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, 2011 – June 30, 2011
Item 1: Reports to Shareholders
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Vanguard 500 Index Fund |
Semiannual Report |
June 30, 2011 |
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> Vanguard 500 Index Fund closely tracked the 6.02% return of the S&P 500 Index for the six months ended June 30, 2011.
> Despite a barrage of grim headlines, the stock market delivered solid gains, buoyed by strength in corporate earnings.
> Health care and energy stocks were among the bright spots. Financial stocks struggled.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 6 |
Performance Summary. | 8 |
Financial Statements. | 9 |
About Your Fund’s Expenses. | 26 |
Trustees Approve Advisory Arrangement. | 28 |
Glossary. | 29 |
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: Jean Maher.
Your Fund’s Total Returns
Six Months Ended June 30, 2011
Total | |
Returns | |
Vanguard 500 Index Fund | |
Investor Shares | 5.95% |
Admiral™ Shares | 6.01 |
Signal® Shares | 6.00 |
ETF Shares | |
Market Price | 5.95 |
Net Asset Value | 6.02 |
S&P 500 Index | 6.02 |
Large-Cap Core Funds Average | 5.25 |
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal 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.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Your Fund’s Performance at a Glance
December 31, 2010 , Through June 30, 2011
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard 500 Index Fund | ||||
Investor Shares | $115.82 | $121.65 | $1.041 | $0.000 |
Admiral Shares | 115.83 | 121.65 | 1.113 | 0.000 |
Signal Shares | 95.68 | 100.48 | 0.920 | 0.000 |
ETF Shares | 57.47 | 60.36 | 0.553 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
Stock prices scampered higher in the face of uncertainty about the strength of the global recovery. For the six months ended June 30, Vanguard 500 Index Fund followed the market’s gains and retreats, performing in line with the 6.02% return of the S&P 500 Index. The fund topped the average return of its peer group, large-capitalization core funds.
All but one of the fund’s ten sectors posted positive returns for the period. The double-digit returns delivered by health care and energy stocks were notable bright spots. Weakness in the information technology sector, the single largest component of the S&P 500 Index, and a decline in the financial sector held back the six-month returns.
For most stock markets, a ragged six-month gain
Like the U.S. market, global stock markets climbed unsteadily as investor attitudes swung from optimism about the strength of corporate earnings to fears that the slow, grinding recovery was losing momentum. Stock prices rallied through the first four months of 2011, pulled back as economic news turned gloomier, then bounced up again at the end of the period.
2
The broad U.S. stock market returned about 6% for the six months. International stock markets finished a few steps behind, restrained by sovereign-debt dramas in Europe and the economic aftershocks of the Japanese natural and nuclear disaster. Gains were modest in emerging markets, too, as big economies such as China and Brazil grappled with inflationary pressures.
Low yields, solid returns in the U.S. bond market
Bonds delivered solid six-month returns even as interest rates hovered near generational lows. Bond prices rallied in the spring as economic anxiety prompted a search for safer havens in fixed income. The broad taxable bond market returned almost 3%. The municipal market performed even better. Municipal securities were hammered early in the year as unsettling (and in our opinion, overstated) headlines raised doubts about their safety. Toward the end, investors’ worries began to recede and prices rose.
The yields on money market instruments remained nearly invisible, consistent with the Federal Reserve Board’s target for short-term interest rates, which since December 2008 has been anchored between 0% and 0.25%.
Strength in health care and energy carried the fund’s stocks higher
The 500 Index Fund produced a solid half-year return despite the anxiety and pronounced volatility triggered by unsettling events on the global stage. The market’s— and corporate America’s—resilience was
Market Barometer
Total Returns | |||
Periods Ended June 30, 2011 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 6.37% | 31.93% | 3.30% |
Russell 2000 Index (Small-caps) | 6.21 | 37.41 | 4.08 |
Dow Jones U.S. Total Stock Market Index | 6.01 | 32.26 | 3.66 |
MSCI All Country World Index ex USA (International) | 3.80 | 29.73 | 3.67 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.72% | 3.90% | 6.52% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 4.42 | 3.48 | 4.93 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.14 | 1.86 |
CPI | |||
Consumer Price Index | 2.99% | 3.56% | 2.15% |
3
notable. Nine of the S&P 500 Index’s ten sectors produced gains, and corporate earnings continued to rebound powerfully from their recessionary depths.
Health care stocks contributed the most to the fund’s performance, returning nearly 14% for the period and accounting for almost 1.5 percentage points of the overall gain. The sector’s rise was driven in part by strong returns for large pharmaceutical companies. Stocks of these firms returned to favor as investors grew more comfortable with how their managements are handling patent expirations of valuable products and a challenging regulatory environment. The energy sector was another highlight as integrated oil and gas companies benefited from the prospect that energy prices will stay high.
Financial stocks, which make up the second-largest sector in the index, declined overall during the period. Large diversified financial services firms saw a drop in revenues from trading and investments, while the big banks continued to wrestle with bad loans and other legacies of the deep recession.
Information technology stocks, the index’s largest sector, also lagged the broader market. The sector showed signs of strength in late 2010 as investors reacted to prospects for increased business spending and to consumers’ enthusiasm for new devices such as tablet computers. Some of that enthusiasm dissipated in the past six months, however, as the economic recovery appeared to stall while competition intensified among industry bellwethers.
Expense Ratios
Your Fund Compared With Its Peer Group
Investor | Admiral | Signal | ETF | Peer Group | |
Shares | Shares | Shares | Shares | Average | |
500 Index Fund | 0.17% | 0.06% | 0.06% | 0.06% | 1.26% |
The fund expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the fund’s annualized expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, and 0.05% for ETF Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2010.
Peer group: Large-Cap Core Funds.
4
Some age-old counsel for an unsettled era
Over the decades, our counsel to clients has remained consistent, even boring: Build a broadly diversified, low-cost portfolio that includes a mix of stock and bond funds and short-term investments consistent with your goals and circumstances. With its low costs and broad diversification, Vanguard 500 Index Fund, the world’s first index mutual fund for individual investors, can be an important component of such a plan.
Since the financial crisis, of course, a series of once-hard-to-imagine developments has reverberated through the global stock and bond markets. Is our simple, straightforward counsel still relevant? In a word, yes.
Impulsive portfolio changes can do damage to sensible long-term investment plans. A commitment to those plans, by contrast, has proven a reliable strategy for enhancing wealth. A recent Vanguard study of defined contribution plans found that, despite significant market shocks, participants, on average, had higher account balances in 2010 than in 2007, the eve of the financial crisis. The increase reflected the benefits of regular contributions, diversification, and the global stock markets’ rebound from crisis lows.
Thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/indexx7x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 14, 2011
5
500 Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | ||||
Investor | Admiral | Signal | ETF | |
Shares | Shares | Shares | Shares | |
Ticker Symbol | VFINX | VFIAX | VIFSX | VOO |
Expense Ratio1 | 0.17% | 0.06% | 0.06% | 0.06% |
30-Day SEC Yield | 1.84% | 1.96% | 1.96% | 1.96% |
Portfolio Characteristics | |||
DJ | |||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index | Index | |
Number of Stocks | 502 | 500 | 3,745 |
Median Market Cap | $50.1B | $50.1B | $30.8B |
Price/Earnings Ratio | 15.9x | 15.9x | 17.1x |
Price/Book Ratio | 2.2x | 2.2x | 2.2x |
Return on Equity | 20.3% | 20.3% | 19.1% |
Earnings Growth Rate | 5.6% | 5.6% | 5.8% |
Dividend Yield | 2.0% | 2.0% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 4% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P 500 | Market | |
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 | 3.3% | |
Apple Inc. | Computer | |
Hardware | 2.6 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.7 |
Chevron Corp. | Integrated Oil & | |
Gas | 1.7 | |
General Electric Co. | Industrial | |
Conglomerates | 1.7 | |
Microsoft Corp. | Systems Software | 1.6 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.5 | |
Johnson & Johnson | Pharmaceuticals | 1.5 |
Procter & Gamble Co. | Household | |
Products | 1.5 | |
Pfizer Inc. | Pharmaceuticals | 1.4 |
Top Ten | 18.5% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the fund’s annualized expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, and 0.05% for ETF Shares.
6
500 Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | ||||
Investor | Admiral | Signal | ETF | |
Shares | Shares | Shares | Shares | |
Ticker Symbol | VFINX | VFIAX | VIFSX | VOO |
Expense Ratio1 | 0.17% | 0.06% | 0.06% | 0.06% |
30-Day SEC Yield | 1.84% | 1.96% | 1.96% | 1.96% |
Portfolio Characteristics | |||
DJ | |||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index | Index | |
Number of Stocks | 502 | 500 | 3,745 |
Median Market Cap | $50.1B | $50.1B | $30.8B |
Price/Earnings Ratio | 15.9x | 15.9x | 17.1x |
Price/Book Ratio | 2.2x | 2.2x | 2.2x |
Return on Equity | 20.3% | 20.3% | 19.1% |
Earnings Growth Rate | 5.6% | 5.6% | 5.8% |
Dividend Yield | 2.0% | 2.0% | 1.8% |
Turnover Rate | |||
(Annualized) | 4% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P 500 | Market | |
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 | 3.3% | |
Apple Inc. | Computer | |
Hardware | 2.6 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.7 |
Chevron Corp. | Integrated Oil & | |
Gas | 1.7 | |
General Electric Co. | Industrial | |
Conglomerates | 1.7 | |
Microsoft Corp. | Systems Software | 1.6 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.5 | |
Johnson & Johnson | Pharmaceuticals | 1.5 |
Procter & Gamble Co. | Household | |
Products | 1.5 | |
Pfizer Inc. | Pharmaceuticals | 1.4 |
Top Ten | 18.5% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the fund’s annualized expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, and 0.05% for ETF Shares.
6
500 Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 10.6% | 10.6% | 12.2% |
Consumer Staples | 10.6 | 10.6 | 9.7 |
Energy | 12.7 | 12.7 | 11.2 |
Financials | 15.1 | 15.1 | 15.4 |
Health Care | 11.7 | 11.7 | 11.3 |
Industrials | 11.3 | 11.3 | 11.6 |
Information | |||
Technology | 17.8 | 17.8 | 18.4 |
Materials | 3.7 | 3.7 | 4.4 |
Telecommunication | |||
Services | 3.1 | 3.1 | 2.6 |
Utilities | 3.4 | 3.4 | 3.2 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/indexx10x1.jpg)
7
500 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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, 2000, Through June 30, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/indexx11x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 8/31/1976 | 30.51% | 2.86% | 2.62% |
Admiral Shares | 11/13/2000 | 30.66 | 2.96 | 2.71 |
Signal Shares | 9/29/2006 | 30.66 | — | 1.931 |
ETF Shares | 9/7/2010 | |||
Market Price | — | — | 22.861 | |
Net Asset Value | — | — | 22.871 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
8
500 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Consumer Discretionary (10.6%) | |||
McDonald’s Corp. | 9,312,180 | 785,203 | |
Walt Disney Co. | 16,963,935 | 662,272 | |
* | Amazon.com Inc. | 3,205,009 | 655,392 |
Comcast Corp. Class A | 23,521,589 | 596,037 | |
Home Depot Inc. | 14,290,203 | 517,591 | |
* | Ford Motor Co. | 34,088,184 | 470,076 |
News Corp. Class A | 20,508,846 | 363,007 | |
* | DIRECTV Class A | 6,890,672 | 350,184 |
Time Warner Inc. | 9,610,390 | 349,530 | |
NIKE Inc. Class B | 3,404,098 | 306,301 | |
Target Corp. | 6,184,814 | 290,130 | |
Lowe’s Cos. Inc. | 11,685,676 | 272,393 | |
Viacom Inc. Class B | 5,251,174 | 267,810 | |
Starbucks Corp. | 6,727,382 | 265,664 | |
Johnson Controls Inc. | 6,088,799 | 253,659 | |
Time Warner Cable Inc. | 3,019,071 | 235,608 | |
Yum! Brands Inc. | 4,178,262 | 230,807 | |
* | priceline.com Inc. | 445,558 | 228,095 |
TJX Cos. Inc. | 3,465,118 | 182,023 | |
CBS Corp. Class B | 6,001,961 | 170,996 | |
Coach Inc. | 2,634,846 | 168,446 | |
Carnival Corp. | 3,875,800 | 145,846 | |
* | Bed Bath & Beyond Inc. | 2,235,745 | 130,500 |
Kohl’s Corp. | 2,522,505 | 126,151 | |
Omnicom Group Inc. | 2,522,838 | 121,500 | |
McGraw-Hill Cos. Inc. | 2,734,416 | 114,599 | |
Macy’s Inc. | 3,829,844 | 111,985 | |
* | Netflix Inc. | 390,981 | 102,707 |
* | Discovery | ||
Communications Inc. | |||
Class A | 2,499,854 | 102,394 | |
Staples Inc. | 6,404,106 | 101,185 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 1,751,850 | 98,174 | |
Wynn Resorts Ltd. | 683,374 | 98,092 | |
Best Buy Co. Inc. | 2,897,210 | 91,001 |
Market | |||
Value | |||
Shares | ($000) | ||
Marriott International Inc. | |||
Class A | 2,549,393 | 90,478 | |
Tiffany & Co. | 1,146,858 | 90,051 | |
Fortune Brands Inc. | 1,384,360 | 88,281 | |
Limited Brands Inc. | 2,264,831 | 87,083 | |
Harley-Davidson Inc. | 2,121,596 | 86,922 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 279,442 | 86,121 | |
Mattel Inc. | 3,119,204 | 85,747 | |
VF Corp. | 785,852 | 85,312 | |
Ross Stores Inc. | 1,050,242 | 84,145 | |
* | O’Reilly Automotive Inc. | 1,238,008 | 81,102 |
Genuine Parts Co. | 1,412,283 | 76,828 | |
Polo Ralph Lauren Corp. | |||
Class A | 577,046 | 76,522 | |
Cablevision Systems Corp. | |||
Class A | 2,065,433 | 74,789 | |
Nordstrom Inc. | 1,505,675 | 70,676 | |
* | CarMax Inc. | 2,026,691 | 67,023 |
* | AutoZone Inc. | 226,848 | 66,886 |
JC Penney Co. Inc. | 1,913,187 | 66,082 | |
Gap Inc. | 3,506,857 | 63,474 | |
Darden Restaurants Inc. | 1,224,159 | 60,914 | |
Family Dollar Stores Inc. | 1,097,384 | 57,679 | |
Whirlpool Corp. | 683,953 | 55,619 | |
Interpublic Group of | |||
Cos. Inc. | 4,384,854 | 54,811 | |
Hasbro Inc. | 1,222,442 | 53,702 | |
Abercrombie & Fitch Co. | 786,655 | 52,643 | |
Expedia Inc. | 1,790,598 | 51,909 | |
Wyndham Worldwide | |||
Corp. | 1,525,198 | 51,323 | |
* | Apollo Group Inc. Class A | 1,092,704 | 47,729 |
International Game | |||
Technology | 2,690,913 | 47,306 | |
H&R Block Inc. | 2,737,056 | 43,902 | |
Newell Rubbermaid Inc. | 2,612,770 | 41,230 | |
Scripps Networks | |||
Interactive Inc. Class A | 814,532 | 39,814 |
9
500 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Goodyear Tire & | ||
Rubber Co. | 2,194,341 | 36,799 | |
* | GameStop Corp. Class A | 1,271,248 | 33,904 |
DeVry Inc. | 550,198 | 32,533 | |
Comcast Corp. Class A | |||
Special Shares | 1,304,720 | 31,613 | |
* | Urban Outfitters Inc. | 1,119,471 | 31,513 |
Leggett & Platt Inc. | 1,284,291 | 31,311 | |
Gannett Co. Inc. | 2,160,931 | 30,945 | |
DR Horton Inc. | 2,521,799 | 29,051 | |
Harman International | |||
Industries Inc. | 628,243 | 28,629 | |
*,^ | Sears Holdings Corp. | 387,107 | 27,655 |
Lennar Corp. Class A | 1,440,276 | 26,141 | |
* | Pulte Group Inc. | 3,014,679 | 23,092 |
* | Big Lots Inc. | 674,265 | 22,352 |
*,^ | AutoNation Inc. | 571,506 | 20,923 |
Washington Post Co. | |||
Class B | 46,327 | 19,409 | |
11,477,331 | |||
Consumer Staples (10.6%) | |||
Procter & Gamble Co. | 25,051,888 | 1,592,548 | |
Coca-Cola Co. | 20,546,046 | 1,382,543 | |
Philip Morris | |||
International Inc. | 15,961,119 | 1,065,724 | |
PepsiCo Inc. | 14,186,252 | 999,138 | |
Wal-Mart Stores Inc. | 17,141,284 | 910,888 | |
Kraft Foods Inc. | 15,776,728 | 555,814 | |
Altria Group Inc. | 18,787,840 | 496,187 | |
CVS Caremark Corp. | 12,169,344 | 457,324 | |
Colgate-Palmolive Co. | 4,387,687 | 383,528 | |
Walgreen Co. | 8,216,021 | 348,852 | |
Costco Wholesale Corp. | 3,920,671 | 318,515 | |
Kimberly-Clark Corp. | 3,525,930 | 234,686 | |
General Mills Inc. | 5,729,398 | 213,248 | |
Archer-Daniels-Midland Co. | 6,121,015 | 184,549 | |
Sysco Corp. | 5,236,369 | 163,270 | |
HJ Heinz Co. | 2,888,087 | 153,877 | |
Lorillard Inc. | 1,289,654 | 140,405 | |
Kroger Co. | 5,442,684 | 134,979 | |
Kellogg Co. | 2,246,966 | 124,302 | |
Mead Johnson | |||
Nutrition Co. | 1,833,773 | 123,871 | |
Reynolds American Inc. | 3,033,909 | 112,406 | |
Avon Products Inc. | 3,860,556 | 108,096 | |
Estee Lauder Cos. Inc. | |||
Class A | 1,023,769 | 107,690 | |
Sara Lee Corp. | 5,254,207 | 99,777 | |
ConAgra Foods Inc. | 3,671,827 | 94,770 | |
Coca-Cola Enterprises Inc. | 2,918,661 | 85,167 | |
Whole Foods Market Inc. | 1,341,159 | 85,097 | |
Dr Pepper Snapple | |||
Group Inc. | 1,987,791 | 83,348 | |
Clorox Co. | 1,196,502 | 80,692 | |
JM Smucker Co. | 1,040,764 | 79,556 |
Market | |||
Value | |||
Shares | ($000) | ||
Hershey Co. | 1,376,023 | 78,227 | |
Safeway Inc. | 3,177,596 | 74,260 | |
Brown-Forman Corp. | |||
Class B | 925,548 | 69,129 | |
Molson Coors Brewing | |||
Co. Class B | 1,425,917 | 63,795 | |
McCormick & Co. Inc. | 1,189,719 | 58,974 | |
Campbell Soup Co. | 1,637,822 | 56,587 | |
Tyson Foods Inc. Class A | 2,690,252 | 52,245 | |
Hormel Foods Corp. | 1,248,025 | 37,204 | |
* | Constellation Brands Inc. | ||
Class A | 1,608,240 | 33,484 | |
* | Dean Foods Co. | 1,642,970 | 20,159 |
SUPERVALU Inc. | 1,904,892 | 17,925 | |
11,482,836 | |||
Energy (12.6%) | |||
Exxon Mobil Corp. | 44,211,853 | 3,597,961 | |
Chevron Corp. | 18,042,120 | 1,855,452 | |
Schlumberger Ltd. | 12,178,447 | 1,052,218 | |
ConocoPhillips | 12,686,096 | 953,868 | |
Occidental Petroleum | |||
Corp. | 7,295,501 | 759,024 | |
Apache Corp. | 3,441,294 | 424,621 | |
Halliburton Co. | 8,212,053 | 418,815 | |
Anadarko Petroleum Corp. | 4,465,050 | 342,737 | |
Marathon Oil Corp. | 6,390,818 | 336,668 | |
Devon Energy Corp. | 3,796,297 | 299,186 | |
National Oilwell Varco Inc. | 3,796,916 | 296,957 | |
Baker Hughes Inc. | 3,900,685 | 283,034 | |
EOG Resources Inc. | 2,409,024 | 251,864 | |
Hess Corp. | 2,713,684 | 202,875 | |
Chesapeake Energy Corp. | 5,902,175 | 175,236 | |
Spectra Energy Corp. | 5,833,337 | 159,892 | |
Williams Cos. Inc. | 5,278,293 | 159,668 | |
Peabody Energy Corp. | 2,429,670 | 143,132 | |
Noble Energy Inc. | 1,583,635 | 141,941 | |
El Paso Corp. | 6,900,980 | 139,400 | |
* | Southwestern Energy Co. | 3,122,153 | 133,878 |
Valero Energy Corp. | 5,117,577 | 130,856 | |
Murphy Oil Corp. | 1,735,837 | 113,975 | |
* | Cameron International | ||
Corp. | 2,200,279 | 110,652 | |
Consol Energy Inc. | 2,035,208 | 98,667 | |
* | FMC Technologies Inc. | 2,158,096 | 96,661 |
Pioneer Natural | |||
Resources Co. | 1,048,468 | 93,911 | |
* | Alpha Natural | ||
Resources Inc. | 2,034,317 | 92,439 | |
Noble Corp. | 2,264,381 | 89,239 | |
* | Newfield Exploration Co. | 1,187,434 | 80,769 |
Range Resources Corp. | 1,442,500 | 80,059 | |
* | Denbury Resources Inc. | 3,564,919 | 71,298 |
EQT Corp. | 1,340,865 | 70,422 | |
QEP Resources Inc. | 1,586,102 | 66,347 | |
* | Nabors Industries Ltd. | 2,578,667 | 63,538 |
10
500 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Helmerich & Payne Inc. | 959,801 | 63,462 | |
Cabot Oil & Gas Corp. | 937,355 | 62,156 | |
Sunoco Inc. | 1,086,587 | 45,322 | |
* | Rowan Cos. Inc. | 1,143,621 | 44,384 |
Diamond Offshore | |||
Drilling Inc. | 623,660 | 43,912 | |
* | Tesoro Corp. | 1,292,205 | 29,604 |
13,676,100 | |||
Financials (15.1%) | |||
JPMorgan Chase & Co. | 35,663,832 | 1,460,077 | |
Wells Fargo & Co. | 47,469,668 | 1,331,999 | |
Citigroup Inc. | 26,212,676 | 1,091,496 | |
* | Berkshire Hathaway Inc. | ||
Class B | 14,009,483 | 1,084,194 | |
Bank of America Corp. | 90,943,036 | 996,736 | |
Goldman Sachs | |||
Group Inc. | 4,646,565 | 618,411 | |
American Express Co. | 9,386,531 | 485,284 | |
US Bancorp | 17,291,344 | 441,102 | |
MetLife Inc. | 9,486,674 | 416,180 | |
Morgan Stanley | 13,862,852 | 318,984 | |
Simon Property | |||
Group Inc. | 2,632,266 | 305,948 | |
Bank of New York | |||
Mellon Corp. | 11,144,061 | 285,511 | |
PNC Financial Services | |||
Group Inc. | 4,723,240 | 281,552 | |
Prudential Financial Inc. | 4,379,593 | 278,498 | |
Travelers Cos. Inc. | 3,759,217 | 219,463 | |
Capital One | |||
Financial Corp. | 4,120,286 | 212,895 | |
State Street Corp. | 4,523,472 | 203,963 | |
ACE Ltd. | 3,028,022 | 199,304 | |
Aflac Inc. | 4,197,362 | 195,933 | |
CME Group Inc. | 601,844 | 175,492 | |
Franklin Resources Inc. | 1,294,215 | 169,917 | |
BB&T Corp. | 6,250,345 | 167,759 | |
BlackRock Inc. | 862,605 | 165,456 | |
Chubb Corp. | 2,625,415 | 164,377 | |
Equity Residential | 2,644,276 | 158,657 | |
Marsh & McLennan | |||
Cos. Inc. | 4,915,683 | 153,320 | |
AON Corp. | 2,966,399 | 152,176 | |
Charles Schwab Corp. | 8,988,633 | 147,863 | |
ProLogis Inc. | 4,076,731 | 146,110 | |
Allstate Corp. | 4,693,209 | 143,284 | |
Public Storage | 1,255,616 | 143,153 | |
T Rowe Price Group Inc. | 2,330,993 | 140,652 | |
Boston Properties Inc. | 1,306,536 | 138,702 | |
Vornado Realty Trust | 1,471,548 | 137,119 | |
HCP Inc. | 3,643,768 | 133,690 | |
Discover Financial | |||
Services | 4,895,283 | 130,949 | |
Progressive Corp. | 5,866,483 | 125,425 | |
Ameriprise Financial Inc. | 2,174,296 | 125,413 |
Market | |||
Value | |||
Shares | ($000) | ||
SunTrust Banks Inc. | 4,818,191 | 124,309 | |
* | Berkshire Hathaway Inc. | ||
Class A | 1,019 | 118,311 | |
Loews Corp. | 2,788,318 | 117,360 | |
American International | |||
Group Inc. | 3,915,009 | 114,788 | |
Weyerhaeuser Co. | 4,833,282 | 105,656 | |
Hartford Financial | |||
Services Group Inc. | 3,995,905 | 105,372 | |
Fifth Third Bancorp | 8,244,708 | 105,120 | |
Host Hotels & | |||
Resorts Inc. | 6,157,751 | 104,374 | |
AvalonBay | |||
Communities Inc. | 784,060 | 100,673 | |
Northern Trust Corp. | 2,171,354 | 99,795 | |
M&T Bank Corp. | 1,126,879 | 99,109 | |
Invesco Ltd. | 4,149,401 | 97,096 | |
Principal Financial | |||
Group Inc. | 2,885,339 | 87,772 | |
Health Care REIT Inc. | 1,587,183 | 83,216 | |
* | IntercontinentalExchange | ||
Inc. | 660,217 | 82,336 | |
NYSE Euronext | 2,350,863 | 80,564 | |
Lincoln National Corp. | 2,814,818 | 80,194 | |
SLM Corp. | 4,736,097 | 79,614 | |
Ventas Inc. | 1,467,723 | 77,364 | |
KeyCorp | 8,532,253 | 71,074 | |
Unum Group | 2,762,031 | 70,377 | |
Regions Financial Corp. | 11,275,148 | 69,906 | |
Moody’s Corp. | 1,778,376 | 68,201 | |
Kimco Realty Corp. | 3,651,643 | 68,067 | |
* | CB Richard Ellis Group | ||
Inc. Class A | 2,619,191 | 65,768 | |
XL Group plc Class A | 2,776,462 | 61,027 | |
Leucadia National Corp. | 1,777,489 | 60,612 | |
Plum Creek Timber | |||
Co. Inc. | 1,453,062 | 58,907 | |
Comerica Inc. | 1,586,139 | 54,833 | |
Huntington Bancshares | |||
Inc. | 7,747,310 | 50,822 | |
People’s United Financial | |||
Inc. | 3,379,648 | 45,422 | |
* | Genworth Financial Inc. | ||
Class A | 4,401,731 | 45,250 | |
Torchmark Corp. | 682,422 | 43,771 | |
Legg Mason Inc. | 1,334,889 | 43,731 | |
Cincinnati Financial Corp. | 1,462,534 | 42,677 | |
Zions Bancorporation | 1,650,837 | 39,637 | |
Hudson City Bancorp Inc. | 4,722,823 | 38,680 | |
Marshall & Ilsley Corp. | 4,752,267 | 37,876 | |
* | NASDAQ OMX Group Inc. | 1,349,734 | 34,148 |
Assurant Inc. | 867,356 | 31,459 | |
* | E*Trade Financial Corp. | 2,256,500 | 31,140 |
Apartment Investment & | |||
Management Co. | 1,074,198 | 27,424 |
11
500 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
First Horizon National | |||
Corp. | 2,360,494 | 22,519 | |
^ | Federated Investors Inc. | ||
Class B | 836,832 | 19,950 | |
Janus Capital Group Inc. | 1,669,565 | 15,761 | |
16,329,106 | |||
Health Care (11.7%) | |||
Johnson & Johnson | 24,601,755 | 1,636,509 | |
Pfizer Inc. | 70,912,649 | 1,460,801 | |
Merck & Co. Inc. | 27,701,996 | 977,603 | |
Abbott Laboratories | 13,949,591 | 734,027 | |
UnitedHealth Group Inc. | 9,723,701 | 501,549 | |
* | Amgen Inc. | 8,344,190 | 486,883 |
Bristol-Myers Squibb Co. | 15,310,995 | 443,406 | |
Medtronic Inc. | 9,597,371 | 369,787 | |
Eli Lilly & Co. | 9,143,005 | 343,137 | |
Baxter International Inc. | 5,118,983 | 305,552 | |
* | Gilead Sciences Inc. | 7,063,588 | 292,503 |
WellPoint Inc. | 3,295,088 | 259,554 | |
* | Express Scripts Inc. | 4,751,607 | 256,492 |
* | Celgene Corp. | 4,153,425 | 250,535 |
Covidien plc | 4,448,956 | 236,818 | |
* | Biogen Idec Inc. | 2,168,533 | 231,860 |
Allergan Inc. | 2,735,274 | 227,712 | |
* | Thermo Fisher | ||
Scientific Inc. | 3,439,590 | 221,475 | |
* | Medco Health | ||
Solutions Inc. | 3,587,946 | 202,791 | |
McKesson Corp. | 2,262,648 | 189,271 | |
Stryker Corp. | 2,994,621 | 175,754 | |
Becton Dickinson and Co. | 1,963,135 | 169,163 | |
* | Agilent Technologies Inc. | 3,123,469 | 159,641 |
Aetna Inc. | 3,405,723 | 150,158 | |
Cardinal Health Inc. | 3,146,268 | 142,904 | |
St. Jude Medical Inc. | 2,951,142 | 140,710 | |
* | Intuitive Surgical Inc. | 352,579 | 131,198 |
CIGNA Corp. | 2,428,087 | 124,877 | |
Humana Inc. | 1,511,155 | 121,708 | |
* | Zimmer Holdings Inc. | 1,722,656 | 108,872 |
AmerisourceBergen Corp. | |||
Class A | 2,460,151 | 101,850 | |
* | Forest Laboratories Inc. | 2,567,972 | 101,024 |
* | Mylan Inc. | 3,944,387 | 97,308 |
* | Boston Scientific Corp. | 13,723,384 | 94,829 |
* | Edwards Lifesciences | ||
Corp. | 1,029,690 | 89,768 | |
* | Laboratory Corp. of | ||
America Holdings | 899,788 | 87,090 | |
* | Hospira Inc. | 1,506,569 | 85,362 |
CR Bard Inc. | 769,090 | 84,492 | |
* | Life Technologies Corp. | 1,605,282 | 83,587 |
Quest Diagnostics Inc. | 1,412,964 | 83,506 | |
* | Cerner Corp. | 1,298,902 | 79,376 |
* | Waters Corp. | 822,816 | 78,776 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Watson Pharmaceuticals | ||
Inc. | 1,135,669 | 78,055 | |
* | DaVita Inc. | 856,937 | 74,219 |
* | Varian Medical | ||
Systems Inc. | 1,051,600 | 73,633 | |
* | Cephalon Inc. | 690,167 | 55,144 |
* | CareFusion Corp. | 2,004,893 | 54,473 |
* | Coventry Health Care Inc. | 1,329,985 | 48,505 |
DENTSPLY | |||
International Inc. | 1,263,180 | 48,102 | |
Patterson Cos. Inc. | 861,404 | 28,332 | |
* | Tenet Healthcare Corp. | 4,399,911 | 27,455 |
PerkinElmer Inc. | 1,013,397 | 27,271 | |
12,635,407 | |||
Industrials (11.2%) | |||
General Electric Co. | 95,184,062 | 1,795,171 | |
United Technologies Corp. | 8,214,326 | 727,050 | |
United Parcel Service Inc. | |||
Class B | 8,851,189 | 645,517 | |
Caterpillar Inc. | 5,783,838 | 615,747 | |
3M Co. | 6,377,291 | 604,886 | |
Boeing Co. | 6,625,917 | 489,854 | |
Union Pacific Corp. | 4,402,357 | 459,606 | |
Honeywell | |||
International Inc. | 7,063,192 | 420,896 | |
Emerson Electric Co. | 6,746,106 | 379,468 | |
Deere & Co. | 3,766,738 | 310,568 | |
FedEx Corp. | 2,832,898 | 268,700 | |
CSX Corp. | 9,896,960 | 259,498 | |
Danaher Corp. | 4,886,875 | 258,956 | |
Illinois Tool Works Inc. | 4,487,702 | 253,510 | |
General Dynamics Corp. | 3,338,550 | 248,789 | |
Norfolk Southern Corp. | 3,170,002 | 237,528 | |
Precision Castparts Corp. | 1,291,211 | 212,598 | |
Tyco International Ltd. | 4,208,509 | 208,027 | |
Lockheed Martin Corp. | 2,555,833 | 206,946 | |
Cummins Inc. | 1,761,126 | 182,259 | |
Northrop Grumman Corp. | 2,627,007 | 182,183 | |
PACCAR Inc. | 3,279,827 | 167,566 | |
Raytheon Co. | 3,196,482 | 159,345 | |
Waste Management Inc. | 4,255,668 | 158,609 | |
Eaton Corp. | 3,062,029 | 157,541 | |
Ingersoll-Rand plc | 2,972,861 | 134,998 | |
Parker Hannifin Corp. | 1,455,403 | 130,608 | |
CH Robinson | |||
Worldwide Inc. | 1,462,545 | 115,307 | |
Dover Corp. | 1,674,328 | 113,519 | |
Rockwell Automation Inc. | 1,295,814 | 112,425 | |
Stanley Black & | |||
Decker Inc. | 1,508,615 | 108,696 | |
Goodrich Corp. | 1,121,270 | 107,081 | |
Fluor Corp. | 1,564,981 | 101,192 | |
Expeditors International | |||
of Washington Inc. | 1,907,047 | 97,622 | |
ITT Corp. | 1,653,223 | 97,424 |
12
500 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Fastenal Co. | 2,647,809 | 95,295 | |
Joy Global Inc. | 943,247 | 89,835 | |
Rockwell Collins Inc. | 1,383,368 | 85,340 | |
Republic Services Inc. | |||
Class A | 2,724,418 | 84,048 | |
L-3 Communications | |||
Holdings Inc. | 952,939 | 83,335 | |
Southwest Airlines Co. | 7,109,207 | 81,187 | |
WW Grainger Inc. | 522,569 | 80,293 | |
Roper Industries Inc. | 860,519 | 71,681 | |
* | Stericycle Inc. | 770,300 | 68,649 |
Iron Mountain Inc. | 1,800,824 | 61,390 | |
Pall Corp. | 1,041,925 | 58,587 | |
Textron Inc. | 2,478,070 | 58,507 | |
Flowserve Corp. | 500,898 | 55,044 | |
* | Jacobs Engineering | ||
Group Inc. | 1,137,838 | 49,212 | |
Pitney Bowes Inc. | 1,829,091 | 42,051 | |
* | Quanta Services Inc. | 1,942,084 | 39,230 |
Masco Corp. | 3,210,355 | 38,621 | |
Equifax Inc. | 1,106,141 | 38,405 | |
Cintas Corp. | 1,133,195 | 37,429 | |
Avery Dennison Corp. | 949,566 | 36,682 | |
Robert Half | |||
International Inc. | 1,319,751 | 35,673 | |
Dun & Bradstreet Corp. | 444,008 | 33,540 | |
RR Donnelley & Sons Co. | 1,685,771 | 33,058 | |
Snap-On Inc. | 523,115 | 32,684 | |
Ryder System Inc. | 459,692 | 26,133 | |
12,145,599 | |||
Information Technology (17.8%) | |||
* | Apple Inc. | 8,299,714 | 2,785,965 |
International Business | |||
Machines Corp. | 10,870,524 | 1,864,838 | |
Microsoft Corp. | 66,602,071 | 1,731,654 | |
Oracle Corp. | 34,971,867 | 1,150,924 | |
* | Google Inc. Class A | 2,255,921 | 1,142,353 |
Intel Corp. | 47,585,349 | 1,054,491 | |
Qualcomm Inc. | 14,983,980 | 850,940 | |
Cisco Systems Inc. | 49,363,839 | 770,570 | |
Hewlett-Packard Co. | 18,615,313 | 677,597 | |
* | EMC Corp. | 18,466,380 | 508,749 |
Visa Inc. Class A | 4,298,737 | 362,212 | |
Texas Instruments Inc. | 10,421,219 | 342,129 | |
* | eBay Inc. | 10,250,461 | 330,782 |
Corning Inc. | 14,089,369 | 255,722 | |
Mastercard Inc. Class A | 845,031 | 254,642 | |
* | Dell Inc. | 14,734,961 | 245,632 |
Automatic Data | |||
Processing Inc. | 4,484,669 | 236,252 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 2,730,495 | 200,255 | |
* | Yahoo! Inc. | 11,693,238 | 175,866 |
* | NetApp Inc. | 3,301,458 | 174,251 |
Market | |||
Value | |||
Shares | ($000) | ||
Applied Materials Inc. | 11,830,532 | 153,915 | |
* | Juniper Networks Inc. | 4,783,900 | 150,693 |
Broadcom Corp. Class A | 4,281,901 | 144,043 | |
* | Adobe Systems Inc. | 4,527,119 | 142,378 |
* | Motorola Solutions Inc. | 3,047,061 | 140,287 |
* | Citrix Systems Inc. | 1,687,076 | 134,966 |
Altera Corp. | 2,891,707 | 134,031 | |
* | Symantec Corp. | 6,780,397 | 133,709 |
Xerox Corp. | 12,574,635 | 130,902 | |
* | Intuit Inc. | 2,455,321 | 127,333 |
Western Union Co. | 5,674,009 | 113,650 | |
Analog Devices Inc. | 2,688,947 | 105,245 | |
* | Teradata Corp. | 1,515,739 | 91,247 |
Paychex Inc. | 2,891,911 | 88,840 | |
* | SanDisk Corp. | 2,140,502 | 88,831 |
Xilinx Inc. | 2,385,278 | 86,991 | |
* | BMC Software Inc. | 1,588,155 | 86,872 |
* | NVIDIA Corp. | 5,390,533 | 85,898 |
Amphenol Corp. Class A | 1,581,814 | 85,402 | |
* | Fiserv Inc. | 1,288,658 | 80,709 |
* | F5 Networks Inc. | 728,321 | 80,297 |
* | Autodesk Inc. | 2,073,906 | 80,053 |
* | Red Hat Inc. | 1,733,303 | 79,559 |
CA Inc. | 3,408,518 | 77,851 | |
* | Western Digital Corp. | 2,086,910 | 75,922 |
Fidelity National | |||
Information Services Inc. | 2,416,391 | 74,401 | |
* | Electronic Arts Inc. | 2,983,240 | 70,404 |
Linear Technology Corp. | 2,043,531 | 67,477 | |
Microchip Technology Inc. | 1,709,245 | 64,797 | |
*,^ | First Solar Inc. | 487,078 | 64,426 |
KLA-Tencor Corp. | 1,506,592 | 60,987 | |
* | Motorola Mobility | ||
Holdings Inc. | 2,647,027 | 58,340 | |
* | Micron Technology Inc. | 7,728,667 | 57,810 |
National Semiconductor | |||
Corp. | 2,163,810 | 53,251 | |
Computer Sciences Corp. | 1,391,616 | 52,826 | |
* | Akamai Technologies Inc. | 1,676,382 | 52,756 |
Harris Corp. | 1,141,319 | 51,428 | |
VeriSign Inc. | 1,511,697 | 50,581 | |
FLIR Systems Inc. | 1,432,745 | 48,298 | |
* | SAIC Inc. | 2,503,615 | 42,111 |
* | LSI Corp. | 5,443,279 | 38,756 |
* | Advanced Micro | ||
Devices Inc. | 5,190,714 | 36,283 | |
Jabil Circuit Inc. | 1,767,614 | 35,706 | |
* | JDS Uniphase Corp. | 2,040,027 | 33,987 |
Molex Inc. | 1,245,667 | 32,101 | |
* | Novellus Systems Inc. | 802,651 | 29,008 |
Total System Services Inc. | 1,451,733 | 26,973 | |
* | Teradyne Inc. | 1,663,417 | 24,619 |
* | Lexmark International Inc. | ||
Class A | 712,112 | 20,836 | |
* | Compuware Corp. | 1,963,417 | 19,163 |
13
500 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | MEMC Electronic | ||
Materials Inc. | 2,068,293 | 17,643 | |
* | Monster Worldwide Inc. | 1,160,639 | 17,015 |
Tellabs Inc. | 3,249,132 | 14,979 | |
Molex Inc. Class A | 4,051 | 87 | |
19,193,611 | |||
Materials (3.7%) | |||
EI du Pont de | |||
Nemours & Co. | 8,334,914 | 450,502 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 8,501,956 | 449,754 | |
Dow Chemical Co. | 10,550,618 | 379,822 | |
Monsanto Co. | 4,810,254 | 348,936 | |
Praxair Inc. | 2,728,882 | 295,784 | |
Newmont Mining Corp. | 4,430,682 | 239,124 | |
Air Products & | |||
Chemicals Inc. | 1,901,625 | 181,757 | |
Alcoa Inc. | 9,546,184 | 151,403 | |
PPG Industries Inc. | 1,419,243 | 128,853 | |
Cliffs Natural | |||
Resources Inc. | 1,298,046 | 120,004 | |
Ecolab Inc. | 2,081,959 | 117,381 | |
International Paper Co. | 3,923,983 | 117,013 | |
Nucor Corp. | 2,836,399 | 116,916 | |
CF Industries Holdings Inc. | 641,861 | 90,932 | |
Sigma-Aldrich Corp. | 1,093,713 | 80,257 | |
Sherwin-Williams Co. | 792,896 | 66,500 | |
Eastman Chemical Co. | 637,452 | 65,065 | |
Allegheny | |||
Technologies Inc. | 952,254 | 60,440 | |
United States Steel Corp. | 1,289,986 | 59,391 | |
Ball Corp. | 1,507,128 | 57,964 | |
FMC Corp. | 643,703 | 55,371 | |
MeadWestvaco Corp. | 1,522,591 | 50,718 | |
International Flavors & | |||
Fragrances Inc. | 721,257 | 46,334 | |
Vulcan Materials Co. | 1,158,433 | 44,634 | |
Airgas Inc. | 626,841 | 43,904 | |
* | Owens-Illinois Inc. | 1,474,090 | 38,046 |
Sealed Air Corp. | 1,439,478 | 34,245 | |
Bemis Co. Inc. | 946,649 | 31,978 | |
AK Steel Holding Corp. | 986,895 | 15,553 | |
Titanium Metals Corp. | 808,485 | 14,811 | |
3,953,392 | |||
Telecommunication Services (3.1%) | |||
AT&T Inc. | 53,150,002 | 1,669,442 | |
Verizon Communications | |||
Inc. | 25,390,873 | 945,302 | |
CenturyLink Inc. | 5,389,663 | 217,904 | |
* | American Tower Corp. | ||
Class A | 3,559,546 | 186,271 | |
* | Sprint Nextel Corp. | 26,848,577 | 144,714 |
Frontier Communications | |||
Corp. | 8,930,818 | 72,072 |
Market | |||
Value | |||
Shares | ($000) | ||
Windstream Corp. | 4,576,193 | 59,307 | |
* | MetroPCS | ||
Communications Inc. | 2,382,066 | 40,995 | |
3,336,007 | |||
Utilities (3.4%) | |||
Southern Co. | 7,620,631 | 307,721 | |
Exelon Corp. | 5,944,677 | 254,670 | |
Dominion Resources Inc. | 5,167,553 | 249,438 | |
Duke Energy Corp. | 11,948,208 | 224,985 | |
NextEra Energy Inc. | 3,786,858 | 217,593 | |
FirstEnergy Corp. | 3,753,243 | 165,706 | |
American Electric | |||
Power Co. Inc. | 4,323,754 | 162,919 | |
PG&E Corp. | 3,571,371 | 150,105 | |
Public Service Enterprise | |||
Group Inc. | 4,540,127 | 148,190 | |
PPL Corp. | 5,179,516 | 144,146 | |
Consolidated Edison Inc. | 2,625,614 | 139,788 | |
Progress Energy Inc. | 2,643,126 | 126,897 | |
Sempra Energy | 2,148,824 | 113,630 | |
Edison International | 2,923,836 | 113,299 | |
Entergy Corp. | 1,597,063 | 109,047 | |
Xcel Energy Inc. | 4,345,034 | 105,584 | |
DTE Energy Co. | 1,520,627 | 76,062 | |
* | AES Corp. | 5,894,690 | 75,098 |
CenterPoint Energy Inc. | 3,817,452 | 73,868 | |
Oneok Inc. | 961,839 | 71,186 | |
Constellation Energy | |||
Group Inc. | 1,800,973 | 68,365 | |
Wisconsin Energy Corp. | 2,097,524 | 65,757 | |
Ameren Corp. | 2,163,880 | 62,406 | |
Northeast Utilities | 1,586,247 | 55,788 | |
* | NRG Energy Inc. | 2,163,280 | 53,173 |
NiSource Inc. | 2,508,667 | 50,801 | |
CMS Energy Corp. | 2,264,247 | 44,583 | |
Pinnacle West Capital | |||
Corp. | 978,181 | 43,607 | |
SCANA Corp. | 1,025,513 | 40,374 | |
Pepco Holdings Inc. | 2,025,744 | 39,765 | |
TECO Energy Inc. | 1,927,338 | 36,407 | |
Integrys Energy Group Inc. | 699,357 | 36,255 | |
Nicor Inc. | 408,682 | 22,371 | |
3,649,584 | |||
Total Common Stocks | |||
(Cost $75,501,259) | 107,878,973 | ||
Temporary Cash Investments (0.4%)1 | |||
Money Market Fund (0.3%) | |||
2 | Vanguard Market | ||
Liquidity Fund, | |||
0.140% | 331,912,000 | 331,912 |
14
500 Index Fund | |||
Face | Market | ||
Amount | Value | ||
($000) | ($000) | ||
U.S. Government and Agency Obligations (0.1%) | |||
3,4 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.080%, 8/24/11 | 2,000 | 2,000 | |
3,4 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.070%, 9/16/11 | 6,000 | 5,999 | |
4 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.050%, 9/23/11 | 10,000 | 9,997 | |
3,4 | Freddie Mac | ||
Discount Notes, | |||
0.095%, 9/27/11 | 10,500 | 10,497 | |
28,493 | |||
Total Temporary Cash Investments | |||
(Cost $360,408) | 360,405 | ||
Total Investments (100.2%) | |||
(Cost $75,861,667) | 108,239,378 | ||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | 244,142 | ||
Liabilities5 | (421,000) | ||
(176,858) | |||
Net Assets (100%) | 108,062,520 |
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 78,363,574 |
Overdistributed Net Investment Income | (111,279) |
Accumulated Net Realized Losses | (2,573,447) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 32,377,711 |
Futures Contracts | 5,961 |
Net Assets | 108,062,520 |
Investor Shares—Net Assets | |
Applicable to 250,411,263 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 30,461,649 |
Net Asset Value Per Share— | |
Investor Shares | $121.65 |
Admiral Shares—Net Assets | |
Applicable to 445,434,463 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 54,186,110 |
Net Asset Value Per Share— | |
Admiral Shares | $121.65 |
Signal Shares—Net Assets | |
Applicable to 219,667,111 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 22,073,153 |
Net Asset Value Per Share— | |
Signal Shares | $100.48 |
ETF Shares—Net Assets | |
Applicable to 22,225,951 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,341,608 |
Net Asset Value Per Share— | |
ETF Shares | $60.36 |
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 $112,745,000.
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 Securities with a value of $13,297,000 have been segregated as initial margin for open futures contracts.
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 Includes $114,089,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
15
500 Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,043,746 |
Interest1 | 350 |
Security Lending | 4,916 |
Total Income | 1,049,012 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 4,113 |
Management and Administrative—Investor Shares | 20,733 |
Management and Administrative—Admiral Shares | 7,724 |
Management and Administrative—Signal Shares | 2,045 |
Management and Administrative—ETF Shares | 138 |
Marketing and Distribution—Investor Shares | 4,815 |
Marketing and Distribution—Admiral Shares | 4,276 |
Marketing and Distribution—Signal Shares | 2,668 |
Marketing and Distribution—ETF Shares | 82 |
Custodian Fees | 659 |
Shareholders’ Reports—Investor Shares | 134 |
Shareholders’ Reports—Admiral Shares | 258 |
Shareholders’ Reports—Signal Shares | 53 |
Shareholders’ Reports—ETF Shares | — |
Trustees’ Fees and Expenses | 59 |
Total Expenses | 47,757 |
Net Investment Income | 1,001,255 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 649,175 |
Futures Contracts | 18,472 |
Realized Net Gain (Loss) | 667,647 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 4,472,075 |
Futures Contracts | 2,971 |
Change in Unrealized Appreciation (Depreciation) | 4,475,046 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,143,948 |
1 Interest income from an affiliated company of the fund was $311,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
500 Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,001,255 | 1,886,227 |
Realized Net Gain (Loss) | 667,647 | 1,296,258 |
Change in Unrealized Appreciation (Depreciation) | 4,475,046 | 10,286,138 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,143,948 | 13,468,623 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (270,801) | (821,569) |
Admiral Shares | (494,795) | (666,060) |
Signal Shares | (196,926) | (332,468) |
ETF Shares | (11,168) | (1,184) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
ETF Shares | — | — |
Total Distributions | (973,690) | (1,821,281) |
Capital Share Transactions | ||
Investor Shares | (3,031,915) | (21,636,466) |
Admiral Shares | 150,068 | 18,712,213 |
Signal Shares | 2,138,516 | 325,876 |
ETF Shares | 1,055,177 | 248,592 |
Net Increase (Decrease) from Capital Share Transactions | 311,846 | (2,349,785) |
Total Increase (Decrease) | 5,482,104 | 9,297,557 |
Net Assets | ||
Beginning of Period | 102,580,416 | 93,282,859 |
End of Period1 | 108,062,520 | 102,580,416 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($111,279,000) and ($138,844,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
17
500 Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $115.82 | $102.67 | $83.09 | $135.15 | $130.59 | $114.92 |
Investment Operations | ||||||
Net Investment Income | 1.074 | 2.020 | 2.131 | 2.443 | 2.470 | 2.110 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.797 | 13.096 | 19.553 | (51.998) | 4.580 | 15.700 |
Total from Investment Operations | 6.871 | 15.116 | 21.684 | (49.555) | 7.050 | 17.810 |
Distributions | ||||||
Dividends from Net Investment Income | (1.041) | (1.966) | (2.104) | (2.505) | (2.490) | (2.140) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.041) | (1.966) | (2.104) | (2.505) | (2.490) | (2.140) |
Net Asset Value, End of Period | $121.65 | $115.82 | $102.67 | $83.09 | $135.15 | $130.59 |
Total Return1 | 5.95% | 14.91% | 26.49% | -37.02% | 5.39% | 15.64% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $30,462 | $31,904 | $48,313 | $38,778 | $63,327 | $72,013 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.17% | 0.17% | 0.18% | 0.16% | 0.15% | 0.18% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.79% | 1.94% | 2.42% | 2.16% | 1.81% | 1.74% |
Portfolio Turnover Rate2 | 4% | 5% | 12% | 6% | 5% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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
500 Index Fund
Financial Highlights
Admiral Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $115.83 | $102.67 | $83.09 | $135.15 | $130.59 | $114.92 |
Investment Operations | ||||||
Net Investment Income | 1.144 | 2.152 | 2.227 | 2.534 | 2.583 | 2.222 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.789 | 13.092 | 19.556 | (52.000) | 4.576 | 15.700 |
Total from Investment Operations | 6.933 | 15.244 | 21.783 | (49.466) | 7.159 | 17.922 |
Distributions | ||||||
Dividends from Net Investment Income | (1.113) | (2.084) | (2.203) | (2.594) | (2.599) | (2.252) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.113) | (2.084) | (2.203) | (2.594) | (2.599) | (2.252) |
Net Asset Value, End of Period | $121.65 | $115.83 | $102.67 | $83.09 | $135.15 | $130.59 |
Total Return | 6.01% | 15.05% | 26.62% | -36.97% | 5.47% | 15.75% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $54,186 | $51,438 | $28,380 | $23,009 | $37,113 | $46,467 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.06% | 0.07% | 0.08% | 0.07% | 0.09% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.91% | 2.05% | 2.53% | 2.24% | 1.89% | 1.83% |
Portfolio Turnover Rate1 | 4% | 5% | 12% | 6% | 5% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
500 Index Fund
Financial Highlights
Signal Shares
Six Months | Sept. 29, | |||||
Ended | 20061 to | |||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | |||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $95.68 | $84.81 | $68.64 | $111.64 | $107.86 | $101.61 |
Investment Operations | ||||||
Net Investment Income | .946 | 1.780 | 1.839 | 2.092 | 2.119 | .502 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.774 | 10.813 | 16.151 | (42.952) | 3.794 | 6.287 |
Total from Investment Operations | 5.720 | 12.593 | 17.990 | (40.860) | 5.913 | 6.789 |
Distributions | ||||||
Dividends from Net Investment Income | (.920) | (1.723) | (1.820) | (2.140) | (2.133) | (.539) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.920) | (1.723) | (1.820) | (2.140) | (2.133) | (.539) |
Net Asset Value, End of Period | $100.48 | $95.68 | $84.81 | $68.64 | $111.64 | $107.86 |
Total Return | 6.00% | 15.05% | 26.61% | -36.97% | 5.47% | 6.68% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $22,073 | $18,977 | $16,590 | $13,099 | $21,433 | $713 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.06% | 0.07% | 0.08% | 0.07% | 0.09%2 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.91% | 2.05% | 2.53% | 2.24% | 1.89% | 1.83%2 |
Portfolio Turnover Rate3 | 4% | 5% | 12% | 6% | 5% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
20
500 Index Fund
Financial Highlights
ETF Shares
Six Months | Sept. 7, | |
Ended | 20101 to | |
June 30, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2011 | 2010 |
Net Asset Value, Beginning of Period | $57.47 | $50.08 |
Investment Operations | ||
Net Investment Income | .563 | .363 |
Net Realized and Unrealized Gain (Loss) | ||
on Investments | 2.880 | 7.569 |
Total from Investment Operations | 3.443 | 7.932 |
Distributions | ||
Dividends from Net Investment Income | (.553) | (.542) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.553) | (.542) |
Net Asset Value, End of Period | $60.36 | $57.47 |
Total Return | 6.02% | 15.89% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $1,342 | $261 |
Ratio of Total Expenses to | ||
Average Net Assets | 0.05% | 0.06%2 |
Ratio of Net Investment Income to | ||
Average Net Assets | 1.91% | 2.05%2 |
Portfolio Turnover Rate3 | 4% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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
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 four classes of shares: Investor Shares, Admiral Shares, Signal Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares and Signal Shares are designed for 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 the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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
500 Index Fund
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $17,419,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 6.97% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2011, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 107,878,973 | — | — |
Temporary Cash Investments | 331,912 | 28,493 | — |
Futures Contracts—Assets1 | 1,840 | — | — |
Total | 108,212,725 | 28,493 | — |
1 Represents variation margin on the last day of the reporting period. |
23
500 Index Fund
D. At June 30, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
S&P 500 Index | June 2011 | 547 | 179,895 | 4,668 |
E-mini S&P 500 Index | June 2011 | 550 | 36,176 | 1,293 |
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, 2011, the fund realized $717,930,000 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, 2010, the fund had available capital loss carryforwards totaling $2,057,911,000 to offset future net capital gains of $293,941,000 through December 31, 2014, and $1,763,970,000 through December 31, 2016. In addition, the fund realized losses of $317,773,000 during the period from November 1, 2010, through December 31,2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $75,861,667,000. Net unrealized appreciation of investment securities for tax purposes was $32,377,711,000, consisting of unrealized gains of $41,412,119,000 on securities that had risen in value since their purchase and $9,034,408,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2011, the fund purchased $3,534,653,000 of investment securities and sold $3,087,965,000 of investment securities, other than temporary cash investments.
24
500 Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 2,564,193 | 21,242 | 6,152,449 | 58,515 |
Issued in Lieu of Cash Distributions | 262,775 | 2,201 | 796,796 | 7,579 |
Redeemed | (5,858,883) | (48,491) | (28,585,711) | (261,206) |
Net Increase (Decrease)—Investor Shares | (3,031,915) | (25,048) | (21,636,466) | (195,112) |
Admiral Shares | ||||
Issued | 2,503,977 | 20,762 | 21,802,511 | 197,021 |
Issued in Lieu of Cash Distributions | 450,999 | 3,779 | 591,430 | 5,509 |
Redeemed | (2,804,908) | (23,201) | (3,681,728) | (34,849) |
Net Increase (Decrease)—Admiral Shares | 150,068 | 1,340 | 18,712,213 | 167,681 |
Signal Shares | ||||
Issued | 4,884,533 | 48,821 | 4,491,022 | 50,934 |
Issued in Lieu of Cash Distributions | 179,132 | 1,817 | 301,194 | 3,437 |
Redeemed | (2,925,149) | (29,322) | (4,466,340) | (51,633) |
Net Increase (Decrease)—Signal Shares | 2,138,516 | 21,316 | 325,876 | 2,738 |
ETF Shares1 | ||||
Issued | 1,091,690 | 18,280 | 251,293 | 4,596 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (36,513) | (600) | (2,701) | (50) |
Net Increase (Decrease)—ETF Shares | 1,055,177 | 17,680 | 248,592 | 4,546 |
1 Inception was September 7, 2010, for ETF Shares. |
H. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
25
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
26
Six Months Ended June 30, 2011
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
500 Index Fund | 12/31/2010 | 6/30/2011 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,059.52 | $0.87 |
Admiral Shares | 1,000.00 | 1,060.06 | 0.26 |
Signal Shares | 1,000.00 | 1,059.99 | 0.26 |
ETF Shares | 1,000.00 | 1,060.16 | 0.26 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Signal Shares | 1,000.00 | 1,024.55 | 0.25 |
ETF Shares | 1,000.00 | 1,024.55 | 0.25 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, and 0.05% 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.
27
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 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 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 and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of 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 other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
28
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 securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
29
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
30
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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 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School; Chair of the Investment Committee | ||
of HighVista Strategies LLC (private investment firm). | Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | ||
Alfred M. Rankin, Jr. | Occupation(s) During the Past Five Years: Managing | |
Born 1941. Trustee Since January 1993. Principal | Director of The Vanguard Group, Inc., since 2006; | |
Occupation(s) During the Past Five Years: Chairman, | General Counsel of The Vanguard Group since 2005; | |
President, and Chief Executive Officer of NACCO | Secretary of The Vanguard Group and of each of the | |
Industries, Inc. (forklift trucks/housewares/lignite); | investment companies served by The Vanguard Group | |
Director of Goodrich Corporation (industrial products/ | since 2005; Director and Senior Vice President of | |
aircraft systems and services) and the National | Vanguard Marketing Corporation since 2005; | |
Association of Manufacturers; Chairman of the | Principal of The Vanguard Group (1997–2006). | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | ||
the Board of The Cleveland Museum of Art. | Vanguard Senior Management Team | |
Peter F. Volanakis | R. Gregory Barton | Michael S. Miller |
Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | James M. Norris |
Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | George U. Sauter |
Incorporated (communications equipment); Director of | Martha G. King | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | ||
Business Administration at Dartmouth College. | Chairman Emeritus and Senior Advisor | |
John J. Brennan | ||
Executive Officers | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | ||
Occupation(s) During the Past Five Years: Principal | Founder | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | John C. Bogle | |
Group since 2010; Assistant Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard | ||
Group (2001–2010). |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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| P.O. Box 2600 |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | Standard & Poor’s®, S&P®, S&P 500®, Standard & |
Direct Investor Account Services > 800-662-2739 | Poor’s 500, and 500® are registered trademarks of |
Institutional Investor Services > 800-523-1036 | Standard & Poor’s Financial Services LLC (”S&P”) and |
Text Telephone for People | have been licensed for use by The Vanguard Group, Inc. |
With Hearing Impairment > 800-749-7273 | The Vanguard ETFs are not sponsored, endorsed, sold, |
or promoted by S&P or its Affiliates, and S&P and its | |
Affiliates make no representation, warranty, or | |
This material may be used in conjunction | condition regarding the advisability of buying, selling, |
with the offering of shares of any Vanguard | or holding units/shares in the ETFs. |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper Inc. or | |
Morningstar, Inc., unless otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2011 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q402 082011 |
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Vanguard U.S. Stock Index Funds |
Small-Capitalization Portfolios |
Semiannual Report |
June 30, 2011 |
![]() |
Vanguard Small-Cap Index Fund |
Vanguard Small-Cap Growth Index Fund |
Vanguard Small-Cap Value Index Fund |
> For the six-months ended June 30, 2011, small-capitalization stocks outperformed the broad U.S. stock market.
> Small-cap growth stocks were the best performers, rallying on strength in health care and technology. Small-cap value stocks were the worst, restrained by weakness in the large financial sector.
> All three funds succeeded in capturing the returns of their target indexes.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Small-Cap Index Fund. | 9 |
Small-Cap Growth Index Fund. | 28 |
Small-Cap Value Index Fund. | 43 |
About Your Fund’s Expenses. | 58 |
Trustees Approve Advisory Arrangement. | 61 |
Glossary. | 62 |
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/ussmallcap_48x2x1.jpg)
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: Jean Maher.
Your Fund’s Total Returns
Six Months Ended June 30, 2011
Total | |
Returns | |
Vanguard Small-Cap Index Fund | |
Investor Shares | 7.55% |
Admiral™ Shares | 7.60 |
Signal® Shares | 7.64 |
Institutional Shares | 7.63 |
Institutional Plus Shares | 7.63 |
ETF Shares | |
Market Price | 7.48 |
Net Asset Value | 7.61 |
MSCI US Small Cap 1750 Index | 7.56 |
Small-Cap Core Funds Average | 6.41 |
Small-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Small-Cap Growth Index Fund | |
Investor Shares | 10.09% |
Institutional Shares | 10.16 |
ETF Shares | |
Market Price | 10.05 |
Net Asset Value | 10.18 |
MSCI US Small Cap Growth Index | 10.14 |
Small-Cap Growth Funds Average | 9.67 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper Inc. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares, Institutional Shares, and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the 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, 2011
Total | |
Returns | |
Vanguard Small-Cap Value Index Fund | |
Investor Shares | 4.88% |
Institutional Shares | 5.00 |
ETF Shares | |
Market Price | 4.81 |
Net Asset Value | 4.98 |
MSCI US Small Cap Value Index | 4.95 |
Small-Cap Value Funds Average | 4.23 |
Small-Cap Value Funds Average: Derived from data provided by Lipper Inc. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares, Institutional Shares, and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the 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.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
2
Your Fund’s Performance at a Glance
December 31, 2010 , Through June 30, 2011
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Small-Cap Index Fund | ||||
Investor Shares | $34.75 | $37.37 | $0.002 | $0.000 |
Admiral Shares | 34.78 | 37.42 | 0.003 | 0.000 |
Signal Shares | 31.33 | 33.72 | 0.003 | 0.000 |
Institutional Shares | 34.77 | 37.42 | 0.003 | 0.000 |
Institutional Plus Shares | 100.38 | 108.03 | 0.012 | 0.000 |
ETF Shares | 72.58 | 78.10 | 0.006 | 0.000 |
Vanguard Small-Cap Growth Index Fund | ||||
Investor Shares | $21.92 | $24.13 | $0.002 | $0.000 |
Institutional Shares | 21.96 | 24.19 | 0.002 | 0.000 |
ETF Shares | 77.98 | 85.91 | 0.006 | 0.000 |
Vanguard Small-Cap Value Index Fund | ||||
Investor Shares | $16.01 | $16.79 | $0.002 | $0.000 |
Institutional Shares | 16.04 | 16.84 | 0.002 | 0.000 |
ETF Shares | 66.80 | 70.12 | 0.008 | 0.000 |
3
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/ussmallcap_48x6x1.jpg)
Chairman’s Letter
Dear Shareholder,
After a strong 2010, small-capitalization stocks remained a few steps ahead of the broader market through the first half of 2011. Vanguard Small-Cap Growth Index Fund was the top performer, returning about 10%. Vanguard Small-Cap Value Index Fund was the weakest, returning about 5%. The return of Vanguard Small-Cap Index Fund, a blend of growth and value stocks, was in the middle.
The returns of all three funds were in line with those of their benchmark indexes and superior to the average returns of their peer groups.
After the close of the period, we announced that in late September, the Small-Cap Growth and Value Index Funds will introduce low-cost Admiral Shares, part of Vanguard’s ongoing efforts to reduce the cost of investing. Admiral Shares are available to clients with a fund balance of $10,000 or more. (The Small-Cap Index Fund already offers Admiral Shares.) We expect the expense ratio for the growth fund’s Admiral Shares to be 0.10%; the value fund’s Admiral Shares are expected to have an expense ratio of 0.21%.
For stock markets, a ragged six-month gain
Global stock markets climbed unsteadily as investor attitudes swung from optimism about the strength of corporate earnings to fears that the slow, grinding recovery was losing momentum. Stock prices rallied through the first four months of 2011,
4
pulled back as economic news turned gloomier, then bounced back at the end of the period.
The broad U.S. stock market returned about 6% for the six months. International stock markets finished a few steps behind, restrained by sovereign-debt dramas in Europe and the economic aftershocks of the Japanese natural and nuclear disaster. Gains were modest in emerging markets, too, as big economies such as China and Brazil grappled with inflationary pressures.
Low yields, solid returns in the bond market
Bonds delivered solid six-month returns even as interest rates hovered near generational lows. Bond prices rallied in the spring as economic anxiety prompted a search for safer havens in fixed income. The broad taxable bond market returned almost 3%. The municipal market performed even better. Municipal securities were hammered early in the year as unsettling headlines raised doubts about their safety. Toward the end, investors’ worries began to recede and prices rose.
The yields on money market instruments remained nearly invisible, consistent with the Federal Reserve Board’s target for short-term interest rates, which since December 2008 has been anchored between 0% and 0.25%.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2011 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 6.37% | 31.93% | 3.30% |
Russell 2000 Index (Small-caps) | 6.21 | 37.41 | 4.08 |
Dow Jones U.S. Total Stock Market Index | 6.01 | 32.26 | 3.66 |
MSCI All Country World Index ex USA (International) | 3.80 | 29.73 | 3.67 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.72% | 3.90% | 6.52% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 4.42 | 3.48 | 4.93 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.14 | 1.86 |
CPI | |||
Consumer Price Index | 2.99% | 3.56% | 2.15% |
5
Small-cap strength was broad and deep
Despite the anxiety and pronounced volatility triggered by unsettling events on the global stage, the U.S. market’s small stocks produced strong six-month returns. The market’s—and corporate America’s— resilience was notable. With the exception of the financial stocks in Vanguard Small- Cap Value Index Fund, every sector of the small-cap market registered gains as corporate earnings continued to rebound from their recessionary depths.
The health care sector was a bright spot. Biotechnology stocks rallied on encouraging developments in companies’ product pipelines, while health care providers, which had languished through most of 2010, found renewed favor with investors. Small-cap information technology companies posted robust returns, spurred higher by a growing appetite for takeover activity among the technology industry’s cash-rich giants. Both sectors have relatively heavy weightings in Vanguard Small-Cap Growth Index Fund, which leaped past the Small-Cap and Small-Cap Value Index Funds for the period.
Energy stocks made big contributions to all three funds. Growing energy demand along with the prospect of higher energy prices was a key contributor to the double-digit returns in that sector.
Expense Ratios
Your Fund Compared With Its Peer Group
Peer | |||||||
Investor | Admiral | Signal | Institutional | Institutional | ETF | Group | |
Shares | Shares | Shares | Shares | Plus Shares | Shares | Average | |
Small-Cap Index Fund | 0.31% | 0.17% | 0.17% | 0.13% | 0.11% | 0.17% | 1.38% |
Small-Cap Growth Index Fund | 0.26 | — | — | 0.08 | — | 0.12 | 1.61 |
Small-Cap Value Index Fund | 0.37 | — | — | 0.19 | — | 0.23 | 1.53 |
The fund expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the funds’ annualized expense ratios were: for the Small-Cap Index Fund, 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.11% for ETF Shares; for the Small-Cap Growth Index Fund, 0.24% for Investor Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; and for the Small-Cap Value Index Fund, 0.24% for Investor Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2010.
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
Although weak spots were few, they were most visible in Vanguard Small-Cap Value Index Fund, which produced the lowest six-month return. Like its index, the fund held more than one-third of its assets in financial stocks. These holdings produced a slightly negative return as banks wrestled with bad loans, new regulatory developments, and other legacies of the deep recession.
All three funds captured the returns of their target indexes, a tribute to the funds’ advisor, Vanguard Quantitative Equity Group, whose skilled portfolio managers and traders have long distinguished themselves as the indexing experts in almost every segment of the public stock markets.
Some age-old counsel for an unsettled era
Over the decades, our counsel to clients has remained consistent, even boring: Build a broadly diversified, low- cost portfolio that includes a mix of stock and bond funds and short-term investments consistent with your goals and circumstances. With their low costs and broad diversification across the small-cap market, the Vanguard Small-Cap Index Funds can be important components of such a plan.
Since the financial crisis, of course, a series of once-hard-to-imagine developments has reverberated through the global stock and bond markets. Is our simple, straightforward counsel still relevant? In a word, yes.
A note on expense ratios |
The Expense Ratios table in each report’s Chairman’s Letter displays fund expense |
ratios from the most recent prospectus. These figures include the funds’ actual |
operating expenses. For some funds, the figures also include “acquired fund fees |
and expenses,” which result from the funds’ holdings in business development |
companies (BDCs). |
Although the Securities and Exchange Commission requires that BDC costs be |
included in a fund’s expense ratio, these fees are not incurred by the fund. They |
have no impact on a fund’s total return or on its tracking error relative to an index. |
A footnote to the Expense Ratios table reports an annualized calculation of the |
fund’s actual expenses for the period, a more accurate tally of the operating costs |
incurred by shareholders. |
7
Impulsive portfolio changes can do damage to sensible long-term investment plans. Remaining committed to those plans, by contrast, has proven to be a reliable strategy for enhancing wealth. A recent Vanguard study of defined contribution plans found that, despite significant market shocks, participants, on average, had higher account balances in 2010 than in 2007, on the eve of the financial crisis. The increase reflected the benefits of regular contributions, diversification, and the global stock markets’ rebound from crisis lows.
Thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/ussmallcap_48x10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 25, 2011
8
Small-Cap Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | ||||||
Investor | Admiral | Signal | Institutional | Institutional | ETF | |
Shares | Shares | Shares | Shares | Plus Shares | Shares | |
Ticker Symbol | NAESX | VSMAX | VSISX | VSCIX | VSCPX | VB |
Expense Ratio1 | 0.31% | 0.17% | 0.17% | 0.13% | 0.11% | 0.17% |
30-Day SEC Yield | 0.99% | 1.13% | 1.13% | 1.15% | 1.17% | 1.13% |
Portfolio Characteristics | |||
DJ | |||
MSCI US | U.S. Total | ||
Small Cap | Market | ||
Fund | 1750 Index | Index | |
Number of Stocks | 1,735 | 1,728 | 3,745 |
Median Market Cap | $1.8B | $1.8B | $30.8B |
Price/Earnings Ratio | 25.2x | 25.1x | 17.1x |
Price/Book Ratio | 2.0x | 2.0x | 2.2x |
Return on Equity | 9.9% | 10.0% | 19.1% |
Earnings Growth Rate | 4.0% | 3.8% | 5.8% |
Dividend Yield | 1.3% | 1.2% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 18% | — | — |
Short-Term Reserves | 0.0% | — | — |
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) | ||
Polycom Inc. | Communications | |
Equipment | 0.3% | |
American Capital Agency | ||
Corp. | Mortgage REITs | 0.3 |
Tempur-Pedic | ||
International Inc. | Home Furnishings | 0.3 |
Varian Semiconductor | ||
Equipment Associates | Semiconductor | |
Inc. | Equipment | 0.3 |
WABCO Holdings Inc. | Construction & | |
Farm Machinery & | ||
Heavy Trucks | 0.3 | |
Camden Property Trust | Residential REITs | 0.3 |
Gardner Denver Inc. | Industrial | |
Machinery | 0.3 | |
Essex Property Trust Inc. | Residential REITs | 0.3 |
Gentex Corp. | Auto Parts & | |
Equipment | 0.3 | |
TransDigm Group Inc. | Aerospace & | |
Defense | 0.3 | |
Top Ten | 3.0% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.11% for ETF Shares.
9
Small-Cap Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
MSCI US | U.S. Total | ||
Small Cap | Market | ||
Fund | 1750 Index | Index | |
Consumer | |||
Discretionary | 13.8% | 13.7% | 12.2% |
Consumer Staples | 3.0 | 3.0 | 9.7 |
Energy | 6.0 | 6.4 | 11.2 |
Financials | 20.4 | 20.4 | 15.4 |
Health Care | 11.6 | 11.5 | 11.3 |
Industrials | 16.2 | 16.1 | 11.6 |
Information | |||
Technology | 17.8 | 17.8 | 18.4 |
Materials | 6.5 | 6.4 | 4.4 |
Telecommunication | |||
Services | 1.1 | 1.1 | 2.6 |
Utilities | 3.6 | 3.6 | 3.2 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/ussmallcap_48x12x1.jpg)
10
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 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, 2000, Through June 30, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/ussmallcap_48x13x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 10/3/1960 | 39.26% | 5.52% | 7.23% |
Admiral Shares | 11/13/2000 | 39.46 | 5.65 | 7.34 |
Signal Shares | 12/15/2006 | 39.50 | — | 4.211 |
Institutional Shares | 7/7/1997 | 39.51 | 5.69 | 7.40 |
Institutional Plus Shares | 12/17/2010 | — | — | 8.521 |
ETF Shares | 1/26/2004 | |||
Market Price | 39.41 | 5.72 | 7.351 | |
Net Asset Value | 39.48 | 5.65 | 7.361 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
11
Small-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2011
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Common Stocks | |||
Consumer Discretionary | |||
* Tempur-Pedic International Inc. | 1,047,025 | 71,009 | 0.3% |
Gentex Corp. | 2,168,644 | 65,558 | 0.3% |
* Signet Jewelers Ltd. | 1,305,307 | 61,101 | 0.2% |
* Panera Bread Co. Class A | 457,587 | 57,500 | 0.2% |
Foot Locker Inc. | 2,355,070 | 55,956 | 0.2% |
Polaris Industries Inc. | 489,779 | 54,449 | 0.2% |
* Deckers Outdoor Corp. | 586,764 | 51,717 | 0.2% |
Consumer Discretionary—Other † | 3,177,542 | 12.1% | |
3,594,832 | 13.7% | ||
Consumer Staples | |||
Corn Products International Inc. | 1,159,748 | 64,111 | 0.3% |
Consumer Staples—Other † | 711,393 | 2.7% | |
775,504 | 3.0% | ||
Energy | |||
* Oil States International Inc. | 774,204 | 61,867 | 0.2% |
* Brigham Exploration Co. | 1,779,188 | 53,251 | 0.2% |
CARBO Ceramics Inc. | 299,652 | 48,828 | 0.2% |
Energy—Other † | 1,411,647 | 5.4% | |
1,575,593 | 6.0% | ||
Financials | |||
American Capital Agency Corp. | 2,617,974 | 76,209 | 0.3% |
Camden Property Trust | 1,062,267 | 67,581 | 0.3% |
Essex Property Trust Inc. | 489,672 | 66,248 | 0.3% |
First Niagara Financial Group Inc. | 4,699,210 | 62,030 | 0.2% |
BRE Properties Inc. | 1,117,724 | 55,752 | 0.2% |
Senior Housing Properties Trust | 2,310,466 | 54,088 | 0.2% |
* E*Trade Financial Corp. | 3,823,377 | 52,763 | 0.2% |
* American Capital Ltd. | 5,211,907 | 51,754 | 0.2% |
Taubman Centers Inc. | 849,275 | 50,277 | 0.2% |
12
Small-Cap Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Ares Capital Corp. | 3,111,580 | 50,003 | 0.2% |
Financials—Other † | 4,747,730 | 18.1% | |
5,334,435 | 20.4% | ||
Health Care | |||
* Pharmasset Inc. | 563,585 | 63,234 | 0.2% |
Cooper Cos. Inc. | 706,652 | 55,995 | 0.2% |
* AMERIGROUP Corp. | 753,499 | 53,099 | 0.2% |
* Mednax Inc. | 730,322 | 52,722 | 0.2% |
Health Care—Other † | 2,788,125 | 10.7% | |
3,013,175 | 11.5% | ||
Industrials | |||
* WABCO Holdings Inc. | 1,013,424 | 69,987 | 0.3% |
Gardner Denver Inc. | 794,243 | 66,756 | 0.3% |
* TransDigm Group Inc. | 717,884 | 65,464 | 0.2% |
* BE Aerospace Inc. | 1,556,561 | 63,523 | 0.2% |
IDEX Corp. | 1,254,579 | 57,522 | 0.2% |
Kennametal Inc. | 1,249,891 | 52,758 | 0.2% |
Snap-On Inc. | 842,624 | 52,647 | 0.2% |
Waste Connections Inc. | 1,647,353 | 52,271 | 0.2% |
Nordson Corp. | 882,641 | 48,413 | 0.2% |
Industrials—Other † | 3,691,124 | 14.1% | |
4,220,465 | 16.1% | ||
Information Technology | |||
* Polycom Inc. | 1,334,612 | 85,816 | 0.3% |
* Varian Semiconductor Equipment Associates Inc. | 1,143,319 | 70,246 | 0.3% |
Solera Holdings Inc. | 1,072,427 | 63,445 | 0.3% |
* MICROS Systems Inc. | 1,230,159 | 61,151 | 0.2% |
* JDS Uniphase Corp. | 3,412,336 | 56,850 | 0.2% |
Cypress Semiconductor Corp. | 2,510,737 | 53,077 | 0.2% |
* Gartner Inc. | 1,315,060 | 52,984 | 0.2% |
* Novellus Systems Inc. | 1,372,340 | 49,596 | 0.2% |
* Ariba Inc. | 1,421,106 | 48,986 | 0.2% |
Information Technology—Other † | 4,107,729 | 15.7% | |
4,649,880 | 17.8% | ||
Materials | |||
Domtar Corp. | 625,725 | 59,269 | 0.2% |
* Rockwood Holdings Inc. | 985,110 | 54,467 | 0.2% |
Aptargroup Inc. | 1,019,970 | 53,385 | 0.2% |
* WR Grace & Co. | 1,113,263 | 50,798 | 0.2% |
Temple-Inland Inc. | 1,646,942 | 48,980 | 0.2% |
Materials—Other † | 1,424,092 | 5.4% | |
1,690,991 | 6.4% | ||
Telecommunication Services | |||
* Level 3 Communications Inc. | 25,468,813 | 62,144 | 0.2% |
Telecommunication Services—Other † | 227,050 | 0.9% | |
289,194 | 1.1% | ||
Utilities | |||
ITC Holdings Corp. | 772,822 | 55,465 | 0.2% |
Utilities—Other † | 877,166 | 3.4% | |
932,631 | 3.6% | ||
Total Common Stocks (Cost $22,293,517) | 26,076,700 | 99.6%1 |
13
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 | 0.140% | 391,474,790 | 391,475 | 1.5% |
4U.S. Government and Agency Obligations † | 7,998 | 0.0% | ||
Total Temporary Cash Investments (Cost $399,473) | 399,473 | 1.5%1 | ||
5Total Investments (Cost $22,692,990) | 26,476,173 | 101.1% | ||
Other Assets and Liabilities | ||||
Other Assets | 57,014 | 0.2% | ||
Liabilities3 | (357,987) | (1.3%) | ||
(300,973) | (1.1%) | |||
Net Assets | 26,175,200 | 100.0% |
14
Small-Cap Index Fund | |
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 23,951,781 |
Undistributed Net Investment Income | 103,628 |
Accumulated Net Realized Losses | (1,668,702) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 3,783,183 |
Futures Contracts | 5,310 |
Net Assets | 26,175,200 |
Investor Shares—Net Assets | |
Applicable to 134,859,627 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,039,252 |
Net Asset Value Per Share—Investor Shares | $37.37 |
Admiral Shares—Net Assets | |
Applicable to 163,756,512 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,128,192 |
Net Asset Value Per Share—Admiral Shares | $37.42 |
Signal Shares—Net Assets | |
Applicable to 97,061,541 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,272,731 |
Net Asset Value Per Share—Signal Shares | $33.72 |
Institutional Shares—Net Assets | |
Applicable to 157,000,970 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,875,316 |
Net Asset Value Per Share—Institutional Shares | $37.42 |
Institutional Plus Shares—Net Assets | |
Applicable to 12,530,584 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,353,719 |
Net Asset Value Per Share—Institutional Plus Shares | $108.03 |
ETF Shares—Net Assets | |
Applicable to 57,696,868 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,505,990 |
Net Asset Value Per Share—ETF Shares | $78.10 |
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 1.1%, 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 $297,086,000 of collateral received for securities on loan.
4 Securities with a value of $6,998,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $278,062,000.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Small-Cap Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 138,775 |
Interest1 | 149 |
Security Lending | 12,079 |
Total Income | 151,003 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 952 |
Management and Administrative—Investor Shares | 5,345 |
Management and Administrative—Admiral Shares | 2,298 |
Management and Administrative—Signal Shares | 922 |
Management and Administrative—Institutional Shares | 1,097 |
Management and Administrative—Institutional Plus Shares | 208 |
Management and Administrative—ETF Shares | 1,479 |
Marketing and Distribution—Investor Shares | 852 |
Marketing and Distribution—Admiral Shares | 456 |
Marketing and Distribution—Signal Shares | 387 |
Marketing and Distribution—Institutional Shares | 877 |
Marketing and Distribution—Institutional Plus Shares | 50 |
Marketing and Distribution—ETF Shares | 759 |
Custodian Fees | 385 |
Shareholders’ Reports—Investor Shares | 2 |
Shareholders’ Reports—Admiral Shares | 38 |
Shareholders’ Reports—Signal Shares | 6 |
Shareholders’ Reports—Institutional Shares | 32 |
Shareholders’ Reports—Institutional Plus Shares | — |
Shareholders’ Reports—ETF Shares | 26 |
Trustees’ Fees and Expenses | 13 |
Total Expenses | 16,184 |
Net Investment Income | 134,819 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 2,272,288 |
Futures Contracts | (1,523) |
Realized Net Gain (Loss) | 2,270,765 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (537,430) |
Futures Contracts | 5,754 |
Change in Unrealized Appreciation (Depreciation) | (531,676) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,873,908 |
1 Interest income from an affiliated company of the fund was $140,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
Small-Cap Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 134,819 | 262,861 |
Realized Net Gain (Loss) | 2,270,765 | 942,499 |
Change in Unrealized Appreciation (Depreciation) | (531,676) | 3,699,566 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,873,908 | 4,904,926 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (293) | (54,888) |
Admiral Shares | (490) | (60,927) |
Signal Shares | (247) | (26,640) |
Institutional Shares | (477) | (66,672) |
Institutional Plus Shares | (121) | (3,937) |
ETF Shares | (367) | (56,141) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,995) | (269,205) |
Capital Share Transactions | ||
Investor Shares | (622,277) | (2,074,399) |
Admiral Shares | 144,041 | 2,843,790 |
Signal Shares | 788,799 | 72,423 |
Institutional Shares | (269,208) | 387,352 |
Institutional Plus Shares | 956,337 | 342,580 |
ETF Shares | (713,108) | 520,315 |
Net Increase (Decrease) from Capital Share Transactions | 284,584 | 2,092,061 |
Total Increase (Decrease) | 2,156,497 | 6,727,782 |
Net Assets | ||
Beginning of Period | 24,018,703 | 17,290,921 |
End of Period1 | 26,175,200 | 24,018,703 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $103,628,000 and ($29,196,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
17
Small-Cap Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $34.75 | $27.49 | $20.40 | $32.58 | $32.62 | $28.52 |
Investment Operations | ||||||
Net Investment Income | .169 | .355 | .272 | .398 | .413 | .357 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.453 | 7.266 | 7.094 | (12.174) | (.041) | 4.101 |
Total from Investment Operations | 2.622 | 7.621 | 7.366 | (11.776) | .372 | 4.458 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.361) | (.276) | (.404) | (.412) | (.358) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.361) | (.276) | (.404) | (.412) | (.358) |
Net Asset Value, End of Period | $37.37 | $34.75 | $27.49 | $20.40 | $32.58 | $32.62 |
Total Return1 | 7.55% | 27.72% | 36.12% | -36.07% | 1.16% | 15.64% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,039 | $5,270 | $5,913 | $4,050 | $6,214 | $6,808 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.25% | 0.26% | 0.28% | 0.23% | 0.22% | 0.23% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.93% | 1.24% | 1.30% | 1.49% | 1.23% | 1.18% |
Portfolio Turnover Rate2 | 18% | 12% | 14% | 14% | 16% | 13% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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
Admiral Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $34.78 | $27.50 | $20.40 | $32.59 | $32.64 | $28.53 |
Investment Operations | ||||||
Net Investment Income | .197 | .384 | .303 | .426 | .440 | .395 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.446 | 7.286 | 7.105 | (12.185) | (.040) | 4.101 |
Total from Investment Operations | 2.643 | 7.670 | 7.408 | (11.759) | .400 | 4.496 |
Distributions | ||||||
Dividends from Net Investment Income | (.003) | (.390) | (.308) | (.431) | (.450) | (.386) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.003) | (.390) | (.308) | (.431) | (.450) | (.386) |
Net Asset Value, End of Period | $37.42 | $34.78 | $27.50 | $20.40 | $32.59 | $32.64 |
Total Return | 7.60% | 27.89% | 36.33% | -36.00% | 1.24% | 15.77% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,128 | $5,554 | $1,992 | $1,444 | $2,325 | $3,078 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.12% | 0.11% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.08% | 1.38% | 1.44% | 1.60% | 1.34% | 1.28% |
Portfolio Turnover Rate1 | 18% | 12% | 14% | 14% | 16% | 13% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Small-Cap Index Fund
Financial Highlights
Signal Shares
Six Months | Dec. 15, | |||||
Ended | 20061 to | |||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | |||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $31.33 | $24.79 | $18.39 | $29.38 | $29.42 | $29.98 |
Investment Operations | ||||||
Net Investment Income | .179 | .359 | .274 | .385 | .406 | .004 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.214 | 6.545 | 6.405 | (10.985) | (.042) | (.251) |
Total from Investment Operations | 2.393 | 6.904 | 6.679 | (10.600) | .364 | (.247) |
Distributions | ||||||
Dividends from Net Investment Income | (.003) | (.364) | (.279) | (.390) | (.404) | (.313) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.003) | (.364) | (.279) | (.390) | (.404) | (.313) |
Net Asset Value, End of Period | $33.72 | $31.33 | $24.79 | $18.39 | $29.38 | $29.42 |
Total Return | 7.64% | 27.85% | 36.34% | -36.00% | 1.25% | -0.82% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,273 | $2,300 | $1,763 | $1,172 | $1,625 | $157 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.12% | 0.11% | 0.13%2 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.08% | 1.38% | 1.44% | 1.60% | 1.34% | 1.28%2 |
Portfolio Turnover Rate3 | 18% | 12% | 14% | 14% | 16% | 13% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
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.
20
Small-Cap Index Fund
Financial Highlights
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $34.77 | $27.50 | $20.40 | $32.60 | $32.65 | $28.54 |
Investment Operations | ||||||
Net Investment Income | .202 | .410 | .316 | .441 | .457 | .411 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.451 | 7.276 | 7.106 | (12.196) | (.041) | 4.101 |
Total from Investment Operations | 2.653 | 7.686 | 7.422 | (11.755) | .416 | 4.512 |
Distributions | ||||||
Dividends from Net Investment Income | (.003) | (.416) | (.322) | (.445) | (.466) | (.402) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.003) | (.416) | (.322) | (.445) | (.466) | (.402) |
Net Asset Value, End of Period | $37.42 | $34.77 | $27.50 | $20.40 | $32.60 | $32.65 |
Total Return | 7.63% | 27.95% | 36.40% | -35.98% | 1.29% | 15.82% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,875 | $5,711 | $4,162 | $2,545 | $3,585 | $3,107 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.10% | 1.42% | 1.50% | 1.65% | 1.38% | 1.33% |
Portfolio Turnover Rate1 | 18% | 12% | 14% | 14% | 16% | 13% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
See accompanying Notes, which are an integral part of the Financial Statements.
21
Small-Cap Index Fund
Financial Highlights
Institutional Plus Shares
Six Months | Dec. 17, | |
Ended | 20101 to | |
June 30, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2011 | 2010 |
Net Asset Value, Beginning of Period | $100.38 | $100.73 |
Investment Operations | ||
Net Investment Income | .594 | .0642 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.068 | .767 |
Total from Investment Operations | 7.662 | .831 |
Distributions | ||
Dividends from Net Investment Income | (.012) | (1.181) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.012) | (1.181) |
Net Asset Value, End of Period | $108.03 | $100.38 |
Total Return | 7.63% | 0.82% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $1,354 | $341 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06%3 |
Ratio of Net Investment Income to Average Net Assets | 1.12% | 1.44%3 |
Portfolio Turnover Rate4 | 18% | 12% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
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.
22
Small-Cap Index Fund
Financial Highlights
ETF Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $72.58 | $57.41 | $42.60 | $68.07 | $68.16 | $59.59 |
Investment Operations | ||||||
Net Investment Income | .409 | .833 | .646 | .910 | .959 | .836 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.117 | 15.183 | 14.822 | (25.462) | (.093) | 8.569 |
Total from Investment Operations | 5.526 | 16.016 | 15.468 | (24.552) | .866 | 9.405 |
Distributions | ||||||
Dividends from Net Investment Income | (.006) | (.846) | (.658) | (.918) | (.956) | (.835) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.006) | (.846) | (.658) | (.918) | (.956) | (.835) |
Net Asset Value, End of Period | $78.10 | $72.58 | $57.41 | $42.60 | $68.07 | $68.16 |
Total Return | 7.61% | 27.89% | 36.31% | -35.99% | 1.27% | 15.79% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,506 | $4,843 | $3,460 | $1,224 | $1,121 | $670 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.11% | 0.12% | 0.14% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.07% | 1.38% | 1.44% | 1.62% | 1.35% | 1.31% |
Portfolio Turnover Rate1 | 18% | 12% | 14% | 14% | 16% | 13% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Small-Cap Index Fund
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 six classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, Institutional Shares, and Institutional Plus Shares are designed for 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 the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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
24
Small-Cap Index Fund
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $4,229,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.69% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2011, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 26,075,917 | — | 783 |
Temporary Cash Investments | 391,475 | 7,998 | — |
Futures Contracts—Assets1 | 732 | — | — |
Total | 26,468,124 | 7,998 | 783 |
1 Represents variation margin on the last day of the reporting period. |
25
Small-Cap Index Fund
The following table summarizes changes in investments valued based on Level 3 inputs during the six months ended June 30, 2011.
Investments in | |
Common Stocks | |
Amount Valued Based on Level 3 Inputs | ($000) |
Balance as of December 31, 2010 | — |
Transfers into Level 3 | 783 |
Balance as of June 30, 2011 | 783 |
D. At June 30, 2011, 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 2011 | 1,126 | 92,940 | 5,310 |
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, 2011, the fund realized $1,282,574,000 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, 2010, the fund had available capital loss carryforwards totaling $2,405,922,000 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, $970,576,000 through December 31, 2017, and $604,149,000 through December 31, 2018. In addition, the fund realized losses of $104,033,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $22,692,990,000. Net unrealized appreciation of investment securities for tax purposes was $3,783,183,000, consisting of unrealized gains of $5,643,160,000 on securities that had risen in value since their purchase and $1,859,977,000 in unrealized losses on securities that had fallen in value since their purchase.
26
Small-Cap Index Fund
F. During the six months ended June 30, 2011, the fund purchased $5,226,389,000 of investment securities and sold $4,831,613,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 786,309 | 21,617 | 1,807,733 | 59,832 |
Issued in Lieu of Cash Distributions | 286 | 8 | 53,356 | 1,533 |
Redeemed | (1,408,872) | (38,418) | (3,935,488) | (124,812) |
Net Increase (Decrease)—Investor Shares | (622,277) | (16,793) | (2,074,399) | (63,447) |
Admiral Shares | ||||
Issued | 564,264 | 15,547 | 3,132,693 | 97,007 |
Issued in Lieu of Cash Distributions | 449 | 12 | 55,406 | 1,588 |
Redeemed | (420,672) | (11,493) | (344,309) | (11,363) |
Net Increase (Decrease)—Admiral Shares | 144,041 | 4,066 | 2,843,790 | 87,232 |
Signal Shares | ||||
Issued | 1,184,467 | 35,684 | 800,486 | 28,955 |
Issued in Lieu of Cash Distributions | 217 | 7 | 23,162 | 738 |
Redeemed | (395,885) | (12,019) | (751,225) | (27,451) |
Net Increase (Decrease)—Signal Shares | 788,799 | 23,672 | 72,423 | 2,242 |
Institutional Shares | ||||
Issued | 1,146,509 | 31,622 | 1,689,975 | 55,195 |
Issued in Lieu of Cash Distributions | 445 | 12 | 63,621 | 1,826 |
Redeemed | (1,416,162) | (38,886) | (1,366,244) | (44,082) |
Net Increase (Decrease)—Institutional Shares | (269,208) | (7,252) | 387,352 | 12,939 |
Institutional Plus Shares1 | ||||
Issued | 1,145,541 | 10,918 | 349,865 | 3,473 |
Issued in Lieu of Cash Distributions | 121 | 1 | 3,937 | 39 |
Redeemed | (189,325) | (1,789) | (11,222) | (111) |
Net Increase (Decrease)—Institutional Plus Shares | 956,337 | 9,130 | 342,580 | 3,401 |
ETF Shares | ||||
Issued | 1,766,667 | 22,965 | 3,323,756 | 52,160 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,479,775) | (32,000) | (2,803,441) | (45,700) |
Net Increase (Decrease)—ETF Shares | (713,108) | (9,035) | 520,315 | 6,460 |
1 Inception was December 17, 2010, for Institutional Plus Shares. |
H. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
27
Small-Cap Growth Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | |||
Investor | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VISGX | VSGIX | VBK |
Expense Ratio1 | 0.26% | 0.08% | 0.12% |
30-Day SEC Yield | 0.10% | 0.26% | 0.24% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Small Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 963 | 959 | 3,745 |
Median Market Cap | $1.8B | $1.8B | $30.8B |
Price/Earnings Ratio | 31.3x | 31.2x | 17.1x |
Price/Book Ratio | 3.2x | 3.2x | 2.2x |
Return on Equity | 11.6% | 11.7% | 19.1% |
Earnings Growth Rate | 9.1% | 8.9% | 5.8% |
Dividend Yield | 0.3% | 0.3% | 1.8% |
Turnover Rate | |||
(Annualized) | 38% | — | — |
Short-Term Reserves | 0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
MSCI US | DJ | ||
Small Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 16.6% | 16.5% | 12.2% |
Consumer Staples | 2.2 | 2.2 | 9.7 |
Energy | 7.2 | 7.6 | 11.2 |
Financials | 5.8 | 5.8 | 15.4 |
Health Care | 16.9 | 16.8 | 11.3 |
Industrials | 17.9 | 17.8 | 11.6 |
Information | |||
Technology | 26.0 | 25.9 | 18.4 |
Materials | 5.0 | 5.0 | 4.4 |
Telecommunication | |||
Services | 1.8 | 1.8 | 2.6 |
Utilities | 0.6 | 0.6 | 3.2 |
Volatility Measures | ||
MSCI US | DJ | |
Small Cap | U.S. Total | |
Growth | Market | |
Index | Index | |
R-Squared | 1.00 | 0.93 |
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) | ||
Polycom Inc. | Communications | |
Equipment | 0.7% | |
Tempur-Pedic | ||
International Inc. | Home Furnishings | 0.5 |
Varian Semiconductor | ||
Equipment Associates | Semiconductor | |
Inc. | Equipment | 0.5 |
Gardner Denver Inc. | Industrial | |
Machinery | 0.5 | |
Gentex Corp. | Auto Parts & | |
Equipment | 0.5 | |
TransDigm Group Inc. | Aerospace & | |
Defense | 0.5 | |
Solera Holdings Inc. | Application | |
Software | 0.5 | |
Level 3 Communications | ||
Inc. | Alternative Carriers | 0.5 |
MICROS Systems Inc. | Systems Software | 0.5 |
Signet Jewelers Ltd. | Specialty Stores | 0.5 |
Top Ten | 5.2% | |
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, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.24% for Investor Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.
28
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 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, 2000, Through June 30, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/ussmallcap_48x31x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | 46.40% | 7.30% | 8.55% |
Institutional Shares | 5/24/2000 | 46.62 | 7.48 | 8.74 |
ETF Shares | 1/26/2004 | |||
Market Price | 46.63 | 7.52 | 7.841 | |
Net Asset Value | 46.61 | 7.43 | 7.841 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
29
Small-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2011
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Common Stocks | |||
Consumer Discretionary | |||
* Tempur-Pedic International Inc. | 744,464 | 50,490 | 0.6% |
Gentex Corp. | 1,542,251 | 46,622 | 0.5% |
* Signet Jewelers Ltd. | 928,220 | 43,450 | 0.5% |
* Panera Bread Co. Class A | 325,510 | 40,904 | 0.4% |
Polaris Industries Inc. | 348,453 | 38,738 | 0.4% |
* Deckers Outdoor Corp. | 417,175 | 36,770 | 0.4% |
Sotheby’s | 729,223 | 31,721 | 0.4% |
* Ulta Salon Cosmetics & Fragrance Inc. | 482,690 | 31,172 | 0.3% |
* Under Armour Inc. Class A | 397,689 | 30,745 | 0.3% |
Chico’s FAS Inc. | 1,922,524 | 29,280 | 0.3% |
* Tenneco Inc. | 652,296 | 28,747 | 0.3% |
Consumer Discretionary—Other † | 1,126,356 | 12.2% | |
1,534,995 | 16.6% | ||
Consumer Staples † | 204,937 | 2.2% | |
Energy | |||
* Brigham Exploration Co. | 1,265,245 | 37,869 | 0.4% |
CARBO Ceramics Inc. | 213,013 | 34,711 | 0.4% |
* Superior Energy Services Inc. | 854,023 | 31,718 | 0.4% |
* Rosetta Resources Inc. | 572,391 | 29,501 | 0.3% |
Energy—Other † | 529,851 | 5.7% | |
663,650 | 7.2% | ||
Financials | |||
Taubman Centers Inc. | 603,832 | 35,747 | 0.4% |
Financials—Other † | 495,819 | 5.3% | |
531,566 | 5.7% | ||
Health Care | |||
* AMERIGROUP Corp. | 535,799 | 37,758 | 0.4% |
* Tenet Healthcare Corp. | 5,260,421 | 32,825 | 0.4% |
* BioMarin Pharmaceutical Inc. | 1,198,524 | 32,612 | 0.4% |
* Sirona Dental Systems Inc. | 607,236 | 32,244 | 0.4% |
30
Small-Cap Growth Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Techne Corp. | 381,720 | 31,824 | 0.3% |
* United Therapeutics Corp. | 562,603 | 30,999 | 0.3% |
Health Care—Other † | 1,366,538 | 14.7% | |
1,564,800 | 16.9% | ||
Industrials | |||
Gardner Denver Inc. | 564,913 | 47,481 | 0.5% |
* TransDigm Group Inc. | 510,566 | 46,559 | 0.5% |
IDEX Corp. | 892,431 | 40,918 | 0.4% |
Waste Connections Inc. | 1,171,821 | 37,182 | 0.4% |
Nordson Corp. | 627,626 | 34,425 | 0.4% |
Wabtec Corp. | 519,090 | 34,115 | 0.4% |
Graco Inc. | 650,642 | 32,962 | 0.3% |
* Kirby Corp. | 522,822 | 29,628 | 0.3% |
* Thomas & Betts Corp. | 537,095 | 28,923 | 0.3% |
Industrials—Other † | 1,323,022 | 14.3% | |
1,655,215 | 17.8% | ||
Information Technology | |||
* Polycom Inc. | 949,121 | 61,028 | 0.7% |
* Varian Semiconductor Equipment Associates Inc. | 813,036 | 49,953 | 0.6% |
Solera Holdings Inc. | 762,588 | 45,115 | 0.5% |
* MICROS Systems Inc. | 875,057 | 43,499 | 0.5% |
* JDS Uniphase Corp. | 2,427,224 | 40,438 | 0.4% |
* Gartner Inc. | 935,181 | 37,678 | 0.4% |
* Ariba Inc. | 1,010,595 | 34,835 | 0.4% |
* Cadence Design Systems Inc. | 2,906,375 | 30,691 | 0.3% |
National Instruments Corp. | 1,015,838 | 30,160 | 0.3% |
* Parametric Technology Corp. | 1,278,607 | 29,318 | 0.3% |
* Teradyne Inc. | 1,963,663 | 29,062 | 0.3% |
* WebMD Health Corp. | 615,938 | 28,074 | 0.3% |
Information Technology—Other † | 1,947,077 | 21.0% | |
2,406,928 | 26.0% | ||
Materials | |||
* Rockwood Holdings Inc. | 700,416 | 38,726 | 0.4% |
* WR Grace & Co. | 791,690 | 36,125 | 0.4% |
* Allied Nevada Gold Corp. | 915,201 | 32,371 | 0.4% |
* Solutia Inc. | 1,319,509 | 30,151 | 0.3% |
Materials—Other † | 328,935 | 3.5% | |
466,308 | 5.0% | ||
Telecommunication Services | |||
* Level 3 Communications Inc. | 18,117,901 | 44,208 | 0.5% |
* tw telecom inc Class A | 1,548,176 | 31,784 | 0.3% |
Telecommunication Services—Other † | 90,714 | 1.0% | |
166,706 | 1.8% | ||
Utilities | |||
ITC Holdings Corp. | 549,497 | 39,437 | 0.4% |
Utilities—Other † | 13,545 | 0.2% | |
52,982 | 0.6% | ||
Total Common Stocks (Cost $7,601,823) | 9,248,087 | 99.8%1 |
31
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 | 0.140% | 172,740,963 | 172,741 | 1.8% |
4U.S. Government and Agency Obligations † | 5,998 | 0.1% | ||
Total Temporary Cash Investments (Cost $178,739) | 178,739 | 1.9%1 | ||
5Total Investments (Cost $7,780,562) | 9,426,826 | 101.7% | ||
Other Assets and Liabilities | ||||
Other Assets | 72,695 | 0.8% | ||
Liabilities3 | (229,432) | (2.5%) | ||
(156,737) | (1.7%) | |||
Net Assets | 9,270,089 | 100.0% |
32
Small-Cap Growth Index Fund
At June 30, 2011, net assets consisted of:
Amount | |
($000) | |
Paid-in Capital | 8,651,033 |
Undistributed Net Investment Income | 9,183 |
Accumulated Net Realized Losses | (1,037,347) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,646,264 |
Futures Contracts | 956 |
Net Assets | 9,270,089 |
Investor Shares—Net Assets | |
Applicable to 212,566,830 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,129,869 |
Net Asset Value Per Share—Investor Shares | $24.13 |
Institutional Shares—Net Assets | |
Applicable to 76,100,415 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,841,129 |
Net Asset Value Per Share—Institutional Shares | $24.19 |
ETF Shares—Net Assets | |
Applicable to 26,761,404 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,299,091 |
Net Asset Value Per Share—ETF Shares | $85.91 |
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 1.7%, 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 $138,993,000 of collateral received for securities on loan.
4 Securities with a value of $4,999,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $131,463,000.
See accompanying Notes, which are an integral part of the Financial Statements.
33
Small-Cap Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 19,434 |
Interest1 | 47 |
Security Lending | 6,054 |
Total Income | 25,535 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 347 |
Management and Administrative—Investor Shares | 4,855 |
Management and Administrative—Institutional Shares | 303 |
Management and Administrative—ETF Shares | 660 |
Marketing and Distribution—Investor Shares | 617 |
Marketing and Distribution—Institutional Shares | 255 |
Marketing and Distribution—ETF Shares | 303 |
Custodian Fees | 356 |
Shareholders’ Reports—Investor Shares | 28 |
Shareholders’ Reports—Institutional Shares | 15 |
Shareholders’ Reports—ETF Shares | 19 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 7,763 |
Net Investment Income | 17,772 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 972,963 |
Futures Contracts | 1,653 |
Realized Net Gain (Loss) | 974,616 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (165,454) |
Futures Contracts | 764 |
Change in Unrealized Appreciation (Depreciation) | (164,690) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 827,698 |
1 Interest income from an affiliated company of the fund was $43,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
34
Small-Cap Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 17,772 | 29,384 |
Realized Net Gain (Loss) | 974,616 | 262,977 |
Change in Unrealized Appreciation (Depreciation) | (164,690) | 1,350,865 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 827,698 | 1,643,226 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (412) | (14,448) |
Institutional Shares | (153) | (7,444) |
ETF Shares | (159) | (8,490) |
Realized Capital Gain | ||
Investor Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (724) | (30,382) |
Capital Share Transactions | ||
Investor Shares | 453,742 | 300,801 |
Institutional Shares | 148,585 | 252,182 |
ETF Shares | 242,437 | 292,799 |
Net Increase (Decrease) from Capital Share Transactions | 844,764 | 845,782 |
Total Increase (Decrease) | 1,671,738 | 2,458,626 |
Net Assets | ||
Beginning of Period | 7,598,351 | 5,139,725 |
End of Period1 | 9,270,089 | 7,598,351 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $9,183,000 and ($7,865,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
35
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 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $21.92 | $16.83 | $11.90 | $20.01 | $18.34 | $16.43 |
Investment Operations | ||||||
Net Investment Income | .041 | .075 | .046 | .096 | .095 | .051 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.171 | 5.091 | 4.933 | (8.105) | 1.669 | 1.911 |
Total from Investment Operations | 2.212 | 5.166 | 4.979 | (8.009) | 1.764 | 1.962 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.076) | (.049) | (.101) | (.094) | (.052) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.076) | (.049) | (.101) | (.094) | (.052) |
Net Asset Value, End of Period | $24.13 | $21.92 | $16.83 | $11.90 | $20.01 | $18.34 |
Total Return1 | 10.09% | 30.69% | 41.85% | -40.00% | 9.63% | 11.94% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,130 | $4,229 | $3,018 | $1,871 | $2,825 | $2,208 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.26% | 0.28% | 0.23% | 0.22% | 0.23% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.34% | 0.43% | 0.33% | 0.60% | 0.52% | 0.30% |
Portfolio Turnover Rate2 | 38% | 34% | 38% | 38% | 32% | 40% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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
Financial Highlights
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $21.96 | $16.85 | $11.91 | $20.04 | $18.37 | $16.46 |
Investment Operations | ||||||
Net Investment Income | .060 | .107 | .072 | .121 | .125 | .080 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.172 | 5.111 | 4.944 | (8.126) | 1.669 | 1.910 |
Total from Investment Operations | 2.232 | 5.218 | 5.016 | (8.005) | 1.794 | 1.990 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.108) | (.076) | (.125) | (.124) | (.080) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.108) | (.076) | (.125) | (.124) | (.080) |
Net Asset Value, End of Period | $24.19 | $21.96 | $16.85 | $11.91 | $20.04 | $18.37 |
Total Return | 10.16% | 30.96% | 42.13% | -39.91% | 9.78% | 12.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,841 | $1,527 | $945 | $511 | $703 | $257 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.50% | 0.61% | 0.53% | 0.76% | 0.67% | 0.45% |
Portfolio Turnover Rate1 | 38% | 34% | 38% | 38% | 32% | 40% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
37
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 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $77.98 | $59.86 | $42.32 | $71.18 | $65.24 | $58.47 |
Investment Operations | ||||||
Net Investment Income | .202 | .360 | .225 | .411 | .415 | .262 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 7.734 | 18.121 | 17.555 | (28.846) | 5.940 | 6.773 |
Total from Investment Operations | 7.936 | 18.481 | 17.780 | (28.435) | 6.355 | 7.035 |
Distributions | ||||||
Dividends from Net Investment Income | (.006) | (.361) | (.240) | (.425) | (.415) | (.265) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.006) | (.361) | (.240) | (.425) | (.415) | (.265) |
Net Asset Value, End of Period | $85.91 | $77.98 | $59.86 | $42.32 | $71.18 | $65.24 |
Total Return | 10.18% | 30.87% | 42.02% | -39.92% | 9.74% | 12.03% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,299 | $1,842 | $1,177 | $680 | $858 | $518 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.11% | 0.11% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.48% | 0.57% | 0.47% | 0.72% | 0.63% | 0.41% |
Portfolio Turnover Rate1 | 38% | 34% | 38% | 38% | 32% | 40% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
38
Small-Cap Growth Index Fund
Notes to Financial Statements
Vanguard Small-Cap Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative, 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 the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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
39
Small-Cap Growth Index Fund
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $1,513,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.61% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2011, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 9,247,735 | — | 352 |
Temporary Cash Investments | 172,741 | 5,998 | — |
Futures Contracts—Assets1 | 178 | — | — |
Total | 9,420,654 | 5,998 | 352 |
1 Represents variation margin on the last day of the reporting period. |
40
Small-Cap Growth Index Fund
The following table summarizes changes in investments valued based on Level 3 inputs during the six months ended June 30, 2011:
Investments in | |
Common Stocks | |
Amount Valued Based on Level 3 Inputs | ($000) |
Balance as of December 31, 2010 | — |
Transfers into Level 3 | 352 |
Balance as of June 30, 2011 | 352 |
D. At June 30, 2011, 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 2011 | 274 | 22,616 | 956 |
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, 2011, the fund realized $470,709,000 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, 2010, the fund had available capital loss carryforwards totaling $1,428,308,000 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, $822,482,000 through December 31, 2017, and $261,118,000 through December 31, 2018. In addition, the fund realized losses of $59,809,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
41
Small-Cap Growth Index Fund
At June 30, 2011, the cost of investment securities for tax purposes was $7,780,562,000. Net unrealized appreciation of investment securities for tax purposes was $1,646,264,000, consisting of unrealized gains of $1,950,239,000 on securities that had risen in value since their purchase and $303,975,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2011, the fund purchased $3,690,398,000 of investment securities and sold $2,810,727,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 1,053,916 | 45,383 | 1,126,064 | 59,493 |
Issued in Lieu of Cash Distributions | 384 | 17 | 13,472 | 611 |
Redeemed | (600,558) | (25,771) | (838,735) | (46,469) |
Net Increase (Decrease)—Investor Shares | 453,742 | 19,629 | 300,801 | 13,635 |
Institutional Shares | ||||
Issued | 386,483 | 16,587 | 454,233 | 24,423 |
Issued in Lieu of Cash Distributions | 146 | 6 | 7,155 | 324 |
Redeemed | (238,044) | (10,054) | (209,206) | (11,241) |
Net Increase (Decrease)—Institutional Shares | 148,585 | 6,539 | 252,182 | 13,506 |
ETF Shares | ||||
Issued | 1,389,099 | 16,440 | 1,352,428 | 20,055 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,146,662) | (13,300) | (1,059,629) | (16,100) |
Net Increase (Decrease)—ETF Shares | 242,437 | 3,140 | 292,799 | 3,955 |
H. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
42
Small-Cap Value Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | |||
Investor | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VISVX | VSIIX | VBR |
Expense Ratio1 | 0.37% | 0.19% | 0.23% |
30-Day SEC Yield | 1.93% | 2.08% | 2.07% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Small Cap | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 1,019 | 1,014 | 3,745 |
Median Market Cap | $1.8B | $1.8B | $30.8B |
Price/Earnings Ratio | 21.0x | 20.9x | 17.1x |
Price/Book Ratio | 1.5x | 1.5x | 2.2x |
Return on Equity | 8.5% | 8.6% | 19.1% |
Earnings Growth Rate | -0.3% | -0.6% | 5.8% |
Dividend Yield | 2.2% | 2.2% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 35% | — | — |
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 | 11.0% | 10.9% | 12.2% |
Consumer Staples | 3.7 | 3.7 | 9.7 |
Energy | 4.9 | 5.3 | 11.2 |
Financials | 35.1 | 35.0 | 15.4 |
Health Care | 6.2 | 6.2 | 11.3 |
Industrials | 14.5 | 14.4 | 11.6 |
Information | |||
Technology | 9.7 | 9.7 | 18.4 |
Materials | 7.9 | 7.9 | 4.4 |
Telecommunication | |||
Services | 0.4 | 0.4 | 2.6 |
Utilities | 6.6 | 6.5 | 3.2 |
Volatility Measures | ||
MSCI US | DJ | |
Small Cap | U.S. Total | |
Value | Market | |
Index | Index | |
R-Squared | 1.00 | 0.91 |
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) | ||
American Capital Agency | ||
Corp. | Mortgage REITs | 0.6% |
Camden Property Trust | Residential REITs | 0.5 |
Essex Property Trust Inc. | Residential REITs | 0.5 |
Corn Products | Agricultural | |
International Inc. | Products | 0.5 |
BE Aerospace Inc. | Aerospace & | |
Defense | 0.5 | |
First Niagara Financial | Thrifts & Mortgage | |
Group Inc. | Finance | 0.5 |
Domtar Corp. | Paper Products | 0.5 |
Cooper Cos Inc. | Health Care | |
Supplies | 0.4 | |
Foot Locker Inc. | Apparel Retail | 0.4 |
BRE Properties Inc. | Residential REITs | 0.4 |
Top Ten | 4.8% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/ussmallcap_48x45x1.jpg)
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.24% for Investor Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.
43
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 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, 2000, Through June 30, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/ussmallcap_48x46x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | 32.28% | 3.53% | 7.21% |
Institutional Shares | 12/7/1999 | 32.57 | 3.70 | 7.39 |
ETF Shares | 1/26/2004 | |||
Market Price | 32.40 | 3.68 | 6.631 | |
Net Asset Value | 32.52 | 3.65 | 6.641 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
44
Small-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2011
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Common Stocks | |||
Consumer Discretionary | |||
Foot Locker Inc. | 1,321,378 | 31,396 | 0.4% |
Jarden Corp. | 748,645 | 25,836 | 0.4% |
Service Corp. International | 2,050,760 | 23,953 | 0.3% |
* Penn National Gaming Inc. | 570,096 | 22,998 | 0.3% |
* Dana Holding Corp. | 1,237,428 | 22,645 | 0.3% |
Consumer Discretionary—Other † | 678,969 | 9.3% | |
805,797 | 11.0% | ||
Consumer Staples | |||
Corn Products International Inc. | 650,649 | 35,968 | 0.5% |
Flowers Foods Inc. | 988,388 | 21,784 | 0.3% |
Consumer Staples—Other † | 215,756 | 2.9% | |
273,508 | 3.7% | ||
Energy | |||
Tidewater Inc. | 439,296 | 23,638 | 0.3% |
* Oil States International Inc. | 282,372 | 22,564 | 0.3% |
Energy—Other † | 314,509 | 4.3% | |
360,711 | 4.9% | ||
Financials | |||
American Capital Agency Corp. | 1,469,283 | 42,771 | 0.6% |
Camden Property Trust | 595,922 | 37,913 | 0.5% |
Essex Property Trust Inc. | 274,664 | 37,159 | 0.5% |
First Niagara Financial Group Inc. | 2,637,467 | 34,815 | 0.5% |
BRE Properties Inc. | 627,145 | 31,282 | 0.4% |
Senior Housing Properties Trust | 1,296,299 | 30,346 | 0.4% |
* American Capital Ltd. | 2,924,256 | 29,038 | 0.4% |
Ares Capital Corp. | 1,745,821 | 28,055 | 0.4% |
Waddell & Reed Financial Inc. Class A | 733,643 | 26,668 | 0.4% |
Arthur J Gallagher & Co. | 927,448 | 26,469 | 0.4% |
East West Bancorp Inc. | 1,268,970 | 25,646 | 0.4% |
Mack-Cali Realty Corp. | 733,478 | 24,161 | 0.3% |
45
Small-Cap Value Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
* Popular Inc. | 8,734,378 | 24,107 | 0.3% |
MFA Financial Inc. | 2,957,510 | 23,778 | 0.3% |
CBL & Associates Properties Inc. | 1,200,109 | 21,758 | 0.3% |
Financials—Other † | 2,129,782 | 29.0% | |
2,573,748 | 35.1% | ||
Health Care | |||
Cooper Cos. Inc. | 396,676 | 31,433 | 0.4% |
* Mednax Inc. | 409,801 | 29,584 | 0.4% |
PerkinElmer Inc. | 968,231 | 26,055 | 0.4% |
* Health Net Inc. | 796,948 | 25,574 | 0.3% |
* Health Management Associates Inc. Class A | 2,150,164 | 23,179 | 0.3% |
Health Care—Other † | 320,508 | 4.4% | |
456,333 | 6.2% | ||
Industrials | |||
* BE Aerospace Inc. | 873,392 | 35,643 | 0.5% |
Snap-On Inc. | 472,896 | 29,547 | 0.4% |
Carlisle Cos. Inc. | 521,216 | 25,659 | 0.4% |
* WABCO Holdings Inc. | 369,506 | 25,518 | 0.4% |
Lincoln Electric Holdings Inc. | 683,382 | 24,499 | 0.3% |
Trinity Industries Inc. | 681,121 | 23,758 | 0.3% |
Regal-Beloit Corp. | 329,636 | 22,010 | 0.3% |
Industrials—Other † | 875,359 | 11.9% | |
1,061,993 | 14.5% | ||
Information Technology | |||
* Novellus Systems Inc. | 770,115 | 27,832 | 0.4% |
* NCR Corp. | 1,367,263 | 25,828 | 0.3% |
Information Technology—Other † | 656,528 | 9.0% | |
710,188 | 9.7% | ||
Materials | |||
Domtar Corp. | 351,000 | 33,247 | 0.5% |
Aptargroup Inc. | 572,405 | 29,960 | 0.4% |
Temple-Inland Inc. | 923,972 | 27,479 | 0.4% |
RPM International Inc. | 1,110,440 | 25,562 | 0.3% |
Packaging Corp. of America | 874,051 | 24,465 | 0.3% |
Compass Minerals International Inc. | 280,463 | 24,139 | 0.3% |
Cytec Industries Inc. | 401,116 | 22,940 | 0.3% |
Cabot Corp. | 559,041 | 22,289 | 0.3% |
Materials—Other † | 370,620 | 5.1% | |
580,701 | 7.9% | ||
Telecommunication Services † | 30,807 | 0.4% | |
Utilities | |||
Questar Corp. | 1,509,750 | 26,738 | 0.4% |
Westar Energy Inc. | 969,866 | 26,099 | 0.4% |
Atmos Energy Corp. | 774,107 | 25,739 | 0.3% |
Great Plains Energy Inc. | 1,158,769 | 24,021 | 0.3% |
Utilities—Other † | 378,820 | 5.2% | |
481,417 | 6.6% | ||
Total Common Stocks (Cost $6,650,001) | 7,335,203 | 100.0% |
46
Small-Cap Value Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
1,2 Vanguard Market Liquidity Fund | 0.140% | 27,494,822 | 27,495 | 0.4% |
U.S. Government and Agency Obligations † | 850 | 0.0% | ||
Total Temporary Cash Investments (Cost $28,345) | 28,345 | 0.4% | ||
3Total Investments (Cost $6,678,346) | 7,363,548 | 100.4% | ||
Other Assets and Liabilities | ||||
Other Assets | 20,765 | 0.3% | ||
Liabilities2 | (51,539) | (0.7%) | ||
(30,774) | (0.4%) | |||
Net Assets | 7,332,774 | 100.0% |
47
Small-Cap Value Index Fund | |
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 7,902,386 |
Undistributed Net Investment Income | 47,478 |
Accumulated Net Realized Losses | (1,302,292) |
Unrealized Appreciation (Depreciation) | 685,202 |
Net Assets | 7,332,774 |
Investor Shares—Net Assets | |
Applicable to 266,398,550 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,473,551 |
Net Asset Value Per Share—Investor Shares | $16.79 |
Institutional Shares—Net Assets | |
Applicable to 49,149,775 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 827,793 |
Net Asset Value Per Share—Institutional Shares | $16.84 |
ETF Shares—Net Assets | |
Applicable to 28,969,786 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,031,430 |
Net Asset Value Per Share—ETF Shares | $70.12 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $26,376,000 of collateral received for securities on loan.
3 The total value of securities on loan is $24,704,000.
See accompanying Notes, which are an integral part of the Financial Statements.
48
Small-Cap Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 63,766 |
Interest1 | 21 |
Security Lending | 1,603 |
Total Income | 65,390 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 335 |
Management and Administrative—Investor Shares | 4,579 |
Management and Administrative—Institutional Shares | 146 |
Management and Administrative—ETF Shares | 608 |
Marketing and Distribution—Investor Shares | 567 |
Marketing and Distribution—Institutional Shares | 142 |
Marketing and Distribution—ETF Shares | 301 |
Custodian Fees | 177 |
Shareholders’ Reports—Investor Shares | 15 |
Shareholders’ Reports—Institutional Shares | 7 |
Shareholders’ Reports—ETF Shares | 11 |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 6,892 |
Net Investment Income | 58,498 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 807,363 |
Futures Contracts | (123) |
Realized Net Gain (Loss) | 807,240 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (500,616) |
Futures Contracts | 37 |
Change in Unrealized Appreciation (Depreciation) | (500,579) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 365,159 |
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.
49
Small-Cap Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 58,498 | 126,149 |
Realized Net Gain (Loss) | 807,240 | 113,050 |
Change in Unrealized Appreciation (Depreciation) | (500,579) | 1,097,267 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 365,159 | 1,336,466 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (544) | (77,203) |
Institutional Shares | (109) | (16,898) |
ETF Shares | (235) | (35,797) |
Realized Capital Gain | ||
Investor Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (888) | (129,898) |
Capital Share Transactions | ||
Investor Shares | (59,879) | 286,817 |
Institutional Shares | (86,537) | 178,789 |
ETF Shares | 76,364 | 233,708 |
Net Increase (Decrease) from Capital Share Transactions | (70,052) | 699,314 |
Total Increase (Decrease) | 294,219 | 1,905,882 |
Net Assets | ||
Beginning of Period | 7,038,555 | 5,132,673 |
End of Period1 | 7,332,774 | 7,038,555 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $47,478,000 and ($10,132,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
50
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 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $16.01 | $13.06 | $10.21 | $15.49 | $17.05 | $14.56 |
Investment Operations | ||||||
Net Investment Income | .129 | .285 | .241 | .293 | .344 | .311 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .653 | 2.956 | 2.854 | (5.277) | (1.551) | 2.488 |
Total from Investment Operations | .782 | 3.241 | 3.095 | (4.984) | (1.207) | 2.799 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.291) | (.245) | (.296) | (.353) | (.309) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.291) | (.245) | (.296) | (.353) | (.309) |
Net Asset Value, End of Period | $16.79 | $16.01 | $13.06 | $10.21 | $15.49 | $17.05 |
Total Return1 | 4.88% | 24.82% | 30.34% | -32.05% | -7.07% | 19.24% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,474 | $4,316 | $3,279 | $2,435 | $3,678 | $4,314 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.26% | 0.28% | 0.23% | 0.22% | 0.23% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.53% | 2.03% | 2.26% | 2.33% | 1.95% | 2.06% |
Portfolio Turnover Rate2 | 35% | 25% | 33% | 30% | 34% | 25% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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
Financial Highlights
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $16.04 | $13.09 | $10.22 | $15.53 | $17.09 | $14.59 |
Investment Operations | ||||||
Net Investment Income | .143 | .311 | .262 | .315 | .372 | .345 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .659 | 2.957 | 2.874 | (5.307) | (1.551) | 2.488 |
Total from Investment Operations | .802 | 3.268 | 3.136 | (4.992) | (1.179) | 2.833 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.318) | (.266) | (.318) | (.381) | (.333) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.318) | (.266) | (.318) | (.381) | (.333) |
Net Asset Value, End of Period | $16.84 | $16.04 | $13.09 | $10.22 | $15.53 | $17.09 |
Total Return | 5.00% | 24.97% | 30.71% | -32.02% | -6.89% | 19.44% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $828 | $871 | $543 | $383 | $430 | $310 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.69% | 2.21% | 2.46% | 2.49% | 2.10% | 2.21% |
Portfolio Turnover Rate1 | 35% | 25% | 33% | 30% | 34% | 25% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
52
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 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $66.80 | $54.49 | $42.58 | $64.65 | $71.16 | $60.76 |
Investment Operations | ||||||
Net Investment Income | .587 | 1.269 | 1.071 | 1.296 | 1.531 | 1.380 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.741 | 12.340 | 11.923 | (22.053) | (6.474) | 10.391 |
Total from Investment Operations | 3.328 | 13.609 | 12.994 | (20.757) | (4.943) | 11.771 |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (1.299) | (1.084) | (1.313) | (1.567) | (1.371) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.008) | (1.299) | (1.084) | (1.313) | (1.567) | (1.371) |
Net Asset Value, End of Period | $70.12 | $66.80 | $54.49 | $42.58 | $64.65 | $71.16 |
Total Return | 4.98% | 24.97% | 30.52% | -31.99% | -6.96% | 19.40% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,031 | $1,851 | $1,310 | $894 | $819 | $510 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.11% | 0.11% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.67% | 2.17% | 2.40% | 2.45% | 2.06% | 2.17% |
Portfolio Turnover Rate1 | 35% | 25% | 33% | 30% | 34% | 25% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
53
Small-Cap Value Index Fund
Notes to Financial Statements
Vanguard Small-Cap Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative, 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 the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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
54
Small-Cap Value Index Fund
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $1,194,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.48% 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 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, 2011, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 7,335,041 | — | 162 |
Temporary Cash Investments | 27,495 | 850 | — |
Total | 7,362,536 | 850 | 162 |
55
Small-Cap Value Index Fund
The following table summarizes changes in investments valued based on Level 3 inputs during the six months ended June 30, 2011:
Investments in | |
Common Stocks | |
Amount Valued Based on Level 3 Inputs | ($000) |
Balance as of December 31, 2010 | — |
Transfers into Level 3 | 162 |
Balance as of June 30, 2011 | 162 |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2011, the fund realized $349,171,000 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, 2010, the fund had available capital loss carryforwards totaling $1,638,969,000 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, $778,148,000 through December 31, 2017, and $388,773,000 through December 31, 2018. In addition, the fund realized losses of $105,048,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $6,678,346,000. Net unrealized appreciation of investment securities for tax purposes was $685,202,000, consisting of unrealized gains of $1,106,722,000 on securities that had risen in value since their purchase and $421,520,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2011, the fund purchased $2,151,732,000 of investment securities and sold $2,142,079,000 of investment securities, other than temporary cash investments.
56
Small-Cap Value Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 453,488 | 27,598 | 1,084,315 | 75,426 |
Issued in Lieu of Cash Distributions | 505 | 31 | 71,353 | 4,458 |
Redeemed | (513,872) | (30,841) | (868,851) | (61,333) |
Net Increase (Decrease)—Investor Shares | (59,879) | (3,212) | 286,817 | 18,551 |
Institutional Shares | ||||
Issued | 89,857 | 5,448 | 361,078 | 25,363 |
Issued in Lieu of Cash Distributions | 98 | 6 | 15,127 | 943 |
Redeemed | (176,492) | (10,627) | (197,416) | (13,503) |
Net Increase (Decrease)—Institutional Shares | (86,537) | (5,173) | 178,789 | 12,803 |
ETF Shares | ||||
Issued | 842,061 | 12,056 | 1,281,986 | 21,271 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (765,697) | (10,800) | (1,048,278) | (17,600) |
Net Increase (Decrease)—ETF Shares | 76,364 | 1,256 | 233,708 | 3,671 |
G. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
57
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
58
Six Months Ended June 30, 2011
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2010 | 6/30/2011 | Period | |
Based on Actual Fund Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,075.45 | $1.29 |
Admiral Shares | 1,000.00 | 1,075.99 | 0.51 |
Signal Shares | 1,000.00 | 1,076.38 | 0.51 |
Institutional Shares | 1,000.00 | 1,076.30 | 0.41 |
Institutional Plus Shares | 1,000.00 | 1,076.33 | 0.31 |
ETF Shares | 1,000.00 | 1,076.14 | 0.57 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,100.92 | $1.25 |
Institutional Shares | 1,000.00 | 1,101.64 | 0.42 |
ETF Shares | 1,000.00 | 1,101.77 | 0.52 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,048.85 | $1.22 |
Institutional Shares | 1,000.00 | 1,050.00 | 0.41 |
ETF Shares | 1,000.00 | 1,049.82 | 0.51 |
59
Six Months Ended June 30, 2011
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2010 | 6/30/2011 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.55 | $1.25 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Signal Shares | 1,000.00 | 1,024.30 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Institutional Plus Shares | 1,000.00 | 1,024.50 | 0.30 |
ETF Shares | 1,000.00 | 1,024.25 | 0.55 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.30 | 0.50 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.30 | 0.50 |
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, 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.11% for ETF Shares; for the Small-Cap Growth Index Fund, 0.24% for Investor Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; and for the Small-Cap Value Index Fund, 0.24% for Investor Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
60
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 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 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 report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group, and that the funds’ advisory fee rates were also well below their peer-group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ 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.
61
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 securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
62
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.
