,496,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
29
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (100.2%)1 | | |
| Consumer Discretionary (17.3%) | | |
| * | Aeropostale Inc. | 835,395 | 23,926 |
| * | Big Lots Inc. | 685,294 | 21,991 |
| | Gentex Corp. | 1,151,800 | 20,709 |
| * | WMS Industries Inc. | 484,272 | 19,008 |
| * | Panera Bread Co. Class A | 249,729 | 18,802 |
| * | Dick's Sporting Goods Inc. | 741,226 | 18,449 |
| * | J Crew Group Inc. | 500,751 | 18,433 |
| | Tractor Supply Co. | 299,200 | 18,242 |
| * | Tempur-Pedic International Inc. | 580,371 | 17,846 |
| * | DreamWorks Animation SKG Inc. Class A | 595,503 | 17,002 |
| * | Fossil Inc. | 442,534 | 15,356 |
| * | Deckers Outdoor Corp. | 106,494 | 15,215 |
| * | Bally Technologies Inc. | 457,698 | 14,825 |
| | Chico's FAS Inc. | 1,475,352 | 14,576 |
| | Phillips-Van Heusen Corp. | 307,778 | 14,241 |
| | John Wiley & Sons Inc. Class A | 366,201 | 14,161 |
| *,^ | Lululemon Athletica Inc. | 378,305 | 14,081 |
| | Polaris Industries Inc. | 257,055 | 14,040 |
| * | Warnaco Group Inc. | 377,290 | 13,635 |
| | Sotheby's | 554,485 | 12,681 |
| * | Hanesbrands Inc. | 513,920 | 12,365 |
| * | Live Nation Entertainment Inc. | 1,118,344 | 11,687 |
| * | Gymboree Corp. | 248,335 | 10,606 |
| * | Cheesecake Factory Inc. | 475,435 | 10,583 |
| * | Coinstar Inc. | 244,974 | 10,527 |
| * | Career Education Corp. | 452,936 | 10,427 |
| * | Tenneco Inc. | 492,750 | 10,377 |
| * | Capella Education Co. | 124,720 | 10,146 |
| * | Madison Square Garden Inc. Class A | 513,104 | 10,093 |
| | Aaron's Inc. | 577,834 | 9,864 |
| *,^ | Under Armour Inc. Class A | 297,555 | 9,858 |
| * | Life Time Fitness Inc. | 308,829 | 9,818 |
| * | Eastman Kodak Co. | 2,226,548 | 9,663 |
| * | Childrens Place Retail Stores Inc. | 204,240 | 8,991 |
| | Pool Corp. | 405,716 | 8,893 |
| * | JOS A Bank Clothiers Inc. | 151,615 | 8,186 |
| * | Morningstar Inc. | 181,164 | 7,703 |
| | Thor Industries Inc. | 321,591 | 7,638 |
| | PF Chang's China Bistro Inc. | 189,982 | 7,533 |
| * | CROCS Inc. | 709,895 | 7,511 |
| | Matthews International Corp. Class A | 251,517 | 7,364 |
| *,^ | Corinthian Colleges Inc. | 726,903 | 7,160 |
| * | Sally Beauty Holdings Inc. | 830,712 | 6,812 |
| * | American Public Education Inc. | 151,558 | 6,623 |
| * | CEC Entertainment Inc. | 183,883 | 6,484 |
| * | Steven Madden Ltd. | 202,749 | 6,391 |
| | CTC Media Inc. | 441,256 | 6,372 |
| * | Valassis Communications Inc. | 199,516 | 6,329 |
| * | Carter's Inc. | 240,532 | 6,314 |
| * | Ulta Salon Cosmetics & Fragrance Inc. | 264,710 | 6,263 |
| | Monro Muffler Brake Inc. | 156,176 | 6,174 |
| * | Pier 1 Imports Inc. | 957,639 | 6,138 |
| * | Gaylord Entertainment Co. | 272,455 | 6,019 |
| | Brunswick Corp. | 476,224 | 5,919 |
| | National CineMedia Inc. | 348,939 | 5,813 |
| * | Hibbett Sports Inc. | 237,474 | 5,690 |
| * | Blue Nile Inc. | 119,961 | 5,648 |
| | Arbitron Inc. | 219,795 | 5,633 |
| * | Texas Roadhouse Inc. Class A | 439,075 | 5,541 |
| * | Talbots Inc. | 517,784 | 5,338 |
| * | Scientific Games Corp. Class A | 579,577 | 5,332 |
30
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Buffalo Wild Wings Inc. | 142,091 | 5,198 |
| * | Shutterfly Inc. | 193,076 | 4,626 |
| * | Office Depot Inc. | 1,137,750 | 4,597 |
| * | OfficeMax Inc. | 350,490 | 4,577 |
| * | Lions Gate Entertainment Corp. | 633,445 | 4,421 |
| * | Steiner Leisure Ltd. | 114,706 | 4,409 |
| * | True Religion Apparel Inc. | 198,629 | 4,384 |
| * | Penske Automotive Group Inc. | 381,586 | 4,335 |
| * | Peet's Coffee & Tea Inc. | 108,486 | 4,260 |
| * | Lumber Liquidators Holdings Inc. | 180,669 | 4,215 |
| * | Vail Resorts Inc. | 119,995 | 4,189 |
| * | BJ's Restaurants Inc. | 177,343 | 4,185 |
| * | Papa John's International Inc. | 180,047 | 4,163 |
| * | RCN Corp. | 281,053 | 4,162 |
| * | K12 Inc. | 186,870 | 4,145 |
| * | Interval Leisure Group Inc. | 327,631 | 4,079 |
| * | Dress Barn Inc. | 169,581 | 4,038 |
| * | Citi Trends Inc. | 121,649 | 4,007 |
| * | Grand Canyon Education Inc. | 170,102 | 3,985 |
| * | Universal Technical Institute Inc. | 167,901 | 3,969 |
| * | AnnTaylor Stores Corp. | 243,369 | 3,960 |
| * | Maidenform Brands Inc. | 186,393 | 3,795 |
| * | Vitamin Shoppe Inc. | 145,541 | 3,733 |
| ^ | Buckle Inc. | 114,931 | 3,726 |
| * | Sonic Corp. | 480,567 | 3,724 |
| * | hhgregg Inc. | 159,139 | 3,711 |
| | National Presto Industries Inc. | 39,703 | 3,687 |
| * | Skechers U.S.A. Inc. Class A | 97,580 | 3,564 |
| * | Shuffle Master Inc. | 443,815 | 3,555 |
| * | DineEquity Inc. | 123,682 | 3,453 |
| ^ | PetMed Express Inc. | 189,214 | 3,368 |
| * | Rue21 Inc. | 110,357 | 3,348 |
| * | iRobot Corp. | 176,543 | 3,317 |
| | Meredith Corp. | 104,870 | 3,265 |
| * | New York Times Co. Class A | 377,038 | 3,261 |
| * | Exide Technologies | 625,723 | 3,254 |
| *,^ | Fuel Systems Solutions Inc. | 123,669 | 3,209 |
| * | Lincoln Educational Services Corp. | 150,215 | 3,093 |
| * | G-III Apparel Group Ltd. | 130,595 | 2,989 |
| * | Wet Seal Inc. Class A | 806,352 | 2,943 |
| * | California Pizza Kitchen Inc. | 190,083 | 2,880 |
| * | Zumiez Inc. | 175,212 | 2,823 |
| * | Knology Inc. | 253,928 | 2,775 |
| * | HSN Inc. | 114,388 | 2,745 |
| * | Pre-Paid Legal Services Inc. | 58,157 | 2,646 |
| | NutriSystem Inc. | 115,236 | 2,644 |
| * | Volcom Inc. | 141,201 | 2,622 |
| | Choice Hotels International Inc. | 86,135 | 2,602 |
| * | Select Comfort Corp. | 295,166 | 2,583 |
| * | American Axle & Manufacturing Holdings Inc. | 349,860 | 2,564 |
| * | K-Swiss Inc. Class A | 226,487 | 2,543 |
| * | Domino's Pizza Inc. | 219,903 | 2,485 |
| * | Bridgepoint Education Inc. | 154,925 | 2,449 |
| *,^ | Overstock.com Inc. | 133,655 | 2,415 |
| | Sturm Ruger & Co. Inc. | 159,559 | 2,286 |
| * | Mediacom Communications Corp. Class A | 339,634 | 2,282 |
| * | Sinclair Broadcast Group Inc. Class A | 376,211 | 2,193 |
| * | Warner Music Group Corp. | 447,613 | 2,175 |
| * | Liz Claiborne Inc. | 515,282 | 2,174 |
| * | Denny's Corp. | 807,783 | 2,100 |
| * | 99 Cents Only Stores | 141,586 | 2,095 |
| * | SuperMedia Inc. | 106,478 | 1,947 |
| * | CKX Inc. | 389,403 | 1,943 |
| * | AFC Enterprises Inc. | 212,909 | 1,937 |
31
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Universal Electronics Inc. | 114,576 | 1,905 |
| | HOT Topic Inc. | 370,775 | 1,884 |
| * | Modine Manufacturing Co. | 239,052 | 1,836 |
| * | Charming Shoppes Inc. | 483,696 | 1,814 |
| * | Coldwater Creek Inc. | 539,165 | 1,812 |
| * | Krispy Kreme Doughnuts Inc. | 507,811 | 1,711 |
| * | Drew Industries Inc. | 82,553 | 1,668 |
| * | Pinnacle Entertainment Inc. | 175,944 | 1,664 |
| | Blyth Inc. | 47,804 | 1,629 |
| | Bebe Stores Inc. | 252,410 | 1,615 |
| * | Retail Ventures Inc. | 204,888 | 1,602 |
| | Systemax Inc. | 91,677 | 1,382 |
| * | Smith & Wesson Holding Corp. | 325,164 | 1,330 |
| * | Isle of Capri Casinos Inc. | 135,056 | 1,251 |
| * | Vitacost.com Inc. | 137,165 | 1,233 |
| *,^ | Wonder Auto Technology Inc. | 156,133 | 1,143 |
| * | Federal-Mogul Corp. | 87,026 | 1,133 |
| * | Martha Stewart Living Omnimedia Class A | 225,862 | 1,111 |
| *,^ | Hovnanian Enterprises Inc. Class A | 290,951 | 1,071 |
| * | Standard Pacific Corp. | 306,488 | 1,021 |
| * | Biglari Holdings Inc. | 3,551 | 1,019 |
| *,^ | China Automotive Systems Inc. | 56,238 | 990 |
| * | DSW Inc. Class A | 43,615 | 980 |
| * | Pacific Sunwear Of California | 274,227 | 878 |
| | Ambassadors Group Inc. | 75,390 | 851 |
| * | Winnebago Industries Inc. | 84,629 | 841 |
| | Gaiam Inc. Class A | 124,806 | 758 |
| * | China MediaExpress Holdings Inc. | 83,210 | 730 |
| * | Sealy Corp. | 255,982 | 683 |
| *,^ | Deer Consumer Products Inc. | 81,912 | 680 |
| * | Orbitz Worldwide Inc. | 167,283 | 637 |
| *,^ | Fuqi International Inc. | 89,213 | 607 |
| * | Leapfrog Enterprises Inc. | 145,666 | 586 |
| * | Furniture Brands International Inc. | 106,293 | 555 |
| * | Monarch Casino & Resort Inc. | 52,880 | 536 |
| * | 1-800-Flowers.com Inc. Class A | 210,031 | 433 |
| * | American Apparel Inc. | 191,353 | 350 |
| * | Marine Products Corp. | 59,101 | 335 |
| * | New York & Co. Inc. | 143,994 | 330 |
| * | Outdoor Channel Holdings Inc. | 53,134 | 248 |
| | | | 914,694 |
| Consumer Staples (3.3%) | | |
| * | Green Mountain Coffee Roasters Inc. | 924,111 | 23,750 |
| | Herbalife Ltd. | 499,770 | 23,014 |
| * | NBTY Inc. | 471,691 | 16,042 |
| | Casey's General Stores Inc. | 422,045 | 14,729 |
| * | BJ's Wholesale Club Inc. | 299,961 | 11,102 |
| * | United Natural Foods Inc. | 339,124 | 10,133 |
| * | American Italian Pasta Co. | 174,984 | 9,251 |
| | Diamond Foods Inc. | 175,042 | 7,194 |
| * | Boston Beer Co. Inc. Class A | 83,971 | 5,664 |
| * | Rite Aid Corp. | 5,515,998 | 5,406 |
| | J&J Snack Foods Corp. | 121,868 | 5,131 |
| * | Darling International Inc. | 681,144 | 5,115 |
| * | TreeHouse Foods Inc. | 99,533 | 4,545 |
| * | Heckmann Corp. | 855,550 | 3,970 |
| | Sanderson Farms Inc. | 63,329 | 3,213 |
| * | Pilgrim's Pride Corp. | 443,434 | 2,913 |
| *,^ | Zhongpin Inc. | 228,205 | 2,684 |
| | Tootsie Roll Industries Inc. | 109,164 | 2,582 |
| * | Alliance One International Inc. | 700,312 | 2,493 |
| * | USANA Health Sciences Inc. | 63,227 | 2,310 |
| * | Smart Balance Inc. | 523,464 | 2,141 |
| | Cal-Maine Foods Inc. | 57,482 | 1,835 |
32
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | American Dairy Inc. | 90,943 | 1,451 |
| * | Revlon Inc. Class A | 101,885 | 1,137 |
| | Coca-Cola Bottling Co. Consolidated | 23,432 | 1,123 |
| *,^ | China Sky One Medical Inc. | 91,146 | 1,025 |
| | Arden Group Inc. | 10,500 | 923 |
| *,^ | Great Atlantic & Pacific Tea Co. | 231,901 | 904 |
| *,^ | China-Biotics Inc. | 60,418 | 786 |
| | National Beverage Corp. | 47,909 | 588 |
| | Calavo Growers Inc. | 31,420 | 564 |
| *,^ | AgFeed Industries Inc. | 159,686 | 468 |
| * | Susser Holdings Corp. | 35,611 | 420 |
| | | | 174,606 |
| Energy (6.8%) | | |
| | Core Laboratories NV | 184,957 | 27,301 |
| | SM Energy Co. | 520,390 | 20,899 |
| * | Mariner Energy Inc. | 843,665 | 18,122 |
| * | Atlas Energy Inc. | 648,478 | 17,554 |
| * | Brigham Exploration Co. | 946,515 | 14,557 |
| * | Exterran Holdings Inc. | 492,271 | 12,706 |
| * | Superior Energy Services Inc. | 650,879 | 12,152 |
| | CARBO Ceramics Inc. | 162,887 | 11,759 |
| * | Dril-Quip Inc. | 263,533 | 11,601 |
| * | Comstock Resources Inc. | 390,401 | 10,822 |
| * | Arena Resources Inc. | 318,393 | 10,157 |
| | Holly Corp. | 374,053 | 9,942 |
| * | Key Energy Services Inc. | 1,039,561 | 9,543 |
| *,^ | Gran Tierra Energy Inc. | 1,884,832 | 9,349 |
| * | Rosetta Resources Inc. | 435,815 | 8,633 |
| | Frontier Oil Corp. | 563,863 | 7,584 |
| * | Patriot Coal Corp. | 640,055 | 7,521 |
| * | Complete Production Services Inc. | 514,467 | 7,357 |
| * | McMoRan Exploration Co. | 605,949 | 6,732 |
| * | Atwood Oceanics Inc. | 240,056 | 6,126 |
| | World Fuel Services Corp. | 233,685 | 6,062 |
| * | Helix Energy Solutions Group Inc. | 535,564 | 5,768 |
| * | Oil States International Inc. | 144,582 | 5,723 |
| * | Tetra Technologies Inc. | 624,836 | 5,673 |
| *,^ | Clean Energy Fuels Corp. | 321,628 | 4,805 |
| * | Northern Oil and Gas Inc. | 372,174 | 4,779 |
| * | Unit Corp. | 117,239 | 4,759 |
| * | Contango Oil & Gas Co. | 105,070 | 4,702 |
| * | Carrizo Oil & Gas Inc. | 268,641 | 4,172 |
| * | Resolute Energy Corp. | 330,123 | 4,041 |
| *,^ | ATP Oil & Gas Corp. | 356,052 | 3,771 |
| | Lufkin Industries Inc. | 86,186 | 3,360 |
| | RPC Inc. | 244,339 | 3,335 |
| * | Superior Well Services Inc. | 190,614 | 3,187 |
| * | Tesco Corp. | 249,374 | 3,062 |
| * | Venoco Inc. | 173,827 | 2,863 |
| *,^ | BPZ Resources Inc. | 666,751 | 2,767 |
| * | Clayton Williams Energy Inc. | 65,266 | 2,749 |
| * | Gulfport Energy Corp. | 229,596 | 2,723 |
| * | Rex Energy Corp. | 265,727 | 2,684 |
| * | Goodrich Petroleum Corp. | 203,913 | 2,447 |
| * | Hercules Offshore Inc. | 958,485 | 2,329 |
| * | Western Refining Inc. | 440,545 | 2,216 |
| * | Petroleum Development Corp. | 80,411 | 2,060 |
| * | Matrix Service Co. | 220,075 | 2,049 |
| * | ION Geophysical Corp. | 580,957 | 2,022 |
| * | OYO Geospace Corp. | 40,219 | 1,950 |
| * | Pioneer Drilling Co. | 294,383 | 1,669 |
| * | Warren Resources Inc. | 561,726 | 1,629 |
| * | Cal Dive International Inc. | 276,006 | 1,615 |
| *,^ | GMX Resources Inc. | 248,310 | 1,612 |
33
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Willbros Group Inc. | 215,604 | 1,595 |
| * | T-3 Energy Services Inc. | 54,642 | 1,524 |
| * | International Coal Group Inc. | 384,179 | 1,479 |
| * | Dawson Geophysical Co. | 65,510 | 1,393 |
| * | Magnum Hunter Resources Corp. | 306,350 | 1,336 |
| * | Gastar Exploration Ltd. | 357,364 | 1,290 |
| * | Cheniere Energy Inc. | 456,515 | 1,287 |
| *,^ | Uranium Energy Corp. | 454,385 | 1,072 |
| * | Endeavour International Corp. | 959,924 | 1,018 |
| * | Seahawk Drilling Inc. | 88,213 | 857 |
| * | China Integrated Energy Inc. | 96,498 | 801 |
| * | Basic Energy Services Inc. | 92,892 | 715 |
| * | Allis-Chalmers Energy Inc. | 326,514 | 673 |
| * | Bronco Drilling Co. Inc. | 191,844 | 643 |
| ^ | Alon USA Energy Inc. | 90,689 | 577 |
| | Delek US Holdings Inc. | 39,081 | 285 |
| * | Approach Resources Inc. | 35,970 | 247 |
| | | | 359,792 |
| Financials (6.1%) | | |
| * | MSCI Inc. Class A | 925,312 | 25,354 |
| | Jones Lang LaSalle Inc. | 347,579 | 22,815 |
| | Taubman Centers Inc. | 450,345 | 16,946 |
| * | SVB Financial Group | 342,683 | 14,129 |
| * | Signature Bank | 336,459 | 12,789 |
| | DuPont Fabros Technology Inc. | 473,481 | 11,629 |
| | Equity Lifestyle Properties Inc. | 238,968 | 11,525 |
| * | Stifel Financial Corp. | 230,530 | 10,003 |
| * | Portfolio Recovery Associates Inc. | 138,952 | 9,279 |
| * | Forest City Enterprises Inc. Class A | 648,805 | 7,344 |
| * | Ezcorp Inc. Class A | 360,165 | 6,681 |
| | Apartment Investment & Management Co. | 339,677 | 6,580 |
| * | MF Global Holdings Ltd. | 1,136,252 | 6,488 |
| * | Greenlight Capital Re Ltd. Class A | 249,014 | 6,273 |
| | Alexander's Inc. | 19,039 | 5,767 |
| * | optionsXpress Holdings Inc. | 358,350 | 5,640 |
| * | Investors Bancorp Inc. | 426,621 | 5,597 |
| * | Sunstone Hotel Investors Inc. | 528,257 | 5,246 |
| * | Interactive Brokers Group Inc. | 307,553 | 5,105 |
| * | Pico Holdings Inc. | 168,400 | 5,047 |
| * | GLG Partners Inc. | 1,149,758 | 5,036 |
| * | Popular Inc. | 1,854,257 | 4,969 |
| * | Texas Capital Bancshares Inc. | 284,513 | 4,666 |
| * | First Cash Financial Services Inc. | 210,014 | 4,578 |
| * | Credit Acceptance Corp. | 90,264 | 4,402 |
| | LaSalle Hotel Properties | 199,917 | 4,112 |
| * | Dollar Financial Corp. | 200,672 | 3,971 |
| * | KBW Inc. | 181,369 | 3,889 |
| * | Altisource Portfolio Solutions SA | 139,310 | 3,446 |
| | Extra Space Storage Inc. | 238,706 | 3,318 |
| * | Emdeon Inc. Class A | 262,576 | 3,290 |
| | Cohen & Steers Inc. | 157,307 | 3,263 |
| *,^ | Federal National Mortgage Assn. | 9,246,069 | 3,167 |
| | PS Business Parks Inc. | 56,506 | 3,152 |
| | Cash America International Inc. | 85,565 | 2,932 |
| * | Beneficial Mutual Bancorp Inc. | 272,343 | 2,691 |
| * | MBIA Inc. | 474,216 | 2,660 |
| * | Tejon Ranch Co. | 111,016 | 2,562 |
| | Danvers Bancorp Inc. | 175,402 | 2,535 |
| * | Forestar Group Inc. | 141,106 | 2,534 |
| | Cousins Properties Inc. | 375,536 | 2,531 |
| | Sun Communities Inc. | 90,944 | 2,361 |
| *,^ | Federal Home Loan Mortgage Corp. | 5,411,197 | 2,235 |
| | Duff & Phelps Corp. Class A | 171,321 | 2,164 |
| | S&T Bancorp Inc. | 109,039 | 2,155 |
34
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | eHealth Inc. | 185,565 | 2,110 |
| | Cardinal Financial Corp. | 228,127 | 2,108 |
| | PrivateBancorp Inc. Class A | 177,445 | 1,966 |
| | Evercore Partners Inc. Class A | 81,408 | 1,901 |
| * | World Acceptance Corp. | 47,470 | 1,819 |
| * | Cardtronics Inc. | 136,122 | 1,764 |
| * | International Assets Holding Corp. | 110,251 | 1,764 |
| * | Pinnacle Financial Partners Inc. | 132,419 | 1,702 |
| | Westwood Holdings Group Inc. | 47,758 | 1,679 |
| | Retail Opportunity Investments Corp. | 172,747 | 1,667 |
| *,^ | Ambac Financial Group Inc. | 2,404,165 | 1,611 |
| | Saul Centers Inc. | 39,566 | 1,608 |
| * | NewStar Financial Inc. | 246,877 | 1,570 |
| | Calamos Asset Management Inc. Class A | 164,304 | 1,525 |
| | ViewPoint Financial Group | 93,952 | 1,301 |
| * | Hilltop Holdings Inc. | 124,549 | 1,247 |
| | NorthStar Realty Finance Corp. | 405,554 | 1,083 |
| * | Pebblebrook Hotel Trust | 56,300 | 1,061 |
| | Parkway Properties Inc. | 62,939 | 917 |
| * | Nara Bancorp Inc. | 105,846 | 892 |
| * | Citizens Inc. | 129,043 | 859 |
| | Consolidated-Tomoka Land Co. | 29,431 | 839 |
| * | Gleacher & Co. Inc. | 314,029 | 801 |
| * | First Industrial Realty Trust Inc. | 160,976 | 776 |
| * | TradeStation Group Inc. | 108,859 | 735 |
| * | First Marblehead Corp. | 267,854 | 629 |
| | CreXus Investment Corp. | 39,640 | 493 |
| | Life Partners Holdings Inc. | 22,031 | 451 |
| * | LaBranche & Co. Inc. | 97,529 | 417 |
| | Universal Insurance Holdings Inc. | 93,626 | 391 |
| | Citizens & Northern Corp. | 35,279 | 377 |
| * | Crawford & Co. Class B | 115,051 | 364 |
| | Roma Financial Corp. | 32,931 | 358 |
| * | Asset Acceptance Capital Corp. | 81,271 | 336 |
| | CompuCredit Holdings Corp. | 56,649 | 224 |
| * | Crawford & Co. Class A | 62,857 | 154 |
| * | Teton Advisors Inc. Class A | 183 | 2 |
| | | | 322,357 |
| Health Care (17.5%) | | |
| * | Valeant Pharmaceuticals International | 646,897 | 33,826 |
| * | United Therapeutics Corp. | 430,048 | 20,991 |
| * | Thoratec Corp. | 449,431 | 19,204 |
| * | Salix Pharmaceuticals Ltd. | 460,177 | 17,961 |
| * | Tenet Healthcare Corp. | 3,988,768 | 17,311 |
| * | VCA Antech Inc. | 674,701 | 16,706 |
| * | BioMarin Pharmaceutical Inc. | 838,328 | 15,895 |
| * | Psychiatric Solutions Inc. | 443,065 | 14,497 |
| * | Healthsouth Corp. | 773,407 | 14,470 |
| * | American Medical Systems Holdings Inc. | 617,073 | 13,650 |
| * | ev3 Inc. | 606,706 | 13,596 |
| * | HMS Holdings Corp. | 224,047 | 12,148 |
| * | Sirona Dental Systems Inc. | 342,495 | 11,933 |
| * | NuVasive Inc. | 321,827 | 11,412 |
| * | Onyx Pharmaceuticals Inc. | 517,107 | 11,164 |
| * | Haemonetics Corp. | 208,199 | 11,143 |
| * | Immucor Inc. | 579,027 | 11,030 |
| * | Regeneron Pharmaceuticals Inc. | 493,799 | 11,022 |
| * | Dionex Corp. | 146,462 | 10,906 |
| * | Incyte Corp. Ltd. | 982,508 | 10,876 |
| | Medicis Pharmaceutical Corp. Class A | 492,985 | 10,787 |
| * | Catalyst Health Solutions Inc. | 312,350 | 10,776 |
| * | Talecris Biotherapeutics Holdings Corp. | 508,069 | 10,720 |
| * | Parexel International Corp. | 481,434 | 10,437 |
| * | PSS World Medical Inc. | 487,943 | 10,320 |
35
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | Amedisys Inc. | 234,308 | 10,303 |
| | Masimo Corp. | 432,443 | 10,296 |
| | Chemed Corp. | 188,435 | 10,296 |
| | West Pharmaceutical Services Inc. | 274,351 | 10,011 |
| * | Cubist Pharmaceuticals Inc. | 481,882 | 9,927 |
| * | Acorda Therapeutics Inc. | 316,206 | 9,837 |
| * | Alkermes Inc. | 782,738 | 9,745 |
| | Quality Systems Inc. | 166,338 | 9,646 |
| * | Nektar Therapeutics | 772,409 | 9,346 |
| * | Auxilium Pharmaceuticals Inc. | 391,468 | 9,200 |
| * | Allscripts-Misys Healthcare Solutions Inc. | 544,325 | 8,764 |
| * | Seattle Genetics Inc. | 708,120 | 8,490 |
| * | Eclipsys Corp. | 473,873 | 8,454 |
| * | Impax Laboratories Inc. | 440,101 | 8,388 |
| * | MedAssets Inc. | 352,475 | 8,135 |
| * | Volcano Corp. | 363,098 | 7,923 |
| * | Cepheid Inc. | 488,732 | 7,829 |
| * | Par Pharmaceutical Cos. Inc. | 289,456 | 7,514 |
| * | Isis Pharmaceuticals Inc. | 774,451 | 7,411 |
| * | Pharmasset Inc. | 263,269 | 7,198 |
| * | Viropharma Inc. | 641,973 | 7,197 |
| * | Theravance Inc. | 564,652 | 7,098 |
| * | Align Technology Inc. | 467,742 | 6,955 |
| *,^ | athenahealth Inc. | 265,125 | 6,928 |
| * | AMERIGROUP Corp. | 211,641 | 6,874 |
| * | Brookdale Senior Living Inc. | 449,988 | 6,750 |
| * | Bruker Corp. | 544,074 | 6,616 |
| * | Integra LifeSciences Holdings Corp. | 178,218 | 6,594 |
| * | Martek Biosciences Corp. | 275,717 | 6,537 |
| *,^ | Vivus Inc. | 667,338 | 6,406 |
| * | Phase Forward Inc. | 360,921 | 6,020 |
| * | Cyberonics Inc. | 230,090 | 5,449 |
| * | WellCare Health Plans Inc. | 227,984 | 5,412 |
| * | Globe Specialty Metals Inc. | 523,303 | 5,406 |
| * | Wright Medical Group Inc. | 321,060 | 5,333 |
| * | Questcor Pharmaceuticals Inc. | 504,940 | 5,155 |
| * | Luminex Corp. | 311,949 | 5,060 |
| * | MWI Veterinary Supply Inc. | 96,100 | 4,830 |
| * | Zoll Medical Corp. | 176,801 | 4,791 |
| * | Neogen Corp. | 177,027 | 4,612 |
| * | Bio-Reference Labs Inc. | 206,692 | 4,582 |
| * | Orthofix International NV | 141,928 | 4,549 |
| * | Savient Pharmaceuticals Inc. | 358,672 | 4,519 |
| * | DexCom Inc. | 389,651 | 4,504 |
| * | Celera Corp. | 678,660 | 4,445 |
| * | Alnylam Pharmaceuticals Inc. | 294,537 | 4,424 |
| * | Halozyme Therapeutics Inc. | 607,195 | 4,275 |
| * | Emergency Medical Services Corp. Class A | 85,709 | 4,202 |
| * | Insulet Corp. | 274,144 | 4,126 |
| * | Gentiva Health Services Inc. | 150,735 | 4,071 |
| * | Hanger Orthopedic Group Inc. | 222,934 | 4,004 |
| *,^ | Enzon Pharmaceuticals Inc. | 374,999 | 3,994 |
| * | Allos Therapeutics Inc. | 645,566 | 3,957 |
| * | Abaxis Inc. | 182,834 | 3,918 |
| * | AMAG Pharmaceuticals Inc. | 112,916 | 3,879 |
| * | Natus Medical Inc. | 235,041 | 3,829 |
| * | Conceptus Inc. | 241,681 | 3,765 |
| * | PharMerica Corp. | 253,516 | 3,717 |
| * | LHC Group Inc. | 129,784 | 3,602 |
| *,^ | MannKind Corp. | 561,515 | 3,588 |
| * | Merit Medical Systems Inc. | 220,903 | 3,550 |
| * | IPC The Hospitalist Co. Inc. | 134,220 | 3,369 |
| * | ICU Medical Inc. | 104,404 | 3,359 |
| * | Healthways Inc. | 280,330 | 3,342 |
36
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Medicines Co. | 437,703 | 3,331 |
| * | Immunogen Inc. | 357,401 | 3,313 |
| * | SonoSite Inc. | 120,050 | 3,255 |
| * | Centene Corp. | 148,847 | 3,200 |
| * | Ardea Biosciences Inc. | 155,644 | 3,200 |
| * | eResearchTechnology Inc. | 401,205 | 3,161 |
| * | NxStage Medical Inc. | 212,996 | 3,161 |
| * | Omnicell Inc. | 267,346 | 3,125 |
| * | Symmetry Medical Inc. | 296,394 | 3,124 |
| * | Targacept Inc. | 160,465 | 3,102 |
| * | Exelixis Inc. | 889,007 | 3,085 |
| * | Micromet Inc. | 491,828 | 3,069 |
| * | NPS Pharmaceuticals Inc. | 476,232 | 3,067 |
| *,^ | Sequenom Inc. | 485,095 | 2,867 |
| | PDL BioPharma Inc. | 495,182 | 2,783 |
| * | Air Methods Corp. | 92,205 | 2,743 |
| * | Emergent Biosolutions Inc. | 165,676 | 2,707 |
| * | Accuray Inc. | 406,089 | 2,692 |
| * | Geron Corp. | 524,244 | 2,632 |
| * | Quidel Corp. | 203,244 | 2,579 |
| * | Inspire Pharmaceuticals Inc. | 515,796 | 2,574 |
| * | ABIOMED Inc. | 263,661 | 2,552 |
| * | Momenta Pharmaceuticals Inc. | 206,098 | 2,527 |
| * | Genoptix Inc. | 145,044 | 2,495 |
| * | InterMune Inc. | 264,808 | 2,476 |
| * | Somanetics Corp. | 98,758 | 2,464 |
| * | Almost Family Inc. | 68,873 | 2,406 |
| *,^ | Arena Pharmaceuticals Inc. | 775,228 | 2,380 |
| * | Medivation Inc. | 266,111 | 2,352 |
| * | Nabi Biopharmaceuticals | 414,109 | 2,253 |
| * | inVentiv Health Inc. | 87,995 | 2,253 |
| *,^ | SIGA Technologies Inc. | 288,832 | 2,224 |
| * | Medidata Solutions Inc. | 141,122 | 2,186 |
| * | SurModics Inc. | 131,302 | 2,155 |
| *,^ | Emeritus Corp. | 127,994 | 2,088 |
| * | Corvel Corp. | 60,677 | 2,050 |
| * | Rigel Pharmaceuticals Inc. | 281,662 | 2,028 |
| | Meridian Bioscience Inc. | 118,900 | 2,021 |
| | Cantel Medical Corp. | 119,026 | 1,988 |
| * | Kensey Nash Corp. | 82,367 | 1,953 |
| *,^ | Cell Therapeutics Inc. | 5,156,529 | 1,934 |
| *,^ | MAKO Surgical Corp. | 154,891 | 1,928 |
| * | Zymogenetics Inc. | 452,996 | 1,912 |
| * | Metabolix Inc. | 132,963 | 1,903 |
| | Atrion Corp. | 13,016 | 1,758 |
| * | Dyax Corp. | 756,528 | 1,717 |
| | Landauer Inc. | 27,548 | 1,677 |
| * | ATS Medical Inc. | 422,146 | 1,676 |
| * | Pain Therapeutics Inc. | 300,998 | 1,674 |
| * | Palomar Medical Technologies Inc. | 143,752 | 1,609 |
| *,^ | AGA Medical Holdings Inc. | 126,129 | 1,601 |
| * | MAP Pharmaceuticals Inc. | 121,067 | 1,588 |
| * | Durect Corp. | 653,313 | 1,588 |
| * | Genomic Health Inc. | 119,811 | 1,549 |
| * | IRIS International Inc. | 151,021 | 1,531 |
| * | Greatbatch Inc. | 68,135 | 1,520 |
| * | Obagi Medical Products Inc. | 128,595 | 1,520 |
| *,^ | Protalix BioTherapeutics Inc. | 241,802 | 1,477 |
| *,^ | MELA Sciences Inc. | 197,910 | 1,472 |
| * | Lexicon Pharmaceuticals Inc. | 1,143,791 | 1,464 |
| * | XenoPort Inc. | 149,164 | 1,463 |
| * | Vital Images Inc. | 114,043 | 1,454 |
| * | Progenics Pharmaceuticals Inc. | 265,043 | 1,452 |
| * | Synovis Life Technologies Inc. | 93,994 | 1,436 |
37
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | Pozen Inc. | 200,239 | 1,404 |
| * | Clarient Inc. | 427,080 | 1,315 |
| *,^ | Clinical Data Inc. | 103,643 | 1,289 |
| * | Maxygen Inc. | 231,491 | 1,280 |
| * | Sangamo Biosciences Inc. | 339,224 | 1,259 |
| * | Opko Health Inc. | 549,879 | 1,243 |
| * | Affymetrix Inc. | 208,445 | 1,230 |
| * | CryoLife Inc. | 227,219 | 1,225 |
| * | Exactech Inc. | 70,045 | 1,196 |
| * | Sunrise Senior Living Inc. | 420,987 | 1,170 |
| * | Enzo Biochem Inc. | 287,145 | 1,169 |
| * | TomoTherapy Inc. | 356,600 | 1,134 |
| * | Stereotaxis Inc. | 337,646 | 1,118 |
| * | Orthovita Inc. | 545,988 | 1,108 |
| *,^ | Cadence Pharmaceuticals Inc. | 150,339 | 1,054 |
| * | CardioNet Inc. | 191,445 | 1,049 |
| * | Arqule Inc. | 231,098 | 994 |
| * | Idenix Pharmaceuticals Inc. | 198,362 | 992 |
| * | Alliance HealthCare Services Inc. | 237,627 | 960 |
| *,^ | Biotime Inc. | 155,731 | 959 |
| * | Affymax Inc. | 155,033 | 927 |
| * | Akorn Inc. | 296,803 | 882 |
| * | Kendle International Inc. | 76,377 | 880 |
| * | Cynosure Inc. Class A | 81,278 | 875 |
| * | China Biologic Products Inc. | 78,175 | 859 |
| * | Ligand Pharmaceuticals Inc. Class B | 577,325 | 843 |
| * | OraSure Technologies Inc. | 180,899 | 838 |
| * | Orexigen Therapeutics Inc. | 190,447 | 800 |
| *,^ | Osiris Therapeutics Inc. | 136,155 | 791 |
| * | Cypress Bioscience Inc. | 321,503 | 739 |
| * | Biospecifics Technologies Corp. | 36,676 | 729 |
| * | AMN Healthcare Services Inc. | 94,547 | 707 |
| * | Albany Molecular Research Inc. | 119,361 | 617 |
| * | Caraco Pharmaceutical Laboratories Ltd. | 80,990 | 382 |
| * | Sucampo Pharmaceuticals Inc. Class A | 66,863 | 236 |
| | | | 925,864 |
| Industrials (17.1%) | | |
| * | UAL Corp. | 1,388,309 | 28,544 |
| * | Oshkosh Corp. | 742,205 | 23,127 |
| * | Waste Connections Inc. | 619,580 | 21,617 |
| | TransDigm Group Inc. | 386,096 | 19,703 |
| | Gardner Denver Inc. | 432,728 | 19,295 |
| | IDEX Corp. | 670,090 | 19,145 |
| * | Corrections Corp. of America | 961,469 | 18,345 |
| * | WABCO Holdings Inc. | 531,240 | 16,723 |
| * | Kirby Corp. | 425,290 | 16,267 |
| | Landstar System Inc. | 416,548 | 16,241 |
| | Wabtec Corp. | 394,722 | 15,745 |
| * | Thomas & Betts Corp. | 436,162 | 15,135 |
| | Towers Watson & Co. Class A | 388,911 | 15,109 |
| | CLARCOR Inc. | 418,021 | 14,848 |
| | Graco Inc. | 497,951 | 14,037 |
| | Toro Co. | 282,249 | 13,864 |
| | Acuity Brands Inc. | 359,902 | 13,093 |
| * | Clean Harbors Inc. | 195,521 | 12,985 |
| | Valmont Industries Inc. | 174,231 | 12,660 |
| * | Hexcel Corp. | 803,532 | 12,463 |
| | Woodward Governor Co. | 481,927 | 12,304 |
| * | Genesee & Wyoming Inc. Class A | 319,334 | 11,914 |
| * | US Airways Group Inc. | 1,335,413 | 11,498 |
| * | United Stationers Inc. | 198,956 | 10,837 |
| | Actuant Corp. Class A | 562,459 | 10,591 |
| | Knight Transportation Inc. | 517,588 | 10,476 |
| | UTi Worldwide Inc. | 832,658 | 10,308 |
38
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Tetra Tech Inc. | 511,198 | 10,025 |
| * | ArvinMeritor Inc. | 722,059 | 9,459 |
| *,^ | American Superconductor Corp. | 352,598 | 9,411 |
| * | HUB Group Inc. Class A | 309,972 | 9,302 |
| * | Geo Group Inc. | 427,878 | 8,878 |
| | Herman Miller Inc. | 440,372 | 8,310 |
| * | Old Dominion Freight Line Inc. | 231,720 | 8,143 |
| * | Middleby Corp. | 146,002 | 7,766 |
| | Rollins Inc. | 370,564 | 7,667 |
| * | Orbital Sciences Corp. | 471,874 | 7,441 |
| | Corporate Executive Board Co. | 282,908 | 7,432 |
| * | Beacon Roofing Supply Inc. | 375,829 | 6,772 |
| * | Insituform Technologies Inc. Class A | 322,163 | 6,598 |
| | Heartland Express Inc. | 450,778 | 6,545 |
| | Forward Air Corp. | 240,046 | 6,541 |
| * | II-VI Inc. | 216,459 | 6,414 |
| * | EMCOR Group Inc. | 274,263 | 6,355 |
| * | CoStar Group Inc. | 161,944 | 6,283 |
| | Healthcare Services Group Inc. | 319,473 | 6,054 |
| * | DigitalGlobe Inc. | 224,953 | 5,916 |
| * | Teledyne Technologies Inc. | 149,252 | 5,758 |
| * | Dollar Thrifty Automotive Group Inc. | 133,813 | 5,702 |
| | American Science & Engineering Inc. | 74,502 | 5,678 |
| | ESCO Technologies Inc. | 218,988 | 5,639 |
| * | Advisory Board Co. | 128,645 | 5,527 |
| * | Avis Budget Group Inc. | 549,224 | 5,393 |
| * | DynCorp International Inc. Class A | 302,995 | 5,309 |
| *,^ | A123 Systems Inc. | 558,918 | 5,271 |
| * | Resources Connection Inc. | 384,255 | 5,226 |
| | Knoll Inc. | 388,773 | 5,167 |
| * | GrafTech International Ltd. | 349,510 | 5,110 |
| | Robbins & Myers Inc. | 231,726 | 5,038 |
| | HEICO Corp. | 138,110 | 4,961 |
| | Manitowoc Co. Inc. | 541,311 | 4,948 |
| * | GeoEye Inc. | 157,961 | 4,919 |
| | Allegiant Travel Co. Class A | 115,139 | 4,915 |
| * | Mobile Mini Inc. | 300,400 | 4,891 |
| * | Stanley Inc. | 129,582 | 4,844 |
| | Cubic Corp. | 132,802 | 4,831 |
| | Steelcase Inc. Class A | 616,539 | 4,778 |
| * | SYKES Enterprises Inc. | 333,694 | 4,748 |
| | Tennant Co. | 140,141 | 4,740 |
| | Administaff Inc. | 193,578 | 4,677 |
| * | United Rentals Inc. | 498,334 | 4,645 |
| | Baldor Electric Co. | 128,235 | 4,627 |
| | Badger Meter Inc. | 117,752 | 4,556 |
| | Raven Industries Inc. | 134,300 | 4,527 |
| * | Astec Industries Inc. | 158,679 | 4,400 |
| *,^ | EnerNOC Inc. | 138,990 | 4,370 |
| * | Navigant Consulting Inc. | 414,081 | 4,298 |
| | Interface Inc. Class A | 397,724 | 4,272 |
| | Barnes Group Inc. | 251,386 | 4,120 |
| * | Esterline Technologies Corp. | 86,276 | 4,094 |
| * | TrueBlue Inc. | 364,577 | 4,080 |
| | Mueller Industries Inc. | 155,829 | 3,833 |
| | AZZ Inc. | 102,260 | 3,760 |
| * | Exponent Inc. | 113,110 | 3,701 |
| * | AAR Corp. | 209,518 | 3,507 |
| * | Kforce Inc. | 273,630 | 3,489 |
| | John Bean Technologies Corp. | 228,582 | 3,486 |
| * | USG Corp. | 287,766 | 3,476 |
| * | RBC Bearings Inc. | 116,869 | 3,388 |
| * | ICF International Inc. | 140,025 | 3,351 |
| * | Huron Consulting Group Inc. | 170,398 | 3,307 |
39
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Lindsay Corp. | 103,187 | 3,270 |
| | Heidrick & Struggles International Inc. | 141,233 | 3,223 |
| * | Cornell Cos. Inc. | 117,711 | 3,163 |
| * | Orion Marine Group Inc. | 221,589 | 3,147 |
| | Gorman-Rupp Co. | 124,479 | 3,118 |
| * | Marten Transport Ltd. | 135,774 | 2,821 |
| | Simpson Manufacturing Co. Inc. | 114,433 | 2,809 |
| * | KAR Auction Services Inc. | 224,741 | 2,780 |
| *,^ | Harbin Electric Inc. | 165,692 | 2,759 |
| * | Aerovironment Inc. | 124,720 | 2,710 |
| * | RSC Holdings Inc. | 427,851 | 2,640 |
| * | Korn/Ferry International | 189,322 | 2,632 |
| | Standex International Corp. | 103,149 | 2,615 |
| * | Cenveo Inc. | 466,495 | 2,561 |
| | AAON Inc. | 106,842 | 2,491 |
| | Sun Hydraulics Corp. | 106,133 | 2,490 |
| * | Celadon Group Inc. | 174,001 | 2,460 |
| * | Force Protection Inc. | 584,828 | 2,398 |
| | NACCO Industries Inc. Class A | 26,909 | 2,388 |
| * | Michael Baker Corp. | 66,944 | 2,336 |
| * | SFN Group Inc. | 426,860 | 2,331 |
| * | Polypore International Inc. | 102,125 | 2,322 |
| * | Trex Co. Inc. | 109,370 | 2,197 |
| * | Vicor Corp. | 175,012 | 2,186 |
| * | LB Foster Co. Class A | 84,074 | 2,179 |
| | HEICO Corp. Class A | 78,796 | 2,124 |
| * | Pacer International Inc. | 292,025 | 2,041 |
| * | 3D Systems Corp. | 162,615 | 2,041 |
| * | RailAmerica Inc. | 204,491 | 2,029 |
| * | Saia Inc. | 132,834 | 1,993 |
| * | Team Inc. | 150,534 | 1,964 |
| *,^ | Capstone Turbine Corp. | 1,963,355 | 1,924 |
| * | Taser International Inc. | 492,571 | 1,921 |
| * | Powell Industries Inc. | 67,713 | 1,851 |
| * | GenCorp Inc. | 416,249 | 1,823 |
| | Great Lakes Dredge & Dock Corp. | 302,410 | 1,814 |
| * | Standard Parking Corp. | 114,287 | 1,809 |
| * | Kadant Inc. | 101,486 | 1,768 |
| * | H&E Equipment Services Inc. | 233,543 | 1,749 |
| * | Blount International Inc. | 169,456 | 1,740 |
| | Dynamic Materials Corp. | 107,950 | 1,732 |
| | Kaman Corp. | 75,643 | 1,673 |
| * | CBIZ Inc. | 254,624 | 1,619 |
| * | Innerworkings Inc. | 229,107 | 1,565 |
| | Houston Wire & Cable Co. | 140,467 | 1,524 |
| | Viad Corp. | 86,118 | 1,520 |
| * | Hawaiian Holdings Inc. | 280,293 | 1,449 |
| | Arkansas Best Corp. | 69,458 | 1,441 |
| *,^ | Ener1 Inc. | 406,666 | 1,375 |
| | Bowne & Co. Inc. | 117,908 | 1,323 |
| * | Metalico Inc. | 331,036 | 1,318 |
| * | M&F Worldwide Corp. | 48,611 | 1,317 |
| *,^ | YRC Worldwide Inc. | 8,528,500 | 1,279 |
| * | Genco Shipping & Trading Ltd. | 83,956 | 1,259 |
| * | APAC Customer Services Inc. | 219,642 | 1,252 |
| * | Broadwind Energy Inc. | 443,668 | 1,242 |
| | Tredegar Corp. | 73,975 | 1,207 |
| * | Furmanite Corp. | 292,598 | 1,162 |
| * | Fushi Copperweld Inc. | 138,552 | 1,133 |
| * | Mistras Group Inc. | 99,825 | 1,070 |
| *,^ | FuelCell Energy Inc. | 863,020 | 1,018 |
| * | Energy Recovery Inc. | 249,611 | 998 |
| * | ATC Technology Corp. | 58,987 | 951 |
| * | Titan Machinery Inc. | 72,033 | 946 |
40
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | American Commercial Lines Inc. | 40,128 | 903 |
| * | Fuel Tech Inc. | 142,351 | 900 |
| * | Greenbrier Cos. Inc. | 79,979 | 896 |
| * | Gibraltar Industries Inc. | 79,215 | 800 |
| * | Sauer-Danfoss Inc. | 65,325 | 798 |
| * | ACCO Brands Corp. | 158,475 | 791 |
| * | Columbus McKinnon Corp. | 52,851 | 738 |
| * | Argan Inc. | 62,058 | 647 |
| *,^ | China Fire & Security Group Inc. | 69,597 | 639 |
| *,^ | RINO International Corp. | 46,391 | 580 |
| * | Hill International Inc. | 135,780 | 551 |
| * | Northwest Pipe Co. | 27,354 | 520 |
| | American Woodmark Corp. | 26,770 | 458 |
| * | Patriot Transportation Holding Inc. | 5,304 | 429 |
| *,^ | Valence Technology Inc. | 542,896 | 391 |
| * | Universal Truckload Services Inc. | 18,145 | 253 |
| *,^ | Duoyuan Printing Inc. | 31,770 | 245 |
| | | | 906,072 |
| Information Technology (27.0%) | | |
| * | MICROS Systems Inc. | 660,338 | 21,045 |
| | Solera Holdings Inc. | 579,191 | 20,967 |
| * | Polycom Inc. | 697,606 | 20,782 |
| * | Itron Inc. | 332,926 | 20,581 |
| * | WebMD Health Corp. | 419,717 | 19,487 |
| * | CommScope Inc. | 781,447 | 18,575 |
| * | Atmel Corp. | 3,761,242 | 18,054 |
| * | JDS Uniphase Corp. | 1,817,058 | 17,880 |
| * | Informatica Corp. | 741,493 | 17,707 |
| * | Varian Semiconductor Equipment Associates Inc. | 616,320 | 17,664 |
| * | VistaPrint NV | 359,944 | 17,094 |
| * | TIBCO Software Inc. | 1,380,736 | 16,652 |
| | Jack Henry & Associates Inc. | 665,456 | 15,891 |
| * | QLogic Corp. | 944,262 | 15,694 |
| * | Atheros Communications Inc. | 569,597 | 15,687 |
| | National Instruments Corp. | 487,128 | 15,481 |
| * | Parametric Technology Corp. | 971,195 | 15,219 |
| * | Concur Technologies Inc. | 348,059 | 14,855 |
| * | Gartner Inc. | 636,080 | 14,789 |
| * | Silicon Laboratories Inc. | 361,609 | 14,667 |
| * | Cybersource Corp. | 555,633 | 14,185 |
| *,^ | Rackspace Hosting Inc. | 769,851 | 14,119 |
| * | Riverbed Technology Inc. | 494,411 | 13,656 |
| * | VeriFone Systems Inc. | 703,692 | 13,321 |
| * | GSI Commerce Inc. | 449,129 | 12,935 |
| * | NeuStar Inc. Class A | 617,177 | 12,726 |
| * | Genpact Ltd. | 814,048 | 12,642 |
| * | Cypress Semiconductor Corp. | 1,255,052 | 12,601 |
| | ADTRAN Inc. | 461,069 | 12,573 |
| * | Netlogic Microsystems Inc. | 458,745 | 12,478 |
| * | Zebra Technologies Corp. | 479,697 | 12,170 |
| * | Ariba Inc. | 740,426 | 11,795 |
| *,^ | MercadoLibre Inc. | 219,370 | 11,528 |
| * | Monster Worldwide Inc. | 988,986 | 11,522 |
| | Plantronics Inc. | 399,931 | 11,438 |
| * | Veeco Instruments Inc. | 330,877 | 11,342 |
| * | Sohu.com Inc. | 250,425 | 10,290 |
| * | Anixter International Inc. | 237,651 | 10,124 |
| * | Microsemi Corp. | 687,395 | 10,057 |
| *,^ | Blackboard Inc. | 262,283 | 9,791 |
| * | Ciena Corp. | 767,197 | 9,728 |
| * | Viasat Inc. | 292,153 | 9,513 |
| * | Quest Software Inc. | 526,306 | 9,495 |
| * | Teradyne Inc. | 942,006 | 9,185 |
| * | Acxiom Corp. | 623,160 | 9,154 |
41
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Hittite Microwave Corp. | 200,282 | 8,961 |
| | Sapient Corp. | 882,396 | 8,948 |
| * | Wright Express Corp. | 300,857 | 8,935 |
| * | InterDigital Inc. | 361,010 | 8,913 |
| * | Plexus Corp. | 329,617 | 8,814 |
| * | Cadence Design Systems Inc. | 1,455,751 | 8,429 |
| * | Aruba Networks Inc. | 590,181 | 8,404 |
| * | Rambus Inc. | 479,185 | 8,395 |
| | MAXIMUS Inc. | 144,008 | 8,334 |
| *,^ | Finisar Corp. | 552,952 | 8,239 |
| * | j2 Global Communications Inc. | 374,344 | 8,176 |
| * | Cirrus Logic Inc. | 515,367 | 8,148 |
| * | SuccessFactors Inc. | 387,771 | 8,062 |
| | Blackbaud Inc. | 369,113 | 8,036 |
| * | Mantech International Corp. Class A | 185,481 | 7,896 |
| * | TriQuint Semiconductor Inc. | 1,271,411 | 7,768 |
| * | Digital River Inc. | 320,272 | 7,658 |
| *,^ | Synaptics Inc. | 277,633 | 7,635 |
| * | Cavium Networks Inc. | 289,312 | 7,577 |
| * | CommVault Systems Inc. | 334,958 | 7,537 |
| * | Palm Inc. | 1,319,338 | 7,507 |
| * | ValueClick Inc. | 692,165 | 7,399 |
| | Power Integrations Inc. | 228,263 | 7,349 |
| * | MKS Instruments Inc. | 389,796 | 7,297 |
| * | Vishay Intertechnology Inc. | 936,725 | 7,250 |
| * | SRA International Inc. Class A | 362,530 | 7,131 |
| * | PMC - Sierra Inc. | 947,770 | 7,127 |
| * | Cymer Inc. | 236,349 | 7,100 |
| * | Coherent Inc. | 206,067 | 7,068 |
| * | Blue Coat Systems Inc. | 344,778 | 7,044 |
| | Syntel Inc. | 206,487 | 7,010 |
| * | Comtech Telecommunications Corp. | 233,966 | 7,003 |
| * | Taleo Corp. Class A | 286,076 | 6,949 |
| * | Websense Inc. | 358,602 | 6,778 |
| * | DG FastChannel Inc. | 207,809 | 6,770 |
| * | Cabot Microelectronics Corp. | 195,290 | 6,755 |
| * | TiVo Inc. | 910,675 | 6,721 |
| * | Tessera Technologies Inc. | 415,424 | 6,668 |
| * | Advent Software Inc. | 138,240 | 6,492 |
| * | Acme Packet Inc. | 241,268 | 6,485 |
| * | Unisys Corp. | 350,383 | 6,479 |
| * | AsiaInfo Holdings Inc. | 293,812 | 6,423 |
| * | Ultimate Software Group Inc. | 194,100 | 6,378 |
| * | FEI Co. | 313,871 | 6,186 |
| * | MicroStrategy Inc. Class A | 76,388 | 5,736 |
| * | Applied Micro Circuits Corp. | 544,266 | 5,704 |
| * | L-1 Identity Solutions Inc. | 687,934 | 5,634 |
| * | Checkpoint Systems Inc. | 323,876 | 5,622 |
| * | Netezza Corp. | 403,215 | 5,516 |
| * | Scansource Inc. | 220,330 | 5,493 |
| | Cognex Corp. | 312,143 | 5,487 |
| * | Semtech Corp. | 331,945 | 5,434 |
| * | CSG Systems International Inc. | 295,249 | 5,412 |
| * | Arris Group Inc. | 520,449 | 5,303 |
| * | SonicWALL Inc. | 449,268 | 5,279 |
| * | Compuware Corp. | 659,297 | 5,261 |
| * | DealerTrack Holdings Inc. | 315,333 | 5,187 |
| * | Manhattan Associates Inc. | 187,296 | 5,160 |
| * | Progress Software Corp. | 170,924 | 5,133 |
| * | Rofin-Sinar Technologies Inc. | 241,096 | 5,020 |
| * | Amkor Technology Inc. | 910,669 | 5,018 |
| * | Monolithic Power Systems Inc. | 277,233 | 4,951 |
| * | Euronet Worldwide Inc. | 378,445 | 4,840 |
| * | Volterra Semiconductor Corp. | 208,896 | 4,817 |
42
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | DTS Inc. | 145,126 | 4,770 |
| * | Constant Contact Inc. | 223,178 | 4,760 |
| * | ArcSight Inc. | 209,609 | 4,693 |
| * | Infinera Corp. | 728,325 | 4,683 |
| *,^ | Universal Display Corp. | 258,776 | 4,653 |
| | Heartland Payment Systems Inc. | 310,806 | 4,612 |
| *,^ | OpenTable Inc. | 111,141 | 4,609 |
| * | Diodes Inc. | 289,754 | 4,598 |
| * | Oclaro Inc. | 401,376 | 4,451 |
| *,^ | Ebix Inc. | 281,168 | 4,409 |
| | Pegasystems Inc. | 137,165 | 4,404 |
| *,^ | Rubicon Technology Inc. | 146,734 | 4,371 |
| * | Harmonic Inc. | 796,018 | 4,330 |
| * | Art Technology Group Inc. | 1,262,723 | 4,319 |
| * | SAVVIS Inc. | 292,749 | 4,318 |
| * | Standard Microsystems Corp. | 184,942 | 4,305 |
| * | Net 1 UEPS Technologies Inc. | 319,459 | 4,284 |
| * | Verigy Ltd. | 490,779 | 4,265 |
| * | Intermec Inc. | 408,707 | 4,189 |
| * | SolarWinds Inc. | 251,564 | 4,035 |
| * | Sourcefire Inc. | 211,563 | 4,020 |
| * | Power-One Inc. | 584,292 | 3,944 |
| * | Forrester Research Inc. | 130,176 | 3,939 |
| * | Stratasys Inc. | 159,269 | 3,912 |
| * | STR Holdings Inc. | 205,390 | 3,861 |
| * | International Rectifier Corp. | 205,971 | 3,833 |
| * | Tyler Technologies Inc. | 246,952 | 3,833 |
| * | OSI Systems Inc. | 133,441 | 3,706 |
| * | Cogent Inc. | 408,645 | 3,682 |
| * | ACI Worldwide Inc. | 183,142 | 3,566 |
| *,^ | STEC Inc. | 270,670 | 3,400 |
| * | Netscout Systems Inc. | 238,584 | 3,393 |
| * | Radiant Systems Inc. | 233,876 | 3,382 |
| * | Global Cash Access Holdings Inc. | 466,320 | 3,362 |
| * | Netgear Inc. | 186,232 | 3,322 |
| * | TeleTech Holdings Inc. | 255,742 | 3,297 |
| * | EPIQ Systems Inc. | 254,421 | 3,290 |
| | iGate Corp. | 251,718 | 3,227 |
| * | IPG Photonics Corp. | 208,754 | 3,179 |
| * | Synchronoss Technologies Inc. | 167,384 | 3,175 |
| * | Quantum Corp. | 1,685,421 | 3,169 |
| * | Sanmina-SCI Corp. | 228,378 | 3,108 |
| * | RightNow Technologies Inc. | 197,515 | 3,099 |
| * | Ultratech Inc. | 187,452 | 3,050 |
| * | LoopNet Inc. | 243,174 | 2,998 |
| * | GT Solar International Inc. | 535,181 | 2,997 |
| * | LogMeIn Inc. | 111,947 | 2,936 |
| * | comScore Inc. | 175,402 | 2,889 |
| | NIC Inc. | 444,897 | 2,852 |
| * | Super Micro Computer Inc. | 208,016 | 2,808 |
| * | Entegris Inc. | 703,336 | 2,792 |
| * | Isilon Systems Inc. | 215,103 | 2,762 |
| * | Terremark Worldwide Inc. | 349,724 | 2,731 |
| * | Move Inc. | 1,289,288 | 2,643 |
| * | S1 Corp. | 432,013 | 2,596 |
| * | Ixia | 289,917 | 2,490 |
| * | ATMI Inc. | 169,738 | 2,485 |
| * | Oplink Communications Inc. | 172,839 | 2,477 |
| * | RealNetworks Inc. | 732,852 | 2,418 |
| * | TNS Inc. | 138,201 | 2,410 |
| * | Integrated Device Technology Inc. | 485,068 | 2,401 |
| * | FARO Technologies Inc. | 128,034 | 2,396 |
| * | Smith Micro Software Inc. | 248,432 | 2,363 |
| * | Vocus Inc. | 153,922 | 2,352 |
43
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Internet Capital Group Inc. | 307,130 | 2,334 |
| * | Sonus Networks Inc. | 852,134 | 2,309 |
| * | Anadigics Inc. | 520,526 | 2,269 |
| * | Maxwell Technologies Inc. | 198,101 | 2,258 |
| * | Supertex Inc. | 90,899 | 2,242 |
| * | TTM Technologies Inc. | 234,664 | 2,229 |
| * | Take-Two Interactive Software Inc. | 247,574 | 2,228 |
| * | Compellent Technologies Inc. | 181,838 | 2,204 |
| | Daktronics Inc. | 291,939 | 2,190 |
| * | Sigma Designs Inc. | 218,519 | 2,187 |
| * | Internet Brands Inc. Class A | 211,552 | 2,185 |
| * | 3PAR Inc. | 233,603 | 2,175 |
| | Cass Information Systems Inc. | 62,782 | 2,150 |
| * | FormFactor Inc. | 198,263 | 2,141 |
| * | Multi-Fineline Electronix Inc. | 85,024 | 2,122 |
| * | ExlService Holdings Inc. | 121,087 | 2,079 |
| * | Pericom Semiconductor Corp. | 214,241 | 2,057 |
| * | DivX Inc. | 260,140 | 1,993 |
| * | Intevac Inc. | 185,852 | 1,983 |
| * | NetSuite Inc. | 156,634 | 1,980 |
| * | Hughes Communications Inc. | 81,367 | 1,980 |
| * | Seachange International Inc. | 234,156 | 1,927 |
| * | Kenexa Corp. | 160,185 | 1,922 |
| * | Echelon Corp. | 257,260 | 1,886 |
| * | Kopin Corp. | 554,659 | 1,880 |
| * | ADPT Corp. | 646,908 | 1,870 |
| * | Knot Inc. | 239,865 | 1,866 |
| * | Advanced Energy Industries Inc. | 149,674 | 1,839 |
| * | Fortinet Inc. | 111,282 | 1,829 |
| * | Interactive Intelligence Inc. | 108,519 | 1,783 |
| * | Comverge Inc. | 196,532 | 1,761 |
| * | IXYS Corp. | 195,860 | 1,731 |
| * | Powerwave Technologies Inc. | 1,110,646 | 1,710 |
| * | Monotype Imaging Holdings Inc. | 188,932 | 1,702 |
| *,^ | China Security & Surveillance Technology Inc. | 366,514 | 1,693 |
| * | Double-Take Software Inc. | 157,415 | 1,651 |
| * | DemandTec Inc. | 244,507 | 1,650 |
| * | infoGROUP Inc. | 205,296 | 1,638 |
| * | Digi International Inc. | 197,327 | 1,632 |
| * | Bottomline Technologies Inc. | 124,658 | 1,624 |
| * | Liquidity Services Inc. | 124,997 | 1,620 |
| * | Internap Network Services Corp. | 382,325 | 1,594 |
| *,^ | Energy Conversion Devices Inc. | 383,078 | 1,571 |
| * | Limelight Networks Inc. | 355,359 | 1,560 |
| * | VASCO Data Security International Inc. | 251,089 | 1,549 |
| | Methode Electronics Inc. | 157,626 | 1,535 |
| * | Conexant Systems Inc. | 661,969 | 1,483 |
| * | Novatel Wireless Inc. | 258,302 | 1,483 |
| * | Lattice Semiconductor Corp. | 337,973 | 1,467 |
| * | TeleCommunication Systems Inc. Class A | 353,907 | 1,465 |
| * | Zoran Corp. | 152,909 | 1,459 |
| * | Symyx Technologies Inc. | 290,403 | 1,455 |
| * | NCI Inc. Class A | 61,593 | 1,391 |
| * | Kulicke & Soffa Industries Inc. | 194,307 | 1,364 |
| *,^ | China Information Security Technology Inc. | 251,291 | 1,307 |
| | Micrel Inc. | 128,164 | 1,305 |
| * | Rogers Corp. | 46,244 | 1,284 |
| * | Rudolph Technologies Inc. | 160,605 | 1,213 |
| * | Deltek Inc. | 141,098 | 1,177 |
| * | ShoreTel Inc. | 245,242 | 1,138 |
| *,^ | Echo Global Logistics Inc. | 90,518 | 1,105 |
| * | Perficient Inc. | 122,376 | 1,090 |
| * | Dice Holdings Inc. | 157,502 | 1,090 |
| * | BigBand Networks Inc. | 360,020 | 1,087 |
44
| | | |
| Vanguard® Small-Cap Growth Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Electro Scientific Industries Inc. | 81,255 | 1,086 |
| | Opnet Technologies Inc. | 73,833 | 1,085 |
| * | PROS Holdings Inc. | 161,956 | 1,053 |
| * | Mattson Technology Inc. | 269,967 | 1,023 |
| * | Stamps.com Inc. | 97,868 | 1,003 |
| * | Actel Corp. | 77,056 | 988 |
| * | EMS Technologies Inc. | 64,228 | 965 |
| * | Anaren Inc. | 59,513 | 889 |
| * | Infospace Inc. | 104,653 | 787 |
| * | Silicon Image Inc. | 219,599 | 771 |
| *,^ | Rosetta Stone Inc. | 32,727 | 751 |
| * | Exar Corp. | 108,096 | 749 |
| *,^ | ICx Technologies Inc. | 101,626 | 742 |
| * | FalconStor Software Inc. | 279,283 | 737 |
| * | Advanced Analogic Technologies Inc. | 222,877 | 711 |
| * | Extreme Networks | 247,642 | 669 |
| | Renaissance Learning Inc. | 42,538 | 625 |
| | Bel Fuse Inc. Class B | 37,399 | 617 |
| * | Archipelago Learning Inc. | 52,263 | 597 |
| * | Silicon Graphics International Corp. | 83,678 | 592 |
| *,^ | Evergreen Solar Inc. | 832,394 | 568 |
| * | Opnext Inc. | 264,178 | 436 |
| * | Trident Microsystems Inc. | 296,291 | 421 |
| *,^ | China TransInfo Technology Corp. | 28,027 | 152 |
| | Bel Fuse Inc. Class A | 3,112 | 52 |
| | | | 1,428,733 |
| Materials (3.3%) | | |
| * | Solutia Inc. | 1,006,514 | 13,185 |
| * | WR Grace & Co. | 599,475 | 12,613 |
| * | Allied Nevada Gold Corp. | 520,471 | 10,243 |
| | Royal Gold Inc. | 207,795 | 9,974 |
| | NewMarket Corp. | 107,108 | 9,353 |
| *,^ | Intrepid Potash Inc. | 373,051 | 7,301 |
| | Schnitzer Steel Industries Inc. | 183,918 | 7,210 |
| | Silgan Holdings Inc. | 221,651 | 6,290 |
| * | Calgon Carbon Corp. | 463,705 | 6,139 |
| * | RTI International Metals Inc. | 248,932 | 6,002 |
| | Balchem Corp. | 231,741 | 5,794 |
| | Rock-Tenn Co. Class A | 106,833 | 5,306 |
| * | Hecla Mining Co. | 1,002,452 | 5,233 |
| * | Stillwater Mining Co. | 402,346 | 4,675 |
| | Stepan Co. | 65,854 | 4,506 |
| | Cabot Corp. | 179,970 | 4,339 |
| * | PolyOne Corp. | 498,174 | 4,195 |
| | AMCOL International Corp. | 177,739 | 4,177 |
| * | Georgia Gulf Corp. | 279,182 | 3,724 |
| | Schweitzer-Mauduit International Inc. | 72,063 | 3,636 |
| * | Brush Engineered Materials Inc. | 167,419 | 3,345 |
| * | KapStone Paper and Packaging Corp. | 281,932 | 3,141 |
| | Eagle Materials Inc. | 120,547 | 3,126 |
| | Zep Inc. | 178,889 | 3,120 |
| * | Horsehead Holding Corp. | 361,928 | 2,736 |
| * | Spartech Corp. | 254,132 | 2,605 |
| | Deltic Timber Corp. | 60,183 | 2,516 |
| * | Zoltek Cos. Inc. | 244,614 | 2,072 |
| | Haynes International Inc. | 65,228 | 2,011 |
| * | LSB Industries Inc. | 143,853 | 1,915 |
| * | Boise Inc. | 322,046 | 1,768 |
| * | General Moly Inc. | 515,455 | 1,588 |
| * | Gulf Resources Inc. | 174,202 | 1,496 |
| * | Landec Corp. | 210,372 | 1,239 |
| * | Graphic Packaging Holding Co. | 360,452 | 1,135 |
| *,^ | China Green Agriculture Inc. | 121,970 | 1,095 |
| * | Yongye International Inc. | 148,510 | 1,023 |
45
| | | | | |
| Vanguard® Small-Cap Growth Index Fund | | | | |
| Schedule of Investments | | | | |
| June 30, 2010 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| * | Kraton Performance Polymers Inc. | | | 51,116 | 960 |
| * | Headwaters Inc. | | | 330,095 | 937 |
| * | United States Lime & Minerals Inc. | | | 18,637 | 718 |
| *,^ | China Agritech Inc. | | | 70,066 | 711 |
| | Hawkins Inc. | | | 25,788 | 621 |
| | | | | | 173,773 |
| Telecommunication Services (1.2%) | | | | |
| * | tw telecom inc Class A | | | 1,182,657 | 19,727 |
| * | Leap Wireless International Inc. | | | 513,880 | 6,670 |
| * | AboveNet Inc. | | | 120,214 | 5,672 |
| | Shenandoah Telecommunications Co. | | | 185,863 | 3,297 |
| | Alaska Communications Systems Group Inc. | | | 367,494 | 3,120 |
| * | Neutral Tandem Inc. | | | 264,448 | 2,975 |
| * | Global Crossing Ltd. | | | 274,208 | 2,899 |
| * | Cogent Communications Group Inc. | | | 371,272 | 2,814 |
| * | Cbeyond Inc. | | | 193,707 | 2,421 |
| | USA Mobility Inc. | | | 186,140 | 2,405 |
| * | ICO Global Communications Holdings Ltd. | | | 1,337,780 | 2,154 |
| * | Vonage Holdings Corp. | | | 920,489 | 2,117 |
| * | General Communication Inc. Class A | | | 260,653 | 1,978 |
| * | Premiere Global Services Inc. | | | 306,642 | 1,944 |
| * | PAETEC Holding Corp. | | | 548,146 | 1,869 |
| | Atlantic Tele-Network Inc. | | | 40,883 | 1,689 |
| | | | | | 63,751 |
| Utilities (0.6%) | | | | |
| | ITC Holdings Corp. | | | 415,273 | 21,972 |
| | Ormat Technologies Inc. | | | 169,221 | 4,787 |
| * | Dynegy Inc. Class A | | | 297,512 | 1,146 |
| *,^ | China Natural Gas Inc. | | | 57,261 | 476 |
| | | | | | 28,381 |
| |
| Total Common Stocks (Cost $4,989,240) | | | | 5,298,023 |
| |
| |
| | | Coupon | | | |
| Temporary Cash Investments (2.9%)1 | | | | |
| Money Market Fund (2.9%) | | | | |
| 2,3 | Vanguard Market Liquidity Fund | 0.286% | | 154,067,065 | 154,067 |
| |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value |
| | | | Date | ($000) | ($000) |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 4,5 | Fannie Mae Discount Notes | 0.341% | 3/1/11 | 200 | 200 |
| |
| Total Temporary Cash Investments (Cost $154,266) | | | | 154,267 |
| |
| Total Investments (103.1%) (Cost $5,143,506) | | | | 5,452,290 |
| Other Assets and Liabilities—Net (-3.1%)3 | | | | (162,625) |
| Net Assets (100%) | | | | 5,289,665 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $124,625,000.
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 100.2% and 2.9%, 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 $143,748,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
46
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2010
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
47
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (99.9%)1 | | |
| Consumer Discretionary (11.9%) | | |
| | Tupperware Brands Corp. | 554,365 | 22,091 |
| | Jarden Corp. | 809,570 | 21,753 |
| | RadioShack Corp. | 1,100,906 | 21,479 |
| | Williams-Sonoma Inc. | 840,034 | 20,850 |
| * | Signet Jewelers Ltd. | 751,483 | 20,666 |
| | Service Corp. International | 2,233,204 | 16,526 |
| * | Dana Holding Corp. | 1,225,602 | 12,256 |
| | Jones Apparel Group Inc. | 766,888 | 12,155 |
| * | Rent-A-Center Inc. | 577,689 | 11,704 |
| | Hillenbrand Inc. | 547,166 | 11,704 |
| | Wolverine World Wide Inc. | 435,710 | 10,989 |
| | Dillard's Inc. Class A | 460,277 | 9,896 |
| | Regal Entertainment Group Class A | 743,970 | 9,701 |
| * | Jack in the Box Inc. | 485,802 | 9,449 |
| | Cooper Tire & Rubber Co. | 478,646 | 9,334 |
| | Cracker Barrel Old Country Store Inc. | 200,391 | 9,330 |
| * | Saks Inc. | 1,192,304 | 9,050 |
| * | Iconix Brand Group Inc. | 628,431 | 9,031 |
| | MDC Holdings Inc. | 330,999 | 8,920 |
| * | Collective Brands Inc. | 563,541 | 8,904 |
| * | Jo-Ann Stores Inc. | 223,742 | 8,393 |
| | Phillips-Van Heusen Corp. | 175,734 | 8,131 |
| | Men's Wearhouse Inc. | 436,540 | 8,015 |
| * | Dress Barn Inc. | 334,279 | 7,959 |
| | Regis Corp. | 502,112 | 7,818 |
| | KB Home | 697,302 | 7,670 |
| * | Hanesbrands Inc. | 293,501 | 7,062 |
| * | Skechers U.S.A. Inc. Class A | 192,497 | 7,030 |
| | Scholastic Corp. | 290,479 | 7,006 |
| * | Valassis Communications Inc. | 211,522 | 6,709 |
| * | Carter's Inc. | 255,235 | 6,700 |
| | Bob Evans Farms Inc. | 267,889 | 6,595 |
| | Finish Line Inc. Class A | 466,672 | 6,501 |
| | Meredith Corp. | 206,812 | 6,438 |
| | Cinemark Holdings Inc. | 489,081 | 6,431 |
| * | New York Times Co. Class A | 742,745 | 6,425 |
| | International Speedway Corp. Class A | 245,487 | 6,324 |
| * | Timberland Co. Class A | 379,816 | 6,134 |
| | Ryland Group Inc. | 385,708 | 6,102 |
| | American Greetings Corp. Class A | 318,661 | 5,978 |
| * | Career Education Corp. | 258,698 | 5,955 |
| * | Orient-Express Hotels Ltd. Class A | 798,149 | 5,906 |
| | Brown Shoe Co. Inc. | 377,109 | 5,725 |
| * | Helen of Troy Ltd. | 254,967 | 5,625 |
| | Unifirst Corp. | 127,019 | 5,591 |
| * | Genesco Inc. | 208,775 | 5,493 |
| * | HSN Inc. | 225,713 | 5,417 |
| | Cato Corp. Class A | 243,742 | 5,367 |
| | CKE Restaurants Inc. | 412,313 | 5,166 |
| | Choice Hotels International Inc. | 169,990 | 5,135 |
| * | Group 1 Automotive Inc. | 215,505 | 5,071 |
| *,^ | Cabela's Inc. | 354,710 | 5,016 |
| * | Office Depot Inc. | 1,208,866 | 4,884 |
| * | OfficeMax Inc. | 371,618 | 4,853 |
| | Columbia Sportswear Co. | 103,978 | 4,853 |
| * | Belo Corp. Class A | 797,503 | 4,538 |
| * | Vail Resorts Inc. | 127,630 | 4,456 |
| * | Ruby Tuesday Inc. | 510,195 | 4,337 |
| ^ | Barnes & Noble Inc. | 328,039 | 4,232 |
| * | AnnTaylor Stores Corp. | 258,723 | 4,209 |
| * | Quiksilver Inc. | 1,133,958 | 4,196 |
48
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Boyd Gaming Corp. | 492,104 | 4,178 |
| * | Meritage Homes Corp. | 251,550 | 4,095 |
| * | 99 Cents Only Stores | 275,911 | 4,083 |
| | PEP Boys-Manny Moe & Jack | 460,296 | 4,078 |
| | Stewart Enterprises Inc. Class A | 749,415 | 4,054 |
| | Buckle Inc. | 121,988 | 3,955 |
| | Fred's Inc. Class A | 331,532 | 3,667 |
| | Stage Stores Inc. | 334,469 | 3,572 |
| * | Jakks Pacific Inc. | 245,128 | 3,525 |
| | Harte-Hanks Inc. | 335,093 | 3,502 |
| | Churchill Downs Inc. | 106,204 | 3,483 |
| | Ameristar Casinos Inc. | 227,881 | 3,432 |
| | Callaway Golf Co. | 565,984 | 3,419 |
| | Brunswick Corp. | 271,953 | 3,380 |
| * | La-Z-Boy Inc. | 453,114 | 3,367 |
| * | Pinnacle Entertainment Inc. | 342,986 | 3,245 |
| | Ethan Allen Interiors Inc. | 228,629 | 3,199 |
| | World Wrestling Entertainment Inc. Class A | 203,076 | 3,160 |
| * | RC2 Corp. | 187,881 | 3,027 |
| * | Ascent Media Corp. Class A | 117,829 | 2,976 |
| | NutriSystem Inc. | 122,087 | 2,801 |
| * | Sonic Automotive Inc. Class A | 316,319 | 2,708 |
| * | Asbury Automotive Group Inc. | 254,696 | 2,685 |
| | Superior Industries International Inc. | 198,785 | 2,672 |
| | Oxford Industries Inc. | 123,086 | 2,576 |
| * | Lions Gate Entertainment Corp. | 360,667 | 2,517 |
| * | Beazer Homes USA Inc. | 655,863 | 2,381 |
| | Big 5 Sporting Goods Corp. | 180,580 | 2,373 |
| * | Dorman Products Inc. | 115,428 | 2,347 |
| * | Core-Mark Holding Co. Inc. | 82,906 | 2,272 |
| * | Red Robin Gourmet Burgers Inc. | 130,913 | 2,246 |
| * | Federal-Mogul Corp. | 169,032 | 2,201 |
| * | America's Car-Mart Inc. | 92,954 | 2,104 |
| * | Standard Pacific Corp. | 603,936 | 2,011 |
| * | Biglari Holdings Inc. | 6,993 | 2,006 |
| | Christopher & Banks Corp. | 317,720 | 1,967 |
| * | EW Scripps Co. Class A | 263,798 | 1,965 |
| * | Charming Shoppes Inc. | 510,131 | 1,913 |
| * | DSW Inc. Class A | 84,379 | 1,895 |
| | Speedway Motorsports Inc. | 130,995 | 1,776 |
| * | Drew Industries Inc. | 87,143 | 1,760 |
| | Marcus Corp. | 185,451 | 1,754 |
| | Haverty Furniture Cos. Inc. | 139,016 | 1,709 |
| * | Movado Group Inc. | 158,308 | 1,691 |
| * | Winnebago Industries Inc. | 166,744 | 1,657 |
| * | Landry's Restaurants Inc. | 64,042 | 1,566 |
| * | M/I Homes Inc. | 162,337 | 1,565 |
| * | Unifi Inc. | 398,384 | 1,522 |
| | Weyco Group Inc. | 64,923 | 1,479 |
| * | Select Comfort Corp. | 168,162 | 1,471 |
| * | American Axle & Manufacturing Holdings Inc. | 199,247 | 1,460 |
| * | Journal Communications Inc. Class A | 367,604 | 1,459 |
| * | Domino's Pizza Inc. | 126,088 | 1,425 |
| * | Stein Mart Inc. | 226,561 | 1,411 |
| * | LIN TV Corp. Class A | 254,632 | 1,378 |
| * | Liz Claiborne Inc. | 292,808 | 1,236 |
| | Spartan Motors Inc. | 275,931 | 1,159 |
| | CSS Industries Inc. | 68,451 | 1,129 |
| | Courier Corp. | 89,923 | 1,098 |
| * | Furniture Brands International Inc. | 209,446 | 1,093 |
| * | Modine Manufacturing Co. | 135,711 | 1,042 |
| * | Build-A-Bear Workshop Inc. | 143,794 | 975 |
| * | Pacific Sunwear Of California | 291,863 | 934 |
| * | Kenneth Cole Productions Inc. Class A | 84,459 | 930 |
49
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Ambassadors Group Inc. | 79,022 | 892 |
| * | Smith & Wesson Holding Corp. | 184,769 | 756 |
| * | Borders Group Inc. | 530,236 | 705 |
| *,^ | Brookfield Homes Corp. | 99,910 | 673 |
| * | Leapfrog Enterprises Inc. | 154,740 | 622 |
| * | Hovnanian Enterprises Inc. Class A | 165,324 | 608 |
| *,^ | Conn's Inc. | 79,318 | 466 |
| * | Sealy Corp. | 146,074 | 390 |
| *,^ | Fuqi International Inc. | 51,279 | 349 |
| * | Monarch Casino & Resort Inc. | 29,246 | 296 |
| * | Outdoor Channel Holdings Inc. | 56,606 | 264 |
| * | American Apparel Inc. | 109,866 | 201 |
| * | New York & Co. Inc. | 82,698 | 189 |
| * | Marine Products Corp. | 33,034 | 187 |
| | | | 667,548 |
| Consumer Staples (3.8%) | | |
| | Del Monte Foods Co. | 1,742,271 | 25,071 |
| | Corn Products International Inc. | 660,125 | 20,002 |
| | Nu Skin Enterprises Inc. Class A | 498,535 | 12,428 |
| * | Central European Distribution Corp. | 571,799 | 12,225 |
| | Ruddick Corp. | 364,203 | 11,287 |
| | Lancaster Colony Corp. | 173,506 | 9,258 |
| * | TreeHouse Foods Inc. | 196,237 | 8,960 |
| | Universal Corp. | 215,497 | 8,551 |
| * | Fresh Del Monte Produce Inc. | 391,716 | 7,928 |
| * | Hain Celestial Group Inc. | 358,848 | 7,238 |
| * | BJ's Wholesale Club Inc. | 171,243 | 6,338 |
| | Sanderson Farms Inc. | 124,893 | 6,337 |
| ^ | Vector Group Ltd. | 344,538 | 5,795 |
| | Andersons Inc. | 152,768 | 4,979 |
| * | Chiquita Brands International Inc. | 393,875 | 4,786 |
| * | Winn-Dixie Stores Inc. | 482,938 | 4,655 |
| | WD-40 Co. | 138,375 | 4,622 |
| | B&G Foods Inc. Class A | 416,661 | 4,492 |
| | Nash Finch Co. | 112,841 | 3,855 |
| | Lance Inc. | 225,811 | 3,724 |
| | Pricesmart Inc. | 156,821 | 3,643 |
| *,^ | Dole Food Co. Inc. | 348,355 | 3,633 |
| | Weis Markets Inc. | 106,158 | 3,494 |
| * | Central Garden and Pet Co. Class A | 388,489 | 3,485 |
| * | Elizabeth Arden Inc. | 216,127 | 3,138 |
| * | Prestige Brands Holdings Inc. | 417,567 | 2,956 |
| * | Pantry Inc. | 199,036 | 2,808 |
| | Spartan Stores Inc. | 196,789 | 2,700 |
| | Cal-Maine Foods Inc. | 60,152 | 1,921 |
| | Inter Parfums Inc. | 132,757 | 1,889 |
| | Ingles Markets Inc. Class A | 113,815 | 1,713 |
| | Tootsie Roll Industries Inc. | 62,616 | 1,481 |
| *,^ | American Oriental Bioengineering Inc. | 553,514 | 1,395 |
| * | Central Garden and Pet Co. | 143,046 | 1,360 |
| | Village Super Market Inc. Class A | 48,979 | 1,286 |
| | Calavo Growers Inc. | 62,494 | 1,122 |
| | Farmer Bros Co. | 64,211 | 969 |
| | Alico Inc. | 32,473 | 746 |
| | Coca-Cola Bottling Co. Consolidated | 13,200 | 632 |
| | National Beverage Corp. | 50,776 | 623 |
| * | Susser Holdings Corp. | 37,727 | 445 |
| *,^ | China-Biotics Inc. | 34,020 | 443 |
| *,^ | AgFeed Industries Inc. | 91,119 | 267 |
| | | | 214,680 |
| Energy (4.3%) | | |
| | Southern Union Co. | 981,571 | 21,457 |
| * | SEACOR Holdings Inc. | 188,779 | 13,339 |
| * | Oil States International Inc. | 284,839 | 11,274 |
50
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Berry Petroleum Co. Class A | 425,478 | 10,943 |
| * | Bill Barrett Corp. | 339,849 | 10,457 |
| | Overseas Shipholding Group Inc. | 253,887 | 9,404 |
| * | Unit Corp. | 231,153 | 9,382 |
| * | Swift Energy Co. | 329,828 | 8,876 |
| * | Bristow Group Inc. | 300,090 | 8,823 |
| * | SandRidge Energy Inc. | 1,376,969 | 8,028 |
| | Penn Virginia Corp. | 398,967 | 8,023 |
| | Lufkin Industries Inc. | 169,982 | 6,628 |
| * | Atwood Oceanics Inc. | 254,490 | 6,495 |
| * | Enbridge Energy Management LLC | 127,189 | 6,487 |
| | World Fuel Services Corp. | 247,897 | 6,430 |
| * | Energy XXI Bermuda Ltd. | 378,048 | 5,966 |
| * | Gulfmark Offshore Inc. | 203,236 | 5,325 |
| * | Newpark Resources Inc. | 781,710 | 4,729 |
| | General Maritime Corp. | 780,975 | 4,717 |
| * | USEC Inc. | 989,837 | 4,712 |
| | Frontier Oil Corp. | 322,327 | 4,335 |
| * | Stone Energy Corp. | 383,177 | 4,276 |
| * | Global Industries Ltd. | 900,677 | 4,044 |
| * | Parker Drilling Co. | 1,020,834 | 4,032 |
| * | James River Coal Co. | 241,756 | 3,849 |
| * | Cloud Peak Energy Inc. | 277,039 | 3,674 |
| * | Energy Partners Ltd. | 299,084 | 3,652 |
| * | Petroquest Energy Inc. | 499,228 | 3,375 |
| * | Helix Energy Solutions Group Inc. | 305,316 | 3,288 |
| * | Cal Dive International Inc. | 536,746 | 3,140 |
| * | Hornbeck Offshore Services Inc. | 206,185 | 3,010 |
| * | International Coal Group Inc. | 747,329 | 2,877 |
| | W&T Offshore Inc. | 294,721 | 2,788 |
| | Vaalco Energy Inc. | 495,985 | 2,777 |
| * | CVR Energy Inc. | 340,291 | 2,559 |
| * | Crosstex Energy Inc. | 366,794 | 2,351 |
| * | Petroleum Development Corp. | 84,820 | 2,173 |
| * | Harvest Natural Resources Inc. | 279,139 | 2,057 |
| | Gulf Island Fabrication Inc. | 119,041 | 1,848 |
| * | T-3 Energy Services Inc. | 57,521 | 1,605 |
| *,^ | Oilsands Quest Inc. | 2,541,474 | 1,550 |
| * | PHI Inc. | 109,948 | 1,549 |
| *,^ | Delta Petroleum Corp. | 1,589,033 | 1,367 |
| * | ION Geophysical Corp. | 329,576 | 1,147 |
| * | Pioneer Drilling Co. | 167,410 | 949 |
| * | Willbros Group Inc. | 122,610 | 907 |
| * | Basic Energy Services Inc. | 98,985 | 762 |
| | Delek US Holdings Inc. | 76,929 | 562 |
| * | Approach Resources Inc. | 71,482 | 492 |
| | | | 242,490 |
| Financials (36.3%) | | |
| | Chimera Investment Corp. | 7,246,451 | 26,160 |
| | Essex Property Trust Inc. | 260,753 | 25,434 |
| | Alexandria Real Estate Equities Inc. | 385,410 | 24,423 |
| | Camden Property Trust | 567,230 | 23,171 |
| | First Niagara Financial Group Inc. | 1,836,892 | 23,016 |
| | Senior Housing Properties Trust | 1,119,750 | 22,518 |
| | Arthur J Gallagher & Co. | 900,857 | 21,963 |
| * | AmeriCredit Corp. | 1,176,823 | 21,442 |
| | Ares Capital Corp. | 1,682,415 | 21,081 |
| | Mack-Cali Realty Corp. | 696,132 | 20,696 |
| * | E*Trade Financial Corp. | 1,737,756 | 20,540 |
| | Bank of Hawaii Corp. | 422,041 | 20,406 |
| | BRE Properties Inc. | 550,763 | 20,340 |
| | Corporate Office Properties Trust SBI | 513,216 | 19,379 |
| | Developers Diversified Realty Corp. | 1,865,479 | 18,468 |
| | Valley National Bancorp | 1,342,877 | 18,290 |
51
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | MFA Financial Inc. | 2,468,111 | 18,264 |
| | Hanover Insurance Group Inc. | 416,670 | 18,125 |
| | Highwoods Properties Inc. | 624,832 | 17,345 |
| | Allied World Assurance Co. Holdings Ltd. | 371,621 | 16,864 |
| | StanCorp Financial Group Inc. | 415,176 | 16,831 |
| | Fulton Financial Corp. | 1,744,078 | 16,830 |
| | Waddell & Reed Financial Inc. | 751,791 | 16,449 |
| | Endurance Specialty Holdings Ltd. | 436,055 | 16,365 |
| * | Alleghany Corp. | 55,606 | 16,309 |
| | FirstMerit Corp. | 947,323 | 16,228 |
| | Protective Life Corp. | 752,337 | 16,092 |
| | Washington Federal Inc. | 988,430 | 15,993 |
| | Omega Healthcare Investors Inc. | 795,103 | 15,846 |
| | Synovus Financial Corp. | 6,220,066 | 15,799 |
| | BioMed Realty Trust Inc. | 978,899 | 15,750 |
| | Apollo Investment Corp. | 1,676,578 | 15,642 |
| | National Retail Properties Inc. | 728,890 | 15,627 |
| | Entertainment Properties Trust | 408,585 | 15,555 |
| | Aspen Insurance Holdings Ltd. | 621,020 | 15,364 |
| * | ProAssurance Corp. | 270,631 | 15,361 |
| | East West Bancorp Inc. | 971,386 | 14,814 |
| | Tanger Factory Outlet Centers | 354,042 | 14,650 |
| | Platinum Underwriters Holdings Ltd. | 402,066 | 14,591 |
| | Washington Real Estate Investment Trust | 525,839 | 14,508 |
| | CBL & Associates Properties Inc. | 1,151,601 | 14,326 |
| | CommonWealth REIT | 2,231,640 | 13,858 |
| | Home Properties Inc. | 307,386 | 13,854 |
| | Douglas Emmett Inc. | 962,206 | 13,683 |
| | Westamerica Bancorporation | 257,287 | 13,513 |
| | Prosperity Bancshares Inc. | 388,600 | 13,504 |
| | Kilroy Realty Corp. | 449,143 | 13,353 |
| | Mid-America Apartment Communities Inc. | 256,723 | 13,214 |
| | Apartment Investment & Management Co. | 669,292 | 12,964 |
| | American Campus Communities Inc. | 458,900 | 12,523 |
| | Potlatch Corp. | 350,103 | 12,509 |
| | Erie Indemnity Co. Class A | 270,059 | 12,288 |
| | Brandywine Realty Trust | 1,130,284 | 12,151 |
| | American Capital Ltd. | 2,469,325 | 11,902 |
| | Healthcare Realty Trust Inc. | 539,659 | 11,856 |
| | BancorpSouth Inc. | 660,213 | 11,805 |
| | Iberiabank Corp. | 227,283 | 11,701 |
| | Webster Financial Corp. | 650,426 | 11,669 |
| | Unitrin Inc. | 438,495 | 11,225 |
| | Northwest Bancshares Inc. | 972,935 | 11,160 |
| | Trustmark Corp. | 531,833 | 11,073 |
| | DiamondRock Hospitality Co. | 1,330,003 | 10,933 |
| * | Knight Capital Group Inc. Class A | 788,541 | 10,874 |
| | CapitalSource Inc. | 2,271,837 | 10,814 |
| | Astoria Financial Corp. | 774,502 | 10,657 |
| * | MGIC Investment Corp. | 1,508,485 | 10,393 |
| * | CNO Financial Group Inc. | 2,095,568 | 10,373 |
| | First American Financial Corp. | 817,052 | 10,360 |
| | Delphi Financial Group Inc. | 423,345 | 10,334 |
| | UMB Financial Corp. | 284,710 | 10,124 |
| * | Popular Inc. | 3,654,356 | 9,794 |
| | Post Properties Inc. | 427,183 | 9,710 |
| | Umpqua Holdings Corp. | 839,016 | 9,632 |
| | Redwood Trust Inc. | 649,180 | 9,504 |
| | NewAlliance Bancshares Inc. | 838,423 | 9,399 |
| | Montpelier Re Holdings Ltd. | 622,406 | 9,292 |
| * | PHH Corp. | 481,487 | 9,167 |
| | Glacier Bancorp Inc. | 620,301 | 9,100 |
| | Susquehanna Bancshares Inc. | 1,089,819 | 9,078 |
| | Medical Properties Trust Inc. | 943,398 | 8,906 |
52
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | First Citizens BancShares Inc. | 46,185 | 8,883 |
| | Hatteras Financial Corp. | 318,187 | 8,852 |
| | Wintrust Financial Corp. | 264,945 | 8,833 |
| ^ | United Bankshares Inc. | 362,727 | 8,684 |
| | Hancock Holding Co. | 259,121 | 8,644 |
| | Wilmington Trust Corp. | 776,403 | 8,610 |
| | Radian Group Inc. | 1,169,066 | 8,464 |
| | National Health Investors Inc. | 218,569 | 8,428 |
| | EastGroup Properties Inc. | 235,709 | 8,387 |
| | Sovran Self Storage Inc. | 242,068 | 8,334 |
| | Argo Group International Holdings Ltd. | 272,262 | 8,328 |
| | DCT Industrial Trust Inc. | 1,831,440 | 8,278 |
| | LaSalle Hotel Properties | 394,231 | 8,109 |
| | Colonial Properties Trust | 557,780 | 8,105 |
| | FNB Corp. | 1,004,830 | 8,069 |
| | International Bancshares Corp. | 479,853 | 8,009 |
| | Tower Group Inc. | 371,256 | 7,993 |
| | Old National Bancorp | 766,364 | 7,940 |
| | Whitney Holding Corp. | 847,776 | 7,842 |
| | Alterra Capital Holdings Ltd. | 417,276 | 7,836 |
| | RLI Corp. | 148,746 | 7,811 |
| | MB Financial Inc. | 422,460 | 7,769 |
| | First Midwest Bancorp Inc. | 626,656 | 7,620 |
| | First Financial Bancorp | 501,414 | 7,496 |
| | Franklin Street Properties Corp. | 630,424 | 7,445 |
| | Anworth Mortgage Asset Corp. | 1,026,253 | 7,307 |
| | American Capital Agency Corp. | 273,506 | 7,226 |
| | CVB Financial Corp. | 747,095 | 7,097 |
| | Starwood Property Trust Inc. | 418,232 | 7,089 |
| | First Financial Bankshares Inc. | 146,429 | 7,042 |
| | Selective Insurance Group Inc. | 467,437 | 6,946 |
| | Capstead Mortgage Corp. | 609,188 | 6,738 |
| * | Ocwen Financial Corp. | 658,989 | 6,715 |
| | American National Insurance Co. | 82,477 | 6,678 |
| | National Penn Bancshares Inc. | 1,105,070 | 6,641 |
| | Cathay General Bancorp | 639,046 | 6,601 |
| | Extra Space Storage Inc. | 470,756 | 6,543 |
| | Park National Corp. | 98,097 | 6,380 |
| | Community Bank System Inc. | 288,272 | 6,351 |
| | PS Business Parks Inc. | 111,487 | 6,219 |
| * | Investment Technology Group Inc. | 384,516 | 6,175 |
| | NBT Bancorp Inc. | 301,798 | 6,163 |
| | Columbia Banking System Inc. | 332,609 | 6,073 |
| | Lexington Realty Trust | 982,112 | 5,902 |
| | Acadia Realty Trust | 349,596 | 5,880 |
| | Cash America International Inc. | 168,570 | 5,777 |
| | Investors Real Estate Trust | 646,428 | 5,708 |
| | Equity One Inc. | 363,285 | 5,667 |
| * | Piper Jaffray Cos. | 173,307 | 5,584 |
| | Provident Financial Services Inc. | 473,237 | 5,532 |
| | Employers Holdings Inc. | 374,321 | 5,514 |
| | Pennsylvania Real Estate Investment Trust | 450,516 | 5,505 |
| | U-Store-It Trust | 733,049 | 5,469 |
| * | Strategic Hotels & Resorts Inc. | 1,242,836 | 5,456 |
| | Infinity Property & Casualty Corp. | 117,893 | 5,444 |
| | Prospect Capital Corp. | 558,967 | 5,394 |
| | Inland Real Estate Corp. | 675,817 | 5,352 |
| | BlackRock Kelso Capital Corp. | 536,341 | 5,294 |
| | Horace Mann Educators Corp. | 344,429 | 5,270 |
| | Chemical Financial Corp. | 241,066 | 5,250 |
| * | MBIA Inc. | 935,620 | 5,249 |
| * | Navigators Group Inc. | 126,016 | 5,183 |
| | Nelnet Inc. Class A | 268,817 | 5,183 |
| | Fifth Street Finance Corp. | 468,210 | 5,164 |
53
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Hersha Hospitality Trust | 1,114,402 | 5,037 |
| | American Equity Investment Life Holding Co. | 481,706 | 4,971 |
| | Government Properties Income Trust | 192,395 | 4,910 |
| | Flagstone Reinsurance Holdings SA | 438,704 | 4,747 |
| | LTC Properties Inc. | 194,585 | 4,723 |
| | PacWest Bancorp | 253,384 | 4,639 |
| | Brookline Bancorp Inc. | 518,866 | 4,608 |
| | First Potomac Realty Trust | 318,733 | 4,580 |
| | Home Bancshares Inc. | 198,901 | 4,537 |
| | Artio Global Investors Inc. Class A | 278,390 | 4,382 |
| * | Enstar Group Ltd. | 65,454 | 4,349 |
| | Independent Bank Corp. | 175,168 | 4,323 |
| | Getty Realty Corp. | 192,714 | 4,319 |
| | Bank of the Ozarks Inc. | 118,755 | 4,212 |
| * | Forest City Enterprises Inc. Class A | 370,439 | 4,193 |
| | Compass Diversified Holdings | 311,625 | 4,179 |
| | Safety Insurance Group Inc. | 112,325 | 4,158 |
| | Meadowbrook Insurance Group Inc. | 477,791 | 4,123 |
| * | FelCor Lodging Trust Inc. | 816,906 | 4,076 |
| | SCBT Financial Corp. | 111,811 | 3,938 |
| | United Fire & Casualty Co. | 198,523 | 3,935 |
| | First Commonwealth Financial Corp. | 747,920 | 3,927 |
| | Sterling Bancshares Inc. | 829,104 | 3,905 |
| | City Holding Co. | 139,701 | 3,895 |
| *,^ | PMI Group Inc. | 1,344,007 | 3,884 |
| * | Western Alliance Bancorp | 541,718 | 3,884 |
| | PrivateBancorp Inc. Class A | 346,715 | 3,842 |
| | Boston Private Financial Holdings Inc. | 587,113 | 3,775 |
| | Trustco Bank Corp. NY | 673,351 | 3,771 |
| *,^ | iStar Financial Inc. | 828,209 | 3,694 |
| | Walter Investment Management Corp. | 225,092 | 3,680 |
| | Glimcher Realty Trust | 603,753 | 3,610 |
| | MarketAxess Holdings Inc. | 260,008 | 3,585 |
| * | World Acceptance Corp. | 93,555 | 3,584 |
| * | National Financial Partners Corp. | 363,935 | 3,556 |
| | Oriental Financial Group Inc. | 279,485 | 3,538 |
| | WesBanco Inc. | 209,837 | 3,536 |
| | GFI Group Inc. | 624,277 | 3,483 |
| | Harleysville Group Inc. | 108,985 | 3,382 |
| | Simmons First National Corp. Class A | 127,494 | 3,348 |
| | Universal Health Realty Income Trust | 100,622 | 3,233 |
| | National Western Life Insurance Co. Class A | 20,952 | 3,201 |
| | Flushing Financial Corp. | 259,668 | 3,176 |
| | Dime Community Bancshares | 256,504 | 3,163 |
| | Cypress Sharpridge Investments Inc. | 248,448 | 3,145 |
| | Saul Centers Inc. | 76,974 | 3,127 |
| | Ramco-Gershenson Properties Trust | 308,660 | 3,117 |
| * | United Community Banks Inc. | 785,402 | 3,102 |
| | Maiden Holdings Ltd. | 462,417 | 3,038 |
| | Education Realty Trust Inc. | 497,319 | 2,999 |
| * | Sunstone Hotel Investors Inc. | 301,462 | 2,993 |
| * | Citizens Republic Bancorp Inc. | 3,467,893 | 2,948 |
| * | Ashford Hospitality Trust Inc. | 401,054 | 2,940 |
| | OneBeacon Insurance Group Ltd. Class A | 205,115 | 2,937 |
| * | AMERISAFE Inc. | 165,393 | 2,903 |
| | Cedar Shopping Centers Inc. | 479,330 | 2,886 |
| | Hercules Technology Growth Capital Inc. | 312,303 | 2,876 |
| | Sandy Spring Bancorp Inc. | 202,921 | 2,843 |
| | Community Trust Bancorp Inc. | 113,138 | 2,840 |
| | Tompkins Financial Corp. | 75,013 | 2,832 |
| | Amtrust Financial Services Inc. | 233,995 | 2,817 |
| | Provident New York Bancorp | 309,621 | 2,740 |
| | Cousins Properties Inc. | 406,048 | 2,737 |
| | FBL Financial Group Inc. Class A | 128,514 | 2,699 |
54
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Forestar Group Inc. | 149,440 | 2,684 |
| | American Physicians Capital Inc. | 86,767 | 2,677 |
| | Lakeland Financial Corp. | 133,882 | 2,675 |
| | MVC Capital Inc. | 202,521 | 2,617 |
| | Suffolk Bancorp | 84,478 | 2,614 |
| ^ | TowneBank | 179,550 | 2,607 |
| | SY Bancorp Inc. | 113,256 | 2,603 |
| | StellarOne Corp. | 198,387 | 2,533 |
| | Renasant Corp. | 175,433 | 2,517 |
| * | CNA Surety Corp. | 155,360 | 2,497 |
| | SWS Group Inc. | 256,602 | 2,438 |
| * | Hilltop Holdings Inc. | 243,021 | 2,433 |
| | Southside Bancshares Inc. | 123,855 | 2,432 |
| | Berkshire Hills Bancorp Inc. | 122,451 | 2,385 |
| | First Financial Corp. | 92,133 | 2,378 |
| | Univest Corp. of Pennsylvania | 137,232 | 2,377 |
| | First Busey Corp. | 522,921 | 2,369 |
| * | Pennymac Mortgage Investment Trust | 146,664 | 2,332 |
| | Kite Realty Group Trust | 552,668 | 2,310 |
| * | FPIC Insurance Group Inc. | 89,788 | 2,303 |
| | Capital Southwest Corp. | 26,157 | 2,299 |
| | S&T Bancorp Inc. | 116,298 | 2,298 |
| * | KBW Inc. | 102,798 | 2,204 |
| | Bancfirst Corp. | 60,319 | 2,201 |
| | Bank Mutual Corp. | 386,412 | 2,195 |
| | State Auto Financial Corp. | 140,476 | 2,179 |
| | 1st Source Corp. | 128,643 | 2,177 |
| | Colony Financial Inc. | 128,184 | 2,166 |
| | Northfield Bancorp Inc. | 165,708 | 2,151 |
| * | Phoenix Cos. Inc. | 1,009,156 | 2,129 |
| | Arrow Financial Corp. | 91,520 | 2,114 |
| | CapLease Inc. | 456,485 | 2,104 |
| | Oppenheimer Holdings Inc. Class A | 87,604 | 2,098 |
| | Southwest Bancorp Inc. | 157,527 | 2,094 |
| * | Pebblebrook Hotel Trust | 110,115 | 2,076 |
| | First Community Bancshares Inc. | 141,132 | 2,073 |
| | Washington Trust Bancorp Inc. | 120,342 | 2,051 |
| | Territorial Bancorp Inc. | 107,010 | 2,028 |
| | Westfield Financial Inc. | 242,274 | 2,018 |
| | Republic Bancorp Inc. | 89,807 | 2,012 |
| | Trico Bancshares | 118,436 | 2,005 |
| | Union First Market Bankshares Corp. | 159,979 | 1,961 |
| | Winthrop Realty Trust | 152,970 | 1,960 |
| | Sterling Bancorp | 214,845 | 1,934 |
| | First Bancorp | 132,623 | 1,922 |
| | CoBiz Financial Inc. | 291,013 | 1,918 |
| * | United America Indemnity Ltd. Class A | 257,296 | 1,894 |
| | SeaBright Holdings Inc. | 191,314 | 1,814 |
| | Parkway Properties Inc. | 124,035 | 1,807 |
| | Urstadt Biddle Properties Inc. Class A | 111,990 | 1,806 |
| | WSFS Financial Corp. | 49,948 | 1,795 |
| * | Pinnacle Financial Partners Inc. | 139,637 | 1,794 |
| | Retail Opportunity Investments Corp. | 184,763 | 1,783 |
| | Camden National Corp. | 64,034 | 1,759 |
| | Heartland Financial USA Inc. | 100,980 | 1,745 |
| | United Financial Bancorp Inc. | 127,692 | 1,743 |
| * | Nara Bancorp Inc. | 206,421 | 1,740 |
| * | FBR Capital Markets Corp. | 508,034 | 1,692 |
| * | Citizens Inc. | 251,725 | 1,676 |
| | Home Federal Bancorp Inc. | 132,695 | 1,676 |
| | First Financial Holdings Inc. | 145,824 | 1,670 |
| | Presidential Life Corp. | 182,751 | 1,663 |
| | Lakeland Bancorp Inc. | 189,383 | 1,614 |
| | First Merchants Corp. | 186,322 | 1,580 |
55
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Advance America Cash Advance Centers Inc. | 380,944 | 1,573 |
| | GAMCO Investors Inc. | 42,084 | 1,566 |
| * | First Industrial Realty Trust Inc. | 318,113 | 1,533 |
| | Wilshire Bancorp Inc. | 168,755 | 1,477 |
| | Baldwin & Lyons Inc. | 69,441 | 1,459 |
| | Stewart Information Services Corp. | 160,925 | 1,452 |
| * | Avatar Holdings Inc. | 75,227 | 1,443 |
| * | TradeStation Group Inc. | 213,723 | 1,443 |
| | Great Southern Bancorp Inc. | 70,975 | 1,441 |
| | Abington Bancorp Inc. | 157,870 | 1,377 |
| | NGP Capital Resources Co. | 190,872 | 1,369 |
| | First Mercury Financial Corp. | 128,885 | 1,364 |
| | Sun Communities Inc. | 52,271 | 1,357 |
| | BankFinancial Corp. | 160,639 | 1,335 |
| * | Flagstar Bancorp Inc. | 403,275 | 1,266 |
| | ESSA Bancorp Inc. | 102,852 | 1,266 |
| | MainSource Financial Group Inc. | 168,808 | 1,210 |
| | Kansas City Life Insurance Co. | 40,488 | 1,197 |
| | National Interstate Corp. | 59,647 | 1,182 |
| * | RAIT Financial Trust | 624,325 | 1,167 |
| | Ames National Corp. | 58,368 | 1,140 |
| ^ | Capital City Bank Group Inc. | 90,227 | 1,117 |
| | Evercore Partners Inc. Class A | 46,730 | 1,091 |
| | Donegal Group Inc. Class A | 88,121 | 1,083 |
| | EMC Insurance Group Inc. | 46,279 | 1,015 |
| * | Cardtronics Inc. | 77,212 | 1,001 |
| | CreXus Investment Corp. | 78,083 | 971 |
| * | Meridian Interstate Bancorp Inc. | 88,522 | 965 |
| | Rockville Financial Inc. | 77,775 | 926 |
| * | Penson Worldwide Inc. | 157,377 | 888 |
| ^ | Life Partners Holdings Inc. | 42,550 | 871 |
| | Student Loan Corp. | 35,287 | 850 |
| * | Gleacher & Co. Inc. | 330,119 | 842 |
| * | LaBranche & Co. Inc. | 188,364 | 806 |
| | Citizens & Northern Corp. | 69,494 | 744 |
| * | First Marblehead Corp. | 284,683 | 669 |
| | NorthStar Realty Finance Corp. | 231,899 | 619 |
| | First Financial Northwest Inc. | 149,264 | 591 |
| | Urstadt Biddle Properties Inc. | 41,528 | 580 |
| | South Financial Group Inc. | 1,901,944 | 518 |
| | Consolidated-Tomoka Land Co. | 16,741 | 477 |
| | NASB Financial Inc. | 27,699 | 420 |
| | Roma Financial Corp. | 34,119 | 371 |
| *,^ | First BanCorp | 688,283 | 365 |
| *,^ | Doral Financial Corp. | 109,707 | 268 |
| | Universal Insurance Holdings Inc. | 53,033 | 222 |
| * | Asset Acceptance Capital Corp. | 46,219 | 191 |
| * | Crawford & Co. Class A | 66,490 | 163 |
| | CompuCredit Holdings Corp. | 34,788 | 138 |
| * | Teton Advisors Inc. Class A | 226 | 2 |
| | | | 2,041,524 |
| Health Care (5.9%) | | |
| * | Mednax Inc. | 413,321 | 22,985 |
| | PerkinElmer Inc. | 1,026,376 | 21,215 |
| | Teleflex Inc. | 349,484 | 18,970 |
| * | Health Management Associates Inc. Class A | 2,196,485 | 17,067 |
| | Hill-Rom Holdings Inc. | 552,627 | 16,817 |
| | STERIS Corp. | 519,767 | 16,154 |
| | Cooper Cos. Inc. | 401,900 | 15,992 |
| | Owens & Minor Inc. | 553,224 | 15,701 |
| * | LifePoint Hospitals Inc. | 482,143 | 15,139 |
| * | Magellan Health Services Inc. | 303,610 | 11,027 |
| * | Emergency Medical Services Corp. Class A | 168,983 | 8,285 |
| * | Odyssey HealthCare Inc. | 291,226 | 7,782 |
56
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | AMERIGROUP Corp. | 224,553 | 7,294 |
| * | Healthspring Inc. | 430,099 | 6,671 |
| * | Centene Corp. | 293,204 | 6,304 |
| | Invacare Corp. | 260,660 | 5,406 |
| | Analogic Corp. | 113,104 | 5,147 |
| * | Amsurg Corp. Class A | 271,495 | 4,838 |
| * | Conmed Corp. | 256,334 | 4,776 |
| * | RehabCare Group Inc. | 216,755 | 4,721 |
| * | inVentiv Health Inc. | 173,616 | 4,445 |
| * | Kindred Healthcare Inc. | 343,749 | 4,414 |
| * | Universal American Corp. | 294,393 | 4,239 |
| | Meridian Bioscience Inc. | 232,062 | 3,945 |
| * | Brookdale Senior Living Inc. | 256,990 | 3,855 |
| | Computer Programs & Systems Inc. | 86,601 | 3,544 |
| * | Select Medical Holdings Corp. | 491,597 | 3,333 |
| * | Triple-S Management Corp. Class B | 178,977 | 3,320 |
| | Landauer Inc. | 53,455 | 3,254 |
| * | Angiodynamics Inc. | 213,589 | 3,150 |
| * | Sun Healthcare Group Inc. | 384,541 | 3,107 |
| * | WellCare Health Plans Inc. | 130,046 | 3,087 |
| | PDL BioPharma Inc. | 524,576 | 2,948 |
| * | Greatbatch Inc. | 132,089 | 2,947 |
| * | Molina Healthcare Inc. | 100,979 | 2,908 |
| * | Savient Pharmaceuticals Inc. | 204,517 | 2,577 |
| * | Assisted Living Concepts Inc. Class A | 84,092 | 2,488 |
| * | Affymetrix Inc. | 405,010 | 2,390 |
| * | Gentiva Health Services Inc. | 86,502 | 2,336 |
| | National Healthcare Corp. | 66,154 | 2,280 |
| * | Res-Care Inc. | 233,935 | 2,260 |
| * | AMAG Pharmaceuticals Inc. | 64,817 | 2,227 |
| * | Cross Country Healthcare Inc. | 245,072 | 2,203 |
| * | Immunogen Inc. | 205,206 | 1,902 |
| | Ensign Group Inc. | 100,378 | 1,658 |
| * | Geron Corp. | 300,775 | 1,510 |
| * | Momenta Pharmaceuticals Inc. | 116,657 | 1,430 |
| * | InterMune Inc. | 152,351 | 1,425 |
| * | RTI Biologics Inc. | 481,645 | 1,411 |
| * | AMN Healthcare Services Inc. | 187,428 | 1,402 |
| * | Medcath Corp. | 157,715 | 1,240 |
| * | Skilled Healthcare Group Inc. | 179,557 | 1,219 |
| * | Emeritus Corp. | 72,852 | 1,188 |
| * | Rigel Pharmaceuticals Inc. | 160,132 | 1,153 |
| * | Metabolix Inc. | 76,538 | 1,095 |
| * | OraSure Technologies Inc. | 192,499 | 891 |
| *,^ | Protalix BioTherapeutics Inc. | 137,370 | 839 |
| * | XenoPort Inc. | 84,730 | 831 |
| * | Lexicon Pharmaceuticals Inc. | 648,050 | 830 |
| * | Clinical Data Inc. | 58,807 | 732 |
| * | Opko Health Inc. | 311,921 | 705 |
| *,^ | Cadence Pharmaceuticals Inc. | 81,921 | 574 |
| * | Arqule Inc. | 131,008 | 563 |
| * | Idenix Pharmaceuticals Inc. | 112,641 | 563 |
| * | Kendle International Inc. | 43,577 | 502 |
| * | Akorn Inc. | 167,755 | 498 |
| * | Ligand Pharmaceuticals Inc. Class B | 326,326 | 476 |
| * | Orexigen Therapeutics Inc. | 109,125 | 458 |
| * | Albany Molecular Research Inc. | 69,876 | 361 |
| * | Allos Therapeutics Inc. | 758 | 5 |
| | | | 329,009 |
| Industrials (15.0%) | | |
| * | Continental Airlines Inc. Class B | 1,222,443 | 26,894 |
| * | BE Aerospace Inc. | 853,585 | 21,707 |
| | Snap-On Inc. | 507,704 | 20,770 |
| | Carlisle Cos. Inc. | 528,961 | 19,111 |
57
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Lincoln Electric Holdings Inc. | 374,792 | 19,111 |
| | Timken Co. | 723,985 | 18,816 |
| | Hubbell Inc. Class B | 462,136 | 18,342 |
| | Kennametal Inc. | 716,805 | 18,228 |
| | Regal-Beloit Corp. | 323,704 | 18,056 |
| | Lennox International Inc. | 420,603 | 17,485 |
| | Nordson Corp. | 267,708 | 15,013 |
| | Con-way Inc. | 473,033 | 14,200 |
| * | Alaska Air Group Inc. | 313,309 | 14,083 |
| | Crane Co. | 437,311 | 13,211 |
| | Watsco Inc. | 221,446 | 12,826 |
| * | WESCO International Inc. | 372,759 | 12,551 |
| | Trinity Industries Inc. | 696,152 | 12,336 |
| * | General Cable Corp. | 457,147 | 12,183 |
| * | JetBlue Airways Corp. | 2,179,751 | 11,967 |
| | Curtiss-Wright Corp. | 402,736 | 11,695 |
| * | Moog Inc. Class A | 344,259 | 11,096 |
| | HNI Corp. | 396,406 | 10,937 |
| | GATX Corp. | 405,262 | 10,812 |
| | Alexander & Baldwin Inc. | 360,725 | 10,742 |
| * | Atlas Air Worldwide Holdings Inc. | 225,885 | 10,730 |
| | Brady Corp. Class A | 429,496 | 10,703 |
| | AO Smith Corp. | 221,220 | 10,661 |
| * | GrafTech International Ltd. | 688,867 | 10,071 |
| | Triumph Group Inc. | 146,429 | 9,757 |
| | Kaydon Corp. | 294,808 | 9,687 |
| | Baldor Electric Co. | 252,917 | 9,125 |
| | Belden Inc. | 410,342 | 9,028 |
| | Werner Enterprises Inc. | 411,591 | 9,010 |
| * | EnerSys | 403,111 | 8,615 |
| | Applied Industrial Technologies Inc. | 335,164 | 8,486 |
| | Deluxe Corp. | 450,408 | 8,445 |
| | ABM Industries Inc. | 387,600 | 8,120 |
| * | Esterline Technologies Corp. | 170,212 | 8,077 |
| | Brink's Co. | 420,804 | 8,008 |
| | Briggs & Stratton Corp. | 439,542 | 7,481 |
| | Mine Safety Appliances Co. | 300,331 | 7,442 |
| | Watts Water Technologies Inc. Class A | 259,365 | 7,433 |
| | Granite Construction Inc. | 305,900 | 7,213 |
| * | EMCOR Group Inc. | 290,963 | 6,742 |
| * | Teledyne Technologies Inc. | 158,349 | 6,109 |
| | Otter Tail Corp. | 314,701 | 6,083 |
| | Skywest Inc. | 492,376 | 6,017 |
| | Quanex Building Products Corp. | 332,863 | 5,755 |
| | Simpson Manufacturing Co. Inc. | 225,761 | 5,542 |
| * | Griffon Corp. | 497,640 | 5,504 |
| * | AirTran Holdings Inc. | 1,124,201 | 5,452 |
| * | Armstrong World Industries Inc. | 176,734 | 5,334 |
| | Manitowoc Co. Inc. | 574,474 | 5,251 |
| | Mueller Water Products Inc. Class A | 1,356,637 | 5,033 |
| | Franklin Electric Co. Inc. | 172,882 | 4,982 |
| * | Interline Brands Inc. | 286,146 | 4,947 |
| * | EnPro Industries Inc. | 175,714 | 4,946 |
| | Seaboard Corp. | 3,255 | 4,915 |
| * | Macquarie Infrastructure Co. LLC | 378,195 | 4,837 |
| | Ameron International Corp. | 76,922 | 4,641 |
| | Universal Forest Products Inc. | 152,603 | 4,625 |
| * | Ceradyne Inc. | 212,086 | 4,532 |
| | McGrath Rentcorp | 198,834 | 4,529 |
| * | Argon ST Inc. | 124,521 | 4,270 |
| * | Layne Christensen Co. | 170,619 | 4,141 |
| | Mueller Industries Inc. | 165,353 | 4,068 |
| * | Consolidated Graphics Inc. | 93,297 | 4,034 |
| | Albany International Corp. | 242,542 | 3,927 |
58
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Chart Industries Inc. | 250,358 | 3,901 |
| * | Tutor Perini Corp. | 234,551 | 3,865 |
| | CIRCOR International Inc. | 149,277 | 3,819 |
| * | MasTec Inc. | 400,634 | 3,766 |
| * | USG Corp. | 305,392 | 3,689 |
| | Aircastle Ltd. | 452,467 | 3,552 |
| * | Kelly Services Inc. Class A | 235,109 | 3,496 |
| | Ennis Inc. | 226,671 | 3,402 |
| | G&K Services Inc. Class A | 162,975 | 3,365 |
| | EnergySolutions Inc. | 659,777 | 3,358 |
| * | Amerco Inc. | 60,293 | 3,319 |
| * | Dollar Thrifty Automotive Group Inc. | 76,402 | 3,256 |
| | Kaman Corp. | 147,172 | 3,255 |
| | Comfort Systems USA Inc. | 335,472 | 3,241 |
| | Federal Signal Corp. | 530,030 | 3,201 |
| * | Avis Budget Group Inc. | 313,719 | 3,081 |
| * | Waste Services Inc. | 263,528 | 3,073 |
| | TAL International Group Inc. | 134,598 | 3,024 |
| * | Ladish Co. Inc. | 132,541 | 3,011 |
| * | School Specialty Inc. | 165,319 | 2,987 |
| * | Dycom Industries Inc. | 343,963 | 2,941 |
| | Encore Wire Corp. | 161,606 | 2,940 |
| ^ | Titan International Inc. | 293,747 | 2,929 |
| | Cascade Corp. | 81,451 | 2,901 |
| * | MYR Group Inc. | 173,728 | 2,900 |
| | Arkansas Best Corp. | 136,844 | 2,840 |
| * | Dolan Co. | 252,923 | 2,813 |
| * | Rush Enterprises Inc. Class A | 210,357 | 2,810 |
| * | American Reprographics Co. | 320,360 | 2,797 |
| * | Korn/Ferry International | 200,575 | 2,788 |
| | Apogee Enterprises Inc. | 245,328 | 2,657 |
| | Bowne & Co. Inc. | 228,272 | 2,561 |
| *,^ | Genco Shipping & Trading Ltd. | 162,468 | 2,435 |
| * | Polypore International Inc. | 106,895 | 2,431 |
| | FreightCar America Inc. | 105,455 | 2,385 |
| | Tredegar Corp. | 145,749 | 2,379 |
| | Barnes Group Inc. | 143,966 | 2,360 |
| *,^ | Eagle Bulk Shipping Inc. | 543,642 | 2,294 |
| | US Ecology Inc. | 153,487 | 2,236 |
| * | Colfax Corp. | 209,919 | 2,185 |
| | Applied Signal Technology Inc. | 110,634 | 2,174 |
| * | AAR Corp. | 120,226 | 2,013 |
| | Schawk Inc. Class A | 132,704 | 1,984 |
| * | RBC Bearings Inc. | 67,033 | 1,943 |
| * | ATC Technology Corp. | 114,413 | 1,844 |
| * | Blount International Inc. | 178,290 | 1,831 |
| | CDI Corp. | 117,058 | 1,818 |
| * | CRA International Inc. | 96,287 | 1,813 |
| * | Republic Airways Holdings Inc. | 288,937 | 1,765 |
| * | Sterling Construction Co. Inc. | 130,419 | 1,688 |
| | Viad Corp. | 90,732 | 1,601 |
| | Ampco-Pittsburgh Corp. | 76,658 | 1,597 |
| * | Gibraltar Industries Inc. | 156,072 | 1,576 |
| * | ACCO Brands Corp. | 313,110 | 1,562 |
| * | Pike Electric Corp. | 162,817 | 1,534 |
| | Ducommun Inc. | 87,642 | 1,499 |
| * | Columbus McKinnon Corp. | 104,063 | 1,454 |
| * | M&F Worldwide Corp. | 51,261 | 1,389 |
| | NACCO Industries Inc. Class A | 15,416 | 1,368 |
| * | Tecumseh Products Co. Class A | 119,945 | 1,334 |
| | Aceto Corp. | 223,178 | 1,279 |
| | Kimball International Inc. Class B | 224,544 | 1,242 |
| *,^ | Lihua International Inc. | 138,962 | 1,181 |
| | Horizon Lines Inc. Class A | 254,933 | 1,078 |
59
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Volt Information Sciences Inc. | 126,950 | 1,066 |
| | Great Lakes Dredge & Dock Corp. | 171,997 | 1,032 |
| | American Railcar Industries Inc. | 84,607 | 1,022 |
| * | Northwest Pipe Co. | 52,998 | 1,007 |
| *,^ | SmartHeat Inc. | 173,648 | 992 |
| * | Rush Enterprises Inc. Class B | 81,514 | 950 |
| * | Greenbrier Cos. Inc. | 84,744 | 949 |
| * | American Commercial Lines Inc. | 42,107 | 948 |
| * | CBIZ Inc. | 144,767 | 921 |
| | American Woodmark Corp. | 52,681 | 901 |
| * | Patriot Transportation Holding Inc. | 10,527 | 852 |
| * | Hawaiian Holdings Inc. | 159,367 | 824 |
| *,^ | TBS International PLC Class A | 123,988 | 760 |
| * | Fushi Copperweld Inc. | 78,330 | 641 |
| | Preformed Line Products Co. | 20,789 | 581 |
| * | Titan Machinery Inc. | 41,106 | 540 |
| * | Universal Truckload Services Inc. | 36,618 | 510 |
| * | Sauer-Danfoss Inc. | 37,270 | 455 |
| *,^ | RINO International Corp. | 26,541 | 332 |
| * | Hill International Inc. | 77,954 | 317 |
| | Standard Register Co. | 95,972 | 301 |
| * | Tecumseh Products Co. Class B | 24,109 | 266 |
| * | Duoyuan Printing Inc. | 33,762 | 261 |
| | | | 841,718 |
| Information Technology (8.3%) | | |
| * | Skyworks Solutions Inc. | 1,545,053 | 25,941 |
| * | Novell Inc. | 3,051,522 | 17,333 |
| * | Tech Data Corp. | 447,220 | 15,930 |
| | Diebold Inc. | 582,884 | 15,884 |
| | CoreLogic Inc. | 815,048 | 14,394 |
| | Intersil Corp. Class A | 1,077,881 | 13,053 |
| * | CACI International Inc. Class A | 264,866 | 11,252 |
| * | Convergys Corp. | 1,083,562 | 10,630 |
| * | Compuware Corp. | 1,299,367 | 10,369 |
| * | Omnivision Technologies Inc. | 451,021 | 9,670 |
| * | Fairchild Semiconductor International Inc. Class A | 1,092,802 | 9,190 |
| * | Benchmark Electronics Inc. | 566,028 | 8,972 |
| * | Rambus Inc. | 508,310 | 8,906 |
| | Fair Isaac Corp. | 408,687 | 8,905 |
| * | Lawson Software Inc. | 1,210,516 | 8,837 |
| * | RF Micro Devices Inc. | 2,239,493 | 8,756 |
| * | Mentor Graphics Corp. | 864,190 | 7,648 |
| * | PMC - Sierra Inc. | 1,005,534 | 7,562 |
| * | International Rectifier Corp. | 406,087 | 7,557 |
| | Earthlink Inc. | 944,052 | 7,515 |
| * | JDA Software Group Inc. | 336,919 | 7,405 |
| * | Tekelec | 533,257 | 7,060 |
| * | Emulex Corp. | 712,732 | 6,543 |
| * | ADC Telecommunications Inc. | 853,164 | 6,322 |
| * | Sanmina-SCI Corp. | 450,455 | 6,131 |
| * | Littelfuse Inc. | 191,944 | 6,067 |
| | AVX Corp. | 448,922 | 5,755 |
| * | Arris Group Inc. | 552,255 | 5,627 |
| * | EchoStar Corp. Class A | 293,565 | 5,601 |
| * | Progress Software Corp. | 181,364 | 5,446 |
| * | Insight Enterprises Inc. | 404,066 | 5,318 |
| * | Teradyne Inc. | 537,970 | 5,245 |
| * | SYNNEX Corp. | 197,245 | 5,053 |
| * | Cadence Design Systems Inc. | 832,935 | 4,823 |
| * | Integrated Device Technology Inc. | 948,163 | 4,693 |
| * | Brooks Automation Inc. | 568,002 | 4,391 |
| * | Take-Two Interactive Software Inc. | 483,056 | 4,348 |
| | United Online Inc. | 747,500 | 4,306 |
| | Black Box Corp. | 154,278 | 4,303 |
60
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | MTS Systems Corp. | 145,006 | 4,205 |
| * | Loral Space & Communications Inc. | 98,209 | 4,195 |
| * | Avid Technology Inc. | 329,346 | 4,193 |
| | Park Electrochemical Corp. | 171,419 | 4,184 |
| * | Vishay Intertechnology Inc. | 530,105 | 4,103 |
| * | Brightpoint Inc. | 554,719 | 3,883 |
| * | Epicor Software Corp. | 485,570 | 3,880 |
| * | Electronics for Imaging Inc. | 391,013 | 3,812 |
| * | Semtech Corp. | 189,298 | 3,099 |
| | Sycamore Networks Inc. | 174,448 | 2,899 |
| * | Newport Corp. | 317,817 | 2,879 |
| * | Lattice Semiconductor Corp. | 657,636 | 2,854 |
| * | Zoran Corp. | 297,180 | 2,835 |
| | CTS Corp. | 298,416 | 2,757 |
| * | Kulicke & Soffa Industries Inc. | 377,777 | 2,652 |
| * | THQ Inc. | 594,078 | 2,566 |
| | Micrel Inc. | 248,508 | 2,530 |
| * | Rogers Corp. | 90,454 | 2,512 |
| * | Imation Corp. | 267,403 | 2,457 |
| * | Sonus Networks Inc. | 901,991 | 2,444 |
| * | SMART Modular Technologies WWH Inc. | 408,189 | 2,388 |
| | Cohu Inc. | 196,125 | 2,379 |
| * | ModusLink Global Solutions Inc. | 393,927 | 2,375 |
| * | FormFactor Inc. | 208,229 | 2,249 |
| | BGC Partners Inc. Class A | 437,161 | 2,234 |
| * | Electro Scientific Industries Inc. | 158,159 | 2,113 |
| * | ACI Worldwide Inc. | 105,180 | 2,048 |
| * | Symmetricom Inc. | 384,777 | 1,959 |
| * | Actel Corp. | 150,270 | 1,926 |
| * | Advanced Energy Industries Inc. | 156,524 | 1,924 |
| * | Aviat Networks Inc. | 526,747 | 1,912 |
| * | Netgear Inc. | 106,976 | 1,908 |
| | Electro Rent Corp. | 147,778 | 1,890 |
| * | UTStarcom Inc. | 976,295 | 1,796 |
| * | Bottomline Technologies Inc. | 131,558 | 1,714 |
| * | Ciber Inc. | 583,274 | 1,616 |
| | Methode Electronics Inc. | 165,526 | 1,612 |
| * | Entegris Inc. | 403,917 | 1,604 |
| * | Infospace Inc. | 204,230 | 1,536 |
| * | Silicon Image Inc. | 432,742 | 1,519 |
| * | Exar Corp. | 213,690 | 1,481 |
| *,^ | Rosetta Stone Inc. | 64,397 | 1,479 |
| * | Ness Technologies Inc. | 339,585 | 1,464 |
| * | ATMI Inc. | 97,461 | 1,427 |
| * | Cogo Group Inc. | 223,282 | 1,393 |
| * | TNS Inc. | 79,463 | 1,386 |
| | Agilysys Inc. | 203,901 | 1,364 |
| * | Extreme Networks | 487,912 | 1,317 |
| * | DSP Group Inc. | 202,202 | 1,292 |
| * | TTM Technologies Inc. | 133,587 | 1,269 |
| * | Silicon Graphics International Corp. | 165,797 | 1,174 |
| * | Perficient Inc. | 128,538 | 1,145 |
| | Technitrol Inc. | 346,087 | 1,094 |
| * | ADPT Corp. | 371,255 | 1,073 |
| * | CPI International Inc. | 66,010 | 1,029 |
| * | EMS Technologies Inc. | 67,080 | 1,008 |
| * | Integral Systems Inc. | 152,511 | 968 |
| *,^ | China Security & Surveillance Technology Inc. | 205,520 | 950 |
| * | Anaren Inc. | 62,494 | 934 |
| * | infoGROUP Inc. | 116,216 | 927 |
| | Bel Fuse Inc. Class B | 45,602 | 753 |
| * | TechTarget Inc. | 130,027 | 700 |
| * | Rudolph Technologies Inc. | 90,880 | 686 |
| | Renaissance Learning Inc. | 45,243 | 665 |
61
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | ShoreTel Inc. | 138,934 | 645 |
| | Marchex Inc. Class B | 166,734 | 642 |
| | Opnet Technologies Inc. | 41,705 | 613 |
| *,^ | Evergreen Solar Inc. | 874,603 | 596 |
| * | Mattson Technology Inc. | 154,435 | 585 |
| * | Trident Microsystems Inc. | 315,675 | 448 |
| * | Advanced Analogic Technologies Inc. | 126,075 | 402 |
| *,^ | China TransInfo Technology Corp. | 55,155 | 300 |
| * | Opnext Inc. | 151,394 | 250 |
| | Bel Fuse Inc. Class A | 11,946 | 198 |
| | | | 468,039 |
| Materials (7.3%) | | |
| | Aptargroup Inc. | 596,388 | 22,555 |
| | RPM International Inc. | 1,138,364 | 20,308 |
| | Compass Minerals International Inc. | 287,116 | 20,179 |
| | Packaging Corp. of America | 905,676 | 19,943 |
| | Domtar Corp. | 378,777 | 18,617 |
| | Temple-Inland Inc. | 897,916 | 18,560 |
| | Cytec Industries Inc. | 428,717 | 17,144 |
| | Huntsman Corp. | 1,668,852 | 14,469 |
| | Commercial Metals Co. | 992,342 | 13,119 |
| | Carpenter Technology Corp. | 386,548 | 12,690 |
| | Olin Corp. | 692,207 | 12,522 |
| | AK Steel Holding Corp. | 965,797 | 11,512 |
| * | Coeur d'Alene Mines Corp. | 715,805 | 11,295 |
| | Sensient Technologies Corp. | 430,118 | 11,153 |
| | Royal Gold Inc. | 220,435 | 10,581 |
| | Rock-Tenn Co. Class A | 210,665 | 10,464 |
| * | Rockwood Holdings Inc. | 456,990 | 10,369 |
| | Cabot Corp. | 354,756 | 8,553 |
| | HB Fuller Co. | 428,160 | 8,131 |
| | Minerals Technologies Inc. | 164,812 | 7,835 |
| * | Louisiana-Pacific Corp. | 1,094,861 | 7,325 |
| | Worthington Industries Inc. | 556,789 | 7,160 |
| | Arch Chemicals Inc. | 220,539 | 6,779 |
| | Silgan Holdings Inc. | 235,164 | 6,674 |
| * | OM Group Inc. | 268,943 | 6,417 |
| | Eagle Materials Inc. | 237,742 | 6,165 |
| | Texas Industries Inc. | 207,300 | 6,124 |
| * | Hecla Mining Co. | 1,063,821 | 5,553 |
| * | Clearwater Paper Corp. | 100,813 | 5,521 |
| * | Ferro Corp. | 709,180 | 5,227 |
| | A Schulman Inc. | 274,261 | 5,200 |
| | Innophos Holdings Inc. | 187,232 | 4,883 |
| * | Century Aluminum Co. | 528,712 | 4,669 |
| | Kaiser Aluminum Corp. | 133,593 | 4,632 |
| | PH Glatfelter Co. | 400,628 | 4,347 |
| | Koppers Holdings Inc. | 179,890 | 4,044 |
| | Schweitzer-Mauduit International Inc. | 76,400 | 3,854 |
| * | Buckeye Technologies Inc. | 340,449 | 3,387 |
| | Westlake Chemical Corp. | 173,747 | 3,227 |
| * | Wausau Paper Corp. | 407,723 | 2,760 |
| * | PolyOne Corp. | 285,509 | 2,404 |
| | Neenah Paper Inc. | 128,807 | 2,357 |
| | Myers Industries Inc. | 264,743 | 2,142 |
| * | AM Castle & Co. | 151,626 | 2,106 |
| * | Innospec Inc. | 208,921 | 1,960 |
| | Olympic Steel Inc. | 81,659 | 1,876 |
| | American Vanguard Corp. | 190,469 | 1,510 |
| | Deltic Timber Corp. | 34,455 | 1,440 |
| * | ShengdaTech Inc. | 263,188 | 1,245 |
| ^ | Hawkins Inc. | 50,074 | 1,206 |
| * | Graphic Packaging Holding Co. | 378,768 | 1,193 |
| | Haynes International Inc. | 37,562 | 1,158 |
62
| | | |
| Vanguard® Small-Cap Value Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Yongye International Inc. | 157,382 | 1,084 |
| * | Kraton Performance Polymers Inc. | 54,411 | 1,022 |
| * | Boise Inc. | 182,294 | 1,001 |
| * | Headwaters Inc. | 186,968 | 531 |
| | | | 408,182 |
| Telecommunication Services (0.6%) | | |
| * | Syniverse Holdings Inc. | 609,862 | 12,472 |
| * | Cincinnati Bell Inc. | 1,768,031 | 5,322 |
| | NTELOS Holdings Corp. | 273,307 | 4,701 |
| | Consolidated Communications Holdings Inc. | 208,148 | 3,541 |
| * | Iridium Communications Inc. | 339,172 | 3,405 |
| * | PAETEC Holding Corp. | 575,436 | 1,962 |
| | Atlantic Tele-Network Inc. | 43,655 | 1,803 |
| * | Premiere Global Services Inc. | 174,306 | 1,105 |
| | | | 34,311 |
| Utilities (6.5%) | | |
| | Atmos Energy Corp. | 816,925 | 22,090 |
| | Westar Energy Inc. | 970,727 | 20,977 |
| | Great Plains Energy Inc. | 1,189,915 | 20,252 |
| | Hawaiian Electric Industries Inc. | 814,283 | 18,549 |
| | Piedmont Natural Gas Co. Inc. | 644,983 | 16,318 |
| | Nicor Inc. | 397,700 | 16,107 |
| | Vectren Corp. | 677,736 | 16,035 |
| | WGL Holdings Inc. | 442,152 | 15,046 |
| | Cleco Corp. | 531,825 | 14,046 |
| | IDACORP Inc. | 421,538 | 14,025 |
| | New Jersey Resources Corp. | 364,017 | 12,813 |
| | Portland General Electric Co. | 661,130 | 12,119 |
| * | RRI Energy Inc. | 3,105,516 | 11,770 |
| | Southwest Gas Corp. | 397,548 | 11,728 |
| | South Jersey Industries Inc. | 261,914 | 11,252 |
| | Northwest Natural Gas Co. | 233,250 | 10,163 |
| | Allete Inc. | 278,840 | 9,548 |
| | Unisource Energy Corp. | 315,953 | 9,535 |
| | Avista Corp. | 482,136 | 9,416 |
| | Black Hills Corp. | 325,310 | 9,262 |
| | PNM Resources Inc. | 761,900 | 8,518 |
| | NorthWestern Corp. | 316,464 | 8,291 |
| * | El Paso Electric Co. | 386,140 | 7,472 |
| | MGE Energy Inc. | 203,184 | 7,323 |
| | UIL Holdings Corp. | 263,044 | 6,584 |
| | Empire District Electric Co. | 336,238 | 6,311 |
| | California Water Service Group | 173,248 | 6,185 |
| | Laclede Group Inc. | 185,842 | 6,157 |
| | CH Energy Group Inc. | 138,850 | 5,448 |
| | American States Water Co. | 162,731 | 5,393 |
| | SJW Corp. | 121,796 | 2,855 |
| | Chesapeake Utilities Corp. | 78,736 | 2,472 |
| * | Dynegy Inc. Class A | 583,070 | 2,245 |
| | Middlesex Water Co. | 134,096 | 2,125 |
| | Central Vermont Public Service Corp. | 98,122 | 1,937 |
| | Connecticut Water Service Inc. | 75,313 | 1,583 |
| | Consolidated Water Co. Ltd. | 122,097 | 1,389 |
| *,^ | China Natural Gas Inc. | 60,666 | 505 |
| | | | 363,844 |
| Total Common Stocks (Cost $5,726,734) | | 5,611,345 |
63
| | | | | |
| Vanguard® Small-Cap Value Index Fund | | | | |
| Schedule of Investments | | | | |
| June 30, 2010 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | Coupon | | Shares | ($000) |
| Temporary Cash Investments (0.8%)1 | | | | |
| Money Market Fund (0.8%) | | | | |
| 2,3 | Vanguard Market Liquidity Fund | 0.286% | | 42,903,000 | 42,903 |
| |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 4,5 | Freddie Mac Discount Notes | 0.320% | 9/7/10 | 750 | 749 |
| 4,5 | Freddie Mac Discount Notes | 0.351% | 9/21/10 | 500 | 500 |
| 4,5 | Freddie Mac Discount Notes | 0.361% | 12/16/10 | 150 | 150 |
| | | | | | 1,399 |
| |
| Total Temporary Cash Investments (Cost $44,301) | | | | 44,302 |
| Total Investments (100.7%) (Cost $5,771,035) | | | | 5,655,647 |
| Other Assets and Liabilities—Net (-0.7%)3 | | | | (40,276) |
| Net Assets (100%) | | | | 5,615,371 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $33,988,000.
