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, 2012 – June 30, 2012
Item 1: Reports to Shareholders
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Semiannual Report | June 30, 2012 |
Vanguard 500 Index Fund |
> For the six months ended June 30, 2012, Vanguard 500 Index Fund closely tracked the 9.49% return of its benchmark, the Standard & Poor’s 500 Index.
> The fund’s performance mirrored that of the broad U.S. stock market, largely rising and retreating with shifting uncertainties on the global stage.
> The information technology, financial, and consumer discretionary sectors contributed most to returns; energy stocks weighed on performance.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 7 |
Performance Summary. | 9 |
Financial Statements. | 10 |
About Your Fund’s Expenses. | 28 |
Trustees Approve Advisory Arrangement. | 30 |
Glossary. | 31 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we strive to help clients reach their financial goals.
Your Fund’s Total Returns
Six Months Ended June 30, 2012
Total | |
Returns | |
Vanguard 500 Index Fund | |
Investor Shares | 9.41% |
Admiral™ Shares | 9.48 |
Signal® Shares | 9.48 |
ETF Shares | |
Market Price | 9.45 |
Net Asset Value | 9.48 |
S&P 500 Index | 9.49 |
Large-Cap Core Funds Average | 7.96 |
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; 7,720,749; 7,925,573; 8,090,646.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Your Fund’s Performance at a Glance
December 31, 2011, Through June 30, 2012
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard 500 Index Fund | ||||
Investor Shares | $115.80 | $125.55 | $1.143 | $0.000 |
Admiral Shares | 115.80 | 125.55 | 1.220 | 0.000 |
Signal Shares | 95.65 | 103.71 | 1.008 | 0.000 |
ETF Shares | 57.46 | 62.30 | 0.605 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
The S&P 500 Index began the six months ended June 30, 2012, with its best first-quarter return since 1998. The second quarter, however, was rockier as investors wrestled with both renewed anxiety about Europe’s debt crisis and fear of a global economic slowdown; in May, U.S. stock markets skidded into negative territory. Vanguard 500 Index Fund delivered a solid return of about 9% for the half-year, closely tracking the Standard & Poor’s 500 Index and exceeding the average return of its peer group, large-capitalization core funds.
With the exception of energy, each of the ten industry sectors posted positive returns for the period. Information technology, financial, and consumer discretionary stocks contributed most to the overall result for the index.
In case you missed our announcement last month, George U. “Gus” Sauter, managing director and chief investment officer of Vanguard, plans to retire at the end of 2012. It’s hard to overstate the contributions that Gus has made to Vanguard in his 25-year career. He honed the strategy and built the team that have helped make Vanguard a world leader in indexing, and he developed our active quantitative equity strategies.
2
We’re fortunate that Mortimer J. “Tim” Buckley, also a managing director, will succeed Gus. Tim has been a member of Vanguard’s senior staff since 2001 and has directed Vanguard’s Retail Investor Group since 2006. I’ll have more to say about Gus’s retirement at the end of the year.
U.S. stocks delivered strong returns, but Europe remained a trouble spot
U.S. stocks were the standout performers for the six months ended June 30, returning about 9%. Domestic equities seemed to benefit from the perception that they offered some shelter from the storms roiling European markets. International stocks didn’t fare as well, returning about 3%. European stocks were the weakest performers. Returns for emerging markets and for the developed markets of the Pacific region were restrained by signs of slowing growth.
Throughout the period, investors were preoccupied with Europe’s debt troubles, and global stock markets moved sharply up and down depending on whether the latest news from the region was positive or negative. Vanguard economists expect Europe to remain a trouble spot. The most likely scenario is that it will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 9.38% | 4.37% | 0.39% |
Russell 2000 Index (Small-caps) | 8.53 | -2.08 | 0.54 |
Dow Jones U.S. Total Stock Market Index | 9.45 | 3.78 | 0.63 |
MSCI All Country World Index ex USA (International) | 2.77 | -14.57 | -4.62 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 2.37% | 7.47% | 6.79% |
Barclays Municipal Bond Index (Broad tax-exempt | |||
market) | 3.66 | 9.90 | 5.95 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.87 |
CPI | |||
Consumer Price Index | 1.69% | 1.66% | 1.95% |
3
Investors’ appetite for Treasuries drove 10-year yield to a new low
Amid the turmoil in Europe, U.S. Treasury securities continued to benefit from a “flight to quality.” Investor demand nudged bond prices higher, and in early June, the yield of the 10-year U.S. Treasury note slipped below 1.5% for the first time. (Bond yields and prices move in opposite directions.) It’s worth remembering that low yields imply lower future returns: As yields tumble, the scope for further declines—and price increases—diminishes.
The broad U.S. taxable bond market posted a return of about 2% for the half-year. Municipal bonds remained a bright spot, delivering a return of more than 3%.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%. That policy has kept a tight lid on the returns from money market funds and savings accounts.
Second-quarter retreat didn’t fully erase stocks’ strong start
The 500 Index Fund gained more than 12% in the first quarter, then fell about 3% in the second. As I mentioned earlier in this letter, much of the fluctuation was driven by uncertainties about the solvency of European banks and governments. A slowdown in global growth, notably in China, and an uneven U.S. recovery also took a toll.
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% | 0.05% | 0.05% | 0.05% | 1.19% |
The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, 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 2011.
Peer group: Large-Cap Core Funds.
4
Still, the 500 Index Fund delivered a strong performance for the half-year. In addition to the first-quarter gains—when the U.S. recovery appeared stronger and the European crisis seemed to stabilize—the index got a lift on the last trading day of the period as stocks rallied in the wake of an agreement by policymakers to aid European banks.
Information technology, the index’s largest sector and one of the market’s best performers for the six months, contributed more than a quarter of the index’s total return for the period. The sector’s best-performing holdings included companies that make tablet computers and smart-phones. Other standouts included software manufacturers, IT consulting firms, and data processors. Tech companies as a whole benefited from the optimism at the beginning of the period that a stronger economy would lead to greater consumer and business demand.
Financials, the second-largest sector in the index, contributed nearly a fifth of the index’s overall return. Although financial companies have struggled since the 2008 credit crisis, they have rebounded over the past six months. Some of the best results came from banks whose mortgage-lending businesses improved as they overcame some of the legacies associated with the deep recession and weak housing market.
The consumer discretionary sector was the next-largest contributor to returns. Media companies, including cable and satellite operators and movie makers, produced the strongest results. Specialty retailers and online shopping outlets also were bright spots. U.S. consumers benefited from lower gas prices, which provided them with some newfound savings to spend on other items. U.S. retail sales were stronger at the start of the period, but turned mixed toward the end as consumer confidence waned.
The energy sector was the market’s weakest performer, returning about –2% for the six months. Investors have grown increasingly concerned over softening global demand for oil and its potential effect on the sector’s profitability.
The good news: investors are smart, and they’re getting smarter
In recent years, I’ve often written in this space about the challenges facing investors, from the 2008–2009 financial crisis to the more recent market volatility caused by Europe’s debt troubles. Bad news inevitably seems to grab attention, and it’s our responsibility to speak to you candidly about these difficulties and to offer Vanguard’s perspective.
In the interest of presenting a full picture, I think it’s also our responsibility to point out positive developments that may have been overlooked. On that score, I’ve been especially heartened to see individual investors become more discerning over time, particularly about the costs of investing. As I said in a recent address to financial advisors: Individual investors
5
are smart and getting smarter. And that’s a good thing. Increasingly, they are bringing a healthy consumer mentality to their investment portfolios. They want to know what they are buying and how much they are paying for it.
Vanguard research confirms that over the past decade investors have displayed a growing cost consciousness, directing a larger share of their money to low-cost investments. You can read the full report—
Costs Matter: Are Fund Investors Voting With Their Feet?—at vanguard.com/ research. In our view, investors are serving their interests by focusing on costs. The math is simple: The less investors pay for an investment, the more of their returns they keep. And cost savings can compound over the long term, potentially helping investors build greater wealth.
So if you’re feeling buffeted by the latest headlines, it can be constructive to direct your attention to one thing you can control: your investment costs. We continue to believe that holding a balanced and diversified portfolio of low-cost investments can give investors a greater chance of reaching their long-term financial goals. Vanguard 500 Index Fund, with its broad diversification and low-cost exposure to the large-cap segment of the U.S. stock market, can play an important role in such a portfolio.
Thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/index500x8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 13, 2012
6
500 Index Fund
Fund Profile
As of June 30, 2012
Share-Class Characteristics | ||||
Investor | Admiral | Signal | ETF | |
Shares | Shares | Shares | Shares | |
Ticker Symbol | VFINX | VFIAX | VIFSX | VOO |
Expense Ratio1 | 0.17% | 0.05% | 0.05% | 0.05% |
30-Day SEC Yield | 2.12% | 2.24% | 2.24% | 2.24% |
Portfolio Characteristics | |||
DJ | |||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index | Index | |
Number of Stocks | 506 | 500 | 3,694 |
Median Market Cap $56.8B | $56.8B | $33.1B | |
Price/Earnings Ratio | 15.3x | 15.3x | 16.1x |
Price/Book Ratio | 2.2x | 2.2x | 2.1x |
Return on Equity | 19.8% | 19.7% | 18.1% |
Earnings Growth Rate | 9.7% | 9.7% | 9.4% |
Dividend Yield | 2.2% | 2.2% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 3% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P 500 | Market | |
Index | Index | |
R-Squared | 1.00 | 0.99 |
Beta | 1.00 | 0.95 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer | |
Hardware | 4.4% | |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 3.2 | |
Microsoft Corp. | Systems Software | 1.8 |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.8 |
General Electric Co. | Industrial | |
Conglomerates | 1.8 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.7 | |
Chevron Corp. | Integrated Oil & | |
Gas | 1.7 | |
Johnson & Johnson | Pharmaceuticals | 1.5 |
Wells Fargo & Co. | Diversified Banks | 1.4 |
Coca-Cola Co. | Soft Drinks | 1.4 |
Top Ten | 20.7% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, 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.
7
500 Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index | Index | |
Consumer Discretionary 10.9% | 11.0% | 11.9% | |
Consumer Staples | 11.3 | 11.3 | 9.8 |
Energy | 10.8 | 10.8 | 10.0 |
Financials | 14.4 | 14.4 | 15.9 |
Health Care | 12.0 | 12.0 | 12.0 |
Industrials | 10.5 | 10.5 | 10.8 |
Information Technology | 19.8 | 19.7 | 19.1 |
Materials | 3.4 | 3.4 | 3.9 |
Telecommunication | |||
Services | 3.2 | 3.2 | 2.9 |
Utilities | 3.7 | 3.7 | 3.7 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/index500x10x1.jpg)
8
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, 2001, Through June 30, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/index500x11x1.jpg)
500 Index Fund Investor Shares |
S&P 500 Index |
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 8/31/1976 | 5.29% | 0.14% | 5.23% |
Admiral Shares | 11/13/2000 | 5.43 | 0.24 | 5.33 |
Signal Shares | 9/29/2006 | 5.43 | 0.24 | 2.531 |
ETF Shares | 9/7/2010 | |||
Market Price | 5.41 | — | 15.331 | |
Net Asset Value | 5.43 | — | 15.351 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
9
500 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2012
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 (99.5%)1 | |||
Consumer Discretionary (10.9%) | |||
McDonald’s Corp. | 9,142,779 | 809,410 | |
Walt Disney Co. | 16,080,251 | 779,892 | |
* | Amazon.com Inc. | 3,242,569 | 740,441 |
Comcast Corp. Class A | 22,951,627 | 733,763 | |
Home Depot Inc. | 13,770,774 | 729,713 | |
News Corp. Class A | 18,953,621 | 422,476 | |
Starbucks Corp. | 6,823,744 | 363,842 | |
Target Corp. | 5,948,475 | 346,142 | |
Time Warner Inc. | 8,635,756 | 332,477 | |
Ford Motor Co. | 34,333,762 | 329,261 | |
Lowe’s Cos. Inc. | 10,586,282 | 301,074 | |
* | priceline.com Inc. | 447,963 | 297,680 |
NIKE Inc. Class B | 3,298,871 | 289,575 | |
* | DIRECTV Class A | 5,892,643 | 287,679 |
TJX Cos. Inc. | 6,665,894 | 286,167 | |
Yum! Brands Inc. | 4,143,307 | 266,912 | |
Time Warner Cable Inc. | 2,811,221 | 230,801 | |
Viacom Inc. Class B | 4,748,408 | 223,270 | |
CBS Corp. Class B | 5,830,751 | 191,132 | |
Johnson Controls Inc. | 6,119,196 | 169,563 | |
Coach Inc. | 2,585,136 | 151,179 | |
Carnival Corp. | 4,076,572 | 139,704 | |
* | Bed Bath & Beyond Inc. | 2,091,356 | 129,246 |
Macy’s Inc. | 3,716,594 | 127,665 | |
Ross Stores Inc. | 2,029,240 | 126,767 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 2,293,445 | 123,846 | |
Omnicom Group Inc. | 2,452,484 | 119,191 | |
McGraw-Hill Cos. Inc. | 2,516,122 | 113,225 | |
* | Dollar Tree Inc. | 2,086,562 | 112,257 |
* | Chipotle Mexican | ||
Grill Inc. Class A | 285,188 | 108,357 | |
VF Corp. | 778,606 | 103,905 | |
Mattel Inc. | 3,063,741 | 99,388 | |
Kohl’s Corp. | 2,157,024 | 98,123 |
Market | |||
Value | |||
Shares | ($000) | ||
Harley-Davidson Inc. | 2,082,629 | 95,239 | |
* | O’Reilly Automotive Inc. | 1,134,275 | 95,018 |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 1,777,893 | 94,299 | |
Marriott International Inc. | |||
Class A | 2,382,010 | 93,375 | |
Limited Brands Inc. | 2,173,576 | 92,442 | |
* | AutoZone Inc. | 239,916 | 88,090 |
Genuine Parts Co. | 1,403,630 | 84,569 | |
Gap Inc. | 2,992,472 | 81,874 | |
Ralph Lauren Corp. | |||
Class A | 583,711 | 81,754 | |
Staples Inc. | 6,199,424 | 80,902 | |
Wynn Resorts Ltd. | 714,223 | 74,079 | |
Nordstrom Inc. | 1,440,676 | 71,587 | |
Family Dollar Stores Inc. | 1,050,052 | 69,807 | |
Wyndham Worldwide | |||
Corp. | 1,312,473 | 69,220 | |
* | BorgWarner Inc. | 1,030,918 | 67,618 |
Tiffany & Co. | 1,140,760 | 60,403 | |
Darden Restaurants Inc. | 1,157,219 | 58,590 | |
* | CarMax Inc. | 2,052,588 | 53,244 |
Best Buy Co. Inc. | 2,496,599 | 52,329 | |
Scripps Networks | |||
Interactive Inc. Class A | 834,891 | 47,472 | |
Newell Rubbermaid Inc. | 2,611,247 | 47,368 | |
DR Horton Inc. | 2,523,611 | 46,384 | |
Lennar Corp. Class A | 1,465,751 | 45,306 | |
Interpublic Group of | |||
Cos. Inc. | 3,990,569 | 43,298 | |
Whirlpool Corp. | 695,902 | 42,561 | |
H&R Block Inc. | 2,644,244 | 42,255 | |
International Game | |||
Technology | 2,658,896 | 41,878 | |
Comcast Corp. | 1,304,720 | 40,968 | |
Expedia Inc. | 812,711 | 39,067 | |
* | TripAdvisor Inc. | 858,357 | 38,360 |
* | Fossil Inc. | 468,613 | 35,868 |
Hasbro Inc. | 1,051,310 | 35,608 |
10
500 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Apollo Group Inc. Class A | 967,148 | 35,001 |
* | Netflix Inc. | 500,128 | 34,244 |
* | PulteGroup Inc. | 3,040,976 | 32,538 |
Gannett Co. Inc. | 2,116,276 | 31,173 | |
JC Penney Co. Inc. | 1,319,204 | 30,751 | |
* | Urban Outfitters Inc. | 1,004,351 | 27,710 |
Leggett & Platt Inc. | 1,262,640 | 26,680 | |
* | Goodyear Tire & | ||
Rubber Co. | 2,204,205 | 26,032 | |
Cablevision Systems | |||
Corp. Class A | 1,929,019 | 25,637 | |
Abercrombie & Fitch Co. | 743,568 | 25,385 | |
Harman International | |||
Industries Inc. | 634,923 | 25,143 | |
* | Big Lots Inc. | 573,762 | 23,404 |
^ | GameStop Corp. Class A | 1,173,597 | 21,547 |
^,* | Sears Holdings Corp. | 345,183 | 20,607 |
DeVry Inc. | 530,696 | 16,436 | |
Washington Post Co. | |||
Class B | 43,222 | 16,157 | |
^,* | AutoNation Inc. | 374,178 | 13,201 |
12,126,601 | |||
Consumer Staples (11.2%) | |||
Coca-Cola Co. | 20,296,036 | 1,586,947 | |
Procter & Gamble Co. | 24,651,862 | 1,509,927 | |
Philip Morris | |||
International Inc. | 15,344,366 | 1,338,949 | |
Wal-Mart Stores Inc. | 15,524,685 | 1,082,381 | |
PepsiCo Inc. | 14,070,405 | 994,215 | |
Altria Group Inc. | 18,306,651 | 632,495 | |
Kraft Foods Inc. | 15,950,809 | 616,020 | |
CVS Caremark Corp. | 11,529,096 | 538,755 | |
Colgate-Palmolive Co. | 4,293,511 | 446,955 | |
Costco Wholesale Corp. | 3,889,512 | 369,504 | |
Kimberly-Clark Corp. | 3,527,651 | 295,511 | |
Walgreen Co. | 7,761,505 | 229,585 | |
General Mills Inc. | 5,823,331 | 224,431 | |
Archer-Daniels-Midland | |||
Co. | 5,924,218 | 174,883 | |
Sysco Corp. | 5,269,563 | 157,086 | |
HJ Heinz Co. | 2,877,754 | 156,492 | |
Lorillard Inc. | 1,174,139 | 154,928 | |
Mead Johnson Nutrition | |||
Co. | 1,834,224 | 147,673 | |
Whole Foods Market Inc. | 1,469,622 | 140,084 | |
Reynolds American Inc. | 2,981,944 | 133,800 | |
Kroger Co. | 5,046,411 | 117,026 | |
Estee Lauder Cos. Inc. | |||
Class A | 2,028,224 | 109,768 | |
Kellogg Co. | 2,218,770 | 109,452 | |
Hershey Co. | 1,368,024 | 98,539 | |
* | Monster Beverage Corp. | 1,365,652 | 97,234 |
ConAgra Foods Inc. | 3,736,461 | 96,886 | |
Beam Inc. | 1,418,823 | 88,662 |
Market | |||
Value | |||
Shares | ($000) | ||
Brown-Forman Corp. | |||
Class B | 894,880 | 86,669 | |
Clorox Co. | 1,170,939 | 84,846 | |
Dr Pepper Snapple | |||
Group Inc. | 1,905,443 | 83,363 | |
JM Smucker Co. | 1,019,768 | 77,013 | |
Coca-Cola | |||
Enterprises Inc. | 2,700,899 | 75,733 | |
McCormick & Co. Inc. | 1,192,717 | 72,338 | |
Avon Products Inc. | 3,884,062 | 62,961 | |
Molson Coors Brewing | |||
Co. Class B | 1,413,697 | 58,824 | |
Campbell Soup Co. | 1,593,918 | 53,205 | |
Tyson Foods Inc. | |||
Class A | 2,601,050 | 48,978 | |
Safeway Inc. | 2,165,379 | 39,302 | |
Hormel Foods Corp. | 1,234,839 | 37,564 | |
* | Constellation | ||
Brands Inc. Class A | 1,369,074 | 37,047 | |
* | Dean Foods Co. | 1,661,869 | 28,302 |
DE Master Blenders | 1,952 | 22 | |
Hillshire Brands Co. | 390 | 11 | |
12,494,366 | |||
Energy (10.8%) | |||
Exxon Mobil Corp. | 42,070,199 | 3,599,947 | |
Chevron Corp. | 17,752,080 | 1,872,844 | |
Schlumberger Ltd. | 11,997,480 | 778,756 | |
ConocoPhillips | 11,376,663 | 635,728 | |
Occidental Petroleum | |||
Corp. | 7,296,793 | 625,846 | |
Apache Corp. | 3,516,067 | 309,027 | |
Anadarko Petroleum | |||
Corp. | 4,494,240 | 297,519 | |
National Oilwell | |||
Varco Inc. | 3,834,276 | 247,081 | |
Halliburton Co. | 8,303,601 | 235,739 | |
EOG Resources Inc. | 2,425,294 | 218,543 | |
Devon Energy Corp. | 3,638,008 | 210,968 | |
* | Phillips 66 | 5,624,987 | 186,975 |
Spectra Energy Corp. | 5,872,143 | 170,644 | |
Marathon Oil Corp. | 6,345,100 | 162,244 | |
Williams Cos. Inc. | 5,628,433 | 162,211 | |
Baker Hughes Inc. | 3,944,574 | 162,122 | |
Kinder Morgan Inc. | 4,542,887 | 146,372 | |
Marathon Petroleum | |||
Corp. | 3,065,089 | 137,684 | |
Noble Energy Inc. | 1,599,278 | 135,651 | |
Valero Energy Corp. | 4,973,537 | 120,111 | |
Hess Corp. | 2,734,961 | 118,834 | |
Chesapeake Energy | |||
Corp. | 5,958,252 | 110,824 | |
* | Southwestern | ||
Energy Co. | 3,131,721 | 99,996 |
11
500 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Pioneer Natural | |||
Resources Co. | 1,107,495 | 97,692 | |
* | Cameron International | ||
Corp. | 2,215,470 | 94,623 | |
Range Resources Corp. | 1,458,868 | 90,260 | |
Murphy Oil Corp. | 1,746,630 | 87,838 | |
* | FMC Technologies Inc. | 2,150,824 | 84,377 |
Cabot Oil & Gas Corp. | 1,887,521 | 74,368 | |
Noble Corp. | 2,270,280 | 73,852 | |
EQT Corp. | 1,345,394 | 72,153 | |
CONSOL Energy Inc. | 2,046,788 | 61,895 | |
Peabody Energy Corp. | 2,450,098 | 60,076 | |
* | Denbury Resources Inc. | 3,518,644 | 53,167 |
QEP Resources Inc. | 1,606,768 | 48,155 | |
Sunoco Inc. | 953,842 | 45,308 | |
Helmerich & Payne Inc. | 967,600 | 42,071 | |
* | Nabors Industries Ltd. | 2,614,937 | 37,655 |
Diamond Offshore | |||
Drilling Inc. | 626,248 | 37,030 | |
* | Rowan Cos. plc Class A | 1,118,579 | 36,164 |
* | Newfield Exploration Co. | 1,214,325 | 35,592 |
* | Tesoro Corp. | 1,264,064 | 31,551 |
* | WPX Energy Inc. | 1,789,964 | 28,962 |
* | Alpha Natural | ||
Resources Inc. | 1,979,179 | 17,239 | |
11,955,694 | |||
Financials (14.3%) | |||
Wells Fargo & Co. | 47,807,692 | 1,598,689 | |
JPMorgan Chase & Co. | 34,247,341 | 1,223,657 | |
* | Berkshire Hathaway Inc. | ||
Class B | 14,292,791 | 1,191,018 | |
Bank of America Corp. | 96,953,794 | 793,082 | |
Citigroup Inc. | 26,379,487 | 723,062 | |
US Bancorp | 17,041,167 | 548,044 | |
American Express Co. | 9,008,170 | 524,366 | |
Simon Property | |||
Group Inc. | 2,726,758 | 424,447 | |
Goldman Sachs | |||
Group Inc. | 4,425,082 | 424,188 | |
MetLife Inc. | 9,554,417 | 294,754 | |
PNC Financial Services | |||
Group Inc. | 4,757,119 | 290,707 | |
Capital One Financial | |||
Corp. | 5,220,971 | 285,378 | |
American Tower | |||
Corporation | 3,549,734 | 248,162 | |
Bank of New York | |||
Mellon Corp. | 10,730,007 | 235,524 | |
ACE Ltd. | 3,046,968 | 225,872 | |
Travelers Cos. Inc. | 3,499,814 | 223,428 | |
Prudential Financial Inc. | 4,219,171 | 204,334 | |
Morgan Stanley | 13,703,942 | 199,940 | |
State Street Corp. | 4,395,480 | 196,214 | |
BlackRock Inc. | 1,152,831 | 195,774 |
Market | |||
Value | |||
Shares | ($000) | ||
BB&T Corp. | 6,285,081 | 193,895 | |
Public Storage | 1,280,418 | 184,905 | |
* | American International | ||
Group Inc. | 5,753,194 | 184,620 | |
Aflac Inc. | 4,206,850 | 179,170 | |
Chubb Corp. | 2,428,533 | 176,846 | |
Equity Residential | 2,704,461 | 168,650 | |
HCP Inc. | 3,773,834 | 166,615 | |
Discover Financial | |||
Services | 4,770,806 | 164,974 | |
Ventas Inc. | 2,600,111 | 164,119 | |
CME Group Inc. | 597,933 | 160,312 | |
Marsh & McLennan | |||
Cos. Inc. | 4,908,316 | 158,195 | |
Allstate Corp. | 4,420,328 | 155,109 | |
Boston Properties Inc. | 1,347,694 | 146,050 | |
T. Rowe Price Group Inc. | 2,294,773 | 144,479 | |
Franklin Resources Inc. | 1,277,557 | 141,796 | |
Vornado Realty Trust | 1,670,016 | 140,248 | |
Prologis Inc. | 4,141,732 | 137,630 | |
Aon plc | 2,936,501 | 137,369 | |
* | Berkshire Hathaway Inc. | ||
Class A | 1,019 | 127,319 | |
Charles Schwab Corp. | 9,734,267 | 125,864 | |
AvalonBay | |||
Communities Inc. | 857,728 | 121,351 | |
SunTrust Banks Inc. | 4,841,230 | 117,303 | |
Progressive Corp. | 5,484,794 | 114,248 | |
Loews Corp. | 2,748,795 | 112,453 | |
Health Care REIT Inc. | 1,923,443 | 112,137 | |
Fifth Third Bancorp | 8,276,649 | 110,907 | |
Weyerhaeuser Co. | 4,834,821 | 108,107 | |
Ameriprise Financial Inc. | 1,966,646 | 102,777 | |
Host Hotels & | |||
Resorts Inc. | 6,462,458 | 102,236 | |
Northern Trust Corp. | 2,169,315 | 99,832 | |
M&T Bank Corp. | 1,138,478 | 94,004 | |
Invesco Ltd. | 4,031,945 | 91,122 | |
* | IntercontinentalExchange | ||
Inc. | 654,407 | 88,986 | |
Regions Financial Corp. | 12,705,587 | 85,763 | |
Principal Financial Group | |||
Inc. | 2,699,757 | 70,815 | |
Hartford Financial | |||
Services Group Inc. | 3,965,694 | 69,915 | |
Kimco Realty Corp. | 3,660,426 | 69,658 | |
SLM Corp. | 4,393,320 | 69,019 | |
KeyCorp | 8,573,663 | 66,360 | |
Moody’s Corp. | 1,778,582 | 65,007 | |
XL Group plc Class A | 2,803,741 | 58,991 | |
NYSE Euronext | 2,284,646 | 58,441 | |
Plum Creek Timber Co. | |||
Inc. | 1,452,538 | 57,666 | |
Lincoln National Corp. | 2,567,275 | 56,146 |
12
500 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Cincinnati Financial Corp. | 1,460,124 | 55,587 | |
Comerica Inc. | 1,769,027 | 54,327 | |
Huntington Bancshares | |||
Inc. | 7,788,394 | 49,846 | |
Unum Group | 2,574,683 | 49,254 | |
* | CBRE Group Inc. Class A | 2,953,845 | 48,325 |
Torchmark Corp. | 886,721 | 44,824 | |
Leucadia National Corp. | 1,784,470 | 37,956 | |
People’s United Financial | |||
Inc. | 3,205,833 | 37,220 | |
Apartment Investment | |||
& Management Co. | |||
Class A | 1,273,207 | 34,415 | |
Zions Bancorporation | 1,659,174 | 32,221 | |
Hudson City Bancorp Inc. | 4,757,119 | 30,303 | |
Legg Mason Inc. | 1,131,894 | 29,848 | |
Assurant Inc. | 772,294 | 26,907 | |
* | Genworth Financial Inc. | ||
Class A | 4,418,815 | 25,010 | |
NASDAQ OMX | |||
Group Inc. | 1,102,635 | 24,997 | |
First Horizon National | |||
Corp. | 2,275,767 | 19,685 | |
* | E*TRADE Financial Corp. | 2,290,204 | 18,413 |
^ | Federated Investors Inc. | ||
Class B | 835,179 | 18,249 | |
15,949,436 | |||
Health Care (11.9%) | |||
Johnson & Johnson | 24,708,208 | 1,669,286 | |
Pfizer Inc. | 67,368,435 | 1,549,474 | |
Merck & Co. Inc. | 27,363,924 | 1,142,444 | |
Abbott Laboratories | 14,155,220 | 912,587 | |
Bristol-Myers Squibb Co. | 15,195,899 | 546,293 | |
UnitedHealth Group Inc. | 9,333,436 | 546,006 | |
Amgen Inc. | 6,996,629 | 511,034 | |
* | Express Scripts Holding | ||
Co. | 7,246,494 | 404,572 | |
Eli Lilly & Co. | 9,186,863 | 394,208 | |
Medtronic Inc. | 9,361,613 | 362,575 | |
* | Gilead Sciences Inc. | 6,813,204 | 349,381 |
* | Biogen Idec Inc. | 2,155,200 | 311,168 |
Baxter International Inc. | 4,953,327 | 263,269 | |
Allergan Inc. | 2,766,574 | 256,102 | |
* | Celgene Corp. | 3,962,780 | 254,252 |
Covidien plc | 4,338,721 | 232,122 | |
McKesson Corp. | 2,117,692 | 198,534 | |
* | Intuitive Surgical Inc. | 357,168 | 197,796 |
WellPoint Inc. | 2,976,155 | 189,849 | |
* | Alexion | ||
Pharmaceuticals Inc. | 1,728,026 | 171,593 | |
Thermo Fisher | |||
Scientific Inc. | 3,304,236 | 171,523 | |
Stryker Corp. | 2,912,816 | 160,496 | |
Becton Dickinson and Co. | 1,823,488 | 136,306 |
Market | |||
Value | |||
Shares | ($000) | ||
Cardinal Health Inc. | 3,113,232 | 130,756 | |
Agilent Technologies Inc. | 3,126,013 | 122,665 | |
Aetna Inc. | 3,125,200 | 121,164 | |
Cigna Corp. | 2,593,615 | 114,119 | |
Humana Inc. | 1,467,920 | 113,676 | |
St. Jude Medical Inc. | 2,823,063 | 112,668 | |
* | Cerner Corp. | 1,318,637 | 108,998 |
* | Edwards Lifesciences | ||
Corp. | 1,030,843 | 106,486 | |
Zimmer Holdings Inc. | 1,584,461 | 101,976 | |
Perrigo Co. | 840,330 | 99,100 | |
AmerisourceBergen | |||
Corp. Class A | 2,256,023 | 88,774 | |
Quest Diagnostics Inc. | 1,427,083 | 85,482 | |
* | Watson Pharmaceuticals | ||
Inc. | 1,146,050 | 84,796 | |
* | Forest Laboratories Inc. | 2,389,995 | 83,626 |
* | DaVita Inc. | 846,382 | 83,123 |
* | Mylan Inc. | 3,855,862 | 82,400 |
CR Bard Inc. | 754,905 | 81,107 | |
* | Laboratory Corp. of | ||
America Holdings | 870,712 | 80,637 | |
* | Boston Scientific Corp. | 12,857,032 | 72,899 |
* | Life Technologies Corp. | 1,606,346 | 72,269 |
* | Waters Corp. | 800,045 | 63,580 |
* | Varian Medical Systems | ||
Inc. | 1,002,924 | 60,948 | |
* | Hospira Inc. | 1,485,352 | 51,958 |
* | CareFusion Corp. | 1,998,764 | 51,328 |
DENTSPLY International | |||
Inc. | 1,276,166 | 48,252 | |
Coventry Health Care Inc. | 1,286,787 | 40,907 | |
Patterson Cos. Inc. | 789,732 | 27,222 | |
PerkinElmer Inc. | 1,025,831 | 26,466 | |
* | Tenet Healthcare Corp. | 3,727,416 | 19,532 |
13,267,784 | |||
Industrials (10.4%) | |||
General Electric Co. | 95,322,899 | 1,986,529 | |
United Parcel Service | |||
Inc. Class B | 8,632,182 | 679,871 | |
United Technologies | |||
Corp. | 8,199,110 | 619,279 | |
3M Co. | 6,242,458 | 559,324 | |
Union Pacific Corp. | 4,284,242 | 511,153 | |
Boeing Co. | 6,738,805 | 500,693 | |
Caterpillar Inc. | 5,868,751 | 498,316 | |
Honeywell International | |||
Inc. | 7,009,828 | 391,429 | |
Emerson Electric Co. | 6,599,826 | 307,420 | |
Deere & Co. | 3,578,165 | 289,366 | |
Danaher Corp. | 5,172,761 | 269,397 | |
FedEx Corp. | 2,837,080 | 259,905 | |
Illinois Tool Works Inc. | 4,294,374 | 227,129 | |
Tyco International Ltd. | 4,163,988 | 220,067 |
13
500 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Precision Castparts Corp. | 1,307,256 | 215,031 | |
General Dynamics Corp. | 3,244,061 | 213,978 | |
Norfolk Southern Corp. | 2,930,575 | 210,327 | |
CSX Corp. | 9,348,532 | 209,033 | |
Lockheed Martin Corp. | 2,394,796 | 208,539 | |
Raytheon Co. | 2,998,675 | 169,695 | |
Cummins Inc. | 1,728,867 | 167,545 | |
Northrop Grumman Corp. | 2,262,455 | 144,322 | |
Goodrich Corp. | 1,132,773 | 143,749 | |
Waste Management Inc. | 4,162,159 | 139,016 | |
PACCAR Inc. | 3,208,647 | 125,747 | |
Eaton Corp. | 3,037,832 | 120,389 | |
Ingersoll-Rand plc | 2,687,211 | 113,347 | |
Fastenal Co. | 2,656,587 | 107,087 | |
WW Grainger Inc. | 548,872 | 104,966 | |
Parker Hannifin Corp. | 1,358,741 | 104,460 | |
Stanley Black & Decker | |||
Inc. | 1,537,255 | 98,938 | |
Cooper Industries plc | 1,430,884 | 97,558 | |
Dover Corp. | 1,653,216 | 88,629 | |
Roper Industries Inc. | 877,179 | 86,472 | |
CH Robinson Worldwide | |||
Inc. | 1,462,707 | 85,612 | |
Rockwell Automation Inc. | 1,284,937 | 84,883 | |
Fluor Corp. | 1,521,293 | 75,061 | |
Republic Services Inc. | |||
Class A | 2,830,781 | 74,902 | |
Expeditors International | |||
of Washington Inc. | 1,910,582 | 74,035 | |
* | Stericycle Inc. | 765,336 | 70,158 |
L-3 Communications | |||
Holdings Inc. | 876,316 | 64,856 | |
Rockwell Collins Inc. | 1,304,630 | 64,383 | |
Southwest Airlines Co. | 6,905,494 | 63,669 | |
Textron Inc. | 2,521,105 | 62,700 | |
Pall Corp. | 1,041,572 | 57,089 | |
Flowserve Corp. | 491,575 | 56,408 | |
Joy Global Inc. | 951,984 | 54,006 | |
Iron Mountain Inc. | 1,542,053 | 50,826 | |
Equifax Inc. | 1,084,334 | 50,530 | |
* | Quanta Services Inc. | 1,918,861 | 46,187 |
Masco Corp. | 3,212,904 | 44,563 | |
* | Jacobs Engineering | ||
Group Inc. | 1,162,223 | 44,002 | |
Xylem Inc. | 1,670,331 | 42,042 | |
Cintas Corp. | 993,803 | 38,371 | |
Robert Half International | |||
Inc. | 1,287,889 | 36,795 | |
Snap-on Inc. | 523,328 | 32,577 | |
Dun & Bradstreet Corp. | 431,197 | 30,688 | |
^ | Pitney Bowes Inc. | 1,803,448 | 26,998 |
Avery Dennison Corp. | 933,470 | 25,521 | |
^ | RR Donnelley & Sons Co. | 1,623,709 | 19,111 |
Ryder System Inc. | 461,869 | 16,632 | |
11,581,311 |
Market | |||
Value | |||
Shares | ($000) | ||
Information Technology (19.7%) | |||
* | Apple Inc. | 8,412,497 | 4,912,898 |
Microsoft Corp. | 67,266,261 | 2,057,675 | |
International Business | |||
Machines Corp. | 10,377,527 | 2,029,637 | |
* | Google Inc. Class A | 2,287,848 | 1,327,112 |
Intel Corp. | 45,262,201 | 1,206,238 | |
Oracle Corp. | 34,912,189 | 1,036,892 | |
QUALCOMM Inc. | 15,422,693 | 858,736 | |
Cisco Systems Inc. | 48,193,868 | 827,489 | |
Visa Inc. Class A | 4,479,841 | 553,843 | |
* | EMC Corp. | 18,890,053 | 484,152 |
* | eBay Inc. | 10,338,720 | 434,330 |
Mastercard Inc. Class A | 955,062 | 410,782 | |
Hewlett-Packard Co. | 17,789,076 | 357,738 | |
Accenture plc Class A | 5,797,753 | 348,387 | |
Texas Instruments Inc. | 10,295,000 | 295,364 | |
Automatic Data | |||
Processing Inc. | 4,399,943 | 244,901 | |
Corning Inc. | 13,652,528 | 176,527 | |
* | Yahoo! Inc. | 10,963,584 | 173,554 |
* | Salesforce.com Inc. | 1,241,413 | 171,638 |
* | Dell Inc. | 13,374,197 | 167,445 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 2,739,199 | 164,352 | |
Intuit Inc. | 2,641,833 | 156,793 | |
Broadcom Corp. Class A | 4,461,131 | 150,786 | |
* | Adobe Systems Inc. | 4,463,140 | 144,472 |
* | Citrix Systems Inc. | 1,674,884 | 140,590 |
Applied Materials Inc. | 11,530,238 | 132,137 | |
Motorola Solutions Inc. | 2,627,380 | 126,403 | |
TE Connectivity Ltd. | 3,846,400 | 122,739 | |
* | Teradata Corp. | 1,517,558 | 109,279 |
* | NetApp Inc. | 3,264,511 | 103,877 |
Analog Devices Inc. | 2,683,767 | 101,097 | |
Altera Corp. | 2,902,281 | 98,213 | |
* | Red Hat Inc. | 1,734,876 | 97,986 |
Xerox Corp. | 12,123,913 | 95,415 | |
* | Symantec Corp. | 6,483,556 | 94,725 |
Western Union Co. | 5,513,820 | 92,853 | |
Paychex Inc. | 2,902,515 | 91,168 | |
* | Fiserv Inc. | 1,227,678 | 88,663 |
CA Inc. | 3,183,359 | 86,237 | |
Seagate Technology plc | 3,343,857 | 82,694 | |
Amphenol Corp. Class A | 1,457,383 | 80,039 | |
* | SanDisk Corp. | 2,191,782 | 79,956 |
Xilinx Inc. | 2,373,864 | 79,691 | |
* | Juniper Networks Inc. | 4,763,476 | 77,692 |
* | NVIDIA Corp. | 5,566,399 | 76,928 |
KLA-Tencor Corp. | 1,505,131 | 74,128 | |
Fidelity National | |||
Information Services | |||
Inc. | 2,148,002 | 73,204 | |
* | Autodesk Inc. | 2,067,074 | 72,327 |
* | F5 Networks Inc. | 714,099 | 71,096 |
14
500 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Lam Research Corp. | 1,812,087 | 68,388 |
Linear Technology Corp. | 2,070,683 | 64,874 | |
* | Western Digital Corp. | 2,105,035 | 64,161 |
* | VeriSign Inc. | 1,421,101 | 61,917 |
* | BMC Software Inc. | 1,448,957 | 61,841 |
Microchip Technology | |||
Inc. | 1,741,274 | 57,601 | |
* | Micron Technology Inc. | 8,901,604 | 56,169 |
* | Akamai Technologies Inc. | 1,614,010 | 51,245 |
Harris Corp. | 1,024,096 | 42,858 | |
* | Electronic Arts Inc. | 2,863,078 | 35,359 |
Computer Sciences Corp. | 1,397,946 | 34,697 | |
Total System Services | |||
Inc. | 1,447,696 | 34,643 | |
Jabil Circuit Inc. | 1,638,091 | 33,302 | |
* | LSI Corp. | 5,124,335 | 32,642 |
* | Advanced Micro Devices | ||
Inc. | 5,306,533 | 30,406 | |
SAIC Inc. | 2,492,098 | 30,204 | |
Molex Inc. | 1,235,047 | 29,567 | |
FLIR Systems Inc. | 1,389,039 | 27,086 | |
* | Teradyne Inc. | 1,681,391 | 23,640 |
* | JDS Uniphase Corp. | 2,085,412 | 22,940 |
Lexmark International Inc. | |||
Class A | 640,759 | 17,031 | |
^,* | First Solar Inc. | 528,170 | 7,954 |
Molex Inc. Class A | 4,051 | 82 | |
21,929,485 | |||
Materials (3.4%) | |||
EI du Pont de Nemours | |||
& Co. | 8,430,083 | 426,309 | |
Monsanto Co. | 4,798,956 | 397,258 | |
Dow Chemical Co. | 10,754,121 | 338,755 | |
Praxair Inc. | 2,687,089 | 292,167 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 8,538,539 | 290,908 | |
Newmont Mining Corp. | 4,458,052 | 216,260 | |
Ecolab Inc. | 2,628,533 | 180,133 | |
Air Products & Chemicals | |||
Inc. | 1,902,052 | 153,553 | |
Mosaic Co. | 2,679,172 | 146,711 | |
PPG Industries Inc. | 1,369,967 | 145,381 | |
CF Industries Holdings | |||
Inc. | 590,412 | 114,386 | |
International Paper Co. | 3,931,933 | 113,672 | |
Nucor Corp. | 2,852,128 | 108,096 | |
Sherwin-Williams Co. | 771,122 | 102,058 | |
Alcoa Inc. | 9,595,580 | 83,961 | |
Sigma-Aldrich Corp. | 1,087,453 | 80,395 | |
FMC Corp. | 1,233,491 | 65,967 | |
Cliffs Natural Resources | |||
Inc. | 1,281,568 | 63,169 | |
Eastman Chemical Co. | 1,240,748 | 62,497 | |
Ball Corp. | 1,409,309 | 57,852 |
Market | |||
Value | |||
Shares | ($000) | ||
Airgas Inc. | 622,519 | 52,298 | |
Vulcan Materials Co. | 1,165,538 | 46,284 | |
MeadWestvaco Corp. | 1,552,481 | 44,634 | |
International Flavors & | |||
Fragrances Inc. | 730,290 | 40,020 | |
Allegheny Technologies | |||
Inc. | 964,795 | 30,767 | |
Bemis Co. Inc. | 927,324 | 29,062 | |
* | Owens-Illinois Inc. | 1,485,614 | 28,479 |
Sealed Air Corp. | 1,748,291 | 26,994 | |
United States Steel Corp. | 1,294,861 | 26,674 | |
Titanium Metals Corp. | 741,199 | 8,383 | |
3,773,083 | |||
Telecommunication Services (3.2%) | |||
AT&T Inc. | 52,747,606 | 1,880,980 | |
Verizon Communications | |||
Inc. | 25,559,768 | 1,135,876 | |
CenturyLink Inc. | 5,588,760 | 220,700 | |
* | Crown Castle | ||
International Corp. | 2,319,608 | 136,068 | |
* | Sprint Nextel Corp. | 26,976,503 | 87,943 |
^ | Windstream Corp. | 5,299,618 | 51,194 |
^ | Frontier Communications | ||
Corp. | 8,993,398 | 34,445 | |
* | MetroPCS | ||
Communications Inc. | 2,649,820 | 16,032 | |
3,563,238 | |||
Utilities (3.7%) | |||
Southern Co. | 7,815,111 | 361,840 | |
Exelon Corp. | 7,668,596 | 288,493 | |
Duke Energy Corp. | 12,040,462 | 277,653 | |
Dominion Resources Inc. | 5,141,411 | 277,636 | |
NextEra Energy Inc. | 3,752,107 | 258,182 | |
FirstEnergy Corp. | 3,762,323 | 185,069 | |
American Electric | |||
Power Co. Inc. | 4,356,971 | 173,843 | |
PG&E Corp. | 3,799,205 | 171,990 | |
Consolidated Edison Inc. | 2,635,002 | 163,871 | |
Progress Energy Inc. | 2,662,088 | 160,178 | |
Sempra Energy | 2,158,185 | 148,656 | |
Public Service Enterprise | |||
Group Inc. | 4,550,984 | 147,907 | |
PPL Corp. | 5,217,909 | 145,110 | |
Edison International | 2,930,957 | 135,410 | |
Xcel Energy Inc. | 4,380,464 | 124,449 | |
Northeast Utilities | 2,821,112 | 109,487 | |
Entergy Corp. | 1,593,678 | 108,195 | |
DTE Energy Co. | 1,530,177 | 90,785 | |
Wisconsin Energy Corp. | 2,073,022 | 82,029 | |
CenterPoint Energy Inc. | 3,843,685 | 79,449 | |
ONEOK Inc. | 1,869,700 | 79,107 | |
* | AES Corp. | 5,799,262 | 74,404 |
Ameren Corp. | 2,182,577 | 73,204 | |
NiSource Inc. | 2,555,381 | 63,246 |
15
500 Index Fund
Market | ||
Value | ||
Shares | ($000) | |
CMS Energy Corp. | 2,341,393 | 55,023 |
Pinnacle West Capital | ||
Corp. | 984,707 | 50,949 |
SCANA Corp. | 1,046,962 | 50,087 |
AGL Resources Inc. | 1,056,759 | 40,949 |
Pepco Holdings Inc. | 2,056,196 | 40,240 |
Integrys Energy | ||
Group Inc. | 701,783 | 39,910 |
* NRG Energy Inc. | 2,051,154 | 35,608 |
TECO Energy Inc. | 1,943,858 | 35,106 |
4,128,065 | ||
Total Common Stocks | ||
(Cost $76,065,613) | 110,769,063 | |
Temporary Cash Investments (0.6%)1 | ||
Money Market Fund (0.6%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, | ||
0.148% | 634,576,771 | 634,577 |
Face | Market | ||
Amount | Value | ||
($000) | ($000) | ||
U.S. Government and Agency Obligations (0.0%) | |||
4 | Fannie Mae Discount Notes, | ||
0.130%, 7/2/12 | 1,000 | 1,000 | |
4,5 | Fannie Mae Discount Notes, | ||
0.130%, 8/15/12 | 2,000 | 1,999 | |
4,5 | Fannie Mae Discount Notes, | ||
0.105%, 8/29/12 | 4,000 | 3,999 | |
5,6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.100%, 7/11/12 | 6,000 | 6,000 | |
5,6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.130%, 7/20/12 | 5,000 | 4,999 | |
5,6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.126%, 8/3/12 | 13,000 | 12,998 | |
5,6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.125%, 8/10/12 | 1,000 | 1,000 | |
5,6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.155%, 10/19/12 | 5,000 | 4,998 | |
5 | United States Treasury | ||
Note/Bond, | |||
1.375%, 9/15/12 | 1,500 | 1,504 | |
38,497 | |||
Total Temporary Cash Investments | |||
(Cost $673,075) | 673,074 | ||
Total Investments (100.1%) | |||
(Cost $76,738,688) | 111,442,137 |
16
500 Index Fund
Market | |
Value | |
($000) | |
Other Assets and Liabilities (-0.1%) | |
Other Assets | 491,449 |
Liabilities3 | (584,954) |
(93,505) | |
Net Assets (100%) | 111,348,632 |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 80,117,671 |
Overdistributed Net Investment Income | (92,125) |
Accumulated Net Realized Losses | (3,397,499) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 34,703,449 |
Futures Contracts | 17,136 |
Net Assets | 111,348,632 |
Investor Shares—Net Assets | |
Applicable to 208,465,701 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 26,173,415 |
Net Asset Value Per Share— | |
Investor Shares | $125.55 |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 448,097,869 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 56,258,548 |
Net Asset Value Per Share— | |
Admiral Shares | $125.55 |
Signal Shares—Net Assets | |
Applicable to 232,713,327 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 24,134,053 |
Net Asset Value Per Share— | |
Signal Shares | $103.71 |
ETF Shares—Net Assets | |
Applicable to 76,766,297 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,782,616 |
Net Asset Value Per Share— | |
ETF Shares | $62.30 |
See Note A in Notes to Financial Statements.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $59,578,000.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100% and 0.1%, 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 $61,458,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
5 Securities with a value of $37,147,000 have been segregated as initial margin for open futures contracts.
6 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
17
500 Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,141,311 |
Interest1 | 373 |
Security Lending | 3,970 |
Total Income | 1,145,654 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 3,448 |
Management and Administrative—Investor Shares | 17,655 |
Management and Administrative—Admiral Shares | 6,639 |
Management and Administrative—Signal Shares | 1,695 |
Management and Administrative—ETF Shares | 308 |
Marketing and Distribution—Investor Shares | 3,690 |
Marketing and Distribution—Admiral Shares | 4,868 |
Marketing and Distribution—Signal Shares | 3,228 |
Marketing and Distribution—ETF Shares | 405 |
Custodian Fees | 668 |
Shareholders’ Reports—Investor Shares | 351 |
Shareholders’ Reports—Admiral Shares | 203 |
Shareholders’ Reports—Signal Shares | 72 |
Shareholders’ Reports—ETF Shares | 18 |
Trustees’ Fees and Expenses | 54 |
Total Expenses | 43,302 |
Net Investment Income | 1,102,352 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 1,744,991 |
Futures Contracts | 40,316 |
Realized Net Gain (Loss) | 1,785,307 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 6,708,040 |
Futures Contracts | 13,117 |
Change in Unrealized Appreciation (Depreciation) | 6,721,157 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,608,816 |
1 Interest income from an affiliated company of the fund was $357,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
500 Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,102,352 | 2,082,425 |
Realized Net Gain (Loss) | 1,785,307 | (74,741) |
Change in Unrealized Appreciation (Depreciation) | 6,721,157 | 90,802 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,608,816 | 2,098,486 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (243,160) | (552,815) |
Admiral Shares | (544,244) | (1,061,949) |
Signal Shares | (232,386) | (433,611) |
ETF Shares | (37,528) | (32,365) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,057,318) | (2,080,740) |
Capital Share Transactions | ||
Investor Shares | (1,955,347) | (6,033,406) |
Admiral Shares | (36,328) | 456,850 |
Signal Shares | 716,145 | 2,699,645 |
ETF Shares | 2,222,840 | 2,128,573 |
Net Increase (Decrease) from Capital Share Transactions | 947,310 | (748,338) |
Total Increase (Decrease) | 9,498,808 | (730,592) |
Net Assets | ||
Beginning of Period | 101,849,824 | 102,580,416 |
End of Period1 | 111,348,632 | 101,849,824 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($92,125,000) and ($137,159,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
19
500 Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $115.80 | $115.82 | $102.67 | $83.09 | $135.15 | $130.59 |
Investment Operations | ||||||
Net Investment Income | 1.196 | 2.246 | 2.020 | 2.131 | 2.443 | 2.470 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 9.697 | (.020) | 13.096 | 19.553 | (51.998) | 4.580 |
Total from Investment Operations | 10.893 | 2.226 | 15.116 | 21.684 | (49.555) | 7.050 |
Distributions | ||||||
Dividends from Net Investment Income | (1.143) | (2.246) | (1.966) | (2.104) | (2.505) | (2.490) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.143) | (2.246) | (1.966) | (2.104) | (2.505) | (2.490) |
Net Asset Value, End of Period | $125.55 | $115.80 | $115.82 | $102.67 | $83.09 | $135.15 |
Total Return1 | 9.41% | 1.97% | 14.91% | 26.49% | -37.02% | 5.39% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $26,173 | $25,967 | $31,904 | $48,313 | $38,778 | $63,327 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.17% | 0.17% | 0.17% | 0.18% | 0.16% | 0.15% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.93% | 1.92% | 1.94% | 2.42% | 2.16% | 1.81% |
Portfolio Turnover Rate2 | 3% | 4% | 5% | 12% | 6% | 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.
20
500 Index Fund
Financial Highlights
Admiral Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $115.80 | $115.83 | $102.67 | $83.09 | $135.15 | $130.59 |
Investment Operations | ||||||
Net Investment Income | 1.272 | 2.391 | 2.152 | 2.227 | 2.534 | 2.583 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 9.698 | (.031) | 13.092 | 19.556 | (52.000) | 4.576 |
Total from Investment Operations | 10.970 | 2.360 | 15.244 | 21.783 | (49.466) | 7.159 |
Distributions | ||||||
Dividends from Net Investment Income | (1.220) | (2.390) | (2.084) | (2.203) | (2.594) | (2.599) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.220) | (2.390) | (2.084) | (2.203) | (2.594) | (2.599) |
Net Asset Value, End of Period | $125.55 | $115.80 | $115.83 | $102.67 | $83.09 | $135.15 |
Total Return1 | 9.48% | 2.08% | 15.05% | 26.62% | -36.97% | 5.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $56,259 | $51,925 | $51,438 | $28,380 | $23,009 | $37,113 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.07% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.05% | 2.04% | 2.05% | 2.53% | 2.24% | 1.89% |
Portfolio Turnover Rate2 | 3% | 4% | 5% | 12% | 6% | 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.
21
500 Index Fund
Financial Highlights
Signal Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $95.65 | $95.68 | $84.81 | $68.64 | $111.64 | $107.86 |
Investment Operations | ||||||
Net Investment Income | 1.051 | 1.975 | 1.780 | 1.839 | 2.092 | 2.119 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 8.017 | (.030) | 10.813 | 16.151 | (42.952) | 3.794 |
Total from Investment Operations | 9.068 | 1.945 | 12.593 | 17.990 | (40.860) | 5.913 |
Distributions | ||||||
Dividends from Net Investment Income | (1.008) | (1.975) | (1.723) | (1.820) | (2.140) | (2.133) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.008) | (1.975) | (1.723) | (1.820) | (2.140) | (2.133) |
Net Asset Value, End of Period | $103.71 | $95.65 | $95.68 | $84.81 | $68.64 | $111.64 |
Total Return | 9.48% | 2.08% | 15.05% | 26.61% | -36.97% | 5.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $24,134 | $21,592 | $18,977 | $16,590 | $13,099 | $21,433 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.07% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.05% | 2.04% | 2.05% | 2.53% | 2.24% | 1.89% |
Portfolio Turnover Rate1 | 3% | 4% | 5% | 12% | 6% | 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.
22
500 Index Fund
Financial Highlights
ETF Shares
Six Months | Year | Sept. 7, | |
Ended | Ended | 20101 to | |
June 30, | Dec. 31, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $57.46 | $57.47 | $50.08 |
Investment Operations | |||
Net Investment Income | .631 | 1.186 | .363 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.814 | (.010) | 7.569 |
Total from Investment Operations | 5.445 | 1.176 | 7.932 |
Distributions | |||
Dividends from Net Investment Income | (.605) | (1.186) | (.542) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.605) | (1.186) | (.542) |
Net Asset Value, End of Period | $62.30 | $57.46 | $57.47 |
Total Return | 9.48% | 2.09% | 15.89% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $4,783 | $2,366 | $261 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.06%2 |
Ratio of Net Investment Income to Average Net Assets | 2.05% | 2.04% | 2.05%2 |
Portfolio Turnover Rate3 | 3% | 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.
23
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, 2008–2011), and for the period ended June 30, 2012, 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.
24
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, 2012, the fund had contributed capital of $16,251,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 6.50% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 110,769,041 | 22 | — |
Temporary Cash Investments | 634,577 | 38,497 | — |
Futures Contracts—Assets1 | 14,807 | — | — |
Total | 111,418,425 | 38,519 | — |
1 Represents variation margin on the last day of the reporting period. |
25
500 Index Fund
D. At June 30, 2012, 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 2012 | 1,643 | 557,141 | 16,233 |
E-mini S&P 500 Index | September 2012 | 825 | 55,952 | 903 |
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, 2012, the fund realized $1,368,998,000 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, 2011, the fund had available capital loss carryforwards totaling $3,501,324,000 to offset future net capital gains. Of this amount $2,057,911,000 is subject to expiration dates; $293,941,000 may be used to offset future net capital gains through December 31, 2014, and $1,763,970,000 through December 31, 2016. Capital losses of $1,443,413,000 realized beginning in fiscal 2011 may be carried forward indefinitely but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable gains, if any, realized during the year ending December 2012; should the fund realized net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $76,738,688,000. Net unrealized appreciation of investment securities for tax purposes was $34,703,449,000, consisting of unrealized gains of $44,448,298,000 on securities that had risen in value since their purchase and $9,744,849,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2012, the fund purchased $4,434,419,000 of investment securities and sold $3,717,088,000 of investment securities, other than temporary cash investments.
26
500 Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 1,969,539 | 15,808 | 4,337,212 | 36,996 |
Issued in Lieu of Cash Distributions | 234,021 | 1,862 | 535,654 | 4,690 |
Redeemed | (4,158,907) | (33,448) | (10,906,272) | (92,902) |
Net Increase (Decrease)—Investor Shares | (1,955,347) | (15,778) | (6,033,406) | (51,216) |
Admiral Shares | ||||
Issued | 2,213,328 | 17,776 | 5,212,677 | 44,787 |
Issued in Lieu of Cash Distributions | 495,744 | 3,947 | 967,995 | 8,483 |
Redeemed | (2,745,400) | (22,050) | (5,723,822) | (48,940) |
Net Increase (Decrease)—Admiral Shares | (36,328) | (327) | 456,850 | 4,330 |
Signal Shares | ||||
Issued | 3,906,019 | 37,932 | 8,023,642 | 82,491 |
Issued in Lieu of Cash Distributions | 208,819 | 2,013 | 393,984 | 4,184 |
Redeemed | (3,398,693) | (32,973) | (5,717,981) | (59,284) |
Net Increase (Decrease)—Signal Shares | 716,145 | 6,972 | 2,699,645 | 27,391 |
ETF Shares | ||||
Issued | 2,433,381 | 38,998 | 2,492,605 | 43,323 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (210,541) | (3,400) | (364,032) | (6,700) |
Net Increase (Decrease)—ETF Shares | 2,222,840 | 35,598 | 2,128,573 | 36,623 |
H. In preparing the financial statements as of June 30, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
27
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
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.
28
Six Months Ended June 30, 2012
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
500 Index Fund | 12/31/2011 | 6/30/2012 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,094.09 | $0.89 |
Admiral Shares | 1,000.00 | 1,094.75 | 0.26 |
Signal Shares | 1,000.00 | 1,094.83 | 0.26 |
ETF Shares | 1,000.00 | 1,094.81 | 0.26 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,024.02 | $0.86 |
Admiral Shares | 1,000.00 | 1,024.61 | 0.25 |
Signal Shares | 1,000.00 | 1,024.61 | 0.25 |
ETF Shares | 1,000.00 | 1,024.61 | 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.
29
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 Equity Investment 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 Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted 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.
30
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
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. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
31
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.
32
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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 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | |
and Delphi Automotive LLP (automotive components); | |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Director of SKF AB |
and President (2006–2008) of Rohm Haas Co. | (industrial machinery), Hillenbrand, Inc. (specialized |
(chemicals); Director of Tyco International, Ltd. | consumer services), the Lumina Foundation for |
(diversified manufacturing and services), Hewlett- | |
Packard Co. (electronic computer manufacturing), | |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | ||
Industries, Inc. (forklift trucks/housewares/lignite); | Mortimer J. Buckley | Michael S. Miller |
Director of Goodrich Corporation (industrial products/ | Kathleen C. Gubanich | James M. Norris |
aircraft systems and services) and the National | Paul A. Heller | Glenn W. Reed |
Association of Manufacturers; Chairman of the Board | Martha G. King | George U. Sauter |
of the Federal Reserve Bank of Cleveland and of | Chris D. McIsaac | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | ||
Overseer of the Amos Tuck School of Business | Founder | |
Administration at Dartmouth College; Advisor to the | ||
Norris Cotton Cancer Center. | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
![]() | |
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 |
Standard & Poor’s Financial Services LLC (”S&P”) and | |
Institutional Investor Services > 800-523-1036 | have been licensed for use by The Vanguard Group, Inc. |
Text Telephone for People | The Vanguard ETFs are not sponsored, endorsed, sold, |
With Hearing Impairment > 800-749-7273 | 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. | |
© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q402 082012 |
![]() |
Semiannual Report | June 30, 2012 |
Vanguard U.S. Stock Index Funds |
Small-Capitalization Portfolios |
Vanguard Small-Cap Index Fund |
Vanguard Small-Cap Growth Index Fund |
Vanguard Small-Cap Value Index Fund |
> For the six months ended June 30, 2012, Vanguard Small-Cap Index Funds delivered solid returns, rebounding from a weak 2011.
> Growth stocks outperformed their value-oriented counterparts.
> All three funds succeeded in capturing the returns of their benchmark indexes. Their results were also ahead of the average returns of their peer groups.
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. | 45 |
About Your Fund’s Expenses. | 62 |
Trustees Approve Advisory Arrangement. | 65 |
Glossary. | 66 |
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_scx2x1.jpg)
Small-Cap Index Fund |
Small-Cap Growth Index Fund |
Small-Cap Value Index Fund |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose
performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we
strive to help clients reach their financial goals.
Your Fund’s Total Returns
Six Months Ended June 30, 2012
Total | |
Returns | |
Vanguard Small-Cap Index Fund | |
Investor Shares | 8.98% |
Admiral™ Shares | 9.07 |
Signal® Shares | 9.07 |
Institutional Shares | 9.07 |
Institutional Plus Shares | 9.08 |
ETF Shares | |
Market Price | 9.06 |
Net Asset Value | 9.05 |
MSCI US Small Cap 1750 Index | 9.06 |
Small-Cap Core Funds Average | 6.29 |
Small-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Small-Cap Growth Index Fund | |
Investor Shares | 9.45% |
Admiral Shares | 9.50 |
Institutional Shares | 9.48 |
ETF Shares | |
Market Price | 9.44 |
Net Asset Value | 9.49 |
MSCI US Small Cap Growth Index | 9.46 |
Small-Cap Growth Funds Average | 8.16 |
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; 7,720,749; 7,925,573; 8,090,646.
1
Your Fund’s Total Returns
Six Months Ended June 30, 2012
Total | |
Returns | |
Vanguard Small-Cap Value Index Fund | |
Investor Shares | 8.56% |
Admiral Shares | 8.62 |
Institutional Shares | 8.61 |
ETF Shares | |
Market Price | 8.60 |
Net Asset Value | 8.65 |
MSCI US Small Cap Value Index | 8.64 |
Small-Cap Value Funds Average | 6.64 |
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; 7,720,749; 7,925,573; 8,090,646.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
2
Your Fund’s Performance at a Glance
December 31, 2011, Through June 30, 2012
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Small-Cap Index Fund | ||||
Investor Shares | $33.38 | $36.37 | $0.008 | $0.000 |
Admiral Shares | 33.39 | 36.41 | 0.008 | 0.000 |
Signal Shares | 30.08 | 32.80 | 0.008 | 0.000 |
Institutional Shares | 33.39 | 36.41 | 0.009 | 0.000 |
Institutional Plus Shares | 96.37 | 105.10 | 0.025 | 0.000 |
ETF Shares | 69.70 | 75.99 | 0.019 | 0.000 |
Vanguard Small-Cap Growth Index Fund | ||||
Investor Shares | $21.49 | $23.52 | $0.001 | $0.000 |
Admiral Shares | 26.88 | 29.43 | 0.003 | 0.000 |
Institutional Shares | 21.53 | 23.57 | 0.002 | 0.000 |
ETF Shares | 76.45 | 83.70 | 0.006 | 0.000 |
Vanguard Small-Cap Value Index Fund | ||||
Investor Shares | $15.04 | $16.32 | $0.007 | $0.000 |
Admiral Shares | 26.96 | 29.27 | 0.014 | 0.000 |
Institutional Shares | 15.07 | 16.36 | 0.007 | 0.000 |
ETF Shares | 62.73 | 68.13 | 0.029 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
After a disappointing performance in 2011, small-capitalization stocks rebounded smartly in the first half of 2012. Among the three small-cap funds, Vanguard Small-Cap Growth Index Fund was the leader, returning about 9.5% for the six months ended June 30; Vanguard Small-Cap Value Index Fund was the laggard, returning about 8.6%. The return of Vanguard Small-Cap Index Fund, a blend of growth and value stocks, fell in the middle of that range.
The returns of all three funds closely tracked those of their respective benchmark indexes and exceeded the average returns of their peer groups.
On a separate note, I want to call your attention to an announcement we made on June 22: George U. “Gus” Sauter, managing director and Vanguard’s chief investment officer, plans to retire at the end of 2012. It’s hard to overstate the contributions Gus has made to Vanguard in his 25-year career. He honed the strategy and built the team that have helped make Vanguard a world leader in indexing, and he developed our active quantitative equity strategies.
We’re fortunate that Mortimer J. “Tim” Buckley, managing director, will succeed Gus. Tim has been a member of Vanguard’s senior staff since 2001 and has directed Vanguard’s Retail Investor Group since 2006. I’ll have more to say about Gus’s retirement at the end of the year.
4
Eurozone woes continued to cast a shadow on stock markets globally
U.S. stocks were the standout performers for the six months ended June 30, returning about 9%. Domestic equities seemed to benefit from the perception that they offered some shelter from the storms roiling European markets. International stocks didn’t fare as well, returning about 3%. European stocks were the weakest performers. Returns for emerging markets and for the developed markets of the Pacific region were restrained by signs of slowing growth.
Throughout the period, investors were preoccupied with Europe’s debt troubles, and global stock markets moved sharply up and down depending on whether the latest news from the region was positive or negative. Vanguard economists anticipate that Europe will remain a trouble spot. The most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Investors’ appetite for Treasuries drove 10-year yield to a new low
Amid the turmoil in Europe, U.S. Treasury securities continued to benefit from a “flight to quality.” Investor demand nudged bond prices higher, and in early June, the yield of the 10-year U.S. Treasury note slipped below 1.5% for the first time. (Bond yields and prices move in opposite directions.) It’s worth remembering that low yields imply lower future returns: As yields tumble, the scope for further declines—and price increases—diminishes.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 9.38% | 4.37% | 0.39% |
Russell 2000 Index (Small-caps) | 8.53 | -2.08 | 0.54 |
Dow Jones U.S. Total Stock Market Index | 9.45 | 3.78 | 0.63 |
MSCI All Country World Index ex USA (International) | 2.77 | -14.57 | -4.62 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 2.37% | 7.47% | 6.79% |
Barclays Municipal Bond Index (Broad tax-exempt | |||
market) | 3.66 | 9.90 | 5.95 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.87 |
CPI | |||
Consumer Price Index | 1.69% | 1.66% | 1.95% |
5
The broad U.S. taxable bond market posted a return of about 2% for the half-year. Municipal bonds remained a bright spot, delivering a return of more than 3%.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%. That policy has kept a tight lid on the returns from money market funds and savings accounts.
Health care, consumer discretionary powered the period’s returns
As investors regained some appetite for risk in the first few months of 2012, small-cap stocks rallied, producing a liftoff that carried them to solid returns for the full six months. In each of the Vanguard Small-Cap Index Funds, at least eight of the ten sectors generated positive returns.
Health care stocks produced double-digit gains for all three funds, emerging as the single biggest contributor to performance in Vanguard Small-Cap Growth Index Fund. Biotechnology stocks were notable in their outsized returns as large pharmaceutical companies continued to hunt for acquisitions to buttress their weak new product pipelines. Vanguard Small-Cap Value Index Fund benefited less from the strong performance of health care stocks because of its relatively small weighting in the sector.
Expense Ratios
Your Fund Compared With Its Peer Group
Peer | |||||||
Investor | Admiral | Signal Institutional | Institutional | Institutional | ETF | Group | |
Shares | Shares | Shares | Shares | Plus Shares | Shares | Average | |
Small-Cap Index Fund | 0.30% | 0.16% | 0.16% | 0.14% | 0.12% | 0.16% | 1.37% |
Small-Cap Growth Index Fund | 0.24 | 0.10 | — | 0.08 | — | 0.10 | 1.51 |
Small-Cap Value Index Fund | 0.35 | 0.21 | — | 0.19 | — | 0.21 | 1.45 |
The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the funds’ annualized expense ratios were: for the Small-Cap 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, and 0.10% for ETF Shares; for the Small-Cap Growth Index Fund, 0.24% for Investor Shares, 0.10% for Admiral 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, 0.10% for Admiral 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 2011.
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
Consumer discretionary companies also posted strong gains across the three funds as they benefited from the slow but steady growth in consumer spending following the pullback triggered by the deep recession. The performance of small-cap consumer discretionary stocks was further boosted by these firms’ tendency to be domestically focused, which insulated them a bit from the challenges facing the European economies.
Financials were another bright spot for the Small-Cap Index Fund and particularly for the Small-Cap Value Index Fund, which had the most significant exposure to these stocks. The Small-Cap Growth Index Fund’s lower weighting in financials meant that the fund benefited less from the sector’s robust returns.
Real estate investment trusts (REITs) were among the big gainers for the period. REITs have benefited from improved fundamentals, including strong leasing markets for malls and apartments. In addition, REIT dividend yields have attracted keen interest from investors hungry for alternatives to low-yielding fixed income investments.
A note of caution: REITs’ relatively high yields are as much a function of regulation as dividend-paying power. Tax laws require REITs to pay out 90% of their earnings. In a traditional operating company, by contrast, the dividend policy is at management’s discretion. A REIT’s payout may also include capital gains or a return of capital, a determination made by each REIT at the end of its fiscal year.
Among the weak spots were energy stocks, which posted negative returns in all three funds as uncertainty about the pace of global economic growth raised questions about the outlook for energy demand. Utilities were a drag on the performance of the Small-Cap Index Fund and Small-Cap Growth Index Fund while the Small-Cap Value Index Fund’s holdings in telecommunications stocks produced negative returns.
The performance of all three Vanguard Small-Cap Index Funds mirrored the returns of their respective benchmarks. That record is a testament to the portfolio management skills of Vanguard Equity Investment Group, whose seasoned professionals have delivered index-tracking performance regardless of the market environment.
The good news: Investors are smart, and they’re getting smarter
In recent years, I’ve often written in this space about the challenges facing investors, from the 2008–2009 financial crisis to the more recent market volatility caused by Europe’s debt troubles. Bad news inevitably seems to grab attention, and it’s our responsibility to speak to you candidly about these difficulties and to offer Vanguard’s perspective.
In the interest of presenting a full picture, I think it’s also our responsibility to point out positive developments that may have been overlooked. On that score, I’ve been especially heartened to see individual investors become more discerning over time, particularly about costs. As I said
7
in a recent address to financial advisors: Individual investors are smart and getting smarter. And that’s a good thing. Increasingly, they are bringing a healthy consumer mentality to their investment portfolios. They want to know what they are buying and how much they are paying for it.
Vanguard research confirms that over the past decade investors have displayed a growing cost consciousness, directing a larger share of their money to low-cost investments. You can read the full report—Costs Matter: Are Fund Investors Voting With Their Feet?—at vanguard.com/ research.
In our view, investors serve their interests by focusing on costs. The math is simple: The less you pay for an investment, the more of its returns you keep. And cost savings can compound over the long term, potentially helping to build greater wealth.
So if you’re feeling buffeted by the latest headlines, it can be constructive to direct your attention to one of the things you can control: your investment costs. We continue to believe that holding a balanced and diversified, low-cost portfolio can give investors a greater chance of reaching their long-term financial goals. The Vanguard Small-Cap Index Funds can be an important ally in your effort to keep investment costs low.
Thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_scx10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 18, 2012
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 relevant tally of the operating costs incurred by shareholders.
8
Small-Cap Index Fund
Fund Profile
As of June 30, 2012
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 | 0.30% | 0.16% | 0.16% | 0.14% | 0.12% | 0.16% |
30-Day SEC Yield | 1.22% | 1.36% | 1.36% | 1.38% | 1.40% | 1.36% |
Portfolio Characteristics | |||
DJ | |||
MSCI US | U.S. Total | ||
Small Cap | Market | ||
Fund 1750 Index | Index | ||
Number of Stocks | 1,745 | 1,737 | 3,694 |
Median Market Cap | $1.6B | $1.6B | $33.1B |
Price/Earnings Ratio | 22.3x | 22.3x | 16.1x |
Price/Book Ratio | 1.8x | 1.8x | 2.1x |
Return on Equity | 9.0% | 9.0% | 18.1% |
Earnings Growth Rate | 4.6% | 4.6% | 9.4% |
Dividend Yield | 1.4% | 1.4% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 13% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | ||
DJ | ||
MSCI US | U.S. Total | |
Small Cap | Market | |
1750 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) | ||
BioMarin Pharmaceutical | ||
Inc. | Biotechnology | 0.3% |
Royal Gold Inc. | Gold | 0.3 |
Ariba Inc. | Systems Software | 0.3 |
Onyx Pharmaceuticals | ||
Inc. | Biotechnology | 0.3 |
Catalyst Health Solutions | Health Care | |
Inc. | Services | 0.3 |
Apartment Investment & | ||
Management Co. Class | ||
A | Residential REITs | 0.2 |
tw telecom inc Class A | Alternative Carriers | 0.2 |
Cooper Cos. Inc. | Health Care | |
Supplies | 0.2 | |
Westar Energy Inc. | Electric | 0.2 |
BRE Properties Inc. | Residential REITs | 0.2 |
Top Ten | 2.5% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, 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, and 0.10% 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 12.9% | 13.0% | 11.9% | |
Consumer Staples | 3.2 | 3.2 | 9.8 |
Energy | 5.2 | 5.2 | 10.0 |
Financials | 22.3 | 22.2 | 15.9 |
Health Care | 13.8 | 13.8 | 12.0 |
Industrials | 16.2 | 16.2 | 10.8 |
Information Technology 16.3 | 16.3 | 19.1 | |
Materials | 5.6 | 5.6 | 3.9 |
Telecommunication | |||
Services | 0.8 | 0.8 | 2.9 |
Utilities | 3.7 | 3.7 | 3.7 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_scx12x1.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, 2001, Through June 30, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_scx13x1.jpg)
Small-Cap Index Fund Investor Shares |
Spliced Small-Cap Index |
Spliced Small-Cap Index: Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index thereafter.
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 10/3/1960 | -1.51% | 1.75% | 7.97% |
Admiral Shares | 11/13/2000 | -1.36 | 1.88 | 8.10 |
Signal Shares | 12/15/2006 | -1.38 | 1.88 | 3.181 |
Institutional Shares | 7/7/1997 | -1.34 | 1.93 | 8.16 |
Institutional Plus Shares | 12/17/2010 | -1.33 | — | 4.551 |
ETF Shares | 1/26/2004 | |||
Market Price | -1.38 | 1.88 | 6.281 | |
Net Asset Value | -1.38 | 1.89 | 6.281 | |
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, 2012
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 | |||
Jarden Corp. | 1,211,365 | 50,902 | 0.2% |
* Penn National Gaming Inc. | 1,043,723 | 46,540 | 0.2% |
Consumer Discretionary—Other † | 3,172,827 | 12.4% | |
3,270,269 | 12.8% | ||
Consumer Staples | |||
* Dean Foods Co. | 2,971,719 | 50,608 | 0.2% |
Consumer Staples—Other † | 770,002 | 3.0% | |
820,610 | 3.2% | ||
Energy | |||
* Oil States International Inc. | 830,967 | 55,010 | 0.2% |
Energy—Other † | 1,256,406 | 5.0% | |
1,311,416 | 5.2% | ||
Financials | |||
Apartment Investment & Management Co. Class A | 2,322,736 | 62,784 | 0.3% |
BRE Properties Inc. | 1,213,138 | 60,681 | 0.2% |
East West Bancorp Inc. | 2,394,986 | 56,186 | 0.2% |
* American Capital Ltd. | 5,421,813 | 54,598 | 0.2% |
American Campus Communities Inc. | 1,201,069 | 54,024 | 0.2% |
Kilroy Realty Corp. | 1,101,020 | 53,300 | 0.2% |
Douglas Emmett Inc. | 2,136,268 | 49,348 | 0.2% |
Home Properties Inc. | 779,177 | 47,810 | 0.2% |
Extra Space Storage Inc. | 1,561,616 | 47,785 | 0.2% |
Allied World Assurance Co. Holdings AG | 593,359 | 47,154 | 0.2% |
National Retail Properties Inc. | 1,665,636 | 47,121 | 0.2% |
Tanger Factory Outlet Centers | 1,462,334 | 46,868 | 0.2% |
BioMed Realty Trust Inc. | 2,484,280 | 46,406 | 0.2% |
Financials—Other † | 4,951,740 | 19.4% | |
5,625,805 | 22.1% |
12
Small-Cap Index Fund
Market | Percentage | |||
Value | of Net | |||
Shares | ($000) | Assets | ||
Health Care | ||||
* | BioMarin Pharmaceutical Inc. | 1,967,485 | 77,873 | 0.3% |
* | Onyx Pharmaceuticals Inc. | 1,032,134 | 68,585 | 0.3% |
* | Catalyst Health Solutions Inc. | 688,343 | 64,319 | 0.2% |
Cooper Cos. Inc. | 762,885 | 60,848 | 0.2% | |
*,^ | Questcor Pharmaceuticals Inc. | 1,023,529 | 54,493 | 0.2% |
* | MEDNAX Inc. | 790,918 | 54,210 | 0.2% |
* | Salix Pharmaceuticals Ltd. | 957,280 | 52,114 | 0.2% |
* | AMERIGROUP Corp. | 775,143 | 51,090 | 0.2% |
* | Medivation Inc. | 550,737 | 50,337 | 0.2% |
* | Pharmacyclics Inc. | 886,411 | 48,407 | 0.2% |
Lincare Holdings Inc. | 1,390,475 | 47,304 | 0.2% | |
PerkinElmer Inc. | 1,827,778 | 47,157 | 0.2% | |
* | Cepheid Inc. | 1,049,083 | 46,946 | 0.2% |
* | HMS Holdings Corp. | 1,377,761 | 45,893 | 0.2% |
Health Care—Other † | 2,717,655 | 10.7% | ||
3,487,231 | 13.7% | |||
Industrials | ||||
Wabtec Corp. | 773,621 | 60,350 | 0.3% | |
Lincoln Electric Holdings Inc. | 1,281,739 | 56,127 | 0.2% | |
Carlisle Cos. Inc. | 994,538 | 52,730 | 0.2% | |
* | Fortune Brands Home & Security Inc. | 2,286,647 | 50,924 | 0.2% |
Corrections Corp. of America | 1,602,898 | 47,205 | 0.2% | |
Valmont Industries Inc. | 383,807 | 46,429 | 0.2% | |
Industrials—Other † | 3,775,276 | 14.8% | ||
4,089,041 | 16.1% | |||
Information Technology | ||||
* | Ariba Inc. | 1,602,972 | 71,749 | 0.3% |
* | NCR Corp. | 2,547,529 | 57,905 | 0.2% |
* | Concur Technologies Inc. | 746,530 | 50,839 | 0.2% |
* | Cadence Design Systems Inc. | 4,413,252 | 48,502 | 0.2% |
Information Technology—Other † | 3,901,157 | 15.3% | ||
4,130,152 | 16.2% | |||
Materials | ||||
Royal Gold Inc. | 947,445 | 74,280 | 0.3% | |
RPM International Inc. | 2,113,709 | 57,493 | 0.2% | |
Solutia Inc. | 1,971,898 | 55,312 | 0.2% | |
Rockwood Holdings Inc. | 1,123,128 | 49,811 | 0.2% | |
Materials—Other † | 1,183,883 | 4.7% | ||
1,420,779 | 5.6% | |||
Telecommunication Services | ||||
* | tw telecom inc Class A | 2,416,383 | 62,004 | 0.2% |
Telecommunication Services—Other † | 139,318 | 0.6% | ||
201,322 | 0.8% | |||
Utilities | ||||
Westar Energy Inc. | 2,030,262 | 60,806 | 0.2% | |
Questar Corp. | 2,866,208 | 59,789 | 0.2% | |
Atmos Energy Corp. | 1,453,305 | 50,967 | 0.2% | |
Great Plains Energy Inc. | 2,191,563 | 46,921 | 0.2% | |
Utilities—Other † | 707,962 | 2.8% | ||
926,445 | 3.6% | |||
Total Common Stocks (Cost $24,155,727) | 25,283,070 | 99.3%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 | 0.148% | 601,929,002 | 601,929 | 2.3% |
4U.S. Government and Agency Obligations † | 14,099 | 0.1% | ||
Total Temporary Cash Investments (Cost $616,028) | 616,028 | 2.4%1 | ||
Total Investments (Cost $24,771,755) | 25,899,098 | 101.7% | ||
Other Assets and Liabilities | ||||
Other Assets | 102,564 | 0.4% | ||
Liabilities3 | (533,469) | (2.1%) | ||
(430,905) | (1.7%) | |||
Net Assets | 25,468,193 | 100.0% | ||
At June 30, 2012, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 25,284,509 | |||
Undistributed Net Investment Income | 136,814 | |||
Accumulated Net Realized Losses | (1,090,155) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 1,127,343 | |||
Futures Contracts | 9,682 | |||
Net Assets | 25,468,193 | |||
Investor Shares—Net Assets | ||||
Applicable to 108,818,747 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 3,957,358 | |||
Net Asset Value Per Share—Investor Shares | $36.37 | |||
Admiral Shares—Net Assets | ||||
Applicable to 164,403,045 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 5,985,859 | |||
Net Asset Value Per Share—Admiral Shares | $36.41 | |||
Signal Shares—Net Assets | ||||
Applicable to 112,324,409 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 3,684,510 | |||
Net Asset Value Per Share—Signal Shares | $32.80 |
14
Small-Cap Index Fund
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 154,873,661 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,638,667 |
Net Asset Value Per Share—Institutional Shares | $36.41 |
Institutional Plus Shares—Net Assets | |
Applicable to 19,331,502 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,031,802 |
Net Asset Value Per Share—Institutional Plus Shares | $105.10 |
ETF Shares—Net Assets | |
Applicable to 54,874,007 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,169,997 |
Net Asset Value Per Share—ETF Shares | $75.99 |
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 $415,906,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 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 $433,674,000 of collateral received for securities on loan.
4 Securities with a value of $14,099,000 have been segregated as initial margin for open futures contracts.
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, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 167,275 |
Interest1 | 115 |
Security Lending | 15,518 |
Total Income | 182,908 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 842 |
Management and Administrative—Investor Shares | 3,944 |
Management and Administrative—Admiral Shares | 2,134 |
Management and Administrative—Signal Shares | 1,060 |
Management and Administrative—Institutional Shares | 1,055 |
Management and Administrative—Institutional Plus Shares | 313 |
Management and Administrative—ETF Shares | 1,184 |
Marketing and Distribution—Investor Shares | 654 |
Marketing and Distribution—Admiral Shares | 522 |
Marketing and Distribution—Signal Shares | 528 |
Marketing and Distribution—Institutional Shares | 822 |
Marketing and Distribution—Institutional Plus Shares | 198 |
Marketing and Distribution—ETF Shares | 637 |
Custodian Fees | 262 |
Shareholders’ Reports—Investor Shares | 95 |
Shareholders’ Reports—Admiral Shares | 43 |
Shareholders’ Reports—Signal Shares | 25 |
Shareholders’ Reports—Institutional Shares | 46 |
Shareholders’ Reports—Institutional Plus Shares | 6 |
Shareholders’ Reports—ETF Shares | 58 |
Trustees’ Fees and Expenses | 12 |
Total Expenses | 14,440 |
Net Investment Income | 168,468 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 558,697 |
Futures Contracts | (5,524) |
Realized Net Gain (Loss) | 553,173 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,330,056 |
Futures Contracts | 8,552 |
Change in Unrealized Appreciation (Depreciation) | 1,338,608 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,060,249 |
1 Interest income from an affiliated company of the fund was $109,000.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Small-Cap Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 168,468 | 310,855 |
Realized Net Gain (Loss) | 553,173 | 3,587,345 |
Change in Unrealized Appreciation (Depreciation) | 1,338,608 | (4,521,752) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,060,249 | (623,552) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (912) | (46,565) |
Admiral Shares | (1,319) | (74,629) |
Signal Shares | (870) | (42,148) |
Institutional Shares | (1,350) | (66,542) |
Institutional Plus Shares | (482) | (27,129) |
ETF Shares | (1,046) | (50,321) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (5,979) | (307,334) |
Capital Share Transactions | ||
Investor Shares | (317,680) | (1,211,610) |
Admiral Shares | (37,675) | 187,981 |
Signal Shares | 334,331 | 932,295 |
Institutional Shares | 301,937 | (608,115) |
Institutional Plus Shares | 25,829 | 1,583,718 |
ETF Shares | 165,467 | (1,030,372) |
Net Increase (Decrease) from Capital Share Transactions | 472,209 | (146,103) |
Total Increase (Decrease) | 2,526,479 | (1,076,989) |
Net Assets | ||
Beginning of Period | 22,941,714 | 24,018,703 |
End of Period1 | 25,468,193 | 22,941,714 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $136,814,000 and ($25,675,000). |
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $33.38 | $34.75 | $27.49 | $20.40 | $32.58 | $32.62 |
Investment Operations | ||||||
Net Investment Income | .217 | .402 | .355 | .272 | .398 | .413 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.781 | (1.375) | 7.266 | 7.094 | (12.174) | (.041) |
Total from Investment Operations | 2.998 | (.973) | 7.621 | 7.366 | (11.776) | .372 |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (.397) | (.361) | (.276) | (.404) | (.412) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.008) | (.397) | (.361) | (.276) | (.404) | (.412) |
Net Asset Value, End of Period | $36.37 | $33.38 | $34.75 | $27.49 | $20.40 | $32.58 |
Total Return1 | 8.98% | -2.80% | 27.72% | 36.12% | -36.07% | 1.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,957 | $3,925 | $5,270 | $5,913 | $4,050 | $6,214 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.26% | 0.28% | 0.23% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.17% | 1.15% | 1.24% | 1.30% | 1.49% | 1.23% |
Portfolio Turnover Rate2 | 13% | 17% | 12% | 14% | 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.
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $33.39 | $34.78 | $27.50 | $20.40 | $32.59 | $32.64 |
Investment Operations | ||||||
Net Investment Income | .244 | .461 | .384 | .303 | .426 | .440 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.784 | (1.395) | 7.286 | 7.105 | (12.185) | (.040) |
Total from Investment Operations | 3.028 | (.934) | 7.670 | 7.408 | (11.759) | .400 |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (.456) | (.390) | (.308) | (.431) | (.450) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.008) | (.456) | (.390) | (.308) | (.431) | (.450) |
Net Asset Value, End of Period | $36.41 | $33.39 | $34.78 | $27.50 | $20.40 | $32.59 |
Total Return1 | 9.07% | -2.69% | 27.89% | 36.33% | -36.00% | 1.24% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,986 | $5,525 | $5,554 | $1,992 | $1,444 | $2,325 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.12% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.31% | 1.29% | 1.38% | 1.44% | 1.60% | 1.34% |
Portfolio Turnover Rate2 | 13% | 17% | 12% | 14% | 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.
19
Small-Cap Index Fund
Financial Highlights
Signal Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $30.08 | $31.33 | $24.79 | $18.39 | $29.38 | $29.42 |
Investment Operations | ||||||
Net Investment Income | .220 | .417 | .359 | .274 | .385 | .406 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.508 | (1.254) | 6.545 | 6.405 | (10.985) | (.042) |
Total from Investment Operations | 2.728 | (.837) | 6.904 | 6.679 | (10.600) | .364 |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (.413) | (.364) | (.279) | (.390) | (.404) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.008) | (.413) | (.364) | (.279) | (.390) | (.404) |
Net Asset Value, End of Period | $32.80 | $30.08 | $31.33 | $24.79 | $18.39 | $29.38 |
Total Return | 9.07% | -2.68% | 27.85% | 36.34% | -36.00% | 1.25% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,685 | $3,075 | $2,300 | $1,763 | $1,172 | $1,625 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.12% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.31% | 1.29% | 1.38% | 1.44% | 1.60% | 1.34% |
Portfolio Turnover Rate1 | 13% | 17% | 12% | 14% | 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
Small-Cap Index Fund
Financial Highlights
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $33.39 | $34.77 | $27.50 | $20.40 | $32.60 | $32.65 |
Investment Operations | ||||||
Net Investment Income | .248 | .467 | .410 | .316 | .441 | .457 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.781 | (1.385) | 7.276 | 7.106 | (12.196) | (.041) |
Total from Investment Operations | 3.029 | (.918) | 7.686 | 7.422 | (11.755) | .416 |
Distributions | ||||||
Dividends from Net Investment Income | (.009) | (.462) | (.416) | (.322) | (.445) | (.466) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.009) | (.462) | (.416) | (.322) | (.445) | (.466) |
Net Asset Value, End of Period | $36.41 | $33.39 | $34.77 | $27.50 | $20.40 | $32.60 |
Total Return | 9.07% | -2.65% | 27.95% | 36.40% | -35.98% | 1.29% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,639 | $4,894 | $5,711 | $4,162 | $2,545 | $3,585 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.33% | 1.31% | 1.42% | 1.50% | 1.65% | 1.38% |
Portfolio Turnover Rate1 | 13% | 17% | 12% | 14% | 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.
21
Small-Cap Index Fund
Financial Highlights
Institutional Plus Shares
Six Months | Year | Dec. 17, | |
Ended | Ended | 20101 to | |
June 30, | Dec. 31, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $96.37 | $100.38 | $100.73 |
Investment Operations | |||
Net Investment Income | .725 | 1.373 | .0642 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.030 | (4.023) | .767 |
Total from Investment Operations | 8.755 | (2.650) | .831 |
Distributions | |||
Dividends from Net Investment Income | (.025) | (1.360) | (1.181) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.025) | (1.360) | (1.181) |
Net Asset Value, End of Period | $105.10 | $96.37 | $100.38 |
Total Return | 9.08% | -2.65% | 0.82% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $2,032 | $1,840 | $341 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06%3 |
Ratio of Net Investment Income to Average Net Assets | 1.35% | 1.33% | 1.44%3 |
Portfolio Turnover Rate4 | 13% | 17% | 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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $69.70 | $72.58 | $57.41 | $42.60 | $68.07 | $68.16 |
Investment Operations | ||||||
Net Investment Income | .510 | .957 | .833 | .646 | .910 | .959 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.799 | (2.891) | 15.183 | 14.822 | (25.462) | (.093) |
Total from Investment Operations | 6.309 | (1.934) | 16.016 | 15.468 | (24.552) | .866 |
Distributions | ||||||
Dividends from Net Investment Income | (.019) | (.946) | (.846) | (.658) | (.918) | (.956) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.019) | (.946) | (.846) | (.658) | (.918) | (.956) |
Net Asset Value, End of Period | $75.99 | $69.70 | $72.58 | $57.41 | $42.60 | $68.07 |
Total Return | 9.05% | -2.68% | 27.89% | 36.31% | -35.99% | 1.27% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,170 | $3,683 | $4,843 | $3,460 | $1,224 | $1,121 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.31% | 1.29% | 1.38% | 1.44% | 1.62% | 1.35% |
Portfolio Turnover Rate1 | 13% | 17% | 12% | 14% | 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.
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, 2008–2011), and for the period ended June 30, 2012, 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.
24
Small-Cap Index Fund
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents 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, 2012, the fund had contributed capital of $3,690,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.48% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 25,282,531 | 256 | 283 |
Temporary Cash Investments | 601,929 | 14,099 | — |
Futures Contracts—Assets1 | 5,844 | — | — |
Futures Contracts—Liabilities1 | (294) | — | — |
Total | 25,890,010 | 14,355 | 283 |
1 Represents variation margin on the last day of the reporting period. |
25
Small-Cap Index Fund
D. At June 30, 2012, 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 2012 | 2,230 | 177,374 | 9,682 |
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, 2012, the fund realized $416,382,000 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, 2011, the fund had available capital loss carryforwards totaling $1,225,242,000 to offset future net capital gains of $621,093,000 through December 31, 2017, and $604,149,000 through December 31, 2018. The fund will use these capital losses to offset net taxable gains, if any, realized during the year ending December 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $24,771,755,000. Net unrealized appreciation of investment securities for tax purposes was $1,127,343,000, consisting of unrealized gains of $4,299,561,000 on securities that had risen in value since their purchase and $3,172,218,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2012, the fund purchased $3,398,205,000 of investment securities and sold $2,852,787,000 of investment securities, other than temporary cash investments.
26
Small-Cap Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 367,726 | 10,231 | 1,154,504 | 33,129 |
Issued in Lieu of Cash Distributions | 882 | 23 | 45,183 | 1,348 |
Redeemed | (686,288) | (19,027) | (2,411,297) | (68,538) |
Net Increase (Decrease)—Investor Shares | (317,680) | (8,773) | (1,211,610) | (34,061) |
Admiral Shares | ||||
Issued | 319,140 | 8,806 | 934,912 | 27,156 |
Issued in Lieu of Cash Distributions | 1,202 | 32 | 67,703 | 2,019 |
Redeemed | (358,017) | (9,906) | (814,634) | (23,394) |
Net Increase (Decrease)—Admiral Shares | (37,675) | (1,068) | 187,981 | 5,781 |
Signal Shares | ||||
Issued | 767,859 | 23,513 | 1,823,091 | 57,364 |
Issued in Lieu of Cash Distributions | 774 | 23 | 37,658 | 1,247 |
Redeemed | (434,302) | (13,430) | (928,454) | (29,782) |
Net Increase (Decrease)—Signal Shares | 334,331 | 10,106 | 932,295 | 28,829 |
Institutional Shares | ||||
Issued | 789,697 | 21,928 | 2,006,468 | 57,272 |
Issued in Lieu of Cash Distributions | 1,221 | 32 | 60,213 | 1,796 |
Redeemed | (488,981) | (13,667) | (2,674,796) | (76,740) |
Net Increase (Decrease)—Institutional Shares | 301,937 | 8,293 | (608,115) | (17,672) |
Institutional Plus Shares | ||||
Issued | 256,943 | 2,464 | 2,208,446 | 22,155 |
Issued in Lieu of Cash Distributions | 482 | 4 | 27,130 | 280 |
Redeemed | (231,596) | (2,224) | (651,858) | (6,748) |
Net Increase (Decrease)—Institutional Plus Shares | 25,829 | 244 | 1,583,718 | 15,687 |
ETF Shares | ||||
Issued | 1,410,018 | 19,029 | 3,725,442 | 51,513 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,244,551) | (17,000) | (4,755,814) | (65,400) |
Net Increase (Decrease)—ETF Shares | 165,467 | 2,029 | (1,030,372) | (13,887) |
H. In preparing the financial statements as of June 30, 2012, 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, 2012
Share-Class Characteristics
Investor | Admiral | Institutional | ETF | |
Shares | Shares | Shares | Shares | |
Ticker Symbol | VISGX | VSGAX | VSGIX | VBK |
Expense Ratio1 | 0.24% | 0.10% | 0.08% | 0.10% |
30-Day SEC Yield | 0.17% | 0.31% | 0.33% | 0.31% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Small Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 938 | 933 | 3,694 |
Median Market Cap | $1.8B | $1.8B | $33.1B |
Price/Earnings Ratio | 27.4x | 27.4x | 16.1x |
Price/Book Ratio | 2.9x | 2.8x | 2.1x |
Return on Equity | 10.6% | 10.6% | 18.1% |
Earnings Growth Rate | 9.6% | 9.6% | 9.4% |
Dividend Yield | 0.4% | 0.4% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 34% | — | — |
Short-Term Reserves | 0.2% | — | — |
Volatility Measures | ||
MSCI US | DJ | |
Small Cap | U.S. Total | |
Growth | Market | |
Index | Index | |
R-Squared | 1.00 | 0.92 |
Beta | 1.00 | 1.27 |
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) | ||
BioMarin Pharmaceutical | ||
Inc. | Biotechnology | 0.6% |
Royal Gold Inc. | Gold | 0.6 |
Ariba Inc. | Systems Software | 0.6 |
Onyx Pharmaceuticals | ||
Inc. | Biotechnology | 0.5 |
Catalyst Health Solutions | Health Care | |
Inc. | Services | 0.5 |
tw telecom inc Class A | Alternative Carriers | 0.5 |
Cooper Cos. Inc. | Health Care | |
Supplies | 0.5 | |
Wabtec Corp. | Construction & | |
Farm Machinery & | ||
Heavy Trucks | 0.5 | |
Lincoln Electric Holdings | Industrial | |
Inc. | Machinery | 0.4 |
Solutia Inc. | Diversified | |
Chemicals | 0.4 | |
Top Ten | 5.1% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the annualized expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.
28
Small-Cap Growth Index Fund
Sector Diversification (% of equity exposure) | |||
MSCI US | DJ | ||
Small Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Consumer Discretionary 15.5% | 15.6% | 11.9% | |
Consumer Staples | 3.7 | 3.7 | 9.8 |
Energy | 6.4 | 6.4 | 10.0 |
Financials | 6.0 | 5.9 | 15.9 |
Health Care | 21.5 | 21.5 | 12.0 |
Industrials | 17.9 | 17.9 | 10.8 |
Information Technology 22.6 | 22.7 | 19.1 | |
Materials | 5.1 | 5.1 | 3.9 |
Telecommunication | |||
Services | 1.2 | 1.1 | 2.9 |
Utilities | 0.1 | 0.1 | 3.7 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_scx31x1.jpg)
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_scx31x2.jpg)
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, 2001, Through June 30, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_scx32x1.jpg)
Small-Cap Growth Index Fund Investor Shares |
Spliced Small-Cap Growth Index |
Spliced Small-Cap Growth Index: S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter.
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | -2.15% | 2.98% | 9.04% |
Admiral Shares | 9/27/2011 | — | — | 18.231 |
Institutional Shares | 5/24/2000 | -2.01 | 3.15 | 9.22 |
ETF Shares | 1/26/2004 | |||
Market Price | -2.05 | 3.09 | 6.611 | |
Net Asset Value | -2.04 | 3.11 | 6.621 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
30
Small-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2012
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 | ||||
* | Penn National Gaming Inc. | 732,883 | 32,679 | 0.4% |
GNC Holdings Inc. Class A | 784,197 | 30,741 | 0.4% | |
* | Big Lots Inc. | 741,434 | 30,243 | 0.3% |
* | Carter’s Inc. | 565,689 | 29,755 | 0.3% |
Consumer Discretionary—Other † | 1,251,584 | 14.1% | ||
1,375,002 | 15.5% | |||
Consumer Staples | ||||
* | Dean Foods Co. | 2,084,924 | 35,506 | 0.4% |
* | United Natural Foods Inc. | 551,038 | 30,230 | 0.4% |
Nu Skin Enterprises Inc. Class A | 642,588 | 30,137 | 0.3% | |
Consumer Staples—Other † | 232,229 | 2.6% | ||
328,102 | 3.7% | |||
Energy | ||||
* | Oil States International Inc. | 583,607 | 38,635 | 0.4% |
Energy—Other † | 525,986 | 5.9% | ||
564,621 | 6.3% | |||
Financials | ||||
Extra Space Storage Inc. | 1,095,636 | 33,526 | 0.4% | |
* | Signature Bank | 521,839 | 31,817 | 0.3% |
Financials—Other † | 462,086 | 5.2% | ||
527,429 | 5.9% | |||
Health Care | ||||
* | BioMarin Pharmaceutical Inc. | 1,380,846 | 54,654 | 0.6% |
* | Onyx Pharmaceuticals Inc. | 724,137 | 48,119 | 0.5% |
* | Catalyst Health Solutions Inc. | 482,883 | 45,121 | 0.5% |
Cooper Cos. Inc. | 535,277 | 42,694 | 0.5% | |
*,^ | Questcor Pharmaceuticals Inc. | 718,810 | 38,269 | 0.4% |
* | MEDNAX Inc. | 554,911 | 38,034 | 0.4% |
* | Salix Pharmaceuticals Ltd. | 671,597 | 36,562 | 0.4% |
* | AMERIGROUP Corp. | 543,837 | 35,844 | 0.4% |
31
Small-Cap Growth Index Fund
Market | Percentage | |||
Value | of Net | |||
Shares | ($000) | Assets | ||
* | Medivation Inc. | 386,676 | 35,342 | 0.4% |
* | Pharmacyclics Inc. | 622,116 | 33,974 | 0.4% |
* | Cepheid Inc. | 736,610 | 32,963 | 0.4% |
* | HMS Holdings Corp. | 967,276 | 32,220 | 0.4% |
* | athenahealth Inc. | 400,773 | 31,729 | 0.4% |
* | Vivus Inc. | 1,107,333 | 31,603 | 0.4% |
* | Ariad Pharmaceuticals Inc. | 1,796,136 | 30,911 | 0.3% |
* | Incyte Corp. Ltd. | 1,295,224 | 29,402 | 0.3% |
Techne Corp. | 395,856 | 29,372 | 0.3% | |
*,^ | Seattle Genetics Inc. | 1,117,796 | 28,381 | 0.3% |
Health Care—Other † | 1,252,511 | 14.1% | ||
1,907,705 | 21.4% | |||
Industrials | ||||
Wabtec Corp. | 542,797 | 42,344 | 0.5% | |
Lincoln Electric Holdings Inc. | 899,312 | 39,381 | 0.4% | |
* | Fortune Brands Home & Security Inc. | 1,605,747 | 35,760 | 0.4% |
Corrections Corp. of America | 1,124,961 | 33,130 | 0.4% | |
Nordson Corp. | 621,587 | 31,881 | 0.4% | |
Triumph Group Inc. | 563,149 | 31,688 | 0.4% | |
Graco Inc. | 676,399 | 31,168 | 0.4% | |
* | United Rentals Inc. | 899,268 | 30,611 | 0.3% |
* | Clean Harbors Inc. | 539,768 | 30,454 | 0.3% |
* | Hexcel Corp. | 1,123,270 | 28,969 | 0.3% |
Industrials—Other † | 1,254,633 | 14.1% | ||
1,590,019 | 17.9% | |||
Information Technology | ||||
* | Ariba Inc. | 1,124,635 | 50,339 | 0.6% |
* | Concur Technologies Inc. | 523,767 | 35,669 | 0.4% |
* | Cadence Design Systems Inc. | 3,096,339 | 34,029 | 0.4% |
Jack Henry & Associates Inc. | 931,645 | 32,160 | 0.4% | |
* | Teradyne Inc. | 2,107,238 | 29,628 | 0.3% |
National Instruments Corp. | 1,091,082 | 29,306 | 0.3% | |
* | JDS Uniphase Corp. | 2,642,925 | 29,072 | 0.3% |
MercadoLibre Inc. | 374,167 | 28,362 | 0.3% | |
Information Technology—Other † | 1,751,056 | 19.7% | ||
2,019,621 | 22.7% | |||
Materials | ||||
Royal Gold Inc. | 664,750 | 52,116 | 0.6% | |
Solutia Inc. | 1,383,515 | 38,808 | 0.4% | |
Rockwood Holdings Inc. | 788,731 | 34,980 | 0.4% | |
Materials—Other † | 330,642 | 3.7% | ||
456,546 | 5.1% | |||
Telecommunication Services | ||||
* | tw telecom inc Class A | 1,695,271 | 43,501 | 0.5% |
Telecommunication Services—Other † | 60,368 | 0.7% | ||
103,869 | 1.2% | |||
Utilities † | 5,214 | 0.1% | ||
Total Common Stocks (Cost $8,208,723) | 8,878,128 | 99.8%1 |
32
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 | 0.148% | 192,411,236 | 192,411 | 2.2% |
4U.S. Government and Agency Obligations † | 2,005 | 0.0% | ||
Total Temporary Cash Investments (Cost $194,416) | 194,416 | 2.2%1 | ||
Total Investments (Cost $8,403,139) | 9,072,544 | 102.0% | ||
Other Assets and Liabilities | ||||
Other Assets | 39,451 | 0.4% | ||
Liabilities3 | (215,696) | (2.4%) | ||
(176,245) | (2.0%) | |||
Net Assets | 8,896,299 | 100.0% | ||
At June 30, 2012, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 9,070,328 | |||
Undistributed Net Investment Income | 20,129 | |||
Accumulated Net Realized Losses | (864,266) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 669,405 | |||
Futures Contracts | 703 | |||
Net Assets | 8,896,299 | |||
Investor Shares—Net Assets | ||||
Applicable to 114,440,112 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,691,063 | |||
Net Asset Value Per Share—Investor Shares | $23.52 | |||
Admiral Shares—Net Assets | ||||
Applicable to 71,526,059 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,105,074 | |||
Net Asset Value Per Share—Admiral Shares | $29.43 |
33
Small-Cap Growth Index Fund
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 88,366,465 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,082,707 |
Net Asset Value Per Share—Institutional Shares | $23.57 |
ETF Shares—Net Assets | |
Applicable to 24,103,416 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,017,455 |
Net Asset Value Per Share—ETF Shares | $83.70 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $163,719,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 2.1%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $169,372,000 of collateral received for securities on loan.
4 Securities with a value of $2,005,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
34
Small-Cap Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 26,910 |
Interest1 | 19 |
Security Lending | 7,794 |
Total Income | 34,723 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 329 |
Management and Administrative—Investor Shares | 2,588 |
Management and Administrative—Admiral Shares | 735 |
Management and Administrative—Institutional Shares | 362 |
Management and Administrative—ETF Shares | 558 |
Marketing and Distribution—Investor Shares | 498 |
Marketing and Distribution—Admiral Shares | 131 |
Marketing and Distribution—Institutional Shares | 283 |
Marketing and Distribution—ETF Shares | 316 |
Custodian Fees | 173 |
Shareholders’ Reports—Investor Shares | 26 |
Shareholders’ Reports—Admiral Shares | 23 |
Shareholders’ Reports—Institutional Shares | 22 |
Shareholders’ Reports—ETF Shares | 35 |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 6,083 |
Net Investment Income | 28,640 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 172,791 |
Futures Contracts | 293 |
Realized Net Gain (Loss) | 173,084 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 528,821 |
Futures Contracts | 553 |
Change in Unrealized Appreciation (Depreciation) | 529,374 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 731,098 |
1 Interest income from an affiliated company of the fund was $18,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
35
Small-Cap Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 28,640 | 37,447 |
Realized Net Gain (Loss) | 173,084 | 1,498,151 |
Change in Unrealized Appreciation (Depreciation) | 529,374 | (1,671,176) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 731,098 | (135,578) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (117) | (10,518) |
Admiral Shares | (208) | (7,469) |
Institutional Shares | (161) | (9,278) |
ETF Shares | (150) | (10,192) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (636) | (37,457) |
Capital Share Transactions | ||
Investor Shares | (163,955) | (1,496,783) |
Admiral Shares | 155,844 | 1,763,284 |
Institutional Shares | 315,554 | 129,253 |
ETF Shares | (15,069) | 52,393 |
Net Increase (Decrease) from Capital Share Transactions | 292,374 | 448,147 |
Total Increase (Decrease) | 1,022,836 | 275,112 |
Net Assets | ||
Beginning of Period | 7,873,463 | 7,598,351 |
End of Period1 | 8,896,299 | 7,873,463 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $20,129,000 and ($7,875,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
36
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $21.49 | $21.92 | $16.83 | $11.90 | $20.01 | $18.34 |
Investment Operations | ||||||
Net Investment Income | .064 | .086 | .075 | .046 | .096 | .095 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.967 | (.431) | 5.091 | 4.933 | (8.105) | 1.669 |
Total from Investment Operations | 2.031 | (.345) | 5.166 | 4.979 | (8.009) | 1.764 |
Distributions | ||||||
Dividends from Net Investment Income | (.001) | (.085) | (.076) | (.049) | (.101) | (.094) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.001) | (.085) | (.076) | (.049) | (.101) | (.094) |
Net Asset Value, End of Period | $23.52 | $21.49 | $21.92 | $16.83 | $11.90 | $20.01 |
Total Return1 | 9.45% | -1.58% | 30.69% | 41.85% | -40.00% | 9.63% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,691 | $2,613 | $4,229 | $3,018 | $1,871 | $2,825 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.26% | 0.28% | 0.23% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.45% | 0.37% | 0.43% | 0.33% | 0.60% | 0.52% |
Portfolio Turnover Rate2 | 34% | 40% | 34% | 38% | 38% | 32% |
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.
37
Small-Cap Growth Index Fund
Financial Highlights
Admiral Shares
Six Months | Sept. 27, | |
Ended | 20111 to | |
June 30, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $26.88 | $25.00 |
Investment Operations | ||
Net Investment Income | .101 | .031 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.452 | 1.962 |
Total from Investment Operations | 2.553 | 1.993 |
Distributions | ||
Dividends from Net Investment Income | (.003) | (.113) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.003) | (.113) |
Net Asset Value, End of Period | $29.43 | $26.88 |
Total Return2 | 9.50% | 7.97% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $2,105 | $1,781 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 0.59% | 0.51%3 |
Portfolio Turnover Rate4 | 34% | 40% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
38
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $21.53 | $21.96 | $16.85 | $11.91 | $20.04 | $18.37 |
Investment Operations | ||||||
Net Investment Income | .083 | .125 | .107 | .072 | .121 | .125 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.959 | (.432) | 5.111 | 4.944 | (8.126) | 1.669 |
Total from Investment Operations | 2.042 | (.307) | 5.218 | 5.016 | (8.005) | 1.794 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.123) | (.108) | (.076) | (.125) | (.124) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.123) | (.108) | (.076) | (.125) | (.124) |
Net Asset Value, End of Period | $23.57 | $21.53 | $21.96 | $16.85 | $11.91 | $20.04 |
Total Return | 9.48% | -1.40% | 30.96% | 42.13% | -39.91% | 9.78% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,083 | $1,622 | $1,527 | $945 | $511 | $703 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.61% | 0.53% | 0.61% | 0.53% | 0.76% | 0.67% |
Portfolio Turnover Rate1 | 34% | 40% | 34% | 38% | 38% | 32% |
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.
39
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $76.45 | $77.98 | $59.86 | $42.32 | $71.18 | $65.24 |
Investment Operations | ||||||
Net Investment Income | .286 | .424 | .360 | .225 | .411 | .415 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.970 | (1.535) | 18.121 | 17.555 | (28.846) | 5.940 |
Total from Investment Operations | 7.256 | (1.111) | 18.481 | 17.780 | (28.435) | 6.355 |
Distributions | ||||||
Dividends from Net Investment Income | (.006) | (.419) | (.361) | (.240) | (.425) | (.415) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.006) | (.419) | (.361) | (.240) | (.425) | (.415) |
Net Asset Value, End of Period | $83.70 | $76.45 | $77.98 | $59.86 | $42.32 | $71.18 |
Total Return | 9.49% | -1.43% | 30.87% | 42.02% | -39.92% | 9.74% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,017 | $1,857 | $1,842 | $1,177 | $680 | $858 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.59% | 0.51% | 0.57% | 0.47% | 0.72% | 0.63% |
Portfolio Turnover Rate1 | 34% | 40% | 34% | 38% | 38% | 32% |
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
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 four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral 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, 2008–2011), and for the period ended June 30, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
41
Small-Cap Growth Index Fund
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents 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, 2012, the fund had contributed capital of $1,289,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.52% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 8,878,002 | — | 126 |
Temporary Cash Investments | 192,411 | 2,005 | — |
Futures Contracts—Assets1 | 329 | — | — |
Total | 9,070,742 | 2,005 | 126 |
1 Represents variation margin on the last day of the reporting period. |
42
Small-Cap Growth Index Fund
D. At June 30, 2012, 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 2012 | 140 | 11,136 | 703 |
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, 2012, the fund realized $208,209,000 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, 2011, the fund had available capital loss carryforwards totaling $828,357,000 to offset future net capital gains of $567,239,000 through December 31, 2017, and $261,118,000 through December 31, 2018. The fund will use these capital losses to offset net taxable gains, if any, realized during the year ending December 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $8,403,139,000. Net unrealized appreciation of investment securities for tax purposes was $669,405,000, consisting of unrealized gains of $1,388,391,000 on securities that had risen in value since their purchase and $718,986,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2012, the fund purchased $2,473,846,000 of investment securities and sold $2,155,636,000 of investment securities, other than temporary cash investments.
43
Small-Cap Growth Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 337,899 | 14,475 | 1,485,292 | 66,201 |
Issued in Lieu of Cash Distributions | 110 | 5 | 9,892 | 458 |
Redeemed | (501,964) | (21,635) | (2,991,967) | (138,001) |
Net Increase (Decrease)—Investor Shares | (163,955) | (7,155) | (1,496,783) | (71,342) |
Admiral Shares1 | ||||
Issued | 341,865 | 11,703 | 1,805,933 | 67,845 |
Issued in Lieu of Cash Distributions | 195 | 6 | 6,954 | 258 |
Redeemed | (186,216) | (6,425) | (49,603) | (1,861) |
Net Increase (Decrease)—Admiral Shares | 155,844 | 5,284 | 1,763,284 | 66,242 |
Institutional Shares | ||||
Issued | 460,593 | 19,263 | 577,462 | 25,872 |
Issued in Lieu of Cash Distributions | 155 | 6 | 8,908 | 413 |
Redeemed | (145,194) | (6,248) | (457,117) | (20,501) |
Net Increase (Decrease)—Institutional Shares | 315,554 | 13,021 | 129,253 | 5,784 |
ETF Shares | ||||
Issued | 656,808 | 8,110 | 2,131,374 | 26,371 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (671,877) | (8,300) | (2,078,981) | (25,700) |
Net Increase (Decrease)—ETF Shares | (15,069) | (190) | 52,393 | 671 |
1 Inception was September 27, 2011, for Admiral Shares. |
H. In preparing the financial statements as of June 30, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
44
Small-Cap Value Index Fund
Fund Profile
As of June 30, 2012
Share-Class Characteristics | ||||
Investor | Admiral | Institutional | ETF | |
Shares | Shares | Shares | Shares | |
Ticker Symbol | VISVX | VSIAX | VSIIX | VBR |
Expense Ratio1 | 0.35% | 0.21% | 0.19% | 0.21% |
30-Day SEC Yield | 2.28% | 2.42% | 2.44% | 2.42% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Small Cap | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 1,017 | 1,011 | 3,694 |
Median Market Cap | $1.6B | $1.6B | $33.1B |
Price/Earnings Ratio | 18.8x | 18.7x | 16.1x |
Price/Book Ratio | 1.3x | 1.3x | 2.1x |
Return on Equity | 7.6% | 7.6% | 18.1% |
Earnings Growth Rate | 0.4% | 0.4% | 9.4% |
Dividend Yield | 2.5% | 2.5% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 35% | — | — |
Short-Term Reserves | -0.1% | — | — |
Volatility Measures | ||
MSCI US | DJ | |
Small Cap | U.S. Total | |
Value | Market | |
Index | Index | |
R-Squared | 1.00 | 0.93 |
Beta | 1.00 | 1.21 |
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) | ||
Westar Energy Inc. | Electric | 0.5% |
BRE Properties Inc. | Residential REITs | 0.5 |
Questar Corp. | Gas Utilities | 0.5 |
RPM International Inc. | Specialty Chemicals | 0.5 |
East West Bancorp Inc. | Regional Banks | 0.4 |
American Capital Ltd. | Asset Management | |
& Custody Banks | 0.4 | |
American Campus | ||
Communities Inc. | Residential REITs | 0.4 |
Kilroy Realty Corp. | Office REITs | 0.4 |
Carlisle Cos. Inc. | Industrial | |
Conglomerates | 0.4 | |
Atmos Energy Corp. | Gas Utilities | 0.4 |
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 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the annualized expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.08% for Institutional Shares, and 0.10% for ETF Shares.
45
Small-Cap Value Index Fund
Sector Diversification (% of equity exposure) | |||
MSCI US | DJ | ||
Small Cap | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Consumer Discretionary 10.4% | 10.4% | 11.9% | |
Consumer Staples | 2.8 | 2.8 | 9.8 |
Energy | 4.0 | 4.0 | 10.0 |
Financials | 38.6 | 38.6 | 15.9 |
Health Care | 6.1 | 6.1 | 12.0 |
Industrials | 14.4 | 14.4 | 10.8 |
Information Technology | 9.9 | 9.9 | 19.1 |
Materials | 6.1 | 6.1 | 3.9 |
Telecommunication | |||
Services | 0.4 | 0.4 | 2.9 |
Utilities | 7.3 | 7.3 | 3.7 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_scx48x1.jpg)
46
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, 2001, Through June 30, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_scx49x1.jpg)
Small-Cap Value Index Fund Investor Shares |
Spliced Small-Cap Value Index |
Spliced Small-Cap Value Index: S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter.
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | -0.81% | 0.35% | 6.39% |
Admiral Shares | 9/27/2011 | — | — | 19.541 |
Institutional Shares | 12/7/1999 | -0.67 | 0.52 | 6.56 |
ETF Shares | 1/26/2004 | |||
Market Price | -0.64 | 0.45 | 5.741 | |
Net Asset Value | -0.69 | 0.49 | 5.741 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
47
Small-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2012
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 | |||
Jarden Corp. | 672,019 | 28,238 | 0.4% |
Service Corp. International | 1,979,810 | 24,490 | 0.3% |
Brinker International Inc. | 701,826 | 22,367 | 0.3% |
Consumer Discretionary—Other † | 652,972 | 9.3% | |
728,067 | 10.3% | ||
Consumer Staples | |||
Flowers Foods Inc. | 1,093,971 | 25,413 | 0.4% |
Consumer Staples—Other † | 170,604 | 2.4% | |
196,017 | 2.8% | ||
Energy † | 281,720 | 4.0% | |
Financials | |||
BRE Properties Inc. | 673,095 | 33,668 | 0.5% |
East West Bancorp Inc. | 1,328,870 | 31,175 | 0.4% |
* American Capital Ltd. | 3,008,352 | 30,294 | 0.4% |
American Campus Communities Inc. | 666,367 | 29,973 | 0.4% |
Kilroy Realty Corp. | 610,887 | 29,573 | 0.4% |
Douglas Emmett Inc. | 1,185,303 | 27,381 | 0.4% |
Home Properties Inc. | 432,239 | 26,522 | 0.4% |
Allied World Assurance Co. Holdings AG | 329,210 | 26,162 | 0.4% |
National Retail Properties Inc. | 924,127 | 26,144 | 0.4% |
BioMed Realty Trust Inc. | 1,378,347 | 25,748 | 0.4% |
MFA Financial Inc. | 3,190,064 | 25,170 | 0.4% |
Mid-America Apartment Communities Inc. | 363,396 | 24,798 | 0.4% |
CBL & Associates Properties Inc. | 1,259,633 | 24,613 | 0.4% |
Hatteras Financial Corp. | 850,419 | 24,322 | 0.3% |
First Niagara Financial Group Inc. | 3,146,437 | 24,070 | 0.3% |
Waddell & Reed Financial Inc. Class A | 764,802 | 23,158 | 0.3% |
ProAssurance Corp. | 259,618 | 23,129 | 0.3% |
48
Small-Cap Value Index Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Mack-Cali Realty Corp. | 784,608 | 22,809 | 0.3% |
Apartment Investment & Management Co. Class A | 837,577 | 22,640 | 0.3% |
LaSalle Hotel Properties | 765,869 | 22,317 | 0.3% |
Hancock Holding Co. | 720,033 | 21,918 | 0.3% |
Highwoods Properties Inc. | 649,925 | 21,870 | 0.3% |
Starwood Property Trust Inc. | 1,013,243 | 21,592 | 0.3% |
Protective Life Corp. | 730,583 | 21,486 | 0.3% |
Financials—Other † | 2,095,409 | 29.8% | |
2,705,941 | 38.4% | ||
Health Care | |||
Lincare Holdings Inc. | 772,328 | 26,275 | 0.4% |
PerkinElmer Inc. | 1,014,095 | 26,164 | 0.4% |
* Community Health Systems Inc. | 818,842 | 22,952 | 0.3% |
Teleflex Inc. | 364,503 | 22,202 | 0.3% |
Health Care—Other † | 329,546 | 4.7% | |
427,139 | 6.1% | ||
Industrials | �� | ||
Carlisle Cos. Inc. | 552,632 | 29,301 | 0.4% |
* Alaska Air Group Inc. | 633,629 | 22,747 | 0.4% |
* WESCO International Inc. | 388,713 | 22,370 | 0.3% |
Regal-Beloit Corp. | 353,695 | 22,021 | 0.3% |
Industrials—Other † | 915,873 | 13.0% | |
1,012,312 | 14.4% | ||
Information Technology | |||
* AOL Inc. | 847,002 | 23,784 | 0.4% |
Broadridge Financial Solutions Inc. | 1,108,549 | 23,579 | 0.3% |
Information Technology—Other † | 648,387 | 9.2% | |
695,750 | 9.9% | ||
Materials | |||
RPM International Inc. | 1,173,736 | 31,926 | 0.5% |
Packaging Corp. of America | 879,618 | 24,840 | 0.4% |
Cabot Corp. | 563,960 | 22,953 | 0.3% |
Cytec Industries Inc. | 389,286 | 22,828 | 0.3% |
Compass Minerals International Inc. | 295,342 | 22,529 | 0.3% |
Materials—Other † | 302,839 | 4.3% | |
427,915 | 6.1% | ||
Telecommunication Services † | 29,656 | 0.4% | |
Utilities | |||
Westar Energy Inc. | 1,126,550 | 33,740 | 0.5% |
Questar Corp. | 1,590,328 | 33,174 | 0.5% |
Atmos Energy Corp. | 806,348 | 28,279 | 0.4% |
Great Plains Energy Inc. | 1,217,647 | 26,070 | 0.4% |
Hawaiian Electric Industries Inc. | 859,287 | 24,507 | 0.3% |
Cleco Corp. | 544,001 | 22,756 | 0.3% |
Vectren Corp. | 732,803 | 21,632 | 0.3% |
Utilities—Other † | 319,898 | 4.5% | |
510,056 | 7.2% | ||
Total Common Stocks (Cost $6,936,760) | 7,014,573 | 99.6%1 |
49
Small-Cap Value Index Fund
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
2,3 Vanguard Market Liquidity Fund | 0.148% | 66,647,594 | 66,648 | 0.9% |
4U.S. Government and Agency Obligations † | 3,700 | 0.1% | ||
Total Temporary Cash Investments (Cost $70,348) | 70,348 | 1.0%1 | ||
5Total Investments (Cost $7,007,108) | 7,084,921 | 100.6% | ||
Other Assets and Liabilities | ||||
Other Assets | 32,047 | 0.5% | ||
Liabilities3 | (76,369) | (1.1%) | ||
(44,322) | (0.6%) | |||
Net Assets | 7,040,599 | 100.0% |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 8,084,506 |
Undistributed Net Investment Income | 56,809 |
Accumulated Net Realized Losses | (1,180,187) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 77,813 |
Futures Contracts | 1,658 |
Net Assets | 7,040,599 |
Investor Shares—Net Assets | |
Applicable to 123,239,067 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,011,161 |
Net Asset Value Per Share—Investor Shares | $16.32 |
Admiral Shares—Net Assets | |
Applicable to 75,483,421 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,209,679 |
Net Asset Value Per Share—Admiral Shares | $29.27 |
50
Small-Cap Value Index Fund
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 50,780,578 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 830,871 |
Net Asset Value Per Share—Institutional Shares | $16.36 |
ETF Shares—Net Assets | |
Applicable to 29,194,180 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,988,888 |
Net Asset Value Per Share—ETF Shares | $68.13 |
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 0.6%, 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 $48,751,000 of collateral received for securities on loan.
4 Securities with a value of $2,700,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $45,707,000.
See accompanying Notes, which are an integral part of the Financial Statements.
51
Small-Cap Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 71,353 |
Interest1 | 21 |
Security Lending | 1,536 |
Total Income | 72,910 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 278 |
Management and Administrative—Investor Shares | 1,926 |
Management and Administrative—Admiral Shares | 798 |
Management and Administrative—Institutional Shares | 144 |
Management and Administrative—ETF Shares | 577 |
Marketing and Distribution—Investor Shares | 392 |
Marketing and Distribution—Admiral Shares | 134 |
Marketing and Distribution—Institutional Shares | 122 |
Marketing and Distribution—ETF Shares | 259 |
Custodian Fees | 92 |
Shareholders’ Reports—Investor Shares | 19 |
Shareholders’ Reports—Admiral Shares | 25 |
Shareholders’ Reports—Institutional Shares | 12 |
Shareholders’ Reports—ETF Shares | 33 |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 4,815 |
Net Investment Income | 68,095 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 122,908 |
Futures Contracts | 388 |
Realized Net Gain (Loss) | 123,296 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 357,865 |
Futures Contracts | 1,441 |
Change in Unrealized Appreciation (Depreciation) | 359,306 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 550,697 |
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.
52
Small-Cap Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 68,095 | 135,816 |
Realized Net Gain (Loss) | 123,296 | 1,099,562 |
Change in Unrealized Appreciation (Depreciation) | 359,306 | (1,465,616) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 550,697 | (230,238) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (889) | (40,033) |
Admiral Shares | (1,035) | (39,305) |
Institutional Shares | (352) | (16,042) |
ETF Shares | (829) | (38,485) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (3,105) | (133,865) |
Capital Share Transactions | ||
Investor Shares | (134,662) | (2,083,677) |
Admiral Shares | 100,642 | 1,923,698 |
Institutional Shares | 43,897 | (111,750) |
ETF Shares | 85,554 | (5,147) |
Net Increase (Decrease) from Capital Share Transactions | 95,431 | (276,876) |
Total Increase (Decrease) | 643,023 | (640,979) |
Net Assets | ||
Beginning of Period | 6,397,576 | 7,038,555 |
End of Period1 | 7,040,599 | 6,397,576 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $56,809,000 and ($8,181,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
53
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $15.04 | $16.01 | $13.06 | $10.21 | $15.49 | $17.05 |
Investment Operations | ||||||
Net Investment Income | .149 | .309 | .285 | .241 | .293 | .344 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.138 | (.974) | 2.956 | 2.854 | (5.277) | (1.551) |
Total from Investment Operations | 1.287 | (.665) | 3.241 | 3.095 | (4.984) | (1.207) |
Distributions | ||||||
Dividends from Net Investment Income | (.007) | (.305) | (.291) | (.245) | (.296) | (.353) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.007) | (.305) | (.291) | (.245) | (.296) | (.353) |
Net Asset Value, End of Period | $16.32 | $15.04 | $16.01 | $13.06 | $10.21 | $15.49 |
Total Return1 | 8.56% | -4.16% | 24.82% | 30.34% | -32.05% | -7.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,011 | $1,980 | $4,316 | $3,279 | $2,435 | $3,678 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.26% | 0.28% | 0.23% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.10% | 1.90% | 2.03% | 2.26% | 2.33% | 1.95% |
Portfolio Turnover Rate2 | 35% | 30% | 25% | 33% | 30% | 34% |
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.
54
Small-Cap Value Index Fund
Financial Highlights
Admiral Shares
Six Months | Sept. 27, | |
Ended | 20111 to | |
June 30, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $26.96 | $25.00 |
Investment Operations | ||
Net Investment Income | .289 | .196 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.035 | 2.320 |
Total from Investment Operations | 2.324 | 2.516 |
Distributions | ||
Dividends from Net Investment Income | (.014) | (.556) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.014) | (.556) |
Net Asset Value, End of Period | $29.27 | $26.96 |
Total Return2 | 8.62% | 10.05% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $2,210 | $1,941 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 2.24% | 2.04%3 |
Portfolio Turnover Rate4 | 35% | 30% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
55
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $15.07 | $16.04 | $13.09 | $10.22 | $15.53 | $17.09 |
Investment Operations | ||||||
Net Investment Income | .163 | .338 | .311 | .262 | .315 | .372 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.134 | (.973) | 2.957 | 2.874 | (5.307) | (1.551) |
Total from Investment Operations | 1.297 | (.635) | 3.268 | 3.136 | (4.992) | (1.179) |
Distributions | ||||||
Dividends from Net Investment Income | (.007) | (.335) | (.318) | (.266) | (.318) | (.381) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.007) | (.335) | (.318) | (.266) | (.318) | (.381) |
Net Asset Value, End of Period | $16.36 | $15.07 | $16.04 | $13.09 | $10.22 | $15.53 |
Total Return | 8.61% | -3.97% | 24.97% | 30.71% | -32.02% | -6.89% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $831 | $722 | $871 | $543 | $383 | $430 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.26% | 2.06% | 2.21% | 2.46% | 2.49% | 2.10% |
Portfolio Turnover Rate1 | 35% | 30% | 25% | 33% | 30% | 34% |
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.
56
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $62.73 | $66.80 | $54.49 | $42.58 | $64.65 | $71.16 |
Investment Operations | ||||||
Net Investment Income | .674 | 1.393 | 1.269 | 1.071 | 1.296 | 1.531 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.755 | (4.083) | 12.340 | 11.923 | (22.053) | (6.474) |
Total from Investment Operations | 5.429 | (2.690) | 13.609 | 12.994 | (20.757) | (4.943) |
Distributions | ||||||
Dividends from Net Investment Income | (.029) | (1.380) | (1.299) | (1.084) | (1.313) | (1.567) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.029) | (1.380) | (1.299) | (1.084) | (1.313) | (1.567) |
Net Asset Value, End of Period | $68.13 | $62.73 | $66.80 | $54.49 | $42.58 | $64.65 |
Total Return | 8.65% | -4.05% | 24.97% | 30.52% | -31.99% | -6.96% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,989 | $1,755 | $1,851 | $1,310 | $894 | $819 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.24% | 2.04% | 2.17% | 2.40% | 2.45% | 2.06% |
Portfolio Turnover Rate1 | 35% | 30% | 25% | 33% | 30% | 34% |
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.
57
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 four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral 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, 2008–2011), and for the period ended June 30, 2012, 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.
58
Small-Cap Value Index Fund
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents 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, 2012, the fund had contributed capital of $1,020,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.41% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 7,014,368 | 146 | 59 |
Temporary Cash Investments | 66,648 | 3,700 | — |
Futures Contracts—Assets1 | 780 | — | — |
Total | 7,081,796 | 3,846 | 59 |
1 Represents variation margin on the last day of the reporting period. |
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Small-Cap Value Index Fund
D. At June 30, 2012, 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 2012 | 332 | 26,407 | 1,658 |
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, 2012, the fund realized $123,924,000 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, 2011, the fund had available capital loss carryforwards totaling $1,178,212,000 to offset future net capital gains of $11,291,000 through December 31, 2016, $778,148,000 through December 31, 2017, and $388,773,000 through December 31, 2018.
The fund will use these capital losses to offset net taxable gains, if any, realized during the year ending December 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $7,007,108,000. Net unrealized appreciation of investment securities for tax purposes was $77,813,000, consisting of unrealized gains of $811,656,000 on securities that had risen in value since their purchase and $733,843,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2012, the fund purchased $1,392,674,000 of investment securities and sold $1,225,471,000 of investment securities, other than temporary cash investments.
60
Small-Cap Value Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 216,146 | 13,356 | 713,655 | 46,088 |
Issued in Lieu of Cash Distributions | 829 | 49 | 37,316 | 2,467 |
Redeemed | (351,637) | (21,828) | (2,834,648) | (186,504) |
Net Increase (Decrease)—Investor Shares | (134,662) | (8,423) | (2,083,677) | (137,949) |
Admiral Shares1 | ||||
Issued | 231,810 | 7,994 | 1,921,865 | 71,944 |
Issued in Lieu of Cash Distributions | 940 | 31 | 35,571 | 1,314 |
Redeemed | (132,108) | (4,541) | (33,738) | (1,258) |
Net Increase (Decrease)—Admiral Shares | 100,642 | 3,484 | 1,923,698 | 72,000 |
Institutional Shares | ||||
Issued | 148,691 | 9,333 | 189,179 | 12,596 |
Issued in Lieu of Cash Distributions | 318 | 19 | 14,408 | 951 |
Redeemed | (105,112) | (6,464) | (315,337) | (19,977) |
Net Increase (Decrease)—Institutional Shares | 43,897 | 2,888 | (111,750) | (6,430) |
ETF Shares | ||||
Issued | 471,335 | 7,115 | 1,397,655 | 21,166 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (385,781) | (5,900) | (1,402,802) | (20,900) |
Net Increase (Decrease)—ETF Shares | 85,554 | 1,215 | (5,147) | 266 |
1 Inception was September 27, 2011, for Admiral Shares. |
H. In preparing the financial statements as of June 30, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
61
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended June 30, 2012
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2011 | 6/30/2012 | Period | |
Based on Actual Fund Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,089.81 | $1.25 |
Admiral Shares | 1,000.00 | 1,090.68 | 0.52 |
Signal Shares | 1,000.00 | 1,090.68 | 0.52 |
Institutional Shares | 1,000.00 | 1,090.71 | 0.42 |
Institutional Plus Shares | 1,000.00 | 1,090.84 | 0.31 |
ETF Shares | 1,000.00 | 1,090.51 | 0.52 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,094.51 | $1.25 |
Admiral Shares | 1,000.00 | 1,094.97 | 0.52 |
Institutional Shares | 1,000.00 | 1,094.84 | 0.42 |
ETF Shares | 1,000.00 | 1,094.91 | 0.52 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,085.56 | $1.24 |
Admiral Shares | 1,000.00 | 1,086.19 | 0.52 |
Institutional Shares | 1,000.00 | 1,086.05 | 0.41 |
ETF Shares | 1,000.00 | 1,086.54 | 0.52 |
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Six Months Ended June 30, 2012
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2011 | 6/30/2012 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.67 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Signal Shares | 1,000.00 | 1,024.37 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
Institutional Plus Shares | 1,000.00 | 1,024.57 | 0.30 |
ETF Shares | 1,000.00 | 1,024.37 | 0.50 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.67 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
ETF Shares | 1,000.00 | 1,024.37 | 0.50 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.67 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
ETF Shares | 1,000.00 | 1,024.37 | 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, 0.24% for Investor Shares, 0.10% for Admiral Shares, 0.10% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Small-Cap Growth Index Fund, 0.24% for Investor Shares, 0.10% for Admiral 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, 0.10% for Admiral 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.
64
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 Equity Investment 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 Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted 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.
65
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
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. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
66
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.