63
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 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School; Chair of the Investment Committee | ||
of HighVista Strategies LLC (private investment firm). | Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | ||
Alfred M. Rankin, Jr. | Occupation(s) During the Past Five Years: Managing | |
Born 1941. Trustee Since January 1993. Principal | Director of The Vanguard Group, Inc., since 2006; | |
Occupation(s) During the Past Five Years: Chairman, | General Counsel of The Vanguard Group since 2005; | |
President, and Chief Executive Officer of NACCO | Secretary of The Vanguard Group and of each of the | |
Industries, Inc. (forklift trucks/housewares/lignite); | investment companies served by The Vanguard Group | |
Director of Goodrich Corporation (industrial products/ | since 2005; Director and Senior Vice President of | |
aircraft systems and services) and the National | Vanguard Marketing Corporation since 2005; | |
Association of Manufacturers; Chairman of the | Principal of The Vanguard Group (1997–2006). | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | ||
the Board of The Cleveland Museum of Art. | Vanguard Senior Management Team | |
Peter F. Volanakis | R. Gregory Barton | Michael S. Miller |
Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | James M. Norris |
Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | George U. Sauter |
Incorporated (communications equipment); Director of | Martha G. King | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | ||
Business Administration at Dartmouth College. | Chairman Emeritus and Senior Advisor | |
John J. Brennan | ||
Executive Officers | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | ||
Occupation(s) During the Past Five Years: Principal | Founder | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | John C. Bogle | |
Group since 2010; Assistant Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard | ||
Group (2001–2010). |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | The funds or securities referred to herein are not |
Direct Investor Account Services > 800-662-2739 | sponsored, endorsed, or promoted by MSCI, and MSCI |
Institutional Investor Services > 800-523-1036 | bears no liability with respect to any such funds or |
Text Telephone for People | securities. For any such funds or securities, the |
With Hearing Impairment > 800-749-7273 | prospectus or the Statement of Additional Information |
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 vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2011 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q482 082011 |
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2011
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.6%)1 | |||
Consumer Discretionary (13.7%) | |||
* | Tempur-Pedic International Inc. | 1,047,025 | 71,009 |
Gentex Corp. | 2,168,644 | 65,558 | |
* | Signet Jewelers Ltd. | 1,305,307 | 61,101 |
* | Panera Bread Co. Class A | 457,587 | 57,500 |
Foot Locker Inc. | 2,355,070 | 55,956 | |
Polaris Industries Inc. | 489,779 | 54,449 | |
* | Deckers Outdoor Corp. | 586,764 | 51,717 |
Jarden Corp. | 1,334,280 | 46,046 | |
Sotheby's | 1,025,514 | 44,610 | |
* | Ulta Salon Cosmetics & Fragrance Inc. | 678,891 | 43,843 |
* | Under Armour Inc. Class A | 559,288 | 43,239 |
Service Corp. International | 3,653,505 | 42,673 | |
* | Hanesbrands Inc. | 1,466,922 | 41,881 |
Chico's FAS Inc. | 2,703,067 | 41,168 | |
* | Penn National Gaming Inc. | 1,015,837 | 40,979 |
* | Tenneco Inc. | 917,430 | 40,431 |
* | Dana Holding Corp. | 2,205,844 | 40,367 |
* | Big Lots Inc. | 1,148,731 | 38,080 |
John Wiley & Sons Inc. Class A | 701,241 | 36,472 | |
* | Warnaco Group Inc. | 665,407 | 34,768 |
* | CROCS Inc. | 1,350,108 | 34,765 |
* | Ascena Retail Group Inc. | 1,019,365 | 34,709 |
Dillard's Inc. Class A | 639,410 | 33,339 | |
Brinker International Inc. | 1,358,976 | 33,241 | |
Aaron's Inc. | 1,158,780 | 32,747 | |
Wolverine World Wide Inc. | 743,390 | 31,037 | |
Rent-A-Center Inc. | 967,027 | 29,552 | |
* | Cheesecake Factory Inc. | 866,727 | 27,189 |
Cinemark Holdings Inc. | 1,303,383 | 26,993 | |
* | WMS Industries Inc. | 876,967 | 26,940 |
* | Carter's Inc. | 874,947 | 26,913 |
* | Iconix Brand Group Inc. | 1,108,317 | 26,821 |
* | Bally Technologies Inc. | 654,228 | 26,614 |
Brunswick Corp. | 1,286,287 | 26,240 | |
* | Sally Beauty Holdings Inc. | 1,533,947 | 26,230 |
* | Timberland Co. Class A | 608,213 | 26,135 |
Wendy's/Arby's Group Inc. Class A | 5,102,690 | 25,871 | |
Men's Wearhouse Inc. | 763,907 | 25,744 | |
^ | Strayer Education Inc. | 202,101 | 25,544 |
^ | Six Flags Entertainment Corp. | 678,338 | 25,404 |
* | Live Nation Entertainment Inc. | 2,211,425 | 25,365 |
Vail Resorts Inc. | 547,761 | 25,318 | |
*,^ | Coinstar Inc. | 460,388 | 25,110 |
* | Career Education Corp. | 1,177,682 | 24,908 |
* | Shutterfly Inc. | 432,974 | 24,861 |
* | Madison Square Garden Co. Class A | 853,053 | 23,485 |
* | Aeropostale Inc. | 1,338,710 | 23,427 |
Morningstar Inc. | 380,266 | 23,113 | |
* | ANN Inc. | 882,364 | 23,030 |
* | Life Time Fitness Inc. | 574,924 | 22,945 |
* | Valassis Communications Inc. | 755,922 | 22,904 |
*,^ | Tesla Motors Inc. | 783,359 | 22,819 |
Pool Corp. | 756,525 | 22,552 | |
Hillenbrand Inc. | 953,288 | 22,545 | |
* | Steven Madden Ltd. | 575,654 | 21,593 |
RadioShack Corp. | 1,609,641 | 21,424 | |
* | DreamWorks Animation SKG Inc. Class A | 1,064,932 | 21,405 |
* | JOS A Bank Clothiers Inc. | 420,601 | 21,034 |
* | DSW Inc. Class A | 407,322 | 20,615 |
* | HSN Inc. | 618,380 | 20,357 |
Thor Industries Inc. | 679,790 | 19,605 |
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2011
Market | |||
Value | |||
Shares | ($000) | ||
* | BJ's Restaurants Inc. | 373,043 | 19,533 |
* | Saks Inc. | 1,714,534 | 19,151 |
* | Genesco Inc. | 359,564 | 18,733 |
* | Pier 1 Imports Inc. | 1,606,856 | 18,591 |
* | Domino's Pizza Inc. | 730,419 | 18,436 |
* | Buffalo Wild Wings Inc. | 277,460 | 18,398 |
* | Cabela's Inc. | 676,730 | 18,373 |
Buckle Inc. | 426,897 | 18,228 | |
Matthews International Corp. Class A | 450,346 | 18,081 | |
* | Vitamin Shoppe Inc. | 392,047 | 17,940 |
* | Office Depot Inc. | 4,218,524 | 17,802 |
Express Inc. | 810,453 | 17,668 | |
Cooper Tire & Rubber Co. | 892,656 | 17,666 | |
* | Childrens Place Retail Stores Inc. | 395,420 | 17,592 |
^ | Meredith Corp. | 560,458 | 17,447 |
Cracker Barrel Old Country Store Inc. | 353,178 | 17,415 | |
Texas Roadhouse Inc. Class A | 992,844 | 17,410 | |
* | Hibbett Sports Inc. | 425,546 | 17,324 |
Arbitron Inc. | 411,971 | 17,027 | |
Finish Line Inc. Class A | 784,685 | 16,792 | |
* | Orient-Express Hotels Ltd. Class A | 1,559,963 | 16,770 |
* | Gaylord Entertainment Co. | 549,811 | 16,494 |
* | New York Times Co. Class A | 1,890,813 | 16,488 |
Monro Muffler Brake Inc. | 439,420 | 16,386 | |
Bob Evans Farms Inc. | 461,673 | 16,145 | |
Penske Automotive Group Inc. | 704,604 | 16,023 | |
Regal Entertainment Group Class A | 1,294,784 | 15,991 | |
* | Jack in the Box Inc. | 695,659 | 15,847 |
* | Helen of Troy Ltd. | 444,072 | 15,334 |
Choice Hotels International Inc. | 453,597 | 15,132 | |
* | 99 Cents Only Stores | 747,064 | 15,121 |
Group 1 Automotive Inc. | 362,457 | 14,926 | |
*,^ | Eastman Kodak Co. | 4,092,238 | 14,650 |
Jones Group Inc. | 1,343,450 | 14,576 | |
MDC Holdings Inc. | 574,428 | 14,154 | |
National CineMedia Inc. | 836,756 | 14,150 | |
* | Pinnacle Entertainment Inc. | 942,573 | 14,044 |
PF Chang's China Bistro Inc. | 347,627 | 13,989 | |
* | Collective Brands Inc. | 949,675 | 13,951 |
* | Select Comfort Corp. | 758,471 | 13,637 |
American Greetings Corp. Class A | 567,006 | 13,631 | |
Regis Corp. | 877,230 | 13,439 | |
* | American Public Education Inc. | 283,362 | 12,612 |
* | iRobot Corp. | 356,856 | 12,593 |
* | K12 Inc. | 379,648 | 12,582 |
CEC Entertainment Inc. | 308,932 | 12,391 | |
*,^ | Education Management Corp. | 513,975 | 12,305 |
Cato Corp. Class A | 423,006 | 12,183 | |
* | DineEquity Inc. | 232,933 | 12,175 |
International Speedway Corp. Class A | 421,395 | 11,972 | |
Ameristar Casinos Inc. | 490,577 | 11,632 | |
* | Peet's Coffee & Tea Inc. | 198,611 | 11,460 |
* | American Axle & Manufacturing Holdings Inc. | 1,003,023 | 11,414 |
Columbia Sportswear Co. | 179,297 | 11,367 | |
Scholastic Corp. | 421,512 | 11,212 | |
Ryland Group Inc. | 673,571 | 11,134 | |
* | True Religion Apparel Inc. | 366,315 | 10,652 |
* | Vera Bradley Inc. | 277,597 | 10,604 |
* | Belo Corp. Class A | 1,399,976 | 10,542 |
* | Papa John's International Inc. | 312,673 | 10,400 |
KB Home | 1,054,818 | 10,316 | |
* | OfficeMax Inc. | 1,294,423 | 10,161 |
* | Scientific Games Corp. Class A | 976,018 | 10,092 |
* | Meritage Homes Corp. | 442,692 | 9,987 |
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2011
Market | |||
Value | |||
Shares | ($000) | ||
* | Capella Education Co. | 235,354 | 9,850 |
* | Ascent Media Corp. Class A | 185,774 | 9,840 |
* | Maidenform Brands Inc. | 355,539 | 9,834 |
* | Steiner Leisure Ltd. | 214,069 | 9,779 |
*,^ | Blue Nile Inc. | 221,385 | 9,737 |
* | Lumber Liquidators Holdings Inc. | 378,444 | 9,612 |
* | Ruby Tuesday Inc. | 889,657 | 9,590 |
* | Sonic Corp. | 891,132 | 9,473 |
Stage Stores Inc. | 557,508 | 9,366 | |
Stewart Enterprises Inc. Class A | 1,269,272 | 9,266 | |
* | Modine Manufacturing Co. | 602,324 | 9,258 |
* | Quiksilver Inc. | 1,878,805 | 8,830 |
* | Krispy Kreme Doughnuts Inc. | 925,452 | 8,801 |
PEP Boys-Manny Moe & Jack | 799,612 | 8,740 | |
* | G-III Apparel Group Ltd. | 249,801 | 8,613 |
* | Federal-Mogul Corp. | 376,623 | 8,598 |
Sinclair Broadcast Group Inc. Class A | 766,725 | 8,419 | |
* | Skechers U.S.A. Inc. Class A | 580,343 | 8,403 |
Ethan Allen Interiors Inc. | 393,839 | 8,385 | |
* | Interval Leisure Group Inc. | 608,934 | 8,336 |
* | Asbury Automotive Group Inc. | 448,239 | 8,306 |
* | Red Robin Gourmet Burgers Inc. | 226,180 | 8,228 |
Fred's Inc. Class A | 568,420 | 8,202 | |
* | Zumiez Inc. | 327,131 | 8,168 |
Sonic Automotive Inc. Class A | 556,856 | 8,158 | |
*,^ | Bridgepoint Education Inc. | 317,067 | 7,927 |
* | La-Z-Boy Inc. | 789,813 | 7,795 |
*,^ | Rue21 Inc. | 239,044 | 7,769 |
* | Jakks Pacific Inc. | 420,951 | 7,750 |
* | Liz Claiborne Inc. | 1,440,248 | 7,705 |
* | Shuffle Master Inc. | 823,539 | 7,704 |
* | Biglari Holdings Inc. | 19,646 | 7,683 |
* | Exide Technologies | 998,502 | 7,629 |
Superior Industries International Inc. | 344,809 | 7,624 | |
* | Dorman Products Inc. | 189,447 | 7,498 |
Drew Industries Inc. | 300,148 | 7,420 | |
*,^ | Boyd Gaming Corp. | 850,887 | 7,403 |
* | Grand Canyon Education Inc. | 521,000 | 7,388 |
Churchill Downs Inc. | 163,542 | 7,372 | |
* | Charming Shoppes Inc. | 1,753,014 | 7,293 |
Oxford Industries Inc. | 213,851 | 7,220 | |
* | Knology Inc. | 478,671 | 7,108 |
Brown Shoe Co. Inc. | 666,079 | 7,094 | |
* | Wet Seal Inc. Class A | 1,520,602 | 6,797 |
* | Warner Music Group Corp. | 823,483 | 6,769 |
Universal Technical Institute Inc. | 333,848 | 6,600 | |
* | California Pizza Kitchen Inc. | 354,452 | 6,547 |
* | Pre-Paid Legal Services Inc. | 96,411 | 6,410 |
* | AFC Enterprises Inc. | 388,985 | 6,399 |
* | Fuel Systems Solutions Inc. | 253,373 | 6,322 |
Sturm Ruger & Co. Inc. | 284,342 | 6,241 | |
Barnes & Noble Inc. | 367,375 | 6,091 | |
Callaway Golf Co. | 976,941 | 6,077 | |
* | Bravo Brio Restaurant Group Inc. | 234,230 | 5,722 |
* | Denny's Corp. | 1,438,287 | 5,581 |
* | Stoneridge Inc. | 374,843 | 5,525 |
* | Standard Pacific Corp. | 1,643,570 | 5,506 |
Nutrisystem Inc. | 387,294 | 5,445 | |
*,^ | Corinthian Colleges Inc. | 1,216,659 | 5,183 |
* | Universal Electronics Inc. | 203,551 | 5,142 |
Harte-Hanks Inc. | 628,952 | 5,107 | |
* | Perry Ellis International Inc. | 196,240 | 4,955 |
Lincoln Educational Services Corp. | 286,754 | 4,918 | |
* | Libbey Inc. | 299,400 | 4,856 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Lions Gate Entertainment Corp. | 729,467 | 4,829 |
* | America's Car-Mart Inc. | 146,021 | 4,819 |
HOT Topic Inc. | 644,613 | 4,796 | |
* | EW Scripps Co. Class A | 490,313 | 4,741 |
* | Core-Mark Holding Co. Inc. | 132,495 | 4,730 |
Movado Group Inc. | 275,622 | 4,716 | |
* | K-Swiss Inc. Class A | 416,375 | 4,426 |
* | Winnebago Industries Inc. | 442,303 | 4,273 |
* | Shoe Carnival Inc. | 140,779 | 4,244 |
Standard Motor Products Inc. | 275,908 | 4,202 | |
Stein Mart Inc. | 430,634 | 4,151 | |
Blyth Inc. | 81,577 | 4,107 | |
PetMed Express Inc. | 343,066 | 4,065 | |
*,^ | hhgregg Inc. | 302,001 | 4,047 |
^ | World Wrestling Entertainment Inc. Class A | 418,004 | 3,984 |
* | Beazer Homes USA Inc. | 1,163,425 | 3,944 |
* | Body Central Corp. | 165,415 | 3,892 |
* | Overstock.com Inc. | 247,876 | 3,773 |
*,^ | Talbots Inc. | 1,073,605 | 3,586 |
Bebe Stores Inc. | 576,875 | 3,525 | |
* | M/I Homes Inc. | 284,231 | 3,485 |
* | Citi Trends Inc. | 226,065 | 3,409 |
* | Systemax Inc. | 223,944 | 3,346 |
* | Unifi Inc. | 229,744 | 3,170 |
Speedway Motorsports Inc. | 222,607 | 3,157 | |
Christopher & Banks Corp. | 543,986 | 3,128 | |
Marcus Corp. | 316,496 | 3,127 | |
* | Furniture Brands International Inc. | 755,052 | 3,126 |
* | Kirkland's Inc. | 243,153 | 2,923 |
Haverty Furniture Cos. Inc. | 253,907 | 2,922 | |
* | Journal Communications Inc. Class A | 559,518 | 2,893 |
* | Entercom Communications Corp. Class A | 324,463 | 2,816 |
* | Isle of Capri Casinos Inc. | 317,355 | 2,809 |
* | Leapfrog Enterprises Inc. | 660,379 | 2,787 |
Weyco Group Inc. | 112,307 | 2,763 | |
* | ReachLocal Inc. | 126,477 | 2,635 |
CSS Industries Inc. | 124,756 | 2,611 | |
* | Smith & Wesson Holding Corp. | 864,216 | 2,593 |
*,^ | McClatchy Co. Class A | 904,628 | 2,542 |
Ambassadors Group Inc. | 271,625 | 2,398 | |
*,^ | Hovnanian Enterprises Inc. Class A | 961,772 | 2,318 |
Big 5 Sporting Goods Corp. | 280,031 | 2,201 | |
* | Pacific Sunwear of California Inc. | 798,343 | 2,084 |
* | New York & Co. Inc. | 407,805 | 2,019 |
*,^ | Martha Stewart Living Omnimedia Class A | 435,245 | 1,889 |
* | Sealy Corp. | 738,860 | 1,869 |
* | LIN TV Corp. Class A | 379,842 | 1,850 |
* | Kenneth Cole Productions Inc. Class A | 146,429 | 1,829 |
* | Tower International Inc. | 100,986 | 1,786 |
* | Gordmans Stores Inc. | 84,875 | 1,476 |
*,^ | Dex One Corp. | 567,595 | 1,436 |
* | Archipelago Learning Inc. | 139,408 | 1,375 |
* | Coldwater Creek Inc. | 976,709 | 1,367 |
*,^ | Vitacost.com Inc. | 253,356 | 1,226 |
* | Marine Products Corp. | 168,946 | 1,135 |
*,^ | Wonder Auto Technology Inc. | 288,846 | 783 |
* | Orbitz Worldwide Inc. | 307,776 | 766 |
* | Krispy Kreme Doughnuts Inc. Warrants Exp. 03/02/2012 | 7,748 | 5 |
3,594,832 | |||
Consumer Staples (3.0%) | |||
Corn Products International Inc. | 1,159,748 | 64,111 | |
* | BJ's Wholesale Club Inc. | 831,277 | 41,855 |
Flowers Foods Inc. | 1,761,948 | 38,833 | |
Nu Skin Enterprises Inc. Class A | 847,027 | 31,806 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Darling International Inc. | 1,777,219 | 31,457 |
SUPERVALU Inc. | 3,215,329 | 30,256 | |
* | United Natural Foods Inc. | 696,791 | 29,732 |
* | TreeHouse Foods Inc. | 539,442 | 29,459 |
Ruddick Corp. | 673,394 | 29,320 | |
^ | Diamond Foods Inc. | 334,341 | 25,524 |
Casey's General Stores Inc. | 577,333 | 25,403 | |
Lancaster Colony Corp. | 294,181 | 17,892 | |
* | Hain Celestial Group Inc. | 523,985 | 17,480 |
* | Fresh Market Inc. | 438,227 | 16,951 |
Fresh Del Monte Produce Inc. | 632,698 | 16,874 | |
B&G Foods Inc. Class A | 724,923 | 14,948 | |
^ | Sanderson Farms Inc. | 303,105 | 14,482 |
Pricesmart Inc. | 273,084 | 13,990 | |
* | Rite Aid Corp. | 10,149,957 | 13,499 |
Universal Corp. | 357,148 | 13,454 | |
Snyders-Lance Inc. | 606,677 | 13,122 | |
* | Boston Beer Co. Inc. Class A | 140,910 | 12,626 |
J&J Snack Foods Corp. | 226,035 | 11,268 | |
*,^ | Central European Distribution Corp. | 1,004,703 | 11,253 |
Andersons Inc. | 266,202 | 11,247 | |
^ | Vector Group Ltd. | 627,820 | 11,169 |
* | Elizabeth Arden Inc. | 372,040 | 10,800 |
* | Prestige Brands Holdings Inc. | 765,307 | 9,827 |
WD-40 Co. | 246,824 | 9,636 | |
* | Chiquita Brands International Inc. | 688,097 | 8,959 |
* | Spectrum Brands Holdings Inc. | 271,548 | 8,690 |
* | Heckmann Corp. | 1,406,532 | 8,495 |
Tootsie Roll Industries Inc. | 286,005 | 8,369 | |
*,^ | Dole Food Co. Inc. | 605,022 | 8,180 |
Weis Markets Inc. | 183,772 | 7,485 | |
*,^ | Star Scientific Inc. | 1,627,868 | 7,325 |
* | Winn-Dixie Stores Inc. | 847,490 | 7,161 |
^ | Cal-Maine Foods Inc. | 210,900 | 6,740 |
Spartan Stores Inc. | 343,789 | 6,714 | |
Nash Finch Co. | 184,786 | 6,617 | |
* | Pantry Inc. | 348,441 | 6,547 |
* | Central Garden and Pet Co. Class A | 606,928 | 6,160 |
Inter Parfums Inc. | 254,532 | 5,862 | |
Coca-Cola Bottling Co. Consolidated | 76,112 | 5,150 | |
* | Medifast Inc. | 211,309 | 5,014 |
* | Smart Balance Inc. | 912,792 | 4,728 |
* | Pilgrim's Pride Corp. | 815,825 | 4,414 |
* | Alliance One International Inc. | 1,260,740 | 4,072 |
* | USANA Health Sciences Inc. | 121,801 | 3,810 |
Calavo Growers Inc. | 178,126 | 3,751 | |
* | Primo Water Corp. | 217,571 | 3,131 |
* | Revlon Inc. Class A | 186,189 | 3,128 |
Ingles Markets Inc. Class A | 155,728 | 2,577 | |
National Beverage Corp. | 174,220 | 2,552 | |
* | Seneca Foods Corp. Class A | 94,193 | 2,410 |
Village Super Market Inc. Class A | 85,069 | 2,357 | |
* | Central Garden and Pet Co. | 209,983 | 2,180 |
* | Susser Holdings Corp. | 131,070 | 2,060 |
Alico Inc. | 55,558 | 1,423 | |
Farmer Bros Co. | 110,114 | 1,117 | |
*,^ | American Oriental Bioengineering Inc. | 46,393 | 52 |
775,504 | |||
Energy (6.0%) | |||
* | Oil States International Inc. | 774,204 | 61,867 |
* | Brigham Exploration Co. | 1,779,188 | 53,251 |
CARBO Ceramics Inc. | 299,652 | 48,828 | |
* | Superior Energy Services Inc. | 1,200,627 | 44,591 |
Tidewater Inc. | 783,143 | 42,141 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Rosetta Resources Inc. | 805,036 | 41,492 |
Lufkin Industries Inc. | 457,641 | 39,380 | |
* | Atwood Oceanics Inc. | 885,705 | 39,086 |
World Fuel Services Corp. | 1,059,085 | 38,053 | |
* | Unit Corp. | 620,881 | 37,830 |
Berry Petroleum Co. Class A | 704,707 | 37,441 | |
* | Key Energy Services Inc. | 1,953,474 | 35,162 |
* | Dril-Quip Inc. | 487,678 | 33,079 |
* | Bill Barrett Corp. | 713,627 | 33,077 |
* | CVR Energy Inc. | 1,336,026 | 32,893 |
* | Energy XXI Bermuda Ltd. | 978,709 | 32,513 |
* | Complete Production Services Inc. | 957,147 | 31,930 |
SEACOR Holdings Inc. | 309,769 | 30,964 | |
* | Patriot Coal Corp. | 1,389,992 | 30,941 |
Bristow Group Inc. | 552,475 | 28,187 | |
* | McMoRan Exploration Co. | 1,446,627 | 26,734 |
* | Helix Energy Solutions Group Inc. | 1,531,095 | 25,355 |
* | Gran Tierra Energy Inc. | 3,665,139 | 24,227 |
* | Swift Energy Co. | 640,161 | 23,859 |
* | Carrizo Oil & Gas Inc. | 555,851 | 23,207 |
* | Oasis Petroleum Inc. | 772,370 | 22,924 |
* | Stone Energy Corp. | 665,019 | 20,210 |
* | Comstock Resources Inc. | 689,930 | 19,863 |
* | Cloud Peak Energy Inc. | 926,871 | 19,742 |
*,^ | Northern Oil and Gas Inc. | 829,824 | 18,381 |
* | Exterran Holdings Inc. | 914,022 | 18,125 |
* | ION Geophysical Corp. | 1,863,938 | 17,633 |
* | Gulfport Energy Corp. | 573,341 | 17,022 |
RPC Inc. | 676,705 | 16,606 | |
* | Gulfmark Offshore Inc. | 356,709 | 15,763 |
W&T Offshore Inc. | 567,900 | 14,834 | |
* | Tetra Technologies Inc. | 1,159,773 | 14,764 |
* | Enbridge Energy Management LLC | 470,666 | 14,544 |
*,^ | Western Refining Inc. | 803,309 | 14,516 |
*,^ | Kodiak Oil & Gas Corp. | 2,509,020 | 14,477 |
* | SemGroup Corp. Class A | 559,866 | 14,372 |
* | Newpark Resources Inc. | 1,374,702 | 12,469 |
^ | Overseas Shipholding Group Inc. | 441,099 | 11,883 |
Targa Resources Corp. | 353,955 | 11,843 | |
* | Pioneer Drilling Co. | 743,210 | 11,326 |
* | Cheniere Energy Inc. | 1,234,992 | 11,312 |
Contango Oil & Gas Co. | 191,983 | 11,219 | |
* | Basic Energy Services Inc. | 349,622 | 11,003 |
* | James River Coal Co. | 524,005 | 10,910 |
*,^ | ATP Oil & Gas Corp. | 701,598 | 10,741 |
* | Petroleum Development Corp. | 356,690 | 10,669 |
*,^ | Resolute Energy Corp. | 627,074 | 10,133 |
* | Hornbeck Offshore Services Inc. | 362,266 | 9,962 |
* | Parker Drilling Co. | 1,682,937 | 9,845 |
* | Hercules Offshore Inc. | 1,746,010 | 9,620 |
* | Tesco Corp. | 488,574 | 9,483 |
*,^ | Clean Energy Fuels Corp. | 721,107 | 9,483 |
*,^ | Hyperdynamics Corp. | 2,182,954 | 9,387 |
Penn Virginia Corp. | 694,140 | 9,170 | |
* | Global Industries Ltd. | 1,582,150 | 8,670 |
* | Cal Dive International Inc. | 1,434,404 | 8,578 |
*,^ | Amyris Inc. | 300,256 | 8,434 |
* | Goodrich Petroleum Corp. | 430,726 | 7,930 |
Crosstex Energy Inc. | 642,699 | 7,648 | |
* | Endeavour International Corp. | 480,100 | 7,235 |
* | Clayton Williams Energy Inc. | 120,009 | 7,207 |
* | Magnum Hunter Resources Corp. | 1,064,063 | 7,193 |
* | Approach Resources Inc. | 310,785 | 7,045 |
* | OYO Geospace Corp. | 69,748 | 6,975 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | FX Energy Inc. | 780,735 | 6,855 |
Gulf Island Fabrication Inc. | 207,061 | 6,684 | |
* | Energy Partners Ltd. | 426,217 | 6,312 |
* | Georesources Inc. | 270,434 | 6,082 |
* | Petroquest Energy Inc. | 864,271 | 6,067 |
* | USEC Inc. | 1,751,377 | 5,850 |
* | Venoco Inc. | 458,612 | 5,843 |
*,^ | Harvest Natural Resources Inc. | 488,302 | 5,386 |
* | Matrix Service Co. | 401,872 | 5,377 |
* | Willbros Group Inc. | 619,575 | 5,291 |
* | Rex Energy Corp. | 504,544 | 5,182 |
^ | Houston American Energy Corp. | 281,916 | 5,111 |
*,^ | Abraxas Petroleum Corp. | 1,324,189 | 5,072 |
* | Vaalco Energy Inc. | 816,117 | 4,913 |
* | Global Geophysical Services Inc. | 274,116 | 4,879 |
*,^ | BPZ Resources Inc. | 1,407,150 | 4,615 |
* | Vantage Drilling Co. | 2,420,769 | 4,406 |
*,^ | TransAtlantic Petroleum Ltd. | 2,552,284 | 4,339 |
* | Dawson Geophysical Co. | 120,572 | 4,118 |
* | PHI Inc. | 189,223 | 4,112 |
* | Warren Resources Inc. | 1,029,697 | 3,923 |
* | Triangle Petroleum Corp. | 601,293 | 3,884 |
*,^ | Green Plains Renewable Energy Inc. | 326,618 | 3,524 |
* | Rentech Inc. | 2,898,765 | 3,073 |
*,^ | Uranium Energy Corp. | 1,003,956 | 3,072 |
* | Gastar Exploration Ltd. | 855,717 | 2,935 |
Delek US Holdings Inc. | 164,305 | 2,580 | |
General Maritime Corp. | 1,615,284 | 2,181 | |
^ | Alon USA Energy Inc. | 163,585 | 1,844 |
* | Oilsands Quest Inc. | 5,182,599 | 1,658 |
* | RigNet Inc. | 93,158 | 1,584 |
*,^ | Delta Petroleum Corp. | 2,799,656 | 1,389 |
* | Atlas Energy Inc. Escrow | 1,192,784 | 119 |
Holly Corp. | 726 | 50 | |
Frontier Oil Corp. | 1,439 | 46 | |
1,575,593 | |||
Financials (20.4%) | |||
American Capital Agency Corp. | 2,617,974 | 76,209 | |
Camden Property Trust | 1,062,267 | 67,581 | |
Essex Property Trust Inc. | 489,672 | 66,248 | |
First Niagara Financial Group Inc. | 4,699,210 | 62,030 | |
BRE Properties Inc. | 1,117,724 | 55,752 | |
Senior Housing Properties Trust | 2,310,466 | 54,088 | |
* | E*Trade Financial Corp. | 3,823,377 | 52,763 |
* | American Capital Ltd. | 5,211,907 | 51,754 |
Taubman Centers Inc. | 849,275 | 50,277 | |
Ares Capital Corp. | 3,111,580 | 50,003 | |
Waddell & Reed Financial Inc. Class A | 1,307,818 | 47,539 | |
Arthur J Gallagher & Co. | 1,653,213 | 47,183 | |
Apartment Investment & Management Co. | 1,797,697 | 45,895 | |
East West Bancorp Inc. | 2,262,002 | 45,715 | |
Developers Diversified Realty Corp. | 3,128,016 | 44,105 | |
Mack-Cali Realty Corp. | 1,307,439 | 43,067 | |
* | Popular Inc. | 15,563,271 | 42,955 |
MFA Financial Inc. | 5,270,032 | 42,371 | |
CBL & Associates Properties Inc. | 2,139,181 | 38,783 | |
* | SVB Financial Group | 645,619 | 38,550 |
BioMed Realty Trust Inc. | 1,998,526 | 38,452 | |
Hancock Holding Co. | 1,219,003 | 37,765 | |
Mid-America Apartment Communities Inc. | 543,707 | 36,684 | |
Associated Banc-Corp | 2,636,141 | 36,642 | |
Highwoods Properties Inc. | 1,091,482 | 36,161 | |
American Campus Communities Inc. | 1,016,389 | 36,102 | |
Douglas Emmett Inc. | 1,796,619 | 35,735 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Signature Bank | 618,015 | 35,350 |
Home Properties Inc. | 578,152 | 35,198 | |
* | Forest City Enterprises Inc. Class A | 1,860,363 | 34,733 |
Kilroy Realty Corp. | 877,828 | 34,665 | |
Equity Lifestyle Properties Inc. | 551,874 | 34,459 | |
Bank of Hawaii Corp. | 730,168 | 33,967 | |
Corporate Office Properties Trust | 1,082,382 | 33,673 | |
Valley National Bancorp | 2,453,672 | 33,394 | |
Tanger Factory Outlet Centers | 1,236,742 | 33,108 | |
Entertainment Properties Trust | 707,386 | 33,035 | |
Washington REIT | 1,003,161 | 32,623 | |
LaSalle Hotel Properties | 1,235,299 | 32,538 | |
Fulton Financial Corp. | 3,030,668 | 32,458 | |
Erie Indemnity Co. Class A | 454,414 | 32,136 | |
Omega Healthcare Investors Inc. | 1,522,471 | 31,987 | |
Allied World Assurance Co. Holdings Ltd. | 550,858 | 31,718 | |
* | Alleghany Corp. | 95,076 | 31,671 |
TCF Financial Corp. | 2,271,274 | 31,344 | |
National Retail Properties Inc. | 1,275,022 | 31,251 | |
Hatteras Financial Corp. | 1,104,312 | 31,175 | |
* | ProAssurance Corp. | 441,163 | 30,881 |
Apollo Investment Corp. | 2,975,972 | 30,385 | |
Post Properties Inc. | 744,691 | 30,354 | |
* | CNO Financial Group Inc. | 3,821,026 | 30,224 |
Protective Life Corp. | 1,304,112 | 30,164 | |
CapitalSource Inc. | 4,676,088 | 30,161 | |
Capitol Federal Financial Inc. | 2,549,721 | 29,985 | |
Prosperity Bancshares Inc. | 675,201 | 29,587 | |
StanCorp Financial Group Inc. | 699,483 | 29,511 | |
Starwood Property Trust Inc. | 1,418,328 | 29,090 | |
Invesco Mortgage Capital Inc. | 1,375,554 | 29,065 | |
FirstMerit Corp. | 1,752,409 | 28,932 | |
Extra Space Storage Inc. | 1,337,926 | 28,538 | |
CommonWealth REIT | 1,097,787 | 28,367 | |
Washington Federal Inc. | 1,710,720 | 28,107 | |
* | Stifel Financial Corp. | 779,065 | 27,937 |
Aspen Insurance Holdings Ltd. | 1,074,439 | 27,645 | |
DiamondRock Hospitality Co. | 2,519,333 | 27,032 | |
Endurance Specialty Holdings Ltd. | 647,008 | 26,741 | |
* | Howard Hughes Corp. | 401,763 | 26,131 |
Cash America International Inc. | 450,503 | 26,071 | |
Hanover Insurance Group Inc. | 688,860 | 25,977 | |
Alterra Capital Holdings Ltd. | 1,120,745 | 24,993 | |
First American Financial Corp. | 1,592,191 | 24,918 | |
Synovus Financial Corp. | 11,941,221 | 24,838 | |
* | Ezcorp Inc. Class A | 679,090 | 24,159 |
Brandywine Realty Trust | 2,047,220 | 23,727 | |
Webster Financial Corp. | 1,127,809 | 23,707 | |
Iberiabank Corp. | 409,044 | 23,577 | |
Unitrin Inc. | 790,268 | 23,447 | |
DuPont Fabros Technology Inc. | 926,100 | 23,338 | |
Colonial Properties Trust | 1,132,524 | 23,103 | |
* | Portfolio Recovery Associates Inc. | 260,481 | 22,086 |
Greenhill & Co. Inc. | 406,393 | 21,872 | |
Westamerica Bancorporation | 441,735 | 21,755 | |
Trustmark Corp. | 924,549 | 21,644 | |
Delphi Financial Group Inc. | 739,456 | 21,599 | |
Potlatch Corp. | 609,535 | 21,498 | |
Healthcare Realty Trust Inc. | 1,023,098 | 21,107 | |
Northwest Bancshares Inc. | 1,661,145 | 20,897 | |
UMB Financial Corp. | 493,763 | 20,679 | |
Umpqua Holdings Corp. | 1,743,787 | 20,176 | |
*,^ | MBIA Inc. | 2,281,901 | 19,830 |
Lexington Realty Trust | 2,155,588 | 19,681 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Medical Properties Trust Inc. | 1,699,422 | 19,543 | |
DCT Industrial Trust Inc. | 3,734,672 | 19,532 | |
* | MF Global Holdings Ltd. | 2,486,814 | 19,248 |
FNB Corp. | 1,837,370 | 19,017 | |
Platinum Underwriters Holdings Ltd. | 569,608 | 18,934 | |
Cathay General Bancorp | 1,137,033 | 18,636 | |
* | First Cash Financial Services Inc. | 429,856 | 18,050 |
Redwood Trust Inc. | 1,189,724 | 17,989 | |
Equity One Inc. | 960,004 | 17,894 | |
RLI Corp. | 288,162 | 17,843 | |
* | PHH Corp. | 852,222 | 17,488 |
EastGroup Properties Inc. | 410,677 | 17,458 | |
Sovran Self Storage Inc. | 421,110 | 17,265 | |
Astoria Financial Corp. | 1,348,712 | 17,250 | |
Wintrust Financial Corp. | 531,998 | 17,120 | |
Montpelier Re Holdings Ltd. | 947,079 | 17,047 | |
Symetra Financial Corp. | 1,259,296 | 16,912 | |
* | Sunstone Hotel Investors Inc. | 1,789,297 | 16,587 |
PS Business Parks Inc. | 300,462 | 16,555 | |
^ | Prospect Capital Corp. | 1,636,303 | 16,543 |
National Penn Bancshares Inc. | 2,082,516 | 16,514 | |
Mercury General Corp. | 417,229 | 16,476 | |
* | MGIC Investment Corp. | 2,746,411 | 16,341 |
National Health Investors Inc. | 358,288 | 15,919 | |
Susquehanna Bancshares Inc. | 1,978,645 | 15,829 | |
* | World Acceptance Corp. | 241,041 | 15,805 |
* | Knight Capital Group Inc. Class A | 1,418,927 | 15,637 |
Old National Bancorp | 1,442,177 | 15,576 | |
^ | Cypress Sharpridge Investments Inc. | 1,210,320 | 15,504 |
United Bankshares Inc. | 630,966 | 15,446 | |
Pebblebrook Hotel Trust | 753,054 | 15,204 | |
U-Store-It Trust | 1,425,990 | 15,001 | |
MB Financial Inc. | 779,691 | 15,001 | |
First Citizens BancShares Inc. Class A | 80,050 | 14,987 | |
Glacier Bancorp Inc. | 1,094,799 | 14,758 | |
First Financial Bancorp | 883,495 | 14,746 | |
* | Strategic Hotels & Resorts Inc. | 2,074,210 | 14,685 |
* | Ocwen Financial Corp. | 1,150,094 | 14,675 |
Capstead Mortgage Corp. | 1,092,824 | 14,644 | |
Two Harbors Investment Corp. | 1,358,398 | 14,603 | |
* | Texas Capital Bancshares Inc. | 564,742 | 14,587 |
Glimcher Realty Trust | 1,520,106 | 14,441 | |
Franklin Street Properties Corp. | 1,115,260 | 14,398 | |
Tower Group Inc. | 600,616 | 14,307 | |
* | First Industrial Realty Trust Inc. | 1,249,187 | 14,303 |
BancorpSouth Inc. | 1,143,150 | 14,186 | |
Argo Group International Holdings Ltd. | 475,527 | 14,133 | |
Anworth Mortgage Asset Corp. | 1,852,108 | 13,909 | |
First Midwest Bancorp Inc. | 1,127,937 | 13,862 | |
International Bancshares Corp. | 824,556 | 13,795 | |
Primerica Inc. | 617,602 | 13,569 | |
PrivateBancorp Inc. Class A | 977,989 | 13,496 | |
* | Enstar Group Ltd. | 128,761 | 13,454 |
* | Dollar Financial Corp. | 617,367 | 13,366 |
Selective Insurance Group Inc. | 821,154 | 13,360 | |
First Financial Bankshares Inc. | 382,952 | 13,193 | |
Community Bank System Inc. | 532,002 | 13,188 | |
* | Credit Acceptance Corp. | 154,454 | 13,047 |
Hersha Hospitality Trust Class A | 2,318,788 | 12,916 | |
* | Financial Engines Inc. | 492,542 | 12,767 |
Fifth Street Finance Corp. | 1,092,151 | 12,669 | |
LTC Properties Inc. | 453,504 | 12,616 | |
Pennsylvania REIT | 801,531 | 12,584 | |
Government Properties Income Trust | 462,426 | 12,495 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Acadia Realty Trust | 614,031 | 12,483 | |
Park National Corp. | 187,388 | 12,341 | |
Alexander's Inc. | 31,028 | 12,318 | |
Cousins Properties Inc. | 1,420,679 | 12,133 | |
* | Greenlight Capital Re Ltd. Class A | 458,945 | 12,066 |
Sterling Bancshares Inc. | 1,475,980 | 12,044 | |
CVB Financial Corp. | 1,287,909 | 11,913 | |
Solar Capital Ltd. | 480,329 | 11,859 | |
Inland Real Estate Corp. | 1,335,563 | 11,793 | |
CreXus Investment Corp. | 1,057,622 | 11,750 | |
Provident Financial Services Inc. | 819,679 | 11,738 | |
Evercore Partners Inc. Class A | 351,281 | 11,705 | |
First Potomac Realty Trust | 758,629 | 11,615 | |
NBT Bancorp Inc. | 523,885 | 11,594 | |
Sun Communities Inc. | 300,984 | 11,230 | |
* | Altisource Portfolio Solutions SA | 302,545 | 11,134 |
* | Investors Bancorp Inc. | 772,399 | 10,968 |
optionsXpress Holdings Inc. | 656,289 | 10,947 | |
Bank of the Ozarks Inc. | 207,262 | 10,790 | |
American Equity Investment Life Holding Co. | 844,313 | 10,731 | |
Investors Real Estate Trust | 1,207,441 | 10,456 | |
Oritani Financial Corp. | 812,844 | 10,396 | |
Infinity Property & Casualty Corp. | 188,986 | 10,330 | |
Columbia Banking System Inc. | 598,640 | 10,309 | |
Ashford Hospitality Trust Inc. | 827,964 | 10,308 | |
Associated Estates Realty Corp. | 631,670 | 10,265 | |
* | iStar Financial Inc. | 1,265,002 | 10,259 |
Getty Realty Corp. | 401,291 | 10,125 | |
Interactive Brokers Group Inc. | 643,162 | 10,065 | |
KBW Inc. | 529,281 | 9,898 | |
Nelnet Inc. Class A | 448,366 | 9,891 | |
Employers Holdings Inc. | 585,716 | 9,822 | |
PacWest Bancorp | 474,666 | 9,764 | |
Cohen & Steers Inc. | 292,222 | 9,687 | |
American National Insurance Co. | 122,566 | 9,499 | |
Horace Mann Educators Corp. | 605,630 | 9,454 | |
Education Realty Trust Inc. | 1,098,079 | 9,411 | |
* | FelCor Lodging Trust Inc. | 1,746,802 | 9,310 |
Amtrust Financial Services Inc. | 407,656 | 9,286 | |
BlackRock Kelso Capital Corp. | 1,031,253 | 9,250 | |
First Commonwealth Financial Corp. | 1,595,344 | 9,157 | |
Oriental Financial Group Inc. | 705,791 | 9,098 | |
* | Navigators Group Inc. | 191,904 | 9,019 |
* | Pico Holdings Inc. | 310,949 | 9,018 |
* | Investment Technology Group Inc. | 633,111 | 8,876 |
* | Forestar Group Inc. | 539,486 | 8,864 |
MarketAxess Holdings Inc. | 353,291 | 8,853 | |
Walter Investment Management Corp. | 391,711 | 8,692 | |
Radian Group Inc. | 2,024,849 | 8,565 | |
* | Encore Capital Group Inc. | 274,309 | 8,427 |
Colony Financial Inc. | 465,264 | 8,407 | |
Brookline Bancorp Inc. | 900,154 | 8,344 | |
Home Bancshares Inc. | 346,431 | 8,190 | |
Safety Insurance Group Inc. | 194,723 | 8,186 | |
* | Piper Jaffray Cos. | 280,431 | 8,079 |
Independent Bank Corp. | 306,996 | 8,059 | |
* | Western Alliance Bancorp | 1,120,518 | 7,956 |
S&T Bancorp Inc. | 424,886 | 7,899 | |
BGC Partners Inc. Class A | 1,016,511 | 7,858 | |
Chemical Financial Corp. | 418,043 | 7,842 | |
City Holding Co. | 236,314 | 7,805 | |
Chesapeake Lodging Trust | 450,327 | 7,683 | |
* | Tejon Ranch Co. | 224,878 | 7,668 |
* | Pinnacle Financial Partners Inc. | 492,277 | 7,660 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | National Financial Partners Corp. | 663,437 | 7,656 |
Meadowbrook Insurance Group Inc. | 771,183 | 7,642 | |
*,^ | Sterling Financial Corp. | 471,677 | 7,580 |
WesBanco Inc. | 384,484 | 7,559 | |
PennantPark Investment Corp. | 673,756 | 7,553 | |
ARMOUR Residential REIT Inc. | 1,021,169 | 7,506 | |
Maiden Holdings Ltd. | 823,503 | 7,494 | |
Flagstone Reinsurance Holdings SA | 888,137 | 7,487 | |
*,^ | Green Dot Corp. Class A | 219,697 | 7,465 |
Universal Health Realty Income Trust | 183,034 | 7,318 | |
ViewPoint Financial Group | 528,824 | 7,298 | |
FBL Financial Group Inc. Class A | 226,359 | 7,277 | |
Saul Centers Inc. | 182,300 | 7,177 | |
Ramco-Gershenson Properties Trust | 576,893 | 7,142 | |
MCG Capital Corp. | 1,161,801 | 7,064 | |
* | HFF Inc. Class A | 464,197 | 7,005 |
Boston Private Financial Holdings Inc. | 1,044,344 | 6,872 | |
Retail Opportunity Investments Corp. | 635,567 | 6,839 | |
Trustco Bank Corp. NY | 1,390,311 | 6,813 | |
* | ICG Group Inc. | 556,863 | 6,810 |
Newcastle Investment Corp. | 1,173,074 | 6,780 | |
Hercules Technology Growth Capital Inc. | 636,389 | 6,695 | |
PennyMac Mortgage Investment Trust | 400,289 | 6,633 | |
Sandy Spring Bancorp Inc. | 365,068 | 6,568 | |
Dime Community Bancshares Inc. | 446,684 | 6,495 | |
* | AMERISAFE Inc. | 279,929 | 6,332 |
Sabra Healthcare REIT Inc. | 378,513 | 6,325 | |
Resource Capital Corp. | 981,862 | 6,205 | |
Campus Crest Communities Inc. | 466,267 | 6,033 | |
* | Safeguard Scientifics Inc. | 313,758 | 5,924 |
United Fire & Casualty Co. | 338,197 | 5,874 | |
Flushing Financial Corp. | 450,284 | 5,854 | |
National Western Life Insurance Co. Class A | 36,464 | 5,815 | |
Harleysville Group Inc. | 184,959 | 5,765 | |
NorthStar Realty Finance Corp. | 1,422,646 | 5,733 | |
Simmons First National Corp. Class A | 223,183 | 5,727 | |
Artio Global Investors Inc. Class A | 506,165 | 5,720 | |
* | Hilltop Holdings Inc. | 643,778 | 5,691 |
Parkway Properties Inc. | 333,254 | 5,685 | |
* | Intl. FCStone Inc. | 232,902 | 5,639 |
SCBT Financial Corp. | 194,439 | 5,576 | |
* | FPIC Insurance Group Inc. | 132,715 | 5,532 |
Renasant Corp. | 379,776 | 5,503 | |
Community Trust Bancorp Inc. | 197,459 | 5,474 | |
Berkshire Hills Bancorp Inc. | 242,304 | 5,425 | |
First Busey Corp. | 1,023,107 | 5,412 | |
Duff & Phelps Corp. Class A | 414,226 | 5,315 | |
First Financial Corp. | 160,016 | 5,239 | |
Winthrop Realty Trust | 438,695 | 5,238 | |
Advance America Cash Advance Centers Inc. | 757,060 | 5,216 | |
Tompkins Financial Corp. | 132,481 | 5,199 | |
Lakeland Financial Corp. | 231,522 | 5,154 | |
GFI Group Inc. | 1,108,224 | 5,087 | |
Coresite Realty Corp. | 298,989 | 4,903 | |
^ | TowneBank | 365,254 | 4,887 |
CapLease Inc. | 978,400 | 4,804 | |
Washington Trust Bancorp Inc. | 208,490 | 4,789 | |
Southside Bancshares Inc. | 237,446 | 4,713 | |
Urstadt Biddle Properties Inc. Class A | 259,516 | 4,700 | |
* | Global Indemnity plc | 208,967 | 4,635 |
Provident New York Bancorp | 552,864 | 4,622 | |
SY Bancorp Inc. | 198,503 | 4,615 | |
Hudson Pacific Properties Inc. | 297,127 | 4,614 | |
1st Source Corp. | 221,894 | 4,602 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
MVC Capital Inc. | 346,906 | 4,590 | |
Kite Realty Group Trust | 916,159 | 4,562 | |
* | Beneficial Mutual Bancorp Inc. | 555,041 | 4,560 |
Cardinal Financial Corp. | 414,977 | 4,544 | |
* | eHealth Inc. | 337,989 | 4,516 |
Rockville Financial Inc. | 451,378 | 4,469 | |
* | Nara Bancorp Inc. | 546,989 | 4,447 |
Cogdell Spencer Inc. | 735,863 | 4,408 | |
Calamos Asset Management Inc. Class A | 302,986 | 4,399 | |
Cedar Shopping Centers Inc. | 854,021 | 4,398 | |
Sterling Bancorp | 460,647 | 4,372 | |
* | Phoenix Cos. Inc. | 1,767,614 | 4,348 |
Oppenheimer Holdings Inc. Class A | 151,470 | 4,273 | |
State Auto Financial Corp. | 244,204 | 4,256 | |
Capital Southwest Corp. | 45,713 | 4,218 | |
Northfield Bancorp Inc. | 297,481 | 4,183 | |
StellarOne Corp. | 345,356 | 4,182 | |
* | Citizens Republic Bancorp Inc. | 6,050,183 | 4,175 |
OneBeacon Insurance Group Ltd. Class A | 310,692 | 4,160 | |
Hudson Valley Holding Corp. | 214,431 | 4,141 | |
* | NewStar Financial Inc. | 386,798 | 4,131 |
WSFS Financial Corp. | 103,924 | 4,121 | |
Bancfirst Corp. | 105,347 | 4,066 | |
* | Citizens Inc. | 591,646 | 4,035 |
* | Flagstar Bancorp Inc. | 3,367,430 | 4,007 |
Arrow Financial Corp. | 162,927 | 3,987 | |
Union First Market Bankshares Corp. | 316,111 | 3,850 | |
Univest Corp. of Pennsylvania | 241,095 | 3,768 | |
Kennedy-Wilson Holdings Inc. | 306,762 | 3,758 | |
Epoch Holding Corp. | 208,936 | 3,729 | |
GAMCO Investors Inc. | 79,484 | 3,679 | |
Camden National Corp. | 110,808 | 3,636 | |
* | Doral Financial Corp. | 1,840,615 | 3,608 |
Lakeland Bancorp Inc. | 346,661 | 3,460 | |
United Financial Bancorp Inc. | 220,799 | 3,407 | |
* | Netspend Holdings Inc. | 339,155 | 3,392 |
* | Walker & Dunlop Inc. | 251,013 | 3,338 |
First Interstate Bancsystem Inc. | 226,097 | 3,333 | |
CoBiz Financial Inc. | 505,565 | 3,306 | |
Territorial Bancorp Inc. | 157,789 | 3,269 | |
First Community Bancshares Inc. | 231,509 | 3,241 | |
SeaBright Holdings Inc. | 319,347 | 3,162 | |
Westfield Financial Inc. | 388,487 | 3,155 | |
Westwood Holdings Group Inc. | 82,722 | 3,152 | |
Republic Bancorp Inc. Class A | 156,180 | 3,108 | |
Presidential Life Corp. | 292,813 | 3,057 | |
Trico Bancshares | 205,949 | 3,007 | |
Golub Capital BDC Inc. | 194,491 | 2,904 | |
* | United Community Banks Inc. | 274,965 | 2,904 |
Stewart Information Services Corp. | 279,423 | 2,803 | |
Baldwin & Lyons Inc. | 120,823 | 2,799 | |
* | FBR & Co. | 822,868 | 2,798 |
* | Southwest Bancorp Inc. | 281,783 | 2,759 |
Great Southern Bancorp Inc. | 142,316 | 2,697 | |
* | Wilshire Bancorp Inc. | 904,579 | 2,659 |
SWS Group Inc. | 442,298 | 2,649 | |
* | Gleacher & Co. Inc. | 1,287,480 | 2,626 |
People's United Financial Inc. | 194,104 | 2,609 | |
Heartland Financial USA Inc. | 173,634 | 2,526 | |
Home Federal Bancorp Inc. | 227,786 | 2,503 | |
* | PMI Group Inc. | 2,312,186 | 2,474 |
BankFinancial Corp. | 288,352 | 2,442 | |
Bank Mutual Corp. | 656,580 | 2,410 | |
Consolidated-Tomoka Land Co. | 82,059 | 2,347 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
National Interstate Corp. | 102,219 | 2,341 | |
First Bancorp | 228,335 | 2,338 | |
Kansas City Life Insurance Co. | 69,216 | 2,156 | |
First Financial Holdings Inc. | 237,032 | 2,126 | |
* | Meridian Interstate Bancorp Inc. | 152,932 | 2,094 |
Suffolk Bancorp | 146,273 | 2,042 | |
THL Credit Inc. | 149,918 | 1,949 | |
^ | Ames National Corp. | 107,233 | 1,947 |
* | Avatar Holdings Inc. | 123,572 | 1,880 |
Universal Insurance Holdings Inc. | 354,968 | 1,658 | |
* | First Marblehead Corp. | 909,720 | 1,610 |
Capital City Bank Group Inc. | 155,065 | 1,591 | |
Donegal Group Inc. Class A | 120,758 | 1,546 | |
*,^ | Hampton Roads Bankshares Inc. | 152,341 | 1,508 |
EMC Insurance Group Inc. | 78,029 | 1,490 | |
Roma Financial Corp. | 114,740 | 1,205 | |
*,^ | Penson Worldwide Inc. | 300,353 | 1,072 |
* | Asset Acceptance Capital Corp. | 255,942 | 1,034 |
Urstadt Biddle Properties Inc. | 57,942 | 976 | |
Pzena Investment Management Inc. Class A | 134,910 | 766 | |
^ | Life Partners Holdings Inc. | 138,782 | 477 |
* | CSF Holdings Inc. Contingent Litigation Rights | 29,125 | — |
5,334,435 | |||
Health Care (11.5%) | |||
* | Pharmasset Inc. | 563,585 | 63,234 |
Cooper Cos. Inc. | 706,652 | 55,995 | |
* | AMERIGROUP Corp. | 753,499 | 53,099 |
* | Mednax Inc. | 730,322 | 52,722 |
PerkinElmer Inc. | 1,725,403 | 46,431 | |
* | Tenet Healthcare Corp. | 7,395,191 | 46,146 |
* | BioMarin Pharmaceutical Inc. | 1,684,933 | 45,847 |
* | Health Net Inc. | 1,420,474 | 45,583 |
* | Sirona Dental Systems Inc. | 853,985 | 45,347 |
Techne Corp. | 536,828 | 44,755 | |
* | Healthspring Inc. | 962,550 | 44,383 |
Hill-Rom Holdings Inc. | 960,594 | 44,226 | |
* | United Therapeutics Corp. | 791,275 | 43,599 |
* | Health Management Associates Inc. Class A | 3,832,453 | 41,314 |
* | Brookdale Senior Living Inc. Class A | 1,562,718 | 37,896 |
* | Catalyst Health Solutions Inc. | 675,180 | 37,689 |
* | Healthsouth Corp. | 1,420,471 | 37,287 |
Teleflex Inc. | 608,988 | 37,185 | |
* | Salix Pharmaceuticals Ltd. | 885,481 | 35,269 |
Medicis Pharmaceutical Corp. Class A | 922,923 | 35,228 | |
* | Onyx Pharmaceuticals Inc. | 959,588 | 33,873 |
Owens & Minor Inc. | 966,063 | 33,320 | |
* | WellCare Health Plans Inc. | 647,134 | 33,269 |
* | Cubist Pharmaceuticals Inc. | 904,753 | 32,562 |
* | HMS Holdings Corp. | 423,046 | 32,520 |
* | Cepheid Inc. | 930,656 | 32,238 |
*,^ | Incyte Corp. Ltd. | 1,690,173 | 32,012 |
STERIS Corp. | 903,269 | 31,596 | |
* | Myriad Genetics Inc. | 1,368,243 | 31,073 |
* | LifePoint Hospitals Inc. | 783,643 | 30,625 |
* | Seattle Genetics Inc. | 1,465,361 | 30,069 |
* | Thoratec Corp. | 892,640 | 29,296 |
* | Centene Corp. | 794,623 | 28,233 |
* | Magellan Health Services Inc. | 503,332 | 27,552 |
* | Alkermes Inc. | 1,450,956 | 26,988 |
Quality Systems Inc. | 308,885 | 26,966 | |
* | Amylin Pharmaceuticals Inc. | 1,997,197 | 26,683 |
* | VCA Antech Inc. | 1,246,644 | 26,429 |
* | InterMune Inc. | 725,037 | 25,993 |
* | Volcano Corp. | 787,944 | 25,443 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Haemonetics Corp. | 386,932 | 24,907 |
Masimo Corp. | 816,028 | 24,220 | |
* | PSS World Medical Inc. | 842,592 | 23,601 |
* | Theravance Inc. | 1,062,441 | 23,597 |
* | Bruker Corp. | 1,129,239 | 22,991 |
West Pharmaceutical Services Inc. | 507,455 | 22,206 | |
* | Viropharma Inc. | 1,190,190 | 22,019 |
* | Ariad Pharmaceuticals Inc. | 1,931,571 | 21,885 |
* | Questcor Pharmaceuticals Inc. | 902,802 | 21,758 |
* | Align Technology Inc. | 936,360 | 21,349 |
Chemed Corp. | 321,585 | 21,070 | |
* | Parexel International Corp. | 892,068 | 21,017 |
* | athenahealth Inc. | 501,046 | 20,593 |
* | Impax Laboratories Inc. | 937,411 | 20,426 |
*,^ | NuVasive Inc. | 600,610 | 19,748 |
* | Immucor Inc. | 959,472 | 19,592 |
* | Acorda Therapeutics Inc. | 594,753 | 19,216 |
* | Zoll Medical Corp. | 329,745 | 18,683 |
* | Par Pharmaceutical Cos. Inc. | 546,552 | 18,025 |
* | Kindred Healthcare Inc. | 791,722 | 16,998 |
* | Exelixis Inc. | 1,892,063 | 16,953 |
* | Integra LifeSciences Holdings Corp. | 326,635 | 15,616 |
* | Neogen Corp. | 334,131 | 15,106 |
Meridian Bioscience Inc. | 623,765 | 15,039 | |
Invacare Corp. | 452,929 | 15,033 | |
* | DexCom Inc. | 1,020,927 | 14,793 |
* | MWI Veterinary Supply Inc. | 180,957 | 14,616 |
*,^ | Accretive Health Inc. | 507,339 | 14,606 |
* | Insulet Corp. | 648,615 | 14,380 |
* | Auxilium Pharmaceuticals Inc. | 726,701 | 14,243 |
* | Immunogen Inc. | 1,145,776 | 13,967 |
* | Arthrocare Corp. | 414,361 | 13,869 |
* | NxStage Medical Inc. | 654,808 | 13,633 |
* | Medicines Co. | 812,765 | 13,419 |
* | Isis Pharmaceuticals Inc. | 1,440,165 | 13,192 |
* | Air Methods Corp. | 171,858 | 12,845 |
* | Nektar Therapeutics | 1,727,518 | 12,559 |
PDL BioPharma Inc. | 2,124,330 | 12,470 | |
*,^ | MAKO Surgical Corp. | 418,989 | 12,457 |
* | Amsurg Corp. Class A | 476,701 | 12,456 |
* | Momenta Pharmaceuticals Inc. | 635,369 | 12,364 |
* | CONMED Corp. | 429,782 | 12,240 |
* | Amedisys Inc. | 449,036 | 11,958 |
* | Luminex Corp. | 565,299 | 11,815 |
* | IPC The Hospitalist Co. Inc. | 247,689 | 11,480 |
* | Orthofix International NV | 269,445 | 11,443 |
* | Sequenom Inc. | 1,505,845 | 11,369 |
* | NPS Pharmaceuticals Inc. | 1,196,505 | 11,307 |
* | Molina Healthcare Inc. | 415,394 | 11,265 |
* | Ironwood Pharmaceuticals Inc. | 707,698 | 11,125 |
* | HeartWare International Inc. | 148,032 | 10,966 |
* | Hanger Orthopedic Group Inc. | 444,385 | 10,874 |
* | Cyberonics Inc. | 383,962 | 10,732 |
* | Medivation Inc. | 500,135 | 10,718 |
* | Merit Medical Systems Inc. | 594,587 | 10,685 |
Analogic Corp. | 195,003 | 10,255 | |
* | Vivus Inc. | 1,246,118 | 10,143 |
Computer Programs & Systems Inc. | 158,925 | 10,089 | |
* | Team Health Holdings Inc. | 442,053 | 9,951 |
* | Rigel Pharmaceuticals Inc. | 1,044,254 | 9,576 |
* | MedAssets Inc. | 712,412 | 9,518 |
* | Greatbatch Inc. | 354,247 | 9,501 |
* | Abaxis Inc. | 342,929 | 9,345 |
* | Jazz Pharmaceuticals Inc. | 276,337 | 9,216 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Emeritus Corp. | 430,993 | 9,159 |
* | AVEO Pharmaceuticals Inc. | 442,919 | 9,129 |
* | Ardea Biosciences Inc. | 358,043 | 9,116 |
* | Gentiva Health Services Inc. | 432,157 | 9,002 |
* | Wright Medical Group Inc. | 596,670 | 8,950 |
* | Targacept Inc. | 423,547 | 8,924 |
Landauer Inc. | 143,360 | 8,830 | |
* | Halozyme Therapeutics Inc. | 1,224,202 | 8,459 |
* | Emergent Biosolutions Inc. | 370,236 | 8,349 |
* | ICU Medical Inc. | 187,398 | 8,189 |
* | Enzon Pharmaceuticals Inc. | 806,433 | 8,105 |
* | Affymetrix Inc. | 1,021,239 | 8,098 |
* | Savient Pharmaceuticals Inc. | 1,080,162 | 8,090 |
* | Bio-Reference Labs Inc. | 381,830 | 7,980 |
* | ABIOMED Inc. | 490,222 | 7,942 |
* | Opko Health Inc. | 2,142,835 | 7,907 |
* | Geron Corp. | 1,961,833 | 7,867 |
* | Healthways Inc. | 518,049 | 7,864 |
* | Omnicell Inc. | 502,487 | 7,834 |
* | Accuray Inc. | 973,742 | 7,800 |
* | Optimer Pharmaceuticals Inc. | 654,986 | 7,788 |
* | Select Medical Holdings Corp. | 857,665 | 7,607 |
* | Sunrise Senior Living Inc. | 771,570 | 7,353 |
* | Medidata Solutions Inc. | 307,283 | 7,335 |
* | Spectrum Pharmaceuticals Inc. | 786,039 | 7,283 |
* | SonoSite Inc. | 204,957 | 7,208 |
* | Akorn Inc. | 997,318 | 6,981 |
* | Quidel Corp. | 452,652 | 6,858 |
* | Natus Medical Inc. | 438,874 | 6,649 |
* | Triple-S Management Corp. Class B | 305,181 | 6,632 |
* | Depomed Inc. | 800,833 | 6,551 |
* | Micromet Inc. | 1,104,707 | 6,341 |
* | Emdeon Inc. Class A | 482,801 | 6,334 |
Ensign Group Inc. | 205,876 | 6,257 | |
National Healthcare Corp. | 124,392 | 6,166 | |
* | Genomic Health Inc. | 219,251 | 6,119 |
* | Neurocrine Biosciences Inc. | 753,436 | 6,065 |
* | AMAG Pharmaceuticals Inc. | 321,089 | 6,036 |
Cantel Medical Corp. | 220,449 | 5,932 | |
* | ExamWorks Group Inc. | 230,477 | 5,852 |
* | PharMerica Corp. | 446,693 | 5,700 |
* | OraSure Technologies Inc. | 665,898 | 5,680 |
Universal American Corp. | 517,232 | 5,664 | |
* | Rural/Metro Corp. | 327,588 | 5,648 |
* | Endologix Inc. | 602,995 | 5,608 |
*,^ | AVANIR Pharmaceuticals Inc. | 1,660,544 | 5,579 |
* | LHC Group Inc. | 241,176 | 5,562 |
* | Angiodynamics Inc. | 379,153 | 5,395 |
*,^ | SIGA Technologies Inc. | 545,854 | 5,317 |
* | Conceptus Inc. | 448,389 | 5,233 |
* | Alnylam Pharmaceuticals Inc. | 547,278 | 5,128 |
Assisted Living Concepts Inc. Class A | 303,444 | 5,092 | |
* | Corvel Corp. | 106,112 | 4,977 |
* | Lexicon Pharmaceuticals Inc. | 2,826,969 | 4,975 |
* | Symmetry Medical Inc. | 546,279 | 4,900 |
*,^ | ZIOPHARM Oncology Inc. | 800,328 | 4,898 |
Atrion Corp. | 24,443 | 4,835 | |
*,^ | MannKind Corp. | 1,260,654 | 4,790 |
* | MAP Pharmaceuticals Inc. | 298,707 | 4,770 |
*,^ | Cadence Pharmaceuticals Inc. | 517,218 | 4,758 |
*,^ | Unilife Corp. | 917,008 | 4,750 |
* | eResearchTechnology Inc. | 745,676 | 4,750 |
* | Arqule Inc. | 749,708 | 4,686 |
*,^ | Protalix BioTherapeutics Inc. | 743,136 | 4,652 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Achillion Pharmaceuticals Inc. | 608,101 | 4,524 |
* | Immunomedics Inc. | 1,089,956 | 4,436 |
*,^ | Sangamo Biosciences Inc. | 752,999 | 4,435 |
* | Idenix Pharmaceuticals Inc. | 851,701 | 4,258 |
* | Hi-Tech Pharmacal Co. Inc. | 144,841 | 4,190 |
*,^ | Neoprobe Corp. | 1,203,495 | 3,996 |
* | Merge Healthcare Inc. | 761,692 | 3,961 |
* | AMN Healthcare Services Inc. | 474,562 | 3,948 |
* | Medcath Corp. | 278,398 | 3,783 |
* | Complete Genomics Inc. | 240,062 | 3,668 |
* | Almost Family Inc. | 127,497 | 3,493 |
* | Progenics Pharmaceuticals Inc. | 478,361 | 3,435 |
*,^ | Metabolix Inc. | 479,646 | 3,425 |
*,^ | Cell Therapeutics Inc. | 2,160,279 | 3,402 |
* | XenoPort Inc. | 474,502 | 3,378 |
* | Cross Country Healthcare Inc. | 427,111 | 3,246 |
* | Ligand Pharmaceuticals Inc. Class B | 269,953 | 3,226 |
* | Kensey Nash Corp. | 123,679 | 3,120 |
* | Palomar Medical Technologies Inc. | 274,515 | 3,097 |
* | Novavax Inc. | 1,525,468 | 3,081 |
* | Sun Healthcare Group Inc. | 360,038 | 2,887 |
* | Skilled Healthcare Group Inc. | 301,547 | 2,853 |
* | Codexis Inc. | 294,605 | 2,837 |
* | Dyax Corp. | 1,425,752 | 2,823 |
*,^ | Pacific Biosciences of California Inc. | 239,389 | 2,801 |
* | SurModics Inc. | 252,215 | 2,800 |
* | Obagi Medical Products Inc. | 279,042 | 2,631 |
*,^ | PROLOR Biotech Inc. | 525,522 | 2,596 |
* | Allos Therapeutics Inc. | 1,193,185 | 2,553 |
* | MedQuist Holdings Inc. | 194,560 | 2,514 |
* | Arena Pharmaceuticals Inc. | 1,833,447 | 2,493 |
* | Stereotaxis Inc. | 698,264 | 2,451 |
* | Nabi Biopharmaceuticals | 448,724 | 2,414 |
* | Durect Corp. | 1,126,416 | 2,287 |
* | CryoLife Inc. | 397,382 | 2,225 |
* | Enzo Biochem Inc. | 518,619 | 2,204 |
Pain Therapeutics Inc. | 555,244 | 2,149 | |
* | RTI Biologics Inc. | 786,758 | 2,132 |
* | Exactech Inc. | 117,038 | 2,108 |
* | Osiris Therapeutics Inc. | 247,524 | 1,916 |
*,^ | Biotime Inc. | 359,359 | 1,843 |
* | Pozen Inc. | 388,946 | 1,634 |
* | BioMimetic Therapeutics Inc. | 314,977 | 1,613 |
* | Albany Molecular Research Inc. | 319,789 | 1,538 |
* | Biospecifics Technologies Corp. | 66,328 | 1,486 |
* | Alliance HealthCare Services Inc. | 358,944 | 1,364 |
*,^ | Alimera Sciences Inc. | 118,113 | 963 |
*,^ | Orexigen Therapeutics Inc. | 466,980 | 742 |
* | Sucampo Pharmaceuticals Inc. Class A | 141,943 | 582 |
* | Clinical Data Inc. Contingent Value Rights Exp. 04/14/2018 | 297,875 | 283 |
3,013,175 | |||
Industrials (16.1%) | |||
* | WABCO Holdings Inc. | 1,013,424 | 69,987 |
Gardner Denver Inc. | 794,243 | 66,756 | |
* | TransDigm Group Inc. | 717,884 | 65,464 |
* | BE Aerospace Inc. | 1,556,561 | 63,523 |
IDEX Corp. | 1,254,579 | 57,522 | |
Kennametal Inc. | 1,249,891 | 52,758 | |
Snap-On Inc. | 842,624 | 52,647 | |
Waste Connections Inc. | 1,647,353 | 52,271 | |
Nordson Corp. | 882,641 | 48,413 | |
Wabtec Corp. | 730,095 | 47,982 | |
Graco Inc. | 915,052 | 46,357 | |
Carlisle Cos. Inc. | 929,091 | 45,739 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Lincoln Electric Holdings Inc. | 1,217,949 | 43,663 | |
Trinity Industries Inc. | 1,214,229 | 42,352 | |
* | Kirby Corp. | 735,322 | 41,671 |
* | Thomas & Betts Corp. | 755,355 | 40,676 |
* | Oshkosh Corp. | 1,381,340 | 39,976 |
Regal-Beloit Corp. | 587,691 | 39,240 | |
* | Alaska Air Group Inc. | 545,514 | 37,346 |
* | Clean Harbors Inc. | 361,001 | 37,273 |
Acuity Brands Inc. | 657,655 | 36,684 | |
* | Corrections Corp. of America | 1,661,767 | 35,977 |
* | GrafTech International Ltd. | 1,770,754 | 35,893 |
* | WESCO International Inc. | 655,363 | 35,449 |
* | Polypore International Inc. | 521,435 | 35,374 |
* | Esterline Technologies Corp. | 462,717 | 35,352 |
* | Genesee & Wyoming Inc. Class A | 600,853 | 35,234 |
Crane Co. | 711,673 | 35,164 | |
CLARCOR Inc. | 728,662 | 34,451 | |
Landstar System Inc. | 728,720 | 33,871 | |
* | General Cable Corp. | 793,921 | 33,805 |
Robbins & Myers Inc. | 622,077 | 32,877 | |
Valmont Industries Inc. | 340,637 | 32,834 | |
Con-way Inc. | 838,430 | 32,539 | |
* | Hexcel Corp. | 1,484,617 | 32,498 |
* | Dollar Thrifty Automotive Group Inc. | 438,189 | 32,312 |
Manitowoc Co. Inc. | 1,899,060 | 31,980 | |
Woodward Inc. | 889,526 | 31,009 | |
UTi Worldwide Inc. | 1,550,205 | 30,524 | |
Alexander & Baldwin Inc. | 628,537 | 30,270 | |
Lennox International Inc. | 695,222 | 29,943 | |
* | EMCOR Group Inc. | 1,015,094 | 29,752 |
Triumph Group Inc. | 295,184 | 29,394 | |
Toro Co. | 483,703 | 29,264 | |
Actuant Corp. Class A | 1,042,578 | 27,972 | |
* | AMR Corp. | 5,074,360 | 27,402 |
* | Avis Budget Group Inc. | 1,577,744 | 26,964 |
* | FTI Consulting Inc. | 700,601 | 26,581 |
* | Teledyne Technologies Inc. | 524,907 | 26,434 |
Watsco Inc. | 385,458 | 26,207 | |
* | EnerSys | 761,052 | 26,195 |
* | Moog Inc. Class A | 598,191 | 26,033 |
* | Middleby Corp. | 266,796 | 25,089 |
Belden Inc. | 719,126 | 25,069 | |
AO Smith Corp. | 584,560 | 24,727 | |
* | Huntington Ingalls Industries Inc. | 703,862 | 24,283 |
Brady Corp. Class A | 747,427 | 23,963 | |
* | Old Dominion Freight Line Inc. | 638,366 | 23,811 |
* | Chart Industries Inc. | 439,641 | 23,732 |
United Stationers Inc. | 669,791 | 23,731 | |
GATX Corp. | 635,575 | 23,593 | |
* | Atlas Air Worldwide Holdings Inc. | 394,790 | 23,494 |
* | United Rentals Inc. | 923,005 | 23,444 |
* | JetBlue Airways Corp. | 3,813,878 | 23,265 |
* | Acacia Research - Acacia Technologies | 624,698 | 22,920 |
Corporate Executive Board Co. | 522,816 | 22,821 | |
* | Geo Group Inc. | 980,861 | 22,589 |
Herman Miller Inc. | 826,351 | 22,493 | |
* | CoStar Group Inc. | 376,382 | 22,312 |
* | US Airways Group Inc. | 2,464,042 | 21,955 |
* | Meritor Inc. | 1,362,773 | 21,859 |
Mueller Industries Inc. | 576,304 | 21,848 | |
Curtiss-Wright Corp. | 669,653 | 21,677 | |
* | Tetra Tech Inc. | 948,400 | 21,339 |
Brink's Co. | 708,349 | 21,130 | |
* | HUB Group Inc. Class A | 560,378 | 21,104 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Applied Industrial Technologies Inc. | 581,580 | 20,710 | |
* | II-VI Inc. | 806,370 | 20,643 |
Mine Safety Appliances Co. | 528,170 | 19,722 | |
Deluxe Corp. | 782,475 | 19,335 | |
Kaydon Corp. | 497,177 | 18,555 | |
Interface Inc. Class A | 952,601 | 18,452 | |
Rollins Inc. | 899,060 | 18,323 | |
Simpson Manufacturing Co. Inc. | 610,358 | 18,231 | |
ABM Industries Inc. | 765,130 | 17,858 | |
Barnes Group Inc. | 703,029 | 17,442 | |
^ | HEICO Corp. | 316,326 | 17,316 |
Macquarie Infrastructure Co. LLC | 626,396 | 17,289 | |
HNI Corp. | 682,850 | 17,153 | |
Werner Enterprises Inc. | 664,001 | 16,633 | |
* | MasTec Inc. | 833,829 | 16,443 |
AAR Corp. | 604,119 | 16,366 | |
* | Swift Transportation Co. | 1,207,247 | 16,358 |
Knight Transportation Inc. | 955,236 | 16,229 | |
* | Beacon Roofing Supply Inc. | 697,408 | 15,915 |
*,^ | USG Corp. | 1,096,256 | 15,720 |
Healthcare Services Group Inc. | 957,692 | 15,562 | |
* | Korn/Ferry International | 706,495 | 15,536 |
Briggs & Stratton Corp. | 766,348 | 15,220 | |
* | EnPro Industries Inc. | 313,577 | 15,074 |
Steelcase Inc. Class A | 1,320,377 | 15,039 | |
Forward Air Corp. | 443,497 | 14,986 | |
* | Orbital Sciences Corp. | 887,616 | 14,956 |
ESCO Technologies Inc. | 404,452 | 14,884 | |
Titan International Inc. | 607,502 | 14,738 | |
Watts Water Technologies Inc. Class A | 412,488 | 14,606 | |
Raven Industries Inc. | 261,105 | 14,546 | |
Knoll Inc. | 715,236 | 14,355 | |
* | DigitalGlobe Inc. | 560,949 | 14,254 |
Armstrong World Industries Inc. | 309,603 | 14,106 | |
Franklin Electric Co. Inc. | 300,341 | 14,101 | |
* | Ceradyne Inc. | 359,192 | 14,005 |
* | Advisory Board Co. | 241,424 | 13,974 |
* | SYKES Enterprises Inc. | 642,193 | 13,826 |
Heartland Express Inc. | 828,582 | 13,721 | |
Seaboard Corp. | 5,556 | 13,434 | |
Lindsay Corp. | 191,132 | 13,150 | |
Granite Construction Inc. | 530,956 | 13,024 | |
* | Blount International Inc. | 732,927 | 12,804 |
Unifirst Corp. | 227,328 | 12,774 | |
* | RBC Bearings Inc. | 336,147 | 12,693 |
* | 3D Systems Corp. | 641,990 | 12,654 |
* | Insituform Technologies Inc. Class A | 599,859 | 12,579 |
Cubic Corp. | 244,413 | 12,463 | |
Skywest Inc. | 820,811 | 12,361 | |
Kaman Corp. | 337,918 | 11,986 | |
Aircastle Ltd. | 928,706 | 11,813 | |
* | Mobile Mini Inc. | 554,890 | 11,758 |
* | KAR Auction Services Inc. | 615,788 | 11,645 |
* | Amerco Inc. | 119,250 | 11,466 |
* | Allegiant Travel Co. Class A | 231,469 | 11,458 |
* | GeoEye Inc. | 303,064 | 11,335 |
Albany International Corp. | 424,829 | 11,211 | |
American Science & Engineering Inc. | 138,292 | 11,063 | |
* | Astec Industries Inc. | 293,160 | 10,841 |
Insperity Inc. | 357,770 | 10,594 | |
TAL International Group Inc. | 304,925 | 10,529 | |
Tennant Co. | 261,368 | 10,436 | |
* | RSC Holdings Inc. | 867,731 | 10,378 |
CIRCOR International Inc. | 234,630 | 10,049 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Sun Hydraulics Corp. | 207,309 | 9,909 | |
McGrath Rentcorp | 350,604 | 9,845 | |
* | Altra Holdings Inc. | 409,122 | 9,815 |
* | Wabash National Corp. | 1,039,980 | 9,745 |
* | TrueBlue Inc. | 671,236 | 9,719 |
G&K Services Inc. Class A | 284,478 | 9,632 | |
* | Huron Consulting Group Inc. | 317,059 | 9,578 |
Gorman-Rupp Co. | 287,480 | 9,470 | |
Quanex Building Products Corp. | 576,557 | 9,450 | |
Mueller Water Products Inc. Class A | 2,364,738 | 9,412 | |
* | Aerovironment Inc. | 264,952 | 9,366 |
* | Exponent Inc. | 213,723 | 9,299 |
* | Sauer-Danfoss Inc. | 184,427 | 9,293 |
* | Interline Brands Inc. | 505,741 | 9,290 |
* | Layne Christensen Co. | 298,073 | 9,044 |
* | Colfax Corp. | 363,698 | 9,020 |
* | Trimas Corp. | 363,377 | 8,994 |
Tutor Perini Corp. | 466,084 | 8,939 | |
*,^ | Higher One Holdings Inc. | 471,850 | 8,927 |
Ameron International Corp. | 134,225 | 8,816 | |
* | Dycom Industries Inc. | 535,185 | 8,745 |
Arkansas Best Corp. | 367,675 | 8,725 | |
AZZ Inc. | 190,243 | 8,713 | |
* | Consolidated Graphics Inc. | 154,882 | 8,511 |
Resources Connection Inc. | 701,295 | 8,444 | |
John Bean Technologies Corp. | 430,085 | 8,309 | |
HEICO Corp. Class A | 208,099 | 8,274 | |
* | Navigant Consulting Inc. | 786,272 | 8,248 |
* | Griffon Corp. | 801,031 | 8,074 |
Badger Meter Inc. | 217,868 | 8,059 | |
* | Generac Holdings Inc. | 411,645 | 7,986 |
* | ICF International Inc. | 296,412 | 7,523 |
* | Kelly Services Inc. Class A | 454,522 | 7,500 |
*,^ | A123 Systems Inc. | 1,402,219 | 7,460 |
National Presto Industries Inc. | 73,172 | 7,426 | |
NACCO Industries Inc. Class A | 76,668 | 7,423 | |
* | Rush Enterprises Inc. Class A | 389,275 | 7,408 |
* | Titan Machinery Inc. | 247,946 | 7,136 |
* | MYR Group Inc. | 303,239 | 7,096 |
* | Greenbrier Cos. Inc. | 358,729 | 7,088 |
* | SFN Group Inc. | 762,919 | 6,935 |
Ennis Inc. | 393,545 | 6,848 | |
Viad Corp. | 306,659 | 6,835 | |
Encore Wire Corp. | 282,016 | 6,830 | |
* | Accuride Corp. | 538,081 | 6,796 |
* | Team Inc. | 279,057 | 6,734 |
Cascade Corp. | 141,533 | 6,733 | |
* | Kforce Inc. | 510,578 | 6,678 |
*,^ | American Superconductor Corp. | 731,939 | 6,617 |
* | ACCO Brands Corp. | 834,180 | 6,548 |
Universal Forest Products Inc. | 264,330 | 6,333 | |
* | Global Power Equipment Group Inc. | 234,753 | 6,226 |
Tredegar Corp. | 339,232 | 6,225 | |
Federal Signal Corp. | 945,532 | 6,203 | |
AAON Inc. | 282,419 | 6,168 | |
Comfort Systems USA Inc. | 574,823 | 6,099 | |
Heidrick & Struggles International Inc. | 266,453 | 6,032 | |
EnergySolutions Inc. | 1,214,563 | 6,000 | |
* | H&E Equipment Services Inc. | 425,268 | 5,950 |
* | Kadant Inc. | 185,169 | 5,835 |
Standex International Corp. | 189,901 | 5,824 | |
* | Air Transport Services Group Inc. | 832,476 | 5,702 |
*,^ | Capstone Turbine Corp. | 3,721,753 | 5,694 |
* | RailAmerica Inc. | 375,021 | 5,625 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Cenveo Inc. | 858,173 | 5,492 |
Apogee Enterprises Inc. | 427,782 | 5,480 | |
Primoris Services Corp. | 423,864 | 5,468 | |
Marten Transport Ltd. | 250,050 | 5,401 | |
* | Commercial Vehicle Group Inc. | 379,055 | 5,379 |
* | Force Protection Inc. | 1,066,636 | 5,296 |
* | Powell Industries Inc. | 142,785 | 5,212 |
Vicor Corp. | 318,952 | 5,157 | |
LB Foster Co. Class A | 155,871 | 5,130 | |
* | Columbus McKinnon Corp. | 277,717 | 4,988 |
* | Trex Co. Inc. | 199,735 | 4,890 |
* | CBIZ Inc. | 647,917 | 4,769 |
US Ecology Inc. | 277,904 | 4,752 | |
Great Lakes Dredge & Dock Corp. | 848,538 | 4,735 | |
*,^ | EnerNOC Inc. | 299,170 | 4,709 |
* | Gibraltar Industries Inc. | 415,551 | 4,704 |
* | FreightCar America Inc. | 181,313 | 4,594 |
* | M&F Worldwide Corp. | 176,549 | 4,562 |
Dynamic Materials Corp. | 202,970 | 4,551 | |
* | Celadon Group Inc. | 324,504 | 4,530 |
* | CRA International Inc. | 164,877 | 4,467 |
* | GenCorp Inc. | 676,391 | 4,342 |
* | Taser International Inc. | 954,317 | 4,342 |
Douglas Dynamics Inc. | 267,952 | 4,231 | |
* | Furmanite Corp. | 530,970 | 4,216 |
* | Hawaiian Holdings Inc. | 726,811 | 4,143 |
Houston Wire & Cable Co. | 256,426 | 3,987 | |
* | Saia Inc. | 230,179 | 3,902 |
Schawk Inc. Class A | 234,325 | 3,880 | |
* | Orion Marine Group Inc. | 409,987 | 3,858 |
* | Metalico Inc. | 648,278 | 3,825 |
* | Standard Parking Corp. | 239,116 | 3,819 |
* | American Railcar Industries Inc. | 162,542 | 3,812 |
* | InnerWorkings Inc. | 452,194 | 3,771 |
* | Dolan Co. | 441,499 | 3,739 |
* | Northwest Pipe Co. | 141,761 | 3,694 |
* | Mistras Group Inc. | 227,942 | 3,693 |
* | American Reprographics Co. | 521,807 | 3,689 |
* | Republic Airways Holdings Inc. | 672,727 | 3,673 |
*,^ | Genco Shipping & Trading Ltd. | 485,026 | 3,647 |
* | CAI International Inc. | 176,363 | 3,644 |
* | School Specialty Inc. | 244,464 | 3,518 |
* | Sterling Construction Co. Inc. | 236,718 | 3,260 |
Ducommun Inc. | 152,334 | 3,134 | |
* | Roadrunner Transportation Systems Inc. | 207,071 | 3,123 |
* | Ameresco Inc. Class A | 211,527 | 2,999 |
Preformed Line Products Co. | 41,588 | 2,960 | |
SeaCube Container Leasing Ltd. | 167,322 | 2,875 | |
* | Michael Baker Corp. | 126,857 | 2,679 |
CDI Corp. | 201,218 | 2,674 | |
Ampco-Pittsburgh Corp. | 108,344 | 2,541 | |
Kimball International Inc. Class B | 391,048 | 2,514 | |
* | Pacer International Inc. | 527,143 | 2,488 |
* | Pike Electric Corp. | 279,028 | 2,467 |
American Woodmark Corp. | 139,844 | 2,422 | |
* | Keyw Holding Corp. | 190,590 | 2,361 |
*,^ | Eagle Bulk Shipping Inc. | 940,607 | 2,333 |
* | APAC Customer Services Inc. | 432,327 | 2,304 |
* | Hill International Inc. | 375,387 | 2,162 |
* | Rush Enterprises Inc. Class B | 124,701 | 2,008 |
* | Patriot Transportation Holding Inc. | 83,846 | 1,876 |
*,^ | Energy Recovery Inc. | 554,813 | 1,814 |
* | Fuel Tech Inc. | 273,617 | 1,814 |
* | Tecumseh Products Co. Class A | 165,288 | 1,686 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Broadwind Energy Inc. | 1,131,358 | 1,640 |
* | Universal Truckload Services Inc. | 95,232 | 1,631 |
Baltic Trading Ltd. | 253,327 | 1,454 | |
*,^ | Ener1 Inc. | 1,112,051 | 1,223 |
* | Tecumseh Products Co. Class B | 37,155 | 369 |
4,220,465 | |||
Information Technology (17.8%) | |||
* | Polycom Inc. | 1,334,612 | 85,816 |
* | Varian Semiconductor Equipment Associates Inc. | 1,143,319 | 70,246 |
Solera Holdings Inc. | 1,072,427 | 63,445 | |
* | MICROS Systems Inc. | 1,230,159 | 61,151 |
* | JDS Uniphase Corp. | 3,412,336 | 56,850 |
Cypress Semiconductor Corp. | 2,510,737 | 53,077 | |
* | Gartner Inc. | 1,315,060 | 52,984 |
* | Novellus Systems Inc. | 1,372,340 | 49,596 |
* | Ariba Inc. | 1,421,106 | 48,986 |
* | NCR Corp. | 2,437,105 | 46,037 |
* | Cadence Design Systems Inc. | 4,086,904 | 43,158 |
National Instruments Corp. | 1,428,549 | 42,414 | |
* | Parametric Technology Corp. | 1,797,988 | 41,228 |
* | Teradyne Inc. | 2,760,490 | 40,855 |
* | WebMD Health Corp. | 866,233 | 39,483 |
* | Fortinet Inc. | 1,373,972 | 37,496 |
* | Netlogic Microsystems Inc. | 926,800 | 37,461 |
Jack Henry & Associates Inc. | 1,245,934 | 37,390 | |
* | QLIK Technologies Inc. | 1,082,537 | 36,871 |
ADTRAN Inc. | 933,427 | 36,133 | |
* | Zebra Technologies Corp. | 848,869 | 35,797 |
* | Concur Technologies Inc. | 694,377 | 34,767 |
* | Tech Data Corp. | 709,822 | 34,703 |
MercadoLibre Inc. | 436,470 | 34,630 | |
* | Vishay Intertechnology Inc. | 2,296,750 | 34,543 |
* | Aruba Networks Inc. | 1,140,415 | 33,699 |
* | Compuware Corp. | 3,328,930 | 32,490 |
* | Fairchild Semiconductor International Inc. Class A | 1,923,237 | 32,137 |
* | IPG Photonics Corp. | 429,125 | 31,202 |
* | VistaPrint NV | 651,155 | 31,158 |
* | GT Solar International Inc. | 1,901,502 | 30,804 |
* | SuccessFactors Inc. | 1,040,347 | 30,586 |
* | Omnivision Technologies Inc. | 864,681 | 30,100 |
*,^ | Veeco Instruments Inc. | 618,368 | 29,935 |
DST Systems Inc. | 563,592 | 29,758 | |
* | International Rectifier Corp. | 1,063,268 | 29,740 |
* | Itron Inc. | 616,685 | 29,700 |
* | Cavium Inc. | 680,571 | 29,666 |
Diebold Inc. | 951,371 | 29,502 | |
* | NeuStar Inc. Class A | 1,123,222 | 29,428 |
* | Wright Express Corp. | 555,962 | 28,949 |
Anixter International Inc. | 442,155 | 28,890 | |
InterDigital Inc. | 690,038 | 28,188 | |
* | CommVault Systems Inc. | 630,518 | 28,027 |
* | CACI International Inc. Class A | 439,558 | 27,727 |
* | Monster Worldwide Inc. | 1,882,244 | 27,594 |
Plantronics Inc. | 743,753 | 27,169 | |
* | PMC - Sierra Inc. | 3,548,954 | 26,866 |
* | Microsemi Corp. | 1,305,430 | 26,761 |
* | Ciena Corp. | 1,445,047 | 26,560 |
* | Hittite Microwave Corp. | 428,189 | 26,509 |
* | Semtech Corp. | 964,560 | 26,371 |
* | Silicon Laboratories Inc. | 636,964 | 26,281 |
* | Viasat Inc. | 601,415 | 26,023 |
* | RF Micro Devices Inc. | 4,203,375 | 25,725 |
* | QLogic Corp. | 1,603,894 | 25,534 |
* | Convergys Corp. | 1,860,978 | 25,384 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | TriQuint Semiconductor Inc. | 2,476,123 | 25,232 |
* | Sapient Corp. | 1,668,601 | 25,079 |
* | Progress Software Corp. | 1,021,522 | 24,649 |
Intersil Corp. Class A | 1,899,477 | 24,408 | |
* | Netgear Inc. | 553,738 | 24,209 |
* | CoreLogic Inc. | 1,424,052 | 23,796 |
* | Aspen Technology Inc. | 1,353,156 | 23,247 |
* | Taleo Corp. Class A | 621,298 | 23,007 |
* | Blackboard Inc. | 527,893 | 22,905 |
* | Quest Software Inc. | 992,683 | 22,564 |
* | FEI Co. | 587,138 | 22,423 |
* | Finisar Corp. | 1,229,824 | 22,174 |
MAXIMUS Inc. | 261,366 | 21,623 | |
* | Rambus Inc. | 1,472,059 | 21,610 |
* | Cymer Inc. | 436,158 | 21,594 |
* | Plexus Corp. | 617,170 | 21,484 |
* | Coherent Inc. | 387,062 | 21,393 |
* | Universal Display Corp. | 609,095 | 21,373 |
Cognex Corp. | 596,137 | 21,121 | |
* | Lawson Software Inc. | 1,868,087 | 20,960 |
* | SRA International Inc. Class A | 676,761 | 20,925 |
* | JDA Software Group Inc. | 665,798 | 20,566 |
* | Entegris Inc. | 2,028,059 | 20,524 |
* | ValueClick Inc. | 1,233,758 | 20,480 |
* | Arris Group Inc. | 1,755,985 | 20,387 |
* | OpenTable Inc. | 245,249 | 20,385 |
* | SolarWinds Inc. | 772,088 | 20,182 |
* | Ultimate Software Group Inc. | 370,773 | 20,181 |
Littelfuse Inc. | 343,296 | 20,158 | |
MKS Instruments Inc. | 748,212 | 19,768 | |
* | MicroStrategy Inc. Class A | 121,330 | 19,738 |
* | j2 Global Communications Inc. | 698,504 | 19,719 |
* | Digital River Inc. | 594,129 | 19,107 |
* | EchoStar Corp. Class A | 515,011 | 18,762 |
* | SAVVIS Inc. | 469,827 | 18,572 |
Blackbaud Inc. | 668,205 | 18,523 | |
Fair Isaac Corp. | 609,946 | 18,420 | |
* | Ancestry.com Inc. | 444,522 | 18,399 |
* | TiVo Inc. | 1,782,058 | 18,337 |
* | Mentor Graphics Corp. | 1,419,190 | 18,180 |
* | Integrated Device Technology Inc. | 2,297,125 | 18,055 |
* | ACI Worldwide Inc. | 506,643 | 17,109 |
* | Take-Two Interactive Software Inc. | 1,106,523 | 16,908 |
Power Integrations Inc. | 437,474 | 16,812 | |
* | Spansion Inc. Class A | 855,299 | 16,482 |
* | Cabot Microelectronics Corp. | 353,939 | 16,448 |
* | Websense Inc. | 617,903 | 16,047 |
* | Acxiom Corp. | 1,223,638 | 16,042 |
Mantech International Corp. Class A | 353,460 | 15,701 | |
* | Cirrus Logic Inc. | 978,839 | 15,564 |
* | Benchmark Electronics Inc. | 930,495 | 15,353 |
* | Scansource Inc. | 409,300 | 15,341 |
Syntel Inc. | 254,172 | 15,027 | |
* | Unisys Corp. | 584,406 | 15,019 |
^ | VirnetX Holding Corp. | 518,141 | 14,995 |
* | Rofin-Sinar Technologies Inc. | 434,388 | 14,834 |
* | Advent Software Inc. | 514,520 | 14,494 |
* | Blue Coat Systems Inc. | 662,265 | 14,477 |
* | DealerTrack Holdings Inc. | 621,987 | 14,275 |
* | Diodes Inc. | 545,629 | 14,241 |
* | Verigy Ltd. | 923,673 | 13,827 |
* | RealPage Inc. | 521,627 | 13,807 |
* | L-1 Identity Solutions Inc. | 1,167,631 | 13,720 |
* | NetSuite Inc. | 342,122 | 13,411 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Tessera Technologies Inc. | 777,388 | 13,324 |
* | Synaptics Inc. | 516,081 | 13,284 |
* | Cardtronics Inc. | 554,792 | 13,010 |
*,^ | RealD Inc. | 544,398 | 12,733 |
* | TTM Technologies Inc. | 792,986 | 12,704 |
Earthlink Inc. | 1,650,309 | 12,699 | |
* | Sourcefire Inc. | 426,703 | 12,682 |
* | Sanmina-SCI Corp. | 1,218,024 | 12,582 |
* | Insight Enterprises Inc. | 706,040 | 12,504 |
* | Bottomline Technologies Inc. | 504,868 | 12,475 |
*,^ | Power-One Inc. | 1,536,644 | 12,447 |
* | DG FastChannel Inc. | 386,363 | 12,383 |
* | Harmonic Inc. | 1,705,141 | 12,328 |
* | SYNNEX Corp. | 387,308 | 12,278 |
* | Synchronoss Technologies Inc. | 381,472 | 12,104 |
* | Electronics for Imaging Inc. | 700,004 | 12,054 |
Heartland Payment Systems Inc. | 583,865 | 12,028 | |
* | RightNow Technologies Inc. | 368,718 | 11,946 |
* | Radiant Systems Inc. | 569,804 | 11,909 |
AVX Corp. | 775,006 | 11,811 | |
Pegasystems Inc. | 253,682 | 11,809 | |
NIC Inc. | 873,386 | 11,756 | |
Comtech Telecommunications Corp. | 418,384 | 11,731 | |
* | Lattice Semiconductor Corp. | 1,791,153 | 11,678 |
* | Kulicke & Soffa Industries Inc. | 1,031,278 | 11,488 |
* | Manhattan Associates Inc. | 332,682 | 11,458 |
* | Emulex Corp. | 1,330,268 | 11,440 |
* | Ultratech Inc. | 376,025 | 11,424 |
*,^ | STEC Inc. | 660,803 | 11,240 |
*,^ | Ebix Inc. | 589,435 | 11,229 |
* | BroadSoft Inc. | 292,926 | 11,169 |
* | Rogers Corp. | 241,119 | 11,140 |
* | OSI Systems Inc. | 258,823 | 11,129 |
* | Amkor Technology Inc. | 1,800,421 | 11,109 |
* | Tyler Technologies Inc. | 413,845 | 11,083 |
* | Avid Technology Inc. | 580,694 | 10,940 |
* | Checkpoint Systems Inc. | 606,806 | 10,850 |
* | Brooks Automation Inc. | 995,544 | 10,812 |
* | FARO Technologies Inc. | 246,002 | 10,775 |
* | Euronet Worldwide Inc. | 698,858 | 10,769 |
* | Quantum Corp. | 3,256,946 | 10,748 |
* | Netscout Systems Inc. | 514,190 | 10,741 |
* | Constant Contact Inc. | 420,274 | 10,667 |
* | DTS Inc. | 260,998 | 10,583 |
* | LogMeIn Inc. | 273,296 | 10,541 |
* | Entropic Communications Inc. | 1,168,749 | 10,390 |
* | Infinera Corp. | 1,501,743 | 10,377 |
* | Verint Systems Inc. | 279,931 | 10,369 |
* | Sonus Networks Inc. | 3,154,346 | 10,220 |
* | Ceva Inc. | 335,131 | 10,208 |
* | Newport Corp. | 559,262 | 10,162 |
* | Volterra Semiconductor Corp. | 409,249 | 10,092 |
* | Stratasys Inc. | 298,846 | 10,071 |
* | comScore Inc. | 382,595 | 9,909 |
* | Loral Space & Communications Inc. | 142,067 | 9,869 |
* | LivePerson Inc. | 696,134 | 9,843 |
* | ATMI Inc. | 480,602 | 9,819 |
MTS Systems Corp. | 233,496 | 9,767 | |
Opnet Technologies Inc. | 235,691 | 9,649 | |
* | Kemet Corp. | 672,233 | 9,606 |
* | CSG Systems International Inc. | 519,295 | 9,597 |
* | Dice Holdings Inc. | 709,647 | 9,594 |
* | TeleTech Holdings Inc. | 450,089 | 9,488 |
* | Standard Microsystems Corp. | 348,529 | 9,407 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Kenexa Corp. | 382,018 | 9,161 |
*,^ | SunPower Corp. Class B | 549,223 | 9,134 |
* | Advanced Energy Industries Inc. | 593,684 | 8,781 |
* | Applied Micro Circuits Corp. | 985,431 | 8,731 |
* | Vocus Inc. | 282,570 | 8,649 |
* | Tekelec | 941,838 | 8,599 |
United Online Inc. | 1,421,691 | 8,573 | |
Micrel Inc. | 802,368 | 8,489 | |
Black Box Corp. | 270,646 | 8,463 | |
* | Brightpoint Inc. | 1,035,758 | 8,400 |
Park Electrochemical Corp. | 299,188 | 8,362 | |
* | SMART Modular Technologies WWH Inc. | 912,644 | 8,360 |
* | Electro Scientific Industries Inc. | 427,890 | 8,258 |
* | Mercury Computer Systems Inc. | 427,900 | 7,993 |
* | SS&C Technologies Holdings Inc. | 401,286 | 7,974 |
Forrester Research Inc. | 240,473 | 7,926 | |
* | Monolithic Power Systems Inc. | 507,573 | 7,827 |
* | IntraLinks Holdings Inc. | 449,254 | 7,763 |
* | Silicon Image Inc. | 1,192,351 | 7,703 |
* | Measurement Specialties Inc. | 215,723 | 7,701 |
iGate Corp. | 471,804 | 7,700 | |
* | LoopNet Inc. | 416,777 | 7,660 |
* | Monotype Imaging Holdings Inc. | 538,878 | 7,614 |
* | Intermec Inc. | 688,649 | 7,603 |
* | Powerwave Technologies Inc. | 2,573,487 | 7,592 |
* | EMS Technologies Inc. | 221,608 | 7,306 |
* | Ixia | 566,982 | 7,257 |
Sycamore Networks Inc. | 324,961 | 7,227 | |
* | FleetCor Technologies Inc. | 242,800 | 7,197 |
* | Silicon Graphics International Corp. | 414,113 | 7,123 |
* | Calix Inc. | 341,483 | 7,110 |
* | Interactive Intelligence Inc. | 202,818 | 7,109 |
* | Hypercom Corp. | 716,517 | 7,043 |
* | FormFactor Inc. | 773,284 | 7,006 |
* | Photronics Inc. | 821,095 | 6,955 |
* | Fabrinet | 282,395 | 6,857 |
EPIQ Systems Inc. | 480,998 | 6,840 | |
* | LTX-Credence Corp. | 749,433 | 6,700 |
* | TNS Inc. | 398,141 | 6,609 |
Methode Electronics Inc. | 559,286 | 6,493 | |
* | Super Micro Computer Inc. | 402,295 | 6,473 |
* | Maxwell Technologies Inc. | 392,548 | 6,355 |
* | Liquidity Services Inc. | 268,318 | 6,335 |
* | Accelrys Inc. | 845,543 | 6,012 |
* | Zoran Corp. | 708,190 | 5,949 |
* | Aeroflex Holding Corp. | 320,724 | 5,821 |
Daktronics Inc. | 535,743 | 5,781 | |
* | S1 Corp. | 767,503 | 5,741 |
* | IXYS Corp. | 380,270 | 5,696 |
* | Ciber Inc. | 1,024,831 | 5,688 |
* | VASCO Data Security International Inc. | 456,756 | 5,687 |
* | ExlService Holdings Inc. | 245,209 | 5,664 |
*,^ | Travelzoo Inc. | 87,147 | 5,633 |
* | Internap Network Services Corp. | 752,859 | 5,534 |
* | MIPS Technologies Inc. Class A | 794,434 | 5,490 |
*,^ | OCZ Technology Group Inc. | 683,689 | 5,470 |
* | Oplink Communications Inc. | 288,032 | 5,366 |
* | PROS Holdings Inc. | 303,312 | 5,305 |
* | Move Inc. | 2,409,804 | 5,277 |
* | Net 1 UEPS Technologies Inc. | 589,917 | 5,120 |
* | Rudolph Technologies Inc. | 477,100 | 5,110 |
* | Oclaro Inc. | 758,636 | 5,098 |
* | QuinStreet Inc. | 391,309 | 5,079 |
* | Infospace Inc. | 549,719 | 5,013 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Digi International Inc. | 384,313 | 4,996 |
*,^ | Rubicon Technology Inc. | 277,891 | 4,685 |
* | ShoreTel Inc. | 456,738 | 4,659 |
* | Anaren Inc. | 217,613 | 4,624 |
* | Virtusa Corp. | 242,603 | 4,597 |
Cass Information Systems Inc. | 121,713 | 4,596 | |
* | Limelight Networks Inc. | 999,954 | 4,560 |
* | RealNetworks Inc. | 1,339,339 | 4,554 |
Cohu Inc. | 347,210 | 4,552 | |
* | TeleNav Inc. | 256,363 | 4,545 |
* | Imation Corp. | 470,908 | 4,445 |
* | Kopin Corp. | 938,357 | 4,420 |
* | Perficient Inc. | 429,882 | 4,411 |
* | XO Group Inc. | 442,164 | 4,400 |
* | Ness Technologies Inc. | 579,489 | 4,387 |
Electro Rent Corp. | 254,692 | 4,360 | |
* | Echelon Corp. | 476,819 | 4,334 |
* | DemandTec Inc. | 474,254 | 4,316 |
CTS Corp. | 444,105 | 4,294 | |
* | Seachange International Inc. | 385,106 | 4,151 |
* | Extreme Networks | 1,252,844 | 4,059 |
* | Symmetricom Inc. | 662,125 | 3,860 |
* | THQ Inc. | 1,037,662 | 3,756 |
* | SciQuest Inc. | 216,873 | 3,706 |
* | Exar Corp. | 577,217 | 3,654 |
* | Actuate Corp. | 615,802 | 3,602 |
* | Envestnet Inc. | 238,793 | 3,546 |
* | Supertex Inc. | 158,300 | 3,546 |
* | Intevac Inc. | 346,456 | 3,537 |
* | Sigma Designs Inc. | 454,663 | 3,474 |
* | TeleCommunication Systems Inc. Class A | 718,618 | 3,471 |
* | Aviat Networks Inc. | 876,588 | 3,454 |
* | Mediamind Technologies Inc. | 155,501 | 3,412 |
* | Anadigics Inc. | 1,010,142 | 3,243 |
* | Pericom Semiconductor Corp. | 361,781 | 3,234 |
* | Cray Inc. | 494,420 | 3,164 |
* | Multi-Fineline Electronix Inc. | 146,254 | 3,161 |
* | Inphi Corp. | 181,157 | 3,152 |
ModusLink Global Solutions Inc. | 667,211 | 2,989 | |
*,^ | Echo Global Logistics Inc. | 165,772 | 2,942 |
* | Agilysys Inc. | 348,079 | 2,903 |
* | Global Cash Access Holdings Inc. | 881,636 | 2,804 |
Marchex Inc. Class B | 315,271 | 2,800 | |
Bel Fuse Inc. Class B | 128,458 | 2,786 | |
*,^ | Rosetta Stone Inc. | 172,251 | 2,780 |
* | Novatel Wireless Inc. | 483,739 | 2,651 |
Pulse Electronics Corp. | 595,212 | 2,631 | |
* | NCI Inc. Class A | 115,088 | 2,615 |
*,^ | Motricity Inc. | 325,324 | 2,515 |
* | Deltek Inc. | 311,772 | 2,335 |
* | Smith Micro Software Inc. | 475,274 | 2,001 |
* | MaxLinear Inc. | 227,501 | 1,970 |
*,^ | Meru Networks Inc. | 144,863 | 1,740 |
* | Viasystems Group Inc. | 76,465 | 1,720 |
* | BigBand Networks Inc. | 782,834 | 1,699 |
Renaissance Learning Inc. | 110,687 | 1,388 | |
* | Mitel Networks Corp. | 280,172 | 1,227 |
* | TechTarget Inc. | 139,838 | 1,059 |
*,^ | SunPower Corp. Class A | 50,862 | 983 |
*,^ | Energy Conversion Devices Inc. | 799,335 | 943 |
* | Trident Microsystems Inc. | 1,073,080 | 740 |
Bel Fuse Inc. Class A | 18,671 | 433 | |
4,649,880 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Materials (6.4%) | |||
Domtar Corp. | 625,725 | 59,269 | |
* | Rockwood Holdings Inc. | 985,110 | 54,467 |
Aptargroup Inc. | 1,019,970 | 53,385 | |
* | WR Grace & Co. | 1,113,263 | 50,798 |
Temple-Inland Inc. | 1,646,942 | 48,980 | |
Royal Gold Inc. | 778,177 | 45,578 | |
RPM International Inc. | 1,979,366 | 45,565 | |
* | Allied Nevada Gold Corp. | 1,287,079 | 45,524 |
Packaging Corp. of America | 1,558,042 | 43,610 | |
Compass Minerals International Inc. | 499,999 | 43,035 | |
* | Solutia Inc. | 1,855,499 | 42,398 |
Cytec Industries Inc. | 715,165 | 40,900 | |
Cabot Corp. | 996,619 | 39,735 | |
Carpenter Technology Corp. | 669,965 | 38,644 | |
* | Stillwater Mining Co. | 1,555,233 | 34,231 |
* | Coeur d'Alene Mines Corp. | 1,359,578 | 32,983 |
* | Hecla Mining Co. | 4,249,065 | 32,675 |
Silgan Holdings Inc. | 744,634 | 30,508 | |
* | AbitibiBowater Inc. | 1,478,631 | 30,016 |
NewMarket Corp. | 168,924 | 28,837 | |
Olin Corp. | 1,211,461 | 27,452 | |
Sensient Technologies Corp. | 722,597 | 26,787 | |
* | Chemtura Corp. | 1,456,064 | 26,500 |
AK Steel Holding Corp. | 1,677,640 | 26,440 | |
* | Intrepid Potash Inc. | 800,635 | 26,021 |
Commercial Metals Co. | 1,742,596 | 25,006 | |
PolyOne Corp. | 1,431,364 | 22,143 | |
Schnitzer Steel Industries Inc. | 366,942 | 21,136 | |
Worthington Industries Inc. | 903,586 | 20,873 | |
Globe Specialty Metals Inc. | 915,486 | 20,525 | |
Balchem Corp. | 438,037 | 19,177 | |
* | OM Group Inc. | 470,098 | 19,105 |
* | Kraton Performance Polymers Inc. | 485,433 | 19,014 |
Minerals Technologies Inc. | 277,934 | 18,424 | |
HB Fuller Co. | 748,285 | 18,273 | |
Eagle Materials Inc. | 639,409 | 17,820 | |
* | RTI International Metals Inc. | 458,768 | 17,603 |
* | Louisiana-Pacific Corp. | 2,011,654 | 16,375 |
Innophos Holdings Inc. | 327,143 | 15,965 | |
* | Ferro Corp. | 1,181,155 | 15,875 |
Buckeye Technologies Inc. | 587,932 | 15,862 | |
Westlake Chemical Corp. | 302,194 | 15,684 | |
Schweitzer-Mauduit International Inc. | 262,896 | 14,762 | |
* | Calgon Carbon Corp. | 858,572 | 14,596 |
AMCOL International Corp. | 379,012 | 14,463 | |
* | Century Aluminum Co. | 917,810 | 14,364 |
Arch Chemicals Inc. | 382,913 | 13,187 | |
Kaiser Aluminum Corp. | 234,093 | 12,786 | |
* | Georgia Gulf Corp. | 517,298 | 12,487 |
A Schulman Inc. | 479,489 | 12,078 | |
^ | Gold Resource Corp. | 481,501 | 12,004 |
* | Clearwater Paper Corp. | 174,384 | 11,907 |
Koppers Holdings Inc. | 312,754 | 11,863 | |
Haynes International Inc. | 185,470 | 11,486 | |
Texas Industries Inc. | 275,597 | 11,473 | |
* | Graphic Packaging Holding Co. | 2,077,933 | 11,304 |
* | LSB Industries Inc. | 256,928 | 11,027 |
Kronos Worldwide Inc. | 345,850 | 10,877 | |
* | Innospec Inc. | 321,863 | 10,818 |
* | Materion Corp. | 291,833 | 10,789 |
PH Glatfelter Co. | 698,088 | 10,737 | |
* | US Gold Corp. | 1,774,455 | 10,700 |
* | KapStone Paper and Packaging Corp. | 595,222 | 9,863 |
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Boise Inc. | 1,160,661 | 9,041 | |
* | Graham Packaging Co. Inc. | 349,386 | 8,811 |
* | Horsehead Holding Corp. | 660,968 | 8,804 |
Stepan Co. | 123,307 | 8,742 | |
Deltic Timber Corp. | 161,576 | 8,675 | |
Quaker Chemical Corp. | 191,899 | 8,254 | |
* | TPC Group Inc. | 183,347 | 7,191 |
*,^ | STR Holdings Inc. | 439,407 | 6,556 |
* | Noranda Aluminum Holding Corp. | 355,747 | 5,386 |
Zep Inc. | 281,789 | 5,326 | |
* | Mercer International Inc. | 507,285 | 5,113 |
*,^ | Paramount Gold and Silver Corp. | 1,541,601 | 5,026 |
Hawkins Inc. | 133,413 | 4,832 | |
Neenah Paper Inc. | 224,673 | 4,781 | |
Wausau Paper Corp. | 709,150 | 4,780 | |
* | Zoltek Cos. Inc. | 443,470 | 4,670 |
* | AM Castle & Co. | 261,656 | 4,346 |
American Vanguard Corp. | 334,693 | 4,341 | |
* | Omnova Solutions Inc. | 616,120 | 4,288 |
Myers Industries Inc. | 403,548 | 4,148 | |
*,^ | General Moly Inc. | 897,440 | 4,003 |
Olympic Steel Inc. | 141,183 | 3,887 | |
* | Golden Minerals Co. | 174,801 | 3,108 |
* | Metals USA Holdings Corp. | 197,965 | 2,950 |
* | Headwaters Inc. | 926,931 | 2,901 |
* | Spartech Corp. | 472,231 | 2,876 |
* | United States Lime & Minerals Inc. | 33,803 | 1,386 |
1,690,991 | |||
Telecommunication Services (1.1%) | |||
* | Level 3 Communications Inc. | 25,468,813 | 62,144 |
* | tw telecom inc Class A | 2,177,187 | 44,698 |
AboveNet Inc. | 333,786 | 23,519 | |
* | Global Crossing Ltd. | 508,233 | 19,506 |
* | Leap Wireless International Inc. | 957,539 | 15,541 |
* | Cogent Communications Group Inc. | 662,750 | 11,273 |
NTELOS Holdings Corp. | 479,206 | 9,785 | |
* | Vonage Holdings Corp. | 2,193,237 | 9,672 |
* | Cincinnati Bell Inc. | 2,874,044 | 9,542 |
* | PAETEC Holding Corp. | 1,982,492 | 9,496 |
Consolidated Communications Holdings Inc. | 409,115 | 7,953 | |
* | Neutral Tandem Inc. | 448,511 | 7,813 |
IDT Corp. Class B | 239,800 | 6,479 | |
* | General Communication Inc. Class A | 505,378 | 6,100 |
^ | Alaska Communications Systems Group Inc. | 679,433 | 6,027 |
* | Premiere Global Services Inc. | 754,173 | 6,018 |
* | ICO Global Communications Holdings Ltd. | 2,126,167 | 5,890 |
* | Cbeyond Inc. | 444,980 | 5,887 |
Shenandoah Telecommunications Co. | 342,298 | 5,826 | |
Atlantic Tele-Network Inc. | 151,757 | 5,821 | |
USA Mobility Inc. | 335,510 | 5,120 | |
* | Iridium Communications Inc. | 587,708 | 5,084 |
289,194 | |||
Utilities (3.6%) | |||
ITC Holdings Corp. | 772,822 | 55,465 | |
Questar Corp. | 2,690,190 | 47,643 | |
Westar Energy Inc. | 1,728,758 | 46,521 | |
Atmos Energy Corp. | 1,379,901 | 45,882 | |
* | GenOn Energy Inc. | 11,734,706 | 45,296 |
Great Plains Energy Inc. | 2,065,497 | 42,818 | |
Nicor Inc. | 693,104 | 37,940 | |
Hawaiian Electric Industries Inc. | 1,444,098 | 34,745 | |
Vectren Corp. | 1,243,176 | 34,635 | |
Piedmont Natural Gas Co. Inc. | 1,102,376 | 33,358 | |
Cleco Corp. | 927,854 | 32,336 |
Vanguard® Small-Cap Index Fund | |||||
Schedule of Investments | |||||
June 30, 2011 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
WGL Holdings Inc. | 778,368 | 29,959 | |||
IDACORP Inc. | 752,412 | 29,720 | |||
Portland General Electric Co. | 1,146,506 | 28,984 | |||
New Jersey Resources Corp. | 630,544 | 28,129 | |||
Southwest Gas Corp. | 662,191 | 25,567 | |||
UIL Holdings Corp. | 768,255 | 24,853 | |||
South Jersey Industries Inc. | 454,819 | 24,701 | |||
Avista Corp. | 871,685 | 22,394 | |||
PNM Resources Inc. | 1,253,002 | 20,975 | |||
Unisource Energy Corp. | 554,495 | 20,699 | |||
Allete Inc. | 490,613 | 20,135 | |||
El Paso Electric Co. | 584,058 | 18,865 | |||
Northwest Natural Gas Co. | 406,030 | 18,324 | |||
NorthWestern Corp. | 551,644 | 18,265 | |||
Black Hills Corp. | 567,882 | 17,088 | |||
MGE Energy Inc. | 351,586 | 14,250 | |||
Empire District Electric Co. | 634,905 | 12,228 | |||
Laclede Group Inc. | 323,141 | 12,224 | |||
CH Energy Group Inc. | 226,898 | 12,085 | |||
California Water Service Group | 601,631 | 11,257 | |||
Otter Tail Corp. | 493,286 | 10,408 | |||
American States Water Co. | 283,554 | 9,828 | |||
* | Dynegy Inc. Class A | 1,474,566 | 9,128 | ||
Central Vermont Public Service Corp. | 189,102 | 6,836 | |||
^ | Ormat Technologies Inc. | 275,953 | 6,074 | ||
Chesapeake Utilities Corp. | 144,596 | 5,788 | |||
SJW Corp. | 211,570 | 5,128 | |||
Middlesex Water Co. | 235,915 | 4,383 | |||
Unitil Corp. | 165,518 | 4,353 | |||
Connecticut Water Service Inc. | 131,509 | 3,364 | |||
932,631 | |||||
Total Common Stocks (Cost $22,293,517) | 26,076,700 | ||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (1.5%)1 | |||||
Money Market Fund (1.5%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.140% | 391,474,790 | 391,475 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
4,5 | Freddie Mac Discount Notes | 0.095% | 9/27/11 | 8,000 | 7,998 |
Total Temporary Cash Investments (Cost $399,473) | 399,473 | ||||
Total Investments (101.1%) (Cost $22,692,990) | 26,476,173 | ||||
Other Assets and Liabilities—Net (-1.1%)3 | (300,973) | ||||
Net Assets (100%) | 26,175,200 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $278,062,000.
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 1.1%, 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.
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2011
3 Includes $297,086,000 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 $6,998,000 have been segregated as initial margin for open futures contracts.
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Consumer Discretionary (16.6%) | |||
* | Tempur-Pedic International Inc. | 744,464 | 50,490 |
Gentex Corp. | 1,542,251 | 46,622 | |
* | Signet Jewelers Ltd. | 928,220 | 43,450 |
* | Panera Bread Co. Class A | 325,510 | 40,904 |
Polaris Industries Inc. | 348,453 | 38,738 | |
* | Deckers Outdoor Corp. | 417,175 | 36,770 |
Sotheby's | 729,223 | 31,721 | |
* | Ulta Salon Cosmetics & Fragrance Inc. | 482,690 | 31,172 |
* | Under Armour Inc. Class A | 397,689 | 30,745 |
Chico's FAS Inc. | 1,922,524 | 29,280 | |
* | Tenneco Inc. | 652,296 | 28,747 |
* | Big Lots Inc. | 816,927 | 27,081 |
John Wiley & Sons Inc. Class A | 498,537 | 25,929 | |
* | CROCS Inc. | 960,078 | 24,722 |
* | Warnaco Group Inc. | 473,107 | 24,720 |
Aaron's Inc. | 824,004 | 23,286 | |
* | Hanesbrands Inc. | 678,049 | 19,358 |
* | Cheesecake Factory Inc. | 616,225 | 19,331 |
* | WMS Industries Inc. | 623,609 | 19,157 |
* | Iconix Brand Group Inc. | 788,173 | 19,074 |
* | Bally Technologies Inc. | 465,160 | 18,923 |
* | Sally Beauty Holdings Inc. | 1,090,720 | 18,651 |
* | Timberland Co. Class A | 432,427 | 18,581 |
^ | Six Flags Entertainment Corp. | 482,244 | 18,060 |
* | Live Nation Entertainment Inc. | 1,573,307 | 18,046 |
Vail Resorts Inc. | 389,422 | 17,999 | |
*,^ | Coinstar Inc. | 327,272 | 17,849 |
* | Shutterfly Inc. | 307,743 | 17,671 |
* | Madison Square Garden Co. Class A | 606,443 | 16,695 |
* | Aeropostale Inc. | 952,157 | 16,663 |
Morningstar Inc. | 270,440 | 16,437 | |
* | ANN Inc. | 627,376 | 16,375 |
* | Life Time Fitness Inc. | 408,694 | 16,311 |
* | Valassis Communications Inc. | 537,472 | 16,285 |
*,^ | Tesla Motors Inc. | 556,937 | 16,224 |
Pool Corp. | 537,955 | 16,036 | |
* | Steven Madden Ltd. | 409,375 | 15,356 |
* | JOS A Bank Clothiers Inc. | 298,959 | 14,951 |
* | HSN Inc. | 439,612 | 14,472 |
Thor Industries Inc. | 483,313 | 13,939 | |
* | BJ's Restaurants Inc. | 265,141 | 13,883 |
* | Pier 1 Imports Inc. | 1,142,530 | 13,219 |
* | Buffalo Wild Wings Inc. | 197,190 | 13,076 |
Matthews International Corp. Class A | 320,223 | 12,857 | |
* | Vitamin Shoppe Inc. | 278,856 | 12,760 |
Express Inc. | 576,300 | 12,563 | |
Texas Roadhouse Inc. Class A | 705,698 | 12,374 | |
* | Hibbett Sports Inc. | 302,462 | 12,313 |
Arbitron Inc. | 292,951 | 12,108 | |
Strayer Education Inc. | 93,310 | 11,793 | |
* | Gaylord Entertainment Co. | 390,812 | 11,724 |
Monro Muffler Brake Inc. | 312,394 | 11,649 | |
* | 99 Cents Only Stores | 530,933 | 10,746 |
*,^ | Eastman Kodak Co. | 2,910,432 | 10,419 |
PF Chang's China Bistro Inc. | 247,100 | 9,943 | |
* | Select Comfort Corp. | 540,158 | 9,712 |
* | Carter's Inc. | 310,973 | 9,566 |
Brunswick Corp. | 457,258 | 9,328 | |
* | American Public Education Inc. | 201,366 | 8,963 |
* | iRobot Corp. | 253,602 | 8,950 |
* | K12 Inc. | 269,628 | 8,936 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
CEC Entertainment Inc. | 220,013 | 8,825 | |
* | Ascena Retail Group Inc. | 253,662 | 8,637 |
* | Domino's Pizza Inc. | 337,512 | 8,519 |
* | Peet's Coffee & Tea Inc. | 141,298 | 8,153 |
* | True Religion Apparel Inc. | 260,506 | 7,576 |
* | Vera Bradley Inc. | 197,295 | 7,537 |
* | Papa John's International Inc. | 222,175 | 7,390 |
* | Capella Education Co. | 167,624 | 7,015 |
* | Maidenform Brands Inc. | 252,776 | 6,992 |
* | Steiner Leisure Ltd. | 152,186 | 6,952 |
*,^ | Blue Nile Inc. | 157,656 | 6,934 |
* | Lumber Liquidators Holdings Inc. | 268,950 | 6,831 |
* | Sonic Corp. | 633,832 | 6,738 |
* | Krispy Kreme Doughnuts Inc. | 657,664 | 6,254 |
* | Childrens Place Retail Stores Inc. | 140,537 | 6,253 |
PEP Boys-Manny Moe & Jack | 568,479 | 6,214 | |
* | G-III Apparel Group Ltd. | 177,470 | 6,119 |
Ethan Allen Interiors Inc. | 279,753 | 5,956 | |
* | Interval Leisure Group Inc. | 432,384 | 5,919 |
* | Zumiez Inc. | 232,335 | 5,801 |
*,^ | Education Management Corp. | 238,276 | 5,704 |
*,^ | Bridgepoint Education Inc. | 226,071 | 5,652 |
* | Rue21 Inc. | 171,087 | 5,560 |
* | Liz Claiborne Inc. | 1,023,360 | 5,475 |
* | Shuffle Master Inc. | 584,736 | 5,470 |
* | Exide Technologies | 712,026 | 5,440 |
Choice Hotels International Inc. | 161,148 | 5,376 | |
* | American Axle & Manufacturing Holdings Inc. | 463,729 | 5,277 |
* | Grand Canyon Education Inc. | 371,398 | 5,266 |
* | DSW Inc. Class A | 101,278 | 5,126 |
* | Knology Inc. | 341,275 | 5,068 |
National CineMedia Inc. | 297,413 | 5,029 | |
* | Pinnacle Entertainment Inc. | 334,936 | 4,991 |
* | Wet Seal Inc. Class A | 1,083,505 | 4,843 |
* | Warner Music Group Corp. | 587,107 | 4,826 |
* | Saks Inc. | 426,572 | 4,765 |
Universal Technical Institute Inc. | 237,282 | 4,691 | |
* | California Pizza Kitchen Inc. | 252,635 | 4,666 |
* | Pre-Paid Legal Services Inc. | 69,066 | 4,592 |
* | AFC Enterprises Inc. | 277,111 | 4,559 |
Buckle Inc. | 106,136 | 4,532 | |
* | Fuel Systems Solutions Inc. | 180,484 | 4,503 |
Sturm Ruger & Co. Inc. | 202,390 | 4,442 | |
* | DineEquity Inc. | 82,824 | 4,329 |
* | Modine Manufacturing Co. | 278,243 | 4,277 |
* | Bravo Brio Restaurant Group Inc. | 166,594 | 4,070 |
Penske Automotive Group Inc. | 175,290 | 3,986 | |
* | Denny's Corp. | 1,024,981 | 3,977 |
* | Stoneridge Inc. | 267,234 | 3,939 |
* | Asbury Automotive Group Inc. | 207,722 | 3,849 |
* | Universal Electronics Inc. | 144,748 | 3,656 |
* | OfficeMax Inc. | 460,238 | 3,613 |
* | Libbey Inc. | 212,934 | 3,454 |
Blyth Inc. | 57,844 | 2,912 | |
Ryland Group Inc. | 167,421 | 2,768 | |
* | Body Central Corp. | 117,380 | 2,762 |
* | Overstock.com Inc. | 176,064 | 2,680 |
Bebe Stores Inc. | 409,221 | 2,500 | |
* | Citi Trends Inc. | 160,063 | 2,414 |
* | Lions Gate Entertainment Corp. | 336,560 | 2,228 |
HOT Topic Inc. | 297,652 | 2,215 | |
* | Federal-Mogul Corp. | 93,567 | 2,136 |
* | Kirkland's Inc. | 172,207 | 2,070 |
* | K-Swiss Inc. Class A | 192,279 | 2,044 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Isle of Capri Casinos Inc. | 227,386 | 2,012 |
* | Leapfrog Enterprises Inc. | 473,032 | 1,996 |
* | Biglari Holdings Inc. | 4,880 | 1,908 |
* | ReachLocal Inc. | 90,386 | 1,883 |
* | Smith & Wesson Holding Corp. | 619,213 | 1,858 |
* | Charming Shoppes Inc. | 437,225 | 1,819 |
* | Winnebago Industries Inc. | 157,403 | 1,521 |
*,^ | hhgregg Inc. | 107,344 | 1,438 |
* | Martha Stewart Living Omnimedia Class A | 309,523 | 1,343 |
* | Tower International Inc. | 72,314 | 1,279 |
* | America's Car-Mart Inc. | 36,009 | 1,188 |
* | Furniture Brands International Inc. | 267,693 | 1,108 |
*,^ | Hovnanian Enterprises Inc. Class A | 448,133 | 1,080 |
* | Gordmans Stores Inc. | 60,439 | 1,051 |
PetMed Express Inc. | 85,208 | 1,010 | |
* | Beazer Homes USA Inc. | 288,981 | 980 |
* | Archipelago Learning Inc. | 99,014 | 976 |
* | Coldwater Creek Inc. | 697,289 | 976 |
* | New York & Co. Inc. | 189,738 | 939 |
* | Vitacost.com Inc. | 152,840 | 740 |
* | Sealy Corp. | 263,594 | 667 |
* | Orbitz Worldwide Inc. | 219,448 | 546 |
*,^ | Wonder Auto Technology Inc. | 129,940 | 352 |
* | Marine Products Corp. | 40,614 | 273 |
* | Krispy Kreme Doughnuts Inc. Warrants Exp. 03/02/2012 | 2,546 | 2 |
1,534,995 | |||
Consumer Staples (2.2%) | |||
Nu Skin Enterprises Inc. Class A | 602,288 | 22,616 | |
* | Darling International Inc. | 1,263,815 | 22,370 |
* | United Natural Foods Inc. | 495,526 | 21,144 |
* | BJ's Wholesale Club Inc. | 384,133 | 19,341 |
^ | Diamond Foods Inc. | 237,759 | 18,151 |
Casey's General Stores Inc. | 410,517 | 18,063 | |
Pricesmart Inc. | 194,112 | 9,944 | |
* | Rite Aid Corp. | 7,227,150 | 9,612 |
* | Boston Beer Co. Inc. Class A | 100,314 | 8,988 |
J&J Snack Foods Corp. | 160,752 | 8,014 | |
* | TreeHouse Foods Inc. | 134,208 | 7,329 |
* | Hain Celestial Group Inc. | 186,229 | 6,213 |
* | Heckmann Corp. | 1,001,820 | 6,051 |
* | Elizabeth Arden Inc. | 132,205 | 3,838 |
* | Medifast Inc. | 150,125 | 3,562 |
* | Smart Balance Inc. | 649,268 | 3,363 |
* | USANA Health Sciences Inc. | 86,311 | 2,700 |
*,^ | Star Scientific Inc. | 579,304 | 2,607 |
Coca-Cola Bottling Co. Consolidated | 35,060 | 2,372 | |
Tootsie Roll Industries Inc. | 71,040 | 2,079 | |
National Beverage Corp. | 124,716 | 1,827 | |
Calavo Growers Inc. | 63,291 | 1,333 | |
* | Pilgrim's Pride Corp. | 202,757 | 1,097 |
* | Alliance One International Inc. | 313,110 | 1,011 |
* | Susser Holdings Corp. | 60,972 | 958 |
Alico Inc. | 13,830 | 354 | |
204,937 | |||
Energy (7.2%) | |||
* | Brigham Exploration Co. | 1,265,245 | 37,869 |
CARBO Ceramics Inc. | 213,013 | 34,711 | |
* | Superior Energy Services Inc. | 854,023 | 31,718 |
* | Rosetta Resources Inc. | 572,391 | 29,501 |
Lufkin Industries Inc. | 325,376 | 27,999 | |
* | Key Energy Services Inc. | 1,389,125 | 25,004 |
* | Dril-Quip Inc. | 346,785 | 23,522 |
* | Complete Production Services Inc. | 680,518 | 22,702 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Patriot Coal Corp. | 988,347 | 22,001 |
* | Gran Tierra Energy Inc. | 2,607,185 | 17,234 |
* | Carrizo Oil & Gas Inc. | 395,162 | 16,498 |
* | Oasis Petroleum Inc. | 549,098 | 16,297 |
* | Oil States International Inc. | 192,697 | 15,398 |
* | Comstock Resources Inc. | 490,517 | 14,122 |
* | Atwood Oceanics Inc. | 314,865 | 13,895 |
World Fuel Services Corp. | 376,644 | 13,533 | |
Berry Petroleum Co. Class A | 250,510 | 13,310 | |
*,^ | Northern Oil and Gas Inc. | 589,840 | 13,065 |
* | Exterran Holdings Inc. | 650,141 | 12,892 |
* | McMoRan Exploration Co. | 668,529 | 12,354 |
* | Gulfport Energy Corp. | 407,610 | 12,102 |
RPC Inc. | 481,027 | 11,804 | |
* | Bill Barrett Corp. | 253,697 | 11,759 |
* | Energy XXI Bermuda Ltd. | 347,912 | 11,558 |
* | Kodiak Oil & Gas Corp. | 1,786,470 | 10,308 |
* | CVR Energy Inc. | 332,586 | 8,188 |
* | Pioneer Drilling Co. | 528,331 | 8,052 |
* | Cheniere Energy Inc. | 878,421 | 8,046 |
Contango Oil & Gas Co. | 136,539 | 7,979 | |
* | Basic Energy Services Inc. | 247,585 | 7,792 |
* | Petroleum Development Corp. | 253,945 | 7,596 |
*,^ | Resolute Energy Corp. | 445,293 | 7,196 |
*,^ | Clean Energy Fuels Corp. | 514,794 | 6,770 |
* | Tesco Corp. | 348,117 | 6,757 |
*,^ | Western Refining Inc. | 372,713 | 6,735 |
*,^ | Hyperdynamics Corp. | 1,554,770 | 6,686 |
* | ION Geophysical Corp. | 662,546 | 6,268 |
* | Swift Energy Co. | 159,264 | 5,936 |
* | Goodrich Petroleum Corp. | 305,759 | 5,629 |
W&T Offshore Inc. | 201,847 | 5,272 | |
* | Endeavour International Corp. | 342,087 | 5,155 |
* | Clayton Williams Energy Inc. | 85,417 | 5,129 |
* | Magnum Hunter Resources Corp. | 758,517 | 5,128 |
* | Approach Resources Inc. | 221,388 | 5,019 |
* | OYO Geospace Corp. | 49,692 | 4,969 |
* | FX Energy Inc. | 556,423 | 4,885 |
* | Georesources Inc. | 192,593 | 4,331 |
* | Venoco Inc. | 326,675 | 4,162 |
* | Matrix Service Co. | 285,901 | 3,825 |
* | Willbros Group Inc. | 440,875 | 3,765 |
* | Rex Energy Corp. | 359,626 | 3,693 |
* | Tetra Technologies Inc. | 288,539 | 3,673 |
^ | Houston American Energy Corp. | 201,691 | 3,657 |
*,^ | Abraxas Petroleum Corp. | 941,331 | 3,605 |
* | Global Geophysical Services Inc. | 195,541 | 3,481 |
*,^ | BPZ Resources Inc. | 999,986 | 3,280 |
* | Dawson Geophysical Co. | 85,607 | 2,924 |
* | Warren Resources Inc. | 731,832 | 2,788 |
*,^ | ATP Oil & Gas Corp. | 174,455 | 2,671 |
*,^ | Uranium Energy Corp. | 716,406 | 2,192 |
* | Rentech Inc. | 2,041,384 | 2,164 |
* | Gastar Exploration Ltd. | 607,422 | 2,083 |
* | Harvest Natural Resources Inc. | 173,841 | 1,917 |
* | Petroquest Energy Inc. | 215,351 | 1,512 |
Alon USA Energy Inc. | 117,208 | 1,321 | |
Holly Corp. | 2,665 | 185 | |
* | Atlas Energy Inc. Escrow | 781,093 | 78 |
663,650 | |||
Financials (5.7%) | |||
Taubman Centers Inc. | 603,832 | 35,747 | |
* | Signature Bank | 439,378 | 25,132 |
* | E*Trade Financial Corp. | 1,767,727 | 24,395 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Tanger Factory Outlet Centers | 879,538 | 23,545 | |
Capitol Federal Financial Inc. | 1,813,084 | 21,322 | |
Extra Space Storage Inc. | 951,719 | 20,300 | |
* | Ezcorp Inc. Class A | 482,796 | 17,176 |
* | Forest City Enterprises Inc. Class A | 860,211 | 16,060 |
* | Portfolio Recovery Associates Inc. | 185,129 | 15,697 |
* | First Cash Financial Services Inc. | 305,524 | 12,829 |
Equity Lifestyle Properties Inc. | 196,082 | 12,243 | |
PS Business Parks Inc. | 213,633 | 11,771 | |
Apartment Investment & Management Co. | 447,529 | 11,425 | |
Developers Diversified Realty Corp. | 778,487 | 10,977 | |
Pebblebrook Hotel Trust | 535,384 | 10,809 | |
CapitalSource Inc. | 1,662,452 | 10,723 | |
U-Store-It Trust | 1,013,857 | 10,666 | |
* | Texas Capital Bancshares Inc. | 401,742 | 10,377 |
* | SVB Financial Group | 160,640 | 9,592 |
* | Dollar Financial Corp. | 438,987 | 9,504 |
* | Credit Acceptance Corp. | 109,969 | 9,289 |
* | Financial Engines Inc. | 349,928 | 9,070 |
Alexander's Inc. | 22,103 | 8,775 | |
DuPont Fabros Technology Inc. | 329,236 | 8,297 | |
Sun Communities Inc. | 214,170 | 7,991 | |
* | Altisource Portfolio Solutions SA | 215,390 | 7,926 |
* | Investors Bancorp Inc. | 549,593 | 7,804 |
optionsXpress Holdings Inc. | 466,575 | 7,783 | |
DCT Industrial Trust Inc. | 1,328,122 | 6,946 | |
* | Strategic Hotels & Resorts Inc. | 958,664 | 6,787 |
Cash America International Inc. | 112,029 | 6,483 | |
MarketAxess Holdings Inc. | 251,045 | 6,291 | |
* | Encore Capital Group Inc. | 194,902 | 5,987 |
* | Tejon Ranch Co. | 160,298 | 5,466 |
Evercore Partners Inc. Class A | 162,589 | 5,418 | |
* | Green Dot Corp. Class A | 156,654 | 5,323 |
* | First Industrial Realty Trust Inc. | 444,069 | 5,085 |
* | HFF Inc. Class A | 330,769 | 4,991 |
* | ICG Group Inc. | 396,864 | 4,854 |
KBW Inc. | 244,507 | 4,572 | |
Sabra Healthcare REIT Inc. | 269,680 | 4,506 | |
* | FelCor Lodging Trust Inc. | 807,750 | 4,305 |
* | Safeguard Scientifics Inc. | 223,386 | 4,218 |
* | Intl. FCStone Inc. | 166,009 | 4,019 |
* | World Acceptance Corp. | 59,975 | 3,933 |
Duff & Phelps Corp. Class A | 293,822 | 3,770 | |
Tower Group Inc. | 149,341 | 3,557 | |
Coresite Realty Corp. | 212,656 | 3,488 | |
* | Beneficial Mutual Bancorp Inc. | 394,530 | 3,241 |
* | Forestar Group Inc. | 191,713 | 3,150 |
* | Greenlight Capital Re Ltd. Class A | 114,324 | 3,006 |
* | Pinnacle Financial Partners Inc. | 174,655 | 2,718 |
Kennedy-Wilson Holdings Inc. | 217,995 | 2,670 | |
Epoch Holding Corp. | 148,375 | 2,649 | |
* | Doral Financial Corp. | 1,308,641 | 2,565 |
Retail Opportunity Investments Corp. | 226,146 | 2,433 | |
* | Netspend Holdings Inc. | 240,346 | 2,404 |
Radian Group Inc. | 503,412 | 2,129 | |
* | NewStar Financial Inc. | 178,259 | 1,904 |
People's United Financial Inc. | 138,861 | 1,866 | |
Saul Centers Inc. | 45,423 | 1,788 | |
Cardinal Financial Corp. | 147,765 | 1,618 | |
* | Citizens Inc. | 210,272 | 1,434 |
* | Hilltop Holdings Inc. | 160,392 | 1,418 |
GAMCO Investors Inc. | 28,128 | 1,302 | |
* | eHealth Inc. | 84,008 | 1,122 |
* | Nara Bancorp Inc. | 136,586 | 1,111 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Cogdell Spencer Inc. | 182,864 | 1,095 | |
* | Gleacher & Co. Inc. | 459,503 | 937 |
THL Credit Inc. | 69,706 | 906 | |
* | Asset Acceptance Capital Corp. | 118,225 | 478 |
* | First Marblehead Corp. | 224,982 | 398 |
531,566 | |||
Health Care (16.9%) | |||
* | AMERIGROUP Corp. | 535,799 | 37,758 |
* | Tenet Healthcare Corp. | 5,260,421 | 32,825 |
* | BioMarin Pharmaceutical Inc. | 1,198,524 | 32,612 |
* | Sirona Dental Systems Inc. | 607,236 | 32,244 |
Techne Corp. | 381,720 | 31,824 | |
* | United Therapeutics Corp. | 562,603 | 30,999 |
* | Brookdale Senior Living Inc. Class A | 1,111,253 | 26,948 |
* | Catalyst Health Solutions Inc. | 480,009 | 26,794 |
* | Healthsouth Corp. | 1,010,421 | 26,524 |
* | Salix Pharmaceuticals Ltd. | 629,664 | 25,080 |
Medicis Pharmaceutical Corp. Class A | 656,260 | 25,049 | |
* | Onyx Pharmaceuticals Inc. | 682,291 | 24,085 |
* | Cubist Pharmaceuticals Inc. | 643,532 | 23,161 |
* | HMS Holdings Corp. | 300,686 | 23,114 |
* | Cepheid Inc. | 661,732 | 22,922 |
* | Incyte Corp. Ltd. | 1,202,160 | 22,769 |
* | Pharmasset Inc. | 200,325 | 22,476 |
* | Myriad Genetics Inc. | 972,957 | 22,096 |
*,^ | Seattle Genetics Inc. | 1,042,038 | 21,383 |
* | Thoratec Corp. | 634,879 | 20,837 |
* | Healthspring Inc. | 444,849 | 20,512 |
* | Alkermes Inc. | 1,032,003 | 19,195 |
Quality Systems Inc. | 219,565 | 19,168 | |
* | Amylin Pharmaceuticals Inc. | 1,420,114 | 18,973 |
* | VCA Antech Inc. | 886,663 | 18,797 |
* | InterMune Inc. | 515,484 | 18,480 |
* | Volcano Corp. | 560,219 | 18,089 |
* | Haemonetics Corp. | 275,134 | 17,710 |
Masimo Corp. | 580,163 | 17,219 | |
* | PSS World Medical Inc. | 599,045 | 16,779 |
* | Theravance Inc. | 755,403 | 16,778 |
* | Bruker Corp. | 802,965 | 16,348 |
West Pharmaceutical Services Inc. | 360,897 | 15,793 | |
* | Viropharma Inc. | 846,384 | 15,658 |
* | Ariad Pharmaceuticals Inc. | 1,373,431 | 15,561 |
* | Questcor Pharmaceuticals Inc. | 642,099 | 15,475 |
* | Align Technology Inc. | 665,706 | 15,178 |
Chemed Corp. | 228,598 | 14,978 | |
* | Parexel International Corp. | 634,272 | 14,943 |
* | athenahealth Inc. | 356,137 | 14,637 |
* | Impax Laboratories Inc. | 666,562 | 14,524 |
* | NuVasive Inc. | 428,870 | 14,101 |
* | Immucor Inc. | 682,127 | 13,929 |
* | Acorda Therapeutics Inc. | 422,938 | 13,665 |
* | Zoll Medical Corp. | 234,449 | 13,284 |
* | Par Pharmaceutical Cos. Inc. | 388,599 | 12,816 |
* | Exelixis Inc. | 1,345,359 | 12,054 |
* | Integra LifeSciences Holdings Corp. | 232,182 | 11,101 |
Hill-Rom Holdings Inc. | 238,965 | 11,002 | |
* | Neogen Corp. | 237,640 | 10,744 |
* | DexCom Inc. | 725,976 | 10,519 |
* | MWI Veterinary Supply Inc. | 128,640 | 10,390 |
*,^ | Accretive Health Inc. | 360,332 | 10,374 |
* | Insulet Corp. | 461,150 | 10,224 |
* | Auxilium Pharmaceuticals Inc. | 516,420 | 10,122 |
* | Arthrocare Corp. | 294,657 | 9,862 |
* | NxStage Medical Inc. | 465,418 | 9,690 |
Vanguard® Small-Cap Growth Index Fund�� | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Medicines Co. | 577,847 | 9,540 |
* | Isis Pharmaceuticals Inc. | 1,023,938 | 9,379 |
* | Air Methods Corp. | 122,085 | 9,125 |
* | Nektar Therapeutics | 1,228,684 | 8,933 |
*,^ | MAKO Surgical Corp. | 299,606 | 8,907 |
* | Momenta Pharmaceuticals Inc. | 454,385 | 8,842 |
* | Luminex Corp. | 402,423 | 8,411 |
* | IPC The Hospitalist Co. Inc. | 175,926 | 8,154 |
* | Orthofix International NV | 191,866 | 8,149 |
* | Sequenom Inc. | 1,069,923 | 8,078 |
* | NPS Pharmaceuticals Inc. | 852,092 | 8,052 |
* | Molina Healthcare Inc. | 295,254 | 8,007 |
* | Ironwood Pharmaceuticals Inc. | 503,911 | 7,921 |
* | HeartWare International Inc. | 105,244 | 7,796 |
* | Hanger Orthopedic Group Inc. | 316,380 | 7,742 |
* | Cyberonics Inc. | 272,832 | 7,626 |
* | Medivation Inc. | 355,441 | 7,617 |
* | Merit Medical Systems Inc. | 423,348 | 7,608 |
* | Team Health Holdings Inc. | 314,347 | 7,076 |
* | Centene Corp. | 197,651 | 7,023 |
* | Rigel Pharmaceuticals Inc. | 742,217 | 6,806 |
* | MedAssets Inc. | 506,558 | 6,768 |
* | Abaxis Inc. | 243,661 | 6,640 |
* | Jazz Pharmaceuticals Inc. | 196,194 | 6,543 |
* | Emeritus Corp. | 306,301 | 6,509 |
* | AVEO Pharmaceuticals Inc. | 315,593 | 6,504 |
* | Ardea Biosciences Inc. | 254,343 | 6,476 |
* | Immunogen Inc. | 529,403 | 6,453 |
* | Targacept Inc. | 301,006 | 6,342 |
* | Halozyme Therapeutics Inc. | 869,596 | 6,009 |
* | ICU Medical Inc. | 133,082 | 5,816 |
* | Bio-Reference Labs Inc. | 271,204 | 5,668 |
* | ABIOMED Inc. | 348,201 | 5,641 |
* | Opko Health Inc. | 1,528,300 | 5,639 |
* | Omnicell Inc. | 356,843 | 5,563 |
* | Accuray Inc. | 694,058 | 5,559 |
* | Sunrise Senior Living Inc. | 549,878 | 5,240 |
* | Medidata Solutions Inc. | 218,976 | 5,227 |
* | Spectrum Pharmaceuticals Inc. | 562,743 | 5,214 |
* | SonoSite Inc. | 146,045 | 5,136 |
* | Akorn Inc. | 710,830 | 4,976 |
* | Quidel Corp. | 322,699 | 4,889 |
* | Natus Medical Inc. | 312,844 | 4,740 |
* | Vivus Inc. | 576,060 | 4,689 |
* | Depomed Inc. | 570,793 | 4,669 |
* | Emdeon Inc. Class A | 344,142 | 4,515 |
* | Genomic Health Inc. | 156,105 | 4,357 |
* | Neurocrine Biosciences Inc. | 534,606 | 4,304 |
* | AMAG Pharmaceuticals Inc. | 228,755 | 4,301 |
Cantel Medical Corp. | 156,953 | 4,224 | |
* | OraSure Technologies Inc. | 475,217 | 4,054 |
* | Rural/Metro Corp. | 233,393 | 4,024 |
* | Endologix Inc. | 428,955 | 3,989 |
*,^ | AVANIR Pharmaceuticals Inc. | 1,183,181 | 3,975 |
* | LHC Group Inc. | 171,731 | 3,960 |
* | Enzon Pharmaceuticals Inc. | 372,383 | 3,742 |
Meridian Bioscience Inc. | 155,109 | 3,740 | |
* | Savient Pharmaceuticals Inc. | 498,525 | 3,734 |
* | Conceptus Inc. | 319,493 | 3,728 |
* | Geron Corp. | 905,887 | 3,633 |
* | Optimer Pharmaceuticals Inc. | 302,545 | 3,597 |
* | Corvel Corp. | 75,416 | 3,537 |
* | Symmetry Medical Inc. | 388,960 | 3,489 |
* | ZIOPHARM Oncology Inc. | 569,244 | 3,484 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Atrion Corp. | 17,341 | 3,430 | |
*,^ | MannKind Corp. | 898,912 | 3,416 |
*,^ | Cadence Pharmaceuticals Inc. | 369,076 | 3,395 |
* | MAP Pharmaceuticals Inc. | 211,932 | 3,385 |
* | eResearchTechnology Inc. | 530,906 | 3,382 |
* | Arqule Inc. | 533,437 | 3,334 |
*,^ | Protalix BioTherapeutics Inc. | 528,076 | 3,306 |
*,^ | Sangamo Biosciences Inc. | 537,537 | 3,166 |
* | Immunomedics Inc. | 774,628 | 3,153 |
* | Idenix Pharmaceuticals Inc. | 605,136 | 3,026 |
* | Hi-Tech Pharmacal Co. Inc. | 102,808 | 2,974 |
* | Emergent Biosolutions Inc. | 131,469 | 2,965 |
* | Micromet Inc. | 511,501 | 2,936 |
*,^ | Neoprobe Corp. | 857,699 | 2,848 |
* | AMN Healthcare Services Inc. | 338,062 | 2,813 |
* | Almost Family Inc. | 90,994 | 2,493 |
*,^ | SIGA Technologies Inc. | 252,691 | 2,461 |
*,^ | Cell Therapeutics Inc. | 1,541,628 | 2,428 |
* | Alnylam Pharmaceuticals Inc. | 253,160 | 2,372 |
* | Greatbatch Inc. | 88,139 | 2,364 |
* | Ligand Pharmaceuticals Inc. Class B | 190,922 | 2,282 |
Landauer Inc. | 35,639 | 2,195 | |
*,^ | Unilife Corp. | 423,417 | 2,193 |
* | Achillion Pharmaceuticals Inc. | 280,612 | 2,088 |
* | Codexis Inc. | 208,744 | 2,010 |
* | Pacific Biosciences of California Inc. | 171,407 | 2,005 |
* | Obagi Medical Products Inc. | 199,561 | 1,882 |
*,^ | PROLOR Biotech Inc. | 374,772 | 1,851 |
* | Allos Therapeutics Inc. | 854,861 | 1,829 |
* | Lexicon Pharmaceuticals Inc. | 1,001,648 | 1,763 |
* | Stereotaxis Inc. | 500,300 | 1,756 |
* | Nabi Biopharmaceuticals | 320,317 | 1,723 |
* | Durect Corp. | 799,021 | 1,622 |
* | CryoLife Inc. | 284,723 | 1,594 |
* | Progenics Pharmaceuticals Inc. | 220,717 | 1,585 |
* | Enzo Biochem Inc. | 371,554 | 1,579 |
* | XenoPort Inc. | 218,805 | 1,558 |
* | Exactech Inc. | 83,873 | 1,511 |
* | Palomar Medical Technologies Inc. | 126,412 | 1,426 |
Universal American Corp. | 128,865 | 1,411 | |
* | Merge Healthcare Inc. | 270,298 | 1,406 |
* | Osiris Therapeutics Inc. | 176,381 | 1,365 |
* | Dyax Corp. | 657,985 | 1,303 |
* | Metabolix Inc. | 169,362 | 1,209 |
* | Arena Pharmaceuticals Inc. | 853,568 | 1,161 |
* | Pozen Inc. | 273,308 | 1,148 |
* | Novavax Inc. | 540,669 | 1,092 |
* | Biospecifics Technologies Corp. | 47,501 | 1,064 |
* | RTI Biologics Inc. | 366,129 | 992 |
Pain Therapeutics Inc. | 256,136 | 991 | |
*,^ | Biotime Inc. | 165,899 | 851 |
* | Kensey Nash Corp. | 30,595 | 772 |
* | BioMimetic Therapeutics Inc. | 146,318 | 749 |
* | SurModics Inc. | 62,841 | 698 |
*,^ | Alimera Sciences Inc. | 83,297 | 679 |
* | Alliance HealthCare Services Inc. | 166,433 | 632 |
*,^ | Orexigen Therapeutics Inc. | 332,460 | 529 |
* | Sucampo Pharmaceuticals Inc. Class A | 64,006 | 262 |
* | Clinical Data Inc. Contingent Value Rights Exp. 04/14/2018 | 132,154 | 126 |
1,564,800 | |||
Industrials (17.8%) | |||
Gardner Denver Inc. | 564,913 | 47,481 | |
* | TransDigm Group Inc. | 510,566 | 46,559 |
IDEX Corp. | 892,431 | 40,918 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Waste Connections Inc. | 1,171,821 | 37,182 | |
Nordson Corp. | 627,626 | 34,425 | |
Wabtec Corp. | 519,090 | 34,115 | |
Graco Inc. | 650,642 | 32,962 | |
* | Kirby Corp. | 522,822 | 29,628 |
* | Thomas & Betts Corp. | 537,095 | 28,923 |
* | Clean Harbors Inc. | 256,705 | 26,505 |
* | Corrections Corp. of America | 1,181,737 | 25,585 |
* | Polypore International Inc. | 370,689 | 25,148 |
* | Genesee & Wyoming Inc. Class A | 427,144 | 25,048 |
Landstar System Inc. | 518,133 | 24,083 | |
* | Dollar Thrifty Automotive Group Inc. | 311,469 | 22,968 |
Woodward Inc. | 632,554 | 22,051 | |
UTi Worldwide Inc. | 1,102,383 | 21,706 | |
Toro Co. | 343,879 | 20,805 | |
Actuant Corp. Class A | 741,493 | 19,894 | |
* | Avis Budget Group Inc. | 1,121,995 | 19,175 |
* | FTI Consulting Inc. | 500,217 | 18,978 |
Kennametal Inc. | 444,621 | 18,767 | |
* | Oshkosh Corp. | 638,459 | 18,477 |
* | Middleby Corp. | 189,751 | 17,844 |
* | WABCO Holdings Inc. | 252,164 | 17,414 |
* | Old Dominion Freight Line Inc. | 453,990 | 16,934 |
* | Chart Industries Inc. | 312,647 | 16,877 |
United Stationers Inc. | 476,196 | 16,872 | |
* | United Rentals Inc. | 656,217 | 16,668 |
* | Acacia Research - Acacia Technologies | 444,057 | 16,292 |
Corporate Executive Board Co. | 371,763 | 16,227 | |
Herman Miller Inc. | 587,500 | 15,992 | |
CLARCOR Inc. | 336,719 | 15,920 | |
* | CoStar Group Inc. | 267,586 | 15,863 |
* | Meritor Inc. | 969,002 | 15,543 |
* | Tetra Tech Inc. | 674,305 | 15,172 |
* | Hexcel Corp. | 686,188 | 15,021 |
* | HUB Group Inc. Class A | 398,525 | 15,008 |
Applied Industrial Technologies Inc. | 413,569 | 14,727 | |
* | II-VI Inc. | 573,298 | 14,676 |
Acuity Brands Inc. | 233,725 | 13,037 | |
Rollins Inc. | 639,190 | 13,027 | |
* | AMR Corp. | 2,345,993 | 12,668 |
Watsco Inc. | 178,162 | 12,113 | |
^ | HEICO Corp. | 220,195 | 12,053 |
* | MasTec Inc. | 592,818 | 11,690 |
Robbins & Myers Inc. | 221,131 | 11,687 | |
Valmont Industries Inc. | 121,002 | 11,663 | |
Knight Transportation Inc. | 679,127 | 11,538 | |
Manitowoc Co. Inc. | 675,332 | 11,373 | |
* | Beacon Roofing Supply Inc. | 495,794 | 11,314 |
Healthcare Services Group Inc. | 680,856 | 11,064 | |
* | EnPro Industries Inc. | 222,867 | 10,713 |
Steelcase Inc. Class A | 938,616 | 10,691 | |
Forward Air Corp. | 315,374 | 10,656 | |
* | Orbital Sciences Corp. | 631,102 | 10,634 |
ESCO Technologies Inc. | 287,451 | 10,578 | |
Titan International Inc. | 431,842 | 10,476 | |
Raven Industries Inc. | 185,619 | 10,341 | |
Knoll Inc. | 508,276 | 10,201 | |
* | DigitalGlobe Inc. | 398,710 | 10,131 |
Franklin Electric Co. Inc. | 213,478 | 10,023 | |
* | Advisory Board Co. | 171,463 | 9,924 |
* | SYKES Enterprises Inc. | 456,343 | 9,825 |
Heartland Express Inc. | 588,934 | 9,753 | |
Seaboard Corp. | 3,949 | 9,549 | |
* | Teledyne Technologies Inc. | 186,583 | 9,396 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Lindsay Corp. | 135,705 | 9,337 | |
* | Blount International Inc. | 520,908 | 9,100 |
* | RBC Bearings Inc. | 238,883 | 9,020 |
* | 3D Systems Corp. | 457,279 | 9,013 |
* | Insituform Technologies Inc. Class A | 426,418 | 8,942 |
* | GrafTech International Ltd. | 440,809 | 8,935 |
Cubic Corp. | 173,592 | 8,851 | |
* | Mobile Mini Inc. | 394,370 | 8,357 |
* | KAR Auction Services Inc. | 440,246 | 8,325 |
* | Allegiant Travel Co. Class A | 164,510 | 8,143 |
* | GeoEye Inc. | 215,384 | 8,055 |
American Science & Engineering Inc. | 98,206 | 7,856 | |
* | Astec Industries Inc. | 208,305 | 7,703 |
AAR Corp. | 279,066 | 7,560 | |
Insperity Inc. | 254,358 | 7,532 | |
Tennant Co. | 185,742 | 7,417 | |
* | RSC Holdings Inc. | 616,845 | 7,377 |
Sun Hydraulics Corp. | 147,292 | 7,041 | |
* | Altra Holdings Inc. | 290,772 | 6,976 |
* | Huron Consulting Group Inc. | 225,452 | 6,811 |
Gorman-Rupp Co. | 204,434 | 6,734 | |
* | Aerovironment Inc. | 188,939 | 6,679 |
* | Exponent Inc. | 151,914 | 6,610 |
* | Sauer-Danfoss Inc. | 130,954 | 6,599 |
Interface Inc. Class A | 338,530 | 6,557 | |
* | Colfax Corp. | 258,369 | 6,408 |
* | Trimas Corp. | 258,069 | 6,387 |
*,^ | Higher One Holdings Inc. | 335,557 | 6,349 |
Barnes Group Inc. | 249,903 | 6,200 | |
HEICO Corp. Class A | 153,014 | 6,084 | |
Resources Connection Inc. | 498,519 | 6,002 | |
John Bean Technologies Corp. | 305,559 | 5,903 | |
Badger Meter Inc. | 154,724 | 5,723 | |
* | USG Corp. | 389,633 | 5,587 |
* | Korn/Ferry International | 251,024 | 5,520 |
*,^ | A123 Systems Inc. | 1,004,184 | 5,342 |
* | ICF International Inc. | 210,367 | 5,339 |
* | Rush Enterprises Inc. Class A | 277,365 | 5,278 |
* | Titan Machinery Inc. | 175,877 | 5,062 |
* | MYR Group Inc. | 216,120 | 5,057 |
* | SFN Group Inc. | 543,901 | 4,944 |
* | Kforce Inc. | 363,839 | 4,759 |
Simpson Manufacturing Co. Inc. | 151,802 | 4,534 | |
* | Global Power Equipment Group Inc. | 167,355 | 4,438 |
AAON Inc. | 201,175 | 4,394 | |
* | H&E Equipment Services Inc. | 303,265 | 4,243 |
* | Kadant Inc. | 131,882 | 4,156 |
Standex International Corp. | 135,155 | 4,145 | |
*,^ | Capstone Turbine Corp. | 2,660,405 | 4,070 |
* | Cenveo Inc. | 610,958 | 3,910 |
Marten Transport Ltd. | 178,093 | 3,847 | |
* | Commercial Vehicle Group Inc. | 270,324 | 3,836 |
* | Powell Industries Inc. | 101,405 | 3,701 |
Vicor Corp. | 226,939 | 3,670 | |
LB Foster Co. Class A | 110,855 | 3,648 | |
* | Trex Co. Inc. | 142,115 | 3,479 |
* | TrueBlue Inc. | 238,632 | 3,455 |
*,^ | EnerNOC Inc. | 212,891 | 3,351 |
Dynamic Materials Corp. | 144,205 | 3,233 | |
* | Celadon Group Inc. | 230,806 | 3,222 |
* | GenCorp Inc. | 480,896 | 3,087 |
* | Taser International Inc. | 677,610 | 3,083 |
*,^ | American Superconductor Corp. | 338,723 | 3,062 |
* | Furmanite Corp. | 377,692 | 2,999 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Kaman Corp. | 83,991 | 2,979 | |
Albany International Corp. | 105,667 | 2,789 | |
* | Saia Inc. | 163,463 | 2,771 |
* | Standard Parking Corp. | 170,061 | 2,716 |
* | InnerWorkings Inc. | 321,250 | 2,679 |
National Presto Industries Inc. | 25,969 | 2,636 | |
* | American Reprographics Co. | 371,185 | 2,624 |
* | Mistras Group Inc. | 161,730 | 2,620 |
* | RailAmerica Inc. | 173,638 | 2,605 |
* | CAI International Inc. | 124,987 | 2,582 |
* | Greenbrier Cos. Inc. | 127,864 | 2,527 |
* | School Specialty Inc. | 173,568 | 2,498 |
Viad Corp. | 109,156 | 2,433 | |
* | Wabash National Corp. | 258,598 | 2,423 |
* | Team Inc. | 99,317 | 2,397 |
AZZ Inc. | 47,315 | 2,167 | |
* | Ameresco Inc. Class A | 149,903 | 2,126 |
Houston Wire & Cable Co. | 118,182 | 1,838 | |
* | Pacer International Inc. | 376,833 | 1,779 |
* | Pike Electric Corp. | 199,924 | 1,767 |
* | CBIZ Inc. | 229,912 | 1,692 |
* | Keyw Holding Corp. | 136,477 | 1,691 |
* | APAC Customer Services Inc. | 308,807 | 1,646 |
* | ACCO Brands Corp. | 207,904 | 1,632 |
Tredegar Corp. | 84,495 | 1,550 | |
* | Rush Enterprises Inc. Class B | 87,957 | 1,416 |
* | American Railcar Industries Inc. | 57,598 | 1,351 |
* | Dolan Co. | 156,700 | 1,327 |
* | Fuel Tech Inc. | 196,362 | 1,302 |
*,^ | Energy Recovery Inc. | 395,281 | 1,293 |
Great Lakes Dredge & Dock Corp. | 209,803 | 1,171 | |
* | Broadwind Energy Inc. | 804,886 | 1,167 |
* | FreightCar America Inc. | 45,123 | 1,143 |
* | M&F Worldwide Corp. | 43,876 | 1,134 |
* | Hill International Inc. | 173,505 | 999 |
*,^ | Ener1 Inc. | 795,544 | 875 |
* | Patriot Transportation Holding Inc. | 39,050 | 874 |
* | Universal Truckload Services Inc. | 23,843 | 408 |
1,655,215 | |||
Information Technology (26.0%) | |||
* | Polycom Inc. | 949,121 | 61,028 |
* | Varian Semiconductor Equipment Associates Inc. | 813,036 | 49,953 |
Solera Holdings Inc. | 762,588 | 45,115 | |
* | MICROS Systems Inc. | 875,057 | 43,499 |
* | JDS Uniphase Corp. | 2,427,224 | 40,438 |
* | Gartner Inc. | 935,181 | 37,678 |
* | Ariba Inc. | 1,010,595 | 34,835 |
* | Cadence Design Systems Inc. | 2,906,375 | 30,691 |
National Instruments Corp. | 1,015,838 | 30,160 | |
* | Parametric Technology Corp. | 1,278,607 | 29,318 |
* | Teradyne Inc. | 1,963,663 | 29,062 |
* | WebMD Health Corp. | 615,938 | 28,074 |
* | Fortinet Inc. | 977,259 | 26,669 |
* | Netlogic Microsystems Inc. | 659,152 | 26,643 |
Jack Henry & Associates Inc. | 885,918 | 26,586 | |
* | QLIK Technologies Inc. | 769,716 | 26,217 |
ADTRAN Inc. | 663,697 | 25,692 | |
* | Zebra Technologies Corp. | 603,581 | 25,453 |
* | Concur Technologies Inc. | 493,693 | 24,719 |
MercadoLibre Inc. | 310,482 | 24,634 | |
* | Aruba Networks Inc. | 811,523 | 23,980 |
* | IPG Photonics Corp. | 305,110 | 22,185 |
* | VistaPrint NV | 463,212 | 22,165 |
* | GT Solar International Inc. | 1,352,442 | 21,910 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | SuccessFactors Inc. | 739,943 | 21,754 |
*,^ | Veeco Instruments Inc. | 439,615 | 21,282 |
* | Itron Inc. | 438,489 | 21,118 |
* | Cavium Inc. | 483,889 | 21,093 |
* | NeuStar Inc. Class A | 798,708 | 20,926 |
* | Wright Express Corp. | 395,256 | 20,581 |
Anixter International Inc. | 314,305 | 20,537 | |
InterDigital Inc. | 490,617 | 20,042 | |
* | CommVault Systems Inc. | 448,237 | 19,924 |
* | Monster Worldwide Inc. | 1,338,961 | 19,629 |
Plantronics Inc. | 529,000 | 19,324 | |
* | Microsemi Corp. | 928,189 | 19,028 |
* | Ciena Corp. | 1,027,507 | 18,886 |
* | Hittite Microwave Corp. | 304,481 | 18,850 |
* | Silicon Laboratories Inc. | 452,885 | 18,686 |
* | QLogic Corp. | 1,140,794 | 18,161 |
* | TriQuint Semiconductor Inc. | 1,761,150 | 17,946 |
* | Sapient Corp. | 1,186,528 | 17,834 |
* | Progress Software Corp. | 726,323 | 17,526 |
* | Taleo Corp. Class A | 441,706 | 16,356 |
* | Blackboard Inc. | 375,290 | 16,284 |
* | Quest Software Inc. | 705,772 | 16,042 |
* | FEI Co. | 417,338 | 15,938 |
* | Finisar Corp. | 874,440 | 15,766 |
MAXIMUS Inc. | 185,824 | 15,373 | |
* | Rambus Inc. | 1,047,164 | 15,372 |
* | Cymer Inc. | 309,985 | 15,347 |
* | Universal Display Corp. | 433,109 | 15,198 |
* | Lawson Software Inc. | 1,328,328 | 14,904 |
* | SRA International Inc. Class A | 481,208 | 14,879 |
* | ValueClick Inc. | 877,310 | 14,563 |
* | OpenTable Inc. | 174,389 | 14,495 |
* | SolarWinds Inc. | 548,874 | 14,348 |
* | Ultimate Software Group Inc. | 263,536 | 14,344 |
* | j2 Global Communications Inc. | 496,615 | 14,019 |
* | MicroStrategy Inc. Class A | 86,170 | 14,018 |
* | Digital River Inc. | 422,419 | 13,585 |
Cypress Semiconductor Corp. | 624,924 | 13,211 | |
* | SAVVIS Inc. | 334,072 | 13,206 |
Blackbaud Inc. | 475,056 | 13,169 | |
* | Ancestry.com Inc. | 315,961 | 13,078 |
* | Semtech Corp. | 445,706 | 12,186 |
* | ACI Worldwide Inc. | 360,113 | 12,161 |
Power Integrations Inc. | 311,025 | 11,953 | |
* | Cabot Microelectronics Corp. | 251,582 | 11,691 |
* | Websense Inc. | 439,580 | 11,416 |
* | Acxiom Corp. | 869,648 | 11,401 |
* | Netgear Inc. | 255,868 | 11,187 |
Mantech International Corp. Class A | 251,287 | 11,162 | |
* | Cirrus Logic Inc. | 695,864 | 11,064 |
* | Scansource Inc. | 291,016 | 10,907 |
^ | VirnetX Holding Corp. | 370,035 | 10,709 |
Syntel Inc. | 180,621 | 10,678 | |
* | Unisys Corp. | 415,458 | 10,677 |
DST Systems Inc. | 200,282 | 10,575 | |
* | Rofin-Sinar Technologies Inc. | 308,755 | 10,544 |
* | Advent Software Inc. | 365,771 | 10,304 |
* | Blue Coat Systems Inc. | 470,760 | 10,291 |
* | Diodes Inc. | 387,903 | 10,124 |
* | RealPage Inc. | 370,759 | 9,814 |
*,^ | L-1 Identity Solutions Inc. | 830,879 | 9,763 |
* | NetSuite Inc. | 243,672 | 9,552 |
* | Tessera Technologies Inc. | 552,415 | 9,468 |
*,^ | Synaptics Inc. | 366,911 | 9,444 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Viasat Inc. | 213,795 | 9,251 |
* | Cardtronics Inc. | 394,013 | 9,240 |
*,^ | RealD Inc. | 388,686 | 9,091 |
* | Sourcefire Inc. | 303,115 | 9,009 |
*,^ | Power-One Inc. | 1,096,870 | 8,885 |
* | Bottomline Technologies Inc. | 359,451 | 8,882 |
* | DG FastChannel Inc. | 275,032 | 8,815 |
* | Harmonic Inc. | 1,211,633 | 8,760 |
* | Synchronoss Technologies Inc. | 271,087 | 8,602 |
Heartland Payment Systems Inc. | 415,808 | 8,566 | |
* | RightNow Technologies Inc. | 262,494 | 8,505 |
* | Radiant Systems Inc. | 405,740 | 8,480 |
* | TiVo Inc. | 823,552 | 8,474 |
Pegasystems Inc. | 180,334 | 8,395 | |
NIC Inc. | 620,599 | 8,353 | |
* | Aspen Technology Inc. | 481,122 | 8,266 |
* | Manhattan Associates Inc. | 236,343 | 8,140 |
* | Ultratech Inc. | 267,695 | 8,133 |
* | Compuware Corp. | 828,722 | 8,088 |
*,^ | STEC Inc. | 470,500 | 8,003 |
*,^ | Ebix Inc. | 418,949 | 7,981 |
* | BroadSoft Inc. | 208,159 | 7,937 |
* | OSI Systems Inc. | 184,417 | 7,930 |
* | Tyler Technologies Inc. | 294,279 | 7,881 |
* | Checkpoint Systems Inc. | 431,558 | 7,716 |
* | FARO Technologies Inc. | 175,492 | 7,687 |
* | Euronet Worldwide Inc. | 497,637 | 7,669 |
* | Quantum Corp. | 2,317,677 | 7,648 |
* | Netscout Systems Inc. | 365,653 | 7,638 |
* | Constant Contact Inc. | 298,745 | 7,582 |
* | DTS Inc. | 185,441 | 7,520 |
Cognex Corp. | 211,853 | 7,506 | |
* | LogMeIn Inc. | 194,253 | 7,492 |
* | Omnivision Technologies Inc. | 215,153 | 7,489 |
*,^ | Entropic Communications Inc. | 831,135 | 7,389 |
* | Infinera Corp. | 1,067,977 | 7,380 |
* | Verint Systems Inc. | 199,041 | 7,372 |
* | Sonus Networks Inc. | 2,244,349 | 7,272 |
* | Ceva Inc. | 238,181 | 7,255 |
* | Volterra Semiconductor Corp. | 290,812 | 7,171 |
* | Stratasys Inc. | 212,358 | 7,156 |
* | comScore Inc. | 272,076 | 7,047 |
* | Loral Space & Communications Inc. | 100,906 | 7,010 |
* | LivePerson Inc. | 494,811 | 6,997 |
Opnet Technologies Inc. | 167,538 | 6,859 | |
* | Dice Holdings Inc. | 504,751 | 6,824 |
* | CSG Systems International Inc. | 369,259 | 6,824 |
* | TeleTech Holdings Inc. | 319,885 | 6,743 |
* | PMC - Sierra Inc. | 883,438 | 6,688 |
* | Standard Microsystems Corp. | 247,543 | 6,681 |
* | DealerTrack Holdings Inc. | 287,404 | 6,596 |
* | Kenexa Corp. | 271,478 | 6,510 |
* | Integrated Device Technology Inc. | 816,546 | 6,418 |
* | Applied Micro Circuits Corp. | 700,790 | 6,209 |
* | Vocus Inc. | 200,564 | 6,139 |
Micrel Inc. | 570,038 | 6,031 | |
* | TTM Technologies Inc. | 366,094 | 5,865 |
* | Mercury Computer Systems Inc. | 303,837 | 5,676 |
* | SS&C Technologies Holdings Inc. | 285,080 | 5,665 |
Forrester Research Inc. | 170,885 | 5,632 | |
* | Monolithic Power Systems Inc. | 360,535 | 5,559 |
* | IntraLinks Holdings Inc. | 319,234 | 5,516 |
* | Measurement Specialties Inc. | 153,761 | 5,489 |
iGate Corp. | 334,822 | 5,464 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | LoopNet Inc. | 296,043 | 5,441 |
* | Monotype Imaging Holdings Inc. | 384,215 | 5,429 |
* | Intermec Inc. | 488,964 | 5,398 |
* | Powerwave Technologies Inc. | 1,827,660 | 5,392 |
* | Ixia | 402,433 | 5,151 |
* | Calix Inc. | 244,479 | 5,090 |
* | Interactive Intelligence Inc. | 144,554 | 5,067 |
* | Hypercom Corp. | 510,701 | 5,020 |
* | Fabrinet | 201,116 | 4,883 |
EPIQ Systems Inc. | 342,888 | 4,876 | |
* | Super Micro Computer Inc. | 286,692 | 4,613 |
* | Maxwell Technologies Inc. | 279,464 | 4,525 |
* | Liquidity Services Inc. | 190,986 | 4,509 |
* | Accelrys Inc. | 602,611 | 4,285 |
Daktronics Inc. | 381,438 | 4,116 | |
* | S1 Corp. | 546,872 | 4,091 |
* | VASCO Data Security International Inc. | 325,827 | 4,057 |
* | IXYS Corp. | 270,527 | 4,052 |
* | ExlService Holdings Inc. | 174,527 | 4,032 |
* | Travelzoo Inc. | 62,272 | 4,025 |
* | Internap Network Services Corp. | 534,777 | 3,931 |
* | MIPS Technologies Inc. Class A | 565,507 | 3,908 |
*,^ | OCZ Technology Group Inc. | 486,682 | 3,893 |
*,^ | SunPower Corp. Class B | 228,173 | 3,795 |
* | PROS Holdings Inc. | 215,643 | 3,772 |
* | Oclaro Inc. | 540,450 | 3,632 |
* | QuinStreet Inc. | 278,140 | 3,610 |
* | Digi International Inc. | 272,648 | 3,544 |
*,^ | Rubicon Technology Inc. | 198,574 | 3,348 |
* | ShoreTel Inc. | 324,521 | 3,310 |
* | Silicon Graphics International Corp. | 191,853 | 3,300 |
* | Virtusa Corp. | 172,534 | 3,270 |
Cass Information Systems Inc. | 86,365 | 3,261 | |
* | Limelight Networks Inc. | 714,017 | 3,256 |
* | XO Group Inc. | 315,864 | 3,143 |
* | Kopin Corp. | 667,232 | 3,143 |
* | Perficient Inc. | 305,513 | 3,135 |
* | Insight Enterprises Inc. | 175,576 | 3,109 |
* | Echelon Corp. | 339,588 | 3,087 |
* | DemandTec Inc. | 336,668 | 3,064 |
* | TNS Inc. | 184,301 | 3,059 |
* | Seachange International Inc. | 273,478 | 2,948 |
* | Lattice Semiconductor Corp. | 446,293 | 2,910 |
* | Rogers Corp. | 60,050 | 2,774 |
* | Silicon Image Inc. | 423,112 | 2,733 |
* | Avid Technology Inc. | 144,084 | 2,715 |
* | Ciber Inc. | 474,213 | 2,632 |
Sycamore Networks Inc. | 115,801 | 2,575 | |
* | Actuate Corp. | 437,560 | 2,560 |
* | Envestnet Inc. | 169,726 | 2,520 |
* | TeleCommunication Systems Inc. Class A | 510,541 | 2,466 |
* | Move Inc. | 1,115,169 | 2,442 |
* | Mediamind Technologies Inc. | 110,240 | 2,419 |
* | Anadigics Inc. | 716,218 | 2,299 |
* | Cray Inc. | 350,604 | 2,244 |
* | Multi-Fineline Electronix Inc. | 103,659 | 2,240 |
* | Zoran Corp. | 252,156 | 2,118 |
*,^ | Echo Global Logistics Inc. | 118,708 | 2,107 |
*,^ | Rosetta Stone Inc. | 123,790 | 1,998 |
* | Novatel Wireless Inc. | 342,316 | 1,876 |
* | NCI Inc. Class A | 82,380 | 1,872 |
*,^ | Motricity Inc. | 233,011 | 1,801 |
* | FormFactor Inc. | 191,977 | 1,739 |
* | TeleNav Inc. | 90,935 | 1,612 |
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Smith Micro Software Inc. | 340,449 | 1,433 |
* | MaxLinear Inc. | 162,945 | 1,411 |
*,^ | Meru Networks Inc. | 103,909 | 1,248 |
* | Sigma Designs Inc. | 161,163 | 1,231 |
* | Anaren Inc. | 53,943 | 1,146 |
* | Extreme Networks | 311,508 | 1,009 |
* | Deltek Inc. | 110,501 | 828 |
* | Viasystems Group Inc. | 35,499 | 798 |
* | Pericom Semiconductor Corp. | 88,898 | 795 |
Pulse Electronics Corp. | 147,438 | 652 | |
Renaissance Learning Inc. | 39,028 | 489 | |
*,^ | SunPower Corp. Class A | 23,736 | 459 |
* | BigBand Networks Inc. | 195,536 | 424 |
*,^ | Energy Conversion Devices Inc. | 283,501 | 335 |
2,406,928 | |||
Materials (5.0%) | |||
* | Rockwood Holdings Inc. | 700,416 | 38,726 |
* | WR Grace & Co. | 791,690 | 36,125 |
* | Allied Nevada Gold Corp. | 915,201 | 32,371 |
* | Solutia Inc. | 1,319,509 | 30,151 |
* | Stillwater Mining Co. | 1,105,937 | 24,342 |
NewMarket Corp. | 120,238 | 20,526 | |
* | Intrepid Potash Inc. | 569,187 | 18,499 |
Royal Gold Inc. | 276,585 | 16,200 | |
Schnitzer Steel Industries Inc. | 260,816 | 15,023 | |
Globe Specialty Metals Inc. | 650,858 | 14,592 | |
Balchem Corp. | 311,362 | 13,631 | |
* | Ferro Corp. | 839,695 | 11,286 |
Silgan Holdings Inc. | 264,693 | 10,844 | |
* | Calgon Carbon Corp. | 610,506 | 10,379 |
PolyOne Corp. | 661,569 | 10,234 | |
Worthington Industries Inc. | 417,546 | 9,645 | |
^ | Gold Resource Corp. | 344,148 | 8,580 |
* | Clearwater Paper Corp. | 124,152 | 8,477 |
Koppers Holdings Inc. | 222,693 | 8,447 | |
* | Hecla Mining Co. | 1,057,492 | 8,132 |
* | LSB Industries Inc. | 182,669 | 7,840 |
* | Innospec Inc. | 229,673 | 7,719 |
* | Materion Corp. | 207,722 | 7,680 |
* | US Gold Corp. | 1,262,200 | 7,611 |
Buckeye Technologies Inc. | 271,788 | 7,333 | |
* | KapStone Paper and Packaging Corp. | 423,288 | 7,014 |
Olin Corp. | 301,462 | 6,831 | |
AK Steel Holding Corp. | 417,668 | 6,582 | |
* | Graham Packaging Co. Inc. | 248,498 | 6,267 |
*,^ | STR Holdings Inc. | 313,383 | 4,676 |
Haynes International Inc. | 65,878 | 4,080 | |
* | Graphic Packaging Holding Co. | 739,996 | 4,026 |
Deltic Timber Corp. | 74,671 | 4,009 | |
Kronos Worldwide Inc. | 122,841 | 3,863 | |
Schweitzer-Mauduit International Inc. | 65,378 | 3,671 | |
*,^ | Paramount Gold and Silver Corp. | 1,096,723 | 3,575 |
Hawkins Inc. | 94,901 | 3,437 | |
* | Zoltek Cos. Inc. | 316,276 | 3,330 |
* | Georgia Gulf Corp. | 128,599 | 3,104 |
* | Omnova Solutions Inc. | 438,264 | 3,050 |
Texas Industries Inc. | 68,469 | 2,850 | |
* | General Moly Inc. | 637,194 | 2,842 |
* | Golden Minerals Co. | 123,713 | 2,200 |
Stepan Co. | 30,618 | 2,171 | |
* | Mercer International Inc. | 126,421 | 1,274 |
* | Metals USA Holdings Corp. | 70,023 | 1,043 |
* | Headwaters Inc. | 328,540 | 1,028 |
Vanguard® Small-Cap Growth Index Fund | |||||
Schedule of Investments | |||||
June 30, 2011 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
* | United States Lime & Minerals Inc. | 24,180 | 992 | ||
466,308 | |||||
Telecommunication Services (1.8%) | |||||
* | Level 3 Communications Inc. | 18,117,901 | 44,208 | ||
* | tw telecom inc Class A | 1,548,176 | 31,784 | ||
AboveNet Inc. | 237,328 | 16,722 | |||
* | Global Crossing Ltd. | 361,245 | 13,864 | ||
* | Cogent Communications Group Inc. | 471,328 | 8,017 | ||
* | Vonage Holdings Corp. | 1,559,189 | 6,876 | ||
*,^ | Neutral Tandem Inc. | 320,448 | 5,582 | ||
* | Leap Wireless International Inc. | 340,482 | 5,526 | ||
* | PAETEC Holding Corp. | 916,024 | 4,388 | ||
* | General Communication Inc. Class A | 359,890 | 4,344 | ||
^ | Alaska Communications Systems Group Inc. | 484,035 | 4,293 | ||
* | ICO Global Communications Holdings Ltd. | 1,515,061 | 4,197 | ||
* | Cbeyond Inc. | 316,962 | 4,193 | ||
Shenandoah Telecommunications Co. | 243,995 | 4,153 | |||
* | Premiere Global Services Inc. | 349,135 | 2,786 | ||
NTELOS Holdings Corp. | 119,177 | 2,434 | |||
Atlantic Tele-Network Inc. | 54,062 | 2,074 | |||
* | Iridium Communications Inc. | 146,238 | 1,265 | ||
166,706 | |||||
Utilities (0.6%) | |||||
ITC Holdings Corp. | 549,497 | 39,437 | |||
* | GenOn Energy Inc. | 2,920,620 | 11,274 | ||
* | Dynegy Inc. Class A | 366,796 | 2,271 | ||
52,982 | |||||
Total Common Stocks (Cost $7,601,823) | 9,248,087 | ||||
Coupon | Shares | ||||
Temporary Cash Investments (1.9%)1 | |||||
Money Market Fund (1.8%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.140% | 172,740,963 | 172,741 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
4,5 | Freddie Mac Discount Notes | 0.095% | 9/27/11 | 6,000 | 5,998 |
Total Temporary Cash Investments (Cost $178,739) | 178,739 | ||||
Total Investments (101.7%) (Cost $7,780,562) | 9,426,826 | ||||
Other Assets and Liabilities—Net (-1.7%) | (156,737) | ||||
Net Assets (100%) | 9,270,089 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $131,463,000.