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 100.1% 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 $37,812,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
5 Securities with a value of $1,399,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
64
© 2010 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 482_082010
 |
| Vanguard U.S. Stock Index Funds |
| Mid-Capitalization Portfolios |
| Semiannual Report |
| June 30, 2010 |
 |
|
|
| Vanguard Extended Market Index Fund |
| Vanguard Mid-Cap Index Fund |
| Vanguard Mid-Cap Growth Index Fund |
| Vanguard Mid-Cap Value Index Fund |
> For the six months ended June 30, 2010, returns for Vanguard’s four U.S. mid-capitalization index funds ranged from about –1% to about –3%.
> Although the four mid-cap index funds posted negative returns, they performed better than the broader U.S. stock market.
> Consumer discretionary stocks were among the strongest performers, while information technology stocks generally were among the worst performers.
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| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 4 |
| Extended Market Index Fund. | 8 |
| Mid-Cap Index Fund. | 26 |
| Mid-Cap Growth Index Fund. | 47 |
| Mid-Cap Value Index Fund. | 60 |
| About Your Fund’s Expenses. | 74 |
| Trustees Approve Advisory Arrangement. | 77 |
| Glossary. | 78 |
Mid-Cap Index Fund
Mid-Cap Growth Index Fund
Mid-Cap Value Index Fund
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
Cover photograph: Veronica Coia.
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| Your Fund’s Total Returns | |
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| Six Months Ended June 30, 2010 | |
| | Total |
| | Returns |
| Vanguard Extended Market Index Fund | |
| Investor Shares | -1.77% |
| Admiral™ Shares | -1.69 |
| Signal® Shares | -1.72 |
| Institutional Shares | -1.69 |
| ETF Shares | |
| Market Price | -1.72 |
| Net Asset Value | -1.72 |
| S&P Completion Index | -1.73 |
| Mid-Cap Core Funds Average | -2.83 |
| Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
| Vanguard Mid-Cap Index Fund | |
| Investor Shares | -2.13% |
| Admiral™ Shares | -2.10 |
| Signal® Shares | -2.08 |
| Institutional Shares | -2.06 |
| ETF Shares | |
| Market Price | -2.16 |
| Net Asset Value | -2.10 |
| MSCI US Mid Cap 450 Index | -2.06 |
| Mid-Cap Core Funds Average | -2.83 |
| Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Admiral Shares are a lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. Signal Shares and Institutional Shares are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides 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.
1
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| Your Fund’s Total Returns | |
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| Six Months Ended June 30, 2010 | |
| | Total |
| | Returns |
| Vanguard Mid-Cap Growth Index Fund | |
| Investor Shares | -3.20% |
| ETF Shares | |
| Market Price | -3.19 |
| Net Asset Value | -3.16 |
| MSCI US Mid Cap Growth Index | -3.10 |
| Mid-Cap Growth Funds Average | -3.17 |
| Mid-Cap Growth Funds Average: Derived from data provided by Lipper Inc. | |
| Vanguard Mid-Cap Value Index Fund | |
| Investor Shares | -1.12% |
| ETF Shares | |
| Market Price | -1.14 |
| Net Asset Value | -1.06 |
| MSCI US Mid Cap Value Index | -1.01 |
| Mid-Cap Value Funds Average | -2.71 |
| Mid-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
Admiral Shares are a lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. Signal Shares and Institutional Shares are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides 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
| | | | |
| Your Fund’s Performance at a Glance | | |
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| December 31, 2009 , Through June 30, 2010 | | | | |
| | | | Distributions Per Share |
| | Starting | Ending | Income | Capital |
| | Share Price | Share Price | Dividends | Gains |
| Vanguard Extended Market Index Fund | | | | |
| Investor Shares | $32.67 | $32.09 | $0.001 | $0.000 |
| Admiral Shares | 32.67 | 32.11 | 0.008 | 0.000 |
| Signal Shares | 28.08 | 27.59 | 0.007 | 0.000 |
| Institutional Shares | 32.68 | 32.12 | 0.008 | 0.000 |
| ETF Shares | 43.09 | 42.34 | 0.011 | 0.000 |
| Vanguard Mid-Cap Index Fund | | | | |
| Investor Shares | $16.36 | $16.01 | $0.002 | $0.000 |
| Admiral Shares | 74.23 | 72.66 | 0.014 | 0.000 |
| Signal Shares | 23.43 | 22.94 | 0.004 | 0.000 |
| Institutional Shares | 16.40 | 16.06 | 0.003 | 0.000 |
| ETF Shares | 59.97 | 58.70 | 0.010 | 0.000 |
| Vanguard Mid-Cap Growth Index Fund | | | | |
| Investor Shares | $19.05 | $18.44 | $0.000 | $0.000 |
| ETF Shares | 48.45 | 46.92 | 0.000 | 0.000 |
| Vanguard Mid-Cap Value Index Fund | | | | |
| Investor Shares | $17.45 | $17.25 | $0.005 | $0.000 |
| ETF Shares | 44.31 | 43.83 | 0.012 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
For the first half of 2010, Vanguard’s four U.S. mid-capitalization index funds experienced their weakest six-month stretch since the stock market rally began in spring 2009. The mid-cap index funds’ returns ranged from about –1% for Vanguard Mid-Cap Value Index Fund to about –3% for Vanguard Mid-Cap Growth Index Fund. Vanguard Extended Market Index Fund and Vanguard Mid-Cap Index Fund, both of which hold a combination of growth and value stocks, fell in between, with returns of about –2%.
All four of the mid-cap index funds met their primary objective of closely tracking their indexes. The return of Vanguard Mid-Cap Growth Index Fund was in line with that of its peer group; the other three funds modestly outperformed the average returns of their respective peer groups.
Sovereign debt worries pulled down stock returns
After pulling back a bit in January from 2009’s strong gains, stocks rose steadily as winter turned to spring. Rapid growth in corporate earnings and optimism about the strength of the economic recovery were dominant themes. But in May, the scope of Europe’s fiscal challenges became clearer, and stock prices retreated sharply. For the full six months, U.S. stocks returned about –6%. Small-capitalization stocks, representing companies less exposed to global turmoil than large-cap multinationals, lost less ground than larger stocks.
4
International stocks also posted negative six-month returns. For U.S.-based investors, a strengthening U.S. dollar further reduced the returns from non-U.S. stocks, particularly in Europe, where the euro fell noticeably in value.
Bonds continued to show strength as investors looked for safer assets
With the economic recovery appearing to decelerate and inflation remaining dormant, bonds stayed in favor throughout the period. As worries persisted about possible fallout from Europe’s sovereign debt problems, many investors sought safety in U.S. Treasuries. Higher-quality corporate bonds also performed well as earnings reports indicated that company balance sheets remained in good shape.
Municipal bonds, with their history of low default rates, also held their ground despite ongoing concerns about deficits confronting many state and local governments. In this risk-averse environment, lower-rated, higher-risk corporate bonds lagged a bit. For the full six months, the broad taxable market returned more than 5%; municipal securities returned more than 3%.
Value stocks suffered least from uncertainty in the market
Although all four mid-cap index funds performed better than the broad U.S. market index, their six-month results were nonetheless negative. In a volatile market environment, the Mid-Cap Value Index held up slightly better than the other
| | | |
| Market Barometer | | | |
| |
| | | | Total Returns |
| | | Periods Ended June 30, 2010 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | -6.40% | 15.24% | -0.56% |
| Russell 2000 Index (Small-caps) | -1.95 | 21.48 | 0.37 |
| Dow Jones U.S. Total Stock Market Index | -5.67 | 16.20 | -0.08 |
| MSCI All Country World Index ex USA (International) | -10.80 | 10.87 | 3.84 |
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| Bonds | | | |
| Barclays Capital U.S. Aggregate Bond Index (Broad | | | |
| taxable market) | 5.33% | 9.50% | 5.54% |
| Barclays Capital Municipal Bond Index | 3.31 | 9.61 | 4.40 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.12 | 2.63 |
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| CPI | | | |
| Consumer Price Index | 0.93% | 1.05% | 2.30% |
5
mid-cap funds as investors seeking more stability gravitated toward value stocks—attractively priced companies with solid fundamentals and a potential for dividends.
The Mid-Cap Value Index Fund benefited most from its investments in the financial and consumer discretionary sectors. Financials, which make up the largest sector of the fund and its benchmark index and represent large slices of the Mid-Cap Index and Extended Market Index Funds, were powered by strong returns from commercial banks, insurance companies, and real estate investment trusts (REITs). Consumer discretionary stocks, among the top-performing sectors in the first half of the year, helped all four mid-cap funds buffer losses in other sectors. Consumer confidence early in the year buoyed the stocks of restaurants, hotels, specialty retail stores, and children’s toy makers.
The Mid-Cap Value Index Fund’s weakest-performing sector—information technology—also was the biggest drag on the returns of the other mid-cap indexes. The tech sector, the largest component of the Mid-Cap Growth Index (23% of assets, on average), took a significant hit near the end of the six-month period. IT stocks suffered in part from increasing concern over the economic rebound; companies tend to delay tech spending in uncertain times.
| | | | | | |
| Expense Ratios | | | | | | |
| Your Fund Compared With Its Peer Group | | | | | | |
| | | | | | | Peer |
| | Investor | Admiral | Signal | Institutional | ETF | Group |
| | Shares | Shares | Shares | Shares | Shares | Average |
| Extended Market Index Fund | 0.30% | 0.13% | 0.13% | 0.08% | 0.13% | 1.32% |
| Mid-Cap Index Fund | 0.27 | 0.14 | 0.14 | 0.08 | 0.14 | 1.32 |
| Mid-Cap Growth Index Fund | 0.30 | — | — | — | 0.14 | 1.47 |
| Mid-Cap Value Index Fund | 0.30 | — | — | — | 0.14 | 1.42 |
The fund expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the funds’ net assets as of the prospectus date. For the six months ended June 30, 2010, the funds’ annualized expense ratios were: for the Extended Market Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; for the Mid-Cap Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% 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; and for the Mid-Cap Value Index Fund, 0.26% 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 2009.
Peer groups: For the Extended Market and Mid-Cap Index Funds, Mid-Cap Core Funds; for the Mid-Cap Growth Index Fund, Mid-Cap Growth Funds; and for the Mid-Cap Value Index Fund, Mid-Cap Value Funds.
6
Compared with the Mid-Cap Value Index Fund, returns for the Mid-Cap Index, the Extended Market Index, and the Mid-Cap Growth Index Funds were lower, in part because of their varying levels of investment in the energy, industrial, and materials sectors. Oil and gas company stocks were sluggish amid weak crude oil prices and the prospect of tougher energy regulations in the wake of the BP disaster in the Gulf of Mexico. The industrial sector suffered from weak demand for construction and engineering services as well as those related to job placement. Materials stocks, including chemical companies and metal and mining businesses, also did poorly.
Because the Extended Market Index Fund is heavily weighted with mid-cap holdings, its return was similar to that of the Mid-Cap Index Fund. However, the Extended Market Index Fund’s broader mandate also encompasses small-cap companies, which nudged the fund’s return higher.
Throughout the half-year, the funds’ advisor, Vanguard Quantitative Equity Group, relied on its skilled portfolio management and sophisticated risk-control and trading systems to deliver market-tracking results.
Diversification is key in volatile markets
The stock market’s sudden and steep decline during the past six months took many investors by surprise.
Yet the unpredictable movement of the stock market should not shock you, nor should it necessarily affect your investment strategy.
Nobody can predict how the markets will perform for the remainder of the year. What you can control is your reaction to the market’s shifts. Vanguard encourages you to maintain a balanced portfolio of stock, bond, and money market funds that is consistent with your long-term goals, time horizon, and tolerance for the market’s unavoidable peaks and valleys.
While it is impossible to completely shield yourself from gyrations in the market, you can protect your assets from the brunt of such wild market swings by diversifying your portfolio among, and within, different asset classes.
Vanguard’s mid-cap index funds can play a valuable role in such a balanced portfolio. They offer broad diversification and a low-cost way to gain exposure to mid-cap companies in the U.S. stock market.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 12, 2010
7
| | | | | |
| Extended Market Index Fund | | | | |
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| Fund Profile | | | | | |
| As of June 30, 2010 | | | | | |
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| Share-Class Characteristics | | | | | |
| | Investor | Admiral | Signal | Institutional | ETF |
| | Shares | Shares | Shares | Shares | Shares |
| Ticker Symbol | VEXMX | VEXAX | VEMSX | VIEIX | VXF |
| Expense Ratio1 | 0.30% | 0.13% | 0.13% | 0.08% | 0.13% |
| 30-Day SEC Yield | 1.12% | 1.26% | 1.26% | 1.30% | 1.26% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | S&P | U.S. Total |
| | | Completion | Market |
| | Fund | Index | Index |
| Number of Stocks | 3,075 | 3,459 | 4,114 |
| Median Market Cap | $1.9B | $1.9B | $25.2B |
| Price/Earnings Ratio | 26.7x | 26.6x | 17.6x |
| Price/Book Ratio | 1.8x | 1.8x | 1.9x |
| Return on Equity | 11.4% | 11.5% | 19.1% |
| Earnings Growth Rate | 5.7% | 5.7% | 6.6% |
| Dividend Yield | 1.2% | 1.2% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 10% | — | — |
| Short-Term Reserves | 0.0% | — | — |
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| Volatility Measures | | | |
| | | | DJ |
| | | S&P | U.S. Total |
| | Completion | Market |
| | | Index | Index |
| R-Squared | | 1.00 | 0.95 |
| Beta | | 1.00 | 1.18 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
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| Ten Largest Holdings (% of total net assets) |
| Delta Air Lines Inc. | Airlines | 0.4% |
| Crown Castle | Wireless | |
| International Corp. | Telecommunication | |
| | Services | 0.4 |
| Bunge Ltd. | Agricultural | |
| | Products | 0.3 |
| Las Vegas Sands Corp. | Casinos & Gaming | 0.3 |
| Liberty Global Inc. | Cable & Satellite | 0.3 |
| Ultra Petroleum Corp. | Oil & Gas | |
| | Exploration & | |
| | Production | 0.3 |
| Vertex Pharmaceuticals | Biotechnology | |
| Inc. | | 0.3 |
| New York Community | Thrifts & Mortgage | |
| Bancorp Inc. | Finance | 0.3 |
| Newfield Exploration Co. | Oil & Gas | |
| | Exploration & | |
| | Production | 0.3 |
| Cree Inc. | Semiconductors | 0.3 |
| Top Ten | | 3.2% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares.
8
Extended Market Index Fund
Sector Diversification (% of equity exposure)
| | | |
| | | | DJ |
| | | S&P | U.S. Total |
| | | Completion | Market |
| | Fund | Index | Index |
| Consumer | | | |
| Discretionary | 13.9% | 13.8% | 11.4% |
| Consumer Staples | 3.6 | 3.6 | 10.4 |
| Energy | 6.6 | 6.6 | 9.4 |
| Financials | 20.3 | 20.2 | 17.5 |
| Health Care | 12.9 | 12.8 | 11.7 |
| Industrials | 15.1 | 15.1 | 10.8 |
| Information | | | |
| Technology | 15.7 | 15.6 | 18.7 |
| Materials | 5.8 | 5.8 | 3.9 |
| Telecommunication | | | |
| Services | 1.9 | 1.9 | 2.7 |
| Utilities | 4.2 | 4.6 | 3.5 |
Investment Focus
9
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.
Fiscal-Year Total Returns (%): December 31, 1999, Through June 30, 2010
| | | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | | |
| |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Investor Shares | 12/21/1987 | 23.67% | 1.29% | 1.52% |
| Admiral Shares | 11/13/2000 | 23.88 | 1.45 | 3.041 |
| Signal Shares | 9/1/2006 | 23.88 | — | -1.381 |
| Institutional Shares | 7/7/1997 | 23.92 | 1.48 | 1.69 |
| ETF Shares | 12/27/2001 | | | |
| Market Price | | 23.94 | 1.45 | 5.161 |
| Net Asset Value | | 23.87 | 1.46 | 5.161 |
1 Return since inception.
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
10
Extended Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2010
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount wi thin each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exc hange 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 46;s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SE C’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 | | | |
| * Las Vegas Sands Corp. | 1,936,204 | 42,868 | 0.3% |
| Cablevision Systems Corp. Class A | 1,564,093 | 37,554 | 0.3% |
| * Dollar Tree Inc. | 793,803 | 33,046 | 0.3% |
| * Liberty Global Inc. | 1,222,080 | 31,762 | 0.2% |
| * NetFlix Inc. | 257,593 | 27,987 | 0.2% |
| * BorgWarner Inc. | 734,440 | 27,424 | 0.2% |
| Advance Auto Parts Inc. | 545,368 | 27,367 | 0.2% |
| * Chipotle Mexican Grill Inc. Class A | 196,327 | 26,860 | 0.2% |
| Consumer Discretionary—Other † | | 1,535,834 | 11.9% |
| | | 1,790,702 | 13.8% |
| Consumer Staples | | | |
| Bunge Ltd. | 899,385 | 44,241 | 0.3% |
| Church & Dwight Co. Inc. | 442,247 | 27,733 | 0.2% |
| Consumer Staples—Other † | | 396,282 | 3.1% |
| | | 468,256 | 3.6% |
| Energy | | | |
| * Ultra Petroleum Corp. | 949,535 | 42,017 | 0.3% |
| * Newfield Exploration Co. | 832,205 | 40,662 | 0.3% |
| Cimarex Energy Co. | 523,348 | 37,461 | 0.3% |
| * Petrohawk Energy Corp. | 1,885,040 | 31,989 | 0.3% |
| * Concho Resources Inc. | 508,401 | 28,130 | 0.2% |
| * Alpha Natural Resources Inc. | 754,864 | 25,567 | 0.2% |
| Energy—Other † | | 641,607 | 5.0% |
| | | 847,433 | 6.6% |
| Financials | | | |
| New York Community Bancorp Inc. | 2,716,612 | 41,483 | 0.3% |
| BlackRock Inc. | 227,420 | 32,612 | 0.3% |
| Macerich Co. | 809,441 | 30,208 | 0.3% |
| Digital Realty Trust Inc. | 487,732 | 28,132 | 0.2% |
11
| | | |
| Extended Market Index Fund | | | |
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| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| Federal Realty Investment Trust | 382,753 | 26,896 | 0.2% |
| SL Green Realty Corp. | 486,435 | 26,773 | 0.2% |
| Nationwide Health Properties Inc. | 747,393 | 26,734 | 0.2% |
| Everest Re Group Ltd. | 367,669 | 26,002 | 0.2% |
| Financials—Other † | | 2,367,837 | 18.3% |
| | | 2,606,677 | 20.2% |
| Health Care | | | |
| * Vertex Pharmaceuticals Inc. | 1,261,474 | 41,502 | 0.3% |
| * Edwards Lifesciences Corp. | 706,996 | 39,606 | 0.3% |
| * Illumina Inc. | 759,867 | 33,077 | 0.3% |
| * Henry Schein Inc. | 570,082 | 31,298 | 0.3% |
| Perrigo Co. | 501,888 | 29,647 | 0.2% |
| * ResMed Inc. | 473,056 | 28,767 | 0.2% |
| * Alexion Pharmaceuticals Inc. | 558,957 | 28,613 | 0.2% |
| * Dendreon Corp. | 837,533 | 27,077 | 0.2% |
| * Human Genome Sciences Inc. | 1,168,757 | 26,484 | 0.2% |
| Beckman Coulter Inc. | 437,428 | 26,373 | 0.2% |
| Health Care—Other † | | 1,344,123 | 10.4% |
| | | 1,656,567 | 12.8% |
| Industrials | | | |
| * Delta Air Lines Inc. | 4,927,262 | 57,895 | 0.4% |
| Joy Global Inc. | 643,685 | 32,242 | 0.3% |
| * McDermott International Inc. | 1,441,889 | 31,231 | 0.2% |
| AMETEK Inc. | 663,542 | 26,641 | 0.2% |
| Industrials—Other † | | 1,798,744 | 13.9% |
| | | 1,946,753 | 15.0% |
| Information Technology | | | |
| * Cree Inc. | 670,581 | 40,255 | 0.3% |
| Activision Blizzard Inc. | 3,413,269 | 35,805 | 0.3% |
| * Sybase Inc. | 541,893 | 35,039 | 0.3% |
| * F5 Networks Inc. | 500,036 | 34,287 | 0.3% |
| Maxim Integrated Products Inc. | 1,886,241 | 31,557 | 0.2% |
| * Lam Research Corp. | 789,426 | 30,046 | 0.2% |
| * VMware Inc. Class A | 407,608 | 25,512 | 0.2% |
| Information Technology—Other † | | 1,785,465 | 13.8% |
| | | 2,017,966 | 15.6% |
| Materials | | | |
| Mosaic Co. | 1,000,374 | 38,995 | 0.3% |
| Lubrizol Corp. | 425,552 | 34,176 | 0.3% |
| Materials—Other † | | 677,122 | 5.2% |
| | | 750,293 | 5.8% |
| Telecommunication Services | | | |
| * Crown Castle International Corp. | 1,538,753 | 57,334 | 0.4% |
| * NII Holdings Inc. | 1,043,618 | 33,938 | 0.3% |
| Telecommunication Services—Other † | | 160,297 | 1.2% |
| | | 251,569 | 1.9% |
| Utilities | | | |
| * Calpine Corp. | 2,161,664 | 27,496 | 0.2% |
| Utilities—Other † | | 511,556 | 4.0% |
| | | 539,052 | 4.2% |
| Total Common Stocks (Cost $12,948,210) | | 12,875,268 | 99.5%1 |
12
| | | | |
| 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 | 0.286% | 252,199,278 | 252,199 | 2.0% |
| |
| 4U.S. Government and Agency Obligations † | | | 2,993 | 0.0% |
| Total Temporary Cash Investments (Cost $255,193) | | | 255,192 | 2.0%1 |
| 5Total Investments (Cost $13,203,403) | | | 13,130,460 | 101.5% |
| Other Assets and Liabilities | | | | |
| Other Assets | | | 167,626 | 1.3% |
| Liabilities3 | | | (360,993) | (2.8%) |
| | | | (193,367) | (1.5%) |
| Net Assets | | | 12,937,093 | 100.0% |
| |
| |
| At June 30, 2010, net assets consisted of: | | | | |
| | | | | Amount |
| | | | | ($000) |
| Paid-in Capital | | | | 14,804,886 |
| Undistributed Net Investment Income | | | | 41,500 |
| Accumulated Net Realized Losses | | | | (1,834,810) |
| Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities | | | | (72,943) |
| Futures Contracts | | | | (1,540) |
| Net Assets | | | | 12,937,093 |
13
| |
| Extended Market Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| Investor Shares—Net Assets | |
| Applicable to 132,743,730 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 4,259,691 |
| Net Asset Value Per Share—Investor Shares | $32.09 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 72,659,539 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 2,333,017 |
| Net Asset Value Per Share—Admiral Shares | $32.11 |
| |
| Signal Shares—Net Assets | |
| Applicable to 50,549,409 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,394,868 |
| Net Asset Value Per Share—Signal Shares | $27.59 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 128,557,839 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 4,129,417 |
| Net Asset Value Per Share—Institutional Shares | $32.12 |
| |
| ETF Shares—Net Assets | |
| Applicable to 19,368,927 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 820,100 |
| Net Asset Value Per Share—ETF Shares | $42.34 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 1.5%, 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 $194,629,000 of collateral received for securities on loan.
4 Securities with a value of $2,993,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $165,205,000.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
14
| |
| Extended Market Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 66,421 |
| Interest1 | 78 |
| Security Lending | 8,451 |
| Total Income | 74,950 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 417 |
| Management and Administrati ve—Investor Shares | 5,163 |
| Management and Administrati ve—Admiral Shares | 1,123 |
| Management and Administrati ve—Signal Shares | 661 |
| Management and Administrati ve—Institutional Shares | 867 |
| Management and Administrati ve—ETF Shares | 336 |
| Marketing and Distribution& #151;Investor Shares | 508 |
| Marketing and Distribution& #151;Admiral Shares | 201 |
| Marketing and Distribution& #151;Signal Shares | 223 |
| Marketing and Distribution& #151;Institutional Shares | 504 |
| Marketing and Distribution& #151;ETF Shares | 119 |
| Custodian Fees | 173 |
| Shareholders’ Reports—Investor Shares | 19 |
| Shareholders’ Reports—Admiral Shares | 1 |
| Shareholders’ Reports—Signal Shares | 7 |
| Shareholders’ Reports—Institutional Shares | 24 |
| Shareholders’ Reports—ETF Shares | 24 |
| Trustees’ Fees and Expenses | 11 |
| Total Expenses | 10,381 |
| Net Investment Income | 64,569 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 39,510 |
| Futures Contracts | (1,416) |
| Realized Net Gain (Loss) | 38,094 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (363,300) |
| Futures Contracts | (3,226) |
| Change in Unrealized Appreciation (Depreciation) | (366,526) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (263,863) |
1 Interest income from an affiliated company of the fund was $71,000.
See accompanying Notes, which are an integral part of the Financial Statements.
15
| | |
| Extended Market Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 64,569 | 131,857 |
| Realized Net Gain (Loss) | 38,094 | 97,363 |
| Change in Unrealized Appreciation (Depreciation) | (366,526) | 3,233,526 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (263,863) | 3,462,746 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (131) | (42,559) |
| Admiral Shares | (571) | (26,111) |
| Signal Shares | (419) | (18,811) |
| Institutional Shares | (878) | (40,612) |
| ETF Shares | (208) | (8,825) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (2,207) | (136,918) |
| Capital Share Transactions | | |
| Investor Shares | 36,885 | 109,190 |
| Admiral Shares | 79,156 | 9,913 |
| Signal Shares | (264,728) | (12,766) |
| Institutional Shares | 753,717 | 101,830 |
| ETF Shares | 52,224 | 70,227 |
| Net Increase (Decrease) from Capital Share Transactions | 657,254 | 278,394 |
| Total Increase (Decrease) | 391,184 | 3,604,222 |
| Net Assets | | |
| Beginning of Period | 12,545,909 | 8,941,687 |
| End of Period1 | 12,937,093 | 12,545,909 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $41,500,000 and ($20,862,000).
See accompanying Notes, which are an integral part of the Financial Statements.
16
| | | | | | |
| Extended Market Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Investor Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $32.67 | $24.01 | $39.89 | $38.68 | $34.26 | $31.36 |
| Investment Operations | | | | | | |
| Net Investment Income | .145 | .316 | .392 | .453 | .447 | .350 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.724) | 8.670 | (15.862) | 1.214 | 4.440 | 2.880 |
| Total from Investment Operations | (.579) | 8.986 | (15.470) | 1.667 | 4.887 | 3.230 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.001) | (.326) | (.410) | (.457) | (.467) | (.330) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.001) | (.326) | (.410) | (.457) | (.467) | (.330) |
| Net Asset Value, End of Period | $32.09 | $32.67 | $24.01 | $39.89 | $38.68 | $34.26 |
| |
| Total Return1 | -1.77% | 37.43% | -38.73% | 4.33% | 14.27% | 10.29% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $4,260 | $4,309 | $3,080 | $5,254 | $6,172 | $5,441 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.26%2 | 0.30% | 0.25% | 0.24% | 0.25% | 0.25% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 0.86%2 | 1.16% | 1.22% | 1.13% | 1.22% | 1.12% |
| Portfolio Turnover Rate3 | 10%2 | 17% | 13% | 14% | 16% | 27%4 |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.
4 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
17
| | | | | | |
| Extended Market Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $32.67 | $24.01 | $39.90 | $38.70 | $34.28 | $31.36 |
| Investment Operations | | | | | | |
| Net Investment Income | .169 | .362 | .443 | .510 | .503 | .409 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.721) | 8.673 | (15.881) | 1.214 | 4.440 | 2.880 |
| Total from Investment Operations | (.552) | 9.035 | (15.438) | 1.724 | 4.943 | 3.289 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.008) | (.375) | (.452) | (.524) | (.523) | (.369) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.008) | (.375) | (.452) | (.524) | (.523) | (.369) |
| Net Asset Value, End of Period | $32.11 | $32.67 | $24.01 | $39.90 | $38.70 | $34.28 |
| |
| Total Return | -1.69% | 37.65% | -38.63% | 4.48% | 14.43% | 10.47% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,333 | $2,300 | $1,705 | $2,811 | $3,137 | $2,379 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.13% | 0.10% | 0.09% | 0.10% | 0.10% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.00%1 | 1.33% | 1.37% | 1.28% | 1.37% | 1.27% |
| Portfolio Turnover Rate2 | 10%1 | 17% | 13% | 14% | 16% | 27%3 |
1 Annualized.
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.
18
| | | | | |
| Extended Market Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Signal Shares | | | | | |
| | Six Months | | | | Sept. 1, |
| | Ended | | | | 20061 to |
| | | Year Ended December 31, | |
| | June 30, | | | | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $28.08 | $20.64 | $34.29 | $33.26 | $30.79 |
| Investment Operations | | | | | |
| Net Investment Income | .144 | .310 | .381 | .443 | .173 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.627) | 7.451 | (13.642) | 1.035 | 2.698 |
| Total from Investment Operations | (.483) | 7.761 | (13.261) | 1.478 | 2.871 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.007) | (.321) | (.389) | (.448) | (.401) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.007) | (.321) | (.389) | (.448) | (.401) |
| Net Asset Value, End of Period | $27.59 | $28.08 | $20.64 | $34.29 | $33.26 |
| |
| Total Return | -1.72% | 37.62% | -38.61% | 4.46% | 9.33% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,395 | $1,661 | $1,230 | $2,079 | $408 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.12%2 | 0.13% | 0.10% | 0.09% | 0.10%2 |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.00%2 | 1.33% | 1.37% | 1.28% | 1.37%2 |
| Portfolio Turnover Rate3 | 10%2 | 17% | 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.
See accompanying Notes, which are an integral part of the Financial Statements.
19
| | | | | | |
| Extended Market Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $32.68 | $24.02 | $39.91 | $38.71 | $34.29 | $31.38 |
| Investment Operations | | | | | | |
| Net Investment Income | .176 | .374 | .458 | .523 | .513 | .419 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.728) | 8.674 | (15.882) | 1.214 | 4.440 | 2.880 |
| Total from Investment Operations | (.552) | 9.048 | (15.424) | 1.737 | 4.953 | 3.299 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.008) | (.388) | (.466) | (.537) | (.533) | (.389) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.008) | (.388) | (.466) | (.537) | (.533) | (.389) |
| Net Asset Value, End of Period | $32.12 | $32.68 | $24.02 | $39.91 | $38.71 | $34.29 |
| |
| Total Return | -1.69% | 37.69% | -38.58% | 4.51% | 14.46% | 10.50% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $4,129 | $3,494 | $2,442 | $3,175 | $2,621 | $2,361 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08%1 | 0.08% | 0.06% | 0.06% | 0.07% | 0.07% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.04%1 | 1.38% | 1.41% | 1.31% | 1.40% | 1.30% |
| Portfolio Turnover Rate2 | 10%1 | 17% | 13% | 14% | 16% | 27%3 |
1 Annualized.
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.
20
| | | | | | |
| Extended Market Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 20081 | 20071 | 20061 | 20051 |
| Net Asset Value, Beginning of Period | $43.09 | $31.67 | $52.62 | $51.03 | $45.20 | $41.37 |
| Investment Operations | | | | | | |
| Net Investment Income | .223 | .476 | .595 | .695 | .669 | .532 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.962) | 11.438 | (20.935) | 1.592 | 5.858 | 3.806 |
| Total from Investment Operations | (.739) | 11.914 | (20.340) | 2.287 | 6.527 | 4.338 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.011) | (.494) | (.610) | (.697) | (.697) | (.508) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.011) | (.494) | (.610) | (.697) | (.697) | (.508) |
| Net Asset Value, End of Period | $42.34 | $43.09 | $31.67 | $52.62 | $51.03 | $45.20 |
| |
| Total Return | -1.72% | 37.63% | -38.60% | 4.49% | 14.46% | 10.48% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $820 | $781 | $484 | $559 | $409 | $368 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%2 | 0.13% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.00%2 | 1.33% | 1.39% | 1.29% | 1.39% | 1.29% |
| Portfolio Turnover Rate3 | 10%2 | 17% | 13% | 14% | 16% | 27%4 |
1 Adjusted to reflect a 2-for-1 share split as of the close of business on June 13, 2008.
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.
4 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
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 and Institutional Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. 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 th e 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 sec urities’ 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 t he 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 pri ces. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, 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.
22
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 tho se 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 a llocated 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 June 30, 2010, the fund had contributed capital of $2,638,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.06% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quote d 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 June 30, 2010, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 12,875,268 | — | — |
| Temporary Cash Investments | 252,199 | 2,993 | — |
| Futures Contracts—Assets1 | 6 | — | — |
| Futures Contracts—Liabilities1 | (164) | — | — |
| Total | 13,127,309 | 2,993 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
23
Extended Market Index Fund
The following table summarizes changes in investments valued based on Level 3 inputs during the six months ended June 30, 2010:
| |
| | Investments in |
| | Common Stocks |
| Amount Valued Based on Level 3 Inputs | ($000) |
| Balance as of December 31, 2009 | 11 |
| Total Sales | (7) |
| Net Realized Gain (Loss) | (1,458) |
| Change in Unrealized Appreciation (Depreciation) | 1,454 |
| Balance as of June 30, 2010 | — |
D. At June 30, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) w ere:
| | | | |
| | | | | ($000) |
| | | | Aggregate | |
| | | Number of | Settlement | Unrealized |
| | | Long (Short) | Value | Appreciation |
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini S&P MidCap 400 Index | September 2010 | 340 | 24,140 | (346) |
| E-mini Russell 2000 Index | September 2010 | 318 | 19,328 | (326) |
| S&P MidCap 400 Index | September 2010 | 38 | 13,490 | (868) |
Unrealized appreciation (depreciation) on open futures contracts is required t o be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the trea tment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $195,126,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only a t the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $1,660,045,000 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 $622,547,000 through December 31, 2017. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
24
Extended Market Index Fund
At June 30, 2010, the cost of investment securities for tax purposes was $13,203,403,000. Net unrealized depreciation of investment securities for tax purposes was $72,943,000, consisting of unrealized gains of $2,091,797,000 on securities that had risen in value since their purchase and $2,164,740,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2010, the fund purchased $1,802, 343,000 of investment securities and sold $994,774,000 of investment securities, other than t emporary cash investments.
| | | | |
| G. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 542,279 | 15,530 | 761,674 | 28,907 |
| Issued in Lieu of Cash Distributions | 127 | 4 | 41,348 | 1,267 |
| Redeemed | (505,521) | (14,695) | (693,832) | (26,523) |
| Net Increase (Decrease)—Investor Shares | 36,885 | 839 | 109,190 | 3,651 |
| Admiral Shares | | | | |
| Issued | 237,800 | 6,859 | 273,049 | 10,067 |
| Issued in Lieu of Cash Distributions | 494 | 14 | 22,579 | 699 |
| Redeemed | (159,138) | (4,624) | (285,715) | (11,344) |
| Net Increase (Decrease)—Admiral Shares | 79,156 | 2,249 | 9,913 | (578) |
| Signal Shares | | | | |
| Issued | 228,006 | 7,659 | 402,911 | 17,572 |
| Issued in Lieu of Cash Distributions | 399 | 13 | 17,903 | 645 |
| Redeemed | (493,133) | (16,283) | (433,580) | (18,677) |
| Net Increase (Decrease)—Signal Shares | (264,728) | (8,611) | (12,766) | (460) |
| Institutional Shares | | | | |
| Issued | 1,206,108 | 34,717 | 1,058,868 | 41,224 |
| Issued in Lieu of Cash Distributions | 838 | 23 | 38,283 | 1,185 |
| Redeemed | (453,229) | (13,104) | (995,321) | (37,183) |
| Net Increase (Decrease)—Institutional Shares | 753,717 | 21,636 | 101,830 | 5,226 |
| ETF Shares | | | | |
| Issued | 438,563 | 9,644 | 936,493 | 31,036 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (386,339) | (8,400) | (866,266) | (28,200) |
| Net Increase (Decrease)—ETF Shares | 52,224 | 1,244 | 70,227 | 2,836 |
H. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
25
| | | | | |
| Mid-Cap Index Fund | | | | | |
| |
| |
| Fund Profile | | | | | |
| As of June 30, 2010 | | | | | |
| |
| Share-Class Characteristics | | | | | |
| | Investor | Admiral | Signal | Institutional | ETF |
| | Shares | Shares | Shares | Shares | Shares |
| Ticker Symbol | VIMSX | VIMAX | VMISX | VMCIX | VO |
| Expense Ratio1 | 0.27% | 0.14% | 0.14% | 0.08% | 0.14% |
| 30-Day SEC Yield | 1.08% | 1.22% | 1.22% | 1.26% | 1.22% |
| | | |
| Portfolio Characteristics | | |
| | | MSCI US | DJ |
| | | Mid Cap | U.S. Total |
| | | 450 | Market |
| | Fund | Index | Index |
| Number of Stocks | 455 | 453 | 4,114 |
| Median Market Cap | $4.9B | $4.9B | $25.2B |
| Price/Earnings Ratio | 22.3x | 22.3x | 17.6x |
| Price/Book Ratio | 1.8x | 1.8x | 1.9x |
| Return on Equity | 14.8% | 14.8% | 19.1% |
| Earnings Growth Rate | 8.1% | 8.1% | 6.6% |
| Dividend Yield | 1.4% | 1.4% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 13% | — | — |
| Short-Term Reserves | 0.1% | — | — |
| |
| |
| Volatility Measures | | | |
| | | | DJ |
| | MSCI US | U.S. Total |
| | Mid Cap 450 | Market |
| | | Index | Index |
| R-Squared | | 1.00 | 0.96 |
| Beta | | 1.00 | 1.15 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| | |
| Ten Largest Holdings (% of total net assets) |
| Mead Johnson Nutrition | Packaged Foods & | |
| Co. | Meats | 0.6% |
| Salesforce.com Inc. | Application | |
| | Software | 0.5 |
| SanDisk Corp. | Computer Storage | |
| | & Peripherals | 0.5 |
| Dr Pepper Snapple | Soft Drinks | |
| Group Inc. | | 0.5 |
| HCP Inc. | Specialized REITs | 0.5 |
| Hospira Inc. | Health Care | |
| | Equipment | 0.5 |
| Delta Air Lines Inc. | Airlines | 0.5 |
| Discovery | Broadcasting | |
| Communications Inc. | | 0.5 |
| AmerisourceBergen | Health Care | |
| Corp. Class A | Distributors | 0.5 |
| Life Technologies Corp. | Life Sciences Tools | |
| | & Services | 0.5 |
| Top Ten | | 5.1% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares.
26
Mid-Cap Index Fund
Sector Diversification (% of equity exposure)
| | | |
| | | MSCI US | DJ |
| | | Mid Cap | U.S. Total |
| | | 450 | Market |
| | Fund | Index | Index |
| Consumer | | | |
| Discretionary | 16.1% | 16.1% | 11.4% |
| Consumer Staples | 4.4 | 4.4 | 10.4 |
| Energy | 7.5 | 7.5 | 9.4 |
| Financials | 18.0 | 18.1 | 17.5 |
| Health Care | 11.2 | 11.1 | 11.7 |
| Industrials | 12.2 | 12.2 | 10.8 |
| Information | | | |
| Technology | 15.7 | 15.7 | 18.7 |
| Materials | 6.5 | 6.5 | 3.9 |
| Telecommunication | | | |
| Services | 1.4 | 1.4 | 2.7 |
| Utilities | 7.0 | 7.0 | 3.5 |
Investment Focus
27
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.
Fiscal-Year Total Returns (%): December 31, 1999, Through June 30, 2010
| | | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | | |
| |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Investor Shares | 5/21/1998 | 26.70% | 1.05% | 4.96% |
| Admiral Shares | 11/12/2001 | 26.86 | 1.16 | 5.941 |
| Signal Shares | 3/30/2007 | 26.88 | — | -6.181 |
| Institutional Shares | 5/21/1998 | 26.98 | 1.21 | 5.13 |
| ETF Shares | 1/26/2004 | | | |
| Market Price | | 26.85 | 1.14 | 3.771 |
| Net Asset Value | | 26.85 | 1.16 | 3.771 |
1 Return since inception.
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
28
Mid-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2010
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at 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%)1 | | |
| Consumer Discretionary (16.1%) | |
| * | priceline.com Inc. | 509,937 | 90,024 |
| | Starwood Hotels & | | |
| | Resorts Worldwide Inc. | 2,090,093 | 86,593 |
| | Mattel Inc. | 4,068,688 | 86,093 |
| | Ross Stores Inc. | 1,385,900 | 73,855 |
| | Whirlpool Corp. | 836,913 | 73,498 |
| * | O’Reilly Automotive Inc. | 1,539,077 | 73,198 |
| | Genuine Parts Co. | 1,772,374 | 69,920 |
| | Wynn Resorts Ltd. | 895,371 | 68,290 |
| | Ltd Brands Inc. | 3,064,926 | 67,643 |
| * | Liberty Media Corp. - | | |
| | Interactive | 6,348,991 | 66,664 |
| | Cablevision | | |
| | Systems Corp. | | |
| | Class A | 2,770,740 | 66,525 |
| | Nordstrom Inc. | 1,948,496 | 62,722 |
| * | Dollar Tree Inc. | 1,481,242 | 61,664 |
| | H&R Block Inc. | 3,754,090 | 58,902 |
| | Virgin Media Inc. | 3,501,079 | 58,433 |
| | Harley-Davidson Inc. | 2,621,423 | 58,274 |
| | Darden Restaurants Inc. | 1,486,179 | 57,738 |
| | Hasbro Inc. | 1,373,139 | 56,436 |
| | Family Dollar Stores Inc. | 1,470,743 | 55,432 |
| * | Discovery | | |
| | Communications Inc. | | |
| | Class A | 1,512,906 | 54,026 |
| * | NetFlix Inc. | 496,106 | 53,902 |
| | Advance Auto Parts Inc. | 1,058,696 | 53,125 |
| | Tiffany & Co. | 1,392,329 | 52,783 |
| | International Game | | |
| | Technology | 3,319,466 | 52,116 |
| | Polo Ralph Lauren Corp. | | |
| | Class A | 711,382 | 51,902 |
| * | Urban Outfitters Inc. | 1,508,137 | 51,865 |
| * | CarMax Inc. | 2,493,339 | 49,617 |
| * | Discovery | | |
| | Communications Inc. | 1,585,497 | 49,039 |
| * | BorgWarner Inc. | 1,308,007 | 48,841 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Chipotle Mexican Grill Inc. | | |
| | Class A | 353,049 | 48,301 |
| * | Autoliv Inc. | 952,124 | 45,559 |
| | Newell Rubbermaid Inc. | 3,106,956 | 45,486 |
| | Expedia Inc. | 2,363,385 | 44,384 |
| * | NVR Inc. | 64,986 | 42,568 |
| | PetSmart Inc. | 1,382,472 | 41,709 |
| *,^ | Sirius XM Radio Inc. | 43,462,127 | 41,267 |
| | Scripps Networks | | |
| | Interactive Inc. Class A | 1,012,562 | 40,847 |
| | Wyndham | | |
| | Worldwide Corp. | 2,000,643 | 40,293 |
| * | Liberty Media Corp. - | | |
| | Capital | 955,372 | 40,040 |
| * | Liberty Global Inc. | | |
| | Class A | 1,511,160 | 39,275 |
| * | Interpublic Group of | | |
| | Cos. Inc. | 5,435,850 | 38,758 |
| | DeVry Inc. | 716,546 | 37,611 |
| | Gannett Co. Inc. | 2,655,547 | 35,744 |
| *,^ | Royal Caribbean | | |
| | Cruises Ltd. | 1,557,528 | 35,465 |
| * | Liberty Global Inc. | 1,331,387 | 34,603 |
| | Leggett & Platt Inc. | 1,660,928 | 33,318 |
| * | ITT Educational | | |
| | Services Inc. | 396,641 | 32,929 |
| * | GameStop Corp. Class A | 1,751,066 | 32,903 |
| * | Lear Corp. | 491,301 | 32,524 |
| ^ | Strayer Education In c. | 156,154 | 32,463 |
| * | Pulte Group Inc. | 3,849,113 | 31,871 |
| | DR Horton Inc. | 3,201,167 | 31,467 |
| | Abercrombie & Fitch Co. | 984,318 | 30,209 |
| * | Mohawk Industries Inc. | 651,338 | 29,805 |
| * | LKQ Corp. | 1,510,250 | 29,118 |
| * | Liberty Media Corp. - | | |
| | Starz | 552,223 | 28,627 |
| *,^ | MGM Resorts | | |
| | International | 2,961,964 | 28,553 |
| | Washington Post Co. | | |
| | Class B | 66,873 | 27,450 |
29
| | | |
| Mid-Cap Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | American Eagle | | |
| | Outfitters Inc. | 2,208,034 | 25,944 |
| * | Toll Brothers Inc. | 1,571,708 | 25,713 |
| * | Goodyear Tire & | | |
| | Rubber Co. | 2,574,010 | 25,586 |
| * | TRW Automotive | | |
| | Holdings Corp. | 923,242 | 25,454 |
| * | Harman International | | |
| | Industries Inc. | 776,709 | 23,216 |
| | Lennar Corp. Class A | 1,654,801 | 23,018 |
| | Foot Locker Inc. | 1,750,873 | 22,096 |
| | Guess? Inc. | 671,708 | 20,984 |
| * | Hyatt Hotels Corp. Class A | 490,707 | 18,200 |
| | Burger King Holdings Inc. | 1,059,604 | 17,844 |
| * | Penn National Gaming Inc. | 754,194 | 17,422 |
| | Brinker International Inc. | 1,149,829 | 16,627 |
| | Wendy’s/Arby’s Group Inc. | | |
| | Class A | 4,156,217 | 16,625 |
| * | Lamar Advertising Co. | | |
| | Class A | 646,313 | 15,848 |
| *,^ | AutoNation Inc. | 764,869 | 14,915 |
| | Interactive Data Corp. | 423,013 | 14,120 |
| | Weight Watchers | | |
| | International Inc. | 388,786 | 9,988 |
| * | Education | | |
| | Management Corp. | 480,767 | 7,332 |
| * | Clear Channel Outdoor | | |
| | Holdings Inc. Class A | 456,196 | 3,960 |
| | Lennar Corp. Class B | 63,528 | 720 |
| * | Krispy Kreme | | |
| | Doughnuts Inc. | | |
| | Warrants Exp. 03/02/2012 | 8,389 | 1 |
| | | | 3,207,880 |
| Consumer Staples (4.4%) | | |
| | Mead Johnson | | |
| | Nutrition Co. | 2,287,960 | 114,673 |
| | Dr Pepper Snapple | | |
| | Group Inc. | 2,843,015 | 106,300 |
| | JM Smucker Co. | 1,331,652 | 80,192 |
| | Bunge Ltd. | 1,528,983 | 75,211 |
| * | Whole Foods Market Inc. | 1,620,018 | 58,353 |
| | Tyson Foods Inc. Class A | 3,258,454 | 53,406 |
| | McCormick & Co. Inc. | 1,339,552 | 50,849 |
| | Church & Dwight Co. Inc. | 790,326 | 49,561 |
| * | Energizer Holdings Inc. | 742,164 | 37,316 |
| * | Constellation Brands Inc. | | |
| | Class A | 2,217,417 | 34,636 |
| * | Ralcorp Holdings Inc. | 612,433 | 33,561 |
| | Hormel Foods Corp. | 822,218 | 33,283 |
| * | Hansen Natural Corp. | 838,354 | 32,788 |
| | Alberto-Culver Co. Class B | 990,513 | 26,833 |
| | SUPERVALU Inc. | 2,371,539 | 25,708 |
| * | Smithfield Foods Inc. | 1,669,718 | 24,879 |
| | Flowers Foods Inc. | 926,451 | 22,633 |
| * | Dean Foods Co. | 2,028,163 | 20,424 |
| | | | 880,606 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Energy (7.5%) | | |
| * | Cameron | | |
| | International Corp. | 2,734,992 | 88,942 |
| | El Paso Corp. | 7,845,961 | 87,169 |
| | Consol Energy Inc. | 2,457,575 | 82,968 |
| | Pioneer Natural | | |
| | Resources Co. | 1,292,765 | 76,855 |
| * | Newfield Exploration Co. | 1,488,743 | 72,740 |
| * | FMC Technologies Inc. | 1,366,902 | 71,981 |
| | Range Resources Corp. | 1,780,479 | 71,486 |
| | Cimarex Energy Co. | 937,984 | 67,141 |
| * | Denbury Resources Inc. | 4,222,106 | 61,812 |
| * | Petrohawk Energy Corp. | 3,369,947 | 57,188 |
| * | Nabors Industries Ltd. | 3,184,896 | 56,118 |
| * | Kinder Morgan | | |
| | Management LLC | 875,877 | 49,566 |
| * | Concho Resources Inc. | 868,169 | 48,036 |
| * | Alpha Natural | | |
| | Resources Inc. | 1,345,441 | 45,570 |
| | Sunoco Inc. | 1,308,297 | 45,489 |
| * | Whiting Petroleum Corp. | 568,837 | 44,608 |
| * | Pride International Inc. | 1,964,396 | 43,885 |
| | Helmerich & Payne Inc. | 1,182,759 | 43,194 |
| | Cabot Oil & Gas Corp. | 1,161,530 | 36,379 |
| | Arch Coal Inc. | 1,817,357 | 36,002 |
| * | Forest Oil Corp. | 1,193,238 | 32,647 |
| * | Plains Exploration & | | |
| | Production Co. | 1,559,579 | 32,143 |
| | EXCO Resources Inc. | 2,016,445 | 29,460 |
| * | Dresser-Rand Group Inc. | 923,231 | 29,128 |
| | Massey Energy Co. | 1,064,811 | 29,123 |
| * | Rowan Cos. Inc. | 1,272,481 | 27,918 |
| * | Oceaneering | | |
| | International Inc. | 614,343 | 27,584 |
| | Tidewater Inc. | 578,539 | 22,401 |
| | Patterson-UTI Energy Inc. | 1,717,981 | 22,110 |
| | Tesoro Corp. | 1,568,421 | 18,303 |
| * | Continental Resources Inc. | 381,413 | 17,019 |
| * | Quicksilver Resources Inc. | 1,327,566 | 14,603 |
| * | Cobalt International | | |
| | Energy Inc. | 754,276 | 5,619 |
| | | | 1,495,187 |
| Financials (18.1%) | | |
| | HCP Inc. | 3,287,578 | 106,024 |
| | Host Hotels & | | |
| | Resorts Inc. | 7,061,296 | 95,186 |
| | Regions Financial Corp. | 13,343,541 | 87,801 |
| | AvalonBay | | |
| | Communities Inc. | 912,131 | 85,166 |
| | Discover Financial | | |
| | Services | 6,083,062 | 85,041 |
| | Ventas Inc. | 1,753,264 | 82,316 |
| | Lincoln National Corp. | 3,381,755 | 82,143 |
| | Unum Group | 3,718,678 | 80,695 |
| * | Intercontinental- | | |
| | Exchange Inc. | 699,974 | 79,118 |
30
| | | |
| Mid-Cap Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | KeyCorp | 9,829,236 | 75,587 |
| * | CIT Group Inc. | 2,126,384 | 71,999 |
| | Comerica Inc. | 1,947,054 | 71,710 |
| * | Genworth Financial Inc. | | |
| | Class A | 5,471,809 | 71,517 |
| | New York Community | | |
| | Bancorp Inc. | 4,604,359 | 70,309 |
| | Plum Creek | | |
| | Timber Co. Inc. | 1,822,587 | 62,934 |
| | XL Capital Ltd. Class A | 3,827,676 | 61,281 |
| | Kimco Realty Corp. | 4,537,132 | 60,979 |
| | Health Care REIT Inc. | 1,383,843 | 58,287 |
| | Willis Group Holdings | | |
| | PLC | 1,890,819 | 56,819 |
| | People’s United | | |
| | Financial Inc. | 4,192,723 | 56,602 |
| * | SLM Corp. | 5,425,197 | 56,368 |
| | Digital Realty Trust Inc. | 949,253 | 54,753 |
| | ProLogis | 5,305,463 | 53,744 |
| | Macerich Co. | 1,439,810 | 53,734 |
| | PartnerRe Ltd. | 739,196 | 51,847 |
| | Legg Mason Inc. | 1,806,389 | 50,633 |
| | Federal Realty | | |
| | Investment Trust | 685,368 | 48,161 |
| | SL Green Realty Corp. | 870,746 | 47,926 |
| | Everest Re Group Ltd. | 675,551 | 47,775 |
| | Nationwide Health | | |
| | Properties Inc. | 1,313,749 | 46,993 |
| *,^ | American International | | |
| | Group Inc. | 1,358,624 | 46,791 |
| | Torchmark Corp. | 926,809 | 45,886 |
| | Assurant Inc. | 1,303,265 | 45,223 |
| | Cincinnati Financial Corp. | 1,731,668 | 44,798 |
| | Huntington | | |
| | Bancshares Inc. | 8,014,990 | 44,403 |
| * | Arch Capital Group Ltd. | 591,939 | 44,099 |
| | AMB Property Corp. | 1,854,371 | 43,967 |
| | Axis Capital Holdings Ltd. | 1,402,221 | 41,674 |
| | WR Berkley Corp. | 1,538,690 | 40,714 |
| | Marshall & Ilsley Corp. | 5,584,268 | 40,095 |
| | Rayonier Inc. | 893,933 | 39,351 |
| * | CB Richard Ellis Group Inc. | | |
| | Class A | 2,784,647 | 37,899 |
| | RenaissanceRe | | |
| | Holdings Ltd. | 671,945 | 37,810 |
| | Reinsurance Group of | | |
| | America Inc. Class A | 815,199 | 37,263 |
| | Liberty Property Trust | 1,261,642 | 36,398 |
| | Zions Bancorporation | 1,682,661 | 36,295 |
| | Eaton Vance Corp. | 1,307,571 | 36,102 |
| ^ | Realty Income Corp. | 1,168,070 | 35,428 |
| * | Markel Corp. | 104,170 | 35,418 |
| | Transatlantic Holdings Inc. | 718,126 | 34,441 |
| | UDR Inc. | 1,745,991 | 33,401 |
| | Fidelity National | | |
| | Financial Inc. Class A | 2,448,785 | 31,810 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Duke Realty Corp. | 2,774,198 | 31,487 |
| | Regency Centers Corp. | 912,491 | 31,390 |
| | HCC Insurance | | |
| | Holdings Inc. | 1,258,646 | 31,164 |
| | Cullen/Frost Bankers Inc. | 604,592 | 31,076 |
| | Old Republic | | |
| | International Corp. | 2,557,993 | 31,028 |
| | SEI Investments Co. | 1,486,588 | 30,267 |
| * | First Horizon | | |
| | National Corp. | 2,552,306 | 29,224 |
| | Hospitality | | |
| | Properties Trust | 1,380,319 | 29,125 |
| | White Mountains | | |
| | Insurance Group Ltd. | 88,888 | 28,817 |
| * | Affiliated Managers | | |
| | Group Inc. | 472,808 | 28,733 |
| | Commerce | | |
| | Bancshares Inc. | 789,723 | 28,422 |
| | Raymond James | | |
| | Financial Inc. | 1,107,341 | 27,340 |
| * | NASDAQ OMX | | |
| | Group Inc. | 1,537,401 | 27,335 |
| | City National Corp. | 518,515 | 26,564 |
| | Jefferies Group Inc. | 1,247,210 | 26,291 |
| | Brown & Brown Inc. | 1,350,938 | 25,857 |
| | Weingarten | | |
| | Realty Investors | 1,276,311 | 24,314 |
| *,^ | St. Joe Co. | 1,035,563 | 23,984 |
| | American Financial | | |
| | Group Inc. | 876,581 | 23,948 |
| | TCF Financial Corp. | 1,411,150 | 23,439 |
| | Assured Guaranty Ltd. | 1,752,723 | 23,259 |
| | Associated Banc-Corp | 1,835,598 | 22,504 |
| | Federated Investors Inc. | | |
| | Class B | 1,036,581 | 21,468 |
| | Validus Holdings Ltd. | 811,924 | 19,827 |
| | Janus Capital Group Inc. | 2,054,579 | 18,245 |
| | Greenhill & Co. Inc. | 280,045 | 17,119 |
| | BOK Financial Corp. | 304,169 | 14,439 |
| | TFS Financial Corp. | 1,037,397 | 12,874 |
| | Mercury General Corp. | 307,311 | 12,735 |
| | Capitol Federal Financial | 249,017 | 8,257 |
| * | CBOE Holdings Inc. | 85,032 | 2,768 |
| | | | 3,616,014 |
| Health Care (11.1%) | | |
| * | Hospira Inc. | 1,833,164 | 105,315 |
| | AmerisourceBergen | | |
| | Corp. Class A | 3,159,360 | 100,310 |
| * | Life Technologies Corp. | 2,023,107 | 95,592 |
| * | Humana Inc. | 1,904,519 | 86,979 |
| * | Vertex | | |
| | Pharmaceuticals Inc. | 2,244,071 | 73,830 |
| * | Varian Medical | | |
| | Systems Inc. | 1,386,602 | 72,491 |
| * | DaVita Inc. | 1,154,583 | 72,092 |
31
| | | |
| Mid-Cap Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Edwards | | |
| | Lifesciences Corp. | 1,265,600 | 70,899 |
| * | Waters Corp. | 1,047,016 | 67,742 |
| * | Millipore Corp. | 626,830 | 66,851 |
| * | Cerner Corp. | 778,770 | 59,101 |
| * | Illumina Inc. | 1,345,905 | 58,587 |
| * | Mylan Inc. | 3,431,139 | 58,467 |
| * | Henry Schein Inc. | 1,014,568 | 55,700 |
| | Perrigo Co. | 917,951 | 54,223 |
| * | ResMed Inc. | 840,801 | 51,129 |
| * | Alexion | | |
| | Pharmaceuticals Inc. | 997,288 | 51,051 |
| * | Dendreon Corp. | 1,500,769 | 48,520 |
| * | CareFusion Corp. | 2,107,789 | 47,847 |
| * | Watson | | |
| | Pharmaceuticals Inc. | 1,174,556 | 47,652 |
| * | Cephalon Inc. | 838,326 | 47,575 |
| * | Human Genome | | |
| | Sciences Inc. | 2,095,875 | 47,492 |
| | Beckman Coulter Inc. | 781,708 | 47,129 |
| | DENTSPLY | | |
| | International Inc. | 1,564,213 | 46,786 |
| * | Mettler-Toledo | | |
| | International Inc. | 377,207 | 42,108 |
| * | Hologic Inc. | 2,891,656 | 40,281 |
| *,^ | IDEXX Laboratories Inc. | 648,432 | 39,489 |
| | Universal Health | | |
| | Services Inc. Class B | 1,002,630 | 38,250 |
| * | Covance Inc. | 716,366 | 36,764 |
| * | Lincare Holdings Inc. | 1,102,699 | 35,849 |
| * | Community | | |
| | Health Systems Inc. | 1,041,742 | 35,221 |
| | Pharmaceutical Product | | |
| | Development Inc. | 1,259,205 | 31,996 |
| | Omnicare Inc. | 1,345,564 | 31,890 |
| * | Amylin | | |
| | Pharmaceuticals Inc. | 1,599,302 | 30,067 |
| | Patterson Cos. Inc. | 1,027,518 | 29,315 |
| * | Coventry Health Care Inc. | 1,655,975 | 29,278 |
| * | Warner Chilcott PLC | | |
| | Class A | 1,265,774 | 28,923 |
| * | Endo Pharmaceuticals | | |
| | Holdings Inc. | 1,311,713 | 28,622 |
| * | Health Net Inc. | 1,120,756 | 27,313 |
| * | Kinetic Concepts Inc. | 718,162 | 26,220 |
| * | Charles River | | |
| | Laboratories | | |
| | International Inc. | 737,055 | 25,215 |
| * | Gen-Probe Inc. | 552,241 | 25,083 |
| * | Inverness Medical | | |
| | Innovations Inc. | 884,285 | 23,575 |
| | Techne Corp. | 396,287 | 22,767 |
| * | King Pharmaceuticals Inc. | 2,779,590 | 21,097 |
| * | Bio-Rad Laboratories Inc. | | |
| | Class A | 213,844 | 18,495 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Myriad Genetics Inc. | 1,082,017 | 16,176 |
| * | Abraxis Bioscience Inc. | 90,025 | 6,680 |
| | | | 2,224,034 |
| Industrials (12.2%) | | |
| * | Delta Air Lines Inc. | 8,787,890 | 103,258 |
| | Rockwell Collins Inc. | 1,758,983 | 93,455 |
| | Goodrich Corp. | 1,400,355 | 92,774 |
| | Dover Corp. | 2,094,756 | 87,540 |
| | Cooper Industries PLC | 1,870,292 | 82,293 |
| | Rockwell Automation Inc. | 1,597,227 | 78,408 |
| | Fastenal Co. | 1,484,514 | 74,508 |
| | WW Grainger Inc. | 688,716 | 68,493 |
| * | Stericycle Inc. | 901,101 | 59,094 |
| | Roper Industries Inc. | 1,048,146 | 58,654 |
| | Joy Global Inc. | 1,150,941 | 57,651 |
| * | McDermott | | |
| | International Inc. | 2,575,152 | 55,778 |
| | Flowserve Corp. | 623,437 | 52,867 |
| | Textron Inc. | 3,050,084 | 51,760 |
| | Pitney Bowes Inc. | 2,320,969 | 50,968 |
| * | Jacobs Engineering | | |
| | Group Inc. | 1,393,790 | 50,790 |
| | AMETEK Inc. | 1,205,070 | 48,384 |
| * | Quanta Services Inc. | 2,340,230 | 48,326 |
| | Iron Mountain Inc. | 2,050,245 | 46,048 |
| | Pall Corp. | 1,313,031 | 45,129 |
| | Masco Corp. | 4,026,596 | 43,326 |
| * | Kansas City Southern | 1,138,123 | 41,371 |
| | Manpower Inc. | 947,783 | 40,925 |
| | Bucyrus International Inc. | | |
| | Class A | 860,266 | 40,820 |
| | Equifax Inc. | 1,413,775 | 39,671 |
| * | Owens Corning | 1,286,577 | 38,481 |
| | Dun & Bradstreet Corp. | 569,455 | 38,222 |
| | RR Donnelley & Sons Co. | 2,298,797 | 37,631 |
| | Robert Half | | |
| | International Inc. | 1,579,578 | 37,199 |
| * | URS Corp. | 938,869 | 36,944 |
| | Cintas Corp. | 1,539,264 | 36,896 |
| | KBR Inc. | 1,795,301 | 36,516 |
| | Avery Dennison Corp. | 1,128,342 | 36,254 |
| | Pentair Inc. | 1,101,738 | 35,476 |
| * | Navistar International Corp. | 713,162 | 35,088 |
| | Donaldson Co. Inc. | 818,247 | 34,898 |
| | JB Hunt Transport | | |
| | Services Inc. | 1,067,905 | 34,888 |
| * | Verisk Analytics Inc. | | |
| | Class A | 1,126,072 | 33,670 |
| * | Shaw Group Inc. | 935,336 | 32,007 |
| * | Foster Wheeler AG | 1,426,048 | 30,033 |
| | SPX Corp. | 557,277 | 29,430 |
| * | Copart Inc. | 798,726 | 28,602 |
| * | AGCO Corp. | 1,034,204 | 27,892 |
| * | IHS Inc. Class A | 460,348 | 26,894 |
| | MSC Industrial Direct Co. | | |
| | Class A | 501,392 | 25,400 |
32
| | | |
| Mid-Cap Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | AMR Corp. | 3,720,742 | 25,227 |
| * | Covanta Holding Corp. | 1,473,188 | 24,440 |
| | Ryder System Inc. | 597,543 | 24,039 |
| * | Hertz Global Holdings Inc. | 2,525,248 | 23,889 |
| * | Aecom Technology Corp. | 1,019,898 | 23,519 |
| * | Alliant Techsystems Inc. | 369,327 | 22,920 |
| * | Terex Corp. | 1,211,569 | 22,705 |
| * | FTI Consulting Inc. | 519,963 | 22,665 |
| * | Spirit Aerosystems | | |
| | Holdings Inc. Class A | 1,176,097 | 22,416 |
| | Harsco Corp. | 900,566 | 21,163 |
| * | Sensata Technologies | | |
| | Holding NV | 384,168 | 6,143 |
| | | | 2,423,838 |
| Information Technology (15.7%) | |
| * | Salesforce.com Inc. | 1,257,653 | 107,932 |
| * | SanDisk Corp. | 2,558,940 | 107,655 |
| * | Citrix Systems Inc. | 2,056,664 | 86,853 |
| | Altera Corp. | 3,327,198 | 82,548 |
| * | Micron Technology Inc. | 9,517,376 | 80,803 |
| | Xilinx Inc. | 3,095,183 | 78,184 |
| * | Fiserv Inc. | 1,704,188 | 77,813 |
| | Computer Sciences Corp. | 1,718,675 | 77,770 |
| * | Akamai Technologies Inc. | 1,916,275 | 77,743 |
| * | Western Digital Corp. | 2,558,123 | 77,153 |
| | Amphenol Corp. Class A | 1,938,167 | 76,131 |
| * | SAIC Inc. | 4,429,559 | 74,151 |
| * | Seagate Technology | 5,584,118 | 72,817 |
| * | BMC Software Inc. | 2,043,182 | 70,755 |
| | Linear Technology Corp. | 2,500,677 | 69,544 |
| * | Cree Inc. | 1,128,447 | 67,741 |
| * | Autodesk Inc. | 2,570,137 | 62,609 |
| * | Red Hat Inc. | 2,111,316 | 61,101 |
| * | F5 Networks Inc. | 889,495 | 60,993 |
| | Harris Corp. | 1,463,491 | 60,954 |
| * | Sybase Inc. | 921,522 | 59,586 |
| * | Teradata Corp. | 1,885,215 | 57,461 |
| ^ | Microchip Technology Inc. | 2,061,214 | 57,178 |
| | Maxim Integrated | | |
| | Products Inc. | 3,409,838 | 57,047 |
| * | McAfee Inc. | 1,775,463 | 54,542 |
| * | VeriSign Inc. | 2,052,445 | 54,492 |
| * | Lam Research Corp. | 1,431,158 | 54,470 |
| | KLA-Tencor Corp. | 1,925,163 | 53,674 |
| * | Flextronics | | |
| | International Ltd. | 9,091,717 | 50,914 |
| * | FLIR Systems Inc. | 1,710,277 | 49,752 |
| * | Advanced Micro | | |
| | Devices Inc. | 6,391,926 | 46,789 |
| * | Rovi Corp. | 1,165,656 | 44,190 |
| * | Avnet Inc. | 1,697,582 | 40,929 |
| * | ANSYS Inc. | 1,003,357 | 40,706 |
| * | Equinix Inc. | 489,115 | 39,726 |
| * | Nuance | | |
| | Communications Inc. | 2,541,519 | 37,996 |
| * | Trimble Navigation Ltd. | 1,347,849 | 37,740 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Dolby Laboratories Inc. | | |
| | Class A | 600,439 | 37,642 |
| | National | | |
| | Semiconductor Corp. | 2,659,092 | 35,791 |
| * | Alliance Data | | |
| | Systems Corp. | 584,753 | 34,804 |
| * | Hewitt Associates Inc. | | |
| | Class A | 999,176 | 34,432 |
| * | Synopsys Inc. | 1,639,569 | 34,218 |
| * | LSI Corp. | 7,345,428 | 33,789 |
| | Factset Research | | |
| | Systems Inc. | 500,807 | 33,549 |
| | Lender Processing | | |
| | Services Inc. | 1,068,172 | 33,444 |
| | Global Payments Inc. | 911,798 | 33,317 |
| * | ON Semiconductor Corp. | 4,784,689 | 30,526 |
| * | Arrow Electronics Inc. | 1,340,677 | 29,964 |
| | Jabil Circuit Inc. | 2,184,511 | 29,054 |
| * | Lexmark International Inc. | | |
| | Class A | 874,482 | 28,884 |
| | Broadridge Financial | | |
| | Solutions Inc. | 1,507,596 | 28,720 |
| * | Ingram Micro Inc. | 1,830,271 | 27,802 |
| * | Novellus Systems Inc. | 1,072,466 | 27,198 |
| | Tellabs Inc. | 4,104,272 | 26,226 |
| * | Brocade Communications | | |
| | Systems Inc. | 4,966,928 | 25,629 |
| * | IAC/InterActiveCorp | 1,160,684 | 25,500 |
| | Total System Services Inc. | 1,874,886 | 25,498 |
| * | MEMC Electronic | | |
| | Materials Inc. | 2,500,996 | 24,710 |
| * | AOL Inc. | 1,183,520 | 24,605 |
| * | NCR Corp. | 1,786,481 | 21,652 |
| * | Avago Technologies Ltd. | 929,997 | 19,586 |
| | DST Systems Inc. | 429,028 | 15,505 |
| | Molex Inc. | 847,650 | 15,461 |
| | Molex Inc. Class A | 677,634 | 10,469 |
| *,^ | SunPower Corp. Class A | 621,131 | 7,516 |
| * | SunPower Corp. Class B | 471,598 | 5,093 |
| | | | 3,129,026 |
| Materials (6.5%) | | |
| | Cliffs Natural | | |
| | Resources Inc. | 1,512,881 | 71,348 |
| | Sigma-Aldrich Corp. | 1,362,418 | 67,889 |
| | Vulcan Materials Co. | 1,413,440 | 61,951 |
| | United States Steel Corp. | 1,604,053 | 61,836 |
| | Lubrizol Corp. | 765,154 | 61,450 |
| | Airgas Inc. | 879,341 | 54,695 |
| | Ball Corp. | 1,000,016 | 52,831 |
| * | Owens-Illinois Inc. | 1,886,321 | 49,893 |
| | CF Industries Holdings Inc. | 762,700 | 48,393 |
| * | Crown Holdings Inc. | 1,806,583 | 45,237 |
| | FMC Corp. | 770,755 | 44,265 |
| | Allegheny Technologies Inc. | 988,730 | 43,692 |
| | Eastman Chemical Co. | 810,780 | 43,263 |
33
| | | |
| Mid-Cap Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Martin Marietta | | |
| | Materials Inc. | 507,097 | 43,007 |
| | MeadWestvaco Corp. | 1,916,129 | 42,538 |
| * | Pactiv Corp. | 1,480,626 | 41,236 |
| | Celanese Corp. Class A | 1,631,907 | 40,651 |
| | Ashland Inc. | 829,598 | 38,510 |
| | International Flavors & | | |
| | Fragrances Inc. | 886,453 | 37,603 |
| | Albemarle Corp. | 919,473 | 36,512 |
| | Walter Energy Inc. | 599,136 | 36,457 |
| | Sealed Air Corp. | 1,778,452 | 35,071 |
| | Sonoco Products Co. | 1,119,627 | 34,126 |
| | Bemis Co. Inc. | 1,210,510 | 32,684 |
| | Valspar Corp. | 1,054,646 | 31,766 |
| | Nalco Holding Co. | 1,547,256 | 31,657 |
| | Steel Dynamics Inc. | 2,299,331 | 30,328 |
| | Reliance Steel & | | |
| | Aluminum Co. | 784,380 | 28,355 |
| | Scotts Miracle-Gro Co. | | |
| | Class A | 521,367 | 23,154 |
| * | Titanium Metals Corp. | 1,010,039 | 17,767 |
| | Greif Inc. Class A | 276,043 | 15,331 |
| | | | 1,303,496 |
| Telecommunication Services (1.4%) | |
| * | NII Holdings Inc. | 1,865,499 | 60,666 |
| | Windstream Corp. | 5,407,004 | 57,098 |
| * | SBA | | |
| | Communications Corp. | | |
| | Class A | 1,242,365 | 42,253 |
| ^ | Frontier | | |
| | Communications Corp. | 3,493,546 | 24,839 |
| * | MetroPCS | | |
| | Communications Inc. | 2,761,902 | 22,620 |
| * | Level 3 | | |
| | Communications Inc. | 18,410,586 | 20,067 |
| | Telephone & | | |
| | Data Systems Inc. | 515,400 | 15,663 |
| | Telephone & | | |
| | Data Systems Inc. - | | |
| | Special Common Shares | 539,320 | 14,314 |
| * | United States | | |
| | Cellular Corp. | 209,833 | 8,635 |
| *,^ | Clearwire Corp. Class A | 1,107,802 | 8,065 |
| | | | 274,220 |
| Utilities (7.0%) | | |
| | Questar Corp. | 1,953,701 | 88,874 |
| | DTE Energy Co. | 1,853,126 | 84,521 |
| | Constellation Energy | | |
| | Group Inc. | 2,136,344 | 68,897 |
| | Wisconsin Energy Corp. | 1,307,872 | 66,361 |
| * | NRG Energy Inc. | 2,930,147 | 62,148 |
| | CenterPoint Energy Inc. | 4,436,193 | 58,380 |
| | EQT Corp. | 1,528,745 | 55,249 |
| * | Calpine Corp. | 3,964,126 | 50,424 |
| | Northeast Utilities | 1,965,662 | 50,085 |
| | Oneok Inc. | 1,128,096 | 48,790 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | SCANA Corp. | 1,308,760 | 46,801 |
| | NiSource Inc. | 3,096,814 | 44,904 |
| | Pinnacle West | | |
| | Capital Corp. | 1,203,080 | 43,744 |
| | NSTAR | 1,192,758 | 41,747 |
| | American Water | | |
| | Works Co. Inc. | 1,953,406 | 40,240 |
| | OGE Energy Corp. | 1,083,812 | 39,624 |
| | Alliant Energy Corp. | 1,238,140 | 39,299 |
| | Allegheny Energy Inc. | 1,897,109 | 39,232 |
| | Pepco Holdings Inc. | 2,487,746 | 39,008 |
| | CMS Energy Corp. | 2,568,863 | 37,634 |
| | Integrys Energy | | |
| | Group Inc. | 856,146 | 37,448 |
| | MDU Resources | | |
| | Group Inc. | 1,993,129 | 35,936 |
| | National Fuel Gas Co. | 771,554 | 35,399 |
| | TECO Energy Inc. | 2,273,004 | 34,254 |
| | Energen Corp. | 763,745 | 33,857 |
| | DPL Inc. | 1,332,283 | 31,842 |
| | NV Energy Inc. | 2,627,394 | 31,030 |
| | AGL Resources Inc. | 866,044 | 31,022 |
| | UGI Corp. | 1,215,664 | 30,926 |
| | Aqua America Inc. | 1,528,922 | 27,031 |
| * | Mirant Corp. | 1,615,359 | 17,058 |
| | | | 1,391,765 |
| Total Common Stocks | | |
| (Cost $19,835,902) | | 19,946,066 |
| Temporary Cash Investments (0.7%)1 | |
| Money Market Fund (0.7%) | | |
| 2,3 | Vanguard Market | | |
| | Liquidity Fund, | | |
| | 0.286% | 141,338,436 | 141,338 |
| |
| | | Face | |
| | | Amount | |
| | | ($000) | |
| U.S. Government and Agency Obligations (0.0%) |
| 4,5 | Fannie Mae | | |
| | Discount Notes, | | |
| | 0.250%, 8/25/10 | 1,000 | 1,000 |
| 4,5 | Fannie Mae | | |
| | Discount Notes, | | |
| | 0.300%, 9/15/10 | 500 | 500 |
| 4,5 | Federal Home | | |
| | Loan Bank | | |
| | Discount Notes, | | |
| | 0.195%, 7/14/10 | 500 | 500 |
| | | | 2,000 |
| Total Temporary Cash Investments | |
| (Cost $143,338) | | 143,338 |
| Total Investments (100.7%) | | |
| (Cost $19,979,240) | | 20,089,404 |
34
| |
| Mid-Cap Index Fund | |
| |
| |
| |
| | Market |
| | Value• |
| | ($000) |
| Other Assets and Liabilities (-0.7%) | |
| Other Assets | 103,343 |
| Liabilities3 | (245,954) |
| | (142,611) |
| Net Assets (100%) | 19,946,793 |
| |
| |
| At June 30, 2010, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 23,368,328 |
| Undistributed Net Investment Income | 87,443 |
| Accumulated Net Realized Losses | (3,619,027) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 110,164 |
| Futures Contracts | (115) |
| Net Assets | 19,946,793 |
| |
| |
| Investor Shares—Net Assets | |
| Applicable to 423,128,711 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 6,773,582 |
| Net Asset Value Per Share— | |
| Investor Shares | $16.01 |
| |
| |
| Admiral Shares—Net Assets | |
| Applicable to 30,911,842 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,246,185 |
| Net Asset Value Per Share— | |
| Admiral Shares | $72.66 |
| |
| | Amount |
| | ($000) |
| Signal Shares—Net Assets | |
| Applicable to 103,449,696 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,373,018 |
| Net Asset Value Per Share— | |
| Signal Shares | $22.94 |
| |
| |
| Institutional Shares—Net Assets | |
| Applicable to 386,877,688 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 6,213,129 |
| Net Asset Value Per Share— | |
| Institutional Shares | $16.06 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 39,877,529 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,340,879 |
| Net Asset Value Per Share— | |
| ETF Shares | $58.70 |
• 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 $114,237,000.
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 $121,130,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
5 Securities with a value of $2,000,000 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
| |
| Mid-Cap Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 128,413 |
| Interest1 | 54 |
| Security Lending | 2,231 |
| Total Income | 130,698 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 603 |
| Management and Administrati ve—Investor Shares | 8,182 |
| Management and Administrati ve—Admiral Shares | 1,093 |
| Management and Administrati ve—Signal Shares | 1,065 |
| Management and Administrati ve—Institutional Shares | 1,459 |
| Management and Administrati ve—ETF Shares | 996 |
| Marketing and Distribution& #151;Investor Shares | 900 |
| Marketing and Distribution& #151;Admiral Shares | 195 |
| Marketing and Distribution& #151;Signal Shares | 325 |
| Marketing and Distribution& #151;Institutional Shares | 810 |
| Marketing and Distribution& #151;ETF Shares | 324 |
| Custodian Fees | 118 |
| Shareholders’ Reports—Investor Shares | 47 |
| Shareholders’ Reports—Admiral Shares | 1 |
| Shareholders’ Reports—Signal Shares | 30 |
| Shareholders’ Reports—Institutional Shares | 58 |
| Shareholders’ Reports—ETF Shares | 62 |
| Trustees’ Fees and Expenses | 17 |
| Total Expenses | 16,285 |
| Net Investment Income | 114,413 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 40,115 |
| Futures Contracts | 362 |
| Realized Net Gain (Loss) | 40,477 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (666,800) |
| Futures Contracts | (497) |
| Change in Unrealized Appreciation (Depreciation) | (667,297) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (512,407) |
1 Interest income from an affiliated company of the fund was $51,000.
See accompanying Notes, which are an integral part of the Financial Statements.
36
| | |
| Mid-Cap Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 114,413 | 216,559 |
| Realized Net Gain (Loss) | 40,477 | (1,367,461) |
| Change in Unrealized Appreciation (Depreciation) | (667,297) | 6,627,254 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (512,407) | 5,476,352 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (845) | (74,555) |
| Admiral Shares | (419) | (26,125) |
| Signal Shares | (412) | (27,839) |
| Institutional Shares | (1,110) | (73,930) |
| ETF Shares | (389) | (26,425) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (3,175) | (228,874) |
| Capital Share Transactions | | |
| Investor Shares | 156,568 | 310,089 |
| Admiral Shares | 119,327 | (15,864) |
| Signal Shares | 86,523 | 100,492 |
| Institutional Shares | 413,372 | 512,438 |
| ETF Shares | 200,357 | 536,791 |
| Net Increase (Decrease) from Capital Share Transactions | 976,147 | 1,443,946 |
| Total Increase (Decrease) | 460,565 | 6,691,424 |
| Net Assets | | |
| Beginning of Period | 19,486,228 | 12,794,804 |
| End of Period1 | 19,946,793 | 19,486,228 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $87,443,000 and ($23,795,000).
See accompanying Notes, which are an integral part of the Financial Statements.
37
| | | | | | |
| Mid-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Investor Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $16.36 | $11.80 | $20.70 | $19.78 | $17.63 | $15.64 |
| Investment Operations | | | | | | |
| Net Investment Income | .084 | .171 | .224 | .269 | .253 | .198 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.432) | 4.571 | (8.894) | .918 | 2.144 | 1.983 |
| Total from Investment Operations | (.348) | 4.742 | (8.670) | 1.187 | 2.397 | 2.181 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.002) | (.182) | (.230) | (.267) | (.247) | (.191) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.002) | (.182) | (.230) | (.267) | (.247) | (.191) |
| Net Asset Value, End of Period | $16.01 | $16.36 | $11.80 | $20.70 | $19.78 | $17.63 |
| |
| Total Return1 | -2.13% | 40.22% | -41.82% | 6.02% | 13.60% | 13.93% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $6,774 | $6,789 | $4,652 | $8,075 | $7,677 | $6,399 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.26%2 | 0.27% | 0.22% | 0.21% | 0.22% | 0.22% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 0.99%2 | 1.32% | 1.36% | 1.30% | 1.43% | 1.36% |
| Portfolio Turnover Rate3 | 13%2 | 21% | 24% | 19% | 18% | 18% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.
38
| | | | | | |
| Mid-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $74.23 | $53.49 | $93.93 | $89.73 | $79.98 | $70.92 |
| Investment Operations | | | | | | |
| Net Investment Income | .436 | .855 | 1.099 | 1.327 | 1.226 | .946 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.992) | 20.782 | (40.405) | 4.188 | 9.725 | 9.022 |
| Total from Investment Operations | (1.556) | 21.637 | (39.306) | 5.515 | 10.951 | 9.968 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.014) | (.897) | (1.134) | (1.315) | (1.201) | (.908) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.014) | (.897) | (1.134) | (1.315) | (1.201) | (.908) |
| Net Asset Value, End of Period | $72.66 | $74.23 | $53.49 | $93.93 | $89.73 | $79.98 |
| |
| Total Return | -2.10% | 40.48% | -41.78% | 6.17% | 13.69% | 14.04% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,246 | $2,184 | $1,601 | $2,975 | $4,075 | $2,852 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.14% | 0.11% | 0.10% | 0.13% | 0.13% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.13%1 | 1.45% | 1.47% | 1.41% | 1.52% | 1.45% |
| Portfolio Turnover Rate2 | 13%1 | 21% | 24% | 19% | 18% | 18% |
1 Annualized.
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.
39
| | | | |
| Mid-Cap Index Fund | | | | |
| |
| |
| Financial Highlights | | | | |
| |
| |
| Signal Shares | | | | |
| | Six Months | | | March 30, |
| | Ended | Year Ended | 20071 to |
| | | December 31, | |
| | June 30, | | | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 |
| Net Asset Value, Beginning of Period | $23.43 | $16.89 | $29.66 | $29.63 |
| Investment Operations | | | | |
| Net Investment Income | .136 | .271 | .349 | .300 |
| Net Realized and Unrealized Gain (Loss) on Investments | (.622) | 6.552 | (12.759) | .138 |
| Total from Investment Operations | (.486) | 6.823 | (12.410) | .438 |
| Distributions | | | | |
| Dividends from Net Investment Income | (.004) | (.283) | (.360) | (.408) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (.004) | (.283) | (.360) | (.408) |
| Net Asset Value, End of Period | $22.94 | $23.43 | $16.89 | $29.66 |
| |
| Total Return | -2.08% | 40.43% | -41.78% | 1.50% |
| |
| Ratios/Supplemental Data | | | | |
| Net Assets, End of Period (Millions) | $2,373 | $2,346 | $1,609 | $2,458 |
| Ratio of Total Expenses to Average Net Assets | 0.12%2 | 0.14% | 0.11% | 0.10%2 |
| Ratio of Net Investment Income to Average Net Assets | 1.13%2 | 1.45% | 1.47% | 1.41%2 |
| Portfolio Turnover Rate3 | 13%2 | 21% | 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.
40
| | | | | | |
| Mid-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $16.40 | $11.82 | $20.76 | $19.83 | $17.67 | $15.67 |
| Investment Operations | | | | | | |
| Net Investment Income | .099 | .197 | .250 | .300 | .286 | .228 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.436) | 4.588 | (8.933) | .928 | 2.149 | 1.983 |
| Total from Investment Operations | (.337) | 4.785 | (8.683) | 1.228 | 2.435 | 2.211 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.003) | (.205) | (.257) | (.298) | (.275) | (.211) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.003) | (.205) | (.257) | (.298) | (.275) | (.211) |
| Net Asset Value, End of Period | $16.06 | $16.40 | $11.82 | $20.76 | $19.83 | $17.67 |
| |
| Total Return | -2.06% | 40.51% | -41.76% | 6.22% | 13.78% | 14.09% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $6,213 | $5,960 | $3,820 | $6,162 | $4,633 | $2,905 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08%1 | 0.08% | 0.07% | 0.07% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.17%1 | 1.51% | 1.51% | 1.44% | 1.57% | 1.50% |
| Portfolio Turnover Rate2 | 13%1 | 21% | 24% | 19% | 18% | 18% |
1 Annualized.
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.
41
| | | | | | |
| Mid-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $59.97 | $43.21 | $75.90 | $72.48 | $64.61 | $57.32 |
| Investment Operations | | | | | | |
| Net Investment Income | .351 | .696 | .895 | 1.042 | .992 | .785 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.611) | 16.794 | (32.656) | 3.403 | 7.851 | 7.258 |
| Total from Investment Operations | (1.260) | 17.490 | (31.761) | 4.445 | 8.843 | 8.043 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.010) | (.730) | (.929) | (1.025) | (.973) | (.753) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.010) | (.730) | (.929) | (1.025) | (.973) | (.753) |
| Net Asset Value, End of Period | $58.70 | $59.97 | $43.21 | $75.90 | $72.48 | $64.61 |
| |
| Total Return | -2.10% | 40.49% | -41.79% | 6.14% | 13.69% | 14.03% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,341 | $2,207 | $1,113 | $1,087 | $1,582 | $1,044 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.14% | 0.12% | 0.13% | 0.13% | 0.13% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.13%1 | 1.45% | 1.46% | 1.38% | 1.52% | 1.45% |
| Portfolio Turnover Rate2 | 13%1 | 21% | 24% | 19% | 18% | 18% |
1 Annualized.
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
Mid-Cap Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Index Fund is registered under the Investment Company A ct of 1940 as an openend 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 wh o meet certain administrative, service, tenure, and account-size criteria. Signal Shares and Institutional Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. 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 th e 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 sec urities’ 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 t he 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 pri ces. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
43
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 tho se 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 a llocated 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 June 30, 2010, the fund had contributed capital of $4,096,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.64% of
Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quote d 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 June 30, 2010, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 19,946,066 | — | — |
| Temporary Cash Investments | 141,338 | 2,000 | — |
| Futures Contracts—Liabilities1 | (12) | — | — |
| Total | 20,087,392 | 2,000 | — |
1 Represents variation margin on the last day of the reporting period.
44
Mid-Cap Index Fund
D. At June 30, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) w ere:
| | | | |
| | | | | ($000) |
| | | | Aggregate | |
| | | Number of | Settlement | Unrealized |
| | | Long (Short) | Value | Appreciation |
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini S&P MidCap 400 Index | September 2010 | 22 | 1,562 | (69) |
| S&P MidCap 400 Index | September 2010 | 2 | 710 | (46) |
Unrealized appreciation (depreciation) on open futures contracts is required t o be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the trea tment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $276,898,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only a t the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $3,065,346,000 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 $1,793,234,000 through December 31, 2017. In addition, the fund realized losses of $251,861,000 during the period from November 1, 2009, through December 31, 2009, which are deferred and will be treated as realized for tax purposes in fiscal 2010. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2010, the cost of investment securities for tax purposes was $19,979,240,000. Net unrealized appreciation of investment securities for tax purposes was $110,164,000, consisting of unrealized gains of $2,731,662,000 on securities that had risen in value since their purchase and $2,621,498,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2010, the fund purchased $3,145, 321,000 of investment securities and sold $2,032,236,000 of investment securities, other than temporary cash investments.
45
Mid-Cap Index Fund
| | | | |
| G. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 979,757 | 56,617 | 1,423,348 | 107,883 |
| Issued in Lieu of Cash Distributions | 795 | 45 | 69,914 | 4,350 |
| Redeemed | (823,984) | (48,381) | (1,183,173) | (91,741) |
| Net Increase (Decrease)—Investor Shares | 156,568 | 8,281 | 310,089 | 20,492 |
| Admiral Shares | | | | |
| Issued | 282,914 | 3,596 | 291,548 | 4,815 |
| Issued in Lieu of Cash Distributions | 361 | 4 | 22,510 | 309 |
| Redeemed | (163,948) | (2,111) | (329,922) | (5,626) |
| Net Increase (Decrease)—Admiral Shares | 119,327 | 1,489 | (15,864) | (502) |
| Signal Shares | | | | |
| Issued | 412,150 | 16,628 | 573,460 | 30,467 |
| Issued in Lieu of Cash Distributions | 361 | 14 | 23,904 | 1,038 |
| Redeemed | (325,988) | (13,316) | (496,872) | (26,673) |
| Net Increase (Decrease)—Signal Shares | 86,523 | 3,326 | 100,492 | 4,832 |
| Institutional Shares | | | | |
| Issued | 927,766 | 53,552 | 1,384,125 | 105,648 |
| Issued in Lieu of Cash Distributions | 1,066 | 60 | 71,321 | 4,413 |
| Redeemed | (515,460) | (30,084) | (943,008) | (69,913) |
| Net Increase (Decrease)—Institutional Shares | 413,372 | 23,528 | 512,438 | 40,148 |
| ETF Shares | | | | |
| Issued | 914,189 | 14,677 | 1,647,762 | 34,436 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (713,832) | (11,600) | (1,110,971) | (23,400) |
| Net Increase (Decrease)—ETF Shares | 200,357 | 3,077 | 536,791 | 11,036 |
H. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
46
Mid-Cap Growth Index Fund
Fund Profile
As of June 30, 2010
| | | |
| Share-Class Characteristics | | |
| |
| | Investor | | ETF |
| | Shares | | Shares |
| Ticker Symbol | VMGIX | | VOT |
| Expense Ratio1 | 0.30% | | 0.14% |
| 30-Day SEC Yield | 0.23% | | 0.37% |
| |
| Portfolio Characteristics | | |
| | MSCI US | DJ |
| | Mid Cap | U.S. Total |
| | | Growth | Market |
| | Fund | Index | Index |
| Number of Stocks | 248 | 248 | 4,114 |
| Median Market Cap | $5.3B | $5.3B | $25.2B |
| Price/Earnings Ratio | 26.5x | 26.5x | 17.6x |
| Price/Book Ratio | 2.8x | 2.8x | 1.9x |
| Return on Equity | 18.1% | 18.1% | 19.1% |
| Earnings Growth Rate | 13.7% | 13.7% | 6.6% |
| Dividend Yield | 0.5% | 0.5% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 45% | — | — |
| Short-Term Reserves | 0.1% | — | — |
| |
| Sector Diversification (% of equity exposure) |
| | MSCI US | DJ |
| | Mid Cap | U.S. Total |
| | | Growth | Market |
| | Fund | Index | Index |
| Consumer | | | |
| Discretionary | 21.1% | 21.0% | 11.4% |
| Consumer Staples | 2.9 | 2.9 | 10.4 |
| Energy | 9.5 | 9.5 | 9.4 |
| Financials | 5.7 | 5.7 | 17.5 |
| Health Care | 17.5 | 17.5 | 11.7 |
| Industrials | 15.1 | 15.1 | 10.8 |
| Information | | | |
| Technology | 20.4 | 20.4 | 18.7 |
| Materials | 5.5 | 5.5 | 3.9 |
| Telecommunication | | | |
| Services | 1.3 | 1.3 | 2.7 |
| Utilities | 1.0 | 1.1 | 3.5 |
| | |
| Volatility Measures | | |
| | | DJ |
| | MSCI US | U.S. Total |
| | Mid Cap | Market |
| | Growth Index | Index |
| R-Squared | 1.00 | 0.89 |
| Beta | 1.00 | 1.13 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
| | |
| Salesforce.com Inc. | Application | |
| | Software | 1.1% |
| SanDisk Corp. | Computer Storage | |
| | & Peripherals | 1.1 |
| Hospira Inc. | Health Care | |
| | Equipment | 1.0 |
| Delta Air Lines Inc. | Airlines | 1.0 |
| Discovery | Broadcasting | |
| Communications Inc. | | 1.0 |
| AmerisourceBergen | Health Care | |
| Corp. Class A | Distributors | 1.0 |
| Life Technologies Corp. | Life Sciences Tools | |
| | & Services | 0.9 |
| Rockwell Collins Inc. | Aerospace & | |
| | Defense | 0.9 |
| priceline.com Inc. | Internet Retail | 0.9 |
| Cameron International | Oil & Gas | |
| Corp. | Equipment & | |
| | Services | 0.9 |
| Top Ten | | 9.8% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.26% for Investor Shares and 0.12% for ETF Shares.
47
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.
