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: 811-02652
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, 2013 – June 30, 2013
Item 1: Reports to Shareholders
Semiannual Report | June 30, 2013
Vanguard 500 Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/indexx1x2.jpg)
> For the six months ended June 30, 2013, Vanguard 500 Index Fund closely tracked the 13.82% return of its benchmark, the Standard & Poor’s 500 Index.
> The fund finished with its strongest first half of any year since 1998.
> Financial, health care, and consumer discretionary stocks contributed the most to the fund’s return.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 6 |
Performance Summary. | 8 |
Financial Statements. | 9 |
About Your Fund’s Expenses. | 27 |
Trustees Approve Advisory Arrangement. | 29 |
Glossary. | 30 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended June 30, 2013
Total | |
Returns | |
Vanguard 500 Index Fund | |
Investor Shares | 13.74% |
Admiral™ Shares | 13.81 |
Signal® Shares | 13.80 |
ETF Shares | |
Market Price | 13.76 |
Net Asset Value | 13.80 |
S&P 500 Index | 13.82 |
Large-Cap Core Funds Average | 13.22 |
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, 2012, Through June 30, 2013
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard 500 Index Fund | ||||
Investor Shares | $131.37 | $148.06 | $1.332 | $0.000 |
Admiral Shares | 131.37 | 148.05 | 1.419 | 0.000 |
Signal Shares | 108.52 | 122.29 | 1.173 | 0.000 |
ETF Shares | 65.19 | 73.46 | 0.704 | 0.000 |
1
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Chairman’s Letter
Dear Shareholder,
Vanguard 500 Index Fund produced its strongest first-half result in 15 years, despite turbulence late in the six-month period ended June 30, 2013.
For most of the period, U.S. stocks were on the ascent amid signs that the housing recovery was progressing and the job market was perking up. But markets turned rocky after Federal Reserve Chairman Ben Bernanke said June 19 that the central bank might decide to begin scaling back its stimulative bond-buying later this year.
Still, U.S. stocks remained a safe haven for many investors anxious about unrest in Brazil and the Middle East, the recession in Europe, and signs of trouble in China’s economy. Outside the United States, results were muted for stocks in developed markets from Europe to Asia. Stocks in emerging markets tumbled.
The 500 Index Fund returned nearly 14% for the half year, closely tracking its benchmark, the Standard & Poor’s 500 Index, and surpassing the average return of its peer group, which consists of large-capitalization core funds.
All ten industry sectors posted positive returns. Financial, health care, and consumer discretionary stocks contributed the most to the fund’s advance. Information technology stocks, the fund’s largest sector holding, turned in modest results.
2
As domestic stocks rallied, their bond counterparts retreated
While U.S. stocks generated robust returns for the six months, the same cannot be said for the U.S. bond market, which had its worst first-half performance since 1994.
Bond returns, which sputtered along through most of the half year, turned negative in May and retreated further in June. The broad U.S. taxable bond market returned –2.44% for the six months as concerns about the Fed’s plans roiled fixed income investors even more than equity investors. Municipal bonds fared worse than taxable issues, returning –2.69%.
The yield of the 10-year Treasury note finished the six months at 2.47%, jumping from 2.11% at the end of May and 1.67% at the end of April. (Bond yields and prices move in opposite directions.) The Fed kept its target for short-term rates between 0% and 0.25%. Returns from money market funds and savings accounts have been minuscule since the Fed imposed the historically low rates in December 2008 to combat the financial crisis.
Markets were clearly unsettled by the prospect of the Fed’s scaling back its stimulus measures, known as quantitative easing. However, Vanguard’s chief economist, Joe Davis, pointed to a positive message in the Fed’s evolving stance. “The Federal Reserve is coming closer to the realization that the U.S. economy is stronger today than it was a year ago and so does not need the insurance, so to speak, of additional quantitative easing,” he said.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2013 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.91% | 21.24% | 7.12% |
Russell 2000 Index (Small-caps) | 15.86 | 24.21 | 8.77 |
Russell 3000 Index (Broad U.S. market) | 14.06 | 21.46 | 7.25 |
MSCI All Country World Index ex USA (International) | -0.04 | 13.63 | -0.80 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.44% | -0.69% | 5.19% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -2.69 | 0.24 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.08 | 0.23 |
CPI | |||
Consumer Price Index | 1.70% | 1.75% | 1.31% |
3
Financial and health care stocks were the leading performers
The S&P 500 Index achieved a succession of new highs in March, April, and May amid solid corporate earnings and encouraging U.S. economic data. As I mentioned above, the rally was briefly interrupted in June, when the index slid by more than 1 percent. But that did not significantly detract from the fund’s total return for the period.
For the six months, each of the index’s economic sectors did well, with six of ten posting double-digit gains.
Financials, the second-largest sector, contributed more than a fifth of the index’s overall return with a broad-based advance. Diversified financial services companies and commercial banks profited from better lending conditions and the recovering housing market. Asset managers also thrived as the investing climate kept improving.
Health care was the next-largest contributor to returns. Pharmaceutical and biotech companies were among the best performers for the half-year as the industry continued to benefit from favorable rulings by the Food and Drug Administration and improved pipelines of new medicines. Health care providers and services also turned in impressive results.
The consumer discretionary sector performed strongly, too. U.S. consumers were more confident about the economy and employment than they have been in
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% | 1.15% |
The fund expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, 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 2012.
Peer group: Large-Cap Core Funds.
4
several years. They spent more on entertainment, shopping, and eating out. Media companies, including cable and satellite operators, notched gains. Specialty retailers, hotels, and restaurants did well.