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 1.7%, 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 $138,993,000 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 $4,999,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (11.0%) | |||
Foot Locker Inc. | 1,321,378 | 31,396 | |
Jarden Corp. | 748,645 | 25,836 | |
Service Corp. International | 2,050,760 | 23,953 | |
* | Penn National Gaming Inc. | 570,096 | 22,998 |
* | Dana Holding Corp. | 1,237,428 | 22,645 |
Dillard's Inc. Class A | 358,587 | 18,697 | |
Brinker International Inc. | 762,306 | 18,646 | |
Wolverine World Wide Inc. | 416,966 | 17,408 | |
Rent-A-Center Inc. | 542,307 | 16,573 | |
Cinemark Holdings Inc. | 731,051 | 15,140 | |
Wendy's/Arby's Group Inc. Class A | 2,862,238 | 14,512 | |
Men's Wearhouse Inc. | 428,341 | 14,435 | |
* | Career Education Corp. | 660,459 | 13,969 |
* | Ascena Retail Group Inc. | 371,524 | 12,650 |
Hillenbrand Inc. | 534,779 | 12,648 | |
RadioShack Corp. | 903,030 | 12,019 | |
* | DreamWorks Animation SKG Inc. Class A | 597,366 | 12,007 |
* | Genesco Inc. | 201,592 | 10,503 |
* | Cabela's Inc. | 379,574 | 10,305 |
* | Office Depot Inc. | 2,366,067 | 9,985 |
Cooper Tire & Rubber Co. | 500,443 | 9,904 | |
^ | Meredith Corp. | 314,215 | 9,782 |
Cracker Barrel Old Country Store Inc. | 197,904 | 9,759 | |
Finish Line Inc. Class A | 439,966 | 9,415 | |
* | Orient-Express Hotels Ltd. Class A | 874,621 | 9,402 |
* | New York Times Co. Class A | 1,060,553 | 9,248 |
Bob Evans Farms Inc. | 258,774 | 9,049 | |
Regal Entertainment Group Class A | 725,944 | 8,965 | |
* | Jack in the Box Inc. | 389,933 | 8,883 |
* | Helen of Troy Ltd. | 248,962 | 8,597 |
Group 1 Automotive Inc. | 203,187 | 8,367 | |
* | Hanesbrands Inc. | 287,830 | 8,218 |
Jones Group Inc. | 753,144 | 8,172 | |
MDC Holdings Inc. | 322,097 | 7,936 | |
* | Collective Brands Inc. | 532,364 | 7,820 |
American Greetings Corp. Class A | 317,770 | 7,639 | |
* | Carter's Inc. | 245,205 | 7,542 |
Regis Corp. | 491,639 | 7,532 | |
* | DSW Inc. Class A | 148,377 | 7,509 |
Brunswick Corp. | 360,505 | 7,354 | |
* | Saks Inc. | 624,707 | 6,978 |
Cato Corp. Class A | 236,854 | 6,821 | |
International Speedway Corp. Class A | 236,047 | 6,706 | |
Buckle Inc. | 155,499 | 6,640 | |
Ameristar Casinos Inc. | 274,943 | 6,519 | |
Columbia Sportswear Co. | 100,367 | 6,363 | |
Scholastic Corp. | 236,528 | 6,292 | |
* | Belo Corp. Class A | 784,878 | 5,910 |
Penske Automotive Group Inc. | 256,579 | 5,835 | |
KB Home | 590,994 | 5,780 | |
* | Scientific Games Corp. Class A | 547,027 | 5,656 |
* | Meritage Homes Corp. | 248,042 | 5,596 |
* | Ascent Media Corp. Class A | 104,006 | 5,509 |
* | Ruby Tuesday Inc. | 498,667 | 5,376 |
Stage Stores Inc. | 312,298 | 5,247 | |
Stewart Enterprises Inc. Class A | 711,883 | 5,197 | |
Strayer Education Inc. | 39,601 | 5,005 | |
* | Quiksilver Inc. | 1,053,454 | 4,951 |
* | Childrens Place Retail Stores Inc. | 110,766 | 4,928 |
* | Skechers U.S.A. Inc. Class A | 325,963 | 4,720 |
Sinclair Broadcast Group Inc. Class A | 428,934 | 4,710 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Red Robin Gourmet Burgers Inc. | 126,527 | 4,603 |
Fred's Inc. Class A | 318,214 | 4,592 | |
Sonic Automotive Inc. Class A | 312,795 | 4,582 | |
* | La-Z-Boy Inc. | 442,309 | 4,366 |
* | Jakks Pacific Inc. | 235,522 | 4,336 |
Superior Industries International Inc. | 193,705 | 4,283 | |
Choice Hotels International Inc. | 127,037 | 4,238 | |
* | Dorman Products Inc. | 106,418 | 4,212 |
Drew Industries Inc. | 168,557 | 4,167 | |
* | Boyd Gaming Corp. | 477,901 | 4,158 |
Churchill Downs Inc. | 91,854 | 4,141 | |
Oxford Industries Inc. | 120,023 | 4,052 | |
Ryland Group Inc. | 244,980 | 4,050 | |
Brown Shoe Co. Inc. | 374,035 | 3,983 | |
National CineMedia Inc. | 234,268 | 3,961 | |
* | Pinnacle Entertainment Inc. | 263,843 | 3,931 |
* | Domino's Pizza Inc. | 143,158 | 3,613 |
* | DineEquity Inc. | 65,267 | 3,411 |
Callaway Golf Co. | 548,303 | 3,410 | |
Barnes & Noble Inc. | 205,404 | 3,406 | |
* | Federal-Mogul Corp. | 136,833 | 3,124 |
* | Standard Pacific Corp. | 921,571 | 3,087 |
Nutrisystem Inc. | 216,172 | 3,039 | |
*,^ | Corinthian Colleges Inc. | 685,425 | 2,920 |
Harte-Hanks Inc. | 352,168 | 2,860 | |
* | OfficeMax Inc. | 362,151 | 2,843 |
* | Biglari Holdings Inc. | 7,215 | 2,821 |
* | Perry Ellis International Inc. | 109,977 | 2,777 |
Lincoln Educational Services Corp. | 160,525 | 2,753 | |
* | Charming Shoppes Inc. | 641,437 | 2,668 |
* | EW Scripps Co. Class A | 274,119 | 2,651 |
* | Core-Mark Holding Co. Inc. | 74,043 | 2,643 |
Movado Group Inc. | 154,478 | 2,643 | |
*,^ | Education Management Corp. | 100,525 | 2,407 |
* | Shoe Carnival Inc. | 79,515 | 2,397 |
Standard Motor Products Inc. | 156,140 | 2,378 | |
Stein Mart Inc. | 243,331 | 2,346 | |
* | American Axle & Manufacturing Holdings Inc. | 198,675 | 2,261 |
World Wrestling Entertainment Inc. Class A | 235,343 | 2,243 | |
*,^ | Talbots Inc. | 606,944 | 2,027 |
* | M/I Homes Inc. | 160,458 | 1,967 |
* | Systemax Inc. | 126,351 | 1,888 |
* | Modine Manufacturing Co. | 119,195 | 1,832 |
* | Unifi Inc. | 129,590 | 1,788 |
Speedway Motorsports Inc. | 125,575 | 1,781 | |
* | America's Car-Mart Inc. | 53,693 | 1,772 |
Marcus Corp. | 179,133 | 1,770 | |
Christopher & Banks Corp. | 307,002 | 1,765 | |
Haverty Furniture Cos. Inc. | 143,292 | 1,649 | |
* | Asbury Automotive Group Inc. | 88,953 | 1,648 |
* | Journal Communications Inc. Class A | 315,456 | 1,631 |
* | Entercom Communications Corp. Class A | 185,019 | 1,606 |
Weyco Group Inc. | 63,216 | 1,555 | |
PetMed Express Inc. | 126,125 | 1,495 | |
CSS Industries Inc. | 71,150 | 1,489 | |
* | McClatchy Co. Class A | 516,082 | 1,450 |
* | Beazer Homes USA Inc. | 427,407 | 1,449 |
Ambassadors Group Inc. | 154,942 | 1,368 | |
Big 5 Sporting Goods Corp. | 159,690 | 1,255 | |
* | Winnebago Industries Inc. | 125,275 | 1,210 |
* | Pacific Sunwear of California Inc. | 455,335 | 1,188 |
* | hhgregg Inc. | 85,488 | 1,146 |
* | LIN TV Corp. Class A | 216,561 | 1,055 |
* | Kenneth Cole Productions Inc. Class A | 83,570 | 1,044 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Lions Gate Entertainment Corp. | 144,256 | 955 |
HOT Topic Inc. | 127,575 | 949 | |
* | Furniture Brands International Inc. | 213,092 | 882 |
* | K-Swiss Inc. Class A | 82,366 | 876 |
* | Dex One Corp. | 321,926 | 814 |
* | Sealy Corp. | 210,704 | 533 |
*,^ | Hovnanian Enterprises Inc. Class A | 192,046 | 463 |
* | Marine Products Corp. | 62,297 | 419 |
* | New York & Co. Inc. | 81,369 | 403 |
*,^ | Wonder Auto Technology Inc. | 59,745 | 162 |
805,797 | |||
Consumer Staples (3.7%) | |||
Corn Products International Inc. | 650,649 | 35,968 | |
Flowers Foods Inc. | 988,388 | 21,784 | |
SUPERVALU Inc. | 1,804,847 | 16,984 | |
Ruddick Corp. | 377,592 | 16,440 | |
* | TreeHouse Foods Inc. | 196,624 | 10,738 |
Lancaster Colony Corp. | 164,913 | 10,030 | |
*,^ | Fresh Market Inc. | 245,755 | 9,506 |
Fresh Del Monte Produce Inc. | 354,662 | 9,459 | |
B&G Foods Inc. Class A | 406,576 | 8,384 | |
* | BJ's Wholesale Club Inc. | 163,085 | 8,211 |
Sanderson Farms Inc. | 169,869 | 8,116 | |
Universal Corp. | 200,118 | 7,538 | |
Snyders-Lance Inc. | 340,144 | 7,357 | |
* | Central European Distribution Corp. | 562,945 | 6,305 |
Andersons Inc. | 149,094 | 6,299 | |
^ | Vector Group Ltd. | 351,913 | 6,261 |
* | Prestige Brands Holdings Inc. | 428,462 | 5,502 |
WD-40 Co. | 138,305 | 5,399 | |
* | Chiquita Brands International Inc. | 385,354 | 5,017 |
* | Hain Celestial Group Inc. | 146,697 | 4,894 |
* | Spectrum Brands Holdings Inc. | 151,939 | 4,862 |
*,^ | Dole Food Co. Inc. | 338,547 | 4,577 |
Weis Markets Inc. | 103,212 | 4,204 | |
* | Winn-Dixie Stores Inc. | 475,867 | 4,021 |
^ | Cal-Maine Foods Inc. | 118,785 | 3,796 |
Spartan Stores Inc. | 192,943 | 3,768 | |
Nash Finch Co. | 103,740 | 3,715 | |
* | Pantry Inc. | 195,538 | 3,674 |
* | Central Garden and Pet Co. Class A | 340,428 | 3,455 |
Inter Parfums Inc. | 143,930 | 3,315 | |
Tootsie Roll Industries Inc. | 103,962 | 3,042 | |
* | Elizabeth Arden Inc. | 104,045 | 3,020 |
*,^ | Star Scientific Inc. | 459,972 | 2,070 |
* | Primo Water Corp. | 124,653 | 1,794 |
* | Revlon Inc. Class A | 104,990 | 1,764 |
* | Pilgrim's Pride Corp. | 299,781 | 1,622 |
* | Alliance One International Inc. | 463,159 | 1,496 |
Ingles Markets Inc. Class A | 88,798 | 1,470 | |
* | Seneca Foods Corp. Class A | 53,712 | 1,374 |
Village Super Market Inc. Class A | 48,436 | 1,342 | |
* | Central Garden and Pet Co. | 119,476 | 1,240 |
Calavo Growers Inc. | 50,557 | 1,065 | |
Coca-Cola Bottling Co. Consolidated | 15,138 | 1,024 | |
Farmer Bros Co. | 62,898 | 638 | |
Alico Inc. | 20,618 | 528 | |
* | Susser Holdings Corp. | 26,139 | 411 |
*,^ | American Oriental Bioengineering Inc. | 25,937 | 29 |
273,508 | |||
Energy (4.9%) | |||
Tidewater Inc. | 439,296 | 23,638 | |
* | Oil States International Inc. | 282,372 | 22,564 |
* | Unit Corp. | 348,174 | 21,214 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
SEACOR Holdings Inc. | 173,762 | 17,369 | |
Bristow Group Inc. | 309,815 | 15,807 | |
* | Helix Energy Solutions Group Inc. | 859,027 | 14,225 |
* | CVR Energy Inc. | 487,110 | 11,993 |
* | Stone Energy Corp. | 372,871 | 11,332 |
* | Cloud Peak Energy Inc. | 519,702 | 11,070 |
* | Atwood Oceanics Inc. | 248,361 | 10,960 |
World Fuel Services Corp. | 297,071 | 10,674 | |
Berry Petroleum Co. Class A | 197,531 | 10,495 | |
* | Bill Barrett Corp. | 199,981 | 9,269 |
* | Energy XXI Bermuda Ltd. | 274,316 | 9,113 |
* | Gulfmark Offshore Inc. | 199,925 | 8,835 |
* | Swift Energy Co. | 233,244 | 8,693 |
* | Enbridge Energy Management LLC | 264,080 | 8,160 |
* | SemGroup Corp. Class A | 313,856 | 8,057 |
* | Newpark Resources Inc. | 771,880 | 7,001 |
^ | Overseas Shipholding Group Inc. | 246,918 | 6,652 |
Targa Resources Corp. | 198,436 | 6,640 | |
* | James River Coal Co. | 293,726 | 6,115 |
* | Hornbeck Offshore Services Inc. | 202,999 | 5,582 |
* | Parker Drilling Co. | 943,479 | 5,519 |
* | Hercules Offshore Inc. | 979,190 | 5,395 |
* | Tetra Technologies Inc. | 422,434 | 5,378 |
* | McMoRan Exploration Co. | 283,627 | 5,241 |
Penn Virginia Corp. | 389,003 | 5,139 | |
* | ION Geophysical Corp. | 522,001 | 4,938 |
* | Global Industries Ltd. | 886,779 | 4,860 |
* | Cal Dive International Inc. | 803,395 | 4,804 |
*,^ | Amyris Inc. | 168,201 | 4,725 |
Crosstex Energy Inc. | 361,081 | 4,297 | |
W&T Offshore Inc. | 159,011 | 4,153 | |
*,^ | ATP Oil & Gas Corp. | 255,372 | 3,910 |
Gulf Island Fabrication Inc. | 116,176 | 3,750 | |
* | Energy Partners Ltd. | 239,153 | 3,542 |
* | USEC Inc. | 982,861 | 3,283 |
*,^ | Western Refining Inc. | 157,862 | 2,853 |
* | Vaalco Energy Inc. | 461,375 | 2,777 |
* | Vantage Drilling Co. | 1,368,471 | 2,491 |
*,^ | TransAtlantic Petroleum Ltd. | 1,426,568 | 2,425 |
* | PHI Inc. | 107,269 | 2,331 |
* | Petroquest Energy Inc. | 318,440 | 2,235 |
* | Triangle Petroleum Corp. | 339,812 | 2,195 |
*,^ | Green Plains Renewable Energy Inc. | 184,884 | 1,995 |
*,^ | Harvest Natural Resources Inc. | 138,382 | 1,526 |
Delek US Holdings Inc. | 93,622 | 1,470 | |
General Maritime Corp. | 921,129 | 1,244 | |
* | Oilsands Quest Inc. | 2,950,630 | 944 |
* | RigNet Inc. | 53,040 | 902 |
* | Delta Petroleum Corp. | 1,596,496 | 792 |
Frontier Oil Corp. | 4,300 | 139 | |
360,711 | |||
Financials (35.1%) | |||
American Capital Agency Corp. | 1,469,283 | 42,771 | |
Camden Property Trust | 595,922 | 37,913 | |
Essex Property Trust Inc. | 274,664 | 37,159 | |
First Niagara Financial Group Inc. | 2,637,467 | 34,815 | |
BRE Properties Inc. | 627,145 | 31,282 | |
Senior Housing Properties Trust | 1,296,299 | 30,346 | |
* | American Capital Ltd. | 2,924,256 | 29,038 |
Ares Capital Corp. | 1,745,821 | 28,055 | |
Waddell & Reed Financial Inc. Class A | 733,643 | 26,668 | |
Arthur J Gallagher & Co. | 927,448 | 26,469 | |
East West Bancorp Inc. | 1,268,970 | 25,646 | |
Mack-Cali Realty Corp. | 733,478 | 24,161 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Popular Inc. | 8,734,378 | 24,107 |
MFA Financial Inc. | 2,957,510 | 23,778 | |
CBL & Associates Properties Inc. | 1,200,109 | 21,758 | |
BioMed Realty Trust Inc. | 1,121,182 | 21,572 | |
Hancock Holding Co. | 683,823 | 21,185 | |
Mid-America Apartment Communities Inc. | 304,960 | 20,576 | |
Associated Banc-Corp | 1,478,852 | 20,556 | |
Highwoods Properties Inc. | 612,271 | 20,285 | |
American Campus Communities Inc. | 570,064 | 20,249 | |
Douglas Emmett Inc. | 1,008,171 | 20,053 | |
Home Properties Inc. | 324,306 | 19,744 | |
Kilroy Realty Corp. | 492,453 | 19,447 | |
Bank of Hawaii Corp. | 409,540 | 19,052 | |
Corporate Office Properties Trust | 607,138 | 18,888 | |
Valley National Bancorp | 1,376,428 | 18,733 | |
Entertainment Properties Trust | 396,892 | 18,535 | |
Washington REIT | 562,639 | 18,297 | |
LaSalle Hotel Properties | 692,961 | 18,253 | |
Fulton Financial Corp. | 1,700,181 | 18,209 | |
Erie Indemnity Co. Class A | 254,812 | 18,020 | |
Omega Healthcare Investors Inc. | 854,048 | 17,944 | |
Allied World Assurance Co. Holdings Ltd. | 308,920 | 17,788 | |
* | Alleghany Corp. | 53,323 | 17,762 |
TCF Financial Corp. | 1,274,054 | 17,582 | |
National Retail Properties Inc. | 715,192 | 17,529 | |
Hatteras Financial Corp. | 619,670 | 17,493 | |
* | ProAssurance Corp. | 247,394 | 17,318 |
Apollo Investment Corp. | 1,669,400 | 17,045 | |
Post Properties Inc. | 417,581 | 17,021 | |
* | CNO Financial Group Inc. | 2,143,919 | 16,958 |
Protective Life Corp. | 731,526 | 16,920 | |
Apartment Investment & Management Co. | 655,638 | 16,738 | |
Prosperity Bancshares Inc. | 378,623 | 16,591 | |
StanCorp Financial Group Inc. | 392,279 | 16,550 | |
Starwood Property Trust Inc. | 795,873 | 16,323 | |
Invesco Mortgage Capital Inc. | 771,822 | 16,309 | |
FirstMerit Corp. | 982,953 | 16,229 | |
Developers Diversified Realty Corp. | 1,140,466 | 16,081 | |
CommonWealth REIT | 615,960 | 15,916 | |
Washington Federal Inc. | 959,552 | 15,765 | |
* | Stifel Financial Corp. | 436,913 | 15,668 |
Aspen Insurance Holdings Ltd. | 602,592 | 15,505 | |
DiamondRock Hospitality Co. | 1,413,697 | 15,169 | |
Endurance Specialty Holdings Ltd. | 362,858 | 14,997 | |
* | Howard Hughes Corp. | 225,386 | 14,659 |
Hanover Insurance Group Inc. | 386,274 | 14,566 | |
* | SVB Financial Group | 235,352 | 14,053 |
Alterra Capital Holdings Ltd. | 628,539 | 14,016 | |
First American Financial Corp. | 893,500 | 13,983 | |
Synovus Financial Corp. | 6,703,799 | 13,944 | |
Brandywine Realty Trust | 1,148,466 | 13,311 | |
Webster Financial Corp. | 632,485 | 13,295 | |
Iberiabank Corp. | 229,452 | 13,226 | |
Unitrin Inc. | 443,094 | 13,147 | |
Colonial Properties Trust | 635,375 | 12,962 | |
Greenhill & Co. Inc. | 227,864 | 12,264 | |
Westamerica Bancorporation | 247,651 | 12,197 | |
Trustmark Corp. | 518,417 | 12,136 | |
Delphi Financial Group Inc. | 414,661 | 12,112 | |
Potlatch Corp. | 341,697 | 12,052 | |
Healthcare Realty Trust Inc. | 573,728 | 11,836 | |
Northwest Bancshares Inc. | 931,780 | 11,722 | |
UMB Financial Corp. | 276,785 | 11,592 | |
Umpqua Holdings Corp. | 978,169 | 11,317 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | MBIA Inc. | 1,279,616 | 11,120 |
Lexington Realty Trust | 1,208,791 | 11,036 | |
Medical Properties Trust Inc. | 952,955 | 10,959 | |
* | MF Global Holdings Ltd. | 1,394,774 | 10,796 |
FNB Corp. | 1,030,269 | 10,663 | |
Platinum Underwriters Holdings Ltd. | 319,387 | 10,616 | |
Cathay General Bancorp | 637,584 | 10,450 | |
* | E*Trade Financial Corp. | 750,675 | 10,359 |
^ | Redwood Trust Inc. | 666,916 | 10,084 |
Equity One Inc. | 538,221 | 10,032 | |
RLI Corp. | 161,488 | 9,999 | |
* | PHH Corp. | 477,848 | 9,805 |
EastGroup Properties Inc. | 230,213 | 9,786 | |
Sovran Self Storage Inc. | 236,104 | 9,680 | |
Astoria Financial Corp. | 756,243 | 9,672 | |
Equity Lifestyle Properties Inc. | 154,664 | 9,657 | |
Wintrust Financial Corp. | 298,168 | 9,595 | |
Montpelier Re Holdings Ltd. | 530,969 | 9,557 | |
Cash America International Inc. | 164,117 | 9,497 | |
Symetra Financial Corp. | 706,224 | 9,485 | |
* | Sunstone Hotel Investors Inc. | 1,003,412 | 9,302 |
Prospect Capital Corp. | 917,745 | 9,278 | |
National Penn Bancshares Inc. | 1,167,643 | 9,259 | |
Mercury General Corp. | 233,887 | 9,236 | |
* | MGIC Investment Corp. | 1,539,955 | 9,163 |
National Health Investors Inc. | 200,903 | 8,926 | |
Susquehanna Bancshares Inc. | 1,109,397 | 8,875 | |
* | Knight Capital Group Inc. Class A | 795,743 | 8,769 |
Old National Bancorp | 808,808 | 8,735 | |
Cypress Sharpridge Investments Inc. | 679,081 | 8,699 | |
United Bankshares Inc. | 353,680 | 8,658 | |
CapitalSource Inc. | 1,310,905 | 8,455 | |
MB Financial Inc. | 437,495 | 8,417 | |
First Citizens BancShares Inc. Class A | 44,784 | 8,384 | |
Glacier Bancorp Inc. | 613,754 | 8,273 | |
First Financial Bancorp | 495,402 | 8,268 | |
* | Ocwen Financial Corp. | 644,686 | 8,226 |
Capstead Mortgage Corp. | 612,176 | 8,203 | |
Two Harbors Investment Corp. | 761,995 | 8,191 | |
Glimcher Realty Trust | 852,457 | 8,098 | |
Franklin Street Properties Corp. | 625,467 | 8,075 | |
BancorpSouth Inc. | 641,275 | 7,958 | |
Argo Group International Holdings Ltd. | 266,503 | 7,920 | |
Anworth Mortgage Asset Corp. | 1,037,623 | 7,793 | |
First Midwest Bancorp Inc. | 632,325 | 7,771 | |
International Bancshares Corp. | 462,250 | 7,733 | |
Primerica Inc. | 346,158 | 7,605 | |
PrivateBancorp Inc. Class A | 547,779 | 7,559 | |
* | Enstar Group Ltd. | 72,106 | 7,534 |
Selective Insurance Group Inc. | 460,274 | 7,489 | |
Community Bank System Inc. | 298,274 | 7,394 | |
First Financial Bankshares Inc. | 214,565 | 7,392 | |
Hersha Hospitality Trust Class A | 1,299,633 | 7,239 | |
Fifth Street Finance Corp. | 612,406 | 7,104 | |
LTC Properties Inc. | 254,655 | 7,085 | |
Pennsylvania REIT | 448,843 | 7,047 | |
Government Properties Income Trust | 259,176 | 7,003 | |
Acadia Realty Trust | 344,041 | 6,994 | |
Park National Corp. | 105,085 | 6,921 | |
* | Forest City Enterprises Inc. Class A | 365,142 | 6,817 |
Cousins Properties Inc. | 795,843 | 6,797 | |
Sterling Bancshares Inc. | 826,656 | 6,746 | |
CVB Financial Corp. | 723,032 | 6,688 | |
Solar Capital Ltd. | 269,629 | 6,657 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Inland Real Estate Corp. | 749,959 | 6,622 | |
Provident Financial Services Inc. | 460,165 | 6,590 | |
CreXus Investment Corp. | 592,696 | 6,585 | |
DuPont Fabros Technology Inc. | 259,561 | 6,541 | |
First Potomac Realty Trust | 425,921 | 6,521 | |
NBT Bancorp Inc. | 294,134 | 6,509 | |
Bank of the Ozarks Inc. | 116,394 | 6,059 | |
American Equity Investment Life Holding Co. | 473,176 | 6,014 | |
Investors Real Estate Trust | 677,539 | 5,868 | |
Oritani Financial Corp. | 455,523 | 5,826 | |
Infinity Property & Casualty Corp. | 105,783 | 5,782 | |
Ashford Hospitality Trust Inc. | 464,194 | 5,779 | |
Columbia Banking System Inc. | 335,605 | 5,779 | |
* | World Acceptance Corp. | 87,795 | 5,757 |
Associated Estates Realty Corp. | 353,904 | 5,751 | |
* | iStar Financial Inc. | 708,959 | 5,750 |
Getty Realty Corp. | 224,827 | 5,672 | |
Interactive Brokers Group Inc. | 360,291 | 5,639 | |
Nelnet Inc. Class A | 251,462 | 5,547 | |
Employers Holdings Inc. | 328,112 | 5,502 | |
DCT Industrial Trust Inc. | 1,046,767 | 5,475 | |
PacWest Bancorp | 265,849 | 5,469 | |
Cohen & Steers Inc. | 163,658 | 5,425 | |
American National Insurance Co. | 68,578 | 5,315 | |
Horace Mann Educators Corp. | 339,176 | 5,295 | |
Education Realty Trust Inc. | 615,641 | 5,276 | |
Tower Group Inc. | 218,673 | 5,209 | |
Amtrust Financial Services Inc. | 228,470 | 5,205 | |
^ | BlackRock Kelso Capital Corp. | 578,385 | 5,188 |
First Commonwealth Financial Corp. | 894,159 | 5,132 | |
Oriental Financial Group Inc. | 395,310 | 5,096 | |
* | Pico Holdings Inc. | 174,134 | 5,050 |
* | Navigators Group Inc. | 107,374 | 5,047 |
* | Investment Technology Group Inc. | 354,546 | 4,971 |
Walter Investment Management Corp. | 219,712 | 4,875 | |
Colony Financial Inc. | 261,304 | 4,722 | |
Brookline Bancorp Inc. | 503,788 | 4,670 | |
Home Bancshares Inc. | 194,053 | 4,587 | |
Safety Insurance Group Inc. | 108,984 | 4,582 | |
* | Piper Jaffray Cos. | 157,041 | 4,524 |
Independent Bank Corp. | 171,733 | 4,508 | |
* | Western Alliance Bancorp | 626,846 | 4,451 |
S&T Bancorp Inc. | 238,381 | 4,432 | |
BGC Partners Inc. Class A | 569,209 | 4,400 | |
* | Greenlight Capital Re Ltd. Class A | 167,360 | 4,400 |
Chemical Financial Corp. | 233,991 | 4,390 | |
City Holding Co. | 132,161 | 4,365 | |
Chesapeake Lodging Trust | 252,006 | 4,299 | |
* | National Financial Partners Corp. | 371,388 | 4,286 |
Meadowbrook Insurance Group Inc. | 431,257 | 4,274 | |
* | Sterling Financial Corp. | 264,050 | 4,243 |
WesBanco Inc. | 215,325 | 4,233 | |
PennantPark Investment Corp. | 377,151 | 4,228 | |
ARMOUR Residential REIT Inc. | 571,199 | 4,198 | |
Maiden Holdings Ltd. | 461,155 | 4,197 | |
Flagstone Reinsurance Holdings SA | 497,130 | 4,191 | |
ViewPoint Financial Group | 297,053 | 4,099 | |
Universal Health Realty Income Trust | 102,427 | 4,095 | |
FBL Financial Group Inc. Class A | 127,052 | 4,085 | |
Ramco-Gershenson Properties Trust | 323,494 | 4,005 | |
* | First Industrial Realty Trust Inc. | 349,661 | 4,004 |
MCG Capital Corp. | 652,626 | 3,968 | |
Boston Private Financial Holdings Inc. | 586,434 | 3,859 | |
Trustco Bank Corp. NY | 779,914 | 3,822 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Newcastle Investment Corp. | 656,762 | 3,796 | |
Hercules Technology Growth Capital Inc. | 357,405 | 3,760 | |
PennyMac Mortgage Investment Trust | 224,456 | 3,719 | |
Sandy Spring Bancorp Inc. | 204,991 | 3,688 | |
Dime Community Bancshares Inc. | 250,675 | 3,645 | |
* | AMERISAFE Inc. | 157,160 | 3,555 |
Resource Capital Corp. | 550,251 | 3,478 | |
Campus Crest Communities Inc. | 261,461 | 3,383 | |
United Fire & Casualty Co. | 189,810 | 3,297 | |
Flushing Financial Corp. | 253,008 | 3,289 | |
National Western Life Insurance Co. Class A | 20,442 | 3,260 | |
NorthStar Realty Finance Corp. | 806,076 | 3,249 | |
Harleysville Group Inc. | 103,593 | 3,229 | |
Artio Global Investors Inc. Class A | 283,836 | 3,207 | |
Simmons First National Corp. Class A | 124,990 | 3,207 | |
Parkway Properties Inc. | 186,719 | 3,185 | |
SCBT Financial Corp. | 108,896 | 3,123 | |
Radian Group Inc. | 735,994 | 3,113 | |
* | FPIC Insurance Group Inc. | 74,363 | 3,099 |
Renasant Corp. | 213,263 | 3,090 | |
Community Trust Bancorp Inc. | 110,573 | 3,065 | |
Berkshire Hills Bancorp Inc. | 135,739 | 3,039 | |
First Busey Corp. | 572,753 | 3,030 | |
Winthrop Realty Trust | 247,352 | 2,953 | |
First Financial Corp. | 89,593 | 2,933 | |
Lakeland Financial Corp. | 131,185 | 2,920 | |
Advance America Cash Advance Centers Inc. | 423,728 | 2,919 | |
Tompkins Financial Corp. | 74,241 | 2,913 | |
* | Strategic Hotels & Resorts Inc. | 406,148 | 2,876 |
GFI Group Inc. | 620,596 | 2,849 | |
^ | TowneBank | 204,394 | 2,735 |
CapLease Inc. | 555,286 | 2,726 | |
Washington Trust Bancorp Inc. | 116,969 | 2,687 | |
Southside Bancshares Inc. | 132,553 | 2,631 | |
Saul Centers Inc. | 66,431 | 2,615 | |
Provident New York Bancorp | 310,453 | 2,595 | |
Hudson Pacific Properties Inc. | 167,114 | 2,595 | |
* | Global Indemnity plc | 116,796 | 2,591 |
SY Bancorp Inc. | 111,076 | 2,583 | |
Kite Realty Group Trust | 518,142 | 2,580 | |
1st Source Corp. | 124,361 | 2,579 | |
MVC Capital Inc. | 194,031 | 2,567 | |
Rockville Financial Inc. | 253,879 | 2,513 | |
* | Forestar Group Inc. | 152,483 | 2,505 |
Calamos Asset Management Inc. Class A | 171,322 | 2,488 | |
Sterling Bancorp | 261,246 | 2,479 | |
Urstadt Biddle Properties Inc. Class A | 136,424 | 2,471 | |
Cedar Shopping Centers Inc. | 479,098 | 2,467 | |
* | Phoenix Cos. Inc. | 999,751 | 2,459 |
Oppenheimer Holdings Inc. Class A | 85,597 | 2,415 | |
State Auto Financial Corp. | 138,005 | 2,405 | |
Capital Southwest Corp. | 25,845 | 2,385 | |
StellarOne Corp. | 195,852 | 2,372 | |
Northfield Bancorp Inc. | 168,687 | 2,372 | |
* | Citizens Republic Bancorp Inc. | 3,420,240 | 2,360 |
OneBeacon Insurance Group Ltd. Class A | 175,577 | 2,351 | |
Hudson Valley Holding Corp. | 121,695 | 2,350 | |
WSFS Financial Corp. | 58,685 | 2,327 | |
Evercore Partners Inc. Class A | 69,695 | 2,322 | |
Bancfirst Corp. | 59,511 | 2,297 | |
* | Flagstar Bancorp Inc. | 1,905,552 | 2,268 |
Arrow Financial Corp. | 92,009 | 2,251 | |
Union First Market Bankshares Corp. | 179,164 | 2,182 | |
* | Pinnacle Financial Partners Inc. | 138,949 | 2,162 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Univest Corp. of Pennsylvania | 136,166 | 2,128 | |
* | Hilltop Holdings Inc. | 237,175 | 2,097 |
Camden National Corp. | 62,571 | 2,053 | |
KBW Inc. | 104,766 | 1,959 | |
Lakeland Bancorp Inc. | 196,214 | 1,958 | |
Retail Opportunity Investments Corp. | 180,051 | 1,937 | |
United Financial Bancorp Inc. | 124,959 | 1,928 | |
* | Walker & Dunlop Inc. | 141,657 | 1,884 |
First Interstate Bancsystem Inc. | 127,695 | 1,882 | |
CoBiz Financial Inc. | 285,719 | 1,869 | |
Territorial Bancorp Inc. | 89,104 | 1,846 | |
* | FelCor Lodging Trust Inc. | 346,094 | 1,845 |
First Community Bancshares Inc. | 130,760 | 1,831 | |
Westwood Holdings Group Inc. | 46,944 | 1,789 | |
SeaBright Holdings Inc. | 180,137 | 1,783 | |
Westfield Financial Inc. | 219,170 | 1,780 | |
Republic Bancorp Inc. Class A | 88,197 | 1,755 | |
Presidential Life Corp. | 165,488 | 1,728 | |
Trico Bancshares | 116,070 | 1,695 | |
* | eHealth Inc. | 124,235 | 1,660 |
* | Nara Bancorp Inc. | 201,923 | 1,642 |
Golub Capital BDC Inc. | 109,771 | 1,639 | |
* | United Community Banks Inc. | 154,909 | 1,636 |
Cogdell Spencer Inc. | 270,578 | 1,621 | |
Stewart Information Services Corp. | 158,224 | 1,587 | |
Baldwin & Lyons Inc. | 68,182 | 1,580 | |
* | FBR & Co. | 463,655 | 1,576 |
* | Southwest Bancorp Inc. | 158,820 | 1,555 |
Great Southern Bancorp Inc. | 81,115 | 1,537 | |
SWS Group Inc. | 252,269 | 1,511 | |
* | Wilshire Bancorp Inc. | 510,197 | 1,500 |
Heartland Financial USA Inc. | 98,974 | 1,440 | |
Home Federal Bancorp Inc. | 129,846 | 1,427 | |
* | PMI Group Inc. | 1,318,534 | 1,411 |
BankFinancial Corp. | 163,188 | 1,382 | |
Bank Mutual Corp. | 374,378 | 1,374 | |
Consolidated-Tomoka Land Co. | 46,838 | 1,340 | |
National Interstate Corp. | 58,286 | 1,335 | |
First Bancorp | 130,151 | 1,333 | |
Cardinal Financial Corp. | 117,674 | 1,289 | |
Kansas City Life Insurance Co. | 39,435 | 1,228 | |
First Financial Holdings Inc. | 135,116 | 1,212 | |
* | Meridian Interstate Bancorp Inc. | 87,197 | 1,194 |
Suffolk Bancorp | 83,396 | 1,164 | |
* | Citizens Inc. | 167,725 | 1,144 |
^ | Ames National Corp. | 60,852 | 1,105 |
* | Avatar Holdings Inc. | 70,470 | 1,072 |
GAMCO Investors Inc. | 22,457 | 1,040 | |
Universal Insurance Holdings Inc. | 202,422 | 945 | |
Capital City Bank Group Inc. | 88,420 | 907 | |
Donegal Group Inc. Class A | 68,856 | 881 | |
*,^ | Hampton Roads Bankshares Inc. | 85,982 | 851 |
EMC Insurance Group Inc. | 44,507 | 850 | |
* | NewStar Financial Inc. | 76,504 | 817 |
* | Gleacher & Co. Inc. | 366,070 | 747 |
Urstadt Biddle Properties Inc. | 41,528 | 700 | |
Roma Financial Corp. | 65,472 | 687 | |
*,^ | Penson Worldwide Inc. | 170,363 | 608 |
* | First Marblehead Corp. | 337,362 | 597 |
Pzena Investment Management Inc. Class A | 76,645 | 435 | |
THL Credit Inc. | 29,892 | 389 | |
^ | Life Partners Holdings Inc. | 79,960 | 275 |
* | Asset Acceptance Capital Corp. | 47,151 | 191 |
2,573,748 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Health Care (6.2%) | |||
Cooper Cos. Inc. | 396,676 | 31,433 | |
* | Mednax Inc. | 409,801 | 29,584 |
PerkinElmer Inc. | 968,231 | 26,055 | |
* | Health Net Inc. | 796,948 | 25,574 |
* | Health Management Associates Inc. Class A | 2,150,164 | 23,179 |
Teleflex Inc. | 341,558 | 20,856 | |
Owens & Minor Inc. | 541,874 | 18,689 | |
* | WellCare Health Plans Inc. | 362,991 | 18,661 |
* | Pharmasset Inc. | 157,996 | 17,727 |
STERIS Corp. | 506,659 | 17,723 | |
* | LifePoint Hospitals Inc. | 439,622 | 17,180 |
Hill-Rom Holdings Inc. | 350,197 | 16,123 | |
* | Magellan Health Services Inc. | 282,260 | 15,451 |
* | Centene Corp. | 289,633 | 10,291 |
* | Kindred Healthcare Inc. | 443,559 | 9,523 |
* | Healthspring Inc. | 188,796 | 8,705 |
Invacare Corp. | 253,871 | 8,426 | |
PDL BioPharma Inc. | 1,191,968 | 6,997 | |
* | Amsurg Corp. Class A | 267,076 | 6,979 |
* | CONMED Corp. | 241,246 | 6,871 |
* | Amedisys Inc. | 251,617 | 6,701 |
Analogic Corp. | 109,298 | 5,748 | |
Computer Programs & Systems Inc. | 88,919 | 5,645 | |
Meridian Bioscience Inc. | 227,143 | 5,476 | |
* | Gentiva Health Services Inc. | 242,047 | 5,042 |
* | Wright Medical Group Inc. | 334,008 | 5,010 |
* | Affymetrix Inc. | 571,534 | 4,532 |
* | Healthways Inc. | 290,131 | 4,404 |
* | Select Medical Holdings Corp. | 480,700 | 4,264 |
* | Triple-S Management Corp. Class B | 171,360 | 3,724 |
Ensign Group Inc. | 115,456 | 3,509 | |
National Healthcare Corp. | 69,915 | 3,466 | |
* | Greatbatch Inc. | 128,921 | 3,458 |
* | ExamWorks Group Inc. | 129,114 | 3,278 |
Landauer Inc. | 52,076 | 3,207 | |
* | PharMerica Corp. | 250,217 | 3,193 |
* | Angiodynamics Inc. | 212,450 | 3,023 |
Assisted Living Concepts Inc. Class A | 171,783 | 2,882 | |
* | Immunogen Inc. | 224,222 | 2,733 |
* | Emergent Biosolutions Inc. | 103,398 | 2,332 |
* | Medcath Corp. | 156,681 | 2,129 |
Universal American Corp. | 190,442 | 2,085 | |
* | Complete Genomics Inc. | 135,583 | 2,072 |
* | Vivus Inc. | 246,821 | 2,009 |
* | Cross Country Healthcare Inc. | 240,997 | 1,832 |
* | Sun Healthcare Group Inc. | 203,007 | 1,628 |
* | Skilled Healthcare Group Inc. | 169,979 | 1,608 |
* | Enzon Pharmaceuticals Inc. | 159,560 | 1,604 |
* | Savient Pharmaceuticals Inc. | 213,593 | 1,600 |
* | Geron Corp. | 388,104 | 1,556 |
* | Optimer Pharmaceuticals Inc. | 129,699 | 1,542 |
* | MedQuist Holdings Inc. | 110,945 | 1,433 |
* | Lexicon Pharmaceuticals Inc. | 799,477 | 1,407 |
* | Micromet Inc. | 219,186 | 1,258 |
* | Kensey Nash Corp. | 45,305 | 1,143 |
* | Merge Healthcare Inc. | 215,200 | 1,119 |
* | SIGA Technologies Inc. | 108,310 | 1,055 |
* | SurModics Inc. | 92,998 | 1,032 |
* | Alnylam Pharmaceuticals Inc. | 108,483 | 1,016 |
* | Metabolix Inc. | 135,473 | 967 |
*,^ | Unilife Corp. | 181,183 | 939 |
* | Achillion Pharmaceuticals Inc. | 120,357 | 895 |
* | Albany Molecular Research Inc. | 182,412 | 877 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Novavax Inc. | 430,631 | 870 |
* | Progenics Pharmaceuticals Inc. | 94,601 | 679 |
* | XenoPort Inc. | 93,794 | 668 |
* | Palomar Medical Technologies Inc. | 54,146 | 611 |
* | Dyax Corp. | 282,060 | 558 |
* | Arena Pharmaceuticals Inc. | 365,850 | 498 |
Pain Therapeutics Inc. | 110,032 | 426 | |
* | RTI Biologics Inc. | 157,028 | 426 |
*,^ | Biotime Inc. | 71,671 | 368 |
* | BioMimetic Therapeutics Inc. | 62,875 | 322 |
* | Alliance HealthCare Services Inc. | 71,649 | 272 |
* | Sucampo Pharmaceuticals Inc. Class A | 28,315 | 116 |
* | Clinical Data Inc. Contingent Value Rights Exp. 04/14/2018 | 62,138 | 59 |
456,333 | |||
Industrials (14.5%) | |||
* | BE Aerospace Inc. | 873,392 | 35,643 |
Snap-On Inc. | 472,896 | 29,547 | |
Carlisle Cos. Inc. | 521,216 | 25,659 | |
* | WABCO Holdings Inc. | 369,506 | 25,518 |
Lincoln Electric Holdings Inc. | 683,382 | 24,499 | |
Trinity Industries Inc. | 681,121 | 23,758 | |
Regal-Beloit Corp. | 329,636 | 22,010 | |
* | Alaska Air Group Inc. | 306,002 | 20,949 |
* | WESCO International Inc. | 367,559 | 19,881 |
* | Esterline Technologies Corp. | 259,508 | 19,826 |
Crane Co. | 399,289 | 19,729 | |
* | General Cable Corp. | 445,314 | 18,961 |
Con-way Inc. | 470,317 | 18,253 | |
Alexander & Baldwin Inc. | 352,662 | 16,984 | |
Lennox International Inc. | 389,860 | 16,791 | |
* | EMCOR Group Inc. | 569,364 | 16,688 |
Triumph Group Inc. | 165,456 | 16,476 | |
Kennametal Inc. | 350,660 | 14,801 | |
* | EnerSys | 426,743 | 14,689 |
* | Moog Inc. Class A | 335,473 | 14,600 |
Belden Inc. | 403,284 | 14,059 | |
AO Smith Corp. | 327,785 | 13,865 | |
* | Huntington Ingalls Industries Inc. | 394,700 | 13,617 |
Brady Corp. Class A | 419,259 | 13,441 | |
GATX Corp. | 356,500 | 13,233 | |
* | Atlas Air Worldwide Holdings Inc. | 221,393 | 13,175 |
* | GrafTech International Ltd. | 645,843 | 13,091 |
* | JetBlue Airways Corp. | 2,139,155 | 13,049 |
* | Geo Group Inc. | 550,210 | 12,671 |
* | US Airways Group Inc. | 1,382,189 | 12,315 |
Mueller Industries Inc. | 323,135 | 12,250 | |
Curtiss-Wright Corp. | 375,654 | 12,160 | |
Brink's Co. | 397,297 | 11,851 | |
Mine Safety Appliances Co. | 296,162 | 11,059 | |
Deluxe Corp. | 438,917 | 10,846 | |
Kaydon Corp. | 278,903 | 10,409 | |
Acuity Brands Inc. | 184,317 | 10,281 | |
ABM Industries Inc. | 428,944 | 10,012 | |
Macquarie Infrastructure Co. LLC | 351,171 | 9,692 | |
HNI Corp. | 382,709 | 9,614 | |
Werner Enterprises Inc. | 372,372 | 9,328 | |
Robbins & Myers Inc. | 174,364 | 9,215 | |
Valmont Industries Inc. | 95,431 | 9,199 | |
* | Swift Transportation Co. | 677,314 | 9,178 |
Manitowoc Co. Inc. | 532,506 | 8,967 | |
Briggs & Stratton Corp. | 429,631 | 8,532 | |
Watts Water Technologies Inc. Class A | 231,224 | 8,188 | |
Armstrong World Industries Inc. | 173,474 | 7,903 | |
* | Ceradyne Inc. | 201,212 | 7,845 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Oshkosh Corp. | 271,009 | 7,843 |
* | Teledyne Technologies Inc. | 147,155 | 7,411 |
Granite Construction Inc. | 297,600 | 7,300 | |
Unifirst Corp. | 127,309 | 7,154 | |
Skywest Inc. | 460,023 | 6,928 | |
CLARCOR Inc. | 142,919 | 6,757 | |
Simpson Manufacturing Co. Inc. | 222,334 | 6,641 | |
Aircastle Ltd. | 521,296 | 6,631 | |
* | Amerco Inc. | 66,893 | 6,432 |
* | Hexcel Corp. | 291,254 | 6,376 |
TAL International Group Inc. | 170,764 | 5,897 | |
CIRCOR International Inc. | 131,396 | 5,628 | |
McGrath Rentcorp | 196,526 | 5,518 | |
G&K Services Inc. Class A | 159,396 | 5,397 | |
* | AMR Corp. | 995,768 | 5,377 |
Quanex Building Products Corp. | 322,957 | 5,293 | |
Mueller Water Products Inc. Class A | 1,325,398 | 5,275 | |
* | Interline Brands Inc. | 283,267 | 5,204 |
Interface Inc. Class A | 266,719 | 5,166 | |
Watsco Inc. | 75,611 | 5,141 | |
* | Layne Christensen Co. | 166,936 | 5,065 |
Tutor Perini Corp. | 261,020 | 5,006 | |
Ameron International Corp. | 75,147 | 4,936 | |
* | Dycom Industries Inc. | 299,635 | 4,896 |
Arkansas Best Corp. | 205,821 | 4,884 | |
Barnes Group Inc. | 196,860 | 4,884 | |
* | Consolidated Graphics Inc. | 86,678 | 4,763 |
* | Navigant Consulting Inc. | 440,066 | 4,616 |
* | Griffon Corp. | 448,592 | 4,522 |
* | Generac Holdings Inc. | 230,300 | 4,468 |
* | USG Corp. | 307,038 | 4,403 |
Kaman Corp. | 122,879 | 4,359 | |
* | Korn/Ferry International | 197,793 | 4,349 |
* | Kelly Services Inc. Class A | 255,169 | 4,210 |
NACCO Industries Inc. Class A | 43,256 | 4,188 | |
Albany International Corp. | 154,696 | 4,082 | |
Ennis Inc. | 220,983 | 3,845 | |
Encore Wire Corp. | 158,282 | 3,834 | |
* | Accuride Corp. | 302,149 | 3,816 |
Cascade Corp. | 79,424 | 3,778 | |
Universal Forest Products Inc. | 148,413 | 3,556 | |
* | Wabash National Corp. | 378,486 | 3,546 |
Federal Signal Corp. | 530,280 | 3,479 | |
Comfort Systems USA Inc. | 322,771 | 3,425 | |
Heidrick & Struggles International Inc. | 149,403 | 3,383 | |
EnergySolutions Inc. | 679,913 | 3,359 | |
AAR Corp. | 118,297 | 3,205 | |
* | Air Transport Services Group Inc. | 465,604 | 3,189 |
AZZ Inc. | 69,218 | 3,170 | |
Primoris Services Corp. | 238,211 | 3,073 | |
Apogee Enterprises Inc. | 239,580 | 3,069 | |
* | Force Protection Inc. | 600,930 | 2,984 |
* | Columbus McKinnon Corp. | 155,068 | 2,785 |
* | TrueBlue Inc. | 187,763 | 2,719 |
US Ecology Inc. | 155,830 | 2,665 | |
* | Gibraltar Industries Inc. | 232,942 | 2,637 |
* | CRA International Inc. | 93,539 | 2,534 |
* | ACCO Brands Corp. | 307,359 | 2,413 |
Douglas Dynamics Inc. | 151,525 | 2,393 | |
* | Hawaiian Holdings Inc. | 406,955 | 2,320 |
Tredegar Corp. | 124,982 | 2,293 | |
Schawk Inc. Class A | 132,624 | 2,196 | |
* | Orion Marine Group Inc. | 231,657 | 2,180 |
* | Metalico Inc. | 366,942 | 2,165 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
National Presto Industries Inc. | 20,685 | 2,099 | |
* | Northwest Pipe Co. | 79,982 | 2,084 |
* | Republic Airways Holdings Inc. | 379,316 | 2,071 |
*,^ | Genco Shipping & Trading Ltd. | 274,265 | 2,062 |
* | Greenbrier Cos. Inc. | 101,683 | 2,009 |
Viad Corp. | 86,860 | 1,936 | |
* | Team Inc. | 79,063 | 1,908 |
* | Sterling Construction Co. Inc. | 133,746 | 1,842 |
Ducommun Inc. | 85,935 | 1,768 | |
* | Roadrunner Transportation Systems Inc. | 116,236 | 1,753 |
Great Lakes Dredge & Dock Corp. | 312,271 | 1,742 | |
* | FreightCar America Inc. | 66,748 | 1,691 |
* | M&F Worldwide Corp. | 64,889 | 1,677 |
Preformed Line Products Co. | 23,385 | 1,665 | |
SeaCube Container Leasing Ltd. | 95,425 | 1,639 | |
CDI Corp. | 114,663 | 1,524 | |
* | Michael Baker Corp. | 71,487 | 1,510 |
Ampco-Pittsburgh Corp. | 61,724 | 1,447 | |
Kimball International Inc. Class B | 222,945 | 1,434 | |
American Woodmark Corp. | 79,774 | 1,382 | |
* | CBIZ Inc. | 183,283 | 1,349 |
* | Eagle Bulk Shipping Inc. | 536,400 | 1,330 |
* | American Superconductor Corp. | 145,177 | 1,312 |
* | RailAmerica Inc. | 74,379 | 1,116 |
* | American Railcar Industries Inc. | 45,983 | 1,078 |
* | Dolan Co. | 124,789 | 1,057 |
* | Tecumseh Products Co. Class A | 89,439 | 912 |
Baltic Trading Ltd. | 144,439 | 829 | |
Houston Wire & Cable Co. | 50,786 | 790 | |
* | Universal Truckload Services Inc. | 35,277 | 604 |
* | Hill International Inc. | 73,441 | 423 |
* | Patriot Transportation Holding Inc. | 16,742 | 375 |
* | Tecumseh Products Co. Class B | 25,897 | 257 |
1,061,993 | |||
Information Technology (9.7%) | |||
* | Novellus Systems Inc. | 770,115 | 27,832 |
* | NCR Corp. | 1,367,263 | 25,828 |
* | Tech Data Corp. | 398,140 | 19,465 |
* | Vishay Intertechnology Inc. | 1,288,696 | 19,382 |
Cypress Semiconductor Corp. | 915,659 | 19,357 | |
* | Fairchild Semiconductor International Inc. Class A | 1,078,783 | 18,026 |
* | International Rectifier Corp. | 596,298 | 16,678 |
Diebold Inc. | 533,665 | 16,549 | |
* | CACI International Inc. Class A | 246,527 | 15,551 |
* | RF Micro Devices Inc. | 2,357,650 | 14,429 |
* | Convergys Corp. | 1,044,149 | 14,242 |
Intersil Corp. Class A | 1,065,352 | 13,690 | |
* | CoreLogic Inc. | 799,214 | 13,355 |
* | Plexus Corp. | 345,984 | 12,044 |
* | Coherent Inc. | 217,048 | 11,996 |
* | Compuware Corp. | 1,213,937 | 11,848 |
* | JDA Software Group Inc. | 373,597 | 11,540 |
* | Entegris Inc. | 1,137,596 | 11,512 |
* | Arris Group Inc. | 984,755 | 11,433 |
Littelfuse Inc. | 192,457 | 11,301 | |
MKS Instruments Inc. | 419,582 | 11,085 | |
* | Omnivision Technologies Inc. | 315,171 | 10,971 |
* | EchoStar Corp. Class A | 288,670 | 10,516 |
Fair Isaac Corp. | 341,907 | 10,326 | |
* | Mentor Graphics Corp. | 795,746 | 10,194 |
* | PMC - Sierra Inc. | 1,294,002 | 9,796 |
* | Take-Two Interactive Software Inc. | 620,527 | 9,482 |
* | Spansion Inc. Class A | 479,270 | 9,236 |
* | Benchmark Electronics Inc. | 521,813 | 8,610 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
DST Systems Inc. | 157,913 | 8,338 | |
* | Verigy Ltd. | 517,456 | 7,746 |
* | Viasat Inc. | 168,603 | 7,295 |
Earthlink Inc. | 924,558 | 7,114 | |
* | Sanmina-SCI Corp. | 684,030 | 7,066 |
* | SYNNEX Corp. | 216,810 | 6,873 |
* | Electronics for Imaging Inc. | 392,910 | 6,766 |
AVX Corp. | 435,153 | 6,632 | |
Comtech Telecommunications Corp. | 234,417 | 6,573 | |
* | Aspen Technology Inc. | 379,299 | 6,516 |
* | Kulicke & Soffa Industries Inc. | 578,768 | 6,447 |
* | Emulex Corp. | 746,786 | 6,422 |
* | Amkor Technology Inc. | 1,009,490 | 6,229 |
* | Brooks Automation Inc. | 558,143 | 6,061 |
Cognex Corp. | 167,034 | 5,918 | |
* | Newport Corp. | 313,518 | 5,697 |
* | ATMI Inc. | 269,313 | 5,502 |
MTS Systems Corp. | 130,829 | 5,473 | |
* | Kemet Corp. | 376,617 | 5,382 |
* | Semtech Corp. | 189,076 | 5,169 |
* | Integrated Device Technology Inc. | 643,589 | 5,059 |
* | Advanced Energy Industries Inc. | 332,526 | 4,918 |
* | Tekelec | 527,276 | 4,814 |
United Online Inc. | 795,985 | 4,800 | |
* | Netgear Inc. | 108,569 | 4,747 |
Black Box Corp. | 151,435 | 4,735 | |
* | Brightpoint Inc. | 579,798 | 4,702 |
* | SMART Modular Technologies WWH Inc. | 511,260 | 4,683 |
Park Electrochemical Corp. | 167,470 | 4,681 | |
* | Electro Scientific Industries Inc. | 240,372 | 4,639 |
* | Insight Enterprises Inc. | 256,891 | 4,550 |
* | Lattice Semiconductor Corp. | 653,129 | 4,258 |
* | EMS Technologies Inc. | 123,973 | 4,087 |
* | Rogers Corp. | 87,928 | 4,062 |
* | FleetCor Technologies Inc. | 136,391 | 4,043 |
* | Avid Technology Inc. | 211,285 | 3,981 |
* | Photronics Inc. | 461,297 | 3,907 |
* | LTX-Credence Corp. | 420,778 | 3,762 |
Methode Electronics Inc. | 313,622 | 3,641 | |
* | TiVo Inc. | 349,231 | 3,594 |
* | Aeroflex Holding Corp. | 179,878 | 3,265 |
* | Oplink Communications Inc. | 161,194 | 3,003 |
* | Net 1 UEPS Technologies Inc. | 333,231 | 2,892 |
* | Rudolph Technologies Inc. | 267,809 | 2,868 |
* | Infospace Inc. | 310,145 | 2,829 |
* | DealerTrack Holdings Inc. | 121,757 | 2,794 |
* | RealNetworks Inc. | 754,446 | 2,565 |
Cohu Inc. | 194,136 | 2,545 | |
* | FormFactor Inc. | 280,658 | 2,543 |
* | Imation Corp. | 266,488 | 2,516 |
* | TTM Technologies Inc. | 156,799 | 2,512 |
Electro Rent Corp. | 144,457 | 2,473 | |
* | Ness Technologies Inc. | 323,518 | 2,449 |
CTS Corp. | 251,207 | 2,429 | |
* | Symmetricom Inc. | 374,205 | 2,182 |
* | Silicon Image Inc. | 336,767 | 2,176 |
* | SunPower Corp. Class B | 130,109 | 2,164 |
* | THQ Inc. | 585,903 | 2,121 |
* | SciQuest Inc. | 122,608 | 2,095 |
* | Exar Corp. | 325,884 | 2,063 |
Sycamore Networks Inc. | 92,163 | 2,050 | |
* | Supertex Inc. | 89,382 | 2,002 |
* | Intevac Inc. | 196,003 | 2,001 |
* | Aviat Networks Inc. | 495,232 | 1,951 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Inphi Corp. | 102,110 | 1,777 |
* | Anaren Inc. | 80,411 | 1,709 |
ModusLink Global Solutions Inc. | 376,492 | 1,687 | |
* | Zoran Corp. | 200,697 | 1,686 |
* | Agilysys Inc. | 198,503 | 1,656 |
* | Global Cash Access Holdings Inc. | 502,743 | 1,599 |
Marchex Inc. Class B | 177,343 | 1,575 | |
Bel Fuse Inc. Class B | 68,858 | 1,494 | |
* | Extreme Networks | 460,646 | 1,493 |
* | Silicon Graphics International Corp. | 82,160 | 1,413 |
* | TNS Inc. | 78,989 | 1,311 |
* | TeleNav Inc. | 72,417 | 1,284 |
* | Pericom Semiconductor Corp. | 132,716 | 1,186 |
* | Ciber Inc. | 203,105 | 1,127 |
* | Move Inc. | 477,840 | 1,046 |
* | Sigma Designs Inc. | 128,321 | 980 |
Pulse Electronics Corp. | 220,633 | 975 | |
* | Mitel Networks Corp. | 159,472 | 698 |
* | Deltek Inc. | 88,873 | 666 |
* | BigBand Networks Inc. | 290,137 | 630 |
* | TechTarget Inc. | 79,664 | 603 |
* | Trident Microsystems Inc. | 609,214 | 420 |
Renaissance Learning Inc. | 31,489 | 395 | |
* | Viasystems Group Inc. | 15,255 | 343 |
Bel Fuse Inc. Class A | 14,318 | 332 | |
*,^ | Energy Conversion Devices Inc. | 221,510 | 261 |
*,^ | SunPower Corp. Class A | 10,265 | 198 |
710,188 | |||
Materials (7.9%) | |||
Domtar Corp. | 351,000 | 33,247 | |
Aptargroup Inc. | 572,405 | 29,960 | |
Temple-Inland Inc. | 923,972 | 27,479 | |
RPM International Inc. | 1,110,440 | 25,562 | |
Packaging Corp. of America | 874,051 | 24,465 | |
Compass Minerals International Inc. | 280,463 | 24,139 | |
Cytec Industries Inc. | 401,116 | 22,940 | |
Cabot Corp. | 559,041 | 22,289 | |
Carpenter Technology Corp. | 375,765 | 21,674 | |
* | Coeur d'Alene Mines Corp. | 762,668 | 18,502 |
* | AbitibiBowater Inc. | 829,388 | 16,837 |
Sensient Technologies Corp. | 405,331 | 15,026 | |
* | Chemtura Corp. | 816,688 | 14,864 |
Commercial Metals Co. | 977,421 | 14,026 | |
Royal Gold Inc. | 218,147 | 12,777 | |
* | Hecla Mining Co. | 1,548,996 | 11,912 |
* | OM Group Inc. | 263,529 | 10,710 |
* | Kraton Performance Polymers Inc. | 272,151 | 10,660 |
Minerals Technologies Inc. | 155,842 | 10,331 | |
HB Fuller Co. | 419,597 | 10,247 | |
Olin Corp. | 441,580 | 10,006 | |
Eagle Materials Inc. | 358,442 | 9,990 | |
* | RTI International Metals Inc. | 257,119 | 9,866 |
AK Steel Holding Corp. | 611,689 | 9,640 | |
* | Louisiana-Pacific Corp. | 1,127,999 | 9,182 |
Innophos Holdings Inc. | 183,447 | 8,952 | |
Westlake Chemical Corp. | 169,643 | 8,804 | |
Silgan Holdings Inc. | 208,678 | 8,549 | |
AMCOL International Corp. | 212,411 | 8,106 | |
* | Century Aluminum Co. | 514,636 | 8,054 |
Arch Chemicals Inc. | 214,544 | 7,389 | |
Kaiser Aluminum Corp. | 131,162 | 7,164 | |
A Schulman Inc. | 268,710 | 6,769 | |
PH Glatfelter Co. | 391,242 | 6,017 | |
Schweitzer-Mauduit International Inc. | 96,267 | 5,405 |
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Boise Inc. | 650,617 | 5,068 | |
* | Horsehead Holding Corp. | 369,746 | 4,925 |
Quaker Chemical Corp. | 107,775 | 4,635 | |
* | Georgia Gulf Corp. | 188,235 | 4,544 |
PolyOne Corp. | 280,576 | 4,340 | |
Texas Industries Inc. | 100,180 | 4,170 | |
Worthington Industries Inc. | 176,999 | 4,089 | |
* | TPC Group Inc. | 102,954 | 4,038 |
Haynes International Inc. | 51,796 | 3,208 | |
Stepan Co. | 44,716 | 3,170 | |
* | Graphic Packaging Holding Co. | 582,474 | 3,169 |
Buckeye Technologies Inc. | 115,169 | 3,107 | |
Kronos Worldwide Inc. | 96,652 | 3,040 | |
* | Noranda Aluminum Holding Corp. | 200,007 | 3,028 |
Zep Inc. | 158,085 | 2,988 | |
Neenah Paper Inc. | 125,595 | 2,673 | |
Wausau Paper Corp. | 396,507 | 2,672 | |
* | AM Castle & Co. | 148,204 | 2,462 |
American Vanguard Corp. | 186,988 | 2,425 | |
Myers Industries Inc. | 228,049 | 2,344 | |
Olympic Steel Inc. | 79,743 | 2,195 | |
*,^ | Mercer International Inc. | 186,965 | 1,885 |
Deltic Timber Corp. | 31,963 | 1,716 | |
* | Spartech Corp. | 266,029 | 1,620 |
* | Metals USA Holdings Corp. | 55,795 | 831 |
* | Headwaters Inc. | 261,536 | 819 |
580,701 | |||
Telecommunication Services (0.4%) | |||
* | Cincinnati Bell Inc. | 1,610,820 | 5,348 |
Consolidated Communications Holdings Inc. | 228,755 | 4,447 | |
* | Leap Wireless International Inc. | 268,342 | 4,355 |
IDT Corp. Class B | 134,480 | 3,634 | |
NTELOS Holdings Corp. | 174,398 | 3,561 | |
USA Mobility Inc. | 187,962 | 2,868 | |
* | PAETEC Holding Corp. | 392,480 | 1,880 |
* | Iridium Communications Inc. | 216,253 | 1,871 |
Atlantic Tele-Network Inc. | 42,991 | 1,649 | |
* | Premiere Global Services Inc. | 149,588 | 1,194 |
30,807 | |||
Utilities (6.6%) | |||
Questar Corp. | 1,509,750 | 26,738 | |
Westar Energy Inc. | 969,866 | 26,099 | |
Atmos Energy Corp. | 774,107 | 25,739 | |
Great Plains Energy Inc. | 1,158,769 | 24,021 | |
Nicor Inc. | 388,971 | 21,292 | |
Hawaiian Electric Industries Inc. | 810,121 | 19,492 | |
Vectren Corp. | 697,348 | 19,428 | |
Piedmont Natural Gas Co. Inc. | 618,412 | 18,713 | |
Cleco Corp. | 520,470 | 18,138 | |
WGL Holdings Inc. | 436,561 | 16,803 | |
IDACORP Inc. | 422,003 | 16,669 | |
* | GenOn Energy Inc. | 4,278,810 | 16,516 |
Portland General Electric Co. | 643,037 | 16,256 | |
New Jersey Resources Corp. | 353,650 | 15,776 | |
Southwest Gas Corp. | 371,333 | 14,337 | |
UIL Holdings Corp. | 430,775 | 13,936 | |
South Jersey Industries Inc. | 254,969 | 13,847 | |
Avista Corp. | 488,948 | 12,561 | |
PNM Resources Inc. | 702,895 | 11,767 | |
Unisource Energy Corp. | 311,013 | 11,610 | |
Allete Inc. | 275,076 | 11,289 | |
El Paso Electric Co. | 327,497 | 10,578 | |
Northwest Natural Gas Co. | 227,597 | 10,272 | |
NorthWestern Corp. | 309,240 | 10,239 |
Vanguard® Small-Cap Value Index Fund | |||||
Schedule of Investments | |||||
June 30, 2011 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Black Hills Corp. | 318,338 | 9,579 | |||
MGE Energy Inc. | 197,219 | 7,993 | |||
Laclede Group Inc. | 181,458 | 6,865 | |||
Empire District Electric Co. | 355,545 | 6,848 | |||
CH Energy Group Inc. | 127,155 | 6,772 | |||
California Water Service Group | 337,726 | 6,319 | |||
Otter Tail Corp. | 276,458 | 5,833 | |||
American States Water Co. | 158,796 | 5,504 | |||
Central Vermont Public Service Corp. | 106,156 | 3,838 | |||
Ormat Technologies Inc. | 154,300 | 3,396 | |||
* | Dynegy Inc. Class A | 536,566 | 3,321 | ||
Chesapeake Utilities Corp. | 81,758 | 3,273 | |||
SJW Corp. | 119,523 | 2,897 | |||
Middlesex Water Co. | 133,847 | 2,487 | |||
Unitil Corp. | 93,958 | 2,471 | |||
Connecticut Water Service Inc. | 74,468 | 1,905 | |||
481,417 | |||||
Total Common Stocks (Cost $6,650,001) | 7,335,203 | ||||
Coupon | Shares | ||||
Temporary Cash Investments (0.4%) | |||||
Money Market Fund (0.4%) | |||||
1,2 | Vanguard Market Liquidity Fund | 0.140% | 27,494,822 | 27,495 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
3 | Fannie Mae Discount Notes | 0.140% | 8/22/11 | 500 | 500 |
3 | Federal Home Loan Bank Discount Notes | 0.065% | 8/10/11 | 100 | 100 |
3 | Federal Home Loan Bank Discount Notes | 0.070% | 8/17/11 | 150 | 150 |
3 | Freddie Mac Discount Notes | 0.110% | 8/10/11 | 100 | 100 |
850 | |||||
Total Temporary Cash Investments (Cost $28,345) | 28,345 | ||||
Total Investments (100.0%) (Cost $6,678,346) | 7,363,548 | ||||
Other Assets and Liabilities—Net (-0.4%)2 | (30,774) | ||||
Net Assets (100%) | 7,332,774 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $24,704,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $26,376,000 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.
© 2011 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 482_082011
![]() |
Vanguard U.S. Stock Index Funds |
Mid-Capitalization Portfolios |
Semiannual Report |
June 30, 2011 |
![]() |
Vanguard Extended Market Index Fund |
Vanguard Mid-Cap Index Fund |
Vanguard Mid-Cap Growth Index Fund |
Vanguard Mid-Cap Value Index Fund |
> Mid-cap stocks delivered solid returns for the six months ended June 30, 2011, returning a bit more than the broad market.
> Growth stocks were the best performers, buoyed by strength in consumer discretionary and health-care stocks.
> The four mid-cap index funds succeeded in capturing the returns of their target indexes.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Extended Market Index Fund. | 8 |
Mid-Cap Index Fund. | 27 |
Mid-Cap Growth Index Fund. | 49 |
Mid-Cap Value Index Fund. | 62 |
About Your Fund’s Expenses. | 76 |
Trustees Approve Advisory Arrangement. | 79 |
Glossary. | 80 |
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx2x1.jpg)
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: Jean Maher.
Your Fund’s Total Returns
Six Months Ended June 30, 2011
Total | |
Returns | |
Vanguard Extended Market Index Fund | |
Investor Shares | 7.41% |
Admiral™ Shares | 7.49 |
Signal® Shares | 7.50 |
Institutional Shares | 7.51 |
Institutional Plus Shares (Inception: 1/14/2011) | 4.17 |
ETF Shares | |
Market Price | 7.43 |
Net Asset Value | 7.47 |
S&P Completion Index | 7.45 |
Mid-Cap Core Funds Average | 7.38 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Mid-Cap Index Fund | |
Investor Shares | 7.99% |
Admiral™ Shares | 8.10 |
Signal® Shares | 8.09 |
Institutional Shares | 8.12 |
Institutional Plus Shares | 8.12 |
ETF Shares | |
Market Price | 8.00 |
Net Asset Value | 8.10 |
MSCI US Mid Cap 450 Index | 8.12 |
Mid-Cap Core Funds Average | 7.38 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares, Institutional Shares, and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the 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, 2011
Total | |
Returns | |
Vanguard Mid-Cap Growth Index Fund | |
Investor Shares | 9.17% |
ETF Shares | |
Market Price | 9.23 |
Net Asset Value | 9.25 |
MSCI US Mid Cap Growth Index | 9.30 |
Mid-Cap Growth Funds Average | 8.42 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Mid-Cap Value Index Fund | |
Investor Shares | 6.82% |
ETF Shares | |
Market Price | 6.83 |
Net Asset Value | 6.87 |
MSCI US Mid Cap Value Index | 6.90 |
Mid-Cap Value Funds Average | 6.08 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper Inc. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares, Institutional Shares, and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the 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.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
2
Your Fund’s Performance at a Glance
December 31, 2010 , Through June 30, 2011
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Extended Market Index Fund | ||||
Investor Shares | $41.26 | $44.31 | $0.009 | $0.000 |
Admiral Shares | 41.28 | 44.36 | 0.010 | 0.000 |
Signal Shares | 35.46 | 38.11 | 0.009 | 0.000 |
Institutional Shares | 41.27 | 44.36 | 0.011 | 0.000 |
Institutional Plus Shares | 105.13 | 109.49 | 0.027 | 0.000 |
(Inception: 1/14/2011) | ||||
ETF Shares | 54.42 | 58.47 | 0.015 | 0.000 |
Vanguard Mid-Cap Index Fund | ||||
Investor Shares | $20.31 | $21.93 | $0.002 | $0.000 |
Admiral Shares | 92.17 | 99.62 | 0.013 | 0.000 |
Signal Shares | 29.09 | 31.44 | 0.004 | 0.000 |
Institutional Shares | 20.36 | 22.01 | 0.003 | 0.000 |
Institutional Plus Shares | 100.40 | 108.54 | 0.015 | 0.000 |
ETF Shares | 74.42 | 80.44 | 0.010 | 0.000 |
Vanguard Mid-Cap Growth Index Fund | ||||
Investor Shares | $24.46 | $26.70 | $0.002 | $0.000 |
ETF Shares | 62.23 | 67.98 | 0.005 | 0.000 |
Vanguard Mid-Cap Value Index Fund | ||||
Investor Shares | $20.85 | $22.27 | $0.002 | $0.000 |
ETF Shares | 52.97 | 56.60 | 0.008 | 0.000 |
3
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx6x1.jpg)
Chairman’s Letter
Dear Shareholder,
Despite market gyrations in the face of dramatic global events, Vanguard’s four U.S. mid-capitalization index funds delivered strong returns for the six months ending June 30, ranging from more than 9% for Vanguard Mid-Cap Growth Index Fund to close to 7% for Vanguard Mid-Cap Value Index Fund. Returns for Vanguard Mid-Cap Index Fund and Vanguard Extended Market Index Fund, which hold a combination of growth and value stocks, fell in the middle of the range.
All four mid-cap funds closely tracked their respective benchmark indexes. While the Extended Market Index Fund return was in line with the 7.38% return of its peer group, the other three funds bested the average returns posted by their peers.
After the close of the period, we announced that in late September, the Mid-Cap Growth and Value Index Funds will introduce low-cost Admiral Shares, part of Vanguard’s ongoing efforts to reduce the cost of investing. (The other funds in this report already offer Admiral Shares.) Admiral shares are available to clients with a fund balance of $10,000 or more. We expect the expense ratio of the new shares to be 0.10%.
For stock markets, a ragged six-month gain
Global stock markets climbed unsteadily as investor attitudes swung from giddy optimism about the strength of corporate earnings to fears that the slow, grinding recovery was losing momentum. Stock
4
prices rallied through the first four months of 2011, pulled back as economic news turned gloomier, then bounced back at the end of the period.
Low yields, solid returns in the bond market
Bonds delivered solid six-month returns even as interest rates hovered near generational lows. Bond prices rallied in the spring as economic anxiety prompted a search for safer havens in fixed income. The broad taxable bond market returned almost 3%. The municipal market performed even better.
The yields on money market instruments remained nearly invisible, consistent with the Federal Reserve Board’s target for short-term interest rates, which since December 2008 has been anchored between 0% and 0.25%.
In a strong mid-cap market growth led value
The four mid-cap index funds finished the period a few steps ahead of the broad market. The Mid-Cap Growth Index Fund got a boost from its holdings in the consumer discretionary and health-care sectors. Consumer discretionary stocks, including media and textiles, apparel, and luxury goods holdings, posted double-digit returns as consumer spending held up in the face of higher food and energy costs. That sector also lifted the returns of the Mid-Cap Index Fund and the Extended Market Index Fund.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2011 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 6.37% | 31.93% | 3.30% |
Russell 2000 Index (Small-caps) | 6.21 | 37.41 | 4.08 |
Dow Jones U.S. Total Stock Market Index | 6.01 | 32.26 | 3.66 |
MSCI All Country World Index ex USA (International) | 3.80 | 29.73 | 3.67 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.72% | 3.90% | 6.52% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 4.42 | 3.48 | 4.93 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.14 | 1.86 |
CPI | |||
Consumer Price Index | 2.99% | 3.56% | 2.15% |
5
Health care buoyed the return of the Mid-Cap Growth Index Fund, thanks in part to the strength of the biotechnology industry. The Extended Market Index Fund also benefited from its biotechnology stocks, while the Mid-Cap Index Fund was powered by its holdings in health-care providers and services.
The return of the Mid-Cap Growth Index Fund was dampened by its heavy weighting in information technology, its second-largest sector exposure. The fund’s—and the index’s—communications equipment holdings lagged in the face of intense competition and technology spending cuts by state and local governments. The fund also paid a price for its relatively modest exposure to utilities, which posted strong returns as their healthy dividends appealed to investors facing low yields on many fixed income investments. The Mid-Cap Index Fund and the Extended Market Index Fund were also relatively light in utilities.
The weakest performer was the Mid-Cap Value Index Fund. While the fund benefited from its heavy concentration in utilities, its largest sector weighting was in financial stocks, which fared poorly as low trading volumes and asset prices hurt capital market stocks and weak loan and revenue growth hampered the performance of commercial banks. A significant concentration in information technology also detracted.
All four funds captured the returns of their target indexes, a tribute to the skilled portfolio management and sophisticated risk-control and trading systems of the funds’ advisor, Vanguard Quantitative Equity Group. The advisor was helped in this task by the funds’ low expense ratios.
Expense Ratios
Your Fund Compared With Its Peer Group
Peer | |||||||
Investor | Admiral | Signal | Institutional | Institutional | ETF | Group | |
Shares | Shares | Shares | Shares | Plus Shares | Shares | Average | |
Extended Market Index Fund | 0.30% | 0.16% | 0.16% | 0.12% | 0.10% | 0.16% | 1.36% |
Mid-Cap Index Fund | 0.26 | 0.12 | 0.12 | 0.08 | 0.06 | 0.12 | 1.36 |
Mid-Cap Growth Index Fund | 0.26 | — | — | — | — | 0.12 | 1.44 |
Mid-Cap Value Index Fund | 0.26 | — | — | — | — | 0.12 | 1.39 |
The fund expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the funds’ annualized expense ratios were: for the Extended Market Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares (since inception, January 14, 2011), and 0.10% for ETF Shares; for the Mid-Cap Index Fund, 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Mid-Cap Growth Index Fund, 0.24% for Investor Shares and 0.10% for ETF Shares; and for the Mid-Cap Value Index Fund, 0.24% for Investor Shares and 0.10% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2010.
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
Some age-old counsel for an unsettled time
Over the decades, our counsel to clients has remained consistent: Build a broadly diversified, low-cost portfolio that includes a mix of stock and bond funds and short-term investments consistent with your goals and circumstances.
Since the financial crisis, a series of once-hard-to-imagine developments has reverberated through the global stock and bond markets. Is our simple, straightforward counsel still relevant? In a word, yes.
Impulsive portfolio changes can damage sensible long-term investment plans. A commitment to those plans, by contrast, can help protect your assets from the markets’ inevitable ups and downs. A recent Vanguard study of defined- contribution plans found that, despite significant market shocks, participants, on average, had higher account balances in 2010 than in 2007, the eve of the financial crisis. The increase reflected the benefits of regular contributions, diversification, and the global stock markets’ rebound from crisis lows. For investors seeking exposure to midsize companies in the U.S. stock market, Vanguard’s mid-cap index funds can be a valuable component of a balanced portfolio.
Thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx9x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 25, 2011
A note on expense ratios |
The Expense Ratios table in each report’s Chairman’s Letter displays fund expense |
ratios from the most recent prospectus. These figures include the funds’ actual |
operating expenses. For some funds, the figures also include “acquired fund fees |
and expenses,” which result from the funds’ holdings in business development |
companies (BDCs). |
Although the Securities and Exchange Commission requires that BDC costs be |
included in a fund’s expense ratio, these fees are not incurred by the fund. They |
have no impact on a fund’s total return or on its tracking error relative to an index. |
A footnote to the Expense Ratios table reports an annualized calculation of the |
fund’s actual expenses for the period, a more accurate tally of the operating costs |
incurred by shareholders. |
7
Extended Market Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics
Investor | Admiral | Signal | Institutional | Institutional | ETF | |
Shares | Shares | Shares | Shares | Plus Shares | Shares | |
Ticker Symbol | VEXMX | VEXAX | VEMSX | VIEIX | VEMPX | VXF |
Expense Ratio1 | 0.30% | 0.16% | 0.16% | 0.12% | 0.10% | 0.16% |
30-Day SEC Yield | 0.79% | 0.93% | 0.93% | 0.94% | 0.96% | 0.93% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
Completion | Market | ||
Fund | Index | Index | |
Number of Stocks | 3,017 | 3,264 | 3,745 |
Median Market Cap | $2.8B | $2.8B | $30.8B |
Price/Earnings Ratio | 25.1x | 25.6x | 17.1x |
Price/Book Ratio | 2.2x | 2.2x | 2.2x |
Return on Equity | 10.7% | 11.0% | 19.1% |
Earnings Growth Rate | 5.3% | 5.6% | 5.8% |
Dividend Yield | 1.0% | 1.0% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 12% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | |||
DJ | |||
S&P | U.S. Total | ||
Completion | Market | ||
Index | Index | ||
R-Squared | 1.00 | 0.96 | |
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) | ||
Mosaic Co. | Fertilizers & | |
Agricultural | ||
Chemicals | 0.6% | |
General Motors Co. | Automobile | |
Manufacturers | 0.6 | |
Las Vegas Sands Corp. | Casinos & Gaming | 0.5 |
General Growth | ||
Properties Inc. | Retail REITs | 0.4 |
Green Mountain Coffee | Packaged Foods & | |
Roasters Inc. | Meats | 0.4 |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 0.4 |
LyondellBasell Industries | ||
NV Class A | Specialty Chemicals | 0.4 |
Liberty Global Inc. | Cable & Satellite | 0.4 |
Bunge Ltd. | Agricultural | |
Products | 0.4 | |
Concho Resources Inc. | Oil & Gas | |
Exploration & | ||
Production | 0.3 | |
Top Ten | 4.4% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares (since inception, January 14, 2011), and 0.10% 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 | 14.6% | 14.0% | 12.2% |
Consumer Staples | 3.6 | 3.7 | 9.7 |
Energy | 7.5 | 7.7 | 11.2 |
Financials | 18.8 | 18.7 | 15.4 |
Health Care | 11.7 | 11.9 | 11.3 |
Industrials | 15.2 | 15.4 | 11.6 |
Information | |||
Technology | 15.6 | 16.0 | 18.4 |
Materials | 7.5 | 7.0 | 4.4 |
Telecommunication | |||
Services | 1.6 | 1.6 | 2.6 |
Utilities | 3.9 | 4.0 | 3.2 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx11x1.jpg)
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 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, 2000, Through June 30, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx12x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 12/21/1987 | 39.28% | 5.42% | 7.14% |
Admiral Shares | 11/13/2000 | 39.48 | 5.58 | 7.27 |
Signal Shares | 9/1/2006 | 39.50 | — | 5.971 |
Institutional Shares | 7/7/1997 | 39.54 | 5.62 | 7.33 |
Institutional Plus Shares | 1/14/2011 | — | — | 4.171 |
ETF Shares | 12/27/2001 | |||
Market Price | 39.51 | 5.61 | 8.331 | |
Net Asset Value | 39.47 | 5.59 | 8.331 | |
1 Return since inception. |
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, 2011
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Common Stocks | |||
Consumer Discretionary | |||
* General Motors Co. | 4,249,500 | 129,015 | 0.6% |
* Las Vegas Sands Corp. | 2,442,650 | 103,104 | 0.5% |
* BorgWarner Inc. | 763,975 | 61,722 | 0.3% |
* Sirius XM Radio Inc. | 27,529,420 | 60,289 | 0.3% |
* Dollar Tree Inc. | 853,034 | 56,829 | 0.3% |
* Liberty Global Inc. | 1,286,320 | 54,926 | 0.3% |
* Charter Communications Inc. Class A | 799,200 | 43,365 | 0.2% |
* DISH Network Corp. Class A | 1,396,120 | 42,819 | 0.2% |
* Fossil Inc. | 348,387 | 41,012 | 0.2% |
Consumer Discretionary—Other † | 2,347,441 | 11.7% | |
2,940,522 | 14.6% | ||
Consumer Staples | |||
* Green Mountain Coffee Roasters Inc. | 871,171 | 77,761 | 0.4% |
Bunge Ltd. | 1,027,174 | 70,824 | 0.4% |
Herbalife Ltd. | 831,392 | 47,921 | 0.2% |
Church & Dwight Co. Inc. | 994,460 | 40,315 | 0.2% |
Consumer Staples—Other † | 490,397 | 2.4% | |
727,218 | 3.6% | ||
Energy | |||
* Concho Resources Inc. | 721,192 | 66,241 | 0.3% |
Cimarex Energy Co. | 595,859 | 53,580 | 0.3% |
* Petrohawk Energy Corp. | 2,119,242 | 52,282 | 0.3% |
* Ultra Petroleum Corp. | 1,066,872 | 48,863 | 0.3% |
* Whiting Petroleum Corp. | 823,945 | 46,891 | 0.2% |
Energy—Other † | 1,235,120 | 6.1% | |
1,502,977 | 7.5% | ||
Financials | |||
General Growth Properties Inc. | 4,925,100 | 82,200 | 0.4% |
* CIT Group Inc. | 1,397,900 | 61,871 | 0.3% |
Macerich Co. | 913,156 | 48,854 | 0.3% |
SL Green Realty Corp. | 578,253 | 47,920 | 0.2% |
11
Extended Market Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
New York Community Bancorp Inc. | 3,050,897 | 45,733 | 0.2% |
^ Digital Realty Trust Inc. | 661,208 | 40,849 | 0.2% |
Financials—Other † | 3,469,396 | 17.2% | |
3,796,823 | 18.8% | ||
Health Care | |||
* Vertex Pharmaceuticals Inc. | 1,433,873 | 74,547 | 0.4% |
* Illumina Inc. | 858,882 | 64,545 | 0.3% |
* Alexion Pharmaceuticals Inc. | 1,282,479 | 60,315 | 0.3% |
Perrigo Co. | 580,361 | 50,996 | 0.3% |
* Henry Schein Inc. | 642,253 | 45,979 | 0.2% |
Health Care—Other † | 2,057,585 | 10.2% | |
2,353,967 | 11.7% | ||
Industrials | |||
* Delta Air Lines Inc. | 5,883,975 | 53,956 | 0.3% |
* United Continental Holdings Inc. | 2,314,838 | 52,385 | 0.3% |
Bucyrus International Inc. Class A | 568,263 | 52,087 | 0.2% |
AMETEK Inc. | 1,121,867 | 50,372 | 0.2% |
* Kansas City Southern | 765,624 | 45,424 | 0.2% |
Industrials—Other † | 2,796,740 | 13.9% | |
3,050,964 | 15.1% | ||
Information Technology | |||
* VMware Inc. Class A | 555,206 | 55,648 | 0.3% |
Maxim Integrated Products Inc. | 2,060,458 | 52,665 | 0.3% |
* Rovi Corp. | 787,843 | 45,191 | 0.2% |
* Atmel Corp. | 3,191,432 | 44,903 | 0.2% |
* Informatica Corp. | 738,015 | 43,122 | 0.2% |
* Riverbed Technology Inc. | 1,070,926 | 42,398 | 0.2% |
Information Technology—Other † | 2,853,425 | 14.2% | |
3,137,352 | 15.6% | ||
Materials | |||
Mosaic Co. | 1,932,863 | 130,913 | 0.6% |
LyondellBasell Industries NV Class A | 1,905,700 | 73,408 | 0.4% |
Lubrizol Corp. | 448,553 | 60,227 | 0.3% |
Celanese Corp. Class A | 1,089,790 | 58,097 | 0.3% |
Walter Energy Inc. | 434,619 | 50,329 | 0.3% |
Albemarle Corp. | 639,672 | 44,265 | 0.2% |
* Crown Holdings Inc. | 1,087,891 | 42,232 | 0.2% |
Materials—Other † | 1,048,755 | 5.2% | |
1,508,226 | 7.5% | ||
Telecommunication Services | |||
* Crown Castle International Corp. | 1,377,686 | 56,196 | 0.3% |
* NII Holdings Inc. | 1,187,339 | 50,320 | 0.2% |
Telecommunication Services—Other † | 211,944 | 1.1% | |
318,460 | 1.6% | ||
Utilities | |||
National Fuel Gas Co. | 576,418 | 41,963 | 0.2% |
Utilities—Other † | 744,810 | 3.7% | |
786,773 | 3.9% | ||
Total Common Stocks (Cost $16,358,755) | 20,123,282 | 99.9%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 | 0.140% | 224,219,132 | 224,219 | 1.1% |
4U.S. Government and Agency Obligations † | 6,499 | 0.0% | ||
Total Temporary Cash Investments (Cost $230,718) | 230,718 | 1.1%1 | ||
Total Investments (Cost $16,589,473) | 20,354,000 | 101.0% | ||
Other Assets and Liabilities | ||||
Other Assets | 209,774 | 1.0% | ||
Liabilities3 | (413,759) | (2.0%) | ||
(203,985) | (1.0%) | |||
Net Assets | 20,150,015 | 100.0% | ||
At June 30, 2011, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 17,538,938 | |||
Undistributed Net Investment Income | 55,152 | |||
Accumulated Net Realized Losses | (1,210,549) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 3,764,527 | |||
Futures Contracts | 1,947 | |||
Net Assets | 20,150,015 | |||
Investor Shares—Net Assets | ||||
Applicable to 78,709,159 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 3,487,499 | |||
Net Asset Value Per Share—Investor Shares | $44.31 | |||
Admiral Shares—Net Assets | ||||
Applicable to 126,806,364 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 5,624,783 | |||
Net Asset Value Per Share—Admiral Shares | $44.36 | |||
Signal Shares—Net Assets | ||||
Applicable to 63,056,582 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,402,938 | |||
Net Asset Value Per Share—Signal Shares | $38.11 | |||
Institutional Shares—Net Assets | ||||
Applicable to 141,688,210 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 6,284,658 | |||
Net Asset Value Per Share—Institutional Shares | $44.36 |
13
Extended Market Index Fund | |
Amount | |
($000) | |
Institutional Plus Shares—Net Assets | |
Applicable to 8,917,875 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 976,385 |
Net Asset Value Per Share—Institutional Plus Shares | $109.49 |
ETF Shares—Net Assets | |
Applicable to 23,494,649 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,373,752 |
Net Asset Value Per Share—ETF Shares | $58.47 |
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 $168,733,000.
† 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 0.9%, 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 $187,137,000 of collateral received for securities on loan.
4 Securities with a value of $3,999,000 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
Extended Market Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 83,429 |
Interest1 | 120 |
Security Lending | 8,100 |
Total Income | 91,649 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 714 |
Management and Administrative—Investor Shares | 3,520 |
Management and Administrative—Admiral Shares | 2,066 |
Management and Administrative—Signal Shares | 728 |
Management and Administrative—Institutional Shares | 1,069 |
Management and Administrative—Institutional Plus Shares | 92 |
Management and Administrative—ETF Shares | 395 |
Marketing and Distribution—Investor Shares | 525 |
Marketing and Distribution—Admiral Shares | 423 |
Marketing and Distribution—Signal Shares | 317 |
Marketing and Distribution—Institutional Shares | 919 |
Marketing and Distribution—Institutional Plus Shares | 16 |
Marketing and Distribution—ETF Shares | 185 |
Custodian Fees | 416 |
Shareholders’ Reports—Investor Shares | 40 |
Shareholders’ Reports—Admiral Shares | 47 |
Shareholders’ Reports—Signal Shares | 27 |
Shareholders’ Reports—Institutional Shares | 36 |
Shareholders’ Reports—Institutional Plus Shares | — |
Shareholders’ Reports—ETF Shares | 20 |
Trustees’ Fees and Expenses | 10 |
Total Expenses | 11,565 |
Net Investment Income | 80,084 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 670,790 |
Futures Contracts | (1,051) |
Realized Net Gain (Loss) | 669,739 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 571,301 |
Futures Contracts | 2,214 |
Change in Unrealized Appreciation (Depreciation) | 573,515 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,323,338 |
1 Interest income from an affiliated company of the fund was $111,000.
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, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 80,084 | 168,839 |
Realized Net Gain (Loss) | 669,739 | 613,995 |
Change in Unrealized Appreciation (Depreciation) | 573,515 | 2,900,916 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,323,338 | 3,683,750 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (739) | (28,999) |
Admiral Shares | (1,271) | (48,417) |
Signal Shares | (558) | (18,088) |
Institutional Shares | (1,500) | (62,049) |
Institutional Plus Shares | (109) | — |
ETF Shares | (344) | (10,835) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (4,521) | (168,388) |
Capital Share Transactions�� | ||
Investor Shares | (164,901) | (1,889,941) |
Admiral Shares | 76,475 | 2,110,302 |
Signal Shares | 151,279 | 40,804 |
Institutional Shares | 206,830 | 993,622 |
Institutional Plus Shares | 968,103 | — |
ETF Shares | 171,971 | 105,383 |
Net Increase (Decrease) from Capital Share Transactions | 1,409,757 | 1,360,170 |
Total Increase (Decrease) | 2,728,574 | 4,875,532 |
Net Assets | ||
Beginning of Period | 17,421,441 | 12,545,909 |
End of Period1 | 20,150,015 | 17,421,441 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $55,152,000 and ($20,411,000). |
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 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $41.26 | $32.67 | $24.01 | $39.89 | $38.68 | $34.26 |
Investment Operations | ||||||
Net Investment Income | .152 | .360 | .316 | .392 | .453 | .447 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.907 | 8.581 | 8.670 | (15.862) | 1.214 | 4.440 |
Total from Investment Operations | 3.059 | 8.941 | 8.986 | (15.470) | 1.667 | 4.887 |
Distributions | ||||||
Dividends from Net Investment Income | (.009) | (.351) | (.326) | (.410) | (.457) | (.467) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.009) | (.351) | (.326) | (.410) | (.457) | (.467) |
Net Asset Value, End of Period | $44.31 | $41.26 | $32.67 | $24.01 | $39.89 | $38.68 |
Total Return1 | 7.41% | 27.37% | 37.43% | -38.73% | 4.33% | 14.27% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,488 | $3,405 | $4,309 | $3,080 | $5,254 | $6,172 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.26% | 0.30% | 0.25% | 0.24% | 0.25% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.72% | 1.07% | 1.16% | 1.22% | 1.13% | 1.22% |
Portfolio Turnover Rate2 | 12% | 10% | 17% | 13% | 14% | 16% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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.
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 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $41.28 | $32.67 | $24.01 | $39.90 | $38.70 | $34.28 |
Investment Operations | ||||||
Net Investment Income | .183 | .399 | .362 | .443 | .510 | .503 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.907 | 8.606 | 8.673 | (15.881) | 1.214 | 4.440 |
Total from Investment Operations | 3.090 | 9.005 | 9.035 | (15.438) | 1.724 | 4.943 |
Distributions | ||||||
Dividends from Net Investment Income | (.010) | (.395) | (.375) | (.452) | (.524) | (.523) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.010) | (.395) | (.375) | (.452) | (.524) | (.523) |
Net Asset Value, End of Period | $44.36 | $41.28 | $32.67 | $24.01 | $39.90 | $38.70 |
Total Return | 7.49% | 27.57% | 37.65% | -38.63% | 4.48% | 14.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,625 | $5,161 | $2,300 | $1,705 | $2,811 | $3,137 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.13% | 0.10% | 0.09% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.86% | 1.21% | 1.33% | 1.37% | 1.28% | 1.37% |
Portfolio Turnover Rate1 | 12% | 10% | 17% | 13% | 14% | 16% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Extended Market Index Fund
Financial Highlights
Signal Shares
Six Months | Sept. 1, | |||||
Ended | 20061 to | |||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | |||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $35.46 | $28.08 | $20.64 | $34.29 | $33.26 | $30.79 |
Investment Operations | ||||||
Net Investment Income | .157 | .355 | .310 | .381 | .443 | .173 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.502 | 7.376 | 7.451 | (13.642) | 1.035 | 2.698 |
Total from Investment Operations | 2.659 | 7.731 | 7.761 | (13.261) | 1.478 | 2.871 |
Distributions | ||||||
Dividends from Net Investment Income | (.009) | (.351) | (.321) | (.389) | (.448) | (.401) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.009) | (.351) | (.321) | (.389) | (.448) | (.401) |
Net Asset Value, End of Period | $38.11 | $35.46 | $28.08 | $20.64 | $34.29 | $33.26 |
Total Return | 7.50% | 27.53% | 37.62% | -38.61% | 4.46% | 9.33% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,403 | $2,094 | $1,661 | $1,230 | $2,079 | $408 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.13% | 0.10% | 0.09% | 0.10%2 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.86% | 1.21% | 1.33% | 1.37% | 1.28% | 1.37%2 |
Portfolio Turnover Rate3 | 12% | 10% | 17% | 13% | 14% | 16% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
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
Extended Market Index Fund
Financial Highlights
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $41.27 | $32.68 | $24.02 | $39.91 | $38.71 | $34.29 |
Investment Operations | ||||||
Net Investment Income | .189 | .429 | .374 | .458 | .523 | .513 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.912 | 8.586 | 8.674 | (15.882) | 1.214 | 4.440 |
Total from Investment Operations | 3.101 | 9.015 | 9.048 | (15.424) | 1.737 | 4.953 |
Distributions | ||||||
Dividends from Net Investment Income | (.011) | (.425) | (.388) | (.466) | (.537) | (.533) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.011) | (.425) | (.388) | (.466) | (.537) | (.533) |
Net Asset Value, End of Period | $44.36 | $41.27 | $32.68 | $24.02 | $39.91 | $38.71 |
Total Return | 7.51% | 27.59% | 37.69% | -38.58% | 4.51% | 14.46% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,285 | $5,648 | $3,494 | $2,442 | $3,175 | $2,621 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.06% | 0.06% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.88% | 1.25% | 1.38% | 1.41% | 1.31% | 1.40% |
Portfolio Turnover Rate1 | 12% | 10% | 17% | 13% | 14% | 16% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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 | 2011 | 2010 | 2009 | 20081 | 20071 | 20061 |
Net Asset Value, Beginning of Period | $54.42 | $43.09 | $31.67 | $52.62 | $51.03 | $45.20 |
Investment Operations | ||||||
Net Investment Income | .242 | .547 | .476 | .595 | .695 | .669 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.823 | 11.324 | 11.438 | (20.935) | 1.592 | 5.858 |
Total from Investment Operations | 4.065 | 11.871 | 11.914 | (20.340) | 2.287 | 6.527 |
Distributions | ||||||
Dividends from Net Investment Income | (.015) | (.541) | (.494) | (.610) | (.697) | (.697) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.015) | (.541) | (.494) | (.610) | (.697) | (.697) |
Net Asset Value, End of Period | $58.47 | $54.42 | $43.09 | $31.67 | $52.62 | $51.03 |
Total Return | 7.47% | 27.55% | 37.63% | -38.60% | 4.49% | 14.46% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,374 | $1,113 | $781 | $484 | $559 | $409 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.13% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.86% | 1.21% | 1.33% | 1.39% | 1.29% | 1.39% |
Portfolio Turnover Rate2 | 12% | 10% | 17% | 13% | 14% | 16% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split as of the close of business on June 13, 2008.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Extended Market Index Fund
Financial Highlights
Institutional Plus Shares
January 14, 20111 to | |
For a Share Outstanding Throughout the Period | June 30, 2011 |
Net Asset Value, Beginning of Period | $105.13 |
Investment Operations | |
Net Investment Income | .461 |
Net Realized and Unrealized Gain (Loss) on Investments | 3.926 |
Total from Investment Operations | 4.387 |
Distributions | |
Dividends from Net Investment Income | (.027) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.027) |
Net Asset Value, End of Period | $109.49 |
Total Return | 4.17% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $976 |
Ratio of Total Expenses to Average Net Assets | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 0.90% |
Portfolio Turnover Rate2 | 12% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
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 six classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Plus Shares were first issued on January 14, 2011. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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.
23
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 fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $3,221,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.29% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2011, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 20,123,161 | — | 121 |
Temporary Cash Investments | 224,219 | 6,499 | — |
Futures Contracts—Assets1 | 275 | — | — |
Total | 20,347,655 | 6,499 | 121 |
1 Represents variation margin on the last day of the reporting period. |
24
Extended Market Index Fund
The following table summarizes changes in investments valued based on Level 3 inputs during the six months ended June 30, 2011:
Investments in | |
Common Stocks | |
Amount Valued Based on Level 3 Inputs | ($000) |
Balance as of December 31, 2010 | — |
Transfers in and/or out of Level 3 | 242 |
Change in Unrealized Appreciation (Depreciation) | (121) |
Balance as of June 30, 2011 | 121 |
D. At June 30, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P MidCap 400 Index | September 2011 | 227 | 22,167 | 924 |
E-mini Russell 2000 Index | September 2011 | 234 | 19,314 | 1,023 |
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, 2011, the fund realized $187,938,000 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, 2010, the fund had available capital loss carryforwards totaling $1,684,629,000 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, $622,547,000 through December 31, 2017, and $24,584,000 through December 31, 2018. In addition, the fund realized losses of $1,466,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
25
Extended Market Index Fund
At June 30, 2011, the cost of investment securities for tax purposes was $16,589,473,000. Net unrealized appreciation of investment securities for tax purposes was $3,764,527,000, consisting of unrealized gains of $5,265,652,000 on securities that had risen in value since their purchase and $1,501,125,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2011, the fund purchased $3,094,129,000 of investment securities and sold $1,543,221,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 427,768 | 9,840 | 1,048,317 | 29,288 |
Issued in Lieu of Cash Distributions | 730 | 17 | 28,559 | 691 |
Redeemed | (593,399) | (13,663) | (2,966,817) | (79,368) |
Net Increase (Decrease)—Investor Shares | (164,901) | (3,806) | (1,889,941) | (49,389) |
Admiral Shares | ||||
Issued | 416,979 | 9,600 | 2,403,983 | 62,989 |
Issued in Lieu of Cash Distributions | 1,148 | 27 | 43,659 | 1,057 |
Redeemed | (341,652) | (7,859) | (337,340) | (9,418) |
Net Increase (Decrease)—Admiral Shares | 76,475 | 1,768 | 2,110,302 | 54,628 |
Signal Shares | ||||
Issued | 510,529 | 13,630 | 746,516 | 23,222 |
Issued in Lieu of Cash Distributions | 530 | 14 | 17,061 | 482 |
Redeemed | (359,780) | (9,642) | (722,773) | (23,810) |
Net Increase (Decrease)—Signal Shares | 151,279 | 4,002 | 40,804 | (106) |
Institutional Shares | ||||
Issued | 1,362,200 | 31,386 | 2,504,141 | 70,390 |
Issued in Lieu of Cash Distributions | 1,459 | 34 | 60,682 | 1,471 |
Redeemed | (1,156,829) | (26,576) | (1,571,201) | (41,938) |
Net Increase (Decrease)—Institutional Shares | 206,830 | 4,844 | 993,622 | 29,923 |
Institutional Plus Shares1 | ||||
Issued | 1,021,584 | 9,415 | — | — |
Issued in Lieu of Cash Distributions | 109 | 1 | — | — |
Redeemed | (53,590) | (498) | — | — |
Net Increase (Decrease)—Institutional Plus Shares | 968,103 | 8,918 | — | — |
ETF Shares | ||||
Issued | 641,011 | 11,042 | 860,375 | 17,927 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (469,040) | (8,000) | (754,992) | (15,600) |
Net Increase (Decrease)—ETF Shares | 171,971 | 3,042 | 105,383 | 2,327 |
1 Inception was January 14, 2011, for Institutional Plus Shares. |
H. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
26
Mid-Cap Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | ||||||
Investor | Admiral | Signal | Institutional | Institutional | ETF | |
Shares | Shares | Shares | Shares | Plus Shares | Shares | |
Ticker Symbol | VIMSX | VIMAX | VMISX | VMCIX | VMCPX | VO |
Expense Ratio1 | 0.26% | 0.12% | 0.12% | 0.08% | 0.06% | 0.12% |
30-Day SEC Yield | 1.02% | 1.16% | 1.16% | 1.18% | 1.20% | 1.16% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Mid Cap | U.S. Total | ||
450 | Market | ||
Fund | Index | Index | |
Number of Stocks | 451 | 447 | 3,745 |
Median Market Cap | $6.6B | $6.6B | $30.8B |
Price/Earnings Ratio | 22.1x | 22.2x | 17.1x |
Price/Book Ratio | 2.3x | 2.3x | 2.2x |
Return on Equity | 14.8% | 14.8% | 19.1% |
Earnings Growth Rate | 5.6% | 5.6% | 5.8% |
Dividend Yield | 1.3% | 1.3% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 19% | — | — |
Short-Term Reserves | 0.3% | — | — |
Volatility Measures | |||
DJ | |||
MSCI US | U.S. Total | ||
Mid Cap 450 | Market | ||
Index | Index | ||
R-Squared | 1.00 | 0.96 | |
Beta | 1.00 | 1.14 | |
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) | ||
El Paso Corp. | Oil & Gas Storage & | |
Transportation | 0.6% | |
Humana Inc. | Managed Health | |
Care | 0.6 | |
Cliffs Natural Resources | ||
Inc. | Steel | 0.6 |
Netflix Inc. | Internet Retail | 0.5 |
Dover Corp. | Industrial | |
Machinery | 0.5 | |
Goodrich Corp. | Aerospace & | |
Defense | 0.5 | |
Host Hotels & Resorts | ||
Inc. | Specialized REITs | 0.5 |
Green Mountain Coffee | Packaged Foods & | |
Roasters Inc. | Meats | 0.5 |
AmerisourceBergen | Health Care | |
Corp. Class A | Distributors | 0.5 |
AvalonBay Communities | ||
Inc. | Residential REITs | 0.5 |
Top Ten | 5.3% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares.
27
Mid-Cap Index Fund
Sector Diversification (% of equity exposure) | |||
MSCI US | DJ | ||
Mid Cap | U.S. Total | ||
450 | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 16.8% | 16.9% | 12.2% |
Consumer Staples | 4.7 | 4.7 | 9.7 |
Energy | 9.2 | 9.1 | 11.2 |
Financials | 16.5 | 16.5 | 15.4 |
Health Care | 11.4 | 11.4 | 11.3 |
Industrials | 11.6 | 11.6 | 11.6 |
Information | |||
Technology | 14.9 | 14.9 | 18.4 |
Materials | 7.7 | 7.7 | 4.4 |
Telecommunication | |||
Services | 1.4 | 1.4 | 2.6 |
Utilities | 5.8 | 5.8 | 3.2 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx30x1.jpg)
28
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 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, 2000, Through June 30, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx31x1.jpg)
Note: For 2011, performance data reflect the six months ended June 30, 2011.