Fiscal-Year Total Returns (%): August 24, 2006, Through June 30, 2010
| | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | |
| |
| | Inception | One | Since |
| | Date | Year | Inception |
| Investor Shares | 8/24/2006 | 22.53% | -1.70% |
| ETF Shares | 8/17/2006 | | |
| Market Price | | 22.65 | -1.92 |
| Net Asset Value | | 22.70 | -1.92 |
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
48
Mid-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2010
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at 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 (21.1%) | |
| * | priceline.com Inc. | 62,842 | 11,094 |
| | Ross Stores Inc. | 170,686 | 9,096 |
| * | O’Reilly Automotive Inc. | 189,720 | 9,023 |
| | Wynn Resorts Ltd. | 110,368 | 8,418 |
| | Cablevision Systems Corp. | | |
| | Class A | 341,528 | 8,200 |
| | Nordstrom Inc. | 240,183 | 7,731 |
| * | Dollar Tree Inc. | 182,422 | 7,594 |
| | Virgin Media Inc. | 431,592 | 7,203 |
| | Harley-Davidson Inc. | 322,867 | 7,177 |
| | Family Dollar Stores Inc. | 181,316 | 6,834 |
| * | Discovery | | |
| | Communications Inc. | | |
| | Class A | 186,358 | 6,655 |
| * | NetFlix Inc. | 61,085 | 6,637 |
| | Advance Auto Parts Inc. | 130,353 | 6,541 |
| | Tiffany & Co. | 171,477 | 6,501 |
| | International | | |
| | Game Technology | 409,170 | 6,424 |
| | Polo Ralph Lauren Corp. | | |
| | Class A | 87,744 | 6,402 |
| * | Urban Outfitters Inc. | 185,920 | 6,394 |
| * | CarMax Inc. | 307,340 | 6,116 |
| * | Discovery | | |
| | Communications Inc. | 195,452 | 6,045 |
| * | BorgWarner Inc. | 161,079 | 6,015 |
| * | Chipotle Mexican Grill Inc. | | |
| | Class A | 43,481 | 5,949 |
| * | Autoliv Inc. | 117,378 | 5,617 |
| | Expedia Inc. | 291,402 | 5,473 |
| | Starwood Hotels & | | |
| | Resorts Worldwide Inc. | 128,856 | 5,338 |
| | PetSmart Inc. | 170,479 | 5,143 |
| * | Sirius XM Radio Inc. | 5,357,228 | 5,087 |
| | Scripps Networks | | |
| | Interactive Inc. Class A | 124,705 | 5,031 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Liberty Global Inc. Class A | 186,332 | 4,843 |
| * | Interpublic | | |
| | Group of Cos. Inc. | 670,110 | 4,778 |
| | DeVry Inc. | 88,367 | 4,638 |
| * | Liberty Global Inc. | 164,500 | 4,275 |
| * | ITT Educational Services Inc. | 48,907 | 4,060 |
| * | Lear Corp. | 60,513 | 4,006 |
| ^ | Strayer Education In c. | 19,250 | 4,002 |
| | Abercrombie & Fitch Co. | 121,428 | 3,727 |
| * | LKQ Corp. | 186,573 | 3,597 |
| * | Liberty Media Corp. - Starz | 68,196 | 3,535 |
| | Washington Post Co. | | |
| | Class B | 8,250 | 3,386 |
| | Whirlpool Corp. | 36,067 | 3,167 |
| * | Harman International | | |
| | Industries Inc. | 95,823 | 2,864 |
| * | GameStop Corp. Class A | 140,409 | 2,638 |
| | Guess? Inc. | 82,836 | 2,588 |
| * | Liberty Media Corp. - | | |
| | Capital | 58,889 | 2,468 |
| | Burger King Holdings Inc. | 130,614 | 2,200 |
| * | Goodyear Tire & | | |
| | Rubber Co. | 206,302 | 2,051 |
| * | TRW Automotive | | |
| | Holdings Corp. | 73,985 | 2,040 |
| * | NVR Inc. | 2,810 | 1,841 |
| * | MGM Resorts International | 182,562 | 1,760 |
| | American Eagle | | |
| | Outfitters Inc. | 135,598 | 1,593 |
| * | Royal Caribbean Cruises Ltd. | 66,948 | 1,524 |
| * | Pulte Group Inc. | 165,284 | 1,369 |
| | Wendy’s/Arby’s Group Inc. | | |
| | Class A | 330,619 | 1,322 |
| * | Toll Brothers Inc. | 67,533 | 1,105 |
| * | Lamar Advertising Co. | | |
| | Class A | 39,614 | 971 |
| | Weight Watchers | | |
| | International Inc. | 23,741 | 610 |
49
| | | |
| Mid-Cap Growth Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Education | | |
| | Management Corp. | 29,636 | 452 |
| * | Clear Channel Outdoor | | |
| | Holdings Inc. Class A | 27,754 | 241 |
| | | | 261,389 |
| Consumer Staples (2.9%) | | |
| | Mead Johnson | | |
| | Nutrition Co. | 183,335 | 9,189 |
| * | Whole Foods Market Inc. | 199,676 | 7,193 |
| | Dr Pepper Snapple | | |
| | Group Inc. | 175,242 | 6,552 |
| * | Energizer Holdings Inc. | 91,514 | 4,601 |
| * | Hansen Natural Corp. | 103,216 | 4,037 |
| | Flowers Foods Inc. | 114,239 | 2,791 |
| | Hormel Foods Corp. | 35,481 | 1,436 |
| | | | 35,799 |
| Energy (9.5%) | | |
| * | Cameron | | |
| | International Corp. | 336,864 | 10,955 |
| | El Paso Corp. | 966,457 | 10,737 |
| | Consol Energy Inc. | 302,699 | 10,219 |
| | Pioneer Natural | | |
| | Resources Co. | 159,391 | 9,476 |
| * | FMC Technologies Inc. | 168,491 | 8,873 |
| | Range Resources Corp. | 219,435 | 8,810 |
| * | Petrohawk Energy Corp. | 415,427 | 7,050 |
| * | Concho Resources Inc. | 106,913 | 5,916 |
| * | Alpha Natural | | |
| | Resources Inc. | 165,880 | 5,618 |
| * | Whiting Petroleum Corp. | 70,052 | 5,493 |
| | Helmerich & Payne Inc. | 145,804 | 5,325 |
| | EXCO Resources Inc. | 248,591 | 3,632 |
| * | Dresser-Rand Group Inc. | 113,853 | 3,592 |
| | Massey Energy Co. | 131,302 | 3,591 |
| * | Oceaneering | | |
| | International Inc. | 75,787 | 3,403 |
| * | Kinder Morgan | | |
| | Management LLC | 54,061 | 3,059 |
| | Cabot Oil & Gas Corp. | 93,143 | 2,917 |
| * | Denbury Resources Inc. | 182,153 | 2,667 |
| * | Continental Resources Inc. | 46,887 | 2,092 |
| * | Quicksilver Resources Inc. | 163,271 | 1,796 |
| * | Rowan Cos. Inc. | 54,641 | 1,199 |
| | Tesoro Corp. | 96,703 | 1,129 |
| * | Cobalt International | | |
| | Energy Inc. | 92,812 | 691 |
| | | | 118,240 |
| Financials (5.7%) | | |
| | Discover Financial Services | 749,310 | 10,475 |
| * | Intercontinental- | | |
| | Exchange Inc. | 86,234 | 9,747 |
| * | CIT Group Inc. | 262,148 | 8,876 |
| * | CB Richard Ellis Group Inc. | | |
| | Class A | 343,260 | 4,672 |
| | Eaton Vance Corp. | 161,368 | 4,455 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Host Hotels & Resorts Inc. | 304,733 | 4,108 |
| | SEI Investments Co. | 183,251 | 3,731 |
| * | Affiliated Managers | | |
| | Group Inc. | 58,292 | 3,542 |
| | Brown & Brown Inc. | 166,600 | 3,189 |
| | Comerica Inc. | 84,042 | 3,095 |
| * | St. Joe Co. | 127,674 | 2,957 |
| | Digital Realty Trust Inc. | 41,006 | 2,365 |
| | Janus Capital Group Inc. | 253,259 | 2,249 |
| | Greenhill & Co. Inc. | 34,577 | 2,114 |
| | Zions Bancorporation | 72,313 | 1,560 |
| * | First Horizon National Corp. | 110,179 | 1,262 |
| | City National Corp. | 22,421 | 1,149 |
| | TFS Financial Corp. | 82,447 | 1,023 |
| * | CBOE Holdings Inc. | 10,515 | 342 |
| | | | 70,911 |
| Health Care (17.5%) | | |
| * | Hospira Inc. | 225,918 | 12,979 |
| | AmerisourceBergen Corp. | | |
| | Class A | 389,432 | 12,364 |
| * | Life Technologies Corp. | 249,333 | 11,781 |
| * | Vertex Pharmaceuticals Inc. | 276,429 | 9,094 |
| * | Varian Medical Systems Inc. | 170,798 | 8,929 |
| * | DaVita Inc. | 142,357 | 8,889 |
| * | Edwards Lifesciences Corp. | 156,045 | 8,742 |
| * | Waters Corp. | 128,983 | 8,345 |
| * | Millipore Corp. | 77,284 | 8,242 |
| * | Cerner Corp. | 95,975 | 7,284 |
| * | Illumina Inc. | 165,761 | 7,216 |
| * | Mylan Inc. | 422,948 | 7,207 |
| * | Henry Schein Inc. | 125,116 | 6,869 |
| | Perrigo Co. | 113,150 | 6,684 |
| * | ResMed Inc. | 103,680 | 6,305 |
| * | Alexion Pharmaceuticals Inc. | 122,938 | 6,293 |
| * | Watson Pharmaceuticals Inc. | 144,814 | 5,875 |
| * | Human Genome | | |
| | Sciences Inc. | 258,409 | 5,856 |
| | Beckman Coulter Inc. | 96,420 | 5,813 |
| | DENTSPLY International Inc. | 192,823 | 5,767 |
| * | Mettler-Toledo | | |
| | International Inc. | 46,609 | 5,203 |
| * | IDEXX Laboratories Inc. | 80,017 | 4,873 |
| * | Covance Inc. | 88,170 | 4,525 |
| * | Lincare Holdings Inc. | 135,978 | 4,421 |
| * | Community Health | | |
| | Systems Inc. | 128,455 | 4,343 |
| * | Dendreon Corp. | 120,123 | 3,884 |
| * | Cephalon Inc. | 67,188 | 3,813 |
| * | Amylin Pharmaceuticals Inc. | 197,185 | 3,707 |
| | Patterson Cos. Inc. | 126,718 | 3,615 |
| * | Warner Chilcott PLC | | |
| | Class A | 156,138 | 3,568 |
| * | Gen-Probe Inc. | 68,073 | 3,092 |
| * | CareFusion Corp. | 129,968 | 2,950 |
| | Techne Corp. | 48,918 | 2,810 |
50
| | | |
| Mid-Cap Growth Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Bio-Rad Laboratories Inc. | | |
| | Class A | 26,318 | 2,276 |
| * | Myriad Genetics Inc. | 132,965 | 1,988 |
| * | Endo Pharmaceuticals | | |
| | Holdings Inc. | 56,389 | 1,230 |
| * | Abraxis Bioscience Inc. | 11,027 | 818 |
| | | | 217,650 |
| Industrials (15.1%) | | |
| * | Delta Air Lines Inc. | 1,082,924 | 12,724 |
| | Rockwell Collins Inc. | 216,691 | 11,513 |
| | Fastenal Co. | 183,006 | 9,185 |
| | WW Grainger Inc. | 84,843 | 8,438 |
| * | Stericycle Inc. | 111,132 | 7,288 |
| | Roper Industries Inc. | 129,078 | 7,223 |
| | Joy Global Inc. | 141,879 | 7,107 |
| * | McDermott | | |
| | International Inc. | 317,456 | 6,876 |
| | Flowserve Corp. | 76,906 | 6,522 |
| | Textron Inc. | 375,959 | 6,380 |
| * | Jacobs Engineering | | |
| | Group Inc. | 171,843 | 6,262 |
| | AMETEK Inc. | 148,698 | 5,970 |
| * | Quanta Services Inc. | 288,483 | 5,957 |
| | Iron Mountain Inc. | 252,791 | 5,678 |
| * | Kansas City Southern | 140,149 | 5,094 |
| | Bucyrus International Inc. | | |
| | Class A | 106,052 | 5,032 |
| | Rockwell Automation Inc. | 98,483 | 4,835 |
| | Dun & Bradstreet Corp. | 70,359 | 4,722 |
| | Robert Half International Inc. | 194,781 | 4,587 |
| * | Navistar International Corp. | 87,768 | 4,318 |
| | Donaldson Co. Inc. | 101,064 | 4,310 |
| | JB Hunt Transport | | |
| | Services Inc. | 131,700 | 4,303 |
| * | Verisk Analytics Inc. | | |
| | Class A | 138,818 | 4,151 |
| * | Shaw Group Inc. | 115,325 | 3,946 |
| * | Foster Wheeler AG | 175,835 | 3,703 |
| * | Copart Inc. | 98,696 | 3,534 |
| * | IHS Inc. Class A | 56,714 | 3,313 |
| | MSC Industrial Direct Co. | | |
| | Class A | 61,870 | 3,134 |
| * | Covanta Holding Corp. | 181,709 | 3,015 |
| * | Alliant Techsystems Inc. | 45,534 | 2,826 |
| * | FTI Consulting Inc. | 64,166 | 2,797 |
| | Pall Corp. | 81,024 | 2,785 |
| | Manpower Inc. | 58,503 | 2,526 |
| * | AMR Corp. | 298,163 | 2,022 |
| | SPX Corp. | 34,227 | 1,807 |
| * | Hertz Global Holdings Inc. | 154,961 | 1,466 |
| * | Terex Corp. | 74,365 | 1,394 |
| * | Sensata Technologies | | |
| | Holding NV | 46,895 | 750 |
| | | | 187,493 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Information Technology (20.4%) | |
| * | Salesforce.com Inc. | 154,931 | 13,296 |
| * | SanDisk Corp. | 315,324 | 13,266 |
| * | Citrix Systems Inc. | 253,346 | 10,699 |
| | Altera Corp. | 409,839 | 10,168 |
| * | Fiserv Inc. | 210,069 | 9,592 |
| * | Akamai Technologies Inc. | 236,019 | 9,575 |
| | Amphenol Corp. Class A | 238,891 | 9,384 |
| * | BMC Software Inc. | 251,887 | 8,723 |
| | Linear Technology Corp. | 308,027 | 8,566 |
| * | Cree Inc. | 139,133 | 8,352 |
| * | Autodesk Inc. | 316,543 | 7,711 |
| * | Red Hat Inc. | 260,036 | 7,525 |
| * | F5 Networks Inc. | 109,577 | 7,514 |
| * | Sybase Inc. | 113,606 | 7,346 |
| * | Teradata Corp. | 232,144 | 7,076 |
| * | McAfee Inc. | 218,628 | 6,716 |
| * | VeriSign Inc. | 252,780 | 6,711 |
| * | Western Digital Corp. | 204,997 | 6,183 |
| * | FLIR Systems Inc. | 210,684 | 6,129 |
| * | Rovi Corp. | 143,726 | 5,449 |
| * | ANSYS Inc. | 123,940 | 5,028 |
| * | Equinix Inc. | 60,236 | 4,892 |
| | Harris Corp. | 117,152 | 4,879 |
| * | Nuance | | |
| | Communications Inc. | 313,309 | 4,684 |
| * | Trimble Navigation Ltd. | 166,528 | 4,663 |
| * | Dolby Laboratories Inc. | | |
| | Class A | 73,908 | 4,633 |
| * | Alliance Data | | |
| | Systems Corp. | 72,029 | 4,287 |
| * | Hewitt Associates Inc. | | |
| | Class A | 123,207 | 4,246 |
| | Factset Research | | |
| | Systems Inc. | 61,792 | 4,139 |
| | Lender Processing | | |
| | Services Inc. | 131,689 | 4,123 |
| | Global Payments Inc. | 112,300 | 4,103 |
| * | ON Semiconductor Corp. | 589,907 | 3,764 |
| | Broadridge Financial | | |
| | Solutions Inc. | 185,959 | 3,542 |
| * | Novellus Systems Inc. | 132,244 | 3,354 |
| * | Brocade Communications | | |
| | Systems Inc. | 612,339 | 3,160 |
| * | MEMC Electronic | | |
| | Materials Inc. | 308,381 | 3,047 |
| * | Advanced Micro | | |
| | Devices Inc. | 393,941 | 2,884 |
| * | NCR Corp. | 220,164 | 2,668 |
| * | Avago Technologies Ltd. | 114,681 | 2,415 |
| * | Lam Research Corp. | 61,788 | 2,352 |
| * | Flextronics | | |
| | International Ltd. | 392,160 | 2,196 |
| * | Arrow Electronics Inc. | 82,680 | 1,848 |
| | DST Systems Inc. | 26,396 | 954 |
51
| | | |
| Mid-Cap Growth Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| *,^ | SunPower Corp. Class A | 76,067 | 920 |
| * | SunPower Corp. Class B | 28,691 | 310 |
| | | | 253,072 |
| Materials (5.5%) | | |
| | Cliffs Natural Resources Inc. | 186,340 | 8,788 |
| | Sigma-Aldrich Corp. | 167,804 | 8,362 |
| | Lubrizol Corp. | 94,386 | 7,580 |
| | CF Industries Holdings Inc. | 94,087 | 5,970 |
| * | Crown Holdings Inc. | 222,742 | 5,577 |
| | Allegheny Technologies Inc. | 121,768 | 5,381 |
| | Celanese Corp. Class A | 200,941 | 5,005 |
| | Walter Energy Inc. | 73,858 | 4,494 |
| | Nalco Holding Co. | 190,762 | 3,903 |
| | Scotts Miracle-Gro Co. | | |
| | Class A | 64,171 | 2,850 |
| | United States Steel Corp. | 69,212 | 2,668 |
| * | Titanium Metals Corp. | 124,168 | 2,184 |
| | FMC Corp. | 33,303 | 1,913 |
| | Martin Marietta | | |
| | Materials Inc. | 21,843 | 1,853 |
| | Steel Dynamics Inc. | 98,781 | 1,303 |
| | | | 67,831 |
| Telecommunication Services (1.3%) | |
| * | NII Holdings Inc. | 229,778 | 7,472 |
| * | SBA Communications Corp. | |
| | Class A | 153,174 | 5,210 |
| * | MetroPCS | | |
| | Communications Inc. | 221,346 | 1,813 |
| * | Level 3 | | |
| | Communications Inc. | 1,130,720 | 1,233 |
| * | Clearwire Corp. Class A | 88,106 | 641 |
| | | | 16,369 |
| Utilities (1.0%) | | |
| | EQT Corp. | 188,442 | 6,810 |
| * | Calpine Corp. | 488,628 | 6,216 |
| | | | 13,026 |
| Total Common Stocks | | |
| (Cost $1,189,138) | | 1,241,780 |
| | |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Temporary Cash Investment (0.3%) | |
| Money Market Fund (0.3%) | |
| 1,2 Vanguard Market | | |
| Liquidity Fund, | 0.286% | |
| (Cost $3,264) | 3,264,485 | 3,264 |
| Total Investments (100.3%) | |
| (Cost $1,192,402) | | 1,245,044 |
| Other Assets and Liabilities (-0.3%) | |
| Other Assets | | 1,314 |
| Liabilities2 | | (4,953) |
| | | (3,639) |
| Net Assets (100%) | | 1,241,405 |
| |
| |
| At June 30, 2010, net assets consisted of: | |
| | | Amount |
| | | ($000) |
| Paid-in Capital | | 1,590,013 |
| Undistributed Net Investment Income | 1,431 |
| Accumulated Net Realized Losses | (402,681) |
| Unrealized Appreciation (Depreciation) | 52,642 |
| Net Assets | | 1,241,405 |
| |
| |
| Investor Shares—Net Assets | |
| Applicable to 31,884,400 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 587,887 |
| Net Asset Value Per Share— | |
| Investor Shares | | $18.44 |
| |
| |
| ETF Shares—Net Assets | | |
| Applicable to 13,928,962 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 653,518 |
| Net Asset Value Per Share— | |
| ETF Shares | | $46.92 |
• 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 $1,830,000.
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 $1,923,000 of collateral received for securities on loan.
See accompanying Notes, which are an integral part of the Financial Statements.
52
| |
| Mid-Cap Growth Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 3,612 |
| Interest1 | 3 |
| Security Lending | 100 |
| Total Income | 3,715 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 87 |
| Management and Administrati ve—Investor Shares | 644 |
| Management and Administrati ve—ETF Shares | 224 |
| Marketing and Distribution& #151;Investor Shares | 76 |
| Marketing and Distribution& #151;ETF Shares | 95 |
| Custodian Fees | 39 |
| Shareholders’ Reports—Investor Shares | 3 |
| Shareholders’ Reports—ETF Shares | 24 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,193 |
| Net Investment Income | 2,522 |
| Realized Net Gain (Loss) on Investment Securities Sold | (18,424) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (32,214) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (48,116) |
| 1 Interest income from an affiliated company of the fund was $3,000. | |
| |
| |
| |
| |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
53
| | |
| Mid-Cap Growth Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 2,522 | 5,814 |
| Realized Net Gain (Loss) | (18,424) | (86,447) |
| Change in Unrealized Appreciation (Depreciation) | (32,214) | 415,760 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (48,116) | 335,127 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | — | (2,593) |
| ETF Shares | — | (3,860) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | — | (6,453) |
| Capital Share Transactions | | |
| Investor Shares | 66,253 | 132,234 |
| ETF Shares | 31,730 | 42,626 |
| Net Increase (Decrease) from Capital Share Transactions | 97,983 | 174,860 |
| Total Increase (Decrease) | 49,867 | 503,534 |
| Net Assets | | |
| Beginning of Period | 1,191,538 | 688,004 |
| End of Period1 | 1,241,405 | 1,191,538 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,431,000 and ($1,017,000).
See accompanying Notes, which are an integral part of the Financial Statements.
54
| | | | | |
| Mid-Cap Growth Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Investor Shares | | | | | |
| | Six Months | | | | Aug. 24, |
| | Ended | | | | 20061 to |
| | June 30, | | Year Ended December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $19.05 | $13.43 | $25.50 | $21.78 | $20.00 |
| Investment Operations | | | | | |
| Net Investment Income | .032 | .084 | .059 | .0812 | .090 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.642) | 5.629 | (12.065) | 3.686 | 1.770 |
| Total from Investment Operations | (.610) | 5.713 | (12.006) | 3.767 | 1.860 |
| Distributions | | | | | |
| Dividends from Net Investment Income | — | (.093) | (.064) | (.047) | (.080) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | — | (.093) | (.064) | (.047) | (.080) |
| Net Asset Value, End of Period | $18.44 | $19.05 | $13.43 | $25.50 | $21.78 |
| |
| Total Return3 | -3.20% | 42.54% | -47.07% | 17.30% | 9.30% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $588 | $546 | $275 | $389 | $24 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.26%4 | 0.30% | 0.25% | 0.24% | 0.26%4 |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 0.32%4 | 0.55% | 0.37% | 0.33% | 1.00%4 |
| Portfolio Turnover Rate5 | 45%4 | 43% | 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 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
| | | | | |
| Mid-Cap Growth Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| | Six Months | | | | Aug. 17, |
| | Ended | | | | 20061 to |
| | June 30, | | Year Ended December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $48.45 | $34.12 | $64.85 | $55.35 | $51.55 |
| Investment Operations | | | | | |
| Net Investment Income | .114 | .267 | .214 | .2752 | .228 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (1.644) | 14.353 | (30.717) | 9.378 | 3.783 |
| Total from Investment Operations | (1.530) | 14.620 | (30.503) | 9.653 | 4.011 |
| Distributions | | | | | |
| Dividends from Net Investment Income | — | (.290) | (.227) | (.153) | (.211) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | — | (.290) | (.227) | (.153) | (.211) |
| Net Asset Value, End of Period | $46.92 | $48.45 | $34.12 | $64.85 | $55.35 |
| |
| Total Return | -3.16% | 42.85% | -47.02% | 17.44% | 7.78% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $654 | $646 | $413 | $377 | $22 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.12%3 | 0.14% | 0.12% | 0.13% | 0.13%3 |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 0.46%3 | 0.71% | 0.50% | 0.44% | 1.13%3 |
| Portfolio Turnover Rate4 | 45%3 | 43% | 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.
56
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 S hares 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 th e 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 sec urities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, 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 tho se 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 a llocated 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 June 30, 2010, the fund had contributed capital of $254,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.10% of
Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
57
Mid-Cap Growth Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quote d 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 June 30, 2010, 100% of the fund’s investments were valued based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the trea tment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $29,493,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only a t the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $315,169,000 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 $265,770,000 through December 31, 2017. In addition, the fund realized losses of $38,049,000 during the period from November 1, 2009, through December 31, 2009, which are deferred and will be treated as realized for tax purposes in fiscal 2010. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses w ill be added to the loss carryforward balance above.
At June 30, 2010, the cost of investment securities for tax purposes was $1,192,402,000. Net unrealized appreciation of investment securities for tax purposes was $52,642,000, consisting of unrealized gains of $145,638,000 on securities that had risen in value since their purchase and $92,996,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2010, the fund purchased $527,50 5,000 of investment securities and sold $428,834,000 of investment securities, other than temporary cash investments.
58
Mid-Cap Growth Index Fund
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 170,470 | 8,508 | 239,949 | 15,221 |
| Issued in Lieu of Cash Distributions | — | — | 2,408 | 126 |
| Redeemed | (104,217) | (5,278) | (110,123) | (7,151) |
| Net Increase (Decrease)—Investor Shares | 66,253 | 3,230 | 132,234 | 8,196 |
| ETF Shares | | | | |
| Issued | 182,848 | 3,704 | 310,206 | 8,211 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (151,118) | (3,100) | (267,580) | (7,000) |
| Net Increase (Decrease)—ETF Shares | 31,730 | 604 | 42,626 | 1,211 |
G. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
59
Mid-Cap Value Index Fund
Fund Profile
As of June 30, 2010
| | | |
| Share-Class Characteristics | | |
| |
| | Investor | | ETF |
| | Shares | | Shares |
| Ticker Symbol | VMVIX | | VOE |
| Expense Ratio1 | 0.30% | | 0.14% |
| 30-Day SEC Yield | 1.94% | | 2.08% |
| |
| Portfolio Characteristics | | |
| | | | DJ |
| | MSCI US | U.S. Total |
| | Mid Cap | Market |
| | Fund | Value Index | Index |
| Number of Stocks | 263 | 263 | 4,114 |
| Median Market Cap | $4.3B | $4.3B | $25.2B |
| Price/Earnings Ratio | 19.2x | 19.2x | 17.6x |
| Price/Book Ratio | 1.4x | 1.4x | 1.9x |
| Return on Equity | 11.9% | 11.9% | 19.1% |
| Earnings Growth Rate | 1.9% | 1.9% | 6.6% |
| Dividend Yield | 2.3% | 2.3% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 41% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| |
| Sector Diversification (% of equity exposure) |
| | MSCI US | DJ |
| | Mid Cap | U.S. Total |
| | | Value | Market |
| | Fund | Index | Index |
| Consumer | | | |
| Discretionary | 11.0% | 11.0% | 11.4% |
| Consumer Staples | 6.0 | 6.0 | 10.4 |
| Energy | 5.4 | 5.4 | 9.4 |
| Financials | 30.8 | 30.8 | 17.5 |
| Health Care | 4.7 | 4.7 | 11.7 |
| Industrials | 9.2 | 9.2 | 10.8 |
| Information | | | |
| Technology | 10.9 | 10.9 | 18.7 |
| Materials | 7.6 | 7.6 | 3.9 |
| Telecommunication | | | |
| Services | 1.4 | 1.4 | 2.7 |
| Utilities | 13.0 | 13.0 | 3.5 |
| | |
| Volatility Measures | | |
| | | DJ |
| | MSCI US | U.S. Total |
| | Mid Cap | Market |
| | Value Index | Index |
| R-Squared | 1.00 | 0.95 |
| Beta | 1.00 | 1.18 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
| | |
| HCP Inc. | Specialized REITs | 1.1% |
| Goodrich Corp. | Aerospace & | |
| | Defense | 0.9 |
| Questar Corp. | Gas Utilities | 0.9 |
| Regions Financial Corp. | Regional Banks | 0.9 |
| Dover Corp. | Industrial | |
| | Machinery | 0.9 |
| Humana Inc. | Managed Health | |
| | Care | 0.9 |
| Mattel Inc. | Leisure Products | 0.9 |
| AvalonBay Communities | Residential REITs | |
| Inc. | | 0.9 |
| DTE Energy Co. | Multi-Utilities | 0.9 |
| Ventas Inc. | Specialized REITs | 0.8 |
| Top Ten | | 9.1% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.26% for Investor Shares and 0.12% for ETF Shares.
60
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.
Fiscal-Year Total Returns (%): August 24, 2006, Through June 30, 2010
| | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | |
| |
| | Inception | One | Since |
| | Date | Year | Inception |
| Investor Shares | 8/24/2006 | 30.80% | -1.96% |
| ETF Shares | 8/17/2006 | | |
| Market Price | | 30.99 | -1.96 |
| Net Asset Value | | 31.03 | -1.96 |
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
61
Mid-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2010
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at 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 (11.0%) | |
| | Mattel Inc. | 471,499 | 9,977 |
| | Genuine Parts Co. | 205,768 | 8,118 |
| | Ltd Brands Inc. | 355,186 | 7,839 |
| * | Liberty Media Corp. - | | |
| | Interactive | 735,761 | 7,725 |
| | H&R Block Inc. | 435,046 | 6,826 |
| | Darden Restaurants Inc. | 172,227 | 6,691 |
| | Hasbro Inc. | 159,130 | 6,540 |
| | Whirlpool Corp. | 63,043 | 5,536 |
| | Newell Rubbermaid Inc. | 360,064 | 5,271 |
| | Starwood Hotels & | | |
| | Resorts Worldwide Inc. | 121,113 | 5,018 |
| | Wyndham Worldwide Corp. | 231,879 | 4,670 |
| | Gannett Co. Inc. | 307,829 | 4,143 |
| | Leggett & Platt Inc. | 192,487 | 3,861 |
| | DR Horton Inc. | 370,909 | 3,646 |
| * | Mohawk Industries Inc. | 75,486 | 3,454 |
| * | NVR Inc. | 4,896 | 3,207 |
| | Lennar Corp. Class A | 199,088 | 2,769 |
| * | Royal Caribbean | | |
| | Cruises Ltd. | 117,343 | 2,672 |
| | Foot Locker Inc. | 202,878 | 2,560 |
| * | Pulte Group Inc. | 289,846 | 2,400 |
| * | Liberty Media Corp. - | | |
| | Capital | 55,329 | 2,319 |
| * | Hyatt Hotels Corp. Class A | 56,870 | 2,109 |
| * | Penn National Gaming Inc. | 87,079 | 2,012 |
| * | Toll Brothers Inc. | 118,373 | 1,937 |
| | Brinker International Inc. | 132,814 | 1,920 |
| *,^ | AutoNation Inc. | 88,399 | 1,724 |
| * | MGM Resorts International | 171,443 | 1,653 |
| | Interactive Data Corp. | 48,961 | 1,634 |
| | American Eagle | | |
| | Outfitters Inc. | 127,802 | 1,502 |
| * | GameStop Corp. Class A | 70,924 | 1,333 |
| * | Goodyear Tire & | | |
| | Rubber Co. | 104,678 | 1,041 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | TRW Automotive | | |
| | Holdings Corp. | 37,392 | 1,031 |
| * | Lamar Advertising Co. | | |
| | Class A | 37,313 | 915 |
| | Wendy’s/Arby’s Group Inc. | | |
| | Class A | 168,155 | 673 |
| | Weight Watchers | | |
| | International Inc. | 22,432 | 576 |
| * | Education | | |
| | Management Corp. | 27,654 | 422 |
| * | Clear Channel Outdoor | | |
| | Holdings Inc. Class A | 26,361 | 229 |
| | | | 125,953 |
| Consumer Staples (6.0%) | | |
| | JM Smucker Co. | 154,324 | 9,293 |
| | Bunge Ltd. | 177,187 | 8,716 |
| | Tyson Foods Inc. Class A | 377,612 | 6,189 |
| | Dr Pepper Snapple | | |
| | Group Inc. | 164,734 | 6,159 |
| | McCormick & Co. Inc. | 155,239 | 5,893 |
| | Church & Dwight Co. Inc. | 91,594 | 5,744 |
| | Mead Johnson Nutrition Co. | 92,822 | 4,652 |
| * | Constellation Brands Inc. | | |
| | Class A | 257,006 | 4,015 |
| * | Ralcorp Holdings Inc. | 70,991 | 3,890 |
| | Alberto-Culver Co. Class B | 114,830 | 3,111 |
| | SUPERVALU Inc. | 274,889 | 2,980 |
| * | Smithfield Foods Inc. | 193,433 | 2,882 |
| | Hormel Foods Corp. | 61,928 | 2,507 |
| * | Dean Foods Co. | 235,283 | 2,369 |
| | | | 68,400 |
| Energy (5.4%) | | |
| * | Newfield Exploration Co. | 172,524 | 8,429 |
| | Cimarex Energy Co. | 108,701 | 7,781 |
| * | Nabors Industries Ltd. | 369,090 | 6,503 |
| | Sunoco Inc. | 151,631 | 5,272 |
| * | Pride International Inc. | 227,659 | 5,086 |
| * | Denbury Resources Inc. | 318,072 | 4,657 |
| | Arch Coal Inc. | 210,592 | 4,172 |
62
| | | |
| Mid-Cap Value Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Forest Oil Corp. | 138,298 | 3,784 |
| * | Plains Exploration & | | |
| | Production Co. | 180,761 | 3,726 |
| * | Kinder Morgan | | |
| | Management LLC | 50,776 | 2,873 |
| | Tidewater Inc. | 67,023 | 2,595 |
| | Patterson-UTI Energy Inc. | 199,023 | 2,561 |
| * | Rowan Cos. Inc. | 95,854 | 2,103 |
| | Cabot Oil & Gas Corp. | 47,045 | 1,473 |
| | Tesoro Corp. | 90,827 | 1,060 |
| | | | 62,075 |
| Financials (30.8%) | | |
| | HCP Inc. | 380,981 | 12,287 |
| | Regions Financial Corp. | 1,546,318 | 10,175 |
| | AvalonBay | | |
| | Communities Inc. | 105,706 | 9,870 |
| | Ventas Inc. | 203,176 | 9,539 |
| | Lincoln National Corp. | 391,897 | 9,519 |
| | Unum Group | 430,941 | 9,351 |
| | KeyCorp | 1,139,062 | 8,759 |
| * | Genworth Financial Inc. | | |
| | Class A | 634,106 | 8,288 |
| | New York Community | | |
| | Bancorp Inc. | 533,578 | 8,148 |
| | Plum Creek Timber Co. Inc. | 211,212 | 7,293 |
| | Host Hotels & Resorts Inc. | 531,897 | 7,170 |
| | XL Capital Ltd. Class A | 443,580 | 7,102 |
| | Kimco Realty Corp. | 525,794 | 7,067 |
| | Health Care REIT Inc. | 160,366 | 6,755 |
| | Willis Group Holdings PLC | 219,117 | 6,584 |
| | People’s United | | |
| | Financial Inc. | 485,879 | 6,559 |
| * | SLM Corp. | 628,716 | 6,532 |
| | ProLogis | 614,832 | 6,228 |
| | Macerich Co. | 166,860 | 6,227 |
| | PartnerRe Ltd. | 85,662 | 6,008 |
| | Legg Mason Inc. | 209,337 | 5,868 |
| | Federal Realty | | |
| | Investment Trust | 79,426 | 5,581 |
| | SL Green Realty Corp. | 100,910 | 5,554 |
| | Everest Re Group Ltd. | 78,291 | 5,537 |
| | Nationwide Health | | |
| | Properties Inc. | 152,248 | 5,446 |
| * | American International | | |
| | Group Inc. | 157,449 | 5,423 |
| | Comerica Inc. | 146,670 | 5,402 |
| | Torchmark Corp. | 107,412 | 5,318 |
| | Assurant Inc. | 151,036 | 5,241 |
| | Cincinnati Financial Corp. | 200,688 | 5,192 |
| | Huntington Bancshares Inc. | 928,867 | 5,146 |
| * | Arch Capital Group Ltd. | 68,603 | 5,111 |
| | AMB Property Corp. | 214,907 | 5,095 |
| | Axis Capital Holdings Ltd. | 162,524 | 4,830 |
| | WR Berkley Corp. | 178,223 | 4,716 |
| | Marshall & Ilsley Corp. | 647,253 | 4,647 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Rayonier Inc. | 103,635 | 4,562 |
| | RenaissanceRe | | |
| | Holdings Ltd. | 77,857 | 4,381 |
| | Reinsurance Group of | | |
| | America Inc. Class A | 94,630 | 4,326 |
| | Liberty Property Trust | 146,211 | 4,218 |
| | Digital Realty Trust Inc. | 71,506 | 4,124 |
| * | Markel Corp. | 12,094 | 4,112 |
| ^ | Realty Income Corp. | 135,365 | 4,106 |
| | Transatlantic Holdings Inc. | 83,369 | 3,998 |
| | UDR Inc. | 202,328 | 3,871 |
| | Fidelity National | | |
| | Financial Inc. Class A | 283,792 | 3,686 |
| | Duke Realty Corp. | 321,465 | 3,649 |
| | Regency Centers Corp. | 105,748 | 3,638 |
| | HCC Insurance | | |
| | Holdings Inc. | 145,880 | 3,612 |
| | Cullen/Frost Bankers Inc. | 70,079 | 3,602 |
| | Old Republic | | |
| | International Corp. | 296,461 | 3,596 |
| | Hospitality Properties Trust | 159,994 | 3,376 |
| | White Mountains Insurance | | |
| | Group Ltd. | 10,319 | 3,345 |
| | Commerce Bancshares Inc. | 91,690 | 3,300 |
| * | NASDAQ OMX Group Inc. | 178,213 | 3,169 |
| | Raymond James | | |
| | Financial Inc. | 128,300 | 3,168 |
| | Jefferies Group Inc. | 144,582 | 3,048 |
| | Weingarten Realty Investors | 147,859 | 2,817 |
| | American Financial | | |
| | Group Inc. | 101,730 | 2,779 |
| | Zions Bancorporation | 126,706 | 2,733 |
| | TCF Financial Corp. | 163,491 | 2,716 |
| | Assured Guaranty Ltd. | 203,082 | 2,695 |
| | Associated Banc-Corp | 212,657 | 2,607 |
| | Federated Investors Inc. | | |
| | Class B | 120,109 | 2,487 |
| | Validus Holdings Ltd. | 94,194 | 2,300 |
| * | First Horizon National Corp. | 192,170 | 2,200 |
| | City National Corp. | 39,058 | 2,001 |
| | BOK Financial Corp. | 35,215 | 1,672 |
| | Mercury General Corp. | 35,500 | 1,471 |
| | Capitol Federal Financial | 28,715 | 952 |
| | TFS Financial Corp. | 41,945 | 521 |
| | | | 352,406 |
| Health Care (4.7%) | | |
| * | Humana Inc. | 220,704 | 10,080 |
| * | Hologic Inc. | 335,181 | 4,669 |
| | Universal Health | | |
| | Services Inc. Class B | 116,229 | 4,434 |
| | Pharmaceutical Product | | |
| | Development Inc. | 145,934 | 3,708 |
| | Omnicare Inc. | 155,949 | 3,696 |
| * | Coventry Health Care Inc. | 191,920 | 3,393 |
| * | Health Net Inc. | 129,902 | 3,166 |
63
| | | |
| Mid-Cap Value Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Kinetic Concepts Inc. | 83,241 | 3,039 |
| * | Charles River Laboratories | | |
| | International Inc. | 85,391 | 2,921 |
| * | CareFusion Corp. | 122,082 | 2,771 |
| * | Inverness Medical | | |
| | Innovations Inc. | 102,453 | 2,731 |
| * | King Pharmaceuticals Inc. | 322,079 | 2,445 |
| * | Endo Pharmaceuticals | | |
| | Holdings Inc. | 98,805 | 2,156 |
| * | Dendreon Corp. | 60,878 | 1,968 |
| * | Cephalon Inc. | 33,972 | 1,928 |
| | | | 53,105 |
| Industrials (9.2%) | | |
| | Goodrich Corp. | 162,282 | 10,751 |
| | Dover Corp. | 242,754 | 10,145 |
| | Cooper Industries PLC | 216,740 | 9,537 |
| | Pitney Bowes Inc. | 268,972 | 5,907 |
| | Masco Corp. | 466,649 | 5,021 |
| | Equifax Inc. | 163,881 | 4,599 |
| | Rockwell Automation Inc. | 92,571 | 4,544 |
| * | Owens Corning | 149,123 | 4,460 |
| | RR Donnelley & Sons Co. | 266,365 | 4,360 |
| * | URS Corp. | 108,797 | 4,281 |
| | Cintas Corp. | 178,373 | 4,276 |
| | KBR Inc. | 208,037 | 4,232 |
| | Avery Dennison Corp. | 130,754 | 4,201 |
| | Pentair Inc. | 127,915 | 4,119 |
| * | AGCO Corp. | 119,873 | 3,233 |
| | Ryder System Inc. | 69,226 | 2,785 |
| * | Aecom Technology Corp. | 118,155 | 2,725 |
| | Pall Corp. | 76,057 | 2,614 |
| * | Spirit Aerosystems | | |
| | Holdings Inc. Class A | 136,262 | 2,597 |
| | Harsco Corp. | 104,348 | 2,452 |
| | Manpower Inc. | 54,917 | 2,371 |
| | SPX Corp. | 32,283 | 1,705 |
| * | Hertz Global Holdings Inc. | 146,222 | 1,383 |
| * | Terex Corp. | 70,350 | 1,318 |
| * | AMR Corp. | 150,622 | 1,021 |
| | | | 104,637 |
| Information Technology (10.9%) | |
| * | Micron Technology Inc. | 1,102,922 | 9,364 |
| | Xilinx Inc. | 358,685 | 9,060 |
| | Computer Sciences Corp. | 199,169 | 9,012 |
| * | SAIC Inc. | 513,320 | 8,593 |
| * | Seagate Technology | 647,120 | 8,439 |
| | Microchip Technology Inc. | 238,870 | 6,626 |
| | Maxim Integrated | | |
| | Products Inc. | 395,158 | 6,611 |
| | KLA-Tencor Corp. | 223,102 | 6,220 |
| * | Avnet Inc. | 196,751 | 4,744 |
| | National | | |
| | Semiconductor Corp. | 308,107 | 4,147 |
| * | Lam Research Corp. | 107,787 | 4,102 |
| * | Synopsys Inc. | 190,036 | 3,966 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | LSI Corp. | 851,153 | 3,915 |
| * | Flextronics | | |
| | International Ltd. | 684,908 | 3,836 |
| | Jabil Circuit Inc. | 253,157 | 3,367 |
| * | Lexmark International Inc. | | |
| | Class A | 101,358 | 3,348 |
| * | Ingram Micro Inc. | 212,177 | 3,223 |
| * | Western Digital Corp. | 103,757 | 3,129 |
| | Tellabs Inc. | 475,756 | 3,040 |
| * | IAC/InterActiveCorp | 134,465 | 2,954 |
| | Total System Services Inc. | 217,207 | 2,954 |
| * | AOL Inc. | 137,204 | 2,853 |
| * | Advanced Micro | | |
| | Devices Inc. | 370,186 | 2,710 |
| | Harris Corp. | 59,338 | 2,471 |
| * | Arrow Electronics Inc. | 77,606 | 1,735 |
| | Molex Inc. Class A | 96,142 | 1,485 |
| | Molex Inc. | 80,439 | 1,467 |
| | DST Systems Inc. | 24,751 | 895 |
| * | SunPower Corp. Class B | 27,168 | 293 |
| | | | 124,559 |
| Materials (7.6%) | | |
| | Vulcan Materials Co. | 163,799 | 7,179 |
| | Airgas Inc. | 101,902 | 6,338 |
| | Ball Corp. | 115,886 | 6,122 |
| * | Owens-Illinois Inc. | 218,600 | 5,782 |
| | Eastman Chemical Co. | 93,963 | 5,014 |
| | MeadWestvaco Corp. | 222,084 | 4,930 |
| * | Pactiv Corp. | 171,615 | 4,780 |
| | United States Steel Corp. | 120,842 | 4,658 |
| | Ashland Inc. | 96,164 | 4,464 |
| | International Flavors & | | |
| | Fragrances Inc. | 102,722 | 4,357 |
| | Albemarle Corp. | 106,537 | 4,231 |
| | Sealed Air Corp. | 206,107 | 4,064 |
| | Sonoco Products Co. | 130,011 | 3,963 |
| | Bemis Co. Inc. | 140,279 | 3,788 |
| | Valspar Corp. | 122,443 | 3,688 |
| | FMC Corp. | 58,074 | 3,335 |
| | Reliance Steel & | | |
| | Aluminum Co. | 90,918 | 3,287 |
| | Martin Marietta | | |
| | Materials Inc. | 38,200 | 3,240 |
| | Steel Dynamics Inc. | 173,174 | 2,284 |
| | Greif Inc. Class A | 31,896 | 1,772 |
| | | | 87,276 |
| Telecommunication Services (1.4%) | |
| | Windstream Corp. | 626,601 | 6,617 |
| ^ | Frontier | | |
| | Communications Corp. | 404,701 | 2,877 |
| | Telephone & | | |
| | Data Systems Inc. | 64,575 | 1,962 |
| | Telephone & | | |
| | Data Systems Inc. - | | |
| | Special Common Shares | 57,811 | 1,534 |
64
| | | |
| Mid-Cap Value Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Level 3 | | |
| | Communications Inc. | 1,066,778 | 1,163 |
| * | United States Cellular Corp. | 24,240 | 998 |
| * | MetroPCS | | |
| | Communications Inc. | 112,390 | 921 |
| * | Clearwire Corp. Class A | 44,924 | 327 |
| | | | 16,399 |
| Utilities (13.0%) | | |
| | Questar Corp. | 226,304 | 10,295 |
| | DTE Energy Co. | 214,752 | 9,795 |
| | Constellation Energy | | |
| | Group Inc. | 247,576 | 7,984 |
| | Wisconsin Energy Corp. | 151,568 | 7,691 |
| * | NRG Energy Inc. | 339,564 | 7,202 |
| | CenterPoint Energy Inc. | 514,099 | 6,765 |
| | Northeast Utilities | 227,796 | 5,804 |
| | Oneok Inc. | 130,738 | 5,654 |
| | SCANA Corp. | 151,669 | 5,424 |
| | NiSource Inc. | 358,893 | 5,204 |
| | Pinnacle West Capital Corp. | 139,432 | 5,070 |
| | NSTAR | 138,509 | 4,848 |
| | American Water | | |
| | Works Co. Inc. | 226,439 | 4,665 |
| | OGE Energy Corp. | 125,867 | 4,602 |
| | Alliant Energy Corp. | 143,531 | 4,556 |
| | Allegheny Energy Inc. | 219,922 | 4,548 |
| | Pepco Holdings Inc. | 288,258 | 4,520 |
| | CMS Energy Corp. | 297,680 | 4,361 |
| | Integrys Energy Group Inc. | 99,199 | 4,339 |
| | MDU Resources Group Inc. | 231,401 | 4,172 |
| | National Fuel Gas Co. | 89,416 | 4,102 |
| | TECO Energy Inc. | 263,459 | 3,970 |
| | Energen Corp. | 88,527 | 3,924 |
| | DPL Inc. | 154,402 | 3,690 |
| | AGL Resources Inc. | 100,547 | 3,602 |
| | NV Energy Inc. | 304,505 | 3,596 |
| | UGI Corp. | 141,154 | 3,591 |
| | Aqua America Inc. | 177,254 | 3,134 |
| * | Mirant Corp. | 186,551 | 1,970 |
| | | | 149,078 |
| Total Common Stocks | | |
| (Cost $1,134,059) | | 1,143,888 |
| | |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Temporary Cash Investments (0.3%) | |
| Money Market Fund (0.3%) | |
| 1,2 Vanguard Market | | |
| Liquidity Fund, | | |
| 0.286% | 3,401,602 | 3,402 |
| |
| | Face | |
| | Amount | |
| | ($000) | |
| U.S. Government and Agency Obligations (0.0%) |
| 3 Fannie Mae | | |
| Discount Notes, | | |
| 0.300%, 9/15/10 | 300 | 300 |
| Total Temporary Cash Investments | |
| (Cost $3,702) | | 3,702 |
| Total Investments (100.3%) | |
| (Cost $1,137,761) | | 1,147,590 |
| Other Assets and Liabilities (-0.3%) | |
| Other Assets | | 3,874 |
| Liabilities2 | | (7,866) |
| | | (3,992) |
| Net Assets (100%) | | 1,143,598 |
65
Mid-Cap Value Index Fund
| |
| At June 30, 2010, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 1,365,189 |
| Undistributed Net Investment Income | 10,048 |
| Accumulated Net Realized Losses | (241,468) |
| Unrealized Appreciation (Depreciation) | 9,829 |
| Net Assets | 1,143,598 |
| |
| |
| Investor Shares—Net Assets | |
| Applicable to 31,582,973 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 544,715 |
| Net Asset Value Per Share— | |
| Investor Shares | $17.25 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 13,663,721 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 598,883 |
| Net Asset Value Per Share— | |
| ETF Shares | $43.83 |
• 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 $3,193,000.
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 $3,402,000 of collateral received for securities on loan.
3 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
66
| |
| Mid-Cap Value Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 12,025 |
| Interest1 | 3 |
| Security Lending | 129 |
| Total Income | 12,157 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 83 |
| Management and Administrati ve—Investor Shares | 561 |
| Management and Administrati ve—ETF Shares | 189 |
| Marketing and Distribution& #151;Investor Shares | 71 |
| Marketing and Distribution& #151;ETF Shares | 89 |
| Custodian Fees | 82 |
| Shareholders’ Reports—Investor Shares | 6 |
| Shareholders’ Reports—ETF Shares | 23 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,105 |
| Net Investment Income | 11,052 |
| Realized Net Gain (Loss) on Investment Securities Sold | 34,702 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (66,393) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (20,639) |
| 1 Interest income from an affiliated company of the fund was $3,000. | |
| |
| |
| |
| |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
67
| | |
| Mid-Cap Value Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 11,052 | 18,029 |
| Realized Net Gain (Loss) | 34,702 | 841 |
| Change in Unrealized Appreciation (Depreciation) | (66,393) | 285,591 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (20,639) | 304,461 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (152) | (8,157) |
| ETF Shares | (175) | (10,955) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (327) | (19,112) |
| Capital Share Transactions | | |
| Investor Shares | 97,041 | 127,845 |
| ETF Shares | 25,187 | 53,303 |
| Net Increase (Decrease) from Capital Share Transactions | 122,228 | 181,148 |
| Total Increase (Decrease) | 101,262 | 466,497 |
| Net Assets | | |
| Beginning of Period | 1,042,336 | 575,839 |
| End of Period1 | 1,143,598 | 1,042,336 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $10,048,000 and ($677,000).
See accompanying Notes, which are an integral part of the Financial Statements.
68
| | | | | |
| Mid-Cap Value Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Investor Shares | | | | | |
| | Six Months | | | | Aug. 24, |
| | Ended | | | | 20061 to |
| | June 30, | | Year Ended December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $17.45 | $12.92 | $20.95 | $22.34 | $20.00 |
| Investment Operations | | | | | |
| Net Investment Income | .162 | .300 | .4662 | .427 | .140 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.357) | 4.551 | (8.156) | (1.407) | 2.340 |
| Total from Investment Operations | (.195) | 4.851 | (7.690) | (.980) | 2.480 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.005) | (.321) | (.340) | (.410) | (.140) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.005) | (.321) | (.340) | (.410) | (.140) |
| Net Asset Value, End of Period | $17.25 | $17.45 | $12.92 | $20.95 | $22.34 |
| |
| Total Return3 | -1.12% | 37.61% | -36.64% | -4.37% | 12.40% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $545 | $459 | $217 | $195 | $65 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.26%4 | 0.30% | 0.25% | 0.24% | 0.26%4 |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.76%4 | 2.14% | 2.73% | 2.48% | 2.50%4 |
| Portfolio Turnover Rate5 | 41%4 | 47% | 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.
69
| | | | | |
| Mid-Cap Value Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| | Six Months | | | | Aug. 17, |
| | Ended | | | | 20061 to |
| | June 30, | | Year Ended December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $44.31 | $32.80 | $53.16 | $56.67 | $51.00 |
| Investment Operations | | | | | |
| Net Investment Income | .440 | .812 | 1.2612 | 1.133 | .373 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.908) | 11.562 | (20.716) | (3.553) | 5.661 |
| Total from Investment Operations | (.468) | 12.374 | (19.455) | (2.420) | 6.034 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.012) | (.864) | (.905) | (1.090) | (.364) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.012) | (.864) | (.905) | (1.090) | (.364) |
| Net Asset Value, End of Period | $43.83 | $44.31 | $32.80 | $53.16 | $56.67 |
| |
| Total Return | -1.06% | 37.75% | -36.53% | -4.27% | 11.84% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $599 | $583 | $359 | $215 | $46 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.12%3 | 0.14% | 0.12% | 0.13% | 0.13%3 |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.90%3 | 2.30% | 2.86% | 2.59% | 2.63%3 |
| Portfolio Turnover Rate4 | 41%3 | 47% | 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.
70
Mid-Cap Value Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Value Index Fund is registered under the Investment Com pany 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 thr ough 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 th e 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 sec urities’ 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. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, 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 tho se 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 a llocated to each class of shares based on its relative net assets.
71
Mid-Cap Value Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2010, the fund had contributed capital of $239,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.10% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quote d 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 June 30, 2010, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 1,143,888 | — | — |
| Temporary Cash Investments | 3,402 | 300 | — |
| Total | 1,147,290 | 300 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the trea tment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $60,443,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only a t the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $174,039,000 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 $125,798,000 through December 31, 2017. In addition, the fund realized losses of $37,513,000 during the period from November 1, 2009, through December 31, 2009, which are deferred and will be treated as realized for tax purposes in fiscal 2010. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses w ill be added to the loss carryforward balance above.
72
Mid-Cap Value Index Fund
At June 30, 2010, the cost of investment securities for tax purposes was $1,137,761,000. Net unrealized appreciation of investment securities for tax purposes was $9,829,000, consisting of unrealized gains of $70,557,000 on securities that had risen in value since their purchase and $60,728,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2010, the fund purchased $576,53 4,000 of investment securities and sold $441,569,000 of investment securities, other than temporary cash investments.
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 226,567 | 12,139 | 232,424 | 16,895 |
| Issued in Lieu of Cash Distributions | 138 | 7 | 7,299 | 424 |
| Redeemed | (129,664) | (6,891) | (111,878) | (7,760) |
| Net Increase (Decrease)—Investor Shares | 97,041 | 5,255 | 127,845 | 9,559 |
| ETF Shares | | | | |
| Issued | 226,735 | 4,909 | 413,523 | 10,904 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (201,548) | (4,400) | (360,220) | (8,700) |
| Net Increase (Decrease)—ETF Shares | 25,187 | 509 | 53,303 | 2,204 |
G. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
73
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 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.
74
| | | |
| Six Months Ended June 30, 2010 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 12/31/2009 | 6/30/2010 | Period |
| Based on Actual Fund Return | | | |
| Extended Market Index Fund | | | |
| Investor Shares | $1,000.00 | $982.27 | $1.28 |
| Admiral Shares | 1,000.00 | 983.08 | 0.59 |
| Signal Shares | 1,000.00 | 982.77 | 0.59 |
| Institutional Shares | 1,000.00 | 983.08 | 0.39 |
| ETF Shares | 1,000.00 | 982.82 | 0.59 |
| Mid-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $978.72 | $1.28 |
| Admiral Shares | 1,000.00 | 979.02 | 0.59 |
| Signal Shares | 1,000.00 | 979.24 | 0.59 |
| Institutional Shares | 1,000.00 | 979.43 | 0.39 |
| ETF Shares | 1,000.00 | 978.97 | 0.59 |
| Mid-Cap Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $967.98 | $1.27 |
| ETF Shares | 1,000.00 | 968.42 | 0.59 |
| Mid-Cap Value Index Fund | | | |
| Investor Shares | $1,000.00 | $988.80 | $1.28 |
| ETF Shares | 1,000.00 | 989.41 | 0.59 |
75
| | | |
| Six Months Ended June 30, 2010 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 12/31/2009 | 6/30/2010 | Period |
| Based on Hypothetical 5% Yearly Return | | | |
| Extended Market Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
| Admiral Shares | 1,000.00 | 1,024.20 | 0.60 |
| Signal Shares | 1,000.00 | 1,024.20 | 0.60 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
| Mid-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
| Admiral Shares | 1,000.00 | 1,024.20 | 0.60 |
| Signal Shares | 1,000.00 | 1,024.20 | 0.60 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
| Mid-Cap Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
| ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
| Mid-Cap Value Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
| ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
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, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; for the Mid-Cap Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% 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; and 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.
76
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Extended Market Index Fund, Mid-Cap Index Fund, Mid-Cap Growth Index Fund, and Mid-Cap Value Index Fund has renewed the fund s’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as the investment advisor for the funds. The board determined that continuing the funds’ internalized management structure was in the best interests of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among ot hers.
However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the funds’ investment management over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the funds, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations, and that their results have been consistent with their investment strategies. Information about the funds’ most recent performance can be found on the Performance Summary pages of this r eport.
Cost
The board concluded that the funds’ expense ratios were well below the average expense ratios charged by funds in their peer groups. The board noted that the funds’ advisory expense ratios were also well below their peer-group averages. Information about the funds’ expense ratios appears in the About Your Fund’s Expenses secti on of this report as well as in the Financial Statements secti ons.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
77
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (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.
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.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. 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.
78
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.
79
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 f und. Your fund’s trustees also serve on the board of directors of The Vanguard Group, In c., 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 background s in business, academia, and public service. Each of the trustees and executive officers oversees 162 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.
| |
| Interested Trustee1 | Rajiv L. Gupta |
| | Born 1945. Trustee Since December 2001.2 |
| F. William McNabb III | Principal Occupation(s) During the Past Five Years: |
| Born 1957. Trustee Since July 2009. Chairman of the | Chairman and Chief Executive Officer (retired 2009) |
| Board. Principal Occupation(s) During the Past Five | and President (2006–2008) of Rohm and Haas Co. |
| Years: Chairman of the Board of The Vanguard Group, | (chemicals); Director of Tyco International, Ltd. |
| Inc., and of each of the investment companies served | (diversified manufacturing and services) and Hewlett- |
| by The Vanguard Group, since January 2010; Director | Packard Co. (electronic computer manufacturing); |
| of The Vanguard Group since 2008; Chief Executive | Trustee of The Conference Board; Member of the |
| Officer and President of The Vanguard Group and of | Board of Managers of Delphi Automotive LLP |
| each of the investment companies served by The | (automotive components). |
| Vanguard Group since 2008; Director of Vanguard | |
| Marketing Corporation; Managing Director of The | Amy Gutmann |
| Vanguard Group (1995–2008). | Born 1949. Trustee Since June 2006. Principal |
| | Occupation(s) During the Past Five Years: President |
| | of the University of Pennsylvania; Christopher H. |
| Independent Trustees | Browne Distinguished Professor of Political Science |
| | in the School of Arts and Sciences with secondary |
| Emerson U. Fullwood | appointments at the Annenberg School for Commu- |
| Born 1948. Trustee Since January 2008. Principal | nication and the Graduate School of Education of |
| Occupation(s) During the Past Five Years: Executive | the University of Pennsylvania; Director of Carnegie |
| Chief Staff and Marketing Officer for North America | Corporation of New York, Schuylkill River Development |
| and Corporate Vice President (retired 2008) of Xerox | Corporation, and Greater Philadelphia Chamber of |
| Corporation (document management products and | Commerce; Trustee of the National Constitution Center; |
| services); Director of SPX Corporation (multi-industry | Chair of the Presidential Commission for the Study of |
| manufacturing), the United Way of Rochester, | Bioethical Issues. |
| Amerigroup Corporation (managed health care), | |
| the University of Rochester Medical Center, and | |
| Monroe Community College Foundation. | |
| | |
| JoAnn Heffernan Heisen | Executive Officers | |
| Born 1950. Trustee Since July 1998. Principal | | |
| Occupation(s) During the Past Five Years: Corporate | Thomas J. Higgins | |
| Vice President and Chief Global Diversity Officer since | Born 1957. Chief Financial Officer Since September |
| 2006 (retired 2008) and Member of the Executive | 2008. Principal Occupation(s) During the Past Five |
| Committee (retired 2008) of Johnson & Johnson | Years: Principal of The Vanguard Group, Inc.; Chief |
| (pharmaceuticals/consumer products); Vice President | Financial Officer of each of the investment companies |
| and Chief Information Officer of Johnson & Johnson | served by The Vanguard Group since 2008; Treasurer |
| (1997–2005); Director of the University Medical Center | of each of the investment companies served by The |
| at Princeton and Women’s Research and Education | Vanguard Group (1998–2008). |
| Institute; Member of the Advisory Board of the | | |
| Maxwell School of Citizenship and Public Affairs | Kathryn J. Hyatt | |
| at Syracuse University. | Born 1955. Treasurer Since November 2008. Principal |
| | Occupation(s) During the Past Five Years: Principal |
| F. Joseph Loughrey | of The Vanguard Group, Inc.; Treasurer of each of |
| Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard |
| Occupation(s) During the Past Five Years: President | Group since 2008; Assistant Treasurer of each of the |
| and Chief Operating Officer since 2005 (retired 2009) | investment companies served by The Vanguard Group |
| and Vice Chairman of the Board (2008–2009) of | (1988–2008). | |
| Cummins Inc. (industrial machinery); Director of | | |
| SKF AB (industrial machinery), Hillenbrand, Inc. | Heidi Stam | |
| (specialized consumer services), Sauer-Danfoss Inc. | Born 1956. Secretary Since July 2005. Principal |
| (machinery), the Lumina Foundation for Education, | Occupation(s) During the Past Five Years: Managing |
| and Oxfam America; Chairman of the Advisory Council | Director of The Vanguard Group, Inc., since 2006; |
| for the College of Arts and Letters at the University of | General Counsel of The Vanguard Group since 2005; |
| Notre Dame. | Secretary of The Vanguard Group and of each of the |
| | investment companies served by The Vanguard Group |
| André F. Perold | since 2005; Director and Senior Vice President of |
| Born 1952. Trustee Since December 2004. Principal | Vanguard Marketing Corporation since 2005; |
| Occupation(s) During the Past Five Years: George | Principal of The Vanguard Group (1997–2006). |
| Gund Professor of Finance and Banking at the Harvard | | |
| Business School; Chair of the Investment Committee | | |
| of HighVista Strategies LLC (private investment firm). | Vanguard Senior Management Team |
| |
| Alfred M. Rankin, Jr. | R. Gregory Barton | Michael S. Miller |
| Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | James M. Norris |
| Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Glenn W. Reed |
| President, and Chief Executive Officer of NACCO | Paul A. Heller | George U. Sauter |
| Industries, Inc. (forklift trucks/housewares/lignite); | | |
| Director of Goodrich Corporation (industrial products/ | | |
| aircraft systems and services); Chairman of the Federal | Chairman Emeritus and Senior Advisor |
| Reserve Bank of Cleveland; Trustee of The Cleveland | | |
| Museum of Art. | John J. Brennan | |
| | Chairman, 1996–2009 | |
| Peter F. Volanakis | Chief Executive Officer and President, 1996–2008 |
| Born 1955. Trustee Since July 2009. Principal | | |
| Occupation(s) During the Past Five Years: President | | |
| since 2007 and Chief Operating Officer since 2005 | Founder | |
| of Corning Incorporated (communications equipment); | | |
| President of Corning Technologies (2001–2005); | John C. Bogle | |
| Director of Corning Incorporated and Dow Corning; | Chairman and Chief Executive Officer, 1974–1996 |
| Trustee of the Corning Incorporated Foundation and | | |
| the Corning Museum of Glass; Overseer of the | | |
| Amos Tuck School of Business Administration at | | |
| Dartmouth College. | | |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
|  |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
| |
| |
| |
| Connect with Vanguard® > Vanguard.com | |
| |
| |
| |
| Fund Information > 800-662-7447 | The funds or securities referred to herein are not |
| Direct Investor Account Services > 800-662-2739 | sponsored, endorsed, or promoted by MSCI, and MSCI |
| | bears no liability with respect to any such funds or |
| Institutional Investor Services > 800-523-1036 | securities. For any such funds or securities, the |
| Text Telephone for People | prospectus or the Statement of Additional Information |
| With Hearing Impairment > 800-749-7273 | contains a more detailed description of the limited |
| | relationship MSCI has with The Vanguard Group and |
| This material may be used in conjunction | any related funds. |
| |
| with the offering of shares of any Vanguard | S&P® is a registered trademark of Standard & Poor’s |
| fund only if preceded or accompanied by | Financial Services LLC (“S&P”) and has been licensed |
| the fund’s current prospectus. | for use by The Vanguard Group, Inc. The Vanguard |
| | mutual funds are not sponsored, endorsed, sold, or |
| All comparative mutual fund data are from Lipper Inc. or | promoted by S&P or its Affiliates, and S&P and its |
| Morningstar, Inc., unless otherwise noted. | Affiliates make no representation, warranty, or |
| You can obtain a free copy of Vanguard’s proxy voting | condition regarding the advisability of buying, selling, |
| guidelines by visiting our website, Vanguard.com, and | or holding units/shares in the funds. |
| searching for “proxy voting guidelines,” or by calling | |
| Vanguard at 800-662-2739. The guidelines are also | |
| available from the SEC’s website, sec.gov. In addition, | |
| you may obtain a free report on how your fund voted the | |
| proxies for securities it owned during the 12 months | |
| ended June 30. To get the report, visit either | |
| Vanguard.com or sec.gov. | |
| |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
| copies of this information, for a fee, by sending a | |
| request in either of two ways: via e-mail addressed to | |
| publicinfo@sec.gov or via regular mail addressed to the | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| |
| | © 2010 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q982 082010 |
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (99.5%)1 | | |
| Consumer Discretionary (13.8%) | | |
| * | Las Vegas Sands Corp. | 1,936,204 | 42,868 |
| | Cablevision Systems Corp. Class A | 1,564,093 | 37,554 |
| * | Dollar Tree Inc. | 793,803 | 33,046 |
| * | Liberty Global Inc. | 1,222,080 | 31,762 |
| * | NetFlix Inc. | 257,593 | 27,987 |
| * | BorgWarner Inc. | 734,440 | 27,424 |
| | Advance Auto Parts Inc. | 545,368 | 27,367 |
| * | Chipotle Mexican Grill Inc. Class A | 196,327 | 26,860 |
| * | NVR Inc. | 38,481 | 25,206 |
| | DISH Network Corp. Class A | 1,313,115 | 23,833 |
| *,^ | Sirius XM Radio Inc. | 24,239,539 | 23,015 |
| | PetSmart Inc. | 738,267 | 22,274 |
| * | Lear Corp. | 291,354 | 19,288 |
| ^ | Strayer Education Inc. | 86,808 | 18,047 |
| * | LKQ Corp. | 891,110 | 17,181 |
| * | Aeropostale Inc. | 583,452 | 16,710 |
| | Williams-Sonoma Inc. | 670,370 | 16,639 |
| | Phillips-Van Heusen Corp. | 353,699 | 16,366 |
| * | Mohawk Industries Inc. | 350,864 | 16,056 |
| | Tupperware Brands Corp. | 394,217 | 15,710 |
| | Gentex Corp. | 870,137 | 15,645 |
| | Jarden Corp. | 575,299 | 15,458 |
| | American Eagle Outfitters Inc. | 1,304,143 | 15,324 |
| * | Panera Bread Co. Class A | 199,770 | 15,041 |
| * | ITT Educational Services Inc. | 181,009 | 15,027 |
| * | Signet Jewelers Ltd. | 533,510 | 14,672 |
| * | Toll Brothers Inc. | 877,340 | 14,353 |
| * | Hanesbrands Inc. | 596,348 | 14,348 |
| * | TRW Automotive Holdings Corp. | 513,544 | 14,158 |
| * | Royal Caribbean Cruises Ltd. | 616,875 | 14,046 |
| * | Dick's Sporting Goods Inc. | 563,366 | 14,022 |
| * | Tempur-Pedic International Inc. | 451,654 | 13,888 |
| | Tractor Supply Co. | 226,728 | 13,824 |
| * | DreamWorks Animation SKG Inc. Class A | 474,042 | 13,534 |
| * | J Crew Group Inc. | 350,466 | 12,901 |
| * | WMS Industries Inc. | 325,462 | 12,774 |
| | Foot Locker Inc. | 976,945 | 12,329 |
| *,^ | MGM Resorts International | 1,266,376 | 12,208 |
| | Service Corp. International | 1,589,752 | 11,764 |
| * | Dollar General Corp. | 425,544 | 11,724 |
| * | Deckers Outdoor Corp. | 80,552 | 11,508 |
| | Guess? Inc. | 365,137 | 11,407 |
| | Polaris Industries Inc. | 206,673 | 11,288 |
| * | Bally Technologies Inc. | 344,572 | 11,161 |
| * | Liberty Global Inc. Class A | 426,368 | 11,081 |
| | Chico's FAS Inc. | 1,114,918 | 11,015 |
| * | Fossil Inc. | 302,699 | 10,504 |
| | John Wiley & Sons Inc. Class A | 270,303 | 10,453 |
| * | Hyatt Hotels Corp. Class A | 271,221 | 10,060 |
| * | Warnaco Group Inc. | 277,086 | 10,014 |
| * | Penn National Gaming Inc. | 425,031 | 9,818 |
| * | Valassis Communications Inc. | 308,426 | 9,783 |
| * | Carter's Inc. | 370,600 | 9,728 |
| | Burger King Holdings Inc. | 575,629 | 9,694 |
| | Sotheby's | 418,205 | 9,564 |
| * | Career Education Corp. | 413,535 | 9,520 |
| * | Live Nation Entertainment Inc. | 895,032 | 9,353 |
| | Brinker International Inc. | 640,022 | 9,255 |
| * | Dress Barn Inc. | 374,407 | 8,915 |
| * | Dana Holding Corp. | 873,256 | 8,733 |
| | Aaron's Inc. | 505,365 | 8,627 |
1
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Jones Apparel Group Inc. | 543,652 | 8,617 |
| * | Coinstar Inc. | 197,891 | 8,503 |
| * | Cheesecake Factory Inc. | 376,881 | 8,389 |
| | Wendy's/Arby's Group Inc. Class A | 2,093,051 | 8,372 |
| * | Rent-A-Center Inc. | 410,603 | 8,319 |
| | Hillenbrand Inc. | 388,522 | 8,310 |
| * | Life Time Fitness Inc. | 260,558 | 8,283 |
| * | Lamar Advertising Co. Class A | 333,951 | 8,188 |
| * | Gymboree Corp. | 184,502 | 7,880 |
| *,^ | Under Armour Inc. Class A | 237,292 | 7,861 |
| * | Tenneco Inc. | 371,097 | 7,815 |
| | Wolverine World Wide Inc. | 309,381 | 7,803 |
| * | Skechers U.S.A. Inc. Class A | 212,998 | 7,779 |
| | Interactive Data Corp. | 231,080 | 7,713 |
| * | Madison Square Garden Inc. Class A | 387,752 | 7,627 |
| * | Saks Inc. | 1,003,924 | 7,620 |
| * | Childrens Place Retail Stores Inc. | 173,090 | 7,619 |
| | Cooper Tire & Rubber Co. | 382,055 | 7,450 |
| * | Capella Education Co. | 91,053 | 7,407 |
| * | OfficeMax Inc. | 529,189 | 6,911 |
| | Brunswick Corp. | 552,298 | 6,865 |
| | Cracker Barrel Old Country Store Inc. | 147,060 | 6,847 |
| | Pool Corp. | 308,635 | 6,765 |
| * | Jack in the Box Inc. | 343,381 | 6,679 |
| | Dillard's Inc. Class A | 304,738 | 6,552 |
| | Regal Entertainment Group Class A | 500,517 | 6,527 |
| * | Gaylord Entertainment Co. | 293,552 | 6,485 |
| * | Iconix Brand Group Inc. | 450,332 | 6,471 |
| * | Jo-Ann Stores Inc. | 170,597 | 6,399 |
| * | Vail Resorts Inc. | 183,263 | 6,398 |
| * | Collective Brands Inc. | 404,865 | 6,397 |
| | MDC Holdings Inc. | 235,312 | 6,342 |
| * | JOS A Bank Clothiers Inc. | 114,523 | 6,183 |
| * | HSN Inc. | 251,646 | 6,040 |
| | Men's Wearhouse Inc. | 326,941 | 6,003 |
| * | AnnTaylor Stores Corp. | 366,832 | 5,968 |
| | Thor Industries Inc. | 244,028 | 5,796 |
| | PF Chang's China Bistro Inc. | 144,537 | 5,731 |
| * | CROCS Inc. | 535,254 | 5,663 |
| | Regis Corp. | 358,387 | 5,580 |
| | Matthews International Corp. Class A | 188,508 | 5,520 |
| | Weight Watchers International Inc. | 211,617 | 5,436 |
| *,^ | Corinthian Colleges Inc. | 549,773 | 5,415 |
| * | Morningstar Inc. | 127,124 | 5,405 |
| | Choice Hotels International Inc. | 178,393 | 5,389 |
| ^ | Buckle Inc. | 160,488 | 5,203 |
| | KB Home | 461,344 | 5,075 |
| * | American Public Education Inc. | 114,732 | 5,014 |
| | Monro Muffler Brake Inc. | 124,137 | 4,907 |
| | International Speedway Corp. Class A | 190,160 | 4,899 |
| * | Steven Madden Ltd. | 154,003 | 4,854 |
| * | CEC Entertainment Inc. | 137,088 | 4,834 |
| | Finish Line Inc. Class A | 340,819 | 4,748 |
| * | Pier 1 Imports Inc. | 738,035 | 4,731 |
| | Bob Evans Farms Inc. | 190,157 | 4,682 |
| | American Greetings Corp. Class A | 246,673 | 4,628 |
| ^ | NutriSystem Inc. | 196,912 | 4,517 |
| * | Talbots Inc. | 438,043 | 4,516 |
| | National CineMedia Inc. | 269,051 | 4,482 |
| | Ryland Group Inc. | 279,166 | 4,416 |
| | CKE Restaurants Inc. | 350,885 | 4,397 |
| * | Sally Beauty Holdings Inc. | 533,428 | 4,374 |
| * | Hibbett Sports Inc. | 182,356 | 4,369 |
| *,^ | Blue Nile Inc. | 92,114 | 4,337 |
2
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Arbitron Inc. | 169,187 | 4,336 |
| * | Timberland Co. Class A | 267,503 | 4,320 |
| * | 99 Cents Only Stores | 289,801 | 4,289 |
| * | Ulta Salon Cosmetics & Fragrance Inc. | 181,193 | 4,287 |
| * | Helen of Troy Ltd. | 193,348 | 4,265 |
| * | Buffalo Wild Wings Inc. | 115,248 | 4,216 |
| * | K12 Inc. | 188,974 | 4,191 |
| | Brown Shoe Co. Inc. | 273,994 | 4,159 |
| * | Texas Roadhouse Inc. Class A | 329,517 | 4,159 |
| | Cato Corp. Class A | 188,197 | 4,144 |
| * | Dex One Corp. | 215,340 | 4,091 |
| | Unifirst Corp. | 91,341 | 4,021 |
| * | Genesco Inc. | 151,526 | 3,987 |
| | Scholastic Corp. | 162,282 | 3,914 |
| * | Scientific Games Corp. Class A | 412,982 | 3,799 |
| * | Group 1 Automotive Inc. | 155,882 | 3,668 |
| * | Cabela's Inc. | 257,009 | 3,634 |
| * | Pinnacle Entertainment Inc. | 381,858 | 3,612 |
| * | True Religion Apparel Inc. | 161,961 | 3,574 |
| * | Steiner Leisure Ltd. | 92,550 | 3,558 |
| * | Ruby Tuesday Inc. | 412,040 | 3,502 |
| | Columbia Sportswear Co. | 73,171 | 3,415 |
| * | Meritage Homes Corp. | 202,244 | 3,293 |
| * | Belo Corp. Class A | 576,914 | 3,283 |
| * | Peet's Coffee & Tea Inc. | 83,458 | 3,277 |
| * | RCN Corp. | 220,254 | 3,262 |
| * | Shutterfly Inc. | 135,789 | 3,254 |
| ^ | Barnes & Noble Inc. | 251,953 | 3,250 |
| | Stewart Enterprises Inc. Class A | 592,108 | 3,203 |
| * | BJ's Restaurants Inc. | 135,049 | 3,187 |
| * | Interval Leisure Group Inc. | 252,463 | 3,143 |
| * | Papa John's International Inc. | 134,871 | 3,118 |
| * | Orient-Express Hotels Ltd. Class A | 419,660 | 3,105 |
| * | Citi Trends Inc. | 93,760 | 3,088 |
| * | Universal Technical Institute Inc. | 129,382 | 3,059 |
| * | Quiksilver Inc. | 822,068 | 3,042 |
| * | Select Comfort Corp. | 346,247 | 3,030 |
| * | Sonic Corp. | 388,643 | 3,012 |
| * | Boyd Gaming Corp. | 350,802 | 2,978 |
| * | Domino's Pizza Inc. | 260,531 | 2,944 |
| | National Presto Industries Inc. | 30,588 | 2,840 |
| * | Maidenform Brands Inc. | 139,470 | 2,840 |
| | Fred's Inc. Class A | 253,848 | 2,808 |
| * | Penske Automotive Group Inc. | 245,379 | 2,788 |
| * | American Axle & Manufacturing Holdings Inc. | 378,807 | 2,777 |
| * | Charming Shoppes Inc. | 739,889 | 2,775 |
| | Cinemark Holdings Inc. | 210,272 | 2,765 |
| * | Shuffle Master Inc. | 341,615 | 2,736 |
| | Churchill Downs Inc. | 83,082 | 2,725 |
| * | DineEquity Inc. | 96,924 | 2,706 |
| * | Exide Technologies | 508,325 | 2,643 |
| | PEP Boys-Manny Moe & Jack | 298,020 | 2,640 |
| | World Wrestling Entertainment Inc. Class A | 168,338 | 2,619 |
| | Stage Stores Inc. | 243,748 | 2,603 |
| ^ | PetMed Express Inc. | 145,365 | 2,588 |
| * | Liz Claiborne Inc. | 603,680 | 2,548 |
| | Harte-Hanks Inc. | 243,132 | 2,541 |
| * | Jakks Pacific Inc. | 175,189 | 2,519 |
| | Ameristar Casinos Inc. | 165,465 | 2,492 |
| * | Drew Industries Inc. | 122,667 | 2,478 |
| | Callaway Golf Co. | 409,932 | 2,476 |
| * | hhgregg Inc. | 105,162 | 2,452 |
| * | La-Z-Boy Inc. | 328,866 | 2,443 |
| *,^ | Pre-Paid Legal Services Inc. | 52,282 | 2,378 |
3
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | California Pizza Kitchen Inc. | 154,739 | 2,344 |
| *,^ | Fuel Systems Solutions Inc. | 90,205 | 2,341 |
| | Ethan Allen Interiors Inc. | 165,851 | 2,320 |
| * | Lumber Liquidators Holdings Inc. | 99,389 | 2,319 |
| * | Ascent Media Corp. Class A | 90,445 | 2,285 |
| * | iRobot Corp. | 121,093 | 2,275 |
| * | Modine Manufacturing Co. | 294,616 | 2,263 |
| * | Wet Seal Inc. Class A | 612,237 | 2,235 |
| * | Asbury Automotive Group Inc. | 211,532 | 2,230 |
| * | Mediacom Communications Corp. Class A | 330,777 | 2,223 |
| * | Education Management Corp. | 145,403 | 2,217 |
| * | Biglari Holdings Inc. | 7,704 | 2,210 |
| | Sturm Ruger & Co. Inc. | 151,848 | 2,176 |
| * | Clear Channel Outdoor Holdings Inc. Class A | 249,241 | 2,163 |
| * | Sonic Automotive Inc. Class A | 249,212 | 2,133 |
| * | Rentrak Corp. | 87,383 | 2,126 |
| * | Standard Pacific Corp. | 625,661 | 2,083 |
| *,^ | Overstock.com Inc. | 114,260 | 2,065 |
| * | Federal-Mogul Corp. | 157,916 | 2,056 |
| * | Volcom Inc. | 109,928 | 2,041 |
| | Superior Industries International Inc. | 151,212 | 2,032 |
| * | RC2 Corp. | 122,435 | 1,972 |
| * | K-Swiss Inc. Class A | 173,212 | 1,945 |
| * | Grand Canyon Education Inc. | 82,297 | 1,928 |
| * | Zumiez Inc. | 119,532 | 1,926 |
| | Oxford Industries Inc. | 90,399 | 1,892 |
| * | DSW Inc. Class A | 82,720 | 1,858 |
| * | Warner Music Group Corp. | 382,030 | 1,857 |
| | Big 5 Sporting Goods Corp. | 139,772 | 1,837 |
| * | Winnebago Industries Inc. | 182,473 | 1,814 |
| *,^ | Landry's Restaurants Inc. | 72,453 | 1,772 |
| | Ambassadors Group Inc. | 156,824 | 1,771 |
| * | CKX Inc. | 346,127 | 1,727 |
| * | EW Scripps Co. Class A | 230,026 | 1,714 |
| * | Sinclair Broadcast Group Inc. Class A | 286,635 | 1,671 |
| * | Red Robin Gourmet Burgers Inc. | 97,351 | 1,671 |
| * | G-III Apparel Group Ltd. | 72,139 | 1,651 |
| * | Core-Mark Holding Co. Inc. | 59,445 | 1,629 |
| * | Denny's Corp. | 621,137 | 1,615 |
| | Haverty Furniture Cos. Inc. | 130,528 | 1,604 |
| * | Knology Inc. | 145,715 | 1,593 |
| * | Krispy Kreme Doughnuts Inc. | 471,025 | 1,587 |
| * | Smith & Wesson Holding Corp. | 377,583 | 1,544 |
| * | Kirkland's Inc. | 91,424 | 1,543 |
| * | Beazer Homes USA Inc. | 416,464 | 1,512 |
| * | Universal Electronics Inc. | 90,596 | 1,507 |
| | Speedway Motorsports Inc. | 110,364 | 1,497 |
| | Christopher & Banks Corp. | 235,866 | 1,460 |
| * | Bridgepoint Education Inc. | 90,881 | 1,437 |
| | Blyth Inc. | 42,039 | 1,432 |
| | HOT Topic Inc. | 279,951 | 1,422 |
| * | Hawk Corp. Class A | 55,543 | 1,414 |
| * | SuperMedia Inc. | 77,140 | 1,411 |
| * | AFC Enterprises Inc. | 155,003 | 1,411 |
| * | Lincoln Educational Services Corp. | 67,648 | 1,393 |
| * | Furniture Brands International Inc. | 265,350 | 1,385 |
| * | Amerigon Inc. | 184,424 | 1,361 |
| * | Dorman Products Inc. | 66,821 | 1,358 |
| * | LIN TV Corp. Class A | 250,739 | 1,357 |
| * | Destination Maternity Corp. | 52,920 | 1,339 |
| * | Movado Group Inc. | 123,231 | 1,316 |
| | Bebe Stores Inc. | 205,597 | 1,316 |
| * | Drugstore.Com Inc. | 423,177 | 1,303 |
| * | Pacific Sunwear Of California | 406,335 | 1,300 |
4
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Vitamin Shoppe Inc. | 50,436 | 1,294 |
| * | Cavco Industries Inc. | 36,650 | 1,289 |
| * | Audiovox Corp. Class A | 171,694 | 1,262 |
| * | Steinway Musical Instruments Inc. | 69,362 | 1,234 |
| | CPI Corp. | 54,957 | 1,232 |
| * | Coldwater Creek Inc. | 365,697 | 1,229 |
| * | Stein Mart Inc. | 196,685 | 1,225 |
| | Marcus Corp. | 127,071 | 1,202 |
| * | Unifi Inc. | 311,712 | 1,191 |
| * | Retail Ventures Inc. | 151,869 | 1,188 |
| | Cherokee Inc. | 67,862 | 1,160 |
| * | Morgans Hotel Group Co. | 187,257 | 1,154 |
| * | America's Car-Mart Inc. | 49,976 | 1,131 |
| | Systemax Inc. | 74,972 | 1,130 |
| * | Shoe Carnival Inc. | 53,872 | 1,105 |
| * | M/I Homes Inc. | 112,723 | 1,087 |
| * | Martha Stewart Living Omnimedia Class A | 219,903 | 1,082 |
| * | Entravision Communications Corp. Class A | 502,265 | 1,060 |
| * | AH Belo Corp. Class A | 155,625 | 1,033 |
| * | Perry Ellis International Inc. | 50,145 | 1,013 |
| * | Entercom Communications Corp. Class A | 114,646 | 1,011 |
| * | Saga Communications Inc. Class A | 42,324 | 1,011 |
| * | Isle of Capri Casinos Inc. | 108,797 | 1,007 |
| * | Media General Inc. Class A | 101,314 | 989 |
| * | Insignia Systems Inc. | 189,378 | 985 |
| * | MarineMax Inc. | 141,021 | 979 |
| | Sport Supply Group Inc. | 72,306 | 973 |
| *,^ | Hovnanian Enterprises Inc. Class A | 261,594 | 963 |
| *,^ | McClatchy Co. Class A | 262,196 | 954 |
| * | Midas Inc. | 124,090 | 952 |
| * | Learning Tree International Inc. | 87,309 | 947 |
| * | Journal Communications Inc. Class A | 236,354 | 938 |
| * | Rubio's Restaurants Inc. | 110,126 | 933 |
| * | Tuesday Morning Corp. | 229,823 | 917 |
| | Gaiam Inc. Class A | 149,326 | 906 |
| *,^ | Lifetime Brands Inc. | 61,913 | 905 |
| * | Culp Inc. | 82,428 | 903 |
| * | Kenneth Cole Productions Inc. Class A | 81,891 | 902 |
| | Kid Brands Inc. | 127,501 | 896 |
| | Weyco Group Inc. | 39,230 | 894 |
| * | Libbey Inc. | 68,330 | 887 |
| | CSS Industries Inc. | 53,131 | 877 |
| | Spartan Motors Inc. | 207,722 | 872 |
| * | Rue21 Inc. | 28,680 | 870 |
| * | Marine Products Corp. | 144,617 | 819 |
| * | West Marine Inc. | 73,111 | 795 |
| * | LodgeNet Interactive Corp. | 211,982 | 786 |
| *,^ | Joe's Jeans Inc. | 389,951 | 772 |
| * | Casual Male Retail Group Inc. | 219,326 | 750 |
| | Lithia Motors Inc. Class A | 121,216 | 749 |
| * | Caribou Coffee Co. Inc. | 79,042 | 749 |
| * | Ruth's Hospitality Group Inc. | 177,107 | 740 |
| * | Red Lion Hotels Corp. | 122,900 | 734 |
| * | Orbitz Worldwide Inc. | 190,281 | 725 |
| * | Sealy Corp. | 269,167 | 719 |
| | PRIMEDIA Inc. | 239,157 | 701 |
| * | Famous Dave's Of America Inc. | 83,695 | 696 |
| | Tandy Leather Factory Inc. | 163,605 | 677 |
| *,^ | Brookfield Homes Corp. | 98,208 | 662 |
| * | Westwood One Inc. | 66,392 | 655 |
| | Skyline Corp. | 35,958 | 648 |
| | Standard Motor Products Inc. | 80,117 | 647 |
| * | Cumulus Media Inc. Class A | 241,613 | 645 |
| * | Leapfrog Enterprises Inc. | 155,646 | 626 |
5
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Build-A-Bear Workshop Inc. | 90,789 | 616 |
| *,^ | Delta Apparel Inc. | 41,746 | 610 |
| | RG Barry Corp. | 54,811 | 605 |
| * | Nexstar Broadcasting Group Inc. Class A | 136,245 | 597 |
| * | Alloy Inc. | 61,206 | 574 |
| * | Multimedia Games Inc. | 127,150 | 572 |
| * | Playboy Enterprises Inc. Class B | 135,923 | 571 |
| * | Cache Inc. | 99,997 | 568 |
| * | Rocky Brands Inc. | 88,084 | 563 |
| | Collectors Universe | 41,451 | 556 |
| | Courier Corp. | 45,314 | 553 |
| * | Borders Group Inc. | 409,543 | 545 |
| * | Luby's Inc. | 138,266 | 532 |
| * | Jamba Inc. | 249,761 | 532 |
| * | Vitacost.com Inc. | 58,824 | 529 |
| * | Monarch Casino & Resort Inc. | 51,748 | 524 |
| * | Fisher Communications Inc. | 30,955 | 521 |
| | Books-A-Million Inc. | 86,393 | 520 |
| | Frisch's Restaurants Inc. | 25,701 | 517 |
| *,^ | Bon-Ton Stores Inc. | 53,006 | 517 |
| * | Forward Industries Inc. | 164,828 | 513 |
| * | Charles & Colvard Ltd. | 179,486 | 501 |
| * | Escalade Inc. | 98,010 | 481 |
| * | Crown Media Holdings Inc. Class A | 264,868 | 466 |
| * | Arctic Cat Inc. | 51,072 | 465 |
| * | O'Charleys Inc. | 87,672 | 465 |
| * | Stoneridge Inc. | 60,929 | 462 |
| * | Shiloh Industries Inc. | 53,686 | 454 |
| | Hooker Furniture Corp. | 41,800 | 446 |
| * | Beasley Broadcasting Group Inc. Class A | 90,279 | 440 |
| * | Bassett Furniture Industries Inc. | 102,010 | 437 |
| * | 1-800-Flowers.com Inc. Class A | 210,271 | 433 |
| *,^ | Quantum Fuel Systems Technologies Worldwide Inc. | 795,590 | 426 |
| | Mac-Gray Corp. | 37,698 | 420 |
| | Flexsteel Industries | 38,109 | 419 |
| * | Dixie Group Inc. | 113,360 | 417 |
| * | AC Moore Arts & Crafts Inc. | 182,471 | 414 |
| * | Dover Motorsports Inc. | 226,334 | 412 |
| * | Hollywood Media Corp. | 346,945 | 409 |
| * | Tesla Motors Inc. | 16,812 | 401 |
| * | Navarre Corp. | 183,514 | 400 |
| * | Bluegreen Corp. | 131,902 | 397 |
| * | Nobel Learning Communities Inc. | 65,596 | 387 |
| * | Nobility Homes Inc. | 40,311 | 380 |
| * | Benihana Inc. Class A | 63,045 | 373 |
| * | Perfumania Holdings Inc. | 39,291 | 370 |
| * | Nautilus Inc. | 237,420 | 361 |
| * | Strattec Security Corp. | 15,800 | 349 |
| * | Princeton Review Inc. | 148,055 | 343 |
| | Dover Downs Gaming & Entertainment Inc. | 118,248 | 342 |
| * | Trans World Entertainment Corp. | 194,782 | 331 |
| * | Carrols Restaurant Group Inc. | 71,987 | 329 |
| * | McCormick & Schmick's Seafood Restaurants Inc. | 42,763 | 319 |
| * | Empire Resorts Inc. | 194,399 | 317 |
| | Gaming Partners International Corp. | 49,597 | 316 |
| * | New York & Co. Inc. | 137,250 | 314 |
| | Ark Restaurants Corp. | 23,363 | 313 |
| * | Heelys Inc. | 126,864 | 308 |
| * | Nathan's Famous Inc. | 19,811 | 308 |
| * | American Apparel Inc. | 168,038 | 308 |
| * | Zale Corp. | 194,536 | 307 |
| * | Carmike Cinemas Inc. | 50,493 | 306 |
| *,^ | Blockbuster Inc. Class A | 1,227,589 | 292 |
| * | Stanley Furniture Co. Inc. | 71,739 | 291 |
6
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Emerson Radio Corp. | 169,678 | 288 |
| * | MTR Gaming Group Inc. | 177,769 | 288 |
| * | Lee Enterprises Inc. | 111,261 | 286 |
| * | Outdoor Channel Holdings Inc. | 60,881 | 284 |
| * | Bidz.com Inc. | 189,531 | 284 |
| * | Global Traffic Network Inc. | 52,639 | 283 |
| * | Carriage Services Inc. Class A | 57,955 | 270 |
| * | Valuevision Media Inc. Class A | 151,146 | 268 |
| *,^ | Conn's Inc. | 41,737 | 245 |
| * | J Alexander's Corp. | 50,100 | 245 |
| * | VCG Holding Corp. | 134,291 | 215 |
| * | Emmis Communications Corp. Class A | 95,521 | 210 |
| * | Century Casinos Inc. | 96,100 | 208 |
| * | Gray Television Inc. | 84,648 | 204 |
| * | Palm Harbor Homes Inc. | 110,692 | 197 |
| * | Morton's Restaurant Group Inc. | 35,710 | 185 |
| *,^ | Jackson Hewitt Tax Service Inc. | 157,830 | 178 |
| * | Benihana Inc. Class A | 27,540 | 175 |
| * | Ballantyne Strong Inc. | 24,075 | 174 |
| * | Harris Interactive Inc. | 161,673 | 171 |
| * | Rick's Cabaret International Inc. | 20,335 | 160 |
| * | Great Wolf Resorts Inc. | 76,636 | 159 |
| * | Golfsmith International Holdings Inc. | 44,379 | 149 |
| * | NTN Buzztime Inc. | 274,389 | 145 |
| | Winmark Corp. | 4,325 | 145 |
| * | Lakes Entertainment Inc. | 92,413 | 141 |
| * | Town Sports International Holdings Inc. | 57,536 | 132 |
| * | Radio One Inc. Class A | 93,623 | 131 |
| * | Duckwall-ALCO Stores Inc. | 8,417 | 123 |
| * | Premier Exhibitions Inc. | 93,605 | 120 |
| * | Summer Infant Inc. | 17,800 | 117 |
| * | Silverleaf Resorts Inc. | 107,300 | 112 |
| * | Infosonics Corp. | 184,032 | 107 |
| * | Playboy Enterprises Inc. Class A | 22,850 | 95 |
| * | Bluefly Inc. | 46,063 | 92 |
| * | Williams Controls Inc. | 9,524 | 86 |
| * | Cost Plus Inc. | 23,132 | 83 |
| * | Johnson Outdoors Inc. Class A | 7,174 | 81 |
| * | Dreams Inc. | 48,484 | 75 |
| * | Lacrosse Footwear Inc. | 4,000 | 67 |
| * | Syms Corp. | 9,144 | 64 |
| * | Cosi Inc. | 88,208 | 64 |
| * | Atrinsic Inc. | 69,436 | 63 |
| * | Hallwood Group Inc. | 1,637 | 62 |
| | Aaron's Inc. Class A | 3,037 | 42 |
| * | Adams Golf Inc. | 10,608 | 39 |
| * | Ambassadors International Inc. | 77,088 | 36 |
| * | Spanish Broadcasting System Inc. | 29,652 | 34 |
| * | Radio One Inc. | 24,633 | 32 |
| * | Blockbuster Inc. Class B | 107,624 | 27 |
| * | Meade Instruments Corp. | 4,548 | 15 |
| * | Full House Resorts Inc. | 4,743 | 15 |
| * | Kona Grill Inc. | 3,675 | 13 |
| * | US Auto Parts Network Inc. | 1,864 | 11 |
| * | Elixir Gaming Technologies Inc. | 35,584 | 9 |
| * | SPAR Group Inc. | 7,650 | 5 |
| * | Sport Chalet Inc. Class A | 1,485 | 3 |
| * | GameTech International Inc. | 2,000 | 1 |
| * | Ediets.Com Inc. | 1,493 | 1 |
| * | Krispy Kreme Doughnuts Inc. Warrants Exp. 03/02/2012 | 5,255 | — |
| * | Here Media Inc. | 12,670 | — |
| | | | 1,790,702 |
| Consumer Staples (3.6%) | | |
| | Bunge Ltd. | 899,385 | 44,241 |
7
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Church & Dwight Co. Inc. | 442,247 | 27,733 |
| * | Energizer Holdings Inc. | 436,931 | 21,969 |
| * | Ralcorp Holdings Inc. | 342,516 | 18,770 |
| | Del Monte Foods Co. | 1,238,799 | 17,826 |
| * | Hansen Natural Corp. | 443,041 | 17,327 |
| | Herbalife Ltd. | 374,080 | 17,226 |
| * | Green Mountain Coffee Roasters Inc. | 656,721 | 16,878 |
| | Alberto-Culver Co. Class B | 534,640 | 14,483 |
| | Corn Products International Inc. | 469,429 | 14,224 |
| * | Smithfield Foods Inc. | 920,824 | 13,720 |
| * | NBTY Inc. | 395,648 | 13,456 |
| * | BJ's Wholesale Club Inc. | 335,845 | 12,430 |
| | Flowers Foods Inc. | 480,844 | 11,747 |
| | Casey's General Stores Inc. | 317,686 | 11,087 |
| * | TreeHouse Foods Inc. | 216,910 | 9,904 |
| * | Central European Distribution Corp. | 432,450 | 9,246 |
| * | United Natural Foods Inc. | 269,500 | 8,053 |
| | Ruddick Corp. | 255,674 | 7,923 |
| | Nu Skin Enterprises Inc. Class A | 306,803 | 7,649 |
| * | American Italian Pasta Co. | 135,807 | 7,180 |
| | Lancaster Colony Corp. | 121,637 | 6,491 |
| | Sanderson Farms Inc. | 122,402 | 6,211 |
| | Universal Corp. | 150,782 | 5,983 |
| | Diamond Foods Inc. | 136,125 | 5,595 |
| * | Fresh Del Monte Produce Inc. | 255,670 | 5,175 |
| * | Hain Celestial Group Inc. | 255,559 | 5,155 |
| | Vector Group Ltd. | 282,790 | 4,757 |
| * | Boston Beer Co. Inc. Class A | 62,144 | 4,192 |
| | Tootsie Roll Industries Inc. | 171,649 | 4,059 |
| * | Rite Aid Corp. | 4,065,872 | 3,985 |
| * | Darling International Inc. | 524,397 | 3,938 |
| | Andersons Inc. | 116,758 | 3,805 |
| | J&J Snack Foods Corp. | 90,202 | 3,797 |
| * | Spectrum Brands Holdings Inc. | 145,240 | 3,683 |
| * | Central Garden and Pet Co. Class A | 401,965 | 3,606 |
| | WD-40 Co. | 105,506 | 3,524 |
| * | Chiquita Brands International Inc. | 285,096 | 3,464 |
| * | Winn-Dixie Stores Inc. | 350,654 | 3,380 |
| | Lance Inc. | 203,798 | 3,361 |
| | B&G Foods Inc. Class A | 301,436 | 3,249 |
| * | Pilgrim's Pride Corp. | 492,385 | 3,235 |
| | Nash Finch Co. | 81,317 | 2,778 |
| | Cal-Maine Foods Inc. | 80,222 | 2,561 |
| | Pricesmart Inc. | 103,701 | 2,409 |
| * | Elizabeth Arden Inc. | 160,824 | 2,335 |
| *,^ | Dole Food Co. Inc. | 222,033 | 2,316 |
| | Weis Markets Inc. | 68,384 | 2,251 |
| * | Medifast Inc. | 84,788 | 2,197 |
| | Spartan Stores Inc. | 158,930 | 2,181 |
| * | Pantry Inc. | 143,862 | 2,030 |
| * | Alliance One International Inc. | 563,530 | 2,006 |
| * | Prestige Brands Holdings Inc. | 241,101 | 1,707 |
| * | Smart Balance Inc. | 402,841 | 1,648 |
| * | USANA Health Sciences Inc. | 41,812 | 1,527 |
| | Ingles Markets Inc. Class A | 93,979 | 1,414 |
| | National Beverage Corp. | 108,739 | 1,335 |
| * | Synutra International Inc. | 80,600 | 1,303 |
| * | Seneca Foods Corp. Class A | 39,623 | 1,278 |
| | Oil-Dri Corp. of America | 52,868 | 1,213 |
| | Inter Parfums Inc. | 81,125 | 1,154 |
| | Calavo Growers Inc. | 58,916 | 1,058 |
| | Village Super Market Inc. Class A | 40,097 | 1,053 |
| | Coca-Cola Bottling Co. Consolidated | 21,815 | 1,045 |
| * | Revlon Inc. Class A | 91,688 | 1,023 |
8
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Nutraceutical International Corp. | 62,967 | 961 |
| * | John B. Sanfilippo & Son Inc. | 64,085 | 927 |
| | Imperial Sugar Co. | 91,078 | 920 |
| | Farmer Bros Co. | 60,495 | 913 |
| * | Lifeway Foods Inc. | 81,849 | 797 |
| | Rocky Mountain Chocolate Factory Inc. | 82,795 | 770 |
| *,^ | Star Scientific Inc. | 449,993 | 738 |
| * | Great Atlantic & Pacific Tea Co. | 186,909 | 729 |
| * | Susser Holdings Corp. | 61,510 | 725 |
| | United-Guardian Inc. | 55,886 | 661 |
| * | Harbinger Group Inc. | 91,072 | 572 |
| | Arden Group Inc. | 6,188 | 544 |
| | Alico Inc. | 23,415 | 538 |
| * | Natural Alternatives International Inc. | 77,137 | 490 |
| * | Reddy Ice Holdings Inc. | 148,640 | 480 |
| | Schiff Nutrition International Inc. | 66,327 | 472 |
| | Female Health Co. | 88,979 | 462 |
| * | MGP Ingredients Inc. | 68,459 | 454 |
| * | Omega Protein Corp. | 113,161 | 454 |
| * | Overhill Farms Inc. | 61,546 | 363 |
| * | Cellu Tissue Holdings Inc. | 45,000 | 350 |
| *,^ | Orchids Paper Products Co. | 23,573 | 306 |
| * | HQ Sustainable Maritime Industries Inc. | 46,241 | 231 |
| * | Physicians Formula Holdings Inc. | 67,641 | 223 |
| * | Nature's Sunshine Products Inc. | 21,843 | 183 |
| * | Parlux Fragrances Inc. | 89,346 | 160 |
| * | Mannatech Inc. | 60,320 | 120 |
| | Reliv International Inc. | 42,186 | 102 |
| * | IGI Laboratories Inc. | 72,000 | 72 |
| * | Crystal Rock Holdings Inc. | 600 | — |
| | | | 468,256 |
| Energy (6.6%) | | |
| * | Ultra Petroleum Corp. | 949,535 | 42,017 |
| * | Newfield Exploration Co. | 832,205 | 40,662 |
| | Cimarex Energy Co. | 523,348 | 37,461 |
| * | Petrohawk Energy Corp. | 1,885,040 | 31,989 |
| * | Concho Resources Inc. | 508,401 | 28,130 |
| * | Alpha Natural Resources Inc. | 754,864 | 25,567 |
| * | Whiting Petroleum Corp. | 318,190 | 24,952 |
| * | Pride International Inc. | 1,095,655 | 24,477 |
| | Core Laboratories NV | 139,178 | 20,544 |
| | Arch Coal Inc. | 1,013,695 | 20,081 |
| * | Forest Oil Corp. | 701,575 | 19,195 |
| * | Plains Exploration & Production Co. | 874,084 | 18,015 |
| | Southern Union Co. | 776,582 | 16,976 |
| * | Dresser-Rand Group Inc. | 514,945 | 16,246 |
| | SM Energy Co. | 392,411 | 15,759 |
| * | Oceaneering International Inc. | 344,016 | 15,446 |
| | EXCO Resources Inc. | 954,294 | 13,942 |
| * | Mariner Energy Inc. | 643,950 | 13,832 |
| * | Atlas Energy Inc. | 489,126 | 13,241 |
| | Tidewater Inc. | 323,548 | 12,528 |
| * | Oil States International Inc. | 312,698 | 12,377 |
| | Patterson-UTI Energy Inc. | 959,880 | 12,354 |
| * | Unit Corp. | 253,719 | 10,298 |
| * | Exterran Holdings Inc. | 393,922 | 10,167 |
| * | SEACOR Holdings Inc. | 140,721 | 9,943 |
| | World Fuel Services Corp. | 370,617 | 9,614 |
| * | Brigham Exploration Co. | 609,986 | 9,382 |
| * | Superior Energy Services Inc. | 490,252 | 9,153 |
| * | Atwood Oceanics Inc. | 353,746 | 9,028 |
| | Frontier Oil Corp. | 660,071 | 8,878 |
| | CARBO Ceramics Inc. | 119,827 | 8,650 |
| * | Continental Resources Inc. | 190,963 | 8,521 |
9
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Dril-Quip Inc. | 188,797 | 8,311 |
| * | Quicksilver Resources Inc. | 743,634 | 8,180 |
| * | Comstock Resources Inc. | 294,767 | 8,171 |
| * | Arena Resources Inc. | 246,181 | 7,853 |
| * | Bill Barrett Corp. | 243,570 | 7,495 |
| | Lufkin Industries Inc. | 186,788 | 7,283 |
| | Holly Corp. | 272,195 | 7,235 |
| * | Key Energy Services Inc. | 781,834 | 7,177 |
| | Berry Petroleum Co. Class A | 277,434 | 7,136 |
| * | Bristow Group Inc. | 224,241 | 6,593 |
| * | Rosetta Resources Inc. | 327,280 | 6,483 |
| * | Swift Energy Co. | 236,031 | 6,352 |
| * | Helix Energy Solutions Group Inc. | 574,087 | 6,183 |
| *,^ | SandRidge Energy Inc. | 1,054,135 | 6,146 |
| | Overseas Shipholding Group Inc. | 165,132 | 6,116 |
| | Penn Virginia Corp. | 283,560 | 5,702 |
| * | McMoRan Exploration Co. | 507,120 | 5,634 |
| * | Patriot Coal Corp. | 470,579 | 5,529 |
| * | Complete Production Services Inc. | 358,924 | 5,133 |
| * | Cobalt International Energy Inc. | 622,982 | 4,641 |
| * | Tetra Technologies Inc. | 472,187 | 4,287 |
| * | International Coal Group Inc. | 1,055,072 | 4,062 |
| * | Gulfmark Offshore Inc. | 146,220 | 3,831 |
| * | Contango Oil & Gas Co. | 79,855 | 3,573 |
| * | Newpark Resources Inc. | 566,826 | 3,429 |
| * | USEC Inc. | 719,522 | 3,425 |
| *,^ | Clean Energy Fuels Corp. | 228,176 | 3,409 |
| * | Carrizo Oil & Gas Inc. | 218,485 | 3,393 |
| * | Northern Oil and Gas Inc. | 258,594 | 3,320 |
| * | Petroleum Development Corp. | 122,314 | 3,134 |
| * | Stone Energy Corp. | 268,899 | 3,001 |
| * | Parker Drilling Co. | 738,902 | 2,919 |
| * | Global Industries Ltd. | 641,388 | 2,880 |
| | RPC Inc. | 206,281 | 2,816 |
| * | Energy Partners Ltd. | 229,398 | 2,801 |
| * | James River Coal Co. | 175,916 | 2,801 |
| * | ION Geophysical Corp. | 803,817 | 2,797 |
| *,^ | ATP Oil & Gas Corp. | 257,335 | 2,725 |
| * | Cloud Peak Energy Inc. | 200,749 | 2,662 |
| *,^ | BPZ Resources Inc. | 623,877 | 2,589 |
| * | Venoco Inc. | 155,959 | 2,569 |
| * | Gulfport Energy Corp. | 195,741 | 2,321 |
| | General Maritime Corp. | 364,685 | 2,203 |
| | Vaalco Energy Inc. | 390,111 | 2,185 |
| | W&T Offshore Inc. | 229,572 | 2,172 |
| * | Hornbeck Offshore Services Inc. | 146,071 | 2,133 |
| * | Petroquest Energy Inc. | 311,714 | 2,107 |
| * | T-3 Energy Services Inc. | 74,505 | 2,079 |
| * | American Oil & Gas Inc. | 320,634 | 2,014 |
| * | Goodrich Petroleum Corp. | 166,490 | 1,998 |
| * | Harvest Natural Resources Inc. | 270,747 | 1,995 |
| * | Crosstex Energy Inc. | 310,954 | 1,993 |
| * | Superior Well Services Inc. | 117,233 | 1,960 |
| * | Pioneer Drilling Co. | 338,708 | 1,920 |
| * | Rex Energy Corp. | 183,527 | 1,854 |
| * | Cal Dive International Inc. | 293,419 | 1,716 |
| * | Callon Petroleum Co. | 266,567 | 1,679 |
| * | Matrix Service Co. | 178,384 | 1,661 |
| * | Clayton Williams Energy Inc. | 38,846 | 1,636 |
| * | Hercules Offshore Inc. | 671,613 | 1,632 |
| | Gulf Island Fabrication Inc. | 92,847 | 1,441 |
| *,^ | Western Refining Inc. | 284,096 | 1,429 |
| * | Willbros Group Inc. | 187,200 | 1,385 |
| * | Warren Resources Inc. | 465,593 | 1,350 |
10
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | GMX Resources Inc. | 194,284 | 1,261 |
| *,^ | Rentech Inc. | 1,271,481 | 1,259 |
| * | Boots & Coots Inc. | 400,360 | 1,181 |
| * | OYO Geospace Corp. | 24,329 | 1,179 |
| * | PHI Inc. | 78,066 | 1,175 |
| * | FX Energy Inc. | 321,528 | 1,164 |
| * | Abraxas Petroleum Corp. | 405,303 | 1,135 |
| | Panhandle Oil and Gas Inc. Class A | 40,806 | 1,078 |
| * | Georesources Inc. | 77,096 | 1,074 |
| * | CVR Energy Inc. | 141,919 | 1,067 |
| * | Dawson Geophysical Co. | 49,076 | 1,044 |
| * | Basic Energy Services Inc. | 131,034 | 1,009 |
| * | Natural Gas Services Group Inc. | 66,224 | 1,002 |
| * | Syntroleum Corp. | 591,939 | 971 |
| ^ | Houston American Energy Corp. | 93,655 | 923 |
| * | Cheniere Energy Inc. | 317,325 | 895 |
| * | Delta Petroleum Corp. | 1,001,654 | 861 |
| * | RAM Energy Resources Inc. | 411,899 | 853 |
| * | Magnum Hunter Resources Corp. | 194,445 | 848 |
| * | Endeavour International Corp. | 775,239 | 822 |
| * | Mitcham Industries Inc. | 105,716 | 714 |
| * | Omni Energy Services Corp. | 263,158 | 703 |
| * | Seahawk Drilling Inc. | 70,331 | 684 |
| * | Green Plains Renewable Energy Inc. | 66,334 | 678 |
| | Delek US Holdings Inc. | 87,903 | 642 |
| * | Toreador Resources Corp. | 115,426 | 635 |
| *,^ | Hyperdynamics Corp. | 573,530 | 625 |
| * | Westmoreland Coal Co. | 73,854 | 600 |
| ^ | Alon USA Energy Inc. | 93,346 | 594 |
| * | Allis-Chalmers Energy Inc. | 288,079 | 593 |
| * | Vantage Drilling Co. | 423,000 | 571 |
| * | Bolt Technology Corp. | 64,899 | 568 |
| * | CREDO Petroleum Corp. | 69,275 | 510 |
| * | Bronco Drilling Co. Inc. | 146,640 | 491 |
| * | Union Drilling Inc. | 80,331 | 443 |
| *,^ | Uranium Energy Corp. | 172,440 | 407 |
| * | REX American Resources Corp. | 23,108 | 370 |
| * | Double Eagle Petroleum Co. | 74,648 | 317 |
| * | Approach Resources Inc. | 43,300 | 298 |
| *,^ | Tri-Valley Corp. | 266,814 | 269 |
| *,^ | Verenium Corp. | 113,091 | 266 |
| * | ENGlobal Corp. | 126,031 | 260 |
| * | Gasco Energy Inc. | 673,691 | 240 |
| *,^ | Isramco Inc. | 4,857 | 229 |
| *,^ | Zion Oil & Gas Inc. | 44,690 | 224 |
| *,^ | Royale Energy Inc. | 99,163 | 197 |
| * | Uranium Resources Inc. | 496,779 | 197 |
| *,^ | Pacific Ethanol Inc. | 308,031 | 197 |
| * | Cano Petroleum Inc. | 249,987 | 191 |
| *,^ | NGAS Resources Inc. | 181,432 | 190 |
| * | HKN Inc. | 57,045 | 179 |
| * | PHI Inc. | 12,172 | 171 |
| * | Geokinetics Inc. | 43,492 | 167 |
| * | GeoMet Inc. | 127,962 | 146 |
| *,^ | Sulphco Inc. | 504,279 | 137 |
| * | Barnwell Industries Inc. | 40,609 | 114 |
| * | Evolution Petroleum Corp. | 22,087 | 111 |
| * | TGC Industries Inc. | 27,685 | 84 |
| * | Tengasco Inc. | 185,380 | 84 |
| * | PostRock Energy Corp. | 16,811 | 81 |
| * | Cubic Energy Inc. | 80,165 | 72 |
| * | National Coal Corp. | 105,390 | 63 |
| * | Magellan Petroleum Corp. | 32,410 | 59 |
| *,^ | Evergreen Energy Inc. | 557,476 | 59 |
11
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | Trico Marine Services Inc. | 92,998 | 46 |
| *,^ | New Generation Biofuels Holdings Inc. | 105,656 | 45 |
| * | BioFuel Energy Corp. | 18,540 | 24 |
| * | GeoPetro Resources Co. | 18,800 | 9 |
| * | Dune Energy Inc. | 48,940 | 5 |
| * | FieldPoint Petroleum Corp. | 1,300 | 4 |
| * | Crimson Exploration Inc. | 1,000 | 3 |
| * | GreenHunter Energy Inc. | 2,252 | 2 |
| *,^ | Zion Oil & Gas Inc. Rights Exp. 07/15/2010 | 22,345 | — |
| | | | 847,433 |
| Financials (20.2%) | | |
| | New York Community Bancorp Inc. | 2,716,612 | 41,483 |
| | BlackRock Inc. | 227,420 | 32,612 |
| | Macerich Co. | 809,441 | 30,208 |
| | Digital Realty Trust Inc. | 487,732 | 28,132 |
| | Federal Realty Investment Trust | 382,753 | 26,896 |
| | SL Green Realty Corp. | 486,435 | 26,773 |
| | Nationwide Health Properties Inc. | 747,393 | 26,734 |
| | Everest Re Group Ltd. | 367,669 | 26,002 |
| | AMB Property Corp. | 1,049,129 | 24,875 |
| * | TD Ameritrade Holding Corp. | 1,581,466 | 24,196 |
| | Rayonier Inc. | 500,274 | 22,022 |
| | WR Berkley Corp. | 801,462 | 21,207 |
| | Reinsurance Group of America Inc. Class A | 456,379 | 20,861 |
| * | Markel Corp. | 61,179 | 20,801 |
| | Eaton Vance Corp. | 739,695 | 20,423 |
| ^ | Liberty Property Trust | 706,549 | 20,384 |
| | RenaissanceRe Holdings Ltd. | 361,328 | 20,332 |
| * | MSCI Inc. Class A | 725,643 | 19,883 |
| ^ | Realty Income Corp. | 651,871 | 19,771 |
| | Cullen/Frost Bankers Inc. | 377,731 | 19,415 |
| | UDR Inc. | 1,011,759 | 19,355 |
| | Transatlantic Holdings Inc. | 401,209 | 19,242 |
| | Fidelity National Financial Inc. Class A | 1,432,876 | 18,613 |
| | Essex Property Trust Inc. | 187,847 | 18,323 |
| | Old Republic International Corp. | 1,503,693 | 18,240 |
| | HCC Insurance Holdings Inc. | 717,464 | 17,764 |
| | Regency Centers Corp. | 510,366 | 17,557 |
| | Alexandria Real Estate Equities Inc. | 276,366 | 17,513 |
| | Duke Realty Corp. | 1,542,958 | 17,513 |
| | Jones Lang LaSalle Inc. | 262,276 | 17,216 |
| | Validus Holdings Ltd. | 693,535 | 16,936 |
| * | Affiliated Managers Group Inc. | 278,006 | 16,894 |
| | Camden Property Trust | 410,827 | 16,782 |
| | Commerce Bancshares Inc. | 458,303 | 16,494 |
| | SEI Investments Co. | 805,480 | 16,400 |
| | First Niagara Financial Group Inc. | 1,304,080 | 16,340 |
| | Hospitality Properties Trust | 769,840 | 16,244 |
| | Jefferies Group Inc. | 760,559 | 16,033 |
| | Senior Housing Properties Trust | 794,846 | 15,984 |
| | Arthur J Gallagher & Co. | 646,386 | 15,759 |
| | White Mountains Insurance Group Ltd. | 48,469 | 15,714 |
| | Raymond James Financial Inc. | 620,424 | 15,318 |
| | Ares Capital Corp. | 1,195,866 | 14,984 |
| | Lazard Ltd. Class A | 556,585 | 14,866 |
| | Mack-Cali Realty Corp. | 494,752 | 14,709 |
| | Bank of Hawaii Corp. | 299,794 | 14,495 |
| | BRE Properties Inc. | 387,979 | 14,328 |
| | Brown & Brown Inc. | 736,121 | 14,089 |
| | East West Bancorp Inc. | 923,026 | 14,076 |
| | City National Corp. | 272,096 | 13,939 |
| | Corporate Office Properties Trust SBI | 367,701 | 13,884 |
| | Valley National Bancorp | 1,004,196 | 13,677 |
| | Developers Diversified Realty Corp. | 1,372,856 | 13,591 |
12
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | St. Joe Co. | 578,240 | 13,392 |
| | Associated Banc-Corp | 1,078,772 | 13,226 |
| | American Financial Group Inc. | 471,829 | 12,890 |
| | TCF Financial Corp. | 771,631 | 12,817 |
| | Allied World Assurance Co. Holdings Ltd. | 277,090 | 12,574 |
| | Weingarten Realty Investors | 652,394 | 12,428 |
| | Synovus Financial Corp. | 4,885,378 | 12,409 |
| | Highwoods Properties Inc. | 446,705 | 12,401 |
| | Alterra Capital Holdings Ltd. | 657,040 | 12,339 |
| | Hanover Insurance Group Inc. | 279,838 | 12,173 |
| | StanCorp Financial Group Inc. | 295,503 | 11,980 |
| | Fulton Financial Corp. | 1,237,771 | 11,944 |
| | Aspen Insurance Holdings Ltd. | 482,410 | 11,935 |
| | Waddell & Reed Financial Inc. | 539,195 | 11,798 |
| | Omega Healthcare Investors Inc. | 580,147 | 11,562 |
| | FirstMerit Corp. | 672,356 | 11,517 |
| * | ProAssurance Corp. | 202,797 | 11,511 |
| | Protective Life Corp. | 534,036 | 11,423 |
| | BioMed Realty Trust Inc. | 708,325 | 11,397 |
| | Washington Federal Inc. | 701,678 | 11,353 |
| | Apollo Investment Corp. | 1,209,372 | 11,283 |
| | National Retail Properties Inc. | 519,816 | 11,145 |
| | Endurance Specialty Holdings Ltd. | 294,410 | 11,049 |
| | Entertainment Properties Trust | 290,067 | 11,043 |
| * | AmeriCredit Corp. | 604,448 | 11,013 |
| | Douglas Emmett Inc. | 762,582 | 10,844 |
| * | SVB Financial Group | 260,473 | 10,739 |
| | CBL & Associates Properties Inc. | 861,384 | 10,716 |
| * | Popular Inc. | 3,989,833 | 10,693 |
| | Washington Real Estate Investment Trust | 379,022 | 10,457 |
| | Tanger Factory Outlet Centers | 252,537 | 10,450 |
| * | Alleghany Corp. | 35,443 | 10,395 |
| | Home Properties Inc. | 226,717 | 10,218 |
| | American Capital Ltd. | 2,118,858 | 10,213 |
| | Platinum Underwriters Holdings Ltd. | 281,110 | 10,201 |
| | Prosperity Bancshares Inc. | 290,871 | 10,108 |
| | CommonWealth REIT | 1,583,696 | 9,835 |
| | Assured Guaranty Ltd. | 736,890 | 9,779 |
| | Kilroy Realty Corp. | 326,305 | 9,701 |
| * | Signature Bank | 255,180 | 9,699 |
| | Mid-America Apartment Communities Inc. | 187,861 | 9,669 |
| | Westamerica Bancorporation | 183,003 | 9,611 |
| | Mercury General Corp. | 222,211 | 9,208 |
| | Equity Lifestyle Properties Inc. | 190,246 | 9,176 |
| | LaSalle Hotel Properties | 435,520 | 8,959 |
| | Potlatch Corp. | 249,249 | 8,906 |
| | American Campus Communities Inc. | 326,300 | 8,905 |
| | Brandywine Realty Trust | 820,706 | 8,823 |
| | DuPont Fabros Technology Inc. | 356,454 | 8,755 |
| * | Stifel Financial Corp. | 201,004 | 8,722 |
| * | MGIC Investment Corp. | 1,250,541 | 8,616 |
| | Iberiabank Corp. | 166,982 | 8,596 |
| | Healthcare Realty Trust Inc. | 388,694 | 8,540 |
| | Erie Indemnity Co. Class A | 185,081 | 8,421 |
| * | Forest City Enterprises Inc. Class A | 725,342 | 8,211 |
| | Umpqua Holdings Corp. | 714,408 | 8,201 |
| | BancorpSouth Inc. | 458,313 | 8,195 |
| | First American Financial Corp. | 645,741 | 8,188 |
| | Greenhill & Co. Inc. | 133,520 | 8,162 |
| | CapitalSource Inc. | 1,710,763 | 8,143 |
| * | Knight Capital Group Inc. Class A | 589,661 | 8,131 |
| | Unitrin Inc. | 311,839 | 7,983 |
| | DiamondRock Hospitality Co. | 963,809 | 7,923 |
| | Northwest Bancshares Inc. | 676,172 | 7,756 |
13
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | CNO Financial Group Inc. | 1,565,437 | 7,749 |
| | Extra Space Storage Inc. | 544,056 | 7,562 |
| | Webster Financial Corp. | 416,225 | 7,467 |
| | NewAlliance Bancshares Inc. | 661,106 | 7,411 |
| | Trustmark Corp. | 354,680 | 7,384 |
| | Taubman Centers Inc. | 194,663 | 7,325 |
| | Delphi Financial Group Inc. | 297,227 | 7,255 |
| * | Portfolio Recovery Associates Inc. | 105,895 | 7,072 |
| | Astoria Financial Corp. | 513,014 | 7,059 |
| | Post Properties Inc. | 303,270 | 6,893 |
| | Susquehanna Bancshares Inc. | 808,788 | 6,737 |
| | National Health Investors Inc. | 172,605 | 6,656 |
| | UMB Financial Corp. | 186,863 | 6,645 |
| | Montpelier Re Holdings Ltd. | 443,450 | 6,621 |
| * | PHH Corp. | 345,787 | 6,584 |
| | Glacier Bancorp Inc. | 448,712 | 6,583 |
| | Medical Properties Trust Inc. | 693,882 | 6,550 |
| | Wintrust Financial Corp. | 193,898 | 6,465 |
| | TFS Financial Corp. | 519,322 | 6,445 |
| | Colonial Properties Trust | 437,253 | 6,353 |
| | Cash America International Inc. | 184,313 | 6,316 |
| | PS Business Parks Inc. | 113,171 | 6,313 |
| | Wilmington Trust Corp. | 568,966 | 6,310 |
| | First Citizens BancShares Inc. | 32,586 | 6,267 |
| | First Financial Bankshares Inc. | 130,098 | 6,256 |
| | BOK Financial Corp. | 131,661 | 6,250 |
| * | Sunstone Hotel Investors Inc. | 614,672 | 6,104 |
| | MB Financial Inc. | 330,405 | 6,076 |
| | Tower Group Inc. | 280,516 | 6,040 |
| | Radian Group Inc. | 829,646 | 6,007 |
| | EastGroup Properties Inc. | 168,110 | 5,981 |
| | Argo Group International Holdings Ltd. | 193,760 | 5,927 |
| | Sovran Self Storage Inc. | 172,086 | 5,925 |
| | Hancock Holding Co. | 177,209 | 5,912 |
| | DCT Industrial Trust Inc. | 1,300,183 | 5,877 |
| * | Ezcorp Inc. Class A | 309,999 | 5,750 |
| | FNB Corp. | 713,771 | 5,732 |
| ^ | United Bankshares Inc. | 238,925 | 5,720 |
| | RLI Corp. | 107,932 | 5,668 |
| | Old National Bancorp | 543,810 | 5,634 |
| | First Midwest Bancorp Inc. | 462,024 | 5,618 |
| | Whitney Holding Corp. | 601,839 | 5,567 |
| * | MBIA Inc. | 972,090 | 5,453 |
| | International Bancshares Corp. | 322,985 | 5,391 |
| | Cathay General Bancorp | 489,855 | 5,060 |
| | CVB Financial Corp. | 530,568 | 5,040 |
| | Franklin Street Properties Corp. | 422,571 | 4,991 |
| | Selective Insurance Group Inc. | 332,229 | 4,937 |
| * | Greenlight Capital Re Ltd. Class A | 188,600 | 4,751 |
| | National Penn Bancshares Inc. | 786,224 | 4,725 |
| | First Financial Bancorp | 312,056 | 4,665 |
| | Capitol Federal Financial | 138,465 | 4,591 |
| | Community Bank System Inc. | 208,205 | 4,587 |
| | Columbia Banking System Inc. | 245,227 | 4,478 |
| | Park National Corp. | 67,652 | 4,400 |
| | NBT Bancorp Inc. | 215,042 | 4,391 |
| * | Investment Technology Group Inc. | 271,905 | 4,367 |
| * | Pico Holdings Inc. | 143,722 | 4,307 |
| * | CNA Financial Corp. | 167,945 | 4,293 |
| | Cousins Properties Inc. | 636,698 | 4,291 |
| * | Interactive Brokers Group Inc. | 257,138 | 4,268 |
| | Lexington Realty Trust | 702,361 | 4,221 |
| | Acadia Realty Trust | 250,364 | 4,211 |
| * | optionsXpress Holdings Inc. | 265,112 | 4,173 |
14
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Forestar Group Inc. | 231,587 | 4,159 |
| | Investors Real Estate Trust | 468,929 | 4,141 |
| | PrivateBancorp Inc. Class A | 372,756 | 4,130 |
| | Prospect Capital Corp. | 419,800 | 4,051 |
| * | MF Global Holdings Ltd. | 704,660 | 4,024 |
| * | Strategic Hotels & Resorts Inc. | 898,887 | 3,946 |
| | Alexander's Inc. | 13,007 | 3,940 |