67
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 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Director of SKF AB |
and President (2006–2008) of Rohm Haas Co. | (industrial machinery), Hillenbrand, Inc. (specialized |
(chemicals); Director of Tyco International, Ltd. | consumer services), the Lumina Foundation for |
(diversified manufacturing and services), Hewlett- | |
Packard Co. (electronic computer manufacturing), | |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Vanguard Senior ManagementTeam | ||
Occupation(s) During the Past Five Years: Chairman, | ||
President, and Chief Executive Officer of NACCO | Mortimer J. Buckley | Michael S. Miller |
Industries, Inc. (forklift trucks/housewares/lignite); | Kathleen C. Gubanich | James M. Norris |
Director of Goodrich Corporation (industrial products/ | Paul A. Heller | Glenn W. Reed |
aircraft systems and services) and the National | Martha G. King | George U. Sauter |
Association of Manufacturers; Chairman of the Board | Chris D. McIsaac | |
of the Federal Reserve Bank of Cleveland and of | ||
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | Chairman Emeritus and Senior Advisor | |
Peter F. Volanakis | John J. Brennan | |
Born 1955. Trustee Since July 2009. Principal | Chairman, 1996–2009 | |
Occupation(s) During the Past Five Years: President | Chief Executive Officer and President, 1996–2008 | |
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director | Founder | |
of SPX Corporation (multi-industry manufacturing); | ||
Overseer of the Amos Tuck School of Business | John C. Bogle | |
Administration at Dartmouth College; Advisor to the | Chairman and Chief Executive Officer, 1974–1996 | |
Norris Cotton Cancer Center. | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
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bears no liability with respect to any such funds or | |
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With Hearing Impairment > 800-749-7273 | description of the limited relationship MSCI has with |
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This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper 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 | |
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Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q482 082012 |
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.3%)1 | |||
Consumer Discretionary (12.8%) | |||
Jarden Corp. | 1,211,365 | 50,902 | |
* | Penn National Gaming Inc. | 1,043,723 | 46,540 |
Service Corp. | 3,568,554 | 44,143 | |
GNC Holdings Inc. Class A | 1,117,925 | 43,823 | |
* | Hanesbrands Inc. | 1,571,434 | 43,576 |
* | Big Lots Inc. | 1,056,900 | 43,111 |
* | Carter's Inc. | 805,693 | 42,379 |
Brinker International Inc. | 1,265,447 | 40,330 | |
Chico's FAS Inc. | 2,699,248 | 40,057 | |
* | Ascena Retail Group Inc. | 2,096,337 | 39,034 |
John Wiley & Sons Inc. Class A | 778,061 | 38,117 | |
Cinemark Holdings Inc. | 1,655,107 | 37,819 | |
Sotheby's | 1,087,089 | 36,265 | |
Six Flags Entertainment Corp. | 661,964 | 35,865 | |
* | Madison Square Garden Co. Class A | 951,769 | 35,634 |
* | Coinstar Inc. | 498,348 | 34,217 |
Aaron's Inc. | 1,163,606 | 32,942 | |
* | Bally Technologies Inc. | 701,808 | 32,746 |
Rent-A-Center Inc. | 954,943 | 32,220 | |
Brunswick Corp. | 1,436,348 | 31,916 | |
Pool Corp. | 767,157 | 31,039 | |
Dillard's Inc. Class A | 483,960 | 30,819 | |
Dana Holding Corp. | 2,375,589 | 30,431 | |
* | Life Time Fitness Inc. | 650,514 | 30,255 |
Wolverine World Wide Inc. | 777,700 | 30,159 | |
* | AMC Networks Inc. Class A | 845,611 | 30,061 |
Vail Resorts Inc. | 579,976 | 29,045 | |
* | Visteon Corp. | 767,007 | 28,763 |
* | Warnaco Group Inc. | 651,950 | 27,760 |
Domino's Pizza Inc. | 883,877 | 27,321 | |
* | Cabela's Inc. | 721,217 | 27,269 |
* | Cheesecake Factory Inc. | 847,182 | 27,076 |
DSW Inc. Class A | 490,427 | 26,679 | |
HSN Inc. | 652,806 | 26,341 | |
*,^ | Tesla Motors Inc. | 841,246 | 26,323 |
Pier 1 Imports Inc. | 1,589,047 | 26,108 | |
* | Tenneco Inc. | 972,266 | 26,076 |
* | Buffalo Wild Wings Inc. | 296,150 | 25,658 |
* | Hibbett Sports Inc. | 426,331 | 24,604 |
* | Genesco Inc. | 389,545 | 23,431 |
* | Crocs Inc. | 1,444,925 | 23,336 |
Morningstar Inc. | 403,238 | 23,323 | |
* | Vitamin Shoppe Inc. | 423,622 | 23,270 |
* | Aeropostale Inc. | 1,298,706 | 23,156 |
Wendy's Co. | 4,701,735 | 22,192 | |
* | Express Inc. | 1,215,491 | 22,085 |
Men's Wearhouse Inc. | 784,501 | 22,076 | |
* | ANN Inc. | 842,226 | 21,468 |
MDC Holdings Inc. | 655,867 | 21,427 | |
* | DreamWorks Animation SKG Inc. Class A | 1,118,334 | 21,315 |
* | Gaylord Entertainment Co. | 546,641 | 21,078 |
* | Live Nation Entertainment Inc. | 2,286,288 | 20,988 |
Cracker Barrel Old Country Store Inc. | 333,529 | 20,946 | |
* | Collective Brands Inc. | 975,954 | 20,905 |
^ | Strayer Education Inc. | 189,756 | 20,687 |
Thor Industries Inc. | 751,164 | 20,589 | |
* | Iconix Brand Group Inc. | 1,166,545 | 20,380 |
* | Steven Madden Ltd. | 636,975 | 20,224 |
* | Children's Place Retail Stores Inc. | 400,044 | 19,934 |
*,^ | Saks Inc. | 1,800,125 | 19,171 |
* | Jos A Bank Clothiers Inc. | 447,564 | 19,004 |
1
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Bob Evans Farms Inc. | 469,644 | 18,880 | |
^ | Regal Entertainment Group Class A | 1,370,388 | 18,857 |
* | Jack in the Box Inc. | 674,196 | 18,797 |
Choice Hotels International Inc. | 468,138 | 18,693 | |
^ | Meredith Corp. | 579,943 | 18,523 |
Texas Roadhouse Inc. Class A | 1,005,005 | 18,522 | |
Hillenbrand Inc. | 1,006,839 | 18,506 | |
Ryland Group Inc. | 715,081 | 18,292 | |
*,^ | ITT Educational Services Inc. | 298,693 | 18,146 |
^ | Buckle Inc. | 457,766 | 18,114 |
* | Select Comfort Corp. | 862,681 | 18,047 |
* | WMS Industries Inc. | 891,614 | 17,788 |
* | Fifth & Pacific Cos. Inc. | 1,624,030 | 17,426 |
Finish Line Inc. Class A | 819,590 | 17,138 | |
* | Lions Gate Entertainment Corp. | 1,154,049 | 17,011 |
Cooper Tire & Rubber Co. | 952,547 | 16,708 | |
Regis Corp. | 929,028 | 16,685 | |
* | New York Times Co. Class A | 2,130,191 | 16,615 |
* | Helen of Troy Ltd. | 483,239 | 16,377 |
* | Shutterfly Inc. | 533,115 | 16,361 |
* | Meritage Homes Corp. | 474,066 | 16,090 |
Group 1 Automotive Inc. | 347,119 | 15,832 | |
Monro Muffler Brake Inc. | 471,755 | 15,681 | |
Penske Automotive Group Inc. | 726,087 | 15,422 | |
* | BJ's Restaurants Inc. | 405,144 | 15,395 |
Arbitron Inc. | 439,441 | 15,380 | |
* | Francesca's Holdings Corp. | 561,787 | 15,174 |
*,^ | Valassis Communications Inc. | 687,443 | 14,952 |
* | Zumiez Inc. | 375,777 | 14,881 |
* | Papa John's International Inc. | 312,083 | 14,846 |
Matthews International Corp. Class A | 456,483 | 14,831 | |
National CineMedia Inc. | 902,516 | 13,691 | |
Cato Corp. Class A | 441,341 | 13,443 | |
* | Orient-Express Hotels Ltd. Class A | 1,569,178 | 13,134 |
* | Lumber Liquidators Holdings Inc. | 383,586 | 12,961 |
* | Grand Canyon Education Inc. | 606,567 | 12,702 |
* | Peet's Coffee & Tea Inc. | 211,503 | 12,699 |
* | Skechers U.S.A. Inc. Class A | 621,684 | 12,664 |
Jones Group Inc. | 1,302,075 | 12,448 | |
^ | Sturm Ruger & Co. Inc. | 307,873 | 12,361 |
Churchill Downs Inc. | 207,553 | 12,202 | |
* | Shuffle Master Inc. | 879,158 | 12,132 |
* | American Axle & Manufacturing Holdings Inc. | 1,147,635 | 12,039 |
Interval Leisure Group Inc. | 631,570 | 12,006 | |
Scholastic Corp. | 426,050 | 11,998 | |
* | Dorman Products Inc. | 465,416 | 11,677 |
Columbia Sportswear Co. | 217,399 | 11,657 | |
*,^ | HomeAway Inc. | 527,759 | 11,473 |
True Religion Apparel Inc. | 389,850 | 11,298 | |
International Speedway Corp. Class A | 425,579 | 11,142 | |
* | DineEquity Inc. | 246,948 | 11,024 |
^ | KB Home | 1,118,075 | 10,957 |
* | Standard Pacific Corp. | 1,762,683 | 10,911 |
* | Asbury Automotive Group Inc. | 457,993 | 10,850 |
CEC Entertainment Inc. | 292,580 | 10,641 | |
*,^ | K12 Inc. | 439,961 | 10,251 |
* | La-Z-Boy Inc. | 833,043 | 10,238 |
* | Knology Inc. | 516,507 | 10,160 |
* | Ascent Capital Group Inc. Class A | 195,469 | 10,116 |
*,^ | Pandora Media Inc. | 930,119 | 10,110 |
Oxford Industries Inc. | 225,826 | 10,094 | |
* | Steiner Leisure Ltd. | 217,148 | 10,078 |
* | Office Depot Inc. | 4,524,162 | 9,772 |
Belo Corp. Class A | 1,509,629 | 9,722 |
2
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Pinnacle Entertainment Inc. | 1,001,127 | 9,631 |
Ameristar Casinos Inc. | 529,550 | 9,410 | |
* | iRobot Corp. | 418,442 | 9,268 |
* | Marriott Vacations Worldwide Corp. | 298,811 | 9,257 |
* | American Public Education Inc. | 287,956 | 9,215 |
Stewart Enterprises Inc. Class A | 1,275,738 | 9,109 | |
* | AFC Enterprises Inc. | 392,561 | 9,084 |
Stage Stores Inc. | 490,594 | 8,988 | |
* | Drew Industries Inc. | 319,955 | 8,911 |
* | Sonic Corp. | 878,445 | 8,802 |
Brown Shoe Co. Inc. | 677,053 | 8,741 | |
* | Smith & Wesson Holding Corp. | 1,046,793 | 8,699 |
* | LeapFrog Enterprises Inc. | 847,815 | 8,699 |
Fred's Inc. Class A | 567,152 | 8,672 | |
* | Biglari Holdings Inc. | 21,955 | 8,483 |
Pep Boys-Manny Moe & Jack | 850,814 | 8,423 | |
^ | American Greetings Corp. Class A | 572,896 | 8,376 |
Ethan Allen Interiors Inc. | 418,417 | 8,339 | |
Lithia Motors Inc. Class A | 358,380 | 8,261 | |
Sonic Automotive Inc. Class A | 589,981 | 8,065 | |
*,^ | Barnes & Noble Inc. | 485,204 | 7,986 |
Core-Mark Holding Co. Inc. | 164,622 | 7,925 | |
* | Scientific Games Corp. Class A | 891,469 | 7,622 |
Sinclair Broadcast Group Inc. Class A | 839,315 | 7,604 | |
* | Maidenform Brands Inc. | 379,051 | 7,551 |
* | Arctic Cat Inc. | 204,161 | 7,464 |
Movado Group Inc. | 294,612 | 7,371 | |
* | Capella Education Co. | 210,026 | 7,301 |
* | OfficeMax Inc. | 1,383,174 | 6,999 |
* | Denny's Corp. | 1,555,222 | 6,905 |
*,^ | Vera Bradley Inc. | 326,655 | 6,886 |
* | Red Robin Gourmet Burgers Inc. | 223,663 | 6,824 |
^ | JAKKS Pacific Inc. | 418,888 | 6,706 |
*,^ | Blue Nile Inc. | 222,986 | 6,625 |
* | Boyd Gaming Corp. | 900,615 | 6,484 |
* | rue21 inc | 256,558 | 6,476 |
Harte-Hanks Inc. | 705,891 | 6,452 | |
Superior Industries International Inc. | 393,496 | 6,442 | |
* | G-III Apparel Group Ltd. | 271,218 | 6,425 |
*,^ | Bridgepoint Education Inc. | 290,004 | 6,322 |
Hot Topic Inc. | 648,007 | 6,279 | |
Callaway Golf Co. | 1,047,852 | 6,193 | |
^ | RadioShack Corp. | 1,602,664 | 6,154 |
* | Career Education Corp. | 867,379 | 5,803 |
* | Krispy Kreme Doughnuts Inc. | 879,905 | 5,623 |
* | Ruby Tuesday Inc. | 824,354 | 5,614 |
Blyth Inc. | 159,140 | 5,500 | |
* | America's Car-Mart Inc. | 139,316 | 5,412 |
* | Amerigon Inc. | 463,009 | 5,320 |
* | Conn's Inc. | 359,350 | 5,318 |
* | Bravo Brio Restaurant Group Inc. | 296,937 | 5,294 |
* | M/I Homes Inc. | 301,392 | 5,220 |
Nutrisystem Inc. | 428,393 | 4,952 | |
* | Digital Generation Inc. | 397,474 | 4,917 |
Shoe Carnival Inc. | 225,045 | 4,836 | |
Universal Technical Institute Inc. | 357,028 | 4,823 | |
* | Winnebago Industries Inc. | 467,865 | 4,768 |
* | Modine Manufacturing Co. | 675,139 | 4,679 |
*,^ | Hovnanian Enterprises Inc. Class A | 1,608,405 | 4,664 |
* | Libbey Inc. | 302,754 | 4,653 |
* | EW Scripps Co. Class A | 480,725 | 4,620 |
Marcus Corp. | 327,652 | 4,508 | |
* | Wet Seal Inc. Class A | 1,382,148 | 4,368 |
* | Federal-Mogul Corp. | 396,864 | 4,366 |
3
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Quiksilver Inc. | 1,859,116 | 4,332 |
* | Perry Ellis International Inc. | 197,177 | 4,091 |
Standard Motor Products Inc. | 290,575 | 4,091 | |
* | Fuel Systems Solutions Inc. | 240,883 | 4,020 |
*,^ | Beazer Homes USA Inc. | 1,226,139 | 3,985 |
^ | PetMed Express Inc. | 326,389 | 3,969 |
Speedway Motorsports Inc. | 232,847 | 3,937 | |
Destination Maternity Corp. | 181,496 | 3,920 | |
* | Exide Technologies | 1,131,115 | 3,801 |
Clear Channel Outdoor Holdings Inc. Class A | 625,934 | 3,768 | |
* | Corinthian Colleges Inc. | 1,294,549 | 3,741 |
* | Citi Trends Inc. | 239,917 | 3,704 |
* | Stein Mart Inc. | 453,457 | 3,605 |
bebe stores inc | 608,429 | 3,571 | |
World Wrestling Entertainment Inc. Class A | 451,598 | 3,531 | |
*,^ | Skullcandy Inc. | 241,341 | 3,415 |
*,^ | hhgregg Inc. | 298,824 | 3,380 |
*,^ | Zagg Inc. | 309,212 | 3,374 |
Haverty Furniture Cos. Inc. | 299,983 | 3,351 | |
*,^ | Mattress Firm Holding Corp. | 108,420 | 3,286 |
* | Steinway Musical Instruments Inc. | 129,032 | 3,161 |
* | Kirkland's Inc. | 265,487 | 2,987 |
CSS Industries Inc. | 140,620 | 2,890 | |
* | Universal Electronics Inc. | 213,290 | 2,809 |
* | Journal Communications Inc. Class A | 532,039 | 2,745 |
* | Unifi Inc. | 241,836 | 2,740 |
* | Stoneridge Inc. | 399,900 | 2,723 |
Weyco Group Inc. | 113,802 | 2,638 | |
*,^ | Talbots Inc. | 1,018,607 | 2,567 |
* | Cumulus Media Inc. Class A | 823,441 | 2,479 |
* | Systemax Inc. | 204,387 | 2,416 |
* | Kenneth Cole Productions Inc. Class A | 154,242 | 2,321 |
* | Gordmans Stores Inc. | 139,794 | 2,307 |
Lincoln Educational Services Corp. | 345,050 | 2,243 | |
* | Body Central Corp. | 244,127 | 2,197 |
*,^ | McClatchy Co. Class A | 972,890 | 2,140 |
* | Isle of Capri Casinos Inc. | 344,162 | 2,123 |
* | Teavana Holdings Inc. | 153,821 | 2,081 |
* | Entercom Communications Corp. Class A | 324,322 | 1,952 |
*,^ | Vitacost.com Inc. | 318,243 | 1,878 |
Big 5 Sporting Goods Corp. | 244,361 | 1,847 | |
*,^ | Overstock.com Inc. | 261,508 | 1,807 |
Martha Stewart Living Omnimedia Class A | 458,946 | 1,560 | |
* | ReachLocal Inc. | 141,523 | 1,557 |
* | LIN TV Corp. Class A | 488,759 | 1,476 |
*,^ | Pacific Sunwear of California Inc. | 757,353 | 1,386 |
* | New York & Co. Inc. | 397,640 | 1,384 |
* | K-Swiss Inc. Class A | 442,382 | 1,363 |
* | Orbitz Worldwide Inc. | 333,264 | 1,216 |
* | Sealy Corp. | 647,966 | 1,199 |
* | Tower International Inc. | 110,501 | 1,160 |
* | Furniture Brands International Inc. | 801,734 | 994 |
* | Coldwater Creek Inc. | 1,268,878 | 693 |
* | Orchard Supply Hardware Stores Corp. Class A | 38,613 | 642 |
3,270,269 | |||
Consumer Staples (3.2%) | |||
* | Dean Foods Co. | 2,971,719 | 50,608 |
Flowers Foods Inc. | 1,971,790 | 45,805 | |
* | United Natural Foods Inc. | 785,391 | 43,087 |
Nu Skin Enterprises Inc. Class A | 915,859 | 42,954 | |
Casey's General Stores Inc. | 612,913 | 36,156 | |
* | TreeHouse Foods Inc. | 578,554 | 36,038 |
* | Hain Celestial Group Inc. | 607,056 | 33,412 |
* | Fresh Market Inc. | 619,342 | 33,215 |
4
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Darling International Inc. | 1,889,412 | 31,157 | |
Harris Teeter Supermarkets Inc. | 754,388 | 30,922 | |
Lancaster Colony Corp. | 306,889 | 21,854 | |
PriceSmart Inc. | 312,611 | 21,104 | |
B&G Foods Inc. Class A | 778,011 | 20,695 | |
Snyders-Lance Inc. | 765,361 | 19,310 | |
SUPERVALU Inc. | 3,415,661 | 17,693 | |
Universal Corp. | 374,710 | 17,360 | |
*,^ | Boston Beer Co. Inc. Class A | 141,038 | 17,066 |
Elizabeth Arden Inc. | 424,245 | 16,465 | |
Fresh Del Monte Produce Inc. | 650,965 | 15,278 | |
Rite Aid Corp. | 10,845,765 | 15,184 | |
J&J Snack Foods Corp. | 241,968 | 14,300 | |
Sanderson Farms Inc. | 305,055 | 13,978 | |
Post Holdings Inc. | 443,661 | 13,643 | |
Vector Group Ltd. | 767,440 | 13,062 | |
Prestige Brands Holdings Inc. | 812,227 | 12,841 | |
Spectrum Brands Holdings Inc. | 374,985 | 12,213 | |
WD-40 Co. | 244,423 | 12,175 | |
Andersons Inc. | 282,967 | 12,071 | |
Smart Balance Inc. | 950,010 | 8,921 | |
Cal-Maine Foods Inc. | 224,997 | 8,797 | |
Weis Markets Inc. | 195,197 | 8,690 | |
*,^ | Star Scientific Inc. | 1,743,671 | 7,951 |
Pilgrim's Pride Corp. | 1,043,602 | 7,462 | |
Tootsie Roll Industries Inc. | 305,884 | 7,298 | |
Susser Holdings Corp. | 184,909 | 6,873 | |
Spartan Stores Inc. | 369,189 | 6,694 | |
Diamond Foods Inc. | 355,845 | 6,348 | |
*,^ | Dole Food Co. Inc. | 644,168 | 5,656 |
Pantry Inc. | 373,373 | 5,489 | |
Central Garden and Pet Co. Class A | 493,040 | 5,369 | |
Coca-Cola Bottling Co. Consolidated | 80,787 | 5,193 | |
USANA Health Sciences Inc. | 120,895 | 4,971 | |
Calavo Growers Inc. | 189,608 | 4,850 | |
Inter Parfums Inc. | 269,570 | 4,656 | |
Alliance One International Inc. | 1,332,378 | 4,610 | |
Nash Finch Co. | 194,802 | 4,184 | |
Medifast Inc. | 210,737 | 4,147 | |
Chefs' Warehouse Inc. | 184,696 | 3,334 | |
Chiquita Brands International Inc. | 661,773 | 3,309 | |
Schiff Nutrition International Inc. | 173,851 | 3,121 | |
Seneca Foods Corp. Class A | 115,352 | 3,103 | |
Village Super Market Inc. Class A | 93,924 | 3,060 | |
Nature's Sunshine Products Inc. | 199,871 | 3,018 | |
*,^ | Central European Distribution Corp. | 997,976 | 2,854 |
Revlon Inc. Class A | 196,854 | 2,801 | |
National Beverage Corp. | 185,623 | 2,773 | |
Ingles Markets Inc. Class A | 165,942 | 2,660 | |
Central Garden and Pet Co. | 176,972 | 1,837 | |
Farmer Bros Co. | 117,428 | 935 | |
820,610 | |||
Energy (5.2%) | |||
Oil States International Inc. | 830,967 | 55,010 | |
World Fuel Services Corp. | 1,146,362 | 43,596 | |
Tidewater Inc. | 824,191 | 38,210 | |
Dril-Quip Inc. | 551,034 | 36,142 | |
Cheniere Energy Inc. | 2,425,363 | 35,750 | |
Atwood Oceanics Inc. | 944,423 | 35,737 | |
Kodiak Oil & Gas Corp. | 4,236,326 | 34,780 | |
Energy XXI Bermuda Ltd. | 1,061,354 | 33,210 | |
Rosetta Resources Inc. | 858,141 | 31,442 | |
Berry Petroleum Co. Class A | 755,904 | 29,979 | |
Lufkin Industries Inc. | 534,643 | 29,042 |
5
Vanguard® Small-Cap Index Fund Schedule of Investments June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Oasis Petroleum Inc. | 1,195,296 | 28,902 |
SEACOR Holdings Inc. | 320,635 | 28,658 |
Helix Energy Solutions Group Inc. | 1,613,902 | 26,484 |
Unit Corp. | 698,362 | 25,763 |
CARBO Ceramics Inc. | 334,525 | 25,668 |
Bristow Group Inc. | 574,801 | 23,377 |
Gran Tierra Energy Inc. | 4,489,277 | 22,042 |
McMoRan Exploration Co. | 1,687,433 | 21,380 |
Western Refining Inc. | 951,295 | 21,185 |
Hornbeck Offshore Services Inc. | 535,106 | 20,751 |
Targa Resources Corp. | 476,215 | 20,334 |
SemGroup Corp. Class A | 606,250 | 19,358 |
Stone Energy Corp. | 747,170 | 18,933 |
Key Energy Services Inc. | 2,308,251 | 17,543 |
Clean Energy Fuels Corp. | 1,100,581 | 17,059 |
Enbridge Energy Management LLC | 532,296 | 17,018 |
Cloud Peak Energy Inc. | 980,357 | 16,578 |
Bill Barrett Corp. | 769,906 | 16,491 |
EXCO Resources Inc. | 2,092,243 | 15,880 |
Gulfport Energy Corp. | 760,986 | 15,699 |
Northern Oil and Gas Inc. | 970,340 | 15,467 |
Carrizo Oil & Gas Inc. | 602,824 | 14,172 |
Forest Oil Corp. | 1,886,084 | 13,825 |
ION Geophysical Corp. | 2,004,149 | 13,207 |
Gulfmark Offshore Inc. | 385,671 | 13,128 |
Swift Energy Co. | 684,836 | 12,745 |
RPC Inc. | 1,060,395 | 12,608 |
Contango Oil & Gas Co. | 210,329 | 12,452 |
C&J Energy Services Inc. | 669,195 | 12,380 |
Comstock Resources Inc. | 736,403 | 12,092 |
GeoResources Inc. | 329,964 | 12,080 |
PDC Energy Inc. | 485,820 | 11,912 |
Exterran Holdings Inc. | 931,795 | 11,880 |
Approach Resources Inc. | 417,933 | 10,674 |
Magnum Hunter Resources Corp. | 2,545,708 | 10,641 |
Halcon Resources Corp. | 1,042,589 | 9,842 |
W&T Offshore Inc. | 599,347 | 9,170 |
TETRA Technologies Inc. | 1,245,608 | 8,881 |
OYO Geospace Corp. | 97,557 | 8,779 |
Newpark Resources Inc. | 1,479,095 | 8,727 |
Parker Drilling Co. | 1,886,309 | 8,507 |
Quicksilver Resources Inc. | 1,512,852 | 8,200 |
Energy Partners Ltd. | 479,672 | 8,106 |
Crosstex Energy Inc. | 573,133 | 8,024 |
Rex Energy Corp. | 711,267 | 7,973 |
Pioneer Drilling Co. | 997,212 | 7,948 |
Hercules Offshore Inc. | 2,172,190 | 7,690 |
Vaalco Energy Inc. | 875,610 | 7,557 |
Resolute Energy Corp. | 788,151 | 7,543 |
Heckmann Corp. | 2,221,786 | 7,510 |
Rentech Inc. | 3,615,576 | 7,448 |
CVR Energy Inc. | 280,200 | 7,448 |
Solazyme Inc. | 479,390 | 6,664 |
Tesco Corp. | 521,551 | 6,259 |
Goodrich Petroleum Corp. | 437,828 | 6,068 |
Gulf Island Fabrication Inc. | 207,300 | 5,848 |
PHI Inc. | 199,965 | 5,561 |
Endeavour International Corp. | 657,907 | 5,526 |
Penn Virginia Corp. | 733,753 | 5,386 |
Venoco Inc. | 494,333 | 4,948 |
Basic Energy Services Inc. | 479,042 | 4,944 |
FX Energy Inc. | 804,855 | 4,789 |
Clayton Williams Energy Inc. | 97,605 | 4,722 |
Matrix Service Co. | 412,793 | 4,685 |
6
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Petroquest Energy Inc. | 897,845 | 4,489 |
* | Harvest Natural Resources Inc. | 523,308 | 4,474 |
* | Cal Dive International Inc. | 1,525,502 | 4,424 |
^ | Overseas Shipholding Group Inc. | 390,914 | 4,343 |
* | Abraxas Petroleum Corp. | 1,332,225 | 4,250 |
* | Vantage Drilling Co. | 2,800,088 | 4,200 |
* | Sanchez Energy Corp. | 194,227 | 4,040 |
* | Willbros Group Inc. | 623,391 | 4,027 |
* | Triangle Petroleum Corp. | 694,865 | 3,877 |
* | TransAtlantic Petroleum Ltd. | 3,529,056 | 3,811 |
*,^ | BPZ Resources Inc. | 1,488,554 | 3,766 |
* | Lone Pine Resources Inc. | 1,364,983 | 3,754 |
Delek US Holdings Inc. | 186,191 | 3,275 | |
* | Bonanza Creek Energy Inc. | 190,116 | 3,162 |
* | Dawson Geophysical Co. | 127,156 | 3,029 |
Apco Oil and Gas International Inc. | 146,725 | 2,648 | |
*,^ | Uranium Energy Corp. | 1,152,520 | 2,639 |
* | Warren Resources Inc. | 1,090,600 | 2,617 |
* | Green Plains Renewable Energy Inc. | 404,163 | 2,522 |
*,^ | ATP Oil & Gas Corp. | 745,719 | 2,521 |
*,^ | KiOR Inc. | 273,910 | 2,452 |
Alon USA Energy Inc. | 269,777 | 2,282 | |
*,^ | Hyperdynamics Corp. | 2,677,984 | 2,244 |
*,^ | Amyris Inc. | 496,754 | 2,201 |
* | Global Geophysical Services Inc. | 327,061 | 2,002 |
* | RigNet Inc. | 111,622 | 1,941 |
*,^ | USEC Inc. | 1,860,329 | 1,842 |
*,^ | ZaZa Energy Corp. | 406,658 | 1,838 |
*,^ | Patriot Coal Corp. | 1,491,635 | 1,820 |
* | Gastar Exploration Ltd. | 934,700 | 1,804 |
*,^ | James River Coal Co. | 514,963 | 1,396 |
*,^ | Gevo Inc. | 270,147 | 1,343 |
* | Oilsands Quest Inc. | 8,612,492 | 366 |
1,311,416 | |||
Financials (22.1%) | |||
Apartment Investment & Management Co. Class A | 2,322,736 | 62,784 | |
BRE Properties Inc. | 1,213,138 | 60,681 | |
East West Bancorp Inc. | 2,394,986 | 56,186 | |
* | American Capital Ltd. | 5,421,813 | 54,598 |
American Campus Communities Inc. | 1,201,069 | 54,024 | |
Kilroy Realty Corp. | 1,101,020 | 53,300 | |
Douglas Emmett Inc. | 2,136,268 | 49,348 | |
Home Properties Inc. | 779,177 | 47,810 | |
Extra Space Storage Inc. | 1,561,616 | 47,785 | |
Allied World Assurance Co. Holdings AG | 593,359 | 47,154 | |
National Retail Properties Inc. | 1,665,636 | 47,121 | |
Tanger Factory Outlet Centers | 1,462,334 | 46,868 | |
BioMed Realty Trust Inc. | 2,484,280 | 46,406 | |
MFA Financial Inc. | 5,749,628 | 45,365 | |
* | Signature Bank | 743,828 | 45,351 |
Mid-America Apartment Communities Inc. | 655,092 | 44,703 | |
CBL & Associates Properties Inc. | 2,268,603 | 44,329 | |
Hatteras Financial Corp. | 1,532,860 | 43,840 | |
Equity Lifestyle Properties Inc. | 632,145 | 43,599 | |
First Niagara Financial Group Inc. | 5,662,809 | 43,320 | |
Post Properties Inc. | 857,774 | 41,988 | |
Waddell & Reed Financial Inc. Class A | 1,379,072 | 41,758 | |
ProAssurance Corp. | 467,485 | 41,648 | |
* | SVB Financial Group | 703,190 | 41,291 |
Mack-Cali Realty Corp. | 1,414,605 | 41,123 | |
LaSalle Hotel Properties | 1,378,450 | 40,168 | |
Hancock Holding Co. | 1,296,068 | 39,452 | |
Highwoods Properties Inc. | 1,170,595 | 39,391 |
7
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Starwood Property Trust Inc. | 1,826,804 | 38,929 | |
Protective Life Corp. | 1,316,279 | 38,712 | |
Omega Healthcare Investors Inc. | 1,674,271 | 37,671 | |
City National Corp. | 771,842 | 37,496 | |
Associated Banc-Corp | 2,801,709 | 36,955 | |
Two Harbors Investment Corp. | 3,451,727 | 35,760 | |
First Horizon National Corp. | 4,103,521 | 35,495 | |
* | E*TRADE Financial Corp. | 4,371,832 | 35,150 |
Invesco Mortgage Capital Inc. | 1,858,986 | 34,094 | |
Bank of Hawaii Corp. | 739,472 | 33,979 | |
Aspen Insurance Holdings Ltd. | 1,139,773 | 32,939 | |
^ | Federated Investors Inc. Class B | 1,504,080 | 32,864 |
Fulton Financial Corp. | 3,225,546 | 32,223 | |
Capitol Federal Financial Inc. | 2,698,233 | 32,055 | |
Valley National Bancorp | 3,014,269 | 31,951 | |
* | Ocwen Financial Corp. | 1,674,090 | 31,439 |
Entertainment Properties Trust | 752,790 | 30,947 | |
Prosperity Bancshares Inc. | 722,848 | 30,381 | |
Washington REIT | 1,067,612 | 30,374 | |
CNO Financial Group Inc. | 3,887,126 | 30,320 | |
Healthcare Realty Trust Inc. | 1,255,656 | 29,935 | |
Colonial Properties Trust | 1,344,719 | 29,772 | |
Susquehanna Bancshares Inc. | 2,872,219 | 29,584 | |
Washington Federal Inc. | 1,731,401 | 29,243 | |
FirstMerit Corp. | 1,758,738 | 29,054 | |
DuPont Fabros Technology Inc. | 1,015,115 | 28,992 | |
TCF Financial Corp. | 2,475,126 | 28,414 | |
Hanover Insurance Group Inc. | 725,100 | 28,373 | |
Brandywine Realty Trust | 2,298,583 | 28,365 | |
* | Howard Hughes Corp. | 458,428 | 28,257 |
* | Forest City Enterprises Inc. Class A | 1,934,431 | 28,243 |
RLJ Lodging Trust | 1,540,839 | 27,935 | |
DiamondRock Hospitality Co. | 2,698,352 | 27,523 | |
* | Popular Inc. | 1,653,557 | 27,466 |
First American Financial Corp. | 1,613,193 | 27,360 | |
Corporate Office Properties Trust | 1,159,312 | 27,255 | |
UMB Financial Corp. | 522,633 | 26,774 | |
Endurance Specialty Holdings Ltd. | 694,255 | 26,604 | |
Alterra Capital Holdings Ltd. | 1,138,286 | 26,579 | |
StanCorp Financial Group Inc. | 714,601 | 26,555 | |
Webster Financial Corp. | 1,199,569 | 25,983 | |
CommonWealth REIT | 1,348,723 | 25,788 | |
Kemper Corp. | 826,664 | 25,420 | |
* | Stifel Financial Corp. | 821,652 | 25,389 |
CapitalSource Inc. | 3,764,585 | 25,298 | |
*,^ | MBIA Inc. | 2,333,834 | 25,229 |
DCT Industrial Trust Inc. | 3,973,902 | 25,036 | |
CYS Investments Inc. | 1,799,208 | 24,775 | |
* | Texas Capital Bancshares Inc. | 608,614 | 24,582 |
FNB Corp. | 2,244,140 | 24,394 | |
Apollo Investment Corp. | 3,174,200 | 24,378 | |
Trustmark Corp. | 980,940 | 24,013 | |
Synovus Financial Corp. | 12,124,491 | 24,006 | |
* | Sunstone Hotel Investors Inc. | 2,181,768 | 23,978 |
EastGroup Properties Inc. | 448,895 | 23,926 | |
Iberiabank Corp. | 473,280 | 23,877 | |
Janus Capital Group Inc. | 3,029,965 | 23,694 | |
Umpqua Holdings Corp. | 1,799,467 | 23,681 | |
Sovran Self Storage Inc. | 466,708 | 23,377 | |
Glimcher Realty Trust | 2,193,815 | 22,421 | |
^ | Prospect Capital Corp. | 1,962,860 | 22,357 |
Platinum Underwriters Holdings Ltd. | 572,468 | 21,811 | |
CubeSmart | 1,868,165 | 21,801 | |
Westamerica Bancorporation | 451,693 | 21,315 |
8
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Pebblebrook Hotel Trust | 912,322 | 21,266 | |
PS Business Parks Inc. | 311,143 | 21,071 | |
Primerica Inc. | 784,731 | 20,976 | |
RLI Corp. | 307,460 | 20,969 | |
Medical Properties Trust Inc. | 2,179,670 | 20,968 | |
United Bankshares Inc. | 809,047 | 20,938 | |
Cash America International Inc. | 473,069 | 20,834 | |
Potlatch Corp. | 646,579 | 20,652 | |
Wintrust Financial Corp. | 578,721 | 20,545 | |
Capstead Mortgage Corp. | 1,455,155 | 20,241 | |
National Penn Bancshares Inc. | 2,085,195 | 19,955 | |
BancorpSouth Inc. | 1,369,762 | 19,889 | |
Cathay General Bancorp | 1,201,890 | 19,843 | |
^ | ARMOUR Residential REIT Inc. | 2,787,099 | 19,816 |
Equity One Inc. | 924,791 | 19,606 | |
National Health Investors Inc. | 380,507 | 19,375 | |
* | Altisource Portfolio Solutions SA | 263,694 | 19,310 |
* | Knight Capital Group Inc. Class A | 1,595,958 | 19,056 |
^ | Lexington Realty Trust | 2,249,450 | 19,053 |
Montpelier Re Holdings Ltd. | 882,270 | 18,784 | |
Mercury General Corp. | 442,234 | 18,428 | |
Northwest Bancshares Inc. | 1,571,748 | 18,405 | |
Old National Bancorp | 1,522,655 | 18,287 | |
* | First Cash Financial Services Inc. | 450,720 | 18,105 |
MB Financial Inc. | 835,485 | 17,996 | |
Glacier Bancorp Inc. | 1,159,406 | 17,959 | |
Sun Communities Inc. | 405,204 | 17,926 | |
LTC Properties Inc. | 489,225 | 17,749 | |
*,^ | St. Joe Co. | 1,115,329 | 17,633 |
* | Ezcorp Inc. Class A | 724,589 | 16,999 |
International Bancshares Corp. | 865,923 | 16,903 | |
Symetra Financial Corp. | 1,336,841 | 16,871 | |
* | Strategic Hotels & Resorts Inc. | 2,598,356 | 16,785 |
* | First Industrial Realty Trust Inc. | 1,324,064 | 16,710 |
CVB Financial Corp. | 1,429,070 | 16,649 | |
Education Realty Trust Inc. | 1,480,244 | 16,401 | |
Community Bank System Inc. | 599,057 | 16,246 | |
Acadia Realty Trust | 688,044 | 15,949 | |
* | PHH Corp. | 908,755 | 15,885 |
Redwood Trust Inc. | 1,263,882 | 15,773 | |
Greenhill & Co. Inc. | 442,147 | 15,763 | |
PrivateBancorp Inc. Class A | 1,048,738 | 15,479 | |
MarketAxess Holdings Inc. | 580,603 | 15,467 | |
* | Enstar Group Ltd. | 156,152 | 15,450 |
Selective Insurance Group Inc. | 880,910 | 15,337 | |
Anworth Mortgage Asset Corp. | 2,174,846 | 15,333 | |
Hersha Hospitality Trust Class A | 2,872,506 | 15,167 | |
First Financial Bancorp | 937,795 | 14,986 | |
* | World Acceptance Corp. | 227,291 | 14,956 |
Newcastle Investment Corp. | 2,204,321 | 14,769 | |
Argo Group International Holdings Ltd. | 503,422 | 14,735 | |
* | TFS Financial Corp. | 1,491,613 | 14,245 |
Bank of the Ozarks Inc. | 472,844 | 14,223 | |
Alexander's Inc. | 32,877 | 14,174 | |
^ | First Financial Bankshares Inc. | 405,283 | 14,007 |
Astoria Financial Corp. | 1,427,703 | 13,991 | |
First Citizens BancShares Inc. Class A | 83,784 | 13,963 | |
* | Credit Acceptance Corp. | 164,949 | 13,927 |
^ | Park National Corp. | 198,265 | 13,829 |
Government Properties Income Trust | 605,933 | 13,706 | |
* | Financial Engines Inc. | 629,550 | 13,504 |
Provident Financial Services Inc. | 875,124 | 13,433 | |
Fifth Street Finance Corp. | 1,326,122 | 13,235 | |
First Midwest Bancorp Inc. | 1,202,743 | 13,206 |
9
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
BankUnited Inc. | 559,946 | 13,204 |
PennyMac Mortgage Investment Trust | 662,878 | 13,079 |
American Assets Trust Inc. | 537,548 | 13,036 |
* BBCN Bancorp Inc. | 1,192,693 | 12,988 |
Amtrust Financial Services Inc. | 434,587 | 12,912 |
Pennsylvania REIT | 851,805 | 12,760 |
Franklin Street Properties Corp. | 1,201,919 | 12,716 |
American Capital Mortgage Investment Corp. | 529,339 | 12,641 |
Tower Group Inc. | 599,985 | 12,522 |
Solar Capital Ltd. | 559,936 | 12,464 |
* DFC Global Corp. | 675,064 | 12,441 |
* Greenlight Capital Re Ltd. Class A | 487,572 | 12,394 |
Inland Real Estate Corp. | 1,433,601 | 12,014 |
Columbia Banking System Inc. | 636,207 | 11,973 |
Cousins Properties Inc. | 1,509,722 | 11,700 |
NBT Bancorp Inc. | 535,477 | 11,561 |
BlackRock Kelso Capital Corp. | 1,182,551 | 11,542 |
Associated Estates Realty Corp. | 771,210 | 11,530 |
PacWest Bancorp | 485,969 | 11,503 |
First Commonwealth Financial Corp. | 1,690,191 | 11,375 |
CreXus Investment Corp. | 1,110,611 | 11,295 |
NorthStar Realty Finance Corp. | 2,147,719 | 11,211 |
Horace Mann Educators Corp. | 640,635 | 11,198 |
* Western Alliance Bancorp | 1,194,188 | 11,178 |
Home BancShares Inc. | 364,384 | 11,143 |
Infinity Property & Casualty Corp. | 190,015 | 10,958 |
* Investors Bancorp Inc. | 718,317 | 10,839 |
Interactive Brokers Group Inc. | 733,983 | 10,804 |
^ Cohen & Steers Inc. | 312,917 | 10,799 |
^ Main Street Capital Corp. | 446,112 | 10,796 |
Investors Real Estate Trust | 1,354,429 | 10,700 |
Nelnet Inc. Class A | 459,194 | 10,561 |
* Citizens Republic Bancorp Inc. | 613,086 | 10,502 |
* Pinnacle Financial Partners Inc. | 525,985 | 10,262 |
Sabra Health Care REIT Inc. | 594,151 | 10,166 |
Boston Private Financial Holdings Inc. | 1,131,347 | 10,103 |
Brookline Bancorp Inc. | 1,131,233 | 10,011 |
Walter Investment Management Corp. | 426,796 | 10,004 |
American Equity Investment Life Holding Co. | 905,214 | 9,966 |
Evercore Partners Inc. Class A | 418,233 | 9,782 |
Triangle Capital Corp. | 426,705 | 9,720 |
Retail Opportunity Investments Corp. | 800,200 | 9,650 |
Independent Bank Corp. | 329,034 | 9,611 |
Hudson Pacific Properties Inc. | 549,958 | 9,575 |
First Potomac Realty Trust | 810,311 | 9,537 |
Chemical Financial Corp. | 442,745 | 9,519 |
Oritani Financial Corp. | 659,675 | 9,493 |
* Sterling Financial Corp. | 500,226 | 9,449 |
American National Insurance Co. | 129,671 | 9,242 |
Ramco-Gershenson Properties Trust | 732,147 | 9,203 |
PennantPark Investment Corp. | 884,045 | 9,150 |
Employers Holdings Inc. | 505,276 | 9,115 |
Colony Financial Inc. | 523,307 | 9,053 |
* Navigators Group Inc. | 180,127 | 9,015 |
* FelCor Lodging Trust Inc. | 1,906,069 | 8,959 |
Hercules Technology Growth Capital Inc. | 786,942 | 8,924 |
Chesapeake Lodging Trust | 517,799 | 8,916 |
* MGIC Investment Corp. | 3,084,985 | 8,885 |
Ashford Hospitality Trust Inc. | 1,041,961 | 8,784 |
* National Financial Partners Corp. | 649,537 | 8,704 |
WesBanco Inc. | 407,875 | 8,671 |
Coresite Realty Corp. | 334,648 | 8,641 |
BGC Partners Inc. Class A | 1,470,290 | 8,631 |
Dynex Capital Inc. | 829,182 | 8,607 |
10
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
S&T Bancorp Inc. | 453,757 | 8,381 | |
Getty Realty Corp. | 430,966 | 8,253 | |
TrustCo Bank Corp. NY | 1,504,859 | 8,217 | |
SCBT Financial Corp. | 230,548 | 8,127 | |
*,^ | Green Dot Corp. Class A | 365,199 | 8,078 |
KBW Inc. | 490,619 | 8,071 | |
Universal Health Realty Income Trust | 193,997 | 8,057 | |
City Holding Co. | 238,949 | 8,050 | |
* | Virtus Investment Partners Inc. | 98,966 | 8,016 |
Saul Centers Inc. | 186,620 | 8,000 | |
Safety Insurance Group Inc. | 195,932 | 7,963 | |
ViewPoint Financial Group Inc. | 505,989 | 7,914 | |
Berkshire Hills Bancorp Inc. | 357,450 | 7,864 | |
* | PICO Holdings Inc. | 347,935 | 7,797 |
Duff & Phelps Corp. Class A | 532,926 | 7,727 | |
Maiden Holdings Ltd. | 873,650 | 7,583 | |
* | AMERISAFE Inc. | 291,313 | 7,560 |
Apollo Residential Mortgage Inc. | 390,123 | 7,522 | |
*,^ | Zillow Inc. Class A | 193,472 | 7,474 |
* | HFF Inc. Class A | 535,022 | 7,458 |
United Fire Group Inc. | 349,630 | 7,458 | |
Oriental Financial Group Inc. | 665,623 | 7,375 | |
* | Tejon Ranch Co. | 257,578 | 7,372 |
* | State Bank Financial Corp. | 486,133 | 7,370 |
* | Forestar Group Inc. | 570,102 | 7,303 |
* | iStar Financial Inc. | 1,123,550 | 7,247 |
Community Trust Bancorp Inc. | 211,563 | 7,085 | |
* | Hilltop Holdings Inc. | 683,733 | 7,049 |
^ | Radian Group Inc. | 2,138,156 | 7,035 |
Sandy Spring Bancorp Inc. | 388,755 | 6,998 | |
Kennedy-Wilson Holdings Inc. | 493,733 | 6,917 | |
* | Piper Jaffray Cos. | 294,974 | 6,911 |
Meadowbrook Insurance Group Inc. | 782,558 | 6,879 | |
Lakeland Financial Corp. | 249,990 | 6,707 | |
Resource Capital Corp. | 1,252,236 | 6,674 | |
* | WisdomTree Investments Inc. | 993,718 | 6,529 |
Flushing Financial Corp. | 474,000 | 6,461 | |
First Busey Corp. | 1,328,481 | 6,417 | |
Dime Community Bancshares Inc. | 480,099 | 6,381 | |
Renasant Corp. | 402,364 | 6,321 | |
Campus Crest Communities Inc. | 604,689 | 6,283 | |
* | Citizens Inc. | 628,596 | 6,129 |
* | West Coast Bancorp | 311,716 | 6,125 |
Monmouth Real Estate Investment Corp. Class A | 515,948 | 6,047 | |
Epoch Holding Corp. | 262,964 | 5,990 | |
Southside Bancshares Inc. | 263,593 | 5,926 | |
Flagstone Reinsurance Holdings SA | 730,987 | 5,855 | |
Excel Trust Inc. | 489,395 | 5,853 | |
* | Investment Technology Group Inc. | 631,869 | 5,813 |
TICC Capital Corp. | 598,660 | 5,807 | |
Winthrop Realty Trust | 477,319 | 5,804 | |
Simmons First National Corp. Class A | 248,731 | 5,783 | |
MCG Capital Corp. | 1,242,796 | 5,717 | |
* | Wilshire Bancorp Inc. | 1,031,075 | 5,650 |
* | ICG Group Inc. | 605,024 | 5,596 |
TowneBank | 397,278 | 5,562 | |
Tompkins Financial Corp. | 146,860 | 5,534 | |
Urstadt Biddle Properties Inc. Class A | 279,256 | 5,521 | |
Rockville Financial Inc. | 476,829 | 5,517 | |
National Western Life Insurance Co. Class A | 38,814 | 5,508 | |
FBL Financial Group Inc. Class A | 196,009 | 5,490 | |
Cardinal Financial Corp. | 445,288 | 5,468 | |
Union First Market Bankshares Corp. | 377,603 | 5,456 | |
Washington Trust Bancorp Inc. | 222,220 | 5,418 |
11
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
1st Source Corp. | 235,842 | 5,330 |
* Central Pacific Financial Corp. | 368,515 | 5,203 |
* Safeguard Scientifics Inc. | 332,660 | 5,150 |
* NewStar Financial Inc. | 397,060 | 5,146 |
* Netspend Holdings Inc. | 550,669 | 5,061 |
SY Bancorp Inc. | 210,725 | 5,047 |
* Beneficial Mutual Bancorp Inc. | 580,763 | 5,012 |
Capital Southwest Corp. | 48,221 | 4,959 |
Sterling Bancorp | 496,352 | 4,954 |
* eHealth Inc. | 305,627 | 4,924 |
Kite Realty Group Trust | 965,923 | 4,820 |
Stewart Information Services Corp. | 309,907 | 4,757 |
MVC Capital Inc. | 364,657 | 4,722 |
Cedar Realty Trust Inc. | 927,936 | 4,686 |
StellarOne Corp. | 366,246 | 4,571 |
Arrow Financial Corp. | 188,851 | 4,565 |
Hudson Valley Holding Corp. | 250,540 | 4,535 |
Apollo Commercial Real Estate Finance Inc. | 280,480 | 4,507 |
WSFS Financial Corp. | 111,345 | 4,499 |
Heartland Financial USA Inc. | 185,210 | 4,445 |
* INTL. FCStone Inc. | 228,505 | 4,422 |
Provident New York Bancorp | 577,823 | 4,386 |
OneBeacon Insurance Group Ltd. Class A | 336,805 | 4,385 |
* Eagle Bancorp Inc. | 272,177 | 4,287 |
First Financial Corp. | 147,704 | 4,283 |
Golub Capital BDC Inc. | 283,774 | 4,282 |
Camden National Corp. | 116,833 | 4,278 |
* Rouse Properties Inc. | 313,856 | 4,253 |
Univest Corp. of Pennsylvania | 254,684 | 4,210 |
CapLease Inc. | 1,010,649 | 4,194 |
Great Southern Bancorp Inc. | 151,400 | 4,176 |
GFI Group Inc. | 1,149,396 | 4,092 |
Lakeland Bancorp Inc. | 387,706 | 4,079 |
Bancfirst Corp. | 97,066 | 4,068 |
Parkway Properties Inc. | 353,030 | 4,039 |
First Connecticut Bancorp Inc. | 286,991 | 3,874 |
* United Community Banks Inc. | 434,803 | 3,726 |
Calamos Asset Management Inc. Class A | 323,030 | 3,699 |
Northfield Bancorp Inc. | 260,098 | 3,696 |
Summit Hotel Properties Inc. | 437,798 | 3,664 |
Republic Bancorp Inc. Class A | 164,665 | 3,664 |
State Auto Financial Corp. | 258,675 | 3,634 |
CoBiz Financial Inc. | 573,056 | 3,587 |
First Community Bancshares Inc. | 243,482 | 3,513 |
* Phoenix Cos. Inc. | 1,866,887 | 3,454 |
OceanFirst Financial Corp. | 239,975 | 3,446 |
* Walker & Dunlop Inc. | 267,243 | 3,434 |
Territorial Bancorp Inc. | 150,345 | 3,423 |
First Interstate Bancsystem Inc. | 238,049 | 3,390 |
Westwood Holdings Group Inc. | 90,224 | 3,362 |
Trico Bancshares | 217,955 | 3,357 |
National Interstate Corp. | 124,626 | 3,314 |
United Financial Bancorp Inc. | 227,843 | 3,276 |
Bank Mutual Corp. | 704,934 | 3,109 |
* Doral Financial Corp. | 2,059,595 | 3,089 |
GAMCO Investors Inc. | 69,573 | 3,088 |
Presidential Life Corp. | 308,577 | 3,033 |
* Flagstar Bancorp Inc. | 3,568,720 | 2,998 |
* Taylor Capital Group Inc. | 182,169 | 2,986 |
* Cowen Group Inc. Class A | 1,113,185 | 2,961 |
Baldwin & Lyons Inc. | 127,340 | 2,959 |
Westfield Financial Inc. | 399,017 | 2,913 |
* Global Indemnity plc | 140,756 | 2,850 |
* Southwest Bancorp Inc. | 296,457 | 2,790 |
12
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | GSV Capital Corp. | 295,695 | 2,750 |
Oppenheimer Holdings Inc. Class A | 174,356 | 2,741 | |
* | Ladenburg Thalmann Financial Services Inc. | 1,762,539 | 2,714 |
Kansas City Life Insurance Co. | 72,588 | 2,554 | |
* | SWS Group Inc. | 471,015 | 2,511 |
*,^ | FNB United Corp. | 169,427 | 2,201 |
THL Credit Inc. | 162,221 | 2,185 | |
First Bancorp | 244,308 | 2,172 | |
* | Suffolk Bancorp | 156,119 | 2,025 |
Donegal Group Inc. Class A | 144,345 | 1,917 | |
Artio Global Investors Inc. Class A | 523,230 | 1,831 | |
EMC Insurance Group Inc. | 82,582 | 1,668 | |
* | First Marblehead Corp. | 1,059,645 | 1,240 |
Urstadt Biddle Properties Inc. | 57,942 | 1,088 | |
* | Gleacher & Co. Inc. | 1,164,239 | 931 |
Crawford & Co. Class A | 233,312 | 901 | |
Crawford & Co. Class B | 198,177 | 811 | |
Pzena Investment Management Inc. Class A | 161,175 | 714 | |
* | Hampton Roads Bankshares Inc. Rights | 167,233 | 256 |
*,^ | Hampton Roads Bankshares Inc. | 193,698 | 211 |
5,625,805 | |||
Health Care (13.7%) | |||
* | BioMarin Pharmaceutical Inc. | 1,967,485 | 77,873 |
* | Onyx Pharmaceuticals Inc. | 1,032,134 | 68,585 |
* | Catalyst Health Solutions Inc. | 688,343 | 64,319 |
Cooper Cos. Inc. | 762,885 | 60,848 | |
*,^ | Questcor Pharmaceuticals Inc. | 1,023,529 | 54,493 |
* | MEDNAX Inc. | 790,918 | 54,210 |
* | Salix Pharmaceuticals Ltd. | 957,280 | 52,114 |
* | AMERIGROUP Corp. | 775,143 | 51,090 |
* | Medivation Inc. | 550,737 | 50,337 |
* | Pharmacyclics Inc. | 886,411 | 48,407 |
Lincare Holdings Inc. | 1,390,475 | 47,304 | |
PerkinElmer Inc. | 1,827,778 | 47,157 | |
* | Cepheid Inc. | 1,049,083 | 46,946 |
* | HMS Holdings Corp. | 1,377,761 | 45,893 |
* | athenahealth Inc. | 571,187 | 45,221 |
* | Vivus Inc. | 1,577,126 | 45,011 |
* | Ariad Pharmaceuticals Inc. | 2,560,135 | 44,060 |
*,^ | Incyte Corp. Ltd. | 1,846,156 | 41,908 |
Techne Corp. | 564,182 | 41,862 | |
* | Community Health Systems Inc. | 1,473,665 | 41,307 |
*,^ | Seattle Genetics Inc. | 1,592,115 | 40,424 |
* | Sirona Dental Systems Inc. | 897,683 | 40,405 |
Teleflex Inc. | 656,540 | 39,990 | |
* | Cubist Pharmaceuticals Inc. | 1,014,031 | 38,442 |
* | United Therapeutics Corp. | 777,533 | 38,395 |
* | WellCare Health Plans Inc. | 690,256 | 36,584 |
* | HealthSouth Corp. | 1,525,060 | 35,473 |
* | Tenet Healthcare Corp. | 6,602,101 | 34,595 |
* | Align Technology Inc. | 1,022,855 | 34,225 |
* | Alkermes plc | 1,990,575 | 33,780 |
Medicis Pharmaceutical Corp. Class A | 948,802 | 32,402 | |
* | Health Net Inc. | 1,334,440 | 32,387 |
* | Myriad Genetics Inc. | 1,357,299 | 32,263 |
* | Health Management Associates Inc. Class A | 4,097,258 | 32,163 |
* | LifePoint Hospitals Inc. | 775,782 | 31,792 |
* | Thoratec Corp. | 941,249 | 31,607 |
*,^ | Arena Pharmaceuticals Inc. | 3,148,184 | 31,419 |
Owens & Minor Inc. | 1,023,692 | 31,356 | |
Hill-Rom Holdings Inc. | 997,208 | 30,764 | |
* | Haemonetics Corp. | 405,020 | 30,016 |
* | VCA Antech Inc. | 1,325,539 | 29,135 |
13
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Brookdale Senior Living Inc. Class A | 1,561,091 | 27,694 |
STERIS Corp. | 882,168 | 27,674 | |
West Pharmaceutical Services Inc. | 544,099 | 27,472 | |
* | PAREXEL International Corp. | 958,286 | 27,052 |
* | ViroPharma Inc. | 1,138,984 | 26,994 |
* | Charles River Laboratories International Inc. | 787,616 | 25,802 |
* | Centene Corp. | 820,241 | 24,738 |
* | Theravance Inc. | 1,108,492 | 24,631 |
* | Jazz Pharmaceuticals plc | 542,797 | 24,431 |
* | Volcano Corp. | 851,959 | 24,409 |
* | Alere Inc. | 1,226,744 | 23,848 |
* | Par Pharmaceutical Cos. Inc. | 588,158 | 21,256 |
* | Auxilium Pharmaceuticals Inc. | 777,396 | 20,904 |
* | Immunogen Inc. | 1,234,725 | 20,719 |
* | Impax Laboratories Inc. | 1,020,748 | 20,691 |
* | Medicines Co. | 875,637 | 20,087 |
* | MWI Veterinary Supply Inc. | 194,820 | 20,022 |
* | Masimo Corp. | 890,367 | 19,926 |
* | Cyberonics Inc. | 443,179 | 19,916 |
* | Magellan Health Services Inc. | 438,290 | 19,868 |
* | Bruker Corp. | 1,469,998 | 19,566 |
Chemed Corp. | 308,073 | 18,620 | |
*,^ | Dendreon Corp. | 2,479,144 | 18,346 |
* | Isis Pharmaceuticals Inc. | 1,524,596 | 18,295 |
Quality Systems Inc. | 664,075 | 18,269 | |
* | Air Methods Corp. | 182,840 | 17,964 |
* | NuVasive Inc. | 686,571 | 17,411 |
* | PSS World Medical Inc. | 826,780 | 17,354 |
* | Akorn Inc. | 1,068,330 | 16,848 |
* | Ironwood Pharmaceuticals Inc. Class A | 1,210,031 | 16,674 |
* | Neogen Corp. | 359,705 | 16,618 |
* | Insulet Corp. | 765,791 | 16,365 |
*,^ | HeartWare International Inc. | 181,793 | 16,143 |
* | Team Health Holdings Inc. | 638,166 | 15,373 |
* | Amsurg Corp. Class A | 506,977 | 15,199 |
* | Acorda Therapeutics Inc. | 638,982 | 15,054 |
PDL BioPharma Inc. | 2,250,947 | 14,924 | |
*,^ | Nektar Therapeutics | 1,842,226 | 14,867 |
* | Luminex Corp. | 605,513 | 14,829 |
*,^ | Spectrum Pharmaceuticals Inc. | 924,703 | 14,388 |
* | DexCom Inc. | 1,088,899 | 14,112 |
Meridian Bioscience Inc. | 664,142 | 13,588 | |
* | NxStage Medical Inc. | 800,022 | 13,408 |
* | Halozyme Therapeutics Inc. | 1,512,504 | 13,401 |
* | Hanger Inc. | 520,814 | 13,354 |
* | Exelixis Inc. | 2,390,418 | 13,219 |
* | ArthroCare Corp. | 444,292 | 13,009 |
* | Abaxis Inc. | 349,293 | 12,924 |
* | ABIOMED Inc. | 565,351 | 12,901 |
*,^ | MAKO Surgical Corp. | 503,314 | 12,890 |
* | InterMune Inc. | 1,052,365 | 12,576 |
CONMED Corp. | 450,914 | 12,477 | |
* | Medidata Solutions Inc. | 379,283 | 12,391 |
* | Endologix Inc. | 795,251 | 12,279 |
* | Orthofix International NV | 296,548 | 12,233 |
Analogic Corp. | 196,846 | 12,204 | |
* | Wright Medical Group Inc. | 569,589 | 12,161 |
* | Integra LifeSciences Holdings Corp. | 324,645 | 12,070 |
* | IPC The Hospitalist Co. Inc. | 266,217 | 12,065 |
* | NPS Pharmaceuticals Inc. | 1,386,788 | 11,940 |
* | Dynavax Technologies Corp. | 2,665,169 | 11,514 |
* | Idenix Pharmaceuticals Inc. | 1,105,216 | 11,384 |
* | Molina Healthcare Inc. | 479,590 | 11,251 |
*,^ | Optimer Pharmaceuticals Inc. | 713,663 | 11,076 |
14
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Opko Health Inc. | 2,337,592 | 10,753 |
* | ICU Medical Inc. | 201,012 | 10,730 |
* | Rigel Pharmaceuticals Inc. | 1,148,435 | 10,680 |
* | Bio-Reference Labs Inc. | 405,176 | 10,648 |
Cantel Medical Corp. | 368,631 | 10,045 | |
* | MedAssets Inc. | 745,600 | 10,028 |
* | Exact Sciences Corp. | 903,125 | 9,681 |
Computer Programs & Systems Inc. | 167,814 | 9,602 | |
* | Momenta Pharmaceuticals Inc. | 703,002 | 9,505 |
* | Conceptus Inc. | 478,518 | 9,484 |
* | Merit Medical Systems Inc. | 643,325 | 8,884 |
* | Genomic Health Inc. | 262,027 | 8,752 |
Landauer Inc. | 152,282 | 8,730 | |
* | Alnylam Pharmaceuticals Inc. | 735,851 | 8,587 |
* | Greatbatch Inc. | 377,850 | 8,581 |
* | OraSure Technologies Inc. | 761,701 | 8,562 |
* | Neurocrine Biosciences Inc. | 1,068,592 | 8,453 |
* | Kindred Healthcare Inc. | 840,877 | 8,266 |
* | HealthStream Inc. | 314,165 | 8,168 |
* | Omnicell Inc. | 535,820 | 7,844 |
* | Lexicon Pharmaceuticals Inc. | 3,468,716 | 7,805 |
Ensign Group Inc. | 273,741 | 7,739 | |
* | Quidel Corp. | 482,583 | 7,567 |
* | AVANIR Pharmaceuticals Inc. | 1,926,526 | 7,552 |
* | Accuray Inc. | 1,089,217 | 7,450 |
*,^ | Sequenom Inc. | 1,812,906 | 7,360 |
Invacare Corp. | 471,154 | 7,270 | |
* | Select Medical Holdings Corp. | 717,000 | 7,249 |
* | Emeritus Corp. | 429,123 | 7,222 |
* | Affymax Inc. | 547,504 | 7,052 |
*,^ | Accretive Health Inc. | 633,731 | 6,946 |
*,^ | Sunrise Senior Living Inc. | 925,291 | 6,745 |
*,^ | Curis Inc. | 1,237,687 | 6,684 |
National Healthcare Corp. | 144,982 | 6,558 | |
* | ExamWorks Group Inc. | 494,789 | 6,546 |
* | MModal Inc. | 498,854 | 6,475 |
*,^ | AVEO Pharmaceuticals Inc. | 523,867 | 6,370 |
eResearchTechnology Inc. | 794,831 | 6,351 | |
*,^ | ZIOPHARM Oncology Inc. | 1,066,610 | 6,346 |
* | Acadia Healthcare Co. Inc. | 357,422 | 6,269 |
* | Emergent Biosolutions Inc. | 406,394 | 6,157 |
* | Amedisys Inc. | 481,614 | 5,996 |
* | Universal American Corp. | 568,046 | 5,982 |
* | Protalix BioTherapeutics Inc. | 1,025,895 | 5,878 |
* | Triple-S Management Corp. Class B | 315,427 | 5,766 |
* | Arqule Inc. | 932,115 | 5,527 |
* | MAP Pharmaceuticals Inc. | 367,218 | 5,501 |
* | Natus Medical Inc. | 471,795 | 5,482 |
* | Antares Pharma Inc. | 1,504,993 | 5,478 |
* | Hi-Tech Pharmacal Co. Inc. | 166,843 | 5,406 |
* | Synageva BioPharma Corp. | 132,858 | 5,389 |
* | Corvel Corp. | 109,744 | 5,377 |
* | Metropolitan Health Networks Inc. | 561,892 | 5,377 |
Atrion Corp. | 25,892 | 5,307 | |
* | Sciclone Pharmaceuticals Inc. | 749,000 | 5,250 |
* | PharMerica Corp. | 472,601 | 5,161 |
* | BioScrip Inc. | 693,866 | 5,155 |
*,^ | Navidea Biopharmaceuticals Inc. | 1,374,048 | 5,111 |
* | Depomed Inc. | 889,272 | 5,060 |
* | Progenics Pharmaceuticals Inc. | 514,833 | 5,035 |
* | Symmetry Medical Inc. | 582,946 | 5,002 |
* | Tornier NV | 220,588 | 4,946 |
* | AngioDynamics Inc. | 405,796 | 4,874 |
* | Ligand Pharmaceuticals Inc. Class B | 284,321 | 4,816 |
15
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Threshold Pharmaceuticals Inc. | 645,748 | 4,779 |
* | Affymetrix Inc. | 1,017,742 | 4,773 |
* | SurModics Inc. | 267,375 | 4,626 |
Assisted Living Concepts Inc. Class A | 321,655 | 4,574 | |
* | Obagi Medical Products Inc. | 298,573 | 4,559 |
* | Achillion Pharmaceuticals Inc. | 727,654 | 4,511 |
* | Staar Surgical Co. | 579,431 | 4,502 |
* | Sangamo Biosciences Inc. | 801,419 | 4,424 |
* | Vanguard Health Systems Inc. | 493,703 | 4,389 |
* | LHC Group Inc. | 256,553 | 4,351 |
* | Raptor Pharmaceutical Corp. | 766,965 | 4,287 |
* | Healthways Inc. | 534,548 | 4,266 |
*,^ | MannKind Corp. | 1,827,004 | 4,184 |
* | Aegerion Pharmaceuticals Inc. | 281,207 | 4,173 |
* | Immunomedics Inc. | 1,151,736 | 4,112 |
*,^ | Clovis Oncology Inc. | 188,816 | 4,094 |
* | Enzon Pharmaceuticals Inc. | 581,392 | 3,994 |
*,^ | Unilife Corp. | 1,181,047 | 3,992 |
* | Fluidigm Corp. | 259,950 | 3,910 |
* | PROLOR Biotech Inc. | 738,092 | 3,683 |
* | AMAG Pharmaceuticals Inc. | 238,181 | 3,668 |
* | AMN Healthcare Services Inc. | 617,011 | 3,659 |
* | Corcept Therapeutics Inc. | 812,527 | 3,648 |
* | Geron Corp. | 2,110,538 | 3,630 |
* | Endocyte Inc. | 430,336 | 3,537 |
* | XenoPort Inc. | 571,988 | 3,455 |
* | Sun Healthcare Group Inc. | 403,596 | 3,378 |
* | Dyax Corp. | 1,585,201 | 3,376 |
Young Innovations Inc. | 96,093 | 3,314 | |
* | Cadence Pharmaceuticals Inc. | 928,269 | 3,314 |
*,^ | NewLink Genetics Corp. | 214,897 | 3,219 |
* | RTI Biologics Inc. | 847,941 | 3,188 |
* | Orexigen Therapeutics Inc. | 560,637 | 3,106 |
* | Gentiva Health Services Inc. | 444,654 | 3,081 |
* | Almost Family Inc. | 135,259 | 3,022 |
*,^ | Osiris Therapeutics Inc. | 263,482 | 2,890 |
* | Sagent Pharmaceuticals Inc. | 156,644 | 2,832 |
* | Merge Healthcare Inc. | 949,750 | 2,716 |
* | Pozen Inc. | 432,265 | 2,697 |
* | Pain Therapeutics Inc. | 574,375 | 2,694 |
* | Novavax Inc. | 1,661,065 | 2,591 |
* | Palomar Medical Technologies Inc. | 298,425 | 2,537 |
* | Epocrates Inc. | 290,569 | 2,330 |
* | Exactech Inc. | 137,253 | 2,302 |
* | Allos Therapeutics Inc. | 1,275,251 | 2,283 |
* | Trius Therapeutics Inc. | 357,775 | 2,061 |
*,^ | Biotime Inc. | 443,691 | 2,041 |
* | Skilled Healthcare Group Inc. | 321,155 | 2,017 |
* | Cross Country Healthcare Inc. | 451,291 | 1,972 |
* | Targacept Inc. | 455,518 | 1,959 |
*,^ | Cell Therapeutics Inc. | 3,273,646 | 1,899 |
* | SIGA Technologies Inc. | 619,051 | 1,777 |
*,^ | Ampio Pharmaceuticals Inc. | 324,706 | 1,649 |
* | Pacific Biosciences of California Inc. | 659,959 | 1,432 |
* | Codexis Inc. | 346,330 | 1,295 |
* | Metabolix Inc. | 492,779 | 912 |
* | BioMimetic Therapeutics Inc. | 337,735 | 888 |
*,^ | Savient Pharmaceuticals Inc. | 1,147,272 | 620 |
* | Alimera Sciences Inc. | 176,594 | 528 |
*,^ | Complete Genomics Inc. | 239,693 | 446 |
* | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 297,875 | 283 |
3,487,231 | |||
Industrials (16.1%) | |||
Wabtec Corp. | 773,621 | 60,350 |
16
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Lincoln Electric Holdings Inc. | 1,281,739 | 56,127 | |
Carlisle Cos. Inc. | 994,538 | 52,730 | |
* | Fortune Brands Home & Security Inc. | 2,286,647 | 50,924 |
Corrections Corp. of America | 1,602,898 | 47,205 | |
Valmont Industries Inc. | 383,807 | 46,429 | |
Nordson Corp. | 886,043 | 45,445 | |
Triumph Group Inc. | 802,406 | 45,151 | |
Graco Inc. | 964,119 | 44,427 | |
* | United Rentals Inc. | 1,280,680 | 43,594 |
* | Clean Harbors Inc. | 769,486 | 43,414 |
Kennametal Inc. | 1,283,765 | 42,557 | |
* | Hexcel Corp. | 1,599,931 | 41,262 |
* | Alaska Air Group Inc. | 1,142,380 | 41,011 |
* | WESCO International Inc. | 700,109 | 40,291 |
Regal-Beloit Corp. | 636,807 | 39,648 | |
Woodward Inc. | 1,001,235 | 39,489 | |
CLARCOR Inc. | 809,961 | 39,008 | |
Landstar System Inc. | 752,618 | 38,925 | |
* | Kirby Corp. | 809,408 | 38,107 |
* | Dollar Thrifty Automotive Group Inc. | 453,412 | 36,708 |
Alexander & Baldwin Inc. | 674,572 | 35,921 | |
Toro Co. | 484,372 | 35,500 | |
* | Teledyne Technologies Inc. | 565,711 | 34,876 |
* | US Airways Group Inc. | 2,610,866 | 34,803 |
Acuity Brands Inc. | 678,355 | 34,535 | |
* | Genesee & Wyoming Inc. Class A | 648,666 | 34,276 |
Covanta Holding Corp. | 1,972,860 | 33,835 | |
* | Chart Industries Inc. | 477,274 | 32,817 |
Lennox International Inc. | 696,148 | 32,461 | |
Con-way Inc. | 898,593 | 32,448 | |
Trinity Industries Inc. | 1,291,953 | 32,273 | |
* | Huntington Ingalls Industries Inc. | 786,317 | 31,641 |
* | Terex Corp. | 1,768,211 | 31,527 |
AO Smith Corp. | 632,563 | 30,926 | |
* | Esterline Technologies Corp. | 493,494 | 30,769 |
Watsco Inc. | 411,086 | 30,338 | |
*,^ | Polypore International Inc. | 749,049 | 30,254 |
* | Old Dominion Freight Line Inc. | 694,053 | 30,046 |
* | Middleby Corp. | 301,211 | 30,004 |
EMCOR Group Inc. | 1,072,145 | 29,827 | |
Ryder System Inc. | 824,286 | 29,683 | |
Exelis Inc. | 2,972,293 | 29,307 | |
* | Shaw Group Inc. | 1,049,316 | 28,657 |
Actuant Corp. Class A | 1,042,576 | 28,316 | |
* | Oshkosh Corp. | 1,327,184 | 27,804 |
Robbins & Myers Inc. | 659,306 | 27,572 | |
GATX Corp. | 714,719 | 27,517 | |
Crane Co. | 744,520 | 27,086 | |
* | EnerSys | 767,910 | 26,931 |
Alliant Techsystems Inc. | 531,734 | 26,890 | |
* | Advisory Board Co. | 537,106 | 26,635 |
* | Tetra Tech Inc. | 1,016,865 | 26,520 |
Harsco Corp. | 1,297,368 | 26,440 | |
* | Moog Inc. Class A | 629,653 | 26,036 |
* | Acacia Research Corp. | 691,354 | 25,746 |
* | Avis Budget Group Inc. | 1,689,390 | 25,679 |
ITT Corp. | 1,452,357 | 25,561 | |
* | Portfolio Recovery Associates Inc. | 276,371 | 25,222 |
* | Colfax Corp. | 896,653 | 24,721 |
Belden Inc. | 740,533 | 24,697 | |
UTi Worldwide Inc. | 1,653,240 | 24,154 | |
Rollins Inc. | 1,064,052 | 23,803 | |
Manitowoc Co. Inc. | 2,015,137 | 23,577 | |
* | Air Lease Corp. | 1,194,802 | 23,167 |
17
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Geo Group Inc. | 1,007,027 | 22,880 |
*,^ | USG Corp. | 1,186,192 | 22,597 |
Applied Industrial Technologies Inc. | 609,000 | 22,442 | |
Corporate Executive Board Co. | 535,892 | 21,907 | |
Brady Corp. Class A | 788,208 | 21,684 | |
* | Hub Group Inc. Class A | 596,462 | 21,592 |
Macquarie Infrastructure Co. LLC | 634,577 | 21,125 | |
Curtiss-Wright Corp. | 675,839 | 20,985 | |
* | General Cable Corp. | 801,872 | 20,801 |
* | JetBlue Airways Corp. | 3,862,746 | 20,473 |
Deluxe Corp. | 820,685 | 20,468 | |
Mine Safety Appliances Co. | 501,694 | 20,188 | |
Healthcare Services Group Inc. | 1,021,736 | 19,801 | |
Mueller Industries Inc. | 461,340 | 19,648 | |
Raven Industries Inc. | 276,642 | 19,252 | |
* | FTI Consulting Inc. | 669,120 | 19,237 |
* | GrafTech International Ltd. | 1,973,634 | 19,046 |
* | Beacon Roofing Supply Inc. | 746,402 | 18,824 |
* | ACCO Brands Corp. | 1,803,919 | 18,653 |
HNI Corp. | 723,486 | 18,630 | |
Armstrong World Industries Inc. | 376,874 | 18,527 | |
* | Atlas Air Worldwide Holdings Inc. | 423,099 | 18,409 |
Simpson Manufacturing Co. Inc. | 621,695 | 18,346 | |
Barnes Group Inc. | 746,771 | 18,139 | |
Brink's Co. | 754,121 | 17,481 | |
United Stationers Inc. | 648,336 | 17,473 | |
Herman Miller Inc. | 937,642 | 17,365 | |
* | Allegiant Travel Co. Class A | 246,056 | 17,145 |
ABM Industries Inc. | 861,957 | 16,860 | |
* | RBC Bearings Inc. | 356,038 | 16,841 |
Werner Enterprises Inc. | 704,766 | 16,837 | |
HEICO Corp. | 415,952 | 16,438 | |
Franklin Electric Co. Inc. | 319,371 | 16,329 | |
TAL International Group Inc. | 486,102 | 16,280 | |
Titan International Inc. | 645,443 | 15,833 | |
ESCO Technologies Inc. | 429,442 | 15,649 | |
Granite Construction Inc. | 591,667 | 15,448 | |
UniFirst Corp. | 241,496 | 15,395 | |
* | MasTec Inc. | 1,021,786 | 15,368 |
Knight Transportation Inc. | 959,931 | 15,349 | |
Watts Water Technologies Inc. Class A | 452,991 | 15,103 | |
Forward Air Corp. | 461,643 | 14,897 | |
* | II-VI Inc. | 859,165 | 14,322 |
Briggs & Stratton Corp. | 801,210 | 14,013 | |
* | Spirit Airlines Inc. | 708,137 | 13,780 |
* | Interface Inc. Class A | 1,007,694 | 13,735 |
Lindsay Corp. | 204,520 | 13,273 | |
* | Swift Transportation Co. | 1,383,565 | 13,075 |
* | Interline Brands Inc. | 508,616 | 12,751 |
* | Seaboard Corp. | 5,845 | 12,467 |
Cubic Corp. | 258,359 | 12,422 | |
AZZ Inc. | 202,651 | 12,414 | |
* | EnPro Industries Inc. | 331,290 | 12,380 |
* | Orbital Sciences Corp. | 949,493 | 12,267 |
Heartland Express Inc. | 835,443 | 11,955 | |
Aircastle Ltd. | 988,284 | 11,909 | |
Kaman Corp. | 380,800 | 11,782 | |
Universal Forest Products Inc. | 299,255 | 11,665 | |
Steelcase Inc. Class A | 1,285,679 | 11,610 | |
* | Huron Consulting Group Inc. | 363,382 | 11,501 |
* | Trimas Corp. | 568,505 | 11,427 |
Amerco Inc. | 126,402 | 11,372 | |
* | Aegion Corp. Class A | 633,891 | 11,340 |
* | Exponent Inc. | 214,607 | 11,338 |
18
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* KAR Auction Services Inc. | 658,770 | 11,324 |
* Korn/Ferry International | 769,473 | 11,042 |
Kaydon Corp. | 514,602 | 11,007 |
* Blount International Inc. | 746,161 | 10,931 |
Tennant Co. | 273,405 | 10,923 |
* Navigant Consulting Inc. | 842,336 | 10,647 |
Quanex Building Products Corp. | 592,170 | 10,588 |
* Encore Capital Group Inc. | 355,568 | 10,532 |
* Generac Holdings Inc. | 435,501 | 10,478 |
Knoll Inc. | 772,712 | 10,370 |
* Sykes Enterprises Inc. | 639,461 | 10,206 |
* Dycom Industries Inc. | 541,903 | 10,085 |
McGrath RentCorp | 376,945 | 9,989 |
* TrueBlue Inc. | 642,563 | 9,947 |
HEICO Corp. Class A | 303,430 | 9,789 |
NACCO Industries Inc. Class A | 82,262 | 9,563 |
* Astec Industries Inc. | 311,131 | 9,545 |
Insperity Inc. | 352,648 | 9,539 |
Ceradyne Inc. | 370,451 | 9,502 |
* On Assignment Inc. | 594,072 | 9,481 |
G&K Services Inc. Class A | 303,641 | 9,471 |
* Team Inc. | 301,266 | 9,393 |
* DigitalGlobe Inc. | 597,102 | 9,052 |
* Mobile Mini Inc. | 624,730 | 8,996 |
AAR Corp. | 649,797 | 8,759 |
Mueller Water Products Inc. Class A | 2,523,085 | 8,730 |
Standex International Corp. | 204,007 | 8,685 |
* Titan Machinery Inc. | 284,981 | 8,655 |
Resources Connection Inc. | 695,378 | 8,553 |
CIRCOR International Inc. | 250,631 | 8,544 |
American Science & Engineering Inc. | 143,884 | 8,122 |
Encore Wire Corp. | 302,077 | 8,090 |
Albany International Corp. | 430,433 | 8,053 |
Sun Hydraulics Corp. | 330,799 | 8,035 |
* RailAmerica Inc. | 326,038 | 7,890 |
* InnerWorkings Inc. | 563,102 | 7,619 |
* ICF International Inc. | 318,843 | 7,601 |
* Meritor Inc. | 1,449,939 | 7,569 |
* Aerovironment Inc. | 283,918 | 7,470 |
* Wabash National Corp. | 1,102,195 | 7,297 |
Apogee Enterprises Inc. | 452,167 | 7,266 |
* H&E Equipment Services Inc. | 481,231 | 7,233 |
Griffon Corp. | 842,243 | 7,226 |
* Tutor Perini Corp. | 569,863 | 7,220 |
* Greenbrier Cos. Inc. | 406,662 | 7,149 |
* Mistras Group Inc. | 270,430 | 7,107 |
Gorman-Rupp Co. | 236,705 | 7,054 |
Altra Holdings Inc. | 433,312 | 6,838 |
Sauer-Danfoss Inc. | 195,367 | 6,824 |
Cascade Corp. | 143,140 | 6,735 |
* DXP Enterprises Inc. | 159,242 | 6,607 |
* Layne Christensen Co. | 318,950 | 6,599 |
* Kforce Inc. | 486,314 | 6,546 |
Viad Corp. | 323,016 | 6,460 |
* Trex Co. Inc. | 214,112 | 6,443 |
Ennis Inc. | 418,212 | 6,432 |
Great Lakes Dredge & Dock Corp. | 899,090 | 6,402 |
John Bean Technologies Corp. | 462,768 | 6,280 |
Comfort Systems USA Inc. | 605,044 | 6,063 |
Kelly Services Inc. Class A | 459,438 | 5,931 |
* Federal Signal Corp. | 998,411 | 5,831 |
Global Power Equipment Group Inc. | 262,859 | 5,741 |
Celadon Group Inc. | 349,583 | 5,726 |
^ Quad/Graphics Inc. | 396,553 | 5,702 |
19
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Powell Industries Inc. | 151,841 | 5,673 |
Marten Transport Ltd. | 265,454 | 5,644 | |
* | Saia Inc. | 255,951 | 5,603 |
AAON Inc. | 296,634 | 5,592 | |
* | MYR Group Inc. | 327,505 | 5,587 |
Primoris Services Corp. | 450,797 | 5,410 | |
^ | National Presto Industries Inc. | 77,240 | 5,389 |
* | Standard Parking Corp. | 250,302 | 5,386 |
SkyWest Inc. | 823,631 | 5,378 | |
US Ecology Inc. | 294,089 | 5,217 | |
* | Rush Enterprises Inc. Class A | 312,335 | 5,107 |
Douglas Dynamics Inc. | 353,535 | 5,038 | |
* | Hawaiian Holdings Inc. | 773,642 | 5,036 |
* | GeoEye Inc. | 320,480 | 4,961 |
* | GenCorp Inc. | 755,189 | 4,916 |
Arkansas Best Corp. | 388,067 | 4,890 | |
* | Gibraltar Industries Inc. | 465,775 | 4,835 |
*,^ | Zipcar Inc. | 410,098 | 4,810 |
* | Taser International Inc. | 894,038 | 4,685 |
*,^ | Swisher Hygiene Inc. | 1,815,325 | 4,593 |
* | Air Transport Services Group Inc. | 874,140 | 4,546 |
Heidrick & Struggles International Inc. | 257,804 | 4,512 | |
* | Kadant Inc. | 191,383 | 4,488 |
* | Thermon Group Holdings Inc. | 216,081 | 4,475 |
*,^ | Capstone Turbine Corp. | 4,430,144 | 4,474 |
* | Columbus McKinnon Corp. | 295,695 | 4,462 |
FreightCar America Inc. | 191,846 | 4,407 | |
LB Foster Co. Class A | 153,338 | 4,387 | |
* | Wesco Aircraft Holdings Inc. | 344,146 | 4,381 |
Multi-Color Corp. | 194,596 | 4,328 | |
* | Consolidated Graphics Inc. | 147,863 | 4,295 |
* | XPO Logistics Inc. | 249,663 | 4,194 |
* | American Railcar Industries Inc. | 154,190 | 4,179 |
* | Republic Airways Holdings Inc. | 736,603 | 4,088 |
* | Echo Global Logistics Inc. | 213,451 | 4,068 |
* | CBIZ Inc. | 682,685 | 4,055 |
* | RPX Corp. | 275,511 | 3,954 |
* | Accuride Corp. | 645,265 | 3,872 |
* | Astronics Corp. | 132,667 | 3,747 |
* | Roadrunner Transportation Systems Inc. | 221,730 | 3,745 |
Dynamic Materials Corp. | 214,347 | 3,715 | |
* | CAI International Inc. | 185,803 | 3,694 |
* | Northwest Pipe Co. | 149,921 | 3,637 |
Alamo Group Inc. | 114,720 | 3,599 | |
* | Michael Baker Corp. | 137,798 | 3,595 |
CDI Corp. | 215,413 | 3,533 | |
* | Commercial Vehicle Group Inc. | 384,332 | 3,313 |
Kimball International Inc. Class B | 419,199 | 3,228 | |
* | American Reprographics Co. | 630,929 | 3,174 |
* | Ameresco Inc. Class A | 264,638 | 3,157 |
Schawk Inc. Class A | 247,125 | 3,138 | |
* | Dolan Co. | 466,303 | 3,138 |
*,^ | American Superconductor Corp. | 660,877 | 3,106 |
* | Pacer International Inc. | 561,462 | 3,043 |
SeaCube Container Leasing Ltd. | 177,940 | 3,037 | |
* | Orion Marine Group Inc. | 435,307 | 3,030 |
Houston Wire & Cable Co. | 270,942 | 2,961 | |
* | Furmanite Corp. | 595,926 | 2,896 |
* | American Woodmark Corp. | 161,374 | 2,759 |
* | Pike Electric Corp. | 334,761 | 2,584 |
Twin Disc Inc. | 137,593 | 2,544 | |
* | Sterling Construction Co. Inc. | 248,856 | 2,543 |
* | EnerNOC Inc. | 350,771 | 2,540 |
* | KEYW Holding Corp. | 252,287 | 2,533 |
20
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | CRA International Inc. | 170,641 | 2,507 |
*,^ | A123 Systems Inc. | 1,890,890 | 2,383 |
Vicor Corp. | 337,511 | 2,342 | |
* | Patriot Transportation Holding Inc. | 97,218 | 2,288 |
Ampco-Pittsburgh Corp. | 124,365 | 2,280 | |
Preformed Line Products Co. | 37,824 | 2,190 | |
* | EnergySolutions Inc. | 1,284,184 | 2,170 |
* | TMS International Corp. Class A | 207,246 | 2,066 |
* | PMFG Inc. | 260,479 | 2,034 |
* | Pendrell Corp. | 1,656,607 | 1,855 |
*,^ | Cenveo Inc. | 913,944 | 1,764 |
* | Rush Enterprises Inc. Class B | 129,885 | 1,743 |
* | Genco Shipping & Trading Ltd. | 527,379 | 1,609 |
* | Ducommun Inc. | 160,669 | 1,576 |
* | Metalico Inc. | 685,692 | 1,509 |
* | Hill International Inc. | 432,636 | 1,384 |
Baltic Trading Ltd. | 271,144 | 933 | |
* | Tecumseh Products Co. Class A | 177,907 | 898 |
*,^ | Eagle Bulk Shipping Inc. | 251,393 | 794 |
* | Tecumseh Products Co. Class B | 37,155 | 182 |
4,089,041 | |||
Information Technology (16.2%) | |||
* | Ariba Inc. | 1,602,972 | 71,749 |
* | NCR Corp. | 2,547,529 | 57,905 |
* | Concur Technologies Inc. | 746,530 | 50,839 |
* | Cadence Design Systems Inc. | 4,413,252 | 48,502 |
Jack Henry & Associates Inc. | 1,327,899 | 45,839 | |
* | AOL Inc. | 1,526,884 | 42,875 |
Broadridge Financial Solutions Inc. | 1,998,233 | 42,502 | |
* | Teradyne Inc. | 3,001,138 | 42,196 |
National Instruments Corp. | 1,555,450 | 41,779 | |
* | JDS Uniphase Corp. | 3,764,210 | 41,406 |
MercadoLibre Inc. | 533,382 | 40,430 | |
* | Parametric Technology Corp. | 1,917,184 | 40,184 |
* | SolarWinds Inc. | 874,398 | 38,089 |
Diebold Inc. | 1,002,974 | 37,020 | |
* | Wright Express Corp. | 591,938 | 36,534 |
* | NeuStar Inc. Class A | 1,085,362 | 36,251 |
* | Ultimate Software Group Inc. | 403,786 | 35,985 |
* | Aspen Technology Inc. | 1,508,956 | 34,932 |
* | Brocade Communications Systems Inc. | 7,015,398 | 34,586 |
Lender Processing Services Inc. | 1,359,278 | 34,363 | |
* | CoStar Group Inc. | 415,049 | 33,702 |
* | CommVault Systems Inc. | 676,217 | 33,520 |
* | Compuware Corp. | 3,520,903 | 32,709 |
* | Tech Data Corp. | 664,829 | 32,025 |
Cypress Semiconductor Corp. | 2,369,780 | 31,328 | |
* | Cirrus Logic Inc. | 1,032,149 | 30,841 |
ADTRAN Inc. | 976,371 | 29,477 | |
DST Systems Inc. | 533,848 | 28,993 | |
* | Zebra Technologies Corp. | 837,603 | 28,780 |
* | Fairchild Semiconductor International Inc. Class A | 2,029,085 | 28,610 |
MAXIMUS Inc. | 543,587 | 28,131 | |
* | ACI Worldwide Inc. | 630,972 | 27,895 |
* | Cymer Inc. | 471,663 | 27,805 |
* | FEI Co. | 579,644 | 27,730 |
Convergys Corp. | 1,866,905 | 27,574 | |
*,^ | 3D Systems Corp. | 795,317 | 27,152 |
* | QLIK Technologies Inc. | 1,224,385 | 27,083 |
* | Itron Inc. | 641,609 | 26,460 |
* | Aruba Networks Inc. | 1,756,555 | 26,436 |
* | Quest Software Inc. | 940,865 | 26,203 |
* | Microsemi Corp. | 1,406,756 | 26,011 |
* | Ciena Corp. | 1,586,622 | 25,973 |
21
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | FleetCor Technologies Inc. | 736,172 | 25,795 |
* | Arris Group Inc. | 1,854,012 | 25,789 |
* | Semtech Corp. | 1,046,887 | 25,460 |
* | CoreLogic Inc. | 1,373,054 | 25,141 |
* | ViaSat Inc. | 655,648 | 24,764 |
Fair Isaac Corp. | 579,531 | 24,503 | |
* | Silicon Laboratories Inc. | 646,364 | 24,497 |
MKS Instruments Inc. | 845,921 | 24,472 | |
Anixter International Inc. | 452,716 | 24,017 | |
*,^ | Universal Display Corp. | 668,035 | 24,009 |
* | Sourcefire Inc. | 464,231 | 23,861 |
* | Hittite Microwave Corp. | 455,232 | 23,271 |
Plantronics Inc. | 691,278 | 23,089 | |
* | IPG Photonics Corp. | 527,787 | 23,006 |
*,^ | VirnetX Holding Corp. | 650,951 | 22,946 |
* | PMC - Sierra Inc. | 3,726,676 | 22,882 |
* | Mentor Graphics Corp. | 1,498,324 | 22,475 |
* | CACI International Inc. Class A | 404,805 | 22,272 |
* | Cavium Inc. | 794,651 | 22,250 |
* | International Rectifier Corp. | 1,112,736 | 22,244 |
* | Vishay Intertechnology Inc. | 2,334,559 | 22,015 |
* | Finisar Corp. | 1,460,794 | 21,853 |
* | QLogic Corp. | 1,589,659 | 21,762 |
Intersil Corp. Class A | 2,036,331 | 21,687 | |
* | NetSuite Inc. | 391,890 | 21,464 |
InterDigital Inc. | 726,770 | 21,447 | |
*,^ | Veeco Instruments Inc. | 623,532 | 21,425 |
Littelfuse Inc. | 372,119 | 21,170 | |
* | NETGEAR Inc. | 609,119 | 21,021 |
* | Progress Software Corp. | 997,078 | 20,809 |
* | Comverse Technology Inc. | 3,521,437 | 20,495 |
Cognex Corp. | 644,058 | 20,384 | |
* | JDA Software Group Inc. | 685,671 | 20,358 |
* | DealerTrack Holdings Inc. | 675,913 | 20,352 |
* | Cardtronics Inc. | 673,165 | 20,336 |
* | ValueClick Inc. | 1,229,956 | 20,159 |
j2 Global Inc. | 736,853 | 19,468 | |
* | OSI Systems Inc. | 302,803 | 19,180 |
* | Acxiom Corp. | 1,260,278 | 19,043 |
* | Liquidity Services Inc. | 369,725 | 18,926 |
* | RF Micro Devices Inc. | 4,444,293 | 18,888 |
Heartland Payment Systems Inc. | 625,730 | 18,822 | |
* | Entegris Inc. | 2,189,673 | 18,700 |
Tellabs Inc. | 5,589,396 | 18,613 | |
Blackbaud Inc. | 724,292 | 18,593 | |
Sapient Corp. | 1,808,193 | 18,209 | |
* | MicroStrategy Inc. Class A | 135,261 | 17,565 |
* | Tyler Technologies Inc. | 434,578 | 17,535 |
Power Integrations Inc. | 455,812 | 17,002 | |
* | Stratasys Inc. | 341,209 | 16,907 |
* | WebMD Health Corp. | 823,520 | 16,890 |
* | Monster Worldwide Inc. | 1,980,328 | 16,833 |
*,^ | Fusion-io Inc. | 797,453 | 16,659 |
* | Coherent Inc. | 379,057 | 16,413 |
Syntel Inc. | 269,202 | 16,341 | |
*,^ | VistaPrint NV | 504,734 | 16,303 |
* | TiVo Inc. | 1,956,639 | 16,181 |
* | Plexus Corp. | 560,055 | 15,794 |
* | EchoStar Corp. Class A | 594,009 | 15,694 |
* | Synaptics Inc. | 530,303 | 15,183 |
* | Manhattan Associates Inc. | 330,741 | 15,118 |
* | TriQuint Semiconductor Inc. | 2,675,545 | 14,715 |
* | LivePerson Inc. | 771,622 | 14,707 |
*,^ | First Solar Inc. | 974,655 | 14,678 |
22
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Advent Software Inc. | 533,770 | 14,471 |
* | SYNNEX Corp. | 417,498 | 14,400 |
* | SS&C Technologies Holdings Inc. | 550,894 | 13,772 |
* | RealPage Inc. | 585,854 | 13,568 |
* | ScanSource Inc. | 441,257 | 13,520 |
* | Standard Microsystems Corp. | 357,799 | 13,199 |
* | Ultratech Inc. | 416,037 | 13,105 |
* | OpenTable Inc. | 290,518 | 13,076 |
* | Unisys Corp. | 664,965 | 13,000 |
* | Benchmark Electronics Inc. | 929,970 | 12,973 |
Tessera Technologies Inc. | 835,113 | 12,836 | |
* | Integrated Device Technology Inc. | 2,276,400 | 12,793 |
EarthLink Inc. | 1,709,617 | 12,720 | |
NIC Inc. | 984,776 | 12,507 | |
* | Euronet Worldwide Inc. | 729,091 | 12,482 |
* | Ancestry.com Inc. | 448,922 | 12,359 |
* | Netscout Systems Inc. | 568,977 | 12,284 |
* | Take-Two Interactive Software Inc. | 1,297,442 | 12,274 |
* | Electronics for Imaging Inc. | 740,250 | 12,029 |
* | Insight Enterprises Inc. | 708,016 | 11,916 |
Ebix Inc. | 596,013 | 11,890 | |
* | Bankrate Inc. | 644,096 | 11,845 |
* | Infinera Corp. | 1,722,998 | 11,785 |
* | Web.com Group Inc. | 628,415 | 11,513 |
* | Websense Inc. | 607,050 | 11,370 |
* | FARO Technologies Inc. | 270,023 | 11,363 |
* | OmniVision Technologies Inc. | 842,395 | 11,254 |
* | Verint Systems Inc. | 375,663 | 11,086 |
* | Diodes Inc. | 585,655 | 10,993 |
Cabot Microelectronics Corp. | 369,349 | 10,789 | |
* | Kenexa Corp. | 371,331 | 10,780 |
* | Sanmina-SCI Corp. | 1,312,301 | 10,748 |
* | Spansion Inc. Class A | 965,342 | 10,599 |
* | Bottomline Technologies Inc. | 583,614 | 10,534 |
* | ATMI Inc. | 511,084 | 10,513 |
* | Rogers Corp. | 261,447 | 10,356 |
Loral Space & Communications Inc. | 152,867 | 10,296 | |
* | LogMeIn Inc. | 336,461 | 10,269 |
* | GT Advanced Technologies Inc. | 1,930,256 | 10,192 |
* | BroadSoft Inc. | 350,655 | 10,155 |
Brooks Automation Inc. | 1,067,423 | 10,076 | |
* | Emulex Corp. | 1,391,932 | 10,022 |
*,^ | RealD Inc. | 658,899 | 9,857 |
MTS Systems Corp. | 255,023 | 9,831 | |
* | Monolithic Power Systems Inc. | 490,614 | 9,748 |
* | Monotype Imaging Holdings Inc. | 578,243 | 9,697 |
* | Kulicke & Soffa Industries Inc. | 1,068,687 | 9,533 |
* | Digital River Inc. | 573,491 | 9,531 |
* | CSG Systems International Inc. | 545,143 | 9,420 |
* | Tangoe Inc. | 440,215 | 9,381 |
Comtech Telecommunications Corp. | 327,852 | 9,370 | |
* | Cornerstone OnDemand Inc. | 390,606 | 9,300 |
* | ExlService Holdings Inc. | 376,941 | 9,288 |
* | Volterra Semiconductor Corp. | 395,964 | 9,285 |
* | Rambus Inc. | 1,600,414 | 9,186 |
* | Advanced Energy Industries Inc. | 679,408 | 9,118 |
Pegasystems Inc. | 273,566 | 9,022 | |
Mantech International Corp.Class A | 381,782 | 8,960 | |
AVX Corp. | 820,652 | 8,773 | |
* | Constant Contact Inc. | 486,973 | 8,707 |
* | Rofin-Sinar Technologies Inc. | 459,787 | 8,704 |
Badger Meter Inc. | 231,499 | 8,693 | |
* | ServiceSource International Inc. | 626,845 | 8,682 |
Forrester Research Inc. | 255,881 | 8,664 |
23
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Synchronoss Technologies Inc. | 465,745 | 8,602 |
* | iGATE Corp. | 501,938 | 8,543 |
Park Electrochemical Corp. | 317,313 | 8,212 | |
* | Ixia | 678,711 | 8,158 |
* | comScore Inc. | 492,078 | 8,100 |
Black Box Corp. | 282,046 | 8,095 | |
* | MEMC Electronic Materials Inc. | 3,716,021 | 8,064 |
Micrel Inc. | 842,585 | 8,030 | |
* | TTM Technologies Inc. | 852,540 | 8,022 |
* | Harmonic Inc. | 1,870,454 | 7,968 |
Booz Allen Hamilton Holding Corp. | 516,485 | 7,892 | |
* | Super Micro Computer Inc. | 492,122 | 7,805 |
* | Quantum Corp. | 3,779,479 | 7,672 |
* | Power-One Inc. | 1,672,561 | 7,560 |
* | Procera Networks Inc. | 309,140 | 7,515 |
* | Measurement Specialties Inc. | 231,096 | 7,513 |
* | Entropic Communications Inc. | 1,330,113 | 7,502 |
* | Blucora Inc. | 604,135 | 7,443 |
* | Dice Holdings Inc. | 789,032 | 7,409 |
* | Amkor Technology Inc. | 1,493,535 | 7,288 |
* | Newport Corp. | 606,222 | 7,287 |
* | Sonus Networks Inc. | 3,379,461 | 7,266 |
* | Accelrys Inc. | 895,066 | 7,241 |
* | Global Cash Access Holdings Inc. | 993,672 | 7,164 |
* | Lattice Semiconductor Corp. | 1,893,796 | 7,140 |
* | TNS Inc. | 393,435 | 7,058 |
* | DTS Inc. | 266,668 | 6,955 |
* | Interactive Intelligence Group Inc. | 243,075 | 6,857 |
OPNET | 254,904 | 6,778 | |
* | Ceva Inc. | 379,765 | 6,688 |
*,^ | Angie's List Inc. | 419,535 | 6,645 |
* | TeleTech Holdings Inc. | 411,224 | 6,580 |
* | Mercury Computer Systems Inc. | 496,694 | 6,422 |
* | Jive Software Inc. | 302,368 | 6,347 |
EPIQ Systems Inc. | 515,952 | 6,320 | |
United Online Inc. | 1,447,220 | 6,107 | |
* | Cray Inc. | 504,864 | 6,099 |
* | Brightpoint Inc. | 1,106,862 | 5,988 |
* | Photronics Inc. | 968,665 | 5,909 |
* | Vocus Inc. | 306,590 | 5,703 |
Cass Information Systems Inc. | 141,288 | 5,687 | |
* | Applied Micro Circuits Corp. | 986,592 | 5,643 |
*,^ | Higher One Holdings Inc. | 455,911 | 5,571 |
* | PROS Holdings Inc. | 326,364 | 5,489 |
Electro Scientific Industries Inc. | 463,828 | 5,482 | |
* | Silicon Image Inc. | 1,316,378 | 5,450 |
* | Nanometrics Inc. | 353,553 | 5,431 |
* | SciQuest Inc. | 302,274 | 5,429 |
* | Checkpoint Systems Inc. | 612,435 | 5,334 |
*,^ | OCZ Technology Group Inc. | 1,002,736 | 5,315 |
* | LTX-Credence Corp. | 783,837 | 5,252 |
* | Demand Media Inc. | 468,502 | 5,247 |
* | Perficient Inc. | 466,706 | 5,241 |
* | Ellie Mae Inc. | 286,925 | 5,165 |
* | FormFactor Inc. | 795,818 | 5,149 |
* | Actuate Corp. | 742,755 | 5,147 |
* | Net 1 UEPS Technologies Inc. | 614,036 | 5,139 |
* | MIPS Technologies Inc. Class A | 767,127 | 5,117 |
Methode Electronics Inc. | 594,260 | 5,057 | |
* | Stamps.com Inc. | 204,837 | 5,053 |
* | Exar Corp. | 612,607 | 4,999 |
* | Internap Network Services Corp. | 761,768 | 4,959 |
* | GSI Group Inc. | 428,452 | 4,910 |
* | Move Inc. | 538,045 | 4,902 |
24
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Active Network Inc. | 317,217 | 4,882 |
* | Intermec Inc. | 768,400 | 4,764 |
* | CIBER Inc. | 1,102,093 | 4,750 |
* | Sycamore Networks Inc. | 323,908 | 4,703 |
* | QuinStreet Inc. | 507,454 | 4,699 |
Electro Rent Corp. | 288,761 | 4,687 | |
CTS Corp. | 494,129 | 4,655 | |
* | STEC Inc. | 592,407 | 4,621 |
* | Deltek Inc. | 395,561 | 4,585 |
* | Fabrinet | 359,226 | 4,508 |
* | IXYS Corp. | 401,318 | 4,483 |
* | Rudolph Technologies Inc. | 512,222 | 4,467 |
* | Extreme Networks | 1,274,767 | 4,385 |
* | Kemet Corp. | 716,859 | 4,308 |
* | Digi International Inc. | 412,189 | 4,221 |
Daktronics Inc. | 604,807 | 4,179 | |
* | Virtusa Corp. | 308,866 | 4,123 |
* | Calix Inc. | 499,425 | 4,105 |
* | Symmetricom Inc. | 675,309 | 4,045 |
* | MoneyGram International Inc. | 276,065 | 4,031 |
* | VASCO Data Security International Inc. | 488,758 | 3,998 |
* | Anaren Inc. | 203,146 | 3,982 |
* | XO Group Inc. | 436,995 | 3,876 |
* | Seachange International Inc. | 467,639 | 3,849 |
Cohu Inc. | 371,358 | 3,773 | |
* | Multi-Fineline Electronix Inc. | 152,501 | 3,758 |
* | Oplink Communications Inc. | 277,547 | 3,755 |
Keynote Systems Inc. | 251,131 | 3,729 | |
*,^ | InvenSense Inc. | 320,821 | 3,625 |
* | Kopin Corp. | 1,034,657 | 3,559 |
* | Avid Technology Inc. | 464,790 | 3,453 |
* | Magnachip Semiconductor Corp. | 355,192 | 3,385 |
* | Envestnet Inc. | 280,936 | 3,371 |
* | Globecomm Systems Inc. | 331,451 | 3,361 |
* | Pericom Semiconductor Corp. | 367,660 | 3,309 |
* | Sigma Designs Inc. | 517,375 | 3,301 |
*,^ | Silicon Graphics International Corp. | 507,987 | 3,261 |
* | Responsys Inc. | 266,525 | 3,230 |
* | Limelight Networks Inc. | 1,087,548 | 3,187 |
* | SunPower Corp. Class A | 659,416 | 3,172 |
* | Supertex Inc. | 164,627 | 3,103 |
RealNetworks Inc. | 358,174 | 3,095 | |
*,^ | Rubicon Technology Inc. | 289,901 | 2,957 |
*,^ | KIT Digital Inc. | 686,274 | 2,944 |
* | Imation Corp. | 492,023 | 2,908 |
*,^ | Travelzoo Inc. | 126,583 | 2,876 |
* | Rosetta Stone Inc. | 204,888 | 2,836 |
* | Maxwell Technologies Inc. | 430,168 | 2,822 |
* | Intevac Inc. | 373,343 | 2,808 |
* | Aviat Networks Inc. | 984,648 | 2,757 |
* | Inphi Corp. | 289,574 | 2,745 |
* | ShoreTel Inc. | 618,625 | 2,710 |
* | IntraLinks Holdings Inc. | 609,573 | 2,670 |
* | Imperva Inc. | 92,448 | 2,664 |
* | Alpha & Omega Semiconductor Ltd. | 276,692 | 2,532 |
*,^ | Oclaro Inc. | 825,960 | 2,511 |
* | Agilysys Inc. | 245,925 | 2,132 |
Bel Fuse Inc. Class B | 119,791 | 2,110 | |
* | ANADIGICS Inc. | 1,098,496 | 1,988 |
* | Echelon Corp. | 545,943 | 1,900 |
* | ModusLink Global Solutions Inc. | 633,245 | 1,893 |
* | STR Holdings Inc. | 400,610 | 1,827 |
* | Aeroflex Holding Corp. | 272,270 | 1,647 |
* | TeleNav Inc. | 267,170 | 1,638 |
25
Vanguard® Small-Cap Index Fund Schedule of Investments June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Mitel Networks Corp. | 344,212 | 1,521 |
* | MaxLinear Inc. | 298,662 | 1,481 |
* | Viasystems Group Inc. | 81,810 | 1,391 |
Marchex Inc. Class B | 377,017 | 1,361 | |
* | Intermolecular Inc. | 169,085 | 1,310 |
* | Novatel Wireless Inc. | 514,561 | 1,281 |
* | TechTarget Inc. | 247,564 | 1,248 |
* | Carbonite Inc. | 121,570 | 1,087 |
* | TeleCommunication Systems Inc. Class A | 788,794 | 970 |
* | NCI Inc. Class A | 128,331 | 520 |
Bel Fuse Inc. Class A | 19,466 | 353 | |
4,130,152 | |||
Materials (5.6%) | |||
Royal Gold Inc. | 947,445 | 74,280 | |
RPM International Inc. | 2,113,709 | 57,493 | |
Solutia Inc. | 1,971,898 | 55,312 | |
Rockwood Holdings Inc. | 1,123,128 | 49,811 | |
Packaging Corp. of America | 1,585,521 | 44,775 | |
Cabot Corp. | 1,016,102 | 41,355 | |
Cytec Industries Inc. | 701,168 | 41,116 | |
Compass Minerals International Inc. | 531,694 | 40,558 | |
* | Allied Nevada Gold Corp. | 1,371,957 | 38,936 |
NewMarket Corp. | 172,690 | 37,405 | |
Silgan Holdings Inc. | 844,345 | 36,045 | |
Carpenter Technology Corp. | 716,433 | 34,274 | |
Sensient Technologies Corp. | 806,848 | 29,636 | |
Olin Corp. | 1,289,731 | 26,942 | |
Eagle Materials Inc. | 686,780 | 25,644 | |
* | Coeur d'Alene Mines Corp. | 1,447,865 | 25,424 |
HB Fuller Co. | 795,493 | 24,422 | |
* | Louisiana-Pacific Corp. | 2,205,640 | 23,997 |
* | Chemtura Corp. | 1,551,389 | 22,495 |
Hecla Mining Co. | 4,588,320 | 21,795 | |
Commercial Metals Co. | 1,673,242 | 21,150 | |
* | Intrepid Potash Inc. | 907,447 | 20,653 |
Innophos Holdings Inc. | 348,438 | 19,673 | |
PolyOne Corp. | 1,361,944 | 18,631 | |
Minerals Technologies Inc. | 285,763 | 18,226 | |
*,^ | Resolute Forest Products | 1,561,748 | 18,085 |
Buckeye Technologies Inc. | 632,785 | 18,028 | |
Schweitzer-Mauduit International Inc. | 256,690 | 17,491 | |
Worthington Industries Inc. | 832,251 | 17,036 | |
Westlake Chemical Corp. | 321,549 | 16,804 | |
* | SunCoke Energy Inc. | 1,127,472 | 16,517 |
* | Stillwater Mining Co. | 1,859,205 | 15,878 |
Balchem Corp. | 470,119 | 15,331 | |
Kaiser Aluminum Corp. | 279,012 | 14,464 | |
Georgia Gulf Corp. | 550,926 | 14,142 | |
Globe Specialty Metals Inc. | 1,027,073 | 13,794 | |
^ | Gold Resource Corp. | 510,877 | 13,278 |
Stepan Co. | 140,545 | 13,237 | |
* | Calgon Carbon Corp. | 914,169 | 12,999 |
* | Clearwater Paper Corp. | 367,642 | 12,544 |
* | Graphic Packaging Holding Co. | 2,195,667 | 12,076 |
AMCOL International Corp. | 410,381 | 11,618 | |
PH Glatfelter Co. | 702,460 | 11,499 | |
* | Kraton Performance Polymers Inc. | 517,107 | 11,330 |
Koppers Holdings Inc. | 331,811 | 11,282 | |
Deltic Timber Corp. | 182,539 | 11,131 | |
Schnitzer Steel Industries Inc. | 373,368 | 10,462 | |
* | RTI International Metals Inc. | 462,221 | 10,460 |
Boise Inc. | 1,535,850 | 10,106 | |
Haynes International Inc. | 197,921 | 10,082 | |
* | KapStone Paper and Packaging Corp. | 635,537 | 10,073 |
26
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Innospec Inc. | 336,893 | 9,975 |
^ | AK Steel Holding Corp. | 1,693,064 | 9,938 |
* | OM Group Inc. | 520,933 | 9,898 |
* | McEwen Mining Inc. | 3,230,585 | 9,724 |
Texas Industries Inc. | 247,502 | 9,655 | |
Quaker Chemical Corp. | 207,539 | 9,590 | |
American Vanguard Corp. | 356,795 | 9,487 | |
* | LSB Industries Inc. | 305,905 | 9,456 |
A Schulman Inc. | 473,682 | 9,403 | |
* | TPC Group Inc. | 213,409 | 7,885 |
Myers Industries Inc. | 428,640 | 7,355 | |
Materion Corp. | 311,278 | 7,169 | |
*,^ | Flotek Industries Inc. | 757,956 | 7,079 |
* | Horsehead Holding Corp. | 701,440 | 6,986 |
Wausau Paper Corp. | 710,428 | 6,912 | |
Neenah Paper Inc. | 242,704 | 6,478 | |
* | Ferro Corp. | 1,320,201 | 6,337 |
* | Century Aluminum Co. | 855,658 | 6,272 |
^ | Kronos Worldwide Inc. | 374,395 | 5,912 |
Hawkins Inc. | 150,736 | 5,755 | |
* | Omnova Solutions Inc. | 698,273 | 5,265 |
Tredegar Corp. | 359,716 | 5,237 | |
* | Headwaters Inc. | 979,571 | 5,045 |
*,^ | Paramount Gold and Silver Corp. | 1,867,902 | 4,483 |
* | Mercer International Inc. | 761,039 | 4,346 |
Noranda Aluminum Holding Corp. | 540,824 | 4,305 | |
* | Zoltek Cos. Inc. | 468,650 | 4,232 |
Zep Inc. | 299,527 | 4,112 | |
* | Metals USA Holdings Corp. | 208,198 | 3,312 |
* | General Moly Inc. | 947,324 | 2,975 |
* | AM Castle & Co. | 277,458 | 2,947 |
* | Arabian American Development Co. | 285,296 | 2,765 |
Olympic Steel Inc. | 148,762 | 2,443 | |
* | Spartech Corp. | 469,962 | 2,430 |
*,^ | Golden Minerals Co. | 487,065 | 2,197 |
*,^ | Midway Gold Corp. | 1,434,528 | 1,994 |
* | United States Lime & Minerals Inc. | 34,918 | 1,630 |
1,420,779 | |||
Telecommunication Services (0.8%) | |||
* | tw telecom inc Class A | 2,416,383 | 62,004 |
AboveNet Inc. | 359,419 | 30,191 | |
* | Cogent Communications Group Inc. | 702,407 | 13,521 |
* | Cincinnati Bell Inc. | 3,008,518 | 11,192 |
* | Iridium Communications Inc. | 824,314 | 7,386 |
Consolidated Communications Holdings Inc. | 458,065 | 6,779 | |
* | Clearwire Corp. Class A | 5,837,803 | 6,538 |
* | Premiere Global Services Inc. | 764,674 | 6,416 |
* | Neutral Tandem Inc. | 482,157 | 6,355 |
* | Vonage Holdings Corp. | 2,716,577 | 5,460 |
* | Leap Wireless International Inc. | 826,288 | 5,313 |
Atlantic Tele-Network Inc. | 149,196 | 5,032 | |
Shenandoah Telecommunications Co. | 362,689 | 4,936 | |
NTELOS Holdings Corp. | 254,350 | 4,795 | |
USA Mobility Inc. | 354,958 | 4,565 | |
* | General Communication Inc. Class A | 493,160 | 4,098 |
* | inContact Inc. | 666,439 | 3,339 |
* | Cbeyond Inc. | 487,378 | 3,300 |
* | Boingo Wireless Inc. | 221,993 | 2,580 |
Lumos Networks Corp. | 250,494 | 2,367 | |
IDT Corp. Class B | 237,051 | 2,325 | |
^ | Alaska Communications Systems Group Inc. | 725,703 | 1,524 |
*,^ | Elephant Talk Communications Inc. | 777,275 | 1,306 |
201,322 |
27
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Market | |||||
Value | |||||
Shares | ($000) | ||||
Utilities (3.6%) | |||||
Westar Energy Inc. | 2,030,262 | 60,806 | |||
Questar Corp. | 2,866,208 | 59,789 | |||
Atmos Energy Corp. | 1,453,305 | 50,967 | |||
Great Plains Energy Inc. | 2,191,563 | 46,921 | |||
Hawaiian Electric Industries Inc. | 1,548,963 | 44,176 | |||
Cleco Corp. | 980,034 | 40,995 | |||
Vectren Corp. | 1,320,133 | 38,970 | |||
Piedmont Natural Gas Co. Inc. | 1,165,616 | 37,521 | |||
IDACORP Inc. | 804,627 | 33,859 | |||
WGL Holdings Inc. | 829,653 | 32,979 | |||
Southwest Gas Corp. | 742,581 | 32,414 | |||
Portland General Electric Co. | 1,214,149 | 32,369 | |||
UIL Holdings Corp. | 814,414 | 29,205 | |||
New Jersey Resources Corp. | 668,162 | 29,139 | |||
Avista Corp. | 943,320 | 25,187 | |||
PNM Resources Inc. | 1,283,176 | 25,073 | |||
South Jersey Industries Inc. | 487,341 | 24,840 | |||
UNS Energy Corp. | 611,452 | 23,486 | |||
ALLETE Inc. | 544,233 | 22,749 | |||
Black Hills Corp. | 672,318 | 21,628 | |||
NorthWestern Corp. | 583,829 | 21,427 | |||
* | GenOn Energy Inc. | 12,410,965 | 21,223 | ||
Northwest Natural Gas Co. | 431,702 | 20,549 | |||
El Paso Electric Co. | 614,185 | 20,366 | |||
MGE Energy Inc. | 372,584 | 17,623 | |||
CH Energy Group Inc. | 227,929 | 14,973 | |||
Empire District Electric Co. | 676,332 | 14,271 | |||
Laclede Group Inc. | 343,871 | 13,689 | |||
Otter Tail Corp. | 522,647 | 11,953 | |||
American States Water Co. | 301,656 | 11,940 | |||
California Water Service Group | 639,752 | 11,816 | |||
Chesapeake Utilities Corp. | 154,384 | 6,750 | |||
Ormat Technologies Inc. | 256,891 | 5,495 | |||
Unitil Corp. | 205,590 | 5,448 | |||
SJW Corp. | 208,861 | 5,015 | |||
Middlesex Water Co. | 250,955 | 4,768 | |||
Connecticut Water Service Inc. | 140,313 | 4,066 | |||
Genie Energy Ltd. Class B | 257,359 | 2,000 | |||
926,445 | |||||
Total Common Stocks (Cost $24,155,727) | 25,283,070 | ||||
Coupon | |||||
Temporary Cash Investments (2.4%)1 | |||||
Money Market Fund (2.3%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.148% | 601,929,002 | 601,929 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
4,5 | Federal Home Loan Bank Discount Notes | 0.100% | 7/11/12 | 6,000 | 6,000 |
4,5 | Federal Home Loan Bank Discount Notes | 0.120% | 7/27/12 | 3,100 | 3,100 |
4,6 | Freddie Mac Discount Notes | 0.120% | 7/23/12 | 5,000 | 4,999 |
14,099 | |||||
Total Temporary Cash Investments (Cost $616,028) | 616,028 |
28
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2012
Total Investments (101.7%) (Cost $24,771,755) | 25,899,098 |
Other Assets and Liabilities—Net (-1.7%)3 | (430,905) |
Net Assets (100%) | 25,468,193 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $415,906,000.
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 $433,674,000 of collateral received for securities on loan.
4 Securities with a value of $14,099,000 have been segregated as initial margin for open futures contracts.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
REIT—Real Estate Investment Trust.
29
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Consumer Discretionary (15.5%) | |||
* | Penn National Gaming Inc. | 732,883 | 32,679 |
GNC Holdings Inc. Class A | 784,197 | 30,741 | |
* | Big Lots Inc. | 741,434 | 30,243 |
* | Carter's Inc. | 565,689 | 29,755 |
Chico's FAS Inc. | 1,895,135 | 28,124 | |
* | Ascena Retail Group Inc. | 1,471,884 | 27,406 |
Sotheby's | 762,935 | 25,452 | |
* | Madison Square Garden Co. Class A | 668,015 | 25,010 |
* | Coinstar Inc. | 349,738 | 24,013 |
Aaron's Inc. | 816,314 | 23,110 | |
* | Bally Technologies Inc. | 492,682 | 22,989 |
Brunswick Corp. | 1,008,042 | 22,399 | |
Pool Corp. | 538,212 | 21,776 | |
Dillard's Inc. Class A | 339,577 | 21,624 | |
* | Life Time Fitness Inc. | 456,411 | 21,228 |
* | AMC Networks Inc. Class A | 593,317 | 21,092 |
Vail Resorts Inc. | 406,937 | 20,379 | |
* | Hanesbrands Inc. | 716,663 | 19,873 |
* | Warnaco Group Inc. | 457,541 | 19,482 |
Domino's Pizza Inc. | 620,305 | 19,174 | |
* | Cheesecake Factory Inc. | 594,401 | 18,997 |
DSW Inc. Class A | 344,141 | 18,721 | |
*,^ | Tesla Motors Inc. | 591,133 | 18,497 |
HSN Inc. | 457,998 | 18,480 | |
* | Tenneco Inc. | 683,209 | 18,324 |
Pier 1 Imports Inc. | 1,115,117 | 18,321 | |
* | Buffalo Wild Wings Inc. | 207,723 | 17,997 |
* | Hibbett Sports Inc. | 299,119 | 17,262 |
* | Crocs Inc. | 1,015,364 | 16,398 |
Morningstar Inc. | 283,378 | 16,391 | |
* | Vitamin Shoppe Inc. | 297,272 | 16,329 |
* | Aeropostale Inc. | 912,653 | 16,273 |
* | Express Inc. | 854,149 | 15,520 |
* | ANN Inc. | 591,910 | 15,088 |
* | Gaylord Entertainment Co. | 384,152 | 14,813 |
Thor Industries Inc. | 526,872 | 14,442 | |
* | Steven Madden Ltd. | 447,692 | 14,214 |
Dana Holding Corp. | 1,083,710 | 13,882 | |
* | Jos A Bank Clothiers Inc. | 314,562 | 13,356 |
Texas Roadhouse Inc. Class A | 704,795 | 12,989 | |
*,^ | ITT Educational Services Inc. | 209,849 | 12,748 |
^ | Buckle Inc. | 321,674 | 12,729 |
* | Select Comfort Corp. | 606,180 | 12,681 |
Six Flags Entertainment Corp. | 232,320 | 12,587 | |
* | WMS Industries Inc. | 625,175 | 12,472 |
* | Fifth & Pacific Cos. Inc. | 1,141,249 | 12,246 |
* | Lions Gate Entertainment Corp. | 810,491 | 11,947 |
* | Shutterfly Inc. | 374,425 | 11,491 |
Monro Muffler Brake Inc. | 331,489 | 11,019 | |
Arbitron Inc. | 308,668 | 10,803 | |
* | BJ's Restaurants Inc. | 284,016 | 10,793 |
* | Francesca's Holdings Corp. | 394,475 | 10,655 |
* | Zumiez Inc. | 263,893 | 10,450 |
* | Papa John's International Inc. | 219,212 | 10,428 |
Matthews International Corp. Class A | 320,611 | 10,417 | |
* | Lumber Liquidators Holdings Inc. | 269,270 | 9,099 |
* | Peet's Coffee & Tea Inc. | 148,498 | 8,916 |
* | Grand Canyon Education Inc. | 425,617 | 8,912 |
^ | Sturm Ruger & Co. Inc. | 216,145 | 8,678 |
* | Shuffle Master Inc. | 617,417 | 8,520 |
Interval Leisure Group Inc. | 443,179 | 8,425 |
30
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Dorman Products Inc. | 326,437 | 8,190 |
*,^ | HomeAway Inc. | 370,527 | 8,055 |
True Religion Apparel Inc. | 273,615 | 7,929 | |
* | DineEquity Inc. | 173,399 | 7,741 |
CEC Entertainment Inc. | 205,279 | 7,466 | |
* | Live Nation Entertainment Inc. | 803,365 | 7,375 |
^ | Strayer Education Inc. | 66,597 | 7,260 |
*,^ | K12 Inc. | 308,600 | 7,190 |
* | Knology Inc. | 362,008 | 7,121 |
* | Ascent Capital Group Inc. Class A | 137,293 | 7,105 |
*,^ | Pandora Media Inc. | 652,585 | 7,094 |
* | Children's Place Retail Stores Inc. | 140,415 | 6,997 |
* | Office Depot Inc. | 3,170,671 | 6,849 |
* | Pinnacle Entertainment Inc. | 702,283 | 6,756 |
* | iRobot Corp. | 293,484 | 6,501 |
* | American Public Education Inc. | 201,693 | 6,454 |
* | AFC Enterprises Inc. | 275,489 | 6,375 |
* | Sonic Corp. | 616,019 | 6,172 |
* | LeapFrog Enterprises Inc. | 593,735 | 6,092 |
* | Smith & Wesson Holding Corp. | 732,301 | 6,085 |
* | Meritage Homes Corp. | 166,465 | 5,650 |
* | American Axle & Manufacturing Holdings Inc. | 522,748 | 5,484 |
* | Scientific Games Corp. Class A | 624,344 | 5,338 |
* | Maidenform Brands Inc. | 265,626 | 5,291 |
* | Arctic Cat Inc. | 142,828 | 5,222 |
* | Collective Brands Inc. | 239,385 | 5,128 |
* | Capella Education Co. | 147,165 | 5,115 |
* | Asbury Automotive Group Inc. | 208,628 | 4,942 |
* | Denny's Corp. | 1,087,844 | 4,830 |
*,^ | Vera Bradley Inc. | 228,584 | 4,819 |
* | Saks Inc. | 442,191 | 4,709 |
*,^ | Blue Nile Inc. | 156,851 | 4,660 |
Choice Hotels International Inc. | 114,814 | 4,585 | |
* | rue21 inc | 179,751 | 4,537 |
*,^ | Bridgepoint Education Inc. | 203,098 | 4,428 |
* | Krispy Kreme Doughnuts Inc. | 614,519 | 3,927 |
Blyth Inc. | 111,437 | 3,851 | |
Penske Automotive Group Inc. | 178,372 | 3,789 | |
* | America's Car-Mart Inc. | 97,329 | 3,781 |
* | Conn's Inc. | 252,687 | 3,740 |
* | Amerigon Inc. | 325,462 | 3,740 |
* | Bravo Brio Restaurant Group Inc. | 208,710 | 3,721 |
* | Valassis Communications Inc. | 168,632 | 3,668 |
*,^ | Barnes & Noble Inc. | 220,591 | 3,631 |
Oxford Industries Inc. | 79,106 | 3,536 | |
* | Winnebago Industries Inc. | 329,582 | 3,358 |
Ameristar Casinos Inc. | 185,323 | 3,293 | |
* | Hovnanian Enterprises Inc. Class A | 1,132,695 | 3,285 |
* | Libbey Inc. | 212,724 | 3,270 |
* | Wet Seal Inc. Class A | 971,158 | 3,069 |
Pep Boys-Manny Moe & Jack | 298,260 | 2,953 | |
* | G-III Apparel Group Ltd. | 123,163 | 2,918 |
Lithia Motors Inc. Class A | 125,346 | 2,889 | |
Hot Topic Inc. | 294,213 | 2,851 | |
* | Fuel Systems Solutions Inc. | 169,209 | 2,824 |
Clear Channel Outdoor Holdings Inc. Class A | 439,855 | 2,648 | |
* | Citi Trends Inc. | 168,988 | 2,609 |
bebe stores inc | 427,431 | 2,509 | |
*,^ | Skullcandy Inc. | 169,435 | 2,397 |
* | Red Robin Gourmet Burgers Inc. | 78,378 | 2,391 |
*,^ | Zagg Inc. | 217,083 | 2,368 |
Haverty Furniture Cos. Inc. | 210,616 | 2,353 | |
* | Mattress Firm Holding Corp. | 76,088 | 2,306 |
* | Boyd Gaming Corp. | 316,153 | 2,276 |
31
Vanguard® Small-Cap Growth Index Fund Schedule of Investments June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Drew Industries Inc. | 78,482 | 2,186 |
* | Kirkland's Inc. | 186,364 | 2,097 |
* | Biglari Holdings Inc. | 5,368 | 2,074 |
* | Stoneridge Inc. | 280,675 | 1,911 |
* | M/I Homes Inc. | 106,190 | 1,839 |
* | Cumulus Media Inc. Class A | 577,566 | 1,738 |
Universal Technical Institute Inc. | 125,750 | 1,699 | |
* | Gordmans Stores Inc. | 98,420 | 1,624 |
* | Body Central Corp. | 171,423 | 1,543 |
* | Teavana Holdings Inc. | 107,782 | 1,458 |
* | Beazer Homes USA Inc. | 431,964 | 1,404 |
* | Vitacost.com Inc. | 222,776 | 1,314 |
*,^ | Overstock.com Inc. | 184,245 | 1,273 |
* | ReachLocal Inc. | 99,637 | 1,096 |
* | New York & Co. Inc. | 280,123 | 975 |
* | Talbots Inc. | 358,813 | 904 |
* | Orbitz Worldwide Inc. | 234,759 | 857 |
* | Sealy Corp. | 456,570 | 845 |
* | Steinway Musical Instruments Inc. | 31,816 | 779 |
* | Isle of Capri Casinos Inc. | 121,189 | 748 |
* | Kenneth Cole Productions Inc. Class A | 38,047 | 573 |
Martha Stewart Living Omnimedia Class A | 161,583 | 549 | |
* | K-Swiss Inc. Class A | 109,080 | 336 |
* | Tower International Inc. | 27,184 | 285 |
* | Furniture Brands International Inc. | 197,722 | 245 |
* | Coldwater Creek Inc. | 447,007 | 244 |
PF Chang's China Bistro Inc. | 600 | 31 | |
Cost Plus Inc. | 900 | 20 | |
1,375,002 | |||
Consumer Staples (3.7%) | |||
* | Dean Foods Co. | 2,084,924 | 35,506 |
* | United Natural Foods Inc. | 551,038 | 30,230 |
Nu Skin Enterprises Inc. Class A | 642,588 | 30,137 | |
Casey's General Stores Inc. | 430,172 | 25,376 | |
* | TreeHouse Foods Inc. | 406,063 | 25,294 |
* | Hain Celestial Group Inc. | 426,110 | 23,453 |
* | Fresh Market Inc. | 434,593 | 23,307 |
* | Darling International Inc. | 1,325,576 | 21,859 |
PriceSmart Inc. | 219,741 | 14,835 | |
*,^ | Boston Beer Co. Inc. Class A | 99,074 | 11,988 |
* | Elizabeth Arden Inc. | 297,942 | 11,563 |
* | Rite Aid Corp. | 7,615,720 | 10,662 |
J&J Snack Foods Corp. | 169,951 | 10,044 | |
Sanderson Farms Inc. | 213,838 | 9,798 | |
* | Smart Balance Inc. | 666,174 | 6,255 |
*,^ | Star Scientific Inc. | 1,221,302 | 5,569 |
* | Prestige Brands Holdings Inc. | 285,106 | 4,508 |
* | USANA Health Sciences Inc. | 84,555 | 3,477 |
Calavo Growers Inc. | 133,617 | 3,418 | |
Inter Parfums Inc. | 189,870 | 3,279 | |
* | Medifast Inc. | 148,343 | 2,920 |
Coca-Cola Bottling Co. Consolidated | 36,736 | 2,361 | |
* | Chefs' Warehouse Inc. | 129,759 | 2,342 |
* | Schiff Nutrition International Inc. | 122,068 | 2,191 |
Nature's Sunshine Products Inc. | 140,836 | 2,127 | |
* | Revlon Inc. Class A | 138,219 | 1,967 |
* | National Beverage Corp. | 130,805 | 1,954 |
* | Susser Holdings Corp. | 45,257 | 1,682 |
328,102 | |||
Energy (6.3%) | |||
* | Oil States International Inc. | 583,607 | 38,635 |
* | Dril-Quip Inc. | 386,662 | 25,361 |
* | Cheniere Energy Inc. | 1,702,191 | 25,090 |
* | Atwood Oceanics Inc. | 663,023 | 25,089 |
32
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Kodiak Oil & Gas Corp. | 2,973,181 | 24,410 |
* | Rosetta Resources Inc. | 602,020 | 22,058 |
Berry Petroleum Co. Class A | 530,533 | 21,041 | |
Lufkin Industries Inc. | 375,219 | 20,382 | |
* | Oasis Petroleum Inc. | 838,560 | 20,276 |
^ | CARBO Ceramics Inc. | 235,110 | 18,040 |
Tidewater Inc. | 375,929 | 17,428 | |
* | Gran Tierra Energy Inc. | 3,149,840 | 15,466 |
World Fuel Services Corp. | 402,097 | 15,292 | |
Energy XXI Bermuda Ltd. | 484,252 | 15,152 | |
* | Hornbeck Offshore Services Inc. | 375,974 | 14,580 |
* | SemGroup Corp. Class A | 425,172 | 13,576 |
*,^ | Clean Energy Fuels Corp. | 772,928 | 11,980 |
* | Gulfport Energy Corp. | 534,355 | 11,024 |
* | Northern Oil and Gas Inc. | 681,644 | 10,865 |
* | Carrizo Oil & Gas Inc. | 423,228 | 9,950 |
*,^ | McMoRan Exploration Co. | 770,384 | 9,761 |
* | Gulfmark Offshore Inc. | 270,782 | 9,217 |
* | Contango Oil & Gas Co. | 147,433 | 8,728 |
* | GeoResources Inc. | 231,336 | 8,469 |
* | PDC Energy Inc. | 340,591 | 8,351 |
* | Approach Resources Inc. | 293,377 | 7,493 |
* | Magnum Hunter Resources Corp. | 1,786,160 | 7,466 |
*,^ | Halcon Resources Corp. | 731,372 | 6,904 |
* | OYO Geospace Corp. | 68,394 | 6,155 |
Enbridge Energy Management LLC | 187,024 | 5,979 | |
* | Bill Barrett Corp. | 270,421 | 5,792 |
^ | RPC Inc. | 483,189 | 5,745 |
* | Rex Energy Corp. | 497,637 | 5,579 |
* | Resolute Energy Corp. | 551,526 | 5,278 |
*,^ | Heckmann Corp. | 1,554,241 | 5,253 |
* | Rentech Inc. | 2,542,500 | 5,238 |
Targa Resources Corp. | 117,195 | 5,004 | |
*,^ | Solazyme Inc. | 337,621 | 4,693 |
* | ION Geophysical Corp. | 703,520 | 4,636 |
* | Tesco Corp. | 366,645 | 4,400 |
*,^ | C&J Energy Services Inc. | 234,634 | 4,341 |
* | Goodrich Petroleum Corp. | 308,398 | 4,274 |
* | Cloud Peak Energy Inc. | 240,558 | 4,068 |
* | Venoco Inc. | 347,405 | 3,478 |
* | CVR Energy Inc. | 127,442 | 3,387 |
* | FX Energy Inc. | 566,766 | 3,372 |
* | Clayton Williams Energy Inc. | 68,575 | 3,318 |
* | Matrix Service Co. | 290,043 | 3,292 |
* | Abraxas Petroleum Corp. | 935,916 | 2,986 |
* | Sanchez Energy Corp. | 136,440 | 2,838 |
*,^ | BPZ Resources Inc. | 1,046,031 | 2,647 |
Crosstex Energy Inc. | 140,094 | 1,961 | |
*,^ | Uranium Energy Corp. | 811,983 | 1,859 |
Apco Oil and Gas International Inc. | 102,974 | 1,859 | |
*,^ | ATP Oil & Gas Corp. | 524,120 | 1,772 |
*,^ | KiOR Inc. | 192,962 | 1,727 |
*,^ | Amyris Inc. | 349,970 | 1,550 |
* | RigNet Inc. | 78,671 | 1,368 |
* | Triangle Petroleum Corp. | 244,776 | 1,366 |
* | TransAtlantic Petroleum Ltd. | 1,243,135 | 1,343 |
*,^ | Patriot Coal Corp. | 1,050,881 | 1,282 |
*,^ | Hyperdynamics Corp. | 1,226,330 | 1,028 |
*,^ | James River Coal Co. | 362,860 | 983 |
*,^ | Gevo Inc. | 189,693 | 943 |
* | ZaZa Energy Corp. | 186,244 | 842 |
* | Gastar Exploration Ltd. | 427,997 | 826 |
* | Oilsands Quest Inc. | 1,760,292 | 75 |
33
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
564,621 | |||
Financials (5.9%) | |||
Extra Space Storage Inc. | 1,095,636 | 33,526 | |
* | Signature Bank | 521,839 | 31,817 |
* | Ocwen Financial Corp. | 1,174,530 | 22,058 |
Tanger Factory Outlet Centers | 666,884 | 21,374 | |
DuPont Fabros Technology Inc. | 712,147 | 20,339 | |
Equity Lifestyle Properties Inc. | 288,293 | 19,884 | |
* | Forest City Enterprises Inc. Class A | 1,357,611 | 19,821 |
* | Texas Capital Bancshares Inc. | 426,953 | 17,245 |
Apartment Investment & Management Co. Class A | 570,408 | 15,418 | |
Pebblebrook Hotel Trust | 641,031 | 14,942 | |
PS Business Parks Inc. | 218,185 | 14,776 | |
Post Properties Inc. | 300,862 | 14,727 | |
* | Altisource Portfolio Solutions SA | 185,206 | 13,563 |
* | First Cash Financial Services Inc. | 316,508 | 12,714 |
Webster Financial Corp. | 547,049 | 11,849 | |
CapitalSource Inc. | 1,716,783 | 11,537 | |
MarketAxess Holdings Inc. | 407,049 | 10,844 | |
* | SVB Financial Group | 172,703 | 10,141 |
* | TFS Financial Corp. | 1,047,459 | 10,003 |
Alexander's Inc. | 23,087 | 9,953 | |
* | Credit Acceptance Corp. | 115,895 | 9,785 |
* | Financial Engines Inc. | 442,021 | 9,481 |
American Assets Trust Inc. | 377,454 | 9,153 | |
* | St. Joe Co. | 508,242 | 8,035 |
* | Ezcorp Inc. Class A | 330,892 | 7,763 |
* | Investors Bancorp Inc. | 504,049 | 7,606 |
Coresite Realty Corp. | 234,533 | 6,056 | |
Education Realty Trust Inc. | 518,823 | 5,749 | |
* | Green Dot Corp. Class A | 256,012 | 5,663 |
* | Greenlight Capital Re Ltd. Class A | 222,491 | 5,656 |
KBW Inc. | 343,446 | 5,650 | |
* | Virtus Investment Partners Inc. | 69,684 | 5,644 |
Duff & Phelps Corp. Class A | 373,036 | 5,409 | |
*,^ | Zillow Inc. Class A | 136,109 | 5,258 |
* | World Acceptance Corp. | 79,886 | 5,257 |
* | HFF Inc. Class A | 374,326 | 5,218 |
* | Tejon Ranch Co. | 180,724 | 5,172 |
* | WisdomTree Investments Inc. | 695,030 | 4,566 |
* | DFC Global Corp. | 236,963 | 4,367 |
Hudson Pacific Properties Inc. | 250,446 | 4,360 | |
* | Citizens Inc. | 441,807 | 4,308 |
Epoch Holding Corp. | 183,831 | 4,188 | |
* | Strategic Hotels & Resorts Inc. | 637,677 | 4,119 |
* | First Industrial Realty Trust Inc. | 324,914 | 4,100 |
* | FelCor Lodging Trust Inc. | 867,979 | 4,080 |
* | ICG Group Inc. | 422,515 | 3,908 |
* | Safeguard Scientifics Inc. | 233,812 | 3,619 |
* | Netspend Holdings Inc. | 386,858 | 3,555 |
* | Beneficial Mutual Bancorp Inc. | 408,183 | 3,523 |
* | eHealth Inc. | 214,863 | 3,461 |
Evercore Partners Inc. Class A | 146,405 | 3,424 | |
* | INTL. FCStone Inc. | 160,956 | 3,115 |
* | MGIC Investment Corp. | 1,079,382 | 3,109 |
Cousins Properties Inc. | 369,925 | 2,867 | |
Cardinal Financial Corp. | 203,857 | 2,503 | |
* | Ladenburg Thalmann Financial Services Inc. | 1,241,723 | 1,912 |
First Connecticut Bancorp Inc. | 131,368 | 1,773 | |
* | iStar Financial Inc. | 274,337 | 1,769 |
* | Hilltop Holdings Inc. | 167,718 | 1,729 |
* | NewStar Financial Inc. | 97,834 | 1,268 |
GAMCO Investors Inc. | 24,420 | 1,084 |
34
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | First Marblehead Corp. | 746,611 | 874 |
* | Doral Financial Corp. | 507,868 | 762 |
527,429 | |||
Health Care (21.4%) | |||
* | BioMarin Pharmaceutical Inc. | 1,380,846 | 54,654 |
* | Onyx Pharmaceuticals Inc. | 724,137 | 48,119 |
* | Catalyst Health Solutions Inc. | 482,883 | 45,121 |
Cooper Cos. Inc. | 535,277 | 42,694 | |
*,^ | Questcor Pharmaceuticals Inc. | 718,810 | 38,269 |
* | MEDNAX Inc. | 554,911 | 38,034 |
* | Salix Pharmaceuticals Ltd. | 671,597 | 36,562 |
* | AMERIGROUP Corp. | 543,837 | 35,844 |
* | Medivation Inc. | 386,676 | 35,342 |
* | Pharmacyclics Inc. | 622,116 | 33,974 |
* | Cepheid Inc. | 736,610 | 32,963 |
* | HMS Holdings Corp. | 967,276 | 32,220 |
* | athenahealth Inc. | 400,773 | 31,729 |
* | Vivus Inc. | 1,107,333 | 31,603 |
* | Ariad Pharmaceuticals Inc. | 1,796,136 | 30,911 |
* | Incyte Corp. Ltd. | 1,295,224 | 29,402 |
Techne Corp. | 395,856 | 29,372 | |
*,^ | Seattle Genetics Inc. | 1,117,796 | 28,381 |
* | Sirona Dental Systems Inc. | 629,821 | 28,348 |
* | Cubist Pharmaceuticals Inc. | 711,423 | 26,970 |
* | United Therapeutics Corp. | 545,455 | 26,935 |
* | WellCare Health Plans Inc. | 484,337 | 25,670 |
* | HealthSouth Corp. | 1,070,023 | 24,889 |
* | Tenet Healthcare Corp. | 4,633,531 | 24,280 |
* | Align Technology Inc. | 717,674 | 24,013 |
* | Myriad Genetics Inc. | 952,588 | 22,643 |
* | Thoratec Corp. | 660,445 | 22,178 |
*,^ | Arena Pharmaceuticals Inc. | 2,209,455 | 22,050 |
* | Haemonetics Corp. | 284,184 | 21,061 |
* | VCA Antech Inc. | 930,924 | 20,462 |
* | Brookdale Senior Living Inc. Class A | 1,095,231 | 19,429 |
West Pharmaceutical Services Inc. | 381,773 | 19,276 | |
* | PAREXEL International Corp. | 672,533 | 18,986 |
* | Centene Corp. | 575,503 | 17,357 |
* | Theravance Inc. | 778,909 | 17,307 |
* | Jazz Pharmaceuticals plc | 381,441 | 17,169 |
* | Volcano Corp. | 597,791 | 17,127 |
* | Alkermes plc | 908,079 | 15,410 |
* | Auxilium Pharmaceuticals Inc. | 546,040 | 14,683 |
* | Impax Laboratories Inc. | 717,316 | 14,540 |
* | Medicines Co. | 614,176 | 14,089 |
* | MWI Veterinary Supply Inc. | 136,575 | 14,036 |
* | Masimo Corp. | 625,570 | 14,000 |
* | Cyberonics Inc. | 311,268 | 13,988 |
* | Bruker Corp. | 1,031,100 | 13,724 |
Chemed Corp. | 216,435 | 13,081 | |
Quality Systems Inc. | 466,676 | 12,838 | |
* | Air Methods Corp. | 128,254 | 12,601 |
* | ViroPharma Inc. | 519,601 | 12,315 |
* | NuVasive Inc. | 482,128 | 12,227 |
* | PSS World Medical Inc. | 579,572 | 12,165 |
* | Akorn Inc. | 750,296 | 11,832 |
* | Charles River Laboratories International Inc. | 359,199 | 11,767 |
* | Ironwood Pharmaceuticals Inc. Class A | 849,809 | 11,710 |
* | Neogen Corp. | 252,684 | 11,674 |
* | Insulet Corp. | 537,781 | 11,492 |
* | HeartWare International Inc. | 127,645 | 11,335 |
* | Team Health Holdings Inc. | 447,850 | 10,789 |
* | Acorda Therapeutics Inc. | 448,777 | 10,573 |
* | Luminex Corp. | 425,227 | 10,414 |
35
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Spectrum Pharmaceuticals Inc. | 648,882 | 10,097 |
* | DexCom Inc. | 764,373 | 9,906 |
* | Immunogen Inc. | 563,905 | 9,462 |
* | NxStage Medical Inc. | 561,533 | 9,411 |
* | Halozyme Therapeutics Inc. | 1,061,620 | 9,406 |
* | Exelixis Inc. | 1,677,539 | 9,277 |
* | ArthroCare Corp. | 311,924 | 9,133 |
* | Abaxis Inc. | 245,145 | 9,070 |
* | ABIOMED Inc. | 396,704 | 9,053 |
*,^ | MAKO Surgical Corp. | 353,179 | 9,045 |
* | Medidata Solutions Inc. | 266,160 | 8,695 |
* | Endologix Inc. | 558,028 | 8,616 |
* | Orthofix International NV | 208,168 | 8,587 |
* | Integra LifeSciences Holdings Corp. | 227,862 | 8,472 |
* | IPC The Hospitalist Co. Inc. | 186,855 | 8,468 |
* | NPS Pharmaceuticals Inc. | 973,321 | 8,380 |
*,^ | Dendreon Corp. | 1,129,978 | 8,362 |
* | Isis Pharmaceuticals Inc. | 696,046 | 8,353 |
* | Dynavax Technologies Corp. | 1,869,672 | 8,077 |
*,^ | Optimer Pharmaceuticals Inc. | 500,867 | 7,773 |
Hill-Rom Holdings Inc. | 244,986 | 7,558 | |
*,^ | Opko Health Inc. | 1,640,406 | 7,546 |
* | ICU Medical Inc. | 141,181 | 7,536 |
* | Rigel Pharmaceuticals Inc. | 805,234 | 7,489 |
* | Bio-Reference Labs Inc. | 284,370 | 7,473 |
Cantel Medical Corp. | 258,622 | 7,047 | |
* | Exact Sciences Corp. | 633,357 | 6,790 |
* | Nektar Therapeutics | 840,653 | 6,784 |
Computer Programs & Systems Inc. | 117,750 | 6,738 | |
* | Momenta Pharmaceuticals Inc. | 493,184 | 6,668 |
* | Conceptus Inc. | 335,054 | 6,641 |
* | Merit Medical Systems Inc. | 450,978 | 6,228 |
* | Genomic Health Inc. | 183,420 | 6,126 |
* | OraSure Technologies Inc. | 533,817 | 6,000 |
* | Neurocrine Biosciences Inc. | 748,680 | 5,922 |
* | InterMune Inc. | 480,072 | 5,737 |
* | HealthStream Inc. | 220,549 | 5,734 |
* | Wright Medical Group Inc. | 259,965 | 5,550 |
* | Quidel Corp. | 337,857 | 5,298 |
* | Accuray Inc. | 761,994 | 5,212 |
* | Idenix Pharmaceuticals Inc. | 504,128 | 5,192 |
* | Sequenom Inc. | 1,268,270 | 5,149 |
* | Emeritus Corp. | 300,530 | 5,058 |
* | Affymax Inc. | 383,208 | 4,936 |
*,^ | Accretive Health Inc. | 443,493 | 4,861 |
*,^ | Sunrise Senior Living Inc. | 650,731 | 4,744 |
* | Curis Inc. | 870,406 | 4,700 |
* | ExamWorks Group Inc. | 346,423 | 4,583 |
*,^ | ZIOPHARM Oncology Inc. | 749,504 | 4,460 |
* | AVEO Pharmaceuticals Inc. | 366,247 | 4,454 |
eResearchTechnology Inc. | 556,625 | 4,447 | |
* | Acadia Healthcare Co. Inc. | 251,418 | 4,410 |
* | Emergent Biosolutions Inc. | 284,188 | 4,305 |
* | Protalix BioTherapeutics Inc. | 717,723 | 4,113 |
* | Alnylam Pharmaceuticals Inc. | 334,654 | 3,905 |
* | Arqule Inc. | 655,558 | 3,887 |
* | MAP Pharmaceuticals Inc. | 258,598 | 3,874 |
*,^ | Antares Pharma Inc. | 1,051,030 | 3,826 |
* | Hi-Tech Pharmacal Co. Inc. | 117,405 | 3,804 |
* | Synageva BioPharma Corp. | 93,378 | 3,787 |
* | Metropolitan Health Networks Inc. | 394,859 | 3,779 |
* | Corvel Corp. | 77,055 | 3,776 |
Atrion Corp. | 18,241 | 3,739 | |
* | Sciclone Pharmaceuticals Inc. | 526,404 | 3,690 |
36
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | BioScrip Inc. | 487,709 | 3,624 |
*,^ | Navidea Biopharmaceuticals Inc. | 967,605 | 3,599 |
* | Lexicon Pharmaceuticals Inc. | 1,587,628 | 3,572 |
* | Omnicell Inc. | 243,549 | 3,566 |
* | Depomed Inc. | 625,014 | 3,556 |
* | Progenics Pharmaceuticals Inc. | 361,828 | 3,539 |
* | Tornier NV | 155,007 | 3,475 |
* | AVANIR Pharmaceuticals Inc. | 877,546 | 3,440 |
* | Ligand Pharmaceuticals Inc. Class B | 200,108 | 3,390 |
* | Threshold Pharmaceuticals Inc. | 453,760 | 3,358 |
* | Obagi Medical Products Inc. | 209,744 | 3,203 |
* | Achillion Pharmaceuticals Inc. | 511,449 | 3,171 |
* | Staar Surgical Co. | 407,243 | 3,164 |
* | Sangamo Biosciences Inc. | 562,943 | 3,107 |
* | Raptor Pharmaceutical Corp. | 538,962 | 3,013 |
* | Greatbatch Inc. | 132,529 | 3,010 |
*,^ | MannKind Corp. | 1,286,609 | 2,946 |
* | Aegerion Pharmaceuticals Inc. | 197,203 | 2,926 |
* | Immunomedics Inc. | 809,110 | 2,888 |
* | Clovis Oncology Inc. | 132,985 | 2,883 |
*,^ | Unilife Corp. | 829,449 | 2,804 |
* | Molina Healthcare Inc. | 117,596 | 2,759 |
* | Fluidigm Corp. | 183,100 | 2,754 |
* | PROLOR Biotech Inc. | 518,557 | 2,588 |
* | AMAG Pharmaceuticals Inc. | 167,793 | 2,584 |
* | Endocyte Inc. | 303,052 | 2,491 |
* | Dyax Corp. | 1,113,127 | 2,371 |
* | Cadence Pharmaceuticals Inc. | 653,799 | 2,334 |
Young Innovations Inc. | 67,416 | 2,325 | |
* | RTI Biologics Inc. | 595,239 | 2,238 |
* | Orexigen Therapeutics Inc. | 394,910 | 2,188 |
Landauer Inc. | 37,278 | 2,137 | |
* | SurModics Inc. | 122,008 | 2,111 |
*,^ | Osiris Therapeutics Inc. | 185,638 | 2,036 |
* | Sagent Pharmaceuticals Inc. | 110,268 | 1,994 |
* | Merge Healthcare Inc. | 665,951 | 1,905 |
* | Pozen Inc. | 303,511 | 1,894 |
* | Novavax Inc. | 1,170,355 | 1,826 |
* | Affymetrix Inc. | 356,944 | 1,674 |
* | Corcept Therapeutics Inc. | 370,374 | 1,663 |
* | Epocrates Inc. | 203,694 | 1,634 |
* | Allos Therapeutics Inc. | 897,522 | 1,607 |
* | LHC Group Inc. | 90,396 | 1,533 |
* | Trius Therapeutics Inc. | 252,004 | 1,452 |
*,^ | Biotime Inc. | 312,650 | 1,438 |
* | Targacept Inc. | 320,863 | 1,380 |
* | Natus Medical Inc. | 116,264 | 1,351 |
*,^ | Cell Therapeutics Inc. | 2,295,905 | 1,332 |
* | Geron Corp. | 743,408 | 1,279 |
* | SIGA Technologies Inc. | 436,207 | 1,252 |
* | XenoPort Inc. | 201,519 | 1,217 |
*,^ | Ampio Pharmaceuticals Inc. | 228,789 | 1,162 |
* | Pacific Biosciences of California Inc. | 464,998 | 1,009 |
* | Pain Therapeutics Inc. | 202,288 | 949 |
* | Codexis Inc. | 243,951 | 912 |
* | AMN Healthcare Services Inc. | 152,132 | 902 |
* | Gentiva Health Services Inc. | 109,651 | 760 |
* | Palomar Medical Technologies Inc. | 73,585 | 625 |
*,^ | Savient Pharmaceuticals Inc. | 808,404 | 437 |
* | Metabolix Inc. | 225,652 | 417 |
* | Alimera Sciences Inc. | 124,498 | 372 |
*,^ | Complete Genomics Inc. | 168,796 | 314 |
* | BioMimetic Therapeutics Inc. | 118,961 | 313 |
37
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 132,154 | 126 |
1,907,705 | |||
Industrials (17.9%) | |||
Wabtec Corp. | 542,797 | 42,344 | |
Lincoln Electric Holdings Inc. | 899,312 | 39,381 | |
* | Fortune Brands Home & Security Inc. | 1,605,747 | 35,760 |
Corrections Corp. of America | 1,124,961 | 33,130 | |
Nordson Corp. | 621,587 | 31,881 | |
Triumph Group Inc. | 563,149 | 31,688 | |
Graco Inc. | 676,399 | 31,168 | |
* | United Rentals Inc. | 899,268 | 30,611 |
* | Clean Harbors Inc. | 539,768 | 30,454 |
* | Hexcel Corp. | 1,123,270 | 28,969 |
Woodward Inc. | 702,187 | 27,694 | |
Landstar System Inc. | 528,101 | 27,313 | |
* | Kirby Corp. | 568,090 | 26,746 |
* | Dollar Thrifty Automotive Group Inc. | 318,113 | 25,754 |
Toro Co. | 339,817 | 24,905 | |
* | Genesee & Wyoming Inc. Class A | 455,276 | 24,057 |
* | Chart Industries Inc. | 335,015 | 23,036 |
Con-way Inc. | 630,497 | 22,767 | |
*,^ | Polypore International Inc. | 525,513 | 21,225 |
* | Old Dominion Freight Line Inc. | 486,989 | 21,082 |
* | Middleby Corp. | 211,274 | 21,045 |
* | Shaw Group Inc. | 736,418 | 20,112 |
Actuant Corp. Class A | 731,665 | 19,872 | |
* | Advisory Board Co. | 376,843 | 18,688 |
* | Tetra Tech Inc. | 713,596 | 18,611 |
* | Moog Inc. Class A | 442,470 | 18,296 |
* | Acacia Research Corp. | 485,081 | 18,064 |
* | Avis Budget Group Inc. | 1,187,152 | 18,045 |
CLARCOR Inc. | 369,239 | 17,783 | |
* | Portfolio Recovery Associates Inc. | 193,857 | 17,691 |
* | Colfax Corp. | 629,050 | 17,343 |
UTi Worldwide Inc. | 1,161,815 | 16,974 | |
Rollins Inc. | 746,973 | 16,710 | |
Manitowoc Co. Inc. | 1,416,060 | 16,568 | |
Valmont Industries Inc. | 134,759 | 16,302 | |
* | Air Lease Corp. | 838,190 | 16,253 |
* | Teledyne Technologies Inc. | 258,000 | 15,906 |
Applied Industrial Technologies Inc. | 427,254 | 15,744 | |
Corporate Executive Board Co. | 376,575 | 15,394 | |
* | Hub Group Inc. Class A | 419,198 | 15,175 |
Kennametal Inc. | 450,697 | 14,941 | |
Healthcare Services Group Inc. | 718,060 | 13,916 | |
Watsco Inc. | 187,478 | 13,836 | |
Raven Industries Inc. | 194,407 | 13,529 | |
* | FTI Consulting Inc. | 470,185 | 13,518 |
* | Beacon Roofing Supply Inc. | 524,451 | 13,227 |
Armstrong World Industries Inc. | 264,229 | 12,989 | |
Barnes Group Inc. | 523,573 | 12,718 | |
Herman Miller Inc. | 658,797 | 12,201 | |
Acuity Brands Inc. | 238,023 | 12,118 | |
* | Allegiant Travel Co. Class A | 172,533 | 12,022 |
* | RBC Bearings Inc. | 249,566 | 11,804 |
Franklin Electric Co. Inc. | 224,353 | 11,471 | |
Titan International Inc. | 453,350 | 11,121 | |
HEICO Corp. | 275,494 | 10,888 | |
UniFirst Corp. | 169,661 | 10,816 | |
* | MasTec Inc. | 717,734 | 10,795 |
Knight Transportation Inc. | 674,305 | 10,782 | |
Forward Air Corp. | 324,249 | 10,464 | |
* | II-VI Inc. | 603,501 | 10,060 |
* | Spirit Airlines Inc. | 497,379 | 9,679 |
38
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Robbins & Myers Inc. | 231,346 | 9,675 | |
Lindsay Corp. | 143,600 | 9,320 | |
* | Swift Transportation Co. | 971,392 | 9,180 |
* | Seaboard Corp. | 4,111 | 8,769 |
Cubic Corp. | 181,391 | 8,721 | |
* | EnPro Industries Inc. | 232,633 | 8,693 |
* | Orbital Sciences Corp. | 666,235 | 8,608 |
* | ACCO Brands Corp. | 822,136 | 8,501 |
Heartland Express Inc. | 586,406 | 8,391 | |
* | Huron Consulting Group Inc. | 254,985 | 8,070 |
* | Trimas Corp. | 399,007 | 8,020 |
* | Exponent Inc. | 150,652 | 7,959 |
* | KAR Auction Services Inc. | 462,166 | 7,945 |
* | USG Corp. | 416,750 | 7,939 |
* | Blount International Inc. | 523,666 | 7,672 |
Tennant Co. | 191,745 | 7,660 | |
HEICO Corp. Class A | 229,211 | 7,394 | |
Knoll Inc. | 541,528 | 7,267 | |
* | Sykes Enterprises Inc. | 448,081 | 7,151 |
* | Astec Industries Inc. | 218,274 | 6,697 |
Insperity Inc. | 247,371 | 6,691 | |
* | On Assignment Inc. | 416,747 | 6,651 |
* | Team Inc. | 211,393 | 6,591 |
* | DigitalGlobe Inc. | 418,916 | 6,351 |
* | Mobile Mini Inc. | 437,681 | 6,303 |
* | Titan Machinery Inc. | 199,745 | 6,066 |
Resources Connection Inc. | 487,615 | 5,998 | |
American Science & Engineering Inc. | 100,717 | 5,685 | |
Sun Hydraulics Corp. | 231,738 | 5,629 | |
* | RailAmerica Inc. | 228,256 | 5,524 |
* | InnerWorkings Inc. | 394,583 | 5,339 |
* | Meritor Inc. | 1,014,743 | 5,297 |
* | Aerovironment Inc. | 199,577 | 5,251 |
* | Aegion Corp. Class A | 288,709 | 5,165 |
* | Mistras Group Inc. | 189,140 | 4,971 |
Gorman-Rupp Co. | 166,153 | 4,951 | |
* | Interface Inc. Class A | 354,243 | 4,828 |
Sauer-Danfoss Inc. | 136,952 | 4,784 | |
* | DXP Enterprises Inc. | 111,564 | 4,629 |
* | Kforce Inc. | 342,508 | 4,610 |
Simpson Manufacturing Co. Inc. | 152,927 | 4,513 | |
* | Trex Co. Inc. | 149,973 | 4,513 |
* | Federal Signal Corp. | 701,651 | 4,098 |
Global Power Equipment Group Inc. | 184,767 | 4,035 | |
Celadon Group Inc. | 244,095 | 3,998 | |
Amerco Inc. | 44,293 | 3,985 | |
* | Powell Industries Inc. | 106,325 | 3,972 |
* | MYR Group Inc. | 230,621 | 3,934 |
* | Korn/Ferry International | 269,448 | 3,867 |
^ | National Presto Industries Inc. | 54,341 | 3,791 |
* | Standard Parking Corp. | 175,979 | 3,787 |
* | Rush Enterprises Inc. Class A | 217,225 | 3,552 |
* | TrueBlue Inc. | 224,954 | 3,482 |
* | GenCorp Inc. | 530,724 | 3,455 |
*,^ | Zipcar Inc. | 288,186 | 3,380 |
* | Taser International Inc. | 628,416 | 3,293 |
* | H&E Equipment Services Inc. | 218,717 | 3,287 |
*,^ | Capstone Turbine Corp. | 3,113,313 | 3,144 |
* | Thermon Group Holdings Inc. | 151,797 | 3,144 |
AZZ Inc. | 49,780 | 3,050 | |
* | XPO Logistics Inc. | 175,439 | 2,947 |
Kaman Corp. | 93,529 | 2,894 | |
* | Echo Global Logistics Inc. | 149,841 | 2,856 |
* | RPX Corp. | 193,519 | 2,777 |
39
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Roadrunner Transportation Systems Inc. | 156,279 | 2,640 |
* | Astronics Corp. | 93,171 | 2,631 |
Dynamic Materials Corp. | 151,057 | 2,618 | |
* | Encore Capital Group Inc. | 87,260 | 2,585 |
AAON Inc. | 135,387 | 2,552 | |
* | Dycom Industries Inc. | 132,776 | 2,471 |
NACCO Industries Inc. Class A | 20,189 | 2,347 | |
* | Commercial Vehicle Group Inc. | 269,999 | 2,327 |
*,^ | American Superconductor Corp. | 465,315 | 2,187 |
* | Furmanite Corp. | 419,706 | 2,040 |
* | KEYW Holding Corp. | 177,590 | 1,783 |
* | Wabash National Corp. | 269,243 | 1,782 |
* | EnerNOC Inc. | 245,855 | 1,780 |
* | Accuride Corp. | 294,186 | 1,765 |
* | American Railcar Industries Inc. | 54,328 | 1,472 |
* | PMFG Inc. | 183,520 | 1,433 |
* | Pendrell Corp. | 1,167,132 | 1,307 |
* | Rush Enterprises Inc. Class B | 92,222 | 1,238 |
* | Orion Marine Group Inc. | 153,365 | 1,067 |
Preformed Line Products Co. | 17,362 | 1,005 | |
* | CAI International Inc. | 45,829 | 911 |
Vicor Corp. | 118,892 | 825 | |
* | American Reprographics Co. | 155,595 | 783 |
* | Dolan Co. | 114,971 | 774 |
* | Pacer International Inc. | 138,418 | 750 |
* | American Woodmark Corp. | 39,790 | 680 |
* | Hill International Inc. | 198,093 | 634 |
* | Patriot Transportation Holding Inc. | 23,958 | 564 |
* | EnergySolutions Inc. | 316,681 | 535 |
* | Genco Shipping & Trading Ltd. | 130,055 | 397 |
1,590,019 | |||
Information Technology (22.7%) | |||
* | Ariba Inc. | 1,124,635 | 50,339 |
* | Concur Technologies Inc. | 523,767 | 35,669 |
* | Cadence Design Systems Inc. | 3,096,339 | 34,029 |
Jack Henry & Associates Inc. | 931,645 | 32,160 | |
* | Teradyne Inc. | 2,107,238 | 29,628 |
National Instruments Corp. | 1,091,082 | 29,306 | |
* | JDS Uniphase Corp. | 2,642,925 | 29,072 |
MercadoLibre Inc. | 374,167 | 28,362 | |
* | Parametric Technology Corp. | 1,346,082 | 28,214 |
* | SolarWinds Inc. | 613,986 | 26,745 |
* | Wright Express Corp. | 415,397 | 25,638 |
* | NeuStar Inc. Class A | 761,699 | 25,441 |
* | Ultimate Software Group Inc. | 283,288 | 25,247 |
* | Aspen Technology Inc. | 1,059,041 | 24,517 |
* | CoStar Group Inc. | 291,172 | 23,643 |
* | CommVault Systems Inc. | 474,642 | 23,528 |
* | Cirrus Logic Inc. | 724,430 | 21,646 |
ADTRAN Inc. | 685,286 | 20,689 | |
* | Zebra Technologies Corp. | 587,681 | 20,193 |
MAXIMUS Inc. | 381,360 | 19,735 | |
* | ACI Worldwide Inc. | 442,808 | 19,577 |
* | Cymer Inc. | 330,864 | 19,504 |
* | FEI Co. | 406,681 | 19,456 |
*,^ | 3D Systems Corp. | 558,797 | 19,077 |
* | QLIK Technologies Inc. | 859,287 | 19,007 |
* | Aruba Networks Inc. | 1,234,319 | 18,577 |
* | Quest Software Inc. | 660,100 | 18,384 |
* | Microsemi Corp. | 988,562 | 18,279 |
* | Ciena Corp. | 1,114,937 | 18,252 |
* | FleetCor Technologies Inc. | 516,468 | 18,097 |
* | Semtech Corp. | 735,660 | 17,891 |
* | ViaSat Inc. | 459,984 | 17,374 |
40
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Fair Isaac Corp. | 407,224 | 17,217 | |
* | Silicon Laboratories Inc. | 453,488 | 17,187 |
*,^ | Universal Display Corp. | 469,433 | 16,871 |
Anixter International Inc. | 317,587 | 16,848 | |
* | Sourcefire Inc. | 325,723 | 16,742 |
* | Hittite Microwave Corp. | 319,906 | 16,354 |
Plantronics Inc. | 485,828 | 16,227 | |
* | IPG Photonics Corp. | 370,927 | 16,169 |
*,^ | VirnetX Holding Corp. | 456,668 | 16,098 |
* | Cavium Inc. | 558,450 | 15,637 |
* | Finisar Corp. | 1,026,525 | 15,357 |
* | QLogic Corp. | 1,115,220 | 15,267 |
* | Veeco Instruments Inc. | 438,222 | 15,057 |
* | NetSuite Inc. | 274,815 | 15,052 |
* | NETGEAR Inc. | 427,328 | 14,747 |
* | Comverse Technology Inc. | 2,474,607 | 14,402 |
* | Cardtronics Inc. | 473,013 | 14,290 |
* | JDA Software Group Inc. | 480,991 | 14,281 |
* | DealerTrack Holdings Inc. | 474,099 | 14,275 |
* | NCR Corp. | 626,233 | 14,234 |
* | ValueClick Inc. | 862,560 | 14,137 |
* | OSI Systems Inc. | 212,352 | 13,450 |
* | Liquidity Services Inc. | 259,837 | 13,301 |
* | RF Micro Devices Inc. | 3,121,912 | 13,268 |
Heartland Payment Systems Inc. | 439,686 | 13,226 | |
Blackbaud Inc. | 507,915 | 13,038 | |
Sapient Corp. | 1,268,062 | 12,769 | |
* | MicroStrategy Inc. Class A | 95,086 | 12,348 |
* | Tyler Technologies Inc. | 305,276 | 12,318 |
Power Integrations Inc. | 319,644 | 11,923 | |
* | Stratasys Inc. | 239,628 | 11,874 |
* | WebMD Health Corp. | 577,547 | 11,845 |
* | Fusion-io Inc. | 560,169 | 11,702 |
* | Coherent Inc. | 266,367 | 11,534 |
Syntel Inc. | 189,176 | 11,483 | |
*,^ | VistaPrint NV | 354,615 | 11,454 |
* | TiVo Inc. | 1,374,568 | 11,368 |
* | EchoStar Corp. Class A | 417,257 | 11,024 |
* | Synaptics Inc. | 372,404 | 10,662 |
* | Manhattan Associates Inc. | 232,411 | 10,624 |
* | TriQuint Semiconductor Inc. | 1,878,887 | 10,334 |
* | LivePerson Inc. | 541,753 | 10,326 |
DST Systems Inc. | 187,282 | 10,171 | |
* | Advent Software Inc. | 374,846 | 10,162 |
* | SS&C Technologies Holdings Inc. | 386,889 | 9,672 |
* | RealPage Inc. | 411,125 | 9,522 |
* | Progress Software Corp. | 455,500 | 9,506 |
* | ScanSource Inc. | 309,884 | 9,495 |
* | Standard Microsystems Corp. | 251,294 | 9,270 |
* | Ultratech Inc. | 292,104 | 9,201 |
*,^ | OpenTable Inc. | 203,986 | 9,181 |
* | Unisys Corp. | 466,481 | 9,120 |
NIC Inc. | 691,012 | 8,776 | |
* | Euronet Worldwide Inc. | 511,939 | 8,764 |
* | Acxiom Corp. | 574,489 | 8,681 |
*,^ | Ancestry.com Inc. | 314,931 | 8,670 |
* | Netscout Systems Inc. | 399,271 | 8,620 |
MKS Instruments Inc. | 296,746 | 8,585 | |
Ebix Inc. | 418,178 | 8,343 | |
* | Bankrate Inc. | 452,086 | 8,314 |
* | Compuware Corp. | 864,707 | 8,033 |
* | FARO Technologies Inc. | 189,658 | 7,981 |
* | Websense Inc. | 426,082 | 7,981 |
* | Verint Systems Inc. | 263,270 | 7,769 |
41
Vanguard® Small-Cap Growth Index Fund Schedule of Investments June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Diodes Inc. | 411,072 | 7,716 |
Cypress Semiconductor Corp. | 581,958 | 7,693 | |
Cabot Microelectronics Corp. | 259,335 | 7,575 | |
* | Kenexa Corp. | 260,599 | 7,565 |
* | Bottomline Technologies Inc. | 409,536 | 7,392 |
Loral Space & Communications Inc. | 107,177 | 7,218 | |
* | LogMeIn Inc. | 236,022 | 7,203 |
Cognex Corp. | 225,935 | 7,151 | |
* | GT Advanced Technologies Inc. | 1,353,566 | 7,147 |
* | BroadSoft Inc. | 245,946 | 7,123 |
*,^ | RealD Inc. | 461,740 | 6,908 |
* | Monolithic Power Systems Inc. | 343,685 | 6,829 |
* | Monotype Imaging Holdings Inc. | 407,139 | 6,828 |
* | Tangoe Inc. | 308,826 | 6,581 |
* | Cornerstone OnDemand Inc. | 274,001 | 6,524 |
* | Volterra Semiconductor Corp. | 277,950 | 6,518 |
* | ExlService Holdings Inc. | 263,952 | 6,504 |
* | Rambus Inc. | 1,121,749 | 6,439 |
^ | Pegasystems Inc. | 191,857 | 6,327 |
* | ServiceSource International Inc. | 441,499 | 6,115 |
* | Constant Contact Inc. | 341,667 | 6,109 |
* | Rofin-Sinar Technologies Inc. | 322,468 | 6,104 |
Forrester Research Inc. | 179,391 | 6,074 | |
* | Synchronoss Technologies Inc. | 326,582 | 6,032 |
* | iGATE Corp. | 351,955 | 5,990 |
* | Ixia | 476,425 | 5,727 |
* | comScore Inc. | 344,627 | 5,673 |
Micrel Inc. | 590,091 | 5,624 | |
* | Take-Two Interactive Software Inc. | 591,557 | 5,596 |
* | Super Micro Computer Inc. | 344,434 | 5,463 |
* | Quantum Corp. | 2,644,955 | 5,369 |
* | Procera Networks Inc. | 217,298 | 5,283 |
* | Entropic Communications Inc. | 936,502 | 5,282 |
* | Measurement Specialties Inc. | 162,099 | 5,270 |
InterDigital Inc. | 178,487 | 5,267 | |
* | Blucora Inc. | 423,463 | 5,217 |
* | Dice Holdings Inc. | 552,321 | 5,186 |
* | Sonus Networks Inc. | 2,364,906 | 5,085 |
* | Accelrys Inc. | 626,234 | 5,066 |
* | Lattice Semiconductor Corp. | 1,325,554 | 4,997 |
* | TNS Inc. | 275,343 | 4,940 |
* | DTS Inc. | 186,982 | 4,876 |
* | Interactive Intelligence Group Inc. | 170,214 | 4,802 |
OPNET | 178,299 | 4,741 | |
* | Ceva Inc. | 265,623 | 4,678 |
*,^ | Angie's List Inc. | 293,460 | 4,648 |
* | Mercury Computer Systems Inc. | 348,828 | 4,510 |
* | Jive Software Inc. | 211,745 | 4,445 |
* | Cray Inc. | 353,438 | 4,270 |
* | Infinera Corp. | 603,509 | 4,128 |
* | Applied Micro Circuits Corp. | 690,148 | 3,948 |
*,^ | Higher One Holdings Inc. | 320,496 | 3,916 |
* | PROS Holdings Inc. | 229,411 | 3,859 |
* | Nanometrics Inc. | 248,639 | 3,819 |
* | SciQuest Inc. | 212,363 | 3,814 |
* | Demand Media Inc. | 329,933 | 3,695 |
* | LTX-Credence Corp. | 550,915 | 3,691 |
* | Perficient Inc. | 328,030 | 3,684 |
* | Ellie Mae Inc. | 201,357 | 3,624 |
* | Actuate Corp. | 521,938 | 3,617 |
* | MIPS Technologies Inc. Class A | 539,157 | 3,596 |
* | Stamps.com Inc. | 143,899 | 3,550 |
* | Exar Corp. | 430,570 | 3,513 |
* | Internap Network Services Corp. | 535,412 | 3,486 |
42
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Move Inc. | 378,151 | 3,445 |
* | Active Network Inc. | 222,798 | 3,429 |
* | QuinStreet Inc. | 356,577 | 3,302 |
* | STEC Inc. | 416,341 | 3,247 |
* | Fabrinet | 252,377 | 3,167 |
* | IXYS Corp. | 281,911 | 3,149 |
* | Integrated Device Technology Inc. | 558,208 | 3,137 |
* | Extreme Networks | 895,972 | 3,082 |
Badger Meter Inc. | 81,154 | 3,047 | |
* | Digi International Inc. | 289,509 | 2,965 |
* | Virtusa Corp. | 216,944 | 2,896 |
* | Calix Inc. | 350,889 | 2,884 |
* | MoneyGram International Inc. | 194,011 | 2,833 |
* | VASCO Data Security International Inc. | 343,287 | 2,808 |
* | OmniVision Technologies Inc. | 206,393 | 2,757 |
* | Seachange International Inc. | 328,578 | 2,704 |
* | Power-One Inc. | 584,299 | 2,641 |
* | Multi-Fineline Electronix Inc. | 107,154 | 2,640 |
* | Oplink Communications Inc. | 194,996 | 2,638 |
Keynote Systems Inc. | 176,355 | 2,619 | |
* | Vocus Inc. | 139,461 | 2,594 |
* | Rogers Corp. | 64,321 | 2,548 |
* | InvenSense Inc. | 225,333 | 2,546 |
* | Kopin Corp. | 726,391 | 2,499 |
*,^ | OCZ Technology Group Inc. | 457,603 | 2,425 |
* | Envestnet Inc. | 197,270 | 2,367 |
* | Globecomm Systems Inc. | 232,746 | 2,360 |
* | Silicon Graphics International Corp. | 356,629 | 2,290 |
* | Responsys Inc. | 187,739 | 2,275 |
* | Limelight Networks Inc. | 763,241 | 2,236 |
*,^ | Rubicon Technology Inc. | 203,478 | 2,075 |
*,^ | Travelzoo Inc. | 89,236 | 2,027 |
* | Rosetta Stone Inc. | 143,793 | 1,990 |
* | Maxwell Technologies Inc. | 301,799 | 1,980 |
* | Inphi Corp. | 203,954 | 1,933 |
* | Silicon Image Inc. | 461,896 | 1,912 |
* | ShoreTel Inc. | 433,909 | 1,901 |
* | Imperva Inc. | 65,135 | 1,877 |
* | Oclaro Inc. | 581,883 | 1,769 |
* | XO Group Inc. | 199,180 | 1,767 |
* | Deltek Inc. | 139,372 | 1,615 |
RealNetworks Inc. | 164,053 | 1,417 | |
* | Echelon Corp. | 384,684 | 1,339 |
* | FormFactor Inc. | 196,164 | 1,269 |
Methode Electronics Inc. | 146,544 | 1,247 | |
* | Sigma Designs Inc. | 182,337 | 1,163 |
* | Sycamore Networks Inc. | 79,811 | 1,159 |
* | MaxLinear Inc. | 210,431 | 1,044 |
*,^ | KIT Digital Inc. | 241,721 | 1,037 |
* | Anaren Inc. | 50,077 | 982 |
* | Agilysys Inc. | 112,631 | 977 |
* | Intermolecular Inc. | 119,129 | 923 |
* | Pericom Semiconductor Corp. | 90,599 | 815 |
* | Carbonite Inc. | 85,653 | 766 |
* | Supertex Inc. | 40,581 | 765 |
* | TeleNav Inc. | 122,425 | 750 |
* | Imation Corp. | 121,346 | 717 |
* | ANADIGICS Inc. | 386,964 | 700 |
* | Intevac Inc. | 91,986 | 692 |
* | STR Holdings Inc. | 98,732 | 450 |
2,019,621 | |||
Materials (5.1%) | |||
Royal Gold Inc. | 664,750 | 52,116 | |
Solutia Inc. | 1,383,515 | 38,808 |
43
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Rockwood Holdings Inc. | 788,731 | 34,980 | |
* | Allied Nevada Gold Corp. | 962,581 | 27,318 |
NewMarket Corp. | 121,200 | 26,252 | |
* | Chemtura Corp. | 1,088,359 | 15,781 |
* | Intrepid Potash Inc. | 637,547 | 14,511 |
PolyOne Corp. | 954,944 | 13,064 | |
Silgan Holdings Inc. | 296,205 | 12,645 | |
* | Stillwater Mining Co. | 1,306,078 | 11,154 |
Balchem Corp. | 330,212 | 10,768 | |
Globe Specialty Metals Inc. | 721,071 | 9,684 | |
^ | Gold Resource Corp. | 358,774 | 9,325 |
Eagle Materials Inc. | 241,347 | 9,012 | |
* | Coeur d'Alene Mines Corp. | 508,063 | 8,922 |
* | Clearwater Paper Corp. | 258,130 | 8,807 |
* | Graphic Packaging Holding Co. | 1,540,768 | 8,474 |
* | Louisiana-Pacific Corp. | 775,029 | 8,432 |
Carpenter Technology Corp. | 175,858 | 8,413 | |
Buckeye Technologies Inc. | 289,054 | 8,235 | |
Koppers Holdings Inc. | 232,877 | 7,918 | |
Deltic Timber Corp. | 128,064 | 7,809 | |
* | KapStone Paper and Packaging Corp. | 445,867 | 7,067 |
* | Innospec Inc. | 236,313 | 6,997 |
* | McEwen Mining Inc. | 2,265,452 | 6,819 |
American Vanguard Corp. | 250,362 | 6,657 | |
* | LSB Industries Inc. | 214,467 | 6,629 |
Schweitzer-Mauduit International Inc. | 90,121 | 6,141 | |
* | TPC Group Inc. | 150,023 | 5,543 |
Materion Corp. | 218,103 | 5,023 | |
* | Flotek Industries Inc. | 530,364 | 4,954 |
* | Calgon Carbon Corp. | 320,981 | 4,564 |
Hawkins Inc. | 106,160 | 4,053 | |
* | Omnova Solutions Inc. | 490,771 | 3,700 |
Haynes International Inc. | 69,551 | 3,543 | |
Georgia Gulf Corp. | 135,541 | 3,479 | |
Stepan Co. | 34,455 | 3,245 | |
*,^ | Paramount Gold and Silver Corp. | 1,312,628 | 3,150 |
Noranda Aluminum Holding Corp. | 380,092 | 3,026 | |
* | Zoltek Cos. Inc. | 329,310 | 2,974 |
Zep Inc. | 210,429 | 2,889 | |
Texas Industries Inc. | 60,695 | 2,368 | |
* | General Moly Inc. | 667,294 | 2,095 |
* | Arabian American Development Co. | 200,213 | 1,940 |
* | Headwaters Inc. | 345,164 | 1,778 |
* | Century Aluminum Co. | 211,012 | 1,547 |
*,^ | Midway Gold Corp. | 1,077,149 | 1,497 |
Tredegar Corp. | 88,699 | 1,292 | |
* | United States Lime & Minerals Inc. | 24,606 | 1,148 |
456,546 | |||
Telecommunication Services (1.2%) | |||
* | tw telecom inc Class A | 1,695,271 | 43,501 |
AboveNet Inc. | 252,107 | 21,177 | |
* | Cogent Communications Group Inc. | 493,084 | 9,492 |
* | Cincinnati Bell Inc. | 2,110,872 | 7,852 |
* | Clearwire Corp. Class A | 4,084,348 | 4,575 |
* | Neutral Tandem Inc. | 337,244 | 4,445 |
* | General Communication Inc. Class A | 347,342 | 2,886 |
* | inContact Inc. | 467,968 | 2,345 |
* | Cbeyond Inc. | 342,122 | 2,316 |
* | Boingo Wireless Inc. | 156,399 | 1,817 |
* | Leap Wireless International Inc. | 203,764 | 1,310 |
Atlantic Tele-Network Inc. | 36,563 | 1,233 | |
*,^ | Elephant Talk Communications Inc. | 547,659 | 920 |
103,869 |
44
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2012
Market | ||||
Value | ||||
Shares | ($000) | |||
Utilities (0.1%) | ||||
* GenOn Energy Inc. | 3,048,946 | 5,214 | ||
Total Common Stocks (Cost $8,208,723) | 8,878,128 | |||
Coupon | ||||
Temporary Cash Investments (2.2%)1 | ||||
Money Market Fund (2.2%) | ||||
2,3 Vanguard Market Liquidity Fund | 0.148% | 192,411,236 | 192,411 | |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||
4 United States Treasury Note/Bond | 1.375% | 9/15/12 | 2,000 | 2,005 |
Total Temporary Cash Investments (Cost $194,416) | 194,416 | |||
Total Investments (102.0%) (Cost $8,403,139) | 9,072,544 | |||
Other Assets and Liabilities—Net (-2.0%)3 | (176,245) | |||
Net Assets (100%) | 8,896,299 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $163,719,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 2.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $169,372,000 of collateral received for securities on loan.