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | 38.43% | 4.97% | 7.49% |
Admiral Shares | 11/12/2001 | 38.67 | 5.10 | 8.941 |
Signal Shares | 3/30/2007 | 38.67 | — | 2.851 |
Institutional Shares | 5/21/1998 | 38.72 | 5.15 | 7.66 |
Institutional Plus Shares | 12/15/2010 | — | — | 10.471 |
ETF Shares | 1/26/2004 | |||
Market Price | 38.58 | 5.08 | 7.901 | |
Net Asset Value | 38.66 | 5.09 | 7.901 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
29
Mid-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Consumer Discretionary (16.9%) | |||
* | Netflix Inc. | 610,917 | 160,482 |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 2,336,383 | 130,931 | |
Limited Brands Inc. | 3,360,694 | 129,219 | |
Harley-Davidson Inc. | 2,863,527 | 117,319 | |
Mattel Inc. | 4,239,392 | 116,541 | |
* | Liberty Media Corp. - | ||
Interactive | 6,939,546 | 116,376 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 377,367 | 116,301 | |
Ross Stores Inc. | 1,447,817 | 115,999 | |
Tiffany & Co. | 1,459,958 | 114,636 | |
* | O’Reilly Automotive Inc. | 1,715,899 | 112,409 |
Virgin Media Inc. | 3,719,325 | 111,319 | |
* | BorgWarner Inc. | 1,358,571 | 109,759 |
Fortune Brands Inc. | 1,678,841 | 107,060 | |
Genuine Parts Co. | 1,916,859 | 104,277 | |
* | Dollar Tree Inc. | 1,522,405 | 101,423 |
Nordstrom Inc. | 2,120,421 | 99,533 | |
* | Sirius XM Radio Inc. | 45,439,808 | 99,513 |
Cablevision Systems | |||
Corp. Class A | 2,594,567 | 93,949 | |
* | CarMax Inc. | 2,742,351 | 90,690 |
Autoliv Inc. | 1,082,252 | 84,903 | |
Darden Restaurants Inc. | 1,678,906 | 83,542 | |
Family Dollar Stores Inc. | 1,536,650 | 80,766 | |
Whirlpool Corp. | 924,522 | 75,182 | |
* | TRW Automotive | ||
Holdings Corp. | 1,266,402 | 74,756 | |
* | Fossil Inc. | 632,602 | 74,470 |
Interpublic Group of | |||
Cos. Inc. | 5,947,851 | 74,348 | |
Abercrombie & Fitch Co. | 1,064,979 | 71,268 | |
Wyndham Worldwide | |||
Corp. | 2,106,520 | 70,884 | |
Expedia Inc. | 2,416,670 | 70,059 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Liberty Media Corp. - | ||
Capital | 812,296 | 69,654 | |
Lear Corp. | 1,279,127 | 68,408 | |
* | Apollo Group Inc. | ||
Class A | 1,561,158 | 68,191 | |
* | Lululemon Athletica Inc. | 604,188 | 67,560 |
Hasbro Inc. | 1,499,492 | 65,873 | |
PetSmart Inc. | 1,429,776 | 64,869 | |
* | Royal Caribbean | ||
Cruises Ltd. | 1,707,491 | 64,270 | |
International Game | |||
Technology | 3,632,845 | 63,865 | |
*,^ | Liberty Global Inc. | ||
Class A | 1,377,738 | 62,053 | |
H&R Block Inc. | 3,709,590 | 59,502 | |
Tractor Supply Co. | 883,063 | 59,059 | |
Advance Auto Parts Inc. | 996,415 | 58,280 | |
Newell Rubbermaid Inc. | 3,529,440 | 55,695 | |
* | Liberty Global Inc. | 1,303,661 | 55,666 |
Scripps Networks | |||
Interactive Inc. Class A | 1,134,349 | 55,447 | |
* | MGM Resorts | ||
International | 4,157,723 | 54,924 | |
Tupperware Brands Corp. | 763,589 | 51,504 | |
* | Goodyear Tire & | ||
Rubber Co. | 2,954,041 | 49,539 | |
* | NVR Inc. | 68,056 | 49,373 |
* | GameStop Corp. Class A | 1,840,636 | 49,090 |
Phillips-Van Heusen Corp. | 733,429 | 48,018 | |
DeVry Inc. | 799,706 | 47,287 | |
^ | Garmin Ltd. | 1,417,781 | 46,829 |
* | Liberty Media Corp. - | ||
Starz | 597,332 | 44,943 | |
* | Urban Outfitters Inc. | 1,595,539 | 44,914 |
* | LKQ Corp. | 1,684,207 | 43,941 |
Leggett & Platt Inc. | 1,779,929 | 43,395 | |
* | Dick’s Sporting Goods Inc. | 1,114,335 | 42,846 |
* | Mohawk Industries Inc. | 709,343 | 42,554 |
Williams-Sonoma Inc. | 1,150,075 | 41,966 | |
Gannett Co. Inc. | 2,914,031 | 41,729 |
30
Mid-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
DR Horton Inc. | 3,494,122 | 40,252 | |
Harman International | |||
Industries Inc. | 846,933 | 38,595 | |
* | Toll Brothers Inc. | 1,824,376 | 37,838 |
Lennar Corp. Class A | 1,827,625 | 33,171 | |
Guess? Inc. | 784,785 | 33,008 | |
* | Pulte Group Inc. | 4,179,841 | 32,018 |
Weight Watchers | |||
International Inc. | 399,508 | 30,151 | |
American Eagle | |||
Outfitters Inc. | 2,145,909 | 27,360 | |
Washington Post Co. | |||
Class B | 63,185 | 26,471 | |
* | ITT Educational | ||
Services Inc. | 292,987 | 22,923 | |
* | Hyatt Hotels Corp. Class A | 542,398 | 22,141 |
* | Lamar Advertising Co. | ||
Class A | 755,585 | 20,680 | |
*,^ | AutoNation Inc. | 545,133 | 19,957 |
* | Clear Channel Outdoor | ||
Holdings Inc. Class A | 472,747 | 6,004 | |
Lennar Corp. Class B | 63,528 | 933 | |
* | Krispy Kreme | ||
Doughnuts Inc. | |||
Warrants Exp. 03/02/2012 | 8,389 | 6 | |
4,980,666 | |||
Consumer Staples (4.6%) | |||
* | Green Mountain Coffee | ||
Roasters Inc. | 1,552,535 | 138,579 | |
Bunge Ltd. | 1,761,597 | 121,462 | |
Coca-Cola Enterprises Inc. | 4,014,298 | 117,137 | |
Dr Pepper Snapple | |||
Group Inc. | 2,723,158 | 114,182 | |
Whole Foods Market Inc. | 1,793,712 | 113,811 | |
JM Smucker Co. | 1,447,480 | 110,645 | |
Herbalife Ltd. | 1,435,863 | 82,763 | |
* | Hansen Natural Corp. | 919,536 | 74,436 |
Tyson Foods Inc. Class A | 3,738,442 | 72,601 | |
McCormick & Co. Inc. | 1,463,825 | 72,562 | |
Church & Dwight Co. Inc. | 1,733,763 | 70,287 | |
* | Energizer Holdings Inc. | 858,803 | 62,143 |
* | Ralcorp Holdings Inc. | 668,444 | 57,874 |
Hormel Foods Corp. | 1,781,142 | 53,096 | |
* | Constellation Brands Inc. | ||
Class A | 2,259,292 | 47,038 | |
* | Smithfield Foods Inc. | 1,816,586 | 39,729 |
* | Dean Foods Co. | 2,231,354 | 27,379 |
1,375,724 | |||
Energy (9.2%) | |||
El Paso Corp. | 8,568,817 | 173,090 | |
Consol Energy Inc. | 2,750,662 | 133,352 | |
* | FMC Technologies Inc. | 2,921,412 | 130,850 |
Pioneer Natural | |||
Resources Co. | 1,274,232 | 114,133 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Newfield Exploration Co. | 1,633,308 | 111,098 |
* | Concho Resources Inc. | 1,189,913 | 109,293 |
Range Resources Corp. | 1,951,292 | 108,297 | |
* | Denbury Resources Inc. | 4,859,448 | 97,189 |
Cimarex Energy Co. | 1,039,710 | 93,491 | |
* | Petrohawk Energy Corp. | 3,677,449 | 90,723 |
EQT Corp. | 1,722,952 | 90,489 | |
QEP Resources Inc. | 2,143,511 | 89,663 | |
* | Nabors Industries Ltd. | 3,469,843 | 85,497 |
Helmerich & Payne Inc. | 1,292,836 | 85,482 | |
Cabot Oil & Gas Corp. | 1,267,799 | 84,068 | |
* | Whiting Petroleum Corp. | 1,436,035 | 81,725 |
Arch Coal Inc. | 2,563,368 | 68,339 | |
* | Kinder Morgan | ||
Management LLC | 1,023,004 | 67,099 | |
* | Plains Exploration & | ||
Production Co. | 1,703,322 | 64,931 | |
Sunoco Inc. | 1,466,524 | 61,169 | |
Core Laboratories NV | 547,919 | 61,115 | |
* | Rowan Cos. Inc. | 1,535,922 | 59,609 |
Patterson-UTI Energy Inc. | 1,874,758 | 59,261 | |
Southern Union Co. | 1,439,807 | 57,808 | |
SM Energy Co. | 771,218 | 56,669 | |
* | McDermott | ||
International Inc. | 2,838,242 | 56,225 | |
Oceaneering | |||
International Inc. | 1,315,873 | 53,293 | |
* | Dresser-Rand Group Inc. | 978,177 | 52,577 |
Holly Corp. | 727,586 | 50,494 | |
Energen Corp. | 876,034 | 49,496 | |
* | SandRidge Energy Inc. | 4,494,462 | 47,911 |
* | Tesoro Corp. | 1,740,430 | 39,873 |
* | Continental | ||
Resources Inc. | 545,921 | 35,436 | |
* | Forest Oil Corp. | 1,312,101 | 35,046 |
EXCO Resources Inc. | 1,561,808 | 27,566 | |
* | Cobalt International | ||
Energy Inc. | 1,416,150 | 19,302 | |
* | Quicksilver | ||
Resources Inc. | 1,141,788 | 16,853 | |
* | Alpha Natural | ||
Resources Inc. | 17,472 | 794 | |
2,719,306 | |||
Financials (16.4%) | |||
Host Hotels & | |||
Resorts Inc. | 8,273,026 | 140,228 | |
AvalonBay | |||
Communities Inc. | 1,046,625 | 134,387 | |
* | Intercontinental- | ||
Exchange Inc. | 892,196 | 111,266 | |
Health Care REIT Inc. | 2,092,437 | 109,706 | |
Lincoln National Corp. | 3,839,608 | 109,390 | |
NYSE Euronext | 3,175,769 | 108,834 | |
SLM Corp. | 6,406,340 | 107,691 | |
Ventas Inc. | 1,980,844 | 104,410 |
31
Mid-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | CIT Group Inc. | 2,312,997 | 102,373 |
KeyCorp | 11,561,133 | 96,304 | |
Moody’s Corp. | 2,510,168 | 96,265 | |
Unum Group | 3,765,195 | 95,937 | |
Regions Financial Corp. | 15,292,298 | 94,812 | |
Kimco Realty Corp. | 4,941,524 | 92,110 | |
* | CB Richard Ellis | ||
Group Inc. Class A | 3,540,788 | 88,909 | |
Leucadia National Corp. | 2,525,049 | 86,104 | |
Macerich Co. | 1,584,799 | 84,787 | |
XL Group plc Class A | 3,781,284 | 83,113 | |
Willis Group Holdings plc | 1,978,067 | 81,318 | |
Plum Creek Timber | |||
Co. Inc. | 1,967,781 | 79,774 | |
SL Green Realty Corp. | 959,645 | 79,526 | |
New York Community | |||
Bancorp Inc. | 5,296,759 | 79,398 | |
Comerica Inc. | 2,149,164 | 74,297 | |
Huntington Bancshares | |||
Inc. | 10,496,726 | 68,859 | |
Digital Realty Trust Inc. | 1,111,119 | 68,645 | |
Rayonier Inc. | 985,606 | 64,409 | |
Federal Realty | |||
Investment Trust | 748,140 | 63,727 | |
Nationwide Health | |||
Properties Inc. | 1,537,576 | 63,671 | |
* | Affiliated Managers | ||
Group Inc. | 626,997 | 63,609 | |
* | Genworth Financial Inc. | ||
Class A | 5,956,127 | 61,229 | |
Torchmark Corp. | 947,350 | 60,763 | |
People’s United | |||
Financial Inc. | 4,404,640 | 59,198 | |
Legg Mason Inc. | 1,758,345 | 57,603 | |
Alexandria Real Estate | |||
Equities Inc. | 736,136 | 56,992 | |
Cincinnati Financial Corp. | 1,882,664 | 54,936 | |
* | MSCI Inc. Class A | 1,455,335 | 54,837 |
UDR Inc. | 2,218,785 | 54,471 | |
Reinsurance Group of | |||
America Inc. Class A | 892,146 | 54,296 | |
Everest Re Group Ltd. | 661,663 | 54,091 | |
PartnerRe Ltd. | 780,200 | 53,717 | |
Zions Bancorporation | 2,222,262 | 53,356 | |
* | Arch Capital Group Ltd. | 1,639,133 | 52,321 |
Marshall & Ilsley Corp. | 6,427,918 | 51,230 | |
Realty Income Corp. | 1,528,220 | 51,180 | |
Jones Lang LaSalle Inc. | 521,048 | 49,135 | |
WR Berkley Corp. | 1,457,610 | 47,285 | |
Hudson City Bancorp Inc. | 5,763,414 | 47,202 | |
Liberty Property Trust | 1,392,857 | 45,379 | |
RenaissanceRe | |||
Holdings Ltd. | 642,177 | 44,920 | |
* | Markel Corp. | 112,250 | 44,542 |
Assurant Inc. | 1,214,962 | 44,067 |
Market | |||
Value | |||
Shares | ($000) | ||
HCC Insurance | |||
Holdings Inc. | 1,396,887 | 44,002 | |
Regency Centers Corp. | 995,578 | 43,776 | |
Eaton Vance Corp. | 1,433,678 | 43,340 | |
Chimera Investment | |||
Corp. | 12,486,893 | 43,205 | |
Duke Realty Corp. | 3,070,070 | 43,012 | |
Piedmont Office Realty | |||
Trust Inc. Class A | 2,099,152 | 42,802 | |
Axis Capital Holdings Ltd. | 1,355,935 | 41,980 | |
Raymond James | |||
Financial Inc. | 1,302,039 | 41,861 | |
SEI Investments Co. | 1,810,217 | 40,748 | |
Fidelity National | |||
Financial Inc. Class A | 2,584,022 | 40,672 | |
Commerce | |||
Bancshares Inc. | 898,600 | 38,640 | |
Cullen/Frost Bankers Inc. | 669,532 | 38,063 | |
* | NASDAQ OMX | ||
Group Inc. | 1,499,407 | 37,935 | |
Brown & Brown Inc. | 1,475,663 | 37,866 | |
Transatlantic Holdings Inc. | 757,756 | 37,138 | |
White Mountains | |||
Insurance Group Ltd. | 87,249 | 36,659 | |
Hospitality Properties | |||
Trust | 1,500,747 | 36,393 | |
Old Republic | |||
International Corp. | 2,994,235 | 35,182 | |
Weingarten Realty | |||
Investors | 1,390,721 | 34,991 | |
Jefferies Group Inc. | 1,684,582 | 34,365 | |
American Financial | |||
Group Inc. | 957,218 | 34,163 | |
Assured Guaranty Ltd. | 2,014,425 | 32,855 | |
City National Corp. | 571,655 | 31,012 | |
First Horizon | |||
National Corp. | 3,208,879 | 30,613 | |
^ | Federated Investors Inc. | ||
Class B | 1,140,873 | 27,198 | |
Validus Holdings Ltd. | 775,953 | 24,016 | |
Janus Capital Group Inc. | 2,154,601 | 20,339 | |
BOK Financial Corp. | 332,871 | 18,231 | |
*,^ | St. Joe Co. | 846,744 | 17,646 |
CBOE Holdings Inc. | 631,185 | 15,527 | |
* | LPL Investment | ||
Holdings Inc. | 331,723 | 11,348 | |
* | TFS Financial Corp. | 1,127,875 | 10,918 |
4,853,105 | |||
Health Care (11.4%) | |||
Humana Inc. | 2,049,189 | 165,042 | |
AmerisourceBergen | |||
Corp. Class A | 3,332,561 | 137,968 | |
* | Mylan Inc. | 5,313,961 | 131,095 |
* | Vertex Pharmaceuticals | ||
Inc. | 2,485,357 | 129,214 |
32
Mid-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Edwards Lifesciences | ||
Corp. | 1,396,398 | 121,738 | |
* | Laboratory Corp. of | ||
America Holdings | 1,236,423 | 119,673 | |
* | Illumina Inc. | 1,551,649 | 116,606 |
* | Hospira Inc. | 2,026,101 | 114,799 |
* | Life Technologies Corp. | 2,188,460 | 113,953 |
CR Bard Inc. | 1,033,943 | 113,589 | |
* | Waters Corp. | 1,110,291 | 106,299 |
* | Cerner Corp. | 1,723,391 | 105,316 |
* | Watson Pharmaceuticals | ||
Inc. | 1,529,866 | 105,148 | |
* | Alexion Pharmaceuticals | ||
Inc. | 2,220,290 | 104,420 | |
* | Varian Medical Systems | ||
Inc. | 1,459,568 | 102,199 | |
* | DaVita Inc. | 1,167,133 | 101,085 |
Perrigo Co. | 1,010,399 | 88,784 | |
* | Henry Schein Inc. | 1,117,292 | 79,987 |
* | CareFusion Corp. | 2,712,251 | 73,692 |
* | Cephalon Inc. | 920,662 | 73,561 |
* | Dendreon Corp. | 1,792,625 | 70,701 |
* | Coventry Health Care Inc. | 1,820,946 | 66,410 |
* | Mettler-Toledo | ||
International Inc. | 392,933 | 66,276 | |
DENTSPLY International | |||
Inc. | 1,728,225 | 65,811 | |
* | Hologic Inc. | 3,171,007 | 63,959 |
* | ResMed Inc. | 1,863,949 | 57,689 |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 1,425,971 | 57,281 | |
Universal Health Services | |||
Inc. Class B | 1,095,658 | 56,459 | |
* | Human Genome Sciences | ||
Inc. | 2,297,913 | 56,391 | |
* | IDEXX Laboratories Inc. | 697,082 | 54,066 |
* | Regeneron | ||
Pharmaceuticals Inc. | 853,699 | 48,413 | |
* | Kinetic Concepts Inc. | 787,781 | 45,400 |
Omnicare Inc. | 1,420,992 | 45,316 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 2,311,976 | 44,899 | |
* | Covance Inc. | 734,366 | 43,599 |
Warner Chilcott plc | |||
Class A | 1,695,238 | 40,906 | |
* | Gen-Probe Inc. | 586,935 | 40,587 |
Patterson Cos. Inc. | 1,193,920 | 39,268 | |
* | Alere Inc. | 979,937 | 35,885 |
Pharmaceutical Product | |||
Development Inc. | 1,330,550 | 35,712 | |
Lincare Holdings Inc. | 1,170,326 | 34,256 | |
* | Community Health | ||
Systems Inc. | 1,130,427 | 29,029 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 234,625 | 28,005 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Charles River Laboratories | ||
International Inc. | 585,091 | 23,784 | |
3,354,270 | |||
Industrials (11.6%) | |||
Dover Corp. | 2,268,124 | 153,779 | |
Goodrich Corp. | 1,527,186 | 145,846 | |
Fastenal Co. | 3,405,755 | 122,573 | |
Joy Global Inc. | 1,271,624 | 121,110 | |
Cooper Industries plc | 1,998,827 | 119,270 | |
WW Grainger Inc. | 717,683 | 110,272 | |
Roper Industries Inc. | 1,159,094 | 96,553 | |
* | United Continental | ||
Holdings Inc. | 3,994,614 | 90,398 | |
* | Stericycle Inc. | 986,278 | 87,897 |
AMETEK Inc. | 1,954,804 | 87,771 | |
Bucyrus International Inc. | |||
Class A | 935,804 | 85,776 | |
Textron Inc. | 3,356,019 | 79,236 | |
Pall Corp. | 1,403,856 | 78,939 | |
Iron Mountain Inc. | 2,190,607 | 74,678 | |
Flowserve Corp. | 677,570 | 74,458 | |
* | Kansas City Southern | 1,248,343 | 74,064 |
KBR Inc. | 1,838,973 | 69,311 | |
* | Jacobs Engineering | ||
Group Inc. | 1,536,588 | 66,457 | |
Pitney Bowes Inc. | 2,477,617 | 56,960 | |
* | AGCO Corp. | 1,147,794 | 56,655 |
JB Hunt Transport | |||
Services Inc. | 1,180,271 | 55,579 | |
* | Owens Corning | 1,441,435 | 53,838 |
Donaldson Co. Inc. | 886,967 | 53,821 | |
Manpower Inc. | 995,486 | 53,408 | |
Masco Corp. | 4,375,635 | 52,639 | |
Cintas Corp. | 1,589,930 | 52,515 | |
* | Hertz Global Holdings Inc. | 3,279,112 | 52,072 |
* | Quanta Services Inc. | 2,567,391 | 51,861 |
Equifax Inc. | 1,492,220 | 51,810 | |
* | Verisk Analytics Inc. | ||
Class A | 1,478,846 | 51,198 | |
Timken Co. | 1,011,537 | 50,982 | |
SPX Corp. | 614,983 | 50,835 | |
RR Donnelley & Sons Co. | 2,510,904 | 49,239 | |
Pentair Inc. | 1,196,443 | 48,288 | |
Avery Dennison Corp. | 1,234,414 | 47,685 | |
* | Navistar | ||
International Corp. | 832,395 | 46,997 | |
* | Foster Wheeler AG | 1,518,301 | 46,126 |
Robert Half | |||
International Inc. | 1,689,746 | 45,674 | |
Dun & Bradstreet Corp. | 604,318 | 45,650 | |
* | URS Corp. | 980,251 | 43,856 |
Towers Watson & Co. | |||
Class A | 662,005 | 43,500 | |
* | IHS Inc. Class A | 508,242 | 42,398 |
Hubbell Inc. Class B | 649,671 | 42,196 |
33
Mid-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sensata Technologies | ||
Holding NV | 1,060,224 | 39,917 | |
* | Terex Corp. | 1,326,398 | 37,736 |
* | Babcock & Wilcox Co. | 1,348,027 | 37,354 |
MSC Industrial Direct Co. | |||
Class A | 559,076 | 37,072 | |
* | Aecom Technology Corp. | 1,299,063 | 35,516 |
Ryder System Inc. | 622,801 | 35,406 | |
* | Nielsen Holdings NV | 1,088,764 | 33,926 |
* | Copart Inc. | 725,398 | 33,804 |
Harsco Corp. | 980,733 | 31,972 | |
* | Shaw Group Inc. | 1,034,084 | 31,240 |
Alliant Techsystems Inc. | 407,126 | 29,040 | |
* | Spirit Aerosystems | ||
Holdings Inc. Class A | 1,308,336 | 28,783 | |
Covanta Holding Corp. | 1,635,768 | 26,974 | |
3,422,910 | |||
Information Technology (14.9%) | |||
* | Teradata Corp. | 2,036,551 | 122,600 |
* | SanDisk Corp. | 2,877,845 | 119,431 |
* | BMC Software Inc. | 2,171,702 | 118,792 |
Xilinx Inc. | 3,174,058 | 115,758 | |
Amphenol Corp. Class A | 2,139,040 | 115,487 | |
* | NVIDIA Corp. | 7,064,001 | 112,565 |
* | Fiserv Inc. | 1,776,002 | 111,231 |
* | F5 Networks Inc. | 981,698 | 108,232 |
* | Red Hat Inc. | 2,346,034 | 107,683 |
* | Autodesk Inc. | 2,783,054 | 107,426 |
* | Western Digital Corp. | 2,816,646 | 102,470 |
Avago Technologies Ltd. | 2,547,666 | 96,811 | |
* | Electronic Arts Inc. | 4,064,749 | 95,928 |
Maxim Integrated | |||
Products Inc. | 3,604,596 | 92,133 | |
Linear Technology Corp. | 2,758,174 | 91,075 | |
Seagate Technology plc | 5,507,371 | 88,999 | |
Microchip Technology Inc. | 2,290,836 | 86,846 | |
KLA-Tencor Corp. | 2,033,100 | 82,300 | |
* | Micron Technology Inc. | 10,912,800 | 81,628 |
* | Atmel Corp. | 5,572,058 | 78,399 |
* | Rovi Corp. | 1,356,605 | 77,815 |
* | Informatica Corp. | 1,283,352 | 74,986 |
* | Motorola Mobility | ||
Holdings Inc. | 3,401,907 | 74,978 | |
National Semiconductor | |||
Corp. | 2,931,867 | 72,153 | |
* | Akamai Technologies Inc. | 2,275,364 | 71,606 |
Computer Sciences Corp. | 1,885,629 | 71,578 | |
Harris Corp. | 1,555,412 | 70,087 | |
* | Riverbed Technology Inc. | 1,742,946 | 69,003 |
* | Lam Research Corp. | 1,502,058 | 66,511 |
VeriSign Inc. | 1,986,475 | 66,467 | |
FLIR Systems Inc. | 1,928,181 | 64,999 | |
* | Nuance Communications | ||
Inc. | 2,923,486 | 62,767 | |
* | ANSYS Inc. | 1,115,860 | 61,004 |
Market | |||
Value | |||
Shares | ($000) | ||
* | SAIC Inc. | 3,616,499 | 60,830 |
* | Flextronics International | ||
Ltd. | 9,240,379 | 59,323 | |
* | Avnet Inc. | 1,856,261 | 59,178 |
* | Trimble Navigation Ltd. | 1,485,371 | 58,880 |
* | TIBCO Software Inc. | 2,017,386 | 58,545 |
* | Alliance Data Systems | ||
Corp. | 621,631 | 58,477 | |
* | Arrow Electronics Inc. | 1,395,887 | 57,929 |
* | Equinix Inc. | 561,680 | 56,741 |
* | ON Semiconductor Corp. | 5,372,734 | 56,253 |
Factset Research | |||
Systems Inc. | 535,261 | 54,768 | |
* | Rackspace Hosting Inc. | 1,256,889 | 53,719 |
* | LSI Corp. | 7,489,783 | 53,327 |
* | Skyworks Solutions Inc. | 2,254,536 | 51,809 |
* | Advanced Micro Devices | ||
Inc. | 7,081,426 | 49,499 | |
Global Payments Inc. | 969,898 | 49,465 | |
Jabil Circuit Inc. | 2,383,783 | 48,152 | |
* | Acme Packet Inc. | 679,781 | 47,673 |
* | VeriFone Systems Inc. | 1,073,641 | 47,616 |
* | Synopsys Inc. | 1,814,503 | 46,651 |
* | Cree Inc. | 1,329,648 | 44,663 |
* | IAC/InterActiveCorp | 1,023,393 | 39,063 |
Total System Services | |||
Inc. | 1,998,674 | 37,135 | |
* | Brocade Communications | ||
Systems Inc. | 5,730,942 | 37,022 | |
Broadridge Financial | |||
Solutions Inc. | 1,523,448 | 36,669 | |
* | Ingram Micro Inc. | 1,906,336 | 34,581 |
* | Lexmark International Inc. | ||
Class A | 958,083 | 28,034 | |
* | Dolby Laboratories Inc. | ||
Class A | 647,437 | 27,490 | |
* | AOL Inc. | 1,302,761 | 25,873 |
* | MEMC Electronic | ||
Materials Inc. | 2,806,979 | 23,944 | |
Molex Inc. | 890,076 | 22,937 | |
Lender Processing | |||
Services Inc. | 1,052,332 | 22,004 | |
Tellabs Inc. | 4,198,751 | 19,356 | |
Molex Inc. Class A | 779,780 | 16,750 | |
* | Freescale Semiconductor | ||
Holdings I Ltd. | 584,759 | 10,754 | |
4,394,858 | |||
Materials (7.6%) | |||
Cliffs Natural Resources | |||
Inc. | 1,758,780 | 162,599 | |
CF Industries Holdings | |||
Inc. | 866,876 | 122,810 | |
Sigma-Aldrich Corp. | 1,482,541 | 108,789 | |
Lubrizol Corp. | 779,001 | 104,596 | |
Celanese Corp. Class A | 1,896,367 | 101,095 |
34
Mid-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Sherwin-Williams Co. | 1,108,300 | 92,953 | |
Eastman Chemical Co. | 860,144 | 87,795 | |
Walter Energy Inc. | 751,729 | 87,050 | |
United States Steel Corp. | 1,747,849 | 80,471 | |
Ball Corp. | 2,040,243 | 78,468 | |
Allegheny Technologies | |||
Inc. | 1,225,807 | 77,802 | |
FMC Corp. | 869,077 | 74,758 | |
* | Crown Holdings Inc. | 1,892,462 | 73,465 |
Albemarle Corp. | 1,058,336 | 73,237 | |
MeadWestvaco Corp. | 2,047,001 | 68,186 | |
Airgas Inc. | 972,517 | 68,115 | |
International Flavors & | |||
Fragrances Inc. | 975,690 | 62,678 | |
Ashland Inc. | 960,962 | 62,097 | |
Vulcan Materials Co. | 1,569,052 | 60,456 | |
Rock-Tenn Co. Class A | 842,127 | 55,867 | |
* | Owens-Illinois Inc. | 1,990,410 | 51,373 |
Sealed Air Corp. | 1,936,802 | 46,077 | |
Reliance Steel & | |||
Aluminum Co. | 907,628 | 45,064 | |
Nalco Holding Co. | 1,601,093 | 44,526 | |
Martin Marietta Materials | |||
Inc. | 553,144 | 44,235 | |
Bemis Co. Inc. | 1,301,355 | 43,960 | |
Huntsman Corp. | 2,331,382 | 43,947 | |
* | Molycorp Inc. | 713,990 | 43,596 |
Sonoco Products Co. | 1,219,192 | 43,330 | |
Steel Dynamics Inc. | 2,517,078 | 40,903 | |
Valspar Corp. | 1,122,387 | 40,473 | |
Scotts Miracle-Gro Co. | |||
Class A | 563,938 | 28,936 | |
Titanium Metals Corp. | 1,098,000 | 20,115 | |
Greif Inc. Class A | 287,205 | 18,677 | |
2,258,499 | |||
Telecommunication Services (1.4%) | |||
Frontier Communications | |||
Corp. | 12,082,803 | 97,508 | |
* | NII Holdings Inc. | 2,063,489 | 87,451 |
Windstream Corp. | 6,131,461 | 79,464 | |
* | SBA Communications | ||
Corp. Class A | 1,397,175 | 53,358 | |
* | MetroPCS | ||
Communications Inc. | 3,035,113 | 52,234 | |
Telephone & | |||
Data Systems Inc. - | |||
Special Common Shares | 591,556 | 15,931 | |
Telephone & | |||
Data Systems Inc. | 274,425 | 8,529 | |
* | United States Cellular | ||
Corp. | 160,155 | 7,755 | |
*,^ | Clearwire Corp. Class A | 1,636,375 | 6,185 |
408,415 |
Market | |||
Value | |||
Shares | ($000) | ||
Utilities (5.8%) | |||
DTE Energy Co. | 2,060,079 | 103,045 | |
CenterPoint Energy Inc. | 4,907,191 | 94,954 | |
Oneok Inc. | 1,236,059 | 91,481 | |
Wisconsin Energy Corp. | 2,842,551 | 89,114 | |
Constellation Energy | |||
Group Inc. | 2,308,347 | 87,625 | |
Ameren Corp. | 2,924,558 | 84,344 | |
Northeast Utilities | 2,145,998 | 75,475 | |
* | NRG Energy Inc. | 3,009,611 | 73,976 |
NiSource Inc. | 3,395,693 | 68,763 | |
American Water Works | |||
Co. Inc. | 2,130,242 | 62,736 | |
National Fuel Gas Co. | 850,967 | 61,950 | |
* | Calpine Corp. | 3,781,644 | 60,998 |
CMS Energy Corp. | 3,065,515 | 60,360 | |
OGE Energy Corp. | 1,187,052 | 59,732 | |
Pinnacle West Capital | |||
Corp. | 1,322,525 | 58,958 | |
SCANA Corp. | 1,476,918 | 58,146 | |
NSTAR | 1,259,428 | 57,908 | |
Alliant Energy Corp. | 1,348,025 | 54,811 | |
Pepco Holdings Inc. | 2,736,554 | 53,719 | |
MDU Resources | |||
Group Inc. | 2,294,920 | 51,636 | |
Integrys Energy | |||
Group Inc. | 948,354 | 49,163 | |
TECO Energy Inc. | 2,481,926 | 46,884 | |
NV Energy Inc. | 2,864,287 | 43,967 | |
DPL Inc. | 1,448,652 | 43,691 | |
UGI Corp. | 1,350,858 | 43,079 | |
AGL Resources Inc. | 948,244 | 38,603 | |
Aqua America Inc. | 1,677,358 | 36,868 | |
1,711,986 | |||
Total Common Stocks | |||
(Cost $24,050,610) | 29,479,739 | ||
Temporary Cash Investments (0.6%)1 | |||
Money Market Fund (0.6%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, | |||
0.140% | 171,397,000 | 171,397 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Fannie Mae Discount | ||
Notes, 0.085%, 8/24/11 | 100 | 100 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.090%, 7/6/11 | 500 | 500 |
35
Mid-Cap Index Fund | |||
Face | Market | ||
Amount | Value | ||
($000) | ($000) | ||
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.070%, 8/17/11 | 100 | 100 | |
4,5 | Freddie Mac Discount | ||
Notes, 0.080%, 8/15/11 | 300 | 300 | |
1,000 | |||
Total Temporary Cash Investments | |||
(Cost $172,396) | 172,397 | ||
Total Investments (100.4%) | |||
(Cost $24,223,006) | 29,652,136 | ||
Other Assets and Liabilities (-0.4%) | |||
Other Assets | 137,454 | ||
Liabilities3 | (266,832) | ||
(129,378) | |||
Net Assets (100%) | 29,522,758 | ||
At June 30, 2011, net assets consisted of: | |||
Amount | |||
($000) | |||
Paid-in Capital | 26,845,396 | ||
Undistributed Net Investment Income | 129,970 | ||
Accumulated Net Realized Losses | (2,882,093) | ||
Unrealized Appreciation (Depreciation) | |||
Investment Securities | 5,429,130 | ||
Futures Contracts | 355 | ||
Net Assets | 29,522,758 | ||
Investor Shares—Net Assets | |||
Applicable to 239,061,465 outstanding | |||
$.001 par value shares of beneficial | |||
interest (unlimited authorization) | 5,243,509 | ||
Net Asset Value Per Share— | |||
Investor Shares | $21.93 |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 67,011,758 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 6,675,477 |
Net Asset Value Per Share— | |
Admiral Shares | $99.62 |
Signal Shares—Net Assets | |
Applicable to 122,396,084 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,847,660 |
Net Asset Value Per Share— | |
Signal Shares | $31.44 |
Institutional Shares—Net Assets | |
Applicable to 339,857,512 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 7,479,004 |
Net Asset Value Per Share— | |
Institutional Shares | $22.01 |
Institutional Plus Shares—Net Assets | |
Applicable to 21,387,714 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,321,416 |
Net Asset Value Per Share— | |
Institutional Plus Shares | $108.54 |
ETF Shares—Net Assets | |
Applicable to 49,176,902 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,955,692 |
Net Asset Value Per Share— | |
ETF Shares | $80.44 |
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 $67,679,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.8% and 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 $70,224,000 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 $900,000 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.
36
Mid-Cap Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 175,762 |
Interest1 | 37 |
Security Lending | 2,387 |
Total Income | 178,186 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,050 |
Management and Administrative—Investor Shares | 5,513 |
Management and Administrative—Admiral Shares | 2,510 |
Management and Administrative—Signal Shares | 1,113 |
Management and Administrative—Institutional Shares | 1,429 |
Management and Administrative—Institutional Plus Shares | 353 |
Management and Administrative—ETF Shares | 1,185 |
Marketing and Distribution—Investor Shares | 919 |
Marketing and Distribution—Admiral Shares | 492 |
Marketing and Distribution—Signal Shares | 471 |
Marketing and Distribution—Institutional Shares | 1,134 |
Marketing and Distribution—Institutional Plus Shares | 72 |
Marketing and Distribution—ETF Shares | 530 |
Custodian Fees | 343 |
Shareholders’ Reports—Investor Shares | 78 |
Shareholders’ Reports—Admiral Shares | 72 |
Shareholders’ Reports—Signal Shares | 10 |
Shareholders’ Reports—Institutional Shares | 47 |
Shareholders’ Reports—Institutional Plus Shares | — |
Shareholders’ Reports—ETF Shares | 50 |
Trustees’ Fees and Expenses | 14 |
Total Expenses | 17,385 |
Net Investment Income | 160,801 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 1,689,706 |
Futures Contracts | (43) |
Realized Net Gain (Loss) | 1,689,663 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 315,041 |
Futures Contracts | 306 |
Change in Unrealized Appreciation (Depreciation) | 315,347 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,165,811 |
1 Interest income from an affiliated company of the fund was $37,000.
See accompanying Notes, which are an integral part of the Financial Statements.
37
Mid-Cap Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 160,801 | 298,540 |
Realized Net Gain (Loss) | 1,689,663 | 523,034 |
Change in Unrealized Appreciation (Depreciation) | 315,347 | 4,336,792 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,165,811 | 5,158,366 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (523) | (59,374) |
Admiral Shares | (874) | (67,510) |
Signal Shares | (435) | (34,170) |
Institutional Shares | (1,043) | (96,109) |
Institutional Plus Shares | (237) | (5,114) |
ETF Shares | (468) | (39,719) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (3,580) | (301,996) |
Capital Share Transactions | ||
Investor Shares | (797,452) | (2,655,777) |
Admiral Shares | 143,489 | 3,143,756 |
Signal Shares | 776,550 | (69,360) |
Institutional Shares | (923,648) | 302,287 |
Institutional Plus Shares | 1,798,760 | 439,890 |
ETF Shares | 303,196 | 556,238 |
Net Increase (Decrease) from Capital Share Transactions | 1,300,895 | 1,717,034 |
Total Increase (Decrease) | 3,463,126 | 6,573,404 |
Net Assets | ||
Beginning of Period | 26,059,632 | 19,486,228 |
End of Period1 | 29,522,758 | 26,059,632 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $129,970,000 and ($27,251,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
38
Mid-Cap Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $20.31 | $16.36 | $11.80 | $20.70 | $19.78 | $17.63 |
Investment Operations | ||||||
Net Investment Income | .105 | .214 | .171 | .224 | .269 | .253 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.517 | 3.951 | 4.571 | (8.894) | .918 | 2.144 |
Total from Investment Operations | 1.622 | 4.165 | 4.742 | (8.670) | 1.187 | 2.397 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.215) | (.182) | (.230) | (.267) | (.247) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.215) | (.182) | (.230) | (.267) | (.247) |
Net Asset Value, End of Period | $21.93 | $20.31 | $16.36 | $11.80 | $20.70 | $19.78 |
Total Return1 | 7.99% | 25.46% | 40.22% | -41.82% | 6.02% | 13.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,244 | $5,602 | $6,789 | $4,652 | $8,075 | $7,677 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.25% | 0.26% | 0.27% | 0.22% | 0.21% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.01% | 1.25% | 1.32% | 1.36% | 1.30% | 1.43% |
Portfolio Turnover Rate2 | 19% | 16% | 21% | 24% | 19% | 18% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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
Admiral Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $92.17 | $74.23 | $53.49 | $93.93 | $89.73 | $79.98 |
Investment Operations | ||||||
Net Investment Income | .556 | 1.049 | .855 | 1.099 | 1.327 | 1.226 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.907 | 17.946 | 20.782 | (40.405) | 4.188 | 9.725 |
Total from Investment Operations | 7.463 | 18.995 | 21.637 | (39.306) | 5.515 | 10.951 |
Distributions | ||||||
Dividends from Net Investment Income | (.013) | (1.055) | (.897) | (1.134) | (1.315) | (1.201) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.013) | (1.055) | (.897) | (1.134) | (1.315) | (1.201) |
Net Asset Value, End of Period | $99.62 | $92.17 | $74.23 | $53.49 | $93.93 | $89.73 |
Total Return | 8.10% | 25.59% | 40.48% | -41.78% | 6.17% | 13.69% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,675 | $6,036 | $2,184 | $1,601 | $2,975 | $4,075 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.11% | 0.10% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.16% | 1.39% | 1.45% | 1.47% | 1.41% | 1.52% |
Portfolio Turnover Rate1 | 19% | 16% | 21% | 24% | 19% | 18% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Mid-Cap Index Fund
Financial Highlights
Signal Shares
Six Months | March 30, | ||||
Ended | 20071 to | ||||
June 30, | Year Ended December 31, | Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $29.09 | $23.43 | $16.89 | $29.66 | $29.63 |
Investment Operations | |||||
Net Investment Income | .176 | .341 | .271 | .349 | .300 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 2.178 | 5.662 | 6.552 | (12.759) | .138 |
Total from Investment Operations | 2.354 | 6.003 | 6.823 | (12.410) | .438 |
Distributions | |||||
Dividends from Net Investment Income | (.004) | (.343) | (.283) | (.360) | (.408) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.004) | (.343) | (.283) | (.360) | (.408) |
Net Asset Value, End of Period | $31.44 | $29.09 | $23.43 | $16.89 | $29.66 |
Total Return | 8.09% | 25.62% | 40.43% | -41.78% | 1.50% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $3,848 | $2,831 | $2,346 | $1,609 | $2,458 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.11% | 0.10%2 |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.16% | 1.39% | 1.45% | 1.47% | 1.41%2 |
Portfolio Turnover Rate3 | 19% | 16% | 21% | 24% | 19% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
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.
41
Mid-Cap Index Fund
Financial Highlights
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $20.36 | $16.40 | $11.82 | $20.76 | $19.83 | $17.67 |
Investment Operations | ||||||
Net Investment Income | .126 | .247 | .197 | .250 | .300 | .286 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.527 | 3.962 | 4.588 | (8.933) | .928 | 2.149 |
Total from Investment Operations | 1.653 | 4.209 | 4.785 | (8.683) | 1.228 | 2.435 |
Distributions | ||||||
Dividends from Net Investment Income | (.003) | (.249) | (.205) | (.257) | (.298) | (.275) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.003) | (.249) | (.205) | (.257) | (.298) | (.275) |
Net Asset Value, End of Period | $22.01 | $20.36 | $16.40 | $11.82 | $20.76 | $19.83 |
Total Return | 8.12% | 25.67% | 40.51% | -41.76% | 6.22% | 13.78% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,479 | $7,795 | $5,960 | $3,820 | $6,162 | $4,633 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.18% | 1.43% | 1.51% | 1.51% | 1.44% | 1.57% |
Portfolio Turnover Rate1 | 19% | 16% | 21% | 24% | 19% | 18% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Mid-Cap Index Fund
Financial Highlights
Institutional Plus Shares
Six Months | Dec. 15, | |
Ended | 20101 to | |
June 30, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2011 | 2010 |
Net Asset Value, Beginning of Period | $100.40 | $99.45 |
Investment Operations | ||
Net Investment Income | .630 | .0792 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.525 | 2.078 |
Total from Investment Operations | 8.155 | 2.157 |
Distributions | ||
Dividends from Net Investment Income | (.015) | (1.207) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.015) | (1.207) |
Net Asset Value, End of Period | $108.54 | $100.40 |
Total Return | 8.12% | 2.17% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $2,321 | $440 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06%3 |
Ratio of Net Investment Income to Average Net Assets | 1.20% | 1.45%3 |
Portfolio Turnover Rate4 | 19% | 16% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
43
Mid-Cap Index Fund
Financial Highlights
ETF Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $74.42 | $59.97 | $43.21 | $75.90 | $72.48 | $64.61 |
Investment Operations | ||||||
Net Investment Income | .449 | .882 | .696 | .895 | 1.042 | .992 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.581 | 14.454 | 16.794 | (32.656) | 3.403 | 7.851 |
Total from Investment Operations | 6.030 | 15.336 | 17.490 | (31.761) | 4.445 | 8.843 |
Distributions | ||||||
Dividends from Net Investment Income | (.010) | (.886) | (.730) | (.929) | (1.025) | (.973) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.010) | (.886) | (.730) | (.929) | (1.025) | (.973) |
Net Asset Value, End of Period | $80.44 | $74.42 | $59.97 | $43.21 | $75.90 | $72.48 |
Total Return | 8.10% | 25.57% | 40.49% | -41.79% | 6.14% | 13.69% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,956 | $3,356 | $2,207 | $1,113 | $1,087 | $1,582 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.12% | 0.13% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.16% | 1.39% | 1.45% | 1.46% | 1.38% | 1.52% |
Portfolio Turnover Rate1 | 19% | 16% | 21% | 24% | 19% | 18% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
44
Mid-Cap Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers six classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, Institutional Shares, and Institutional Plus Shares are designed for 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 the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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.
45
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 fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $4,739,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.90% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2011, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 29,479,739 | — | — |
Temporary Cash Investments | 171,397 | 1,000 | — |
Futures Contracts—Assets1 | 43 | — | — |
Total | 29,651,179 | 1,000 | — |
1 Represents variation margin on the last day of the reporting period. |
46
Mid-Cap Index Fund
D. At June 30, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P MidCap Index | September 2011 | 80 | 7,812 | 355 |
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, 2011, the fund realized $626,661,000 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, 2010, the fund had available capital loss carryforwards totaling $3,627,445,000 to offset future net capital gains of $14,378,000 through December 31, 2011, $63,490,000 through December 31, 2014, $1,194,245,000 through December 31, 2016, $1,793,234,000 through December 31, 2017, and $562,098,000 through December 31, 2018. In addition, the fund realized losses of $158,499,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $24,223,006,000. Net unrealized appreciation of investment securities for tax purposes was $5,429,130,000, consisting of unrealized gains of $6,734,081,000 on securities that had risen in value since their purchase and $1,304,951,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2011, the fund purchased $5,634,622,000 of investment securities and sold $4,201,850,000 of investment securities, other than temporary cash investments.
47
Mid-Cap Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 798,561 | 37,312 | 1,743,914 | 98,135 |
Issued in Lieu of Cash Distributions | 504 | 24 | 56,226 | 2,771 |
Redeemed | (1,596,517) | (74,139) | (4,455,917) | (239,889) |
Net Increase (Decrease)—Investor Shares | (797,452) | (36,803) | (2,655,777) | (138,983) |
Admiral Shares | ||||
Issued | 585,468 | 6,057 | 3,454,685 | 39,996 |
Issued in Lieu of Cash Distributions | 789 | 8 | 61,091 | 663 |
Redeemed | (442,768) | (4,538) | (372,020) | (4,597) |
Net Increase (Decrease)—Admiral Shares | 143,489 | 1,527 | 3,143,756 | 36,062 |
Signal Shares | ||||
Issued | 1,361,774 | 44,107 | 891,891 | 34,656 |
Issued in Lieu of Cash Distributions | 366 | 12 | 29,022 | 998 |
Redeemed | (585,590) | (19,056) | (990,273) | (38,445) |
Net Increase (Decrease)—Signal Shares | 776,550 | 25,063 | (69,360) | (2,791) |
Institutional Shares | ||||
Issued | 1,385,135 | 64,817 | 2,012,186 | 112,232 |
Issued in Lieu of Cash Distributions | 996 | 47 | 92,347 | 4,539 |
Redeemed | (2,309,779) | (107,899) | (1,802,246) | (97,229) |
Net Increase (Decrease)—Institutional Shares | (923,648) | (43,035) | 302,287 | 19,542 |
Institutional Plus Shares1 | ||||
Issued | 1,997,455 | 18,877 | 445,711 | 4,436 |
Issued in Lieu of Cash Distributions | 237 | 2 | 5,114 | 51 |
Redeemed | (198,932) | (1,870) | (10,935) | (108) |
Net Increase (Decrease)—Institutional Plus Shares | 1,798,760 | 17,009 | 439,890 | 4,379 |
ETF Shares | ||||
Issued | 1,763,399 | 21,979 | 2,719,879 | 40,797 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,460,203) | (17,900) | (2,163,641) | (32,500) |
Net Increase (Decrease)—ETF Shares | 303,196 | 4,079 | 556,238 | 8,297 |
1 Inception date was December 15, 2010, for Institutional Plus Shares. |
H. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
48
Mid-Cap Growth Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | |||
Investor | ETF | ||
Shares | Shares | ||
Ticker Symbol | VMGIX | VOT | |
Expense Ratio1 | 0.26% | 0.12% | |
30-Day SEC Yield | 0.20% | 0.34% | |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Mid Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 239 | 237 | 3,745 |
Median Market Cap | $7.5B | $7.5B | $30.8B |
Price/Earnings Ratio | 26.9x | 27.0x | 17.1x |
Price/Book Ratio | 3.8x | 3.8x | 2.2x |
Return on Equity | 17.9% | 17.8% | 19.1% |
Earnings Growth Rate | 11.0% | 11.1% | 5.8% |
Dividend Yield | 0.4% | 0.4% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 42% | — | — |
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 | 20.7% | 20.7% | 12.2% |
Consumer Staples | 3.3 | 3.3 | 9.7 |
Energy | 13.5 | 13.2 | 11.2 |
Financials | 4.9 | 4.9 | 15.4 |
Health Care | 16.8 | 16.9 | 11.3 |
Industrials | 12.9 | 12.9 | 11.6 |
Information | |||
Technology | 19.3 | 19.4 | 18.4 |
Materials | 7.2 | 7.2 | 4.4 |
Telecommunication | |||
Services | 1.3 | 1.3 | 2.6 |
Utilities | 0.1 | 0.2 | 3.2 |
Volatility Measures | ||
DJ | ||
MSCI US | U.S. Total | |
Mid Cap | Market | |
Growth Index | Index | |
R-Squared | 1.00 | 0.91 |
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) | ||
El Paso Corp. | Oil & Gas Storage & | |
Transportation | 1.1% | |
Netflix Inc. | Internet Retail | 1.1 |
Green Mountain Coffee | Packaged Foods & | |
Roasters Inc. | Meats | 0.9 |
AmerisourceBergen | Health Care | |
Corp. Class A | Distributors | 0.9 |
Consol Energy Inc. | Coal & Consumable | |
Fuels | 0.9 | |
Mylan Inc. | Pharmaceuticals | 0.9 |
Starwood Hotels & | Hotels, Resorts & | |
Resorts Worldwide Inc. | Cruise Lines | 0.9 |
FMC Technologies Inc. | Oil & Gas | |
Equipment & | ||
Services | 0.9 | |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 0.9 |
CF Industries Holdings | Fertilizers & | |
Inc. | Agricultural | |
Chemicals | 0.8 | |
Top Ten | 9.3% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx51x1.jpg)
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the fund’s annualized expense ratios were 0.24% for Investor Shares and 0.10% for ETF Shares.
49
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 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, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx52x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Since | |
Date | Year | Inception | |
Investor Shares | 8/24/2006 | 45.41% | 6.57% |
ETF Shares | 8/17/2006 | ||
Market Price | 45.70 | 6.39 | |
Net Asset Value | 45.64 | 6.38 |
See Financial Highlights for dividend and capital gains information.
50
Mid-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%) | |||
Consumer Discretionary (20.6%) | |||
* | Netflix Inc. | 100,968 | 26,523 |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 386,170 | 21,641 | |
Harley-Davidson Inc. | 473,262 | 19,390 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 62,368 | 19,221 | |
Ross Stores Inc. | 239,260 | 19,169 | |
Tiffany & Co. | 241,229 | 18,941 | |
* | O’Reilly Automotive Inc. | 283,539 | 18,575 |
Virgin Media Inc. | 614,681 | 18,397 | |
* | BorgWarner Inc. | 224,504 | 18,138 |
* | Dollar Tree Inc. | 251,632 | 16,764 |
* | Sirius XM Radio Inc. | 7,510,391 | 16,448 |
Cablevision Systems Corp. | |||
Class A | 430,316 | 15,582 | |
* | CarMax Inc. | 453,212 | 14,988 |
Family Dollar Stores Inc. | 253,908 | 13,345 | |
* | Fossil Inc. | 104,509 | 12,303 |
Interpublic Group of Cos. | |||
Inc. | 983,005 | 12,288 | |
Abercrombie & Fitch Co. | 175,993 | 11,777 | |
Expedia Inc. | 399,385 | 11,578 | |
* | Liberty Media Corp. - | ||
Capital | 134,262 | 11,513 | |
* | Apollo Group Inc. Class A | 257,951 | 11,267 |
* | Lululemon Athletica Inc. | 99,867 | 11,167 |
PetSmart Inc. | 236,266 | 10,719 | |
International Game | |||
Technology | 600,425 | 10,555 | |
Tractor Supply Co. | 145,972 | 9,763 | |
Advance Auto Parts Inc. | 164,631 | 9,629 | |
Scripps Networks | |||
Interactive Inc. Class A | 187,481 | 9,164 | |
* | Goodyear Tire & Rubber | ||
Co. | 488,227 | 8,188 | |
* | TRW Automotive | ||
Holdings Corp. | 136,041 | 8,030 |
Market | |||
Value | |||
Shares | ($000) | ||
DeVry Inc. | 132,126 | 7,813 | |
* | Liberty Media Corp. - Starz | 98,693 | 7,426 |
* | Urban Outfitters Inc. | 263,691 | 7,423 |
* | LKQ Corp. | 278,309 | 7,261 |
* | Dick’s Sporting Goods Inc. | 184,129 | 7,080 |
* | Liberty Global Inc. Class A | 147,939 | 6,663 |
* | Liberty Global Inc. | 140,053 | 5,980 |
* | MGM Resorts International | 446,675 | 5,901 |
Tupperware Brands Corp. | 81,950 | 5,527 | |
Phillips-Van Heusen Corp. | 79,072 | 5,177 | |
Weight Watchers | |||
International Inc. | 66,246 | 5,000 | |
Autoliv Inc. | 62,786 | 4,926 | |
* | NVR Inc. | 5,643 | 4,094 |
* | ITT Educational Services Inc. | 48,408 | 3,787 |
* | Royal Caribbean Cruises Ltd. | 99,055 | 3,728 |
Guess? Inc. | 84,372 | 3,549 | |
*,^ | AutoNation Inc. | 90,129 | 3,300 |
Harman International | |||
Industries Inc. | 70,223 | 3,200 | |
* | Pulte Group Inc. | 346,579 | 2,655 |
Williams-Sonoma Inc. | 66,750 | 2,436 | |
* | Lamar Advertising Co. | ||
Class A | 81,145 | 2,221 | |
* | Toll Brothers Inc. | 105,832 | 2,195 |
* | Hyatt Hotels Corp. Class A | 31,395 | 1,281 |
* | Clear Channel Outdoor | ||
Holdings Inc. Class A | 50,893 | 646 | |
514,332 | |||
Consumer Staples (3.2%) | |||
* | Green Mountain Coffee | ||
Roasters Inc. | 256,518 | 22,897 | |
Whole Foods Market Inc. | 296,431 | 18,809 | |
Herbalife Ltd. | 237,315 | 13,679 | |
* | Hansen Natural Corp. | 151,908 | 12,297 |
* | Energizer Holdings Inc. | 141,917 | 10,269 |
Hormel Foods Corp. | 103,364 | 3,081 | |
81,032 |
51
Mid-Cap Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Energy (13.5%) | |||
El Paso Corp. | 1,416,252 | 28,608 | |
Consol Energy Inc. | 454,597 | 22,039 | |
* | FMC Technologies Inc. | 482,829 | 21,626 |
Pioneer Natural | |||
Resources Co. | 210,531 | 18,857 | |
* | Concho Resources Inc. | 196,675 | 18,065 |
Range Resources Corp. | 322,488 | 17,898 | |
* | Denbury Resources Inc. | 803,131 | 16,063 |
* | Petrohawk Energy Corp. | 607,730 | 14,993 |
QEP Resources Inc. | 354,250 | 14,818 | |
Helmerich & Payne Inc. | 213,662 | 14,127 | |
Cabot Oil & Gas Corp. | 209,489 | 13,891 | |
* | Whiting Petroleum Corp. | 237,333 | 13,507 |
Arch Coal Inc. | 423,607 | 11,293 | |
Sunoco Inc. | 242,367 | 10,109 | |
Core Laboratories NV | 90,498 | 10,094 | |
SM Energy Co. | 127,389 | 9,361 | |
* | McDermott International | ||
Inc. | 469,049 | 9,292 | |
* | Newfield Exploration Co. | 134,923 | 9,177 |
Oceaneering International | |||
Inc. | 217,449 | 8,807 | |
* | Dresser-Rand Group Inc. | 161,615 | 8,687 |
Holly Corp. | 120,329 | 8,351 | |
* | SandRidge Energy Inc. | 742,793 | 7,918 |
* | Continental Resources Inc. | 90,597 | 5,881 |
EXCO Resources Inc. | 258,537 | 4,563 | |
* | Tesoro Corp. | 187,451 | 4,295 |
* | Kinder Morgan | ||
Management LLC | 59,309 | 3,890 | |
* | Forest Oil Corp. | 141,276 | 3,773 |
* | Cobalt International | ||
Energy Inc. | 234,209 | 3,192 | |
* | Quicksilver Resources Inc. | 188,849 | 2,787 |
* | Cameron International | ||
Corp. | 1 | — | |
335,962 | |||
Financials (4.9%) | |||
* | IntercontinentalExchange | ||
Inc. | 147,457 | 18,389 | |
* | CB Richard Ellis Group Inc. | ||
Class A | 585,159 | 14,693 | |
Host Hotels & Resorts Inc. | 683,669 | 11,588 | |
* | Affiliated Managers | ||
Group Inc. | 103,622 | 10,513 | |
* | MSCI Inc. Class A | 240,504 | 9,062 |
Moody’s Corp. | 207,376 | 7,953 | |
Eaton Vance Corp. | 236,957 | 7,163 | |
Leucadia National Corp. | 208,610 | 7,114 | |
SEI Investments Co. | 299,159 | 6,734 | |
Brown & Brown Inc. | 243,887 | 6,258 | |
Jones Lang LaSalle Inc. | 55,952 | 5,276 | |
Digital Realty Trust Inc. | 64,451 | 3,982 |
Market | |||
Value | |||
Shares | ($000) | ||
Federal Realty Investment | |||
Trust | 43,448 | 3,701 | |
Janus Capital Group Inc. | 356,426 | 3,365 | |
CBOE Holdings Inc. | 104,739 | 2,577 | |
* | TFS Financial Corp. | 186,475 | 1,805 |
*,^ | St. Joe Co. | 69,968 | 1,458 |
121,631 | |||
Health Care (16.8%) | |||
AmerisourceBergen Corp. | |||
Class A | 550,719 | 22,800 | |
* | Mylan Inc. | 878,227 | 21,666 |
* | Vertex Pharmaceuticals Inc. | 410,773 | 21,356 |
* | Edwards Lifesciences Corp. | 230,712 | 20,113 |
* | Laboratory Corp. of | ||
America Holdings | 204,300 | 19,774 | |
* | Illumina Inc. | 256,385 | 19,267 |
* | Hospira Inc. | 334,855 | 18,973 |
* | Life Technologies Corp. | 361,718 | 18,835 |
CR Bard Inc. | 170,878 | 18,773 | |
* | Waters Corp. | 183,451 | 17,564 |
* | Cerner Corp. | 284,802 | 17,404 |
* | Alexion Pharmaceuticals | ||
Inc. | 366,904 | 17,255 | |
* | Varian Medical Systems | ||
Inc. | 241,228 | 16,891 | |
* | DaVita Inc. | 192,871 | 16,705 |
Perrigo Co. | 166,974 | 14,672 | |
* | Henry Schein Inc. | 184,619 | 13,217 |
* | Dendreon Corp. | 296,261 | 11,685 |
* | Mettler-Toledo | ||
International Inc. | 64,852 | 10,939 | |
DENTSPLY International | |||
Inc. | 285,622 | 10,876 | |
* | ResMed Inc. | 308,077 | 9,535 |
* | Human Genome Sciences | ||
Inc. | 379,788 | 9,320 | |
* | IDEXX Laboratories Inc. | 115,153 | 8,931 |
* | Regeneron | ||
Pharmaceuticals Inc. | 141,086 | 8,001 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 382,106 | 7,420 | |
* | Covance Inc. | 121,379 | 7,206 |
* | Gen-Probe Inc. | 96,939 | 6,703 |
Patterson Cos. Inc. | 197,333 | 6,490 | |
* | CareFusion Corp. | 224,902 | 6,111 |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 117,753 | 4,730 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 38,778 | 4,629 | |
Warner Chilcott plc | |||
Class A | 182,581 | 4,406 | |
Lincare Holdings Inc. | 67,910 | 1,988 | |
* | Charles River Laboratories | ||
International Inc. | 48,334 | 1,965 |
52
Mid-Cap Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Community Health | ||
Systems Inc. | 65,398 | 1,679 | |
417,879 | |||
Industrials (12.9%) | |||
Fastenal Co. | 562,851 | 20,257 | |
Joy Global Inc. | 210,118 | 20,012 | |
WW Grainger Inc. | 118,532 | 18,212 | |
Roper Industries Inc. | 191,522 | 15,954 | |
* | Stericycle Inc. | 162,960 | 14,523 |
AMETEK Inc. | 323,044 | 14,505 | |
Bucyrus International Inc. | |||
Class A | 154,612 | 14,172 | |
Textron Inc. | 554,611 | 13,094 | |
Iron Mountain Inc. | 362,063 | 12,343 | |
Flowserve Corp. | 111,926 | 12,300 | |
* | Kansas City Southern | 206,256 | 12,237 |
* | Jacobs Engineering | ||
Group Inc. | 253,878 | 10,980 | |
* | AGCO Corp. | 189,710 | 9,364 |
JB Hunt Transport | |||
Services Inc. | 195,071 | 9,186 | |
Donaldson Co. Inc. | 146,566 | 8,894 | |
* | Verisk Analytics Inc. | ||
Class A | 244,415 | 8,462 | |
* | Navistar International Corp. | 137,516 | 7,764 |
* | Foster Wheeler AG | 250,870 | 7,621 |
Robert Half International | |||
Inc. | 279,238 | 7,548 | |
Dun & Bradstreet Corp. | 99,824 | 7,541 | |
* | IHS Inc. Class A | 83,956 | 7,004 |
* | Sensata Technologies | ||
Holding NV | 175,179 | 6,595 | |
Pall Corp. | 116,278 | 6,538 | |
* | Babcock & Wilcox Co. | 222,771 | 6,173 |
MSC Industrial Direct Co. | |||
Class A | 92,392 | 6,126 | |
* | Nielsen Holdings NV | 179,909 | 5,606 |
* | Copart Inc. | 119,545 | 5,571 |
* | Shaw Group Inc. | 171,523 | 5,182 |
* | Spirit Aerosystems | ||
Holdings Inc. Class A | 216,467 | 4,762 | |
Covanta Holding Corp. | 270,463 | 4,460 | |
Manpower Inc. | 82,549 | 4,429 | |
SPX Corp. | 50,964 | 4,213 | |
* | Owens Corning | 83,626 | 3,123 |
Masco Corp. | 253,895 | 3,054 | |
* | Hertz Global Holdings Inc. | 190,265 | 3,021 |
320,826 | |||
Information Technology (19.3%) | |||
* | Teradata Corp. | 336,508 | 20,258 |
* | BMC Software Inc. | 358,862 | 19,630 |
Amphenol Corp. Class A | 353,480 | 19,084 | |
* | NVIDIA Corp. | 1,167,482 | 18,604 |
* | Fiserv Inc. | 293,490 | 18,381 |
Market | |||
Value | |||
Shares | ($000) | ||
* | F5 Networks Inc. | 162,223 | 17,885 |
* | Red Hat Inc. | 387,679 | 17,794 |
* | Autodesk Inc. | 459,979 | 17,755 |
Avago Technologies Ltd. | 421,006 | 15,998 | |
* | Electronic Arts Inc. | 671,800 | 15,855 |
Linear Technology Corp. | 455,812 | 15,051 | |
* | Atmel Corp. | 920,954 | 12,958 |
* | Rovi Corp. | 224,196 | 12,860 |
* | Motorola Mobility | ||
Holdings Inc. | 562,226 | 12,391 | |
* | Informatica Corp. | 212,055 | 12,390 |
* | Akamai Technologies Inc. | 376,063 | 11,835 |
* | Riverbed Technology Inc. | 288,011 | 11,402 |
VeriSign Inc. | 328,304 | 10,985 | |
FLIR Systems Inc. | 318,653 | 10,742 | |
* | Nuance Communications | ||
Inc. | 483,181 | 10,374 | |
* | ANSYS Inc. | 184,392 | 10,081 |
* | SanDisk Corp. | 237,812 | 9,869 |
* | Trimble Navigation Ltd. | 245,495 | 9,731 |
* | TIBCO Software Inc. | 333,362 | 9,674 |
* | Alliance Data Systems | ||
Corp. | 102,721 | 9,663 | |
Xilinx Inc. | 262,228 | 9,563 | |
* | Equinix Inc. | 92,761 | 9,371 |
* | ON Semiconductor Corp. | 888,018 | 9,298 |
Factset Research | |||
Systems Inc. | 88,474 | 9,053 | |
* | Rackspace Hosting Inc. | 207,679 | 8,876 |
* | Skyworks Solutions Inc. | 372,579 | 8,562 |
* | Western Digital Corp. | 232,730 | 8,467 |
* | Advanced Micro | ||
Devices Inc. | 1,170,379 | 8,181 | |
Global Payments Inc. | 160,216 | 8,171 | |
* | Acme Packet Inc. | 112,357 | 7,880 |
* | VeriFone Systems Inc. | 177,457 | 7,870 |
National Semiconductor | |||
Corp. | 314,897 | 7,750 | |
* | Cree Inc. | 219,735 | 7,381 |
* | Avnet Inc. | 153,357 | 4,889 |
* | Dolby Laboratories Inc. | ||
Class A | 107,027 | 4,544 | |
* | Lam Research Corp. | 87,251 | 3,864 |
* | AOL Inc. | 140,084 | 2,782 |
�� | Lender Processing | ||
Services Inc. | 86,911 | 1,817 | |
* | Freescale Semiconductor | ||
Holdings I Ltd. | 96,752 | 1,779 | |
481,348 | |||
Materials (7.1%) | |||
CF Industries Holdings Inc. | 143,203 | 20,288 | |
Sigma-Aldrich Corp. | 245,002 | 17,978 | |
Lubrizol Corp. | 128,712 | 17,282 | |
Celanese Corp. Class A | 313,359 | 16,705 | |
Sherwin-Williams Co. | 183,138 | 15,360 |
53
Mid-Cap Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Walter Energy Inc. | 124,229 | 14,386 | |
Cliffs Natural Resources | |||
Inc. | 145,281 | 13,431 | |
Ball Corp. | 337,129 | 12,966 | |
* | Crown Holdings Inc. | 312,802 | 12,143 |
Allegheny Technologies | |||
Inc. | 131,636 | 8,355 | |
Nalco Holding Co. | 264,579 | 7,358 | |
* | Molycorp Inc. | 117,970 | 7,203 |
Rock-Tenn Co. Class A | 69,904 | 4,637 | |
FMC Corp. | 50,458 | 4,340 | |
Steel Dynamics Inc. | 208,707 | 3,392 | |
Titanium Metals Corp. | 117,911 | 2,160 | |
177,984 | |||
Telecommunication Services (1.3%) | |||
* | NII Holdings Inc. | 340,996 | 14,452 |
* | SBA Communications | ||
Corp. Class A | 230,921 | 8,819 | |
* | MetroPCS | ||
Communications Inc. | 501,585 | 8,632 | |
*,^ | Clearwire Corp. Class A | 271,453 | 1,026 |
32,929 | |||
Utilities (0.1%) | |||
* | Calpine Corp. | 219,428 | 3,539 |
Total Common Stocks | |||
(Cost $2,087,451) | 2,487,462 | ||
Temporary Cash Investment (0.3%) | |||
Money Market Fund (0.3%) | |||
1,2 | Vanguard Market | ||
Liquidity Fund, 0.140% | |||
(Cost $6,774) | 6,773,644 | 6,774 | |
Total Investments (100.0%) | |||
(Cost $2,094,225) | 2,494,236 | ||
Other Assets and Liabilities (0.0%) | |||
Other Assets | 16,740 | ||
Liabilities2 | (17,457) | ||
(717) | |||
Net Assets (100%) | 2,493,519 |
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,400,528 |
Undistributed Net Investment Income | 3,096 |
Accumulated Net Realized Losses | (310,116) |
Unrealized Appreciation (Depreciation) | 400,011 |
Net Assets | 2,493,519 |
Investor Shares—Net Assets | |
Applicable to 43,833,810 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,170,565 |
Net Asset Value Per Share— | |
Investor Shares | $26.70 |
ETF Shares—Net Assets | |
Applicable to 19,460,879 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,322,954 |
Net Asset Value Per Share— | |
ETF Shares | $67.98 |
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 $4,669,000.
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 $4,943,000 of collateral received for securities on loan.
See accompanying Notes, which are an integral part of the Financial Statements.
54
Mid-Cap Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 6,288 |
Interest1 | 4 |
Security Lending | 205 |
Total Income | 6,497 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 139 |
Management and Administrative—Investor Shares | 1,109 |
Management and Administrative—ETF Shares | 343 |
Marketing and Distribution—Investor Shares | 142 |
Marketing and Distribution—ETF Shares | 170 |
Custodian Fees | 52 |
Shareholders’ Reports—Investor Shares | 20 |
Shareholders’ Reports—ETF Shares | 28 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,004 |
Net Investment Income | 4,493 |
Realized Net Gain (Loss) on Investment Securities Sold | 207,929 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (11,582) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 200,840 |
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.
55
Mid-Cap Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,493 | 9,055 |
Realized Net Gain (Loss)�� | 207,929 | 51,868 |
Change in Unrealized Appreciation (Depreciation) | (11,582) | 326,737 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 200,840 | 387,660 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (87) | (3,888) |
ETF Shares | (93) | (5,293) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Total Distributions | (180) | (9,181) |
Capital Share Transactions | ||
Investor Shares | 118,290 | 233,465 |
ETF Shares | 186,975 | 184,112 |
Net Increase (Decrease) from Capital Share Transactions | 305,265 | 417,577 |
Total Increase (Decrease) | 505,925 | 796,056 |
Net Assets | ||
Beginning of Period | 1,987,594 | 1,191,538 |
End of Period1 | 2,493,519 | 1,987,594 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $3,096,000 and ($1,217,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
56
Mid-Cap Growth Index Fund
Financial Highlights
Investor Shares
Six Months | Aug. 24, | |||||
Ended | 20061 to | |||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | |||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $24.46 | $19.05 | $13.43 | $25.50 | $21.78 | $20.00 |
Investment Operations | ||||||
Net Investment Income | .040 | .1042 | .084 | .059 | .0813 | .090 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.202 | 5.408 | 5.629 | (12.065) | 3.686 | 1.770 |
Total from Investment Operations | 2.242 | 5.512 | 5.713 | (12.006) | 3.767 | 1.860 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.102) | (.093) | (.064) | (.047) | (.080) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.102) | (.093) | (.064) | (.047) | (.080) |
Net Asset Value, End of Period | $26.70 | $24.46 | $19.05 | $13.43 | $25.50 | $21.78 |
Total Return4 | 9.17% | 28.93% | 42.54% | -47.07% | 17.30% | 9.30% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,171 | $958 | $546 | $275 | $389 | $24 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.26% | 0.30% | 0.25% | 0.24% | 0.26%5 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.31% | 0.57%2 | 0.55% | 0.37% | 0.33% | 1.00%5 |
Portfolio Turnover Rate6 | 42% | 38% | 43% | 54% | 56% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Inception.
2 Net investment income per share and the ratio of net investment income to average net assets include $0.011 and 0.06%, respectively, resulting from a special dividend from VeriSign Inc. in December 2010.
3 Calculated based on average shares outstanding.
4 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
5 Annualized.
6 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
57
Mid-Cap Growth Index Fund
Financial Highlights
ETF Shares
Six Months | Aug. 17, | |||||
Ended | 20061 to | |||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | |||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $62.23 | $48.45 | $34.12 | $64.85 | $55.35 | $51.55 |
Investment Operations | ||||||
Net Investment Income | .148 | .3262 | .267 | .214 | .2753 | .228 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.607 | 13.776 | 14.353 | (30.717) | 9.378 | 3.783 |
Total from Investment Operations | 5.755 | 14.102 | 14.620 | (30.503) | 9.653 | 4.011 |
Distributions | ||||||
Dividends from Net Investment Income | (.005) | (.322) | (.290) | (.227) | (.153) | (.211) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.005) | (.322) | (.290) | (.227) | (.153) | (.211) |
Net Asset Value, End of Period | $67.98 | $62.23 | $48.45 | $34.12 | $64.85 | $55.35 |
Total Return | 9.25% | 29.11% | 42.85% | -47.02% | 17.44% | 7.78% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,323 | $1,030 | $646 | $413 | $377 | $22 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.12% | 0.13% | 0.13%4 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.45% | 0.71%2 | 0.71% | 0.50% | 0.44% | 1.13%4 |
Portfolio Turnover Rate5 | 42% | 38% | 43% | 54% | 56% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Inception.
2 Net investment income per share and the ratio of net investment income to average net assets include $0.028 and 0.06%, respectively, resulting from a special dividend from VeriSign Inc. in December 2010.
3 Calculated based on average shares outstanding.
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.
58
Mid-Cap Growth Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. 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, 2007–2010), and for the period ended June 30, 2011, 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 fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
5. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
59
Mid-Cap 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, 2011, the fund had contributed capital of $401,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.16% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At June 30, 2011, 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 treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2011, the fund realized $101,961,000 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, 2010, the fund had available capital loss carryforwards totaling $398,186,000 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, $265,769,000 through December 31, 2017, and $83,018,000 through December 31, 2018. In addition, the fund realized losses of $5,204,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $2,094,225,000. Net unrealized appreciation of investment securities for tax purposes was $400,011,000, consisting of unrealized gains of $451,566,000 on securities that had risen in value since their purchase and $51,555,000 in unrealized losses on securities that had fallen in value since their purchase.
60
Mid-Cap Growth Index Fund
E. During the six months ended June 30, 2011, the fund purchased $1,124,289,000 of investment securities and sold $819,594,000 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, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 317,128 | 12,318 | 414,672 | 19,377 |
Issued in Lieu of Cash Distributions | 82 | 3 | 3,641 | 148 |
Redeemed | (198,920) | (7,652) | (184,848) | (9,015) |
Net Increase (Decrease)—Investor Shares | 118,290 | 4,669 | 233,465 | 10,510 |
ETF Shares | ||||
Issued | 522,484 | 7,817 | 579,606 | 10,619 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (335,509) | (4,900) | (395,494) | (7,400) |
Net Increase (Decrease)—ETF Shares | 186,975 | 2,917 | 184,112 | 3,219 |
G. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
61
Mid-Cap Value Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | |||
Investor | ETF | ||
Shares | Shares | ||
Ticker Symbol | VMVIX | VOE | |
Expense Ratio1 | 0.26% | 0.12% | |
30-Day SEC Yield | 1.89% | 2.03% | |
Portfolio Characteristics | |||
DJ | |||
MSCI US | U.S. Total | ||
Mid Cap | Market | ||
Fund | Value Index | Index | |
Number of Stocks | 266 | 266 | 3,745 |
Median Market Cap | $5.8B | $5.8B | $30.8B |
Price/Earnings Ratio | 18.7x | 18.7x | 17.1x |
Price/Book Ratio | 1.6x | 1.6x | 2.2x |
Return on Equity | 11.9% | 11.9% | 19.1% |
Earnings Growth Rate | -0.1% | -0.1% | 5.8% |
Dividend Yield | 2.1% | 2.1% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 38% | — | — |
Short-Term Reserves | 0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
MSCI US | DJ | ||
Mid Cap | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 12.9% | 13.0% | 12.2% |
Consumer Staples | 6.1 | 6.1 | 9.7 |
Energy | 4.8 | 4.7 | 11.2 |
Financials | 28.5 | 28.5 | 15.4 |
Health Care | 5.7 | 5.7 | 11.3 |
Industrials | 10.3 | 10.3 | 11.6 |
Information | |||
Technology | 10.3 | 10.3 | 18.4 |
Materials | 8.2 | 8.2 | 4.4 |
Telecommunication | |||
Services | 1.5 | 1.5 | 2.6 |
Utilities | 11.7 | 11.7 | 3.2 |
Volatility Measures | ||
DJ | ||
MSCI US | U.S. Total | |
Mid Cap | Market | |
Value Index | Index | |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 1.16 |
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) | ||
Humana Inc. | Managed Health | |
Care | 1.1% | |
Dover Corp. | Industrial | |
Machinery | 1.1 | |
Goodrich Corp. | Aerospace & | |
Defense | 1.0 | |
AvalonBay Communities | ||
Inc. | Residential REITs | 0.9 |
Limited Brands Inc. | Apparel Retail | 0.9 |
Bunge Ltd. | Agricultural | |
Products | 0.8 | |
Cooper Industries plc | Electrical | |
Components & | ||
Equipment | 0.8 | |
Coca-Cola Enterprises | ||
Inc. | Soft Drinks | 0.8 |
Mattel Inc. | Leisure Products | 0.8 |
Liberty Media Corp. - | ||
Interactive | Catalog Retail | 0.8 |
Top Ten | 9.0% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx64x1.jpg)
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.24% for Investor Shares and 0.10% for ETF Shares.
62
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 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, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstckmidcapx65x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Since | |
Date | Year | Inception | |
Investor Shares | 8/24/2006 | 31.40% | 4.14% |
ETF Shares | 8/17/2006 | ||
Market Price | 31.62 | 4.15 | |
Net Asset Value | 31.59 | 4.15 |
See Financial Highlights for dividend and capital gains information.
63
Mid-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (12.9%) | |||
Limited Brands Inc. | 385,266 | 14,814 | |
Mattel Inc. | 486,000 | 13,360 | |
* | Liberty Media Corp. - | ||
Interactive | 795,529 | 13,341 | |
Fortune Brands Inc. | 192,464 | 12,273 | |
Genuine Parts Co. | 219,820 | 11,958 | |
Nordstrom Inc. | 243,095 | 11,411 | |
Darden Restaurants Inc. | 192,492 | 9,578 | |
Whirlpool Corp. | 106,080 | 8,626 | |
Wyndham Worldwide Corp. | 241,551 | 8,128 | |
Lear Corp. | 146,695 | 7,845 | |
Hasbro Inc. | 171,723 | 7,544 | |
H&R Block Inc. | 424,693 | 6,812 | |
Newell Rubbermaid Inc. | 404,713 | 6,386 | |
Autoliv Inc. | 80,706 | 6,331 | |
* | GameStop Corp. Class A | 211,118 | 5,631 |
Garmin Ltd. | 162,558 | 5,369 | |
Leggett & Platt Inc. | 203,798 | 4,969 | |
* | Mohawk Industries Inc. | 81,235 | 4,873 |
* | Royal Caribbean Cruises | ||
Ltd. | 127,037 | 4,782 | |
Gannett Co. Inc. | 333,482 | 4,776 | |
DR Horton Inc. | 399,879 | 4,607 | |
Lennar Corp. Class A | 216,351 | 3,927 | |
American Eagle Outfitters | |||
Inc. | 245,033 | 3,124 | |
Williams-Sonoma Inc. | 85,554 | 3,122 | |
Washington Post Co. | |||
Class B | 7,219 | 3,024 | |
* | TRW Automotive | ||
Holdings Corp. | 50,773 | 2,997 | |
* | NVR Inc. | 3,894 | 2,825 |
* | Toll Brothers Inc. | 135,702 | 2,815 |
* | Liberty Global Inc. Class A | 55,102 | 2,482 |
* | Liberty Global Inc. | 52,269 | 2,232 |
Harman International | |||
Industries Inc. | 48,569 | 2,213 |
Market | |||
Value | |||
Shares | ($000) | ||
* | MGM Resorts International | 166,576 | 2,201 |
Tupperware Brands Corp. | 30,566 | 2,062 | |
Phillips-Van Heusen Corp. | 29,421 | 1,926 | |
* | Pulte Group Inc. | 239,179 | 1,832 |
* | Hyatt Hotels Corp. Class A | 40,223 | 1,642 |
Guess? Inc. | 31,335 | 1,318 | |
* | Lamar Advertising Co. | ||
Class A | 30,173 | 826 | |
* | Clear Channel Outdoor | ||
Holdings Inc. Class A | 18,989 | 241 | |
214,223 | |||
Consumer Staples (6.1%) | |||
Bunge Ltd. | 201,989 | 13,927 | |
Coca-Cola Enterprises Inc. | 460,186 | 13,428 | |
Dr Pepper Snapple Group | |||
Inc. | 312,226 | 13,092 | |
JM Smucker Co. | 166,010 | 12,690 | |
Tyson Foods Inc. Class A | 428,636 | 8,324 | |
McCormick & Co. Inc. | 167,900 | 8,323 | |
Church & Dwight Co. Inc. | 198,792 | 8,059 | |
* | Ralcorp Holdings Inc. | 76,552 | 6,628 |
* | Constellation Brands Inc. | ||
Class A | 259,095 | 5,395 | |
* | Smithfield Foods Inc. | 207,872 | 4,546 |
Hormel Foods Corp. | 132,515 | 3,950 | |
* | Dean Foods Co. | 254,788 | 3,126 |
101,488 | |||
Energy (4.8%) | |||
Cimarex Energy Co. | 119,280 | 10,726 | |
EQT Corp. | 197,595 | 10,378 | |
* | Nabors Industries Ltd. | 397,823 | 9,802 |
* | Plains Exploration & | ||
Production Co. | 195,366 | 7,447 | |
* | Rowan Cos. Inc. | 175,877 | 6,826 |
Patterson-UTI Energy Inc. | 214,960 | 6,795 | |
Southern Union Co. | 165,134 | 6,630 | |
* | Newfield Exploration Co. | 93,638 | 6,369 |
Energen Corp. | 100,466 | 5,676 |
64
Mid-Cap Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Kinder Morgan | ||
Management LLC | 76,098 | 4,991 | |
* | Tesoro Corp. | 69,828 | 1,600 |
* | Forest Oil Corp. | 52,454 | 1,401 |
78,641 | |||
Financials (28.5%) | |||
AvalonBay Communities | |||
Inc. | 120,009 | 15,409 | |
Health Care REIT Inc. | 239,934 | 12,580 | |
Lincoln National Corp. | 440,159 | 12,540 | |
NYSE Euronext | 364,093 | 12,477 | |
SLM Corp. | 734,344 | 12,344 | |
Ventas Inc. | 227,103 | 11,971 | |
* | CIT Group Inc. | 265,199 | 11,738 |
KeyCorp | 1,325,302 | 11,040 | |
Unum Group | 431,663 | 10,999 | |
Regions Financial Corp. | 1,753,017 | 10,869 | |
Kimco Realty Corp. | 566,464 | 10,559 | |
Macerich Co. | 181,714 | 9,722 | |
XL Group plc Class A | 433,486 | 9,528 | |
Willis Group Holdings plc | 226,820 | 9,325 | |
Plum Creek Timber Co. | |||
Inc. | 225,659 | 9,148 | |
SL Green Realty Corp. | 110,064 | 9,121 | |
New York Community | |||
Bancorp Inc. | 607,227 | 9,102 | |
Comerica Inc. | 246,458 | 8,520 | |
Host Hotels & Resorts | |||
Inc. | 474,270 | 8,039 | |
Huntington Bancshares | |||
Inc. | 1,203,385 | 7,894 | |
Rayonier Inc. | 113,057 | 7,388 | |
Nationwide Health | |||
Properties Inc. | 176,066 | 7,291 | |
* | Genworth Financial Inc. | ||
Class A | 682,854 | 7,020 | |
Torchmark Corp. | 108,646 | 6,968 | |
People’s United | |||
Financial Inc. | 505,029 | 6,788 | |
Legg Mason Inc. | 201,604 | 6,604 | |
Alexandria Real Estate | |||
Equities Inc. | 84,437 | 6,537 | |
Cincinnati Financial Corp. | 215,936 | 6,301 | |
UDR Inc. | 254,431 | 6,246 | |
Reinsurance Group of | |||
America Inc. Class A | 102,377 | 6,231 | |
Everest Re Group Ltd. | 75,935 | 6,208 | |
PartnerRe Ltd. | 89,471 | 6,160 | |
Zions Bancorporation | 254,804 | 6,118 | |
* | Arch Capital Group Ltd. | 187,946 | 5,999 |
Marshall & Ilsley Corp. | 736,961 | 5,874 | |
Realty Income Corp. | 175,249 | 5,869 | |
Moody’s Corp. | 143,916 | 5,519 | |
WR Berkley Corp. | 167,166 | 5,423 | |
Hudson City Bancorp Inc. | 660,777 | 5,412 |
Market | |||
Value | |||
Shares | ($000) | ||
Liberty Property Trust | 159,717 | 5,204 | |
RenaissanceRe Holdings | |||
Ltd. | 73,668 | 5,153 | |
Digital Realty Trust Inc. | 82,842 | 5,118 | |
* | Markel Corp. | 12,876 | 5,109 |
Assurant Inc. | 139,310 | 5,053 | |
HCC Insurance Holdings | |||
Inc. | 160,253 | 5,048 | |
Regency Centers Corp. | 114,210 | 5,022 | |
Chimera Investment Corp. | 1,431,729 | 4,954 | |
Leucadia National Corp. | 144,831 | 4,939 | |
Duke Realty Corp. | 351,336 | 4,922 | |
Piedmont Office Realty | |||
Trust Inc. Class A | 240,248 | 4,899 | |
Axis Capital Holdings Ltd. | 155,522 | 4,815 | |
Raymond James Financial | |||
Inc. | 149,358 | 4,802 | |
Federal Realty Investment | |||
Trust | 55,677 | 4,742 | |
Fidelity National Financial | |||
Inc. Class A | 295,687 | 4,654 | |
Commerce Bancshares | |||
Inc. | 102,884 | 4,424 | |
Cullen/Frost Bankers Inc. | 76,630 | 4,356 | |
* | NASDAQ OMX Group Inc. | 171,631 | 4,342 |
Transatlantic Holdings Inc. | 86,707 | 4,249 | |
White Mountains | |||
Insurance Group Ltd. | 10,012 | 4,207 | |
Hospitality Properties Trust | 171,723 | 4,164 | |
Old Republic International | |||
Corp. | 343,391 | 4,035 | |
Weingarten Realty | |||
Investors | 159,235 | 4,006 | |
Jefferies Group Inc. | 192,843 | 3,934 | |
American Financial | |||
Group Inc. | 109,537 | 3,909 | |
Assured Guaranty Ltd. | 230,037 | 3,752 | |
City National Corp. | 65,404 | 3,548 | |
First Horizon National | |||
Corp. | 366,413 | 3,496 | |
^ | Federated Investors Inc. | ||
Class B | 130,290 | 3,106 | |
Validus Holdings Ltd. | 88,648 | 2,744 | |
BOK Financial Corp. | 38,017 | 2,082 | |
Jones Lang LaSalle Inc. | 20,853 | 1,966 | |
* | LPL Investment Holdings | ||
Inc. | 37,813 | 1,294 | |
*,^ | St. Joe Co. | 48,319 | 1,007 |
471,936 | |||
Health Care (5.7%) | |||
Humana Inc. | 234,887 | 18,918 | |
* | Watson Pharmaceuticals | ||
Inc. | 175,426 | 12,057 | |
* | Cephalon Inc. | 105,569 | 8,435 |
* | Coventry Health Care Inc. | 208,501 | 7,604 |
65
Mid-Cap Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Hologic Inc. | 363,589 | 7,334 |
Universal Health Services | |||
Inc. Class B | 125,682 | 6,476 | |
* | Kinetic Concepts Inc. | 90,200 | 5,198 |
Omnicare Inc. | 162,692 | 5,188 | |
* | CareFusion Corp. | 155,181 | 4,216 |
* | Alere Inc. | 112,230 | 4,110 |
Pharmaceutical Product | |||
Development Inc. | 152,252 | 4,086 | |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 81,600 | 3,278 | |
Lincare Holdings Inc. | 87,145 | 2,551 | |
* | Community Health | ||
Systems Inc. | 84,009 | 2,157 | |
Warner Chilcott plc Class A | 67,818 | 1,637 | |
* | Charles River Laboratories | ||
International Inc. | 33,346 | 1,356 | |
94,601 | |||
Industrials (10.3%) | |||
Dover Corp. | 260,055 | 17,632 | |
Goodrich Corp. | 175,111 | 16,723 | |
Cooper Industries plc | 229,165 | 13,674 | |
* | United Continental | ||
Holdings Inc. | 457,996 | 10,365 | |
KBR Inc. | 210,898 | 7,949 | |
Pitney Bowes Inc. | 284,098 | 6,531 | |
Cintas Corp. | 182,317 | 6,022 | |
* | Quanta Services Inc. | 294,416 | 5,947 |
Equifax Inc. | 171,143 | 5,942 | |
Timken Co. | 115,796 | 5,836 | |
RR Donnelley & Sons Co. | 287,895 | 5,646 | |
Pentair Inc. | 137,176 | 5,536 | |
Avery Dennison Corp. | 141,566 | 5,469 | |
* | URS Corp. | 112,212 | 5,020 |
Towers Watson & Co. | |||
Class A | 75,759 | 4,978 | |
Hubbell Inc. Class B | 74,366 | 4,830 | |
Pall Corp. | 80,336 | 4,517 | |
* | Terex Corp. | 151,742 | 4,317 |
* | Aecom Technology Corp. | 148,647 | 4,064 |
Ryder System Inc. | 71,302 | 4,054 | |
* | Owens Corning | 107,219 | 4,005 |
Masco Corp. | 325,344 | 3,914 | |
* | Hertz Global Holdings Inc. | 243,910 | 3,873 |
Harsco Corp. | 112,187 | 3,657 | |
Alliant Techsystems Inc. | 46,490 | 3,316 | |
Manpower Inc. | 57,018 | 3,059 | |
SPX Corp. | 35,213 | 2,911 | |
169,787 | |||
Information Technology (10.3%) | |||
Maxim Integrated Products | |||
Inc. | 413,215 | 10,562 | |
Seagate Technology plc | 631,385 | 10,203 | |
Microchip Technology Inc. | 262,693 | 9,959 |
Market | |||
Value | |||
Shares | ($000) | ||
KLA-Tencor Corp. | 233,091 | 9,435 | |
* | Micron Technology Inc. | 1,251,029 | 9,358 |
Computer Sciences Corp. | 216,201 | 8,207 | |
Harris Corp. | 178,398 | 8,039 | |
* | SAIC Inc. | 414,040 | 6,964 |
* | SanDisk Corp. | 165,033 | 6,849 |
* | Flextronics International | ||
Ltd. | 1,059,330 | 6,801 | |
* | Arrow Electronics Inc. | 160,105 | 6,644 |
Xilinx Inc. | 181,708 | 6,627 | |
* | LSI Corp. | 858,707 | 6,114 |
* | Western Digital Corp. | 161,234 | 5,866 |
Jabil Circuit Inc. | 273,371 | 5,522 | |
* | Synopsys Inc. | 208,069 | 5,349 |
* | Lam Research Corp. | 111,744 | 4,948 |
* | IAC/InterActiveCorp | 117,130 | 4,471 |
Total System Services Inc. | 228,744 | 4,250 | |
* | Brocade Communications | ||
Systems Inc. | 655,846 | 4,237 | |
Broadridge Financial | |||
Solutions Inc. | 174,308 | 4,196 | |
* | Ingram Micro Inc. | 218,646 | 3,966 |
* | Avnet Inc. | 106,252 | 3,387 |
* | Lexmark International Inc. | ||
Class A | 109,357 | 3,200 | |
National Semiconductor | |||
Corp. | 117,476 | 2,891 | |
* | MEMC Electronic | ||
Materials Inc. | 320,467 | 2,734 | |
Molex Inc. Class A | 104,772 | 2,250 | |
Molex Inc. | 86,514 | 2,229 | |
Tellabs Inc. | 479,546 | 2,211 | |
Lender Processing | |||
Services Inc. | 60,027 | 1,255 | |
* | AOL Inc. | 51,967 | 1,032 |
169,756 | |||
Materials (8.2%) | |||
Eastman Chemical Co. | 98,680 | 10,072 | |
Cliffs Natural Resources | |||
Inc. | 100,858 | 9,324 | |
United States Steel Corp. | 200,399 | 9,226 | |
Albemarle Corp. | 121,426 | 8,403 | |
MeadWestvaco Corp. | 234,736 | 7,819 | |
Airgas Inc. | 111,528 | 7,811 | |
International Flavors & | |||
Fragrances Inc. | 111,953 | 7,192 | |
Ashland Inc. | 110,216 | 7,122 | |
Vulcan Materials Co. | 179,911 | 6,932 | |
* | Owens-Illinois Inc. | 228,268 | 5,892 |
FMC Corp. | 64,843 | 5,578 | |
Sealed Air Corp. | 222,126 | 5,284 | |
Reliance Steel & | |||
Aluminum Co. | 103,910 | 5,159 | |
Martin Marietta Materials | |||
Inc. | 63,350 | 5,066 |
66
Mid-Cap Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Bemis Co. Inc. | 148,955 | 5,032 | |
Huntsman Corp. | 266,794 | 5,029 | |
Sonoco Products Co. | 139,810 | 4,969 | |
Valspar Corp. | 128,700 | 4,641 | |
Scotts Miracle-Gro Co. | |||
Class A | 64,499 | 3,310 | |
Rock-Tenn Co. Class A | 48,160 | 3,195 | |
Allegheny Technologies | |||
Inc. | 49,080 | 3,115 | |
Steel Dynamics Inc. | 144,030 | 2,341 | |
Greif Inc. Class A | 32,883 | 2,138 | |
Titanium Metals Corp. | 43,861 | 804 | |
135,454 | |||
Telecommunication Services (1.5%) | |||
Frontier Communications | |||
Corp. | 1,385,034 | 11,177 | |
Windstream Corp. | 702,902 | 9,110 | |
Telephone & | |||
Data Systems Inc. | 62,491 | 1,942 | |
Telephone & | |||
Data Systems Inc. - | |||
Special Common Shares | 36,354 | 979 | |
* | United States Cellular | ||
Corp. | 18,273 | 885 | |
24,093 | |||
Utilities (11.7%) | |||
DTE Energy Co. | 236,183 | 11,814 | |
CenterPoint Energy Inc. | 562,529 | 10,885 | |
Oneok Inc. | 141,776 | 10,493 | |
Wisconsin Energy Corp. | 325,845 | 10,215 | |
Constellation Energy | |||
Group Inc. | 264,616 | 10,045 | |
Ameren Corp. | 335,267 | 9,669 | |
Northeast Utilities | 246,062 | 8,654 | |
* | NRG Energy Inc. | 345,021 | 8,481 |
NiSource Inc. | 389,288 | 7,883 | |
American Water Works | |||
Co. Inc. | 244,287 | 7,194 |
Market | ||
Value | ||
Shares | ($000) | |
National Fuel Gas Co. | 97,578 | 7,104 |
CMS Energy Corp. | 351,009 | 6,911 |
OGE Energy Corp. | 135,974 | 6,842 |
Pinnacle West Capital | ||
Corp. | 151,689 | 6,762 |
SCANA Corp. | 169,418 | 6,670 |
NSTAR | 144,382 | 6,639 |
Alliant Energy Corp. | 154,620 | 6,287 |
Pepco Holdings Inc. | 313,748 | 6,159 |
MDU Resources Group | ||
Inc. | 263,169 | 5,921 |
Integrys Energy Group Inc. | 108,782 | 5,639 |
TECO Energy Inc. | 284,590 | 5,376 |
NV Energy Inc. | 327,841 | 5,032 |
DPL Inc. | 166,109 | 5,010 |
UGI Corp. | 154,624 | 4,931 |
* Calpine Corp. | 281,335 | 4,538 |
AGL Resources Inc. | 108,603 | 4,421 |
Aqua America Inc. | 191,948 | 4,219 |
193,794 | ||
Total Common Stocks | ||
(Cost $1,439,427) | 1,653,773 | |
Temporary Cash Investment (0.3%) | ||
Money Market Fund (0.3%) | ||
1,2 Vanguard Market | ||
Liquidity Fund, 0.140% | ||
(Cost $5,396) | 5,396,137 | 5,396 |
Total Investments (100.3%) | ||
(Cost $1,444,823) | 1,659,169 | |
Other Assets and Liabilities (-0.3%) | ||
Other Assets | 6,029 | |
Liabilities2 | (11,161) | |
(5,132) | ||
Net Assets (100%) | 1,654,037 |
67
Mid-Cap Value Index Fund
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,614,740 |
Undistributed Net Investment Income | 13,559 |
Accumulated Net Realized Losses | (188,608) |
Unrealized Appreciation (Depreciation) | 214,346 |
Net Assets | 1,654,037 |
Investor Shares—Net Assets | |
Applicable to 33,656,962 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 749,466 |
Net Asset Value Per Share— | |
Investor Shares | $22.27 |
ETF Shares—Net Assets | |
Applicable to 15,981,669 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 904,571 |
Net Asset Value Per Share— | |
ETF Shares | $56.60 |
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 $1,659,000.
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 $1,743,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
68
Mid-Cap Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 16,068 |
Interest1 | 1 |
Security Lending | 67 |
Total Income | 16,136 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 125 |
Management and Administrative—Investor Shares | 713 |
Management and Administrative—ETF Shares | 219 |
Marketing and Distribution—Investor Shares | 112 |
Marketing and Distribution—ETF Shares | 125 |
Custodian Fees | 29 |
Shareholders’ Reports—Investor Shares | 10 |
Shareholders’ Reports—ETF Shares | 24 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,358 |
Net Investment Income | 14,778 |
Realized Net Gain (Loss) on Investment Securities Sold | 111,285 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (22,685) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 103,378 |
1 Interest income from an affiliated company of the fund was $1,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
69
Mid-Cap Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 14,778 | 25,858 |
Realized Net Gain (Loss) | 111,285 | 59,785 |
Change in Unrealized Appreciation (Depreciation) | (22,685) | 160,809 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 103,378 | 246,452 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (69) | (12,041) |
ETF Shares | (125) | (14,165) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Total Distributions | (194) | (26,206) |
Capital Share Transactions | ||
Investor Shares | 17,883 | 121,110 |
ETF Shares | 104,053 | 45,225 |
Net Increase (Decrease) from Capital Share Transactions | 121,936 | 166,335 |
Total Increase (Decrease) | 225,120 | 386,581 |
Net Assets | ||
Beginning of Period | 1,428,917 | 1,042,336 |
End of Period1 | 1,654,037 | 1,428,917 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $13,559,000 and ($1,025,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
70
Mid-Cap Value Index Fund
Financial Highlights
Investor Shares
Six Months | Aug. 24, | |||||
Ended | 20061 to | |||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | |||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $20.85 | $17.45 | $12.92 | $20.95 | $22.34 | $20.00 |
Investment Operations | ||||||
Net Investment Income | .191 | .371 | .300 | .4662 | .427 | .140 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.231 | 3.403 | 4.551 | (8.156) | (1.407) | 2.340 |
Total from Investment Operations | 1.422 | 3.774 | 4.851 | (7.690) | (.980) | 2.480 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.374) | (.321) | (.340) | (.410) | (.140) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.374) | (.321) | (.340) | (.410) | (.140) |
Net Asset Value, End of Period | $22.27 | $20.85 | $17.45 | $12.92 | $20.95 | $22.34 |
Total Return3 | 6.82% | 21.63% | 37.61% | -36.64% | -4.37% | 12.40% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $749 | $683 | $459 | $217 | $195 | $65 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.26% | 0.30% | 0.25% | 0.24% | 0.26%4 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.77% | 1.99% | 2.14% | 2.73% | 2.48% | 2.50%4 |
Portfolio Turnover Rate5 | 38% | 37% | 47% | 45% | 46% | 16% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Inception.
2 Calculated based on average shares outstanding.
3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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.
71
Mid-Cap Value Index Fund
Financial Highlights
ETF Shares
Six Months | Aug. 17, | |||||
Ended | 20061 to | |||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | |||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $52.97 | $44.31 | $32.80 | $53.16 | $56.67 | $51.00 |
Investment Operations | ||||||
Net Investment Income | .526 | 1.004 | .812 | 1.2612 | 1.133 | .373 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.112 | 8.669 | 11.562 | (20.716) | (3.553) | 5.661 |
Total from Investment Operations | 3.638 | 9.673 | 12.374 | (19.455) | (2.420) | 6.034 |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (1.013) | (.864) | (.905) | (1.090) | (.364) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.008) | (1.013) | (.864) | (.905) | (1.090) | (.364) |
Net Asset Value, End of Period | $56.60 | $52.97 | $44.31 | $32.80 | $53.16 | $56.67 |
Total Return | 6.87% | 21.83% | 37.75% | -36.53% | -4.27% | 11.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $905 | $746 | $583 | $359 | $215 | $46 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.12% | 0.13% | 0.13%3 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.91% | 2.13% | 2.30% | 2.86% | 2.59% | 2.63%3 |
Portfolio Turnover Rate4 | 38% | 37% | 47% | 45% | 46% | 16% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
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.
72
Mid-Cap Value Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
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, 2007–2010), and for the period ended June 30, 2011, 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 fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
5. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $267,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.11% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
73
Mid-Cap Value Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At June 30, 2011, 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 treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2011, the fund realized $46,101,000 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, 2010, the fund had available capital loss carryforwards totaling $237,495,000 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, $125,799,000 through December 31, 2017, and $63,455,000 through December 31, 2018. In addition, the fund realized losses of $8,006,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $1,444,823,000. Net unrealized appreciation of investment securities for tax purposes was $214,346,000, consisting of unrealized gains of $245,804,000 on securities that had risen in value since their purchase and $31,458,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2011, the fund purchased $590,747,000 of investment securities and sold $452,457,000 of investment securities, other than temporary cash investments.
74
Mid-Cap Value Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 142,447 | 6,535 | 344,847 | 18,314 |
Issued in Lieu of Cash Distributions | 63 | 3 | 10,842 | 521 |
Redeemed | (124,627) | (5,642) | (234,579) | (12,402) |
Net Increase (Decrease)—Investor Shares | 17,883 | 896 | 121,110 | 6,433 |
ETF Shares | ||||
Issued | 254,004 | 4,505 | 390,154 | 8,222 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (149,951) | (2,600) | (344,929) | (7,300) |
Net Increase (Decrease)—ETF Shares | 104,053 | 1,905 | 45,225 | 922 |
G. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
75
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
76
Six Months Ended June 30, 2011 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2010 | 6/30/2011 | Period | |
Based on Actual Fund Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,074.15 | $1.23 |
Admiral Shares | 1,000.00 | 1,074.86 | 0.51 |
Signal Shares | 1,000.00 | 1,074.99 | 0.51 |
Institutional Shares | 1,000.00 | 1,075.15 | 0.41 |
ETF Shares | 1,000.00 | 1,074.70 | 0.51 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,079.87 | $1.29 |
Admiral Shares | 1,000.00 | 1,080.97 | 0.52 |
Signal Shares | 1,000.00 | 1,080.93 | 0.52 |
Institutional Shares | 1,000.00 | 1,081.19 | 0.41 |
Institutional Plus Shares | 1,000.00 | 1,081.23 | 0.31 |
ETF Shares | 1,000.00 | 1,081.03 | 0.52 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,091.66 | $1.24 |
ETF Shares | 1,000.00 | 1,092.48 | 0.52 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,068.20 | $1.23 |
ETF Shares | 1,000.00 | 1,068.68 | 0.51 |
77
Six Months Ended June 30, 2011 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2010 | 6/30/2011 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Signal Shares | 1,000.00 | 1,024.30 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.30 | 0.50 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.55 | $1.25 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Signal Shares | 1,000.00 | 1,024.30 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Institutional Plus Shares | 1,000.00 | 1,024.50 | 0.30 |
ETF Shares | 1,000.00 | 1,024.30 | 0.50 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
ETF Shares | 1,000.00 | 1,024.30 | 0.50 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
ETF Shares | 1,000.00 | 1,024.30 | 0.50 |
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, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; for the Mid-Cap Index Fund, 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Mid-Cap Growth Index Fund, 0.24% for Investor Shares and 0.10% for ETF Shares; and for the Mid-Cap Value Index Fund, 0.24% for Investor Shares and 0.10% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period. This table does not include data for funds or share classes of funds with fewer than six months of history.
78
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 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 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 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 report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the funds’ advisory fee rates were also well below their peer-group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ 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.
79
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 securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
80
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.
81
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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 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School; Chair of the Investment Committee | ||
of HighVista Strategies LLC (private investment firm). | Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | ||
Alfred M. Rankin, Jr. | Occupation(s) During the Past Five Years: Managing | |
Born 1941. Trustee Since January 1993. Principal | Director of The Vanguard Group, Inc., since 2006; | |
Occupation(s) During the Past Five Years: Chairman, | General Counsel of The Vanguard Group since 2005; | |
President, and Chief Executive Officer of NACCO | Secretary of The Vanguard Group and of each of the | |
Industries, Inc. (forklift trucks/housewares/lignite); | investment companies served by The Vanguard Group | |
Director of Goodrich Corporation (industrial products/ | since 2005; Director and Senior Vice President of | |
aircraft systems and services) and the National | Vanguard Marketing Corporation since 2005; | |
Association of Manufacturers; Chairman of the | Principal of The Vanguard Group (1997–2006). | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | ||
the Board of The Cleveland Museum of Art. | Vanguard Senior Management Team | |
Peter F. Volanakis | R. Gregory Barton | Michael S. Miller |
Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | James M. Norris |
Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | George U. Sauter |
Incorporated (communications equipment); Director of | Martha G. King | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | ||
Business Administration at Dartmouth College. | Chairman Emeritus and Senior Advisor | |
John J. Brennan | ||
Executive Officers | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | ||
Occupation(s) During the Past Five Years: Principal | Founder | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | John C. Bogle | |
Group since 2010; Assistant Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard | ||
Group (2001–2010). |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | The funds or securities referred to herein are not |
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With Hearing Impairment > 800-749-7273 | prospectus or the Statement of Additional Information |
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 | S&P® is a registered trademark of Standard & Poor’s |
the fund’s current prospectus. | Financial Services LLC (“S&P”) and has been licensed |
for use by The Vanguard Group, Inc. The Vanguard | |
All comparative mutual fund data are from Lipper Inc. or | mutual funds are not sponsored, endorsed, sold, or |
Morningstar, Inc., unless otherwise noted. | promoted by S&P or its Affiliates, and S&P and its |
You can obtain a free copy of Vanguard’s proxy voting | Affiliates make no representation, warranty, or |
guidelines by visiting vanguard.com/proxyreporting or by | condition regarding the advisability of buying, selling, |
calling Vanguard at 800-662-2739. The guidelines are | or holding units/shares in the funds. |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2011 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q982 082011 |
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.9%)1 | |||
Consumer Discretionary (14.6%) | |||
* | General Motors Co. | 4,249,500 | 129,015 |
* | Las Vegas Sands Corp. | 2,442,650 | 103,104 |
* | BorgWarner Inc. | 763,975 | 61,722 |
* | Sirius XM Radio Inc. | 27,529,420 | 60,289 |
* | Dollar Tree Inc. | 853,034 | 56,829 |
* | Liberty Global Inc. | 1,286,320 | 54,926 |
* | Charter Communications Inc. Class A | 799,200 | 43,365 |
* | DISH Network Corp. Class A | 1,396,120 | 42,819 |
* | Fossil Inc. | 348,387 | 41,012 |
Lear Corp. | 733,409 | 39,223 | |
PetSmart Inc. | 791,047 | 35,890 | |
* | Royal Caribbean Cruises Ltd. | 952,151 | 35,839 |
* | TRW Automotive Holdings Corp. | 602,862 | 35,587 |
Tractor Supply Co. | 504,028 | 33,709 | |
* | Tempur-Pedic International Inc. | 477,617 | 32,392 |
Advance Auto Parts Inc. | 534,655 | 31,272 | |
Phillips-Van Heusen Corp. | 469,604 | 30,745 | |
Gentex Corp. | 995,437 | 30,092 | |
* | NVR Inc. | 41,036 | 29,771 |
Tupperware Brands Corp. | 435,356 | 29,365 | |
* | Signet Jewelers Ltd. | 606,199 | 28,376 |
Williams-Sonoma Inc. | 731,719 | 26,700 | |
* | Panera Bread Co. Class A | 212,281 | 26,675 |
Polaris Industries Inc. | 239,940 | 26,674 | |
* | LKQ Corp. | 1,015,512 | 26,495 |
* | MGM Resorts International | 1,941,232 | 25,644 |
Foot Locker Inc. | 1,073,751 | 25,512 | |
* | Dick's Sporting Goods Inc. | 636,923 | 24,490 |
* | Visteon Corp. | 356,474 | 24,386 |
* | Deckers Outdoor Corp. | 269,989 | 23,797 |
* | Mohawk Industries Inc. | 393,158 | 23,586 |
Jarden Corp. | 640,364 | 22,099 | |
* | Toll Brothers Inc. | 1,021,693 | 21,190 |
Sotheby's | 471,629 | 20,516 | |
Service Corp. International | 1,668,373 | 19,487 | |
* | Hyatt Hotels Corp. Class A | 473,556 | 19,331 |
* | Under Armour Inc. Class A | 249,093 | 19,257 |
* | Hanesbrands Inc. | 673,875 | 19,239 |
* | Penn National Gaming Inc. | 468,010 | 18,880 |
Guess? Inc. | 445,685 | 18,745 | |
Chico's FAS Inc. | 1,230,073 | 18,734 | |
* | Dana Holding Corp. | 1,020,888 | 18,682 |
* | Tenneco Inc. | 422,055 | 18,600 |
* | Liberty Global Inc. Class A | 406,385 | 18,304 |
* | AMC Networks Inc. Class A | 400,600 | 17,426 |
American Eagle Outfitters Inc. | 1,359,500 | 17,334 | |
John Wiley & Sons Inc. Class A | 326,290 | 16,970 | |
Weight Watchers International Inc. | 224,246 | 16,924 | |
* | Ascena Retail Group Inc. | 480,445 | 16,359 |
* | Dollar General Corp. | 475,752 | 16,123 |
* | Warnaco Group Inc. | 307,116 | 16,047 |
* | CROCS Inc. | 617,782 | 15,908 |
* | Ulta Salon Cosmetics & Fragrance Inc. | 242,898 | 15,686 |
Brinker International Inc. | 592,010 | 14,481 | |
Wolverine World Wide Inc. | 346,649 | 14,473 | |
Six Flags Entertainment Corp. | 385,658 | 14,443 | |
Aaron's Inc. | 502,252 | 14,194 | |
Rent-A-Center Inc. | 444,041 | 13,570 | |
Dillard's Inc. Class A | 248,823 | 12,974 | |
* | Saks Inc. | 1,147,562 | 12,818 |
* | Cheesecake Factory Inc. | 406,818 | 12,762 |
1
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Brunswick Corp. | 621,431 | 12,677 | |
* | ITT Educational Services Inc. | 160,801 | 12,581 |
* | Live Nation Entertainment Inc. | 1,093,354 | 12,541 |
* | Carter's Inc. | 403,155 | 12,401 |
* | Iconix Brand Group Inc. | 509,230 | 12,323 |
* | WMS Industries Inc. | 399,797 | 12,282 |
* | Bally Technologies Inc. | 301,075 | 12,248 |
Men's Wearhouse Inc. | 359,436 | 12,113 | |
* | Shutterfly Inc. | 209,393 | 12,023 |
*,^ | Coinstar Inc. | 219,067 | 11,948 |
* | Timberland Co. Class A | 275,017 | 11,817 |
* | Life Time Fitness Inc. | 295,051 | 11,775 |
* | Madison Square Garden Co. Class A | 422,996 | 11,645 |
Vail Resorts Inc. | 251,374 | 11,618 | |
* | Sally Beauty Holdings Inc. | 678,402 | 11,601 |
Wendy's/Arby's Group Inc. Class A | 2,253,044 | 11,423 | |
* | Lamar Advertising Co. Class A | 401,736 | 10,996 |
^ | Strayer Education Inc. | 85,645 | 10,825 |
* | Valassis Communications Inc. | 343,999 | 10,423 |
Hillenbrand Inc. | 437,665 | 10,351 | |
Pool Corp. | 341,057 | 10,167 | |
* | Gaylord Entertainment Co. | 337,655 | 10,130 |
* | DreamWorks Animation SKG Inc. Class A | 495,781 | 9,965 |
Morningstar Inc. | 163,173 | 9,918 | |
* | Aeropostale Inc. | 564,194 | 9,873 |
RadioShack Corp. | 738,600 | 9,831 | |
* | Pier 1 Imports Inc. | 836,956 | 9,684 |
* | JOS A Bank Clothiers Inc. | 192,930 | 9,648 |
* | ANN Inc. | 363,324 | 9,483 |
* | Domino's Pizza Inc. | 370,504 | 9,352 |
* | Career Education Corp. | 438,334 | 9,271 |
* | Steven Madden Ltd. | 245,365 | 9,204 |
* | HSN Inc. | 277,621 | 9,139 |
* | DSW Inc. Class A | 180,562 | 9,138 |
* | Genesco Inc. | 168,664 | 8,787 |
Cooper Tire & Rubber Co. | 440,621 | 8,720 | |
* | Buffalo Wild Wings Inc. | 130,139 | 8,630 |
Thor Industries Inc. | 296,221 | 8,543 | |
* | BJ's Restaurants Inc. | 162,612 | 8,514 |
* | Office Depot Inc. | 1,982,511 | 8,366 |
* | Vitamin Shoppe Inc. | 182,653 | 8,358 |
Matthews International Corp. Class A | 206,251 | 8,281 | |
* | K12 Inc. | 249,131 | 8,256 |
Finish Line Inc. Class A | 381,215 | 8,158 | |
Monro Muffler Brake Inc. | 216,954 | 8,090 | |
* | Childrens Place Retail Stores Inc. | 180,630 | 8,036 |
Buckle Inc. | 186,924 | 7,982 | |
Meredith Corp. | 254,266 | 7,915 | |
Cracker Barrel Old Country Store Inc. | 160,470 | 7,913 | |
* | Jack in the Box Inc. | 347,263 | 7,911 |
Arbitron Inc. | 189,529 | 7,833 | |
* | Cabela's Inc. | 288,483 | 7,832 |
* | Hibbett Sports Inc. | 190,852 | 7,770 |
* | Helen of Troy Ltd. | 219,276 | 7,572 |
* | New York Times Co. Class A | 850,332 | 7,415 |
Bob Evans Farms Inc. | 211,632 | 7,401 | |
Penske Automotive Group Inc. | 322,236 | 7,328 | |
* | Select Comfort Corp. | 395,915 | 7,119 |
Texas Roadhouse Inc. Class A | 402,598 | 7,060 | |
Group 1 Automotive Inc. | 170,207 | 7,009 | |
American Greetings Corp. Class A | 286,552 | 6,889 | |
*,^ | Eastman Kodak Co. | 1,919,852 | 6,873 |
* | Orient-Express Hotels Ltd. Class A | 634,726 | 6,823 |
Choice Hotels International Inc. | 204,204 | 6,812 |
2
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Regal Entertainment Group Class A | 550,594 | 6,800 | |
* | 99 Cents Only Stores | 335,245 | 6,785 |
MDC Holdings Inc. | 269,544 | 6,642 | |
National CineMedia Inc. | 392,468 | 6,637 | |
Jones Group Inc. | 610,565 | 6,625 | |
* | Pinnacle Entertainment Inc. | 442,023 | 6,586 |
PF Chang's China Bistro Inc. | 163,129 | 6,564 | |
Cinemark Holdings Inc. | 308,935 | 6,398 | |
* | Collective Brands Inc. | 429,486 | 6,309 |
Regis Corp. | 411,510 | 6,304 | |
Cato Corp. Class A | 210,867 | 6,073 | |
International Speedway Corp. Class A | 209,360 | 5,948 | |
* | DineEquity Inc. | 112,240 | 5,867 |
*,^ | Education Management Corp. | 241,453 | 5,780 |
CEC Entertainment Inc. | 139,672 | 5,602 | |
* | American Public Education Inc. | 125,278 | 5,576 |
* | iRobot Corp. | 156,518 | 5,524 |
* | Ascent Media Corp. Class A | 102,085 | 5,407 |
Ameristar Casinos Inc. | 224,876 | 5,332 | |
* | True Religion Apparel Inc. | 181,225 | 5,270 |
Ryland Group Inc. | 315,984 | 5,223 | |
* | Meritage Homes Corp. | 230,795 | 5,207 |
Columbia Sportswear Co. | 81,982 | 5,198 | |
* | Peet's Coffee & Tea Inc. | 89,654 | 5,173 |
* | Modine Manufacturing Co. | 332,323 | 5,108 |
KB Home | 515,672 | 5,043 | |
* | Ruby Tuesday Inc. | 464,415 | 5,006 |
* | American Axle & Manufacturing Holdings Inc. | 436,947 | 4,972 |
* | Steiner Leisure Ltd. | 105,929 | 4,839 |
* | Belo Corp. Class A | 641,765 | 4,832 |
* | OfficeMax Inc. | 608,227 | 4,775 |
* | Papa John's International Inc. | 143,014 | 4,757 |
* | Scientific Games Corp. Class A | 454,164 | 4,696 |
* | Sonic Corp. | 441,506 | 4,693 |
* | Pre-Paid Legal Services Inc. | 69,933 | 4,650 |
Barnes & Noble Inc. | 279,584 | 4,635 | |
* | Maidenform Brands Inc. | 167,190 | 4,624 |
* | Capella Education Co. | 109,946 | 4,601 |
* | Blue Nile Inc. | 104,289 | 4,587 |
Scholastic Corp. | 170,119 | 4,525 | |
* | Krispy Kreme Doughnuts Inc. | 472,327 | 4,492 |
Stage Stores Inc. | 262,331 | 4,407 | |
* | Quiksilver Inc. | 930,887 | 4,375 |
Ethan Allen Interiors Inc. | 205,439 | 4,374 | |
*,^ | Lumber Liquidators Holdings Inc. | 168,007 | 4,267 |
* | Asbury Automotive Group Inc. | 229,929 | 4,261 |
* | Exide Technologies | 552,758 | 4,223 |
Stewart Enterprises Inc. Class A | 563,714 | 4,115 | |
PEP Boys-Manny Moe & Jack | 375,479 | 4,104 | |
* | Red Robin Gourmet Burgers Inc. | 111,525 | 4,057 |
Sonic Automotive Inc. Class A | 273,608 | 4,008 | |
Fred's Inc. Class A | 276,904 | 3,996 | |
*,^ | Bridgepoint Education Inc. | 159,648 | 3,991 |
Churchill Downs Inc. | 87,501 | 3,945 | |
* | Biglari Holdings Inc. | 10,062 | 3,935 |
* | Interval Leisure Group Inc. | 286,566 | 3,923 |
* | Federal-Mogul Corp. | 171,709 | 3,920 |
Sinclair Broadcast Group Inc. Class A | 353,318 | 3,879 | |
* | Dorman Products Inc. | 97,231 | 3,848 |
* | G-III Apparel Group Ltd. | 110,436 | 3,808 |
Superior Industries International Inc. | 169,749 | 3,753 | |
* | Zumiez Inc. | 149,094 | 3,723 |
* | Charming Shoppes Inc. | 879,833 | 3,660 |
* | Liz Claiborne Inc. | 676,708 | 3,620 |
3
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Shuffle Master Inc. | 383,025 | 3,583 |
* | La-Z-Boy Inc. | 360,905 | 3,562 |
* | Skechers U.S.A. Inc. Class A | 245,209 | 3,551 |
* | Warner Music Group Corp. | 430,175 | 3,536 |
Sturm Ruger & Co. Inc. | 157,977 | 3,468 | |
* | Jakks Pacific Inc. | 188,324 | 3,467 |
Oxford Industries Inc. | 102,288 | 3,453 | |
* | Clear Channel Outdoor Holdings Inc. Class A | 269,878 | 3,427 |
*,^ | Boyd Gaming Corp. | 392,311 | 3,413 |
* | Denny's Corp. | 864,097 | 3,353 |
Drew Industries Inc. | 134,798 | 3,332 | |
Brown Shoe Co. Inc. | 312,590 | 3,329 | |
* | Amerigon Inc. | 187,558 | 3,260 |
*,^ | Tesla Motors Inc. | 110,571 | 3,221 |
* | California Pizza Kitchen Inc. | 165,245 | 3,052 |
* | Knology Inc. | 201,349 | 2,990 |
* | Grand Canyon Education Inc. | 206,604 | 2,930 |
* | Wet Seal Inc. Class A | 655,370 | 2,929 |
Universal Technical Institute Inc. | 143,746 | 2,842 | |
Lithia Motors Inc. Class A | 140,649 | 2,761 | |
*,^ | Rue21 Inc. | 83,939 | 2,728 |
* | AFC Enterprises Inc. | 165,006 | 2,714 |
Callaway Golf Co. | 435,887 | 2,711 | |
* | Universal Electronics Inc. | 106,650 | 2,694 |
* | Fuel Systems Solutions Inc. | 107,776 | 2,689 |
Blyth Inc. | 52,596 | 2,648 | |
Harte-Hanks Inc. | 324,340 | 2,634 | |
* | GNC Holdings Inc. | 120,000 | 2,617 |
Nutrisystem Inc. | 183,171 | 2,575 | |
* | Core-Mark Holding Co. Inc. | 70,884 | 2,531 |
* | Standard Pacific Corp. | 749,879 | 2,512 |
* | Corinthian Colleges Inc. | 589,547 | 2,511 |
Lincoln Educational Services Corp. | 140,481 | 2,409 | |
HOT Topic Inc. | 323,566 | 2,407 | |
Express Inc. | 108,219 | 2,359 | |
* | Vera Bradley Inc. | 61,706 | 2,357 |
Destination Maternity Corp. | 115,762 | 2,313 | |
Movado Group Inc. | 134,873 | 2,308 | |
* | EW Scripps Co. Class A | 236,009 | 2,282 |
*,^ | hhgregg Inc. | 155,928 | 2,089 |
* | America's Car-Mart Inc. | 61,035 | 2,014 |
* | Cavco Industries Inc. | 44,608 | 2,007 |
* | K-Swiss Inc. Class A | 188,286 | 2,001 |
Stein Mart Inc. | 207,453 | 2,000 | |
PetMed Express Inc. | 165,750 | 1,964 | |
World Wrestling Entertainment Inc. Class A | 205,213 | 1,956 | |
* | Shoe Carnival Inc. | 64,794 | 1,954 |
* | Winnebago Industries Inc. | 200,693 | 1,939 |
Standard Motor Products Inc. | 126,572 | 1,928 | |
* | Steinway Musical Instruments Inc. | 73,770 | 1,895 |
* | Overstock.com Inc. | 119,157 | 1,814 |
Speedway Motorsports Inc. | 124,466 | 1,765 | |
* | Stoneridge Inc. | 118,694 | 1,750 |
* | Talbots Inc. | 507,499 | 1,695 |
* | Kirkland's Inc. | 140,894 | 1,694 |
* | Citi Trends Inc. | 111,910 | 1,688 |
* | Perry Ellis International Inc. | 66,595 | 1,682 |
Ambassadors Group Inc. | 190,388 | 1,681 | |
* | Unifi Inc. | 121,592 | 1,678 |
Haverty Furniture Cos. Inc. | 145,081 | 1,670 | |
Christopher & Banks Corp. | 289,442 | 1,664 | |
PRIMEDIA Inc. | 234,311 | 1,652 | |
* | Libbey Inc. | 101,613 | 1,648 |
* | Rentrak Corp. | 92,804 | 1,646 |
4
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Beazer Homes USA Inc. | 474,745 | 1,609 |
* | Saga Communications Inc. Class A | 41,857 | 1,549 |
* | Valuevision Media Inc. Class A | 200,191 | 1,531 |
* | M/I Homes Inc. | 120,622 | 1,479 |
* | Furniture Brands International Inc. | 356,226 | 1,475 |
* | MarineMax Inc. | 167,194 | 1,465 |
* | Morgans Hotel Group Co. | 199,922 | 1,437 |
Marcus Corp. | 145,299 | 1,436 | |
* | Journal Communications Inc. Class A | 275,325 | 1,423 |
* | Audiovox Corp. Class A | 183,076 | 1,384 |
Bebe Stores Inc. | 226,300 | 1,383 | |
Cherokee Inc. | 80,296 | 1,378 | |
Spartan Motors Inc. | 244,921 | 1,323 | |
* | Isle of Capri Casinos Inc. | 148,089 | 1,311 |
* | Caribou Coffee Co. Inc. | 97,685 | 1,293 |
* | LIN TV Corp. Class A | 260,096 | 1,267 |
Big 5 Sporting Goods Corp. | 160,235 | 1,259 | |
* | Smith & Wesson Holding Corp. | 402,581 | 1,208 |
* | Pacific Sunwear of California Inc. | 462,441 | 1,207 |
* | Entercom Communications Corp. Class A | 135,564 | 1,177 |
Weyco Group Inc. | 47,668 | 1,173 | |
* | Bravo Brio Restaurant Group Inc. | 47,941 | 1,171 |
* | Nexstar Broadcasting Group Inc. Class A | 140,999 | 1,158 |
* | Ruth's Hospitality Group Inc. | 203,611 | 1,142 |
AH Belo Corp. Class A | 153,227 | 1,140 | |
* | Systemax Inc. | 75,803 | 1,132 |
* | Fisher Communications Inc. | 37,654 | 1,123 |
CSS Industries Inc. | 53,595 | 1,122 | |
* | Kenneth Cole Productions Inc. Class A | 88,801 | 1,109 |
* | Marine Products Corp. | 164,831 | 1,108 |
* | Rocky Brands Inc. | 89,284 | 1,102 |
* | Tuesday Morning Corp. | 235,648 | 1,096 |
* | Carrols Restaurant Group Inc. | 104,040 | 1,086 |
* | Zale Corp. | 191,550 | 1,073 |
* | Geeknet Inc. | 37,871 | 1,012 |
CPI Corp. | 76,155 | 1,001 | |
* | Martha Stewart Living Omnimedia Class A | 220,654 | 958 |
* | Red Lion Hotels Corp. | 120,508 | 952 |
Gaiam Inc. Class A | 189,314 | 941 | |
* | New York & Co. Inc. | 189,432 | 938 |
* | Entravision Communications Corp. Class A | 506,217 | 936 |
* | Famous Dave's Of America Inc. | 93,260 | 934 |
* | West Marine Inc. | 89,295 | 926 |
* | Leapfrog Enterprises Inc. | 218,595 | 922 |
Skyline Corp. | 52,180 | 913 | |
* | Arctic Cat Inc. | 66,497 | 893 |
* | Casual Male Retail Group Inc. | 214,703 | 891 |
* | Dex One Corp. | 351,514 | 889 |
* | Luby's Inc. | 160,082 | 884 |
*,^ | McClatchy Co. Class A | 311,029 | 874 |
Tandy Leather Factory Inc. | 166,905 | 862 | |
Learning Tree International Inc. | 95,619 | 852 | |
*,^ | Hovnanian Enterprises Inc. Class A | 350,203 | 844 |
* | Midas Inc. | 132,769 | 839 |
* | Cumulus Media Inc. Class A | 238,973 | 836 |
* | Motorcar Parts of America Inc. | 54,410 | 817 |
Bassett Furniture Industries Inc. | 102,110 | 805 | |
Bon-Ton Stores Inc. | 82,607 | 803 | |
Lifetime Brands Inc. | 68,168 | 800 | |
* | Nobel Learning Communities Inc. | 69,008 | 797 |
Insignia Systems Inc. | 211,012 | 789 | |
* | O'Charleys Inc. | 106,910 | 781 |
* | Culp Inc. | 81,245 | 763 |
*,^ | LodgeNet Interactive Corp. | 249,263 | 755 |
5
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Kid Brands Inc. | 145,135 | 749 |
* | Delta Apparel Inc. | 43,631 | 742 |
Mac-Gray Corp. | 47,655 | 736 | |
* | Coldwater Creek Inc. | 514,212 | 720 |
Frisch's Restaurants Inc. | 30,759 | 718 | |
* | Town Sports International Holdings Inc. | 91,292 | 695 |
RG Barry Corp. | 60,620 | 684 | |
Flexsteel Industries | 46,811 | 681 | |
* | Sealy Corp. | 268,101 | 678 |
* | Jamba Inc. | 308,559 | 660 |
* | 1-800-Flowers.com Inc. Class A | 212,399 | 658 |
* | Cost Plus Inc. | 65,757 | 658 |
Shiloh Industries Inc. | 59,757 | 644 | |
* | Benihana Inc. Class A | 61,047 | 640 |
* | Monarch Casino & Resort Inc. | 60,730 | 634 |
* | Summer Infant Inc. | 77,948 | 633 |
Ark Restaurants Corp. | 40,646 | 620 | |
Collectors Universe | 41,751 | 618 | |
* | Multimedia Games Holding Co. Inc. | 133,073 | 605 |
* | Global Traffic Network Inc. | 52,617 | 605 |
* | Perfumania Holdings Inc. | 39,291 | 601 |
Escalade Inc. | 98,010 | 592 | |
* | Build-A-Bear Workshop Inc. | 90,099 | 587 |
* | MTR Gaming Group Inc. | 186,449 | 565 |
* | Dixie Group Inc. | 131,974 | 564 |
Outdoor Channel Holdings Inc. | 81,230 | 556 | |
* | Cache Inc. | 112,504 | 555 |
*,^ | Crown Media Holdings Inc. Class A | 287,124 | 548 |
* | Beasley Broadcasting Group Inc. Class A | 128,060 | 533 |
* | HomeAway Inc. | 13,731 | 531 |
Hooker Furniture Corp. | 59,697 | 529 | |
*,^ | Conn's Inc. | 59,403 | 514 |
* | Rick's Cabaret International Inc. | 60,361 | 509 |
* | Forward Industries Inc. | 188,365 | 501 |
* | McCormick & Schmick's Seafood Restaurants Inc. | 58,135 | 499 |
* | Charles & Colvard Ltd. | 179,486 | 492 |
* | Orbitz Worldwide Inc. | 193,909 | 483 |
* | Hollywood Media Corp. | 319,378 | 479 |
* | Nautilus Inc. | 239,023 | 478 |
* | Tower International Inc. | 26,931 | 476 |
* | Emerson Radio Corp. | 227,235 | 468 |
* | Nathan's Famous Inc. | 24,361 | 460 |
* | AC Moore Arts & Crafts Inc. | 182,471 | 456 |
* | Navarre Corp. | 223,103 | 440 |
* | Dover Motorsports Inc. | 228,323 | 422 |
* | Carmike Cinemas Inc. | 61,115 | 422 |
* | ReachLocal Inc. | 19,650 | 409 |
Gaming Partners International Corp. | 57,066 | 407 | |
* | J Alexander's Corp. | 61,783 | 405 |
* | Stanley Furniture Co. Inc. | 94,854 | 397 |
* | Trans World Entertainment Corp. | 194,782 | 397 |
* | Cambium Learning Group Inc. | 117,687 | 397 |
* | Body Central Corp. | 16,760 | 394 |
* | Bluegreen Corp. | 131,902 | 386 |
* | Media General Inc. Class A | 100,834 | 385 |
Dover Downs Gaming & Entertainment Inc. | 119,993 | 384 | |
*,^ | SuperMedia Inc. | 101,636 | 381 |
* | Ballantyne Strong Inc. | 79,466 | 373 |
^ | Books-A-Million Inc. | 101,558 | 352 |
Strattec Security Corp. | 16,776 | 352 | |
* | Joe's Jeans Inc. | 408,251 | 347 |
*,^ | Westwood One Inc. | 66,392 | 343 |
Carriage Services Inc. Class A | 57,955 | 329 | |
* | Great Wolf Resorts Inc. | 107,757 | 328 |
6
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Morton's Restaurant Group Inc. | 45,210 | 327 |
* | Nobility Homes Inc. | 40,811 | 326 |
Winmark Corp. | 7,112 | 308 | |
* | Vitacost.com Inc. | 60,614 | 293 |
* | Heelys Inc. | 126,864 | 289 |
* | Benihana Inc. Class A | 27,540 | 287 |
* | Archipelago Learning Inc. | 27,377 | 270 |
* | Century Casinos Inc. | 96,100 | 267 |
Williams Controls Inc. | 21,498 | 247 | |
* | Gray Television Inc. | 89,453 | 236 |
* | Kona Grill Inc. | 41,737 | 235 |
* | Emmis Communications Corp. Class A | 211,098 | 232 |
* | Empire Resorts Inc. | 249,577 | 231 |
* | Duckwall-ALCO Stores Inc. | 19,776 | 210 |
* | Premier Exhibitions Inc. | 120,404 | 209 |
* | US Auto Parts Network Inc. | 27,139 | 208 |
* | Bidz.com Inc. | 208,755 | 207 |
* | Lakes Entertainment Inc. | 92,413 | 203 |
*,^ | Full House Resorts Inc. | 63,520 | 201 |
*,^ | Lee Enterprises Inc. | 210,151 | 187 |
* | Harris Interactive Inc. | 200,771 | 171 |
* | Golfsmith International Holdings Inc. | 44,379 | 169 |
* | Radio One Inc. Class A | 93,623 | 160 |
*,^ | American Apparel Inc. | 178,214 | 159 |
* | interCLICK Inc. | 19,920 | 159 |
* | Princeton Review Inc. | 689,156 | 155 |
*,^ | Quantum Fuel Systems Technologies Worldwide Inc. | 41,851 | 145 |
* | Johnson Outdoors Inc. Class A | 8,103 | 139 |
* | Adams Golf Inc. | 17,592 | 131 |
* | NTN Buzztime Inc. | 287,989 | 130 |
* | Bluefly Inc. | 46,169 | 129 |
* | Dreams Inc. | 44,337 | 115 |
* | Syms Corp. | 9,144 | 99 |
* | Cosi Inc. | 88,208 | 84 |
Lacrosse Footwear Inc. | 4,433 | 64 | |
*,^ | Atrinsic Inc. | 17,359 | 56 |
*,^ | Pandora Media Inc. | 2,500 | 47 |
* | Radio One Inc. | 25,533 | 45 |
Einstein Noah Restaurant Group Inc. | 3,000 | 45 | |
* | Hallwood Group Inc. | 1,737 | 33 |
* | Spanish Broadcasting System Inc. | 46,502 | 33 |
* | Meade Instruments Corp. | 4,548 | 23 |
* | SPAR Group Inc. | 10,706 | 12 |
* | Sport Chalet Inc. Class A | 4,985 | 10 |
* | Entertainment Gaming Asia Inc. | 35,584 | 10 |
* | Enova Systems Inc. | 11,300 | 9 |
* | Black Diamond Inc. | 903 | 7 |
* | Comstock Homebuilding Cos. Inc. Class A | 5,000 | 6 |
* | Krispy Kreme Doughnuts Inc. Warrants Exp. 03/02/2012 | 5,255 | 4 |
* | Ediets.Com Inc. | 1,875 | 3 |
* | dELiA*s Inc. | 500 | 1 |
* | GameTech International Inc. | 2,000 | — |
* | Here Media Inc. | 12,670 | — |
2,940,522 | |||
Consumer Staples (3.6%) | |||
* | Green Mountain Coffee Roasters Inc. | 871,171 | 77,761 |
Bunge Ltd. | 1,027,174 | 70,824 | |
Herbalife Ltd. | 831,392 | 47,921 | |
Church & Dwight Co. Inc. | 994,460 | 40,315 | |
* | Hansen Natural Corp. | 480,791 | 38,920 |
* | Energizer Holdings Inc. | 486,195 | 35,181 |
* | Ralcorp Holdings Inc. | 384,044 | 33,251 |
Corn Products International Inc. | 532,545 | 29,439 | |
* | Smithfield Foods Inc. | 1,157,013 | 25,304 |
7
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | BJ's Wholesale Club Inc. | 381,796 | 19,223 |
Flowers Foods Inc. | 784,530 | 17,291 | |
* | Darling International Inc. | 816,079 | 14,445 |
* | United Natural Foods Inc. | 337,656 | 14,408 |
Nu Skin Enterprises Inc. Class A | 369,129 | 13,861 | |
* | TreeHouse Foods Inc. | 247,917 | 13,539 |
Ruddick Corp. | 298,569 | 13,000 | |
Diamond Foods Inc. | 153,884 | 11,747 | |
Casey's General Stores Inc. | 264,909 | 11,656 | |
* | Hain Celestial Group Inc. | 306,962 | 10,240 |
Lancaster Colony Corp. | 132,598 | 8,065 | |
Fresh Del Monte Produce Inc. | 273,677 | 7,299 | |
Snyders-Lance Inc. | 336,530 | 7,279 | |
B&G Foods Inc. Class A | 341,996 | 7,052 | |
Vector Group Ltd. | 382,053 | 6,797 | |
Sanderson Farms Inc. | 134,699 | 6,436 | |
Pricesmart Inc. | 121,848 | 6,242 | |
Universal Corp. | 161,723 | 6,092 | |
* | Rite Aid Corp. | 4,516,955 | 6,008 |
* | Boston Beer Co. Inc. Class A | 65,446 | 5,864 |
Andersons Inc. | 132,878 | 5,614 | |
Tootsie Roll Industries Inc. | 178,704 | 5,229 | |
J&J Snack Foods Corp. | 102,436 | 5,106 | |
* | Elizabeth Arden Inc. | 172,702 | 5,014 |
* | Central European Distribution Corp. | 441,885 | 4,949 |
WD-40 Co. | 121,982 | 4,762 | |
* | Prestige Brands Holdings Inc. | 359,128 | 4,611 |
* | Chiquita Brands International Inc. | 322,583 | 4,200 |
* | Central Garden and Pet Co. Class A | 385,965 | 3,918 |
* | Spectrum Brands Holdings Inc. | 116,223 | 3,719 |
*,^ | Star Scientific Inc. | 815,569 | 3,670 |
Weis Markets Inc. | 88,163 | 3,591 | |
*,^ | Dole Food Co. Inc. | 259,716 | 3,511 |
Spartan Stores Inc. | 168,896 | 3,299 | |
* | Pantry Inc. | 170,023 | 3,195 |
* | Winn-Dixie Stores Inc. | 370,351 | 3,129 |
^ | Cal-Maine Foods Inc. | 96,363 | 3,080 |
Nash Finch Co. | 84,990 | 3,043 | |
* | Fresh Market Inc. | 76,140 | 2,945 |
* | Pilgrim's Pride Corp. | 539,621 | 2,919 |
* | Smart Balance Inc. | 457,013 | 2,367 |
* | Medifast Inc. | 92,289 | 2,190 |
Inter Parfums Inc. | 94,192 | 2,169 | |
* | Alliance One International Inc. | 614,761 | 1,986 |
* | Revlon Inc. Class A | 117,495 | 1,974 |
Imperial Sugar Co. | 96,816 | 1,936 | |
National Beverage Corp. | 121,264 | 1,777 | |
* | Omega Protein Corp. | 127,046 | 1,753 |
Coca-Cola Bottling Co. Consolidated | 25,251 | 1,708 | |
Ingles Markets Inc. Class A | 96,232 | 1,593 | |
Calavo Growers Inc. | 73,458 | 1,547 | |
* | USANA Health Sciences Inc. | 45,418 | 1,421 |
* | Susser Holdings Corp. | 84,896 | 1,335 |
* | Seneca Foods Corp. Class A | 50,937 | 1,303 |
Village Super Market Inc. Class A | 45,974 | 1,274 | |
* | Nutraceutical International Corp. | 76,449 | 1,176 |
Oil-Dri Corp. of America | 52,194 | 1,118 | |
Limoneira Co. | 43,827 | 990 | |
*,^ | Lifeway Foods Inc. | 81,428 | 910 |
Alico Inc. | 35,028 | 897 | |
Rocky Mountain Chocolate Factory Inc. | 90,684 | 896 | |
*,^ | Synutra International Inc. | 90,788 | 892 |
MGP Ingredients Inc. | 96,898 | 844 | |
* | Reddy Ice Holdings Inc. | 297,619 | 836 |
8
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