| | Provident Financial Services Inc. | 336,292 | 3,931 |
| | Employers Holdings Inc. | 266,684 | 3,928 |
| * | Investors Bancorp Inc. | 298,702 | 3,919 |
| * | Ocwen Financial Corp. | 381,974 | 3,892 |
| * | KBW Inc. | 179,317 | 3,845 |
| | American Equity Investment Life Holding Co. | 370,916 | 3,828 |
| | Horace Mann Educators Corp. | 250,174 | 3,828 |
| | Infinity Property & Casualty Corp. | 82,550 | 3,812 |
| | Chemical Financial Corp. | 174,444 | 3,799 |
| * | World Acceptance Corp. | 98,390 | 3,769 |
| ^ | Pennsylvania Real Estate Investment Trust | 307,154 | 3,753 |
| | American National Insurance Co. | 46,122 | 3,734 |
| | U-Store-It Trust | 497,250 | 3,709 |
| * | First Cash Financial Services Inc. | 169,210 | 3,689 |
| | Inland Real Estate Corp. | 457,437 | 3,623 |
| | LTC Properties Inc. | 149,105 | 3,619 |
| | Safety Insurance Group Inc. | 96,313 | 3,566 |
| | PacWest Bancorp | 193,904 | 3,550 |
| | Equity One Inc. | 223,470 | 3,486 |
| * | Piper Jaffray Cos. | 107,941 | 3,478 |
| | First Potomac Realty Trust | 232,274 | 3,338 |
| | Brookline Bancorp Inc. | 375,351 | 3,333 |
| * | Navigators Group Inc. | 80,749 | 3,321 |
| | Hersha Hospitality Trust | 733,659 | 3,316 |
| | Independent Bank Corp. | 133,345 | 3,291 |
| | Saul Centers Inc. | 79,197 | 3,218 |
| | Getty Realty Corp. | 141,685 | 3,175 |
| | Fifth Street Finance Corp. | 286,063 | 3,155 |
| | Home Bancshares Inc. | 137,059 | 3,126 |
| * | Dollar Financial Corp. | 154,620 | 3,060 |
| | S&T Bancorp Inc. | 154,019 | 3,043 |
| | MarketAxess Holdings Inc. | 218,699 | 3,016 |
| | Sterling Bancshares Inc. | 635,526 | 2,993 |
| * | Texas Capital Bancshares Inc. | 182,075 | 2,986 |
| *,^ | PMI Group Inc. | 1,022,690 | 2,956 |
| | Boston Private Financial Holdings Inc. | 457,582 | 2,942 |
| | Wesco Financial Corp. | 9,100 | 2,941 |
| | Bank of the Ozarks Inc. | 82,642 | 2,931 |
| | Meadowbrook Insurance Group Inc. | 338,235 | 2,919 |
| | SCBT Financial Corp. | 81,183 | 2,859 |
| | WesBanco Inc. | 169,054 | 2,849 |
| | City Holding Co. | 101,242 | 2,823 |
| | United Fire & Casualty Co. | 141,099 | 2,797 |
| | Sun Communities Inc. | 107,270 | 2,785 |
| | Trustco Bank Corp. NY | 488,759 | 2,737 |
| * | Pinnacle Financial Partners Inc. | 212,237 | 2,727 |
| | Symetra Financial Corp. | 225,540 | 2,706 |
| | Harleysville Group Inc. | 85,927 | 2,666 |
| | Glimcher Realty Trust | 438,757 | 2,624 |
| | Nelnet Inc. Class A | 135,787 | 2,618 |
| * | National Financial Partners Corp. | 267,497 | 2,613 |
| *,^ | iStar Financial Inc. | 582,627 | 2,599 |
| * | Western Alliance Bancorp | 361,769 | 2,594 |
| | Oriental Financial Group Inc. | 203,424 | 2,575 |
| | Universal Health Realty Income Trust | 79,536 | 2,555 |
| | First Commonwealth Financial Corp. | 485,599 | 2,549 |
| * | Beneficial Mutual Bancorp Inc. | 256,461 | 2,534 |
15
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Ashford Hospitality Trust Inc. | 345,439 | 2,532 |
| * | Hilltop Holdings Inc. | 251,071 | 2,513 |
| | Simmons First National Corp. Class A | 95,186 | 2,500 |
| | MCG Capital Corp. | 510,344 | 2,465 |
| | Dime Community Bancshares | 199,750 | 2,463 |
| | Community Trust Bancorp Inc. | 96,837 | 2,431 |
| | Associated Estates Realty Corp. | 186,025 | 2,409 |
| *,^ | Primerica Inc. | 109,100 | 2,339 |
| | GFI Group Inc. | 416,851 | 2,326 |
| | Flushing Financial Corp. | 186,297 | 2,278 |
| | Cohen & Steers Inc. | 109,699 | 2,275 |
| | FBL Financial Group Inc. Class A | 108,326 | 2,275 |
| * | Nara Bancorp Inc. | 269,789 | 2,274 |
| * | United Community Banks Inc. | 558,512 | 2,206 |
| * | Citizens Republic Bancorp Inc. | 2,569,335 | 2,184 |
| | Hercules Technology Growth Capital Inc. | 236,238 | 2,176 |
| | Suffolk Bancorp | 69,209 | 2,141 |
| * | Encore Capital Group Inc. | 103,721 | 2,138 |
| | OneBeacon Insurance Group Ltd. Class A | 148,621 | 2,128 |
| | Evercore Partners Inc. Class A | 91,142 | 2,128 |
| * | AMERISAFE Inc. | 120,415 | 2,113 |
| | National Western Life Insurance Co. Class A | 13,681 | 2,090 |
| | First Financial Corp. | 80,289 | 2,072 |
| | National Interstate Corp. | 104,132 | 2,064 |
| * | FelCor Lodging Trust Inc. | 412,894 | 2,060 |
| ^ | TowneBank | 141,686 | 2,057 |
| | Urstadt Biddle Properties Inc. Class A | 125,483 | 2,024 |
| | American Physicians Capital Inc. | 65,084 | 2,008 |
| | SY Bancorp Inc. | 86,602 | 1,990 |
| | Renasant Corp. | 137,722 | 1,976 |
| * | Tejon Ranch Co. | 85,410 | 1,971 |
| | Parkway Properties Inc. | 134,339 | 1,957 |
| | Provident New York Bancorp | 220,794 | 1,954 |
| | Tompkins Financial Corp. | 51,481 | 1,943 |
| * | Pebblebrook Hotel Trust | 102,396 | 1,930 |
| | Cardinal Financial Corp. | 207,031 | 1,913 |
| | MVC Capital Inc. | 145,400 | 1,879 |
| | Danvers Bancorp Inc. | 129,812 | 1,876 |
| * | FPIC Insurance Group Inc. | 72,669 | 1,864 |
| | Maiden Holdings Ltd. | 283,000 | 1,859 |
| | Ramco-Gershenson Properties Trust | 183,847 | 1,857 |
| | Cedar Shopping Centers Inc. | 304,926 | 1,836 |
| | StellarOne Corp. | 143,261 | 1,829 |
| | Bank Mutual Corp. | 320,594 | 1,821 |
| * | eHealth Inc. | 159,045 | 1,808 |
| | SWS Group Inc. | 188,010 | 1,786 |
| | Bancfirst Corp. | 48,743 | 1,779 |
| | WSFS Financial Corp. | 49,362 | 1,774 |
| | Westfield Financial Inc. | 210,554 | 1,754 |
| | SeaBright Holdings Inc. | 181,512 | 1,721 |
| ^ | West Coast Bancorp | 674,346 | 1,720 |
| * | CNA Surety Corp. | 106,718 | 1,715 |
| | Great Southern Bancorp Inc. | 83,921 | 1,704 |
| | PennantPark Investment Corp. | 177,589 | 1,696 |
| * | Emdeon Inc. Class A | 133,905 | 1,678 |
| | Education Realty Trust Inc. | 277,755 | 1,675 |
| | Republic Bancorp Inc. | 74,689 | 1,673 |
| | Financial Institutions Inc. | 93,808 | 1,666 |
| * | First Industrial Realty Trust Inc. | 344,894 | 1,662 |
| | Washington Trust Bancorp Inc. | 96,987 | 1,653 |
| * | Safeguard Scientifics Inc. | 153,272 | 1,619 |
| | Berkshire Hills Bancorp Inc. | 83,063 | 1,618 |
| * | Citizens Inc. | 241,494 | 1,608 |
| | Arrow Financial Corp. | 69,216 | 1,599 |
16
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | LaBranche & Co. Inc. | 369,437 | 1,581 |
| *,^ | Ambac Financial Group Inc. | 2,344,421 | 1,571 |
| | Cogdell Spencer Inc. | 232,315 | 1,570 |
| | Sandy Spring Bancorp Inc. | 112,048 | 1,570 |
| | Wainwright Bank & Trust Co. | 83,689 | 1,561 |
| | 1st Source Corp. | 91,868 | 1,554 |
| * | TradeStation Group Inc. | 230,043 | 1,553 |
| * | Hudson Pacific Properties Inc. | 90,000 | 1,553 |
| | GAMCO Investors Inc. | 41,387 | 1,540 |
| | Kearny Financial Corp. | 167,925 | 1,538 |
| | Kite Realty Group Trust | 367,612 | 1,537 |
| | German American Bancorp Inc. | 100,190 | 1,533 |
| | Univest Corp. of Pennsylvania | 88,309 | 1,530 |
| * | International Assets Holding Corp. | 95,412 | 1,527 |
| | Advance America Cash Advance Centers Inc. | 364,772 | 1,507 |
| * | Phoenix Cos. Inc. | 709,721 | 1,498 |
| | First Bancorp | 101,882 | 1,476 |
| | Baldwin & Lyons Inc. | 69,174 | 1,453 |
| * | Bancorp Inc. | 184,993 | 1,448 |
| * | Eagle Bancorp Inc. | 122,905 | 1,448 |
| | OceanFirst Financial Corp. | 119,948 | 1,448 |
| | Heartland Financial USA Inc. | 83,436 | 1,442 |
| | Sterling Bancorp | 158,051 | 1,422 |
| | Southside Bancshares Inc. | 71,992 | 1,414 |
| | BlackRock Kelso Capital Corp. | 142,829 | 1,410 |
| | TICC Capital Corp. | 166,847 | 1,402 |
| * | Credit Acceptance Corp. | 28,686 | 1,399 |
| | Capital Southwest Corp. | 15,889 | 1,397 |
| | National Bankshares Inc. | 57,342 | 1,389 |
| | State Auto Financial Corp. | 88,919 | 1,379 |
| | Amtrust Financial Services Inc. | 114,429 | 1,378 |
| | Northfield Bancorp Inc. | 105,841 | 1,374 |
| | Agree Realty Corp. | 58,641 | 1,368 |
| | Gladstone Capital Corp. | 125,460 | 1,356 |
| | Asta Funding Inc. | 136,294 | 1,345 |
| | Lakeland Financial Corp. | 67,323 | 1,345 |
| | One Liberty Properties Inc. | 89,020 | 1,327 |
| * | Green Bankshares Inc. | 103,862 | 1,326 |
| | Southwest Bancorp Inc. | 99,587 | 1,324 |
| | ESSA Bancorp Inc. | 106,926 | 1,316 |
| | Lakeland Bancorp Inc. | 152,866 | 1,302 |
| | Hudson Valley Holding Corp. | 55,241 | 1,277 |
| * | United America Indemnity Ltd. Class A | 172,965 | 1,273 |
| | Calamos Asset Management Inc. Class A | 135,984 | 1,262 |
| | First Merchants Corp. | 148,227 | 1,257 |
| | Federal Agricultural Mortgage Corp. | 88,720 | 1,245 |
| | Trico Bancshares | 73,519 | 1,245 |
| | Home Federal Bancorp Inc. | 98,146 | 1,240 |
| | Presidential Life Corp. | 134,897 | 1,228 |
| | Wilshire Bancorp Inc. | 139,191 | 1,218 |
| | Oppenheimer Holdings Inc. Class A | 50,671 | 1,214 |
| | Westwood Holdings Group Inc. | 34,467 | 1,212 |
| | Abington Bancorp Inc. | 137,677 | 1,201 |
| | Peoples Bancorp Inc. | 82,750 | 1,200 |
| | Camden National Corp. | 43,600 | 1,198 |
| | American Physicians Service Group Inc. | 48,798 | 1,193 |
| | MainSource Financial Group Inc. | 166,253 | 1,192 |
| * | West Bancorporation Inc. | 173,967 | 1,185 |
| | Duff & Phelps Corp. Class A | 93,498 | 1,181 |
| | United Financial Bancorp Inc. | 86,150 | 1,176 |
| * | NewStar Financial Inc. | 183,963 | 1,170 |
| * | PMA Capital Corp. Class A | 176,882 | 1,159 |
| | CapLease Inc. | 244,920 | 1,129 |
| * | Virtus Investment Partners Inc. | 59,713 | 1,118 |
17
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Mission West Properties Inc. | 162,217 | 1,106 |
| | Monmouth Real Estate Investment Corp. Class A | 149,675 | 1,106 |
| | BankFinancial Corp. | 133,089 | 1,106 |
| | First Community Bancshares Inc. | 74,100 | 1,089 |
| * | Virginia Commerce Bancorp Inc. | 173,047 | 1,082 |
| * | Heritage Financial Corp. | 71,458 | 1,070 |
| | Union First Market Bankshares Corp. | 85,998 | 1,054 |
| *,^ | Taylor Capital Group Inc. | 81,275 | 1,052 |
| | Stewart Information Services Corp. | 115,288 | 1,040 |
| * | Metro Bancorp Inc. | 83,987 | 1,036 |
| | Capital City Bank Group Inc. | 83,415 | 1,033 |
| * | Center Financial Corp. | 200,183 | 1,031 |
| | Territorial Bancorp Inc. | 54,300 | 1,029 |
| | Donegal Group Inc. Class B | 63,194 | 1,028 |
| | Northrim BanCorp Inc. | 65,629 | 1,016 |
| * | Cardtronics Inc. | 78,367 | 1,016 |
| | CoBiz Financial Inc. | 151,496 | 998 |
| | First Financial Holdings Inc. | 86,338 | 989 |
| | Thomas Properties Group Inc. | 297,000 | 983 |
| | Winthrop Realty Trust | 76,042 | 974 |
| | ViewPoint Financial Group | 70,161 | 972 |
| | Oritani Financial Corp. | 95,487 | 955 |
| | Ameris Bancorp | 97,295 | 940 |
| | American National Bankshares Inc. | 43,665 | 934 |
| | Consolidated-Tomoka Land Co. | 32,746 | 933 |
| | Sanders Morris Harris Group Inc. | 167,741 | 931 |
| | Merchants Bancshares Inc. | 41,780 | 928 |
| * | Meridian Interstate Bancorp Inc. | 84,682 | 923 |
| | Century Bancorp Inc. Class A | 41,622 | 917 |
| * | HFF Inc. Class A | 127,464 | 901 |
| * | Avatar Holdings Inc. | 46,792 | 897 |
| * | Gleacher & Co. Inc. | 350,915 | 895 |
| | First Busey Corp. | 197,290 | 894 |
| * | Thomas Weisel Partners Group Inc. | 151,383 | 892 |
| ^ | Life Partners Holdings Inc. | 43,518 | 890 |
| | Rewards Network Inc. | 64,852 | 887 |
| | EMC Insurance Group Inc. | 40,236 | 882 |
| | Meta Financial Group Inc. | 29,986 | 879 |
| * | Harris & Harris Group Inc. | 214,750 | 878 |
| | Student Loan Corp. | 36,027 | 868 |
| | NGP Capital Resources Co. | 118,877 | 852 |
| | Gladstone Investment Corp. | 143,147 | 835 |
| * | NewBridge Bancorp | 237,283 | 833 |
| * | Guaranty Bancorp | 785,516 | 833 |
| | Clifton Savings Bancorp Inc. | 95,987 | 830 |
| | First Mercury Financial Corp. | 78,405 | 830 |
| *,^ | Hanmi Financial Corp. | 657,411 | 828 |
| | Gladstone Commercial Corp. | 50,362 | 823 |
| * | 1st United Bancorp Inc. | 110,982 | 817 |
| | Diamond Hill Investment Group Inc. | 14,404 | 817 |
| | First of Long Island Corp. | 31,708 | 815 |
| *,^ | Cape Bancorp Inc. | 113,756 | 813 |
| ^ | Kohlberg Capital Corp. | 159,231 | 798 |
| | Centerstate Banks Inc. | 77,737 | 784 |
| *,^ | Seacoast Banking Corp. of Florida | 587,560 | 781 |
| | Center Bancorp Inc. | 98,841 | 749 |
| *,^ | Central Pacific Financial Corp. | 488,134 | 732 |
| | Orrstown Financial Services Inc. | 33,039 | 731 |
| | Washington Banking Co. | 56,397 | 721 |
| * | Bridge Capital Holdings | 77,971 | 710 |
| | Enterprise Financial Services Corp. | 72,633 | 700 |
| * | Pacific Mercantile Bancorp | 197,160 | 686 |
| * | Excel Trust Inc. | 56,400 | 677 |
| | ESB Financial Corp. | 51,263 | 669 |
18
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Bridge Bancorp Inc. | 27,464 | 667 |
| * | Sun Bancorp Inc. | 176,157 | 662 |
| | First Financial Northwest Inc. | 167,124 | 662 |
| * | Tree.com Inc. | 104,574 | 661 |
| | NYMAGIC Inc. | 34,239 | 660 |
| * | MPG Office Trust Inc. | 224,392 | 657 |
| | Pacific Continental Corp. | 69,398 | 657 |
| * | Central Jersey Bancorp | 92,358 | 654 |
| * | Marlin Business Services Corp. | 53,933 | 652 |
| | Main Street Capital Corp. | 43,385 | 648 |
| * | Home Bancorp Inc. | 50,108 | 647 |
| ^ | Yadkin Valley Financial Corp. | 188,199 | 636 |
| | Citizens & Northern Corp. | 59,318 | 635 |
| * | Crawford & Co. Class B | 198,857 | 628 |
| * | First Marblehead Corp. | 265,086 | 623 |
| * | Community Capital Corp. | 144,014 | 619 |
| | Bank of Marin Bancorp | 19,392 | 619 |
| *,^ | BankAtlantic Bancorp Inc. Class A | 442,160 | 619 |
| | Kansas City Life Insurance Co. | 20,934 | 619 |
| | Bryn Mawr Bank Corp. | 36,656 | 615 |
| | State Bancorp Inc. | 64,447 | 612 |
| | First Interstate Bancsystem Inc. | 38,900 | 612 |
| | Pulaski Financial Corp. | 94,692 | 611 |
| | Penns Woods Bancorp Inc. | 20,073 | 611 |
| | First Bancorp Inc. | 45,981 | 604 |
| | Epoch Holding Corp. | 48,911 | 600 |
| | PMC Commercial Trust | 72,053 | 589 |
| | TF Financial Corp. | 26,563 | 579 |
| * | FBR Capital Markets Corp. | 172,857 | 576 |
| | Flagstone Reinsurance Holdings SA | 52,700 | 570 |
| * | Financial Engines Inc. | 41,400 | 563 |
| | Pzena Investment Management Inc. Class A | 88,034 | 561 |
| * | Fidelity Southern Corp. | 85,372 | 560 |
| | US Global Investors Inc. Class A | 100,845 | 560 |
| *,^ | United Security Bancshares | 153,327 | 558 |
| | Eastern Insurance Holdings Inc. | 52,403 | 557 |
| * | Gramercy Capital Corp. | 439,636 | 554 |
| | First South Bancorp Inc. | 51,641 | 548 |
| | Tower Bancorp Inc. | 25,013 | 548 |
| * | Penson Worldwide Inc. | 96,741 | 546 |
| | Bancorp Rhode Island Inc. | 20,784 | 545 |
| | MutualFirst Financial Inc. | 80,909 | 542 |
| | Urstadt Biddle Properties Inc. | 38,700 | 540 |
| | Triangle Capital Corp. | 37,972 | 540 |
| * | Flagstar Bancorp Inc. | 167,363 | 526 |
| | Universal Insurance Holdings Inc. | 125,633 | 525 |
| | MicroFinancial Inc. | 149,615 | 522 |
| * | AmeriServ Financial Inc. | 323,903 | 521 |
| | Indiana Community Bancorp | 42,907 | 519 |
| | Sierra Bancorp | 45,032 | 518 |
| * | Asset Acceptance Capital Corp. | 124,912 | 517 |
| ^ | K-Fed Bancorp | 56,590 | 514 |
| ^ | Mercer Insurance Group Inc. | 30,264 | 512 |
| ^ | Shore Bancshares Inc. | 41,733 | 497 |
| | 21st Century Holding Co. | 129,012 | 495 |
| | UMH Properties Inc. | 49,053 | 494 |
| *,^ | Pacific Capital Bancorp NA | 676,819 | 487 |
| ^ | CompuCredit Holdings Corp. | 122,885 | 487 |
| * | American Safety Insurance Holdings Ltd. | 30,500 | 479 |
| * | Terreno Realty Corp. | 26,700 | 473 |
| * | United Community Financial Corp. | 281,806 | 471 |
| | JMP Group Inc. | 75,831 | 469 |
| * | Waterstone Financial Inc. | 136,825 | 467 |
| * | Intervest Bancshares Corp. Class A | 85,121 | 464 |
19
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| ^ | Smithtown Bancorp Inc. | 153,872 | 459 |
| * | Ladenburg Thalmann Financial Services Inc. | 362,415 | 453 |
| | Roma Financial Corp. | 41,702 | 453 |
| | MBT Financial Corp. | 198,780 | 451 |
| | Ocean Shore Holding Co. | 43,211 | 449 |
| | Rockville Financial Inc. | 37,392 | 445 |
| *,^ | Premierwest Bancorp | 1,113,146 | 445 |
| *,^ | First BanCorp | 827,740 | 439 |
| | Citizens South Banking Corp. | 76,315 | 433 |
| | CFS Bancorp Inc. | 88,623 | 431 |
| | Hawthorn Bancshares Inc. | 35,505 | 426 |
| | Medallion Financial Corp. | 64,050 | 423 |
| | Alliance Financial Corp. | 14,995 | 417 |
| * | Chicopee Bancorp Inc. | 35,389 | 414 |
| | Arlington Asset Investment Corp. Class A | 22,005 | 414 |
| | Peapack Gladstone Financial Corp. | 35,150 | 411 |
| * | BofI Holding Inc. | 28,743 | 406 |
| ^ | United Security Bancshares | 44,680 | 404 |
| * | Firstcity Financial Corp. | 60,698 | 404 |
| | Ames National Corp. | 20,667 | 404 |
| * | Nicholas Financial Inc. | 48,801 | 399 |
| * | Fox Chase Bancorp Inc. | 40,549 | 388 |
| ^ | Colony Bankcorp Inc. | 55,323 | 364 |
| | Donegal Group Inc. Class A | 29,577 | 364 |
| | American River Bankshares | 48,082 | 359 |
| * | Republic First Bancorp Inc. | 183,226 | 357 |
| * | Superior Bancorp | 179,781 | 347 |
| * | Louisiana Bancorp Inc. | 24,568 | 344 |
| | First Place Financial Corp. | 114,212 | 343 |
| | Provident Financial Holdings Inc. | 71,199 | 342 |
| | CNB Financial Corp. | 30,957 | 340 |
| | Middleburg Financial Corp. | 24,377 | 339 |
| | WSB Holdings Inc. | 100,677 | 337 |
| ^ | BancTrust Financial Group Inc. | 90,782 | 336 |
| * | Cowen Group Inc. Class A | 80,336 | 329 |
| | Peoples Bancorp of North Carolina Inc. | 64,718 | 313 |
| | Parkvale Financial Corp. | 36,069 | 302 |
| | First United Corp. | 77,414 | 302 |
| * | OmniAmerican Bancorp Inc. | 26,667 | 301 |
| * | Bank of Granite Corp. | 259,864 | 299 |
| *,^ | Sterling Financial Corp. | 532,028 | 293 |
| | VIST Financial Corp. | 37,845 | 291 |
| *,^ | Doral Financial Corp. | 117,140 | 286 |
| | Legacy Bancorp Inc. | 31,980 | 282 |
| * | Heritage Commerce Corp. | 79,008 | 280 |
| * | North Valley Bancorp | 126,638 | 279 |
| | Capital Bank Corp. | 82,828 | 269 |
| | Jefferson Bancshares Inc. | 67,379 | 267 |
| | First Security Group Inc. | 137,838 | 265 |
| | NASB Financial Inc. | 17,387 | 263 |
| | Timberland Bancorp Inc. | 79,777 | 262 |
| ^ | Citizens Holding Co. | 15,186 | 261 |
| | Bar Harbor Bankshares | 10,218 | 255 |
| * | MetroCorp Bancshares Inc. | 89,829 | 252 |
| * | First Acceptance Corp. | 146,908 | 251 |
| | South Financial Group Inc. | 908,121 | 247 |
| * | Stratus Properties Inc. | 24,795 | 246 |
| *,^ | Macatawa Bank Corp. | 202,909 | 243 |
| | QC Holdings Inc. | 65,754 | 242 |
| | Atlantic Coast Federal Corp. | 80,776 | 242 |
| *,^ | Dearborn Bancorp Inc. | 129,119 | 241 |
| * | Pamrapo Bancorp Inc. | 32,885 | 241 |
| * | Southcoast Financial Corp. | 91,720 | 238 |
| ^ | Prudential Bancorp Inc. of Pennsylvania | 39,984 | 238 |
20
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| ^ | Princeton National Bancorp Inc. | 38,269 | 235 |
| | Mercantile Bank Corp. | 43,627 | 234 |
| | BRT Realty Trust | 39,682 | 234 |
| | Brooklyn Federal Bancorp Inc. | 52,981 | 234 |
| | First Defiance Financial Corp. | 26,006 | 232 |
| * | Southern Community Financial Corp. | 103,218 | 231 |
| * | Camco Financial Corp. | 90,601 | 227 |
| *,^ | Cascade Bancorp | 472,962 | 227 |
| * | Chesapeake Lodging Trust | 14,300 | 226 |
| * | Supertel Hospitality Inc. | 158,192 | 221 |
| * | ZipRealty Inc. | 80,841 | 211 |
| *,^ | Preferred Bank | 100,892 | 211 |
| * | HMN Financial Inc. | 45,747 | 210 |
| | Independence Holding Co. | 32,915 | 197 |
| ^ | Ohio Valley Banc Corp. | 11,902 | 196 |
| * | Hallmark Financial Services | 19,684 | 196 |
| | Firstbank Corp. | 46,094 | 195 |
| * | PVF Capital Corp. | 101,169 | 190 |
| | Heritage Financial Group | 17,575 | 190 |
| ^ | Banner Corp. | 95,723 | 190 |
| | Bank of Commerce Holdings | 38,126 | 181 |
| * | Encore Bancshares Inc. | 18,198 | 180 |
| * | Guaranty Federal Bancshares Inc. | 27,970 | 178 |
| * | Riverview Bancorp Inc. | 70,929 | 174 |
| * | Tower Financial Corp. | 23,982 | 168 |
| ^ | Integra Bank Corp. | 214,786 | 163 |
| ^ | Farmers Capital Bank Corp. | 32,071 | 162 |
| | Tortoise Capital Resources Corp. | 29,056 | 158 |
| | MidWestOne Financial Group Inc. | 10,170 | 157 |
| | Community Bankers Trust Corp. | 69,810 | 156 |
| *,^ | First State Bancorporation | 499,317 | 155 |
| | Federal Agricultural Mortgage Corp. Class A | 12,788 | 153 |
| ^ | Old Point Financial Corp. | 11,604 | 151 |
| * | Summit Financial Group Inc. | 61,208 | 148 |
| * | First Keystone Financial Inc. | 10,608 | 142 |
| | First Financial Service Corp. | 19,332 | 140 |
| *,^ | Capitol Bancorp Ltd. | 105,387 | 134 |
| * | Maui Land & Pineapple Co. Inc. | 35,499 | 132 |
| * | Pacific Premier Bancorp Inc. | 31,495 | 132 |
| ^ | Old Second Bancorp Inc. | 65,295 | 131 |
| | Hampden Bancorp Inc. | 13,609 | 129 |
| * | Consumer Portfolio Services Inc. | 87,963 | 121 |
| | United Western Bancorp Inc. | 149,219 | 119 |
| * | Golub Capital BDC Inc. | 8,015 | 116 |
| * | Grubb & Ellis Co. | 113,800 | 112 |
| * | Royal Bancshares of Pennsylvania Inc. | 37,021 | 111 |
| | Norwood Financial Corp. | 4,340 | 110 |
| | Midsouth Bancorp Inc. | 8,523 | 109 |
| | First Citizens Banc Corp. | 21,522 | 98 |
| * | Centrue Financial Corp. | 44,199 | 88 |
| *,^ | Hampton Roads Bankshares Inc. | 115,070 | 86 |
| * | Northern States Financial Corp. | 36,253 | 85 |
| *,^ | TIB Financial Corp. | 175,035 | 82 |
| * | Rodman & Renshaw Capital Group Inc. | 28,062 | 80 |
| | Independent Bank Corp. | 209,941 | 80 |
| *,^ | Anchor Bancorp Wisconsin Inc. | 166,285 | 75 |
| | New Hampshire Thrift Bancshares Inc. | 6,517 | 68 |
| * | Cadence Financial Corp. | 58,584 | 67 |
| * | Investors Capital Holdings Ltd. | 26,400 | 63 |
| | Investors Title Co. | 1,876 | 59 |
| *,^ | PAB Bankshares Inc. | 59,645 | 56 |
| ^ | FNB United Corp. | 68,477 | 55 |
| | Peoples Financial Corp. | 4,686 | 50 |
| * | Cascade Financial Corp. | 93,296 | 44 |
21
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Southern National Bancorp of Virginia Inc. | 6,033 | 44 |
| | Enterprise Bancorp Inc. | 4,157 | 43 |
| * | First Capital Bancorp Inc. | 5,724 | 41 |
| | United Bancshares Inc. | 3,973 | 40 |
| * | First California Financial Group Inc. | 14,328 | 39 |
| * | Commonwealth Bankshares Inc. | 13,840 | 37 |
| | First Savings Financial Group Inc. | 2,847 | 36 |
| * | BCSB Bancorp Inc. | 3,600 | 36 |
| *,^ | Hanmi Financial Corp. Rights Exp. 7/12/2010 | 562,911 | 34 |
| * | Unity Bancorp Inc. | 5,989 | 32 |
| *,^ | Mercantile Bancorp Inc. | 11,201 | 32 |
| * | Xenith Bankshares Inc. | 4,400 | 31 |
| * | Affirmative Insurance Holdings Inc. | 7,091 | 28 |
| * | Tennessee Commerce Bancorp Inc. | 3,800 | 25 |
| | Rurban Financial Corp. | 5,340 | 22 |
| | Monarch Financial Holdings Inc. | 2,801 | 21 |
| * | Presidential Realty Corp. Class B | 46,000 | 21 |
| * | 1st Century Bancshares Inc. | 5,805 | 20 |
| | First Chester County Corp. | 2,056 | 18 |
| | United Bancorp Inc. | 2,112 | 18 |
| | BCB Bancorp Inc. | 2,126 | 17 |
| | Codorus Valley Bancorp Inc. | 2,200 | 16 |
| | Premier Financial Bancorp Inc. | 1,897 | 15 |
| | First Bancshares Inc. | 1,825 | 15 |
| * | Southern First Bancshares Inc. | 2,100 | 14 |
| | Britton & Koontz Capital Corp. | 1,035 | 11 |
| * | First Mariner Bancorp Inc. | 10,874 | 10 |
| | Citizens Community Bancorp Inc. | 2,653 | 10 |
| | Porter Bancorp Inc. | 798 | 10 |
| | Wilber Corp. | 1,465 | 9 |
| | Beacon Federal Bancorp Inc. | 870 | 8 |
| * | Magyar Bancorp Inc. | 2,200 | 8 |
| * | Village Bank and Trust Financial Corp. | 2,400 | 7 |
| | Horizon Bancorp | 291 | 6 |
| * | Rand Capital Corp. | 1,900 | 6 |
| * | Heritage Oaks Bancorp | 1,200 | 4 |
| * | Parke Bancorp Inc. | 420 | 4 |
| * | Teton Advisors Inc. Class A | 392 | 4 |
| * | FedFirst Financial Corp. | 587 | 3 |
| * | Siebert Financial Corp. | 1,236 | 3 |
| * | Mid Penn Bancorp Inc. | 284 | 3 |
| * | New Century Bancorp Inc. | 400 | 2 |
| * | Berkshire Bancorp Inc. | 427 | 2 |
| * | Community Financial Corp. | 300 | 1 |
| * | Laporte Bancorp Inc. | 100 | 1 |
| * | Ohio Legacy Corp. | 100 | — |
| * | Atlantic Southern Financial Group Inc. | 100 | — |
| | | | 2,606,677 |
| Health Care (12.8%) | | |
| * | Vertex Pharmaceuticals Inc. | 1,261,474 | 41,502 |
| * | Edwards Lifesciences Corp. | 706,996 | 39,606 |
| * | Illumina Inc. | 759,867 | 33,077 |
| * | Henry Schein Inc. | 570,082 | 31,298 |
| | Perrigo Co. | 501,888 | 29,647 |
| * | ResMed Inc. | 473,056 | 28,767 |
| * | Alexion Pharmaceuticals Inc. | 558,957 | 28,613 |
| * | Dendreon Corp. | 837,533 | 27,077 |
| * | Human Genome Sciences Inc. | 1,168,757 | 26,484 |
| | Beckman Coulter Inc. | 437,428 | 26,373 |
| * | Mettler-Toledo International Inc. | 209,982 | 23,440 |
| | Universal Health Services Inc. Class B | 605,907 | 23,115 |
| * | Hologic Inc. | 1,616,345 | 22,516 |
| * | IDEXX Laboratories Inc. | 359,744 | 21,908 |
| * | Covance Inc. | 403,471 | 20,706 |
22
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Valeant Pharmaceuticals International | 391,971 | 20,496 |
| * | Lincare Holdings Inc. | 620,028 | 20,157 |
| * | Community Health Systems Inc. | 591,991 | 20,015 |
| | Pharmaceutical Product Development Inc. | 739,457 | 18,790 |
| | Omnicare Inc. | 749,867 | 17,772 |
| * | Mednax Inc. | 293,918 | 16,345 |
| * | Endo Pharmaceuticals Holdings Inc. | 725,385 | 15,828 |
| * | Thoratec Corp. | 357,723 | 15,286 |
| * | Health Net Inc. | 620,050 | 15,111 |
| * | United Therapeutics Corp. | 306,650 | 14,968 |
| * | Amylin Pharmaceuticals Inc. | 786,828 | 14,792 |
| * | Kinetic Concepts Inc. | 389,187 | 14,209 |
| * | Charles River Laboratories International Inc. | 412,932 | 14,126 |
| * | Gen-Probe Inc. | 309,544 | 14,059 |
| * | Inverness Medical Innovations Inc. | 523,815 | 13,965 |
| * | Salix Pharmaceuticals Ltd. | 355,282 | 13,867 |
| | Teleflex Inc. | 249,067 | 13,519 |
| | Techne Corp. | 232,693 | 13,368 |
| * | VCA Antech Inc. | 536,343 | 13,280 |
| * | Health Management Associates Inc. Class A | 1,561,802 | 12,135 |
| * | BioMarin Pharmaceutical Inc. | 634,090 | 12,022 |
| | Hill-Rom Holdings Inc. | 393,855 | 11,985 |
| * | Psychiatric Solutions Inc. | 356,679 | 11,671 |
| | Cooper Cos. Inc. | 290,558 | 11,561 |
| | STERIS Corp. | 369,783 | 11,493 |
| | Owens & Minor Inc. | 393,675 | 11,172 |
| * | Healthsouth Corp. | 583,828 | 10,923 |
| * | LifePoint Hospitals Inc. | 344,955 | 10,832 |
| * | ev3 Inc. | 472,193 | 10,582 |
| * | AMERIGROUP Corp. | 322,559 | 10,477 |
| * | Bio-Rad Laboratories Inc. Class A | 120,538 | 10,425 |
| * | American Medical Systems Holdings Inc. | 470,323 | 10,404 |
| * | HMS Holdings Corp. | 169,399 | 9,185 |
| * | Myriad Genetics Inc. | 610,019 | 9,120 |
| * | Regeneron Pharmaceuticals Inc. | 403,706 | 9,011 |
| * | Emergency Medical Services Corp. Class A | 183,630 | 9,003 |
| * | NuVasive Inc. | 244,283 | 8,662 |
| * | Haemonetics Corp. | 159,268 | 8,524 |
| * | Onyx Pharmaceuticals Inc. | 390,779 | 8,437 |
| * | Incyte Corp. Ltd. | 757,103 | 8,381 |
| * | Catalyst Health Solutions Inc. | 242,771 | 8,376 |
| * | Immucor Inc. | 436,050 | 8,307 |
| * | Dionex Corp. | 110,012 | 8,191 |
| | Medicis Pharmaceutical Corp. Class A | 363,419 | 7,952 |
| * | Parexel International Corp. | 364,146 | 7,895 |
| | Masimo Corp. | 330,112 | 7,860 |
| *,^ | Amedisys Inc. | 178,201 | 7,835 |
| | Chemed Corp. | 142,524 | 7,788 |
| | West Pharmaceutical Services Inc. | 207,508 | 7,572 |
| * | Magellan Health Services Inc. | 208,007 | 7,555 |
| * | PSS World Medical Inc. | 356,710 | 7,544 |
| * | Acorda Therapeutics Inc. | 242,402 | 7,541 |
| * | Cubist Pharmaceuticals Inc. | 364,415 | 7,507 |
| * | Alkermes Inc. | 589,252 | 7,336 |
| * | Nektar Therapeutics | 586,807 | 7,100 |
| * | Auxilium Pharmaceuticals Inc. | 295,269 | 6,939 |
| ^ | Quality Systems Inc. | 119,000 | 6,901 |
| * | Talecris Biotherapeutics Holdings Corp. | 321,306 | 6,780 |
| * | Volcano Corp. | 310,618 | 6,778 |
| * | Impax Laboratories Inc. | 350,902 | 6,688 |
| * | Centene Corp. | 306,078 | 6,581 |
| * | Eclipsys Corp. | 358,449 | 6,395 |
| * | MedAssets Inc. | 274,579 | 6,337 |
| * | Seattle Genetics Inc. | 527,618 | 6,326 |
23
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | WellCare Health Plans Inc. | 264,491 | 6,279 |
| * | Align Technology Inc. | 406,090 | 6,039 |
| * | Allscripts-Misys Healthcare Solutions Inc. | 373,874 | 6,019 |
| * | Cepheid Inc. | 370,686 | 5,938 |
| * | Isis Pharmaceuticals Inc. | 618,115 | 5,915 |
| * | Par Pharmaceutical Cos. Inc. | 218,742 | 5,679 |
| * | Sirona Dental Systems Inc. | 162,067 | 5,646 |
| * | Odyssey HealthCare Inc. | 210,713 | 5,630 |
| * | Viropharma Inc. | 485,556 | 5,443 |
| * | inVentiv Health Inc. | 211,447 | 5,413 |
| *,^ | athenahealth Inc. | 206,495 | 5,396 |
| * | Savient Pharmaceuticals Inc. | 421,229 | 5,307 |
| * | Arthrocare Corp. | 168,231 | 5,156 |
| * | Gentiva Health Services Inc. | 186,450 | 5,036 |
| * | Pharmasset Inc. | 183,709 | 5,023 |
| * | Martek Biosciences Corp. | 207,803 | 4,927 |
| * | Theravance Inc. | 389,259 | 4,893 |
| * | Integra LifeSciences Holdings Corp. | 131,899 | 4,880 |
| *,^ | Vivus Inc. | 504,459 | 4,843 |
| * | Healthspring Inc. | 311,181 | 4,826 |
| * | Phase Forward Inc. | 275,273 | 4,592 |
| * | AMAG Pharmaceuticals Inc. | 131,053 | 4,502 |
| * | Brookdale Senior Living Inc. | 291,112 | 4,367 |
| * | Luminex Corp. | 266,110 | 4,316 |
| | Meridian Bioscience Inc. | 253,497 | 4,309 |
| * | Universal American Corp. | 297,505 | 4,284 |
| | Invacare Corp. | 204,961 | 4,251 |
| * | Wright Medical Group Inc. | 246,748 | 4,098 |
| *,^ | Enzon Pharmaceuticals Inc. | 379,144 | 4,038 |
| * | Globe Specialty Metals Inc. | 390,709 | 4,036 |
| * | Immunogen Inc. | 430,904 | 3,994 |
| * | Questcor Pharmaceuticals Inc. | 387,061 | 3,952 |
| * | MWI Veterinary Supply Inc. | 77,875 | 3,914 |
| * | Bruker Corp. | 313,676 | 3,814 |
| | Analogic Corp. | 82,058 | 3,734 |
| * | Neogen Corp. | 141,846 | 3,695 |
| * | Zoll Medical Corp. | 135,898 | 3,683 |
| * | Hanger Orthopedic Group Inc. | 202,844 | 3,643 |
| | Landauer Inc. | 59,800 | 3,641 |
| * | Insulet Corp. | 237,105 | 3,568 |
| * | Cyberonics Inc. | 149,307 | 3,536 |
| * | Amsurg Corp. Class A | 196,501 | 3,502 |
| * | Alnylam Pharmaceuticals Inc. | 231,491 | 3,477 |
| * | Conmed Corp. | 185,703 | 3,460 |
| * | Orthofix International NV | 107,140 | 3,434 |
| * | RehabCare Group Inc. | 157,490 | 3,430 |
| * | Celera Corp. | 522,704 | 3,424 |
| * | Bio-Reference Labs Inc. | 151,935 | 3,368 |
| * | Greatbatch Inc. | 148,000 | 3,302 |
| * | HeartWare International Inc. | 46,786 | 3,278 |
| * | DexCom Inc. | 281,760 | 3,257 |
| * | Kindred Healthcare Inc. | 248,958 | 3,197 |
| * | Abraxis Bioscience Inc. | 43,038 | 3,193 |
| * | Halozyme Therapeutics Inc. | 444,163 | 3,127 |
| * | Geron Corp. | 620,867 | 3,117 |
| * | Momenta Pharmaceuticals Inc. | 250,467 | 3,071 |
| * | Conceptus Inc. | 195,644 | 3,048 |
| * | Abaxis Inc. | 140,806 | 3,017 |
| * | Natus Medical Inc. | 180,871 | 2,946 |
| * | Merit Medical Systems Inc. | 179,808 | 2,890 |
| * | PharMerica Corp. | 194,990 | 2,859 |
| *,^ | Emeritus Corp. | 174,847 | 2,852 |
| * | Allos Therapeutics Inc. | 464,836 | 2,849 |
| * | InterMune Inc. | 289,905 | 2,711 |
24
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Micromet Inc. | 430,682 | 2,687 |
| * | LHC Group Inc. | 96,541 | 2,679 |
| * | Molina Healthcare Inc. | 92,872 | 2,675 |
| * | Affymetrix Inc. | 451,918 | 2,666 |
| * | ICU Medical Inc. | 81,936 | 2,636 |
| * | Medicines Co. | 338,760 | 2,578 |
| * | Omnicell Inc. | 219,929 | 2,571 |
| * | Healthways Inc. | 215,608 | 2,570 |
| | Computer Programs & Systems Inc. | 62,477 | 2,557 |
| * | SonoSite Inc. | 92,553 | 2,509 |
| *,^ | MannKind Corp. | 383,308 | 2,449 |
| * | Symmetry Medical Inc. | 228,618 | 2,410 |
| | National Healthcare Corp. | 69,695 | 2,402 |
| *,^ | Sequenom Inc. | 401,665 | 2,374 |
| * | Exelixis Inc. | 683,668 | 2,372 |
| * | eResearchTechnology Inc. | 296,451 | 2,336 |
| * | Rigel Pharmaceuticals Inc. | 324,126 | 2,334 |
| * | Angiodynamics Inc. | 157,313 | 2,320 |
| * | Micrus Endovascular Corp. | 110,504 | 2,297 |
| * | Sun Healthcare Group Inc. | 282,478 | 2,282 |
| * | Inspire Pharmaceuticals Inc. | 454,473 | 2,268 |
| * | IPC The Hospitalist Co. Inc. | 85,965 | 2,158 |
| * | NPS Pharmaceuticals Inc. | 329,468 | 2,122 |
| * | Quidel Corp. | 163,673 | 2,077 |
| * | Assisted Living Concepts Inc. Class A | 69,948 | 2,070 |
| * | XenoPort Inc. | 210,117 | 2,061 |
| * | Pharmacyclics Inc. | 306,280 | 2,040 |
| * | Nabi Biopharmaceuticals | 374,827 | 2,039 |
| * | Air Methods Corp. | 67,868 | 2,019 |
| * | Ariad Pharmaceuticals Inc. | 714,621 | 2,015 |
| * | Optimer Pharmaceuticals Inc. | 215,016 | 1,993 |
| * | Corvel Corp. | 58,785 | 1,986 |
| *,^ | SIGA Technologies Inc. | 256,896 | 1,978 |
| * | Kensey Nash Corp. | 81,941 | 1,943 |
| * | Genoptix Inc. | 110,823 | 1,906 |
| * | ABIOMED Inc. | 196,644 | 1,904 |
| * | Accuray Inc. | 280,725 | 1,861 |
| *,^ | Arena Pharmaceuticals Inc. | 602,937 | 1,851 |
| * | Triple-S Management Corp. Class B | 99,000 | 1,836 |
| * | Emergent Biosolutions Inc. | 111,731 | 1,826 |
| * | Neurocrine Biosciences Inc. | 325,366 | 1,822 |
| * | SurModics Inc. | 110,200 | 1,808 |
| * | Medivation Inc. | 199,787 | 1,766 |
| * | Ardea Biosciences Inc. | 85,582 | 1,760 |
| * | NxStage Medical Inc. | 118,417 | 1,757 |
| * | US Physical Therapy Inc. | 102,069 | 1,723 |
| * | Hi-Tech Pharmacal Co. Inc. | 74,682 | 1,711 |
| * | OraSure Technologies Inc. | 368,032 | 1,704 |
| * | Rural/Metro Corp. | 209,206 | 1,703 |
| * | ATS Medical Inc. | 421,920 | 1,675 |
| * | AMN Healthcare Services Inc. | 221,935 | 1,660 |
| * | Cross Country Healthcare Inc. | 183,375 | 1,649 |
| *,^ | Metabolix Inc. | 115,063 | 1,647 |
| * | Almost Family Inc. | 45,773 | 1,599 |
| * | Res-Care Inc. | 163,517 | 1,580 |
| * | Immunomedics Inc. | 510,811 | 1,578 |
| * | AVANIR Pharmaceuticals Inc. | 611,183 | 1,571 |
| * | Accelrys Inc. | 241,120 | 1,555 |
| * | Opko Health Inc. | 684,024 | 1,546 |
| * | Exact Sciences Corp. | 346,248 | 1,523 |
| * | Targacept Inc. | 78,736 | 1,522 |
| * | BioScrip Inc. | 286,066 | 1,499 |
| * | Vascular Solutions Inc. | 119,037 | 1,488 |
| * | Array Biopharma Inc. | 486,232 | 1,483 |
25
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Staar Surgical Co. | 256,210 | 1,466 |
| * | Medidata Solutions Inc. | 93,421 | 1,447 |
| * | Somanetics Corp. | 57,910 | 1,445 |
| * | Palomar Medical Technologies Inc. | 127,148 | 1,423 |
| * | Providence Service Corp. | 100,308 | 1,404 |
| * | Health Grades Inc. | 233,467 | 1,401 |
| * | Chindex International Inc. | 111,429 | 1,396 |
| *,^ | Cell Therapeutics Inc. | 3,675,104 | 1,379 |
| * | Vanda Pharmaceuticals Inc. | 208,048 | 1,375 |
| * | Medical Action Industries Inc. | 114,580 | 1,374 |
| * | Idenix Pharmaceuticals Inc. | 274,721 | 1,374 |
| *,^ | Novavax Inc. | 630,419 | 1,368 |
| * | Zymogenetics Inc. | 320,090 | 1,351 |
| * | Durect Corp. | 551,092 | 1,339 |
| *,^ | BioCryst Pharmaceuticals Inc. | 217,357 | 1,285 |
| * | Akorn Inc. | 427,017 | 1,268 |
| | Cantel Medical Corp. | 75,277 | 1,257 |
| *,^ | Delcath Systems Inc. | 197,705 | 1,253 |
| *,^ | Cadence Pharmaceuticals Inc. | 178,767 | 1,253 |
| | America Service Group Inc. | 72,752 | 1,251 |
| * | Spectranetics Corp. | 241,103 | 1,249 |
| * | Spectrum Pharmaceuticals Inc. | 317,234 | 1,244 |
| * | Maxygen Inc. | 221,577 | 1,225 |
| * | Ligand Pharmaceuticals Inc. Class B | 834,518 | 1,218 |
| * | IRIS International Inc. | 120,007 | 1,217 |
| * | Genomic Health Inc. | 92,677 | 1,198 |
| * | Caliper Life Sciences Inc. | 272,875 | 1,165 |
| * | American Dental Partners Inc. | 96,186 | 1,165 |
| * | Pozen Inc. | 165,888 | 1,163 |
| * | Stereotaxis Inc. | 350,079 | 1,159 |
| * | Dyax Corp. | 509,390 | 1,156 |
| * | National Dentex Corp. | 68,436 | 1,153 |
| * | CryoLife Inc. | 202,995 | 1,094 |
| *,^ | Keryx Biopharmaceuticals Inc. | 293,019 | 1,072 |
| * | Vital Images Inc. | 84,068 | 1,072 |
| *,^ | Cerus Corp. | 338,036 | 1,068 |
| *,^ | SenoRx Inc. | 97,050 | 1,066 |
| * | Sunrise Senior Living Inc. | 383,199 | 1,065 |
| *,^ | MAKO Surgical Corp. | 84,856 | 1,056 |
| * | Lexicon Pharmaceuticals Inc. | 820,878 | 1,051 |
| * | Select Medical Holdings Corp. | 154,800 | 1,050 |
| * | Five Star Quality Care Inc. | 345,896 | 1,045 |
| * | Endologix Inc. | 224,783 | 1,018 |
| *,^ | MELA Sciences Inc. | 136,706 | 1,017 |
| * | Arqule Inc. | 235,690 | 1,013 |
| * | Sciclone Pharmaceuticals Inc. | 379,106 | 1,008 |
| * | Depomed Inc. | 350,115 | 980 |
| * | Kendle International Inc. | 84,321 | 971 |
| * | Clarient Inc. | 313,971 | 967 |
| * | Penwest Pharmaceuticals Co. | 286,877 | 947 |
| * | Orthovita Inc. | 465,878 | 946 |
| * | RTI Biologics Inc. | 320,730 | 940 |
| * | MAP Pharmaceuticals Inc. | 71,394 | 937 |
| * | Jazz Pharmaceuticals Inc. | 118,620 | 929 |
| * | Merge Healthcare Inc. | 316,917 | 929 |
| * | TomoTherapy Inc. | 290,885 | 925 |
| * | Pain Therapeutics Inc. | 165,162 | 918 |
| | Atrion Corp. | 6,728 | 909 |
| * | Repligen Corp. | 280,050 | 899 |
| * | Sangamo Biosciences Inc. | 241,986 | 898 |
| * | Harvard Bioscience Inc. | 251,519 | 895 |
| * | StemCells Inc. | 946,970 | 890 |
| *,^ | Javelin Pharmaceuticals Inc. | 398,609 | 877 |
| * | Synovis Life Technologies Inc. | 57,373 | 877 |
26
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Icad Inc. | 456,882 | 873 |
| * | Inhibitex Inc. | 335,888 | 857 |
| * | Ironwood Pharmaceuticals Inc. | 70,400 | 839 |
| * | Albany Molecular Research Inc. | 160,300 | 829 |
| * | Curis Inc. | 594,005 | 826 |
| * | BioMimetic Therapeutics Inc. | 74,169 | 825 |
| * | Celldex Therapeutics Inc. | 180,671 | 824 |
| * | Mediware Information Systems | 91,182 | 821 |
| * | LeMaitre Vascular Inc. | 145,715 | 816 |
| * | Medtox Scientific Inc. | 65,819 | 810 |
| * | HealthTronics Inc. | 166,406 | 804 |
| *,^ | AVI BioPharma Inc. | 492,981 | 794 |
| *,^ | CytRx Corp. | 1,028,564 | 792 |
| * | Clinical Data Inc. | 63,044 | 784 |
| * | Skilled Healthcare Group Inc. | 115,274 | 783 |
| | Ensign Group Inc. | 46,715 | 772 |
| * | Progenics Pharmaceuticals Inc. | 140,173 | 768 |
| *,^ | Corcept Therapeutics Inc. | 243,430 | 760 |
| * | Enzo Biochem Inc. | 186,367 | 759 |
| * | Obagi Medical Products Inc. | 63,658 | 752 |
| * | Antares Pharma Inc. | 425,754 | 749 |
| * | PDI Inc. | 88,500 | 733 |
| * | Capital Senior Living Corp. | 144,921 | 720 |
| * | Medcath Corp. | 89,562 | 704 |
| * | AGA Medical Holdings Inc. | 55,350 | 702 |
| * | Alphatec Holdings Inc. | 149,762 | 695 |
| * | LCA-Vision Inc. | 124,332 | 689 |
| *,^ | Cel-Sci Corp. | 1,402,073 | 687 |
| * | Cynosure Inc. Class A | 63,675 | 686 |
| *,^ | Hemispherx Biopharma Inc. | 1,460,529 | 684 |
| * | Insmed Inc. | 1,011,693 | 680 |
| *,^ | Osiris Therapeutics Inc. | 116,492 | 677 |
| * | Cytokinetics Inc. | 284,669 | 675 |
| * | Santarus Inc. | 269,813 | 669 |
| * | Somaxon Pharmaceuticals Inc. | 183,096 | 659 |
| *,^ | Rexahn Pharmaceuticals Inc. | 457,990 | 655 |
| | Psychemedics Corp. | 79,844 | 650 |
| * | Osteotech Inc. | 203,539 | 645 |
| | Young Innovations Inc. | 22,620 | 637 |
| * | Furiex Pharmaceuticals Inc. | 62,587 | 636 |
| * | Digirad Corp. | 303,664 | 635 |
| *,^ | Arrowhead Research Corp. | 576,455 | 634 |
| * | Columbia Laboratories Inc. | 590,962 | 626 |
| * | Vical Inc. | 201,315 | 624 |
| * | Anadys Pharmaceuticals Inc. | 324,489 | 623 |
| * | Cypress Bioscience Inc. | 266,534 | 613 |
| * | Alliance HealthCare Services Inc. | 151,485 | 612 |
| *,^ | GenVec Inc. | 1,328,724 | 611 |
| * | Infinity Pharmaceuticals Inc. | 103,074 | 609 |
| * | AtriCure Inc. | 90,142 | 599 |
| * | Metropolitan Health Networks Inc. | 159,590 | 595 |
| * | Peregrine Pharmaceuticals Inc. | 275,703 | 593 |
| * | Team Health Holdings Inc. | 45,800 | 592 |
| * | Dusa Pharmaceuticals Inc. | 274,523 | 590 |
| *,^ | Cyclacel Pharmaceuticals Inc. | 334,332 | 575 |
| *,^ | Cytori Therapeutics Inc. | 164,439 | 572 |
| * | BioSphere Medical Inc. | 131,795 | 569 |
| * | Adolor Corp. | 521,492 | 568 |
| * | Allied Healthcare International Inc. | 243,399 | 565 |
| * | Synergetics USA Inc. | 212,211 | 564 |
| * | Exactech Inc. | 33,016 | 564 |
| *,^ | XOMA Ltd. | 1,333,554 | 552 |
| * | Cambrex Corp. | 171,853 | 541 |
| * | Cutera Inc. | 58,077 | 535 |
27
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Myrexis Inc. | 141,491 | 532 |
| * | Idera Pharmaceuticals Inc. | 145,210 | 523 |
| *,^ | Biosante Pharmaceuticals Inc. | 296,442 | 522 |
| * | RadNet Inc. | 219,534 | 520 |
| * | Transcend Services Inc. | 38,084 | 514 |
| * | Anika Therapeutics Inc. | 86,318 | 508 |
| *,^ | NovaMed Inc. | 60,375 | 501 |
| * | CardioNet Inc. | 90,169 | 494 |
| * | BMP Sunstone Corp. | 95,300 | 491 |
| *,^ | Combinatorx Inc. | 327,816 | 475 |
| * | SuperGen Inc. | 233,316 | 471 |
| * | Orexigen Therapeutics Inc. | 111,064 | 466 |
| * | DynaVox Inc. Class A | 28,897 | 463 |
| * | Arcadia Resources Inc. | 869,871 | 461 |
| * | Affymax Inc. | 77,084 | 461 |
| * | ZIOPHARM Oncology Inc. | 137,187 | 436 |
| *,^ | Alexza Pharmaceuticals Inc. | 160,135 | 436 |
| * | Rochester Medical Corp. | 44,655 | 422 |
| *,^ | Inovio Pharmaceuticals Inc. | 413,067 | 421 |
| * | Dynavax Technologies Corp. | 225,058 | 419 |
| * | Continucare Corp. | 123,348 | 413 |
| *,^ | Antigenics Inc. | 508,347 | 412 |
| * | Chelsea Therapeutics International Inc. | 135,013 | 396 |
| * | Iridex Corp. | 107,093 | 394 |
| * | Matrixx Initiatives Inc. | 85,255 | 392 |
| * | Caraco Pharmaceutical Laboratories Ltd. | 81,631 | 385 |
| * | Nighthawk Radiology Holdings Inc. | 147,475 | 382 |
| *,^ | Bovie Medical Corp. | 126,095 | 376 |
| *,^ | Opexa Therapeutics Inc. | 258,693 | 373 |
| * | SRI/Surgical Express Inc. | 93,914 | 372 |
| * | Acadia Pharmaceuticals Inc. | 330,965 | 361 |
| *,^ | Molecular Insight Pharmaceuticals Inc. | 216,486 | 357 |
| *,^ | GTx Inc. | 113,195 | 345 |
| *,^ | Hansen Medical Inc. | 161,948 | 345 |
| * | Theragenics Corp. | 293,457 | 337 |
| *,^ | Biotime Inc. | 53,160 | 327 |
| | National Research Corp. | 13,482 | 325 |
| * | Orchid Cellmark Inc. | 191,851 | 324 |
| * | ISTA Pharmaceuticals Inc. | 146,179 | 320 |
| * | OncoGenex Pharmaceutical Inc. | 23,720 | 319 |
| * | Biolase Technology Inc. | 210,384 | 311 |
| * | Nanosphere Inc. | 70,314 | 307 |
| * | Heska Corp. | 463,438 | 292 |
| *,^ | Pure Bioscience | 119,215 | 285 |
| * | Trimeris Inc. | 130,857 | 283 |
| *,^ | Cleveland Biolabs Inc. | 74,202 | 275 |
| *,^ | Oncothyreon Inc. | 81,523 | 271 |
| * | Animal Health International Inc. | 108,944 | 270 |
| *,^ | Sunesis Pharmaceuticals Inc. | 566,939 | 266 |
| * | Capstone Therapeutics Corp. | 401,388 | 265 |
| * | Telik Inc. | 339,306 | 265 |
| * | ThermoGenesis Corp. | 529,065 | 259 |
| * | Synta Pharmaceuticals Corp. | 93,911 | 254 |
| *,^ | Neuralstem Inc. | 101,141 | 253 |
| * | Entremed Inc. | 623,611 | 252 |
| *,^ | Rockwell Medical Technologies Inc. | 46,516 | 251 |
| *,^ | Discovery Laboratories Inc. | 1,247,445 | 237 |
| * | Urologix Inc. | 217,218 | 235 |
| *,^ | Bionovo Inc. | 578,701 | 231 |
| * | CombiMatrix Corp. | 86,569 | 222 |
| * | IsoRay Inc. | 154,342 | 221 |
| * | Biospecifics Technologies Corp. | 10,900 | 217 |
| | Utah Medical Products Inc. | 8,548 | 213 |
| * | EnteroMedics Inc. | 591,301 | 213 |
28
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | MediciNova Inc. | 42,152 | 200 |
| *,^ | ARCA Biopharma Inc. | 54,940 | 186 |
| * | KV Pharmaceutical Co. Class A | 217,961 | 183 |
| *,^ | Neostem Inc. | 97,471 | 178 |
| * | AspenBio Pharma Inc. | 179,837 | 176 |
| *,^ | American Caresource Holdings Inc. | 102,548 | 174 |
| *,^ | Poniard Pharmaceuticals Inc. | 283,000 | 170 |
| * | Virtual Radiologic Corp. | 9,894 | 170 |
| * | CPEX Pharmaceuticals Inc. | 6,397 | 170 |
| * | OTIX Global Inc. | 39,820 | 159 |
| *,^ | EpiCept Corp. | 153,195 | 156 |
| *,^ | Aastrom Biosciences Inc. | 104,751 | 156 |
| * | Trubion Pharmaceuticals Inc. | 49,686 | 155 |
| * | Hooper Holmes Inc. | 269,939 | 154 |
| *,^ | RXi Pharmaceuticals Corp. | 57,830 | 150 |
| * | Escalon Medical Corp. | 91,117 | 144 |
| * | PositiveID Corp. | 145,145 | 142 |
| * | Biodel Inc. | 37,133 | 140 |
| *,^ | OXiGENE Inc. | 368,500 | 140 |
| * | SunLink Health Systems Inc. | 59,100 | 136 |
| *,^ | Cardiovascular Systems Inc. | 29,788 | 133 |
| *,^ | Nexmed Inc. | 58,151 | 122 |
| * | Cardica Inc. | 73,717 | 120 |
| * | Cardiac Science Corp. | 107,874 | 106 |
| * | Sucampo Pharmaceuticals Inc. Class A | 29,269 | 103 |
| *,^ | TranS1 Inc. | 38,837 | 101 |
| *,^ | Encorium Group Inc. | 37,502 | 100 |
| | MedQuist Inc. | 12,474 | 99 |
| * | Lannett Co. Inc. | 21,303 | 97 |
| * | Repros Therapeutics Inc. | 256,597 | 92 |
| *,^ | Raptor Pharmaceutical Corp. | 31,944 | 89 |
| * | Oculus Innovative Sciences Inc. | 43,654 | 89 |
| * | Icagen Inc. | 226,987 | 86 |
| * | PhotoMedex Inc. | 16,693 | 86 |
| *,^ | Acura Pharmaceuticals Inc. | 32,877 | 83 |
| * | SCOLR Pharma Inc. | 193,766 | 81 |
| * | Bioanalytical Systems Inc. | 86,496 | 80 |
| * | Cornerstone Therapeutics Inc. | 13,447 | 79 |
| * | Retractable Technologies Inc. | 48,806 | 79 |
| * | Integramed America Inc. | 9,596 | 78 |
| * | Neurometrix Inc. | 63,058 | 72 |
| *,^ | Cardium Therapeutics Inc. | 204,181 | 70 |
| * | pSivida Corp. | 19,390 | 70 |
| * | MDRNA Inc. | 74,173 | 67 |
| * | Transcept Pharmaceuticals Inc. | 7,878 | 66 |
| * | Cytomedix Inc. | 99,939 | 63 |
| * | PharmAthene Inc. | 38,274 | 62 |
| * | Harbor BioSciences Inc. | 222,016 | 60 |
| * | BioDelivery Sciences International Inc. | 25,836 | 60 |
| * | NMT Medical Inc. | 112,290 | 59 |
| * | ProPhase Labs Inc. | 51,986 | 57 |
| * | Oxygen Biotherapeutics Inc. | 19,250 | 56 |
| * | Achillion Pharmaceuticals Inc. | 23,520 | 52 |
| * | Speedus Corp. | 19,899 | 52 |
| *,^ | Ligand Pharmaceuticals Inc. Contingent Value Rights | 395,811 | 51 |
| * | Solta Medical Inc. | 23,538 | 45 |
| | American Medical Alert Corp. | 7,497 | 44 |
| * | PHC Inc. Class A | 37,316 | 43 |
| * | Uroplasty Inc. | 8,900 | 42 |
| *,^ | Helicos BioSciences Corp. | 82,398 | 37 |
| * | Interleukin Genetics Inc. | 102,424 | 36 |
| * | HearUSA Inc. | 36,786 | 35 |
| | Emergent Group Inc. | 4,924 | 33 |
| * | ReGeneRx Biopharmaceuticals Inc. | 117,607 | 31 |
29
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | AP Pharma Inc. | 47,765 | 29 |
| *,^ | Ligand Pharmaceuticals Inc. Contingent Value Rights | 395,811 | 28 |
| * | Threshold Pharmaceuticals Inc. | 19,966 | 25 |
| * | AdvanSource Biomaterials Corp. | 86,454 | 24 |
| * | Celsion Corp. | 7,600 | 24 |
| *,^ | Ligand Pharmaceuticals Inc. Contingent Value Rights | 395,811 | 22 |
| * | Palatin Technologies Inc. | 118,190 | 21 |
| *,^ | Ligand Pharmaceuticals Inc. Contingent Value Rights | 395,811 | 20 |
| * | United American Healthcare Corp. | 30,666 | 20 |
| * | Strategic Diagnostics Inc. | 10,461 | 19 |
| * | ADVENTRX Pharmaceuticals Inc. | 10,781 | 18 |
| * | Vision-Sciences Inc. | 17,900 | 18 |
| *,^ | DARA Biosciences Inc. | 5,069 | 18 |
| * | Cumberland Pharmaceuticals Inc. | 2,631 | 17 |
| * | ARYx Therapeutics Inc. | 39,301 | 17 |
| * | IVAX Diagnostics Inc. | 27,208 | 14 |
| * | Amicus Therapeutics Inc. | 4,185 | 9 |
| * | CAS Medical Systems Inc. | 5,100 | 9 |
| * | BSD Medical Corp. | 6,600 | 8 |
| * | ULURU Inc. | 28,716 | 4 |
| * | Adeona Pharmaceuticals Inc. | 3,029 | 3 |
| * | Angeion Corp. | 400 | 2 |
| * | Allied Healthcare Products | 334 | 1 |
| * | Nile Therapeutics Inc. | 3,000 | 1 |
| * | Senesco Technologies Inc. | 500 | — |
| * | Catalyst Pharmaceutical Partners Inc. | 100 | — |
| | | | 1,656,567 |
| Industrials (15.0%) | | |
| * | Delta Air Lines Inc. | 4,927,262 | 57,895 |
| | Joy Global Inc. | 643,685 | 32,242 |
| * | McDermott International Inc. | 1,441,889 | 31,231 |
| | AMETEK Inc. | 663,542 | 26,641 |
| | Bucyrus International Inc. Class A | 505,412 | 23,982 |
| * | Kansas City Southern | 634,598 | 23,068 |
| | Manpower Inc. | 510,789 | 22,056 |
| * | UAL Corp. | 1,049,796 | 21,584 |
| | Donaldson Co. Inc. | 481,266 | 20,526 |
| | KBR Inc. | 1,001,899 | 20,379 |
| * | URS Corp. | 516,680 | 20,331 |
| | Pentair Inc. | 615,459 | 19,818 |
| * | Navistar International Corp. | 394,953 | 19,432 |
| * | Continental Airlines Inc. Class B | 872,434 | 19,194 |
| * | Owens Corning | 624,489 | 18,678 |
| * | Shaw Group Inc. | 526,135 | 18,004 |
| | JB Hunt Transport Services Inc. | 548,140 | 17,908 |
| * | Oshkosh Corp. | 560,110 | 17,453 |
| * | Waste Connections Inc. | 484,339 | 16,899 |
| * | Foster Wheeler AG | 792,516 | 16,690 |
| * | Aecom Technology Corp. | 715,518 | 16,500 |
| | SPX Corp. | 311,297 | 16,440 |
| * | BE Aerospace Inc. | 637,681 | 16,216 |
| * | Verisk Analytics Inc. Class A | 529,613 | 15,835 |
| * | AGCO Corp. | 580,441 | 15,654 |
| * | Copart Inc. | 420,738 | 15,067 |
| * | IHS Inc. Class A | 255,138 | 14,905 |
| | Hubbell Inc. Class B | 373,895 | 14,840 |
| | Gardner Denver Inc. | 326,975 | 14,580 |
| | IDEX Corp. | 506,751 | 14,478 |
| * | AMR Corp. | 2,075,681 | 14,073 |
| | MSC Industrial Direct Co. Class A | 276,280 | 13,996 |
| | Carlisle Cos. Inc. | 379,680 | 13,718 |
| | Lincoln Electric Holdings Inc. | 265,735 | 13,550 |
| * | Corrections Corp. of America | 709,582 | 13,539 |
| | Regal-Beloit Corp. | 240,233 | 13,400 |
30
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Covanta Holding Corp. | 806,041 | 13,372 |
| | Kennametal Inc. | 509,922 | 12,967 |
| * | Kirby Corp. | 337,145 | 12,896 |
| | Timken Co. | 495,316 | 12,873 |
| * | Alliant Techsystems Inc. | 206,186 | 12,796 |
| * | FTI Consulting Inc. | 293,089 | 12,776 |
| * | Terex Corp. | 678,174 | 12,709 |
| | Lennox International Inc. | 302,842 | 12,589 |
| * | WABCO Holdings Inc. | 399,812 | 12,586 |
| * | Spirit Aerosystems Holdings Inc. Class A | 658,494 | 12,551 |
| | Landstar System Inc. | 312,957 | 12,202 |
| | TransDigm Group Inc. | 235,521 | 12,019 |
| | Wabtec Corp. | 299,362 | 11,942 |
| | Nordson Corp. | 212,923 | 11,941 |
| | Harsco Corp. | 502,371 | 11,806 |
| | Watsco Inc. | 202,231 | 11,713 |
| * | Chicago Bridge & Iron Co. NV | 620,660 | 11,675 |
| * | Thomas & Betts Corp. | 329,433 | 11,431 |
| * | GrafTech International Ltd. | 776,532 | 11,353 |
| | CLARCOR Inc. | 314,729 | 11,179 |
| * | Hertz Global Holdings Inc. | 1,130,150 | 10,691 |
| | Graco Inc. | 378,139 | 10,660 |
| | Towers Watson & Co. Class A | 262,354 | 10,192 |
| | Con-way Inc. | 335,755 | 10,079 |
| * | Alaska Air Group Inc. | 223,160 | 10,031 |
| | Toro Co. | 202,713 | 9,957 |
| | Acuity Brands Inc. | 271,407 | 9,874 |
| * | Genesee & Wyoming Inc. Class A | 257,336 | 9,601 |
| * | EMCOR Group Inc. | 413,757 | 9,587 |
| | Baldor Electric Co. | 262,907 | 9,486 |
| * | Clean Harbors Inc. | 142,691 | 9,476 |
| * | Hexcel Corp. | 605,398 | 9,390 |
| * | Moog Inc. Class A | 283,101 | 9,124 |
| | Valmont Industries Inc. | 124,820 | 9,069 |
| | Woodward Governor Co. | 354,578 | 9,052 |
| * | WESCO International Inc. | 264,836 | 8,917 |
| | Crane Co. | 294,866 | 8,908 |
| * | Esterline Technologies Corp. | 187,330 | 8,889 |
| | Trinity Industries Inc. | 494,563 | 8,764 |
| * | Teledyne Technologies Inc. | 226,003 | 8,719 |
| * | US Airways Group Inc. | 1,006,195 | 8,663 |
| * | General Cable Corp. | 325,044 | 8,662 |
| | Curtiss-Wright Corp. | 286,192 | 8,311 |
| * | United Stationers Inc. | 150,996 | 8,225 |
| | Brady Corp. Class A | 327,602 | 8,164 |
| | Actuant Corp. Class A | 423,764 | 7,979 |
| | UTi Worldwide Inc. | 633,680 | 7,845 |
| | HNI Corp. | 282,158 | 7,785 |
| | GATX Corp. | 288,784 | 7,705 |
| * | ArvinMeritor Inc. | 588,047 | 7,703 |
| | Alexander & Baldwin Inc. | 256,508 | 7,639 |
| * | Dollar Thrifty Automotive Group Inc. | 178,713 | 7,615 |
| * | Tetra Tech Inc. | 385,034 | 7,551 |
| | Manitowoc Co. Inc. | 819,076 | 7,486 |
| *,^ | American Superconductor Corp. | 279,423 | 7,458 |
| | Knight Transportation Inc. | 364,680 | 7,381 |
| * | JetBlue Airways Corp. | 1,297,730 | 7,125 |
| * | HUB Group Inc. Class A | 237,120 | 7,116 |
| | Triumph Group Inc. | 104,099 | 6,936 |
| | AO Smith Corp. | 143,011 | 6,892 |
| | Kaydon Corp. | 208,743 | 6,859 |
| | Herman Miller Inc. | 355,739 | 6,713 |
| | Belden Inc. | 291,679 | 6,417 |
| * | Geo Group Inc. | 306,925 | 6,369 |
31
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Avis Budget Group Inc. | 639,417 | 6,279 |
| * | USG Corp. | 515,109 | 6,223 |
| * | Middleby Corp. | 115,831 | 6,161 |
| * | Old Dominion Freight Line Inc. | 174,551 | 6,134 |
| | ABM Industries Inc. | 292,273 | 6,123 |
| | Werner Enterprises Inc. | 275,370 | 6,028 |
| | Deluxe Corp. | 320,315 | 6,006 |
| | Simpson Manufacturing Co. Inc. | 240,355 | 5,901 |
| | Applied Industrial Technologies Inc. | 232,465 | 5,886 |
| | Mueller Industries Inc. | 235,200 | 5,786 |
| * | Orbital Sciences Corp. | 362,881 | 5,723 |
| | Brink's Co. | 298,846 | 5,687 |
| | Rollins Inc. | 272,746 | 5,643 |
| | Corporate Executive Board Co. | 213,805 | 5,617 |
| * | EnerSys | 262,059 | 5,600 |
| | HEICO Corp. | 152,398 | 5,474 |
| | Briggs & Stratton Corp. | 312,338 | 5,316 |
| | Watts Water Technologies Inc. Class A | 183,538 | 5,260 |
| | Healthcare Services Group Inc. | 274,920 | 5,210 |
| * | Beacon Roofing Supply Inc. | 283,037 | 5,100 |
| * | CoStar Group Inc. | 129,839 | 5,038 |
| * | Insituform Technologies Inc. Class A | 244,868 | 5,015 |
| | Granite Construction Inc. | 210,690 | 4,968 |
| | Forward Air Corp. | 180,808 | 4,927 |
| * | II-VI Inc. | 161,300 | 4,779 |
| | Heartland Express Inc. | 328,178 | 4,765 |
| | Mine Safety Appliances Co. | 189,252 | 4,690 |
| * | Atlas Air Worldwide Holdings Inc. | 98,090 | 4,659 |
| | Robbins & Myers Inc. | 206,769 | 4,495 |
| | Barnes Group Inc. | 271,252 | 4,446 |
| | Otter Tail Corp. | 226,452 | 4,377 |
| | American Science & Engineering Inc. | 57,297 | 4,367 |
| | ESCO Technologies Inc. | 168,460 | 4,338 |
| * | GeoEye Inc. | 137,735 | 4,289 |
| | Skywest Inc. | 349,051 | 4,265 |
| | Franklin Electric Co. Inc. | 146,934 | 4,235 |
| * | Advisory Board Co. | 98,374 | 4,226 |
| * | AirTran Holdings Inc. | 858,660 | 4,165 |
| * | AAR Corp. | 247,571 | 4,144 |
| | Allegiant Travel Co. Class A | 96,120 | 4,103 |
| | Quanex Building Products Corp. | 236,240 | 4,085 |
| * | Korn/Ferry International | 291,196 | 4,048 |
| | Tennant Co. | 119,047 | 4,026 |
| * | RBC Bearings Inc. | 138,190 | 4,006 |
| * | Armstrong World Industries Inc. | 131,887 | 3,980 |
| * | Resources Connection Inc. | 291,859 | 3,969 |
| | Knoll Inc. | 296,225 | 3,937 |
| | Interface Inc. Class A | 358,156 | 3,847 |
| * | Stanley Inc. | 102,651 | 3,837 |
| * | Mobile Mini Inc. | 230,638 | 3,755 |
| | Universal Forest Products Inc. | 123,258 | 3,736 |
| | Steelcase Inc. Class A | 481,866 | 3,734 |
| | Badger Meter Inc. | 95,218 | 3,684 |
| * | Macquarie Infrastructure Co. LLC | 287,146 | 3,673 |
| | Kaman Corp. | 164,710 | 3,643 |
| | Mueller Water Products Inc. Class A | 981,751 | 3,642 |
| * | EnPro Industries Inc. | 129,114 | 3,635 |
| * | Interline Brands Inc. | 208,102 | 3,598 |
| | Cubic Corp. | 98,736 | 3,592 |
| * | SYKES Enterprises Inc. | 251,559 | 3,580 |
| * | United Rentals Inc. | 382,760 | 3,567 |
| | Ameron International Corp. | 58,675 | 3,540 |
| * | Astec Industries Inc. | 126,894 | 3,519 |
| * | Ceradyne Inc. | 162,306 | 3,468 |
32
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | McGrath Rentcorp | 151,533 | 3,452 |
| | Administaff Inc. | 142,498 | 3,443 |
| | Raven Industries Inc. | 102,089 | 3,441 |
| | Arkansas Best Corp. | 160,988 | 3,341 |
| * | Polypore International Inc. | 146,784 | 3,338 |
| * | Navigant Consulting Inc. | 318,129 | 3,302 |
| | NACCO Industries Inc. Class A | 36,494 | 3,239 |
| * | DigitalGlobe Inc. | 122,828 | 3,230 |
| | Seaboard Corp. | 2,139 | 3,230 |
| * | MasTec Inc. | 338,179 | 3,179 |
| * | TrueBlue Inc. | 280,011 | 3,133 |
| * | Griffon Corp. | 280,863 | 3,106 |
| * | Sensata Technologies Holding NV | 192,630 | 3,080 |
| * | Consolidated Graphics Inc. | 70,927 | 3,067 |
| * | Argon ST Inc. | 88,523 | 3,035 |
| * | Layne Christensen Co. | 124,055 | 3,011 |
| | AZZ Inc. | 79,089 | 2,908 |
| | Bowne & Co. Inc. | 256,950 | 2,883 |
| * | EnerNOC Inc. | 90,731 | 2,853 |
| * | Exponent Inc. | 86,875 | 2,843 |
| | Albany International Corp. | 175,186 | 2,836 |
| * | Chart Industries Inc. | 181,236 | 2,824 |
| * | Blount International Inc. | 273,385 | 2,808 |
| | CIRCOR International Inc. | 108,234 | 2,769 |
| | John Bean Technologies Corp. | 179,656 | 2,740 |
| * | Rush Enterprises Inc. Class A | 204,744 | 2,735 |
| * | DynCorp International Inc. Class A | 154,813 | 2,712 |
| * | Tutor Perini Corp. | 163,885 | 2,701 |
| * | Huron Consulting Group Inc. | 138,193 | 2,682 |
| * | Genco Shipping & Trading Ltd. | 176,658 | 2,648 |
| * | Kforce Inc. | 206,755 | 2,636 |
| * | Kelly Services Inc. Class A | 175,755 | 2,613 |
| | TAL International Group Inc. | 115,739 | 2,601 |
| * | Acacia Research - Acacia Technologies | 182,534 | 2,597 |
| | Federal Signal Corp. | 424,895 | 2,566 |
| * | Amerco Inc. | 45,719 | 2,517 |
| | Lindsay Corp. | 79,356 | 2,515 |
| | Heidrick & Struggles International Inc. | 109,097 | 2,490 |
| | Ennis Inc. | 164,649 | 2,471 |
| | G&K Services Inc. Class A | 118,066 | 2,438 |
| * | Wabash National Corp. | 342,285 | 2,434 |
| * | Orion Marine Group Inc. | 170,415 | 2,420 |
| | EnergySolutions Inc. | 473,109 | 2,408 |
| | Comfort Systems USA Inc. | 248,526 | 2,401 |
| * | Aerovironment Inc. | 107,426 | 2,334 |
| | Viad Corp. | 130,879 | 2,310 |
| | Gorman-Rupp Co. | 92,090 | 2,307 |
| | Titan International Inc. | 225,614 | 2,249 |
| | AAON Inc. | 95,488 | 2,226 |
| | Cascade Corp. | 62,468 | 2,224 |
| | Encore Wire Corp. | 119,494 | 2,174 |
| * | M&F Worldwide Corp. | 79,324 | 2,150 |
| | FreightCar America Inc. | 94,560 | 2,139 |
| * | Cornell Cos. Inc. | 78,960 | 2,122 |
| * | Dycom Industries Inc. | 246,788 | 2,110 |
| * | ATC Technology Corp. | 130,778 | 2,108 |
| * | Vicor Corp. | 165,475 | 2,067 |
| * | Dolan Co. | 184,865 | 2,056 |
| | Diamond Management & Technology Consultants Inc. Class A | 199,160 | 2,053 |
| * | MYR Group Inc. | 122,461 | 2,044 |
| * | American Reprographics Co. | 232,955 | 2,034 |
| * | Marten Transport Ltd. | 97,654 | 2,029 |
| | Standex International Corp. | 79,999 | 2,028 |
| | Tredegar Corp. | 123,022 | 2,008 |
33
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Altra Holdings Inc. | 153,167 | 1,994 |
| * | CBIZ Inc. | 311,421 | 1,981 |
| * | Ladish Co. Inc. | 86,586 | 1,967 |
| * | Colfax Corp. | 185,666 | 1,933 |
| | Applied Signal Technology Inc. | 98,341 | 1,932 |
| * | Cenveo Inc. | 351,269 | 1,928 |
| | Aircastle Ltd. | 245,640 | 1,928 |
| | Apogee Enterprises Inc. | 177,387 | 1,921 |
| * | Gibraltar Industries Inc. | 188,759 | 1,906 |
| | Sun Hydraulics Corp. | 80,286 | 1,884 |
| * | SFN Group Inc. | 339,372 | 1,853 |
| * | School Specialty Inc. | 102,410 | 1,851 |
| * | Michael Baker Corp. | 52,458 | 1,831 |
| * | Columbus McKinnon Corp. | 126,446 | 1,766 |
| * | Force Protection Inc. | 428,459 | 1,757 |
| * | Kadant Inc. | 100,807 | 1,756 |
| * | American Commercial Lines Inc. | 77,045 | 1,734 |
| * | ACCO Brands Corp. | 344,614 | 1,720 |
| * | Trex Co. Inc. | 85,552 | 1,719 |
| | Great Lakes Dredge & Dock Corp. | 286,076 | 1,716 |
| * | LB Foster Co. Class A | 65,630 | 1,701 |
| * | Pacer International Inc. | 235,561 | 1,647 |
| * | Taser International Inc. | 418,028 | 1,630 |
| *,^ | A123 Systems Inc. | 172,851 | 1,630 |
| * | Air Transport Services Group Inc. | 340,423 | 1,620 |
| | US Ecology Inc. | 111,098 | 1,619 |
| * | Celadon Group Inc. | 113,493 | 1,605 |
| * | Satcon Technology Corp. | 557,606 | 1,595 |
| * | APAC Customer Services Inc. | 276,992 | 1,579 |
| | Houston Wire & Cable Co. | 144,201 | 1,565 |
| * | KAR Auction Services Inc. | 124,702 | 1,543 |
| * | Innerworkings Inc. | 224,508 | 1,533 |
| * | Team Inc. | 116,612 | 1,522 |
| * | Hawaiian Holdings Inc. | 293,945 | 1,520 |
| * | GenCorp Inc. | 346,482 | 1,518 |
| | CDI Corp. | 97,614 | 1,516 |
| * | Herley Industries Inc. | 105,647 | 1,507 |
| | Dynamic Materials Corp. | 93,119 | 1,494 |
| * | Powell Industries Inc. | 53,907 | 1,474 |
| * | 3D Systems Corp. | 116,628 | 1,464 |
| | American Woodmark Corp. | 83,352 | 1,425 |
| | HEICO Corp. Class A | 51,800 | 1,396 |
| * | Generac Holdings Inc. | 95,700 | 1,341 |
| * | ICF International Inc. | 55,834 | 1,336 |
| | Schawk Inc. Class A | 88,866 | 1,329 |
| | Ampco-Pittsburgh Corp. | 63,677 | 1,326 |
| * | USA Truck Inc. | 82,282 | 1,326 |
| * | Greenbrier Cos. Inc. | 118,172 | 1,324 |
| * | Commercial Vehicle Group Inc. | 129,387 | 1,321 |
| * | Republic Airways Holdings Inc. | 213,815 | 1,306 |
| * | Advanced Battery Technologies Inc. | 397,869 | 1,305 |
| * | CRA International Inc. | 68,541 | 1,291 |
| * | Eagle Bulk Shipping Inc. | 304,112 | 1,283 |
| * | Park-Ohio Holdings Corp. | 85,125 | 1,225 |
| | Insteel Industries Inc. | 104,663 | 1,216 |
| * | On Assignment Inc. | 240,328 | 1,209 |
| * | Sterling Construction Co. Inc. | 92,697 | 1,200 |
| * | Northwest Pipe Co. | 60,876 | 1,157 |
| * | Saia Inc. | 77,091 | 1,156 |
| *,^ | Capstone Turbine Corp. | 1,133,957 | 1,111 |
| | Aceto Corp. | 193,734 | 1,110 |
| * | Lydall Inc. | 144,717 | 1,106 |
| * | Pike Electric Corp. | 117,221 | 1,104 |
| * | LMI Aerospace Inc. | 70,014 | 1,104 |
34
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Furmanite Corp. | 277,735 | 1,103 |
| * | Standard Parking Corp. | 69,424 | 1,099 |
| | Horizon Lines Inc. Class A | 258,467 | 1,093 |
| | Graham Corp. | 72,200 | 1,082 |
| * | H&E Equipment Services Inc. | 144,265 | 1,081 |
| | Kimball International Inc. Class B | 194,634 | 1,076 |
| * | RSC Holdings Inc. | 170,049 | 1,049 |
| * | Astronics Corp. | 63,613 | 1,041 |
| * | Tecumseh Products Co. Class A | 92,169 | 1,025 |
| | Ducommun Inc. | 58,908 | 1,007 |
| * | Sauer-Danfoss Inc. | 82,406 | 1,007 |
| *,^ | YRC Worldwide Inc. | 6,678,623 | 1,002 |
| * | PMFG Inc. | 65,684 | 995 |
| * | RailAmerica Inc. | 100,200 | 994 |
| * | Titan Machinery Inc. | 75,583 | 992 |
| * | Volt Information Sciences Inc. | 115,359 | 969 |
| * | Pinnacle Airlines Corp. | 176,047 | 958 |
| *,^ | UQM Technologies Inc. | 282,117 | 956 |
| | Met-Pro Corp. | 88,528 | 953 |
| | Miller Industries Inc. | 70,411 | 948 |
| * | Trimas Corp. | 82,214 | 930 |
| * | PAM Transportation Services Inc. | 61,823 | 929 |
| | International Shipholding Corp. | 40,363 | 893 |
| * | CPI Aerostructures Inc. | 89,465 | 881 |
| * | NN Inc. | 166,419 | 832 |
| *,^ | Ener1 Inc. | 239,160 | 808 |
| * | United Capital Corp. | 31,463 | 768 |
| * | DXP Enterprises Inc. | 48,576 | 760 |
| | Twin Disc Inc. | 66,335 | 754 |
| | Alamo Group Inc. | 34,609 | 751 |
| * | CAI International Inc. | 62,984 | 750 |
| * | Universal Truckload Services Inc. | 53,325 | 743 |
| * | PowerSecure International Inc. | 80,000 | 727 |
| * | Baltic Trading Ltd. | 62,700 | 713 |
| * | Dynamex Inc. | 56,895 | 694 |
| * | AT Cross Co. Class A | 137,811 | 689 |
| | VSE Corp. | 21,206 | 675 |
| | American Railcar Industries Inc. | 55,445 | 670 |
| * | Ceco Environmental Corp. | 142,337 | 666 |
| * | Franklin Covey Co. | 101,383 | 659 |
| * | Odyssey Marine Exploration Inc. | 625,417 | 625 |
| * | Casella Waste Systems Inc. Class A | 163,288 | 624 |
| * | Flow International Corp. | 264,046 | 623 |
| * | NCI Building Systems Inc. | 73,835 | 618 |
| * | LaBarge Inc. | 53,308 | 608 |
| * | Metalico Inc. | 152,683 | 608 |
| * | Coleman Cable Inc. | 107,172 | 604 |
| * | Fuel Tech Inc. | 94,676 | 598 |
| * | Willis Lease Finance Corp. | 64,420 | 594 |
| * | Broadwind Energy Inc. | 210,088 | 588 |
| | Multi-Color Corp. | 56,740 | 581 |
| * | Energy Recovery Inc. | 144,386 | 578 |
| | Hardinge Inc. | 67,663 | 576 |
| * | GP Strategies Corp. | 79,060 | 574 |
| * | Hill International Inc. | 140,715 | 571 |
| | Virco Manufacturing | 188,287 | 565 |
| | LSI Industries Inc. | 115,676 | 565 |
| | Barrett Business Services Inc. | 45,459 | 564 |
| * | Builders FirstSource Inc. | 233,433 | 560 |
| * | Hudson Highland Group Inc. | 123,734 | 544 |
| | Todd Shipyards Corp. | 36,241 | 536 |
| * | Key Technology Inc. | 39,076 | 528 |
| *,^ | FuelCell Energy Inc. | 435,576 | 514 |
| * | Patriot Transportation Holding Inc. | 6,284 | 508 |
35
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Mistras Group Inc. | 47,238 | 506 |
| * | Hurco Cos. Inc. | 32,771 | 487 |
| *,^ | Ocean Power Technologies Inc. | 93,376 | 484 |
| | SIFCO Industries Inc. | 44,385 | 475 |
| | Lawson Products Inc. | 27,741 | 471 |
| * | Innovative Solutions & Support Inc. | 105,190 | 463 |
| * | Spherix Inc. | 342,644 | 459 |
| | Preformed Line Products Co. | 15,833 | 443 |
| * | Perma-Fix Environmental Services | 269,020 | 433 |
| * | Hudson Technologies Inc. | 208,850 | 426 |
| * | Allied Motion Technologies Inc. | 92,797 | 421 |
| | Standard Register Co. | 133,935 | 421 |
| | Eastern Co. | 28,337 | 415 |
| *,^ | Valence Technology Inc. | 540,098 | 389 |
| * | Allied Defense Group Inc. | 102,284 | 387 |
| | Ecology and Environment Inc. | 30,972 | 378 |
| *,^ | Applied Energetics Inc. | 347,945 | 358 |
| * | Argan Inc. | 34,073 | 355 |
| * | Magnetek Inc. | 377,675 | 347 |
| | LS Starrett Co. Class A | 36,454 | 347 |
| * | LECG Corp. | 131,605 | 342 |
| * | Ultralife Corp. | 78,198 | 336 |
| * | Integrated Electrical Services Inc. | 93,324 | 326 |
| *,^ | Hoku Corp. | 96,878 | 324 |
| * | WCA Waste Corp. | 70,553 | 315 |
| | Omega Flex Inc. | 20,908 | 305 |
| * | Intersections Inc. | 73,428 | 305 |
| * | Quality Distribution Inc. | 58,332 | 302 |
| * | BlueLinx Holdings Inc. | 114,650 | 302 |
| * | Gencor Industries Inc. | 36,691 | 288 |
| * | Plug Power Inc. | 570,809 | 263 |
| * | Supreme Industries Inc. Class A | 120,885 | 261 |
| *,^ | C&D Technologies Inc. | 279,585 | 246 |
| | Providence and Worcester Railroad Co. | 19,800 | 245 |
| * | Mfri Inc. | 40,563 | 243 |
| * | Baldwin Technology Co. | 206,023 | 243 |
| * | US Home Systems Inc. | 88,763 | 236 |
| * | Document Security Systems Inc. | 74,940 | 236 |
| *,^ | Beacon Power Corp. | 700,639 | 228 |
| * | Thermadyne Holdings Corp. | 20,084 | 217 |
| * | Competitive Technologies Inc. | 105,692 | 212 |
| * | Orion Energy Systems Inc. | 67,387 | 212 |
| * | Active Power Inc. | 268,873 | 210 |
| * | Comforce Corp. | 172,723 | 193 |
| * | Covenant Transportation Group Inc. Class A | 28,276 | 191 |
| * | TRC Cos. Inc. | 61,383 | 190 |
| *,^ | Akeena Solar Inc. | 278,253 | 188 |
| * | LGL Group Inc. | 16,500 | 185 |
| *,^ | Energy Focus Inc. | 153,246 | 185 |
| *,^ | Arotech Corp. | 126,186 | 184 |
| | Superior Uniform Group Inc. | 16,854 | 168 |
| * | Amrep Corp. | 12,689 | 160 |
| * | Tecumseh Products Co. Class B | 11,900 | 131 |
| * | Frozen Food Express Industries | 36,816 | 129 |
| *,^ | Innovaro Inc. | 33,134 | 124 |
| * | Sypris Solutions Inc. | 28,772 | 115 |
| * | PGT Inc. | 40,387 | 104 |
| | Primoris Services Corp. | 15,800 | 100 |
| * | Innotrac Corp. | 74,579 | 95 |
| * | American Electric Technologies Inc. | 36,928 | 76 |
| * | Rand Logistics Inc. | 13,710 | 70 |
| * | Rush Enterprises Inc. Class B | 5,550 | 65 |
| *,^ | Ascent Solar Technologies Inc. | 23,117 | 63 |
| * | Lightbridge Corp. | 5,098 | 42 |
36
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | TBS International PLC Class A | 6,400 | 39 |
| *,^ | Lime Energy Co. | 11,100 | 38 |
| | Hubbell Inc. Class A | 500 | 19 |
| * | Versar Inc. | 4,730 | 15 |
| * | TeamStaff Inc. | 17,157 | 9 |
| * | Breeze-Eastern Corp. | 1,000 | 6 |
| | Tyco International Ltd. | 161 | 6 |
| * | ExpressJet Holdings Inc. | 2,092 | 5 |
| | Servotronics Inc. | 500 | 5 |
| * | Heritage-Crystal Clean Inc. | 403 | 3 |
| * | Real Goods Solar Inc. Class A | 1,000 | 3 |
| * | Patrick Industries Inc. | 1,547 | 3 |
| * | Xenonics Holdings Inc. | 1,175 | — |
| * | Kaiser Ventures LLC Class A | 36,800 | — |
| | | | 1,946,753 |
| Information Technology (15.6%) | | |
| * | Cree Inc. | 670,581 | 40,255 |
| | Activision Blizzard Inc. | 3,413,269 | 35,805 |
| * | Sybase Inc. | 541,893 | 35,039 |
| * | F5 Networks Inc. | 500,036 | 34,287 |
| | Maxim Integrated Products Inc. | 1,886,241 | 31,557 |
| * | Lam Research Corp. | 789,426 | 30,046 |
| * | VMware Inc. Class A | 407,608 | 25,512 |
| * | Rovi Corp. | 636,730 | 24,138 |
| * | Equinix Inc. | 283,082 | 22,992 |
| * | ANSYS Inc. | 564,679 | 22,909 |
| * | Avnet Inc. | 947,202 | 22,837 |
| * | Nuance Communications Inc. | 1,489,836 | 22,273 |
| * | Trimble Navigation Ltd. | 756,793 | 21,190 |
| * | Dolby Laboratories Inc. Class A | 325,596 | 20,412 |
| * | Alliance Data Systems Corp. | 332,886 | 19,813 |
| * | Synopsys Inc. | 923,108 | 19,265 |
| | Global Payments Inc. | 509,148 | 18,604 |
| | Lender Processing Services Inc. | 591,572 | 18,522 |
| * | Skyworks Solutions Inc. | 1,102,941 | 18,518 |
| * | Hewitt Associates Inc. Class A | 516,777 | 17,808 |
| | Factset Research Systems Inc. | 258,995 | 17,350 |
| * | ON Semiconductor Corp. | 2,680,752 | 17,103 |
| * | Arrow Electronics Inc. | 751,351 | 16,793 |
| | Broadridge Financial Solutions Inc. | 849,654 | 16,186 |
| * | MICROS Systems Inc. | 501,017 | 15,967 |
| * | Polycom Inc. | 531,588 | 15,836 |
| | Solera Holdings Inc. | 436,639 | 15,806 |
| * | Ingram Micro Inc. | 1,031,861 | 15,674 |
| * | Itron Inc. | 251,456 | 15,545 |
| * | Brocade Communications Systems Inc. | 2,769,972 | 14,293 |
| * | CommScope Inc. | 589,334 | 14,008 |
| * | AOL Inc. | 665,811 | 13,842 |
| * | Atmel Corp. | 2,874,094 | 13,796 |
| * | Informatica Corp. | 572,924 | 13,681 |
| * | Varian Semiconductor Equipment Associates Inc. | 465,427 | 13,339 |
| | Jack Henry & Associates Inc. | 532,418 | 12,714 |
| * | Rambus Inc. | 714,842 | 12,524 |
| * | TIBCO Software Inc. | 1,036,512 | 12,500 |
| *,^ | WebMD Health Corp. | 266,233 | 12,361 |
| * | NCR Corp. | 1,000,072 | 12,121 |
| * | Atheros Communications Inc. | 436,260 | 12,015 |
| * | Silicon Laboratories Inc. | 287,093 | 11,644 |
| * | Concur Technologies Inc. | 270,800 | 11,558 |
| | CoreLogic Inc. | 649,287 | 11,466 |
| * | Parametric Technology Corp. | 724,215 | 11,348 |
| * | Tech Data Corp. | 316,459 | 11,272 |
| * | Cybersource Corp. | 440,268 | 11,240 |
| | National Instruments Corp. | 353,081 | 11,221 |
37
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Diebold Inc. | 411,444 | 11,212 |
| * | IAC/InterActiveCorp | 504,987 | 11,095 |
| * | PMC - Sierra Inc. | 1,430,675 | 10,759 |
| * | Cypress Semiconductor Corp. | 1,022,849 | 10,269 |
| * | Riverbed Technology Inc. | 354,811 | 9,800 |
| * | Cadence Design Systems Inc. | 1,686,240 | 9,763 |
| | ADTRAN Inc. | 345,185 | 9,413 |
| | Intersil Corp. Class A | 771,742 | 9,346 |
| * | Zebra Technologies Corp. | 360,191 | 9,138 |
| * | Vishay Intertechnology Inc. | 1,148,523 | 8,890 |
| * | Ariba Inc. | 557,358 | 8,879 |
| * | Gartner Inc. | 378,112 | 8,791 |
| | Plantronics Inc. | 304,913 | 8,721 |
| * | Netlogic Microsystems Inc. | 320,347 | 8,713 |
| * | VeriFone Systems Inc. | 458,352 | 8,677 |
| * | Veeco Instruments Inc. | 252,972 | 8,672 |
| | DST Systems Inc. | 230,269 | 8,322 |
| * | International Rectifier Corp. | 440,908 | 8,205 |
| * | Viasat Inc. | 248,871 | 8,103 |
| * | Arris Group Inc. | 791,197 | 8,062 |
| * | CACI International Inc. Class A | 188,669 | 8,015 |
| *,^ | Blackboard Inc. | 213,022 | 7,952 |
| * | Progress Software Corp. | 263,112 | 7,901 |
| * | Rackspace Hosting Inc. | 426,792 | 7,827 |
| * | Microsemi Corp. | 517,848 | 7,576 |
| * | Convergys Corp. | 771,549 | 7,569 |
| * | Anixter International Inc. | 176,523 | 7,520 |
| | Sapient Corp. | 728,359 | 7,386 |
| * | Ciena Corp. | 577,527 | 7,323 |
| * | Acxiom Corp. | 497,207 | 7,304 |
| * | Wright Express Corp. | 243,069 | 7,219 |
| * | Omnivision Technologies Inc. | 324,888 | 6,966 |
| * | Quest Software Inc. | 385,149 | 6,948 |
| * | InterDigital Inc. | 274,017 | 6,765 |
| * | Sanmina-SCI Corp. | 496,012 | 6,751 |
| * | Plexus Corp. | 251,813 | 6,733 |
| * | RF Micro Devices Inc. | 1,690,753 | 6,611 |
| * | Fairchild Semiconductor International Inc. Class A | 783,625 | 6,590 |
| * | Cirrus Logic Inc. | 408,455 | 6,458 |
| * | Cavium Networks Inc. | 242,670 | 6,356 |
| * | Semtech Corp. | 385,466 | 6,310 |
| | MAXIMUS Inc. | 109,014 | 6,309 |
| * | Benchmark Electronics Inc. | 393,340 | 6,234 |
| | Fair Isaac Corp. | 284,940 | 6,209 |
| * | j2 Global Communications Inc. | 281,835 | 6,155 |
| * | CommVault Systems Inc. | 270,671 | 6,090 |
| | Blackbaud Inc. | 279,612 | 6,087 |
| * | Hittite Microwave Corp. | 134,954 | 6,038 |
| * | Mantech International Corp. Class A | 140,042 | 5,962 |
| * | TriQuint Semiconductor Inc. | 975,622 | 5,961 |
| * | Digital River Inc. | 247,545 | 5,919 |
| * | Mentor Graphics Corp. | 666,488 | 5,898 |
| * | Palm Inc. | 1,035,283 | 5,891 |
| * | Taleo Corp. Class A | 241,967 | 5,877 |
| * | MKS Instruments Inc. | 313,962 | 5,877 |
| *,^ | Finisar Corp. | 393,395 | 5,862 |
| * | Lawson Software Inc. | 797,037 | 5,818 |
| *,^ | Synaptics Inc. | 211,335 | 5,812 |
| * | GSI Commerce Inc. | 197,647 | 5,692 |
| * | Tekelec | 429,696 | 5,689 |
| * | Cymer Inc. | 187,700 | 5,639 |
| | Power Integrations Inc. | 174,664 | 5,623 |
| * | Blue Coat Systems Inc. | 266,116 | 5,437 |
| * | ValueClick Inc. | 507,397 | 5,424 |
38
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Aruba Networks Inc. | 379,001 | 5,397 |
| | Earthlink Inc. | 673,281 | 5,359 |
| * | SRA International Inc. Class A | 269,587 | 5,303 |
| * | Comtech Telecommunications Corp. | 176,699 | 5,289 |
| * | TiVo Inc. | 706,570 | 5,214 |
| * | Ultimate Software Group Inc. | 156,947 | 5,157 |
| * | Cabot Microelectronics Corp. | 147,511 | 5,102 |
| * | Websense Inc. | 269,526 | 5,094 |
| * | Tessera Technologies Inc. | 316,750 | 5,084 |
| * | JDA Software Group Inc. | 228,818 | 5,029 |
| * | DG FastChannel Inc. | 154,196 | 5,024 |
| * | Integrated Device Technology Inc. | 1,013,345 | 5,016 |
| * | SuccessFactors Inc. | 239,399 | 4,977 |
| * | Unisys Corp. | 265,641 | 4,912 |
| *,^ | SunPower Corp. Class A | 399,740 | 4,837 |
| * | Coherent Inc. | 140,518 | 4,820 |
| * | Take-Two Interactive Software Inc. | 528,972 | 4,761 |
| * | FEI Co. | 239,979 | 4,730 |
| * | Advent Software Inc. | 99,614 | 4,678 |
| * | Sonus Networks Inc. | 1,715,644 | 4,649 |
| * | Emulex Corp. | 506,039 | 4,645 |
| * | EchoStar Corp. Class A | 241,407 | 4,606 |
| * | Amkor Technology Inc. | 813,881 | 4,484 |
| * | ADC Telecommunications Inc. | 605,114 | 4,484 |
| * | Acme Packet Inc. | 166,744 | 4,482 |
| | Cognex Corp. | 252,036 | 4,431 |
| * | Netezza Corp. | 317,373 | 4,342 |
| * | Littelfuse Inc. | 136,808 | 4,324 |
| * | Checkpoint Systems Inc. | 248,769 | 4,319 |
| * | Applied Micro Circuits Corp. | 409,946 | 4,296 |
| * | MicroStrategy Inc. Class A | 56,621 | 4,252 |
| * | Scansource Inc. | 169,205 | 4,218 |
| * | ACI Worldwide Inc. | 216,288 | 4,211 |
| * | Aspen Technology Inc. | 385,390 | 4,197 |
| * | DealerTrack Holdings Inc. | 252,031 | 4,146 |
| * | Euronet Worldwide Inc. | 317,640 | 4,063 |
| * | SonicWALL Inc. | 345,720 | 4,062 |
| | AVX Corp. | 314,073 | 4,026 |
| * | Monolithic Power Systems Inc. | 225,155 | 4,021 |
| * | Manhattan Associates Inc. | 144,551 | 3,982 |
| * | Netgear Inc. | 222,315 | 3,966 |
| * | L-1 Identity Solutions Inc. | 482,324 | 3,950 |
| * | CSG Systems International Inc. | 212,526 | 3,896 |
| * | Rofin-Sinar Technologies Inc. | 186,728 | 3,888 |
| * | Volterra Semiconductor Corp. | 167,719 | 3,868 |
| * | Insight Enterprises Inc. | 293,109 | 3,857 |
| * | Power-One Inc. | 551,380 | 3,722 |
| * | Universal Display Corp. | 200,378 | 3,603 |
| * | DTS Inc. | 109,153 | 3,588 |
| | Heartland Payment Systems Inc. | 238,745 | 3,543 |
| * | Diodes Inc. | 222,605 | 3,533 |
| * | SolarWinds Inc. | 218,987 | 3,513 |
| * | Infinera Corp. | 540,748 | 3,477 |
| * | SAVVIS Inc. | 235,164 | 3,469 |
| * | FormFactor Inc. | 318,084 | 3,435 |
| * | SYNNEX Corp. | 133,948 | 3,432 |
| * | Art Technology Group Inc. | 978,503 | 3,346 |
| * | Harmonic Inc. | 613,928 | 3,340 |
| * | Standard Microsystems Corp. | 142,330 | 3,313 |
| * | Entegris Inc. | 826,624 | 3,282 |
| * | Terremark Worldwide Inc. | 414,378 | 3,236 |
| * | Intermec Inc. | 315,001 | 3,229 |
| | Park Electrochemical Corp. | 131,061 | 3,199 |
| * | Lattice Semiconductor Corp. | 735,521 | 3,192 |
39
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Brooks Automation Inc. | 411,245 | 3,179 |
| * | OSI Systems Inc. | 113,906 | 3,163 |
| * | Stratasys Inc. | 128,791 | 3,163 |
| | Pegasystems Inc. | 98,416 | 3,160 |
| * | EPIQ Systems Inc. | 243,540 | 3,149 |
| * | Brightpoint Inc. | 449,206 | 3,144 |
| | United Online Inc. | 545,416 | 3,142 |
| * | Netscout Systems Inc. | 220,643 | 3,138 |
| | Black Box Corp. | 112,287 | 3,132 |
| * | Kulicke & Soffa Industries Inc. | 444,811 | 3,123 |
| * | Zoran Corp. | 327,009 | 3,120 |
| * | Oclaro Inc. | 279,881 | 3,104 |
| * | Global Cash Access Holdings Inc. | 428,198 | 3,087 |
| * | Ixia | 357,017 | 3,067 |
| | MTS Systems Corp. | 105,366 | 3,056 |
| *,^ | Ebix Inc. | 194,631 | 3,052 |
| * | Radiant Systems Inc. | 210,381 | 3,042 |
| * | ATMI Inc. | 201,006 | 2,943 |
| * | Forrester Research Inc. | 94,470 | 2,859 |
| * | TNS Inc. | 163,680 | 2,855 |
| * | Ultratech Inc. | 175,330 | 2,853 |
| * | Rogers Corp. | 100,705 | 2,797 |
| | Syntel Inc. | 82,149 | 2,789 |
| | Micrel Inc. | 273,880 | 2,788 |
| * | Electronics for Imaging Inc. | 285,904 | 2,788 |
| * | Tyler Technologies Inc. | 176,630 | 2,741 |
| * | Constant Contact Inc. | 126,524 | 2,699 |
| * | Cogent Inc. | 297,026 | 2,676 |
| * | TeleTech Holdings Inc. | 204,433 | 2,635 |
| * | TTM Technologies Inc. | 275,257 | 2,615 |
| * | LTX-Credence Corp. | 922,815 | 2,612 |
| * | Quantum Corp. | 1,363,967 | 2,564 |
| * | Advanced Energy Industries Inc. | 207,725 | 2,553 |
| *,^ | STEC Inc. | 202,364 | 2,542 |
| * | comScore Inc. | 154,208 | 2,540 |
| * | Electro Scientific Industries Inc. | 187,337 | 2,503 |
| * | Synchronoss Technologies Inc. | 127,839 | 2,425 |
| * | Avid Technology Inc. | 187,869 | 2,392 |
| | iGate Corp. | 183,079 | 2,347 |
| * | Epicor Software Corp. | 293,472 | 2,345 |
| | CTS Corp. | 252,838 | 2,336 |
| * | RightNow Technologies Inc. | 148,684 | 2,333 |
| | Methode Electronics Inc. | 238,981 | 2,328 |
| * | Loral Space & Communications Inc. | 53,602 | 2,290 |
| * | Entropic Communications Inc. | 356,735 | 2,262 |
| * | SunPower Corp. Class B | 208,266 | 2,249 |
| * | Bottomline Technologies Inc. | 171,360 | 2,233 |
| * | Lionbridge Technologies Inc. | 481,601 | 2,201 |
| * | ADPT Corp. | 743,929 | 2,150 |
| * | Actel Corp. | 164,398 | 2,108 |
| * | ArcSight Inc. | 93,018 | 2,083 |
| * | Super Micro Computer Inc. | 154,170 | 2,081 |
| * | Newport Corp. | 228,310 | 2,068 |
| * | Supertex Inc. | 83,421 | 2,057 |
| | NIC Inc. | 319,843 | 2,050 |
| * | LoopNet Inc. | 165,553 | 2,041 |
| * | Move Inc. | 994,014 | 2,038 |
| * | Sourcefire Inc. | 106,943 | 2,032 |
| * | Silicon Image Inc. | 571,727 | 2,007 |
| * | FARO Technologies Inc. | 106,198 | 1,987 |
| | Sycamore Networks Inc. | 118,463 | 1,969 |
| * | ExlService Holdings Inc. | 112,038 | 1,924 |
| * | Multi-Fineline Electronix Inc. | 76,334 | 1,905 |
| * | Exar Corp. | 274,236 | 1,900 |
40
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Vocus Inc. | 122,588 | 1,873 |
| * | Mercury Computer Systems Inc. | 159,518 | 1,871 |
| * | Maxwell Technologies Inc. | 163,806 | 1,867 |
| * | IPG Photonics Corp. | 122,209 | 1,861 |
| *,^ | Microvision Inc. | 628,140 | 1,859 |
| * | Smith Micro Software Inc. | 195,148 | 1,856 |
| *,^ | Rubicon Technology Inc. | 62,000 | 1,847 |
| * | THQ Inc. | 426,341 | 1,842 |
| * | RealNetworks Inc. | 554,832 | 1,831 |
| * | DivX Inc. | 237,378 | 1,818 |
| * | LivePerson Inc. | 263,338 | 1,806 |
| * | S1 Corp. | 300,095 | 1,804 |
| | Daktronics Inc. | 240,001 | 1,800 |
| * | Anaren Inc. | 118,547 | 1,771 |
| * | Kenexa Corp. | 147,585 | 1,771 |
| * | Oplink Communications Inc. | 123,154 | 1,765 |
| | Cohu Inc. | 143,569 | 1,741 |
| * | Sigma Designs Inc. | 173,754 | 1,739 |
| * | ModusLink Global Solutions Inc. | 287,092 | 1,731 |
| * | Echelon Corp. | 235,758 | 1,728 |
| * | Imation Corp. | 187,382 | 1,722 |
| * | Compellent Technologies Inc. | 141,877 | 1,720 |
| | Opnet Technologies Inc. | 116,504 | 1,711 |
| | BGC Partners Inc. Class A | 332,970 | 1,701 |
| * | UTStarcom Inc. | 921,020 | 1,695 |
| * | Infospace Inc. | 223,988 | 1,684 |
| * | Internet Capital Group Inc. | 221,224 | 1,681 |
| * | IXYS Corp. | 189,975 | 1,679 |
| * | Perficient Inc. | 187,984 | 1,675 |
| * | 3PAR Inc. | 177,403 | 1,652 |
| * | Intevac Inc. | 152,577 | 1,628 |
| * | support.com Inc. | 390,671 | 1,625 |
| * | Extreme Networks | 598,234 | 1,615 |
| * | Mattson Technology Inc. | 425,412 | 1,612 |
| * | Isilon Systems Inc. | 124,591 | 1,600 |
| * | Anadigics Inc. | 360,777 | 1,573 |
| * | Seachange International Inc. | 190,164 | 1,565 |
| * | Pericom Semiconductor Corp. | 161,704 | 1,552 |
| * | Photronics Inc. | 342,801 | 1,549 |
| * | MIPS Technologies Inc. Class A | 303,157 | 1,549 |
| * | Virage Logic Corp. | 130,217 | 1,548 |
| | Cass Information Systems Inc. | 44,722 | 1,532 |
| * | infoGROUP Inc. | 186,285 | 1,487 |
| * | Knot Inc. | 189,180 | 1,472 |
| *,^ | Sonic Solutions Inc. | 175,944 | 1,469 |
| * | EMS Technologies Inc. | 97,196 | 1,460 |
| * | Interactive Intelligence Inc. | 88,782 | 1,459 |
| * | Rudolph Technologies Inc. | 191,086 | 1,443 |
| * | NVE Corp. | 32,988 | 1,436 |
| * | Kopin Corp. | 422,545 | 1,432 |
| * | AXT Inc. | 314,967 | 1,420 |
| * | Symyx Technologies Inc. | 280,438 | 1,405 |
| * | SMART Modular Technologies WWH Inc. | 238,542 | 1,395 |
| * | Internet Brands Inc. Class A | 132,665 | 1,370 |
| * | Silicon Graphics International Corp. | 192,685 | 1,364 |
| * | Radisys Corp. | 141,644 | 1,348 |
| * | Integrated Silicon Solution Inc. | 178,612 | 1,347 |
| | Electro Rent Corp. | 105,160 | 1,345 |
| * | Aviat Networks Inc. | 369,623 | 1,342 |
| * | Actuate Corp. | 297,360 | 1,323 |
| * | Mindspeed Technologies Inc. | 176,165 | 1,319 |
| * | MoSys Inc. | 296,161 | 1,309 |
| | Keithley Instruments Inc. | 143,896 | 1,271 |
| * | Saba Software Inc. | 243,408 | 1,254 |
41
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Hypercom Corp. | 269,962 | 1,253 |
| * | Internap Network Services Corp. | 296,659 | 1,237 |
| * | STR Holdings Inc. | 65,400 | 1,230 |
| * | Limelight Networks Inc. | 278,886 | 1,224 |
| * | Spectrum Control Inc. | 87,445 | 1,222 |
| * | Stamps.com Inc. | 117,446 | 1,204 |
| *,^ | Energy Conversion Devices Inc. | 284,587 | 1,167 |
| | Renaissance Learning Inc. | 78,971 | 1,160 |
| | Agilysys Inc. | 172,293 | 1,153 |
| * | DSP Group Inc. | 179,793 | 1,149 |
| * | Local.com Corp. | 167,717 | 1,147 |
| * | KVH Industries Inc. | 92,340 | 1,147 |
| * | Digi International Inc. | 138,174 | 1,143 |
| * | Novatel Wireless Inc. | 198,269 | 1,138 |
| * | Globecomm Systems Inc. | 137,838 | 1,137 |
| * | Presstek Inc. | 318,896 | 1,126 |
| * | Ceva Inc. | 89,000 | 1,121 |
| | DDi Corp. | 148,578 | 1,119 |
| *,^ | Wave Systems Corp. Class A | 344,989 | 1,118 |
| * | Symmetricom Inc. | 218,545 | 1,112 |
| * | Network Engines Inc. | 409,910 | 1,111 |
| | Keynote Systems Inc. | 121,504 | 1,096 |
| * | Bell Microproducts Inc. | 156,800 | 1,094 |
| * | Ciber Inc. | 394,587 | 1,093 |
| * | Measurement Specialties Inc. | 79,718 | 1,092 |
| * | Zix Corp. | 483,117 | 1,092 |
| * | GT Solar International Inc. | 191,590 | 1,073 |
| * | Ultra Clean Holdings | 125,697 | 1,071 |
| * | Comverge Inc. | 118,919 | 1,066 |
| * | Cray Inc. | 189,128 | 1,055 |
| * | VASCO Data Security International Inc. | 170,220 | 1,050 |
| * | TeleCommunication Systems Inc. Class A | 249,469 | 1,033 |
| * | Fortinet Inc. | 61,053 | 1,004 |
| * | LogMeIn Inc. | 37,734 | 990 |
| * | Nanometrics Inc. | 94,230 | 951 |
| *,^ | Evergreen Solar Inc. | 1,383,141 | 943 |
| * | Transact Technologies Inc. | 129,201 | 943 |
| * | Computer Task Group Inc. | 144,944 | 936 |
| * | Hughes Communications Inc. | 38,356 | 933 |
| * | MoneyGram International Inc. | 379,257 | 929 |
| * | Integral Systems Inc. | 145,280 | 923 |
| *,^ | Research Frontiers Inc. | 207,408 | 917 |
| * | Powerwave Technologies Inc. | 574,107 | 884 |
| * | Zygo Corp. | 107,878 | 875 |
| * | Double-Take Software Inc. | 83,311 | 874 |
| * | NetSuite Inc. | 68,754 | 869 |
| * | Data I/O Corp. | 170,876 | 866 |
| * | Hackett Group Inc. | 302,746 | 851 |
| * | Pervasive Software Inc. | 170,783 | 847 |
| * | Openwave Systems Inc. | 417,005 | 847 |
| * | PRGX Global Inc. | 203,483 | 844 |
| * | Dynamics Research Corp. | 83,457 | 844 |
| * | iGO Inc. | 558,045 | 837 |
| * | Liquidity Services Inc. | 64,049 | 830 |
| * | X-Rite Inc. | 218,571 | 807 |
| | Marchex Inc. Class B | 206,535 | 795 |
| * | Immersion Corp. | 156,088 | 790 |
| * | Network Equipment Technologies Inc. | 224,220 | 783 |
| *,^ | OpenTable Inc. | 18,821 | 781 |
| * | Gerber Scientific Inc. | 144,311 | 772 |
| * | Deltek Inc. | 92,426 | 771 |
| | Technitrol Inc. | 243,280 | 769 |
| ^ | VirnetX Holding Corp. | 129,150 | 765 |
| * | Peerless Systems Corp. | 281,836 | 761 |
42
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Rimage Corp. | 47,954 | 759 |
| * | SS&C Technologies Holdings Inc. | 47,200 | 757 |
| | American Software Inc. Class A | 162,423 | 750 |
| * | FalconStor Software Inc. | 284,234 | 750 |
| * | Bitstream Inc. Class A | 114,428 | 749 |
| * | NCI Inc. Class A | 33,084 | 747 |
| * | Monotype Imaging Holdings Inc. | 82,425 | 743 |
| * | Occam Networks Inc. | 133,187 | 741 |
| | Evolving Systems Inc. | 102,263 | 736 |
| | Bel Fuse Inc. Class B | 44,557 | 736 |
| | Mocon Inc. | 68,091 | 731 |
| * | Microtune Inc. | 337,772 | 719 |
| * | Conexant Systems Inc. | 316,898 | 710 |
| * | Axcelis Technologies Inc. | 457,124 | 709 |
| * | SRS Labs Inc. | 77,319 | 707 |
| * | GSE Systems Inc. | 173,767 | 705 |
| * | DemandTec Inc. | 104,319 | 704 |
| * | Callidus Software Inc. | 212,098 | 702 |
| *,^ | Magma Design Automation Inc. | 247,080 | 702 |
| * | Tollgrade Communications Inc. | 110,491 | 696 |
| * | Telular Corp. | 227,439 | 685 |
| * | NU Horizons Electronics Corp. | 223,095 | 683 |
| * | Aetrium Inc. | 209,921 | 682 |
| * | KEY Tronic Corp. | 131,723 | 678 |
| * | Hutchinson Technology Inc. | 153,807 | 666 |
| * | Ramtron International Corp. | 255,996 | 666 |
| * | PDF Solutions Inc. | 136,887 | 657 |
| * | Amtech Systems Inc. | 77,721 | 649 |
| * | BigBand Networks Inc. | 214,276 | 647 |
| * | BTU International Inc. | 111,167 | 646 |
| | Communications Systems Inc. | 61,604 | 642 |
| * | Autobytel Inc. | 562,327 | 641 |
| * | Datalink Corp. | 156,985 | 631 |
| * | Trident Microsystems Inc. | 441,844 | 627 |
| * | PROS Holdings Inc. | 94,868 | 617 |
| * | QuickLogic Corp. | 209,360 | 613 |
| *,^ | Rosetta Stone Inc. | 26,700 | 613 |
| * | Advanced Analogic Technologies Inc. | 187,621 | 599 |
| | Ipass Inc. | 556,333 | 595 |
| * | LaserCard Corp. | 133,468 | 595 |
| * | ActivIdentity Corp. | 309,436 | 591 |
| | QAD Inc. | 140,911 | 582 |
| * | PLX Technology Inc. | 134,527 | 564 |
| * | NAPCO Security Technologies Inc. | 297,429 | 561 |
| * | Online Resources Corp. | 131,315 | 545 |
| * | TechTeam Global Inc. | 89,934 | 539 |
| * | Phoenix Technologies Ltd. | 186,010 | 538 |
| * | Aware Inc. | 229,403 | 537 |
| * | Unica Corp. | 55,658 | 533 |
| * | Dice Holdings Inc. | 76,344 | 528 |
| * | Simulations Plus Inc. | 215,233 | 521 |
| * | ORBCOMM Inc. | 285,314 | 519 |
| * | Performance Technologies Inc. | 207,579 | 515 |
| * | PC Mall Inc. | 128,529 | 514 |
| * | Innodata Isogen Inc. | 196,497 | 505 |
| * | Travelzoo Inc. | 40,386 | 500 |
| * | CPI International Inc. | 31,980 | 499 |
| *,^ | ICx Technologies Inc. | 65,060 | 475 |
| * | ShoreTel Inc. | 102,127 | 474 |
| | Astro-Med Inc. | 64,998 | 467 |
| * | Versant Corp. | 41,949 | 467 |
| * | FSI International Inc. | 111,287 | 466 |
| * | Virtusa Corp. | 49,927 | 466 |
| * | Tier Technologies Inc. Class B | 73,319 | 446 |
43
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Richardson Electronics Ltd. | 48,868 | 440 |
| | Mesa Laboratories Inc. | 18,022 | 433 |
| | TheStreet.com Inc. | 148,904 | 429 |
| * | StarTek Inc. | 108,840 | 424 |
| * | Information Services Group Inc. | 211,752 | 424 |
| * | Cyberoptics Corp. | 43,293 | 419 |
| * | Bsquare Corp. | 180,371 | 409 |
| * | PC Connection Inc. | 66,806 | 405 |
| * | Opnext Inc. | 243,990 | 403 |
| *,^ | Superconductor Technologies Inc. | 166,026 | 402 |
| * | EndWave Corp. | 121,382 | 401 |
| * | Geeknet Inc. | 316,960 | 393 |
| * | PC-Tel Inc. | 76,762 | 387 |
| * | Micronetics Inc. | 86,414 | 373 |
| * | Reis Inc. | 55,174 | 359 |
| * | Market Leader Inc. | 181,107 | 357 |
| * | Westell Technologies Inc. Class A | 228,483 | 356 |
| * | LoJack Corp. | 96,443 | 356 |
| * | Identive Group Inc. | 218,328 | 349 |
| * | Onvia Inc. | 92,103 | 346 |
| * | EF Johnson Technologies Inc. | 240,165 | 343 |
| * | Web.com Group Inc. | 94,976 | 341 |
| * | LeCroy Corp. | 71,089 | 341 |
| * | LRAD Corp. | 271,744 | 340 |
| * | Insweb Corp. | 69,859 | 339 |
| * | Digimarc Corp. | 17,948 | 337 |
| *,^ | Emcore Corp. | 358,906 | 319 |
| * | GSI Technology Inc. | 55,785 | 319 |
| * | Frequency Electronics Inc. | 67,949 | 316 |
| *,^ | Hauppauge Digital Inc. | 153,081 | 312 |
| * | Digital Ally Inc. | 137,859 | 296 |
| * | Intellicheck Mobilisa Inc. | 184,780 | 294 |
| * | Optical Cable Corp. | 94,361 | 276 |
| * | Ancestry.com Inc. | 15,600 | 275 |
| * | Dot Hill Systems Corp. | 226,620 | 270 |
| * | Comarco Inc. | 112,532 | 269 |
| * | Video Display Corp. | 63,554 | 264 |
| * | Transwitch Corp. | 120,675 | 260 |
| | Imergent Inc. | 70,269 | 254 |
| * | TechTarget Inc. | 46,072 | 248 |
| * | PAR Technology Corp. | 48,052 | 247 |
| * | ID Systems Inc. | 91,248 | 242 |
| *,^ | QuinStreet Inc. | 20,000 | 230 |
| * | Spire Corp. | 65,882 | 229 |
| *,^ | Parkervision Inc. | 180,489 | 229 |
| * | RAE Systems Inc. | 283,305 | 227 |
| * | Lantronix Inc. | 54,334 | 220 |
| * | CalAmp Corp. | 103,189 | 220 |
| * | Cinedigm Digital Cinema Corp. Class A | 166,050 | 216 |
| * | Salary.com Inc. | 83,974 | 213 |
| * | Zhone Technologies Inc. | 142,009 | 212 |
| * | Ditech Networks Inc. | 165,161 | 210 |
| * | KIT Digital Inc. | 22,500 | 198 |
| * | Cascade Microtech Inc. | 43,648 | 195 |
| * | Management Network Group Inc. | 72,395 | 195 |
| * | AuthenTec Inc. | 74,840 | 188 |
| * | RF Monolithics Inc. | 160,383 | 188 |
| * | MaxLinear Inc. | 13,300 | 186 |
| * | Tii Network Technologies Inc. | 107,178 | 166 |
| * | ePlus Inc. | 9,331 | 163 |
| * | Pixelworks Inc. | 54,196 | 162 |
| * | Looksmart Ltd. | 136,626 | 161 |
| * | Archipelago Learning Inc. | 12,900 | 147 |
| * | Majesco Entertainment Co. | 199,158 | 141 |
44
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Calix Inc. | 13,500 | 139 |
| * | EasyLink Services International Corp. Class A | 56,034 | 134 |
| * | Selectica Inc. | 24,332 | 134 |
| * | Authentidate Holding Corp. | 201,418 | 127 |
| | Newtek Business Services Inc. | 94,492 | 126 |
| * | TigerLogic Corp. | 27,477 | 121 |
| * | TSR Inc. | 54,086 | 121 |
| * | Sonic Foundry Inc. | 16,362 | 120 |
| * | Planar Systems Inc. | 65,314 | 112 |
| * | EDGAR Online Inc. | 80,928 | 103 |
| * | Scientific Learning Corp. | 19,431 | 102 |
| *,^ | Lightpath Technologies Inc. Class A | 59,757 | 95 |
| | Bel Fuse Inc. Class A | 5,719 | 95 |
| * | Guidance Software Inc. | 14,415 | 75 |
| * | IEC Electronics Corp. | 14,577 | 67 |
| * | DRI Corp. | 39,661 | 66 |
| * | Ikanos Communications Inc. | 40,764 | 66 |
| * | Soundbite Communications Inc. | 21,676 | 62 |
| * | Adept Technology Inc. Class A | 11,592 | 58 |
| * | MEMSIC Inc. | 19,210 | 43 |
| * | Globalscape Inc. | 16,001 | 41 |
| * | Mastech Holdings Inc. | 12,664 | 39 |
| * | Glu Mobile Inc. | 26,900 | 36 |
| * | WebMediaBrands Inc. | 37,961 | 34 |
| * | Vertro Inc. | 62,792 | 31 |
| * | Unify Corp. | 7,700 | 27 |
| * | Procera Networks Inc. | 54,970 | 25 |
| * | MakeMusic Inc. | 4,556 | 25 |
| * | GTSI Corp. | 4,450 | 24 |
| * | NetSol Technologies Inc. | 32,771 | 24 |
| * | Acorn Energy Inc. | 4,532 | 24 |
| * | Digital Angel Corp. | 45,625 | 23 |
| * | DayStar Technologies Inc. | 22,551 | 23 |
| * | Relm Wireless Corp. | 10,711 | 23 |
| * | Nextwave Wireless Inc. | 14,796 | 16 |
| * | ClearOne Communications Inc. | 5,294 | 15 |
| * | Overland Storage Inc. | 7,040 | 14 |
| * | Inuvo Inc. | 61,766 | 10 |
| * | Numerex Corp. Class A | 2,300 | 10 |
| * | NetList Inc. | 4,200 | 9 |
| * | Rainmaker Systems Inc. | 6,316 | 8 |
| * | Wireless Ronin Technologies Inc. | 5,009 | 6 |
| * | eLoyalty Corp. | 1,000 | 6 |
| * | NaviSite Inc. | 1,500 | 4 |
| * | Wireless Telecom Group Inc. | 4,907 | 4 |
| * | Veraz Networks Inc. | 3,850 | 3 |
| * | Interphase Corp. | 449 | 1 |
| * | Conolog Corp. | 25 | — |
| | | | 2,017,966 |
| Materials (5.8%) | | |
| | Mosaic Co. | 1,000,374 | 38,995 |
| | Lubrizol Corp. | 425,552 | 34,176 |
| * | Crown Holdings Inc. | 1,010,386 | 25,300 |
| | Celanese Corp. Class A | 977,476 | 24,349 |
| | Martin Marietta Materials Inc. | 283,532 | 24,046 |
| | Ashland Inc. | 489,751 | 22,734 |
| | Albemarle Corp. | 570,226 | 22,644 |
| | Walter Energy Inc. | 334,171 | 20,334 |
| | Sonoco Products Co. | 626,361 | 19,091 |
| | Valspar Corp. | 619,347 | 18,655 |
| | Steel Dynamics Inc. | 1,350,897 | 17,818 |
| | Nalco Holding Co. | 862,744 | 17,652 |
| | Aptargroup Inc. | 423,581 | 16,020 |
| | Royal Gold Inc. | 307,125 | 14,742 |
45
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Reliance Steel & Aluminum Co. | 402,798 | 14,561 |
| | RPM International Inc. | 808,794 | 14,429 |
| | Compass Minerals International Inc. | 204,173 | 14,349 |
| | Packaging Corp. of America | 643,639 | 14,173 |
| | Temple-Inland Inc. | 671,177 | 13,873 |
| | Domtar Corp. | 268,859 | 13,214 |
| | Scotts Miracle-Gro Co. Class A | 283,777 | 12,603 |
| | Cytec Industries Inc. | 305,515 | 12,218 |
| | Rock-Tenn Co. Class A | 242,952 | 12,067 |
| | Greif Inc. Class A | 214,513 | 11,914 |
| * | Solutia Inc. | 757,153 | 9,919 |
| | Cabot Corp. | 407,840 | 9,833 |
| | Silgan Holdings Inc. | 334,862 | 9,503 |
| | Commercial Metals Co. | 712,418 | 9,418 |
| | Carpenter Technology Corp. | 274,427 | 9,009 |
| | Olin Corp. | 492,033 | 8,901 |
| | Huntsman Corp. | 1,023,895 | 8,877 |
| * | Coeur d'Alene Mines Corp. | 549,356 | 8,669 |
| * | Allied Nevada Gold Corp. | 434,484 | 8,551 |
| * | WR Grace & Co. | 383,503 | 8,069 |
| | Sensient Technologies Corp. | 308,935 | 8,011 |
| * | Hecla Mining Co. | 1,509,777 | 7,881 |
| * | Rockwood Holdings Inc. | 316,014 | 7,170 |
| | Eagle Materials Inc. | 273,817 | 7,100 |
| | NewMarket Corp. | 72,270 | 6,311 |
| | HB Fuller Co. | 305,254 | 5,797 |
| | Schweitzer-Mauduit International Inc. | 114,635 | 5,783 |
| | Minerals Technologies Inc. | 117,307 | 5,577 |
| | Schnitzer Steel Industries Inc. | 136,143 | 5,337 |
| * | Louisiana-Pacific Corp. | 791,173 | 5,293 |
| | Texas Industries Inc. | 173,256 | 5,118 |
| *,^ | Intrepid Potash Inc. | 257,703 | 5,043 |
| | Worthington Industries Inc. | 380,717 | 4,896 |
| * | PolyOne Corp. | 578,696 | 4,873 |
| | Arch Chemicals Inc. | 156,753 | 4,819 |
| * | OM Group Inc. | 195,101 | 4,655 |
| * | Calgon Carbon Corp. | 347,619 | 4,602 |
| * | RTI International Metals Inc. | 187,656 | 4,524 |
| | Balchem Corp. | 178,258 | 4,456 |
| * | Ferro Corp. | 547,535 | 4,035 |
| * | Clearwater Paper Corp. | 72,314 | 3,960 |
| * | US Gold Corp. | 779,435 | 3,905 |
| | A Schulman Inc. | 199,013 | 3,773 |
| | AMCOL International Corp. | 158,065 | 3,715 |
| * | Stillwater Mining Co. | 290,467 | 3,375 |
| | Stepan Co. | 48,290 | 3,305 |
| * | Century Aluminum Co. | 365,796 | 3,230 |
| | Kaiser Aluminum Corp. | 93,113 | 3,228 |
| | PH Glatfelter Co. | 290,179 | 3,148 |
| | Koppers Holdings Inc. | 130,907 | 2,943 |
| | Innophos Holdings Inc. | 112,715 | 2,940 |
| | Deltic Timber Corp. | 68,182 | 2,850 |
| * | Georgia Gulf Corp. | 211,547 | 2,822 |
| * | Omnova Solutions Inc. | 343,744 | 2,685 |
| * | Brush Engineered Materials Inc. | 129,085 | 2,579 |
| * | Buckeye Technologies Inc. | 246,866 | 2,456 |
| | Zep Inc. | 136,104 | 2,374 |
| | Westlake Chemical Corp. | 125,154 | 2,324 |
| * | Wausau Paper Corp. | 327,342 | 2,216 |
| * | KapStone Paper and Packaging Corp. | 198,368 | 2,210 |
| | Haynes International Inc. | 69,167 | 2,132 |
| * | Horsehead Holding Corp. | 275,648 | 2,084 |
| * | Spartech Corp. | 196,865 | 2,018 |
| | Neenah Paper Inc. | 98,437 | 1,801 |
46
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Myers Industries Inc. | 217,839 | 1,762 |
| | Quaker Chemical Corp. | 62,200 | 1,685 |
| * | Boise Inc. | 299,885 | 1,646 |
| | Olympic Steel Inc. | 69,633 | 1,599 |
| * | General Moly Inc. | 517,582 | 1,594 |
| * | Graphic Packaging Holding Co. | 452,113 | 1,424 |
| * | AM Castle & Co. | 99,733 | 1,385 |
| * | Zoltek Cos. Inc. | 160,923 | 1,363 |
| * | LSB Industries Inc. | 100,655 | 1,340 |
| ^ | Hawkins Inc. | 51,982 | 1,252 |
| * | Senomyx Inc. | 298,724 | 1,132 |
| | American Vanguard Corp. | 130,132 | 1,032 |
| * | AEP Industries Inc. | 40,613 | 970 |
| * | Headwaters Inc. | 330,325 | 938 |
| * | Graham Packaging Co. Inc. | 76,010 | 910 |
| ^ | Great Northern Iron Ore Properties | 9,406 | 897 |
| * | Kraton Performance Polymers Inc. | 44,950 | 845 |
| * | US Energy Corp. Wyoming | 175,794 | 835 |
| * | Universal Stainless & Alloy | 40,327 | 645 |
| * | ADA-ES Inc. | 121,003 | 643 |
| | NL Industries Inc. | 101,944 | 622 |
| * | Landec Corp. | 105,257 | 620 |
| * | United States Lime & Minerals Inc. | 14,815 | 571 |
| *,^ | Mercer International Inc. | 135,849 | 541 |
| * | Metals USA Holdings Corp. | 35,800�� | 535 |
| * | Penford Corp. | 79,053 | 512 |
| | Synalloy Corp. | 50,636 | 432 |
| * | Rock of Ages Corp. | 91,696 | 372 |
| | Chase Corp. | 25,242 | 289 |
| * | Nanophase Technologies Corp. | 236,823 | 275 |
| * | WHX Corp. | 53,452 | 228 |
| * | Mod-Pac Corp. | 49,498 | 220 |
| * | TOR Minerals International Inc. | 32,018 | 218 |
| *,^ | Flotek Industries Inc. | 178,400 | 216 |
| * | American Pacific Corp. | 38,953 | 196 |
| | KMG Chemicals Inc. | 13,475 | 194 |
| *,^ | Timberline Resources Corp. | 121,115 | 114 |
| * | Solitario Exploration & Royalty Corp. | 50,600 | 109 |
| * | Verso Paper Corp. | 28,209 | 65 |
| * | Clean Diesel Technologies Inc. | 4,027 | 4 |
| * | Metalline Mining Co. | 5,100 | 3 |
| | | | 750,293 |
| Telecommunication Services (1.9%) | | |
| * | Crown Castle International Corp. | 1,538,753 | 57,334 |
| * | NII Holdings Inc. | 1,043,618 | 33,938 |
| * | SBA Communications Corp. Class A | 729,949 | 24,826 |
| * | tw telecom inc Class A | 946,457 | 15,787 |
| | Telephone & Data Systems Inc. | 425,745 | 12,938 |
| * | Level 3 Communications Inc. | 10,333,475 | 11,263 |
| * | NeuStar Inc. Class A | 467,774 | 9,646 |
| * | Syniverse Holdings Inc. | 435,009 | 8,896 |
| *,^ | Clearwire Corp. Class A | 1,201,802 | 8,749 |
| * | AboveNet Inc. | 117,594 | 5,548 |
| * | Leap Wireless International Inc. | 379,013 | 4,920 |
| * | United States Cellular Corp. | 104,370 | 4,295 |
| * | Global Crossing Ltd. | 377,060 | 3,986 |
| | Telephone & Data Systems Inc. - Special Common Shares | 147,351 | 3,911 |
| * | Cincinnati Bell Inc. | 1,255,325 | 3,779 |
| | NTELOS Holdings Corp. | 190,095 | 3,270 |
| | Shenandoah Telecommunications Co. | 161,474 | 2,865 |
| * | PAETEC Holding Corp. | 807,179 | 2,752 |
| | Consolidated Communications Holdings Inc. | 148,329 | 2,523 |
| * | Neutral Tandem Inc. | 223,086 | 2,510 |
| | Atlantic Tele-Network Inc. | 59,836 | 2,471 |
47
| | | |
| Vanguard® Extended Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Premiere Global Services Inc. | 382,478 | 2,425 |
| | Alaska Communications Systems Group Inc. | 276,125 | 2,344 |
| | USA Mobility Inc. | 177,445 | 2,293 |
| *,^ | Iridium Communications Inc. | 220,700 | 2,216 |
| * | General Communication Inc. Class A | 280,284 | 2,127 |
| * | Cogent Communications Group Inc. | 277,881 | 2,106 |
| * | Cbeyond Inc. | 163,077 | 2,038 |
| * | IDT Corp. Class B | 126,262 | 1,610 |
| * | Vonage Holdings Corp. | 543,740 | 1,251 |
| * | ICO Global Communications Holdings Ltd. | 670,100 | 1,079 |
| * | 8x8 Inc. | 706,742 | 883 |
| *,^ | FiberTower Corp. | 177,640 | 838 |
| | Warwick Valley Telephone Co. | 48,561 | 683 |
| ^ | HickoryTech Corp. | 98,365 | 664 |
| * | Kratos Defense & Security Solutions Inc. | 62,348 | 655 |
| * | SureWest Communications | 84,138 | 533 |
| * | XETA Technologies Inc. | 174,192 | 531 |
| *,^ | Globalstar Inc. | 257,377 | 396 |
| * | inContact Inc. | 77,834 | 191 |
| *,^ | TerreStar Corp. | 348,400 | 172 |
| * | Arbinet Corp. | 19,279 | 154 |
| * | Towerstream Corp. | 60,110 | 96 |
| * | Multiband Corp. | 33,188 | 53 |
| * | IDT Corp. | 2,456 | 24 |
| | | | 251,569 |
| Utilities (4.2%) | | |
| * | Calpine Corp. | 2,161,664 | 27,496 |
| | National Fuel Gas Co. | 511,066 | 23,448 |
| | NSTAR | 666,383 | 23,323 |
| | OGE Energy Corp. | 606,481 | 22,173 |
| | Alliant Energy Corp. | 691,044 | 21,934 |
| | MDU Resources Group Inc. | 1,173,659 | 21,161 |
| | Energen Corp. | 448,456 | 19,880 |
| | DPL Inc. | 742,021 | 17,734 |
| | AGL Resources Inc. | 485,716 | 17,398 |
| | UGI Corp. | 681,145 | 17,328 |
| | NV Energy Inc. | 1,465,704 | 17,310 |
| | ITC Holdings Corp. | 312,813 | 16,551 |
| | Atmos Energy Corp. | 581,123 | 15,714 |
| | Aqua America Inc. | 854,427 | 15,106 |
| | Westar Energy Inc. | 690,116 | 14,913 |
| | Great Plains Energy Inc. | 845,650 | 14,393 |
| | Hawaiian Electric Industries Inc. | 581,342 | 13,243 |
| | Vectren Corp. | 506,564 | 11,985 |
| | Piedmont Natural Gas Co. Inc. | 447,642 | 11,325 |
| | WGL Holdings Inc. | 315,979 | 10,753 |
| | Cleco Corp. | 378,659 | 10,000 |
| | IDACORP Inc. | 300,129 | 9,985 |
| * | Mirant Corp. | 907,482 | 9,583 |
| | New Jersey Resources Corp. | 257,681 | 9,070 |
| | American Water Works Co. Inc. | 436,018 | 8,982 |
| | Portland General Electric Co. | 469,615 | 8,608 |
| * | RRI Energy Inc. | 2,204,766 | 8,356 |
| | Southwest Gas Corp. | 283,138 | 8,353 |
| | South Jersey Industries Inc. | 186,370 | 8,007 |
| | Northwest Natural Gas Co. | 165,775 | 7,223 |
| | Black Hills Corp. | 244,434 | 6,959 |
| | Unisource Energy Corp. | 225,149 | 6,795 |
| | Avista Corp. | 342,526 | 6,690 |
| | Allete Inc. | 188,037 | 6,438 |
| | PNM Resources Inc. | 540,795 | 6,046 |
| | NorthWestern Corp. | 225,723 | 5,914 |
| * | El Paso Electric Co. | 273,032 | 5,283 |
| | MGE Energy Inc. | 143,210 | 5,161 |
48
| | | | | |
| Vanguard® Extended Market Index Fund | | | | |
| Schedule of Investments | | | | |
| June 30, 2010 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | UIL Holdings Corp. | | | 187,778 | 4,700 |
| | California Water Service Group | | | 130,380 | 4,655 |
| | Laclede Group Inc. | | | 139,004 | 4,605 |
| | Empire District Electric Co. | | | 241,650 | 4,536 |
| | CH Energy Group Inc. | | | 100,875 | 3,958 |
| | American States Water Co. | | | 117,772 | 3,903 |
| | Ormat Technologies Inc. | | | 127,237 | 3,600 |
| * | Dynegy Inc. Class A | | | 645,848 | 2,487 |
| | Chesapeake Utilities Corp. | | | 66,591 | 2,091 |
| | SJW Corp. | | | 83,373 | 1,954 |
| | Southwest Water Co. | | | 160,246 | 1,679 |
| | Middlesex Water Co. | | | 95,528 | 1,514 |
| | Central Vermont Public Service Corp. | | | 71,323 | 1,408 |
| | Connecticut Water Service Inc. | | | 57,326 | 1,205 |
| | York Water Co. | | | 74,208 | 1,054 |
| * | Cadiz Inc. | | | 85,487 | 1,032 |
| | Unitil Corp. | | | 46,862 | 980 |
| | Maine & Maritimes Corp. | | | 20,903 | 926 |
| | Artesian Resources Corp. Class A | | | 33,359 | 616 |
| | Delta Natural Gas Co. Inc. | | | 19,168 | 561 |
| | Pennichuck Corp. | | | 21,887 | 482 |
| *,^ | Raser Technologies Inc. | | | 426,705 | 250 |
| * | Purecycle Corp. | | | 75,236 | 215 |
| * | US Geothermal Inc. | | | 22,427 | 18 |
| * | Synthesis Energy Systems Inc. | | | 2,100 | 2 |
| | | | | | 539,052 |
| |
| Total Common Stocks (Cost $12,948,210) | | | | 12,875,268 |
| |
| |
| | | Coupon | | | |
| |
| Temporary Cash Investments (2.0%)1 | | | | |
| Money Market Fund (2.0%) | | | | |
| 2,3 | Vanguard Market Liquidity Fund | 0.286% | | 252,199,278 | 252,199 |
| |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 4,5 | Fannie Mae Discount Notes | 0.341% | 3/1/11 | 3,000 | 2,993 |
| |
| Total Temporary Cash Investments (Cost $255,193) | | | | 255,192 |
| |
| Total Investments (101.5%) (Cost $13,203,403) | | | | 13,130,460 |
| Other Assets and Liabilities—Net (-1.5%)3 | | | | (193,367) |
| Net Assets (100%) | | | | 12,937,093 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $165,205,000.