The index did not benefit as much from its heavy weighting in information technology, which turned in the second-lowest sector return for the period. Some personal computer manufacturers did better by cutting costs. But the sector was hurt most by its holdings in the tablet and smartphone business; competition in it is fierce, and several key players fell short of earnings expectations as new products failed to deliver.
In pursuing investment goals, long-term asset mix is key
As I mentioned earlier, financial markets were rattled in June by the prospect that the Fed would begin scaling back its massive bond-buying program. Bond yields jumped (and so prices fell), and the stock market experienced some turmoil.
Volatility and increased uncertainty can tempt investors to deviate from their investment plan. In the mutual fund industry, for example, the recent rise in bond yields has led to net redemptions from bond funds as investors try to sidestep losses that might arise from a sustained climb in interest rates.
Keep in mind, however, that although interest rates remain low, nobody is certain what their next move will be—much less how financial markets will react to the change. In fact, it’s precisely because short-term market movements are unpredictable that trying to time the markets often fails, as Vanguard and other researchers have found. A recent Vanguard research paper notes that although many investors alter their portfolios based on emotional reactions to market movements, investment success actually is “largely determined by the long-term mixture of assets in a portfolio.” (You can find the full report, Vanguard’s Framework for Constructing Diversified Portfolios, at vanguard.com/research.)
We continue to believe that sticking to a well-diversified portfolio of stocks, bonds, and money market instruments over the long haul—rather than making impulsive changes to try to avoid potential losses or capitalize on perceived opportunities—gives you the best chance of meeting your investment goals.
Thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/indexx7x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 11, 2013
5
500 Index Fund
Fund Profile
As of June 30, 2013
Share-Class Characteristics | ||||
Investor | Admiral | Signal | ||
Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VFINX | VFIAX | VIFSX | VOO |
Expense Ratio1 | 0.17% | 0.05% | 0.05% | 0.05% |
30-Day SEC Yield | 2.03% | 2.15% | 2.15% | 2.15% |
Portfolio Characteristics | |||
DJ U.S. | |||
Total | |||
Market | |||
S&P 500 | FA | ||
Fund | Index | Index | |
Number of Stocks | 503 | 500 | 3,622 |
Median Market Cap | $61.8B | $61.8B | $38.5B |
Price/Earnings Ratio | 17.2x | 17.2x | 18.4x |
Price/Book Ratio | 2.4x | 2.4x | 2.3x |
Return on Equity | 18.0% | 17.9% | 16.4% |
Earnings Growth Rate | 10.5% | 10.5% | 10.7% |
Dividend Yield | 2.2% | 2.2% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 2% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure)
DJ U.S. | |||
Total | |||
Market | |||
S&P 500 | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 12.2% | 12.2% | 13.0% |
Consumer Staples | 10.5 | 10.5 | 9.2 |
Energy | 10.5 | 10.5 | 9.7 |
Financials | 16.7 | 16.7 | 17.9 |
Health Care | 12.7 | 12.7 | 12.3 |
Industrials | 10.2 | 10.2 | 11.1 |
Information Technology | 17.8 | 17.8 | 17.2 |
Materials | 3.3 | 3.3 | 3.7 |
Telecommunication | |||
Services | 2.8 | 2.8 | 2.5 |
Utilities | 3.3 | 3.3 | 3.4 |
Volatility Measures | ||
DJ U.S. | ||
Total | ||
S&P 500 | Market | |
Index | FA Index | |
R-Squared | 1.00 | 1.00 |
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)
Exxon Mobil Corp. | Integrated Oil & Gas | 2.8% |
Apple Inc. | Computer Hardware | 2.6 |
Microsoft Corp. | Systems Software | 1.8 |
Johnson & Johnson | Pharmaceuticals | 1.7 |
General Electric Co. | Industrial | |
Conglomerates | 1.7 | |
Google Inc. | Internet Software & | |
Services | 1.6 | |
Chevron Corp. | Integrated Oil & Gas | 1.6 |
Procter & Gamble Co. | Household Products | 1.5 |
Berkshire Hathaway Inc. Property & Casualty | ||
Insurance | 1.4 | |
Wells Fargo & Co. | Diversified Banks | 1.4 |
Top Ten | 18.1% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the fund’s annualized expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, and 0.05% for ETF Shares.
6
500 Index Fund
Investment Focus
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7
500 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2002, Through June 30, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/indexx10x1.jpg)
Note: For 2013, performance data reflect the six months ended June 30, 2013.