United-Guardian Inc. | 55,616 | 823 | |
Schiff Nutrition International Inc. | 66,150 | 740 | |
Arden Group Inc. | 8,034 | 739 | |
* | Nature's Sunshine Products Inc. | 37,724 | 735 |
Farmer Bros Co. | 67,619 | 686 | |
* | John B Sanfilippo & Son Inc. | 69,944 | 592 |
* | Natural Alternatives International Inc. | 100,999 | 487 |
* | Overhill Farms Inc. | 80,875 | 449 |
Female Health Co. | 87,287 | 436 | |
* | Physicians Formula Holdings Inc. | 76,739 | 307 |
Orchids Paper Products Co. | 23,573 | 298 | |
* | Craft Brewers Alliance Inc. | 34,291 | 295 |
* | Parlux Fragrances Inc. | 89,346 | 287 |
* | Primo Water Corp. | 8,926 | 128 |
*,^ | HQ Sustainable Maritime Industries Inc. | 157,945 | 121 |
* | IGI Laboratories Inc. | 77,819 | 87 |
Reliv International Inc. | 44,259 | 81 | |
* | Mannatech Inc. | 74,328 | 71 |
* | Crystal Rock Holdings Inc. | 600 | — |
727,218 | |||
Energy (7.5%) | |||
* | Concho Resources Inc. | 721,192 | 66,241 |
Cimarex Energy Co. | 595,859 | 53,580 | |
* | Petrohawk Energy Corp. | 2,119,242 | 52,282 |
* | Ultra Petroleum Corp. | 1,066,872 | 48,863 |
* | Whiting Petroleum Corp. | 823,945 | 46,891 |
Arch Coal Inc. | 1,480,208 | 39,462 | |
* | Plains Exploration & Production Co. | 984,148 | 37,516 |
Core Laboratories NV | 317,500 | 35,414 | |
Southern Union Co. | 870,054 | 34,933 | |
Patterson-UTI Energy Inc. | 1,077,987 | 34,075 | |
SM Energy Co. | 443,926 | 32,620 | |
* | McDermott International Inc. | 1,636,138 | 32,412 |
Oceaneering International Inc. | 757,114 | 30,663 | |
* | Dresser-Rand Group Inc. | 556,055 | 29,888 |
* | Oil States International Inc. | 357,587 | 28,575 |
Energen Corp. | 502,880 | 28,413 | |
* | SandRidge Energy Inc. | 2,543,909 | 27,118 |
Holly Corp. | 369,473 | 25,641 | |
* | Brigham Exploration Co. | 817,171 | 24,458 |
Frontier Oil Corp. | 738,357 | 23,856 | |
* | Continental Resources Inc. | 339,711 | 22,051 |
CARBO Ceramics Inc. | 132,604 | 21,608 | |
* | Forest Oil Corp. | 792,705 | 21,173 |
* | Superior Energy Services Inc. | 556,069 | 20,652 |
EXCO Resources Inc. | 1,161,825 | 20,506 | |
Kinder Morgan Inc. | 691,500 | 19,867 | |
Tidewater Inc. | 362,125 | 19,486 | |
* | Rosetta Resources Inc. | 369,957 | 19,068 |
Lufkin Industries Inc. | 212,606 | 18,295 | |
World Fuel Services Corp. | 494,112 | 17,753 | |
Berry Petroleum Co. Class A | 332,736 | 17,678 | |
* | Atwood Oceanics Inc. | 393,445 | 17,363 |
* | Energy XXI Bermuda Ltd. | 518,720 | 17,232 |
* | Unit Corp. | 278,991 | 16,999 |
* | Complete Production Services Inc. | 490,310 | 16,357 |
* | Dril-Quip Inc. | 240,468 | 16,311 |
* | Key Energy Services Inc. | 886,495 | 15,957 |
* | Bill Barrett Corp. | 329,475 | 15,271 |
SEACOR Holdings Inc. | 151,149 | 15,109 | |
* | Patriot Coal Corp. | 637,349 | 14,187 |
* | McMoRan Exploration Co. | 751,911 | 13,895 |
Bristow Group Inc. | 253,503 | 12,934 | |
* | Cobalt International Energy Inc. | 918,486 | 12,519 |
9
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Helix Energy Solutions Group Inc. | 740,125 | 12,256 |
* | Quicksilver Resources Inc. | 823,729 | 12,158 |
* | Carrizo Oil & Gas Inc. | 274,411 | 11,457 |
* | Swift Energy Co. | 296,112 | 11,036 |
* | Stone Energy Corp. | 342,064 | 10,395 |
* | ION Geophysical Corp. | 1,091,865 | 10,329 |
* | Comstock Resources Inc. | 332,418 | 9,570 |
* | Cloud Peak Energy Inc. | 425,447 | 9,062 |
* | Exterran Holdings Inc. | 451,342 | 8,950 |
* | Oasis Petroleum Inc. | 296,984 | 8,814 |
*,^ | Northern Oil and Gas Inc. | 379,162 | 8,398 |
* | Gulfport Energy Corp. | 265,307 | 7,877 |
* | SemGroup Corp. Class A | 291,734 | 7,489 |
RPC Inc. | 296,286 | 7,271 | |
* | Gulfmark Offshore Inc. | 163,821 | 7,239 |
* | Tetra Technologies Inc. | 546,850 | 6,961 |
W&T Offshore Inc. | 250,543 | 6,544 | |
*,^ | Western Refining Inc. | 361,553 | 6,533 |
* | Pioneer Drilling Co. | 387,466 | 5,905 |
* | Newpark Resources Inc. | 645,983 | 5,859 |
* | CVR Energy Inc. | 227,341 | 5,597 |
* | Magnum Hunter Resources Corp. | 804,242 | 5,437 |
* | Hercules Offshore Inc. | 979,369 | 5,396 |
Contango Oil & Gas Co. | 91,781 | 5,364 | |
* | Basic Energy Services Inc. | 168,265 | 5,295 |
* | James River Coal Co. | 253,071 | 5,269 |
^ | Overseas Shipholding Group Inc. | 191,741 | 5,166 |
* | Cheniere Energy Inc. | 557,073 | 5,103 |
* | Petroleum Development Corp. | 167,591 | 5,013 |
* | Parker Drilling Co. | 830,526 | 4,859 |
*,^ | Hyperdynamics Corp. | 1,092,268 | 4,697 |
* | Approach Resources Inc. | 198,310 | 4,496 |
*,^ | Clean Energy Fuels Corp. | 335,889 | 4,417 |
*,^ | ATP Oil & Gas Corp. | 285,767 | 4,375 |
* | Hornbeck Offshore Services Inc. | 158,886 | 4,369 |
Penn Virginia Corp. | 326,199 | 4,309 | |
Targa Resources Corp. | 124,519 | 4,166 | |
* | Cal Dive International Inc. | 674,479 | 4,033 |
Gulf Island Fabrication Inc. | 123,426 | 3,984 | |
* | Global Industries Ltd. | 719,383 | 3,942 |
Crosstex Energy Inc. | 325,065 | 3,868 | |
* | Energy Partners Ltd. | 252,266 | 3,736 |
* | Endeavour International Corp. | 218,430 | 3,292 |
* | Goodrich Petroleum Corp. | 176,435 | 3,248 |
* | OYO Geospace Corp. | 31,155 | 3,115 |
* | FX Energy Inc. | 353,866 | 3,107 |
* | Harvest Natural Resources Inc. | 273,721 | 3,019 |
* | Willbros Group Inc. | 339,247 | 2,897 |
* | Matrix Service Co. | 213,521 | 2,857 |
* | USEC Inc. | 822,868 | 2,748 |
*,^ | BPZ Resources Inc. | 805,698 | 2,643 |
* | Vaalco Energy Inc. | 418,410 | 2,519 |
* | Clayton Williams Energy Inc. | 41,779 | 2,509 |
* | Petroquest Energy Inc. | 355,039 | 2,492 |
* | Abraxas Petroleum Corp. | 641,524 | 2,457 |
* | Georesources Inc. | 103,952 | 2,338 |
* | Vantage Drilling Co. | 1,251,556 | 2,278 |
* | Rex Energy Corp. | 219,041 | 2,250 |
* | Rentech Inc. | 2,102,018 | 2,228 |
* | Venoco Inc. | 161,440 | 2,057 |
* | Mitcham Industries Inc. | 113,443 | 1,963 |
* | Callon Petroleum Co. | 268,376 | 1,884 |
* | Warren Resources Inc. | 491,702 | 1,873 |
* | Dawson Geophysical Co. | 54,405 | 1,858 |
10
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
^ | Houston American Energy Corp. | 95,890 | 1,738 |
* | PHI Inc. | 78,066 | 1,689 |
*,^ | Uranium Resources Inc. | 972,168 | 1,624 |
* | Westmoreland Coal Co. | 88,353 | 1,568 |
*,^ | GMX Resources Inc. | 328,311 | 1,461 |
Delek US Holdings Inc. | 91,383 | 1,435 | |
* | Triangle Petroleum Corp. | 219,937 | 1,421 |
*,^ | Uranium Energy Corp. | 457,152 | 1,399 |
* | Delta Petroleum Corp. | 2,549,709 | 1,265 |
* | Union Drilling Inc. | 116,091 | 1,195 |
* | Natural Gas Services Group Inc. | 73,690 | 1,191 |
Panhandle Oil and Gas Inc. Class A | 40,303 | 1,189 | |
Alon USA Energy Inc. | 94,506 | 1,065 | |
* | Syntroleum Corp. | 708,759 | 1,042 |
* | Bolt Technology Corp. | 83,555 | 1,036 |
* | Amyris Inc. | 32,109 | 902 |
*,^ | Miller Energy Resources Inc. | 138,960 | 889 |
* | Double Eagle Petroleum Co. | 93,748 | 819 |
General Maritime Corp. | 587,794 | 794 | |
*,^ | Green Plains Renewable Energy Inc. | 73,423 | 792 |
*,^ | RAM Energy Resources Inc. | 599,139 | 749 |
* | Toreador Resources Corp. | 178,748 | 663 |
* | CREDO Petroleum Corp. | 69,275 | 649 |
*,^ | CAMAC Energy Inc. | 483,505 | 643 |
* | Evolution Petroleum Corp. | 82,925 | 589 |
* | Verenium Corp. | 309,620 | 554 |
*,^ | Royale Energy Inc. | 188,357 | 526 |
*,^ | Zion Oil & Gas Inc. | 83,089 | 494 |
* | REX American Resources Corp. | 27,349 | 454 |
* | Crimson Exploration Inc. | 122,188 | 434 |
* | ENGlobal Corp. | 128,031 | 388 |
*,^ | Tengasco Inc. | 510,223 | 378 |
*,^ | Isramco Inc. | 5,453 | 360 |
* | Geokinetics Inc. | 45,035 | 355 |
* | TGC Industries Inc. | 49,471 | 316 |
*,^ | Tri-Valley Corp. | 510,514 | 306 |
* | PHI Inc. | 13,199 | 287 |
*,^ | Evergreen Energy Inc. | 146,125 | 262 |
* | HKN Inc. | 107,664 | 245 |
* | Magellan Petroleum Corp. | 138,522 | 233 |
* | Barnwell Industries Inc. | 44,309 | 228 |
* | PostRock Energy Corp. | 37,223 | 217 |
* | Gasco Energy Inc. | 946,291 | 210 |
*,^ | Pyramid Oil Co. | 37,508 | 176 |
* | GeoMet Inc. | 138,562 | 164 |
* | Global Geophysical Services Inc. | 8,425 | 150 |
*,^ | Lucas Energy Inc. | 46,700 | 132 |
*,^ | Pacific Ethanol Inc. | 99,043 | 107 |
* | Gevo Inc. | 5,400 | 85 |
* | FieldPoint Petroleum Corp. | 29,713 | 81 |
* | Cubic Energy Inc. | 106,015 | 75 |
* | BioFuel Energy Corp. | 145,034 | 60 |
* | GreenHunter Energy Inc. | 40,875 | 36 |
*,^ | Zion Oil & Gas Inc. Warrants Exp. 12/31/2012 | 12,066 | 28 |
* | Zion Oil & Gas Inc. Rights Exp. 07/25/2011 | 19,297 | 18 |
* | GeoPetro Resources Co. | 31,100 | 13 |
1,502,977 | |||
Financials (18.8%) | |||
General Growth Properties Inc. | 4,925,100 | 82,200 | |
* | CIT Group Inc. | 1,397,900 | 61,871 |
Macerich Co. | 913,156 | 48,854 | |
SL Green Realty Corp. | 578,253 | 47,920 | |
New York Community Bancorp Inc. | 3,050,897 | 45,733 | |
^ | Digital Realty Trust Inc. | 661,208 | 40,849 |
11
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Federal Realty Investment Trust | 434,418 | 37,004 | |
Rayonier Inc. | 566,013 | 36,989 | |
* | Affiliated Managers Group Inc. | 362,712 | 36,797 |
Nationwide Health Properties Inc. | 883,723 | 36,595 | |
TD Ameritrade Holding Corp. | 1,873,295 | 36,548 | |
Alexandria Real Estate Equities Inc. | 430,908 | 33,361 | |
UDR Inc. | 1,321,177 | 32,435 | |
* | MSCI Inc. Class A | 837,509 | 31,557 |
Reinsurance Group of America Inc. Class A | 515,701 | 31,386 | |
Camden Property Trust | 489,945 | 31,170 | |
Lazard Ltd. Class A | 834,296 | 30,952 | |
Everest Re Group Ltd. | 378,549 | 30,946 | |
Essex Property Trust Inc. | 227,453 | 30,772 | |
Realty Income Corp. | 884,792 | 29,632 | |
Jones Lang LaSalle Inc. | 298,662 | 28,164 | |
First Niagara Financial Group Inc. | 2,116,265 | 27,935 | |
Regency Centers Corp. | 627,135 | 27,575 | |
* | Markel Corp. | 67,056 | 26,609 |
WR Berkley Corp. | 810,840 | 26,304 | |
Liberty Property Trust | 804,039 | 26,196 | |
BRE Properties Inc. | 512,630 | 25,570 | |
RenaissanceRe Holdings Ltd. | 360,933 | 25,247 | |
Eaton Vance Corp. | 827,206 | 25,006 | |
HCC Insurance Holdings Inc. | 793,060 | 24,981 | |
Senior Housing Properties Trust | 1,058,015 | 24,768 | |
Duke Realty Corp. | 1,762,336 | 24,690 | |
Piedmont Office Realty Trust Inc. Class A | 1,204,234 | 24,554 | |
Fidelity National Financial Inc. Class A | 1,557,575 | 24,516 | |
* | American Capital Ltd. | 2,462,536 | 24,453 |
Cullen/Frost Bankers Inc. | 427,375 | 24,296 | |
Commerce Bancshares Inc. | 541,333 | 23,277 | |
Taubman Centers Inc. | 389,370 | 23,051 | |
Ares Capital Corp. | 1,430,368 | 22,986 | |
SEI Investments Co. | 1,007,811 | 22,686 | |
Raymond James Financial Inc. | 704,152 | 22,638 | |
Arthur J Gallagher & Co. | 770,841 | 22,000 | |
Waddell & Reed Financial Inc. Class A | 602,919 | 21,916 | |
Transatlantic Holdings Inc. | 435,890 | 21,363 | |
Validus Holdings Ltd. | 685,279 | 21,209 | |
Weingarten Realty Investors | 842,441 | 21,196 | |
East West Bancorp Inc. | 1,038,239 | 20,983 | |
Brown & Brown Inc. | 816,920 | 20,962 | |
Developers Diversified Realty Corp. | 1,485,818 | 20,950 | |
Old Republic International Corp. | 1,779,125 | 20,905 | |
Hospitality Properties Trust | 861,224 | 20,885 | |
White Mountains Insurance Group Ltd. | 49,459 | 20,781 | |
Jefferies Group Inc. | 994,094 | 20,280 | |
Mack-Cali Realty Corp. | 606,993 | 19,994 | |
* | Popular Inc. | 7,149,892 | 19,734 |
American Financial Group Inc. | 526,424 | 18,788 | |
CBL & Associates Properties Inc. | 1,035,650 | 18,776 | |
Hancock Holding Co. | 583,003 | 18,061 | |
* | SVB Financial Group | 299,464 | 17,881 |
City National Corp. | 329,580 | 17,880 | |
* | Forest City Enterprises Inc. Class A | 957,255 | 17,872 |
BioMed Realty Trust Inc. | 916,345 | 17,630 | |
Mid-America Apartment Communities Inc. | 256,425 | 17,301 | |
Douglas Emmett Inc. | 868,591 | 17,276 | |
American Campus Communities Inc. | 476,683 | 16,932 | |
Associated Banc-Corp | 1,210,921 | 16,832 | |
* | Alleghany Corp. | 50,104 | 16,690 |
Highwoods Properties Inc. | 503,534 | 16,682 | |
Equity Lifestyle Properties Inc. | 266,454 | 16,637 | |
Home Properties Inc. | 272,867 | 16,612 |
12
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Signature Bank | 288,660 | 16,511 |
Valley National Bancorp | 1,185,842 | 16,139 | |
Kilroy Realty Corp. | 408,001 | 16,112 | |
LaSalle Hotel Properties | 595,309 | 15,680 | |
Bank of Hawaii Corp. | 332,987 | 15,491 | |
Corporate Office Properties Trust | 496,380 | 15,442 | |
TCF Financial Corp. | 1,113,992 | 15,373 | |
* | Allied World Assurance Co. Holdings Ltd. | 264,761 | 15,245 |
Entertainment Properties Trust | 325,752 | 15,213 | |
Tanger Factory Outlet Centers | 567,596 | 15,195 | |
Washington REIT | 460,146 | 14,964 | |
* | ProAssurance Corp. | 213,644 | 14,955 |
Omega Healthcare Investors Inc. | 709,304 | 14,902 | |
Fulton Financial Corp. | 1,391,246 | 14,900 | |
CapitalSource Inc. | 2,256,800 | 14,556 | |
National Retail Properties Inc. | 593,542 | 14,548 | |
Alterra Capital Holdings Ltd. | 650,323 | 14,502 | |
Prosperity Bancshares Inc. | 327,348 | 14,344 | |
Post Properties Inc. | 347,970 | 14,183 | |
Apollo Investment Corp. | 1,367,725 | 13,964 | |
Extra Space Storage Inc. | 653,183 | 13,932 | |
* | CNO Financial Group Inc. | 1,755,112 | 13,883 |
Protective Life Corp. | 598,226 | 13,837 | |
Assured Guaranty Ltd. | 835,366 | 13,625 | |
*,^ | St. Joe Co. | 643,963 | 13,420 |
* | Stifel Financial Corp. | 373,601 | 13,397 |
StanCorp Financial Group Inc. | 315,875 | 13,327 | |
CommonWealth REIT | 503,747 | 13,017 | |
Washington Federal Inc. | 775,851 | 12,747 | |
Aspen Insurance Holdings Ltd. | 494,345 | 12,720 | |
FirstMerit Corp. | 762,627 | 12,591 | |
DiamondRock Hospitality Co. | 1,168,499 | 12,538 | |
* | Ezcorp Inc. Class A | 348,554 | 12,400 |
Erie Indemnity Co. Class A | 172,998 | 12,234 | |
Hanover Insurance Group Inc. | 317,345 | 11,967 | |
Colonial Properties Trust | 582,832 | 11,890 | |
Cash America International Inc. | 205,255 | 11,878 | |
Endurance Specialty Holdings Ltd. | 283,750 | 11,727 | |
First American Financial Corp. | 733,890 | 11,485 | |
Synovus Financial Corp. | 5,484,570 | 11,408 | |
Delphi Financial Group Inc. | 383,371 | 11,198 | |
Brandywine Realty Trust | 943,496 | 10,935 | |
Webster Financial Corp. | 513,389 | 10,791 | |
DuPont Fabros Technology Inc. | 425,585 | 10,725 | |
Iberiabank Corp. | 183,178 | 10,558 | |
Healthcare Realty Trust Inc. | 507,822 | 10,476 | |
Unitrin Inc. | 341,949 | 10,146 | |
* | Portfolio Recovery Associates Inc. | 119,492 | 10,132 |
Westamerica Bancorporation | 201,746 | 9,936 | |
Potlatch Corp. | 280,228 | 9,884 | |
Mercury General Corp. | 249,060 | 9,835 | |
BOK Financial Corp. | 176,902 | 9,689 | |
Greenhill & Co. Inc. | 178,152 | 9,588 | |
*,^ | MBIA Inc. | 1,087,876 | 9,454 |
Northwest Bancshares Inc. | 742,655 | 9,343 | |
Trustmark Corp. | 397,752 | 9,311 | |
Umpqua Holdings Corp. | 800,142 | 9,258 | |
* | First Cash Financial Services Inc. | 218,666 | 9,182 |
FNB Corp. | 886,233 | 9,173 | |
Cathay General Bancorp | 549,053 | 8,999 | |
DCT Industrial Trust Inc. | 1,715,310 | 8,971 | |
Medical Properties Trust Inc. | 780,041 | 8,970 | |
* | MF Global Holdings Ltd. | 1,143,756 | 8,853 |
* | Howard Hughes Corp. | 135,188 | 8,793 |
13
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
UMB Financial Corp. | 209,444 | 8,772 | |
Platinum Underwriters Holdings Ltd. | 260,265 | 8,651 | |
* | Strategic Hotels & Resorts Inc. | 1,219,771 | 8,636 |
Lexington Realty Trust | 944,470 | 8,623 | |
National Health Investors Inc. | 193,702 | 8,606 | |
Primerica Inc. | 384,530 | 8,448 | |
* | PHH Corp. | 396,485 | 8,136 |
Equity One Inc. | 434,048 | 8,091 | |
EastGroup Properties Inc. | 187,204 | 7,958 | |
Sovran Self Storage Inc. | 193,323 | 7,926 | |
Wintrust Financial Corp. | 244,086 | 7,855 | |
Montpelier Re Holdings Ltd. | 435,522 | 7,839 | |
* | Ocwen Financial Corp. | 612,988 | 7,822 |
* | Sunstone Hotel Investors Inc. | 839,293 | 7,780 |
* | Knight Capital Group Inc. Class A | 702,074 | 7,737 |
Prospect Capital Corp. | 750,027 | 7,583 | |
^ | First Financial Bankshares Inc. | 219,486 | 7,561 |
MB Financial Inc. | 385,181 | 7,411 | |
Astoria Financial Corp. | 577,796 | 7,390 | |
Symetra Financial Corp. | 548,597 | 7,368 | |
Susquehanna Bancshares Inc. | 907,784 | 7,262 | |
PS Business Parks Inc. | 131,298 | 7,235 | |
RLI Corp. | 116,323 | 7,203 | |
Pebblebrook Hotel Trust | 355,287 | 7,173 | |
Old National Bancorp | 661,295 | 7,142 | |
* | MGIC Investment Corp. | 1,194,028 | 7,104 |
* | World Acceptance Corp. | 107,830 | 7,070 |
First Citizens BancShares Inc. Class A | 37,263 | 6,976 | |
National Penn Bancshares Inc. | 875,735 | 6,945 | |
* | First Industrial Realty Trust Inc. | 605,558 | 6,934 |
Glacier Bancorp Inc. | 513,417 | 6,921 | |
First Financial Bancorp | 414,598 | 6,920 | |
Tower Group Inc. | 288,622 | 6,875 | |
* | Texas Capital Bancshares Inc. | 264,999 | 6,845 |
Glimcher Realty Trust | 713,107 | 6,775 | |
MarketAxess Holdings Inc. | 268,748 | 6,735 | |
United Bankshares Inc. | 274,131 | 6,711 | |
* | Dollar Financial Corp. | 304,738 | 6,598 |
First Midwest Bancorp Inc. | 532,191 | 6,541 | |
Franklin Street Properties Corp. | 505,887 | 6,531 | |
Community Bank System Inc. | 262,890 | 6,517 | |
BancorpSouth Inc. | 524,701 | 6,512 | |
Argo Group International Holdings Ltd. | 218,491 | 6,494 | |
Cousins Properties Inc. | 739,731 | 6,317 | |
International Bancshares Corp. | 377,310 | 6,312 | |
U-Store-It Trust | 596,581 | 6,276 | |
Selective Insurance Group Inc. | 385,075 | 6,265 | |
Pennsylvania REIT | 395,995 | 6,217 | |
Hersha Hospitality Trust Class A | 1,075,396 | 5,990 | |
BankUnited Inc. | 224,757 | 5,965 | |
CVB Financial Corp. | 643,058 | 5,948 | |
Sterling Bancshares Inc. | 728,738 | 5,947 | |
LTC Properties Inc. | 213,125 | 5,929 | |
Acadia Realty Trust | 287,895 | 5,853 | |
Alexander's Inc. | 14,613 | 5,801 | |
PrivateBancorp Inc. Class A | 417,985 | 5,768 | |
Park National Corp. | 87,125 | 5,738 | |
* | Credit Acceptance Corp. | 66,226 | 5,594 |
CNA Financial Corp. | 191,889 | 5,574 | |
Sun Communities Inc. | 149,050 | 5,561 | |
* | Greenlight Capital Re Ltd. Class A | 211,090 | 5,550 |
* | TFS Financial Corp. | 570,871 | 5,526 |
NBT Bancorp Inc. | 246,997 | 5,466 | |
First Potomac Realty Trust | 356,805 | 5,463 |
14
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Fifth Street Finance Corp. | 466,289 | 5,409 | |
* | Financial Engines Inc. | 208,201 | 5,397 |
* | iStar Financial Inc. | 659,545 | 5,349 |
American Equity Investment Life Holding Co. | 417,098 | 5,301 | |
Ashford Hospitality Trust Inc. | 425,480 | 5,297 | |
Provident Financial Services Inc. | 368,536 | 5,277 | |
optionsXpress Holdings Inc. | 304,068 | 5,072 | |
Oritani Financial Corp. | 392,446 | 5,019 | |
Investors Real Estate Trust | 567,349 | 4,913 | |
Bank of the Ozarks Inc. | 94,099 | 4,899 | |
American Assets Trust Inc. | 217,654 | 4,886 | |
Infinity Property & Casualty Corp. | 88,847 | 4,856 | |
Columbia Banking System Inc. | 281,511 | 4,848 | |
Inland Real Estate Corp. | 546,977 | 4,830 | |
Associated Estates Realty Corp. | 296,692 | 4,821 | |
PacWest Bancorp | 233,513 | 4,803 | |
American National Insurance Co. | 61,289 | 4,750 | |
Interactive Brokers Group Inc. | 302,013 | 4,727 | |
* | Pico Holdings Inc. | 162,316 | 4,707 |
* | Investors Bancorp Inc. | 330,691 | 4,696 |
* | FelCor Lodging Trust Inc. | 869,366 | 4,634 |
Getty Realty Corp. | 178,995 | 4,516 | |
Employers Holdings Inc. | 269,289 | 4,516 | |
Safety Insurance Group Inc. | 107,273 | 4,510 | |
* | Pinnacle Financial Partners Inc. | 288,500 | 4,489 |
Horace Mann Educators Corp. | 284,545 | 4,442 | |
Education Realty Trust Inc. | 516,359 | 4,425 | |
Universal Health Realty Income Trust | 106,797 | 4,270 | |
Capitol Federal Financial Inc. | 362,582 | 4,264 | |
Oriental Financial Group Inc. | 324,792 | 4,187 | |
* | Navigators Group Inc. | 88,830 | 4,175 |
* | Investment Technology Group Inc. | 297,424 | 4,170 |
* | Forestar Group Inc. | 253,511 | 4,165 |
Evercore Partners Inc. Class A | 123,589 | 4,118 | |
* | Western Alliance Bancorp | 578,173 | 4,105 |
* | Sterling Financial Corp. | 252,509 | 4,058 |
* | LPL Investment Holdings Inc. | 118,424 | 4,051 |
FBL Financial Group Inc. Class A | 125,925 | 4,049 | |
Radian Group Inc. | 951,042 | 4,023 | |
Cohen & Steers Inc. | 121,287 | 4,021 | |
Independent Bank Corp. | 152,194 | 3,995 | |
KBW Inc. | 211,998 | 3,964 | |
BGC Partners Inc. Class A | 501,629 | 3,878 | |
Artio Global Investors Inc. Class A | 342,049 | 3,865 | |
Brookline Bancorp Inc. | 412,168 | 3,821 | |
Meadowbrook Insurance Group Inc. | 384,932 | 3,815 | |
* | HFF Inc. Class A | 252,382 | 3,808 |
First Commonwealth Financial Corp. | 661,373 | 3,796 | |
Chemical Financial Corp. | 195,545 | 3,668 | |
MCG Capital Corp. | 598,319 | 3,638 | |
Amtrust Financial Services Inc. | 158,676 | 3,615 | |
Boston Private Financial Holdings Inc. | 545,892 | 3,592 | |
City Holding Co. | 106,883 | 3,530 | |
WesBanco Inc. | 179,414 | 3,527 | |
* | National Financial Partners Corp. | 305,044 | 3,520 |
* | Safeguard Scientifics Inc. | 185,431 | 3,501 |
Home Bancshares Inc. | 145,371 | 3,437 | |
* | Virtus Investment Partners Inc. | 55,270 | 3,355 |
Maiden Holdings Ltd. | 362,061 | 3,295 | |
Chesapeake Lodging Trust | 191,903 | 3,274 | |
* | Tejon Ranch Co. | 95,694 | 3,263 |
Dime Community Bancshares Inc. | 220,574 | 3,207 | |
Saul Centers Inc. | 81,342 | 3,202 | |
* | Encore Capital Group Inc. | 103,803 | 3,189 |
15
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Nelnet Inc. Class A | 144,441 | 3,186 | |
* | FPIC Insurance Group Inc. | 76,121 | 3,173 |
S&T Bancorp Inc. | 170,129 | 3,163 | |
* | ICG Group Inc. | 258,384 | 3,160 |
PennantPark Investment Corp. | 281,131 | 3,151 | |
BlackRock Kelso Capital Corp. | 350,821 | 3,147 | |
Community Trust Bancorp Inc. | 113,169 | 3,137 | |
Sabra Healthcare REIT Inc. | 186,821 | 3,122 | |
* | AMERISAFE Inc. | 136,902 | 3,097 |
Advance America Cash Advance Centers Inc. | 446,155 | 3,074 | |
Simmons First National Corp. Class A | 118,155 | 3,032 | |
* | Nara Bancorp Inc. | 370,418 | 3,012 |
Trustco Bank Corp. NY | 612,297 | 3,000 | |
Ramco-Gershenson Properties Trust | 241,633 | 2,991 | |
Hercules Technology Growth Capital Inc. | 283,094 | 2,978 | |
Flushing Financial Corp. | 228,690 | 2,973 | |
Campus Crest Communities Inc. | 227,538 | 2,944 | |
* | Piper Jaffray Cos. | 101,773 | 2,932 |
Harleysville Group Inc. | 92,991 | 2,899 | |
* | West Coast Bancorp | 172,300 | 2,888 |
* | State Bank Financial Corp. | 174,200 | 2,852 |
First Financial Corp. | 85,628 | 2,803 | |
Renasant Corp. | 192,060 | 2,783 | |
Flagstone Reinsurance Holdings SA | 321,441 | 2,710 | |
Duff & Phelps Corp. Class A | 209,375 | 2,686 | |
Sandy Spring Bancorp Inc. | 148,283 | 2,668 | |
Urstadt Biddle Properties Inc. Class A | 146,375 | 2,651 | |
United Fire & Casualty Co. | 150,964 | 2,622 | |
Winthrop Realty Trust | 218,529 | 2,609 | |
National Interstate Corp. | 111,994 | 2,565 | |
Parkway Properties Inc. | 150,058 | 2,560 | |
Triangle Capital Corp. | 137,088 | 2,531 | |
SCBT Financial Corp. | 87,206 | 2,501 | |
* | Hilltop Holdings Inc. | 281,685 | 2,490 |
* | Intl. FCStone Inc. | 100,787 | 2,440 |
National Western Life Insurance Co. Class A | 15,261 | 2,434 | |
Cardinal Financial Corp. | 214,165 | 2,345 | |
Washington Trust Bancorp Inc. | 101,764 | 2,338 | |
* | Bancorp Inc. | 221,023 | 2,310 |
MVC Capital Inc. | 171,607 | 2,270 | |
* | eHealth Inc. | 169,132 | 2,260 |
* | Beneficial Mutual Bancorp Inc. | 274,374 | 2,254 |
*,^ | First Republic Bank | 69,255 | 2,236 |
* | Center Financial Corp. | 351,656 | 2,233 |
Oppenheimer Holdings Inc. Class A | 78,985 | 2,228 | |
Tompkins Financial Corp. | 55,221 | 2,167 | |
* | United Community Banks Inc. | 205,084 | 2,166 |
SY Bancorp Inc. | 92,477 | 2,150 | |
* | Eagle Bancorp Inc. | 160,197 | 2,131 |
Bancfirst Corp. | 54,474 | 2,103 | |
OneBeacon Insurance Group Ltd. Class A | 156,638 | 2,097 | |
* | Ameris Bancorp | 235,894 | 2,092 |
Berkshire Hills Bancorp Inc. | 93,169 | 2,086 | |
1st Source Corp. | 100,281 | 2,080 | |
Calamos Asset Management Inc. Class A | 142,677 | 2,072 | |
GAMCO Investors Inc. | 44,573 | 2,063 | |
TICC Capital Corp. | 214,911 | 2,063 | |
GFI Group Inc. | 444,627 | 2,041 | |
* | NewStar Financial Inc. | 190,938 | 2,039 |
WSFS Financial Corp. | 50,456 | 2,001 | |
^ | TowneBank | 149,504 | 2,000 |
Lakeland Financial Corp. | 89,288 | 1,988 | |
First Busey Corp. | 374,924 | 1,983 | |
* | Global Indemnity plc | 89,089 | 1,976 |
16
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Coresite Realty Corp. | 119,983 | 1,968 | |
Provident New York Bancorp | 234,802 | 1,963 | |
* | Wilshire Bancorp Inc. | 662,239 | 1,947 |
* | Phoenix Cos. Inc. | 790,787 | 1,945 |
* | Doral Financial Corp. | 991,959 | 1,944 |
Federal Agricultural Mortgage Corp. | 87,392 | 1,933 | |
Southside Bancshares Inc. | 96,952 | 1,925 | |
* | Hanmi Financial Corp. | 1,794,805 | 1,920 |
Kite Realty Group Trust | 383,217 | 1,908 | |
* | Citizens Republic Bancorp Inc. | 2,741,894 | 1,892 |
* | Cowen Group Inc. Class A | 500,009 | 1,880 |
StellarOne Corp. | 153,645 | 1,861 | |
SeaBright Holdings Inc. | 187,167 | 1,853 | |
Westfield Financial Inc. | 227,163 | 1,845 | |
Cogdell Spencer Inc. | 305,391 | 1,829 | |
* | Citizens Inc. | 267,621 | 1,825 |
Arrow Financial Corp. | 74,218 | 1,816 | |
CBOE Holdings Inc. | 73,095 | 1,798 | |
Arlington Asset Investment Corp. Class A | 57,076 | 1,792 | |
Monmouth Real Estate Investment Corp. Class A | 211,825 | 1,790 | |
Capital Southwest Corp. | 19,154 | 1,767 | |
Hudson Pacific Properties Inc. | 112,616 | 1,749 | |
West Bancorporation Inc. | 196,963 | 1,735 | |
^ | German American Bancorp Inc. | 104,476 | 1,732 |
Mission West Properties Inc. | 195,870 | 1,720 | |
Agree Realty Corp. | 76,915 | 1,718 | |
Great Southern Bancorp Inc. | 90,307 | 1,711 | |
Baldwin & Lyons Inc. | 73,812 | 1,710 | |
Republic Bancorp Inc. Class A | 85,196 | 1,695 | |
Main Street Capital Corp. | 89,330 | 1,693 | |
* | Southwest Bancorp Inc. | 172,865 | 1,692 |
* | 1st United Bancorp Inc. | 270,694 | 1,684 |
Cedar Shopping Centers Inc. | 325,794 | 1,678 | |
Univest Corp. of Pennsylvania | 106,573 | 1,666 | |
Tower Bancorp Inc. | 60,727 | 1,664 | |
Financial Institutions Inc. | 101,216 | 1,662 | |
Kearny Financial Corp. | 181,866 | 1,657 | |
State Auto Financial Corp. | 94,494 | 1,647 | |
OceanFirst Financial Corp. | 126,770 | 1,642 | |
* | PMI Group Inc. | 1,533,549 | 1,641 |
Lakeland Bancorp Inc. | 160,073 | 1,598 | |
Sterling Bancorp | 167,964 | 1,594 | |
Camden National Corp. | 48,313 | 1,585 | |
* | Metro Bancorp Inc. | 137,985 | 1,576 |
Northfield Bancorp Inc. | 111,933 | 1,574 | |
CapLease Inc. | 318,652 | 1,565 | |
* | OmniAmerican Bancorp Inc. | 103,795 | 1,554 |
One Liberty Properties Inc. | 100,561 | 1,553 | |
United Financial Bancorp Inc. | 100,065 | 1,544 | |
Gladstone Commercial Corp. | 87,203 | 1,511 | |
*,^ | Macatawa Bank Corp. | 543,974 | 1,504 |
* | Flagstar Bancorp Inc. | 1,250,674 | 1,488 |
Westwood Holdings Group Inc. | 39,008 | 1,486 | |
Presidential Life Corp. | 141,726 | 1,480 | |
* | Sun Bancorp Inc. | 402,920 | 1,471 |
ViewPoint Financial Group | 104,846 | 1,447 | |
Abington Bancorp Inc. | 138,000 | 1,439 | |
MainSource Financial Group Inc. | 172,902 | 1,435 | |
Edelman Financial Group Inc. | 180,896 | 1,427 | |
National Bankshares Inc. | 56,747 | 1,421 | |
Kohlberg Capital Corp. | 178,611 | 1,420 | |
* | Seacoast Banking Corp. of Florida | 940,425 | 1,411 |
Summit Hotel Properties Inc. | 123,500 | 1,402 | |
Crawford & Co. Class B | 197,436 | 1,396 |
17
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
First Merchants Corp. | 155,500 | 1,390 | |
People's United Financial Inc. | 100,312 | 1,348 | |
* | Virginia Commerce Bancorp Inc. | 228,083 | 1,348 |
ESSA Bancorp Inc. | 107,679 | 1,337 | |
Chatham Lodging Trust | 82,828 | 1,334 | |
* | Gramercy Capital Corp. | 433,960 | 1,315 |
CoBiz Financial Inc. | 197,661 | 1,293 | |
Banner Corp. | 73,489 | 1,286 | |
Hudson Valley Holding Corp. | 66,489 | 1,284 | |
* | Meridian Interstate Bancorp Inc. | 93,129 | 1,275 |
Heartland Financial USA Inc. | 87,366 | 1,271 | |
Bank Mutual Corp. | 342,662 | 1,258 | |
* | Cape Bancorp Inc. | 124,900 | 1,249 |
Territorial Bancorp Inc. | 60,251 | 1,248 | |
* | Harris & Harris Group Inc. | 242,593 | 1,245 |
Stewart Information Services Corp. | 122,804 | 1,232 | |
Northrim BanCorp Inc. | 64,897 | 1,231 | |
* | Heritage Commerce Corp. | 238,033 | 1,216 |
Diamond Hill Investment Group Inc. | 14,787 | 1,202 | |
First Interstate Bancsystem Inc. | 81,283 | 1,198 | |
SWS Group Inc. | 199,791 | 1,197 | |
Heritage Financial Corp. | 92,148 | 1,191 | |
Bryn Mawr Bank Corp. | 58,721 | 1,189 | |
Gladstone Capital Corp. | 127,162 | 1,175 | |
* | NewBridge Bancorp | 255,219 | 1,169 |
Asta Funding Inc. | 139,237 | 1,168 | |
* | Gleacher & Co. Inc. | 561,209 | 1,145 |
*,^ | Taylor Capital Group Inc. | 139,277 | 1,137 |
BankFinancial Corp. | 133,941 | 1,134 | |
* | Guaranty Bancorp | 846,206 | 1,134 |
* | Netspend Holdings Inc. | 111,398 | 1,114 |
Century Bancorp Inc. Class A | 41,931 | 1,110 | |
Donegal Group Inc. Class B | 63,194 | 1,106 | |
First Bancorp | 107,705 | 1,103 | |
NGP Capital Resources Co. | 134,195 | 1,100 | |
Consolidated-Tomoka Land Co. | 37,984 | 1,086 | |
Gladstone Investment Corp. | 152,099 | 1,086 | |
First Community Bancshares Inc. | 77,236 | 1,081 | |
Citizens & Northern Corp. | 71,650 | 1,080 | |
* | Park Sterling Corp. | 217,449 | 1,079 |
Terreno Realty Corp. | 63,399 | 1,078 | |
Trico Bancshares | 73,707 | 1,076 | |
Home Federal Bancorp Inc. | 97,600 | 1,073 | |
Clifton Savings Bancorp Inc. | 96,539 | 1,066 | |
First of Long Island Corp. | 38,070 | 1,062 | |
* | Pacific Mercantile Bancorp | 245,654 | 1,046 |
Union First Market Bankshares Corp. | 85,863 | 1,046 | |
Merchants Bancshares Inc. | 41,466 | 1,015 | |
Center Bancorp Inc. | 97,116 | 1,014 | |
Enterprise Financial Services Corp. | 74,725 | 1,011 | |
* | First California Financial Group Inc. | 283,833 | 1,009 |
Suffolk Bancorp | 72,141 | 1,007 | |
* | Bridge Capital Holdings | 90,503 | 1,003 |
ESB Financial Corp. | 77,238 | 998 | |
Epoch Holding Corp. | 54,694 | 976 | |
* | BofI Holding Inc. | 67,102 | 967 |
Washington Banking Co. | 72,719 | 961 | |
* | Green Dot Corp. Class A | 28,200 | 958 |
Penns Woods Bancorp Inc. | 27,751 | 954 | |
* | Thomas Properties Group Inc. | 293,023 | 941 |
Bancorp Rhode Island Inc. | 20,379 | 924 | |
Capital City Bank Group Inc. | 89,807 | 921 | |
First Bancorp Inc. | 61,813 | 919 | |
Peoples Bancorp Inc. | 81,388 | 917 |
18
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Excel Trust Inc. | 82,244 | 907 | |
State Bancorp Inc. | 67,996 | 907 | |
* | First Financial Northwest Inc. | 177,991 | 902 |
* | Ladenburg Thalmann Financial Services Inc. | 649,722 | 897 |
Eastern Insurance Holdings Inc. | 67,395 | 892 | |
^ | Kansas City Life Insurance Co. | 28,204 | 879 |
MicroFinancial Inc. | 156,934 | 868 | |
* | Chicopee Bancorp Inc. | 60,346 | 863 |
*,^ | Home Bancorp Inc. | 58,103 | 859 |
Orrstown Financial Services Inc. | 32,143 | 846 | |
Fox Chase Bancorp Inc. | 61,711 | 836 | |
American National Bankshares Inc. | 45,411 | 835 | |
FXCM Inc. Class A | 83,200 | 825 | |
EMC Insurance Group Inc. | 43,053 | 822 | |
First Financial Holdings Inc. | 91,522 | 821 | |
* | MPG Office Trust Inc. | 286,642 | 820 |
* | American Safety Insurance Holdings Ltd. | 42,164 | 807 |
Pulaski Financial Corp. | 110,767 | 795 | |
* | FBR & Co. | 233,375 | 793 |
Meta Financial Group Inc. | 41,575 | 792 | |
*,^ | First BanCorp | 179,984 | 776 |
Parkvale Financial Corp. | 36,069 | 775 | |
* | Avatar Holdings Inc. | 50,945 | 775 |
Kennedy-Wilson Holdings Inc. | 62,721 | 768 | |
* | Capital Bank Corp. | 218,617 | 763 |
Indiana Community Bancorp | 43,407 | 759 | |
Centerstate Banks Inc. | 109,568 | 758 | |
Bridge Bancorp Inc. | 35,063 | 746 | |
* | Tree.com Inc. | 145,447 | 745 |
MutualFirst Financial Inc. | 80,909 | 738 | |
* | Republic First Bancorp Inc. | 333,769 | 738 |
US Global Investors Inc. Class A | 100,715 | 725 | |
*,^ | Cascade Bancorp | 71,715 | 724 |
* | Marlin Business Services Corp. | 55,630 | 704 |
* | Intervest Bancshares Corp. Class A | 225,255 | 689 |
Bank of Marin Bancorp | 19,300 | 683 | |
Medallion Financial Corp. | 69,572 | 678 | |
UMH Properties Inc. | 63,298 | 677 | |
* | Unity Bancorp Inc. | 98,080 | 666 |
TF Financial Corp. | 30,391 | 664 | |
Pzena Investment Management Inc. Class A | 116,273 | 660 | |
Rockville Financial Inc. | 66,559 | 659 | |
Urstadt Biddle Properties Inc. | 38,700 | 652 | |
* | MetroCorp Bancshares Inc. | 99,334 | 646 |
* | AmeriServ Financial Inc. | 333,911 | 638 |
Legacy Bancorp Inc. | 45,547 | 631 | |
Pacific Continental Corp. | 68,638 | 628 | |
PMC Commercial Trust | 75,358 | 622 | |
* | Mercantile Bank Corp. | 74,836 | 621 |
* | Nicholas Financial Inc. | 51,797 | 615 |
First South Bancorp Inc. | 142,026 | 606 | |
Universal Insurance Holdings Inc. | 128,326 | 599 | |
* | Fidelity Southern Corp. | 87,594 | 599 |
Ocean Shore Holding Co. | 48,711 | 588 | |
* | Pacific Capital Bancorp NA | 18,334 | 583 |
JMP Group Inc. | 82,133 | 577 | |
Provident Financial Holdings Inc. | 72,199 | 573 | |
Tortoise Capital Resources Corp. | 70,633 | 571 | |
CNB Financial Corp. | 40,983 | 569 | |
* | First Marblehead Corp. | 321,542 | 569 |
* | Riverview Bancorp Inc. | 185,647 | 564 |
* | Community Capital Corp. | 175,634 | 562 |
*,^ | BankAtlantic Bancorp Inc. Class A | 587,347 | 558 |
BCB Bancorp Inc. | 48,243 | 549 |
19
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Kaiser Federal Financial Group Inc. | 43,843 | 540 | |
* | Walker & Dunlop Inc. | 40,515 | 539 |
*,^ | Green Bankshares Inc. | 203,322 | 533 |
* | Asset Acceptance Capital Corp. | 130,270 | 526 |
Sierra Bancorp | 46,020 | 521 | |
Donegal Group Inc. Class A | 39,408 | 504 | |
Golub Capital BDC Inc. | 33,636 | 502 | |
Alliance Financial Corp. | 16,429 | 502 | |
*,^ | United Security Bancshares | 160,684 | 500 |
QC Holdings Inc. | 120,949 | 484 | |
STAG Industrial Inc. | 39,400 | 483 | |
* | Timberland Bancorp Inc. | 81,579 | 482 |
CFS Bancorp Inc. | 89,648 | 481 | |
Peapack Gladstone Financial Corp. | 40,002 | 471 | |
Middleburg Financial Corp. | 31,177 | 466 | |
* | Imperial Holdings Inc. | 45,300 | 460 |
* | Louisiana Bancorp Inc. | 28,268 | 446 |
* | Firstcity Financial Corp. | 66,475 | 441 |
* | Yadkin Valley Financial Corp. | 209,561 | 438 |
Roma Financial Corp. | 41,466 | 435 | |
New Hampshire Thrift Bancshares Inc. | 32,330 | 431 | |
Citizens Holding Co. | 21,654 | 422 | |
* | Preferred Bank | 58,157 | 419 |
* | United Community Financial Corp. | 328,120 | 417 |
Peoples Bancorp of North Carolina Inc. | 64,718 | 414 | |
* | Maui Land & Pineapple Co. Inc. | 82,523 | 413 |
^ | Life Partners Holdings Inc. | 119,318 | 410 |
* | Franklin Financial Corp. | 33,500 | 404 |
Shore Bancshares Inc. | 57,930 | 403 | |
*,^ | Encore Bancshares Inc. | 32,333 | 389 |
First United Corp. | 78,120 | 388 | |
Independence Holding Co. | 36,215 | 378 | |
* | WSB Holdings Inc. | 125,752 | 375 |
Ames National Corp. | 20,363 | 370 | |
* | First Defiance Financial Corp. | 25,073 | 368 |
* | Stratus Properties Inc. | 27,459 | 368 |
* | Penson Worldwide Inc. | 102,872 | 367 |
* | 21st Century Holding Co. | 130,272 | 354 |
Citizens South Banking Corp. | 81,810 | 335 | |
* | Southcoast Financial Corp. | 100,892 | 326 |
* | Waterstone Financial Inc. | 144,422 | 325 |
* | ZipRealty Inc. | 140,616 | 323 |
Ohio Valley Banc Corp. | 17,915 | 313 | |
* | American River Bankshares | 50,139 | 305 |
*,^ | NASB Financial Inc. | 29,140 | 304 |
* | MBT Financial Corp. | 221,345 | 301 |
* | Tower Financial Corp. | 34,884 | 286 |
*,^ | BancTrust Financial Group Inc. | 110,963 | 285 |
Bar Harbor Bankshares | 10,072 | 285 | |
Hawthorn Bancshares Inc. | 36,925 | 283 | |
* | North Valley Bancorp | 26,395 | 272 |
* | First Acceptance Corp. | 146,908 | 272 |
Firstbank Corp. | 46,094 | 268 | |
VIST Financial Corp. | 37,845 | 265 | |
* | Tennessee Commerce Bancorp Inc. | 101,163 | 262 |
* | Hallmark Financial Services | 32,820 | 258 |
* | BRT Realty Trust | 39,682 | 250 |
* | Bank of Granite Corp. | 259,864 | 247 |
*,^ | Hampton Roads Bankshares Inc. | 24,797 | 246 |
Prudential Bancorp Inc. of Pennsylvania | 41,906 | 240 | |
* | PVF Capital Corp. | 128,670 | 234 |
United Security Bancshares | 48,084 | 230 | |
* | Jefferson Bancshares Inc. | 69,923 | 227 |
* | Pacific Premier Bancorp Inc. | 35,217 | 225 |
20
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Bank of Commerce Holdings | 53,598 | 225 | |
^ | Heritage Financial Group Inc. | 18,756 | 224 |
* | Investors Capital Holdings Ltd. | 34,850 | 220 |
*,^ | Anchor Bancorp Wisconsin Inc. | 300,573 | 213 |
*,^ | Dearborn Bancorp Inc. | 175,758 | 207 |
* | Independent Bank Corp. | 101,623 | 206 |
* | CompuCredit Holdings Corp. | 87,856 | 204 |
* | Southern National Bancorp of Virginia Inc. | 29,286 | 199 |
Bank of Kentucky Financial Corp. | 8,678 | 193 | |
*,^ | Princeton National Bancorp Inc. | 38,572 | 193 |
Investors Title Co. | 4,773 | 192 | |
Federal Agricultural Mortgage Corp. Class A | 12,788 | 190 | |
* | Summit Financial Group Inc. | 62,256 | 190 |
* | Supertel Hospitality Inc. | 205,525 | 189 |
*,^ | Premierwest Bancorp | 127,874 | 185 |
Hampden Bancorp Inc. | 13,609 | 181 | |
* | Farmers Capital Bank Corp. | 32,779 | 172 |
*,^ | Colony Bankcorp Inc. | 59,023 | 169 |
* | Camco Financial Corp. | 90,601 | 163 |
* | First Place Financial Corp. | 140,884 | 162 |
* | Savannah Bancorp Inc. | 21,800 | 162 |
Norwood Financial Corp. | 6,139 | 160 | |
* | Guaranty Federal Bancshares Inc. | 27,970 | 150 |
Old Point Financial Corp. | 12,762 | 150 | |
MidWestOne Financial Group Inc. | 9,269 | 134 | |
* | Southern Community Financial Corp. | 116,600 | 128 |
* | Consumer Portfolio Services Inc. | 100,442 | 119 |
* | Atlantic Coast Financial Corp. | 17,372 | 118 |
* | Community Bankers Trust Corp. | 87,710 | 117 |
* | HMN Financial Inc. | 45,747 | 112 |
* | TIB Financial Corp. | 7,951 | 107 |
Beacon Federal Bancorp Inc. | 7,639 | 106 | |
* | OBA Financial Services Inc. | 7,070 | 105 |
Midsouth Bancorp Inc. | 7,606 | 104 | |
* | First Security Group Inc. | 150,407 | 98 |
* | First Citizens Banc Corp. | 24,679 | 94 |
* | Xenith Bankshares Inc. | 21,775 | 89 |
*,^ | Herald National Bank | 22,500 | 89 |
* | MHI Hospitality Corp. | 30,674 | 88 |
^ | Brooklyn Federal Bancorp Inc. | 54,847 | 85 |
FedFirst Financial Corp. | 5,529 | 82 | |
* | Parke Bancorp Inc. | 10,596 | 82 |
^ | Old Second Bancorp Inc. | 89,701 | 81 |
* | First Financial Service Corp. | 22,276 | 75 |
Codorus Valley Bancorp Inc. | 6,575 | 70 | |
Monarch Financial Holdings Inc. | 8,666 | 68 | |
* | Rodman & Renshaw Capital Group Inc. | 53,807 | 67 |
Peoples Financial Corp. | 4,686 | 64 | |
* | First Savings Financial Group Inc. | 3,846 | 63 |
* | Royal Bancshares of Pennsylvania Inc. | 39,973 | 62 |
Enterprise Bancorp Inc. | 3,947 | 59 | |
* | Presidential Realty Corp. Class B | 46,000 | 59 |
First Pactrust Bancorp Inc. | 3,827 | 57 | |
* | Grubb & Ellis Co. | 175,240 | 56 |
* | BCSB Bancorp Inc. | 3,821 | 54 |
United Bancshares Inc. | 5,802 | 53 | |
* | Southern First Bancshares Inc. | 6,182 | 53 |
* | Premier Financial Bancorp Inc. | 7,243 | 52 |
* | 1st Constitution Bancorp | 6,422 | 50 |
* | Cascade Financial Corp. | 93,296 | 42 |
* | Northern States Financial Corp. | 36,253 | 40 |
Porter Bancorp Inc. | 7,493 | 37 | |
* | Crescent Financial Corp. | 9,196 | 37 |
First Bancshares Inc. | 3,343 | 33 |
21
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
United Bancorp Inc. | 3,747 | 33 | |
* | Heritage Oaks Bancorp | 8,400 | 32 |
* | Saratoga Investment Corp. | 1,483 | 31 |
Britton & Koontz Capital Corp. | 2,350 | 30 | |
*,^ | FNB United Corp. | 68,477 | 29 |
* | Berkshire Bancorp Inc. | 4,217 | 29 |
* | First Capital Bancorp Inc. | 5,724 | 24 |
* | 1st Century Bancshares Inc. | 5,905 | 22 |
* | New Century Bancorp Inc. | 4,584 | 20 |
* | Citizens Community Bancorp Inc. | 3,172 | 17 |
* | Affirmative Insurance Holdings Inc. | 7,091 | 17 |
* | Rurban Financial Corp. | 5,340 | 16 |
Horizon Bancorp | 591 | 16 | |
* | Sussex Bancorp | 2,300 | 15 |
* | Magyar Bancorp Inc. | 3,686 | 15 |
* | Community Partners Bancorp | 2,900 | 14 |
* | Penn Millers Holding Corp. | 767 | 13 |
* | Mercantile Bancorp Inc. | 15,601 | 13 |
* | Gyrodyne Co. of America Inc. | 176 | 12 |
* | Alliance Bankshares Corp. | 2,400 | 12 |
* | Rand Capital Corp. | 4,050 | 12 |
Harleysville Savings Financial Corp. | 600 | 9 | |
* | Central Valley Community Bancorp | 1,074 | 7 |
* | First Mariner Bancorp Inc. | 10,874 | 7 |
* | Commonwealth Bankshares Inc. | 13,840 | 6 |
* | Village Bank and Trust Financial Corp. | 2,400 | 5 |
Mid Penn Bancorp Inc. | 484 | 4 | |
* | Peoples Federal Bancshares Inc. | 273 | 4 |
* | Siebert Financial Corp. | 1,336 | 2 |
* | Jacksonville Bancorp Inc. | 300 | 2 |
* | Community Financial Corp. | 300 | 1 |
* | Severn Bancorp Inc. | 300 | 1 |
* | Anchor Bancorp Inc. | 100 | 1 |
* | Laporte Bancorp Inc. | 100 | 1 |
Kentucky First Federal Bancorp | 103 | 1 | |
* | Ohio Legacy Corp. | 100 | — |
3,796,823 | |||
Health Care (11.7%) | |||
* | Vertex Pharmaceuticals Inc. | 1,433,873 | 74,547 |
* | Illumina Inc. | 858,882 | 64,545 |
* | Alexion Pharmaceuticals Inc. | 1,282,479 | 60,315 |
Perrigo Co. | 580,361 | 50,996 | |
* | Henry Schein Inc. | 642,253 | 45,979 |
* | Dendreon Corp. | 1,017,390 | 40,126 |
* | Mettler-Toledo International Inc. | 224,281 | 37,829 |
* | Hologic Inc. | 1,824,485 | 36,800 |
Universal Health Services Inc. Class B | 681,452 | 35,115 | |
* | ResMed Inc. | 1,066,721 | 33,015 |
* | Endo Pharmaceuticals Holdings Inc. | 813,033 | 32,660 |
* | Human Genome Sciences Inc. | 1,322,945 | 32,465 |
* | IDEXX Laboratories Inc. | 400,024 | 31,026 |
* | Regeneron Pharmaceuticals Inc. | 524,962 | 29,771 |
* | HCA Holdings Inc. | 862,900 | 28,476 |
Cooper Cos. Inc. | 327,630 | 25,961 | |
Omnicare Inc. | 808,820 | 25,793 | |
* | Allscripts Healthcare Solutions Inc. | 1,326,698 | 25,764 |
* | Pharmasset Inc. | 225,803 | 25,335 |
* | Covance Inc. | 423,369 | 25,135 |
* | Kinetic Concepts Inc. | 429,665 | 24,762 |
* | AMERIGROUP Corp. | 346,328 | 24,406 |
* | Mednax Inc. | 334,588 | 24,154 |
* | Gen-Probe Inc. | 334,548 | 23,134 |
* | Alere Inc. | 596,305 | 21,837 |
* | Healthspring Inc. | 472,750 | 21,798 |
22
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Techne Corp. | 259,316 | 21,619 | |
Pharmaceutical Product Development Inc. | 789,937 | 21,202 | |
* | BioMarin Pharmaceutical Inc. | 773,848 | 21,056 |
Hill-Rom Holdings Inc. | 441,322 | 20,318 | |
* | Health Net Inc. | 631,703 | 20,271 |
* | United Therapeutics Corp. | 356,160 | 19,624 |
* | Catalyst Health Solutions Inc. | 347,597 | 19,403 |
Lincare Holdings Inc. | 660,734 | 19,340 | |
* | Health Management Associates Inc. Class A | 1,767,761 | 19,056 |
* | Healthsouth Corp. | 666,435 | 17,494 |
Teleflex Inc. | 281,259 | 17,174 | |
* | Sirona Dental Systems Inc. | 323,387 | 17,172 |
* | Community Health Systems Inc. | 655,460 | 16,832 |
* | Incyte Corp. Ltd. | 869,561 | 16,469 |
Medicis Pharmaceutical Corp. Class A | 430,062 | 16,415 | |
* | Bio-Rad Laboratories Inc. Class A | 136,851 | 16,335 |
* | Salix Pharmaceuticals Ltd. | 407,458 | 16,229 |
* | Onyx Pharmaceuticals Inc. | 442,386 | 15,616 |
Owens & Minor Inc. | 444,889 | 15,344 | |
* | WellCare Health Plans Inc. | 297,015 | 15,270 |
* | HMS Holdings Corp. | 197,337 | 15,169 |
* | Cubist Pharmaceuticals Inc. | 418,359 | 15,057 |
* | Cepheid Inc. | 431,098 | 14,933 |
* | Brookdale Senior Living Inc. Class A | 607,174 | 14,724 |
* | Charles River Laboratories International Inc. | 360,476 | 14,653 |
STERIS Corp. | 413,700 | 14,471 | |
* | LifePoint Hospitals Inc. | 367,677 | 14,369 |
* | Seattle Genetics Inc. | 684,601 | 14,048 |
* | Amylin Pharmaceuticals Inc. | 1,018,557 | 13,608 |
* | Myriad Genetics Inc. | 598,422 | 13,590 |
* | Thoratec Corp. | 399,586 | 13,114 |
* | VCA Antech Inc. | 602,636 | 12,776 |
* | Alkermes Inc. | 668,377 | 12,432 |
* | Centene Corp. | 349,015 | 12,401 |
Masimo Corp. | 417,062 | 12,378 | |
* | InterMune Inc. | 334,712 | 11,999 |
* | Magellan Health Services Inc. | 218,217 | 11,945 |
* | Volcano Corp. | 364,880 | 11,782 |
Quality Systems Inc. | 134,470 | 11,739 | |
* | Haemonetics Corp. | 179,321 | 11,543 |
* | Align Technology Inc. | 483,482 | 11,023 |
* | PSS World Medical Inc. | 387,491 | 10,854 |
* | Theravance Inc. | 469,849 | 10,435 |
* | Ariad Pharmaceuticals Inc. | 920,452 | 10,429 |
* | Bruker Corp. | 509,409 | 10,372 |
* | Questcor Pharmaceuticals Inc. | 430,313 | 10,371 |
West Pharmaceutical Services Inc. | 233,983 | 10,239 | |
* | Immucor Inc. | 490,666 | 10,019 |
* | athenahealth Inc. | 243,326 | 10,001 |
* | Impax Laboratories Inc. | 455,833 | 9,933 |
* | Viropharma Inc. | 531,669 | 9,836 |
Chemed Corp. | 148,625 | 9,738 | |
* | Parexel International Corp. | 411,102 | 9,686 |
* | NuVasive Inc. | 276,708 | 9,098 |
* | Acorda Therapeutics Inc. | 279,093 | 9,017 |
* | Zoll Medical Corp. | 154,741 | 8,768 |
* | Par Pharmaceutical Cos. Inc. | 256,314 | 8,453 |
* | Exelixis Inc. | 892,832 | 8,000 |
* | Kindred Healthcare Inc. | 365,844 | 7,855 |
* | Neogen Corp. | 165,058 | 7,462 |
Invacare Corp. | 223,324 | 7,412 | |
* | Insulet Corp. | 326,054 | 7,229 |
* | MAKO Surgical Corp. | 243,057 | 7,226 |
* | MWI Veterinary Supply Inc. | 88,884 | 7,179 |
23
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Meridian Bioscience Inc. | 286,334 | 6,904 | |
* | Ironwood Pharmaceuticals Inc. | 437,105 | 6,871 |
* | Integra LifeSciences Holdings Corp. | 143,608 | 6,866 |
*,^ | Accretive Health Inc. | 233,369 | 6,719 |
* | Auxilium Pharmaceuticals Inc. | 340,669 | 6,677 |
* | Isis Pharmaceuticals Inc. | 711,127 | 6,514 |
* | Arthrocare Corp. | 194,475 | 6,509 |
* | DexCom Inc. | 441,208 | 6,393 |
* | Momenta Pharmaceuticals Inc. | 319,290 | 6,213 |
* | Medicines Co. | 370,793 | 6,122 |
* | Air Methods Corp. | 79,919 | 5,973 |
* | Nektar Therapeutics | 810,434 | 5,892 |
* | Amsurg Corp. Class A | 223,514 | 5,840 |
* | Hanger Orthopedic Group Inc. | 237,064 | 5,801 |
* | NxStage Medical Inc. | 276,938 | 5,766 |
* | CONMED Corp. | 202,080 | 5,755 |
* | NPS Pharmaceuticals Inc. | 596,354 | 5,636 |
* | Amedisys Inc. | 210,552 | 5,607 |
* | Luminex Corp. | 263,042 | 5,498 |
* | ExamWorks Group Inc. | 214,482 | 5,446 |
* | IPC The Hospitalist Co. Inc. | 116,773 | 5,412 |
* | Orthofix International NV | 126,523 | 5,373 |
* | Sequenom Inc. | 706,703 | 5,336 |
* | Medivation Inc. | 246,920 | 5,291 |
* | Merit Medical Systems Inc. | 286,769 | 5,153 |
* | Immunogen Inc. | 420,387 | 5,125 |
Computer Programs & Systems Inc. | 78,622 | 4,991 | |
* | Molina Healthcare Inc. | 183,209 | 4,969 |
* | Jazz Pharmaceuticals Inc. | 148,418 | 4,950 |
* | Cyberonics Inc. | 174,376 | 4,874 |
* | Vivus Inc. | 580,595 | 4,726 |
* | Affymetrix Inc. | 593,020 | 4,703 |
Analogic Corp. | 87,779 | 4,616 | |
* | Greatbatch Inc. | 167,110 | 4,482 |
* | Rigel Pharmaceuticals Inc. | 487,507 | 4,470 |
* | Gentiva Health Services Inc. | 214,524 | 4,469 |
* | Abaxis Inc. | 161,146 | 4,391 |
* | MedAssets Inc. | 321,909 | 4,301 |
* | Wright Medical Group Inc. | 280,388 | 4,206 |
* | Savient Pharmaceuticals Inc. | 549,491 | 4,116 |
Landauer Inc. | 65,607 | 4,041 | |
* | Emeritus Corp. | 186,324 | 3,959 |
* | ICU Medical Inc. | 89,995 | 3,933 |
* | Exact Sciences Corp. | 454,639 | 3,910 |
* | Optimer Pharmaceuticals Inc. | 324,785 | 3,862 |
* | Enzon Pharmaceuticals Inc. | 378,191 | 3,801 |
Universal American Corp. | 346,947 | 3,799 | |
* | Halozyme Therapeutics Inc. | 546,009 | 3,773 |
* | Targacept Inc. | 178,456 | 3,760 |
* | HeartWare International Inc. | 50,624 | 3,750 |
* | Sunrise Senior Living Inc. | 391,704 | 3,733 |
* | Micromet Inc. | 646,632 | 3,712 |
* | Bio-Reference Labs Inc. | 175,419 | 3,666 |
* | Omnicell Inc. | 232,902 | 3,631 |
* | Geron Corp. | 904,124 | 3,626 |
* | Depomed Inc. | 442,804 | 3,622 |
* | SonoSite Inc. | 99,743 | 3,508 |
* | Healthways Inc. | 230,939 | 3,506 |
* | ABIOMED Inc. | 211,663 | 3,429 |
* | Rural/Metro Corp. | 196,697 | 3,391 |
* | OraSure Technologies Inc. | 396,427 | 3,382 |
National Healthcare Corp. | 68,040 | 3,373 | |
* | Spectrum Pharmaceuticals Inc. | 361,789 | 3,352 |
* | Neurocrine Biosciences Inc. | 397,713 | 3,202 |
24
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | AVANIR Pharmaceuticals Inc. | 946,036 | 3,179 |
* | Pharmacyclics Inc. | 302,563 | 3,159 |
* | Quidel Corp. | 203,577 | 3,084 |
* | Genomic Health Inc. | 109,520 | 3,057 |
* | Akorn Inc. | 434,726 | 3,043 |
* | Natus Medical Inc. | 199,371 | 3,020 |
* | Accuray Inc. | 372,809 | 2,986 |
* | Medidata Solutions Inc. | 123,991 | 2,960 |
* | Lexicon Pharmaceuticals Inc. | 1,645,130 | 2,895 |
* | Corvel Corp. | 60,078 | 2,818 |
* | Triple-S Management Corp. Class B | 129,649 | 2,817 |
* | Emergent Biosolutions Inc. | 123,971 | 2,796 |
* | Keryx Biopharmaceuticals Inc. | 586,019 | 2,772 |
* | Curis Inc. | 771,425 | 2,762 |
* | LHC Group Inc. | 119,257 | 2,750 |
* | AMAG Pharmaceuticals Inc. | 143,581 | 2,699 |
US Physical Therapy Inc. | 108,063 | 2,672 | |
* | PharMerica Corp. | 206,341 | 2,633 |
* | Opko Health Inc. | 710,037 | 2,620 |
* | Conceptus Inc. | 219,394 | 2,560 |
Assisted Living Concepts Inc. Class A | 151,286 | 2,539 | |
* | Select Medical Holdings Corp. | 281,681 | 2,499 |
* | Endologix Inc. | 264,329 | 2,458 |
* | Angiodynamics Inc. | 170,495 | 2,426 |
* | Caliper Life Sciences Inc. | 298,768 | 2,423 |
*,^ | SIGA Technologies Inc. | 245,829 | 2,394 |
* | Idenix Pharmaceuticals Inc. | 476,580 | 2,383 |
* | Alnylam Pharmaceuticals Inc. | 254,157 | 2,381 |
* | Immunomedics Inc. | 568,075 | 2,312 |
* | Sciclone Pharmaceuticals Inc. | 381,551 | 2,305 |
* | Ligand Pharmaceuticals Inc. Class B | 188,890 | 2,257 |
* | Ardea Biosciences Inc. | 88,265 | 2,247 |
* | ZIOPHARM Oncology Inc. | 360,915 | 2,209 |
* | Symmetry Medical Inc. | 245,082 | 2,198 |
Ensign Group Inc. | 72,045 | 2,189 | |
* | Hi-Tech Pharmacal Co. Inc. | 73,994 | 2,141 |
* | Inhibitex Inc. | 544,154 | 2,133 |
* | Team Health Holdings Inc. | 92,671 | 2,086 |
*,^ | Biosante Pharmaceuticals Inc. | 751,587 | 2,067 |
Cantel Medical Corp. | 76,615 | 2,062 | |
* | BioScrip Inc. | 314,603 | 2,042 |
* | Kensey Nash Corp. | 80,837 | 2,040 |
* | eResearchTechnology Inc. | 317,794 | 2,024 |
* | Nabi Biopharmaceuticals | 372,124 | 2,002 |
* | Emdeon Inc. Class A | 152,386 | 1,999 |
*,^ | Cadence Pharmaceuticals Inc. | 217,200 | 1,998 |
*,^ | MannKind Corp. | 518,110 | 1,969 |
* | Five Star Quality Care Inc. | 337,992 | 1,964 |
* | AMN Healthcare Services Inc. | 235,748 | 1,961 |
* | Arqule Inc. | 309,751 | 1,936 |
* | Vical Inc. | 464,395 | 1,913 |
* | Alphatec Holdings Inc. | 547,223 | 1,904 |
* | Stereotaxis Inc. | 540,747 | 1,898 |
*,^ | Columbia Laboratories Inc. | 608,525 | 1,880 |
* | Alliance HealthCare Services Inc. | 492,645 | 1,872 |
* | Dynavax Technologies Corp. | 675,707 | 1,858 |
*,^ | Sangamo Biosciences Inc. | 315,386 | 1,858 |
*,^ | Oncothyreon Inc. | 197,663 | 1,817 |
* | Vanda Pharmaceuticals Inc. | 251,748 | 1,797 |
* | Almost Family Inc. | 64,563 | 1,769 |
* | Palomar Medical Technologies Inc. | 151,848 | 1,713 |
* | XenoPort Inc. | 240,493 | 1,712 |
* | Achillion Pharmaceuticals Inc. | 229,599 | 1,708 |
* | Dusa Pharmaceuticals Inc. | 274,523 | 1,708 |
25
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Neoprobe Corp. | 509,538 | 1,692 |
* | Chelsea Therapeutics International Ltd. | 329,805 | 1,682 |
* | Spectranetics Corp. | 266,441 | 1,657 |
* | RadNet Inc. | 373,069 | 1,642 |
* | Merge Healthcare Inc. | 313,894 | 1,632 |
*,^ | Delcath Systems Inc. | 314,526 | 1,623 |
* | Vascular Solutions Inc. | 129,864 | 1,610 |
*,^ | Cytori Therapeutics Inc. | 332,100 | 1,591 |
* | MAP Pharmaceuticals Inc. | 96,045 | 1,534 |
* | Arena Pharmaceuticals Inc. | 1,121,353 | 1,525 |
* | MedQuist Holdings Inc. | 116,807 | 1,509 |
* | Novavax Inc. | 744,241 | 1,503 |
Atrion Corp. | 7,583 | 1,500 | |
* | Chindex International Inc. | 109,390 | 1,490 |
* | AVEO Pharmaceuticals Inc. | 72,184 | 1,488 |
* | Cross Country Healthcare Inc. | 194,745 | 1,480 |
*,^ | Cell Therapeutics Inc. | 933,128 | 1,470 |
* | Capital Senior Living Corp. | 158,105 | 1,469 |
* | Harvard Bioscience Inc. | 270,466 | 1,442 |
*,^ | Alexza Pharmaceuticals Inc. | 789,027 | 1,436 |
* | Medcath Corp. | 105,354 | 1,432 |
* | American Dental Partners Inc. | 109,771 | 1,423 |
* | AVI BioPharma Inc. | 991,096 | 1,417 |
* | Dyax Corp. | 714,785 | 1,415 |
* | Sun Healthcare Group Inc. | 170,621 | 1,368 |
Maxygen Inc. | 248,621 | 1,360 | |
* | SurModics Inc. | 122,053 | 1,355 |
* | Staar Surgical Co. | 253,096 | 1,341 |
* | AtriCure Inc. | 103,861 | 1,340 |
* | Corcept Therapeutics Inc. | 333,720 | 1,332 |
* | Array Biopharma Inc. | 589,762 | 1,321 |
*,^ | Insmed Inc. | 109,765 | 1,316 |
* | Kendle International Inc. | 87,157 | 1,314 |
* | ISTA Pharmaceuticals Inc. | 171,713 | 1,313 |
* | Providence Service Corp. | 103,236 | 1,306 |
* | Transcend Services Inc. | 43,454 | 1,277 |
Medtox Scientific Inc. | 72,142 | 1,260 | |
* | Affymax Inc. | 183,102 | 1,258 |
* | Durect Corp. | 616,299 | 1,251 |
*,^ | PharmAthene Inc. | 424,795 | 1,249 |
* | CryoLife Inc. | 216,775 | 1,214 |
* | Peregrine Pharmaceuticals Inc. | 651,816 | 1,212 |
* | Progenics Pharmaceuticals Inc. | 168,829 | 1,212 |
* | Allos Therapeutics Inc. | 559,938 | 1,198 |
* | Codexis Inc. | 124,369 | 1,198 |
* | IRIS International Inc. | 119,571 | 1,195 |
* | Metabolix Inc. | 165,695 | 1,183 |
* | Adolor Corp. | 589,041 | 1,172 |
*,^ | Biolase Technology Inc. | 226,867 | 1,166 |
* | Synergetics USA Inc. | 211,456 | 1,165 |
* | Zalicus Inc. | 484,138 | 1,152 |
* | Skilled Healthcare Group Inc. | 118,019 | 1,116 |
* | Furiex Pharmaceuticals Inc. | 61,312 | 1,091 |
*,^ | KV Pharmaceutical Co. Class A | 399,877 | 1,088 |
*,^ | Cel-Sci Corp. | 2,174,698 | 1,087 |
* | Continucare Corp. | 171,238 | 1,058 |
* | Anthera Pharmaceuticals Inc. | 129,453 | 1,058 |
* | Synovis Life Technologies Inc. | 59,555 | 1,037 |
*,^ | Cerus Corp. | 345,522 | 1,037 |
* | Repligen Corp. | 282,028 | 1,027 |
*,^ | BioCryst Pharmaceuticals Inc. | 264,859 | 1,012 |
* | Metropolitan Health Networks Inc. | 210,737 | 1,009 |
*,^ | Apricus Biosciences Inc. | 208,915 | 1,001 |
*,^ | Somaxon Pharmaceuticals Inc. | 468,989 | 999 |
26
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Osiris Therapeutics Inc. | 128,683 | 996 |
* | Mediware Information Systems | 87,842 | 971 |
* | Antares Pharma Inc. | 431,832 | 954 |
* | Santarus Inc. | 282,205 | 951 |
* | Medical Action Industries Inc. | 116,500 | 949 |
*,^ | Rexahn Pharmaceuticals Inc. | 764,092 | 947 |
*,^ | Tornier BV | 34,600 | 932 |
LeMaitre Vascular Inc. | 130,255 | 921 | |
* | Enzo Biochem Inc. | 212,025 | 901 |
* | RTI Biologics Inc. | 327,694 | 888 |
* | Infinity Pharmaceuticals Inc. | 107,476 | 888 |
*,^ | XOMA Ltd. | 368,797 | 867 |
Pain Therapeutics Inc. | 223,741 | 866 | |
* | Solta Medical Inc. | 309,137 | 853 |
* | Digirad Corp. | 307,664 | 834 |
* | Albany Molecular Research Inc. | 171,453 | 825 |
*,^ | Biotime Inc. | 156,688 | 804 |
* | Pacific Biosciences of California Inc. | 67,397 | 789 |
* | Cambrex Corp. | 170,286 | 787 |
* | Cynosure Inc. Class A | 64,159 | 776 |
Psychemedics Corp. | 80,960 | 770 | |
*,^ | CytRx Corp. | 1,059,571 | 763 |
* | Synta Pharmaceuticals Corp. | 150,257 | 756 |
*,^ | Oculus Innovative Sciences Inc. | 407,988 | 751 |
* | SuperGen Inc. | 248,075 | 739 |
* | Myrexis Inc. | 205,574 | 736 |
* | Cardiovascular Systems Inc. | 49,215 | 717 |
* | Pozen Inc. | 169,810 | 713 |
* | Obagi Medical Products Inc. | 74,243 | 700 |
* | Hansen Medical Inc. | 205,120 | 699 |
* | HealthStream Inc. | 52,008 | 690 |
* | GTx Inc. | 143,148 | 686 |
*,^ | Rockwell Medical Technologies Inc. | 53,069 | 681 |
Young Innovations Inc. | 23,468 | 669 | |
* | Simulations Plus Inc. | 230,760 | 669 |
* | PDI Inc. | 92,670 | 657 |
*,^ | BSD Medical Corp. | 159,510 | 652 |
* | Exactech Inc. | 35,172 | 633 |
* | Allied Healthcare International Inc. | 253,423 | 631 |
*,^ | Cyclacel Pharmaceuticals Inc. | 465,833 | 629 |
* | Celldex Therapeutics Inc. | 176,552 | 627 |
*,^ | Raptor Pharmaceutical Corp. | 101,040 | 625 |
* | Sagent Pharmaceuticals Inc. | 22,800 | 615 |
* | Anika Therapeutics Inc. | 86,318 | 615 |
*,^ | Sunesis Pharmaceuticals Inc. | 292,848 | 612 |
* | Hemispherx Biopharma Inc. | 1,503,111 | 601 |
* | LCA-Vision Inc. | 121,916 | 583 |
*,^ | Aastrom Biosciences Inc. | 209,251 | 575 |
* | CardioNet Inc. | 107,928 | 573 |
* | Acadia Pharmaceuticals Inc. | 351,365 | 573 |
* | StemCells Inc. | 1,064,857 | 564 |
* | Orchid Cellmark Inc. | 196,944 | 544 |
* | Biospecifics Technologies Corp. | 23,943 | 536 |
* | Icad Inc. | 506,872 | 532 |
* | Theragenics Corp. | 293,457 | 516 |
*,^ | Neuralstem Inc. | 340,816 | 511 |
*,^ | Cleveland Biolabs Inc. | 149,501 | 510 |
* | Heska Corp. | 52,346 | 506 |
* | BioMimetic Therapeutics Inc. | 98,625 | 505 |
National Research Corp. | 13,541 | 495 | |
* | Cutera Inc. | 56,566 | 483 |
* | OncoGenex Pharmaceutical Inc. | 28,078 | 478 |
* | Uroplasty Inc. | 63,375 | 475 |
* | Anadys Pharmaceuticals Inc. | 470,448 | 475 |
27
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Repros Therapeutics Inc. | 88,096 | 471 |
* | EnteroMedics Inc. | 172,787 | 468 |
* | Agenus Inc. | 585,808 | 457 |
* | Sucampo Pharmaceuticals Inc. Class A | 110,878 | 455 |
* | Cytokinetics Inc. | 361,728 | 452 |
*,^ | Opexa Therapeutics Inc. | 283,073 | 450 |
* | Rochester Medical Corp. | 48,765 | 441 |
* | GenVec Inc. | 135,631 | 438 |
* | Iridex Corp. | 111,693 | 437 |
* | SRI/Surgical Express Inc. | 95,914 | 408 |
* | Endocyte Inc. | 28,400 | 407 |
* | Hooper Holmes Inc. | 434,407 | 404 |
* | Orexigen Therapeutics Inc. | 246,546 | 392 |
*,^ | MELA Sciences Inc. | 159,240 | 373 |
* | pSivida Corp. | 87,291 | 370 |
*,^ | Arrowhead Research Corp. | 753,615 | 369 |
*,^ | Acura Pharmaceuticals Inc. | 93,868 | 363 |
* | Strategic Diagnostics Inc. | 175,058 | 352 |
* | CombiMatrix Corp. | 94,749 | 346 |
* | Telik Inc. | 441,006 | 344 |
* | Bovie Medical Corp. | 126,896 | 336 |
* | Trimeris Inc. | 135,061 | 334 |
*,^ | Idera Pharmaceuticals Inc. | 151,065 | 325 |
* | Inovio Pharmaceuticals Inc. | 509,368 | 306 |
* | Cardica Inc. | 109,392 | 300 |
* | ThermoGenesis Corp. | 143,127 | 288 |
*,^ | ADVENTRX Pharmaceuticals Inc. | 93,972 | 283 |
* | TranS1 Inc. | 61,172 | 279 |
* | Discovery Laboratories Inc. | 123,419 | 278 |
*,^ | RXi Pharmaceuticals Corp. | 263,930 | 259 |
* | DynaVox Inc. Class A | 33,501 | 255 |
* | BioDelivery Sciences International Inc. | 74,920 | 242 |
Utah Medical Products Inc. | 9,083 | 239 | |
* | PhotoMedex Inc. | 19,966 | 235 |
*,^ | Icagen Inc. | 38,233 | 233 |
*,^ | Neostem Inc. | 151,564 | 224 |
* | PHC Inc. Class A | 66,914 | 221 |
*,^ | Biodel Inc. | 111,421 | 208 |
* | American Caresource Holdings Inc. | 151,650 | 208 |
* | Urologix Inc. | 217,218 | 206 |
*,^ | PURE Bioscience Inc. | 277,448 | 203 |
*,^ | Bionovo Inc. | 260,990 | 198 |
* | Omeros Corp. | 45,597 | 188 |
* | IsoRay Inc. | 197,063 | 183 |
* | AspenBio Pharma Inc. | 277,030 | 180 |
*,^ | Bioanalytical Systems Inc. | 86,496 | 170 |
* | Entremed Inc. | 73,872 | 167 |
* | Cornerstone Therapeutics Inc. | 17,964 | 161 |
* | Adeona Pharmaceuticals Inc. | 176,678 | 152 |
* | Nanosphere Inc. | 82,168 | 149 |
* | Catalyst Pharmaceutical Partners Inc. | 75,835 | 143 |
* | Threshold Pharmaceuticals Inc. | 84,998 | 142 |
* | Oxygen Biotherapeutics Inc. | 43,608 | 130 |
* | EpiCept Corp. | 240,847 | 128 |
* | Athersys Inc. | 47,348 | 126 |
* | Clinical Data Inc. Contingent Value Rights Exp. 04/14/2018 | 131,308 | 125 |
* | Vision-Sciences Inc. | 47,235 | 122 |
* | Lannett Co. Inc. | 23,703 | 118 |
* | Transcept Pharmaceuticals Inc. | 10,744 | 118 |
* | MediciNova Inc. | 43,242 | 116 |
* | SunLink Health Systems Inc. | 59,900 | 114 |
* | Capstone Therapeutics Corp. | 431,088 | 108 |
* | Escalon Medical Corp. | 91,117 | 107 |
*,^ | Anacor Pharmaceuticals Inc. | 15,721 | 102 |
28
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | ARCA Biopharma Inc. | 61,940 | 100 |
* | Integramed America Inc. | 10,158 | 98 |
* | Retractable Technologies Inc. | 62,606 | 96 |
American Medical Alert Corp. | 16,992 | 94 | |
*,^ | OXiGENE Inc. | 37,956 | 94 |
* | Poniard Pharmaceuticals Inc. | 368,540 | 86 |
*,^ | Cardium Therapeutics Inc. | 306,488 | 86 |
* | Amicus Therapeutics Inc. | 13,613 | 81 |
* | NuPathe Inc. | 9,702 | 71 |
* | Complete Genomics Inc. | 4,378 | 67 |
* | Arcadia Resources Inc. | 869,871 | 65 |
* | Cumberland Pharmaceuticals Inc. | 10,869 | 62 |
* | PositiveID Corp. | 155,145 | 57 |
* | Angeion Corp. | 11,993 | 56 |
* | Sharps Compliance Corp. | 12,070 | 51 |
* | IVAX Diagnostics Inc. | 53,832 | 50 |
* | ProPhase Labs Inc. | 51,986 | 46 |
*,^ | iBio Inc. | 14,320 | 41 |
* | Ligand Pharmaceuticals Inc. TR Beta Contingent Value Rights | 395,811 | 40 |
* | VirtualScopics Inc. | 20,524 | 38 |
*,^ | Celsion Corp. | 8,820 | 30 |
* | Palatin Technologies Inc. | 21,119 | 27 |
* | Neurometrix Inc. | 63,058 | 26 |
* | Ligand Pharmaceuticals Inc. General Contingent Value Rights | 395,811 | 25 |
*,^ | NeurogesX Inc. | 11,260 | 20 |
^ | Ligand Pharmaceuticals Inc. Roche Contingent Value Rights | 395,811 | 19 |
*,^ | Marina Biotech Inc. | 92,298 | 18 |
* | CAS Medical Systems Inc. | 5,898 | 17 |
* | Derma Sciences Inc. | 1,611 | 15 |
*,^ | Ligand Pharmaceuticals Inc. Glucagon Contingent Value Rights | 395,811 | 14 |
* | DARA Biosciences Inc. | 5,069 | 13 |
* | Tengion Inc. | 7,900 | 9 |
* | Pernix Therapeutics Holdings | 1,100 | 9 |
* | Allied Healthcare Products | 366 | 1 |
* | ULURU Inc. | 1,914 | 1 |
* | Luna Innovations Inc. | 92 | — |
* | Senesco Technologies Inc. | 500 | — |
2,353,967 | |||
Industrials (15.1%) | |||
* | Delta Air Lines Inc. | 5,883,975 | 53,956 |
* | United Continental Holdings Inc. | 2,314,838 | 52,385 |
Bucyrus International Inc. Class A | 568,263 | 52,087 | |
AMETEK Inc. | 1,121,867 | 50,372 | |
* | Kansas City Southern | 765,624 | 45,424 |
KBR Inc. | 1,057,247 | 39,848 | |
* | IHS Inc. Class A | 447,550 | 37,335 |
* | Verisk Analytics Inc. Class A | 991,263 | 34,318 |
* | AGCO Corp. | 661,426 | 32,648 |
* | WABCO Holdings Inc. | 470,927 | 32,522 |
Donaldson Co. Inc. | 532,485 | 32,311 | |
Manpower Inc. | 573,443 | 30,765 | |
Gardner Denver Inc. | 364,914 | 30,671 | |
* | BE Aerospace Inc. | 719,770 | 29,374 |
SPX Corp. | 355,229 | 29,363 | |
* | Hertz Global Holdings Inc. | 1,826,186 | 29,000 |
Timken Co. | 566,891 | 28,571 | |
JB Hunt Transport Services Inc. | 603,418 | 28,415 | |
Pentair Inc. | 686,595 | 27,711 | |
Hubbell Inc. Class B | 419,885 | 27,272 | |
Chicago Bridge & Iron Co. NV | 690,995 | 26,880 | |
IDEX Corp. | 577,620 | 26,484 | |
* | Foster Wheeler AG | 864,204 | 26,255 |
Nordson Corp. | 476,402 | 26,131 | |
* | Owens Corning | 678,710 | 25,350 |
29
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Waste Connections Inc. | 792,829 | 25,156 | |
* | Navistar International Corp. | 438,742 | 24,771 |
* | URS Corp. | 548,125 | 24,523 |
* | TransDigm Group Inc. | 268,699 | 24,503 |
Kennametal Inc. | 570,939 | 24,099 | |
* | Aecom Technology Corp. | 830,964 | 22,719 |
* | Babcock & Wilcox Co. | 819,487 | 22,708 |
Wabtec Corp. | 337,150 | 22,157 | |
* | Terex Corp. | 764,713 | 21,756 |
Graco Inc. | 423,325 | 21,446 | |
* | Kirby Corp. | 374,715 | 21,235 |
Lincoln Electric Holdings Inc. | 589,080 | 21,119 | |
Carlisle Cos. Inc. | 427,473 | 21,044 | |
MSC Industrial Direct Co. Class A | 315,276 | 20,906 | |
Towers Watson & Co. Class A | 314,313 | 20,654 | |
* | Thomas & Betts Corp. | 366,167 | 19,718 |
Trinity Industries Inc. | 557,750 | 19,454 | |
* | Copart Inc. | 416,828 | 19,424 |
* | Nielsen Holdings NV | 599,600 | 18,684 |
* | Oshkosh Corp. | 635,531 | 18,392 |
Harsco Corp. | 563,052 | 18,355 | |
* | Spirit Aerosystems Holdings Inc. Class A | 825,346 | 18,158 |
* | GrafTech International Ltd. | 891,568 | 18,072 |
Regal-Beloit Corp. | 269,540 | 17,997 | |
* | Genesee & Wyoming Inc. Class A | 292,914 | 17,176 |
* | Alaska Air Group Inc. | 250,122 | 17,123 |
Covanta Holding Corp. | 1,026,149 | 16,921 | |
Acuity Brands Inc. | 302,370 | 16,866 | |
Robbins & Myers Inc. | 317,433 | 16,776 | |
Alliant Techsystems Inc. | 233,720 | 16,671 | |
CLARCOR Inc. | 351,940 | 16,640 | |
* | Clean Harbors Inc. | 160,858 | 16,609 |
* | Esterline Technologies Corp. | 213,295 | 16,296 |
* | WESCO International Inc. | 300,972 | 16,280 |
* | Corrections Corp. of America | 748,902 | 16,214 |
Crane Co. | 321,809 | 15,901 | |
Landstar System Inc. | 334,287 | 15,538 | |
* | General Cable Corp. | 364,133 | 15,505 |
Manitowoc Co. Inc. | 919,832 | 15,490 | |
* | Shaw Group Inc. | 503,840 | 15,221 |
Con-way Inc. | 386,359 | 14,995 | |
* | Hexcel Corp. | 683,738 | 14,967 |
* | Dollar Thrifty Automotive Group Inc. | 201,973 | 14,893 |
Woodward Inc. | 413,049 | 14,399 | |
Valmont Industries Inc. | 149,217 | 14,383 | |
UTi Worldwide Inc. | 716,897 | 14,116 | |
Alexander & Baldwin Inc. | 290,370 | 13,984 | |
* | Moog Inc. Class A | 320,408 | 13,944 |
* | EMCOR Group Inc. | 466,696 | 13,679 |
Lennox International Inc. | 312,457 | 13,458 | |
Watsco Inc. | 197,730 | 13,444 | |
Triumph Group Inc. | 133,616 | 13,305 | |
Toro Co. | 215,835 | 13,058 | |
* | Teledyne Technologies Inc. | 256,651 | 12,925 |
Actuant Corp. Class A | 478,786 | 12,846 | |
* | AMR Corp. | 2,329,296 | 12,578 |
* | Avis Budget Group Inc. | 732,492 | 12,518 |
HEICO Corp. | 226,606 | 12,404 | |
* | Middleby Corp. | 131,733 | 12,388 |
GATX Corp. | 323,953 | 12,025 | |
* | EnerSys | 348,916 | 12,010 |
Brady Corp. Class A | 368,770 | 11,823 | |
* | Huntington Ingalls Industries Inc. | 340,262 | 11,739 |
Belden Inc. | 330,859 | 11,534 |
30
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
United Stationers Inc. | 321,260 | 11,382 | |
* | Polypore International Inc. | 167,048 | 11,333 |
* | Old Dominion Freight Line Inc. | 301,022 | 11,228 |
Quad/Graphics Inc. | 286,704 | 11,141 | |
* | FTI Consulting Inc. | 293,654 | 11,141 |
* | Chart Industries Inc. | 205,457 | 11,091 |
* | United Rentals Inc. | 436,453 | 11,086 |
* | Atlas Air Worldwide Holdings Inc. | 185,208 | 11,022 |
Herman Miller Inc. | 399,846 | 10,884 | |
* | Meritor Inc. | 659,528 | 10,579 |
Corporate Executive Board Co. | 240,923 | 10,516 | |
Curtiss-Wright Corp. | 324,141 | 10,492 | |
* | Geo Group Inc. | 453,006 | 10,433 |
* | CoStar Group Inc. | 172,637 | 10,234 |
* | US Airways Group Inc. | 1,130,107 | 10,069 |
Mueller Industries Inc. | 264,194 | 10,016 | |
AO Smith Corp. | 235,352 | 9,955 | |
* | HUB Group Inc. Class A | 261,781 | 9,859 |
* | Tetra Tech Inc. | 435,278 | 9,794 |
Brink's Co. | 325,303 | 9,704 | |
* | Sensata Technologies Holding NV | 255,401 | 9,616 |
Applied Industrial Technologies Inc. | 263,325 | 9,377 | |
* | Acacia Research - Acacia Technologies | 253,354 | 9,296 |
* | II-VI Inc. | 357,908 | 9,162 |
Rollins Inc. | 442,583 | 9,020 | |
Interface Inc. Class A | 458,877 | 8,888 | |
Deluxe Corp. | 358,908 | 8,869 | |
Macquarie Infrastructure Co. LLC | 319,941 | 8,830 | |
* | JetBlue Airways Corp. | 1,418,211 | 8,651 |
* | USG Corp. | 597,665 | 8,571 |
Kaydon Corp. | 227,845 | 8,503 | |
Simpson Manufacturing Co. Inc. | 279,913 | 8,361 | |
* | DigitalGlobe Inc. | 322,448 | 8,193 |
Mine Safety Appliances Co. | 217,466 | 8,120 | |
HNI Corp. | 312,242 | 7,844 | |
Barnes Group Inc. | 315,672 | 7,832 | |
* | MasTec Inc. | 396,655 | 7,822 |
ABM Industries Inc. | 333,266 | 7,778 | |
Werner Enterprises Inc. | 310,047 | 7,767 | |
Healthcare Services Group Inc. | 463,371 | 7,530 | |
AAR Corp. | 277,472 | 7,517 | |
* | Beacon Roofing Supply Inc. | 327,103 | 7,464 |
Watts Water Technologies Inc. Class A | 209,014 | 7,401 | |
Knight Transportation Inc. | 431,357 | 7,329 | |
* | Korn/Ferry International | 331,298 | 7,285 |
Titan International Inc. | 299,860 | 7,275 | |
* | Swift Transportation Co. | 534,407 | 7,241 |
Raven Industries Inc. | 128,935 | 7,183 | |
Briggs & Stratton Corp. | 359,388 | 7,137 | |
* | EnPro Industries Inc. | 147,077 | 7,070 |
Forward Air Corp. | 208,068 | 7,031 | |
* | Orbital Sciences Corp. | 416,259 | 7,014 |
ESCO Technologies Inc. | 189,726 | 6,982 | |
* | Ceradyne Inc. | 177,292 | 6,913 |
Steelcase Inc. Class A | 598,572 | 6,818 | |
* | Mobile Mini Inc. | 321,019 | 6,802 |
Armstrong World Industries Inc. | 148,822 | 6,780 | |
Knoll Inc. | 335,457 | 6,733 | |
Kaman Corp. | 185,854 | 6,592 | |
* | Advisory Board Co. | 113,303 | 6,558 |
Franklin Electric Co. Inc. | 134,373 | 6,309 | |
Lindsay Corp. | 89,659 | 6,169 | |
* | SYKES Enterprises Inc. | 283,750 | 6,109 |
Heartland Express Inc. | 362,808 | 6,008 |
31
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Blount International Inc. | 343,644 | 6,003 |
Granite Construction Inc. | 243,544 | 5,974 | |
* | Colfax Corp. | 238,738 | 5,921 |
* | GeoEye Inc. | 158,185 | 5,916 |
* | Insituform Technologies Inc. Class A | 281,323 | 5,899 |
Unifirst Corp. | 104,978 | 5,899 | |
Sun Hydraulics Corp. | 121,586 | 5,812 | |
* | 3D Systems Corp. | 294,252 | 5,800 |
* | RBC Bearings Inc. | 153,402 | 5,792 |
Cubic Corp. | 112,874 | 5,755 | |
Seaboard Corp. | 2,348 | 5,677 | |
Skywest Inc. | 369,701 | 5,568 | |
TAL International Group Inc. | 159,911 | 5,522 | |
Tennant Co. | 136,536 | 5,452 | |
* | Air Lease Corp. | 219,969 | 5,343 |
* | Allegiant Travel Co. Class A | 107,498 | 5,321 |
* | Astec Industries Inc. | 142,697 | 5,277 |
CIRCOR International Inc. | 122,345 | 5,240 | |
Albany International Corp. | 198,502 | 5,238 | |
American Science & Engineering Inc. | 64,961 | 5,197 | |
* | RSC Holdings Inc. | 429,302 | 5,134 |
* | Trimas Corp. | 198,313 | 4,908 |
McGrath Rentcorp | 173,540 | 4,873 | |
Insperity Inc. | 160,769 | 4,760 | |
* | Huron Consulting Group Inc. | 156,587 | 4,730 |
* | Amerco Inc. | 49,064 | 4,717 |
* | Altra Holdings Inc. | 191,356 | 4,591 |
* | KAR Auction Services Inc. | 242,688 | 4,589 |
* | Wabash National Corp. | 488,576 | 4,578 |
* | TrueBlue Inc. | 315,779 | 4,572 |
AZZ Inc. | 99,203 | 4,543 | |
G&K Services Inc. Class A | 133,496 | 4,520 | |
* | Rush Enterprises Inc. Class A | 233,140 | 4,437 |
Mueller Water Products Inc. Class A | 1,111,767 | 4,425 | |
Quanex Building Products Corp. | 268,173 | 4,395 | |
* | Dycom Industries Inc. | 268,125 | 4,381 |
* | Exponent Inc. | 100,244 | 4,362 |
* | Interline Brands Inc. | 236,961 | 4,353 |
Arkansas Best Corp. | 181,553 | 4,308 | |
Ameron International Corp. | 65,401 | 4,296 | |
* | Accuride Corp. | 337,677 | 4,265 |
* | Sauer-Danfoss Inc. | 84,511 | 4,259 |
*,^ | Swisher Hygiene Inc. | 743,724 | 4,187 |
* | Layne Christensen Co. | 137,426 | 4,170 |
NACCO Industries Inc. Class A | 42,754 | 4,139 | |
* | Consolidated Graphics Inc. | 75,013 | 4,122 |
* | Aerovironment Inc. | 115,191 | 4,072 |
Gorman-Rupp Co. | 123,514 | 4,069 | |
Aircastle Ltd. | 318,830 | 4,056 | |
Resources Connection Inc. | 329,470 | 3,967 | |
John Bean Technologies Corp. | 205,276 | 3,966 | |
Badger Meter Inc. | 105,532 | 3,904 | |
National Presto Industries Inc. | 37,886 | 3,845 | |
*,^ | A123 Systems Inc. | 698,720 | 3,717 |
* | Navigant Consulting Inc. | 344,376 | 3,613 |
Tutor Perini Corp. | 186,459 | 3,576 | |
* | Greenbrier Cos. Inc. | 178,039 | 3,518 |
* | Kadant Inc. | 109,976 | 3,465 |
Heidrick & Struggles International Inc. | 149,185 | 3,378 | |
* | MYR Group Inc. | 142,975 | 3,346 |
Comfort Systems USA Inc. | 315,139 | 3,344 | |
* | SFN Group Inc. | 367,242 | 3,338 |
AAON Inc. | 151,586 | 3,311 | |
Ennis Inc. | 190,047 | 3,307 |
32
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Universal Forest Products Inc. | 138,013 | 3,307 | |
* | ICF International Inc. | 129,526 | 3,287 |
* | Griffon Corp. | 324,872 | 3,275 |
* | Kelly Services Inc. Class A | 197,318 | 3,256 |
* | Team Inc. | 131,851 | 3,182 |
Cascade Corp. | 66,321 | 3,155 | |
Viad Corp. | 138,928 | 3,097 | |
Encore Wire Corp. | 127,584 | 3,090 | |
* | Titan Machinery Inc. | 107,073 | 3,082 |
* | Kforce Inc. | 235,557 | 3,081 |
* | Generac Holdings Inc. | 151,013 | 2,930 |
Federal Signal Corp. | 441,773 | 2,898 | |
* | ACCO Brands Corp. | 367,129 | 2,882 |
*,^ | American Superconductor Corp. | 315,895 | 2,856 |
* | GenCorp Inc. | 432,201 | 2,775 |
Vicor Corp. | 171,495 | 2,773 | |
Standex International Corp. | 88,498 | 2,714 | |
* | FreightCar America Inc. | 105,022 | 2,661 |
* | Air Transport Services Group Inc. | 388,359 | 2,660 |
Apogee Enterprises Inc. | 206,829 | 2,649 | |
HEICO Corp. Class A | 64,750 | 2,574 | |
Marten Transport Ltd. | 118,861 | 2,567 | |
Twin Disc Inc. | 66,323 | 2,562 | |
Tredegar Corp. | 139,241 | 2,555 | |
* | Taser International Inc. | 560,108 | 2,548 |
* | On Assignment Inc. | 253,337 | 2,490 |
EnergySolutions Inc. | 502,396 | 2,482 | |
* | CBIZ Inc. | 335,739 | 2,471 |
US Ecology Inc. | 144,040 | 2,463 | |
* | Cenveo Inc. | 382,713 | 2,449 |
* | NN Inc. | 163,518 | 2,446 |
Houston Wire & Cable Co. | 155,994 | 2,426 | |
* | Global Power Equipment Group Inc. | 91,271 | 2,421 |
* | Columbus McKinnon Corp. | 134,728 | 2,420 |
* | H&E Equipment Services Inc. | 171,327 | 2,397 |
* | Celadon Group Inc. | 168,926 | 2,358 |
*,^ | Satcon Technology Corp. | 977,991 | 2,337 |
LB Foster Co. Class A | 70,504 | 2,320 | |
* | Commercial Vehicle Group Inc. | 163,389 | 2,318 |
Dynamic Materials Corp. | 101,731 | 2,281 | |
* | Force Protection Inc. | 458,570 | 2,277 |
* | RailAmerica Inc. | 151,549 | 2,273 |
* | Gibraltar Industries Inc. | 200,353 | 2,268 |
* | Powell Industries Inc. | 61,838 | 2,257 |
* | Furmanite Corp. | 282,758 | 2,245 |
* | Trex Co. Inc. | 91,289 | 2,235 |
Great Lakes Dredge & Dock Corp. | 394,270 | 2,200 | |
* | M&F Worldwide Corp. | 84,073 | 2,172 |
*,^ | Odyssey Marine Exploration Inc. | 666,123 | 2,085 |
* | Active Power Inc. | 845,278 | 2,071 |
* | Astronics Corp. | 65,510 | 2,018 |
*,^ | EnerNOC Inc. | 126,625 | 1,993 |
* | Capstone Turbine Corp. | 1,293,915 | 1,980 |
* | CRA International Inc. | 72,806 | 1,972 |
* | InnerWorkings Inc. | 236,225 | 1,970 |
* | Hawaiian Holdings Inc. | 335,646 | 1,913 |
SeaCube Container Leasing Ltd. | 111,326 | 1,913 | |
* | Dolan Co. | 221,356 | 1,875 |
* | Northwest Pipe Co. | 71,769 | 1,870 |
* | DXP Enterprises Inc. | 73,740 | 1,869 |
* | Lydall Inc. | 155,891 | 1,864 |
* | Park-Ohio Holdings Corp. | 85,263 | 1,802 |
CDI Corp. | 133,836 | 1,779 | |
* | American Reprographics Co. | 248,520 | 1,757 |
33
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | PMFG Inc. | 86,675 | 1,720 |
* | Orion Marine Group Inc. | 182,059 | 1,713 |
* | Coleman Cable Inc. | 116,503 | 1,711 |
* | LMI Aerospace Inc. | 69,074 | 1,687 |
Graham Corp. | 82,139 | 1,676 | |
* | Standard Parking Corp. | 103,756 | 1,657 |
* | APAC Customer Services Inc. | 308,117 | 1,642 |
Intersections Inc. | 88,345 | 1,608 | |
Multi-Color Corp. | 64,152 | 1,584 | |
American Woodmark Corp. | 91,310 | 1,581 | |
* | School Specialty Inc. | 109,072 | 1,570 |
Ampco-Pittsburgh Corp. | 66,816 | 1,567 | |
* | Sterling Construction Co. Inc. | 113,729 | 1,566 |
Schawk Inc. Class A | 93,513 | 1,549 | |
* | CAI International Inc. | 74,852 | 1,546 |
Primoris Services Corp. | 118,418 | 1,528 | |
* | Saia Inc. | 88,972 | 1,508 |
*,^ | Higher One Holdings Inc. | 78,123 | 1,478 |
* | Pacer International Inc. | 295,466 | 1,395 |
Insteel Industries Inc. | 110,992 | 1,392 | |
Miller Industries Inc. | 73,400 | 1,372 | |
*,^ | Xerium Technologies Inc. | 73,680 | 1,367 |
* | Kratos Defense & Security Solutions Inc. | 111,571 | 1,357 |
* | FuelCell Energy Inc. | 1,012,558 | 1,326 |
Kimball International Inc. Class B | 204,549 | 1,315 | |
* | American Railcar Industries Inc. | 56,073 | 1,315 |
* | GP Strategies Corp. | 94,855 | 1,296 |
Aceto Corp. | 192,564 | 1,292 | |
Ducommun Inc. | 62,700 | 1,290 | |
* | Mistras Group Inc. | 78,865 | 1,278 |
* | USA Truck Inc. | 112,531 | 1,272 |
Preformed Line Products Co. | 17,794 | 1,267 | |
* | Republic Airways Holdings Inc. | 229,092 | 1,251 |
* | Michael Baker Corp. | 58,304 | 1,231 |
* | Pike Electric Corp. | 136,001 | 1,202 |
* | NCI Building Systems Inc. | 105,253 | 1,199 |
* | AT Cross Co. Class A | 104,947 | 1,195 |
*,^ | Valence Technology Inc. | 1,002,055 | 1,182 |
* | WCA Waste Corp. | 204,513 | 1,178 |
* | CPI Aerostructures Inc. | 86,135 | 1,174 |
* | Quality Distribution Inc. | 87,702 | 1,142 |
* | Energy Recovery Inc. | 345,403 | 1,129 |
International Shipholding Corp. | 51,010 | 1,085 | |
Douglas Dynamics Inc. | 68,740 | 1,085 | |
* | Hurco Cos. Inc. | 33,408 | 1,076 |
*,^ | Genco Shipping & Trading Ltd. | 141,914 | 1,067 |
* | Flow International Corp. | 296,973 | 1,057 |
* | Franklin Covey Co. | 107,704 | 1,043 |
* | Metalico Inc. | 176,259 | 1,040 |
Barrett Business Services Inc. | 71,900 | 1,030 | |
* | Tecumseh Products Co. Class A | 100,535 | 1,025 |
* | Ceco Environmental Corp. | 149,340 | 1,007 |
* | Casella Waste Systems Inc. Class A | 162,646 | 992 |
Met-Pro Corp. | 86,840 | 988 | |
* | Universal Truckload Services Inc. | 57,102 | 978 |
LSI Industries Inc. | 120,930 | 960 | |
* | United Capital Corp. | 31,463 | 942 |
* | Hudson Highland Group Inc. | 163,328 | 874 |
* | Willis Lease Finance Corp. | 64,920 | 865 |
Baltic Trading Ltd. | 147,824 | 849 | |
Alamo Group Inc. | 34,370 | 815 | |
* | Hill International Inc. | 140,627 | 810 |
* | Broadwind Energy Inc. | 548,657 | 796 |
* | Eagle Bulk Shipping Inc. | 320,321 | 794 |
34
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Pinnacle Airlines Corp. | 174,176 | 791 |
* | Patriot Transportation Holding Inc. | 34,604 | 774 |
* | Roadrunner Transportation Systems Inc. | 50,722 | 765 |
Ecology and Environment Inc. | 43,997 | 755 | |
SIFCO Industries Inc. | 45,385 | 742 | |
* | Magnetek Inc. | 403,630 | 735 |
VSE Corp. | 29,005 | 722 | |
Hardinge Inc. | 66,164 | 722 | |
*,^ | Zipcar Inc. | 33,700 | 688 |
* | PAM Transportation Services Inc. | 67,367 | 665 |
* | PowerSecure International Inc. | 92,088 | 665 |
* | Fuel Tech Inc. | 99,791 | 662 |
*,^ | UQM Technologies Inc. | 277,445 | 624 |
* | Key Technology Inc. | 38,493 | 622 |
* | Ameresco Inc. Class A | 43,749 | 620 |
US Home Systems Inc. | 121,906 | 612 | |
* | Ener1 Inc. | 550,697 | 606 |
Courier Corp. | 54,176 | 599 | |
* | Innovative Solutions & Support Inc. | 106,654 | 583 |
* | Builders FirstSource Inc. | 269,075 | 579 |
* | Allied Motion Technologies Inc. | 100,834 | 550 |
Lawson Products Inc. | 27,591 | 543 | |
* | Argan Inc. | 52,394 | 531 |
Virco Manufacturing | 188,287 | 527 | |
* | TRC Cos. Inc. | 84,041 | 525 |
* | Keyw Holding Corp. | 40,470 | 501 |
Eastern Co. | 28,955 | 465 | |
Standard Register Co. | 147,041 | 463 | |
*,^ | Ocean Power Technologies Inc. | 123,714 | 445 |
*,^ | Advanced Battery Technologies Inc. | 430,090 | 426 |
* | Ultralife Corp. | 89,007 | 417 |
* | Supreme Industries Inc. Class A | 122,226 | 416 |
* | Frozen Food Express Industries | 115,868 | 414 |
* | RPX Corp. | 13,700 | 384 |
* | Perma-Fix Environmental Services | 272,842 | 379 |
* | Orion Energy Systems Inc. | 95,135 | 374 |
LS Starrett Co. Class A | 36,454 | 374 | |
* | Arotech Corp. | 169,158 | 369 |
*,^ | YRC Worldwide Inc. | 319,767 | 361 |
* | Mfri Inc. | 45,123 | 361 |
Providence and Worcester Railroad Co. | 25,178 | 357 | |
* | Omega Flex Inc. | 24,937 | 350 |
* | Hudson Technologies Inc. | 212,882 | 349 |
Horizon Lines Inc. Class A | 285,307 | 345 | |
* | BlueLinx Holdings Inc. | 148,296 | 343 |
*,^ | TMS International Corp. Class A | 25,100 | 328 |
* | Covenant Transportation Group Inc. Class A | 39,032 | 302 |
* | Lime Energy Co. | 55,552 | 298 |
* | Integrated Electrical Services Inc. | 93,324 | 293 |
* | Gencor Industries Inc. | 37,710 | 286 |
* | Baldwin Technology Co. Class A | 206,023 | 243 |
* | Heritage-Crystal Clean Inc. | 12,603 | 242 |
* | Real Goods Solar Inc. Class A | 76,697 | 227 |
Superior Uniform Group Inc. | 17,995 | 211 | |
*,^ | Hoku Corp. | 114,392 | 186 |
*,^ | Plug Power Inc. | 77,081 | 171 |
* | Applied Energetics Inc. | 433,127 | 144 |
* | Rand Logistics Inc. | 17,728 | 130 |
* | American Electric Technologies Inc. | 36,998 | 128 |
* | Sypris Solutions Inc. | 29,285 | 121 |
* | Industrial Services of America Inc. | 11,232 | 118 |
* | Tecumseh Products Co. Class B | 11,900 | 118 |
* | Amrep Corp. | 12,689 | 116 |
* | Breeze-Eastern Corp. | 9,886 | 111 |
35
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Innotrac Corp. | 74,579 | 109 |
*,^ | Lightbridge Corp. | 29,692 | 107 |
*,^ | Westinghouse Solar Inc. | 71,979 | 105 |
* | Energy Focus Inc. | 216,585 | 102 |
*,^ | ZBB Energy Corp. | 102,604 | 94 |
*,^ | Spherix Inc. | 39,644 | 91 |
* | Rush Enterprises Inc. Class B | 5,550 | 89 |
*,^ | Beacon Power Corp. | 72,763 | 87 |
* | Nexxus Lighting Inc. | 28,677 | 85 |
* | RCM Technologies Inc. | 15,511 | 83 |
* | Innovaro Inc. | 36,380 | 78 |
* | Versar Inc. | 24,502 | 77 |
* | PGT Inc. | 41,987 | 76 |
* | Adept Technology Inc. Class A | 18,372 | 73 |
*,^ | Essex Rental Corp. | 10,092 | 67 |
KSW Inc. | 16,716 | 66 | |
*,^ | Ascent Solar Technologies Inc. | 47,884 | 45 |
Hubbell Inc. Class A | 500 | 30 | |
*,^ | BlueLinx Holdings Inc. Rights Exp. 07/22/2011 | 148,296 | 25 |
* | UniTek Global Services Inc. | 3,000 | 24 |
* | Altair Nanotechnologies Inc. | 25,823 | 22 |
* | TBS International plc Class A | 11,216 | 21 |
* | TeamStaff Inc. | 17,157 | 18 |
* | Patrick Industries Inc. | 4,795 | 10 |
Servotronics Inc. | 503 | 4 | |
* | Universal Power Group Inc. | 800 | 2 |
* | Internet Media Services Inc. | 6,403 | 1 |
* | Kaiser Ventures LLC Class A | 36,800 | — |
3,050,964 | |||
Information Technology (15.6%) | |||
* | VMware Inc. Class A | 555,206 | 55,648 |
Maxim Integrated Products Inc. | 2,060,458 | 52,665 | |
* | Rovi Corp. | 787,843 | 45,191 |
* | Atmel Corp. | 3,191,432 | 44,903 |
* | Informatica Corp. | 738,015 | 43,122 |
* | Riverbed Technology Inc. | 1,070,926 | 42,398 |
Activision Blizzard Inc. | 3,432,105 | 40,087 | |
* | Polycom Inc. | 615,646 | 39,586 |
* | Lam Research Corp. | 868,143 | 38,441 |
* | Nuance Communications Inc. | 1,666,517 | 35,780 |
* | ANSYS Inc. | 640,532 | 35,018 |
* | Avnet Inc. | 1,065,726 | 33,975 |
* | Trimble Navigation Ltd. | 855,408 | 33,908 |
* | Arrow Electronics Inc. | 809,727 | 33,604 |
* | Alliance Data Systems Corp. | 355,987 | 33,488 |
* | Equinix Inc. | 326,149 | 32,948 |
Factset Research Systems Inc. | 321,788 | 32,925 | |
* | TIBCO Software Inc. | 1,128,004 | 32,735 |
* | Varian Semiconductor Equipment Associates Inc. | 526,440 | 32,344 |
* | Skyworks Solutions Inc. | 1,295,982 | 29,782 |
* | Rackspace Hosting Inc. | 694,675 | 29,690 |
Solera Holdings Inc. | 493,210 | 29,178 | |
Global Payments Inc. | 558,484 | 28,483 | |
* | MICROS Systems Inc. | 566,097 | 28,141 |
* | VeriFone Systems Inc. | 623,421 | 27,649 |
* | ON Semiconductor Corp. | 2,602,777 | 27,251 |
* | Acme Packet Inc. | 385,126 | 27,009 |
* | Synopsys Inc. | 1,023,293 | 26,309 |
* | Cree Inc. | 763,132 | 25,634 |
Cypress Semiconductor Corp. | 1,172,860 | 24,794 | |
* | Gartner Inc. | 603,775 | 24,326 |
* | IAC/InterActiveCorp | 627,313 | 23,945 |
* | Brocade Communications Systems Inc. | 3,296,214 | 21,294 |
* | NCR Corp. | 1,106,937 | 20,910 |
36
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Broadridge Financial Solutions Inc. | 859,902 | 20,698 | |
* | Ingram Micro Inc. | 1,122,905 | 20,369 |
* | Ariba Inc. | 586,405 | 20,213 |
* | Cadence Design Systems Inc. | 1,878,239 | 19,834 |
* | Parametric Technology Corp. | 828,610 | 19,000 |
National Instruments Corp. | 623,290 | 18,505 | |
Jack Henry & Associates Inc. | 602,582 | 18,083 | |
ADTRAN Inc. | 451,597 | 17,481 | |
* | Vishay Intertechnology Inc. | 1,154,716 | 17,367 |
* | Fortinet Inc. | 619,647 | 16,910 |
* | Concur Technologies Inc. | 327,550 | 16,400 |
* | SuccessFactors Inc. | 550,535 | 16,186 |
* | Zebra Technologies Corp. | 381,385 | 16,083 |
* | Tech Data Corp. | 324,048 | 15,843 |
* | Aruba Networks Inc. | 536,009 | 15,839 |
* | WebMD Health Corp. | 346,450 | 15,791 |
* | Dolby Laboratories Inc. Class A | 366,759 | 15,573 |
* | Netlogic Microsystems Inc. | 376,713 | 15,227 |
* | Fairchild Semiconductor International Inc. Class A | 890,778 | 14,885 |
* | AOL Inc. | 746,211 | 14,820 |
* | Cavium Inc. | 338,025 | 14,735 |
* | GT Solar International Inc. | 878,861 | 14,238 |
Diebold Inc. | 455,892 | 14,137 | |
* | Wright Express Corp. | 269,705 | 14,044 |
*,^ | Veeco Instruments Inc. | 283,985 | 13,748 |
* | CommVault Systems Inc. | 307,283 | 13,659 |
* | Itron Inc. | 282,960 | 13,627 |
* | International Rectifier Corp. | 486,960 | 13,620 |
* | NeuStar Inc. Class A | 514,850 | 13,489 |
* | IPG Photonics Corp. | 184,788 | 13,436 |
* | CACI International Inc. Class A | 210,434 | 13,274 |
DST Systems Inc. | 249,710 | 13,185 | |
Anixter International Inc. | 200,156 | 13,078 | |
InterDigital Inc. | 317,141 | 12,955 | |
* | Silicon Laboratories Inc. | 310,981 | 12,831 |
* | CoreLogic Inc. | 761,835 | 12,730 |
* | Sapient Corp. | 846,881 | 12,729 |
* | Viasat Inc. | 291,306 | 12,605 |
Lender Processing Services Inc. | 602,609 | 12,601 | |
* | Semtech Corp. | 455,641 | 12,457 |
* | Microsemi Corp. | 602,576 | 12,353 |
* | PMC - Sierra Inc. | 1,629,590 | 12,336 |
Plantronics Inc. | 335,910 | 12,271 | |
* | Ciena Corp. | 662,845 | 12,183 |
* | RF Micro Devices Inc. | 1,931,884 | 11,823 |
* | TriQuint Semiconductor Inc. | 1,146,382 | 11,682 |
* | QLogic Corp. | 731,368 | 11,643 |
* | Convergys Corp. | 847,455 | 11,559 |
* | SAVVIS Inc. | 289,485 | 11,443 |
* | Progress Software Corp. | 467,925 | 11,291 |
* | Finisar Corp. | 625,655 | 11,281 |
Intersil Corp. Class A | 877,327 | 11,274 | |
* | Netgear Inc. | 255,524 | 11,172 |
* | Hittite Microwave Corp. | 175,056 | 10,838 |
* | Cymer Inc. | 215,291 | 10,659 |
* | Taleo Corp. Class A | 286,706 | 10,617 |
* | Omnivision Technologies Inc. | 304,525 | 10,601 |
* | Lawson Software Inc. | 941,505 | 10,564 |
* | Blackboard Inc. | 243,168 | 10,551 |
* | FEI Co. | 270,170 | 10,318 |
Cognex Corp. | 289,352 | 10,252 | |
MAXIMUS Inc. | 122,630 | 10,145 | |
* | Arris Group Inc. | 866,688 | 10,062 |
* | Mentor Graphics Corp. | 782,639 | 10,026 |
37
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Ultimate Software Group Inc. | 181,219 | 9,864 |
* | Rambus Inc. | 669,054 | 9,822 |
* | Coherent Inc. | 177,504 | 9,811 |
MKS Instruments Inc. | 369,355 | 9,758 | |
* | EchoStar Corp. Class A | 267,818 | 9,757 |
* | Quest Software Inc. | 424,933 | 9,659 |
* | Entegris Inc. | 951,334 | 9,627 |
Littelfuse Inc. | 161,039 | 9,456 | |
* | MicroStrategy Inc. Class A | 57,734 | 9,392 |
* | Universal Display Corp. | 266,798 | 9,362 |
* | Take-Two Interactive Software Inc. | 610,377 | 9,327 |
* | SRA International Inc. Class A | 301,537 | 9,324 |
* | OpenTable Inc. | 110,503 | 9,185 |
* | Plexus Corp. | 262,739 | 9,146 |
* | JDA Software Group Inc. | 295,594 | 9,131 |
* | ValueClick Inc. | 549,200 | 9,117 |
* | j2 Global Communications Inc. | 321,120 | 9,065 |
* | Digital River Inc. | 278,655 | 8,962 |
* | TiVo Inc. | 835,789 | 8,600 |
Fair Isaac Corp. | 278,127 | 8,399 | |
Blackbaud Inc. | 302,927 | 8,397 | |
* | Integrated Device Technology Inc. | 1,034,319 | 8,130 |
* | ACI Worldwide Inc. | 237,602 | 8,024 |
Power Integrations Inc. | 205,234 | 7,887 | |
* | Cabot Microelectronics Corp. | 166,086 | 7,718 |
* | Aspen Technology Inc. | 448,316 | 7,702 |
* | Acxiom Corp. | 573,691 | 7,521 |
* | L-1 Identity Solutions Inc. | 631,817 | 7,424 |
* | Cirrus Logic Inc. | 462,616 | 7,356 |
* | Websense Inc. | 279,003 | 7,246 |
* | Spansion Inc. Class A | 375,876 | 7,243 |
* | Scansource Inc. | 192,111 | 7,200 |
Mantech International Corp. Class A | 161,548 | 7,176 | |
^ | VirnetX Holding Corp. | 244,083 | 7,064 |
* | Benchmark Electronics Inc. | 423,836 | 6,993 |
* | Rofin-Sinar Technologies Inc. | 198,700 | 6,786 |
* | Diodes Inc. | 259,109 | 6,763 |
* | Unisys Corp. | 261,921 | 6,731 |
* | DealerTrack Holdings Inc. | 292,025 | 6,702 |
* | Blue Coat Systems Inc. | 302,980 | 6,623 |
* | Advent Software Inc. | 231,841 | 6,531 |
Opnet Technologies Inc. | 158,031 | 6,470 | |
* | Sonus Networks Inc. | 1,972,809 | 6,392 |
* | SolarWinds Inc. | 243,623 | 6,368 |
* | Tessera Technologies Inc. | 364,629 | 6,250 |
* | Synaptics Inc. | 242,059 | 6,231 |
*,^ | STEC Inc. | 364,998 | 6,209 |
* | Amkor Technology Inc. | 971,405 | 5,994 |
Earthlink Inc. | 773,840 | 5,955 | |
* | Sourcefire Inc. | 200,269 | 5,952 |
* | Sanmina-SCI Corp. | 572,487 | 5,914 |
* | Bottomline Technologies Inc. | 237,977 | 5,880 |
* | Insight Enterprises Inc. | 331,354 | 5,868 |
*,^ | Power-One Inc. | 723,894 | 5,864 |
* | OSI Systems Inc. | 135,501 | 5,827 |
* | RealPage Inc. | 215,280 | 5,698 |
* | Synchronoss Technologies Inc. | 179,514 | 5,696 |
* | Kulicke & Soffa Industries Inc. | 510,008 | 5,681 |
* | Electronics for Imaging Inc. | 329,065 | 5,666 |
Heartland Payment Systems Inc. | 274,740 | 5,660 | |
* | Euronet Worldwide Inc. | 364,651 | 5,619 |
* | RightNow Technologies Inc. | 170,363 | 5,520 |
* | Lattice Semiconductor Corp. | 841,603 | 5,487 |
Syntel Inc. | 92,738 | 5,483 |
38
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Pegasystems Inc. | 116,818 | 5,438 | |
* | SYNNEX Corp. | 171,477 | 5,436 |
* | Ultratech Inc. | 178,049 | 5,409 |
NIC Inc. | 400,740 | 5,394 | |
* | Manhattan Associates Inc. | 156,184 | 5,379 |
* | Emulex Corp. | 625,205 | 5,377 |
* | Quantum Corp. | 1,611,339 | 5,317 |
* | DG FastChannel Inc. | 164,811 | 5,282 |
*,^ | Ebix Inc. | 275,811 | 5,254 |
* | Rogers Corp. | 113,542 | 5,246 |
*,^ | RealD Inc. | 223,704 | 5,232 |
* | Netscout Systems Inc. | 250,357 | 5,230 |
AVX Corp. | 340,002 | 5,182 | |
* | Cardtronics Inc. | 218,756 | 5,130 |
* | Harmonic Inc. | 708,360 | 5,121 |
* | Loral Space & Communications Inc. | 73,364 | 5,097 |
Comtech Telecommunications Corp. | 181,757 | 5,096 | |
* | Checkpoint Systems Inc. | 284,999 | 5,096 |
* | FARO Technologies Inc. | 115,956 | 5,079 |
* | Brooks Automation Inc. | 467,596 | 5,078 |
* | Stratasys Inc. | 150,681 | 5,078 |
* | DTS Inc. | 123,936 | 5,026 |
* | Ancestry.com Inc. | 121,367 | 5,023 |
* | Radiant Systems Inc. | 240,132 | 5,019 |
* | TTM Technologies Inc. | 309,382 | 4,956 |
* | Ceva Inc. | 160,585 | 4,891 |
* | Tyler Technologies Inc. | 180,520 | 4,834 |
* | Newport Corp. | 264,560 | 4,807 |
* | comScore Inc. | 182,091 | 4,716 |
* | NetSuite Inc. | 120,196 | 4,712 |
MTS Systems Corp. | 110,873 | 4,638 | |
* | ATMI Inc. | 226,187 | 4,621 |
* | Constant Contact Inc. | 181,015 | 4,594 |
* | CSG Systems International Inc. | 247,750 | 4,578 |
* | LogMeIn Inc. | 118,047 | 4,553 |
* | TeleTech Holdings Inc. | 215,691 | 4,547 |
* | LivePerson Inc. | 321,195 | 4,542 |
* | Entropic Communications Inc. | 506,593 | 4,504 |
* | Tekelec | 491,928 | 4,491 |
* | Standard Microsystems Corp. | 163,771 | 4,420 |
* | Kemet Corp. | 308,504 | 4,409 |
* | Ixia | 337,882 | 4,325 |
* | Verint Systems Inc. | 116,600 | 4,319 |
* | Volterra Semiconductor Corp. | 171,644 | 4,233 |
* | Mercury Computer Systems Inc. | 223,524 | 4,175 |
Park Electrochemical Corp. | 147,837 | 4,132 | |
* | Avid Technology Inc. | 219,104 | 4,128 |
* | Vocus Inc. | 133,408 | 4,084 |
* | Advanced Energy Industries Inc. | 270,686 | 4,003 |
*,^ | SunPower Corp. Class B | 239,397 | 3,981 |
* | SMART Modular Technologies WWH Inc. | 432,863 | 3,965 |
* | Brightpoint Inc. | 486,431 | 3,945 |
* | Intermec Inc. | 355,161 | 3,921 |
* | Monolithic Power Systems Inc. | 252,467 | 3,893 |
Black Box Corp. | 124,477 | 3,892 | |
* | Electro Scientific Industries Inc. | 199,907 | 3,858 |
* | Silicon Graphics International Corp. | 221,161 | 3,804 |
Micrel Inc. | 358,345 | 3,791 | |
iGate Corp. | 231,858 | 3,784 | |
* | Kenexa Corp. | 156,622 | 3,756 |
EPIQ Systems Inc. | 261,495 | 3,718 | |
* | Applied Micro Circuits Corp. | 407,486 | 3,610 |
United Online Inc. | 597,057 | 3,600 | |
* | Powerwave Technologies Inc. | 1,206,648 | 3,560 |
39
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Silicon Image Inc. | 548,133 | 3,541 |
* | Measurement Specialties Inc. | 98,809 | 3,527 |
* | EMS Technologies Inc. | 105,314 | 3,472 |
* | LoopNet Inc. | 187,708 | 3,450 |
* | FormFactor Inc. | 378,720 | 3,431 |
Forrester Research Inc. | 101,921 | 3,359 | |
* | Interactive Intelligence Inc. | 95,643 | 3,352 |
* | S1 Corp. | 443,789 | 3,320 |
Methode Electronics Inc. | 280,245 | 3,254 | |
* | LTX-Credence Corp. | 363,017 | 3,245 |
* | Accelrys Inc. | 449,884 | 3,199 |
* | TNS Inc. | 192,111 | 3,189 |
* | IXYS Corp. | 206,265 | 3,090 |
* | Magma Design Automation Inc. | 383,684 | 3,066 |
* | Maxwell Technologies Inc. | 186,885 | 3,026 |
Sycamore Networks Inc. | 135,868 | 3,022 | |
* | KIT Digital Inc. | 250,537 | 2,991 |
* | Zoran Corp. | 355,738 | 2,988 |
* | Travelzoo Inc. | 45,738 | 2,957 |
* | Photronics Inc. | 349,053 | 2,956 |
* | Calix Inc. | 138,292 | 2,879 |
* | Anaren Inc. | 134,772 | 2,864 |
* | Super Micro Computer Inc. | 177,280 | 2,852 |
Daktronics Inc. | 263,392 | 2,842 | |
Keynote Systems Inc. | 130,180 | 2,816 | |
* | Move Inc. | 1,278,187 | 2,799 |
* | Hypercom Corp. | 283,347 | 2,785 |
* | QuinStreet Inc. | 212,837 | 2,763 |
CTS Corp. | 285,098 | 2,757 | |
* | QLIK Technologies Inc. | 80,743 | 2,750 |
* | Oplink Communications Inc. | 145,572 | 2,712 |
* | ExlService Holdings Inc. | 116,491 | 2,691 |
* | Internap Network Services Corp. | 358,682 | 2,636 |
* | XO Group Inc. | 261,315 | 2,600 |
* | AXT Inc. | 298,225 | 2,529 |
* | Monotype Imaging Holdings Inc. | 176,395 | 2,492 |
* | Rudolph Technologies Inc. | 228,116 | 2,443 |
* | MIPS Technologies Inc. Class A | 348,857 | 2,411 |
* | Oclaro Inc. | 357,228 | 2,401 |
* | Ciber Inc. | 431,309 | 2,394 |
* | Exar Corp. | 373,568 | 2,365 |
* | Saba Software Inc. | 260,345 | 2,351 |
* | FleetCor Technologies Inc. | 78,533 | 2,328 |
* | Echelon Corp. | 254,659 | 2,315 |
* | VASCO Data Security International Inc. | 184,616 | 2,298 |
* | Seachange International Inc. | 210,383 | 2,268 |
* | Perficient Inc. | 218,885 | 2,246 |
* | Deltek Inc. | 298,092 | 2,233 |
* | support.com Inc. | 464,948 | 2,232 |
* | Liquidity Services Inc. | 93,983 | 2,219 |
* | Globecomm Systems Inc. | 142,320 | 2,214 |
* | Infospace Inc. | 242,165 | 2,209 |
* | RealNetworks Inc. | 648,173 | 2,204 |
*,^ | OCZ Technology Group Inc. | 273,399 | 2,187 |
* | Kopin Corp. | 457,548 | 2,155 |
* | PROS Holdings Inc. | 122,129 | 2,136 |
Cass Information Systems Inc. | 56,202 | 2,122 | |
* | Extreme Networks | 642,663 | 2,082 |
* | Aviat Networks Inc. | 524,634 | 2,067 |
* | NVE Corp. | 35,289 | 2,063 |
* | Aeroflex Holding Corp. | 113,043 | 2,052 |
Electro Rent Corp. | 118,098 | 2,022 | |
* | Supertex Inc. | 89,352 | 2,001 |
Cohu Inc. | 152,593 | 2,000 |
40
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Rubicon Technology Inc. | 115,896 | 1,954 |
* | DemandTec Inc. | 214,085 | 1,948 |
* | Digi International Inc. | 148,490 | 1,930 |
* | Nanometrics Inc. | 101,572 | 1,929 |
DDi Corp. | 201,902 | 1,926 | |
* | Actuate Corp. | 327,635 | 1,917 |
* | Amtech Systems Inc. | 92,558 | 1,910 |
* | Zix Corp. | 494,449 | 1,899 |
* | Integral Systems Inc. | 155,977 | 1,898 |
* | Computer Task Group Inc. | 143,949 | 1,896 |
* | UTStarcom Holdings Corp. | 1,213,167 | 1,893 |
* | Infinera Corp. | 273,079 | 1,887 |
* | Imation Corp. | 198,792 | 1,877 |
Marchex Inc. Class B | 206,836 | 1,837 | |
* | Multi-Fineline Electronix Inc. | 84,560 | 1,827 |
* | DSP Group Inc. | 208,795 | 1,817 |
* | Integrated Silicon Solution Inc. | 185,703 | 1,796 |
* | Gerber Scientific Inc. | 159,932 | 1,780 |
* | THQ Inc. | 490,275 | 1,775 |
* | Virtusa Corp. | 92,534 | 1,754 |
* | Web.com Group Inc. | 141,884 | 1,748 |
* | Callidus Software Inc. | 293,595 | 1,718 |
* | MoSys Inc. | 298,261 | 1,715 |
Stamps.com Inc. | 128,126 | 1,709 | |
* | Opnext Inc. | 738,977 | 1,685 |
* | Advanced Analogic Technologies Inc. | 272,950 | 1,653 |
American Software Inc. Class A | 196,873 | 1,636 | |
ModusLink Global Solutions Inc. | 362,869 | 1,626 | |
* | Intevac Inc. | 158,154 | 1,615 |
* | Lionbridge Technologies Inc. | 500,097 | 1,590 |
* | Sigma Designs Inc. | 207,136 | 1,583 |
* | PRGX Global Inc. | 220,131 | 1,574 |
* | Glu Mobile Inc. | 293,853�� | 1,549 |
* | Agilysys Inc. | 185,614 | 1,548 |
* | Pericom Semiconductor Corp. | 172,875 | 1,546 |
* | ShoreTel Inc. | 151,281 | 1,543 |
* | Booz Allen Hamilton Holding Corp. | 80,248 | 1,534 |
* | Hackett Group Inc. | 298,200 | 1,518 |
* | Zygo Corp. | 114,464 | 1,513 |
* | MoneyGram International Inc. | 451,664 | 1,500 |
* | Transact Technologies Inc. | 127,286 | 1,489 |
* | Global Cash Access Holdings Inc. | 464,789 | 1,478 |
* | Mindspeed Technologies Inc. | 184,238 | 1,474 |
*,^ | Wave Systems Corp. Class A | 515,408 | 1,453 |
* | Immersion Corp. | 169,727 | 1,448 |
* | Symmetricom Inc. | 242,375 | 1,413 |
* | BroadSoft Inc. | 36,975 | 1,410 |
* | Dynamics Research Corp. | 102,624 | 1,400 |
* | Anadigics Inc. | 434,711 | 1,395 |
* | Cray Inc. | 215,802 | 1,381 |
* | Vishay Precision Group Inc. | 81,764 | 1,380 |
* | Fabrinet | 56,360 | 1,368 |
* | Ultra Clean Holdings | 150,124 | 1,363 |
* | Radisys Corp. | 186,028 | 1,356 |
* | TeleCommunication Systems Inc. Class A | 276,049 | 1,333 |
* | FalconStor Software Inc. | 296,250 | 1,327 |
* | SS&C Technologies Holdings Inc. | 66,743 | 1,326 |
* | Limelight Networks Inc. | 285,206 | 1,301 |
Richardson Electronics Ltd. | 95,031 | 1,291 | |
Pulse Electronics Corp. | 288,941 | 1,277 | |
Telular Corp. | 204,513 | 1,262 | |
* | X-Rite Inc. | 250,797 | 1,246 |
Renaissance Learning Inc. | 99,318 | 1,245 | |
* | LeCroy Corp. | 101,509 | 1,222 |
41
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Openwave Systems Inc. | 529,979 | 1,214 |
* | Dice Holdings Inc. | 88,629 | 1,198 |
* | Guidance Software Inc. | 145,946 | 1,189 |
* | Novatel Wireless Inc. | 211,368 | 1,158 |
* | Digimarc Corp. | 32,728 | 1,146 |
* | NCI Inc. Class A | 50,070 | 1,138 |
* | Echo Global Logistics Inc. | 63,197 | 1,122 |
* | Datalink Corp. | 159,985 | 1,112 |
Communications Systems Inc. | 61,604 | 1,105 | |
* | Pervasive Software Inc. | 170,783 | 1,096 |
Mocon Inc. | 69,813 | 1,073 | |
* | Emcore Corp. | 391,031 | 1,071 |
* | KVH Industries Inc. | 100,378 | 1,067 |
* | Axcelis Technologies Inc. | 643,115 | 1,055 |
Bel Fuse Inc. Class B | 48,336 | 1,048 | |
* | Westell Technologies Inc. Class A | 290,049 | 1,035 |
Ipass Inc. | 680,802 | 1,035 | |
* | Data I/O Corp. | 178,166 | 1,030 |
* | IntraLinks Holdings Inc. | 59,253 | 1,024 |
* | ServiceSource International Inc. | 45,500 | 1,011 |
* | PC Mall Inc. | 128,872 | 1,003 |
* | Trident Microsystems Inc. | 1,410,329 | 973 |
*,^ | Research Frontiers Inc. | 209,746 | 959 |
*,^ | Rosetta Stone Inc. | 58,576 | 945 |
* | Smith Micro Software Inc. | 222,528 | 937 |
* | Bsquare Corp. | 148,052 | 928 |
* | ORBCOMM Inc. | 292,962 | 917 |
* | NAPCO Security Technologies Inc. | 300,223 | 892 |
* | GSI Group Inc. | 73,330 | 884 |
*,^ | Microvision Inc. | 714,268 | 871 |
* | QuickLogic Corp. | 252,820 | 852 |
* | Mattson Technology Inc. | 431,457 | 820 |
* | PDF Solutions Inc. | 136,609 | 814 |
* | SRS Labs Inc. | 84,276 | 808 |
*,^ | Demand Media Inc. | 59,492 | 806 |
* | Frequency Electronics Inc. | 82,635 | 785 |
* | BTU International Inc. | 111,167 | 783 |
* | Dot Hill Systems Corp. | 273,027 | 775 |
* | Procera Networks Inc. | 71,113 | 763 |
* | Tier Technologies Inc. Class B | 151,594 | 758 |
* | Ramtron International Corp. | 252,459 | 752 |
* | LRAD Corp. | 271,744 | 747 |
Evolving Systems Inc. | 102,263 | 731 | |
* | TeleNav Inc. | 40,224 | 713 |
* | iGO Inc. | 432,897 | 706 |
* | Aware Inc. | 229,403 | 688 |
Rimage Corp. | 50,369 | 676 | |
* | MaxLinear Inc. | 75,283 | 652 |
* | Autobytel Inc. | 572,741 | 647 |
* | Cornerstone OnDemand Inc. | 36,600 | 646 |
* | BigBand Networks Inc. | 290,106 | 630 |
*,^ | SunPower Corp. Class A | 32,311 | 625 |
* | Bitstream Inc. Class A | 118,427 | 621 |
*,^ | Local.com Corp. | 183,148 | 612 |
* | KEY Tronic Corp. | 132,830 | 604 |
* | Reis Inc. | 60,774 | 603 |
*,^ | Majesco Entertainment Co. | 199,658 | 603 |
QAD Inc. Class A | 58,649 | 599 | |
* | Presstek Inc. | 363,160 | 592 |
Mesa Laboratories Inc. | 18,022 | 571 | |
* | GSI Technology Inc. | 77,331 | 557 |
* | Versant Corp. | 44,049 | 551 |
* | Innodata Isogen Inc. | 204,997 | 543 |
* | PC Connection Inc. | 65,582 | 543 |
42
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | LinkedIn Corp. Class A | 5,967 | 538 |
* | Network Equipment Technologies Inc. | 244,136 | 537 |
* | Insweb Corp. | 75,459 | 534 |
Astro-Med Inc. | 64,998 | 532 | |
* | EasyLink Services International Corp. Class A | 89,991 | 526 |
* | PC-Tel Inc. | 80,177 | 520 |
*,^ | Meru Networks Inc. | 42,755 | 513 |
* | Identive Group Inc. | 213,733 | 496 |
* | ID Systems Inc. | 104,136 | 484 |
* | PLX Technology Inc. | 136,238 | 473 |
* | Cyberoptics Corp. | 48,493 | 470 |
* | Micronetics Inc. | 92,314 | 464 |
TheStreet Inc. | 149,104 | 458 | |
* | Onvia Inc. | 99,783 | 457 |
* | Network Engines Inc. | 411,278 | 452 |
Optical Cable Corp. | 111,581 | 452 | |
* | Motricity Inc. | 57,072 | 441 |
*,^ | Superconductor Technologies Inc. | 191,194 | 440 |
*,^ | Energy Conversion Devices Inc. | 363,948 | 429 |
* | LoJack Corp. | 98,177 | 428 |
* | Zhone Technologies Inc. | 180,302 | 427 |
* | GSE Systems Inc. | 196,528 | 424 |
* | Market Leader Inc. | 194,905 | 423 |
* | Online Resources Corp. | 128,409 | 419 |
*,^ | Quepasa Corp. | 57,734 | 419 |
* | Comverge Inc. | 140,249 | 417 |
* | Performance Technologies Inc. | 208,179 | 414 |
* | Transwitch Corp. | 130,888 | 404 |
* | StarTek Inc. | 115,340 | 398 |
* | Cinedigm Digital Cinema Corp. Class A | 234,820 | 397 |
* | Information Services Group Inc. | 219,952 | 389 |
* | Aetrium Inc. | 215,721 | 384 |
* | Stream Global Services Inc. | 115,813 | 382 |
* | IEC Electronics Corp. | 56,909 | 373 |
* | Document Security Systems Inc. | 112,499 | 353 |
* | NetSol Technologies Inc. | 202,696 | 353 |
* | Hutchinson Technology Inc. | 153,807 | 349 |
* | FSI International Inc. | 126,809 | 347 |
* | ePlus Inc. | 12,954 | 343 |
*,^ | Evergreen Solar Inc. | 593,404 | 338 |
* | TechTarget Inc. | 44,392 | 336 |
* | Authentidate Holding Corp. | 273,662 | 328 |
* | LGL Group Inc. | 33,649 | 327 |
* | CalAmp Corp. | 104,460 | 317 |
* | Crexendo Inc. | 62,751 | 311 |
* | Acorn Energy Inc. | 73,945 | 291 |
*,^ | Hauppauge Digital Inc. | 158,139 | 289 |
* | Looksmart Ltd. | 187,926 | 284 |
* | Ikanos Communications Inc. | 229,644 | 282 |
* | Sonic Foundry Inc. | 21,546 | 273 |
* | Tii Network Technologies Inc. | 109,678 | 264 |
* | eMagin Corp. | 43,249 | 263 |
* | AuthenTec Inc. | 94,740 | 261 |
* | RF Monolithics Inc. | 186,353 | 255 |
* | Video Display Corp. | 65,454 | 251 |
* | Inphi Corp. | 14,357 | 250 |
* | Cascade Microtech Inc. | 43,648 | 249 |
* | PAR Technology Corp. | 64,438 | 246 |
* | Intellicheck Mobilisa Inc. | 193,250 | 242 |
* | WebMediaBrands Inc. | 176,654 | 237 |
* | Planar Systems Inc. | 81,559 | 233 |
* | Pixelworks Inc. | 93,133 | 228 |
* | Ditech Networks Inc. | 169,861 | 200 |
* | Envestnet Inc. | 12,821 | 190 |
43
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Management Network Group Inc. | 72,395 | 190 |
* | Netlist Inc. | 91,023 | 188 |
* | Convio Inc. | 17,110 | 185 |
* | Parkervision Inc. | 322,247 | 184 |
* | Newtek Business Services Inc. | 108,603 | 182 |
* | Numerex Corp. Class A | 18,018 | 175 |
* | Digital Ally Inc. | 148,969 | 173 |
* | Spire Corp. | 69,782 | 171 |
* | Lantronix Inc. | 54,634 | 138 |
* | Soundbite Communications Inc. | 55,282 | 134 |
Bel Fuse Inc. Class A | 5,719 | 133 | |
* | Infosonics Corp. | 184,032 | 132 |
QAD Inc. Class B | 14,091 | 131 | |
* | Alliance Fiber Optic Products Inc. | 15,256 | 129 |
* | TSR Inc. | 27,043 | 128 |
* | Pfsweb Inc. | 27,325 | 125 |
* | Vertro Inc. | 55,308 | 124 |
* | EDGAR Online Inc. | 141,611 | 122 |
* | Selectica Inc. | 24,332 | 122 |
* | TigerLogic Corp. | 28,977 | 120 |
* | Wireless Ronin Technologies Inc. | 88,756 | 102 |
* | Dialogic Inc. | 20,792 | 94 |
* | Lightpath Technologies Inc. Class A | 60,957 | 93 |
* | Viasystems Group Inc. | 3,942 | 89 |
* | SciQuest Inc. | 4,842 | 83 |
* | Scientific Learning Corp. | 25,731 | 80 |
* | Mattersight Corp. | 13,815 | 77 |
* | ClearOne Communications Inc. | 11,344 | 74 |
* | MEMSIC Inc. | 19,585 | 67 |
* | GTSI Corp. | 12,135 | 65 |
* | USA Technologies Inc. | 25,400 | 56 |
* | Interphase Corp. | 10,614 | 55 |
* | Globalscape Inc. | 23,790 | 51 |
* | SPS Commerce Inc. | 2,800 | 50 |
* | MakeMusic Inc. | 9,686 | 48 |
* | Unify Corp. | 24,694 | 46 |
* | Mastech Holdings Inc. | 12,664 | 43 |
* | DRI Corp. | 39,661 | 28 |
* | Overland Storage Inc. | 9,540 | 27 |
* | Mediamind Technologies Inc. | 1,200 | 26 |
* | Relm Wireless Corp. | 18,822 | 26 |
* | Inuvo Inc. | 8,919 | 19 |
* | Wireless Telecom Group Inc. | 21,906 | 18 |
* | Rainmaker Systems Inc. | 17,407 | 18 |
* | Edgewater Technology Inc. | 5,703 | 15 |
* | DayStar Technologies Inc. | 22,553 | 11 |
* | Responsys Inc. | 500 | 9 |
* | Advanced Photonix Inc. Class A | 3,333 | 5 |
* | Park City Group Inc. | 100 | — |
3,137,352 | |||
Materials (7.5%) | |||
Mosaic Co. | 1,932,863 | 130,913 | |
LyondellBasell Industries NV Class A | 1,905,700 | 73,408 | |
Lubrizol Corp. | 448,553 | 60,227 | |
Celanese Corp. Class A | 1,089,790 | 58,097 | |
Walter Energy Inc. | 434,619 | 50,329 | |
Albemarle Corp. | 639,672 | 44,265 | |
* | Crown Holdings Inc. | 1,087,891 | 42,232 |
Ashland Inc. | 552,058 | 35,674 | |
Rock-Tenn Co. Class A | 474,810 | 31,499 | |
Domtar Corp. | 286,443 | 27,132 | |
Nalco Holding Co. | 966,217 | 26,871 | |
Reliance Steel & Aluminum Co. | 521,543 | 25,895 | |
Martin Marietta Materials Inc. | 317,961 | 25,427 |
44
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Steel Dynamics Inc. | 1,523,749 | 24,761 | |
Sonoco Products Co. | 695,424 | 24,715 | |
Aptargroup Inc. | 469,684 | 24,583 | |
Valspar Corp. | 653,526 | 23,566 | |
* | WR Grace & Co. | 512,817 | 23,400 |
Huntsman Corp. | 1,209,127 | 22,792 | |
Temple-Inland Inc. | 756,165 | 22,488 | |
Royal Gold Inc. | 379,221 | 22,211 | |
RPM International Inc. | 910,674 | 20,964 | |
* | Rockwood Holdings Inc. | 373,349 | 20,643 |
Compass Minerals International Inc. | 229,561 | 19,758 | |
Cytec Industries Inc. | 343,564 | 19,648 | |
Packaging Corp. of America | 700,144 | 19,597 | |
* | Solutia Inc. | 851,199 | 19,450 |
* | Allied Nevada Gold Corp. | 541,803 | 19,164 |
Cabot Corp. | 457,708 | 18,249 | |
Carpenter Technology Corp. | 307,455 | 17,734 | |
Scotts Miracle-Gro Co. Class A | 312,784 | 16,049 | |
* | Coeur d'Alene Mines Corp. | 624,844 | 15,159 |
* | Hecla Mining Co. | 1,948,999 | 14,988 |
Greif Inc. Class A | 217,369 | 14,136 | |
Silgan Holdings Inc. | 342,455 | 14,030 | |
Sensient Technologies Corp. | 349,517 | 12,957 | |
Olin Corp. | 556,285 | 12,605 | |
* | Molycorp Inc. | 205,381 | 12,541 |
* | Chemtura Corp. | 673,003 | 12,249 |
Commercial Metals Co. | 805,677 | 11,561 | |
* | AbitibiBowater Inc. | 562,822 | 11,425 |
NewMarket Corp. | 66,872 | 11,416 | |
PolyOne Corp. | 651,637 | 10,081 | |
* | Intrepid Potash Inc. | 309,528 | 10,060 |
Globe Specialty Metals Inc. | 425,121 | 9,531 | |
* | Stillwater Mining Co. | 409,547 | 9,014 |
Worthington Industries Inc. | 388,850 | 8,982 | |
Schnitzer Steel Industries Inc. | 155,541 | 8,959 | |
Balchem Corp. | 201,623 | 8,827 | |
* | OM Group Inc. | 216,466 | 8,797 |
Eagle Materials Inc. | 315,581 | 8,795 | |
* | Kraton Performance Polymers Inc. | 223,185 | 8,742 |
HB Fuller Co. | 350,966 | 8,571 | |
Minerals Technologies Inc. | 127,649 | 8,462 | |
Texas Industries Inc. | 194,472 | 8,096 | |
* | RTI International Metals Inc. | 210,761 | 8,087 |
* | Ferro Corp. | 600,468 | 8,070 |
Buckeye Technologies Inc. | 278,569 | 7,516 | |
* | Louisiana-Pacific Corp. | 922,722 | 7,511 |
Innophos Holdings Inc. | 153,086 | 7,471 | |
Westlake Chemical Corp. | 141,943 | 7,367 | |
Schweitzer-Mauduit International Inc. | 124,486 | 6,990 | |
AMCOL International Corp. | 181,256 | 6,917 | |
* | Calgon Carbon Corp. | 402,654 | 6,845 |
Boise Inc. | 865,479 | 6,742 | |
* | Century Aluminum Co. | 404,239 | 6,326 |
Arch Chemicals Inc. | 179,692 | 6,189 | |
* | Georgia Gulf Corp. | 242,524 | 5,855 |
Kaiser Aluminum Corp. | 105,677 | 5,772 | |
* | Clearwater Paper Corp. | 82,020 | 5,600 |
Koppers Holdings Inc. | 147,109 | 5,580 | |
A Schulman Inc. | 215,613 | 5,431 | |
Haynes International Inc. | 87,100 | 5,394 | |
* | Materion Corp. | 145,498 | 5,379 |
* | LSB Industries Inc. | 118,669 | 5,093 |
PH Glatfelter Co. | 321,554 | 4,946 | |
* | Graphic Packaging Holding Co. | 906,817 | 4,933 |
45
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | US Gold Corp. | 752,375 | 4,537 |
* | KapStone Paper and Packaging Corp. | 273,300 | 4,529 |
* | STR Holdings Inc. | 295,712 | 4,412 |
* | Horsehead Holding Corp. | 319,317 | 4,253 |
* | Graham Packaging Co. Inc. | 164,715 | 4,154 |
Deltic Timber Corp. | 77,041 | 4,136 | |
Stepan Co. | 55,684 | 3,948 | |
Quaker Chemical Corp. | 77,334 | 3,326 | |
Kronos Worldwide Inc. | 102,006 | 3,208 | |
Neenah Paper Inc. | 139,726 | 2,973 | |
�� | Myers Industries Inc. | 284,610 | 2,926 |
* | General Moly Inc. | 655,774 | 2,925 |
Zep Inc. | 152,456 | 2,881 | |
* | Omnova Solutions Inc. | 405,256 | 2,821 |
* | TPC Group Inc. | 68,511 | 2,687 |
Wausau Paper Corp. | 366,151 | 2,468 | |
* | Noranda Aluminum Holding Corp. | 157,903 | 2,391 |
Hawkins Inc. | 63,974 | 2,317 | |
*,^ | Zagg Inc. | 163,917 | 2,197 |
*,^ | Flotek Industries Inc. | 251,459 | 2,142 |
Olympic Steel Inc. | 72,664 | 2,000 | |
American Vanguard Corp. | 153,224 | 1,987 | |
* | AM Castle & Co. | 112,459 | 1,868 |
* | Zoltek Cos. Inc. | 175,511 | 1,848 |
* | Universal Stainless & Alloy | 39,450 | 1,845 |
* | Senomyx Inc. | 342,794 | 1,762 |
* | Mercer International Inc. | 171,504 | 1,729 |
* | ADA-ES Inc. | 101,687 | 1,626 |
NL Industries Inc. | 87,912 | 1,614 | |
* | Headwaters Inc. | 463,864 | 1,452 |
^ | Great Northern Iron Ore Properties | 13,751 | 1,426 |
* | Spartech Corp. | 225,491 | 1,373 |
* | AEP Industries Inc. | 43,386 | 1,266 |
* | Landec Corp. | 172,470 | 1,138 |
* | Handy & Harman Ltd. | 65,482 | 1,008 |
* | Metals USA Holdings Corp. | 58,430 | 871 |
* | US Energy Corp. Wyoming | 186,037 | 794 |
Synalloy Corp. | 53,527 | 726 | |
* | United States Lime & Minerals Inc. | 16,558 | 679 |
* | TOR Minerals International Inc. | 33,160 | 587 |
KMG Chemicals Inc. | 25,843 | 435 | |
* | Penford Corp. | 81,876 | 434 |
Chase Corp. | 25,736 | 431 | |
* | American Pacific Corp. | 44,024 | 353 |
* | Nanophase Technologies Corp. | 267,764 | 321 |
* | Mod-Pac Corp. | 49,498 | 293 |
* | Solitario Exploration & Royalty Corp. | 98,333 | 280 |
*,^ | Cereplast Inc. | 55,857 | 248 |
* | Timberline Resources Corp. | 322,116 | 242 |
*,^ | Silver Bull Resources Inc. | 315,755 | 215 |
* | Mines Management Inc. | 47,591 | 100 |
* | Verso Paper Corp. | 37,309 | 100 |
* | Arabian American Development Co. | 22,574 | 91 |
* | US Concrete Inc. | 7,700 | 67 |
*,^ | Clean Diesel Technologies Inc. | 9,971 | 47 |
1,508,226 | |||
Telecommunication Services (1.6%) | |||
* | Crown Castle International Corp. | 1,377,686 | 56,196 |
* | NII Holdings Inc. | 1,187,339 | 50,320 |
* | SBA Communications Corp. Class A | 790,625 | 30,194 |
* | Level 3 Communications Inc. | 11,879,654 | 28,986 |
* | tw telecom inc Class A | 1,052,081 | 21,599 |
Telephone & Data Systems Inc. | 488,151 | 15,172 | |
AboveNet Inc. | 180,259 | 12,701 |
46
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Clearwire Corp. Class A | 2,619,912 | 9,903 |
* | Global Crossing Ltd. | 212,435 | 8,153 |
* | Leap Wireless International Inc. | 370,902 | 6,020 |
* | Cogent Communications Group Inc. | 327,570 | 5,572 |
* | United States Cellular Corp. | 109,762 | 5,315 |
* | Cincinnati Bell Inc. | 1,422,635 | 4,723 |
NTELOS Holdings Corp. | 213,474 | 4,359 | |
* | Neutral Tandem Inc. | 239,381 | 4,170 |
* | PAETEC Holding Corp. | 865,612 | 4,146 |
* | Vonage Holdings Corp. | 920,190 | 4,058 |
Telephone & Data Systems Inc. - Special Common Shares | 147,351 | 3,968 | |
* | Premiere Global Services Inc. | 455,200 | 3,633 |
* | General Communication Inc. Class A | 297,386 | 3,590 |
IDT Corp. Class B | 123,505 | 3,337 | |
Consolidated Communications Holdings Inc. | 165,751 | 3,222 | |
Shenandoah Telecommunications Co. | 181,957 | 3,097 | |
USA Mobility Inc. | 196,209 | 2,994 | |
* | 8x8 Inc. | 597,986 | 2,924 |
Alaska Communications Systems Group Inc. | 297,668 | 2,640 | |
* | Cbeyond Inc. | 195,762 | 2,590 |
Atlantic Tele-Network Inc. | 64,131 | 2,460 | |
* | ICO Global Communications Holdings Ltd. | 884,115 | 2,449 |
* | Iridium Communications Inc. | 272,281 | 2,355 |
SureWest Communications | 86,044 | 1,439 | |
*,^ | Fairpoint Communications Inc. | 149,332 | 1,375 |
HickoryTech Corp. | 104,975 | 1,247 | |
*,^ | Towerstream Corp. | 172,478 | 861 |
*,^ | inContact Inc. | 177,142 | 842 |
Warwick Valley Telephone Co. | 52,401 | 757 | |
* | Globalstar Inc. | 290,490 | 357 |
* | Boingo Wireless Inc. | 35,000 | 318 |
* | FiberTower Corp. | 218,570 | 262 |
* | Multiband Corp. | 48,121 | 156 |
318,460 | |||
Utilities (3.9%) | |||
National Fuel Gas Co. | 576,418 | 41,963 | |
* | Calpine Corp. | 2,456,973 | 39,631 |
American Water Works Co. Inc. | 1,222,425 | 36,000 | |
OGE Energy Corp. | 683,103 | 34,374 | |
NSTAR | 714,675 | 32,861 | |
Alliant Energy Corp. | 773,962 | 31,469 | |
MDU Resources Group Inc. | 1,317,092 | 29,635 | |
ITC Holdings Corp. | 356,230 | 25,567 | |
NV Energy Inc. | 1,645,297 | 25,255 | |
UGI Corp. | 777,962 | 24,809 | |
DPL Inc. | 815,852 | 24,606 | |
AGL Resources Inc. | 546,241 | 22,237 | |
Questar Corp. | 1,237,102 | 21,909 | |
Westar Energy Inc. | 793,617 | 21,356 | |
Aqua America Inc. | 964,492 | 21,200 | |
Atmos Energy Corp. | 630,663 | 20,970 | |
* | GenOn Energy Inc. | 5,385,024 | 20,786 |
Great Plains Energy Inc. | 949,267 | 19,678 | |
Hawaiian Electric Industries Inc. | 664,255 | 15,982 | |
Vectren Corp. | 570,526 | 15,895 | |
Piedmont Natural Gas Co. Inc. | 502,499 | 15,206 | |
Cleco Corp. | 425,670 | 14,835 | |
WGL Holdings Inc. | 357,795 | 13,772 | |
IDACORP Inc. | 346,180 | 13,674 | |
Portland General Electric Co. | 525,735 | 13,291 | |
New Jersey Resources Corp. | 288,870 | 12,887 | |
Southwest Gas Corp. | 320,224 | 12,364 | |
UIL Holdings Corp. | 352,673 | 11,409 | |
South Jersey Industries Inc. | 209,137 | 11,358 |
47
Vanguard® Extended Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2011 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Avista Corp. | 402,335 | 10,336 | |||
PNM Resources Inc. | 605,055 | 10,129 | |||
Unisource Energy Corp. | 256,269 | 9,567 | |||
El Paso Electric Co. | 293,897 | 9,493 | |||
Allete Inc. | 218,181 | 8,954 | |||
Northwest Natural Gas Co. | 186,284 | 8,407 | |||
NorthWestern Corp. | 253,113 | 8,381 | |||
Black Hills Corp. | 275,287 | 8,283 | |||
MGE Energy Inc. | 165,089 | 6,691 | |||
Laclede Group Inc. | 160,069 | 6,055 | |||
CH Energy Group Inc. | 109,829 | 5,850 | |||
Empire District Electric Co. | 297,791 | 5,735 | |||
California Water Service Group | 297,968 | 5,575 | |||
Otter Tail Corp. | 256,705 | 5,417 | |||
American States Water Co. | 133,318 | 4,621 | |||
* | Dynegy Inc. Class A | 736,161 | 4,557 | ||
Central Vermont Public Service Corp. | 101,354 | 3,664 | |||
Ormat Technologies Inc. | 149,814 | 3,297 | |||
Chesapeake Utilities Corp. | 79,071 | 3,165 | |||
Middlesex Water Co. | 134,008 | 2,490 | |||
SJW Corp. | 90,608 | 2,196 | |||
Unitil Corp. | 62,868 | 1,653 | |||
Connecticut Water Service Inc. | 63,197 | 1,617 | |||
York Water Co. | 78,540 | 1,300 | |||
* | Cadiz Inc. | 98,280 | 1,067 | ||
Delta Natural Gas Co. Inc. | 28,659 | 910 | |||
Artesian Resources Corp. Class A | 45,300 | 816 | |||
Pennichuck Corp. | 26,017 | 748 | |||
*,^ | US Geothermal Inc. | 496,141 | 347 | ||
* | Purecycle Corp. | 86,317 | 263 | ||
*,^ | Synthesis Energy Systems Inc. | 93,735 | 175 | ||
*,^ | American DG Energy Inc. | 21,357 | 35 | ||
786,773 | |||||
Total Common Stocks (Cost $16,358,755) | 20,123,282 | ||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (1.1%)1 | |||||
Money Market Fund (1.1%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.140% | 224,219,132 | 224,219 | |
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (0.0%) | |||||
4,5 | Freddie Mac Discount Notes | 0.090% | 8/22/11 | 5,500 | 5,499 |
4 | Freddie Mac Discount Notes | 0.100% | 8/29/11 | 1,000 | 1,000 |
6,499 | |||||
Total Temporary Cash Investments (Cost $230,718) | 230,718 | ||||
Total Investments (101.0%) (Cost $16,589,473) | 20,354,000 | ||||
Other Assets and Liabilities—Net (-1.0%) | (203,985) | ||||
Net Assets (100%) | 20,150,015 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $168,733,000.