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 1.5%, 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 $194,629,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
5 Securities with a value of $2,993,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
49
© 2010 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 982_082010
 |
| Vanguard U.S. Stock Index Funds |
| Large-Capitalization Portfolios |
| Semiannual Report |
|
| June 30, 2010 |
 |
|
| Vanguard Growth Index Fund |
| Vanguard Value Index Fund |
| Vanguard Large-Cap Index Fund |
| Vanguard Total Stock Market Index Fund |
|
|
> For the six months ended June 30, 2010, Vanguard’s four large-capitalization U.S. index funds closely tracked their target indexes.
> The returns for the four funds ranged from about –5% for the Vanguard Value Index Fund to nearly –8% for the Vanguard Growth Index Fund.
> In each fund, every sector posted a negative return. Information technology, energy, and health care stocks were among the market’s worst performers for the half-year.
| |
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 4 |
| Growth Index Fund. | 8 |
| Value Index Fund. | 27 |
| Large-Cap Index Fund. | 46 |
| Total Stock Market Index Fund. | 60 |
| About Your Fund’s Expenses. | 75 |
| Trustees Approve Advisory Arrangement. | 78 |
| Glossary. | 79 |
Growth Index Fund
Value Index Fund
Large-Cap Index Fund
Total Stock Market Index Fund
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
Cover photograph: Veronica Coia.
| |
| Your Fund’s Total Returns | |
| |
| |
| |
| |
| Six Months Ended June 30, 2010 | |
| | Total |
| | Returns |
| Vanguard Growth Index Fund | |
| Investor Shares | -7.90% |
| Admiral™ Shares | -7.84 |
| Signal® Shares | -7.83 |
| Institutional Shares | -7.82 |
| ETF Shares | |
| Market Price | -7.84 |
| Net Asset Value | -7.84 |
| MSCI US Prime Market Growth Index | -7.79 |
| Large-Cap Growth Funds Average | -8.61 |
| Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc. | |
| Vanguard Value Index Fund | |
| Investor Shares | -5.45% |
| Admiral™ Shares | -5.38 |
| Signal® Shares | -5.34 |
| Institutional Shares | -5.31 |
| ETF Shares | |
| Market Price | -5.35 |
| Net Asset Value | -5.34 |
| MSCI US Prime Market Value Index | -5.31 |
| Large-Cap Value Funds Average | -7.19 |
| Large-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
Admiral Shares are a lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. Signal Shares and Institutional Shares are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides 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.
1
| |
| Your Fund’s Total Returns | |
| |
| |
| |
| |
| Six Months Ended June 30, 2010 | |
| | Total |
| | Returns |
| Vanguard Large-Cap Index Fund | |
| Investor Shares | -6.68% |
| Admiral™ Shares | -6.57 |
| Signal® Shares | -6.58 |
| Institutional Shares | -6.57 |
| ETF Shares | |
| Market Price | -6.60 |
| Net Asset Value | -6.58 |
| MSCI US Prime Market 750 Index | -6.55 |
| Large-Cap Core Funds Average | -7.89 |
| Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
| Vanguard Total Stock Market Index Fund | |
| Investor Shares | -6.00% |
| Admiral™ Shares | -5.95 |
| Signal® Shares | -5.97 |
| Institutional Shares | -5.94 |
| ETF Shares | |
| Market Price | -6.00 |
| Net Asset Value | -5.96 |
| MSCI US Broad Market Index | -5.94 |
| Multi-Cap Core Funds Average | -6.32 |
| Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Admiral Shares are a lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. Signal Shares and Institutional Shares are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides 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
| | | | |
| Your Fund’s Performance at a Glance | | |
| |
| |
| |
| |
| December 31, 2009 , Through June 30, 2010 | | | | |
| | | | Distributions Per Share |
| | Starting | Ending | Income | Capital |
| | Share Price | Share Price | Dividends | Gains |
| Vanguard Growth Index Fund | | | | |
| Investor Shares | $27.32 | $25.04 | $0.133 | $0.000 |
| Admiral Shares | 27.32 | 25.04 | 0.153 | 0.000 |
| Signal Shares | 25.30 | 23.19 | 0.141 | 0.000 |
| Institutional Shares | 27.32 | 25.04 | 0.158 | 0.000 |
| ETF Shares | 53.08 | 48.65 | 0.294 | 0.000 |
| Vanguard Value Index Fund | | | | |
| Investor Shares | $18.63 | $17.42 | $0.212 | $0.000 |
| Admiral Shares | 18.63 | 17.42 | 0.226 | 0.000 |
| Signal Shares | 19.38 | 18.13 | 0.234 | 0.000 |
| Institutional Shares | 18.63 | 17.43 | 0.229 | 0.000 |
| ETF Shares | 47.75 | 44.66 | 0.577 | 0.000 |
| Vanguard Large-Cap Index Fund | | | | |
| Investor Shares | $20.47 | $18.95 | $0.167 | $0.000 |
| Admiral Shares | 25.59 | 23.70 | 0.228 | 0.000 |
| Signal Shares | 22.32 | 20.67 | 0.198 | 0.000 |
| Institutional Shares | 105.33 | 97.54 | 0.955 | 0.000 |
| ETF Shares | 50.67 | 46.92 | 0.450 | 0.000 |
| Vanguard Total Stock Market Index Fund | | | | |
| Investor Shares | $27.45 | $25.59 | $0.231 | $0.000 |
| Admiral Shares | 27.45 | 25.59 | 0.246 | 0.000 |
| Signal Shares | 26.50 | 24.70 | 0.238 | 0.000 |
| Institutional Shares | 27.46 | 25.60 | 0.248 | 0.000 |
| ETF Shares | 56.39 | 52.56 | 0.505 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
Gains made in the U.S. stock market in the first quarter quickly dissipated in the second quarter as fear of a global economic slowdown rattled investors. For the half-year ended June 30, 2010, the returns of Vanguard’s large-cap index funds ranged from about –5% for Vanguard Value Index Fund to nearly –8% for Vanguard Growth Index Fund. The returns of Vanguard Total Stock Market Index Fund (–6% for Investor Shares) and Vanguard Large-Cap Index Fund (about –7%), both of which hold growth and value stocks, fell in between.
Despite the volatile market environment, Vanguard’s four large-cap index funds met their primary objective of closely tracking their target indexes. Returns for three of the funds were ahead of their peer-group averages; one fund was in line with its peer group.
Sovereign debt worries pulled down stock returns
After pulling back a bit in January from 2009’s strong gains, stocks rose steadily as winter turned to spring. Rapid growth in corporate earnings and optimism about the strength of the economic recovery were dominant themes. But in May, the scope of Europe’s fiscal challenges became clearer, and stock prices retreated sharply. For the full six months, U.S. stocks returned about –6%. Small-capitalization stocks, representing companies less exposed to global turmoil than large-cap multinationals, lost less ground than larger stocks.
4
International stocks also posted negative six-month returns. For U.S.-based investors, a strengthening U.S. dollar further reduced the returns from non-U.S. stocks, particularly in Europe, where the euro fell noticeably in value.
Bonds continued to show strength as investors looked for safer assets
With the economic recovery appearing to decelerate and inflation remaining dormant, bonds stayed in favor throughout the period. As worries persisted about possible fallout from Europe’s sovereign debt problems, many investors sought safety in U.S. Treasuries. Higher-quality corporate bonds also performed well as earnings reports indicated that company balance sheets remained in good shape.
Municipal bonds, with their history of low default rates, also held their ground despite ongoing concerns about deficits confronting many state and local governments. In this risk-averse environment, lower-rated, higher-risk corporate bonds lagged a bit. For the full six months, the broad taxable market returned more than 5%; tax-exempt municipal securities returned more than 3%.
Value stocks prevailed as the market declined
Although each of Vanguard’s four large-cap index funds successfully tracked its target index over the six months, the results were no doubt disappointing for investors. The funds recorded their weakest six-month stretch since the stock market rally in
| | | |
| Market Barometer | | | |
| |
| | | | Total Returns |
| | | Periods Ended June 30, 2010 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | -6.40% | 15.24% | -0.56% |
| Russell 2000 Index (Small-caps) | -1.95 | 21.48 | 0.37 |
| Dow Jones U.S. Total Stock Market Index | -5.67 | 16.20 | -0.08 |
| MSCI All Country World Index ex USA (International) | -10.80 | 10.87 | 3.84 |
| |
| Bonds | | | |
| Barclays Capital U.S. Aggregate Bond Index (Broad | | | |
| taxable market) | 5.33% | 9.50% | 5.54% |
| Barclays Capital Municipal Bond Index | 3.31 | 9.61 | 4.40 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.12 | 2.63 |
| |
| CPI | | | |
| Consumer Price Index | 0.93% | 1.05% | 2.30% |
5
March 2009. The Value Index Fund held up better than the others, while the Growth Index Fund was hardest hit.
Among the four funds, the Value Index Fund benefited the most from having limited exposure to information technology stocks, which fell precipitously in the second quarter, dragging down the Growth, Large-Cap, and Total Stock Market Index Funds. The Growth Index Fund had the largest slice of technology stocks, representing about 35% of its assets, on average. Despite stronger earnings at the beginning of the year, internet software-related companies, as well as those that sell communication equipment, fell from favor as investors worried about the strength of the economic recovery.
The Value Index Fund’s sizable assets in energy, health care, and financials detracted most from its results. These sectors also took a large chunk away from the returns of the Large-Cap, Total Stock Market, and (to a lesser extent) Growth Index Funds. Energy stocks slumped as integrated oil and gas companies coped with the aftermath of the BP oil spill in the Gulf of Mexico and the prospect of tougher government regulation. Health care stocks declined amid looming patent expirations, drug recalls, and overall discomfort with health care reform legislation. Financials, the largest sector in the Value Index Fund, had weak results as investment banks and financial services firms came under intense regulatory scrutiny following the global credit crisis.
| | | | | | |
| Expense Ratios | | | | | | |
| Your Fund Compared With Its Peer Group | | | | | | |
| | | | | | | Peer |
| | Investor | Admiral | Signal | Institutional | ETF | Group |
| | Shares | Shares | Shares | Shares | Shares | Average |
| Growth Index Fund | 0.28% | 0.14% | 0.14% | 0.08% | 0.14% | 1.37% |
| Value Index Fund | 0.26 | 0.14 | 0.14 | 0.08 | 0.14 | 1.28 |
| Large-Cap Index Fund | 0.26 | 0.12 | 0.12 | 0.08 | 0.12 | 1.27 |
| Total Stock Market Index Fund | 0.18 | 0.07 | 0.07 | 0.06 | 0.07 | 1.20 |
The fund expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the funds’ net assets as of the prospectus date. For the six months ended June 30, 2010, the funds’ annualized expense ratios were: for the Growth Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; for the Value Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; for the Large-Cap Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; and for the Total Stock Market Index Fund, 0.17% for Investor Shares, 0.07% for Admiral Shares, 0.07% for Signal Shares, 0.06% 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 2009.
Peer groups: For the Growth Index Fund, Large-Cap Growth Funds; for the Value Index Fund, Large-Cap Value Funds; for the Large-Cap Index Fund, Large-Cap Core Funds; for the Total Stock Market Index Fund, Multi-Cap Core Funds.
6
The Large-Cap Index Fund, which includes the stocks in the Growth and Value Index Funds, performed better than the Growth Index Fund, but slightly worse than the Total Stock Market Index Fund.
Although the Total Stock Market Index Fund is heavily weighted in large-cap stocks, mid- and small-cap companies are also represented. For the period, the smaller-cap companies performed better than their large-cap counterparts. While the fund’s assets are more diversified than those of the other large-cap funds, it too succumbed to declines in all sectors.
Throughout the period, the funds’ advisor, Vanguard Quantitative Equity Group, relied on its skilled portfolio management and sophisticated risk-control and trading systems to deliver market-tracking results.
Diversification is key in uncertain market conditions
The stock market’s sudden decline during the past six months took many investors by surprise. Yet the unpredictable movements of the stock market should not come as a shock, nor should they necessarily affect your investment strategy.
Nobody can predict how the markets will perform for the remainder of the year. What we can try to do is develop a portfolio that is consistent with our long-term goals, time horizon, and tolerance for the market’s unavoidable peaks and valleys.
While it is impossible to completely shield yourself from the gyrations of the market, you can help protect your assets by maintaining a balanced portfolio of stock, bond, and money market funds and diversifying your portfolio within the different asset classes.
Vanguard’s large-cap index funds can play a valuable role in such a balanced portfolio. They offer broad diversification and a low-cost way to gain exposure to the biggest companies in the U.S. stock market.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 12, 2010
7
Growth Index Fund
Fund Profile
As of June 30, 2010
| | | | | |
| Share-Class Characteristics | | | | | |
| | Investor | Admiral | Signal | Institutional | ETF |
| | Shares | Shares | Shares | Shares | Shares |
| Ticker Symbol | VIGRX | VIGAX | VIGSX | VIGIX | VUG |
| Expense Ratio1 | 0.28% | 0.14% | 0.14% | 0.08% | 0.14% |
| 30-Day SEC Yield | 1.01% | 1.15% | 1.15% | 1.19% | 1.15% |
| | | |
| Portfolio Characteristics | | |
| | | MSCI US | |
| | | Prime | DJ |
| | | Market | U.S. Total |
| | | Growth | Market |
| | Fund | Index | Index |
| Number of Stocks | 428 | 427 | 4,114 |
| Median Market Cap $28.5B | $28.5B | $25.2B |
| Price/Earnings Ratio | 17.7x | 17.7x | 17.6x |
| Price/Book Ratio | 3.0x | 3.0x | 1.9x |
| Return on Equity | 24.5% | 24.3% | 19.1% |
| Earnings Growth Rate 14.3% | 14.3% | 6.6% |
| Dividend Yield | 1.4% | 1.4% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 27% | — | — |
| Short-Term Reserves | 0.1% | — | — |
| |
| |
| Volatility Measures | | | |
| | MSCI US | DJ |
| | Prime Market | U.S. Total |
| | Growth | Market |
| | | Index | Index |
| R-Squared | | 1.00 | 0.96 |
| Beta | | 1.00 | 0.95 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
| | |
| Apple Inc. | Computer | |
| | Hardware | 4.5% |
| Microsoft Corp. | Systems Software | 3.6 |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 3.2 |
| Cisco Systems Inc. | Communications | |
| | Equipment | 2.4 |
| Wal-Mart Stores Inc. | Hypermarkets & | |
| | Super Centers | 2.2 |
| Google Inc. Class A | Internet Software & | |
| | Services | 2.2 |
| Coca-Cola Co. | Soft Drinks | 2.1 |
| Hewlett-Packard Co. | Computer | |
| | Hardware | 2.0 |
| Exxon Mobil Corp. | Integrated Oil & | |
| | Gas | 2.0 |
| PepsiCo Inc. | Soft Drinks | 2.0 |
| Top Ten | | 26.2% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares.
8
Growth Index Fund
Sector Diversification (% of equity exposure)
| | | |
| | | MSCI US | |
| | | Prime | DJ |
| | | Market | U.S. Total |
| | | Growth | Market |
| | Fund | Index | Index |
| Consumer | | | |
| Discretionary | 13.9% | 13.9% | 11.4% |
| Consumer Staples | 12.7 | 12.7 | 10.4 |
| Energy | 8.1 | 8.1 | 9.4 |
| Financials | 5.1 | 5.1 | 17.5 |
| Health Care | 11.3 | 11.3 | 11.7 |
| Industrials | 10.1 | 10.1 | 10.8 |
| Information | | | |
| Technology | 33.4 | 33.4 | 18.7 |
| Materials | 4.3 | 4.3 | 3.9 |
| Telecommunication | | | |
| Services | 0.8 | 0.8 | 2.7 |
| Utilities | 0.3 | 0.3 | 3.5 |
Investment Focus
9
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.
Fiscal-Year Total Returns (%): December 31, 1999, Through June 30, 2010
| | | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | | |
| |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Investor Shares | 11/2/1992 | 13.40% | 0.27% | -3.79% |
| Admiral Shares | 11/13/2000 | 13.57 | 0.39 | -1.851 |
| Signal Shares | 6/4/2007 | 13.58 | — | -7.171 |
| Institutional Shares | 5/14/1998 | 13.62 | 0.43 | -3.65 |
| ETF Shares | 1/26/2004 | | | |
| Market Price | | 13.60 | 0.41 | 0.481 |
| Net Asset Value | | 13.58 | 0.39 | 0.481 |
1 Return since inception.
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
10
Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2010
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at 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 (13.9%) | |
| | McDonald’s Corp. | 3,171,640 | 208,916 |
| * | Amazon.com Inc. | 1,048,268 | 114,534 |
| | Target Corp. | 2,085,123 | 102,525 |
| * | DIRECTV Class A | 2,692,174 | 91,319 |
| * | Ford Motor Co. | 8,747,833 | 88,178 |
| | Lowe’s Cos. Inc. | 4,300,638 | 87,819 |
| | NIKE Inc. Class B | 1,112,965 | 75,181 |
| | Walt Disney Co. | 1,900,893 | 59,878 |
| | Yum! Brands Inc. | 1,383,209 | 54,000 |
| | Starbucks Corp. | 2,191,295 | 53,248 |
| | Johnson Controls Inc. | 1,979,977 | 53,202 |
| | TJX Cos. Inc. | 1,237,088 | 51,896 |
| | Home Depot Inc. | 1,754,232 | 49,241 |
| * | Kohl’s Corp. | 858,771 | 40,792 |
| | Staples Inc. | 2,133,785 | 40,649 |
| | Best Buy Co. Inc. | 1,047,331 | 35,463 |
| | Coach Inc. | 926,367 | 33,859 |
| | Omnicom Group Inc. | 915,084 | 31,387 |
| * | Bed Bath & Beyond Inc. | 772,206 | 28,633 |
| | McGraw-Hill Cos. Inc. | 930,876 | 26,195 |
| | Marriott International Inc. | | |
| | Class A | 845,500 | 25,314 |
| * | priceline.com Inc. | 134,318 | 23,713 |
| * | Las Vegas Sands Corp. | 973,560 | 21,555 |
| | Ross Stores Inc. | 365,292 | 19,466 |
| * | O’Reilly Automotive Inc. | 405,651 | 19,293 |
| | Wynn Resorts Ltd. | 235,832 | 17,987 |
| | Viacom Inc. Class B | 572,845 | 17,970 |
| | News Corp. Class B | 1,294,624 | 17,931 |
| | Cablevision Systems Corp. | | |
| | Class A | 730,001 | 17,527 |
| * | Apollo Group Inc. Class A | 409,605 | 17,396 |
| * | AutoZone Inc. | 87,537 | 16,914 |
| | Nordstrom Inc. | 513,591 | 16,532 |
| * | Dollar Tree Inc. | 390,405 | 16,253 |
| | Virgin Media Inc. | 922,339 | 15,394 |
| | Harley-Davidson Inc. | 690,604 | 15,352 |
| | Family Dollar Stores Inc. | 387,492 | 14,605 |
| | | |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| * | Discovery Communications | |
| | Inc. Class A | 398,605 | 14,234 |
| * | NetFlix Inc. | 130,761 | 14,207 |
| | Advance Auto Parts Inc. | 279,060 | 14,003 |
| | Tiffany & Co. | 366,811 | 13,906 |
| | Gap Inc. | 711,782 | 13,851 |
| | International Game | | |
| | Technology | 874,544 | 13,730 |
| | Polo Ralph Lauren Corp. | | |
| | Class A | 187,420 | 13,674 |
| * | Urban Outfitters Inc. | 397,316 | 13,664 |
| * | CarMax Inc. | 656,832 | 13,071 |
| | Comcast Corp. | 789,246 | 12,967 |
| * | Discovery | | |
| | Communications Inc. | 417,655 | 12,918 |
| * | BorgWarner Inc. | 344,623 | 12,868 |
| * | Chipotle Mexican Grill Inc. | | |
| | Class A | 92,939 | 12,715 |
| * | Autoliv Inc. | 250,972 | 12,009 |
| | Expedia Inc. | 622,613 | 11,693 |
| * | Liberty Global Inc. | 448,564 | 11,658 |
| | Starwood Hotels & Resorts | |
| | Worldwide Inc. | 275,273 | 11,405 |
| | PetSmart Inc. | 364,403 | 10,994 |
| * | Sirius XM Radio Inc. | 11,449,221 | 10,871 |
| | Scripps Networks | | |
| | Interactive Inc. Class A | 266,763 | 10,761 |
| ^ | Garmin Ltd. | 354,141 | 10,334 |
| * | Interpublic Group of | | |
| | Cos. Inc. | 1,431,892 | 10,209 |
| | DeVry Inc. | 188,743 | 9,907 |
| * | ITT Educational | | |
| | Services Inc. | 104,541 | 8,679 |
| * | Lear Corp. | 129,561 | 8,577 |
| ^ | Strayer Education In c. | 41,131 | 8,551 |
| | Abercrombie & Fitch Co. | 259,245 | 7,956 |
| * | Liberty Global Inc. Class A | 300,961 | 7,822 |
| * | LKQ Corp. | 398,497 | 7,683 |
| * | Liberty Media Corp.–Starz | 145,615 | 7,549 |
| | DISH Network Corp. | | |
| | Class A | 399,210 | 7,246 |
11
| | | |
| Growth Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| | Washington Post Co. | | |
| | Class B | 17,616 | 7,231 |
| * | Dollar General Corp. | 251,071 | 6,917 |
| | Whirlpool Corp. | 77,137 | 6,774 |
| | JC Penney Co. Inc. | 313,019 | 6,724 |
| * | Harman International | | |
| | Industries Inc. | 204,945 | 6,126 |
| *,^ | Sears Holdings Corp. | 87,936 | 5,685 |
| * | GameStop Corp. Class A | 300,341 | 5,643 |
| | Guess? Inc. | 177,142 | 5,534 |
| * | Liberty Media Corp.– | | |
| | Capital | 125,867 | 5,275 |
| | Burger King Holdings Inc. | 279,487 | 4,707 |
| * | Goodyear Tire & Rubber Co. 441,539 | 4,389 |
| * | TRW Automotive | | |
| | Holdings Corp. | 158,134 | 4,360 |
| * | NVR Inc. | 6,001 | 3,931 |
| * | MGM Resorts International | 390,724 | 3,767 |
| | American Eagle | | |
| | Outfitters Inc. | 291,406 | 3,424 |
| * | Royal Caribbean Cruises Ltd. 143,580 | 3,269 |
| * | Pulte Group Inc. | 354,975 | 2,939 |
| | Wendy’s/Arby’s Group Inc. | | |
| | Class A | 710,873 | 2,843 |
| * | Toll Brothers Inc. | 145,249 | 2,376 |
| * | Lamar Advertising Co. | | |
| | Class A | 85,108 | 2,087 |
| | Weight Watchers | | |
| | International Inc. | 50,924 | 1,308 |
| * | Education | | |
| | Management Corp. | 63,018 | 961 |
| * | Clear Channel Outdoor | | |
| | Holdings Inc. Class A | 59,625 | 518 |
| * | Krispy Kreme Doughnuts Inc. | |
| | Warrants Exp. 3/2/2012 | 3,500 | — |
| | | | 2,066,617 |
| Consumer Staples (12.7%) | | |
| | Wal-Mart Stores Inc. | 6,738,804 | 323,934 |
| | Coca-Cola Co. | 6,115,348 | 306,501 |
| | PepsiCo Inc. | 4,797,235 | 292,391 |
| | Philip Morris | | |
| | International Inc. | 5,544,514 | 254,161 |
| | Colgate-Palmolive Co. | 1,455,398 | 114,627 |
| | Walgreen Co. | 2,903,981 | 77,536 |
| | Costco Wholesale Corp. | 1,294,959 | 71,003 |
| | General Mills Inc. | 1,942,685 | 69,004 |
| | CVS Caremark Corp. | 2,049,404 | 60,089 |
| | Kellogg Co. | 785,418 | 39,507 |
| | Kroger Co. | 1,819,823 | 35,832 |
| | Avon Products Inc. | 1,260,090 | 33,392 |
| | Clorox Co. | 413,369 | 25,695 |
| | Coca-Cola Enterprises Inc. | 869,526 | 22,486 |
| | HJ Heinz Co. | 466,099 | 20,145 |
| | Mead Johnson Nutrition Co. 391,745 | 19,634 |
| | Estee Lauder Cos. Inc. | | |
| | Class A | 333,106 | 18,564 |
| | | |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| * | Whole Foods Market Inc. | 427,046 | 15,382 |
| | Hershey Co. | 304,479 | 14,594 |
| | Campbell Soup Co. | 394,170 | 14,123 |
| | Dr Pepper Snapple | | |
| | Group Inc. | 374,456 | 14,001 |
| * | Energizer Holdings Inc. | 195,662 | 9,838 |
| | Brown-Forman Corp. | | |
| | Class B | 158,451 | 9,068 |
| * | Hansen Natural Corp. | 220,814 | 8,636 |
| | Flowers Foods Inc. | 244,469 | 5,972 |
| | Hormel Foods Corp. | 75,729 | 3,066 |
| | | | 1,879,181 |
| Energy (8.0%) | | |
| | Exxon Mobil Corp. | 5,257,774 | 300,061 |
| | Schlumberger Ltd. | 3,524,346 | 195,037 |
| | EOG Resources Inc. | 744,505 | 73,237 |
| | Baker Hughes Inc. | 1,266,001 | 52,628 |
| | Anadarko Petroleum Corp. | 1,451,861 | 52,398 |
| | Halliburton Co. | 1,734,135 | 42,573 |
| * | Southwestern Energy Co. | 1,020,124 | 39,418 |
| | Peabody Energy Corp. | 792,402 | 31,007 |
| * | Weatherford | | |
| | International Ltd. | 2,175,305 | 28,584 |
| | Smith International Inc. | 732,142 | 27,565 |
| * | Cameron | | |
| | International Corp. | 720,826 | 23,441 |
| | El Paso Corp. | 2,067,188 | 22,967 |
| * | Transocean Ltd. | 474,153 | 21,968 |
| | Consol Energy Inc. | 647,367 | 21,855 |
| | National Oilwell Varco Inc. | 616,982 | 20,404 |
| | Pioneer Natural | | |
| | Resources Co. | 340,578 | 20,247 |
| * | Ultra Petroleum Corp. | 448,391 | 19,841 |
| * | FMC Technologies Inc. | 360,296 | 18,973 |
| | Range Resources Corp. | 469,106 | 18,835 |
| * | Petrohawk Energy Corp. | 887,866 | 15,067 |
| ^ | Diamond Offshore | | |
| | Drilling Inc. | 204,894 | 12,742 |
| * | Concho Resources Inc. | 228,853 | 12,662 |
| * | Alpha Natural | | |
| | Resources Inc. | 354,411 | 12,004 |
| * | Whiting Petroleum Corp. | 149,942 | 11,758 |
| | Noble Corp. | 379,488 | 11,730 |
| | Helmerich & Payne Inc. | 311,796 | 11,387 |
| | Noble Energy Inc. | 179,982 | 10,858 |
| | EXCO Resources Inc. | 531,194 | 7,761 |
| * | Dresser-Rand Group Inc. | 243,238 | 7,674 |
| | Massey Energy Co. | 280,557 | 7,673 |
| * | Oceaneering | | |
| | International Inc. | 161,840 | 7,267 |
| * | Kinder Morgan | | |
| | Management LLC | 115,431 | 6,532 |
| | Cabot Oil & Gas Corp. | 198,869 | 6,229 |
| * | Denbury Resources Inc. | 389,911 | 5,708 |
| * | Continental Resources Inc. | 100,337 | 4,477 |
| * | Quicksilver Resources Inc. | 348,587 | 3,834 |
12
| | | |
| Growth Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| * | Rowan Cos. Inc. | 117,628 | 2,581 |
| | Tesoro Corp. | 207,050 | 2,416 |
| * | Cobalt International | | |
| | Energy Inc. | 197,432 | 1,471 |
| | | | 1,192,870 |
| Financials (5.1%) | | |
| | American Express Co. | 3,174,815 | 126,040 |
| | CME Group Inc. | 196,444 | 55,309 |
| | Capital One Financial Corp. | 1,341,991 | 54,082 |
| | State Street Corp. | 1,460,193 | 49,384 |
| | Charles Schwab Corp. | 2,987,111 | 42,357 |
| | Franklin Resources Inc. | 470,832 | 40,581 |
| | Aflac Inc. | 898,864 | 38,355 |
| | Public Storage | 425,028 | 37,364 |
| | Simon Property Group Inc. | 427,353 | 34,509 |
| | T Rowe Price Group Inc. | 763,594 | 33,896 |
| | Northern Trust Corp. | 641,403 | 29,953 |
| | Discover Financial | | |
| | Services | 1,602,680 | 22,405 |
| * | Intercontinental-Exchange | | |
| | Inc. | 184,368 | 20,839 |
| *,^ | CIT Group Inc. | 560,212 | 18,969 |
| | Progressive Corp. | 658,192 | 12,321 |
| | SunTrust Banks Inc. | 515,100 | 12,002 |
| | Moody’s Corp. | 593,460 | 11,822 |
| * | TD Ameritrade | | |
| | Holding Corp. | 694,918 | 10,632 |
| | Boston Properties Inc. | 143,324 | 10,225 |
| * | CB Richard Ellis Group Inc. | | |
| | Class A | 733,536 | 9,983 |
| | Eaton Vance Corp. | 345,408 | 9,537 |
| | Host Hotels & Resorts Inc. | 650,944 | 8,775 |
| | SEI Investments Co. | 391,667 | 7,974 |
| * | Affiliated Managers | | |
| | Group Inc. | 124,684 | 7,577 |
| | Brown & Brown Inc. | 355,880 | 6,812 |
| | Comerica Inc. | 179,488 | 6,611 |
| * | St. Joe Co. | 272,785 | 6,318 |
| | Hudson City Bancorp Inc. | 489,885 | 5,996 |
| | Digital Realty Trust Inc. | 87,617 | 5,054 |
| | Janus Capital Group Inc. | 542,105 | 4,814 |
| | Greenhill & Co. Inc. | 73,704 | 4,505 |
| | Zions Bancorporation | 155,486 | 3,354 |
| * | First Horizon National Corp. | 235,828 | 2,700 |
| | City National Corp. | 47,671 | 2,442 |
| | TFS Financial Corp. | 177,435 | 2,202 |
| * | CBOE Holdings Inc. | 22,338 | 727 |
| | | | 756,426 |
| Health Care (11.3%) | | |
| * | Amgen Inc. | 2,932,958 | 154,274 |
| | Medtronic Inc. | 3,256,151 | 118,101 |
| * | Gilead Sciences Inc. | 2,652,726 | 90,935 |
| * | Medco Health | | |
| | Solutions Inc. | 1,367,875 | 75,343 |
| | Abbott Laboratories | 1,601,857 | 74,935 |
| * | Express Scripts Inc. | 1,541,757 | 72,493 |
| | | |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| | Baxter International Inc. | 1,776,465 | 72,196 |
| * | Celgene Corp. | 1,355,121 | 68,867 |
| | McKesson Corp. | 794,079 | 53,330 |
| | Allergan Inc. | 896,035 | 52,203 |
| | Becton Dickinson and Co. | 694,665 | 46,973 |
| | Stryker Corp. | 879,936 | 44,050 |
| * | Genzyme Corp. | 782,208 | 39,713 |
| * | Biogen Idec Inc. | 794,893 | 37,718 |
| * | Intuitive Surgical Inc. | 113,498 | 35,822 |
| | Cardinal Health Inc. | 1,065,451 | 35,810 |
| * | St. Jude Medical Inc. | 985,263 | 35,558 |
| * | Zimmer Holdings Inc. | 597,805 | 32,311 |
| * | Hospira Inc. | 483,102 | 27,754 |
| | AmerisourceBergen Corp. | | |
| | Class A | 832,283 | 26,425 |
| * | Life Technologies Corp. | 533,047 | 25,186 |
| * | Laboratory Corp. of | | |
| | America Holdings | 308,515 | 23,247 |
| | Quest Diagnostics Inc. | 448,428 | 22,318 |
| | CR Bard Inc. | 282,084 | 21,870 |
| * | Vertex Pharmaceuticals Inc. | 591,214 | 19,451 |
| * | Varian Medical Systems Inc. | 365,320 | 19,099 |
| * | DaVita Inc. | 304,321 | 19,002 |
| * | Edwards Lifesciences Corp. | 333,555 | 18,686 |
| * | Waters Corp. | 275,872 | 17,849 |
| * | Millipore Corp. | 165,228 | 17,622 |
| * | Cerner Corp. | 205,119 | 15,566 |
| * | Illumina Inc. | 354,739 | 15,442 |
| * | Mylan Inc. | 904,001 | 15,404 |
| * | Henry Schein Inc. | 267,279 | 14,674 |
| | Perrigo Co. | 241,949 | 14,292 |
| * | ResMed Inc. | 221,635 | 13,478 |
| * | Alexion | | |
| | Pharmaceuticals Inc. | 262,718 | 13,448 |
| * | Watson | | |
| | Pharmaceuticals Inc. | 309,580 | 12,560 |
| * | Human Genome | | |
| | Sciences Inc. | 552,169 | 12,512 |
| | Beckman Coulter Inc. | 205,861 | 12,411 |
| | DENTSPLY International Inc. | 412,331 | 12,333 |
| * | Mettler-Toledo | | |
| | International Inc. | 99,632 | 11,122 |
| * | IDEXX Laboratories Inc. | 171,289 | 10,431 |
| * | Covance Inc. | 188,692 | 9,684 |
| * | Lincare Holdings Inc. | 290,559 | 9,446 |
| * | Community Health | | |
| | Systems Inc. | 274,372 | 9,276 |
| * | Dendreon Corp. | 256,985 | 8,308 |
| * | Cephalon Inc. | 143,544 | 8,146 |
| * | Amylin Pharmaceuticals Inc. | 421,202 | 7,919 |
| | Patterson Cos. Inc. | 270,711 | 7,723 |
| * | Warner Chilcott PLC | | |
| | Class A | 333,520 | 7,621 |
| * | Gen-Probe Inc. | 145,726 | 6,619 |
| * | CareFusion Corp. | 278,055 | 6,312 |
| | Techne Corp. | 104,512 | 6,004 |
13
| | | |
| Growth Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| * | Bio-Rad Laboratories Inc. | | |
| | Class A | 56,224 | 4,863 |
| * | Myriad Genetics Inc. | 284,746 | 4,257 |
| * | Endo Pharmaceuticals | | |
| | Holdings Inc. | 121,184 | 2,644 |
| * | Abraxis Bioscience Inc. | 23,668 | 1,756 |
| | | | 1,673,392 |
| Industrials (10.1%) | | |
| | Boeing Co. | 2,008,189 | 126,014 |
| | United Parcel Service Inc. | | |
| | Class B | 2,104,450 | 119,722 |
| | Caterpillar Inc. | 1,841,454 | 110,616 |
| | Union Pacific Corp. | 1,489,428 | 103,530 |
| | Emerson Electric Co. | 2,217,965 | 96,903 |
| | Deere & Co. | 1,245,708 | 69,361 |
| | FedEx Corp. | 876,171 | 61,428 |
| | Danaher Corp. | 1,620,974 | 60,171 |
| | Norfolk Southern Corp. | 1,089,583 | 57,802 |
| | Precision Castparts Corp. | 417,528 | 42,972 |
| | PACCAR Inc. | 966,385 | 38,530 |
| | Cummins Inc. | 563,829 | 36,722 |
| | Honeywell International Inc. | 749,511 | 29,253 |
| | CH Robinson | | |
| | Worldwide Inc. | 491,513 | 27,358 |
| * | Delta Air Lines Inc. | 2,315,420 | 27,206 |
| | Rockwell Collins Inc. | 463,564 | 24,629 |
| | Lockheed Martin Corp. | 329,181 | 24,524 |
| | ITT Corp. | 511,806 | 22,990 |
| | Fluor Corp. | 527,239 | 22,408 |
| | Expeditors International | | |
| | of Washington Inc. | 625,502 | 21,586 |
| | Fastenal Co. | 391,249 | 19,637 |
| | WW Grainger Inc. | 181,391 | 18,039 |
| | Southwest Airlines Co. | 1,424,130 | 15,822 |
| * | Stericycle Inc. | 237,490 | 15,575 |
| | Roper Industries Inc. | 276,145 | 15,453 |
| | Joy Global Inc. | 303,383 | 15,196 |
| * | McDermott | | |
| | International Inc. | 678,463 | 14,696 |
| | Flowserve Corp. | 164,312 | 13,934 |
| | Textron Inc. | 803,599 | 13,637 |
| * | Jacobs Engineering | | |
| | Group Inc. | 367,190 | 13,380 |
| | Parker Hannifin Corp. | 237,114 | 13,150 |
| | AMETEK Inc. | 318,298 | 12,780 |
| * | Quanta Services Inc. | 616,555 | 12,732 |
| | Iron Mountain Inc. | 540,066 | 12,130 |
| * | Kansas City Southern | 300,048 | 10,907 |
| | Bucyrus International Inc. | | |
| | Class A | 226,749 | 10,759 |
| | Rockwell Automation Inc. | 210,351 | 10,326 |
| | Dun & Bradstreet Corp. | 150,455 | 10,099 |
| | Robert Half | | |
| | International Inc. | 416,024 | 9,797 |
| * | Navistar International Corp. | 187,842 | 9,242 |
| | Donaldson Co. Inc. | 215,963 | 9,211 |
| | | |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| | JB Hunt Transport | | |
| | Services Inc. | 281,400 | 9,193 |
| * | Verisk Analytics Inc. | | |
| | Class A | 296,648 | 8,870 |
| * | Shaw Group Inc. | 246,424 | 8,433 |
| * | Foster Wheeler AG | 375,729 | 7,913 |
| * | Copart Inc. | 210,767 | 7,548 |
| * | IHS Inc. Class A | 121,403 | 7,092 |
| | MSC Industrial Direct Co. | | |
| | Class A | 132,007 | 6,687 |
| * | Covanta Holding Corp. | 388,073 | 6,438 |
| * | Alliant Techsystems Inc. | 97,368 | 6,043 |
| * | FTI Consulting Inc. | 137,096 | 5,976 |
| | Pall Corp. | 172,854 | 5,941 |
| | Manpower Inc. | 124,795 | 5,389 |
| * | AMR Corp. | 638,161 | 4,327 |
| | SPX Corp. | 73,342 | 3,873 |
| * | Hertz Global Holdings Inc. | 333,003 | 3,150 |
| * | Terex Corp. | 159,927 | 2,997 |
| * | Sensata Technologies | | |
| | Holding NV | 100,592 | 1,608 |
| | | | 1,501,705 |
| Information Technology (33.5%) | |
| * | Apple Inc. | 2,673,009 | 672,342 |
| | Microsoft Corp. | 23,267,818 | 535,392 |
| | International Business | | |
| | Machines Corp. | 3,829,087 | 472,816 |
| * | Cisco Systems Inc. | 16,877,762 | 359,665 |
| * | Google Inc. Class A | 718,871 | 319,862 |
| | Hewlett-Packard Co. | 6,939,213 | 300,329 |
| | Oracle Corp. | 11,817,439 | 253,602 |
| | QUALCOMM Inc. | 4,953,880 | 162,685 |
| | Intel Corp. | 5,699,065 | 110,847 |
| * | EMC Corp. | 6,050,864 | 110,731 |
| | Visa Inc. Class A | 1,383,307 | 97,869 |
| | Texas Instruments Inc. | 3,660,726 | 85,222 |
| | Accenture PLC Class A | 1,864,161 | 72,050 |
| * | eBay Inc. | 3,446,101 | 67,578 |
| * | Dell Inc. | 5,190,831 | 62,601 |
| | Automatic Data | | |
| | Processing Inc. | 1,488,029 | 59,908 |
| | Mastercard Inc. Class A | 292,993 | 58,461 |
| * | Yahoo! Inc. | 3,920,985 | 54,227 |
| * | Cognizant Technology | | |
| | Solutions Corp. Class A | 877,301 | 43,918 |
| | Broadcom Corp. Class A | 1,292,638 | 42,618 |
| * | Adobe Systems Inc. | 1,544,875 | 40,831 |
| * | NetApp Inc. | 998,959 | 37,271 |
| | Corning Inc. | 2,297,426 | 37,103 |
| * | Juniper Networks Inc. | 1,536,277 | 35,058 |
| * | Symantec Corp. | 2,376,471 | 32,985 |
| * | Intuit Inc. | 886,923 | 30,838 |
| | Western Union Co. | 2,012,449 | 30,006 |
| * | Agilent Technologies Inc. | 1,028,358 | 29,236 |
| * | Salesforce.com Inc. | 331,293 | 28,432 |
| * | SanDisk Corp. | 674,367 | 28,371 |
14
| | | |
| Growth Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| | Paychex Inc. | 958,677 | 24,897 |
| * | Marvell Technology | | |
| | Group Ltd. | 1,565,657 | 24,675 |
| * | Citrix Systems Inc. | 542,019 | 22,889 |
| | CA Inc. | 1,226,362 | 22,565 |
| * | Motorola Inc. | 3,409,011 | 22,227 |
| | Altera Corp. | 876,641 | 21,749 |
| * | Fiserv Inc. | 449,110 | 20,506 |
| * | Akamai Technologies Inc. | 505,007 | 20,488 |
| | Amphenol Corp. Class A | 510,603 | 20,056 |
| * | BMC Software Inc. | 538,542 | 18,650 |
| *,^ | First Solar Inc. | 163,344 | 18,593 |
| | Linear Technology Corp. | 659,083 | 18,329 |
| * | Cree Inc. | 297,268 | 17,845 |
| | Activision Blizzard Inc. | 1,682,389 | 17,648 |
| * | NVIDIA Corp. | 1,635,656 | 16,700 |
| * | Autodesk Inc. | 677,114 | 16,495 |
| * | Red Hat Inc. | 556,489 | 16,105 |
| * | F5 Networks Inc. | 234,347 | 16,069 |
| | Analog Devices Inc. | 570,363 | 15,890 |
| * | Sybase Inc. | 242,885 | 15,705 |
| * | Teradata Corp. | 496,919 | 15,146 |
| * | McAfee Inc. | 467,998 | 14,377 |
| * | VeriSign Inc. | 540,722 | 14,356 |
| * | Electronic Arts Inc. | 962,792 | 13,864 |
| * | Western Digital Corp. | 438,043 | 13,211 |
| * | FLIR Systems Inc. | 450,829 | 13,115 |
| * | VMware Inc. Class A | 197,056 | 12,334 |
| | Tyco Electronics Ltd. | 473,639 | 12,021 |
| * | Rovi Corp. | 307,057 | 11,641 |
| * | ANSYS Inc. | 265,013 | 10,752 |
| * | Equinix Inc. | 128,872 | 10,467 |
| | Harris Corp. | 250,609 | 10,438 |
| * | Nuance | | |
| | Communications Inc. | 669,515 | 10,009 |
| * | Trimble Navigation Ltd. | 355,674 | 9,959 |
| * | Dolby Laboratories Inc. | | |
| | Class A | 158,329 | 9,926 |
| * | Alliance Data Systems Corp. | 154,166 | 9,176 |
| * | Hewitt Associates Inc. | | |
| | Class A | 263,242 | 9,071 |
| | Factset Research | | |
| | Systems Inc. | 131,919 | 8,837 |
| | Lender Processing | | |
| | Services Inc. | 281,428 | 8,812 |
| | Global Payments Inc. | 240,190 | 8,777 |
| * | ON Semiconductor Corp. | 1,260,490 | 8,042 |
| | Broadridge Financial | | |
| | Solutions Inc. | 397,249 | 7,568 |
| * | Novellus Systems Inc. | 282,531 | 7,165 |
| * | Brocade Communications | | |
| | Systems Inc. | 1,308,496 | 6,752 |
| * | MEMC Electronic | | |
| | Materials Inc. | 658,784 | 6,509 |
| | | |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| * | Advanced Micro | | |
| | Devices Inc. | 843,158 | 6,172 |
| * | NCR Corp. | 471,388 | 5,713 |
| * | Avago Technologies Ltd. | 245,469 | 5,170 |
| * | Lam Research Corp. | 131,928 | 5,021 |
| * | Flextronics | | |
| | International Ltd. | 839,525 | 4,701 |
| * | Arrow Electronics Inc. | 176,667 | 3,949 |
| | DST Systems Inc. | 56,525 | 2,043 |
| *,^ | SunPower Corp. Class A | 163,413 | 1,977 |
| * | SunPower Corp. Class B | 61,681 | 666 |
| | | | 4,958,672 |
| Materials (4.3%) | | |
| | Newmont Mining Corp. | 1,423,749 | 87,902 |
| | Freeport-McMoRan | | |
| | Copper & Gold Inc. | 1,269,101 | 75,042 |
| | Monsanto Co. | 1,608,408 | 74,341 |
| | Praxair Inc. | 902,895 | 68,611 |
| | Air Products & | | |
| | Chemicals Inc. | 625,298 | 40,526 |
| | Ecolab Inc. | 696,341 | 31,273 |
| | Alcoa Inc. | 3,007,389 | 30,254 |
| | International Paper Co. | 1,221,320 | 27,638 |
| | Sherwin-Williams Co. | 274,638 | 19,002 |
| | Cliffs Natural | | |
| | Resources Inc. | 398,757 | 18,805 |
| | Mosaic Co. | 459,211 | 17,900 |
| | Sigma-Aldrich Corp. | 359,068 | 17,892 |
| | Lubrizol Corp. | 201,663 | 16,196 |
| | Weyerhaeuser Co. | 405,358 | 14,269 |
| | CF Industries Holdings Inc. | 200,922 | 12,749 |
| * | Crown Holdings Inc. | 475,919 | 11,917 |
| | Allegheny Technologies Inc. | 260,501 | 11,512 |
| | Celanese Corp. Class A | 429,940 | 10,710 |
| | Walter Energy Inc. | 157,818 | 9,603 |
| | Nalco Holding Co. | 407,583 | 8,339 |
| | Scotts Miracle-Gro Co. | | |
| | Class A | 137,298 | 6,097 |
| | United States Steel Corp. | 147,933 | 5,703 |
| * | Titanium Metals Corp. | 265,331 | 4,667 |
| | FMC Corp. | 71,156 | 4,086 |
| | Martin Marietta | | |
| | Materials Inc. | 46,725 | 3,963 |
| | Steel Dynamics Inc. | 212,358 | 2,801 |
| | | | 631,798 |
| Telecommunication Services (0.8%) | |
| * | American Tower Corp. | | |
| | Class A | 1,182,303 | 52,612 |
| * | Crown Castle | | |
| | International Corp. | 863,336 | 32,168 |
| * | NII Holdings Inc. | 491,502 | 15,984 |
| * | SBA Communications | | |
| | Corp. Class A | 327,249 | 11,130 |
15
| | | |
| Growth Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| * | MetroPCS | | |
| | Communications Inc. | 472,479 | 3,870 |
| * | Level 3 | | |
| | Communications Inc. | 2,429,706 | 2,648 |
| * | Clearwire Corp. Class A | 188,914 | 1,375 |
| | | | 119,787 |
| Utilities (0.3%) | | |
| * | AES Corp. | 1,992,906 | 18,414 |
| | EQT Corp. | 402,760 | 14,556 |
| * | Calpine Corp. | 1,044,394 | 13,285 |
| | | | 46,255 |
| Total Common Stocks | | |
| (Cost $14,225,023) | | 14,826,703 |
| Temporary Cash Investment (0.5%) | |
| Money Market Fund (0.5%) | | |
| 1,2 | Vanguard Market | | |
| | Liquidity Fund, 0.286% | | |
| | (Cost $71,674) | 71,674,164 | 71,674 |
| Total Investments (100.5%) | | |
| (Cost $14,296,697) | | 14,898,377 |
| Other Assets and Liabilities (-0.5%) | |
| Other Assets | | 35,374 |
| Liabilities2 | | (108,629) |
| | | | (73,255) |
| Net Assets (100%) | | 14,825,122 |
| |
| At June 30, 2010, net assets consisted of: |
| |
| | Amount |
| | ($000) |
| Paid-in Capital | 16,562,201 |
| Overdistributed Net Investment Income | (26,967) |
| Accumulated Net Realized Losses | (2,311,792) |
| Unrealized Appreciation (Depreciation) | 601,680 |
| Net Assets | 14,825,122 |
| |
| |
| Investor Shares—Net Assets | |
| Applicable to 207,309,578 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 5,191,249 |
| Net Asset Value Per Share— | |
| Investor Shares | $25.04 |
| |
| | Amount |
| | ($000) |
| Admiral Shares—Net Assets | |
| Applicable to 61,625,019 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 1,543,207 |
| Net Asset Value Per Share— | |
| Admiral Shares | $25.04 |
| |
| |
| Signal Shares—Net Assets | |
| Applicable to 58,517,191 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 1,357,022 |
| Net Asset Value Per Share— | |
| Signal Shares | $23.19 |
| |
| |
| Institutional Shares—Net Assets | |
| Applicable to 119,855,041 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 3,001,525 |
| Net Asset Value Per Share— | |
| Institutional Shares | $25.04 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 76,712,725 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 3,732,119 |
| Net Asset Value Per Share— | |
| ETF Shares | $48.65 |
• 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 $49,426,000.
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 $50,665,000 of collateral received for securities on loan.
See accompanying Notes, which are an integral part of the Financial Statements.
16
| |
| Growth Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 96,896 |
| Interest1 | 30 |
| Security Lending | 1,068 |
| Total Income | 97,994 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 501 |
| Management and Administrati ve—Investor Shares | 6,466 |
| Management and Administrati ve—Admiral Shares | 768 |
| Management and Administrati ve—Signal Shares | 613 |
| Management and Administrati ve—Institutional Shares | 718 |
| Management and Administrati ve—ETF Shares | 1,638 |
| Marketing and Distribution& #151;Investor Shares | 670 |
| Marketing and Distribution& #151;Admiral Shares | 143 |
| Marketing and Distribution& #151;Signal Shares | 194 |
| Marketing and Distribution& #151;Institutional Shares | 401 |
| Marketing and Distribution& #151;ETF Shares | 545 |
| Custodian Fees | 95 |
| Shareholders’ Reports—Investor Shares | 83 |
| Shareholders’ Reports—Admiral Shares | 2 |
| Shareholders’ Reports—Signal Shares | 8 |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 80 |
| Trustees’ Fees and Expenses | 14 |
| Total Expenses | 12,939 |
| Net Investment Income | 85,055 |
| Realized Net Gain (Loss) on Investment Securities Sold | 208,908 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (1,573,171) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (1,279,208) |
| 1 Interest income from an affiliated company of the fund was $30,000. | |
| |
| |
| |
| |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
17
| | |
| Growth Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 85,055 | 168,420 |
| Realized Net Gain (Loss) | 208,908 | 199,009 |
| Change in Unrealized Appreciation (Depreciation) | (1,573,171) | 3,794,205 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (1,279,208) | 4,161,634 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (27,657) | (59,216) |
| Admiral Shares | (9,333) | (19,327) |
| Signal Shares | (8,170) | (15,471) |
| Institutional Shares | (18,079) | (34,330) |
| ETF Shares | (22,376) | (44,628) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (85,615) | (172,972) |
| Capital Share Transactions | | |
| Investor Shares | (106,250) | 4,289 |
| Admiral Shares | 43,559 | (86,171) |
| Signal Shares | 53,376 | 150,783 |
| Institutional Shares | 368,875 | 167,646 |
| ETF Shares | 160,732 | 176,302 |
| Net Increase (Decrease) from Capital Share Transactions | 520,292 | 412,849 |
| Total Increase (Decrease) | (844,531) | 4,401,511 |
| Net Assets | | |
| Beginning of Period | 15,669,653 | 11,268,142 |
| End of Period1 | 14,825,122 | 15,669,653 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($26,967,000) and ($26,407,000).
See accompanying Notes, which are an integral part of the Financial Statements.
18
| | | | | | |
| Growth Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Investor Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $27.32 | $20.29 | $33.23 | $29.77 | $27.54 | $26.41 |
| Investment Operations | | | | | | |
| Net Investment Income | .133 | .276 | .261 | .270 | .241 | .196 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (2.280) | 7.035 | (12.939) | 3.460 | 2.228 | 1.139 |
| Total from Investment Operations | (2.147) | 7.311 | (12.678) | 3.730 | 2.469 | 1.335 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.133) | (.281) | (.262) | (.270) | (.239) | (.205) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.133) | (.281) | (.262) | (.270) | (.239) | (.205) |
| Net Asset Value, End of Period | $25.04 | $27.32 | $20.29 | $33.23 | $29.77 | $27.54 |
| |
| Total Return1 | -7.90% | 36.29% | -38.32% | 12.56% | 9.01% | 5.09% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $5,191 | $5,770 | $4,279 | $6,992 | $6,707 | $6,761 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.26%2 | 0.28% | 0.23% | 0.22% | 0.22% | 0.22% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 0.97%2 | 1.20% | 0.93% | 0.83% | 0.86% | 0.75% |
| Portfolio Turnover Rate3 | 27%2 | 29% | 27% | 23% | 28% | 23% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
| | | | | | |
| Growth Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $27.32 | $20.30 | $33.23 | $29.77 | $27.54 | $26.41 |
| Investment Operations | | | | | | |
| Net Investment Income | .153 | .308 | .294 | .308 | .272 | .226 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (2.280) | 7.027 | (12.929) | 3.460 | 2.228 | 1.139 |
| Total from Investment Operations | (2.127) | 7.335 | (12.635) | 3.768 | 2.500 | 1.365 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.153) | (.315) | (.295) | (.308) | (.270) | (.235) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.153) | (.315) | (.295) | (.308) | (.270) | (.235) |
| Net Asset Value, End of Period | $25.04 | $27.32 | $20.30 | $33.23 | $29.77 | $27.54 |
| |
| Total Return | -7.84% | 36.42% | -38.22% | 12.70% | 9.13% | 5.21% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,543 | $1,641 | $1,296 | $2,203 | $2,505 | $2,076 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.14% | 0.11% | 0.10% | 0.11% | 0.11% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.11%1 | 1.34% | 1.05% | 0.95% | 0.97% | 0.86% |
| Portfolio Turnover Rate2 | 27%1 | 29% | 27% | 23% | 28% | 23% |
1 Annualized.
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
| | | | |
| Growth Index Fund | | | | |
| |
| |
| Financial Highlights | | | | |
| |
| |
| Signal Shares | | | | |
| | | | | |
| | Six Months | | June 4, |
| | Ended | Year Ended | 20071 to |
| | June 30, | | December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 |
| Net Asset Value, Beginning of Period | $25.30 | $18.80 | $30.77 | $30.26 |
| Investment Operations | | | | |
| Net Investment Income | .141 | .286 | .273 | .168 |
| Net Realized and Unrealized Gain (Loss) on Investments | (2.110) | 6.507 | (11.970) | .563 |
| Total from Investment Operations | (1.969) | 6.793 | (11.697) | .731 |
| Distributions | | | | |
| Dividends from Net Investment Income | (.141) | (.293) | (.273) | (.221) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (.141) | (.293) | (.273) | (.221) |
| Net Asset Value, End of Period | $23.19 | $25.30 | $18.80 | $30.77 |
| |
| Total Return | -7.83% | 36.42% | -38.21% | 2.43% |
| |
| Ratios/Supplemental Data | | | | |
| Net Assets, End of Period (Millions) | $1,357 | $1,428 | $941 | $1,425 |
| Ratio of Total Expenses to Average Net Assets | 0.12%2 | 0.14% | 0.11% | 0.10%2 |
| Ratio of Net Investment Income to Average Net Assets | 1.11%2 | 1.34% | 1.05% | 0.95%2 |
| Portfolio Turnover Rate3 | 27%2 | 29% | 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.
21
| | | | | | |
| Growth Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $27.32 | $20.30 | $33.23 | $29.77 | $27.54 | $26.41 |
| Investment Operations | | | | | | |
| Net Investment Income | .158 | .322 | .305 | .318 | .280 | .234 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (2.280) | 7.027 | (12.930) | 3.460 | 2.228 | 1.139 |
| Total from Investment Operations | (2.122) | 7.349 | (12.625) | 3.778 | 2.508 | 1.373 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.158) | (.329) | (.305) | (.318) | (.278) | (.243) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.158) | (.329) | (.305) | (.318) | (.278) | (.243) |
| Net Asset Value, End of Period | $25.04 | $27.32 | $20.30 | $33.23 | $29.77 | $27.54 |
| |
| Total Return | -7.82% | 36.50% | -38.19% | 12.73% | 9.16% | 5.24% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $3,002 | $2,913 | $2,016 | $3,210 | $2,132 | $1,448 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08%1 | 0.08% | 0.07% | 0.07% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.15%1 | 1.40% | 1.09% | 0.98% | 1.00% | 0.89% |
| Portfolio Turnover Rate2 | 27%1 | 29% | 27% | 23% | 28% | 23% |
1 Annualized.
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.
22
| | | | | | |
| Growth Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $53.08 | $39.43 | $64.56 | $57.85 | $53.52 | $51.33 |
| Investment Operations | | | | | | |
| Net Investment Income | .296 | .598 | .579 | .600 | .535 | .444 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (4.432) | 13.666 | (25.132) | 6.710 | 4.323 | 2.206 |
| Total from Investment Operations | (4.136) | 14.264 | (24.553) | 7.310 | 4.858 | 2.650 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.294) | (.614) | (.577) | (.600) | (.528) | (.460) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.294) | (.614) | (.577) | (.600) | (.528) | (.460) |
| Net Asset Value, End of Period | $48.65 | $53.08 | $39.43 | $64.56 | $57.85 | $53.52 |
| |
| Total Return | -7.84% | 36.46% | -38.22% | 12.68% | 9.13% | 5.20% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $3,732 | $3,917 | $2,736 | $3,232 | $1,336 | $324 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.14% | 0.10% | 0.10% | 0.11% | 0.11% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.11%1 | 1.34% | 1.06% | 0.95% | 0.97% | 0.86% |
| Portfolio Turnover Rate2 | 27%1 | 29% | 27% | 23% | 28% | 23% |
1 Annualized.
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.
23
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 and Institutional Shares are designed for institutional investors who meet certain administrative, service, and accountsize criteria. 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 value d at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not re adily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, 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 an d distribution expenses are alloc ated to each class of shares base d 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.
24
Growth Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2010, the fund had contributed capital of $3,025,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.21% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in acti ve markets for identical securiti es.
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 June 30, 2010, 100% of the fund’s investments were valued based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment in come and realized capital gains f or financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital acc ounts 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 shor t-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $31,081,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $2,487,079,000 to offset future net capital gains of $747,930,000 through December 31, 2010, $742,396,000 through December 31, 2011, and $996,753,000 through December 31, 2017. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2010, the cost of investment securities for tax purposes was $14,296,697,000. Net unrealized appreciation of investment securities for tax purposes was $601,680,000, consisting of unrealized gains of $1,788,722,000 on securities that had risen in value since their purchase and $1,187,042,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2010, the fund purchased $2,707,912,000 of investment securities and sold $2,180,742,000 of investment securities, other than temporary cash investments.
25
Growth Index Fund
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 428,631 | 15,502 | 825,020 | 37,006 |
| Issued in Lieu of Cash Distributions | 26,504 | 962 | 56,637 | 2,446 |
| Redeemed | (561,385) | (20,363) | (877,368) | (39,063) |
| Net Increase (Decrease)—Investor Shares | (106,250) | (3,899) | 4,289 | 389 |
| Admiral Shares | | | | |
| Issued | 152,218 | 5,491 | 213,424 | 9,300 |
| Issued in Lieu of Cash Distributions | 8,161 | 296 | 16,508 | 712 |
| Redeemed | (116,820) | (4,233) | (316,103) | (13,793) |
| Net Increase (Decrease)—Admiral Shares | 43,559 | 1,554 | (86,171) | (3,781) |
| Signal Shares | | | | |
| Issued | 228,369 | 8,950 | 431,599 | 20,087 |
| Issued in Lieu of Cash Distributions | 6,756 | 265 | 13,019 | 605 |
| Redeemed | (181,749) | (7,147) | (293,835) | (14,327) |
| Net Increase (Decrease)—Signal Shares | 53,376 | 2,068 | 150,783 | 6,365 |
| Institutional Shares | | | | |
| Issued | 643,459 | 23,133 | 755,744 | 33,073 |
| Issued in Lieu of Cash Distributions | 15,733 | 572 | 29,495 | 1,269 |
| Redeemed | (290,317) | (10,465) | (617,593) | (27,050) |
| Net Increase (Decrease)—Institutional Shares | 368,875 | 13,240 | 167,646 | 7,292 |
| ETF Shares | | | | |
| Issued | 235,641 | 4,328 | 629,619 | 14,191 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (74,909) | (1,400) | (453,317) | (9,800) |
| Net Increase (Decrease)—ETF Shares | 160,732 | 2,928 | 176,302 | 4,391 |
G. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
26
Value Index Fund
Fund Profile
As of June 30, 2010
| | | | | |
| Share-Class Characteristics | | | | | |
| | Investor | Admiral | Signal | Institutional | ETF |
| | Shares | Shares | Shares | Shares | Shares |
| Ticker Symbol | VIVAX | VVIAX | VVISX | VIVIX | VTV |
| Expense Ratio1 | 0.26% | 0.14% | 0.14% | 0.08% | 0.14% |
| 30-Day SEC Yield | 2.32% | 2.46% | 2.46% | 2.50% | 2.46% |
| | | |
| Portfolio Characteristics | | |
| | | MSCI US | DJ |
| | | Prime | U.S. Total |
| | | Market | Market |
| | Fund | Value Index | Index |
| Number of Stocks | 422 | 421 | 4,114 |
| Median Market Cap $38.6B | $38.6B | $25.2B |
| Price/Earnings Ratio | 15.5x | 15.5x | 17.6x |
| Price/Book Ratio | 1.4x | 1.4x | 1.9x |
| Return on Equity | 16.5% | 16.5% | 19.1% |
| Earnings Growth Rate | -0.5% | -0.5% | 6.6% |
| Dividend Yield | 2.9% | 2.9% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 27% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| |
| |
| Volatility Measures | | | |
| | | | DJ |
| | MSCI US | U.S. Total |
| | Prime Market | Market |
| | Value Index | Index |
| R-Squared | | 1.00 | 0.95 |
| Beta | | 1.00 | 0.99 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
| | |
| Exxon Mobil Corp. | Integrated Oil & | |
| | Gas | 3.7% |
| Procter & Gamble Co. | Household | |
| | Products | 3.4 |
| Johnson & Johnson | Pharmaceuticals | 3.2 |
| General Electric Co. | Industrial | |
| | Conglomerates | 3.0 |
| JPMorgan Chase & Co. | Diversified Financial | |
| | Services | 2.9 |
| Bank of America Corp. | Diversified Financial | |
| | Services | 2.8 |
| AT&T Inc. | Integrated | |
| | Telecommunication | |
| | Services | 2.8 |
| Chevron Corp. | Integrated Oil & | |
| | Gas | 2.7 |
| Wells Fargo & Co. | Diversified Banks | 2.5 |
| Pfizer Inc. | Pharmaceuticals | 2.3 |
| Top Ten | | 29.3% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares.
27
Value Index Fund
| | | |
| Sector Diversification (% of equity exposure) |
| | | MSCI US | |
| | | Prime | DJ |
| | | Market | U.S. Total |
| | | Value | Market |
| | Fund | Index | Index |
| Consumer | | | |
| Discretionary | 6.9% | 6.9% | 11.4% |
| Consumer Staples | 9.1 | 9.1 | 10.4 |
| Energy | 13.5 | 13.5 | 9.4 |
| Financials | 26.2 | 26.2 | 17.5 |
| Health Care | 13.4 | 13.4 | 11.7 |
| Industrials | 10.8 | 10.8 | 10.8 |
| Information | | | |
| Technology | 4.6 | 4.6 | 18.7 |
| Materials | 3.0 | 3.0 | 3.9 |
| Telecommunication | | | |
| Services | 5.2 | 5.2 | 2.7 |
| Utilities | 7.3 | 7.3 | 3.5 |
Investment Focus
28
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.
Fiscal-Year Total Returns (%): December 31, 1999, Through June 30, 2010
| | | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | | |
| |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Investor Shares | 11/2/1992 | 15.89% | -1.32% | 1.09% |
| Admiral Shares | 11/13/2000 | 16.05 | -1.21 | 0.491 |
| Signal Shares | 6/4/2007 | 16.11 | — | -12.501 |
| Institutional Shares | 7/2/1998 | 16.17 | -1.17 | 1.23 |
| ETF Shares | 1/26/2004 | | | |
| Market Price | | 16.07 | -1.20 | 0.941 |
| Net Asset Value | | 16.07 | -1.21 | 0.941 |
1 Return since inception.
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
29
Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2010
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at 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 (6.9%) | |
| | Walt Disney Co. | 2,655,201 | 83,639 |
| | Time Warner Inc. | 2,550,212 | 73,727 |
| | Home Depot Inc. | 2,450,604 | 68,788 |
| | Comcast Corp. Class A | 3,377,738 | 58,671 |
| | News Corp. Class A | 3,704,718 | 44,308 |
| | Time Warner Cable Inc. | 781,872 | 40,720 |
| | Comcast Corp. | 2,298,487 | 37,764 |
| | Carnival Corp. | 1,031,418 | 31,190 |
| | Viacom Inc. Class B | 799,493 | 25,080 |
| | CBS Corp. Class B | 1,386,302 | 17,925 |
| | Mattel Inc. | 805,943 | 17,054 |
| | Stanley Black & Decker Inc. | 335,171 | 16,933 |
| | Macy’s Inc. | 934,792 | 16,733 |
| | VF Corp. | 196,703 | 14,001 |
| | Genuine Parts Co. | 351,682 | 13,874 |
| | Ltd Brands Inc. | 607,136 | 13,400 |
| * | Liberty Media Corp.– | | |
| | Interactive | 1,257,711 | 13,206 |
| | Fortune Brands Inc. | 336,810 | 13,196 |
| | H&R Block Inc. | 743,635 | 11,668 |
| | Darden Restaurants Inc. | 294,350 | 11,436 |
| | Hasbro Inc. | 272,021 | 11,180 |
| | Gap Inc. | 535,222 | 10,415 |
| | Whirlpool Corp. | 107,713 | 9,459 |
| | Newell Rubbermaid Inc. | 615,482 | 9,011 |
| | Starwood Hotels & | | |
| | Resorts Worldwide Inc. | 206,978 | 8,575 |
| | Wyndham Worldwide Corp. | 397,013 | 7,996 |
| | Gannett Co. Inc. | 527,068 | 7,094 |
| | Leggett & Platt Inc. | 329,464 | 6,609 |
| | DR Horton Inc. | 635,131 | 6,243 |
| * | Mohawk Industries Inc. | 128,870 | 5,897 |
| * | NVR Inc. | 8,390 | 5,496 |
| | JC Penney Co. Inc. | 234,931 | 5,046 |
| | Lennar Corp. Class A | 341,387 | 4,749 |
| | News Corp. Class B | 334,806 | 4,637 |
| * | Royal Caribbean Cruises Ltd. | 200,996 | 4,577 |
| | Foot Locker Inc. | 347,976 | 4,391 |
| | | |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| * | Pulte Group Inc. | 497,028 | 4,115 |
| * | Liberty Media Corp.–Capital | 94,976 | 3,980 |
| * | Hyatt Hotels Corp. Class A | 97,036 | 3,599 |
| * | Penn National Gaming Inc. | 149,482 | 3,453 |
| * | Toll Brothers Inc. | 203,312 | 3,326 |
| | Brinker International Inc. | 226,698 | 3,278 |
| | DISH Network Corp. | | |
| | Class A | 162,390 | 2,947 |
| *,^ | AutoNation Inc. | 150,750 | 2,940 |
| * | MGM Resorts International | 294,568 | 2,840 |
| | Interactive Data Corp. | 83,413 | 2,784 |
| | American Eagle | | |
| | Outfitters Inc. | 218,180 | 2,564 |
| *,^ | Sears Holdings Corp. | 35,467 | 2,293 |
| * | GameStop Corp. Class A | 121,170 | 2,277 |
| * | Goodyear Tire & Rubber Co. | 178,263 | 1,772 |
| * | TRW Automotive | | |
| | Holdings Corp. | 63,888 | 1,761 |
| * | Lamar Advertising Co. | | |
| | Class A | 63,696 | 1,562 |
| | Wendy’s/Arby’s Group Inc. | | |
| | Class A | 286,920 | 1,148 |
| | Weight Watchers | | |
| | International Inc. | 38,282 | 984 |
| *,^ | Education | | |
| | Management Corp. | 47,415 | 723 |
| * | Clear Channel Outdoor | | |
| | Holdings Inc. Class A | 44,964 | 390 |
| | | | 783,424 |
| Consumer Staples (9.1%) | | |
| | Procter & Gamble Co. | 6,439,615 | 386,248 |
| | Kraft Foods Inc. | 3,866,811 | 108,271 |
| | Altria Group Inc. | 4,612,530 | 92,435 |
| | Kimberly-Clark Corp. | 923,191 | 55,973 |
| | CVS Caremark Corp. | 1,541,849 | 45,207 |
| | Sysco Corp. | 1,314,164 | 37,546 |
| | Archer-Daniels-Midland Co. | 1,282,742 | 33,120 |
| | Lorillard Inc. | 343,038 | 24,692 |
| | ConAgra Foods Inc. | 982,748 | 22,918 |
| | Sara Lee Corp. | 1,468,240 | 20,702 |
30
| | | |
| Value Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| | Reynolds American Inc. | 387,544 | 20,199 |
| | Safeway Inc. | 860,573 | 16,919 |
| | JM Smucker Co. | 263,726 | 15,882 |
| | Molson Coors Brewing Co. | | |
| | Class B | 358,423 | 15,183 |
| | HJ Heinz Co. | 350,400 | 15,144 |
| | Bunge Ltd. | 302,815 | 14,896 |
| | Tyson Foods Inc. Class A | 645,416 | 10,578 |
| | Dr Pepper Snapple | | |
| | Group Inc. | 281,593 | 10,529 |
| | McCormick & Co. Inc. | 265,313 | 10,071 |
| | Church & Dwight Co. Inc. | 156,552 | 9,817 |
| | Mead Johnson Nutrition Co. | 158,864 | 7,962 |
| * | Constellation Brands Inc. | | |
| | Class A | 438,692 | 6,852 |
| * | Ralcorp Holdings Inc. | 121,168 | 6,640 |
| | Hershey Co. | 123,551 | 5,922 |
| | Campbell Soup Co. | 159,376 | 5,710 |
| | Alberto-Culver Co. Class B | 196,851 | 5,333 |
| | SUPERVALU Inc. | 469,183 | 5,086 |
| * | Smithfield Foods Inc. | 331,666 | 4,942 |
| | Hormel Foods Corp. | 105,734 | 4,280 |
| * | Dean Foods Co. | 403,058 | 4,059 |
| | Brown-Forman Corp. | | |
| | Class B | 64,422 | 3,687 |
| | | | 1,026,803 |
| Energy (13.5%) | | |
| | Exxon Mobil Corp. | 7,344,538 | 419,153 |
| | Chevron Corp. | 4,452,576 | 302,152 |
| | ConocoPhillips | 3,131,579 | 153,729 |
| | Occidental Petroleum Corp. | 1,800,075 | 138,876 |
| | Apache Corp. | 746,151 | 62,818 |
| | Devon Energy Corp. | 941,271 | 57,342 |
| | Marathon Oil Corp. | 1,569,767 | 48,804 |
| | Hess Corp. | 653,157 | 32,880 |
| | Chesapeake Energy Corp. | 1,437,299 | 30,111 |
| | Spectra Energy Corp. | 1,434,958 | 28,800 |
| | Williams Cos. Inc. | 1,293,302 | 23,642 |
| | Valero Energy Corp. | 1,251,844 | 22,508 |
| | Murphy Oil Corp. | 402,419 | 19,940 |
| | Halliburton Co. | 702,103 | 17,237 |
| * | Transocean Ltd. | 356,403 | 16,512 |
| | National Oilwell Varco Inc. | 463,692 | 15,334 |
| | Noble Energy Inc. | 251,292 | 15,160 |
| * | Newfield Exploration Co. | 294,890 | 14,408 |
| | Cimarex Energy Co. | 185,725 | 13,294 |
| * | Nabors Industries Ltd. | 630,937 | 11,117 |
| | Sunoco Inc. | 259,590 | 9,026 |
| | Noble Corp. | 284,949 | 8,808 |
| * | Pride International Inc. | 388,973 | 8,690 |
| * | Denbury Resources Inc. | 543,637 | 7,959 |
| | Arch Coal Inc. | 360,801 | 7,148 |
| * | Forest Oil Corp. | 236,130 | 6,461 |
| * | Plains Exploration & | | |
| | Production Co. | 309,522 | 6,379 |
| | | |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| * | Kinder Morgan | | |
| | Management LLC | 87,080 | 4,928 |
| | Tidewater Inc. | 115,000 | 4,453 |
| | Patterson-UTI Energy Inc. | 341,284 | 4,392 |
| * | Rowan Cos. Inc. | 164,511 | 3,609 |
| | Cabot Oil & Gas Corp. | 80,315 | 2,516 |
| | Tesoro Corp. | 155,210 | 1,811 |
| | | | 1,519,997 |
| Financials (26.2%) | | |
| | JPMorgan Chase & Co. | 8,808,307 | 322,472 |
| | Bank of America Corp. | 22,241,825 | 319,615 |
| | Wells Fargo & Co. | 10,911,639 | 279,338 |
| * | Citigroup Inc. | 47,351,195 | 178,041 |
| | Goldman Sachs Group Inc. | 1,082,686 | 142,124 |
| * | Berkshire Hathaway Inc. | | |
| | Class B | 1,270,933 | 101,281 |
| | US Bancorp | 4,241,709 | 94,802 |
| | MetLife Inc. | 1,816,114 | 68,577 |
| | Bank of New York | | |
| | Mellon Corp. | 2,678,790 | 66,139 |
| | PNC Financial Services | | |
| | Group Inc. | 1,146,289 | 64,765 |
| | Morgan Stanley | 2,789,831 | 64,752 |
| | Travelers Cos. Inc. | 1,138,887 | 56,090 |
| | Prudential Financial Inc. | 1,026,641 | 55,090 |
| | BB&T Corp. | 1,531,721 | 40,300 |
| | ACE Ltd. | 746,390 | 38,424 |
| | Chubb Corp. | 728,743 | 36,444 |
| | Allstate Corp. | 1,130,603 | 32,482 |
| | Marsh & McLennan | | |
| | Cos. Inc. | 1,179,481 | 26,597 |
| | Vornado Realty Trust | 361,478 | 26,370 |
| | Equity Residential | 624,730 | 26,014 |
| | Simon Property Group Inc. | 321,238 | 25,940 |
| | Loews Corp. | 749,008 | 24,949 |
| | Fifth Third Bancorp | 1,762,146 | 21,657 |
| | Annaly Capital | | |
| | Management Inc. | 1,226,005 | 21,026 |
| | HCP Inc. | 651,180 | 21,001 |
| | Ameriprise Financial Inc. | 566,295 | 20,460 |
| | Hartford Financial | | |
| | Services Group Inc. | 918,772 | 20,332 |
| | AON Corp. | 532,271 | 19,758 |
| | Regions Financial Corp. | 2,643,390 | 17,394 |
| | Progressive Corp. | 919,165 | 17,207 |
| | AvalonBay Communities Inc. | 180,657 | 16,868 |
| | SunTrust Banks Inc. | 719,333 | 16,760 |
| | Principal Financial | | |
| | Group Inc. | 707,966 | 16,595 |
| | Ventas Inc. | 347,228 | 16,302 |
| | Lincoln National Corp. | 669,919 | 16,272 |
| | Invesco Ltd. | 956,680 | 16,101 |
| | Unum Group | 736,664 | 15,986 |
| | NYSE Euronext | 576,225 | 15,921 |
| | M&T Bank Corp. | 184,344 | 15,660 |
| | Aflac Inc. | 363,836 | 15,525 |
31
| | | |
| Value Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| | KeyCorp | 1,947,166 | 14,974 |
| | Boston Properties Inc. | 200,126 | 14,277 |
| * | Genworth Financial Inc. | | |
| | Class A | 1,083,949 | 14,167 |
| | New York Community | | |
| | Bancorp Inc. | 912,113 | 13,928 |
| | Plum Creek Timber Co. Inc. | 360,993 | 12,465 |
| | Host Hotels & Resorts Inc. | 909,260 | 12,257 |
| | XL Capital Ltd. Class A | 758,216 | 12,139 |
| | Kimco Realty Corp. | 898,756 | 12,079 |
| | Health Care REIT Inc. | 274,081 | 11,544 |
| | Willis Group Holdings PLC | 374,546 | 11,255 |
| | People’s United | | |
| | Financial Inc. | 830,417 | 11,211 |
| * | SLM Corp. | 1,076,286 | 11,183 |
| | BlackRock Inc. | 77,013 | 11,044 |
| | ProLogis | 1,050,954 | 10,646 |
| | Macerich Co. | 285,179 | 10,643 |
| | PartnerRe Ltd. | 146,388 | 10,268 |
| | Legg Mason Inc. | 357,798 | 10,029 |
| | Federal Realty | | |
| | Investment Trust | 135,995 | 9,556 |
| | SL Green Realty Corp. | 172,418 | 9,490 |
| | Everest Re Group Ltd. | 133,737 | 9,458 |
| | Nationwide Health | | |
| | Properties Inc. | 260,172 | 9,306 |
| * | American International | | |
| | Group Inc. | 269,109 | 9,268 |
| | Comerica Inc. | 250,610 | 9,230 |
| | Torchmark Corp. | 183,565 | 9,088 |
| | Assurant Inc. | 258,625 | 8,974 |
| | Cincinnati Financial Corp. | 343,026 | 8,874 |
| | Huntington | | |
| | Bancshares Inc. | 1,587,783 | 8,796 |
| * | Arch Capital Group Ltd. | 117,214 | 8,732 |
| | AMB Property Corp. | 367,971 | 8,725 |
| * | Leucadia National Corp. | 431,343 | 8,416 |
| | Hudson City Bancorp Inc. | 683,112 | 8,361 |
| | Axis Capital Holdings Ltd. | 277,762 | 8,255 |
| | WR Berkley Corp. | 304,792 | 8,065 |
| | Marshall & Ilsley Corp. | 1,106,252 | 7,943 |
| | Rayonier Inc. | 177,482 | 7,813 |
| | RenaissanceRe | | |
| | Holdings Ltd. | 133,090 | 7,489 |
| | Reinsurance Group of | | |
| | America Inc. Class A | 161,599 | 7,387 |
| | Liberty Property Trust | 250,525 | 7,228 |
| | Digital Realty Trust Inc. | 122,105 | 7,043 |
| ^ | Realty Income Corp. | 231,827 | 7,031 |
| * | Markel Corp. | 20,649 | 7,021 |
| | Transatlantic Holdings Inc. | 142,325 | 6,826 |
| | UDR Inc. | 345,853 | 6,616 |
| | Fidelity National Financial | | |
| | Inc. Class A | 484,462 | 6,293 |
| | Duke Realty Corp. | 550,955 | 6,253 |
| | Regency Centers Corp. | 181,029 | 6,227 |
| | | |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| | HCC Insurance | | |
| | Holdings Inc. | 249,938 | 6,189 |
| | Old Republic | | |
| | International Corp. | 507,622 | 6,157 |
| | Cullen/Frost Bankers Inc. | 119,637 | 6,149 |
| | Hospitality Properties Trust | 273,034 | 5,761 |
| | White Mountains | | |
| | Insurance Group Ltd. | 17,618 | 5,712 |
| | Commerce Bancshares Inc. 156,497 | 5,632 |
| | Raymond James | | |
| | Financial Inc. | 220,003 | 5,432 |
| * | NASDAQ OMX Group Inc. | 305,432 | 5,431 |
| | Jefferies Group Inc. | 246,696 | 5,200 |
| | Weingarten Realty | | |
| | Investors | 253,655 | 4,832 |
| | American Financial | | |
| | Group Inc. | 174,418 | 4,765 |
| | Zions Bancorporation | 216,290 | 4,665 |
| | TCF Financial Corp. | 278,974 | 4,634 |
| | Assured Guaranty Ltd. | 348,257 | 4,621 |
| | Associated Banc-Corp | 364,656 | 4,471 |
| | Federated Investors Inc. | | |
| | Class B | 204,954 | 4,245 |
| | Validus Holdings Ltd. | 161,087 | 3,934 |
| * | First Horizon National Corp. | 329,535 | 3,773 |
| | City National Corp. | 66,575 | 3,411 |
| | BOK Financial Corp. | 60,037 | 2,850 |
| | Mercury General Corp. | 60,686 | 2,515 |
| | Capitol Federal Financial | 49,346 | 1,636 |
| | TFS Financial Corp. | 71,566 | 888 |
| | | | 2,952,207 |
| Health Care (13.4%) | | |
| | Johnson & Johnson | 6,117,084 | 361,275 |
| | Pfizer Inc. | 17,892,398 | 255,146 |
| | Merck & Co. Inc. | 6,771,935 | 236,815 |
| | Abbott Laboratories | 2,237,374 | 104,664 |
| | Bristol-Myers Squibb Co. | 3,800,237 | 94,778 |
| | Eli Lilly & Co. | 2,301,005 | 77,084 |
| | UnitedHealth Group Inc. | 2,566,419 | 72,886 |
| * | WellPoint Inc. | 984,356 | 48,165 |
| | Covidien PLC | 1,109,262 | 44,570 |
| * | Thermo Fisher | | |
| | Scientific Inc. | 907,949 | 44,535 |
| | Aetna Inc. | 956,076 | 25,221 |
| * | Boston Scientific Corp. | 3,349,736 | 19,428 |
| | CIGNA Corp. | 609,436 | 18,929 |
| * | Forest Laboratories Inc. | 670,146 | 18,382 |
| * | Humana Inc. | 377,271 | 17,230 |
| * | Hologic Inc. | 572,754 | 7,978 |
| | Universal Health | | |
| | Services Inc. Class B | 199,071 | 7,595 |
| | Pharmaceutical Product | | |
| | Development Inc. | 249,140 | 6,331 |
| | Omnicare Inc. | 266,264 | 6,310 |
| * | Coventry Health Care Inc. | 327,630 | 5,793 |
| * | Health Net Inc. | 221,677 | 5,402 |
32
| | | |
| Value Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| * | Kinetic Concepts Inc. | 142,696 | 5,210 |
| * | Charles River Laboratories | | |
| | International Inc. | 146,469 | 5,011 |
| * | CareFusion Corp. | 209,373 | 4,753 |
| * | Inverness Medical | | |
| | Innovations Inc. | 175,665 | 4,683 |
| * | King Pharmaceuticals Inc. | 552,685 | 4,195 |
| * | Endo Pharmaceuticals | | |
| | Holdings Inc. | 168,488 | 3,676 |
| * | Dendreon Corp. | 104,490 | 3,378 |
| * | Cephalon Inc. | 57,953 | 3,289 |
| | | | 1,512,712 |
| Industrials (10.8%) | | |
| | General Electric Co. | 23,655,590 | 341,114 |
| | United Technologies Corp. | 1,974,325 | 128,153 |
| | 3M Co. | 1,499,002 | 118,406 |
| | CSX Corp. | 864,918 | 42,926 |
| | General Dynamics Corp. | 727,017 | 42,574 |
| | Honeywell | | |
| | International Inc. | 1,046,386 | 40,840 |
| | Raytheon Co. | 840,609 | 40,677 |
| | Tyco International Ltd. | 1,140,918 | 40,195 |
| | Illinois Tool Works Inc. | 947,045 | 39,094 |
| | Northrop Grumman Corp. | 637,485 | 34,705 |
| | Lockheed Martin Corp. | 459,682 | 34,246 |
| | Waste Management Inc. | 1,021,908 | 31,976 |
| | Republic Services Inc. | | |
| | Class A | 844,366 | 25,103 |
| | Ingersoll-Rand PLC | 712,229 | 24,565 |
| | Eaton Corp. | 350,680 | 22,948 |
| | Goodrich Corp. | 277,329 | 18,373 |
| | L-3 Communications | | |
| | Holdings Inc. | 256,126 | 18,144 |
| | Dover Corp. | 414,892 | 17,338 |
| | Cooper Industries PLC | 370,489 | 16,302 |
| | Pitney Bowes Inc. | 459,795 | 10,097 |
| | Parker Hannifin Corp. | 178,186 | 9,882 |
| | Masco Corp. | 797,681 | 8,583 |
| | Equifax Inc. | 280,587 | 7,873 |
| | Rockwell Automation Inc. | 158,137 | 7,763 |
| * | Owens Corning | 255,279 | 7,635 |
| | RR Donnelley & Sons Co. | 456,268 | 7,469 |
| * | URS Corp. | 185,870 | 7,314 |
| | Cintas Corp. | 304,616 | 7,302 |
| | KBR Inc. | 355,259 | 7,226 |
| | Avery Dennison Corp. | 224,040 | 7,198 |
| | Pentair Inc. | 219,053 | 7,054 |
| | Southwest Airlines Co. | 577,481 | 6,416 |
| * | AGCO Corp. | 205,491 | 5,542 |
| | Ryder System Inc. | 118,601 | 4,771 |
| * | Aecom Technology Corp. | 201,656 | 4,650 |
| | Pall Corp. | 129,875 | 4,464 |
| * | Spirit Aerosystems Holdings | |
| | Inc. Class A | 233,785 | 4,456 |
| | Harsco Corp. | 178,084 | 4,185 |
| | Manpower Inc. | 93,775 | 4,049 |
| | | |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| | SPX Corp. | 55,176 | 2,914 |
| * | Hertz Global Holdings Inc. | 249,674 | 2,362 |
| * | Terex Corp. | 119,779 | 2,245 |
| * | AMR Corp. | 257,486 | 1,746 |
| | | | 1,220,875 |
| Information Technology (4.6%) | |
| | Intel Corp. | 7,960,523 | 154,832 |
| | Applied Materials Inc. | 2,978,813 | 35,805 |
| | Corning Inc. | 1,728,974 | 27,923 |
| | Xerox Corp. | 2,925,657 | 23,522 |
| | Fidelity National | | |
| | Information Services Inc. | 706,261 | 18,942 |
| | Tyco Electronics Ltd. | 661,311 | 16,784 |
| * | Motorola Inc. | 2,563,083 | 16,711 |
| * | Micron Technology Inc. | 1,885,390 | 16,007 |
| | Xilinx Inc. | 613,146 | 15,488 |
| | Computer Sciences Corp. | 340,421 | 15,404 |
| * | SAIC Inc. | 877,433 | 14,688 |
| * | Seagate Technology | 1,106,159 | 14,424 |
| ^ | Microchip Technology Inc. | 408,206 | 11,324 |
| | Maxim Integrated | | |
| | Products Inc. | 675,440 | 11,300 |
| | KLA-Tencor Corp. | 381,295 | 10,631 |
| * | Avnet Inc. | 336,855 | 8,122 |
| | National Semiconductor | | |
| | Corp. | 527,580 | 7,101 |
| * | Lam Research Corp. | 184,601 | 7,026 |
| * | Synopsys Inc. | 325,321 | 6,790 |
| * | LSI Corp. | 1,457,060 | 6,703 |
| * | Flextronics | | |
| | International Ltd. | 1,173,069 | 6,569 |
| | Analog Devices Inc. | 231,223 | 6,442 |
| | Jabil Circuit Inc. | 433,898 | 5,771 |
| * | Lexmark International Inc. | | |
| | Class A | 172,998 | 5,714 |
| * | Ingram Micro Inc. | 363,515 | 5,522 |
| * | Western Digital Corp. | 177,800 | 5,362 |
| | Tellabs Inc. | 815,479 | 5,211 |
| | Total System Services Inc. | 372,479 | 5,066 |
| * | IAC/InterActiveCorp | 229,581 | 5,044 |
| * | AOL Inc. | 235,207 | 4,890 |
| * | Advanced Micro | | |
| | Devices Inc. | 635,008 | 4,648 |
| | Harris Corp. | 101,398 | 4,223 |
| * | Arrow Electronics Inc. | 133,353 | 2,980 |
| | Molex Inc. Class A | 164,296 | 2,538 |
| | Molex Inc. | 137,491 | 2,508 |
| | DST Systems Inc. | 42,308 | 1,529 |
| * | SunPower Corp. Class B | 46,488 | 502 |
| | | | 514,046 |
| Materials (3.0%) | | |
| | EI du Pont de Nemours | | |
| | & Co. | 2,003,930 | 69,316 |
| | Dow Chemical Co. | 2,550,504 | 60,498 |
| | Nucor Corp. | 697,968 | 26,718 |
| | PPG Industries Inc. | 367,927 | 22,227 |
33
| | | |
| Value Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| | Vulcan Materials Co. | 279,990 | 12,272 |
| | Airgas Inc. | 174,108 | 10,830 |
| | Ball Corp. | 198,020 | 10,461 |
| * | Owens-Illinois Inc. | 373,624 | 9,882 |
| | Eastman Chemical Co. | 160,883 | 8,585 |
| | MeadWestvaco Corp. | 380,192 | 8,440 |
| * | Pactiv Corp. | 293,302 | 8,168 |
| | United States Steel Corp. | 206,517 | 7,961 |
| | Ashland Inc. | 164,318 | 7,628 |
| | International Flavors & | | |
| | Fragrances Inc. | 176,004 | 7,466 |
| | Albemarle Corp. | 182,480 | 7,246 |
| | Sealed Air Corp. | 353,078 | 6,963 |
| | Sonoco Products Co. | 221,903 | 6,764 |
| | Bemis Co. Inc. | 239,525 | 6,467 |
| | Valspar Corp. | 209,238 | 6,302 |
| | Weyerhaeuser Co. | 164,381 | 5,786 |
| | FMC Corp. | 99,040 | 5,688 |
| | Reliance Steel & | | |
| | Aluminum Co. | 155,788 | 5,632 |
| | Martin Marietta | | |
| | Materials Inc. | 65,464 | 5,552 |
| | Steel Dynamics Inc. | 297,021 | 3,918 |
| | Greif Inc. Class A | 54,506 | 3,027 |
| | | | 333,797 |
| Telecommunication Services (5.2%) | |
| | AT&T Inc. | 13,085,185 | 316,531 |
| | Verizon | | |
| | Communications Inc. | 6,286,918 | 176,159 |
| * | Sprint Nextel Corp. | 6,521,510 | 27,651 |
| | CenturyLink Inc. | 659,432 | 21,966 |
| | Qwest Communications | | |
| | International Inc. | 3,451,263 | 18,119 |
| | Windstream Corp. | 1,071,129 | 11,311 |
| ^ | Frontier | | |
| | Communications Corp. | 694,168 | 4,936 |
| | Telephone & Data | | |
| | Systems Inc. | 109,984 | 3,342 |
| | Telephone & Data | | |
| | Systems Inc.–Special | | |
| | Common Shares | 99,074 | 2,629 |
| * | Level 3 | | |
| | Communications Inc. | 1,821,245 | 1,985 |
| * | United States Cellular Corp. | 41,712 | 1,717 |
| * | MetroPCS | | |
| | Communications Inc. | 191,130 | 1,565 |
| * | Clearwire Corp. Class A | 77,453 | 564 |
| | | | 588,475 |
| Utilities (7.3%) | | |
| | Southern Co. | 1,819,043 | 60,538 |
| | Exelon Corp. | 1,463,226 | 55,559 |
| | Dominion Resources Inc. | 1,330,712 | 51,552 |
| | Duke Energy Corp. | 2,903,493 | 46,456 |
| | NextEra Energy Inc. | 871,606 | 42,499 |
| | Public Service Enterprise | | |
| | Group Inc. | 1,122,098 | 35,155 |
| | | |
| | | | Market |
| | | | Value • |
| | | Shares | ($000) |
| | American Electric | | |
| | Power Co. Inc. | 1,060,299 | 34,248 |
| | PG&E Corp. | 823,534 | 33,847 |
| | Entergy Corp. | 419,670 | 30,057 |
| | Consolidated Edison Inc. | 624,093 | 26,898 |
| | PPL Corp. | 1,018,057 | 25,401 |
| | Progress Energy Inc. | 630,783 | 24,739 |
| | Sempra Energy | 519,993 | 24,330 |
| | FirstEnergy Corp. | 675,478 | 23,797 |
| | Edison International | 685,953 | 21,758 |
| | Xcel Energy Inc. | 1,015,486 | 20,929 |
| | Questar Corp. | 386,996 | 17,604 |
| | DTE Energy Co. | 367,112 | 16,744 |
| | Constellation Energy | | |
| | Group Inc. | 423,154 | 13,647 |
| | Wisconsin Energy Corp. | 259,006 | 13,142 |
| | Ameren Corp. | 526,368 | 12,512 |
| * | NRG Energy Inc. | 580,473 | 12,312 |
| | CenterPoint Energy Inc. | 878,813 | 11,565 |
| | Northeast Utilities | 389,321 | 9,920 |
| | Oneok Inc. | 223,420 | 9,663 |
| | SCANA Corp. | 259,712 | 9,287 |
| | NiSource Inc. | 613,435 | 8,895 |
| | Pinnacle West Capital Corp. 238,143 | 8,659 |
| | NSTAR | 237,190 | 8,302 |
| | American Water | | |
| | Works Co. Inc. | 387,702 | 7,987 |
| | OGE Energy Corp. | 215,542 | 7,880 |
| | Alliant Energy Corp. | 245,768 | 7,801 |
| | Allegheny Energy Inc. | 375,437 | 7,764 |
| | Pepco Holdings Inc. | 493,791 | 7,743 |
| | CMS Energy Corp. | 509,972 | 7,471 |
| | Integrys Energy Group Inc. | 169,414 | 7,410 |
| | MDU Resources Group Inc. | 395,118 | 7,124 |
| | National Fuel Gas Co. | 153,137 | 7,026 |
| | TECO Energy Inc. | 449,732 | 6,777 |
| | Energen Corp. | 151,131 | 6,700 |
| | DPL Inc. | 263,626 | 6,301 |
| | AGL Resources Inc. | 172,208 | 6,168 |
| | NV Energy Inc. | 521,758 | 6,162 |
| | UGI Corp. | 240,932 | 6,129 |
| | Aqua America Inc. | 303,829 | 5,372 |
| * | Mirant Corp. | 319,885 | 3,378 |
| | | | 825,208 |
| Total Common Stocks | | |
| (Cost $12,460,810) | | 11,277,544 |
| Temporary Cash Investment (0.1%) | |
| Money Market Fund (0.1%) | | |
| 1,2 | Vanguard Market | | |
| | Liquidity Fund, | 0.286% | |
| | (Cost $16,251) | 16,250,854 | 16,251 |
| Total Investments (100.1%) | | |
| (Cost $12,477,061) | | 11,293,795 |
34
| |
| Value Index Fund | |
| |
| |
| | Market |
| | Value • |
| | ($000) |
| Other Assets and Liabilities (-0.1%) | |
| Other Assets | 30,215 |
| Liabilities2 | (44,380) |
| | (14,165) |
| Net Assets (100%) | 11,279,630 |
At June 30, 2010, net assets consisted of:
| |
| | Amount |
| | ($000) |
| Paid-in Capital | 15,375,892 |
| Overdistributed Net Investment Income | (11,506) |
| Accumulated Net Realized Losses | (2,901,490) |
| Unrealized Appreciation (Depreciation) | (1,183,266) |
| Net Assets | 11,279,630 |
| |
| |
| Investor Shares—Net Assets | |
| Applicable to 180,121,783 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 3,138,305 |
| Net Asset Value Per Share— | |
| Investor Shares | $17.42 |
| |
| |
| Admiral Shares—Net Assets | |
| Applicable to 77,742,826 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 1,354,605 |
| Net Asset Value Per Share— | |
| Admiral Shares | $17.42 |
| |
| |
| Signal Shares—Net Assets | |
| Applicable to 47,178,265 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 855,456 |
| Net Asset Value Per Share— | |
| Signal Shares | $18.13 |
| |
| | Amount |
| | ($000) |
| Institutional Shares—Net Assets | |
| Applicable to 154,827,286 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,697,885 |
| Net Asset Value Per Share— | |
| Institutional Shares | $17.43 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 72,396,100 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 3,233,379 |
| Net Asset Value Per Share— | |
| ETF Shares | $44.66 |
• 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 $11,416,000.