4 Securities with a value of $2,005,000 have been segregated as initial margin for open futures contracts.
45
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.6%)1 | |||
Consumer Discretionary (10.3%) | |||
Jarden Corp. | 672,019 | 28,238 | |
Service Corp. International | 1,979,810 | 24,490 | |
Brinker International Inc. | 701,826 | 22,367 | |
John Wiley & Sons Inc. Class A | 431,787 | 21,153 | |
Cinemark Holdings Inc. | 919,202 | 21,004 | |
Rent-A-Center Inc. | 530,403 | 17,896 | |
Wolverine World Wide Inc. | 432,039 | 16,754 | |
* | Visteon Corp. | 425,957 | 15,973 |
* | Cabela's Inc. | 399,841 | 15,118 |
* | Genesco Inc. | 216,330 | 13,012 |
Wendy's Co. | 2,607,652 | 12,308 | |
Men's Wearhouse Inc. | 435,042 | 12,242 | |
MDC Holdings Inc. | 364,249 | 11,900 | |
* | DreamWorks Animation SKG Inc. Class A | 621,208 | 11,840 |
Cracker Barrel Old Country Store Inc. | 184,833 | 11,607 | |
* | Iconix Brand Group Inc. | 647,931 | 11,319 |
Regal Entertainment Group Class A | 761,222 | 10,474 | |
Bob Evans Farms Inc. | 260,252 | 10,462 | |
* | Jack in the Box Inc. | 374,411 | 10,439 |
^ | Meredith Corp. | 322,089 | 10,288 |
Hillenbrand Inc. | 558,144 | 10,259 | |
Ryland Group Inc. | 397,065 | 10,157 | |
Six Flags Entertainment Corp. | 183,699 | 9,953 | |
Finish Line Inc. Class A | 454,134 | 9,496 | |
Cooper Tire & Rubber Co. | 528,859 | 9,276 | |
Regis Corp. | 514,789 | 9,246 | |
* | New York Times Co. Class A | 1,182,609 | 9,224 |
* | Helen of Troy Ltd. | 268,387 | 9,096 |
Group 1 Automotive Inc. | 192,821 | 8,795 | |
* | Hanesbrands Inc. | 305,089 | 8,460 |
National CineMedia Inc. | 501,659 | 7,610 | |
* | Collective Brands Inc. | 351,892 | 7,538 |
Cato Corp. Class A | 245,014 | 7,463 | |
* | Orient-Express Hotels Ltd. Class A | 871,157 | 7,292 |
* | Skechers U.S.A. Inc. Class A | 345,406 | 7,036 |
*,^ | Saks Inc. | 650,175 | 6,924 |
Jones Group Inc. | 722,810 | 6,910 | |
Churchill Downs Inc. | 114,957 | 6,758 | |
Choice Hotels International Inc. | 169,059 | 6,751 | |
Scholastic Corp. | 236,849 | 6,670 | |
Columbia Sportswear Co. | 120,805 | 6,478 | |
International Speedway Corp. Class A | 236,519 | 6,192 | |
KB Home | 621,421 | 6,090 | |
* | Standard Pacific Corp. | 976,902 | 6,047 |
Dana Holding Corp. | 461,642 | 5,914 | |
* | Live Nation Entertainment Inc. | 636,277 | 5,841 |
^ | Strayer Education Inc. | 52,554 | 5,729 |
* | La-Z-Boy Inc. | 462,460 | 5,684 |
* | Steiner Leisure Ltd. | 120,744 | 5,604 |
Penske Automotive Group Inc. | 262,655 | 5,579 | |
* | Children's Place Retail Stores Inc. | 111,454 | 5,554 |
* | Valassis Communications Inc. | 248,525 | 5,405 |
Belo Corp. Class A | 838,451 | 5,400 | |
* | Marriott Vacations Worldwide Corp. | 166,137 | 5,147 |
Stewart Enterprises Inc. Class A | 709,529 | 5,066 | |
Stage Stores Inc. | 272,623 | 4,994 | |
Brown Shoe Co. Inc. | 376,112 | 4,856 | |
Fred's Inc. Class A | 315,313 | 4,821 | |
American Greetings Corp. Class A | 318,341 | 4,654 | |
Ethan Allen Interiors Inc. | 232,465 | 4,633 | |
Sonic Automotive Inc. Class A | 327,639 | 4,479 |
46
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Meritage Homes Corp. | 131,252 | 4,455 |
Core-Mark Holding Co. Inc. | 90,944 | 4,378 | |
Sinclair Broadcast Group Inc. Class A | 463,771 | 4,202 | |
Movado Group Inc. | 163,675 | 4,095 | |
* | OfficeMax Inc. | 767,574 | 3,884 |
JAKKS Pacific Inc. | 231,649 | 3,709 | |
Harte-Hanks Inc. | 391,736 | 3,580 | |
Superior Industries International Inc. | 218,149 | 3,571 | |
^ | RadioShack Corp. | 890,151 | 3,418 |
Callaway Golf Co. | 578,141 | 3,417 | |
* | Career Education Corp. | 483,421 | 3,234 |
* | Drew Industries Inc. | 115,098 | 3,205 |
* | Ruby Tuesday Inc. | 454,674 | 3,096 |
* | Biglari Holdings Inc. | 7,920 | 3,060 |
Oxford Industries Inc. | 62,514 | 2,794 | |
Nutrisystem Inc. | 238,936 | 2,762 | |
* | Digital Generation Inc. | 221,831 | 2,744 |
Shoe Carnival Inc. | 125,603 | 2,699 | |
Ameristar Casinos Inc. | 147,177 | 2,615 | |
* | Modine Manufacturing Co. | 376,639 | 2,610 |
* | EW Scripps Co. Class A | 268,176 | 2,577 |
Marcus Corp. | 182,369 | 2,509 | |
* | Federal-Mogul Corp. | 221,420 | 2,436 |
* | Quiksilver Inc. | 1,036,613 | 2,415 |
* | American Axle & Manufacturing Holdings Inc. | 223,445 | 2,344 |
Pep Boys-Manny Moe & Jack | 236,249 | 2,339 | |
Lithia Motors Inc. Class A | 99,561 | 2,295 | |
* | Perry Ellis International Inc. | 110,133 | 2,285 |
Standard Motor Products Inc. | 162,254 | 2,285 | |
PetMed Express Inc. | 182,231 | 2,216 | |
Speedway Motorsports Inc. | 129,931 | 2,197 | |
Destination Maternity Corp. | 101,344 | 2,189 | |
* | Exide Technologies | 632,595 | 2,125 |
* | Asbury Automotive Group Inc. | 89,137 | 2,112 |
* | Corinthian Colleges Inc. | 722,581 | 2,088 |
* | Stein Mart Inc. | 253,210 | 2,013 |
World Wrestling Entertainment Inc. Class A | 252,053 | 1,971 | |
* | Red Robin Gourmet Burgers Inc. | 62,178 | 1,897 |
*,^ | hhgregg Inc. | 167,197 | 1,891 |
* | Boyd Gaming Corp. | 251,629 | 1,812 |
CSS Industries Inc. | 78,755 | 1,618 | |
* | Universal Electronics Inc. | 119,566 | 1,575 |
*,^ | Barnes & Noble Inc. | 94,648 | 1,558 |
* | Journal Communications Inc. Class A | 296,065 | 1,528 |
* | Unifi Inc. | 134,432 | 1,523 |
Weyco Group Inc. | 63,761 | 1,478 | |
* | M/I Homes Inc. | 82,957 | 1,437 |
* | Systemax Inc. | 114,660 | 1,355 |
Universal Technical Institute Inc. | 100,253 | 1,354 | |
* | G-III Apparel Group Ltd. | 52,988 | 1,255 |
Lincoln Educational Services Corp. | 190,094 | 1,236 | |
Hot Topic Inc. | 126,816 | 1,229 | |
*,^ | McClatchy Co. Class A | 535,702 | 1,179 |
* | Steinway Musical Instruments Inc. | 46,200 | 1,132 |
* | Beazer Homes USA Inc. | 337,565 | 1,097 |
* | Entercom Communications Corp. Class A | 178,563 | 1,075 |
Big 5 Sporting Goods Corp. | 134,501 | 1,017 | |
* | Kenneth Cole Productions Inc. Class A | 55,230 | 831 |
* | LIN TV Corp. Class A | 269,174 | 813 |
* | Pacific Sunwear of California Inc. | 417,023 | 763 |
* | Talbots Inc. | 280,491 | 707 |
* | Isle of Capri Casinos Inc. | 94,747 | 585 |
* | K-Swiss Inc. Class A | 158,271 | 487 |
Martha Stewart Living Omnimedia Class A | 126,366 | 430 |
47
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Tower International Inc. | 39,508 | 415 |
* | Furniture Brands International Inc. | 286,946 | 356 |
* | Orchard Supply Hardware Stores Corp. Class A | 21,286 | 354 |
* | Coldwater Creek Inc. | 349,358 | 191 |
728,067 | |||
Consumer Staples (2.8%) | |||
Flowers Foods Inc. | 1,093,971 | 25,413 | |
Harris Teeter Supermarkets Inc. | 418,975 | 17,174 | |
Lancaster Colony Corp. | 170,501 | 12,141 | |
B&G Foods Inc. Class A | 432,119 | 11,494 | |
Snyders-Lance Inc. | 424,303 | 10,705 | |
^ | SUPERVALU Inc. | 1,896,332 | 9,823 |
Universal Corp. | 207,708 | 9,623 | |
Fresh Del Monte Produce Inc. | 361,562 | 8,486 | |
* | Post Holdings Inc. | 246,343 | 7,575 |
Vector Group Ltd. | 426,008 | 7,251 | |
* | Spectrum Brands Holdings Inc. | 208,181 | 6,780 |
WD-40 Co. | 135,930 | 6,771 | |
Andersons Inc. | 157,302 | 6,711 | |
Cal-Maine Foods Inc. | 124,470 | 4,867 | |
Weis Markets Inc. | 108,410 | 4,826 | |
* | Pilgrim's Pride Corp. | 579,703 | 4,145 |
Tootsie Roll Industries Inc. | 168,946 | 4,031 | |
Spartan Stores Inc. | 204,028 | 3,699 | |
* | Prestige Brands Holdings Inc. | 225,696 | 3,568 |
^ | Diamond Foods Inc. | 196,691 | 3,509 |
* | Dole Food Co. Inc. | 355,274 | 3,119 |
* | Pantry Inc. | 208,202 | 3,061 |
* | Central Garden and Pet Co. Class A | 275,067 | 2,996 |
* | Alliance One International Inc. | 743,582 | 2,573 |
* | Susser Holdings Corp. | 66,670 | 2,478 |
Nash Finch Co. | 108,753 | 2,336 | |
* | Chiquita Brands International Inc. | 369,387 | 1,847 |
* | Seneca Foods Corp. Class A | 64,316 | 1,730 |
Village Super Market Inc. Class A | 52,076 | 1,697 | |
*,^ | Central European Distribution Corp. | 556,778 | 1,592 |
Ingles Markets Inc. Class A | 91,982 | 1,474 | |
* | Central Garden and Pet Co. | 97,453 | 1,012 |
Coca-Cola Bottling Co. Consolidated | 15,480 | 995 | |
* | Farmer Bros Co. | 64,682 | 515 |
196,017 | |||
Energy (4.0%) | |||
* | SEACOR Holdings Inc. | 177,758 | 15,888 |
* | Helix Energy Solutions Group Inc. | 897,868 | 14,734 |
* | Unit Corp. | 387,850 | 14,308 |
Bristow Group Inc. | 318,767 | 12,964 | |
World Fuel Services Corp. | 317,819 | 12,087 | |
Western Refining Inc. | 527,364 | 11,744 | |
* | Stone Energy Corp. | 414,953 | 10,515 |
* | Key Energy Services Inc. | 1,279,159 | 9,722 |
^ | EXCO Resources Inc. | 1,161,759 | 8,818 |
* | Forest Oil Corp. | 1,047,242 | 7,676 |
Tidewater Inc. | 160,101 | 7,422 | |
Targa Resources Corp. | 172,005 | 7,345 | |
* | Swift Energy Co. | 380,209 | 7,076 |
* | Comstock Resources Inc. | 409,203 | 6,719 |
* | Exterran Holdings Inc. | 517,734 | 6,601 |
Energy XXI Bermuda Ltd. | 206,553 | 6,463 | |
* | Cloud Peak Energy Inc. | 354,486 | 5,994 |
W&T Offshore Inc. | 332,857 | 5,093 | |
* | TETRA Technologies Inc. | 691,866 | 4,933 |
* | Newpark Resources Inc. | 821,503 | 4,847 |
Enbridge Energy Management LLC | 148,259 | 4,740 | |
* | Parker Drilling Co. | 1,047,861 | 4,726 |
48
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Bill Barrett Corp. | 213,090 | 4,564 |
*,^ | Quicksilver Resources Inc. | 839,551 | 4,550 |
* | Energy Partners Ltd. | 266,382 | 4,502 |
* | Pioneer Drilling Co. | 554,028 | 4,416 |
* | Hercules Offshore Inc. | 1,200,510 | 4,250 |
* | Vaalco Energy Inc. | 486,417 | 4,198 |
*,^ | McMoRan Exploration Co. | 328,429 | 4,161 |
* | ION Geophysical Corp. | 554,522 | 3,654 |
*,^ | C&J Energy Services Inc. | 185,157 | 3,425 |
Gulf Island Fabrication Inc. | 115,295 | 3,252 | |
* | PHI Inc. | 111,571 | 3,103 |
* | Endeavour International Corp. | 365,602 | 3,071 |
Penn Virginia Corp. | 409,411 | 3,005 | |
Crosstex Energy Inc. | 206,805 | 2,895 | |
* | Basic Energy Services Inc. | 267,049 | 2,756 |
* | Petroquest Energy Inc. | 500,844 | 2,504 |
* | Harvest Natural Resources Inc. | 292,594 | 2,502 |
* | Cal Dive International Inc. | 851,292 | 2,469 |
^ | RPC Inc. | 206,445 | 2,455 |
^ | Overseas Shipholding Group Inc. | 218,138 | 2,423 |
* | Vantage Drilling Co. | 1,561,794 | 2,343 |
* | Willbros Group Inc. | 347,983 | 2,248 |
* | Lone Pine Resources Inc. | 761,273 | 2,093 |
Delek US Holdings Inc. | 104,230 | 1,833 | |
* | Bonanza Creek Energy Inc. | 106,290 | 1,768 |
* | Dawson Geophysical Co. | 71,120 | 1,694 |
* | Warren Resources Inc. | 609,383 | 1,463 |
* | CVR Energy Inc. | 54,757 | 1,455 |
* | Green Plains Renewable Energy Inc. | 226,147 | 1,411 |
Alon USA Energy Inc. | 148,634 | 1,257 | |
* | Global Geophysical Services Inc. | 183,694 | 1,124 |
* | Triangle Petroleum Corp. | 191,351 | 1,068 |
* | TransAtlantic Petroleum Ltd. | 971,659 | 1,049 |
*,^ | USEC Inc. | 1,024,383 | 1,014 |
*,^ | Hyperdynamics Corp. | 516,129 | 433 |
* | ZaZa Energy Corp. | 78,452 | 355 |
* | Gastar Exploration Ltd. | 180,160 | 348 |
* | Oilsands Quest Inc. | 4,561,359 | 194 |
281,720 | |||
Financials (38.4%) | |||
BRE Properties Inc. | 673,095 | 33,668 | |
East West Bancorp Inc. | 1,328,870 | 31,175 | |
* | American Capital Ltd. | 3,008,352 | 30,294 |
American Campus Communities Inc. | 666,367 | 29,973 | |
Kilroy Realty Corp. | 610,887 | 29,573 | |
Douglas Emmett Inc. | 1,185,303 | 27,381 | |
Home Properties Inc. | 432,239 | 26,522 | |
Allied World Assurance Co. Holdings AG | 329,210 | 26,162 | |
National Retail Properties Inc. | 924,127 | 26,144 | |
BioMed Realty Trust Inc. | 1,378,347 | 25,748 | |
MFA Financial Inc. | 3,190,064 | 25,170 | |
Mid-America Apartment Communities Inc. | 363,396 | 24,798 | |
CBL & Associates Properties Inc. | 1,259,633 | 24,613 | |
Hatteras Financial Corp. | 850,419 | 24,322 | |
First Niagara Financial Group Inc. | 3,146,437 | 24,070 | |
Waddell & Reed Financial Inc. Class A | 764,802 | 23,158 | |
ProAssurance Corp. | 259,618 | 23,129 | |
Mack-Cali Realty Corp. | 784,608 | 22,809 | |
Apartment Investment & Management Co. Class A | 837,577 | 22,640 | |
LaSalle Hotel Properties | 765,869 | 22,317 | |
Hancock Holding Co. | 720,033 | 21,918 | |
Highwoods Properties Inc. | 649,925 | 21,870 | |
Starwood Property Trust Inc. | 1,013,243 | 21,592 | |
Protective Life Corp. | 730,583 | 21,486 |
49
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Value | |||
Shares | ($000) | ||
Omega Healthcare Investors Inc. | 929,202 | 20,907 | |
City National Corp. | 428,365 | 20,810 | |
Associated Banc-Corp | 1,556,049 | 20,524 | |
Two Harbors Investment Corp. | 1,915,700 | 19,847 | |
First Horizon National Corp. | 2,278,250 | 19,707 | |
* | E*TRADE Financial Corp. | 2,427,090 | 19,514 |
Invesco Mortgage Capital Inc. | 1,032,148 | 18,930 | |
Bank of Hawaii Corp. | 410,570 | 18,866 | |
Aspen Insurance Holdings Ltd. | 632,798 | 18,288 | |
Federated Investors Inc. Class B | 835,230 | 18,250 | |
Fulton Financial Corp. | 1,791,612 | 17,898 | |
Capitol Federal Financial Inc. | 1,498,132 | 17,798 | |
Valley National Bancorp | 1,673,555 | 17,740 | |
Entertainment Properties Trust | 417,982 | 17,183 | |
Prosperity Bancshares Inc. | 401,453 | 16,873 | |
Washington REIT | 592,874 | 16,867 | |
CNO Financial Group Inc. | 2,158,802 | 16,839 | |
Healthcare Realty Trust Inc. | 697,377 | 16,625 | |
Colonial Properties Trust | 746,767 | 16,533 | |
Susquehanna Bancshares Inc. | 1,595,693 | 16,436 | |
Washington Federal Inc. | 961,653 | 16,242 | |
FirstMerit Corp. | 977,171 | 16,143 | |
TCF Financial Corp. | 1,374,770 | 15,782 | |
Brandywine Realty Trust | 1,277,124 | 15,760 | |
Hanover Insurance Group Inc. | 402,541 | 15,751 | |
* | Howard Hughes Corp. | 254,252 | 15,672 |
RLJ Lodging Trust | 855,722 | 15,514 | |
DiamondRock Hospitality Co. | 1,498,757 | 15,287 | |
* | Popular Inc. | 917,089 | 15,233 |
First American Financial Corp. | 896,099 | 15,198 | |
Corporate Office Properties Trust | 643,033 | 15,118 | |
* | SVB Financial Group | 253,386 | 14,879 |
UMB Financial Corp. | 289,854 | 14,849 | |
Endurance Specialty Holdings Ltd. | 385,002 | 14,753 | |
Alterra Capital Holdings Ltd. | 631,149 | 14,737 | |
StanCorp Financial Group Inc. | 396,312 | 14,727 | |
CommonWealth REIT | 747,875 | 14,299 | |
Kemper Corp. | 458,328 | 14,094 | |
* | Stifel Financial Corp. | 455,907 | 14,088 |
*,^ | MBIA Inc. | 1,294,486 | 13,993 |
DCT Industrial Trust Inc. | 2,207,179 | 13,905 | |
CYS Investments Inc. | 997,612 | 13,737 | |
FNB Corp. | 1,244,702 | 13,530 | |
Apollo Investment Corp. | 1,760,617 | 13,522 | |
Trustmark Corp. | 544,805 | 13,337 | |
* | Sunstone Hotel Investors Inc. | 1,212,405 | 13,324 |
Synovus Financial Corp. | 6,724,879 | 13,315 | |
EastGroup Properties Inc. | 248,914 | 13,267 | |
Iberiabank Corp. | 262,455 | 13,241 | |
Janus Capital Group Inc. | 1,682,899 | 13,160 | |
Umpqua Holdings Corp. | 999,451 | 13,153 | |
Sovran Self Storage Inc. | 258,832 | 12,965 | |
Glimcher Realty Trust | 1,218,499 | 12,453 | |
^ | Prospect Capital Corp. | 1,088,689 | 12,400 |
Platinum Underwriters Holdings Ltd. | 317,400 | 12,093 | |
CubeSmart | 1,036,016 | 12,090 | |
Westamerica Bancorporation | 250,880 | 11,839 | |
Post Properties Inc. | 237,732 | 11,637 | |
Primerica Inc. | 435,065 | 11,629 | |
Medical Properties Trust Inc. | 1,208,530 | 11,626 | |
RLI Corp. | 170,417 | 11,622 | |
United Bankshares Inc. | 448,577 | 11,609 | |
Cash America International Inc. | 262,225 | 11,548 | |
Potlatch Corp. | 359,148 | 11,471 |
50
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Wintrust Financial Corp. | 321,492 | 11,413 |
Capstead Mortgage Corp. | 806,896 | 11,224 |
National Penn Bancshares Inc. | 1,156,063 | 11,064 |
BancorpSouth Inc. | 759,337 | 11,026 |
Cathay General Bancorp | 667,554 | 11,021 |
ARMOUR Residential REIT Inc. | 1,545,475 | 10,988 |
Equity One Inc. | 512,643 | 10,868 |
National Health Investors Inc. | 210,936 | 10,741 |
^ Lexington Realty Trust | 1,249,478 | 10,583 |
* Knight Capital Group Inc. Class A | 884,751 | 10,564 |
Montpelier Re Holdings Ltd. | 489,071 | 10,412 |
Mercury General Corp. | 245,064 | 10,212 |
Northwest Bancshares Inc. | 871,224 | 10,202 |
Old National Bancorp | 845,637 | 10,156 |
MB Financial Inc. | 463,993 | 9,994 |
Glacier Bancorp Inc. | 642,423 | 9,951 |
Sun Communities Inc. | 224,572 | 9,935 |
LTC Properties Inc. | 271,552 | 9,852 |
International Bancshares Corp. | 480,908 | 9,387 |
Symetra Financial Corp. | 742,330 | 9,368 |
CVB Financial Corp. | 793,534 | 9,245 |
Tanger Factory Outlet Centers | 283,951 | 9,101 |
Community Bank System Inc. | 332,773 | 9,025 |
Acadia Realty Trust | 382,115 | 8,857 |
* PHH Corp. | 504,648 | 8,821 |
Redwood Trust Inc. | 701,848 | 8,759 |
Greenhill & Co. Inc. | 245,444 | 8,750 |
PrivateBancorp Inc. Class A | 582,346 | 8,595 |
* Enstar Group Ltd. | 86,833 | 8,591 |
Selective Insurance Group Inc. | 489,170 | 8,516 |
Anworth Mortgage Asset Corp. | 1,207,603 | 8,514 |
Equity Lifestyle Properties Inc. | 122,690 | 8,462 |
Hersha Hospitality Trust Class A | 1,594,981 | 8,422 |
First Financial Bancorp | 520,731 | 8,321 |
Newcastle Investment Corp. | 1,223,957 | 8,201 |
Argo Group International Holdings Ltd. | 279,621 | 8,185 |
Bank of the Ozarks Inc. | 262,548 | 7,897 |
First Financial Bankshares Inc. | 225,293 | 7,786 |
Astoria Financial Corp. | 792,578 | 7,767 |
First Citizens BancShares Inc. Class A | 46,539 | 7,756 |
^ Park National Corp. | 110,150 | 7,683 |
Government Properties Income Trust | 336,394 | 7,609 |
Provident Financial Services Inc. | 485,808 | 7,457 |
Fifth Street Finance Corp. | 737,180 | 7,357 |
First Midwest Bancorp Inc. | 668,498 | 7,340 |
BankUnited Inc. | 310,850 | 7,330 |
PennyMac Mortgage Investment Trust | 367,975 | 7,260 |
* BBCN Bancorp Inc. | 663,011 | 7,220 |
Amtrust Financial Services Inc. | 241,645 | 7,179 |
Pennsylvania REIT | 473,372 | 7,091 |
Franklin Street Properties Corp. | 667,157 | 7,059 |
American Capital Mortgage Investment Corp. | 294,264 | 7,027 |
Tower Group Inc. | 333,450 | 6,959 |
Solar Capital Ltd. | 311,322 | 6,930 |
Inland Real Estate Corp. | 795,715 | 6,668 |
Columbia Banking System Inc. | 353,648 | 6,656 |
NBT Bancorp Inc. | 297,595 | 6,425 |
BlackRock Kelso Capital Corp. | 657,199 | 6,414 |
Associated Estates Realty Corp. | 428,616 | 6,408 |
PacWest Bancorp | 270,133 | 6,394 |
First Commonwealth Financial Corp. | 939,151 | 6,321 |
CreXus Investment Corp. | 616,520 | 6,270 |
NorthStar Realty Finance Corp. | 1,192,059 | 6,223 |
Horace Mann Educators Corp. | 355,663 | 6,217 |
51
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* Western Alliance Bancorp | 663,565 | 6,211 |
Home BancShares Inc. | 202,478 | 6,192 |
Infinity Property & Casualty Corp. | 105,633 | 6,092 |
* Strategic Hotels & Resorts Inc. | 938,740 | 6,064 |
* First Industrial Realty Trust Inc. | 478,842 | 6,043 |
Interactive Brokers Group Inc. | 407,896 | 6,004 |
Main Street Capital Corp. | 247,937 | 6,000 |
^ Cohen & Steers Inc. | 173,767 | 5,997 |
Investors Real Estate Trust | 752,462 | 5,944 |
Nelnet Inc. Class A | 254,948 | 5,864 |
* Citizens Republic Bancorp Inc. | 340,752 | 5,837 |
* Pinnacle Financial Partners Inc. | 292,339 | 5,704 |
Sabra Health Care REIT Inc. | 330,270 | 5,651 |
Boston Private Financial Holdings Inc. | 628,833 | 5,616 |
Brookline Bancorp Inc. | 628,592 | 5,563 |
Walter Investment Management Corp. | 236,840 | 5,552 |
American Equity Investment Life Holding Co. | 502,893 | 5,537 |
Triangle Capital Corp. | 237,063 | 5,400 |
Retail Opportunity Investments Corp. | 444,589 | 5,362 |
Independent Bank Corp. | 182,913 | 5,343 |
First Potomac Realty Trust | 450,258 | 5,300 |
Chemical Financial Corp. | 246,136 | 5,292 |
Oritani Financial Corp. | 366,659 | 5,276 |
* Sterling Financial Corp. | 278,043 | 5,252 |
American National Insurance Co. | 72,109 | 5,139 |
Ramco-Gershenson Properties Trust | 406,784 | 5,113 |
PennantPark Investment Corp. | 489,368 | 5,065 |
Employers Holdings Inc. | 280,715 | 5,064 |
Webster Financial Corp. | 233,396 | 5,055 |
Colony Financial Inc. | 290,718 | 5,029 |
* Navigators Group Inc. | 99,637 | 4,987 |
Hercules Technology Growth Capital Inc. | 437,033 | 4,956 |
Chesapeake Lodging Trust | 287,592 | 4,952 |
CapitalSource Inc. | 732,315 | 4,921 |
Ashford Hospitality Trust Inc. | 578,794 | 4,879 |
* National Financial Partners Corp. | 360,752 | 4,834 |
WesBanco Inc. | 225,586 | 4,796 |
BGC Partners Inc. Class A | 816,999 | 4,796 |
Dynex Capital Inc. | 460,476 | 4,780 |
S&T Bancorp Inc. | 250,926 | 4,635 |
Getty Realty Corp. | 239,514 | 4,587 |
TrustCo Bank Corp. NY | 836,496 | 4,567 |
Education Realty Trust Inc. | 411,061 | 4,555 |
SCBT Financial Corp. | 127,472 | 4,493 |
Universal Health Realty Income Trust | 107,841 | 4,479 |
City Holding Co. | 132,041 | 4,448 |
Saul Centers Inc. | 103,679 | 4,445 |
Safety Insurance Group Inc. | 108,340 | 4,403 |
ViewPoint Financial Group Inc. | 279,644 | 4,374 |
Berkshire Hills Bancorp Inc. | 197,589 | 4,347 |
* PICO Holdings Inc. | 192,252 | 4,308 |
Cousins Properties Inc. | 546,062 | 4,232 |
Maiden Holdings Ltd. | 483,899 | 4,200 |
* AMERISAFE Inc. | 161,098 | 4,181 |
Apollo Residential Mortgage Inc. | 216,670 | 4,177 |
* World Acceptance Corp. | 62,962 | 4,143 |
United Fire Group Inc. | 193,281 | 4,123 |
* State Bank Financial Corp. | 268,624 | 4,072 |
Oriental Financial Group Inc. | 367,414 | 4,071 |
* Forestar Group Inc. | 316,692 | 4,057 |
Radian Group Inc. | 1,192,198 | 3,922 |
Community Trust Bancorp Inc. | 117,003 | 3,918 |
Sandy Spring Bancorp Inc. | 214,791 | 3,866 |
* Piper Jaffray Cos. | 163,935 | 3,841 |
52
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Meadowbrook Insurance Group Inc. | 434,859 | 3,822 |
Kennedy-Wilson Holdings Inc. | 272,549 | 3,818 |
Resource Capital Corp. | 695,888 | 3,709 |
Lakeland Financial Corp. | 138,090 | 3,705 |
Flushing Financial Corp. | 261,859 | 3,569 |
First Busey Corp. | 737,286 | 3,561 |
Dime Community Bancshares Inc. | 266,079 | 3,536 |
Renasant Corp. | 223,554 | 3,512 |
Campus Crest Communities Inc. | 336,001 | 3,491 |
* DFC Global Corp. | 187,596 | 3,457 |
* St. Joe Co. | 215,766 | 3,411 |
* West Coast Bancorp | 172,696 | 3,394 |
Monmouth Real Estate Investment Corp. Class A | 286,314 | 3,356 |
* Ezcorp Inc. Class A | 140,646 | 3,300 |
Southside Bancshares Inc. | 146,514 | 3,294 |
Flagstone Reinsurance Holdings SA | 407,489 | 3,264 |
Excel Trust Inc. | 271,020 | 3,241 |
Winthrop Realty Trust | 266,207 | 3,237 |
Simmons First National Corp. Class A | 138,592 | 3,222 |
TICC Capital Corp. | 331,646 | 3,217 |
* Investment Technology Group Inc. | 348,490 | 3,206 |
MCG Capital Corp. | 688,922 | 3,169 |
* Wilshire Bancorp Inc. | 574,191 | 3,147 |
TowneBank | 220,471 | 3,087 |
Tompkins Financial Corp. | 81,366 | 3,066 |
Rockville Financial Inc. | 264,115 | 3,056 |
National Western Life Insurance Co. Class A | 21,461 | 3,046 |
Union First Market Bankshares Corp. | 210,511 | 3,042 |
FBL Financial Group Inc. Class A | 108,516 | 3,040 |
Washington Trust Bancorp Inc. | 123,935 | 3,022 |
1st Source Corp. | 130,679 | 2,953 |
* Central Pacific Financial Corp. | 205,526 | 2,902 |
Urstadt Biddle Properties Inc. Class A | 145,185 | 2,870 |
SY Bancorp Inc. | 117,508 | 2,814 |
Capital Southwest Corp. | 26,869 | 2,763 |
Sterling Bancorp | 276,122 | 2,756 |
Evercore Partners Inc. Class A | 116,193 | 2,718 |
Kite Realty Group Trust | 538,620 | 2,688 |
Stewart Information Services Corp. | 172,890 | 2,654 |
MVC Capital Inc. | 203,363 | 2,634 |
* iStar Financial Inc. | 405,322 | 2,614 |
Cedar Realty Trust Inc. | 517,517 | 2,613 |
StellarOne Corp. | 204,127 | 2,548 |
Arrow Financial Corp. | 105,361 | 2,547 |
* Hilltop Holdings Inc. | 246,556 | 2,542 |
Hudson Valley Holding Corp. | 139,860 | 2,531 |
Apollo Commercial Real Estate Finance Inc. | 156,520 | 2,515 |
WSFS Financial Corp. | 62,215 | 2,514 |
Heartland Financial USA Inc. | 103,473 | 2,483 |
* MGIC Investment Corp. | 857,200 | 2,469 |
Provident New York Bancorp | 322,251 | 2,446 |
OneBeacon Insurance Group Ltd. Class A | 187,838 | 2,446 |
* Greenlight Capital Re Ltd. Class A | 94,895 | 2,412 |
* Eagle Bancorp Inc. | 151,830 | 2,391 |
First Financial Corp. | 82,430 | 2,391 |
Golub Capital BDC Inc. | 158,395 | 2,390 |
Camden National Corp. | 65,260 | 2,390 |
* Rouse Properties Inc. | 175,099 | 2,373 |
Univest Corp. of Pennsylvania | 142,095 | 2,349 |
CapLease Inc. | 563,888 | 2,340 |
Great Southern Bancorp Inc. | 84,618 | 2,334 |
GFI Group Inc. | 642,426 | 2,287 |
Lakeland Bancorp Inc. | 216,443 | 2,277 |
Bancfirst Corp. | 54,203 | 2,272 |
53
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Parkway Properties Inc. | 197,051 | 2,254 | |
* | United Community Banks Inc. | 242,774 | 2,081 |
Calamos Asset Management Inc. Class A | 180,367 | 2,065 | |
Northfield Bancorp Inc. | 145,198 | 2,063 | |
Summit Hotel Properties Inc. | 244,407 | 2,046 | |
Republic Bancorp Inc. Class A | 91,932 | 2,046 | |
State Auto Financial Corp. | 144,483 | 2,030 | |
CoBiz Financial Inc. | 319,832 | 2,002 | |
First Community Bancshares Inc. | 136,250 | 1,966 | |
OceanFirst Financial Corp. | 134,143 | 1,926 | |
* | Walker & Dunlop Inc. | 149,452 | 1,920 |
Territorial Bancorp Inc. | 83,991 | 1,913 | |
* | Phoenix Cos. Inc. | 1,032,202 | 1,910 |
First Interstate Bancsystem Inc. | 132,948 | 1,893 | |
Westwood Holdings Group Inc. | 50,499 | 1,882 | |
Trico Bancshares | 121,710 | 1,874 | |
Hudson Pacific Properties Inc. | 107,149 | 1,865 | |
* | NewStar Financial Inc. | 143,621 | 1,861 |
National Interstate Corp. | 69,779 | 1,855 | |
United Financial Bancorp Inc. | 127,318 | 1,831 | |
* | FelCor Lodging Trust Inc. | 371,907 | 1,748 |
Bank Mutual Corp. | 394,550 | 1,740 | |
Presidential Life Corp. | 172,540 | 1,696 | |
* | Flagstar Bancorp Inc. | 2,002,905 | 1,682 |
* | Taylor Capital Group Inc. | 102,035 | 1,672 |
Baldwin & Lyons Inc. | 71,459 | 1,661 | |
* | Cowen Group Inc. Class A | 622,485 | 1,656 |
Westfield Financial Inc. | 222,012 | 1,621 | |
* | Global Indemnity plc | 78,208 | 1,584 |
* | Southwest Bancorp Inc. | 165,971 | 1,562 |
* | GSV Capital Corp. | 165,333 | 1,538 |
Oppenheimer Holdings Inc. Class A | 97,686 | 1,536 | |
Kansas City Life Insurance Co. | 40,700 | 1,432 | |
* | SWS Group Inc. | 263,746 | 1,406 |
THL Credit Inc. | 91,335 | 1,230 | |
First Bancorp | 137,247 | 1,220 | |
*,^ | FNB United Corp. | 93,365 | 1,213 |
* | Suffolk Bancorp | 85,912 | 1,114 |
* | Doral Financial Corp. | 737,087 | 1,106 |
Donegal Group Inc. Class A | 79,491 | 1,056 | |
Cardinal Financial Corp. | 85,828 | 1,054 | |
Artio Global Investors Inc. Class A | 288,036 | 1,008 | |
EMC Insurance Group Inc. | 45,433 | 918 | |
GAMCO Investors Inc. | 19,122 | 849 | |
Urstadt Biddle Properties Inc. | 41,528 | 780 | |
First Connecticut Bancorp Inc. | 55,321 | 747 | |
* | Gleacher & Co. Inc. | 641,181 | 513 |
Crawford & Co. Class A | 128,488 | 496 | |
Crawford & Co. Class B | 109,164 | 447 | |
Pzena Investment Management Inc. Class A | 88,807 | 393 | |
* | Hampton Roads Bankshares Inc. Rights | 95,319 | 146 |
*,^ | Hampton Roads Bankshares Inc. | 107,620 | 117 |
2,705,941 | |||
Health Care (6.1%) | |||
Lincare Holdings Inc. | 772,328 | 26,275 | |
PerkinElmer Inc. | 1,014,095 | 26,164 | |
* | Community Health Systems Inc. | 818,842 | 22,952 |
Teleflex Inc. | 364,503 | 22,202 | |
Medicis Pharmaceutical Corp. Class A | 526,988 | 17,997 | |
* | Health Net Inc. | 740,911 | 17,982 |
* | Health Management Associates Inc. Class A | 2,276,419 | 17,870 |
* | LifePoint Hospitals Inc. | 430,161 | 17,628 |
Owens & Minor Inc. | 568,442 | 17,411 | |
STERIS Corp. | 489,095 | 15,343 |
54
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* Alere Inc. | 681,365 | 13,246 |
* Par Pharmaceutical Cos. Inc. | 326,671 | 11,806 |
Hill-Rom Holdings Inc. | 360,209 | 11,112 |
* Magellan Health Services Inc. | 242,883 | 11,010 |
* Amsurg Corp. Class A | 281,533 | 8,440 |
PDL BioPharma Inc. | 1,249,819 | 8,286 |
Meridian Bioscience Inc. | 369,182 | 7,553 |
* Hanger Inc. | 289,080 | 7,412 |
CONMED Corp. | 250,657 | 6,936 |
Analogic Corp. | 109,482 | 6,788 |
* Alkermes plc | 387,261 | 6,572 |
* MedAssets Inc. | 412,532 | 5,549 |
* ViroPharma Inc. | 220,820 | 5,233 |
* Charles River Laboratories International Inc. | 153,263 | 5,021 |
* Kindred Healthcare Inc. | 467,178 | 4,592 |
Ensign Group Inc. | 151,356 | 4,279 |
* Molina Healthcare Inc. | 173,412 | 4,068 |
Invacare Corp. | 261,499 | 4,035 |
* Select Medical Holdings Corp. | 398,379 | 4,028 |
* Immunogen Inc. | 239,591 | 4,020 |
National Healthcare Corp. | 80,691 | 3,650 |
* MModal Inc. | 275,556 | 3,577 |
* Isis Pharmaceuticals Inc. | 296,732 | 3,561 |
* Dendreon Corp. | 480,074 | 3,552 |
* Amedisys Inc. | 268,525 | 3,343 |
* Universal American Corp. | 314,736 | 3,314 |
* Triple-S Management Corp. Class B | 174,031 | 3,181 |
Landauer Inc. | 54,667 | 3,134 |
* Nektar Therapeutics | 358,546 | 2,893 |
* PharMerica Corp. | 263,615 | 2,879 |
* Symmetry Medical Inc. | 325,132 | 2,790 |
* AngioDynamics Inc. | 226,302 | 2,718 |
Assisted Living Concepts Inc. Class A | 179,380 | 2,551 |
* Vanguard Health Systems Inc. | 275,580 | 2,450 |
* InterMune Inc. | 204,843 | 2,448 |
* Greatbatch Inc. | 104,995 | 2,384 |
* Healthways Inc. | 298,372 | 2,381 |
* Wright Medical Group Inc. | 110,896 | 2,368 |
* Enzon Pharmaceuticals Inc. | 324,437 | 2,229 |
* Idenix Pharmaceuticals Inc. | 215,148 | 2,216 |
* Natus Medical Inc. | 171,218 | 1,990 |
* Sun Healthcare Group Inc. | 224,918 | 1,883 |
* NewLink Genetics Corp. | 120,191 | 1,800 |
* Almost Family Inc. | 75,666 | 1,690 |
* Alnylam Pharmaceuticals Inc. | 143,476 | 1,674 |
* Omnicell Inc. | 104,572 | 1,531 |
* Lexicon Pharmaceuticals Inc. | 668,478 | 1,504 |
* AVANIR Pharmaceuticals Inc. | 376,199 | 1,475 |
* Affymetrix Inc. | 285,545 | 1,339 |
* AMN Healthcare Services Inc. | 224,999 | 1,334 |
* Exactech Inc. | 77,173 | 1,294 |
* LHC Group Inc. | 72,121 | 1,223 |
* Skilled Healthcare Group Inc. | 176,791 | 1,110 |
* Gentiva Health Services Inc. | 159,156 | 1,103 |
* Cross Country Healthcare Inc. | 248,450 | 1,086 |
* Geron Corp. | 581,093 | 999 |
* XenoPort Inc. | 157,570 | 952 |
* Palomar Medical Technologies Inc. | 106,744 | 907 |
* SurModics Inc. | 51,525 | 891 |
* Pain Therapeutics Inc. | 158,171 | 742 |
* Corcept Therapeutics Inc. | 156,691 | 703 |
* BioMimetic Therapeutics Inc. | 92,997 | 245 |
* Metabolix Inc. | 94,919 | 176 |
55
Vanguard® Small-Cap Value Index Fund Schedule of Investments June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 62,138 | 59 |
427,139 | ||
Industrials (14.4%) | ||
Carlisle Cos. Inc. | 552,632 | 29,301 |
* Alaska Air Group Inc. | 633,629 | 22,747 |
* WESCO International Inc. | 388,713 | 22,370 |
Regal-Beloit Corp. | 353,695 | 22,021 |
Alexander & Baldwin Inc. | 374,507 | 19,942 |
* US Airways Group Inc. | 1,450,247 | 19,332 |
Covanta Holding Corp. | 1,095,461 | 18,787 |
Lennox International Inc. | 386,145 | 18,006 |
Trinity Industries Inc. | 717,419 | 17,921 |
* Huntington Ingalls Industries Inc. | 436,650 | 17,571 |
* Terex Corp. | 982,149 | 17,512 |
AO Smith Corp. | 350,884 | 17,155 |
* Esterline Technologies Corp. | 274,110 | 17,091 |
EMCOR Group Inc. | 594,701 | 16,545 |
Ryder System Inc. | 457,715 | 16,482 |
Exelis Inc. | 1,651,191 | 16,281 |
* Oshkosh Corp. | 735,900 | 15,417 |
GATX Corp. | 396,300 | 15,258 |
Crane Co. | 413,542 | 15,045 |
* EnerSys | 426,438 | 14,955 |
Alliant Techsystems Inc. | 294,917 | 14,914 |
Harsco Corp. | 719,385 | 14,661 |
ITT Corp. | 806,562 | 14,195 |
Belden Inc. | 410,651 | 13,695 |
Valmont Industries Inc. | 106,478 | 12,881 |
* Geo Group Inc. | 559,303 | 12,707 |
Brady Corp. Class A | 437,162 | 12,026 |
Kennametal Inc. | 356,225 | 11,809 |
Macquarie Infrastructure Co. LLC | 351,850 | 11,713 |
Curtiss-Wright Corp. | 375,410 | 11,656 |
* General Cable Corp. | 444,537 | 11,531 |
* JetBlue Airways Corp. | 2,142,174 | 11,354 |
Deluxe Corp. | 455,002 | 11,348 |
Mine Safety Appliances Co. | 278,694 | 11,215 |
Mueller Industries Inc. | 256,337 | 10,917 |
* GrafTech International Ltd. | 1,094,026 | 10,557 |
HNI Corp. | 400,916 | 10,324 |
* Atlas Air Worldwide Holdings Inc. | 235,005 | 10,225 |
Brink's Co. | 418,780 | 9,707 |
United Stationers Inc. | 359,216 | 9,681 |
Acuity Brands Inc. | 188,144 | 9,578 |
ABM Industries Inc. | 477,621 | 9,342 |
Werner Enterprises Inc. | 390,630 | 9,332 |
TAL International Group Inc. | 269,993 | 9,042 |
ESCO Technologies Inc. | 238,456 | 8,689 |
Granite Construction Inc. | 328,433 | 8,575 |
Watts Water Technologies Inc. Class A | 251,524 | 8,386 |
Briggs & Stratton Corp. | 444,780 | 7,779 |
Robbins & Myers Inc. | 182,908 | 7,649 |
CLARCOR Inc. | 157,271 | 7,574 |
* Interline Brands Inc. | 282,421 | 7,080 |
* Teledyne Technologies Inc. | 109,947 | 6,778 |
Simpson Manufacturing Co. Inc. | 224,618 | 6,628 |
Aircastle Ltd. | 548,602 | 6,611 |
Universal Forest Products Inc. | 166,341 | 6,484 |
Steelcase Inc. Class A | 713,692 | 6,445 |
* USG Corp. | 330,122 | 6,289 |
Kaydon Corp. | 285,664 | 6,110 |
* Navigant Consulting Inc. | 468,074 | 5,916 |
Watsco Inc. | 79,868 | 5,894 |
Quanex Building Products Corp. | 329,021 | 5,883 |
56
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Generac Holdings Inc. | 241,812 | 5,818 |
McGrath RentCorp | 209,466 | 5,551 | |
Ceradyne Inc. | 205,854 | 5,280 | |
G&K Services Inc. Class A | 167,934 | 5,238 | |
AAR Corp. | 360,984 | 4,866 | |
Mueller Water Products Inc. Class A | 1,401,191 | 4,848 | |
Standex International Corp. | 113,434 | 4,829 | |
CIRCOR International Inc. | 139,235 | 4,747 | |
Albany International Corp. | 239,156 | 4,475 | |
Encore Wire Corp. | 167,041 | 4,473 | |
AZZ Inc. | 72,898 | 4,466 | |
Kaman Corp. | 137,773 | 4,263 | |
* | ICF International Inc. | 176,230 | 4,201 |
Griffon Corp. | 470,393 | 4,036 | |
* | Tutor Perini Corp. | 318,372 | 4,034 |
Apogee Enterprises Inc. | 249,868 | 4,015 | |
* | Greenbrier Cos. Inc. | 226,760 | 3,986 |
* | Interface Inc. Class A | 279,763 | 3,813 |
* | Encore Capital Group Inc. | 128,410 | 3,803 |
Altra Holdings Inc. | 240,175 | 3,790 | |
Cascade Corp. | 78,950 | 3,715 | |
* | Layne Christensen Co. | 176,206 | 3,646 |
* | Dycom Industries Inc. | 194,851 | 3,626 |
* | ACCO Brands Corp. | 350,484 | 3,624 |
Viad Corp. | 179,276 | 3,586 | |
Ennis Inc. | 232,048 | 3,569 | |
Great Lakes Dredge & Dock Corp. | 499,554 | 3,557 | |
John Bean Technologies Corp. | 255,318 | 3,465 | |
NACCO Industries Inc. Class A | 29,530 | 3,433 | |
Comfort Systems USA Inc. | 335,123 | 3,358 | |
Kelly Services Inc. Class A | 254,562 | 3,286 | |
^ | Quad/Graphics Inc. | 219,686 | 3,159 |
Amerco Inc. | 34,992 | 3,148 | |
Marten Transport Ltd. | 146,924 | 3,124 | |
* | Saia Inc. | 142,670 | 3,123 |
* | Korn/Ferry International | 213,804 | 3,068 |
Primoris Services Corp. | 251,309 | 3,016 | |
SkyWest Inc. | 454,652 | 2,969 | |
US Ecology Inc. | 163,958 | 2,909 | |
Douglas Dynamics Inc. | 197,198 | 2,810 | |
* | Hawaiian Holdings Inc. | 431,506 | 2,809 |
* | TrueBlue Inc. | 178,595 | 2,765 |
* | GeoEye Inc. | 178,115 | 2,757 |
Arkansas Best Corp. | 216,457 | 2,727 | |
* | Gibraltar Industries Inc. | 259,694 | 2,696 |
* | Wabash National Corp. | 397,532 | 2,632 |
*,^ | Swisher Hygiene Inc. | 1,013,075 | 2,563 |
* | Air Transport Services Group Inc. | 487,203 | 2,533 |
Heidrick & Struggles International Inc. | 143,897 | 2,518 | |
* | Kadant Inc. | 106,822 | 2,505 |
* | Columbus McKinnon Corp. | 164,954 | 2,489 |
FreightCar America Inc. | 107,087 | 2,460 | |
LB Foster Co. Class A | 85,547 | 2,447 | |
* | Wesco Aircraft Holdings Inc. | 192,110 | 2,446 |
Multi-Color Corp. | 108,711 | 2,418 | |
* | Consolidated Graphics Inc. | 82,534 | 2,398 |
* | Republic Airways Holdings Inc. | 410,943 | 2,281 |
* | CBIZ Inc. | 380,877 | 2,262 |
* | Aegion Corp. Class A | 123,449 | 2,208 |
* | Northwest Pipe Co. | 83,893 | 2,035 |
* | Michael Baker Corp. | 77,022 | 2,009 |
Alamo Group Inc. | 64,037 | 2,009 | |
CDI Corp. | 120,328 | 1,973 | |
Kimball International Inc. Class B | 234,495 | 1,806 |
57
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Ameresco Inc. Class A | 148,026 | 1,766 |
Schawk Inc. Class A | 138,273 | 1,756 | |
SeaCube Container Leasing Ltd. | 99,484 | 1,698 | |
Houston Wire & Cable Co. | 151,413 | 1,655 | |
* | Pike Electric Corp. | 187,523 | 1,448 |
Twin Disc Inc. | 77,177 | 1,427 | |
* | H&E Equipment Services Inc. | 93,973 | 1,412 |
* | Sterling Construction Co. Inc. | 137,697 | 1,407 |
* | CRA International Inc. | 95,354 | 1,401 |
*,^ | A123 Systems Inc. | 1,058,535 | 1,334 |
* | CAI International Inc. | 67,041 | 1,333 |
Ampco-Pittsburgh Corp. | 68,563 | 1,257 | |
* | American Railcar Industries Inc. | 42,461 | 1,151 |
* | TMS International Corp. Class A | 114,523 | 1,142 |
* | Dolan Co. | 168,875 | 1,137 |
* | American Reprographics Co. | 225,885 | 1,136 |
* | Pacer International Inc. | 200,984 | 1,089 |
AAON Inc. | 57,177 | 1,078 | |
* | American Woodmark Corp. | 57,728 | 987 |
* | Cenveo Inc. | 503,292 | 971 |
* | Ducommun Inc. | 88,487 | 868 |
* | Orion Marine Group Inc. | 119,781 | 834 |
* | Metalico Inc. | 377,564 | 831 |
* | Patriot Transportation Holding Inc. | 34,805 | 819 |
* | EnergySolutions Inc. | 466,914 | 789 |
* | Accuride Corp. | 124,287 | 746 |
Vicor Corp. | 92,953 | 645 | |
*,^ | Genco Shipping & Trading Ltd. | 188,732 | 576 |
Baltic Trading Ltd. | 149,305 | 514 | |
* | Tecumseh Products Co. Class A | 92,496 | 467 |
*,^ | Eagle Bulk Shipping Inc. | 138,531 | 438 |
Preformed Line Products Co. | 7,217 | 418 | |
* | Hill International Inc. | 83,377 | 267 |
* | Tecumseh Products Co. Class B | 25,897 | 127 |
1,012,312 | |||
Information Technology (9.9%) | |||
* | AOL Inc. | 847,002 | 23,784 |
Broadridge Financial Solutions Inc. | 1,108,549 | 23,579 | |
* | NCR Corp. | 920,206 | 20,916 |
Diebold Inc. | 556,882 | 20,555 | |
* | Brocade Communications Systems Inc. | 3,897,298 | 19,214 |
Lender Processing Services Inc. | 754,886 | 19,084 | |
* | Tech Data Corp. | 369,226 | 17,786 |
* | Fairchild Semiconductor International Inc. Class A | 1,126,953 | 15,890 |
Convergys Corp. | 1,036,977 | 15,316 | |
* | Itron Inc. | 355,832 | 14,675 |
* | Arris Group Inc. | 1,028,352 | 14,304 |
* | CoreLogic Inc. | 761,520 | 13,943 |
* | PMC - Sierra Inc. | 2,069,830 | 12,709 |
* | Mentor Graphics Corp. | 830,995 | 12,465 |
* | CACI International Inc. Class A | 224,872 | 12,372 |
* | International Rectifier Corp. | 617,027 | 12,334 |
* | Vishay Intertechnology Inc. | 1,294,654 | 12,209 |
Intersil Corp. Class A | 1,131,049 | 12,046 | |
* | Compuware Corp. | 1,269,304 | 11,792 |
Littelfuse Inc. | 206,748 | 11,762 | |
Cypress Semiconductor Corp. | 854,257 | 11,293 | |
j2 Global Inc. | 409,247 | 10,812 | |
* | Entegris Inc. | 1,216,094 | 10,385 |
Tellabs Inc. | 3,098,083 | 10,317 | |
* | Monster Worldwide Inc. | 1,099,753 | 9,348 |
* | Plexus Corp. | 310,985 | 8,770 |
*,^ | First Solar Inc. | 541,663 | 8,157 |
DST Systems Inc. | 148,061 | 8,041 |
58
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* SYNNEX Corp. | 231,808 | 7,995 |
InterDigital Inc. | 262,442 | 7,745 |
* Benchmark Electronics Inc. | 516,264 | 7,202 |
Tessera Technologies Inc. | 464,067 | 7,133 |
EarthLink Inc. | 949,309 | 7,063 |
MKS Instruments Inc. | 235,067 | 6,800 |
* Electronics for Imaging Inc. | 411,337 | 6,684 |
* Insight Enterprises Inc. | 393,413 | 6,621 |
* Web.com Group Inc. | 349,182 | 6,397 |
* Sanmina-SCI Corp. | 729,465 | 5,974 |
* Spansion Inc. Class A | 535,895 | 5,884 |
* ATMI Inc. | 284,081 | 5,844 |
Cognex Corp. | 178,942 | 5,664 |
Brooks Automation Inc. | 593,027 | 5,598 |
* Emulex Corp. | 773,342 | 5,568 |
MTS Systems Corp. | 141,799 | 5,466 |
* Digital River Inc. | 318,798 | 5,298 |
* Kulicke & Soffa Industries Inc. | 593,826 | 5,297 |
* CSG Systems International Inc. | 302,984 | 5,236 |
Comtech Telecommunications Corp. | 182,214 | 5,208 |
* Advanced Energy Industries Inc. | 377,560 | 5,067 |
Mantech International Corp.Class A | 211,178 | 4,956 |
AVX Corp. | 455,834 | 4,873 |
* Integrated Device Technology Inc. | 823,832 | 4,630 |
Park Electrochemical Corp. | 176,697 | 4,573 |
Black Box Corp. | 155,933 | 4,475 |
* MEMC Electronic Materials Inc. | 2,061,361 | 4,473 |
* TTM Technologies Inc. | 474,106 | 4,461 |
* Harmonic Inc. | 1,039,642 | 4,429 |
Booz Allen Hamilton Holding Corp. | 286,931 | 4,384 |
* OmniVision Technologies Inc. | 304,843 | 4,073 |
* Progress Software Corp. | 193,508 | 4,039 |
* Newport Corp. | 335,109 | 4,028 |
* Amkor Technology Inc. | 825,403 | 4,028 |
* Global Cash Access Holdings Inc. | 552,178 | 3,981 |
* Rogers Corp. | 94,011 | 3,724 |
* Acxiom Corp. | 244,013 | 3,687 |
* TeleTech Holdings Inc. | 227,214 | 3,635 |
EPIQ Systems Inc. | 287,634 | 3,524 |
United Online Inc. | 806,519 | 3,403 |
* Brightpoint Inc. | 617,111 | 3,339 |
* Photronics Inc. | 538,112 | 3,282 |
* Infinera Corp. | 478,630 | 3,274 |
Cass Information Systems Inc. | 78,828 | 3,173 |
Electro Scientific Industries Inc. | 258,607 | 3,057 |
* Checkpoint Systems Inc. | 341,492 | 2,974 |
* Net 1 UEPS Technologies Inc. | 343,007 | 2,871 |
* GSI Group Inc. | 238,895 | 2,738 |
* Intermec Inc. | 428,539 | 2,657 |
* CIBER Inc. | 614,978 | 2,651 |
Electro Rent Corp. | 161,060 | 2,614 |
CTS Corp. | 275,585 | 2,596 |
* Rudolph Technologies Inc. | 285,005 | 2,485 |
Badger Meter Inc. | 64,381 | 2,417 |
* Kemet Corp. | 399,934 | 2,404 |
* Take-Two Interactive Software Inc. | 252,537 | 2,389 |
Daktronics Inc. | 337,409 | 2,331 |
* Symmetricom Inc. | 376,132 | 2,253 |
Cohu Inc. | 207,295 | 2,106 |
* Power-One Inc. | 464,395 | 2,099 |
* Avid Technology Inc. | 259,409 | 1,927 |
* Magnachip Semiconductor Corp. | 198,518 | 1,892 |
* FormFactor Inc. | 289,162 | 1,871 |
Methode Electronics Inc. | 213,780 | 1,819 |
59
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | SunPower Corp. Class A | 368,484 | 1,772 |
* | Sycamore Networks Inc. | 117,924 | 1,712 |
* | Aviat Networks Inc. | 552,111 | 1,546 |
* | Silicon Image Inc. | 368,094 | 1,524 |
* | IntraLinks Holdings Inc. | 341,323 | 1,495 |
* | Anaren Inc. | 74,013 | 1,451 |
* | Alpha & Omega Semiconductor Ltd. | 153,550 | 1,405 |
* | Deltek Inc. | 108,901 | 1,262 |
* | Pericom Semiconductor Corp. | 133,717 | 1,203 |
* | Supertex Inc. | 60,227 | 1,135 |
Bel Fuse Inc. Class B | 62,383 | 1,099 | |
* | Vocus Inc. | 58,708 | 1,092 |
* | ModusLink Global Solutions Inc. | 350,623 | 1,048 |
* | Imation Corp. | 176,109 | 1,041 |
*,^ | OCZ Technology Group Inc. | 193,277 | 1,024 |
* | Intevac Inc. | 133,717 | 1,006 |
* | Sigma Designs Inc. | 142,516 | 909 |
* | Aeroflex Holding Corp. | 149,968 | 907 |
* | Mitel Networks Corp. | 189,614 | 838 |
*,^ | KIT Digital Inc. | 188,954 | 811 |
* | Viasystems Group Inc. | 45,114 | 767 |
Marchex Inc. Class B | 207,660 | 750 | |
* | XO Group Inc. | 84,220 | 747 |
* | Novatel Wireless Inc. | 283,492 | 706 |
* | TechTarget Inc. | 136,329 | 687 |
* | STR Holdings Inc. | 143,454 | 654 |
RealNetworks Inc. | 68,997 | 596 | |
* | ANADIGICS Inc. | 302,550 | 548 |
* | TeleCommunication Systems Inc. Class A | 434,345 | 534 |
* | Agilysys Inc. | 47,363 | 411 |
* | TeleNav Inc. | 51,480 | 316 |
* | NCI Inc. Class A | 70,614 | 286 |
Bel Fuse Inc. Class A | 14,975 | 271 | |
695,750 | |||
Materials (6.1%) | |||
RPM International Inc. | 1,173,736 | 31,926 | |
Packaging Corp. of America | 879,618 | 24,840 | |
Cabot Corp. | 563,960 | 22,953 | |
Cytec Industries Inc. | 389,286 | 22,828 | |
Compass Minerals International Inc. | 295,342 | 22,529 | |
Sensient Technologies Corp. | 448,021 | 16,456 | |
Olin Corp. | 715,086 | 14,938 | |
HB Fuller Co. | 441,755 | 13,562 | |
Carpenter Technology Corp. | 258,343 | 12,359 | |
Hecla Mining Co. | 2,548,524 | 12,106 | |
Commercial Metals Co. | 929,433 | 11,748 | |
Innophos Holdings Inc. | 193,181 | 10,907 | |
Minerals Technologies Inc. | 158,469 | 10,107 | |
* | Resolute Forest Products | 867,448 | 10,045 |
Silgan Holdings Inc. | 234,071 | 9,993 | |
Worthington Industries Inc. | 462,094 | 9,459 | |
Westlake Chemical Corp. | 178,577 | 9,332 | |
* | SunCoke Energy Inc. | 626,152 | 9,173 |
Kaiser Aluminum Corp. | 155,094 | 8,040 | |
Eagle Materials Inc. | 190,958 | 7,130 | |
* | Coeur d'Alene Mines Corp. | 401,703 | 7,054 |
* | Louisiana-Pacific Corp. | 613,821 | 6,678 |
AMCOL International Corp. | 227,825 | 6,450 | |
PH Glatfelter Co. | 389,949 | 6,384 | |
* | Kraton Performance Polymers Inc. | 287,309 | 6,295 |
Schnitzer Steel Industries Inc. | 207,535 | 5,815 | |
* | RTI International Metals Inc. | 256,172 | 5,797 |
Boise Inc. | 852,582 | 5,610 | |
^ | AK Steel Holding Corp. | 940,824 | 5,523 |
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Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | OM Group Inc. | 289,440 | 5,499 |
Quaker Chemical Corp. | 115,382 | 5,332 | |
A Schulman Inc. | 263,365 | 5,228 | |
Georgia Gulf Corp. | 199,289 | 5,116 | |
Schweitzer-Mauduit International Inc. | 71,431 | 4,867 | |
Stepan Co. | 50,789 | 4,783 | |
Myers Industries Inc. | 239,272 | 4,106 | |
* | Horsehead Holding Corp. | 389,638 | 3,881 |
Wausau Paper Corp. | 394,331 | 3,837 | |
* | Calgon Carbon Corp. | 252,977 | 3,597 |
Neenah Paper Inc. | 133,865 | 3,573 | |
* | Ferro Corp. | 735,859 | 3,532 |
Buckeye Technologies Inc. | 122,665 | 3,495 | |
Texas Industries Inc. | 89,288 | 3,483 | |
^ | Kronos Worldwide Inc. | 206,550 | 3,261 |
Haynes International Inc. | 55,071 | 2,805 | |
* | Mercer International Inc. | 424,423 | 2,423 |
* | Century Aluminum Co. | 310,315 | 2,275 |
Tredegar Corp. | 130,561 | 1,901 | |
* | Metals USA Holdings Corp. | 116,426 | 1,852 |
* | AM Castle & Co. | 155,145 | 1,648 |
* | Headwaters Inc. | 275,348 | 1,418 |
Olympic Steel Inc. | 83,441 | 1,370 | |
* | Spartech Corp. | 264,033 | 1,365 |
*,^ | Golden Minerals Co. | 272,853 | 1,231 |
427,915 | |||
Telecommunication Services (0.4%) | |||
* | Iridium Communications Inc. | 459,023 | 4,113 |
Consolidated Communications Holdings Inc. | 253,011 | 3,745 | |
* | Premiere Global Services Inc. | 424,407 | 3,561 |
* | Vonage Holdings Corp. | 1,516,100 | 3,047 |
Shenandoah Telecommunications Co. | 202,415 | 2,755 | |
NTELOS Holdings Corp. | 141,841 | 2,674 | |
USA Mobility Inc. | 198,071 | 2,547 | |
* | Leap Wireless International Inc. | 300,619 | 1,933 |
Atlantic Tele-Network Inc. | 53,973 | 1,820 | |
Lumos Networks Corp. | 140,684 | 1,329 | |
IDT Corp. Class B | 131,779 | 1,293 | |
^ | Alaska Communications Systems Group Inc. | 399,722 | 839 |
29,656 | |||
Utilities (7.2%) | |||
Westar Energy Inc. | 1,126,550 | 33,740 | |
Questar Corp. | 1,590,328 | 33,174 | |
Atmos Energy Corp. | 806,348 | 28,279 | |
Great Plains Energy Inc. | 1,217,647 | 26,070 | |
Hawaiian Electric Industries Inc. | 859,287 | 24,507 | |
Cleco Corp. | 544,001 | 22,756 | |
Vectren Corp. | 732,803 | 21,632 | |
Piedmont Natural Gas Co. Inc. | 646,989 | 20,827 | |
IDACORP Inc. | 446,833 | 18,803 | |
WGL Holdings Inc. | 460,634 | 18,310 | |
Southwest Gas Corp. | 412,284 | 17,996 | |
Portland General Electric Co. | 674,168 | 17,973 | |
UIL Holdings Corp. | 451,572 | 16,193 | |
New Jersey Resources Corp. | 371,062 | 16,182 | |
Avista Corp. | 523,060 | 13,966 | |
PNM Resources Inc. | 711,674 | 13,906 | |
South Jersey Industries Inc. | 270,246 | 13,775 | |
UNS Energy Corp. | 339,037 | 13,023 | |
ALLETE Inc. | 301,814 | 12,616 | |
Black Hills Corp. | 372,807 | 11,993 | |
NorthWestern Corp. | 324,328 | 11,903 | |
Northwest Natural Gas Co. | 239,380 | 11,395 | |
El Paso Electric Co. | 340,510 | 11,291 |
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Vanguard® Small-Cap Value Index Fund
Schedule of Investments
June 30, 2012
Market | |||||
Value | |||||
Shares | ($000) | ||||
MGE Energy Inc. | 206,539 | 9,769 | |||
CH Energy Group Inc. | 126,566 | 8,314 | |||
Empire District Electric Co. | 375,535 | 7,924 | |||
* | GenOn Energy Inc. | 4,482,007 | 7,664 | ||
Laclede Group Inc. | 190,904 | 7,600 | |||
Otter Tail Corp. | 290,542 | 6,645 | |||
American States Water Co. | 167,518 | 6,630 | |||
California Water Service Group | 355,172 | 6,560 | |||
Chesapeake Utilities Corp. | 85,776 | 3,750 | |||
Ormat Technologies Inc. | 142,363 | 3,045 | |||
Unitil Corp. | 113,849 | 3,017 | |||
SJW Corp. | 116,519 | 2,798 | |||
Middlesex Water Co. | 140,017 | 2,660 | |||
Connecticut Water Service Inc. | 78,302 | 2,269 | |||
Genie Energy Ltd. Class B | 141,741 | 1,101 | |||
510,056 | |||||
Total Common Stocks (Cost $6,936,760) | 7,014,573 | ||||
Coupon | |||||
Temporary Cash Investments (1.0%)1 | |||||
Money Market Fund (0.9%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.148% | 66,647,594 | 66,648 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
4,5 | Federal Home Loan Bank Discount Notes | 0.120% | 7/27/12 | 1,200 | 1,200 |
4 | Federal Home Loan Bank Discount Notes | 0.125% | 8/10/12 | 1,000 | 1,000 |
5,6 | Freddie Mac Discount Notes | 0.125% | 7/17/12 | 1,000 | 1,000 |
5,6 | Freddie Mac Discount Notes | 0.150% | 8/27/12 | 200 | 200 |
5 | United States Treasury Note/Bond | 1.375% | 9/15/12 | 300 | 300 |
3,700 | |||||
Total Temporary Cash Investments (Cost $70,348) | 70,348 | ||||
Total Investments (100.6%) (Cost $7,007,108) | 7,084,921 | ||||
Other Assets and Liabilities—Net (-0.6%)3 | (44,322) | ||||
Net Assets (100%) | 7,040,599 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $45,707,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.6%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $48,751,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $2,700,000 have been segregated as initial margin for open futures contracts.
6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
REIT—Real Estate Investment Trust.
62
© 2012 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 482 082012
![]() |
Semiannual Report | June 30, 2012 |
Vanguard U.S. Stock Index Funds |
Mid-Capitalization Portfolios |
Vanguard Extended Market Index Fund |
Vanguard Mid-Cap Index Fund |
Vanguard Mid-Cap Growth Index Fund |
Vanguard Mid-Cap Value Index Fund |
> Mid-capitalization stocks rallied through the first three months of 2012, then pulled back in the second. The result was solid six-month returns for the four mid-cap index funds.
> Vanguard Extended Market Index Fund, which includes both small- and mid-cap stocks, led the group with a return of more than 8%. Vanguard Mid-Cap Value Index Fund delivered the lowest six-month result, returning about 6%.
> Financial and health care stocks were notable pockets of strength. Energy stocks were a weak spot.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Extended Market Index Fund. | 9 |
Mid-Cap Index Fund. | 28 |
Mid-Cap Growth Index Fund. | 50 |
Mid-Cap Value Index Fund. | 65 |
About Your Fund’s Expenses. | 81 |
Trustees Approve Advisory Arrangement. | 84 |
Glossary. | 85 |
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_mcx2x1.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.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose
performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we
strive to help clients reach their financial goals.
Your Fund’s Total Returns
Six Months Ended June 30, 2012
Total | |
Returns | |
Vanguard Extended Market Index Fund | |
Investor Shares | 8.72% |
Admiral™ Shares | 8.79 |
Signal® Shares | 8.78 |
Institutional Shares | 8.82 |
Institutional Plus Shares | 8.81 |
ETF Shares | |
Market Price | 8.79 |
Net Asset Value | 8.80 |
S&P Completion Index | 8.80 |
Mid-Cap Core Funds Average | 6.71 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc. |
Vanguard Mid-Cap Index Fund | |
Investor Shares | 7.13% |
Admiral Shares | 7.21 |
Signal Shares | 7.23 |
Institutional Shares | 7.22 |
Institutional Plus Shares | 7.22 |
ETF Shares | |
Market Price | 7.22 |
Net Asset Value | 7.21 |
MSCI US Mid Cap 450 Index | 7.23 |
Mid-Cap Core Funds Average | 6.71 |
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; 7,720,749; 7,925,573; 8,090,646.
1
Your Fund’s Total Returns
Six Months Ended June 30, 2012
Total | |
Returns | |
Vanguard Mid-Cap Growth Index Fund | |
Investor Shares | 8.03% |
Admiral Shares | 8.08 |
ETF Shares | |
Market Price | 8.08 |
Net Asset Value | 8.06 |
MSCI US Mid Cap Growth Index | 8.11 |
Mid-Cap Growth Funds Average | 7.85 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Mid-Cap Value Index Fund | |
Investor Shares | 6.35% |
Admiral Shares | 6.40 |
ETF Shares | |
Market Price | 6.35 |
Net Asset Value | 6.40 |
MSCI US Mid Cap Value Index | 6.43 |
Mid-Cap Value Funds Average | 6.61 |
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; 7,720,749; 7,925,573; 8,090,646.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock
Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about
how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price
and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was
above or below the NAV.
2
Your Fund’s Performance at a Glance
December 31, 2011, Through June 30, 2012
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Extended Market Index Fund | ||||
Investor Shares | $39.34 | $42.76 | $0.009 | $0.000 |
Admiral Shares | 39.35 | 42.80 | 0.010 | 0.000 |
Signal Shares | 33.81 | 36.77 | 0.008 | 0.000 |
Institutional Shares | 39.34 | 42.80 | 0.010 | 0.000 |
Institutional Plus Shares | 97.10 | 105.63 | 0.026 | 0.000 |
ETF Shares | 51.87 | 56.42 | 0.014 | 0.000 |
Vanguard Mid-Cap Index Fund | ||||
Investor Shares | $19.65 | $21.05 | $0.002 | $0.000 |
Admiral Shares | 89.15 | 95.57 | 0.012 | 0.000 |
Signal Shares | 28.13 | 30.16 | 0.005 | 0.000 |
Institutional Shares | 19.69 | 21.11 | 0.002 | 0.000 |
Institutional Plus Shares | 97.12 | 104.12 | 0.012 | 0.000 |
ETF Shares | 71.99 | 77.17 | 0.008 | 0.000 |
Vanguard Mid-Cap Growth Index Fund | ||||
Investor Shares | $23.43 | $25.31 | $0.001 | $0.000 |
Admiral Shares | 25.66 | 27.73 | 0.004 | 0.000 |
ETF Shares | 59.61 | 64.41 | 0.008 | 0.000 |
Vanguard Mid-Cap Value Index Fund | ||||
Investor Shares | $20.34 | $21.63 | $0.002 | $0.000 |
Admiral Shares | 26.77 | 28.48 | 0.003 | 0.000 |
ETF Shares | 51.67 | 54.97 | 0.006 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
Even as global economic uncertainty continued to weigh on the markets, Vanguard’s four mid-capitalization index funds generated solid returns for the six-month period ending June 30. Investor Shares returns ranged from 8.72% for Vanguard Extended Market Index Fund to 6.35% for Vanguard Mid-Cap Value Index Fund. Returns for Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Index Fund fell in the middle of that range.
All four mid-cap funds closely tracked the performance of their respective benchmark indexes. The return of the Mid-Cap Value Index Fund was slightly less than the average return of its peer group. The three other funds posted higher returns than their peer-group averages.
In case you missed our announcement last month, George U. “Gus” Sauter, managing director and chief investment officer of Vanguard, intends to retire at the end of 2012. It’s hard to overstate the contributions Gus has made to Vanguard in his 25-year career. He honed the strategy and built the team that have helped make Vanguard a world-class leader in indexing, and he developed our active quantitative equity strategies.
We’re fortunate that Mortimer J. “Tim” Buckley, also a managing director, will succeed Gus. Tim has been a member of Vanguard’s senior staff since 2001 and has
4
directed Vanguard’s Retail Investor Group since 2006. I’ll have more to say about Gus’s retirement at the end of the year.
U.S. stocks had strong returns, but Europe remained a trouble spot
U.S. stocks were the standout performers for the six months ended June 30, returning about 9%. Domestic equities seemed to benefit from the perception that they offered some shelter from the storms roiling European markets. International stocks didn’t fare as well, returning about 3%. European stocks were the weakest performers. Returns for emerging markets and the developed markets of the Pacific region were restrained by signs of slowing growth.
Throughout the period, investors were preoccupied with Europe’s debt troubles, and global stock markets moved sharply up and down depending on whether the latest news from the region was positive or negative. Vanguard economists expect Europe to remain a trouble spot. The most likely scenario is that it will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Investors’ appetite for Treasuries drove 10-year yield to a new low
Amid the turmoil in Europe, U.S. Treasury securities continued to benefit from a “flight to quality.” Investor demand nudged bond prices higher, and in early June, the yield of the 10-year U.S. Treasury
Market Barometer
Total Returns | |||
Periods Ended June 30, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 9.38% | 4.37% | 0.39% |
Russell 2000 Index (Small-caps) | 8.53 | -2.08 | 0.54 |
Dow Jones U.S. Total Stock Market Index | 9.45 | 3.78 | 0.63 |
MSCI All Country World Index ex USA (International) | 2.77 | -14.57 | -4.62 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 2.37% | 7.47% | 6.79% |
Barclays Municipal Bond Index (Broad tax-exempt | |||
market) | 3.66 | 9.90 | 5.95 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.87 |
CPI | |||
Consumer Price Index | 1.69% | 1.66% | 1.95% |
5
note slipped below 1.5% for the first time. (Bond yields and prices move in opposite directions.) It’s important to understand that low yields do imply lower future returns: As yields tumble, the scope for further declines—and price increases—diminishes.
The broad U.S. taxable bond market posted a return of about 2% for the half-year. Municipal bonds remained a bright spot, delivering a return of more than 3%.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%. That policy has kept a tight lid on the returns from money market funds and savings accounts.
Financial and health care stocks helped to power returns
Mid-cap stocks finished the six-month period a few steps behind large-caps, but the returns of Vanguard’s four mid-cap index funds were nevertheless strong. The financial sector was the biggest contributor to performance for the Extended Market Index Fund, which invests in both small-cap and mid-cap stocks (essentially, all stocks too small to be included in the S&P 500 Index).
Real estate investment trusts (REITs) generated especially robust returns. Because REITs must return 90% of taxable income to shareholders, they tend to pay out high dividends compared with those of conventional operating companies. These payouts have attracted keen interest from
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 | 0.28% | 0.14% | 0.14% | 0.12% | 0.10% | 0.14% | 1.28% |
Mid-Cap Index Fund | 0.24 | 0.10 | 0.10 | 0.08 | 0.06 | 0.10 | 1.28 |
Mid-Cap Growth Index Fund | 0.24 | 0.10 | — | — | — | 0.10 | 1.40 |
Mid-Cap Value Index Fund | 0.24 | 0.10 | — | — | — | 0.10 | 1.31 |
The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, 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, and 0.10% for ETF Shares; for the Mid-Cap 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, and 0.10% for ETF Shares; for the Mid-Cap Growth Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, and 0.10% for ETF Shares; and for the Mid-Cap Value Index Fund, 0.24% for Investor Shares, 0.10% for Admiral 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 2011.
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
investors frustrated by the low yields offered by most fixed income investments.
Financials were also the biggest driver of performance in the Mid-Cap Index Fund and the Mid-Cap Value Index Fund but contributed less to the Mid-Cap Growth Index Fund, which has relatively modest exposure to the sector.
Health care stocks, the best performers in the Extended Market Index Fund, were also important drivers of return. As big pharmaceutical companies grappled with patent expirations and weak pipelines, merger-and-acquisition activity involving the smaller, innovative companies residing in the mid- and small-cap segments of the market accelerated. This drove up prices for many firms viewed as potential takeover candidates. Health care also contributed significantly to returns of the Mid-Cap Index Fund and the Mid-Cap Growth Index Fund. The Mid-Cap Value Index Fund got less of a boost because of its lower weighting in the sector overall and in biotech stocks in particular.
Consumer discretionary stocks also buoyed returns in all four mid-cap funds. The sector has benefited from a slow and at times uneven recovery in consumer spending after the drastic falloff during the recession. Also, many mid-capitalization consumer discretionary companies are heavily focused on the U.S. market, meaning they have minimal exposure to the turmoil in Europe.
The energy sector was a drag on performance, posting negative returns in all four funds. Energy stocks lost ground as natural gas prices remained low and as worries about whether slower growth in markets such as China would dampen demand.
The Mid-Cap Value Index Fund had the lowest gain among the four funds, consistent with the broader market dynamic that favored growth stocks during the six months. In addition to negative returns in energy and telecommunications, the fund registered weak results from its holdings in information technology and materials in comparison with their counterparts in the growth fund.
All four funds produced returns in line with those of their target benchmark indexes, a testament to the portfolio management and risk-control expertise of the funds’ advisor, Vanguard Equity Investment Group. The funds’ low expense ratios were a critical ally in this task.
Good news: Investors are smart, and they’re getting smarter
In recent years, I’ve often written in this space about the challenges facing investors, from the 2008–2009 financial crisis to the more recent volatility caused by Europe’s debt troubles. Bad news inevitably seems to grab attention, and it’s our responsibility to speak to you candidly about these difficulties and to offer Vanguard’s perspective.
I think it’s also our responsibility to point out positive developments that may have been overlooked. On that score, I’ve been especially heartened to see individual investors become more discerning over time, particularly about costs. As I said in
7
a recent address to financial advisors, “Individual investors are smart and getting smarter. And that’s a good thing. Increasingly, they are bringing a healthy consumer mentality to their portfolios. They want to know what they are buying and how much they are paying for it.”
Vanguard research confirms that over the past decade investors have displayed a growing cost-consciousness, directing a larger share of their money to low-cost investments. (You can read the paper Costs Matter: Are Fund Investors Voting With Their Feet? at vanguard.com/ research.) In our view, investors are serving their interests by paying attention to costs. The math is simple: The less they pay for an investment, the more they keep. And because cost savings compound over the long term, keeping costs low can help build greater wealth.
So if you’re feeling buffeted by the latest headlines, it can be constructive to focus on one of the things you can control: your investment costs. We continue to believe that a balanced and diversified portfolio of low-cost holdings can give investors a greater chance of reaching their long-term financial goals. Vanguard’s low-cost mid-cap index funds can play an important role in such a portfolio.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_mcx10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 12, 2012
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 relevant tally of the operating costs incurred by shareholders.
8
Extended Market Index Fund
Fund Profile
As of June 30, 2012
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 | 0.28% | 0.14% | 0.14% | 0.12% | 0.10% | 0.14% |
30-Day SEC Yield | 0.99% | 1.13% | 1.13% | 1.15% | 1.17% | 1.13% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
Completion | Market | ||
Fund | Index | Index | |
Number of Stocks | 3,034 | 3,282 | 3,694 |
Median Market Cap | $2.6B | $2.6B | $33.1B |
Price/Earnings Ratio | 21.7x | 21.7x | 16.1x |
Price/Book Ratio | 1.9x | 1.9x | 2.1x |
Return on Equity | 9.5% | 9.4% | 18.1% |
Earnings Growth Rate | 7.8% | 7.8% | 9.4% |
Dividend Yield | 1.3% | 1.3% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 11% | — | — |
Short-Term Reserves | -0.1% | — | — |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
Completion | Market | |
Index | Index | |
R-Squared | 1.00 | 0.94 |
Beta | 1.00 | 1.19 |
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) | ||
Las Vegas Sands Corp. | Casinos & Gaming | 0.6% |
Liberty Global Inc. | Cable & Satellite | 0.5 |
LyondellBasell Industries | ||
NV Class A | Specialty Chemicals | 0.5 |
General Motors Co. | Automobile | |
Manufacturers | 0.5 | |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 0.4 |
Liberty Media Corp - | ||
Liberty Capital Class A | Broadcasting | 0.4 |
General Growth | ||
Properties Inc. | Retail REITs | 0.4 |
Liberty Interactive Corp. | ||
Class A | Broadcasting | 0.4 |
Delta Air Lines Inc. | Airlines | 0.3 |
Bunge Ltd. | Agricultural | |
Products | 0.3 | |
Top Ten | 4.3% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, 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, and 0.10% for ETF Shares.
9
Extended Market Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. Total | ||
Completion | Market | ||
Fund | Index | Index | |
Consumer Discretionary 15.9% | 15.9% | 11.9% | |
Consumer Staples | 3.6 | 3.6 | 9.8 |
Energy | 5.8 | 5.8 | 10.0 |
Financials | 21.5 | 21.6 | 15.9 |
Health Care | 11.8 | 11.8 | 12.0 |
Industrials | 15.2 | 15.1 | 10.8 |
Information Technology 15.0 | 15.0 | 19.1 | |
Materials | 6.2 | 6.2 | 3.9 |
Telecommunication | |||
Services | 1.1 | 1.1 | 2.9 |
Utilities | 3.9 | 3.9 | 3.7 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_mcx12x1.jpg)
10
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, 2001, Through June 30, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_mcx13x1.jpg)
Extended Market Index Fund Investor Shares |
Spliced Extended Market Index |
Spliced Extended Market Index: Dow Jones Wilshire 4500 Index through June 17, 2005; S&P Transitional Completion Index through September 16, 2005; S&P Completion Index thereafter.
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 12/21/1987 | -2.57% | 1.33% | 8.43% |
Admiral Shares | 11/13/2000 | -2.42 | 1.48 | 8.57 |
Signal Shares | 9/1/2006 | -2.43 | 1.48 | 4.471 |
Institutional Shares | 7/7/1997 | -2.40 | 1.52 | 8.62 |
Institutional Plus Shares | 1/14/2011 | -2.38 | — | 1.151 |
ETF Shares | 12/27/2001 | |||
Market Price | -2.47 | 1.48 | 8.56 | |
Net Asset Value | -2.42 | 1.49 | 8.57 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
11
Extended Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2012
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 | |||
Las Vegas Sands Corp. | 3,222,897 | 140,164 | 0.6% |
* General Motors Co. | 5,111,582 | 100,800 | 0.4% |
* Liberty Media Corp. - Liberty Capital Class A | 999,408 | 87,858 | 0.4% |
* Liberty Interactive Corp. Class A | 4,577,439 | 81,433 | 0.4% |
* Liberty Global Inc. | 1,341,070 | 64,036 | 0.3% |
PetSmart Inc. | 888,410 | 60,572 | 0.3% |
* Charter Communications Inc. Class A | 820,334 | 58,137 | 0.3% |
* Sirius XM Radio Inc. | 31,034,229 | 57,413 | 0.3% |
Tractor Supply Co. | 590,522 | 49,049 | 0.2% |
DISH Network Corp. Class A | 1,624,212 | 46,371 | 0.2% |
PVH Corp. | 577,007 | 44,885 | 0.2% |
Consumer Discretionary—Other † | 2,655,106 | 12.1% | |
3,445,824 | 15.7% | ||
Consumer Staples | |||
Bunge Ltd. | 1,190,851 | 74,714 | 0.4% |
Church & Dwight Co. Inc. | 1,139,221 | 63,193 | 0.3% |
Herbalife Ltd. | 954,912 | 46,151 | 0.2% |
Consumer Staples—Other † | 598,030 | 2.7% | |
782,088 | 3.6% | ||
Energy | |||
* Concho Resources Inc. | 852,635 | 72,576 | 0.3% |
HollyFrontier Corp. | 1,697,084 | 60,128 | 0.3% |
Core Laboratories NV | 387,522 | 44,914 | 0.2% |
Energy—Other † | 1,081,244 | 4.9% | |
1,258,862 | 5.7% | ||
Financials | |||
General Growth Properties Inc. | 4,822,153 | 87,233 | 0.4% |
Digital Realty Trust Inc. | 890,540 | 66,853 | 0.3% |
Macerich Co. | 1,086,752 | 64,173 | 0.3% |
SL Green Realty Corp. | 734,490 | 58,935 | 0.3% |
12
Extended Market Index Fund
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
* CIT Group Inc. | 1,646,004 | 58,664 | 0.3% |
Federal Realty Investment Trust | 521,531 | 54,286 | 0.2% |
UDR Inc. | 2,052,648 | 53,040 | 0.2% |
* Affiliated Managers Group Inc. | 420,737 | 46,050 | 0.2% |
Realty Income Corp. | 1,095,455 | 45,757 | 0.2% |
New York Community Bancorp Inc. | 3,599,127 | 45,097 | 0.2% |
Rayonier Inc. | 999,293 | 44,868 | 0.2% |
Everest Re Group Ltd. | 432,384 | 44,747 | 0.2% |
Camden Property Trust | 657,850 | 44,517 | 0.2% |
Financials—Other † | 3,965,677 | 18.1% | |
4,679,897 | 21.3% | ||
Health Care | |||
* Vertex Pharmaceuticals Inc. | 1,722,440 | 96,319 | 0.4% |
* Regeneron Pharmaceuticals Inc. | 636,562 | 72,708 | 0.3% |
* Henry Schein Inc. | 737,581 | 57,893 | 0.3% |
Health Care—Other † | 2,335,049 | 10.7% | |
2,561,969 | 11.7% | ||
Industrials | |||
* Delta Air Lines Inc. | 6,933,741 | 75,924 | 0.3% |
* United Continental Holdings Inc. | 2,709,963 | 65,933 | 0.3% |
AMETEK Inc. | 1,317,593 | 65,761 | 0.3% |
Kansas City Southern | 901,464 | 62,706 | 0.3% |
* Verisk Analytics Inc. Class A | 1,172,065 | 57,736 | 0.3% |
Industrials—Other † | 3,022,976 | 13.8% | |
3,351,036 | 15.3% | ||
Information Technology | |||
* Equinix Inc. | 394,343 | 69,266 | 0.3% |
Maxim Integrated Products Inc. | 2,397,123 | 61,462 | 0.3% |
* VMware Inc. Class A | 665,182 | 60,558 | 0.3% |
* Alliance Data Systems Corp. | 413,355 | 55,803 | 0.3% |
* ANSYS Inc. | 764,465 | 48,245 | 0.2% |
* Trimble Navigation Ltd. | 1,025,723 | 47,194 | 0.2% |
* Nuance Communications Inc. | 1,974,260 | 47,027 | 0.2% |
Information Technology—Other † | 2,872,860 | 13.1% | |
3,262,415 | 14.9% | ||
Materials | |||
LyondellBasell Industries NV Class A | 2,579,252 | 103,867 | 0.5% |
Ashland Inc. | 643,986 | 44,635 | 0.2% |
Materials—Other † | 1,212,559 | 5.5% | |
1,361,061 | 6.2% | ||
Telecommunication Services | |||
* SBA Communications Corp. Class A | 994,778 | 56,752 | 0.2% |
Telecommunication Services—Other † | 189,548 | 0.9% | |
246,300 | 1.1% | ||
Utilities | |||
* Calpine Corp. | 3,126,377 | 51,617 | 0.2% |
American Water Works Co. Inc. | 1,447,399 | 49,617 | 0.2% |
Utilities—Other † | 755,372 | 3.5% | |
856,606 | 3.9% | ||
Total Common Stocks (Cost $20,325,588) | 21,806,058 | 99.4%1 |
13
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 | 0.148% | 286,770,000 | 286,770 | 1.3% |
4U.S. Government and Agency Obligations † | 8,398 | 0.1% | ||
Total Temporary Cash Investments (Cost $295,168) | 295,168 | 1.4%1 | ||
5Total Investments (Cost $20,620,756) | 22,101,226 | 100.8% | ||
Other Assets and Liabilities | ||||
Other Assets | 309,400 | 1.4% | ||
Liabilities3 | (479,214) | (2.2%) | ||
(169,814) | (0.8%) | |||
Net Assets | 21,931,412 | 100.0% |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 20,663,599 |
Undistributed Net Investment Income | 99,843 |
Accumulated Net Realized Losses | (318,694) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,480,470 |
Futures Contracts | 6,194 |
Net Assets | 21,931,412 |
Investor Shares—Net Assets | |
Applicable to 67,686,146 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,894,418 |
Net Asset Value Per Share—Investor Shares | $42.76 |
Admiral Shares—Net Assets | |
Applicable to 127,395,460 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,452,329 |
Net Asset Value Per Share—Admiral Shares | $42.80 |
Signal Shares—Net Assets | |
Applicable to 54,839,184 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,016,579 |
Net Asset Value Per Share—Signal Shares | $36.77 |
Institutional Shares—Net Assets | |
Applicable to 126,607,632 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,418,249 |
Net Asset Value Per Share—Institutional Shares | $42.80 |
14
Extended Market Index Fund
Amount | |
($000) | |
Institutional Plus Shares—Net Assets | |
Applicable to 45,312,373 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,786,202 |
Net Asset Value Per Share—Institutional Plus Shares | $105.63 |
ETF Shares—Net Assets | |
Applicable to 24,170,349 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,363,635 |
Net Asset Value Per Share—ETF Shares | $56.42 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.8%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $194,841,000 of collateral received for securities on loan.
4 Securities with a value of $8,298,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $181,769,000.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Extended Market Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 122,602 |
Interest1 | 69 |
Security Lending | 13,709 |
Total Income | 136,380 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 667 |
Management and Administrative—Investor Shares | 2,875 |
Management and Administrative—Admiral Shares | 1,913 |
Management and Administrative—Signal Shares | 580 |
Management and Administrative—Institutional Shares | 1,012 |
Management and Administrative—Institutional Plus Shares | 452 |
Management and Administrative—ETF Shares | 370 |
Marketing and Distribution—Investor Shares | 448 |
Marketing and Distribution—Admiral Shares | 469 |
Marketing and Distribution—Signal Shares | 305 |
Marketing and Distribution—Institutional Shares | 967 |
Marketing and Distribution—Institutional Plus Shares | 240 |
Marketing and Distribution—ETF Shares | 202 |
Custodian Fees | 386 |
Shareholders’ Reports—Investor Shares | 90 |
Shareholders’ Reports—Admiral Shares | 47 |
Shareholders’ Reports—Signal Shares | 37 |
Shareholders’ Reports—Institutional Shares | 60 |
Shareholders’ Reports—Institutional Plus Shares | 17 |
Shareholders’ Reports—ETF Shares | 19 |
Trustees’ Fees and Expenses | 10 |
Total Expenses | 11,166 |
Net Investment Income | 125,214 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 642,836 |
Futures Contracts | 5,136 |
Realized Net Gain (Loss) | 647,972 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 798,846 |
Futures Contracts | 5,708 |
Change in Unrealized Appreciation (Depreciation) | 804,554 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,577,740 |
1 Interest income from an affiliated company of the fund was $68,000.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Extended Market Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 125,214 | 194,763 |
Realized Net Gain (Loss) | 647,972 | 1,546,143 |
Change in Unrealized Appreciation (Depreciation) | 804,554 | (2,510,849) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,577,740 | (769,943) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (634) | (27,422) |
Admiral Shares | (1,274) | (56,649) |
Signal Shares | (452) | (20,443) |
Institutional Shares | (1,399) | (65,814) |
Institutional Plus Shares | (562) | (11,696) |
ETF Shares | (307) | (13,071) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (4,628) | (195,095) |
Capital Share Transactions | ||
Investor Shares | (95,566) | (506,395) |
Admiral Shares | (3,808) | 104,983 |
Signal Shares | 50,586 | (154,991) |
Institutional Shares | (941,527) | 425,639 |
Institutional Plus Shares | 3,380,339 | 1,419,261 |
ETF Shares | 116,905 | 106,471 |
Net Increase (Decrease) from Capital Share Transactions | 2,506,929 | 1,394,968 |
Total Increase (Decrease) | 4,080,041 | 429,930 |
Net Assets | ||
Beginning of Period | 17,851,371 | 17,421,441 |
End of Period1 | 21,931,412 | 17,851,371 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $99,843,000 and ($20,743,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
17
Extended Market Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $39.34 | $41.26 | $32.67 | $24.01 | $39.89 | $38.68 |
Investment Operations | ||||||
Net Investment Income | .220 | .385 | .360 | .316 | .392 | .453 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.209 | (1.923) | 8.581 | 8.670 | (15.862) | 1.214 |
Total from Investment Operations | 3.429 | (1.538) | 8.941 | 8.986 | (15.470) | 1.667 |
Distributions | ||||||
Dividends from Net Investment Income | (.009) | (.382) | (.351) | (.326) | (.410) | (.457) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.009) | (.382) | (.351) | (.326) | (.410) | (.457) |
Net Asset Value, End of Period | $42.76 | $39.34 | $41.26 | $32.67 | $24.01 | $39.89 |
Total Return1 | 8.72% | -3.73% | 27.37% | 37.43% | -38.73% | 4.33% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,894 | $2,753 | $3,405 | $4,309 | $3,080 | $5,254 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.26% | 0.30% | 0.25% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.10% | 0.93% | 1.07% | 1.16% | 1.22% | 1.13% |
Portfolio Turnover Rate2 | 11% | 14% | 10% | 17% | 13% | 14% |
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
Extended Market Index Fund
Financial Highlights
Admiral Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $39.35 | $41.28 | $32.67 | $24.01 | $39.90 | $38.70 |
Investment Operations | ||||||
Net Investment Income | .252 | .450 | .399 | .362 | .443 | .510 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.208 | (1.932) | 8.606 | 8.673 | (15.881) | 1.214 |
Total from Investment Operations | 3.460 | (1.482) | 9.005 | 9.035 | (15.438) | 1.724 |
Distributions | ||||||
Dividends from Net Investment Income | (.010) | (.448) | (.395) | (.375) | (.452) | (.524) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.010) | (.448) | (.395) | (.375) | (.452) | (.524) |
Net Asset Value, End of Period | $42.80 | $39.35 | $41.28 | $32.67 | $24.01 | $39.90 |
Total Return1 | 8.79% | -3.59% | 27.57% | 37.65% | -38.63% | 4.48% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,452 | $5,018 | $5,161 | $2,300 | $1,705 | $2,811 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.13% | 0.10% | 0.09% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.24% | 1.07% | 1.21% | 1.33% | 1.37% | 1.28% |
Portfolio Turnover Rate2 | 11% | 14% | 10% | 17% | 13% | 14% |
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.
19
Extended Market Index Fund
Financial Highlights
Signal Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $33.81 | $35.46 | $28.08 | $20.64 | $34.29 | $33.26 |
Investment Operations | ||||||
Net Investment Income | .215 | .384 | .355 | .310 | .381 | .443 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.753 | (1.652) | 7.376 | 7.451 | (13.642) | 1.035 |
Total from Investment Operations | 2.968 | (1.268) | 7.731 | 7.761 | (13.261) | 1.478 |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (.382) | (.351) | (.321) | (.389) | (.448) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.008) | (.382) | (.351) | (.321) | (.389) | (.448) |
Net Asset Value, End of Period | $36.77 | $33.81 | $35.46 | $28.08 | $20.64 | $34.29 |
Total Return | 8.78% | -3.58% | 27.53% | 37.62% | -38.61% | 4.46% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,017 | $1,814 | $2,094 | $1,661 | $1,230 | $2,079 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.13% | 0.10% | 0.09% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.24% | 1.07% | 1.21% | 1.33% | 1.37% | 1.28% |
Portfolio Turnover Rate1 | 11% | 14% | 10% | 17% | 13% | 14% |
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
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $39.34 | $41.27 | $32.68 | $24.02 | $39.91 | $38.71 |
Investment Operations | ||||||
Net Investment Income | .254 | .460 | .429 | .374 | .458 | .523 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.216 | (1.933) | 8.586 | 8.674 | (15.882) | 1.214 |
Total from Investment Operations | 3.470 | (1.473) | 9.015 | 9.048 | (15.424) | 1.737 |
Distributions | ||||||
Dividends from Net Investment Income | (.010) | (.457) | (.425) | (.388) | (.466) | (.537) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.010) | (.457) | (.425) | (.388) | (.466) | (.537) |
Net Asset Value, End of Period | $42.80 | $39.34 | $41.27 | $32.68 | $24.02 | $39.91 |
Total Return | 8.82% | -3.57% | 27.59% | 37.69% | -38.58% | 4.51% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,418 | $5,810 | $5,648 | $3,494 | $2,442 | $3,175 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.06% | 0.06% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.26% | 1.09% | 1.25% | 1.38% | 1.41% | 1.31% |
Portfolio Turnover Rate1 | 11% | 14% | 10% | 17% | 13% | 14% |
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
Extended Market Index Fund
Financial Highlights
Institutional Plus Shares
Six Months | Jan. 14, | |
Ended | 20111 to | |
June 30, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $97.10 | $105.13 |
Investment Operations | ||
Net Investment Income | .646 | 1.139 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.910 | (8.015) |
Total from Investment Operations | 8.556 | (6.876) |
Distributions | ||
Dividends from Net Investment Income | (.026) | (1.154) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.026) | (1.154) |
Net Asset Value, End of Period | $105.63 | $97.10 |
Total Return | 8.81% | -6.54% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $4,786 | $1,307 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06%2 |
Ratio of Net Investment Income to Average Net Assets | 1.28% | 1.11%2 |
Portfolio Turnover Rate3 | 11% | 14% |
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
Extended Market Index Fund
Financial Highlights
ETF Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 20081 | 20071 |
Net Asset Value, Beginning of Period | $51.87 | $54.42 | $43.09 | $31.67 | $52.62 | $51.03 |
Investment Operations | ||||||
Net Investment Income | .333 | .593 | .547 | .476 | .595 | .695 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.231 | (2.553) | 11.324 | 11.438 | (20.935) | 1.592 |
Total from Investment Operations | 4.564 | (1.960) | 11.871 | 11.914 | (20.340) | 2.287 |
Distributions | ||||||
Dividends from Net Investment Income | (.014) | (.590) | (.541) | (.494) | (.610) | (.697) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.014) | (.590) | (.541) | (.494) | (.610) | (.697) |
Net Asset Value, End of Period | $56.42 | $51.87 | $54.42 | $43.09 | $31.67 | $52.62 |
Total Return | 8.80% | -3.61% | 27.55% | 37.63% | -38.60% | 4.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,364 | $1,148 | $1,113 | $781 | $484 | $559 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.13% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.24% | 1.07% | 1.21% | 1.33% | 1.39% | 1.29% |
Portfolio Turnover Rate2 | 11% | 14% | 10% | 17% | 13% | 14% |
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.
23
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. 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, 2008–2011), and for the period ended June 30, 2012, 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
Extended 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, 2012, the fund had contributed capital of $3,220,000 to Vanguard (included in Other Assets), representing 0.01% 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 market value of the fund’s investments as of June 30, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 21,805,261 | 362 | 435 |
Temporary Cash Investments | 286,770 | 8,398 | — |
Futures Contracts—Assets1 | 3,408 | — | — |
Total | 22,095,439 | 8,760 | 435 |
1 Represents variation margin on the last day of the reporting period. |
25
Extended Market Index Fund
D. At June 30, 2012, 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 2012 | 1,115 | 88,687 | 5,331 |
E-mini S&P MidCap 400 Index | September 2012 | 294 | 27,621 | 863 |
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, 2012, the fund realized $315,999,000 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, 2011, the fund had available capital loss carryforwards totaling $648,655,000 to offset future net capital gains of $1,525,000 through December 31, 2016, $622,546,000 through December 31, 2017, and $24,584,000 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, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $20,620,756,000. Net unrealized appreciation of investment securities for tax purposes was $1,480,470,000, consisting of unrealized gains of $4,009,946,000 on securities that had risen in value since their purchase and $2,529,176,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2012, the fund purchased $4,079,312,000 of investment securities and sold $1,485,833,000 of investment securities, other than temporary cash investments.
26
Extended Market Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 282,225 | 6,577 | 666,290 | 15,954 |
Issued in Lieu of Cash Distributions | 625 | 14 | 27,045 | 685 |
Redeemed | (378,416) | (8,890) | (1,199,730) | (29,170) |
Net Increase (Decrease)—Investor Shares | (95,566) | (2,299) | (506,395) | (12,531) |
Admiral Shares | ||||
Issued | 293,893 | 6,811 | 726,259 | 17,497 |
Issued in Lieu of Cash Distributions | 1,145 | 25 | 50,950 | 1,290 |
Redeemed | (298,846) | (6,968) | (672,226) | (16,298) |
Net Increase (Decrease)—Admiral Shares | (3,808) | (132) | 104,983 | 2,489 |
Signal Shares | ||||
Issued | 376,855 | 10,129 | 738,224 | 20,462 |
Issued in Lieu of Cash Distributions | 422 | 11 | 19,165 | 565 |
Redeemed | (326,691) | (8,963) | (912,380) | (26,419) |
Net Increase (Decrease)—Signal Shares | 50,586 | 1,177 | (154,991) | (5,392) |
Institutional Shares | ||||
Issued | 1,129,177 | 26,628 | 2,291,593 | 55,415 |
Issued in Lieu of Cash Distributions | 1,358 | 30 | 63,942 | 1,619 |
Redeemed | (2,072,062) | (47,734) | (1,929,896) | (46,194) |
Net Increase (Decrease)—Institutional Shares | (941,527) | (21,076) | 425,639 | 10,840 |
Institutional Plus Shares1 | ||||
Issued | 3,576,837 | 33,724 | 1,833,861 | 17,764 |
Issued in Lieu of Cash Distributions | 562 | 5 | 11,696 | 120 |
Redeemed | (197,060) | (1,873) | (426,296) | (4,427) |
Net Increase (Decrease)—Institutional Plus Shares | 3,380,339 | 31,856 | 1,419,261 | 13,457 |
ETF Shares | ||||
Issued | 679,624 | 12,035 | 1,025,783 | 18,683 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (562,719) | (10,000) | (919,312) | (17,000) |
Net Increase (Decrease)—ETF Shares | 116,905 | 2,035 | 106,471 | 1,683 |
1 Inception was January 14, 2011, for Institutional Plus Shares. |
H. In preparing the financial statements as of June 30, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
27
Mid-Cap Index Fund
Fund Profile
As of June 30, 2012
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 | 0.24% | 0.10% | 0.10% | 0.08% | 0.06% | 0.10% |
30-Day SEC Yield | 1.32% | 1.46% | 1.46% | 1.48% | 1.50% | 1.46% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Mid Cap | U.S. Total | ||
450 | Market | ||
Fund | Index | Index | |
Number of Stocks | 453 | 451 | 3,694 |
Median Market Cap | $6.3B | $6.3B | $33.1B |
Price/Earnings Ratio | 19.1x | 19.0x | 16.1x |
Price/Book Ratio | 2.1x | 2.1x | 2.1x |
Return on Equity | 13.8% | 13.8% | 18.1% |
Earnings Growth Rate | 8.3% | 8.3% | 9.4% |
Dividend Yield | 1.6% | 1.6% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 15% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | ||
DJ | ||
MSCI US | U.S. Total | |
Mid Cap 450 | Market | |
Index | Index | |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 1.11 |
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) | ||
Ross Stores Inc. | Apparel Retail | 0.6% |
AvalonBay Communities | ||
Inc. | Residential REITs | 0.6 |
Dollar Tree Inc. | General | |
Merchandise Stores | 0.6 | |
CF Industries Holdings | Fertilizers & | |
Inc. | Agricultural | |
Chemicals | 0.6 | |
Liberty Global Inc. | Cable & Satellite | 0.5 |
Health Care REIT Inc. | Specialized REITs | 0.5 |
Teradata Corp. | IT Consulting & | |
Other Services | 0.5 | |
Cerner Corp. | Health Care | |
Technology | 0.5 | |
Edwards Lifesciences | Health Care | |
Corp. | Equipment | 0.5 |
Chipotle Mexican Grill | ||
Inc. Class A | Restaurants | 0.5 |
Top Ten | 5.4% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, 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, and 0.10% for ETF Shares.
28
Mid-Cap Index Fund
Sector Diversification (% of equity exposure) | |||
MSCI US | DJ | ||
Mid Cap | U.S. Total | ||
450 | Market | ||
Fund | Index | Index | |
Consumer Discretionary 18.2% | 18.3% | 11.9% | |
Consumer Staples | 5.1 | 5.0 | 9.8 |
Energy | 7.6 | 7.6 | 10.0 |
Financials | 18.3 | 18.3 | 15.9 |
Health Care | 9.9 | 9.9 | 12.0 |
Industrials | 12.2 | 12.2 | 10.8 |
Information Technology 14.9 | 14.9 | 19.1 | |
Materials | 6.9 | 6.9 | 3.9 |
Telecommunication | |||
Services | 1.1 | 1.1 | 2.9 |
Utilities | 5.8 | 5.8 | 3.7 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_mcx31x1.jpg)
29
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, 2001, Through June 30, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_mcx32x1.jpg)
Mid-Cap Index Fund Investor Shares |
Spliced Mid-Cap Index |
Spliced Mid-Cap Index: S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index thereafter.