48
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2011
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 0.9%, 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 $187,137,000 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 $3,999,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
49
© 2011 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 982_082011
![]() |
Vanguard U.S. Stock Index Funds |
Large-Capitalization Portfolios |
Semiannual Report |
June 30, 2011 |
![]() |
Vanguard Growth Index Fund |
Vanguard Value Index Fund |
Vanguard Large-Cap Index Fund |
> For the six months ended June 30, 2011, returns for Investor Shares of Vanguard’s large-capitalization U.S. stock index funds ranged from 5.90% for Vanguard Growth Index Fund to 6.33% for Vanguard Value Index Fund.
> Returns for all three funds were in line with their respective target benchmarks.
> Stocks in the health care, energy, and consumer discretionary sectors were among the top performers for the period.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Growth Index Fund. | 8 |
Value Index Fund. | 28 |
Large-Cap Index Fund. | 47 |
About Your Fund’s Expenses. | 72 |
Trustees Approve Advisory Arrangement. | 75 |
Glossary. | 76 |
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstcklargecapx2x1.jpg)
Growth Index Fund
Value Index Fund
Large-Cap 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: Jean Maher.
Your Fund’s Total Returns
Six Months Ended June 30, 2011 | |
Total | |
Returns | |
Vanguard Growth Index Fund | |
Investor Shares | 5.90% |
Admiral Shares™ | 5.96 |
Signal Shares® | 5.97 |
Institutional Shares | 5.97 |
ETF Shares | |
Market Price | 5.94 |
Net Asset Value | 5.97 |
MSCI US Prime Market Growth Index | 6.01 |
Large-Cap Growth Funds Average | 5.42 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Value Index Fund | |
Investor Shares | 6.33% |
Admiral Shares™ | 6.40 |
Signal Shares® | 6.44 |
Institutional Shares | 6.42 |
ETF Shares | |
Market Price | 6.37 |
Net Asset Value | 6.42 |
MSCI US Prime Market Value Index | 6.45 |
Large-Cap Value Funds Average | 5.25 |
Large-Cap Value Funds Average: Derived from data provided by Lipper Inc. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares and Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the 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, 2011 | |
Total | |
Returns | |
Vanguard Large-Cap Index Fund | |
Investor Shares | 6.11% |
Admiral Shares™ | 6.20 |
Signal Shares® | 6.18 |
Institutional Shares | 6.21 |
ETF Shares | |
Market Price | 6.16 |
Net Asset Value | 6.20 |
MSCI US Prime Market 750 Index | 6.23 |
Large-Cap Core Funds Average | 5.25 |
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares and Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the 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.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
2
Your Fund’s Performance at a Glance
December 31, 2010 , Through June 30, 2011 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Growth Index Fund | ||||
Investor Shares | $31.60 | $33.30 | $0.161 | $0.000 |
Admiral Shares | 31.60 | 33.29 | 0.188 | 0.000 |
Signal Shares | 29.26 | 30.83 | 0.173 | 0.000 |
Institutional Shares | 31.60 | 33.29 | 0.192 | 0.000 |
ETF Shares | 61.39 | 64.68 | 0.365 | 0.000 |
Vanguard Value Index Fund | ||||
Investor Shares | $20.79 | $21.87 | $0.232 | $0.000 |
Admiral Shares | 20.79 | 21.87 | 0.247 | 0.000 |
Signal Shares | 21.63 | 22.76 | 0.258 | 0.000 |
Institutional Shares | 20.79 | 21.87 | 0.251 | 0.000 |
ETF Shares | 53.29 | 56.06 | 0.637 | 0.000 |
Vanguard Large-Cap Index Fund | ||||
Investor Shares | $23.25 | $24.48 | $0.187 | $0.000 |
Admiral Shares | 29.07 | 30.61 | 0.256 | 0.000 |
Signal Shares | 25.36 | 26.70 | 0.223 | 0.000 |
Institutional Shares | 119.65 | 125.99 | 1.067 | 0.000 |
ETF Shares | 57.56 | 60.61 | 0.505 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
Vanguard’s trio of large-capitalization U.S. index funds delivered solid performances for the six months ended June 30, 2011, posting returns ranging from 5.90% for Vanguard Growth Index Fund to 6.33% for Vanguard Value Index Fund. Vanguard Large-Cap Index Fund, which invests in both value and growth stocks, fell in the middle of the pack, returning 6.11% for the half-year. (All returns are for the funds’ Investor Shares.)
The performances of all three funds closely tracked those of their respective target indexes and bested the average returns of their peer groups for the period.
For stock markets, a ragged six-month gain
Global stock markets climbed unsteadily as investor attitudes swung from giddy optimism about the strength of corporate earnings to fears that the slow, grinding recovery was losing momentum. Stock prices rallied through the first four months of 2011, pulled back as economic news turned gloomier, then bounced back at the end of the period.
The broad U.S. stock market returned about 6% for the six months. International stock markets finished a few steps behind, restrained by sovereign-debt dramas in Europe and the economic aftershocks of the Japanese natural and nuclear disaster. Gains were modest in emerging markets, too, as big economies such as China and Brazil grappled with inflationary pressures.
4
Low yields, solid returnsin the bond market
Bonds delivered solid six-month returns even as interest rates hovered near generational lows. Bond prices rallied in spring as economic anxiety prompted a search for safer havens in fixed income. The broad taxable bond market returned almost 3%. The municipal market performed even better. Municipal securities were hammered early in the year as unsettling headlines raised doubts about their safety. Toward the end, investors’ worries began to recede and prices rose.
The yields on money market instruments remained nearly invisible, consistent with the Federal Reserve Board’s target for short-term interest rates, which since December 2008 has been anchored between 0% and 0.25%.
Value stocks outperformed during uncertain times
Vanguard’s three large-cap index funds posted solid returns for the fiscal half-year ended June 30. During the period, value stocks outperformed growth stocks, giving a slight advantage to the Value Index Fund, which was the trio’s top performer for the period. Returns for the Large-Cap Index Fund, which consists of both value and growth stocks, fell between those of the other two funds. Although the Growth Index Fund was the laggard of the group, the fund posted gains in all ten market sectors for the period.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2011 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 6.37% | 31.93% | 3.30% |
Russell 2000 Index (Small-caps) | 6.21 | 37.41 | 4.08 |
Dow Jones U.S. Total Stock Market Index | 6.01 | 32.26 | 3.66 |
MSCI All Country World Index ex USA (International) | 3.80 | 29.73 | 3.67 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.72% | 3.90% | 6.52% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 4.42 | 3.48 | 4.93 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.14 | 1.86 |
CPI | |||
Consumer Price Index | 2.99% | 3.56% | 2.15% |
5
All three funds generally saw similar results on a sector level. Overall, stocks performed well and all sectors—-with the exception of financials in the Value Index and Large-Cap Index Funds—-gained for the period. Battered investment and commercial banks weighed heaviest on the two funds’ performances. The Growth Index Fund’s holdings in the sector fared better and generated a positive return.
Stocks in the health care, energy, and consumer discretionary sectors contributed significantly to returns. Health care, the market’s top performer for the six months, lagged early in the period, but bounced back in the final weeks as investors looked to the sector for stability amid rising concerns over economic uncertainty. Health care stocks were mostly positive across the board, with pharmaceuticals, biotechnology firms, and health care providers leading the way.
Energy stocks were also significant contributors to the funds’ six-month returns. The sector was led by oil and gas companies, as oil prices remained high throughout the period. The consumer discretionary sector was also a strong performer, with stocks of media companies and restaurants among the top contributors. Stocks within the industrials and consumer staples sectors also helped boost returns.
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 | 0.26% | 0.12% | 0.12% | 0.08% | 0.12% | 1.37% |
Value Index Fund | 0.26 | 0.12 | 0.12 | 0.08 | 0.12 | 1.27 |
Large-Cap Index Fund | 0.26 | 0.12 | 0.12 | 0.08 | 0.12 | 1.26 |
The fund expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the funds’ annualized expense ratios were: for the Growth Index Fund, 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; for the Value Index Fund, 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; and for the Large-Cap Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2010.
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.
6
Throughout the six-month period, each fund closely tracked its respective benchmark. Such close index-tracking performance is a tribute to the funds’ advisor, Vanguard Quantitative Equity Group, which employs skilled portfolio management and sophisticated risk-control and trading systems in its efforts. The advisor was helped in this task by the funds’ low expense ratios.
Focus on your goals, not the market’s ups and downs
The stock market turned in solid results for the most recent six months. But the financial markets are unpredictable, and nobody knows what the next six months will bring. Good or bad, there will always be unexpected news that drives global stock markets up or down.
At Vanguard, we believe that the best way to deal with the market’s uncertainty is to ignore short-term volatility and, instead, focus on the long term. We urge investors to create a balanced investment plan that includes a mix of stock, bond, and money market funds appropriate for their goals and risk tolerance—and to stick with that plan regardless of market conditions.
Vanguard’s large-cap index funds can help to diversify such a balanced long-term investment portfolio by providing exposure to the large-cap segment of the U.S. stock market—both the segment as a whole and its growth and value components. Each fund offers a low-cost way to invest in some of the United States’ biggest companies.
Thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstcklargecapx9x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 12, 2011
7
Growth Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | |||||
Investor | Admiral | Signal | Institutional | ETF | |
Shares | Shares | Shares | Shares | Shares | |
Ticker Symbol | VIGRX | VIGAX | VIGSX | VIGIX | VUG |
Expense Ratio1 | 0.26% | 0.12% | 0.12% | 0.08% | 0.12% |
30-Day SEC Yield | 0.98% | 1.12% | 1.12% | 1.14% | 1.12% |
Portfolio Characteristics | |||
MSCI US | |||
Prime | DJ | ||
Market | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 430 | 428 | 3,745 |
Median Market Cap | $34.1B | $34.1B | $30.8B |
Price/Earnings Ratio | 18.9x | 18.9x | 17.1x |
Price/Book Ratio | 3.6x | 3.6x | 2.2x |
Return on Equity | 24.3% | 24.0% | 19.1% |
Earnings Growth Rate | 12.4% | 12.5% | 5.8% |
Dividend Yield | 1.2% | 1.2% | 1.8% |
Turnover Rate | |||
(Annualized) | 26% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | |||
MSCI US | DJ | ||
Prime Market | U.S. Total | ||
Growth | Market | ||
Index | Index | ||
R-Squared | 1.00 | 0.97 | |
Beta | 1.00 | 0.96 | |
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 | 4.6% | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 3.1 |
Coca-Cola Co. | Soft Drinks | 2.1 |
Oracle Corp. | Systems Software | 2.0 |
Microsoft Corp. | Systems Software | 1.9 |
Google Inc. | Internet Software & | |
Services | 1.9 | |
Philip Morris | ||
International Inc. | Tobacco | 1.8 |
Schlumberger Ltd. | Oil & Gas | |
Equipment & | ||
Services | 1.8 | |
PepsiCo Inc. | Soft Drinks | 1.7 |
Wal-Mart Stores Inc. | Hypermarkets & | |
Super Centers | 1.6 | |
Top Ten | 22.5% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal
Shares, 0.08% for Institutional Shares, and 0.10% 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 | 17.1% | 17.1% | 12.2% |
Consumer Staples | 12.3 | 12.3 | 9.7 |
Energy | 10.4 | 10.4 | 11.2 |
Financials | 4.9 | 4.9 | 15.4 |
Health Care | 10.5 | 10.5 | 11.3 |
Industrials | 11.6 | 11.6 | 11.6 |
Information | |||
Technology | 28.5 | 28.5 | 18.4 |
Materials | 3.9 | 3.9 | 4.4 |
Telecommunication | |||
Services | 0.7 | 0.7 | 2.6 |
Utilities | 0.1 | 0.1 | 3.2 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstcklargecapx11x1.jpg)
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 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, 2000, Through June 30, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstcklargecapx12x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 11/2/1992 | 34.49% | 5.19% | 3.09% |
Admiral Shares | 11/13/2000 | 34.65 | 5.32 | 3.20 |
Signal Shares | 6/4/2007 | 34.66 | — | 1.711 |
Institutional Shares | 5/14/1998 | 34.71 | 5.36 | 3.24 |
ETF Shares | 1/26/2004 | |||
Market Price | 34.66 | 5.28 | 4.521 | |
Net Asset Value | 34.66 | 5.32 | 4.521 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
10
Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (17.1%) | |||
McDonald’s Corp. | 3,326,930 | 280,527 | |
* | Amazon.com Inc. | 1,150,575 | 235,281 |
Comcast Corp. Class A | 6,867,594 | 174,025 | |
* | Ford Motor Co. | 11,244,925 | 155,068 |
* | DIRECTV Class A | 2,521,722 | 128,154 |
NIKE Inc. Class B | 1,176,871 | 105,895 | |
News Corp. Class A | 5,824,372 | 103,091 | |
Lowe’s Cos. Inc. | 4,317,761 | 100,647 | |
Target Corp. | 2,132,733 | 100,046 | |
Starbucks Corp. | 2,378,857 | 93,941 | |
Johnson Controls Inc. | 2,159,934 | 89,983 | |
Viacom Inc. Class B | 1,738,945 | 88,686 | |
Time Warner Cable Inc. | 1,094,916 | 85,447 | |
Yum! Brands Inc. | 1,490,603 | 82,341 | |
* | priceline.com Inc. | 156,734 | 80,237 |
Walt Disney Co. | 2,013,543 | 78,609 | |
TJX Cos. Inc. | 1,262,144 | 66,300 | |
Home Depot Inc. | 1,829,024 | 66,247 | |
Coach Inc. | 943,120 | 60,294 | |
CBS Corp. Class B | 2,005,045 | 57,124 | |
* | Las Vegas Sands Corp. | 1,158,269 | 48,891 |
* | Bed Bath & Beyond Inc. | 812,213 | 47,409 |
Kohl’s Corp. | 885,705 | 44,294 | |
* | Netflix Inc. | 160,219 | 42,088 |
McGraw-Hill Cos. Inc. | 977,860 | 40,982 | |
Wynn Resorts Ltd. | 258,252 | 37,069 | |
Staples Inc. | 2,306,103 | 36,436 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 612,698 | 34,336 | |
Marriott International Inc. | |||
Class A | 938,607 | 33,311 | |
Harley-Davidson Inc. | 750,948 | 30,766 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 98,968 | 30,501 | |
Ross Stores Inc. | 379,726 | 30,424 | |
Tiffany & Co. | 382,852 | 30,062 | |
VF Corp. | 276,685 | 30,037 |
Market | |||
Value | |||
Shares | ($000) | ||
* | O’Reilly Automotive Inc. | 449,995 | 29,479 |
Virgin Media Inc. | 975,403 | 29,194 | |
* | BorgWarner Inc. | 356,301 | 28,786 |
Comcast Corp. | |||
Class A Special Shares | 1,180,382 | 28,601 | |
Omnicom Group Inc. | 588,708 | 28,352 | |
Polo Ralph Lauren Corp. | |||
Class A | 208,513 | 27,651 | |
* | Dollar Tree Inc. | 399,252 | 26,598 |
* | General Motors Co. | 870,904 | 26,441 |
* | Sirius XM Radio Inc. | 11,917,077 | 26,098 |
News Corp. Class B | 1,400,384 | 25,319 | |
Gap Inc. | 1,371,278 | 24,820 | |
* | AutoZone Inc. | 83,776 | 24,701 |
Cablevision Systems Corp. | |||
Class A | 678,825 | 24,580 | |
* | CarMax Inc. | 719,157 | 23,783 |
Family Dollar Stores Inc. | 402,979 | 21,181 | |
* | Fossil Inc. | 166,065 | 19,549 |
Interpublic Group | |||
of Cos. Inc. | 1,561,271 | 19,516 | |
Abercrombie & Fitch Co. | 279,515 | 18,705 | |
Expedia Inc. | 633,759 | 18,373 | |
* | Liberty Media Corp. - | ||
Capital | 212,988 | 18,264 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 441,303 | 18,076 | |
* | Apollo Group Inc. Class A | 409,340 | 17,880 |
* | Lululemon Athletica Inc. | 158,613 | 17,736 |
PetSmart Inc. | 374,962 | 17,012 | |
International Game | |||
Technology | 953,559 | 16,764 | |
* | Discovery | ||
Communications Inc. | 448,417 | 16,390 | |
Tractor Supply Co. | 231,591 | 15,489 | |
Advance Auto Parts Inc. | 261,253 | 15,281 | |
Scripps Networks | |||
Interactive Inc. Class A | 297,398 | 14,537 |
11
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Liberty Global Inc. | ||
Class A | 317,749 | 14,311 | |
* | Goodyear Tire & | ||
Rubber Co. | 774,616 | 12,990 | |
* | TRW Automotive | ||
Holdings Corp. | 216,162 | 12,760 | |
DeVry Inc. | 209,951 | 12,414 | |
* | Liberty Media Corp. - | ||
Starz | 156,884 | 11,804 | |
* | Urban Outfitters Inc. | 419,036 | 11,796 |
Best Buy Co. Inc. | 374,414 | 11,760 | |
* | LKQ Corp. | 442,181 | 11,536 |
* | Dick’s Sporting Goods Inc. | 292,689 | 11,254 |
* | Dollar General Corp. | 326,704 | 11,072 |
* | DISH Network Corp. | ||
Class A | 327,072 | 10,031 | |
* | MGM Resorts International | 709,699 | 9,375 |
Tupperware Brands Corp. | 130,297 | 8,789 | |
Phillips-Van Heusen Corp. | 125,210 | 8,197 | |
Weight Watchers | |||
International Inc. | 104,889 | 7,916 | |
Autoliv Inc. | 99,447 | 7,802 | |
* | NVR Inc. | 8,934 | 6,481 |
* | ITT Educational | ||
Services Inc. | 76,791 | 6,008 | |
* | Liberty Global Inc. | 139,740 | 5,967 |
* | Royal Caribbean | ||
Cruises Ltd. | 157,128 | 5,914 | |
Guess? Inc. | 133,405 | 5,611 | |
*,^ | AutoNation Inc. | 143,016 | 5,236 |
Harman International | |||
Industries Inc. | 111,333 | 5,073 | |
* | Pulte Group Inc. | 549,686 | 4,211 |
Williams-Sonoma Inc. | 105,874 | 3,863 | |
* | Lamar Advertising Co. | ||
Class A | 129,037 | 3,532 | |
* | Toll Brothers Inc. | 168,196 | 3,488 |
* | Hyatt Hotels Corp. | ||
Class A | 49,813 | 2,033 | |
* | Clear Channel Outdoor | ||
Holdings Inc. Class A | 80,383 | 1,021 | |
* | Krispy Kreme | ||
Doughnuts Inc. | |||
Warrants Exp. | |||
03/02/2012 | 3,500 | 2 | |
3,619,952 | |||
Consumer Staples (12.3%) | |||
Coca-Cola Co. | 6,584,736 | 443,087 | |
Philip Morris | |||
International Inc. | 5,730,927 | 382,654 | |
PepsiCo Inc. | 5,059,269 | 356,324 | |
Wal-Mart Stores Inc. | 6,247,405 | 331,987 | |
Colgate-Palmolive Co. | 1,574,858 | 137,658 | |
Walgreen Co. | 2,941,496 | 124,896 | |
Costco Wholesale Corp. | 1,392,004 | 113,086 |
Market | |||
Value | |||
Shares | ($000) | ||
Kimberly-Clark Corp. | 1,289,447 | 85,826 | |
General Mills Inc. | 2,027,507 | 75,464 | |
Sysco Corp. | 1,858,108 | 57,936 | |
Kroger Co. | 1,926,516 | 47,778 | |
Kellogg Co. | 814,884 | 45,079 | |
Mead Johnson | |||
Nutrition Co. | 652,295 | 44,063 | |
Estee Lauder Cos. Inc. | |||
Class A | 386,407 | 40,646 | |
Avon Products Inc. | 1,370,424 | 38,372 | |
* | Green Mountain Coffee | ||
Roasters Inc. | 407,162 | 36,343 | |
Hershey Co. | 531,216 | 30,200 | |
Whole Foods Market Inc. | 470,336 | 29,843 | |
Clorox Co. | 438,781 | 29,591 | |
HJ Heinz Co. | 511,350 | 27,245 | |
Sara Lee Corp. | 1,225,506 | 23,272 | |
Campbell Soup Co. | 638,104 | 22,047 | |
Herbalife Ltd. | 376,893 | 21,724 | |
Brown-Forman Corp. | |||
Class B | 268,258 | 20,036 | |
* | Hansen Natural Corp. | 241,342 | 19,537 |
* | Energizer Holdings Inc. | 225,200 | 16,295 |
Hormel Foods Corp. | 163,837 | 4,884 | |
2,605,873 | |||
Energy (10.4%) | |||
Schlumberger Ltd. | 4,340,051 | 374,980 | |
Occidental | |||
Petroleum Corp. | 2,592,124 | 269,685 | |
Halliburton Co. | 2,912,564 | 148,541 | |
Anadarko Petroleum Corp. | 1,582,521 | 121,474 | |
National Oilwell Varco Inc. | 1,342,662 | 105,010 | |
Baker Hughes Inc. | 1,384,768 | 100,479 | |
EOG Resources Inc. | 810,898 | 84,779 | |
Hess Corp. | 969,055 | 72,447 | |
Williams Cos. Inc. | 1,869,299 | 56,546 | |
Peabody Energy Corp. | 862,684 | 50,821 | |
* | Southwestern Energy Co. | 1,108,850 | 47,548 |
El Paso Corp. | 2,247,284 | 45,395 | |
* | Weatherford | ||
International Ltd. | 2,366,467 | 44,371 | |
* | Cameron | ||
International Corp. | 780,464 | 39,250 | |
Murphy Oil Corp. | 584,134 | 38,354 | |
Consol Energy Inc. | 721,410 | 34,974 | |
* | FMC Technologies Inc. | 766,177 | 34,317 |
* | Alpha Natural | ||
Resources Inc. | 722,312 | 32,822 | |
Pioneer Natural | |||
Resources Co. | 334,112 | 29,926 | |
* | Concho Resources Inc. | 312,244 | 28,680 |
Range Resources Corp. | 511,731 | 28,401 | |
* | Denbury Resources Inc. | 1,274,453 | 25,489 |
Noble Energy Inc. | 280,361 | 25,129 | |
* | Petrohawk Energy Corp. | 964,390 | 23,792 |
12
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
QEP Resources Inc. | 562,105 | 23,513 | |
Helmerich & Payne Inc. | 339,064 | 22,419 | |
* | Ultra Petroleum Corp. | 486,447 | 22,279 |
Cabot Oil & Gas Corp. | 332,500 | 22,048 | |
* | Whiting Petroleum Corp. | 376,567 | 21,430 |
Arch Coal Inc. | 672,227 | 17,922 | |
Sunoco Inc. | 384,545 | 16,039 | |
Core Laboratories NV | 143,630 | 16,021 | |
Noble Corp. | 402,545 | 15,864 | |
Diamond Offshore | |||
Drilling Inc. | 221,604 | 15,603 | |
SM Energy Co. | 202,247 | 14,861 | |
* | McDermott | ||
International Inc. | 744,279 | 14,744 | |
* | Newfield Exploration Co. | 214,388 | 14,583 |
Oceaneering | |||
International Inc. | 345,086 | 13,976 | |
* | Dresser-Rand Group Inc. | 256,506 | 13,787 |
Holly Corp. | 190,857 | 13,245 | |
* | SandRidge Energy Inc. | 1,178,580 | 12,564 |
Kinder Morgan Inc. | 350,556 | 10,071 | |
* | Continental | ||
Resources Inc. | 143,303 | 9,302 | |
EXCO Resources Inc. | 409,173 | 7,222 | |
* | Tesoro Corp. | 296,560 | 6,794 |
* | Kinder Morgan | ||
Management LLC | 93,794 | 6,152 | |
* | Forest Oil Corp. | 224,200 | 5,988 |
* | Cobalt International | ||
Energy Inc. | 371,310 | 5,061 | |
* | Quicksilver | ||
Resources Inc. | 299,617 | 4,422 | |
2,209,120 | |||
Financials (4.9%) | |||
American Express Co. | 3,450,854 | 178,409 | |
Simon Property Group Inc. | 934,205 | 108,583 | |
* | Berkshire Hathaway Inc. | ||
Class B | 1,003,571 | 77,666 | |
Franklin Resources Inc. | 497,898 | 65,369 | |
Charles Schwab Corp. | 3,261,516 | 53,652 | |
Public Storage | 458,710 | 52,297 | |
T Rowe Price Group Inc. | 825,823 | 49,830 | |
Discover Financial | |||
Services | 1,738,636 | 46,508 | |
Weyerhaeuser Co. | 1,709,891 | 37,378 | |
Invesco Ltd. | 1,467,973 | 34,351 | |
Northern Trust Corp. | 694,713 | 31,929 | |
Boston Properties Inc. | 295,514 | 31,372 | |
* | Intercontinental- | ||
Exchange Inc. | 233,974 | 29,179 | |
* | CB Richard Ellis | ||
Group Inc. Class A | 928,586 | 23,317 | |
Equity Residential | 328,044 | 19,683 | |
Host Hotels & | |||
Resorts Inc. | 1,085,761 | 18,404 |
Market | |||
Value | |||
Shares | ($000) | ||
AON Corp. | 334,847 | 17,178 | |
* | Affiliated Managers | ||
Group Inc. | 164,381 | 16,676 | |
Ameriprise Financial Inc. | 275,016 | 15,863 | |
* | MSCI Inc. Class A | 381,573 | 14,378 |
TD Ameritrade | |||
Holding Corp. | 731,697 | 14,275 | |
Moody’s Corp. | 329,600 | 12,640 | |
General Growth | |||
Properties Inc. | 691,351 | 11,539 | |
Eaton Vance Corp. | 376,415 | 11,379 | |
Leucadia National Corp. | 331,546 | 11,306 | |
SEI Investments Co. | 475,370 | 10,701 | |
Brown & Brown Inc. | 387,538 | 9,944 | |
Jones Lang LaSalle Inc. | 88,733 | 8,367 | |
Digital Realty Trust Inc. | 102,210 | 6,314 | |
Federal Realty | |||
Investment Trust | 68,572 | 5,841 | |
Janus Capital Group Inc. | 564,916 | 5,333 | |
CBOE Holdings Inc. | 165,658 | 4,075 | |
* | TFS Financial Corp. | 295,586 | 2,861 |
*,^ | St. Joe Co. | 111,258 | 2,319 |
1,038,916 | |||
Health Care (10.5%) | |||
UnitedHealth Group Inc. | 3,487,642 | 179,893 | |
Medtronic Inc. | 3,423,220 | 131,897 | |
* | Amgen Inc. | 1,932,691 | 112,772 |
Baxter International Inc. | 1,847,655 | 110,286 | |
* | Gilead Sciences Inc. | 2,536,004 | 105,016 |
* | Celgene Corp. | 1,499,978 | 90,479 |
* | Express Scripts Inc. | 1,599,696 | 86,352 |
Allergan Inc. | 974,696 | 81,143 | |
* | Thermo Fisher | ||
Scientific Inc. | 1,245,573 | 80,202 | |
* | Biogen Idec Inc. | 729,777 | 78,028 |
* | Medco Health | ||
Solutions Inc. | 1,289,762 | 72,897 | |
McKesson Corp. | 810,782 | 67,822 | |
Becton Dickinson and Co. | 705,072 | 60,756 | |
* | Agilent Technologies Inc. | 1,110,785 | 56,772 |
Stryker Corp. | 935,636 | 54,912 | |
St. Jude Medical Inc. | 1,092,212 | 52,077 | |
* | Intuitive Surgical Inc. | 123,934 | 46,117 |
* | Zimmer Holdings Inc. | 612,622 | 38,718 |
AmerisourceBergen Corp. | |||
Class A | 873,979 | 36,183 | |
* | Mylan Inc. | 1,393,643 | 34,381 |
* | Vertex | ||
Pharmaceuticals Inc. | 651,816 | 33,888 | |
Quest Diagnostics Inc. | 545,796 | 32,257 | |
* | Edwards | ||
Lifesciences Corp. | 366,162 | 31,922 | |
* | Laboratory Corp. of | ||
America Holdings | 324,472 | 31,406 | |
* | Illumina Inc. | 406,947 | 30,582 |
13
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Hospira Inc. | 531,384 | 30,108 |
* | Life Technologies Corp. | 573,923 | 29,884 |
CR Bard Inc. | 271,159 | 29,789 | |
* | Waters Corp. | 291,208 | 27,880 |
* | Cerner Corp. | 451,919 | 27,617 |
* | Alexion | ||
Pharmaceuticals Inc. | 582,690 | 27,404 | |
* | Varian Medical | ||
Systems Inc. | 382,784 | 26,803 | |
* | DaVita Inc. | 306,319 | 26,530 |
Perrigo Co. | 264,894 | 23,276 | |
* | Henry Schein Inc. | 292,927 | 20,971 |
* | Dendreon Corp. | 470,044 | 18,538 |
* | Mettler-Toledo | ||
International Inc. | 103,097 | 17,389 | |
DENTSPLY | |||
International Inc. | 453,619 | 17,274 | |
* | HCA Holdings Inc. | 511,407 | 16,876 |
* | ResMed Inc. | 488,760 | 15,127 |
* | Human Genome | ||
Sciences Inc. | 602,558 | 14,787 | |
* | IDEXX Laboratories Inc. | 182,785 | 14,177 |
* | Regeneron | ||
Pharmaceuticals Inc. | 223,842 | 12,694 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 607,187 | 11,792 | |
* | Covance Inc. | 192,876 | 11,451 |
* | Gen-Probe Inc. | 154,088 | 10,655 |
Patterson Cos. Inc. | 313,533 | 10,312 | |
* | CareFusion Corp. | 356,082 | 9,675 |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 187,198 | 7,520 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 61,505 | 7,341 | |
Warner Chilcott plc | |||
Class A | 289,671 | 6,990 | |
Lincare Holdings Inc. | 107,587 | 3,149 | |
* | Charles River Laboratories | ||
International Inc. | 76,748 | 3,120 | |
* | Community Health | ||
Systems Inc. | 103,811 | 2,666 | |
2,218,553 | |||
Industrials (11.5%) | |||
Caterpillar Inc. | 2,037,068 | 216,866 | |
United Parcel Service Inc. | |||
Class B | 2,343,231 | 170,892 | |
Boeing Co. | 2,230,576 | 164,906 | |
Union Pacific Corp. | 1,565,687 | 163,458 | |
Emerson Electric Co. | 2,404,786 | 135,269 | |
Deere & Co. | 1,342,577 | 110,695 | |
Danaher Corp. | 1,786,652 | 94,675 | |
CSX Corp. | 3,543,220 | 92,903 | |
FedEx Corp. | 954,288 | 90,514 | |
Norfolk Southern Corp. | 1,135,568 | 85,088 | |
Precision Castparts Corp. | 457,370 | 75,306 |
Market | |||
Value | |||
Shares | ($000) | ||
Tyco International Ltd. | 1,510,640 | 74,671 | |
Cummins Inc. | 599,299 | 62,021 | |
PACCAR Inc. | 1,048,353 | 53,560 | |
Honeywell | |||
International Inc. | 831,324 | 49,539 | |
CH Robinson | |||
Worldwide Inc. | 529,517 | 41,747 | |
Rockwell Automation Inc. | 453,840 | 39,375 | |
Fluor Corp. | 562,907 | 36,398 | |
Expeditors International of | |||
Washington Inc. | 676,556 | 34,633 | |
ITT Corp. | 556,457 | 32,792 | |
Fastenal Co. | 893,193 | 32,146 | |
Joy Global Inc. | 333,704 | 31,782 | |
Rockwell Collins Inc. | 494,499 | 30,506 | |
Republic Services Inc. | |||
Class A | 979,706 | 30,224 | |
WW Grainger Inc. | 188,311 | 28,934 | |
Roper Industries Inc. | 303,922 | 25,317 | |
Ingersoll-Rand plc | 525,447 | 23,860 | |
Parker Hannifin Corp. | 258,008 | 23,154 | |
* | Stericycle Inc. | 258,592 | 23,046 |
AMETEK Inc. | 512,645 | 23,018 | |
Bucyrus International Inc. | |||
Class A | 245,561 | 22,508 | |
Textron Inc. | 880,126 | 20,780 | |
Iron Mountain Inc. | 575,025 | 19,603 | |
Flowserve Corp. | 177,606 | 19,517 | |
* | Kansas City Southern | 327,631 | 19,438 |
* | Jacobs Engineering | ||
Group Inc. | 403,301 | 17,443 | |
* | AGCO Corp. | 301,001 | 14,857 |
JB Hunt Transport | |||
Services Inc. | 309,443 | 14,572 | |
Donaldson Co. Inc. | 232,588 | 14,113 | |
* | Verisk Analytics Inc. | ||
Class A | 387,829 | 13,427 | |
* | Navistar | ||
International Corp. | 218,575 | 12,341 | |
* | Foster Wheeler AG | 398,750 | 12,114 |
Dun & Bradstreet Corp. | 158,614 | 11,982 | |
Robert Half | |||
International Inc. | 443,083 | 11,976 | |
* | IHS Inc. Class A | 133,479 | 11,135 |
* | Sensata Technologies | ||
Holding NV | 278,413 | 10,482 | |
Pall Corp. | 184,304 | 10,363 | |
* | Babcock & Wilcox Co. | 354,048 | 9,811 |
MSC Industrial Direct Co. | |||
Class A | 146,871 | 9,739 | |
* | Nielsen Holdings NV | 285,966 | 8,911 |
* | Copart Inc. | 190,014 | 8,855 |
* | Delta Air Lines Inc. | 931,485 | 8,542 |
* | Shaw Group Inc. | 271,617 | 8,205 |
14
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Spirit Aerosystems | ||
Holdings Inc. Class A | 342,260 | 7,530 | |
Covanta Holding Corp. | 428,935 | 7,073 | |
Manpower Inc. | 130,837 | 7,019 | |
SPX Corp. | 80,821 | 6,681 | |
* | Owens Corning | 132,609 | 4,953 |
Masco Corp. | 402,797 | 4,846 | |
* | Hertz Global Holdings Inc. | 301,638 | 4,790 |
2,450,901 | |||
Information Technology (28.5%) | |||
* | Apple Inc. | 2,937,910 | 986,168 |
International Business | |||
Machines Corp. | 3,889,007 | 667,159 | |
Oracle Corp. | 12,889,520 | 424,194 | |
Microsoft Corp. | 15,674,833 | 407,546 | |
* | Google Inc. Class A | 800,004 | 405,106 |
Qualcomm Inc. | 5,241,759 | 297,679 | |
Cisco Systems Inc. | 17,628,396 | 275,179 | |
* | EMC Corp. | 6,596,532 | 181,734 |
Visa Inc. Class A | 1,577,376 | 132,910 | |
Accenture plc Class A | 2,042,897 | 123,432 | |
Texas Instruments Inc. | 3,737,538 | 122,703 | |
* | eBay Inc. | 3,726,282 | 120,247 |
Mastercard Inc. Class A | 354,888 | 106,942 | |
Hewlett-Packard Co. | 2,426,941 | 88,341 | |
Automatic Data | |||
Processing Inc. | 1,582,945 | 83,390 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 970,030 | 71,142 | |
* | NetApp Inc. | 1,152,494 | 60,829 |
* | Salesforce.com Inc. | 398,031 | 59,299 |
* | Juniper Networks Inc. | 1,705,691 | 53,729 |
Broadcom Corp. Class A | 1,545,613 | 51,994 | |
* | Adobe Systems Inc. | 1,613,879 | 50,756 |
* | Intuit Inc. | 940,901 | 48,795 |
* | Symantec Corp. | 2,433,850 | 47,995 |
* | Citrix Systems Inc. | 598,275 | 47,862 |
Altera Corp. | 1,020,283 | 47,290 | |
* | Dell Inc. | 2,769,838 | 46,173 |
Western Union Co. | 2,062,361 | 41,309 | |
Analog Devices Inc. | 955,296 | 37,390 | |
* | Teradata Corp. | 534,101 | 32,153 |
* | BMC Software Inc. | 569,522 | 31,153 |
Amphenol Corp. Class A | 560,913 | 30,284 | |
* | Yahoo! Inc. | 1,983,222 | 29,828 |
CA Inc. | 1,301,116 | 29,717 | |
* | NVIDIA Corp. | 1,852,567 | 29,521 |
* | Fiserv Inc. | 465,757 | 29,170 |
* | F5 Networks Inc. | 257,459 | 28,385 |
* | Red Hat Inc. | 615,228 | 28,239 |
* | Autodesk Inc. | 729,866 | 28,173 |
* | VMware Inc. Class A | 263,982 | 26,459 |
* | Marvell Technology | ||
Group Ltd. | 1,763,013 | 26,031 | |
Avago Technologies Ltd. | 668,073 | 25,387 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Electronic Arts Inc. | 1,066,013 | 25,158 |
Linear Technology Corp. | 723,330 | 23,884 | |
*,^ | First Solar Inc. | 177,932 | 23,535 |
Paychex Inc. | 674,654 | 20,725 | |
* | Atmel Corp. | 1,461,248 | 20,560 |
* | Rovi Corp. | 356,082 | 20,425 |
Activision Blizzard Inc. | 1,697,893 | 19,831 | |
* | Informatica Corp. | 336,877 | 19,684 |
* | Motorola Mobility | ||
Holdings Inc. | 892,966 | 19,681 | |
* | Akamai Technologies Inc. | 597,233 | 18,795 |
* | Riverbed Technology Inc. | 457,087 | 18,096 |
VeriSign Inc. | 520,882 | 17,429 | |
FLIR Systems Inc. | 505,687 | 17,047 | |
* | Nuance | ||
Communications Inc. | 766,655 | 16,460 | |
* | ANSYS Inc. | 292,941 | 16,015 |
* | SanDisk Corp. | 377,313 | 15,658 |
* | Motorola Solutions Inc. | 338,167 | 15,569 |
* | Trimble Navigation Ltd. | 389,531 | 15,441 |
* | TIBCO Software Inc. | 529,002 | 15,352 |
* | Alliance Data | ||
Systems Corp. | 162,960 | 15,330 | |
Xilinx Inc. | 416,142 | 15,177 | |
* | Equinix Inc. | 147,238 | 14,874 |
* | ON Semiconductor Corp. | 1,408,942 | 14,752 |
Factset Research | |||
Systems Inc. | 140,316 | 14,357 | |
* | Rackspace Hosting Inc. | 329,578 | 14,086 |
* | Skyworks Solutions Inc. | 591,157 | 13,585 |
* | Western Digital Corp. | 369,234 | 13,433 |
Global Payments Inc. | 254,664 | 12,988 | |
* | Advanced Micro | ||
Devices Inc. | 1,857,065 | 12,981 | |
* | Acme Packet Inc. | 178,499 | 12,518 |
* | VeriFone Systems Inc. | 281,482 | 12,484 |
National | |||
Semiconductor Corp. | 499,712 | 12,298 | |
* | Cree Inc. | 349,225 | 11,730 |
* | Avnet Inc. | 243,653 | 7,768 |
* | Dolby Laboratories Inc. | ||
Class A | 169,277 | 7,187 | |
* | Lam Research Corp. | 138,202 | 6,120 |
* | AOL Inc. | 222,175 | 4,412 |
Lender Processing | |||
Services Inc. | 138,010 | 2,886 | |
* | Freescale Semiconductor | ||
Holdings I Ltd. | 153,565 | 2,824 | |
6,042,928 | |||
Materials (3.9%) | |||
Monsanto Co. | 1,710,619 | 124,088 | |
Praxair Inc. | 967,166 | 104,831 | |
Newmont Mining Corp. | 1,551,530 | 83,736 | |
Mosaic Co. | 879,479 | 59,567 |
15
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
EI du Pont de | |||
Nemours & Co. | 1,028,578 | 55,595 | |
Ecolab Inc. | 741,888 | 41,828 | |
Air Products & | |||
Chemicals Inc. | 342,596 | 32,745 | |
CF Industries | |||
Holdings Inc. | 227,462 | 32,224 | |
Sigma-Aldrich Corp. | 389,059 | 28,549 | |
Lubrizol Corp. | 204,245 | 27,424 | |
Celanese Corp. Class A | 497,351 | 26,514 | |
Sherwin-Williams Co. | 290,841 | 24,393 | |
PPG Industries Inc. | 255,960 | 23,239 | |
Walter Energy Inc. | 197,295 | 22,847 | |
LyondellBasell Industries | |||
NV Class A | 588,631 | 22,674 | |
Cliffs Natural | |||
Resources Inc. | 230,611 | 21,320 | |
Ball Corp. | 535,540 | 20,597 | |
* | Crown Holdings Inc. | 496,782 | 19,285 |
Allegheny | |||
Technologies Inc. | 209,209 | 13,278 | |
Nalco Holding Co. | 420,451 | 11,693 | |
* | Molycorp Inc. | 187,455 | 11,446 |
Rock-Tenn Co. Class A | 110,673 | 7,342 | |
FMC Corp. | 79,814 | 6,866 | |
Steel Dynamics Inc. | 331,014 | 5,379 | |
Titanium Metals Corp. | 187,120 | 3,428 | |
830,888 | |||
Telecommunication Services (0.7%) | |||
* | American Tower Corp. | ||
Class A | 1,267,859 | 66,347 | |
* | Crown Castle | ||
International Corp. | 927,567 | 37,835 | |
* | NII Holdings Inc. | 541,119 | 22,933 |
* | SBA | ||
Communications Corp. | |||
Class A | 366,396 | 13,993 | |
* | MetroPCS | ||
Communications Inc. | 795,958 | 13,698 | |
*,^ | Clearwire Corp. Class A | 429,301 | 1,623 |
156,429 | |||
Utilities (0.2%) | |||
* | AES Corp. | 2,136,428 | 27,218 |
* | Calpine Corp. | 347,554 | 5,606 |
32,824 | |||
Total Common Stocks | |||
(Cost $16,459,406) | 21,206,384 |
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investment (0.1%) | ||
Money Market Fund (0.1%) | ||
1,2 Vanguard Market | ||
Liquidity Fund, 0.140% | ||
(Cost $29,554) | 29,553,512 | 29,554 |
Total Investments (100.1%) | ||
(Cost $16,488,960) | 21,235,938 | |
Other Assets and Liabilities (-0.1%) | ||
Other Assets | 75,843 | |
Liabilities2 | (98,348) | |
(22,505) | ||
Net Assets (100%) | 21,213,433 | |
At June 30, 2011, net assets consisted of: | ||
Amount | ||
($000) | ||
Paid-in Capital | 17,760,175 | |
Overdistributed Net Investment Income | (29,894) | |
Accumulated Net Realized Losses | (1,263,826) | |
Unrealized Appreciation (Depreciation) | 4,746,978 | |
Net Assets | 21,213,433 | |
Investor Shares—Net Assets | ||
Applicable to 105,470,906 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 3,511,789 | |
Net Asset Value Per Share— | ||
Investor Shares | $33.30 | |
Admiral Shares—Net Assets | ||
Applicable to 149,080,332 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 4,963,492 | |
Net Asset Value Per Share— | ||
Admiral Shares | $33.29 | |
Signal Shares—Net Assets | ||
Applicable to 69,903,298 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 2,155,182 | |
Net Asset Value Per Share— | ||
Signal Shares | $30.83 |
16
Growth Index Fund | |
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 139,760,610 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,653,104 |
Net Asset Value Per Share— | |
Institutional Shares | $33.29 |
ETF Shares—Net Assets | |
Applicable to 91,680,301 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,929,866 |
Net Asset Value Per Share— | |
ETF Shares | $64.68 |
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 $22,219,000.
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 $22,513,000 of collateral received for securities on loan.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 127,484 |
Interest1 | 27 |
Security Lending | 876 |
Total Income | 128,387 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 798 |
Management and Administrative—Investor Shares | 3,726 |
Management and Administrative—Admiral Shares | 1,902 |
Management and Administrative—Signal Shares | 648 |
Management and Administrative—Institutional Shares | 854 |
Management and Administrative—ETF Shares | 1,844 |
Marketing and Distribution—Investor Shares | 606 |
Marketing and Distribution—Admiral Shares | 365 |
Marketing and Distribution—Signal Shares | 273 |
Marketing and Distribution—Institutional Shares | 625 |
Marketing and Distribution—ETF Shares | 676 |
Custodian Fees | 265 |
Shareholders’ Reports—Investor Shares | 52 |
Shareholders’ Reports—Admiral Shares | 24 |
Shareholders’ Reports—Signal Shares | 2 |
Shareholders’ Reports—Institutional Shares | 1 |
Shareholders’ Reports—ETF Shares | 70 |
Trustees’ Fees and Expenses | 11 |
Total Expenses | 12,742 |
Net Investment Income | 115,645 |
Realized Net Gain (Loss) on Investment Securities Sold | 495,848 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 550,855 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,162,348 |
1 Interest income from an affiliated company of the fund was $27,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 115,645 | 204,403 |
Realized Net Gain (Loss) | 495,848 | 533,992 |
Change in Unrealized Appreciation (Depreciation) | 550,855 | 2,021,272 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,162,348 | 2,759,667 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (17,773) | (58,021) |
Admiral Shares | (28,052) | (30,848) |
Signal Shares | (11,754) | (19,042) |
Institutional Shares | (25,913) | (44,551) |
ETF Shares | (32,461) | (55,120) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (115,953) | (207,582) |
Capital Share Transactions | ||
Investor Shares | (532,591) | (2,707,567) |
Admiral Shares | (1,841) | 2,706,044 |
Signal Shares | 405,632 | 8,481 |
Institutional Shares | 498,591 | 495,374 |
ETF Shares | 550,982 | 522,195 |
Net Increase (Decrease) from Capital Share Transactions | 920,773 | 1,024,527 |
Total Increase (Decrease) | 1,967,168 | 3,576,612 |
Net Assets | ||
Beginning of Period | 19,246,265 | 15,669,653 |
End of Period1 | 21,213,433 | 19,246,265 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($29,894,000) and ($29,586,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
19
Growth Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $31.60 | $27.32 | $20.29 | $33.23 | $29.77 | $27.54 |
Investment Operations | ||||||
Net Investment Income | .164 | .315 | .276 | .261 | .270 | .241 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.697 | 4.284 | 7.035 | (12.939) | 3.460 | 2.228 |
Total from Investment Operations | 1.861 | 4.599 | 7.311 | (12.678) | 3.730 | 2.469 |
Distributions | ||||||
Dividends from Net Investment Income | (.161) | (.319) | (.281) | (.262) | (.270) | (.239) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.161) | (.319) | (.281) | (.262) | (.270) | (.239) |
Net Asset Value, End of Period | $33.30 | $31.60 | $27.32 | $20.29 | $33.23 | $29.77 |
Total Return1 | 5.90% | 16.96% | 36.29% | -38.32% | 12.56% | 9.01% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,512 | $3,843 | $5,770 | $4,279 | $6,992 | $6,707 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.25% | 0.26% | 0.28% | 0.23% | 0.22% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.01% | 1.13% | 1.20% | 0.93% | 0.83% | 0.86% |
Portfolio Turnover Rate2 | 26% | 26% | 29% | 27% | 23% | 28% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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
Admiral Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $31.60 | $27.32 | $20.30 | $33.23 | $29.77 | $27.54 |
Investment Operations | ||||||
Net Investment Income | .189 | .357 | .308 | .294 | .308 | .272 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.689 | 4.282 | 7.027 | (12.929) | 3.460 | 2.228 |
Total from Investment Operations | 1.878 | 4.639 | 7.335 | (12.635) | 3.768 | 2.500 |
Distributions | ||||||
Dividends from Net Investment Income | (.188) | (.359) | (.315) | (.295) | (.308) | (.270) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.188) | (.359) | (.315) | (.295) | (.308) | (.270) |
Net Asset Value, End of Period | $33.29 | $31.60 | $27.32 | $20.30 | $33.23 | $29.77 |
Total Return | 5.96% | 17.12% | 36.42% | -38.22% | 12.70% | 9.13% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,963 | $4,712 | $1,641 | $1,296 | $2,203 | $2,505 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.11% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.16% | 1.27% | 1.34% | 1.05% | 0.95% | 0.97% |
Portfolio Turnover Rate1 | 26% | 26% | 29% | 27% | 23% | 28% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Growth Index Fund
Financial Highlights
Signal Shares
Six Months | June 4, | ||||
Ended | 20071 to | ||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | ||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $29.26 | $25.30 | $18.80 | $30.77 | $30.26 |
Investment Operations | |||||
Net Investment Income | .175 | .331 | .286 | .273 | .168 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 1.568 | 3.963 | 6.507 | (11.970) | .563 |
Total from Investment Operations | 1.743 | 4.294 | 6.793 | (11.697) | .731 |
Distributions | |||||
Dividends from Net Investment Income | (.173) | (.334) | (.293) | (.273) | (.221) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.173) | (.334) | (.293) | (.273) | (.221) |
Net Asset Value, End of Period | $30.83 | $29.26 | $25.30 | $18.80 | $30.77 |
Total Return | 5.97% | 17.11% | 36.42% | -38.21% | 2.43% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,155 | $1,658 | $1,428 | $941 | $1,425 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.11% | 0.10%2 |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.16% | 1.27% | 1.34% | 1.05% | 0.95%2 |
Portfolio Turnover Rate3 | 26% | 26% | 29% | 27% | 23% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Growth Index Fund
Financial Highlights
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $31.60 | $27.32 | $20.30 | $33.23 | $29.77 | $27.54 |
Investment Operations | ||||||
Net Investment Income | .193 | .369 | .322 | .305 | .318 | .280 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.689 | 4.283 | 7.027 | (12.930) | 3.460 | 2.228 |
Total from Investment Operations | 1.882 | 4.652 | 7.349 | (12.625) | 3.778 | 2.508 |
Distributions | ||||||
Dividends from Net Investment Income | (.192) | (.372) | (.329) | (.305) | (.318) | (.278) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.192) | (.372) | (.329) | (.305) | (.318) | (.278) |
Net Asset Value, End of Period | $33.29 | $31.60 | $27.32 | $20.30 | $33.23 | $29.77 |
Total Return | 5.97% | 17.17% | 36.50% | -38.19% | 12.73% | 9.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,653 | $3,934 | $2,913 | $2,016 | $3,210 | $2,132 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.18% | 1.31% | 1.40% | 1.09% | 0.98% | 1.00% |
Portfolio Turnover Rate1 | 26% | 26% | 29% | 27% | 23% | 28% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Growth Index Fund
Financial Highlights
ETF Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $61.39 | $53.08 | $39.43 | $64.56 | $57.85 | $53.52 |
Investment Operations | ||||||
Net Investment Income | .367 | .695 | .598 | .579 | .600 | .535 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.288 | 8.315 | 13.666 | (25.132) | 6.710 | 4.323 |
Total from Investment Operation s | 3.655 | 9.010 | 14.264 | (24.553) | 7.310 | 4.858 |
Distributions | ||||||
Dividends from Net Investment Income | (.365) | (.700) | (.614) | (.577) | (.600) | (.528) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.365) | (.700) | (.614) | (.577) | (.600) | (.528) |
Net Asset Value, End of Period | $64.68 | $61.39 | $53.08 | $39.43 | $64.56 | $57.85 |
Total Return | 5.97% | 17.11% | 36.46% | -38.22% | 12.68% | 9.13% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,930 | $5,099 | $3,917 | $2,736 | $3,232 | $1,336 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.16% | 1.27% | 1.34% | 1.06% | 0.95% | 0.97% |
Portfolio Turnover Rate1 | 26% | 26% | 29% | 27% | 23% | 28% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
24
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, Signal Shares, and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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 fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
5. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
25
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, 2011, the fund had contributed capital of $3,375,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.35% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At June 30, 2011, 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 treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2011, the fund realized $18,010,000 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, 2010, the fund had available capital loss carryforwards totaling $1,739,149,000 to offset future net capital gains of $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, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $16,488,960,000. Net unrealized appreciation of investment securities for tax purposes was $4,746,978,000, consisting of unrealized gains of $5,261,320,000 on securities that had risen in value since their purchase and $514,342,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2011, the fund purchased $3,607,242,000 of investment securities and sold $2,695,614,000 of investment securities, other than temporary cash investments.
26
Growth Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 382,251 | 11,629 | 919,480 | 32,600 |
Issued in Lieu of Cash Distributions | 17,159 | 529 | 55,692 | 1,966 |
Redeemed | (932,001) | (28,296) | (3,682,739) | (124,166) |
Net Increase (Decrease)—Investor Shares | (532,591) | (16,138) | (2,707,567) | (89,600) |
Admiral Shares | ||||
Issued | 259,620 | 7,929 | 2,949,046 | 97,612 |
Issued in Lieu of Cash Distributions | 25,907 | 799 | 27,724 | 939 |
Redeemed | (287,368) | (8,767) | (270,726) | (9,503) |
Net Increase (Decrease)—Admiral Shares | (1,841) | (39) | 2,706,044 | 89,048 |
Signal Shares | ||||
Issued | 748,004 | 24,533 | 488,616 | 18,792 |
Issued in Lieu of Cash Distributions | 9,734 | 324 | 15,924 | 599 |
Redeemed | (352,106) | (11,616) | (496,059) | (19,178) |
Net Increase (Decrease)—Signal Shares | 405,632 | 13,241 | 8,481 | 213 |
Institutional Shares | ||||
Issued | 870,197 | 26,620 | 1,066,000 | 38,097 |
Issued in Lieu of Cash Distributions | 22,958 | 708 | 39,276 | 1,367 |
Redeemed | (394,564) | (12,042) | (609,902) | (21,604) |
Net Increase (Decrease)—Institutional Shares | 498,591 | 15,286 | 495,374 | 17,860 |
ETF Shares | ||||
Issued | 589,255 | 9,219 | 613,418 | 10,977 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (38,273) | (600) | (91,223) | (1,700) |
Net Increase (Decrease)—ETF Shares | 550,982 | 8,619 | 522,195 | 9,277 |
G. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
27
Value Index Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | |||||
Investor | Admiral | Signal | Institutional | ETF | |
Shares | Shares | Shares | Shares | Shares | |
Ticker Symbol | VIVAX | VVIAX | VVISX | VIVIX | VTV |
Expense Ratio1 | 0.26% | 0.12% | 0.12% | 0.08% | 0.12% |
30-Day SEC Yield | 2.44% | 2.58% | 2.58% | 2.60% | 2.58% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Prime | U.S. Total | ||
Market | Market | ||
Fund | Value Index | Index | |
Number of Stocks | 415 | 413 | 3,745 |
Median Market Cap | $50.2B | $50.2B | $30.8B |
Price/Earnings Ratio | 14.3x | 14.3x | 17.1x |
Price/Book Ratio | 1.6x | 1.6x | 2.2x |
Return on Equity | 16.0% | 16.0% | 19.1% |
Earnings Growth Rate | -0.9% | -0.9% | 5.8% |
Dividend Yield | 2.6% | 2.6% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 26% | — | — |
Short-Term Reserves | 0.1% | — | — |
Volatility Measures | |||
DJ | |||
MSCI US | U.S. Total | ||
Prime Market | Market | ||
Value Index | Index | ||
R-Squared | 1.00 | 0.96 | |
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 | 6.2% | |
Chevron Corp. | Integrated Oil & | |
Gas | 3.2 | |
General Electric Co. | Industrial | |
Conglomerates | 3.1 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 2.9 | |
Johnson & Johnson | Pharmaceuticals | 2.8 |
Procter & Gamble Co. | Household | |
Products | 2.7 | |
Pfizer Inc. | Pharmaceuticals | 2.5 |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 2.5 | |
Wells Fargo & Co. | Diversified Banks | 2.2 |
Intel Corp. | Semiconductors | 1.9 |
Top Ten | 30.0% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.
28
Value Index Fund
Sector Diversification (% of equity exposure) | |||
MSCI US | |||
Prime | DJ | ||
Market | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 5.4% | 5.4% | 12.2% |
Consumer Staples | 7.7 | 7.7 | 9.7 |
Energy | 14.6 | 14.6 | 11.2 |
Financials | 25.0 | 25.0 | 15.4 |
Health Care | 12.9 | 12.9 | 11.3 |
Industrials | 10.5 | 10.5 | 11.6 |
Information | |||
Technology | 7.4 | 7.4 | 18.4 |
Materials | 4.4 | 4.4 | 4.4 |
Telecommunication | |||
Services | 5.3 | 5.3 | 2.6 |
Utilities | 6.8 | 6.8 | 3.2 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstcklargecapx31x1.jpg)
29
Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2000, Through June 30, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstcklargecapx32x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 11/2/1992 | 28.51% | 1.37% | 2.87% |
Admiral Shares | 11/13/2000 | 28.69 | 1.49 | 2.97 |
Signal Shares | 6/4/2007 | 28.70 | — | -3.801 |
Institutional Shares | 7/2/1998 | 28.67 | 1.53 | 3.02 |
ETF Shares | 1/26/2004 | |||
Market Price | 28.66 | 1.46 | 4.301 | |
Net Asset Value | 28.68 | 1.49 | 4.301 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
30
Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (5.4%) | |||
Walt Disney Co. | 2,825,891 | 110,323 | |
Time Warner Inc. | 2,633,503 | 95,780 | |
Home Depot Inc. | 2,567,012 | 92,977 | |
Carnival Corp. | 1,099,135 | 41,360 | |
* | General Motors Co. | 1,222,203 | 37,106 |
Macy’s Inc. | 1,019,966 | 29,824 | |
Limited Brands Inc. | 665,994 | 25,607 | |
Mattel Inc. | 840,162 | 23,096 | |
* | Liberty Media Corp. - | ||
Interactive | 1,375,250 | 23,063 | |
Fortune Brands Inc. | 332,706 | 21,217 | |
Genuine Parts Co. | 379,839 | 20,663 | |
Nordstrom Inc. | 420,256 | 19,727 | |
Darden Restaurants Inc. | 332,696 | 16,555 | |
Best Buy Co. Inc. | 524,751 | 16,482 | |
Whirlpool Corp. | 183,210 | 14,899 | |
JC Penney Co. Inc. | 427,910 | 14,780 | |
Comcast Corp. | |||
Class A Special Shares | 586,244 | 14,205 | |
Wyndham | |||
Worldwide Corp. | 417,432 | 14,047 | |
Lear Corp. | 253,475 | 13,556 | |
Hasbro Inc. | 297,156 | 13,054 | |
H&R Block Inc. | 735,159 | 11,792 | |
Omnicom Group Inc. | 239,564 | 11,537 | |
Newell Rubbermaid Inc. | 699,420 | 11,037 | |
Autoliv Inc. | 139,345 | 10,932 | |
* | GameStop Corp. Class A | 364,689 | 9,726 |
^ | Garmin Ltd. | 280,880 | 9,277 |
Leggett & Platt Inc. | 352,581 | 8,596 | |
* | Mohawk Industries Inc. | 140,873 | 8,451 |
* | Royal Caribbean | ||
Cruises Ltd. | 219,783 | 8,273 | |
Gannett Co. Inc. | 577,028 | 8,263 | |
DR Horton Inc. | 692,064 | 7,973 | |
* | DISH Network Corp. | ||
Class A | 246,683 | 7,566 |
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Sears Holdings Corp. | 104,929 | 7,496 |
Lennar Corp. Class A | 375,473 | 6,815 | |
American Eagle | |||
Outfitters Inc. | 425,241 | 5,422 | |
Williams-Sonoma Inc. | 148,406 | 5,415 | |
Washington Post Co. | |||
Class B | 12,495 | 5,235 | |
* | TRW Automotive | ||
Holdings Corp. | 87,699 | 5,177 | |
* | NVR Inc. | 6,736 | 4,887 |
* | Toll Brothers Inc. | 235,482 | 4,884 |
* | Liberty Global Inc. | ||
Class A | 95,567 | 4,304 | |
* | Liberty Global Inc. | 90,300 | 3,856 |
Harman International | |||
Industries Inc. | 84,207 | 3,837 | |
* | MGM Resorts | ||
International | 288,139 | 3,806 | |
Tupperware Brands Corp. | 52,909 | 3,569 | |
Phillips-Van Heusen Corp. | 50,783 | 3,325 | |
* | Pulte Group Inc. | 413,788 | 3,170 |
* | Hyatt Hotels Corp. | ||
Class A | 69,513 | 2,837 | |
Guess? Inc. | 54,661 | 2,299 | |
* | Lamar Advertising Co. | ||
Class A | 52,844 | 1,446 | |
* | Clear Channel Outdoor | ||
Holdings Inc. Class A | 32,180 | 409 | |
849,933 | |||
Consumer Staples (7.7%) | |||
Procter & Gamble Co. | 6,749,397 | 429,059 | |
Kraft Foods Inc. | 4,003,837 | 141,055 | |
Altria Group Inc. | 5,041,267 | 133,140 | |
CVS Caremark Corp. | 3,297,072 | 123,904 | |
Archer-Daniels- | |||
Midland Co. | 1,535,703 | 46,301 | |
Lorillard Inc. | 350,663 | 38,177 | |
Reynolds American Inc. | 842,950 | 31,231 | |
ConAgra Foods Inc. | 1,050,843 | 27,122 | |
Bunge Ltd. | 349,474 | 24,096 |
31
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Coca-Cola Enterprises Inc. | 795,567 | 23,215 | |
Dr Pepper Snapple | |||
Group Inc. | 539,643 | 22,627 | |
JM Smucker Co. | 286,873 | 21,929 | |
Safeway Inc. | 887,172 | 20,733 | |
HJ Heinz Co. | 386,409 | 20,588 | |
Molson Coors | |||
Brewing Co. Class B | 393,220 | 17,593 | |
Tyson Foods Inc. Class A | 740,840 | 14,387 | |
McCormick & Co. Inc. | 290,064 | 14,378 | |
Church & Dwight Co. Inc. | 343,556 | 13,928 | |
* | Ralcorp Holdings Inc. | 132,708 | 11,490 |
Sara Lee Corp. | 498,561 | 9,468 | |
* | Constellation Brands Inc. | ||
Class A | 447,718 | 9,322 | |
* | Smithfield Foods Inc. | 360,889 | 7,893 |
Hormel Foods Corp. | 229,886 | 6,853 | |
* | Dean Foods Co. | 441,025 | 5,411 |
1,213,900 | |||
Energy (14.6%) | |||
Exxon Mobil Corp. | 11,949,452 | 972,447 | |
Chevron Corp. | 4,837,595 | 497,498 | |
ConocoPhillips | 3,272,951 | 246,093 | |
Apache Corp. | 922,321 | 113,805 | |
Marathon Oil Corp. | 1,711,647 | 90,170 | |
Devon Energy Corp. | 977,488 | 77,036 | |
Chesapeake Energy Corp. | 1,575,708 | 46,783 | |
Spectra Energy Corp. | 1,562,882 | 42,839 | |
Valero Energy Corp. | 1,370,956 | 35,055 | |
Noble Energy Inc. | 211,724 | 18,977 | |
Cimarex Energy Co. | 206,327 | 18,553 | |
EQT Corp. | 341,469 | 17,934 | |
* | Nabors Industries Ltd. | 687,589 | 16,942 |
* | Plains Exploration & | ||
Production Co. | 337,522 | 12,866 | |
Noble Corp. | 303,863 | 11,975 | |
* | Rowan Cos. Inc. | 304,285 | 11,809 |
Patterson-UTI Energy Inc. | 371,521 | 11,744 | |
Southern Union Co. | 285,235 | 11,452 | |
* | Newfield Exploration Co. | 161,821 | 11,007 |
Energen Corp. | 173,608 | 9,809 | |
* | Kinder Morgan | ||
Management LLC | 131,759 | 8,642 | |
* | Tesoro Corp. | 121,550 | 2,785 |
* | Forest Oil Corp. | 90,916 | 2,428 |
* | Alpha Natural | ||
Resources Inc. | 2 | — | |
2,288,649 | |||
Financials (25.0%) | |||
JPMorgan Chase & Co. | 9,599,633 | 393,009 | |
Wells Fargo & Co. | 12,060,473 | 338,417 | |
Citigroup Inc. | 7,002,020 | 291,564 | |
Bank of America Corp. | 24,390,446 | 267,319 |
Market | |||
Value | |||
Shares | ($000) | ||
Goldman Sachs | |||
Group Inc. | 1,191,600 | 158,590 | |
US Bancorp | 4,631,531 | 118,150 | |
MetLife Inc. | 2,542,659 | 111,546 | |
* | Berkshire Hathaway Inc. | ||
Class B | 1,408,457 | 109,000 | |
Morgan Stanley | 3,352,172 | 77,133 | |
Bank of New York | |||
Mellon Corp. | 2,992,560 | 76,669 | |
PNC Financial Services | |||
Group Inc. | 1,267,009 | 75,526 | |
Prudential Financial Inc. | 1,166,280 | 74,164 | |
Travelers Cos. Inc. | 1,038,752 | 60,642 | |
Capital One | |||
Financial Corp. | 1,091,062 | 56,375 | |
State Street Corp. | 1,210,108 | 54,564 | |
ACE Ltd. | 808,497 | 53,215 | |
Aflac Inc. | 1,133,072 | 52,892 | |
BB&T Corp. | 1,673,739 | 44,923 | |
CME Group Inc. | 153,488 | 44,756 | |
Chubb Corp. | 711,313 | 44,535 | |
BlackRock Inc. | 222,280 | 42,636 | |
Marsh & | |||
McLennan Cos. Inc. | 1,311,840 | 40,916 | |
ProLogis Inc. | 1,094,848 | 39,239 | |
Allstate Corp. | 1,277,386 | 38,999 | |
Vornado Realty Trust | 398,563 | 37,138 | |
HCP Inc. | 968,123 | 35,520 | |
Annaly Capital | |||
Management Inc. | 1,939,062 | 34,981 | |
Loews Corp. | 798,076 | 33,591 | |
American International | |||
Group Inc. | 1,143,427 | 33,525 | |
SunTrust Banks Inc. | 1,291,751 | 33,327 | |
Progressive Corp. | 1,512,072 | 32,328 | |
Fifth Third Bancorp | 2,211,421 | 28,196 | |
Equity Residential | 460,436 | 27,626 | |
Hartford Financial | |||
Services Group Inc. | 1,018,976 | 26,870 | |
AvalonBay | |||
Communities Inc. | 207,431 | 26,634 | |
AON Corp. | 469,490 | 24,085 | |
M&T Bank Corp. | 271,191 | 23,851 | |
Principal Financial | |||
Group Inc. | 772,997 | 23,515 | |
Ameriprise Financial Inc. | 386,047 | 22,267 | |
Health Care REIT Inc. | 415,121 | 21,765 | |
Lincoln National Corp. | 760,977 | 21,680 | |
NYSE Euronext | 629,381 | 21,569 | |
SLM Corp. | 1,269,578 | 21,342 | |
Ventas Inc. | 392,545 | 20,691 | |
* | CIT Group Inc. | 458,384 | 20,288 |
KeyCorp | 2,292,027 | 19,093 | |
Unum Group | 746,166 | 19,012 |
32
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Regions Financial Corp. | 3,030,439 | 18,789 | |
Kimco Realty Corp. | 979,644 | 18,261 | |
Macerich Co. | 314,069 | 16,803 | |
XL Group plc Class A | 749,302 | 16,470 | |
Willis Group Holdings plc | 392,158 | 16,122 | |
Plum Creek | |||
Timber Co. Inc. | 390,118 | 15,815 | |
SL Green Realty Corp. | 190,226 | 15,764 | |
New York Community | |||
Bancorp Inc. | 1,049,599 | 15,733 | |
Comerica Inc. | 425,861 | 14,722 | |
Host Hotels & | |||
Resorts Inc. | 819,620 | 13,893 | |
Huntington | |||
Bancshares Inc. | 2,080,085 | 13,645 | |
Boston Properties Inc. | 120,310 | 12,772 | |
Rayonier Inc. | 195,368 | 12,767 | |
Nationwide Health | |||
Properties Inc. | 304,662 | 12,616 | |
* | Genworth Financial Inc. | ||
Class A | 1,180,215 | 12,133 | |
Torchmark Corp. | 187,691 | 12,039 | |
People’s United | |||
Financial Inc. | 872,753 | 11,730 | |
Legg Mason Inc. | 348,392 | 11,413 | |
Alexandria Real Estate | |||
Equities Inc. | 145,839 | 11,291 | |
Cincinnati Financial Corp. | 373,014 | 10,885 | |
UDR Inc. | 439,621 | 10,793 | |
Reinsurance Group of | |||
America Inc. Class A | 176,713 | 10,755 | |
Everest Re Group Ltd. | 131,199 | 10,726 | |
PartnerRe Ltd. | 154,608 | 10,645 | |
Zions Bancorporation | 440,360 | 10,573 | |
* | Arch Capital Group Ltd. | 324,903 | 10,371 |
Marshall & Ilsley Corp. | 1,273,746 | 10,152 | |
Realty Income Corp. | 302,765 | 10,140 | |
Moody’s Corp. | 248,617 | 9,534 | |
WR Berkley Corp. | 288,847 | 9,370 | |
Hudson City Bancorp Inc. | 1,142,078 | 9,354 | |
Liberty Property Trust | 275,979 | 8,991 | |
RenaissanceRe | |||
Holdings Ltd. | 127,270 | 8,903 | |
Digital Realty Trust Inc. | 143,035 | 8,837 | |
* | Markel Corp. | 22,235 | 8,823 |
Assurant Inc. | 240,819 | 8,735 | |
HCC Insurance | |||
Holdings Inc. | 276,718 | 8,717 | |
General Growth | |||
Properties Inc. | 521,553 | 8,705 | |
Regency Centers Corp. | 197,212 | 8,671 | |
Chimera | |||
Investment Corp. | 2,474,353 | 8,561 | |
Leucadia National Corp. | 250,115 | 8,529 | |
Duke Realty Corp. | 608,306 | 8,522 |
Market | |||
Value | |||
Shares | ($000) | ||
Piedmont Office Realty | |||
Trust Inc. Class A | 415,944 | 8,481 | |
Axis Capital Holdings Ltd. | 268,735 | 8,320 | |
Raymond James | |||
Financial Inc. | 257,941 | 8,293 | |
Federal Realty | |||
Investment Trust | 96,341 | 8,206 | |
Fidelity National | |||
Financial Inc. Class A | 511,966 | 8,058 | |
Commerce | |||
Bancshares Inc. | 178,520 | 7,676 | |
Cullen/Frost Bankers Inc. | 132,936 | 7,557 | |
* | NASDAQ OMX Group Inc. | 297,067 | 7,516 |
Transatlantic Holdings Inc. | 150,106 | 7,357 | |
White Mountains | |||
Insurance Group Ltd. | 17,281 | 7,261 | |
Hospitality Properties | |||
Trust | 298,071 | 7,228 | |
Old Republic | |||
International Corp. | 594,506 | 6,985 | |
Weingarten Realty | |||
Investors | 276,021 | 6,945 | |
Jefferies Group Inc. | 334,741 | 6,829 | |
American Financial | |||
Group Inc. | 189,718 | 6,771 | |
Assured Guaranty Ltd. | 399,343 | 6,513 | |
City National Corp. | 113,386 | 6,151 | |
First Horizon | |||
National Corp. | 636,182 | 6,069 | |
^ | Federated Investors Inc. | ||
Class B | 225,399 | 5,374 | |
Validus Holdings Ltd. | 153,521 | 4,751 | |
BOK Financial Corp. | 65,960 | 3,613 | |
Jones Lang LaSalle Inc. | 36,080 | 3,402 | |
* | LPL Investment | ||
Holdings Inc. | 65,496 | 2,241 | |
*,^ | St. Joe Co. | 84,226 | 1,755 |
3,919,095 | |||
Health Care (12.9%) | |||
Johnson & Johnson | 6,591,401 | 438,460 | |
Pfizer Inc. | 19,267,333 | 396,907 | |
Merck & Co. Inc. | 7,429,694 | 262,194 | |
Abbott Laboratories | 3,729,362 | 196,239 | |
Bristol-Myers Squibb Co. | 4,102,511 | 118,809 | |
Eli Lilly & Co. | 2,510,782 | 94,230 | |
WellPoint Inc. | 904,881 | 71,277 | |
Covidien plc | 1,190,047 | 63,346 | |
* | Amgen Inc. | 786,445 | 45,889 |
Aetna Inc. | 926,490 | 40,849 | |
Cardinal Health Inc. | 843,308 | 38,303 | |
CIGNA Corp. | 654,056 | 33,638 | |
Humana Inc. | 406,087 | 32,706 | |
* | Forest Laboratories Inc. | 689,341 | 27,119 |
* | Boston Scientific Corp. | 3,674,194 | 25,389 |
33
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Watson | ||
Pharmaceuticals Inc. | 303,177 | 20,837 | |
* | Cephalon Inc. | 182,554 | 14,586 |
* | Coventry Health Care Inc. | 360,808 | 13,159 |
* | Hologic Inc. | 628,325 | 12,673 |
Universal Health | |||
Services Inc. Class B | 217,058 | 11,185 | |
* | Kinetic Concepts Inc. | 156,141 | 8,998 |
Omnicare Inc. | 281,506 | 8,977 | |
* | CareFusion Corp. | 269,230 | 7,315 |
* | Alere Inc. | 194,577 | 7,125 |
Pharmaceutical Product | |||
Development Inc. | 263,599 | 7,075 | |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 141,550 | 5,686 | |
Lincare Holdings Inc. | 151,025 | 4,421 | |
* | Community Health | ||
Systems Inc. | 145,277 | 3,731 | |
Warner Chilcott plc | |||
Class A | 117,596 | 2,838 | |
* | Charles River Laboratories | ||
International Inc. | 58,250 | 2,368 | |
2,016,329 | |||
Industrials (10.5%) | |||
General Electric Co. | 25,589,043 | 482,609 | |
United | |||
Technologies Corp. | 2,108,923 | 186,661 | |
3M Co. | 1,629,568 | 154,565 | |
Honeywell | |||
International Inc. | 1,166,778 | 69,528 | |
Illinois Tool Works Inc. | 1,080,888 | 61,059 | |
Lockheed Martin Corp. | 716,551 | 58,019 | |
General Dynamics Corp. | 763,055 | 56,863 | |
Northrop Grumman Corp. | 666,897 | 46,249 | |
Raytheon Co. | 866,719 | 43,206 | |
Waste Management Inc. | 1,089,109 | 40,591 | |
Eaton Corp. | 770,559 | 39,645 | |
Dover Corp. | 449,478 | 30,475 | |
Goodrich Corp. | 302,636 | 28,902 | |
Stanley Black & | |||
Decker Inc. | 382,720 | 27,575 | |
L-3 Communications | |||
Holdings Inc. | 272,989 | 23,873 | |
Cooper Industries plc | 396,099 | 23,635 | |
Southwest Airlines Co. | 1,909,398 | 21,805 | |
Ingersoll-Rand plc | 397,069 | 18,031 | |
* | United Continental | ||
Holdings Inc. | 791,947 | 17,922 | |
Parker Hannifin Corp. | 195,021 | 17,501 | |
KBR Inc. | 364,366 | 13,733 | |
* | Delta Air Lines Inc. | 1,307,332 | 11,988 |
Pitney Bowes Inc. | 490,888 | 11,286 | |
Cintas Corp. | 315,003 | 10,405 | |
* | Quanta Services Inc. | 508,770 | 10,277 |
Equifax Inc. | 295,705 | 10,267 |
Market | |||
Value | |||
Shares | ($000) | ||
Timken Co. | 200,447 | 10,103 | |
RR Donnelley & Sons Co. | 497,520 | 9,756 | |
Pentair Inc. | 237,072 | 9,568 | |
Avery Dennison Corp. | 244,542 | 9,447 | |
* | URS Corp. | 194,171 | 8,687 |
Towers Watson & Co. | |||
Class A | 131,103 | 8,615 | |
Hubbell Inc. Class B | 128,724 | 8,361 | |
Pall Corp. | 139,415 | 7,839 | |
* | Terex Corp. | 263,531 | 7,497 |
* | Aecom Technology Corp. | 257,268 | 7,034 |
Ryder System Inc. | 123,588 | 7,026 | |
* | Owens Corning | 185,989 | 6,947 |
Masco Corp. | 563,255 | 6,776 | |
* | Hertz Global Holdings Inc. | 423,473 | 6,725 |
Harsco Corp. | 194,586 | 6,343 | |
Alliant Techsystems Inc. | 80,610 | 5,750 | |
Manpower Inc. | 98,518 | 5,285 | |
SPX Corp. | 60,947 | 5,038 | |
1,653,467 | |||
Information Technology (7.4%) | |||
Intel Corp. | 13,225,184 | 293,070 | |
Microsoft Corp. | 6,378,225 | 165,834 | |
Hewlett-Packard Co. | 3,406,125 | 123,983 | |
Corning Inc. | 3,772,966 | 68,479 | |
Applied Materials Inc. | 3,181,172 | 41,387 | |
TE Connectivity Ltd. | 1,073,473 | 39,461 | |
Xerox Corp. | 3,374,485 | 35,128 | |
* | Dell Inc. | 2,094,559 | 34,916 |
* | Yahoo! Inc. | 1,500,303 | 22,565 |
* | Motorola Solutions Inc. | 474,577 | 21,850 |
Maxim Integrated | |||
Products Inc. | 714,411 | 18,260 | |
Fidelity National | |||
Information Services Inc. | 583,191 | 17,956 | |
Seagate Technology plc | 1,091,384 | 17,637 | |
Microchip Technology Inc. | 453,957 | 17,210 | |
KLA-Tencor Corp. | 402,942 | 16,311 | |
* | Micron Technology Inc. | 2,162,551 | 16,176 |
Computer Sciences Corp. | 374,283 | 14,208 | |
Harris Corp. | 308,354 | 13,894 | |
* | SAIC Inc. | 716,641 | 12,054 |
* | SanDisk Corp. | 285,067 | 11,830 |
* | Flextronics | ||
International Ltd. | 1,831,076 | 11,756 | |
* | Arrow Electronics Inc. | 276,696 | 11,483 |
Xilinx Inc. | 314,432 | 11,467 | |
* | LSI Corp. | 1,484,213 | 10,568 |
* | Western Digital Corp. | 279,047 | 10,152 |
Jabil Circuit Inc. | 472,318 | 9,541 | |
* | Synopsys Inc. | 359,543 | 9,244 |
* | Lam Research Corp. | 193,370 | 8,562 |
Paychex Inc. | 274,411 | 8,430 | |
* | IAC/InterActiveCorp | 202,700 | 7,737 |
34
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Total System | |||
Services Inc. | 396,956 | 7,375 | |
* | Brocade Communications | ||
Systems Inc. | 1,134,572 | 7,329 | |
Broadridge Financial | |||
Solutions Inc. | 301,649 | 7,261 | |
* | Ingram Micro Inc. | 378,490 | 6,866 |
* | Avnet Inc. | 184,332 | 5,877 |
* | Lexmark International Inc. | ||
Class A | 189,308 | 5,539 | |
National | |||
Semiconductor Corp. | 203,708 | 5,013 | |
* | MEMC Electronic | ||
Materials Inc. | 555,469 | 4,738 | |
Molex Inc. Class A | 181,837 | 3,906 | |
Molex Inc. | 150,102 | 3,868 | |
Tellabs Inc. | 830,848 | 3,830 | |
Lender Processing | |||
Services Inc. | 104,804 | 2,191 | |
* | AOL Inc. | 90,782 | 1,803 |
1,166,745 | |||
Materials (4.4%) | |||
Freeport-McMoRan | |||
Copper & Gold Inc. | 2,267,186 | 119,934 | |
Dow Chemical Co. | 2,814,470 | 101,321 | |
EI du Pont de | |||
Nemours & Co. | 1,443,569 | 78,025 | |
Alcoa Inc. | 2,562,168 | 40,636 | |
Nucor Corp. | 761,146 | 31,374 | |
International Paper Co. | 1,007,463 | 30,043 | |
Air Products & | |||
Chemicals Inc. | 258,906 | 24,746 | |
PPG Industries Inc. | 193,720 | 17,588 | |
Eastman Chemical Co. | 170,425 | 17,395 | |
Cliffs Natural | |||
Resources Inc. | 174,275 | 16,112 | |
United States Steel Corp. | 346,491 | 15,952 | |
Albemarle Corp. | 209,708 | 14,512 | |
MeadWestvaco Corp. | 405,618 | 13,511 | |
Airgas Inc. | 192,691 | 13,496 | |
International Flavors & | |||
Fragrances Inc. | 193,359 | 12,421 | |
Ashland Inc. | 190,525 | 12,312 | |
Vulcan Materials Co. | 310,846 | 11,977 | |
* | Owens-Illinois Inc. | 394,421 | 10,180 |
FMC Corp. | 111,938 | 9,629 | |
LyondellBasell Industries | |||
NV Class A | 239,485 | 9,225 | |
Sealed Air Corp. | 383,767 | 9,130 | |
Reliance Steel & | |||
Aluminum Co. | 179,791 | 8,927 | |
Martin Marietta | |||
Materials Inc. | 109,598 | 8,765 | |
Bemis Co. Inc. | 257,872 | 8,711 | |
Huntsman Corp. | 461,680 | 8,703 |
Market | |||
Value | |||
Shares | ($000) | ||
Sonoco Products Co. | 241,536 | 8,584 | |
Valspar Corp. | 222,253 | 8,014 | |
Scotts Miracle-Gro Co. | |||
Class A | 111,698 | 5,731 | |
Rock-Tenn Co. Class A | 83,362 | 5,530 | |
Allegheny Technologies Inc. | 85,072 | 5,400 | |
Steel Dynamics Inc. | 249,588 | 4,056 | |
Greif Inc. Class A | 56,756 | 3,691 | |
Titanium Metals Corp. | 76,447 | 1,400 | |
687,031 | |||
Telecommunication Services (5.3%) | |||
AT&T Inc. | 14,245,691 | 447,457 | |
Verizon | |||
Communications Inc. | 6,747,507 | 251,210 | |
CenturyLink Inc. | 1,444,751 | 58,411 | |
* | Sprint Nextel Corp. | 7,210,099 | 38,862 |
Frontier | |||
Communications Corp. | 2,395,433 | 19,331 | |
Windstream Corp. | 1,215,049 | 15,747 | |
Telephone & | |||
Data Systems Inc. | 107,557 | 3,343 | |
Telephone & | |||
Data Systems Inc. - | |||
Special Common Shares | 63,674 | 1,715 | |
* | United States | ||
Cellular Corp. | 31,818 | 1,541 | |
837,617 | |||
Utilities (6.8%) | |||
Southern Co. | 2,001,801 | 80,833 | |
Exelon Corp. | 1,594,965 | 68,328 | |
Dominion Resources Inc. | 1,399,672 | 67,562 | |
Duke Energy Corp. | 3,202,968 | 60,312 | |
NextEra Energy Inc. | 963,617 | 55,369 | |
FirstEnergy Corp. | 1,007,695 | 44,490 | |
American Electric | |||
Power Co. Inc. | 1,158,636 | 43,657 | |
PG&E Corp. | 954,792 | 40,130 | |
Public Service Enterprise | |||
Group Inc. | 1,219,373 | 39,800 | |
PPL Corp. | 1,361,756 | 37,898 | |
Consolidated Edison Inc. | 704,004 | 37,481 | |
Progress Energy Inc. | 707,304 | 33,958 | |
Entergy Corp. | 431,408 | 29,457 | |
Sempra Energy | 550,545 | 29,113 | |
Edison International | 745,819 | 28,900 | |
Xcel Energy Inc. | 1,163,052 | 28,262 | |
DTE Energy Co. | 408,247 | 20,420 | |
CenterPoint Energy Inc. | 972,878 | 18,825 | |
Oneok Inc. | 244,924 | 18,127 | |
Wisconsin Energy Corp. | 563,310 | 17,660 | |
Constellation Energy | |||
Group Inc. | 457,619 | 17,371 | |
Ameren Corp. | 579,533 | 16,714 | |
Northeast Utilities | 425,213 | 14,955 |
35
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | NRG Energy Inc. | 596,392 | 14,659 |
NiSource Inc. | 672,837 | 13,625 | |
American Water | |||
Works Co. Inc. | 422,107 | 12,431 | |
National Fuel Gas Co. | 168,580 | 12,273 | |
CMS Energy Corp. | 607,407 | 11,960 | |
OGE Energy Corp. | 235,241 | 11,837 | |
Pinnacle West | |||
Capital Corp. | 262,059 | 11,683 | |
SCANA Corp. | 292,647 | 11,521 | |
NSTAR | 249,541 | 11,474 | |
Alliant Energy Corp. | 267,138 | 10,862 | |
Pepco Holdings Inc. | 542,284 | 10,645 | |
MDU Resources | |||
Group Inc. | 454,760 | 10,232 | |
Integrys Energy | |||
Group Inc. | 187,933 | 9,742 | |
TECO Energy Inc. | 491,789 | 9,290 | |
NV Energy Inc. | 567,539 | 8,712 | |
DPL Inc. | 286,948 | 8,654 | |
UGI Corp. | 267,504 | 8,531 | |
* | Calpine Corp. | 486,957 | 7,855 |
AGL Resources Inc. | 188,322 | 7,667 | |
Aqua America Inc. | 333,141 | 7,322 | |
1,060,597 | |||
Total Common Stocks | |||
(Cost $14,940,510) | 15,693,363 | ||
Temporary Cash Investment (0.2%) | |||
Money Market Fund (0.2%) | |||
1,2 | Vanguard Market | ||
Liquidity Fund, 0.140% | |||
(Cost $23,988) | 23,988,360 | 23,988 | |
Total Investments (100.2%) | |||
(Cost $14,964,498) | 15,717,351 | ||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | 43,070 | ||
Liabilities2 | (67,464) | ||
(24,394) | |||
Net Assets (100%) | 15,692,957 |
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 16,843,570 |
Overdistributed Net Investment Income | (10,538) |
Accumulated Net Realized Losses | (1,892,928) |
Unrealized Appreciation (Depreciation) | 752,853 |
Net Assets | 15,692,957 |
Investor Shares—Net Assets | |
Applicable to 96,520,399 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,110,864 |
Net Asset Value Per Share— | |
Investor Shares | $21.87 |
Admiral Shares—Net Assets | |
Applicable to 150,936,269 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,301,096 |
Net Asset Value Per Share— | |
Admiral Shares | $21.87 |
Signal Shares—Net Assets | |
Applicable to 60,731,879 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,382,095 |
Net Asset Value Per Share— | |
Signal Shares | $22.76 |
Institutional Shares—Net Assets | |
Applicable to 167,780,074 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,669,278 |
Net Asset Value Per Share— | |
Institutional Shares | $21.87 |
ETF Shares—Net Assets | |
Applicable to 93,289,027 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,229,624 |
Net Asset Value Per Share— | |
ETF Shares | $56.06 |
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 $9,584,000.
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 $9,804,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
36
Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 191,164 |
Interest1 | 5 |
Security Lending | 680 |
Total Income | 191,849 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 615 |
Management and Administrative—Investor Shares | 2,285 |
Management and Administrative—Admiral Shares | 1,263 |
Management and Administrative—Signal Shares | 402 |
Management and Administrative—Institutional Shares | 743 |
Management and Administrative—ETF Shares | 1,547 |
Marketing and Distribution—Investor Shares | 367 |
Marketing and Distribution—Admiral Shares | 252 |
Marketing and Distribution—Signal Shares | 172 |
Marketing and Distribution—Institutional Shares | 503 |
Marketing and Distribution—ETF Shares | 671 |
Custodian Fees | 192 |
Shareholders’ Reports—Investor Shares | 25 |
Shareholders’ Reports—Admiral Shares | 14 |
Shareholders’ Reports—Signal Shares | 1 |
Shareholders’ Reports—Institutional Shares | 8 |
Shareholders’ Reports—ETF Shares | 53 |
Trustees’ Fees and Expenses | 8 |
Total Expenses | 9,121 |
Net Investment Income | 182,728 |
Realized Net Gain (Loss) on Investment Securities Sold | 636,154 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 95,979 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 914,861 |
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.
37
Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 182,728 | 315,760 |
Realized Net Gain (Loss) | 636,154 | 1,034,334 |
Change in Unrealized Appreciation (Depreciation) | 95,979 | 411,262 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 914,861 | 1,761,356 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (23,617) | (73,774) |
Admiral Shares | (37,064) | (47,412) |
Signal Shares | (14,754) | (23,713) |
Institutional Shares | (41,984) | (79,304) |
ETF Shares | (57,227) | (94,390) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (174,646) | (318,593) |
Capital Share Transactions | ||
Investor Shares | (328,284) | (1,363,607) |
Admiral Shares | 57,357 | 1,427,492 |
Signal Shares | 313,049 | 7,057 |
Institutional Shares | 40,818 | 279,853 |
ETF Shares | 672,822 | 761,989 |
Net Increase (Decrease) from Capital Share Transactions | 755,762 | 1,112,784 |
Total Increase (Decrease) | 1,495,977 | 2,555,547 |
Net Assets | ||
Beginning of Period | 14,196,980 | 11,641,433 |
End of Period1 | 15,692,957 | 14,196,980 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($10,538,000) and ($18,620,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
38
Value Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $20.79 | $18.63 | $16.08 | $25.94 | $26.58 | $22.29 |
Investment Operations | ||||||
Net Investment Income | .244 | .459 | .498 | .660 | .687 | .586 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.068 | 2.163 | 2.561 | (9.863) | (.644) | 4.295 |
Total from Investment Operations | 1.312 | 2.622 | 3.059 | (9.203) | .043 | 4.881 |
Distributions | ||||||
Dividends from Net Investment Income | (.232) | (.462) | (.509) | (.657) | (.683) | (.591) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.232) | (.462) | (.509) | (.657) | (.683) | (.591) |
Net Asset Value, End of Period | $21.87 | $20.79 | $18.63 | $16.08 | $25.94 | $26.58 |
Total Return1 | 6.33% | 14.28% | 19.58% | -35.97% | 0.09% | 22.15% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,111 | $2,317 | $3,357 | $2,618 | $4,310 | $4,417 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.25% | 0.26% | 0.26% | 0.21% | 0.20% | 0.21% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.27% | 2.43% | 3.09% | 3.14% | 2.49% | 2.48% |
Portfolio Turnover Rate2 | 26% | 27% | 31% | 27% | 20% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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
Admiral Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $20.79 | $18.63 | $16.08 | $25.94 | $26.58 | $22.29 |
Investment Operations | ||||||
Net Investment Income | .261 | .488 | .517 | .681 | .710 | .611 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.066 | 2.162 | 2.562 | (9.863) | (.640) | 4.295 |
Total from Investment Operations | 1.327 | 2.650 | 3.079 | (9.182) | .070 | 4.906 |
Distributions | ||||||
Dividends from Net Investment Income | (.247) | (.490) | (.529) | (.678) | (.710) | (.616) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.247) | (.490) | (.529) | (.678) | (.710) | (.616) |
Net Asset Value, End of Period | $21.87 | $20.79 | $18.63 | $16.08 | $25.94 | $26.58 |
Total Return | 6.40% | 14.45% | 19.72% | -35.90% | 0.18% | 22.27% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,301 | $3,082 | $1,421 | $1,262 | $2,069 | $2,625 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.11% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.42% | 2.57% | 3.21% | 3.24% | 2.59% | 2.58% |
Portfolio Turnover Rate1 | 26% | 27% | 31% | 27% | 20% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Value Index Fund
Financial Highlights
Signal Shares
Six Months | June 4, | ||||
Ended | 20071 to | ||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | ||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $21.63 | $19.38 | $16.73 | $27.00 | $30.14 |
Investment Operations | |||||
Net Investment Income | .271 | .508 | .538 | .710 | .442 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 1.117 | 2.252 | 2.663 | (10.274) | (3.017) |
Total from Investment Operations | 1.388 | 2.760 | 3.201 | (9.564) | (2.575) |
Distributions | |||||
Dividends from Net Investment Income | (.258) | (.510) | (.551) | (.706) | (.565) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.258) | (.510) | (.551) | (.706) | (.565) |
Net Asset Value, End of Period | $22.76 | $21.63 | $19.38 | $16.73 | $27.00 |
Total Return | 6.44% | 14.46% | 19.70% | -35.93% | -8.61% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,382 | $1,018 | $907 | $638 | $864 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.11% | 0.10%2 |
Ratio of Net Investment Income to | �� | ||||
Average Net Assets | 2.42% | 2.57% | 3.21% | 3.24% | 2.59%2 |
Portfolio Turnover Rate3 | 26% | 27% | 31% | 27% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
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.
41
Value Index Fund
Financial Highlights
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $20.79 | $18.63 | $16.08 | $25.94 | $26.58 | $22.29 |
Investment Operations | ||||||
Net Investment Income | .263 | .496 | .527 | .690 | .722 | .618 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.068 | 2.162 | 2.562 | (9.864) | (.644) | 4.295 |
Total from Investment Operations | 1.331 | 2.658 | 3.089 | (9.174) | .078 | 4.913 |
Distributions | ||||||
Dividends from Net Investment Income | (.251) | (.498) | (.539) | (.686) | (.718) | (.623) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.251) | (.498) | (.539) | (.686) | (.718) | (.623) |
Net Asset Value, End of Period | $21.87 | $20.79 | $18.63 | $16.08 | $25.94 | $26.58 |
Total Return | 6.42% | 14.49% | 19.79% | -35.88% | 0.21% | 22.31% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,669 | $3,450 | $2,812 | $1,992 | $2,660 | $2,209 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.44% | 2.61% | 3.27% | 3.28% | 2.62% | 2.61% |
Portfolio Turnover Rate1 | 26% | 27% | 31% | 27% | 20% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Value Index Fund
Financial Highlights
ETF Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $53.29 | $47.75 | $41.21 | $66.51 | $68.14 | $57.14 |
Investment Operations | ||||||
Net Investment Income | .669 | 1.252 | 1.324 | 1.754 | 1.830 | 1.565 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.738 | 5.545 | 6.573 | (25.311) | (1.640) | 11.016 |
Total from Investment Operations | 3.407 | 6.797 | 7.897 | (23.557) | .190 | 12.581 |
Distributions | ||||||
Dividends from Net Investment Income | (.637) | (1.257) | (1.357) | (1.743) | (1.820) | (1.581) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.637) | (1.257) | (1.357) | (1.743) | (1.820) | (1.581) |
Net Asset Value, End of Period | $56.06 | $53.29 | $47.75 | $41.21 | $66.51 | $68.14 |
Total Return | 6.42% | 14.45% | 19.72% | -35.91% | 0.20% | 22.28% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,230 | $4,330 | $3,145 | $2,165 | $2,215 | $1,646 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.14% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.42% | 2.57% | 3.21% | 3.25% | 2.59% | 2.58% |
Portfolio Turnover Rate1 | 26% | 27% | 31% | 27% | 20% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
43
Value Index Fund
Notes to Financial Statements
Vanguard Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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 fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
5. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
44
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, 2011, the fund had contributed capital of $2,515,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At June 30, 2011, 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 treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2011, the fund realized $18,523,000 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 31,2010, the fund had available capital loss carryforwards totaling $2,510,548,000 to offset future net capital gains of $188,450,000 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $14,964,498,000. Net unrealized appreciation of investment securities for tax purposes was $752,853,000, consisting of unrealized gains of $1,988,888,000 on securities that had risen in value since their purchase and $1,236,035,000 in unrealized losses on securities that had fallen in value since their purchase.
45
Value Index Fund
E. During the six months ended June 30, 2011, the fund purchased $2,807,674,000 of investment securities and sold $2,035,842,000 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, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 232,848 | 10,659 | 629,201 | 32,879 |
Issued in Lieu of Cash Distributions | 22,619 | 1,048 | 69,985 | 3,644 |
Redeemed | (583,751) | (26,632) | (2,062,793) | (105,302) |
Net Increase (Decrease)—Investor Shares | (328,284) | (14,925) | (1,363,607) | (68,779) |
Admiral Shares | ||||
Issued | 223,271 | 10,238 | 1,639,299 | 83,030 |
Issued in Lieu of Cash Distributions | 32,965 | 1,528 | 40,915 | 2,083 |
Redeemed | (198,879) | (9,098) | (252,722) | (13,118) |
Net Increase (Decrease)—Admiral Shares | 57,357 | 2,668 | 1,427,492 | 71,995 |
Signal Shares | ||||
Issued | 510,421 | 22,379 | 289,825 | 14,527 |
Issued in Lieu of Cash Distributions | 12,698 | 566 | 20,465 | 1,016 |
Redeemed | (210,070) | (9,260) | (303,233) | (15,263) |
Net Increase (Decrease)—Signal Shares | 313,049 | 13,685 | 7,057 | 280 |
Institutional Shares | ||||
Issued | 348,107 | 15,904 | 631,302 | 33,152 |
Issued in Lieu of Cash Distributions | 38,937 | 1,805 | 73,271 | 3,782 |
Redeemed | (346,226) | (15,902) | (424,720) | (21,928) |
Net Increase (Decrease)—Institutional Shares | 40,818 | 1,807 | 279,853 | 15,006 |
ETF Shares | ||||
Issued | 724,289 | 12,936 | 805,945 | 16,295 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (51,467) | (900) | (43,956) | (900) |
Net Increase (Decrease)—ETF Shares | 672,822 | 12,036 | 761,989 | 15,395 |
G. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
46
Large-Cap Index Fund
Fund Profile
As of June 30, 2011
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 | 1.69% | 1.83% | 1.83% | 1.85% | 1.83% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Prime | U.S. Total | ||
Market | Market | ||
Fund | 750 Index | Index | |
Number of Stocks | 755 | 753 | 3,745 |
Median Market Cap | $41.2B | $41.2B | $30.8B |
Price/Earnings Ratio | 16.3x | 16.3x | 17.1x |
Price/Book Ratio | 2.2x | 2.2x | 2.2x |
Return on Equity | 20.0% | 19.9% | 19.1% |
Earnings Growth Rate | 5.8% | 5.8% | 5.8% |
Dividend Yield | 1.9% | 1.9% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 6% | — | — |
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 | 3.1% | |
Apple Inc. | Computer | |
Hardware | 2.3 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.6 |
Chevron Corp. | Integrated Oil & | |
Gas | 1.6 | |
General Electric Co. | Industrial | |
Conglomerates | 1.5 | |
Microsoft Corp. | Systems Software | 1.5 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.4 | |
Johnson & Johnson | Pharmaceuticals | 1.4 |
Procter & Gamble Co. | Household | |
Products | 1.4 | |
Pfizer Inc. | Pharmaceuticals | 1.3 |
Top Ten | 17.1% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.
47
Large-Cap Index Fund
Sector Diversification (% of equity exposure) | |||
MSCI US | DJ | ||
Prime | U.S. Total | ||
Market | Market | ||
Fund | 750 Index | Index | |
Consumer | |||
Discretionary | 11.3% | 11.3% | 12.2% |
Consumer Staples | 10.0 | 10.0 | 9.7 |
Energy | 12.5 | 12.5 | 11.2 |
Financials | 14.8 | 14.8 | 15.4 |
Health Care | 11.6 | 11.6 | 11.3 |
Industrials | 11.1 | 11.1 | 11.6 |
Information | |||
Technology | 18.2 | 18.1 | 18.4 |
Materials | 4.1 | 4.2 | 4.4 |
Telecommunication | |||
Services | 3.0 | 3.0 | 2.6 |
Utilities | 3.4 | 3.4 | 3.2 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstcklargecapx50x1.jpg)
48
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 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, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/usstcklargecapx51x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 1/30/2004 | 31.47% | 3.31% | 4.64% |
Admiral Shares | 2/2/2004 | 31.64 | 3.44 | 4.72 |
Signal Shares | 8/30/2007 | 31.66 | — | 0.21 |
Institutional Shares | 6/30/2005 | 31.69 | 3.47 | 4.41 |
ETF Shares | 1/27/2004 | |||
Market Price | 31.66 | 3.43 | 4.62 | |
Net Asset Value | 31.65 | 3.46 | 4.62 |
See Financial Highlights for dividend and capital gains information.
49
Large-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.9%)1 | |||
Consumer Discretionary (11.3%) | |||
McDonald’s Corp. | 421,100 | 35,507 | |
* | Amazon.com Inc. | 145,653 | 29,785 |
Walt Disney Co. | 728,098 | 28,425 | |
Home Depot Inc. | 661,450 | 23,958 | |
Comcast Corp. Class A | 789,224 | 19,999 | |
* | Ford Motor Co. | 1,423,118 | 19,625 |
* | DIRECTV Class A | 319,209 | 16,222 |
Time Warner Inc. | 441,166 | 16,045 | |
News Corp. Class A | 872,104 | 15,436 | |
NIKE Inc. Class B | 149,104 | 13,416 | |
Lowe’s Cos. Inc. | 546,612 | 12,742 | |
Target Corp. | 270,077 | 12,669 | |
Starbucks Corp. | 301,188 | 11,894 | |
Johnson Controls Inc. | 273,541 | 11,396 | |
Viacom Inc. Class B | 220,171 | 11,229 | |
Time Warner Cable Inc. | 138,677 | 10,822 | |
Yum! Brands Inc. | 188,584 | 10,417 | |
* | priceline.com Inc. | 19,830 | 10,152 |
* | General Motors Co. | 315,117 | 9,567 |
TJX Cos. Inc. | 159,824 | 8,396 | |
Comcast Corp. | |||
Class A Special Shares | 327,496 | 7,935 | |
Coach Inc. | 119,298 | 7,627 | |
CBS Corp. Class B | 253,646 | 7,226 | |
Carnival Corp. | 183,889 | 6,920 | |
* | Las Vegas Sands Corp. | 146,574 | 6,187 |
* | Bed Bath & Beyond Inc. | 102,738 | 5,997 |
Kohl’s Corp. | 112,020 | 5,602 | |
Omnicom Group Inc. | 114,549 | 5,517 | |
* | Netflix Inc. | 20,268 | 5,324 |
McGraw-Hill Cos. Inc. | 123,725 | 5,185 | |
Macy’s Inc. | 170,726 | 4,992 | |
Wynn Resorts Ltd. | 32,764 | 4,703 | |
Staples Inc. | 291,696 | 4,609 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 77,501 | 4,343 | |
Limited Brands Inc. | 111,501 | 4,287 |
Market | |||
Value | |||
Shares | ($000) | ||
Best Buy Co. Inc. | 135,190 | 4,246 | |
Marriott International Inc. | |||
Class A | 118,725 | 4,214 | |
Harley-Davidson Inc. | 95,070 | 3,895 | |
Mattel Inc. | 140,642 | 3,866 | |
* | Liberty Media Corp. - | ||
Interactive | 230,260 | 3,861 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 12,521 | 3,859 | |
Ross Stores Inc. | 48,101 | 3,854 | |
Tiffany & Co. | 48,507 | 3,809 | |
VF Corp. | 35,016 | 3,801 | |
* | O’Reilly Automotive Inc. | 56,984 | 3,733 |
Virgin Media Inc. | 123,387 | 3,693 | |
* | BorgWarner Inc. | 45,071 | 3,641 |
Fortune Brands Inc. | 55,696 | 3,552 | |
Polo Ralph Lauren Corp. | |||
Class A | 26,386 | 3,499 | |
Genuine Parts Co. | 63,653 | 3,463 | |
* | Dollar Tree Inc. | 50,589 | 3,370 |
Nordstrom Inc. | 70,415 | 3,305 | |
* | Sirius XM Radio Inc. | 1,507,326 | 3,301 |
Gap Inc. | 173,508 | 3,140 | |
* | AutoZone Inc. | 10,601 | 3,126 |
Cablevision | |||
Systems Corp. Class A | 85,930 | 3,112 | |
* | CarMax Inc. | 91,029 | 3,010 |
Autoliv Inc. | 35,967 | 2,822 | |
Darden Restaurants Inc. | 55,720 | 2,773 | |
Family Dollar Stores Inc. | 51,053 | 2,683 | |
* | DISH Network Corp. | ||
Class A | 82,633 | 2,534 | |
Whirlpool Corp. | 30,701 | 2,497 | |
* | Fossil Inc. | 21,082 | 2,482 |
* | TRW Automotive | ||
Holdings Corp. | 42,022 | 2,481 | |
JC Penney Co. Inc. | 71,648 | 2,475 | |
Interpublic Group | |||
of Cos. Inc. | 197,404 | 2,468 |
50
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Abercrombie & Fitch Co. | 35,356 | 2,366 | |
Wyndham | |||
Worldwide Corp. | 69,926 | 2,353 | |
Expedia Inc. | 80,218 | 2,325 | |
* | Liberty Media Corp. - | ||
Capital | 26,965 | 2,312 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 55,844 | 2,287 | |
Lear Corp. | 42,480 | 2,272 | |
* | Apollo Group Inc. Class A | 51,873 | 2,266 |
* | Lululemon Athletica Inc. | 20,089 | 2,246 |
Hasbro Inc. | 49,843 | 2,190 | |
PetSmart Inc. | 47,437 | 2,152 | |
* | Royal Caribbean | ||
Cruises Ltd. | 56,711 | 2,135 | |
International Game | |||
Technology | 120,581 | 2,120 | |
* | Discovery | ||
Communications Inc. | 56,796 | 2,076 | |
* | Liberty Global Inc. | ||
Class A | 45,759 | 2,061 | |
H&R Block Inc. | 123,136 | 1,975 | |
Tractor Supply Co. | 29,311 | 1,960 | |
Advance Auto Parts Inc. | 33,060 | 1,934 | |
* | Liberty Global Inc. | 43,345 | 1,851 |
Newell Rubbermaid Inc. | 117,122 | 1,848 | |
Scripps Networks | |||
Interactive Inc. Class A | 37,667 | 1,841 | |
* | MGM Resorts | ||
International | 137,953 | 1,822 | |
Tupperware Brands Corp. | 25,339 | 1,709 | |
* | Goodyear Tire & | ||
Rubber Co. | 98,037 | 1,644 | |
* | NVR Inc. | 2,262 | 1,641 |
* | GameStop Corp. Class A | 61,093 | 1,629 |
Phillips-Van Heusen Corp. | 24,406 | 1,598 | |
DeVry Inc. | 26,593 | 1,572 | |
^ | Garmin Ltd. | 47,133 | 1,557 |
* | Liberty Media Corp. - | ||
Starz | 19,925 | 1,499 | |
* | Urban Outfitters Inc. | 52,987 | 1,492 |
* | LKQ Corp. | 55,929 | 1,459 |
Leggett & Platt Inc. | 59,141 | 1,442 | |
* | Dick’s Sporting Goods Inc. | 36,976 | 1,422 |
* | Mohawk Industries Inc. | 23,540 | 1,412 |
* | Dollar General Corp. | 41,348 | 1,401 |
Williams-Sonoma Inc. | 38,261 | 1,396 | |
Gannett Co. Inc. | 96,833 | 1,387 | |
DR Horton Inc. | 116,021 | 1,337 | |
Harman International | |||
Industries Inc. | 28,223 | 1,286 | |
*,^ | Sears Holdings Corp. | 17,679 | 1,263 |
* | Toll Brothers Inc. | 60,618 | 1,257 |
Lennar Corp. Class A | 62,858 | 1,141 |
Market | |||
Value | |||
Shares | ($000) | ||
Guess? Inc. | 26,096 | 1,098 | |
* | Pulte Group Inc. | 138,897 | 1,064 |
Weight Watchers | |||
International Inc. | 13,343 | 1,007 | |
American Eagle | |||
Outfitters Inc. | 71,185 | 908 | |
Washington Post Co. | |||
Class B | 2,094 | 877 | |
* | ITT Educational | ||
Services Inc. | 9,799 | 767 | |
News Corp. Class B | 42,324 | 765 | |
* | Hyatt Hotels Corp. | ||
Class A | 17,994 | 734 | |
* | Lamar Advertising Co. | ||
Class A | 25,094 | 687 | |
* | AutoNation Inc. | 18,147 | 664 |
* | Clear Channel Outdoor | ||
Holdings Inc. Class A | 15,789 | 200 | |
* | Krispy Kreme | ||
Doughnuts Inc. | |||
Warrants Exp. | |||
03/02/2012 | 20 | — | |
600,428 | |||
Consumer Staples (10.0%) | |||
Procter & Gamble Co. | 1,130,639 | 71,875 | |
Coca-Cola Co. | 833,628 | 56,095 | |
Philip Morris | |||
International Inc. | 725,538 | 48,444 | |
PepsiCo Inc. | 640,493 | 45,110 | |
Wal-Mart Stores Inc. | 790,917 | 42,029 | |
Kraft Foods Inc. | 670,554 | 23,623 | |
Altria Group Inc. | 844,263 | 22,297 | |
CVS Caremark Corp. | 552,187 | 20,751 | |
Colgate-Palmolive Co. | 199,435 | 17,432 | |
Walgreen Co. | 372,282 | 15,807 | |
Costco Wholesale Corp. | 176,252 | 14,319 | |
Kimberly-Clark Corp. | 163,317 | 10,870 | |
General Mills Inc. | 256,487 | 9,546 | |
Archer-Daniels- | |||
Midland Co. | 257,061 | 7,750 | |
Sysco Corp. | 235,031 | 7,328 | |
HJ Heinz Co. | 129,445 | 6,897 | |
Lorillard Inc. | 58,793 | 6,401 | |
Kroger Co. | 243,640 | 6,042 | |
Kellogg Co. | 103,126 | 5,705 | |
Mead Johnson | |||
Nutrition Co. | 82,561 | 5,577 | |
Reynolds American Inc. | 141,084 | 5,227 | |
Estee Lauder Cos. Inc. | |||
Class A | 48,934 | 5,147 | |
Avon Products Inc. | 173,419 | 4,856 | |
* | Green Mountain Coffee | ||
Roasters Inc. | 51,588 | 4,605 | |
ConAgra Foods Inc. | 175,718 | 4,535 | |
Sara Lee Corp. | 238,478 | 4,529 |
51
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Bunge Ltd. | 58,479 | 4,032 | |
Coca-Cola Enterprises Inc. | 133,192 | 3,886 | |
Hershey Co. | 67,243 | 3,823 | |
Dr Pepper Snapple | |||
Group Inc. | 90,405 | 3,791 | |
Whole Foods Market Inc. | 59,590 | 3,781 | |
Clorox Co. | 55,498 | 3,743 | |
JM Smucker Co. | 48,079 | 3,675 | |
Safeway Inc. | 148,556 | 3,472 | |
Molson Coors | |||
Brewing Co. Class B | 65,825 | 2,945 | |
Campbell Soup Co. | 80,788 | 2,791 | |
Herbalife Ltd. | 47,654 | 2,747 | |
Brown-Forman Corp. | |||
Class B | 34,016 | 2,541 | |
* | Hansen Natural Corp. | 30,573 | 2,475 |
McCormick & Co. Inc. | 48,652 | 2,412 | |
Tyson Foods Inc. Class A | 124,081 | 2,410 | |
Church & Dwight Co. Inc. | 57,522 | 2,332 | |
* | Energizer Holdings Inc. | 28,550 | 2,066 |
* | Ralcorp Holdings Inc. | 22,248 | 1,926 |
Hormel Foods Corp. | 59,168 | 1,764 | |
* | Constellation Brands Inc. | ||
Class A | 75,010 | 1,562 | |
* | Smithfield Foods Inc. | 60,298 | 1,319 |
* | Dean Foods Co. | 73,994 | 908 |
533,198�� | |||
Energy (12.5%) | |||
Exxon Mobil Corp. | 2,001,684 | 162,897 | |
Chevron Corp. | 810,357 | 83,337 | |
Schlumberger Ltd. | 549,445 | 47,472 | |
ConocoPhillips | 548,190 | 41,218 | |
Occidental | |||
Petroleum Corp. | 328,119 | 34,137 | |
Apache Corp. | 154,591 | 19,075 | |
Halliburton Co. | 368,709 | 18,804 | |
Anadarko Petroleum Corp. | 200,398 | 15,383 | |
Marathon Oil Corp. | 286,804 | 15,109 | |
National Oilwell Varco Inc. | 170,041 | 13,299 | |
Devon Energy Corp. | 163,797 | 12,909 | |
Baker Hughes Inc. | 175,347 | 12,723 | |
EOG Resources Inc. | 102,596 | 10,726 | |
Hess Corp. | 122,625 | 9,167 | |
Chesapeake Energy Corp. | 264,116 | 7,842 | |
Spectra Energy Corp. | 261,645 | 7,172 | |
Williams Cos. Inc. | 236,415 | 7,152 | |
Peabody Energy Corp. | 109,159 | 6,431 | |
Noble Energy Inc. | 70,874 | 6,352 | |
* | Southwestern Energy Co. | 140,260 | 6,014 |
Valero Energy Corp. | 229,510 | 5,869 | |
El Paso Corp. | 284,306 | 5,743 | |
* | Weatherford | ||
International Ltd. | 299,336 | 5,613 | |
* | Cameron | ||
International Corp. | 98,709 | 4,964 |
Market | |||
Value | |||
Shares | ($000) | ||
Murphy Oil Corp. | 73,932 | 4,854 | |
Consol Energy Inc. | 91,246 | 4,424 | |
* | FMC Technologies Inc. | 96,910 | 4,341 |
* | Alpha Natural | ||
Resources Inc. | 91,461 | 4,156 | |
Noble Corp. | 101,743 | 4,010 | |
Pioneer Natural | |||
Resources Co. | 42,300 | 3,789 | |
* | Newfield Exploration Co. | 54,252 | 3,690 |
* | Concho Resources Inc. | 39,518 | 3,630 |
Range Resources Corp. | 64,802 | 3,596 | |
* | Denbury Resources Inc. | 161,292 | 3,226 |
Cimarex Energy Co. | 34,545 | 3,106 | |
* | Petrohawk Energy Corp. | 122,014 | 3,010 |
EQT Corp. | 57,207 | 3,004 | |
QEP Resources Inc. | 71,113 | 2,975 | |
Helmerich & Payne Inc. | 42,941 | 2,839 | |
* | Nabors Industries Ltd. | 115,153 | 2,837 |
* | Ultra Petroleum Corp. | 61,584 | 2,821 |
Cabot Oil & Gas Corp. | 42,140 | 2,794 | |
* | Whiting Petroleum Corp. | 47,720 | 2,716 |
Arch Coal Inc. | 85,106 | 2,269 | |
* | Kinder Morgan | ||
Management LLC | 33,951 | 2,227 | |
* | Plains Exploration & | ||
Production Co. | 56,515 | 2,154 | |
Core Laboratories NV | 18,220 | 2,032 | |
Sunoco Inc. | 48,713 | 2,032 | |
* | Rowan Cos. Inc. | 50,974 | 1,978 |
Diamond Offshore | |||
Drilling Inc. | 28,073 | 1,977 | |
Patterson-UTI Energy Inc. | 62,240 | 1,967 | |
Southern Union Co. | 47,829 | 1,920 | |
SM Energy Co. | 25,685 | 1,887 | |
* | McDermott | ||
International Inc. | 94,225 | 1,867 | |
Oceaneering | |||
International Inc. | 43,694 | 1,770 | |
* | Dresser-Rand Group Inc. | 32,552 | 1,750 |
Holly Corp. | 24,160 | 1,677 | |
Energen Corp. | 29,148 | 1,647 | |
* | SandRidge Energy Inc. | 149,200 | 1,590 |
* | Tesoro Corp. | 57,790 | 1,324 |
Kinder Morgan Inc. | 44,337 | 1,274 | |
* | Continental | ||
Resources Inc. | 18,159 | 1,179 | |
* | Forest Oil Corp. | 43,636 | 1,165 |
EXCO Resources Inc. | 51,790 | 914 | |
* | Cobalt International | ||
Energy Inc. | 47,020 | 641 | |
* | Quicksilver | ||
Resources Inc. | 37,930 | 560 | |
663,027 |
52
Large-Cap Index Fund
Market | ||
Value | ||
Shares | ($000) | |
Financials (14.8%) | ||
JPMorgan Chase & Co. | 1,608,116 | 65,836 |
Wells Fargo & Co. | 2,020,258 | 56,688 |
Citigroup Inc. | 1,172,932 | 48,841 |
Bank of America Corp. | 4,085,676 | 44,779 |
* Berkshire Hathaway Inc. | ||
Class B | 362,955 | 28,089 |
Goldman Sachs | ||
Group Inc. | 199,640 | 26,570 |
American Express Co. | 436,817 | 22,583 |
US Bancorp | 775,666 | 19,787 |
MetLife Inc. | 425,849 | 18,682 |
Simon Property | ||
Group Inc. | 118,362 | 13,757 |
Morgan Stanley | 561,614 | 12,923 |
Bank of New York | ||
Mellon Corp. | 501,381 | 12,845 |
PNC Financial Services | ||
Group Inc. | 212,308 | 12,656 |
Prudential Financial Inc. | 195,391 | 12,425 |
Travelers Cos. Inc. | 174,040 | 10,160 |
Capital One | ||
Financial Corp. | 182,685 | 9,439 |
State Street Corp. | 202,818 | 9,145 |
ACE Ltd. | 135,351 | 8,909 |
Aflac Inc. | 189,710 | 8,856 |
Franklin Resources Inc. | 63,002 | 8,272 |
BB&T Corp. | 280,193 | 7,520 |
CME Group Inc. | 25,689 | 7,491 |
Chubb Corp. | 119,071 | 7,455 |
BlackRock Inc. | 37,228 | 7,141 |
Equity Residential | 118,640 | 7,118 |
Marsh & | ||
McLennan Cos. Inc. | 219,490 | 6,846 |
Charles Schwab Corp. | 412,534 | 6,786 |
Public Storage | 58,089 | 6,623 |
ProLogis Inc. | 183,307 | 6,570 |
Allstate Corp. | 213,705 | 6,524 |
T Rowe Price Group Inc. | 104,456 | 6,303 |
Vornado Realty Trust | 66,750 | 6,220 |
AON Corp. | 120,906 | 6,203 |
Boston Properties Inc. | 57,517 | 6,106 |
HCP Inc. | 161,947 | 5,942 |
Discover Financial | ||
Services | 219,908 | 5,883 |
Annaly Capital | ||
Management Inc. | 324,388 | 5,852 |
Ameriprise Financial Inc. | 99,439 | 5,736 |
Loews Corp. | 133,529 | 5,620 |
American International | ||
Group Inc. | 191,290 | 5,609 |
SunTrust Banks Inc. | 216,029 | 5,574 |
Progressive Corp. | 252,944 | 5,408 |
Weyerhaeuser Co. | 216,340 | 4,729 |
Fifth Third Bancorp | 370,202 | 4,720 |
Market | |||
Value | |||
Shares | ($000) | ||
Host Hotels & | |||
Resorts Inc. | 274,419 | 4,651 | |
Hartford Financial | |||
Services Group Inc. | 170,408 | 4,494 | |
AvalonBay | |||
Communities Inc. | 34,782 | 4,466 | |
Invesco Ltd. | 185,725 | 4,346 | |
Northern Trust Corp. | 87,970 | 4,043 | |
M&T Bank Corp. | 45,345 | 3,988 | |
Principal Financial | |||
Group Inc. | 129,452 | 3,938 | |
* | Intercontinental- | ||
Exchange Inc. | 29,613 | 3,693 | |
Health Care REIT Inc. | 69,496 | 3,644 | |
Lincoln National Corp. | 127,442 | 3,631 | |
NYSE Euronext | 105,397 | 3,612 | |
SLM Corp. | 212,529 | 3,573 | |
Ventas Inc. | 65,743 | 3,465 | |
* | CIT Group Inc. | 76,777 | 3,398 |
Moody’s Corp. | 83,363 | 3,197 | |
KeyCorp | 383,579 | 3,195 | |
Unum Group | 124,993 | 3,185 | |
Regions Financial Corp. | 507,341 | 3,146 | |
Kimco Realty Corp. | 163,995 | 3,057 | |
* | CB Richard Ellis | ||
Group Inc. Class A | 117,536 | 2,951 | |
General Growth | |||
Properties Inc. | 174,694 | 2,916 | |
Leucadia National Corp. | 83,778 | 2,857 | |
Macerich Co. | 52,587 | 2,813 | |
XL Group plc Class A | 125,434 | 2,757 | |
Willis Group Holdings plc | 65,625 | 2,698 | |
Plum Creek | |||
Timber Co. Inc. | 65,294 | 2,647 | |
SL Green Realty Corp. | 31,894 | 2,643 | |
New York Community | |||
Bancorp Inc. | 175,753 | 2,635 | |
Comerica Inc. | 71,323 | 2,466 | |
Huntington | |||
Bancshares Inc. | 348,246 | 2,285 | |
Digital Realty Trust Inc. | 36,871 | 2,278 | |
Rayonier Inc. | 32,785 | 2,143 | |
* | Affiliated Managers | ||
Group Inc. | 20,867 | 2,117 | |
Nationwide Health | |||
Properties Inc. | 51,083 | 2,115 | |
Federal Realty | |||
Investment Trust | 24,823 | 2,114 | |
* | Genworth Financial Inc. | ||
Class A | 197,687 | 2,032 | |
Torchmark Corp. | 31,448 | 2,017 | |
People’s United | |||
Financial Inc. | 146,167 | 1,965 | |
Legg Mason Inc. | 58,378 | 1,912 |
53
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Alexandria Real Estate | |||
Equities Inc. | 24,469 | 1,894 | |
Cincinnati Financial Corp. | 62,512 | 1,824 | |
* | MSCI Inc. Class A | 48,301 | 1,820 |
UDR Inc. | 73,702 | 1,809 | |
TD Ameritrade | |||
Holding Corp. | 92,626 | 1,807 | |
Reinsurance Group of | |||
America Inc. Class A | 29,623 | 1,803 | |
Everest Re Group Ltd. | 22,036 | 1,801 | |
PartnerRe Ltd. | 25,955 | 1,787 | |
Zions Bancorporation | 73,815 | 1,772 | |
* | Arch Capital Group Ltd. | 54,416 | 1,737 |
Marshall & Ilsley Corp. | 213,350 | 1,700 | |
Realty Income Corp. | 50,767 | 1,700 | |
Jones Lang LaSalle Inc. | 17,355 | 1,637 | |
WR Berkley Corp. | 48,470 | 1,572 | |
Hudson City Bancorp Inc. | 191,246 | 1,566 | |
Liberty Property Trust | 46,259 | 1,507 | |
RenaissanceRe | |||
Holdings Ltd. | 21,343 | 1,493 | |
* | Markel Corp. | 3,725 | 1,478 |
Assurant Inc. | 40,431 | 1,466 | |
HCC Insurance | |||
Holdings Inc. | 46,418 | 1,462 | |
Regency Centers Corp. | 33,090 | 1,455 | |
Eaton Vance Corp. | 47,616 | 1,439 | |
Chimera Investment Corp. | 414,338 | 1,434 | |
Duke Realty Corp. | 101,904 | 1,428 | |
Piedmont Office Realty | |||
Trust Inc. Class A | 69,731 | 1,422 | |
Axis Capital Holdings Ltd. | 45,091 | 1,396 | |
Raymond James | |||
Financial Inc. | 43,266 | 1,391 | |
SEI Investments Co. | 60,077 | 1,352 | |
Fidelity National | |||
Financial Inc. Class A | 85,811 | 1,351 | |
Commerce | |||
Bancshares Inc. | 29,913 | 1,286 | |
Cullen/Frost Bankers Inc. | 22,323 | 1,269 | |
* | NASDAQ OMX Group Inc. | 49,841 | 1,261 |
Brown & Brown Inc. | 49,006 | 1,258 | |
Transatlantic Holdings Inc. | 25,216 | 1,236 | |
White Mountains | |||
Insurance Group Ltd. | 2,904 | 1,220 | |
Hospitality Properties | |||
Trust | 49,905 | 1,210 | |
Old Republic | |||
International Corp. | 99,444 | 1,168 | |
Weingarten Realty | |||
Investors | 46,246 | 1,164 | |
Jefferies Group Inc. | 55,945 | 1,141 | |
American Financial | |||
Group Inc. | 31,886 | 1,138 | |
Assured Guaranty Ltd. | 66,772 | 1,089 |
Market | |||
Value | |||
Shares | ($000) | ||
City National Corp. | 19,048 | 1,033 | |
First Horizon | |||
National Corp. | 106,381 | 1,015 | |
Federated Investors Inc. | |||
Class B | 37,854 | 902 | |
Validus Holdings Ltd. | 25,723 | 796 | |
Janus Capital Group Inc. | 71,419 | 674 | |
BOK Financial Corp. | 11,040 | 605 | |
*,^ | St. Joe Co. | 28,066 | 585 |
CBOE Holdings Inc. | 20,964 | 516 | |
* | LPL Investment | ||
Holdings Inc. | 11,048 | 378 | |
* | TFS Financial Corp. | 37,477 | 363 |
787,914 | |||
Health Care (11.6%) | |||
Johnson & Johnson | 1,104,157 | 73,449 | |
Pfizer Inc. | 3,227,445 | 66,485 | |
Merck & Co. Inc. | 1,244,647 | 43,924 | |
Abbott Laboratories | 624,772 | 32,875 | |
UnitedHealth Group Inc. | 441,467 | 22,771 | |
* | Amgen Inc. | 376,302 | 21,957 |
Bristol-Myers Squibb Co. | 687,072 | 19,898 | |
Medtronic Inc. | 433,235 | 16,693 | |
Eli Lilly & Co. | 420,474 | 15,780 | |
Baxter International Inc. | 233,934 | 13,963 | |
* | Gilead Sciences Inc. | 321,092 | 13,296 |
WellPoint Inc. | 151,681 | 11,948 | |
* | Celgene Corp. | 189,889 | 11,454 |
* | Express Scripts Inc. | 202,571 | 10,935 |
Covidien plc | 199,448 | 10,617 | |
Allergan Inc. | 123,474 | 10,279 | |
* | Thermo Fisher | ||
Scientific Inc. | 157,736 | 10,157 | |
* | Biogen Idec Inc. | 92,409 | 9,880 |
* | Medco Health | ||
Solutions Inc. | 163,176 | 9,223 | |
McKesson Corp. | 102,580 | 8,581 | |
Becton Dickinson and Co. | 89,186 | 7,685 | |
* | Agilent Technologies Inc. | 140,542 | 7,183 |
Stryker Corp. | 118,368 | 6,947 | |
Aetna Inc. | 155,092 | 6,838 | |
St. Jude Medical Inc. | 138,142 | 6,587 | |
Cardinal Health Inc. | 141,137 | 6,410 | |
* | Intuitive Surgical Inc. | 15,675 | 5,833 |
CIGNA Corp. | 109,414 | 5,627 | |
Humana Inc. | 67,991 | 5,476 | |
* | Zimmer Holdings Inc. | 77,534 | 4,900 |
AmerisourceBergen Corp. | |||
Class A | 110,597 | 4,579 | |
* | Forest Laboratories Inc. | 115,444 | 4,542 |
* | Mylan Inc. | 176,342 | 4,350 |
* | Vertex | ||
Pharmaceuticals Inc. | 82,508 | 4,290 | |
* | Boston Scientific Corp. | 614,395 | 4,245 |
Quest Diagnostics Inc. | 69,038 | 4,080 |
54
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Edwards | ||
Lifesciences Corp. | 46,394 | 4,045 | |
* | Laboratory Corp. of | ||
America Holdings | 41,070 | 3,975 | |
* | Illumina Inc. | 51,541 | 3,873 |
* | Hospira Inc. | 67,276 | 3,812 |
* | Life Technologies Corp. | 72,621 | 3,781 |
CR Bard Inc. | 34,369 | 3,776 | |
* | Waters Corp. | 36,844 | 3,527 |
* | Watson | ||
Pharmaceuticals Inc. | 50,831 | 3,494 | |
* | Cerner Corp. | 57,166 | 3,493 |
* | Alexion | ||
Pharmaceuticals Inc. | 73,662 | 3,464 | |
* | Varian Medical | ||
Systems Inc. | 48,514 | 3,397 | |
* | DaVita Inc. | 38,743 | 3,356 |
Perrigo Co. | 33,580 | 2,951 | |
* | Henry Schein Inc. | 37,150 | 2,660 |
* | CareFusion Corp. | 90,017 | 2,446 |
* | Cephalon Inc. | 30,587 | 2,444 |
* | Dendreon Corp. | 59,565 | 2,349 |
* | Mettler-Toledo | ||
International Inc. | 13,076 | 2,206 | |
* | Coventry Health Care Inc. | 60,455 | 2,205 |
DENTSPLY | |||
International Inc. | 57,430 | 2,187 | |
* | HCA Holdings Inc. | 64,726 | 2,136 |
* | Hologic Inc. | 105,275 | 2,123 |
* | ResMed Inc. | 61,846 | 1,914 |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 47,362 | 1,903 | |
Universal Health | |||
Services Inc. Class B | 36,359 | 1,874 | |
* | Human Genome | ||
Sciences Inc. | 76,247 | 1,871 | |
* | IDEXX Laboratories Inc. | 23,182 | 1,798 |
* | Regeneron | ||
Pharmaceuticals Inc. | 28,358 | 1,608 | |
* | Kinetic Concepts Inc. | 26,226 | 1,511 |
Omnicare Inc. | 47,245 | 1,507 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 76,801 | 1,491 | |
* | Covance Inc. | 24,443 | 1,451 |
Warner Chilcott plc | |||
Class A | 56,328 | 1,359 | |
* | Gen-Probe Inc. | 19,551 | 1,352 |
Patterson Cos. Inc. | 39,647 | 1,304 | |
* | Alere Inc. | 32,571 | 1,193 |
Pharmaceutical Product | |||
Development Inc. | 44,279 | 1,188 | |
Lincare Holdings Inc. | 38,914 | 1,139 | |
* | Community Health | ||
Systems Inc. | 37,544 | 964 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Bio-Rad Laboratories Inc. | ||
Class A | 7,862 | 938 | |
* | Charles River Laboratories | ||
International Inc. | 19,438 | 790 | |
618,592 | |||
Industrials (11.0%) | |||
General Electric Co. | 4,286,357 | 80,841 | |
United Technologies Corp. | 353,225 | 31,264 | |
Caterpillar Inc. | 257,810 | 27,446 | |
3M Co. | 272,956 | 25,890 | |
United Parcel Service Inc. | |||
Class B | 296,577 | 21,629 | |
Boeing Co. | 282,445 | 20,881 | |
Union Pacific Corp. | 198,217 | 20,694 | |
Honeywell | |||
International Inc. | 300,711 | 17,919 | |
Emerson Electric Co. | 304,431 | 17,124 | |
Deere & Co. | 170,042 | 14,020 | |
Danaher Corp. | 226,236 | 11,988 | |
CSX Corp. | 448,625 | 11,763 | |
FedEx Corp. | 120,776 | 11,456 | |
Norfolk Southern Corp. | 143,848 | 10,779 | |
Illinois Tool Works Inc. | 180,958 | 10,222 | |
Lockheed Martin Corp. | 120,129 | 9,727 | |
Precision Castparts Corp. | 57,959 | 9,543 | |
General Dynamics Corp. | 127,797 | 9,523 | |
Tyco International Ltd. | 191,113 | 9,447 | |
Cummins Inc. | 75,883 | 7,853 | |
Northrop Grumman Corp. | 111,619 | 7,741 | |
Raytheon Co. | 145,151 | 7,236 | |
Waste Management Inc. | 182,206 | 6,791 | |
PACCAR Inc. | 132,589 | 6,774 | |
Eaton Corp. | 128,974 | 6,636 | |
Ingersoll-Rand plc | 132,965 | 6,038 | |
Parker Hannifin Corp. | 65,364 | 5,866 | |
CH Robinson | |||
Worldwide Inc. | 67,020 | 5,284 | |
Dover Corp. | 75,280 | 5,104 | |
Rockwell Automation Inc. | 57,442 | 4,984 | |
Goodrich Corp. | 50,663 | 4,838 | |
Stanley Black & | |||
Decker Inc. | 64,111 | 4,619 | |
Fluor Corp. | 71,285 | 4,609 | |
Expeditors International | |||
of Washington Inc. | 85,656 | 4,385 | |
ITT Corp. | 70,444 | 4,151 | |
Fastenal Co. | 112,986 | 4,066 | |
Joy Global Inc. | 42,271 | 4,026 | |
L-3 Communications | |||
Holdings Inc. | 45,676 | 3,994 | |
Cooper Industries plc | 66,333 | 3,958 | |
Rockwell Collins Inc. | 62,565 | 3,860 | |
Republic Services Inc. | |||
Class A | 123,945 | 3,824 |
55
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
WW Grainger Inc. | 23,823 | 3,660 | |
Southwest Airlines Co. | 319,231 | 3,646 | |
Roper Industries Inc. | 38,493 | 3,206 | |
* | Delta Air Lines Inc. | 336,778 | 3,088 |
* | United Continental | ||
Holdings Inc. | 132,592 | 3,001 | |
* | Stericycle Inc. | 32,741 | 2,918 |
AMETEK Inc. | 64,883 | 2,913 | |
Bucyrus International Inc. | |||
Class A | 31,065 | 2,847 | |
Textron Inc. | 111,415 | 2,631 | |
Pall Corp. | 46,634 | 2,622 | |
Iron Mountain Inc. | 72,739 | 2,480 | |
Flowserve Corp. | 22,548 | 2,478 | |
* | Kansas City Southern | 41,467 | 2,460 |
KBR Inc. | 61,078 | 2,302 | |
* | Jacobs Engineering | ||
Group Inc. | 50,998 | 2,206 | |
Pitney Bowes Inc. | 82,218 | 1,890 | |
* | AGCO Corp. | 38,107 | 1,881 |
JB Hunt Transport | |||
Services Inc. | 39,244 | 1,848 | |
* | Owens Corning | 47,883 | 1,788 |
Donaldson Co. Inc. | 29,452 | 1,787 | |
Manpower Inc. | 33,122 | 1,777 | |
Masco Corp. | 145,262 | 1,748 | |
Cintas Corp. | 52,787 | 1,744 | |
* | Hertz Global Holdings Inc. | 108,842 | 1,728 |
* | Quanta Services Inc. | 85,190 | 1,721 |
Equifax Inc. | 49,538 | 1,720 | |
* | Verisk Analytics Inc. | ||
Class A | 49,066 | 1,699 | |
Timken Co. | 33,653 | 1,696 | |
SPX Corp. | 20,466 | 1,692 | |
RR Donnelley & Sons Co. | 83,385 | 1,635 | |
Pentair Inc. | 39,773 | 1,605 | |
Avery Dennison Corp. | 41,049 | 1,586 | |
* | Navistar | ||
International Corp. | 27,686 | 1,563 | |
* | Foster Wheeler AG | 50,410 | 1,531 |
Dun & Bradstreet Corp. | 20,084 | 1,517 | |
Robert Half | |||
International Inc. | 56,081 | 1,516 | |
* | URS Corp. | 32,539 | 1,456 |
Towers Watson & Co. | |||
Class A | 22,060 | 1,450 | |
* | IHS Inc. Class A | 16,919 | 1,411 |
Hubbell Inc. Class B | 21,648 | 1,406 | |
* | Sensata Technologies | ||
Holding NV | 35,241 | 1,327 | |
* | Terex Corp. | 44,077 | 1,254 |
* | Babcock & Wilcox Co. | 44,818 | 1,242 |
MSC Industrial Direct Co. | |||
Class A | 18,659 | 1,237 | |
* | Aecom Technology Corp. | 43,158 | 1,180 |
Market | |||
Value | |||
Shares | ($000) | ||
Ryder System Inc. | 20,685 | 1,176 | |
* | Nielsen Holdings NV | 36,167 | 1,127 |
* | Copart Inc. | 24,107 | 1,123 |
Harsco Corp. | 32,606 | 1,063 | |
* | Shaw Group Inc. | 34,391 | 1,039 |
Alliant Techsystems Inc. | 13,566 | 968 | |
* | Spirit Aerosystems | ||
Holdings Inc. Class A | 43,423 | 955 | |
Covanta Holding Corp. | 54,253 | 895 | |
587,232 | |||
Information Technology (18.1%) | |||
* | Apple Inc. | 371,897 | 124,835 |
International Business | |||
Machines Corp. | 492,355 | 84,463 | |
Microsoft Corp. | 3,052,625 | 79,368 | |
Oracle Corp. | 1,631,705 | 53,699 | |
* | Google Inc. Class A | 101,279 | 51,286 |
Intel Corp. | 2,215,424 | 49,094 | |
Qualcomm Inc. | 663,577 | 37,684 | |
Cisco Systems Inc. | 2,231,616 | 34,835 | |
Hewlett-Packard Co. | 877,648 | 31,946 | |
* | EMC Corp. | 834,853 | 23,000 |
Visa Inc. Class A | 199,742 | 16,830 | |
Accenture plc Class A | 258,667 | 15,629 | |
Texas Instruments Inc. | 473,184 | 15,535 | |
* | eBay Inc. | 471,758 | 15,224 |
Mastercard Inc. Class A | 44,932 | 13,540 | |
* | Dell Inc. | 701,381 | 11,692 |
Corning Inc. | 632,124 | 11,473 | |
Automatic Data | |||
Processing Inc. | 200,423 | 10,558 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 122,883 | 9,012 | |
* | NetApp Inc. | 145,955 | 7,703 |
* | Yahoo! Inc. | 501,699 | 7,546 |
* | Salesforce.com Inc. | 50,414 | 7,511 |
Applied Materials Inc. | 532,150 | 6,923 | |
* | Juniper Networks Inc. | 215,733 | 6,796 |
TE Connectivity Ltd. | 179,700 | 6,606 | |
Broadcom Corp. Class A | 195,554 | 6,578 | |
* | Adobe Systems Inc. | 204,182 | 6,421 |
* | Intuit Inc. | 119,007 | 6,172 |
* | Symantec Corp. | 307,853 | 6,071 |
* | Citrix Systems Inc. | 75,714 | 6,057 |
Altera Corp. | 129,097 | 5,984 | |
Xerox Corp. | 564,416 | 5,876 | |
* | Motorola Solutions Inc. | 122,267 | 5,629 |
Western Union Co. | 260,843 | 5,225 | |
Analog Devices Inc. | 120,838 | 4,730 | |
* | Teradata Corp. | 67,578 | 4,068 |
Paychex Inc. | 131,319 | 4,034 | |
* | SanDisk Corp. | 95,465 | 3,962 |
* | BMC Software Inc. | 72,068 | 3,942 |
Xilinx Inc. | 105,355 | 3,842 | |
Amphenol Corp. Class A | 71,008 | 3,834 |
56
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
CA Inc. | 164,573 | 3,759 | |
* | NVIDIA Corp. | 234,382 | 3,735 |
* | Fiserv Inc. | 58,951 | 3,692 |
* | F5 Networks Inc. | 32,586 | 3,593 |
* | Red Hat Inc. | 77,911 | 3,576 |
* | Autodesk Inc. | 92,340 | 3,564 |
* | Western Digital Corp. | 93,443 | 3,399 |
* | VMware Inc. Class A | 33,404 | 3,348 |
* | Marvell Technology | ||
Group Ltd. | 223,081 | 3,294 | |
Avago Technologies Ltd. | 84,598 | 3,215 | |
* | Electronic Arts Inc. | 134,924 | 3,184 |
Maxim Integrated | |||
Products Inc. | 119,626 | 3,058 | |
Linear Technology Corp. | 91,528 | 3,022 | |
Fidelity National | |||
Information Services Inc. | 97,712 | 3,009 | |
*,^ | First Solar Inc. | 22,540 | 2,981 |
Seagate Technology plc | 182,707 | 2,952 | |
Microchip Technology Inc. | 75,997 | 2,881 | |
KLA-Tencor Corp. | 67,532 | 2,734 | |
* | Micron Technology Inc. | 362,079 | 2,708 |
* | Atmel Corp. | 184,895 | 2,601 |
* | Rovi Corp. | 45,008 | 2,582 |
Activision Blizzard Inc. | 214,579 | 2,506 | |
* | Motorola Mobility | ||
Holdings Inc. | 112,881 | 2,488 | |
* | Informatica Corp. | 42,576 | 2,488 |
National | |||
Semiconductor Corp. | 97,310 | 2,395 | |
* | Akamai Technologies Inc. | 75,572 | 2,378 |
Computer Sciences Corp. | 62,568 | 2,375 | |
Harris Corp. | 51,677 | 2,329 | |
* | Riverbed Technology Inc. | 57,904 | 2,292 |
* | Lam Research Corp. | 49,904 | 2,210 |
VeriSign Inc. | 65,942 | 2,206 | |
FLIR Systems Inc. | 63,992 | 2,157 | |
* | Nuance | ||
Communications Inc. | 97,051 | 2,084 | |
* | ANSYS Inc. | 37,080 | 2,027 |
* | SAIC Inc. | 120,021 | 2,019 |
* | Flextronics | ||
International Ltd. | 306,628 | 1,969 | |
* | Avnet Inc. | 61,619 | 1,964 |
* | Trimble Navigation Ltd. | 49,287 | 1,954 |
* | Alliance Data | ||
Systems Corp. | 20,715 | 1,949 | |
* | TIBCO Software Inc. | 66,957 | 1,943 |
* | Arrow Electronics Inc. | 46,410 | 1,926 |
* | Equinix Inc. | 18,698 | 1,889 |
* | ON Semiconductor Corp. | 178,287 | 1,867 |
Factset Research | |||
Systems Inc. | 17,793 | 1,821 | |
* | Rackspace Hosting Inc. | 41,719 | 1,783 |
* | LSI Corp. | 248,505 | 1,769 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Skyworks Solutions Inc. | 74,814 | 1,719 |
Global Payments Inc. | 32,222 | 1,643 | |
* | Advanced Micro | ||
Devices Inc. | 234,948 | 1,642 | |
Jabil Circuit Inc. | 79,160 | 1,599 | |
* | Acme Packet Inc. | 22,624 | 1,587 |
* | VeriFone Systems Inc. | 35,683 | 1,582 |
* | Synopsys Inc. | 60,238 | 1,549 |
* | Cree Inc. | 44,172 | 1,484 |
* | IAC/InterActiveCorp | 34,043 | 1,299 |
Total System Services Inc. | 66,433 | 1,234 | |
* | Brocade Communications | ||
Systems Inc. | 190,398 | 1,230 | |
Broadridge Financial | |||
Solutions Inc. | 50,587 | 1,218 | |
* | Ingram Micro Inc. | 63,331 | 1,149 |
* | Lexmark International Inc. | ||
Class A | 31,841 | 932 | |
* | Dolby Laboratories Inc. | ||
Class A | 21,543 | 915 | |
* | AOL Inc. | 43,164 | 857 |
* | MEMC Electronic | ||
Materials Inc. | 93,101 | 794 | |
Lender Processing | |||
Services Inc. | 34,900 | 730 | |
Molex Inc. Class A | 30,473 | 655 | |
Molex Inc. | 25,171 | 649 | |
Tellabs Inc. | 137,919 | 636 | |
* | Freescale Semiconductor | ||
Holdings I Ltd. | 19,436 | 357 | |
960,348 | |||
Materials (4.2%) | |||
EI du Pont de | |||
Nemours & Co. | 372,000 | 20,107 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 379,716 | 20,087 | |
Dow Chemical Co. | 471,417 | 16,971 | |
Monsanto Co. | 216,605 | 15,712 | |
Praxair Inc. | 122,469 | 13,274 | |
Newmont Mining Corp. | 196,289 | 10,594 | |
Air Products & | |||
Chemicals Inc. | 86,713 | 8,288 | |
Mosaic Co. | 111,307 | 7,539 | |
Alcoa Inc. | 428,582 | 6,797 | |
PPG Industries Inc. | 64,843 | 5,887 | |
Cliffs Natural | |||
Resources Inc. | 58,422 | 5,401 | |
Ecolab Inc. | 93,925 | 5,295 | |
Nucor Corp. | 127,450 | 5,253 | |
International Paper Co. | 168,566 | 5,027 | |
LyondellBasell Industries | |||
NV Class A | 114,560 | 4,413 | |
CF Industries | |||
Holdings Inc. | 28,796 | 4,080 | |
Sigma-Aldrich Corp. | 49,261 | 3,615 |
57
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Lubrizol Corp. | 25,909 | 3,479 | |
Celanese Corp. Class A | 62,999 | 3,358 | |
Sherwin-Williams Co. | 36,783 | 3,085 | |
Eastman Chemical Co. | 28,538 | 2,913 | |
Walter Energy Inc. | 25,003 | 2,895 | |
United States Steel Corp. | 58,020 | 2,671 | |
Ball Corp. | 67,708 | 2,604 | |
Allegheny | |||
Technologies Inc. | 40,738 | 2,586 | |
FMC Corp. | 28,889 | 2,485 | |
* | Crown Holdings Inc. | 62,858 | 2,440 |
Albemarle Corp. | 35,185 | 2,435 | |
MeadWestvaco Corp. | 67,987 | 2,265 | |
Airgas Inc. | 32,270 | 2,260 | |
International Flavors & | |||
Fragrances Inc. | 32,387 | 2,081 | |
Ashland Inc. | 31,959 | 2,065 | |
Vulcan Materials Co. | 52,112 | 2,008 | |
Rock-Tenn Co. Class A | 26,844 | 1,781 | |
* | Owens-Illinois Inc. | 66,046 | 1,705 |
Sealed Air Corp. | 64,323 | 1,530 | |
Reliance Steel & | |||
Aluminum Co. | 30,204 | 1,500 | |
Nalco Holding Co. | 53,237 | 1,480 | |
Martin Marietta | |||
Materials Inc. | 18,455 | 1,476 | |
Bemis Co. Inc. | 43,248 | 1,461 | |
Huntsman Corp. | 77,428 | 1,459 | |
* | Molycorp Inc. | 23,787 | 1,452 |
Sonoco Products Co. | 40,519 | 1,440 | |
Steel Dynamics Inc. | 83,624 | 1,359 | |
Valspar Corp. | 37,319 | 1,346 | |
Scotts Miracle-Gro Co. | |||
Class A | 18,724 | 961 | |
Titanium Metals Corp. | 35,864 | 657 | |
Greif Inc. Class A | 9,563 | 622 | |
220,199 | |||
Telecommunication Services (3.0%) | |||
AT&T Inc. | 2,386,311 | 74,954 | |
Verizon | |||
Communications Inc. | 1,130,340 | 42,083 | |
CenturyLink Inc. | 242,100 | 9,788 | |
* | American Tower Corp. | ||
Class A | 160,409 | 8,394 | |
* | Sprint Nextel Corp. | 1,205,965 | 6,500 |
* | Crown Castle | ||
International Corp. | 117,342 | 4,786 | |
Frontier | |||
Communications Corp. | 400,824 | 3,235 | |
* | NII Holdings Inc. | 68,469 | 2,902 |
Windstream Corp. | 203,395 | 2,636 | |
* | SBA | ||
Communications Corp. | |||
Class A | 46,367 | 1,771 |
Market | |||
Value | |||
Shares | ($000) | ||
* | MetroPCS | ||
Communications Inc. | 100,723 | 1,734 | |
Telephone & | |||
Data Systems Inc. | 18,158 | 564 | |
Telephone & | |||
Data Systems Inc. - | |||
Special Common Shares | 10,594 | 285 | |
* | United States | ||
Cellular Corp. | 5,439 | 263 | |
*,^ | Clearwire Corp. Class A | 52,610 | 199 |
160,094 | |||
Utilities (3.4%) | |||
Southern Co. | 335,374 | 13,542 | |
Exelon Corp. | 267,252 | 11,449 | |
Dominion Resources Inc. | 234,541 | 11,321 | |
Duke Energy Corp. | 536,666 | 10,105 | |
NextEra Energy Inc. | 161,347 | 9,271 | |
FirstEnergy Corp. | 168,737 | 7,450 | |
American Electric | |||
Power Co. Inc. | 193,962 | 7,309 | |
PG&E Corp. | 159,846 | 6,718 | |
Public Service Enterprise | |||
Group Inc. | 204,081 | 6,661 | |
PPL Corp. | 227,909 | 6,343 | |
Consolidated Edison Inc. | 117,772 | 6,270 | |
Progress Energy Inc. | 118,450 | 5,687 | |
Entergy Corp. | 72,255 | 4,934 | |
Sempra Energy | 92,195 | 4,875 | |
Edison International | 124,884 | 4,839 | |
Xcel Energy Inc. | 194,728 | 4,732 | |
* | AES Corp. | 270,241 | 3,443 |
DTE Energy Co. | 68,349 | 3,419 | |
CenterPoint Energy Inc. | 162,871 | 3,152 | |
Oneok Inc. | 41,102 | 3,042 | |
Wisconsin Energy Corp. | 94,390 | 2,959 | |
Constellation Energy | |||
Group Inc. | 76,638 | 2,909 | |
Ameren Corp. | 97,069 | 2,799 | |
Northeast Utilities | 71,249 | 2,506 | |
* | NRG Energy Inc. | 99,926 | 2,456 |
NiSource Inc. | 112,717 | 2,283 | |
American Water | |||
Works Co. Inc. | 70,724 | 2,083 | |
National Fuel Gas Co. | 28,284 | 2,059 | |
* | Calpine Corp. | 125,527 | 2,025 |
CMS Energy Corp. | 101,722 | 2,003 | |
OGE Energy Corp. | 39,478 | 1,987 | |
Pinnacle West | |||
Capital Corp. | 43,920 | 1,958 | |
SCANA Corp. | 49,061 | 1,932 | |
NSTAR | 41,846 | 1,924 | |
Alliant Energy Corp. | 44,737 | 1,819 | |
Pepco Holdings Inc. | 90,801 | 1,782 | |
MDU Resources | |||
Group Inc. | 76,214 | 1,715 |
58
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Integrys Energy | |||
Group Inc. | 31,501 | 1,633 | |
TECO Energy Inc. | 82,368 | 1,556 | |
NV Energy Inc. | 95,099 | 1,460 | |
DPL Inc. | 48,120 | 1,451 | |
UGI Corp. | 44,872 | 1,431 | |
AGL Resources Inc. | 31,498 | 1,282 | |
Aqua America Inc. | 55,753 | 1,225 | |
181,799 | |||
Total Common Stocks | |||
(Cost $4,620,971) | 5,312,831 | ||
Temporary Cash Investments (0.3%)1 | |||
Money Market Fund (0.3%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, | |||
0.140% | 15,617,973 | 15,618 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Fannie Mae | ||
Discount Notes, | |||
0.060%, 8/8/11 | 100 | 100 | |
4,5 | Federal Home | ||
Loan Bank | |||
Discount Notes, | |||
0.100%, 10/11/11 | 400 | 400 | |
500 | |||
Total Temporary Cash Investments | |||
(Cost $16,118) | 16,118 | ||
Total Investments (100.2%) | |||
(Cost $4,637,089) | 5,328,949 | ||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | 12,365 | ||
Liabilities3 | (20,948) | ||
(8,583) | |||
Net Assets (100%) | 5,320,366 |
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 4,839,631 |
Overdistributed Net Investment Income | (2,727) |
Accumulated Net Realized Losses | (208,520) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 691,860 |
Futures Contracts | 122 |
Net Assets | 5,320,366 |
Investor Shares—Net Assets | |
Applicable to 13,872,727 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 339,655 |
Net Asset Value Per Share— | |
Investor Shares | $24.48 |
Admiral Shares—Net Assets | |
Applicable to 26,420,256 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 808,778 |
Net Asset Value Per Share— | |
Admiral Shares | $30.61 |
Signal Shares—Net Assets | |
Applicable to 19,060,878 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 508,909 |
Net Asset Value Per Share— | |
Signal Shares | $26.70 |
Institutional Shares—Net Assets | |
Applicable to 3,879,218 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 488,733 |
Net Asset Value Per Share— | |
Institutional Shares | $125.99 |
59
Large-Cap Index Fund | |
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 52,372,311 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,174,291 |
Net Asset Value Per Share— | |
ETF Shares | $60.61 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $5,112,000.