Average Annual Total Returns: Periods Ended June 30, 2013
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 8/31/1976 | 20.42% | 6.91% | 7.18% |
Admiral Shares | 11/13/2000 | 20.55 | 7.03 | 7.28 |
Signal Shares | 9/29/2006 | 20.55 | 7.03 | 5.021 |
ETF Shares | 9/7/2010 | |||
Market Price | 20.56 | — | 17.181 | |
Net Asset Value | 20.55 | — | 17.181 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
8
500 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2013
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 (12.2%) | |||
Walt Disney Co. | 17,249,509 | 1,089,306 | |
Home Depot Inc. | 13,991,536 | 1,083,924 | |
Comcast Corp. Class A | 23,918,255 | 1,001,696 | |
* | Amazon.com Inc. | 3,488,267 | 968,657 |
McDonald’s Corp. | 9,602,377 | 950,635 | |
News Corp. Class A | 19,092,760 | 622,424 | |
Ford Motor Co. | 37,653,296 | 582,496 | |
Time Warner Inc. | 8,928,388 | 516,239 | |
Starbucks Corp. | 7,171,027 | 469,631 | |
NIKE Inc. Class B | 6,932,789 | 441,480 | |
Target Corp. | 6,146,241 | 423,230 | |
Lowe’s Cos. Inc. | 10,271,635 | 420,110 | |
* | priceline.com Inc. | 494,030 | 408,627 |
TJX Cos. Inc. | 6,893,961 | 345,112 | |
* | DIRECTV | 5,349,784 | 329,654 |
Time Warner Cable Inc. | 2,786,851 | 313,465 | |
Yum! Brands Inc. | 4,308,475 | 298,750 | |
Viacom Inc. Class B | 4,273,002 | 290,778 | |
CBS Corp. Class B | 5,465,556 | 267,102 | |
* | General Motors Co. | 7,373,411 | 245,608 |
Johnson Controls Inc. | 6,560,833 | 234,812 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 2,343,862 | 180,970 | |
Macy’s Inc. | 3,674,620 | 176,382 | |
VF Corp. | 839,169 | 162,010 | |
Omnicom Group Inc. | 2,476,680 | 155,709 | |
Coach Inc. | 2,691,304 | 153,646 | |
Mattel Inc. | 3,308,232 | 149,896 | |
* | Bed Bath & Beyond Inc. | 2,093,612 | 148,437 |
* | AutoZone Inc. | 347,971 | 147,432 |
Carnival Corp. | 4,252,663 | 145,824 | |
* | Dollar General Corp. | 2,884,894 | 145,485 |
Delphi Automotive plc | 2,784,878 | 141,165 | |
Ross Stores Inc. | 2,105,286 | 136,444 | |
* | O’Reilly Automotive Inc. | 1,058,034 | 119,156 |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 1,863,473 | 117,753 | |
Harley-Davidson Inc. | 2,146,719 | 117,683 |
Market | |||
Value | |||
Shares | ($000) | ||
Gap Inc. | 2,777,114 | 115,889 | |
Genuine Parts Co. | 1,484,269 | 115,877 | |
* | Netflix Inc. | 537,742 | 113,512 |
L Brands Inc. | 2,300,519 | 113,301 | |
* | Dollar Tree Inc. | 2,143,817 | 108,992 |
* | Chipotle Mexican Grill | ||
Inc. Class A | 296,063 | 107,871 | |
Ralph Lauren Corp. | |||
Class A | 583,299 | 101,342 | |
Staples Inc. | 6,358,987 | 100,853 | |
* | CarMax Inc. | 2,150,820 | 99,282 |
Kohl’s Corp. | 1,951,491 | 98,570 | |
Wynn Resorts Ltd. | 764,243 | 97,823 | |
PVH Corp. | 776,249 | 97,070 | |
* | BorgWarner Inc. | 1,106,766 | 95,348 |
Marriott International Inc. | 2,294,473 | 92,628 | |
Whirlpool Corp. | 758,157 | 86,703 | |
Nordstrom Inc. | 1,424,315 | 85,373 | |
Tiffany & Co. | 1,148,628 | 83,666 | |
Wyndham Worldwide | |||
Corp. | 1,301,337 | 74,475 | |
Newell Rubbermaid Inc. | 2,763,191 | 72,534 | |
H&R Block Inc. | 2,608,231 | 72,378 | |
Best Buy Co. Inc. | 2,571,491 | 70,279 | |
PetSmart Inc. | 989,521 | 66,288 | |
* | TripAdvisor Inc. | 1,057,373 | 64,362 |
Darden Restaurants Inc. | 1,243,246 | 62,759 | |
* | PulteGroup Inc. | 3,266,108 | 61,958 |
Interpublic Group of | |||
Cos. Inc. | 4,103,204 | 59,702 | |
DR Horton Inc. | 2,685,277 | 57,143 | |
Lennar Corp. Class A | 1,584,644 | 57,111 | |
Family Dollar Stores Inc. | 913,848 | 56,942 | |
Scripps Networks | |||
Interactive Inc. Class A | 814,266 | 54,360 | |
Expedia Inc. | 893,114 | 53,721 | |
Gannett Co. Inc. | 2,192,212 | 53,621 | |
* | Fossil Group Inc. | 505,758 | 52,250 |
Comcast Corp. | 1,304,720 | 51,758 | |
Hasbro Inc. | 1,102,772 | 49,437 | |
GameStop Corp. Class A | 1,139,753 | 47,904 |
9
500 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