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | -2.88% | 0.53% | 7.70% |
Admiral Shares | 11/12/2001 | -2.77 | 0.65 | 7.81 |
Signal Shares | 3/30/2007 | -2.77 | 0.66 | 1.751 |
Institutional Shares | 5/21/1998 | -2.77 | 0.69 | 7.86 |
Institutional Plus Shares | 12/15/2010 | -2.73 | — | 4.771 |
ETF Shares | 1/26/2004 | |||
Market Price | -2.71 | 0.67 | 6.581 | |
Net Asset Value | -2.78 | 0.65 | 6.581 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
30
Mid-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2012
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 (18.1%) | |||
Ross Stores Inc. | 2,918,578 | 182,324 | |
* | Dollar Tree Inc. | 3,038,688 | 163,481 |
* | Chipotle Mexican Grill Inc. | ||
Class A | 398,937 | 151,576 | |
Mattel Inc. | 4,327,300 | 140,378 | |
* | O’Reilly Automotive Inc. | 1,625,217 | 136,144 |
Harley-Davidson Inc. | 2,942,344 | 134,553 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 2,503,284 | 132,774 | |
* | Liberty Interactive Corp. | ||
Class A | 6,968,338 | 123,967 | |
Genuine Parts Co. | 1,987,809 | 119,766 | |
Nordstrom Inc. | 2,120,074 | 105,346 | |
Wyndham | |||
Worldwide Corp. | 1,868,491 | 98,544 | |
PetSmart Inc. | 1,424,442 | 97,118 | |
* | BorgWarner Inc. | 1,393,269 | 91,385 |
* | Sirius XM Radio Inc. | 47,923,964 | 88,659 |
* | Liberty Global Inc. | ||
Class A | 1,760,423 | 87,370 | |
Tiffany & Co. | 1,620,012 | 85,780 | |
Family Dollar Stores Inc. | 1,277,348 | 84,918 | |
Darden Restaurants Inc. | 1,639,596 | 83,013 | |
Virgin Media Inc. | 3,383,565 | 82,525 | |
* | Lululemon Athletica Inc. | 1,282,142 | 76,454 |
Tractor Supply Co. | 914,712 | 75,976 | |
* | CarMax Inc. | 2,892,452 | 75,030 |
* | Liberty Global Inc. | 1,534,372 | 73,266 |
Ulta Salon Cosmetics | |||
& Fragrance Inc. | 762,593 | 71,211 | |
PVH Corp. | 878,111 | 68,308 | |
DR Horton Inc. | 3,639,030 | 66,885 | |
Scripps Networks | |||
Interactive Inc. Class A | 1,175,988 | 66,867 | |
Newell Rubbermaid Inc. | 3,680,178 | 66,758 | |
Advance Auto Parts Inc. | 930,994 | 63,512 | |
Autoliv Inc. | 1,139,946 | 62,309 |
Market | |||
Value• | |||
Shares | ($000) | ||
Interpublic Group of | |||
Cos. Inc. | 5,692,688 | 61,766 | |
Lennar Corp. Class A | 1,945,276 | 60,129 | |
International | |||
Game Technology | 3,796,278 | 59,791 | |
Whirlpool Corp. | 977,547 | 59,787 | |
H&R Block Inc. | 3,737,554 | 59,726 | |
* | LKQ Corp. | 1,785,201 | 59,626 |
Polaris Industries Inc. | 829,861 | 59,318 | |
Expedia Inc. | 1,233,593 | 59,299 | |
Foot Locker Inc. | 1,938,256 | 59,272 | |
Dick’s Sporting Goods Inc. | 1,232,731 | 59,171 | |
* | TripAdvisor Inc. | 1,316,782 | 58,847 |
Garmin Ltd. | 1,490,076 | 57,055 | |
* | Toll Brothers Inc. | 1,913,588 | 56,891 |
* | Sally Beauty Holdings Inc. | 2,063,334 | 53,110 |
* | Apollo Group Inc. Class A | 1,445,975 | 52,330 |
* | MGM Resorts | ||
International | 4,678,509 | 52,212 | |
* | NVR Inc. | 61,323 | 52,125 |
* | Mohawk Industries Inc. | 746,363 | 52,119 |
* | Fossil Inc. | 670,120 | 51,291 |
* | Panera Bread Co. Class A | 361,712 | 50,437 |
Hasbro Inc. | 1,477,332 | 50,037 | |
* | TRW Automotive | ||
Holdings Corp. | 1,342,257 | 49,341 | |
Signet Jewelers Ltd. | 1,108,957 | 48,805 | |
Lear Corp. | 1,281,790 | 48,362 | |
JC Penney Co. Inc. | 2,067,687 | 48,198 | |
* | PulteGroup Inc. | 4,397,039 | 47,048 |
Royal Caribbean | |||
Cruises Ltd. | 1,805,178 | 46,989 | |
* | Under Armour Inc. Class A | 491,133 | 46,402 |
* | Netflix Inc. | 671,747 | 45,995 |
Gannett Co. Inc. | 3,025,500 | 44,566 | |
American Eagle | |||
Outfitters Inc. | 2,226,585 | 43,931 | |
Williams-Sonoma Inc. | 1,182,251 | 41,343 | |
* | Urban Outfitters Inc. | 1,473,088 | 40,643 |
31
Mid-Cap Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Tupperware Brands Corp. | 716,807 | 39,252 | |
Gentex Corp. | 1,839,833 | 38,397 | |
Leggett & Platt Inc. | 1,788,052 | 37,782 | |
Abercrombie & Fitch Co. | 1,093,565 | 37,334 | |
* | Goodyear Tire & | ||
Rubber Co. | 3,122,843 | 36,881 | |
* | Charter | ||
Communications Inc. | |||
Class A | 513,443 | 36,388 | |
Harman International | |||
Industries Inc. | 896,244 | 35,491 | |
Dunkin’ Brands Group Inc. | 998,327 | 34,283 | |
Cablevision Systems Corp. | |||
Class A | 2,530,329 | 33,628 | |
* | Delphi Automotive plc | 1,257,467 | 32,065 |
^ | GameStop Corp. Class A | 1,742,084 | 31,985 |
*,^ | Sears Holdings Corp. | 475,138 | 28,366 |
Guess? Inc. | 888,570 | 26,986 | |
DeVry Inc. | 762,905 | 23,627 | |
Washington Post Co. | |||
Class B | 61,186 | 22,873 | |
* | Lamar Advertising Co. | ||
Class A | 798,221 | 22,829 | |
*,^ | Deckers Outdoor Corp. | 493,983 | 21,740 |
* | Hyatt Hotels Corp. Class A | 581,969 | 21,626 |
*,^ | AutoNation Inc. | 588,009 | 20,745 |
* | Tempur-Pedic | ||
International Inc. | 814,611 | 19,054 | |
Weight Watchers | |||
International Inc. | 353,344 | 18,218 | |
Lennar Corp. Class B | 63,528 | 1,527 | |
5,313,236 | |||
Consumer Staples (5.0%) | |||
* | Monster Beverage Corp. | 1,891,362 | 134,665 |
Dr Pepper Snapple | |||
Group Inc. | 2,706,283 | 118,400 | |
Bunge Ltd. | 1,859,120 | 116,641 | |
Beam Inc. | 1,799,935 | 112,478 | |
JM Smucker Co. | 1,446,606 | 109,248 | |
Coca-Cola Enterprises Inc. | 3,860,213 | 108,240 | |
Church & Dwight Co. Inc. | 1,817,779 | 100,832 | |
McCormick & Co. Inc. | 1,538,783 | 93,327 | |
Tyson Foods Inc. Class A | 3,816,203 | 71,859 | |
Herbalife Ltd. | 1,484,269 | 71,735 | |
* | Energizer Holdings Inc. | 841,569 | 63,328 |
Safeway Inc. | 3,419,878 | 62,071 | |
* | Constellation Brands Inc. | ||
Class A | 2,246,922 | 60,802 | |
Hormel Foods Corp. | 1,853,062 | 56,370 | |
Ingredion Inc. | 973,874 | 48,226 | |
* | Ralcorp Holdings Inc. | 704,471 | 47,016 |
* | Smithfield Foods Inc. | 1,952,585 | 42,235 |
* | Green Mountain Coffee | ||
Roasters Inc. | 1,680,819 | 36,608 | |
Hillshire Brands Co. | 1,074,668 | 31,155 | |
1,485,236 |
Market | |||
Value• | |||
Shares | ($000) | ||
Energy (7.6%) | |||
Pioneer Natural | |||
Resources Co. | 1,494,771 | 131,854 | |
Range Resources Corp. | 2,064,726 | 127,745 | |
* | FMC Technologies Inc. | 3,051,872 | 119,725 |
* | Concho Resources Inc. | 1,257,698 | 107,055 |
Cabot Oil & Gas Corp. | 2,678,495 | 105,533 | |
EQT Corp. | 1,911,166 | 102,496 | |
HollyFrontier Corp. | 2,525,238 | 89,469 | |
CONSOL Energy Inc. | 2,897,882 | 87,632 | |
* | Kinder Morgan | ||
Management LLC | 1,149,683 | 84,410 | |
* | Denbury Resources Inc. | 4,982,054 | 75,279 |
Core Laboratories NV | 607,911 | 70,457 | |
QEP Resources Inc. | 2,265,007 | 67,882 | |
Oceaneering | |||
International Inc. | 1,378,585 | 65,979 | |
Sunoco Inc. | 1,363,061 | 64,745 | |
* | Whiting Petroleum Corp. | 1,498,942 | 61,636 |
Cimarex Energy Co. | 1,093,580 | 60,278 | |
Helmerich & Payne Inc. | 1,370,284 | 59,580 | |
* | Plains Exploration & | ||
Production Co. | 1,635,846 | 57,549 | |
* | Cobalt International | ||
Energy Inc. | 2,342,102 | 55,039 | |
* | Nabors Industries Ltd. | 3,686,138 | 53,080 |
* | Rowan Cos. plc Class A | 1,576,864 | 50,980 |
* | Newfield Exploration Co. | 1,721,469 | 50,456 |
* | Ultra Petroleum Corp. | 1,947,416 | 44,927 |
* | Tesoro Corp. | 1,797,904 | 44,876 |
* | Dresser-Rand Group Inc. | 960,831 | 42,795 |
Energen Corp. | 920,828 | 41,557 | |
* | WPX Energy Inc. | 2,536,362 | 41,038 |
* | Superior Energy | ||
Services Inc. | 2,012,395 | 40,711 | |
SM Energy Co. | 818,707 | 40,207 | |
* | Continental Resources Inc. | 577,465 | 38,471 |
* | McDermott | ||
International Inc. | 3,001,617 | 33,438 | |
* | SandRidge Energy Inc. | 4,687,381 | 31,359 |
Patterson-UTI Energy Inc. | 1,989,783 | 28,971 | |
* | Alpha Natural | ||
Resources Inc. | 2,809,611 | 24,472 | |
Arch Coal Inc. | 2,723,090 | 18,762 | |
* | Laredo Petroleum | ||
Holdings Inc. | 326,331 | 6,788 | |
2,227,231 | |||
Financials (18.3%) | |||
AvalonBay | |||
Communities Inc. | 1,215,407 | 171,956 | |
Health Care REIT Inc. | 2,684,206 | 156,489 | |
Host Hotels & Resorts Inc. | 9,031,973 | 142,886 | |
American Capital | |||
Agency Corp. | 3,828,971 | 128,692 | |
* | IntercontinentalExchange | ||
Inc. | 926,298 | 125,958 |
32
Mid-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Regions Financial Corp. | 18,025,800 | 121,674 | |
Digital Realty Trust Inc. | 1,534,956 | 115,229 | |
Principal Financial | |||
Group Inc. | 3,848,110 | 100,936 | |
SLM Corp. | 6,418,183 | 100,830 | |
Macerich Co. | 1,684,978 | 99,498 | |
Kimco Realty Corp. | 5,194,277 | 98,847 | |
KeyCorp | 12,161,262 | 94,128 | |
Moody’s Corp. | 2,560,845 | 93,599 | |
SL Green Realty Corp. | 1,102,557 | 88,469 | |
* | CIT Group Inc. | 2,434,337 | 86,760 |
UDR Inc. | 3,347,582 | 86,502 | |
XL Group plc Class A | 4,029,541 | 84,782 | |
Federal Realty | |||
Investment Trust | 812,829 | 84,607 | |
NYSE Euronext | 3,297,271 | 84,344 | |
Plum Creek Timber | |||
Co. Inc. | 2,060,389 | 81,797 | |
Lincoln National Corp. | 3,718,924 | 81,333 | |
Willis Group Holdings plc | 2,222,936 | 81,115 | |
Comerica Inc. | 2,522,759 | 77,474 | |
Cincinnati Financial Corp. | 1,968,012 | 74,922 | |
* | Affiliated Managers | ||
Group Inc. | 660,780 | 72,322 | |
Realty Income Corp. | 1,702,731 | 71,123 | |
Everest Re Group Ltd. | 686,003 | 70,995 | |
Unum Group | 3,708,461 | 70,943 | |
Huntington | |||
Bancshares Inc. | 11,030,182 | 70,593 | |
Rayonier Inc. | 1,562,967 | 70,177 | |
New York Community | |||
Bancorp Inc. | 5,580,840 | 69,928 | |
Essex Property Trust Inc. | 444,151 | 68,364 | |
Camden Property Trust | 1,005,980 | 68,075 | |
* | Arch Capital Group Ltd. | 1,714,441 | 68,046 |
* | CBRE Group Inc. Class A | 3,975,576 | 65,040 |
Torchmark Corp. | 1,278,463 | 64,626 | |
PartnerRe Ltd. | 834,821 | 63,171 | |
WR Berkley Corp. | 1,495,459 | 58,203 | |
Alexandria Real Estate | |||
Equities Inc. | 790,546 | 57,489 | |
Taubman Centers Inc. | 741,171 | 57,189 | |
Leucadia National Corp. | 2,652,850 | 56,426 | |
* | Alleghany Corp. | 161,855 | 54,990 |
Liberty Property Trust | 1,487,355 | 54,794 | |
Regency Centers Corp. | 1,147,440 | 54,584 | |
People’s United | |||
Financial Inc. | 4,583,298 | 53,212 | |
* | MSCI Inc. Class A | 1,549,828 | 52,725 |
Arthur J Gallagher & Co. | 1,497,681 | 52,524 | |
* | Markel Corp. | 116,644 | 51,522 |
Raymond James | |||
Financial Inc. | 1,475,991 | 50,538 | |
RenaissanceRe | |||
Holdings Ltd. | 657,118 | 49,948 |
Market | |||
Value | |||
Shares | ($000) | ||
Reinsurance Group of | |||
America Inc. Class A | 936,937 | 49,854 | |
Fidelity National | |||
Financial Inc. Class A | 2,546,359 | 49,043 | |
Axis Capital Holdings Ltd. | 1,502,666 | 48,912 | |
Duke Realty Corp. | 3,307,729 | 48,425 | |
Senior Housing | |||
Properties Trust | 2,076,840 | 46,355 | |
Zions Bancorporation | 2,351,250 | 45,661 | |
Ares Capital Corp. | 2,829,086 | 45,152 | |
Brown & Brown Inc. | 1,555,961 | 42,431 | |
Legg Mason Inc. | 1,605,839 | 42,346 | |
HCC Insurance | |||
Holdings Inc. | 1,328,032 | 41,700 | |
DDR Corp. | 2,829,361 | 41,422 | |
Cullen/Frost Bankers Inc. | 704,327 | 40,492 | |
Eaton Vance Corp. | 1,471,365 | 39,653 | |
Jones Lang LaSalle Inc. | 557,103 | 39,203 | |
* | First Republic Bank | 1,164,127 | 39,115 |
Hospitality | |||
Properties Trust | 1,577,316 | 39,070 | |
Assurant Inc. | 1,117,367 | 38,929 | |
Hudson City Bancorp Inc. | 6,062,913 | 38,621 | |
Weingarten Realty | |||
Investors | 1,466,039 | 38,616 | |
Piedmont Office Realty | |||
Trust Inc. Class A | 2,204,360 | 37,937 | |
NASDAQ OMX Group Inc. | 1,660,578 | 37,645 | |
White Mountains | |||
Insurance Group Ltd. | 71,985 | 37,558 | |
American Financial | |||
Group Inc. | 937,582 | 36,781 | |
Commerce | |||
Bancshares Inc. | 965,658 | 36,598 | |
SEI Investments Co. | 1,803,985 | 35,881 | |
* | Genworth Financial Inc. | ||
Class A | 6,274,693 | 35,515 | |
CBOE Holdings Inc. | 1,133,623 | 31,379 | |
Chimera | |||
Investment Corp. | 13,117,571 | 30,958 | |
Assured Guaranty Ltd. | 2,096,880 | 29,566 | |
Erie Indemnity Co. | |||
Class A | 365,816 | 26,196 | |
Old Republic | |||
International Corp. | 3,101,726 | 25,713 | |
Validus Holdings Ltd. | 772,095 | 24,730 | |
LPL Financial Holdings Inc. | 705,638 | 23,829 | |
Jefferies Group Inc. | 1,709,094 | 22,201 | |
BOK Financial Corp. | 354,914 | 20,656 | |
5,368,517 | |||
Health Care (9.9%) | |||
* | Cerner Corp. | 1,840,481 | 152,134 |
* | Edwards | ||
Lifesciences Corp. | 1,467,719 | 151,615 |
33
Mid-Cap Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Vertex | ||
Pharmaceuticals Inc. | 2,684,912 | 150,140 | |
Perrigo Co. | 1,131,118 | 133,393 | |
AmerisourceBergen Corp. | |||
Class A | 3,290,560 | 129,484 | |
Quest Diagnostics Inc. | 2,021,244 | 121,073 | |
* | Watson | ||
Pharmaceuticals Inc. | 1,623,271 | 120,106 | |
* | DaVita Inc. | 1,195,683 | 117,428 |
* | Mylan Inc. | 5,449,837 | 116,463 |
* | Laboratory Corp. of | ||
America Holdings | 1,240,793 | 114,910 | |
CR Bard Inc. | 1,019,368 | 109,521 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 937,330 | 107,062 | |
* | Life Technologies Corp. | 2,274,776 | 102,342 |
* | Waters Corp. | 1,136,895 | 90,349 |
* | Henry Schein Inc. | 1,146,019 | 89,951 |
* | Varian Medical | ||
Systems Inc. | 1,442,331 | 87,650 | |
* | CareFusion Corp. | 2,868,135 | 73,654 |
* | Hospira Inc. | 2,102,999 | 73,563 |
DENTSPLY | |||
International Inc. | 1,812,533 | 68,532 | |
* | IDEXX Laboratories Inc. | 702,858 | 67,566 |
* | Illumina Inc. | 1,561,618 | 63,074 |
* | Mettler-Toledo | ||
International Inc. | 401,736 | 62,611 | |
* | Hologic Inc. | 3,365,980 | 60,722 |
* | ResMed Inc. | 1,839,842 | 57,403 |
Coventry Health Care Inc. | 1,801,674 | 57,275 | |
* | Amylin | ||
Pharmaceuticals Inc. | 1,949,356 | 55,030 | |
Universal Health | |||
Services Inc. Class B | 1,141,713 | 49,276 | |
* | Gen-Probe Inc. | 577,461 | 47,467 |
* | Endo Health Solutions Inc. | 1,489,255 | 46,137 |
Omnicare Inc. | 1,450,692 | 45,305 | |
* | Warner Chilcott plc | ||
Class A | 2,228,765 | 39,940 | |
Patterson Cos. Inc. | 1,132,128 | 39,024 | |
* | Covance Inc. | 747,170 | 35,752 |
* | Human Genome | ||
Sciences Inc. | 2,542,437 | 33,382 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 2,311,212 | 25,262 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 250,216 | 25,024 | |
2,919,620 | |||
Industrials (12.3%) | |||
WW Grainger Inc. | 760,680 | 145,472 | |
Fastenal Co. | 3,580,398 | 144,326 | |
Cooper Industries plc | 2,023,366 | 137,953 | |
Roper Industries Inc. | 1,236,833 | 121,927 | |
* | Delta Air Lines Inc. | 10,792,997 | 118,183 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | United Continental | ||
Holdings Inc. | 4,237,450 | 103,097 | |
AMETEK Inc. | 2,048,669 | 102,249 | |
* | Stericycle Inc. | 1,081,587 | 99,149 |
Kansas City Southern | 1,403,312 | 97,614 | |
L-3 Communications | |||
Holdings Inc. | 1,263,066 | 93,479 | |
Southwest Airlines Co. | 9,866,182 | 90,966 | |
Textron Inc. | 3,569,720 | 88,779 | |
* | Verisk Analytics Inc. | ||
Class A | 1,788,094 | 88,081 | |
* | TransDigm Group Inc. | 614,368 | 82,510 |
Pall Corp. | 1,473,102 | 80,741 | |
Flowserve Corp. | 695,733 | 79,835 | |
Joy Global Inc. | 1,367,271 | 77,565 | |
* | IHS Inc. Class A | 713,517 | 76,867 |
Equifax Inc. | 1,529,334 | 71,267 | |
JB Hunt Transport | |||
Services Inc. | 1,194,818 | 71,211 | |
* | Quanta Services Inc. | 2,646,904 | 63,711 |
Masco Corp. | 4,592,513 | 63,698 | |
* | Jacobs Engineering | ||
Group Inc. | 1,640,284 | 62,101 | |
Donaldson Co. Inc. | 1,801,426 | 60,114 | |
Xylem Inc. | 2,357,155 | 59,330 | |
* | BE Aerospace Inc. | 1,326,375 | 57,909 |
Cintas Corp. | 1,489,901 | 57,525 | |
* | AGCO Corp. | 1,240,192 | 56,714 |
Iron Mountain Inc. | 1,637,362 | 53,967 | |
Hubbell Inc. Class B | 660,584 | 51,486 | |
Robert Half | |||
International Inc. | 1,724,310 | 49,264 | |
Timken Co. | 1,060,094 | 48,542 | |
Pentair Inc. | 1,258,407 | 48,172 | |
KBR Inc. | 1,890,240 | 46,708 | |
Snap-on Inc. | 743,999 | 46,314 | |
Towers Watson & Co. | |||
Class A | 747,881 | 44,798 | |
Waste Connections Inc. | 1,494,944 | 44,729 | |
* | Hertz Global Holdings Inc. | 3,463,554 | 44,333 |
* | WABCO Holdings Inc. | 824,615 | 43,647 |
Dun & Bradstreet Corp. | 609,429 | 43,373 | |
SPX Corp. | 654,296 | 42,739 | |
* | Nielsen Holdings NV | 1,611,167 | 42,245 |
* | Owens Corning | 1,466,833 | 41,863 |
IDEX Corp. | 1,070,174 | 41,715 | |
MSC Industrial | |||
Direct Co. Inc. Class A | 597,639 | 39,175 | |
^ | Pitney Bowes Inc. | 2,551,161 | 38,191 |
Manpower Inc. | 1,023,389 | 37,507 | |
Avery Dennison Corp. | 1,358,879 | 37,152 | |
* | Spirit Aerosystems | ||
Holdings Inc. Class A | 1,514,047 | 36,080 | |
URS Corp. | 1,016,539 | 35,457 | |
Gardner Denver Inc. | 646,943 | 34,230 | |
* | Copart Inc. | 1,413,156 | 33,478 |
34
Mid-Cap Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Babcock & Wilcox Co. | 1,357,830 | 33,267 |
* | Sensata Technologies | ||
Holding NV | 1,126,618 | 30,171 | |
^ | RR Donnelley & Sons Co. | 2,279,435 | 26,829 |
* | Foster Wheeler AG | 1,375,969 | 23,846 |
* | Navistar International Corp. | 793,902 | 22,523 |
* | AECOM Technology Corp. | 1,345,748 | 22,138 |
3,636,312 | |||
Information Technology (14.9%) | |||
* | Teradata Corp. | 2,135,600 | 153,785 |
* | Red Hat Inc. | 2,465,416 | 139,247 |
* | Fiserv Inc. | 1,769,148 | 127,768 |
Seagate Technology plc | 5,155,173 | 127,487 | |
Amphenol Corp. Class A | 2,084,235 | 114,466 | |
* | SanDisk Corp. | 3,094,221 | 112,877 |
Xilinx Inc. | 3,342,334 | 112,202 | |
* | NVIDIA Corp. | 7,795,017 | 107,727 |
Avago Technologies Ltd. | 2,957,774 | 106,184 | |
KLA-Tencor Corp. | 2,128,423 | 104,825 | |
* | Equinix Inc. | 595,593 | 104,616 |
* | Autodesk Inc. | 2,883,605 | 100,897 |
Fidelity National | |||
Information Services Inc. | 2,956,649 | 100,763 | |
* | F5 Networks Inc. | 1,010,942 | 100,649 |
* | Lam Research Corp. | 2,571,619 | 97,053 |
Maxim Integrated | |||
Products Inc. | 3,723,295 | 95,465 | |
Linear Technology Corp. | 2,923,023 | 91,578 | |
* | Western Digital Corp. | 2,998,924 | 91,407 |
* | BMC Software Inc. | 2,096,375 | 89,473 |
* | VeriSign Inc. | 2,036,351 | 88,724 |
* | Alliance Data | ||
Systems Corp. | 638,829 | 86,242 | |
Microchip Technology Inc. | 2,450,773 | 81,072 | |
* | Micron Technology Inc. | 12,609,620 | 79,567 |
* | ANSYS Inc. | 1,187,812 | 74,963 |
* | Nuance | ||
Communications Inc. | 3,146,307 | 74,945 | |
* | Trimble Navigation Ltd. | 1,592,316 | 73,262 |
* | Akamai Technologies Inc. | 2,268,840 | 72,036 |
* | Skyworks Solutions Inc. | 2,404,310 | 65,806 |
* | TIBCO Software Inc. | 2,126,260 | 63,618 |
Harris Corp. | 1,453,081 | 60,811 | |
* | Rackspace Hosting Inc. | 1,373,872 | 60,368 |
* | Informatica Corp. | 1,370,044 | 58,035 |
* | LinkedIn Corp. Class A | 543,031 | 57,708 |
* | Avnet Inc. | 1,850,856 | 57,117 |
* | Flextronics | ||
International Ltd. | 8,766,919 | 54,355 | |
* | Synopsys Inc. | 1,838,126 | 54,096 |
* | Electronic Arts Inc. | 4,228,728 | 52,225 |
* | MICROS Systems Inc. | 1,019,859 | 52,217 |
* | Gartner Inc. | 1,191,404 | 51,290 |
FactSet Research | |||
Systems Inc. | 546,882 | 50,827 |
Market | |||
Value• | |||
Shares | ($000) | ||
Computer Sciences Corp. | 1,980,170 | 49,148 | |
Total System Services Inc. | 2,050,079 | 49,058 | |
Jabil Circuit Inc. | 2,407,906 | 48,953 | |
* | Arrow Electronics Inc. | 1,427,816 | 46,847 |
* | LSI Corp. | 7,237,229 | 46,101 |
* | VeriFone Systems Inc. | 1,363,343 | 45,113 |
IAC/InterActiveCorp | 963,868 | 43,952 | |
* | Advanced Micro | ||
Devices Inc. | 7,581,185 | 43,440 | |
Global Payments Inc. | 1,000,626 | 43,257 | |
SAIC Inc. | 3,485,543 | 42,245 | |
* | ON Semiconductor Corp. | 5,773,471 | 40,992 |
* | Atmel Corp. | 5,758,192 | 38,580 |
FLIR Systems Inc. | 1,967,059 | 38,358 | |
Solera Holdings Inc. | 894,587 | 37,385 | |
* | Fortinet Inc. | 1,597,317 | 37,090 |
* | Cree Inc. | 1,408,376 | 36,153 |
* | Ingram Micro Inc. | 1,916,655 | 33,484 |
* | Riverbed Technology Inc. | 1,910,894 | 30,861 |
* | Rovi Corp. | 1,402,502 | 27,517 |
* | Dolby Laboratories Inc. | ||
Class A | 656,037 | 27,094 | |
Lexmark International Inc. | |||
Class A | 904,720 | 24,047 | |
* | Polycom Inc. | 2,266,224 | 23,841 |
Molex Inc. | 943,120 | 22,578 | |
Molex Inc. Class A | 834,892 | 16,890 | |
* | Acme Packet Inc. | 735,592 | 13,719 |
*,^ | Zynga Inc. Class A | 1,888,632 | 10,274 |
* | Freescale | ||
Semiconductor Ltd. | 626,068 | 6,417 | |
4,371,147 | |||
Materials (6.9%) | |||
CF Industries Holdings Inc. | 835,515 | 161,873 | |
Sherwin-Williams Co. | 1,129,826 | 149,532 | |
Sigma-Aldrich Corp. | 1,540,681 | 113,903 | |
FMC Corp. | 1,782,944 | 95,352 | |
Cliffs Natural | |||
Resources Inc. | 1,812,816 | 89,354 | |
Eastman Chemical Co. | 1,748,517 | 88,073 | |
Ball Corp. | 1,893,304 | 77,720 | |
Airgas Inc. | 828,614 | 69,612 | |
Ashland Inc. | 999,618 | 69,284 | |
Celanese Corp. Class A | 1,999,835 | 69,234 | |
Albemarle Corp. | 1,135,332 | 67,711 | |
* | Crown Holdings Inc. | 1,899,021 | 65,497 |
Vulcan Materials Co. | 1,649,243 | 65,491 | |
MeadWestvaco Corp. | 2,181,551 | 62,720 | |
Valspar Corp. | 1,131,898 | 59,413 | |
International Flavors | |||
& Fragrances Inc. | 1,032,684 | 56,591 | |
Rock-Tenn Co. Class A | 900,774 | 49,137 | |
Reliance Steel & | |||
Aluminum Co. | 957,535 | 48,355 |
35
Mid-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Martin Marietta | |||
Materials Inc. | 582,640 | 45,924 | |
* | WR Grace & Co. | 896,315 | 45,219 |
Aptargroup Inc. | 844,043 | 43,088 | |
Allegheny | |||
Technologies Inc. | 1,294,376 | 41,278 | |
Bemis Co. Inc. | 1,316,451 | 41,258 | |
United States Steel Corp. | 1,927,282 | 39,702 | |
Sonoco Products Co. | 1,283,916 | 38,710 | |
* | Owens-Illinois Inc. | 1,994,502 | 38,235 |
Domtar Corp. | 469,329 | 36,002 | |
Sealed Air Corp. | 2,329,222 | 35,963 | |
Walter Energy Inc. | 797,463 | 35,216 | |
Huntsman Corp. | 2,581,930 | 33,410 | |
Steel Dynamics Inc. | 2,657,126 | 31,221 | |
Scotts Miracle-Gro Co. | |||
Class A | 543,827 | 22,362 | |
*,^ | Molycorp Inc. | 846,111 | 18,234 |
Greif Inc. Class A | 318,953 | 13,077 | |
Titanium Metals Corp. | 1,118,311 | 12,648 | |
2,030,399 | |||
Telecommunication Services (1.1%) | |||
* | SBA Communications | ||
Corp. Class A | 1,477,288 | 84,279 | |
Windstream Corp. | 7,483,848 | 72,294 | |
^ | Frontier | ||
Communications Corp. | 12,705,718 | 48,663 | |
* | Level 3 | ||
Communications Inc. | 1,861,528 | 41,233 | |
Telephone & Data | |||
Systems Inc. | 1,229,393 | 26,174 | |
* | MetroPCS | ||
Communications Inc. | 3,934,721 | 23,805 | |
* | NII Holdings Inc. | 2,185,431 | 22,357 |
* | United States | ||
Cellular Corp. | 164,089 | 6,337 | |
325,142 | |||
Utilities (5.8%) | |||
DTE Energy Co. | 2,162,499 | 128,301 | |
Wisconsin Energy Corp. | 2,940,896 | 116,371 | |
CenterPoint Energy Inc. | 5,166,849 | 106,799 | |
ONEOK Inc. | 2,519,788 | 106,612 | |
Ameren Corp. | 3,091,705 | 103,696 | |
NiSource Inc. | 3,601,016 | 89,125 | |
CMS Energy Corp. | 3,284,823 | 77,193 | |
American Water | |||
Works Co. Inc. | 2,243,079 | 76,893 | |
SCANA Corp. | 1,579,487 | 75,563 | |
Pinnacle West | |||
Capital Corp. | 1,394,699 | 72,162 | |
* | Calpine Corp. | 3,992,465 | 65,916 |
OGE Energy Corp. | 1,251,491 | 64,815 | |
Alliant Energy Corp. | 1,417,205 | 64,582 | |
AGL Resources Inc. | 1,494,217 | 57,901 |
Market | ||
Value | ||
Shares | ($000) | |
Pepco Holdings Inc. | 2,904,407 | 56,839 |
Integrys Energy Group Inc. | 998,968 | 56,811 |
NV Energy Inc. | 3,011,508 | 52,942 |
* NRG Energy Inc. | 2,907,391 | 50,472 |
MDU Resources | ||
Group Inc. | 2,290,470 | 49,497 |
TECO Energy Inc. | 2,617,830 | 47,278 |
ITC Holdings Corp. | 655,355 | 45,161 |
Aqua America Inc. | 1,773,330 | 44,262 |
National Fuel Gas Co. | 901,746 | 42,364 |
UGI Corp. | 1,431,753 | 42,137 |
1,693,692 | ||
Total Common Stocks | ||
(Cost $26,824,862) | 29,370,532 | |
Temporary Cash Investments (0.3%)1 | ||
Money Market Fund (0.3%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, | ||
0.148% | 86,390,864 | 86,391 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
4 United States | ||
Treasury Note/Bond, | ||
0.375%, 8/31/12 | 10,500 | 10,503 |
Total Temporary Cash Investments | ||
(Cost $96,894) | 96,894 | |
Total Investments (100.2%) | ||
(Cost $26,921,756) | 29,467,426 | |
Other Assets and Liabilities (-0.2%) | ||
Other Assets | 200,773 | |
Liabilities3 | (249,430) | |
(48,657) | ||
Net Assets (100%) | 29,418,769 |
36
Mid-Cap Index Fund
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 28,908,630 |
Undistributed Net Investment Income | 121,822 |
Accumulated Net Realized Losses | (2,158,338) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 2,545,670 |
Futures Contracts | 985 |
Net Assets | 29,418,769 |
Investor Shares—Net Assets | |
Applicable to 189,407,971 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,986,787 |
Net Asset Value Per Share— | |
Investor Shares | $21.05 |
Admiral Shares—Net Assets | |
Applicable to 67,006,907 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 6,403,576 |
Net Asset Value Per Share— | |
Admiral Shares | $95.57 |
Signal Shares—Net Assets | |
Applicable to 143,235,532 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,319,548 |
Net Asset Value Per Share— | |
Signal Shares | $30.16 |
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 300,426,384 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 6,342,204 |
Net Asset Value Per Share— | |
Institutional Shares | $21.11 |
Institutional Plus Shares—Net Assets | |
Applicable to 46,064,317 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,796,400 |
Net Asset Value Per Share— | |
Institutional Plus Shares | $104.12 |
ETF Shares—Net Assets | |
Applicable to 46,265,887 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,570,254 |
Net Asset Value Per Share— | |
ETF Shares | $77.17 |
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 $64,376,000.
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 $65,924,000 of collateral received for securities on loan.
4 Securities with a value of $2,001,000 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.
37
Mid-Cap Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 164,892 |
Interest1 | 45 |
Security Lending | 3,815 |
Total Income | 168,752 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 944 |
Management and Administrative—Investor Shares | 4,084 |
Management and Administrative—Admiral Shares | 2,321 |
Management and Administrative—Signal Shares | 1,250 |
Management and Administrative—Institutional Shares | 1,216 |
Management and Administrative—Institutional Plus Shares | 670 |
Management and Administrative—ETF Shares | 1,079 |
Marketing and Distribution—Investor Shares | 694 |
Marketing and Distribution—Admiral Shares | 566 |
Marketing and Distribution—Signal Shares | 617 |
Marketing and Distribution—Institutional Shares | 985 |
Marketing and Distribution—Institutional Plus Shares | 381 |
Marketing and Distribution—ETF Shares | 495 |
Custodian Fees | 248 |
Shareholders’ Reports—Investor Shares | 147 |
Shareholders’ Reports—Admiral Shares | 72 |
Shareholders’ Reports—Signal Shares | 37 |
Shareholders’ Reports—Institutional Shares | 69 |
Shareholders’ Reports—Institutional Plus Shares | 22 |
Shareholders’ Reports—ETF Shares | 67 |
Trustees’ Fees and Expenses | 13 |
Total Expenses | 15,977 |
Net Investment Income | 152,775 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 523,624 |
Futures Contracts | 1,360 |
Realized Net Gain (Loss) | 524,984 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,136,178 |
Futures Contracts | 819 |
Change in Unrealized Appreciation (Depreciation) | 1,136,997 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,814,756 |
1 Interest income from an affiliated company of the fund was $41,000.
See accompanying Notes, which are an integral part of the Financial Statements.
38
Mid-Cap Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 152,775 | 345,806 |
Realized Net Gain (Loss) | 524,984 | 2,825,967 |
Change in Unrealized Appreciation (Depreciation) | 1,136,997 | (3,704,480) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,814,756 | (532,707) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (404) | (49,002) |
Admiral Shares | (810) | (80,364) |
Signal Shares | (683) | (48,089) |
Institutional Shares | (609) | (76,730) |
Institutional Plus Shares | (421) | (48,066) |
ETF Shares | (371) | (43,959) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (3,298) | (346,210) |
Capital Share Transactions | ||
Investor Shares | (478,823) | (1,341,194) |
Admiral Shares | (13,726) | 155,984 |
Signal Shares | 479,823 | 918,741 |
Institutional Shares | 357,245 | (2,014,198) |
Institutional Plus Shares | 1,170,307 | 3,119,928 |
ETF Shares | 101,132 | (28,623) |
Net Increase (Decrease) from Capital Share Transactions | 1,615,958 | 810,638 |
Total Increase (Decrease) | 3,427,416 | (68,279) |
Net Assets | ||
Beginning of Period | 25,991,353 | 26,059,632 |
End of Period1 | 29,418,769 | 25,991,353 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $121,822,000 and ($27,655,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
39
Mid-Cap Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $19.65 | $20.31 | $16.36 | $11.80 | $20.70 | $19.78 |
Investment Operations | ||||||
Net Investment Income | .095 | .233 | .214 | .171 | .224 | .269 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.307 | (.661) | 3.951 | 4.571 | (8.894) | .918 |
Total from Investment Operations | 1.402 | (.428) | 4.165 | 4.742 | (8.670) | 1.187 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.232) | (.215) | (.182) | (.230) | (.267) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.232) | (.215) | (.182) | (.230) | (.267) |
Net Asset Value, End of Period | $21.05 | $19.65 | $20.31 | $16.36 | $11.80 | $20.70 |
Total Return1 | 7.13% | -2.11% | 25.46% | 40.22% | -41.82% | 6.02% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,987 | $4,168 | $5,602 | $6,789 | $4,652 | $8,075 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.26% | 0.27% | 0.22% | 0.21% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.95% | 1.15% | 1.25% | 1.32% | 1.36% | 1.30% |
Portfolio Turnover Rate2 | 15% | 22% | 16% | 21% | 24% | 19% |
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.
40
Mid-Cap Index Fund
Financial Highlights
Admiral Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $89.15 | $92.17 | $74.23 | $53.49 | $93.93 | $89.73 |
Investment Operations | ||||||
Net Investment Income | .505 | 1.212 | 1.049 | .855 | 1.099 | 1.327 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.927 | (3.023) | 17.946 | 20.782 | (40.405) | 4.188 |
Total from Investment Operations | 6.432 | (1.811) | 18.995 | 21.637 | (39.306) | 5.515 |
Distributions | ||||||
Dividends from Net Investment Income | (.012) | (1.209) | (1.055) | (.897) | (1.134) | (1.315) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.012) | (1.209) | (1.055) | (.897) | (1.134) | (1.315) |
Net Asset Value, End of Period | $95.57 | $89.15 | $92.17 | $74.23 | $53.49 | $93.93 |
Total Return1 | 7.21% | -1.97% | 25.59% | 40.48% | -41.78% | 6.17% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,404 | $5,989 | $6,036 | $2,184 | $1,601 | $2,975 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.09% | 1.29% | 1.39% | 1.45% | 1.47% | 1.41% |
Portfolio Turnover Rate2 | 15% | 22% | 16% | 21% | 24% | 19% |
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.
41
Mid-Cap Index Fund
Financial Highlights
Signal Shares
Six Months | March 30, | |||||
Ended | 20071 to | |||||
Year Ended December 31, | ||||||
For a Share Outstanding | June 30, | Dec. 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $28.13 | $29.09 | $23.43 | $16.89 | $29.66 | $29.63 |
Investment Operations | ||||||
Net Investment Income | .160 | .382 | .341 | .271 | .349 | .300 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.875 | (.961) | 5.662 | 6.552 | (12.759) | .138 |
Total from Investment Operations | 2.035 | (.579) | 6.003 | 6.823 | (12.410) | .438 |
Distributions | ||||||
Dividends from Net Investment Income | (.005) | (.381) | (.343) | (.283) | (.360) | (.408) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.005) | (.381) | (.343) | (.283) | (.360) | (.408) |
Net Asset Value, End of Period | $30.16 | $28.13 | $29.09 | $23.43 | $16.89 | $29.66 |
Total Return | 7.23% | -1.99% | 25.62% | 40.43% | -41.78% | 1.50% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,320 | $3,589 | $2,831 | $2,346 | $1,609 | $2,458 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% | 0.10%2 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.09% | 1.29% | 1.39% | 1.45% | 1.47% | 1.41%2 |
Portfolio Turnover Rate3 | 15% | 22% | 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.
42
Mid-Cap Index Fund
Financial Highlights
Institutional Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $19.69 | $20.36 | $16.40 | $11.82 | $20.76 | $19.83 |
Investment Operations | ||||||
Net Investment Income | .114 | .271 | .247 | .197 | .250 | .300 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.308 | (.669) | 3.962 | 4.588 | (8.933) | .928 |
Total from Investment Operations | 1.422 | (.398) | 4.209 | 4.785 | (8.683) | 1.228 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.272) | (.249) | (.205) | (.257) | (.298) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.272) | (.249) | (.205) | (.257) | (.298) |
Net Asset Value, End of Period | $21.11 | $19.69 | $20.36 | $16.40 | $11.82 | $20.76 |
Total Return | 7.22% | -1.96% | 25.67% | 40.51% | -41.76% | 6.22% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,342 | $5,611 | $7,795 | $5,960 | $3,820 | $6,162 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.11% | 1.31% | 1.43% | 1.51% | 1.51% | 1.44% |
Portfolio Turnover Rate1 | 15% | 22% | 16% | 21% | 24% | 19% |
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
Mid-Cap Index Fund
Financial Highlights
Institutional Plus Shares
Six Months | Year | Dec. 15, | ||
Ended | Ended | 20101 to | ||
June 30, | Dec. 31, | Dec. 31, | ||
For a Share Outstanding Throughout Each Period | 2012 | 2011 | 2010 | |
Net Asset Value, Beginning of Period | $97.12 | $100.40 | $99.45 | |
Investment Operations | ||||
Net Investment Income | ` | .573 | 1.358 | .0792 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.439 | (3.280) | 2.078 | |
Total from Investment Operations | 7.012 | (1.922) | 2.157 | |
Distributions | ||||
Dividends from Net Investment Income | (.012) | (1.358) | (1.207) | |
Distributions from Realized Capital Gains | — | — | — | |
Total Distributions | (.012) | (1.358) | (1.207) | |
Net Asset Value, End of Period | $104.12 | $97.12 | $100.40 | |
Total Return | 7.22% | -1.91% | 2.17% | |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $4,796 | $3,393 | $440 | |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06%3 | |
Ratio of Net Investment Income to Average Net Assets | 1.13% | 1.33% | 1.45%3 | |
Portfolio Turnover Rate4 | 15% | 22% | 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.
44
Mid-Cap Index Fund
Financial Highlights
ETF Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $71.99 | $74.42 | $59.97 | $43.21 | $75.90 | $72.48 |
Investment Operations | ||||||
Net Investment Income | .409 | .976 | .882 | .696 | .895 | 1.042 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.779 | (2.430) | 14.454 | 16.794 | (32.656) | 3.403 |
Total from Investment Operations | 5.188 | (1.454) | 15.336 | 17.490 | (31.761) | 4.445 |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (.976) | (.886) | (.730) | (.929) | (1.025) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.008) | (.976) | (.886) | (.730) | (.929) | (1.025) |
Net Asset Value, End of Period | $77.17 | $71.99 | $74.42 | $59.97 | $43.21 | $75.90 |
Total Return | 7.21% | -1.96% | 25.57% | 40.49% | -41.79% | 6.14% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,570 | $3,241 | $3,356 | $2,207 | $1,113 | $1,087 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.12% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.09% | 1.29% | 1.39% | 1.45% | 1.46% | 1.38% |
Portfolio Turnover Rate1 | 15% | 22% | 16% | 21% | 24% | 19% |
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.
45
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, 2008–2011), and for the period ended June 30, 2012, 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
46
Mid-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, 2012, the fund had contributed capital of $4,318,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.73% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 29,370,532 | — | — |
Temporary Cash Investments | 86,391 | 10,503 | — |
Futures Contracts—Assets1 | 898 | — | — |
Total | 29,457,821 | 10,503 | — |
1 Represents variation margin on the last day of the reporting period. |
47
Mid-Cap Index Fund
D. At June 30, 2012, 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 2012 | 335 | 31,473 | 985 |
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, 2012, the fund realized $421,199,000 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, 2011, the fund had available capital loss carryforwards totaling $2,258,323,000 to offset future net capital gains of $1,696,225,000 through December 31, 2017, and $562,098,000 through December 31, 2018. The fund will use these capital losses to offset net taxable gains, if any, realized during the year ending December 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $26,921,756,000. Net unrealized appreciation of investment securities for tax purposes was $2,545,670,000, consisting of unrealized gains of $5,419,538,000 on securities that had risen in value since their purchase and $2,873,868,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2012, the fund purchased $4,903,313,000 of investment securities and sold $3,116,980,000 of investment securities, other than temporary cash investments.
48
Mid-Cap Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 429,589 | 20,032 | 1,146,320 | 55,156 |
Issued in Lieu of Cash Distributions | 382 | 17 | 46,815 | 2,381 |
Redeemed | (908,794) | (42,766) | (2,534,329) | (121,277) |
Net Increase (Decrease)—Investor Shares | (478,823) | (22,717) | (1,341,194) | (63,740) |
Admiral Shares | ||||
Issued | 386,246 | 3,969 | 990,434 | 10,647 |
Issued in Lieu of Cash Distributions | 728 | 7 | 72,441 | 812 |
Redeemed | (400,700) | (4,144) | (906,891) | (9,768) |
Net Increase (Decrease)—Admiral Shares | (13,726) | (168) | 155,984 | 1,691 |
Signal Shares | ||||
Issued | 981,474 | 32,080 | 2,021,498 | 67,642 |
Issued in Lieu of Cash Distributions | 591 | 18 | 41,582 | 1,477 |
Redeemed | (502,242) | (16,420) | (1,144,339) | (38,895) |
Net Increase (Decrease)—Signal Shares | 479,823 | 15,678 | 918,741 | 30,224 |
Institutional Shares | ||||
Issued | 1,157,658 | 54,020 | 2,201,275 | 106,208 |
Issued in Lieu of Cash Distributions | 574 | 26 | 72,105 | 3,658 |
Redeemed | (800,987) | (38,582) | (4,287,578) | (207,796) |
Net Increase (Decrease)—Institutional Shares | 357,245 | 15,464 | (2,014,198) | (97,930) |
Institutional Plus Shares | ||||
Issued | 1,471,642 | 13,996 | 3,748,008 | 36,958 |
Issued in Lieu of Cash Distributions | 421 | 4 | 48,066 | 495 |
Redeemed | (301,756) | (2,876) | (676,146) | (6,892) |
Net Increase (Decrease)—Institutional Plus Shares | 1,170,307 | 11,124 | 3,119,928 | 30,561 |
ETF Shares | ||||
Issued | 1,080,764 | 13,945 | 2,791,801 | 36,623 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (979,632) | (12,700) | (2,820,424) | (36,700) |
Net Increase (Decrease)—ETF Shares | 101,132 | 1,245 | (28,623) | (77) |
H. In preparing the financial statements as of June 30, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
49
Mid-Cap Growth Index Fund
Fund Profile
As of June 30, 2012
Share-Class Characteristics | |||
Investor | Admiral | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VMGIX | VMGMX | VOT |
Expense Ratio1 | 0.24% | 0.10% | 0.10% |
30-Day SEC Yield | 0.33% | 0.47% | 0.47% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Mid Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 240 | 239 | 3,694 |
Median Market Cap | $7.0B | $7.0B | $33.1B |
Price/Earnings Ratio | 23.5x | 23.5x | 16.1x |
Price/Book Ratio | 3.4x | 3.4x | 2.1x |
Return on Equity | 17.1% | 17.1% | 18.1% |
Earnings Growth Rate | 13.6% | 13.7% | 9.4% |
Dividend Yield | 0.6% | 0.6% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 32% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | ||
DJ | ||
MSCI US | U.S. Total | |
Mid Cap | Market | |
Growth Index | Index | |
R-Squared | 1.00 | 0.93 |
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) | ||
Ross Stores Inc. | Apparel Retail | 1.3% |
Dollar Tree Inc. | General | |
Merchandise Stores | 1.1 | |
Liberty Global Inc. | Cable & Satellite | 1.1 |
Teradata Corp. | IT Consulting & | |
Other Services | 1.1 | |
Cerner Corp. | Health Care | |
Technology | 1.1 | |
Chipotle Mexican Grill | ||
Inc. Class A | Restaurants | 1.0 |
Edwards Lifesciences | Health Care | |
Corp. | Equipment | 1.0 |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 1.0 |
Sherwin-Williams Co. | Specialty Chemicals | 1.0 |
WW Grainger Inc. | Trading Companies | |
& Distributors | 1.0 | |
Top Ten | 10.7% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the annualized expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, and 0.10% for ETF Shares.
50
Mid-Cap Growth Index Fund
Sector Diversification (% of equity exposure) | |||
MSCI US | DJ | ||
Mid Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Consumer Discretionary 24.1% | 24.1% | 11.9% | |
Consumer Staples | 3.3 | 3.1 | 9.8 |
Energy | 11.0 | 11.1 | 10.0 |
Financials | 6.3 | 6.4 | 15.9 |
Health Care | 15.0 | 15.0 | 12.0 |
Industrials | 13.0 | 13.0 | 10.8 |
Information Technology 20.0 | 20.0 | 19.1 | |
Materials | 5.7 | 5.7 | 3.9 |
Telecommunication | |||
Services | 1.0 | 1.0 | 2.9 |
Utilities | 0.6 | 0.6 | 3.7 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_mcx53x1.jpg)
51
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, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_mcx54x1.jpg)
Mid-Cap Growth Index Fund Investor Shares |
MSCI US Mid Cap Growth Index |
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 8/24/2006 | -4.85% | 0.76% | 4.52% |
Admiral Shares | 9/27/2011 | — | — | 11.38 |
ETF Shares | 8/17/2006 | |||
Market Price | -4.81 | 0.90 | 4.39 | |
Net Asset Value | -4.75 | 0.90 | 4.39 |
See Financial Highlights for dividend and capital gains information.
52
Mid-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2012
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 (23.8%) | |||
Ross Stores Inc. | 498,480 | 31,140 | |
* | Dollar Tree Inc. | 518,910 | 27,917 |
* | Chipotle Mexican Grill Inc. | ||
Class A | 68,155 | 25,896 | |
* | O’Reilly Automotive Inc. | 277,543 | 23,250 |
Harley-Davidson Inc. | 502,518 | 22,980 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 427,483 | 22,674 | |
PetSmart Inc. | 243,359 | 16,592 | |
* | BorgWarner Inc. | 237,912 | 15,605 |
* | Sirius XM Radio Inc. | 8,187,197 | 15,146 |
* | Liberty Global Inc. Class A | 300,775 | 14,927 |
Tiffany & Co. | 276,712 | 14,652 | |
Family Dollar Stores Inc. | 218,196 | 14,506 | |
* | Lululemon Athletica Inc. | 218,947 | 13,056 |
Tractor Supply Co. | 156,146 | 12,970 | |
* | CarMax Inc. | 493,991 | 12,814 |
* | Liberty Global Inc. | 262,134 | 12,517 |
Ulta Salon Cosmetics | |||
& Fragrance Inc. | 130,158 | 12,154 | |
PVH Corp. | 149,974 | 11,666 | |
Scripps Networks | |||
Interactive Inc. Class A | 200,801 | 11,418 | |
Advance Auto Parts Inc. | 158,891 | 10,840 | |
Lennar Corp. Class A | 343,204 | 10,608 | |
* | LKQ Corp. | 304,934 | 10,185 |
Polaris Industries Inc. | 141,731 | 10,131 | |
Dick’s Sporting Goods Inc. | 210,603 | 10,109 | |
* | TripAdvisor Inc. | 224,901 | 10,051 |
Virgin Media Inc. | 375,531 | 9,159 | |
* | Sally Beauty Holdings Inc. | 352,514 | 9,074 |
* | Apollo Group Inc. Class A | 247,016 | 8,940 |
* | MGM Resorts International | 799,290 | 8,920 |
* | Fossil Inc. | 114,425 | 8,758 |
* | Panera Bread Co. Class A | 61,779 | 8,614 |
Signet Jewelers Ltd. | 189,412 | 8,336 | |
* | PulteGroup Inc. | 751,601 | 8,042 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Under Armour Inc. Class A | 83,997 | 7,936 |
* | Netflix Inc. | 114,705 | 7,854 |
* | Liberty Interactive Corp. | ||
Class A | 416,522 | 7,410 | |
* | Urban Outfitters Inc. | 251,484 | 6,938 |
Tupperware Brands Corp. | 122,346 | 6,700 | |
Gentex Corp. | 314,037 | 6,554 | |
Abercrombie & Fitch Co. | 186,621 | 6,371 | |
* | Goodyear Tire & Rubber Co. | 533,121 | 6,296 |
* | Charter | ||
Communications Inc. | |||
Class A | 87,632 | 6,210 | |
Dunkin’ Brands Group Inc. | 170,423 | 5,852 | |
Cablevision Systems Corp. | |||
Class A | 432,888 | 5,753 | |
Interpublic Group | |||
of Cos. Inc. | 487,321 | 5,287 | |
* | Toll Brothers Inc. | 163,720 | 4,867 |
* | Sears Holdings Corp. | 81,190 | 4,847 |
* | NVR Inc. | 5,241 | 4,455 |
* | Deckers Outdoor Corp. | 84,483 | 3,718 |
International | |||
Game Technology | 227,464 | 3,583 | |
* | Delphi Automotive plc | 139,805 | 3,565 |
* | AutoNation Inc. | 100,730 | 3,554 |
Garmin Ltd. | 89,279 | 3,419 | |
* | Tempur-Pedic | ||
International Inc. | 139,411 | 3,261 | |
Weight Watchers | |||
International Inc. | 60,428 | 3,116 | |
* | Lamar Advertising Co. | ||
Class A | 88,640 | 2,535 | |
Williams-Sonoma Inc. | 70,641 | 2,470 | |
* | Hyatt Hotels Corp. Class A | 34,803 | 1,293 |
587,491 | |||
Consumer Staples (3.3%) | |||
* | Monster Beverage Corp. | 322,944 | 22,994 |
Herbalife Ltd. | 253,428 | 12,248 | |
* | Energizer Holdings Inc. | 143,716 | 10,815 |
53
Mid-Cap Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Beam Inc. | 153,708 | 9,605 | |
Church & Dwight Co. Inc. | 155,178 | 8,608 | |
* | Green Mountain Coffee | ||
Roasters Inc. | 286,952 | 6,250 | |
Hillshire Brands Co. | 119,621 | 3,468 | |
Hormel Foods Corp. | 111,027 | 3,377 | |
Ingredion Inc. | 58,224 | 2,883 | |
80,248 | |||
Energy (11.0%) | |||
Pioneer Natural | |||
Resources Co. | 255,247 | 22,515 | |
Range Resources Corp. | 352,623 | 21,817 | |
* | FMC Technologies Inc. | 521,196 | 20,447 |
* | Concho Resources Inc. | 214,760 | 18,280 |
EQT Corp. | 326,335 | 17,501 | |
CONSOL Energy Inc. | 495,045 | 14,970 | |
* | Denbury Resources Inc. | 850,847 | 12,856 |
Core Laboratories NV | 103,774 | 12,027 | |
Cabot Oil & Gas Corp. | 297,266 | 11,712 | |
QEP Resources Inc. | 386,959 | 11,597 | |
Oceaneering | |||
International Inc. | 235,454 | 11,269 | |
* | Whiting Petroleum Corp. | 256,099 | 10,531 |
Helmerich & Payne Inc. | 234,066 | 10,177 | |
* | Cobalt International | ||
Energy Inc. | 400,129 | 9,403 | |
* | Ultra Petroleum Corp. | 332,448 | 7,670 |
* | Dresser-Rand Group Inc. | 164,313 | 7,319 |
* | Kinder Morgan | ||
Management LLC | 98,380 | 7,223 | |
* | WPX Energy Inc. | 432,985 | 7,006 |
SM Energy Co. | 139,687 | 6,860 | |
* | Continental Resources Inc. | 98,757 | 6,579 |
* | Plains Exploration | ||
& Production Co. | 181,664 | 6,391 | |
* | SandRidge Energy Inc. | 802,050 | 5,366 |
HollyFrontier Corp. | 151,245 | 5,359 | |
Sunoco Inc. | 81,613 | 3,877 | |
* | Superior Energy | ||
Services Inc. | 120,343 | 2,435 | |
* | Laredo Petroleum | ||
Holdings Inc. | 56,222 | 1,169 | |
272,356 | |||
Financials (6.3%) | |||
* | IntercontinentalExchange | ||
Inc. | 158,193 | 21,511 | |
Host Hotels | |||
& Resorts Inc. | 1,002,653 | 15,862 | |
* | Affiliated Managers | ||
Group Inc. | 112,784 | 12,344 | |
* | Arch Capital Group Ltd. | 292,919 | 11,626 |
* | CBRE Group Inc. Class A | 679,243 | 11,112 |
Taubman Centers Inc. | 126,538 | 9,764 | |
* | MSCI Inc. Class A | 264,783 | 9,008 |
Brown & Brown Inc. | 265,565 | 7,242 |
Market | |||
Value | |||
Shares | ($000) | ||
Digital Realty Trust Inc. | 91,721 | 6,885 | |
Eaton Vance Corp. | 251,204 | 6,770 | |
SEI Investments Co. | 307,989 | 6,126 | |
Essex Property Trust Inc. | 37,864 | 5,828 | |
Moody’s Corp. | 153,383 | 5,606 | |
CBOE Holdings Inc. | 193,663 | 5,361 | |
Federal Realty | |||
Investment Trust | 48,678 | 5,067 | |
Jones Lang LaSalle Inc. | 61,897 | 4,356 | |
LPL Financial Holdings Inc. | 120,960 | 4,085 | |
Weingarten Realty Investors | 125,307 | 3,301 | |
Hudson City Bancorp Inc. | 362,696 | 2,310 | |
Erie Indemnity Co. Class A | 31,257 | 2,238 | |
156,402 | |||
Health Care (15.0%) | |||
* | Cerner Corp. | 314,358 | 25,985 |
* | Edwards Lifesciences Corp. | 250,646 | 25,892 |
* | Vertex Pharmaceuticals Inc. | 458,517 | 25,640 |
Perrigo Co. | 193,189 | 22,783 | |
AmerisourceBergen Corp. | |||
Class A | 562,078 | 22,118 | |
* | DaVita Inc. | 204,195 | 20,054 |
* | Mylan Inc. | 930,784 | 19,891 |
* | Laboratory Corp. of | ||
America Holdings | 211,822 | 19,617 | |
CR Bard Inc. | 174,097 | 18,705 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 160,009 | 18,276 | |
* | Waters Corp. | 194,103 | 15,425 |
* | Henry Schein Inc. | 195,673 | 15,358 |
* | Varian Medical | ||
Systems Inc. | 246,252 | 14,965 | |
DENTSPLY | |||
International Inc. | 309,639 | 11,707 | |
* | IDEXX Laboratories Inc. | 119,975 | 11,533 |
* | Illumina Inc. | 266,644 | 10,770 |
* | Mettler-Toledo | ||
International Inc. | 68,645 | 10,698 | |
* | ResMed Inc. | 314,280 | 9,806 |
* | Gen-Probe Inc. | 98,602 | 8,105 |
* | Warner Chilcott plc Class A | 380,493 | 6,818 |
Patterson Cos. Inc. | 193,648 | 6,675 | |
* | Human Genome | ||
Sciences Inc. | 434,952 | 5,711 | |
Universal Health | |||
Services Inc. Class B | 126,964 | 5,480 | |
* | Amylin Pharmaceuticals Inc. | 166,782 | 4,708 |
* | Allscripts Healthcare | ||
Solutions Inc. | 394,959 | 4,317 | |
* | Covance Inc. | 83,040 | 3,974 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 27,690 | 2,769 | |
* | Endo Health Solutions Inc. | 89,129 | 2,761 |
370,541 |
54
Mid-Cap Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Industrials (13.3%) | |||
WW Grainger Inc. | 129,820 | 24,827 | |
Fastenal Co. | 611,567 | 24,652 | |
Roper Industries Inc. | 211,170 | 20,817 | |
AMETEK Inc. | 349,842 | 17,461 | |
* | Stericycle Inc. | 184,741 | 16,935 |
Kansas City Southern | 239,623 | 16,668 | |
Textron Inc. | 609,589 | 15,161 | |
* | Verisk Analytics Inc. | ||
Class A | 305,306 | 15,039 | |
* | TransDigm Group Inc. | 104,910 | 14,089 |
Flowserve Corp. | 118,726 | 13,624 | |
Joy Global Inc. | 233,447 | 13,243 | |
* | IHS Inc. Class A | 121,870 | 13,129 |
JB Hunt Transport | |||
Services Inc. | 204,084 | 12,163 | |
Donaldson Co. Inc. | 307,704 | 10,268 | |
* | BE Aerospace Inc. | 226,498 | 9,889 |
Waste Connections Inc. | 255,239 | 7,637 | |
* | WABCO Holdings Inc. | 140,738 | 7,449 |
Dun & Bradstreet Corp. | 104,040 | 7,405 | |
* | Nielsen Holdings NV | 275,036 | 7,211 |
Masco Corp. | 509,987 | 7,074 | |
Pall Corp. | 125,999 | 6,906 | |
MSC Industrial | |||
Direct Co. Inc. Class A | 101,944 | 6,682 | |
Gardner Denver Inc. | 110,671 | 5,856 | |
* | Copart Inc. | 241,754 | 5,727 |
* | Babcock & Wilcox Co. | 232,321 | 5,692 |
* | Sensata Technologies | ||
Holding NV | 192,735 | 5,161 | |
* | Owens Corning | 163,128 | 4,656 |
Robert Half International Inc. | 147,523 | 4,215 | |
* | Navistar International Corp. | 135,786 | 3,852 |
IDEX Corp. | 91,528 | 3,568 | |
* | Foster Wheeler AG | 82,665 | 1,433 |
328,489 | |||
Information Technology (20.0%) | |||
* | Teradata Corp. | 364,803 | 26,269 |
* | Red Hat Inc. | 420,992 | 23,778 |
* | Fiserv Inc. | 302,117 | 21,819 |
Amphenol Corp. Class A | 356,039 | 19,554 | |
Avago Technologies Ltd. | 505,134 | 18,134 | |
* | Equinix Inc. | 101,709 | 17,865 |
* | Autodesk Inc. | 492,451 | 17,231 |
* | F5 Networks Inc. | 172,573 | 17,181 |
Linear Technology Corp. | 499,224 | 15,641 | |
* | BMC Software Inc. | 357,950 | 15,277 |
* | VeriSign Inc. | 347,754 | 15,152 |
* | Alliance Data | ||
Systems Corp. | 109,064 | 14,724 | |
* | Micron Technology Inc. | 2,153,643 | 13,589 |
* | Nuance | ||
Communications Inc. | 537,499 | 12,803 | |
* | ANSYS Inc. | 202,853 | 12,802 |
* | Trimble Navigation Ltd. | 271,896 | 12,510 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Akamai Technologies Inc. | 387,620 | 12,307 |
* | Skyworks Solutions Inc. | 410,779 | 11,243 |
* | TIBCO Software Inc. | 363,215 | 10,867 |
* | Rackspace Hosting Inc. | 234,729 | 10,314 |
* | Informatica Corp. | 234,082 | 9,916 |
* | LinkedIn Corp. Class A | 92,837 | 9,866 |
* | NVIDIA Corp. | 665,607 | 9,199 |
* | MICROS Systems Inc. | 174,222 | 8,920 |
* | Gartner Inc. | 203,498 | 8,761 |
FactSet Research | |||
Systems Inc. | 93,385 | 8,679 | |
* | LSI Corp. | 1,235,584 | 7,871 |
* | Western Digital Corp. | 256,016 | 7,803 |
* | VeriFone Systems Inc. | 232,766 | 7,702 |
IAC/InterActiveCorp | 164,511 | 7,502 | |
* | Advanced Micro | ||
Devices Inc. | 1,295,889 | 7,425 | |
Global Payments Inc. | 170,800 | 7,384 | |
* | SanDisk Corp. | 185,174 | 6,755 |
* | Atmel Corp. | 983,118 | 6,587 |
FLIR Systems Inc. | 335,820 | 6,548 | |
Solera Holdings Inc. | 152,629 | 6,378 | |
* | Fortinet Inc. | 273,233 | 6,344 |
* | Cree Inc. | 240,900 | 6,184 |
* | Lam Research Corp. | 153,992 | 5,812 |
* | Riverbed Technology Inc. | 326,932 | 5,280 |
* | Rovi Corp. | 239,939 | 4,708 |
* | Dolby Laboratories Inc. | ||
Class A | 112,247 | 4,636 | |
* | Flextronics | ||
International Ltd. | 524,781 | 3,254 | |
* | Electronic Arts Inc. | 253,160 | 3,126 |
* | Polycom Inc. | 251,774 | 2,649 |
* | Acme Packet Inc. | 126,048 | 2,351 |
* | Zynga Inc. Class A | 322,780 | 1,756 |
* | Freescale | ||
Semiconductor Ltd. | 107,753 | 1,104 | |
493,560 | |||
Materials (5.7%) | |||
Sherwin-Williams Co. | 193,022 | 25,546 | |
Sigma-Aldrich Corp. | 263,195 | 19,458 | |
FMC Corp. | 304,516 | 16,286 | |
Ball Corp. | 323,287 | 13,271 | |
Celanese Corp. Class A | 341,488 | 11,822 | |
Albemarle Corp. | 193,871 | 11,562 | |
CF Industries Holdings Inc. | 49,927 | 9,673 | |
* | WR Grace & Co. | 153,093 | 7,724 |
* | Crown Holdings Inc. | 210,778 | 7,270 |
Vulcan Materials Co. | 98,692 | 3,919 | |
Walter Energy Inc. | 88,651 | 3,915 | |
Scotts Miracle-Gro Co. | |||
Class A | 92,855 | 3,818 | |
^,* | Molycorp Inc. | 144,729 | 3,119 |
Aptargroup Inc. | 50,456 | 2,576 | |
139,959 |
55
Mid-Cap Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Telecommunication Services (1.0%) | |||
* | SBA Communications Corp. | ||
Class A | 252,277 | 14,392 | |
* | Level 3 | ||
Communications Inc. | 206,966 | 4,584 | |
* | NII Holdings Inc. | 373,594 | 3,822 |
* | MetroPCS | ||
Communications Inc. | 336,165 | 2,034 | |
24,832 | |||
Utilities (0.6%) | |||
ITC Holdings Corp. | 112,148 | 7,728 | |
* | Calpine Corp. | 443,301 | 7,319 |
15,047 | |||
Total Common Stocks | |||
(Cost $2,345,804) | 2,468,925 | ||
Temporary Cash Investment (0.1%) | |||
Money Market Fund (0.1%) | |||
1,2 | Vanguard Market | ||
Liquidity Fund, | |||
0.148% (Cost $2,603) | 2,603,036 | 2,603 | |
Total Investments (100.1%) | |||
(Cost $2,348,407) | 2,471,528 | ||
Other Assets and Liabilities (-0.1%) | |||
Other Assets | 8,197 | ||
Liabilities2 | (10,241) | ||
(2,044) | |||
Net Assets (100%) | 2,469,484 |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,672,373 |
Undistributed Net Investment Income | 3,242 |
Accumulated Net Realized Losses | (329,252) |
Unrealized Appreciation (Depreciation) | 123,121 |
Net Assets | 2,469,484 |
Investor Shares—Net Assets | |
Applicable to 20,449,286 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 517,470 |
Net Asset Value Per Share— | |
Investor Shares | $25.31 |
Admiral Shares—Net Assets | |
Applicable to 27,710,388 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 768,281 |
Net Asset Value Per Share— | |
Admiral Shares | $27.73 |
ETF Shares—Net Assets | |
Applicable to 18,378,613 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,183,733 |
Net Asset Value Per Share— | |
ETF Shares | $64.41 |
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 $1,506,000.
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 $1,538,000 of collateral received for securities on loan.
See accompanying Notes, which are an integral part of the Financial Statements.
56
Mid-Cap Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 6,374 |
Interest1 | 3 |
Security Lending | 180 |
Total Income | 6,557 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 128 |
Management and Administrative—Investor Shares | 464 |
Management and Administrative—Admiral Shares | 243 |
Management and Administrative—ETF Shares | 302 |
Marketing and Distribution—Investor Shares | 101 |
Marketing and Distribution—Admiral Shares | 46 |
Marketing and Distribution—ETF Shares | 189 |
Custodian Fees | 35 |
Shareholders’ Reports—Investor Shares | 18 |
Shareholders’ Reports—Admiral Shares | 14 |
Shareholders’ Reports—ETF Shares | 38 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,579 |
Net Investment Income | 4,978 |
Realized Net Gain (Loss) on Investment Securities Sold | 55,850 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 95,526 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 156,354 |
1 Interest income from an affiliated company of the fund was $3,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
57
Mid-Cap Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,978 | 9,684 |
Realized Net Gain (Loss) | 55,850 | 272,301 |
Change in Unrealized Appreciation (Depreciation) | 95,526 | (383,998) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 156,354 | (102,013) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (20) | (1,969) |
Admiral Shares | (96) | (2,103) |
ETF Shares | (151) | (5,864) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
ETF Shares | — | — |
Total Distributions | (267) | (9,936) |
Capital Share Transactions | ||
Investor Shares | (24,671) | (410,088) |
Admiral Shares | 208,242 | 529,290 |
ETF Shares | 6,788 | 128,191 |
Net Increase (Decrease) from Capital Share Transactions | 190,359 | 247,393 |
Total Increase (Decrease) | 346,446 | 135,444 |
Net Assets | ||
Beginning of Period | 2,123,038 | 1,987,594 |
End of Period1 | 2,469,484 | 2,123,038 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $3,242,000 and ($1,469,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
58
Mid-Cap Growth Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $23.43 | $24.46 | $19.05 | $13.43 | $25.50 | $21.78 |
Investment Operations | ||||||
Net Investment Income | .038 | .087 | .1041 | .084 | .059 | .0812 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.843 | (1.027) | 5.408 | 5.629 | (12.065) | 3.686 |
Total from Investment Operations | 1.881 | (.940) | 5.512 | 5.713 | (12.006) | 3.767 |
Distributions | ||||||
Dividends from Net Investment Income | (.001) | (.090) | (.102) | (.093) | (.064) | (.047) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.001) | (.090) | (.102) | (.093) | (.064) | (.047) |
Net Asset Value, End of Period | $25.31 | $23.43 | $24.46 | $19.05 | $13.43 | $25.50 |
Total Return3 | 8.03% | -3.84% | 28.93% | 42.54% | -47.07% | 17.30% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $517 | $503 | $958 | $546 | $275 | $389 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.26% | 0.30% | 0.25% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.30% | 0.35% | 0.57%1 | 0.55% | 0.37% | 0.33% |
Portfolio Turnover Rate4 | 32% | 41% | 38% | 43% | 54% | 56% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
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 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
59
Mid-Cap Growth Index Fund
Financial Highlights
Admiral Shares
Six Months | Sept. 27, | |
Ended | 20111 to | |
June 30, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $25.66 | $25.00 |
Investment Operations | ||
Net Investment Income | .061 | .027 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.013 | 0.736 |
Total from Investment Operations | 2.074 | 0.763 |
Distributions | ||
Dividends from Net Investment Income | (.004) | (.103) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.004) | (.103) |
Net Asset Value, End of Period | $27.73 | $25.66 |
Total Return2 | 8.08% | 3.05% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $768 | $525 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 0.44% | 0.49%3 |
Portfolio Turnover Rate4 | 32% | 41% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 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.
60
Mid-Cap Growth Index Fund
Financial Highlights
ETF Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $59.61 | $62.23 | $48.45 | $34.12 | $64.85 | $55.35 |
Investment Operations | ||||||
Net Investment Income | .142 | .316 | .3261 | .267 | .214 | .2752 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.666 | (2.617) | 13.776 | 14.353 | (30.717) | 9.378 |
Total from Investment Operations | 4.808 | (2.301) | 14.102 | 14.620 | (30.503) | 9.653 |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (.319) | (.322) | (.290) | (.227) | (.153) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.008) | (.319) | (.322) | (.290) | (.227) | (.153) |
Net Asset Value, End of Period | $64.41 | $59.61 | $62.23 | $48.45 | $34.12 | $64.85 |
Total Return | 8.06% | -3.70% | 29.11% | 42.85% | -47.02% | 17.44% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,184 | $1,095 | $1,030 | $646 | $413 | $377 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.12% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.44% | 0.49% | 0.71%1 | 0.71% | 0.50% | 0.44% |
Portfolio Turnover Rate3 | 32% | 41% | 38% | 43% | 54% | 56% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Calculated based on average shares outstanding.
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.
61
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 three classes of shares: Investor Shares, Admiral Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, 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, 2008–2011), and for the period ended June 30, 2012, 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, 2012, the fund had contributed capital of
62
Mid-Cap Growth Index Fund
$371,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.15% 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, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2012, the fund realized $72,101,000 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, 2011, the fund had available capital loss carryforwards totaling $312,786,000 to offset future net capital gains. Of this amount, $286,740,000 is subject to expiration dates; $203,722,000 through December 31, 2017, and $83,018,000 through December 31, 2018. Capital losses of $26,046,000 realized beginning in fiscal 2011 may be carried forward indefinitely but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $2,348,407,000. Net unrealized appreciation of investment securities for tax purposes was $123,121,000, consisting of unrealized gains of $346,410,000 on securities that had risen in value since their purchase and $223,289,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2012, the fund purchased $798,480,000 of investment securities and sold $603,444,000 of investment securities, other than temporary cash investments.
63
Mid-Cap Growth Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 127,058 | 4,938 | 462,807 | 18,463 |
Issued in Lieu of Cash Distributions | 19 | 1 | 1,880 | 80 |
Redeemed | (151,748) | (5,944) | (874,775) | (36,253) |
Net Increase (Decrease)—Investor Shares | (24,671) | (1,005) | (410,088) | (17,710) |
Admiral Shares1 | ||||
Issued | 308,493 | 10,828 | 550,971 | 21,302 |
Issued in Lieu of Cash Distributions | 88 | 3 | 1,910 | 74 |
Redeemed | (100,339) | (3,573) | (23,591) | (924) |
Net Increase (Decrease)—Admiral Shares | 208,242 | 7,258 | 529,290 | 20,452 |
ETF Shares | ||||
Issued | 224,021 | 3,401 | 714,408 | 10,935 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (217,233) | (3,400) | (586,217) | (9,100) |
Net Increase (Decrease)—ETF Shares | 6,788 | 1 | 128,191 | 1,835 |
1 Inception was September 27, 2011, for Admiral Shares. |
G. In preparing the financial statements as of June 30, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
64
Mid-Cap Value Index Fund
Fund Profile
As of June 30, 2012
Share-Class Characteristics | |||
Investor | Admiral | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VMVIX | VMVAX | VOE |
Expense Ratio1 | 0.24% | 0.10% | 0.10% |
30-Day SEC Yield | 2.29% | 2.43% | 2.43% |
Portfolio Characteristics | |||
DJ | |||
MSCI US | U.S. Total | ||
Mid Cap | Market | ||
Fund Value Index | Index | ||
Number of Stocks | 269 | 268 | 3,694 |
Median Market Cap | $5.6B | $5.6B | $33.1B |
Price/Earnings Ratio | 16.1x | 16.1x | 16.1x |
Price/Book Ratio | 1.5x | 1.5x | 2.1x |
Return on Equity | 10.9% | 10.9% | 18.1% |
Earnings Growth Rate | 2.7% | 2.7% | 9.4% |
Dividend Yield | 2.5% | 2.5% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 32% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | ||
DJ | ||
MSCI US | U.S. Total | |
Mid Cap | Market | |
Value Index | Index | |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 1.08 |
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) | ||
AvalonBay Communities | ||
Inc. | Residential REITs | 1.2% |
Health Care REIT Inc. | Specialized REITs | 1.0 |
Mattel Inc. | Leisure Products | 0.9 |
Cooper Industries plc | Electrical | |
Components & | ||
Equipment | 0.9 | |
American Capital Agency | ||
Corp. | Mortgage REITs | 0.9 |
DTE Energy Co. | Multi-Utilities | 0.9 |
Seagate Technology plc | Computer Storage | |
& Peripherals | 0.9 | |
Regions Financial Corp. | Regional Banks | 0.8 |
Quest Diagnostics Inc. | Health Care | |
Services | 0.8 | |
Watson Pharmaceuticals | ||
Inc. | Pharmaceuticals | 0.8 |
Top Ten | 9.1% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the annualized expense ratios were 0.24% for Investor Shares, 0.10% for Admiral Shares, and 0.10% for ETF Shares.
65
Mid-Cap Value Index Fund
Sector Diversification (% of equity exposure) | |||
MSCI US | DJ | ||
Mid Cap | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Consumer Discretionary 12.6% | 12.6% | 11.9% | |
Consumer Staples | 6.8 | 6.7 | 9.8 |
Energy | 4.2 | 4.3 | 10.0 |
Financials | 29.9 | 29.9 | 15.9 |
Health Care | 5.0 | 5.0 | 12.0 |
Industrials | 11.5 | 11.5 | 10.8 |
Information Technology | 9.9 | 9.9 | 19.1 |
Materials | 8.1 | 8.1 | 3.9 |
Telecommunication | |||
Services | 1.2 | 1.2 | 2.9 |
Utilities | 10.8 | 10.8 | 3.7 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_mcx68x1.jpg)
66
Mid-Cap Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_mcx69x1.jpg)
Mid-Cap Value Index Fund Investor Shares |
MSCI US Mid Cap Value Index |
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 8/24/2006 | -0.88% | -0.07% | 3.27% |
Admiral Shares | 9/27/2011 | — | — | 16.28 |
ETF Shares | 8/17/2006 | |||
Market Price | -0.79 | 0.06 | 3.29 | |
Net Asset Value | -0.76 | 0.06 | 3.29 |
See Financial Highlights for dividend and capital gains information.
67
Mid-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2012
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%) | |||
Consumer Discretionary (12.6%) | |||
Mattel Inc. | 522,165 | 16,939 | |
Genuine Parts Co. | 239,944 | 14,457 | |
Nordstrom Inc. | 255,736 | 12,708 | |
Wyndham Worldwide Corp. | 225,436 | 11,890 | |
Darden Restaurants Inc. | 197,953 | 10,022 | |
* | Liberty Interactive Corp. | ||
Class A | 546,586 | 9,724 | |
DR Horton Inc. | 439,240 | 8,073 | |
Newell Rubbermaid Inc. | 444,211 | 8,058 | |
Autoliv Inc. | 137,638 | 7,523 | |
Whirlpool Corp. | 118,007 | 7,217 | |
H&R Block Inc. | 451,342 | 7,212 | |
Expedia Inc. | 148,903 | 7,158 | |
Foot Locker Inc. | 233,964 | 7,155 | |
* | Mohawk Industries Inc. | 90,065 | 6,289 |
Hasbro Inc. | 178,252 | 6,037 | |
* | TRW Automotive | ||
Holdings Corp. | 161,994 | 5,955 | |
Lear Corp. | 154,706 | 5,837 | |
JC Penney Co. Inc. | 249,585 | 5,818 | |
Royal Caribbean | |||
Cruises Ltd. | 217,722 | 5,667 | |
Gannett Co. Inc. | 365,248 | 5,380 | |
American Eagle | |||
Outfitters Inc. | 268,853 | 5,305 | |
International Game | |||
Technology | 298,018 | 4,694 | |
Leggett & Platt Inc. | 215,766 | 4,559 | |
Garmin Ltd. | 117,016 | 4,481 | |
Harman International | |||
Industries Inc. | 108,210 | 4,285 | |
GameStop Corp. Class A | 210,191 | 3,859 | |
Interpublic Group | |||
of Cos. Inc. | 343,708 | 3,729 | |
Virgin Media Inc. | 143,055 | 3,489 | |
* | Toll Brothers Inc. | 115,530 | 3,435 |
Guess? Inc. | 107,214 | 3,256 |
Market | |||
Value | |||
Shares | ($000) | ||
Williams-Sonoma Inc. | 92,796 | 3,245 | |
* | NVR Inc. | 3,699 | 3,144 |
DeVry Inc. | 91,966 | 2,848 | |
Washington Post Co. | |||
Class B | 7,372 | 2,756 | |
* | Hyatt Hotels Corp. Class A | 45,657 | 1,697 |
* | Delphi Automotive plc | 53,106 | 1,354 |
* | Lamar Advertising Co. | ||
Class A | 33,635 | 962 | |
226,217 | |||
Consumer Staples (6.8%) | |||
Dr Pepper Snapple | |||
Group Inc. | 326,607 | 14,289 | |
Bunge Ltd. | 224,372 | 14,077 | |
JM Smucker Co. | 174,550 | 13,182 | |
Coca-Cola Enterprises Inc. | 465,939 | 13,065 | |
McCormick & Co. Inc. | 185,640 | 11,259 | |
Tyson Foods Inc. Class A | 460,460 | 8,670 | |
Safeway Inc. | 412,777 | 7,492 | |
* | Constellation Brands Inc. | ||
Class A | 271,195 | 7,339 | |
Beam Inc. | 108,673 | 6,791 | |
Church & Dwight Co. Inc. | 109,697 | 6,085 | |
* | Ralcorp Holdings Inc. | 85,027 | 5,675 |
* | Smithfield Foods Inc. | 235,588 | 5,096 |
Hormel Foods Corp. | 145,458 | 4,425 | |
Ingredion Inc. | 76,373 | 3,782 | |
Hillshire Brands Co. | 45,476 | 1,318 | |
122,545 | |||
Energy (4.2%) | |||
Cimarex Energy Co. | 132,012 | 7,276 | |
HollyFrontier Corp. | 198,146 | 7,020 | |
* | Nabors Industries Ltd. | 444,772 | 6,405 |
* | Rowan Cos. plc Class A | 190,315 | 6,153 |
* | Newfield Exploration Co. | 207,666 | 6,087 |
* | Tesoro Corp. | 216,943 | 5,415 |
* | Kinder Morgan | ||
Management LLC | 69,440 | 5,098 | |
Sunoco Inc. | 106,884 | 5,077 |
68
Mid-Cap Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Energen Corp. | 111,157 | 5,017 | |
Cabot Oil & Gas Corp. | 113,195 | 4,460 | |
* | McDermott | ||
International Inc. | 362,231 | 4,035 | |
Patterson-UTI Energy Inc. | 240,138 | 3,496 | |
* | Superior Energy | ||
Services Inc. | 157,725 | 3,191 | |
* | Alpha Natural | ||
Resources Inc. | 339,272 | 2,955 | |
* | Plains Exploration | ||
& Production Co. | 69,042 | 2,429 | |
Arch Coal Inc. | 328,260 | 2,262 | |
76,376 | |||
Financials (29.8%) | |||
AvalonBay | |||
Communities Inc. | 146,627 | 20,745 | |
Health Care REIT Inc. | 323,911 | 18,884 | |
American Capital | |||
Agency Corp. | 462,043 | 15,529 | |
Regions Financial Corp. | 2,175,809 | 14,687 | |
SLM Corp. | 788,175 | 12,382 | |
Principal Financial | |||
Group Inc. | 464,280 | 12,178 | |
Macerich Co. | 203,253 | 12,002 | |
Kimco Realty Corp. | 626,921 | 11,930 | |
KeyCorp | 1,467,750 | 11,360 | |
SL Green Realty Corp. | 132,953 | 10,668 | |
* | CIT Group Inc. | 293,858 | 10,473 |
UDR Inc. | 403,933 | 10,438 | |
XL Group plc Class A | 486,384 | 10,234 | |
NYSE Euronext | 397,998 | 10,181 | |
Plum Creek | |||
Timber Co. Inc. | 248,737 | 9,875 | |
Lincoln National Corp. | 448,761 | 9,814 | |
Willis Group Holdings plc | 268,347 | 9,792 | |
Comerica Inc. | 304,366 | 9,347 | |
Cincinnati Financial Corp. | 237,573 | 9,044 | |
Digital Realty Trust Inc. | 120,449 | 9,042 | |
Realty Income Corp. | 205,473 | 8,583 | |
Unum Group | 447,788 | 8,566 | |
Everest Re Group Ltd. | 82,726 | 8,561 | |
Huntington | |||
Bancshares Inc. | 1,331,690 | 8,523 | |
Rayonier Inc. | 188,578 | 8,467 | |
New York Community | |||
Bancorp Inc. | 673,864 | 8,444 | |
Camden Property Trust | 121,446 | 8,218 | |
Torchmark Corp. | 154,304 | 7,800 | |
PartnerRe Ltd. | 100,753 | 7,624 | |
Moody’s Corp. | 200,878 | 7,342 | |
WR Berkley Corp. | 180,523 | 7,026 | |
Alexandria Real Estate | |||
Equities Inc. | 95,458 | 6,942 | |
Leucadia National Corp. | 320,346 | 6,814 | |
* | Alleghany Corp. | 19,543 | 6,640 |
Market | |||
Value | |||
Shares | ($000) | ||
Federal Realty | |||
Investment Trust | 63,724 | 6,633 | |
Liberty Property Trust | 179,533 | 6,614 | |
Regency Centers Corp. | 138,587 | 6,593 | |
People’s United | |||
Financial Inc. | 553,477 | 6,426 | |
Arthur J Gallagher & Co. | 180,769 | 6,340 | |
* | Markel Corp. | 14,080 | 6,219 |
Raymond James | |||
Financial Inc. | 178,091 | 6,098 | |
Host Hotels & Resorts Inc. | 381,612 | 6,037 | |
RenaissanceRe | |||
Holdings Ltd. | 79,358 | 6,032 | |
Reinsurance Group | |||
of America Inc. Class A | 112,934 | 6,009 | |
Fidelity National | |||
Financial Inc. Class A | 307,289 | 5,918 | |
Axis Capital Holdings Ltd. | 181,454 | 5,906 | |
Duke Realty Corp. | 399,155 | 5,844 | |
Senior Housing | |||
Properties Trust | 250,522 | 5,592 | |
Zions Bancorporation | 283,630 | 5,508 | |
Ares Capital Corp. | 341,218 | 5,446 | |
Legg Mason Inc. | 193,750 | 5,109 | |
HCC Insurance | |||
Holdings Inc. | 160,182 | 5,030 | |
DDR Corp. | 341,616 | 5,001 | |
Cullen/Frost Bankers Inc. | 84,906 | 4,881 | |
* | First Republic Bank | 140,426 | 4,718 |
Hospitality Properties Trust | 190,358 | 4,715 | |
Assurant Inc. | 134,800 | 4,696 | |
Piedmont Office Realty | |||
Trust Inc. Class A | 266,021 | 4,578 | |
NASDAQ OMX Group Inc. | 200,361 | 4,542 | |
White Mountains | |||
Insurance Group Ltd. | 8,674 | 4,526 | |
American Financial | |||
Group Inc. | 113,108 | 4,437 | |
Commerce Bancshares Inc. | 116,490 | 4,415 | |
* | Genworth Financial Inc. | ||
Class A | 757,191 | 4,286 | |
Essex Property Trust Inc. | 26,822 | 4,128 | |
Chimera Investment Corp. | 1,582,827 | 3,736 | |
Assured Guaranty Ltd. | 253,178 | 3,570 | |
Old Republic | |||
International Corp. | 374,245 | 3,103 | |
Hudson City Bancorp Inc. | 474,938 | 3,025 | |
Validus Holdings Ltd. | 93,134 | 2,983 | |
Jefferies Group Inc. | 206,380 | 2,681 | |
BOK Financial Corp. | 42,975 | 2,501 | |
Weingarten Realty Investors | 88,580 | 2,333 | |
Jones Lang LaSalle Inc. | 23,506 | 1,654 | |
Erie Indemnity Co. Class A | 22,103 | 1,583 | |
537,601 |
69
Mid-Cap Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Health Care (5.0%) | |||
Quest Diagnostics Inc. | 243,895 | 14,609 | |
* | Watson | ||
Pharmaceuticals Inc. | 195,941 | 14,498 | |
* | Life Technologies Corp. | 274,527 | 12,351 |
* | CareFusion Corp. | 346,157 | 8,889 |
* | Hospira Inc. | 253,718 | 8,875 |
* | Hologic Inc. | 406,462 | 7,333 |
Coventry Health Care Inc. | 217,500 | 6,914 | |
Omnicare Inc. | 174,957 | 5,464 | |
* | Endo Health Solutions Inc. | 116,897 | 3,621 |
* | Amylin Pharmaceuticals Inc. | 117,660 | 3,322 |
Universal Health | |||
Services Inc. Class B | 48,215 | 2,081 | |
* | Covance Inc. | 31,631 | 1,514 |
* | Bio-Rad | ||
Laboratories Inc. Class A | 10,522 | 1,052 | |
90,523 | |||
Industrials (11.5%) | |||
Cooper Industries plc | 244,127 | 16,645 | |
* | Delta Air Lines Inc. | 1,302,483 | 14,262 |
* | United Continental | ||
Holdings Inc. | 511,505 | 12,445 | |
L-3 Communications | |||
Holdings Inc. | 152,393 | 11,279 | |
Southwest Airlines Co. | 1,190,619 | 10,978 | |
Equifax Inc. | 184,560 | 8,600 | |
* | Quanta Services Inc. | 319,647 | 7,694 |
* | Jacobs Engineering | ||
Group Inc. | 197,904 | 7,493 | |
Xylem Inc. | 284,531 | 7,162 | |
Cintas Corp. | 179,833 | 6,943 | |
* | AGCO Corp. | 149,706 | 6,846 |
Iron Mountain Inc. | 197,725 | 6,517 | |
Hubbell Inc. Class B | 79,736 | 6,215 | |
Timken Co. | 127,981 | 5,860 | |
Pentair Inc. | 151,970 | 5,817 | |
KBR Inc. | 228,033 | 5,635 | |
Snap-on Inc. | 89,782 | 5,589 | |
Towers Watson & Co. | |||
Class A | 90,233 | 5,405 | |
* | Hertz Global Holdings Inc. | 417,936 | 5,350 |
SPX Corp. | 78,914 | 5,155 | |
Pall Corp. | 88,883 | 4,872 | |
Pitney Bowes Inc. | 307,809 | 4,608 | |
Manpower Inc. | 123,480 | 4,526 | |
Avery Dennison Corp. | 163,913 | 4,481 | |
* | Spirit Aerosystems | ||
Holdings Inc. Class A | 182,715 | 4,354 | |
URS Corp. | 122,663 | 4,278 | |
^ | RR Donnelley & Sons Co. | 275,215 | 3,239 |
Robert Half | |||
International Inc. | 104,033 | 2,972 | |
Masco Corp. | 194,279 | 2,695 | |
* | AECOM Technology Corp. | 162,201 | 2,668 |
Market | |||
Value | |||
Shares | ($000) | ||
IDEX Corp. | 64,529 | 2,515 | |
* | Foster Wheeler AG | 107,923 | 1,870 |
* | Owens Corning | 61,822 | 1,764 |
206,732 | |||
Information Technology (9.9%) | |||
Seagate Technology plc | 622,024 | 15,383 | |
Xilinx Inc. | 403,316 | 13,539 | |
KLA-Tencor Corp. | 256,790 | 12,647 | |
Fidelity National | |||
Information Services Inc. | 356,787 | 12,159 | |
Maxim Integrated | |||
Products Inc. | 449,417 | 11,523 | |
Microchip Technology Inc. | 295,815 | 9,786 | |
* | SanDisk Corp. | 242,643 | 8,852 |
* | Lam Research Corp. | 201,681 | 7,611 |
Harris Corp. | 175,367 | 7,339 | |
* | Avnet Inc. | 223,440 | 6,895 |
* | Synopsys Inc. | 221,942 | 6,532 |
* | NVIDIA Corp. | 470,674 | 6,505 |
Computer Sciences Corp. | 238,922 | 5,930 | |
Total System Services Inc. | 247,459 | 5,922 | |
Jabil Circuit Inc. | 290,424 | 5,904 | |
* | Arrow Electronics Inc. | 172,421 | 5,657 |
* | Western Digital Corp. | 180,937 | 5,515 |
SAIC Inc. | 420,412 | 5,095 | |
* | ON Semiconductor Corp. | 696,583 | 4,946 |
* | Flextronics International Ltd. | 688,090 | 4,266 |
* | Electronic Arts Inc. | 331,669 | 4,096 |
* | Ingram Micro Inc. | 231,248 | 4,040 |
Lexmark International Inc. | |||
Class A | 109,090 | 2,900 | |
Molex Inc. | 103,210 | 2,471 | |
Molex Inc. Class A | 111,588 | 2,257 | |
* | Polycom Inc. | 95,445 | 1,004 |
178,774 | |||
Materials (8.1%) | |||
CF Industries Holdings Inc. | 65,559 | 12,701 | |
Cliffs Natural Resources Inc. | 218,687 | 10,779 | |
Eastman Chemical Co. | 210,901 | 10,623 | |
Airgas Inc. | 99,901 | 8,393 | |
Ashland Inc. | 120,647 | 8,362 | |
MeadWestvaco Corp. | 263,378 | 7,572 | |
Valspar Corp. | 136,583 | 7,169 | |
International Flavors | |||
& Fragrances Inc. | 124,645 | 6,831 | |
Rock-Tenn Co. Class A | 108,648 | 5,927 | |
Reliance Steel | |||
& Aluminum Co. | 115,651 | 5,840 | |
Martin Marietta | |||
Materials Inc. | 70,318 | 5,542 | |
Vulcan Materials Co. | 129,476 | 5,142 | |
Allegheny Technologies Inc. | 156,131 | 4,979 | |
Bemis Co. Inc. | 158,767 | 4,976 | |
United States Steel Corp. | 232,542 | 4,790 |
70
Mid-Cap Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Sonoco Products Co. | 154,921 | 4,671 | |
* | Owens-Illinois Inc. | 240,657 | 4,613 |
Domtar Corp. | 56,594 | 4,341 | |
Sealed Air Corp. | 281,071 | 4,340 | |
Huntsman Corp. | 311,566 | 4,032 | |
Steel Dynamics Inc. | 320,836 | 3,770 | |
Aptargroup Inc. | 66,217 | 3,380 | |
* | Crown Holdings Inc. | 80,188 | 2,766 |
Greif Inc. Class A | 38,490 | 1,578 | |
Titanium Metals Corp. | 134,631 | 1,523 | |
Walter Energy Inc. | 33,705 | 1,488 | |
146,128 | |||
Telecommunication Services (1.2%) | |||
Windstream Corp. | 903,372 | 8,727 | |
Frontier | |||
Communications Corp. | 1,533,016 | 5,871 | |
Telephone & Data | |||
Systems Inc. | 148,379 | 3,159 | |
* | Level 3 | ||
Communications Inc. | 78,703 | 1,743 | |
* | MetroPCS | ||
Communications Inc. | 237,626 | 1,438 | |
* | United States Cellular Corp. | 19,892 | 768 |
21,706 | |||
Utilities (10.8%) | |||
DTE Energy Co. | 260,878 | 15,478 | |
Wisconsin Energy Corp. | 354,933 | 14,045 | |
CenterPoint Energy Inc. | 623,512 | 12,888 | |
ONEOK Inc. | 304,025 | 12,863 | |
Ameren Corp. | 373,021 | 12,511 | |
NiSource Inc. | 434,811 | 10,761 | |
CMS Energy Corp. | 396,489 | 9,317 | |
American Water | |||
Works Co. Inc. | 270,675 | 9,279 |
Market | |||
Value | |||
Shares | ($000) | ||
SCANA Corp. | 190,585 | 9,118 | |
Pinnacle West Capital Corp. | 168,331 | 8,709 | |
OGE Energy Corp. | 151,124 | 7,827 | |
Alliant Energy Corp. | 171,017 | 7,793 | |
AGL Resources Inc. | 180,306 | 6,987 | |
Pepco Holdings Inc. | 350,618 | 6,862 | |
Integrys Energy Group Inc. | 120,584 | 6,858 | |
NV Energy Inc. | 363,464 | 6,390 | |
* | NRG Energy Inc. | 350,730 | 6,089 |
MDU Resources Group Inc. | 276,266 | 5,970 | |
TECO Energy Inc. | 315,911 | 5,705 | |
Aqua America Inc. | 214,001 | 5,341 | |
National Fuel Gas Co. | 108,830 | 5,113 | |
UGI Corp. | 172,738 | 5,084 | |
* | Calpine Corp. | 168,895 | 2,788 |
193,776 | |||
Total Common Stocks | |||
(Cost $1,743,613) | 1,800,378 | ||
Temporary Cash Investment (0.1%) | |||
Money Market Fund (0.1%) | |||
1,2 | Vanguard Market | ||
Liquidity Fund, | |||
0.148% (Cost $1,162) | 1,162,201 | 1,162 | |
Total Investments (100.0%) | |||
(Cost $1,744,775) | 1,801,540 | ||
Other Assets and Liabilities (0.0%) | |||
Other Assets | 6,242 | ||
Liabilities2 | (6,683) | ||
(441) | |||
Net Assets (100%) | 1,801,099 |
71
Mid-Cap Value Index Fund
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,867,242 |
Undistributed Net Investment Income | 13,743 |
Accumulated Net Realized Losses | (136,651) |
Unrealized Appreciation (Depreciation) | 56,765 |
Net Assets | 1,801,099 |
Investor Shares—Net Assets | |
Applicable to 20,824,433 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 450,359 |
Net Asset Value Per Share— | |
Investor Shares | $21.63 |
Admiral Shares—Net Assets | |
Applicable to 14,443,206 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 411,274 |
Net Asset Value Per Share— | |
Admiral Shares | $28.48 |
ETF Shares—Net Assets | |
Applicable to 17,090,252 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 939,466 |
Net Asset Value Per Share— | |
ETF Shares | $54.97 |
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 $1,052,000.
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 $1,162,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
72
Mid-Cap Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 16,038 |
Interest1 | 1 |
Security Lending | 240 |
Total Income | 16,279 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 104 |
Management and Administrative—Investor Shares | 428 |
Management and Administrative—Admiral Shares | 124 |
Management and Administrative—ETF Shares | 209 |
Marketing and Distribution—Investor Shares | 83 |
Marketing and Distribution—Admiral Shares | 23 |
Marketing and Distribution—ETF Shares | 133 |
Custodian Fees | 36 |
Shareholders’ Reports—Investor Shares | 11 |
Shareholders’ Reports—Admiral Shares | 6 |
Shareholders’ Reports—ETF Shares | 41 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,199 |
Net Investment Income | 15,080 |
Realized Net Gain (Loss) on Investment Securities Sold | 20,397 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 58,556 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 94,033 |
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.
73
Mid-Cap Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 15,080 | 31,590 |
Realized Net Gain (Loss) | 20,397 | 200,637 |
Change in Unrealized Appreciation (Depreciation) | 58,556 | (238,822) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 94,033 | (6,595) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (43) | (9,082) |
Admiral Shares | (40) | (5,368) |
ETF Shares | (100) | (17,269) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
ETF Shares | — | — |
Total Distributions | (183) | (31,719) |
Capital Share Transactions | ||
Investor Shares | (31,627) | (211,717) |
Admiral Shares | 126,091 | 265,475 |
ETF Shares | 105,078 | 63,346 |
Net Increase (Decrease) from Capital Share Transactions | 199,542 | 117,104 |
Total Increase (Decrease) | 293,392 | 78,790 |
Net Assets | ||
Beginning of Period | 1,507,707 | 1,428,917 |
End of Period1 | 1,801,099 | 1,507,707 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $13,743,000 and ($1,154,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
74
Mid-Cap Value Index Fund
Financial Highlights
Investor Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $20.34 | $20.85 | $17.45 | $12.92 | $20.95 | $22.34 |
Investment Operations | ||||||
Net Investment Income | .171 | .417 | .371 | .300 | .4661 | .427 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.121 | (.509) | 3.403 | 4.551 | (8.156) | (1.407) |
Total from Investment Operations | 1.292 | (.092) | 3.774 | 4.851 | (7.690) | (.980) |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.418) | (.374) | (.321) | (.340) | (.410) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.418) | (.374) | (.321) | (.340) | (.410) |
Net Asset Value, End of Period | $21.63 | $20.34 | $20.85 | $17.45 | $12.92 | $20.95 |
Total Return2 | 6.35% | -0.44% | 21.63% | 37.61% | -36.64% | -4.37% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $450 | $455 | $683 | $459 | $217 | $195 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.26% | 0.30% | 0.25% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.62% | 1.97% | 1.99% | 2.14% | 2.73% | 2.48% |
Portfolio Turnover Rate3 | 32% | 41% | 37% | 47% | 45% | 46% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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Mid-Cap Value Index Fund
Financial Highlights
Admiral Shares
Six Months | Sept. 27, | |
Ended | 20111 to | |
June 30, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $26.77 | $25.00 |
Investment Operations | ||
Net Investment Income | .245 | .157 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.468 | 2.165 |
Total from Investment Operations | 1.713 | 2.322 |
Distributions | ||
Dividends from Net Investment Income | (.003) | (.552) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.003) | (.552) |
Net Asset Value, End of Period | $28.48 | $26.77 |
Total Return2 | 6.40% | 9.29% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $411 | $268 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 1.76% | 2.11%3 |
Portfolio Turnover Rate4 | 32% | 41% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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Mid-Cap Value Index Fund
Financial Highlights
ETF Shares
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $51.67 | $52.97 | $44.31 | $32.80 | $53.16 | $56.67 |
Investment Operations | ||||||
Net Investment Income | .475 | 1.134 | 1.004 | .812 | 1.2611 | 1.133 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.831 | (1.297) | 8.669 | 11.562 | (20.716) | (3.553) |
Total from Investment Operations | 3.306 | (.163) | 9.673 | 12.374 | (19.455) | (2.420) |
Distributions | ||||||
Dividends from Net Investment Income | (.006) | (1.137) | (1.013) | (.864) | (.905) | (1.090) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.006) | (1.137) | (1.013) | (.864) | (.905) | (1.090) |
Net Asset Value, End of Period | $54.97 | $51.67 | $52.97 | $44.31 | $32.80 | $53.16 |
Total Return | 6.40% | -0.32% | 21.83% | 37.75% | -36.53% | -4.27% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $939 | $785 | $746 | $583 | $359 | $215 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.12% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.76% | 2.11% | 2.13% | 2.30% | 2.86% | 2.59% |
Portfolio Turnover Rate2 | 32% | 41% | 37% | 47% | 45% | 46% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
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.
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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 three classes of shares: Investor Shares, Admiral Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, 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, 2008–2011), and for the period ended June 30, 2012, 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, 2012, the fund had contributed capital of
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Mid-Cap Value Index Fund
$263,000 to Vanguard (included in Other Assets), representing 0.01% 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.
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, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2012, the fund realized $17,646,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2011, the fund had available capital loss carryforwards totaling $139,259,000 to offset future net capital gains of $75,804,000 through December 31, 2017, and $63,455,000 through December 31, 2018. The fund will use these capital losses to offset net capital gains, if any, realized during the year ending December 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $1,744,775,000. Net unrealized appreciation of investment securities for tax purposes was $56,765,000, consisting of unrealized gains of $190,546,000 on securities that had risen in value since their purchase and $133,781,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2012, the fund purchased $557,237,000 of investment securities and sold $337,656,000 of investment securities, other than temporary cash investments.
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Mid-Cap Value Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 116,433 | 5,334 | 248,024 | 11,928 |
Issued in Lieu of Cash Distributions | 38 | 2 | 8,381 | 412 |
Redeemed | (148,098) | (6,893) | (468,122) | (22,720) |
Net Increase (Decrease)—Investor Shares | (31,627) | (1,557) | (211,717) | (10,380) |
Admiral Shares1 | ||||
Issued | 163,594 | 5,752 | 267,766 | 10,093 |
Issued in Lieu of Cash Distributions | 36 | 1 | 4,590 | 172 |
Redeemed | (37,539) | (1,314) | (6,881) | (261) |
Net Increase (Decrease)—Admiral Shares | 126,091 | 4,439 | 265,475 | 10,004 |
ETF Shares | ||||
Issued | 170,498 | 3,105 | 406,887 | 7,509 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (65,420) | (1,200) | (343,541) | (6,400) |
Net Increase (Decrease)—ETF Shares | 105,078 | 1,905 | 63,346 | 1,109 |
1 Inception was September 27, 2011, for Admiral Shares. |
G. In preparing the financial statements as of June 30, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended June 30, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2011 | 6/30/2012 | Period | |
Based on Actual Fund Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,087.15 | $1.25 |
Admiral Shares | 1,000.00 | 1,087.92 | 0.52 |
Signal Shares | 1,000.00 | 1,087.77 | 0.52 |
Institutional Shares | 1,000.00 | 1,088.19 | 0.42 |
Institutional Plus Shares | 1,000.00 | 1,088.10 | 0.31 |
ETF Shares | 1,000.00 | 1,087.98 | 0.52 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,071.34 | $1.24 |
Admiral Shares | 1,000.00 | 1,072.14 | 0.52 |
Signal Shares | 1,000.00 | 1,072.33 | 0.52 |
Institutional Shares | 1,000.00 | 1,072.21 | 0.41 |
Institutional Plus Shares | 1,000.00 | 1,072.19 | 0.31 |
ETF Shares | 1,000.00 | 1,072.06 | 0.52 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,080.28 | $1.24 |
Admiral Shares | 1,000.00 | 1,080.82 | 0.52 |
ETF Shares | 1,000.00 | 1,080.65 | 0.52 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,063.52 | $1.23 |
Admiral Shares | 1,000.00 | 1,063.98 | 0.51 |
ETF Shares | 1,000.00 | 1,063.98 | 0.51 |
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Six Months Ended June 30, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2011 | 6/30/2012 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,023.67 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Signal Shares | 1,000.00 | 1,024.37 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
Institutional Plus Shares | 1,000.00 | 1,024.57 | 0.30 |
ETF Shares | 1,000.00 | 1,024.37 | 0.50 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.67 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Signal Shares | 1,000.00 | 1,024.37 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
Institutional Plus Shares | 1,000.00 | 1,024.57 | 0.30 |
ETF Shares | 1,000.00 | 1,024.37 | 0.50 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.67 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
ETF Shares | 1,000.00 | 1,024.37 | 0.50 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.67 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
ETF Shares | 1,000.00 | 1,024.37 | 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, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Mid-Cap 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, and 0.10% for ETF Shares; for the Mid-Cap Growth Index Fund, 0.24% for Investor Shares, 0.10% for Admiral Shares, and 0.10% for ETF Shares; and for the Mid-Cap Value Index Fund, 0.24% for Investor Shares, 0.10% for Admiral 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.
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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 Equity Investment 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 Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted 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.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
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. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
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Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
The Conference Board. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President |
Inc., and of each of the investment companies served | of the University of Pennsylvania; Christopher H. |
by The Vanguard Group, since January 2010; Director | Browne Distinguished Professor of Political Science |
of The Vanguard Group since 2008; Chief Executive | in the School of Arts and Sciences with secondary |
Officer and President of The Vanguard Group and of | appointments at the Annenberg School for |
each of the investment companies served by The | Communication and the Graduate School of Education |
Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Member of the |
Marketing Corporation; Managing Director of The | National Commission on the Humanities and Social |
Vanguard Group (1995–2008). | Sciences; Trustee of Carnegie Corporation of New |
York and of the National Constitution Center; Chair | |
of the U. S. Presidential Commission for the Study | |
IndependentTrustees | of Bioethical Issues. |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Director of SKF AB |
and President (2006–2008) of Rohm Haas Co. | (industrial machinery), Hillenbrand, Inc. (specialized |
(chemicals); Director of Tyco International, Ltd. | consumer services), the Lumina Foundation for |
(diversified manufacturing and services), Hewlett- | |
Packard Co. (electronic computer manufacturing), | |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | ||
Industries, Inc. (forklift trucks/housewares/lignite); | Mortimer J. Buckley | Michael S. Miller |
Director of Goodrich Corporation (industrial products/ | Kathleen C. Gubanich | James M. Norris |
aircraft systems and services) and the National | Paul A. Heller | Glenn W. Reed |
Association of Manufacturers; Chairman of the Board | Martha G. King | George U. Sauter |
of the Federal Reserve Bank of Cleveland and of | Chris D. McIsaac | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | Founder | |
Overseer of the Amos Tuck School of Business | ||
Administration at Dartmouth College; Advisor to the | John C. Bogle | |
Norris Cotton Cancer Center. | Chairman and Chief Executive Officer, 1974–1996 | |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q982 082012 |
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.4%)1 | ||
Consumer Discretionary (15.7%) | ||
Las Vegas Sands Corp. | 3,222,897 | 140,164 |
* General Motors Co. | 5,111,582 | 100,800 |
* Liberty Media Corp. - Liberty Capital Class A | 999,408 | 87,858 |
* Liberty Interactive Corp. Class A | 4,577,439 | 81,433 |
* Liberty Global Inc. | 1,341,070 | 64,036 |
PetSmart Inc. | 888,410 | 60,572 |
* Charter Communications Inc. Class A | 820,334 | 58,137 |
* Sirius XM Radio Inc. | 31,034,229 | 57,413 |
Tractor Supply Co. | 590,522 | 49,049 |
DISH Network Corp. Class A | 1,624,212 | 46,371 |
PVH Corp. | 577,007 | 44,885 |
* Dollar General Corp. | 805,463 | 43,809 |
* Liberty Global Inc. Class A | 861,460 | 42,754 |
Advance Auto Parts Inc. | 603,346 | 41,160 |
* LKQ Corp. | 1,209,829 | 40,408 |
Polaris Industries Inc. | 565,070 | 40,391 |
Foot Locker Inc. | 1,243,936 | 38,040 |
Dick's Sporting Goods Inc. | 775,570 | 37,227 |
Ulta Salon Cosmetics & Fragrance Inc. | 397,415 | 37,111 |
* Toll Brothers Inc. | 1,204,122 | 35,799 |
* NVR Inc. | 41,360 | 35,156 |
* Panera Bread Co. Class A | 244,017 | 34,026 |
* MGM Resorts International | 2,929,012 | 32,688 |
* Mohawk Industries Inc. | 467,146 | 32,621 |
American Eagle Outfitters Inc. | 1,605,777 | 31,682 |
* TRW Automotive Holdings Corp. | 846,581 | 31,120 |
Signet Jewelers Ltd. | 698,416 | 30,737 |
Lear Corp. | 802,320 | 30,272 |
Royal Caribbean Cruises Ltd. | 1,142,829 | 29,748 |
* Under Armour Inc. Class A | 305,201 | 28,835 |
Williams-Sonoma Inc. | 816,034 | 28,537 |
Jarden Corp. | 626,455 | 26,324 |
Tupperware Brands Corp. | 458,881 | 25,128 |
Gentex Corp. | 1,176,937 | 24,563 |
Six Flags Entertainment Corp. | 443,926 | 24,052 |
* Delphi Automotive plc | 937,500 | 23,906 |
* Penn National Gaming Inc. | 533,233 | 23,777 |
* Groupon Inc. | 2,168,635 | 23,053 |
* Hanesbrands Inc. | 796,118 | 22,076 |
Service Corp. | 1,779,664 | 22,014 |
* Carter's Inc. | 418,421 | 22,009 |
* Sally Beauty Holdings Inc. | 819,425 | 21,092 |
* Ascena Retail Group Inc. | 1,119,466 | 20,844 |
Chico's FAS Inc. | 1,392,299 | 20,662 |
Brinker International Inc. | 617,849 | 19,691 |
Cinemark Holdings Inc. | 844,192 | 19,290 |
John Wiley & Sons Inc. Class A | 388,393 | 19,027 |
* Madison Square Garden Co. Class A | 499,597 | 18,705 |
Sotheby's | 560,579 | 18,701 |
* Hyatt Hotels Corp. Class A | 492,975 | 18,319 |
Aaron's Inc. | 624,419 | 17,677 |
* Coinstar Inc. | 256,382 | 17,603 |
* AMC Networks Inc. Class A | 477,544 | 16,977 |
* Bally Technologies Inc. | 356,350 | 16,627 |
Rent-A-Center Inc. | 492,382 | 16,613 |
Brunswick Corp. | 740,733 | 16,459 |
* Life Time Fitness Inc. | 353,092 | 16,422 |
Dillard's Inc. Class A | 256,425 | 16,329 |
* Visteon Corp. | 432,700 | 16,226 |
Guess? Inc. | 531,329 | 16,136 |
1
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Pool Corp. | 394,769 | 15,972 | |
Wolverine World Wide Inc. | 404,151 | 15,673 | |
Dana Holding Corp. | 1,222,975 | 15,666 | |
* | Gaylord Entertainment Co. | 402,746 | 15,530 |
Pier 1 Imports Inc. | 909,782 | 14,948 | |
Vail Resorts Inc. | 298,356 | 14,942 | |
Domino's Pizza Inc. | 479,883 | 14,833 | |
* | Warnaco Group Inc. | 336,672 | 14,336 |
^,* | Deckers Outdoor Corp. | 321,311 | 14,141 |
* | Cheesecake Factory Inc. | 440,741 | 14,086 |
* | Lamar Advertising Co. Class A | 486,971 | 13,927 |
^,* | Saks Inc. | 1,306,764 | 13,917 |
* | Cabela's Inc. | 357,437 | 13,515 |
* | Tenneco Inc. | 501,207 | 13,442 |
* | Vitamin Shoppe Inc. | 242,736 | 13,334 |
* | Express Inc. | 731,009 | 13,282 |
* | Buffalo Wild Wings Inc. | 152,647 | 13,225 |
HSN Inc. | 327,109 | 13,199 | |
DSW Inc. Class A | 241,074 | 13,114 | |
* | Hibbett Sports Inc. | 219,857 | 12,688 |
Dunkin' Brands Group Inc. | 369,343 | 12,683 | |
* | Tempur-Pedic International Inc. | 529,825 | 12,393 |
^,* | Tesla Motors Inc. | 390,968 | 12,233 |
* | Genesco Inc. | 201,235 | 12,104 |
* | Crocs Inc. | 745,950 | 12,047 |
Cracker Barrel Old Country Store Inc. | 191,035 | 11,997 | |
Men's Wearhouse Inc. | 425,846 | 11,983 | |
* | Aeropostale Inc. | 670,746 | 11,959 |
Wendy's Co. | 2,461,198 | 11,617 | |
Weight Watchers International Inc. | 220,780 | 11,383 | |
* | DreamWorks Animation SKG Inc. Class A | 593,206 | 11,307 |
* | Live Nation Entertainment Inc. | 1,216,270 | 11,165 |
Morningstar Inc. | 190,264 | 11,005 | |
* | Collective Brands Inc. | 503,477 | 10,784 |
^ | Strayer Education Inc. | 96,950 | 10,570 |
* | Steven Madden Ltd. | 325,265 | 10,327 |
* | Iconix Brand Group Inc. | 590,515 | 10,316 |
MDC Holdings Inc. | 314,966 | 10,290 | |
* | ANN Inc. | 401,905 | 10,245 |
* | Jack in the Box Inc. | 366,510 | 10,218 |
* | Children's Place Retail Stores Inc. | 198,034 | 9,868 |
^ | Meredith Corp. | 308,819 | 9,864 |
Regal Entertainment Group Class A | 713,722 | 9,821 | |
* | Jos A Bank Clothiers Inc. | 231,259 | 9,819 |
* | Select Comfort Corp. | 468,993 | 9,811 |
Bob Evans Farms Inc. | 242,296 | 9,740 | |
* | Fifth & Pacific Cos. Inc. | 903,066 | 9,690 |
Hillenbrand Inc. | 519,013 | 9,539 | |
Thor Industries Inc. | 347,674 | 9,530 | |
Ryland Group Inc. | 369,015 | 9,439 | |
^,* | ITT Educational Services Inc. | 151,410 | 9,198 |
* | WMS Industries Inc. | 459,419 | 9,165 |
Texas Roadhouse Inc. Class A | 495,098 | 9,125 | |
Cooper Tire & Rubber Co. | 516,607 | 9,061 | |
Finish Line Inc. Class A | 431,613 | 9,025 | |
Choice Hotels International Inc. | 224,055 | 8,947 | |
* | Helen of Troy Ltd. | 262,731 | 8,904 |
^ | Buckle Inc. | 224,560 | 8,886 |
Group 1 Automotive Inc. | 188,748 | 8,609 | |
Monro Muffler Brake Inc. | 256,460 | 8,525 | |
Regis Corp. | 472,446 | 8,485 | |
Penske Automotive Group Inc. | 374,574 | 7,956 | |
* | Meritage Homes Corp. | 233,969 | 7,941 |
* | Lumber Liquidators Holdings Inc. | 232,989 | 7,873 |
2
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Value | |||
Shares | ($000) | ||
* | New York Times Co. Class A | 1,006,918 | 7,854 |
Arbitron Inc. | 223,238 | 7,813 | |
^,* | Valassis Communications Inc. | 354,944 | 7,720 |
* | BJ's Restaurants Inc. | 201,711 | 7,665 |
Matthews International Corp. Class A | 235,881 | 7,664 | |
GNC Holdings Inc. Class A | 193,743 | 7,595 | |
* | Shutterfly Inc. | 245,283 | 7,528 |
Cato Corp. Class A | 242,147 | 7,376 | |
* | Papa John's International Inc. | 153,202 | 7,288 |
* | Zumiez Inc. | 181,167 | 7,174 |
National CineMedia Inc. | 464,731 | 7,050 | |
* | K12 Inc. | 302,175 | 7,041 |
* | Marriott Vacations Worldwide Corp. | 225,197 | 6,977 |
* | Peet's Coffee & Tea Inc. | 109,125 | 6,552 |
Jones Group Inc. | 674,414 | 6,447 | |
^ | Sturm Ruger & Co. Inc. | 158,831 | 6,377 |
* | Shuffle Master Inc. | 458,659 | 6,330 |
Interval Leisure Group Inc. | 330,940 | 6,291 | |
* | Orient-Express Hotels Ltd. Class A | 749,941 | 6,277 |
* | Skechers U.S.A. Inc. Class A | 307,803 | 6,270 |
* | Asbury Automotive Group Inc. | 262,181 | 6,211 |
True Religion Apparel Inc. | 211,710 | 6,135 | |
* | Grand Canyon Education Inc. | 291,546 | 6,105 |
Churchill Downs Inc. | 103,586 | 6,090 | |
International Speedway Corp. Class A | 232,229 | 6,080 | |
Scholastic Corp. | 209,088 | 5,888 | |
^ | KB Home | 599,342 | 5,874 |
* | DineEquity Inc. | 129,435 | 5,778 |
^,* | Barnes & Noble Inc. | 340,048 | 5,597 |
* | American Axle & Manufacturing Holdings Inc. | 529,066 | 5,550 |
Belo Corp. Class A | 858,879 | 5,531 | |
CEC Entertainment Inc. | 151,133 | 5,497 | |
Columbia Sportswear Co. | 100,712 | 5,400 | |
* | La-Z-Boy Inc. | 430,115 | 5,286 |
* | Standard Pacific Corp. | 841,268 | 5,207 |
* | Steiner Leisure Ltd. | 111,747 | 5,186 |
Oxford Industries Inc. | 115,247 | 5,152 | |
* | Ascent Capital Group Inc. Class A | 98,724 | 5,109 |
* | Sonic Corp. | 503,316 | 5,043 |
* | Office Depot Inc. | 2,332,596 | 5,038 |
* | iRobot Corp. | 227,031 | 5,029 |
* | Pinnacle Entertainment Inc. | 516,260 | 4,966 |
* | Knology Inc. | 252,459 | 4,966 |
Fred's Inc. Class A | 319,847 | 4,890 | |
Stage Stores Inc. | 266,910 | 4,890 | |
Ameristar Casinos Inc. | 270,062 | 4,799 | |
* | Dorman Products Inc. | 190,456 | 4,779 |
* | American Public Education Inc. | 148,492 | 4,752 |
* | Biglari Holdings Inc. | 11,944 | 4,615 |
^ | American Greetings Corp. Class A | 314,870 | 4,603 |
Brown Shoe Co. Inc. | 351,201 | 4,534 | |
* | AFC Enterprises Inc. | 195,416 | 4,522 |
* | Drew Industries Inc. | 157,943 | 4,399 |
Pep Boys-Manny Moe & Jack | 438,380 | 4,340 | |
Stewart Enterprises Inc. Class A | 605,948 | 4,326 | |
Ethan Allen Interiors Inc. | 216,013 | 4,305 | |
* | Smith & Wesson Holding Corp. | 500,605 | 4,160 |
* | Scientific Games Corp. Class A | 484,691 | 4,144 |
Lithia Motors Inc. Class A | 179,631 | 4,141 | |
* | Capella Education Co. | 117,877 | 4,097 |
Sonic Automotive Inc. Class A | 288,905 | 3,949 | |
Core-Mark Holding Co. Inc. | 81,887 | 3,942 | |
* | Denny's Corp. | 869,731 | 3,862 |
* | Maidenform Brands Inc. | 193,247 | 3,849 |
3
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Arctic Cat Inc. | 104,086 | 3,805 |
Hot Topic Inc. | 391,823 | 3,797 | |
Movado Group Inc. | 151,640 | 3,794 | |
JAKKS Pacific Inc. | 228,491 | 3,658 | |
Harte-Hanks Inc. | 398,606 | 3,643 | |
* | LeapFrog Enterprises Inc. | 353,428 | 3,626 |
Sinclair Broadcast Group Inc. Class A | 397,139 | 3,598 | |
* | OfficeMax Inc. | 701,672 | 3,550 |
^ | RadioShack Corp. | 916,262 | 3,518 |
Blyth Inc. | 101,700 | 3,515 | |
^,* | Bridgepoint Education Inc. | 160,600 | 3,501 |
* | Ruby Tuesday Inc. | 512,199 | 3,488 |
* | Red Robin Gourmet Burgers Inc. | 111,712 | 3,408 |
* | Krispy Kreme Doughnuts Inc. | 530,938 | 3,393 |
* | Boyd Gaming Corp. | 465,507 | 3,352 |
^,* | Vera Bradley Inc. | 153,143 | 3,228 |
^,* | Blue Nile Inc. | 108,608 | 3,227 |
* | Career Education Corp. | 478,969 | 3,204 |
Superior Industries International Inc. | 191,510 | 3,135 | |
* | rue21 inc | 121,879 | 3,076 |
* | Beazer Homes USA Inc. | 924,318 | 3,004 |
Nutrisystem Inc. | 255,269 | 2,951 | |
Callaway Golf Co. | 490,221 | 2,897 | |
PetMed Express Inc. | 236,346 | 2,874 | |
^ | Allison Transmission Holdings Inc. | 161,156 | 2,830 |
* | M/I Homes Inc. | 163,142 | 2,826 |
* | G-III Apparel Group Ltd. | 115,814 | 2,744 |
Destination Maternity Corp. | 125,431 | 2,709 | |
* | Multimedia Games Holding Co. Inc. | 183,611 | 2,571 |
* | Digital Generation Inc. | 207,127 | 2,562 |
* | Modine Manufacturing Co. | 363,374 | 2,518 |
* | EW Scripps Co. Class A | 260,953 | 2,508 |
* | Quiksilver Inc. | 1,073,866 | 2,502 |
* | America's Car-Mart Inc. | 62,208 | 2,417 |
Marcus Corp. | 173,214 | 2,383 | |
* | Winnebago Industries Inc. | 231,364 | 2,358 |
* | Cavco Industries Inc. | 45,715 | 2,344 |
* | Amerigon Inc. | 202,482 | 2,327 |
Speedway Motorsports Inc. | 137,387 | 2,323 | |
Shoe Carnival Inc. | 106,201 | 2,282 | |
* | Fuel Systems Solutions Inc. | 136,716 | 2,282 |
Universal Technical Institute Inc. | 167,854 | 2,268 | |
* | Wet Seal Inc. Class A | 716,348 | 2,264 |
* | Rentrak Corp. | 107,715 | 2,224 |
World Wrestling Entertainment Inc. Class A | 280,501 | 2,194 | |
* | Exide Technologies | 629,636 | 2,116 |
Standard Motor Products Inc. | 145,426 | 2,048 | |
Clear Channel Outdoor Holdings Inc. Class A | 337,498 | 2,032 | |
* | Federal-Mogul Corp. | 183,142 | 2,015 |
* | Francesca's Holdings Corp. | 72,658 | 1,963 |
Haverty Furniture Cos. Inc. | 173,934 | 1,943 | |
* | Corinthian Colleges Inc. | 664,919 | 1,922 |
* | Tumi Holdings Inc. | 108,395 | 1,897 |
* | VOXX International Corp. Class A | 202,820 | 1,890 |
* | Ruth's Hospitality Group Inc. | 284,730 | 1,879 |
* | Steinway Musical Instruments Inc. | 76,122 | 1,865 |
* | Town Sports International Holdings Inc. | 137,437 | 1,827 |
* | Fiesta Restaurant Group Inc. | 137,968 | 1,825 |
* | Zagg Inc. | 165,666 | 1,807 |
^,* | hhgregg Inc. | 159,730 | 1,807 |
* | Stein Mart Inc. | 226,119 | 1,798 |
* | Citi Trends Inc. | 115,774 | 1,788 |
* | Kirkland's Inc. | 155,873 | 1,754 |
* | Libbey Inc. | 113,240 | 1,741 |
4
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | MarineMax Inc. | 181,578 | 1,727 |
Spartan Motors Inc. | 320,203 | 1,678 | |
* | Caribou Coffee Co. Inc. | 129,341 | 1,670 |
Big 5 Sporting Goods Corp. | 215,890 | 1,632 | |
* | Journal Communications Inc. Class A | 310,859 | 1,604 |
* | Universal Electronics Inc. | 120,911 | 1,592 |
* | Unifi Inc. | 138,392 | 1,568 |
* | Perry Ellis International Inc. | 74,317 | 1,542 |
* | Saga Communications Inc. Class A | 41,537 | 1,541 |
^,* | Hovnanian Enterprises Inc. Class A | 513,295 | 1,489 |
Ambassadors Group Inc. | 271,886 | 1,479 | |
Benihana Inc. Class A | 91,097 | 1,468 | |
* | Kenneth Cole Productions Inc. Class A | 94,876 | 1,428 |
^,* | Pandora Media Inc. | 131,133 | 1,425 |
bebe stores inc | 241,159 | 1,416 | |
* | Caesars Entertainment Corp. | 122,636 | 1,398 |
* | Conn's Inc. | 92,851 | 1,374 |
^,* | Mattress Firm Holding Corp. | 43,900 | 1,331 |
* | Education Management Corp. | 190,991 | 1,327 |
* | Talbots Inc. | 525,788 | 1,325 |
* | Bravo Brio Restaurant Group Inc. | 73,398 | 1,309 |
* | Stoneridge Inc. | 185,450 | 1,263 |
* | Tuesday Morning Corp. | 292,240 | 1,254 |
Lifetime Brands Inc. | 99,960 | 1,247 | |
* | Carmike Cinemas Inc. | 84,680 | 1,241 |
* | Cumulus Media Inc. Class A | 405,071 | 1,219 |
* | Rocky Brands Inc. | 89,284 | 1,178 |
CSS Industries Inc. | 56,571 | 1,163 | |
Lincoln Educational Services Corp. | 176,623 | 1,148 | |
* | West Marine Inc. | 96,752 | 1,137 |
Weyco Group Inc. | 48,942 | 1,134 | |
* | Fisher Communications Inc. | 37,868 | 1,133 |
Cherokee Inc. | 81,296 | 1,132 | |
Marine Products Corp. | 181,152 | 1,101 | |
* | Luby's Inc. | 161,382 | 1,081 |
* | Red Lion Hotels Corp. | 123,596 | 1,069 |
Bassett Furniture Industries Inc. | 102,310 | 1,055 | |
* | Morgans Hotel Group Co. | 219,791 | 1,033 |
* | Famous Dave's Of America Inc. | 93,260 | 1,031 |
* | MTR Gaming Group Inc. | 213,028 | 1,012 |
^,* | Skullcandy Inc. | 71,227 | 1,008 |
* | Overstock.com Inc. | 143,335 | 990 |
Flexsteel Industries Inc. | 49,946 | 988 | |
^,* | HomeAway Inc. | 44,030 | 957 |
* | Nexstar Broadcasting Group Inc. Class A | 140,999 | 950 |
Mac-Gray Corp. | 66,974 | 944 | |
* | Isle of Capri Casinos Inc. | 148,818 | 918 |
Tandy Leather Factory Inc. | 171,905 | 911 | |
* | Systemax Inc. | 76,005 | 898 |
Frisch's Restaurants Inc. | 31,659 | 897 | |
* | Casual Male Retail Group Inc. | 246,387 | 894 |
RG Barry Corp. | 65,040 | 884 | |
Collectors Universe | 59,401 | 872 | |
Winmark Corp. | 14,711 | 861 | |
^,* | Pacific Sunwear of California Inc. | 464,513 | 850 |
Culp Inc. | 81,245 | 833 | |
Martha Stewart Living Omnimedia Class A | 241,840 | 822 | |
* | Fiesta Restaurant Group Inc. | 137,968 | 820 |
AH Belo Corp. Class A | 203,788 | 819 | |
* | Entercom Communications Corp. Class A | 134,221 | 808 |
* | Nautilus Inc. | 243,823 | 807 |
* | LIN TV Corp. Class A | 260,096 | 786 |
* | Geeknet Inc. | 39,271 | 778 |
* | Gaiam Inc. Class A | 196,631 | 767 |
5
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Beasley Broadcasting Group Inc. Class A | 129,860 | 765 |
* | 1-800-Flowers.com Inc. Class A | 212,399 | 741 |
* | Black Diamond Inc. | 78,122 | 738 |
* | Orbitz Worldwide Inc. | 197,059 | 719 |
* | Jamba Inc. | 366,359 | 718 |
Hooker Furniture Corp. | 60,297 | 711 | |
Entravision Communications Corp. Class A | 581,230 | 703 | |
* | J Alexander's Corp. | 61,783 | 702 |
* | Dex One Corp. | 735,134 | 687 |
Shiloh Industries Inc. | 59,757 | 687 | |
* | McClatchy Co. Class A | 312,341 | 687 |
* | Charles & Colvard Ltd. | 179,486 | 677 |
* | K-Swiss Inc. Class A | 215,737 | 664 |
* | Rick's Cabaret International Inc. | 76,632 | 664 |
* | New York & Co. Inc. | 189,432 | 659 |
^ | Bon-Ton Stores Inc. | 82,607 | 645 |
Carriage Services Inc. Class A | 76,305 | 635 | |
* | Full House Resorts Inc. | 218,748 | 628 |
Dover Downs Gaming & Entertainment Inc. | 206,382 | 621 | |
* | Monarch Casino & Resort Inc. | 66,625 | 609 |
* | Trans World Entertainment Corp. | 194,851 | 604 |
* | Ballantyne Strong Inc. | 99,538 | 594 |
Outdoor Channel Holdings Inc. | 81,230 | 594 | |
* | Nathan's Famous Inc. | 20,071 | 592 |
Ark Restaurants Corp. | 40,973 | 592 | |
Strattec Security Corp. | 28,076 | 591 | |
* | Delta Apparel Inc. | 43,044 | 588 |
* | Crown Media Holdings Inc. Class A | 335,758 | 588 |
Escalade Inc. | 105,152 | 583 | |
* | Emmis Communications Corp. Class A | 301,213 | 554 |
* | Zale Corp. | 204,966 | 551 |
* | Cache Inc. | 112,504 | 522 |
^,* | Media General Inc. Class A | 112,740 | 520 |
* | Dixie Group Inc. | 131,974 | 502 |
* | Insignia Systems Inc. | 272,111 | 498 |
* | Sealy Corp. | 268,101 | 496 |
* | Perfumania Holdings Inc. | 59,718 | 495 |
* | Body Central Corp. | 54,799 | 493 |
* | Joe's Jeans Inc. | 468,051 | 491 |
* | Emerson Radio Corp. | 239,156 | 486 |
* | Build-A-Bear Workshop Inc. | 98,599 | 471 |
Williams Controls Inc. | 38,249 | 463 | |
* | Learning Tree International Inc. | 105,297 | 460 |
* | Valuevision Media Inc. Class A | 214,455 | 446 |
* | Furniture Brands International Inc. | 356,226 | 442 |
* | Teavana Holdings Inc. | 32,537 | 440 |
Gaming Partners International Corp. | 69,066 | 423 | |
* | Tower International Inc. | 40,313 | 423 |
* | Premier Exhibitions Inc. | 149,816 | 405 |
* | Kona Grill Inc. | 44,367 | 400 |
* | Hollywood Media Corp. | 319,978 | 384 |
* | Stanley Furniture Co. Inc. | 94,854 | 378 |
* | Summer Infant Inc. | 115,095 | 378 |
* | ReachLocal Inc. | 34,250 | 377 |
* | Gordmans Stores Inc. | 22,529 | 372 |
Christopher & Banks Corp. | 309,051 | 365 | |
* | Johnson Outdoors Inc. Class A | 17,506 | 361 |
* | School Specialty Inc. | 109,842 | 358 |
* | Century Casinos Inc. | 130,616 | 355 |
* | Navarre Corp. | 223,103 | 355 |
* | Vitacost.com Inc. | 60,001 | 354 |
Skyline Corp. | 68,938 | 350 | |
^,* | LodgeNet Interactive Corp. | 262,143 | 343 |
* | SuperMedia Inc. | 134,670 | 337 |
6
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Forward Industries Inc. | 190,865 | 332 |
^,* | Books-A-Million Inc. | 101,558 | 325 |
* | Dover Motorsports Inc. | 242,923 | 316 |
* | Coldwater Creek Inc. | 566,779 | 309 |
* | Heelys Inc. | 159,516 | 305 |
Duckwall-ALCO Stores Inc. | 34,684 | 303 | |
* | Spanish Broadcasting System Inc. | 73,134 | 297 |
* | Kid Brands Inc. | 145,135 | 290 |
* | Lakes Entertainment Inc. | 97,503 | 283 |
* | Golfsmith International Holdings Inc. | 44,379 | 269 |
* | CafePress Inc. | 17,770 | 264 |
* | Motorcar Parts of America Inc. | 56,445 | 253 |
* | UQM Technologies Inc. | 277,645 | 242 |
* | Nobility Homes Inc. | 40,811 | 232 |
* | Harris Interactive Inc. | 202,512 | 229 |
^,* | Dial Global Inc. | 68,324 | 227 |
Superior Uniform Group Inc. | 17,995 | 220 | |
Einstein Noah Restaurant Group Inc. | 11,408 | 200 | |
^,* | Empire Resorts Inc. | 99,968 | 185 |
^,* | Digital Domain Media Group Inc. | 28,425 | 178 |
* | Bidz.com Inc. | 208,755 | 158 |
^,* | American Apparel Inc. | 178,714 | 153 |
Lacrosse Footwear Inc. | 13,918 | 152 | |
* | Gray Television Inc. | 89,453 | 132 |
* | US Auto Parts Network Inc. | 29,615 | 124 |
* | Cobra Electronics Corp. | 27,608 | 121 |
* | Cambium Learning Group Inc. | 117,787 | 112 |
* | Appliance Recycling Centers of America Inc. | 24,098 | 101 |
* | Cosi Inc. | 126,640 | 90 |
* | Radio One Inc. Class A | 93,623 | 84 |
* | Comstock Homebuilding Cos. Inc. Class A | 53,637 | 70 |
* | Bluefly Inc. | 46,169 | 58 |
* | Entertainment Gaming Asia Inc. | 17,721 | 51 |
* | NTN Buzztime Inc. | 287,989 | 38 |
* | SPAR Group Inc. | 31,577 | 36 |
* | Nevada Gold & Casinos Inc. | 30,913 | 36 |
* | Quantum Fuel Systems Technologies Worldwide Inc. | 41,851 | 31 |
* | Cybex International Inc. | 17,990 | 29 |
* | Radio One Inc. | 25,533 | 24 |
* | Hallwood Group Inc. | 1,737 | 17 |
* | Meade Instruments Corp. | 4,548 | 17 |
* | dELiA*s Inc. | 8,665 | 13 |
* | Sport Chalet Inc. Class A | 5,160 | 8 |
* | Enova Systems Inc. | 13,800 | 1 |
* | Reading International Inc. Class A | 100 | 1 |
* | Here Media Inc. | 12,670 | — |
3,445,824 | |||
Consumer Staples (3.6%) | |||
Bunge Ltd. | 1,190,851 | 74,714 | |
Church & Dwight Co. Inc. | 1,139,221 | 63,193 | |
Herbalife Ltd. | 954,912 | 46,151 | |
* | Energizer Holdings Inc. | 536,699 | 40,387 |
Ingredion Inc. | 625,587 | 30,979 | |
* | Ralcorp Holdings Inc. | 452,274 | 30,185 |
* | Smithfield Foods Inc. | 1,314,470 | 28,432 |
Hillshire Brands Co. | 968,918 | 28,089 | |
* | Green Mountain Coffee Roasters Inc. | 1,079,965 | 23,522 |
* | United Natural Foods Inc. | 404,863 | 22,211 |
Flowers Foods Inc. | 920,504 | 21,383 | |
Nu Skin Enterprises Inc. Class A | 448,088 | 21,015 | |
* | Hain Celestial Group Inc. | 368,407 | 20,277 |
Casey's General Stores Inc. | 316,170 | 18,651 | |
* | TreeHouse Foods Inc. | 298,342 | 18,584 |
7
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Harris Teeter Supermarkets Inc. | 409,318 | 16,778 | |
* | Darling International Inc. | 973,896 | 16,060 |
* | Fresh Market Inc. | 231,048 | 12,391 |
Lancaster Colony Corp. | 165,344 | 11,774 | |
B&G Foods Inc. Class A | 401,743 | 10,686 | |
PriceSmart Inc. | 151,378 | 10,219 | |
Snyders-Lance Inc. | 389,102 | 9,817 | |
^ | SUPERVALU Inc. | 1,763,178 | 9,133 |
Universal Corp. | 193,169 | 8,949 | |
^,* | Boston Beer Co. Inc. Class A | 70,638 | 8,547 |
Vector Group Ltd. | 480,420 | 8,177 | |
Fresh Del Monte Produce Inc. | 345,337 | 8,105 | |
* | Elizabeth Arden Inc. | 203,942 | 7,915 |
* | Rite Aid Corp. | 5,434,784 | 7,609 |
Sanderson Farms Inc. | 160,454 | 7,352 | |
J&J Snack Foods Corp. | 120,321 | 7,111 | |
* | Post Holdings Inc. | 229,484 | 7,057 |
* | Prestige Brands Holdings Inc. | 419,442 | 6,631 |
WD-40 Co. | 132,856 | 6,618 | |
Andersons Inc. | 152,755 | 6,516 | |
* | Spectrum Brands Holdings Inc. | 197,309 | 6,426 |
* | Susser Holdings Corp. | 144,452 | 5,369 |
* | Pilgrim's Pride Corp. | 709,165 | 5,070 |
Tootsie Roll Industries Inc. | 211,562 | 5,048 | |
^,* | Star Scientific Inc. | 1,039,604 | 4,741 |
Cal-Maine Foods Inc. | 119,876 | 4,687 | |
* | Smart Balance Inc. | 484,876 | 4,553 |
* | Central Garden and Pet Co. Class A | 416,937 | 4,540 |
Weis Markets Inc. | 94,192 | 4,193 | |
Spartan Stores Inc. | 211,007 | 3,826 | |
^ | Diamond Foods Inc. | 183,182 | 3,268 |
* | Medifast Inc. | 144,794 | 2,850 |
Calavo Growers Inc. | 105,056 | 2,687 | |
* | Pantry Inc. | 180,552 | 2,654 |
* | Alliance One International Inc. | 710,024 | 2,457 |
* | Dole Food Co. Inc. | 266,289 | 2,338 |
Inter Parfums Inc. | 133,682 | 2,309 | |
Nash Finch Co. | 100,873 | 2,167 | |
Coca-Cola Bottling Co. Consolidated | 33,355 | 2,144 | |
* | USANA Health Sciences Inc. | 47,533 | 1,955 |
* | Schiff Nutrition International Inc. | 107,636 | 1,932 |
* | National Beverage Corp. | 128,402 | 1,918 |
* | Revlon Inc. Class A | 122,422 | 1,742 |
* | Chiquita Brands International Inc. | 346,296 | 1,731 |
Ingles Markets Inc. Class A | 104,147 | 1,669 | |
^,* | Central European Distribution Corp. | 566,322 | 1,620 |
* | Seneca Foods Corp. Class A | 59,494 | 1,600 |
Village Super Market Inc. Class A | 46,702 | 1,522 | |
* | John B Sanfilippo & Son Inc. | 82,011 | 1,464 |
Rocky Mountain Chocolate Factory Inc. | 105,587 | 1,226 | |
* | Nutraceutical International Corp. | 77,248 | 1,178 |
Oil-Dri Corp. of America | 52,194 | 1,143 | |
Alico Inc. | 35,899 | 1,096 | |
United-Guardian Inc. | 55,716 | 1,032 | |
Limoneira Co. | 59,281 | 962 | |
* | Omega Protein Corp. | 126,528 | 931 |