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 $5,158,000 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 $500,000 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.
60
Large-Cap Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 46,853 |
Interest1 | 10 |
Security Lending | 184 |
Total Income | 47,047 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 244 |
Management and Administrative—Investor Shares | 300 |
Management and Administrative—Admiral Shares | 284 |
Management and Administrative—Signal Shares | 141 |
Management and Administrative—Institutional Shares | 65 |
Management and Administrative—ETF Shares | 1,005 |
Marketing and Distribution—Investor Shares | 57 |
Marketing and Distribution—Admiral Shares | 63 |
Marketing and Distribution—Signal Shares | 65 |
Marketing and Distribution—Institutional Shares | 46 |
Marketing and Distribution—ETF Shares | 345 |
Custodian Fees | 128 |
Shareholders’ Reports—Investor Shares | 4 |
Shareholders’ Reports—Admiral Shares | 3 |
Shareholders’ Reports—Signal Shares | — |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 29 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 2,781 |
Net Investment Income | 44,266 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 41,198 |
Futures Contracts | 331 |
Realized Net Gain (Loss) | 41,529 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 207,018 |
Futures Contracts | 12 |
Change in Unrealized Appreciation (Depreciation) | 207,030 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 292,825 |
1 Interest income from an affiliated company of the fund was $10,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
61
Large-Cap Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 44,266 | 75,701 |
Realized Net Gain (Loss) | 41,529 | 6,366 |
Change in Unrealized Appreciation (Depreciation) | 207,030 | 527,597 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 292,825 | 609,664 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (2,413) | (7,845) |
Admiral Shares | (6,728) | (8,587) |
Signal Shares | (4,053) | (6,266) |
Institutional Shares | (3,104) | (4,906) |
ETF Shares | (26,301) | (50,505) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (42,599) | (78,109) |
Capital Share Transactions | ||
Investor Shares | 16,297 | (195,407) |
Admiral Shares | 73,567 | 309,402 |
Signal Shares | 106,287 | 90,487 |
Institutional Shares | 192,508 | (63,720) |
ETF Shares | 161,586 | 30,284 |
Net Increase (Decrease) from Capital Share Transactions | 550,245 | 171,046 |
Total Increase (Decrease) | 800,471 | 702,601 |
Net Assets | ||
Beginning of Period | 4,519,895 | 3,817,294 |
End of Period1 | 5,320,366 | 4,519,895 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($2,727,000) and ($4,394,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
62
Large-Cap Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $23.25 | $20.47 | $16.41 | $26.59 | $25.42 | $22.38 |
Investment Operations | ||||||
Net Investment Income | .197 | .372 | .387 | .416 | .426 | .393 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.220 | 2.791 | 4.075 | (10.191) | 1.171 | 3.044 |
Total from Investment Operations | 1.417 | 3.163 | 4.462 | (9.775) | 1.597 | 3.437 |
Distributions | ||||||
Dividends from Net Investment Income | (.187) | (.383) | (.402) | (.405) | (.427) | (.397) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.187) | (.383) | (.402) | (.405) | (.427) | (.397) |
Net Asset Value, End of Period | $24.48 | $23.25 | $20.47 | $16.41 | $26.59 | $25.42 |
Total Return1 | 6.11% | 15.63% | 27.60% | -37.08% | 6.29% | 15.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $340 | $307 | $448 | $376 | $346 | $211 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.26% | 0.26% | 0.21% | 0.20% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.65% | 1.78% | 2.24% | 2.12% | 1.69% | 1.74% |
Portfolio Turnover Rate2 | 6% | 8% | 8% | 9% | 8% | 9% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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.
63
Large-Cap Index Fund
Financial Highlights
Admiral Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $29.07 | $25.59 | $20.51 | $33.25 | $31.78 | $27.98 |
Investment Operations | ||||||
Net Investment Income | .268 | .503 | .516 | .547 | .570 | .514 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.528 | 3.495 | 5.097 | (12.750) | 1.470 | 3.806 |
Total from Investment Operations | 1.796 | 3.998 | 5.613 | (12.203) | 2.040 | 4.320 |
Distributions | ||||||
Dividends from Net Investment Income | (.256) | (.518) | (.533) | (.537) | (.570) | (.520) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.256) | (.518) | (.533) | (.537) | (.570) | (.520) |
Net Asset Value, End of Period | $30.61 | $29.07 | $25.59 | $20.51 | $33.25 | $31.78 |
Total Return | 6.20% | 15.81% | 27.80% | -37.05% | 6.43% | 15.58% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $809 | $698 | $328 | $254 | $220 | $164 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.12% | 0.10% | 0.08% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.79% | 1.92% | 2.38% | 2.23% | 1.81% | 1.82% |
Portfolio Turnover Rate1 | 6% | 8% | 8% | 9% | 8% | 9% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
64
Large-Cap Index Fund
Financial Highlights
Signal Shares
Six Months | Aug. 30, | ||||
Ended | 20071 to | ||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | ||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $25.36 | $22.32 | $17.89 | $29.00 | $28.74 |
Investment Operations | |||||
Net Investment Income | .233 | .440 | .451 | .481 | .173 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 1.330 | 3.052 | 4.446 | (11.121) | .361 |
Total from Investment Operations | 1.563 | 3.492 | 4.897 | (10.640) | .534 |
Distributions | |||||
Dividends from Net Investment Income | (.223) | (.452) | (.467) | (.470) | (.274) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.223) | (.452) | (.467) | (.470) | (.274) |
Net Asset Value, End of Period | $26.70 | $25.36 | $22.32 | $17.89 | $29.00 |
Total Return | 6.18% | 15.83% | 27.81% | -37.03% | 1.85% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $509 | $381 | $247 | $102 | $39 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.10% | 0.12% | 0.12% | 0.10% | 0.08%2 |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.79% | 1.92% | 2.38% | 2.23% | 1.81%2 |
Portfolio Turnover Rate3 | 6% | 8% | 8% | 9% | 8% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
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.
65
Large-Cap Index Fund
Financial Highlights
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $119.65 | $105.33 | $84.43 | $136.82 | $130.78 | $115.14 |
Investment Operations | ||||||
Net Investment Income | 1.119 | 2.111 | 2.160 | 2.283 | 2.344 | 2.151 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.288 | 14.383 | 20.973 | (52.440) | 6.047 | 15.660 |
Total from Investment Operations | 7.407 | 16.494 | 23.133 | (50.157) | 8.391 | 17.811 |
Distributions | ||||||
Dividends from Net Investment Income | (1.067) | (2.174) | (2.233) | (2.233) | (2.351) | (2.171) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.067) | (2.174) | (2.233) | (2.233) | (2.351) | (2.171) |
Net Asset Value, End of Period | $125.99 | $119.65 | $105.33 | $84.43 | $136.82 | $130.78 |
Total Return | 6.21% | 15.85% | 27.84% | -37.01% | 6.42% | 15.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $489 | $276 | $306 | $207 | $103 | $79 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.07% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.81% | 1.96% | 2.42% | 2.26% | 1.81% | 1.86% |
Portfolio Turnover Rate1 | 6% | 8% | 8% | 9% | 8% | 9% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
66
Large-Cap Index Fund
Financial Highlights
ETF Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $57.56 | $50.67 | $40.61 | $65.83 | $62.92 | $55.40 |
Investment Operations | ||||||
Net Investment Income | .530 | .996 | 1.022 | 1.098 | 1.136 | 1.044 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.025 | 6.920 | 10.095 | (25.243) | 2.912 | 7.529 |
Total from Investment Operations | 3.555 | 7.916 | 11.117 | (24.145) | 4.048 | 8.573 |
Distributions | ||||||
Dividends from Net Investment Income | (.505) | (1.026) | (1.057) | (1.075) | (1.138) | (1.053) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.505) | (1.026) | (1.057) | (1.075) | (1.138) | (1.053) |
Net Asset Value, End of Period | $60.61 | $57.56 | $50.67 | $40.61 | $65.83 | $62.92 |
Total Return | 6.20% | 15.81% | 27.80% | -37.02% | 6.44% | 15.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,174 | $2,858 | $2,489 | $1,957 | $1,162 | $587 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.12% | 0.12% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.79% | 1.92% | 2.38% | 2.26% | 1.82% | 1.87% |
Portfolio Turnover Rate1 | 6% | 8% | 8% | 9% | 8% | 9% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
67
Large-Cap Index Fund
Notes to Financial Statements
Vanguard Large-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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.
68
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 fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $827,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.33% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2011, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 5,312,831 | — | — |
Temporary Cash Investments | 15,618 | 500 | — |
Futures Contracts—Assets1 | 56 | — | — |
Futures Contracts—Liabilities1 | (6) | — | — |
Total | 5,328,499 | 500 | — |
1 Represents variation margin on the last day of the reporting period. |
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Large-Cap Index Fund
D. At June 30, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
S&P 500 Index | September 2011 | 13 | 4,275 | 110 |
E-mini S&P 500 Index | September 2011 | 14 | 921 | 12 |
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, 2011, the fund realized $30,130,000 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, 2010, the fund had available capital loss carryforwards totaling $201,206,000 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, $117,390,000 through December 31, 2017, and $33,767,000 through December 31, 2018. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $4,637,089,000. Net unrealized appreciation of investment securities for tax purposes was $691,860,000, consisting of unrealized gains of $954,418,000 on securities that had risen in value since their purchase and $262,558,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2011, the fund purchased $776,472,000 of investment securities and sold $224,120,000 of investment securities, other than temporary cash investments.
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Large-Cap Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 111,021 | 4,598 | 212,649 | 10,107 |
Issued in Lieu of Cash Distributions | 2,298 | 96 | 7,274 | 344 |
Redeemed | (97,022) | (4,019) | (415,330) | (19,133) |
Net Increase (Decrease)—Investor Shares | 16,297 | 675 | (195,407) | (8,682) |
Admiral Shares | ||||
Issued | 169,105 | 5,577 | 397,481 | 14,514 |
Issued in Lieu of Cash Distributions | 5,834 | 195 | 7,231 | 266 |
Redeemed | (101,372) | (3,346) | (95,310) | (3,594) |
Net Increase (Decrease)—Admiral Shares | 73,567 | 2,426 | 309,402 | 11,186 |
Signal Shares | ||||
Issued | 158,824 | 6,007 | 159,203 | 6,977 |
Issued in Lieu of Cash Distributions | 2,837 | 109 | 4,385 | 187 |
Redeemed | (55,374) | (2,099) | (73,101) | (3,165) |
Net Increase (Decrease)—Signal Shares | 106,287 | 4,017 | 90,487 | 3,999 |
Institutional Shares | ||||
Issued | 206,905 | 1,684 | 60,095 | 560 |
Issued in Lieu of Cash Distributions | 2,712 | 22 | 4,210 | 38 |
Redeemed | (17,109) | (135) | (128,025) | (1,194) |
Net Increase (Decrease)—Institutional Shares | 192,508 | 1,571 | (63,720) | (596) |
ETF Shares | ||||
Issued | 234,539 | 3,924 | 138,340 | 2,628 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (72,953) | (1,200) | (108,056) | (2,100) |
Net Increase (Decrease)—ETF Shares | 161,586 | 2,724 | 30,284 | 528 |
H. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
71
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
72
Six Months Ended June 30, 2011 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2010 | 6/30/2011 | Period | |
Based on Actual Fund Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,059.04 | $1.28 |
Admiral Shares | 1,000.00 | 1,059.60 | 0.51 |
Signal Shares | 1,000.00 | 1,059.74 | 0.51 |
Institutional Shares | 1,000.00 | 1,059.73 | 0.41 |
ETF Shares | 1,000.00 | 1,059.74 | 0.51 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,063.29 | $1.28 |
Admiral Shares | 1,000.00 | 1,064.03 | 0.51 |
Signal Shares | 1,000.00 | 1,064.37 | 0.51 |
Institutional Shares | 1,000.00 | 1,064.22 | 0.41 |
ETF Shares | 1,000.00 | 1,064.18 | 0.51 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,061.13 | $1.23 |
Admiral Shares | 1,000.00 | 1,061.98 | 0.51 |
Signal Shares | 1,000.00 | 1,061.83 | 0.51 |
Institutional Shares | 1,000.00 | 1,062.11 | 0.41 |
ETF Shares | 1,000.00 | 1,062.00 | 0.51 |
73
Six Months Ended June 30, 2011 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2010 | 6/30/2011 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.55 | $1.25 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Signal Shares | 1,000.00 | 1,024.30 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.30 | 0.50 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.55 | $1.25 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Signal Shares | 1,000.00 | 1,024.30 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.30 | 0.50 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Signal Shares | 1,000.00 | 1,024.30 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.30 | 0.50 |
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, 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; for the Value Index Fund, 0.25% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares; and for the Large-Cap Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
74
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Growth Index Fund, Value Index Fund, and Large-Cap 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 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 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 report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the funds’ advisory fee rates were also well below their peer-group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ 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.
75
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 securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
76
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.
77
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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 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School; Chair of the Investment Committee | ||
of HighVista Strategies LLC (private investment firm). | Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | ||
Alfred M. Rankin, Jr. | Occupation(s) During the Past Five Years: Managing | |
Born 1941. Trustee Since January 1993. Principal | Director of The Vanguard Group, Inc., since 2006; | |
Occupation(s) During the Past Five Years: Chairman, | General Counsel of The Vanguard Group since 2005; | |
President, and Chief Executive Officer of NACCO | Secretary of The Vanguard Group and of each of the | |
Industries, Inc. (forklift trucks/housewares/lignite); | investment companies served by The Vanguard Group | |
Director of Goodrich Corporation (industrial products/ | since 2005; Director and Senior Vice President of | |
aircraft systems and services) and the National | Vanguard Marketing Corporation since 2005; | |
Association of Manufacturers; Chairman of the | Principal of The Vanguard Group (1997–2006). | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | ||
the Board of The Cleveland Museum of Art. | Vanguard Senior Management Team | |
Peter F. Volanakis | R. Gregory Barton | Michael S. Miller |
Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | James M. Norris |
Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | George U. Sauter |
Incorporated (communications equipment); Director of | Martha G. King | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | ||
Business Administration at Dartmouth College. | Chairman Emeritus and Senior Advisor | |
John J. Brennan | ||
Executive Officers | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | ||
Occupation(s) During the Past Five Years: Principal | Founder | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | John C. Bogle | |
Group since 2010; Assistant Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard | ||
Group (2001–2010). |
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 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
With Hearing Impairment > 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper Inc. or | |
Morningstar, Inc., unless otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2011 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q03072 082011 |
![]() |
Vanguard Total Stock Market |
Index Fund Semiannual Report |
June 30, 2011 |
![]() |
> For the six months ended June 30, 2011, Vanguard Total Stock Market Index Fund returned about 6%.
> The fund closely tracked its benchmark index and slightly outpaced the average return for multi-cap core funds.
> With the exception of financials, all market sectors posted gains. Health care and energy stocks contributed the most to fund returns.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 6 |
Performance Summary. | 8 |
Financial Statements. | 9 |
About Your Fund’s Expenses. | 25 |
Trustees Approve Advisory Arrangement. | 27 |
Glossary. | 28 |
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/totalstock85x2x1.jpg)
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: Jean Maher.
Your Fund’s Total Returns
Six Months Ended June 30, 2011
Total | |
Returns | |
Vanguard Total Stock Market Index Fund | |
Investor Shares | 6.31% |
Admiral™ Shares | 6.34 |
Signal® Shares | 6.34 |
Institutional Shares | 6.37 |
ETF Shares | |
Market Price | 6.27 |
Net Asset Value | 6.34 |
MSCI US Broad Market Index | 6.36 |
Multi-Cap Core Funds Average | 5.96 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Signal Shares and Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the 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.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Your Fund’s Performance at a Glance
December 31, 2010 , Through June 30, 2011
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Total Stock Market Index Fund | ||||
Investor Shares | $31.56 | $33.29 | $0.256 | $0.000 |
Admiral Shares | 31.57 | 33.29 | 0.275 | 0.000 |
Signal Shares | 30.47 | 32.13 | 0.265 | 0.000 |
Institutional Shares | 31.57 | 33.30 | 0.276 | 0.000 |
ETF Shares | 64.86 | 68.39 | 0.566 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
For the six months ended June 30, Investor Shares of Vanguard Total Stock Market Index Fund returned 6.31%, closely tracking the target MSCI US Broad Market Index and outperforming the average return of peer funds.
The fund posted positive results in nine of ten sectors, with health care and energy stocks contributing most significantly. Only the financial sector recorded a loss.
For stock markets, a ragged six-month gain
Global stock markets climbed unsteadily as investor attitudes swung from giddy optimism about the strength of corporate earnings to fears that the slow, grinding recovery was losing momentum. Stock prices rallied through the first four months of 2011, pulled back as economic news turned gloomier, then bounced back at the end of the period.
The broad U.S. stock market returned about 6% for the six months. International stock markets finished a few steps behind, restrained by sovereign-debt dramas in Europe and the economic aftershocks of the Japanese natural and nuclear disaster. Gains were modest in emerging markets, too, as big economies such as China and Brazil grappled with inflationary pressures.
2
Low yields, solid returns in the bond market
Bonds delivered solid six-month returns even as interest rates hovered near generational lows. Bond prices rallied in the spring as economic anxiety prompted a search for safer havens in fixed income. The broad taxable bond market returned almost 3%. The municipal market performed even better. Municipal securities were hammered early in the year as unsettling headlines raised doubts about their safety. Toward the end, investors’ worries began to recede and prices rose.
The yields on money market instruments remained nearly invisible, consistent with the Federal Reserve Board’s target for short-term interest rates, which since December 2008 has been anchored between 0% and 0.25%.
Health care and energy stocks led the fund’s returns
Vanguard Total Stock Market Index Fund is designed to provide investors with exposure to the entire U.S. equity market, including small-, mid-, and large-cap growth and value stocks. Although the fund (like the market itself) is more heavily weighted in large-caps, its limited exposure to mid- and small-cap stocks—which outperformed their larger counterparts for the period— helped boost returns.
On a sector basis, the fund’s performance was led by holdings in health care and energy. Health care—the market’s top
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2011 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 6.37% | 31.93% | 3.30% |
Russell 2000 Index (Small-caps) | 6.21 | 37.41 | 4.08 |
Dow Jones U.S. Total Stock Market Index | 6.01 | 32.26 | 3.66 |
MSCI All Country World Index ex USA (International) | 3.80 | 29.73 | 3.67 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.72% | 3.90% | 6.52% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 4.42 | 3.48 | 4.93 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.14 | 1.86 |
CPI | |||
Consumer Price Index | 2.99% | 3.56% | 2.15% |
3
performer for the six months—lagged early on but bounced back later on as investors looked to the sector for stability amid rising concerns over economic uncertainty. These stocks generally gained across the industry, with pharmaceuticals and health care providers leading the way.
Despite signs of a weakening global economy, crude oil prices remained high, boosting stocks within the energy sector. Oil and gas companies added the most to fund returns. Consumer discretionary and industrial stocks also contributed significantly to the fund’s six-month performance.
As I noted earlier, the financial sector—which accounted for about 16% of fund holdings, on average—ended the period in negative territory. Battered investment and commercial banks weighed heaviest on performance.
The fund closely tracked its target index, as it has done since its inception in 1992 (a ten-year track record is in the Performance Summary, later in this report). Such tight tracking is a credit to the advisor, Vanguard Quantitative Equity Group, which combines skilled portfolio management with sophisticated risk-control and trading systems. The fund’s low expense ratio is important as well.
Focus on your goals rather than the market’s swings
The stock market turned in solid results for the six months just ended. But the financial markets are unpredictable, and nobody
Expense Ratios
Your Fund Compared With Its Peer Group
Peer | ||||||
Investor | Admiral | Signal | Institutional | ETF | Group | |
Shares | Shares | Shares | Shares | Shares | Average | |
Total Stock Market Index Fund | 0.18% | 0.07% | 0.07% | 0.06% | 0.07% | 1.18% |
The fund expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the fund’s annualized expense ratios were: 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, 0.05% for Institutional Shares, and 0.05% for ETF Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2010.
Peer group: Multi-Cap Core Funds.
4
knows what the next six months will bring. Good or bad, there will always be unexpected news that drives returns up or down.
At Vanguard, we believe that the best way to deal with this uncertainty is to ignore short-term volatility and, instead, focus on the long term. We urge investors to create an investment plan that includes a mix of stock, bond, and money market funds that is appropriate for their goals and risk tolerance—and to stick with that plan regardless of market conditions.
By offering broad, low-cost exposure to all segments of the U.S. stock market, Vanguard Total Stock Market Index Fund can serve as a cornerstone in your long-term investment plan.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/totalstock85x7x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 12, 2011
A note on expense ratios |
The Expense Ratios table in each report’s Chairman’s Letter displays fund expense |
ratios from the most recent prospectus. These figures include the funds’ actual |
operating expenses. For some funds, the figures also include “acquired fund fees |
and expenses,” which result from the funds’ holdings in business development |
companies (BDCs). |
Although the Securities and Exchange Commission requires that BDC costs be |
included in a fund’s expense ratio, these fees are not incurred by the fund. They |
have no impact on a fund’s total return or on its tracking error relative to an index. |
A footnote to the Expense Ratios table reports an annualized calculation of the fund’s |
actual expenses for the period, a more accurate tally of the operating costs incurred |
by shareholders. |
5
Total Stock Market Index Fund
Fund Profile
As of June 30, 2011
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 | 1.67% | 1.80% | 1.80% | 1.79% | 1.80% |
Portfolio Characteristics | ||
MSCI US | ||
Broad Market | ||
Fund | Index | |
Number of Stocks | 3,346 | 3,377 |
Median Market Cap | $30.8B | $31.0B |
Price/Earnings Ratio | 17.0x | 17.0x |
Price/Book Ratio | 2.2x | 2.2x |
Return on Equity | 18.9% | 18.7% |
Earnings Growth Rate | 5.6% | 5.6% |
Dividend Yield | 1.8% | 1.8% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate | ||
(Annualized) | 3% | — |
Short-Term Reserves | 0.1% | — |
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 | 2.7% | |
Apple Inc. | Computer | |
Hardware | 2.1 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.4 |
Chevron Corp. | Integrated Oil & | |
Gas | 1.4 | |
General Electric Co. | Industrial | |
Conglomerates | 1.3 | |
Microsoft Corp. | Systems Software | 1.3 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.2 | |
Johnson & Johnson | Pharmaceuticals | 1.2 |
Procter & Gamble Co. | Household | |
Products | 1.2 | |
Pfizer Inc. | Pharmaceuticals | 1.1 |
Top Ten | 14.9% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 29, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, 0.05% for Institutional Shares, and 0.05% for ETF Shares.
6
Total Stock Market Index Fund
Sector Diversification (% of equity exposure) | ||
MSCI US | ||
Broad Market | ||
Fund | Index | |
Consumer Discretionary | 11.6% | 11.6% |
Consumer Staples | 9.2 | 9.2 |
Energy | 11.7 | 11.7 |
Financials | 15.5 | 15.6 |
Health Care | 11.7 | 11.7 |
Industrials | 11.6 | 11.6 |
Information Technology | 18.1 | 18.0 |
Materials | 4.4 | 4.4 |
Telecommunication | ||
Services | 2.8 | 2.8 |
Utilities | 3.4 | 3.4 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/totalstock85x9x1.jpg)
7
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 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, 2000, Through June 30, 2011
![](https://capedge.com/proxy/N-CSRS/0000932471-11-003264/totalstock85x10x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2011
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 4/27/1992 | 32.43% | 3.54% | 3.69% |
Admiral Shares | 11/13/2000 | 32.58 | 3.64 | 3.78 |
Signal Shares | 9/1/2006 | 32.57 | — | 3.191 |
Institutional Shares | 7/7/1997 | 32.58 | 3.67 | 3.81 |
ETF Shares | 5/24/2001 | |||
Market Price | 32.59 | 3.65 | 3.77 | |
Net Asset Value | 32.59 | 3.65 | 3.78 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
8
Total Stock Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2011
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Common Stocks | |||
Consumer Discretionary | |||
McDonald’s Corp. | 11,704,889 | 986,956 | 0.6% |
* Amazon.com Inc. | 4,048,694 | 827,917 | 0.5% |
Walt Disney Co. | 20,236,866 | 790,047 | 0.5% |
Comcast Corp. Class A | 26,535,934 | 672,421 | 0.4% |
Home Depot Inc. | 18,386,088 | 665,944 | 0.4% |
Consumer Discretionary—Other † | 15,538,140 | 9.2% | |
19,481,425 | 11.6% | ||
Consumer Staples | |||
Procter & Gamble Co. | 31,422,225 | 1,997,511 | 1.2% |
Coca-Cola Co. | 23,161,811 | 1,558,558 | 0.9% |
Philip Morris International Inc. | 20,158,406 | 1,345,977 | 0.8% |
PepsiCo Inc. | 17,795,815 | 1,253,359 | 0.7% |
Wal-Mart Stores Inc. | 21,975,144 | 1,167,759 | 0.7% |
Kraft Foods Inc. | 18,636,512 | 656,564 | 0.4% |
Altria Group Inc. | 23,470,222 | 619,849 | 0.4% |
CVS Caremark Corp. | 15,346,894 | 576,736 | 0.3% |
Consumer Staples—Other † | 6,233,743 | 3.7% | |
15,410,056 | 9.1% | ||
Energy | |||
Exxon Mobil Corp. | 55,620,378 | 4,526,386 | 2.7% |
Chevron Corp. | 22,517,532 | 2,315,703 | 1.4% |
Schlumberger Ltd. | 15,266,291 | 1,319,008 | 0.8% |
ConocoPhillips | 15,234,577 | 1,145,488 | 0.7% |
Occidental Petroleum Corp. | 9,117,773 | 948,613 | 0.5% |
* Atlas Energy Inc. Escrow | 838,780 | 84 | 0.0% |
Energy—Other † | 9,404,922 | 5.6% | |
19,660,204 | 11.7% |
9
Total Stock Market Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Financials | |||
JPMorgan Chase & Co. | 44,682,883 | 1,829,317 | 1.1% |
Wells Fargo & Co. | 56,137,288 | 1,575,212 | 0.9% |
Citigroup Inc. | 32,592,054 | 1,357,133 | 0.8% |
Bank of America Corp. | 113,528,606 | 1,244,274 | 0.8% |
Goldman Sachs Group Inc. | 5,545,082 | 737,995 | 0.4% |
* Berkshire Hathaway Inc. Class B | 8,847,659 | 684,720 | 0.4% |
American Express Co. | 12,138,738 | 627,573 | 0.4% |
Financials—Other † | 18,031,991 | 10.7% | |
26,088,215 | 15.5% | ||
Health Care | |||
Johnson & Johnson | 30,680,860 | 2,040,891 | 1.2% |
Pfizer Inc. | 89,669,166 | 1,847,185 | 1.1% |
Merck & Co. Inc. | 34,582,845 | 1,220,429 | 0.7% |
Abbott Laboratories | 17,359,261 | 913,444 | 0.5% |
UnitedHealth Group Inc. | 12,270,318 | 632,903 | 0.4% |
* Amgen Inc. | 10,461,356 | 610,420 | 0.4% |
Health Care—Other † | 12,341,522 | 7.3% | |
19,606,794 | 11.6% | ||
Industrials | |||
General Electric Co. | 119,107,160 | 2,246,361 | 1.3% |
United Technologies Corp. | 9,816,400 | 868,850 | 0.5% |
Caterpillar Inc. | 7,167,050 | 763,004 | 0.5% |
3M Co. | 7,585,186 | 719,455 | 0.4% |
United Parcel Service Inc. Class B | 8,242,610 | 601,134 | 0.4% |
Boeing Co. | 7,846,104 | 580,062 | 0.4% |
Union Pacific Corp. | 5,507,591 | 574,992 | 0.3% |
Industrials—Other † | 13,186,954 | 7.8% | |
19,540,812 | 11.6% | ||
Information Technology | |||
* Apple Inc. | 10,335,872 | 3,469,442 | 2.1% |
International Business Machines Corp. | 13,679,534 | 2,346,724 | 1.4% |
Microsoft Corp. | 84,840,147 | 2,205,844 | 1.3% |
Oracle Corp. | 45,338,283 | 1,492,083 | 0.9% |
* Google Inc. Class A | 2,815,162 | 1,425,542 | 0.8% |
Intel Corp. | 61,570,234 | 1,364,396 | 0.8% |
Qualcomm Inc. | 18,441,367 | 1,047,285 | 0.6% |
Cisco Systems Inc. | 62,007,404 | 967,936 | 0.6% |
Hewlett-Packard Co. | 24,391,900 | 887,865 | 0.5% |
* EMC Corp. | 23,203,487 | 639,256 | 0.4% |
Information Technology—Other † | 14,443,186 | 8.6% | |
30,289,559 | 18.0% | ||
Materials † | 7,398,865 | 4.4% | |
Telecommunication Services | |||
AT&T Inc. | 66,308,362 | 2,082,746 | 1.2% |
Verizon Communications Inc. | 31,407,544 | 1,169,303 | 0.7% |
Telecommunication Services—Other † | 1,426,727 | 0.9% | |
4,678,776 | 2.8% | ||
Utilities † | 5,755,554 | 3.4% | |
Total Common Stocks (Cost $143,772,673) | 167,910,260 | 99.7%1 |
10
Total Stock Market Index Fund | ||||
Market | Percentage | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
2,3 Vanguard Market Liquidity Fund | 0.140% | 1,006,006,171 | 1,006,006 | 0.6% |
4U.S. Government and Agency Obligations † | 40,491 | 0.0% | ||
Total Temporary Cash Investments (Cost $1,046,498) | 1,046,497 | 0.6%1 | ||
5Total Investments (Cost $144,819,171) | 168,956,757 | 100.3% | ||
Other Assets and Liabilities | ||||
Other Assets | 456,194 | 0.3% | ||
Liabilities3 | (1,039,014) | (0.6%) | ||
(582,820) | (0.3%) | |||
Net Assets | 168,373,937 | 100.0% | ||
At June 30, 2011, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 148,326,346 | |||
Overdistributed Net Investment Income | (85,055) | |||
Accumulated Net Realized Losses | (4,019,215) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 24,137,586 | |||
Futures Contracts | 14,275 | |||
Net Assets | 168,373,937 | |||
Investor Shares—Net Assets | ||||
Applicable to 1,874,728,469 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 62,404,242 | |||
Net Asset Value Per Share—Investor Shares | $33.29 |
11
Total Stock Market Index Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 1,554,051,928 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 51,740,634 |
Net Asset Value Per Share—Admiral Shares | $33.29 |
Signal Shares—Net Assets | |
Applicable to 191,234,299 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,145,165 |
Net Asset Value Per Share—Signal Shares | $32.13 |
Institutional Shares—Net Assets | |
Applicable to 840,328,036 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 27,981,301 |
Net Asset Value Per Share—Institutional Shares | $33.30 |
ETF Shares—Net Assets | |
Applicable to 293,925,270 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 20,102,595 |
Net Asset Value Per Share—ETF Shares | $68.39 |
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 0.3%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $458,613,000 of collateral received for securities on loan.
4 Securities with a value of $40,491,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $431,824,000.
See accompanying Notes, which are an integral part of the Financial Statements.
12
Total Stock Market Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 1,423,548 |
Interest1 | 716 |
Security Lending | 18,157 |
Total Income | 1,442,421 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 5,848 |
Management and Administrative—Investor Shares | 39,191 |
Management and Administrative—Admiral Shares | 7,668 |
Management and Administrative—Signal Shares | 537 |
Management and Administrative—Institutional Shares | 1,465 |
Management and Administrative—ETF Shares | 1,812 |
Marketing and Distribution—Investor Shares | 8,613 |
Marketing and Distribution—Admiral Shares | 4,153 |
Marketing and Distribution—Signal Shares | 855 |
Marketing and Distribution—Institutional Shares | 3,878 |
Marketing and Distribution—ETF Shares | 2,509 |
Custodian Fees | 821 |
Shareholders’ Reports—Investor Shares | 67 |
Shareholders’ Reports—Admiral Shares | 77 |
Shareholders’ Reports—Signal Shares | 3 |
Shareholders’ Reports—Institutional Shares | 12 |
Shareholders’ Reports—ETF Shares | 97 |
Trustees’ Fees and Expenses | 82 |
Total Expenses | 77,688 |
Net Investment Income | 1,364,733 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (144,887) |
Futures Contracts | 32,106 |
Realized Net Gain (Loss) | (112,781) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 8,401,194 |
Futures Contracts | 7,677 |
Change in Unrealized Appreciation (Depreciation) | 8,408,871 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,660,823 |
1 Dividend income, interest income, and realized net gain (loss) from affiliated companies of the fund were $0, $659,000, and $194,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
13
Total Stock Market Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,364,733 | 2,538,498 |
Realized Net Gain (Loss) | (112,781) | 3,032,124 |
Change in Unrealized Appreciation (Depreciation) | 8,408,871 | 17,108,043 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,660,823 | 22,678,665 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (474,926) | (1,125,436) |
Admiral Shares | (423,432) | (669,720) |
Signal Shares | (50,585) | (95,990) |
Institutional Shares | (218,893) | (389,295) |
ETF Shares | (163,200) | (297,379) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,331,036) | (2,577,820) |
Capital Share Transactions | ||
Investor Shares | 3,247,208 | (11,084,647) |
Admiral Shares | 1,941,127 | 14,427,940 |
Signal Shares | 370,951 | (5,204) |
Institutional Shares | 2,846,052 | 4,677,116 |
ETF Shares | 1,199,942 | 2,309,471 |
Net Increase (Decrease) from Capital Share Transactions | 9,605,280 | 10,324,676 |
Total Increase (Decrease) | 17,935,067 | 30,425,521 |
Net Assets | ||
Beginning of Period | 150,438,870 | 120,013,349 |
End of Period1 | 168,373,937 | 150,438,870 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($85,055,000) and ($118,752,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
14
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 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $31.56 | $27.45 | $21.80 | $35.36 | $34.09 | $30.00 |
Investment Operations | ||||||
Net Investment Income | .265 | .523 | .514 | .592 | .604 | .523 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.721 | 4.117 | 5.651 | (13.566) | 1.268 | 4.091 |
Total from Investment Operations | 1.986 | 4.640 | 6.165 | (12.974) | 1.872 | 4.614 |
Distributions | ||||||
Dividends from Net Investment Income | (.256) | (.530) | (.515) | (.586) | (.602) | (.524) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.256) | (.530) | (.515) | (.586) | (.602) | (.524) |
Net Asset Value, End of Period | $33.29 | $31.56 | $27.45 | $21.80 | $35.36 | $34.09 |
Total Return1 | 6.31% | 17.09% | 28.70% | -37.04% | 5.49% | 15.51% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $62,404 | $56,063 | $58,004 | $39,440 | $50,183 | $39,095 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.17% | 0.17% | 0.18% | 0.16% | 0.15% | 0.19% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.63% | 1.85% | 2.22% | 2.04% | 1.71% | 1.66% |
Portfolio Turnover Rate2 | 3% | 5% | 5% | 5% | 4% | 4% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
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.
15
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 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $31.57 | $27.45 | $21.80 | $35.36 | $34.09 | $30.00 |
Investment Operations | ||||||
Net Investment Income | .283 | .554 | .539 | .615 | .631 | .555 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.712 | 4.127 | 5.650 | (13.566) | 1.268 | 4.091 |
Total from Investment Operations | 1.995 | 4.681 | 6.189 | (12.951) | 1.899 | 4.646 |
Distributions | ||||||
Dividends from Net Investment Income | (.275) | (.561) | (.539) | (.609) | (.629) | (.556) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.275) | (.561) | (.539) | (.609) | (.629) | (.556) |
Net Asset Value, End of Period | $33.29 | $31.57 | $27.45 | $21.80 | $35.36 | $34.09 |
Total Return | 6.34% | 17.26% | 28.83% | -36.99% | 5.57% | 15.63% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $51,741 | $47,190 | $27,762 | $18,781 | $27,895 | $26,853 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.06% | 0.07% | 0.08% | 0.07% | 0.09% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.75% | 1.96% | 2.33% | 2.12% | 1.79% | 1.76% |
Portfolio Turnover Rate1 | 3% | 5% | 5% | 5% | 4% | 4% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Total Stock Market Index Fund
Financial Highlights
Signal Shares
Six Months | Sept 1, | |||||
Ended | 20061 to | |||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | |||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $30.47 | $26.50 | $21.04 | $34.13 | $32.91 | $30.47 |
Investment Operations | ||||||
Net Investment Income | .272 | .535 | .520 | .595 | .607 | .181 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.653 | 3.977 | 5.459 | (13.096) | 1.220 | 2.536 |
Total from Investment Operations | 1.925 | 4.512 | 5.979 | (12.501) | 1.827 | 2.717 |
Distributions | ||||||
Dividends from Net Investment Income | (.265) | (.542) | (.519) | (.589) | (.607) | (.277) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.265) | (.542) | (.519) | (.589) | (.607) | (.277) |
Net Asset Value, End of Period | $32.13 | $30.47 | $26.50 | $21.04 | $34.13 | $32.91 |
Total Return | 6.34% | 17.23% | 28.85% | -36.99% | 5.55% | 8.95% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,145 | $5,471 | $4,757 | $3,717 | $4,655 | $381 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.06% | 0.07% | 0.08% | 0.07% | 0.09%2 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.75% | 1.96% | 2.33% | 2.12% | 1.79% | 1.76%2 |
Portfolio Turnover Rate3 | 3% | 5% | 5% | 5% | 4% | 4% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
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 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $31.57 | $27.46 | $21.81 | $35.36 | $34.10 | $30.00 |
Investment Operations | ||||||
Net Investment Income | .283 | .558 | .541 | .624 | .638 | .573 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.723 | 4.117 | 5.650 | (13.557) | 1.260 | 4.091 |
Total from Investment Operations | 2.006 | 4.675 | 6.191 | (12.933) | 1.898 | 4.664 |
Distributions | ||||||
Dividends from Net Investment Income | (.276) | (.565) | (.541) | (.617) | (.638) | (.564) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.276) | (.565) | (.541) | (.617) | (.638) | (.564) |
Net Asset Value, End of Period | $33.30 | $31.57 | $27.46 | $21.81 | $35.36 | $34.10 |
Total Return | 6.37% | 17.23% | 28.83% | -36.94% | 5.56% | 15.69% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $27,981 | $23,785 | $16,047 | $10,782 | $13,396 | $12,262 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.05% | 0.05% | 0.06% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.75% | 1.97% | 2.34% | 2.15% | 1.81% | 1.79% |
Portfolio Turnover Rate1 | 3% | 5% | 5% | 5% | 4% | 4% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
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 | 2011 | 2010 | 2009 | 20081 | 20071 | 20061 |
Net Asset Value, Beginning of Period | $64.86 | $56.39 | $44.78 | $72.64 | $70.04 | $61.63 |
Investment Operations | ||||||
Net Investment Income | .583 | 1.133 | 1.106 | 1.270 | 1.298 | 1.152 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.513 | 8.485 | 11.611 | (27.874) | 2.600 | 8.409 |
Total from Investment Operations | 4.096 | 9.618 | 12.717 | (26.604) | 3.898 | 9.561 |
Distributions | ||||||
Dividends from Net Investment Income | (.566) | (1.148) | (1.107) | (1.256) | (1.298) | (1.151) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.566) | (1.148) | (1.107) | (1.256) | (1.298) | (1.151) |
Net Asset Value, End of Period | $68.39 | $64.86 | $56.39 | $44.78 | $72.64 | $70.04 |
Total Return | 6.34% | 17.26% | 28.82% | -36.97% | 5.56% | 15.66% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $20,103 | $17,930 | $13,443 | $9,199 | $10,255 | $6,885 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.75% | 1.96% | 2.33% | 2.13% | 1.79% | 1.78% |
Portfolio Turnover Rate2 | 3% | 5% | 5% | 5% | 4% | 4% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split as of the close of business on June 13, 2008.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
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, Signal Shares, and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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
Total Stock Market Index Fund
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $26,665,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 10.66% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 167,908,258 | 47 | 1,955 |
Temporary Cash Investments | 1,006,006 | 40,491 | — |
Futures Contracts—Assets1 | 5,872 | — | — |
Futures Contracts—Liabilities1 | (952) | — | — |
Total | 168,919,184 | 40,538 | 1,955 |
1 Represents variation margin on the last day of the reporting period. |
21
Total Stock Market Index Fund
The following table summarizes the fund’s investments as of June 30, 2011, based on the inputs used to value them:
Investments in | |
Common Stock | |
Amount valued based on Level 3 Inputs | ($000) |
Balance as of December 31, 2010 | — |
Transfers into Level 3 | 2,856 |
Change in Unrealized Appreciation (Depreciation) | (901) |
Balance as of June 30, 2011 | 1,955 |
D. At June 30, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
S&P 500 Index | September 2011 | 920 | 302,565 | 7,750 |
E-mini S&P Russell 2000 Index | September 2011 | 940 | 77,587 | 4,832 |
E-mini S&P 500 Index | September 2011 | 1,112 | 73,142 | 623 |
E-mini S&P MidCap 400 Index | September 2011 | 280 | 27,342 | 1,070 |
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, 2011, the fund realized $1,052,275,000 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, 2010, the fund had available capital loss carryforwards totaling $2,492,045,000 to offset future net capital gains of $209,043,000 through December 31, 2013, $19,516,000 through December 31, 2015, and $2,263,486,000 through December 31, 2016. In addition, the fund realized losses of $169,635,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
22
Total Stock Market Index Fund
At June 30, 2011, the cost of investment securities for tax purposes was $144,819,171,000. Net unrealized appreciation of investment securities for tax purposes was $24,137,586,000, consisting of unrealized gains of $36,865,715,000 on securities that had risen in value since their purchase and $12,728,129,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2011, the fund purchased $14,619,367,000 of investment securities and sold $4,773,561,000 of investment securities, other than temporary cash investments.
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 6,285,888 | 190,927 | 14,339,216 | 519,171 |
Issued in Lieu of Cash Distributions | 472,587 | 14,491 | 1,115,478 | 38,783 |
Redeemed | (3,511,267) | (106,889) | (26,539,341) | (894,960) |
Net Increase (Decrease)—Investor Shares | 3,247,208 | 98,529 | (11,084,647) | (337,006) |
Admiral Shares | ||||
Issued | 4,632,501 | 140,675 | 17,632,806 | 596,622 |
Issued in Lieu of Cash Distributions | 376,778 | 11,550 | 586,309 | 20,085 |
Redeemed | (3,068,152) | (92,951) | (3,791,175) | (133,185) |
Net Increase (Decrease)—Admiral Shares | 1,941,127 | 59,274 | 14,427,940 | 483,522 |
Signal Shares | ||||
Issued | 1,568,191 | 49,226 | 1,525,728 | 55,528 |
Issued in Lieu of Cash Distributions | 46,173 | 1,466 | 87,239 | 3,123 |
Redeemed | (1,243,413) | (39,007) | (1,618,171) | (58,645) |
Net Increase (Decrease)—Signal Shares | 370,951 | 11,685 | (5,204) | 6 |
Institutional Shares | ||||
Issued | 4,295,895 | 131,007 | 8,452,000 | 298,623 |
Issued in Lieu of Cash Distributions | 203,724 | 6,245 | 356,581 | 12,291 |
Redeemed | (1,653,567) | (50,232) | (4,131,465) | (142,035) |
Net Increase (Decrease)—Institutional Shares | 2,846,052 | 87,020 | 4,677,116 | 168,879 |
ETF Shares | ||||
Issued | 3,067,856 | 45,257 | 8,218,216 | 132,994 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,867,914) | (27,800) | (5,908,745) | (94,900) |
Net Increase (Decrease)—ETF Shares | 1,199,942 | 17,457 | 2,309,471 | 38,094 |
23
Total Stock Market Index Fund
H. The fund invested in a company that was considered to be an affiliated company of the fund because the fund owned more than 5% of the outstanding voting securities of the company. Transactions during the period in securities of this company were as follows:
Current Period Transactions | |||||
Dec. 31, 2010 | Proceeds from | June. 30, 2011 | |||
Market | Purchases | Securities | Dividend | Market | |
Value | at Cost | Sold | Income | Value | |
($000) | ($000) | ($000) | ($000) | ($000) | |
Matrixx Initiatives Inc. | 4,275 | — | 4,421 | — | — |
I. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
24
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
25
Six Months Ended June 30, 2011 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Total Stock Market Index Fund | 12/31/2010 | 6/30/2011 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,063.11 | $0.87 |
Admiral Shares | 1,000.00 | 1,063.39 | 0.26 |
Signal Shares | 1,000.00 | 1,063.37 | 0.26 |
Institutional Shares | 1,000.00 | 1,063.74 | 0.26 |
ETF Shares | 1,000.00 | 1,063.38 | 0.26 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Signal Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
ETF Shares | 1,000.00 | 1,024.55 | 0.25 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are: 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, 0.05% for Institutional Shares, and 0.05% 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.
26
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Total Stock Market 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 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 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 and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of 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 other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
27
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (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 securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
28
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 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School; Chair of the Investment Committee | ||
of HighVista Strategies LLC (private investment firm). | Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | ||
Alfred M. Rankin, Jr. | Occupation(s) During the Past Five Years: Managing | |
Born 1941. Trustee Since January 1993. Principal | Director of The Vanguard Group, Inc., since 2006; | |
Occupation(s) During the Past Five Years: Chairman, | General Counsel of The Vanguard Group since 2005; | |
President, and Chief Executive Officer of NACCO | Secretary of The Vanguard Group and of each of the | |
Industries, Inc. (forklift trucks/housewares/lignite); | investment companies served by The Vanguard Group | |
Director of Goodrich Corporation (industrial products/ | since 2005; Director and Senior Vice President of | |
aircraft systems and services) and the National | Vanguard Marketing Corporation since 2005; | |
Association of Manufacturers; Chairman of the | Principal of The Vanguard Group (1997–2006). | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | ||
the Board of The Cleveland Museum of Art. | Vanguard Senior Management Team | |
Peter F. Volanakis | R. Gregory Barton | Michael S. Miller |
Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | James M. Norris |
Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | George U. Sauter |
Incorporated (communications equipment); Director of | Martha G. King | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | ||
Business Administration at Dartmouth College. | Chairman Emeritus and Senior Advisor | |
John J. Brennan | ||
Executive Officers | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | ||
Occupation(s) During the Past Five Years: Principal | Founder | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | John C. Bogle | |
Group since 2010; Assistant Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard | ||
Group (2001–2010). |
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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This material may be used in conjunction | any related funds. |
with the offering of shares of any Vanguard | |
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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 | |
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calling Vanguard at 800-662-2739. The guidelines are | |
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© 2011 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q852 082011 |
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Consumer Discretionary (11.6%) | |||
McDonald's Corp. | 11,704,889 | 986,956 | |
* | Amazon.com Inc. | 4,048,694 | 827,917 |
Walt Disney Co. | 20,236,866 | 790,047 | |
Comcast Corp. Class A | 26,535,934 | 672,421 | |
Home Depot Inc. | 18,386,088 | 665,944 | |
* | Ford Motor Co. | 39,553,999 | 545,450 |
* | DIRECTV Class A | 8,870,335 | 450,790 |
Time Warner Inc. | 12,258,524 | 445,843 | |
News Corp. Class A | 25,120,501 | 444,633 | |
NIKE Inc. Class B | 4,141,773 | 372,677 | |
Lowe's Cos. Inc. | 15,190,754 | 354,096 | |
Target Corp. | 7,503,352 | 351,982 | |
Starbucks Corp. | 8,368,309 | 330,465 | |
Johnson Controls Inc. | 7,597,981 | 316,532 | |
Viacom Inc. Class B | 6,117,181 | 311,976 | |
Time Warner Cable Inc. | 3,853,477 | 300,725 | |
Yum! Brands Inc. | 5,245,314 | 289,751 | |
* | priceline.com Inc. | 551,577 | 282,369 |
* | General Motors Co. | 8,756,779 | 265,856 |
TJX Cos. Inc. | 4,441,588 | 233,317 | |
Coach Inc. | 3,319,154 | 212,194 | |
CBS Corp. Class B | 7,053,339 | 200,950 | |
Carnival Corp. | 5,116,085 | 192,518 | |
* | Las Vegas Sands Corp. | 4,076,195 | 172,056 |
* | Bed Bath & Beyond Inc. | 2,858,598 | 166,856 |
Kohl's Corp. | 3,117,137 | 155,888 | |
Omnicom Group Inc. | 3,187,383 | 153,504 | |
* | Netflix Inc. | 563,852 | 148,118 |
McGraw-Hill Cos. Inc. | 3,441,472 | 144,232 | |
Macy's Inc. | 4,750,263 | 138,898 | |
Wynn Resorts Ltd. | 909,088 | 130,490 | |
Staples Inc. | 8,118,759 | 128,276 | |
Starwood Hotels & Resorts Worldwide Inc. | 2,156,557 | 120,853 | |
Limited Brands Inc. | 3,101,825 | 119,265 | |
Best Buy Co. Inc. | 3,764,484 | 118,242 | |
Marriott International Inc. Class A | 3,303,144 | 117,229 | |
Comcast Corp. Class A Special Shares | 4,502,202 | 109,088 | |
Harley-Davidson Inc. | 2,643,557 | 108,307 | |
Mattel Inc. | 3,914,842 | 107,619 | |
Ross Stores Inc. | 1,341,661 | 107,494 | |
* | Liberty Media Corp. - Interactive | 6,403,553 | 107,388 |
* | Chipotle Mexican Grill Inc. Class A | 348,358 | 107,360 |
Tiffany & Co. | 1,348,686 | 105,899 | |
VF Corp. | 974,241 | 105,764 | |
* | O'Reilly Automotive Inc. | 1,583,914 | 103,762 |
Virgin Media Inc. | 3,433,108 | 102,753 | |
* | BorgWarner Inc. | 1,263,352 | 102,066 |
Fortune Brands Inc. | 1,549,742 | 98,827 | |
Polo Ralph Lauren Corp. Class A | 734,055 | 97,343 | |
Genuine Parts Co. | 1,770,087 | 96,293 | |
* | Dollar Tree Inc. | 1,406,030 | 93,670 |
Nordstrom Inc. | 1,957,843 | 91,901 | |
* | Sirius XM Radio Inc. | 41,941,288 | 91,851 |
* | AutoZone Inc. | 297,253 | 87,645 |
Gap Inc. | 4,829,736 | 87,418 | |
Cablevision Systems Corp. Class A | 2,393,348 | 86,663 | |
* | CarMax Inc. | 2,533,051 | 83,768 |
Autoliv Inc. | 1,000,097 | 78,458 | |
Darden Restaurants Inc. | 1,551,180 | 77,187 | |
Family Dollar Stores Inc. | 1,419,716 | 74,620 | |
* | DISH Network Corp. Class A | 2,300,051 | 70,543 |
1
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Whirlpool Corp. | 853,754 | 69,427 | |
* | TRW Automotive Holdings Corp. | 1,169,732 | 69,049 |
JC Penney Co. Inc. | 1,992,645 | 68,826 | |
* | Fossil Inc. | 584,344 | 68,789 |
Interpublic Group of Cos. Inc. | 5,491,800 | 68,648 | |
Abercrombie & Fitch Co. | 983,299 | 65,802 | |
Wyndham Worldwide Corp. | 1,948,014 | 65,551 | |
Expedia Inc. | 2,241,791 | 64,990 | |
* | Apollo Group Inc. Class A | 1,474,879 | 64,423 |
* | Liberty Media Corp. - Capital | 751,009 | 64,399 |
* | Discovery Communications Inc. Class A | 1,554,419 | 63,669 |
Lear Corp. | 1,181,570 | 63,190 | |
* | Lululemon Athletica Inc. | 558,688 | 62,472 |
Hasbro Inc. | 1,386,148 | 60,893 | |
PetSmart Inc. | 1,320,462 | 59,909 | |
* | Royal Caribbean Cruises Ltd. | 1,577,810 | 59,389 |
International Game Technology | 3,353,639 | 58,957 | |
* | Discovery Communications Inc. | 1,579,237 | 57,721 |
* | Liberty Global Inc. Class A | 1,272,752 | 57,325 |
H&R Block Inc. | 3,438,316 | 55,151 | |
Advance Auto Parts Inc. | 932,501 | 54,542 | |
Tractor Supply Co. | 815,198 | 54,520 | |
* | Tempur-Pedic International Inc. | 772,691 | 52,404 |
* | Liberty Global Inc. | 1,215,236 | 51,891 |
Newell Rubbermaid Inc. | 3,257,827 | 51,409 | |
Scripps Networks Interactive Inc. Class A | 1,048,154 | 51,234 | |
* | MGM Resorts International | 3,837,666 | 50,696 |
Gentex Corp. | 1,600,007 | 48,368 | |
Tupperware Brands Corp. | 705,925 | 47,615 | |
* | Goodyear Tire & Rubber Co. | 2,730,413 | 45,789 |
* | NVR Inc. | 62,876 | 45,615 |
* | GameStop Corp. Class A | 1,702,045 | 45,394 |
* | Signet Jewelers Ltd. | 963,196 | 45,087 |
Phillips-Van Heusen Corp. | 677,119 | 44,331 | |
DeVry Inc. | 739,189 | 43,708 | |
^ | Garmin Ltd. | 1,310,998 | 43,302 |
* | Panera Bread Co. Class A | 337,688 | 42,434 |
* | Liberty Media Corp. - Starz | 552,411 | 41,563 |
* | Urban Outfitters Inc. | 1,474,683 | 41,512 |
Foot Locker Inc. | 1,738,217 | 41,300 | |
* | LKQ Corp. | 1,556,509 | 40,609 |
Polaris Industries Inc. | 361,888 | 40,231 | |
Leggett & Platt Inc. | 1,647,151 | 40,158 | |
* | Dick's Sporting Goods Inc. | 1,029,158 | 39,571 |
* | Mohawk Industries Inc. | 656,427 | 39,379 |
* | Dollar General Corp. | 1,148,932 | 38,937 |
Williams-Sonoma Inc. | 1,064,052 | 38,827 | |
Gannett Co. Inc. | 2,690,820 | 38,533 | |
* | Deckers Outdoor Corp. | 432,844 | 38,151 |
DR Horton Inc. | 3,232,604 | 37,240 | |
Harman International Industries Inc. | 783,213 | 35,691 | |
*,^ | Sears Holdings Corp. | 490,008 | 35,006 |
* | Toll Brothers Inc. | 1,686,805 | 34,984 |
Jarden Corp. | 998,289 | 34,451 | |
Sotheby's | 757,667 | 32,959 | |
* | Ulta Salon Cosmetics & Fragrance Inc. | 500,954 | 32,352 |
* | Under Armour Inc. Class A | 413,625 | 31,977 |
Service Corp. International | 2,722,857 | 31,803 | |
* | Hanesbrands Inc. | 1,084,194 | 30,954 |
Guess? Inc. | 722,902 | 30,405 | |
Chico's FAS Inc. | 1,994,611 | 30,378 | |
* | Penn National Gaming Inc. | 751,285 | 30,307 |
* | Tenneco Inc. | 677,159 | 29,842 |
* | Dana Holding Corp. | 1,626,418 | 29,763 |
2
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Pulte Group Inc. | 3,867,866 | 29,628 |
* | Big Lots Inc. | 849,964 | 28,176 |
Weight Watchers International Inc. | 370,634 | 27,972 | |
Lennar Corp. Class A | 1,482,107 | 26,900 | |
John Wiley & Sons Inc. Class A | 517,088 | 26,894 | |
* | Warnaco Group Inc. | 495,977 | 25,915 |
* | CROCS Inc. | 996,263 | 25,654 |
* | Ascena Retail Group Inc. | 751,812 | 25,599 |
American Eagle Outfitters Inc. | 1,989,999 | 25,372 | |
Brinker International Inc. | 1,030,444 | 25,205 | |
Dillard's Inc. Class A | 481,282 | 25,094 | |
^ | Washington Post Co. Class B | 59,510 | 24,932 |
Aaron's Inc. | 857,441 | 24,231 | |
Wolverine World Wide Inc. | 548,221 | 22,888 | |
Rent-A-Center Inc. | 715,494 | 21,865 | |
* | ITT Educational Services Inc. | 270,045 | 21,128 |
* | Hyatt Hotels Corp. Class A | 502,125 | 20,497 |
* | Cheesecake Factory Inc. | 641,007 | 20,108 |
Cinemark Holdings Inc. | 965,802 | 20,002 | |
* | WMS Industries Inc. | 648,880 | 19,934 |
* | Carter's Inc. | 647,155 | 19,906 |
* | Iconix Brand Group Inc. | 819,205 | 19,825 |
Brunswick Corp. | 965,995 | 19,706 | |
* | Bally Technologies Inc. | 483,019 | 19,649 |
* | Timberland Co. Class A | 450,966 | 19,378 |
* | Sally Beauty Holdings Inc. | 1,132,655 | 19,368 |
Wendy's/Arby's Group Inc. Class A | 3,766,597 | 19,097 | |
^ | Strayer Education Inc. | 151,015 | 19,087 |
Men's Wearhouse Inc. | 565,932 | 19,072 | |
* | Lamar Advertising Co. Class A | 696,702 | 19,069 |
^ | Six Flags Entertainment Corp. | 505,724 | 18,939 |
* | Live Nation Entertainment Inc. | 1,634,466 | 18,747 |
Vail Resorts Inc. | 404,511 | 18,697 | |
* | Career Education Corp. | 883,659 | 18,689 |
*,^ | Coinstar Inc. | 340,288 | 18,559 |
*,^ | AutoNation Inc. | 504,756 | 18,479 |
* | Shutterfly Inc. | 319,552 | 18,349 |
* | Aeropostale Inc. | 1,019,613 | 17,843 |
* | Madison Square Garden Co. Class A | 640,685 | 17,638 |
Morningstar Inc. | 281,996 | 17,140 | |
* | ANN Inc. | 651,975 | 17,017 |
* | Life Time Fitness Inc. | 425,618 | 16,986 |
* | Valassis Communications Inc. | 560,512 | 16,984 |
*,^ | Tesla Motors Inc. | 578,819 | 16,861 |
Hillenbrand Inc. | 707,507 | 16,733 | |
Pool Corp. | 561,169 | 16,728 | |
* | Steven Madden Ltd. | 425,446 | 15,958 |
* | DreamWorks Animation SKG Inc. Class A | 786,004 | 15,799 |
RadioShack Corp. | 1,186,766 | 15,796 | |
* | JOS A Bank Clothiers Inc. | 312,194 | 15,613 |
* | DSW Inc. Class A | 300,886 | 15,228 |
* | HSN Inc. | 457,094 | 15,048 |
Monro Muffler Brake Inc. | 395,212 | 14,737 | |
Thor Industries Inc. | 501,555 | 14,465 | |
* | BJ's Restaurants Inc. | 275,680 | 14,435 |
* | Pier 1 Imports Inc. | 1,238,192 | 14,326 |
* | Saks Inc. | 1,271,063 | 14,198 |
* | Genesco Inc. | 267,019 | 13,912 |
* | Jack in the Box Inc. | 609,397 | 13,882 |
* | Domino's Pizza Inc. | 542,325 | 13,688 |
* | Cabela's Inc. | 500,210 | 13,581 |
* | Buffalo Wild Wings Inc. | 204,765 | 13,578 |
Buckle Inc. | 315,430 | 13,469 | |
Matthews International Corp. Class A | 333,187 | 13,377 |
3
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Vitamin Shoppe Inc. | 290,486 | 13,293 |
* | Office Depot Inc. | 3,128,546 | 13,202 |
Express Inc. | 601,181 | 13,106 | |
Cooper Tire & Rubber Co. | 658,904 | 13,040 | |
* | Childrens Place Retail Stores Inc. | 292,660 | 13,020 |
* | Hibbett Sports Inc. | 316,986 | 12,905 |
Texas Roadhouse Inc. Class A | 735,164 | 12,891 | |
Meredith Corp. | 413,528 | 12,873 | |
Cracker Barrel Old Country Store Inc. | 260,807 | 12,860 | |
* | New York Times Co. Class A | 1,449,129 | 12,636 |
* | Pinnacle Entertainment Inc. | 842,753 | 12,557 |
Arbitron Inc. | 303,604 | 12,548 | |
Finish Line Inc. Class A | 583,349 | 12,484 | |
* | Orient-Express Hotels Ltd. Class A | 1,151,308 | 12,377 |
* | Gaylord Entertainment Co. | 406,428 | 12,193 |
Bob Evans Farms Inc. | 345,331 | 12,076 | |
Regal Entertainment Group Class A | 953,251 | 11,773 | |
MDC Holdings Inc. | 461,301 | 11,366 | |
Cato Corp. Class A | 386,248 | 11,124 | |
Choice Hotels International Inc. | 330,907 | 11,039 | |
* | 99 Cents Only Stores | 534,145 | 10,811 |
* | Helen of Troy Ltd. | 310,623 | 10,726 |
National CineMedia Inc. | 631,793 | 10,684 | |
Jones Group Inc. | 977,145 | 10,602 | |
* | Collective Brands Inc. | 718,675 | 10,557 |
*,^ | Eastman Kodak Co. | 2,913,992 | 10,432 |
PF Chang's China Bistro Inc. | 258,916 | 10,419 | |
*,^ | Education Management Corp. | 432,654 | 10,358 |
Penske Automotive Group Inc. | 452,619 | 10,293 | |
Group 1 Automotive Inc. | 240,735 | 9,913 | |
CEC Entertainment Inc. | 241,781 | 9,698 | |
* | Charming Shoppes Inc. | 2,328,091 | 9,685 |
Regis Corp. | 631,656 | 9,677 | |
American Greetings Corp. Class A | 395,653 | 9,512 | |
Columbia Sportswear Co. | 149,104 | 9,453 | |
Ameristar Casinos Inc. | 394,011 | 9,342 | |
* | Select Comfort Corp. | 513,643 | 9,235 |
* | True Religion Apparel Inc. | 313,310 | 9,111 |
* | Exide Technologies | 1,173,180 | 8,963 |
* | Papa John's International Inc. | 259,065 | 8,617 |
* | Biglari Holdings Inc. | 21,975 | 8,593 |
* | K12 Inc. | 255,874 | 8,480 |
* | iRobot Corp. | 238,916 | 8,431 |
* | Modine Manufacturing Co. | 545,511 | 8,385 |
KB Home | 851,684 | 8,329 | |
Sturm Ruger & Co. Inc. | 373,450 | 8,197 | |
Scholastic Corp. | 307,122 | 8,169 | |
* | Lions Gate Entertainment Corp. | 1,213,798 | 8,035 |
Fred's Inc. Class A | 543,394 | 7,841 | |
* | Quiksilver Inc. | 1,665,212 | 7,826 |
Barnes & Noble Inc. | 468,711 | 7,771 | |
* | Scientific Games Corp. Class A | 748,857 | 7,743 |
* | Ruby Tuesday Inc. | 717,508 | 7,735 |
International Speedway Corp. Class A | 271,521 | 7,714 | |
* | American Public Education Inc. | 172,381 | 7,673 |
* | Meritage Homes Corp. | 339,612 | 7,662 |
* | Krispy Kreme Doughnuts Inc. | 797,230 | 7,582 |
* | Pre-Paid Legal Services Inc. | 112,712 | 7,494 |
Stage Stores Inc. | 443,518 | 7,451 | |
* | OfficeMax Inc. | 941,827 | 7,393 |
* | Peet's Coffee & Tea Inc. | 126,914 | 7,323 |
* | DineEquity Inc. | 139,896 | 7,312 |
Ryland Group Inc. | 437,816 | 7,237 | |
* | Capella Education Co. | 171,422 | 7,174 |
4
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Blue Nile Inc. | 156,618 | 6,888 |
* | Liz Claiborne Inc. | 1,274,928 | 6,821 |
Sonic Automotive Inc. Class A | 461,655 | 6,763 | |
* | American Axle & Manufacturing Holdings Inc. | 591,555 | 6,732 |
* | Belo Corp. Class A | 876,289 | 6,598 |
* | Vera Bradley Inc. | 168,678 | 6,444 |
* | Standard Pacific Corp. | 1,922,692 | 6,441 |
Superior Industries International Inc. | 286,133 | 6,326 | |
* | Zumiez Inc. | 250,913 | 6,265 |
* | Wet Seal Inc. Class A | 1,371,200 | 6,129 |
* | Red Robin Gourmet Burgers Inc. | 166,440 | 6,055 |
* | Ascent Media Corp. Class A | 113,371 | 6,005 |
* | Federal-Mogul Corp. | 262,153 | 5,985 |
* | Maidenform Brands Inc. | 209,153 | 5,785 |
Stewart Enterprises Inc. Class A | 792,463 | 5,785 | |
* | Steiner Leisure Ltd. | 126,224 | 5,766 |
Ethan Allen Interiors Inc. | 270,456 | 5,758 | |
Nutrisystem Inc. | 404,431 | 5,686 | |
* | La-Z-Boy Inc. | 574,999 | 5,675 |
* | Interval Leisure Group Inc. | 409,941 | 5,612 |
* | California Pizza Kitchen Inc. | 300,653 | 5,553 |
Sinclair Broadcast Group Inc. Class A | 504,341 | 5,538 | |
* | Sonic Corp. | 519,883 | 5,526 |
* | Lumber Liquidators Holdings Inc. | 216,694 | 5,504 |
* | Denny's Corp. | 1,409,714 | 5,470 |
* | Skechers U.S.A. Inc. Class A | 377,686 | 5,469 |
News Corp. Class B | 293,585 | 5,308 | |
Universal Technical Institute Inc. | 268,051 | 5,299 | |
* | EW Scripps Co. Class A | 543,445 | 5,255 |
* | Clear Channel Outdoor Holdings Inc. Class A | 411,477 | 5,226 |
* | Grand Canyon Education Inc. | 361,724 | 5,129 |
PEP Boys-Manny Moe & Jack | 466,153 | 5,095 | |
* | Asbury Automotive Group Inc. | 272,324 | 5,046 |
* | Boyd Gaming Corp. | 579,849 | 5,045 |
* | Shuffle Master Inc. | 530,744 | 4,965 |
* | G-III Apparel Group Ltd. | 142,187 | 4,903 |
Churchill Downs Inc. | 105,181 | 4,742 | |
* | Dorman Products Inc. | 116,860 | 4,625 |
HOT Topic Inc. | 620,610 | 4,617 | |
* | Amerigon Inc. | 258,517 | 4,493 |
Brown Shoe Co. Inc. | 417,848 | 4,450 | |
* | Core-Mark Holding Co. Inc. | 124,511 | 4,445 |
* | Jakks Pacific Inc. | 239,459 | 4,408 |
* | Knology Inc. | 289,480 | 4,299 |
Standard Motor Products Inc. | 279,807 | 4,261 | |
*,^ | Bridgepoint Education Inc. | 167,502 | 4,188 |
* | Rue21 Inc. | 128,134 | 4,164 |
Drew Industries Inc. | 167,626 | 4,144 | |
*,^ | Corinthian Colleges Inc. | 971,841 | 4,140 |
Callaway Golf Co. | 658,772 | 4,098 | |
* | America's Car-Mart Inc. | 120,901 | 3,990 |
Harte-Hanks Inc. | 486,684 | 3,952 | |
Lennar Corp. Class B | 266,260 | 3,909 | |
Oxford Industries Inc. | 115,662 | 3,905 | |
* | Perry Ellis International Inc. | 144,281 | 3,643 |
PetMed Express Inc. | 297,962 | 3,531 | |
Blyth Inc. | 69,509 | 3,500 | |
* | AFC Enterprises Inc. | 212,593 | 3,497 |
Lincoln Educational Services Corp. | 197,838 | 3,393 | |
* | Rentrak Corp. | 191,094 | 3,390 |
Movado Group Inc. | 197,890 | 3,386 | |
* | Fuel Systems Solutions Inc. | 134,970 | 3,368 |
* | Warner Music Group Corp. | 409,548 | 3,366 |
* | Systemax Inc. | 223,222 | 3,335 |
5
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Lithia Motors Inc. Class A | 169,545 | 3,328 | |
* | Journal Communications Inc. Class A | 624,003 | 3,226 |
* | Steinway Musical Instruments Inc. | 124,755 | 3,205 |
* | Universal Electronics Inc. | 122,071 | 3,084 |
* | Unifi Inc. | 219,213 | 3,025 |
* | Geeknet Inc. | 111,582 | 2,981 |
World Wrestling Entertainment Inc. Class A | 311,943 | 2,973 | |
* | Stoneridge Inc. | 192,256 | 2,834 |
* | K-Swiss Inc. Class A | 265,877 | 2,826 |
* | Winnebago Industries Inc. | 286,655 | 2,769 |
Stein Mart Inc. | 275,099 | 2,652 | |
* | Cavco Industries Inc. | 57,982 | 2,609 |
*,^ | Talbots Inc. | 778,727 | 2,601 |
CPI Corp. | 197,248 | 2,594 | |
* | Bravo Brio Restaurant Group Inc. | 105,518 | 2,578 |
* | Beazer Homes USA Inc. | 752,089 | 2,550 |
* | Furniture Brands International Inc. | 605,335 | 2,506 |
* | Famous Dave's Of America Inc. | 248,210 | 2,485 |
Cherokee Inc. | 142,670 | 2,448 | |
*,^ | hhgregg Inc. | 176,810 | 2,369 |
PRIMEDIA Inc. | 333,624 | 2,352 | |
*,^ | Hovnanian Enterprises Inc. Class A | 967,469 | 2,332 |
Destination Maternity Corp. | 115,707 | 2,312 | |
* | Libbey Inc. | 141,825 | 2,300 |
Christopher & Banks Corp. | 398,347 | 2,290 | |
* | Carmike Cinemas Inc. | 325,931 | 2,252 |
* | Valuevision Media Inc. Class A | 291,685 | 2,231 |
* | Zale Corp. | 397,772 | 2,228 |
* | Citi Trends Inc. | 143,642 | 2,166 |
* | Arctic Cat Inc. | 156,285 | 2,099 |
* | Overstock.com Inc. | 137,480 | 2,092 |
AH Belo Corp. Class A | 277,411 | 2,064 | |
* | Cost Plus Inc. | 201,549 | 2,015 |
Carriage Services Inc. Class A | 344,724 | 1,955 | |
Speedway Motorsports Inc. | 137,723 | 1,953 | |
Mac-Gray Corp. | 125,960 | 1,946 | |
* | Carrols Restaurant Group Inc. | 185,734 | 1,939 |
* | O'Charleys Inc. | 262,662 | 1,920 |
* | Kirkland's Inc. | 159,695 | 1,920 |
* | Shoe Carnival Inc. | 62,945 | 1,898 |
Hooker Furniture Corp. | 209,836 | 1,859 | |
*,^ | Dex One Corp. | 728,768 | 1,844 |
* | Town Sports International Holdings Inc. | 238,457 | 1,815 |
* | Sealy Corp. | 709,228 | 1,794 |
Big 5 Sporting Goods Corp. | 221,533 | 1,741 | |
* | Isle of Capri Casinos Inc. | 196,698 | 1,741 |
Weyco Group Inc. | 69,146 | 1,701 | |
Spartan Motors Inc. | 314,997 | 1,701 | |
Haverty Furniture Cos. Inc. | 146,441 | 1,686 | |
* | Saga Communications Inc. Class A | 45,356 | 1,678 |
* | LIN TV Corp. Class A | 340,392 | 1,658 |
* | Smith & Wesson Holding Corp. | 550,906 | 1,653 |
Marcus Corp. | 166,453 | 1,645 | |
* | Monarch Casino & Resort Inc. | 150,288 | 1,569 |
* | Kid Brands Inc. | 291,432 | 1,504 |
Learning Tree International Inc. | 165,177 | 1,472 | |
CSS Industries Inc. | 70,136 | 1,468 | |
* | Leapfrog Enterprises Inc. | 341,575 | 1,441 |
* | Jamba Inc. | 662,916 | 1,419 |
Strattec Security Corp. | 66,843 | 1,402 | |
* | Pacific Sunwear of California Inc. | 536,204 | 1,399 |
* | Audiovox Corp. Class A | 185,001 | 1,399 |
* | Midas Inc. | 218,061 | 1,378 |
Bon-Ton Stores Inc. | 135,766 | 1,320 |
6
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Gaiam Inc. Class A | 263,014 | 1,307 | |
* | Multimedia Games Holding Co. Inc. | 286,655 | 1,304 |
Bebe Stores Inc. | 213,109 | 1,302 | |
* | Daily Journal Corp. | 17,925 | 1,301 |
*,^ | McClatchy Co. Class A | 462,456 | 1,300 |
* | Kenneth Cole Productions Inc. Class A | 103,148 | 1,288 |
* | Coldwater Creek Inc. | 906,201 | 1,269 |
* | Morgans Hotel Group Co. | 175,856 | 1,264 |
* | M/I Homes Inc. | 100,961 | 1,238 |
* | Fisher Communications Inc. | 41,285 | 1,231 |
Ambassadors Group Inc. | 138,316 | 1,221 | |
* | Martha Stewart Living Omnimedia Class A | 280,887 | 1,219 |
* | New York & Co. Inc. | 244,853 | 1,212 |
* | Entercom Communications Corp. Class A | 138,464 | 1,202 |
*,^ | Radio One Inc. | 675,705 | 1,196 |
*,^ | Cumulus Media Inc. Class A | 338,258 | 1,184 |
Shiloh Industries Inc. | 108,341 | 1,168 | |
* | West Marine Inc. | 111,032 | 1,151 |
Bassett Furniture Industries Inc. | 145,787 | 1,149 | |
* | Morton's Restaurant Group Inc. | 155,616 | 1,127 |
* | Red Lion Hotels Corp. | 139,524 | 1,102 |
* | Benihana Inc. Class A | 104,472 | 1,096 |
Lifetime Brands Inc. | 92,073 | 1,081 | |
Dover Downs Gaming & Entertainment Inc. | 335,207 | 1,073 | |
*,^ | Wonder Auto Technology Inc. | 388,803 | 1,054 |
* | Body Central Corp. | 44,274 | 1,042 |
* | Casual Male Retail Group Inc. | 245,033 | 1,017 |
* | Tuesday Morning Corp. | 214,618 | 998 |
*,^ | Conn's Inc. | 111,322 | 963 |
* | McCormick & Schmick's Seafood Restaurants Inc. | 111,113 | 954 |
* | Stanley Furniture Co. Inc. | 222,499 | 932 |
* | Marine Products Corp. | 136,678 | 918 |
* | MarineMax Inc. | 101,809 | 892 |
* | Cache Inc. | 180,108 | 888 |
* | Rick's Cabaret International Inc. | 98,926 | 835 |
* | Johnson Outdoors Inc. Class A | 48,020 | 822 |
* | Great Wolf Resorts Inc. | 267,831 | 814 |
* | Delta Apparel Inc. | 47,133 | 801 |
* | Navarre Corp. | 403,762 | 795 |
Skyline Corp. | 44,299 | 775 | |
Outdoor Channel Holdings Inc. | 110,258 | 754 | |
* | Heelys Inc. | 322,221 | 735 |
* | Build-A-Bear Workshop Inc. | 110,719 | 721 |
* | Joe's Jeans Inc. | 832,167 | 707 |
* | Orbitz Worldwide Inc. | 282,302 | 703 |
* | Luby's Inc. | 126,085 | 696 |
* | Caribou Coffee Co. Inc. | 52,409 | 694 |
* | 1-800-Flowers.com Inc. Class A | 210,914 | 654 |
* | MTR Gaming Group Inc. | 207,998 | 630 |
*,^ | Quantum Fuel Systems Technologies Worldwide Inc. | 175,087 | 608 |
* | Premier Exhibitions Inc. | 345,029 | 600 |
Escalade Inc. | 93,954 | 567 | |
Collectors Universe | 37,513 | 556 | |
* | Century Casinos Inc. | 194,827 | 542 |
* | Gray Television Inc. | 201,600 | 532 |
* | Nautilus Inc. | 256,489 | 513 |
* | Ruth's Hospitality Group Inc. | 89,924 | 504 |
* | Nexstar Broadcasting Group Inc. Class A | 61,008 | 501 |
* | Hastings Entertainment Inc. | 120,799 | 495 |
*,^ | SuperMedia Inc. | 129,154 | 484 |
*,^ | Lee Enterprises Inc. | 533,582 | 475 |
*,^ | American Apparel Inc. | 530,315 | 472 |
* | dELiA*s Inc. | 289,676 | 455 |
* | Dixie Group Inc. | 99,243 | 424 |
7
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Dover Motorsports Inc. | 218,648 | 405 |
* | Benihana Inc. Class A | 37,839 | 394 |
^ | Books-A-Million Inc. | 109,907 | 381 |
* | Bluegreen Corp. | 125,034 | 366 |
* | Reading International Inc. Class A | 80,385 | 366 |
* | Canterbury Park Holding Corp. | 24,382 | 354 |
* | Emerson Radio Corp. | 167,147 | 344 |
* | Harris Interactive Inc. | 397,783 | 338 |
* | Global Traffic Network Inc. | 29,130 | 335 |
* | Entravision Communications Corp. Class A | 178,402 | 330 |
* | Trans World Entertainment Corp. | 160,912 | 328 |
* | Media General Inc. Class A | 83,158 | 318 |
* | Vitacost.com Inc. | 63,377 | 307 |
* | Motorcar Parts of America Inc. | 20,242 | 304 |
*,^ | Empire Resorts Inc. | 321,191 | 298 |
Gaming Partners International Corp. | 41,527 | 297 | |
* | ReachLocal Inc. | 14,200 | 296 |
Salem Communications Corp. Class A | 81,595 | 293 | |
Frisch's Restaurants Inc. | 12,073 | 282 | |
* | Duckwall-ALCO Stores Inc. | 24,964 | 265 |
* | Culp Inc. | 25,624 | 241 |
* | Spanish Broadcasting System Inc. | 343,600 | 241 |
* | Hollywood Media Corp. | 157,987 | 237 |
* | Hallwood Group Inc. | 12,464 | 237 |
* | Lakes Entertainment Inc. | 91,909 | 202 |
* | Nobel Learning Communities Inc. | 17,389 | 201 |
* | TravelCenters of America LLC | 27,000 | 147 |
* | LodgeNet Interactive Corp. | 43,342 | 131 |
* | Sport Chalet Inc. Class A | 63,784 | 129 |
* | interCLICK Inc. | 14,805 | 118 |
*,^ | Atrinsic Inc. | 35,997 | 115 |
* | AC Moore Arts & Crafts Inc. | 45,984 | 115 |
* | Rocky Brands Inc. | 7,559 | 93 |
* | Private Media Group Inc. | 125,794 | 78 |
* | Princeton Review Inc. | 228,204 | 51 |
* | Hovnanian Enterprises Inc. Class B | 19,300 | 47 |
*,^ | Universal Travel Group | 42,843 | 42 |
* | Forward Industries Inc. | 14,310 | 38 |
Flexsteel Industries | 2,570 | 37 | |
* | Tandy Brands Accessories Inc. | 17,460 | 34 |
* | Archipelago Learning Inc. | 2,581 | 25 |
* | SPAR Group Inc. | 16,145 | 18 |
* | Krispy Kreme Doughnuts Inc. Warrants Exp. 03/02/2012 | 9,739 | 7 |
* | Sport Chalet Inc. Class B | 1,820 | 4 |
* | Bowl America Inc. Class A | 200 | 3 |
* | US Auto Parts Network Inc. | 299 | 2 |
* | Cambium Learning Group Inc. | 500 | 2 |
Educational Development Corp. | 281 | 2 | |
Koss Corp. | 100 | 1 | |
* | J Crew Group Inc. Escrow | 3,560 | — |
19,481,425 | |||
Consumer Staples (9.1%) | |||
Procter & Gamble Co. | 31,422,225 | 1,997,511 | |
Coca-Cola Co. | 23,161,811 | 1,558,558 | |
Philip Morris International Inc. | 20,158,406 | 1,345,977 | |
PepsiCo Inc. | 17,795,815 | 1,253,359 | |
Wal-Mart Stores Inc. | 21,975,144 | 1,167,759 | |
Kraft Foods Inc. | 18,636,512 | 656,564 | |
Altria Group Inc. | 23,470,222 | 619,849 | |
CVS Caremark Corp. | 15,346,894 | 576,736 | |
Colgate-Palmolive Co. | 5,539,842 | 484,238 | |
Walgreen Co. | 10,346,763 | 439,324 | |
Costco Wholesale Corp. | 4,898,652 | 397,966 | |
Kimberly-Clark Corp. | 4,537,908 | 302,043 |
8
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
General Mills Inc. | 7,134,909 | 265,561 | |
Archer-Daniels-Midland Co. | 7,149,010 | 215,543 | |
Sysco Corp. | 6,536,653 | 203,813 | |
HJ Heinz Co. | 3,599,376 | 191,775 | |
Lorillard Inc. | 1,633,429 | 177,831 | |
Kroger Co. | 6,777,100 | 168,072 | |
Kellogg Co. | 2,868,706 | 158,697 | |
Mead Johnson Nutrition Co. | 2,295,826 | 155,083 | |
Reynolds American Inc. | 3,925,824 | 145,452 | |
Estee Lauder Cos. Inc. Class A | 1,360,066 | 143,065 | |
Avon Products Inc. | 4,822,913 | 135,042 | |
* | Green Mountain Coffee Roasters Inc. | 1,432,960 | 127,906 |
ConAgra Foods Inc. | 4,896,929 | 126,390 | |
Sara Lee Corp. | 6,633,649 | 125,973 | |
Bunge Ltd. | 1,626,142 | 112,122 | |
Coca-Cola Enterprises Inc. | 3,705,253 | 108,119 | |
Hershey Co. | 1,870,337 | 106,329 | |
Dr Pepper Snapple Group Inc. | 2,528,385 | 106,015 | |
Whole Foods Market Inc. | 1,655,765 | 105,058 | |
Clorox Co. | 1,553,032 | 104,736 | |
JM Smucker Co. | 1,336,784 | 102,184 | |
Safeway Inc. | 4,150,190 | 96,990 | |
Molson Coors Brewing Co. Class B | 1,831,401 | 81,937 | |
Campbell Soup Co. | 2,247,255 | 77,643 | |
Herbalife Ltd. | 1,326,972 | 76,487 | |
Brown-Forman Corp. Class B | 944,549 | 70,548 | |
* | Hansen Natural Corp. | 849,411 | 68,760 |
McCormick & Co. Inc. | 1,352,877 | 67,062 | |
Tyson Foods Inc. Class A | 3,451,387 | 67,026 | |
Church & Dwight Co. Inc. | 1,601,331 | 64,918 | |
* | Energizer Holdings Inc. | 793,123 | 57,390 |
* | Ralcorp Holdings Inc. | 617,721 | 53,482 |
Hormel Foods Corp. | 1,646,549 | 49,084 | |
Corn Products International Inc. | 856,349 | 47,339 | |
* | Constellation Brands Inc. Class A | 2,090,451 | 43,523 |
* | Smithfield Foods Inc. | 1,680,671 | 36,756 |
* | BJ's Wholesale Club Inc. | 613,191 | 30,874 |
Flowers Foods Inc. | 1,312,559 | 28,929 | |
* | Dean Foods Co. | 2,062,600 | 25,308 |
Nu Skin Enterprises Inc. Class A | 626,806 | 23,537 | |
* | Darling International Inc. | 1,311,039 | 23,205 |
SUPERVALU Inc. | 2,382,192 | 22,416 | |
* | United Natural Foods Inc. | 514,196 | 21,941 |
* | TreeHouse Foods Inc. | 397,793 | 21,723 |
Ruddick Corp. | 498,409 | 21,701 | |
^ | Diamond Foods Inc. | 247,020 | 18,858 |
Casey's General Stores Inc. | 426,254 | 18,755 | |
Sanderson Farms Inc. | 277,594 | 13,263 | |
Lancaster Colony Corp. | 217,676 | 13,239 | |
* | Hain Celestial Group Inc. | 387,208 | 12,917 |
Fresh Del Monte Produce Inc. | 474,388 | 12,652 | |
* | Fresh Market Inc. | 325,581 | 12,593 |
B&G Foods Inc. Class A | 518,013 | 10,681 | |
^ | Vector Group Ltd. | 571,877 | 10,174 |
Universal Corp. | 264,912 | 9,979 | |
Pricesmart Inc. | 180,644 | 9,254 | |
* | Boston Beer Co. Inc. Class A | 102,065 | 9,145 |
Andersons Inc. | 214,879 | 9,079 | |
* | Rite Aid Corp. | 6,195,428 | 8,240 |
* | Chiquita Brands International Inc. | 627,540 | 8,171 |
* | Central European Distribution Corp. | 727,033 | 8,143 |
Snyders-Lance Inc. | 372,908 | 8,066 | |
Nash Finch Co. | 212,944 | 7,626 | |
J&J Snack Foods Corp. | 134,429 | 6,701 |
9
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Tootsie Roll Industries Inc. | 225,422 | 6,596 | |
WD-40 Co. | 165,115 | 6,446 | |
* | Elizabeth Arden Inc. | 214,961 | 6,240 |
* | Heckmann Corp. | 947,901 | 5,725 |
* | Prestige Brands Holdings Inc. | 433,145 | 5,562 |
Coca-Cola Bottling Co. Consolidated | 80,316 | 5,434 | |
^ | Cal-Maine Foods Inc. | 164,177 | 5,247 |
Spartan Stores Inc. | 257,615 | 5,031 | |
Weis Markets Inc. | 122,852 | 5,004 | |
* | Spectrum Brands Holdings Inc. | 150,200 | 4,806 |
*,^ | Dole Food Co. Inc. | 353,738 | 4,783 |
* | Winn-Dixie Stores Inc. | 537,790 | 4,544 |
* | Pantry Inc. | 230,449 | 4,330 |
Imperial Sugar Co. | 211,735 | 4,235 | |
* | Central Garden and Pet Co. Class A | 396,460 | 4,024 |
*,^ | Star Scientific Inc. | 846,865 | 3,811 |
Inter Parfums Inc. | 155,560 | 3,583 | |
* | Smart Balance Inc. | 667,121 | 3,456 |
* | Medifast Inc. | 143,118 | 3,396 |
* | Revlon Inc. Class A | 192,679 | 3,237 |
* | USANA Health Sciences Inc. | 93,807 | 2,934 |
* | Omega Protein Corp. | 190,114 | 2,624 |
* | Alliance One International Inc. | 761,381 | 2,459 |
* | Central Garden and Pet Co. | 230,873 | 2,396 |
* | Physicians Formula Holdings Inc. | 582,740 | 2,331 |
Calavo Growers Inc. | 110,578 | 2,329 | |
Village Super Market Inc. Class A | 83,795 | 2,322 | |
Oil-Dri Corp. of America | 107,016 | 2,292 | |
* | Pilgrim's Pride Corp. | 411,386 | 2,226 |
* | Nutraceutical International Corp. | 144,527 | 2,223 |
Schiff Nutrition International Inc. | 196,033 | 2,194 | |
Ingles Markets Inc. Class A | 106,963 | 1,770 | |
National Beverage Corp. | 113,822 | 1,668 | |
* | John B Sanfilippo & Son Inc. | 178,645 | 1,511 |
Limoneira Co. | 60,327 | 1,363 | |
*,^ | Lifeway Foods Inc. | 112,340 | 1,256 |
* | Inventure Foods Inc. | 270,347 | 1,079 |
Alico Inc. | 41,757 | 1,070 | |
* | Seneca Foods Corp. Class A | 40,736 | 1,042 |
* | Susser Holdings Corp. | 63,631 | 1,000 |
* | Reddy Ice Holdings Inc. | 320,485 | 901 |
Female Health Co. | 167,990 | 840 | |
Griffin Land & Nurseries Inc. | 22,753 | 739 | |
* | Primo Water Corp. | 50,372 | 725 |
MGP Ingredients Inc. | 60,269 | 525 | |
* | Parlux Fragrances Inc. | 133,041 | 427 |
Farmer Bros Co. | 38,108 | 386 | |
Reliv International Inc. | 146,638 | 267 | |
* | Mannatech Inc. | 218,373 | 210 |
Orchids Paper Products Co. | 15,513 | 196 | |
* | Jones Soda Co. | 174,121 | 193 |
* | Overhill Farms Inc. | 33,651 | 187 |
* | HQ Sustainable Maritime Industries Inc. | 84,816 | 65 |
*,^ | American Oriental Bioengineering Inc. | 22,551 | 25 |
* | Crystal Rock Holdings Inc. | 32,920 | 25 |
Bridgford Foods Corp. | 100 | 1 | |
15,410,056 | |||
Energy (11.7%) | |||
Exxon Mobil Corp. | 55,620,378 | 4,526,386 | |
Chevron Corp. | 22,517,532 | 2,315,703 | |
Schlumberger Ltd. | 15,266,291 | 1,319,008 | |
ConocoPhillips | 15,234,577 | 1,145,488 | |
Occidental Petroleum Corp. | 9,117,773 | 948,613 | |
Apache Corp. | 4,295,170 | 529,981 |
10
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Halliburton Co. | 10,245,244 | 522,507 | |
Anadarko Petroleum Corp. | 5,566,667 | 427,297 | |
Marathon Oil Corp. | 7,972,208 | 419,976 | |
National Oilwell Varco Inc. | 4,725,214 | 369,559 | |
Devon Energy Corp. | 4,552,169 | 358,756 | |
Baker Hughes Inc. | 4,873,186 | 353,598 | |
EOG Resources Inc. | 2,853,774 | 298,362 | |
Hess Corp. | 3,410,475 | 254,967 | |
Chesapeake Energy Corp. | 7,335,439 | 217,789 | |
Spectra Energy Corp. | 7,275,733 | 199,428 | |
Williams Cos. Inc. | 6,575,798 | 198,918 | |
Peabody Energy Corp. | 3,036,201 | 178,863 | |
Noble Energy Inc. | 1,972,265 | 176,774 | |
* | Southwestern Energy Co. | 3,902,461 | 167,338 |
Valero Energy Corp. | 6,382,375 | 163,197 | |
El Paso Corp. | 7,905,600 | 159,693 | |
* | Weatherford International Ltd. | 8,324,868 | 156,091 |
* | Cameron International Corp. | 2,746,698 | 138,131 |
Murphy Oil Corp. | 2,055,946 | 134,993 | |
Consol Energy Inc. | 2,538,849 | 123,083 | |
* | FMC Technologies Inc. | 2,696,606 | 120,781 |
* | Alpha Natural Resources Inc. | 2,542,515 | 115,532 |
Noble Corp. | 2,831,412 | 111,586 | |
Pioneer Natural Resources Co. | 1,176,780 | 105,404 | |
* | Newfield Exploration Co. | 1,508,294 | 102,594 |
* | Concho Resources Inc. | 1,098,536 | 100,901 |
Range Resources Corp. | 1,801,428 | 99,979 | |
* | Denbury Resources Inc. | 4,485,648 | 89,713 |
Cimarex Energy Co. | 959,847 | 86,309 | |
* | Petrohawk Energy Corp. | 3,395,792 | 83,774 |
EQT Corp. | 1,592,076 | 83,616 | |
QEP Resources Inc. | 1,979,023 | 82,783 | |
* | Nabors Industries Ltd. | 3,205,567 | 78,985 |
Helmerich & Payne Inc. | 1,194,303 | 78,967 | |
* | Ultra Petroleum Corp. | 1,714,205 | 78,511 |
Cabot Oil & Gas Corp. | 1,170,593 | 77,622 | |
* | Whiting Petroleum Corp. | 1,326,552 | 75,494 |
Arch Coal Inc. | 2,369,757 | 63,178 | |
* | Kinder Morgan Management LLC | 945,176 | 61,994 |
* | Plains Exploration & Production Co. | 1,573,291 | 59,974 |
Sunoco Inc. | 1,354,970 | 56,516 | |
Core Laboratories NV | 506,211 | 56,463 | |
* | Rowan Cos. Inc. | 1,417,974 | 55,032 |
Diamond Offshore Drilling Inc. | 780,194 | 54,933 | |
Patterson-UTI Energy Inc. | 1,731,319 | 54,727 | |
Southern Union Co. | 1,330,434 | 53,417 | |
SM Energy Co. | 712,789 | 52,376 | |
* | McDermott International Inc. | 2,622,740 | 51,956 |
Oceaneering International Inc. | 1,216,104 | 49,252 | |
* | Dresser-Rand Group Inc. | 904,320 | 48,607 |
Energen Corp. | 809,300 | 45,725 | |
* | Oil States International Inc. | 571,574 | 45,674 |
* | SandRidge Energy Inc. | 4,154,362 | 44,286 |
Holly Corp. | 598,643 | 41,546 | |
* | Brigham Exploration Co. | 1,313,501 | 39,313 |
Frontier Oil Corp. | 1,189,715 | 38,440 | |
* | Tesoro Corp. | 1,610,627 | 36,899 |
CARBO Ceramics Inc. | 221,422 | 36,081 | |
Kinder Morgan Inc. | 1,234,017 | 35,453 | |
* | Superior Energy Services Inc. | 887,240 | 32,952 |
* | Continental Resources Inc. | 504,198 | 32,727 |
* | Forest Oil Corp. | 1,213,807 | 32,421 |
Tidewater Inc. | 578,833 | 31,147 | |
* | Rosetta Resources Inc. | 595,204 | 30,677 |
11
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Lufkin Industries Inc. | 337,371 | 29,031 | |
* | Atwood Oceanics Inc. | 653,163 | 28,824 |
Berry Petroleum Co. Class A | 530,058 | 28,162 | |
World Fuel Services Corp. | 781,219 | 28,069 | |
* | Unit Corp. | 457,798 | 27,894 |
* | Key Energy Services Inc. | 1,440,273 | 25,925 |
EXCO Resources Inc. | 1,442,710 | 25,464 | |
* | Energy XXI Bermuda Ltd. | 745,931 | 24,780 |
* | Bill Barrett Corp. | 527,816 | 24,464 |
* | Dril-Quip Inc. | 359,555 | 24,389 |
* | CVR Energy Inc. | 985,505 | 24,263 |
* | Complete Production Services Inc. | 705,683 | 23,542 |
* | Patriot Coal Corp. | 1,027,055 | 22,862 |
SEACOR Holdings Inc. | 228,600 | 22,851 | |
Bristow Group Inc. | 407,983 | 20,815 | |
* | McMoRan Exploration Co. | 1,069,291 | 19,761 |
* | Helix Energy Solutions Group Inc. | 1,135,593 | 18,805 |
* | Gran Tierra Energy Inc. | 2,765,224 | 18,278 |
*,^ | Western Refining Inc. | 986,973 | 17,835 |
* | Cobalt International Energy Inc. | 1,305,884 | 17,799 |
* | Swift Energy Co. | 472,588 | 17,613 |
* | Carrizo Oil & Gas Inc. | 410,903 | 17,155 |
* | Oasis Petroleum Inc. | 569,983 | 16,917 |
* | Quicksilver Resources Inc. | 1,054,776 | 15,569 |
* | Comstock Resources Inc. | 527,526 | 15,187 |
* | Stone Energy Corp. | 493,777 | 15,006 |
* | Cloud Peak Energy Inc. | 685,614 | 14,604 |
*,^ | Northern Oil and Gas Inc. | 612,628 | 13,570 |
* | Exterran Holdings Inc. | 675,804 | 13,401 |
* | ION Geophysical Corp. | 1,368,646 | 12,947 |
* | Gulfport Energy Corp. | 416,981 | 12,380 |
RPC Inc. | 499,624 | 12,261 | |
* | Kodiak Oil & Gas Corp. | 1,996,068 | 11,517 |
* | Gulfmark Offshore Inc. | 252,190 | 11,144 |
* | Tetra Technologies Inc. | 837,474 | 10,661 |
W&T Offshore Inc. | 353,326 | 9,229 | |
* | Hercules Offshore Inc. | 1,673,863 | 9,223 |
* | Pioneer Drilling Co. | 598,982 | 9,128 |
* | James River Coal Co. | 436,279 | 9,083 |
* | Enbridge Energy Management LLC | 293,748 | 9,077 |
* | SemGroup Corp. Class A | 349,240 | 8,965 |
^ | Overseas Shipholding Group Inc. | 330,696 | 8,909 |
* | Hornbeck Offshore Services Inc. | 316,620 | 8,707 |
* | Newpark Resources Inc. | 942,372 | 8,547 |
*,^ | Hyperdynamics Corp. | 1,927,815 | 8,290 |
Contango Oil & Gas Co. | 141,252 | 8,255 | |
*,^ | ATP Oil & Gas Corp. | 535,144 | 8,193 |
* | Tesco Corp. | 413,284 | 8,022 |
Targa Resources Corp. | 232,578 | 7,782 | |
* | Magnum Hunter Resources Corp. | 1,111,753 | 7,515 |
Gulf Island Fabrication Inc. | 231,620 | 7,477 | |
Penn Virginia Corp. | 552,691 | 7,301 | |
* | Parker Drilling Co. | 1,243,138 | 7,272 |
* | Basic Energy Services Inc. | 223,596 | 7,037 |
* | Cal Dive International Inc. | 1,174,781 | 7,025 |
*,^ | Cheniere Energy Inc. | 756,510 | 6,930 |
*,^ | Harvest Natural Resources Inc. | 616,285 | 6,798 |
*,^ | Resolute Energy Corp. | 419,773 | 6,784 |
* | Petroleum Development Corp. | 225,759 | 6,752 |
* | USEC Inc. | 1,816,138 | 6,066 |
* | Global Industries Ltd. | 1,101,921 | 6,039 |
*,^ | Clean Energy Fuels Corp. | 443,581 | 5,833 |
* | Rex Energy Corp. | 554,426 | 5,694 |
* | Petroquest Energy Inc. | 738,750 | 5,186 |
12
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Goodrich Petroleum Corp. | 275,862 | 5,079 |
* | Endeavour International Corp. | 330,490 | 4,980 |
* | Approach Resources Inc. | 212,736 | 4,823 |
* | Willbros Group Inc. | 551,926 | 4,713 |
* | Clayton Williams Energy Inc. | 76,651 | 4,603 |
*,^ | Amyris Inc. | 163,594 | 4,595 |
* | Venoco Inc. | 360,557 | 4,594 |
* | Callon Petroleum Co. | 642,635 | 4,511 |
* | FX Energy Inc. | 503,306 | 4,419 |
* | OYO Geospace Corp. | 43,488 | 4,349 |
* | Georesources Inc. | 190,113 | 4,276 |
* | Energy Partners Ltd. | 281,420 | 4,168 |
* | Matrix Service Co. | 294,604 | 3,942 |
Crosstex Energy Inc. | 326,981 | 3,891 | |
* | Rentech Inc. | 3,647,797 | 3,867 |
* | Vaalco Energy Inc. | 620,908 | 3,738 |
* | Warren Resources Inc. | 902,990 | 3,440 |
* | Abraxas Petroleum Corp. | 787,034 | 3,014 |
* | REX American Resources Corp. | 160,299 | 2,661 |
^ | Houston American Energy Corp. | 144,538 | 2,620 |
* | Dawson Geophysical Co. | 74,754 | 2,553 |
* | Double Eagle Petroleum Co. | 288,909 | 2,525 |
Panhandle Oil and Gas Inc. Class A | 85,283 | 2,515 | |
*,^ | BPZ Resources Inc. | 751,901 | 2,466 |
* | Westmoreland Coal Co. | 131,759 | 2,339 |
* | Vantage Drilling Co. | 1,150,679 | 2,094 |
* | Bolt Technology Corp. | 165,853 | 2,057 |
* | TransAtlantic Petroleum Ltd. | 1,173,294 | 1,995 |
*,^ | Uranium Resources Inc. | 1,136,584 | 1,898 |
* | Global Geophysical Services Inc. | 104,332 | 1,857 |
Delek US Holdings Inc. | 111,599 | 1,752 | |
*,^ | Delta Petroleum Corp. | 3,518,557 | 1,745 |
* | Syntroleum Corp. | 1,166,769 | 1,715 |
* | PHI Inc. | 77,481 | 1,684 |
Alon USA Energy Inc. | 143,145 | 1,613 | |
*,^ | Uranerz Energy Corp. | 528,716 | 1,597 |
* | Gastar Exploration Ltd. | 452,814 | 1,553 |
* | Natural Gas Services Group Inc. | 92,868 | 1,501 |
*,^ | Uranium Energy Corp. | 458,646 | 1,403 |
*,^ | GMX Resources Inc. | 314,321 | 1,399 |
*,^ | CAMAC Energy Inc. | 1,014,644 | 1,349 |
* | Union Drilling Inc. | 124,767 | 1,284 |
* | Mitcham Industries Inc. | 73,485 | 1,271 |
* | Triangle Petroleum Corp. | 190,787 | 1,232 |
* | Oilsands Quest Inc. | 3,834,423 | 1,227 |
General Maritime Corp. | 860,059 | 1,161 | |
*,^ | Green Plains Renewable Energy Inc. | 103,852 | 1,121 |
* | CREDO Petroleum Corp. | 107,559 | 1,008 |
* | Toreador Resources Corp. | 269,459 | 1,000 |
* | ENGlobal Corp. | 215,766 | 654 |
*,^ | RAM Energy Resources Inc. | 458,833 | 574 |
* | TGC Industries Inc. | 78,239 | 500 |
* | RigNet Inc. | 24,350 | 414 |
*,^ | Isramco Inc. | 5,855 | 387 |
* | Miller Energy Resources Inc. | 55,180 | 353 |
* | Barnwell Industries Inc. | 65,221 | 336 |
* | Verenium Corp. | 167,789 | 300 |
*,^ | GeoGlobal Resources Inc. | 609,855 | 287 |
* | Gasco Energy Inc. | 942,746 | 209 |
* | HKN Inc. | 77,438 | 177 |
Adams Resources & Energy Inc. | 6,304 | 161 | |
*,^ | Pacific Ethanol Inc. | 129,545 | 140 |
* | GeoMet Inc. | 107,708 | 127 |
*,^ | Tri-Valley Corp. | 196,976 | 118 |
13
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Crimson Exploration Inc. | 32,500 | 115 |
* | Evolution Petroleum Corp. | 15,149 | 108 |
* | Geokinetics Inc. | 13,286 | 105 |
* | Atlas Energy Inc. Escrow | 838,780 | 84 |
*,^ | Cano Petroleum Inc. | 227,469 | 75 |
* | Evergreen Energy Inc. | 41,289 | 74 |
* | Cubic Energy Inc. | 26,705 | 19 |
* | PrimeEnergy Corp. | 190 | 4 |
* | GreenHunter Energy Inc. | 4,759 | 4 |
Atlas Energy LP | 75 | 2 | |
* | Petrocorp Inc. Escrow | 100,387 | — |
19,660,204 | |||
Financials (15.5%) | |||
JPMorgan Chase & Co. | 44,682,883 | 1,829,317 | |
Wells Fargo & Co. | 56,137,288 | 1,575,212 | |
Citigroup Inc. | 32,592,054 | 1,357,133 | |
Bank of America Corp. | 113,528,606 | 1,244,274 | |
Goldman Sachs Group Inc. | 5,545,082 | 737,995 | |
* | Berkshire Hathaway Inc. Class B | 8,847,659 | 684,720 |
American Express Co. | 12,138,738 | 627,573 | |
US Bancorp | 21,558,460 | 549,956 | |
MetLife Inc. | 11,835,690 | 519,232 | |
Simon Property Group Inc. | 3,287,638 | 382,122 | |
Morgan Stanley | 15,603,992 | 359,048 | |
Bank of New York Mellon Corp. | 13,929,771 | 356,881 | |
PNC Financial Services Group Inc. | 5,898,068 | 351,584 | |
Prudential Financial Inc. | 5,429,256 | 345,246 | |
Travelers Cos. Inc. | 4,837,186 | 282,395 | |
Capital One Financial Corp. | 5,079,239 | 262,444 | |
State Street Corp. | 5,633,241 | 254,003 | |
ACE Ltd. | 3,765,370 | 247,837 | |
Aflac Inc. | 5,274,558 | 246,216 | |
Franklin Resources Inc. | 1,752,257 | 230,054 | |
BB&T Corp. | 7,791,861 | 209,134 | |
CME Group Inc. | 714,802 | 208,429 | |
Chubb Corp. | 3,312,929 | 207,422 | |
BlackRock Inc. | 1,035,306 | 198,582 | |
Equity Residential | 3,298,989 | 197,939 | |
Marsh & McLennan Cos. Inc. | 6,103,456 | 190,367 | |
Charles Schwab Corp. | 11,473,465 | 188,738 | |
Public Storage | 1,614,435 | 184,062 | |
ProLogis Inc. | 5,096,901 | 182,673 | |
Allstate Corp. | 5,942,819 | 181,434 | |
T Rowe Price Group Inc. | 2,906,422 | 175,374 | |
Vornado Realty Trust | 1,854,904 | 172,840 | |
AON Corp. | 3,364,136 | 172,580 | |
Boston Properties Inc. | 1,600,542 | 169,914 | |
HCP Inc. | 4,505,571 | 165,309 | |
Discover Financial Services | 6,115,871 | 163,600 | |
Annaly Capital Management Inc. | 9,021,118 | 162,741 | |
Ameriprise Financial Inc. | 2,766,291 | 159,560 | |
Loews Corp. | 3,714,060 | 156,325 | |
American International Group Inc. | 5,321,321 | 156,021 | |
SunTrust Banks Inc. | 6,007,112 | 154,983 | |
Progressive Corp. | 7,033,955 | 150,386 | |
Weyerhaeuser Co. | 6,015,260 | 131,494 | |
Fifth Third Bancorp | 10,294,572 | 131,256 | |
Host Hotels & Resorts Inc. | 7,632,978 | 129,379 | |
Hartford Financial Services Group Inc. | 4,737,617 | 124,931 | |
AvalonBay Communities Inc. | 966,119 | 124,050 | |
Invesco Ltd. | 5,162,724 | 120,808 | |
Northern Trust Corp. | 2,444,479 | 112,348 | |
M&T Bank Corp. | 1,261,984 | 110,991 | |
Principal Financial Group Inc. | 3,599,221 | 109,488 |
14
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | IntercontinentalExchange Inc. | 823,706 | 102,724 |
Health Care REIT Inc. | 1,932,435 | 101,318 | |
Lincoln National Corp. | 3,544,371 | 100,979 | |
NYSE Euronext | 2,933,449 | 100,529 | |
SLM Corp. | 5,908,842 | 99,328 | |
Ventas Inc. | 1,828,493 | 96,380 | |
* | Berkshire Hathaway Inc. Class A | 826 | 95,903 |
* | CIT Group Inc. | 2,134,971 | 94,494 |
Unum Group | 3,515,993 | 89,587 | |
KeyCorp | 10,671,339 | 88,892 | |
Moody's Corp. | 2,317,729 | 88,885 | |
Regions Financial Corp. | 14,120,644 | 87,548 | |
Kimco Realty Corp. | 4,561,170 | 85,020 | |
* | CB Richard Ellis Group Inc. Class A | 3,269,723 | 82,103 |
General Growth Properties Inc. | 4,861,134 | 81,132 | |
Leucadia National Corp. | 2,332,058 | 79,523 | |
Macerich Co. | 1,463,839 | 78,315 | |
XL Group plc Class A | 3,492,754 | 76,771 | |
Willis Group Holdings plc | 1,827,263 | 75,119 | |
Plum Creek Timber Co. Inc. | 1,816,851 | 73,655 | |
SL Green Realty Corp. | 886,738 | 73,484 | |
New York Community Bancorp Inc. | 4,889,775 | 73,298 | |
Comerica Inc. | 1,984,597 | 68,608 | |
Huntington Bancshares Inc. | 9,689,459 | 63,563 | |
^ | Digital Realty Trust Inc. | 1,026,285 | 63,404 |
Rayonier Inc. | 911,216 | 59,548 | |
Federal Realty Investment Trust | 690,753 | 58,838 | |
Nationwide Health Properties Inc. | 1,420,403 | 58,819 | |
* | Affiliated Managers Group Inc. | 578,855 | 58,725 |
Torchmark Corp. | 892,039 | 57,215 | |
* | Genworth Financial Inc. Class A | 5,501,922 | 56,560 |
People's United Financial Inc. | 4,202,001 | 56,475 | |
American Capital Agency Corp. | 1,929,466 | 56,167 | |
Legg Mason Inc. | 1,622,669 | 53,159 | |
Alexandria Real Estate Equities Inc. | 679,930 | 52,640 | |
Cincinnati Financial Corp. | 1,738,911 | 50,741 | |
* | MSCI Inc. Class A | 1,344,987 | 50,679 |
UDR Inc. | 2,048,766 | 50,297 | |
TD Ameritrade Holding Corp. | 2,577,815 | 50,293 | |
Reinsurance Group of America Inc. Class A | 824,267 | 50,165 | |
Everest Re Group Ltd. | 611,509 | 49,991 | |
Camden Property Trust | 783,761 | 49,863 | |
PartnerRe Ltd. | 720,803 | 49,627 | |
Zions Bancorporation | 2,051,776 | 49,263 | |
Essex Property Trust Inc. | 361,439 | 48,899 | |
* | Arch Capital Group Ltd. | 1,514,147 | 48,332 |
Marshall & Ilsley Corp. | 5,939,590 | 47,339 | |
Realty Income Corp. | 1,412,764 | 47,313 | |
First Niagara Financial Group Inc. | 3,467,961 | 45,777 | |
Jones Lang LaSalle Inc. | 481,586 | 45,414 | |
WR Berkley Corp. | 1,347,881 | 43,725 | |
Hudson City Bancorp Inc. | 5,325,172 | 43,613 | |
RenaissanceRe Holdings Ltd. | 611,143 | 42,749 | |
Liberty Property Trust | 1,287,454 | 41,945 | |
* | Markel Corp. | 103,854 | 41,210 |
BRE Properties Inc. | 825,571 | 41,179 | |
Assurant Inc. | 1,123,608 | 40,753 | |
HCC Insurance Holdings Inc. | 1,292,312 | 40,708 | |
Regency Centers Corp. | 921,180 | 40,504 | |
Eaton Vance Corp. | 1,325,651 | 40,074 | |
Chimera Investment Corp. | 11,546,829 | 39,952 | |
Senior Housing Properties Trust | 1,705,426 | 39,924 | |
Duke Realty Corp. | 2,841,161 | 39,805 | |
Piedmont Office Realty Trust Inc. Class A | 1,941,186 | 39,581 |
15
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Axis Capital Holdings Ltd. | 1,261,492 | 39,056 | |
* | E*Trade Financial Corp. | 2,823,610 | 38,966 |
Raymond James Financial Inc. | 1,203,718 | 38,700 | |
* | American Capital Ltd. | 3,841,906 | 38,150 |
Fidelity National Financial Inc. Class A | 2,403,717 | 37,835 | |
SEI Investments Co. | 1,675,248 | 37,710 | |
Taubman Centers Inc. | 627,686 | 37,159 | |
Ares Capital Corp. | 2,297,333 | 36,918 | |
Commerce Bancshares Inc. | 831,766 | 35,766 | |
* | NASDAQ OMX Group Inc. | 1,407,002 | 35,597 |
Cullen/Frost Bankers Inc. | 619,201 | 35,202 | |
Waddell & Reed Financial Inc. Class A | 966,504 | 35,132 | |
Brown & Brown Inc. | 1,364,693 | 35,018 | |
White Mountains Insurance Group Ltd. | 83,268 | 34,986 | |
Arthur J Gallagher & Co. | 1,219,019 | 34,791 | |
Transatlantic Holdings Inc. | 704,822 | 34,543 | |
Apartment Investment & Management Co. | 1,328,588 | 33,919 | |
East West Bancorp Inc. | 1,671,713 | 33,785 | |
Hospitality Properties Trust | 1,388,481 | 33,671 | |
Developers Diversified Realty Corp. | 2,344,593 | 33,059 | |
Old Republic International Corp. | 2,770,888 | 32,558 | |
Weingarten Realty Investors | 1,286,718 | 32,374 | |
Mack-Cali Realty Corp. | 967,023 | 31,854 | |
Jefferies Group Inc. | 1,555,154 | 31,725 | |
* | Popular Inc. | 11,478,352 | 31,680 |
American Financial Group Inc. | 886,084 | 31,624 | |
MFA Financial Inc. | 3,888,529 | 31,264 | |
Assured Guaranty Ltd. | 1,859,975 | 30,336 | |
City National Corp. | 529,578 | 28,730 | |
CBL & Associates Properties Inc. | 1,578,851 | 28,625 | |
* | SVB Financial Group | 477,518 | 28,513 |
BioMed Realty Trust Inc. | 1,478,490 | 28,446 | |
First Horizon National Corp. | 2,960,327 | 28,242 | |
Hancock Holding Co. | 900,963 | 27,912 | |
Mid-America Apartment Communities Inc. | 400,907 | 27,049 | |
Associated Banc-Corp | 1,943,958 | 27,021 | |
Highwoods Properties Inc. | 807,474 | 26,752 | |
American Campus Communities Inc. | 751,828 | 26,705 | |
Douglas Emmett Inc. | 1,325,624 | 26,367 | |
* | Signature Bank | 455,736 | 26,068 |
Home Properties Inc. | 427,731 | 26,040 | |
Kilroy Realty Corp. | 649,740 | 25,658 | |
* | Forest City Enterprises Inc. Class A | 1,372,669 | 25,628 |
Equity Lifestyle Properties Inc. | 408,102 | 25,482 | |
^ | Federated Investors Inc. Class B | 1,053,828 | 25,123 |
Bank of Hawaii Corp. | 539,929 | 25,117 | |
Corporate Office Properties Trust | 800,647 | 24,908 | |
Valley National Bancorp | 1,809,519 | 24,628 | |
Tanger Factory Outlet Centers | 912,498 | 24,428 | |
Entertainment Properties Trust | 521,862 | 24,371 | |
LaSalle Hotel Properties | 914,038 | 24,076 | |
Washington REIT | 740,144 | 24,069 | |
Fulton Financial Corp. | 2,243,658 | 24,030 | |
Erie Indemnity Co. Class A | 335,029 | 23,693 | |
Omega Healthcare Investors Inc. | 1,122,747 | 23,589 | |
Allied World Assurance Co. Holdings Ltd. | 406,500 | 23,406 | |
* | Alleghany Corp. | 70,243 | 23,399 |
National Retail Properties Inc. | 943,380 | 23,122 | |
TCF Financial Corp. | 1,674,934 | 23,114 | |
Hatteras Financial Corp. | 817,863 | 23,088 | |
* | ProAssurance Corp. | 327,462 | 22,922 |
Apollo Investment Corp. | 2,202,009 | 22,483 | |
Post Properties Inc. | 549,863 | 22,412 | |
* | CNO Financial Group Inc. | 2,827,496 | 22,365 |
16
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Protective Life Corp. | 965,145 | 22,324 | |
CapitalSource Inc. | 3,459,669 | 22,315 | |
Capitol Federal Financial Inc. | 1,886,294 | 22,183 | |
Validus Holdings Ltd. | 714,931 | 22,127 | |
Prosperity Bancshares Inc. | 498,094 | 21,826 | |
StanCorp Financial Group Inc. | 515,932 | 21,767 | |
Starwood Property Trust Inc. | 1,050,294 | 21,542 | |
Invesco Mortgage Capital Inc. | 1,015,075 | 21,449 | |
FirstMerit Corp. | 1,291,980 | 21,331 | |
Extra Space Storage Inc. | 987,781 | 21,069 | |
CommonWealth REIT | 814,104 | 21,036 | |
Washington Federal Inc. | 1,262,533 | 20,743 | |
Aspen Insurance Holdings Ltd. | 803,080 | 20,663 | |
* | Stifel Financial Corp. | 574,817 | 20,613 |
Endurance Specialty Holdings Ltd. | 490,435 | 20,270 | |
DiamondRock Hospitality Co. | 1,864,433 | 20,005 | |
* | Howard Hughes Corp. | 296,465 | 19,282 |
Cash America International Inc. | 332,429 | 19,238 | |
Janus Capital Group Inc. | 2,033,554 | 19,197 | |
Hanover Insurance Group Inc. | 508,580 | 19,179 | |
* | Texas Capital Bancshares Inc. | 716,597 | 18,510 |
Alterra Capital Holdings Ltd. | 827,404 | 18,451 | |
First American Financial Corp. | 1,178,873 | 18,449 | |
Synovus Financial Corp. | 8,818,482 | 18,342 | |
* | Ezcorp Inc. Class A | 503,613 | 17,916 |
Webster Financial Corp. | 836,906 | 17,592 | |
Brandywine Realty Trust | 1,511,464 | 17,518 | |
Iberiabank Corp. | 303,265 | 17,480 | |
Unitrin Inc. | 583,819 | 17,322 | |
DuPont Fabros Technology Inc. | 685,290 | 17,269 | |
Colonial Properties Trust | 835,814 | 17,051 | |
BOK Financial Corp. | 308,663 | 16,905 | |
*,^ | St. Joe Co. | 809,571 | 16,871 |
* | Pinnacle Financial Partners Inc. | 1,062,725 | 16,536 |
* | Western Alliance Bancorp | 2,327,137 | 16,523 |
Ashford Hospitality Trust Inc. | 1,316,239 | 16,387 | |
* | Portfolio Recovery Associates Inc. | 192,398 | 16,313 |
Greenhill & Co. Inc. | 301,569 | 16,230 | |
* | Strategic Hotels & Resorts Inc. | 2,289,113 | 16,207 |
Westamerica Bancorporation | 327,867 | 16,147 | |
Delphi Financial Group Inc. | 548,685 | 16,027 | |
Trustmark Corp. | 682,721 | 15,982 | |
Potlatch Corp. | 450,010 | 15,872 | |
Northwest Bancshares Inc. | 1,240,584 | 15,607 | |
Healthcare Realty Trust Inc. | 755,174 | 15,579 | |
UMB Financial Corp. | 365,227 | 15,296 | |
*,^ | MBIA Inc. | 1,753,777 | 15,240 |
Umpqua Holdings Corp. | 1,287,276 | 14,894 | |
Lexington Realty Trust | 1,593,106 | 14,545 | |
DCT Industrial Trust Inc. | 2,768,192 | 14,478 | |
Medical Properties Trust Inc. | 1,256,895 | 14,454 | |
CBOE Holdings Inc. | 582,123 | 14,320 | |
Platinum Underwriters Holdings Ltd. | 429,556 | 14,278 | |
* | MF Global Holdings Ltd. | 1,838,376 | 14,229 |
FNB Corp. | 1,357,851 | 14,054 | |
Investors Real Estate Trust | 1,616,343 | 13,998 | |
* | iStar Financial Inc. | 1,716,211 | 13,918 |
Cathay General Bancorp | 845,119 | 13,851 | |
* | First Cash Financial Services Inc. | 317,021 | 13,312 |
Redwood Trust Inc. | 878,145 | 13,278 | |
Equity One Inc. | 708,840 | 13,213 | |
RLI Corp. | 212,562 | 13,162 | |
Montpelier Re Holdings Ltd. | 729,372 | 13,129 | |
* | PHH Corp. | 629,477 | 12,917 |
17
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
EastGroup Properties Inc. | 303,007 | 12,881 | |
Sovran Self Storage Inc. | 312,077 | 12,795 | |
Astoria Financial Corp. | 997,639 | 12,760 | |
Wintrust Financial Corp. | 392,928 | 12,644 | |
Symetra Financial Corp. | 935,368 | 12,562 | |
National Health Investors Inc. | 276,257 | 12,274 | |
PS Business Parks Inc. | 222,695 | 12,270 | |
U-Store-It Trust | 1,164,722 | 12,253 | |
Prospect Capital Corp. | 1,209,375 | 12,227 | |
Anworth Mortgage Asset Corp. | 1,625,073 | 12,204 | |
Mercury General Corp. | 308,650 | 12,189 | |
* | Sunstone Hotel Investors Inc. | 1,314,421 | 12,185 |
* | MGIC Investment Corp. | 2,026,023 | 12,055 |
* | Ocwen Financial Corp. | 943,785 | 12,043 |
Capstead Mortgage Corp. | 898,074 | 12,034 | |
Cypress Sharpridge Investments Inc. | 935,736 | 11,987 | |
Susquehanna Bancshares Inc. | 1,456,940 | 11,656 | |
* | Flagstar Bancorp Inc. | 9,743,898 | 11,595 |
* | Knight Capital Group Inc. Class A | 1,047,298 | 11,541 |
Fifth Street Finance Corp. | 992,731 | 11,516 | |
* | World Acceptance Corp. | 175,355 | 11,498 |
* | Nara Bancorp Inc. | 1,411,937 | 11,479 |
United Bankshares Inc. | 458,603 | 11,227 | |
Old National Bancorp | 1,022,937 | 11,048 | |
Franklin Street Properties Corp. | 836,189 | 10,795 | |
First Citizens BancShares Inc. Class A | 57,626 | 10,789 | |
* | Altisource Portfolio Solutions SA | 291,970 | 10,744 |
MB Financial Inc. | 557,670 | 10,730 | |
* | Dollar Financial Corp. | 495,452 | 10,727 |
Glacier Bancorp Inc. | 792,097 | 10,677 | |
First Financial Bancorp | 638,968 | 10,664 | |
National Penn Bancshares Inc. | 1,343,068 | 10,651 | |
Tower Group Inc. | 446,661 | 10,639 | |
BancorpSouth Inc. | 839,193 | 10,414 | |
Argo Group International Holdings Ltd. | 340,549 | 10,121 | |
Sterling Bancshares Inc. | 1,232,238 | 10,055 | |
International Bancshares Corp. | 590,567 | 9,880 | |
optionsXpress Holdings Inc. | 582,921 | 9,723 | |
Selective Insurance Group Inc. | 595,442 | 9,688 | |
Pebblebrook Hotel Trust | 470,754 | 9,505 | |