^ | Leggett & Platt Inc. | 1,368,610 | 42,550 |
* | Urban Outfitters Inc. | 1,055,465 | 42,451 |
International Game | |||
Technology | 2,494,066 | 41,676 | |
Garmin Ltd. | 1,048,991 | 37,931 | |
* | Goodyear Tire & | ||
Rubber Co. | 2,355,119 | 36,010 | |
Harman International | |||
Industries Inc. | 651,823 | 35,329 | |
Cablevision Systems | |||
Corp. Class A | 2,075,183 | 34,905 | |
Abercrombie & Fitch Co. | 751,420 | 34,002 | |
*,^ | JC Penney Co. Inc. | 1,373,588 | 23,461 |
Washington Post Co. | |||
Class B | 43,417 | 21,004 | |
* | AutoNation Inc. | 372,484 | 16,162 |
* | Apollo Group Inc. Class A | 182 | 3 |
16,720,294 | |||
Consumer Staples (10.5%) | |||
Procter & Gamble Co. | 26,251,222 | 2,021,082 | |
Coca-Cola Co. | 36,686,110 | 1,471,480 | |
Philip Morris | |||
International Inc. | 15,664,957 | 1,356,899 | |
PepsiCo Inc. | 14,811,609 | 1,211,441 | |
Wal-Mart Stores Inc. | 15,692,051 | 1,168,901 | |
Altria Group Inc. | 19,238,995 | 673,172 | |
CVS Caremark Corp. | 11,727,295 | 670,567 | |
Mondelez International | |||
Inc. Class A | 17,091,577 | 487,623 | |
Colgate-Palmolive Co. | 8,397,754 | 481,107 | |
Costco Wholesale Corp. | 4,182,539 | 462,463 | |
Walgreen Co. | 8,258,260 | 365,015 | |
Kimberly-Clark Corp. | 3,683,739 | 357,838 | |
Kraft Foods Group Inc. | 5,693,862 | 318,116 | |
General Mills Inc. | 6,174,511 | 299,649 | |
Archer-Daniels-Midland | |||
Co. | 6,312,222 | 214,047 | |
Sysco Corp. | 5,684,381 | 194,178 | |
Kroger Co. | 4,981,121 | 172,048 | |
Whole Foods Market Inc. | 3,303,745 | 170,077 | |
Lorillard Inc. | 3,618,109 | 158,039 | |
Kellogg Co. | 2,430,559 | 156,115 | |
Mead Johnson | |||
Nutrition Co. | 1,939,236 | 153,646 | |
Estee Lauder Cos. Inc. | |||
Class A | 2,303,195 | 151,481 | |
Reynolds American Inc. | 3,049,211 | 147,490 | |
ConAgra Foods Inc. | 3,992,126 | 139,445 | |
Hershey Co. | 1,435,682 | 128,178 | |
JM Smucker Co. | 1,027,238 | 105,960 | |
Clorox Co. | 1,261,073 | 104,846 | |
Brown-Forman Corp. | |||
Class B | 1,452,576 | 98,122 | |
Beam Inc. | 1,540,913 | 97,247 | |
Dr Pepper Snapple | |||
Group Inc. | 1,954,393 | 89,765 |
Market | |||
Value | |||
Shares | ($000) | ||
McCormick & Co. Inc. | 1,263,296 | 88,885 | |
Avon Products Inc. | 4,148,246 | 87,238 | |
Coca-Cola Enterprises Inc. | 2,467,273 | 86,749 | |
* | Monster Beverage Corp. | 1,382,898 | 84,039 |
* | Constellation Brands Inc. | ||
Class A | 1,476,049 | 76,932 | |
Campbell Soup Co. | 1,709,595 | 76,573 | |
Molson Coors Brewing | |||
Co. Class B | 1,504,072 | 71,985 | |
Tyson Foods Inc. Class A | 2,718,940 | 69,822 | |
Safeway Inc. | 2,309,192 | 54,635 | |
Hormel Foods Corp. | 1,293,625 | 49,908 | |
14,372,803 | |||
Energy (10.5%) | |||
Exxon Mobil Corp. | 42,587,589 | 3,847,789 | |
Chevron Corp. | 18,571,600 | 2,197,763 | |
Schlumberger Ltd. | 12,733,531 | 912,485 | |
ConocoPhillips | 11,710,677 | 708,496 | |
Occidental Petroleum | |||
Corp. | 7,716,407 | 688,535 | |
Anadarko Petroleum Corp. | 4,803,058 | 412,727 | |
Halliburton Co. | 8,927,061 | 372,437 | |
Phillips 66 | 5,931,010 | 349,396 | |
EOG Resources Inc. | 2,605,947 | 343,151 | |
Apache Corp. | 3,753,154 | 314,627 | |
National Oilwell Varco Inc. | 4,092,439 | 281,969 | |
Marathon Oil Corp. | 6,788,993 | 234,763 | |
Kinder Morgan Inc. | 6,051,384 | 230,860 | |
Marathon Petroleum | |||
Corp. | 3,110,791 | 221,053 | |
Spectra Energy Corp. | 6,409,568 | 220,874 | |
Williams Cos. Inc. | 6,538,837 | 212,316 | |
Noble Energy Inc. | 3,439,904 | 206,532 | |
Baker Hughes Inc. | 4,231,772 | 195,212 | |
Hess Corp. | 2,860,603 | 190,201 | |
Pioneer Natural | |||
Resources Co. | 1,308,107 | 189,348 | |
Devon Energy Corp. | 3,616,480 | 187,623 | |
Valero Energy Corp. | 5,223,527 | 181,622 | |
* | Cameron International | ||
Corp. | 2,375,711 | 145,298 | |
Cabot Oil & Gas Corp. | 2,018,477 | 143,352 | |
Ensco plc Class A | 2,231,352 | 129,686 | |
* | FMC Technologies Inc. | 2,271,773 | 126,492 |