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 $12,053,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
35
| |
| Value Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 155,379 |
| Interest1 | 4 |
| Security Lending | 492 |
| Total Income | 155,875 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 391 |
| Management and Administrati ve—Investor Shares | 3,798 |
| Management and Administrati ve—Admiral Shares | 661 |
| Management and Administrati ve—Signal Shares | 376 |
| Management and Administrati ve—Institutional Shares | 625 |
| Management and Administrati ve—ETF Shares | 1,354 |
| Marketing and Distribution& #151;Investor Shares | 439 |
| Marketing and Distribution& #151;Admiral Shares | 128 |
| Marketing and Distribution& #151;Signal Shares | 133 |
| Marketing and Distribution& #151;Institutional Shares | 380 |
| Marketing and Distribution& #151;ETF Shares | 463 |
| Custodian Fees | 76 |
| Shareholders’ Reports—Investor Shares | 50 |
| Shareholders’ Reports—Admiral Shares | 2 |
| Shareholders’ Reports—Signal Shares | 6 |
| Shareholders’ Reports—Institutional Shares | 31 |
| Shareholders’ Reports—ETF Shares | 73 |
| Trustees’ Fees and Expenses | 10 |
| Total Expenses | 8,996 |
| Net Investment Income | 146,879 |
| Realized Net Gain (Loss) on Investment Securities Sold | 635,423 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (1,428,878) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (646,576) |
| 1 Interest income from an affiliated company of the fund was $4,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
36
| | |
| Value Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 146,879 | 304,146 |
| Realized Net Gain (Loss) | 635,423 | (1,182,895) |
| Change in Unrealized Appreciation (Depreciation) | (1,428,878) | 2,843,335 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (646,576) | 1,964,586 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (38,015) | (89,175) |
| Admiral Shares | (17,376) | (40,743) |
| Signal Shares | (10,983) | (24,281) |
| Institutional Shares | (35,247) | (75,494) |
| ETF Shares | (40,977) | (83,082) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (142,598) | (312,775) |
| Capital Share Transactions | | |
| Investor Shares | (1,121) | 222,645 |
| Admiral Shares | 28,060 | (34,694) |
| Signal Shares | 8,359 | 137,348 |
| Institutional Shares | 69,990 | 431,888 |
| ETF Shares | 322,083 | 558,365 |
| Net Increase (Decrease) from Capital Share Transactions | 427,371 | 1,315,552 |
| Total Increase (Decrease) | (361,803) | 2,967,363 |
| Net Assets | | |
| Beginning of Period | 11,641,433 | 8,674,070 |
| End of Period1 | 11,279,630 | 11,641,433 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($11,506,000) and ($15,787,000).
See accompanying Notes, which are an integral part of the Financial Statements.
37
| | | | | | |
| Value Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Investor Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $18.63 | $16.08 | $25.94 | $26.58 | $22.29 | $21.35 |
| Investment Operations | | | | | | |
| Net Investment Income | .219 | .498 | .660 | .687 | .586 | .559 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.217) | 2.561 | (9.863) | (.644) | 4.295 | .936 |
| Total from Investment Operations | (.998) | 3.059 | (9.203) | .043 | 4.881 | 1.495 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.212) | (.509) | (.657) | (.683) | (.591) | (.555) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.212) | (.509) | (.657) | (.683) | (.591) | (.555) |
| Net Asset Value, End of Period | $17.42 | $18.63 | $16.08 | $25.94 | $26.58 | $22.29 |
| |
| Total Return1 | -5.45% | 19.58% | -35.97% | 0.09% | 22.15% | 7.09% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $3,138 | $3,357 | $2,618 | $4,310 | $4,417 | $3,376 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.26%2 | 0.26% | 0.21% | 0.20% | 0.21% | 0.21% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.34%2 | 3.09% | 3.14% | 2.49% | 2.48% | 2.63% |
| Portfolio Turnover Rate3 | 27%2 | 31% | 27% | 20% | 20% | 21% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.
38
| | | | | | |
| Value Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $18.63 | $16.08 | $25.94 | $26.58 | $22.29 | $21.35 |
| Investment Operations | | | | | | |
| Net Investment Income | .233 | .517 | .681 | .710 | .611 | .581 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.217) | 2.562 | (9.863) | (.640) | 4.295 | .936 |
| Total from Investment Operations | (.984) | 3.079 | (9.182) | .070 | 4.906 | 1.517 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.226) | (.529) | (.678) | (.710) | (.616) | (.577) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.226) | (.529) | (.678) | (.710) | (.616) | (.577) |
| Net Asset Value, End of Period | $17.42 | $18.63 | $16.08 | $25.94 | $26.58 | $22.29 |
| |
| Total Return | -5.38% | 19.72% | -35.90% | 0.18% | 22.27% | 7.20% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,355 | $1,421 | $1,262 | $2,069 | $2,625 | $1,880 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.14% | 0.11% | 0.10% | 0.11% | 0.11% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.48%1 | 3.21% | 3.24% | 2.59% | 2.58% | 2.72% |
| Portfolio Turnover Rate2 | 27%1 | 31% | 27% | 20% | 20% | 21% |
1 Annualized.
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.
39
| | | | |
| Value Index Fund | | | | |
| |
| |
| Financial Highlights | | | | |
| |
| |
| Signal Shares | | | | |
| | | | | |
| | Six Months | | June 4, |
| | Ended | Year Ended | 20071 to |
| | June 30, | | December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 |
| Net Asset Value, Beginning of Period | $19.38 | $16.73 | $27.00 | $30.14 |
| Investment Operations | | | | |
| Net Investment Income | .242 | .538 | .710 | .442 |
| Net Realized and Unrealized Gain (Loss) on Investments | (1.258) | 2.663 | (10.274) | (3.017) |
| Total from Investment Operations | (1.016) | 3.201 | (9.564) | (2.575) |
| Distributions | | | | |
| Dividends from Net Investment Income | (.234) | (.551) | (.706) | (.565) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (.234) | (.551) | (.706) | (.565) |
| Net Asset Value, End of Period | $18.13 | $19.38 | $16.73 | $27.00 |
| |
| Total Return | -5.34% | 19.70% | -35.93% | -8.61% |
| |
| Ratios/Supplemental Data | | | | |
| Net Assets, End of Period (Millions) | $855 | $907 | $638 | $864 |
| Ratio of Total Expenses to Average Net Assets | 0.12%2 | 0.14% | 0.11% | 0.10%2 |
| Ratio of Net Investment Income to Average Net Assets | 2.48%2 | 3.21% | 3.24% | 2.59%2 |
| Portfolio Turnover Rate3 | 27%2 | 31% | 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.
40
| | | | | | |
| Value Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $18.63 | $16.08 | $25.94 | $26.58 | $22.29 | $21.35 |
| Investment Operations | | | | | | |
| Net Investment Income | .236 | .527 | .690 | .722 | .618 | .588 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.207) | 2.562 | (9.864) | (.644) | 4.295 | .936 |
| Total from Investment Operations | (.971) | 3.089 | (9.174) | .078 | 4.913 | 1.524 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.229) | (.539) | (.686) | (.718) | (.623) | (.584) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.229) | (.539) | (.686) | (.718) | (.623) | (.584) |
| Net Asset Value, End of Period | $17.43 | $18.63 | $16.08 | $25.94 | $26.58 | $22.29 |
| |
| Total Return | -5.31% | 19.79% | -35.88% | 0.21% | 22.31% | 7.23% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,698 | $2,812 | $1,992 | $2,660 | $2,209 | $1,224 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08%1 | 0.08% | 0.07% | 0.07% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.52%1 | 3.27% | 3.28% | 2.62% | 2.61% | 2.76% |
| Portfolio Turnover Rate2 | 27%1 | 31% | 27% | 20% | 20% | 21% |
1 Annualized.
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.
41
| | | | | | |
| Value Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $47.75 | $41.21 | $66.51 | $68.14 | $57.14 | $54.74 |
| Investment Operations | | | | | | |
| Net Investment Income | .597 | 1.324 | 1.754 | 1.830 | 1.565 | 1.489 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (3.110) | 6.573 | (25.311) | (1.640) | 11.016 | 2.392 |
| Total from Investment Operations | (2.513) | 7.897 | (23.557) | .190 | 12.581 | 3.881 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.577) | (1.357) | (1.743) | (1.820) | (1.581) | (1.481) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.577) | (1.357) | (1.743) | (1.820) | (1.581) | (1.481) |
| Net Asset Value, End of Period | $44.66 | $47.75 | $41.21 | $66.51 | $68.14 | $57.14 |
| |
| Total Return | -5.34% | 19.72% | -35.91% | 0.20% | 22.28% | 7.19% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $3,233 | $3,145 | $2,165 | $2,215 | $1,646 | $600 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.14% | 0.10% | 0.10% | 0.11% | 0.11% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.48%1 | 3.21% | 3.25% | 2.59% | 2.58% | 2.72% |
| Portfolio Turnover Rate2 | 27%1 | 31% | 27% | 20% | 20% | 21% |
1 Annualized.
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
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 s hares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF S hares. 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 and Institutional Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. 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 th e 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 sec urities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, 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 tho se 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 a llocated 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 June 30, 2010, the fund had contributed capital of
43
Value Index Fund
$2,285,000 to Vanguard (included in Other Assets), representing 0.02% 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. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quote d 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 June 30, 2010, 100% of the fund’s investments were valued based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the trea tment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $8,247,000 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 reclassif ied from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only a t the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $2,951,160,000 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 $1,633,260,000 through December 31, 2017. In addition, the fund realized losses of $300,775,000 during the period from November 1, 2009, through December 31, 2009, which are deferred and will be treated as realized for tax purposes in fiscal 2010. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2010, the cost of investment securities for tax purposes was $12,477,061,000. Net unrealized depreciation of investment securities for tax purposes was $1,183,266,000, consisting of unrealized gains of $658,749,000 on securities that had risen in value since their purchase and $1,842,015,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2010, the fund purchased $2,034, 346,000 of investment securities and sold $1,605,160,000 of investment securities, other than temporary cash investments.
44
Value Index Fund
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 302,614 | 15,848 | 818,659 | 54,892 |
| Issued in Lieu of Cash Distributions | 36,004 | 1,901 | 84,147 | 5,211 |
| Redeemed | (339,739) | (17,851) | (680,161) | (42,723) |
| Net Increase (Decrease)—Investor Shares | (1,121) | (102) | 222,645 | 17,380 |
| Admiral Shares | | | | |
| Issued | 121,991 | 6,403 | 199,402 | 12,749 |
| Issued in Lieu of Cash Distributions | 14,637 | 773 | 34,372 | 2,141 |
| Redeemed | (108,568) | (5,707) | (268,468) | (17,098) |
| Net Increase (Decrease)—Admiral Shares | 28,060 | 1,469 | (34,694) | (2,208) |
| Signal Shares | | | | |
| Issued | 122,052 | 6,154 | 319,685 | 19,549 |
| Issued in Lieu of Cash Distributions | 9,542 | 484 | 21,844 | 1,301 |
| Redeemed | (123,235) | (6,226) | (204,181) | (12,194) |
| Net Increase (Decrease)—Signal Shares | 8,359 | 412 | 137,348 | 8,656 |
| Institutional Shares | | | | |
| Issued | 241,451 | 12,692 | 736,050 | 45,857 |
| Issued in Lieu of Cash Distributions | 32,395 | 1,710 | 68,821 | 4,239 |
| Redeemed | (203,856) | (10,542) | (372,983) | (23,026) |
| Net Increase (Decrease)—Institutional Shares | 69,990 | 3,860 | 431,888 | 27,070 |
| ETF Shares | | | | |
| Issued | 341,834 | 6,938 | 1,503,873 | 34,815 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (19,751) | (400) | (945,508) | (21,500) |
| Net Increase (Decrease)—ETF Shares | 322,083 | 6,538 | 558,365 | 13,315 |
G. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
45
Large-Cap Index Fund
Fund Profile
As of June 30, 2010
| | | | | |
| Share-Class Characteristics | | | | | |
| | Investor | Admiral | Signal | Institutional | ETF |
| | Shares | Shares | Shares | Shares | Shares |
| Ticker Symbol | VLACX | VLCAX | VLCSX | VLISX | VV |
| Expense Ratio1 | 0.26% | 0.12% | 0.12% | 0.08% | 0.12% |
| 30-Day SEC Yield | 1.67% | 1.81% | 1.81% | 1.85% | 1.81% |
| | | |
| Portfolio Characteristics | | |
| | | MSCI US | DJ |
| | | Prime | U.S. Total |
| | | Market | Market |
| | Fund | 750 Index | Index |
| Number of Stocks | 755 | 754 | 4,114 |
| Median Market Cap $31.3B | $31.3B | $25.2B |
| Price/Earnings Ratio | 16.5x | 16.5x | 17.6x |
| Price/Book Ratio | 1.9x | 1.9x | 1.9x |
| Return on Equity | 20.3% | 20.2% | 19.1% |
| Earnings Growth Rate | 6.9% | 6.9% | 6.6% |
| Dividend Yield | 2.1% | 2.1% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 9% | — | — |
| Short-Term Reserves | 0.1% | — | — |
| |
| |
| Volatility Measures | | | |
| | | | DJ |
| | MSCI US | U.S. Total |
| | Prime Market | Market |
| | 750 Index | Index |
| R-Squared | | 1.00 | 1.00 |
| Beta | | 1.00 | 0.97 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
| | |
| Exxon Mobil Corp. | Integrated Oil & | |
| | Gas | 2.9% |
| Apple Inc. | Computer | |
| | Hardware | 2.3 |
| Microsoft Corp. | Systems Software | 1.8 |
| Procter & Gamble Co. | Household | |
| | Products | 1.7 |
| Johnson & Johnson | Pharmaceuticals | 1.6 |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.6 |
| General Electric Co. | Industrial | |
| | Conglomerates | 1.5 |
| JPMorgan Chase & Co. | Diversified Financial | |
| | Services | 1.4 |
| Bank of America Corp. | Diversified Financial | |
| | Services | 1.4 |
| AT&T Inc. | Integrated | |
| | Telecommunication | |
| | Services | 1.4 |
| Top Ten | | 17.6% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares.
46
Large-Cap Index Fund
Sector Diversification (% of equity exposure)
| | | |
| | | MSCI US | DJ |
| | | Prime | U.S. Total |
| | | Market | Market |
| | Fund | 750 Index | Index |
| Consumer | | | |
| Discretionary | 10.4% | 10.4% | 11.4% |
| Consumer Staples | 10.9 | 10.9 | 10.4 |
| Energy | 10.8 | 10.8 | 9.4 |
| Financials | 15.7 | 15.7 | 17.5 |
| Health Care | 12.4 | 12.4 | 11.7 |
| Industrials | 10.5 | 10.5 | 10.8 |
| Information | | | |
| Technology | 18.9 | 18.9 | 18.7 |
| Materials | 3.6 | 3.6 | 3.9 |
| Telecommunication | | | |
| Services | 3.0 | 3.0 | 2.7 |
| Utilities | 3.8 | 3.8 | 3.5 |
Investment Focus
47
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.
Fiscal-Year Total Returns (%): January 30, 2004, Through June 30, 2010
| | | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | | |
| |
| | Inception | One | Five | Since |
| | Date | Year | Years | Inception |
| Investor Shares | 1/30/2004 | 14.63% | -0.47% | 0.99% |
| Admiral Shares | 2/2/2004 | 14.82 | -0.36 | 1.05 |
| Signal Shares | 8/30/2007 | 14.79 | — | -8.99 |
| Institutional Shares | 6/30/2005 | 14.86 | -0.32 | -0.32 |
| ETF Shares | 1/27/2004 | | | |
| Market Price | | 14.85 | -0.33 | 0.94 |
| Net Asset Value | | 14.81 | -0.33 | 0.94 |
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
48
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 in sert to this report.
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 36,756 |
| Interest1 | 5 |
| Security Lending | 156 |
| Total Income | 36,917 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 165 |
| Management and Administrati ve—Investor Shares | 512 |
| Management and Administrati ve—Admiral Shares | 149 |
| Management and Administrati ve—Signal Shares | 113 |
| Management and Administrati ve—Institutional Shares | 41 |
| Management and Administrati ve—ETF Shares | 858 |
| Marketing and Distribution& #151;Investor Shares | 66 |
| Marketing and Distribution& #151;Admiral Shares | 31 |
| Marketing and Distribution& #151;Signal Shares | 35 |
| Marketing and Distribution& #151;Institutional Shares | 40 |
| Marketing and Distribution& #151;ETF Shares | 370 |
| Custodian Fees | 66 |
| Shareholders’ Reports—Investor Shares | 8 |
| Shareholders’ Reports—Admiral Shares | — |
| Shareholders’ Reports—Signal Shares | 1 |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 117 |
| Trustees’ Fees and Expenses | 3 |
| Total Expenses | 2,575 |
| Net Investment Income | 34,342 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 14,647 |
| Futures Contracts | 210 |
| Realized Net Gain (Loss) | 14,857 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (306,038) |
| Futures Contracts | (245) |
| Change in Unrealized Appreciation (Depreciation) | (306,283) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (257,084) |
| 1 Interest income from an affiliated company of the fund was $5,000. | |
| |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
49
| | |
| Large-Cap Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 34,342 | 77,095 |
| Realized Net Gain (Loss) | 14,857 | (41,748) |
| Change in Unrealized Appreciation (Depreciation) | (306,283) | 840,037 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (257,084) | 875,384 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (3,891) | (8,831) |
| Admiral Shares | (3,041) | (6,580) |
| Signal Shares | (2,482) | (4,595) |
| Institutional Shares | (2,058) | (6,135) |
| ETF Shares | (21,993) | (53,549) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (33,465) | (79,690) |
| Capital Share Transactions | | |
| Investor Shares | 43,605 | (17,470) |
| Admiral Shares | 23,773 | 11,594 |
| Signal Shares | 57,756 | 96,504 |
| Institutional Shares | (64,328) | 37,805 |
| ETF Shares | (9,456) | (3,836) |
| Net Increase (Decrease) from Capital Share Transactions | 51,350 | 124,597 |
| Total Increase (Decrease) | (239,199) | 920,291 |
| Net Assets | | |
| Beginning of Period | 3,817,294 | 2,897,003 |
| End of Period1 | 3,578,095 | 3,817,294 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,109,000) and ($1,986,000).
See accompanying Notes, which are an integral part of the Financial Statements.
50
| | | | | | |
| Large-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| Investor Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $20.47 | $16.41 | $26.59 | $25.42 | $22.38 | $21.41 |
| Investment Operations | | | | | | |
| Net Investment Income | .173 | .387 | .416 | .426 | .393 | .328 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.526) | 4.075 | (10.191) | 1.171 | 3.044 | .970 |
| Total from Investment Operations | (1.353) | 4.462 | (9.775) | 1.597 | 3.437 | 1.298 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.167) | (.402) | (.405) | (.427) | (.397) | (.328) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.167) | (.402) | (.405) | (.427) | (.397) | (.328) |
| Net Asset Value, End of Period | $18.95 | $20.47 | $16.41 | $26.59 | $25.42 | $22.38 |
| |
| Total Return1 | -6.68% | 27.60% | -37.08% | 6.29% | 15.49% | 6.12% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $453 | $448 | $376 | $346 | $211 | $94 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.26%2 | 0.26% | 0.21% | 0.20% | 0.20% | 0.20% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.67%2 | 2.24% | 2.12% | 1.69% | 1.74% | 1.72% |
| Portfolio Turnover Rate3 | 9%2 | 8% | 9% | 8% | 9% | 9% |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.
51
| | | | | | |
| Large-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $25.59 | $20.51 | $33.25 | $31.78 | $27.98 | $26.77 |
| Investment Operations | | | | | | |
| Net Investment Income | .234 | .516 | .547 | .570 | .514 | .431 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.896) | 5.097 | (12.750) | 1.470 | 3.806 | 1.209 |
| Total from Investment Operations | (1.662) | 5.613 | (12.203) | 2.040 | 4.320 | 1.640 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.228) | (.533) | (.537) | (.570) | (.520) | (.430) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.228) | (.533) | (.537) | (.570) | (.520) | (.430) |
| Net Asset Value, End of Period | $23.70 | $25.59 | $20.51 | $33.25 | $31.78 | $27.98 |
| |
| Total Return | -6.57% | 27.80% | -37.05% | 6.43% | 15.58% | 6.19% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $325 | $328 | $254 | $220 | $164 | $71 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.12% | 0.10% | 0.08% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.81%1 | 2.38% | 2.23% | 1.81% | 1.82% | 1.80% |
| Portfolio Turnover Rate2 | 9%1 | 8% | 9% | 8% | 9% | 9% |
1 Annualized.
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.
52
| | | | |
| Large-Cap Index Fund | | | | |
| |
| |
| Financial Highlights | | | | |
| |
| |
| Signal Shares | | | | |
| | | | | |
| | Six Months | | Aug. 30, |
| | Ended | Year Ended | 20071 to |
| | June 30, | | December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 |
| Net Asset Value, Beginning of Period | $22.32 | $17.89 | $29.00 | $28.74 |
| Investment Operations | | | | |
| Net Investment Income | .204 | .451 | .481 | .173 |
| Net Realized and Unrealized Gain (Loss) on Investments | (1.656) | 4.446 | (11.121) | .361 |
| Total from Investment Operations | (1.452) | 4.897 | (10.640) | .534 |
| Distributions | | | | |
| Dividends from Net Investment Income | (.198) | (.467) | (.470) | (.274) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (.198) | (.467) | (.470) | (.274) |
| Net Asset Value, End of Period | $20.67 | $22.32 | $17.89 | $29.00 |
| |
| Total Return | -6.58% | 27.81% | -37.03% | 1.85% |
| |
| Ratios/Supplemental Data | | | | |
| Net Assets, End of Period (Millions) | $281 | $247 | $102 | $39 |
| Ratio of Total Expenses to Average Net Assets | 0.12%2 | 0.12% | 0.10% | 0.08%2 |
| Ratio of Net Investment Income to Average Net Assets | 1.81%2 | 2.38% | 2.23% | 1.81%2 |
| Portfolio Turnover Rate3 | 9%2 | 8% | 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.
53
| | | | | | |
| Large-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| Six Months | | | | | June 30, |
| | Ended | | | | | 20051 to |
| For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $105.33 | $84.43 | $136.82 | $130.78 | $115.14 | $109.32 |
| Investment Operations | | | | | | |
| Net Investment Income | .979 | 2.160 | 2.283 | 2.344 | 2.151 | .989 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (7.814) | 20.973 | (52.440) | 6.047 | 15.660 | 5.863 |
| Total from Investment Operations | (6.835) | 23.133 | (50.157) | 8.391 | 17.811 | 6.852 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.955) | (2.233) | (2.233) | (2.351) | (2.171) | (1.032) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.955) | (2.233) | (2.233) | (2.351) | (2.171) | (1.032) |
| Net Asset Value, End of Period | $97.54 | $105.33 | $84.43 | $136.82 | $130.78 | $115.14 |
| |
| Total Return | -6.57% | 27.84% | -37.01% | 6.42% | 15.61% | 6.28% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $223 | $306 | $207 | $103 | $79 | $83 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08%2 | 0.08% | 0.07% | 0.08% | 0.08% | 0.08%2 |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.85%2 | 2.42% | 2.26% | 1.81% | 1.86% | 1.83%2 |
| Portfolio Turnover Rate3 | 9%2 | 8% | 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.
54
| | | | | | |
| Large-Cap Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $50.67 | $40.61 | $65.83 | $62.92 | $55.40 | $52.99 |
| Investment Operations | | | | | | |
| Net Investment Income | .461 | 1.022 | 1.098 | 1.136 | 1.044 | .873 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (3.761) | 10.095 | (25.243) | 2.912 | 7.529 | 2.410 |
| Total from Investment Operations | (3.300) | 11.117 | (24.145) | 4.048 | 8.573 | 3.283 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.450) | (1.057) | (1.075) | (1.138) | (1.053) | (.873) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.450) | (1.057) | (1.075) | (1.138) | (1.053) | (.873) |
| Net Asset Value, End of Period | $46.92 | $50.67 | $40.61 | $65.83 | $62.92 | $55.40 |
| |
| Total Return | -6.58% | 27.80% | -37.02% | 6.44% | 15.61% | 6.26% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,296 | $2,489 | $1,957 | $1,162 | $587 | $178 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12%1 | 0.12% | 0.07% | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.81%1 | 2.38% | 2.26% | 1.82% | 1.87% | 1.84% |
| Portfolio Turnover Rate2 | 9%1 | 8% | 9% | 8% | 9% | 9% |
1 Annualized.
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.
55
Large-Cap Index Fund
Notes to Financial Statements
Vanguard Large-Cap Index Fund is registered under the Investment Company Act of 1940 as an openend 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 and Institutional Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. 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 th e 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 sec urities’ 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 t he 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 pri ces. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, 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.
56
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 tho se 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 a llocated 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 June 30, 2010, the fund had contributed capital of $724,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.29% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quote d 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 June 30, 2010, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 3,572,878 | — | — |
| Temporary Cash Investments | 9,567 | 999 | — |
| Futures Contracts—Liabilities1 | (26) | — | — |
| Total | 3,582,419 | 999 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
57
Large-Cap Index Fund
D. At June 30, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) w ere:
| | | | |
| | | | | ($000) |
| | | | Aggregate | |
| | | Number of | Settlement | Unrealized |
| | | Long (Short) | Value | Appreciation |
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini S&P 500 Index | September 2010 | 54 | 2,772 | (197) |
| S&P 500 Index | September 2010 | 1 | 256 | (7) |
Unrealized appreciation (depreciation) on open futures contracts is required t o be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the trea tment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $22,393,000 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 share-holders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only a t the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $167,439,000 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 $117,390,000 through December 31, 2017. In addition, the fund realized losses of $9,237,000 during th e period from November 1, 2009, through December 31, 2009, which are deferred and will be treated as realized for tax purposes in fiscal 2010. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2010, the cost of investment securities for tax purposes was $3,932,168,000. Net unrealized depreciation of investment securities for tax purposes was $348,724,000, consisting of unrealized gains of $222,325,000 on securities that had risen in value since their purchase and $571,049,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2010, the fund purchased $292,50 5,000 of investment securities and sold $237,263,000 of investment securities, other than temporary cash investments.
58
Large-Cap Index Fund
| | | | |
| G. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 126,445 | 6,033 | 212,151 | 12,664 |
| Issued in Lieu of Cash Distributions | 3,567 | 172 | 7,884 | 446 |
| Redeemed | (86,407) | (4,172) | (237,505) | (14,175) |
| Net Increase (Decrease)—Investor Shares | 43,605 | 2,033 | (17,470) | (1,065) |
| Admiral Shares | | | | |
| Issued | 66,103 | 2,529 | 132,003 | 6,333 |
| Issued in Lieu of Cash Distributions | 2,503 | 97 | 5,459 | 246 |
| Redeemed | (44,833) | (1,721) | (125,868) | (6,164) |
| Net Increase (Decrease)—Admiral Shares | 23,773 | 905 | 11,594 | 415 |
| Signal Shares | | | | |
| Issued | 82,775 | 3,628 | 166,455 | 8,851 |
| Issued in Lieu of Cash Distributions | 1,766 | 78 | 3,330 | 169 |
| Redeemed | (26,785) | (1,175) | (73,281) | (3,666) |
| Net Increase (Decrease)—Signal Shares | 57,756 | 2,531 | 96,504 | 5,354 |
| Institutional Shares | | | | |
| Issued | 44,427 | 411 | 87,330 | 999 |
| Issued in Lieu of Cash Distributions | 1,776 | 17 | 5,678 | 62 |
| Redeemed | (110,531) | (1,043) | (55,203) | (610) |
| Net Increase (Decrease)—Institutional Shares | (64,328) | (615) | 37,805 | 451 |
| ETF Shares | | | | |
| Issued | 59,021 | 1,114 | 345,480 | 8,726 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (68,477) | (1,300) | (349,316) | (7,800) |
| Net Increase (Decrease)—ETF Shares | (9,456) | (186) | (3,836) | 926 |
H. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
59
Total Stock Market Index Fund
Fund Profile
As of June 30, 2010
| | | | | |
| Share-Class Characteristics | | | | | |
| | Investor | Admiral | Signal | Institutional | ETF |
| | Shares | Shares | Shares | Shares | Shares |
| Ticker Symbol | VTSMX | VTSAX | VTSSX | VITSX | VTI |
| Expense Ratio1 | 0.18% | 0.07% | 0.07% | 0.06% | 0.07% |
| 30-Day SEC Yield | 1.71% | 1.81% | 1.81% | 1.82% | 1.81% |
| | |
| Portfolio Characteristics | | |
| | | MSCI US |
| | | Broad Market |
| | Fund | Index |
| Number of Stocks | 3,421 | 3,550 |
| Median Market Cap | $25.1B | $25.1B |
| Price/Earnings Ratio | 17.2x | 17.3x |
| Price/Book Ratio | 1.9x | 1.9x |
| Return on Equity | 19.3% | 19.2% |
| Earnings Growth Rate | 6.8% | 6.8% |
| Dividend Yield | 2.0% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% |
| Turnover Rate | | |
| (Annualized) | 3% | — |
| Short-Term Reserves | 0.3% | — |
| |
| Volatility Measures | | |
| | | MSCI US |
| | | Broad Market |
| | | Index |
| R-Squared | | 1.00 |
| Beta | | 1.00 |
These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months.
Ten Largest Holdings (% of total net assets)
| | |
| Exxon Mobil Corp. | Integrated Oil & | |
| | Gas | 2.5% |
| Apple Inc. | Computer | |
| | Hardware | 2.0 |
| Microsoft Corp. | Systems Software | 1.6 |
| Procter & Gamble Co. | Household | |
| | Products | 1.5 |
| Johnson & Johnson | Pharmaceuticals | 1.4 |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.4 |
| General Electric Co. | Industrial | |
| | Conglomerates | 1.3 |
| JPMorgan Chase & Co. | Diversified Financial | |
| | Services | 1.3 |
| Bank of America Corp. | Diversified Financial | |
| | Services | 1.3 |
| AT&T Inc. | Integrated | |
| | Telecommunication | |
| | Services | 1.2 |
| Top Ten | | 15.5% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 29, 2010, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the six months ended June 30, 2010, the annualized expense ratios were 0.17% for Investor Shares, 0.07% for Admiral Shares, 0.07% for Signal Shares, 0.06% for Institutional Shares, and 0.07% for ETF Shares.
60
Total Stock Market Index Fund
Sector Diversification (% of equity exposure)
| | |
| | | MSCI US |
| | | Broad Market |
| | Fund | Index |
| Consumer Discretionary | 10.9% | 10.9% |
| Consumer Staples | 10.0 | 10.0 |
| Energy | 10.2 | 10.1 |
| Financials | 16.4 | 16.4 |
| Health Care | 12.3 | 12.3 |
| Industrials | 11.1 | 11.1 |
| Information Technology | 18.7 | 18.8 |
| Materials | 3.8 | 3.8 |
| Telecommunication | | |
| Services | 2.8 | 2.8 |
| Utilities | 3.8 | 3.8 |
Investment Focus
61
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.
Fiscal-Year Total Returns (%): December 31, 1999, Through June 30, 2010
| | | | |
| Average Annual Total Returns: Periods Ended June 30, 2010 | | | |
| |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Investor Shares | 4/27/1992 | 15.87% | -0.28% | -0.81% |
| Admiral Shares | 11/13/2000 | 16.00 | -0.19 | 0.041 |
| Signal Shares | 9/1/2006 | 15.99 | — | -3.341 |
| Institutional Shares | 7/7/1997 | 16.00 | -0.15 | -0.70 |
| ETF Shares | 5/24/2001 | | | |
| Market Price | | 15.96 | -0.17 | 0.471 |
| Net Asset Value | | 15.97 | -0.18 | 0.471 |
1 Return since inception.
For more information about how the ETF Shares' market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
62
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 Fun d—is included as an insert to this report.
| |
| | Six Months Ended |
| | June 30, 2010 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 1,188,944 |
| Interest1 | 427 |
| Security Lending | 18,897 |
| Total Income | 1,208,268 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 3,380 |
| Management and Administrati ve—Investor Shares | 41,781 |
| Management and Administrati ve—Admiral Shares | 6,246 |
| Management and Administrati ve—Signal Shares | 821 |
| Management and Administrati ve—Institutional Shares | 2,060 |
| Management and Administrati ve—ETF Shares | 2,248 |
| Marketing and Distribution& #151;Investor Shares | 7,765 |
| Marketing and Distribution& #151;Admiral Shares | 2,522 |
| Marketing and Distribution& #151;Signal Shares | 662 |
| Marketing and Distribution& #151;Institutional Shares | 2,235 |
| Marketing and Distribution& #151;ETF Shares | 1,858 |
| Custodian Fees | 909 |
| Shareholders’ Reports—Investor Shares | 209 |
| Shareholders’ Reports—Admiral Shares | 24 |
| Shareholders’ Reports—Signal Shares | 8 |
| Shareholders’ Reports—Institutional Shares | 39 |
| Shareholders’ Reports—ETF Shares | 275 |
| Trustees’ Fees and Expenses | 101 |
| Total Expenses | 73,143 |
| Net Investment Income | 1,135,125 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 925,085 |
| Futures Contracts | 14,733 |
| Realized Net Gain (Loss) | 939,818 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (9,921,292) |
| Futures Contracts | (15,066) |
| Change in Unrealized Appreciation (Depreciation) | (9,936,358) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (7,861,415) |
| 1 Interest income from an affiliated company of the fund was $391,000. | |
| |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
63
| | |
| Total Stock Market Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2010 | 2009 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 1,135,125 | 2,175,575 |
| Realized Net Gain (Loss) | 939,818 | 2,308,726 |
| Change in Unrealized Appreciation (Depreciation) | (9,936,358) | 21,880,122 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (7,861,415) | 26,364,423 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (513,197) | (1,040,191) |
| Admiral Shares | (260,311) | (513,860) |
| Signal Shares | (42,463) | (92,000) |
| Institutional Shares | (156,781) | (294,741) |
| ETF Shares | (125,662) | (249,604) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (1,098,414) | (2,190,396) |
| Capital Share Transactions | | |
| Investor Shares | 4,749,098 | 6,625,263 |
| Admiral Shares | 1,972,002 | 3,502,702 |
| Signal Shares | (90,270) | 76,072 |
| Institutional Shares | 2,652,552 | 2,143,723 |
| ETF Shares | 972,922 | 1,572,390 |
| Net Increase (Decrease) from Capital Share Transactions | 10,256,304 | 13,920,150 |
| Total Increase (Decrease) | 1,296,475 | 38,094,177 |
| Net Assets | | |
| Beginning of Period | 120,013,349 | 81,919,172 |
| End of Period1 | 121,309,824 | 120,013,349 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($42,719,000) and ($79,430,000).
See accompanying Notes, which are an integral part of the Financial Statements.
64
| | | | | | |
| Total Stock Market Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| Investor Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $27.45 | $21.80 | $35.36 | $34.09 | $30.00 | $28.77 |
| Investment Operations | | | | | | |
| Net Investment Income | .241 | .514 | .592 | .604 | .523 | .466 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.870) | 5.651 | (13.566) | 1.268 | 4.091 | 1.237 |
| Total from Investment Operations | (1.629) | 6.165 | (12.974) | 1.872 | 4.614 | 1.703 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.231) | (.515) | (.586) | (.602) | (.524) | (.473) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.231) | (.515) | (.586) | (.602) | (.524) | (.473) |
| Net Asset Value, End of Period | $25.59 | $27.45 | $21.80 | $35.36 | $34.09 | $30.00 |
| |
| Total Return1 | -6.00% | 28.70% | -37.04% | 5.49% | 15.51% | 5.98% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $58,509 | $58,004 | $39,440 | $50,183 | $39,095 | $29,785 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.17%2 | 0.18% | 0.16% | 0.15% | 0.19% | 0.19% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.75%2 | 2.22% | 2.04% | 1.71% | 1.66% | 1.62% |
| Portfolio Turnover Rate3 | 3%2 | 5% | 5% | 4% | 4% | 12%4 |
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.
4 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
65
| | | | | | |
| Total Stock Market Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $27.45 | $21.80 | $35.36 | $34.09 | $30.00 | $28.77 |
| Investment Operations | | | | | | |
| Net Investment Income | .254 | .539 | .615 | .631 | .555 | .495 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.868) | 5.650 | (13.566) | 1.268 | 4.091 | 1.237 |
| Total from Investment Operations | (1.614) | 6.189 | (12.951) | 1.899 | 4.646 | 1.732 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.246) | (.539) | (.609) | (.629) | (.556) | (.502) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.246) | (.539) | (.609) | (.629) | (.556) | (.502) |
| Net Asset Value, End of Period | $25.59 | $27.45 | $21.80 | $35.36 | $34.09 | $30.00 |
| |
| Total Return | -5.95% | 28.83% | -36.99% | 5.57% | 15.63% | 6.09% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $27,667 | $27,762 | $18,781 | $27,895 | $26,853 | $20,347 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07%1 | 0.07% | 0.08% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.85%1 | 2.33% | 2.12% | 1.79% | 1.76% | 1.72% |
| Portfolio Turnover Rate2 | 3%1 | 5% | 5% | 4% | 4% | 12%3 |
1 Annualized.
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.
66
| | | | | |
| Total Stock Market Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Signal Shares | | | | | |
| | Six Months | | | | Sept. 1, |
| | Ended | | | | 20061 to |
| | June 30, | Year Ended December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $26.50 | $21.04 | $34.13 | $32.91 | $30.47 |
| Investment Operations | | | | | |
| Net Investment Income | .245 | .520 | .595 | .607 | .181 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (1.807) | 5.459 | (13.096) | 1.220 | 2.536 |
| Total from Investment Operations | (1.562) | 5.979 | (12.501) | 1.827 | 2.717 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.238) | (.519) | (.589) | (.607) | (.277) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.238) | (.519) | (.589) | (.607) | (.277) |
| Net Asset Value, End of Period | $24.70 | $26.50 | $21.04 | $34.13 | $32.91 |
| |
| Total Return | -5.97% | 28.85% | -36.99% | 5.55% | 8.95% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $4,364 | $4,757 | $3,717 | $4,655 | $381 |
| Ratio of Total Expenses to Average Net Assets | 0.07%2 | 0.07% | 0.08% | 0.07% | 0.09%2 |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.85%2 | 2.33% | 2.12% | 1.79% | 1.76%2 |
| Portfolio Turnover Rate3 | 3%2 | 5% | 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.
67
| | | | | | |
| Total Stock Market Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 |
| Net Asset Value, Beginning of Period | $27.46 | $21.81 | $35.36 | $34.10 | $30.00 | $28.77 |
| Investment Operations | | | | | | |
| Net Investment Income | .256 | .541 | .624 | .638 | .573 | .504 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.868) | 5.650 | (13.557) | 1.260 | 4.091 | 1.237 |
| Total from Investment Operations | (1.612) | 6.191 | (12.933) | 1.898 | 4.664 | 1.741 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.248) | (.541) | (.617) | (.638) | (.564) | (.511) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.248) | (.541) | (.617) | (.638) | (.564) | (.511) |
| Net Asset Value, End of Period | $25.60 | $27.46 | $21.81 | $35.36 | $34.10 | $30.00 |
| |
| Total Return | -5.94% | 28.83% | -36.94% | 5.56% | 15.69% | 6.12% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $17,377 | $16,047 | $10,782 | $13,396 | $12,262 | $9,676 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.06%1 | 0.06% | 0.05% | 0.05% | 0.06% | 0.06% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.86%1 | 2.34% | 2.15% | 1.81% | 1.79% | 1.75% |
| Portfolio Turnover Rate2 | 3%1 | 5% | 5% | 4% | 4% | 12%3 |
1 Annualized.
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.
68
| | | | | | |
| Total Stock Market Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2010 | 2009 | 20081 | 20071 | 20061 | 20051 |
| Net Asset Value, Beginning of Period | $56.39 | $44.78 | $72.64 | $70.04 | $61.63 | $59.11 |
| Investment Operations | | | | | | |
| Net Investment Income | .522 | 1.106 | 1.270 | 1.298 | 1.152 | 1.027 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (3.847) | 11.611 | (27.874) | 2.600 | 8.409 | 2.535 |
| Total from Investment Operations | (3.325) | 12.717 | (26.604) | 3.898 | 9.561 | 3.562 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.505) | (1.107) | (1.256) | (1.298) | (1.151) | (1.042) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.505) | (1.107) | (1.256) | (1.298) | (1.151) | (1.042) |
| Net Asset Value, End of Period | $52.56 | $56.39 | $44.78 | $72.64 | $70.04 | $61.63 |
| |
| Total Return | -5.96% | 28.82% | -36.97% | 5.56% | 15.66% | 6.10% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $13,393 | $13,443 | $9,199 | $10,255 | $6,885 | $5,612 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07%2 | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.85%2 | 2.33% | 2.13% | 1.79% | 1.78% | 1.74% |
| Portfolio Turnover Rate3 | 3%2 | 5% | 5% | 4% | 4% | 12%4 |
1 Adjusted to reflect a 2-for-1 share split as of the close of business on June 13, 2008.
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.
4 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
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 investo rs who meet certain administrative, service, tenure, and account-size criteria. Signal Shares and Institutional Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. 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 th e 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 sec urities’ 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 t he 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 pri ces. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2006–2009), and for the period ended June 30, 2010, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
70
Total Stock Market 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 tho se 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 a llocated 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 June 30, 2010, the fund had contributed capital of $24,373,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 9.75% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quote d 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 June 30, 2010, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 120,991,565 | 71 | 72 |
| Temporary Cash Investments | 1,265,981 | 29,998 | — |
| Futures Contracts—Liabilities1 | (2,764) | — | — |
| Total | 122,254,782 | 30,069 | 72 |
| 1 Represents variation margin on the last day of the reporting period. | | | |
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Total Stock Market Index Fund
The following table summarizes changes in investments valued based on Level 3 inputs during the six months ended June 30, 2010:
| |
| | Investments in |
| | Common Stocks |
| Amount Valued Based on Level 3 Inputs | ($000) |
| Balance as of December 31, 2009 | 105 |
| Total Sales | (19) |
| Net Realized Gain (Loss) | (671) |
| Change in Unrealized Appreciation (Depreciation) | 657 |
| Balance as of June 30, 2010 | 72 |
D. At June 30, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) w ere:
| | | | |
| | | | | ($000) |
| | | | Aggregate | |
| | | Number of | Settlement | Unrealized |
| | | Long (Short) | Value | Appreciation |
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini S&P 500 Index | September 2010 | 2,550 | 130,891 | (4,046) |
| S&P 500 Index | September 2010 | 472 | 121,139 | (3,341) |
| E-mini Russell 2000 Index | September 2010 | 820 | 49,840 | (3,490) |
| S&P MidCap 400 Index | September 2010 | 92 | 32,660 | (2,103) |
| E-mini S&P MidCap 400 Index | September 2010 | 20 | 1,420 | (100) |
Unrealized appreciation (depreciation) on open futures contracts is required t o be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the trea tment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2010, the fund realized $327,038,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
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Total Stock Market Index Fund
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 purpose that reverses when the securities are sold; $59,748,000 of this difference remained at December 31, 2009. Through June 30, 2010, the fund realized tax-based gains on the sale of thes e securities that were $4,314,000 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 $55,434,000 between the securities’ cost for financial statement and tax purposes is reflected in unrealized appreciation.
The fund’s tax-basis capital gains and losses are determined only a t the end of each fiscal year. For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $2,683,915,000 to offset future net capital gains of $400,913,000 through December 31, 2013, $19,516,000 through December 31, 2015, and $2,263,486,000 through December 31, 2016. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2010; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2010, the cost of investment securities for tax purposes was $133,520,584,000. Net unrealized depreciation of investment securities for tax purposes was $11,232,897,000, consist ing of unrealized gains of $11,198,038,000 on securities that had risen in value since their purchase and $22,430,935,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2010, the fund purchased $12,640 ,973,000 of investment securities and sold $2,484,193,000 of investment securities, other than temporary cash investments.
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Total Stock Market Index Fund
| | | | |
| G. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | June 30, 2010 | December 31, 2009 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 8,665,325 | 312,216 | 13,704,175 | 613,438 |
| Issued in Lieu of Cash Distributions | 507,952 | 18,188 | 1,027,960 | 43,501 |
| Redeemed | (4,424,179) | (157,063) | (8,106,872) | (352,832) |
| Net Increase (Decrease)—Investor Shares | 4,749,098 | 173,341 | 6,625,263 | 304,107 |
| Admiral Shares | | | | |
| Issued | 3,578,553 | 127,160 | 6,218,375 | 270,647 |
| Issued in Lieu of Cash Distributions | 225,413 | 8,070 | 443,938 | 18,729 |
| Redeemed | (1,831,964) | (65,399) | (3,159,611) | (139,499) |
| Net Increase (Decrease)—Admiral Shares | 1,972,002 | 69,831 | 3,502,702 | 149,877 |
| Signal Shares | | | | |
| Issued | 772,734 | 28,664 | 1,437,692 | 66,128 |
| Issued in Lieu of Cash Distributions | 38,646 | 1,432 | 84,769 | 3,719 |
| Redeemed | (901,650) | (32,963) | (1,446,389) | (66,963) |
| Net Increase (Decrease)—Signal Shares | (90,270) | (2,867) | 76,072 | 2,884 |
| Institutional Shares | | | | |
| Issued | 3,788,565 | 135,101 | 4,339,078 | 187,044 |
| Issued in Lieu of Cash Distributions | 142,111 | 5,094 | 262,034 | 11,047 |
| Redeemed | (1,278,124) | (45,722) | (2,457,389) | (108,092) |
| Net Increase (Decrease)—Institutional Shares | 2,652,552 | 94,473 | 2,143,723 | 89,999 |
| ETF Shares | | | | |
| Issued | 1,607,917 | 27,715 | 2,229,514 | 47,357 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (634,995) | (11,300) | (657,124) | (14,400) |
| Net Increase (Decrease)—ETF Shares | 972,922 | 16,415 | 1,572,390 | 32,957 |
H. In preparing the financial statements as of June 30, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include 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.
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| | | |
| Six Months Ended June 30, 2010 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 12/31/2009 | 6/30/2010 | Period |
| Based on Actual Fund Return | | | |
| Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $920.97 | $1.24 |
| Admiral Shares | 1,000.00 | 921.64 | 0.57 |
| Signal Shares | 1,000.00 | 921.67 | 0.57 |
| Institutional Shares | 1,000.00 | 921.81 | 0.38 |
| ETF Shares | 1,000.00 | 921.63 | 0.57 |
| Value Index Fund | | | |
| Investor Shares | $1,000.00 | $945.55 | $1.25 |
| Admiral Shares | 1,000.00 | 946.24 | 0.58 |
| Signal Shares | 1,000.00 | 946.64 | 0.58 |
| Institutional Shares | 1,000.00 | 946.93 | 0.39 |
| ETF Shares | 1,000.00 | 946.55 | 0.58 |
| Large-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $933.22 | $1.25 |
| Admiral Shares | 1,000.00 | 934.31 | 0.58 |
| Signal Shares | 1,000.00 | 934.20 | 0.58 |
| Institutional Shares | 1,000.00 | 934.35 | 0.38 |
| ETF Shares | 1,000.00 | 934.21 | 0.58 |
| Total Stock Market Index Fund | | | |
| Investor Shares | $1,000.00 | $939.96 | $0.82 |
| Admiral Shares | 1,000.00 | 940.46 | 0.34 |
| Signal Shares | 1,000.00 | 940.32 | 0.34 |
| Institutional Shares | 1,000.00 | 940.55 | 0.29 |
| ETF Shares | 1,000.00 | 940.39 | 0.34 |
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| | | |
| Six Months Ended June 30, 2010 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 12/31/2009 | 6/30/2010 | Period |
| Based on Hypothetical 5% Yearly Return | | | |
| Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
| Admiral Shares | 1,000.00 | 1,024.20 | 0.60 |
| Signal Shares | 1,000.00 | 1,024.20 | 0.60 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
| Value Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
| Admiral Shares | 1,000.00 | 1,024.20 | 0.60 |
| Signal Shares | 1,000.00 | 1,024.20 | 0.60 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
| Large-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.51 | $1.30 |
| Admiral Shares | 1,000.00 | 1,024.20 | 0.60 |
| Signal Shares | 1,000.00 | 1,024.20 | 0.60 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
| Total Stock Market Index Fund | | | |
| Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
| Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
| Signal Shares | 1,000.00 | 1,024.45 | 0.35 |
| Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
| ETF Shares | 1,000.00 | 1,024.45 | 0.35 |
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 Growth Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; for the Value Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; for the Large-Cap Index Fund, 0.26% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.08% for Institutional Shares, and 0.12% for ETF Shares; and for the Total Stock Market Index Fund, 0.17% for Investor Shares, 0.07% for Admiral Shares, 0.07% for Signal Shares, 0.06% for Institutional Shares, and 0.07% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multi plied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
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Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Growth Index Fund, Value Index Fund, Large-Cap Index Fund, and Total Stock Market Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as the investment advisor for the funds. The board determined that continuing the funds’ interna lized management structure was in the best interests of the funds and their shareholders
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among ot hers. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the funds’ investment management over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the funds, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations, and that their results have been consistent with their investment strategies. Information about the funds’ most recent performance can be found on the Performance Summary pages of this r eport.
Cost
The board concluded that the funds’ expense ratios were well below the average expense ratios charged by funds in their peer groups. The board noted that the funds’ advisory expense ratios were also well below their peer-group averages. Information about the funds’ expense ratios appears in the About Your Fund’s Expenses secti on of this report as well as in the Financial Statements secti ons.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (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.
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.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. 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.
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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.
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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 162 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 Informatio n, which can be obtained, wit hout charge, by contacting Vanguard at 800-662-7447, or online at www.vanguard.com.
| |
| Interested Trustee1 | Rajiv L. Gupta |
| | Born 1945. Trustee Since December 2001.2 |
| F. William McNabb III | Principal Occupation(s) During the Past Five Years: |
| Born 1957. Trustee Since July 2009. Chairman of the | Chairman and Chief Executive Officer (retired 2009) |
| Board. Principal Occupation(s) During the Past Five | and President (2006–2008) of Rohm and Haas Co. |
| Years: Chairman of the Board of The Vanguard Group, | (chemicals); Director of Tyco International, Ltd. |
| Inc., and of each of the investment companies served | (diversified manufacturing and services) and Hewlett- |
| by The Vanguard Group, since January 2010; Director | Packard Co. (electronic computer manufacturing); |
| of The Vanguard Group since 2008; Chief Executive | Trustee of The Conference Board; Member of the |
| Officer and President of The Vanguard Group and of | Board of Managers of Delphi Automotive LLP |
| each of the investment companies served by The | (automotive components). |
| Vanguard Group since 2008; Director of Vanguard | |
| Marketing Corporation; Managing Director of The | Amy Gutmann |
| Vanguard Group (1995–2008). | Born 1949. Trustee Since June 2006. Principal |
| | Occupation(s) During the Past Five Years: President |
| | of the University of Pennsylvania; Christopher H. |
| Independent Trustees | Browne Distinguished Professor of Political Science |
| | in the School of Arts and Sciences with secondary |
| Emerson U. Fullwood | appointments at the Annenberg School for Commu- |
| Born 1948. Trustee Since January 2008. Principal | nication and the Graduate School of Education of |
| Occupation(s) During the Past Five Years: Executive | the University of Pennsylvania; Director of Carnegie |
| Chief Staff and Marketing Officer for North America | Corporation of New York, Schuylkill River Development |
| and Corporate Vice President (retired 2008) of Xerox | Corporation, and Greater Philadelphia Chamber of |
| Corporation (document management products and | Commerce; Trustee of the National Constitution Center; |
| services); Director of SPX Corporation (multi-industry | Chair of the Presidential Commission for the Study of |
| manufacturing), the United Way of Rochester, | Bioethical Issues. |
| Amerigroup Corporation (managed health care), | |
| the University of Rochester Medical Center, and | |
| Monroe Community College Foundation. | |
| | |
| JoAnn Heffernan Heisen | Executive Officers | |
| Born 1950. Trustee Since July 1998. Principal | | |
| Occupation(s) During the Past Five Years: Corporate | Thomas J. Higgins | |
| Vice President and Chief Global Diversity Officer since | Born 1957. Chief Financial Officer Since September |
| 2006 (retired 2008) and Member of the Executive | 2008. Principal Occupation(s) During the Past Five |
| Committee (retired 2008) of Johnson & Johnson | Years: Principal of The Vanguard Group, Inc.; Chief |
| (pharmaceuticals/consumer products); Vice President | Financial Officer of each of the investment companies |
| and Chief Information Officer of Johnson & Johnson | served by The Vanguard Group since 2008; Treasurer |
| (1997–2005); Director of the University Medical Center | of each of the investment companies served by The |
| at Princeton and Women’s Research and Education | Vanguard Group (1998–2008). |
| Institute; Member of the Advisory Board of the | | |
| Maxwell School of Citizenship and Public Affairs | Kathryn J. Hyatt | |
| at Syracuse University. | Born 1955. Treasurer Since November 2008. Principal |
| | Occupation(s) During the Past Five Years: Principal |
| F. Joseph Loughrey | of The Vanguard Group, Inc.; Treasurer of each of |
| Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard |
| Occupation(s) During the Past Five Years: President | Group since 2008; Assistant Treasurer of each of the |
| and Chief Operating Officer since 2005 (retired 2009) | investment companies served by The Vanguard Group |
| and Vice Chairman of the Board (2008–2009) of | (1988–2008). | |
| Cummins Inc. (industrial machinery); Director of | | |
| SKF AB (industrial machinery), Hillenbrand, Inc. | Heidi Stam | |
| (specialized consumer services), Sauer-Danfoss Inc. | Born 1956. Secretary Since July 2005. Principal |
| (machinery), the Lumina Foundation for Education, | Occupation(s) During the Past Five Years: Managing |
| and Oxfam America; Chairman of the Advisory Council | Director of The Vanguard Group, Inc., since 2006; |
| for the College of Arts and Letters at the University of | General Counsel of The Vanguard Group since 2005; |
| Notre Dame. | Secretary of The Vanguard Group and of each of the |
| | investment companies served by The Vanguard Group |
| André F. Perold | since 2005; Director and Senior Vice President of |
| Born 1952. Trustee Since December 2004. Principal | Vanguard Marketing Corporation since 2005; |
| Occupation(s) During the Past Five Years: George | Principal of The Vanguard Group (1997–2006). |
| Gund Professor of Finance and Banking at the Harvard | | |
| Business School; Chair of the Investment Committee | | |
| of HighVista Strategies LLC (private investment firm). | Vanguard Senior Management Team |
| |
| Alfred M. Rankin, Jr. | R. Gregory Barton | Michael S. Miller |
| Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | James M. Norris |
| Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Glenn W. Reed |
| President, and Chief Executive Officer of NACCO | Paul A. Heller | George U. Sauter |
| Industries, Inc. (forklift trucks/housewares/lignite); | | |
| Director of Goodrich Corporation (industrial products/ | | |
| aircraft systems and services); Chairman of the Federal | Chairman Emeritus and Senior Advisor |
| Reserve Bank of Cleveland; Trustee of The Cleveland | | |
| Museum of Art. | John J. Brennan | |
| | Chairman, 1996–2009 | |
| Peter F. Volanakis | Chief Executive Officer and President, 1996–2008 |
| Born 1955. Trustee Since July 2009. Principal | | |
| Occupation(s) During the Past Five Years: President | | |
| since 2007 and Chief Operating Officer since 2005 | Founder | |
| of Corning Incorporated (communications equipment); | | |
| President of Corning Technologies (2001–2005); | John C. Bogle | |
| Director of Corning Incorporated and Dow Corning; | Chairman and Chief Executive Officer, 1974–1996 |
| Trustee of the Corning Incorporated Foundation and | | |
| the Corning Museum of Glass; Overseer of the | | |
| Amos Tuck School of Business Administration at | | |
| Dartmouth College. | | |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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| | P.O. Box 2600 |
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| guidelines by visiting our website, Vanguard.com, and | |
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| available from the SEC’s website, sec.gov. In addition, | |
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| proxies for securities it owned during the 12 months | |
| ended June 30. To get the report, visit either | |
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| available on the SEC’s website, and you can receive | |
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| Commission, Washington, DC 20549-1520. | |
| |
| | © 2010 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q852 082010 |
Vanguard® U.S. Stock Index Funds Large-Cap Index Fund
Statement of Net Assets (unaudited)
As of June 30, 2010
The Statement of Net Assets should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes to Financial Statements, all of which appear in the accompanying report.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at 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 (99.8%)1 | | |
| Consumer Discretionary (10.4%) | |
| | McDonald’s Corp. | 380,119 | 25,038 |
| | Walt Disney Co. | 650,911 | 20,504 |
| | Home Depot Inc. | 600,350 | 16,852 |
| * | Amazon.com Inc. | 125,641 | 13,728 |
| | Target Corp. | 249,847 | 12,285 |
| | Comcast Corp. Class A | 682,953 | 11,863 |
| | Time Warner Inc. | 406,169 | 11,742 |
| * | DIRECTV Class A | 322,451 | 10,938 |
| * | Ford Motor Co. | 1,048,260 | 10,566 |
| | Lowe’s Cos. Inc. | 515,187 | 10,520 |
| | News Corp. Class A | 763,125 | 9,127 |
| | NIKE Inc. Class B | 133,316 | 9,006 |
| | Time Warner Cable Inc. | 124,575 | 6,488 |
| | Yum! Brands Inc. | 165,848 | 6,475 |
| | Starbucks Corp. | 262,651 | 6,382 |
| | Johnson Controls Inc. | 237,281 | 6,376 |
| | TJX Cos. Inc. | 148,330 | 6,222 |
| | Viacom Inc. Class B | 196,137 | 6,153 |
| | Comcast Corp. | 316,046 | 5,193 |
| | Carnival Corp. | 164,040 | 4,961 |
| * | Kohl’s Corp. | 102,989 | 4,892 |
| | Staples Inc. | 255,914 | 4,875 |
| | Best Buy Co. Inc. | 125,576 | 4,252 |
| | Coach Inc. | 110,807 | 4,050 |
| | Omnicom Group Inc. | 109,514 | 3,756 |
| * | Bed Bath & Beyond Inc. | 92,373 | 3,425 |
| | Gap Inc. | 170,372 | 3,315 |
| | McGraw-Hill Cos. Inc. | 111,670 | 3,142 |
| | Marriott International Inc. | | |
| | Class A | 101,329 | 3,034 |
| | CBS Corp. Class B | 221,153 | 2,860 |
| * | priceline.com Inc. | 16,098 | 2,842 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Starwood Hotels & Resorts | | |
| | Worldwide Inc. | 65,987 | 2,734 |
| | Mattel Inc. | 128,647 | 2,722 |
| | Stanley Black & Decker Inc. | 53,443 | 2,700 |
| | Macy’s Inc. | 148,994 | 2,667 |
| * | Las Vegas Sands Corp. | 116,764 | 2,585 |
| | Whirlpool Corp. | 26,540 | 2,331 |
| | Ross Stores Inc. | 43,662 | 2,327 |
| * | O’Reilly Automotive Inc. | 48,578 | 2,310 |
| | VF Corp. | 31,454 | 2,239 |
| | Genuine Parts Co. | 55,981 | 2,208 |
| | Wynn Resorts Ltd. | 28,306 | 2,159 |
| | Ltd Brands Inc. | 96,570 | 2,131 |
| | Fortune Brands Inc. | 53,715 | 2,105 |
| * | Liberty Media Corp.– | | |
| | Interactive | 200,130 | 2,101 |
| | Cablevision Systems Corp. | | |
| | Class A | 87,449 | 2,100 |
| * | Apollo Group Inc. Class A | 49,088 | 2,085 |
| * | AutoZone Inc. | 10,531 | 2,035 |
| | Nordstrom Inc. | 61,525 | 1,980 |
| * | Dollar Tree Inc. | 46,852 | 1,950 |
| | H&R Block Inc. | 118,365 | 1,857 |
| | Virgin Media Inc. | 110,570 | 1,845 |
| | Harley-Davidson Inc. | 82,673 | 1,838 |
| | Darden Restaurants Inc. | 46,902 | 1,822 |
| | Hasbro Inc. | 43,287 | 1,779 |
| | Family Dollar Stores Inc. | 46,382 | 1,748 |
| * | Discovery Communications | | |
| | Inc. Class A | 47,700 | 1,703 |
| * | NetFlix Inc. | 15,666 | 1,702 |
| | Advance Auto Parts Inc. | 33,417 | 1,677 |
| | Tiffany & Co. | 43,879 | 1,663 |
| | Polo Ralph Lauren Corp. | | |
| | Class A | 22,560 | 1,646 |
1
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | International Game | | |
| | Technology | 104,663 | 1,643 |
| * | Urban Outfitters Inc. | 47,583 | 1,636 |
| | JC Penney Co. Inc. | 75,032 | 1,612 |
| * | CarMax Inc. | 78,615 | 1,564 |
| * | Discovery | | |
| | Communications Inc. | 50,080 | 1,549 |
| * | BorgWarner Inc. | 41,269 | 1,541 |
| * | Chipotle Mexican Grill Inc. | | |
| | Class A | 11,183 | 1,530 |
| | Newell Rubbermaid Inc. | 98,428 | 1,441 |
| * | Autoliv Inc. | 30,001 | 1,436 |
| | Expedia Inc. | 74,481 | 1,399 |
| * | NVR Inc. | 2,054 | 1,345 |
| | DISH Network Corp. | | |
| | Class A | 73,489 | 1,334 |
| | PetSmart Inc. | 43,634 | 1,316 |
| * | Sirius XM Radio Inc. | 1,369,310 | 1,300 |
| | Scripps Networks | | |
| | Interactive Inc. Class A | 31,937 | 1,288 |
| | Wyndham Worldwide Corp. | 63,292 | 1,275 |
| * | Liberty Media Corp.–Capital | 30,135 | 1,263 |
| * | Liberty Global Inc. Class A | 47,675 | 1,239 |
| *,^ | Garmin Ltd. | 42,390 | 1,237 |
| * | Interpublic Group of | | |
| | Cos. Inc. | 171,181 | 1,221 |
| | DeVry Inc. | 22,567 | 1,185 |
| | Gannett Co. Inc. | 83,586 | 1,125 |
| * | Royal Caribbean Cruises Ltd. | 49,121 | 1,118 |
| * | Liberty Global Inc. | 42,020 | 1,092 |
| * | Sears Holdings Corp. | 16,296 | 1,054 |
| | Leggett & Platt Inc. | 52,379 | 1,051 |
| * | GameStop Corp. Class A | 55,311 | 1,039 |
| * | ITT Educational Services Inc. | 12,489 | 1,037 |
| * | Lear Corp. | 15,513 | 1,027 |
| | Strayer Education Inc. | 4,916 | 1,022 |
| * | Pulte Group Inc. | 121,186 | 1,003 |
| | DR Horton Inc. | 100,721 | 990 |
| | Abercrombie & Fitch Co. | 31,162 | 956 |
| * | Mohawk Industries Inc. | 20,686 | 947 |
| * | LKQ Corp. | 47,778 | 921 |
| * | Liberty Media Corp.–Starz | 17,443 | 904 |
| * | MGM Resorts International | 93,221 | 899 |
| | Washington Post Co. Class B | 2,102 | 863 |
| * | Dollar General Corp. | 29,969 | 826 |
| | American Eagle | | |
| | Outfitters Inc. | 69,659 | 819 |
| * | Toll Brothers Inc. | 49,985 | 818 |
| * | Goodyear Tire & Rubber Co. | 81,111 | 806 |
| * | TRW Automotive | | |
| | Holdings Corp. | 29,027 | 800 |
| | Lennar Corp. Class A | 54,042 | 752 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Harman International | | |
| | Industries Inc. | 24,485 | 732 |
| | Foot Locker Inc. | 55,320 | 698 |
| | Guess? Inc. | 21,240 | 664 |
| * | Hyatt Hotels Corp. Class A | 15,508 | 575 |
| | Burger King Holdings Inc. | 33,790 | 569 |
| * | Penn National Gaming Inc. | 23,622 | 546 |
| | Wendy’s/Arby’s Group Inc. | | |
| | Class A | 130,521 | 522 |
| | Brinker International Inc. | 35,907 | 519 |
| * | Lamar Advertising Co. | | |
| | Class A | 20,322 | 498 |
| | News Corp. Class B | 35,432 | 491 |
| *,^ | AutoNation Inc. | 23,933 | 467 |
| | Interactive Data Corp. | 13,266 | 443 |
| | Weight Watchers | | |
| | International Inc. | 12,113 | 311 |
| * | Education | | |
| | Management Corp. | 15,135 | 231 |
| * | Clear Channel Outdoor | | |
| | Holdings Inc. Class A | 14,545 | 126 |
| | | | 372,226 |
| Consumer Staples (10.9%) | | |
| | Procter & Gamble Co. | 1,025,970 | 61,538 |
| | Wal-Mart Stores Inc. | 807,510 | 38,817 |
| | Coca-Cola Co. | 732,826 | 36,729 |
| | PepsiCo Inc. | 574,904 | 35,040 |
| | Philip Morris | | |
| | International Inc. | 664,400 | 30,456 |
| | Kraft Foods Inc. | 616,130 | 17,252 |
| | Altria Group Inc. | 735,045 | 14,730 |
| | CVS Caremark Corp. | 490,962 | 14,395 |
| | Colgate-Palmolive Co. | 174,384 | 13,735 |
| | Walgreen Co. | 347,879 | 9,288 |
| | Kimberly-Clark Corp. | 146,979 | 8,911 |
| | Costco Wholesale Corp. | 155,274 | 8,514 |
| | General Mills Inc. | 232,717 | 8,266 |
| | Sysco Corp. | 209,404 | 5,983 |
| | Archer-Daniels-Midland Co. | 204,392 | 5,277 |
| | HJ Heinz Co. | 111,778 | 4,831 |
| | Kellogg Co. | 94,141 | 4,735 |
| | Kroger Co. | 218,161 | 4,296 |
| | Avon Products Inc. | 151,069 | 4,003 |
| | Lorillard Inc. | 54,717 | 3,939 |
| | ConAgra Foods Inc. | 156,672 | 3,654 |
| | Mead Johnson Nutrition Co. | 72,253 | 3,621 |
| | Dr. Pepper Snapple | | |
| | Group Inc. | 89,769 | 3,357 |
| | Sara Lee Corp. | 234,003 | 3,299 |
| | Reynolds American Inc. | 61,778 | 3,220 |
| | Clorox Co. | 49,615 | 3,084 |
| | Safeway Inc. | 137,177 | 2,697 |
| | Coca-Cola Enterprises Inc. | 104,178 | 2,694 |
2
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Hershey Co. | 56,147 | 2,691 |
| | Campbell Soup Co. | 72,787 | 2,608 |
| | JM Smucker Co. | 42,085 | 2,534 |
| | Molson Coors Brewing Co. | | |
| | Class B | 57,118 | 2,420 |
| | Bunge Ltd. | 48,268 | 2,374 |
| | Estee Lauder Cos. Inc. | | |
| | Class A | 39,928 | 2,225 |
| * | Whole Foods Market Inc. | 51,165 | 1,843 |
| | Tyson Foods Inc. Class A | 102,793 | 1,685 |
| | Brown-Forman Corp. Class B | 29,237 | 1,673 |
| | McCormick & Co. Inc. | 42,291 | 1,605 |
| | Church & Dwight Co. Inc. | 24,989 | 1,567 |
| * | Energizer Holdings Inc. | 23,368 | 1,175 |
| * | Constellation Brands Inc. | | |
| | Class A | 69,858 | 1,091 |
| * | Ralcorp Holdings Inc. | 19,296 | 1,057 |
| | Hormel Foods Corp. | 26,028 | 1,054 |
| * | Hansen Natural Corp. | 26,383 | 1,032 |
| | Alberto-Culver Co. Class B | 31,119 | 843 |
| | SUPERVALU Inc. | 74,781 | 811 |
| * | Smithfield Foods Inc. | 53,070 | 791 |
| | Flowers Foods Inc. | 29,348 | 717 |
| * | Dean Foods Co. | 63,636 | 641 |
| | | | 388,798 |
| Energy (10.7%) | | |
| | Exxon Mobil Corp. | 1,800,092 | 102,731 |
| | Chevron Corp. | 709,366 | 48,138 |
| | ConocoPhillips | 498,955 | 24,494 |
| | Schlumberger Ltd. | 422,345 | 23,373 |
| | Occidental Petroleum Corp. | 286,716 | 22,120 |
| | Apache Corp. | 118,857 | 10,007 |
| | Devon Energy Corp. | 149,912 | 9,133 |
| | EOG Resources Inc. | 89,185 | 8,773 |
| | Halliburton Co. | 319,767 | 7,850 |
| | Marathon Oil Corp. | 250,106 | 7,776 |
| | Baker Hughes Inc. | 151,811 | 6,311 |
| | Anadarko Petroleum Corp. | 174,042 | 6,281 |
| * | Transocean Ltd. | 113,755 | 5,270 |
| | Hess Corp. | 104,000 | 5,235 |
| | National Oilwell Varco Inc. | 147,603 | 4,881 |
| | Chesapeake Energy Corp. | 229,044 | 4,798 |
| * | Southwestern Energy Co. | 122,312 | 4,726 |
| | Spectra Energy Corp. | 228,369 | 4,583 |
| | Williams Cos. Inc. | 206,229 | 3,770 |
| | Peabody Energy Corp. | 95,018 | 3,718 |
| | Noble Energy Inc. | 61,520 | 3,712 |
| | Valero Energy Corp. | 199,518 | 3,587 |
| * | Weatherford | | |
| | International Ltd. | 260,301 | 3,420 |
| | Smith International Inc. | 87,843 | 3,307 |
| | Murphy Oil Corp. | 64,167 | 3,180 |
| * | Cameron International Corp. | 86,340 | 2,808 |
| | Noble Corp. | 90,775 | 2,806 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | El Paso Corp. | 247,351 | 2,748 |
| | Consol Energy Inc. | 77,569 | 2,619 |
| | Pioneer Natural | | |
| | Resources Co. | 40,893 | 2,431 |
| * | Ultra Petroleum Corp. | 53,689 | 2,376 |
| * | Newfield Exploration Co. | 47,020 | 2,297 |
| * | FMC Technologies Inc. | 43,121 | 2,271 |
| | Range Resources Corp. | 56,250 | 2,258 |
| | Cimarex Energy Co. | 29,593 | 2,118 |
| * | Denbury Resources Inc. | 133,365 | 1,952 |
| * | Petrohawk Energy Corp. | 106,374 | 1,805 |
| * | Nabors Industries Ltd. | 100,505 | 1,771 |
| * | Kinder Morgan | | |
| | Management LLC | 27,643 | 1,564 |
| | Diamond Offshore | | |
| | Drilling Inc. | 24,585 | 1,529 |
| * | Concho Resources Inc. | 27,440 | 1,518 |
| | Sunoco Inc. | 41,417 | 1,440 |
| * | Alpha Natural Resources Inc. | 42,511 | 1,440 |
| * | Whiting Petroleum Corp. | 17,984 | 1,410 |
| * | Pride International Inc. | 61,947 | 1,384 |
| | Helmerich & Payne Inc. | 37,239 | 1,360 |
| | Cabot Oil & Gas Corp. | 36,708 | 1,150 |
| | Arch Coal Inc. | 57,256 | 1,134 |
| * | Forest Oil Corp. | 37,640 | 1,030 |
| * | Plains Exploration & | | |
| | Production Co. | 49,105 | 1,012 |
| | EXCO Resources Inc. | 63,703 | 931 |
| * | Dresser-Rand Group Inc. | 29,292 | 924 |
| | Massey Energy Co. | 33,574 | 918 |
| * | Rowan Cos. Inc. | 40,136 | 881 |
| * | Oceaneering | | |
| | International Inc. | 19,392 | 871 |
| | Tidewater Inc. | 18,272 | 708 |
| | Patterson-UTI Energy Inc. | 54,125 | 697 |
| | Tesoro Corp. | 49,547 | 578 |
| * | Continental Resources Inc. | 11,990 | 535 |
| * | Quicksilver Resources Inc. | 42,197 | 464 |
| * | Cobalt International | | |
| | Energy Inc. | 23,338 | 174 |
| | | | 385,086 |
| Financials (15.7%) | | |
| | JPMorgan Chase & Co. | 1,403,301 | 51,375 |
| | Bank of America Corp. | 3,543,377 | 50,918 |
| | Wells Fargo & Co. | 1,738,359 | 44,502 |
| * | Citigroup Inc. | 7,543,511 | 28,364 |
| | Goldman Sachs Group Inc. | 172,527 | 22,648 |
| * | Berkshire Hathaway Inc. | | |
| | Class B | 202,452 | 16,133 |
| | US Bancorp | 675,507 | 15,098 |
| | American Express Co. | 380,257 | 15,096 |
| | MetLife Inc. | 289,229 | 10,921 |
| | Bank of New York | | |
| | Mellon Corp. | 426,741 | 10,536 |
3
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | PNC Financial Services | | |
| | Group Inc. | 182,529 | 10,313 |
| | Morgan Stanley | 444,316 | 10,313 |
| | Travelers Cos. Inc. | 181,298 | 8,929 |
| | Prudential Financial Inc. | 163,616 | 8,780 |
| | Simon Property Group Inc. | 102,407 | 8,269 |
| | Aflac Inc. | 165,719 | 7,071 |
| | CME Group Inc. | 23,548 | 6,630 |
| | Capital One Financial Corp. | 160,882 | 6,484 |
| | BB&T Corp. | 244,002 | 6,420 |
| | ACE Ltd. | 118,871 | 6,119 |
| | State Street Corp. | 175,057 | 5,920 |
| | Chubb Corp. | 116,092 | 5,806 |
| | Allstate Corp. | 180,158 | 5,176 |
| | Charles Schwab Corp. | 357,492 | 5,069 |
| | Franklin Resources Inc. | 56,520 | 4,871 |
| | Public Storage | 50,958 | 4,480 |
| | Marsh & McLennan | | |
| | Cos. Inc. | 188,175 | 4,243 |
| | Progressive Corp. | 225,593 | 4,223 |
| | Vornado Realty Trust | 57,666 | 4,207 |
| | Equity Residential | 99,643 | 4,149 |
| | SunTrust Banks Inc. | 176,432 | 4,111 |
| | T Rowe Price Group Inc. | 91,573 | 4,065 |
| | Loews Corp. | 119,429 | 3,978 |
| | Northern Trust Corp. | 76,899 | 3,591 |
| | Boston Properties Inc. | 49,122 | 3,504 |
| | Fifth Third Bancorp | 280,443 | 3,447 |
| | Annaly Capital | | |
| | Management Inc. | 195,363 | 3,350 |
| | HCP Inc. | 103,822 | 3,348 |
| | Ameriprise Financial Inc. | 90,283 | 3,262 |
| | Hartford Financial | | |
| | Services Group Inc. | 146,128 | 3,234 |
| | AON Corp. | 84,705 | 3,144 |
| | Host Hotels & Resorts Inc. | 222,518 | 3,000 |
| | Regions Financial Corp. | 420,665 | 2,768 |
| | AvalonBay Communities Inc. | 28,879 | 2,696 |
| | Discover Financial Services | 191,957 | 2,684 |
| | Principal Financial Group Inc. | 112,909 | 2,647 |
| | Ventas Inc. | 55,479 | 2,605 |
| | Lincoln National Corp. | 106,519 | 2,587 |
| | Invesco Ltd. | 152,200 | 2,562 |
| | Unum Group | 117,382 | 2,547 |
| | NYSE Euronext | 91,958 | 2,541 |
| * | IntercontinentalExchange Inc. | 22,117 | 2,500 |
| | M&T Bank Corp. | 29,401 | 2,498 |
| | KeyCorp | 310,358 | 2,387 |
| * | CIT Group Inc. | 67,085 | 2,271 |
| | Comerica Inc. | 61,561 | 2,267 |
| * | Genworth Financial Inc. | | |
| | Class A | 172,489 | 2,254 |
| | New York Community | | |
| | Bancorp Inc. | 145,228 | 2,218 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Hudson City Bancorp Inc. | 167,253 | 2,047 |
| | Plum Creek Timber Co. Inc. | 57,454 | 1,984 |
| | XL Capital Ltd. Class A | 120,667 | 1,932 |
| | Kimco Realty Corp. | 143,121 | 1,924 |
| | Health Care REIT Inc. | 43,539 | 1,834 |
| | Willis Group Holdings PLC | 59,659 | 1,793 |
| | People’s United | | |
| | Financial Inc. | 132,047 | 1,783 |
| * | SLM Corp. | 171,061 | 1,777 |
| | BlackRock Inc. | 12,294 | 1,763 |
| | Digital Realty Trust Inc. | 30,001 | 1,730 |
| | Macerich Co. | 45,547 | 1,700 |
| | ProLogis | 167,269 | 1,694 |
| | PartnerRe Ltd. | 23,248 | 1,631 |
| | Legg Mason Inc. | 57,062 | 1,599 |
| | Federal Realty | | |
| | Investment Trust | 21,668 | 1,523 |
| | SL Green Realty Corp. | 27,468 | 1,512 |
| | Everest Re Group Ltd. | 21,352 | 1,510 |
| | Nationwide Health | | |
| | Properties Inc. | 41,437 | 1,482 |
| * | American International | | |
| | Group Inc. | 42,898 | 1,477 |
| | Torchmark Corp. | 29,287 | 1,450 |
| | Assurant Inc. | 41,161 | 1,428 |
| | Moody’s Corp. | 71,119 | 1,417 |
| | Cincinnati Financial Corp. | 54,539 | 1,411 |
| | Huntington Bancshares Inc. | 252,653 | 1,400 |
| * | Arch Capital Group Ltd. | 18,691 | 1,392 |
| | AMB Property Corp. | 58,440 | 1,386 |
| * | Leucadia National Corp. | 68,805 | 1,342 |
| | Axis Capital Holdings Ltd. | 44,174 | 1,313 |
| | WR Berkley Corp. | 48,427 | 1,281 |
| * | TD Ameritrade Holding Corp. | 83,303 | 1,275 |
| | Marshall & Ilsley Corp. | 176,347 | 1,266 |
| | Rayonier Inc. | 28,191 | 1,241 |
| | RenaissanceRe Holdings Ltd. | 21,289 | 1,198 |
| * | CB Richard Ellis Group Inc. | | |
| | Class A | 87,652 | 1,193 |
| | Reinsurance Group of | | |
| | America Inc. Class A | 25,767 | 1,178 |
| | Liberty Property Trust | 39,780 | 1,148 |
| | Zions Bancorporation | 52,997 | 1,143 |
| | Eaton Vance Corp. | 41,277 | 1,140 |
| * | Markel Corp. | 3,299 | 1,122 |
| | Realty Income Corp. | 36,793 | 1,116 |
| | Transatlantic Holdings Inc. | 22,724 | 1,090 |
| | UDR Inc. | 55,403 | 1,060 |
| | Fidelity National Financial | | |
| | Inc. Class A | 77,206 | 1,003 |
| | Duke Realty Corp. | 87,756 | 996 |
| | Regency Centers Corp. | 28,698 | 987 |
| | Cullen/Frost Bankers Inc. | 19,102 | 982 |
| | HCC Insurance Holdings Inc. | 39,620 | 981 |
4
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Old Republic | | |
| | International Corp. | 80,530 | 977 |
| | SEI Investments Co. | 46,985 | 957 |
| * | First Horizon National Corp. | 80,465 | 921 |
| | Hospitality Properties Trust | 43,567 | 919 |
| | White Mountains Insurance | |
| | Group Ltd. | 2,829 | 917 |
| * | Affiliated Managers | | |
| | Group Inc. | 14,859 | 903 |
| | Commerce Bancshares Inc. | 24,881 | 895 |
| | Raymond James | | |
| | Financial Inc. | 35,094 | 866 |
| * | NASDAQ OMX Group Inc. | 48,368 | 860 |
| | City National Corp. | 16,397 | 840 |
| | Jefferies Group Inc. | 39,327 | 829 |
| | Brown & Brown Inc. | 42,631 | 816 |
| | Weingarten Realty Investors 40,115 | 764 |
| * | St. Joe Co. | 32,729 | 758 |
| | American Financial Group Inc. 27,691 | 757 |
| | TCF Financial Corp. | 44,662 | 742 |
| | Assured Guaranty Ltd. | 55,264 | 733 |
| | Associated Banc-Corp�� | 58,417 | 716 |
| | Federated Investors Inc. | | |
| | Class B | 32,692 | 677 |
| | Validus Holdings Ltd. | 25,590 | 625 |
| | Janus Capital Group Inc. | 64,435 | 572 |
| | Greenhill & Co. Inc. | 8,854 | 541 |
| | BOK Financial Corp. | 9,498 | 451 |
| | TFS Financial Corp. | 32,815 | 407 |
| | Mercury General Corp. | 9,798 | 406 |
| | Capitol Federal Financial | 7,940 | 263 |
| * | CBOE Holdings Inc. | 2,675 | 87 |
| | | | 560,962 |
| Health Care (12.3%) | | |
| | Johnson & Johnson | 974,503 | 57,554 |
| | Pfizer Inc. | 2,850,469 | 40,648 |
| | Merck & Co. Inc. | 1,078,904 | 37,729 |
| | Abbott Laboratories | 548,443 | 25,656 |
| * | Amgen Inc. | 351,467 | 18,487 |
| | Bristol-Myers Squibb Co. | 605,501 | 15,101 |
| | Medtronic Inc. | 389,974 | 14,144 |
| | Eli Lilly & Co. | 366,387 | 12,274 |
| | UnitedHealth Group Inc. | 408,735 | 11,608 |
| * | Gilead Sciences Inc. | 317,742 | 10,892 |
| * | Medco Health Solutions Inc. 163,912 | 9,028 |
| * | Express Scripts Inc. | 184,796 | 8,689 |
| | Baxter International Inc. | 212,891 | 8,652 |
| * | Celgene Corp. | 162,386 | 8,252 |
| * | WellPoint Inc. | 156,749 | 7,670 |
| | Covidien PLC | 176,764 | 7,102 |
| * | Thermo Fisher Scientific Inc. 144,711 | 7,098 |
| | McKesson Corp. | 95,140 | 6,390 |
| | Allergan Inc. | 107,398 | 6,257 |
| | Becton Dickinson and Co. | 83,251 | 5,629 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Stryker Corp. | 105,495 | 5,281 |
| * | Genzyme Corp. | 93,756 | 4,760 |
| * | Biogen Idec Inc. | 95,351 | 4,524 |
| * | Intuitive Surgical Inc. | 13,583 | 4,287 |
| | Cardinal Health Inc. | 127,510 | 4,286 |
| * | St. Jude Medical Inc. | 118,139 | 4,264 |
| | Aetna Inc. | 151,988 | 4,009 |
| * | Zimmer Holdings Inc. | 71,527 | 3,866 |
| * | Hospira Inc. | 57,938 | 3,329 |
| | AmerisourceBergen Corp. | | |
| | Class A | 99,774 | 3,168 |
| * | Boston Scientific Corp. | 533,055 | 3,092 |
| * | Life Technologies Corp. | 63,910 | 3,020 |
| | CIGNA Corp. | 96,998 | 3,013 |
| * | Forest Laboratories Inc. | 106,935 | 2,933 |
| * | Laboratory Corp. of | | |
| | America Holdings | 37,062 | 2,793 |
| * | Humana Inc. | 60,137 | 2,746 |
| | Quest Diagnostics Inc. | 53,704 | 2,673 |
| | CR Bard Inc. | 33,712 | 2,614 |
| * | Vertex Pharmaceuticals Inc. | 70,825 | 2,330 |
| * | Varian Medical Systems Inc. | 43,805 | 2,290 |
| * | DaVita Inc. | 36,432 | 2,275 |
| * | Edwards Lifesciences Corp. | 39,935 | 2,237 |
| * | Waters Corp. | 33,008 | 2,136 |
| * | Millipore Corp. | 19,812 | 2,113 |
| * | Cerner Corp. | 24,568 | 1,864 |
| * | Illumina Inc. | 42,492 | 1,850 |
| * | Mylan Inc. | 108,223 | 1,844 |
| * | Henry Schein Inc. | 31,992 | 1,756 |
| | Perrigo Co. | 28,988 | 1,712 |
| * | ResMed Inc. | 26,532 | 1,613 |
| * | Alexion Pharmaceuticals Inc. | 31,504 | 1,613 |
| * | Dendreon Corp. | 47,319 | 1,530 |
| * | CareFusion Corp. | 66,544 | 1,511 |
| * | Watson Pharmaceuticals Inc. | 37,093 | 1,505 |
| * | Cephalon Inc. | 26,497 | 1,504 |
| * | Human Genome | | |
| | Sciences Inc. | 66,089 | 1,498 |
| | Beckman Coulter Inc. | 24,720 | 1,490 |
| | DENTSPLY International Inc. | 49,273 | 1,474 |
| * | Mettler-Toledo | | |
| | International Inc. | 11,964 | 1,336 |
| * | Hologic Inc. | 91,009 | 1,268 |
| * | IDEXX Laboratories Inc. | 20,464 | 1,246 |
| | Universal Health | | |
| | Services Inc. Class B | 31,553 | 1,204 |
| * | Covance Inc. | 22,627 | 1,161 |
| * | Lincare Holdings Inc. | 34,682 | 1,128 |
| * | Community Health | | |
| | Systems Inc. | 33,067 | 1,118 |
| | Pharmaceutical Product | | |
| | Development Inc. | 39,713 | 1,009 |
| | Omnicare Inc. | 42,496 | 1,007 |
5
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Amylin Pharmaceuticals Inc. | 50,321 | 946 |
| | Patterson Cos. Inc. | 32,338 | 923 |
| * | Coventry Health Care Inc. | 52,100 | 921 |
| * | Warner Chilcott PLC Class A | 39,998 | 914 |
| * | Endo Pharmaceuticals | | |
| | Holdings Inc. | 41,496 | 905 |
| * | Health Net Inc. | 35,271 | 860 |
| * | Kinetic Concepts Inc. | 22,606 | 825 |
| * | Charles River Laboratories | | |
| | International Inc. | 23,187 | 793 |
| * | Gen-Probe Inc. | 17,397 | 790 |
| * | Inverness Medical | | |
| | Innovations Inc. | 27,813 | 742 |
| | Techne Corp. | 12,530 | 720 |
| * | King Pharmaceuticals Inc. | 87,801 | 666 |
| * | Bio-Rad Laboratories Inc. | | |
| | Class A | 6,706 | 580 |
| * | Myriad Genetics Inc. | 33,991 | 508 |
| * | Abraxis Bioscience Inc. | 2,811 | 209 |
| | | | 441,442 |
| Industrials (10.5%) | | |
| | General Electric Co. | 3,768,608 | 54,343 |
| | United Technologies Corp. | 314,562 | 20,418 |
| | 3M Co. | 238,774 | 18,861 |
| | Boeing Co. | 240,535 | 15,094 |
| | United Parcel Service Inc. | | |
| | Class B | 252,061 | 14,340 |
| | Caterpillar Inc. | 220,600 | 13,251 |
| | Union Pacific Corp. | 178,459 | 12,405 |
| | Emerson Electric Co. | 265,698 | 11,608 |
| | Honeywell International Inc. | 256,631 | 10,016 |
| | Lockheed Martin Corp. | 112,736 | 8,399 |
| | Deere & Co. | 149,237 | 8,309 |
| | FedEx Corp. | 105,031 | 7,364 |
| | Danaher Corp. | 194,288 | 7,212 |
| | Norfolk Southern Corp. | 130,572 | 6,927 |
| | CSX Corp. | 137,721 | 6,835 |
| | General Dynamics Corp. | 115,771 | 6,780 |
| | Raytheon Co. | 134,007 | 6,485 |
| | Tyco International Ltd. | 181,790 | 6,404 |
| | Illinois Tool Works Inc. | 150,940 | 6,231 |
| | Northrop Grumman Corp. | 101,623 | 5,532 |
| | Precision Castparts Corp. | 50,065 | 5,153 |
| | Waste Management Inc. | 162,875 | 5,096 |
| | PACCAR Inc. | 115,891 | 4,621 |
| | Cummins Inc. | 67,641 | 4,405 |
| | Republic Services Inc. | | |
| | Class A | 134,702 | 4,005 |
| | Ingersoll-Rand PLC | 113,502 | 3,915 |
| | Eaton Corp. | 55,739 | 3,648 |
| | CH Robinson Worldwide Inc. | 58,972 | 3,282 |
| * | Delta Air Lines Inc. | 277,455 | 3,260 |
| | Parker Hannifin Corp. | 56,836 | 3,152 |
| | Rockwell Collins Inc. | 55,602 | 2,954 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Goodrich Corp. | 44,291 | 2,934 |
| | Southwest Airlines Co. | 262,047 | 2,911 |
| | L-3 Communications | | |
| | Holdings Inc. | 40,754 | 2,887 |
| | Dover Corp. | 66,144 | 2,764 |
| | ITT Corp. | 61,173 | 2,748 |
| | Fluor Corp. | 63,187 | 2,685 |
| | Cooper Industries PLC | 59,023 | 2,597 |
| | Expeditors International of | | |
| | Washington Inc. | 74,922 | 2,586 |
| | Rockwell Automation Inc. | 50,396 | 2,474 |
| | Fastenal Co. | 46,800 | 2,349 |
| | WW Grainger Inc. | 21,725 | 2,161 |
| * | Stericycle Inc. | 28,473 | 1,867 |
| | Roper Industries Inc. | 33,114 | 1,853 |
| | Joy Global Inc. | 36,339 | 1,820 |
| * | McDermott International Inc. | 81,177 | 1,758 |
| | Flowserve Corp. | 19,729 | 1,673 |
| | Textron Inc. | 96,012 | 1,629 |
| | Pitney Bowes Inc. | 73,287 | 1,609 |
| * | Jacobs Engineering | | |
| | Group Inc. | 43,990 | 1,603 |
| | AMETEK Inc. | 38,109 | 1,530 |
| * | Quanta Services Inc. | 73,799 | 1,524 |
| | Iron Mountain Inc. | 64,720 | 1,454 |
| | Pall Corp. | 41,500 | 1,426 |
| | Masco Corp. | 127,006 | 1,367 |
| * | Kansas City Southern | 35,862 | 1,304 |
| | Bucyrus International Inc. | | |
| | Class A | 27,161 | 1,289 |
| | Manpower Inc. | 29,826 | 1,288 |
| | Equifax Inc. | 44,570 | 1,251 |
| * | Owens Corning | 40,658 | 1,216 |
| | Dun & Bradstreet Corp. | 18,098 | 1,215 |
| | RR Donnelley & Sons Co. | 72,340 | 1,184 |
| | Robert Half International Inc. | 49,709 | 1,171 |
| * | URS Corp. | 29,619 | 1,165 |
| | Cintas Corp. | 48,603 | 1,165 |
| | KBR Inc. | 56,671 | 1,153 |
| | Avery Dennison Corp. | 35,779 | 1,150 |
| | Pentair Inc. | 34,823 | 1,121 |
| * | Navistar International Corp. | 22,462 | 1,105 |
| | Donaldson Co. Inc. | 25,818 | 1,101 |
| | JB Hunt Transport | | |
| | Services Inc. | 33,676 | 1,100 |
| * | Verisk Analytics Inc. Class A | 35,548 | 1,063 |
| * | Shaw Group Inc. | 29,515 | 1,010 |
| * | Foster Wheeler AG | 44,926 | 946 |
| | SPX Corp. | 17,584 | 929 |
| * | Copart Inc. | 25,315 | 907 |
| * | AGCO Corp. | 32,607 | 879 |
| * | IHS Inc. Class A | 14,473 | 845 |
| | MSC Industrial Direct Co. | | |
| | Class A | 15,845 | 803 |
6
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | AMR Corp. | 117,671 | 798 |
| * | Covanta Holding Corp. | 46,481 | 771 |
| | Ryder System Inc. | 18,767 | 755 |
| * | Hertz Global Holdings Inc. | 79,549 | 753 |
| * | Aecom Technology Corp. | 32,181 | 742 |
| * | Alliant Techsystems Inc. | 11,656 | 723 |
| * | Terex Corp. | 38,066 | 713 |
| * | FTI Consulting Inc. | 16,341 | 712 |
| * | Spirit Aerosystems | | |
| | Holdings Inc. Class A | 37,251 | 710 |
| | Harsco Corp. | 28,448 | 669 |
| * | Sensata Technologies | | |
| | Holding NV | 12,041 | 193 |
| | | | 374,413 |
| Information Technology (18.9%) | |
| * | Apple Inc. | 320,281 | 80,560 |
| | Microsoft Corp. | 2,787,929 | 64,150 |
| | International Business | | |
| | Machines Corp. | 458,814 | 56,654 |
| * | Cisco Systems Inc. | 2,022,308 | 43,095 |
| * | Google Inc. Class A | 86,144 | 38,330 |
| | Intel Corp. | 1,951,063 | 37,948 |
| | Hewlett-Packard Co. | 831,479 | 35,986 |
| | Oracle Corp. | 1,415,997 | 30,387 |
| | QUALCOMM Inc. | 593,666 | 19,496 |
| * | EMC Corp. | 724,773 | 13,263 |
| | Visa Inc. Class A | 165,712 | 11,724 |
| | Texas Instruments Inc. | 438,555 | 10,210 |
| | Corning Inc. | 550,635 | 8,893 |
| | Accenture PLC Class A | 223,379 | 8,634 |
| * | eBay Inc. | 412,995 | 8,099 |
| * | Dell Inc. | 622,091 | 7,502 |
| | Automatic Data | | |
| | Processing Inc. | 178,341 | 7,180 |
| | Mastercard Inc. Class A | 35,115 | 7,007 |
| * | Yahoo! Inc. | 470,002 | 6,500 |
| | Applied Materials Inc. | 474,664 | 5,706 |
| * | Motorola Inc. | 817,376 | 5,329 |
| * | Cognizant Technology | | |
| | Solutions Corp. Class A | 105,093 | 5,261 |
| | Broadcom Corp. Class A | 154,936 | 5,108 |
| * | Adobe Systems Inc. | 184,881 | 4,886 |
| * | NetApp Inc. | 119,763 | 4,468 |
| * | Juniper Networks Inc. | 183,845 | 4,195 |
| | Tyco Electronics Ltd. | 162,289 | 4,119 |
| * | Symantec Corp. | 284,381 | 3,947 |
| | Xerox Corp. | 465,634 | 3,744 |
| * | Intuit Inc. | 106,390 | 3,699 |
| | Western Union Co. | 241,214 | 3,597 |
| * | Agilent Technologies Inc. | 123,004 | 3,497 |
| * | Salesforce.com Inc. | 39,796 | 3,415 |
| * | SanDisk Corp. | 80,868 | 3,402 |
| | Fidelity National Information | |
| | Services Inc. | 112,569 | 3,019 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Paychex Inc. | 114,907 | 2,984 |
| * | Marvell Technology | | |
| | Group Ltd. | 187,227 | 2,951 |
| | Analog Devices Inc. | 104,963 | 2,924 |
| * | Citrix Systems Inc. | 64,930 | 2,742 |
| | CA Inc. | 146,947 | 2,704 |
| | Altera Corp. | 105,008 | 2,605 |
| * | Micron Technology Inc. | 300,404 | 2,550 |
| | Xilinx Inc. | 97,873 | 2,472 |
| | Computer Sciences Corp. | 54,408 | 2,462 |
| * | Akamai Technologies Inc. | 60,516 | 2,455 |
| * | Fiserv Inc. | 53,702 | 2,452 |
| * | Western Digital Corp. | 80,730 | 2,435 |
| | Amphenol Corp. Class A | 61,277 | 2,407 |
| * | SAIC Inc. | 139,559 | 2,336 |
| * | Seagate Technology | 176,279 | 2,299 |
| * | BMC Software Inc. | 64,366 | 2,229 |
| *,^ | First Solar Inc. | 19,580 | 2,229 |
| | Linear Technology Corp. | 79,113 | 2,200 |
| * | Cree Inc. | 35,634 | 2,139 |
| | Activision Blizzard Inc. | 201,859 | 2,118 |
| * | NVIDIA Corp. | 195,888 | 2,000 |
| * | Autodesk Inc. | 81,111 | 1,976 |
| * | Red Hat Inc. | 66,776 | 1,933 |
| * | F5 Networks Inc. | 28,128 | 1,929 |
| | Harris Corp. | 46,054 | 1,918 |
| * | Sybase Inc. | 29,073 | 1,880 |
| * | Teradata Corp. | 59,348 | 1,809 |
| | Maxim Integrated | | |
| | Products Inc. | 107,735 | 1,802 |
| | Microchip Technology Inc. | 64,958 | 1,802 |
| * | McAfee Inc. | 56,024 | 1,721 |
| * | Lam Research Corp. | 45,160 | 1,719 |
| * | VeriSign Inc. | 64,716 | 1,718 |
| | KLA-Tencor Corp. | 60,702 | 1,692 |
| * | Electronic Arts Inc. | 115,436 | 1,662 |
| * | Flextronics International Ltd. | 286,823 | 1,606 |
| * | FLIR Systems Inc. | 53,908 | 1,568 |
| * | VMware Inc. Class A | 23,637 | 1,479 |
| * | Advanced Micro | | |
| | Devices Inc. | 201,299 | 1,474 |
| * | Rovi Corp. | 36,746 | 1,393 |
| * | Avnet Inc. | 53,585 | 1,292 |
| * | ANSYS Inc. | 31,795 | 1,290 |
| * | Equinix Inc. | 15,486 | 1,258 |
| * | Nuance Communications | | |
| | Inc. | 80,069 | 1,197 |
| * | Trimble Navigation Ltd. | 42,607 | 1,193 |
| * | Dolby Laboratories Inc. | | |
| | Class A | 19,012 | 1,192 |
| | National | | |
| | Semiconductor Corp. | 83,954 | 1,130 |
| * | Alliance Data Systems Corp. | 18,477 | 1,100 |
7
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Hewitt Associates Inc. | | |
| | Class A | 31,482 | 1,085 |
| * | Synopsys Inc. | 51,921 | 1,084 |
| * | LSI Corp. | 231,870 | 1,067 |
| | Factset Research | | |
| | Systems Inc. | 15,811 | 1,059 |
| | Lender Processing | | |
| | Services Inc. | 33,746 | 1,057 |
| | Global Payments Inc. | 28,762 | 1,051 |
| * | ON Semiconductor Corp. | 150,793 | 962 |
| * | Arrow Electronics Inc. | 42,268 | 945 |
| | Jabil Circuit Inc. | 68,894 | 916 |
| * | Lexmark International Inc. | | |
| | Class A | 27,517 | 909 |
| | Broadridge Financial | | |
| | Solutions Inc. | 47,439 | 904 |
| * | Ingram Micro Inc. | 57,667 | 876 |
| * | Novellus Systems Inc. | 33,809 | 857 |
| | Tellabs Inc. | 129,361 | 827 |
| * | Brocade Communications | | |
| | Systems Inc. | 156,575 | 808 |
| | Total System Services Inc. | 59,315 | 807 |
| * | IAC/InterActiveCorp | 36,608 | 804 |
| * | MEMC Electronic | | |
| | Materials Inc. | 79,330 | 784 |
| * | AOL Inc. | 37,297 | 775 |
| * | NCR Corp. | 56,406 | 684 |
| * | Avago Technologies Ltd. | 29,429 | 620 |
| | DST Systems Inc. | 13,430 | 485 |
| | Molex Inc. | 21,985 | 401 |
| | Molex Inc. Class A | 25,953 | 401 |
| * | SunPower Corp. Class A | 19,963 | 242 |
| * | SunPower Corp. Class B | 14,628 | 158 |
| | | | 676,004 |
| Materials (3.6%) | | |
| | EI du Pont de Nemours | | |
| | & Co. | 319,094 | 11,037 |
| | Newmont Mining Corp. | 170,540 | 10,529 |
| | Dow Chemical Co. | 406,118 | 9,633 |
| | Freeport-McMoRan | | |
| | Copper & Gold Inc. | 152,073 | 8,992 |
| | Monsanto Co. | 192,775 | 8,910 |
| | Praxair Inc. | 108,192 | 8,222 |
| | Air Products & | | |
| | Chemicals Inc. | 75,014 | 4,862 |
| | Nucor Corp. | 111,071 | 4,252 |
| | Ecolab Inc. | 83,598 | 3,754 |
| | Alcoa Inc. | 359,865 | 3,620 |
| | PPG Industries Inc. | 58,641 | 3,543 |
| | International Paper Co. | 146,551 | 3,316 |
| | Weyerhaeuser Co. | 74,549 | 2,624 |
| | Sherwin-Williams Co. | 32,927 | 2,278 |
| | Cliffs Natural Resources Inc. | 47,801 | 2,254 |
| | Sigma-Aldrich Corp. | 43,050 | 2,145 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Mosaic Co. | 55,023 | 2,145 |
| | United States Steel Corp. | 50,761 | 1,957 |
| | Vulcan Materials Co. | 44,598 | 1,955 |
| | Lubrizol Corp. | 24,159 | 1,940 |
| | Airgas Inc. | 27,712 | 1,724 |
| | Ball Corp. | 31,641 | 1,672 |
| * | Owens-Illinois Inc. | 59,585 | 1,576 |
| | CF Industries Holdings Inc. | 24,054 | 1,526 |
| * | Crown Holdings Inc. | 56,918 | 1,425 |
| | FMC Corp. | 24,399 | 1,401 |
| | Allegheny Technologies Inc. | 31,190 | 1,378 |
| | Eastman Chemical Co. | 25,612 | 1,367 |
| | Martin Marietta | | |
| | Materials Inc. | 16,041 | 1,360 |
| | MeadWestvaco Corp. | 60,700 | 1,348 |
| * | Pactiv Corp. | 46,740 | 1,302 |
| | Celanese Corp. Class A | 51,467 | 1,282 |
| | Ashland Inc. | 26,186 | 1,216 |
| | International Flavors & | | |
| | Fragrances Inc. | 27,929 | 1,185 |
| | Albemarle Corp. | 29,032 | 1,153 |
| | Walter Energy Inc. | 18,904 | 1,150 |
| | Sealed Air Corp. | 56,007 | 1,104 |
| | Sonoco Products Co. | 35,435 | 1,080 |
| | Bemis Co. Inc. | 38,144 | 1,030 |
| | Valspar Corp. | 33,240 | 1,001 |
| | Nalco Holding Co. | 48,720 | 997 |
| | Steel Dynamics Inc. | 72,517 | 957 |
| | Reliance Steel & | | |
| | Aluminum Co. | 24,784 | 896 |
| | Scotts Miracle-Gro Co. | | |
| | Class A | 16,478 | 732 |
| * | Titanium Metals Corp. | 32,145 | 565 |
| | Greif Inc. Class A | 8,689 | 483 |
| | | | 128,878 |
| Telecommunication Services (3.0%) | |
| | AT&T Inc. | 2,084,654 | 50,428 |
| | Verizon | | |
| | Communications Inc. | 1,001,576 | 28,064 |
| * | American Tower Corp. | | |
| | Class A | 141,716 | 6,306 |
| * | Sprint Nextel Corp. | 1,037,891 | 4,401 |
| * | Crown Castle | | |
| | International Corp. | 103,291 | 3,849 |
| | CenturyLink Inc. | 105,140 | 3,502 |
| | Qwest Communications | | |
| | International Inc. | 549,918 | 2,887 |
| * | NII Holdings Inc. | 58,980 | 1,918 |
| | Windstream Corp. | 170,377 | 1,799 |
| * | SBA Communications Corp. | |
| | Class A | 39,147 | 1,331 |
| | Frontier | | |
| | Communications Corp. | 110,434 | 785 |
8
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | MetroPCS | | |
| | Communications Inc. | 86,900 | 712 |
| * | Level 3 | | |
| | Communications Inc. | 580,509 | 633 |
| | Telephone & Data | | |
| | Systems Inc. | 17,637 | 536 |
| | Telephone & Data | | |
| | Systems Inc.–Special | | |
| | Common Shares | 15,834 | 420 |
| * | United States Cellular Corp. | 6,639 | 273 |
| * | Clearwire Corp. Class A | 34,882 | 254 |
| | | | 108,098 |
| Utilities (3.8%) | | |
| | Southern Co. | 289,675 | 9,640 |
| | Exelon Corp. | 233,096 | 8,851 |
| | Dominion Resources Inc. | 211,913 | 8,210 |
| | Duke Energy Corp. | 462,550 | 7,401 |
| * | NextEra Energy Inc. | 138,887 | 6,772 |
| | Public Service Enterprise | | |
| | Group Inc. | 178,837 | 5,603 |
| | American Electric | | |
| | Power Co. Inc. | 169,035 | 5,460 |
| | PG&E Corp. | 131,216 | 5,393 |
| | Entergy Corp. | 66,740 | 4,780 |
| | Consolidated Edison Inc. | 99,453 | 4,286 |
| | PPL Corp. | 162,314 | 4,050 |
| | Progress Energy Inc. | 100,561 | 3,944 |
| | Sempra Energy | 82,764 | 3,873 |
| | FirstEnergy Corp. | 107,779 | 3,797 |
| | Edison International | 109,188 | 3,463 |
| | Xcel Energy Inc. | 161,554 | 3,330 |
| | Questar Corp. | 61,557 | 2,800 |
| | DTE Energy Co. | 58,501 | 2,668 |
| * | AES Corp. | 238,790 | 2,206 |
| | Constellation Energy | | |
| | Group Inc. | 67,438 | 2,175 |
| | Wisconsin Energy Corp. | 41,259 | 2,093 |
| | Ameren Corp. | 83,874 | 1,994 |
| * | NRG Energy Inc. | 92,444 | 1,961 |
| | CenterPoint Energy Inc. | 140,074 | 1,843 |
| | EQT Corp. | 48,386 | 1,749 |
| * | Calpine Corp. | 124,975 | 1,590 |
| | Northeast Utilities | 62,177 | 1,584 |
| | Oneok Inc. | 35,604 | 1,540 |
| | SCANA Corp. | 41,284 | 1,476 |
| | NiSource Inc. | 97,647 | 1,416 |
| | Pinnacle West Capital Corp. | 37,870 | 1,377 |
| | NSTAR | 37,621 | 1,317 |
| | American Water | | |
| | Works Co. Inc. | 61,471 | 1,266 |
| | OGE Energy Corp. | 34,248 | 1,252 |
| | Allegheny Energy Inc. | 59,875 | 1,238 |
| | Alliant Energy Corp. | 39,002 | 1,238 |
| | Pepco Holdings Inc. | 78,588 | 1,232 |
| | |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| CMS Energy Corp. | 81,156 | 1,189 |
| Integrys Energy Group Inc. | 27,074 | 1,184 |
| MDU Resources Group Inc. | 62,906 | 1,134 |
| National Fuel Gas Co. | 24,296 | 1,115 |
| TECO Energy Inc. | 71,571 | 1,079 |
| Energen Corp. | 24,078 | 1,067 |
| DPL Inc. | 42,250 | 1,010 |
| NV Energy Inc. | 83,015 | 980 |
| AGL Resources Inc. | 27,274 | 977 |
| UGI Corp. | 38,335 | 975 |
| Aqua America Inc. | 48,596 | 859 |
| * Mirant Corp. | 50,533 | 534 |
| | | 136,971 |
| Total Common Stocks | | |
| (Cost $3,921,602) | | 3,572,878 |
| Temporary Cash Investments (0.3%)1 | |
| Money Market Fund (0.3%) | | |
| 2,3 Vanguard Market | | |
| Liquidity Fund, | | |
| 0.286% | 9,566,738 | 9,567 |
| |
| | Face | |
| | Amount | |
| | ($000) | |
| |
| U.S. Government and Agency Obligations (0.0%) |
| 4,5 Fannie Mae Discount | | |
| Notes, 0.300%, 9/15/10 | 1,000 | 999 |
| Total Temporary Cash Investments | |
| (Cost $10,566) | | 10,566 |
| Total Investments (100.1%) | | |
| (Cost $3,932,168) | | 3,583,444 |
| Other Assets and Liabilities (-0.1%) | |
| Other Assets | | 8,538 |
| Liabilities3 | | (13,887) |
| | | (5,349) |
| Net Assets (100%) | | 3,578,095 |
9
| |
| At June 30, 2010, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 4,128,115 |
| Overdistributed Net Investment Income | (1,109) |
| Accumulated Net Realized Losses | (199,983) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | (348,724) |
| Futures Contracts | (204) |
| Net Assets | 3,578,095 |
| |
| |
| Investor Shares—Net Assets | |
| Applicable to 23,913,459 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 453,241 |
| Net Asset Value Per Share— | |
| Investor Shares | $18.95 |
| |
| |
| Admiral Shares—Net Assets | |
| Applicable to 13,713,515 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 324,994 |
| Net Asset Value Per Share— | |
| Admiral Shares | $23.70 |
| |
| |
| Signal Shares—Net Assets | |
| Applicable to 13,575,922 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 280,616 |
| Net Asset Value Per Share— | |
| Signal Shares | $20.67 |
| |
| | Amount |
| | ($000) |
| Institutional Shares—Net Assets | |
| Applicable to 2,289,468 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 223,304 |
| Net Asset Value Per Share— | |
| Institutional Shares | $97.54 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 48,934,323 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,295,940 |
| Net Asset Value Per Share— | |
| ETF Shares | $46.92 |
• 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 $3,388,000.
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 0.2%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $3,481,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
5 Securities with a value of $999,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
10
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© 2010 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
F03072 082010
Vanguard® U.S. Stock Index Funds Total Stock Market Index Fund
Statement of Net Assets—Investments Summary (unaudited)
As of June 30, 2010
This Statement should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes to Financial Statements, 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 reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exchange Commisssion’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 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 | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| Common Stocks | | | |
| Consumer Discretionary | | | |
| McDonald’s Corp. | 11,354,735 | 747,936 | 0.6% |
| Walt Disney Co. | 19,444,463 | 612,501 | 0.5% |
| Home Depot Inc. | 17,944,606 | 503,705 | 0.4% |
| Comcast Corp. Class A | 26,984,756 | 468,725 | 0.4% |
| * Amazon.com Inc. | 3,753,098 | 410,064 | 0.4% |
| Consumer Discretionary—Other † | | 10,454,159 | 8.6% |
| | | 13,197,090 | 10.9% |
| Consumer Staples | | | |
| Procter & Gamble Co. | 30,652,430 | 1,838,533 | 1.5% |
| Wal-Mart Stores Inc. | 24,125,385 | 1,159,707 | 1.0% |
| Coca-Cola Co. | 21,893,553 | 1,097,305 | 0.9% |
| PepsiCo Inc. | 17,174,602 | 1,046,792 | 0.9% |
| Philip Morris International Inc. | 19,850,001 | 909,924 | 0.7% |
| Kraft Foods Inc. | 18,406,522 | 515,383 | 0.4% |
| Altria Group Inc. | 21,956,031 | 439,999 | 0.4% |
| CVS Caremark Corp. | 14,674,220 | 430,248 | 0.4% |
| Colgate-Palmolive Co. | 5,210,608 | 410,388 | 0.3% |
| Consumer Staples—Other † | | 4,267,104 | 3.5% |
| | | 12,115,383 | 10.0% |
| Energy | | | |
| Exxon Mobil Corp. | 53,786,081 | 3,069,572 | 2.5% |
| Chevron Corp. | 21,194,331 | 1,438,247 | 1.2% |
| ConocoPhillips | 14,906,220 | 731,746 | 0.6% |
| Schlumberger Ltd. | 12,617,644 | 698,260 | 0.6% |
| Occidental Petroleum Corp. | 8,568,695 | 661,075 | 0.5% |
| Energy—Other † | | 5,692,001 | 4.7% |
| | | 12,290,901 | 10.1% |
1
| | | |
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| Financials | | | |
| JPMorgan Chase & Co. | 41,927,451 | 1,534,964 | 1.3% |
| Bank of America Corp. | 105,870,025 | 1,521,352 | 1.2% |
| Wells Fargo & Co. | 51,938,933 | 1,329,637 | 1.1% |
| * Citigroup Inc. | 225,388,690 | 847,461 | 0.7% |
| Goldman Sachs Group Inc. | 5,153,910 | 676,554 | 0.5% |
| US Bancorp | 20,191,849 | 451,288 | 0.4% |
| American Express Co. | 11,366,244 | 451,240 | 0.4% |
| Financials—Other † | | 12,987,233 | 10.7% |
| | | 19,799,729 | 16.3% |
| Health Care | | | |
| Johnson & Johnson | 29,116,988 | 1,719,649 | 1.4% |
| Pfizer Inc. | 85,167,104 | 1,214,483 | 1.0% |
| Merck & Co. Inc. | 32,234,093 | 1,127,226 | 0.9% |
| Abbott Laboratories | 16,385,177 | 766,499 | 0.6% |
| * Amgen Inc. | 10,500,357 | 552,319 | 0.5% |
| Bristol-Myers Squibb Co. | 18,089,452 | 451,151 | 0.4% |
| Medtronic Inc. | 11,657,546 | 422,819 | 0.4% |
| Health Care—Other † | | 8,667,008 | 7.1% |
| | | 14,921,154 | 12.3% |
| Industrials | | | |
| General Electric Co. | 112,599,202 | 1,623,680 | 1.3% |
| United Technologies Corp. | 9,397,886 | 610,017 | 0.5% |
| 3M Co. | 7,135,496 | 563,633 | 0.5% |
| Boeing Co. | 7,189,584 | 451,146 | 0.4% |
| United Parcel Service Inc. Class B | 7,534,109 | 428,615 | 0.3% |
| Industrials—Other † | | 9,748,413 | 8.0% |
| | | 13,425,504 | 11.0% |
| Information Technology | | | |
| * Apple Inc. | 9,569,462 | 2,407,007 | 2.0% |
| Microsoft Corp. | 83,299,704 | 1,916,726 | 1.6% |
| International Business Machines Corp. | 13,708,469 | 1,692,722 | 1.4% |
| * Cisco Systems Inc. | 60,423,038 | 1,287,615 | 1.1% |
| * Google Inc. Class A | 2,573,607 | 1,145,126 | 0.9% |
| Intel Corp. | 58,295,072 | 1,133,839 | 0.9% |
| Hewlett-Packard Co. | 24,842,859 | 1,075,199 | 0.9% |
| Oracle Corp. | 42,306,962 | 907,907 | 0.7% |
| QUALCOMM Inc. | 17,735,506 | 582,434 | 0.5% |
| * EMC Corp. | 21,662,567 | 396,425 | 0.3% |
| Information Technology—Other † | | 10,160,690 | 8.4% |
| | | 22,705,690 | 18.7% |
| |
| Materials † | | 4,585,366 | 3.8% |
| |
| Telecommunication Services | | | |
| AT&T Inc. | 62,284,985 | 1,506,674 | 1.2% |
| Verizon Communications Inc. | 29,925,625 | 838,516 | 0.7% |
| Telecommunication Services—Other † | | 1,028,556 | 0.9% |
| | | 3,373,746 | 2.8% |
| |
| Utilities † | | 4,577,145 | 3.8% |
| Total Common Stocks (Cost $132,280,042) | | 120,991,708 | 99.7%1 |
2
| | | | |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 2,3 Vanguard Market Liquidity Fund | 0.286% | 1,265,981,203 | 1,265,981 | 1.1% |
| |
| 4U.S. Government and Agency Obligations † | | 29,998 | 0.0% |
| Total Temporary Cash Investments (Cost $1,295,976) | | 1,295,979 | 1.1%1 |
| 5Total Investments (Cost $133,576,018) | | 122,287,687 | 100.8% |
| Other Assets and Liabilities | | | | |
| Other Assets | | | 539,348 | 0.4% |
| Liabilities3 | | | (1,517,211) | (1.2%) |
| | | | (977,863) | (0.8%) |
| Net Assets | | | 121,309,824 | 100.0% |
| |
| |
| At June 30, 2010, net assets consisted of: | | | |
| | | | | Amount |
| | | | | ($000) |
| Paid-in Capital | | | | 134,726,486 |
| Overdistributed Net Investment Income | | | (42,719) |
| Accumulated Net Realized Losses | | | | (2,072,532) |
| Unrealized Appreciation (Depreciation) | | | |
| Investment Securities | | | | (11,288,331) |
| Futures Contracts | | | | (13,080) |
| Net Assets | | | | 121,309,824 |
3
| |
| | Amount |
| | ($000) |
| Investor Shares—Net Assets | |
| Applicable to 2,286,546,520 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 58,508,607 |
| Net Asset Value Per Share—Investor Shares | $25.59 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 1,081,085,610 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 27,667,378 |
| Net Asset Value Per Share—Admiral Shares | $25.59 |
| |
| Signal Shares—Net Assets | |
| Applicable to 176,676,332 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 4,363,950 |
| Net Asset Value Per Share—Signal Shares | $24.70 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 678,901,421 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 17,376,987 |
| Net Asset Value Per Share—Institutional Shares | $25.60 |
| |
| ETF Shares—Net Assets | |
| Applicable to 254,789,687 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 13,392,902 |
| Net Asset Value Per Share—ETF Shares | $52.56 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.8%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $647,700,000 of collateral received for securities on loan.