CVB Financial Corp. | 1,026,473 | 9,495 | |
First Midwest Bancorp Inc. | 768,583 | 9,446 | |
* | TFS Financial Corp. | 974,290 | 9,431 |
MarketAxess Holdings Inc. | 373,398 | 9,357 | |
Community Bank System Inc. | 376,666 | 9,338 | |
* | First Industrial Realty Trust Inc. | 798,542 | 9,143 |
Cousins Properties Inc. | 1,060,139 | 9,054 | |
Two Harbors Investment Corp. | 837,662 | 9,005 | |
Glimcher Realty Trust | 942,897 | 8,958 | |
Ramco-Gershenson Properties Trust | 723,109 | 8,952 | |
^ | First Financial Bankshares Inc. | 257,193 | 8,860 |
* | LPL Investment Holdings Inc. | 256,767 | 8,784 |
Pennsylvania REIT | 558,724 | 8,772 | |
LTC Properties Inc. | 312,056 | 8,681 | |
Evercore Partners Inc. Class A | 258,765 | 8,622 | |
Primerica Inc. | 392,288 | 8,619 | |
Acadia Realty Trust | 419,714 | 8,533 | |
* | FelCor Lodging Trust Inc. | 1,599,593 | 8,526 |
Alexander's Inc. | 21,322 | 8,465 | |
CreXus Investment Corp. | 755,572 | 8,394 | |
PrivateBancorp Inc. Class A | 604,481 | 8,342 | |
NBT Bancorp Inc. | 375,478 | 8,309 | |
* | Enstar Group Ltd. | 79,166 | 8,272 |
BGC Partners Inc. Class A | 1,069,614 | 8,268 |
18
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Getty Realty Corp. | 327,094 | 8,253 | |
* | Credit Acceptance Corp. | 97,145 | 8,206 |
Provident Financial Services Inc. | 569,647 | 8,157 | |
* | Greenlight Capital Re Ltd. Class A | 303,335 | 7,975 |
Solar Capital Ltd. | 322,515 | 7,963 | |
Infinity Property & Casualty Corp. | 145,399 | 7,948 | |
Hersha Hospitality Trust Class A | 1,423,431 | 7,929 | |
Employers Holdings Inc. | 466,341 | 7,821 | |
* | Piper Jaffray Cos. | 269,030 | 7,751 |
Bank of the Ozarks Inc. | 147,784 | 7,694 | |
* | Financial Engines Inc. | 292,042 | 7,570 |
Columbia Banking System Inc. | 437,148 | 7,528 | |
Government Properties Income Trust | 277,688 | 7,503 | |
Park National Corp. | 112,920 | 7,437 | |
* | Investment Technology Group Inc. | 530,374 | 7,436 |
Interactive Brokers Group Inc. | 474,417 | 7,425 | |
American National Insurance Co. | 95,392 | 7,393 | |
PacWest Bancorp | 356,479 | 7,333 | |
Inland Real Estate Corp. | 817,386 | 7,218 | |
City Holding Co. | 218,481 | 7,216 | |
BlackRock Kelso Capital Corp. | 775,949 | 6,960 | |
Sun Communities Inc. | 185,060 | 6,905 | |
First Potomac Realty Trust | 450,662 | 6,900 | |
Nelnet Inc. Class A | 304,410 | 6,715 | |
* | Navigators Group Inc. | 142,726 | 6,708 |
Horace Mann Educators Corp. | 429,347 | 6,702 | |
* | Safeguard Scientifics Inc. | 351,429 | 6,635 |
* | United Community Banks Inc. | 613,259 | 6,476 |
* | Investors Bancorp Inc. | 454,352 | 6,452 |
* | National Financial Partners Corp. | 559,033 | 6,451 |
Associated Estates Realty Corp. | 395,948 | 6,434 | |
S&T Bancorp Inc. | 343,449 | 6,385 | |
* | FBR & Co. | 1,871,666 | 6,364 |
Oritani Financial Corp. | 490,830 | 6,278 | |
American Equity Investment Life Holding Co. | 489,214 | 6,218 | |
* | Hilltop Holdings Inc. | 701,116 | 6,198 |
Oriental Financial Group Inc. | 477,986 | 6,161 | |
* | AMERISAFE Inc. | 272,034 | 6,153 |
Safety Insurance Group Inc. | 146,358 | 6,153 | |
KBW Inc. | 328,743 | 6,147 | |
Radian Group Inc. | 1,433,924 | 6,065 | |
* | Green Dot Corp. Class A | 178,200 | 6,055 |
* | ICG Group Inc. | 486,164 | 5,946 |
Hercules Technology Growth Capital Inc. | 563,927 | 5,933 | |
Brookline Bancorp Inc. | 638,738 | 5,921 | |
Amtrust Financial Services Inc. | 257,032 | 5,855 | |
Chemical Financial Corp. | 305,453 | 5,730 | |
First Commonwealth Financial Corp. | 988,131 | 5,672 | |
Home Bancshares Inc. | 235,662 | 5,571 | |
Newcastle Investment Corp. | 933,096 | 5,393 | |
Cohen & Steers Inc. | 162,481 | 5,386 | |
MCG Capital Corp. | 883,361 | 5,371 | |
Meadowbrook Insurance Group Inc. | 533,323 | 5,285 | |
Education Realty Trust Inc. | 609,083 | 5,220 | |
Saul Centers Inc. | 132,419 | 5,213 | |
Dime Community Bancshares Inc. | 350,125 | 5,091 | |
* | Forestar Group Inc. | 309,597 | 5,087 |
Trustco Bank Corp. NY | 1,034,887 | 5,071 | |
* | Pico Holdings Inc. | 172,507 | 5,003 |
Colony Financial Inc. | 275,618 | 4,980 | |
Harleysville Group Inc. | 155,845 | 4,858 | |
Retail Opportunity Investments Corp. | 444,418 | 4,782 | |
Boston Private Financial Holdings Inc. | 720,030 | 4,738 | |
* | FPIC Insurance Group Inc. | 113,262 | 4,721 |
19
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
PennyMac Mortgage Investment Trust | 281,683 | 4,667 | |
Walter Investment Management Corp. | 210,093 | 4,662 | |
* | Encore Capital Group Inc. | 151,305 | 4,648 |
* | Tejon Ranch Co. | 133,880 | 4,565 |
Independent Bank Corp. | 173,580 | 4,556 | |
Flushing Financial Corp. | 343,279 | 4,463 | |
* | Virtus Investment Partners Inc. | 72,983 | 4,430 |
Resource Capital Corp. | 700,248 | 4,426 | |
Universal Health Realty Income Trust | 109,531 | 4,379 | |
Advance America Cash Advance Centers Inc. | 628,814 | 4,333 | |
* | Hanmi Financial Corp. | 3,988,807 | 4,268 |
FBL Financial Group Inc. Class A | 132,494 | 4,260 | |
* | West Coast Bancorp | 253,899 | 4,255 |
ViewPoint Financial Group | 308,332 | 4,255 | |
WesBanco Inc. | 215,459 | 4,236 | |
* | MPG Office Trust Inc. | 1,469,447 | 4,203 |
Arrow Financial Corp. | 169,662 | 4,152 | |
Sandy Spring Bancorp Inc. | 229,038 | 4,120 | |
* | HFF Inc. Class A | 272,256 | 4,108 |
*,^ | Hampton Roads Bankshares Inc. | 413,373 | 4,092 |
TICC Capital Corp. | 423,970 | 4,070 | |
Federal Agricultural Mortgage Corp. | 183,443 | 4,058 | |
* | Sterling Financial Corp. | 250,986 | 4,033 |
* | Beneficial Mutual Bancorp Inc. | 488,558 | 4,014 |
PennantPark Investment Corp. | 357,629 | 4,009 | |
ARMOUR Residential REIT Inc. | 537,900 | 3,954 | |
Chesapeake Lodging Trust | 231,681 | 3,952 | |
SCBT Financial Corp. | 136,767 | 3,922 | |
Flagstone Reinsurance Holdings SA | 463,880 | 3,911 | |
Maiden Holdings Ltd. | 426,238 | 3,879 | |
* | Citizens Inc. | 568,209 | 3,875 |
Sabra Healthcare REIT Inc. | 231,680 | 3,871 | |
* | Phoenix Cos. Inc. | 1,552,702 | 3,820 |
Community Trust Bancorp Inc. | 136,804 | 3,792 | |
* | PMI Group Inc. | 3,534,456 | 3,782 |
* | Bancorp Inc. | 359,606 | 3,758 |
GAMCO Investors Inc. | 80,498 | 3,726 | |
Washington Trust Bancorp Inc. | 159,675 | 3,668 | |
1st Source Corp. | 176,704 | 3,665 | |
National Western Life Insurance Co. Class A | 22,810 | 3,638 | |
* | Cowen Group Inc. Class A | 954,129 | 3,588 |
Simmons First National Corp. Class A | 135,439 | 3,475 | |
First Financial Corp. | 105,512 | 3,454 | |
Provident New York Bancorp | 407,793 | 3,409 | |
Calamos Asset Management Inc. Class A | 233,002 | 3,383 | |
Artio Global Investors Inc. Class A | 299,176 | 3,381 | |
* | Eagle Bancorp Inc. | 253,597 | 3,373 |
Lakeland Financial Corp. | 150,970 | 3,361 | |
CapLease Inc. | 677,860 | 3,328 | |
* | eHealth Inc. | 247,032 | 3,300 |
United Fire & Casualty Co. | 188,258 | 3,270 | |
Berkshire Hills Bancorp Inc. | 143,398 | 3,211 | |
Duff & Phelps Corp. Class A | 249,196 | 3,197 | |
GFI Group Inc. | 695,920 | 3,194 | |
Cardinal Financial Corp. | 291,335 | 3,190 | |
Mission West Properties Inc. | 353,125 | 3,100 | |
Sterling Bancorp | 322,674 | 3,062 | |
State Auto Financial Corp. | 175,487 | 3,059 | |
* | Global Indemnity plc | 137,848 | 3,057 |
Bancfirst Corp. | 79,179 | 3,056 | |
^ | Main Street Capital Corp. | 159,067 | 3,014 |
* | Intl. FCStone Inc. | 124,147 | 3,006 |
* | Seacoast Banking Corp. of Florida | 1,997,112 | 2,996 |
OceanFirst Financial Corp. | 231,070 | 2,992 |
20
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
ESSA Bancorp Inc. | 239,487 | 2,974 | |
SY Bancorp Inc. | 127,224 | 2,958 | |
Medallion Financial Corp. | 302,198 | 2,946 | |
OneBeacon Insurance Group Ltd. Class A | 217,970 | 2,919 | |
* | Ameris Bancorp | 325,246 | 2,885 |
Parkway Properties Inc. | 167,966 | 2,865 | |
Great Southern Bancorp Inc. | 149,403 | 2,831 | |
NorthStar Realty Finance Corp. | 701,399 | 2,827 | |
Univest Corp. of Pennsylvania | 180,073 | 2,815 | |
Urstadt Biddle Properties Inc. Class A | 154,268 | 2,794 | |
^ | TowneBank | 208,776 | 2,793 |
Triangle Capital Corp. | 149,815 | 2,766 | |
SeaBright Holdings Inc. | 279,283 | 2,765 | |
* | Southwest Bancorp Inc. | 279,610 | 2,737 |
Renasant Corp. | 188,617 | 2,733 | |
Agree Realty Corp. | 122,150 | 2,728 | |
First Busey Corp. | 514,487 | 2,722 | |
* | Citizens Republic Bancorp Inc. | 3,923,771 | 2,708 |
MVC Capital Inc. | 204,510 | 2,706 | |
Tompkins Financial Corp. | 67,124 | 2,634 | |
Camden National Corp. | 79,982 | 2,624 | |
Bancorp Rhode Island Inc. | 57,792 | 2,619 | |
* | Gleacher & Co. Inc. | 1,275,017 | 2,601 |
Suffolk Bancorp | 185,603 | 2,591 | |
Territorial Bancorp Inc. | 123,805 | 2,565 | |
Abington Bancorp Inc. | 245,557 | 2,561 | |
* | Center Financial Corp. | 402,955 | 2,559 |
Campus Crest Communities Inc. | 194,802 | 2,521 | |
Dynex Capital Inc. | 259,452 | 2,511 | |
Kennedy-Wilson Holdings Inc. | 204,907 | 2,510 | |
Westfield Financial Inc. | 308,141 | 2,502 | |
Northfield Bancorp Inc. | 177,337 | 2,493 | |
WSFS Financial Corp. | 62,851 | 2,492 | |
StellarOne Corp. | 205,684 | 2,491 | |
Union First Market Bankshares Corp. | 203,589 | 2,480 | |
Lakeland Bancorp Inc. | 246,737 | 2,462 | |
Southside Bancshares Inc. | 123,999 | 2,461 | |
* | Primus Guaranty Ltd. | 465,457 | 2,444 |
^ | RAIT Financial Trust | 1,155,103 | 2,426 |
Gladstone Commercial Corp. | 137,676 | 2,386 | |
Coresite Realty Corp. | 145,318 | 2,383 | |
Republic Bancorp Inc. Class A | 119,187 | 2,372 | |
Kohlberg Capital Corp. | 294,368 | 2,340 | |
West Bancorporation Inc. | 265,606 | 2,340 | |
Kite Realty Group Trust | 468,509 | 2,333 | |
Diamond Hill Investment Group Inc. | 28,648 | 2,329 | |
Consolidated-Tomoka Land Co. | 81,239 | 2,323 | |
Trico Bancshares | 157,071 | 2,293 | |
Rockville Financial Inc. | 231,555 | 2,292 | |
Bryn Mawr Bank Corp. | 112,866 | 2,286 | |
One Liberty Properties Inc. | 147,948 | 2,284 | |
* | Harris & Harris Group Inc. | 444,289 | 2,279 |
Cedar Shopping Centers Inc. | 439,376 | 2,263 | |
Winthrop Realty Trust | 187,236 | 2,236 | |
* | Virginia Commerce Bancorp Inc. | 377,962 | 2,234 |
Apollo Commercial Real Estate Finance Inc. | 138,546 | 2,233 | |
First of Long Island Corp. | 79,855 | 2,227 | |
Cogdell Spencer Inc. | 371,546 | 2,226 | |
First Merchants Corp. | 246,231 | 2,201 | |
Hudson Valley Holding Corp. | 112,727 | 2,177 | |
Center Bancorp Inc. | 206,991 | 2,161 | |
Capital Southwest Corp. | 22,916 | 2,114 | |
* | NewStar Financial Inc. | 197,786 | 2,112 |
Bank Mutual Corp. | 571,330 | 2,097 |
21
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
National Interstate Corp. | 90,598 | 2,075 | |
Chatham Lodging Trust | 127,529 | 2,054 | |
Gladstone Capital Corp. | 221,661 | 2,048 | |
Oppenheimer Holdings Inc. Class A | 72,189 | 2,036 | |
* | Wilshire Bancorp Inc. | 689,884 | 2,028 |
Monmouth Real Estate Investment Corp. Class A | 239,038 | 2,020 | |
Edelman Financial Group Inc. | 252,248 | 1,990 | |
Donegal Group Inc. Class A | 155,039 | 1,984 | |
Financial Institutions Inc. | 120,298 | 1,975 | |
Baldwin & Lyons Inc. | 84,992 | 1,969 | |
* | Metro Bancorp Inc. | 172,429 | 1,969 |
Presidential Life Corp. | 187,852 | 1,961 | |
National Bankshares Inc. | 77,412 | 1,938 | |
SWS Group Inc. | 318,400 | 1,907 | |
* | Meridian Interstate Bancorp Inc. | 137,976 | 1,889 |
* | First Marblehead Corp. | 1,042,009 | 1,844 |
Westwood Holdings Group Inc. | 47,582 | 1,813 | |
Banner Corp. | 101,116 | 1,770 | |
Tower Bancorp Inc. | 64,232 | 1,760 | |
Hudson Pacific Properties Inc. | 112,227 | 1,743 | |
German American Bancorp Inc. | 103,093 | 1,709 | |
Orrstown Financial Services Inc. | 64,038 | 1,685 | |
MainSource Financial Group Inc. | 201,259 | 1,670 | |
First Bancorp | 162,779 | 1,667 | |
* | Tree.com Inc. | 319,263 | 1,635 |
Excel Trust Inc. | 147,754 | 1,630 | |
Crawford & Co. Class B | 228,989 | 1,619 | |
* | Ladenburg Thalmann Financial Services Inc. | 1,160,103 | 1,601 |
US Global Investors Inc. Class A | 218,616 | 1,574 | |
NGP Capital Resources Co. | 190,421 | 1,561 | |
Penns Woods Bancorp Inc. | 45,304 | 1,557 | |
BankFinancial Corp. | 183,520 | 1,554 | |
* | Arbor Realty Trust Inc. | 329,798 | 1,543 |
Merchants Bancshares Inc. | 62,051 | 1,518 | |
United Financial Bancorp Inc. | 98,348 | 1,518 | |
First Community Bancshares Inc. | 107,556 | 1,506 | |
EMC Insurance Group Inc. | 78,774 | 1,505 | |
Fox Chase Bancorp Inc. | 110,323 | 1,495 | |
* | Netspend Holdings Inc. | 148,375 | 1,484 |
Arlington Asset Investment Corp. Class A | 46,716 | 1,466 | |
Heartland Financial USA Inc. | 100,409 | 1,461 | |
*,^ | Central Pacific Financial Corp. | 103,384 | 1,447 |
State Bancorp Inc. | 107,467 | 1,434 | |
*,^ | Taylor Capital Group Inc. | 175,664 | 1,433 |
First Bancorp Inc. | 95,348 | 1,417 | |
* | Sun Bancorp Inc. | 386,371 | 1,410 |
Stewart Information Services Corp. | 138,520 | 1,389 | |
* | Guaranty Bancorp | 1,017,076 | 1,363 |
* | American Safety Insurance Holdings Ltd. | 71,202 | 1,363 |
Peoples Bancorp Inc. | 117,982 | 1,330 | |
*,^ | BankAtlantic Bancorp Inc. Class A | 1,387,849 | 1,318 |
* | Macatawa Bank Corp. | 476,220 | 1,317 |
Ames National Corp. | 72,056 | 1,309 | |
ESB Financial Corp. | 98,571 | 1,274 | |
CNB Financial Corp. | 89,709 | 1,246 | |
Capital City Bank Group Inc. | 120,126 | 1,232 | |
First Interstate Bancsystem Inc. | 81,275 | 1,198 | |
Gladstone Investment Corp. | 166,671 | 1,190 | |
Epoch Holding Corp. | 66,583 | 1,189 | |
* | Marlin Business Services Corp. | 93,245 | 1,180 |
* | Walker & Dunlop Inc. | 86,833 | 1,155 |
Eastern Insurance Holdings Inc. | 86,642 | 1,146 | |
^ | Life Partners Holdings Inc. | 331,717 | 1,141 |
Indiana Community Bancorp | 63,571 | 1,112 |
22
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
First Financial Holdings Inc. | 121,661 | 1,091 | |
* | Cape Bancorp Inc. | 107,445 | 1,074 |
Asta Funding Inc. | 127,002 | 1,066 | |
* | First Defiance Financial Corp. | 69,967 | 1,028 |
*,^ | Pacific Mercantile Bancorp | 239,463 | 1,020 |
Kansas City Life Insurance Co. | 32,719 | 1,019 | |
CoBiz Financial Inc. | 155,405 | 1,016 | |
*,^ | Penson Worldwide Inc. | 282,863 | 1,010 |
American National Bankshares Inc. | 54,738 | 1,007 | |
* | Thomas Properties Group Inc. | 313,454 | 1,006 |
* | Doral Financial Corp. | 511,112 | 1,002 |
*,^ | First BanCorp | 232,342 | 1,001 |
Enterprise Financial Services Corp. | 73,926 | 1,000 | |
Washington Banking Co. | 75,222 | 994 | |
* | Maui Land & Pineapple Co. Inc. | 198,204 | 993 |
UMH Properties Inc. | 92,323 | 988 | |
* | BRT Realty Trust | 155,302 | 980 |
Centerstate Banks Inc. | 140,787 | 974 | |
Bank of Marin Bancorp | 26,210 | 927 | |
Golub Capital BDC Inc. | 60,683 | 906 | |
THL Credit Inc. | 68,727 | 893 | |
*,^ | Mercantile Bank Corp. | 106,928 | 888 |
TF Financial Corp. | 40,537 | 886 | |
Parkvale Financial Corp. | 40,991 | 881 | |
Heritage Financial Corp. | 67,143 | 868 | |
Peapack Gladstone Financial Corp. | 73,437 | 865 | |
Citizens & Northern Corp. | 57,080 | 860 | |
Resource America Inc. Class A | 145,651 | 855 | |
Home Federal Bancorp Inc. | 77,515 | 852 | |
* | First Financial Northwest Inc. | 162,498 | 824 |
Kaiser Federal Financial Group Inc. | 66,276 | 817 | |
Century Bancorp Inc. Class A | 30,764 | 814 | |
First Pactrust Bancorp Inc. | 54,431 | 809 | |
* | Intervest Bancshares Corp. Class A | 257,506 | 788 |
* | Stratus Properties Inc. | 58,047 | 778 |
Alliance Financial Corp. | 24,615 | 751 | |
Crawford & Co. Class A | 146,708 | 741 | |
PMC Commercial Trust | 89,023 | 734 | |
Meta Financial Group Inc. | 38,314 | 730 | |
Horizon Bancorp | 26,874 | 723 | |
Norwood Financial Corp. | 26,757 | 698 | |
* | NewBridge Bancorp | 150,761 | 690 |
* | Gramercy Capital Corp. | 227,670 | 690 |
* | Republic First Bancorp Inc. | 308,077 | 681 |
* | First Acceptance Corp. | 367,526 | 680 |
Bridge Bancorp Inc. | 31,777 | 676 | |
Alliance Bancorp Inc. of Pennsylvania | 58,743 | 645 | |
Sierra Bancorp | 56,674 | 642 | |
Urstadt Biddle Properties Inc. | 37,652 | 634 | |
Provident Financial Holdings Inc. | 79,909 | 634 | |
CFS Bancorp Inc. | 111,086 | 597 | |
* | Hallmark Financial Services | 75,522 | 594 |
Pacific Continental Corp. | 64,572 | 591 | |
Cheviot Financial Corp. | 64,085 | 590 | |
* | 1st United Bancorp Inc. | 94,772 | 589 |
Codorus Valley Bancorp Inc. | 54,778 | 587 | |
Federal Agricultural Mortgage Corp. Class A | 38,986 | 580 | |
* | Heritage Commerce Corp. | 112,698 | 576 |
^ | First United Corp. | 113,595 | 565 |
* | AmeriServ Financial Inc. | 289,008 | 552 |
*,^ | BancTrust Financial Group Inc. | 214,357 | 551 |
Universal Insurance Holdings Inc. | 115,684 | 540 | |
Shore Bancshares Inc. | 75,869 | 527 | |
Hingham Institution for Savings | 9,966 | 523 |
23
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Asset Acceptance Capital Corp. | 127,569 | 515 |
*,^ | Capital Trust Inc. Class A | 127,823 | 495 |
ECB Bancorp Inc. | 45,079 | 494 | |
LNB Bancorp Inc. | 84,109 | 481 | |
Middleburg Financial Corp. | 31,962 | 478 | |
Firstbank Corp. | 80,504 | 469 | |
Investors Title Co. | 11,619 | 467 | |
* | Avatar Holdings Inc. | 30,627 | 466 |
Independence Holding Co. | 42,852 | 447 | |
First South Bancorp Inc. | 104,743 | 447 | |
Roma Financial Corp. | 42,412 | 445 | |
Pulaski Financial Corp. | 61,804 | 444 | |
MutualFirst Financial Inc. | 46,495 | 424 | |
Eastern Virginia Bankshares Inc. | 126,332 | 423 | |
*,^ | Green Bankshares Inc. | 160,607 | 421 |
Commercial National Financial Corp. | 21,484 | 420 | |
Institutional Financial Markets Inc. | 122,156 | 412 | |
JMP Group Inc. | 54,896 | 386 | |
* | Waterstone Financial Inc. | 171,503 | 386 |
Terreno Realty Corp. | 22,535 | 383 | |
* | Preferred Bank | 52,280 | 376 |
Citizens South Banking Corp. | 91,670 | 376 | |
Bar Harbor Bankshares | 12,748 | 360 | |
Ohio Valley Banc Corp. | 20,102 | 351 | |
* | Unity Bancorp Inc. | 50,890 | 346 |
Ameriana Bancorp | 68,086 | 340 | |
New Hampshire Thrift Bancshares Inc. | 24,749 | 330 | |
QC Holdings Inc. | 76,808 | 307 | |
* | CompuCredit Holdings Corp. | 127,550 | 296 |
* | Home Bancorp Inc. | 19,981 | 296 |
* | United Community Financial Corp. | 225,677 | 287 |
*,^ | Encore Bancshares Inc. | 23,800 | 286 |
SI Financial Group Inc. | 26,856 | 271 | |
United Security Bancshares | 56,559 | 271 | |
HopFed Bancorp Inc. | 32,661 | 258 | |
Hawthorn Bancshares Inc. | 32,076 | 246 | |
Pzena Investment Management Inc. Class A | 43,006 | 244 | |
* | Yadkin Valley Financial Corp. | 115,800 | 242 |
FXCM Inc. Class A | 24,066 | 239 | |
* | American Independence Corp. | 41,127 | 239 |
VIST Financial Corp. | 33,196 | 233 | |
Legacy Bancorp Inc. | 16,338 | 226 | |
C&F Financial Corp. | 10,560 | 225 | |
* | BCSB Bancorp Inc. | 15,965 | 225 |
Northrim BanCorp Inc. | 11,627 | 221 | |
* | Farmers Capital Bank Corp. | 40,350 | 212 |
Old Point Financial Corp. | 17,650 | 207 | |
Wayne Savings Bancshares Inc. | 24,150 | 205 | |
* | ZipRealty Inc. | 82,497 | 190 |
Peoples Financial Corp. | 13,667 | 188 | |
First M&F Corp. | 48,598 | 180 | |
* | Consumer Portfolio Services Inc. | 151,248 | 178 |
* | Jefferson Bancshares Inc. | 53,095 | 172 |
Midsouth Bancorp Inc. | 11,960 | 163 | |
* | WSB Holdings Inc. | 54,465 | 162 |
* | First Place Financial Corp. | 139,037 | 160 |
*,^ | Grubb & Ellis Co. | 494,490 | 158 |
* | MBT Financial Corp. | 112,647 | 153 |
* | North Valley Bancorp | 14,600 | 151 |
*,^ | Anchor Bancorp Wisconsin Inc. | 211,480 | 150 |
^ | Old Second Bancorp Inc. | 166,779 | 150 |
* | Camco Financial Corp. | 81,365 | 146 |
Citizens Holding Co. | 7,250 | 141 | |
*,^ | United Security Bancshares | 40,977 | 127 |
24
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Independent Bank Corp. | 62,542 | 127 |
* | HMN Financial Inc. | 48,991 | 120 |
United Bancorp Inc. | 12,757 | 113 | |
* | Vestin Realty Mortgage II Inc. | 74,073 | 103 |
*,^ | Premierwest Bancorp | 70,022 | 102 |
* | Royal Bancshares of Pennsylvania Inc. | 64,104 | 99 |
* | Southern Community Financial Corp. | 90,201 | 99 |
* | Nicholas Financial Inc. | 8,275 | 98 |
* | Colony Bankcorp Inc. | 32,093 | 92 |
Porter Bancorp Inc. | 16,831 | 84 | |
* | Rodman & Renshaw Capital Group Inc. | 60,482 | 76 |
California First National Bancorp | 3,717 | 57 | |
Auburn National Bancorporation Inc. | 2,872 | 57 | |
* | Community Capital Corp. | 17,374 | 56 |
HF Financial Corp. | 4,951 | 54 | |
* | Atlantic Coast Financial Corp. | 7,026 | 48 |
* | CIFC Deerfield Corp. | 6,900 | 47 |
Oneida Financial Corp. | 5,532 | 47 | |
Prudential Bancorp Inc. of Pennsylvania | 6,628 | 38 | |
* | First Security Group Inc. | 57,626 | 37 |
Landmark Bancorp Inc. | 2,271 | 37 | |
* | Community Bankers Trust Corp. | 25,349 | 34 |
* | Firstcity Financial Corp. | 4,855 | 32 |
Northeast Bancorp | 2,288 | 31 | |
* | 21st Century Holding Co. | 11,406 | 31 |
United Bancshares Inc. | 3,115 | 28 | |
Teche Holding Co. | 720 | 25 | |
* | Transcontinental Realty Investors Inc. | 10,799 | 24 |
Heritage Financial Group Inc. | 1,914 | 23 | |
National Security Group Inc. | 1,748 | 21 | |
Mid Penn Bancorp Inc. | 2,476 | 20 | |
* | Riverview Bancorp Inc. | 6,560 | 20 |
Bank of Kentucky Financial Corp. | 863 | 19 | |
* | Summit Financial Group Inc. | 6,107 | 19 |
Fauquier Bankshares Inc. | 1,500 | 18 | |
* | Valley National Bancorp Warrants Exp. 06/30/2015 | 6,511 | 18 |
Clifton Savings Bancorp Inc. | 1,300 | 14 | |
* | Fidelity Southern Corp. | 2,061 | 14 |
* | American River Bankshares | 2,250 | 14 |
* | Savannah Bancorp Inc. | 1,600 | 12 |
*,^ | NASB Financial Inc. | 800 | 8 |
MidWestOne Financial Group Inc. | 536 | 8 | |
Salisbury Bancorp Inc. | 289 | 8 | |
*,^ | Integra Bank Corp. | 135,977 | 7 |
* | Bridge Capital Holdings | 669 | 7 |
* | Affirmative Insurance Holdings Inc. | 2,600 | 6 |
Community Bank Shares of Indiana Inc. | 563 | 6 | |
* | Tower Financial Corp. | 676 | 6 |
* | 1st Constitution Bancorp | 573 | 4 |
* | Premier Financial Bancorp Inc. | 510 | 4 |
* | Severn Bancorp Inc. | 1,059 | 3 |
Union Bankshares Inc. | 175 | 3 | |
Northeast Community Bancorp Inc. | 500 | 3 | |
* | OmniAmerican Bancorp Inc. | 200 | 3 |
Southwest Georgia Financial Corp. | 270 | 2 | |
* | Berkshire Bancorp Inc. | 300 | 2 |
Peoples Bancorp of North Carolina Inc. | 300 | 2 | |
* | Timberland Bancorp Inc. | 300 | 2 |
WVS Financial Corp. | 189 | 2 | |
Evans Bancorp Inc. | 100 | 1 | |
* | MetroCorp Bancshares Inc. | 200 | 1 |
Jeffersonville Bancorp | 100 | 1 | |
Glen Burnie Bancorp | 100 | 1 | |
* | Supertel Hospitality Inc. | 700 | 1 |
25
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | First Citizens Banc Corp. | 146 | 1 |
26,088,215 | |||
Health Care (11.6%) | |||
Johnson & Johnson | 30,680,860 | 2,040,891 | |
Pfizer Inc. | 89,669,166 | 1,847,185 | |
Merck & Co. Inc. | 34,582,845 | 1,220,429 | |
Abbott Laboratories | 17,359,261 | 913,444 | |
UnitedHealth Group Inc. | 12,270,318 | 632,903 | |
* | Amgen Inc. | 10,461,356 | 610,420 |
Bristol-Myers Squibb Co. | 19,093,643 | 552,952 | |
Medtronic Inc. | 12,044,000 | 464,055 | |
Eli Lilly & Co. | 11,687,143 | 438,618 | |
Baxter International Inc. | 6,499,609 | 387,962 | |
* | Gilead Sciences Inc. | 8,920,738 | 369,408 |
WellPoint Inc. | 4,213,904 | 331,929 | |
* | Celgene Corp. | 5,278,307 | 318,387 |
* | Express Scripts Inc. | 5,627,372 | 303,766 |
Covidien plc | 5,541,499 | 294,974 | |
Allergan Inc. | 3,430,268 | 285,570 | |
* | Thermo Fisher Scientific Inc. | 4,383,324 | 282,242 |
* | Biogen Idec Inc. | 2,568,294 | 274,602 |
* | Medco Health Solutions Inc. | 4,538,769 | 256,531 |
McKesson Corp. | 2,853,250 | 238,674 | |
Becton Dickinson and Co. | 2,481,330 | 213,816 | |
* | Agilent Technologies Inc. | 3,909,153 | 199,797 |
Stryker Corp. | 3,292,896 | 193,260 | |
Aetna Inc. | 4,314,811 | 190,240 | |
St. Jude Medical Inc. | 3,843,964 | 183,280 | |
Cardinal Health Inc. | 3,924,928 | 178,270 | |
* | Intuitive Surgical Inc. | 437,453 | 162,781 |
CIGNA Corp. | 3,043,782 | 156,542 | |
Humana Inc. | 1,891,437 | 152,336 | |
* | Zimmer Holdings Inc. | 2,156,044 | 136,262 |
AmerisourceBergen Corp. Class A | 3,076,249 | 127,357 | |
* | Forest Laboratories Inc. | 3,210,494 | 126,301 |
* | Mylan Inc. | 4,904,498 | 120,994 |
* | Vertex Pharmaceuticals Inc. | 2,293,957 | 119,263 |
* | Boston Scientific Corp. | 17,102,266 | 118,177 |
Quest Diagnostics Inc. | 1,920,833 | 113,521 | |
* | Edwards Lifesciences Corp. | 1,288,903 | 112,367 |
* | Laboratory Corp. of America Holdings | 1,141,555 | 110,491 |
* | Illumina Inc. | 1,432,543 | 107,656 |
* | Hospira Inc. | 1,871,083 | 106,016 |
* | Life Technologies Corp. | 2,020,725 | 105,219 |
CR Bard Inc. | 954,543 | 104,866 | |
* | Waters Corp. | 1,025,652 | 98,196 |
* | Cerner Corp. | 1,591,207 | 97,239 |
* | Watson Pharmaceuticals Inc. | 1,412,671 | 97,093 |
* | Alexion Pharmaceuticals Inc. | 2,050,000 | 96,411 |
* | Varian Medical Systems Inc. | 1,348,267 | 94,406 |
* | DaVita Inc. | 1,082,168 | 93,727 |
Perrigo Co. | 933,103 | 81,992 | |
* | Henry Schein Inc. | 1,031,429 | 73,840 |
* | CareFusion Corp. | 2,505,169 | 68,065 |
* | Cephalon Inc. | 851,061 | 68,000 |
* | Dendreon Corp. | 1,655,416 | 65,290 |
* | Mettler-Toledo International Inc. | 365,652 | 61,675 |
* | Coventry Health Care Inc. | 1,681,638 | 61,329 |
DENTSPLY International Inc. | 1,597,544 | 60,834 | |
* | HCA Holdings Inc. | 1,800,225 | 59,407 |
* | Hologic Inc. | 2,928,665 | 59,071 |
* | ResMed Inc. | 1,722,152 | 53,301 |
* | Endo Pharmaceuticals Holdings Inc. | 1,317,076 | 52,907 |
Universal Health Services Inc. Class B | 1,011,886 | 52,142 |
26
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Human Genome Sciences Inc. | 2,121,917 | 52,072 |
* | IDEXX Laboratories Inc. | 644,456 | 49,984 |
* | Pharmasset Inc. | 415,866 | 46,660 |
* | Regeneron Pharmaceuticals Inc. | 789,779 | 44,788 |
* | Kinetic Concepts Inc. | 728,051 | 41,958 |
Omnicare Inc. | 1,313,542 | 41,889 | |
* | Allscripts Healthcare Solutions Inc. | 2,135,899 | 41,479 |
Cooper Cos. Inc. | 522,206 | 41,380 | |
* | Covance Inc. | 679,343 | 40,333 |
* | AMERIGROUP Corp. | 555,854 | 39,171 |
* | Mednax Inc. | 539,271 | 38,930 |
Warner Chilcott plc Class A | 1,568,087 | 37,838 | |
* | Gen-Probe Inc. | 542,639 | 37,523 |
Patterson Cos. Inc. | 1,104,160 | 36,316 | |
PerkinElmer Inc. | 1,292,496 | 34,781 | |
* | Health Net Inc. | 1,065,885 | 34,204 |
* | Tenet Healthcare Corp. | 5,462,090 | 34,083 |
* | BioMarin Pharmaceutical Inc. | 1,245,241 | 33,883 |
* | Sirona Dental Systems Inc. | 631,371 | 33,526 |
* | Alere Inc. | 906,373 | 33,191 |
* | United Therapeutics Corp. | 600,632 | 33,095 |
Techne Corp. | 396,803 | 33,081 | |
Pharmaceutical Product Development Inc. | 1,227,742 | 32,953 | |
* | Healthspring Inc. | 711,539 | 32,809 |
Hill-Rom Holdings Inc. | 709,722 | 32,676 | |
Lincare Holdings Inc. | 1,087,932 | 31,844 | |
* | Health Management Associates Inc. Class A | 2,832,394 | 30,533 |
* | Brookdale Senior Living Inc. Class A | 1,155,669 | 28,025 |
* | Catalyst Health Solutions Inc. | 499,570 | 27,886 |
* | Healthsouth Corp. | 1,050,384 | 27,573 |
Teleflex Inc. | 450,589 | 27,513 | |
* | Community Health Systems Inc. | 1,041,225 | 26,739 |
* | Salix Pharmaceuticals Ltd. | 653,061 | 26,011 |
Medicis Pharmaceutical Corp. Class A | 680,698 | 25,982 | |
* | Bio-Rad Laboratories Inc. Class A | 216,679 | 25,863 |
* | Onyx Pharmaceuticals Inc. | 710,032 | 25,064 |
* | WellCare Health Plans Inc. | 478,936 | 24,622 |
Owens & Minor Inc. | 713,028 | 24,592 | |
* | Cubist Pharmaceuticals Inc. | 667,250 | 24,014 |
* | HMS Holdings Corp. | 311,776 | 23,966 |
* | Cepheid Inc. | 689,079 | 23,870 |
*,^ | Incyte Corp. Ltd. | 1,258,119 | 23,829 |
* | Myriad Genetics Inc. | 1,030,403 | 23,400 |
STERIS Corp. | 665,984 | 23,296 | |
* | LifePoint Hospitals Inc. | 591,628 | 23,121 |
* | Charles River Laboratories International Inc. | 546,867 | 22,230 |
* | Seattle Genetics Inc. | 1,081,795 | 22,198 |
* | Thoratec Corp. | 661,411 | 21,707 |
* | Centene Corp. | 587,684 | 20,880 |
* | Magellan Health Services Inc. | 374,796 | 20,516 |
* | Amylin Pharmaceuticals Inc. | 1,527,835 | 20,412 |
* | Alkermes Inc. | 1,071,707 | 19,934 |
Quality Systems Inc. | 228,020 | 19,906 | |
* | VCA Antech Inc. | 923,714 | 19,583 |
* | InterMune Inc. | 543,159 | 19,472 |
* | Volcano Corp. | 581,295 | 18,770 |
* | Haemonetics Corp. | 286,253 | 18,426 |
Masimo Corp. | 602,619 | 17,886 | |
* | Theravance Inc. | 784,434 | 17,422 |
* | PSS World Medical Inc. | 621,621 | 17,412 |
* | Bruker Corp. | 837,978 | 17,061 |
West Pharmaceutical Services Inc. | 374,973 | 16,409 | |
* | Ariad Pharmaceuticals Inc. | 1,445,774 | 16,381 |
* | Viropharma Inc. | 878,372 | 16,250 |
27
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Questcor Pharmaceuticals Inc. | 667,799 | 16,094 |
Chemed Corp. | 244,207 | 16,000 | |
* | Align Technology Inc. | 694,820 | 15,842 |
* | Parexel International Corp. | 659,618 | 15,541 |
* | athenahealth Inc. | 370,170 | 15,214 |
* | Impax Laboratories Inc. | 691,945 | 15,077 |
* | Immucor Inc. | 733,992 | 14,988 |
* | NuVasive Inc. | 445,826 | 14,659 |
* | Acorda Therapeutics Inc. | 448,395 | 14,488 |
* | Zoll Medical Corp. | 243,377 | 13,790 |
* | Par Pharmaceutical Cos. Inc. | 406,212 | 13,397 |
Computer Programs & Systems Inc. | 205,198 | 13,026 | |
* | Momenta Pharmaceuticals Inc. | 667,943 | 12,998 |
* | Kindred Healthcare Inc. | 588,119 | 12,627 |
* | Exelixis Inc. | 1,404,566 | 12,585 |
* | Medivation Inc. | 571,972 | 12,257 |
* | Integra LifeSciences Holdings Corp. | 243,399 | 11,637 |
* | Neogen Corp. | 250,551 | 11,327 |
Invacare Corp. | 338,606 | 11,238 | |
* | Insulet Corp. | 482,758 | 10,703 |
* | Auxilium Pharmaceuticals Inc. | 543,344 | 10,650 |
Meridian Bioscience Inc. | 439,733 | 10,602 | |
* | Cyberonics Inc. | 360,801 | 10,084 |
* | Luminex Corp. | 467,808 | 9,777 |
* | Amsurg Corp. Class A | 371,997 | 9,720 |
* | Medicines Co. | 586,167 | 9,678 |
* | Isis Pharmaceuticals Inc. | 1,042,626 | 9,550 |
* | DexCom Inc. | 637,601 | 9,239 |
* | MWI Veterinary Supply Inc. | 113,422 | 9,161 |
* | Nektar Therapeutics | 1,259,847 | 9,159 |
*,^ | Accretive Health Inc. | 307,321 | 8,848 |
* | Air Methods Corp. | 116,501 | 8,707 |
* | Immunogen Inc. | 707,372 | 8,623 |
*,^ | Vivus Inc. | 1,052,486 | 8,567 |
* | Arthrocare Corp. | 255,582 | 8,554 |
* | HeartWare International Inc. | 114,496 | 8,482 |
* | NxStage Medical Inc. | 404,687 | 8,426 |
* | Affymetrix Inc. | 1,048,821 | 8,317 |
* | Amedisys Inc. | 310,893 | 8,279 |
* | Targacept Inc. | 389,394 | 8,205 |
* | NPS Pharmaceuticals Inc. | 867,304 | 8,196 |
* | CONMED Corp. | 278,014 | 7,918 |
* | MAKO Surgical Corp. | 261,992 | 7,789 |
PDL BioPharma Inc. | 1,319,724 | 7,747 | |
* | Molina Healthcare Inc. | 284,662 | 7,720 |
* | Conceptus Inc. | 655,620 | 7,651 |
* | Sunrise Senior Living Inc. | 797,033 | 7,596 |
* | Emeritus Corp. | 350,577 | 7,450 |
* | Halozyme Therapeutics Inc. | 1,072,464 | 7,411 |
* | Savient Pharmaceuticals Inc. | 987,709 | 7,398 |
* | Orthofix International NV | 173,932 | 7,387 |
* | Hanger Orthopedic Group Inc. | 290,987 | 7,120 |
*,^ | AVANIR Pharmaceuticals Inc. | 2,103,551 | 7,068 |
* | Hi-Tech Pharmacal Co. Inc. | 244,183 | 7,064 |
* | Corvel Corp. | 150,200 | 7,044 |
Analogic Corp. | 133,637 | 7,028 | |
* | Abaxis Inc. | 257,798 | 7,025 |
* | Sequenom Inc. | 910,414 | 6,874 |
* | Enzon Pharmaceuticals Inc. | 682,309 | 6,857 |
* | IPC The Hospitalist Co. Inc. | 146,409 | 6,786 |
* | Jazz Pharmaceuticals Inc. | 202,485 | 6,753 |
* | Merit Medical Systems Inc. | 374,965 | 6,738 |
* | Ironwood Pharmaceuticals Inc. | 422,354 | 6,639 |
* | Greatbatch Inc. | 246,020 | 6,598 |
28
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | MedAssets Inc. | 486,901 | 6,505 |
* | Endologix Inc. | 697,213 | 6,484 |
* | Neurocrine Biosciences Inc. | 803,406 | 6,467 |
* | Gentiva Health Services Inc. | 307,789 | 6,411 |
* | Rural/Metro Corp. | 370,632 | 6,390 |
* | Wright Medical Group Inc. | 423,812 | 6,357 |
* | Natus Medical Inc. | 418,175 | 6,335 |
Landauer Inc. | 102,732 | 6,327 | |
* | Emergent Biosolutions Inc. | 268,701 | 6,059 |
Cantel Medical Corp. | 223,571 | 6,016 | |
* | ICU Medical Inc. | 136,865 | 5,981 |
* | Spectrum Pharmaceuticals Inc. | 641,939 | 5,948 |
* | Ligand Pharmaceuticals Inc. Class B | 491,764 | 5,877 |
* | Geron Corp. | 1,442,626 | 5,785 |
*,^ | Protalix BioTherapeutics Inc. | 912,218 | 5,710 |
* | Healthways Inc. | 370,567 | 5,625 |
* | Team Health Holdings Inc. | 248,645 | 5,597 |
* | Ardea Biosciences Inc. | 219,592 | 5,591 |
* | Immunomedics Inc. | 1,362,321 | 5,545 |
* | Bio-Reference Labs Inc. | 257,479 | 5,381 |
* | Optimer Pharmaceuticals Inc. | 449,381 | 5,343 |
Universal American Corp. | 485,655 | 5,318 | |
* | ABIOMED Inc. | 327,711 | 5,309 |
* | Rigel Pharmaceuticals Inc. | 576,835 | 5,290 |
* | Accuray Inc. | 641,550 | 5,139 |
* | PharMerica Corp. | 397,035 | 5,066 |
* | Lexicon Pharmaceuticals Inc. | 2,841,371 | 5,001 |
* | AVEO Pharmaceuticals Inc. | 240,400 | 4,955 |
* | OraSure Technologies Inc. | 566,760 | 4,834 |
* | Allos Therapeutics Inc. | 2,245,130 | 4,805 |
* | Quidel Corp. | 311,467 | 4,719 |
* | Omnicell Inc. | 296,696 | 4,625 |
* | Sciclone Pharmaceuticals Inc. | 762,256 | 4,604 |
* | Akorn Inc. | 657,469 | 4,602 |
* | Opko Health Inc. | 1,232,436 | 4,548 |
* | Exact Sciences Corp. | 523,503 | 4,502 |
* | Genomic Health Inc. | 158,282 | 4,418 |
* | SonoSite Inc. | 123,996 | 4,361 |
* | Nabi Biopharmaceuticals | 792,628 | 4,264 |
Ensign Group Inc. | 140,139 | 4,259 | |
* | AMAG Pharmaceuticals Inc. | 220,538 | 4,146 |
US Physical Therapy Inc. | 167,572 | 4,144 | |
* | Depomed Inc. | 506,603 | 4,144 |
*,^ | MannKind Corp. | 1,086,740 | 4,130 |
* | Select Medical Holdings Corp. | 461,901 | 4,097 |
* | Micromet Inc. | 703,745 | 4,039 |
Assisted Living Concepts Inc. Class A | 239,564 | 4,020 | |
* | Medidata Solutions Inc. | 168,132 | 4,013 |
* | Idenix Pharmaceuticals Inc. | 794,437 | 3,972 |
* | Dynavax Technologies Corp. | 1,438,474 | 3,956 |
* | BioScrip Inc. | 602,507 | 3,910 |
* | ZIOPHARM Oncology Inc. | 635,491 | 3,889 |
* | AMN Healthcare Services Inc. | 434,141 | 3,612 |
*,^ | Novavax Inc. | 1,780,599 | 3,597 |
* | Pharmacyclics Inc. | 341,625 | 3,567 |
* | Triple-S Management Corp. Class B | 162,725 | 3,536 |
* | Five Star Quality Care Inc. | 601,870 | 3,497 |
* | Alnylam Pharmaceuticals Inc. | 371,071 | 3,477 |
*,^ | Delcath Systems Inc. | 673,550 | 3,475 |
*,^ | Cell Therapeutics Inc. | 2,163,974 | 3,408 |
* | Kensey Nash Corp. | 133,839 | 3,377 |
* | Alphatec Holdings Inc. | 969,859 | 3,375 |
* | Chindex International Inc. | 245,285 | 3,341 |
* | LHC Group Inc. | 144,537 | 3,333 |
29
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Emdeon Inc. Class A | 253,117 | 3,321 |
* | eResearchTechnology Inc. | 517,538 | 3,297 |
* | Capital Senior Living Corp. | 353,332 | 3,282 |
* | Arqule Inc. | 524,842 | 3,280 |
*,^ | SIGA Technologies Inc. | 325,084 | 3,166 |
* | Spectranetics Corp. | 493,562 | 3,070 |
*,^ | Biosante Pharmaceuticals Inc. | 1,067,843 | 2,937 |
*,^ | Sangamo Biosciences Inc. | 497,507 | 2,930 |
* | Vanda Pharmaceuticals Inc. | 402,397 | 2,873 |
* | Obagi Medical Products Inc. | 303,070 | 2,858 |
*,^ | Cadence Pharmaceuticals Inc. | 309,439 | 2,847 |
National Healthcare Corp. | 57,312 | 2,841 | |
* | Angiodynamics Inc. | 199,454 | 2,838 |
* | Synovis Life Technologies Inc. | 161,381 | 2,811 |
* | Kendle International Inc. | 185,894 | 2,803 |
* | Symmetry Medical Inc. | 308,183 | 2,764 |
*,^ | Biolase Technology Inc. | 514,680 | 2,645 |
* | ExamWorks Group Inc. | 103,373 | 2,625 |
* | Caliper Life Sciences Inc. | 320,300 | 2,598 |
* | Keryx Biopharmaceuticals Inc. | 539,330 | 2,551 |
* | Curis Inc. | 708,293 | 2,536 |
*,^ | Oncothyreon Inc. | 274,875 | 2,526 |
* | Palomar Medical Technologies Inc. | 221,099 | 2,494 |
* | Vascular Solutions Inc. | 197,290 | 2,446 |
* | CardioNet Inc. | 453,090 | 2,406 |
* | Transcend Services Inc. | 81,443 | 2,394 |
* | Progenics Pharmaceuticals Inc. | 332,554 | 2,388 |
* | CryoLife Inc. | 417,835 | 2,340 |
Atrion Corp. | 11,747 | 2,324 | |
* | Cross Country Healthcare Inc. | 300,805 | 2,286 |
* | SuperGen Inc. | 758,919 | 2,262 |
* | American Dental Partners Inc. | 173,961 | 2,255 |
Pain Therapeutics Inc. | 562,536 | 2,177 | |
*,^ | Hansen Medical Inc. | 615,118 | 2,098 |
* | Chelsea Therapeutics International Ltd. | 399,566 | 2,038 |
*,^ | Insmed Inc. | 168,933 | 2,025 |
* | IRIS International Inc. | 199,145 | 1,989 |
* | Almost Family Inc. | 71,773 | 1,967 |
* | ISTA Pharmaceuticals Inc. | 254,561 | 1,946 |
* | MAP Pharmaceuticals Inc. | 120,538 | 1,925 |
Young Innovations Inc. | 67,292 | 1,919 | |
* | Skilled Healthcare Group Inc. | 201,981 | 1,911 |
* | Stereotaxis Inc. | 535,395 | 1,879 |
* | Staar Surgical Co. | 351,871 | 1,865 |
* | XenoPort Inc. | 260,998 | 1,858 |
*,^ | Neoprobe Corp. | 558,700 | 1,855 |
*,^ | Cerus Corp. | 617,261 | 1,852 |
* | Sun Healthcare Group Inc. | 230,841 | 1,851 |
* | Medcath Corp. | 135,447 | 1,841 |
* | Synta Pharmaceuticals Corp. | 365,528 | 1,839 |
* | SurModics Inc. | 164,604 | 1,827 |
* | Exactech Inc. | 100,427 | 1,809 |
* | Cynosure Inc. Class A | 148,504 | 1,797 |
* | AVI BioPharma Inc. | 1,253,008 | 1,792 |
* | Repligen Corp. | 482,047 | 1,755 |
* | MedQuist Holdings Inc. | 135,171 | 1,746 |
* | Furiex Pharmaceuticals Inc. | 97,550 | 1,735 |
*,^ | Unilife Corp. | 334,149 | 1,731 |
* | Harvard Bioscience Inc. | 322,074 | 1,717 |
* | Arena Pharmaceuticals Inc. | 1,257,290 | 1,710 |
* | Anika Therapeutics Inc. | 240,010 | 1,709 |
* | Santarus Inc. | 506,647 | 1,707 |
* | Dusa Pharmaceuticals Inc. | 273,850 | 1,703 |
* | Merge Healthcare Inc. | 312,674 | 1,626 |
30
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Achillion Pharmaceuticals Inc. | 216,140 | 1,608 |
* | Albany Molecular Research Inc. | 333,285 | 1,603 |
* | Vical Inc. | 388,373 | 1,600 |
*,^ | BioCryst Pharmaceuticals Inc. | 416,950 | 1,593 |
* | Allied Healthcare International Inc. | 626,879 | 1,561 |
* | Enzo Biochem Inc. | 357,044 | 1,517 |
*,^ | KV Pharmaceutical Co. Class A | 554,671 | 1,509 |
* | Rochester Medical Corp. | 165,714 | 1,498 |
* | RTI Biologics Inc. | 550,447 | 1,492 |
* | Columbia Laboratories Inc. | 482,053 | 1,490 |
* | Durect Corp. | 732,851 | 1,488 |
* | Cytokinetics Inc. | 1,163,482 | 1,454 |
*,^ | Cytori Therapeutics Inc. | 299,390 | 1,434 |
Psychemedics Corp. | 150,029 | 1,427 | |
* | Cambrex Corp. | 302,968 | 1,400 |
* | Corcept Therapeutics Inc. | 349,087 | 1,393 |
*,^ | Osiris Therapeutics Inc. | 179,160 | 1,387 |
* | Codexis Inc. | 142,956 | 1,377 |
* | Metabolix Inc. | 189,724 | 1,355 |
Medtox Scientific Inc. | 76,267 | 1,332 | |
* | Pozen Inc. | 316,448 | 1,329 |
* | Zalicus Inc. | 555,025 | 1,321 |
*,^ | Cel-Sci Corp. | 2,583,034 | 1,291 |
* | Dyax Corp. | 630,127 | 1,248 |
* | PDI Inc. | 174,583 | 1,238 |
* | Medical Action Industries Inc. | 151,059 | 1,231 |
* | Continucare Corp. | 198,118 | 1,224 |
* | StemCells Inc. | 2,278,668 | 1,208 |
Maxygen Inc. | 219,796 | 1,202 | |
* | AtriCure Inc. | 93,108 | 1,201 |
* | Alliance HealthCare Services Inc. | 308,921 | 1,174 |
* | Adolor Corp. | 585,565 | 1,165 |
* | Metropolitan Health Networks Inc. | 238,724 | 1,143 |
* | RadNet Inc. | 255,771 | 1,125 |
* | Complete Genomics Inc. | 72,338 | 1,105 |
* | Inhibitex Inc. | 278,529 | 1,092 |
Utah Medical Products Inc. | 39,666 | 1,042 | |
* | Cutera Inc. | 120,315 | 1,026 |
* | Digirad Corp. | 366,411 | 993 |
* | Peregrine Pharmaceuticals Inc. | 530,502 | 987 |
* | Theragenics Corp. | 558,913 | 984 |
* | Affymax Inc. | 137,395 | 944 |
* | Icad Inc. | 895,631 | 940 |
*,^ | PROLOR Biotech Inc. | 188,876 | 933 |
* | LCA-Vision Inc. | 186,543 | 892 |
* | Providence Service Corp. | 69,821 | 883 |
* | Acadia Pharmaceuticals Inc. | 537,381 | 876 |
* | Orchid Cellmark Inc. | 314,061 | 867 |
*,^ | Aastrom Biosciences Inc. | 297,593 | 818 |
* | XOMA Ltd. | 341,196 | 802 |
* | Myrexis Inc. | 217,811 | 780 |
* | Strategic Diagnostics Inc. | 361,930 | 727 |
* | HealthStream Inc. | 53,082 | 704 |
* | Celldex Therapeutics Inc. | 195,729 | 695 |
* | GTx Inc. | 140,625 | 674 |
* | CombiMatrix Corp. | 184,417 | 673 |
*,^ | MELA Sciences Inc. | 285,945 | 669 |
* | Amicus Therapeutics Inc. | 111,669 | 663 |
* | Cardiovascular Systems Inc. | 44,608 | 649 |
* | Infinity Pharmaceuticals Inc. | 77,710 | 642 |
*,^ | Cumberland Pharmaceuticals Inc. | 106,014 | 610 |
* | Array Biopharma Inc. | 267,425 | 599 |
* | Synergetics USA Inc. | 107,621 | 593 |
* | GenVec Inc. | 176,131 | 569 |
31
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Lannett Co. Inc. | 112,508 | 560 |
*,^ | Apricus Biosciences Inc. | 116,789 | 559 |
* | BioMimetic Therapeutics Inc. | 106,773 | 547 |
* | Hemispherx Biopharma Inc. | 1,358,729 | 543 |
* | OncoGenex Pharmaceutical Inc. | 31,794 | 541 |
* | Orexigen Therapeutics Inc. | 339,954 | 541 |
* | Mediware Information Systems | 48,649 | 538 |
* | Anthera Pharmaceuticals Inc. | 64,756 | 529 |
* | Alexza Pharmaceuticals Inc. | 285,567 | 520 |
* | Solta Medical Inc. | 185,396 | 512 |
* | Pacific Biosciences of California Inc. | 40,268 | 471 |
* | Transcept Pharmaceuticals Inc. | 41,218 | 451 |
* | Sucampo Pharmaceuticals Inc. Class A | 98,235 | 403 |
Daxor Corp. | 39,740 | 403 | |
* | American Caresource Holdings Inc. | 259,932 | 356 |
* | Agenus Inc. | 441,872 | 345 |
*,^ | BSD Medical Corp. | 81,715 | 334 |
*,^ | Biotime Inc. | 64,333 | 330 |
* | Telik Inc. | 409,132 | 319 |
* | Hooper Holmes Inc. | 334,146 | 311 |
* | Repros Therapeutics Inc. | 56,916 | 304 |
* | Anadys Pharmaceuticals Inc. | 301,092 | 304 |
* | Discovery Laboratories Inc. | 133,896 | 301 |
* | Heska Corp. | 30,113 | 291 |
*,^ | CytRx Corp. | 380,169 | 274 |
National Research Corp. | 7,073 | 258 | |
*,^ | Arrowhead Research Corp. | 523,663 | 257 |
* | Inovio Pharmaceuticals Inc. | 417,456 | 251 |
*,^ | ARCA Biopharma Inc. | 154,045 | 248 |
* | Idera Pharmaceuticals Inc. | 112,980 | 243 |
* | ThermoGenesis Corp. | 120,464 | 242 |
*,^ | Biodel Inc. | 125,695 | 235 |
*,^ | Poniard Pharmaceuticals Inc. | 995,330 | 233 |
* | Nanosphere Inc. | 122,665 | 222 |
* | TranS1 Inc. | 47,024 | 214 |
* | Clinical Data Inc. Contingent Value Rights Exp. 04/14/2018 | 216,285 | 205 |
* | Biospecifics Technologies Corp. | 7,838 | 176 |
* | Omeros Corp. | 39,057 | 161 |
* | ADVENTRX Pharmaceuticals Inc. | 53,096 | 160 |
* | Bovie Medical Corp. | 58,845 | 156 |
* | Entremed Inc. | 67,712 | 153 |
* | Cardica Inc. | 53,020 | 145 |
* | AspenBio Pharma Inc. | 201,074 | 131 |
* | Alimera Sciences Inc. | 15,700 | 128 |
*,^ | Somaxon Pharmaceuticals Inc. | 56,195 | 120 |
* | Retractable Technologies Inc. | 74,106 | 114 |
* | Vision-Sciences Inc. | 37,845 | 98 |
* | BioClinica Inc. | 18,988 | 95 |
*,^ | PURE Bioscience Inc. | 114,696 | 84 |
*,^ | Celsion Corp. | 24,611 | 83 |
* | IVAX Diagnostics Inc. | 61,375 | 57 |
* | Capstone Therapeutics Corp. | 195,643 | 49 |
* | Sharps Compliance Corp. | 11,524 | 48 |
*,^ | Acura Pharmaceuticals Inc. | 9,753 | 38 |
*,^ | RXi Pharmaceuticals Corp. | 35,532 | 35 |
* | ProPhase Labs Inc. | 29,309 | 26 |
* | Bionovo Inc. | 27,526 | 21 |
* | DynaVox Inc. Class A | 1,700 | 13 |
* | EnteroMedics Inc. | 700 | 2 |
* | NeurogesX Inc. | 900 | 2 |
* | KV Pharmaceutical Co. Class B | 500 | 1 |
* | Pharmacopeia Inc. Contingent Value Rights Exp. 12/11/2011 | 299,160 | — |
* | Trubion Pharmaceuticals Inc. CVR | 104 | — |
* | Neurogen Corp. H3 CVR | 2,800 | — |
32
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Neurogen Merk CVR | 2,800 | — |
* | Avigen, Inc. Escrow | 280,595 | — |
19,606,794 | |||
Industrials (11.6%) | |||
General Electric Co. | 119,107,160 | 2,246,361 | |
United Technologies Corp. | 9,816,400 | 868,850 | |
Caterpillar Inc. | 7,167,050 | 763,004 | |
3M Co. | 7,585,186 | 719,455 | |
United Parcel Service Inc. Class B | 8,242,610 | 601,134 | |
Boeing Co. | 7,846,104 | 580,062 | |
Union Pacific Corp. | 5,507,591 | 574,992 | |
Honeywell International Inc. | 8,355,823 | 497,923 | |
Emerson Electric Co. | 8,459,070 | 475,823 | |
Deere & Co. | 4,724,850 | 389,564 | |
Danaher Corp. | 6,285,097 | 333,047 | |
CSX Corp. | 12,463,905 | 326,804 | |
FedEx Corp. | 3,358,382 | 318,543 | |
Norfolk Southern Corp. | 3,996,197 | 299,435 | |
Illinois Tool Works Inc. | 5,031,750 | 284,244 | |
Lockheed Martin Corp. | 3,337,124 | 270,207 | |
Precision Castparts Corp. | 1,609,818 | 265,057 | |
General Dynamics Corp. | 3,555,008 | 264,919 | |
Tyco International Ltd. | 5,314,245 | 262,683 | |
Cummins Inc. | 2,109,255 | 218,287 | |
Northrop Grumman Corp. | 3,105,564 | 215,371 | |
Raytheon Co. | 4,036,389 | 201,214 | |
Waste Management Inc. | 5,069,101 | 188,925 | |
PACCAR Inc. | 3,689,449 | 188,494 | |
Eaton Corp. | 3,588,447 | 184,626 | |
Ingersoll-Rand plc | 3,698,516 | 167,950 | |
Parker Hannifin Corp. | 1,816,672 | 163,028 | |
CH Robinson Worldwide Inc. | 1,863,509 | 146,919 | |
Dover Corp. | 2,093,342 | 141,929 | |
Rockwell Automation Inc. | 1,597,440 | 138,594 | |
Goodrich Corp. | 1,409,575 | 134,614 | |
Stanley Black & Decker Inc. | 1,782,644 | 128,439 | |
Fluor Corp. | 1,986,272 | 128,432 | |
Expeditors International of Washington Inc. | 2,381,241 | 121,896 | |
ITT Corp. | 1,958,646 | 115,423 | |
Fastenal Co. | 3,144,605 | 113,174 | |
Joy Global Inc. | 1,174,433 | 111,853 | |
L-3 Communications Holdings Inc. | 1,270,625 | 111,116 | |
Cooper Industries plc | 1,844,871 | 110,083 | |
Rockwell Collins Inc. | 1,746,353 | 107,733 | |
Republic Services Inc. Class A | 3,448,221 | 106,378 | |
WW Grainger Inc. | 662,559 | 101,802 | |
Southwest Airlines Co. | 8,888,328 | 101,505 | |
Roper Industries Inc. | 1,070,647 | 89,185 | |
* | Delta Air Lines Inc. | 9,376,032 | 85,978 |
* | United Continental Holdings Inc. | 3,688,727 | 83,476 |
* | Stericycle Inc. | 911,407 | 81,225 |
AMETEK Inc. | 1,805,461 | 81,065 | |
Bucyrus International Inc. Class A | 863,852 | 79,181 | |
Textron Inc. | 3,101,241 | 73,220 | |
Pall Corp. | 1,297,710 | 72,970 | |
Iron Mountain Inc. | 2,023,486 | 68,981 | |
Flowserve Corp. | 626,208 | 68,814 | |
* | Kansas City Southern | 1,152,374 | 68,370 |
KBR Inc. | 1,700,051 | 64,075 | |
* | Jacobs Engineering Group Inc. | 1,419,177 | 61,379 |
Pitney Bowes Inc. | 2,288,597 | 52,615 | |
* | AGCO Corp. | 1,060,700 | 52,356 |
* | WABCO Holdings Inc. | 748,243 | 51,674 |
JB Hunt Transport Services Inc. | 1,090,008 | 51,328 |
33
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Donaldson Co. Inc. | 820,144 | 49,766 | |
* | Owens Corning | 1,331,640 | 49,737 |
Manpower Inc. | 919,981 | 49,357 | |
Gardner Denver Inc. | 586,367 | 49,284 | |
Masco Corp. | 4,043,485 | 48,643 | |
Cintas Corp. | 1,470,309 | 48,564 | |
* | TransDigm Group Inc. | 530,288 | 48,357 |
* | Hertz Global Holdings Inc. | 3,032,276 | 48,153 |
Equifax Inc. | 1,379,929 | 47,911 | |
* | Quanta Services Inc. | 2,371,714 | 47,909 |
* | Verisk Analytics Inc. Class A | 1,369,550 | 47,414 |
Timken Co. | 935,628 | 47,156 | |
SPX Corp. | 568,829 | 47,019 | |
* | BE Aerospace Inc. | 1,148,213 | 46,859 |
RR Donnelley & Sons Co. | 2,321,599 | 45,527 | |
Pentair Inc. | 1,105,276 | 44,609 | |
Avery Dennison Corp. | 1,140,172 | 44,045 | |
* | Navistar International Corp. | 769,539 | 43,448 |
* | Foster Wheeler AG | 1,404,226 | 42,660 |
IDEX Corp. | 927,190 | 42,512 | |
Robert Half International Inc. | 1,561,909 | 42,218 | |
Dun & Bradstreet Corp. | 558,449 | 42,185 | |
* | URS Corp. | 920,717 | 41,193 |
Towers Watson & Co. Class A | 612,678 | 40,259 | |
* | IHS Inc. Class A | 470,040 | 39,211 |
Snap-On Inc. | 624,424 | 39,014 | |
Kennametal Inc. | 923,970 | 39,001 | |
Waste Connections Inc. | 1,227,649 | 38,953 | |
Hubbell Inc. Class B | 593,574 | 38,553 | |
* | Sensata Technologies Holding NV | 981,241 | 36,944 |
Nordson Corp. | 656,587 | 36,014 | |
* | Babcock & Wilcox Co. | 1,285,159 | 35,612 |
Wabtec Corp. | 539,680 | 35,468 | |
* | Terex Corp. | 1,227,912 | 34,934 |
MSC Industrial Direct Co. Class A | 516,993 | 34,282 | |
Graco Inc. | 674,685 | 34,180 | |
Carlisle Cos. Inc. | 686,241 | 33,784 | |
* | Aecom Technology Corp. | 1,201,517 | 32,849 |
Ryder System Inc. | 577,433 | 32,827 | |
Lincoln Electric Holdings Inc. | 904,824 | 32,438 | |
* | Nielsen Holdings NV | 1,005,472 | 31,331 |
Trinity Industries Inc. | 897,527 | 31,306 | |
* | Kirby Corp. | 550,922 | 31,221 |
* | Copart Inc. | 669,596 | 31,203 |
* | Thomas & Betts Corp. | 566,372 | 30,499 |
Harsco Corp. | 908,227 | 29,608 | |
* | Oshkosh Corp. | 1,021,039 | 29,549 |
Regal-Beloit Corp. | 434,782 | 29,030 | |
* | Shaw Group Inc. | 954,708 | 28,842 |
* | Alaska Air Group Inc. | 410,682 | 28,115 |
* | Clean Harbors Inc. | 267,089 | 27,577 |
Acuity Brands Inc. | 486,620 | 27,144 | |
Alliant Techsystems Inc. | 376,300 | 26,841 | |
* | Corrections Corp. of America | 1,230,371 | 26,638 |
* | GrafTech International Ltd. | 1,312,279 | 26,600 |
* | Spirit Aerosystems Holdings Inc. Class A | 1,208,974 | 26,597 |
Crane Co. | 532,204 | 26,296 | |
* | WESCO International Inc. | 484,972 | 26,232 |
* | Polypore International Inc. | 385,690 | 26,165 |
* | Esterline Technologies Corp. | 341,225 | 26,070 |
* | Genesee & Wyoming Inc. Class A | 442,953 | 25,975 |
CLARCOR Inc. | 549,380 | 25,975 | |
Landstar System Inc. | 547,253 | 25,436 | |
* | General Cable Corp. | 587,733 | 25,026 |
34
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Covanta Holding Corp. | 1,511,008 | 24,917 | |
Valmont Industries Inc. | 252,291 | 24,318 | |
Robbins & Myers Inc. | 459,707 | 24,296 | |
Con-way Inc. | 619,450 | 24,041 | |
* | Hexcel Corp. | 1,095,349 | 23,977 |
* | Dollar Thrifty Automotive Group Inc. | 324,035 | 23,894 |
Manitowoc Co. Inc. | 1,409,885 | 23,742 | |
Woodward Inc. | 656,330 | 22,880 | |
UTi Worldwide Inc. | 1,147,872 | 22,602 | |
Alexander & Baldwin Inc. | 465,561 | 22,421 | |
Lennox International Inc. | 514,338 | 22,153 | |
* | EMCOR Group Inc. | 751,366 | 22,023 |
Triumph Group Inc. | 218,619 | 21,770 | |
Toro Co. | 357,453 | 21,626 | |
Actuant Corp. Class A | 770,192 | 20,664 | |
* | AMR Corp. | 3,750,917 | 20,255 |
* | Teledyne Technologies Inc. | 399,143 | 20,101 |
* | Avis Budget Group Inc. | 1,166,766 | 19,940 |
* | FTI Consulting Inc. | 519,046 | 19,693 |
* | EnerSys | 564,275 | 19,422 |
Watsco Inc. | 285,196 | 19,390 | |
* | Moog Inc. Class A | 442,579 | 19,261 |
* | Middleby Corp. | 197,123 | 18,537 |
Belden Inc. | 530,894 | 18,507 | |
AO Smith Corp. | 433,379 | 18,332 | |
United Stationers Inc. | 506,887 | 17,959 | |
* | Huntington Ingalls Industries Inc. | 519,212 | 17,913 |
GATX Corp. | 477,855 | 17,738 | |
Brady Corp. Class A | 551,502 | 17,681 | |
* | Old Dominion Freight Line Inc. | 472,102 | 17,609 |
* | Chart Industries Inc. | 325,098 | 17,549 |
* | Atlas Air Worldwide Holdings Inc. | 291,548 | 17,350 |
* | United Rentals Inc. | 680,961 | 17,296 |
* | JetBlue Airways Corp. | 2,821,980 | 17,214 |
* | Acacia Research - Acacia Technologies | 463,287 | 16,998 |
Corporate Executive Board Co. | 385,854 | 16,843 | |
* | Geo Group Inc. | 724,456 | 16,684 |
Herman Miller Inc. | 612,658 | 16,677 | |
* | CoStar Group Inc. | 278,048 | 16,483 |
Curtiss-Wright Corp. | 506,041 | 16,381 | |
* | US Airways Group Inc. | 1,826,970 | 16,278 |
* | Meritor Inc. | 1,006,863 | 16,150 |
Mueller Industries Inc. | 425,434 | 16,128 | |
* | Tetra Tech Inc. | 700,351 | 15,758 |
Brink's Co. | 523,870 | 15,627 | |
* | HUB Group Inc. Class A | 414,035 | 15,593 |
Applied Industrial Technologies Inc. | 431,870 | 15,379 | |
* | II-VI Inc. | 594,784 | 15,226 |
Mine Safety Appliances Co. | 390,789 | 14,592 | |
Deluxe Corp. | 578,623 | 14,298 | |
Rollins Inc. | 692,932 | 14,122 | |
Kaydon Corp. | 373,241 | 13,929 | |
Interface Inc. Class A | 703,774 | 13,632 | |
Simpson Manufacturing Co. Inc. | 450,636 | 13,460 | |
ABM Industries Inc. | 568,088 | 13,259 | |
Barnes Group Inc. | 523,271 | 12,982 | |
* | Sauer-Danfoss Inc. | 255,459 | 12,873 |
Werner Enterprises Inc. | 513,523 | 12,864 | |
Macquarie Infrastructure Co. LLC | 462,726 | 12,771 | |
HNI Corp. | 506,075 | 12,713 | |
Forward Air Corp. | 364,707 | 12,323 | |
HEICO Corp. Class A | 309,547 | 12,308 | |
* | MasTec Inc. | 622,672 | 12,279 |
Knight Transportation Inc. | 701,090 | 11,912 |
35
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Watts Water Technologies Inc. Class A | 335,482 | 11,879 | |
* | USG Corp. | 801,928 | 11,500 |
* | Korn/Ferry International | 522,086 | 11,481 |
AAR Corp. | 421,599 | 11,421 | |
Healthcare Services Group Inc. | 694,488 | 11,285 | |
Briggs & Stratton Corp. | 564,027 | 11,202 | |
* | Orbital Sciences Corp. | 644,409 | 10,858 |
* | Swift Transportation Co. | 790,993 | 10,718 |
* | Beacon Roofing Supply Inc. | 468,298 | 10,687 |
* | EnPro Industries Inc. | 218,917 | 10,523 |
ESCO Technologies Inc. | 285,803 | 10,518 | |
* | SYKES Enterprises Inc. | 486,390 | 10,472 |
Raven Industries Inc. | 187,424 | 10,441 | |
Heartland Express Inc. | 628,477 | 10,408 | |
* | TrueBlue Inc. | 709,194 | 10,269 |
* | Ceradyne Inc. | 262,851 | 10,249 |
* | Mobile Mini Inc. | 475,656 | 10,079 |
Granite Construction Inc. | 408,578 | 10,022 | |
* | Blount International Inc. | 559,212 | 9,769 |
Knoll Inc. | 484,284 | 9,720 | |
* | DigitalGlobe Inc. | 381,078 | 9,683 |
Kaman Corp. | 270,462 | 9,593 | |
Steelcase Inc. Class A | 826,182 | 9,410 | |
*,^ | A123 Systems Inc. | 1,733,428 | 9,222 |
Armstrong World Industries Inc. | 202,085 | 9,207 | |
* | 3D Systems Corp. | 466,492 | 9,195 |
Cubic Corp. | 179,337 | 9,144 | |
Titan International Inc. | 376,668 | 9,138 | |
* | Insituform Technologies Inc. Class A | 431,946 | 9,058 |
* | Allegiant Travel Co. Class A | 181,929 | 9,005 |
Skywest Inc. | 596,010 | 8,976 | |
* | Altra Holdings Inc. | 372,410 | 8,934 |
* | GeoEye Inc. | 237,665 | 8,889 |
Franklin Electric Co. Inc. | 188,323 | 8,842 | |
Lindsay Corp. | 125,635 | 8,644 | |
American Science & Engineering Inc. | 106,722 | 8,538 | |
TAL International Group Inc. | 247,245 | 8,537 | |
* | Advisory Board Co. | 147,215 | 8,521 |
Seaboard Corp. | 3,400 | 8,221 | |
Sun Hydraulics Corp. | 170,756 | 8,162 | |
* | Colfax Corp. | 328,263 | 8,141 |
Insperity Inc. | 273,495 | 8,098 | |
*,^ | Capstone Turbine Corp. | 5,245,964 | 8,026 |
Albany International Corp. | 303,352 | 8,005 | |
* | Dycom Industries Inc. | 487,162 | 7,960 |
CIRCOR International Inc. | 182,267 | 7,806 | |
* | Navigant Consulting Inc. | 742,433 | 7,788 |
Arkansas Best Corp. | 326,782 | 7,755 | |
Unifirst Corp. | 137,334 | 7,717 | |
Ameron International Corp. | 117,421 | 7,712 | |
Aircastle Ltd. | 605,635 | 7,704 | |
* | RBC Bearings Inc. | 203,556 | 7,686 |
*,^ | Higher One Holdings Inc. | 389,430 | 7,368 |
* | SFN Group Inc. | 787,851 | 7,162 |
* | KAR Auction Services Inc. | 373,898 | 7,070 |
Resources Connection Inc. | 579,283 | 6,975 | |
* | Amerco Inc. | 70,854 | 6,813 |
Tennant Co. | 170,510 | 6,808 | |
Mueller Water Products Inc. Class A | 1,674,751 | 6,666 | |
* | Huron Consulting Group Inc. | 218,401 | 6,598 |
McGrath Rentcorp | 234,815 | 6,594 | |
Quanex Building Products Corp. | 383,169 | 6,280 | |
* | Astec Industries Inc. | 168,685 | 6,238 |
* | NN Inc. | 411,364 | 6,154 |
36
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Astronics Corp. | 199,576 | 6,147 |
* | Interline Brands Inc. | 333,547 | 6,127 |
* | Consolidated Graphics Inc. | 109,820 | 6,035 |
* | RSC Holdings Inc. | 499,873 | 5,978 |
* | Trimas Corp. | 239,728 | 5,933 |
* | Wabash National Corp. | 626,861 | 5,874 |
* | Aerovironment Inc. | 164,384 | 5,811 |
* | Rush Enterprises Inc. Class A | 299,307 | 5,696 |
* | Griffon Corp. | 555,889 | 5,603 |
AAON Inc. | 253,584 | 5,538 | |
G&K Services Inc. Class A | 163,103 | 5,523 | |
Badger Meter Inc. | 148,037 | 5,476 | |
US Ecology Inc. | 317,683 | 5,432 | |
Gorman-Rupp Co. | 163,782 | 5,395 | |
Tutor Perini Corp. | 277,966 | 5,331 | |
Encore Wire Corp. | 218,112 | 5,283 | |
* | Kforce Inc. | 400,081 | 5,233 |
* | Exponent Inc. | 118,997 | 5,178 |
Tredegar Corp. | 279,655 | 5,132 | |
* | Layne Christensen Co. | 168,686 | 5,118 |
* | Kelly Services Inc. Class A | 309,256 | 5,103 |
* | Celadon Group Inc. | 352,180 | 4,916 |
Comfort Systems USA Inc. | 462,397 | 4,906 | |
* | GenCorp Inc. | 761,539 | 4,889 |
Universal Forest Products Inc. | 202,045 | 4,841 | |
Ennis Inc. | 275,850 | 4,800 | |
Heidrick & Struggles International Inc. | 211,487 | 4,788 | |
*,^ | American Superconductor Corp. | 529,199 | 4,784 |
* | FreightCar America Inc. | 185,616 | 4,704 |
* | M&F Worldwide Corp. | 181,846 | 4,699 |
* | MYR Group Inc. | 200,723 | 4,697 |
AZZ Inc. | 101,215 | 4,636 | |
Twin Disc Inc. | 119,237 | 4,606 | |
* | Team Inc. | 189,972 | 4,584 |
National Presto Industries Inc. | 44,973 | 4,564 | |
*,^ | EnerNOC Inc. | 289,394 | 4,555 |
John Bean Technologies Corp. | 235,629 | 4,552 | |
* | Kadant Inc. | 142,771 | 4,499 |
Standex International Corp. | 146,244 | 4,485 | |
* | Furmanite Corp. | 561,366 | 4,457 |
* | Force Protection Inc. | 895,444 | 4,446 |
* | On Assignment Inc. | 446,862 | 4,393 |
Cascade Corp. | 92,273 | 4,389 | |
HEICO Corp. | 79,653 | 4,360 | |
* | Titan Machinery Inc. | 151,127 | 4,349 |
* | Cenveo Inc. | 669,919 | 4,287 |
* | Quality Distribution Inc. | 329,134 | 4,285 |
Houston Wire & Cable Co. | 271,236 | 4,218 | |
NACCO Industries Inc. Class A | 43,549 | 4,216 | |
* | Generac Holdings Inc. | 216,576 | 4,202 |
Apogee Enterprises Inc. | 324,190 | 4,153 | |
* | ACCO Brands Corp. | 523,096 | 4,106 |
* | Columbus McKinnon Corp. | 228,010 | 4,095 |
* | H&E Equipment Services Inc. | 291,592 | 4,079 |
Federal Signal Corp. | 617,698 | 4,052 | |
* | Greenbrier Cos. Inc. | 200,826 | 3,968 |
* | Flow International Corp. | 1,111,287 | 3,956 |
EnergySolutions Inc. | 794,762 | 3,926 | |
* | ICF International Inc. | 153,958 | 3,907 |
* | CBIZ Inc. | 527,310 | 3,881 |
Viad Corp. | 173,480 | 3,867 | |
Miller Industries Inc. | 206,608 | 3,861 | |
Primoris Services Corp. | 292,191 | 3,769 | |
* | Metalico Inc. | 633,980 | 3,740 |
37
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
LB Foster Co. Class A | 105,989 | 3,488 | |
Dynamic Materials Corp. | 154,345 | 3,460 | |
* | Accuride Corp. | 269,044 | 3,398 |
Marten Transport Ltd. | 155,296 | 3,354 | |
* | American Reprographics Co. | 469,394 | 3,319 |
* | RailAmerica Inc. | 218,317 | 3,275 |
* | InnerWorkings Inc. | 377,998 | 3,152 |
SeaCube Container Leasing Ltd. | 183,387 | 3,151 | |
* | Taser International Inc. | 688,687 | 3,134 |
Insteel Industries Inc. | 247,201 | 3,100 | |
* | Powell Industries Inc. | 84,788 | 3,095 |
Aceto Corp. | 454,754 | 3,051 | |
* | Global Power Equipment Group Inc. | 112,781 | 2,991 |
* | School Specialty Inc. | 205,304 | 2,954 |
* | Lydall Inc. | 237,560 | 2,841 |
Great Lakes Dredge & Dock Corp. | 500,878 | 2,795 | |
* | APAC Customer Services Inc. | 518,705 | 2,765 |
* | Builders FirstSource Inc. | 1,276,378 | 2,744 |
*,^ | Satcon Technology Corp. | 1,109,993 | 2,653 |
* | GP Strategies Corp. | 193,797 | 2,647 |
Graham Corp. | 129,763 | 2,647 | |
Ducommun Inc. | 128,181 | 2,637 | |
* | Air Transport Services Group Inc. | 375,753 | 2,574 |
* | Orion Marine Group Inc. | 270,232 | 2,543 |
* | Hawaiian Holdings Inc. | 445,270 | 2,538 |
* | Commercial Vehicle Group Inc. | 174,345 | 2,474 |
Met-Pro Corp. | 217,184 | 2,472 | |
Vicor Corp. | 152,142 | 2,460 | |
Intersections Inc. | 132,839 | 2,418 | |
* | Gibraltar Industries Inc. | 210,341 | 2,381 |
* | Trex Co. Inc. | 96,418 | 2,360 |
* | Michael Baker Corp. | 111,588 | 2,357 |
* | Park-Ohio Holdings Corp. | 104,932 | 2,218 |
* | Sterling Construction Co. Inc. | 161,080 | 2,218 |
CDI Corp. | 166,622 | 2,214 | |
* | American Railcar Industries Inc. | 93,445 | 2,191 |
* | Hurco Cos. Inc. | 67,604 | 2,178 |
Multi-Color Corp. | 87,434 | 2,159 | |
Schawk Inc. Class A | 129,340 | 2,142 | |
*,^ | Genco Shipping & Trading Ltd. | 279,133 | 2,099 |
* | Mistras Group Inc. | 129,059 | 2,091 |
LSI Industries Inc. | 260,808 | 2,071 | |
* | Dolan Co. | 240,422 | 2,036 |
* | Pike Electric Corp. | 226,700 | 2,004 |
* | Rush Enterprises Inc. Class B | 124,113 | 1,998 |
* | Saia Inc. | 117,578 | 1,993 |
Alamo Group Inc. | 83,601 | 1,981 | |
* | LMI Aerospace Inc. | 80,102 | 1,957 |
Ampco-Pittsburgh Corp. | 83,248 | 1,952 | |
* | CRA International Inc. | 70,974 | 1,923 |
American Woodmark Corp. | 108,761 | 1,884 | |
*,^ | Odyssey Marine Exploration Inc. | 592,756 | 1,855 |
* | Casella Waste Systems Inc. Class A | 303,575 | 1,852 |
* | DXP Enterprises Inc. | 72,132 | 1,829 |
Douglas Dynamics Inc. | 114,649 | 1,810 | |
* | CAI International Inc. | 86,625 | 1,790 |
* | WCA Waste Corp. | 310,518 | 1,789 |
* | Northwest Pipe Co. | 67,028 | 1,747 |
*,^ | FuelCell Energy Inc. | 1,328,614 | 1,740 |
Barrett Business Services Inc. | 120,717 | 1,729 | |
* | Orion Energy Systems Inc. | 438,665 | 1,724 |
* | Tecumseh Products Co. Class A | 165,910 | 1,692 |
* | Republic Airways Holdings Inc. | 305,799 | 1,670 |
International Shipholding Corp. | 77,980 | 1,659 |
38
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Kratos Defense & Security Solutions Inc. | 136,150 | 1,656 |
*,^ | Valence Technology Inc. | 1,363,424 | 1,609 |
* | Pacer International Inc. | 340,742 | 1,608 |
* | USA Truck Inc. | 140,573 | 1,588 |
* | PMFG Inc. | 78,239 | 1,553 |
* | Ameresco Inc. Class A | 107,145 | 1,519 |
* | Hudson Highland Group Inc. | 270,260 | 1,446 |
* | Willis Lease Finance Corp. | 104,923 | 1,399 |
Lawson Products Inc. | 70,592 | 1,389 | |
Kimball International Inc. Class B | 213,755 | 1,374 | |
* | Standard Parking Corp. | 85,792 | 1,370 |
* | Fuel Tech Inc. | 204,402 | 1,355 |
* | Innovative Solutions & Support Inc. | 238,921 | 1,307 |
* | Pinnacle Airlines Corp. | 278,148 | 1,263 |
Superior Uniform Group Inc. | 107,163 | 1,259 | |
Courier Corp. | 111,791 | 1,235 | |
* | Energy Recovery Inc. | 374,514 | 1,225 |
* | Eagle Bulk Shipping Inc. | 492,228 | 1,221 |
*,^ | Xerium Technologies Inc. | 62,611 | 1,161 |
Preformed Line Products Co. | 16,146 | 1,149 | |
* | Broadwind Energy Inc. | 775,036 | 1,124 |
* | NCI Building Systems Inc. | 98,483 | 1,122 |
*,^ | Ener1 Inc. | 1,000,724 | 1,101 |
* | Ultralife Corp. | 229,766 | 1,078 |
* | Active Power Inc. | 425,386 | 1,042 |
US Home Systems Inc. | 198,934 | 999 | |
* | Hill International Inc. | 166,935 | 962 |
Standard Register Co. | 304,751 | 960 | |
* | Roadrunner Transportation Systems Inc. | 63,439 | 957 |
* | TRC Cos. Inc. | 151,253 | 945 |
* | Universal Truckload Services Inc. | 54,784 | 938 |
* | Magnetek Inc. | 513,668 | 935 |
VSE Corp. | 36,498 | 909 | |
Hardinge Inc. | 83,298 | 909 | |
* | Perma-Fix Environmental Services | 649,314 | 903 |
* | SL Industries Inc. | 37,937 | 893 |
* | UQM Technologies Inc. | 393,995 | 886 |
* | PowerSecure International Inc. | 119,374 | 862 |
Baltic Trading Ltd. | 148,494 | 852 | |
* | United Capital Corp. | 27,624 | 827 |
* | Frozen Food Express Industries | 179,901 | 642 |
*,^ | Lime Energy Co. | 116,804 | 626 |
* | Omega Flex Inc. | 43,837 | 615 |
* | PAM Transportation Services Inc. | 61,373 | 606 |
^ | Horizon Lines Inc. Class A | 495,169 | 599 |
LS Starrett Co. Class A | 58,146 | 596 | |
* | BlueLinx Holdings Inc. | 229,116 | 529 |
* | Covenant Transportation Group Inc. Class A | 67,325 | 522 |
* | Heritage-Crystal Clean Inc. | 26,475 | 508 |
* | Patriot Transportation Holding Inc. | 21,883 | 490 |
Hubbell Inc. Class A | 7,600 | 453 | |
Virco Manufacturing | 159,426 | 446 | |
* | Ceco Environmental Corp. | 64,270 | 433 |
* | TBS International plc Class A | 225,630 | 417 |
* | Sypris Solutions Inc. | 91,511 | 377 |
* | Integrated Electrical Services Inc. | 111,464 | 350 |
*,^ | YRC Worldwide Inc. | 309,038 | 349 |
* | AT Cross Co. Class A | 29,613 | 337 |
*,^ | Plug Power Inc. | 130,550 | 290 |
*,^ | Hoku Corp. | 151,111 | 246 |
*,^ | Altair Nanotechnologies Inc. | 272,668 | 235 |
* | Argan Inc. | 18,691 | 190 |
* | Coleman Cable Inc. | 12,494 | 184 |
* | Franklin Covey Co. | 15,108 | 146 |
39
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Key Technology Inc. | 8,041 | 130 |
* | Innotrac Corp. | 73,831 | 108 |
*,^ | Westinghouse Solar Inc. | 69,212 | 101 |
* | Applied Energetics Inc. | 292,298 | 97 |
* | Ocean Power Technologies Inc. | 23,689 | 85 |
* | Keyw Holding Corp. | 6,700 | 83 |
*,^ | Ascent Solar Technologies Inc. | 72,735 | 69 |
Eastern Co. | 3,468 | 56 | |
* | PGT Inc. | 24,655 | 45 |
* | BlueLinx Holdings Inc. Rights Exp. 07/22/2011 | 229,116 | 39 |
* | Arotech Corp. | 13,617 | 30 |
* | Innovaro Inc. | 3,814 | 8 |
* | Trailer Bridge Inc. | 1,021 | 2 |
* | Internet Media Services Inc. | 5,542 | 1 |
19,540,812 | |||
Information Technology (18.0%) | |||
* | Apple Inc. | 10,335,872 | 3,469,442 |
International Business Machines Corp. | 13,679,534 | 2,346,724 | |
Microsoft Corp. | 84,840,147 | 2,205,844 | |
Oracle Corp. | 45,338,283 | 1,492,083 | |
* | Google Inc. Class A | 2,815,162 | 1,425,542 |
Intel Corp. | 61,570,234 | 1,364,396 | |
Qualcomm Inc. | 18,441,367 | 1,047,285 | |
Cisco Systems Inc. | 62,007,404 | 967,936 | |
Hewlett-Packard Co. | 24,391,900 | 887,865 | |
* | EMC Corp. | 23,203,487 | 639,256 |
Visa Inc. Class A | 5,548,912 | 467,551 | |
Accenture plc Class A | 7,186,060 | 434,182 | |
Texas Instruments Inc. | 13,150,274 | 431,723 | |
* | eBay Inc. | 13,107,690 | 422,985 |
Mastercard Inc. Class A | 1,248,867 | 376,334 | |
* | Dell Inc. | 19,487,417 | 324,855 |
Corning Inc. | 17,563,117 | 318,771 | |
Automatic Data Processing Inc. | 5,568,583 | 293,353 | |
* | Cognizant Technology Solutions Corp. Class A | 3,413,916 | 250,377 |
* | NetApp Inc. | 4,055,810 | 214,066 |
* | Yahoo! Inc. | 13,960,762 | 209,970 |
* | Salesforce.com Inc. | 1,400,903 | 208,707 |
Applied Materials Inc. | 14,808,324 | 192,656 | |
* | Juniper Networks Inc. | 5,999,787 | 188,993 |
TE Connectivity Ltd. | 4,999,196 | 183,770 | |
Broadcom Corp. Class A | 5,436,573 | 182,886 | |
* | Adobe Systems Inc. | 5,677,386 | 178,554 |
* | Intuit Inc. | 3,311,820 | 171,751 |
* | Symantec Corp. | 8,561,477 | 168,832 |
* | Citrix Systems Inc. | 2,105,417 | 168,433 |
Altera Corp. | 3,590,608 | 166,425 | |
Xerox Corp. | 15,698,072 | 163,417 | |
* | Motorola Solutions Inc. | 3,400,602 | 156,564 |
Western Union Co. | 7,299,839 | 146,216 | |
Analog Devices Inc. | 3,362,296 | 131,600 | |
* | Teradata Corp. | 1,879,800 | 113,164 |
Paychex Inc. | 3,652,868 | 112,216 | |
* | SanDisk Corp. | 2,656,222 | 110,233 |
* | BMC Software Inc. | 2,004,753 | 109,660 |
Xilinx Inc. | 2,929,756 | 106,848 | |
Amphenol Corp. Class A | 1,975,164 | 106,639 | |
CA Inc. | 4,582,205 | 104,658 | |
* | NVIDIA Corp. | 6,517,046 | 103,849 |
* | Fiserv Inc. | 1,653,607 | 103,565 |
* | F5 Networks Inc. | 906,611 | 99,954 |
* | Red Hat Inc. | 2,165,754 | 99,408 |
* | Autodesk Inc. | 2,569,390 | 99,178 |
* | Western Digital Corp. | 2,600,130 | 94,593 |
40
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | VMware Inc. Class A | 929,888 | 93,203 |
* | Marvell Technology Group Ltd. | 6,203,433 | 91,594 |
Avago Technologies Ltd. | 2,352,725 | 89,404 | |
* | Electronic Arts Inc. | 3,753,375 | 88,580 |
Maxim Integrated Products Inc. | 3,328,383 | 85,073 | |
Linear Technology Corp. | 2,546,545 | 84,087 | |
Fidelity National Information Services Inc. | 2,718,606 | 83,706 | |
*,^ | First Solar Inc. | 626,723 | 82,897 |
Seagate Technology plc | 5,086,419 | 82,197 | |
Microchip Technology Inc. | 2,116,940 | 80,253 | |
KLA-Tencor Corp. | 1,879,096 | 76,066 | |
* | Micron Technology Inc. | 10,070,057 | 75,324 |
* | Atmel Corp. | 5,143,822 | 72,374 |
* | Rovi Corp. | 1,252,397 | 71,837 |
Activision Blizzard Inc. | 6,045,384 | 70,610 | |
* | Informatica Corp. | 1,186,328 | 69,317 |
* | Motorola Mobility Holdings Inc. | 3,142,216 | 69,254 |
National Semiconductor Corp. | 2,706,268 | 66,601 | |
* | Akamai Technologies Inc. | 2,101,167 | 66,124 |
Computer Sciences Corp. | 1,741,188 | 66,095 | |
Harris Corp. | 1,436,439 | 64,726 | |
* | Riverbed Technology Inc. | 1,610,712 | 63,768 |
* | Polycom Inc. | 985,184 | 63,347 |
* | Lam Research Corp. | 1,387,205 | 61,425 |
VeriSign Inc. | 1,834,847 | 61,394 | |
FLIR Systems Inc. | 1,780,465 | 60,019 | |
* | Nuance Communications Inc. | 2,699,355 | 57,955 |
* | ANSYS Inc. | 1,030,049 | 56,313 |
* | SAIC Inc. | 3,338,817 | 56,159 |
* | Flextronics International Ltd. | 8,537,166 | 54,809 |
* | Avnet Inc. | 1,713,960 | 54,641 |
* | Alliance Data Systems Corp. | 578,924 | 54,459 |
* | Trimble Navigation Ltd. | 1,372,006 | 54,386 |
* | TIBCO Software Inc. | 1,862,655 | 54,054 |
* | Arrow Electronics Inc. | 1,290,629 | 53,561 |
* | Equinix Inc. | 518,553 | 52,384 |
* | ON Semiconductor Corp. | 4,962,673 | 51,959 |
* | Varian Semiconductor Equipment Associates Inc. | 843,775 | 51,842 |
Factset Research Systems Inc. | 494,394 | 50,586 | |
* | Rackspace Hosting Inc. | 1,160,853 | 49,615 |
* | LSI Corp. | 6,921,228 | 49,279 |
* | Skyworks Solutions Inc. | 2,081,098 | 47,824 |
Solera Holdings Inc. | 792,128 | 46,862 | |
* | Advanced Micro Devices Inc. | 6,540,284 | 45,717 |
Global Payments Inc. | 895,941 | 45,693 | |
* | MICROS Systems Inc. | 908,219 | 45,148 |
Jabil Circuit Inc. | 2,204,857 | 44,538 | |
* | Acme Packet Inc. | 628,727 | 44,093 |
* | VeriFone Systems Inc. | 992,359 | 44,011 |
* | Synopsys Inc. | 1,677,041 | 43,117 |
* | JDS Uniphase Corp. | 2,518,493 | 41,958 |
* | Cree Inc. | 1,227,930 | 41,246 |
Cypress Semiconductor Corp. | 1,855,784 | 39,231 | |
* | Gartner Inc. | 971,081 | 39,125 |
* | Novellus Systems Inc. | 1,014,343 | 36,658 |
* | IAC/InterActiveCorp | 955,415 | 36,468 |
* | Ariba Inc. | 1,050,140 | 36,198 |
Total System Services Inc. | 1,848,835 | 34,351 | |
* | Brocade Communications Systems Inc. | 5,301,348 | 34,247 |
* | NCR Corp. | 1,801,606 | 34,032 |
Broadridge Financial Solutions Inc. | 1,410,043 | 33,940 | |
* | Ingram Micro Inc. | 1,764,444 | 32,007 |
* | Cadence Design Systems Inc. | 3,019,277 | 31,884 |
National Instruments Corp. | 1,053,565 | 31,280 |
41
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Parametric Technology Corp. | 1,328,404 | 30,460 |
* | Teradyne Inc. | 2,038,683 | 30,172 |
* | WebMD Health Corp. | 639,091 | 29,130 |
* | Fortinet Inc. | 1,015,263 | 27,707 |
* | Netlogic Microsystems Inc. | 684,443 | 27,665 |
Jack Henry & Associates Inc. | 919,195 | 27,585 | |
* | QLIK Technologies Inc. | 799,752 | 27,240 |
ADTRAN Inc. | 689,006 | 26,671 | |
* | Zebra Technologies Corp. | 630,418 | 26,585 |
* | Lexmark International Inc. Class A | 882,700 | 25,828 |
* | Concur Technologies Inc. | 512,031 | 25,637 |
* | Tech Data Corp. | 523,297 | 25,584 |
* | Vishay Intertechnology Inc. | 1,698,838 | 25,551 |
* | Aruba Networks Inc. | 864,484 | 25,545 |
MercadoLibre Inc. | 321,962 | 25,544 | |
* | Dolby Laboratories Inc. Class A | 598,222 | 25,400 |
* | Compuware Corp. | 2,462,795 | 24,037 |
* | AOL Inc. | 1,203,187 | 23,895 |
* | Fairchild Semiconductor International Inc. Class A | 1,418,392 | 23,701 |
* | VistaPrint NV | 490,845 | 23,487 |
* | IPG Photonics Corp. | 317,433 | 23,081 |
* | GT Solar International Inc. | 1,402,993 | 22,728 |
* | SuccessFactors Inc. | 767,535 | 22,566 |
Diebold Inc. | 718,326 | 22,275 | |
* | Omnivision Technologies Inc. | 637,781 | 22,201 |
*,^ | Veeco Instruments Inc. | 455,901 | 22,070 |
* | MEMC Electronic Materials Inc. | 2,585,811 | 22,057 |
DST Systems Inc. | 417,123 | 22,024 | |
* | Itron Inc. | 456,740 | 21,997 |
* | International Rectifier Corp. | 785,721 | 21,977 |
* | Cavium Inc. | 503,962 | 21,968 |
* | NeuStar Inc. Class A | 828,749 | 21,713 |
* | Wright Express Corp. | 411,826 | 21,444 |
Anixter International Inc. | 325,964 | 21,298 | |
Lender Processing Services Inc. | 1,007,949 | 21,076 | |
* | CACI International Inc. Class A | 333,244 | 21,021 |
InterDigital Inc. | 509,461 | 20,811 | |
* | CommVault Systems Inc. | 467,419 | 20,777 |
* | Monster Worldwide Inc. | 1,389,209 | 20,366 |
Plantronics Inc. | 549,318 | 20,067 | |
* | PMC - Sierra Inc. | 2,622,530 | 19,853 |
* | Microsemi Corp. | 963,422 | 19,750 |
* | Ciena Corp. | 1,070,510 | 19,676 |
* | Hittite Microwave Corp. | 317,171 | 19,636 |
* | Semtech Corp. | 712,706 | 19,485 |
* | Silicon Laboratories Inc. | 471,264 | 19,444 |
* | Viasat Inc. | 445,671 | 19,284 |
* | RF Micro Devices Inc. | 3,104,843 | 19,002 |
* | QLogic Corp. | 1,187,722 | 18,909 |
* | Convergys Corp. | 1,374,133 | 18,743 |
* | TriQuint Semiconductor Inc. | 1,828,447 | 18,632 |
* | Sapient Corp. | 1,237,350 | 18,597 |
Molex Inc. | 709,257 | 18,278 | |
* | Progress Software Corp. | 754,176 | 18,198 |
Tellabs Inc. | 3,926,683 | 18,102 | |
Intersil Corp. Class A | 1,408,558 | 18,100 | |
Molex Inc. Class A | 835,542 | 17,947 | |
* | Netgear Inc. | 408,524 | 17,861 |
* | CoreLogic Inc. | 1,052,260 | 17,583 |
* | Aspen Technology Inc. | 1,003,640 | 17,243 |
Syntel Inc. | 287,830 | 17,016 | |
* | Taleo Corp. Class A | 458,491 | 16,978 |
* | Blackboard Inc. | 390,236 | 16,932 |
* | Quest Software Inc. | 733,474 | 16,672 |
42
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | FEI Co. | 433,222 | 16,545 |
* | Finisar Corp. | 908,652 | 16,383 |
* | Rambus Inc. | 1,114,116 | 16,355 |
* | Lawson Software Inc. | 1,428,368 | 16,026 |
* | Cymer Inc. | 323,212 | 16,002 |
MAXIMUS Inc. | 193,119 | 15,977 | |
* | Plexus Corp. | 455,556 | 15,858 |
* | Coherent Inc. | 285,851 | 15,799 |
* | Universal Display Corp. | 449,977 | 15,790 |
Cognex Corp. | 440,422 | 15,604 | |
* | SRA International Inc. Class A | 499,986 | 15,460 |
* | JDA Software Group Inc. | 491,413 | 15,180 |
* | Entegris Inc. | 1,498,579 | 15,166 |
* | ValueClick Inc. | 910,906 | 15,121 |
* | OpenTable Inc. | 181,356 | 15,074 |
* | Arris Group Inc. | 1,294,023 | 15,024 |
* | MicroStrategy Inc. Class A | 92,078 | 14,979 |
* | Ultimate Software Group Inc. | 274,969 | 14,967 |
* | SolarWinds Inc. | 570,729 | 14,919 |
Littelfuse Inc. | 253,321 | 14,875 | |
MKS Instruments Inc. | 555,217 | 14,669 | |
* | j2 Global Communications Inc. | 515,813 | 14,561 |
* | Digital River Inc. | 444,147 | 14,284 |
* | SAVVIS Inc. | 356,699 | 14,100 |
* | EchoStar Corp. Class A | 380,173 | 13,850 |
* | Integrated Device Technology Inc. | 1,745,961 | 13,723 |
Blackbaud Inc. | 494,504 | 13,708 | |
Fair Isaac Corp. | 453,358 | 13,691 | |
* | Ancestry.com Inc. | 329,195 | 13,625 |
* | TiVo Inc. | 1,319,163 | 13,574 |
* | Mentor Graphics Corp. | 1,052,096 | 13,477 |
* | ACI Worldwide Inc. | 388,277 | 13,112 |
* | Take-Two Interactive Software Inc. | 855,768 | 13,076 |
* | Spansion Inc. Class A | 643,947 | 12,409 |
* | Websense Inc. | 475,578 | 12,351 |
* | Unisys Corp. | 475,561 | 12,222 |
* | Cabot Microelectronics Corp. | 260,399 | 12,101 |
Power Integrations Inc. | 305,776 | 11,751 | |
* | Acxiom Corp. | 895,781 | 11,744 |
* | Benchmark Electronics Inc. | 711,408 | 11,738 |
* | Cirrus Logic Inc. | 728,369 | 11,581 |
* | Advent Software Inc. | 406,803 | 11,460 |
*,^ | L-1 Identity Solutions Inc. | 958,701 | 11,265 |
* | Insight Enterprises Inc. | 627,652 | 11,116 |
*,^ | STEC Inc. | 640,211 | 10,890 |
* | Rofin-Sinar Technologies Inc. | 315,580 | 10,777 |
* | Ultratech Inc. | 353,742 | 10,747 |
Mantech International Corp. Class A | 241,102 | 10,710 | |
* | Sanmina-SCI Corp. | 1,021,775 | 10,555 |
* | Loral Space & Communications Inc. | 151,201 | 10,504 |
* | TeleTech Holdings Inc. | 496,383 | 10,464 |
* | Blue Coat Systems Inc. | 477,767 | 10,444 |
* | Sonus Networks Inc. | 3,180,448 | 10,305 |
* | Scansource Inc. | 274,267 | 10,280 |
* | Diodes Inc. | 392,586 | 10,246 |
* | Lattice Semiconductor Corp. | 1,552,654 | 10,123 |
*,^ | Synaptics Inc. | 390,076 | 10,041 |
* | Verigy Ltd. | 660,512 | 9,888 |
^ | VirnetX Holding Corp. | 340,162 | 9,844 |
* | TTM Technologies Inc. | 605,865 | 9,706 |
* | RightNow Technologies Inc. | 297,620 | 9,643 |
*,^ | Power-One Inc. | 1,188,587 | 9,628 |
* | Magma Design Automation Inc. | 1,200,582 | 9,593 |
* | DealerTrack Holdings Inc. | 416,182 | 9,551 |
43
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Tessera Technologies Inc. | 556,674 | 9,541 |
* | Tyler Technologies Inc. | 355,883 | 9,531 |
Earthlink Inc. | 1,231,753 | 9,478 | |
* | Constant Contact Inc. | 371,044 | 9,417 |
* | comScore Inc. | 350,010 | 9,065 |
* | Manhattan Associates Inc. | 258,374 | 8,898 |
*,^ | Ebix Inc. | 454,277 | 8,654 |
Comtech Telecommunications Corp. | 306,304 | 8,589 | |
* | Sourcefire Inc. | 288,422 | 8,572 |
* | Rogers Corp. | 184,582 | 8,528 |
* | Synchronoss Technologies Inc. | 267,945 | 8,502 |
* | RealPage Inc. | 320,552 | 8,485 |
* | DG FastChannel Inc. | 262,841 | 8,424 |
AVX Corp. | 548,485 | 8,359 | |
* | Stratasys Inc. | 244,207 | 8,230 |
* | LivePerson Inc. | 581,730 | 8,226 |
* | NetSuite Inc. | 209,706 | 8,220 |
* | Freescale Semiconductor Holdings I Ltd. | 443,637 | 8,158 |
* | Silicon Image Inc. | 1,247,444 | 8,058 |
*,^ | RealD Inc. | 344,322 | 8,054 |
* | Brooks Automation Inc. | 739,480 | 8,031 |
* | Net 1 UEPS Technologies Inc. | 911,257 | 7,910 |
* | OSI Systems Inc. | 183,793 | 7,903 |
Opnet Technologies Inc. | 193,002 | 7,901 | |
*,^ | Travelzoo Inc. | 122,081 | 7,891 |
* | Measurement Specialties Inc. | 220,637 | 7,877 |
* | Cardtronics Inc. | 335,646 | 7,871 |
* | Quantum Corp. | 2,364,814 | 7,804 |
*,^ | Entropic Communications Inc. | 877,579 | 7,802 |
* | BroadSoft Inc. | 202,419 | 7,718 |
* | Radiant Systems Inc. | 365,051 | 7,630 |
* | Harmonic Inc. | 1,051,654 | 7,603 |
* | Advanced Energy Industries Inc. | 513,232 | 7,591 |
Heartland Payment Systems Inc. | 368,071 | 7,582 | |
* | Amkor Technology Inc. | 1,215,926 | 7,502 |
* | Bottomline Technologies Inc. | 303,235 | 7,493 |
* | SYNNEX Corp. | 231,954 | 7,353 |
MTS Systems Corp. | 173,733 | 7,267 | |
* | Newport Corp. | 399,818 | 7,265 |
* | Checkpoint Systems Inc. | 405,989 | 7,259 |
* | DTS Inc. | 178,942 | 7,256 |
* | Euronet Worldwide Inc. | 467,552 | 7,205 |
* | Electronics for Imaging Inc. | 417,855 | 7,195 |
* | Hypercom Corp. | 728,009 | 7,156 |
* | Kulicke & Soffa Industries Inc. | 640,024 | 7,130 |
* | Infinera Corp. | 1,022,068 | 7,062 |
* | Emulex Corp. | 819,841 | 7,051 |
NIC Inc. | 523,785 | 7,050 | |
* | SMART Modular Technologies WWH Inc. | 759,335 | 6,955 |
* | Verint Systems Inc. | 186,633 | 6,913 |
Pegasystems Inc. | 148,196 | 6,899 | |
* | Volterra Semiconductor Corp. | 278,854 | 6,877 |
* | Tekelec | 751,904 | 6,865 |
* | Avid Technology Inc. | 358,644 | 6,757 |
* | Monolithic Power Systems Inc. | 430,189 | 6,634 |
* | LTX-Credence Corp. | 741,901 | 6,633 |
United Online Inc. | 1,099,661 | 6,631 | |
* | Intermec Inc. | 599,745 | 6,621 |
* | FARO Technologies Inc. | 150,387 | 6,587 |
Black Box Corp. | 208,845 | 6,531 | |
* | Netscout Systems Inc. | 310,296 | 6,482 |
* | Applied Micro Circuits Corp. | 719,264 | 6,373 |
* | ATMI Inc. | 302,279 | 6,176 |
Micrel Inc. | 583,498 | 6,173 |
44
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | LogMeIn Inc. | 159,103 | 6,137 |
* | LoopNet Inc. | 330,973 | 6,083 |
* | Ixia | 471,483 | 6,035 |
* | Brightpoint Inc. | 740,922 | 6,009 |
* | CSG Systems International Inc. | 324,169 | 5,991 |
* | Ceva Inc. | 195,532 | 5,956 |
* | Standard Microsystems Corp. | 213,290 | 5,757 |
* | Accelrys Inc. | 803,984 | 5,716 |
* | RealNetworks Inc. | 1,671,179 | 5,682 |
* | Electro Scientific Industries Inc. | 292,454 | 5,644 |
* | Dice Holdings Inc. | 417,333 | 5,642 |
* | ExlService Holdings Inc. | 239,269 | 5,527 |
* | Kemet Corp. | 380,279 | 5,434 |
Keynote Systems Inc. | 250,186 | 5,412 | |
* | Kenexa Corp. | 225,541 | 5,408 |
* | Zoran Corp. | 636,765 | 5,349 |
* | Maxwell Technologies Inc. | 329,591 | 5,336 |
Forrester Research Inc. | 161,687 | 5,329 | |
iGate Corp. | 322,432 | 5,262 | |
* | Mercury Computer Systems Inc. | 278,795 | 5,208 |
* | SunPower Corp. Class B | 310,025 | 5,156 |
*,^ | Rubicon Technology Inc. | 296,362 | 4,997 |
* | PROS Holdings Inc. | 284,228 | 4,971 |
* | Globecomm Systems Inc. | 318,451 | 4,955 |
EPIQ Systems Inc. | 330,890 | 4,705 | |
* | Powerwave Technologies Inc. | 1,587,628 | 4,683 |
* | S1 Corp. | 625,655 | 4,680 |
* | Vocus Inc. | 152,675 | 4,673 |
* | EMS Technologies Inc. | 141,103 | 4,652 |
* | Move Inc. | 2,121,012 | 4,645 |
Park Electrochemical Corp. | 164,517 | 4,598 | |
* | FormFactor Inc. | 499,336 | 4,524 |
* | IXYS Corp. | 298,908 | 4,478 |
* | THQ Inc. | 1,235,734 | 4,473 |
* | Silicon Graphics International Corp. | 257,318 | 4,426 |
* | NVE Corp. | 75,277 | 4,400 |
* | Rudolph Technologies Inc. | 409,200 | 4,383 |
* | XO Group Inc. | 439,256 | 4,371 |
* | MIPS Technologies Inc. Class A | 628,707 | 4,344 |
* | Oplink Communications Inc. | 232,449 | 4,331 |
* | Interactive Intelligence Inc. | 123,061 | 4,313 |
* | Monotype Imaging Holdings Inc. | 303,598 | 4,290 |
* | IntraLinks Holdings Inc. | 244,804 | 4,230 |
* | LeCroy Corp. | 343,809 | 4,139 |
* | SS&C Technologies Holdings Inc. | 207,186 | 4,117 |
* | Super Micro Computer Inc. | 255,567 | 4,112 |
Sycamore Networks Inc. | 184,881 | 4,112 | |
* | VASCO Data Security International Inc. | 314,196 | 3,912 |
* | Fabrinet | 160,675 | 3,901 |
* | Advanced Analogic Technologies Inc. | 633,913 | 3,838 |
* | Hackett Group Inc. | 750,678 | 3,821 |
Methode Electronics Inc. | 328,848 | 3,818 | |
* | Echelon Corp. | 419,767 | 3,816 |
* | FleetCor Technologies Inc. | 128,050 | 3,795 |
* | Calix Inc. | 181,200 | 3,773 |
* | ShoreTel Inc. | 363,592 | 3,709 |
* | support.com Inc. | 771,285 | 3,702 |
* | Integrated Silicon Solution Inc. | 379,884 | 3,673 |
* | Aeroflex Holding Corp. | 202,181 | 3,670 |
* | Photronics Inc. | 429,213 | 3,635 |
* | Extreme Networks | 1,121,655 | 3,634 |
* | Gerber Scientific Inc. | 319,550 | 3,557 |
*,^ | Wave Systems Corp. Class A | 1,210,675 | 3,414 |
* | TNS Inc. | 205,668 | 3,414 |
45
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Kopin Corp. | 722,640 | 3,404 |
* | Infospace Inc. | 372,846 | 3,400 |
* | Oclaro Inc. | 493,089 | 3,314 |
* | Saba Software Inc. | 362,439 | 3,273 |
* | Liquidity Services Inc. | 135,484 | 3,199 |
* | Imation Corp. | 334,740 | 3,160 |
* | TeleNav Inc. | 177,069 | 3,139 |
* | Multi-Fineline Electronix Inc. | 144,679 | 3,127 |
* | Anaren Inc. | 146,963 | 3,123 |
Electro Rent Corp. | 181,010 | 3,099 | |
* | Symmetricom Inc. | 524,669 | 3,059 |
Richardson Electronics Ltd. | 223,529 | 3,038 | |
* | Web.com Group Inc. | 245,489 | 3,024 |
*,^ | Emcore Corp. | 1,095,184 | 3,001 |
American Software Inc. Class A | 360,444 | 2,995 | |
* | Digi International Inc. | 230,016 | 2,990 |
* | Seachange International Inc. | 274,236 | 2,956 |
* | Supertex Inc. | 131,558 | 2,947 |
Daktronics Inc. | 272,672 | 2,942 | |
* | Zix Corp. | 764,583 | 2,936 |
* | Agilysys Inc. | 350,848 | 2,926 |
* | Mindspeed Technologies Inc. | 357,067 | 2,857 |
* | Limelight Networks Inc. | 612,444 | 2,793 |
CTS Corp. | 286,066 | 2,766 | |
* | KVH Industries Inc. | 253,391 | 2,694 |
* | Ciber Inc. | 473,904 | 2,630 |
* | QuinStreet Inc. | 201,384 | 2,614 |
* | Perficient Inc. | 253,558 | 2,601 |
Cohu Inc. | 197,911 | 2,595 | |
* | TeleCommunication Systems Inc. Class A | 535,475 | 2,586 |
* | Lionbridge Technologies Inc. | 811,768 | 2,581 |
Stamps.com Inc. | 190,078 | 2,536 | |
Cass Information Systems Inc. | 67,055 | 2,532 | |
* | Axcelis Technologies Inc. | 1,516,301 | 2,487 |
* | Internap Network Services Corp. | 338,268 | 2,486 |
* | Integral Systems Inc. | 202,699 | 2,467 |
* | Sigma Designs Inc. | 322,198 | 2,462 |
* | Aviat Networks Inc. | 618,268 | 2,436 |
* | Global Cash Access Holdings Inc. | 762,379 | 2,424 |
*,^ | OCZ Technology Group Inc. | 299,731 | 2,398 |
Telular Corp. | 387,713 | 2,392 | |
* | Pericom Semiconductor Corp. | 267,343 | 2,390 |
* | Nanometrics Inc. | 124,716 | 2,368 |
Marchex Inc. Class B | 254,225 | 2,258 | |
* | Transact Technologies Inc. | 191,821 | 2,244 |
Renaissance Learning Inc. | 178,435 | 2,238 | |
* | Vishay Precision Group Inc. | 131,631 | 2,222 |
* | KIT Digital Inc. | 185,761 | 2,218 |
ModusLink Global Solutions Inc. | 493,590 | 2,211 | |
* | Openwave Systems Inc. | 954,994 | 2,187 |
* | DSP Group Inc. | 249,619 | 2,172 |
* | Dynamics Research Corp. | 157,801 | 2,152 |
* | MoneyGram International Inc. | 644,888 | 2,141 |
* | Intevac Inc. | 208,709 | 2,131 |
*,^ | Glu Mobile Inc. | 404,219 | 2,130 |
Bel Fuse Inc. Class B | 98,005 | 2,126 | |
* | Exar Corp. | 331,233 | 2,097 |
DDi Corp. | 219,459 | 2,094 | |
* | Immersion Corp. | 239,302 | 2,041 |
* | X-Rite Inc. | 404,120 | 2,008 |
* | Computer Task Group Inc. | 152,070 | 2,003 |
* | AXT Inc. | 232,008 | 1,967 |
* | Anadigics Inc. | 610,872 | 1,961 |
* | Novatel Wireless Inc. | 357,542 | 1,959 |
46
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Digimarc Corp. | 54,761 | 1,918 |
Rimage Corp. | 142,265 | 1,911 | |
* | FalconStor Software Inc. | 425,727 | 1,907 |
* | Ultra Clean Holdings | 209,177 | 1,899 |
* | PRGX Global Inc. | 264,593 | 1,892 |
* | Pervasive Software Inc. | 292,171 | 1,876 |
* | Zygo Corp. | 141,442 | 1,870 |
* | DemandTec Inc. | 203,080 | 1,848 |
* | Smith Micro Software Inc. | 433,670 | 1,826 |
* | Actuate Corp. | 305,559 | 1,788 |
* | Ness Technologies Inc. | 234,788 | 1,777 |
* | MoSys Inc. | 307,231 | 1,767 |
* | Datalink Corp. | 246,156 | 1,711 |
* | Virtusa Corp. | 89,504 | 1,696 |
* | PLX Technology Inc. | 487,627 | 1,692 |
Pulse Electronics Corp. | 379,469 | 1,677 | |
* | Amtech Systems Inc. | 79,436 | 1,640 |
* | Online Resources Corp. | 501,235 | 1,634 |
* | SRS Labs Inc. | 170,349 | 1,634 |
* | PC Mall Inc. | 207,258 | 1,612 |
* | Radisys Corp. | 211,197 | 1,540 |
* | Westell Technologies Inc. Class A | 425,798 | 1,520 |
* | Bsquare Corp. | 228,700 | 1,434 |
*,^ | Rosetta Stone Inc. | 84,828 | 1,369 |
* | Cray Inc. | 205,843 | 1,317 |
* | Concurrent Computer Corp. | 208,142 | 1,303 |
* | NCI Inc. Class A | 54,466 | 1,237 |
* | QuickLogic Corp. | 365,915 | 1,233 |
* | GSE Systems Inc. | 566,747 | 1,224 |
* | SciQuest Inc. | 69,592 | 1,189 |
Ipass Inc. | 780,202 | 1,186 | |
* | ORBCOMM Inc. | 377,170 | 1,181 |
TheStreet Inc. | 384,375 | 1,180 | |
* | PC-Tel Inc. | 179,100 | 1,161 |
* | LoJack Corp. | 265,696 | 1,158 |
* | Reis Inc. | 112,419 | 1,116 |
* | Ramtron International Corp. | 372,879 | 1,111 |
* | Callidus Software Inc. | 182,017 | 1,065 |
* | Opnext Inc. | 457,846 | 1,044 |
* | PC Connection Inc. | 123,169 | 1,020 |
* | Envestnet Inc. | 65,516 | 973 |
* | Cyberoptics Corp. | 99,246 | 962 |
*,^ | Microvision Inc. | 762,086 | 930 |
* | Mattson Technology Inc. | 480,645 | 913 |
Evolving Systems Inc. | 125,390 | 897 | |
* | BigBand Networks Inc. | 394,841 | 857 |
* | ID Systems Inc. | 182,889 | 850 |
* | SPS Commerce Inc. | 45,600 | 811 |
* | Mediamind Technologies Inc. | 36,642 | 804 |
* | FSI International Inc. | 288,247 | 790 |
* | Comverge Inc. | 262,199 | 779 |
* | PDF Solutions Inc. | 129,562 | 772 |
* | LRAD Corp. | 279,903 | 770 |
* | Innodata Isogen Inc. | 287,399 | 762 |
* | Inphi Corp. | 43,674 | 760 |
* | Crexendo Inc. | 151,848 | 752 |
*,^ | SunPower Corp. Class A | 38,358 | 741 |
*,^ | Research Frontiers Inc. | 155,025 | 708 |
* | PAR Technology Corp. | 183,343 | 700 |
* | Frequency Electronics Inc. | 72,690 | 691 |
*,^ | Energy Conversion Devices Inc. | 570,590 | 673 |
* | Aware Inc. | 223,508 | 671 |
QAD Inc. Class A | 64,456 | 659 | |
* | StarTek Inc. | 179,399 | 619 |
47
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | CalAmp Corp. | 196,076 | 594 |
* | Echo Global Logistics Inc. | 32,271 | 573 |
* | Trident Microsystems Inc. | 810,210 | 559 |
* | Edgewater Technology Inc. | 198,963 | 537 |
* | Transwitch Corp. | 168,986 | 522 |
* | MEMSIC Inc. | 142,797 | 488 |
*,^ | Evergreen Solar Inc. | 850,304 | 485 |
* | Pixelworks Inc. | 190,221 | 466 |
* | TechTarget Inc. | 59,880 | 453 |
* | Viasystems Group Inc. | 20,120 | 452 |
* | iGO Inc. | 266,807 | 435 |
* | Motricity Inc. | 55,963 | 433 |
* | Planar Systems Inc. | 148,996 | 426 |
* | Market Leader Inc. | 187,338 | 407 |
* | Network Engines Inc. | 368,684 | 406 |
* | Network Equipment Technologies Inc. | 182,022 | 400 |
* | Hutchinson Technology Inc. | 174,346 | 396 |
*,^ | Meru Networks Inc. | 32,803 | 394 |
* | Dot Hill Systems Corp. | 137,274 | 390 |
* | Looksmart Ltd. | 248,197 | 375 |
* | Newtek Business Services Inc. | 216,917 | 364 |
* | Presstek Inc. | 217,340 | 354 |
* | Rainmaker Systems Inc. | 340,223 | 347 |
* | Performance Technologies Inc. | 170,701 | 340 |
* | AuthenTec Inc. | 112,714 | 311 |
* | Ditech Networks Inc. | 255,535 | 302 |
* | Tier Technologies Inc. Class B | 59,539 | 298 |
* | WebMediaBrands Inc. | 217,830 | 292 |
*,^ | Document Security Systems Inc. | 86,116 | 270 |
*,^ | Superconductor Technologies Inc. | 115,555 | 266 |
* | GTSI Corp. | 49,229 | 264 |
* | Guidance Software Inc. | 32,303 | 263 |
* | Cinedigm Digital Cinema Corp. Class A | 151,225 | 256 |
* | Convio Inc. | 23,600 | 255 |
Bel Fuse Inc. Class A | 10,580 | 245 | |
* | Spire Corp. | 83,254 | 204 |
* | Autobytel Inc. | 170,280 | 192 |
* | Video Display Corp. | 48,546 | 186 |
* | Zhone Technologies Inc. | 77,257 | 183 |
* | Ikanos Communications Inc. | 147,417 | 181 |
*,^ | Identive Group Inc. | 77,988 | 181 |
* | Authentidate Holding Corp. | 140,687 | 169 |
* | Parkervision Inc. | 280,495 | 160 |
* | Deltek Inc. | 20,627 | 154 |
QAD Inc. Class B | 16,312 | 152 | |
* | GSI Technology Inc. | 20,400 | 147 |
* | Intellicheck Mobilisa Inc. | 93,312 | 117 |
* | BTU International Inc. | 14,836 | 104 |
* | Vertro Inc. | 40,080 | 90 |
* | Selectica Inc. | 16,769 | 84 |
* | Wireless Telecom Group Inc. | 98,456 | 82 |
* | Lantronix Inc. | 30,990 | 78 |
* | Numerex Corp. Class A | 8,036 | 78 |
* | Management Network Group Inc. | 25,306 | 66 |
Mocon Inc. | 3,054 | 47 | |
* | MaxLinear Inc. | 3,195 | 28 |
* | Mattersight Corp. | 2,200 | 12 |
* | ePlus Inc. | 400 | 11 |
* | Information Services Group Inc. | 798 | 1 |
* | NAPCO Security Technologies Inc. | 292 | 1 |
* | Digital Ally Inc. | 700 | 1 |
* | Qualstar Corp. | 100 | — |
30,289,559 |
48
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Materials (4.4%) | |||
EI du Pont de Nemours & Co. | 10,338,011 | 558,770 | |
Freeport-McMoRan Copper & Gold Inc. | 10,553,173 | 558,263 | |
Dow Chemical Co. | 13,100,789 | 471,628 | |
Monsanto Co. | 6,017,564 | 436,514 | |
Praxair Inc. | 3,403,662 | 368,923 | |
Newmont Mining Corp. | 5,458,091 | 294,573 | |
Air Products & Chemicals Inc. | 2,411,794 | 230,519 | |
Mosaic Co. | 3,095,186 | 209,637 | |
Alcoa Inc. | 11,920,554 | 189,060 | |
PPG Industries Inc. | 1,802,192 | 163,621 | |
Cliffs Natural Resources Inc. | 1,623,325 | 150,076 | |
Ecolab Inc. | 2,611,004 | 147,208 | |
Nucor Corp. | 3,545,035 | 146,126 | |
International Paper Co. | 4,688,035 | 139,797 | |
LyondellBasell Industries NV Class A | 3,187,077 | 122,766 | |
CF Industries Holdings Inc. | 800,135 | 113,355 | |
Sigma-Aldrich Corp. | 1,368,727 | 100,437 | |
Lubrizol Corp. | 730,820 | 98,127 | |
Celanese Corp. Class A | 1,751,666 | 93,381 | |
Sherwin-Williams Co. | 1,023,888 | 85,874 | |
Eastman Chemical Co. | 802,572 | 81,919 | |
Walter Energy Inc. | 694,269 | 80,396 | |
United States Steel Corp. | 1,614,660 | 74,339 | |
Ball Corp. | 1,884,796 | 72,489 | |
Allegheny Technologies Inc. | 1,132,301 | 71,867 | |
FMC Corp. | 802,337 | 69,017 | |
* | Crown Holdings Inc. | 1,774,146 | 68,872 |
Albemarle Corp. | 977,250 | 67,626 | |
MeadWestvaco Corp. | 1,891,045 | 62,991 | |
Airgas Inc. | 899,067 | 62,971 | |
International Flavors & Fragrances Inc. | 901,114 | 57,888 | |
Ashland Inc. | 887,218 | 57,332 | |
Vulcan Materials Co. | 1,448,467 | 55,809 | |
Rock-Tenn Co. Class A | 782,605 | 51,918 | |
* | Owens-Illinois Inc. | 1,840,207 | 47,496 |
Domtar Corp. | 471,205 | 44,633 | |
Sealed Air Corp. | 1,790,753 | 42,602 | |
Reliance Steel & Aluminum Co. | 839,751 | 41,694 | |
Nalco Holding Co. | 1,496,779 | 41,625 | |
Martin Marietta Materials Inc. | 511,648 | 40,917 | |
Sonoco Products Co. | 1,146,491 | 40,746 | |
Bemis Co. Inc. | 1,205,113 | 40,709 | |
Huntsman Corp. | 2,155,514 | 40,631 | |
* | Molycorp Inc. | 660,766 | 40,346 |
* | Rockwood Holdings Inc. | 727,875 | 40,244 |
Aptargroup Inc. | 754,138 | 39,472 | |
Steel Dynamics Inc. | 2,326,074 | 37,799 | |
Valspar Corp. | 1,042,031 | 37,576 | |
* | WR Grace & Co. | 822,790 | 37,544 |
Temple-Inland Inc. | 1,216,522 | 36,179 | |
Royal Gold Inc. | 575,389 | 33,701 | |
RPM International Inc. | 1,463,209 | 33,683 | |
* | Allied Nevada Gold Corp. | 951,613 | 33,659 |
Packaging Corp. of America | 1,152,215 | 32,251 | |
Compass Minerals International Inc. | 369,586 | 31,810 | |
* | Solutia Inc. | 1,371,399 | 31,336 |
Cytec Industries Inc. | 533,844 | 30,531 | |
Cabot Corp. | 734,771 | 29,295 | |
Carpenter Technology Corp. | 495,753 | 28,595 | |
Scotts Miracle-Gro Co. Class A | 520,134 | 26,688 | |
* | Stillwater Mining Co. | 1,151,072 | 25,335 |
* | Coeur d'Alene Mines Corp. | 1,006,090 | 24,408 |
* | Hecla Mining Co. | 3,133,517 | 24,097 |
49
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Silgan Holdings Inc. | 560,811 | 22,976 | |
* | AbitibiBowater Inc. | 1,094,286 | 22,214 |
NewMarket Corp. | 128,207 | 21,886 | |
Sensient Technologies Corp. | 548,263 | 20,324 | |
Olin Corp. | 893,925 | 20,256 | |
* | Chemtura Corp. | 1,074,335 | 19,553 |
AK Steel Holding Corp. | 1,239,580 | 19,536 | |
* | Intrepid Potash Inc. | 593,377 | 19,285 |
Titanium Metals Corp. | 1,016,401 | 18,620 | |
Commercial Metals Co. | 1,287,095 | 18,470 | |
Greif Inc. Class A | 273,521 | 17,787 | |
PolyOne Corp. | 1,056,813 | 16,349 | |
Schnitzer Steel Industries Inc. | 272,494 | 15,696 | |
Worthington Industries Inc. | 671,406 | 15,509 | |
Globe Specialty Metals Inc. | 688,208 | 15,430 | |
Balchem Corp. | 324,471 | 14,205 | |
* | OM Group Inc. | 347,248 | 14,112 |
* | Kraton Performance Polymers Inc. | 358,720 | 14,051 |
Minerals Technologies Inc. | 207,214 | 13,736 | |
HB Fuller Co. | 555,379 | 13,562 | |
* | RTI International Metals Inc. | 344,860 | 13,232 |
Eagle Materials Inc. | 473,238 | 13,189 | |
* | Ferro Corp. | 958,432 | 12,881 |
Buckeye Technologies Inc. | 454,336 | 12,258 | |
Schweitzer-Mauduit International Inc. | 216,273 | 12,144 | |
* | Louisiana-Pacific Corp. | 1,488,634 | 12,117 |
^ | Texas Industries Inc. | 282,606 | 11,765 |
Westlake Chemical Corp. | 222,618 | 11,554 | |
* | Calgon Carbon Corp. | 670,060 | 11,391 |
Kaiser Aluminum Corp. | 206,293 | 11,268 | |
Innophos Holdings Inc. | 220,608 | 10,766 | |
* | Century Aluminum Co. | 667,558 | 10,447 |
AMCOL International Corp. | 263,465 | 10,054 | |
Arch Chemicals Inc. | 278,403 | 9,588 | |
Haynes International Inc. | 152,480 | 9,443 | |
PH Glatfelter Co. | 604,204 | 9,293 | |
* | Georgia Gulf Corp. | 380,644 | 9,189 |
Koppers Holdings Inc. | 220,587 | 8,367 | |
A Schulman Inc. | 330,664 | 8,329 | |
* | US Gold Corp. | 1,374,454 | 8,288 |
* | Innospec Inc. | 245,271 | 8,244 |
* | Materion Corp. | 220,067 | 8,136 |
* | Horsehead Holding Corp. | 577,412 | 7,691 |
* | Clearwater Paper Corp. | 110,977 | 7,578 |
* | LSB Industries Inc. | 175,306 | 7,524 |
^ | Gold Resource Corp. | 291,483 | 7,267 |
Deltic Timber Corp. | 132,465 | 7,112 | |
* | Graphic Packaging Holding Co. | 1,265,991 | 6,887 |
Stepan Co. | 92,485 | 6,557 | |
Kronos Worldwide Inc. | 196,285 | 6,173 | |
* | Omnova Solutions Inc. | 884,178 | 6,154 |
* | KapStone Paper and Packaging Corp. | 334,387 | 5,541 |
Zep Inc. | 265,095 | 5,010 | |
Boise Inc. | 642,796 | 5,007 | |
Quaker Chemical Corp. | 116,044 | 4,991 | |
* | Graham Packaging Co. Inc. | 193,058 | 4,869 |
Hawkins Inc. | 129,825 | 4,702 | |
Olympic Steel Inc. | 162,108 | 4,463 | |
Neenah Paper Inc. | 190,766 | 4,060 | |
* | TPC Group Inc. | 101,416 | 3,978 |
* | General Moly Inc. | 861,482 | 3,842 |
* | Zoltek Cos. Inc. | 352,682 | 3,714 |
Wausau Paper Corp. | 535,152 | 3,607 | |
*,^ | Paramount Gold and Silver Corp. | 1,057,248 | 3,447 |
50
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | �� | ||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | STR Holdings Inc. | 230,724 | 3,442 |
*,^ | Mercer International Inc. | 314,066 | 3,166 |
* | Universal Stainless & Alloy | 64,376 | 3,010 |
Myers Industries Inc. | 283,299 | 2,912 | |
* | Noranda Aluminum Holding Corp. | 169,496 | 2,566 |
American Vanguard Corp. | 194,871 | 2,527 | |
* | Spartech Corp. | 396,742 | 2,416 |
* | AEP Industries Inc. | 80,846 | 2,360 |
* | AM Castle & Co. | 139,904 | 2,324 |
* | Flotek Industries Inc. | 271,496 | 2,313 |
* | Golden Minerals Co. | 98,921 | 1,759 |
Chase Corp. | 84,772 | 1,421 | |
* | ADA-ES Inc. | 86,900 | 1,390 |
* | Landec Corp. | 209,355 | 1,382 |
* | Headwaters Inc. | 441,159 | 1,381 |
* | US Energy Corp. Wyoming | 313,512 | 1,339 |
* | United States Lime & Minerals Inc. | 29,823 | 1,223 |
* | Senomyx Inc. | 234,127 | 1,203 |
* | American Pacific Corp. | 126,985 | 1,018 |
*,^ | Zagg Inc. | 73,757 | 988 |
*,^ | Puda Coal Inc. | 529,328 | 794 |
* | Metals USA Holdings Corp. | 45,901 | 684 |
* | Penford Corp. | 112,522 | 596 |
* | Nanophase Technologies Corp. | 385,563 | 463 |
* | Ampal American Israel Class A | 328,259 | 309 |
* | Verso Paper Corp. | 75,714 | 203 |
*,^ | China Direct Industries Inc. | 111,343 | 106 |
* | Solitario Exploration & Royalty Corp. | 27,313 | 78 |
KMG Chemicals Inc. | 4,326 | 73 | |
* | Continental Materials Corp. | 3,495 | 53 |
* | Clean Diesel Technologies Inc. | 200 | 1 |
7,398,865 | |||
Telecommunication Services (2.8%) | |||
AT&T Inc. | 66,308,362 | 2,082,746 | |
Verizon Communications Inc. | 31,407,544 | 1,169,303 | |
CenturyLink Inc. | 6,725,367 | 271,907 | |
* | American Tower Corp. Class A | 4,461,947 | 233,494 |
* | Sprint Nextel Corp. | 33,544,181 | 180,803 |
* | Crown Castle International Corp. | 3,264,440 | 133,156 |
Frontier Communications Corp. | 11,158,940 | 90,053 | |
* | NII Holdings Inc. | 1,905,668 | 80,762 |
Windstream Corp. | 5,660,343 | 73,358 | |
* | SBA Communications Corp. Class A | 1,290,098 | 49,269 |
* | MetroPCS Communications Inc. | 2,802,793 | 48,236 |
*,^ | Level 3 Communications Inc. | 18,773,693 | 45,808 |
* | tw telecom inc Class A | 1,606,544 | 32,982 |
AboveNet Inc. | 246,505 | 17,369 | |
Telephone & Data Systems Inc. | 535,520 | 16,644 | |
* | Global Crossing Ltd. | 377,074 | 14,472 |
* | Leap Wireless International Inc. | 642,494 | 10,428 |
* | United States Cellular Corp. | 185,145 | 8,965 |
NTELOS Holdings Corp. | 436,470 | 8,913 | |
* | Cincinnati Bell Inc. | 2,476,025 | 8,220 |
* | Cogent Communications Group Inc. | 456,985 | 7,773 |
* | Neutral Tandem Inc. | 437,773 | 7,626 |
Telephone & Data Systems Inc. - Special Common Shares | 278,993 | 7,513 | |
* | PAETEC Holding Corp. | 1,450,314 | 6,947 |
*,^ | Clearwire Corp. Class A | 1,548,739 | 5,854 |
Consolidated Communications Holdings Inc. | 289,378 | 5,626 | |
* | Vonage Holdings Corp. | 1,252,533 | 5,524 |
* | 8x8 Inc. | 1,044,338 | 5,107 |
* | Premiere Global Services Inc. | 630,597 | 5,032 |
Atlantic Tele-Network Inc. | 121,600 | 4,665 | |
* | ICO Global Communications Holdings Ltd. | 1,669,982 | 4,626 |
51
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | General Communication Inc. Class A | 375,705 | 4,535 |
^ | Alaska Communications Systems Group Inc. | 506,405 | 4,492 |
Shenandoah Telecommunications Co. | 254,243 | 4,327 | |
HickoryTech Corp. | 315,598 | 3,749 | |
USA Mobility Inc. | 240,780 | 3,674 | |
IDT Corp. Class B | 122,183 | 3,301 | |
* | Cbeyond Inc. | 237,810 | 3,146 |
* | Iridium Communications Inc. | 311,404 | 2,694 |
SureWest Communications | 117,612 | 1,966 | |
*,^ | Globalstar Inc. | 1,457,911 | 1,793 |
Warwick Valley Telephone Co. | 89,094 | 1,287 | |
*,^ | Towerstream Corp. | 81,055 | 404 |
* | FiberTower Corp. | 189,474 | 227 |
4,678,776 | |||
Utilities (3.4%) | |||
Southern Co. | 9,318,130 | 376,266 | |
Exelon Corp. | 7,424,440 | 318,063 | |
Dominion Resources Inc. | 6,515,558 | 314,506 | |
Duke Energy Corp. | 14,909,328 | 280,743 | |
NextEra Energy Inc. | 4,487,677 | 257,862 | |
FirstEnergy Corp. | 4,693,028 | 207,197 | |
American Electric Power Co. Inc. | 5,393,361 | 203,222 | |
PG&E Corp. | 4,446,743 | 186,897 | |
Public Service Enterprise Group Inc. | 5,676,513 | 185,281 | |
PPL Corp. | 6,339,173 | 176,419 | |
Consolidated Edison Inc. | 3,276,452 | 174,438 | |
Progress Energy Inc. | 3,294,136 | 158,151 | |
Entergy Corp. | 2,014,151 | 137,526 | |
Sempra Energy | 2,564,090 | 135,589 | |
Edison International | 3,473,439 | 134,596 | |
Xcel Energy Inc. | 5,414,514 | 131,573 | |
* | AES Corp. | 7,520,538 | 95,812 |
DTE Energy Co. | 1,901,900 | 95,133 | |
CenterPoint Energy Inc. | 4,531,212 | 87,679 | |
Oneok Inc. | 1,141,175 | 84,458 | |
Wisconsin Energy Corp. | 2,626,499 | 82,341 | |
Constellation Energy Group Inc. | 2,131,376 | 80,907 | |
Ameren Corp. | 2,700,238 | 77,875 | |
Northeast Utilities | 1,982,226 | 69,715 | |
* | NRG Energy Inc. | 2,781,594 | 68,372 |
NiSource Inc. | 3,136,835 | 63,521 | |
American Water Works Co. Inc. | 1,967,330 | 57,938 | |
National Fuel Gas Co. | 785,933 | 57,216 | |
* | Calpine Corp. | 3,491,375 | 56,316 |
CMS Energy Corp. | 2,830,209 | 55,727 | |
OGE Energy Corp. | 1,097,052 | 55,204 | |
Pinnacle West Capital Corp. | 1,221,876 | 54,471 | |
SCANA Corp. | 1,364,291 | 53,712 | |
NSTAR | 1,163,607 | 53,503 | |
Alliant Energy Corp. | 1,245,046 | 50,624 | |
Pepco Holdings Inc. | 2,528,379 | 49,632 | |
MDU Resources Group Inc. | 2,122,168 | 47,749 | |
Integrys Energy Group Inc. | 876,446 | 45,435 | |
TECO Energy Inc. | 2,295,765 | 43,367 | |
ITC Holdings Corp. | 570,492 | 40,944 | |
NV Energy Inc. | 2,648,671 | 40,657 | |
DPL Inc. | 1,339,577 | 40,402 | |
UGI Corp. | 1,249,949 | 39,861 | |
AGL Resources Inc. | 877,193 | 35,710 | |
Questar Corp. | 1,987,203 | 35,193 | |
Westar Energy Inc. | 1,294,317 | 34,830 | |
Aqua America Inc. | 1,548,691 | 34,040 | |
Atmos Energy Corp. | 1,019,364 | 33,894 | |
* | GenOn Energy Inc. | 8,669,653 | 33,465 |
52
Vanguard® Total Stock Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2011 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Great Plains Energy Inc. | 1,527,023 | 31,655 | |||
Nicor Inc. | 512,683 | 28,064 | |||
Hawaiian Electric Industries Inc. | 1,067,965 | 25,695 | |||
Vectren Corp. | 919,422 | 25,615 | |||
Piedmont Natural Gas Co. Inc. | 815,841 | 24,687 | |||
Cleco Corp. | 684,138 | 23,842 | |||
WGL Holdings Inc. | 574,075 | 22,096 | |||
IDACORP Inc. | 557,144 | 22,007 | |||
Portland General Electric Co. | 847,188 | 21,417 | |||
New Jersey Resources Corp. | 465,196 | 20,752 | |||
Southwest Gas Corp. | 502,950 | 19,419 | |||
UIL Holdings Corp. | 569,504 | 18,423 | |||
South Jersey Industries Inc. | 335,946 | 18,245 | |||
Avista Corp. | 644,243 | 16,551 | |||
PNM Resources Inc. | 939,999 | 15,736 | |||
Unisource Energy Corp. | 410,386 | 15,320 | |||
Allete Inc. | 362,003 | 14,857 | |||
El Paso Electric Co. | 447,244 | 14,446 | |||
Northwest Natural Gas Co. | 300,570 | 13,565 | |||
NorthWestern Corp. | 407,670 | 13,498 | |||
Black Hills Corp. | 419,643 | 12,627 | |||
MGE Energy Inc. | 261,172 | 10,585 | |||
Laclede Group Inc. | 247,145 | 9,349 | |||
California Water Service Group | 457,766 | 8,565 | |||
CH Energy Group Inc. | 158,592 | 8,447 | |||
Otter Tail Corp. | 383,732 | 8,097 | |||
Empire District Electric Co. | 386,225 | 7,439 | |||
* | Dynegy Inc. Class A | 1,170,870 | 7,248 | ||
American States Water Co. | 201,489 | 6,984 | |||
Ormat Technologies Inc. | 267,079 | 5,878 | |||
Chesapeake Utilities Corp. | 125,740 | 5,033 | |||
Central Vermont Public Service Corp. | 129,978 | 4,699 | |||
Middlesex Water Co. | 241,684 | 4,490 | |||
SJW Corp. | 166,384 | 4,033 | |||
Connecticut Water Service Inc. | 135,799 | 3,474 | |||
Unitil Corp. | 103,277 | 2,716 | |||
York Water Co. | 126,455 | 2,093 | |||
Consolidated Water Co. Ltd. | 165,967 | 1,542 | |||
Pennichuck Corp. | 25,832 | 743 | |||
Artesian Resources Corp. Class A | 39,394 | 710 | |||
* | Cadiz Inc. | 54,495 | 592 | ||
* | Purecycle Corp. | 26,728 | 81 | ||
* | Synthesis Energy Systems Inc. | 38,142 | 71 | ||
Delta Natural Gas Co. Inc. | 2,000 | 63 | |||
RGC Resources Inc. | 1,139 | 37 | |||
* | American DG Energy Inc. | 21,733 | 36 | ||
5,755,554 | |||||
Total Common Stocks (Cost $143,772,673) | 167,910,260 | ||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (0.6%) 1 | |||||
Money Market Fund (0.6%)1 | |||||
2,3 | Vanguard Market Liquidity Fund | 0.140% | 1,006,006,171 | 1,006,006 | |
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (0.0%) | |||||
4,5 | Fannie Mae Discount Notes | 0.085% | 8/24/11 | 4,000 | 3,999 |
53
Vanguard® Total Stock Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2011 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | Federal Home Loan Bank Discount Notes | 0.070% | 8/17/11 | 1,500 | 1,500 |
4,5 | Freddie Mac Discount Notes | 0.090% | 7/11/11 | 5,000 | 5,000 |
4,5 | Freddie Mac Discount Notes | 0.095% | 9/27/11 | 30,000 | 29,992 |
40,491 | |||||
Total Temporary Cash Investments (Cost $1,046,498) | 1,046,497 | ||||
Total Investments (100.3%) (Cost $144,819,171) | 168,956,757 | ||||
Other Assets and Liabilities—Net (-0.3%)3 | (582,820) | ||||
Net Assets (100%) | 168,373,937 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $431,824,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $458,613,000 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 $40,491,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
54
© 2011 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 852 082011
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) 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 18, 2011 |
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 18, 2011 |
VANGUARD INDEX FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: August 18, 2011 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number 33-53683, Incorporated by Reference.