Lifeway Foods Inc. | 81,756 | 848 | |
* | Chefs' Warehouse Inc. | 46,020 | 831 |
* | Natural Alternatives International Inc. | 100,999 | 777 |
Roundy's Inc. | 74,900 | 765 | |
* | Annie's Inc. | 18,100 | 758 |
Nature's Sunshine Products Inc. | 49,551 | 748 | |
Arden Group Inc. | 8,037 | 701 | |
Female Health Co. | 113,025 | 663 |
8
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Farmer Bros Co. | 73,219 | 583 |
^,* | Synutra International Inc. | 100,215 | 541 |
MGP Ingredients Inc. | 153,372 | 492 | |
* | Overhill Farms Inc. | 118,661 | 465 |
* | Inventure Foods Inc. | 68,541 | 432 |
Orchids Paper Products Co. | 23,573 | 417 | |
* | Harbinger Group Inc. | 50,300 | 392 |
* | Craft Brew Alliance Inc. | 40,903 | 335 |
* | Physicians Formula Holdings Inc. | 76,739 | 268 |
* | S&W Seed Co. | 43,914 | 232 |
* | Crumbs Bake Shop Inc. | 82,203 | 181 |
* | Pizza Inn Holdings Inc. | 37,376 | 101 |
* | IGI Laboratories Inc. | 88,519 | 91 |
Reliv International Inc. | 44,259 | 71 | |
* | Mannatech Inc. | 7,432 | 51 |
^,* | Primo Water Corp. | 41,926 | 47 |
* | Jones Soda Co. | 62,161 | 20 |
* | Crystal Rock Holdings Inc. | 11,892 | 12 |
782,088 | |||
Energy (5.7%) | |||
* | Concho Resources Inc. | 852,635 | 72,576 |
HollyFrontier Corp. | 1,697,084 | 60,128 | |
Core Laboratories NV | 387,522 | 44,914 | |
Oceaneering International Inc. | 888,808 | 42,538 | |
* | Whiting Petroleum Corp. | 965,227 | 39,690 |
Cimarex Energy Co. | 703,836 | 38,795 | |
* | Plains Exploration & Production Co. | 1,056,699 | 37,175 |
* | Continental Resources Inc. | 459,299 | 30,599 |
^,* | Ultra Petroleum Corp. | 1,247,906 | 28,789 |
* | Oil States International Inc. | 426,412 | 28,228 |
* | Dresser-Rand Group Inc. | 617,241 | 27,492 |
* | Cobalt International Energy Inc. | 1,131,282 | 26,585 |
Energen Corp. | 588,536 | 26,561 | |
* | Superior Energy Services Inc. | 1,285,627 | 26,008 |
SM Energy Co. | 523,542 | 25,711 | |
* | Cheniere Energy Inc. | 1,532,307 | 22,586 |
World Fuel Services Corp. | 590,862 | 22,470 | |
* | McDermott International Inc. | 1,949,895 | 21,722 |
Energy XXI Bermuda Ltd. | 645,959 | 20,212 | |
Tidewater Inc. | 425,798 | 19,740 | |
* | SandRidge Energy Inc. | 2,887,337 | 19,316 |
* | Dril-Quip Inc. | 287,376 | 18,849 |
Patterson-UTI Energy Inc. | 1,283,921 | 18,694 | |
* | Atwood Oceanics Inc. | 470,885 | 17,818 |
* | Rosetta Resources Inc. | 441,916 | 16,192 |
* | SEACOR Holdings Inc. | 174,066 | 15,558 |
Berry Petroleum Co. Class A | 389,462 | 15,446 | |
Lufkin Industries Inc. | 275,877 | 14,986 | |
* | Helix Energy Solutions Group Inc. | 877,241 | 14,396 |
* | Unit Corp. | 344,641 | 12,714 |
^ | CARBO Ceramics Inc. | 164,854 | 12,649 |
Bristow Group Inc. | 296,353 | 12,053 | |
Arch Coal Inc. | 1,732,093 | 11,934 | |
* | Oasis Petroleum Inc. | 492,991 | 11,921 |
^,* | McMoRan Exploration Co. | 911,300 | 11,546 |
* | Hornbeck Offshore Services Inc. | 290,899 | 11,281 |
* | SemGroup Corp. Class A | 344,769 | 11,008 |
* | Stone Energy Corp. | 406,182 | 10,293 |
Western Refining Inc. | 445,182 | 9,914 | |
Targa Resources Corp. | 232,065 | 9,909 | |
^ | EXCO Resources Inc. | 1,260,765 | 9,569 |
* | Key Energy Services Inc. | 1,256,859 | 9,552 |
* | Cloud Peak Energy Inc. | 506,125 | 8,559 |
* | Bill Barrett Corp. | 394,762 | 8,456 |
9
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Northern Oil and Gas Inc. | 527,332 | 8,406 |
^,* | Clean Energy Fuels Corp. | 539,826 | 8,367 |
* | Gulfport Energy Corp. | 374,200 | 7,720 |
* | Carrizo Oil & Gas Inc. | 327,553 | 7,701 |
* | Forest Oil Corp. | 978,518 | 7,173 |
* | ION Geophysical Corp. | 1,060,009 | 6,985 |
* | Exterran Holdings Inc. | 531,402 | 6,775 |
* | Gulfmark Offshore Inc. | 198,949 | 6,772 |
* | Swift Energy Co. | 353,361 | 6,576 |
* | Comstock Resources Inc. | 397,781 | 6,532 |
^ | RPC Inc. | 535,118 | 6,363 |
* | Contango Oil & Gas Co. | 105,991 | 6,275 |
* | PDC Energy Inc. | 249,949 | 6,129 |
* | GeoResources Inc. | 165,902 | 6,074 |
^,* | Magnum Hunter Resources Corp. | 1,382,051 | 5,777 |
* | Approach Resources Inc. | 225,090 | 5,749 |
^,* | Quicksilver Resources Inc. | 982,540 | 5,325 |
* | Energy Partners Ltd. | 289,876 | 4,899 |
* | OYO Geospace Corp. | 52,952 | 4,765 |
Crosstex Energy Inc. | 339,236 | 4,749 | |
* | Hercules Offshore Inc. | 1,316,724 | 4,661 |
* | TETRA Technologies Inc. | 643,773 | 4,590 |
* | Newpark Resources Inc. | 756,145 | 4,461 |
W&T Offshore Inc. | 290,390 | 4,443 | |
* | Parker Drilling Co. | 964,503 | 4,350 |
* | Rentech Inc. | 2,097,348 | 4,321 |
* | Heckmann Corp. | 1,235,470 | 4,176 |
* | CVR Energy Inc. | 156,415 | 4,158 |
* | Pioneer Drilling Co. | 508,012 | 4,049 |
* | Vaalco Energy Inc. | 455,659 | 3,932 |
Gulf Island Fabrication Inc. | 134,749 | 3,801 | |
^,* | Endeavour International Corp. | 389,252 | 3,270 |
* | Rex Energy Corp. | 284,133 | 3,185 |
* | Abraxas Petroleum Corp. | 973,641 | 3,106 |
* | Goodrich Petroleum Corp. | 219,351 | 3,040 |
^,* | BPZ Resources Inc. | 1,175,821 | 2,975 |
* | Harvest Natural Resources Inc. | 344,017 | 2,941 |
* | Matrix Service Co. | 251,796 | 2,858 |
* | Resolute Energy Corp. | 291,160 | 2,786 |
Penn Virginia Corp. | 366,783 | 2,692 | |
* | Basic Energy Services Inc. | 236,573 | 2,441 |
^ | Overseas Shipholding Group Inc. | 219,212 | 2,435 |
* | Petroquest Energy Inc. | 463,285 | 2,316 |
* | Willbros Group Inc. | 355,757 | 2,298 |
* | Laredo Petroleum Holdings Inc. | 107,386 | 2,234 |
* | Clayton Williams Energy Inc. | 45,896 | 2,220 |
Delek US Holdings Inc. | 126,093 | 2,218 | |
* | Cal Dive International Inc. | 759,509 | 2,203 |
* | FX Energy Inc. | 364,228 | 2,167 |
* | Forum Energy Technologies Inc. | 109,513 | 2,156 |
* | Triangle Petroleum Corp. | 383,637 | 2,141 |
* | Vantage Drilling Co. | 1,426,603 | 2,140 |
* | PHI Inc. | 78,066 | 2,077 |
^,* | C&J Energy Services Inc. | 109,932 | 2,034 |
* | Venoco Inc. | 200,582 | 2,008 |
* | Mitcham Industries Inc. | 116,079 | 1,970 |
^,* | Halcon Resources Corp. | 205,629 | 1,941 |
^,* | Miller Energy Resources Inc. | 365,763 | 1,829 |
^,* | ATP Oil & Gas Corp. | 539,295 | 1,823 |
^,* | Hyperdynamics Corp. | 2,079,471 | 1,743 |
^,* | USEC Inc. | 1,580,831 | 1,565 |
* | Warren Resources Inc. | 602,817 | 1,447 |
^,* | Uranium Energy Corp. | 609,383 | 1,396 |
^,* | Patriot Coal Corp. | 1,118,042 | 1,364 |
10
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
^,* | ZaZa Energy Corp. | 298,283 | 1,348 |
* | Dawson Geophysical Co. | 55,963 | 1,333 |
* | Callon Petroleum Co. | 310,793 | 1,324 |
Bolt Technology Corp. | 86,555 | 1,299 | |
Panhandle Oil and Gas Inc. Class A | 42,985 | 1,296 | |
* | Midstates Petroleum Co. Inc. | 129,641 | 1,259 |
* | Sanchez Energy Corp. | 59,762 | 1,243 |
* | Natural Gas Services Group Inc. | 78,703 | 1,166 |
* | Evolution Petroleum Corp. | 132,298 | 1,103 |
* | CREDO Petroleum Corp. | 70,275 | 1,017 |
* | Verenium Corp. | 316,665 | 991 |
^,* | James River Coal Co. | 323,961 | 878 |
^,* | Amyris Inc. | 184,429 | 817 |
Alon USA Energy Inc. | 94,506 | 800 | |
^,* | Uranium Resources Inc. | 1,260,621 | 782 |
* | TGC Industries Inc. | 79,054 | 768 |
* | REX American Resources Corp. | 38,548 | 752 |
* | Westmoreland Coal Co. | 91,433 | 736 |
* | Crimson Exploration Inc. | 152,947 | 702 |
* | Bonanza Creek Energy Inc. | 37,307 | 620 |
* | Isramco Inc. | 5,453 | 600 |
^,* | Royale Energy Inc. | 189,557 | 597 |
* | Union Drilling Inc. | 130,162 | 583 |
* | Green Plains Renewable Energy Inc. | 90,809 | 567 |
^,* | KiOR Inc. | 62,243 | 557 |
^,* | Solazyme Inc. | 38,787 | 539 |
* | Syntroleum Corp. | 798,486 | 539 |
^,* | GMX Resources Inc. | 648,879 | 526 |
* | US Energy Corp. Wyoming | 217,963 | 514 |
* | Double Eagle Petroleum Co. | 116,717 | 511 |
Adams Resources & Energy Inc. | 11,853 | 497 | |
* | CAMAC Energy Inc. | 682,700 | 430 |
* | Tengasco Inc. | 534,687 | 428 |
* | Global Geophysical Services Inc. | 69,805 | 427 |
* | PHI Inc. | 14,659 | 408 |
Hallador Energy Co. | 47,085 | 399 | |
* | Magellan Petroleum Corp. | 330,649 | 364 |
* | Synergy Resources Corp. | 116,253 | 358 |
^,* | Saratoga Resources Inc. | 53,421 | 314 |
* | Matador Resources Co. | 29,200 | 314 |
* | HKN Inc. | 107,664 | 255 |
* | Voyager Oil & Gas Inc. | 134,105 | 236 |
* | RigNet Inc. | 13,045 | 227 |
^,* | Gevo Inc. | 44,098 | 219 |
^,* | Houston American Energy Corp. | 180,643 | 202 |
* | Pyramid Oil Co. | 44,033 | 201 |
^,* | Zion Oil & Gas Inc. | 123,393 | 194 |
* | ENGlobal Corp. | 128,231 | 192 |
* | Gasco Energy Inc. | 946,291 | 166 |
^,* | GreenHunter Energy Inc. | 73,068 | 149 |
* | Barnwell Industries Inc. | 46,909 | 139 |
* | FieldPoint Petroleum Corp. | 35,358 | 138 |
^,* | Pacific Ethanol Inc. | 352,071 | 125 |
^,* | Cubic Energy Inc. | 270,766 | 114 |
^,* | BioFuel Energy Corp. | 26,619 | 95 |
^,* | Lucas Energy Inc. | 57,694 | 85 |
* | PostRock Energy Corp. | 41,993 | 67 |
* | Forbes Energy Services Ltd. | 12,212 | 57 |
* | GeoMet Inc. | 138,562 | 44 |
* | FieldPoint Petroleum Corp. Warrants Exp 03/23/2017 | 33,558 | 27 |
^,* | Geokinetics Inc. | 47,753 | 13 |
* | GeoPetro Resources Co. | 31,100 | 4 |
* | Zion Oil & Gas Inc. Warrants Exp. 12/31/2012 | 12,066 | 2 |
* | Magnum Hunter Resources Corp. Warrants Exp. 10/14/2013 | 79,783 | — |
11
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* Petrocorp Inc. Escrow | 51,258 | — |
1,258,862 | ||
Financials (21.3%) | ||
General Growth Properties Inc. | 4,822,153 | 87,233 |
Digital Realty Trust Inc. | 890,540 | 66,853 |
Macerich Co. | 1,086,752 | 64,173 |
SL Green Realty Corp. | 734,490 | 58,935 |
* CIT Group Inc. | 1,646,004 | 58,664 |
Federal Realty Investment Trust | 521,531 | 54,286 |
UDR Inc. | 2,052,648 | 53,040 |
* Affiliated Managers Group Inc. | 420,737 | 46,050 |
Realty Income Corp. | 1,095,455 | 45,757 |
New York Community Bancorp Inc. | 3,599,127 | 45,097 |
Rayonier Inc. | 999,293 | 44,868 |
Everest Re Group Ltd. | 432,384 | 44,747 |
Camden Property Trust | 657,850 | 44,517 |
Essex Property Trust Inc. | 289,015 | 44,485 |
* Alleghany Corp. | 119,751 | 40,685 |
Taubman Centers Inc. | 481,157 | 37,126 |
Alexandria Real Estate Equities Inc. | 509,707 | 37,066 |
WR Berkley Corp. | 923,656 | 35,949 |
Liberty Property Trust | 957,597 | 35,278 |
* Markel Corp. | 79,546 | 35,135 |
Regency Centers Corp. | 738,050 | 35,109 |
Fidelity National Financial Inc. Class A | 1,818,264 | 35,020 |
TD Ameritrade Holding Corp. | 2,022,673 | 34,385 |
Arthur J Gallagher & Co. | 967,722 | 33,938 |
* MSCI Inc. Class A | 995,338 | 33,861 |
RenaissanceRe Holdings Ltd. | 427,097 | 32,464 |
Reinsurance Group of America Inc. Class A | 601,537 | 32,008 |
Duke Realty Corp. | 2,178,376 | 31,891 |
BRE Properties Inc. | 629,148 | 31,470 |
Raymond James Financial Inc. | 914,655 | 31,318 |
Senior Housing Properties Trust | 1,327,452 | 29,629 |
Ares Capital Corp. | 1,810,737 | 28,899 |
Cullen/Frost Bankers Inc. | 500,802 | 28,791 |
East West Bancorp Inc. | 1,186,536 | 27,836 |
American Campus Communities Inc. | 612,293 | 27,541 |
* American Capital Ltd. | 2,689,189 | 27,080 |
Kilroy Realty Corp. | 559,100 | 27,066 |
DDR Corp. | 1,827,838 | 26,760 |
Douglas Emmett Inc. | 1,139,541 | 26,323 |
^ Validus Holdings Ltd. | 814,320 | 26,083 |
Weingarten Realty Investors | 989,005 | 26,050 |
HCC Insurance Holdings Inc. | 829,572 | 26,049 |
Extra Space Storage Inc. | 850,501 | 26,025 |
Brown & Brown Inc. | 947,099 | 25,827 |
Lazard Ltd. Class A | 981,181 | 25,501 |
Eaton Vance Corp. | 943,085 | 25,416 |
Jones Lang LaSalle Inc. | 358,896 | 25,255 |
Hospitality Properties Trust | 1,008,265 | 24,975 |
White Mountains Insurance Group Ltd. | 47,833 | 24,957 |
National Retail Properties Inc. | 878,090 | 24,841 |
Piedmont Office Realty Trust Inc. Class A | 1,426,928 | 24,557 |
Commerce Bancshares Inc. | 646,086 | 24,487 |
Home Properties Inc. | 398,859 | 24,474 |
Tanger Factory Outlet Centers | 758,985 | 24,325 |
American Financial Group Inc. | 619,618 | 24,308 |
Allied World Assurance Co. Holdings AG | 304,364 | 24,188 |
CBL & Associates Properties Inc. | 1,230,738 | 24,049 |
BioMed Realty Trust Inc. | 1,258,059 | 23,501 |
SEI Investments Co. | 1,181,243 | 23,495 |
Equity Lifestyle Properties Inc. | 339,534 | 23,418 |
* Signature Bank | 381,855 | 23,282 |
12
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Mid-America Apartment Communities Inc. | 334,013 | 22,793 | |
ProAssurance Corp. | 253,753 | 22,607 | |
First Niagara Financial Group Inc. | 2,921,649 | 22,351 | |
Post Properties Inc. | 442,151 | 21,643 | |
Waddell & Reed Financial Inc. Class A | 710,726 | 21,521 | |
Assured Guaranty Ltd. | 1,512,871 | 21,331 | |
* | SVB Financial Group | 362,511 | 21,287 |
Mack-Cali Realty Corp. | 729,146 | 21,196 | |
Hancock Holding Co. | 691,739 | 21,057 | |
LaSalle Hotel Properties | 711,022 | 20,719 | |
Highwoods Properties Inc. | 605,978 | 20,391 | |
CBOE Holdings Inc. | 716,913 | 19,844 | |
Protective Life Corp. | 663,663 | 19,518 | |
Omega Healthcare Investors Inc. | 867,148 | 19,511 | |
Associated Banc-Corp | 1,444,677 | 19,055 | |
City National Corp. | 388,914 | 18,893 | |
Old Republic International Corp. | 2,153,481 | 17,852 | |
Valley National Bancorp | 1,635,632 | 17,338 | |
* | Ocwen Financial Corp. | 920,883 | 17,294 |
Bank of Hawaii Corp. | 371,491 | 17,070 | |
Aspen Insurance Holdings Ltd. | 587,650 | 16,983 | |
* | Forest City Enterprises Inc. Class A | 1,159,681 | 16,931 |
Fulton Financial Corp. | 1,662,995 | 16,613 | |
Alterra Capital Holdings Ltd. | 710,045 | 16,580 | |
* | First Republic Bank | 492,341 | 16,543 |
Prosperity Bancshares Inc. | 392,173 | 16,483 | |
Jefferies Group Inc. | 1,248,557 | 16,219 | |
Colonial Properties Trust | 729,793 | 16,158 | |
Susquehanna Bancshares Inc. | 1,553,005 | 15,996 | |
Capitol Federal Financial Inc. | 1,344,661 | 15,975 | |
Entertainment Properties Trust | 387,395 | 15,926 | |
Erie Indemnity Co. Class A | 220,351 | 15,779 | |
Washington REIT | 549,531 | 15,634 | |
Healthcare Realty Trust Inc. | 647,437 | 15,435 | |
CNO Financial Group Inc. | 1,976,549 | 15,417 | |
TCF Financial Corp. | 1,330,893 | 15,279 | |
Washington Federal Inc. | 892,767 | 15,079 | |
FirstMerit Corp. | 906,830 | 14,981 | |
DuPont Fabros Technology Inc. | 523,301 | 14,945 | |
First American Financial Corp. | 875,902 | 14,855 | |
Hanover Insurance Group Inc. | 373,851 | 14,629 | |
Brandywine Realty Trust | 1,183,790 | 14,608 | |
DiamondRock Hospitality Co. | 1,394,725 | 14,226 | |
American Realty Capital Trust Inc. | 1,300,753 | 14,204 | |
* | Popular Inc. | 850,191 | 14,122 |
Corporate Office Properties Trust | 598,173 | 14,063 | |
UMB Financial Corp. | 269,533 | 13,808 | |
* | Stifel Financial Corp. | 446,203 | 13,788 |
StanCorp Financial Group Inc. | 368,448 | 13,692 | |
* | Howard Hughes Corp. | 221,254 | 13,638 |
Endurance Specialty Holdings Ltd. | 355,270 | 13,614 | |
^,* | MBIA Inc. | 1,235,338 | 13,354 |
Webster Financial Corp. | 610,631 | 13,226 | |
CommonWealth REIT | 687,106 | 13,137 | |
Trustmark Corp. | 533,238 | 13,054 | |
Synovus Financial Corp. | 6,579,675 | 13,028 | |
CapitalSource Inc. | 1,918,391 | 12,892 | |
DCT Industrial Trust Inc. | 2,040,487 | 12,855 | |
Kemper Corp. | 416,111 | 12,795 | |
Apollo Investment Corp. | 1,662,402 | 12,767 | |
* | Texas Capital Bancshares Inc. | 313,860 | 12,677 |
FNB Corp. | 1,157,189 | 12,579 | |
Mercury General Corp. | 300,916 | 12,539 | |
EastGroup Properties Inc. | 231,962 | 12,364 |
13
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
BOK Financial Corp. | 211,986 | 12,338 |
Janus Capital Group Inc. | 1,565,087 | 12,239 |
Umpqua Holdings Corp. | 929,723 | 12,235 |
* St. Joe Co. | 763,135 | 12,065 |
Sovran Self Storage Inc. | 240,656 | 12,054 |
CubeSmart | 1,011,291 | 11,802 |
Glimcher Realty Trust | 1,142,303 | 11,674 |
National Health Investors Inc. | 227,963 | 11,608 |
LPL Financial Holdings Inc. | 340,094 | 11,485 |
Platinum Underwriters Holdings Ltd. | 291,291 | 11,098 |
^ Prospect Capital Corp. | 971,267 | 11,063 |
Westamerica Bancorporation | 233,338 | 11,011 |
* Sunstone Hotel Investors Inc. | 984,804 | 10,823 |
* Altisource Portfolio Solutions SA | 147,625 | 10,811 |
Medical Properties Trust Inc. | 1,123,629 | 10,809 |
Cathay General Bancorp | 653,394 | 10,788 |
Cash America International Inc. | 243,795 | 10,737 |
Wintrust Financial Corp. | 301,623 | 10,708 |
Potlatch Corp. | 334,016 | 10,668 |
Montpelier Re Holdings Ltd. | 500,255 | 10,650 |
Iberiabank Corp. | 210,496 | 10,620 |
Equity One Inc. | 495,919 | 10,513 |
PS Business Parks Inc. | 154,410 | 10,457 |
Primerica Inc. | 375,740 | 10,044 |
Pebblebrook Hotel Trust | 428,703 | 9,993 |
BancorpSouth Inc. | 682,484 | 9,910 |
National Penn Bancshares Inc. | 1,024,618 | 9,806 |
* Knight Capital Group Inc. Class A | 817,711 | 9,763 |
United Bankshares Inc. | 375,381 | 9,715 |
* First Cash Financial Services Inc. | 241,741 | 9,711 |
MB Financial Inc. | 448,753 | 9,666 |
Sun Communities Inc. | 216,744 | 9,589 |
* Strategic Hotels & Resorts Inc. | 1,475,746 | 9,533 |
^ Lexington Realty Trust | 1,122,843 | 9,510 |
RLI Corp. | 139,209 | 9,494 |
Northwest Bancshares Inc. | 810,225 | 9,488 |
BankUnited Inc. | 401,940 | 9,478 |
Old National Bancorp | 786,181 | 9,442 |
Glacier Bancorp Inc. | 597,687 | 9,258 |
LTC Properties Inc. | 252,708 | 9,168 |
* First Industrial Realty Trust Inc. | 726,207 | 9,165 |
First Financial Bankshares Inc. | 261,455 | 9,036 |
Symetra Financial Corp. | 702,363 | 8,864 |
Community Bank System Inc. | 325,772 | 8,835 |
International Bancshares Corp. | 441,559 | 8,619 |
Education Realty Trust Inc. | 777,676 | 8,617 |
Greenhill & Co. Inc. | 240,258 | 8,565 |
* Ezcorp Inc. Class A | 363,919 | 8,538 |
CVB Financial Corp. | 729,256 | 8,496 |
Acadia Realty Trust | 360,097 | 8,347 |
* PHH Corp. | 469,588 | 8,208 |
MarketAxess Holdings Inc. | 299,802 | 7,987 |
Selective Insurance Group Inc. | 454,844 | 7,919 |
First Financial Bancorp | 484,230 | 7,738 |
Hersha Hospitality Trust Class A | 1,458,827 | 7,703 |
* World Acceptance Corp. | 114,543 | 7,537 |
PrivateBancorp Inc. Class A | 499,358 | 7,371 |
Bank of the Ozarks Inc. | 238,345 | 7,169 |
* BBCN Bancorp Inc. | 647,515 | 7,051 |
* Financial Engines Inc. | 328,620 | 7,049 |
Alexander's Inc. | 16,090 | 6,937 |
Pennsylvania REIT | 460,690 | 6,901 |
Provident Financial Services Inc. | 446,585 | 6,855 |
Park National Corp. | 98,169 | 6,847 |
14
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Fifth Street Finance Corp. | 683,456 | 6,821 |
Astoria Financial Corp. | 695,989 | 6,821 |
First Midwest Bancorp Inc. | 620,791 | 6,816 |
Tower Group Inc. | 326,090 | 6,805 |
* Enstar Group Ltd. | 68,308 | 6,758 |
* DFC Global Corp. | 366,097 | 6,747 |
Cousins Properties Inc. | 865,307 | 6,706 |
First Citizens BancShares Inc. Class A | 39,937 | 6,655 |
American Assets Trust Inc. | 273,850 | 6,641 |
Government Properties Income Trust | 293,234 | 6,633 |
PacWest Bancorp | 278,691 | 6,597 |
Franklin Street Properties Corp. | 599,653 | 6,344 |
* TFS Financial Corp. | 659,218 | 6,296 |
Argo Group International Holdings Ltd. | 211,372 | 6,187 |
Columbia Banking System Inc. | 328,623 | 6,185 |
CNA Financial Corp. | 222,890 | 6,178 |
* Greenlight Capital Re Ltd. Class A | 235,742 | 5,993 |
* Investors Bancorp Inc. | 395,608 | 5,970 |
NBT Bancorp Inc. | 276,375 | 5,967 |
Amtrust Financial Services Inc. | 199,509 | 5,927 |
First Commonwealth Financial Corp. | 872,086 | 5,869 |
Horace Mann Educators Corp. | 331,440 | 5,794 |
Boston Private Financial Holdings Inc. | 647,926 | 5,786 |
Home BancShares Inc. | 185,299 | 5,666 |
Infinity Property & Casualty Corp. | 98,200 | 5,663 |
* Citizens Republic Bancorp Inc. | 330,237 | 5,657 |
* Pinnacle Financial Partners Inc. | 287,977 | 5,618 |
* Sterling Financial Corp. | 292,906 | 5,533 |
Investors Real Estate Trust | 691,708 | 5,464 |
Oritani Financial Corp. | 378,287 | 5,444 |
American Equity Investment Life Holding Co. | 491,988 | 5,417 |
Inland Real Estate Corp. | 643,947 | 5,396 |
* Western Alliance Bancorp | 569,607 | 5,332 |
Associated Estates Realty Corp. | 351,992 | 5,262 |
Sabra Health Care REIT Inc. | 305,762 | 5,232 |
Independent Bank Corp. | 178,683 | 5,219 |
* Virtus Investment Partners Inc. | 63,980 | 5,182 |
Brookline Bancorp Inc. | 583,451 | 5,164 |
Safety Insurance Group Inc. | 126,391 | 5,137 |
Cohen & Steers Inc. | 147,158 | 5,078 |
Evercore Partners Inc. Class A | 213,130 | 4,985 |
Retail Opportunity Investments Corp. | 413,151 | 4,983 |
First Potomac Realty Trust | 418,985 | 4,931 |
Employers Holdings Inc. | 271,265 | 4,894 |
* FelCor Lodging Trust Inc. | 1,034,204 | 4,861 |
Hudson Pacific Properties Inc. | 278,329 | 4,846 |
Chemical Financial Corp. | 224,207 | 4,820 |
* MGIC Investment Corp. | 1,657,195 | 4,773 |
PennantPark Investment Corp. | 460,958 | 4,771 |
Ramco-Gershenson Properties Trust | 379,420 | 4,769 |
Ashford Hospitality Trust Inc. | 563,785 | 4,753 |
Universal Health Realty Income Trust | 114,424 | 4,752 |
Interactive Brokers Group Inc. | 322,186 | 4,743 |
KBW Inc. | 287,564 | 4,730 |
Triangle Capital Corp. | 207,424 | 4,725 |
Saul Centers Inc. | 109,740 | 4,705 |
Apollo Residential Mortgage Inc. | 240,963 | 4,646 |
Hercules Technology Growth Capital Inc. | 408,235 | 4,629 |
BlackRock Kelso Capital Corp. | 471,326 | 4,600 |
S&T Bancorp Inc. | 248,655 | 4,593 |
Getty Realty Corp. | 239,726 | 4,591 |
WesBanco Inc. | 213,845 | 4,546 |
Chesapeake Lodging Trust | 263,441 | 4,536 |
^ Main Street Capital Corp. | 187,102 | 4,528 |
15
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* National Financial Partners Corp. | 335,186 | 4,491 |
* Navigators Group Inc. | 89,515 | 4,480 |
SCBT Financial Corp. | 123,878 | 4,367 |
City Holding Co. | 129,082 | 4,349 |
RLJ Lodging Trust | 237,036 | 4,297 |
Coresite Realty Corp. | 164,362 | 4,244 |
Community Trust Bancorp Inc. | 126,429 | 4,234 |
ViewPoint Financial Group Inc. | 268,319 | 4,196 |
Radian Group Inc. | 1,272,979 | 4,188 |
TrustCo Bank Corp. NY | 764,480 | 4,174 |
Nelnet Inc. Class A | 180,725 | 4,157 |
* PICO Holdings Inc. | 182,476 | 4,089 |
* iStar Financial Inc. | 625,222 | 4,033 |
* AMERISAFE Inc. | 153,708 | 3,989 |
American National Insurance Co. | 55,227 | 3,936 |
United Fire Group Inc. | 182,544 | 3,894 |
* West Coast Bancorp | 197,339 | 3,878 |
* State Bank Financial Corp. | 255,128 | 3,868 |
BGC Partners Inc. Class A | 637,868 | 3,744 |
* Credit Acceptance Corp. | 44,113 | 3,724 |
Monmouth Real Estate Investment Corp. Class A | 313,573 | 3,675 |
* Forestar Group Inc. | 286,387 | 3,669 |
Flushing Financial Corp. | 269,056 | 3,667 |
Urstadt Biddle Properties Inc. Class A | 184,013 | 3,638 |
Oriental Financial Group Inc. | 328,132 | 3,636 |
Maiden Holdings Ltd. | 417,803 | 3,627 |
* Wilshire Bancorp Inc. | 657,328 | 3,602 |
* Hanmi Financial Corp. | 343,163 | 3,596 |
* HFF Inc. Class A | 256,346 | 3,573 |
Meadowbrook Insurance Group Inc. | 405,176 | 3,561 |
FBL Financial Group Inc. Class A | 126,770 | 3,551 |
* Green Dot Corp. Class A | 157,209 | 3,477 |
Duff & Phelps Corp. Class A | 239,608 | 3,474 |
Dime Community Bancshares Inc. | 261,071 | 3,470 |
Renasant Corp. | 210,102 | 3,301 |
Berkshire Hills Bancorp Inc. | 148,398 | 3,265 |
National Interstate Corp. | 122,549 | 3,259 |
MCG Capital Corp. | 703,668 | 3,237 |
* Ameris Bancorp | 252,228 | 3,178 |
* Hilltop Holdings Inc. | 306,685 | 3,162 |
* Citizens Inc. | 323,562 | 3,155 |
Simmons First National Corp. Class A | 135,072 | 3,140 |
* Safeguard Scientifics Inc. | 197,947 | 3,064 |
* Investment Technology Group Inc. | 329,944 | 3,035 |
* eHealth Inc. | 187,254 | 3,017 |
Lakeland Financial Corp. | 111,897 | 3,002 |
* Tejon Ranch Co. | 104,520 | 2,991 |
Sandy Spring Bancorp Inc. | 164,269 | 2,957 |
* ICG Group Inc. | 316,274 | 2,926 |
* Piper Jaffray Cos. | 124,422 | 2,915 |
Kennedy-Wilson Holdings Inc. | 203,563 | 2,852 |
Winthrop Realty Trust | 233,506 | 2,839 |
* Taylor Capital Group Inc. | 171,117 | 2,805 |
* Eagle Bancorp Inc. | 177,357 | 2,793 |
* Central Pacific Financial Corp. | 193,132 | 2,727 |
* OmniAmerican Bancorp Inc. | 127,148 | 2,725 |
Flagstone Reinsurance Holdings SA | 338,727 | 2,713 |
Southside Bancshares Inc. | 120,608 | 2,711 |
Washington Trust Bancorp Inc. | 110,588 | 2,696 |
Cardinal Financial Corp. | 219,453 | 2,695 |
^ TowneBank | 190,917 | 2,673 |
* Bancorp Inc. | 282,494 | 2,670 |
Agree Realty Corp. | 120,478 | 2,666 |
Great Southern Bancorp Inc. | 95,932 | 2,646 |
16
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
First Financial Corp. | 90,916 | 2,637 |
* NewStar Financial Inc. | 198,400 | 2,571 |
Tompkins Financial Corp. | 68,165 | 2,568 |
* Guaranty Bancorp | 1,207,920 | 2,549 |
National Western Life Insurance Co. Class A | 17,908 | 2,541 |
Excel Trust Inc. | 211,490 | 2,529 |
Campus Crest Communities Inc. | 237,961 | 2,472 |
Bancfirst Corp. | 58,758 | 2,463 |
* Beneficial Mutual Bancorp Inc. | 284,881 | 2,459 |
* Doral Financial Corp. | 1,589,400 | 2,384 |
TICC Capital Corp. | 244,738 | 2,374 |
SY Bancorp Inc. | 99,103 | 2,373 |
* Southwest Bancorp Inc. | 248,549 | 2,339 |
Banner Corp. | 105,522 | 2,312 |
Stewart Information Services Corp. | 150,128 | 2,304 |
Federal Agricultural Mortgage Corp. | 87,833 | 2,304 |
MVC Capital Inc. | 176,391 | 2,284 |
* Virginia Commerce Bancorp Inc. | 269,271 | 2,270 |
German American Bancorp Inc. | 108,359 | 2,221 |
OneBeacon Insurance Group Ltd. Class A | 167,499 | 2,181 |
First Busey Corp. | 449,317 | 2,170 |
* Rouse Properties Inc. | 159,835 | 2,166 |
Heartland Financial USA Inc. | 90,109 | 2,163 |
Epoch Holding Corp. | 94,802 | 2,160 |
* United Community Banks Inc. | 251,070 | 2,152 |
Republic Bancorp Inc. Class A | 96,673 | 2,151 |
* Metro Bancorp Inc. | 178,634 | 2,149 |
* Pacific Capital Bancorp | 46,928 | 2,146 |
* First California Financial Group Inc. | 310,075 | 2,133 |
WSFS Financial Corp. | 52,629 | 2,127 |
Kite Realty Group Trust | 425,926 | 2,125 |
Capital Southwest Corp. | 20,466 | 2,105 |
MainSource Financial Group Inc. | 177,749 | 2,103 |
Camden National Corp. | 57,021 | 2,088 |
GAMCO Investors Inc. | 46,987 | 2,086 |
* WisdomTree Investments Inc. | 317,364 | 2,085 |
* INTL. FCStone Inc. | 107,168 | 2,074 |
First Merchants Corp. | 166,161 | 2,070 |
* 1st United Bancorp Inc. | 333,242 | 2,069 |
Sterling Bancorp | 202,942 | 2,025 |
Parkway Properties Inc. | 175,563 | 2,008 |
One Liberty Properties Inc. | 106,184 | 1,999 |
StellarOne Corp. | 159,825 | 1,995 |
* Park Sterling Corp. | 423,485 | 1,995 |
Washington Banking Co. | 142,447 | 1,980 |
First Connecticut Bancorp Inc. | 146,616 | 1,979 |
OceanFirst Financial Corp. | 136,541 | 1,961 |
* Nationstar Mortgage Holdings Inc. | 90,623 | 1,950 |
Golub Capital BDC Inc. | 128,982 | 1,946 |
Kearny Financial Corp. | 200,316 | 1,941 |
Arrow Financial Corp. | 80,215 | 1,939 |
Rockville Financial Inc. | 166,359 | 1,925 |
Gladstone Commercial Corp. | 115,080 | 1,917 |
* Preferred Bank | 141,928 | 1,896 |
Provident New York Bancorp | 246,843 | 1,874 |
West Bancorporation Inc. | 195,669 | 1,861 |
Cedar Realty Trust Inc. | 368,424 | 1,861 |
Univest Corp. of Pennsylvania | 112,328 | 1,857 |
FXCM Inc. Class A | 156,524 | 1,841 |
Calamos Asset Management Inc. Class A | 160,145 | 1,834 |
Mission West Properties Inc. | 212,482 | 1,832 |
Baldwin & Lyons Inc. | 77,243 | 1,795 |
Financial Institutions Inc. | 106,344 | 1,795 |
* Suffolk Bancorp | 137,645 | 1,785 |
17
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Lakeland Bancorp Inc. | 169,346 | 1,782 | |
* | Franklin Financial Corp. | 108,069 | 1,778 |
* | Walker & Dunlop Inc. | 138,341 | 1,778 |
Peoples Bancorp Inc. | 80,575 | 1,771 | |
Arlington Asset Investment Corp. Class A | 80,705 | 1,752 | |
* | First Financial Northwest Inc. | 215,650 | 1,751 |
* | Global Indemnity plc | 85,969 | 1,741 |
Westfield Financial Inc. | 238,320 | 1,740 | |
Territorial Bancorp Inc. | 76,276 | 1,737 | |
National Bankshares Inc. | 57,523 | 1,733 | |
Bank Mutual Corp. | 391,976 | 1,729 | |
Thomas Properties Group Inc. | 315,623 | 1,717 | |
Union First Market Bankshares Corp. | 118,332 | 1,710 | |
GFI Group Inc. | 477,831 | 1,701 | |
Hudson Valley Holding Corp. | 93,513 | 1,693 | |
Edelman Financial Group Inc. | 194,492 | 1,692 | |
* | Heritage Commerce Corp. | 259,111 | 1,684 |
Presidential Life Corp. | 168,307 | 1,654 | |
SeaBright Holdings Inc. | 185,867 | 1,652 | |
Northfield Bancorp Inc. | 115,982 | 1,648 | |
* | Bridge Capital Holdings | 100,545 | 1,624 |
* | Macatawa Bank Corp. | 473,983 | 1,616 |
* | Tree.com Inc. | 141,281 | 1,616 |
* | Phoenix Cos. Inc. | 873,085 | 1,615 |
Retail Properties of America Inc. | 166,012 | 1,614 | |
Westwood Holdings Group Inc. | 43,292 | 1,613 | |
Summit Hotel Properties Inc. | 189,399 | 1,585 | |
* | North Valley Bancorp | 119,995 | 1,583 |
* | Seacoast Banking Corp. of Florida | 1,027,904 | 1,552 |
* | Sun Bancorp Inc. | 566,948 | 1,531 |
STAG Industrial Inc. | 104,702 | 1,527 | |
* | Flagstar Bancorp Inc. | 1,815,167 | 1,525 |
* | Mercantile Bank Corp. | 82,011 | 1,513 |
Citizens & Northern Corp. | 78,965 | 1,504 | |
* | BofI Holding Inc. | 75,124 | 1,484 |
* | Pacific Mercantile Bancorp | 213,953 | 1,478 |
First Interstate Bancsystem Inc. | 102,329 | 1,457 | |
Heritage Financial Corp. | 98,647 | 1,445 | |
1st Source Corp. | 63,430 | 1,433 | |
State Auto Financial Corp. | 102,022 | 1,433 | |
United Financial Bancorp Inc. | 99,597 | 1,432 | |
* | Netspend Holdings Inc. | 155,684 | 1,431 |
Kohlberg Capital Corp. | 196,129 | 1,424 | |
CapLease Inc. | 340,906 | 1,415 | |
* | Ladenburg Thalmann Financial Services Inc. | 917,949 | 1,414 |
Northrim BanCorp Inc. | 65,237 | 1,402 | |
Bryn Mawr Bank Corp. | 65,958 | 1,390 | |
Oppenheimer Holdings Inc. Class A | 88,124 | 1,385 | |
Eastern Insurance Holdings Inc. | 80,964 | 1,376 | |
First Community Bancshares Inc. | 94,706 | 1,367 | |
* | Intervest Bancshares Corp. Class A | 353,150 | 1,353 |
^,* | Zillow Inc. Class A | 34,862 | 1,347 |
Consolidated-Tomoka Land Co. | 46,226 | 1,330 | |
* | Cowen Group Inc. Class A | 499,173 | 1,328 |
First of Long Island Corp. | 45,411 | 1,316 | |
* | Meridian Interstate Bancorp Inc. | 93,129 | 1,296 |
MicroFinancial Inc. | 156,934 | 1,271 | |
* | Harris & Harris Group Inc. | 334,378 | 1,271 |
Artio Global Investors Inc. Class A | 362,359 | 1,268 | |
Century Bancorp Inc. Class A | 42,568 | 1,266 | |
CoBiz Financial Inc. | 200,596 | 1,256 | |
* | NewBridge Bancorp | 286,445 | 1,255 |
BankFinancial Corp. | 165,745 | 1,248 | |
* | BSB Bancorp Inc. | 97,802 | 1,247 |
18
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
EMC Insurance Group Inc. | 61,353 | 1,239 | |
Chatham Lodging Trust | 86,635 | 1,237 | |
Diamond Hill Investment Group Inc. | 15,722 | 1,231 | |
Marlin Business Services Corp. | 74,836 | 1,227 | |
Merchants Bancshares Inc. | 44,131 | 1,216 | |
Kansas City Life Insurance Co. | 34,496 | 1,214 | |
Medallion Financial Corp. | 113,668 | 1,207 | |
Centerstate Banks Inc. | 168,828 | 1,207 | |
ESSA Bancorp Inc. | 111,135 | 1,200 | |
Penns Woods Bancorp Inc. | 29,801 | 1,186 | |
First Bancorp | 132,582 | 1,179 | |
* | United Community Financial Corp. | 386,076 | 1,150 |
* | MetroCorp Bancshares Inc. | 106,210 | 1,133 |
* | SWS Group Inc. | 212,343 | 1,132 |
Donegal Group Inc. Class B | 63,194 | 1,130 | |
* | Cape Bancorp Inc. | 135,853 | 1,129 |
Trico Bancshares | 73,177 | 1,127 | |
Gladstone Investment Corp. | 150,167 | 1,110 | |
* | Gramercy Capital Corp. | 434,160 | 1,085 |
Kaiser Federal Financial Group Inc. | 73,120 | 1,081 | |
Center Bancorp Inc. | 96,047 | 1,081 | |
Orrstown Financial Services Inc. | 134,465 | 1,080 | |
Manning & Napier Inc. | 75,297 | 1,071 | |
Home Federal Bancorp Inc. | 101,725 | 1,068 | |
* | AmeriServ Financial Inc. | 378,247 | 1,067 |
American National Bankshares Inc. | 45,249 | 1,066 | |
Terreno Realty Corp. | 69,728 | 1,054 | |
* | Unity Bancorp Inc. | 174,680 | 1,048 |
Gladstone Capital Corp. | 132,357 | 1,044 | |
ESB Financial Corp. | 79,087 | 1,044 | |
First Bancorp Inc. | 61,084 | 1,038 | |
Home Loan Servicing Solutions Ltd. | 77,100 | 1,033 | |
Clifton Savings Bancorp Inc. | 99,139 | 1,032 | |
NGP Capital Resources Co. | 145,667 | 1,031 | |
^,* | First BanCorp | 258,601 | 1,024 |
First Financial Holdings Inc. | 93,161 | 999 | |
Indiana Community Bancorp | 45,407 | 987 | |
Fox Chase Bancorp Inc. | 64,911 | 937 | |
UMH Properties Inc. | 86,280 | 926 | |
Pzena Investment Management Inc. Class A | 204,614 | 906 | |
Encore Bancshares Inc. | 43,675 | 901 | |
* | American Safety Insurance Holdings Ltd. | 48,046 | 901 |
Enterprise Financial Services Corp. | 81,745 | 896 | |
* | Chicopee Bancorp Inc. | 61,071 | 884 |
Provident Financial Holdings Inc. | 75,794 | 874 | |
* | Gyrodyne Co. of America Inc. | 7,546 | 863 |
Pulaski Financial Corp. | 114,567 | 849 | |
MutualFirst Financial Inc. | 80,909 | 849 | |
Bridge Bancorp Inc. | 35,823 | 845 | |
Meta Financial Group Inc. | 41,575 | 829 | |
* | MBT Financial Corp. | 295,318 | 812 |
Crawford & Co. Class B | 197,436 | 807 | |
CNB Financial Corp. | 48,553 | 792 | |
Fidelity Southern Corp. | 90,738 | 784 | |
Capital City Bank Group Inc. | 105,606 | 778 | |
* | First South Bancorp Inc. | 187,860 | 761 |
* | AV Homes Inc. | 52,075 | 759 |
* | Capital Bank Corp. | 330,919 | 754 |
TF Financial Corp. | 30,391 | 749 | |
* | Republic First Bancorp Inc. | 355,622 | 743 |
Urstadt Biddle Properties Inc. | 38,700 | 727 | |
Bank of Marin Bancorp | 19,563 | 724 | |
* | Select Income REIT | 30,300 | 720 |
* | Peoples Federal Bancshares Inc. | 42,783 | 714 |
19
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Peapack Gladstone Financial Corp. | 44,800 | 695 | |
* | FBR & Co. | 248,575 | 689 |
* | Yadkin Valley Financial Corp. | 259,588 | 688 |
Nicholas Financial Inc. | 53,412 | 685 | |
* | NASB Financial Inc. | 33,383 | 663 |
Ames National Corp. | 28,456 | 654 | |
Tortoise Capital Resources Corp. | 73,033 | 653 | |
* | BankAtlantic Bancorp Inc. Class A | 117,471 | 648 |
^,* | Heritage Oaks Bancorp | 114,891 | 640 |
New Hampshire Thrift Bancshares Inc. | 51,320 | 636 | |
Ocean Shore Holding Co. | 48,911 | 619 | |
* | BancTrust Financial Group Inc. | 203,197 | 608 |
Donegal Group Inc. Class A | 45,533 | 605 | |
* | Timberland Bancorp Inc. | 121,702 | 604 |
Citizens South Banking Corp. | 88,810 | 602 | |
Pacific Continental Corp. | 67,217 | 596 | |
Harleysville Savings Financial Corp. | 33,765 | 594 | |
Alliance Financial Corp. | 16,941 | 582 | |
* | Riverview Bancorp Inc. | 465,363 | 582 |
PMC Commercial Trust | 75,358 | 580 | |
* | MPG Office Trust Inc. | 288,542 | 580 |
* | Southern Community Financial Corp. | 182,721 | 577 |
* | Firstcity Financial Corp. | 66,475 | 575 |
* | Waterstone Financial Inc. | 149,047 | 566 |
Beacon Federal Bancorp Inc. | 28,519 | 566 | |
* | ZipRealty Inc. | 379,635 | 554 |
* | 21st Century Holding Co. | 136,422 | 546 |
Middleburg Financial Corp. | 31,977 | 544 | |
BCB Bancorp Inc. | 52,135 | 541 | |
* | Louisiana Bancorp Inc. | 33,668 | 539 |
Peoples Bancorp of North Carolina Inc. | 64,718 | 527 | |
* | American River Bankshares | 72,121 | 525 |
Universal Insurance Holdings Inc. | 153,511 | 523 | |
QC Holdings Inc. | 124,354 | 521 | |
VIST Financial Corp. | 44,345 | 515 | |
JMP Group Inc. | 82,133 | 508 | |
Independence Holding Co. | 51,428 | 507 | |
* | Pacific Premier Bancorp Inc. | 60,030 | 504 |
US Global Investors Inc. Class A | 113,665 | 497 | |
Bank of Commerce Holdings | 120,358 | 491 | |
* | Gleacher & Co. Inc. | 600,340 | 480 |
First Defiance Financial Corp. | 27,165 | 465 | |
* | Citizens Community Bancorp Inc. | 81,210 | 465 |
Firstbank Corp. | 46,094 | 461 | |
Sierra Bancorp | 46,020 | 456 | |
* | Oak Valley Bancorp | 64,647 | 450 |
* | Cascade Bancorp | 75,420 | 447 |
CFS Bancorp Inc. | 96,333 | 431 | |
* | Tower Financial Corp. | 40,861 | 419 |
First Pactrust Bancorp Inc. | 34,940 | 414 | |
Citizens Holding Co. | 21,952 | 412 | |
* | First United Corp. | 95,024 | 410 |
* | Community Bankers Trust Corp. | 227,842 | 403 |
Ohio Valley Banc Corp. | 20,624 | 403 | |
* | ASB Bancorp Inc. | 27,036 | 385 |
Bar Harbor Bankshares | 10,605 | 382 | |
Bank of Kentucky Financial Corp. | 14,291 | 381 | |
New Mountain Finance Corp. | 26,587 | 377 | |
* | First Marblehead Corp. | 321,542 | 376 |
* | Farmers Capital Bank Corp. | 56,979 | 374 |
* | CompuCredit Holdings Corp. | 102,303 | 370 |
* | United Security Bancshares | 167,206 | 368 |
* | 1st Constitution Bancorp | 38,638 | 364 |
* | Hampton Roads Bankshares Inc.Rights | 236,462 | 362 |
20
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Roma Financial Corp. | 41,866 | 357 | |
Hawthorn Bancshares Inc. | 38,922 | 356 | |
* | Colony Bankcorp Inc. | 75,066 | 355 |
* | WSB Holdings Inc. | 130,152 | 353 |
* | OBA Financial Services Inc. | 23,617 | 351 |
Shore Bancshares Inc. | 58,546 | 348 | |
Investors Title Co. | 5,777 | 329 | |
* | Summit Financial Group Inc. | 63,467 | 319 |
* | PVF Capital Corp. | 156,141 | 317 |
* | Maui Land & Pineapple Co. Inc. | 84,228 | 316 |
* | Western Liberty Bancorp | 108,191 | 314 |
* | Hallmark Financial Services | 40,120 | 313 |
* | Old Second Bancorp Inc. | 231,418 | 301 |
^ | Life Partners Holdings Inc. | 139,231 | 297 |
^,* | Hampton Roads Bankshares Inc. | 256,213 | 279 |
Southern National Bancorp of Virginia Inc. | 36,675 | 278 | |
Teche Holding Co. | 7,151 | 278 | |
* | Independent Bank Corp. | 109,673 | 275 |
Hampden Bancorp Inc. | 20,735 | 268 | |
* | Guaranty Federal Bancshares Inc. | 33,020 | 266 |
MidWestOne Financial Group Inc. | 12,267 | 264 | |
* | Home Bancorp Inc. | 15,334 | 263 |
* | BRT Realty Trust | 39,982 | 260 |
^,* | First Federal Bancshares of Arkansas Inc. | 31,737 | 257 |
Federal Agricultural Mortgage Corp. Class A | 12,788 | 253 | |
Heritage Financial Group Inc. | 19,456 | 250 | |
* | Southcoast Financial Corp. | 100,892 | 250 |
* | Stratus Properties Inc. | 27,459 | 247 |
* | United Security Bancshares | 48,284 | 240 |
* | Berkshire Bancorp Inc. | 27,283 | 240 |
* | Prudential Bancorp Inc. of Pennsylvania | 41,906 | 225 |
* | Newport Bancorp Inc. | 16,119 | 223 |
* | Imperial Holdings Inc. | 57,141 | 219 |
^ | Fidus Investment Corp. | 14,328 | 217 |
Norwood Financial Corp. | 7,639 | 216 | |
* | Consumer Portfolio Services Inc. | 108,078 | 207 |
* | Camco Financial Corp. | 90,601 | 201 |
* | Supertel Hospitality Inc. | 210,925 | 198 |
* | First Acceptance Corp. | 147,208 | 197 |
C&F Financial Corp. | 4,700 | 189 | |
^,* | Premierwest Bancorp | 127,874 | 180 |
MHI Hospitality Corp. | 49,434 | 177 | |
* | Investors Capital Holdings Ltd. | 42,539 | 174 |
First Citizens Banc Corp. | 27,708 | 172 | |
* | CIFC Corp. | 23,274 | 172 |
Monarch Financial Holdings Inc. | 17,206 | 169 | |
* | Savannah Bancorp Inc. | 34,251 | 166 |
* | Jefferson Bancshares Inc. | 70,123 | 165 |
FedFirst Financial Corp. | 11,376 | 163 | |
* | Xenith Bankshares Inc. | 36,561 | 152 |
* | Community Partners Bancorp | 26,379 | 147 |
* | Parke Bancorp Inc. | 26,948 | 140 |
First Bancshares Inc. | 15,169 | 140 | |
* | HMN Financial Inc. | 45,747 | 140 |
Old Point Financial Corp. | 12,862 | 139 | |
Preferred Apartment Communities Inc. Class A | 19,123 | 135 | |
Gain Capital Holdings Inc. | 25,425 | 127 | |
MidSouth Bancorp Inc. | 8,906 | 125 | |
* | Premier Financial Bancorp Inc. | 15,989 | 120 |
Codorus Valley Bancorp Inc. | 8,848 | 119 | |
* | Central Valley Community Bancorp | 16,807 | 118 |
* | BCSB Bancorp Inc. | 8,358 | 114 |
First Clover Leaf Financial Corp. | 18,338 | 112 | |
* | Valley Financial Corp. | 13,798 | 109 |
21
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
^ | Farmers National Banc Corp. | 17,306 | 108 |
Saratoga Investment Corp. | 6,221 | 105 | |
* | New Century Bancorp Inc. | 21,884 | 103 |
* | Wolverine Bancorp Inc. | 5,854 | 97 |
* | First Savings Financial Group Inc. | 5,346 | 94 |
Cheviot Financial Corp. | 10,598 | 91 | |
* | IF Bancorp Inc. | 6,414 | 85 |
* | Anchor Bancorp Inc. | 8,200 | 85 |
* | United Bancshares Inc. | 8,752 | 79 |
* | Royal Bancshares of Pennsylvania Inc. | 39,973 | 72 |
Glen Burnie Bancorp | 6,610 | 70 | |
* | Southern First Bancshares Inc. | 8,373 | 68 |
* | Alliance Bankshares Corp. | 15,303 | 67 |
Enterprise Bancorp Inc. | 3,947 | 65 | |
Peoples Financial Corp. | 6,186 | 60 | |
Horizon Bancorp | 2,144 | 56 | |
* | Rurban Financial Corp. | 7,440 | 52 |
* | First Financial Service Corp. | 22,276 | 50 |
Naugatuck Valley Financial Corp. | 6,300 | 47 | |
* | First Security Group Inc. | 15,041 | 45 |
Southwest Georgia Financial Corp. | 4,435 | 44 | |
* | Magyar Bancorp Inc. | 10,365 | 43 |
* | Atlantic Coast Financial Corp. | 17,372 | 40 |
^,* | Penson Worldwide Inc. | 253,319 | 39 |
* | 1st Century Bancshares Inc. | 7,605 | 36 |
United Bancorp Inc. | 3,747 | 34 | |
Oconee Federal Financial Corp. | 2,383 | 31 | |
Kentucky First Federal Bancorp | 3,587 | 30 | |
* | Porter Bancorp Inc. | 19,841 | 30 |
Homeowners Choice Inc. | 1,700 | 30 | |
BNC Bancorp | 3,655 | 29 | |
Whitestone REIT Class B | 2,000 | 28 | |
Bank of South Carolina Corp. | 2,451 | 27 | |
Princeton National Bancorp Inc. | 38,572 | 22 | |
Presidential Realty Corp. Class B | 46,000 | 21 | |
* | Direct Markets Holdings Corp. | 55,107 | 21 |
Greene County Bancorp Inc. | 1,080 | 20 | |
Britton & Koontz Capital Corp. | 2,350 | 18 | |
* | Malvern Federal Bancorp Inc. | 2,050 | 17 |
* | Severn Bancorp Inc. | 5,194 | 16 |
United Community Bancorp | 2,700 | 15 | |
* | Rand Capital Corp. | 5,450 | 15 |
First West Virginia Bancorp | 881 | 13 | |
* | First Capital Bancorp Inc. | 5,724 | 13 |
Mid Penn Bancorp Inc. | 1,284 | 13 | |
American Realty Capital Properties Inc. | 1,200 | 12 | |
* | Sussex Bancorp | 2,400 | 12 |
First Capital Inc. | 510 | 11 | |
* | Eastern Virginia Bankshares Inc. | 2,459 | 9 |
HF Financial Corp. | 373 | 5 | |
* | Village Bank and Trust Financial Corp. | 2,400 | 3 |
Laporte Bancorp Inc. | 300 | 3 | |
* | Siebert Financial Corp. | 1,336 | 2 |
Oneida Financial Corp. | 188 | 2 | |
* | Jacksonville Bancorp Inc. | 1,210 | 2 |
* | Community Financial Corp. | 300 | 1 |
* | American Spectrum Realty Inc. | 100 | — |
* | Transcontinental Realty Investors Inc. | 100 | — |
* | Ohio Legacy Corp. | 100 | — |
4,679,897 | |||
Health Care (11.7%) | |||
* | Vertex Pharmaceuticals Inc. | 1,722,440 | 96,319 |
* | Regeneron Pharmaceuticals Inc. | 636,562 | 72,708 |
* | Henry Schein Inc. | 737,581 | 57,893 |
22
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | IDEXX Laboratories Inc. | 451,120 | 43,366 |
* | Illumina Inc. | 1,009,608 | 40,778 |
* | Mettler-Toledo International Inc. | 257,253 | 40,093 |
HCA Holdings Inc. | 1,289,168 | 39,229 | |
* | Hologic Inc. | 2,171,291 | 39,170 |
* | Catalyst Health Solutions Inc. | 414,461 | 38,727 |
* | Amylin Pharmaceuticals Inc. | 1,336,738 | 37,736 |
* | BioMarin Pharmaceutical Inc. | 950,021 | 37,602 |
* | ResMed Inc. | 1,169,277 | 36,481 |
* | Onyx Pharmaceuticals Inc. | 525,302 | 34,906 |
Universal Health Services Inc. Class B | 794,633 | 34,296 | |
Cooper Cos. Inc. | 388,113 | 30,956 | |
* | Gen-Probe Inc. | 375,579 | 30,873 |
* | Endo Health Solutions Inc. | 958,880 | 29,706 |
Omnicare Inc. | 927,144 | 28,955 | |
* | MEDNAX Inc. | 401,428 | 27,514 |
* | Medivation Inc. | 295,594 | 27,017 |
* | Questcor Pharmaceuticals Inc. | 496,913 | 26,456 |
* | AMERIGROUP Corp. | 399,594 | 26,337 |
* | Salix Pharmaceuticals Ltd. | 475,651 | 25,894 |
* | Cepheid Inc. | 540,378 | 24,182 |
* | Incyte Corp. Ltd. | 1,056,861 | 23,991 |
Lincare Holdings Inc. | 704,713 | 23,974 | |
* | HMS Holdings Corp. | 711,661 | 23,705 |
* | Pharmacyclics Inc. | 428,679 | 23,410 |
* | Vivus Inc. | 818,241 | 23,353 |
* | athenahealth Inc. | 294,342 | 23,303 |
* | Ariad Pharmaceuticals Inc. | 1,302,688 | 22,419 |
Techne Corp. | 300,454 | 22,294 | |
* | United Therapeutics Corp. | 439,466 | 21,701 |
* | Covance Inc. | 452,540 | 21,654 |
* | Human Genome Sciences Inc. | 1,624,605 | 21,331 |
* | Seattle Genetics Inc. | 823,585 | 20,911 |
* | Community Health Systems Inc. | 745,090 | 20,885 |
Teleflex Inc. | 338,476 | 20,617 | |
* | Cubist Pharmaceuticals Inc. | 522,752 | 19,818 |
* | Align Technology Inc. | 574,323 | 19,217 |
* | WellCare Health Plans Inc. | 355,915 | 18,864 |
* | HealthSouth Corp. | 784,673 | 18,252 |
* | Allscripts Healthcare Solutions Inc. | 1,582,107 | 17,292 |
Medicis Pharmaceutical Corp. Class A | 489,274 | 16,709 | |
* | Health Net Inc. | 688,025 | 16,698 |
* | Myriad Genetics Inc. | 699,629 | 16,630 |
* | Health Management Associates Inc. Class A | 2,113,003 | 16,587 |
* | LifePoint Hospitals Inc. | 401,660 | 16,460 |
* | Bio-Rad Laboratories Inc. Class A | 164,054 | 16,407 |
* | Thoratec Corp. | 485,247 | 16,295 |
Owens & Minor Inc. | 527,694 | 16,163 | |
^,* | Arena Pharmaceuticals Inc. | 1,604,430 | 16,012 |
* | VCA Antech Inc. | 725,381 | 15,944 |
Hill-Rom Holdings Inc. | 514,220 | 15,864 | |
* | Haemonetics Corp. | 208,926 | 15,484 |
* | Sirona Dental Systems Inc. | 342,542 | 15,418 |
* | Brookdale Senior Living Inc. Class A | 854,285 | 15,155 |
STERIS Corp. | 478,748 | 15,018 | |
West Pharmaceutical Services Inc. | 280,537 | 14,164 | |
* | PAREXEL International Corp. | 494,390 | 13,957 |
* | Alkermes plc | 807,048 | 13,696 |
* | ViroPharma Inc. | 569,009 | 13,486 |
* | Charles River Laboratories International Inc. | 406,141 | 13,305 |
* | Alere Inc. | 666,430 | 12,955 |
* | Theravance Inc. | 574,710 | 12,770 |
* | Centene Corp. | 422,858 | 12,753 |
* | Volcano Corp. | 437,074 | 12,522 |
23
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Jazz Pharmaceuticals plc | 252,319 | 11,357 |
* | Impax Laboratories Inc. | 552,254 | 11,194 |
* | Par Pharmaceutical Cos. Inc. | 303,648 | 10,974 |
* | MWI Veterinary Supply Inc. | 105,744 | 10,867 |
* | Auxilium Pharmaceuticals Inc. | 399,198 | 10,734 |
* | Masimo Corp. | 477,274 | 10,681 |
* | Immunogen Inc. | 633,449 | 10,629 |
* | Medicines Co. | 452,545 | 10,381 |
* | Magellan Health Services Inc. | 225,999 | 10,245 |
* | Bruker Corp. | 761,486 | 10,135 |
* | Isis Pharmaceuticals Inc. | 826,521 | 9,918 |
Chemed Corp. | 159,169 | 9,620 | |
^,* | Dendreon Corp. | 1,264,136 | 9,355 |
* | Cyberonics Inc. | 205,911 | 9,254 |
* | Air Methods Corp. | 93,815 | 9,217 |
* | Ironwood Pharmaceuticals Inc. Class A | 660,227 | 9,098 |
* | Neogen Corp. | 195,530 | 9,034 |
Quality Systems Inc. | 328,296 | 9,031 | |
* | NuVasive Inc. | 354,434 | 8,988 |
* | PSS World Medical Inc. | 426,185 | 8,946 |
* | Akorn Inc. | 559,611 | 8,825 |
* | HeartWare International Inc. | 98,571 | 8,753 |
* | Lexicon Pharmaceuticals Inc. | 3,764,658 | 8,471 |
* | Insulet Corp. | 394,707 | 8,435 |
^,* | MAKO Surgical Corp. | 307,441 | 7,874 |
* | Amsurg Corp. Class A | 261,866 | 7,851 |
* | Acorda Therapeutics Inc. | 329,908 | 7,773 |
* | Nektar Therapeutics | 948,736 | 7,656 |
* | Luminex Corp. | 308,519 | 7,556 |
* | DexCom Inc. | 560,199 | 7,260 |
* | Hanger Inc. | 282,918 | 7,254 |
Meridian Bioscience Inc. | 342,959 | 7,017 | |
* | Wright Medical Group Inc. | 326,523 | 6,971 |
* | Exelixis Inc. | 1,231,172 | 6,808 |
* | ArthroCare Corp. | 229,375 | 6,716 |
^,* | Spectrum Pharmaceuticals Inc. | 429,946 | 6,690 |
* | Abaxis Inc. | 180,458 | 6,677 |
* | Endologix Inc. | 422,691 | 6,526 |
CONMED Corp. | 232,905 | 6,445 | |
* | Halozyme Therapeutics Inc. | 726,934 | 6,441 |
* | Orthofix International NV | 153,053 | 6,313 |
Analogic Corp. | 101,741 | 6,308 | |
* | ABIOMED Inc. | 275,591 | 6,289 |
* | NxStage Medical Inc. | 372,908 | 6,250 |
* | IPC The Hospitalist Co. Inc. | 137,228 | 6,219 |
* | NPS Pharmaceuticals Inc. | 714,845 | 6,155 |
* | Integra LifeSciences Holdings Corp. | 165,396 | 6,149 |
* | Dynavax Technologies Corp. | 1,400,390 | 6,050 |
* | Medidata Solutions Inc. | 184,357 | 6,023 |
^,* | Optimer Pharmaceuticals Inc. | 387,373 | 6,012 |
* | Team Health Holdings Inc. | 243,133 | 5,857 |
* | Idenix Pharmaceuticals Inc. | 568,638 | 5,857 |
* | Genomic Health Inc. | 167,670 | 5,600 |
* | MedAssets Inc. | 412,463 | 5,548 |
* | Molina Healthcare Inc. | 236,201 | 5,541 |
* | ICU Medical Inc. | 102,401 | 5,466 |
* | Rigel Pharmaceuticals Inc. | 586,339 | 5,453 |
* | Bio-Reference Labs Inc. | 206,854 | 5,436 |
* | InterMune Inc. | 451,874 | 5,400 |
^,* | Opko Health Inc. | 1,134,758 | 5,220 |
Computer Programs & Systems Inc. | 91,188 | 5,218 | |
* | MModal Inc. | 399,704 | 5,188 |
* | Conceptus Inc. | 259,452 | 5,142 |
* | Exact Sciences Corp. | 468,228 | 5,019 |
24
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Momenta Pharmaceuticals Inc. | 367,099 | 4,963 |
* | Merit Medical Systems Inc. | 349,034 | 4,820 |
* | OraSure Technologies Inc. | 415,931 | 4,675 |
Cantel Medical Corp. | 170,698 | 4,652 | |
Landauer Inc. | 79,311 | 4,547 | |
Ensign Group Inc. | 156,282 | 4,418 | |
* | Greatbatch Inc. | 193,715 | 4,399 |
* | AVANIR Pharmaceuticals Inc. | 1,106,220 | 4,336 |
* | Curis Inc. | 773,992 | 4,180 |
* | Kindred Healthcare Inc. | 418,386 | 4,113 |
* | Sunrise Senior Living Inc. | 558,420 | 4,071 |
Invacare Corp. | 256,534 | 3,958 | |
* | Omnicell Inc. | 264,025 | 3,865 |
* | Accuray Inc. | 553,234 | 3,784 |
* | Emeritus Corp. | 223,035 | 3,754 |
* | Affymax Inc. | 281,967 | 3,632 |
* | HealthStream Inc. | 136,506 | 3,549 |
National Healthcare Corp. | 77,885 | 3,523 | |
* | Sequenom Inc. | 865,860 | 3,515 |
* | Neurocrine Biosciences Inc. | 432,520 | 3,421 |
* | Quidel Corp. | 217,034 | 3,403 |
* | ZIOPHARM Oncology Inc. | 567,106 | 3,374 |
* | ExamWorks Group Inc. | 253,120 | 3,349 |
* | Universal American Corp. | 315,662 | 3,324 |
* | Corvel Corp. | 67,291 | 3,297 |
* | Select Medical Holdings Corp. | 322,141 | 3,257 |
* | Spectranetics Corp. | 285,079 | 3,256 |
* | Ligand Pharmaceuticals Inc. Class B | 191,621 | 3,246 |
* | AVEO Pharmaceuticals Inc. | 266,265 | 3,238 |
* | Antares Pharma Inc. | 883,865 | 3,217 |
US Physical Therapy Inc. | 126,001 | 3,204 | |
* | Affymetrix Inc. | 673,661 | 3,159 |
^,* | Accretive Health Inc. | 286,722 | 3,143 |
* | MAP Pharmaceuticals Inc. | 206,811 | 3,098 |
* | Alnylam Pharmaceuticals Inc. | 265,460 | 3,098 |
* | Endocyte Inc. | 372,378 | 3,061 |
^,* | Oncothyreon Inc. | 649,115 | 3,038 |
* | Achillion Pharmaceuticals Inc. | 487,330 | 3,021 |
* | Celldex Therapeutics Inc. | 579,288 | 3,007 |
* | Arqule Inc. | 506,240 | 3,002 |
* | Enzon Pharmaceuticals Inc. | 436,421 | 2,998 |
^,* | Threshold Pharmaceuticals Inc. | 404,715 | 2,995 |
^,* | Navidea Biopharmaceuticals Inc. | 797,779 | 2,968 |
* | BioScrip Inc. | 397,428 | 2,953 |
* | Amedisys Inc. | 232,008 | 2,889 |
eResearchTechnology Inc. | 353,057 | 2,821 | |
* | Sciclone Pharmaceuticals Inc. | 385,589 | 2,703 |
* | Pacira Pharmaceuticals Inc. | 167,525 | 2,687 |
* | Hi-Tech Pharmacal Co. Inc. | 82,506 | 2,673 |
* | Natus Medical Inc. | 229,494 | 2,667 |
* | Emergent Biosolutions Inc. | 173,714 | 2,632 |
* | Depomed Inc. | 460,219 | 2,619 |
* | Infinity Pharmaceuticals Inc. | 191,952 | 2,603 |
* | AMAG Pharmaceuticals Inc. | 165,599 | 2,550 |
* | PharMerica Corp. | 230,046 | 2,512 |
Assisted Living Concepts Inc. Class A | 175,135 | 2,490 | |
* | Triple-S Management Corp. Class B | 133,001 | 2,431 |
* | Corcept Therapeutics Inc. | 536,343 | 2,408 |
* | Symmetry Medical Inc. | 280,535 | 2,407 |
* | Santarus Inc. | 338,820 | 2,402 |
* | Vical Inc. | 661,914 | 2,383 |
* | Array BioPharma Inc. | 681,513 | 2,365 |
* | SurModics Inc. | 135,394 | 2,342 |
* | AngioDynamics Inc. | 194,570 | 2,337 |
25
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | MannKind Corp. | 1,013,871 | 2,322 |
* | Geron Corp. | 1,335,392 | 2,297 |
* | LHC Group Inc. | 135,307 | 2,295 |
* | Immunomedics Inc. | 636,181 | 2,271 |
* | Dyax Corp. | 1,066,134 | 2,271 |
* | Medtox Scientific Inc. | 82,477 | 2,224 |
* | Metropolitan Health Networks Inc. | 224,455 | 2,148 |
* | Sangamo Biosciences Inc. | 375,781 | 2,074 |
* | Healthways Inc. | 258,849 | 2,066 |
* | Obagi Medical Products Inc. | 134,253 | 2,050 |
^,* | Clovis Oncology Inc. | 94,399 | 2,047 |
* | Orexigen Therapeutics Inc. | 368,166 | 2,040 |
* | Staar Surgical Co. | 257,607 | 2,002 |
* | Acadia Healthcare Co. Inc. | 112,817 | 1,979 |
Atrion Corp. | 9,524 | 1,952 | |
* | Cambrex Corp. | 201,611 | 1,897 |
* | Progenics Pharmaceuticals Inc. | 182,798 | 1,788 |
* | XenoPort Inc. | 295,044 | 1,782 |
* | Capital Senior Living Corp. | 165,367 | 1,753 |
* | XOMA Corp. | 574,105 | 1,722 |
* | Almost Family Inc. | 76,058 | 1,699 |
* | Cerus Corp. | 497,028 | 1,650 |
* | Gentiva Health Services Inc. | 237,638 | 1,647 |
* | Vascular Solutions Inc. | 128,599 | 1,615 |
* | BioCryst Pharmaceuticals Inc. | 405,736 | 1,615 |
* | Providence Service Corp. | 116,484 | 1,597 |
* | Cynosure Inc. Class A | 75,254 | 1,592 |
* | AMN Healthcare Services Inc. | 267,758 | 1,588 |
* | Sucampo Pharmaceuticals Inc. Class A | 225,836 | 1,588 |
* | Amicus Therapeutics Inc. | 287,733 | 1,583 |
* | Maxygen Inc. | 261,703 | 1,560 |
^,* | Osiris Therapeutics Inc. | 142,135 | 1,559 |
* | Palomar Medical Technologies Inc. | 179,138 | 1,523 |
^,* | Cytori Therapeutics Inc. | 559,996 | 1,512 |
* | Pain Therapeutics Inc. | 317,949 | 1,491 |
* | Raptor Pharmaceutical Corp. | 261,408 | 1,461 |
* | Omeros Corp. | 145,671 | 1,457 |
* | Dusa Pharmaceuticals Inc. | 274,523 | 1,433 |
* | Sun Healthcare Group Inc. | 170,621 | 1,428 |
^,* | Cell Therapeutics Inc. | 2,449,364 | 1,421 |
^,* | Keryx Biopharmaceuticals Inc. | 786,307 | 1,415 |
* | RTI Biologics Inc. | 366,590 | 1,378 |
* | Fluidigm Corp. | 89,844 | 1,351 |
* | IRIS International Inc. | 118,263 | 1,336 |
* | Vanguard Health Systems Inc. | 148,199 | 1,318 |
* | Furiex Pharmaceuticals Inc. | 62,537 | 1,310 |
* | CryoLife Inc. | 245,732 | 1,285 |
* | GTx Inc. | 360,741 | 1,273 |
* | Novavax Inc. | 815,288 | 1,272 |
* | Anika Therapeutics Inc. | 89,618 | 1,218 |
* | Repligen Corp. | 282,391 | 1,214 |
* | Synergy Pharmaceuticals Inc. | 251,468 | 1,195 |
* | Synageva BioPharma Corp. | 29,399 | 1,192 |
* | Alphatec Holdings Inc. | 639,341 | 1,176 |
* | Synta Pharmaceuticals Corp. | 213,216 | 1,166 |
* | Vanda Pharmaceuticals Inc. | 264,125 | 1,162 |
* | Harvard Bioscience Inc. | 308,038 | 1,161 |
* | Targacept Inc. | 264,363 | 1,137 |
* | Mediware Information Systems | 76,577 | 1,118 |
* | Cadence Pharmaceuticals Inc. | 310,305 | 1,108 |
* | Allos Therapeutics Inc. | 618,788 | 1,108 |
* | Pozen Inc. | 176,001 | 1,098 |
* | Chindex International Inc. | 109,390 | 1,072 |
Young Innovations Inc. | 31,049 | 1,071 |
26
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
^,* | Repros Therapeutics Inc. | 117,296 | 1,065 |
* | Rockwell Medical Technologies Inc. | 111,516 | 1,038 |
* | Solta Medical Inc. | 351,319 | 1,029 |
* | Five Star Quality Care Inc. | 334,038 | 1,026 |
* | AtriCure Inc. | 103,455 | 994 |
* | RadNet Inc. | 373,069 | 992 |
* | Albany Molecular Research Inc. | 387,131 | 987 |
* | Rochester Medical Corp. | 91,350 | 983 |
* | Merge Healthcare Inc. | 341,358 | 976 |
Simulations Plus Inc. | 233,160 | 970 | |
* | Cross Country Healthcare Inc. | 218,406 | 954 |
* | Synergetics USA Inc. | 212,390 | 947 |
Psychemedics Corp. | 91,719 | 944 | |
^,* | Unilife Corp. | 274,883 | 929 |
^,* | Biotime Inc. | 200,682 | 923 |
^,* | Zalicus Inc. | 753,907 | 905 |
* | AVI BioPharma Inc. | 1,430,265 | 895 |
* | Cutera Inc. | 122,814 | 884 |
* | Tornier NV | 39,203 | 879 |
^,* | SIGA Technologies Inc. | 301,128 | 864 |
^,* | Biolase Inc. | 442,249 | 862 |
^,* | Apricus Biosciences Inc. | 250,216 | 856 |
^,* | Sunesis Pharmaceuticals Inc. | 295,948 | 849 |
^,* | Cel-Sci Corp. | 2,176,698 | 834 |
* | Skilled Healthcare Group Inc. | 132,719 | 834 |
^,* | Aastrom Biosciences Inc. | 381,111 | 819 |
^,* | MELA Sciences Inc. | 244,940 | 799 |
^,* | Hansen Medical Inc. | 349,286 | 793 |
LeMaitre Vascular Inc. | 132,140 | 793 | |
* | PDI Inc. | 95,770 | 789 |
* | Chelsea Therapeutics International Ltd. | 509,747 | 754 |
* | Transcept Pharmaceuticals Inc. | 121,239 | 752 |
* | Pacific Biosciences of California Inc. | 343,351 | 745 |
^,* | Galena Biopharma Inc. | 450,875 | 744 |
National Research Corp. | 14,041 | 735 | |
^,* | BioDelivery Sciences International Inc. | 162,246 | 727 |
* | Delcath Systems Inc. | 437,869 | 723 |
* | OncoGenex Pharmaceutical Inc. | 53,315 | 717 |
^,* | Ampio Pharmaceuticals Inc. | 137,452 | 698 |
^,* | CytRx Corp. | 151,367 | 693 |
* | Digirad Corp. | 309,065 | 683 |
* | Theragenics Corp. | 334,303 | 672 |
* | Exactech Inc. | 39,553 | 663 |
^,* | PhotoMedex Inc. | 54,337 | 660 |
^,* | Biosante Pharmaceuticals Inc. | 253,543 | 647 |
* | Durect Corp. | 690,342 | 628 |
* | Trius Therapeutics Inc. | 107,463 | 619 |
* | ACADIA Pharmaceuticals Inc. | 351,365 | 618 |
^,* | PharmAthene Inc. | 441,466 | 614 |
* | LCA-Vision Inc. | 139,887 | 602 |
* | EnteroMedics Inc. | 172,787 | 596 |
* | Insmed Inc. | 182,793 | 596 |
Heska Corp. | 53,677 | 596 | |
* | Nabi Biopharmaceuticals | 375,924 | 594 |
* | Sagent Pharmaceuticals Inc. | 32,326 | 584 |
* | Cardiovascular Systems Inc. | 58,935 | 577 |
^,* | Horizon Pharma Inc. | 78,856 | 562 |
* | Astex Pharmaceuticals | 268,284 | 561 |
* | Myrexis Inc. | 205,574 | 537 |
* | Synthetic Biologics Inc. | 270,376 | 535 |
* | Agenus Inc. | 98,951 | 519 |
^,* | Celsion Corp. | 165,062 | 507 |
* | Alliance HealthCare Services Inc. | 504,688 | 504 |
Utah Medical Products Inc. | 14,970 | 502 |
27
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
^,* | Codexis Inc. | 132,578 | 496 |
^,* | Neostem Inc. | 979,402 | 480 |
* | Iridex Corp. | 118,015 | 474 |
* | Biospecifics Technologies Corp. | 24,916 | 468 |
* | Cumberland Pharmaceuticals Inc. | 71,421 | 461 |
* | Adcare Health Systems Inc. | 124,877 | 460 |
* | Zogenix Inc. | 181,960 | 451 |
* | Columbia Laboratories Inc. | 662,181 | 450 |
^,* | Alexza Pharmaceuticals Inc. | 104,998 | 445 |
^,* | Acura Pharmaceuticals Inc. | 141,149 | 443 |
* | Aegerion Pharmaceuticals Inc. | 29,832 | 443 |
* | Metabolix Inc. | 236,122 | 437 |
* | Hemispherx Biopharma Inc. | 1,503,111 | 418 |
* | Uroplasty Inc. | 90,682 | 416 |
* | Medical Action Industries Inc. | 118,900 | 414 |
* | Peregrine Pharmaceuticals Inc. | 751,901 | 406 |
^,* | BSD Medical Corp. | 245,667 | 403 |
* | Derma Sciences Inc. | 42,172 | 402 |
^,* | Neuralstem Inc. | 432,864 | 398 |
^,* | Savient Pharmaceuticals Inc. | 725,975 | 392 |
* | Enzo Biochem Inc. | 233,397 | 390 |
* | Inovio Pharmaceuticals Inc. | 785,037 | 361 |
* | Vocera Communications Inc. | 13,191 | 353 |
* | SRI/Surgical Express Inc. | 95,914 | 353 |
* | Cleveland Biolabs Inc. | 220,773 | 347 |
* | Zeltiq Aesthetics Inc. | 61,638 | 345 |
^,* | ImmunoCellular Therapeutics Ltd. | 91,500 | 343 |
^,* | KV Pharmaceutical Co. Class A | 617,916 | 334 |
^,* | Arrowhead Research Corp. | 84,709 | 325 |
* | Cytokinetics Inc. | 507,004 | 325 |
* | GenVec Inc. | 135,631 | 323 |
* | Discovery Laboratories Inc. | 138,419 | 321 |
* | Vision Sciences Inc. | 212,528 | 319 |
* | Adolor Corp. Rights Exp. 07/01/2019 | 596,841 | 310 |
* | Bovie Medical Corp. | 127,296 | 293 |
^,* | Oculus Innovative Sciences Inc. | 417,828 | 293 |
* | GenMark Diagnostics Inc. | 67,130 | 291 |
* | Nanosphere Inc. | 131,072 | 288 |
* | CardioNet Inc. | 139,012 | 282 |
* | pSivida Corp. | 121,317 | 280 |
^,* | Bacterin International Holdings Inc. | 201,160 | 270 |
* | BioMimetic Therapeutics Inc. | 101,425 | 267 |
* | Hooper Holmes Inc. | 459,888 | 263 |
* | Authentidate Holding Corp. | 385,195 | 250 |
^,* | Rexahn Pharmaceuticals Inc. | 772,592 | 247 |
* | Cyclacel Pharmaceuticals Inc. | 537,451 | 247 |
^,* | Medgenics Inc. | 22,623 | 244 |
* | Icad Inc. | 506,872 | 233 |
^,* | Ventrus Biosciences Inc. | 53,128 | 227 |
^,* | IsoRay Inc. | 223,799 | 226 |
* | Strategic Diagnostics Inc. | 186,530 | 224 |
* | Cardica Inc. | 115,896 | 218 |
* | Sharps Compliance Corp. | 56,820 | 192 |
* | Lannett Co. Inc. | 44,423 | 188 |
* | Integramed America Inc. | 12,985 | 180 |
* | TranS1 Inc. | 67,672 | 168 |
* | Urologix Inc. | 217,218 | 167 |
* | Idera Pharmaceuticals Inc. | 151,379 | 162 |
^,* | Athersys Inc. | 98,648 | 159 |
* | Stereotaxis Inc. | 715,607 | 150 |
^,* | Somaxon Pharmaceuticals Inc. | 526,401 | 150 |
* | ADVENTRX Pharmaceuticals Inc. | 291,820 | 149 |
* | Cornerstone Therapeutics Inc. | 23,460 | 149 |
* | Anacor Pharmaceuticals Inc. | 22,323 | 145 |
28
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | VirtualScopics Inc. | 161,504 | 143 |
* | Entremed Inc. | 77,282 | 142 |
* | TearLab Corp. | 43,623 | 139 |
* | ThermoGenesis Corp. | 145,627 | 138 |
* | PURE Bioscience Inc. | 296,629 | 134 |
* | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 131,308 | 125 |
* | iBio Inc. | 162,186 | 123 |
^,* | StemCells Inc. | 149,436 | 120 |
* | Opexa Therapeutics Inc. | 348,635 | 112 |
* | CombiMatrix Corp. | 96,249 | 101 |
* | American Caresource Holdings Inc. | 154,700 | 97 |
* | Biodel Inc. | 37,730 | 97 |
* | DynaVox Inc. Class A | 85,592 | 96 |
* | Anthera Pharmaceuticals Inc. | 128,207 | 87 |
* | Alimera Sciences Inc. | 28,169 | 84 |
* | Angeion Corp. | 15,293 | 83 |
^,* | Bioanalytical Systems Inc. | 86,496 | 78 |
* | MediciNova Inc. | 45,442 | 74 |
^,* | Cardium Therapeutics Inc. | 306,488 | 74 |
* | SunLink Health Systems Inc. | 59,900 | 72 |
^,* | Oxygen Biotherapeutics Inc. | 43,608 | 68 |
* | Escalon Medical Corp. | 91,117 | 64 |
* | Novabay Pharmaceuticals Inc. | 49,260 | 62 |
* | Retractable Technologies Inc. | 62,606 | 61 |
^,* | NuPathe Inc. | 14,802 | 60 |
* | ProPhase Labs Inc. | 52,086 | 57 |
* | Coronado Biosciences Inc. | 10,781 | 54 |
* | Catalyst Pharmaceutical Partners Inc. | 96,495 | 52 |
* | CAS Medical Systems Inc. | 28,698 | 50 |
* | Palatin Technologies Inc. | 75,469 | 38 |
* | ERBA Diagnostics Inc. | 54,515 | 35 |
* | Supernus Pharmaceuticals Inc. | 3,573 | 33 |
* | Telik Inc. | 14,700 | 32 |
* | ARCA Biopharma Inc. | 61,940 | 31 |
* | Allied Healthcare Products | 9,915 | 31 |
^,* | Complete Genomics Inc. | 16,478 | 31 |
* | Pernix Therapeutics Holdings | 3,901 | 28 |
* | BG Medicine Inc. | 3,422 | 24 |
^,* | OXiGENE Inc. | 41,123 | 23 |
* | AspenBio Pharma Inc. | 10,295 | 19 |
* | Greenway Medical Technologies | 998 | 16 |
^,* | Ligand Pharmaceuticals Inc. Roche Contingent Value Rights | 395,811 | 10 |
Ligand Pharmaceuticals Inc. General Contingent Value Rights | 395,811 | 8 | |
* | NeuroMetrix Inc. | 10,509 | 7 |
* | AcelRx Pharmaceuticals Inc. | 1,837 | 6 |
^,* | Ligand Pharmaceuticals Inc. Glucagon Contingent Value Rights | 395,811 | 6 |
* | Ligand Pharmaceuticals Inc. TR Beta Contingent Value Rights | 395,811 | 4 |
* | Tengion Inc. | 1,530 | 4 |
* | DARA Biosciences Inc. | 5,069 | 4 |
* | Accelr8 Technology Corp. | 1,200 | 3 |
* | NewLink Genetics Corp. | 200 | 3 |
* | World Heart Corp. | 1,127 | — |
* | Senesco Technologies Inc. | 500 | — |
2,561,969 | |||
Industrials (15.3%) | |||
* | Delta Air Lines Inc. | 6,933,741 | 75,924 |
* | United Continental Holdings Inc. | 2,709,963 | 65,933 |
AMETEK Inc. | 1,317,593 | 65,761 | |
Kansas City Southern | 901,464 | 62,706 | |
* | Verisk Analytics Inc. Class A | 1,172,065 | 57,736 |
29
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
JB Hunt Transport Services Inc. | 739,124 | 44,052 |
* TransDigm Group Inc. | 326,403 | 43,836 |
* IHS Inc. Class A | 403,783 | 43,500 |
Donaldson Co. Inc. | 1,215,284 | 40,554 |
Hubbell Inc. Class B | 484,973 | 37,799 |
* BE Aerospace Inc. | 853,467 | 37,262 |
* AGCO Corp. | 796,833 | 36,439 |
* Hertz Global Holdings Inc. | 2,494,876 | 31,934 |
Timken Co. | 688,089 | 31,508 |
Pentair Inc. | 810,900 | 31,041 |
Chicago Bridge & Iron Co. NV | 808,394 | 30,687 |
Wabtec Corp. | 393,114 | 30,667 |
Waste Connections Inc. | 1,011,472 | 30,263 |
Lincoln Electric Holdings Inc. | 686,020 | 30,041 |
KBR Inc. | 1,211,099 | 29,926 |
* Fortune Brands Home & Security Inc. | 1,310,999 | 29,196 |
* Owens Corning | 1,004,133 | 28,658 |
* WABCO Holdings Inc. | 525,722 | 27,826 |
Carlisle Cos. Inc. | 513,182 | 27,209 |
SPX Corp. | 415,753 | 27,157 |
IDEX Corp. | 685,635 | 26,726 |
Towers Watson & Co. Class A | 420,344 | 25,179 |
MSC Industrial Direct Co. Inc. Class A | 382,508 | 25,073 |
Corrections Corp. of America | 826,602 | 24,343 |
* Babcock & Wilcox Co. | 979,197 | 23,990 |
Manpower Inc. | 654,351 | 23,982 |
Nordson Corp. | 464,075 | 23,802 |
* United Rentals Inc. | 692,380 | 23,569 |
Triumph Group Inc. | 407,633 | 22,938 |
Graco Inc. | 497,003 | 22,902 |
Valmont Industries Inc. | 186,964 | 22,617 |
* Clean Harbors Inc. | 393,405 | 22,196 |
Kennametal Inc. | 662,257 | 21,954 |
* Spirit Aerosystems Holdings Inc. Class A | 912,705 | 21,750 |
Gardner Denver Inc. | 411,052 | 21,749 |
URS Corp. | 621,047 | 21,662 |
* Kirby Corp. | 455,910 | 21,464 |
* Hexcel Corp. | 824,119 | 21,254 |
Regal-Beloit Corp. | 340,391 | 21,193 |
* Alaska Air Group Inc. | 589,256 | 21,154 |
* WESCO International Inc. | 360,613 | 20,753 |
* Copart Inc. | 853,807 | 20,227 |
CLARCOR Inc. | 417,390 | 20,102 |
Landstar System Inc. | 387,963 | 20,065 |
Lennox International Inc. | 422,321 | 19,693 |
Woodward Inc. | 498,750 | 19,671 |
* Sensata Technologies Holding NV | 717,999 | 19,228 |
Covanta Holding Corp. | 1,107,399 | 18,992 |
* Dollar Thrifty Automotive Group Inc. | 233,469 | 18,902 |
* Nielsen Holdings NV | 716,798 | 18,794 |
* Teledyne Technologies Inc. | 304,856 | 18,794 |
Alexander & Baldwin Inc. | 347,723 | 18,516 |
Toro Co. | 247,409 | 18,133 |
* US Airways Group Inc. | 1,346,905 | 17,954 |
Watsco Inc. | 242,743 | 17,914 |
Acuity Brands Inc. | 349,719 | 17,804 |
* Genesee & Wyoming Inc. Class A | 331,789 | 17,532 |
* Old Dominion Freight Line Inc. | 391,289 | 16,939 |
* Chart Industries Inc. | 245,469 | 16,878 |
Con-way Inc. | 463,424 | 16,734 |
Trinity Industries Inc. | 666,071 | 16,638 |
* Huntington Ingalls Industries Inc. | 406,346 | 16,351 |
* Terex Corp. | 911,886 | 16,259 |
* Navistar International Corp. | 561,852 | 15,940 |
30
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Oshkosh Corp. | 760,234 | 15,927 |
* | Esterline Technologies Corp. | 254,577 | 15,873 |
AO Smith Corp. | 320,556 | 15,672 | |
* | Moog Inc. Class A | 375,492 | 15,527 |
* | Foster Wheeler AG | 893,301 | 15,481 |
EMCOR Group Inc. | 552,817 | 15,379 | |
Actuant Corp. Class A | 565,952 | 15,371 | |
* | Acacia Research Corp. | 411,785 | 15,335 |
* | Middleby Corp. | 153,594 | 15,300 |
* | AECOM Technology Corp. | 925,448 | 15,224 |
Exelis Inc. | 1,534,600 | 15,131 | |
Robbins & Myers Inc. | 360,534 | 15,078 | |
GATX Corp. | 387,911 | 14,935 | |
* | Shaw Group Inc. | 541,248 | 14,781 |
Crane Co. | 405,088 | 14,737 | |
* | Colfax Corp. | 523,752 | 14,440 |
* | EnerSys | 396,713 | 13,913 |
Alliant Techsystems Inc. | 274,082 | 13,860 | |
* | USG Corp. | 726,133 | 13,833 |
* | Advisory Board Co. | 277,128 | 13,743 |
* | Tetra Tech Inc. | 524,304 | 13,674 |
Harsco Corp. | 668,650 | 13,627 | |
Mueller Industries Inc. | 317,660 | 13,529 | |
^,* | Polypore International Inc. | 332,182 | 13,417 |
ITT Corp. | 756,382 | 13,312 | |
* | Avis Budget Group Inc. | 872,633 | 13,264 |
* | Portfolio Recovery Associates Inc. | 142,481 | 13,003 |
Applied Industrial Technologies Inc. | 348,855 | 12,855 | |
Manitowoc Co. Inc. | 1,095,619 | 12,819 | |
Belden Inc. | 381,753 | 12,731 | |
UTi Worldwide Inc. | 853,674 | 12,472 | |
Curtiss-Wright Corp. | 387,691 | 12,038 | |
Rollins Inc. | 536,818 | 12,009 | |
Brady Corp. Class A | 435,696 | 11,986 | |
* | Geo Group Inc. | 508,454 | 11,552 |
* | Hub Group Inc. Class A | 313,486 | 11,348 |
HEICO Corp. | 286,428 | 11,320 | |
Corporate Executive Board Co. | 276,825 | 11,317 | |
Healthcare Services Group Inc. | 555,539 | 10,766 | |
* | General Cable Corp. | 413,359 | 10,723 |
Deluxe Corp. | 423,170 | 10,554 | |
Mine Safety Appliances Co. | 256,114 | 10,306 | |
* | GrafTech International Ltd. | 1,052,157 | 10,153 |
Raven Industries Inc. | 145,709 | 10,140 | |
Simpson Manufacturing Co. Inc. | 336,994 | 9,945 | |
* | FTI Consulting Inc. | 345,513 | 9,934 |
* | JetBlue Airways Corp. | 1,870,587 | 9,914 |
* | ACCO Brands Corp. | 947,540 | 9,798 |
* | Beacon Roofing Supply Inc. | 384,991 | 9,709 |
HNI Corp. | 373,778 | 9,625 | |
* | Atlas Air Worldwide Holdings Inc. | 218,344 | 9,500 |
Barnes Group Inc. | 389,418 | 9,459 | |
United Stationers Inc. | 341,624 | 9,207 | |
Brink's Co. | 389,365 | 9,025 | |
Herman Miller Inc. | 481,750 | 8,922 | |
Werner Enterprises Inc. | 369,316 | 8,823 | |
* | Allegiant Travel Co. Class A | 125,227 | 8,726 |
Titan International Inc. | 350,936 | 8,608 | |
Armstrong World Industries Inc. | 174,939 | 8,600 | |
* | RBC Bearings Inc. | 180,270 | 8,527 |
UniFirst Corp. | 127,308 | 8,116 | |
Watts Water Technologies Inc. Class A | 243,152 | 8,107 | |
ESCO Technologies Inc. | 221,708 | 8,079 | |
Franklin Electric Co. Inc. | 157,269 | 8,041 |
31
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
ABM Industries Inc. | 402,196 | 7,867 |
Knight Transportation Inc. | 489,241 | 7,823 |
Forward Air Corp. | 238,768 | 7,705 |
* II-VI Inc. | 454,281 | 7,573 |
Granite Construction Inc. | 285,663 | 7,459 |
* MasTec Inc. | 484,222 | 7,283 |
Briggs & Stratton Corp. | 413,712 | 7,236 |
Lindsay Corp. | 105,682 | 6,859 |
Heartland Express Inc. | 474,474 | 6,790 |
Kaman Corp. | 218,064 | 6,747 |
* Interline Brands Inc. | 261,445 | 6,554 |
* Interface Inc. Class A | 478,483 | 6,522 |
AZZ Inc. | 104,665 | 6,412 |
* EnPro Industries Inc. | 171,054 | 6,392 |
Universal Forest Products Inc. | 162,512 | 6,335 |
* Orbital Sciences Corp. | 489,829 | 6,329 |
Cubic Corp. | 131,179 | 6,307 |
Tennant Co. | 156,901 | 6,268 |
TAL International Group Inc. | 186,943 | 6,261 |
Steelcase Inc. Class A | 693,290 | 6,260 |
* Nortek Inc. | 124,089 | 6,209 |
* Swift Transportation Co. | 636,393 | 6,014 |
NACCO Industries Inc. Class A | 51,131 | 5,944 |
* Blount International Inc. | 403,643 | 5,913 |
* Huron Consulting Group Inc. | 186,744 | 5,910 |
* Exponent Inc. | 110,885 | 5,858 |
* Aegion Corp. Class A | 326,675 | 5,844 |
* DigitalGlobe Inc. | 384,148 | 5,824 |
* Korn/Ferry International | 396,687 | 5,692 |
Kaydon Corp. | 265,510 | 5,679 |
* On Assignment Inc. | 353,899 | 5,648 |
* Navigant Consulting Inc. | 432,812 | 5,471 |
Quanex Building Products Corp. | 303,982 | 5,435 |
* Seaboard Corp. | 2,532 | 5,401 |
* Encore Capital Group Inc. | 181,597 | 5,379 |
Aircastle Ltd. | 444,048 | 5,351 |
Amerco Inc. | 59,345 | 5,339 |
McGrath RentCorp | 198,913 | 5,271 |
Knoll Inc. | 392,285 | 5,264 |
* Dycom Industries Inc. | 282,716 | 5,261 |
* Sykes Enterprises Inc. | 326,029 | 5,203 |
Ceradyne Inc. | 201,187 | 5,160 |
* Generac Holdings Inc. | 213,613 | 5,140 |
* Air Lease Corp. | 264,688 | 5,132 |
* TrueBlue Inc. | 330,201 | 5,112 |
* Astec Industries Inc. | 166,024 | 5,094 |
Insperity Inc. | 186,319 | 5,040 |
Sun Hydraulics Corp. | 207,379 | 5,037 |
* Team Inc. | 161,206 | 5,026 |
CIRCOR International Inc. | 143,687 | 4,898 |
G&K Services Inc. Class A | 156,523 | 4,882 |
* Trimas Corp. | 239,348 | 4,811 |
AAR Corp. | 334,777 | 4,513 |
Standex International Corp. | 105,380 | 4,486 |
* Rush Enterprises Inc. Class A | 273,106 | 4,465 |
* KAR Auction Services Inc. | 259,286 | 4,457 |
Mueller Water Products Inc. Class A | 1,284,344 | 4,444 |
Resources Connection Inc. | 358,960 | 4,415 |
Albany International Corp. | 234,032 | 4,379 |
* Mobile Mini Inc. | 303,276 | 4,367 |
Encore Wire Corp. | 161,658 | 4,329 |
* Titan Machinery Inc. | 139,783 | 4,245 |
* RailAmerica Inc. | 171,655 | 4,154 |
American Science & Engineering Inc. | 73,013 | 4,122 |
32
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Cascade Corp. | 86,657 | 4,077 | |
* | Meritor Inc. | 765,521 | 3,996 |
Comfort Systems USA Inc. | 389,372 | 3,902 | |
Gorman-Rupp Co. | 128,663 | 3,834 | |
* | Wabash National Corp. | 577,731 | 3,825 |
* | Trex Co. Inc. | 123,833 | 3,726 |
* | DXP Enterprises Inc. | 89,437 | 3,711 |
Apogee Enterprises Inc. | 230,203 | 3,699 | |
* | Aerovironment Inc. | 140,250 | 3,690 |
* | Greenbrier Cos. Inc. | 203,837 | 3,583 |
* | ICF International Inc. | 147,802 | 3,524 |
John Bean Technologies Corp. | 254,560 | 3,454 | |
* | GenCorp Inc. | 513,642 | 3,344 |
* | H&E Equipment Services Inc. | 221,849 | 3,334 |
* | Kforce Inc. | 246,785 | 3,322 |
* | InnerWorkings Inc. | 245,272 | 3,319 |
AAON Inc. | 173,000 | 3,261 | |
^ | National Presto Industries Inc. | 45,982 | 3,208 |
Griffon Corp. | 373,645 | 3,206 | |
Viad Corp. | 158,904 | 3,178 | |
Celadon Group Inc. | 193,146 | 3,164 | |
Altra Holdings Inc. | 200,298 | 3,161 | |
Ennis Inc. | 203,860 | 3,135 | |
Sauer-Danfoss Inc. | 88,990 | 3,108 | |
Heidrick & Struggles International Inc. | 175,245 | 3,067 | |
Great Lakes Dredge & Dock Corp. | 429,814 | 3,060 | |
* | MRC Global Inc. | 142,397 | 3,030 |
* | Federal Signal Corp. | 517,432 | 3,022 |
* | Tutor Perini Corp. | 237,919 | 3,014 |
* | Rexnord Corp. | 150,293 | 3,012 |
Arkansas Best Corp. | 238,685 | 3,007 | |
* | Layne Christensen Co. | 144,928 | 2,999 |
Kelly Services Inc. Class A | 220,463 | 2,846 | |
US Ecology Inc. | 159,790 | 2,835 | |
* | Mistras Group Inc. | 106,814 | 2,807 |
* | Taser International Inc. | 523,751 | 2,744 |
SkyWest Inc. | 416,816 | 2,722 | |
Marten Transport Ltd. | 126,627 | 2,692 | |
* | Spirit Airlines Inc. | 137,939 | 2,684 |
* | Kadant Inc. | 114,221 | 2,678 |
* | GeoEye Inc. | 171,095 | 2,649 |
^,* | Capstone Turbine Corp. | 2,606,015 | 2,632 |
FreightCar America Inc. | 113,675 | 2,611 | |
HEICO Corp. Class A | 80,937 | 2,611 | |
* | MYR Group Inc. | 152,436 | 2,601 |
* | XPO Logistics Inc. | 154,000 | 2,587 |
^,* | Odyssey Marine Exploration Inc. | 688,981 | 2,577 |
* | Powell Industries Inc. | 68,673 | 2,566 |
Quad/Graphics Inc. | 175,907 | 2,530 | |
* | Consolidated Graphics Inc. | 86,704 | 2,519 |
* | Accuride Corp. | 418,566 | 2,511 |
Primoris Services Corp. | 203,762 | 2,445 | |
* | Gibraltar Industries Inc. | 233,804 | 2,427 |
SeaCube Container Leasing Ltd. | 140,502 | 2,398 | |
CDI Corp. | 146,104 | 2,396 | |
* | Standard Parking Corp. | 111,042 | 2,390 |
Global Power Equipment Group Inc. | 108,964 | 2,380 | |
^,* | Swisher Hygiene Inc. | 933,216 | 2,361 |
* | Lydall Inc. | 173,766 | 2,349 |
* | Hawaiian Holdings Inc. | 357,181 | 2,325 |
Douglas Dynamics Inc. | 162,301 | 2,313 | |
* | Columbus McKinnon Corp. | 149,255 | 2,252 |
* | Saia Inc. | 101,700 | 2,226 |
* | CBIZ Inc. | 366,241 | 2,175 |
33
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Air Transport Services Group Inc. | 415,984 | 2,163 |
LB Foster Co. Class A | 73,955 | 2,116 | |
^,* | American Superconductor Corp. | 425,154 | 1,998 |
* | Northwest Pipe Co. | 81,201 | 1,970 |
Houston Wire & Cable Co. | 179,316 | 1,960 | |
* | Astronics Corp. | 69,312 | 1,957 |
* | GP Strategies Corp. | 101,700 | 1,878 |
* | Michael Baker Corp. | 70,689 | 1,844 |
Dynamic Materials Corp. | 106,137 | 1,839 | |
Aceto Corp. | 200,073 | 1,807 | |
* | Wesco Aircraft Holdings Inc. | 135,363 | 1,723 |
* | American Woodmark Corp. | 99,835 | 1,707 |
* | Builders FirstSource Inc. | 359,826 | 1,706 |
* | Pacer International Inc. | 314,318 | 1,704 |
* | NN Inc. | 163,862 | 1,673 |
* | Echo Global Logistics Inc. | 87,346 | 1,665 |
* | Park-Ohio Holdings Corp. | 86,552 | 1,647 |
* | Dolan Co. | 244,084 | 1,643 |
* | Commercial Vehicle Group Inc. | 190,511 | 1,642 |
Kimball International Inc. Class B | 211,870 | 1,631 | |
* | Kratos Defense & Security Solutions Inc. | 279,023 | 1,629 |
Barrett Business Services Inc. | 76,080 | 1,608 | |
Ampco-Pittsburgh Corp. | 87,508 | 1,604 | |
* | American Railcar Industries Inc. | 58,627 | 1,589 |
Multi-Color Corp. | 70,471 | 1,567 | |
* | CAI International Inc. | 77,945 | 1,550 |
* | NCI Building Systems Inc. | 142,480 | 1,543 |
Graham Corp. | 81,273 | 1,513 | |
* | Orion Marine Group Inc. | 207,772 | 1,446 |
Intersections Inc. | 90,245 | 1,430 | |
Alamo Group Inc. | 45,004 | 1,412 | |
* | Furmanite Corp. | 287,700 | 1,398 |
* | LMI Aerospace Inc. | 80,295 | 1,396 |
Insteel Industries Inc. | 123,737 | 1,380 | |
* | Republic Airways Holdings Inc. | 247,825 | 1,375 |
US Home Systems Inc. | 134,189 | 1,362 | |
Vicor Corp. | 191,689 | 1,330 | |
Asta Funding Inc. | 141,237 | 1,323 | |
* | American Reprographics Co. | 259,511 | 1,305 |
Miller Industries Inc. | 81,478 | 1,298 | |
* | Quality Distribution Inc. | 115,755 | 1,284 |
Twin Disc Inc. | 67,964 | 1,257 | |
* | Sterling Construction Co. Inc. | 122,861 | 1,256 |
* | FuelCell Energy Inc. | 1,234,668 | 1,247 |
NL Industries Inc. | 98,112 | 1,223 | |
Schawk Inc. Class A | 96,110 | 1,221 | |
* | EnergySolutions Inc. | 710,694 | 1,201 |
* | Roadrunner Transportation Systems Inc. | 70,181 | 1,185 |
Ceco Environmental Corp. | 149,590 | 1,182 | |
* | Thermon Group Holdings Inc. | 56,275 | 1,165 |
* | Franklin Covey Co. | 113,349 | 1,161 |
* | CRA International Inc. | 78,187 | 1,149 |
* | AT Cross Co. Class A | 115,972 | 1,145 |
* | Casella Waste Systems Inc. Class A | 191,316 | 1,119 |
* | Ameresco Inc. Class A | 92,686 | 1,106 |
^,* | Rand Logistics Inc. | 128,294 | 1,091 |
VSE Corp. | 45,559 | 1,084 | |
* | Pike Electric Corp. | 138,882 | 1,072 |
* | Pendrell Corp. | 950,727 | 1,065 |
SIFCO Industries Inc. | 45,588 | 1,048 | |
* | RPX Corp. | 72,769 | 1,044 |
International Shipholding Corp. | 54,922 | 1,036 | |
Preformed Line Products Co. | 17,664 | 1,023 | |
Coleman Cable Inc. | 116,503 | 1,012 |
34
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | EnerNOC Inc. | 138,048 | 999 |
^,* | A123 Systems Inc. | 788,897 | 994 |
* | CPI Aerostructures Inc. | 88,760 | 976 |
* | Flow International Corp. | 304,286 | 959 |
LSI Industries Inc. | 127,149 | 905 | |
* | Asset Acceptance Capital Corp. | 130,270 | 886 |
* | Hudson Technologies Inc. | 212,882 | 877 |
Universal Truckload Services Inc. | 57,202 | 865 | |
^ | Acorn Energy Inc. | 103,247 | 859 |
* | Energy Recovery Inc. | 352,703 | 846 |
* | Willis Lease Finance Corp. | 67,920 | 837 |
* | Patriot Transportation Holding Inc. | 34,975 | 823 |
Met-Pro Corp. | 87,713 | 808 | |
* | Cenveo Inc. | 412,730 | 797 |
* | BlueLinx Holdings Inc. | 328,488 | 772 |
* | TRC Cos. Inc. | 126,500 | 769 |
Argan Inc. | 54,205 | 758 | |
Courier Corp. | 55,576 | 736 | |
Allied Motion Technologies Inc. | 121,624 | 730 | |
Baltic Trading Ltd. | 210,827 | 725 | |
* | PMFG Inc. | 92,473 | 722 |
* | Active Power Inc. | 873,578 | 705 |
* | KEYW Holding Corp. | 69,408 | 697 |
PAM Transportation Services Inc. | 72,092 | 696 | |
* | Hurco Cos. Inc. | 33,473 | 686 |
* | Hudson Global Inc. | 161,853 | 675 |
* | Magnetek Inc. | 42,363 | 654 |
^,* | Zipcar Inc. | 54,200 | 636 |
* | USA Truck Inc. | 132,731 | 625 |
^,* | Valence Technology Inc. | 1,006,506 | 625 |
* | Tecumseh Products Co. Class A | 121,425 | 613 |
* | Ducommun Inc. | 62,424 | 612 |
Hardinge Inc. | 66,364 | 604 | |
* | Fuel Tech Inc. | 116,591 | 569 |
* | PowerSecure International Inc. | 111,588 | 556 |
* | Patrick Industries Inc. | 42,659 | 544 |
Ecology and Environment Inc. | 45,100 | 518 | |
* | Metalico Inc. | 233,872 | 515 |
* | Genco Shipping & Trading Ltd. | 167,592 | 511 |
* | Supreme Industries Inc. Class A | 122,226 | 478 |
Eastern Co. | 28,442 | 459 | |
* | API Technologies Corp. | 122,606 | 451 |
* | Hill International Inc. | 138,438 | 443 |
Providence and Worcester Railroad Co. | 31,838 | 430 | |
LS Starrett Co. Class A | 36,454 | 422 | |
* | Key Technology Inc. | 38,493 | 385 |
* | Ultralife Corp. | 97,212 | 375 |
* | Heritage-Crystal Clean Inc. | 22,381 | 366 |
* | Innovative Solutions & Support Inc. | 109,930 | 362 |
* | Proto Labs Inc. | 12,300 | 354 |
Lawson Products Inc. | 37,388 | 346 | |
* | Omega Flex Inc. | 28,118 | 335 |
* | Mfri Inc. | 45,537 | 321 |
* | Perma-Fix Environmental Services | 272,842 | 319 |
* | Edgen Group Inc. | 41,039 | 309 |
* | Virco Manufacturing Corp. | 188,287 | 305 |
Sypris Solutions Inc. | 41,230 | 287 | |
* | Gencor Industries Inc. | 37,710 | 285 |
^,* | Eagle Bulk Shipping Inc. | 88,719 | 280 |
^,* | Satcon Technology Corp. | 1,208,686 | 277 |
* | TMS International Corp. Class A | 27,050 | 270 |
* | RCM Technologies Inc. | 46,753 | 259 |
^,* | Ocean Power Technologies Inc. | 124,414 | 259 |
* | Integrated Electrical Services Inc. | 93,324 | 256 |
35
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Lightbridge Corp. | 122,763 | 248 |
* | Xerium Technologies Inc. | 76,683 | 222 |
* | Orion Energy Systems Inc. | 95,135 | 209 |
* | Taylor Devices Inc. | 23,233 | 209 |
* | Plug Power Inc. | 180,532 | 206 |
* | Broadwind Energy Inc. | 669,218 | 181 |
* | Manitex International Inc. | 20,683 | 174 |
* | Astronics Corp. Class B | 6,551 | 174 |
* | Arotech Corp. | 169,158 | 169 |
* | Lime Energy Co. | 72,052 | 164 |
* | American Electric Technologies Inc. | 38,398 | 162 |
Servotronics Inc. | 17,402 | 149 | |
* | Covenant Transportation Group Inc. Class A | 39,032 | 145 |
KSW Inc. | 36,816 | 144 | |
* | Frozen Food Express Industries | 130,268 | 143 |
* | PGT Inc. | 43,587 | 132 |
* | Versar Inc. | 42,809 | 129 |
* | Transcat Inc. | 18,095 | 113 |
* | Innotrac Corp. | 74,579 | 106 |
^,* | ZBB Energy Corp. | 271,560 | 106 |
Standard Register Co. | 165,279 | 99 | |
* | Ascent Solar Technologies Inc. | 123,081 | 97 |
* | Breeze-Eastern Corp. | 15,086 | 95 |
* | Real Goods Solar Inc. Class A | 78,297 | 88 |
* | YRC Worldwide Inc. | 11,708 | 82 |
* | Adept Technology Inc. | 19,136 | 79 |
* | Essex Rental Corp. | 22,346 | 78 |
* | AMREP Corp. | 12,689 | 77 |
* | Rush Enterprises Inc. Class B | 5,550 | 74 |
* | UniTek Global Services Inc. | 29,619 | 74 |
* | Mastech Holdings Inc. | 12,664 | 73 |
* | Industrial Services of America Inc. | 13,228 | 66 |
* | Tecumseh Products Co. Class B | 11,900 | 58 |
Hubbell Inc. Class A | 500 | 37 | |
* | Altair Nanotechnologies Inc. | 59,319 | 31 |
* | Innovaro Inc. | 36,380 | 27 |
* | Westinghouse Solar Inc. | 71,979 | 26 |
* | Luna Innovations Inc. | 17,858 | 25 |
* | Spherix Inc. | 39,644 | 23 |
* | DLH Holdings Corp. | 17,157 | 22 |
^,* | Hoku Corp. | 116,892 | 16 |
* | Ecotality Inc. | 25,078 | 13 |
* | Nexxus Lighting Inc. | 30,477 | 9 |
* | Universal Power Group Inc. | 800 | 2 |
3,351,036 | |||
Information Technology (14.9%) | |||
* | Equinix Inc. | 394,343 | 69,266 |
Maxim Integrated Products Inc. | 2,397,123 | 61,462 | |
* | VMware Inc. Class A | 665,182 | 60,558 |
* | Alliance Data Systems Corp. | 413,355 | 55,803 |
* | ANSYS Inc. | 764,465 | 48,245 |
* | Trimble Navigation Ltd. | 1,025,723 | 47,194 |
* | Nuance Communications Inc. | 1,974,260 | 47,027 |
Activision Blizzard Inc. | 3,559,924 | 42,684 | |
* | Skyworks Solutions Inc. | 1,553,706 | 42,525 |
* | TIBCO Software Inc. | 1,353,696 | 40,503 |
* | Rackspace Hosting Inc. | 875,287 | 38,460 |
* | Informatica Corp. | 888,381 | 37,632 |
* | Avnet Inc. | 1,191,213 | 36,761 |
* | Ariba Inc. | 804,870 | 36,026 |
* | Synopsys Inc. | 1,205,768 | 35,486 |
FactSet Research Systems Inc. | 366,480 | 34,061 | |
* | MICROS Systems Inc. | 660,002 | 33,792 |
* | Gartner Inc. | 764,926 | 32,930 |
36
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
IAC/InterActiveCorp | 674,350 | 30,750 | |
* | Arrow Electronics Inc. | 916,292 | 30,064 |
* | NCR Corp. | 1,295,129 | 29,438 |
* | VeriFone Systems Inc. | 882,420 | 29,199 |
Global Payments Inc. | 641,113 | 27,715 | |
* | ON Semiconductor Corp. | 3,751,408 | 26,635 |
* | Concur Technologies Inc. | 389,463 | 26,522 |
Jack Henry & Associates Inc. | 720,615 | 24,876 | |
* | Cadence Design Systems Inc. | 2,241,329 | 24,632 |
* | Atmel Corp. | 3,641,828 | 24,400 |
* | Cree Inc. | 943,641 | 24,223 |
Solera Holdings Inc. | 569,815 | 23,813 | |
Broadridge Financial Solutions Inc. | 1,030,050 | 21,909 | |
* | Ingram Micro Inc. | 1,249,099 | 21,822 |
* | AOL Inc. | 765,791 | 21,503 |
* | Riverbed Technology Inc. | 1,307,967 | 21,124 |
National Instruments Corp. | 771,580 | 20,725 | |
* | Parametric Technology Corp. | 984,337 | 20,632 |
* | Ultimate Software Group Inc. | 226,440 | 20,180 |
* | Wright Express Corp. | 321,350 | 19,834 |
* | SolarWinds Inc. | 442,652 | 19,282 |
Diebold Inc. | 519,227 | 19,165 | |
* | Brocade Communications Systems Inc. | 3,802,932 | 18,748 |
* | NeuStar Inc. Class A | 549,484 | 18,353 |
* | CommVault Systems Inc. | 366,609 | 18,173 |
* | Rovi Corp. | 910,711 | 17,868 |
* | Aspen Technology Inc. | 770,893 | 17,846 |
* | Fortinet Inc. | 766,146 | 17,790 |
Lender Processing Services Inc. | 701,063 | 17,723 | |
* | CoStar Group Inc. | 211,687 | 17,189 |
* | Dolby Laboratories Inc. Class A | 411,851 | 17,009 |
* | Compuware Corp. | 1,815,660 | 16,868 |
Cypress Semiconductor Corp. | 1,248,935 | 16,511 | |
* | LinkedIn Corp. Class A | 153,078 | 16,268 |
* | CoreLogic Inc. | 884,848 | 16,202 |
* | Cirrus Logic Inc. | 532,507 | 15,911 |
ADTRAN Inc. | 524,143 | 15,824 | |
* | Tech Data Corp. | 327,253 | 15,764 |
* | Polycom Inc. | 1,473,603 | 15,502 |
DST Systems Inc. | 280,003 | 15,207 | |
* | Cymer Inc. | 255,941 | 15,088 |
* | FEI Co. | 314,659 | 15,053 |
* | Zebra Technologies Corp. | 431,820 | 14,837 |
* | Fairchild Semiconductor International Inc. Class A | 1,045,899 | 14,747 |
MAXIMUS Inc. | 280,329 | 14,507 | |
* | ACI Worldwide Inc. | 326,268 | 14,424 |
Convergys Corp. | 962,698 | 14,219 | |
* | Aruba Networks Inc. | 906,855 | 13,648 |
* | Itron Inc. | 330,770 | 13,641 |
* | QLIK Technologies Inc. | 610,421 | 13,503 |
* | Microsemi Corp. | 727,978 | 13,460 |
* | ViaSat Inc. | 355,774 | 13,438 |
* | Ciena Corp. | 819,396 | 13,414 |
* | Silicon Laboratories Inc. | 352,330 | 13,353 |
* | Semtech Corp. | 540,614 | 13,148 |
* | Quest Software Inc. | 471,452 | 13,130 |
* | Arris Group Inc. | 934,822 | 13,003 |
MKS Instruments Inc. | 436,172 | 12,618 | |
* | Sourcefire Inc. | 242,099 | 12,444 |
Anixter International Inc. | 230,731 | 12,240 | |
* | CACI International Inc. Class A | 220,055 | 12,107 |
^,* | Universal Display Corp. | 333,443 | 11,984 |
Plantronics Inc. | 357,030 | 11,925 | |
Fair Isaac Corp. | 280,951 | 11,879 |
37
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | PMC - Sierra Inc. | 1,922,559 | 11,805 |
* | Hittite Microwave Corp. | 229,183 | 11,716 |
* | Mentor Graphics Corp. | 772,652 | 11,590 |
* | Cavium Inc. | 410,251 | 11,487 |
* | International Rectifier Corp. | 573,730 | 11,469 |
* | Finisar Corp. | 754,260 | 11,284 |
* | QLogic Corp. | 819,474 | 11,219 |
Intersil Corp. Class A | 1,051,156 | 11,195 | |
Cognex Corp. | 352,372 | 11,153 | |
* | Vishay Intertechnology Inc. | 1,175,746 | 11,087 |
* | Veeco Instruments Inc. | 322,067 | 11,066 |
* | Cardtronics Inc. | 366,004 | 11,057 |
^,* | VirnetX Holding Corp. | 310,413 | 10,942 |
* | ValueClick Inc. | 667,334 | 10,938 |
InterDigital Inc. | 369,872 | 10,915 | |
* | NETGEAR Inc. | 314,035 | 10,837 |
* | Progress Software Corp. | 515,782 | 10,764 |
* | FleetCor Technologies Inc. | 306,596 | 10,743 |
* | IPG Photonics Corp. | 243,131 | 10,598 |
* | DealerTrack Holdings Inc. | 348,651 | 10,498 |
* | JDA Software Group Inc. | 353,519 | 10,496 |
* | Comverse Technology Inc. | 1,793,734 | 10,440 |
* | NetSuite Inc. | 190,189 | 10,417 |
* | OSI Systems Inc. | 164,320 | 10,408 |
Littelfuse Inc. | 179,170 | 10,193 | |
Tellabs Inc. | 3,032,802 | 10,099 | |
j2 Global Inc. | 378,955 | 10,012 | |
^,* | 3D Systems Corp. | 292,224 | 9,977 |
* | Liquidity Services Inc. | 194,811 | 9,972 |
* | Acxiom Corp. | 650,639 | 9,831 |
* | RF Micro Devices Inc. | 2,293,635 | 9,748 |
Heartland Payment Systems Inc. | 323,426 | 9,729 | |
* | Entegris Inc. | 1,128,098 | 9,634 |
Blackbaud Inc. | 373,290 | 9,582 | |
Sapient Corp. | 918,800 | 9,252 | |
* | Acme Packet Inc. | 474,372 | 8,847 |
Power Integrations Inc. | 235,012 | 8,766 | |
* | MicroStrategy Inc. Class A | 67,259 | 8,734 |
* | Stratasys Inc. | 176,165 | 8,729 |
* | WebMD Health Corp. | 423,929 | 8,695 |
* | Monster Worldwide Inc. | 1,022,746 | 8,693 |
* | EchoStar Corp. Class A | 321,644 | 8,498 |
^,* | OpenTable Inc. | 187,567 | 8,442 |
* | Coherent Inc. | 193,663 | 8,386 |
* | TiVo Inc. | 1,010,537 | 8,357 |
Syntel Inc. | 136,082 | 8,260 | |
* | Tyler Technologies Inc. | 204,617 | 8,256 |
* | Plexus Corp. | 289,059 | 8,151 |
* | Synaptics Inc. | 275,912 | 7,899 |
* | Manhattan Associates Inc. | 170,941 | 7,814 |
* | LivePerson Inc. | 401,937 | 7,661 |
* | TriQuint Semiconductor Inc. | 1,383,072 | 7,607 |
* | SYNNEX Corp. | 215,651 | 7,438 |
* | Advent Software Inc. | 267,252 | 7,245 |
* | Euronet Worldwide Inc. | 414,830 | 7,102 |
* | Unisys Corp. | 360,323 | 7,044 |
* | Take-Two Interactive Software Inc. | 744,175 | 7,040 |
* | ScanSource Inc. | 227,816 | 6,980 |
Loral Space & Communications Inc. | 101,593 | 6,842 | |
* | Ultratech Inc. | 216,963 | 6,834 |
* | Standard Microsystems Corp. | 184,942 | 6,823 |
NIC Inc. | 531,475 | 6,750 | |
* | RealPage Inc. | 289,432 | 6,703 |
* | Benchmark Electronics Inc. | 480,258 | 6,700 |
38
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Tessera Technologies Inc. | 430,841 | 6,622 | |
* | Integrated Device Technology Inc. | 1,175,212 | 6,605 |
EarthLink Inc. | 882,139 | 6,563 | |
* | BroadSoft Inc. | 225,741 | 6,537 |
* | Netscout Systems Inc. | 286,675 | 6,189 |
* | Insight Enterprises Inc. | 365,242 | 6,147 |
* | Infinera Corp. | 897,144 | 6,136 |
* | Electronics for Imaging Inc. | 368,848 | 5,994 |
* | Websense Inc. | 313,528 | 5,872 |
* | FARO Technologies Inc. | 139,463 | 5,869 |
* | OmniVision Technologies Inc. | 435,237 | 5,815 |
* | Diodes Inc. | 305,717 | 5,738 |
* | Vantiv Inc. Class A | 245,387 | 5,715 |
^,* | Ancestry.com Inc. | 206,866 | 5,695 |
Cabot Microelectronics Corp. | 193,422 | 5,650 | |
* | Kenexa Corp. | 191,363 | 5,555 |
* | Sanmina-SCI Corp. | 676,245 | 5,538 |
* | Kulicke & Soffa Industries Inc. | 612,853 | 5,467 |
* | Bottomline Technologies Inc. | 301,895 | 5,449 |
* | ATMI Inc. | 263,656 | 5,423 |
* | LogMeIn Inc. | 177,557 | 5,419 |
* | Rogers Corp. | 134,989 | 5,347 |
* | Verint Systems Inc. | 180,658 | 5,331 |
^ | Ebix Inc. | 264,485 | 5,276 |
* | GT Advanced Technologies Inc. | 995,354 | 5,255 |
* | Rambus Inc. | 906,244 | 5,202 |
Brooks Automation Inc. | 550,678 | 5,198 | |
* | Emulex Corp. | 716,238 | 5,157 |
MTS Systems Corp. | 132,079 | 5,092 | |
* | MEMC Electronic Materials Inc. | 2,345,125 | 5,089 |
* | Monotype Imaging Holdings Inc. | 301,905 | 5,063 |
* | Digital River Inc. | 301,563 | 5,012 |
* | Ixia | 415,647 | 4,996 |
* | Monolithic Power Systems Inc. | 248,941 | 4,946 |
* | Sonus Networks Inc. | 2,281,109 | 4,904 |
* | SS&C Technologies Holdings Inc. | 195,996 | 4,900 |
* | Volterra Semiconductor Corp. | 208,439 | 4,888 |
* | CSG Systems International Inc. | 282,036 | 4,874 |
* | RealD Inc. | 322,449 | 4,824 |
* | comScore Inc. | 289,395 | 4,763 |
Badger Meter Inc. | 125,668 | 4,719 | |
* | Advanced Energy Industries Inc. | 346,016 | 4,644 |
* | Zynga Inc. Class A | 847,514 | 4,610 |
Pegasystems Inc. | 137,623 | 4,539 | |
Mantech International Corp.Class A | 193,000 | 4,530 | |
Comtech Telecommunications Corp. | 158,280 | 4,524 | |
* | Constant Contact Inc. | 250,996 | 4,488 |
* | Rofin-Sinar Technologies Inc. | 237,049 | 4,487 |
* | Spansion Inc. Class A | 408,275 | 4,483 |
Park Electrochemical Corp. | 172,984 | 4,477 | |
* | Power-One Inc. | 988,934 | 4,470 |
* | Amkor Technology Inc. | 913,691 | 4,459 |
Micrel Inc. | 458,083 | 4,366 | |
Booz Allen Hamilton Holding Corp. | 283,128 | 4,326 | |
* | Dice Holdings Inc. | 460,581 | 4,325 |
* | Web.com Group Inc. | 234,887 | 4,303 |
* | iGATE Corp. | 249,793 | 4,251 |
Forrester Research Inc. | 124,871 | 4,228 | |
AVX Corp. | 388,817 | 4,156 | |
* | Entropic Communications Inc. | 735,875 | 4,150 |
* | Synchronoss Technologies Inc. | 224,020 | 4,138 |
* | Harmonic Inc. | 966,914 | 4,119 |
Black Box Corp. | 140,892 | 4,044 | |
* | Blucora Inc. | 327,841 | 4,039 |
39
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Measurement Specialties Inc. | 123,961 | 4,030 |
* | TTM Technologies Inc. | 426,217 | 4,011 |
* | Quantum Corp. | 1,870,937 | 3,798 |
* | Accelrys Inc. | 467,161 | 3,779 |
^,* | OCZ Technology Group Inc. | 706,318 | 3,744 |
* | Newport Corp. | 307,665 | 3,698 |
EPIQ Systems Inc. | 301,320 | 3,691 | |
* | Exar Corp. | 450,090 | 3,673 |
* | Lattice Semiconductor Corp. | 973,726 | 3,671 |
* | DTS Inc. | 140,088 | 3,654 |
* | Global Cash Access Holdings Inc. | 499,656 | 3,603 |
* | TNS Inc. | 198,987 | 3,570 |
* | TeleTech Holdings Inc. | 220,461 | 3,527 |
* | Freescale Semiconductor Ltd. | 342,105 | 3,507 |
* | Super Micro Computer Inc. | 219,311 | 3,478 |
* | Ceva Inc. | 196,722 | 3,464 |
* | Move Inc. | 363,985 | 3,316 |
* | Higher One Holdings Inc. | 267,047 | 3,263 |
* | Interactive Intelligence Group Inc. | 112,970 | 3,187 |
* | Stamps.com Inc. | 129,024 | 3,183 |
United Online Inc. | 749,464 | 3,163 | |
* | Internap Network Services Corp. | 483,041 | 3,145 |
Electro Scientific Industries Inc. | 265,663 | 3,140 | |
OPNET | 117,438 | 3,123 | |
* | Brightpoint Inc. | 566,602 | 3,065 |
* | Mercury Computer Systems Inc. | 235,390 | 3,044 |
CTS Corp. | 319,979 | 3,014 | |
* | Perficient Inc. | 261,562 | 2,937 |
* | ExlService Holdings Inc. | 119,043 | 2,933 |
* | Checkpoint Systems Inc. | 333,873 | 2,908 |
* | Procera Networks Inc. | 119,320 | 2,901 |
* | Applied Micro Circuits Corp. | 498,363 | 2,851 |
Cass Information Systems Inc. | 69,766 | 2,808 | |
* | Anaren Inc. | 143,249 | 2,808 |
* | Vocus Inc. | 150,422 | 2,798 |
* | STEC Inc. | 356,710 | 2,782 |
* | Cray Inc. | 227,991 | 2,754 |
* | Deltek Inc. | 235,873 | 2,734 |
^,* | Glu Mobile Inc. | 484,399 | 2,688 |
Methode Electronics Inc. | 312,239 | 2,657 | |
* | Saba Software Inc. | 284,769 | 2,643 |
* | Sycamore Networks Inc. | 180,838 | 2,626 |
* | FormFactor Inc. | 404,221 | 2,615 |
* | Actuate Corp. | 374,623 | 2,596 |
* | Silicon Image Inc. | 623,636 | 2,582 |
* | IXYS Corp. | 229,499 | 2,564 |
* | LTX-Credence Corp. | 382,607 | 2,563 |
* | XO Group Inc. | 283,555 | 2,515 |
* | PROS Holdings Inc. | 146,831 | 2,470 |
Electro Rent Corp. | 151,962 | 2,466 | |
* | MIPS Technologies Inc. Class A | 367,501 | 2,451 |
* | Intermec Inc. | 395,144 | 2,450 |
* | Splunk Inc. | 85,877 | 2,413 |
* | Oplink Communications Inc. | 176,209 | 2,384 |
* | Nanometrics Inc. | 154,904 | 2,379 |
^,* | KIT Digital Inc. | 551,510 | 2,366 |
Unwired Planet Inc. | 1,011,041 | 2,325 | |
* | Extreme Networks | 669,909 | 2,305 |
* | Rudolph Technologies Inc. | 262,992 | 2,293 |
Daktronics Inc. | 329,349 | 2,276 | |
* | Photronics Inc. | 369,427 | 2,254 |
* | QuinStreet Inc. | 241,424 | 2,236 |
* | Bankrate Inc. | 121,538 | 2,235 |
* | Multi-Fineline Electronix Inc. | 90,617 | 2,233 |
40
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Cohu Inc. | 214,855 | 2,183 |
* Limelight Networks Inc. | 744,681 | 2,182 |
* Kemet Corp. | 358,570 | 2,155 |
* Computer Task Group Inc. | 142,649 | 2,138 |
* Zygo Corp. | 119,065 | 2,127 |
* CIBER Inc. | 493,163 | 2,126 |
* NVE Corp. | 39,286 | 2,112 |
* Fusion-io Inc. | 100,515 | 2,100 |
Keynote Systems Inc. | 135,678 | 2,015 |
* Integrated Silicon Solution Inc. | 194,692 | 1,964 |
* Digi International Inc. | 188,409 | 1,929 |
* Supertex Inc. | 101,581 | 1,915 |
* Jive Software Inc. | 90,527 | 1,900 |
* SciQuest Inc. | 105,239 | 1,890 |
* PRGX Global Inc. | 235,956 | 1,876 |
Telular Corp. | 201,113 | 1,858 |
* PLX Technology Inc. | 290,571 | 1,845 |
* SPS Commerce Inc. | 60,632 | 1,842 |
* Calix Inc. | 222,552 | 1,829 |
* Seachange International Inc. | 221,284 | 1,821 |
* Pericom Semiconductor Corp. | 202,230 | 1,820 |
* Symmetricom Inc. | 303,021 | 1,815 |
* Avid Technology Inc. | 240,844 | 1,789 |
* Kopin Corp. | 512,568 | 1,763 |
* Virtusa Corp. | 130,436 | 1,741 |
* Callidus Software Inc. | 348,807 | 1,737 |
* Ipass Inc. | 724,502 | 1,724 |
* Agilysys Inc. | 198,677 | 1,723 |
* Aviat Networks Inc. | 612,384 | 1,715 |
* VASCO Data Security International Inc. | 209,388 | 1,713 |
American Software Inc. Class A | 209,086 | 1,662 |
* Sigma Designs Inc. | 257,989 | 1,646 |
* Radisys Corp. | 260,627 | 1,637 |
* PDF Solutions Inc. | 163,928 | 1,618 |
* DSP Group Inc. | 254,969 | 1,617 |
* Globecomm Systems Inc. | 158,056 | 1,603 |
* support.com Inc. | 495,712 | 1,581 |
* CalAmp Corp. | 214,389 | 1,571 |
* Silicon Graphics International Corp. | 244,565 | 1,570 |
* Lionbridge Technologies Inc. | 497,644 | 1,568 |
* Oclaro Inc. | 512,416 | 1,558 |
* LeCroy Corp. | 108,605 | 1,549 |
* Envestnet Inc. | 126,633 | 1,520 |
* Datalink Corp. | 159,005 | 1,519 |
* Guidance Software Inc. | 157,893 | 1,502 |
* STR Holdings Inc. | 327,410 | 1,493 |
* SunPower Corp. Class A | 304,837 | 1,466 |
* Innodata Inc. | 213,797 | 1,462 |
* Zix Corp. | 559,817 | 1,456 |
* GSI Group Inc. | 126,843 | 1,454 |
RealNetworks Inc. | 167,827 | 1,450 |
* Maxwell Technologies Inc. | 216,462 | 1,420 |
* Cornerstone OnDemand Inc. | 58,392 | 1,390 |
* Rubicon Technology Inc. | 136,127 | 1,389 |
Aware Inc. | 214,803 | 1,386 |
* Imation Corp. | 226,279 | 1,337 |
* Intevac Inc. | 175,890 | 1,323 |
* Guidewire Software Inc. | 46,575 | 1,310 |
* Responsys Inc. | 107,500 | 1,303 |
* Micronetics Inc. | 87,380 | 1,286 |
* Pervasive Software Inc. | 170,783 | 1,279 |
Richardson Electronics Ltd. | 102,982 | 1,270 |
* KVH Industries Inc. | 101,478 | 1,268 |
* AXT Inc. | 320,217 | 1,265 |
41
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Vishay Precision Group Inc. | 90,205 | 1,258 |
* | MoneyGram International Inc. | 85,688 | 1,251 |
* | ModusLink Global Solutions Inc. | 402,434 | 1,203 |
* | Aeroflex Holding Corp. | 194,766 | 1,178 |
* | ServiceSource International Inc. | 84,152 | 1,166 |
* | Travelzoo Inc. | 50,676 | 1,151 |
MOCON Inc. | 73,191 | 1,127 | |
* | Hackett Group Inc. | 196,636 | 1,095 |
* | Key Tronic Corp. | 132,830 | 1,095 |
* | Immersion Corp. | 193,301 | 1,088 |
* | SRS Labs Inc. | 120,757 | 1,087 |
* | MoSys Inc. | 331,862 | 1,075 |
* | ShoreTel Inc. | 244,286 | 1,070 |
* | Fabrinet | 84,971 | 1,066 |
* | Tangoe Inc. | 49,993 | 1,065 |
EasyLink Services International Corp. Class A | 143,966 | 1,042 | |
* | Opnext Inc. | 821,181 | 1,035 |
* | Inphi Corp. | 108,568 | 1,029 |
Bel Fuse Inc. Class B | 58,373 | 1,028 | |
^,* | Yelp Inc. | 44,517 | 1,012 |
* | Transact Technologies Inc. | 130,847 | 1,009 |
* | Market Leader Inc. | 195,905 | 995 |
QAD Inc. Class A | 69,282 | 985 | |
* | Ultra Clean Holdings | 152,782 | 982 |
Digimarc Corp. | 37,954 | 974 | |
Mesa Laboratories Inc. | 20,790 | 967 | |
* | Neonode Inc. | 156,619 | 963 |
* | IntraLinks Holdings Inc. | 217,396 | 952 |
* | ANADIGICS Inc. | 514,435 | 931 |
* | Echelon Corp. | 263,723 | 918 |
* | FalconStor Software Inc. | 344,625 | 899 |
* | NAPCO Security Technologies Inc. | 305,202 | 897 |
* | Angie's List Inc. | 55,440 | 878 |
* | InvenSense Inc. | 75,700 | 855 |
* | Rosetta Stone Inc. | 60,839 | 842 |
* | Mattson Technology Inc. | 470,544 | 823 |
* | QuickLogic Corp. | 328,053 | 823 |
* | Reis Inc. | 85,531 | 822 |
* | Demand Media Inc. | 72,992 | 818 |
Marchex Inc. Class B | 225,446 | 814 | |
* | FSI International Inc. | 220,896 | 793 |
* | Axcelis Technologies Inc. | 656,001 | 787 |
PC Connection Inc. | 73,690 | 783 | |
* | Ramtron International Corp. | 258,903 | 782 |
^,* | Parkervision Inc. | 322,247 | 767 |
PC-Tel Inc. | 110,067 | 712 | |
Communications Systems Inc. | 63,413 | 708 | |
* | Active Network Inc. | 45,700 | 703 |
* | Mindspeed Technologies Inc. | 285,629 | 703 |
* | PC Mall Inc. | 128,872 | 697 |
* | Westell Technologies Inc. Class A | 290,049 | 690 |
* | Research Frontiers Inc. | 219,946 | 686 |
* | TeleNav Inc. | 111,094 | 681 |
* | Dynamics Research Corp. | 117,063 | 680 |
* | Official Payments Holdings Inc. Class B | 172,509 | 673 |
* | Frequency Electronics Inc. | 82,635 | 668 |
Pulse Electronics Corp. | 336,883 | 664 | |
Rimage Corp. | 81,535 | 652 | |
* | ExactTarget Inc. | 29,126 | 637 |
* | Network Engines Inc. | 429,278 | 605 |
^,* | Mitek Systems Inc. | 155,233 | 604 |
* | AuthenTec Inc. | 135,527 | 587 |
^,* | Wave Systems Corp. Class A | 848,382 | 585 |
* | Novatel Wireless Inc. | 232,213 | 578 |
42
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
^,* | Bazaarvoice Inc. | 31,400 | 572 |
Evolving Systems Inc. | 103,262 | 568 | |
* | Bsquare Corp. | 190,133 | 555 |
^,* | CVD Equipment Corp. | 42,205 | 543 |
^,* | Motricity Inc. | 853,721 | 529 |
* | GSE Systems Inc. | 227,283 | 523 |
Astro-Med Inc. | 65,498 | 521 | |
* | Data I/O Corp. | 178,966 | 519 |
* | Emcore Corp. | 115,057 | 509 |
Optical Cable Corp. | 112,281 | 505 | |
* | Imperva Inc. | 17,500 | 504 |
* | ePlus Inc. | 15,274 | 494 |
* | ServiceNow Inc. | 19,571 | 481 |
* | Local.com Corp. | 197,983 | 479 |
* | Performance Technologies Inc. | 208,479 | 467 |
* | CyberOptics Corp. | 54,940 | 464 |
* | Ikanos Communications Inc. | 532,461 | 461 |
* | ID Systems Inc. | 104,220 | 457 |
^,* | Document Security Systems Inc. | 112,999 | 453 |
* | Majesco Entertainment Co. | 224,458 | 449 |
* | Versant Corp. | 45,949 | 445 |
* | Infoblox Inc. | 19,000 | 436 |
* | Cinedigm Digital Cinema Corp. Class A | 289,609 | 434 |
* | Autobytel Inc. | 572,741 | 431 |
^,* | Demandware Inc. | 18,184 | 431 |
* | Smith Micro Software Inc. | 233,948 | 430 |
* | Carbonite Inc. | 47,755 | 427 |
* | Analysts International Corp. | 100,103 | 422 |
* | IEC Electronics Corp. | 67,509 | 410 |
* | Pfsweb Inc. | 142,662 | 405 |
* | GSI Technology Inc. | 85,463 | 405 |
* | Onvia Inc. | 107,083 | 403 |
* | MaxLinear Inc. | 75,936 | 377 |
^,* | Ubiquiti Networks Inc. | 26,200 | 373 |
Internet Patents Corp. | 92,098 | 364 | |
* | TeleCommunication Systems Inc. Class A | 294,852 | 363 |
* | LRAD Corp. | 300,444 | 358 |
* | Dot Hill Systems Corp. | 312,156 | 356 |
* | Amtech Systems Inc. | 94,458 | 355 |
* | Intellicheck Mobilisa Inc. | 203,551 | 350 |
* | StarTek Inc. | 115,440 | 335 |
* | PAR Technology Corp. | 67,179 | 331 |
RF Monolithics Inc. | 186,353 | 330 | |
* | Network Equipment Technologies Inc. | 250,607 | 328 |
^,* | MeetMe Inc. | 139,686 | 328 |
* | Online Resources Corp. | 128,409 | 312 |
* | LGL Group Inc. | 47,780 | 312 |
THQ Inc. | 500,076 | 310 | |
* | Tii Network Technologies Inc. | 145,542 | 310 |
* | LoJack Corp. | 99,777 | 301 |
* | BTU International Inc. | 113,267 | 301 |
* | Pixelworks Inc. | 121,193 | 293 |
* | Infosonics Corp. | 184,432 | 288 |
* | Information Services Group Inc. | 222,852 | 287 |
* | Numerex Corp. Class A | 30,278 | 282 |
^,* | Millennial Media Inc. | 20,236 | 267 |
* | Video Display Corp. | 68,908 | 265 |
TheStreet Inc. | 170,479 | 256 | |
* | Wireless Telecom Group Inc. | 203,236 | 250 |
* | NCI Inc. Class A | 61,493 | 249 |
* | Ellie Mae Inc. | 13,523 | 243 |
* | Identive Group Inc. | 258,857 | 242 |
Crexendo Inc. | 63,693 | 236 | |
^,* | Hutchinson Technology Inc. | 161,707 | 236 |
43
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Mattersight Corp. | 29,515 | 236 |
* | TechTarget Inc. | 45,592 | 230 |
* | Netlist Inc. | 100,323 | 227 |
* | M/A-COM Technology Solutions Holdings Inc. | 12,184 | 225 |
* | Cascade Microtech Inc. | 46,248 | 210 |
Tessco Technologies Inc. | 9,301 | 205 | |
* | Transwitch Corp. | 179,838 | 198 |
* | Edgewater Technology Inc. | 49,554 | 193 |
QAD Inc. Class B | 14,091 | 191 | |
* | Hauppauge Digital Inc. | 158,139 | 183 |
* | iGO Inc. | 432,897 | 182 |
* | EDGAR Online Inc. | 166,330 | 180 |
^,* | Microvision Inc. | 109,633 | 177 |
^,* | Powerwave Technologies Inc. | 242,477 | 176 |
* | eMagin Corp. | 56,435 | 174 |
* | Aetrium Inc. | 215,721 | 170 |
^,* | FriendFinder Networks Inc. | 179,588 | 169 |
* | Looksmart Ltd. | 208,579 | 162 |
* | Ditech Networks Inc. | 186,545 | 160 |
* | Sonic Foundry Inc. | 22,846 | 160 |
* | Alliance Fiber Optic Products Inc. | 17,656 | 158 |
* | Presstek Inc. | 363,160 | 155 |
* | Management Network Group Inc. | 72,395 | 155 |
^,* | USA Technologies Inc. | 105,764 | 152 |
* | Soundbite Communications Inc. | 55,782 | 147 |
* | Interphase Corp. | 32,374 | 142 |
* | Planar Systems Inc. | 82,659 | 136 |
* | Newtek Business Services Inc. | 109,403 | 136 |
^,* | Superconductor Technologies Inc. | 210,432 | 133 |
* | Zhone Technologies Inc. | 199,502 | 131 |
* | WebMediaBrands Inc. | 191,927 | 121 |
* | Marlborough Software Development Holdings Inc. | 131,616 | 117 |
* | TSR Inc. | 27,043 | 113 |
* | Lantronix Inc. | 55,385 | 113 |
* | Meru Networks Inc. | 60,136 | 105 |
Bel Fuse Inc. Class A | 5,719 | 104 | |
* | Selectica Inc. | 24,332 | 95 |
* | Wireless Ronin Technologies Inc. | 98,536 | 90 |
* | NetSol Technologies Inc. | 202,696 | 89 |
* | Park City Group Inc. | 22,169 | 88 |
* | eGain Communications Corp. | 13,953 | 76 |
* | Viasystems Group Inc. | 4,442 | 76 |
^,* | Lightpath Technologies Inc. Class A | 62,358 | 66 |
* | Inuvo Inc. | 94,525 | 64 |
* | Digital Ally Inc. | 148,969 | 61 |
* | TigerLogic Corp. | 29,780 | 61 |
* | ClearOne Communications Inc. | 14,744 | 60 |
* | MEMSIC Inc. | 20,785 | 54 |
* | Crossroads Systems Inc. | 12,450 | 54 |
* | Globalscape Inc. | 26,190 | 52 |
* | BroadVision Inc. | 4,343 | 50 |
* | Concurrent Computer Corp. | 11,896 | 49 |
* | MakeMusic Inc. | 12,456 | 49 |
* | Scientific Learning Corp. | 26,131 | 43 |
* | WidePoint Corp. | 70,726 | 42 |
* | Spire Corp. | 69,782 | 42 |
* | Advanced Photonix Inc. Class A | 70,659 | 38 |
* | SED International Holdings Inc. | 15,000 | 37 |
* | EPAM Systems Inc. | 2,100 | 36 |
* | Overland Storage Inc. | 18,885 | 36 |
* | Remark Media Inc. | 9,100 | 31 |
* | Relm Wireless Corp. | 18,822 | 30 |
* | Rainmaker Systems Inc. | 33,096 | 28 |
* | Daegis Inc. | 24,694 | 23 |
44
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
^,* | Dialogic Inc. | 35,718 | 22 |
* | World Energy Solutions Inc. | 6,442 | 20 |
* | Sutron Corp. | 2,900 | 15 |
* | Qualstar Corp. | 7,420 | 14 |
* | DayStar Technologies Inc. | 3,221 | 4 |
* | Sevcon Inc. | 500 | 3 |
3,262,415 | |||
Materials (6.2%) | |||
LyondellBasell Industries NV Class A | 2,579,252 | 103,867 | |
Ashland Inc. | 643,986 | 44,635 | |
Celanese Corp. Class A | 1,276,350 | 44,187 | |
Albemarle Corp. | 731,101 | 43,603 | |
* | Crown Holdings Inc. | 1,221,725 | 42,137 |
Valspar Corp. | 748,560 | 39,292 | |
Royal Gold Inc. | 489,542 | 38,380 | |
Rock-Tenn Co. Class A | 579,382 | 31,605 | |
Reliance Steel & Aluminum Co. | 613,151 | 30,964 | |
* | WR Grace & Co. | 613,308 | 30,941 |
Martin Marietta Materials Inc. | 373,659 | 29,452 | |
RPM International Inc. | 1,073,324 | 29,194 | |
Solutia Inc. | 1,014,743 | 28,464 | |
Rockwood Holdings Inc. | 634,873 | 28,157 | |
Aptargroup Inc. | 549,233 | 28,038 | |
Sonoco Products Co. | 820,826 | 24,748 | |
Packaging Corp. of America | 804,668 | 22,724 | |
Domtar Corp. | 296,158 | 22,718 | |
Walter Energy Inc. | 513,761 | 22,688 | |
Cytec Industries Inc. | 380,448 | 22,310 | |
Cabot Corp. | 523,546 | 21,308 | |
* | Allied Nevada Gold Corp. | 743,135 | 21,090 |
Steel Dynamics Inc. | 1,787,891 | 21,008 | |
Compass Minerals International Inc. | 274,340 | 20,927 | |
Huntsman Corp. | 1,580,230 | 20,448 | |
NewMarket Corp. | 87,956 | 19,051 | |
Silgan Holdings Inc. | 412,029 | 17,590 | |
Carpenter Technology Corp. | 365,128 | 17,468 | |
Sensient Technologies Corp. | 408,976 | 15,022 | |
Scotts Miracle-Gro Co. Class A | 358,728 | 14,751 | |
Eagle Materials Inc. | 373,299 | 13,939 | |
Olin Corp. | 664,809 | 13,888 | |
* | Coeur d'Alene Mines Corp. | 745,891 | 13,098 |
HB Fuller Co. | 409,615 | 12,575 | |
* | Louisiana-Pacific Corp. | 1,138,823 | 12,390 |
Commercial Metals Co. | 960,222 | 12,137 | |
* | Chemtura Corp. | 810,006 | 11,745 |
^,* | Molycorp Inc. | 544,048 | 11,724 |
Hecla Mining Co. | 2,367,230 | 11,244 | |
Greif Inc. Class A | 255,053 | 10,457 | |
Innophos Holdings Inc. | 179,616 | 10,141 | |
PolyOne Corp. | 739,075 | 10,111 | |
* | Intrepid Potash Inc. | 437,363 | 9,954 |
Minerals Technologies Inc. | 147,328 | 9,397 | |
Buckeye Technologies Inc. | 326,932 | 9,314 | |
* | Resolute Forest Products | 802,102 | 9,288 |
Texas Industries Inc. | 231,896 | 9,046 | |
Westlake Chemical Corp. | 171,591 | 8,967 | |
Worthington Industries Inc. | 436,330 | 8,932 | |
Schweitzer-Mauduit International Inc. | 129,766 | 8,842 | |
* | SunCoke Energy Inc. | 582,456 | 8,533 |
* | Stillwater Mining Co. | 957,915 | 8,181 |
Balchem Corp. | 242,863 | 7,920 | |
Georgia Gulf Corp. | 284,597 | 7,306 | |
Globe Specialty Metals Inc. | 517,359 | 6,948 |
45
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Kaiser Aluminum Corp. | 131,188 | 6,801 | |
* | Calgon Carbon Corp. | 471,818 | 6,709 |
* | Clearwater Paper Corp. | 191,277 | 6,526 |
Stepan Co. | 69,154 | 6,513 | |
PH Glatfelter Co. | 362,061 | 5,927 | |
AMCOL International Corp. | 209,307 | 5,926 | |
* | Kraton Performance Polymers Inc. | 266,739 | 5,844 |
Koppers Holdings Inc. | 171,257 | 5,823 | |
* | RTI International Metals Inc. | 251,082 | 5,682 |
* | Graphic Packaging Holding Co. | 1,000,802 | 5,504 |
Deltic Timber Corp. | 89,905 | 5,482 | |
AK Steel Holding Corp. | 919,774 | 5,399 | |
Haynes International Inc. | 100,996 | 5,145 | |
* | KapStone Paper and Packaging Corp. | 324,166 | 5,138 |
American Vanguard Corp. | 193,104 | 5,135 | |
* | OM Group Inc. | 268,649 | 5,104 |
Quaker Chemical Corp. | 107,548 | 4,970 | |
Schnitzer Steel Industries Inc. | 176,746 | 4,952 | |
A Schulman Inc. | 244,491 | 4,853 | |
* | McEwen Mining Inc. | 1,610,218 | 4,847 |
Myers Industries Inc. | 277,947 | 4,770 | |
* | LSB Industries Inc. | 153,420 | 4,742 |
Boise Inc. | 716,627 | 4,715 | |
Noranda Aluminum Holding Corp. | 552,131 | 4,395 | |
Materion Corp. | 184,383 | 4,246 | |
Wausau Paper Corp. | 415,067 | 4,039 | |
Neenah Paper Inc. | 149,659 | 3,994 | |
* | Flotek Industries Inc. | 411,600 | 3,844 |
* | TPC Group Inc. | 98,442 | 3,637 |
* | Horsehead Holding Corp. | 338,356 | 3,370 |
* | Ferro Corp. | 694,368 | 3,333 |
^,* | Century Aluminum Co. | 443,780 | 3,253 |
* | Omnova Solutions Inc. | 411,428 | 3,102 |
Hawkins Inc. | 80,577 | 3,076 | |
Tredegar Corp. | 204,604 | 2,979 | |
Kronos Worldwide Inc. | 180,300 | 2,847 | |
Zep Inc. | 202,076 | 2,775 | |
* | Headwaters Inc. | 515,040 | 2,652 |
* | ADA-ES Inc. | 96,291 | 2,443 |
* | General Moly Inc. | 748,373 | 2,350 |
* | AEP Industries Inc. | 43,386 | 1,890 |
* | Universal Stainless & Alloy | 45,756 | 1,881 |
Olympic Steel Inc. | 110,944 | 1,822 | |
* | Zoltek Cos. Inc. | 185,452 | 1,675 |
* | Landec Corp. | 174,894 | 1,497 |
* | Spartech Corp. | 281,330 | 1,455 |
* | Metals USA Holdings Corp. | 90,811 | 1,445 |
* | AM Castle & Co. | 132,983 | 1,412 |
* | Mercer International Inc. | 236,951 | 1,353 |
FutureFuel Corp. | 108,073 | 1,136 | |
* | Handy & Harman Ltd. | 65,982 | 889 |
* | Senomyx Inc. | 376,650 | 885 |
^,* | US Silica Holdings Inc. | 78,266 | 881 |
* | United States Lime & Minerals Inc. | 18,000 | 840 |
* | Penford Corp. | 81,876 | 733 |
Synalloy Corp. | 62,632 | 714 | |
KMG Chemicals Inc. | 33,751 | 651 | |
* | TOR Minerals International Inc. | 38,276 | 640 |
* | American Pacific Corp. | 44,346 | 467 |
* | Core Molding Technologies Inc. | 49,747 | 410 |
* | Arabian American Development Co. | 41,945 | 406 |
Chase Corp. | 26,236 | 346 | |
* | Solitario Exploration & Royalty Corp. | 218,116 | 288 |
^,* | US Antimony Corp. | 66,200 | 267 |
46
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Mod-Pac Corp. | 49,498 | 255 |
* | Mines Management Inc. | 186,037 | 251 |
* | Material Sciences Corp. | 27,794 | 228 |
^,* | Silver Bull Resources Inc. | 463,119 | 204 |
* | Timberline Resources Corp. | 366,815 | 103 |
* | Comstock Mining Inc. | 41,309 | 102 |
^,* | Clean Diesel Technologies Inc. | 51,075 | 102 |
* | US Concrete Inc. | 16,691 | 83 |
* | Verso Paper Corp. | 37,309 | 44 |
* | Cereplast Inc. | 68,057 | 20 |
1,361,061 | |||
Telecommunication Services (1.1%) | |||
* | SBA Communications Corp. Class A | 994,778 | 56,752 |
* | Level 3 Communications Inc. | 1,470,806 | 32,578 |
* | tw telecom inc Class A | 1,235,006 | 31,690 |
AboveNet Inc. | 217,069 | 18,234 | |
Telephone & Data Systems Inc. | 801,619 | 17,067 | |
* | NII Holdings Inc. | 1,421,249 | 14,539 |
* | Cogent Communications Group Inc. | 381,652 | 7,347 |
* | Cincinnati Bell Inc. | 1,635,129 | 6,083 |
* | United States Cellular Corp. | 119,281 | 4,607 |
* | Iridium Communications Inc. | 474,035 | 4,247 |
* | Premiere Global Services Inc. | 452,603 | 3,797 |
* | Neutral Tandem Inc. | 272,867 | 3,596 |
* | Leap Wireless International Inc. | 538,234 | 3,461 |
* | Clearwire Corp. Class A | 2,985,495 | 3,344 |
Consolidated Communications Holdings Inc. | 194,170 | 2,874 | |
USA Mobility Inc. | 215,880 | 2,776 | |
* | General Communication Inc. Class A | 329,294 | 2,737 |
* | 8x8 Inc. | 634,558 | 2,665 |
Shenandoah Telecommunications Co. | 187,931 | 2,558 | |
Atlantic Tele-Network Inc. | 74,825 | 2,524 | |
NTELOS Holdings Corp. | 117,475 | 2,214 | |
^ | SureWest Communications | 103,439 | 2,180 |
* | Vonage Holdings Corp. | 1,017,796 | 2,046 |
* | Cbeyond Inc. | 270,948 | 1,834 |
^,* | Fairpoint Communications Inc. | 296,262 | 1,822 |
IDT Corp. Class B | 156,511 | 1,535 | |
HickoryTech Corp. | 136,657 | 1,518 | |
Lumos Networks Corp. | 157,725 | 1,491 | |
* | ORBCOMM Inc. | 386,562 | 1,260 |
* | inContact Inc. | 249,435 | 1,250 |
^,* | Towerstream Corp. | 261,065 | 1,083 |
^,* | Hawaiian Telcom Holdco Inc. | 48,209 | 941 |
Warwick Valley Telephone Co. | 55,401 | 730 | |
^ | Alaska Communications Systems Group Inc. | 340,114 | 714 |
^,* | Elephant Talk Communications Inc. | 421,454 | 708 |
Primus Telecommunications Group Inc. | 41,555 | 647 | |
* | Boingo Wireless Inc. | 37,447 | 435 |
* | Multiband Corp. | 92,814 | 221 |
^,* | Globalstar Inc. | 503,042 | 161 |
NTS Inc. | 48,081 | 34 | |
246,300 | |||
Utilities (3.9%) | |||
* | Calpine Corp. | 3,126,377 | 51,617 |
American Water Works Co. Inc. | 1,447,399 | 49,617 | |
OGE Energy Corp. | 810,086 | 41,954 | |
Alliant Energy Corp. | 912,149 | 41,567 | |
NV Energy Inc. | 1,936,751 | 34,048 | |
MDU Resources Group Inc. | 1,548,688 | 33,467 | |
National Fuel Gas Co. | 679,098 | 31,904 | |
Westar Energy Inc. | 1,034,263 | 30,976 | |
Questar Corp. | 1,454,263 | 30,336 | |
ITC Holdings Corp. | 419,264 | 28,892 |
47
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||||
Value | |||||
Shares | ($000) | ||||
Aqua America Inc. | 1,135,153 | 28,333 | |||
UGI Corp. | 916,771 | 26,981 | |||
Great Plains Energy Inc. | 1,251,229 | 26,789 | |||
Atmos Energy Corp. | 734,672 | 25,765 | |||
Hawaiian Electric Industries Inc. | 798,656 | 22,778 | |||
Cleco Corp. | 505,075 | 21,127 | |||
Vectren Corp. | 680,292 | 20,082 | |||
Piedmont Natural Gas Co. Inc. | 600,751 | 19,338 | |||
IDACORP Inc. | 414,696 | 17,450 | |||
WGL Holdings Inc. | 427,658 | 16,999 | |||
Southwest Gas Corp. | 382,739 | 16,707 | |||
Portland General Electric Co. | 624,243 | 16,642 | |||
UIL Holdings Corp. | 419,758 | 15,053 | |||
New Jersey Resources Corp. | 344,418 | 15,020 | |||
Avista Corp. | 486,302 | 12,984 | |||
PNM Resources Inc. | 661,675 | 12,929 | |||
UNS Energy Corp. | 334,444 | 12,846 | |||
South Jersey Industries Inc. | 251,231 | 12,805 | |||
Black Hills Corp. | 364,874 | 11,738 | |||
ALLETE Inc. | 275,141 | 11,501 | |||
NorthWestern Corp. | 301,585 | 11,068 | |||
El Paso Electric Co. | 332,030 | 11,010 | |||
* | GenOn Energy Inc. | 6,403,775 | 10,950 | ||
Northwest Natural Gas Co. | 222,557 | 10,594 | |||
MGE Energy Inc. | 189,108 | 8,945 | |||
CH Energy Group Inc. | 123,921 | 8,140 | |||
Laclede Group Inc. | 186,803 | 7,437 | |||
Empire District Electric Co. | 345,376 | 7,287 | |||
Otter Tail Corp. | 296,319 | 6,777 | |||
California Water Service Group | 342,135 | 6,319 | |||
American States Water Co. | 155,849 | 6,169 | |||
Ormat Technologies Inc. | 178,677 | 3,822 | |||
Chesapeake Utilities Corp. | 83,062 | 3,632 | |||
Middlesex Water Co. | 142,551 | 2,709 | |||
Unitil Corp. | 93,523 | 2,478 | |||
SJW Corp. | 101,143 | 2,428 | |||
Connecticut Water Service Inc. | 66,290 | 1,921 | |||
Delta Natural Gas Co. Inc. | 72,630 | 1,578 | |||
York Water Co. | 81,906 | 1,465 | |||
Genie Energy Ltd. Class B | 147,785 | 1,148 | |||
Artesian Resources Corp. Class A | 51,295 | 1,105 | |||
* | Cadiz Inc. | 97,163 | 701 | ||
^,* | US Geothermal Inc. | 514,441 | 201 | ||
* | Pure Cycle Corp. | 87,217 | 188 | ||
^,* | Synthesis Energy Systems Inc. | 145,152 | 177 | ||
^,* | American DG Energy Inc. | 49,512 | 112 | ||
856,606 | |||||
Total Common Stocks (Cost $20,325,588) | 21,806,058 | ||||
Coupon | |||||
Temporary Cash Investments (1.4%)1 | |||||
Money Market Fund (1.3%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.148% | 286,769,365 | 286,770 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
4,5 | Fannie Mae Discount Notes | 0.110% | 8/29/12 | 2,000 | 1,999 |
48
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2012
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5,6 | Federal Home Loan Bank Discount Notes | 0.130% | 7/20/12 | 2,000 | 2,000 |
5,6 | Federal Home Loan Bank Discount Notes | 0.126% | 8/3/12 | 500 | 500 |
5,6 | Federal Home Loan Bank Discount Notes | 0.135% | 8/10/12 | 2,300 | 2,299 |
5,6 | Federal Home Loan Bank Discount Notes | 0.120% | 8/21/12 | 500 | 500 |
6 | Federal Home Loan Bank Discount Notes | 0.130% | 9/21/12 | 100 | 100 |
4,5 | Freddie Mac Discount Notes | 0.150% | 9/10/12 | 1,000 | 1,000 |
8,398 | |||||
Total Temporary Cash Investments (Cost $295,168) | 295,168 | ||||
Total Investments (100.8%) (Cost $20,620,756) | 22,101,226 | ||||
Other Assets and Liabilities—Net (-0.8%) | (169,814) | ||||
Net Assets (100%) | 21,931,412 |
Securities with a market value of less than $500 are displayed with a dash.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $181,769,000.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.8%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $194,841,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
5 Securities with a value of $8,298,000 have been segregated as initial margin for open futures contracts.
6 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
REIT—Real Estate Investment Trust.