* | Southwestern Energy Co. | 3,366,785 | 122,989 |
Range Resources Corp. | 1,561,860 | 120,763 | |
EQT Corp. | 1,440,867 | 114,362 | |
Murphy Oil Corp. | 1,737,625 | 105,804 | |
Chesapeake Energy Corp. | 4,970,254 | 101,294 | |
Noble Corp. | 2,425,780 | 91,161 | |
Tesoro Corp. | 1,300,836 | 68,060 | |
Helmerich & Payne Inc. | 1,019,167 | 63,647 | |
* | Denbury Resources Inc. | 3,574,104 | 61,903 |
CONSOL Energy Inc. | 2,189,733 | 59,342 | |
QEP Resources Inc. | 1,716,943 | 47,697 |
10
500 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Diamond Offshore | |||
Drilling Inc. | 665,793 | 45,800 | |
Nabors Industries Ltd. | 2,821,847 | 43,202 | |
* | Rowan Cos. plc Class A | 1,189,522 | 40,527 |
Peabody Energy Corp. | 2,582,436 | 37,807 | |
* | WPX Energy Inc. | 1,920,597 | 36,376 |
* | Newfield Exploration Co. | 1,299,241 | 31,039 |
14,436,380 | |||
Financials (16.6%) | |||
Wells Fargo & Co. | 47,177,981 | 1,947,035 | |
JPMorgan Chase & Co. | 36,201,886 | 1,911,098 | |
* | Berkshire Hathaway | ||
Inc. Class B | 15,944,283 | 1,784,484 | |
Citigroup Inc. | 29,144,902 | 1,398,081 | |
Bank of America Corp. | 103,255,016 | 1,327,860 | |
American Express Co. | 9,154,808 | 684,413 | |
US Bancorp | 17,715,951 | 640,432 | |
* | American International | ||
Group Inc. | 14,140,488 | 632,080 | |
Goldman Sachs | |||
Group Inc. | 4,128,090 | 624,374 | |
MetLife Inc. | 10,488,020 | 479,932 | |
Simon Property Group Inc. | 2,977,234 | 470,165 | |
PNC Financial Services | |||
Group Inc. | 5,070,795 | 369,762 | |
Capital One Financial | |||
Corp. | 5,595,084 | 351,427 | |
Prudential Financial Inc. | 4,463,329 | 325,957 | |
Morgan Stanley | 13,141,858 | 321,056 | |
Bank of New York | |||
Mellon Corp. | 11,116,722 | 311,824 | |
BlackRock Inc. | 1,195,727 | 307,122 | |
ACE Ltd. | 3,258,135 | 291,538 | |
Travelers Cos. Inc. | 3,605,262 | 288,133 | |
State Street Corp. | 4,368,183 | 284,849 | |
American Tower | |||
Corporation | 3,787,895 | 277,160 | |
Aflac Inc. | 4,465,528 | 259,537 | |
BB&T Corp. | 6,720,804 | 227,701 | |
Charles Schwab Corp. | 10,543,317 | 223,835 | |
Discover Financial | |||
Services | 4,697,300 | 223,779 | |
CME Group Inc. | 2,942,079 | 223,539 | |
Allstate Corp. | 4,488,617 | 215,992 | |
Public Storage | 1,382,625 | 211,998 | |
Marsh & McLennan | |||
Cos. Inc. | 5,272,168 | 210,465 | |
Chubb Corp. | 2,482,287 | 210,126 | |
HCP Inc. | 4,353,094 | 197,805 | |
Ventas Inc. | 2,807,877 | 195,035 | |
Aon plc | 2,960,789 | 190,527 | |
Health Care REIT Inc. | 2,724,229 | 182,605 | |
T. Rowe Price Group Inc. | 2,483,871 | 181,695 | |
Franklin Resources Inc. | 1,323,633 | 180,041 | |
Prologis Inc. | 4,771,922 | 179,997 | |
Equity Residential | 3,070,056 | 178,247 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Berkshire Hathaway Inc. | ||
Class A | 1,019 | 171,803 | |
SunTrust Banks Inc. | 5,162,085 | 162,967 | |
Weyerhaeuser Co. | 5,523,275 | 157,358 | |
AvalonBay | |||
Communities Inc. | 1,164,848 | 157,150 | |
Ameriprise Financial Inc. | 1,930,221 | 156,116 | |
Boston Properties Inc. | 1,453,312 | 153,281 | |
Fifth Third Bancorp | 8,377,319 | 151,211 | |
McGraw Hill Financial Inc. | 2,625,325 | 139,641 | |
Invesco Ltd. | 4,258,754 | 135,428 | |
Hartford Financial | |||
Services Group Inc. | 4,366,495 | 135,012 | |
Vornado Realty Trust | 1,629,296 | 134,987 | |
Progressive Corp. | 5,308,233 | 134,935 | |
M&T Bank Corp. | 1,173,806 | 131,173 | |
Loews Corp. | 2,943,164 | 130,676 | |
Regions Financial Corp. | 13,537,318 | 129,011 | |
* | IntercontinentalExchange | ||
Inc. | 696,950 | 123,890 | |
Northern Trust Corp. | 2,085,219 | 120,734 | |
Host Hotels & Resorts Inc. | 7,133,010 | 120,334 | |
Moody’s Corp. | 1,857,311 | 113,166 | |
Principal Financial Group | |||
Inc. | 2,641,684 | 98,931 | |
KeyCorp | 8,816,674 | 97,336 | |
SLM Corp. | 4,254,604 | 97,260 | |
NYSE Euronext | 2,327,377 | 96,353 | |
Lincoln National Corp. | 2,571,282 | 93,775 | |