4 Securities with a value of $26,998,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $577,022,000.
© 2010 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
F852 082010
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (99.7%)1 | | |
| Consumer Discretionary (10.9%) | | |
| | McDonald's Corp. | 11,354,735 | 747,936 |
| | Walt Disney Co. | 19,444,463 | 612,501 |
| | Home Depot Inc. | 17,944,606 | 503,705 |
| | Comcast Corp. Class A | 26,984,756 | 468,725 |
| * | Amazon.com Inc. | 3,753,098 | 410,064 |
| | Target Corp. | 7,464,961 | 367,052 |
| | Time Warner Inc. | 12,138,493 | 350,924 |
| * | DIRECTV Class A | 9,638,498 | 326,938 |
| * | Ford Motor Co. | 31,318,061 | 315,686 |
| | Lowe's Cos. Inc. | 15,397,013 | 314,407 |
| | News Corp. Class A | 23,614,300 | 282,427 |
| | NIKE Inc. Class B | 3,984,730 | 269,169 |
| | Time Warner Cable Inc. | 3,720,644 | 193,771 |
| | Yum! Brands Inc. | 4,952,343 | 193,339 |
| | Starbucks Corp. | 7,845,187 | 190,638 |
| | Johnson Controls Inc. | 7,088,922 | 190,479 |
| | TJX Cos. Inc. | 4,429,307 | 185,809 |
| | Viacom Inc. Class B | 5,856,897 | 183,731 |
| | Carnival Corp. | 4,907,515 | 148,403 |
| * | Kohl's Corp. | 3,073,868 | 146,009 |
| | Staples Inc. | 7,639,424 | 145,531 |
| | Best Buy Co. Inc. | 3,749,886 | 126,971 |
| | Coach Inc. | 3,315,821 | 121,193 |
| | Omnicom Group Inc. | 3,276,183 | 112,373 |
| * | Bed Bath & Beyond Inc. | 2,765,016 | 102,527 |
| | Gap Inc. | 5,097,189 | 99,191 |
| | McGraw-Hill Cos. Inc. | 3,331,516 | 93,749 |
| | Marriott International Inc. Class A | 3,026,869 | 90,624 |
| | CBS Corp. Class B | 6,601,060 | 85,352 |
| * | priceline.com Inc. | 481,048 | 84,924 |
| | Starwood Hotels & Resorts Worldwide Inc. | 1,971,540 | 81,681 |
| | Mattel Inc. | 3,837,731 | 81,206 |
| | Stanley Black & Decker Inc. | 1,596,407 | 80,650 |
| | Macy's Inc. | 4,451,298 | 79,678 |
| * | Las Vegas Sands Corp. | 3,484,159 | 77,139 |
| | Ross Stores Inc. | 1,307,321 | 69,667 |
| | Whirlpool Corp. | 789,432 | 69,328 |
| * | O'Reilly Automotive Inc. | 1,451,808 | 69,048 |
| | VF Corp. | 937,054 | 66,700 |
| | Genuine Parts Co. | 1,674,841 | 66,072 |
| | Wynn Resorts Ltd. | 844,624 | 64,419 |
| | Ltd Brands Inc. | 2,891,060 | 63,806 |
| * | Liberty Media Corp. - Interactive | 5,989,069 | 62,885 |
| | Fortune Brands Inc. | 1,604,145 | 62,850 |
| | Cablevision Systems Corp. Class A | 2,613,562 | 62,752 |
| * | Apollo Group Inc. Class A | 1,466,843 | 62,297 |
| * | AutoZone Inc. | 313,490 | 60,573 |
| | Nordstrom Inc. | 1,837,971 | 59,164 |
| * | Dollar Tree Inc. | 1,397,178 | 58,165 |
| | H&R Block Inc. | 3,541,086 | 55,560 |
| | Virgin Media Inc. | 3,303,031 | 55,128 |
| | Harley-Davidson Inc. | 2,473,173 | 54,979 |
| | Darden Restaurants Inc. | 1,402,098 | 54,472 |
| | Hasbro Inc. | 1,295,283 | 53,236 |
| | Family Dollar Stores Inc. | 1,388,400 | 52,329 |
| * | Discovery Communications Inc. Class A | 1,428,059 | 50,996 |
| * | NetFlix Inc. | 467,996 | 50,848 |
| | Advance Auto Parts Inc. | 999,377 | 50,149 |
| | Tiffany & Co. | 1,313,535 | 49,796 |
| | International Game Technology | 3,131,178 | 49,160 |
| | Polo Ralph Lauren Corp. Class A | 671,064 | 48,961 |
1
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Urban Outfitters Inc. | 1,422,659 | 48,925 |
| | JC Penney Co. Inc. | 2,241,428 | 48,146 |
| | Comcast Corp. | 2,860,694 | 47,001 |
| * | CarMax Inc. | 2,354,096 | 46,847 |
| * | Discovery Communications Inc. | 1,496,329 | 46,281 |
| * | BorgWarner Inc. | 1,235,432 | 46,131 |
| * | Chipotle Mexican Grill Inc. Class A | 333,347 | 45,605 |
| * | Autoliv Inc. | 898,191 | 42,978 |
| | Newell Rubbermaid Inc. | 2,933,126 | 42,941 |
| | Expedia Inc. | 2,229,926 | 41,878 |
| * | NVR Inc. | 61,391 | 40,213 |
| | DISH Network Corp. Class A | 2,202,937 | 39,983 |
| | PetSmart Inc. | 1,304,937 | 39,370 |
| *,^ | Sirius XM Radio Inc. | 40,997,728 | 38,927 |
| | Scripps Networks Interactive Inc. Class A | 955,895 | 38,561 |
| | Wyndham Worldwide Corp. | 1,889,950 | 38,064 |
| * | Liberty Media Corp. - Capital | 901,386 | 37,777 |
| ^ | Garmin Ltd. | 1,271,050 | 37,089 |
| * | Liberty Global Inc. Class A | 1,425,487 | 37,048 |
| * | Interpublic Group of Cos. Inc. | 5,129,373 | 36,572 |
| | DeVry Inc. | 675,942 | 35,480 |
| | Gannett Co. Inc. | 2,510,436 | 33,790 |
| *,^ | Royal Caribbean Cruises Ltd. | 1,472,331 | 33,525 |
| * | Liberty Global Inc. | 1,260,405 | 32,758 |
| | Leggett & Platt Inc. | 1,568,230 | 31,459 |
| *,^ | Sears Holdings Corp. | 484,914 | 31,350 |
| * | ITT Educational Services Inc. | 374,386 | 31,082 |
| * | GameStop Corp. Class A | 1,652,468 | 31,050 |
| * | Lear Corp. | 463,512 | 30,685 |
| ^ | Strayer Education Inc. | 147,504 | 30,665 |
| * | Aeropostale Inc. | 1,065,795 | 30,524 |
| * | Pulte Group Inc. | 3,631,552 | 30,069 |
| | DR Horton Inc. | 3,025,068 | 29,736 |
| | Abercrombie & Fitch Co. | 929,022 | 28,512 |
| * | Mohawk Industries Inc. | 614,948 | 28,140 |
| * | Big Lots Inc. | 874,148 | 28,051 |
| | Phillips-Van Heusen Corp. | 604,395 | 27,965 |
| * | LKQ Corp. | 1,431,143 | 27,592 |
| * | Liberty Media Corp. - Starz | 523,147 | 27,120 |
| *,^ | MGM Resorts International | 2,796,196 | 26,955 |
| | Tupperware Brands Corp. | 666,147 | 26,546 |
| | Gentex Corp. | 1,469,498 | 26,422 |
| | Jarden Corp. | 974,237 | 26,178 |
| | Washington Post Co. Class B | 63,277 | 25,974 |
| | RadioShack Corp. | 1,324,517 | 25,841 |
| | Williams-Sonoma Inc. | 1,009,777 | 25,063 |
| * | Signet Jewelers Ltd. | 905,561 | 24,903 |
| * | Dollar General Corp. | 899,920 | 24,793 |
| | American Eagle Outfitters Inc. | 2,088,318 | 24,538 |
| * | Toll Brothers Inc. | 1,485,999 | 24,311 |
| * | Hanesbrands Inc. | 1,009,657 | 24,292 |
| * | WMS Industries Inc. | 617,018 | 24,218 |
| * | Goodyear Tire & Rubber Co. | 2,433,331 | 24,187 |
| * | TRW Automotive Holdings Corp. | 873,066 | 24,070 |
| * | Panera Bread Co. Class A | 318,184 | 23,956 |
| * | J Crew Group Inc. | 639,879 | 23,554 |
| * | Dick's Sporting Goods Inc. | 944,933 | 23,519 |
| | Tractor Supply Co. | 382,644 | 23,330 |
| * | Tempur-Pedic International Inc. | 740,422 | 22,768 |
| * | Harman International Industries Inc. | 735,453 | 21,983 |
| * | DreamWorks Animation SKG Inc. Class A | 758,401 | 21,652 |
| | Foot Locker Inc. | 1,653,218 | 20,864 |
| * | Career Education Corp. | 888,802 | 20,460 |
| | Service Corp. International | 2,691,279 | 19,915 |
2
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Guess? Inc. | 635,063 | 19,839 |
| * | Fossil Inc. | 564,479 | 19,587 |
| * | Deckers Outdoor Corp. | 136,230 | 19,463 |
| * | Bally Technologies Inc. | 585,560 | 18,966 |
| | Lennar Corp. Class A | 1,348,439 | 18,757 |
| | Chico's FAS Inc. | 1,878,672 | 18,561 |
| | John Wiley & Sons Inc. Class A | 467,014 | 18,059 |
| *,^ | Lululemon Athletica Inc. | 483,074 | 17,980 |
| | Polaris Industries Inc. | 328,995 | 17,970 |
| * | Warnaco Group Inc. | 482,693 | 17,445 |
| * | Hyatt Hotels Corp. Class A | 464,694 | 17,236 |
| | Burger King Holdings Inc. | 1,001,711 | 16,869 |
| * | Penn National Gaming Inc. | 709,355 | 16,386 |
| * | Valassis Communications Inc. | 511,159 | 16,214 |
| | Sotheby's | 708,037 | 16,193 |
| * | Carter's Inc. | 616,546 | 16,184 |
| | Brinker International Inc. | 1,087,439 | 15,724 |
| | Wendy's/Arby's Group Inc. Class A | 3,921,898 | 15,688 |
| * | Lamar Advertising Co. Class A | 610,511 | 14,970 |
| * | Live Nation Entertainment Inc. | 1,424,246 | 14,883 |
| * | Dana Holding Corp. | 1,474,607 | 14,746 |
| * | Dress Barn Inc. | 618,584 | 14,729 |
| | Jones Apparel Group Inc. | 921,169 | 14,601 |
| *,^ | AutoNation Inc. | 724,633 | 14,130 |
| | Hillenbrand Inc. | 660,580 | 14,130 |
| * | Rent-A-Center Inc. | 693,692 | 14,054 |
| * | Cheesecake Factory Inc. | 609,497 | 13,567 |
| * | Coinstar Inc. | 315,530 | 13,558 |
| * | Gymboree Corp. | 316,771 | 13,529 |
| | Interactive Data Corp. | 399,076 | 13,321 |
| * | Tenneco Inc. | 628,612 | 13,239 |
| | Wolverine World Wide Inc. | 524,217 | 13,221 |
| * | Skechers U.S.A. Inc. Class A | 358,265 | 13,084 |
| * | Capella Education Co. | 159,971 | 13,014 |
| * | Madison Square Garden Inc. Class A | 657,456 | 12,932 |
| *,^ | Under Armour Inc. Class A | 380,472 | 12,605 |
| * | Life Time Fitness Inc. | 396,086 | 12,592 |
| | Aaron's Inc. | 722,540 | 12,334 |
| * | Eastman Kodak Co. | 2,841,646 | 12,333 |
| | Meredith Corp. | 384,636 | 11,974 |
| * | New York Times Co. Class A | 1,381,510 | 11,950 |
| | Dillard's Inc. Class A | 553,907 | 11,909 |
| * | Office Depot Inc. | 2,922,009 | 11,805 |
| | Regal Entertainment Group Class A | 898,144 | 11,712 |
| * | OfficeMax Inc. | 893,606 | 11,671 |
| | Brunswick Corp. | 934,863 | 11,620 |
| * | Childrens Place Retail Stores Inc. | 261,486 | 11,511 |
| * | Jack in the Box Inc. | 587,712 | 11,431 |
| | Pool Corp. | 518,299 | 11,361 |
| | Cracker Barrel Old Country Store Inc. | 241,781 | 11,257 |
| | Cooper Tire & Rubber Co. | 575,264 | 11,218 |
| * | Saks Inc. | 1,449,153 | 10,999 |
| * | Iconix Brand Group Inc. | 756,939 | 10,877 |
| | MDC Holdings Inc. | 400,797 | 10,801 |
| * | Collective Brands Inc. | 682,638 | 10,786 |
| * | Vail Resorts Inc. | 307,383 | 10,731 |
| | Monro Muffler Brake Inc. | 265,604 | 10,499 |
| * | JOS A Bank Clothiers Inc. | 193,402 | 10,442 |
| * | AnnTaylor Stores Corp. | 623,837 | 10,150 |
| * | Jo-Ann Stores Inc. | 270,467 | 10,145 |
| * | HSN Inc. | 420,319 | 10,088 |
| * | Morningstar Inc. | 231,074 | 9,825 |
| | Thor Industries Inc. | 413,569 | 9,822 |
| | PF Chang's China Bistro Inc. | 244,102 | 9,679 |
3
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Men's Wearhouse Inc. | 526,037 | 9,658 |
| * | CROCS Inc. | 908,409 | 9,611 |
| | Choice Hotels International Inc. | 317,085 | 9,579 |
| ^ | Buckle Inc. | 295,316 | 9,574 |
| | Weight Watchers International Inc. | 368,228 | 9,460 |
| | Matthews International Corp. Class A | 322,543 | 9,444 |
| | Regis Corp. | 605,611 | 9,429 |
| | NutriSystem Inc. | 407,300 | 9,343 |
| | KB Home | 837,417 | 9,212 |
| *,^ | Corinthian Colleges Inc. | 931,453 | 9,175 |
| | Finish Line Inc. Class A | 635,271 | 8,849 |
| * | Sally Beauty Holdings Inc. | 1,050,073 | 8,611 |
| * | CEC Entertainment Inc. | 238,614 | 8,414 |
| * | Lions Gate Entertainment Corp. | 1,194,839 | 8,340 |
| * | Steven Madden Ltd. | 256,024 | 8,070 |
| | Cato Corp. Class A | 361,696 | 7,965 |
| | Bob Evans Farms Inc. | 323,281 | 7,959 |
| | Scholastic Corp. | 328,280 | 7,918 |
| * | Hibbett Sports Inc. | 327,001 | 7,835 |
| | Arbitron Inc. | 305,368 | 7,827 |
| * | Charming Shoppes Inc. | 2,079,397 | 7,798 |
| * | 99 Cents Only Stores | 523,369 | 7,746 |
| | Cinemark Holdings Inc. | 583,025 | 7,667 |
| * | Pier 1 Imports Inc. | 1,189,802 | 7,627 |
| * | Gaylord Entertainment Co. | 342,058 | 7,556 |
| | National CineMedia Inc. | 444,812 | 7,411 |
| * | Blue Nile Inc. | 154,980 | 7,296 |
| * | Domino's Pizza Inc. | 640,680 | 7,240 |
| * | Timberland Co. Class A | 447,658 | 7,230 |
| * | American Public Education Inc. | 165,152 | 7,217 |
| * | Pinnacle Entertainment Inc. | 755,310 | 7,145 |
| | American Greetings Corp. Class A | 380,504 | 7,138 |
| | Ryland Group Inc. | 449,608 | 7,113 |
| * | Orient-Express Hotels Ltd. Class A | 935,787 | 6,925 |
| | International Speedway Corp. Class A | 268,723 | 6,922 |
| | CTC Media Inc. | 478,537 | 6,910 |
| | Columbia Sportswear Co. | 148,003 | 6,907 |
| * | Scientific Games Corp. Class A | 744,347 | 6,848 |
| * | Helen of Troy Ltd. | 310,194 | 6,843 |
| * | Ulta Salon Cosmetics & Fragrance Inc. | 287,771 | 6,809 |
| *,^ | Education Management Corp. | 444,577 | 6,780 |
| * | Talbots Inc. | 654,557 | 6,748 |
| | CKE Restaurants Inc. | 511,326 | 6,407 |
| * | True Religion Apparel Inc. | 286,002 | 6,312 |
| * | Exide Technologies | 1,198,776 | 6,234 |
| * | Texas Roadhouse Inc. Class A | 492,848 | 6,220 |
| * | Biglari Holdings Inc. | 21,676 | 6,219 |
| ^ | Barnes & Noble Inc. | 481,399 | 6,210 |
| * | DSW Inc. Class A | 276,246 | 6,205 |
| | Brown Shoe Co. Inc. | 402,854 | 6,115 |
| | Ameristar Casinos Inc. | 401,811 | 6,051 |
| * | Standard Pacific Corp. | 1,798,583 | 5,989 |
| * | Quiksilver Inc. | 1,616,300 | 5,980 |
| * | Buffalo Wild Wings Inc. | 160,116 | 5,857 |
| * | Universal Technical Institute Inc. | 243,325 | 5,752 |
| *,^ | Cabela's Inc. | 400,938 | 5,669 |
| * | Liz Claiborne Inc. | 1,309,015 | 5,524 |
| | Unifirst Corp. | 122,694 | 5,401 |
| * | Papa John's International Inc. | 233,121 | 5,390 |
| * | Genesco Inc. | 203,796 | 5,362 |
| ^ | PetMed Express Inc. | 300,453 | 5,348 |
| ^ | Sturm Ruger & Co. Inc. | 370,444 | 5,308 |
| * | Ruby Tuesday Inc. | 611,431 | 5,197 |
| * | Belo Corp. Class A | 883,294 | 5,026 |
4
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | Pre-Paid Legal Services Inc. | 109,143 | 4,965 |
| | Fred's Inc. Class A | 445,532 | 4,928 |
| * | Group 1 Automotive Inc. | 209,276 | 4,924 |
| * | RCN Corp. | 330,511 | 4,895 |
| * | Grand Canyon Education Inc. | 206,045 | 4,828 |
| * | Boyd Gaming Corp. | 562,946 | 4,779 |
| * | Interval Leisure Group Inc. | 382,361 | 4,760 |
| * | Shutterfly Inc. | 198,532 | 4,757 |
| * | Meritage Homes Corp. | 286,959 | 4,672 |
| * | Penske Automotive Group Inc. | 410,552 | 4,664 |
| | Stage Stores Inc. | 434,513 | 4,641 |
| * | California Pizza Kitchen Inc. | 305,005 | 4,621 |
| * | Mediacom Communications Corp. Class A | 654,231 | 4,396 |
| * | Steiner Leisure Ltd. | 114,303 | 4,394 |
| | Harte-Hanks Inc. | 415,684 | 4,344 |
| * | Modine Manufacturing Co. | 560,124 | 4,302 |
| | CPI Corp. | 190,253 | 4,265 |
| * | Lumber Liquidators Holdings Inc. | 182,562 | 4,259 |
| | Stewart Enterprises Inc. Class A | 786,191 | 4,253 |
| * | American Axle & Manufacturing Holdings Inc. | 572,538 | 4,197 |
| * | Peet's Coffee & Tea Inc. | 106,111 | 4,167 |
| * | EW Scripps Co. Class A | 557,912 | 4,156 |
| * | Sonic Corp. | 533,931 | 4,138 |
| *,^ | Landry's Restaurants Inc. | 168,660 | 4,125 |
| * | BJ's Restaurants Inc. | 174,159 | 4,110 |
| * | Select Comfort Corp. | 469,727 | 4,110 |
| * | Rentrak Corp. | 168,229 | 4,093 |
| | Callaway Golf Co. | 676,503 | 4,086 |
| | PEP Boys-Manny Moe & Jack | 459,839 | 4,074 |
| * | K12 Inc. | 183,553 | 4,071 |
| | National Presto Industries Inc. | 42,991 | 3,992 |
| * | Sonic Automotive Inc. Class A | 461,869 | 3,954 |
| * | Wet Seal Inc. Class A | 1,082,039 | 3,949 |
| * | DineEquity Inc. | 138,371 | 3,863 |
| * | Citi Trends Inc. | 116,430 | 3,835 |
| * | Vitamin Shoppe Inc. | 145,462 | 3,731 |
| | Ethan Allen Interiors Inc. | 265,848 | 3,719 |
| * | La-Z-Boy Inc. | 499,090 | 3,708 |
| * | Maidenform Brands Inc. | 180,551 | 3,676 |
| * | Clear Channel Outdoor Holdings Inc. Class A | 422,556 | 3,668 |
| * | hhgregg Inc. | 155,798 | 3,633 |
| * | Jakks Pacific Inc. | 245,935 | 3,537 |
| | Superior Industries International Inc. | 262,994 | 3,535 |
| | Churchill Downs Inc. | 107,514 | 3,526 |
| * | Shuffle Master Inc. | 436,010 | 3,492 |
| | News Corp. Class B | 244,868 | 3,391 |
| * | Drew Industries Inc. | 163,431 | 3,301 |
| *,^ | Fuel Systems Solutions Inc. | 126,921 | 3,294 |
| | Systemax Inc. | 216,656 | 3,265 |
| | World Wrestling Entertainment Inc. Class A | 209,781 | 3,264 |
| * | Rue21 Inc. | 105,827 | 3,211 |
| * | Denny's Corp. | 1,225,734 | 3,187 |
| * | Knology Inc. | 289,495 | 3,164 |
| * | iRobot Corp. | 166,173 | 3,122 |
| | Lennar Corp. Class B | 273,234 | 3,096 |
| * | Lincoln Educational Services Corp. | 149,987 | 3,088 |
| * | Federal-Mogul Corp. | 236,037 | 3,073 |
| * | Coldwater Creek Inc. | 906,680 | 3,046 |
| * | K-Swiss Inc. Class A | 268,014 | 3,010 |
| * | Drugstore.Com Inc. | 968,106 | 2,982 |
| * | Sinclair Broadcast Group Inc. Class A | 509,071 | 2,968 |
| * | CKX Inc. | 592,093 | 2,955 |
| * | Furniture Brands International Inc. | 544,741 | 2,844 |
| * | America's Car-Mart Inc. | 124,140 | 2,809 |
5
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Zumiez Inc. | 171,212 | 2,758 |
| * | Asbury Automotive Group Inc. | 261,430 | 2,755 |
| * | G-III Apparel Group Ltd. | 118,931 | 2,722 |
| * | Red Robin Gourmet Burgers Inc. | 157,415 | 2,701 |
| * | Perry Ellis International Inc. | 133,406 | 2,695 |
| * | Winnebago Industries Inc. | 261,171 | 2,596 |
| * | Alloy Inc. | 276,401 | 2,593 |
| * | Unifi Inc. | 665,893 | 2,544 |
| * | Journal Communications Inc. Class A | 640,662 | 2,543 |
| * | Bridgepoint Education Inc. | 160,867 | 2,543 |
| * | Core-Mark Holding Co. Inc. | 92,767 | 2,542 |
| | Big 5 Sporting Goods Corp. | 189,748 | 2,493 |
| | Christopher & Banks Corp. | 398,613 | 2,467 |
| * | RC2 Corp. | 152,892 | 2,463 |
| * | Kirkland's Inc. | 145,713 | 2,459�� |
| * | Dorman Products Inc. | 120,018 | 2,440 |
| *,^ | Overstock.com Inc. | 134,120 | 2,424 |
| | HOT Topic Inc. | 458,685 | 2,330 |
| * | Ascent Media Corp. Class A | 92,159 | 2,328 |
| | Oxford Industries Inc. | 110,894 | 2,321 |
| *,^ | Beazer Homes USA Inc. | 638,512 | 2,318 |
| *,^ | Smith & Wesson Holding Corp. | 551,351 | 2,255 |
| *,^ | Hovnanian Enterprises Inc. Class A | 608,874 | 2,241 |
| *,^ | SuperMedia Inc. | 121,652 | 2,225 |
| | Standard Motor Products Inc. | 275,218 | 2,221 |
| * | Steinway Musical Instruments Inc. | 124,607 | 2,217 |
| | Blyth Inc. | 64,651 | 2,203 |
| * | Volcom Inc. | 118,457 | 2,200 |
| * | Movado Group Inc. | 203,207 | 2,170 |
| * | Hawk Corp. Class A | 84,655 | 2,154 |
| | Hooker Furniture Corp. | 199,244 | 2,124 |
| * | Famous Dave's Of America Inc. | 247,871 | 2,062 |
| | Cherokee Inc. | 115,870 | 1,981 |
| * | Carmike Cinemas Inc. | 322,803 | 1,956 |
| * | Cavco Industries Inc. | 55,249 | 1,944 |
| * | Retail Ventures Inc. | 245,574 | 1,920 |
| | Kid Brands Inc. | 266,692 | 1,875 |
| * | AH Belo Corp. Class A | 277,542 | 1,843 |
| * | LIN TV Corp. Class A | 340,625 | 1,843 |
| * | Warner Music Group Corp. | 377,980 | 1,837 |
| * | Isle of Capri Casinos Inc. | 196,818 | 1,823 |
| * | Pacific Sunwear Of California | 550,735 | 1,762 |
| * | Amerigon Inc. | 233,829 | 1,726 |
| * | Learning Tree International Inc. | 158,115 | 1,716 |
| * | Stein Mart Inc. | 275,292 | 1,715 |
| * | ChinaCast Education Corp. | 280,906 | 1,669 |
| * | Krispy Kreme Doughnuts Inc. | 477,438 | 1,609 |
| | Haverty Furniture Cos. Inc. | 130,812 | 1,608 |
| * | Universal Electronics Inc. | 95,803 | 1,593 |
| * | Carriage Services Inc. Class A | 340,712 | 1,588 |
| | Speedway Motorsports Inc. | 115,332 | 1,564 |
| * | Midas Inc. | 202,723 | 1,555 |
| *,^ | McClatchy Co. Class A | 422,626 | 1,538 |
| | Marcus Corp. | 161,507 | 1,528 |
| * | Monarch Casino & Resort Inc. | 150,360 | 1,523 |
| * | Strattec Security Corp. | 66,615 | 1,472 |
| | Weyco Group Inc. | 63,628 | 1,449 |
| * | AFC Enterprises Inc. | 159,071 | 1,448 |
| * | Stoneridge Inc. | 189,578 | 1,439 |
| * | Arctic Cat Inc. | 156,375 | 1,425 |
| * | O'Charleys Inc. | 262,815 | 1,393 |
| * | Martha Stewart Living Omnimedia Class A | 281,087 | 1,383 |
| * | Leapfrog Enterprises Inc. | 341,837 | 1,374 |
| | Bebe Stores Inc. | 213,332 | 1,365 |
6
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Audiovox Corp. Class A | 185,139 | 1,361 |
| * | Playboy Enterprises Inc. Class B | 323,841 | 1,360 |
| * | Jamba Inc. | 631,292 | 1,345 |
| *,^ | Bon-Ton Stores Inc. | 135,855 | 1,325 |
| | Ambassadors Group Inc. | 116,150 | 1,311 |
| | Mac-Gray Corp. | 117,142 | 1,305 |
| * | Shoe Carnival Inc. | 62,413 | 1,280 |
| | Courier Corp. | 103,465 | 1,263 |
| * | Rubio's Restaurants Inc. | 146,923 | 1,244 |
| * | Destination Maternity Corp. | 49,107 | 1,242 |
| * | Entercom Communications Corp. Class A | 138,629 | 1,223 |
| * | Daily Journal Corp. | 17,529 | 1,195 |
| * | Kenneth Cole Productions Inc. Class A | 103,120 | 1,135 |
| * | Morgans Hotel Group Co. | 176,057 | 1,085 |
| * | Multimedia Games Inc. | 237,764 | 1,070 |
| * | Saga Communications Inc. Class A | 44,480 | 1,062 |
| * | Lifetime Brands Inc. | 72,455 | 1,059 |
| | Spartan Motors Inc. | 250,153 | 1,051 |
| * | Cache Inc. | 180,188 | 1,023 |
| | CSS Industries Inc. | 61,962 | 1,022 |
| * | West Marine Inc. | 91,940 | 1,000 |
| * | M/I Homes Inc. | 101,098 | 975 |
| | Gaiam Inc. Class A | 160,270 | 973 |
| * | American Apparel Inc. | 530,580 | 971 |
| *,^ | Fuqi International Inc. | 139,200 | 947 |
| | Dover Downs Gaming & Entertainment Inc. | 326,811 | 945 |
| * | Sealy Corp. | 344,861 | 921 |
| * | Shiloh Industries Inc. | 108,272 | 916 |
| * | Cumulus Media Inc. Class A | 338,403 | 904 |
| *,^ | Joe's Jeans Inc. | 451,631 | 894 |
| * | Hastings Entertainment Inc. | 116,057 | 889 |
| * | Navarre Corp. | 403,891 | 880 |
| *,^ | Wonder Auto Technology Inc. | 120,214 | 880 |
| *,^ | Brookfield Homes Corp. | 128,917 | 869 |
| * | Tuesday Morning Corp. | 214,937 | 858 |
| * | Red Lion Hotels Corp. | 139,613 | 834 |
| * | Orbitz Worldwide Inc. | 217,510 | 829 |
| * | Media General Inc. Class A | 83,292 | 813 |
| | Skyline Corp. | 44,352 | 799 |
| * | Heelys Inc. | 318,703 | 774 |
| * | Marine Products Corp. | 136,760 | 774 |
| * | Build-A-Bear Workshop Inc. | 110,838 | 751 |
| * | Cost Plus Inc. | 201,688 | 720 |
| * | MarineMax Inc. | 101,965 | 708 |
| * | Morton's Restaurant Group Inc. | 135,539 | 702 |
| * | Fisher Communications Inc. | 41,340 | 696 |
| | Lithia Motors Inc. Class A | 111,514 | 689 |
| * | Stanley Furniture Co. Inc. | 168,353 | 684 |
| | PRIMEDIA Inc. | 219,355 | 643 |
| * | Lee Enterprises Inc. | 248,140 | 638 |
| * | Radio One Inc. | 495,080 | 634 |
| * | Zale Corp. | 398,010 | 629 |
| * | McCormick & Schmick's Seafood Restaurants Inc. | 83,802 | 625 |
| * | Bassett Furniture Industries Inc. | 144,672 | 619 |
| *,^ | Quantum Fuel Systems Technologies Worldwide Inc. | 1,101,650 | 591 |
| * | New York & Co. Inc. | 245,053 | 561 |
| * | Casual Male Retail Group Inc. | 163,087 | 558 |
| | Books-A-Million Inc. | 90,659 | 546 |
| *,^ | Benihana Inc. Class A | 92,072 | 545 |
| *,^ | Johnson Outdoors Inc. Class A | 48,063 | 541 |
| * | Princeton Review Inc. | 226,428 | 525 |
| * | Empire Resorts Inc. | 321,371 | 524 |
| * | Great Wolf Resorts Inc. | 248,722 | 517 |
| * | Town Sports International Holdings Inc. | 223,848 | 515 |
7
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Outdoor Channel Holdings Inc. | 108,452 | 506 |
| * | Gray Television Inc. | 201,962 | 487 |
| * | Hallwood Group Inc. | 12,268 | 466 |
| * | Luby's Inc. | 120,681 | 465 |
| * | Escalade Inc. | 92,911 | 456 |
| * | Borders Group Inc. | 337,189 | 448 |
| * | Premier Exhibitions Inc. | 342,848 | 439 |
| * | 1-800-Flowers.com Inc. Class A | 211,103 | 435 |
| * | Vitacost.com Inc. | 48,300 | 434 |
| * | Rick's Cabaret International Inc. | 54,867 | 433 |
| *,^ | Blockbuster Inc. Class A | 1,805,063 | 430 |
| * | dELiA*s Inc. | 289,908 | 426 |
| * | Harris Interactive Inc. | 396,566 | 420 |
| * | Beasley Broadcasting Group Inc. Class A | 84,034 | 409 |
| * | Spanish Broadcasting System Inc. | 343,893 | 392 |
| * | Carrols Restaurant Group Inc. | 85,458 | 391 |
| * | Bluegreen Corp. | 125,143 | 377 |
| * | Dover Motorsports Inc. | 204,307 | 372 |
| * | Entravision Communications Corp. Class A | 174,920 | 369 |
| *,^ | Jackson Hewitt Tax Service Inc. | 325,607 | 368 |
| * | Ruth's Hospitality Group Inc. | 87,294 | 365 |
| * | Dixie Group Inc. | 98,419 | 362 |
| * | Duckwall-ALCO Stores Inc. | 24,488 | 359 |
| *,^ | Conn's Inc. | 58,948 | 347 |
| * | MTR Gaming Group Inc. | 208,151 | 337 |
| *,^ | Reading International Inc. Class A | 80,304 | 319 |
| * | Salem Communications Corp. Class A | 75,777 | 281 |
| * | Century Casinos Inc. | 129,286 | 279 |
| * | Trans World Entertainment Corp. | 160,982 | 274 |
| * | Nexstar Broadcasting Group Inc. Class A | 61,091 | 268 |
| | Gaming Partners International Corp. | 39,454 | 252 |
| | Emerson Radio Corp. | 146,371 | 249 |
| * | Benihana Inc. Class A | 37,839 | 241 |
| *,^ | China Automotive Systems Inc. | 13,128 | 231 |
| * | Nautilus Inc. | 145,305 | 221 |
| * | Private Media Group Inc. | 125,862 | 220 |
| | Aaron's Inc. Class A | 15,187 | 210 |
| * | Hollywood Media Corp. | 167,059 | 197 |
| | Collectors Universe | 14,505 | 195 |
| * | Canterbury Park Holding Corp. | 24,400 | 194 |
| * | Valuevision Media Inc. Class A | 97,214 | 172 |
| * | SORL Auto Parts Inc. | 19,523 | 162 |
| * | LodgeNet Interactive Corp. | 43,500 | 161 |
| * | Culp Inc. | 14,120 | 155 |
| | Frisch's Restaurants Inc. | 7,499 | 151 |
| | Sport Supply Group Inc. | 10,900 | 147 |
| * | Lakes Entertainment Inc. | 92,056 | 141 |
| * | Atrinsic Inc. | 144,106 | 131 |
| * | Sport Chalet Inc. Class A | 63,521 | 124 |
| * | Palm Harbor Homes Inc. | 65,633 | 117 |
| * | AC Moore Arts & Crafts Inc. | 46,171 | 105 |
| * | VCG Holding Corp. | 54,516 | 87 |
| * | Hovnanian Enterprises Inc. Class B | 19,300 | 71 |
| * | Blockbuster Inc. Class B | 280,668 | 70 |
| * | Tandy Brands Accessories Inc. | 17,502 | 63 |
| * | Nobel Learning Communities Inc. | 8,340 | 49 |
| * | Lazare Kaplan International Inc. | 15,258 | 38 |
| * | Delta Apparel Inc. | 1,800 | 26 |
| | Flexsteel Industries | 2,200 | 24 |
| * | Emmis Communications Corp. Class A | 6,535 | 14 |
| * | Global Traffic Network Inc. | 2,600 | 14 |
| * | Forward Industries Inc. | 4,380 | 14 |
| * | SPAR Group Inc. | 16,174 | 10 |
| * | Crown Media Holdings Inc. Class A | 4,100 | 7 |
8
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Sport Chalet Inc. Class B | 1,825 | 5 |
| * | US Auto Parts Network Inc. | 400 | 2 |
| * | Krispy Kreme Doughnuts Inc. Warrants Exp. 3/2/2012 | 9,739 | 1 |
| | | | 13,197,090 |
| Consumer Staples (10.0%) | | |
| | Procter & Gamble Co. | 30,652,430 | 1,838,533 |
| | Wal-Mart Stores Inc. | 24,125,385 | 1,159,707 |
| | Coca-Cola Co. | 21,893,553 | 1,097,305 |
| | PepsiCo Inc. | 17,174,602 | 1,046,792 |
| | Philip Morris International Inc. | 19,850,001 | 909,924 |
| | Kraft Foods Inc. | 18,406,522 | 515,383 |
| | Altria Group Inc. | 21,956,031 | 439,999 |
| | CVS Caremark Corp. | 14,674,220 | 430,248 |
| | Colgate-Palmolive Co. | 5,210,608 | 410,388 |
| | Walgreen Co. | 10,396,630 | 277,590 |
| | Kimberly-Clark Corp. | 4,393,385 | 266,371 |
| | Costco Wholesale Corp. | 4,636,375 | 254,212 |
| | General Mills Inc. | 6,955,288 | 247,052 |
| | Sysco Corp. | 6,253,254 | 178,655 |
| | Archer-Daniels-Midland Co. | 6,103,194 | 157,584 |
| | HJ Heinz Co. | 3,337,351 | 144,240 |
| | Kellogg Co. | 2,811,348 | 141,411 |
| | Kroger Co. | 6,515,500 | 128,290 |
| | Avon Products Inc. | 4,511,423 | 119,553 |
| | Lorillard Inc. | 1,633,754 | 117,598 |
| | ConAgra Foods Inc. | 4,679,379 | 109,123 |
| | Mead Johnson Nutrition Co. | 2,158,179 | 108,168 |
| | Dr Pepper Snapple Group Inc. | 2,681,631 | 100,266 |
| | Sara Lee Corp. | 6,991,071 | 98,574 |
| | Reynolds American Inc. | 1,845,366 | 96,181 |
| | Clorox Co. | 1,480,043 | 91,999 |
| | Safeway Inc. | 4,097,822 | 80,563 |
| | Coca-Cola Enterprises Inc. | 3,113,003 | 80,502 |
| | Hershey Co. | 1,676,443 | 80,352 |
| | Campbell Soup Co. | 2,171,404 | 77,801 |
| | JM Smucker Co. | 1,256,157 | 75,646 |
| | Molson Coors Brewing Co. Class B | 1,707,134 | 72,314 |
| | Bunge Ltd. | 1,442,236 | 70,944 |
| | Estee Lauder Cos. Inc. Class A | 1,192,325 | 66,448 |
| * | Whole Foods Market Inc. | 1,528,247 | 55,047 |
| | Tyson Foods Inc. Class A | 3,073,509 | 50,375 |
| | Brown-Forman Corp. Class B | 873,504 | 49,991 |
| | McCormick & Co. Inc. | 1,264,753 | 48,010 |
| | Church & Dwight Co. Inc. | 745,554 | 46,754 |
| * | Energizer Holdings Inc. | 700,774 | 35,235 |
| * | Constellation Brands Inc. Class A | 2,095,195 | 32,727 |
| * | Ralcorp Holdings Inc. | 578,262 | 31,689 |
| | Hormel Foods Corp. | 776,855 | 31,447 |
| * | Hansen Natural Corp. | 791,795 | 30,967 |
| * | Green Mountain Coffee Roasters Inc. | 1,179,829 | 30,322 |
| | Del Monte Foods Co. | 2,097,174 | 30,178 |
| | Herbalife Ltd. | 637,343 | 29,350 |
| | Alberto-Culver Co. Class B | 935,218 | 25,335 |
| | SUPERVALU Inc. | 2,242,144 | 24,305 |
| | Corn Products International Inc. | 795,411 | 24,101 |
| * | Smithfield Foods Inc. | 1,576,633 | 23,492 |
| * | BJ's Wholesale Club Inc. | 590,247 | 21,845 |
| | Flowers Foods Inc. | 876,403 | 21,411 |
| * | NBTY Inc. | 603,080 | 20,511 |
| * | Dean Foods Co. | 1,918,884 | 19,323 |
| | Casey's General Stores Inc. | 540,010 | 18,846 |
| * | TreeHouse Foods Inc. | 364,686 | 16,652 |
| | Nu Skin Enterprises Inc. Class A | 602,241 | 15,014 |
| * | Central European Distribution Corp. | 688,796 | 14,726 |
9
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Ruddick Corp. | 437,430 | 13,556 |
| * | United Natural Foods Inc. | 434,736 | 12,990 |
| * | American Italian Pasta Co. | 223,236 | 11,803 |
| | Sanderson Farms Inc. | 232,448 | 11,794 |
| | Lancaster Colony Corp. | 208,503 | 11,126 |
| | Universal Corp. | 260,629 | 10,342 |
| * | Fresh Del Monte Produce Inc. | 470,277 | 9,518 |
| | Diamond Foods Inc. | 226,253 | 9,299 |
| ^ | Vector Group Ltd. | 541,780 | 9,113 |
| * | Hain Celestial Group Inc. | 432,423 | 8,722 |
| * | Darling International Inc. | 937,574 | 7,041 |
| * | Boston Beer Co. Inc. Class A | 101,619 | 6,854 |
| * | Rite Aid Corp. | 6,353,366 | 6,226 |
| * | Chiquita Brands International Inc. | 508,596 | 6,179 |
| | Nash Finch Co. | 175,238 | 5,986 |
| | Andersons Inc. | 180,233 | 5,874 |
| | J&J Snack Foods Corp. | 131,334 | 5,529 |
| | WD-40 Co. | 160,766 | 5,370 |
| * | Winn-Dixie Stores Inc. | 535,288 | 5,160 |
| | Tootsie Roll Industries Inc. | 217,042 | 5,133 |
| | Cal-Maine Foods Inc. | 152,551 | 4,871 |
| *,^ | Zhongpin Inc. | 359,218 | 4,224 |
| | B&G Foods Inc. Class A | 388,416 | 4,187 |
| | Lance Inc. | 251,679 | 4,150 |
| * | Heckmann Corp. | 886,300 | 4,112 |
| * | Medifast Inc. | 146,148 | 3,787 |
| | Weis Markets Inc. | 114,384 | 3,764 |
| | Pricesmart Inc. | 151,462 | 3,518 |
| * | Central Garden and Pet Co. Class A | 392,206 | 3,518 |
| * | USANA Health Sciences Inc. | 93,897 | 3,430 |
| | Spartan Stores Inc. | 237,997 | 3,265 |
| *,^ | Dole Food Co. Inc. | 295,413 | 3,081 |
| | Coca-Cola Bottling Co. Consolidated | 63,568 | 3,046 |
| *,^ | American Dairy Inc. | 186,791 | 2,979 |
| * | Elizabeth Arden Inc. | 195,175 | 2,834 |
| * | Alliance One International Inc. | 781,949 | 2,784 |
| * | Pantry Inc. | 195,771 | 2,762 |
| * | Smart Balance Inc. | 671,839 | 2,748 |
| * | Pilgrim's Pride Corp. | 398,098 | 2,616 |
| * | John B. Sanfilippo & Son Inc. | 166,600 | 2,411 |
| * | Prestige Brands Holdings Inc. | 327,662 | 2,320 |
| | Oil-Dri Corp. of America | 100,336 | 2,303 |
| * | Central Garden and Pet Co. | 230,992 | 2,197 |
| | Village Super Market Inc. Class A | 81,329 | 2,135 |
| | Inter Parfums Inc. | 148,391 | 2,112 |
| * | Revlon Inc. Class A | 185,262 | 2,068 |
| * | Nutraceutical International Corp. | 131,159 | 2,002 |
| * | Physicians Formula Holdings Inc. | 573,601 | 1,893 |
| | Calavo Growers Inc. | 95,840 | 1,721 |
| | Imperial Sugar Co. | 162,919 | 1,646 |
| *,^ | Great Atlantic & Pacific Tea Co. | 415,326 | 1,620 |
| | Tasty Baking Co. | 222,208 | 1,604 |
| | Ingles Markets Inc. Class A | 102,909 | 1,549 |
| *,^ | American Oriental Bioengineering Inc. | 552,945 | 1,393 |
| | National Beverage Corp. | 104,531 | 1,284 |
| * | Seneca Foods Corp. Class A | 39,593 | 1,277 |
| | Schiff Nutrition International Inc. | 163,725 | 1,166 |
| * | Lifeway Foods Inc. | 111,471 | 1,086 |
| * | Reddy Ice Holdings Inc. | 305,753 | 988 |
| *,^ | China Sky One Medical Inc. | 87,225 | 980 |
| | Arden Group Inc. | 10,599 | 931 |
| | Alico Inc. | 39,784 | 914 |
| | Female Health Co. | 143,598 | 745 |
| * | Inventure Foods Inc. | 229,074 | 701 |
10
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | Star Scientific Inc. | 423,326 | 694 |
| | Farmer Bros Co. | 38,062 | 574 |
| | Griffin Land & Nurseries Inc. | 21,972 | 558 |
| * | Susser Holdings Corp. | 46,875 | 553 |
| *,^ | China-Biotics Inc. | 40,193 | 523 |
| * | Omega Protein Corp. | 112,817 | 452 |
| * | Mannatech Inc. | 218,491 | 435 |
| * | MGP Ingredients Inc. | 55,744 | 370 |
| | Reliv International Inc. | 146,063 | 353 |
| * | HQ Sustainable Maritime Industries Inc. | 66,059 | 330 |
| * | Harbinger Group Inc. | 41,705 | 262 |
| * | Parlux Fragrances Inc. | 132,458 | 237 |
| *,^ | AgFeed Industries Inc. | 77,563 | 227 |
| * | Orchids Paper Products Co. | 4,200 | 55 |
| * | Jones Soda Co. | 25,344 | 30 |
| * | Crystal Rock Holdings Inc. | 33,000 | 24 |
| | | | 12,115,383 |
| Energy (10.1%) | | |
| | Exxon Mobil Corp. | 53,786,081 | 3,069,572 |
| | Chevron Corp. | 21,194,331 | 1,438,247 |
| | ConocoPhillips | 14,906,220 | 731,746 |
| | Schlumberger Ltd. | 12,617,644 | 698,260 |
| | Occidental Petroleum Corp. | 8,568,695 | 661,075 |
| | Apache Corp. | 3,551,700 | 299,018 |
| | Devon Energy Corp. | 4,479,362 | 272,883 |
| | EOG Resources Inc. | 2,665,544 | 262,210 |
| | Halliburton Co. | 9,551,563 | 234,491 |
| | Marathon Oil Corp. | 7,470,871 | 232,269 |
| | Baker Hughes Inc. | 4,532,586 | 188,420 |
| | Anadarko Petroleum Corp. | 5,198,082 | 187,599 |
| * | Transocean Ltd. | 3,394,183 | 157,253 |
| | Hess Corp. | 3,107,983 | 156,456 |
| | National Oilwell Varco Inc. | 4,416,014 | 146,038 |
| | Chesapeake Energy Corp. | 6,838,456 | 143,266 |
| * | Southwestern Energy Co. | 3,652,335 | 141,126 |
| | Spectra Energy Corp. | 6,832,961 | 137,138 |
| | Williams Cos. Inc. | 6,158,756 | 112,582 |
| | Noble Energy Inc. | 1,840,999 | 111,067 |
| | Peabody Energy Corp. | 2,836,289 | 110,984 |
| | Valero Energy Corp. | 5,960,478 | 107,169 |
| * | Weatherford International Ltd. | 7,787,395 | 102,326 |
| | Smith International Inc. | 2,621,415 | 98,696 |
| | Murphy Oil Corp. | 1,916,262 | 94,951 |
| | Noble Corp. | 2,716,200 | 83,958 |
| * | Cameron International Corp. | 2,579,803 | 83,895 |
| | El Paso Corp. | 7,400,631 | 82,221 |
| | Consol Energy Inc. | 2,318,104 | 78,259 |
| | Pioneer Natural Resources Co. | 1,219,463 | 72,497 |
| * | Ultra Petroleum Corp. | 1,604,828 | 71,014 |
| * | Newfield Exploration Co. | 1,404,267 | 68,612 |
| * | FMC Technologies Inc. | 1,289,343 | 67,897 |
| | Range Resources Corp. | 1,679,496 | 67,432 |
| | Cimarex Energy Co. | 884,760 | 63,331 |
| * | Denbury Resources Inc. | 3,982,547 | 58,304 |
| * | Petrohawk Energy Corp. | 3,178,743 | 53,943 |
| * | Nabors Industries Ltd. | 3,004,236 | 52,935 |
| * | Kinder Morgan Management LLC | 826,933 | 46,796 |
| ^ | Diamond Offshore Drilling Inc. | 734,347 | 45,669 |
| * | Concho Resources Inc. | 818,933 | 45,312 |
| * | Alpha Natural Resources Inc. | 1,271,103 | 43,052 |
| | Sunoco Inc. | 1,234,485 | 42,923 |
| * | Whiting Petroleum Corp. | 536,652 | 42,084 |
| * | Pride International Inc. | 1,855,109 | 41,443 |
| | Helmerich & Payne Inc. | 1,116,968 | 40,792 |
11
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Core Laboratories NV | 235,682 | 34,789 |
| | Cabot Oil & Gas Corp. | 1,096,853 | 34,353 |
| | Arch Coal Inc. | 1,716,322 | 34,000 |
| * | Forest Oil Corp. | 1,129,096 | 30,892 |
| * | Plains Exploration & Production Co. | 1,475,893 | 30,418 |
| | EXCO Resources Inc. | 1,904,153 | 27,820 |
| * | Dresser-Rand Group Inc. | 874,075 | 27,577 |
| | Massey Energy Co. | 1,006,516 | 27,528 |
| | SM Energy Co. | 662,562 | 26,608 |
| * | Rowan Cos. Inc. | 1,202,335 | 26,379 |
| * | Oceaneering International Inc. | 581,030 | 26,088 |
| | Southern Union Co. | 1,179,118 | 25,776 |
| * | Mariner Energy Inc. | 1,074,951 | 23,090 |
| * | Atlas Energy Inc. | 828,867 | 22,437 |
| | Tidewater Inc. | 547,186 | 21,187 |
| | Patterson-UTI Energy Inc. | 1,626,534 | 20,933 |
| * | Oil States International Inc. | 526,469 | 20,838 |
| * | Brigham Exploration Co. | 1,208,832 | 18,592 |
| * | Unit Corp. | 428,611 | 17,397 |
| | Tesoro Corp. | 1,479,670 | 17,268 |
| * | Exterran Holdings Inc. | 627,293 | 16,190 |
| * | SEACOR Holdings Inc. | 227,924 | 16,105 |
| * | Continental Resources Inc. | 360,580 | 16,089 |
| * | Atwood Oceanics Inc. | 612,916 | 15,642 |
| * | Superior Energy Services Inc. | 829,600 | 15,489 |
| | World Fuel Services Corp. | 596,664 | 15,477 |
| | CARBO Ceramics Inc. | 208,822 | 15,075 |
| | Frontier Oil Corp. | 1,111,971 | 14,956 |
| * | Dril-Quip Inc. | 337,187 | 14,843 |
| * | Comstock Resources Inc. | 500,319 | 13,869 |
| * | Quicksilver Resources Inc. | 1,255,139 | 13,807 |
| | Berry Petroleum Co. Class A | 514,321 | 13,228 |
| * | Arena Resources Inc. | 407,523 | 13,000 |
| | Holly Corp. | 478,167 | 12,710 |
| * | Bill Barrett Corp. | 409,527 | 12,601 |
| | Lufkin Industries Inc. | 315,028 | 12,283 |
| * | Key Energy Services Inc. | 1,328,387 | 12,195 |
| *,^ | Gran Tierra Energy Inc. | 2,410,089 | 11,954 |
| | Overseas Shipholding Group Inc. | 306,217 | 11,342 |
| * | Helix Energy Solutions Group Inc. | 1,052,228 | 11,333 |
| * | Rosetta Resources Inc. | 558,671 | 11,067 |
| * | Bristow Group Inc. | 363,634 | 10,691 |
| * | Swift Energy Co. | 396,768 | 10,677 |
| | Penn Virginia Corp. | 482,041 | 9,694 |
| *,^ | SandRidge Energy Inc. | 1,658,974 | 9,672 |
| * | Patriot Coal Corp. | 818,074 | 9,612 |
| * | Complete Production Services Inc. | 657,379 | 9,401 |
| * | McMoRan Exploration Co. | 796,036 | 8,844 |
| *,^ | Energy XXI Bermuda Ltd. | 542,366 | 8,559 |
| * | Tetra Technologies Inc. | 810,728 | 7,361 |
| * | International Coal Group Inc. | 1,701,743 | 6,552 |
| * | Cal Dive International Inc. | 1,116,910 | 6,534 |
| * | Enbridge Energy Management LLC | 125,495 | 6,400 |
| * | Contango Oil & Gas Co. | 141,795 | 6,345 |
| * | James River Coal Co. | 381,997 | 6,081 |
| * | Rex Energy Corp. | 565,389 | 5,710 |
| * | ION Geophysical Corp. | 1,638,951 | 5,704 |
| * | USEC Inc. | 1,145,707 | 5,454 |
| * | Stone Energy Corp. | 482,635 | 5,386 |
| * | Newpark Resources Inc. | 872,585 | 5,279 |
| * | Gulfmark Offshore Inc. | 200,473 | 5,252 |
| *,^ | ATP Oil & Gas Corp. | 487,287 | 5,160 |
| * | Cobalt International Energy Inc. | 679,149 | 5,060 |
| * | Venoco Inc. | 303,329 | 4,996 |
12
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | Clean Energy Fuels Corp. | 333,958 | 4,989 |
| * | Northern Oil and Gas Inc. | 379,603 | 4,874 |
| * | Petroquest Energy Inc. | 699,972 | 4,732 |
| | General Maritime Corp. | 758,362 | 4,581 |
| * | Global Industries Ltd. | 1,018,866 | 4,575 |
| * | Hornbeck Offshore Services Inc. | 312,046 | 4,556 |
| * | Carrizo Oil & Gas Inc. | 289,140 | 4,490 |
| * | Tesco Corp. | 333,532 | 4,096 |
| * | Hercules Offshore Inc. | 1,659,324 | 4,032 |
| * | Parker Drilling Co. | 996,788 | 3,937 |
| * | Resolute Energy Corp. | 319,511 | 3,911 |
| * | Callon Petroleum Co. | 618,040 | 3,894 |
| * | Cloud Peak Energy Inc. | 286,006 | 3,792 |
| * | Petroleum Development Corp. | 147,534 | 3,780 |
| *,^ | Kodiak Oil & Gas Corp. | 1,184,764 | 3,779 |
| *,^ | Western Refining Inc. | 718,802 | 3,616 |
| *,^ | Rentech Inc. | 3,595,898 | 3,560 |
| | RPC Inc. | 254,692 | 3,477 |
| * | Willbros Group Inc. | 458,831 | 3,395 |
| * | Boots & Coots Inc. | 1,104,050 | 3,257 |
| * | Superior Well Services Inc. | 190,106 | 3,179 |
| * | Energy Partners Ltd. | 259,916 | 3,174 |
| *,^ | Goodrich Petroleum Corp. | 264,078 | 3,169 |
| * | Pioneer Drilling Co. | 554,217 | 3,142 |
| *,^ | BPZ Resources Inc. | 734,139 | 3,047 |
| * | CVR Energy Inc. | 401,441 | 3,019 |
| | W&T Offshore Inc. | 300,318 | 2,841 |
| *,^ | Delta Petroleum Corp. | 3,234,013 | 2,781 |
| | Vaalco Energy Inc. | 483,153 | 2,706 |
| | Gulf Island Fabrication Inc. | 173,931 | 2,699 |
| * | T-3 Energy Services Inc. | 96,117 | 2,682 |
| * | Warren Resources Inc. | 907,559 | 2,632 |
| * | Harvest Natural Resources Inc. | 355,919 | 2,623 |
| * | Clayton Williams Energy Inc. | 61,511 | 2,591 |
| * | Gulfport Energy Corp. | 213,961 | 2,538 |
| * | Matrix Service Co. | 268,102 | 2,496 |
| * | Oilsands Quest Inc. | 3,836,751 | 2,340 |
| * | Endeavour International Corp. | 2,182,843 | 2,314 |
| * | Abraxas Petroleum Corp. | 707,809 | 1,982 |
| * | Crosstex Energy Inc. | 296,917 | 1,903 |
| * | American Oil & Gas Inc. | 299,514 | 1,881 |
| * | Syntroleum Corp. | 1,104,888 | 1,812 |
| *,^ | GMX Resources Inc. | 278,923 | 1,810 |
| * | Basic Energy Services Inc. | 227,391 | 1,751 |
| * | REX American Resources Corp. | 106,959 | 1,711 |
| * | Dawson Geophysical Co. | 74,813 | 1,591 |
| * | OYO Geospace Corp. | 29,119 | 1,412 |
| * | Bolt Technology Corp. | 159,732 | 1,398 |
| * | Natural Gas Services Group Inc. | 88,753 | 1,343 |
| * | FX Energy Inc. | 369,700 | 1,338 |
| | Panhandle Oil and Gas Inc. Class A | 49,690 | 1,313 |
| * | Double Eagle Petroleum Co. | 284,067 | 1,207 |
| * | Vantage Drilling Co. | 880,083 | 1,188 |
| * | Seahawk Drilling Inc. | 109,047 | 1,060 |
| * | PHI Inc. | 74,329 | 1,047 |
| * | Cheniere Energy Inc. | 365,247 | 1,030 |
| ^ | Houston American Energy Corp. | 98,616 | 972 |
| * | Allis-Chalmers Energy Inc. | 458,174 | 944 |
| * | Gastar Exploration Ltd. | 254,922 | 920 |
| ^ | Alon USA Energy Inc. | 140,025 | 891 |
| * | Green Plains Renewable Energy Inc. | 86,068 | 880 |
| *,^ | CAMAC Energy Inc. | 230,320 | 859 |
| * | Westmoreland Coal Co. | 103,371 | 839 |
| *,^ | Uranium Energy Corp. | 347,369 | 820 |
13
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | CREDO Petroleum Corp. | 104,820 | 771 |
| * | Toreador Resources Corp. | 137,328 | 755 |
| | Delek US Holdings Inc. | 103,300 | 754 |
| * | RAM Energy Resources Inc. | 355,970 | 737 |
| * | Bronco Drilling Co. Inc. | 203,834 | 683 |
| * | Union Drilling Inc. | 123,487 | 680 |
| * | Georesources Inc. | 48,779 | 679 |
| *,^ | GeoGlobal Resources Inc. | 610,152 | 641 |
| *,^ | Pacific Ethanol Inc. | 907,372 | 581 |
| * | Magnum Hunter Resources Corp. | 102,889 | 449 |
| * | ENGlobal Corp. | 215,928 | 445 |
| * | Mitcham Industries Inc. | 62,002 | 419 |
| * | Gasco Energy Inc. | 943,505 | 336 |
| *,^ | Verenium Corp. | 131,507 | 309 |
| * | Approach Resources Inc. | 40,400 | 278 |
| *,^ | Isramco Inc. | 5,663 | 267 |
| * | TGC Industries Inc. | 78,346 | 237 |
| *,^ | Tri-Valley Corp. | 197,225 | 199 |
| *,^ | Sulphco Inc. | 705,765 | 192 |
| *,^ | NGAS Resources Inc. | 180,751 | 190 |
| *,^ | Hyperdynamics Corp. | 162,240 | 177 |
| * | Barnwell Industries Inc. | 63,095 | 177 |
| * | Cano Petroleum Inc. | 227,791 | 174 |
| *,^ | BMB Munai Inc. | 186,214 | 119 |
| * | HKN Inc. | 35,314 | 111 |
| * | GeoMet Inc. | 94,535 | 108 |
| *,^ | Trico Marine Services Inc. | 176,598 | 88 |
| * | Evolution Petroleum Corp. | 15,000 | 75 |
| *,^ | Evergreen Energy Inc. | 496,824 | 53 |
| * | Geokinetics Inc. | 13,371 | 51 |
| * | Uranium Resources Inc. | 114,096 | 45 |
| * | National Coal Corp. | 64,646 | 39 |
| * | Cubic Energy Inc. | 26,928 | 24 |
| | | | 12,290,901 |
| Financials (16.3%) | | |
| | JPMorgan Chase & Co. | 41,927,451 | 1,534,964 |
| | Bank of America Corp. | 105,870,025 | 1,521,352 |
| | Wells Fargo & Co. | 51,938,933 | 1,329,637 |
| * | Citigroup Inc. | 225,388,690 | 847,461 |
| | Goldman Sachs Group Inc. | 5,153,910 | 676,554 |
| | US Bancorp | 20,191,849 | 451,288 |
| | American Express Co. | 11,366,244 | 451,240 |
| * | Berkshire Hathaway Inc. Class B | 4,778,022 | 380,761 |
| | MetLife Inc. | 8,644,282 | 326,408 |
| | Bank of New York Mellon Corp. | 12,750,204 | 314,803 |
| | PNC Financial Services Group Inc. | 5,455,698 | 308,247 |
| | Morgan Stanley | 13,278,745 | 308,200 |
| | Travelers Cos. Inc. | 5,419,801 | 266,925 |
| | Prudential Financial Inc. | 4,886,122 | 262,189 |
| | Simon Property Group Inc. | 3,060,219 | 247,113 |
| | Aflac Inc. | 4,950,810 | 211,251 |
| | CME Group Inc. | 703,303 | 198,015 |
| | Capital One Financial Corp. | 4,804,849 | 193,635 |
| | BB&T Corp. | 7,288,833 | 191,769 |
| | ACE Ltd. | 3,551,727 | 182,843 |
| | State Street Corp. | 5,227,833 | 176,805 |
| | Chubb Corp. | 3,467,553 | 173,412 |
| | Allstate Corp. | 5,379,427 | 154,551 |
| | Charles Schwab Corp. | 10,694,329 | 151,646 |
| | Franklin Resources Inc. | 1,685,973 | 145,314 |
| | Public Storage | 1,521,383 | 133,745 |
| | Marsh & McLennan Cos. Inc. | 5,616,280 | 126,647 |
| | Progressive Corp. | 6,733,076 | 126,043 |
| | Vornado Realty Trust | 1,721,135 | 125,557 |
14
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Equity Residential | 2,974,791 | 123,870 |
| | SunTrust Banks Inc. | 5,269,686 | 122,784 |
| | T Rowe Price Group Inc. | 2,733,235 | 121,328 |
| | Loews Corp. | 3,566,454 | 118,799 |
| | Northern Trust Corp. | 2,296,619 | 107,252 |
| | Boston Properties Inc. | 1,466,594 | 104,627 |
| | Fifth Third Bancorp | 8,390,434 | 103,118 |
| * | Berkshire Hathaway Inc. Class A | 848 | 101,760 |
| | Annaly Capital Management Inc. | 5,837,522 | 100,113 |
| | HCP Inc. | 3,101,025 | 100,008 |
| | Ameriprise Financial Inc. | 2,696,359 | 97,419 |
| | Hartford Financial Services Group Inc. | 4,374,923 | 96,817 |
| | AON Corp. | 2,534,600 | 94,084 |
| | Host Hotels & Resorts Inc. | 6,660,493 | 89,783 |
| | Regions Financial Corp. | 12,586,079 | 82,816 |
| | AvalonBay Communities Inc. | 860,405 | 80,336 |
| | Discover Financial Services | 5,737,781 | 80,214 |
| | Principal Financial Group Inc. | 3,371,422 | 79,026 |
| | Ventas Inc. | 1,653,783 | 77,645 |
| | Lincoln National Corp. | 3,189,895 | 77,483 |
| | Invesco Ltd. | 4,555,561 | 76,670 |
| | Unum Group | 3,507,685 | 76,117 |
| | NYSE Euronext | 2,743,861 | 75,813 |
| * | IntercontinentalExchange Inc. | 660,301 | 74,634 |
| | M&T Bank Corp. | 876,785 | 74,483 |
| | KeyCorp | 9,271,313 | 71,296 |
| * | CIT Group Inc. | 2,005,674 | 67,912 |
| | Comerica Inc. | 1,836,573 | 67,641 |
| * | Genworth Financial Inc. Class A | 5,161,302 | 67,458 |
| | New York Community Bancorp Inc. | 4,343,092 | 66,319 |
| | Hudson City Bancorp Inc. | 5,004,206 | 61,251 |
| | Plum Creek Timber Co. Inc. | 1,719,141 | 59,362 |
| | XL Capital Ltd. Class A | 3,610,479 | 57,804 |
| | Kimco Realty Corp. | 4,279,676 | 57,519 |
| | Health Care REIT Inc. | 1,305,347 | 54,981 |
| | Willis Group Holdings PLC | 1,783,550 | 53,596 |
| | People's United Financial Inc. | 3,954,813 | 53,390 |
| * | SLM Corp. | 5,119,180 | 53,188 |
| | BlackRock Inc. | 366,182 | 52,510 |
| | Digital Realty Trust Inc. | 895,471 | 51,651 |
| | ProLogis | 5,007,764 | 50,729 |
| | Macerich Co. | 1,358,214 | 50,689 |
| | PartnerRe Ltd. | 697,988 | 48,957 |
| | Legg Mason Inc. | 1,705,260 | 47,798 |
| | Federal Realty Investment Trust | 646,494 | 45,429 |
| | SL Green Realty Corp. | 821,387 | 45,209 |
| | Everest Re Group Ltd. | 638,136 | 45,129 |
| | Nationwide Health Properties Inc. | 1,239,193 | 44,326 |
| *,^ | American International Group Inc. | 1,281,908 | 44,149 |
| | Torchmark Corp. | 874,795 | 43,311 |
| | Assurant Inc. | 1,229,295 | 42,657 |
| | Moody's Corp. | 2,125,071 | 42,331 |
| | Cincinnati Financial Corp. | 1,633,421 | 42,257 |
| | Huntington Bancshares Inc. | 7,560,426 | 41,885 |
| * | Arch Capital Group Ltd. | 559,187 | 41,659 |
| | AMB Property Corp. | 1,751,790 | 41,535 |
| * | Leucadia National Corp. | 2,054,007 | 40,074 |
| | Axis Capital Holdings Ltd. | 1,324,627 | 39,368 |
| | WR Berkley Corp. | 1,453,453 | 38,458 |
| * | TD Ameritrade Holding Corp. | 2,490,746 | 38,108 |
| | Marshall & Ilsley Corp. | 5,275,265 | 37,876 |
| | Rayonier Inc. | 844,482 | 37,174 |
| * | CB Richard Ellis Group Inc. Class A | 2,628,057 | 35,768 |
| | RenaissanceRe Holdings Ltd. | 634,080 | 35,680 |
15
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Reinsurance Group of America Inc. Class A | 772,356 | 35,304 |
| | Liberty Property Trust | 1,190,750 | 34,353 |
| | Zions Bancorporation | 1,588,839 | 34,271 |
| | Eaton Vance Corp. | 1,235,686 | 34,117 |
| ^ | Realty Income Corp. | 1,104,803 | 33,509 |
| * | Markel Corp. | 98,531 | 33,501 |
| | Transatlantic Holdings Inc. | 678,823 | 32,556 |
| * | MSCI Inc. Class A | 1,180,916 | 32,357 |
| | UDR Inc. | 1,648,501 | 31,536 |
| | Chimera Investment Corp. | 8,714,175 | 31,458 |
| | Essex Property Trust Inc. | 313,567 | 30,585 |
| | Fidelity National Financial Inc. Class A | 2,311,918 | 30,032 |
| | Duke Realty Corp. | 2,618,935 | 29,725 |
| | Regency Centers Corp. | 863,375 | 29,700 |
| | HCC Insurance Holdings Inc. | 1,190,158 | 29,468 |
| | Cullen/Frost Bankers Inc. | 571,509 | 29,376 |
| | Alexandria Real Estate Equities Inc. | 463,004 | 29,341 |
| | Old Republic International Corp. | 2,418,524 | 29,337 |
| | Jones Lang LaSalle Inc. | 442,651 | 29,056 |
| | SEI Investments Co. | 1,404,239 | 28,590 |
| | Camden Property Trust | 681,789 | 27,851 |
| | First Niagara Financial Group Inc. | 2,211,184 | 27,706 |
| * | First Horizon National Corp. | 2,413,121 | 27,630 |
| | Hospitality Properties Trust | 1,304,402 | 27,523 |
| | White Mountains Insurance Group Ltd. | 84,252 | 27,314 |
| * | Affiliated Managers Group Inc. | 446,554 | 27,137 |
| | Senior Housing Properties Trust | 1,344,919 | 27,046 |
| | Commerce Bancshares Inc. | 746,837 | 26,879 |
| | Arthur J Gallagher & Co. | 1,084,541 | 26,441 |
| | Raymond James Financial Inc. | 1,047,405 | 25,860 |
| * | NASDAQ OMX Group Inc. | 1,452,714 | 25,829 |
| * | AmeriCredit Corp. | 1,416,242 | 25,804 |
| | Ares Capital Corp. | 2,025,804 | 25,383 |
| | City National Corp. | 489,833 | 25,094 |
| | Mack-Cali Realty Corp. | 838,579 | 24,931 |
| | Jefferies Group Inc. | 1,178,239 | 24,837 |
| * | E*Trade Financial Corp. | 2,093,332 | 24,743 |
| | Bank of Hawaii Corp. | 507,929 | 24,558 |
| | BRE Properties Inc. | 663,236 | 24,493 |
| | Brown & Brown Inc. | 1,278,647 | 24,473 |
| | Apartment Investment & Management Co. | 1,241,147 | 24,041 |
| | Corporate Office Properties Trust SBI | 618,178 | 23,342 |
| | Weingarten Realty Investors | 1,208,441 | 23,021 |
| * | St. Joe Co. | 980,148 | 22,700 |
| | American Financial Group Inc. | 830,718 | 22,695 |
| | Developers Diversified Realty Corp. | 2,245,519 | 22,231 |
| | TCF Financial Corp. | 1,333,598 | 22,151 |
| | MFA Financial Inc. | 2,972,645 | 21,998 |
| | Valley National Bancorp | 1,614,877 | 21,995 |
| | Assured Guaranty Ltd. | 1,653,833 | 21,946 |
| | Hanover Insurance Group Inc. | 501,033 | 21,795 |
| | Taubman Centers Inc. | 574,532 | 21,620 |
| | Associated Banc-Corp | 1,737,944 | 21,307 |
| | Highwoods Properties Inc. | 752,575 | 20,891 |
| | Allied World Assurance Co. Holdings Ltd. | 447,753 | 20,319 |
| | Federated Investors Inc. Class B | 979,585 | 20,287 |
| | StanCorp Financial Group Inc. | 500,149 | 20,276 |
| | Fulton Financial Corp. | 2,097,525 | 20,241 |
| | Waddell & Reed Financial Inc. | 906,310 | 19,830 |
| | Endurance Specialty Holdings Ltd. | 525,891 | 19,737 |
| * | Alleghany Corp. | 66,882 | 19,616 |
| | FirstMerit Corp. | 1,138,155 | 19,497 |
| | Protective Life Corp. | 905,208 | 19,362 |
| | Washington Federal Inc. | 1,187,053 | 19,207 |
16
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Omega Healthcare Investors Inc. | 958,959 | 19,112 |
| | Validus Holdings Ltd. | 779,755 | 19,042 |
| | Synovus Financial Corp. | 7,488,382 | 19,020 |
| | BioMed Realty Trust Inc. | 1,177,607 | 18,948 |
| | Apollo Investment Corp. | 2,019,178 | 18,839 |
| | National Retail Properties Inc. | 877,525 | 18,814 |
| | Entertainment Properties Trust | 490,714 | 18,681 |
| | Aspen Insurance Holdings Ltd. | 748,815 | 18,526 |
| * | ProAssurance Corp. | 326,343 | 18,523 |
| * | Popular Inc. | 6,770,033 | 18,144 |
| * | SVB Financial Group | 438,224 | 18,068 |
| | East West Bancorp Inc. | 1,171,788 | 17,870 |
| | Tanger Factory Outlet Centers | 427,444 | 17,688 |
| | Platinum Underwriters Holdings Ltd. | 484,602 | 17,586 |
| | Washington Real Estate Investment Trust | 634,040 | 17,493 |
| | CBL & Associates Properties Inc. | 1,388,835 | 17,277 |
| | Janus Capital Group Inc. | 1,944,656 | 17,269 |
| | CommonWealth REIT | 2,688,276 | 16,694 |
| | Home Properties Inc. | 369,238 | 16,642 |
| | Douglas Emmett Inc. | 1,155,545 | 16,432 |
| * | Signature Bank | 429,034 | 16,308 |
| | Westamerica Bancorporation | 310,099 | 16,286 |
| | Prosperity Bancshares Inc. | 468,010 | 16,263 |
| | Greenhill & Co. Inc. | 265,345 | 16,221 |
| | Kilroy Realty Corp. | 542,505 | 16,129 |
| | Mid-America Apartment Communities Inc. | 309,077 | 15,908 |
| | Potlatch Corp. | 422,928 | 15,111 |
| | LaSalle Hotel Properties | 732,790 | 15,073 |
| | American Campus Communities Inc. | 552,072 | 15,066 |
| | DuPont Fabros Technology Inc. | 606,466 | 14,895 |
| | Erie Indemnity Co. Class A | 325,914 | 14,829 |
| | Equity Lifestyle Properties Inc. | 304,384 | 14,680 |
| | Brandywine Realty Trust | 1,359,297 | 14,612 |
| * | Forest City Enterprises Inc. Class A | 1,271,754 | 14,396 |
| | American Capital Ltd. | 2,984,333 | 14,384 |
| | Healthcare Realty Trust Inc. | 651,120 | 14,305 |
| | BancorpSouth Inc. | 792,962 | 14,178 |
| | Iberiabank Corp. | 273,035 | 14,056 |
| | Webster Financial Corp. | 781,294 | 14,016 |
| | BOK Financial Corp. | 288,136 | 13,678 |
| | Unitrin Inc. | 527,962 | 13,516 |
| | Northwest Bancshares Inc. | 1,172,897 | 13,453 |
| | Trustmark Corp. | 640,556 | 13,336 |
| | DiamondRock Hospitality Co. | 1,599,727 | 13,150 |
| * | Knight Capital Group Inc. Class A | 947,828 | 13,071 |
| | CapitalSource Inc. | 2,731,449 | 13,002 |
| | Astoria Financial Corp. | 936,192 | 12,882 |
| * | Stifel Financial Corp. | 294,553 | 12,781 |
| | First American Financial Corp. | 986,058 | 12,503 |
| * | MGIC Investment Corp. | 1,812,165 | 12,486 |
| * | CNO Financial Group Inc. | 2,521,362 | 12,481 |
| | Delphi Financial Group Inc. | 510,058 | 12,451 |
| * | Pinnacle Financial Partners Inc. | 960,853 | 12,347 |
| | UMB Financial Corp. | 344,299 | 12,243 |
| | Extra Space Storage Inc. | 873,213 | 12,138 |
| | TFS Financial Corp. | 977,355 | 12,129 |
| * | Texas Capital Bancshares Inc. | 733,175 | 12,024 |
| | Mercury General Corp. | 289,250 | 11,987 |
| * | Portfolio Recovery Associates Inc. | 177,662 | 11,864 |
| | Post Properties Inc. | 513,882 | 11,681 |
| * | Western Alliance Bancorp | 1,624,141 | 11,645 |
| | Umpqua Holdings Corp. | 1,008,595 | 11,579 |
| | PS Business Parks Inc. | 207,277 | 11,562 |
| | Redwood Trust Inc. | 781,252 | 11,438 |
17
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | NewAlliance Bancshares Inc. | 1,009,724 | 11,319 |
| | Montpelier Re Holdings Ltd. | 750,887 | 11,211 |
| * | PHH Corp. | 581,728 | 11,076 |
| | Glacier Bancorp Inc. | 750,761 | 11,014 |
| | Susquehanna Bancshares Inc. | 1,308,461 | 10,899 |
| | First Citizens BancShares Inc. | 55,768 | 10,726 |
| | Cash America International Inc. | 312,848 | 10,721 |
| | Medical Properties Trust Inc. | 1,133,893 | 10,704 |
| | Hatteras Financial Corp. | 384,019 | 10,683 |
| | Wintrust Financial Corp. | 318,577 | 10,621 |
| ^ | United Bankshares Inc. | 437,675 | 10,478 |
| | Hancock Holding Co. | 311,943 | 10,406 |
| | Wilmington Trust Corp. | 936,157 | 10,382 |
| * | Sunstone Hotel Investors Inc. | 1,036,899 | 10,296 |
| | Radian Group Inc. | 1,407,380 | 10,189 |
| | National Health Investors Inc. | 263,033 | 10,143 |
| | American Capital Agency Corp. | 383,416 | 10,130 |
| | EastGroup Properties Inc. | 283,757 | 10,096 |
| | Argo Group International Holdings Ltd. | 328,993 | 10,064 |
| | Sovran Self Storage Inc. | 291,955 | 10,052 |
| | DCT Industrial Trust Inc. | 2,206,384 | 9,973 |
| * | Ashford Hospitality Trust Inc. | 1,351,341 | 9,905 |
| * | MBIA Inc. | 1,746,577 | 9,798 |
| | Colonial Properties Trust | 672,315 | 9,769 |
| | FNB Corp. | 1,208,770 | 9,706 |
| | International Bancshares Corp. | 581,496 | 9,705 |
| | Tower Group Inc. | 449,566 | 9,679 |
| | Old National Bancorp | 923,935 | 9,572 |
| | Alterra Capital Holdings Ltd. | 501,934 | 9,426 |
| | Whitney Holding Corp. | 1,018,738 | 9,423 |
| | RLI Corp. | 178,681 | 9,383 |
| | MB Financial Inc. | 509,434 | 9,368 |
| | First Midwest Bancorp Inc. | 756,964 | 9,205 |
| | Franklin Street Properties Corp. | 762,709 | 9,008 |
| | First Financial Bancorp | 602,278 | 9,004 |
| *,^ | PMI Group Inc. | 3,069,447 | 8,871 |
| | Capstead Mortgage Corp. | 798,307 | 8,829 |
| * | Strategic Hotels & Resorts Inc. | 1,905,126 | 8,363 |
| * | MF Global Holdings Ltd. | 1,435,523 | 8,197 |
| | First Financial Bankshares Inc. | 168,859 | 8,120 |
| * | United Community Banks Inc. | 2,037,252 | 8,047 |
| | Selective Insurance Group Inc. | 539,343 | 8,015 |
| | American National Insurance Co. | 97,961 | 7,932 |
| * | Ezcorp Inc. Class A | 426,781 | 7,917 |
| | Cathay General Bancorp | 757,300 | 7,823 |
| | CVB Financial Corp. | 821,824 | 7,807 |
| | Community Bank System Inc. | 353,595 | 7,790 |
| | NBT Bancorp Inc. | 380,877 | 7,778 |
| *,^ | iStar Financial Inc. | 1,729,942 | 7,716 |
| * | Ocwen Financial Corp. | 753,323 | 7,676 |
| | Anworth Mortgage Asset Corp. | 1,076,422 | 7,664 |
| * | Investment Technology Group Inc. | 474,979 | 7,628 |
| | National Penn Bancshares Inc. | 1,227,546 | 7,378 |
| * | optionsXpress Holdings Inc. | 467,742 | 7,362 |
| | Starwood Property Trust Inc. | 433,689 | 7,351 |
| ^ | Prospect Capital Corp. | 738,778 | 7,129 |
| * | KBW Inc. | 329,078 | 7,055 |
| | Capitol Federal Financial | 212,426 | 7,044 |
| ^ | Park National Corp. | 108,027 | 7,026 |
| | Acadia Realty Trust | 415,919 | 6,996 |
| | Employers Holdings Inc. | 473,888 | 6,980 |
| * | Nara Bancorp Inc. | 822,972 | 6,938 |
| * | Interactive Brokers Group Inc. | 416,234 | 6,909 |
| * | Greenlight Capital Re Ltd. Class A | 271,752 | 6,845 |
18
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Equity One Inc. | 431,664 | 6,734 |
| | Investors Real Estate Trust | 756,277 | 6,678 |
| | Getty Realty Corp. | 293,550 | 6,578 |
| | S&T Bancorp Inc. | 325,774 | 6,437 |
| * | Piper Jaffray Cos. | 198,661 | 6,401 |
| | PacWest Bancorp | 348,818 | 6,387 |
| | Ramco-Gershenson Properties Trust | 628,972 | 6,353 |
| | Infinity Property & Casualty Corp. | 135,429 | 6,254 |
| | Horace Mann Educators Corp. | 404,700 | 6,192 |
| | LTC Properties Inc. | 253,529 | 6,153 |
| | Provident Financial Services Inc. | 525,999 | 6,149 |
| | PrivateBancorp Inc. Class A | 554,592 | 6,145 |
| | Columbia Banking System Inc. | 334,263 | 6,104 |
| * | World Acceptance Corp. | 159,169 | 6,098 |
| | Inland Real Estate Corp. | 766,596 | 6,071 |
| | Alexander's Inc. | 19,947 | 6,042 |
| * | Navigators Group Inc. | 146,564 | 6,028 |
| | Cousins Properties Inc. | 887,780 | 5,984 |
| * | Altisource Portfolio Solutions SA | 241,287 | 5,969 |
| * | First Cash Financial Services Inc. | 272,827 | 5,948 |
| ^ | Lexington Realty Trust | 980,287 | 5,892 |
| * | Investors Bancorp Inc. | 442,596 | 5,807 |
| | Nelnet Inc. Class A | 285,313 | 5,501 |
| ^ | Pennsylvania Real Estate Investment Trust | 446,306 | 5,454 |
| | U-Store-It Trust | 723,795 | 5,400 |
| * | Forestar Group Inc. | 294,709 | 5,293 |
| | Bank of the Ozarks Inc. | 149,127 | 5,290 |
| * | Dollar Financial Corp. | 263,543 | 5,216 |
| * | GLG Partners Inc. | 1,182,127 | 5,178 |
| | BlackRock Kelso Capital Corp. | 519,488 | 5,127 |
| * | Pico Holdings Inc. | 170,676 | 5,115 |
| | Invesco Mortgage Capital Inc. | 255,354 | 5,110 |
| | Fifth Street Finance Corp. | 457,447 | 5,046 |
| * | Hilltop Holdings Inc. | 500,985 | 5,015 |
| | American Equity Investment Life Holding Co. | 483,453 | 4,989 |
| | Safety Insurance Group Inc. | 134,704 | 4,987 |
| | Chemical Financial Corp. | 228,836 | 4,984 |
| | Trustco Bank Corp. NY | 876,660 | 4,909 |
| | Brookline Bancorp Inc. | 551,951 | 4,901 |
| | First Potomac Realty Trust | 340,602 | 4,894 |
| | Saul Centers Inc. | 120,308 | 4,888 |
| | Hersha Hospitality Trust | 1,063,576 | 4,807 |
| | Government Properties Income Trust | 182,483 | 4,657 |
| | Harleysville Group Inc. | 148,169 | 4,598 |
| | Oriental Financial Group Inc. | 354,523 | 4,488 |
| | City Holding Co. | 159,337 | 4,442 |
| | Flagstone Reinsurance Holdings SA | 410,112 | 4,437 |
| * | FBR Capital Markets Corp. | 1,323,227 | 4,406 |
| * | Enstar Group Ltd. | 66,285 | 4,404 |
| | Meadowbrook Insurance Group Inc. | 507,915 | 4,383 |
| | Sun Communities Inc. | 168,742 | 4,381 |
| | Hercules Technology Growth Capital Inc. | 475,065 | 4,375 |
| *,^ | Ambac Financial Group Inc. | 6,489,745 | 4,348 |
| | Dime Community Bancshares | 351,090 | 4,329 |
| * | AMERISAFE Inc. | 244,189 | 4,286 |
| * | Credit Acceptance Corp. | 86,979 | 4,242 |
| | Home Bancshares Inc. | 185,079 | 4,222 |
| * | MPG Office Trust Inc. | 1,434,961 | 4,204 |
| | Artio Global Investors Inc. Class A | 261,127 | 4,110 |
| | SCBT Financial Corp. | 114,984 | 4,050 |
| | American Physicians Capital Inc. | 130,677 | 4,031 |
| *,^ | Federal National Mortgage Assn. | 11,750,878 | 4,025 |
| | Sterling Bancshares Inc. | 847,916 | 3,994 |
| | First Commonwealth Financial Corp. | 757,126 | 3,975 |
19
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | MarketAxess Holdings Inc. | 282,716 | 3,899 |
| | Compass Diversified Holdings | 289,311 | 3,880 |
| | Glimcher Realty Trust | 645,557 | 3,860 |
| | Independent Bank Corp. | 155,405 | 3,835 |
| * | Beneficial Mutual Bancorp Inc. | 385,291 | 3,807 |
| | Boston Private Financial Holdings Inc. | 590,124 | 3,794 |
| | GFI Group Inc. | 672,356 | 3,752 |
| * | FelCor Lodging Trust Inc. | 746,277 | 3,724 |
| | Provident New York Bancorp | 416,151 | 3,683 |
| ^ | Life Partners Holdings Inc. | 179,106 | 3,665 |
| * | CNA Surety Corp. | 224,011 | 3,600 |
| | TICC Capital Corp. | 422,393 | 3,548 |
| | WesBanco Inc. | 208,151 | 3,507 |
| | Suffolk Bancorp | 113,170 | 3,501 |
| | National Western Life Insurance Co. Class A | 22,818 | 3,486 |
| | United Fire & Casualty Co. | 175,260 | 3,474 |
| | Community Trust Bancorp Inc. | 136,506 | 3,426 |
| * | Citizens Inc. | 514,415 | 3,426 |
| | Universal Health Realty Income Trust | 105,575 | 3,392 |
| * | Citizens Republic Bancorp Inc. | 3,926,715 | 3,338 |
| | Bank Mutual Corp. | 586,613 | 3,332 |
| * | National Financial Partners Corp. | 339,368 | 3,316 |
| | PennantPark Investment Corp. | 347,176 | 3,316 |
| | Simmons First National Corp. Class A | 125,023 | 3,283 |
| * | LaBranche & Co. Inc. | 763,608 | 3,268 |
| * | Safeguard Scientifics Inc. | 303,188 | 3,202 |
| | Walter Investment Management Corp. | 193,375 | 3,162 |
| | Retail Opportunity Investments Corp. | 321,755 | 3,105 |
| | Ameris Bancorp | 320,095 | 3,092 |
| | GAMCO Investors Inc. | 82,639 | 3,074 |
| | 1st Source Corp. | 179,662 | 3,040 |
| | Cohen & Steers Inc. | 146,319 | 3,035 |
| | Evercore Partners Inc. Class A | 129,459 | 3,023 |
| * | Emdeon Inc. Class A | 238,623 | 2,990 |
| * | Thomas Weisel Partners Group Inc. | 505,741 | 2,979 |
| | SY Bancorp Inc. | 128,868 | 2,961 |
| * | Tejon Ranch Co. | 126,075 | 2,910 |
| *,^ | Federal Home Loan Mortgage Corp. | 7,030,472 | 2,904 |
| | Sterling Bancorp | 320,957 | 2,889 |
| ^ | TowneBank | 197,874 | 2,873 |
| | ESSA Bancorp Inc. | 232,882 | 2,867 |
| | OceanFirst Financial Corp. | 232,502 | 2,806 |
| | SWS Group Inc. | 295,096 | 2,803 |
| | MCG Capital Corp. | 579,845 | 2,801 |
| | Amtrust Financial Services Inc. | 232,479 | 2,799 |
| | FBL Financial Group Inc. Class A | 132,374 | 2,780 |
| * | Gleacher & Co. Inc. | 1,075,639 | 2,743 |
| * | FPIC Insurance Group Inc. | 106,288 | 2,726 |
| | OneBeacon Insurance Group Ltd. Class A | 188,792 | 2,703 |
| | Arrow Financial Corp. | 117,022 | 2,703 |
| | Resource Capital Corp. | 475,625 | 2,702 |
| | MVC Capital Inc. | 207,981 | 2,687 |
| | Associated Estates Realty Corp. | 206,739 | 2,677 |
| | First Financial Corp. | 102,870 | 2,655 |
| | SeaBright Holdings Inc. | 279,446 | 2,649 |
| | Cedar Shopping Centers Inc. | 439,815 | 2,648 |
| | StellarOne Corp. | 206,723 | 2,640 |
| | Federal Agricultural Mortgage Corp. | 187,756 | 2,634 |
| | Agree Realty Corp. | 112,757 | 2,629 |
| | Duff & Phelps Corp. Class A | 207,884 | 2,626 |
| | Flushing Financial Corp. | 214,520 | 2,624 |
| * | TradeStation Group Inc. | 388,088 | 2,620 |
| | Cardinal Financial Corp. | 280,747 | 2,594 |
| | Republic Bancorp Inc. | 115,763 | 2,593 |
20
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Pebblebrook Hotel Trust | 137,558 | 2,593 |
| | Cypress Sharpridge Investments Inc. | 200,963 | 2,544 |
| * | eHealth Inc. | 223,092 | 2,537 |
| | Parkway Properties Inc. | 172,528 | 2,514 |
| | Trico Bancshares | 148,320 | 2,511 |
| | Great Southern Bancorp Inc. | 123,554 | 2,509 |
| | Tompkins Financial Corp. | 66,137 | 2,497 |
| | Wilshire Bancorp Inc. | 284,782 | 2,492 |
| | Westfield Financial Inc. | 298,738 | 2,488 |
| | Maiden Holdings Ltd. | 378,132 | 2,484 |
| | Education Realty Trust Inc. | 409,362 | 2,468 |
| | State Auto Financial Corp. | 156,662 | 2,430 |
| *,^ | Hanmi Financial Corp. | 1,924,352 | 2,425 |
| | CapLease Inc. | 523,635 | 2,414 |
| | Renasant Corp. | 168,143 | 2,413 |
| | Mission West Properties Inc. | 347,064 | 2,367 |
| | Washington Trust Bancorp Inc. | 138,177 | 2,355 |
| | Sandy Spring Bancorp Inc. | 163,006 | 2,284 |
| | Urstadt Biddle Properties Inc. Class A | 140,790 | 2,271 |
| * | First Marblehead Corp. | 966,074 | 2,270 |
| | Camden National Corp. | 81,334 | 2,234 |
| | Consolidated-Tomoka Land Co. | 78,324 | 2,232 |
| | Danvers Bancorp Inc. | 153,791 | 2,222 |
| | Cogdell Spencer Inc. | 328,453 | 2,220 |
| * | Virginia Commerce Bancorp Inc. | 352,380 | 2,202 |
| | WSFS Financial Corp. | 61,278 | 2,202 |
| * | Phoenix Cos. Inc. | 1,039,252 | 2,193 |
| | Northfield Bancorp Inc. | 167,004 | 2,168 |
| | Southside Bancshares Inc. | 109,557 | 2,152 |
| * | Bancorp Inc. | 274,159 | 2,147 |
| * | First Industrial Realty Trust Inc. | 444,831 | 2,144 |
| | Lakeland Financial Corp. | 107,226 | 2,142 |
| * | Cardtronics Inc. | 165,140 | 2,140 |
| | One Liberty Properties Inc. | 143,333 | 2,137 |
| | Rewards Network Inc. | 155,382 | 2,124 |
| | First Merchants Corp. | 246,420 | 2,090 |
| | Abington Bancorp Inc. | 238,645 | 2,081 |
| * | Encore Capital Group Inc. | 100,121 | 2,063 |
| * | Eagle Bancorp Inc. | 175,036 | 2,062 |
| * | United America Indemnity Ltd. Class A | 279,508 | 2,057 |
| | Union First Market Bankshares Corp. | 167,109 | 2,049 |
| * | Tree.com Inc. | 318,615 | 2,014 |
| | First Bancorp | 135,663 | 1,966 |
| | Calamos Asset Management Inc. Class A | 210,888 | 1,957 |
| *,^ | Taylor Capital Group Inc. | 150,939 | 1,953 |
| | Capital Southwest Corp. | 22,189 | 1,951 |
| | NYMAGIC Inc. | 100,818 | 1,945 |
| * | Metro Bancorp Inc. | 156,574 | 1,932 |
| | Bancfirst Corp. | 52,620 | 1,920 |
| | First of Long Island Corp. | 74,603 | 1,918 |
| | Lakeland Bancorp Inc. | 223,039 | 1,900 |
| | Gladstone Capital Corp. | 173,509 | 1,876 |
| * | International Assets Holding Corp. | 117,096 | 1,874 |
| *,^ | Newcastle Investment Corp. | 698,214 | 1,871 |
| * | CBOE Holdings Inc. | 57,437 | 1,870 |
| | Donegal Group Inc. Class A | 152,087 | 1,869 |
| | Univest Corp. of Pennsylvania | 107,713 | 1,866 |
| | Berkshire Hills Bancorp Inc. | 93,126 | 1,814 |
| | National Interstate Corp. | 90,526 | 1,794 |
| | National Bankshares Inc. | 73,477 | 1,780 |
| *,^ | Seacoast Banking Corp. of Florida | 1,338,114 | 1,780 |
| | Baldwin & Lyons Inc. | 84,250 | 1,770 |
| * | West Bancorporation Inc. | 256,114 | 1,744 |
| | Kite Realty Group Trust | 417,026 | 1,743 |
21
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Student Loan Corp. | 71,114 | 1,712 |
| | Presidential Life Corp. | 188,005 | 1,711 |
| | NorthStar Realty Finance Corp. | 637,971 | 1,703 |
| | Peoples Bancorp Inc. | 117,356 | 1,702 |
| | Southwest Bancorp Inc. | 127,097 | 1,689 |
| * | Harris & Harris Group Inc. | 405,740 | 1,659 |
| | Medallion Financial Corp. | 249,301 | 1,645 |
| | Diamond Hill Investment Group Inc. | 28,663 | 1,625 |
| | First Mercury Financial Corp. | 153,481 | 1,624 |
| ^ | Heartland Financial USA Inc. | 93,060 | 1,608 |
| *,^ | RAIT Financial Trust | 855,957 | 1,601 |
| | Monmouth Real Estate Investment Corp. Class A | 212,825 | 1,573 |
| * | Penson Worldwide Inc. | 278,310 | 1,570 |
| * | Pennymac Mortgage Investment Trust | 97,030 | 1,543 |
| | Westwood Holdings Group Inc. | 43,734 | 1,537 |
| | EMC Insurance Group Inc. | 70,023 | 1,536 |
| * | Arbor Realty Trust Inc. | 296,640 | 1,534 |
| | American Physicians Service Group Inc. | 61,894 | 1,513 |
| | First Community Bancshares Inc. | 102,975 | 1,513 |
| | Gladstone Commercial Corp. | 92,445 | 1,511 |
| | German American Bancorp Inc. | 97,970 | 1,499 |
| * | PMA Capital Corp. Class A | 226,266 | 1,482 |
| | Oppenheimer Holdings Inc. Class A | 61,848 | 1,481 |
| ^ | Capital City Bank Group Inc. | 119,314 | 1,477 |
| *,^ | BankAtlantic Bancorp Inc. Class A | 1,038,653 | 1,454 |
| | BankFinancial Corp. | 174,310 | 1,449 |
| | MainSource Financial Group Inc. | 201,401 | 1,444 |
| | First Busey Corp. | 314,614 | 1,425 |
| | Advance America Cash Advance Centers Inc. | 341,150 | 1,409 |
| | First Financial Holdings Inc. | 121,784 | 1,394 |
| * | Meridian Interstate Bancorp Inc. | 127,849 | 1,394 |
| | Colony Financial Inc. | 82,425 | 1,393 |
| | Ames National Corp. | 71,088 | 1,389 |
| * | Virtus Investment Partners Inc. | 72,353 | 1,354 |
| | Care Investment Trust Inc. | 153,967 | 1,336 |
| | Merchants Bancshares Inc. | 60,104 | 1,336 |
| | Sanders Morris Harris Group Inc. | 238,685 | 1,325 |
| *,^ | Ladenburg Thalmann Financial Services Inc. | 1,055,042 | 1,319 |
| | Centerstate Banks Inc. | 129,783 | 1,310 |
| | Territorial Bancorp Inc. | 68,892 | 1,306 |
| ^ | Kohlberg Capital Corp. | 257,191 | 1,289 |
| *,^ | Green Bankshares Inc. | 98,889 | 1,263 |
| | LSB Corp. | 96,899 | 1,262 |
| * | Center Financial Corp. | 244,754 | 1,260 |
| | Bancorp Rhode Island Inc. | 47,973 | 1,257 |
| | Stewart Information Services Corp. | 138,648 | 1,251 |
| | Bryn Mawr Bank Corp. | 72,748 | 1,221 |
| | First Bancorp Inc. | 91,368 | 1,200 |
| ^ | Asta Funding Inc. | 121,304 | 1,197 |
| * | Primus Guaranty Ltd. | 322,898 | 1,191 |
| | NGP Capital Resources Co. | 165,938 | 1,190 |
| | ViewPoint Financial Group | 85,622 | 1,186 |
| | United Financial Bancorp Inc. | 86,756 | 1,184 |
| | American National Bankshares Inc. | 54,777 | 1,172 |
| | Penns Woods Bancorp Inc. | 38,494 | 1,171 |
| ^ | West Coast Bancorp | 453,419 | 1,156 |
| * | NewStar Financial Inc. | 181,654 | 1,155 |
| | Financial Institutions Inc. | 64,801 | 1,151 |
| *,^ | Sun Bancorp Inc. | 300,283 | 1,129 |
| * | Marlin Business Services Corp. | 90,712 | 1,097 |
| * | Guaranty Bancorp | 1,017,448 | 1,078 |
| | US Global Investors Inc. Class A | 193,533 | 1,074 |
| | Center Bancorp Inc. | 140,000 | 1,061 |
| | Winthrop Realty Trust | 81,230 | 1,041 |
22
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Thomas Properties Group Inc. | 313,390 | 1,037 |
| | First South Bancorp Inc. | 96,406 | 1,023 |
| | CoBiz Financial Inc. | 152,851 | 1,007 |
| | Wainwright Bank & Trust Co. | 52,967 | 988 |
| | ESB Financial Corp. | 75,238 | 982 |
| ^ | Smithtown Bancorp Inc. | 326,677 | 973 |
| | Home Federal Bancorp Inc. | 75,826 | 958 |
| | Gladstone Investment Corp. | 160,753 | 937 |
| * | Heritage Financial Corp. | 62,046 | 929 |
| | BRT Realty Trust | 155,364 | 917 |
| | Eastern Insurance Holdings Inc. | 86,093 | 914 |
| | Meta Financial Group Inc. | 30,830 | 903 |
| * | Intervest Bancshares Corp. Class A | 165,107 | 900 |
| | Kansas City Life Insurance Co. | 29,653 | 877 |
| ^ | Banner Corp. | 430,736 | 853 |
| | Washington Banking Co. | 66,062 | 845 |
| | TF Financial Corp. | 38,622 | 842 |
| * | American Safety Insurance Holdings Ltd. | 53,038 | 834 |
| | UMH Properties Inc. | 82,202 | 828 |
| *,^ | Pacific Mercantile Bancorp | 236,891 | 824 |
| | Peapack Gladstone Financial Corp. | 69,658 | 815 |
| | Rome Bancorp Inc. | 87,903 | 801 |
| | Shore Bancshares Inc. | 66,860 | 796 |
| *,^ | Pacific Capital Bancorp NA | 1,100,894 | 793 |
| ^ | CompuCredit Holdings Corp. | 200,013 | 792 |
| | Arlington Asset Investment Corp. Class A | 41,870 | 788 |
| | State Bancorp Inc. | 79,925 | 759 |
| * | Cowen Group Inc. Class A | 184,314 | 756 |
| ^ | BancTrust Financial Group Inc. | 201,005 | 744 |
| | K-Fed Bancorp | 81,436 | 739 |
| * | Flagstar Bancorp Inc. | 229,550 | 721 |
| | PMC Commercial Trust | 87,483 | 716 |
| *,^ | Sterling Financial Corp. | 1,238,606 | 681 |
| | Enterprise Financial Services Corp. | 70,392 | 679 |
| *,^ | First BanCorp | 1,274,840 | 676 |
| * | First Keystone Financial Inc. | 50,544 | 675 |
| | Bridge Bancorp Inc. | 27,685 | 672 |
| | Sierra Bancorp | 56,632 | 651 |
| | Norwood Financial Corp. | 25,774 | 651 |
| * | Hallmark Financial Services | 65,212 | 649 |
| * | Crawford & Co. Class B | 201,230 | 636 |
| | Alliance Financial Corp. | 22,845 | 635 |
| * | First Acceptance Corp. | 367,252 | 628 |
| | Apollo Commercial Real Estate Finance Inc. | 38,020 | 626 |
| | Eastern Virginia Bankshares Inc. | 95,870 | 624 |
| | Mercer Insurance Group Inc. | 36,852 | 624 |
| | First Financial Northwest Inc. | 157,223 | 623 |
| | Indiana Community Bancorp | 50,894 | 616 |
| | Citizens & Northern Corp. | 56,860 | 608 |
| | Pacific Continental Corp. | 63,702 | 603 |
| | Century Bancorp Inc. Class A | 26,909 | 593 |
| * | 1st United Bancorp Inc. | 80,020 | 589 |
| | Alliance Bancorp Inc. of Pennsylvania | 69,673 | 585 |
| | Mercantile Bank Corp. | 106,988 | 575 |
| * | Stratus Properties Inc. | 57,891 | 574 |
| | Horizon Bancorp | 26,892 | 574 |
| * | Waterstone Financial Inc. | 168,185 | 574 |
| | Main Street Capital Corp. | 38,199 | 570 |
| | Dynex Capital Inc. | 60,748 | 561 |
| *,^ | Central Pacific Financial Corp. | 366,814 | 550 |
| *,^ | Cape Bancorp Inc. | 76,207 | 545 |
| * | Cohen & Co. Inc. | 108,892 | 544 |
| * | Avatar Holdings Inc. | 28,340 | 544 |
| | Bank of Marin Bancorp | 16,895 | 539 |
23
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | CFS Bancorp Inc. | 110,858 | 539 |
| * | NewBridge Bancorp | 150,777 | 529 |
| * | Asset Acceptance Capital Corp. | 127,683 | 529 |
| | Urstadt Biddle Properties Inc. | 37,652 | 526 |
| | Cheviot Financial Corp. | 62,491 | 524 |
| | Resource America Inc. Class A | 131,671 | 507 |
| | Citizens South Banking Corp. | 87,282 | 495 |
| | CreXus Investment Corp. | 39,221 | 488 |
| | Federal Agricultural Mortgage Corp. Class A | 38,986 | 466 |
| * | Grubb & Ellis Co. | 467,551 | 458 |
| * | AmeriServ Financial Inc. | 276,057 | 444 |
| | Roma Financial Corp. | 40,836 | 443 |
| | Middleburg Financial Corp. | 31,501 | 438 |
| | ECB Bancorp Inc. | 37,395 | 436 |
| ^ | First United Corp. | 111,259 | 434 |
| ^ | United Security Bancshares | 47,723 | 432 |
| * | Republic First Bancorp Inc. | 220,978 | 431 |
| | South Financial Group Inc. | 1,560,823 | 425 |
| | Orrstown Financial Services Inc. | 18,347 | 406 |
| | First Place Financial Corp. | 135,084 | 405 |
| | Epoch Holding Corp. | 32,031 | 393 |
| | Codorus Valley Bancorp Inc. | 53,267 | 389 |
| | LNB Bancorp Inc. | 75,880 | 382 |
| | Yadkin Valley Financial Corp. | 111,161 | 376 |
| | Provident Financial Holdings Inc. | 74,985 | 360 |
| | Investors Title Co. | 11,424 | 357 |
| | Commercial National Financial Corp. | 21,501 | 356 |
| * | Heritage Commerce Corp. | 98,860 | 351 |
| | Pulaski Financial Corp. | 54,368 | 351 |
| | Hawthorn Bancshares Inc. | 28,970 | 348 |
| | Triangle Capital Corp. | 23,954 | 341 |
| ^ | Old Second Bancorp Inc. | 166,567 | 333 |
| * | United Community Financial Corp. | 198,347 | 331 |
| * | Maui Land & Pineapple Co. Inc. | 88,665 | 331 |
| ^ | Ohio Valley Banc Corp. | 20,030 | 330 |
| | Hingham Institution for Savings | 8,900 | 329 |
| ^ | First Defiance Financial Corp. | 36,223 | 324 |
| | Parkvale Financial Corp. | 37,310 | 313 |
| * | Pamrapo Bancorp Inc. | 41,017 | 300 |
| | Bar Harbor Bankshares | 11,975 | 299 |
| | Comm Bancorp Inc. | 17,023 | 298 |
| | Firstbank Corp. | 70,413 | 298 |
| | JMP Group Inc. | 47,976 | 297 |
| *,^ | Cascade Bancorp | 615,629 | 295 |
| | HopFed Bancorp Inc. | 31,963 | 289 |
| | MutualFirst Financial Inc. | 42,957 | 288 |
| | Ameriana Bancorp | 68,107 | 285 |
| * | Superior Bancorp | 146,938 | 284 |
| *,^ | Macatawa Bank Corp. | 232,734 | 279 |
| | Universal Insurance Holdings Inc. | 65,057 | 272 |
| * | Gramercy Capital Corp. | 215,446 | 271 |
| * | Unity Bancorp Inc. | 48,711 | 261 |
| | Independence Holding Co. | 42,503 | 254 |
| | United Western Bancorp Inc. | 315,602 | 252 |
| *,^ | Preferred Bank | 119,772 | 250 |
| * | HFF Inc. Class A | 35,108 | 248 |
| | VIST Financial Corp. | 31,839 | 245 |
| | Capital Bank Corp. | 75,053 | 244 |
| | Rockville Financial Inc. | 20,333 | 242 |
| | First Pactrust Bancorp Inc. | 29,658 | 236 |
| | MBT Financial Corp. | 103,204 | 234 |
| *,^ | Premierwest Bancorp | 582,314 | 233 |
| * | Encore Bancshares Inc. | 22,901 | 226 |
| * | HMN Financial Inc. | 49,017 | 224 |
24
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| ^ | Colony Bankcorp Inc. | 32,134 | 211 |
| *,^ | Capital Trust Inc. Class A | 127,937 | 211 |
| | Jefferson Bancshares Inc. | 53,134 | 211 |
| * | American Independence Corp. | 41,159 | 210 |
| * | Consumer Portfolio Services Inc. | 150,551 | 208 |
| * | Camco Financial Corp. | 81,410 | 204 |
| | Porter Bancorp Inc. | 16,054 | 203 |
| ^ | Old Point Financial Corp. | 15,377 | 200 |
| | Farmers Capital Bank Corp. | 39,599 | 200 |
| * | Royal Bancshares of Pennsylvania Inc. | 64,132 | 192 |
| | First M&F Corp. | 48,652 | 192 |
| | QC Holdings Inc. | 50,037 | 184 |
| | Wayne Savings Bancshares Inc. | 24,070 | 183 |
| ^ | Integra Bank Corp. | 241,277 | 183 |
| | WSB Holdings Inc. | 54,400 | 182 |
| * | Home Bancorp Inc. | 13,905 | 180 |
| | Tower Bancorp Inc. | 8,113 | 178 |
| *,^ | Capitol Bancorp Ltd. | 138,217 | 176 |
| * | Southern Community Financial Corp. | 76,881 | 172 |
| | C&F Financial Corp. | 9,833 | 169 |
| * | North Valley Bancorp | 73,241 | 161 |
| * | Bank of Granite Corp. | 135,483 | 156 |
| | CNB Financial Corp. | 14,117 | 155 |
| * | BCSB Bancorp Inc. | 14,710 | 146 |
| | Peoples Financial Corp. | 13,488 | 143 |
| *,^ | United Security Bancshares | 38,669 | 141 |
| | Legacy Bancorp Inc. | 14,990 | 132 |
| *,^ | Hanmi Financial Corp. Rights Exp. 7/12/2010 | 1,924,352 | 115 |
| | Citizens Holding Co. | 6,279 | 108 |
| | Atlantic Coast Federal Corp. | 35,884 | 107 |
| * | Cadence Financial Corp. | 91,911 | 106 |
| | Independent Bank Corp. | 275,184 | 104 |
| * | Vestin Realty Mortgage II Inc. | 74,163 | 101 |
| *,^ | Transcontinental Realty Investors Inc. | 10,500 | 97 |
| * | Crawford & Co. Class A | 39,287 | 96 |
| | Midsouth Bancorp Inc. | 7,232 | 92 |
| | Northeast Bancorp | 7,100 | 91 |
| *,^ | First State Bancorporation | 288,977 | 90 |
| * | ZipRealty Inc. | 33,945 | 89 |
| | First Security Group Inc. | 44,571 | 86 |
| | First Federal Bancshares of Arkansas Inc. | 31,337 | 81 |
| *,^ | Anchor Bancorp Wisconsin Inc. | 178,717 | 80 |
| *,^ | Hampton Roads Bankshares Inc. | 91,000 | 68 |
| ^ | FNB United Corp. | 71,605 | 57 |
| * | Fox Chase Bancorp Inc. | 5,942 | 57 |
| * | Community Capital Corp. | 12,340 | 53 |
| *,^ | TIB Financial Corp. | 103,293 | 49 |
| | Community Bankers Trust Corp. | 19,600 | 44 |
| | HF Financial Corp. | 4,000 | 39 |
| | California First National Bancorp | 2,636 | 33 |
| | Prudential Bancorp Inc. of Pennsylvania | 5,437 | 32 |
| * | Nicholas Financial Inc. | 3,859 | 32 |
| | United Bancshares Inc. | 2,838 | 28 |
| | Auburn National Bancorporation Inc. | 1,490 | 28 |
| * | Valley National Bancorp Warrants | 6,511 | 27 |
| * | Northern States Financial Corp. | 11,261 | 26 |
| | National Security Group Inc. | 1,759 | 22 |
| | New Hampshire Thrift Bancshares Inc. | 1,800 | 19 |
| | Oneida Financial Corp. | 2,500 | 18 |
| * | Cascade Financial Corp. | 37,178 | 18 |
| * | Firstcity Financial Corp. | 2,602 | 17 |
| *,^ | PAB Bankshares Inc. | 11,599 | 11 |
| ^ | Wilber Corp. | 1,774 | 11 |
| * | Summit Financial Group Inc. | 4,051 | 10 |
25
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Landmark Bancorp Inc. | 479 | 8 |
| | SI Financial Group Inc. | 1,122 | 7 |
| * | Teton Advisors Inc. Class A | 672 | 6 |
| * | Central Jersey Bancorp | 600 | 4 |
| * | GAINSCO Inc. | 222 | 2 |
| | | | 19,799,729 |
| Health Care (12.3%) | | |
| | Johnson & Johnson | 29,116,988 | 1,719,649 |
| | Pfizer Inc. | 85,167,104 | 1,214,483 |
| | Merck & Co. Inc. | 32,234,093 | 1,127,226 |
| | Abbott Laboratories | 16,385,177 | 766,499 |
| * | Amgen Inc. | 10,500,357 | 552,319 |
| | Bristol-Myers Squibb Co. | 18,089,452 | 451,151 |
| | Medtronic Inc. | 11,657,546 | 422,819 |
| | Eli Lilly & Co. | 10,952,391 | 366,905 |
| | UnitedHealth Group Inc. | 12,215,597 | 346,923 |
| * | Gilead Sciences Inc. | 9,496,987 | 325,557 |
| * | Medco Health Solutions Inc. | 4,897,268 | 269,742 |
| * | Express Scripts Inc. | 5,520,032 | 259,552 |
| | Baxter International Inc. | 6,360,025 | 258,471 |
| * | Celgene Corp. | 4,851,608 | 246,559 |
| * | WellPoint Inc. | 4,684,860 | 229,230 |
| | Covidien PLC | 5,278,860 | 212,105 |
| * | Thermo Fisher Scientific Inc. | 4,321,112 | 211,951 |
| | McKesson Corp. | 2,842,961 | 190,933 |
| | Allergan Inc. | 3,208,211 | 186,910 |
| | Becton Dickinson and Co. | 2,487,348 | 168,194 |
| | Stryker Corp. | 3,150,558 | 157,717 |
| * | Genzyme Corp. | 2,800,692 | 142,191 |
| * | Biogen Idec Inc. | 2,845,139 | 135,002 |
| * | Intuitive Surgical Inc. | 406,352 | 128,253 |
| | Cardinal Health Inc. | 3,814,515 | 128,206 |
| * | St. Jude Medical Inc. | 3,527,419 | 127,305 |
| | Aetna Inc. | 4,548,400 | 119,987 |
| * | Zimmer Holdings Inc. | 2,140,132 | 115,674 |
| * | Hospira Inc. | 1,729,203 | 99,343 |
| | AmerisourceBergen Corp. Class A | 2,980,098 | 94,618 |
| * | Boston Scientific Corp. | 15,949,627 | 92,508 |
| * | Life Technologies Corp. | 1,908,278 | 90,166 |
| | CIGNA Corp. | 2,901,844 | 90,131 |
| * | Forest Laboratories Inc. | 3,190,956 | 87,528 |
| * | Laboratory Corp. of America Holdings | 1,104,909 | 83,255 |
| * | Humana Inc. | 1,796,413 | 82,042 |
| | Quest Diagnostics Inc. | 1,604,995 | 79,881 |
| | CR Bard Inc. | 1,009,548 | 78,270 |
| * | Vertex Pharmaceuticals Inc. | 2,116,792 | 69,642 |
| * | Varian Medical Systems Inc. | 1,307,933 | 68,379 |
| * | DaVita Inc. | 1,089,104 | 68,004 |
| * | Edwards Lifesciences Corp. | 1,193,838 | 66,879 |
| * | Waters Corp. | 987,834 | 63,913 |
| * | Millipore Corp. | 591,290 | 63,061 |
| * | Cerner Corp. | 734,627 | 55,751 |
| * | Illumina Inc. | 1,269,619 | 55,267 |
| * | Mylan Inc. | 3,236,455 | 55,149 |
| * | Henry Schein Inc. | 957,044 | 52,542 |
| | Perrigo Co. | 866,353 | 51,175 |
| * | ResMed Inc. | 793,125 | 48,230 |
| * | Alexion Pharmaceuticals Inc. | 940,704 | 48,155 |
| * | Dendreon Corp. | 1,416,250 | 45,787 |
| * | CareFusion Corp. | 1,988,233 | 45,133 |
| * | Watson Pharmaceuticals Inc. | 1,109,650 | 45,018 |
| * | Cephalon Inc. | 790,776 | 44,877 |
| * | Human Genome Sciences Inc. | 1,977,056 | 44,800 |
| | Beckman Coulter Inc. | 737,397 | 44,458 |
26
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | DENTSPLY International Inc. | 1,475,471 | 44,131 |
| * | Valeant Pharmaceuticals International | 824,612 | 43,119 |
| * | Mettler-Toledo International Inc. | 356,784 | 39,828 |
| * | Hologic Inc. | 2,731,322 | 38,047 |
| *,^ | IDEXX Laboratories Inc. | 613,869 | 37,385 |
| | Universal Health Services Inc. Class B | 947,417 | 36,144 |
| * | Covance Inc. | 675,856 | 34,685 |
| * | Lincare Holdings Inc. | 1,042,868 | 33,904 |
| * | Community Health Systems Inc. | 982,658 | 33,224 |
| | Pharmaceutical Product Development Inc. | 1,190,794 | 30,258 |
| | Omnicare Inc. | 1,270,717 | 30,116 |
| * | Amylin Pharmaceuticals Inc. | 1,509,200 | 28,373 |
| | Patterson Cos. Inc. | 971,149 | 27,707 |
| * | Mednax Inc. | 497,719 | 27,678 |
| * | Coventry Health Care Inc. | 1,564,464 | 27,660 |
| * | Warner Chilcott PLC Class A | 1,197,782 | 27,369 |
| * | Endo Pharmaceuticals Holdings Inc. | 1,238,021 | 27,014 |
| * | United Therapeutics Corp. | 547,797 | 26,738 |
| * | Health Net Inc. | 1,058,949 | 25,807 |
| | PerkinElmer Inc. | 1,236,791 | 25,564 |
| * | Kinetic Concepts Inc. | 679,239 | 24,799 |
| * | Thoratec Corp. | 573,408 | 24,502 |
| * | Charles River Laboratories International Inc. | 695,475 | 23,792 |
| * | Gen-Probe Inc. | 523,272 | 23,767 |
| * | Salix Pharmaceuticals Ltd. | 588,023 | 22,951 |
| | Teleflex Inc. | 420,008 | 22,798 |
| * | Inverness Medical Innovations Inc. | 837,668 | 22,332 |
| * | Tenet Healthcare Corp. | 5,081,358 | 22,053 |
| | Techne Corp. | 374,427 | 21,511 |
| * | VCA Antech Inc. | 859,044 | 21,270 |
| * | Health Management Associates Inc. Class A | 2,649,581 | 20,587 |
| * | BioMarin Pharmaceutical Inc. | 1,071,067 | 20,307 |
| | Hill-Rom Holdings Inc. | 664,060 | 20,207 |
| * | King Pharmaceuticals Inc. | 2,623,327 | 19,911 |
| | STERIS Corp. | 624,730 | 19,417 |
| | Cooper Cos. Inc. | 484,935 | 19,296 |
| | Owens & Minor Inc. | 664,867 | 18,869 |
| * | Psychiatric Solutions Inc. | 566,187 | 18,526 |
| * | Healthsouth Corp. | 985,669 | 18,442 |
| * | LifePoint Hospitals Inc. | 578,999 | 18,181 |
| * | AMERIGROUP Corp. | 540,895 | 17,568 |
| * | American Medical Systems Holdings Inc. | 789,147 | 17,456 |
| * | Bio-Rad Laboratories Inc. Class A | 201,424 | 17,421 |