49
© 2012 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 982 082012
![]() |
Semiannual Report | June 30, 2012 |
Vanguard U.S. Stock Index Funds |
Large-Capitalization Portfolios |
Vanguard Growth Index Fund |
Vanguard Value Index Fund |
Vanguard Large-Cap Index Fund |
> For the six months ended June 30, 2012, returns for Investor Shares of Vanguard’s large-capitalization U.S. index funds ranged from 7.86% for Vanguard Value Index Fund to 10.70% for Vanguard Growth Index Fund.
> Returns for all three funds were in line with their target benchmarks.
> Stocks in the information technology and financial sectors were among the top performers for the period.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Growth Index Fund. | 9 |
Value Index Fund. | 28 |
Large-Cap Index Fund. | 47 |
About Your Fund’s Expenses. | 71 |
Trustees Approve Advisory Arrangement. | 74 |
Glossary. | 75 |
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_lcx2x1.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.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose
performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we
strive to help clients reach their financial goals.
Your Fund’s Total Returns
Six Months Ended June 30, 2012
Total | |
Returns | |
Vanguard Growth Index Fund | |
Investor Shares | 10.70% |
Admiral™ Shares | 10.78 |
Signal® Shares | 10.77 |
Institutional Shares | 10.79 |
ETF Shares | |
Market Price | 10.73 |
Net Asset Value | 10.77 |
MSCI US Prime Market Growth Index | 10.84 |
Large-Cap Growth Funds Average | 9.63 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Value Index Fund | |
Investor Shares | 7.86% |
Admiral Shares | 7.89 |
Signal Shares | 7.92 |
Institutional Shares | 7.91 |
ETF Shares | |
Market Price | 7.89 |
Net Asset Value | 7.90 |
MSCI US Prime Market Value Index | 7.93 |
Large-Cap Value Funds Average | 7.38 |
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; 7,720,749; 7,925,573; 8,090,646.
1
Your Fund’s Total Returns
Six Months Ended June 30, 2012
Total | |
Returns | |
Vanguard Large-Cap Index Fund | |
Investor Shares | 9.28% |
Admiral Shares | 9.31 |
Signal Shares | 9.34 |
Institutional Shares | 9.34 |
ETF Shares | |
Market Price | 9.34 |
Net Asset Value | 9.33 |
MSCI US Prime Market 750 Index | 9.38 |
Large-Cap Core Funds Average | 7.96 |
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; 7,720,749; 7,925,573; 8,090,646.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
2
Your Fund’s Performance at a Glance
December 31, 2011, Through June 30, 2012 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Growth Index Fund | ||||
Investor Shares | $31.79 | $35.01 | $0.183 | $0.000 |
Admiral Shares | 31.79 | 35.01 | 0.207 | 0.000 |
Signal Shares | 29.44 | 32.42 | 0.192 | 0.000 |
Institutional Shares | 31.79 | 35.01 | 0.211 | 0.000 |
ETF Shares | 61.76 | 68.01 | 0.403 | 0.000 |
Vanguard Value Index Fund | ||||
Investor Shares | $20.47 | $21.81 | $0.267 | $0.000 |
Admiral Shares | 20.47 | 21.80 | 0.284 | 0.000 |
Signal Shares | 21.30 | 22.69 | 0.296 | 0.000 |
Institutional Shares | 20.47 | 21.80 | 0.287 | 0.000 |
ETF Shares | 52.48 | 55.89 | 0.730 | 0.000 |
Vanguard Large-Cap Index Fund | ||||
Investor Shares | $23.16 | $25.09 | $0.220 | $0.000 |
Admiral Shares | 28.96 | 31.36 | 0.297 | 0.000 |
Signal Shares | 25.26 | 27.36 | 0.259 | 0.000 |
Institutional Shares | 119.18 | 129.08 | 1.237 | 0.000 |
ETF Shares | 57.34 | 62.10 | 0.589 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
Vanguard’s large-capitalization U.S. index funds delivered strong results for the six months ended June 30, 2012, posting returns ranging from 7.86% for Vanguard Value Index Fund to 10.70% for Vanguard Growth Index Fund. Vanguard Large-Cap Index Fund, which invests in both value and growth stocks, fell between the other two funds, returning 9.28% for the period. (All returns are for the funds’ Investor Shares.)
The returns of all three funds closely tracked those of their target indexes, which were higher than the average returns of their peer groups for the period.
In case you missed our announcement last month, George U. “Gus” Sauter, managing director and chief investment officer of Vanguard, intends to retire at the end of 2012. It’s hard to overstate the contributions Gus has made to Vanguard in his 25-year career. He honed the strategy and built the team that have helped make Vanguard a world leader in indexing, and he developed our active quantitative equity strategies.
We’re fortunate that Mortimer J. “Tim” Buckley, also a managing director, will succeed Gus. Tim has been a member of Vanguard’s senior staff since 2001 and has directed Vanguard’s Retail Investor Group since 2006. I’ll have more to say about Gus’s retirement at the end of the year, but I did want to mention the news in case you hadn’t heard.
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_lcx6x2.jpg)
U.S. stocks had strong returns, but Europe remained a trouble spot
U.S. stocks were the standout performers for the six months ended June 30, returning about 9%. Domestic equities seemed to benefit from the perception that they offered some shelter from the storms roiling European markets. International stocks didn’t fare as well, returning about 3%. European stocks were the weakest performers. Returns for emerging markets and for the developed markets of the Pacific region were restrained by signs of slowing growth.
Throughout the period, investors were preoccupied with Europe’s debt troubles, and global stock markets moved sharply up and down depending on whether the latest news from the region was positive or negative. Vanguard economists expect Europe to remain a trouble spot. The most likely scenario is that it will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Investors’ appetite for Treasuries drove 10-year yield to a new low
Amid the turmoil in Europe, U.S. Treasury securities continued to benefit from a “flight to quality.” Investor demand nudged bond prices higher, and in early June, the yield of the 10-year U.S. Treasury note slipped below 1.5% for the first time. (Bond yields and prices move in opposite directions.) It’s important to understand
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 9.38% | 4.37% | 0.39% |
Russell 2000 Index (Small-caps) | 8.53 | -2.08 | 0.54 |
Dow Jones U.S. Total Stock Market Index | 9.45 | 3.78 | 0.63 |
MSCI All Country World Index ex USA (International) | 2.77 | -14.57 | -4.62 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 2.37% | 7.47% | 6.79% |
Barclays Municipal Bond Index (Broad tax-exempt | |||
market) | 3.66 | 9.90 | 5.95 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.87 |
CPI | |||
Consumer Price Index | 1.69% | 1.66% | 1.95% |
5
that low yields imply lower future returns: As yields tumble, the scope for further declines—and price increases—diminishes.
The broad U.S. taxable bond market posted a return of about 2% for the half-year. Municipal bonds remained a bright spot, delivering a return of more than 3%.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%. That policy has kept a tight lid on the returns from money market funds and savings accounts.
Growth stocks outpaced their value counterparts
Vanguard’s three large-cap index funds provide exposure to some of the United States’ biggest companies. Investors may choose to invest broadly in the large-cap segment of the market through the Large-Cap Index Fund, or to focus specifically on its growth or value sectors through the Growth Index or Value Index Funds.
Overall, stocks performed well, and nine of ten market sectors posted positive results for the period. The lone exception was the
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 | 0.24% | 0.10% | 0.10% | 0.08% | 0.10% | 1.37% |
Value Index Fund | 0.24 | 0.10 | 0.10 | 0.08 | 0.10 | 1.23 |
Large-Cap Index Fund | 0.24 | 0.10 | 0.10 | 0.08 | 0.10 | 1.19 |
The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the funds’ annualized expense ratios were: for the Growth 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 Value 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; 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 2011.
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
energy sector, which detracted from the performance of all three funds. Stocks of information technology and financial companies contributed most significantly to the funds’ returns.
The technology sector—one of the market’s top performers for the period and the leading contributor in the Growth Index and Large-Cap Index Funds—benefited from optimism among investors that a stronger economy would foster greater consumer and business demand. Stellar sales of smartphones and tablet computers also boosted performance.
The financial sector, the Value Index Fund’s top contributor for the period, performed well as investors saw signs that banks and other institutions are getting past the lingering effects of mortgage defaults associated with the U.S. housing downturn.
Stocks within the consumer discretionary, health care, and industrial sectors also contributed to the three funds’ performance. The energy sector reflected investors’ concern about softening global demand for oil and how that will affect the profitability of companies in the sector.
All three funds tightly tracked their benchmarks for the period. This performance is a tribute to the funds’ advisor, the Vanguard Equity Investment Group, which combines skilled portfolio management with sophisticated risk control and trading systems. The advisor was also helped by the funds’ low expense ratios, which help investors to keep more of the returns on their investment.
Good news: Investors are smart, and they’re getting smarter
In recent years, I’ve often written in this space about the challenges facing investors, from the 2008–2009 financial crisis to the more recent market volatility caused by Europe’s debt troubles. Bad news inevitably seems to grab attention, and it’s our responsibility to speak to you candidly about these difficulties and to offer Vanguard’s perspective.
I think it’s also our responsibility to point out positive developments that may have been overlooked. On that score, I’ve been especially heartened to see individual investors become more discerning over time, particularly about the costs of investing. As I said in a recent address to financial advisors: Individual investors are smart and getting smarter. And that’s a good thing. Increasingly, they are bringing a healthy consumer mentality to their investment portfolios. They want to know what they are buying and how much they are paying for it.
Vanguard research confirms that over the past decade investors have displayed a growing cost consciousness, directing a larger share of their money to low-cost investments. You can read the full report—
Costs Matter: Are Fund Investors Voting With Their Feet?—at vanguard.com/ research. In our view, investors are serving their interests by focusing on costs. The math is simple: The less investors pay for an investment, the more of their returns they keep. And
7
because cost savings compound over the long term, keeping costs low can help investors build greater wealth.
So if you’re feeling buffeted by the latest headlines, it can be constructive to direct your attention to one of the things you can control: your investment costs. We continue to believe that holding a balanced and diversified portfolio of low-cost investments can give investors a greater chance of reaching their long-term financial goals. The low-cost Vanguard large-cap index funds can play an important role in such a portfolio.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_lcx10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 12, 2012
8
Growth Index Fund
Fund Profile
As of June 30, 2012
Share-Class Characteristics
Investor | Admiral | Signal | Institutional | ETF | |
Shares | Shares | Shares | Shares | Shares | |
Ticker Symbol | VIGRX | VIGAX | VIGSX | VIGIX | VUG |
Expense Ratio1 | 0.24% | 0.10% | 0.10% | 0.08% | 0.10% |
30-Day SEC Yield | 1.26% | 1.40% | 1.40% | 1.42% | 1.40% |
Portfolio Characteristics | |||
MSCI US | |||
Prime | DJ | ||
Market | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 412 | 411 | 3,694 |
Median Market Cap $44.2B | $44.2B | $33.1B | |
Price/Earnings Ratio | 17.8x | 17.8x | 16.1x |
Price/Book Ratio | 3.7x | 3.7x | 2.1x |
Return on Equity | 23.6% | 23.3% | 18.1% |
Earnings Growth Rate | 18.0% | 18.0% | 9.4% |
Dividend Yield | 1.3% | 1.3% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 17% | — | — |
Short-Term Reserves | 0.3% | — | — |
Volatility Measures | ||
MSCI US | DJ | |
Prime Market | U.S. Total | |
Growth | Market | |
Index | Index | |
R-Squared | 1.00 | 0.98 |
Beta | 1.00 | 1.00 |
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 | 8.3% | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 3.3 |
Coca-Cola Co. | Soft Drinks | 2.4 |
Philip Morris | ||
International Inc. | Tobacco | 2.3 |
Microsoft Corp. | Systems Software | 2.3 |
Google Inc. Class A | Internet Software & | |
Services | 2.3 | |
Wal-Mart Stores Inc. | Hypermarkets & | |
Super Centers | 2.0 | |
Oracle Corp. | Systems Software | 1.8 |
QUALCOMM Inc. | Communications | |
Equipment | 1.4 | |
Cisco Systems Inc. | Communications | |
Equipment | 1.4 | |
Top Ten | 27.5% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, 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.
9
Growth Index Fund
Sector Diversification (% of equity exposure) | |||
MSCI US | |||
Prime | DJ | ||
Market | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Consumer Discretionary 18.3% | 18.4% | 11.9% | |
Consumer Staples | 11.4 | 11.3 | 9.8 |
Energy | 6.1 | 6.1 | 10.0 |
Financials | 5.3 | 5.3 | 15.9 |
Health Care | 10.4 | 10.4 | 12.0 |
Industrials | 12.0 | 12.0 | 10.8 |
Information Technology 32.1 | 32.1 | 19.1 | |
Materials | 3.9 | 3.9 | 3.9 |
Telecommunication | |||
Services | 0.4 | 0.4 | 2.9 |
Utilities | 0.1 | 0.1 | 3.7 |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_lcx12x1.jpg)
10
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, 2001, Through June 30, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_lcx13x1.jpg)
Growth Index Fund Investor Shares |
Spliced Growth Index |
Spliced Growth Index: S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth Index thereafter.
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 11/2/1992 | 6.32% | 2.91% | 5.89% |
Admiral Shares | 11/13/2000 | 6.50 | 3.06 | 6.02 |
Signal Shares | 6/4/2007 | 6.49 | 3.06 | 2.641 |
Institutional Shares | 5/14/1998 | 6.52 | 3.10 | 6.06 |
ETF Shares | 1/26/2004 | |||
Market Price | 6.45 | 3.06 | 4.751 | |
Net Asset Value | 6.48 | 3.06 | 4.751 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
11
Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2012
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 (18.4%) | |||
McDonald’s Corp. | 3,780,262 | 334,667 | |
* | Amazon.com Inc. | 1,351,125 | 308,529 |
Home Depot Inc. | 5,721,300 | 303,172 | |
Comcast Corp. Class A | 8,676,914 | 277,401 | |
Starbucks Corp. | 2,796,116 | 149,089 | |
News Corp. Class A | 6,218,479 | 138,610 | |
Target Corp. | 2,359,824 | 137,318 | |
* | priceline.com Inc. | 184,826 | 122,821 |
* | DIRECTV Class A | 2,509,880 | 122,532 |
NIKE Inc. Class B | 1,369,269 | 120,194 | |
TJX Cos. Inc. | 2,799,383 | 120,178 | |
Yum! Brands Inc. | 1,708,806 | 110,081 | |
Walt Disney Co. | 2,211,813 | 107,273 | |
Time Warner Cable Inc. | 1,165,762 | 95,709 | |
Viacom Inc. Class B | 1,815,661 | 85,372 | |
Lowe’s Cos. Inc. | 2,993,817 | 85,144 | |
CBS Corp. Class B | 2,247,799 | 73,683 | |
Las Vegas Sands Corp. | 1,498,461 | 65,168 | |
Coach Inc. | 1,068,058 | 62,460 | |
* | Bed Bath & Beyond Inc. | 895,389 | 55,335 |
Ross Stores Inc. | 848,658 | 53,016 | |
* | AutoZone Inc. | 130,106 | 47,771 |
* | Dollar Tree Inc. | 883,550 | 47,535 |
Johnson Controls Inc. | 1,642,226 | 45,506 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 116,030 | 44,086 | |
VF Corp. | 328,436 | 43,830 | |
* | Dollar General Corp. | 801,753 | 43,607 |
McGraw-Hill Cos. Inc. | 928,624 | 41,788 | |
Comcast Corp. | 1,330,673 | 41,783 | |
Limited Brands Inc. | 934,952 | 39,763 | |
* | O’Reilly Automotive Inc. | 472,557 | 39,586 |
Harley-Davidson Inc. | 855,535 | 39,124 | |
Marriott International Inc. | |||
Class A | 991,283 | 38,858 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 727,903 | 38,608 |
Market | ||||
Value | ||||
Shares | ($000) | |||
News Corp. Class B | 1,629,968 | 36,707 | ||
* | Liberty Media Corp. - | |||
Liberty Capital Class A | 395,411 | 34,761 | ||
Gap Inc. | 1,178,047 | 32,231 | ||
Ralph Lauren Corp. | ||||
Class A | 228,371 | 31,986 | ||
Omnicom Group Inc. | 658,127 | 31,985 | ||
Wynn Resorts Ltd. | 298,513 | 30,962 | ||
* | Liberty Global Inc. | 609,032 | 29,081 | |
* | Discovery Communications | |||
Inc. Class A | 529,009 | 28,566 | ||
PetSmart Inc. | 414,355 | 28,251 | ||
* | BorgWarner Inc. | 405,116 | 26,572 | |
* | Sirius XM Radio Inc. | 13,937,053 | 25,784 | |
Tiffany & Co. | 471,223 | 24,951 | ||
Family Dollar Stores Inc. | 371,577 | 24,702 | ||
* | Lululemon Athletica Inc. | 372,832 | 22,232 | |
Tractor Supply Co. | 265,925 | 22,088 | ||
* | CarMax Inc. | 840,984 | 21,815 | |
Ulta Salon Cosmetics & | ||||
Fragrance Inc. | 221,773 | 20,709 | ||
* | Discovery | |||
Communications Inc. | 406,192 | 20,346 | ||
PVH Corp. | 255,463 | 19,872 | ||
Scripps Networks | ||||
Interactive Inc. Class A | 341,952 | 19,443 | ||
Advance Auto Parts Inc. | 270,686 | 18,466 | ||
Lennar Corp. Class A | 584,254 | 18,059 | ||
* | LKQ Corp. | 519,277 | 17,344 | |
* | Liberty Global Inc. Class A | 349,290 | 17,335 | |
Polaris Industries Inc. | 241,394 | 17,255 | ||
Dick’s Sporting Goods Inc. | 358,583 | 17,212 | ||
* | TripAdvisor Inc. | 383,038 | 17,118 | |
Virgin Media Inc. | 639,439 | 15,596 | ||
* | Sally Beauty Holdings Inc. | 600,192 | 15,449 | |
* | Apollo Group Inc. Class A | 420,606 | 15,222 | |
* | MGM Resorts International 1,360,770 | 15,186 | ||
* | Fossil Inc. | 195,010 | 14,926 | |
* | Panera Bread Co. Class A | 105,252 | 14,676 | |
Signet Jewelers Ltd. | 322,581 | 14,197 |
12
Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | PulteGroup Inc. | 1,278,016 | 13,675 |
* | Under Armour Inc. Class A | 142,909 | 13,502 |
* | Netflix Inc. | 195,467 | 13,384 |
* | Liberty Interactive Corp. | ||
Class A | 709,105 | 12,615 | |
* | Urban Outfitters Inc. | 427,153 | 11,785 |
Tupperware Brands Corp. | 207,884 | 11,384 | |
Gentex Corp. | 534,734 | 11,160 | |
DISH Network Corp. | |||
Class A | 386,311 | 11,029 | |
Abercrombie & Fitch Co. | 317,891 | 10,853 | |
* | Goodyear Tire & Rubber Co. 905,423 | 10,693 | |
* | Charter Communications Inc. | ||
Class A | 149,047 | 10,563 | |
Dunkin’ Brands Group Inc. | 289,466 | 9,940 | |
Cablevision Systems Corp. | |||
Class A | 735,432 | 9,774 | |
Interpublic Group of | |||
Cos. Inc. | 827,888 | 8,983 | |
* | Toll Brothers Inc. | 278,305 | 8,274 |
^,* | Sears Holdings Corp. | 138,094 | 8,244 |
* | NVR Inc. | 8,923 | 7,585 |
* | Deckers Outdoor Corp. | 143,022 | 6,294 |
International Game | |||
Technology | 384,774 | 6,060 | |
* | Delphi Automotive plc | 236,583 | 6,033 |
* | AutoNation Inc. | 170,603 | 6,019 |
Garmin Ltd. | 151,713 | 5,809 | |
* | Tempur-Pedic | ||
International Inc. | 235,668 | 5,512 | |
Weight Watchers | |||
International Inc. | 102,302 | 5,275 | |
* | Lamar Advertising Co. | ||
Class A | 150,165 | 4,295 | |
Williams-Sonoma Inc. | 119,583 | 4,182 | |
* | Hyatt Hotels Corp. Class A | 58,841 | 2,187 |
4,475,791 | |||
Consumer Staples (11.3%) | |||
Coca-Cola Co. | 7,559,556 | 591,082 | |
Philip Morris | |||
International Inc. | 6,390,498 | 557,635 | |
Wal-Mart Stores Inc. | 6,990,614 | 487,386 | |
Colgate-Palmolive Co. | 1,779,883 | 185,286 | |
Costco Wholesale Corp. | 1,614,188 | 153,348 | |
PepsiCo Inc. | 2,040,268 | 144,165 | |
Walgreen Co. | 3,241,893 | 95,895 | |
Whole Foods Market Inc. | 643,019 | 61,292 | |
Mead Johnson | |||
Nutrition Co. | 755,860 | 60,854 | |
Estee Lauder Cos. Inc. | |||
Class A | 875,600 | 47,387 | |
Kroger Co. | 2,026,558 | 46,996 | |
General Mills Inc. | 1,196,334 | 46,107 | |
Kellogg Co. | 927,971 | 45,777 |
Market | |||
Value• | |||
Shares | ($000) | ||
Hershey Co. | 581,365 | 41,876 | |
* | Monster Beverage Corp. | 549,968 | 39,158 |
Brown-Forman Corp. | |||
Class B | 302,406 | 29,288 | |
HJ Heinz Co. | 415,555 | 22,598 | |
Herbalife Ltd. | 431,544 | 20,856 | |
* | Energizer Holdings Inc. | 244,775 | 18,419 |
Clorox Co. | 228,906 | 16,586 | |
Beam Inc. | 261,806 | 16,360 | |
Church & Dwight Co. Inc. | 264,298 | 14,661 | |
* | Green Mountain Coffee | ||
Roasters Inc. | 488,595 | 10,642 | |
Hillshire Brands Co. | 283,821 | 8,228 | |
Hormel Foods Corp. | 188,716 | 5,741 | |
Ingredion Inc. | 98,664 | 4,886 | |
DE Master Blenders | 30,307 | 342 | |
2,772,851 | |||
Energy (6.1%) | |||
Schlumberger Ltd. | 4,952,083 | 321,440 | |
Anadarko Petroleum Corp. | 1,849,895 | 122,463 | |
National Oilwell Varco Inc. | 1,574,485 | 101,460 | |
Halliburton Co. | 3,415,047 | 96,953 | |
EOG Resources Inc. | 998,724 | 89,995 | |
Williams Cos. Inc. | 2,197,832 | 63,342 | |
Kinder Morgan Inc. | 1,779,532 | 57,337 | |
Noble Energy Inc. | 656,836 | 55,713 | |
* | Southwestern Energy Co. | 1,295,464 | 41,364 |
* | Cameron | ||
International Corp. | 913,657 | 39,022 | |
Pioneer Natural | |||
Resources Co. | 434,631 | 38,339 | |
Range Resources Corp. | 600,315 | 37,141 | |
* | FMC Technologies Inc. | 887,323 | 34,810 |
* | Concho Resources Inc. | 365,699 | 31,128 |
EQT Corp. | 555,659 | 29,800 | |
CONSOL Energy Inc. | 842,895 | 25,489 | |
Baker Hughes Inc. | 568,412 | 23,362 | |
* | Denbury Resources Inc. | 1,448,537 | 21,887 |
Core Laboratories NV | 176,799 | 20,491 | |
Cabot Oil & Gas Corp. | 506,209 | 19,945 | |
QEP Resources Inc. | 658,834 | 19,745 | |
Oceaneering | |||
International Inc. | 400,990 | 19,191 | |
* | Whiting Petroleum Corp. | 435,984 | 17,928 |
Helmerich & Payne Inc. | 398,607 | 17,331 | |
* | Cobalt International | ||
Energy Inc. | 681,197 | 16,008 | |
* | Ultra Petroleum Corp. | 566,061 | 13,059 |
* | Weatherford | ||
International Ltd. | 985,272 | 12,444 | |
* | Dresser-Rand Group Inc. | 278,628 | 12,410 |
* | Kinder Morgan | ||
Management LLC | 167,200 | 12,276 | |
* | WPX Energy Inc. | 737,246 | 11,929 |
SM Energy Co. | 237,388 | 11,658 |
13
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Continental Resources Inc. | 167,903 | 11,186 |
* | Plains Exploration & | ||
Production Co. | 308,552 | 10,855 | |
* | SandRidge Energy Inc. | 1,362,393 | 9,114 |
HollyFrontier Corp. | 257,050 | 9,107 | |
Sunoco Inc. | 138,798 | 6,593 | |
Diamond Offshore | |||
Drilling Inc. | 89,904 | 5,316 | |
* | Superior Energy | ||
Services Inc. | 203,764 | 4,122 | |
* | Laredo Petroleum | ||
Holdings Inc. | 94,461 | 1,965 | |
1,493,718 | |||
Financials (5.3%) | |||
American Express Co. | 3,896,319 | 226,805 | |
Simon Property Group Inc. | 1,105,043 | 172,011 | |
American Tower | |||
Corporation | 1,461,253 | 102,156 | |
* | Berkshire Hathaway Inc. | ||
Class B | 1,183,953 | 98,659 | |
Public Storage | 540,409 | 78,040 | |
Equity Residential | 1,114,356 | 69,491 | |
T. Rowe Price Group Inc. | 940,790 | 59,232 | |
Franklin Resources Inc. | 364,673 | 40,475 | |
Northern Trust Corp. | 805,389 | 37,064 | |
* | IntercontinentalExchange | ||
Inc. | 269,461 | 36,641 | |
General Growth | |||
Properties Inc. | 1,565,884 | 28,327 | |
Host Hotels & Resorts Inc. | 1,706,937 | 27,004 | |
Charles Schwab Corp. | 2,005,397 | 25,930 | |
* | American International | ||
Group Inc. | 785,901 | 25,219 | |
* | Affiliated Managers | ||
Group Inc. | 192,132 | 21,029 | |
Boston Properties Inc. | 192,639 | 20,876 | |
* | Arch Capital Group Ltd. | 498,656 | 19,792 |
* | CBRE Group Inc. Class A | 1,156,282 | 18,917 |
Aon plc | 401,371 | 18,776 | |
Taubman Centers Inc. | 215,561 | 16,633 | |
Weyerhaeuser Co. | 697,311 | 15,592 | |
* | MSCI Inc. Class A | 450,783 | 15,336 |
TD Ameritrade | |||
Holding Corp. | 814,423 | 13,845 | |
Brown & Brown Inc. | 452,289 | 12,334 | |
Digital Realty Trust Inc. | 155,890 | 11,703 | |
Eaton Vance Corp. | 427,672 | 11,526 | |
SEI Investments Co. | 522,996 | 10,402 | |
Essex Property Trust Inc. | 64,665 | 9,953 | |
Moody’s Corp. | 260,594 | 9,525 | |
CBOE Holdings Inc. | 329,465 | 9,120 | |
Federal Realty | |||
Investment Trust | 82,778 | 8,616 | |
Jones Lang LaSalle Inc. | 105,282 | 7,409 | |
LPL Financial Holdings Inc. | 205,681 | 6,946 |
Market | |||
Value | |||
Shares | ($000) | ||
Weingarten Realty | |||
Investors | 212,131 | 5,587 | |
Hudson City Bancorp Inc. | 613,835 | 3,910 | |
Erie Indemnity Co. Class A | 52,909 | 3,789 | |
1,298,670 | |||
Health Care (10.4%) | |||
UnitedHealth Group Inc. | 3,878,225 | 226,876 | |
Amgen Inc. | 2,937,263 | 214,538 | |
* | Express Scripts | ||
Holding Co. | 2,965,726 | 165,576 | |
* | Gilead Sciences Inc. | 2,810,713 | 144,133 |
* | Biogen Idec Inc. | 841,687 | 121,523 |
Baxter International Inc. | 2,079,713 | 110,537 | |
Allergan Inc. | 1,129,917 | 104,596 | |
* | Celgene Corp. | 1,628,635 | 104,493 |
Covidien plc | 1,793,916 | 95,974 | |
McKesson Corp. | 913,393 | 85,631 | |
* | Intuitive Surgical Inc. | 145,864 | 80,778 |
Thermo Fisher | |||
Scientific Inc. | 1,357,886 | 70,488 | |
* | Alexion | ||
Pharmaceuticals Inc. | 690,344 | 68,551 | |
Stryker Corp. | 1,131,341 | 62,337 | |
Becton Dickinson and Co. | 779,801 | 58,290 | |
Agilent Technologies Inc. | 1,289,157 | 50,587 | |
St. Jude Medical Inc. | 1,183,883 | 47,249 | |
* | Cerner Corp. | 535,380 | 44,254 |
* | Edwards Lifesciences Corp. | 426,746 | 44,083 |
* | Vertex Pharmaceuticals Inc. | 780,646 | 43,654 |
Zimmer Holdings Inc. | 661,116 | 42,549 | |
Perrigo Co. | 329,037 | 38,803 | |
AmerisourceBergen Corp. | |||
Class A | 956,908 | 37,654 | |
* | DaVita Inc. | 347,820 | 34,159 |
* | Mylan Inc. | 1,584,523 | 33,861 |
* | Laboratory Corp. of | ||
America Holdings | 360,768 | 33,411 | |
CR Bard Inc. | 296,410 | 31,846 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 272,587 | 31,135 | |
* | Waters Corp. | 330,624 | 26,275 |
* | Henry Schein Inc. | 333,185 | 26,152 |
* | Varian Medical | ||
Systems Inc. | 419,422 | 25,488 | |
Humana Inc. | 304,471 | 23,578 | |
* | Forest Laboratories Inc. | 640,599 | 22,415 |
DENTSPLY | |||
International Inc. | 527,254 | 19,935 | |
HCA Holdings Inc. | 649,686 | 19,770 | |
* | IDEXX Laboratories Inc. | 204,536 | 19,662 |
* | Illumina Inc. | 454,044 | 18,339 |
* | Mettler-Toledo | ||
International Inc. | 116,898 | 18,219 | |
* | ResMed Inc. | 535,125 | 16,696 |
* | Gen-Probe Inc. | 167,953 | 13,806 |
14
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Warner Chilcott plc Class A | 647,783 | 11,608 |
Patterson Cos. Inc. | 328,311 | 11,317 | |
* | Human Genome | ||
Sciences Inc. | 737,084 | 9,678 | |
Universal Health Services | |||
Inc. Class B | 215,772 | 9,313 | |
* | Amylin | ||
Pharmaceuticals Inc. | 283,503 | 8,003 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 671,733 | 7,342 | |
* | Covance Inc. | 141,162 | 6,755 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 47,036 | 4,704 | |
* | Endo Health Solutions Inc. | 150,829 | 4,673 |
2,551,294 | |||
Industrials (12.0%) | |||
3M Co. | 2,448,850 | 219,417 | |
Union Pacific Corp. | 1,781,776 | 212,584 | |
United Parcel Service Inc. | |||
Class B | 2,682,246 | 211,254 | |
Caterpillar Inc. | 2,403,219 | 204,057 | |
Boeing Co. | 2,629,305 | 195,357 | |
Emerson Electric Co. | 2,725,729 | 126,964 | |
Deere & Co. | 1,422,351 | 115,025 | |
Danaher Corp. | 2,174,502 | 113,248 | |
FedEx Corp. | 1,108,829 | 101,580 | |
Tyco International Ltd. | 1,710,803 | 90,416 | |
Precision Castparts Corp. | 538,818 | 88,630 | |
Norfolk Southern Corp. | 1,225,286 | 87,939 | |
CSX Corp. | 3,905,357 | 87,324 | |
Illinois Tool Works Inc. | 1,615,952 | 85,468 | |
Cummins Inc. | 676,702 | 65,579 | |
Goodrich Corp. | 466,931 | 59,254 | |
PACCAR Inc. | 1,258,292 | 49,312 | |
Ingersoll-Rand plc | 1,103,697 | 46,554 | |
Lockheed Martin Corp. | 512,827 | 44,657 | |
WW Grainger Inc. | 221,178 | 42,298 | |
Fastenal Co. | 1,041,151 | 41,969 | |
Dover Corp. | 681,615 | 36,541 | |
CH Robinson | |||
Worldwide Inc. | 606,274 | 35,485 | |
Roper Industries Inc. | 359,644 | 35,454 | |
Rockwell Automation Inc. | 528,476 | 34,911 | |
Fluor Corp. | 627,282 | 30,950 | |
Expeditors International of | |||
Washington Inc. | 787,101 | 30,500 | |
AMETEK Inc. | 595,645 | 29,729 | |
* | Stericycle Inc. | 314,579 | 28,837 |
Kansas City Southern | 408,067 | 28,385 | |
Rockwell Collins Inc. | 524,102 | 25,864 | |
Textron Inc. | 1,037,909 | 25,813 | |
* | Verisk Analytics Inc. | ||
Class A | 519,913 | 25,611 | |
* | TransDigm Group Inc. | 178,651 | 23,993 |
Flowserve Corp. | 202,297 | 23,214 |
Market | |||
Value | |||
Shares | ($000) | ||
Joy Global Inc. | 397,520 | 22,551 | |
* | IHS Inc. Class A | 207,570 | 22,361 |
JB Hunt Transport | |||
Services Inc. | 347,592 | 20,716 | |
Donaldson Co. Inc. | 523,973 | 17,485 | |
* | BE Aerospace Inc. | 385,794 | 16,844 |
Waste Connections Inc. | 434,579 | 13,003 | |
* | WABCO Holdings Inc. | 239,681 | 12,686 |
Dun & Bradstreet Corp. | 177,170 | 12,609 | |
* | Nielsen Holdings NV | 468,302 | 12,279 |
Masco Corp. | 868,209 | 12,042 | |
Pall Corp. | 214,251 | 11,743 | |
MSC Industrial | |||
Direct Co. Inc. Class A | 173,772 | 11,391 | |
Gardner Denver Inc. | 187,582 | 9,925 | |
* | Copart Inc. | 410,725 | 9,730 |
* | Babcock & Wilcox Co. | 394,691 | 9,670 |
* | Sensata Technologies | ||
Holding NV | 327,474 | 8,770 | |
* | Owens Corning | 277,149 | 7,910 |
Robert Half | |||
International Inc. | 250,626 | 7,160 | |
* | Navistar International Corp. | 229,809 | 6,520 |
IDEX Corp. | 155,613 | 6,066 | |
* | Foster Wheeler AG | 139,039 | 2,410 |
2,948,044 | |||
Information Technology (32.1%) | |||
* | Apple Inc. | 3,460,331 | 2,020,833 |
International Business | |||
Machines Corp. | 4,085,199 | 798,983 | |
Microsoft Corp. | 18,217,418 | 557,271 | |
* | Google Inc. Class A | 957,381 | 555,348 |
Oracle Corp. | 14,921,996 | 443,183 | |
QUALCOMM Inc. | 6,277,487 | 349,531 | |
Cisco Systems Inc. | 19,989,012 | 343,211 | |
Visa Inc. Class A | 1,949,665 | 241,037 | |
* | EMC Corp. | 7,619,671 | 195,292 |
* | eBay Inc. | 4,298,571 | 180,583 |
Mastercard Inc. Class A | 405,289 | 174,319 | |
Accenture plc Class A | 2,402,074 | 144,341 | |
Automatic Data | |||
Processing Inc. | 1,820,712 | 101,341 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 1,125,941 | 67,556 | |
* | Salesforce.com Inc. | 479,583 | 66,307 |
Broadcom Corp. Class A | 1,825,990 | 61,718 | |
Intuit Inc. | 1,039,870 | 61,716 | |
Texas Instruments Inc. | 2,124,742 | 60,959 | |
* | Adobe Systems Inc. | 1,832,737 | 59,326 |
* | Citrix Systems Inc. | 688,745 | 57,813 |
* | Facebook Inc. Class A | 1,652,064 | 51,412 |
Motorola Solutions Inc. | 1,003,124 | 48,260 | |
* | Teradata Corp. | 621,143 | 44,729 |
* | NetApp Inc. | 1,330,968 | 42,351 |
Analog Devices Inc. | 1,105,406 | 41,641 | |
* | Red Hat Inc. | 716,886 | 40,490 |
15
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Altera Corp. | 1,196,485 | 40,489 | |
* | Symantec Corp. | 2,707,260 | 39,553 |
Western Union Co. | 2,302,261 | 38,770 | |
* | Fiserv Inc. | 514,381 | 37,149 |
* | Dell Inc. | 2,833,700 | 35,478 |
* | Yahoo! Inc. | 2,139,708 | 33,872 |
Amphenol Corp. Class A | 606,244 | 33,295 | |
* | Juniper Networks Inc. | 1,953,561 | 31,863 |
Avago Technologies Ltd. | 859,982 | 30,873 | |
* | Equinix Inc. | 173,243 | 30,430 |
* | Autodesk Inc. | 838,469 | 29,338 |
* | F5 Networks Inc. | 293,989 | 29,270 |
* | VMware Inc. Class A | 301,841 | 27,480 |
Linear Technology Corp. | 849,924 | 26,628 | |
* | BMC Software Inc. | 609,506 | 26,014 |
* | VeriSign Inc. | 592,028 | 25,795 |
* | Alliance Data | ||
Systems Corp. | 185,757 | 25,077 | |
* | Micron Technology Inc. | 3,666,153 | 23,133 |
* | Nuance | ||
Communications Inc. | 915,151 | 21,799 | |
* | ANSYS Inc. | 345,381 | 21,797 |
* | Trimble Navigation Ltd. | 463,018 | 21,303 |
* | Akamai Technologies Inc. | 659,903 | 20,952 |
Marvell Technology | |||
Group Ltd. | 1,840,809 | 20,764 | |
Activision Blizzard Inc. | 1,666,944 | 19,987 | |
* | Skyworks Solutions Inc. | 699,363 | 19,142 |
* | TIBCO Software Inc. | 618,481 | 18,505 |
* | Rackspace Hosting Inc. | 399,675 | 17,562 |
* | Informatica Corp. | 398,564 | 16,883 |
* | LinkedIn Corp. Class A | 157,940 | 16,784 |
* | NVIDIA Corp. | 1,133,226 | 15,661 |
* | MICROS Systems Inc. | 296,641 | 15,188 |
* | Gartner Inc. | 346,573 | 14,920 |
FactSet Research | |||
Systems Inc. | 159,149 | 14,791 | |
* | LSI Corp. | 2,103,514 | 13,399 |
* | Western Digital Corp. | 435,981 | 13,289 |
* | VeriFone Systems Inc. | 396,277 | 13,113 |
IAC/InterActiveCorp | 280,169 | 12,776 | |
* | Advanced Micro | ||
Devices Inc. | 2,203,470 | 12,626 | |
Global Payments Inc. | 290,859 | 12,574 | |
* | SanDisk Corp. | 314,141 | 11,460 |
* | Atmel Corp. | 1,673,638 | 11,213 |
FLIR Systems Inc. | 571,735 | 11,149 | |
Solera Holdings Inc. | 260,087 | 10,869 | |
* | Fortinet Inc. | 463,082 | 10,753 |
* | Cree Inc. | 409,394 | 10,509 |
* | Lam Research Corp. | 261,019 | 9,851 |
* | Riverbed Technology Inc. | 555,406 | 8,970 |
* | Rovi Corp. | 407,708 | 7,999 |
* | Dolby Laboratories Inc. | ||
Class A | 190,700 | 7,876 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Flextronics | ||
International Ltd. | 888,333 | 5,508 | |
* | Electronic Arts Inc. | 428,430 | 5,291 |
* | Polycom Inc. | 425,982 | 4,481 |
* | Acme Packet Inc. | 213,531 | 3,982 |
* | Zynga Inc. Class A | 546,508 | 2,973 |
* | Freescale | ||
Semiconductor Ltd. | 181,215 | 1,857 | |
7,852,614 | |||
Materials (3.9%) | |||
EI du Pont | |||
de Nemours & Co. | 3,459,983 | 174,971 | |
Monsanto Co. | 1,986,878 | 164,474 | |
Praxair Inc. | 1,107,592 | 120,429 | |
Ecolab Inc. | 1,081,077 | 74,086 | |
Mosaic Co. | 1,100,996 | 60,291 | |
Newmont Mining Corp. | 1,194,285 | 57,935 | |
Sherwin-Williams Co. | 328,670 | 43,499 | |
Sigma-Aldrich Corp. | 448,139 | 33,131 | |
Air Products & | |||
Chemicals Inc. | 390,885 | 31,556 | |
PPG Industries Inc. | 282,142 | 29,941 | |
FMC Corp. | 518,436 | 27,726 | |
Ball Corp. | 550,528 | 22,599 | |
Celanese Corp. Class A | 581,512 | 20,132 | |
Albemarle Corp. | 330,132 | 19,689 | |
CF Industries Holdings Inc. | 84,930 | 16,454 | |
* | WR Grace & Co. | 260,771 | 13,156 |
* | Crown Holdings Inc. | 358,929 | 12,379 |
Vulcan Materials Co. | 167,918 | 6,668 | |
Walter Energy Inc. | 150,667 | 6,653 | |
Scotts Miracle-Gro Co. | |||
Class A | 158,112 | 6,502 | |
^,* | Molycorp Inc. | 246,041 | 5,302 |
Aptargroup Inc. | 85,518 | 4,366 | |
951,939 | |||
Telecommunication Services (0.4%) | |||
* | Crown Castle | ||
International Corp. | 1,055,773 | 61,932 | |
* | SBA Communications | ||
Corp. Class A | 429,687 | 24,514 | |
* | Level 3 | ||
Communications Inc. | 351,722 | 7,791 | |
* | NII Holdings Inc. | 635,331 | 6,499 |
* | MetroPCS | ||
Communications Inc. | 569,167 | 3,443 | |
104,179 | |||
Utilities (0.1%) | |||
ITC Holdings Corp. | 190,688 | 13,140 | |
* | Calpine Corp. | 754,764 | 12,461 |
25,601 | |||
Total Common Stocks | |||
(Cost $19,010,448) | 24,484,701 |
16
Growth Index Fund | ||
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investment (0.4%) | ||
Money Market Fund (0.4%) | ||
1,2 Vanguard Market Liquidity | ||
Fund, 0.148% | ||
(Cost $90,167) | 90,166,542 | 90,167 |
Total Investments (100.4%) | ||
(Cost $19,100,615) | 24,574,868 | |
Other Assets and Liabilities (-0.4%) | ||
Other Assets | 131,876 | |
Liabilities2 | (220,698) | |
(88,822) | ||
Net Assets (100%) | 24,486,046 |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 19,936,828 |
Overdistributed Net Investment Income | (20,129) |
Accumulated Net Realized Losses | (904,906) |
Unrealized Appreciation (Depreciation) | 5,474,253 |
Net Assets | 24,486,046 |
Investor Shares—Net Assets | |
Applicable to 89,973,416 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,150,285 |
Net Asset Value Per Share— | |
Investor Shares | $35.01 |
Admiral Shares—Net Assets | |
Applicable to 152,439,022 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,336,893 |
Net Asset Value Per Share— | |
Admiral Shares | $35.01 |
Amount | |
($000) | |
Signal Shares—Net Assets | |
Applicable to 92,681,764 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,004,652 |
Net Asset Value Per Share— | |
Signal Shares | $32.42 |
Institutional Shares—Net Assets | |
Applicable to 156,467,879 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,477,619 |
Net Asset Value Per Share— | |
Institutional Shares | $35.01 |
ETF Shares—Net Assets | |
Applicable to 110,514,911 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 7,516,597 |
Net Asset Value Per Share— | |
ETF Shares | $68.01 |
See Note A in Notes to Financial Statements.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $9,963,000.
* Non-income-producing security.
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 $10,178,000 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, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 159,129 |
Interest1 | 19 |
Security Lending | 2,470 |
Total Income | 161,618 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 748 |
Management and Administrative—Investor Shares | 3,066 |
Management and Administrative—Admiral Shares | 1,918 |
Management and Administrative—Signal Shares | 850 |
Management and Administrative—Institutional Shares | 1,141 |
Management and Administrative—ETF Shares | 2,253 |
Marketing and Distribution—Investor Shares | 473 |
Marketing and Distribution—Admiral Shares | 446 |
Marketing and Distribution—Signal Shares | 398 |
Marketing and Distribution—Institutional Shares | 752 |
Marketing and Distribution—ETF Shares | 860 |
Custodian Fees | 131 |
Shareholders’ Reports—Investor Shares | 119 |
Shareholders’ Reports—Admiral Shares | 64 |
Shareholders’ Reports—Signal Shares | 21 |
Shareholders’ Reports—Institutional Shares | 27 |
Shareholders’ Reports—ETF Shares | 103 |
Trustees’ Fees and Expenses | 11 |
Total Expenses | 13,381 |
Net Investment Income | 148,237 |
Realized Net Gain (Loss) on Investment Securities Sold | 263,812 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 1,838,729 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,250,778 |
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.
18
Growth Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 148,237 | 249,232 |
Realized Net Gain (Loss) | 263,812 | 667,210 |
Change in Unrealized Appreciation (Depreciation) | 1,838,729 | (560,599) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,250,778 | 355,843 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (16,568) | (35,179) |
Admiral Shares | (31,469) | (58,907) |
Signal Shares | (16,822) | (26,483) |
Institutional Shares | (32,462) | (56,292) |
ETF Shares | (42,701) | (71,129) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (140,022) | (247,990) |
Capital Share Transactions | ||
Investor Shares | (37,617) | (991,858) |
Admiral Shares | 29,685 | 79,431 |
Signal Shares | 360,836 | 744,319 |
Institutional Shares | 267,460 | 773,669 |
ETF Shares | 866,080 | 929,167 |
Net Increase (Decrease) from Capital Share Transactions | 1,486,444 | 1,534,728 |
Total Increase (Decrease) | 3,597,200 | 1,642,581 |
Net Assets | ||
Beginning of Period | 20,888,846 | 19,246,265 |
End of Period1 | 24,486,046 | 20,888,846 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($20,129,000) and ($28,344,000).
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $31.79 | $31.60 | $27.32 | $20.29 | $33.23 | $29.77 |
Investment Operations | ||||||
Net Investment Income | .197 | .351 | .315 | .276 | .261 | .270 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.206 | .183 | 4.284 | 7.035 | (12.939) | 3.460 |
Total from Investment Operations | 3.403 | .534 | 4.599 | 7.311 | (12.678) | 3.730 |
Distributions | ||||||
Dividends from Net Investment Income | (.183) | (.344) | (.319) | (.281) | (.262) | (.270) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.183) | (.344) | (.319) | (.281) | (.262) | (.270) |
Net Asset Value, End of Period | $35.01 | $31.79 | $31.60 | $27.32 | $20.29 | $33.23 |
Total Return1 | 10.70% | 1.71% | 16.96% | 36.29% | -38.32% | 12.56% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,150 | $2,897 | $3,843 | $5,770 | $4,279 | $6,992 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.26% | 0.28% | 0.23% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.14% | 1.10% | 1.13% | 1.20% | 0.93% | 0.83% |
Portfolio Turnover Rate2 | 17% | 23% | 26% | 29% | 27% | 23% |
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $31.79 | $31.60 | $27.32 | $20.30 | $33.23 | $29.77 |
Investment Operations | ||||||
Net Investment Income | .221 | .399 | .357 | .308 | .294 | .308 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.206 | .185 | 4.282 | 7.027 | (12.929) | 3.460 |
Total from Investment Operations | 3.427 | .584 | 4.639 | 7.335 | (12.635) | 3.768 |
Distributions | ||||||
Dividends from Net Investment Income | (.207) | (.394) | (.359) | (.315) | (.295) | (.308) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.207) | (.394) | (.359) | (.315) | (.295) | (.308) |
Net Asset Value, End of Period | $35.01 | $31.79 | $31.60 | $27.32 | $20.30 | $33.23 |
Total Return1 | 10.78% | 1.87% | 17.12% | 36.42% | -38.22% | 12.70% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,337 | $4,819 | $4,712 | $1,641 | $1,296 | $2,203 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.28% | 1.24% | 1.27% | 1.34% | 1.05% | 0.95% |
Portfolio Turnover Rate2 | 17% | 23% | 26% | 29% | 27% | 23% |
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.
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $29.44 | $29.26 | $25.30 | $18.80 | $30.77 | $30.26 |
Investment Operations | ||||||
Net Investment Income | .206 | .369 | .331 | .286 | .273 | .168 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.966 | .175 | 3.963 | 6.507 | (11.970) | .563 |
Total from Investment Operations | 3.172 | .544 | 4.294 | 6.793 | (11.697) | .731 |
Distributions | ||||||
Dividends from Net Investment Income | (.192) | (.364) | (.334) | (.293) | (.273) | (.221) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.192) | (.364) | (.334) | (.293) | (.273) | (.221) |
Net Asset Value, End of Period | $32.42 | $29.44 | $29.26 | $25.30 | $18.80 | $30.77 |
Total Return | 10.77% | 1.88% | 17.11% | 36.42% | -38.21% | 2.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,005 | $2,402 | $1,658 | $1,428 | $941 | $1,425 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% | 0.10%2 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.28% | 1.24% | 1.27% | 1.34% | 1.05% | 0.95%2 |
Portfolio Turnover Rate3 | 17% | 23% | 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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $31.79 | $31.60 | $27.32 | $20.30 | $33.23 | $29.77 |
Investment Operations | ||||||
Net Investment Income | .225 | .405 | .369 | .322 | .305 | .318 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.206 | .186 | 4.283 | 7.027 | (12.930) | 3.460 |
Total from Investment Operations | 3.431 | .591 | 4.652 | 7.349 | (12.625) | 3.778 |
Distributions | ||||||
Dividends from Net Investment Income | (.211) | (.401) | (.372) | (.329) | (.305) | (.318) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.211) | (.401) | (.372) | (.329) | (.305) | (.318) |
Net Asset Value, End of Period | $35.01 | $31.79 | $31.60 | $27.32 | $20.30 | $33.23 |
Total Return | 10.79% | 1.89% | 17.17% | 36.50% | -38.19% | 12.73% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,478 | $4,726 | $3,934 | $2,913 | $2,016 | $3,210 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.30% | 1.26% | 1.31% | 1.40% | 1.09% | 0.98% |
Portfolio Turnover Rate1 | 17% | 23% | 26% | 29% | 27% | 23% |
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $61.76 | $61.39 | $53.08 | $39.43 | $64.56 | $57.85 |
Investment Operations | ||||||
Net Investment Income | .431 | .776 | .695 | .598 | .579 | .600 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.222 | .360 | 8.315 | 13.666 | (25.132) | 6.710 |
Total from Investment Operations | 6.653 | 1.136 | 9.010 | 14.264 | (24.553) | 7.310 |
Distributions | ||||||
Dividends from Net Investment Income | (.403) | (.766) | (.700) | (.614) | (.577) | (.600) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.403) | (.766) | (.700) | (.614) | (.577) | (.600) |
Net Asset Value, End of Period | $68.01 | $61.76 | $61.39 | $53.08 | $39.43 | $64.56 |
Total Return | 10.77% | 1.87% | 17.11% | 36.46% | -38.22% | 12.68% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,517 | $6,046 | $5,099 | $3,917 | $2,736 | $3,232 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.28% | 1.24% | 1.27% | 1.34% | 1.06% | 0.95% |
Portfolio Turnover Rate1 | 17% | 23% | 26% | 29% | 27% | 23% |
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, 2008–2011), and for the period ended June 30, 2012, 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, 2012, the fund had contributed capital of $3,539,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.42% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
25
Growth Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At June 30, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2012, the fund realized $66,083,000 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, 2011, the fund had available capital loss carryforwards totaling $1,099,990,000 to offset future net capital gains. Of this amount, $996,753,000 is subject to expiration and may be used to offset future net capital gains through December 31, 2017. Capital losses of $103,237,000 realized beginning of fiscal 2011 may be carried forward indefinitely but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $19,100,248,000. Net unrealized appreciation of investment securities for tax purposes was $5,474,253,000, consisting of unrealized gains of $6,210,106,000 on securities that had risen in value since their purchase and $735,853,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2012, the fund purchased $3,908,404,000 of investment securities and sold $2,389,789,000 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, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 305,878 | 8,721 | 625,642 | 19,333 |
Issued in Lieu of Cash Distributions | 15,911 | 451 | 33,926 | 1,080 |
Redeemed | (359,406) | (10,316) | (1,651,426) | (50,905) |
Net Increase (Decrease)—Investor Shares | (37,617) | (1,144) | (991,858) | (30,492) |
Admiral Shares | ||||
Issued | 328,188 | 9,361 | 575,870 | 17,919 |
Issued in Lieu of Cash Distributions | 29,052 | 824 | 54,388 | 1,732 |
Redeemed | (327,555) | (9,346) | (550,827) | (17,170) |
Net Increase (Decrease)—Admiral Shares | 29,685 | 839 | 79,431 | 2,481 |
Signal Shares | ||||
Issued | 659,209 | 20,396 | 1,405,009 | 47,180 |
Issued in Lieu of Cash Distributions | 14,246 | 437 | 22,037 | 758 |
Redeemed | (312,619) | (9,736) | (682,727) | (23,016) |
Net Increase (Decrease)—Signal Shares | 360,836 | 11,097 | 744,319 | 24,922 |
Institutional Shares | ||||
Issued | 616,743 | 17,838 | 1,729,154 | 54,199 |
Issued in Lieu of Cash Distributions | 28,481 | 808 | 49,732 | 1,586 |
Redeemed | (377,764) | (10,841) | (1,005,217) | (31,596) |
Net Increase (Decrease)—Institutional Shares | 267,460 | 7,805 | 773,669 | 24,189 |
ETF Shares | ||||
Issued | 1,350,144 | 19,924 | 1,079,150 | 17,330 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (484,064) | (7,300) | (149,983) | (2,500) |
Net Increase (Decrease)—ETF Shares | 866,080 | 12,624 | 929,167 | 14,830 |
G. In preparing the financial statements as of June 30, 2012, 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, 2012
Share-Class Characteristics
Investor | Admiral | Signal | Institutional | ETF | |
Shares | Shares | Shares | Shares | Shares | |
Ticker Symbol | VIVAX | VVIAX | VVISX | VIVIX | VTV |
Expense Ratio1 | 0.24% | 0.10% | 0.10% | 0.08% | 0.10% |
30-Day SEC Yield | 2.79% | 2.93% | 2.93% | 2.95% | 2.93% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Prime | U.S. Total | ||
Market | Market | ||
Fund Value Index | Index | ||
Number of Stocks | 431 | 430 | 3,694 |
Median Market Cap $49.8B | $49.8B | $33.1B | |
Price/Earnings Ratio | 13.8x | 13.8x | 16.1x |
Price/Book Ratio | 1.6x | 1.6x | 2.1x |
Return on Equity | 15.4% | 15.4% | 18.1% |
Earnings Growth Rate | 1.8% | 1.8% | 9.4% |
Dividend Yield | 3.0% | 3.0% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 19% | — | — |
Short-Term Reserves | 0.6% | — | — |
Volatility Measures | ||
DJ | ||
MSCI US | U.S. Total | |
Prime Market | Market | |
Value Index | Index | |
R-Squared | 1.00 | 0.97 |
Beta | 1.00 | 0.94 |
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 | 6.0% | |
General Electric Co. | Industrial | |
Conglomerates | 3.3 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 3.2 | |
Chevron Corp. | Integrated Oil & | |
Gas | 3.1 | |
Johnson & Johnson | Pharmaceuticals | 2.8 |
Pfizer Inc. | Pharmaceuticals | 2.6 |
Procter & Gamble Co. | Household | |
Products | 2.5 | |
Wells Fargo & Co. | Diversified Banks | 2.5 |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 2.0 | |
Intel Corp. | Semiconductors | 2.0 |
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 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, 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.
28
Value Index Fund
Sector Diversification (% of equity exposure) | |||
MSCI US | |||
Prime | DJ | ||
Market | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Consumer Discretionary | 5.5% | 5.5% | 11.9% |
Consumer Staples | 10.2 | 10.2 | 9.8 |
Energy | 15.1 | 15.1 | 10.0 |
Financials | 23.6 | 23.6 | 15.9 |
Health Care | 13.0 | 13.0 | 12.0 |
Industrials | 8.8 | 8.8 | 10.8 |
Information Technology | 7.2 | 7.2 | 19.1 |
Materials | 3.5 | 3.5 | 3.9 |
Telecommunication | |||
Services | 5.8 | 5.8 | 2.9 |
Utilities | 7.3 | 7.3 | 3.7 |
Investment Focus |
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_lcx31x1.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, 2001, Through June 30, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_lcx32x1.jpg)
Value Index Fund Investor Shares |
Spliced Value Index |
Spliced Value Index: S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value Index thereafter.
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 11/2/1992 | 2.45% | -2.21% | 5.22% |
Admiral Shares | 11/13/2000 | 2.56 | -2.09 | 5.33 |
Signal Shares | 6/4/2007 | 2.57 | -2.09 | -2.581 |
Institutional Shares | 7/2/1998 | 2.58 | -2.05 | 5.37 |
ETF Shares | 1/26/2004 | |||
Market Price | 2.57 | -2.06 | 4.091 | |
Net Asset Value | 2.57 | -2.08 | 4.091 | |
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, 2012
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 (5.5%) | |||
Walt Disney Co. | 2,743,916 | 133,080 | |
Time Warner Inc. | 2,403,892 | 92,550 | |
Ford Motor Co. | 8,784,684 | 84,245 | |
* | General Motors Co. | 1,941,021 | 38,277 |
Carnival Corp. | 1,108,235 | 37,979 | |
Macy’s Inc. | 1,026,948 | 35,276 | |
Lowe’s Cos. Inc. | 1,076,904 | 30,627 | |
Mattel Inc. | 840,548 | 27,267 | |
Kohl’s Corp. | 597,007 | 27,158 | |
Genuine Parts Co. | 386,274 | 23,273 | |
Staples Inc. | 1,720,983 | 22,459 | |
Nordstrom Inc. | 411,855 | 20,465 | |
Wyndham Worldwide Corp. | 362,968 | 19,143 | |
Johnson Controls Inc. | 590,758 | 16,370 | |
Darden Restaurants Inc. | 318,477 | 16,125 | |
* | Liberty Interactive Corp. | ||
Class A | 879,844 | 15,652 | |
Best Buy Co. Inc. | 738,375 | 15,476 | |
DR Horton Inc. | 707,127 | 12,997 | |
Newell Rubbermaid Inc. | 715,122 | 12,972 | |
Autoliv Inc. | 221,537 | 12,109 | |
Whirlpool Corp. | 190,030 | 11,622 | |
H&R Block Inc. | 726,249 | 11,605 | |
Expedia Inc. | 239,807 | 11,528 | |
Foot Locker Inc. | 376,666 | 11,518 | |
Omnicom Group Inc. | 236,793 | 11,508 | |
* | Mohawk Industries Inc. | 145,071 | 10,130 |
Hasbro Inc. | 287,099 | 9,724 | |
* | TRW Automotive | ||
Holdings Corp. | 260,916 | 9,591 | |
Lear Corp. | 249,132 | 9,400 | |
JC Penney Co. Inc. | 401,605 | 9,361 | |
Royal Caribbean | |||
Cruises Ltd. | 350,588 | 9,126 | |
Gannett Co. Inc. | 587,535 | 8,654 | |
American Eagle | |||
Outfitters Inc. | 432,437 | 8,532 |
Market | |||
Value | |||
Shares | ($000) | ||
International Game | |||
Technology | 479,551 | 7,553 | |
DISH Network Corp. | |||
Class A | 258,718 | 7,386 | |
Leggett & Platt Inc. | 347,276 | 7,338 | |
Garmin Ltd. | 188,293 | 7,210 | |
Harman International | |||
Industries Inc. | 173,202 | 6,859 | |
GameStop Corp. Class A | 338,394 | 6,213 | |
Interpublic Group of | |||
Cos. Inc. | 553,137 | 6,002 | |
Virgin Media Inc. | 230,147 | 5,613 | |
* | Toll Brothers Inc. | 184,773 | 5,493 |
Guess? Inc. | 171,541 | 5,210 | |
Williams-Sonoma Inc. | 148,373 | 5,189 | |
* | NVR Inc. | 5,965 | 5,070 |
DeVry Inc. | 147,195 | 4,559 | |
Washington Post Co. | |||
Class B | 11,813 | 4,416 | |
* | Hyatt Hotels Corp. Class A | 73,052 | 2,715 |
* | Delphi Automotive plc | 84,921 | 2,166 |
* | Lamar Advertising Co. | ||
Class A | 53,877 | 1,541 | |
916,332 | |||
Consumer Staples (10.2%) | |||
Procter & Gamble Co. | 6,828,585 | 418,251 | |
PepsiCo Inc. | 2,531,036 | 178,843 | |
Altria Group Inc. | 5,071,539 | 175,222 | |
Kraft Foods Inc. | 4,164,572 | 160,836 | |
CVS Caremark Corp. | 3,228,865 | 150,885 | |
Kimberly-Clark Corp. | 976,086 | 81,767 | |
Archer-Daniels- | |||
Midland Co. | 1,640,402 | 48,425 | |
Sysco Corp. | 1,449,274 | 43,203 | |
Lorillard Inc. | 327,327 | 43,191 | |
Reynolds American Inc. | 857,055 | 38,456 | |
General Mills Inc. | 799,224 | 30,802 | |
HJ Heinz Co. | 515,577 | 28,037 | |
ConAgra Foods Inc. | 1,022,922 | 26,524 |
31
Value Index Fund | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
Dr Pepper Snapple | ||||
Group Inc. | 525,889 | 23,008 | ||
Bunge Ltd. | 361,221 | 22,663 | ||
JM Smucker Co. | 281,165 | 21,234 | ||
Coca-Cola Enterprises Inc. | 750,057 | 21,032 | ||
McCormick & Co. Inc. | 298,950 | 18,131 | ||
Avon Products Inc. | 1,068,523 | 17,321 | ||
Campbell Soup Co. | 474,242 | 15,830 | ||
Molson Coors Brewing Co. | ||||
Class B | 368,909 | 15,350 | ||
Tyson Foods Inc. Class A | 741,323 | 13,959 | ||
Safeway Inc. | 664,594 | 12,062 | ||
* | Constellation Brands Inc. | |||
Class A | 436,673 | 11,816 | ||
Clorox Co. | 152,940 | 11,082 | ||
Beam Inc. | 174,941 | 10,932 | ||
Church & Dwight Co. Inc. | 176,627 | 9,798 | ||
* | Ralcorp Holdings Inc. | 137,001 | 9,143 | |
* | Smithfield Foods Inc. | 379,167 | 8,201 | |
Hormel Foods Corp. | 234,151 | 7,123 | ||
Ingredion Inc. | 123,027 | 6,092 | ||
Hillshire Brands Co. | 101,785 | 2,951 | ||
DE Master Blenders | 11,026 | 124 | ||
1,682,294 | ||||
Energy (15.1%) | ||||
Exxon Mobil Corp. | 11,684,736 | 999,863 | ||
Chevron Corp. | 4,901,199 | 517,077 | ||
Occidental | ||||
Petroleum Corp. | 2,010,758 | 172,463 | ||
ConocoPhillips | 3,013,917 | 168,418 | ||
Apache Corp. | 952,878 | 83,748 | ||
Devon Energy Corp. | 951,789 | 55,194 | ||
* | Phillips 66 | 1,563,613 | 51,975 | |
Spectra Energy Corp. | 1,614,372 | 46,914 | ||
Marathon Oil Corp. | 1,744,883 | 44,617 | ||
Marathon Petroleum Corp. | 861,890 | 38,716 | ||
Valero Energy Corp. | 1,376,169 | 33,234 | ||
Hess Corp. | 758,624 | 32,962 | ||
Chesapeake Energy Corp. | 1,642,528 | 30,551 | ||
Baker Hughes Inc. | 705,176 | 28,983 | ||
Murphy Oil Corp. | 456,698 | 22,967 | ||
Noble Corp. | 625,240 | 20,339 | ||
Peabody Energy Corp. | 675,130 | 16,554 | ||
* | Weatherford | |||
International Ltd. | 1,222,368 | 15,439 | ||
Cimarex Energy Co. | 212,577 | 11,717 | ||
HollyFrontier Corp. | 318,919 | 11,299 | ||
* | Nabors Industries Ltd. | 715,794 | 10,307 | |
* | Rowan Cos. plc Class A | 306,487 | 9,909 | |
* | Newfield Exploration Co. | 334,310 | 9,799 | |
* | Tesoro Corp. | 349,135 | 8,714 | |
* | Kinder Morgan | |||
Management LLC | 112,050 | 8,227 | ||
Sunoco Inc. | 172,177 | 8,178 | ||
Energen Corp. | 178,860 | 8,072 |
Market | |||
Value | |||
Shares | ($000) | ||
Cabot Oil & Gas Corp. | 182,138 | 7,176 | |
Diamond Offshore | |||
Drilling Inc. | 112,129 | 6,630 | |
* | McDermott | ||
International Inc. | 582,966 | 6,494 | |
Patterson-UTI Energy Inc. | 383,999 | 5,591 | |
* | Superior Energy | ||
Services Inc. | 252,386 | 5,106 | |
* | Alpha Natural | ||
Resources Inc. | 542,377 | 4,724 | |
* | Plains Exploration & | ||
Production Co. | 110,535 | 3,889 | |
Arch Coal Inc. | 525,448 | 3,620 | |
2,509,466 | |||
Financials (23.6%) | |||
Wells Fargo & Co. | 12,419,409 | 415,305 | |
JPMorgan Chase & Co. | 9,420,177 | 336,583 | |
Bank of America Corp. | 26,607,153 | 217,647 | |
Citigroup Inc. | 7,260,645 | 199,014 | |
US Bancorp | 4,737,556 | 152,360 | |
* | Berkshire Hathaway Inc. | ||
Class B | 1,468,787 | 122,394 | |
Goldman Sachs | |||
Group Inc. | 1,168,834 | 112,044 | |
PNC Financial Services | |||
Group Inc. | 1,307,983 | 79,931 | |
Capital One Financial Corp. | 1,235,465 | 67,531 | |
Bank of New York | |||
Mellon Corp. | 2,986,906 | 65,563 | |
MetLife Inc. | 2,103,029 | 64,878 | |
Travelers Cos. Inc. | 974,583 | 62,217 | |
ACE Ltd. | 835,888 | 61,964 | |
Prudential Financial Inc. | 1,160,346 | 56,196 | |
BlackRock Inc. | 328,007 | 55,702 | |
State Street Corp. | 1,209,495 | 53,992 | |
Morgan Stanley | 3,679,129 | 53,678 | |
BB&T Corp. | 1,728,667 | 53,329 | |
Aflac Inc. | 1,158,067 | 49,322 | |
Chubb Corp. | 672,212 | 48,950 | |
Discover Financial | |||
Services | 1,314,050 | 45,440 | |
Ventas Inc. | 716,367 | 45,217 | |
HCP Inc. | 1,015,345 | 44,827 | |
Marsh & McLennan | |||
Cos. Inc. | 1,347,280 | 43,423 | |
Allstate Corp. | 1,235,451 | 43,352 | |
CME Group Inc. | 156,485 | 41,955 | |
Annaly Capital | |||
Management Inc. | 2,405,602 | 40,366 | |
Prologis Inc. | 1,138,569 | 37,835 | |
Vornado Realty Trust | 413,027 | 34,686 | |
AvalonBay | |||
Communities Inc. | 236,145 | 33,410 | |
SunTrust Banks Inc. | 1,329,904 | 32,224 | |
Loews Corp. | 787,007 | 32,196 |
32
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | American International | ||
Group Inc. | 974,969 | 31,287 | |
Fifth Third Bancorp | 2,280,451 | 30,558 | |
Health Care REIT Inc. | 521,363 | 30,395 | |
Progressive Corp. | 1,440,300 | 30,001 | |
Ameriprise Financial Inc. | 550,245 | 28,756 | |
Boston Properties Inc. | 238,971 | 25,897 | |
Invesco Ltd. | 1,106,205 | 25,000 | |
American Capital | |||
Agency Corp. | 743,776 | 24,998 | |
Regions Financial Corp. | 3,502,036 | 23,639 | |
Aon plc | 497,927 | 23,293 | |
M&T Bank Corp. | 282,059 | 23,290 | |
SLM Corp. | 1,254,872 | 19,714 | |
Principal Financial | |||
Group Inc. | 742,653 | 19,480 | |
Weyerhaeuser Co. | 865,073 | 19,343 | |
Macerich Co. | 327,290 | 19,326 | |
Kimco Realty Corp. | 1,009,112 | 19,203 | |
KeyCorp | 2,362,922 | 18,289 | |
Hartford Financial | |||
Services Group Inc. | 1,036,978 | 18,282 | |
Charles Schwab Corp. | 1,339,703 | 17,322 | |
SL Green Realty Corp. | 214,211 | 17,188 | |
* | CIT Group Inc. | 473,071 | 16,860 |
UDR Inc. | 650,217 | 16,802 | |
XL Group plc Class A | 782,707 | 16,468 | |
NYSE Euronext | 640,491 | 16,384 | |
Plum Creek Timber Co. Inc. | 400,266 | 15,891 | |
Lincoln National Corp. | 722,347 | 15,798 | |
Willis Group Holdings plc | 431,840 | 15,758 | |
Comerica Inc. | 490,063 | 15,050 | |
Franklin Resources Inc. | 131,262 | 14,569 | |
Digital Realty Trust Inc. | 193,919 | 14,558 | |
Cincinnati Financial Corp. | 382,254 | 14,552 | |
Realty Income Corp. | 330,794 | 13,817 | |
Everest Re Group Ltd. | 133,311 | 13,796 | |
Unum Group | 720,643 | 13,786 | |
Huntington | |||
Bancshares Inc. | 2,143,256 | 13,717 | |
Rayonier Inc. | 303,632 | 13,633 | |
New York Community | |||
Bancorp Inc. | 1,084,385 | 13,587 | |
Camden Property Trust | 195,417 | 13,224 | |
Torchmark Corp. | 248,416 | 12,557 | |
PartnerRe Ltd. | 162,202 | 12,274 | |
Moody’s Corp. | 323,401 | 11,820 | |
WR Berkley Corp. | 290,605 | 11,310 | |
Alexandria Real Estate | |||
Equities Inc. | 153,712 | 11,178 | |
Leucadia National Corp. | 515,516 | 10,965 | |
* | Alleghany Corp. | 31,456 | 10,687 |
Federal Realty | |||
Investment Trust | 102,657 | 10,686 | |
Liberty Property Trust | 289,095 | 10,650 |
Market | |||
Value | |||
Shares | ($000) | ||
Regency Centers Corp. | 223,062 | 10,611 | |
People’s United | |||
Financial Inc. | 890,656 | 10,341 | |
Arthur J Gallagher & Co. | 291,104 | 10,209 | |
* | Markel Corp. | 22,671 | 10,014 |
Raymond James | |||
Financial Inc. | 286,868 | 9,822 | |
Host Hotels & Resorts Inc. | 614,087 | 9,715 | |
RenaissanceRe | |||
Holdings Ltd. | 127,729 | 9,709 | |
Reinsurance Group of | |||
America Inc. Class A | 182,037 | 9,686 | |
Fidelity National | |||
Financial Inc. Class A | 494,471 | 9,524 | |
Axis Capital Holdings Ltd. | 292,042 | 9,506 | |
Duke Realty Corp. | 642,343 | 9,404 | |
Senior Housing | |||
Properties Trust | 403,356 | 9,003 | |
Zions Bancorporation | 456,656 | 8,868 | |
Ares Capital Corp. | 549,433 | 8,769 | |
Legg Mason Inc. | 311,925 | 8,225 | |
HCC Insurance | |||
Holdings Inc. | 257,955 | 8,100 | |
DDR Corp. | 549,437 | 8,044 | |
Cullen/Frost Bankers Inc. | 136,837 | 7,867 | |
* | First Republic Bank | 226,099 | 7,597 |
Hospitality Properties Trust | 306,340 | 7,588 | |
Assurant Inc. | 216,980 | 7,560 | |
Piedmont Office Realty | |||
Trust Inc. Class A | 428,108 | 7,368 | |
NASDAQ OMX Group Inc. | 322,481 | 7,311 | |
White Mountains | |||
Insurance Group Ltd. | 13,987 | 7,298 | |
American Financial | |||
Group Inc. | 182,156 | 7,146 | |
Commerce Bancshares Inc. | 187,513 | 7,107 | |
* | Genworth Financial Inc. | ||
Class A | 1,218,621 | 6,897 | |
Essex Property Trust Inc. | 43,256 | 6,658 | |
Chimera | |||
Investment Corp. | 2,547,426 | 6,012 | |
Assured Guaranty Ltd. | 404,737 | 5,707 | |
Old Republic | |||
International Corp. | 598,520 | 4,962 | |
Hudson City Bancorp Inc. | 760,702 | 4,846 | |
Validus Holdings Ltd. | 149,593 | 4,791 | |
Jefferies Group Inc. | 329,786 | 4,284 | |
BOK Financial Corp. | 68,696 | 3,998 | |
Weingarten | |||
Realty Investors | 141,343 | 3,723 | |
Jones Lang LaSalle Inc. | 37,551 | 2,642 | |
Erie Indemnity Co. Class A | 35,589 | 2,549 | |
3,922,630 |
33
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Health Care (13.0%) | |||
Johnson & Johnson | 6,805,474 | 459,778 | |
Pfizer Inc. | 18,688,975 | 429,846 | |
Merck & Co. Inc. | 7,546,593 | 315,070 | |
Abbott Laboratories | 3,898,140 | 251,313 | |
Bristol-Myers Squibb Co. | 4,185,065 | 150,453 | |
Eli Lilly & Co. | 2,589,193 | 111,102 | |
Medtronic Inc. | 2,616,416 | 101,334 | |
WellPoint Inc. | 829,981 | 52,945 | |
Cardinal Health Inc. | 857,040 | 35,996 | |
Aetna Inc. | 868,772 | 33,682 | |
Cigna Corp. | 710,424 | 31,259 | |
Quest Diagnostics Inc. | 390,220 | 23,374 | |
* | Watson | ||
Pharmaceuticals Inc. | 315,294 | 23,329 | |
* | Boston Scientific Corp. | 3,598,379 | 20,403 |
* | Life Technologies Corp. | 442,025 | 19,887 |
Humana Inc. | 203,465 | 15,756 | |
* | CareFusion Corp. | 557,280 | 14,311 |
* | Hospira Inc. | 408,543 | 14,291 |
* | Hologic Inc. | 654,124 | 11,800 |
Coventry Health Care Inc. | 350,150 | 11,131 | |
Omnicare Inc. | 281,716 | 8,798 | |
* | Forest Laboratories Inc. | 230,487 | 8,065 |
* | Endo Health Solutions Inc. | 188,129 | 5,828 |
* | Amylin | ||
Pharmaceuticals Inc. | 189,509 | 5,350 | |
Universal Health | |||
Services Inc. Class B | 77,090 | 3,327 | |
* | Covance Inc. | 50,459 | 2,414 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 16,887 | 1,689 | |
2,162,531 | |||
Industrials (8.8%) | |||
General Electric Co. | 26,232,291 | 546,681 | |
United | |||
Technologies Corp. | 2,143,616 | 161,907 | |
Honeywell | |||
International Inc. | 1,826,155 | 101,972 | |
General Dynamics Corp. | 751,967 | 49,600 | |
Raytheon Co. | 842,635 | 47,685 | |
Northrop Grumman Corp. | 595,050 | 37,958 | |
Waste Management Inc. | 1,086,745 | 36,297 | |
Eaton Corp. | 788,326 | 31,241 | |
Lockheed Martin Corp. | 342,570 | 29,831 | |
Parker Hannifin Corp. | 374,198 | 28,768 | |
Cooper Industries plc | 394,084 | 26,869 | |
Stanley Black & | |||
Decker Inc. | 399,343 | 25,702 | |
* | Delta Air Lines Inc. | 2,096,328 | 22,955 |
Republic Services Inc. | |||
Class A | 779,947 | 20,637 | |
* | United Continental | ||
Holdings Inc. | 823,336 | 20,032 |
Market | ||||
Value | ||||
Shares | ($000) | |||
L-3 Communications | ||||
Holdings Inc. | 245,450 | 18,166 | ||
Southwest Airlines Co. | 1,916,393 | 17,669 | ||
Equifax Inc. | 297,188 | 13,849 | ||
* | Quanta Services Inc. | 514,377 | 12,381 | |
* | Jacobs Engineering | |||
Group Inc. | 318,692 | 12,066 | ||
Xylem Inc. | 458,038 | 11,529 | ||
Cintas Corp. | 289,582 | 11,181 | ||
* | AGCO Corp. | 241,070 | 11,024 | |
Iron Mountain Inc. | 318,249 | 10,489 | ||
Hubbell Inc. Class B | 128,380 | 10,006 | ||
Timken Co. | 206,032 | 9,434 | ||
Pentair Inc. | 244,559 | 9,362 | ||
KBR Inc. | 367,130 | 9,072 | ||
Snap-on Inc. | 144,560 | 8,999 | ||
Towers Watson & Co. | ||||
Class A | 145,319 | 8,705 | ||
* | Hertz Global Holdings Inc. | 672,573 | 8,609 | |
SPX Corp. | 127,133 | 8,304 | ||
Pall Corp. | 142,606 | 7,816 | ||
Pitney Bowes Inc. | 495,435 | 7,417 | ||
Manpower Inc. | 198,811 | 7,286 | ||
Avery Dennison Corp. | 263,899 | 7,215 | ||
* | Spirit Aerosystems | |||
Holdings Inc. Class A | 294,042 | 7,007 | ||
URS Corp. | 197,424 | 6,886 | ||
^ | RR Donnelley & Sons Co. | 442,715 | 5,211 | |
Robert Half | ||||
International Inc. | 166,299 | 4,751 | ||
Masco Corp. | 310,347 | 4,305 | ||
* | AECOM Technology Corp. | 259,816 | 4,274 | |
IDEX Corp. | 103,248 | 4,025 | ||
* | Foster Wheeler AG | 172,557 | 2,990 | |
* | Owens Corning | 99,053 | 2,827 | |
1,450,990 | ||||
Information Technology (7.2%) | ||||
Intel Corp. | 12,385,829 | 330,082 | ||
Microsoft Corp. | 6,552,637 | 200,445 | ||
Hewlett-Packard Co. | 4,899,679 | 98,533 | ||
Corning Inc. | 3,773,084 | 48,786 | ||
Texas Instruments Inc. | 1,419,367 | 40,722 | ||
Applied Materials Inc. | 3,200,996 | 36,683 | ||
TE Connectivity Ltd. | 1,056,677 | 33,719 | ||
Xerox Corp. | 3,302,120 | 25,988 | ||
Paychex Inc. | 808,759 | 25,403 | ||
Seagate Technology plc | 1,001,293 | 24,762 | ||
* | Dell Inc. | 1,893,012 | 23,700 | |
CA Inc. | 842,927 | 22,835 | ||
* | Yahoo! Inc. | 1,429,464 | 22,628 | |
Xilinx Inc. | 649,226 | 21,795 | ||
KLA-Tencor Corp. | 413,434 | 20,362 | ||
Fidelity National | ||||
Information Services Inc. | 574,340 | 19,573 |
34
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Maxim Integrated | |||
Products Inc. | 723,411 | 18,548 | |
Microchip Technology Inc. | 476,274 | 15,755 | |
* | SanDisk Corp. | 390,734 | 14,254 |
* | Lam Research Corp. | 324,757 | 12,256 |
Harris Corp. | 282,412 | 11,819 | |
* | Avnet Inc. | 359,727 | 11,101 |
* | Synopsys Inc. | 357,185 | 10,512 |
* | NVIDIA Corp. | 757,077 | 10,463 |
Computer Sciences Corp. | 384,564 | 9,545 | |
Total System Services Inc. | 398,100 | 9,527 | |
Jabil Circuit Inc. | 467,653 | 9,507 | |
* | Arrow Electronics Inc. | 277,482 | 9,104 |
* | Western Digital Corp. | 291,362 | 8,881 |
SAIC Inc. | 676,873 | 8,204 | |
* | ON Semiconductor Corp. | 1,121,237 | 7,961 |
* | Flextronics | ||
International Ltd. | 1,107,397 | 6,866 | |
* | Electronic Arts Inc. | 534,225 | 6,598 |
* | Ingram Micro Inc. | 372,203 | 6,502 |
Lexmark International Inc. | |||
Class A | 174,547 | 4,639 | |
Molex Inc. | 164,866 | 3,947 | |
Molex Inc. Class A | 178,194 | 3,605 | |
* | Polycom Inc. | 153,044 | 1,610 |
1,197,220 | |||
Materials (3.5%) | |||
Dow Chemical Co. | 2,938,769 | 92,571 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 2,351,219 | 80,106 | |
LyondellBasell Industries | |||
NV Class A | 782,324 | 31,504 | |
Nucor Corp. | 785,717 | 29,779 | |
International Paper Co. | 1,029,482 | 29,762 | |
Alcoa Inc. | 2,643,268 | 23,129 | |
Air Products & | |||
Chemicals Inc. | 261,116 | 21,080 | |
Newmont Mining Corp. | 429,637 | 20,842 | |
CF Industries Holdings Inc. | 105,603 | 20,459 | |
PPG Industries Inc. | 188,537 | 20,008 | |
Cliffs Natural | |||
Resources Inc. | 352,140 | 17,357 | |
Eastman Chemical Co. | 339,689 | 17,110 | |
Airgas Inc. | 160,999 | 13,526 | |
Ashland Inc. | 194,218 | 13,461 | |
MeadWestvaco Corp. | 423,946 | 12,188 | |
Valspar Corp. | 219,885 | 11,542 | |
International Flavors & | |||
Fragrances Inc. | 200,729 | 11,000 | |
Rock-Tenn Co. Class A | 175,045 | 9,549 | |
Reliance Steel & | |||
Aluminum Co. | 185,423 | 9,364 | |
Martin Marietta | |||
Materials Inc. | 113,187 | 8,921 | |
Vulcan Materials Co. | 208,334 | 8,273 |
Market | |||
Value | |||
Shares | ($000) | ||
Allegheny | |||
Technologies Inc. | 251,362 | 8,016 | |
Bemis Co. Inc. | 255,711 | 8,014 | |
United States Steel Corp. | 374,323 | 7,711 | |
Sonoco Products Co. | 249,402 | 7,519 | |
* | Owens-Illinois Inc. | 387,365 | 7,426 |
Domtar Corp. | 91,132 | 6,991 | |
Sealed Air Corp. | 452,332 | 6,984 | |
Huntsman Corp. | 501,391 | 6,488 | |
Steel Dynamics Inc. | 516,052 | 6,064 | |
Aptargroup Inc. | 106,630 | 5,443 | |
* | Crown Holdings Inc. | 128,294 | 4,425 |
Greif Inc. Class A | 61,583 | 2,525 | |
Titanium Metals Corp. | 215,784 | 2,440 | |
Walter Energy Inc. | 53,781 | 2,375 | |
583,952 | |||
Telecommunication Services (5.8%) | |||
AT&T Inc. | 14,698,163 | 524,136 | |
Verizon | |||
Communications Inc. | 7,029,677 | 312,399 | |
CenturyLink Inc. | 1,536,201 | 60,665 | |
* | Sprint Nextel Corp. | 7,431,396 | 24,226 |
^ | Windstream Corp. | 1,454,207 | 14,048 |
^ | Frontier Communications | ||
Corp. | 2,467,307 | 9,450 | |
Telephone & Data | |||
Systems Inc. | 238,846 | 5,085 | |
* | Level 3 | ||
Communications Inc. | 125,643 | 2,783 | |
* | MetroPCS | ||
Communications Inc. | 379,609 | 2,297 | |
* | United States | ||
Cellular Corp. | 31,755 | 1,226 | |
956,315 | |||
Utilities (7.3%) | |||
Southern Co. | 2,136,884 | 98,938 | |
Exelon Corp. | 2,110,845 | 79,410 | |
Duke Energy Corp. | 3,311,802 | 76,370 | |
Dominion Resources Inc. | 1,413,496 | 76,329 | |
NextEra Energy Inc. | 980,312 | 67,455 | |
FirstEnergy Corp. | 1,036,884 | 51,004 | |
American Electric | |||
Power Co. Inc. | 1,198,539 | 47,822 | |
PG&E Corp. | 1,023,735 | 46,344 | |
Consolidated Edison Inc. | 726,124 | 45,158 | |
Progress Energy Inc. | 731,943 | 44,041 | |
Public Service Enterprise | |||
Group Inc. | 1,254,625 | 40,775 | |
PPL Corp. | 1,436,109 | 39,938 | |
Sempra Energy | 564,909 | 38,911 | |
Edison International | 767,417 | 35,455 | |
Xcel Energy Inc. | 1,206,968 | 34,290 | |
Northeast Utilities | 776,370 | 30,131 | |
Entergy Corp. | 437,902 | 29,729 |
35
Value Index Fund | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
DTE Energy Co. | 420,013 | 24,919 | ||
Wisconsin Energy Corp. | 571,446 | 22,612 | ||
CenterPoint Energy Inc. | 1,003,650 | 20,745 | ||
ONEOK Inc. | 489,512 | 20,711 | ||
* | AES Corp. | 1,614,152 | 20,710 | |
Ameren Corp. | 600,500 | 20,141 | ||
NiSource Inc. | 699,693 | 17,317 | ||
CMS Energy Corp. | 638,269 | 14,999 | ||
American Water | ||||
Works Co. Inc. | 435,721 | 14,937 | ||
SCANA Corp. | 306,973 | 14,686 | ||
Pinnacle West Capital Corp. 270,914 | 14,017 | |||
OGE Energy Corp. | 243,259 | 12,598 | ||
Alliant Energy Corp. | 275,316 | 12,546 | ||
AGL Resources Inc. | 290,439 | 11,255 | ||
Pepco Holdings Inc. | 564,361 | 11,045 | ||
Integrys Energy Group Inc. | 194,124 | 11,040 | ||
NV Energy Inc. | 585,233 | 10,288 | ||
* | NRG Energy Inc. | 564,569 | 9,801 | |
MDU Resources Group Inc. 444,817 | 9,613 | |||
TECO Energy Inc. | 508,377 | 9,181 | ||
Aqua America Inc. | 344,364 | 8,595 | ||
National Fuel Gas Co. | 175,144 | 8,228 | ||
UGI Corp. | 278,041 | 8,183 | ||
* | Calpine Corp. | 269,723 | 4,453 | |
1,214,720 | ||||
Total Common Stocks | ||||
(Cost $16,479,861) | 16,596,450 | |||
Temporary Cash Investment (0.6%) | ||||
Money Market Fund (0.6%) | ||||
1,2 | Vanguard Market | |||
Liquidity Fund, 0.148% | ||||
(Cost $101,347) | 101,346,737 | 101,347 | ||
Total Investments (100.6%) | ||||
(Cost $16,581,208) | 16,697,797 | |||
Other Assets and Liabilities (-0.6%) | ||||
Other Assets | 49,906 | |||
Liabilities2 | (149,345) | |||
(99,439) | ||||
Net Assets (100%) | 16,598,358 |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 18,015,667 |
Overdistributed Net Investment Income | (11,579) |
Accumulated Net Realized Losses | (1,522,319) |
Unrealized Appreciation (Depreciation) | 116,589 |
Net Assets | 16,598,358 |
Investor Shares—Net Assets | |
Applicable to 71,423,836 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,557,422 |
Net Asset Value Per Share— | |
Investor Shares | $21.81 |
Admiral Shares—Net Assets | |
Applicable to 152,044,602 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,315,040 |
Net Asset Value Per Share— | |
Admiral Shares | $21.80 |
Signal Shares—Net Assets | |
Applicable to 74,271,512 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,684,944 |
Net Asset Value Per Share— | |
Signal Shares | $22.69 |
Institutional Shares—Net Assets | |
Applicable to 193,622,655 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,221,290 |
Net Asset Value Per Share— | |
Institutional Shares | $21.80 |
ETF Shares—Net Assets | |
Applicable to 104,119,262 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,819,662 |
Net Asset Value Per Share— | |
ETF Shares | $55.89 |
See Note A in Notes to Financial Statements.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $7,852,000.
* Non-income-producing security.
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 $8,266,000 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, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 224,772 |
Interest1 | 4 |
Security Lending | 752 |
Total Income | 225,528 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 546 |
Management and Administrative—Investor Shares | 1,621 |
Management and Administrative—Admiral Shares | 1,167 |
Management and Administrative—Signal Shares | 478 |
Management and Administrative—Institutional Shares | 853 |
Management and Administrative—ETF Shares | 1,692 |
Marketing and Distribution—Investor Shares | 268 |
Marketing and Distribution—Admiral Shares | 282 |
Marketing and Distribution—Signal Shares | 239 |
Marketing and Distribution—Institutional Shares | 487 |
Marketing and Distribution—ETF Shares | 787 |
Custodian Fees | 169 |
Shareholders’ Reports—Investor Shares | 53 |
Shareholders’ Reports—Admiral Shares | 34 |
Shareholders’ Reports—Signal Shares | 8 |
Shareholders’ Reports—Institutional Shares | 51 |
Shareholders’ Reports—ETF Shares | 83 |
Trustees’ Fees and Expenses | 7 |
Total Expenses | 8,825 |
Net Investment Income | 216,703 |
Realized Net Gain (Loss) on Investment Securities Sold | 183,205 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 774,666 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,174,574 |
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.
37
Value Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 216,703 | 392,460 |
Realized Net Gain (Loss) | 183,205 | 1,096,053 |
Change in Unrealized Appreciation (Depreciation) | 774,666 | (1,314,951) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,174,574 | 173,562 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (19,140) | (49,270) |
Admiral Shares | (42,912) | (82,151) |
Signal Shares | (21,349) | (35,324) |
Institutional Shares | (53,804) | (92,665) |
ETF Shares | (74,710) | (130,797) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (211,915) | (390,207) |
Capital Share Transactions | ||
Investor Shares | (385,988) | (493,934) |
Admiral Shares | (2,800) | 76,079 |
Signal Shares | 123,389 | 479,877 |
Institutional Shares | 557,383 | 48,177 |
ETF Shares | 449,557 | 803,624 |
Net Increase (Decrease) from Capital Share Transactions | 741,541 | 913,823 |
Total Increase (Decrease) | 1,704,200 | 697,178 |
Net Assets | ||
Beginning of Period | 14,894,158 | 14,196,980 |
End of Period1 | 16,598,358 | 14,894,158 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($11,579,000) and ($16,367,000).
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $20.47 | $20.79 | $18.63 | $16.08 | $25.94 | $26.58 |
Investment Operations | ||||||
Net Investment Income | .274 | .521 | .459 | .498 | .660 | .687 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.333 | (.325) | 2.163 | 2.561 | (9.863) | (.644) |
Total from Investment Operations | 1.607 | .196 | 2.622 | 3.059 | (9.203) | .043 |
Distributions | ||||||
Dividends from Net Investment Income | (.267) | (.516) | (.462) | (.509) | (.657) | (.683) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.267) | (.516) | (.462) | (.509) | (.657) | (.683) |
Net Asset Value, End of Period | $21.81 | $20.47 | $20.79 | $18.63 | $16.08 | $25.94 |
Total Return1 | 7.86% | 1.00% | 14.28% | 19.58% | -35.97% | 0.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,557 | $1,814 | $2,317 | $3,357 | $2,618 | $4,310 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.26% | 0.26% | 0.21% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.57% | 2.52% | 2.43% | 3.09% | 3.14% | 2.49% |
Portfolio Turnover Rate2 | 19% | 23% | 27% | 31% | 27% | 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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $20.47 | $20.79 | $18.63 | $16.08 | $25.94 | $26.58 |
Investment Operations | ||||||
Net Investment Income | .292 | .551 | .488 | .517 | .681 | .710 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.322 | (.325) | 2.162 | 2.562 | (9.863) | (.640) |
Total from Investment Operations | 1.614 | .226 | 2.650 | 3.079 | (9.182) | .070 |
Distributions | ||||||
Dividends from Net Investment Income | (.284) | (.546) | (.490) | (.529) | (.678) | (.710) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.284) | (.546) | (.490) | (.529) | (.678) | (.710) |
Net Asset Value, End of Period | $21.80 | $20.47 | $20.79 | $18.63 | $16.08 | $25.94 |
Total Return1 | 7.89% | 1.14% | 14.45% | 19.72% | -35.90% | 0.18% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,315 | $3,116 | $3,082 | $1,421 | $1,262 | $2,069 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.71% | 2.66% | 2.57% | 3.21% | 3.24% | 2.59% |
Portfolio Turnover Rate2 | 19% | 23% | 27% | 31% | 27% | 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.
40
Value Index Fund | ||||||
Financial Highlights | ||||||
Signal Shares | ||||||
Six Months | June 4, | |||||
Ended | 20071 to | |||||
Year Ended December 31, | ||||||
For a Share Outstanding | June 30, | Dec. 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $21.30 | $21.63 | $19.38 | $16.73 | $27.00 | $30.14 |
Investment Operations | ||||||
Net Investment Income | .303 | .574 | .508 | .538 | .710 | .442 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.383 | (.335) | 2.252 | 2.663 | (10.274) | (3.017) |
Total from Investment Operations | 1.686 | .239 | 2.760 | 3.201 | (9.564) | (2.575) |
Distributions | ||||||
Dividends from Net Investment Income | (.296) | (.569) | (.510) | (.551) | (.706) | (.565) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.296) | (.569) | (.510) | (.551) | (.706) | (.565) |
Net Asset Value, End of Period | $22.69 | $21.30 | $21.63 | $19.38 | $16.73 | $27.00 |
Total Return | 7.92% | 1.16% | 14.46% | 19.70% | -35.93% | -8.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,685 | $1,467 | $1,018 | $907 | $638 | $864 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% | 0.10%2 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.71% | 2.66% | 2.57% | 3.21% | 3.24% | 2.59%2 |
Portfolio Turnover Rate3 | 19% | 23% | 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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $20.47 | $20.79 | $18.63 | $16.08 | $25.94 | $26.58 |
Investment Operations | ||||||
Net Investment Income | .294 | .556 | .496 | .527 | .690 | .722 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.323 | (.325) | 2.162 | 2.562 | (9.864) | (.644) |
Total from Investment Operations | 1.617 | .231 | 2.658 | 3.089 | (9.174) | .078 |
Distributions | ||||||
Dividends from Net Investment Income | (.287) | (.551) | (.498) | (.539) | (.686) | (.718) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.287) | (.551) | (.498) | (.539) | (.686) | (.718) |
Net Asset Value, End of Period | $21.80 | $20.47 | $20.79 | $18.63 | $16.08 | $25.94 |
Total Return | 7.91% | 1.17% | 14.49% | 19.79% | -35.88% | 0.21% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,221 | $3,449 | $3,450 | $2,812 | $1,992 | $2,660 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.73% | 2.68% | 2.61% | 3.27% | 3.28% | 2.62% |
Portfolio Turnover Rate1 | 19% | 23% | 27% | 31% | 27% | 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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $52.48 | $53.29 | $47.75 | $41.21 | $66.51 | $68.14 |
Investment Operations | ||||||
Net Investment Income | .749 | 1.414 | 1.252 | 1.324 | 1.754 | 1.830 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.391 | (.821) | 5.545 | 6.573 | (25.311) | (1.640) |
Total from Investment Operations | 4.140 | .593 | 6.797 | 7.897 | (23.557) | .190 |
Distributions | ||||||
Dividends from Net Investment Income | (.730) | (1.403) | (1.257) | (1.357) | (1.743) | (1.820) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.730) | (1.403) | (1.257) | (1.357) | (1.743) | (1.820) |
Net Asset Value, End of Period | $55.89 | $52.48 | $53.29 | $47.75 | $41.21 | $66.51 |
Total Return | 7.90% | 1.16% | 14.45% | 19.72% | -35.91% | 0.20% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,820 | $5,049 | $4,330 | $3,145 | $2,165 | $2,215 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.14% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.71% | 2.66% | 2.57% | 3.21% | 3.25% | 2.59% |
Portfolio Turnover Rate1 | 19% | 23% | 27% | 31% | 27% | 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, 2008–2011), and for the period ended June 30, 2012, 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, 2012, the fund had contributed capital of $2,395,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.96% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
44
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, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2012, the fund realized $119,666,000 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, 2011, the fund had available capital loss carryforwards totaling $1,585,546,000 which are subject to expiration and may be used to offset future net capital gains 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, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $16,581,208,000. Net unrealized appreciation of investment securities for tax purposes was $116,589,000, consisting of unrealized gains of $1,979,506,000 on securities that had risen in value since their purchase and $1,862,917,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2012, the fund purchased $2,899,001,000 of investment securities and sold $2,137,157,000 of investment securities, other than temporary cash investments.
45
Value Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 123,243 | 5,687 | 368,539 | 17,523 |
Issued in Lieu of Cash Distributions | 18,177 | 835 | 47,218 | 2,327 |
Redeemed | (527,408) | (23,705) | (909,691) | (42,688) |
Net Increase (Decrease)—Investor Shares | (385,988) | (17,183) | (493,934) | (22,838) |
Admiral Shares | ||||
Issued | 156,096 | 7,202 | 417,107 | 20,195 |
Issued in Lieu of Cash Distributions | 38,144 | 1,751 | 73,106 | 3,613 |
Redeemed | (197,040) | (9,085) | (414,134) | (19,900) |
Net Increase (Decrease)—Admiral Shares | (2,800) | (132) | 76,079 | 3,908 |
Signal Shares | ||||
Issued | 324,476 | 14,363 | 828,438 | 37,846 |
Issued in Lieu of Cash Distributions | 17,617 | 778 | 30,038 | 1,431 |
Redeemed | (218,704) | (9,721) | (378,599) | (17,473) |
Net Increase (Decrease)—Signal Shares | 123,389 | 5,420 | 479,877 | 21,804 |
Institutional Shares | ||||
Issued | 803,299 | 36,604 | 647,946 | 30,995 |
Issued in Lieu of Cash Distributions | 51,408 | 2,360 | 86,882 | 4,295 |
Redeemed | (297,324) | (13,786) | (686,651) | (32,819) |
Net Increase (Decrease)—Institutional Shares | 557,383 | 25,178 | 48,177 | 2,471 |
ETF Shares | ||||
Issued | 1,079,569 | 19,618 | 1,423,420 | 26,848 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (630,012) | (11,700) | (619,796) | (11,900) |
Net Increase (Decrease)—ETF Shares | 449,557 | 7,918 | 803,624 | 14,948 |
G. In preparing the financial statements as of June 30, 2012, 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, 2012
Share-Class Characteristics
Investor | Admiral | Signal | Institutional | ETF | |
Shares | Shares | Shares | Shares | Shares | |
Ticker Symbol | VLACX | VLCAX | VLCSX | VLISX | VV |
Expense Ratio1 | 0.24% | 0.10% | 0.10% | 0.08% | 0.10% |
30-Day SEC Yield | 2.01% | 2.15% | 2.15% | 2.17% | 2.15% |
Portfolio Characteristics | |||
MSCI US | DJ | ||
Prime | U.S. Total | ||
Market | Market | ||
Fund 750 Index | Index | ||
Number of Stocks | 756 | 755 | 3,694 |
Median Market Cap $45.0B | $45.0B | $33.1B | |
Price/Earnings Ratio | 15.6x | 15.6x | 16.1x |
Price/Book Ratio | 2.2x | 2.2x | 2.1x |
Return on Equity | 19.3% | 19.1% | 18.1% |
Earnings Growth Rate | 9.9% | 9.9% | 9.4% |
Dividend Yield | 2.2% | 2.2% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 6% | — | — |
Short-Term Reserves | 0.0% | — | — |
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) | ||
Apple Inc. | Computer | |
Hardware | 4.1% | |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 3.0 | |
Microsoft Corp. | Systems Software | 1.7 |
General Electric Co. | Industrial | |
Conglomerates | 1.7 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.6 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.6 | |
Chevron Corp. | Integrated Oil & | |
Gas | 1.6 | |
Johnson & Johnson | Pharmaceuticals | 1.4 |
Pfizer Inc. | Pharmaceuticals | 1.3 |
Procter & Gamble Co. | Household | |
Products | 1.3 | |
Top Ten | 19.3% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, 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 11.9% | 11.9% | 11.9% | |
Consumer Staples | 10.7 | 10.7 | 9.8 |
Energy | 10.6 | 10.7 | 10.0 |
Financials | 14.5 | 14.5 | 15.9 |
Health Care | 11.7 | 11.7 | 12.0 |
Industrials | 10.4 | 10.4 | 10.8 |
Information Technology 19.7 | 19.6 | 19.1 | |
Materials | 3.7 | 3.7 | 3.9 |
Telecommunication | |||
Services | 3.1 | 3.1 | 2.9 |
Utilities | 3.7 | 3.7 | 3.7 |
Investment Focus |
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_lcx50x1.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, 2012
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/usstockindex_lcx51x1.jpg)
Large-Cap Index Fund Investor Shares |
MSCI US Prime Market 750 Index |
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 1/30/2004 | 4.47% | 0.39% | 4.62% |
Admiral Shares | 2/2/2004 | 4.58 | 0.52 | 4.70 |
Signal Shares | 8/30/2007 | 4.60 | — | 1.10 |
Institutional Shares | 6/30/2005 | 4.60 | 0.55 | 4.44 |
ETF Shares | 1/27/2004 | |||
Market Price | 4.54 | 0.53 | 4.61 | |
Net Asset Value | 4.58 | 0.53 | 4.61 |
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, 2012
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%)1 | |||
Consumer Discretionary (11.8%) | |||
McDonald’s Corp. | 437,683 | 38,748 | |
* | Amazon.com Inc. | 156,378 | 35,709 |
Walt Disney Co. | 731,441 | 35,475 | |
Home Depot Inc. | 662,165 | 35,088 | |
Comcast Corp. Class A | 869,665 | 27,803 | |
News Corp. Class A | 862,920 | 19,234 | |
Starbucks Corp. | 323,571 | 17,253 | |
Time Warner Inc. | 416,478 | 16,034 | |
Target Corp. | 273,124 | 15,893 | |
Lowe’s Cos. Inc. | 533,022 | 15,159 | |
Ford Motor Co. | 1,522,102 | 14,597 | |
* | priceline.com Inc. | 21,385 | 14,211 |
* | DIRECTV Class A | 290,458 | 14,180 |
NIKE Inc. Class B | 158,560 | 13,918 | |
TJX Cos. Inc. | 323,984 | 13,909 | |
Yum! Brands Inc. | 197,717 | 12,737 | |
Time Warner Cable Inc. | 135,000 | 11,084 | |
Viacom Inc. Class B | 210,058 | 9,877 | |
Comcast Corp. | 288,636 | 9,063 | |
CBS Corp. Class B | 260,024 | 8,524 | |
Johnson Controls Inc. | 292,324 | 8,100 | |
Las Vegas Sands Corp. | 173,307 | 7,537 | |
Coach Inc. | 123,732 | 7,236 | |
* | General Motors Co. | 336,625 | 6,638 |
Carnival Corp. | 192,143 | 6,585 | |
* | Bed Bath & Beyond Inc. | 103,737 | 6,411 |
Ross Stores Inc. | 98,310 | 6,141 | |
Macy’s Inc. | 178,068 | 6,117 | |
Omnicom Group Inc. | 117,272 | 5,699 | |
* | AutoZone Inc. | 15,073 | 5,534 |
* | Dollar Tree Inc. | 102,254 | 5,501 |
* | Chipotle Mexican Grill Inc. | ||
Class A | 13,434 | 5,104 | |
VF Corp. | 38,035 | 5,076 | |
* | Dollar General Corp. | 92,865 | 5,051 |
McGraw-Hill Cos. Inc. | 107,512 | 4,838 | |
Mattel Inc. | 145,525 | 4,721 |
Market | ||||
Value | ||||
Shares | ($000) | |||
Kohl’s Corp. | 103,443 | 4,706 | ||
Limited Brands Inc. | 108,285 | 4,605 | ||
* | O’Reilly Automotive Inc. | 54,686 | 4,581 | |
Harley-Davidson Inc. | 99,101 | 4,532 | ||
Marriott International Inc. | ||||
Class A | 114,802 | 4,500 | ||
Starwood Hotels & Resorts | ||||
Worldwide Inc. | 84,278 | 4,470 | ||
* | Liberty Interactive Corp. | |||
Class A | 234,856 | 4,178 | ||
Genuine Parts Co. | 66,948 | 4,034 | ||
* | Liberty Media Corp. - | |||
Liberty Capital Class A | 45,835 | 4,029 | ||
Staples Inc. | 298,388 | 3,894 | ||
Gap Inc. | 136,382 | 3,731 | ||
Ralph Lauren Corp. Class A | 26,521 | 3,715 | ||
Wynn Resorts Ltd. | 34,536 | 3,582 | ||
Nordstrom Inc. | 71,407 | 3,548 | ||
Wyndham Worldwide Corp. | 62,987 | 3,322 | ||
* | Discovery Communications | |||
Inc. Class A | 61,141 | 3,302 | ||
PetSmart Inc. | 48,013 | 3,274 | ||
* | BorgWarner Inc. | 46,832 | 3,072 | |
* | Sirius XM Radio Inc. | 1,612,836 | 2,984 | |
* | Liberty Global Inc. Class A | 59,225 | 2,939 | |
Tiffany & Co. | 54,490 | 2,885 | ||
Family Dollar Stores Inc. | 42,974 | 2,857 | ||
Darden Restaurants Inc. | 55,232 | 2,796 | ||
Virgin Media Inc. | 114,016 | 2,781 | ||
Best Buy Co. Inc. | 128,130 | 2,686 | ||
* | Lululemon Athletica Inc. | 43,182 | 2,575 | |
DISH Network Corp. | ||||
Class A | 89,602 | 2,558 | ||
Tractor Supply Co. | 30,716 | 2,551 | ||
* | CarMax Inc. | 97,219 | 2,522 | |
* | Liberty Global Inc. | 51,776 | 2,472 | |
Ulta Salon Cosmetics & | ||||
Fragrance Inc. | 25,736 | 2,403 | ||
* | Discovery | |||
Communications Inc. | 47,092 | 2,359 |
50
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
PVH Corp. | 29,462 | 2,292 | |
DR Horton Inc. | 122,423 | 2,250 | |
Newell Rubbermaid Inc. | 123,851 | 2,247 | |
Scripps Networks | |||
Interactive Inc. Class A | 39,504 | 2,246 | |
Advance Auto Parts Inc. | 31,264 | 2,133 | |
Autoliv Inc. | 38,397 | 2,099 | |
Lennar Corp. Class A | 67,560 | 2,088 | |
Interpublic Group of | |||
Cos. Inc. | 192,106 | 2,084 | |
International Game | |||
Technology | 127,980 | 2,016 | |
Whirlpool Corp. | 32,941 | 2,015 | |
H&R Block Inc. | 126,028 | 2,014 | |
* | LKQ Corp. | 60,010 | 2,004 |
Expedia Inc. | 41,587 | 1,999 | |
Foot Locker Inc. | 65,371 | 1,999 | |
Polaris Industries Inc. | 27,919 | 1,996 | |
Dick’s Sporting Goods Inc. | 41,457 | 1,990 | |
* | TripAdvisor Inc. | 44,222 | 1,976 |
* | Toll Brothers Inc. | 64,672 | 1,923 |
Garmin Ltd. | 50,156 | 1,920 | |
* | Sally Beauty Holdings Inc. | 69,593 | 1,791 |
* | Apollo Group Inc. Class A | 48,788 | 1,766 |
* | MGM Resorts International | 157,860 | 1,762 |
* | Mohawk Industries Inc. | 25,045 | 1,749 |
* | NVR Inc. | 2,054 | 1,746 |
* | Fossil Inc. | 22,561 | 1,727 |
* | Panera Bread Co. Class A | 12,197 | 1,701 |
Hasbro Inc. | 49,559 | 1,679 | |
* | TRW Automotive | ||
Holdings Corp. | 45,261 | 1,664 | |
Signet Jewelers Ltd. | 37,405 | 1,646 | |
JC Penney Co. Inc. | 69,848 | 1,628 | |
Lear Corp. | 43,093 | 1,626 | |
Royal Caribbean Cruises Ltd. | 60,802 | 1,583 | |
* | PulteGroup Inc. | 147,615 | 1,579 |
* | Under Armour Inc. Class A | 16,538 | 1,563 |
* | Netflix Inc. | 22,649 | 1,551 |
Gannett Co. Inc. | 101,699 | 1,498 | |
American Eagle | |||
Outfitters Inc. | 74,813 | 1,476 | |
Williams-Sonoma Inc. | 39,712 | 1,389 | |
* | Urban Outfitters Inc. | 49,618 | 1,369 |
Tupperware Brands Corp. | 24,039 | 1,316 | |
Gentex Corp. | 61,718 | 1,288 | |
Leggett & Platt Inc. | 60,021 | 1,268 | |
Abercrombie & Fitch Co. | 36,767 | 1,255 | |
* | Goodyear Tire & Rubber Co. | 105,060 | 1,241 |
* | Charter | ||
Communications Inc. | |||
Class A | 17,211 | 1,220 | |
Harman International | |||
Industries Inc. | 30,218 | 1,197 |
Market | ||||
Value | ||||
Shares | ($000) | |||
Dunkin’ Brands Group Inc. | 33,726 | 1,158 | ||
Cablevision Systems Corp. | ||||
Class A | 85,141 | 1,132 | ||
* | Delphi Automotive plc | 42,380 | 1,081 | |
GameStop Corp. Class A | 58,542 | 1,075 | ||
News Corp. Class B | 45,409 | 1,023 | ||
* | Sears Holdings Corp. | 15,952 | 952 | |
Guess? Inc. | 30,073 | 913 | ||
DeVry Inc. | 25,517 | 790 | ||
* | Lamar Advertising Co. | |||
Class A | 26,929 | 770 | ||
Washington Post Co. | ||||
Class B | 2,054 | 768 | ||
* | Deckers Outdoor Corp. | 16,657 | 733 | |
* | Hyatt Hotels Corp. Class A | 19,709 | 732 | |
* | AutoNation Inc. | 19,967 | 704 | |
* | Tempur-Pedic | |||
International Inc. | 27,406 | 641 | ||
Weight Watchers | ||||
International Inc. | 11,951 | 616 | ||
676,885 | ||||
Consumer Staples (10.7%) | ||||
Procter & Gamble Co. | 1,183,417 | 72,484 | ||
Coca-Cola Co. | 875,172 | 68,430 | ||
Philip Morris | ||||
International Inc. | 739,787 | 64,554 | ||
Wal-Mart Stores Inc. | 809,316 | 56,426 | ||
PepsiCo Inc. | 674,821 | 47,683 | ||
Altria Group Inc. | 878,665 | 30,358 | ||
Kraft Foods Inc. | 721,569 | 27,867 | ||
CVS Caremark Corp. | 559,368 | 26,139 | ||
Colgate-Palmolive Co. | 206,009 | 21,446 | ||
Costco Wholesale Corp. | 186,961 | 17,761 | ||
Kimberly-Clark Corp. | 169,064 | 14,162 | ||
Walgreen Co. | 375,186 | 11,098 | ||
General Mills Inc. | 276,815 | 10,668 | ||
Archer-Daniels-Midland Co. | 284,113 | 8,387 | ||
Sysco Corp. | 251,350 | 7,493 | ||
Lorillard Inc. | 56,735 | 7,486 | ||
HJ Heinz Co. | 137,495 | 7,477 | ||
Whole Foods Market Inc. | 74,447 | 7,096 | ||
Mead Johnson Nutrition Co. | 87,553 | 7,049 | ||
Reynolds American Inc. | 148,627 | 6,669 | ||
Estee Lauder Cos. Inc. | ||||
Class A | 101,326 | 5,484 | ||
Kroger Co. | 234,785 | 5,445 | ||
Kellogg Co. | 107,486 | 5,302 | ||
Hershey Co. | 67,260 | 4,845 | ||
ConAgra Foods Inc. | 177,370 | 4,599 | ||
* | Monster Beverage Corp. | 63,685 | 4,534 | |
Dr Pepper Snapple | ||||
Group Inc. | 91,002 | 3,981 | ||
Bunge Ltd. | 62,605 | 3,928 | ||
Clorox Co. | 52,989 | 3,840 | ||
Beam Inc. | 60,579 | 3,786 |
51
Large-Cap Index Fund | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
JM Smucker Co. | 48,672 | 3,676 | ||
Coca-Cola Enterprises Inc. | 130,149 | 3,649 | ||
Church & Dwight Co. Inc. | 61,226 | 3,396 | ||
Brown-Forman Corp. | ||||
Class B | 34,992 | 3,389 | ||
McCormick & Co. Inc. | 51,698 | 3,135 | ||
Avon Products Inc. | 185,249 | 3,003 | ||
Campbell Soup Co. | 82,125 | 2,741 | ||
Molson Coors Brewing Co. | ||||
Class B | 64,005 | 2,663 | ||
Herbalife Ltd. | 49,976 | 2,415 | ||
Tyson Foods Inc. Class A | 128,196 | 2,414 | ||
* | Energizer Holdings Inc. | 28,313 | 2,131 | |
Safeway Inc. | 115,331 | 2,093 | ||
* | Constellation Brands Inc. | |||
Class A | 75,676 | 2,048 | ||
Hormel Foods Corp. | 62,288 | 1,895 | ||
Ingredion Inc. | 32,851 | 1,627 | ||
* | Ralcorp Holdings Inc. | 23,740 | 1,584 | |
Hillshire Brands Co. | 50,935 | 1,477 | ||
* | Smithfield Foods Inc. | 65,958 | 1,427 | |
* | Green Mountain | |||
Coffee Roasters Inc. | 56,506 | 1,231 | ||
DE Master Blenders | 5,083 | 57 | ||
612,528 | ||||
Energy (10.6%) | ||||
Exxon Mobil Corp. | 2,025,009 | 173,280 | ||
Chevron Corp. | 849,417 | 89,613 | ||
Schlumberger Ltd. | 573,155 | 37,203 | ||
Occidental Petroleum Corp. | 348,525 | 29,893 | ||
ConocoPhillips | 522,212 | 29,181 | ||
Apache Corp. | 165,196 | 14,519 | ||
Anadarko Petroleum Corp. | 214,021 | 14,168 | ||
National Oilwell Varco Inc. | 182,224 | 11,742 | ||
Halliburton Co. | 395,183 | 11,219 | ||
EOG Resources Inc. | 115,654 | 10,422 | ||
Devon Energy Corp. | 165,007 | 9,569 | ||
* | Phillips 66 | 270,752 | 9,000 | |
Spectra Energy Corp. | 279,958 | 8,136 | ||
Marathon Oil Corp. | 302,561 | 7,736 | ||
Baker Hughes Inc. | 188,127 | 7,732 | ||
Williams Cos. Inc. | 254,578 | 7,337 | ||
Marathon Petroleum Corp. | 149,413 | 6,712 | ||
Kinder Morgan Inc. | 206,093 | 6,640 | ||
Noble Energy Inc. | 76,021 | 6,448 | ||
Valero Energy Corp. | 238,638 | 5,763 | ||
Hess Corp. | 131,477 | 5,713 | ||
Chesapeake Energy Corp. | 284,470 | 5,291 | ||
* | Southwestern Energy Co. | 149,816 | 4,784 | |
* | Cameron International Corp. 105,819 | 4,520 | ||
Pioneer Natural | ||||
Resources Co. | 50,201 | 4,428 | ||
Range Resources Corp. | 69,534 | 4,302 | ||
* | Weatherford | |||
International Ltd. | 325,666 | 4,113 |
Market | |||
Value | |||
Shares | ($000) | ||
* | FMC Technologies Inc. | 102,787 | 4,032 |
Murphy Oil Corp. | 79,027 | 3,974 | |
* | Concho Resources Inc. | 42,410 | 3,610 |
Cabot Oil & Gas Corp. | 90,049 | 3,548 | |
Noble Corp. | 108,334 | 3,524 | |
EQT Corp. | 64,436 | 3,456 | |
HollyFrontier Corp. | 85,069 | 3,014 | |
CONSOL Energy Inc. | 97,446 | 2,947 | |
Peabody Energy Corp. | 116,872 | 2,866 | |
* | Kinder Morgan | ||
Management LLC | 38,644 | 2,837 | |
* | Denbury Resources Inc. | 167,453 | 2,530 |
Core Laboratories NV | 20,448 | 2,370 | |
QEP Resources Inc. | 76,161 | 2,283 | |
Oceaneering | |||
International Inc. | 46,471 | 2,224 | |
Sunoco Inc. | 45,875 | 2,179 | |
* | Whiting Petroleum Corp. | 50,447 | 2,074 |
Cimarex Energy Co. | 36,950 | 2,037 | |
Helmerich & Payne Inc. | 46,093 | 2,004 | |
* | Plains Exploration & | ||
Production Co. | 55,151 | 1,940 | |
* | Cobalt International | ||
Energy Inc. | 78,962 | 1,856 | |
* | Nabors Industries Ltd. | 123,880 | 1,784 |
Diamond Offshore | |||
Drilling Inc. | 29,964 | 1,772 | |
* | Rowan Cos. plc Class A | 53,048 | 1,715 |
* | Newfield Exploration Co. | 57,898 | 1,697 |
* | Ultra Petroleum Corp. | 65,559 | 1,512 |
* | Tesoro Corp. | 60,280 | 1,505 |
* | Dresser-Rand Group Inc. | 32,184 | 1,433 |
Energen Corp. | 31,058 | 1,402 | |
* | WPX Energy Inc. | 85,729 | 1,387 |
* | Superior Energy | ||
Services Inc. | 68,003 | 1,376 | |
SM Energy Co. | 27,536 | 1,352 | |
* | Continental Resources Inc. | 19,474 | 1,297 |
* | McDermott | ||
International Inc. | 100,775 | 1,123 | |
* | SandRidge Energy Inc. | 157,391 | 1,053 |
Patterson-UTI Energy Inc. | 66,935 | 975 | |
* | Alpha Natural | ||
Resources Inc. | 94,716 | 825 | |
Arch Coal Inc. | 91,401 | 630 | |
* | Laredo Petroleum | ||
Holdings Inc. | 11,114 | 231 | |
607,838 | |||
Financials (14.5%) | |||
Wells Fargo & Co. | 2,152,325 | 71,974 | |
JPMorgan Chase & Co. | 1,632,578 | 58,332 | |
Bank of America Corp. | 4,610,263 | 37,712 | |
Citigroup Inc. | 1,257,988 | 34,481 | |
* | Berkshire Hathaway Inc. | ||
Class B | 391,644 | 32,636 |
52
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
US Bancorp | 820,822 | 26,398 | |
American Express Co. | 450,916 | 26,248 | |
Simon Property Group Inc. | 127,944 | 19,916 | |
Goldman Sachs Group Inc. | 201,956 | 19,360 | |
PNC Financial Services | |||
Group Inc. | 226,610 | 13,848 | |
American Tower | |||
Corporation | 169,080 | 11,820 | |
Capital One Financial Corp. | 214,008 | 11,698 | |
Bank of New York | |||
Mellon Corp. | 517,501 | 11,359 | |
MetLife Inc. | 364,344 | 11,240 | |
Travelers Cos. Inc. | 168,771 | 10,774 | |
ACE Ltd. | 144,782 | 10,733 | |
Prudential Financial Inc. | 200,908 | 9,730 | |
BlackRock Inc. | 56,868 | 9,657 | |
State Street Corp. | 209,459 | 9,350 | |
Morgan Stanley | 637,329 | 9,299 | |
BB&T Corp. | 299,353 | 9,235 | |
Public Storage | 62,512 | 9,027 | |
Aflac Inc. | 200,782 | 8,551 | |
Chubb Corp. | 116,515 | 8,485 | |
* | American International | ||
Group Inc. | 260,041 | 8,345 | |
Equity Residential | 129,042 | 8,047 | |
Discover Financial Services | 227,588 | 7,870 | |
Ventas Inc. | 124,216 | 7,841 | |
HCP Inc. | 176,027 | 7,772 | |
Marsh & McLennan | |||
Cos. Inc. | 233,613 | 7,529 | |
Allstate Corp. | 214,227 | 7,517 | |
CME Group Inc. | 27,131 | 7,274 | |
Franklin Resources Inc. | 64,941 | 7,208 | |
Annaly Capital | |||
Management Inc. | 417,192 | 7,001 | |
Boston Properties Inc. | 63,761 | 6,910 | |
T. Rowe Price Group Inc. | 108,944 | 6,859 | |
Prologis Inc. | 197,427 | 6,561 | |
Aon plc | 132,833 | 6,214 | |
Vornado Realty Trust | 71,578 | 6,011 | |
Charles Schwab Corp. | 464,621 | 6,008 | |
AvalonBay | |||
Communities Inc. | 40,864 | 5,781 | |
SunTrust Banks Inc. | 230,605 | 5,588 | |
Loews Corp. | 136,256 | 5,574 | |
Fifth Third Bancorp | 395,465 | 5,299 | |
Health Care REIT Inc. | 90,380 | 5,269 | |
Progressive Corp. | 249,460 | 5,196 | |
Weyerhaeuser Co. | 230,524 | 5,155 | |
Ameriprise Financial Inc. | 95,318 | 4,981 | |
Host Hotels & Resorts Inc. | 304,179 | 4,812 | |
Invesco Ltd. | 191,587 | 4,330 | |
American Capital | |||
Agency Corp. | 128,799 | 4,329 |
Market | |||
Value | |||
Shares | ($000) | ||
Northern Trust Corp. | 93,296 | 4,294 | |
* | IntercontinentalExchange | ||
Inc. | 31,123 | 4,232 | |
Regions Financial Corp. | 606,648 | 4,095 | |
M&T Bank Corp. | 48,840 | 4,033 | |
Digital Realty Trust Inc. | 51,725 | 3,883 | |
SLM Corp. | 216,526 | 3,402 | |
Principal Financial | |||
Group Inc. | 129,598 | 3,399 | |
Macerich Co. | 56,719 | 3,349 | |
Kimco Realty Corp. | 174,956 | 3,329 | |
General Growth | |||
Properties Inc. | 181,173 | 3,277 | |
Hartford Financial | |||
Services Group Inc. | 179,761 | 3,169 | |
KeyCorp | 409,281 | 3,168 | |
Moody’s Corp. | 86,072 | 3,146 | |
SL Green Realty Corp. | 37,106 | 2,977 | |
* | CIT Group Inc. | 82,012 | 2,923 |
UDR Inc. | 112,916 | 2,918 | |
XL Group plc Class A | 135,655 | 2,854 | |
Federal Realty | |||
Investment Trust | 27,375 | 2,849 | |
NYSE Euronext | 111,028 | 2,840 | |
Plum Creek Timber Co. Inc. | 69,324 | 2,752 | |
Lincoln National Corp. | 125,323 | 2,741 | |
Willis Group Holdings plc | 74,725 | 2,727 | |
Comerica Inc. | 84,964 | 2,609 | |
Cincinnati Financial Corp. | 66,197 | 2,520 | |
* | Affiliated Managers | ||
Group Inc. | 22,227 | 2,433 | |
Realty Income Corp. | 57,317 | 2,394 | |
Everest Re Group Ltd. | 23,111 | 2,392 | |
Unum Group | 124,850 | 2,388 | |
Huntington Bancshares Inc. | 371,320 | 2,376 | |
Rayonier Inc. | 52,536 | 2,359 | |
New York Community | |||
Bancorp Inc. | 188,031 | 2,356 | |
Essex Property Trust Inc. | 14,976 | 2,305 | |
* | Arch Capital Group Ltd. | 57,761 | 2,293 |
Camden Property Trust | 33,782 | 2,286 | |
* | CBRE Group Inc. Class A | 134,182 | 2,195 |
Torchmark Corp. | 42,989 | 2,173 | |
PartnerRe Ltd. | 28,014 | 2,120 | |
WR Berkley Corp. | 50,301 | 1,958 | |
Alexandria Real Estate | |||
Equities Inc. | 26,708 | 1,942 | |
Taubman Centers Inc. | 24,986 | 1,928 | |
Leucadia National Corp. | 89,336 | 1,900 | |
* | Alleghany Corp. | 5,441 | 1,849 |
Liberty Property Trust | 49,974 | 1,841 | |
Regency Centers Corp. | 38,636 | 1,838 | |
People’s United | |||
Financial Inc. | 154,127 | 1,789 |
53
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Arthur J Gallagher & Co. | 50,514 | 1,772 | |
* | MSCI Inc. Class A | 52,056 | 1,771 |
* | Markel Corp. | 3,935 | 1,738 |
Raymond James | |||
Financial Inc. | 49,777 | 1,704 | |
RenaissanceRe | |||
Holdings Ltd. | 22,103 | 1,680 | |
Reinsurance Group of | |||
America Inc. Class A | 31,533 | 1,678 | |
Fidelity National | |||
Financial Inc. Class A | 85,840 | 1,653 | |
Axis Capital Holdings Ltd. | 50,657 | 1,649 | |
Duke Realty Corp. | 111,706 | 1,635 | |
TD Ameritrade | |||
Holding Corp. | 94,477 | 1,606 | |
Senior Housing | |||
Properties Trust | 69,998 | 1,562 | |
Zions Bancorporation | 79,311 | 1,540 | |
Ares Capital Corp. | 95,575 | 1,525 | |
Brown & Brown Inc. | 52,461 | 1,431 | |
Legg Mason Inc. | 54,083 | 1,426 | |
HCC Insurance | |||
Holdings Inc. | 44,665 | 1,402 | |
DDR Corp. | 95,000 | 1,391 | |
Cullen/Frost Bankers Inc. | 23,615 | 1,358 | |
Eaton Vance Corp. | 49,437 | 1,332 | |
* | First Republic Bank | 39,331 | 1,322 |
Jones Lang LaSalle Inc. | 18,755 | 1,320 | |
Hospitality Properties Trust | 53,173 | 1,317 | |
Assurant Inc. | 37,658 | 1,312 | |
Hudson City Bancorp Inc. | 204,785 | 1,304 | |
Weingarten | |||
Realty Investors | 49,354 | 1,300 | |
Piedmont Office Realty | |||
Trust Inc. Class A | 74,044 | 1,274 | |
NASDAQ OMX Group Inc. | 56,039 | 1,270 | |
White Mountains | |||
Insurance Group Ltd. | 2,419 | 1,262 | |
American Financial | |||
Group Inc. | 31,704 | 1,244 | |
Commerce Bancshares Inc. | 32,469 | 1,231 | |
SEI Investments Co. | 60,677 | 1,207 | |
* | Genworth Financial Inc. | ||
Class A | 211,641 | 1,198 | |
CBOE Holdings Inc. | 38,140 | 1,056 | |
Chimera Investment Corp. | 440,365 | 1,039 | |
Assured Guaranty Ltd. | 70,631 | 996 | |
Erie Indemnity Co. Class A | 12,318 | 882 | |
Old Republic | |||
International Corp. | 104,358 | 865 | |
Validus Holdings Ltd. | 25,987 | 832 | |
LPL Financial Holdings Inc. | 23,709 | 801 | |
Jefferies Group Inc. | 57,784 | 751 | |
BOK Financial Corp. | 12,035 | 700 | |
830,081 |
Market | |||
Value | |||
Shares | ($000) | ||
Health Care (11.7%) | |||
Johnson & Johnson | 1,179,395 | 79,680 | |
Pfizer Inc. | 3,238,885 | 74,494 | |
Merck & Co. Inc. | 1,307,602 | 54,592 | |
Abbott Laboratories | 675,592 | 43,555 | |
UnitedHealth Group Inc. | 448,877 | 26,259 | |
Bristol-Myers Squibb Co. | 725,079 | 26,067 | |
Amgen Inc. | 339,939 | 24,829 | |
Eli Lilly & Co. | 448,554 | 19,247 | |
* | Express Scripts Holding Co. | 343,222 | 19,162 |
Medtronic Inc. | 453,256 | 17,555 | |
* | Gilead Sciences Inc. | 325,311 | 16,682 |
* | Biogen Idec Inc. | 97,409 | 14,064 |
Baxter International Inc. | 240,675 | 12,792 | |
Allergan Inc. | 130,714 | 12,100 | |
* | Celgene Corp. | 188,394 | 12,087 |
Covidien plc | 207,562 | 11,105 | |
McKesson Corp. | 105,812 | 9,920 | |
* | Intuitive Surgical Inc. | 16,875 | 9,345 |
WellPoint Inc. | 143,875 | 9,178 | |
Thermo Fisher | |||
Scientific Inc. | 157,245 | 8,163 | |
* | Alexion | ||
Pharmaceuticals Inc. | 79,966 | 7,941 | |
Stryker Corp. | 131,064 | 7,222 | |
Becton Dickinson and Co. | 90,279 | 6,748 | |
Cardinal Health Inc. | 148,614 | 6,242 | |
Agilent Technologies Inc. | 149,264 | 5,857 | |
Aetna Inc. | 150,597 | 5,839 | |
St. Jude Medical Inc. | 136,971 | 5,467 | |
Humana Inc. | 70,445 | 5,455 | |
Cigna Corp. | 123,124 | 5,417 | |
* | Cerner Corp. | 61,982 | 5,123 |
* | Edwards Lifesciences Corp. | 49,398 | 5,103 |
* | Vertex Pharmaceuticals Inc. | 90,387 | 5,054 |
Zimmer Holdings Inc. | 76,504 | 4,924 | |
Perrigo Co. | 38,094 | 4,492 | |
AmerisourceBergen Corp. | |||
Class A | 110,727 | 4,357 | |
Quest Diagnostics Inc. | 68,125 | 4,081 | |
* | Watson | ||
Pharmaceuticals Inc. | 54,523 | 4,034 | |
* | Forest Laboratories Inc. | 114,137 | 3,994 |
* | DaVita Inc. | 40,203 | 3,948 |
* | Mylan Inc. | 183,355 | 3,918 |
* | Laboratory Corp. of | ||
America Holdings | 41,754 | 3,867 | |
CR Bard Inc. | 34,346 | 3,690 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 31,470 | 3,594 | |
* | Boston Scientific Corp. | 624,537 | 3,541 |
* | Life Technologies Corp. | 76,575 | 3,445 |
* | Waters Corp. | 38,278 | 3,042 |
* | Henry Schein Inc. | 38,586 | 3,029 |
54
Large-Cap Index Fund | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
* | Varian Medical | |||
Systems Inc. | 48,510 | 2,948 | ||
* | CareFusion Corp. | 96,593 | 2,480 | |
* | Hospira Inc. | 70,840 | 2,478 | |
DENTSPLY International Inc. | 60,922 | 2,303 | ||
HCA Holdings Inc. | 75,173 | 2,288 | ||
* | IDEXX Laboratories Inc. | 23,579 | 2,267 | |
* | Illumina Inc. | 52,488 | 2,120 | |
* | Mettler-Toledo | |||
International Inc. | 13,501 | 2,104 | ||
* | Hologic Inc. | 113,229 | 2,043 | |
* | ResMed Inc. | 61,976 | 1,934 | |
Coventry Health Care Inc. | 60,659 | 1,928 | ||
* | Amylin Pharmaceuticals Inc. | 65,751 | 1,856 | |
Universal Health Services Inc. | ||||
Class B | 38,389 | 1,657 | ||
* | Gen-Probe Inc. | 19,472 | 1,601 | |
* | Endo Health Solutions Inc. | 50,285 | 1,558 | |
Omnicare Inc. | 48,740 | 1,522 | ||
* | Warner Chilcott plc Class A | 75,162 | 1,347 | |
Patterson Cos. Inc. | 38,094 | 1,313 | ||
* | Covance Inc. | 25,154 | 1,204 | |
* | Human Genome | |||
Sciences Inc. | 85,439 | 1,122 | ||
* | Bio-Rad Laboratories Inc. | |||
Class A | 8,497 | 850 | ||
* | Allscripts Healthcare | |||
Solutions Inc. | 77,698 | 849 | ||
670,072 | ||||
Industrials (10.4%) | ||||
General Electric Co. | 4,546,190 | 94,743 | ||
United Technologies Corp. | 371,398 | 28,052 | ||
3M Co. | 283,417 | 25,394 | ||
Union Pacific Corp. | 206,208 | 24,603 | ||
United Parcel Service Inc. | ||||
Class B | 310,580 | 24,461 | ||
Caterpillar Inc. | 278,271 | 23,628 | ||
Boeing Co. | 304,312 | 22,610 | ||
Honeywell | ||||
International Inc. | 316,322 | 17,663 | ||
Emerson Electric Co. | 315,389 | 14,691 | ||
Deere & Co. | 164,731 | 13,322 | ||
Danaher Corp. | 251,593 | 13,103 | ||
FedEx Corp. | 128,383 | 11,761 | ||
Tyco International Ltd. | 198,000 | 10,464 | ||
Lockheed Martin Corp. | 118,794 | 10,345 | ||
Precision Castparts Corp. | 62,338 | 10,254 | ||
Norfolk Southern Corp. | 141,738 | 10,173 | ||
CSX Corp. | 451,950 | 10,106 | ||
Illinois Tool Works Inc. | 186,972 | 9,889 | ||
General Dynamics Corp. | 130,366 | 8,599 | ||
Raytheon Co. | 146,058 | 8,265 | ||
Cummins Inc. | 78,369 | 7,595 | ||
Goodrich Corp. | 54,046 | 6,858 |
Market | |||
Value | |||
Shares | ($000) | ||
Northrop Grumman Corp. | 103,194 | 6,583 | |
Waste Management Inc. | 188,401 | 6,293 | |
PACCAR Inc. | 145,729 | 5,711 | |
Eaton Corp. | 136,528 | 5,411 | |
Ingersoll-Rand plc | 127,819 | 5,391 | |
Parker Hannifin Corp. | 64,835 | 4,984 | |
WW Grainger Inc. | 25,622 | 4,900 | |
Fastenal Co. | 120,616 | 4,862 | |
Cooper Industries plc | 68,150 | 4,646 | |
Stanley Black & Decker Inc. | 69,245 | 4,457 | |
Dover Corp. | 78,878 | 4,229 | |
CH Robinson Worldwide Inc. | 70,168 | 4,107 | |
Roper Industries Inc. | 41,569 | 4,098 | |
Rockwell Automation Inc. | 61,152 | 4,040 | |
* | Delta Air Lines Inc. | 363,547 | 3,981 |
Fluor Corp. | 72,578 | 3,581 | |
Republic Services Inc. | |||
Class A | 135,008 | 3,572 | |
Expeditors International of | |||
Washington Inc. | 91,143 | 3,532 | |
* | United Continental | ||
Holdings Inc. | 142,536 | 3,468 | |
AMETEK Inc. | 68,910 | 3,439 | |
* | Stericycle Inc. | 36,334 | 3,331 |
Kansas City Southern | 47,255 | 3,287 | |
L-3 Communications | |||
Holdings Inc. | 42,464 | 3,143 | |
Southwest Airlines Co. | 332,287 | 3,064 | |
Rockwell Collins Inc. | 60,681 | 2,995 | |
Textron Inc. | 120,076 | 2,986 | |
* | Verisk Analytics Inc. | ||
Class A | 60,156 | 2,963 | |
* | TransDigm Group Inc. | 20,613 | 2,768 |
Pall Corp. | 49,548 | 2,716 | |
Flowserve Corp. | 23,436 | 2,689 | |
Joy Global Inc. | 45,917 | 2,605 | |
* | IHS Inc. Class A | 23,947 | 2,580 |
Equifax Inc. | 51,484 | 2,399 | |
JB Hunt Transport | |||
Services Inc. | 40,205 | 2,396 | |
Masco Corp. | 154,687 | 2,145 | |
* | Quanta Services Inc. | 89,048 | 2,143 |
* | Jacobs Engineering | ||
Group Inc. | 55,100 | 2,086 | |
Donaldson Co. Inc. | 60,598 | 2,022 | |
Xylem Inc. | 79,522 | 2,002 | |
* | BE Aerospace Inc. | 44,796 | 1,956 |
Cintas Corp. | 50,226 | 1,939 | |
* | AGCO Corp. | 41,885 | 1,915 |
Iron Mountain Inc. | 55,211 | 1,820 | |
Hubbell Inc. Class B | 22,313 | 1,739 | |
Robert Half International Inc. | 57,938 | 1,655 | |
Timken Co. | 35,740 | 1,636 | |
Pentair Inc. | 42,468 | 1,626 | |
KBR Inc. | 63,519 | 1,570 |
55
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Snap-on Inc. | 25,074 | 1,561 | |
Towers Watson & Co. | |||
Class A | 25,258 | 1,513 | |
Waste Connections Inc. | 50,161 | 1,501 | |
* | Hertz Global Holdings Inc. | 116,449 | 1,491 |
* | WABCO Holdings Inc. | 27,789 | 1,471 |
Dun & Bradstreet Corp. | 20,420 | 1,453 | |
SPX Corp. | 21,930 | 1,432 | |
* | Nielsen Holdings NV | 54,370 | 1,426 |
* | Owens Corning | 49,397 | 1,410 |
IDEX Corp. | 36,066 | 1,406 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 20,093 | 1,317 | |
Pitney Bowes Inc. | 86,022 | 1,288 | |
Manpower Inc. | 34,390 | 1,260 | |
Avery Dennison Corp. | 45,881 | 1,254 | |
* | Spirit Aerosystems Holdings | ||
Inc. Class A | 50,871 | 1,212 | |
URS Corp. | 34,288 | 1,196 | |
Gardner Denver Inc. | 21,780 | 1,152 | |
* | Copart Inc. | 47,612 | 1,128 |
* | Babcock & Wilcox Co. | 45,782 | 1,122 |
* | Sensata Technologies | ||
Holding NV | 37,854 | 1,014 | |
^ | RR Donnelley & Sons Co. | 76,788 | 904 |
* | Foster Wheeler AG | 46,299 | 802 |
* | Navistar International Corp. | 26,739 | 759 |
* | AECOM Technology Corp. | 45,499 | 748 |
593,860 | |||
Information Technology (19.5%) | |||
* | Apple Inc. | 400,587 | 233,943 |
Microsoft Corp. | 3,244,539 | 99,250 | |
International Business | |||
Machines Corp. | 472,993 | 92,508 | |
* | Google Inc. Class A | 110,836 | 64,293 |
Intel Corp. | 2,146,571 | 57,206 | |
Oracle Corp. | 1,727,134 | 51,296 | |
QUALCOMM Inc. | 726,570 | 40,455 | |
Cisco Systems Inc. | 2,313,612 | 39,725 | |
Visa Inc. Class A | 225,778 | 27,913 | |
* | EMC Corp. | 881,889 | 22,603 |
* | eBay Inc. | 497,440 | 20,897 |
Mastercard Inc. Class A | 46,903 | 20,173 | |
Hewlett-Packard Co. | 848,916 | 17,072 | |
Accenture plc Class A | 277,983 | 16,704 | |
Texas Instruments Inc. | 491,830 | 14,111 | |
Automatic Data | |||
Processing Inc. | 210,637 | 11,724 | |
Corning Inc. | 653,514 | 8,450 | |
* | Dell Inc. | 655,665 | 8,209 |
* | Yahoo! Inc. | 495,117 | 7,838 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 130,410 | 7,825 | |
* | Salesforce.com Inc. | 55,521 | 7,676 |
Broadcom Corp. Class A | 211,490 | 7,148 |
Market | |||
Value | |||
Shares | ($000) | ||
Intuit Inc. | 120,403 | 7,146 | |
* | Adobe Systems Inc. | 212,261 | 6,871 |
* | Citrix Systems Inc. | 79,796 | 6,698 |
Applied Materials Inc. | 555,104 | 6,361 | |
* | Facebook Inc. Class A | 191,376 | 5,956 |
TE Connectivity Ltd. | 183,199 | 5,846 | |
Motorola Solutions Inc. | 116,214 | 5,591 | |
* | Teradata Corp. | 71,954 | 5,181 |
* | NetApp Inc. | 154,110 | 4,904 |
Analog Devices Inc. | 127,833 | 4,815 | |
* | Red Hat Inc. | 82,969 | 4,686 |
Altera Corp. | 138,462 | 4,686 | |
* | Symantec Corp. | 313,307 | 4,577 |
Xerox Corp. | 572,654 | 4,507 | |
Western Union Co. | 266,688 | 4,491 | |
Paychex Inc. | 140,216 | 4,404 | |
* | Fiserv Inc. | 59,633 | 4,307 |
Seagate Technology plc | 173,651 | 4,294 | |
CA Inc. | 146,121 | 3,958 | |
Amphenol Corp. Class A | 70,277 | 3,860 | |
* | SanDisk Corp. | 104,063 | 3,796 |
Xilinx Inc. | 112,411 | 3,774 | |
* | Juniper Networks Inc. | 226,036 | 3,687 |
* | NVIDIA Corp. | 262,500 | 3,628 |
Avago Technologies Ltd. | 99,510 | 3,572 | |
KLA-Tencor Corp. | 71,609 | 3,527 | |
* | Equinix Inc. | 20,032 | 3,519 |
Fidelity National | |||
Information Services Inc. | 99,672 | 3,397 | |
* | Autodesk Inc. | 96,934 | 3,392 |
* | F5 Networks Inc. | 34,049 | 3,390 |
* | Lam Research Corp. | 86,508 | 3,265 |
Maxim Integrated | |||
Products Inc. | 125,374 | 3,215 | |
* | VMware Inc. Class A | 34,988 | 3,185 |
Linear Technology Corp. | 98,334 | 3,081 | |
* | Western Digital Corp. | 100,887 | 3,075 |
* | BMC Software Inc. | 70,649 | 3,015 |
* | VeriSign Inc. | 68,448 | 2,982 |
* | Alliance Data Systems Corp. | 21,462 | 2,897 |
Microchip Technology Inc. | 82,444 | 2,727 | |
* | Micron Technology Inc. | 425,163 | 2,683 |
* | ANSYS Inc. | 39,934 | 2,520 |
* | Nuance | ||
Communications Inc. | 105,776 | 2,520 | |
* | Trimble Navigation Ltd. | 53,466 | 2,460 |
* | Akamai Technologies Inc. | 76,433 | 2,427 |
Marvell Technology | |||
Group Ltd. | 213,368 | 2,407 | |
Activision Blizzard Inc. | 193,296 | 2,318 | |
* | Skyworks Solutions Inc. | 80,836 | 2,212 |
* | TIBCO Software Inc. | 71,521 | 2,140 |
Harris Corp. | 48,888 | 2,046 | |
* | Rackspace Hosting Inc. | 46,165 | 2,028 |
* | Informatica Corp. | 46,027 | 1,950 |
56
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | LinkedIn Corp. Class A | 18,318 | 1,947 |
* | Avnet Inc. | 62,352 | 1,924 |
* | Flextronics | ||
International Ltd. | 295,873 | 1,834 | |
* | Synopsys Inc. | 61,849 | 1,820 |
* | Electronic Arts Inc. | 142,450 | 1,759 |
* | MICROS Systems Inc. | 34,296 | 1,756 |
* | Gartner Inc. | 40,187 | 1,730 |
FactSet Research | |||
Systems Inc. | 18,493 | 1,719 | |
Computer Sciences Corp. | 66,659 | 1,654 | |
Total System Services Inc. | 69,080 | 1,653 | |
Jabil Circuit Inc. | 80,793 | 1,643 | |
* | Arrow Electronics Inc. | 48,098 | 1,578 |
* | LSI Corp. | 244,505 | 1,557 |
* | VeriFone Systems Inc. | 46,060 | 1,524 |
IAC/InterActiveCorp | 32,384 | 1,477 | |
* | Advanced Micro | ||
Devices Inc. | 254,705 | 1,459 | |
Global Payments Inc. | 33,677 | 1,456 | |
SAIC Inc. | 117,635 | 1,426 | |
* | ON Semiconductor Corp. | 193,554 | 1,374 |
* | Atmel Corp. | 193,790 | 1,298 |
FLIR Systems Inc. | 66,184 | 1,291 | |
Solera Holdings Inc. | 30,102 | 1,258 | |
* | Fortinet Inc. | 53,838 | 1,250 |
* | Cree Inc. | 47,355 | 1,216 |
* | Ingram Micro Inc. | 64,510 | 1,127 |
* | Riverbed Technology Inc. | 64,555 | 1,043 |
* | Rovi Corp. | 47,292 | 928 |
* | Dolby Laboratories Inc. | ||
Class A | 22,110 | 913 | |
Lexmark International Inc. | |||
Class A | 30,456 | 809 | |
* | Polycom Inc. | 76,217 | 802 |
Molex Inc. | 28,924 | 692 | |
Molex Inc. Class A | 30,993 | 627 | |
* | Acme Packet Inc. | 24,645 | 460 |
* | Zynga Inc. Class A | 63,024 | 343 |
* | Freescale | ||
Semiconductor Ltd. | 20,879 | 214 | |
1,116,554 | |||
Materials (3.7%) | |||
EI du Pont de Nemours | |||
& Co. | 400,445 | 20,251 | |
Monsanto Co. | 230,067 | 19,045 | |
Dow Chemical Co. | 509,158 | 16,038 | |
Praxair Inc. | 128,177 | 13,937 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 407,302 | 13,877 | |
Newmont Mining Corp. | 212,582 | 10,312 | |
Ecolab Inc. | 125,210 | 8,581 | |
Air Products & | |||
Chemicals Inc. | 90,484 | 7,305 |
Market | |||
Value | |||
Shares | ($000) | ||
Mosaic Co. | 127,559 | 6,985 | |
PPG Industries Inc. | 65,312 | 6,931 | |
CF Industries Holdings Inc. | 28,165 | 5,457 | |
LyondellBasell Industries | |||
NV Class A | 135,497 | 5,456 | |
Nucor Corp. | 136,189 | 5,162 | |
International Paper Co. | 178,278 | 5,154 | |
Sherwin-Williams Co. | 38,007 | 5,030 | |
Alcoa Inc. | 458,365 | 4,011 | |
Sigma-Aldrich Corp. | 51,911 | 3,838 | |
FMC Corp. | 59,966 | 3,207 | |
Cliffs Natural | |||
Resources Inc. | 61,025 | 3,008 | |
Eastman Chemical Co. | 58,740 | 2,959 | |
Ball Corp. | 63,761 | 2,617 | |
Airgas Inc. | 27,836 | 2,338 | |
Ashland Inc. | 33,619 | 2,330 | |
Celanese Corp. Class A | 67,193 | 2,326 | |
Albemarle Corp. | 38,299 | 2,284 | |
Vulcan Materials Co. | 55,617 | 2,209 | |
* | Crown Holdings Inc. | 63,916 | 2,204 |
MeadWestvaco Corp. | 73,487 | 2,113 | |
Valspar Corp. | 37,943 | 1,992 | |
International Flavors & | |||
Fragrances Inc. | 34,856 | 1,910 | |
Rock-Tenn Co. Class A | 30,336 | 1,655 | |
Reliance Steel & | |||
Aluminum Co. | 32,234 | 1,628 | |
Martin Marietta Materials Inc. | 19,670 | 1,550 | |
* | WR Grace & Co. | 30,232 | 1,525 |
Aptargroup Inc. | 28,467 | 1,453 | |
Bemis Co. Inc. | 44,371 | 1,391 | |
Allegheny Technologies Inc. | 43,555 | 1,389 | |
United States Steel Corp. | 65,063 | 1,340 | |
Sonoco Products Co. | 43,022 | 1,297 | |
* | Owens-Illinois Inc. | 67,168 | 1,288 |
Sealed Air Corp. | 78,664 | 1,215 | |
Domtar Corp. | 15,715 | 1,205 | |
Walter Energy Inc. | 26,938 | 1,190 | |
Huntsman Corp. | 87,222 | 1,129 | |
Steel Dynamics Inc. | 89,093 | 1,047 | |
Scotts Miracle-Gro Co. | |||
Class A | 18,226 | 749 | |
* | Molycorp Inc. | 28,601 | 616 |
Greif Inc. Class A | 10,837 | 444 | |
Titanium Metals Corp. | 37,881 | 428 | |
211,406 | |||
Telecommunication Services (3.1%) | |||
AT&T Inc. | 2,547,297 | 90,837 | |
Verizon | |||
Communications Inc. | 1,218,312 | 54,142 | |
CenturyLink Inc. | 266,051 | 10,506 | |
* | Crown Castle | ||
International Corp. | 122,244 | 7,171 |
57
Large-Cap Index Fund | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
* | Sprint Nextel Corp. | 1,288,830 | 4,202 | |
* | SBA Communications | |||
Corp. Class A | 49,773 | 2,839 | ||
Windstream Corp. | 251,847 | 2,433 | ||
Frontier | ||||
Communications Corp. | 427,826 | 1,638 | ||
* | Level 3 | |||
Communications Inc. | 62,690 | 1,389 | ||
Telephone & Data | ||||
Systems Inc. | 41,466 | 883 | ||
* | MetroPCS | |||
Communications Inc. | 132,641 | 802 | ||
* | NII Holdings Inc. | 73,373 | 751 | |
* | United States Cellular Corp. | 5,529 | 213 | |
177,806 | ||||
Utilities (3.7%) | ||||
Southern Co. | 370,216 | 17,141 | ||
Exelon Corp. | 365,649 | 13,756 | ||
Duke Energy Corp. | 573,754 | 13,231 | ||
Dominion Resources Inc. | 244,837 | 13,221 | ||
NextEra Energy Inc. | 169,780 | 11,683 | ||
FirstEnergy Corp. | 179,775 | 8,843 | ||
American Electric | ||||
Power Co. Inc. | 207,560 | 8,282 | ||
PG&E Corp. | 177,525 | 8,037 | ||
Consolidated Edison Inc. | 125,727 | 7,819 | ||
Progress Energy Inc. | 126,928 | 7,637 | ||
Public Service Enterprise | ||||
Group Inc. | 217,508 | 7,069 | ||
PPL Corp. | 249,004 | 6,925 | ||
Sempra Energy | 97,877 | 6,742 | ||
Edison International | 133,058 | 6,147 | ||
Xcel Energy Inc. | 209,241 | 5,944 | ||
Northeast Utilities | 134,411 | 5,216 | ||
Entergy Corp. | 75,893 | 5,152 | ||
DTE Energy Co. | 72,837 | 4,321 | ||
Wisconsin Energy Corp. | 99,013 | 3,918 | ||
CenterPoint Energy Inc. | 174,015 | 3,597 | ||
* | AES Corp. | 279,416 | 3,585 | |
ONEOK Inc. | 84,690 | 3,583 | ||
Ameren Corp. | 104,170 | 3,494 | ||
NiSource Inc. | 121,097 | 2,997 | ||
CMS Energy Corp. | 110,427 | 2,595 | ||
American Water Works | ||||
Co. Inc. | 75,454 | 2,587 | ||
SCANA Corp. | 53,131 | 2,542 | ||
Pinnacle West Capital Corp. | 46,988 | 2,431 | ||
* | Calpine Corp. | 134,437 | 2,220 | |
OGE Energy Corp. | 42,168 | 2,184 | ||
Alliant Energy Corp. | 47,718 | 2,174 | ||
AGL Resources Inc. | 50,247 | 1,947 | ||
Integrys Energy Group Inc. | 33,654 | 1,914 | ||
Pepco Holdings Inc. | 97,698 | 1,912 |
Market | ||||
Value | ||||
Shares | ($000) | |||
NV Energy Inc. | 101,555 | 1,785 | ||
* | NRG Energy Inc. | 97,833 | 1,698 | |
MDU Resources Group Inc. | 77,101 | 1,666 | ||
TECO Energy Inc. | 88,308 | 1,595 | ||
ITC Holdings Corp. | 22,106 | 1,523 | ||
Aqua America Inc. | 59,526 | 1,486 | ||
National Fuel Gas Co. | 30,283 | 1,423 | ||
UGI Corp. | 48,171 | 1,418 | ||
213,440 | ||||
Total Common Stocks | ||||
(Cost $4,912,822) | 5,710,470 | |||
Temporary Cash Investments (0.3%)1 | ||||
Money Market Fund (0.2%) | ||||
2,3 | Vanguard Market | |||
Liquidity Fund, 0.148% | 13,267,783 | 13,268 | ||
Face | ||||
Amount | ||||
($000) | ||||
U.S. Government and Agency Obligations (0.1%) | ||||
4 | United States Treasury | |||
Note/Bond, 1.375%, 9/15/12 | 600 | 601 | ||
4 | United States Treasury | |||
Note/Bond, 4.250%, 9/30/12 | 1,500 | 1,515 | ||
2,116 | ||||
Total Temporary Cash Investments | ||||
(Cost $15,385) | 15,384 | |||
Total Investments (100.0%) | ||||
(Cost $4,928,207) | 5,725,854 | |||
Other Assets and Liabilities (0.0%) | ||||
Other Assets | 15,768 | |||
Liabilities3 | (14,857) | |||
911 | ||||
Net Assets (100%) | 5,726,765 |
58
Large-Cap Index Fund
At June 30, 2012, net assets consisted of:
Amount | |
($000) | |
Paid-in Capital | 5,137,143 |
Overdistributed Net Investment Income | (1,894) |
Accumulated Net Realized Losses | (206,553) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 797,647 |
Futures Contracts | 422 |
Net Assets | 5,726,765 |
Investor Shares—Net Assets | |
Applicable to 11,831,542 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 296,806 |
Net Asset Value Per Share— | |
Investor Shares | $25.09 |
Admiral Shares—Net Assets | |
Applicable to 28,296,334 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 887,480 |
Net Asset Value Per Share— | |
Admiral Shares | $31.36 |
Signal Shares—Net Assets | |
Applicable to 21,318,287 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 583,168 |
Net Asset Value Per Share— | |
Signal Shares | $27.36 |
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 4,745,441 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 612,550 |
Net Asset Value Per Share— | |
Institutional Shares | $129.08 |
ETF Shares—Net Assets | |
Applicable to 53,891,023 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,346,761 |
Net Asset Value Per Share— | |
ETF Shares | $62.10 |
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 $299,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.