XL Group plc Class A | 2,774,756 | 84,131 | |
Kimco Realty Corp. | 3,914,970 | 83,898 | |
Macerich Co. | 1,316,892 | 80,291 | |
Unum Group | 2,556,601 | 75,087 | |
Leucadia National Corp. | 2,825,908 | 74,095 | |
Plum Creek Timber Co. | |||
Inc. | 1,559,701 | 72,791 | |
Comerica Inc. | 1,787,594 | 71,200 | |
* | CBRE Group Inc. Class A | 2,908,576 | 67,944 |
Cincinnati Financial Corp. | 1,407,557 | 64,607 | |
Huntington | |||
Bancshares Inc. | 8,033,596 | 63,305 | |
Torchmark Corp. | 885,754 | 57,698 | |
* | Genworth Financial Inc. | ||
Class A | 4,722,850 | 53,888 | |
Zions Bancorporation | 1,764,670 | 50,964 | |
People’s United | |||
Financial Inc. | 3,247,211 | 48,383 | |
Apartment Investment | |||
& Management Co. | |||
Class A | 1,397,418 | 41,978 | |
Hudson City Bancorp Inc. | 4,553,160 | 41,707 | |
Assurant Inc. | 738,408 | 37,592 | |
NASDAQ OMX Group Inc. | 1,127,461 | 36,969 | |
* | E*TRADE Financial Corp. | 2,751,407 | 34,833 |
Legg Mason Inc. | 1,069,377 | 33,161 | |
22,838,756 |
11
500 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Health Care (12.7%) | |||
Johnson & Johnson | 26,903,656 | 2,309,948 | |
Pfizer Inc. | 63,925,999 | 1,790,567 | |
Merck & Co. Inc. | 28,922,004 | 1,343,427 | |
* | Gilead Sciences Inc. | 14,609,893 | 748,173 |
Amgen Inc. | 7,183,283 | 708,703 | |
Bristol-Myers Squibb Co. | 15,732,376 | 703,080 | |
UnitedHealth Group Inc. | 9,769,666 | 639,718 | |
AbbVie Inc. | 15,169,034 | 627,088 | |
Abbott Laboratories | 14,930,805 | 520,786 | |
Medtronic Inc. | 9,686,815 | 498,580 | |
* | Biogen Idec Inc. | 2,273,586 | 489,276 |
* | Express Scripts | ||
Holding Co. | 7,818,830 | 482,344 | |
* | Celgene Corp. | 3,995,168 | 467,075 |
Eli Lilly & Co. | 9,495,396 | 466,414 | |
Baxter International Inc. | 5,190,779 | 359,565 | |
Thermo Fisher | |||
Scientific Inc. | 3,437,743 | 290,936 | |
Covidien plc | 4,506,204 | 283,170 | |
McKesson Corp. | 2,170,492 | 248,521 | |
Allergan Inc. | 2,838,860 | 239,146 | |
WellPoint Inc. | 2,876,796 | 235,437 | |
Aetna Inc. | 3,622,795 | 230,192 | |
Cigna Corp. | 2,732,799 | 198,101 | |
* | Intuitive Surgical Inc. | 384,662 | 194,862 |
Becton Dickinson and Co. | 1,860,478 | 183,871 | |
Stryker Corp. | 2,751,907 | 177,993 | |
* | Alexion | ||
Pharmaceuticals Inc. | 1,869,066 | 172,403 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 731,592 | 164,520 | |
Cardinal Health Inc. | 3,273,930 | 154,530 | |
* | Actavis Inc. | 1,223,538 | 154,435 |
Zoetis Inc. | 4,780,900 | 147,682 | |
Agilent Technologies Inc. | 3,299,388 | 141,082 | |
* | Cerner Corp. | 1,399,249 | 134,454 |
Humana Inc. | 1,508,516 | 127,289 | |
St. Jude Medical Inc. | 2,713,991 | 123,839 | |
AmerisourceBergen | |||
Corp. Class A | 2,211,569 | 123,472 | |
* | Life Technologies Corp. | 1,650,228 | 122,133 |
Zimmer Holdings Inc. | 1,612,528 | 120,843 | |
* | Boston Scientific Corp. | 12,921,600 | 119,783 |
* | Mylan Inc. | 3,650,003 | 113,260 |
Perrigo Co. | 846,627 | 102,442 | |
* | DaVita HealthCare | ||
Partners Inc. | 810,591 | 97,919 | |
* | Forest Laboratories Inc. | 2,247,590 | 92,151 |
Quest Diagnostics Inc. | 1,513,540 | 91,766 | |
* | Laboratory Corp. of | ||
America Holdings | 890,398 | 89,129 | |
* | Waters Corp. | 820,719 | 82,113 |
CR Bard Inc. | 716,844 | 77,907 | |
* | CareFusion Corp. | 2,105,288 | 77,580 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Edwards Lifesciences | ||
Corp. | 1,081,874 | 72,702 | |
* | Varian Medical | ||
Systems Inc. | 1,038,447 | 70,043 | |
* | Hospira Inc. | 1,585,055 | 60,723 |
DENTSPLY | |||
International Inc. | 1,372,277 | 56,208 | |
* | Tenet Healthcare Corp. | 991,282 | 45,698 |
PerkinElmer Inc. | 1,073,630 | 34,893 | |
Patterson Cos. Inc. | 802,417 | 30,171 | |
17,438,143 | |||
Industrials (10.1%) | |||
General Electric Co. | 99,038,154 | 2,296,695 | |
United Technologies | |||
Corp. | 8,100,660 | 752,875 | |
Union Pacific Corp. | 4,470,828 | 689,759 | |