| * | ev3 Inc. | 776,627 | 17,404 |
| * | HMS Holdings Corp. | 286,763 | 15,548 |
| * | Emergency Medical Services Corp. Class A | 314,110 | 15,401 |
| * | Myriad Genetics Inc. | 1,018,036 | 15,220 |
| * | Sirona Dental Systems Inc. | 436,539 | 15,209 |
| * | NuVasive Inc. | 410,543 | 14,558 |
| * | Onyx Pharmaceuticals Inc. | 661,696 | 14,286 |
| * | Haemonetics Corp. | 265,952 | 14,234 |
| * | Immucor Inc. | 740,799 | 14,112 |
| * | Regeneron Pharmaceuticals Inc. | 630,101 | 14,064 |
| * | Dionex Corp. | 187,127 | 13,933 |
| * | Incyte Corp. Ltd. | 1,253,330 | 13,874 |
| | Medicis Pharmaceutical Corp. Class A | 630,993 | 13,806 |
| * | Catalyst Health Solutions Inc. | 398,506 | 13,748 |
| * | Talecris Biotherapeutics Holdings Corp. | 647,801 | 13,669 |
| * | Parexel International Corp. | 616,108 | 13,357 |
| * | Magellan Health Services Inc. | 366,467 | 13,310 |
| * | Brookdale Senior Living Inc. | 883,521 | 13,253 |
| *,^ | Amedisys Inc. | 300,626 | 13,219 |
| * | PSS World Medical Inc. | 621,922 | 13,154 |
| | Chemed Corp. | 240,378 | 13,134 |
27
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Masimo Corp. | 551,045 | 13,120 |
| | West Pharmaceutical Services Inc. | 349,366 | 12,748 |
| * | Cubist Pharmaceuticals Inc. | 615,492 | 12,679 |
| * | Acorda Therapeutics Inc. | 402,943 | 12,536 |
| * | Alkermes Inc. | 998,572 | 12,432 |
| | Quality Systems Inc. | 213,604 | 12,387 |
| * | Nektar Therapeutics | 985,442 | 11,924 |
| * | Auxilium Pharmaceuticals Inc. | 502,643 | 11,812 |
| * | Centene Corp. | 545,487 | 11,728 |
| * | Allscripts-Misys Healthcare Solutions Inc. | 697,949 | 11,237 |
| * | Eclipsys Corp. | 607,447 | 10,837 |
| * | Seattle Genetics Inc. | 903,681 | 10,835 |
| * | Impax Laboratories Inc. | 562,871 | 10,728 |
| * | WellCare Health Plans Inc. | 448,169 | 10,640 |
| * | MedAssets Inc. | 449,515 | 10,375 |
| * | Volcano Corp. | 463,579 | 10,115 |
| * | Cepheid Inc. | 627,841 | 10,058 |
| * | Align Technology Inc. | 665,471 | 9,896 |
| * | Par Pharmaceutical Cos. Inc. | 372,249 | 9,664 |
| * | Odyssey HealthCare Inc. | 357,015 | 9,539 |
| * | Isis Pharmaceuticals Inc. | 990,958 | 9,483 |
| * | Viropharma Inc. | 822,179 | 9,217 |
| * | Pharmasset Inc. | 336,513 | 9,200 |
| * | Theravance Inc. | 725,750 | 9,123 |
| * | Savient Pharmaceuticals Inc. | 707,160 | 8,910 |
| * | inVentiv Health Inc. | 344,395 | 8,816 |
| * | Bruker Corp. | 689,769 | 8,388 |
| * | Martek Biosciences Corp. | 352,939 | 8,368 |
| * | Integra LifeSciences Holdings Corp. | 223,274 | 8,261 |
| *,^ | Vivus Inc. | 844,301 | 8,105 |
| *,^ | athenahealth Inc. | 308,101 | 8,051 |
| * | Gentiva Health Services Inc. | 296,432 | 8,007 |
| * | AMAG Pharmaceuticals Inc. | 226,669 | 7,786 |
| * | Healthspring Inc. | 495,245 | 7,681 |
| * | Cyberonics Inc. | 318,871 | 7,551 |
| | Computer Programs & Systems Inc. | 184,316 | 7,542 |
| *,^ | Geron Corp. | 1,429,873 | 7,178 |
| *,^ | MannKind Corp. | 1,108,248 | 7,082 |
| * | Phase Forward Inc. | 424,174 | 7,075 |
| | Meridian Bioscience Inc. | 414,776 | 7,051 |
| | Invacare Corp. | 338,277 | 7,016 |
| * | Wright Medical Group Inc. | 409,065 | 6,795 |
| * | Halozyme Therapeutics Inc. | 961,891 | 6,772 |
| | PDL BioPharma Inc. | 1,182,850 | 6,648 |
| * | Momenta Pharmaceuticals Inc. | 541,381 | 6,637 |
| * | Universal American Corp. | 446,516 | 6,430 |
| * | DexCom Inc. | 546,997 | 6,323 |
| * | Luminex Corp. | 388,382 | 6,300 |
| | Landauer Inc. | 100,329 | 6,108 |
| * | NxStage Medical Inc. | 411,450 | 6,106 |
| * | Questcor Pharmaceuticals Inc. | 593,040 | 6,055 |
| * | Immunogen Inc. | 640,672 | 5,939 |
| * | Globe Specialty Metals Inc. | 571,827 | 5,907 |
| * | Amsurg Corp. Class A | 330,721 | 5,893 |
| * | Targacept Inc. | 304,531 | 5,887 |
| * | Celera Corp. | 881,637 | 5,775 |
| * | Conceptus Inc. | 368,623 | 5,743 |
| *,^ | Emeritus Corp. | 343,043 | 5,595 |
| * | Ariad Pharmaceuticals Inc. | 1,972,348 | 5,562 |
| * | Natus Medical Inc. | 340,725 | 5,550 |
| | Analogic Corp. | 120,034 | 5,463 |
| * | Bio-Reference Labs Inc. | 239,174 | 5,302 |
| * | Abraxis Bioscience Inc. | 71,339 | 5,293 |
| *,^ | Enzon Pharmaceuticals Inc. | 496,581 | 5,289 |
28
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Corvel Corp. | 154,186 | 5,210 |
| *,^ | Protalix BioTherapeutics Inc. | 850,257 | 5,195 |
| * | Hi-Tech Pharmacal Co. Inc. | 224,260 | 5,138 |
| * | Conmed Corp. | 275,323 | 5,129 |
| * | Affymetrix Inc. | 866,130 | 5,110 |
| * | Alnylam Pharmaceuticals Inc. | 337,730 | 5,073 |
| * | Zoll Medical Corp. | 186,402 | 5,051 |
| *,^ | Medivation Inc. | 562,990 | 4,977 |
| * | Merit Medical Systems Inc. | 303,979 | 4,885 |
| * | RehabCare Group Inc. | 217,496 | 4,737 |
| * | MWI Veterinary Supply Inc. | 93,957 | 4,722 |
| * | PharMerica Corp. | 320,892 | 4,704 |
| * | Allos Therapeutics Inc. | 767,310 | 4,704 |
| * | Insulet Corp. | 311,396 | 4,686 |
| * | Hanger Orthopedic Group Inc. | 259,346 | 4,658 |
| * | InterMune Inc. | 496,695 | 4,644 |
| * | Greatbatch Inc. | 207,830 | 4,637 |
| * | Neogen Corp. | 174,970 | 4,558 |
| * | Healthways Inc. | 380,525 | 4,536 |
| * | Abaxis Inc. | 209,701 | 4,494 |
| * | Orthofix International NV | 140,196 | 4,493 |
| * | Nabi Biopharmaceuticals | 812,211 | 4,418 |
| * | Kindred Healthcare Inc. | 328,932 | 4,223 |
| * | Medicines Co. | 551,826 | 4,199 |
| * | eResearchTechnology Inc. | 531,351 | 4,187 |
| * | LHC Group Inc. | 148,440 | 4,119 |
| * | ICU Medical Inc. | 126,026 | 4,054 |
| * | Quidel Corp. | 318,904 | 4,047 |
| * | Exelixis Inc. | 1,163,553 | 4,038 |
| * | Molina Healthcare Inc. | 136,515 | 3,932 |
| * | Sun Healthcare Group Inc. | 484,860 | 3,918 |
| *,^ | Sequenom Inc. | 649,645 | 3,839 |
| | Cantel Medical Corp. | 229,532 | 3,833 |
| * | Somanetics Corp. | 151,974 | 3,792 |
| * | Accuray Inc. | 533,738 | 3,539 |
| * | Assisted Living Concepts Inc. Class A | 118,516 | 3,507 |
| * | Air Methods Corp. | 117,834 | 3,506 |
| * | Emergent Biosolutions Inc. | 212,953 | 3,480 |
| * | Rigel Pharmaceuticals Inc. | 476,787 | 3,433 |
| *,^ | Novavax Inc. | 1,556,994 | 3,379 |
| * | Neurocrine Biosciences Inc. | 593,621 | 3,324 |
| * | Lexicon Pharmaceuticals Inc. | 2,554,012 | 3,269 |
| * | Omnicell Inc. | 275,081 | 3,216 |
| * | Pain Therapeutics Inc. | 577,536 | 3,211 |
| * | IPC The Hospitalist Co. Inc. | 125,926 | 3,161 |
| * | NPS Pharmaceuticals Inc. | 489,248 | 3,151 |
| * | Micromet Inc. | 494,871 | 3,088 |
| * | Endologix Inc. | 679,576 | 3,078 |
| | America Service Group Inc. | 174,607 | 3,003 |
| * | Obagi Medical Products Inc. | 252,018 | 2,979 |
| * | SonoSite Inc. | 108,736 | 2,948 |
| * | Ardea Biosciences Inc. | 142,380 | 2,927 |
| * | Select Medical Holdings Corp. | 423,828 | 2,874 |
| * | Ligand Pharmaceuticals Inc. Class B | 1,961,571 | 2,864 |
| * | Symmetry Medical Inc. | 271,275 | 2,859 |
| *,^ | Immunomedics Inc. | 914,297 | 2,825 |
| *,^ | Arena Pharmaceuticals Inc. | 915,705 | 2,811 |
| * | Chindex International Inc. | 220,012 | 2,757 |
| * | US Physical Therapy Inc. | 161,307 | 2,723 |
| * | Inspire Pharmaceuticals Inc. | 540,804 | 2,699 |
| * | Alphatec Holdings Inc. | 579,803 | 2,690 |
| * | Triple-S Management Corp. Class B | 144,992 | 2,690 |
| * | Cross Country Healthcare Inc. | 296,180 | 2,663 |
| * | AMN Healthcare Services Inc. | 348,784 | 2,609 |
29
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | BioScrip Inc. | 491,070 | 2,573 |
| * | Angiodynamics Inc. | 170,889 | 2,521 |
| * | Metabolix Inc. | 175,913 | 2,517 |
| * | CardioNet Inc. | 453,260 | 2,484 |
| * | ATS Medical Inc. | 624,817 | 2,481 |
| *,^ | BioCryst Pharmaceuticals Inc. | 417,183 | 2,466 |
| *,^ | Delcath Systems Inc. | 388,540 | 2,463 |
| * | Palomar Medical Technologies Inc. | 219,196 | 2,453 |
| * | Spectranetics Corp. | 472,308 | 2,447 |
| * | Zymogenetics Inc. | 577,988 | 2,439 |
| * | Synovis Life Technologies Inc. | 158,382 | 2,420 |
| * | ABIOMED Inc. | 248,481 | 2,405 |
| * | OraSure Technologies Inc. | 518,785 | 2,402 |
| * | Genoptix Inc. | 139,461 | 2,399 |
| * | Accelrys Inc. | 370,448 | 2,389 |
| * | XenoPort Inc. | 241,702 | 2,371 |
| * | Almost Family Inc. | 67,225 | 2,348 |
| * | TomoTherapy Inc. | 733,434 | 2,332 |
| * | Vanda Pharmaceuticals Inc. | 350,395 | 2,316 |
| * | Vascular Solutions Inc. | 182,105 | 2,276 |
| * | Optimer Pharmaceuticals Inc. | 244,272 | 2,264 |
| * | Sunrise Senior Living Inc. | 807,429 | 2,245 |
| * | Res-Care Inc. | 231,419 | 2,235 |
| * | SurModics Inc. | 135,169 | 2,218 |
| * | Micrus Endovascular Corp. | 106,493 | 2,214 |
| * | CryoLife Inc. | 407,839 | 2,198 |
| *,^ | Cell Therapeutics Inc. | 5,789,038 | 2,171 |
| * | Cytokinetics Inc. | 915,377 | 2,169 |
| * | Matrixx Initiatives Inc. | 468,967 | 2,157 |
| *,^ | StemCells Inc. | 2,279,611 | 2,143 |
| *,^ | Cadence Pharmaceuticals Inc. | 304,715 | 2,136 |
| * | CPEX Pharmaceuticals Inc. | 80,351 | 2,129 |
| * | Pozen Inc. | 302,632 | 2,121 |
| * | Kensey Nash Corp. | 86,098 | 2,041 |
| * | Staar Surgical Co. | 348,417 | 1,993 |
| * | Medidata Solutions Inc. | 123,961 | 1,920 |
| *,^ | Cerus Corp. | 601,494 | 1,901 |
| * | HealthTronics Inc. | 392,769 | 1,897 |
| * | IRIS International Inc. | 185,176 | 1,878 |
| * | Vital Images Inc. | 144,592 | 1,844 |
| | Young Innovations Inc. | 64,861 | 1,826 |
| * | Medical Action Industries Inc. | 150,862 | 1,809 |
| * | Five Star Quality Care Inc. | 598,581 | 1,808 |
| * | American Dental Partners Inc. | 147,378 | 1,785 |
| * | National Dentex Corp. | 105,876 | 1,784 |
| * | Sciclone Pharmaceuticals Inc. | 669,642 | 1,781 |
| * | Rural/Metro Corp. | 214,763 | 1,748 |
| * | Kendle International Inc. | 150,798 | 1,737 |
| | National Healthcare Corp. | 50,203 | 1,730 |
| * | Orthovita Inc. | 850,216 | 1,726 |
| * | Albany Molecular Research Inc. | 333,447 | 1,724 |
| * | Penwest Pharmaceuticals Co. | 520,634 | 1,718 |
| * | Idenix Pharmaceuticals Inc. | 343,456 | 1,717 |
| * | Icad Inc. | 895,903 | 1,711 |
| * | Progenics Pharmaceuticals Inc. | 305,484 | 1,674 |
| * | Spectrum Pharmaceuticals Inc. | 417,790 | 1,638 |
| * | Durect Corp. | 673,537 | 1,637 |
| * | Cynosure Inc. Class A | 147,731 | 1,591 |
| * | BMP Sunstone Corp. | 305,167 | 1,572 |
| * | Exactech Inc. | 91,589 | 1,564 |
| | Atrion Corp. | 11,559 | 1,561 |
| * | Clarient Inc. | 506,407 | 1,560 |
| | Ensign Group Inc. | 93,902 | 1,551 |
| * | Clinical Data Inc. | 123,617 | 1,538 |
30
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | AVANIR Pharmaceuticals Inc. | 597,739 | 1,536 |
| *,^ | AVI BioPharma Inc. | 954,111 | 1,536 |
| * | Arqule Inc. | 356,527 | 1,533 |
| * | Stereotaxis Inc. | 461,948 | 1,529 |
| * | Rochester Medical Corp. | 160,782 | 1,519 |
| * | Sangamo Biosciences Inc. | 406,634 | 1,509 |
| * | Repligen Corp. | 464,738 | 1,492 |
| * | Enzo Biochem Inc. | 357,299 | 1,454 |
| * | Capital Senior Living Corp. | 288,723 | 1,435 |
| *,^ | SIGA Technologies Inc. | 186,125 | 1,433 |
| * | Pharmacyclics Inc. | 206,774 | 1,377 |
| * | Maxygen Inc. | 248,801 | 1,376 |
| * | Dyax Corp. | 603,620 | 1,370 |
| * | PDI Inc. | 163,152 | 1,351 |
| * | Opko Health Inc. | 592,232 | 1,338 |
| * | Skilled Healthcare Group Inc. | 197,035 | 1,338 |
| * | Akorn Inc. | 438,025 | 1,301 |
| *,^ | Cel-Sci Corp. | 2,584,552 | 1,266 |
| *,^ | MELA Sciences Inc. | 169,143 | 1,258 |
| * | Santarus Inc. | 506,995 | 1,257 |
| * | SuperGen Inc. | 618,658 | 1,250 |
| * | Genomic Health Inc. | 96,629 | 1,249 |
| * | Alliance HealthCare Services Inc. | 309,136 | 1,249 |
| * | Depomed Inc. | 442,941 | 1,240 |
| *,^ | Hansen Medical Inc. | 579,707 | 1,235 |
| * | RTI Biologics Inc. | 418,541 | 1,226 |
| *,^ | Keryx Biopharmaceuticals Inc. | 328,390 | 1,202 |
| *,^ | MAKO Surgical Corp. | 94,490 | 1,176 |
| * | Insmed Inc. | 1,663,302 | 1,119 |
| * | Chelsea Therapeutics International Inc. | 381,814 | 1,119 |
| * | Anika Therapeutics Inc. | 189,005 | 1,113 |
| * | Cutera Inc. | 119,710 | 1,103 |
| * | Vical Inc. | 351,501 | 1,090 |
| * | Medcath Corp. | 135,569 | 1,066 |
| * | LCA-Vision Inc. | 186,654 | 1,034 |
| * | Allied Healthcare International Inc. | 444,827 | 1,032 |
| * | Furiex Pharmaceuticals Inc. | 97,519 | 991 |
| | Psychemedics Corp. | 119,881 | 976 |
| * | AGA Medical Holdings Inc. | 76,799 | 975 |
| * | Cambrex Corp. | 300,586 | 947 |
| | Utah Medical Products Inc. | 37,390 | 932 |
| * | Orexigen Therapeutics Inc. | 220,637 | 927 |
| * | Harvard Bioscience Inc. | 257,953 | 918 |
| *,^ | Peregrine Pharmaceuticals Inc. | 417,473 | 898 |
| * | Celldex Therapeutics Inc. | 195,954 | 894 |
| * | Metropolitan Health Networks Inc. | 238,949 | 891 |
| * | MAP Pharmaceuticals Inc. | 66,804 | 876 |
| * | Transcend Services Inc. | 63,697 | 860 |
| * | Cypress Bioscience Inc. | 369,982 | 851 |
| *,^ | Osiris Therapeutics Inc. | 144,976 | 842 |
| * | Providence Service Corp. | 60,005 | 840 |
| * | BioMimetic Therapeutics Inc. | 74,955 | 833 |
| *,^ | ZIOPHARM Oncology Inc. | 261,301 | 831 |
| * | Affymax Inc. | 137,540 | 822 |
| * | Myrexis Inc. | 217,996 | 820 |
| *,^ | GenVec Inc. | 1,762,220 | 811 |
| * | Nighthawk Radiology Holdings Inc. | 309,350 | 801 |
| * | Dynavax Technologies Corp. | 430,473 | 801 |
| *,^ | Alexza Pharmaceuticals Inc. | 285,876 | 778 |
| * | Array Biopharma Inc. | 251,569 | 767 |
| * | Digirad Corp. | 339,965 | 711 |
| * | BioSphere Medical Inc. | 161,270 | 697 |
| * | Caliper Life Sciences Inc. | 160,324 | 685 |
| * | Curis Inc. | 480,127 | 667 |
31
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Continucare Corp. | 198,363 | 665 |
| *,^ | Hemispherx Biopharma Inc. | 1,359,726 | 637 |
| * | Strategic Diagnostics Inc. | 348,376 | 631 |
| * | Synta Pharmaceuticals Corp. | 231,181 | 624 |
| *,^ | XOMA Ltd. | 1,507,184 | 624 |
| * | Corcept Therapeutics Inc. | 199,574 | 623 |
| * | Adolor Corp. | 568,918 | 620 |
| * | Osteotech Inc. | 194,447 | 616 |
| *,^ | Cytori Therapeutics Inc. | 175,581 | 611 |
| * | RadNet Inc. | 255,990 | 607 |
| *,^ | Biosante Pharmaceuticals Inc. | 342,555 | 603 |
| *,^ | Poniard Pharmaceuticals Inc. | 995,598 | 597 |
| * | Theragenics Corp. | 517,663 | 595 |
| *,^ | Arrowhead Research Corp. | 483,786 | 532 |
| * | Health Grades Inc. | 87,799 | 527 |
| * | Acadia Pharmaceuticals Inc. | 478,337 | 521 |
| *,^ | Oncothyreon Inc. | 156,700 | 520 |
| * | Biolase Technology Inc. | 346,025 | 512 |
| * | Columbia Laboratories Inc. | 482,490 | 511 |
| *,^ | Javelin Pharmaceuticals Inc. | 229,173 | 504 |
| * | Nanosphere Inc. | 114,081 | 497 |
| * | Biodel Inc. | 125,832 | 476 |
| * | Anadys Pharmaceuticals Inc. | 244,666 | 470 |
| * | Caraco Pharmaceutical Laboratories Ltd. | 99,411 | 469 |
| * | CombiMatrix Corp. | 181,578 | 467 |
| * | Infinity Pharmaceuticals Inc. | 77,827 | 460 |
| * | Mediware Information Systems | 48,575 | 437 |
| * | Merge Healthcare Inc. | 145,928 | 428 |
| *,^ | Inovio Pharmaceuticals Inc. | 418,104 | 426 |
| *,^ | American Caresource Holdings Inc. | 243,970 | 415 |
| * | OncoGenex Pharmaceutical Inc. | 29,954 | 403 |
| * | Dusa Pharmaceuticals Inc. | 185,943 | 400 |
| | Daxor Corp. | 38,249 | 385 |
| *,^ | SenoRx Inc. | 34,537 | 379 |
| * | ISTA Pharmaceuticals Inc. | 172,495 | 378 |
| *,^ | Inhibitex Inc. | 144,120 | 367 |
| * | Orchid Cellmark Inc. | 213,751 | 361 |
| * | Antigenics Inc. | 442,458 | 359 |
| *,^ | Idera Pharmaceuticals Inc. | 99,374 | 358 |
| * | Jazz Pharmaceuticals Inc. | 43,300 | 339 |
| * | Lannett Co. Inc. | 71,092 | 325 |
| *,^ | GTx Inc. | 106,070 | 323 |
| * | Telik Inc. | 409,528 | 319 |
| * | KV Pharmaceutical Co. Class A | 372,252 | 313 |
| * | Sucampo Pharmaceuticals Inc. Class A | 87,160 | 308 |
| * | Entremed Inc. | 745,509 | 301 |
| * | Exact Sciences Corp. | 63,860 | 281 |
| * | AtriCure Inc. | 40,340 | 268 |
| *,^ | Generex Biotechnology Corp. | 750,520 | 251 |
| *,^ | Amicus Therapeutics Inc. | 111,771 | 250 |
| * | Virtual Radiologic Corp. | 14,000 | 240 |
| *,^ | ARCA Biopharma Inc. | 70,471 | 239 |
| * | Medtox Scientific Inc. | 18,646 | 229 |
| * | CytRx Corp. | 296,478 | 228 |
| *,^ | Discovery Laboratories Inc. | 1,150,142 | 219 |
| *,^ | Aastrom Biosciences Inc. | 140,364 | 209 |
| * | OTIX Global Inc. | 51,850 | 207 |
| *,^ | AspenBio Pharma Inc. | 201,356 | 197 |
| | MedQuist Inc. | 24,300 | 192 |
| * | Hooper Holmes Inc. | 334,611 | 191 |
| *,^ | Combinatorx Inc. | 123,787 | 179 |
| * | Animal Health International Inc. | 69,706 | 173 |
| * | Heska Corp. | 244,014 | 154 |
| | National Research Corp. | 6,048 | 146 |
32
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Capstone Therapeutics Corp. | 195,946 | 130 |
| * | Solta Medical Inc. | 65,275 | 124 |
| * | NMT Medical Inc. | 233,297 | 122 |
| * | Synergetics USA Inc. | 42,380 | 113 |
| *,^ | Molecular Insight Pharmaceuticals Inc. | 66,316 | 109 |
| * | Retractable Technologies Inc. | 67,934 | 109 |
| * | TranS1 Inc. | 39,302 | 103 |
| * | ThermoGenesis Corp. | 196,394 | 96 |
| * | Bovie Medical Corp. | 32,120 | 96 |
| *,^ | OXiGENE Inc. | 234,490 | 89 |
| * | Cardiac Science Corp. | 89,496 | 88 |
| *,^ | Cardiovascular Systems Inc. | 18,200 | 81 |
| * | RXi Pharmaceuticals Corp. | 29,017 | 75 |
| * | Celsion Corp. | 20,563 | 64 |
| * | Repros Therapeutics Inc. | 150,333 | 54 |
| * | Biospecifics Technologies Corp. | 2,500 | 50 |
| *,^ | Nexmed Inc. | 21,066 | 44 |
| * | Vision-Sciences Inc. | 36,185 | 36 |
| *,^ | SCOLR Pharma Inc. | 82,225 | 35 |
| * | Transcept Pharmaceuticals Inc. | 4,145 | 35 |
| * | ProPhase Labs Inc. | 29,374 | 32 |
| * | IVAX Diagnostics Inc. | 61,215 | 32 |
| * | BioClinica Inc. | 6,604 | 27 |
| * | BSD Medical Corp. | 13,274 | 15 |
| *,^ | ARYx Therapeutics Inc. | 32,996 | 14 |
| * | Biotime Inc. | 1,500 | 9 |
| * | Sharps Compliance Corp. | 1,600 | 7 |
| *,^ | Helicos BioSciences Corp. | 14,000 | 6 |
| * | NovaMed Inc. | 595 | 5 |
| * | KV Pharmaceutical Co. Class B | 500 | 1 |
| | | | 14,921,154 |
| Industrials (11.0%) | | |
| | General Electric Co. | 112,599,202 | 1,623,680 |
| | United Technologies Corp. | 9,397,886 | 610,017 |
| | 3M Co. | 7,135,496 | 563,633 |
| | Boeing Co. | 7,189,584 | 451,146 |
| | United Parcel Service Inc. Class B | 7,534,109 | 428,615 |
| | Caterpillar Inc. | 6,592,801 | 396,030 |
| | Union Pacific Corp. | 5,332,322 | 370,650 |
| | Emerson Electric Co. | 7,940,602 | 346,925 |
| | Honeywell International Inc. | 7,664,958 | 299,163 |
| | Lockheed Martin Corp. | 3,367,711 | 250,894 |
| | Deere & Co. | 4,460,097 | 248,338 |
| | FedEx Corp. | 3,137,193 | 219,949 |
| | Danaher Corp. | 5,803,378 | 215,421 |
| | Norfolk Southern Corp. | 3,901,085 | 206,953 |
| | CSX Corp. | 4,116,107 | 204,282 |
| | General Dynamics Corp. | 3,460,006 | 202,618 |
| | Raytheon Co. | 3,980,561 | 192,619 |
| | Tyco International Ltd. | 5,429,148 | 191,269 |
| | Illinois Tool Works Inc. | 4,506,688 | 186,036 |
| | Northrop Grumman Corp. | 3,035,430 | 165,249 |
| | Precision Castparts Corp. | 1,495,138 | 153,880 |
| | Waste Management Inc. | 4,862,110 | 152,135 |
| | PACCAR Inc. | 3,459,146 | 137,916 |
| | Cummins Inc. | 2,018,769 | 131,482 |
| | Republic Services Inc. Class A | 4,020,555 | 119,531 |
| | Ingersoll-Rand PLC | 3,388,311 | 116,863 |
| | Eaton Corp. | 1,668,304 | 109,174 |
| | CH Robinson Worldwide Inc. | 1,759,666 | 97,943 |
| * | Delta Air Lines Inc. | 8,289,110 | 97,397 |
| | Parker Hannifin Corp. | 1,697,021 | 94,117 |
| | Rockwell Collins Inc. | 1,659,241 | 88,155 |
| | Goodrich Corp. | 1,320,965 | 87,514 |
33
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Southwest Airlines Co. | 7,843,849 | 87,145 |
| | L-3 Communications Holdings Inc. | 1,219,866 | 86,415 |
| | Dover Corp. | 1,975,941 | 82,575 |
| | ITT Corp. | 1,831,677 | 82,279 |
| | Fluor Corp. | 1,886,979 | 80,197 |
| | Cooper Industries PLC | 1,764,172 | 77,624 |
| | Expeditors International of Washington Inc. | 2,238,550 | 77,252 |
| | Rockwell Automation Inc. | 1,506,610 | 73,959 |
| | Fastenal Co. | 1,400,318 | 70,282 |
| | WW Grainger Inc. | 649,662 | 64,609 |
| * | Stericycle Inc. | 850,180 | 55,755 |
| | Roper Industries Inc. | 988,667 | 55,326 |
| | Joy Global Inc. | 1,085,702 | 54,383 |
| * | McDermott International Inc. | 2,429,032 | 52,613 |
| | Flowserve Corp. | 588,232 | 49,882 |
| | Textron Inc. | 2,876,998 | 48,823 |
| | Pitney Bowes Inc. | 2,189,316 | 48,077 |
| * | Jacobs Engineering Group Inc. | 1,315,511 | 47,937 |
| | AMETEK Inc. | 1,139,157 | 45,737 |
| * | Quanta Services Inc. | 2,209,105 | 45,618 |
| | Iron Mountain Inc. | 1,933,860 | 43,434 |
| | Pall Corp. | 1,239,512 | 42,602 |
| | Masco Corp. | 3,800,919 | 40,898 |
| * | Kansas City Southern | 1,075,224 | 39,084 |
| | Manpower Inc. | 894,826 | 38,639 |
| | Bucyrus International Inc. Class A | 812,707 | 38,563 |
| | Equifax Inc. | 1,335,978 | 37,488 |
| * | UAL Corp. | 1,768,624 | 36,363 |
| * | Owens Corning | 1,215,116 | 36,344 |
| | Dun & Bradstreet Corp. | 539,340 | 36,201 |
| | RR Donnelley & Sons Co. | 2,169,166 | 35,509 |
| | Robert Half International Inc. | 1,489,950 | 35,088 |
| * | URS Corp. | 887,479 | 34,922 |
| | Cintas Corp. | 1,453,882 | 34,850 |
| | KBR Inc. | 1,695,857 | 34,494 |
| | Avery Dennison Corp. | 1,064,776 | 34,211 |
| | Pentair Inc. | 1,041,895 | 33,549 |
| * | Navistar International Corp. | 673,502 | 33,136 |
| | Donaldson Co. Inc. | 773,966 | 33,010 |
| | JB Hunt Transport Services Inc. | 1,008,307 | 32,941 |
| * | Continental Airlines Inc. Class B | 1,468,631 | 32,310 |
| * | Verisk Analytics Inc. Class A | 1,062,875 | 31,780 |
| * | Shaw Group Inc. | 884,339 | 30,262 |
| * | Oshkosh Corp. | 945,088 | 29,449 |
| * | Foster Wheeler AG | 1,347,995 | 28,389 |
| | SPX Corp. | 526,670 | 27,813 |
| * | Waste Connections Inc. | 789,800 | 27,556 |
| * | Copart Inc. | 756,590 | 27,093 |
| * | AGCO Corp. | 978,578 | 26,392 |
| * | BE Aerospace Inc. | 1,028,474 | 26,154 |
| * | IHS Inc. Class A | 434,784 | 25,400 |
| | TransDigm Group Inc. | 492,830 | 25,149 |
| | Snap-On Inc. | 610,109 | 24,960 |
| | Gardner Denver Inc. | 552,901 | 24,654 |
| | IDEX Corp. | 853,571 | 24,387 |
| | MSC Industrial Direct Co. Class A | 473,339 | 23,979 |
| * | AMR Corp. | 3,517,121 | 23,846 |
| * | Corrections Corp. of America | 1,224,549 | 23,364 |
| * | Covanta Holding Corp. | 1,393,115 | 23,112 |
| | Lincoln Electric Holdings Inc. | 451,528 | 23,023 |
| | Carlisle Cos. Inc. | 635,247 | 22,951 |
| | Ryder System Inc. | 565,704 | 22,758 |
| | Timken Co. | 871,143 | 22,641 |
| * | Hertz Global Holdings Inc. | 2,392,801 | 22,636 |
34
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Aecom Technology Corp. | 963,485 | 22,218 |
| | Kennametal Inc. | 863,404 | 21,956 |
| | Hubbell Inc. Class B | 548,118 | 21,755 |
| | Regal-Beloit Corp. | 389,310 | 21,716 |
| * | Alliant Techsystems Inc. | 348,936 | 21,655 |
| * | Terex Corp. | 1,147,854 | 21,511 |
| * | FTI Consulting Inc. | 490,863 | 21,397 |
| * | WABCO Holdings Inc. | 678,956 | 21,374 |
| * | Spirit Aerosystems Holdings Inc. Class A | 1,113,961 | 21,232 |
| | Lennox International Inc. | 506,814 | 21,068 |
| * | Kirby Corp. | 543,826 | 20,801 |
| | Landstar System Inc. | 531,864 | 20,737 |
| | Wabtec Corp. | 504,750 | 20,134 |
| | Harsco Corp. | 853,099 | 20,048 |
| * | Thomas & Betts Corp. | 556,702 | 19,318 |
| | Towers Watson & Co. Class A | 496,708 | 19,297 |
| | CLARCOR Inc. | 533,782 | 18,960 |
| * | GrafTech International Ltd. | 1,276,318 | 18,660 |
| | Nordson Corp. | 321,667 | 18,039 |
| | Graco Inc. | 636,228 | 17,935 |
| | Toro Co. | 361,199 | 17,742 |
| | Con-way Inc. | 569,955 | 17,110 |
| * | Alaska Air Group Inc. | 378,475 | 17,012 |
| | Baldor Electric Co. | 467,438 | 16,865 |
| | Acuity Brands Inc. | 460,489 | 16,753 |
| * | Clean Harbors Inc. | 250,181 | 16,615 |
| * | EMCOR Group Inc. | 701,379 | 16,251 |
| | Valmont Industries Inc. | 223,261 | 16,222 |
| * | Hexcel Corp. | 1,027,854 | 15,942 |
| | Crane Co. | 526,287 | 15,899 |
| | Woodward Governor Co. | 613,723 | 15,668 |
| | Watsco Inc. | 266,048 | 15,410 |
| * | Genesee & Wyoming Inc. Class A | 406,930 | 15,183 |
| * | WESCO International Inc. | 448,025 | 15,085 |
| * | Esterline Technologies Corp. | 314,718 | 14,933 |
| | Trinity Industries Inc. | 841,024 | 14,903 |
| * | US Airways Group Inc. | 1,711,794 | 14,739 |
| * | Teledyne Technologies Inc. | 381,907 | 14,734 |
| * | General Cable Corp. | 551,961 | 14,710 |
| * | JetBlue Airways Corp. | 2,626,277 | 14,418 |
| | Curtiss-Wright Corp. | 485,824 | 14,108 |
| * | United Stationers Inc. | 254,588 | 13,867 |
| * | Moog Inc. Class A | 420,912 | 13,566 |
| | Actuant Corp. Class A | 717,195 | 13,505 |
| | Knight Transportation Inc. | 662,472 | 13,408 |
| | HNI Corp. | 476,877 | 13,157 |
| | UTi Worldwide Inc. | 1,062,189 | 13,150 |
| | GATX Corp. | 488,129 | 13,023 |
| | Alexander & Baldwin Inc. | 436,246 | 12,991 |
| * | Atlas Air Worldwide Holdings Inc. | 272,774 | 12,957 |
| | Brady Corp. Class A | 518,480 | 12,921 |
| | AO Smith Corp. | 267,585 | 12,895 |
| * | Tetra Tech Inc. | 652,200 | 12,790 |
| | Manitowoc Co. Inc. | 1,379,591 | 12,609 |
| * | ArvinMeritor Inc. | 925,797 | 12,128 |
| *,^ | American Superconductor Corp. | 449,817 | 12,006 |
| * | HUB Group Inc. Class A | 397,164 | 11,919 |
| | Triumph Group Inc. | 177,192 | 11,806 |
| | Kaydon Corp. | 356,930 | 11,729 |
| * | Geo Group Inc. | 548,656 | 11,385 |
| * | Dollar Thrifty Automotive Group Inc. | 263,148 | 11,213 |
| | Belden Inc. | 497,011 | 10,934 |
| | Werner Enterprises Inc. | 495,683 | 10,851 |
| | Herman Miller Inc. | 565,642 | 10,674 |
35
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Avis Budget Group Inc. | 1,081,459 | 10,620 |
| * | Old Dominion Freight Line Inc. | 296,535 | 10,420 |
| * | EnerSys | 484,128 | 10,346 |
| | Simpson Manufacturing Co. Inc. | 418,607 | 10,277 |
| | Applied Industrial Technologies Inc. | 405,661 | 10,271 |
| | Deluxe Corp. | 543,984 | 10,200 |
| * | Middleby Corp. | 187,494 | 9,973 |
| | Rollins Inc. | 475,522 | 9,839 |
| | ABM Industries Inc. | 468,980 | 9,825 |
| | Mueller Industries Inc. | 397,628 | 9,782 |
| | Brink's Co. | 509,859 | 9,703 |
| | Corporate Executive Board Co. | 362,338 | 9,519 |
| * | Orbital Sciences Corp. | 601,699 | 9,489 |
| | Forward Air Corp. | 335,049 | 9,130 |
| | Heartland Express Inc. | 621,240 | 9,020 |
| | Watts Water Technologies Inc. Class A | 314,363 | 9,010 |
| | Briggs & Stratton Corp. | 529,232 | 9,008 |
| | Mine Safety Appliances Co. | 362,686 | 8,987 |
| * | USG Corp. | 738,654 | 8,923 |
| | Granite Construction Inc. | 374,962 | 8,842 |
| * | Beacon Roofing Supply Inc. | 478,203 | 8,617 |
| * | Insituform Technologies Inc. Class A | 413,407 | 8,467 |
| | Healthcare Services Group Inc. | 444,460 | 8,423 |
| | American Science & Engineering Inc. | 105,231 | 8,020 |
| | Barnes Group Inc. | 488,382 | 8,005 |
| | ESCO Technologies Inc. | 293,660 | 7,562 |
| * | CoStar Group Inc. | 188,465 | 7,312 |
| *,^ | EnerNOC Inc. | 227,271 | 7,145 |
| | Skywest Inc. | 584,408 | 7,141 |
| | Otter Tail Corp. | 360,829 | 6,975 |
| * | II-VI Inc. | 234,028 | 6,934 |
| | Allegiant Travel Co. Class A | 161,255 | 6,884 |
| * | AAR Corp. | 405,762 | 6,792 |
| | Robbins & Myers Inc. | 308,925 | 6,716 |
| * | SYKES Enterprises Inc. | 468,125 | 6,661 |
| | Mueller Water Products Inc. Class A | 1,719,754 | 6,380 |
| | Raven Industries Inc. | 188,883 | 6,367 |
| | Cubic Corp. | 174,437 | 6,346 |
| | Knoll Inc. | 473,981 | 6,299 |
| * | DigitalGlobe Inc. | 237,345 | 6,242 |
| * | EnPro Industries Inc. | 219,102 | 6,168 |
| * | Korn/Ferry International | 441,911 | 6,143 |
| * | Armstrong World Industries Inc. | 202,656 | 6,116 |
| * | Griffon Corp. | 548,858 | 6,070 |
| | Universal Forest Products Inc. | 199,263 | 6,040 |
| * | DynCorp International Inc. Class A | 337,169 | 5,907 |
| * | Blount International Inc. | 574,431 | 5,899 |
| | Quanex Building Products Corp. | 341,193 | 5,899 |
| * | MasTec Inc. | 625,910 | 5,884 |
| * | Advisory Board Co. | 136,885 | 5,881 |
| * | Mobile Mini Inc. | 359,999 | 5,861 |
| * | Resources Connection Inc. | 429,203 | 5,837 |
| | Arkansas Best Corp. | 281,111 | 5,833 |
| *,^ | A123 Systems Inc. | 609,016 | 5,743 |
| * | Ceradyne Inc. | 264,586 | 5,654 |
| | Administaff Inc. | 233,960 | 5,652 |
| * | RBC Bearings Inc. | 193,784 | 5,618 |
| | Ameron International Corp. | 92,822 | 5,600 |
| * | AirTran Holdings Inc. | 1,138,504 | 5,522 |
| | Tennant Co. | 161,590 | 5,465 |
| | Franklin Electric Co. Inc. | 188,412 | 5,430 |
| * | GeoEye Inc. | 172,277 | 5,365 |
| * | TrueBlue Inc. | 478,386 | 5,353 |
| * | Macquarie Infrastructure Co. LLC | 415,554 | 5,315 |
36
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Kaman Corp. | 239,131 | 5,290 |
| | Interface Inc. Class A | 483,398 | 5,192 |
| | Badger Meter Inc. | 131,920 | 5,104 |
| * | Interline Brands Inc. | 291,993 | 5,049 |
| | McGrath Rentcorp | 221,146 | 5,038 |
| * | Stanley Inc. | 131,464 | 4,914 |
| | Diamond Management & Technology Consultants Inc. Class A | 476,455 | 4,912 |
| * | Navigant Consulting Inc. | 471,147 | 4,891 |
| * | United Rentals Inc. | 524,017 | 4,884 |
| * | Consolidated Graphics Inc. | 112,675 | 4,872 |
| | Steelcase Inc. Class A | 627,617 | 4,864 |
| * | Celadon Group Inc. | 342,861 | 4,848 |
| * | Acacia Research - Acacia Technologies | 340,165 | 4,841 |
| | Albany International Corp. | 294,893 | 4,774 |
| | CIRCOR International Inc. | 184,967 | 4,731 |
| * | Waste Services Inc. | 404,691 | 4,719 |
| * | Altra Holdings Inc. | 362,151 | 4,715 |
| * | Kforce Inc. | 368,077 | 4,693 |
| | Applied Signal Technology Inc. | 236,968 | 4,656 |
| | Aircastle Ltd. | 590,897 | 4,639 |
| | Seaboard Corp. | 3,061 | 4,622 |
| * | Kelly Services Inc. Class A | 310,790 | 4,621 |
| * | Polypore International Inc. | 202,826 | 4,612 |
| * | Sensata Technologies Holding NV | 283,900 | 4,540 |
| * | Chart Industries Inc. | 288,395 | 4,493 |
| * | M&F Worldwide Corp. | 164,979 | 4,471 |
| | US Ecology Inc. | 304,604 | 4,438 |
| * | Astec Industries Inc. | 160,015 | 4,437 |
| | HEICO Corp. Class A | 164,321 | 4,428 |
| * | SFN Group Inc. | 805,825 | 4,400 |
| * | Tutor Perini Corp. | 262,547 | 4,327 |
| * | Huron Consulting Group Inc. | 222,875 | 4,326 |
| | FreightCar America Inc. | 190,565 | 4,311 |
| | TAL International Group Inc. | 190,367 | 4,278 |
| | Heidrick & Struggles International Inc. | 185,999 | 4,245 |
| * | Dycom Industries Inc. | 495,507 | 4,237 |
| | Comfort Systems USA Inc. | 438,176 | 4,233 |
| | Tredegar Corp. | 257,091 | 4,196 |
| * | Layne Christensen Co. | 169,949 | 4,125 |
| * | Genco Shipping & Trading Ltd. | 273,133 | 4,094 |
| | Lindsay Corp. | 123,713 | 3,920 |
| * | American Reprographics Co. | 448,345 | 3,914 |
| | Encore Wire Corp. | 210,514 | 3,829 |
| * | Force Protection Inc. | 919,415 | 3,770 |
| | NACCO Industries Inc. Class A | 42,226 | 3,748 |
| * | Argon ST Inc. | 108,882 | 3,734 |
| * | School Specialty Inc. | 205,444 | 3,712 |
| | AZZ Inc. | 100,959 | 3,712 |
| | EnergySolutions Inc. | 722,832 | 3,679 |
| * | Cenveo Inc. | 666,598 | 3,660 |
| | AAON Inc. | 156,808 | 3,655 |
| * | Aerovironment Inc. | 166,575 | 3,620 |
| *,^ | Capstone Turbine Corp. | 3,654,524 | 3,581 |
| | Apogee Enterprises Inc. | 326,287 | 3,534 |
| * | Michael Baker Corp. | 100,839 | 3,519 |
| * | Colfax Corp. | 337,036 | 3,509 |
| | Sun Hydraulics Corp. | 149,497 | 3,507 |
| | Bowne & Co. Inc. | 309,027 | 3,467 |
| * | GenCorp Inc. | 781,850 | 3,425 |
| | Cascade Corp. | 94,758 | 3,374 |
| | Gorman-Rupp Co. | 134,569 | 3,371 |
| | John Bean Technologies Corp. | 220,423 | 3,361 |
| * | Astronics Corp. | 204,862 | 3,352 |
| | G&K Services Inc. Class A | 160,213 | 3,308 |
37
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Standex International Corp. | 130,026 | 3,296 |
| * | Exponent Inc. | 99,279 | 3,248 |
| *,^ | Ener1 Inc. | 960,524 | 3,247 |
| * | Orion Marine Group Inc. | 227,983 | 3,237 |
| * | ATC Technology Corp. | 200,367 | 3,230 |
| * | CBIZ Inc. | 506,905 | 3,224 |
| * | Sauer-Danfoss Inc. | 262,319 | 3,206 |
| | Ennis Inc. | 210,968 | 3,167 |
| * | ICF International Inc. | 131,748 | 3,153 |
| | Viad Corp. | 177,476 | 3,132 |
| *,^ | Harbin Electric Inc. | 185,850 | 3,094 |
| * | Builders FirstSource Inc. | 1,276,736 | 3,064 |
| * | Wabash National Corp. | 424,591 | 3,019 |
| | Titan International Inc. | 302,102 | 3,012 |
| * | Marten Transport Ltd. | 144,721 | 3,007 |
| * | MYR Group Inc. | 178,944 | 2,987 |
| * | Amerco Inc. | 53,602 | 2,951 |
| * | American Commercial Lines Inc. | 128,966 | 2,903 |
| * | Rush Enterprises Inc. Class A | 214,736 | 2,869 |
| | Miller Industries Inc. | 211,310 | 2,846 |
| * | Cornell Cos. Inc. | 103,831 | 2,790 |
| * | Taser International Inc. | 707,163 | 2,758 |
| * | LB Foster Co. Class A | 105,338 | 2,730 |
| * | Flow International Corp. | 1,130,739 | 2,669 |
| * | RSC Holdings Inc. | 432,392 | 2,668 |
| | Federal Signal Corp. | 441,424 | 2,666 |
| * | Ladish Co. Inc. | 113,935 | 2,589 |
| | Aceto Corp. | 448,415 | 2,569 |
| * | Columbus McKinnon Corp. | 182,574 | 2,551 |
| * | Team Inc. | 193,862 | 2,530 |
| | CDI Corp. | 160,527 | 2,493 |
| | Great Lakes Dredge & Dock Corp. | 413,710 | 2,482 |
| * | Innerworkings Inc. | 351,684 | 2,402 |
| | Houston Wire & Cable Co. | 220,451 | 2,392 |
| * | Pacer International Inc. | 341,001 | 2,384 |
| * | KAR Auction Services Inc. | 191,892 | 2,374 |
| | HEICO Corp. | 65,392 | 2,349 |
| * | Powell Industries Inc. | 84,737 | 2,317 |
| * | On Assignment Inc. | 458,835 | 2,308 |
| * | Dolan Co. | 201,361 | 2,239 |
| | Ducommun Inc. | 129,521 | 2,215 |
| * | H&E Equipment Services Inc. | 295,222 | 2,211 |
| | Insteel Industries Inc. | 189,621 | 2,203 |
| *,^ | Broadwind Energy Inc. | 775,433 | 2,171 |
| * | Kadant Inc. | 122,413 | 2,132 |
| * | Hawaiian Holdings Inc. | 411,111 | 2,125 |
| * | APAC Customer Services Inc. | 369,308 | 2,105 |
| * | Metalico Inc. | 519,715 | 2,068 |
| * | Sterling Construction Co. Inc. | 158,832 | 2,055 |
| *,^ | China BAK Battery Inc. | 1,169,635 | 2,035 |
| * | ACCO Brands Corp. | 404,547 | 2,019 |
| * | Fushi Copperweld Inc. | 245,637 | 2,009 |
| * | Gibraltar Industries Inc. | 198,936 | 2,009 |
| * | Eagle Bulk Shipping Inc. | 464,089 | 1,958 |
| | Dynamic Materials Corp. | 119,780 | 1,921 |
| | Met-Pro Corp. | 176,582 | 1,900 |
| * | Titan Machinery Inc. | 143,579 | 1,885 |
| * | Republic Airways Holdings Inc. | 306,126 | 1,870 |
| * | Tecumseh Products Co. Class A | 166,009 | 1,846 |
| * | Lydall Inc. | 236,637 | 1,808 |
| * | Furmanite Corp. | 450,749 | 1,789 |
| * | Pike Electric Corp. | 189,437 | 1,785 |
| * | Vicor Corp. | 139,192 | 1,739 |
| * | Air Transport Services Group Inc. | 356,311 | 1,696 |
38
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Graham Corp. | 112,127 | 1,681 |
| * | RailAmerica Inc. | 165,800 | 1,645 |
| *,^ | Advanced Battery Technologies Inc. | 499,015 | 1,637 |
| | Ampco-Pittsburgh Corp. | 78,061 | 1,626 |
| | Alamo Group Inc. | 74,667 | 1,620 |
| | American Woodmark Corp. | 94,392 | 1,614 |
| * | Trimas Corp. | 139,181 | 1,574 |
| * | Trex Co. Inc. | 77,415 | 1,555 |
| * | Greenbrier Cos. Inc. | 137,143 | 1,536 |
| * | Quality Distribution Inc. | 296,898 | 1,535 |
| * | Saia Inc. | 102,223 | 1,533 |
| * | Herley Industries Inc. | 106,225 | 1,515 |
| * | 3D Systems Corp. | 119,313 | 1,497 |
| | Schawk Inc. Class A | 99,378 | 1,486 |
| * | Park-Ohio Holdings Corp. | 100,993 | 1,453 |
| * | Commercial Vehicle Group Inc. | 142,114 | 1,451 |
| * | NN Inc. | 284,830 | 1,424 |
| | International Shipholding Corp. | 63,528 | 1,406 |
| | Twin Disc Inc. | 122,421 | 1,391 |
| | Barrett Business Services Inc. | 111,766 | 1,386 |
| * | WCA Waste Corp. | 310,093 | 1,383 |
| *,^ | Orion Energy Systems Inc. | 437,565 | 1,378 |
| * | GP Strategies Corp. | 188,753 | 1,370 |
| * | Dynamex Inc. | 110,564 | 1,349 |
| * | CRA International Inc. | 71,056 | 1,338 |
| *,^ | UQM Technologies Inc. | 393,962 | 1,336 |
| * | Fuel Tech Inc. | 203,287 | 1,285 |
| * | Standard Parking Corp. | 81,043 | 1,283 |
| * | Northwest Pipe Co. | 67,096 | 1,275 |
| * | Volt Information Sciences Inc. | 151,652 | 1,274 |
| * | Pinnacle Airlines Corp. | 231,106 | 1,257 |
| | LSI Industries Inc. | 251,951 | 1,230 |
| * | Energy Recovery Inc. | 301,447 | 1,206 |
| * | USA Truck Inc. | 74,506 | 1,201 |
| * | PMFG Inc. | 78,227 | 1,185 |
| | Kimball International Inc. Class B | 213,946 | 1,183 |
| * | Satcon Technology Corp. | 408,834 | 1,169 |
| *,^ | FuelCell Energy Inc. | 987,587 | 1,165 |
| * | Casella Waste Systems Inc. Class A | 303,752 | 1,160 |
| | Lawson Products Inc. | 68,148 | 1,157 |
| * | LMI Aerospace Inc. | 72,168 | 1,138 |
| * | DXP Enterprises Inc. | 72,203 | 1,130 |
| | American Railcar Industries Inc. | 93,516 | 1,130 |
| | Horizon Lines Inc. Class A | 262,499 | 1,110 |
| ^ | Todd Shipyards Corp. | 74,857 | 1,107 |
| * | PowerSecure International Inc. | 119,506 | 1,086 |
| * | Hudson Highland Group Inc. | 245,099 | 1,078 |
| *,^ | YRC Worldwide Inc. | 7,151,888 | 1,073 |
| | Superior Uniform Group Inc. | 106,489 | 1,062 |
| * | Innovative Solutions & Support Inc. | 238,621 | 1,050 |
| * | CAI International Inc. | 86,691 | 1,032 |
| * | Rush Enterprises Inc. Class B | 88,165 | 1,027 |
| * | TBS International PLC Class A | 166,778 | 1,022 |
| * | LaBarge Inc. | 88,160 | 1,006 |
| * | Hurco Cos. Inc. | 67,649 | 1,005 |
| *,^ | Valence Technology Inc. | 1,351,511 | 973 |
| * | Willis Lease Finance Corp. | 103,768 | 957 |
| * | PAM Transportation Services Inc. | 61,408 | 923 |
| | VSE Corp. | 28,668 | 912 |
| * | SL Industries Inc. | 72,930 | 875 |
| | Multi-Color Corp. | 82,972 | 850 |
| * | Ultralife Corp. | 195,524 | 841 |
| *,^ | SmartHeat Inc. | 145,679 | 832 |
| * | NCI Building Systems Inc. | 98,628 | 826 |
39
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Perma-Fix Environmental Services | 455,784 | 734 |
| | Hardinge Inc. | 83,341 | 710 |
| * | United Capital Corp. | 27,341 | 667 |
| * | Hill International Inc. | 155,213 | 630 |
| * | Frozen Food Express Industries | 179,698 | 629 |
| | Omega Flex Inc. | 43,075 | 628 |
| * | Plug Power Inc. | 1,306,085 | 601 |
| *,^ | Odyssey Marine Exploration Inc. | 593,226 | 593 |
| * | Universal Truckload Services Inc. | 39,838 | 555 |
| | LS Starrett Co. Class A | 57,983 | 553 |
| * | BlueLinx Holdings Inc. | 205,632 | 541 |
| * | Patriot Transportation Holding Inc. | 6,404 | 518 |
| * | US Home Systems Inc. | 192,699 | 513 |
| | Virco Manufacturing | 159,489 | 478 |
| * | LECG Corp. | 183,446 | 477 |
| * | Magnetek Inc. | 511,688 | 471 |
| * | TRC Cos. Inc. | 151,355 | 468 |
| * | Intersections Inc. | 111,932 | 465 |
| *,^ | Hoku Corp. | 136,434 | 456 |
| | Standard Register Co. | 135,946 | 427 |
| * | Integrated Electrical Services Inc. | 111,572 | 389 |
| * | Allied Defense Group Inc. | 102,630 | 388 |
| * | Sypris Solutions Inc. | 91,591 | 367 |
| *,^ | Lime Energy Co. | 104,000 | 357 |
| * | Active Power Inc. | 422,158 | 329 |
| *,^ | Applied Energetics Inc. | 287,190 | 296 |
| | Hubbell Inc. Class A | 7,600 | 288 |
| | Preformed Line Products Co. | 10,064 | 281 |
| *,^ | C&D Technologies Inc. | 287,236 | 253 |
| * | Raytheon Co. Warrants Exp. 06/16/2011 | 19,938 | 239 |
| * | Document Security Systems Inc. | 72,991 | 230 |
| * | China Architectural Engineering Inc. | 262,086 | 218 |
| * | Ceco Environmental Corp. | 42,945 | 201 |
| *,^ | Ascent Solar Technologies Inc. | 72,914 | 199 |
| * | Mistras Group Inc. | 18,400 | 197 |
| *,^ | Akeena Solar Inc. | 277,092 | 187 |
| * | Argan Inc. | 16,641 | 174 |
| * | Tix Corp. | 132,405 | 146 |
| * | Covenant Transportation Group Inc. Class A | 19,665 | 133 |
| * | Amrep Corp. | 10,412 | 131 |
| *,^ | Lihua International Inc. | 15,300 | 130 |
| * | Ocean Power Technologies Inc. | 23,762 | 123 |
| * | Innotrac Corp. | 73,881 | 95 |
| * | AT Cross Co. Class A | 16,061 | 80 |
| * | Key Technology Inc. | 5,013 | 68 |
| * | Franklin Covey Co. | 10,003 | 65 |
| * | Thermadyne Holdings Corp. | 5,010 | 54 |
| *,^ | China Fire & Security Group Inc. | 5,005 | 46 |
| | Eastern Co. | 3,100 | 45 |
| * | ExpressJet Holdings Inc. | 10,069 | 26 |
| *,^ | Arotech Corp. | 12,320 | 18 |
| * | Tecumseh Products Co. Class B | 1,421 | 16 |
| * | Innovaro Inc. | 1,700 | 6 |
| | Portec Rail Products Inc. | 300 | 3 |
| * | PGT Inc. | 314 | 1 |
| | | | 13,425,504 |
| Information Technology (18.7%) | | |
| * | Apple Inc. | 9,569,462 | 2,407,007 |
| | Microsoft Corp. | 83,299,704 | 1,916,726 |
| | International Business Machines Corp. | 13,708,469 | 1,692,722 |
| * | Cisco Systems Inc. | 60,423,038 | 1,287,615 |
| * | Google Inc. Class A | 2,573,607 | 1,145,126 |
| | Intel Corp. | 58,295,072 | 1,133,839 |
| | Hewlett-Packard Co. | 24,842,859 | 1,075,199 |
40
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Oracle Corp. | 42,306,962 | 907,907 |
| | QUALCOMM Inc. | 17,735,506 | 582,434 |
| * | EMC Corp. | 21,662,567 | 396,425 |
| | Visa Inc. Class A | 4,952,387 | 350,381 |
| | Texas Instruments Inc. | 13,105,759 | 305,102 |
| | Corning Inc. | 16,451,009 | 265,684 |
| | Accenture PLC Class A | 6,674,029 | 257,951 |
| * | eBay Inc. | 12,337,654 | 241,941 |
| * | Dell Inc. | 18,583,864 | 224,121 |
| | Automatic Data Processing Inc. | 5,327,534 | 214,487 |
| | Mastercard Inc. Class A | 1,048,962 | 209,299 |
| * | Yahoo! Inc. | 14,037,627 | 194,140 |
| | Applied Materials Inc. | 14,174,095 | 170,373 |
| * | Motorola Inc. | 24,407,982 | 159,140 |
| * | Cognizant Technology Solutions Corp. Class A | 3,140,270 | 157,202 |
| | Broadcom Corp. Class A | 4,628,191 | 152,591 |
| * | Adobe Systems Inc. | 5,531,099 | 146,187 |
| * | NetApp Inc. | 3,576,508 | 133,440 |
| * | Juniper Networks Inc. | 5,500,281 | 125,516 |
| | Tyco Electronics Ltd. | 4,844,913 | 122,964 |
| * | Symantec Corp. | 8,508,385 | 118,096 |
| | Xerox Corp. | 13,930,582 | 112,002 |
| * | Intuit Inc. | 3,175,735 | 110,420 |
| | Western Union Co. | 7,205,356 | 107,432 |
| * | Agilent Technologies Inc. | 3,681,911 | 104,677 |
| * | Salesforce.com Inc. | 1,186,369 | 101,814 |
| * | SanDisk Corp. | 2,413,729 | 101,546 |
| | Fidelity National Information Services Inc. | 3,363,151 | 90,200 |
| | Paychex Inc. | 3,432,651 | 89,146 |
| * | Marvell Technology Group Ltd. | 5,604,903 | 88,333 |
| | Analog Devices Inc. | 3,141,603 | 87,525 |
| * | Citrix Systems Inc. | 1,940,018 | 81,927 |
| | CA Inc. | 4,390,403 | 80,783 |
| | Altera Corp. | 3,138,439 | 77,865 |
| * | Micron Technology Inc. | 8,977,146 | 76,216 |
| | Xilinx Inc. | 2,919,554 | 73,748 |
| * | Fiserv Inc. | 1,607,501 | 73,399 |
| | Computer Sciences Corp. | 1,621,140 | 73,357 |
| * | Akamai Technologies Inc. | 1,807,598 | 73,334 |
| * | Western Digital Corp. | 2,412,944 | 72,774 |
| | Amphenol Corp. Class A | 1,828,233 | 71,813 |
| * | SAIC Inc. | 4,178,148 | 69,942 |
| * | Seagate Technology | 5,267,197 | 68,684 |
| * | BMC Software Inc. | 1,927,214 | 66,739 |
| *,^ | First Solar Inc. | 584,719 | 66,559 |
| | Linear Technology Corp. | 2,358,756 | 65,597 |
| * | Cree Inc. | 1,064,426 | 63,898 |
| | Activision Blizzard Inc. | 6,023,154 | 63,183 |
| * | NVIDIA Corp. | 5,856,997 | 59,800 |
| * | Autodesk Inc. | 2,424,316 | 59,056 |
| * | Red Hat Inc. | 1,991,493 | 57,634 |
| * | F5 Networks Inc. | 839,059 | 57,534 |
| | Harris Corp. | 1,380,479 | 57,497 |
| * | Sybase Inc. | 869,650 | 56,232 |
| * | Teradata Corp. | 1,778,233 | 54,201 |
| ^ | Microchip Technology Inc. | 1,944,774 | 53,948 |
| | Maxim Integrated Products Inc. | 3,216,829 | 53,818 |
| * | McAfee Inc. | 1,675,525 | 51,472 |
| * | VeriSign Inc. | 1,936,135 | 51,404 |
| * | Lam Research Corp. | 1,350,340 | 51,394 |
| | KLA-Tencor Corp. | 1,816,757 | 50,651 |
| * | Electronic Arts Inc. | 3,447,792 | 49,648 |
| * | Flextronics International Ltd. | 8,580,351 | 48,050 |
| * | FLIR Systems Inc. | 1,613,357 | 46,933 |
41
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Advanced Micro Devices Inc. | 6,029,156 | 44,133 |
| * | VMware Inc. Class A | 705,075 | 44,131 |
| * | Rovi Corp. | 1,100,778 | 41,731 |
| * | Avnet Inc. | 1,603,607 | 38,663 |
| * | ANSYS Inc. | 949,088 | 38,505 |
| * | Equinix Inc. | 461,635 | 37,494 |
| * | Nuance Communications Inc. | 2,397,959 | 35,849 |
| * | Trimble Navigation Ltd. | 1,276,737 | 35,749 |
| * | Dolby Laboratories Inc. Class A | 567,307 | 35,564 |
| | National Semiconductor Corp. | 2,508,990 | 33,771 |
| *,^ | Alliance Data Systems Corp. | 553,081 | 32,919 |
| * | Hewitt Associates Inc. Class A | 944,287 | 32,540 |
| * | Synopsys Inc. | 1,550,384 | 32,357 |
| * | LSI Corp. | 6,947,636 | 31,959 |
| | Factset Research Systems Inc. | 473,736 | 31,736 |
| | Lender Processing Services Inc. | 1,009,102 | 31,595 |
| | Global Payments Inc. | 860,449 | 31,441 |
| * | Skyworks Solutions Inc. | 1,858,313 | 31,201 |
| * | ON Semiconductor Corp. | 4,522,956 | 28,856 |
| * | Arrow Electronics Inc. | 1,265,904 | 28,293 |
| | Jabil Circuit Inc. | 2,061,485 | 27,418 |
| * | Lexmark International Inc. Class A | 826,419 | 27,297 |
| | Broadridge Financial Solutions Inc. | 1,422,989 | 27,108 |
| * | MICROS Systems Inc. | 843,277 | 26,875 |
| | Solera Holdings Inc. | 738,419 | 26,731 |
| * | Polycom Inc. | 888,581 | 26,471 |
| * | Ingram Micro Inc. | 1,729,483 | 26,271 |
| * | Itron Inc. | 424,639 | 26,251 |
| * | Novellus Systems Inc. | 1,015,032 | 25,741 |
| | Tellabs Inc. | 3,885,696 | 24,830 |
| * | WebMD Health Corp. | 534,369 | 24,811 |
| * | Brocade Communications Systems Inc. | 4,699,418 | 24,249 |
| * | IAC/InterActiveCorp | 1,097,617 | 24,115 |
| | Total System Services Inc. | 1,769,541 | 24,066 |
| * | CommScope Inc. | 997,951 | 23,721 |
| * | MEMC Electronic Materials Inc. | 2,363,487 | 23,351 |
| * | AOL Inc. | 1,117,058 | 23,224 |
| * | Atmel Corp. | 4,790,822 | 22,996 |
| * | JDS Uniphase Corp. | 2,314,546 | 22,775 |
| * | Informatica Corp. | 947,786 | 22,633 |
| * | Varian Semiconductor Equipment Associates Inc. | 785,777 | 22,520 |
| * | VistaPrint NV | 458,907 | 21,794 |
| * | Rambus Inc. | 1,223,681 | 21,439 |
| * | TIBCO Software Inc. | 1,770,015 | 21,346 |
| * | Novell Inc. | 3,678,163 | 20,892 |
| * | NCR Corp. | 1,685,620 | 20,430 |
| | Jack Henry & Associates Inc. | 849,494 | 20,286 |
| * | Atheros Communications Inc. | 726,192 | 19,999 |
| * | QLogic Corp. | 1,202,769 | 19,990 |
| | National Instruments Corp. | 620,755 | 19,728 |
| * | Parametric Technology Corp. | 1,240,628 | 19,441 |
| * | Compuware Corp. | 2,407,718 | 19,214 |
| * | Tech Data Corp. | 538,476 | 19,181 |
| | Diebold Inc. | 701,477 | 19,115 |
| * | Concur Technologies Inc. | 444,593 | 18,975 |
| * | Gartner Inc. | 812,761 | 18,897 |
| * | Silicon Laboratories Inc. | 462,350 | 18,753 |
| * | Avago Technologies Ltd. | 879,148 | 18,515 |
| * | PMC - Sierra Inc. | 2,418,233 | 18,185 |
| * | Cybersource Corp. | 708,162 | 18,079 |
| * | Rackspace Hosting Inc. | 984,249 | 18,051 |
| * | Teradyne Inc. | 1,845,560 | 17,994 |
| * | Riverbed Technology Inc. | 629,694 | 17,392 |
| | CoreLogic Inc. | 984,703 | 17,390 |
42
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | VeriFone Systems Inc. | 899,739 | 17,032 |
| * | Cadence Design Systems Inc. | 2,858,431 | 16,550 |
| * | GSI Commerce Inc. | 572,273 | 16,481 |
| * | Genpact Ltd. | 1,036,656 | 16,099 |
| * | Cypress Semiconductor Corp. | 1,600,521 | 16,069 |
| | ADTRAN Inc. | 588,661 | 16,053 |
| * | Netlogic Microsystems Inc. | 584,829 | 15,907 |
| | Intersil Corp. Class A | 1,295,328 | 15,686 |
| * | Zebra Technologies Corp. | 611,483 | 15,513 |
| * | Ariba Inc. | 945,788�� | 15,066 |
| *,^ | MercadoLibre Inc. | 281,010 | 14,767 |
| * | Monster Worldwide Inc. | 1,260,603 | 14,686 |
| | DST Systems Inc. | 404,194 | 14,608 |
| | Plantronics Inc. | 510,398 | 14,597 |
| * | Veeco Instruments Inc. | 422,757 | 14,492 |
| * | Vishay Intertechnology Inc. | 1,816,518 | 14,060 |
| * | International Rectifier Corp. | 754,119 | 14,034 |
| * | Arris Group Inc. | 1,335,166 | 13,605 |
| * | CACI International Inc. Class A | 318,262 | 13,520 |
| * | Sohu.com Inc. | 322,435 | 13,249 |
| * | Progress Software Corp. | 437,277 | 13,131 |
| | Molex Inc. | 714,773 | 13,037 |
| * | Anixter International Inc. | 304,010 | 12,951 |
| * | Microsemi Corp. | 879,815 | 12,872 |
| * | Convergys Corp. | 1,301,131 | 12,764 |
| *,^ | Blackboard Inc. | 335,997 | 12,543 |
| * | Ciena Corp. | 980,354 | 12,431 |
| * | Viasat Inc. | 374,762 | 12,202 |
| * | Quest Software Inc. | 674,985 | 12,177 |
| * | Omnivision Technologies Inc. | 545,886 | 11,704 |
| * | Acxiom Corp. | 795,949 | 11,692 |
| * | Wright Express Corp. | 386,395 | 11,476 |
| * | InterDigital Inc. | 463,728 | 11,449 |
| * | Hittite Microwave Corp. | 255,340 | 11,424 |
| | Sapient Corp. | 1,125,402 | 11,412 |
| * | Sanmina-SCI Corp. | 832,659 | 11,332 |
| * | Plexus Corp. | 423,277 | 11,318 |
| | Molex Inc. Class A | 725,963 | 11,216 |
| * | Fairchild Semiconductor International Inc. Class A | 1,320,664 | 11,107 |
| * | Benchmark Electronics Inc. | 680,936 | 10,793 |
| * | Aruba Networks Inc. | 757,503 | 10,787 |
| | Fair Isaac Corp. | 494,780 | 10,781 |
| * | Semtech Corp. | 655,775 | 10,735 |
| * | Lawson Software Inc. | 1,460,113 | 10,659 |
| | MAXIMUS Inc. | 183,776 | 10,635 |
| * | RF Micro Devices Inc. | 2,713,645 | 10,610 |
| *,^ | Finisar Corp. | 704,460 | 10,496 |
| * | j2 Global Communications Inc. | 480,302 | 10,490 |
| * | Cirrus Logic Inc. | 661,555 | 10,459 |
| * | SuccessFactors Inc. | 498,492 | 10,364 |
| | Blackbaud Inc. | 471,772 | 10,270 |
| *,^ | Power-One Inc. | 1,501,744 | 10,137 |
| * | Mantech International Corp. Class A | 237,548 | 10,112 |
| * | TriQuint Semiconductor Inc. | 1,626,919 | 9,940 |
| *,^ | Synaptics Inc. | 356,811 | 9,812 |
| * | Digital River Inc. | 408,979 | 9,779 |
| * | Cavium Networks Inc. | 369,607 | 9,680 |
| * | CommVault Systems Inc. | 428,361 | 9,638 |
| * | Palm Inc. | 1,688,212 | 9,606 |
| * | Taleo Corp. Class A | 391,678 | 9,514 |
| * | Take-Two Interactive Software Inc. | 1,054,273 | 9,488 |
| * | ValueClick Inc. | 883,580 | 9,445 |
| | Power Integrations Inc. | 292,424 | 9,415 |
| * | MKS Instruments Inc. | 497,611 | 9,315 |
43
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Mentor Graphics Corp. | 1,038,890 | 9,194 |
| * | SRA International Inc. Class A | 464,357 | 9,134 |
| * | Cymer Inc. | 301,818 | 9,067 |
| * | Blue Coat Systems Inc. | 443,134 | 9,053 |
| | Earthlink Inc. | 1,134,193 | 9,028 |
| * | JDA Software Group Inc. | 408,272 | 8,974 |
| | Syntel Inc. | 264,188 | 8,969 |
| * | Comtech Telecommunications Corp. | 298,972 | 8,948 |
| * | Coherent Inc. | 256,619 | 8,802 |
| * | Websense Inc. | 462,006 | 8,732 |
| * | Ultimate Software Group Inc. | 265,597 | 8,728 |
| * | Integrated Device Technology Inc. | 1,762,236 | 8,723 |
| * | Tekelec | 654,141 | 8,661 |
| * | L-1 Identity Solutions Inc. | 1,055,383 | 8,644 |
| * | DG FastChannel Inc. | 264,358 | 8,613 |
| * | Sonus Networks Inc. | 3,152,690 | 8,544 |
| * | Advent Software Inc. | 181,857 | 8,540 |
| * | TiVo Inc. | 1,155,475 | 8,527 |
| * | Cabot Microelectronics Corp. | 246,132 | 8,514 |
| * | Tessera Technologies Inc. | 527,208 | 8,462 |
| * | Unisys Corp. | 445,257 | 8,233 |
| * | Emulex Corp. | 842,493 | 7,734 |
| * | EchoStar Corp. Class A | 398,485 | 7,603 |
| * | FEI Co. | 381,805 | 7,525 |
| * | ADC Telecommunications Inc. | 1,006,182 | 7,456 |
| * | MicroStrategy Inc. Class A | 97,945 | 7,355 |
| * | Manhattan Associates Inc. | 259,161 | 7,140 |
| * | Acme Packet Inc. | 260,940 | 7,014 |
| * | AsiaInfo Holdings Inc. | 318,143 | 6,955 |
| * | Amkor Technology Inc. | 1,248,584 | 6,880 |
| *,^ | STEC Inc. | 544,766 | 6,842 |
| *,^ | SunPower Corp. Class A | 563,198 | 6,815 |
| * | Checkpoint Systems Inc. | 390,021 | 6,771 |
| * | SonicWALL Inc. | 574,689 | 6,753 |
| * | ACI Worldwide Inc. | 345,880 | 6,734 |
| | Cognex Corp. | 381,772 | 6,712 |
| * | Loral Space & Communications Inc. | 155,321 | 6,635 |
| * | Scansource Inc. | 260,557 | 6,496 |
| * | Applied Micro Circuits Corp. | 618,790 | 6,485 |
| * | LTX-Credence Corp. | 2,285,077 | 6,467 |
| * | Volterra Semiconductor Corp. | 279,586 | 6,447 |
| * | Netgear Inc. | 360,061 | 6,423 |
| * | TeleTech Holdings Inc. | 495,869 | 6,392 |
| * | DealerTrack Holdings Inc. | 382,137 | 6,286 |
| * | Constant Contact Inc. | 291,221 | 6,212 |
| * | Universal Display Corp. | 342,808 | 6,164 |
| * | Lattice Semiconductor Corp. | 1,406,291 | 6,103 |
| * | Littelfuse Inc. | 191,766 | 6,062 |
| * | Zoran Corp. | 624,209 | 5,955 |
| * | DTS Inc. | 180,996 | 5,949 |
| * | Netezza Corp. | 434,525 | 5,944 |
| * | Euronet Worldwide Inc. | 463,710 | 5,931 |
| * | CSG Systems International Inc. | 322,444 | 5,910 |
| | Micrel Inc. | 574,647 | 5,850 |
| * | TTM Technologies Inc. | 611,580 | 5,810 |
| | AVX Corp. | 449,607 | 5,764 |
| * | Intermec Inc. | 552,189 | 5,660 |
| * | RealNetworks Inc. | 1,712,005 | 5,650 |
| * | Insight Enterprises Inc. | 426,724 | 5,616 |
| * | Net 1 UEPS Technologies Inc. | 415,070 | 5,566 |
| * | Monolithic Power Systems Inc. | 309,975 | 5,536 |
| * | FormFactor Inc. | 510,919 | 5,518 |
| | Black Box Corp. | 197,158 | 5,499 |
| * | THQ Inc. | 1,268,597 | 5,480 |
44
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Infinera Corp. | 851,630 | 5,476 |
| * | Global Cash Access Holdings Inc. | 758,476 | 5,469 |
| * | Brooks Automation Inc. | 703,868 | 5,441 |
| * | Ultratech Inc. | 334,303 | 5,439 |
| * | Verigy Ltd. | 623,128 | 5,415 |
| * | Entegris Inc. | 1,351,877 | 5,367 |
| * | Rofin-Sinar Technologies Inc. | 256,936 | 5,349 |
| * | Diodes Inc. | 332,903 | 5,283 |
| * | Stratasys Inc. | 212,593 | 5,221 |
| * | OSI Systems Inc. | 187,767 | 5,214 |
| * | GT Solar International Inc. | 928,920 | 5,202 |
| * | Rogers Corp. | 187,173 | 5,198 |
| * | Brightpoint Inc. | 722,866 | 5,060 |
| * | ArcSight Inc. | 225,399 | 5,047 |
| * | Tyler Technologies Inc. | 315,030 | 4,889 |
| *,^ | OpenTable Inc. | 117,772 | 4,884 |
| * | SYNNEX Corp. | 190,102 | 4,870 |
| * | Harmonic Inc. | 893,036 | 4,858 |
| * | Forrester Research Inc. | 160,497 | 4,857 |
| * | Synchronoss Technologies Inc. | 252,731 | 4,794 |
| * | SAVVIS Inc. | 323,178 | 4,767 |
| * | RightNow Technologies Inc. | 303,392 | 4,760 |
| | Heartland Payment Systems Inc. | 315,593 | 4,683 |
| * | Kulicke & Soffa Industries Inc. | 657,281 | 4,614 |
| * | SunPower Corp. Class B | 426,394 | 4,605 |
| | United Online Inc. | 788,389 | 4,541 |
| * | Oclaro Inc. | 404,139 | 4,482 |
| * | Avid Technology Inc. | 347,506 | 4,424 |
| | Pegasystems Inc. | 137,381 | 4,411 |
| *,^ | Ebix Inc. | 281,251 | 4,410 |
| *,^ | Rubicon Technology Inc. | 147,582 | 4,396 |
| * | Epicor Software Corp. | 546,610 | 4,367 |
| * | SMART Modular Technologies WWH Inc. | 746,370 | 4,366 |
| * | Art Technology Group Inc. | 1,272,156 | 4,351 |
| * | Standard Microsystems Corp. | 186,417 | 4,340 |
| * | ATMI Inc. | 294,233 | 4,308 |
| * | Advanced Energy Industries Inc. | 348,681 | 4,285 |
| * | 3PAR Inc. | 458,616 | 4,270 |
| * | EPIQ Systems Inc. | 327,696 | 4,237 |
| * | Smith Micro Software Inc. | 445,256 | 4,234 |
| | iGate Corp. | 327,336 | 4,196 |
| * | Silicon Image Inc. | 1,167,052 | 4,096 |
| | Park Electrochemical Corp. | 167,271 | 4,083 |
| * | Electronics for Imaging Inc. | 412,934 | 4,026 |
| * | SolarWinds Inc. | 248,200 | 3,981 |
| | MTS Systems Corp. | 136,520 | 3,959 |
| * | Ixia | 459,995 | 3,951 |
| * | Sourcefire Inc. | 204,954 | 3,894 |
| * | Electro Scientific Industries Inc. | 290,958 | 3,887 |
| * | STR Holdings Inc. | 205,162 | 3,857 |
| * | Cogent Inc. | 427,392 | 3,851 |
| * | S1 Corp. | 638,021 | 3,835 |
| * | Lionbridge Technologies Inc. | 830,970 | 3,798 |
| * | Terremark Worldwide Inc. | 484,464 | 3,784 |
| * | ExlService Holdings Inc. | 218,743 | 3,756 |
| * | TNS Inc. | 211,249 | 3,684 |
| * | Internet Capital Group Inc. | 475,745 | 3,616 |
| * | Move Inc. | 1,742,083 | 3,571 |
| * | comScore Inc. | 215,499 | 3,549 |
| * | Netscout Systems Inc. | 247,191 | 3,515 |
| * | Virage Logic Corp. | 293,698 | 3,492 |
| *,^ | Sonic Solutions Inc. | 416,627 | 3,479 |
| * | Newport Corp. | 383,085 | 3,471 |
| * | Internet Brands Inc. Class A | 334,055 | 3,451 |
45
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Knot Inc. | 439,438 | 3,419 |
| * | Quantum Corp. | 1,806,936 | 3,397 |
| * | Hypercom Corp. | 726,295 | 3,370 |
| * | NVE Corp. | 77,180 | 3,360 |
| * | Mercury Computer Systems Inc. | 286,275 | 3,358 |
| * | Maxwell Technologies Inc. | 294,314 | 3,355 |
| * | Compellent Technologies Inc. | 276,372 | 3,350 |
| * | Sigma Designs Inc. | 330,832 | 3,312 |
| * | Bottomline Technologies Inc. | 253,532 | 3,304 |
| * | support.com Inc. | 789,787 | 3,286 |
| * | LoopNet Inc. | 264,247 | 3,258 |
| | BGC Partners Inc. Class A | 633,773 | 3,239 |
| * | Supertex Inc. | 130,782 | 3,225 |
| * | KVH Industries Inc. | 259,403 | 3,222 |
| * | Imation Corp. | 343,735 | 3,159 |
| | Sycamore Networks Inc. | 189,563 | 3,151 |
| * | Measurement Specialties Inc. | 226,519 | 3,103 |
| * | Radiant Systems Inc. | 213,310 | 3,084 |
| * | ModusLink Global Solutions Inc. | 506,842 | 3,056 |
| * | Oplink Communications Inc. | 211,763 | 3,035 |
| * | Echelon Corp. | 411,343 | 3,015 |
| *,^ | Evergreen Solar Inc. | 4,373,555 | 2,983 |
| * | MIPS Technologies Inc. Class A | 571,321 | 2,919 |
| * | ADPT Corp. | 988,539 | 2,857 |
| * | Integrated Silicon Solution Inc. | 376,716 | 2,840 |
| * | Actel Corp. | 220,060 | 2,821 |
| | Methode Electronics Inc. | 289,538 | 2,820 |
| * | IPG Photonics Corp. | 185,125 | 2,819 |
| * | Infospace Inc. | 372,249 | 2,799 |
| *,^ | Magma Design Automation Inc. | 976,995 | 2,775 |
| * | Limelight Networks Inc. | 628,840 | 2,761 |
| * | Isilon Systems Inc. | 213,115 | 2,736 |
| * | FARO Technologies Inc. | 145,323 | 2,719 |
| * | Symmetricom Inc. | 532,064 | 2,708 |
| * | LogMeIn Inc. | 101,900 | 2,673 |
| * | Globecomm Systems Inc. | 321,192 | 2,650 |
| * | DivX Inc. | 344,097 | 2,636 |
| | NIC Inc. | 408,652 | 2,619 |
| | Opnet Technologies Inc. | 176,910 | 2,599 |
| * | Super Micro Computer Inc. | 191,683 | 2,588 |
| * | UTStarcom Inc. | 1,389,207 | 2,556 |
| * | Extreme Networks | 941,365 | 2,542 |
| * | Kenexa Corp. | 210,656 | 2,528 |
| * | Kopin Corp. | 737,444 | 2,500 |
| * | LivePerson Inc. | 361,868 | 2,482 |
| * | IXYS Corp. | 280,174 | 2,477 |
| * | Symyx Technologies Inc. | 493,207 | 2,471 |
| * | Monotype Imaging Holdings Inc. | 272,050 | 2,451 |
| * | infoGROUP Inc. | 303,755 | 2,424 |
| * | Entropic Communications Inc. | 378,949 | 2,403 |
| *,^ | Energy Conversion Devices Inc. | 585,892 | 2,402 |
| * | Mindspeed Technologies Inc. | 319,606 | 2,394 |
| * | Anadigics Inc. | 537,535 | 2,344 |
| | Agilysys Inc. | 348,919 | 2,334 |
| | CTS Corp. | 251,974 | 2,328 |
| * | Ceva Inc. | 182,850 | 2,304 |
| * | Pericom Semiconductor Corp. | 236,999 | 2,275 |
| * | Intevac Inc. | 213,141 | 2,274 |
| * | Exar Corp. | 324,717 | 2,250 |
| * | Aviat Networks Inc. | 618,996 | 2,247 |
| * | Seachange International Inc. | 272,145 | 2,240 |
| | Electro Rent Corp. | 171,286 | 2,191 |
| * | EMS Technologies Inc. | 141,216 | 2,121 |
| *,^ | China Security & Surveillance Technology Inc. | 458,675 | 2,119 |
46
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Renaissance Learning Inc. | 143,888 | 2,114 |
| * | Comverge Inc. | 235,817 | 2,113 |
| *,^ | Microvision Inc. | 713,277 | 2,111 |
| * | Online Resources Corp. | 501,455 | 2,081 |
| * | Novatel Wireless Inc. | 361,238 | 2,074 |
| * | Perficient Inc. | 231,698 | 2,064 |
| * | Interactive Intelligence Inc. | 125,480 | 2,062 |
| | Daktronics Inc. | 272,672 | 2,045 |
| | Cass Information Systems Inc. | 59,699 | 2,045 |
| * | Anaren Inc. | 136,822 | 2,044 |
| * | Rimage Corp. | 128,809 | 2,039 |
| * | Vocus Inc. | 133,012 | 2,032 |
| * | Fortinet Inc. | 121,434 | 1,996 |
| * | NetSuite Inc. | 157,198 | 1,987 |
| *,^ | Wave Systems Corp. Class A | 605,655 | 1,962 |
| * | Openwave Systems Inc. | 955,616 | 1,940 |
| * | Stamps.com Inc. | 187,390 | 1,921 |
| * | Multi-Fineline Electronix Inc. | 76,932 | 1,920 |
| * | Radisys Corp. | 199,776 | 1,902 |
| | Cohu Inc. | 156,665 | 1,900 |
| * | TeleCommunication Systems Inc. Class A | 457,023 | 1,892 |
| * | Hughes Communications Inc. | 76,279 | 1,856 |
| * | VASCO Data Security International Inc. | 300,390 | 1,853 |
| * | Silicon Graphics International Corp. | 257,534 | 1,823 |
| * | Mattson Technology Inc. | 481,016 | 1,823 |
| * | Advanced Analogic Technologies Inc. | 567,810 | 1,811 |
| * | Spectrum Control Inc. | 129,560 | 1,811 |
| *,^ | Rosetta Stone Inc. | 78,808 | 1,809 |
| * | Digi International Inc. | 217,878 | 1,802 |
| | Keynote Systems Inc. | 195,861 | 1,767 |
| * | Cogo Group Inc. | 274,814 | 1,715 |
| * | Zix Corp. | 753,669 | 1,703 |
| * | LeCroy Corp. | 351,280 | 1,683 |
| * | Ultra Clean Holdings | 194,140 | 1,654 |
| * | Gerber Scientific Inc. | 305,370 | 1,634 |
| * | PROS Holdings Inc. | 250,908 | 1,631 |
| | DDi Corp. | 215,477 | 1,623 |
| | Bel Fuse Inc. Class B | 97,443 | 1,609 |
| * | GSE Systems Inc. | 392,563 | 1,594 |
| * | Double-Take Software Inc. | 148,635 | 1,559 |
| * | Conexant Systems Inc. | 691,354 | 1,549 |
| * | Rudolph Technologies Inc. | 202,447 | 1,528 |
| * | Travelzoo Inc. | 123,120 | 1,524 |
| * | SRS Labs Inc. | 165,142 | 1,511 |
| * | DSP Group Inc. | 234,691 | 1,500 |
| * | Saba Software Inc. | 286,516 | 1,476 |
| * | Photronics Inc. | 324,071 | 1,465 |
| * | Dynamics Research Corp. | 144,079 | 1,457 |
| * | MoneyGram International Inc. | 590,206 | 1,446 |
| | Keithley Instruments Inc. | 160,382 | 1,416 |
| | Richardson Electronics Ltd. | 156,536 | 1,409 |
| *,^ | China Information Security Technology Inc. | 267,363 | 1,390 |
| * | Geeknet Inc. | 1,116,134 | 1,384 |
| * | ShoreTel Inc. | 292,491 | 1,357 |
| * | Liquidity Services Inc. | 104,674 | 1,357 |
| * | MoSys Inc. | 305,390 | 1,350 |
| * | Transact Technologies Inc. | 183,295 | 1,338 |
| * | X-Rite Inc. | 356,832 | 1,317 |
| * | Pervasive Software Inc. | 256,033 | 1,270 |
| * | Ciber Inc. | 439,934 | 1,219 |
| * | BigBand Networks Inc. | 395,172 | 1,193 |
| * | Integral Systems Inc. | 183,594 | 1,166 |
| * | Telular Corp. | 382,231 | 1,151 |
| * | Cray Inc. | 206,083 | 1,150 |
47
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Zygo Corp. | 139,531 | 1,132 |
| * | FalconStor Software Inc. | 425,981 | 1,125 |
| * | Hackett Group Inc. | 399,574 | 1,123 |
| | American Software Inc. Class A | 242,905 | 1,122 |
| | TheStreet.com Inc. | 384,051 | 1,106 |
| * | Internap Network Services Corp. | 264,635 | 1,104 |
| * | Actuate Corp. | 243,100 | 1,082 |
| * | PRGX Global Inc. | 256,761 | 1,066 |
| * | DemandTec Inc. | 157,262 | 1,062 |
| * | NCI Inc. Class A | 46,496 | 1,050 |
| | Technitrol Inc. | 328,247 | 1,037 |
| * | Powerwave Technologies Inc. | 672,305 | 1,035 |
| * | Axcelis Technologies Inc. | 660,879 | 1,024 |
| * | Ness Technologies Inc. | 233,859 | 1,008 |
| * | Trident Microsystems Inc. | 699,205 | 993 |
| * | PLX Technology Inc. | 236,468 | 991 |
| * | Computer Task Group Inc. | 151,377 | 978 |
| * | Cyberoptics Corp. | 98,662 | 954 |
| | Marchex Inc. Class B | 246,843 | 950 |
| * | Immersion Corp. | 186,531 | 944 |
| * | Concurrent Computer Corp. | 202,052 | 933 |
| *,^ | Emcore Corp. | 1,046,387 | 931 |
| * | Ramtron International Corp. | 350,700 | 912 |
| * | PC-Tel Inc. | 178,115 | 898 |
| * | Tollgrade Communications Inc. | 141,098 | 889 |
| * | Web.com Group Inc. | 245,686 | 882 |
| * | LaserCard Corp. | 192,966 | 861 |
| * | NU Horizons Electronics Corp. | 277,427 | 849 |
| * | QuickLogic Corp. | 289,381 | 848 |
| | Ipass Inc. | 762,909 | 816 |
| * | PC Mall Inc. | 202,721 | 811 |
| * | Microtune Inc. | 378,848 | 807 |
| * | LoJack Corp. | 210,416 | 776 |
| | Evolving Systems Inc. | 105,542 | 760 |
| * | Hutchinson Technology Inc. | 174,519 | 756 |
| * | Presstek Inc. | 210,832 | 744 |
| * | Phoenix Technologies Ltd. | 255,005 | 737 |
| * | Reis Inc. | 112,482 | 731 |
| | Imergent Inc. | 200,473 | 726 |
| * | Nanometrics Inc. | 71,401 | 720 |
| * | Innodata Isogen Inc. | 278,369 | 715 |
| * | PAR Technology Corp. | 139,040 | 715 |
| * | PC Connection Inc. | 117,684 | 713 |
| * | StarTek Inc. | 179,488 | 700 |
| * | CPI International Inc. | 44,729 | 697 |
| * | Network Engines Inc. | 257,147 | 697 |
| * | Datalink Corp. | 170,425 | 685 |
| * | ORBCOMM Inc. | 375,812 | 684 |
| *,^ | Research Frontiers Inc. | 154,646 | 684 |
| | QAD Inc. | 160,214 | 662 |
| * | Westell Technologies Inc. Class A | 417,567 | 651 |
| * | Network Equipment Technologies Inc. | 182,244 | 636 |
| * | PDF Solutions Inc. | 129,133 | 620 |
| * | RAE Systems Inc. | 754,476 | 604 |
| * | FSI International Inc. | 140,582 | 589 |
| *,^ | KIT Digital Inc. | 66,100 | 583 |
| * | Edgewater Technology Inc. | 198,870 | 575 |
| * | TechTeam Global Inc. | 91,665 | 549 |
| * | Callidus Software Inc. | 163,593 | 542 |
| * | Opnext Inc. | 321,034 | 530 |
| * | Aware Inc. | 223,397 | 523 |
| * | EF Johnson Technologies Inc. | 333,837 | 477 |
| * | Bsquare Corp. | 208,344 | 473 |
| * | ID Systems Inc. | 178,265 | 472 |
48
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Performance Technologies Inc. | 163,889 | 406 |
| * | Dice Holdings Inc. | 57,706 | 399 |
| *,^ | ICx Technologies Inc. | 53,764 | 392 |
| * | Rainmaker Systems Inc. | 322,862 | 387 |
| * | CalAmp Corp. | 178,061 | 379 |
| * | Market Leader Inc. | 187,002 | 368 |
| * | Pixelworks Inc. | 122,124 | 364 |
| * | Tier Technologies Inc. Class B | 59,360 | 361 |
| *,^ | Parkervision Inc. | 280,755 | 357 |
| * | Transwitch Corp. | 158,116 | 341 |
| | VirnetX Holding Corp. | 57,431 | 340 |
| * | Virtusa Corp. | 35,723 | 333 |
| * | iGO Inc. | 217,191 | 326 |
| * | Ditech Networks Inc. | 246,702 | 313 |
| * | MEMSIC Inc. | 135,840 | 307 |
| * | Frequency Electronics Inc. | 63,789 | 297 |
| * | Spire Corp. | 83,300 | 290 |
| | Newtek Business Services Inc. | 209,107 | 278 |
| * | Looksmart Ltd. | 218,418 | 258 |
| * | Planar Systems Inc. | 148,536 | 254 |
| * | AXT Inc. | 53,587 | 242 |
| * | GTSI Corp. | 43,149 | 236 |
| * | AuthenTec Inc. | 93,017 | 233 |
| * | Comarco Inc. | 95,910 | 229 |
| * | LRAD Corp. | 179,597 | 225 |
| * | ActivIdentity Corp. | 117,195 | 224 |
| * | Echo Global Logistics Inc. | 17,800 | 217 |
| * | Video Display Corp. | 48,565 | 202 |
| * | WebMediaBrands Inc. | 217,997 | 196 |
| * | Cinedigm Digital Cinema Corp. Class A | 137,179 | 178 |
| * | Autobytel Inc. | 156,399 | 178 |
| | Bel Fuse Inc. Class A | 10,580 | 176 |
| * | NaviSite Inc. | 58,297 | 153 |
| * | EndWave Corp. | 43,107 | 142 |
| * | Viasystems Group Inc. | 9,566 | 141 |
| * | Ikanos Communications Inc. | 87,319 | 141 |
| * | Deltek Inc. | 16,820 | 140 |
| * | Lantronix Inc. | 30,640 | 124 |
| * | Unica Corp. | 12,600 | 121 |
| * | Identive Group Inc. | 75,132 | 120 |
| * | Intellicheck Mobilisa Inc. | 73,822 | 117 |
| * | Guidance Software Inc. | 21,860 | 114 |
| * | Zhone Technologies Inc. | 72,849 | 109 |
| * | Selectica Inc. | 16,789 | 92 |
| * | Authentidate Holding Corp. | 140,957 | 89 |
| * | Analysts International Corp. | 29,652 | 73 |
| * | Wireless Telecom Group Inc. | 98,580 | 71 |
| * | Vertro Inc. | 139,637 | 69 |
| * | Management Network Group Inc. | 25,353 | 68 |
| * | TechTarget Inc. | 10,245 | 55 |
| * | Dot Hill Systems Corp. | 42,636 | 51 |
| * | Henry Bros Electronics Inc. | 10,200 | 40 |
| * | Allen Organ Co. Escrow Shares | 11,462 | 34 |
| * | Superconductor Technologies Inc. | 13,993 | 34 |
| * | Digital Angel Corp. | 31,230 | 16 |
| * | Nextwave Wireless Inc. | 6,908 | 7 |
| * | Numerex Corp. Class A | 1,500 | 7 |
| * | Occam Networks Inc. | 700 | 4 |
| * | Veraz Networks Inc. | 3,828 | 3 |
| * | Information Services Group Inc. | 788 | 2 |
| | | | 22,705,690 |
| Materials (3.8%) | | |
| | EI du Pont de Nemours & Co. | 9,538,296 | 329,930 |
| | Newmont Mining Corp. | 5,097,534 | 314,722 |
49
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Dow Chemical Co. | 12,139,205 | 287,942 |
| | Freeport-McMoRan Copper & Gold Inc. | 4,543,874 | 268,679 |
| | Monsanto Co. | 5,758,563 | 266,161 |
| | Praxair Inc. | 3,232,717 | 245,654 |
| | Air Products & Chemicals Inc. | 2,238,952 | 145,106 |
| | Nucor Corp. | 3,323,408 | 127,220 |
| | Ecolab Inc. | 2,493,373 | 111,977 |
| | Alcoa Inc. | 10,767,114 | 108,317 |
| | PPG Industries Inc. | 1,750,360 | 105,739 |
| | International Paper Co. | 4,372,682 | 98,954 |
| | Weyerhaeuser Co. | 2,231,412 | 78,546 |
| | Sherwin-Williams Co. | 982,870 | 68,005 |
| | Cliffs Natural Resources Inc. | 1,427,067 | 67,300 |
| | Mosaic Co. | 1,644,248 | 64,093 |
| | Sigma-Aldrich Corp. | 1,285,172 | 64,040 |
| | Vulcan Materials Co. | 1,333,234 | 58,436 |
| | United States Steel Corp. | 1,512,995 | 58,326 |
| | Lubrizol Corp. | 721,783 | 57,966 |
| | Airgas Inc. | 829,859 | 51,617 |
| | Ball Corp. | 943,349 | 49,837 |
| * | Owens-Illinois Inc. | 1,779,368 | 47,064 |
| | CF Industries Holdings Inc. | 719,455 | 45,649 |
| * | Crown Holdings Inc. | 1,705,153 | 42,697 |
| | FMC Corp. | 728,315 | 41,827 |
| | Allegheny Technologies Inc. | 932,740 | 41,218 |
| | Eastman Chemical Co. | 765,294 | 40,836 |
| ^ | Martin Marietta Materials Inc. | 478,791 | 40,606 |
| | MeadWestvaco Corp. | 1,810,125 | 40,185 |
| * | Pactiv Corp. | 1,398,658 | 38,953 |
| | Celanese Corp. Class A | 1,540,379 | 38,371 |
| | Ashland Inc. | 783,831 | 36,385 |
| | International Flavors & Fragrances Inc. | 838,319 | 35,561 |
| | Albemarle Corp. | 867,558 | 34,451 |
| | Walter Energy Inc. | 566,105 | 34,447 |
| | Sealed Air Corp. | 1,678,050 | 33,091 |
| | Sonoco Products Co. | 1,059,889 | 32,305 |
| | Bemis Co. Inc. | 1,141,947 | 30,833 |
| | Valspar Corp. | 997,701 | 30,051 |
| | Nalco Holding Co. | 1,460,465 | 29,881 |
| | Steel Dynamics Inc. | 2,170,740 | 28,632 |
| | Aptargroup Inc. | 718,376 | 27,169 |
| | Reliance Steel & Aluminum Co. | 740,006 | 26,751 |
| | Royal Gold Inc. | 529,192 | 25,401 |
| | RPM International Inc. | 1,368,992 | 24,423 |
| | Compass Minerals International Inc. | 345,295 | 24,267 |
| | Packaging Corp. of America | 1,087,617 | 23,949 |
| | Domtar Corp. | 454,832 | 22,355 |
| | Temple-Inland Inc. | 1,079,785 | 22,319 |
| | Scotts Miracle-Gro Co. Class A | 492,801 | 21,885 |
| | Cytec Industries Inc. | 517,101 | 20,679 |
| | Rock-Tenn Co. Class A | 390,171 | 19,380 |
| | Huntsman Corp. | 2,008,751 | 17,416 |
| * | Solutia Inc. | 1,286,075 | 16,848 |
| * | Titanium Metals Corp. | 955,079 | 16,800 |
| | Silgan Holdings Inc. | 568,073 | 16,122 |
| * | WR Grace & Co. | 765,433 | 16,105 |
| | Commercial Metals Co. | 1,196,544 | 15,818 |
| | Cabot Corp. | 655,911 | 15,814 |
| | Carpenter Technology Corp. | 465,265 | 15,275 |
| | Olin Corp. | 832,371 | 15,058 |
| | Greif Inc. Class A | 260,946 | 14,493 |
| | AK Steel Holding Corp. | 1,162,489 | 13,857 |
| * | Coeur d'Alene Mines Corp. | 864,385 | 13,640 |
| | Sensient Technologies Corp. | 518,075 | 13,434 |
50
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Hecla Mining Co. | 2,567,404 | 13,402 |
| * | Allied Nevada Gold Corp. | 666,308 | 13,113 |
| * | Rockwood Holdings Inc. | 549,480 | 12,468 |
| | NewMarket Corp. | 137,032 | 11,966 |
| | Eagle Materials Inc. | 440,028 | 11,410 |
| | Worthington Industries Inc. | 816,828 | 10,504 |
| | HB Fuller Co. | 516,219 | 9,803 |
| | Minerals Technologies Inc. | 198,515 | 9,437 |
| | Schweitzer-Mauduit International Inc. | 185,805 | 9,374 |
| *,^ | Intrepid Potash Inc. | 475,479 | 9,305 |
| | Schnitzer Steel Industries Inc. | 236,618 | 9,275 |
| * | Louisiana-Pacific Corp. | 1,323,931 | 8,857 |
| * | PolyOne Corp. | 970,461 | 8,171 |
| * | Ferro Corp. | 1,091,673 | 8,046 |
| * | OM Group Inc. | 331,660 | 7,913 |
| | Texas Industries Inc. | 267,558 | 7,904 |
| * | RTI International Metals Inc. | 313,842 | 7,567 |
| * | Stillwater Mining Co. | 648,263 | 7,533 |
| * | Calgon Carbon Corp. | 567,922 | 7,519 |
| | Arch Chemicals Inc. | 242,708 | 7,461 |
| | Balchem Corp. | 288,787 | 7,220 |
| * | Omnova Solutions Inc. | 868,010 | 6,779 |
| | AMCOL International Corp. | 259,376 | 6,095 |
| | Kaiser Aluminum Corp. | 174,843 | 6,062 |
| | Stepan Co. | 86,591 | 5,925 |
| | Deltic Timber Corp. | 130,756 | 5,466 |
| | PH Glatfelter Co. | 501,516 | 5,441 |
| * | Century Aluminum Co. | 612,960 | 5,412 |
| * | Clearwater Paper Corp. | 98,668 | 5,403 |
| | A Schulman Inc. | 272,897 | 5,174 |
| | Innophos Holdings Inc. | 183,262 | 4,779 |
| * | US Gold Corp. | 943,133 | 4,725 |
| * | Georgia Gulf Corp. | 336,753 | 4,492 |
| * | Buckeye Technologies Inc. | 449,086 | 4,468 |
| | Koppers Holdings Inc. | 189,859 | 4,268 |
| * | Spartech Corp. | 398,106 | 4,081 |
| * | Brush Engineered Materials Inc. | 189,469 | 3,786 |
| | Zep Inc. | 215,199 | 3,753 |
| | Haynes International Inc. | 119,564 | 3,686 |
| * | Graphic Packaging Holding Co. | 1,158,803 | 3,650 |
| * | Horsehead Holding Corp. | 437,339 | 3,306 |
| * | Wausau Paper Corp. | 483,877 | 3,276 |
| | Olympic Steel Inc. | 141,686 | 3,255 |
| | Quaker Chemical Corp. | 118,362 | 3,206 |
| | Neenah Paper Inc. | 174,145 | 3,187 |
| | Westlake Chemical Corp. | 157,451 | 2,924 |
| ^ | Hawkins Inc. | 120,462 | 2,901 |
| * | KapStone Paper and Packaging Corp. | 250,547 | 2,791 |
| * | Boise Inc. | 503,746 | 2,766 |
| * | Kraton Performance Polymers Inc. | 137,768 | 2,589 |
| * | Zoltek Cos. Inc. | 302,561 | 2,563 |
| * | Innospec Inc. | 251,871 | 2,363 |
| | Myers Industries Inc. | 272,821 | 2,207 |
| * | AEP Industries Inc. | 78,834 | 1,883 |
| * | AM Castle & Co. | 133,714 | 1,857 |
| * | LSB Industries Inc. | 119,273 | 1,588 |
| * | US Energy Corp. Wyoming | 303,731 | 1,443 |
| * | Yongye International Inc. | 204,127 | 1,406 |
| | American Vanguard Corp. | 176,333 | 1,398 |
| * | ShengdaTech Inc. | 290,518 | 1,374 |
| * | General Moly Inc. | 420,852 | 1,296 |
| * | Headwaters Inc. | 441,607 | 1,254 |
| *,^ | Mercer International Inc. | 314,283 | 1,251 |
| * | Landec Corp. | 207,442 | 1,222 |
51
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | United States Lime & Minerals Inc. | 26,740 | 1,030 |
| *,^ | China Green Agriculture Inc. | 108,540 | 975 |
| * | Senomyx Inc. | 223,613 | 847 |
| * | Universal Stainless & Alloy | 52,656 | 842 |
| | Chase Corp. | 63,713 | 728 |
| *,^ | General Steel Holdings Inc. | 307,453 | 723 |
| * | Gulf Resources Inc. | 83,722 | 719 |
| * | Penford Corp. | 107,902 | 699 |
| * | American Pacific Corp. | 125,838 | 632 |
| *,^ | Ampal American Israel Class A | 328,363 | 512 |
| *,^ | China Direct Industries Inc. | 450,293 | 504 |
| * | Nanophase Technologies Corp. | 326,953 | 379 |
| *,^ | Altair Nanotechnologies Inc. | 1,024,234 | 328 |
| *,^ | Flotek Industries Inc. | 170,005 | 206 |
| * | Verso Paper Corp. | 64,795 | 150 |
| *,^ | China Precision Steel Inc. | 64,432 | 90 |
| * | Rock of Ages Corp. | 17,900 | 73 |
| * | Continental Materials Corp. | 3,500 | 41 |
| * | Solitario Exploration & Royalty Corp. | 9,600 | 21 |
| | | | 4,585,366 |
| Telecommunication Services (2.8%) | | |
| | AT&T Inc. | 62,284,985 | 1,506,674 |
| | Verizon Communications Inc. | 29,925,625 | 838,516 |
| * | American Tower Corp. Class A | 4,232,842 | 188,361 |
| * | Sprint Nextel Corp. | 31,050,757 | 131,655 |
| * | Crown Castle International Corp. | 3,090,987 | 115,170 |
| | CenturyLink Inc. | 3,139,817 | 104,587 |
| | Qwest Communications International Inc. | 16,432,979 | 86,273 |
| * | NII Holdings Inc. | 1,759,656 | 57,224 |
| | Windstream Corp. | 5,104,011 | 53,898 |
| * | SBA Communications Corp. Class A | 1,173,491 | 39,910 |
| * | tw telecom inc Class A | 1,506,478 | 25,128 |
| ^ | Frontier Communications Corp. | 3,302,496 | 23,481 |
| | Telephone & Data Systems Inc. | 718,019 | 21,821 |
| * | MetroPCS Communications Inc. | 2,616,800 | 21,432 |
| * | Level 3 Communications Inc. | 17,432,986 | 19,002 |
| * | NeuStar Inc. Class A | 789,726 | 16,284 |
| * | Syniverse Holdings Inc. | 736,358 | 15,058 |
| * | Leap Wireless International Inc. | 656,664 | 8,523 |
| | Telephone & Data Systems Inc. - Special Common Shares | 279,876 | 7,428 |
| * | United States Cellular Corp. | 179,990 | 7,407 |
| * | Cincinnati Bell Inc. | 2,388,898 | 7,191 |
| * | AboveNet Inc. | 147,454 | 6,957 |
| *,^ | Clearwire Corp. Class A | 870,865 | 6,340 |
| | NTELOS Holdings Corp. | 348,831 | 6,000 |
| | Shenandoah Telecommunications Co. | 250,666 | 4,447 |
| | Consolidated Communications Holdings Inc. | 260,141 | 4,425 |
| * | Neutral Tandem Inc. | 373,535 | 4,202 |
| * | PAETEC Holding Corp. | 1,141,538 | 3,893 |
| | Alaska Communications Systems Group Inc. | 435,776 | 3,700 |
| * | Premiere Global Services Inc. | 563,510 | 3,573 |
| | Atlantic Tele-Network Inc. | 84,847 | 3,504 |
| * | Vonage Holdings Corp. | 1,238,007 | 2,847 |
| * | Iridium Communications Inc. | 278,115 | 2,792 |
| * | General Communication Inc. Class A | 358,436 | 2,721 |
| * | Global Crossing Ltd. | 251,510 | 2,658 |
| * | Cbeyond Inc. | 212,401 | 2,655 |
| * | Cogent Communications Group Inc. | 342,863 | 2,599 |
| | USA Mobility Inc. | 199,797 | 2,581 |
| * | ICO Global Communications Holdings Ltd. | 1,435,390 | 2,311 |
| | HickoryTech Corp. | 275,449 | 1,859 |
| *,^ | Globalstar Inc. | 953,571 | 1,468 |
| | Warwick Valley Telephone Co. | 88,457 | 1,245 |
| * | 8x8 Inc. | 890,038 | 1,113 |
52
| | | |
| Vanguard® Total Stock Market Index Fund | | |
| Schedule of Investments | | |
| June 30, 2010 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | IDT Corp. Class B | 75,185 | 959 |
| * | Kratos Defense & Security Solutions Inc. | 89,288 | 938 |
| *,^ | FiberTower Corp. | 189,789 | 896 |
| * | SureWest Communications | 115,235 | 731 |
| * | Arbinet Corp. | 82,031 | 654 |
| *,^ | TerreStar Corp. | 889,716 | 440 |
| * | IDT Corp. | 21,611 | 215 |
| | | | 3,373,746 |
| Utilities (3.8%) | | |
| | Southern Co. | 8,657,522 | 288,122 |
| | Exelon Corp. | 6,963,932 | 264,421 |
| | Dominion Resources Inc. | 6,332,989 | 245,340 |
| | Duke Energy Corp. | 13,817,345 | 221,078 |
| | NextEra Energy Inc. | 4,147,442 | 202,229 |
| | Public Service Enterprise Group Inc. | 5,339,390 | 167,283 |
| | American Electric Power Co. Inc. | 5,044,994 | 162,953 |
| | PG&E Corp. | 3,918,799 | 161,063 |
| | Entergy Corp. | 1,996,624 | 142,998 |
| | Consolidated Edison Inc. | 2,969,199 | 127,972 |
| | PPL Corp. | 4,848,750 | 120,976 |
| | Progress Energy Inc. | 3,003,621 | 117,802 |
| | Sempra Energy | 2,476,396 | 115,871 |
| | FirstEnergy Corp. | 3,216,955 | 113,333 |
| | Edison International | 3,266,467 | 103,612 |
| | Xcel Energy Inc. | 4,835,144 | 99,652 |
| | Questar Corp. | 1,843,121 | 83,844 |
| | DTE Energy Co. | 1,748,008 | 79,727 |
| * | AES Corp. | 7,134,664 | 65,924 |
| | Constellation Energy Group Inc. | 2,015,141 | 64,988 |
| | Wisconsin Energy Corp. | 1,233,718 | 62,599 |
| | Ameren Corp. | 2,506,452 | 59,578 |
| * | NRG Energy Inc. | 2,763,864 | 58,622 |
| | CenterPoint Energy Inc. | 4,184,412 | 55,067 |
| | EQT Corp. | 1,442,094 | 52,117 |
| * | Calpine Corp. | 3,739,151 | 47,562 |
| | Northeast Utilities | 1,856,259 | 47,297 |
| | Oneok Inc. | 1,064,152 | 46,025 |
| | SCANA Corp. | 1,235,825 | 44,193 |
| | NiSource Inc. | 2,921,538 | 42,362 |
| | Pinnacle West Capital Corp. | 1,134,873 | 41,264 |
| | NSTAR | 1,128,394 | 39,494 |
| | American Water Works Co. Inc. | 1,845,147 | 38,010 |
| | OGE Energy Corp. | 1,025,798 | 37,503 |
| | Alliant Energy Corp. | 1,169,166 | 37,109 |
| | Allegheny Energy Inc. | 1,792,241 | 37,064 |
| | Pepco Holdings Inc. | 2,347,925 | 36,815 |
| | CMS Energy Corp. | 2,428,140 | 35,572 |
| | Integrys Energy Group Inc. | 808,878 | 35,380 |
| | MDU Resources Group Inc. | 1,884,106 | 33,970 |
| | National Fuel Gas Co. | 728,697 | 33,433 |
| | TECO Energy Inc. | 2,145,437 | 32,332 |
| | Energen Corp. | 722,669 | 32,036 |
| | DPL Inc. | 1,258,058 | 30,068 |
| | AGL Resources Inc. | 818,655 | 29,324 |
| | NV Energy Inc. | 2,481,282 | 29,304 |
| | UGI Corp. | 1,151,462 | 29,293 |
| | ITC Holdings Corp. | 530,077 | 28,046 |
| | Atmos Energy Corp. | 981,366 | 26,536 |
| | Aqua America Inc. | 1,442,879 | 25,510 |
| | Westar Energy Inc. | 1,169,827 | 25,280 |
| | Great Plains Energy Inc. | 1,431,147 | 24,358 |
| | Hawaiian Electric Industries Inc. | 978,355 | 22,287 |
| | Piedmont Natural Gas Co. Inc. | 777,144 | 19,662 |
| | Nicor Inc. | 478,905 | 19,396 |
53
| | | | | |
| Vanguard® Total Stock Market Index Fund | | | | |
| Schedule of Investments | | | | |
| June 30, 2010 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | Vectren Corp. | | | 816,491 | 19,318 |
| | WGL Holdings Inc. | | | 531,920 | 18,101 |
| | Cleco Corp. | | | 639,547 | 16,890 |
| | IDACORP Inc. | | | 506,418 | 16,849 |
| * | Mirant Corp. | | | 1,520,735 | 16,059 |
| | New Jersey Resources Corp. | | | 437,497 | 15,400 |
| | Portland General Electric Co. | | | 795,725 | 14,586 |
| * | RRI Energy Inc. | | | 3,731,996 | 14,144 |
| | Southwest Gas Corp. | | | 479,021 | 14,131 |
| | South Jersey Industries Inc. | | | 315,580 | 13,557 |
| | Northwest Natural Gas Co. | | | 280,901 | 12,239 |
| | Unisource Energy Corp. | | | 382,034 | 11,530 |
| | Allete Inc. | | | 336,581 | 11,525 |
| | Avista Corp. | | | 579,344 | 11,315 |
| | Black Hills Corp. | | | 391,094 | 11,134 |
| | PNM Resources Inc. | | | 923,343 | 10,323 |
| | NorthWestern Corp. | | | 380,371 | 9,966 |
| * | El Paso Electric Co. | | | 464,024 | 8,979 |
| | MGE Energy Inc. | | | 246,277 | 8,876 |
| | Laclede Group Inc. | | | 253,187 | 8,388 |
| | California Water Service Group | | | 218,458 | 7,799 |
| | UIL Holdings Corp. | | | 288,449 | 7,220 |
| | Ormat Technologies Inc. | | | 230,220 | 6,513 |
| | Empire District Electric Co. | | | 334,979 | 6,288 |
| | CH Energy Group Inc. | | | 153,765 | 6,034 |
| | American States Water Co. | | | 176,180 | 5,839 |
| * | Dynegy Inc. Class A | | | 1,022,233 | 3,936 |
| | Chesapeake Utilities Corp. | | | 123,303 | 3,872 |
| | SJW Corp. | | | 154,897 | 3,631 |
| | Middlesex Water Co. | | | 195,790 | 3,103 |
| | Connecticut Water Service Inc. | | | 135,408 | 2,846 |
| | Southwest Water Co. | | | 217,106 | 2,275 |
| | Central Vermont Public Service Corp. | | | 113,942 | 2,249 |
| | York Water Co. | | | 120,372 | 1,709 |
| | Consolidated Water Co. Ltd. | | | 146,169 | 1,663 |
| | Unitil Corp. | | | 71,553 | 1,496 |
| | Maine & Maritimes Corp. | | | 32,084 | 1,422 |
| * | Cadiz Inc. | | | 53,522 | 646 |
| | Artesian Resources Corp. Class A | | | 26,722 | 493 |
| | Pennichuck Corp. | | | 17,352 | 382 |
| *,^ | Raser Technologies Inc. | | | 582,141 | 341 |
| *,^ | China Natural Gas Inc. | | | 33,754 | 281 |
| * | Purecycle Corp. | | | 24,935 | 71 |
| * | Synthesis Energy Systems Inc. | | | 33,393 | 37 |
| | RGC Resources Inc. | | | 1,055 | 33 |
| | | | | | 4,577,145 |
| |
| Total Common Stocks (Cost $132,280,042) | | | | 120,991,708 |
| |
| |
| | | Coupon | | | |
| |
| Temporary Cash Investments (1.1%)1 | | | | |
| Money Market Fund (1.1%) | | | | |
| 2,3 | Vanguard Market Liquidity Fund | 0.286% | | 1,265,981,203 | 1,265,981 |
| |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 4,5 | Freddie Mac Discount Notes | 0.170% | 7/19/10 | 20,000 | 20,000 |
54
| | | | |
| Vanguard® Total Stock Market Index Fund | | | | |
| Schedule of Investments | | | | |
| June 30, 2010 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| 4,5 Freddie Mac Discount Notes | 0.235% | 8/16/10 | 10,000 | 9,998 |
| | | | | 29,998 |
| Total Temporary Cash Investments (Cost $1,295,976) | | | | 1,295,979 |
| Total Investments (100.8%) (Cost $133,576,018) | | | | 122,287,687 |
| Other Assets and Liabilities—Net (-0.8%) | | | | (977,863) |
| Net Assets (100%) | | | | 121,309,824 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $577,022,000.
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 0.8%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $647,700,000 of collateral received for securities on loan.
4 Securities with a value of $26,998,000 have been segregated as initial margin for open futures contracts.
5 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
REIT—Real Estate Investment Trust.
55
© 2010 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 852_082010
Item 2: Not Applicable.
Item 3: Not Applicable.
Item 4: Not Applicable.
Item 5: Not Applicable.
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.
(a) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| |
| | VANGUARD INDEX FUNDS |
| |
| By: | /s/ F. WILLIAM MCNABB III* |
| | F. WILLIAM MCNABB III |
| | CHIEF EXECUTIVE OFFICER |
| |
| Date: August 23, 2010 |
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: August 23, 2010 |
|
| | VANGUARD INDEX FUNDS |
| By: | /s/ THOMAS J. HIGGINS* |
| | THOMAS J. HIGGINS |
| | CHIEF FINANCIAL OFFICER |
| Date: August 23, 2010 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number 33-53683, is Incorporated by Reference.