2 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 $330,000 of collateral received for securities on loan.
4 Securities with a value of $804,000 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.
59
Large-Cap Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 57,883 |
Interest1 | 8 |
Security Lending | 372 |
Total Income | 58,263 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 221 |
Management and Administrative—Investor Shares | 284 |
Management and Administrative—Admiral Shares | 298 |
Management and Administrative—Signal Shares | 162 |
Management and Administrative—Institutional Shares | 116 |
Management and Administrative—ETF Shares | 1,081 |
Marketing and Distribution—Investor Shares | 49 |
Marketing and Distribution—Admiral Shares | 79 |
Marketing and Distribution—Signal Shares | 87 |
Marketing and Distribution—Institutional Shares | 86 |
Marketing and Distribution—ETF Shares | 340 |
Custodian Fees | 71 |
Shareholders’ Reports—Investor Shares | 10 |
Shareholders’ Reports—Admiral Shares | 8 |
Shareholders’ Reports—Signal Shares | 1 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 30 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 2,925 |
Net Investment Income | 55,338 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 59,217 |
Futures Contracts | 375 |
Realized Net Gain (Loss) | 59,592 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 360,846 |
Futures Contracts | 355 |
Change in Unrealized Appreciation (Depreciation) | 361,201 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 476,131 |
1 Interest income from an affiliated company of the fund was $6,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
60
Large-Cap Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 55,338 | 97,137 |
Realized Net Gain (Loss) | 59,592 | 22,234 |
Change in Unrealized Appreciation (Depreciation) | 361,201 | (48,084) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 476,131 | 71,287 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (2,608) | (5,422) |
Admiral Shares | (8,305) | (15,044) |
Signal Shares | (5,406) | (9,503) |
Institutional Shares | (5,721) | (8,416) |
ETF Shares | (31,399) | (58,151) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (53,439) | (96,536) |
Capital Share Transactions | ||
Investor Shares | (19,527) | (12,404) |
Admiral Shares | 25,813 | 102,724 |
Signal Shares | 19,884 | 140,784 |
Institutional Shares | 67,780 | 232,084 |
ETF Shares | 75,815 | 176,474 |
Net Increase (Decrease) from Capital Share Transactions | 169,765 | 639,662 |
Total Increase (Decrease) | 592,457 | 614,413 |
Net Assets | ||
Beginning of Period | 5,134,308 | 4,519,895 |
End of Period1 | 5,726,765 | 5,134,308 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,894,000) and ($3,793,000).
See accompanying Notes, which are an integral part of the Financial Statements.
61
Large-Cap Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $23.16 | $23.25 | $20.47 | $16.41 | $26.59 | $25.42 |
Investment Operations | ||||||
Net Investment Income | .229 | .421 | .372 | .387 | .416 | .426 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.921 | (.095) | 2.791 | 4.075 | (10.191) | 1.171 |
Total from Investment Operations | 2.150 | .326 | 3.163 | 4.462 | (9.775) | 1.597 |
Distributions | ||||||
Dividends from Net Investment Income | (.220) | (.416) | (.383) | (.402) | (.405) | (.427) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.220) | (.416) | (.383) | (.402) | (.405) | (.427) |
Net Asset Value, End of Period | $25.09 | $23.16 | $23.25 | $20.47 | $16.41 | $26.59 |
Total Return1 | 9.28% | 1.44% | 15.63% | 27.60% | -37.08% | 6.29% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $297 | $293 | $307 | $448 | $376 | $346 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.26% | 0.26% | 0.21% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.86% | 1.81% | 1.78% | 2.24% | 2.12% | 1.69% |
Portfolio Turnover Rate2 | 6% | 7% | 8% | 8% | 9% | 8% |
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.
62
Large-Cap Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $28.96 | $29.07 | $25.59 | $20.51 | $33.25 | $31.78 |
Investment Operations | ||||||
Net Investment Income | .309 | .569 | .503 | .516 | .547 | .570 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.388 | (.116) | 3.495 | 5.097 | (12.750) | 1.470 |
Total from Investment Operations | 2.697 | .453 | 3.998 | 5.613 | (12.203) | 2.040 |
Distributions | ||||||
Dividends from Net Investment Income | (.297) | (.563) | (.518) | (.533) | (.537) | (.570) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.297) | (.563) | (.518) | (.533) | (.537) | (.570) |
Net Asset Value, End of Period | $31.36 | $28.96 | $29.07 | $25.59 | $20.51 | $33.25 |
Total Return1 | 9.31% | 1.60% | 15.81% | 27.80% | -37.05% | 6.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $887 | $796 | $698 | $328 | $254 | $220 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.12% | 0.10% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.00% | 1.95% | 1.92% | 2.38% | 2.23% | 1.81% |
Portfolio Turnover Rate2 | 6% | 7% | 8% | 8% | 9% | 8% |
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 | ||||||
Signal Shares | ||||||
Six Months | Aug. 30, | |||||
Ended | 20071 to | |||||
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | |||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $25.26 | $25.36 | $22.32 | $17.89 | $29.00 | $28.74 |
Investment Operations | ||||||
Net Investment Income | .269 | .495 | .440 | .451 | .481 | .173 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.090 | (.105) | 3.052 | 4.446 | (11.121) | .361 |
Total from Investment Operations | 2.359 | .390 | 3.492 | 4.897 | (10.640) | .534 |
Distributions | ||||||
Dividends from Net Investment Income | (.259) | (.490) | (.452) | (.467) | (.470) | (.274) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.259) | (.490) | (.452) | (.467) | (.470) | (.274) |
Net Asset Value, End of Period | $27.36 | $25.26 | $25.36 | $22.32 | $17.89 | $29.00 |
Total Return | 9.34% | 1.58% | 15.83% | 27.81% | -37.03% | 1.85% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $583 | $520 | $381 | $247 | $102 | $39 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.12% | 0.10% | 0.08%2 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.00% | 1.95% | 1.92% | 2.38% | 2.23% | 1.81%2 |
Portfolio Turnover Rate3 | 6% | 7% | 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.
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Large-Cap Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $119.18 | $119.65 | $105.33 | $84.43 | $136.82 | $130.78 |
Investment Operations | ||||||
Net Investment Income | 1.283 | 2.366 | 2.111 | 2.160 | 2.283 | 2.344 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 9.854 | (.499) | 14.383 | 20.973 | (52.440) | 6.047 |
Total from Investment Operations | 11.137 | 1.867 | 16.494 | 23.133 | (50.157) | 8.391 |
Distributions | ||||||
Dividends from Net Investment Income | (1.237) | (2.337) | (2.174) | (2.233) | (2.233) | (2.351) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.237) | (2.337) | (2.174) | (2.233) | (2.233) | (2.351) |
Net Asset Value, End of Period | $129.08 | $119.18 | $119.65 | $105.33 | $84.43 | $136.82 |
Total Return | 9.34% | 1.60% | 15.85% | 27.84% | -37.01% | 6.42% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $613 | $504 | $276 | $306 | $207 | $103 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.02% | 1.97% | 1.96% | 2.42% | 2.26% | 1.81% |
Portfolio Turnover Rate1 | 6% | 7% | 8% | 8% | 9% | 8% |
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.
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Large-Cap Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $57.34 | $57.56 | $50.67 | $40.61 | $65.83 | $62.92 |
Investment Operations | ||||||
Net Investment Income | .610 | 1.126 | .996 | 1.022 | 1.098 | 1.136 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.739 | (.234) | 6.920 | 10.095 | (25.243) | 2.912 |
Total from Investment Operations | 5.349 | .892 | 7.916 | 11.117 | (24.145) | 4.048 |
Distributions | ||||||
Dividends from Net Investment Income | (.589) | (1.112) | (1.026) | (1.057) | (1.075) | (1.138) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.589) | (1.112) | (1.026) | (1.057) | (1.075) | (1.138) |
Net Asset Value, End of Period | $62.10 | $57.34 | $57.56 | $50.67 | $40.61 | $65.83 |
Total Return | 9.33% | 1.58% | 15.81% | 27.80% | -37.02% | 6.44% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,347 | $3,021 | $2,858 | $2,489 | $1,957 | $1,162 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.12% | 0.12% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.00% | 1.95% | 1.92% | 2.38% | 2.26% | 1.82% |
Portfolio Turnover Rate1 | 6% | 7% | 8% | 8% | 9% | 8% |
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.
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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, 2008–2011), and for the period ended June 30, 2012, 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
67
Large-Cap Index Fund
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, 2012, the fund had contributed capital of $829,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.33% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 5,710,413 | 57 | — |
Temporary Cash Investments | 13,268 | 2,116 | — |
Futures Contracts—Assets1 | 357 | — | — |
Total | 5,724,038 | 2,173 | — |
1 Represents variation margin on the last day of the reporting period. |
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Large-Cap Index Fund
D. At June 30, 2012, 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 2012 | 42 | 14,242 | 422 |
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, 2012, the fund realized $17,082,000 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, 2011, the fund had available capital loss carryforwards totaling $212,072,000 to offset future net capital gains. Of this amount, $194,830,000 is subject to expiration dates; $43,673,000 may be used to offset future net capital gains through December 31, 2016, $117,390,000 through December 31, 2017, and $33,767,000 through December 31, 2018. Capital losses of $17,242,000 realized beginning in fiscal 2011 may be carried forward indefinitely but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $4,928,207,000. Net unrealized appreciation of investment securities for tax purposes was $797,647,000, consisting of unrealized gains of $1,214,026,000 on securities that had risen in value since their purchase and $416,379,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2012, the fund purchased $376,166,000 of investment securities and sold $208,435,000 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, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 44,870 | 1,797 | 161,542 | 6,844 |
Issued in Lieu of Cash Distributions | 2,498 | 99 | 5,174 | 227 |
Redeemed | (66,895) | (2,704) | (179,120) | (7,629) |
Net Increase (Decrease)—Investor Shares | (19,527) | (808) | (12,404) | (558) |
Admiral Shares | ||||
Issued | 107,937 | 3,446 | 314,696 | 10,768 |
Issued in Lieu of Cash Distributions | 7,108 | 226 | 13,047 | 456 |
Redeemed | (89,232) | (2,866) | (225,019) | (7,728) |
Net Increase (Decrease)—Admiral Shares | 25,813 | 806 | 102,724 | 3,496 |
Signal Shares | ||||
Issued | 105,216 | 3,868 | 272,009 | 10,696 |
Issued in Lieu of Cash Distributions | 4,042 | 147 | 6,818 | 274 |
Redeemed | (89,374) | (3,291) | (138,043) | (5,420) |
Net Increase (Decrease)—Signal Shares | 19,884 | 724 | 140,784 | 5,550 |
Institutional Shares | ||||
Issued | 123,076 | 939 | 259,002 | 2,142 |
Issued in Lieu of Cash Distributions | 5,159 | 40 | 7,483 | 64 |
Redeemed | (60,455) | (467) | (34,401) | (281) |
Net Increase (Decrease)—Institutional Shares | 67,780 | 512 | 232,084 | 1,925 |
ETF Shares | ||||
Issued | 118,041 | 1,905 | 306,551 | 5,237 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (42,226) | (700) | (130,077) | (2,200) |
Net Increase (Decrease)—ETF Shares | 75,815 | 1,205 | 176,474 | 3,037 |
H. In preparing the financial statements as of June 30, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended June 30, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2011 | 6/30/2012 | Period | |
Based on Actual Fund Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,107.01 | $1.26 |
Admiral Shares | 1,000.00 | 1,107.77 | 0.52 |
Signal Shares | 1,000.00 | 1,107.71 | 0.52 |
Institutional Shares | 1,000.00 | 1,107.89 | 0.42 |
ETF Shares | 1,000.00 | 1,107.70 | 0.52 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,078.57 | $1.24 |
Admiral Shares | 1,000.00 | 1,078.91 | 0.52 |
Signal Shares | 1,000.00 | 1,079.22 | 0.52 |
Institutional Shares | 1,000.00 | 1,079.05 | 0.41 |
ETF Shares | 1,000.00 | 1,078.98 | 0.52 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,092.83 | $1.25 |
Admiral Shares | 1,000.00 | 1,093.12 | 0.52 |
Signal Shares | 1,000.00 | 1,093.39 | 0.52 |
Institutional Shares | 1,000.00 | 1,093.44 | 0.42 |
ETF Shares | 1,000.00 | 1,093.31 | 0.52 |
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Six Months Ended June 30, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2011 | 6/30/2012 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.67 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Signal Shares | 1,000.00 | 1,024.37 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
ETF Shares | 1,000.00 | 1,024.37 | 0.50 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.67 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Signal Shares | 1,000.00 | 1,024.37 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
ETF Shares | 1,000.00 | 1,024.37 | 0.50 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.67 | $1.21 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Signal Shares | 1,000.00 | 1,024.37 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
ETF Shares | 1,000.00 | 1,024.37 | 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, 0.24% 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 Value 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; 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.
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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 Equity Investment 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 Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted 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.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
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. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
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Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Director of SKF AB |
and President (2006–2008) of Rohm Haas Co. | (industrial machinery), Hillenbrand, Inc. (specialized |
(chemicals); Director of Tyco International, Ltd. | consumer services), the Lumina Foundation for |
(diversified manufacturing and services), Hewlett- | |
Packard Co. (electronic computer manufacturing), | |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | ||
Industries, Inc. (forklift trucks/housewares/lignite); | Mortimer J. Buckley | Michael S. Miller |
Director of Goodrich Corporation (industrial products/ | Kathleen C. Gubanich | James M. Norris |
aircraft systems and services) and the National | Paul A. Heller | Glenn W. Reed |
Association of Manufacturers; Chairman of the Board | Martha G. King | George U. Sauter |
of the Federal Reserve Bank of Cleveland and of | Chris D. McIsaac | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | ||
Overseer of the Amos Tuck School of Business | Founder | |
Administration at Dartmouth College; Advisor to the | John C. Bogle | |
Norris Cotton Cancer Center. | Chairman and Chief Executive Officer, 1974–1996 | |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
![]() | |
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | The funds or securities referred to herein are not |
Direct Investor Account Services > 800-662-2739 | sponsored, endorsed, or promoted by MSCI, and MSCI |
bears no liability with respect to any such funds or | |
Institutional Investor Services > 800-523-1036 | securities. The prospectus or the Statement of |
Text Telephone for People | Additional Information contains a more detailed |
With Hearing Impairment > 800-749-7273 | description of the limited relationship MSCI has with |
Vanguard and any related funds. | |
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. | |
© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q03072 082012 |
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Semiannual Report | June 30, 2012 |
Vanguard Total Stock Market Index Fund |
> For the six months ended June 30, Vanguard Total Stock Market Index Fund returned a bit more than 9%, a strong result that masked market volatility late in the period.
> The fund closely tracked its target index, producing a return more than two percentage points above the average result for peer funds.
> With the exception of energy, all industry sectors posted gains. Financial and technology stocks were among the best performers.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 7 |
Performance Summary. | 9 |
Financial Statements. | 10 |
About Your Fund’s Expenses. | 25 |
Trustees Approve Advisory Arrangement. | 27 |
Glossary. | 28 |
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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.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose
performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we
strive to help clients reach their financial goals.
Your Fund’s Total Returns | |
Six Months Ended June 30, 2012 | |
Total | |
Returns | |
Vanguard Total Stock Market Index Fund | |
Investor Shares | 9.29% |
Admiral™ Shares | 9.36 |
Signal® Shares | 9.36 |
Institutional Shares | 9.36 |
ETF Shares | |
Market Price | 9.38 |
Net Asset Value | 9.37 |
MSCI US Broad Market Index | 9.39 |
Multi-Cap Core Funds Average | 7.15 |
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; 7,720,749; 7,925,573; 8,090,646.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Your Fund’s Performance at a Glance
December 31, 2011, Through June 30, 2012
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Total Stock Market Index Fund | ||||
Investor Shares | $31.29 | $33.90 | $0.298 | $0.000 |
Admiral Shares | 31.30 | 33.91 | 0.319 | 0.000 |
Signal Shares | 30.21 | 32.73 | 0.307 | 0.000 |
Institutional Shares | 31.30 | 33.91 | 0.319 | 0.000 |
ETF Shares | 64.29 | 69.66 | 0.654 | 0.000 |
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Chairman’s Letter
Dear Shareholder,
U.S. stocks opened 2012 with a powerful rally, recording their best first quarter since 1998. The advance faltered in the spring, however, amid a flare-up of concerns about Europe’s debt crisis and the slowing U.S. economy. Still, stocks hung on to much of their gains and finished the first half of the year with a strong result.
In this environment, Vanguard Total Stock Market Index Fund returned 9.29% for Investor Shares. Consistent with its objective, the fund closely tracked the return of its target benchmark, the MSCI US Broad Market Index. Peer funds, on average, returned 7.15%.
On a separate note, I want to call your attention to an announcement we made on June 22: George U. “Gus” Sauter, managing director and Vanguard’s chief investment officer, plans to retire at the end of 2012. It’s hard to overstate the contributions that Gus has made to Vanguard in his 25-year career. He honed the strategy and built the team that have helped make Vanguard a world-class leader in indexing, he developed our active quantitative equity strategies, and he has been our chief investment officer since 2003.
2
We’re fortunate that Mortimer J. “Tim” Buckley, managing director, will succeed Gus. Tim has been a member of Vanguard’s senior staff since 2001 and has directed Vanguard’s Retail Investor Group since 2006. I’ll have more to say about Gus’s retirement at the end of the year.
Eurozone woes continued to cast a shadow on stock markets globally
U.S. stocks were the standout performers for the six months ended June 30. Domestic equities seemed to benefit from the perception that they offered some shelter from the storms roiling European markets. International stocks didn’t fare as well, returning about 3%. European stocks were the weakest performers. Returns for emerging markets and the developed markets of the Pacific region were restrained by signs of slowing growth.
Throughout the period, investors were preoccupied with Europe’s debt troubles, and global stock markets moved sharply up and down depending on whether the latest news from the region was positive or negative. Vanguard economists anticipate that Europe will remain a trouble spot. The most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 9.38% | 4.37% | 0.39% |
Russell 2000 Index (Small-caps) | 8.53 | -2.08 | 0.54 |
Dow Jones U.S. Total Stock Market Index | 9.45 | 3.78 | 0.63 |
MSCI All Country World Index ex USA (International) | 2.77 | -14.57 | -4.62 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 2.37% | 7.47% | 6.79% |
Barclays Municipal Bond Index (Broad tax-exempt | |||
market) | 3.66 | 9.90 | 5.95 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.87 |
CPI | |||
Consumer Price Index | 1.69% | 1.66% | 1.95% |
3
Investors’ appetite for Treasuries drove 10-year yield to a new low
Amid the turmoil in Europe, U.S. Treasury securities continued to benefit from a “flight to quality.” Investor demand nudged bond prices higher, and in early June, the yield of the 10-year U.S. Treasury note slipped below 1.5% for the first time. (Bond yields and prices move in opposite directions.) It’s important to understand that low yields imply lower future returns: As yields tumble, the scope for further declines—and price increases—diminishes.
The broad U.S. taxable bond market posted a return of about 2% for the half-year. Municipal bonds remained a bright spot, delivering a return of more than 3%.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%. That policy has kept a tight lid on the returns from money market funds and savings accounts.
Technology and financial stocks helped power the fund’s returns
As I mentioned, stocks surged in the early months of 2012. The technology sector was one of the notable beneficiaries of budding optimism among investors that a stronger economy would foster greater consumer and business demand. The already torrid sales growth of smartphones and tablet computers helped encourage this enthusiasm.
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% | 0.06% | 0.06% | 0.05% | 0.06% | 1.18% |
The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the fund’s annualized expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, 0.04% 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 2011.
Peer group: Multi-Cap Core Funds.
4
Financial stocks were also standouts, as investors saw signs that banks and other institutions were getting past the lingering effects of mortgage defaults associated with the U.S. housing downturn.
As the first quarter pivoted into the second, however, stocks reversed course in the face of renewed concerns about Europe’s debt crisis and stubbornly high U.S. unemployment. Along with the broader U.S. market, tech and financial stocks surrendered some of their earlier gains, but both sectors still managed to finish the period with double-digit returns.
The energy sector was the weakest performer for the six months, and the only one of the nine industry sectors to post a negative return. Energy stocks had enjoyed outsized gains, particularly over the last three years, as robust demand from the developing world helped push oil prices higher. But as growth in China and other emerging markets has slowed, investors have grown increasingly concerned about the possibility that weakening demand will affect the energy sector’s profitability.
The ups and downs of the six-month period notwithstanding, your fund continued to meet its goal of tightly tracking its benchmark. (You can see how well it has done that over the past decade in the Performance Summary, later in this report.) This record is a credit to Vanguard Equity Investment Group—the team founded decades back by our retiring CIO, Gus Sauter. The group combines skilled
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 relevant tally of the operating costs incurred by shareholders.
5
portfolio management with sophisticated risk-control and trading systems. The fund’s low expense ratio is important as well.
The good news: Investors are smart, and they’re getting smarter
In recent years, I’ve often written in this space about the challenges facing investors, from the 2008–2009 financial crisis to the more recent market volatility caused by Europe’s troubles. Bad news inevitably seems to grab attention, and it’s our responsibility to speak to you candidly about these difficulties and to offer Vanguard’s perspective.
In the interest of presenting a full picture, I think it’s also our responsibility to point out positive developments that may have been overlooked. On that score, I’ve been especially heartened to see individual investors become more discerning over time, particularly about costs. As I said in a recent address to financial advisors, “Individual investors are smart and getting smarter. And that’s a good thing. Increasingly, they are bringing a healthy consumer mentality to their investment portfolios. They want to know what they are buying and how much they are paying for it.”
Vanguard research confirms that over the past decade investors have displayed a growing cost-consciousness, directing a larger share of their money to low-cost funds. You can read the full report—Costs Matter: Are Fund Investors Voting With Their Feet?—at vanguard.com/research.
In our view, investors are serving their interests by focusing on costs. The math is simple: The less they pay for an investment, the more they keep. And cost savings can compound over the long term, potentially helping to build greater wealth.
So if you’re feeling buffeted by the latest headlines, it can be constructive to direct your attention to one of the things you can control: your investment costs. We continue to believe that holding a balanced and diversified, low-cost portfolio can give investors a greater chance of reaching their long-term financial goals. Vanguard Total Stock Market Index Fund, offering broad, low-cost exposure to the U.S. stock market, can play an important role in such a plan.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-12-005421/totalstockmktindexx8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 12, 2012
6
Total Stock Market Index Fund
Fund Profile
As of June 30, 2012
Share-Class Characteristics
Investor | Admiral | Signal | Institutional | ETF | |
Shares | Shares | Shares | Shares | Shares | |
Ticker Symbol | VTSMX | VTSAX | VTSSX | VITSX | VTI |
Expense Ratio1 | 0.18% | 0.06% | 0.06% | 0.05% | 0.06% |
30-Day SEC Yield | 1.98% | 2.10% | 2.10% | 2.11% | 2.10% |
Portfolio Characteristics | ||
MSCI US | ||
Broad Market | ||
Fund | Index | |
Number of Stocks | 3,310 | 3,294 |
Median Market Cap | $33.1B | $33.1B |
Price/Earnings Ratio | 16.1x | 16.1x |
Price/Book Ratio | 2.1x | 2.1x |
Return on Equity | 18.2% | 18.1% |
Earnings Growth Rate | 9.5% | 9.5% |
Dividend Yield | 2.1% | 2.1% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate | ||
(Annualized) | 3% | — |
Short-Term Reserves | 0.0% | — |
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) | ||
Apple Inc. | Computer | |
Hardware | 3.6% | |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 2.7 | |
Microsoft Corp. | Systems Software | 1.5 |
General Electric Co. | Industrial | |
Conglomerates | 1.5 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.4 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.4 | |
Chevron Corp. | Integrated Oil & | |
Gas | 1.4 | |
Johnson & Johnson | Pharmaceuticals | 1.2 |
Pfizer Inc. | Pharmaceuticals | 1.2 |
Procter & Gamble Co. | Household | |
Products | 1.1 | |
Top Ten | 17.0% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the annualized expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, 0.04% for Institutional Shares, and 0.05% for ETF Shares.
7
Total Stock Market Index Fund
Sector Diversification (% of equity exposure) | ||
MSCI US | ||
Broad Market | ||
Fund | Index | |
Consumer Discretionary | 12.0% | 12.0% |
Consumer Staples | 9.9 | 9.9 |
Energy | 10.0 | 10.0 |
Financials | 15.4 | 15.4 |
Health Care | 12.0 | 12.0 |
Industrials | 11.0 | 11.0 |
Information Technology | 19.2 | 19.2 |
Materials | 3.9 | 3.9 |
Telecommunication Services | 2.9 | 2.9 |
Utilities | 3.7 | 3.7 |
Investment Focus
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8
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, 2001, Through June 30, 2012
Total Stock Market Index Fund Investor Shares |
Spliced Total Stock Market Index |
Spliced Total Stock Market Index: Dow Jones Wilshire 5000 Index through April 22, 2005; MSCI US Broad Market Index thereafter.
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 4/27/1992 | 3.79% | 0.55% | 6.00% |
Admiral Shares | 11/13/2000 | 3.95 | 0.65 | 6.10 |
Signal Shares | 9/1/2006 | 3.96 | 0.65 | 3.321 |
Institutional Shares | 7/7/1997 | 3.92 | 0.66 | 6.13 |
Fee-Adjusted Returns | — | — | 0.00 | |
ETF Shares | 5/24/2001 | |||
Market Price | 3.95 | 0.67 | 6.06 | |
Net Asset Value | 3.94 | 0.65 | 6.10 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
9
Total Stock Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2012
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. | 12,907,863 | 1,142,733 | 0.6% |
* Amazon.com Inc. | 4,612,732 | 1,053,317 | 0.6% |
Walt Disney Co. | 21,576,117 | 1,046,442 | 0.5% |
Home Depot Inc. | 19,533,763 | 1,035,094 | 0.5% |
Comcast Corp. Class A | 29,500,291 | 943,124 | 0.5% |
Consumer Discretionary—Other † | 17,468,534 | 9.1% | |
22,689,244 | 11.8% | ||
Consumer Staples | |||
Procter & Gamble Co. | 34,906,629 | 2,138,031 | 1.1% |
Coca-Cola Co. | 25,812,784 | 2,018,302 | 1.1% |
Philip Morris International Inc. | 21,820,764 | 1,904,080 | 1.0% |
Wal-Mart Stores Inc. | 23,870,234 | 1,664,233 | 0.9% |
PepsiCo Inc. | 19,904,285 | 1,406,437 | 0.7% |
Altria Group Inc. | 25,921,377 | 895,584 | 0.5% |
Kraft Foods Inc. | 21,284,220 | 821,997 | 0.4% |
CVS Caremark Corp. | 16,502,932 | 771,182 | 0.4% |
Consumer Staples—Other † | 7,112,572 | 3.7% | |
18,732,418 | 9.8% | ||
Energy | |||
Exxon Mobil Corp. | 59,734,064 | 5,111,444 | 2.7% |
Chevron Corp. | 25,053,497 | 2,643,144 | 1.4% |
Schlumberger Ltd. | 16,909,397 | 1,097,589 | 0.6% |
Occidental Petroleum Corp. | 10,277,209 | 881,476 | 0.5% |
ConocoPhillips | 15,404,726 | 860,816 | 0.4% |
Energy—Other † | 8,389,574 | 4.4% | |
18,984,043 | 10.0% | ||
Financials | |||
Wells Fargo & Co. | 63,486,618 | 2,122,993 | 1.1% |
JPMorgan Chase & Co. | 48,154,586 | 1,720,563 | 0.9% |
Bank of America Corp. | 136,011,959 | 1,112,578 | 0.6% |
10
Total Stock Market Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Citigroup Inc. | 37,114,908 | 1,017,320 | 0.5% |
* Berkshire Hathaway Inc. Class B | 10,310,044 | 859,136 | 0.5% |
US Bancorp | 24,214,035 | 778,723 | 0.4% |
American Express Co. | 13,302,720 | 774,351 | 0.4% |
Financials—Other † | 20,765,389 | 10.9% | |
29,151,053 | 15.3% | ||
Health Care | |||
Johnson & Johnson | 34,787,557 | 2,350,247 | 1.2% |
Pfizer Inc. | 95,533,033 | 2,197,260 | 1.2% |
Merck & Co. Inc. | 38,575,712 | 1,610,536 | 0.8% |
Abbott Laboratories | 19,926,089 | 1,284,635 | 0.7% |
UnitedHealth Group Inc. | 13,241,125 | 774,606 | 0.4% |
Bristol-Myers Squibb Co. | 21,390,654 | 768,994 | 0.4% |
Amgen Inc. | 10,028,610 | 732,490 | 0.4% |
Health Care—Other † | 12,959,665 | 6.8% | |
22,678,433 | 11.9% | ||
Industrials | |||
General Electric Co. | 134,096,011 | 2,794,561 | 1.5% |
United Technologies Corp. | 10,956,502 | 827,545 | 0.4% |
3M Co. | 8,360,811 | 749,129 | 0.4% |
Union Pacific Corp. | 6,083,146 | 725,780 | 0.4% |
United Parcel Service Inc. Class B | 9,157,683 | 721,259 | 0.4% |
Caterpillar Inc. | 8,205,160 | 696,700 | 0.4% |
Boeing Co. | 8,976,825 | 666,978 | 0.3% |
Industrials—Other † | 13,655,515 | 7.2% | |
20,837,467 | 11.0% | ||
Information Technology | |||
* Apple Inc. | 11,816,603 | 6,900,896 | 3.6% |
Microsoft Corp. | 95,701,996 | 2,927,524 | 1.6% |
International Business Machines Corp. | 13,950,392 | 2,728,418 | 1.4% |
* Google Inc. Class A | 3,269,057 | 1,896,282 | 1.0% |
Intel Corp. | 63,311,904 | 1,687,262 | 0.9% |
Oracle Corp. | 50,952,575 | 1,513,291 | 0.8% |
QUALCOMM Inc. | 21,435,478 | 1,193,527 | 0.6% |
Cisco Systems Inc. | 68,255,115 | 1,171,940 | 0.6% |
Visa Inc. Class A | 6,656,313 | 822,920 | 0.4% |
Information Technology—Other † | 15,490,824 | 8.2% | |
36,332,884 | 19.1% | ||
Materials † | 7,378,491 | 3.9% | |
Telecommunication Services | |||
AT&T Inc. | 75,134,203 | 2,679,286 | 1.4% |
Verizon Communications Inc. | 35,932,112 | 1,596,823 | 0.9% |
Telecommunication Services—Other † | 1,142,872 | 0.6% | |
5,418,981 | 2.9% | ||
Utilities † | 7,034,999 | 3.7% | |
Total Common Stocks (Cost $163,196,068) | 189,238,013 | 99.4%1 |
11
Total Stock Market Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
2,3 Vanguard Market Liquidity Fund | 0.148% | 1,396,280,684 | 1,396,281 | 0.8% |
4U.S. Government and Agency Obligations † | 58,307 | 0.0% | ||
Total Temporary Cash Investments (Cost $1,454,592) | 1,454,588 | 0.8%1 | ||
5Total Investments (Cost $164,650,660) | 190,692,601 | 100.2% | ||
Other Assets and Liabilities | ||||
Other Assets | 969,997 | 0.5% | ||
Liabilities3 | (1,329,926) | (0.7%) | ||
(359,929) | (0.2%) | |||
Net Assets | 190,332,672 | 100.0% |
12
Total Stock Market Index Fund | |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 168,151,983 |
Overdistributed Net Investment Income | (78,339) |
Accumulated Net Realized Losses | (3,817,578) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 26,041,941 |
Futures Contracts | 34,665 |
Net Assets | 190,332,672 |
Investor Shares—Net Assets | |
Applicable to 2,078,488,197 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 70,461,285 |
Net Asset Value Per Share—Investor Shares | $33.90 |
Admiral Shares—Net Assets | |
Applicable to 1,625,313,784 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 55,110,309 |
Net Asset Value Per Share—Admiral Shares | $33.91 |
Signal Shares—Net Assets | |
Applicable to 217,904,088 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 7,131,072 |
Net Asset Value Per Share—Signal Shares | $32.73 |
Institutional Shares—Net Assets | |
Applicable to 1,066,297,562 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 36,160,609 |
Net Asset Value Per Share—Institutional Shares | $33.91 |
ETF Shares—Net Assets | |
Applicable to 308,216,528 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 21,469,397 |
Net Asset Value Per Share—ETF Shares | $69.66 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets.
2 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 $415,930,000 of collateral received for securities on loan.
4 Securities with a value of $57,807,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $394,155,000.
See accompanying Notes, which are an integral part of the Financial Statements.
13
Total Stock Market Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,811,185 |
Interest1 | 618 |
Security Lending | 26,539 |
Total Income | 1,838,342 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 5,541 |
Management and Administrative—Investor Shares | 46,348 |
Management and Administrative—Admiral Shares | 6,687 |
Management and Administrative—Signal Shares | 488 |
Management and Administrative—Institutional Shares | 1,526 |
Management and Administrative—ETF Shares | 1,378 |
Marketing and Distribution—Investor Shares | 8,518 |
Marketing and Distribution—Admiral Shares | 4,757 |
Marketing and Distribution—Signal Shares | 969 |
Marketing and Distribution—Institutional Shares | 4,974 |
Marketing and Distribution—ETF Shares | 2,957 |
Custodian Fees | 743 |
Shareholders’ Reports—Investor Shares | 77 |
Shareholders’ Reports—Admiral Shares | 63 |
Shareholders’ Reports—Signal Shares | 12 |
Shareholders’ Reports—Institutional Shares | 21 |
Shareholders’ Reports—ETF Shares | 95 |
Trustees’ Fees and Expenses | 85 |
Total Expenses | 85,239 |
Net Investment Income | 1,753,103 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 1,829,331 |
Futures Contracts | 53,711 |
Realized Net Gain (Loss) | 1,883,042 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 12,090,400 |
Futures Contracts | 19,931 |
Change in Unrealized Appreciation (Depreciation) | 12,110,331 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 15,746,476 |
1 Interest income from an affiliated company of the fund was $591,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Total Stock Market Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,753,103 | 2,992,139 |
Realized Net Gain (Loss) | 1,883,042 | 484,380 |
Change in Unrealized Appreciation (Depreciation) | 12,110,331 | (1,776,715) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 15,746,476 | 1,699,804 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (605,266) | (1,076,617) |
Admiral Shares | (512,225) | (930,056) |
Signal Shares | (65,372) | (112,466) |
Institutional Shares | (332,109) | (512,854) |
ETF Shares | (196,926) | (361,091) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,711,898) | (2,993,084) |
Capital Share Transactions | ||
Investor Shares | 2,560,059 | 6,917,197 |
Admiral Shares | 1,484,275 | 2,744,955 |
Signal Shares | 489,496 | 716,539 |
Institutional Shares | 4,141,373 | 5,912,981 |
ETF Shares | 337,870 | 1,847,759 |
Net Increase (Decrease) from Capital Share Transactions | 9,013,073 | 18,139,431 |
Total Increase (Decrease) | 23,047,651 | 16,846,151 |
Net Assets | ||
Beginning of Period | 167,285,021 | 150,438,870 |
End of Period1 | 190,332,672 | 167,285,021 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($78,339,000) and ($119,544,000).
See accompanying Notes, which are an integral part of the Financial Statements.
15
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $31.29 | $31.56 | $27.45 | $21.80 | $35.36 | $34.09 |
Investment Operations | ||||||
Net Investment Income | .306 | .565 | .523 | .514 | .592 | .604 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.602 | (.273) | 4.117 | 5.651 | (13.566) | 1.268 |
Total from Investment Operations | 2.908 | .292 | 4.640 | 6.165 | (12.974) | 1.872 |
Distributions | ||||||
Dividends from Net Investment Income | (.298) | (.562) | (.530) | (.515) | (.586) | (.602) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.298) | (.562) | (.530) | (.515) | (.586) | (.602) |
Net Asset Value, End of Period | $33.90 | $31.29 | $31.56 | $27.45 | $21.80 | $35.36 |
Total Return1 | 9.29% | 0.96% | 17.09% | 28.70% | -37.04% | 5.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $70,461 | $62,668 | $56,063 | $58,004 | $39,440 | $50,183 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.17% | 0.17% | 0.17% | 0.18% | 0.16% | 0.15% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.84% | 1.79% | 1.85% | 2.22% | 2.04% | 1.71% |
Portfolio Turnover Rate2 | 3% | 5% | 5% | 5% | 5% | 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.
16
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $31.30 | $31.57 | $27.45 | $21.80 | $35.36 | $34.09 |
Investment Operations | ||||||
Net Investment Income | .326 | .602 | .554 | .539 | .615 | .631 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.603 | (.273) | 4.127 | 5.650 | (13.566) | 1.268 |
Total from Investment Operations | 2.929 | .329 | 4.681 | 6.189 | (12.951) | 1.899 |
Distributions | ||||||
Dividends from Net Investment Income | (.319) | (.599) | (.561) | (.539) | (.609) | (.629) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.319) | (.599) | (.561) | (.539) | (.609) | (.629) |
Net Asset Value, End of Period | $33.91 | $31.30 | $31.57 | $27.45 | $21.80 | $35.36 |
Total Return1 | 9.36% | 1.08% | 17.26% | 28.83% | -36.99% | 5.57% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $55,110 | $49,496 | $47,190 | $27,762 | $18,781 | $27,895 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.07% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.96% | 1.91% | 1.96% | 2.33% | 2.12% | 1.79% |
Portfolio Turnover Rate2 | 3% | 5% | 5% | 5% | 5% | 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.
17
Total Stock Market Index Fund | ||||||
Financial Highlights | ||||||
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $30.21 | $30.47 | $26.50 | $21.04 | $34.13 | $32.91 |
Investment Operations | ||||||
Net Investment Income | .315 | .581 | .535 | .520 | .595 | .607 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.512 | (.262) | 3.977 | 5.459 | (13.096) | 1.220 |
Total from Investment Operations | 2.827 | .319 | 4.512 | 5.979 | (12.501) | 1.827 |
Distributions | ||||||
Dividends from Net Investment Income | (.307) | (.579) | (.542) | (.519) | (.589) | (.607) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.307) | (.579) | (.542) | (.519) | (.589) | (.607) |
Net Asset Value, End of Period | $32.73 | $30.21 | $30.47 | $26.50 | $21.04 | $34.13 |
Total Return | 9.36% | 1.09% | 17.23% | 28.85% | -36.99% | 5.55% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,131 | $6,133 | $5,471 | $4,757 | $3,717 | $4,655 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.07% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.96% | 1.91% | 1.96% | 2.33% | 2.12% | 1.79% |
Portfolio Turnover Rate1 | 3% | 5% | 5% | 5% | 5% | 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 | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $31.30 | $31.57 | $27.46 | $21.81 | $35.36 | $34.10 |
Investment Operations | ||||||
Net Investment Income | .328 | .603 | .558 | .541 | .624 | .638 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.601 | (.272) | 4.117 | 5.650 | (13.557) | 1.260 |
Total from Investment Operations | 2.929 | .331 | 4.675 | 6.191 | (12.933) | 1.898 |
Distributions | ||||||
Dividends from Net Investment Income | (.319) | (.601) | (.565) | (.541) | (.617) | (.638) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.319) | (.601) | (.565) | (.541) | (.617) | (.638) |
Net Asset Value, End of Period | $33.91 | $31.30 | $31.57 | $27.46 | $21.81 | $35.36 |
Total Return | 9.36% | 1.09% | 17.23% | 28.83% | -36.94% | 5.56% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $36,161 | $29,467 | $23,785 | $16,047 | $10,782 | $13,396 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.04% | 0.04% | 0.05% | 0.06% | 0.05% | 0.05% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.97% | 1.92% | 1.97% | 2.34% | 2.15% | 1.81% |
Portfolio Turnover Rate1 | 3% | 5% | 5% | 5% | 5% | 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.
19
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 | 2012 | 2011 | 2010 | 2009 | 20081 | 20071 |
Net Asset Value, Beginning of Period | $64.29 | $64.86 | $56.39 | $44.78 | $72.64 | $70.04 |
Investment Operations | ||||||
Net Investment Income | .671 | 1.238 | 1.133 | 1.106 | 1.270 | 1.298 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.353 | (.575) | 8.485 | 11.611 | (27.874) | 2.600 |
Total from Investment Operations | 6.024 | .663 | 9.618 | 12.717 | (26.604) | 3.898 |
Distributions | ||||||
Dividends from Net Investment Income | (.654) | (1.233) | (1.148) | (1.107) | (1.256) | (1.298) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.654) | (1.233) | (1.148) | (1.107) | (1.256) | (1.298) |
Net Asset Value, End of Period | $69.66 | $64.29 | $64.86 | $56.39 | $44.78 | $72.64 |
Total Return | 9.37% | 1.06% | 17.26% | 28.82% | -36.97% | 5.56% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $21,469 | $19,521 | $17,930 | $13,443 | $9,199 | $10,255 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.96% | 1.91% | 1.96% | 2.33% | 2.13% | 1.79% |
Portfolio Turnover Rate2 | 3% | 5% | 5% | 5% | 5% | 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.
20
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, 2008–2011), and for the period ended June 30, 2012, 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.
21
Total Stock 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, 2012, the fund had contributed capital of $27,495,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 11.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 189,235,371 | 2,128 | 514 |
Temporary Cash Investments | 1,396,281 | 58,307 | — |
Futures Contracts—Assets1 | 27,670 | — | — |
Futures Contracts—Liabilities1 | (355) | — | — |
Total | 190,658,967 | 60,435 | 514 |
1 Represents variation margin on the last day of the reporting period. |
22
Total Stock Market Index Fund
D. At June 30, 2012, 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 2012 | 2,672 | 906,075 | 27,441 |
E-mini Russell 2000 Index | September 2012 | 957 | 76,120 | 4,803 |
E-mini S&P 500 Index | September 2012 | 845 | 57,308 | 1,598 |
S&P MidCap 400 Index | September 2012 | 280 | 26,306 | 823 |
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, 2012, the fund realized $1,426,947,000 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, 2011, the fund had available capital loss carryforwards totaling $4,029,067,000 to offset future net capital gains. Of this amount, $2,492,045,000 is subject to expiration dates; $209,043,000 may be used to offset future net capital gains through December 31, 2013, $19,516,000 through December 31, 2015, and $2,263,486,000 through December 31, 2016. Capital losses of $1,537,022,000 realized beginning in fiscal 2011 may be carried forward indefinitely but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $164,650,660,000. Net unrealized appreciation of investment securities for tax purposes was $26,041,941,000, consisting of unrealized gains of $42,455,376,000 on securities that had risen in value since their purchase and $16,413,435,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2012, the fund purchased $14,345,636,000 of investment securities and sold $5,316,228,000 of investment securities, other than temporary cash investments.
23
Total Stock Market Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 6,301,027 | 187,361 | 16,700,555 | 536,511 |
Issued in Lieu of Cash Distributions | 601,987 | 17,729 | 1,071,344 | 34,743 |
Redeemed | (4,342,955) | (129,405) | (10,854,702) | (344,650) |
Net Increase (Decrease)—Investor Shares | 2,560,059 | 75,685 | 6,917,197 | 226,604 |
Admiral Shares | ||||
Issued | 3,844,736 | 113,899 | 8,084,176 | 253,721 |
Issued in Lieu of Cash Distributions | 454,217 | 13,367 | 826,433 | 26,772 |
Redeemed | (2,814,678) | (83,443) | (6,165,654) | (193,779) |
Net Increase (Decrease)—Admiral Shares | 1,484,275 | 43,823 | 2,744,955 | 86,714 |
Signal Shares | ||||
Issued | 1,561,338 | 47,974 | 2,633,369 | 85,460 |
Issued in Lieu of Cash Distributions | 58,641 | 1,789 | 102,303 | 3,435 |
Redeemed | (1,130,483) | (34,888) | (2,019,133) | (65,415) |
Net Increase (Decrease)—Signal Shares | 489,496 | 14,875 | 716,539 | 23,480 |
Institutional Shares | ||||
Issued | 5,836,783 | 174,346 | 9,084,531 | 288,069 |
Issued in Lieu of Cash Distributions | 310,223 | 9,130 | 476,976 | 15,485 |
Redeemed | (2,005,633) | (58,600) | (3,648,526) | (115,440) |
Net Increase (Decrease)—Institutional Shares | 4,141,373 | 124,876 | 5,912,981 | 188,114 |
ETF Shares | ||||
Issued | 2,318,104 | 33,585 | 5,163,728 | 78,663 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,980,234) | (29,000) | (3,315,969) | (51,500) |
Net Increase (Decrease)—ETF Shares | 337,870 | 4,585 | 1,847,759 | 27,163 |
H. In preparing the financial statements as of June 30, 2012, 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, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Total Stock Market Index Fund | 12/31/2011 | 6/30/2012 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,092.94 | $0.88 |
Admiral Shares | 1,000.00 | 1,093.58 | 0.26 |
Signal Shares | 1,000.00 | 1,093.58 | 0.26 |
Institutional Shares | 1,000.00 | 1,093.58 | 0.21 |
ETF Shares | 1,000.00 | 1,093.73 | 0.26 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,024.02 | $0.86 |
Admiral Shares | 1,000.00 | 1,024.61 | 0.25 |
Signal Shares | 1,000.00 | 1,024.61 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.66 | 0.20 |
ETF Shares | 1,000.00 | 1,024.61 | 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, 0.04% 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 Equity Investment 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 Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted 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 (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
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. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
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.
29
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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 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | |
Born 1948. Trustee Since January 2008. Principal | JoAnn Heffernan Heisen |
Occupation(s) During the Past Five Years: Executive | Born 1950. Trustee Since July 1998. Principal |
Chief Staff and Marketing Officer for North America | Occupation(s) During the Past Five Years: Corporate |
and Corporate Vice President (retired 2008) of Xerox | Vice President and Chief Global Diversity Officer |
Corporation (document management products and | (retired 2008) and Member of the Executive |
services); Executive in Residence and 2010 | Committee (1997–2008) of Johnson & Johnson |
Distinguished Minett Professor at the Rochester | (pharmaceuticals/medical devices/consumer |
Institute of Technology; Director of SPX Corporation | products); Director of Skytop Lodge Corporation |
(multi-industry manufacturing), the United Way of | (hotels), the University Medical Center at Princeton, |
Rochester, Amerigroup Corporation (managed health | the Robert Wood Johnson Foundation, and the Center |
care), the University of Rochester Medical Center, | for Talent Innovation; Member of the Advisory Board |
Monroe Community College Foundation, and North | of the Maxwell School of Citizenship and Public Affairs |
Carolina A&T University. | at Syracuse University. |
Rajiv L. Gupta | F. Joseph Loughrey |
Born 1945. Trustee Since December 2001.2 | Born 1949. Trustee Since October 2009. Principal |
Principal Occupation(s) During the Past Five Years: | Occupation(s) During the Past Five Years: President |
Chairman and Chief Executive Officer (retired 2009) | and Chief Operating Officer (retired 2009) of Cummins |
and President (2006–2008) of Rohm Haas Co. | Inc. (industrial machinery); Director of SKF AB |
(chemicals); Director of Tyco International, Ltd. | (industrial machinery), Hillenbrand, Inc. (specialized |
(diversified manufacturing and services), Hewlett- | consumer services), the Lumina Foundation for |
Packard Co. (electronic computer manufacturing), | |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | ||
Industries, Inc. (forklift trucks/housewares/lignite); | Mortimer J. Buckley | Michael S. Miller |
Director of Goodrich Corporation (industrial products/ | Kathleen C. Gubanich | James M. Norris |
aircraft systems and services) and the National | Paul A. Heller | Glenn W. Reed |
Association of Manufacturers; Chairman of the Board | Martha G. King | George U. Sauter |
of the Federal Reserve Bank of Cleveland and of | Chris D. McIsaac | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | Chairman Emeritus and Senior Advisor | |
Peter F. Volanakis | John J. Brennan | |
Born 1955. Trustee Since July 2009. Principal | Chairman, 1996–2009 | |
Occupation(s) During the Past Five Years: President | Chief Executive Officer and President, 1996–2008 | |
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director | Founder | |
of SPX Corporation (multi-industry manufacturing); | ||
Overseer of the Amos Tuck School of Business | John C. Bogle | |
Administration at Dartmouth College; Advisor to the | Chairman and Chief Executive Officer, 1974–1996 | |
Norris Cotton Cancer Center. | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | The funds or securities referred to herein are not |
Direct Investor Account Services > 800-662-2739 | sponsored, endorsed, or promoted by MSCI, and MSCI |
bears no liability with respect to any such funds or | |
Institutional Investor Services > 800-523-1036 | securities. The prospectus or the Statement of |
Text Telephone for People | Additional Information contains a more detailed |
With Hearing Impairment > 800-749-7273 | description of the limited relationship MSCI has with |
Vanguard and any related funds. | |
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. | |
© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q852 082012 |
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.4%)1 | ||
Consumer Discretionary (11.8%) | ||
McDonald's Corp. | 12,907,863 | 1,142,733 |
* Amazon.com Inc. | 4,612,732 | 1,053,317 |
Walt Disney Co. | 21,576,117 | 1,046,442 |
Home Depot Inc. | 19,533,763 | 1,035,094 |
Comcast Corp. Class A | 29,500,291 | 943,124 |
News Corp. Class A | 26,418,753 | 588,874 |
Starbucks Corp. | 9,547,654 | 509,081 |
Time Warner Inc. | 12,287,182 | 473,056 |
Target Corp. | 8,057,220 | 468,850 |
Lowe's Cos. Inc. | 15,726,282 | 447,255 |
Ford Motor Co. | 44,901,318 | 430,604 |
* priceline.com Inc. | 630,958 | 419,284 |
* DIRECTV Class A | 8,568,507 | 418,314 |
NIKE Inc. Class B | 4,675,572 | 410,422 |
TJX Cos. Inc. | 9,558,937 | 410,365 |
Yum! Brands Inc. | 5,832,702 | 375,743 |
Time Warner Cable Inc. | 3,979,037 | 326,679 |
Viacom Inc. Class B | 6,197,683 | 291,415 |
CBS Corp. Class B | 7,672,608 | 251,508 |
Johnson Controls Inc. | 8,623,879 | 238,968 |
Las Vegas Sands Corp. | 5,113,729 | 222,396 |
Coach Inc. | 3,645,761 | 213,204 |
* General Motors Co. | 9,916,557 | 195,554 |
Carnival Corp. | 5,661,994 | 194,037 |
* Bed Bath & Beyond Inc. | 3,068,694 | 189,645 |
Macy's Inc. | 5,275,830 | 181,225 |
Ross Stores Inc. | 2,900,131 | 181,171 |
Omnicom Group Inc. | 3,460,363 | 168,174 |
* AutoZone Inc. | 443,927 | 162,997 |
* Dollar Tree Inc. | 3,014,252 | 162,167 |
* Chipotle Mexican Grill Inc. Class A | 395,854 | 150,405 |
VF Corp. | 1,120,522 | 149,534 |
* Dollar General Corp. | 2,735,094 | 148,762 |
Comcast Corp. | 4,672,805 | 146,726 |
McGraw-Hill Cos. Inc. | 3,168,638 | 142,589 |
Mattel Inc. | 4,292,340 | 139,243 |
Kohl's Corp. | 3,048,685 | 138,685 |
Limited Brands Inc. | 3,189,658 | 135,656 |
* O'Reilly Automotive Inc. | 1,612,999 | 135,121 |
Harley-Davidson Inc. | 2,920,169 | 133,539 |
Marriott International Inc. Class A | 3,382,575 | 132,597 |
Starwood Hotels & Resorts Worldwide Inc. | 2,483,384 | 131,719 |
* Liberty Interactive Corp. Class A | 6,915,987 | 123,035 |
* Liberty Media Corp. - Liberty Capital Class A | 1,362,124 | 119,744 |
Genuine Parts Co. | 1,971,107 | 118,759 |
Staples Inc. | 8,793,147 | 114,751 |
Gap Inc. | 4,019,674 | 109,978 |
Ralph Lauren Corp. Class A | 778,742 | 109,071 |
Wynn Resorts Ltd. | 1,018,778 | 105,668 |
Nordstrom Inc. | 2,107,589 | 104,726 |
Wyndham Worldwide Corp. | 1,853,820 | 97,770 |
* Discovery Communications Inc. Class A | 1,802,849 | 97,354 |
PetSmart Inc. | 1,412,089 | 96,276 |
* BorgWarner Inc. | 1,380,606 | 90,554 |
* Sirius XM Radio Inc. | 47,553,500 | 87,974 |
* Liberty Global Inc. Class A | 1,747,986 | 86,753 |
Tiffany & Co. | 1,607,735 | 85,130 |
Family Dollar Stores Inc. | 1,267,589 | 84,269 |
Darden Restaurants Inc. | 1,651,028 | 83,592 |
Virgin Media Inc. | 3,355,656 | 81,844 |
Best Buy Co. Inc. | 3,833,828 | 80,357 |
1
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* Lululemon Athletica Inc. | 1,272,615 | 75,886 |
DISH Network Corp. Class A | 2,643,581 | 75,474 |
Tractor Supply Co. | 906,293 | 75,277 |
* CarMax Inc. | 2,870,814 | 74,469 |
* Liberty Global Inc. | 1,519,609 | 72,561 |
Ulta Salon Cosmetics & Fragrance Inc. | 756,624 | 70,654 |
* Discovery Communications Inc. | 1,383,703 | 69,310 |
PVH Corp. | 871,272 | 67,776 |
DR Horton Inc. | 3,605,895 | 66,276 |
Scripps Networks Interactive Inc. Class A | 1,165,348 | 66,262 |
Newell Rubbermaid Inc. | 3,646,754 | 66,152 |
Advance Auto Parts Inc. | 922,970 | 62,965 |
Interpublic Group of Cos. Inc. | 5,761,557 | 62,513 |
Autoliv Inc. | 1,131,374 | 61,841 |
H&R Block Inc. | 3,794,869 | 60,642 |
International Game Technology | 3,766,028 | 59,315 |
Whirlpool Corp. | 967,169 | 59,152 |
* LKQ Corp. | 1,769,409 | 59,098 |
Expedia Inc. | 1,224,787 | 58,875 |
Foot Locker Inc. | 1,924,628 | 58,855 |
Dick's Sporting Goods Inc. | 1,224,290 | 58,766 |
Polaris Industries Inc. | 821,184 | 58,698 |
* TripAdvisor Inc. | 1,307,424 | 58,429 |
Garmin Ltd. | 1,474,143 | 56,445 |
* Toll Brothers Inc. | 1,895,759 | 56,361 |
Lennar Corp. Class A | 1,719,901 | 53,162 |
* Apollo Group Inc. Class A | 1,465,822 | 53,048 |
* Sally Beauty Holdings Inc. | 2,047,576 | 52,705 |
* NVR Inc. | 60,916 | 51,779 |
* Mohawk Industries Inc. | 740,144 | 51,684 |
* MGM Resorts International | 4,631,041 | 51,682 |
* Fossil Inc. | 666,696 | 51,029 |
* Panera Bread Co. Class A | 359,183 | 50,084 |
Hasbro Inc. | 1,462,874 | 49,548 |
* TRW Automotive Holdings Corp. | 1,329,377 | 48,868 |
Lear Corp. | 1,282,211 | 48,378 |
Signet Jewelers Ltd. | 1,096,165 | 48,242 |
JC Penney Co. Inc. | 2,043,286 | 47,629 |
* PulteGroup Inc. | 4,349,879 | 46,544 |
Royal Caribbean Cruises Ltd. | 1,785,784 | 46,484 |
* Under Armour Inc. Class A | 485,703 | 45,889 |
* Netflix Inc. | 664,132 | 45,473 |
Gannett Co. Inc. | 2,999,231 | 44,179 |
American Eagle Outfitters Inc. | 2,198,780 | 43,382 |
* Urban Outfitters Inc. | 1,505,558 | 41,538 |
Williams-Sonoma Inc. | 1,169,170 | 40,886 |
Jarden Corp. | 948,386 | 39,851 |
Tupperware Brands Corp. | 718,850 | 39,364 |
Gentex Corp. | 1,816,477 | 37,910 |
* Charter Communications Inc. Class A | 531,517 | 37,669 |
Leggett & Platt Inc. | 1,764,640 | 37,287 |
Abercrombie & Fitch Co. | 1,091,553 | 37,266 |
* Penn National Gaming Inc. | 832,362 | 37,115 |
* Goodyear Tire & Rubber Co. | 3,083,443 | 36,415 |
Service Corp. | 2,846,267 | 35,208 |
Harman International Industries Inc. | 884,951 | 35,044 |
GNC Holdings Inc. Class A | 874,302 | 34,273 |
* Hanesbrands Inc. | 1,230,558 | 34,123 |
Dunkin' Brands Group Inc. | 987,707 | 33,918 |
* Big Lots Inc. | 827,014 | 33,734 |
Cablevision Systems Corp. Class A | 2,537,766 | 33,727 |
* Carter's Inc. | 633,742 | 33,335 |
Brinker International Inc. | 1,009,413 | 32,170 |
2
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
^ | GameStop Corp. Class A | 1,731,693 | 31,794 |
* | Delphi Automotive plc | 1,246,410 | 31,783 |
Chico's FAS Inc. | 2,118,231 | 31,435 | |
* | Ascena Retail Group Inc. | 1,641,385 | 30,563 |
John Wiley & Sons Inc. Class A | 610,304 | 29,899 | |
Cinemark Holdings Inc. | 1,302,548 | 29,763 | |
Six Flags Entertainment Corp. | 548,019 | 29,692 | |
Sotheby's | 852,237 | 28,431 | |
*,^ | Sears Holdings Corp. | 469,011 | 28,000 |
* | Madison Square Garden Co. Class A | 746,943 | 27,966 |
* | Coinstar Inc. | 390,003 | 26,778 |
Guess? Inc. | 877,632 | 26,654 | |
Aaron's Inc. | 909,721 | 25,754 | |
* | Bally Technologies Inc. | 549,816 | 25,654 |
Rent-A-Center Inc. | 758,700 | 25,599 | |
Dillard's Inc. Class A | 399,555 | 25,444 | |
Brunswick Corp. | 1,124,479 | 24,986 | |
Pool Corp. | 602,706 | 24,385 | |
DeVry Inc. | 786,044 | 24,344 | |
Dana Holding Corp. | 1,858,009 | 23,801 | |
* | Life Time Fitness Inc. | 509,975 | 23,719 |
Wolverine World Wide Inc. | 608,696 | 23,605 | |
* | AMC Networks Inc. Class A | 663,578 | 23,590 |
* | Visteon Corp. | 609,724 | 22,865 |
Washington Post Co. Class B | 61,147 | 22,858 | |
Vail Resorts Inc. | 456,032 | 22,838 | |
* | Lamar Advertising Co. Class A | 786,623 | 22,497 |
* | Warnaco Group Inc. | 523,240 | 22,280 |
*,^ | Deckers Outdoor Corp. | 487,238 | 21,443 |
* | Cabela's Inc. | 565,310 | 21,374 |
* | Hyatt Hotels Corp. Class A | 574,989 | 21,367 |
Domino's Pizza Inc. | 689,849 | 21,323 | |
* | Cheesecake Factory Inc. | 666,267 | 21,294 |
Pier 1 Imports Inc. | 1,274,513 | 20,940 | |
DSW Inc. Class A | 383,728 | 20,875 | |
HSN Inc. | 514,622 | 20,765 | |
*,^ | Tesla Motors Inc. | 662,053 | 20,716 |
*,^ | AutoNation Inc. | 583,882 | 20,599 |
* | Tenneco Inc. | 763,023 | 20,464 |
* | Buffalo Wild Wings Inc. | 231,257 | 20,036 |
* | Tempur-Pedic International Inc. | 825,156 | 19,300 |
* | Hibbett Sports Inc. | 334,038 | 19,277 |
Wendy's Co. | 3,998,475 | 18,873 | |
Morningstar Inc. | 317,231 | 18,349 | |
* | Genesco Inc. | 303,619 | 18,263 |
* | Crocs Inc. | 1,129,267 | 18,238 |
* | Vitamin Shoppe Inc. | 331,736 | 18,222 |
* | Aeropostale Inc. | 1,019,362 | 18,175 |
Weight Watchers International Inc. | 349,104 | 18,000 | |
Cracker Barrel Old Country Store Inc. | 280,314 | 17,604 | |
* | Gaylord Entertainment Co. | 451,874 | 17,424 |
Men's Wearhouse Inc. | 616,921 | 17,360 | |
* | Live Nation Entertainment Inc. | 1,885,999 | 17,313 |
* | Express Inc. | 949,459 | 17,252 |
* | ANN Inc. | 663,235 | 16,906 |
MDC Holdings Inc. | 514,005 | 16,793 | |
* | DreamWorks Animation SKG Inc. Class A | 874,990 | 16,677 |
* | Collective Brands Inc. | 764,007 | 16,365 |
Strayer Education Inc. | 149,644 | 16,314 | |
Thor Industries Inc. | 587,612 | 16,106 | |
* | Iconix Brand Group Inc. | 914,814 | 15,982 |
* | Steven Madden Ltd. | 498,427 | 15,825 |
* | Children's Place Retail Stores Inc. | 311,894 | 15,542 |
*,^ | ITT Educational Services Inc. | 250,923 | 15,244 |
3
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Saks Inc. | 1,418,322 | 15,105 |
* | Jack in the Box Inc. | 541,138 | 15,087 |
* | Jos A Bank Clothiers Inc. | 352,614 | 14,972 |
^ | Regal Entertainment Group Class A | 1,078,965 | 14,847 |
Bob Evans Farms Inc. | 364,976 | 14,672 | |
Choice Hotels International Inc. | 366,466 | 14,633 | |
Hillenbrand Inc. | 790,853 | 14,536 | |
Texas Roadhouse Inc. Class A | 788,694 | 14,536 | |
Ryland Group Inc. | 562,757 | 14,395 | |
^ | Meredith Corp. | 449,936 | 14,371 |
^ | Buckle Inc. | 360,325 | 14,258 |
* | Select Comfort Corp. | 672,345 | 14,065 |
* | WMS Industries Inc. | 693,776 | 13,841 |
* | Fifth & Pacific Cos. Inc. | 1,267,582 | 13,601 |
Finish Line Inc. Class A | 640,472 | 13,392 | |
* | Lions Gate Entertainment Corp. | 902,782 | 13,307 |
Group 1 Automotive Inc. | 287,951 | 13,133 | |
Regis Corp. | 729,757 | 13,106 | |
Cooper Tire & Rubber Co. | 745,760 | 13,081 | |
* | New York Times Co. Class A | 1,670,225 | 13,028 |
*,^ | Valassis Communications Inc. | 592,041 | 12,877 |
* | Shutterfly Inc. | 417,787 | 12,822 |
* | Helen of Troy Ltd. | 376,808 | 12,770 |
* | Meritage Homes Corp. | 372,253 | 12,634 |
Monro Muffler Brake Inc. | 368,835 | 12,260 | |
Penske Automotive Group Inc. | 570,172 | 12,110 | |
Arbitron Inc. | 345,888 | 12,106 | |
* | BJ's Restaurants Inc. | 316,776 | 12,037 |
* | Papa John's International Inc. | 249,879 | 11,887 |
* | Francesca's Holdings Corp. | 437,759 | 11,824 |
* | Zumiez Inc. | 294,747 | 11,672 |
Matthews International Corp. Class A | 354,102 | 11,505 | |
* | Orient-Express Hotels Ltd. Class A | 1,284,868 | 10,754 |
National CineMedia Inc. | 705,810 | 10,707 | |
Cato Corp. Class A | 347,228 | 10,577 | |
* | Lumber Liquidators Holdings Inc. | 306,627 | 10,361 |
Jones Group Inc. | 1,045,160 | 9,992 | |
* | Peet's Coffee & Tea Inc. | 165,971 | 9,965 |
* | Grand Canyon Education Inc. | 475,277 | 9,952 |
* | Skechers U.S.A. Inc. Class A | 488,161 | 9,944 |
Scholastic Corp. | 345,899 | 9,741 | |
^ | Sturm Ruger & Co. Inc. | 240,293 | 9,648 |
Churchill Downs Inc. | 162,826 | 9,573 | |
* | Shuffle Master Inc. | 682,476 | 9,418 |
* | American Axle & Manufacturing Holdings Inc. | 887,745 | 9,312 |
CEC Entertainment Inc. | 254,278 | 9,248 | |
Interval Leisure Group Inc. | 483,996 | 9,201 | |
* | Marriott Vacations Worldwide Corp. | 295,152 | 9,144 |
Columbia Sportswear Co. | 170,287 | 9,131 | |
* | Dorman Products Inc. | 361,298 | 9,065 |
^ | KB Home | 914,925 | 8,966 |
* | HomeAway Inc. | 411,168 | 8,939 |
International Speedway Corp. Class A | 335,419 | 8,781 | |
True Religion Apparel Inc. | 298,794 | 8,659 | |
News Corp. Class B | 379,115 | 8,538 | |
* | DineEquity Inc. | 190,559 | 8,507 |
* | Asbury Automotive Group Inc. | 354,875 | 8,407 |
*,^ | K12 Inc. | 358,727 | 8,358 |
* | Standard Pacific Corp. | 1,349,236 | 8,352 |
Stage Stores Inc. | 450,389 | 8,251 | |
* | Steiner Leisure Ltd. | 175,891 | 8,163 |
* | Knology Inc. | 406,100 | 7,988 |
* | La-Z-Boy Inc. | 644,252 | 7,918 |
*,^ | Pandora Media Inc. | 724,266 | 7,873 |
4
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Ascent Capital Group Inc. Class A | 150,082 | 7,767 |
Oxford Industries Inc. | 173,070 | 7,736 | |
* | Biglari Holdings Inc. | 19,735 | 7,625 |
* | Office Depot Inc. | 3,491,819 | 7,542 |
Belo Corp. Class A | 1,155,197 | 7,439 | |
* | Pinnacle Entertainment Inc. | 764,314 | 7,353 |
* | Sonic Corp. | 731,843 | 7,333 |
Ameristar Casinos Inc. | 405,659 | 7,209 | |
Stewart Enterprises Inc. Class A | 995,338 | 7,107 | |
* | American Public Education Inc. | 221,934 | 7,102 |
* | iRobot Corp. | 319,797 | 7,083 |
^ | American Greetings Corp. Class A | 476,267 | 6,963 |
Fred's Inc. Class A | 455,368 | 6,963 | |
* | AFC Enterprises Inc. | 300,596 | 6,956 |
* | Scientific Games Corp. Class A | 812,973 | 6,951 |
* | Drew Industries Inc. | 246,386 | 6,862 |
Brown Shoe Co. Inc. | 531,289 | 6,859 | |
* | LeapFrog Enterprises Inc. | 645,081 | 6,619 |
* | Smith & Wesson Holding Corp. | 792,699 | 6,587 |
Lennar Corp. Class B | 269,794 | 6,483 | |
Sonic Automotive Inc. Class A | 473,533 | 6,473 | |
Pep Boys-Manny Moe & Jack | 652,681 | 6,462 | |
Lithia Motors Inc. Class A | 279,840 | 6,450 | |
* | Capella Education Co. | 183,776 | 6,388 |
Ethan Allen Interiors Inc. | 317,354 | 6,325 | |
*,^ | Barnes & Noble Inc. | 378,910 | 6,237 |
* | Career Education Corp. | 923,295 | 6,177 |
Core-Mark Holding Co. Inc. | 125,397 | 6,037 | |
Sinclair Broadcast Group Inc. Class A | 658,831 | 5,969 | |
* | Denny's Corp. | 1,324,156 | 5,879 |
* | Maidenform Brands Inc. | 291,160 | 5,800 |
* | Arctic Cat Inc. | 158,408 | 5,791 |
Movado Group Inc. | 222,557 | 5,568 | |
*,^ | Bridgepoint Education Inc. | 254,715 | 5,553 |
* | Vera Bradley Inc. | 256,352 | 5,404 |
* | OfficeMax Inc. | 1,056,697 | 5,347 |
Superior Industries International Inc. | 318,032 | 5,206 | |
* | Red Robin Gourmet Burgers Inc. | 168,834 | 5,151 |
Hot Topic Inc. | 529,600 | 5,132 | |
^ | JAKKS Pacific Inc. | 320,386 | 5,129 |
*,^ | Blue Nile Inc. | 171,708 | 5,101 |
* | Ruby Tuesday Inc. | 731,944 | 4,985 |
* | rue21 inc | 196,130 | 4,950 |
* | G-III Apparel Group Ltd. | 208,488 | 4,939 |
* | Boyd Gaming Corp. | 681,940 | 4,910 |
Blyth Inc. | 141,026 | 4,874 | |
Harte-Hanks Inc. | 531,386 | 4,857 | |
^ | RadioShack Corp. | 1,263,705 | 4,853 |
* | Krispy Kreme Doughnuts Inc. | 758,358 | 4,846 |
* | EW Scripps Co. Class A | 499,124 | 4,797 |
* | America's Car-Mart Inc. | 122,441 | 4,757 |
Callaway Golf Co. | 786,703 | 4,649 | |
* | Multimedia Games Holding Co. Inc. | 330,827 | 4,632 |
* | Wet Seal Inc. Class A | 1,379,266 | 4,358 |
* | Conn's Inc. | 276,674 | 4,095 |
* | Amerigon Inc. | 351,976 | 4,044 |
* | Bravo Brio Restaurant Group Inc. | 225,829 | 4,027 |
* | Cavco Industries Inc. | 77,081 | 3,953 |
Universal Technical Institute Inc. | 290,774 | 3,928 | |
* | M/I Homes Inc. | 224,470 | 3,888 |
Nutrisystem Inc. | 322,998 | 3,734 | |
PetMed Express Inc. | 306,044 | 3,721 | |
* | Digital Generation Inc. | 298,520 | 3,693 |
* | Libbey Inc. | 236,670 | 3,638 |
5
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Winnebago Industries Inc. | 356,001 | 3,628 |
Shoe Carnival Inc. | 167,010 | 3,589 | |
* | Modine Manufacturing Co. | 517,553 | 3,587 |
* | Town Sports International Holdings Inc. | 267,977 | 3,561 |
* | Quiksilver Inc. | 1,513,132 | 3,526 |
* | Rentrak Corp. | 170,345 | 3,518 |
*,^ | Hovnanian Enterprises Inc. Class A | 1,207,052 | 3,500 |
* | Fuel Systems Solutions Inc. | 208,065 | 3,473 |
Marcus Corp. | 251,926 | 3,466 | |
* | Federal-Mogul Corp. | 305,532 | 3,361 |
* | Perry Ellis International Inc. | 158,346 | 3,286 |
Standard Motor Products Inc. | 232,293 | 3,271 | |
* | Caribou Coffee Co. Inc. | 250,364 | 3,232 |
Destination Maternity Corp. | 143,632 | 3,102 | |
* | Journal Communications Inc. Class A | 598,089 | 3,086 |
* | Cumulus Media Inc. Class A | 1,012,048 | 3,046 |
Speedway Motorsports Inc. | 174,576 | 2,952 | |
* | Beazer Homes USA Inc. | 907,345 | 2,949 |
Benihana Inc. Class A | 176,863 | 2,849 | |
* | Corinthian Colleges Inc. | 985,420 | 2,848 |
* | Exide Technologies | 846,029 | 2,843 |
Clear Channel Outdoor Holdings Inc. Class A | 467,219 | 2,813 | |
* | Carmike Cinemas Inc. | 188,126 | 2,756 |
* | Citi Trends Inc. | 176,975 | 2,732 |
* | Ruth's Hospitality Group Inc. | 408,771 | 2,698 |
*,^ | Zagg Inc. | 243,945 | 2,661 |
Carriage Services Inc. Class A | 318,247 | 2,648 | |
* | Stein Mart Inc. | 330,604 | 2,628 |
Haverty Furniture Cos. Inc. | 234,118 | 2,615 | |
World Wrestling Entertainment Inc. Class A | 332,286 | 2,598 | |
bebe stores inc | 442,599 | 2,598 | |
* | Black Diamond Inc. | 272,412 | 2,574 |
*,^ | Mattress Firm Holding Corp. | 84,727 | 2,568 |
*,^ | hhgregg Inc. | 227,060 | 2,568 |
* | MarineMax Inc. | 265,823 | 2,528 |
* | Unifi Inc. | 221,250 | 2,507 |
*,^ | Skullcandy Inc. | 176,495 | 2,497 |
* | Fiesta Restaurant Group Inc. | 187,152 | 2,476 |
* | Universal Electronics Inc. | 174,340 | 2,296 |
* | Steinway Musical Instruments Inc. | 93,498 | 2,291 |
* | Systemax Inc. | 188,321 | 2,226 |
* | Talbots Inc. | 873,283 | 2,201 |
* | Tuesday Morning Corp. | 510,965 | 2,192 |
* | Famous Dave's Of America Inc. | 197,918 | 2,187 |
* | West Marine Inc. | 184,315 | 2,166 |
* | Kirkland's Inc. | 189,729 | 2,134 |
Hooker Furniture Corp. | 178,152 | 2,100 | |
* | VOXX International Corp. Class A | 219,863 | 2,049 |
* | Stoneridge Inc. | 299,958 | 2,043 |
CSS Industries Inc. | 98,942 | 2,033 | |
Cherokee Inc. | 145,928 | 2,033 | |
Spartan Motors Inc. | 380,558 | 1,994 | |
* | Geeknet Inc. | 100,443 | 1,991 |
Mac-Gray Corp. | 139,675 | 1,968 | |
* | Casual Male Retail Group Inc. | 523,221 | 1,899 |
Weyco Group Inc. | 81,377 | 1,886 | |
* | Gordmans Stores Inc. | 108,945 | 1,798 |
Big 5 Sporting Goods Corp. | 235,874 | 1,783 | |
* | Fisher Communications Inc. | 58,731 | 1,757 |
* | Body Central Corp. | 191,245 | 1,721 |
* | Saga Communications Inc. Class A | 45,952 | 1,705 |
* | Kenneth Cole Productions Inc. Class A | 108,876 | 1,639 |
* | Teavana Holdings Inc. | 120,954 | 1,636 |
* | Isle of Capri Casinos Inc. | 260,949 | 1,610 |
6
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Luby's Inc. | 236,190 | 1,582 |
* | TravelCenters of America LLC | 311,380 | 1,579 |
Lincoln Educational Services Corp. | 242,095 | 1,574 | |
*,^ | McClatchy Co. Class A | 707,015 | 1,555 |
* | Entercom Communications Corp. Class A | 257,660 | 1,551 |
Bassett Furniture Industries Inc. | 148,869 | 1,535 | |
Winmark Corp. | 25,754 | 1,508 | |
* | Jamba Inc. | 755,929 | 1,482 |
* | Vitacost.com Inc. | 249,808 | 1,474 |
*,^ | Premier Exhibitions Inc. | 536,744 | 1,449 |
*,^ | Overstock.com Inc. | 202,515 | 1,399 |
* | Monarch Casino & Resort Inc. | 153,094 | 1,399 |
Strattec Security Corp. | 65,085 | 1,369 | |
Lifetime Brands Inc. | 106,782 | 1,332 | |
Flexsteel Industries Inc. | 67,252 | 1,330 | |
* | Sealy Corp. | 714,597 | 1,322 |
Superior Uniform Group Inc. | 104,006 | 1,274 | |
Shiloh Industries Inc. | 110,112 | 1,266 | |
*,^ | Daily Journal Corp. | 14,678 | 1,259 |
Einstein Noah Restaurant Group Inc. | 70,579 | 1,239 | |
* | Red Lion Hotels Corp. | 141,270 | 1,222 |
* | MTR Gaming Group Inc. | 255,698 | 1,215 |
* | Johnson Outdoors Inc. Class A | 58,547 | 1,206 |
Frisch's Restaurants Inc. | 41,790 | 1,184 | |
Outdoor Channel Holdings Inc. | 156,925 | 1,147 | |
* | Delta Apparel Inc. | 83,677 | 1,143 |
^ | Martha Stewart Living Omnimedia Class A | 334,904 | 1,139 |
AH Belo Corp. Class A | 282,231 | 1,135 | |
* | Fiesta Restaurant Group Inc. | 187,152 | 1,112 |
* | Zale Corp. | 404,536 | 1,088 |
* | Nautilus Inc. | 325,683 | 1,078 |
* | New York & Co. Inc. | 309,131 | 1,076 |
* | 1-800-Flowers.com Inc. Class A | 307,645 | 1,074 |
Dover Downs Gaming & Entertainment Inc. | 355,462 | 1,070 | |
^ | Bon-Ton Stores Inc. | 136,648 | 1,067 |
* | Morgans Hotel Group Co. | 223,116 | 1,049 |
* | ReachLocal Inc. | 95,269 | 1,048 |
* | Orbitz Worldwide Inc. | 286,229 | 1,045 |
* | Gaiam Inc. Class A | 266,128 | 1,038 |
* | LIN TV Corp. Class A | 341,230 | 1,030 |
*,^ | Pacific Sunwear of California Inc. | 553,850 | 1,014 |
*,^ | Bluegreen Corp. | 200,908 | 996 |
* | Rocky Brands Inc. | 75,295 | 993 |
* | Valuevision Media Inc. Class A | 467,359 | 972 |
* | Reading International Inc. Class A | 177,775 | 962 |
Ambassadors Group Inc. | 172,883 | 940 | |
* | Rick's Cabaret International Inc. | 107,071 | 928 |
* | K-Swiss Inc. Class A | 295,760 | 911 |
* | Stanley Furniture Co. Inc. | 227,672 | 908 |
* | Gray Television Inc. | 602,146 | 885 |
*,^ | Lee Enterprises Inc. | 542,668 | 879 |
* | Joe's Jeans Inc. | 832,167 | 874 |
Marine Products Corp. | 140,705 | 855 | |
* | Cache Inc. | 180,624 | 838 |
* | Build-A-Bear Workshop Inc. | 168,197 | 804 |
* | Nexstar Broadcasting Group Inc. Class A | 118,334 | 798 |
* | Tower International Inc. | 73,247 | 769 |
* | Furniture Brands International Inc. | 613,008 | 760 |
* | Lakes Entertainment Inc. | 260,577 | 756 |
Culp Inc. | 73,700 | 755 | |
National American University Holdings Inc. | 175,287 | 754 | |
Collectors Universe | 51,188 | 751 | |
Entravision Communications Corp. Class A | 611,275 | 740 | |
* | School Specialty Inc. | 219,289 | 715 |
7
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Dex One Corp. | 728,768 | 681 |
* | Navarre Corp. | 416,222 | 662 |
*,^ | Radio One Inc. | 678,120 | 636 |
*,^ | Motorcar Parts of America Inc. | 135,181 | 607 |
* | Learning Tree International Inc. | 138,784 | 606 |
* | Kid Brands Inc. | 298,606 | 597 |
* | Heelys Inc. | 300,234 | 573 |
* | Century Casinos Inc. | 202,361 | 550 |
* | Perfumania Holdings Inc. | 64,655 | 536 |
* | US Auto Parts Network Inc. | 127,515 | 533 |
Escalade Inc. | 93,954 | 520 | |
* | Coldwater Creek Inc. | 920,293 | 502 |
* | Trans World Entertainment Corp. | 160,912 | 499 |
Christopher & Banks Corp. | 408,527 | 482 | |
*,^ | American Apparel Inc. | 542,490 | 465 |
* | dELiA*s Inc. | 299,242 | 464 |
* | Harris Interactive Inc. | 402,259 | 455 |
*,^ | Entertainment Gaming Asia Inc. | 157,269 | 453 |
Salem Communications Corp. Class A | 81,595 | 446 | |
*,^ | Media General Inc. Class A | 93,458 | 431 |
* | Orchard Supply Hardware Stores Corp. Class A | 23,110 | 384 |
* | Dixie Group Inc. | 99,243 | 377 |
* | Cosi Inc. | 517,542 | 368 |
*,^ | LodgeNet Interactive Corp. | 280,561 | 368 |
*,^ | Books-A-Million Inc. | 112,514 | 360 |
* | UQM Technologies Inc. | 401,083 | 349 |
* | Emerson Radio Corp. | 169,085 | 343 |
* | SuperMedia Inc. | 130,556 | 326 |
* | Dover Motorsports Inc. | 236,518 | 307 |
Canterbury Park Holding Corp. | 24,382 | 271 | |
Skyline Corp. | 50,767 | 258 | |
Gaming Partners International Corp. | 41,577 | 255 | |
* | Hastings Entertainment Inc. | 121,119 | 240 |
Duckwall-ALCO Stores Inc. | 25,850 | 226 | |
* | Hollywood Media Corp. | 174,057 | 209 |
*,^ | Empire Resorts Inc. | 108,577 | 201 |
*,^ | Quantum Fuel Systems Technologies Worldwide Inc. | 267,890 | 197 |
* | Cambium Learning Group Inc. | 157,716 | 150 |
* | Hallwood Group Inc. | 12,464 | 124 |
* | Sport Chalet Inc. Class A | 65,485 | 97 |
* | Hovnanian Enterprises Inc. Class B | 19,300 | 56 |
* | Dial Global Inc. | 11,511 | 38 |
*,^ | Universal Travel Group | 42,843 | 29 |
* | Forward Industries Inc. | 14,310 | 25 |
* | SPAR Group Inc. | 16,145 | 19 |
Bowl America Inc. Class A | 664 | 8 | |
* | Sport Chalet Inc. Class B | 1,820 | 3 |
Educational Development Corp. | 281 | 1 | |
Koss Corp. | 100 | 1 | |
22,689,244 | |||
Consumer Staples (9.8%) | |||
Procter & Gamble Co. | 34,906,629 | 2,138,031 | |
Coca-Cola Co. | 25,812,784 | 2,018,302 | |
Philip Morris International Inc. | 21,820,764 | 1,904,080 | |
Wal-Mart Stores Inc. | 23,870,234 | 1,664,233 | |
PepsiCo Inc. | 19,904,285 | 1,406,437 | |
Altria Group Inc. | 25,921,377 | 895,584 | |
Kraft Foods Inc. | 21,284,220 | 821,997 | |
CVS Caremark Corp. | 16,502,932 | 771,182 | |
Colgate-Palmolive Co. | 6,077,125 | 632,629 | |
Costco Wholesale Corp. | 5,511,530 | 523,595 | |
Kimberly-Clark Corp. | 4,988,845 | 417,916 | |
Walgreen Co. | 11,068,752 | 327,414 | |
General Mills Inc. | 8,166,456 | 314,735 |
8
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Archer-Daniels-Midland Co. | 8,381,874 | 247,433 | |
Sysco Corp. | 7,403,484 | 220,698 | |
Lorillard Inc. | 1,672,044 | 220,626 | |
HJ Heinz Co. | 4,051,843 | 220,339 | |
Whole Foods Market Inc. | 2,194,802 | 209,209 | |
Mead Johnson Nutrition Co. | 2,579,672 | 207,689 | |
Reynolds American Inc. | 4,387,216 | 196,854 | |
Estee Lauder Cos. Inc. Class A | 2,987,286 | 161,672 | |
Kroger Co. | 6,914,936 | 160,357 | |
Kellogg Co. | 3,166,153 | 156,186 | |
Hershey Co. | 1,983,766 | 142,891 | |
ConAgra Foods Inc. | 5,227,616 | 135,552 | |
* | Monster Beverage Corp. | 1,876,114 | 133,579 |
Dr Pepper Snapple Group Inc. | 2,687,755 | 117,589 | |
Bunge Ltd. | 1,845,152 | 115,765 | |
Clorox Co. | 1,562,396 | 113,211 | |
Beam Inc. | 1,786,797 | 111,657 | |
JM Smucker Co. | 1,435,586 | 108,415 | |
Coca-Cola Enterprises Inc. | 3,826,525 | 107,296 | |
Brown-Forman Corp. Class B | 1,042,532 | 100,969 | |
Church & Dwight Co. Inc. | 1,804,010 | 100,068 | |
McCormick & Co. Inc. | 1,526,479 | 92,581 | |
Avon Products Inc. | 5,457,335 | 88,463 | |
Campbell Soup Co. | 2,421,463 | 80,828 | |
Molson Coors Brewing Co. Class B | 1,884,750 | 78,424 | |
Tyson Foods Inc. Class A | 3,784,500 | 71,262 | |
Herbalife Ltd. | 1,472,551 | 71,168 | |
* | Energizer Holdings Inc. | 838,872 | 63,125 |
Safeway Inc. | 3,388,810 | 61,507 | |
* | Constellation Brands Inc. Class A | 2,238,874 | 60,584 |
Hormel Foods Corp. | 1,833,365 | 55,771 | |
Ingredion Inc. | 964,684 | 47,771 | |
* | Ralcorp Holdings Inc. | 697,596 | 46,558 |
Hillshire Brands Co. | 1,498,265 | 43,435 | |
* | Smithfield Foods Inc. | 1,937,529 | 41,909 |
* | Dean Foods Co. | 2,325,337 | 39,601 |
* | Green Mountain Coffee Roasters Inc. | 1,659,342 | 36,140 |
Flowers Foods Inc. | 1,547,589 | 35,951 | |
* | United Natural Foods Inc. | 616,449 | 33,818 |
Nu Skin Enterprises Inc. Class A | 718,132 | 33,680 | |
Casey's General Stores Inc. | 481,323 | 28,393 | |
* | TreeHouse Foods Inc. | 454,122 | 28,287 |
* | Hain Celestial Group Inc. | 477,685 | 26,292 |
* | Fresh Market Inc. | 485,893 | 26,058 |
* | Darling International Inc. | 1,482,583 | 24,448 |
Harris Teeter Supermarkets Inc. | 592,237 | 24,276 | |
Lancaster Colony Corp. | 241,276 | 17,181 | |
PriceSmart Inc. | 244,843 | 16,529 | |
B&G Foods Inc. Class A | 612,916 | 16,304 | |
Snyders-Lance Inc. | 600,281 | 15,145 | |
^ | SUPERVALU Inc. | 2,653,109 | 13,743 |
Universal Corp. | 289,890 | 13,431 | |
*,^ | Boston Beer Co. Inc. Class A | 109,189 | 13,212 |
* | Elizabeth Arden Inc. | 332,013 | 12,885 |
* | Rite Aid Corp. | 8,466,402 | 11,853 |
Fresh Del Monte Produce Inc. | 502,967 | 11,805 | |
Sanderson Farms Inc. | 247,884 | 11,358 | |
J&J Snack Foods Corp. | 186,635 | 11,030 | |
* | Post Holdings Inc. | 345,272 | 10,617 |
^ | Vector Group Ltd. | 603,043 | 10,264 |
* | Prestige Brands Holdings Inc. | 627,458 | 9,920 |
WD-40 Co. | 192,015 | 9,564 | |
* | Spectrum Brands Holdings Inc. | 291,436 | 9,492 |
Andersons Inc. | 219,412 | 9,360 |
9
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Cal-Maine Foods Inc. | 176,633 | 6,906 | |
* | Smart Balance Inc. | 727,847 | 6,834 |
Weis Markets Inc. | 148,128 | 6,595 | |
*,^ | Star Scientific Inc. | 1,342,334 | 6,121 |
Tootsie Roll Industries Inc. | 241,618 | 5,765 | |
* | Pilgrim's Pride Corp. | 798,990 | 5,713 |
Coca-Cola Bottling Co. Consolidated | 81,568 | 5,243 | |
* | Susser Holdings Corp. | 138,823 | 5,160 |
Spartan Stores Inc. | 284,109 | 5,151 | |
^ | Diamond Foods Inc. | 272,547 | 4,862 |
* | Central Garden and Pet Co. Class A | 437,183 | 4,761 |
*,^ | Dole Food Co. Inc. | 494,841 | 4,345 |
* | Pantry Inc. | 282,012 | 4,146 |
* | USANA Health Sciences Inc. | 95,724 | 3,936 |
Nash Finch Co. | 169,982 | 3,651 | |
Calavo Growers Inc. | 141,396 | 3,617 | |
* | Alliance One International Inc. | 1,007,035 | 3,484 |
Inter Parfums Inc. | 201,006 | 3,471 | |
* | Medifast Inc. | 171,495 | 3,375 |
* | Schiff Nutrition International Inc. | 164,352 | 2,950 |
Village Super Market Inc. Class A | 86,219 | 2,809 | |
* | Chiquita Brands International Inc. | 554,928 | 2,775 |
* | John B Sanfilippo & Son Inc. | 151,594 | 2,706 |
* | Revlon Inc. Class A | 190,018 | 2,704 |
* | Chefs' Warehouse Inc. | 137,929 | 2,490 |
*,^ | Central European Distribution Corp. | 819,306 | 2,343 |
* | Central Garden and Pet Co. | 224,066 | 2,326 |
* | Nutraceutical International Corp. | 147,820 | 2,254 |
Nature's Sunshine Products Inc. | 146,981 | 2,219 | |
* | Seneca Foods Corp. Class A | 80,487 | 2,165 |
Oil-Dri Corp. of America | 95,706 | 2,096 | |
* | National Beverage Corp. | 134,438 | 2,009 |
* | Physicians Formula Holdings Inc. | 552,379 | 1,928 |
Ingles Markets Inc. Class A | 120,077 | 1,925 | |
DE Master Blenders | 155,841 | 1,757 | |
* | Inventure Foods Inc. | 272,619 | 1,718 |
^ | Limoneira Co. | 104,815 | 1,700 |
* | Omega Protein Corp. | 221,132 | 1,628 |
Alico Inc. | 43,345 | 1,324 | |
Female Health Co. | 220,807 | 1,296 | |
Orchids Paper Products Co. | 69,151 | 1,223 | |
Lifeway Foods Inc. | 95,840 | 994 | |
Griffin Land & Nurseries Inc. | 29,103 | 815 | |
* | Overhill Farms Inc. | 180,429 | 707 |
* | Craft Brew Alliance Inc. | 86,417 | 707 |
* | Farmer Bros Co. | 66,419 | 529 |
MGP Ingredients Inc. | 91,833 | 295 | |
Reliv International Inc. | 146,638 | 235 | |
*,^ | Primo Water Corp. | 178,443 | 198 |
* | Mannatech Inc. | 21,837 | 151 |
* | Jones Soda Co. | 179,030 | 57 |
* | Crystal Rock Holdings Inc. | 32,920 | 34 |
* | Bridgford Foods Corp. | 200 | 2 |
18,732,418 | |||
Energy (10.0%) | |||
Exxon Mobil Corp. | 59,734,064 | 5,111,444 | |
Chevron Corp. | 25,053,497 | 2,643,144 | |
Schlumberger Ltd. | 16,909,397 | 1,097,589 | |
Occidental Petroleum Corp. | 10,277,209 | 881,476 | |
ConocoPhillips | 15,404,726 | 860,816 | |
Apache Corp. | 4,870,129 | 428,036 | |
Anadarko Petroleum Corp. | 6,315,304 | 418,073 | |
National Oilwell Varco Inc. | 5,375,655 | 346,407 | |
Halliburton Co. | 11,656,895 | 330,939 |
10
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
EOG Resources Inc. | 3,408,881 | 307,174 | |
Devon Energy Corp. | 4,863,259 | 282,020 | |
* | Phillips 66 | 7,989,434 | 265,569 |
Spectra Energy Corp. | 8,248,997 | 239,716 | |
Marathon Oil Corp. | 8,914,086 | 227,933 | |
Baker Hughes Inc. | 5,543,477 | 227,837 | |
Williams Cos. Inc. | 7,500,935 | 216,177 | |
Marathon Petroleum Corp. | 4,403,238 | 197,793 | |
Kinder Morgan Inc. | 6,071,619 | 195,628 | |
Noble Energy Inc. | 2,240,877 | 190,071 | |
Valero Energy Corp. | 7,031,893 | 169,820 | |
Hess Corp. | 3,874,619 | 168,352 | |
Chesapeake Energy Corp. | 8,388,539 | 156,027 | |
* | Southwestern Energy Co. | 4,419,535 | 141,116 |
* | Cameron International Corp. | 3,115,175 | 133,049 |
Pioneer Natural Resources Co. | 1,482,887 | 130,805 | |
Range Resources Corp. | 2,048,400 | 126,734 | |
* | Weatherford International Ltd. | 9,596,834 | 121,208 |
* | FMC Technologies Inc. | 3,027,668 | 118,775 |
Murphy Oil Corp. | 2,332,503 | 117,302 | |
* | Concho Resources Inc. | 1,247,691 | 106,203 |
Cabot Oil & Gas Corp. | 2,657,365 | 104,700 | |
Noble Corp. | 3,189,891 | 103,767 | |
EQT Corp. | 1,896,151 | 101,691 | |
HollyFrontier Corp. | 2,505,579 | 88,773 | |
CONSOL Energy Inc. | 2,877,097 | 87,003 | |
Peabody Energy Corp. | 3,447,582 | 84,535 | |
* | Kinder Morgan Management LLC | 1,141,057 | 83,776 |
* | Denbury Resources Inc. | 4,935,803 | 74,580 |
Core Laboratories NV | 603,138 | 69,904 | |
QEP Resources Inc. | 2,243,901 | 67,250 | |
Oceaneering International Inc. | 1,368,154 | 65,480 | |
Sunoco Inc. | 1,352,920 | 64,264 | |
* | Whiting Petroleum Corp. | 1,487,613 | 61,171 |
Cimarex Energy Co. | 1,085,724 | 59,845 | |
Helmerich & Payne Inc. | 1,355,633 | 58,943 | |
* | Plains Exploration & Production Co. | 1,618,378 | 56,934 |
* | Cobalt International Energy Inc. | 2,324,295 | 54,621 |
* | Nabors Industries Ltd. | 3,643,721 | 52,470 |
Diamond Offshore Drilling Inc. | 880,676 | 52,074 | |
* | Rowan Cos. plc Class A | 1,565,913 | 50,626 |
* | Newfield Exploration Co. | 1,703,208 | 49,921 |
*,^ | Ultra Petroleum Corp. | 1,927,716 | 44,472 |
* | Tesoro Corp. | 1,776,352 | 44,338 |
* | Oil States International Inc. | 652,481 | 43,194 |
* | Dresser-Rand Group Inc. | 951,547 | 42,382 |
Energen Corp. | 909,501 | 41,046 | |
* | WPX Energy Inc. | 2,505,315 | 40,536 |
* | Superior Energy Services Inc. | 1,987,973 | 40,217 |
SM Energy Co. | 808,435 | 39,702 | |
* | Continental Resources Inc. | 570,228 | 37,989 |
World Fuel Services Corp. | 896,857 | 34,107 | |
* | McDermott International Inc. | 2,968,684 | 33,071 |
* | SandRidge Energy Inc. | 4,644,063 | 31,069 |
Tidewater Inc. | 647,813 | 30,033 | |
Patterson-UTI Energy Inc. | 1,964,110 | 28,597 | |
* | Dril-Quip Inc. | 431,114 | 28,277 |
* | Cheniere Energy Inc. | 1,906,895 | 28,108 |
* | Atwood Oceanics Inc. | 738,740 | 27,954 |
* | Kodiak Oil & Gas Corp. | 3,321,911 | 27,273 |
Energy XXI Bermuda Ltd. | 858,240 | 26,854 | |
* | Rosetta Resources Inc. | 671,582 | 24,607 |
* | Alpha Natural Resources Inc. | 2,773,616 | 24,158 |
Berry Petroleum Co. Class A | 591,932 | 23,476 |
11
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | SEACOR Holdings Inc. | 257,003 | 22,971 |
Lufkin Industries Inc. | 418,242 | 22,719 | |
* | Oasis Petroleum Inc. | 932,243 | 22,542 |
* | Helix Energy Solutions Group Inc. | 1,270,528 | 20,849 |
* | Unit Corp. | 546,296 | 20,153 |
^ | CARBO Ceramics Inc. | 260,579 | 19,994 |
Arch Coal Inc. | 2,681,297 | 18,474 | |
Bristow Group Inc. | 450,503 | 18,322 | |
* | Gran Tierra Energy Inc. | 3,493,801 | 17,155 |
*,^ | McMoRan Exploration Co. | 1,312,372 | 16,628 |
Western Refining Inc. | 744,370 | 16,577 | |
* | Hornbeck Offshore Services Inc. | 421,003 | 16,326 |
Targa Resources Corp. | 371,897 | 15,880 | |
* | SemGroup Corp. Class A | 474,908 | 15,164 |
* | Stone Energy Corp. | 585,140 | 14,827 |
* | Key Energy Services Inc. | 1,799,603 | 13,677 |
*,^ | Clean Energy Fuels Corp. | 857,908 | 13,298 |
Enbridge Energy Management LLC | 412,520 | 13,188 | |
* | Cloud Peak Energy Inc. | 770,649 | 13,032 |
* | Bill Barrett Corp. | 601,690 | 12,888 |
^ | EXCO Resources Inc. | 1,637,748 | 12,430 |
* | Gulfport Energy Corp. | 595,508 | 12,285 |
* | Northern Oil and Gas Inc. | 758,956 | 12,098 |
* | Carrizo Oil & Gas Inc. | 465,200 | 10,937 |
* | Forest Oil Corp. | 1,458,273 | 10,689 |
* | ION Geophysical Corp. | 1,573,602 | 10,370 |
* | Gulfmark Offshore Inc. | 303,084 | 10,317 |
* | Swift Energy Co. | 529,318 | 9,851 |
^ | RPC Inc. | 825,838 | 9,819 |
* | Contango Oil & Gas Co. | 163,903 | 9,703 |
* | Exterran Holdings Inc. | 757,068 | 9,653 |
*,^ | C&J Energy Services Inc. | 521,381 | 9,646 |
* | GeoResources Inc. | 258,759 | 9,473 |
* | Comstock Resources Inc. | 574,050 | 9,426 |
* | PDC Energy Inc. | 375,292 | 9,202 |
* | Approach Resources Inc. | 322,937 | 8,248 |
* | Magnum Hunter Resources Corp. | 1,961,515 | 8,199 |
*,^ | Halcon Resources Corp. | 814,465 | 7,689 |
Crosstex Energy Inc. | 521,340 | 7,299 | |
W&T Offshore Inc. | 454,884 | 6,960 | |
* | TETRA Technologies Inc. | 956,316 | 6,818 |
* | Newpark Resources Inc. | 1,152,361 | 6,799 |
* | OYO Geospace Corp. | 75,019 | 6,751 |
* | Laredo Petroleum Holdings Inc. | 321,570 | 6,689 |
* | Parker Drilling Co. | 1,479,303 | 6,672 |
*,^ | Quicksilver Resources Inc. | 1,163,649 | 6,307 |
* | Pioneer Drilling Co. | 781,527 | 6,229 |
* | Energy Partners Ltd. | 368,526 | 6,228 |
* | Rex Energy Corp. | 544,446 | 6,103 |
* | Hercules Offshore Inc. | 1,648,775 | 5,837 |
* | CVR Energy Inc. | 219,013 | 5,821 |
* | Resolute Energy Corp. | 602,701 | 5,768 |
* | Vaalco Energy Inc. | 665,752 | 5,745 |
* | Rentech Inc. | 2,775,713 | 5,718 |
* | Heckmann Corp. | 1,681,618 | 5,684 |
* | Tesco Corp. | 421,119 | 5,053 |
*,^ | Solazyme Inc. | 362,903 | 5,044 |
Gulf Island Fabrication Inc. | 174,920 | 4,934 | |
* | Clayton Williams Energy Inc. | 98,031 | 4,743 |
*,^ | Goodrich Petroleum Corp. | 330,265 | 4,577 |
*,^ | Endeavour International Corp. | 516,417 | 4,338 |
* | PHI Inc. | 150,992 | 4,199 |
Penn Virginia Corp. | 561,659 | 4,123 | |
Overseas Shipholding Group Inc. | 351,543 | 3,906 |
12
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Basic Energy Services Inc. | 369,889 | 3,817 |
* | FX Energy Inc. | 631,324 | 3,756 |
* | Petroquest Energy Inc. | 748,896 | 3,744 |
* | Venoco Inc. | 372,985 | 3,734 |
* | Willbros Group Inc. | 560,916 | 3,623 |
* | Matrix Service Co. | 313,145 | 3,554 |
* | Harvest Natural Resources Inc. | 414,704 | 3,546 |
* | Cal Dive International Inc. | 1,194,184 | 3,463 |
* | Abraxas Petroleum Corp. | 1,033,800 | 3,298 |
* | Sanchez Energy Corp. | 151,778 | 3,157 |
* | Vantage Drilling Co. | 2,053,429 | 3,080 |
* | Triangle Petroleum Corp. | 531,820 | 2,968 |
Panhandle Oil and Gas Inc. Class A | 97,665 | 2,944 | |
*,^ | BPZ Resources Inc. | 1,112,033 | 2,813 |
* | Lone Pine Resources Inc. | 998,013 | 2,744 |
* | TransAtlantic Petroleum Ltd. | 2,426,615 | 2,621 |
* | Callon Petroleum Co. | 586,084 | 2,497 |
* | Bonanza Creek Energy Inc. | 148,829 | 2,475 |
Bolt Technology Corp. | 164,548 | 2,470 | |
Delek US Holdings Inc. | 139,145 | 2,448 | |
* | Crimson Exploration Inc. | 528,252 | 2,425 |
* | Mitcham Industries Inc. | 142,780 | 2,423 |
* | REX American Resources Corp. | 119,191 | 2,327 |
* | Warren Resources Inc. | 914,040 | 2,194 |
* | Dawson Geophysical Co. | 91,848 | 2,188 |
* | Natural Gas Services Group Inc. | 141,975 | 2,104 |
Apco Oil and Gas International Inc. | 115,012 | 2,076 | |
*,^ | Uranium Energy Corp. | 881,659 | 2,019 |
* | Green Plains Renewable Energy Inc. | 306,386 | 1,912 |
*,^ | ATP Oil & Gas Corp. | 560,613 | 1,895 |
*,^ | USEC Inc. | 1,756,889 | 1,739 |
*,^ | Miller Energy Resources Inc. | 336,956 | 1,685 |
* | TGC Industries Inc. | 171,271 | 1,663 |
* | Evolution Petroleum Corp. | 198,386 | 1,655 |
Alon USA Energy Inc. | 187,678 | 1,588 | |
* | CREDO Petroleum Corp. | 107,871 | 1,561 |
*,^ | Hyperdynamics Corp. | 1,843,386 | 1,545 |
*,^ | Amyris Inc. | 330,364 | 1,463 |
* | Global Geophysical Services Inc. | 227,518 | 1,392 |
*,^ | James River Coal Co. | 499,937 | 1,355 |
*,^ | Patriot Coal Corp. | 1,102,279 | 1,345 |
* | RigNet Inc. | 77,315 | 1,344 |
*,^ | Isramco Inc. | 11,810 | 1,299 |
* | ZaZa Energy Corp. | 284,016 | 1,284 |
* | Gastar Exploration Ltd. | 654,733 | 1,264 |
* | Westmoreland Coal Co. | 144,386 | 1,162 |
*,^ | Uranerz Energy Corp. | 786,052 | 1,140 |
Adams Resources & Energy Inc. | 25,851 | 1,084 | |
*,^ | Gevo Inc. | 205,633 | 1,022 |
* | Double Eagle Petroleum Co. | 220,979 | 968 |
*,^ | KiOR Inc. | 99,734 | 893 |
* | Syntroleum Corp. | 1,258,283 | 849 |
* | Union Drilling Inc. | 183,171 | 821 |
*,^ | Uranium Resources Inc. | 1,226,138 | 760 |
* | US Energy Corp. Wyoming | 321,367 | 758 |
* | CAMAC Energy Inc. | 1,026,240 | 646 |
* | Verenium Corp. | 176,670 | 553 |
*,^ | Saratoga Resources Inc. | 86,184 | 507 |
*,^ | GMX Resources Inc. | 587,108 | 476 |
* | ENGlobal Corp. | 223,251 | 335 |
*,^ | Houston American Energy Corp. | 221,330 | 248 |
* | GeoGlobal Resources Inc. | 609,855 | 232 |
* | Gasco Energy Inc. | 1,247,812 | 218 |
* | Barnwell Industries Inc. | 69,987 | 208 |
13
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | HKN Inc. | 78,778 | 187 |
* | Oilsands Quest Inc. | 3,745,176 | 159 |
* | PrimeEnergy Corp. | 3,540 | 94 |
* | GreenHunter Energy Inc. | 36,142 | 74 |
* | GeoMet Inc. | 107,708 | 34 |
* | PostRock Energy Corp. | 19,109 | 30 |
*,^ | Geokinetics Inc. | 42,606 | 12 |
*,^ | Cubic Energy Inc. | 26,705 | 11 |
18,984,043 | |||
Financials (15.3%) | |||
Wells Fargo & Co. | 63,486,618 | 2,122,993 | |
JPMorgan Chase & Co. | 48,154,586 | 1,720,563 | |
Bank of America Corp. | 136,011,959 | 1,112,578 | |
Citigroup Inc. | 37,114,908 | 1,017,320 | |
* | Berkshire Hathaway Inc. Class B | 10,310,044 | 859,136 |
US Bancorp | 24,214,035 | 778,723 | |
American Express Co. | 13,302,720 | 774,351 | |
Simon Property Group Inc. | 3,772,961 | 587,299 | |
Goldman Sachs Group Inc. | 5,956,801 | 571,019 | |
PNC Financial Services Group Inc. | 6,684,731 | 408,504 | |
American Tower Corporation | 4,989,074 | 348,786 | |
Capital One Financial Corp. | 6,314,580 | 345,155 | |
Bank of New York Mellon Corp. | 15,266,581 | 335,101 | |
MetLife Inc. | 10,746,054 | 331,516 | |
Travelers Cos. Inc. | 4,979,602 | 317,898 | |
ACE Ltd. | 4,271,254 | 316,628 | |
Prudential Financial Inc. | 5,928,852 | 287,134 | |
BlackRock Inc. | 1,675,880 | 284,598 | |
State Street Corp. | 6,180,390 | 275,893 | |
Morgan Stanley | 18,799,924 | 274,291 | |
BB&T Corp. | 8,832,427 | 272,480 | |
Public Storage | 1,844,525 | 266,368 | |
Aflac Inc. | 5,917,367 | 252,021 | |
Chubb Corp. | 3,434,832 | 250,124 | |
* | American International Group Inc. | 7,663,560 | 245,924 |
Equity Residential | 3,803,083 | 237,160 | |
Discover Financial Services | 6,713,343 | 232,147 | |
Ventas Inc. | 3,659,372 | 230,980 | |
HCP Inc. | 5,187,393 | 229,023 | |
Allstate Corp. | 6,338,949 | 222,434 | |
Marsh & McLennan Cos. Inc. | 6,883,482 | 221,855 | |
CME Group Inc. | 799,339 | 214,311 | |
Franklin Resources Inc. | 1,914,675 | 212,510 | |
Annaly Capital Management Inc. | 12,289,938 | 206,225 | |
Boston Properties Inc. | 1,878,378 | 203,560 | |
T. Rowe Price Group Inc. | 3,211,433 | 202,192 | |
Prologis Inc. | 5,815,012 | 193,233 | |
Aon plc | 3,912,480 | 183,026 | |
Vornado Realty Trust | 2,109,286 | 177,138 | |
Charles Schwab Corp. | 13,684,427 | 176,940 | |
AvalonBay Communities Inc. | 1,205,728 | 170,586 | |
SunTrust Banks Inc. | 6,790,953 | 164,545 | |
Loews Corp. | 4,019,841 | 164,452 | |
Fifth Third Bancorp | 11,647,103 | 156,071 | |
Health Care REIT Inc. | 2,662,589 | 155,229 | |
Progressive Corp. | 7,357,973 | 153,267 | |
Weyerhaeuser Co. | 6,796,920 | 151,979 | |
Ameriprise Financial Inc. | 2,834,492 | 148,131 | |
Host Hotels & Resorts Inc. | 8,959,817 | 141,744 | |
American Capital Agency Corp. | 3,799,227 | 127,692 | |
Invesco Ltd. | 5,649,992 | 127,690 | |
Northern Trust Corp. | 2,749,762 | 126,544 |
14
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* IntercontinentalExchange Inc. | 918,995 | 124,965 |
Regions Financial Corp. | 17,888,256 | 120,746 |
M&T Bank Corp. | 1,441,386 | 119,015 |
Digital Realty Trust Inc. | 1,523,280 | 114,353 |
* Berkshire Hathaway Inc. Class A | 826 | 103,205 |
Principal Financial Group Inc. | 3,817,751 | 100,140 |
Macerich Co. | 1,669,480 | 98,583 |
Kimco Realty Corp. | 5,147,755 | 97,962 |
General Growth Properties Inc. | 5,341,343 | 96,625 |
Hartford Financial Services Group Inc. | 5,310,120 | 93,617 |
KeyCorp | 12,068,395 | 93,409 |
Moody's Corp. | 2,540,439 | 92,853 |
SL Green Realty Corp. | 1,094,308 | 87,807 |
* CIT Group Inc. | 2,413,659 | 86,023 |
UDR Inc. | 3,317,479 | 85,724 |
XL Group plc Class A | 4,014,008 | 84,455 |
Federal Realty Investment Trust | 806,569 | 83,956 |
NYSE Euronext | 3,280,897 | 83,925 |
Lincoln National Corp. | 3,743,152 | 81,863 |
Plum Creek Timber Co. Inc. | 2,041,735 | 81,057 |
Willis Group Holdings plc | 2,206,028 | 80,498 |
Comerica Inc. | 2,499,729 | 76,767 |
Cincinnati Financial Corp. | 1,950,037 | 74,238 |
* Affiliated Managers Group Inc. | 655,867 | 71,785 |
Realty Income Corp. | 1,688,392 | 70,524 |
Unum Group | 3,680,336 | 70,405 |
Everest Re Group Ltd. | 679,671 | 70,339 |
Huntington Bancshares Inc. | 10,946,451 | 70,057 |
Rayonier Inc. | 1,549,251 | 69,561 |
New York Community Bancorp Inc. | 5,535,877 | 69,365 |
Essex Property Trust Inc. | 440,669 | 67,828 |
Camden Property Trust | 998,454 | 67,565 |
* Arch Capital Group Ltd. | 1,699,566 | 67,456 |
Torchmark Corp. | 1,277,805 | 64,593 |
* CBRE Group Inc. Class A | 3,943,277 | 64,512 |
PartnerRe Ltd. | 827,527 | 62,619 |
WR Berkley Corp. | 1,481,583 | 57,663 |
Alexandria Real Estate Equities Inc. | 783,467 | 56,974 |
Taubman Centers Inc. | 735,271 | 56,734 |
Leucadia National Corp. | 2,632,823 | 56,000 |
* Alleghany Corp. | 160,373 | 54,487 |
Liberty Property Trust | 1,471,202 | 54,199 |
Regency Centers Corp. | 1,139,285 | 54,196 |
SLM Corp. | 3,442,209 | 54,077 |
People's United Financial Inc. | 4,552,222 | 52,851 |
* MSCI Inc. Class A | 1,538,036 | 52,324 |
Arthur J Gallagher & Co. | 1,481,335 | 51,950 |
* Markel Corp. | 115,546 | 51,037 |
Raymond James Financial Inc. | 1,461,726 | 50,050 |
Fidelity National Financial Inc. Class A | 2,587,782 | 49,841 |
Axis Capital Holdings Ltd. | 1,525,188 | 49,645 |
RenaissanceRe Holdings Ltd. | 651,871 | 49,549 |
Reinsurance Group of America Inc. Class A | 927,168 | 49,335 |
Apartment Investment & Management Co. Class A | 1,824,598 | 49,319 |
Duke Realty Corp. | 3,273,254 | 47,920 |
BRE Properties Inc. | 951,705 | 47,604 |
TD Ameritrade Holding Corp. | 2,768,426 | 47,063 |
Senior Housing Properties Trust | 2,051,542 | 45,790 |
Zions Bancorporation | 2,323,025 | 45,113 |
Ares Capital Corp. | 2,795,575 | 44,617 |
East West Bancorp Inc. | 1,879,012 | 44,082 |
* American Capital Ltd. | 4,319,271 | 43,495 |
Legg Mason Inc. | 1,645,894 | 43,402 |
HCC Insurance Holdings Inc. | 1,354,681 | 42,537 |
15
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
American Campus Communities Inc. | 942,585 | 42,397 |
Brown & Brown Inc. | 1,536,108 | 41,890 |
Kilroy Realty Corp. | 861,957 | 41,727 |
DDR Corp. | 2,797,961 | 40,962 |
Cullen/Frost Bankers Inc. | 695,811 | 40,002 |
Assurant Inc. | 1,140,296 | 39,728 |
Eaton Vance Corp. | 1,462,796 | 39,422 |
Jones Lang LaSalle Inc. | 550,112 | 38,711 |
* First Republic Bank | 1,151,558 | 38,692 |
Douglas Emmett Inc. | 1,674,267 | 38,676 |
Hospitality Properties Trust | 1,561,370 | 38,675 |
Hudson City Bancorp Inc. | 5,988,480 | 38,147 |
Weingarten Realty Investors | 1,447,422 | 38,125 |
Piedmont Office Realty Trust Inc. Class A | 2,181,438 | 37,543 |
Home Properties Inc. | 609,832 | 37,419 |
Extra Space Storage Inc. | 1,222,836 | 37,419 |
White Mountains Insurance Group Ltd. | 71,252 | 37,176 |
NASDAQ OMX Group Inc. | 1,639,267 | 37,162 |
Allied World Assurance Co. Holdings AG | 465,665 | 37,006 |
National Retail Properties Inc. | 1,302,526 | 36,848 |
Tanger Factory Outlet Centers | 1,147,311 | 36,771 |
Commerce Bancshares Inc. | 967,917 | 36,684 |
American Financial Group Inc. | 928,280 | 36,416 |
BioMed Realty Trust Inc. | 1,944,183 | 36,317 |
SEI Investments Co. | 1,789,799 | 35,599 |
* Signature Bank | 582,439 | 35,511 |
MFA Financial Inc. | 4,498,353 | 35,492 |
Mid-America Apartment Communities Inc. | 514,021 | 35,077 |
* Genworth Financial Inc. Class A | 6,193,314 | 35,054 |
CBL & Associates Properties Inc. | 1,776,784 | 34,718 |
Hatteras Financial Corp. | 1,199,235 | 34,298 |
Equity Lifestyle Properties Inc. | 495,875 | 34,201 |
First Niagara Financial Group Inc. | 4,445,989 | 34,012 |
Post Properties Inc. | 671,018 | 32,846 |
ProAssurance Corp. | 366,938 | 32,691 |
Waddell & Reed Financial Inc. Class A | 1,079,298 | 32,681 |
* SVB Financial Group | 549,313 | 32,256 |
Mack-Cali Realty Corp. | 1,105,817 | 32,146 |
LaSalle Hotel Properties | 1,079,487 | 31,456 |
CBOE Holdings Inc. | 1,122,231 | 31,063 |
Hancock Holding Co. | 1,014,599 | 30,884 |
Highwoods Properties Inc. | 915,734 | 30,814 |
Chimera Investment Corp. | 12,955,485 | 30,575 |
Starwood Property Trust Inc. | 1,429,088 | 30,454 |
Protective Life Corp. | 1,035,480 | 30,453 |
Omega Healthcare Investors Inc. | 1,308,143 | 29,433 |
City National Corp. | 604,957 | 29,389 |
Assured Guaranty Ltd. | 2,068,358 | 29,164 |
Associated Banc-Corp | 2,203,078 | 29,059 |
* E*TRADE Financial Corp. | 3,571,589 | 28,716 |
First Horizon National Corp. | 3,294,096 | 28,494 |
Two Harbors Investment Corp. | 2,699,390 | 27,966 |
Invesco Mortgage Capital Inc. | 1,457,003 | 26,721 |
Bank of Hawaii Corp. | 579,837 | 26,644 |
Erie Indemnity Co. Class A | 362,913 | 25,988 |
Aspen Insurance Holdings Ltd. | 894,308 | 25,846 |
^ Federated Investors Inc. Class B | 1,179,296 | 25,768 |
Old Republic International Corp. | 3,074,320 | 25,486 |
Fulton Financial Corp. | 2,535,857 | 25,333 |
Capitol Federal Financial Inc. | 2,120,437 | 25,191 |
Valley National Bancorp | 2,364,584 | 25,065 |
* Ocwen Financial Corp. | 1,313,695 | 24,671 |
Validus Holdings Ltd. | 763,712 | 24,462 |
Entertainment Properties Trust | 591,010 | 24,296 |
16
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Prosperity Bancshares Inc. | 567,516 | 23,853 | |
CNO Financial Group Inc. | 3,057,652 | 23,850 | |
Washington REIT | 837,893 | 23,838 | |
* | Forest City Enterprises Inc. Class A | 1,614,848 | 23,577 |
LPL Financial Holdings Inc. | 697,494 | 23,554 | |
Healthcare Realty Trust Inc. | 984,191 | 23,463 | |
Colonial Properties Trust | 1,055,553 | 23,370 | |
Susquehanna Bancshares Inc. | 2,252,319 | 23,199 | |
Washington Federal Inc. | 1,358,801 | 22,950 | |
FirstMerit Corp. | 1,378,898 | 22,779 | |
DuPont Fabros Technology Inc. | 793,017 | 22,649 | |
First American Financial Corp. | 1,315,754 | 22,315 | |
Brandywine Realty Trust | 1,803,685 | 22,257 | |
TCF Financial Corp. | 1,938,128 | 22,250 | |
* | Howard Hughes Corp. | 359,481 | 22,158 |
Hanover Insurance Group Inc. | 564,615 | 22,093 | |
Jefferies Group Inc. | 1,688,330 | 21,931 | |
RLJ Lodging Trust | 1,209,112 | 21,921 | |
DiamondRock Hospitality Co. | 2,121,264 | 21,637 | |
* | Popular Inc. | 1,297,800 | 21,556 |
Corporate Office Properties Trust | 908,605 | 21,361 | |
CapitalSource Inc. | 3,177,670 | 21,354 | |
Alterra Capital Holdings Ltd. | 908,243 | 21,207 | |
UMB Financial Corp. | 410,312 | 21,020 | |
StanCorp Financial Group Inc. | 561,690 | 20,872 | |
Endurance Specialty Holdings Ltd. | 541,531 | 20,751 | |
BOK Financial Corp. | 352,486 | 20,515 | |
Webster Financial Corp. | 941,198 | 20,386 | |
CommonWealth REIT | 1,053,770 | 20,148 | |
* | Stifel Financial Corp. | 646,280 | 19,970 |
Kemper Corp. | 648,828 | 19,951 | |
*,^ | MBIA Inc. | 1,826,538 | 19,745 |
DCT Industrial Trust Inc. | 3,123,883 | 19,680 | |
CYS Investments Inc. | 1,412,294 | 19,447 | |
Synovus Financial Corp. | 9,814,475 | 19,433 | |
* | Texas Capital Bancshares Inc. | 474,859 | 19,180 |
Apollo Investment Corp. | 2,496,754 | 19,175 | |
FNB Corp. | 1,763,063 | 19,165 | |
Trustmark Corp. | 770,921 | 18,872 | |
* | Sunstone Hotel Investors Inc. | 1,716,439 | 18,864 |
Umpqua Holdings Corp. | 1,426,613 | 18,774 | |
EastGroup Properties Inc. | 352,094 | 18,767 | |
Janus Capital Group Inc. | 2,375,727 | 18,578 | |
Iberiabank Corp. | 367,586 | 18,545 | |
Sovran Self Storage Inc. | 362,878 | 18,177 | |
Platinum Underwriters Holdings Ltd. | 465,691 | 17,743 | |
Glimcher Realty Trust | 1,726,380 | 17,644 | |
^ | Prospect Capital Corp. | 1,537,382 | 17,511 |
CubeSmart | 1,449,267 | 16,913 | |
Westamerica Bancorporation | 354,712 | 16,739 | |
Pebblebrook Hotel Trust | 717,451 | 16,724 | |
Equity One Inc. | 786,482 | 16,673 | |
PS Business Parks Inc. | 244,149 | 16,534 | |
RLI Corp. | 241,375 | 16,462 | |
Medical Properties Trust Inc. | 1,710,958 | 16,459 | |
United Bankshares Inc. | 634,684 | 16,426 | |
Cash America International Inc. | 371,744 | 16,372 | |
Primerica Inc. | 608,614 | 16,268 | |
Wintrust Financial Corp. | 455,469 | 16,169 | |
Potlatch Corp. | 504,680 | 16,119 | |
Montpelier Re Holdings Ltd. | 749,540 | 15,958 | |
Capstead Mortgage Corp. | 1,141,254 | 15,875 | |
National Penn Bancshares Inc. | 1,638,807 | 15,683 | |
Cathay General Bancorp | 946,180 | 15,621 |
17
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
^ | ARMOUR Residential REIT Inc. | 2,190,494 | 15,574 |
BancorpSouth Inc. | 1,060,544 | 15,399 | |
National Health Investors Inc. | 298,443 | 15,197 | |
Northwest Bancshares Inc. | 1,287,278 | 15,074 | |