Boeing Co. | 6,539,953 | 669,953 | |
3M Co. | 6,081,861 | 665,051 | |
Honeywell | |||
International Inc. | 7,535,803 | 597,891 | |
United Parcel Service Inc. | |||
Class B | 6,805,214 | 588,515 | |
Caterpillar Inc. | 6,297,390 | 519,472 | |
Emerson Electric Co. | 6,885,269 | 375,523 | |
Danaher Corp. | 5,573,142 | 352,780 | |
Precision Castparts Corp. | 1,401,584 | 316,772 | |
Deere & Co. | 3,716,698 | 301,982 | |
Eaton Corp. plc | 4,531,333 | 298,207 | |
FedEx Corp. | 2,822,482 | 278,240 | |
Lockheed Martin Corp. | 2,547,050 | 276,253 | |
Illinois Tool Works Inc. | 3,969,123 | 274,544 | |
General Dynamics Corp. | 3,179,844 | 249,077 | |
CSX Corp. | 9,788,301 | 226,991 | |
Norfolk Southern Corp. | 3,017,908 | 219,251 | |
Raytheon Co. | 3,109,072 | 205,572 | |
Northrop Grumman Corp. | 2,252,453 | 186,503 | |
Cummins Inc. | 1,690,030 | 183,301 | |
PACCAR Inc. | 3,387,928 | 181,796 | |
Waste Management Inc. | 4,204,755 | 169,578 | |
Ingersoll-Rand plc | 2,662,406 | 147,817 | |
Tyco International Ltd. | 4,444,151 | 146,435 | |
WW Grainger Inc. | 572,837 | 144,458 | |
Parker Hannifin Corp. | 1,429,512 | 136,375 | |
Dover Corp. | 1,638,752 | 127,265 | |
Stanley Black & | |||
Decker Inc. | 1,550,746 | 119,873 | |
Fastenal Co. | 2,585,699 | 118,554 | |
Roper Industries Inc. | 948,322 | 117,801 | |
Pentair Ltd. | 1,956,800 | 112,888 | |
Kansas City Southern | 1,055,296 | 111,819 | |
Rockwell Automation Inc. | 1,337,577 | 111,206 | |
Republic Services Inc. | |||
Class A | 2,842,407 | 96,471 | |
Fluor Corp. | 1,559,946 | 92,520 | |
* | Stericycle Inc. | 826,332 | 91,252 |
12
500 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Southwest Airlines Co. | 6,918,173 | 89,175 | |
CH Robinson | |||
Worldwide Inc. | 1,537,809 | 86,594 | |
ADT Corp. | 2,095,503 | 83,506 | |
Rockwell Collins Inc. | 1,299,369 | 82,393 | |
Expeditors International | |||
of Washington Inc. | 1,978,914 | 75,219 | |
Flowserve Corp. | 1,369,457 | 73,964 | |
L-3 Communications | |||
Holdings Inc. | 861,978 | 73,906 | |
Pall Corp. | 1,068,604 | 70,987 | |
Textron Inc. | 2,661,247 | 69,325 | |
* | Jacobs Engineering | ||
Group Inc. | 1,252,704 | 69,062 | |
Equifax Inc. | 1,155,141 | 68,072 | |
Masco Corp. | 3,418,071 | 66,618 | |
* | Quanta Services Inc. | 2,039,508 | 53,965 |
Snap-on Inc. | 558,096 | 49,883 | |
Joy Global Inc. | 1,017,722 | 49,390 | |
Xylem Inc. | 1,774,657 | 47,809 | |
Cintas Corp. | 997,472 | 45,425 | |
Robert Half | |||
International Inc. | 1,336,537 | 44,413 | |
Iron Mountain Inc. | 1,607,041 | 42,763 | |
Avery Dennison Corp. | 953,754 | 40,783 | |
Dun & Bradstreet Corp. | 383,148 | 37,338 | |
Ryder System Inc. | 498,037 | 30,276 | |
^ | Pitney Bowes Inc. | 1,932,609 | 28,371 |
13,930,552 | |||
Information Technology (17.7%) | |||
Apple Inc. | 8,990,428 | 3,560,929 | |
Microsoft Corp. | 71,988,603 | 2,485,766 | |
* | Google Inc. Class A | 2,573,908 | 2,265,991 |
International Business | |||
Machines Corp. | 9,982,835 | 1,907,820 | |
Cisco Systems Inc. | 51,188,256 | 1,244,386 | |
Intel Corp. | 47,612,471 | 1,153,174 | |
Oracle Corp. | 35,192,764 | 1,081,122 | |
QUALCOMM Inc. | 16,549,262 | 1,010,829 | |
Visa Inc. Class A | 4,854,170 | 887,100 | |
* | eBay Inc. | 11,187,199 | 578,602 |
Mastercard Inc. Class A | 1,001,359 | 575,281 | |
EMC Corp. | 20,121,943 | 475,280 | |
Hewlett-Packard Co. | 18,471,743 | 458,099 | |
Accenture plc Class A | 6,226,441 | 448,055 | |
Texas Instruments Inc. | 10,623,501 | 370,441 | |
Automatic Data | |||
Processing Inc. | 4,647,394 | 320,020 | |
* | Yahoo! Inc. | 9,125,153 | 229,133 |
* | Adobe Systems Inc. | 4,807,559 | 219,032 |
Corning Inc. | 14,128,414 | 201,047 | |
* | Salesforce.com Inc. | 5,198,387 | 198,474 |
Dell Inc. | 14,057,369 | 187,666 | |
TE Connectivity Ltd. | 3,978,964 | 181,202 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 2,888,826 | 180,869 |
Market | |||
Value | |||
Shares | ($000) | ||