* | Altisource Portfolio Solutions SA | 205,473 | 15,047 |
^ | Lexington Realty Trust | 1,767,893 | 14,974 |
* | Knight Capital Group Inc. Class A | 1,250,899 | 14,936 |
Mercury General Corp. | 347,710 | 14,489 | |
Old National Bancorp | 1,194,013 | 14,340 | |
* | First Cash Financial Services Inc. | 353,883 | 14,215 |
Glacier Bancorp Inc. | 909,174 | 14,083 | |
Sun Communities Inc. | 317,183 | 14,032 | |
MB Financial Inc. | 649,515 | 13,991 | |
LTC Properties Inc. | 379,696 | 13,775 | |
*,^ | St. Joe Co. | 866,571 | 13,700 |
* | Ezcorp Inc. Class A | 570,106 | 13,375 |
* | Strategic Hotels & Resorts Inc. | 2,042,911 | 13,197 |
International Bancshares Corp. | 675,501 | 13,186 | |
Symetra Financial Corp. | 1,040,706 | 13,134 | |
CVB Financial Corp. | 1,120,882 | 13,058 | |
* | First Industrial Realty Trust Inc. | 1,025,522 | 12,942 |
Education Realty Trust Inc. | 1,161,333 | 12,868 | |
Community Bank System Inc. | 465,081 | 12,613 | |
Acadia Realty Trust | 540,925 | 12,539 | |
* | World Acceptance Corp. | 188,757 | 12,420 |
Redwood Trust Inc. | 990,611 | 12,363 | |
* | PHH Corp. | 705,206 | 12,327 |
Greenhill & Co. Inc. | 345,671 | 12,323 | |
Anworth Mortgage Asset Corp. | 1,709,674 | 12,053 | |
Selective Insurance Group Inc. | 691,111 | 12,032 | |
* | Enstar Group Ltd. | 121,502 | 12,021 |
PrivateBancorp Inc. Class A | 811,904 | 11,984 | |
MarketAxess Holdings Inc. | 449,528 | 11,975 | |
Hersha Hospitality Trust Class A | 2,256,031 | 11,912 | |
First Financial Bancorp | 724,494 | 11,577 | |
Newcastle Investment Corp. | 1,703,783 | 11,415 | |
Argo Group International Holdings Ltd. | 389,365 | 11,397 | |
Bank of the Ozarks Inc. | 367,429 | 11,052 | |
* | TFS Financial Corp. | 1,151,359 | 10,995 |
Astoria Financial Corp. | 1,120,537 | 10,981 | |
Alexander's Inc. | 25,178 | 10,854 | |
First Financial Bankshares Inc. | 313,054 | 10,819 | |
First Citizens BancShares Inc. Class A | 64,812 | 10,801 | |
* | Credit Acceptance Corp. | 126,982 | 10,721 |
^ | Park National Corp. | 153,538 | 10,709 |
Government Properties Income Trust | 470,554 | 10,644 | |
* | Financial Engines Inc. | 487,514 | 10,457 |
BankUnited Inc. | 439,964 | 10,374 | |
Provident Financial Services Inc. | 675,359 | 10,367 | |
First Midwest Bancorp Inc. | 937,649 | 10,295 | |
Fifth Street Finance Corp. | 1,023,438 | 10,214 | |
PennyMac Mortgage Investment Trust | 517,021 | 10,201 | |
Amtrust Financial Services Inc. | 341,547 | 10,147 | |
American Assets Trust Inc. | 414,473 | 10,051 | |
Pennsylvania REIT | 669,055 | 10,022 | |
* | BBCN Bancorp Inc. | 917,441 | 9,991 |
Tower Group Inc. | 474,322 | 9,899 | |
American Capital Mortgage Investment Corp. | 412,481 | 9,850 | |
Franklin Street Properties Corp. | 925,574 | 9,793 | |
Solar Capital Ltd. | 431,788 | 9,612 | |
* | Western Alliance Bancorp | 1,023,227 | 9,577 |
* | DFC Global Corp. | 518,851 | 9,562 |
* | Greenlight Capital Re Ltd. Class A | 375,567 | 9,547 |
* | Investors Bancorp Inc. | 620,619 | 9,365 |
18
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Inland Real Estate Corp. | 1,105,064 | 9,260 | |
Columbia Banking System Inc. | 489,723 | 9,217 | |
CreXus Investment Corp. | 903,327 | 9,187 | |
NBT Bancorp Inc. | 419,612 | 9,059 | |
Associated Estates Realty Corp. | 605,797 | 9,057 | |
Cousins Properties Inc. | 1,164,796 | 9,027 | |
BlackRock Kelso Capital Corp. | 909,965 | 8,881 | |
PacWest Bancorp | 374,716 | 8,870 | |
Infinity Property & Casualty Corp. | 153,743 | 8,866 | |
First Commonwealth Financial Corp. | 1,298,192 | 8,737 | |
Horace Mann Educators Corp. | 495,608 | 8,663 | |
* | Citizens Republic Bancorp Inc. | 505,674 | 8,662 |
NorthStar Realty Finance Corp. | 1,649,505 | 8,610 | |
Home BancShares Inc. | 279,019 | 8,532 | |
^ | Main Street Capital Corp. | 350,488 | 8,482 |
Investors Real Estate Trust | 1,060,907 | 8,381 | |
Interactive Brokers Group Inc. | 566,635 | 8,341 | |
Employers Holdings Inc. | 460,351 | 8,305 | |
^ | Cohen & Steers Inc. | 240,228 | 8,290 |
Nelnet Inc. Class A | 350,859 | 8,070 | |
Walter Investment Management Corp. | 343,647 | 8,055 | |
* | Pinnacle Financial Partners Inc. | 410,760 | 8,014 |
Sabra Health Care REIT Inc. | 457,577 | 7,829 | |
Boston Private Financial Holdings Inc. | 867,105 | 7,743 | |
American Equity Investment Life Holding Co. | 697,968 | 7,685 | |
Brookline Bancorp Inc. | 864,825 | 7,654 | |
Oritani Financial Corp. | 531,725 | 7,652 | |
* | National Financial Partners Corp. | 569,836 | 7,636 |
Retail Opportunity Investments Corp. | 627,924 | 7,573 | |
Evercore Partners Inc. Class A | 323,526 | 7,567 | |
Triangle Capital Corp. | 328,927 | 7,493 | |
Hudson Pacific Properties Inc. | 424,191 | 7,385 | |
* | Navigators Group Inc. | 147,282 | 7,371 |
First Potomac Realty Trust | 624,109 | 7,346 | |
Independent Bank Corp. | 249,859 | 7,298 | |
* | Sterling Financial Corp. | 384,339 | 7,260 |
Chemical Financial Corp. | 336,033 | 7,225 | |
* | FelCor Lodging Trust Inc. | 1,536,553 | 7,222 |
Ramco-Gershenson Properties Trust | 566,329 | 7,119 | |
Colony Financial Inc. | 411,000 | 7,110 | |
American National Insurance Co. | 99,275 | 7,075 | |
PennantPark Investment Corp. | 677,895 | 7,016 | |
Chesapeake Lodging Trust | 405,453 | 6,982 | |
Ashford Hospitality Trust Inc. | 816,232 | 6,881 | |
Hercules Technology Growth Capital Inc. | 606,470 | 6,877 | |
* | Hilltop Holdings Inc. | 657,622 | 6,780 |
* | AMERISAFE Inc. | 261,192 | 6,778 |
BGC Partners Inc. Class A | 1,151,197 | 6,758 | |
Coresite Realty Corp. | 261,486 | 6,752 | |
* | MGIC Investment Corp. | 2,343,584 | 6,750 |
* | iStar Financial Inc. | 1,042,915 | 6,727 |
Dynex Capital Inc. | 642,124 | 6,665 | |
KBW Inc. | 403,560 | 6,639 | |
WesBanco Inc. | 311,996 | 6,633 | |
Saul Centers Inc. | 152,771 | 6,549 | |
Safety Insurance Group Inc. | 160,462 | 6,521 | |
ViewPoint Financial Group Inc. | 414,362 | 6,481 | |
S&T Bancorp Inc. | 347,889 | 6,426 | |
Getty Realty Corp. | 333,228 | 6,381 | |
TrustCo Bank Corp. NY | 1,157,118 | 6,318 | |
^ | City Holding Co. | 187,369 | 6,312 |
Universal Health Realty Income Trust | 149,496 | 6,209 | |
SCBT Financial Corp. | 175,760 | 6,196 | |
*,^ | Green Dot Corp. Class A | 279,641 | 6,186 |
19
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Berkshire Hills Bancorp Inc. | 279,917 | 6,158 | |
* | Piper Jaffray Cos. | 260,440 | 6,102 |
* | PICO Holdings Inc. | 272,172 | 6,099 |
* | Virtus Investment Partners Inc. | 75,004 | 6,075 |
Duff & Phelps Corp. Class A | 409,339 | 5,935 | |
Oriental Financial Group Inc. | 532,323 | 5,898 | |
Flagstone Reinsurance Holdings SA | 731,920 | 5,863 | |
Apollo Residential Mortgage Inc. | 303,392 | 5,849 | |
*,^ | Zillow Inc. Class A | 151,189 | 5,840 |
* | Wilshire Bancorp Inc. | 1,051,772 | 5,764 |
Maiden Holdings Ltd. | 658,484 | 5,716 | |
United Fire Group Inc. | 266,591 | 5,686 | |
* | HFF Inc. Class A | 406,365 | 5,665 |
* | State Bank Financial Corp. | 372,766 | 5,651 |
* | Forestar Group Inc. | 439,166 | 5,626 |
* | Tejon Ranch Co. | 193,448 | 5,536 |
* | Citizens Inc. | 559,416 | 5,454 |
^ | Radian Group Inc. | 1,656,244 | 5,449 |
Community Trust Bancorp Inc. | 161,964 | 5,424 | |
Sandy Spring Bancorp Inc. | 296,991 | 5,346 | |
Meadowbrook Insurance Group Inc. | 607,219 | 5,337 | |
Kennedy-Wilson Holdings Inc. | 371,773 | 5,209 | |
Resource Capital Corp. | 964,192 | 5,139 | |
* | WisdomTree Investments Inc. | 772,331 | 5,074 |
Lakeland Financial Corp. | 188,177 | 5,049 | |
* | West Coast Bancorp | 252,559 | 4,963 |
* | Investment Technology Group Inc. | 538,605 | 4,955 |
Flushing Financial Corp. | 363,245 | 4,951 | |
Campus Crest Communities Inc. | 475,794 | 4,944 | |
Renasant Corp. | 311,405 | 4,892 | |
* | Beneficial Mutual Bancorp Inc. | 563,656 | 4,864 |
First Busey Corp. | 1,000,461 | 4,832 | |
Dime Community Bancshares Inc. | 362,000 | 4,811 | |
* | ICG Group Inc. | 518,474 | 4,796 |
Banner Corp. | 214,561 | 4,701 | |
* | Safeguard Scientifics Inc. | 300,268 | 4,648 |
Excel Trust Inc. | 382,332 | 4,573 | |
Southside Bancshares Inc. | 199,058 | 4,475 | |
Monmouth Real Estate Investment Corp. Class A | 380,577 | 4,460 | |
Winthrop Realty Trust | 366,699 | 4,459 | |
Epoch Holding Corp. | 195,562 | 4,455 | |
FBL Financial Group Inc. Class A | 158,910 | 4,451 | |
MCG Capital Corp. | 957,101 | 4,403 | |
TICC Capital Corp. | 453,013 | 4,394 | |
First Merchants Corp. | 351,926 | 4,385 | |
Urstadt Biddle Properties Inc. Class A | 220,397 | 4,357 | |
Simmons First National Corp. Class A | 187,398 | 4,357 | |
* | eHealth Inc. | 268,424 | 4,324 |
Cardinal Financial Corp. | 349,254 | 4,289 | |
AG Mortgage Investment Trust Inc. | 198,555 | 4,267 | |
Union First Market Bankshares Corp. | 295,090 | 4,264 | |
* | Ameris Bancorp | 337,184 | 4,249 |
STAG Industrial Inc. | 290,198 | 4,231 | |
Rockville Financial Inc. | 364,823 | 4,221 | |
National Western Life Insurance Co. Class A | 29,627 | 4,205 | |
Arrow Financial Corp. | 173,456 | 4,192 | |
^ | TowneBank | 294,911 | 4,129 |
Tompkins Financial Corp. | 109,435 | 4,124 | |
1st Source Corp. | 181,412 | 4,100 | |
Great Southern Bancorp Inc. | 146,542 | 4,042 | |
Washington Trust Bancorp Inc. | 165,617 | 4,038 | |
* | Hanmi Financial Corp. | 380,373 | 3,986 |
* | Central Pacific Financial Corp. | 281,137 | 3,970 |
* | NewStar Financial Inc. | 304,001 | 3,940 |
20
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* Netspend Holdings Inc. | 424,859 | 3,904 |
* Flagstar Bancorp Inc. | 4,626,950 | 3,887 |
SY Bancorp Inc. | 160,329 | 3,840 |
Kite Realty Group Trust | 750,875 | 3,747 |
* INTL. FCStone Inc. | 192,494 | 3,725 |
Sterling Bancorp | 372,990 | 3,722 |
First Financial Corp. | 125,913 | 3,651 |
MVC Capital Inc. | 277,060 | 3,588 |
Capital Southwest Corp. | 34,875 | 3,587 |
* Bancorp Inc. | 377,577 | 3,568 |
Stewart Information Services Corp. | 229,079 | 3,516 |
GAMCO Investors Inc. | 78,532 | 3,486 |
Cedar Realty Trust Inc. | 688,218 | 3,476 |
Provident New York Bancorp | 457,328 | 3,471 |
Apollo Commercial Real Estate Finance Inc. | 215,584 | 3,464 |
* Taylor Capital Group Inc. | 210,520 | 3,450 |
WSFS Financial Corp. | 85,082 | 3,438 |
Bancfirst Corp. | 81,959 | 3,435 |
StellarOne Corp. | 272,730 | 3,404 |
Federal Agricultural Mortgage Corp. | 129,406 | 3,394 |
OceanFirst Financial Corp. | 236,048 | 3,390 |
Hudson Valley Holding Corp. | 184,519 | 3,340 |
* Eagle Bancorp Inc. | 211,996 | 3,339 |
OneBeacon Insurance Group Ltd. Class A | 252,671 | 3,290 |
* Virginia Commerce Bancorp Inc. | 388,108 | 3,272 |
Heartland Financial USA Inc. | 135,202 | 3,245 |
* Rouse Properties Inc. | 239,171 | 3,241 |
Calamos Asset Management Inc. Class A | 281,874 | 3,227 |
CapLease Inc. | 775,923 | 3,220 |
Golub Capital BDC Inc. | 212,345 | 3,204 |
Camden National Corp. | 86,093 | 3,153 |
* United Community Banks Inc. | 365,067 | 3,129 |
* Cowen Group Inc. Class A | 1,175,512 | 3,127 |
Northfield Bancorp Inc. | 218,315 | 3,102 |
Univest Corp. of Pennsylvania | 187,241 | 3,095 |
GFI Group Inc. | 868,596 | 3,092 |
Lakeland Bancorp Inc. | 291,008 | 3,061 |
Parkway Properties Inc. | 261,780 | 2,995 |
* Phoenix Cos. Inc. | 1,604,916 | 2,969 |
Bryn Mawr Bank Corp. | 139,235 | 2,934 |
Territorial Bancorp Inc. | 125,759 | 2,864 |
First Connecticut Bancorp Inc. | 211,091 | 2,850 |
Summit Hotel Properties Inc. | 338,226 | 2,831 |
One Liberty Properties Inc. | 149,941 | 2,823 |
Agree Realty Corp. | 125,581 | 2,779 |
CoBiz Financial Inc. | 443,562 | 2,777 |
Mission West Properties Inc. | 316,761 | 2,730 |
FXCM Inc. Class A | 230,115 | 2,706 |
Citizens & Northern Corp. | 141,807 | 2,701 |
Republic Bancorp Inc. Class A | 121,393 | 2,701 |
Medallion Financial Corp. | 253,926 | 2,697 |
* Southwest Bancorp Inc. | 284,242 | 2,675 |
Peoples Bancorp Inc. | 121,483 | 2,670 |
SeaBright Holdings Inc. | 299,355 | 2,661 |
MainSource Financial Group Inc. | 224,617 | 2,657 |
* FBR & Co. | 954,650 | 2,644 |
State Auto Financial Corp. | 187,667 | 2,637 |
First Community Bancshares Inc. | 182,678 | 2,636 |
German American Bancorp Inc. | 127,395 | 2,612 |
First Interstate Bancsystem Inc. | 183,258 | 2,610 |
Financial Institutions Inc. | 154,383 | 2,606 |
^ RAIT Financial Trust | 562,262 | 2,598 |
Heritage Financial Corp. | 174,641 | 2,558 |
Bank Mutual Corp. | 577,728 | 2,548 |
21
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Walker & Dunlop Inc. | 197,574 | 2,539 |
Gladstone Commercial Corp. | 151,758 | 2,528 | |
Washington Banking Co. | 181,683 | 2,525 | |
United Financial Bancorp Inc. | 175,167 | 2,519 | |
* | OmniAmerican Bancorp Inc. | 116,304 | 2,492 |
Trico Bancshares | 161,832 | 2,492 | |
Diamond Hill Investment Group Inc. | 31,755 | 2,486 | |
West Bancorporation Inc. | 260,443 | 2,477 | |
Westwood Holdings Group Inc. | 66,465 | 2,476 | |
National Interstate Corp. | 93,079 | 2,475 | |
* | BofI Holding Inc. | 125,170 | 2,473 |
National Bankshares Inc. | 80,442 | 2,423 | |
Consolidated-Tomoka Land Co. | 84,078 | 2,420 | |
First of Long Island Corp. | 83,174 | 2,410 | |
Kohlberg Capital Corp. | 331,887 | 2,410 | |
ESSA Bancorp Inc. | 218,681 | 2,362 | |
Center Bancorp Inc. | 209,832 | 2,361 | |
Medley Capital Corp. | 195,750 | 2,357 | |
* | Franklin Financial Corp. | 142,222 | 2,340 |
* | Tree.com Inc. | 203,080 | 2,323 |
* | MPG Office Trust Inc. | 1,154,634 | 2,321 |
Terreno Realty Corp. | 153,458 | 2,319 | |
Chatham Lodging Trust | 162,341 | 2,318 | |
Westfield Financial Inc. | 317,429 | 2,317 | |
* | Doral Financial Corp. | 1,513,141 | 2,270 |
Arlington Asset Investment Corp. Class A | 104,491 | 2,269 | |
Presidential Life Corp. | 230,161 | 2,262 | |
Bank of Marin Bancorp | 61,061 | 2,260 | |
Centerstate Banks Inc. | 315,527 | 2,256 | |
Manning & Napier Inc. | 157,911 | 2,247 | |
* | Seacoast Banking Corp. of Florida | 1,484,378 | 2,241 |
Edelman Financial Group Inc. | 257,245 | 2,238 | |
* | Global Indemnity plc | 110,517 | 2,238 |
* | Ladenburg Thalmann Financial Services Inc. | 1,434,112 | 2,209 |
* | Preferred Bank | 165,238 | 2,208 |
Thomas Properties Group Inc. | 404,940 | 2,203 | |
* | Metro Bancorp Inc. | 182,890 | 2,200 |
CNB Financial Corp. | 134,204 | 2,189 | |
* | Guaranty Bancorp | 1,004,214 | 2,119 |
Baldwin & Lyons Inc. | 90,805 | 2,110 | |
* | Suffolk Bancorp | 160,789 | 2,085 |
Encore Bancshares Inc. | 100,693 | 2,077 | |
American National Bankshares Inc. | 87,444 | 2,060 | |
First Financial Holdings Inc. | 189,762 | 2,034 | |
* | American Safety Insurance Holdings Ltd. | 107,165 | 2,009 |
Ames National Corp. | 86,902 | 1,998 | |
*,^ | Mercantile Bank Corp. | 107,937 | 1,991 |
* | GSV Capital Corp. | 212,378 | 1,975 |
* | Bridge Capital Holdings | 121,801 | 1,967 |
Marlin Business Services Corp. | 119,516 | 1,959 | |
* | 1st United Bancorp Inc. | 315,329 | 1,958 |
* | Heritage Commerce Corp. | 296,278 | 1,926 |
Oppenheimer Holdings Inc. Class A | 122,177 | 1,921 | |
Gladstone Investment Corp. | 256,826 | 1,898 | |
Enterprise Financial Services Corp. | 172,530 | 1,891 | |
First Defiance Financial Corp. | 110,451 | 1,891 | |
Arbor Realty Trust Inc. | 349,423 | 1,869 | |
Home Federal Bancorp Inc. | 175,638 | 1,844 | |
Gladstone Capital Corp. | 232,659 | 1,836 | |
* | Harris & Harris Group Inc. | 482,719 | 1,834 |
Penns Woods Bancorp Inc. | 45,868 | 1,826 | |
Bridge Bancorp Inc. | 77,279 | 1,823 | |
Pacific Continental Corp. | 205,007 | 1,818 | |
MidWestOne Financial Group Inc. | 83,804 | 1,802 |
22
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | SWS Group Inc. | 337,077 | 1,797 |
Merchants Bancshares Inc. | 64,391 | 1,774 | |
* | MetroCorp Bancshares Inc. | 166,206 | 1,773 |
ESB Financial Corp. | 133,711 | 1,765 | |
Kansas City Life Insurance Co. | 50,027 | 1,760 | |
EMC Insurance Group Inc. | 85,257 | 1,722 | |
NGP Capital Resources Co. | 242,076 | 1,714 | |
* | Park Sterling Corp. | 362,197 | 1,706 |
Alliance Financial Corp. | 49,450 | 1,698 | |
First Bancorp Inc. | 99,858 | 1,698 | |
Donegal Group Inc. Class A | 127,548 | 1,694 | |
* | Pacific Mercantile Bancorp | 242,517 | 1,676 |
Kaiser Federal Financial Group Inc. | 111,966 | 1,655 | |
* | Macatawa Bank Corp. | 476,474 | 1,625 |
BankFinancial Corp. | 214,852 | 1,618 | |
Northrim BanCorp Inc. | 73,648 | 1,583 | |
Fox Chase Bancorp Inc. | 108,659 | 1,569 | |
Bank of Kentucky Financial Corp. | 58,562 | 1,560 | |
First Bancorp | 174,439 | 1,551 | |
UMH Properties Inc. | 144,100 | 1,546 | |
THL Credit Inc. | 114,527 | 1,543 | |
First Pactrust Bancorp Inc. | 128,152 | 1,520 | |
* | First Financial Northwest Inc. | 187,130 | 1,520 |
Bar Harbor Bankshares | 41,922 | 1,509 | |
Eastern Insurance Holdings Inc. | 86,642 | 1,473 | |
Indiana Community Bancorp | 64,643 | 1,405 | |
Artio Global Investors Inc. Class A | 399,766 | 1,399 | |
* | Sun Bancorp Inc. | 512,975 | 1,385 |
* | AV Homes Inc. | 93,419 | 1,362 |
C&F Financial Corp. | 32,670 | 1,312 | |
Nicholas Financial Inc. | 99,306 | 1,273 | |
SI Financial Group Inc. | 109,369 | 1,258 | |
Sierra Bancorp | 125,533 | 1,243 | |
* | First Marblehead Corp. | 1,061,933 | 1,242 |
Peapack Gladstone Financial Corp. | 78,109 | 1,211 | |
*,^ | BankAtlantic Bancorp Inc. Class A | 213,571 | 1,179 |
* | Home Bancorp Inc. | 67,252 | 1,152 |
* | Gramercy Capital Corp. | 449,425 | 1,124 |
Provident Financial Holdings Inc. | 96,610 | 1,114 | |
Resource America Inc. Class A | 173,510 | 1,107 | |
Heritage Financial Group Inc. | 85,941 | 1,106 | |
^ | Horizon Bancorp | 40,311 | 1,060 |
MidSouth Bancorp Inc. | 73,550 | 1,036 | |
JMP Group Inc. | 167,143 | 1,033 | |
* | BRT Realty Trust | 158,228 | 1,028 |
Century Bancorp Inc. Class A | 34,445 | 1,024 | |
Clifton Savings Bancorp Inc. | 98,289 | 1,023 | |
TF Financial Corp. | 41,237 | 1,017 | |
* | Intervest Bancshares Corp. Class A | 265,008 | 1,015 |
* | Cape Bancorp Inc. | 120,787 | 1,004 |
US Global Investors Inc. Class A | 227,235 | 993 | |
Middleburg Financial Corp. | 58,383 | 993 | |
* | Gleacher & Co. Inc. | 1,215,454 | 972 |
Universal Insurance Holdings Inc. | 276,290 | 942 | |
Hingham Institution for Savings | 15,198 | 919 | |
* | Hallmark Financial Services | 117,439 | 916 |
Capital City Bank Group Inc. | 121,873 | 898 | |
Crawford & Co. Class B | 219,104 | 896 | |
* | North Valley Bancorp | 67,700 | 893 |
Investors Title Co. | 15,154 | 863 | |
*,^ | FNB United Corp. | 66,186 | 860 |
* | United Community Financial Corp. | 275,942 | 822 |
* | AmeriServ Financial Inc. | 289,008 | 815 |
Firstbank Corp. | 80,504 | 805 |
23
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Norwood Financial Corp. | 28,453 | 805 |
Meta Financial Group Inc. | 39,428 | 786 |
Federal Agricultural Mortgage Corp. Class A | 38,986 | 772 |
Gain Capital Holdings Inc. | 154,083 | 769 |
Independence Holding Co. | 77,286 | 761 |
Fidelity Southern Corp. | 87,976 | 760 |
Codorus Valley Bancorp Inc. | 54,778 | 736 |
* Fortegra Financial Corp. | 91,069 | 729 |
Alliance Bancorp Inc. of Pennsylvania | 58,843 | 727 |
Citizens South Banking Corp. | 106,179 | 720 |
MutualFirst Financial Inc. | 68,306 | 717 |
* NewBridge Bancorp | 162,528 | 712 |
PMC Commercial Trust | 92,015 | 709 |
Urstadt Biddle Properties Inc. | 37,652 | 707 |
* Maui Land & Pineapple Co. Inc. | 185,534 | 696 |
VIST Financial Corp. | 58,033 | 674 |
* BancTrust Financial Group Inc. | 223,712 | 669 |
* Waterstone Financial Inc. | 171,503 | 652 |
* Republic First Bancorp Inc. | 308,077 | 644 |
* Southern Community Financial Corp. | 197,337 | 624 |
Orrstown Financial Services Inc. | 76,264 | 612 |
Harleysville Savings Financial Corp. | 34,606 | 609 |
Pulaski Financial Corp. | 80,437 | 596 |
Crawford & Co. Class A | 148,684 | 574 |
* Stratus Properties Inc. | 62,987 | 567 |
LNB Bancorp Inc. | 84,109 | 553 |
Teche Holding Co. | 13,723 | 533 |
New Hampshire Thrift Bancshares Inc. | 42,139 | 523 |
CFS Bancorp Inc. | 113,215 | 506 |
Cheviot Financial Corp. | 58,796 | 503 |
Life Partners Holdings Inc. | 235,977 | 503 |
* NASB Financial Inc. | 25,278 | 502 |
* First Acceptance Corp. | 372,396 | 499 |
Ohio Valley Banc Corp. | 25,359 | 496 |
* First United Corp. | 114,295 | 493 |
Charter Financial Corp. | 48,858 | 474 |
* Eastern Virginia Bankshares Inc. | 126,332 | 472 |
* Capital Trust Inc. Class A | 162,678 | 469 |
* CompuCredit Holdings Corp. | 128,551 | 465 |
Shore Bancshares Inc. | 76,471 | 454 |
HF Financial Corp. | 36,430 | 442 |
QCR Holdings Inc. | 32,763 | 429 |
* First South Bancorp Inc. | 105,776 | 428 |
ECB Bancorp Inc. | 45,079 | 422 |
HopFed Bancorp Inc. | 59,479 | 420 |
Pzena Investment Management Inc. Class A | 90,537 | 401 |
* Yadkin Valley Financial Corp. | 151,240 | 401 |
* Community Bankers Trust Corp. | 221,212 | 392 |
Ameriana Bancorp | 68,086 | 371 |
* MBT Financial Corp. | 128,794 | 354 |
Oneida Financial Corp. | 35,141 | 351 |
QC Holdings Inc. | 77,554 | 325 |
* Unity Bancorp Inc. | 52,799 | 317 |
* Hampton Roads Bankshares Inc. | 205,387 | 315 |
* Riverview Bancorp Inc. | 249,239 | 312 |
Hawthorn Bancshares Inc. | 33,359 | 305 |
* CIFC Corp. | 41,261 | 304 |
* Farmers Capital Bank Corp. | 45,171 | 297 |
* Consumer Portfolio Services Inc. | 151,248 | 290 |
* United Security Bancshares | 56,759 | 283 |
Citizens Holding Co. | 13,903 | 261 |
First M&F Corp. | 48,598 | 252 |
* Firstcity Financial Corp. | 29,107 | 252 |
* BCSB Bancorp Inc. | 17,865 | 244 |
24
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | American Independence Corp. | 41,327 | 234 |
*,^ | Hampton Roads Bankshares Inc. | 205,387 | 224 |
United Bancorp Inc. | 23,864 | 217 | |
* | Old Second Bancorp Inc. | 166,779 | 217 |
Wayne Savings Bancshares Inc. | 25,297 | 216 | |
Old Point Financial Corp. | 19,735 | 213 | |
Central Bancorp Inc. | 6,234 | 193 | |
* | Independent Bank Corp. | 71,442 | 179 |
* | Summit Financial Group Inc. | 35,317 | 177 |
* | 21st Century Holding Co. | 41,951 | 168 |
First Citizens Banc Corp. | 25,628 | 159 | |
* | American River Bankshares | 21,723 | 158 |
Landmark Bancorp Inc. | 7,700 | 157 | |
Peoples Financial Corp. | 16,031 | 156 | |
* | Colony Bankcorp Inc. | 32,193 | 152 |
Evans Bancorp Inc. | 8,952 | 148 | |
* | WSB Holdings Inc. | 54,465 | 148 |
Union Bankshares Inc. | 7,349 | 143 | |
Auburn National Bancorporation Inc. | 6,408 | 142 | |
Fauquier Bankshares Inc. | 10,215 | 135 | |
* | Jefferson Bancshares Inc. | 53,495 | 126 |
* | ZipRealty Inc. | 83,897 | 122 |
* | Royal Bancshares of Pennsylvania Inc. | 64,104 | 116 |
California First National Bancorp | 6,959 | 109 | |
* | Premier Financial Bancorp Inc. | 14,534 | 109 |
Institutional Financial Markets Inc. | 122,156 | 104 | |
*,^ | Premierwest Bancorp | 70,022 | 99 |
* | Tower Financial Corp. | 9,598 | 98 |
* | United Security Bancshares | 42,638 | 94 |
Peoples Bancorp of North Carolina Inc. | 10,674 | 87 | |
* | Vestin Realty Mortgage II Inc. | 74,073 | 86 |
* | Berkshire Bancorp Inc. | 9,695 | 85 |
Community Bank Shares of Indiana Inc. | 5,509 | 69 | |
* | Direct Markets Holdings Corp. | 177,238 | 67 |
First Capital Inc. | 3,113 | 65 | |
* | Timberland Bancorp Inc. | 12,381 | 61 |
Salisbury Bancorp Inc. | 2,425 | 60 | |
* | United Bancshares Inc. | 5,415 | 49 |
Mid Penn Bancorp Inc. | 4,476 | 46 | |
*,^ | Penson Worldwide Inc. | 292,277 | 45 |
* | Savannah Bancorp Inc. | 8,903 | 43 |
Commercial National Financial Corp. | 2,014 | 42 | |
* | PVF Capital Corp. | 19,151 | 39 |
Greene County Bancorp Inc. | 2,042 | 38 | |
* | Rurban Financial Corp. | 5,420 | 38 |
* | Capital Bank Corp. | 16,056 | 37 |
* | Prudential Bancorp Inc. of Pennsylvania | 6,628 | 36 |
* | Transcontinental Realty Investors Inc. | 10,999 | 31 |
Northeast Community Bancorp Inc. | 4,866 | 26 | |
* | Porter Bancorp Inc. | 16,831 | 25 |
Southwest Georgia Financial Corp. | 2,370 | 24 | |
* | 1st Constitution Bancorp | 2,346 | 22 |
Northeast Bancorp | 2,418 | 21 | |
Glen Burnie Bancorp | 1,500 | 16 | |
National Security Group Inc. | 1,748 | 15 | |
* | Severn Bancorp Inc. | 2,906 | 9 |
* | Valley National Bancorp Warrants Exp. 6/30/2015 | 6,511 | 7 |
WVS Financial Corp. | 189 | 1 | |
* | Supertel Hospitality Inc. | 1,400 | 1 |
29,151,053 | |||
Health Care (11.9%) | |||
Johnson & Johnson | 34,787,557 | 2,350,247 | |
Pfizer Inc. | 95,533,033 | 2,197,260 | |
Merck & Co. Inc. | 38,575,712 | 1,610,536 |
25
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Abbott Laboratories | 19,926,089 | 1,284,635 |
UnitedHealth Group Inc. | 13,241,125 | 774,606 |
Bristol-Myers Squibb Co. | 21,390,654 | 768,994 |
Amgen Inc. | 10,028,610 | 732,490 |
Eli Lilly & Co. | 13,233,915 | 567,867 |
* Express Scripts Holding Co. | 10,126,509 | 565,363 |
Medtronic Inc. | 13,373,047 | 517,938 |
* Gilead Sciences Inc. | 9,596,535 | 492,110 |
* Biogen Idec Inc. | 2,874,348 | 414,998 |
Baxter International Inc. | 7,100,521 | 377,393 |
Allergan Inc. | 3,857,786 | 357,115 |
* Celgene Corp. | 5,560,399 | 356,755 |
Covidien plc | 6,124,702 | 327,672 |
McKesson Corp. | 3,117,816 | 292,295 |
* Intuitive Surgical Inc. | 497,873 | 275,717 |
WellPoint Inc. | 4,240,736 | 270,517 |
Thermo Fisher Scientific Inc. | 4,634,823 | 240,594 |
* Alexion Pharmaceuticals Inc. | 2,356,053 | 233,956 |
Stryker Corp. | 3,861,590 | 212,774 |
Becton Dickinson and Co. | 2,661,466 | 198,945 |
Cardinal Health Inc. | 4,377,544 | 183,857 |
Agilent Technologies Inc. | 4,398,586 | 172,601 |
Aetna Inc. | 4,438,253 | 172,071 |
St. Jude Medical Inc. | 4,039,236 | 161,206 |
Humana Inc. | 2,077,321 | 160,868 |
Cigna Corp. | 3,627,982 | 159,631 |
* Cerner Corp. | 1,826,551 | 150,983 |
* Edwards Lifesciences Corp. | 1,455,994 | 150,404 |
* Vertex Pharmaceuticals Inc. | 2,663,445 | 148,940 |
Zimmer Holdings Inc. | 2,255,313 | 145,152 |
Perrigo Co. | 1,122,484 | 132,375 |
AmerisourceBergen Corp. Class A | 3,265,132 | 128,483 |
Quest Diagnostics Inc. | 2,006,009 | 120,160 |
* Watson Pharmaceuticals Inc. | 1,610,400 | 119,153 |
* Forest Laboratories Inc. | 3,361,829 | 117,630 |
* DaVita Inc. | 1,186,538 | 116,530 |
* Mylan Inc. | 5,401,949 | 115,440 |
* Laboratory Corp. of America Holdings | 1,242,664 | 115,083 |
CR Bard Inc. | 1,010,195 | 108,535 |
* Regeneron Pharmaceuticals Inc. | 929,131 | 106,125 |
* Boston Scientific Corp. | 18,576,357 | 105,328 |
* Life Technologies Corp. | 2,254,874 | 101,447 |
* Waters Corp. | 1,126,464 | 89,520 |
* Henry Schein Inc. | 1,135,626 | 89,135 |
* Varian Medical Systems Inc. | 1,430,949 | 86,959 |
* CareFusion Corp. | 2,843,202 | 73,013 |
* Hospira Inc. | 2,085,269 | 72,943 |
DENTSPLY International Inc. | 1,796,829 | 67,938 |
* IDEXX Laboratories Inc. | 703,134 | 67,592 |
HCA Holdings Inc. | 2,213,181 | 67,347 |
* Illumina Inc. | 1,549,721 | 62,593 |
* Mettler-Toledo International Inc. | 398,184 | 62,057 |
* BioMarin Pharmaceutical Inc. | 1,544,559 | 61,134 |
* Hologic Inc. | 3,334,922 | 60,162 |
* ResMed Inc. | 1,841,991 | 57,470 |
Coventry Health Care Inc. | 1,807,671 | 57,466 |
* Amylin Pharmaceuticals Inc. | 1,935,223 | 54,631 |
* Onyx Pharmaceuticals Inc. | 812,167 | 53,968 |
* Catalyst Health Solutions Inc. | 558,310 | 52,168 |
Universal Health Services Inc. Class B | 1,129,534 | 48,751 |
* Gen-Probe Inc. | 582,401 | 47,873 |
Cooper Cos. Inc. | 598,179 | 47,711 |
* Endo Health Solutions Inc. | 1,472,329 | 45,613 |
Omnicare Inc. | 1,432,591 | 44,740 |
26
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Questcor Pharmaceuticals Inc. | 803,213 | 42,763 |
* | MEDNAX Inc. | 620,564 | 42,533 |
* | Salix Pharmaceuticals Ltd. | 749,290 | 40,791 |
* | AMERIGROUP Corp. | 607,619 | 40,048 |
Patterson Cos. Inc. | 1,157,846 | 39,911 | |
* | Warner Chilcott plc Class A | 2,204,565 | 39,506 |
* | Medivation Inc. | 431,427 | 39,432 |
Lincare Holdings Inc. | 1,126,387 | 38,320 | |
* | Pharmacyclics Inc. | 694,738 | 37,940 |
PerkinElmer Inc. | 1,430,890 | 36,917 | |
* | Cepheid Inc. | 823,667 | 36,859 |
* | Covance Inc. | 758,441 | 36,291 |
* | HMS Holdings Corp. | 1,078,540 | 35,926 |
* | athenahealth Inc. | 447,028 | 35,391 |
* | Vivus Inc. | 1,237,546 | 35,320 |
* | Ariad Pharmaceuticals Inc. | 2,004,676 | 34,500 |
* | Human Genome Sciences Inc. | 2,509,004 | 32,943 |
* | Incyte Corp. Ltd. | 1,447,860 | 32,866 |
Techne Corp. | 442,101 | 32,804 | |
* | Community Health Systems Inc. | 1,156,367 | 32,413 |
* | United Therapeutics Corp. | 644,061 | 31,804 |
*,^ | Seattle Genetics Inc. | 1,248,990 | 31,712 |
* | Sirona Dental Systems Inc. | 702,720 | 31,629 |
Teleflex Inc. | 515,455 | 31,396 | |
* | Cubist Pharmaceuticals Inc. | 793,574 | 30,084 |
* | WellCare Health Plans Inc. | 539,838 | 28,611 |
* | Tenet Healthcare Corp. | 5,420,398 | 28,403 |
* | HealthSouth Corp. | 1,199,453 | 27,899 |
Medicis Pharmaceutical Corp. Class A | 788,294 | 26,920 | |
* | Align Technology Inc. | 803,995 | 26,902 |
* | Alkermes plc | 1,557,130 | 26,424 |
* | Allscripts Healthcare Solutions Inc. | 2,365,432 | 25,854 |
* | LifePoint Hospitals Inc. | 624,807 | 25,605 |
* | Health Net Inc. | 1,046,034 | 25,387 |
* | Myriad Genetics Inc. | 1,067,660 | 25,378 |
* | Health Management Associates Inc. Class A | 3,210,163 | 25,200 |
* | Thoratec Corp. | 748,147 | 25,123 |
* | Bio-Rad Laboratories Inc. Class A | 248,117 | 24,814 |
Owens & Minor Inc. | 803,737 | 24,618 | |
*,^ | Arena Pharmaceuticals Inc. | 2,457,054 | 24,521 |
Hill-Rom Holdings Inc. | 783,250 | 24,163 | |
* | Haemonetics Corp. | 318,490 | 23,603 |
* | VCA Antech Inc. | 1,041,385 | 22,890 |
* | Brookdale Senior Living Inc. Class A | 1,283,802 | 22,775 |
STERIS Corp. | 722,085 | 22,652 | |
* | ViroPharma Inc. | 919,357 | 21,789 |
West Pharmaceutical Services Inc. | 427,773 | 21,598 | |
* | PAREXEL International Corp. | 752,629 | 21,247 |
* | Charles River Laboratories International Inc. | 618,205 | 20,252 |
* | Alere Inc. | 1,021,125 | 19,851 |
* | Centene Corp. | 645,381 | 19,465 |
* | Theravance Inc. | 866,042 | 19,243 |
* | Volcano Corp. | 668,607 | 19,156 |
* | Jazz Pharmaceuticals plc | 423,966 | 19,083 |
* | Par Pharmaceutical Cos. Inc. | 461,253 | 16,670 |
* | Auxilium Pharmaceuticals Inc. | 608,938 | 16,374 |
* | Impax Laboratories Inc. | 802,843 | 16,274 |
* | Immunogen Inc. | 961,465 | 16,133 |
* | Magellan Health Services Inc. | 354,194 | 16,056 |
* | MWI Veterinary Supply Inc. | 152,992 | 15,723 |
Chemed Corp. | 258,977 | 15,653 | |
* | Masimo Corp. | 698,158 | 15,625 |
* | Cyberonics Inc. | 346,854 | 15,588 |
* | Medicines Co. | 679,185 | 15,581 |
27
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Bruker Corp. | 1,153,401 | 15,352 |
*,^ | Dendreon Corp. | 1,947,028 | 14,408 |
* | Isis Pharmaceuticals Inc. | 1,193,432 | 14,321 |
Quality Systems Inc. | 517,952 | 14,249 | |
* | Air Methods Corp. | 142,160 | 13,967 |
* | PSS World Medical Inc. | 660,103 | 13,856 |
* | NuVasive Inc. | 536,796 | 13,613 |
* | Akorn Inc. | 840,698 | 13,258 |
* | Ironwood Pharmaceuticals Inc. Class A | 948,888 | 13,076 |
* | Neogen Corp. | 278,774 | 12,879 |
* | Insulet Corp. | 594,792 | 12,711 |
* | HeartWare International Inc. | 141,252 | 12,543 |
* | Team Health Holdings Inc. | 502,359 | 12,102 |
* | Amsurg Corp. Class A | 391,736 | 11,744 |
* | Acorda Therapeutics Inc. | 497,386 | 11,718 |
PDL BioPharma Inc. | 1,760,396 | 11,671 | |
* | Nektar Therapeutics | 1,445,893 | 11,668 |
* | Luminex Corp. | 474,688 | 11,625 |
*,^ | Spectrum Pharmaceuticals Inc. | 727,631 | 11,322 |
* | DexCom Inc. | 854,755 | 11,078 |
* | NxStage Medical Inc. | 627,414 | 10,515 |
* | Wright Medical Group Inc. | 492,109 | 10,507 |
Meridian Bioscience Inc. | 513,249 | 10,501 | |
* | Hanger Inc. | 408,617 | 10,477 |
* | Halozyme Therapeutics Inc. | 1,175,150 | 10,412 |
* | Exelixis Inc. | 1,876,993 | 10,380 |
* | ArthroCare Corp. | 341,815 | 10,008 |
* | ABIOMED Inc. | 438,027 | 9,996 |
* | Abaxis Inc. | 268,850 | 9,947 |
*,^ | MAKO Surgical Corp. | 387,680 | 9,928 |
* | InterMune Inc. | 824,604 | 9,854 |
CONMED Corp. | 353,555 | 9,783 | |
* | Medidata Solutions Inc. | 297,127 | 9,707 |
* | IPC The Hospitalist Co. Inc. | 209,081 | 9,476 |
* | Integra LifeSciences Holdings Corp. | 253,736 | 9,434 |
* | Endologix Inc. | 610,376 | 9,424 |
* | Orthofix International NV | 227,816 | 9,397 |
Analogic Corp. | 151,516 | 9,394 | |
* | NPS Pharmaceuticals Inc. | 1,062,477 | 9,148 |
* | Idenix Pharmaceuticals Inc. | 867,390 | 8,934 |
* | Dynavax Technologies Corp. | 2,051,138 | 8,861 |
* | Molina Healthcare Inc. | 373,227 | 8,756 |
Cantel Medical Corp. | 315,715 | 8,603 | |
*,^ | Optimer Pharmaceuticals Inc. | 546,776 | 8,486 |
*,^ | Opko Health Inc. | 1,816,023 | 8,354 |
* | ICU Medical Inc. | 156,399 | 8,349 |
* | Rigel Pharmaceuticals Inc. | 882,433 | 8,207 |
Computer Programs & Systems Inc. | 142,966 | 8,181 | |
* | Bio-Reference Labs Inc. | 310,166 | 8,151 |
* | Conceptus Inc. | 393,727 | 7,804 |
* | MedAssets Inc. | 576,932 | 7,760 |
* | Exact Sciences Corp. | 696,209 | 7,463 |
* | Momenta Pharmaceuticals Inc. | 546,944 | 7,395 |
* | Genomic Health Inc. | 205,456 | 6,862 |
* | Merit Medical Systems Inc. | 492,329 | 6,799 |
Landauer Inc. | 117,090 | 6,713 | |
* | AVANIR Pharmaceuticals Inc. | 1,709,532 | 6,701 |
* | Alnylam Pharmaceuticals Inc. | 567,059 | 6,618 |
* | Greatbatch Inc. | 291,105 | 6,611 |
* | OraSure Technologies Inc. | 585,113 | 6,577 |
* | Kindred Healthcare Inc. | 664,515 | 6,532 |
* | Lexicon Pharmaceuticals Inc. | 2,898,804 | 6,522 |
* | Select Medical Holdings Corp. | 641,600 | 6,487 |
* | Neurocrine Biosciences Inc. | 812,660 | 6,428 |
28
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | HealthStream Inc. | 238,357 | 6,197 |
* | Emeritus Corp. | 357,118 | 6,010 |
* | Omnicell Inc. | 407,655 | 5,968 |
Ensign Group Inc. | 207,737 | 5,873 | |
* | Accuray Inc. | 853,691 | 5,839 |
* | Quidel Corp. | 371,798 | 5,830 |
* | Sequenom Inc. | 1,367,723 | 5,553 |
Invacare Corp. | 358,248 | 5,528 | |
*,^ | Accretive Health Inc. | 493,109 | 5,404 |
* | Affymax Inc. | 418,361 | 5,388 |
*,^ | Sunrise Senior Living Inc. | 730,006 | 5,322 |
* | Curis Inc. | 941,093 | 5,082 |
* | Corvel Corp. | 103,500 | 5,071 |
* | MModal Inc. | 389,632 | 5,057 |
* | ExamWorks Group Inc. | 379,207 | 5,017 |
*,^ | AVEO Pharmaceuticals Inc. | 410,594 | 4,993 |
National Healthcare Corp. | 109,917 | 4,972 | |
* | Natus Medical Inc. | 426,272 | 4,953 |
* | Acadia Healthcare Co. Inc. | 279,307 | 4,899 |
eResearchTechnology Inc. | 607,202 | 4,852 | |
*,^ | ZIOPHARM Oncology Inc. | 810,310 | 4,821 |
* | Spectranetics Corp. | 419,926 | 4,796 |
* | Emergent Biosolutions Inc. | 309,493 | 4,689 |
* | Ligand Pharmaceuticals Inc. Class B | 269,367 | 4,563 |
* | Santarus Inc. | 639,025 | 4,531 |
* | Universal American Corp. | 430,214 | 4,530 |
* | BioScrip Inc. | 609,236 | 4,527 |
* | Amedisys Inc. | 362,996 | 4,519 |
* | Protalix BioTherapeutics Inc. | 782,658 | 4,485 |
US Physical Therapy Inc. | 174,627 | 4,441 | |
* | Enzon Pharmaceuticals Inc. | 627,753 | 4,313 |
* | Triple-S Management Corp. Class B | 235,441 | 4,304 |
* | Hi-Tech Pharmacal Co. Inc. | 131,398 | 4,257 |
* | Arqule Inc. | 712,035 | 4,222 |
* | Synageva BioPharma Corp. | 103,878 | 4,213 |
* | Antares Pharma Inc. | 1,157,442 | 4,213 |
* | Affymetrix Inc. | 892,373 | 4,185 |
* | Sciclone Pharmaceuticals Inc. | 590,938 | 4,142 |
* | MAP Pharmaceuticals Inc. | 275,885 | 4,133 |
Atrion Corp. | 20,044 | 4,109 | |
* | Immunomedics Inc. | 1,136,337 | 4,057 |
* | Pacira Pharmaceuticals Inc. | 251,121 | 4,028 |
* | Metropolitan Health Networks Inc. | 419,058 | 4,010 |
* | PharMerica Corp. | 359,867 | 3,930 |
* | Depomed Inc. | 683,092 | 3,887 |
* | AMAG Pharmaceuticals Inc. | 250,513 | 3,858 |
*,^ | Navidea Biopharmaceuticals Inc. | 1,033,762 | 3,846 |
* | AngioDynamics Inc. | 319,977 | 3,843 |
* | Capital Senior Living Corp. | 362,488 | 3,842 |
* | Symmetry Medical Inc. | 443,929 | 3,809 |
* | Obagi Medical Products Inc. | 247,027 | 3,772 |
* | Progenics Pharmaceuticals Inc. | 383,119 | 3,747 |
* | Threshold Pharmaceuticals Inc. | 504,622 | 3,734 |
* | Celldex Therapeutics Inc. | 716,757 | 3,720 |
* | Tornier NV | 165,277 | 3,706 |
Assisted Living Concepts Inc. Class A | 251,564 | 3,577 | |
* | Cambrex Corp. | 373,859 | 3,518 |
* | Vical Inc. | 972,823 | 3,502 |
* | Staar Surgical Co. | 448,505 | 3,485 |
* | SurModics Inc. | 196,481 | 3,399 |
* | Achillion Pharmaceuticals Inc. | 541,875 | 3,360 |
* | LHC Group Inc. | 197,410 | 3,348 |
* | Sangamo Biosciences Inc. | 600,753 | 3,316 |
* | Array BioPharma Inc. | 948,511 | 3,291 |
29
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Aegerion Pharmaceuticals Inc. | 221,079 | 3,281 |
* | Healthways Inc. | 409,289 | 3,266 |
* | Raptor Pharmaceutical Corp. | 583,191 | 3,260 |
* | Vanguard Health Systems Inc. | 363,519 | 3,232 |
* | Cynosure Inc. Class A | 151,361 | 3,201 |
*,^ | Oncothyreon Inc. | 682,328 | 3,193 |
*,^ | MannKind Corp. | 1,363,398 | 3,122 |
*,^ | Unilife Corp. | 913,479 | 3,088 |
* | Fluidigm Corp. | 197,540 | 2,971 |
* | Anika Therapeutics Inc. | 218,181 | 2,965 |
* | Omeros Corp. | 296,289 | 2,963 |
* | AMN Healthcare Services Inc. | 485,746 | 2,880 |
* | Corcept Therapeutics Inc. | 638,774 | 2,868 |
* | PROLOR Biotech Inc. | 570,761 | 2,848 |
* | Geron Corp. | 1,621,256 | 2,789 |
*,^ | Endocyte Inc. | 339,001 | 2,787 |
* | Pain Therapeutics Inc. | 572,446 | 2,685 |
* | Infinity Pharmaceuticals Inc. | 190,942 | 2,589 |
* | Sun Healthcare Group Inc. | 308,006 | 2,578 |
* | XenoPort Inc. | 421,781 | 2,548 |
* | Dyax Corp. | 1,185,863 | 2,526 |
* | Medtox Scientific Inc. | 92,888 | 2,504 |
* | XOMA Corp. | 832,232 | 2,497 |
* | Vascular Solutions Inc. | 198,657 | 2,495 |
Young Innovations Inc. | 72,323 | 2,494 | |
*,^ | Synta Pharmaceuticals Corp. | 453,288 | 2,479 |
* | Novavax Inc. | 1,575,092 | 2,457 |
* | Gentiva Health Services Inc. | 351,697 | 2,437 |
* | Cadence Pharmaceuticals Inc. | 672,425 | 2,401 |
* | Almost Family Inc. | 104,691 | 2,339 |
* | CryoLife Inc. | 443,435 | 2,319 |
* | Orexigen Therapeutics Inc. | 415,540 | 2,302 |
* | IRIS International Inc. | 203,683 | 2,302 |
* | RTI Biologics Inc. | 608,457 | 2,288 |
* | Amicus Therapeutics Inc. | 401,928 | 2,211 |
* | Astex Pharmaceuticals | 1,046,822 | 2,188 |
*,^ | Osiris Therapeutics Inc. | 197,493 | 2,166 |
*,^ | NewLink Genetics Corp. | 144,084 | 2,158 |
* | Providence Service Corp. | 154,032 | 2,112 |
* | Cardiovascular Systems Inc. | 212,823 | 2,084 |
* | Sagent Pharmaceuticals Inc. | 115,121 | 2,081 |
* | Furiex Pharmaceuticals Inc. | 99,331 | 2,081 |
* | Cerus Corp. | 624,763 | 2,074 |
* | OncoGenex Pharmaceutical Inc. | 153,099 | 2,058 |
* | Chindex International Inc. | 208,690 | 2,045 |
* | Pozen Inc. | 321,458 | 2,006 |
* | Palomar Medical Technologies Inc. | 228,609 | 1,943 |
* | Allos Therapeutics Inc. | 1,083,000 | 1,939 |
* | Rockwell Medical Technologies Inc. | 205,978 | 1,918 |
* | Merge Healthcare Inc. | 662,759 | 1,895 |
* | Five Star Quality Care Inc. | 609,543 | 1,871 |
* | Epocrates Inc. | 228,381 | 1,832 |
* | Alphatec Holdings Inc. | 989,644 | 1,821 |
* | Rochester Medical Corp. | 167,295 | 1,800 |
* | Vanda Pharmaceuticals Inc. | 407,489 | 1,793 |
* | Maxygen Inc. | 298,506 | 1,779 |
* | Repligen Corp. | 409,388 | 1,760 |
* | Exactech Inc. | 102,781 | 1,724 |
* | BioCryst Pharmaceuticals Inc. | 425,176 | 1,692 |
* | Targacept Inc. | 363,076 | 1,561 |
* | Skilled Healthcare Group Inc. | 247,158 | 1,552 |
* | Trius Therapeutics Inc. | 267,256 | 1,539 |
*,^ | Cell Therapeutics Inc. | 2,624,350 | 1,522 |
*,^ | Cytori Therapeutics Inc. | 548,308 | 1,480 |
30
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Anacor Pharmaceuticals Inc. | 226,474 | 1,470 |
* | PDI Inc. | 177,317 | 1,461 |
* | GTx Inc. | 412,329 | 1,456 |
*,^ | Keryx Biopharmaceuticals Inc. | 805,370 | 1,450 |
* | Dusa Pharmaceuticals Inc. | 277,299 | 1,447 |
National Research Corp. | 27,488 | 1,439 | |
*,^ | Hansen Medical Inc. | 627,239 | 1,424 |
* | Solta Medical Inc. | 478,501 | 1,402 |
*,^ | Biotime Inc. | 300,608 | 1,383 |
*,^ | Repros Therapeutics Inc. | 152,104 | 1,381 |
* | SIGA Technologies Inc. | 476,000 | 1,366 |
Utah Medical Products Inc. | 40,567 | 1,360 | |
* | Harvard Bioscience Inc. | 360,542 | 1,359 |
* | Cross Country Healthcare Inc. | 308,583 | 1,349 |
* | Agenus Inc. | 244,287 | 1,280 |
* | AtriCure Inc. | 132,002 | 1,269 |
* | Discovery Laboratories Inc. | 528,390 | 1,226 |
*,^ | Zalicus Inc. | 991,769 | 1,190 |
Psychemedics Corp. | 112,607 | 1,159 | |
*,^ | Celsion Corp. | 375,528 | 1,153 |
* | Theragenics Corp. | 562,694 | 1,131 |
* | Delcath Systems Inc. | 683,306 | 1,127 |
* | Synergetics USA Inc. | 252,153 | 1,125 |
*,^ | MELA Sciences Inc. | 344,762 | 1,124 |
* | Cutera Inc. | 155,514 | 1,119 |
* | Sucampo Pharmaceuticals Inc. Class A | 158,504 | 1,114 |
*,^ | Galena Biopharma Inc. | 672,181 | 1,109 |
*,^ | EnteroMedics Inc. | 314,317 | 1,084 |
* | Zogenix Inc. | 423,206 | 1,050 |
*,^ | CytRx Corp. | 227,702 | 1,043 |
*,^ | Ampio Pharmaceuticals Inc. | 199,183 | 1,012 |
* | Biospecifics Technologies Corp. | 53,486 | 1,004 |
*,^ | Cel-Sci Corp. | 2,591,260 | 992 |
* | ACADIA Pharmaceuticals Inc. | 548,867 | 966 |
*,^ | Apricus Biosciences Inc. | 274,736 | 940 |
*,^ | Aastrom Biosciences Inc. | 433,888 | 933 |
* | RadNet Inc. | 349,478 | 930 |
* | AVI BioPharma Inc. | 1,477,999 | 925 |
* | Codexis Inc. | 245,644 | 919 |
* | Chelsea Therapeutics International Ltd. | 618,986 | 916 |
* | Nabi Biopharmaceuticals | 573,964 | 907 |
* | Pacific Biosciences of California Inc. | 415,461 | 902 |
*,^ | Biolase Inc. | 461,621 | 900 |
* | CardioNet Inc. | 442,809 | 899 |
* | Albany Molecular Research Inc. | 341,357 | 870 |
* | Cumberland Pharmaceuticals Inc. | 130,579 | 844 |
* | Nanosphere Inc. | 379,610 | 835 |
* | Digirad Corp. | 377,221 | 834 |
* | LCA-Vision Inc. | 188,206 | 809 |
* | Transcept Pharmaceuticals Inc. | 123,149 | 764 |
* | Cytokinetics Inc. | 1,184,657 | 759 |
* | Lannett Co. Inc. | 170,856 | 724 |
* | Zeltiq Aesthetics Inc. | 128,907 | 722 |
* | Mediware Information Systems | 49,284 | 720 |
*,^ | Metabolix Inc. | 386,346 | 715 |
* | Cardica Inc. | 379,938 | 714 |
* | BioClinica Inc. | 144,370 | 697 |
* | Durect Corp. | 747,848 | 680 |
* | Myrexis Inc. | 259,042 | 676 |
* | Enzo Biochem Inc. | 404,335 | 675 |
* | Insmed Inc. | 206,226 | 672 |
*,^ | Biosante Pharmaceuticals Inc. | 228,099 | 582 |
* | Inovio Pharmaceuticals Inc. | 1,192,805 | 549 |
*,^ | Savient Pharmaceuticals Inc. | 1,006,733 | 544 |
31
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | BioMimetic Therapeutics Inc. | 205,255 | 540 |
* | Medical Action Industries Inc. | 153,479 | 534 |
* | Clovis Oncology Inc. | 24,598 | 533 |
* | TranS1 Inc. | 200,063 | 496 |
* | Cornerstone Therapeutics Inc. | 76,746 | 486 |
*,^ | Cleveland Biolabs Inc. | 299,044 | 469 |
* | GenVec Inc. | 189,152 | 450 |
* | Strategic Diagnostics Inc. | 365,605 | 439 |
* | Columbia Laboratories Inc. | 634,842 | 432 |
*,^ | Acura Pharmaceuticals Inc. | 135,912 | 427 |
* | Icad Inc. | 895,631 | 412 |
* | Vision Sciences Inc. | 273,044 | 410 |
Heska Corp. | 36,513 | 405 | |
*,^ | Alexza Pharmaceuticals Inc. | 94,473 | 401 |
* | Hemispherx Biopharma Inc. | 1,402,214 | 390 |
* | Peregrine Pharmaceuticals Inc. | 692,931 | 374 |
Daxor Corp. | 37,940 | 341 | |
*,^ | Complete Genomics Inc. | 180,177 | 335 |
* | Alliance HealthCare Services Inc. | 313,740 | 313 |
* | Adolor Corp. Rights Exp. 07/01/2019 | 592,629 | 308 |
*,^ | KV Pharmaceutical Co. Class A | 565,465 | 305 |
* | Alimera Sciences Inc. | 90,458 | 270 |
* | Hooper Holmes Inc. | 449,512 | 257 |
*,^ | ADVENTRX Pharmaceuticals Inc. | 495,914 | 253 |
* | Bovie Medical Corp. | 109,268 | 251 |
* | Sharps Compliance Corp. | 70,476 | 238 |
*,^ | BSD Medical Corp. | 141,661 | 232 |
* | Idera Pharmaceuticals Inc. | 197,758 | 212 |
*,^ | Arrowhead Research Corp. | 53,690 | 206 |
*,^ | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 216,285 | 205 |
* | CombiMatrix Corp. | 184,417 | 194 |
*,^ | StemCells Inc. | 236,257 | 189 |
* | Anthera Pharmaceuticals Inc. | 267,993 | 181 |
* | Entremed Inc. | 67,712 | 125 |
* | ThermoGenesis Corp. | 123,286 | 117 |
* | Stereotaxis Inc. | 543,772 | 114 |
* | Authentidate Holding Corp. | 171,889 | 112 |
* | Pernix Therapeutics Holdings | 14,419 | 105 |
* | Biodel Inc. | 31,473 | 81 |
* | Retractable Technologies Inc. | 74,206 | 73 |
* | DynaVox Inc. Class A | 54,599 | 61 |
* | PURE Bioscience Inc. | 114,696 | 52 |
* | ERBA Diagnostics Inc. | 61,375 | 40 |
* | ProPhase Labs Inc. | 29,309 | 32 |
* | Palatin Technologies Inc. | 46,121 | 23 |
* | ARCA Biopharma Inc. | 39,978 | 20 |
* | Somaxon Pharmaceuticals Inc. | 59,693 | 17 |
* | KV Pharmaceutical Co. Class B | 500 | — |
22,678,433 | |||
Industrials (11.0%) | |||
General Electric Co. | 134,096,011 | 2,794,561 | |
United Technologies Corp. | 10,956,502 | 827,545 | |
3M Co. | 8,360,811 | 749,129 | |
Union Pacific Corp. | 6,083,146 | 725,780 | |
United Parcel Service Inc. Class B | 9,157,683 | 721,259 | |
Caterpillar Inc. | 8,205,160 | 696,700 | |
Boeing Co. | 8,976,825 | 666,978 | |
Honeywell International Inc. | 9,334,268 | 521,226 | |
Emerson Electric Co. | 9,306,647 | 433,504 | |
Deere & Co. | 4,856,034 | 392,707 |
32
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Danaher Corp. | 7,422,467 | 386,562 |
FedEx Corp. | 3,784,828 | 346,728 |
Tyco International Ltd. | 5,839,716 | 308,629 |
Lockheed Martin Corp. | 3,500,749 | 304,845 |
Precision Castparts Corp. | 1,838,989 | 302,495 |
Norfolk Southern Corp. | 4,182,360 | 300,168 |
CSX Corp. | 13,330,525 | 298,071 |
Illinois Tool Works Inc. | 5,515,761 | 291,729 |
General Dynamics Corp. | 3,844,004 | 253,551 |
Raytheon Co. | 4,305,812 | 243,666 |
Cummins Inc. | 2,310,091 | 223,871 |
Goodrich Corp. | 1,593,184 | 202,175 |
Northrop Grumman Corp. | 3,039,923 | 193,917 |
Waste Management Inc. | 5,550,432 | 185,384 |
PACCAR Inc. | 4,293,864 | 168,277 |
Eaton Corp. | 4,026,536 | 159,572 |
Ingersoll-Rand plc | 3,765,933 | 158,847 |
Parker Hannifin Corp. | 1,910,912 | 146,911 |
WW Grainger Inc. | 754,623 | 144,314 |
Fastenal Co. | 3,552,055 | 143,183 |
Cooper Industries plc | 2,008,460 | 136,937 |
Stanley Black & Decker Inc. | 2,039,778 | 131,280 |
Dover Corp. | 2,325,380 | 124,664 |
CH Robinson Worldwide Inc. | 2,068,632 | 121,077 |
Roper Industries Inc. | 1,226,946 | 120,952 |
Rockwell Automation Inc. | 1,803,381 | 119,131 |
* Delta Air Lines Inc. | 10,706,738 | 117,239 |
Fluor Corp. | 2,140,312 | 105,603 |
Republic Services Inc. Class A | 3,985,144 | 105,447 |
Expeditors International of Washington Inc. | 2,685,539 | 104,065 |
* United Continental Holdings Inc. | 4,205,306 | 102,315 |
AMETEK Inc. | 2,031,518 | 101,393 |
* Stericycle Inc. | 1,072,973 | 98,359 |
Kansas City Southern | 1,390,691 | 96,736 |
L-3 Communications Holdings Inc. | 1,253,150 | 92,746 |
Southwest Airlines Co. | 9,777,868 | 90,152 |
Rockwell Collins Inc. | 1,788,015 | 88,239 |
Textron Inc. | 3,539,379 | 88,024 |
* Verisk Analytics Inc. Class A | 1,771,786 | 87,278 |
* TransDigm Group Inc. | 609,727 | 81,886 |
Pall Corp. | 1,462,173 | 80,142 |
Flowserve Corp. | 696,581 | 79,933 |
Joy Global Inc. | 1,354,821 | 76,859 |
* IHS Inc. Class A | 708,216 | 76,296 |
Equifax Inc. | 1,518,140 | 70,745 |
JB Hunt Transport Services Inc. | 1,185,089 | 70,631 |
* Quanta Services Inc. | 2,628,472 | 63,267 |
Masco Corp. | 4,558,483 | 63,226 |
* Jacobs Engineering Group Inc. | 1,627,103 | 61,602 |
Donaldson Co. Inc. | 1,784,790 | 59,558 |
Xylem Inc. | 2,335,758 | 58,791 |
* BE Aerospace Inc. | 1,313,935 | 57,366 |
Cintas Corp. | 1,479,400 | 57,120 |
* AGCO Corp. | 1,231,589 | 56,321 |
Iron Mountain Inc. | 1,621,819 | 53,455 |
Hubbell Inc. Class B | 646,725 | 50,406 |
Robert Half International Inc. | 1,711,056 | 48,885 |
Timken Co. | 1,049,793 | 48,070 |
Pentair Inc. | 1,246,751 | 47,726 |
Wabtec Corp. | 608,735 | 47,487 |
KBR Inc. | 1,875,401 | 46,341 |
Snap-on Inc. | 736,464 | 45,845 |
Towers Watson & Co. Class A | 740,291 | 44,343 |
Waste Connections Inc. | 1,479,813 | 44,276 |
33
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Lincoln Electric Holdings Inc. | 1,005,612 | 44,036 | |
* | Hertz Global Holdings Inc. | 3,420,190 | 43,778 |
* | WABCO Holdings Inc. | 821,457 | 43,480 |
Dun & Bradstreet Corp. | 608,491 | 43,306 | |
SPX Corp. | 646,265 | 42,214 | |
* | Nielsen Holdings NV | 1,590,965 | 41,715 |
IDEX Corp. | 1,061,774 | 41,388 | |
Carlisle Cos. Inc. | 780,337 | 41,373 | |
* | Owens Corning | 1,448,742 | 41,347 |
* | Fortune Brands Home & Security Inc. | 1,791,886 | 39,905 |
MSC Industrial Direct Co. Inc. Class A | 590,678 | 38,719 | |
Corrections Corp. of America | 1,286,828 | 37,897 | |
^ | Pitney Bowes Inc. | 2,518,624 | 37,704 |
Manpower Inc. | 1,018,694 | 37,335 | |
Nordson Corp. | 720,058 | 36,932 | |
Avery Dennison Corp. | 1,340,727 | 36,655 | |
Valmont Industries Inc. | 301,414 | 36,462 | |
* | Spirit Aerosystems Holdings Inc. Class A | 1,495,075 | 35,628 |
Triumph Group Inc. | 629,927 | 35,446 | |
URS Corp. | 1,006,380 | 35,103 | |
Graco Inc. | 756,517 | 34,860 | |
* | Babcock & Wilcox Co. | 1,403,493 | 34,386 |
* | United Rentals Inc. | 1,005,152 | 34,215 |
* | Clean Harbors Inc. | 602,435 | 33,989 |
Gardner Denver Inc. | 638,665 | 33,792 | |
* | Copart Inc. | 1,422,255 | 33,693 |
Kennametal Inc. | 1,005,484 | 33,332 | |
* | Hexcel Corp. | 1,255,820 | 32,388 |
Regal-Beloit Corp. | 519,561 | 32,348 | |
* | Alaska Air Group Inc. | 893,984 | 32,094 |
* | WESCO International Inc. | 548,010 | 31,538 |
Woodward Inc. | 782,199 | 30,850 | |
Landstar System Inc. | 590,408 | 30,536 | |
CLARCOR Inc. | 633,436 | 30,506 | |
* | Kirby Corp. | 633,497 | 29,825 |
* | Sensata Technologies Holding NV | 1,111,909 | 29,777 |
* | Dollar Thrifty Automotive Group Inc. | 362,929 | 29,383 |
Alexander & Baldwin Inc. | 529,856 | 28,215 | |
Toro Co. | 382,639 | 28,044 | |
^ | RR Donnelley & Sons Co. | 2,346,428 | 27,617 |
* | Teledyne Technologies Inc. | 443,869 | 27,365 |
* | US Airways Group Inc. | 2,043,607 | 27,241 |
Covanta Holding Corp. | 1,580,050 | 27,098 | |
Acuity Brands Inc. | 531,025 | 27,034 | |
* | Genesee & Wyoming Inc. Class A | 507,817 | 26,833 |
* | Chart Industries Inc. | 373,701 | 25,696 |
Lennox International Inc. | 547,698 | 25,539 | |
Con-way Inc. | 702,576 | 25,370 | |
Trinity Industries Inc. | 1,010,469 | 25,242 | |
* | Huntington Ingalls Industries Inc. | 616,832 | 24,821 |
* | Foster Wheeler AG | 1,431,148 | 24,802 |
* | Terex Corp. | 1,386,410 | 24,720 |
* | Esterline Technologies Corp. | 387,539 | 24,163 |
AO Smith Corp. | 494,214 | 24,162 | |
* | Navistar International Corp. | 846,238 | 24,008 |
Watsco Inc. | 322,171 | 23,776 | |
*,^ | Polypore International Inc. | 583,906 | 23,584 |
* | Old Dominion Freight Line Inc. | 542,739 | 23,495 |
EMCOR Group Inc. | 843,021 | 23,453 | |
Actuant Corp. Class A | 861,266 | 23,392 | |
* | Middleby Corp. | 234,756 | 23,384 |
Ryder System Inc. | 644,892 | 23,223 | |
* | Oshkosh Corp. | 1,103,262 | 23,113 |
Exelis Inc. | 2,333,798 | 23,011 |
34
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Shaw Group Inc. | 822,783 | 22,470 |
* | AECOM Technology Corp. | 1,334,896 | 21,959 |
GATX Corp. | 560,943 | 21,596 | |
Robbins & Myers Inc. | 514,590 | 21,520 | |
Crane Co. | 581,484 | 21,154 | |
* | EnerSys | 601,790 | 21,105 |
Alliant Techsystems Inc. | 416,534 | 21,064 | |
* | Advisory Board Co. | 422,280 | 20,941 |
Harsco Corp. | 1,013,012 | 20,645 | |
* | Tetra Tech Inc. | 791,388 | 20,639 |
* | Moog Inc. Class A | 494,067 | 20,430 |
* | Avis Budget Group Inc. | 1,329,439 | 20,207 |
* | Acacia Research Corp. | 541,536 | 20,167 |
ITT Corp. | 1,138,169 | 20,032 | |
* | Portfolio Recovery Associates Inc. | 215,566 | 19,673 |
Belden Inc. | 582,251 | 19,418 | |
* | Colfax Corp. | 703,499 | 19,395 |
UTi Worldwide Inc. | 1,299,399 | 18,984 | |
Rollins Inc. | 835,320 | 18,686 | |
Manitowoc Co. Inc. | 1,586,063 | 18,557 | |
* | Air Lease Corp. | 939,871 | 18,224 |
* | Geo Group Inc. | 793,071 | 18,019 |
*,^ | USG Corp. | 933,719 | 17,787 |
Applied Industrial Technologies Inc. | 478,931 | 17,649 | |
Mine Safety Appliances Co. | 430,176 | 17,310 | |
Corporate Executive Board Co. | 421,848 | 17,245 | |
Macquarie Infrastructure Co. LLC | 515,739 | 17,169 | |
Curtiss-Wright Corp. | 551,008 | 17,109 | |
Brady Corp. Class A | 619,467 | 17,042 | |
* | General Cable Corp. | 652,095 | 16,915 |
* | Hub Group Inc. Class A | 466,702 | 16,895 |
* | JetBlue Airways Corp. | 3,152,605 | 16,709 |
Deluxe Corp. | 644,986 | 16,086 | |
Healthcare Services Group Inc. | 799,993 | 15,504 | |
Mueller Industries Inc. | 360,375 | 15,348 | |
Raven Industries Inc. | 217,002 | 15,101 | |
* | FTI Consulting Inc. | 519,768 | 14,943 |
* | GrafTech International Ltd. | 1,544,284 | 14,902 |
* | Beacon Roofing Supply Inc. | 586,667 | 14,796 |
HEICO Corp. Class A | 454,563 | 14,664 | |
* | ACCO Brands Corp. | 1,415,946 | 14,641 |
HNI Corp. | 564,290 | 14,530 | |
Armstrong World Industries Inc. | 295,078 | 14,506 | |
* | Atlas Air Worldwide Holdings Inc. | 328,531 | 14,294 |
Barnes Group Inc. | 586,843 | 14,254 | |
Simpson Manufacturing Co. Inc. | 482,000 | 14,224 | |
United Stationers Inc. | 525,283 | 14,156 | |
Brink's Co. | 593,605 | 13,760 | |
Herman Miller Inc. | 736,770 | 13,645 | |
* | Allegiant Travel Co. Class A | 191,801 | 13,365 |
ABM Industries Inc. | 670,333 | 13,112 | |
Werner Enterprises Inc. | 544,830 | 13,016 | |
* | RBC Bearings Inc. | 274,379 | 12,978 |
TAL International Group Inc. | 381,869 | 12,789 | |
Franklin Electric Co. Inc. | 248,894 | 12,726 | |
Titan International Inc. | 498,170 | 12,220 | |
ESCO Technologies Inc. | 334,674 | 12,196 | |
Knight Transportation Inc. | 761,005 | 12,168 | |
Granite Construction Inc. | 464,773 | 12,135 | |
* | MasTec Inc. | 799,146 | 12,019 |
Forward Air Corp. | 370,773 | 11,965 | |
UniFirst Corp. | 186,271 | 11,875 | |
Watts Water Technologies Inc. Class A | 356,040 | 11,870 | |
* | Spirit Airlines Inc. | 587,009 | 11,423 |
35
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* II-VI Inc. | 672,640 | 11,213 |
Briggs & Stratton Corp. | 617,369 | 10,798 |
* Interface Inc. Class A | 790,029 | 10,768 |
Lindsay Corp. | 160,694 | 10,429 |
* Swift Transportation Co. | 1,081,513 | 10,220 |
* Interline Brands Inc. | 395,457 | 9,914 |
Steelcase Inc. Class A | 1,091,952 | 9,860 |
AZZ Inc. | 159,093 | 9,746 |
Heartland Express Inc. | 675,188 | 9,662 |
* EnPro Industries Inc. | 258,364 | 9,655 |
Cubic Corp. | 199,805 | 9,607 |
* Seaboard Corp. | 4,480 | 9,556 |
* Orbital Sciences Corp. | 730,522 | 9,438 |
Aircastle Ltd. | 776,260 | 9,354 |
Kaman Corp. | 298,288 | 9,229 |
Universal Forest Products Inc. | 234,690 | 9,148 |
* Aegion Corp. Class A | 510,753 | 9,137 |
* Huron Consulting Group Inc. | 284,709 | 9,011 |
* TrueBlue Inc. | 569,732 | 8,819 |
* Blount International Inc. | 601,333 | 8,810 |
* Trimas Corp. | 436,556 | 8,775 |
* KAR Auction Services Inc. | 508,791 | 8,746 |
Amerco Inc. | 97,044 | 8,731 |
* Exponent Inc. | 164,098 | 8,669 |
* Sykes Enterprises Inc. | 541,132 | 8,636 |
* Navigant Consulting Inc. | 679,728 | 8,592 |
Tennant Co. | 214,506 | 8,570 |
Kaydon Corp. | 400,113 | 8,558 |
* Korn/Ferry International | 591,019 | 8,481 |
Quanex Building Products Corp. | 466,698 | 8,345 |
* Generac Holdings Inc. | 337,565 | 8,122 |
* Encore Capital Group Inc. | 274,036 | 8,117 |
Knoll Inc. | 588,963 | 7,904 |
* Dycom Industries Inc. | 419,416 | 7,805 |
Insperity Inc. | 285,933 | 7,734 |
McGrath RentCorp | 288,350 | 7,641 |
Resources Connection Inc. | 604,877 | 7,440 |
NACCO Industries Inc. Class A | 63,410 | 7,371 |
* Astec Industries Inc. | 240,052 | 7,365 |
Ceradyne Inc. | 284,417 | 7,295 |
G&K Services Inc. Class A | 233,838 | 7,293 |
* On Assignment Inc. | 453,162 | 7,232 |
* Team Inc. | 230,414 | 7,184 |
Gorman-Rupp Co. | 234,777 | 6,996 |
* RailAmerica Inc. | 288,880 | 6,991 |
* Mobile Mini Inc. | 483,660 | 6,965 |
* DigitalGlobe Inc. | 457,524 | 6,936 |
Mueller Water Products Inc. Class A | 1,979,641 | 6,850 |
AAR Corp. | 502,755 | 6,777 |
* Titan Machinery Inc. | 222,283 | 6,751 |
Standex International Corp. | 156,191 | 6,649 |
CIRCOR International Inc. | 190,166 | 6,483 |
Albany International Corp. | 340,555 | 6,372 |
Sun Hydraulics Corp. | 260,624 | 6,331 |
Encore Wire Corp. | 231,934 | 6,211 |
American Science & Engineering Inc. | 109,654 | 6,190 |
* InnerWorkings Inc. | 440,928 | 5,966 |
* ICF International Inc. | 244,995 | 5,841 |
* Meritor Inc. | 1,098,687 | 5,735 |
* Aerovironment Inc. | 217,364 | 5,719 |
* Tutor Perini Corp. | 448,296 | 5,680 |
* Greenbrier Cos. Inc. | 320,593 | 5,636 |
Altra Holdings Inc. | 356,965 | 5,633 |
* Wabash National Corp. | 847,870 | 5,613 |
36
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Kforce Inc. | 414,472 | 5,579 |
Griffon Corp. | 649,107 | 5,569 | |
* | Mistras Group Inc. | 210,885 | 5,542 |
Apogee Enterprises Inc. | 343,661 | 5,523 | |
* | Rush Enterprises Inc. Class A | 337,225 | 5,514 |
Cascade Corp. | 117,040 | 5,507 | |
* | H&E Equipment Services Inc. | 364,081 | 5,472 |
Sauer-Danfoss Inc. | 148,939 | 5,202 | |
* | DXP Enterprises Inc. | 122,658 | 5,089 |
* | Builders FirstSource Inc. | 1,061,336 | 5,031 |
* | Layne Christensen Co. | 241,997 | 5,007 |
Ennis Inc. | 323,316 | 4,973 | |
Great Lakes Dredge & Dock Corp. | 688,473 | 4,902 | |
Viad Corp. | 243,368 | 4,867 | |
* | Trex Co. Inc. | 160,935 | 4,843 |
John Bean Technologies Corp. | 355,900 | 4,830 | |
AAON Inc. | 256,026 | 4,826 | |
^ | Quad/Graphics Inc. | 329,501 | 4,738 |
Kelly Services Inc. Class A | 364,536 | 4,706 | |
Comfort Systems USA Inc. | 469,437 | 4,704 | |
US Ecology Inc. | 263,569 | 4,676 | |
Celadon Group Inc. | 281,747 | 4,615 | |
* | Federal Signal Corp. | 772,713 | 4,513 |
Global Power Equipment Group Inc. | 199,301 | 4,353 | |
Marten Transport Ltd. | 202,766 | 4,311 | |
* | MYR Group Inc. | 251,646 | 4,293 |
* | Saia Inc. | 195,753 | 4,285 |
*,^ | Capstone Turbine Corp. | 4,235,971 | 4,278 |
* | GP Strategies Corp. | 231,390 | 4,274 |
* | Powell Industries Inc. | 113,939 | 4,257 |
* | GenCorp Inc. | 645,275 | 4,201 |
^ | National Presto Industries Inc. | 59,865 | 4,177 |
* | Astronics Corp. | 147,467 | 4,164 |
* | Standard Parking Corp. | 191,297 | 4,117 |
HEICO Corp. | 103,377 | 4,085 | |
Heidrick & Struggles International Inc. | 231,822 | 4,057 | |
Primoris Services Corp. | 337,892 | 4,055 | |
SkyWest Inc. | 613,685 | 4,007 | |
Arkansas Best Corp. | 315,304 | 3,973 | |
Douglas Dynamics Inc. | 278,148 | 3,964 | |
* | Hawaiian Holdings Inc. | 595,230 | 3,875 |
FreightCar America Inc. | 167,030 | 3,837 | |
* | Kadant Inc. | 163,131 | 3,825 |
* | Gibraltar Industries Inc. | 366,683 | 3,806 |
* | GeoEye Inc. | 240,911 | 3,729 |
* | Taser International Inc. | 701,282 | 3,675 |
LB Foster Co. Class A | 122,650 | 3,509 | |
Aceto Corp. | 387,771 | 3,502 | |
* | Columbus McKinnon Corp. | 231,923 | 3,500 |
*,^ | Swisher Hygiene Inc. | 1,368,893 | 3,463 |
* | American Railcar Industries Inc. | 127,684 | 3,460 |
Alamo Group Inc. | 109,582 | 3,438 | |
* | Kratos Defense & Security Solutions Inc. | 587,172 | 3,429 |
* | Wesco Aircraft Holdings Inc. | 268,933 | 3,424 |
* | Air Transport Services Group Inc. | 654,922 | 3,406 |
* | Lydall Inc. | 244,672 | 3,308 |
* | Thermon Group Holdings Inc. | 159,602 | 3,305 |
* | Consolidated Graphics Inc. | 112,938 | 3,281 |
* | XPO Logistics Inc. | 195,085 | 3,277 |
* | CBIZ Inc. | 539,156 | 3,203 |
* | Echo Global Logistics Inc. | 167,867 | 3,200 |
Multi-Color Corp. | 143,841 | 3,199 | |
*,^ | Odyssey Marine Exploration Inc. | 853,556 | 3,192 |
* | Republic Airways Holdings Inc. | 568,595 | 3,156 |
37
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | NN Inc. | 300,535 | 3,068 |
* | Accuride Corp. | 507,606 | 3,046 |
* | RPX Corp. | 208,177 | 2,987 |
* | Quality Distribution Inc. | 268,145 | 2,974 |
* | Michael Baker Corp. | 113,450 | 2,960 |
* | Flow International Corp. | 935,714 | 2,948 |
* | Roadrunner Transportation Systems Inc. | 169,971 | 2,871 |
* | CAI International Inc. | 143,889 | 2,861 |
*,^ | American Superconductor Corp. | 602,395 | 2,831 |
*,^ | Zipcar Inc. | 240,592 | 2,822 |
Insteel Industries Inc. | 251,874 | 2,808 | |
* | American Reprographics Co. | 556,358 | 2,798 |
CDI Corp. | 169,772 | 2,784 | |
* | Commercial Vehicle Group Inc. | 316,472 | 2,728 |
Dynamic Materials Corp. | 156,830 | 2,718 | |
Houston Wire & Cable Co. | 244,902 | 2,677 | |
* | Northwest Pipe Co. | 109,885 | 2,666 |
* | NCI Building Systems Inc. | 233,145 | 2,525 |
Graham Corp. | 134,795 | 2,510 | |
SeaCube Container Leasing Ltd. | 146,538 | 2,501 | |
Kimball International Inc. Class B | 318,389 | 2,452 | |
Miller Industries Inc. | 149,815 | 2,387 | |
* | Dolan Co. | 342,190 | 2,303 |
* | Ameresco Inc. Class A | 189,084 | 2,256 |
Schawk Inc. Class A | 176,009 | 2,235 | |
* | Orion Marine Group Inc. | 321,066 | 2,235 |
* | Pacer International Inc. | 412,094 | 2,234 |
Barrett Business Services Inc. | 104,726 | 2,214 | |
* | Furmanite Corp. | 450,686 | 2,190 |
Intersections Inc. | 135,760 | 2,152 | |
* | Heritage-Crystal Clean Inc. | 129,896 | 2,124 |
Met-Pro Corp. | 227,409 | 2,094 | |
* | Park-Ohio Holdings Corp. | 109,469 | 2,083 |
* | American Woodmark Corp. | 114,609 | 1,960 |
Twin Disc Inc. | 104,708 | 1,936 | |
* | CRA International Inc. | 130,048 | 1,910 |
* | Pendrell Corp. | 1,700,074 | 1,904 |
LSI Industries Inc. | 265,399 | 1,890 | |
* | FuelCell Energy Inc. | 1,870,743 | 1,889 |
* | LMI Aerospace Inc. | 107,421 | 1,867 |
* | Sterling Construction Co. Inc. | 181,391 | 1,854 |
* | KEYW Holding Corp. | 184,039 | 1,848 |
* | Pike Electric Corp. | 238,864 | 1,844 |
* | EnerNOC Inc. | 253,011 | 1,832 |
* | Casella Waste Systems Inc. Class A | 308,810 | 1,807 |
*,^ | A123 Systems Inc. | 1,365,843 | 1,721 |
Vicor Corp. | 241,289 | 1,675 | |
* | EnergySolutions Inc. | 976,599 | 1,650 |
* | Franklin Covey Co. | 160,433 | 1,643 |
* | Hudson Global Inc. | 392,774 | 1,638 |
Ampco-Pittsburgh Corp. | 84,296 | 1,545 | |
Acorn Energy Inc. | 185,116 | 1,540 | |
International Shipholding Corp. | 81,256 | 1,533 | |
* | PMFG Inc. | 195,072 | 1,524 |
Courier Corp. | 114,693 | 1,520 | |
* | Patriot Transportation Holding Inc. | 61,809 | 1,454 |
Preformed Line Products Co. | 24,860 | 1,440 | |
* | Metalico Inc. | 651,835 | 1,434 |
* | Hurco Cos. Inc. | 69,192 | 1,418 |
Argan Inc. | 95,281 | 1,332 | |
* | TRC Cos. Inc. | 217,977 | 1,325 |
*,^ | API Technologies Corp. | 358,373 | 1,319 |
* | Cenveo Inc. | 678,616 | 1,310 |
* | Willis Lease Finance Corp. | 105,689 | 1,302 |
38
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Asset Acceptance Capital Corp. | 187,675 | 1,276 |
* | Ducommun Inc. | 129,869 | 1,274 |
* | Energy Recovery Inc. | 520,937 | 1,250 |
Asta Funding Inc. | 129,928 | 1,217 | |
Hardinge Inc. | 133,279 | 1,213 | |
*,^ | Genco Shipping & Trading Ltd. | 396,249 | 1,209 |
* | AT Cross Co. Class A | 114,331 | 1,128 |
VSE Corp. | 46,432 | 1,105 | |
* | BlueLinx Holdings Inc. | 439,473 | 1,033 |
* | Fuel Tech Inc. | 210,415 | 1,027 |
US Home Systems Inc. | 96,251 | 977 | |
* | PowerSecure International Inc. | 195,776 | 975 |
* | Hill International Inc. | 301,490 | 965 |
* | Orion Energy Systems Inc. | 437,525 | 963 |
*,^ | Valence Technology Inc. | 1,499,817 | 931 |
* | Sparton Corp. | 92,142 | 912 |
* | Ultralife Corp. | 233,201 | 900 |
* | Tecumseh Products Co. Class A | 168,953 | 853 |
Ceco Environmental Corp. | 107,251 | 847 | |
* | TMS International Corp. Class A | 84,734 | 845 |
* | Magnetek Inc. | 51,674 | 798 |
Coleman Cable Inc. | 90,489 | 786 | |
* | Innovative Solutions & Support Inc. | 238,921 | 786 |
* | Perma-Fix Environmental Services | 666,988 | 780 |
* | Covenant Transportation Group Inc. Class A | 208,915 | 777 |
Eastern Co. | 46,318 | 748 | |
Sypris Solutions Inc. | 107,311 | 748 | |
LS Starrett Co. Class A | 58,996 | 683 | |
Lawson Products Inc. | 71,807 | 664 | |
* | USA Truck Inc. | 139,893 | 659 |
Baltic Trading Ltd. | 187,566 | 645 | |
* | Key Technology Inc. | 64,325 | 643 |
*,^ | Eagle Bulk Shipping Inc. | 193,463 | 611 |
* | PGT Inc. | 197,876 | 600 |
PAM Transportation Services Inc. | 61,693 | 595 | |
* | Active Power Inc. | 725,147 | 585 |
Hubbell Inc. Class A | 7,600 | 564 | |
* | Omega Flex Inc. | 44,518 | 530 |
* | Astronics Corp. Class B | 19,957 | 529 |
SL Industries Inc. | 37,937 | 500 | |
* | Supreme Industries Inc. Class A | 101,940 | 399 |
* | Xerium Technologies Inc. | 108,879 | 316 |
* | Integrated Electrical Services Inc. | 113,196 | 310 |
*,^ | Plug Power Inc. | 270,234 | 308 |
*,^ | Satcon Technology Corp. | 1,208,168 | 277 |
*,^ | Lime Energy Co. | 117,752 | 267 |
* | Virco Manufacturing Corp. | 159,526 | 258 |
* | Broadwind Energy Inc. | 915,173 | 247 |
* | Frozen Food Express Industries | 185,060 | 204 |
Standard Register Co. | 262,144 | 157 | |
*,^ | Ocean Power Technologies Inc. | 72,349 | 150 |
*,^ | Altair Nanotechnologies Inc. | 275,512 | 143 |
* | Innotrac Corp. | 73,831 | 105 |
* | Ascent Solar Technologies Inc. | 72,735 | 57 |
* | Ampal American Israel Class A | 328,259 | 42 |
*,^ | Hoku Corp. | 194,120 | 26 |
* | Arotech Corp. | 17,932 | 18 |
* | Innovaro Inc. | 3,814 | 3 |
20,837,467 | |||
Information Technology (19.1%) | |||
* | Apple Inc. | 11,816,603 | 6,900,896 |
Microsoft Corp. | 95,701,996 | 2,927,524 | |
International Business Machines Corp. | 13,950,392 | 2,728,418 | |
* | Google Inc. Class A | 3,269,057 | 1,896,282 |
39
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Intel Corp. | 63,311,904 | 1,687,262 |
Oracle Corp. | 50,952,575 | 1,513,291 |
QUALCOMM Inc. | 21,435,478 | 1,193,527 |
Cisco Systems Inc. | 68,255,115 | 1,171,940 |
Visa Inc. Class A | 6,656,313 | 822,920 |
* EMC Corp. | 26,015,742 | 666,783 |
* eBay Inc. | 14,676,366 | 616,554 |
Mastercard Inc. Class A | 1,384,000 | 595,272 |
Hewlett-Packard Co. | 25,043,245 | 503,620 |
Accenture plc Class A | 8,201,941 | 492,855 |
Texas Instruments Inc. | 14,508,918 | 416,261 |
Automatic Data Processing Inc. | 6,216,411 | 346,005 |
Corning Inc. | 19,279,909 | 249,289 |
* Dell Inc. | 19,345,217 | 242,202 |
* Yahoo! Inc. | 14,605,070 | 231,198 |
* Cognizant Technology Solutions Corp. Class A | 3,842,641 | 230,558 |
* Salesforce.com Inc. | 1,636,912 | 226,319 |
Broadcom Corp. Class A | 6,233,261 | 210,684 |
Intuit Inc. | 3,548,144 | 210,582 |
* Adobe Systems Inc. | 6,254,724 | 202,465 |
* Citrix Systems Inc. | 2,351,516 | 197,386 |
Applied Materials Inc. | 16,353,309 | 187,409 |
* Facebook Inc. Class A | 5,591,493 | 174,007 |
TE Connectivity Ltd. | 5,396,496 | 172,202 |
Motorola Solutions Inc. | 3,422,453 | 164,654 |
* Teradata Corp. | 2,119,074 | 152,595 |
* NetApp Inc. | 4,541,477 | 144,510 |
Analog Devices Inc. | 3,771,364 | 142,067 |
Altera Corp. | 4,081,970 | 138,134 |
* Red Hat Inc. | 2,445,479 | 138,121 |
* Symantec Corp. | 9,246,643 | 135,093 |
Xerox Corp. | 16,867,051 | 132,744 |
Western Union Co. | 7,854,779 | 132,274 |
Paychex Inc. | 4,130,039 | 129,725 |
* Fiserv Inc. | 1,766,052 | 127,544 |
Seagate Technology plc | 5,114,510 | 126,482 |
CA Inc. | 4,307,031 | 116,677 |
Amphenol Corp. Class A | 2,078,181 | 114,134 |
* SanDisk Corp. | 3,068,776 | 111,949 |
Xilinx Inc. | 3,313,141 | 111,222 |
* Juniper Networks Inc. | 6,660,110 | 108,626 |
* NVIDIA Corp. | 7,724,214 | 106,749 |
Avago Technologies Ltd. | 2,931,050 | 105,225 |
* Equinix Inc. | 593,921 | 104,322 |
KLA-Tencor Corp. | 2,109,161 | 103,876 |
* Autodesk Inc. | 2,860,632 | 100,094 |
* F5 Networks Inc. | 1,002,921 | 99,851 |
Fidelity National Information Services Inc. | 2,929,866 | 99,850 |
* Lam Research Corp. | 2,551,915 | 96,309 |
Maxim Integrated Products Inc. | 3,690,742 | 94,631 |
* VMware Inc. Class A | 1,028,681 | 93,651 |
Linear Technology Corp. | 2,899,965 | 90,856 |
* Western Digital Corp. | 2,975,213 | 90,685 |
* BMC Software Inc. | 2,079,881 | 88,769 |
* VeriSign Inc. | 2,020,311 | 88,025 |
* Alliance Data Systems Corp. | 634,013 | 85,592 |
Microchip Technology Inc. | 2,432,384 | 80,463 |
* Micron Technology Inc. | 12,515,501 | 78,973 |
* Nuance Communications Inc. | 3,122,758 | 74,384 |
* ANSYS Inc. | 1,178,351 | 74,366 |
* Trimble Navigation Ltd. | 1,577,919 | 72,600 |
Marvell Technology Group Ltd. | 6,373,947 | 71,898 |
* Akamai Technologies Inc. | 2,249,238 | 71,413 |
Activision Blizzard Inc. | 5,683,246 | 68,142 |
40
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
* Skyworks Solutions Inc. | 2,386,633 | 65,322 |
* TIBCO Software Inc. | 2,111,475 | 63,175 |
Harris Corp. | 1,455,145 | 60,898 |
* Rackspace Hosting Inc. | 1,363,589 | 59,916 |
* Informatica Corp. | 1,358,917 | 57,564 |
* Avnet Inc. | 1,859,011 | 57,369 |
* LinkedIn Corp. Class A | 537,704 | 57,142 |
* Ariba Inc. | 1,257,812 | 56,300 |
* Flextronics International Ltd. | 8,921,076 | 55,311 |
* Synopsys Inc. | 1,818,162 | 53,509 |
* Electronic Arts Inc. | 4,197,932 | 51,844 |
* MICROS Systems Inc. | 1,010,090 | 51,717 |
* Gartner Inc. | 1,180,341 | 50,814 |
FactSet Research Systems Inc. | 540,779 | 50,260 |
Computer Sciences Corp. | 1,961,528 | 48,685 |
Total System Services Inc. | 2,029,743 | 48,572 |
Jabil Circuit Inc. | 2,379,851 | 48,382 |
* Arrow Electronics Inc. | 1,415,834 | 46,454 |
* LSI Corp. | 7,152,257 | 45,560 |
* NCR Corp. | 2,000,894 | 45,480 |
* VeriFone Systems Inc. | 1,347,240 | 44,580 |
IAC/InterActiveCorp | 958,138 | 43,691 |
* Advanced Micro Devices Inc. | 7,485,371 | 42,891 |
Global Payments Inc. | 988,028 | 42,712 |
SAIC Inc. | 3,441,354 | 41,709 |
* ON Semiconductor Corp. | 5,700,834 | 40,476 |
* Concur Technologies Inc. | 585,509 | 39,873 |
* Atmel Corp. | 5,796,465 | 38,836 |
FLIR Systems Inc. | 1,952,768 | 38,079 |
* Cadence Design Systems Inc. | 3,455,078 | 37,971 |
Solera Holdings Inc. | 888,281 | 37,121 |
* Fortinet Inc. | 1,583,340 | 36,765 |
Jack Henry & Associates Inc. | 1,041,754 | 35,961 |
* Cree Inc. | 1,391,188 | 35,712 |
* AOL Inc. | 1,253,093 | 35,187 |
* Ingram Micro Inc. | 1,918,440 | 33,515 |
Broadridge Financial Solutions Inc. | 1,567,475 | 33,340 |
* Teradyne Inc. | 2,348,650 | 33,022 |
National Instruments Corp. | 1,220,104 | 32,772 |
* JDS Uniphase Corp. | 2,948,657 | 32,435 |
MercadoLibre Inc. | 417,672 | 31,660 |
* Parametric Technology Corp. | 1,501,974 | 31,481 |
* Riverbed Technology Inc. | 1,886,507 | 30,467 |
* SolarWinds Inc. | 688,517 | 29,992 |
Diebold Inc. | 783,634 | 28,924 |
* Wright Express Corp. | 464,910 | 28,694 |
* NeuStar Inc. Class A | 849,427 | 28,371 |
* Ultimate Software Group Inc. | 317,307 | 28,278 |
* Aspen Technology Inc. | 1,184,900 | 27,430 |
* Rovi Corp. | 1,387,917 | 27,231 |
* Brocade Communications Systems Inc. | 5,493,167 | 27,081 |
Lender Processing Services Inc. | 1,065,270 | 26,930 |
* Dolby Laboratories Inc. Class A | 647,398 | 26,738 |
* CoStar Group Inc. | 326,101 | 26,479 |
* CommVault Systems Inc. | 530,268 | 26,285 |
* Compuware Corp. | 2,753,299 | 25,578 |
* Tech Data Corp. | 521,973 | 25,143 |
Lexmark International Inc. Class A | 944,276 | 25,099 |
Cypress Semiconductor Corp. | 1,853,457 | 24,503 |
* Cirrus Logic Inc. | 809,291 | 24,182 |
DST Systems Inc. | 444,214 | 24,125 |
* Polycom Inc. | 2,234,555 | 23,508 |
ADTRAN Inc. | 766,799 | 23,150 |
* FEI Co. | 472,991 | 22,628 |
41
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Zebra Technologies Corp. | 656,837 | 22,569 |
* | Fairchild Semiconductor International Inc. Class A | 1,594,645 | 22,485 |
MAXIMUS Inc. | 426,515 | 22,072 | |
Convergys Corp. | 1,494,381 | 22,072 | |
* | ACI Worldwide Inc. | 491,493 | 21,729 |
* | Cymer Inc. | 368,099 | 21,699 |
*,^ | 3D Systems Corp. | 625,204 | 21,344 |
* | Quest Software Inc. | 765,998 | 21,333 |
* | QLIK Technologies Inc. | 959,209 | 21,218 |
* | Itron Inc. | 504,749 | 20,816 |
* | Aruba Networks Inc. | 1,371,688 | 20,644 |
Molex Inc. Class A | 1,017,385 | 20,582 | |
* | Ciena Corp. | 1,242,468 | 20,339 |
* | Microsemi Corp. | 1,095,508 | 20,256 |
* | FleetCor Technologies Inc. | 577,598 | 20,239 |
Fair Isaac Corp. | 476,711 | 20,155 | |
* | Arris Group Inc. | 1,448,308 | 20,146 |
* | Semtech Corp. | 825,160 | 20,068 |
* | CoreLogic Inc. | 1,072,907 | 19,645 |
* | ViaSat Inc. | 513,824 | 19,407 |
Plantronics Inc. | 580,601 | 19,392 | |
* | Silicon Laboratories Inc. | 503,867 | 19,097 |
MKS Instruments Inc. | 658,231 | 19,043 | |
Anixter International Inc. | 357,296 | 18,955 | |
*,^ | Universal Display Corp. | 526,438 | 18,920 |
* | Sourcefire Inc. | 363,652 | 18,692 |
* | Hittite Microwave Corp. | 358,071 | 18,305 |
* | IPG Photonics Corp. | 413,849 | 18,040 |
*,^ | VirnetX Holding Corp. | 509,049 | 17,944 |
* | PMC - Sierra Inc. | 2,913,898 | 17,891 |
Molex Inc. | 742,688 | 17,780 | |
* | Mentor Graphics Corp. | 1,178,456 | 17,677 |
* | CACI International Inc. Class A | 318,853 | 17,543 |
* | International Rectifier Corp. | 870,354 | 17,398 |
* | Cavium Inc. | 620,850 | 17,384 |
* | Vishay Intertechnology Inc. | 1,835,065 | 17,305 |
* | Finisar Corp. | 1,149,940 | 17,203 |
* | QLogic Corp. | 1,252,783 | 17,151 |
*,^ | Veeco Instruments Inc. | 496,074 | 17,045 |
Intersil Corp. Class A | 1,592,332 | 16,958 | |
* | Progress Software Corp. | 811,335 | 16,933 |
* | ValueClick Inc. | 1,030,025 | 16,882 |
* | NetSuite Inc. | 308,084 | 16,874 |
InterDigital Inc. | 567,452 | 16,746 | |
Littelfuse Inc. | 290,070 | 16,502 | |
* | NETGEAR Inc. | 476,390 | 16,440 |
* | Comverse Technology Inc. | 2,751,204 | 16,012 |
* | JDA Software Group Inc. | 539,125 | 16,007 |
* | DealerTrack Holdings Inc. | 530,873 | 15,985 |
* | Cardtronics Inc. | 529,019 | 15,982 |
Cognex Corp. | 502,761 | 15,912 | |
j2 Global Inc. | 592,176 | 15,645 | |
* | OSI Systems Inc. | 237,409 | 15,038 |
* | Acxiom Corp. | 989,886 | 14,957 |
* | Liquidity Services Inc. | 288,752 | 14,781 |
* | RF Micro Devices Inc. | 3,460,528 | 14,707 |
* | Entegris Inc. | 1,719,437 | 14,684 |
Heartland Payment Systems Inc. | 487,972 | 14,678 | |
Tellabs Inc. | 4,390,707 | 14,621 | |
Blackbaud Inc. | 568,300 | 14,588 | |
Sapient Corp. | 1,414,896 | 14,248 | |
* | MicroStrategy Inc. Class A | 105,337 | 13,679 |
* | Tyler Technologies Inc. | 337,033 | 13,599 |
* | Acme Packet Inc. | 728,511 | 13,587 |
42
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Syntel Inc. | 218,491 | 13,262 | |
Power Integrations Inc. | 355,542 | 13,262 | |
* | Stratasys Inc. | 266,864 | 13,223 |
* | Monster Worldwide Inc. | 1,549,475 | 13,171 |
* | WebMD Health Corp. | 638,277 | 13,091 |
* | Coherent Inc. | 301,266 | 13,045 |
*,^ | Fusion-io Inc. | 624,082 | 13,037 |
* | Plexus Corp. | 452,357 | 12,756 |
*,^ | VistaPrint NV | 393,818 | 12,720 |
* | TiVo Inc. | 1,532,680 | 12,675 |
* | EchoStar Corp. Class A | 466,555 | 12,326 |
* | Manhattan Associates Inc. | 265,524 | 12,137 |
* | Synaptics Inc. | 416,919 | 11,936 |
* | Advent Software Inc. | 430,310 | 11,666 |
* | TriQuint Semiconductor Inc. | 2,100,607 | 11,553 |
*,^ | First Solar Inc. | 767,123 | 11,553 |
* | LivePerson Inc. | 603,405 | 11,501 |
* | SYNNEX Corp. | 327,272 | 11,288 |
* | RealPage Inc. | 459,672 | 10,646 |
* | SS&C Technologies Holdings Inc. | 423,432 | 10,586 |
* | Insight Enterprises Inc. | 625,984 | 10,535 |
* | ScanSource Inc. | 342,899 | 10,506 |
* | Integrated Device Technology Inc. | 1,855,760 | 10,429 |
* | Standard Microsystems Corp. | 280,321 | 10,341 |
*,^ | OpenTable Inc. | 228,010 | 10,263 |
* | Ultratech Inc. | 325,455 | 10,252 |
* | Zynga Inc. Class A | 1,873,626 | 10,193 |
* | Benchmark Electronics Inc. | 729,866 | 10,182 |
* | Unisys Corp. | 515,674 | 10,081 |
* | OmniVision Technologies Inc. | 742,697 | 9,922 |
EarthLink Inc. | 1,333,602 | 9,922 | |
Tessera Technologies Inc. | 644,857 | 9,911 | |
NIC Inc. | 771,562 | 9,799 | |
^ | Ebix Inc. | 489,946 | 9,774 |
*,^ | Ancestry.com Inc. | 350,600 | 9,652 |
* | Euronet Worldwide Inc. | 562,675 | 9,633 |
* | Netscout Systems Inc. | 446,141 | 9,632 |
* | Take-Two Interactive Software Inc. | 1,015,704 | 9,609 |
* | Electronics for Imaging Inc. | 569,994 | 9,262 |
* | Kenexa Corp. | 317,780 | 9,225 |
* | Infinera Corp. | 1,347,698 | 9,218 |
* | Bankrate Inc. | 498,428 | 9,166 |
* | Websense Inc. | 488,682 | 9,153 |
* | FARO Technologies Inc. | 212,158 | 8,928 |
* | Web.com Group Inc. | 484,163 | 8,870 |
* | Monolithic Power Systems Inc. | 437,647 | 8,696 |
* | Diodes Inc. | 456,725 | 8,573 |
* | Verint Systems Inc. | 287,915 | 8,496 |
Cabot Microelectronics Corp. | 285,047 | 8,326 | |
* | Spansion Inc. Class A | 756,802 | 8,310 |
* | Sanmina-SCI Corp. | 1,002,282 | 8,209 |
* | GT Advanced Technologies Inc. | 1,551,469 | 8,192 |
* | ATMI Inc. | 393,615 | 8,097 |
* | Bottomline Technologies Inc. | 446,087 | 8,052 |
* | LogMeIn Inc. | 263,557 | 8,044 |
* | BroadSoft Inc. | 275,382 | 7,975 |
Loral Space & Communications Inc. | 117,944 | 7,944 | |
* | Rogers Corp. | 200,241 | 7,932 |
* | Digital River Inc. | 474,904 | 7,893 |
* | Emulex Corp. | 1,082,208 | 7,792 |
*,^ | RealD Inc. | 515,955 | 7,719 |
Brooks Automation Inc. | 817,195 | 7,714 | |
MTS Systems Corp. | 199,805 | 7,702 | |
* | Kulicke & Soffa Industries Inc. | 859,581 | 7,667 |
43
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Monotype Imaging Holdings Inc. | 441,667 | 7,407 |
* | Tangoe Inc. | 342,758 | 7,304 |
Comtech Telecommunications Corp. | 255,533 | 7,303 | |
* | CSG Systems International Inc. | 421,183 | 7,278 |
* | ExlService Holdings Inc. | 294,193 | 7,249 |
* | Rambus Inc. | 1,255,123 | 7,204 |
* | Volterra Semiconductor Corp. | 304,528 | 7,141 |
* | Cornerstone OnDemand Inc. | 297,899 | 7,093 |
* | Advanced Energy Industries Inc. | 521,975 | 7,005 |
Pegasystems Inc. | 208,867 | 6,888 | |
Mantech International Corp.Class A | 291,936 | 6,852 | |
* | Constant Contact Inc. | 381,516 | 6,822 |
* | Amkor Technology Inc. | 1,394,431 | 6,805 |
AVX Corp. | 635,344 | 6,792 | |
* | Synchronoss Technologies Inc. | 365,222 | 6,746 |
* | ServiceSource International Inc. | 486,423 | 6,737 |
Badger Meter Inc. | 178,471 | 6,702 | |
Forrester Research Inc. | 197,102 | 6,674 | |
* | Rofin-Sinar Technologies Inc. | 351,823 | 6,660 |
* | iGATE Corp. | 380,987 | 6,484 |
* | Measurement Specialties Inc. | 198,773 | 6,462 |
* | Accelrys Inc. | 797,413 | 6,451 |
* | Ixia | 533,968 | 6,418 |
* | comScore Inc. | 382,785 | 6,301 |
Park Electrochemical Corp. | 241,285 | 6,244 | |
Black Box Corp. | 217,053 | 6,229 | |
Micrel Inc. | 652,053 | 6,214 | |
* | Freescale Semiconductor Ltd. | 605,564 | 6,207 |
* | TTM Technologies Inc. | 656,808 | 6,181 |
Booz Allen Hamilton Holding Corp. | 401,834 | 6,140 | |
* | MEMC Electronic Materials Inc. | 2,827,549 | 6,136 |
* | Super Micro Computer Inc. | 385,084 | 6,107 |
* | Harmonic Inc. | 1,423,497 | 6,064 |
* | Blucora Inc. | 489,934 | 6,036 |
* | Procera Networks Inc. | 241,591 | 5,873 |
* | Quantum Corp. | 2,888,712 | 5,864 |
* | Entropic Communications Inc. | 1,033,028 | 5,826 |
* | Power-One Inc. | 1,284,792 | 5,807 |
* | Dice Holdings Inc. | 617,643 | 5,800 |
* | Global Cash Access Holdings Inc. | 801,687 | 5,780 |
* | Newport Corp. | 474,649 | 5,705 |
* | TeleTech Holdings Inc. | 354,411 | 5,671 |
* | Sonus Networks Inc. | 2,623,775 | 5,641 |
* | Lattice Semiconductor Corp. | 1,451,774 | 5,473 |
* | TNS Inc. | 299,342 | 5,370 |
OPNET | 199,676 | 5,309 | |
* | DTS Inc. | 202,085 | 5,270 |
* | Interactive Intelligence Group Inc. | 183,430 | 5,175 |
*,^ | Angie's List Inc. | 326,048 | 5,165 |
* | Ceva Inc. | 292,636 | 5,153 |
* | Jive Software Inc. | 235,006 | 4,933 |
*,^ | Higher One Holdings Inc. | 402,777 | 4,922 |
* | Mercury Computer Systems Inc. | 376,462 | 4,868 |
* | Cray Inc. | 402,883 | 4,867 |
EPIQ Systems Inc. | 396,732 | 4,860 | |
* | MIPS Technologies Inc. Class A | 722,064 | 4,816 |
United Online Inc. | 1,111,586 | 4,691 | |
* | PROS Holdings Inc. | 276,033 | 4,643 |
* | Brightpoint Inc. | 850,797 | 4,603 |
* | LTX-Credence Corp. | 679,163 | 4,550 |
* | Move Inc. | 495,786 | 4,517 |
* | Photronics Inc. | 737,797 | 4,501 |
* | STEC Inc. | 574,532 | 4,481 |
* | Silicon Image Inc. | 1,063,451 | 4,403 |
44
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Vocus Inc. | 234,356 | 4,359 |
Cass Information Systems Inc. | 107,875 | 4,342 | |
* | Nanometrics Inc. | 278,366 | 4,276 |
* | Checkpoint Systems Inc. | 487,097 | 4,243 |
* | Extreme Networks | 1,228,070 | 4,225 |
* | Applied Micro Circuits Corp. | 734,847 | 4,203 |
Electro Scientific Industries Inc. | 354,610 | 4,192 | |
* | SPS Commerce Inc. | 137,514 | 4,178 |
*,^ | OCZ Technology Group Inc. | 766,369 | 4,062 |
* | Ellie Mae Inc. | 225,052 | 4,051 |
* | Actuate Corp. | 583,908 | 4,046 |
* | Net 1 UEPS Technologies Inc. | 483,172 | 4,044 |
* | Internap Network Services Corp. | 619,110 | 4,030 |
* | Stamps.com Inc. | 161,306 | 3,979 |
* | FormFactor Inc. | 614,942 | 3,979 |
* | Demand Media Inc. | 351,883 | 3,941 |
* | Perficient Inc. | 348,668 | 3,916 |
* | Sycamore Networks Inc. | 265,048 | 3,849 |
* | PLX Technology Inc. | 605,811 | 3,847 |
* | Active Network Inc. | 249,708 | 3,843 |
* | Exar Corp. | 469,482 | 3,831 |
* | GSI Group Inc. | 331,654 | 3,801 |
* | Intermec Inc. | 610,756 | 3,787 |
Methode Electronics Inc. | 444,294 | 3,781 | |
* | QuinStreet Inc. | 400,295 | 3,707 |
* | SciQuest Inc. | 204,048 | 3,665 |
* | Multi-Fineline Electronix Inc. | 147,819 | 3,642 |
CTS Corp. | 386,295 | 3,639 | |
* | Rudolph Technologies Inc. | 416,906 | 3,635 |
* | NVE Corp. | 65,653 | 3,529 |
* | CIBER Inc. | 816,760 | 3,520 |
* | Fabrinet | 277,400 | 3,481 |
Electro Rent Corp. | 212,141 | 3,443 | |
* | LeCroy Corp. | 240,260 | 3,426 |
* | IXYS Corp. | 305,970 | 3,418 |
* | Avid Technology Inc. | 459,684 | 3,415 |
* | XO Group Inc. | 382,264 | 3,391 |
* | Anaren Inc. | 172,550 | 3,382 |
* | Deltek Inc. | 290,146 | 3,363 |
* | Kemet Corp. | 545,105 | 3,276 |
* | Integrated Silicon Solution Inc. | 323,140 | 3,260 |
* | Symmetricom Inc. | 535,791 | 3,209 |
* | Oplink Communications Inc. | 237,129 | 3,208 |
*,^ | Glu Mobile Inc. | 573,855 | 3,185 |
* | Digi International Inc. | 305,421 | 3,128 |
* | Calix Inc. | 378,484 | 3,111 |
Daktronics Inc. | 443,022 | 3,061 | |
* | Virtusa Corp. | 227,872 | 3,042 |
* | Saba Software Inc. | 325,951 | 3,025 |
* | KVH Industries Inc. | 238,592 | 2,982 |
Keynote Systems Inc. | 200,604 | 2,979 | |
* | MoneyGram International Inc. | 202,438 | 2,956 |
* | VASCO Data Security International Inc. | 361,196 | 2,955 |
* | Kopin Corp. | 833,592 | 2,868 |
Cohu Inc. | 280,721 | 2,852 | |
* | PDF Solutions Inc. | 288,306 | 2,846 |
* | support.com Inc. | 884,947 | 2,823 |
* | Seachange International Inc. | 342,002 | 2,815 |
* | Responsys Inc. | 231,728 | 2,809 |
American Software Inc. Class A | 349,984 | 2,782 | |
RealNetworks Inc. | 320,582 | 2,770 | |
* | Agilysys Inc. | 319,178 | 2,767 |
* | Computer Task Group Inc. | 180,422 | 2,705 |
* | Zygo Corp. | 150,918 | 2,695 |
45
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Magnachip Semiconductor Corp. | 278,209 | 2,651 |
* | InvenSense Inc. | 234,131 | 2,646 |
* | Lionbridge Technologies Inc. | 827,322 | 2,606 |
* | Limelight Networks Inc. | 869,610 | 2,548 |
* | Supertex Inc. | 134,855 | 2,542 |
* | Globecomm Systems Inc. | 248,909 | 2,524 |
* | Sigma Designs Inc. | 395,566 | 2,524 |
* | Rubicon Technology Inc. | 244,664 | 2,496 |
Unwired Planet Inc. | 1,082,594 | 2,490 | |
Telular Corp. | 267,813 | 2,475 | |
* | Pericom Semiconductor Corp. | 271,949 | 2,448 |
* | Datalink Corp. | 253,845 | 2,424 |
* | Envestnet Inc. | 201,894 | 2,423 |
Richardson Electronics Ltd. | 193,571 | 2,387 | |
* | CalAmp Corp. | 325,506 | 2,386 |
* | SunPower Corp. Class A | 492,146 | 2,367 |
* | Silicon Graphics International Corp. | 367,500 | 2,359 |
*,^ | Travelzoo Inc. | 100,479 | 2,283 |
* | Maxwell Technologies Inc. | 335,462 | 2,201 |
* | Inphi Corp. | 229,922 | 2,180 |
* | Imation Corp. | 367,532 | 2,172 |
*,^ | KIT Digital Inc. | 501,327 | 2,151 |
* | PRGX Global Inc. | 269,555 | 2,143 |
* | ePlus Inc. | 65,434 | 2,117 |
* | Imperva Inc. | 72,987 | 2,103 |
Digimarc Corp. | 81,919 | 2,102 | |
* | Zix Corp. | 800,412 | 2,081 |
* | Hackett Group Inc. | 371,255 | 2,068 |
* | Intevac Inc. | 269,277 | 2,025 |
* | Innodata Inc. | 294,376 | 2,014 |
* | ShoreTel Inc. | 456,264 | 1,998 |
* | Rosetta Stone Inc. | 144,087 | 1,994 |
* | Aviat Networks Inc. | 704,639 | 1,973 |
* | Vishay Precision Group Inc. | 141,240 | 1,970 |
* | AuthenTec Inc. | 449,088 | 1,945 |
* | IntraLinks Holdings Inc. | 439,570 | 1,925 |
* | Ipass Inc. | 799,631 | 1,903 |
* | Immersion Corp. | 331,871 | 1,868 |
* | Axcelis Technologies Inc. | 1,539,897 | 1,848 |
*,^ | Oclaro Inc. | 605,427 | 1,841 |
* | Ultra Clean Holdings | 281,883 | 1,813 |
* | Callidus Software Inc. | 362,212 | 1,804 |
* | Guidance Software Inc. | 189,061 | 1,798 |
* | Alpha & Omega Semiconductor Ltd. | 196,329 | 1,796 |
Bel Fuse Inc. Class B | 99,541 | 1,753 | |
* | Pervasive Software Inc. | 223,547 | 1,674 |
* | FSI International Inc. | 462,204 | 1,659 |
* | DSP Group Inc. | 261,128 | 1,656 |
* | ModusLink Global Solutions Inc. | 533,588 | 1,595 |
* | STR Holdings Inc. | 348,664 | 1,590 |
* | SRS Labs Inc. | 176,138 | 1,585 |
*,^ | Parkervision Inc. | 659,721 | 1,570 |
* | Westell Technologies Inc. Class A | 653,575 | 1,556 |
* | Echelon Corp. | 445,959 | 1,552 |
* | Aeroflex Holding Corp. | 252,929 | 1,530 |
* | AXT Inc. | 386,611 | 1,527 |
* | Transact Technologies Inc. | 192,561 | 1,485 |
* | ANADIGICS Inc. | 812,569 | 1,471 |
Aware Inc. | 224,568 | 1,448 | |
* | Market Leader Inc. | 283,855 | 1,442 |
PC Connection Inc. | 134,619 | 1,430 | |
PC-Tel Inc. | 215,187 | 1,392 | |
* | Radisys Corp. | 214,736 | 1,349 |
Rimage Corp. | 158,529 | 1,268 |
46
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | MoSys Inc. | 390,706 | 1,266 |
* | Emcore Corp. | 282,022 | 1,247 |
* | GSE Systems Inc. | 528,356 | 1,215 |
* | FalconStor Software Inc. | 454,255 | 1,186 |
*,^ | QuickLogic Corp. | 471,220 | 1,183 |
* | Ramtron International Corp. | 381,415 | 1,152 |
* | Mattson Technology Inc. | 652,960 | 1,143 |
* | Reis Inc. | 116,004 | 1,114 |
* | PC Mall Inc. | 205,498 | 1,112 |
* | TeleNav Inc. | 180,642 | 1,107 |
* | MaxLinear Inc. | 217,307 | 1,078 |
* | Online Resources Corp. | 433,075 | 1,052 |
*,^ | NeoPhotonics Corp. | 203,122 | 1,003 |
* | GSI Technology Inc. | 207,591 | 984 |
* | Mitel Networks Corp. | 222,453 | 983 |
* | TechTarget Inc. | 194,777 | 982 |
QAD Inc. Class A | 67,864 | 965 | |
* | Mindspeed Technologies Inc. | 391,210 | 962 |
* | Viasystems Group Inc. | 56,533 | 961 |
Tessco Technologies Inc. | 42,366 | 934 | |
Marchex Inc. Class B | 258,643 | 934 | |
* | Dynamics Research Corp. | 159,180 | 925 |
MOCON Inc. | 59,977 | 924 | |
* | Mattersight Corp. | 115,122 | 919 |
* | PAR Technology Corp. | 184,916 | 912 |
* | Novatel Wireless Inc. | 365,505 | 910 |
* | ID Systems Inc. | 200,490 | 878 |
* | CyberOptics Corp. | 100,886 | 853 |
Pulse Electronics Corp. | 432,720 | 852 | |
*,^ | Wave Systems Corp. Class A | 1,228,651 | 848 |
* | LoJack Corp. | 277,452 | 838 |
* | Concurrent Computer Corp. | 199,855 | 829 |
* | Smith Micro Software Inc. | 441,823 | 813 |
* | TeleCommunication Systems Inc. Class A | 638,441 | 785 |
* | Edgewater Technology Inc. | 201,084 | 782 |
* | Opnext Inc. | 601,246 | 758 |
* | Numerex Corp. Class A | 79,562 | 740 |
* | Dot Hill Systems Corp. | 619,244 | 706 |
Evolving Systems Inc. | 127,521 | 701 | |
* | Network Engines Inc. | 479,300 | 676 |
* | Bsquare Corp. | 230,553 | 673 |
^ | THQ Inc. | 1,035,588 | 642 |
*,^ | Document Security Systems Inc. | 151,514 | 608 |
* | Frequency Electronics Inc. | 74,210 | 600 |
TheStreet Inc. | 395,735 | 594 | |
Crexendo Inc. | 155,896 | 578 | |
*,^ | Mitek Systems Inc. | 145,038 | 564 |
* | Intermolecular Inc. | 72,527 | 562 |
* | Official Payments Holdings Inc. Class B | 141,494 | 552 |
* | StarTek Inc. | 185,625 | 538 |
* | Cinedigm Digital Cinema Corp. Class A | 348,200 | 522 |
*,^ | Research Frontiers Inc. | 162,682 | 508 |
*,^ | Microvision Inc. | 314,341 | 506 |
* | Spark Networks Inc. | 92,706 | 478 |
* | Ikanos Communications Inc. | 537,121 | 465 |
* | Pixelworks Inc. | 190,441 | 461 |
* | Identive Group Inc. | 485,954 | 455 |
* | NAPCO Security Technologies Inc. | 143,058 | 421 |
* | Carbonite Inc. | 43,851 | 392 |
* | Performance Technologies Inc. | 170,701 | 382 |
* | MEMSIC Inc. | 144,104 | 375 |
* | Transwitch Corp. | 322,489 | 355 |
* | LRAD Corp. | 289,775 | 345 |
*,^ | Hutchinson Technology Inc. | 210,911 | 308 |
47
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | Amtech Systems Inc. | 81,490 | 306 |
* | Rainmaker Systems Inc. | 344,423 | 289 |
* | Newtek Business Services Inc. | 217,217 | 269 |
* | Planar Systems Inc. | 152,240 | 251 |
* | Network Equipment Technologies Inc. | 191,685 | 251 |
* | Autobytel Inc. | 332,267 | 250 |
*,^ | Powerwave Technologies Inc. | 324,637 | 235 |
* | NCI Inc. Class A | 57,689 | 234 |
* | Ditech Networks Inc. | 259,033 | 223 |
QAD Inc. Class B | 16,312 | 221 | |
* | Information Services Group Inc. | 154,004 | 199 |
* | Looksmart Ltd. | 254,911 | 198 |
Bel Fuse Inc. Class A | 10,580 | 192 | |
* | Video Display Corp. | 48,546 | 186 |
* | Cascade Microtech Inc. | 40,664 | 185 |
* | Intellicheck Mobilisa Inc. | 94,812 | 163 |
* | WebMediaBrands Inc. | 220,430 | 139 |
* | Wireless Telecom Group Inc. | 98,456 | 121 |
* | iGO Inc. | 269,850 | 113 |
*,^ | Meru Networks Inc. | 63,605 | 111 |
* | Presstek Inc. | 225,849 | 96 |
* | Superconductor Technologies Inc. | 115,555 | 73 |
* | Selectica Inc. | 16,769 | 66 |
* | Lantronix Inc. | 30,990 | 63 |
* | BTU International Inc. | 23,003 | 61 |
* | Motricity Inc. | 89,156 | 55 |
* | Management Network Group Inc. | 25,306 | 54 |
* | Zhone Technologies Inc. | 82,400 | 54 |
* | Spire Corp. | 41,453 | 25 |
* | Digital Ally Inc. | 700 | — |
* | Qualstar Corp. | 100 | — |
36,332,884 | |||
Materials (3.9%) | |||
EI du Pont de Nemours & Co. | 11,813,133 | 597,390 | |
Monsanto Co. | 6,783,830 | 561,565 | |
Dow Chemical Co. | 15,020,402 | 473,143 | |
Praxair Inc. | 3,781,445 | 411,157 | |
Freeport-McMoRan Copper & Gold Inc. | 12,016,434 | 409,400 | |
Newmont Mining Corp. | 6,271,679 | 304,239 | |
Ecolab Inc. | 3,689,968 | 252,873 | |
Air Products & Chemicals Inc. | 2,667,537 | 215,350 | |
Mosaic Co. | 3,758,580 | 205,820 | |
PPG Industries Inc. | 1,937,030 | 205,558 | |
LyondellBasell Industries NV Class A | 3,995,921 | 160,916 | |
CF Industries Holdings Inc. | 829,250 | 160,659 | |
Nucor Corp. | 4,012,494 | 152,074 | |
International Paper Co. | 5,257,843 | 152,004 | |
Sherwin-Williams Co. | 1,121,289 | 148,403 | |
Alcoa Inc. | 13,490,044 | 118,038 | |
Sigma-Aldrich Corp. | 1,527,755 | 112,947 | |
FMC Corp. | 1,772,154 | 94,775 | |
Cliffs Natural Resources Inc. | 1,796,602 | 88,554 | |
Eastman Chemical Co. | 1,732,391 | 87,261 | |
Ball Corp. | 1,910,440 | 78,424 | |
Airgas Inc. | 822,443 | 69,093 | |
Ashland Inc. | 991,633 | 68,730 | |
Celanese Corp. Class A | 1,984,881 | 68,717 | |
Albemarle Corp. | 1,125,729 | 67,138 | |
* | Crown Holdings Inc. | 1,895,496 | 65,376 |
Vulcan Materials Co. | 1,637,614 | 65,030 | |
MeadWestvaco Corp. | 2,164,895 | 62,241 | |
Valspar Corp. | 1,120,820 | 58,832 | |
Royal Gold Inc. | 745,149 | 58,420 |
48
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
International Flavors & Fragrances Inc. | 1,024,202 | 56,126 | |
Rock-Tenn Co. Class A | 892,122 | 48,665 | |
Reliance Steel & Aluminum Co. | 946,516 | 47,799 | |
* | WR Grace & Co. | 915,788 | 46,201 |
Martin Marietta Materials Inc. | 575,684 | 45,375 | |
RPM International Inc. | 1,660,288 | 45,160 | |
Solutia Inc. | 1,546,621 | 43,383 | |
Aptargroup Inc. | 836,172 | 42,687 | |
Allegheny Technologies Inc. | 1,278,140 | 40,760 | |
Bemis Co. Inc. | 1,299,798 | 40,736 | |
^ | United States Steel Corp. | 1,902,877 | 39,199 |
Rockwood Holdings Inc. | 883,511 | 39,184 | |
* | Owens-Illinois Inc. | 2,036,200 | 39,034 |
Sonoco Products Co. | 1,269,515 | 38,276 | |
Domtar Corp. | 476,812 | 36,576 | |
Sealed Air Corp. | 2,298,627 | 35,491 | |
Packaging Corp. of America | 1,245,276 | 35,167 | |
Walter Energy Inc. | 787,087 | 34,758 | |
Cytec Industries Inc. | 572,706 | 33,583 | |
Huntsman Corp. | 2,550,335 | 33,001 | |
Cabot Corp. | 798,954 | 32,517 | |
Compass Minerals International Inc. | 416,427 | 31,765 | |
Steel Dynamics Inc. | 2,622,341 | 30,812 | |
* | Allied Nevada Gold Corp. | 1,072,878 | 30,448 |
NewMarket Corp. | 135,599 | 29,371 | |
Silgan Holdings Inc. | 662,513 | 28,283 | |
Carpenter Technology Corp. | 560,808 | 26,829 | |
Sensient Technologies Corp. | 633,368 | 23,264 | |
Scotts Miracle-Gro Co. Class A | 541,912 | 22,283 | |
Olin Corp. | 1,014,474 | 21,192 | |
Eagle Materials Inc. | 537,164 | 20,058 | |
* | Coeur d'Alene Mines Corp. | 1,131,533 | 19,870 |
HB Fuller Co. | 622,284 | 19,104 | |
* | Louisiana-Pacific Corp. | 1,723,855 | 18,756 |
Commercial Metals Co. | 1,438,211 | 18,179 | |
*,^ | Molycorp Inc. | 836,922 | 18,036 |
* | Chemtura Corp. | 1,222,254 | 17,723 |
Hecla Mining Co. | 3,613,673 | 17,165 | |
* | Intrepid Potash Inc. | 711,183 | 16,187 |
PolyOne Corp. | 1,137,310 | 15,558 | |
Innophos Holdings Inc. | 270,536 | 15,274 | |
Worthington Industries Inc. | 716,238 | 14,661 | |
Schweitzer-Mauduit International Inc. | 212,382 | 14,472 | |
Minerals Technologies Inc. | 224,230 | 14,301 | |
*,^ | Resolute Forest Products | 1,229,510 | 14,238 |
Buckeye Technologies Inc. | 493,839 | 14,069 | |
Westlake Chemical Corp. | 251,859 | 13,162 | |
* | SunCoke Energy Inc. | 875,924 | 12,832 |
Greif Inc. Class A | 311,712 | 12,780 | |
Titanium Metals Corp. | 1,109,769 | 12,551 | |
* | Stillwater Mining Co. | 1,462,572 | 12,490 |
Balchem Corp. | 369,732 | 12,057 | |
Georgia Gulf Corp. | 435,365 | 11,176 | |
Kaiser Aluminum Corp. | 215,125 | 11,152 | |
Globe Specialty Metals Inc. | 805,114 | 10,813 | |
^ | Gold Resource Corp. | 399,163 | 10,374 |
Stepan Co. | 110,146 | 10,374 | |
* | Calgon Carbon Corp. | 704,937 | 10,024 |
* | Clearwater Paper Corp. | 288,979 | 9,860 |
PH Glatfelter Co. | 583,938 | 9,559 | |
* | Graphic Packaging Holding Co. | 1,684,109 | 9,263 |
AMCOL International Corp. | 320,963 | 9,086 | |
* | Kraton Performance Polymers Inc. | 406,674 | 8,910 |
Texas Industries Inc. | 223,902 | 8,734 |
49
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Koppers Holdings Inc. | 254,957 | 8,669 | |
Boise Inc. | 1,301,217 | 8,562 | |
Deltic Timber Corp. | 140,273 | 8,554 | |
* | RTI International Metals Inc. | 374,485 | 8,475 |
Schnitzer Steel Industries Inc. | 300,632 | 8,424 | |
^ | AK Steel Holding Corp. | 1,364,721 | 8,011 |
Haynes International Inc. | 155,577 | 7,925 | |
* | KapStone Paper and Packaging Corp. | 485,936 | 7,702 |
* | Innospec Inc. | 257,908 | 7,637 |
* | OM Group Inc. | 398,597 | 7,573 |
A Schulman Inc. | 375,715 | 7,458 | |
* | McEwen Mining Inc. | 2,470,740 | 7,437 |
* | LSB Industries Inc. | 239,488 | 7,403 |
Quaker Chemical Corp. | 159,080 | 7,351 | |
American Vanguard Corp. | 271,427 | 7,217 | |
* | TPC Group Inc. | 165,877 | 6,129 |
* | Horsehead Holding Corp. | 588,087 | 5,857 |
Myers Industries Inc. | 336,963 | 5,782 | |
Wausau Paper Corp. | 564,046 | 5,488 | |
Materion Corp. | 237,283 | 5,465 | |
Neenah Paper Inc. | 203,625 | 5,435 | |
* | Flotek Industries Inc. | 581,719 | 5,433 |
* | Century Aluminum Co. | 724,063 | 5,307 |
* | Ferro Corp. | 1,013,536 | 4,865 |
* | Omnova Solutions Inc. | 608,115 | 4,585 |
Hawkins Inc. | 118,137 | 4,510 | |
^ | Kronos Worldwide Inc. | 283,241 | 4,472 |
Tredegar Corp. | 284,128 | 4,137 | |
* | Headwaters Inc. | 750,343 | 3,864 |
Zep Inc. | 270,233 | 3,710 | |
*,^ | Paramount Gold and Silver Corp. | 1,428,052 | 3,427 |
* | Universal Stainless & Alloy | 82,574 | 3,394 |
* | Zoltek Cos. Inc. | 372,404 | 3,363 |
Noranda Aluminum Holding Corp. | 411,718 | 3,277 | |
* | Mercer International Inc. | 572,779 | 3,271 |
* | AEP Industries Inc. | 69,911 | 3,045 |
* | General Moly Inc. | 863,505 | 2,711 |
* | Landec Corp. | 294,469 | 2,521 |
* | ADA-ES Inc. | 98,036 | 2,487 |
* | Metals USA Holdings Corp. | 154,554 | 2,459 |
Olympic Steel Inc. | 137,084 | 2,251 | |
* | AM Castle & Co. | 204,817 | 2,175 |
* | Spartech Corp. | 404,752 | 2,093 |
*,^ | Golden Minerals Co. | 388,888 | 1,754 |
KMG Chemicals Inc. | 87,595 | 1,689 | |
*,^ | Midway Gold Corp. | 1,060,663 | 1,474 |
* | Arabian American Development Co. | 148,357 | 1,438 |
* | United States Lime & Minerals Inc. | 30,170 | 1,408 |
* | American Pacific Corp. | 127,766 | 1,347 |
Chase Corp. | 87,854 | 1,160 | |
* | Senomyx Inc. | 475,555 | 1,118 |
* | Penford Corp. | 116,249 | 1,040 |
* | Solitario Exploration & Royalty Corp. | 368,557 | 486 |
* | Handy & Harman Ltd. | 31,246 | 421 |
* | Verso Paper Corp. | 183,061 | 216 |
*,^ | Clean Diesel Technologies Inc. | 41,929 | 83 |
* | Continental Materials Corp. | 3,495 | 46 |
7,378,491 | |||
Telecommunication Services (2.9%) | |||
AT&T Inc. | 75,134,203 | 2,679,286 | |
Verizon Communications Inc. | 35,932,112 | 1,596,823 | |
CenturyLink Inc. | 7,849,218 | 309,966 | |
* | Crown Castle International Corp. | 3,604,175 | 211,421 |
* | Sprint Nextel Corp. | 37,977,719 | 123,807 |
50
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
* | SBA Communications Corp. Class A | 1,464,408 | 83,544 |
Windstream Corp. | 7,403,109 | 71,514 | |
* | tw telecom inc Class A | 1,900,280 | 48,761 |
^ | Frontier Communications Corp. | 12,606,454 | 48,283 |
* | Level 3 Communications Inc. | 1,905,803 | 42,213 |
Telephone & Data Systems Inc. | 1,216,909 | 25,908 | |
AboveNet Inc. | 281,772 | 23,669 | |
* | MetroPCS Communications Inc. | 3,869,908 | 23,413 |
* | NII Holdings Inc. | 2,160,876 | 22,106 |
* | Cogent Communications Group Inc. | 549,647 | 10,581 |
* | Cincinnati Bell Inc. | 2,388,403 | 8,885 |
* | United States Cellular Corp. | 173,736 | 6,710 |
* | Iridium Communications Inc. | 638,182 | 5,718 |
* | Premiere Global Services Inc. | 642,138 | 5,387 |
* | Neutral Tandem Inc. | 390,727 | 5,150 |
Consolidated Communications Holdings Inc. | 345,853 | 5,119 | |
* | Clearwire Corp. Class A | 4,429,076 | 4,960 |
* | Leap Wireless International Inc. | 767,242 | 4,933 |
Atlantic Tele-Network Inc. | 127,456 | 4,299 | |
* | Vonage Holdings Corp. | 2,082,959 | 4,187 |
NTELOS Holdings Corp. | 216,276 | 4,077 | |
Shenandoah Telecommunications Co. | 271,992 | 3,702 | |
* | 8x8 Inc. | 865,302 | 3,634 |
USA Mobility Inc. | 274,647 | 3,532 | |
^ | SureWest Communications | 156,440 | 3,296 |
HickoryTech Corp. | 289,112 | 3,212 | |
* | General Communication Inc. Class A | 385,747 | 3,205 |
* | Cbeyond Inc. | 383,611 | 2,597 |
*,^ | Towerstream Corp. | 559,651 | 2,322 |
Lumos Networks Corp. | 216,164 | 2,043 | |
Primus Telecommunications Group Inc. | 127,729 | 1,989 | |
IDT Corp. Class B | 189,546 | 1,859 | |
* | Boingo Wireless Inc. | 155,222 | 1,804 |
* | ORBCOMM Inc. | 399,560 | 1,303 |
Warwick Valley Telephone Co. | 91,123 | 1,201 | |
^ | Alaska Communications Systems Group Inc. | 514,860 | 1,081 |
* | inContact Inc. | 146,861 | 736 |
*,^ | Globalstar Inc. | 1,503,062 | 481 |
*,^ | Elephant Talk Communications Inc. | 156,895 | 264 |
5,418,981 | |||
Utilities (3.7%) | |||
Southern Co. | 10,922,157 | 505,696 | |
Exelon Corp. | 10,788,650 | 405,869 | |
Duke Energy Corp. | 16,926,152 | 390,317 | |
Dominion Resources Inc. | 7,224,048 | 390,099 | |
NextEra Energy Inc. | 5,010,292 | 344,758 | |
FirstEnergy Corp. | 5,298,176 | 260,617 | |
American Electric Power Co. Inc. | 6,124,183 | 244,355 | |
PG&E Corp. | 5,230,061 | 236,765 | |
Consolidated Edison Inc. | 3,710,189 | 230,737 | |
Progress Energy Inc. | 3,739,566 | 225,010 | |
Public Service Enterprise Group Inc. | 6,409,559 | 208,311 | |
PPL Corp. | 7,336,635 | 204,032 | |
Sempra Energy | 2,886,107 | 198,795 | |
Edison International | 3,919,455 | 181,079 | |
Xcel Energy Inc. | 6,168,652 | 175,251 | |
Northeast Utilities | 3,964,600 | 153,866 | |
Entergy Corp. | 2,236,689 | 151,849 | |
DTE Energy Co. | 2,144,985 | 127,262 | |
Wisconsin Energy Corp. | 2,918,422 | 115,482 | |
CenterPoint Energy Inc. | 5,126,297 | 105,961 | |
ONEOK Inc. | 2,502,950 | 105,900 | |
* | AES Corp. | 8,244,020 | 105,771 |
Ameren Corp. | 3,063,868 | 102,762 |
51
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
NiSource Inc. | 3,573,230 | 88,437 |
CMS Energy Corp. | 3,256,387 | 76,525 |
American Water Works Co. Inc. | 2,222,508 | 76,188 |
SCANA Corp. | 1,568,398 | 75,032 |
Pinnacle West Capital Corp. | 1,381,984 | 71,504 |
* Calpine Corp. | 3,971,082 | 65,563 |
OGE Energy Corp. | 1,241,308 | 64,287 |
Alliant Energy Corp. | 1,405,939 | 64,069 |
AGL Resources Inc. | 1,480,640 | 57,375 |
Pepco Holdings Inc. | 2,877,556 | 56,314 |
Integrys Energy Group Inc. | 989,039 | 56,247 |
NV Energy Inc. | 2,982,478 | 52,432 |
* NRG Energy Inc. | 2,919,991 | 50,691 |
MDU Resources Group Inc. | 2,326,846 | 50,283 |
Westar Energy Inc. | 1,593,449 | 47,724 |
Questar Corp. | 2,254,580 | 47,030 |
TECO Energy Inc. | 2,590,463 | 46,784 |
ITC Holdings Corp. | 649,896 | 44,784 |
Aqua America Inc. | 1,755,376 | 43,814 |
UGI Corp. | 1,446,313 | 42,565 |
National Fuel Gas Co. | 891,982 | 41,905 |
Atmos Energy Corp. | 1,140,305 | 39,990 |
Great Plains Energy Inc. | 1,717,082 | 36,763 |
Hawaiian Electric Industries Inc. | 1,215,222 | 34,658 |
Cleco Corp. | 768,777 | 32,158 |
Vectren Corp. | 1,035,913 | 30,580 |
Piedmont Natural Gas Co. Inc. | 916,340 | 29,497 |
IDACORP Inc. | 631,287 | 26,564 |
WGL Holdings Inc. | 651,256 | 25,887 |
Southwest Gas Corp. | 582,719 | 25,436 |
Portland General Electric Co. | 952,665 | 25,398 |
New Jersey Resources Corp. | 525,106 | 22,900 |
UIL Holdings Corp. | 638,365 | 22,892 |
PNM Resources Inc. | 1,023,548 | 20,000 |
Avista Corp. | 740,254 | 19,765 |
South Jersey Industries Inc. | 382,413 | 19,492 |
UNS Energy Corp. | 480,040 | 18,438 |
ALLETE Inc. | 426,889 | 17,844 |
Black Hills Corp. | 527,741 | 16,977 |
NorthWestern Corp. | 458,760 | 16,836 |
* GenOn Energy Inc. | 9,643,663 | 16,491 |
Northwest Natural Gas Co. | 338,906 | 16,132 |
El Paso Electric Co. | 481,862 | 15,978 |
MGE Energy Inc. | 288,373 | 13,640 |
CH Energy Group Inc. | 177,882 | 11,685 |
Empire District Electric Co. | 523,070 | 11,037 |
Laclede Group Inc. | 265,817 | 10,582 |
American States Water Co. | 234,783 | 9,293 |
Otter Tail Corp. | 404,242 | 9,245 |
California Water Service Group | 494,164 | 9,127 |
Chesapeake Utilities Corp. | 125,428 | 5,484 |
Ormat Technologies Inc. | 244,325 | 5,226 |
Middlesex Water Co. | 236,771 | 4,499 |
Unitil Corp. | 157,982 | 4,186 |
SJW Corp. | 169,280 | 4,064 |
Connecticut Water Service Inc. | 137,606 | 3,988 |
York Water Co. | 153,356 | 2,743 |
Artesian Resources Corp. Class A | 88,292 | 1,902 |
Delta Natural Gas Co. Inc. | 74,169 | 1,612 |
Consolidated Water Co. Ltd. | 179,323 | 1,487 |
Genie Energy Ltd. Class B | 187,689 | 1,458 |
* Cadiz Inc. | 150,895 | 1,088 |
* Dynegy Inc. Class A | 1,194,633 | 699 |
* Synthesis Energy Systems Inc. | 268,632 | 328 |
52
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2012
Market | |||||
Value | |||||
Shares | ($000) | ||||
RGC Resources Inc. | 16,970 | 303 | |||
*,^ | American DG Energy Inc. | 128,662 | 292 | ||
* | Pure Cycle Corp. | 119,802 | 258 | ||
7,034,999 | |||||
Total Common Stocks (Cost $163,196,068) | 189,238,013 | ||||
Coupon | |||||
Temporary Cash Investments (0.8%) 1 | |||||
Money Market Fund (0.8%)1 | |||||
2,3 | Vanguard Market Liquidity Fund | 0.148% | 1,396,280,684 | 1,396,281 | |
Face | |||||
Maturity | Amount | ||||
Coupon | Date | ($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||||
4,5 | Fannie Mae Discount Notes | 0.130% | 8/22/12 | 1,500 | 1,500 |
4,5 | Freddie Mac Discount Notes | 0.150% | 8/27/12 | 11,800 | 11,797 |
4,5 | Freddie Mac Discount Notes | 0.145% | 9/17/12 | 5,000 | 4,998 |
5 | United States Treasury Note/Bond | 0.375% | 8/31/12 | 40,000 | 40,012 |
58,307 | |||||
Total Temporary Cash Investments (Cost $1,454,592) | 1,454,588 | ||||
Total Investments (100.2%) (Cost $164,650,660) | 190,692,601 | ||||
Other Assets and Liabilities—Net (-0.2%)3 | (359,929) | ||||
Net Assets (100%) | 190,332,672 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $394,155,000.
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 $415,930,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
5 Securities with a value of $57,807,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
53
© 2012 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 852 082012
Item 2:
Not Applicable.
Item 3:
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 21, 2012 |
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 21, 2012 |
VANGUARD INDEX FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: August 21, 2012 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number 2-11444, Incorporated by Reference.