Applied Materials Inc. | 11,508,910 | 171,598 | |
Broadcom Corp. Class A | 5,031,506 | 169,864 | |
Intuit Inc. | 2,673,321 | 163,153 | |
Motorola Solutions Inc. | 2,601,863 | 150,206 | |
Symantec Corp. | 6,672,374 | 149,928 | |
* | SanDisk Corp. | 2,330,613 | 142,400 |
* | Micron Technology Inc. | 9,866,361 | 141,385 |
Seagate Technology plc | 3,056,447 | 137,021 | |
Analog Devices Inc. | 2,951,577 | 132,998 | |
* | NetApp Inc. | 3,452,201 | 130,424 |
Western Digital Corp. | 2,037,632 | 126,517 | |
Fidelity National | |||
Information Services Inc. | 2,807,385 | 120,268 | |
Amphenol Corp. Class A | 1,530,762 | 119,308 | |
Paychex Inc. | 3,101,943 | 113,283 | |
* | Fiserv Inc. | 1,275,417 | 111,484 |
* | Citrix Systems Inc. | 1,792,204 | 108,124 |
Xerox Corp. | 11,760,896 | 106,671 | |
Altera Corp. | 3,066,310 | 101,158 | |
Xilinx Inc. | 2,527,304 | 100,107 | |
* | Juniper Networks Inc. | 4,848,913 | 93,633 |
Western Union Co. | 5,335,945 | 91,298 | |
CA Inc. | 3,172,445 | 90,827 | |
KLA-Tencor Corp. | 1,588,812 | 88,544 | |
* | Red Hat Inc. | 1,815,922 | 86,837 |
Linear Technology Corp. | 2,234,085 | 82,304 | |
* | Teradata Corp. | 1,565,051 | 78,613 |
NVIDIA Corp. | 5,535,254 | 77,660 | |
* | Autodesk Inc. | 2,153,138 | 73,077 |
* | Akamai Technologies Inc. | 1,701,934 | 72,417 |
Microchip Technology Inc. | 1,888,167 | 70,334 | |
* | Lam Research Corp. | 1,558,498 | 69,104 |
* | Electronic Arts Inc. | 2,898,647 | 66,582 |
* | VeriSign Inc. | 1,443,754 | 64,478 |
Computer Sciences Corp. | 1,438,900 | 62,981 | |
* | BMC Software Inc. | 1,268,612 | 57,265 |
* | F5 Networks Inc. | 754,740 | 51,926 |
Harris Corp. | 1,049,529 | 51,689 | |
Molex Inc. | 1,323,418 | 38,829 | |
SAIC Inc. | 2,726,952 | 37,986 | |
Total System Services Inc. | 1,540,405 | 37,709 | |
* | LSI Corp. | 5,271,427 | 37,638 |
FLIR Systems Inc. | 1,360,887 | 36,703 | |
Jabil Circuit Inc. | 1,768,850 | 36,049 | |
* | JDS Uniphase Corp. | 2,268,876 | 32,626 |
* | Teradyne Inc. | 1,828,680 | 32,130 |
* | First Solar Inc. | 637,350 | 28,509 |
*,^ | Advanced Micro | ||
Devices Inc. | 5,825,350 | 23,767 | |
Molex Inc. Class A | 4,051 | 101 | |
24,387,831 | |||
Materials (3.3%) | |||
Monsanto Co. | 5,113,069 | 505,171 | |
EI du Pont de Nemours | |||
& Co. | 8,816,220 | 462,852 | |
Dow Chemical Co. | 11,585,489 | 372,705 |
13
500 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Praxair Inc. | 2,832,705 | 326,214 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 9,943,982 | 274,553 | |
LyondellBasell Industries | |||
NV Class A | 3,638,011 | 241,055 | |
Ecolab Inc. | 2,551,687 | 217,378 | |
PPG Industries Inc. | 1,366,255 | 200,033 | |
International Paper Co. | 4,260,745 | 188,794 | |
Air Products & | |||
Chemicals Inc. | 1,995,359 | 182,715 | |
Sherwin-Williams Co. | 820,088 | 144,828 | |
Newmont Mining Corp. | 4,762,324 | 142,632 | |
Mosaic Co. | 2,650,609 | 142,629 | |
Nucor Corp. | 3,043,681 | 131,852 | |
Eastman Chemical Co. | 1,484,694 | 103,943 | |
CF Industries | |||
Holdings Inc. | 567,810 | 97,379 | |
Sigma-Aldrich Corp. | 1,152,521 | 92,617 | |
Alcoa Inc. | 10,242,678 | 80,098 | |
FMC Corp. | 1,303,780 | 79,609 | |
Vulcan Materials Co. | 1,244,616 | 60,252 | |
Airgas Inc. | 631,152 | 60,250 | |
Ball Corp. | 1,424,839 | 59,188 | |
International Flavors & | |||
Fragrances Inc. | 780,468 | 58,660 | |
MeadWestvaco Corp. | 1,694,856 | 57,812 | |
Sealed Air Corp. | 1,875,746 | 44,924 | |
* | Owens-Illinois Inc. | 1,575,540 | 43,784 |
Bemis Co. Inc. | 985,450 | 38,571 | |
Allegheny | |||
Technologies Inc. | 1,035,583 | 27,246 | |
^ | United States Steel Corp. | 1,383,992 | 24,261 |
^ | Cliffs Natural | ||
Resources Inc. | 1,468,512 | 23,863 | |
4,485,868 | |||
Telecommunication Services (2.8%) | |||
AT&T Inc. | 51,529,881 | 1,824,158 | |
Verizon | |||
Communications Inc. | 27,403,859 | 1,379,510 | |
CenturyLink Inc. | 5,833,397 | 206,211 | |
* | Crown Castle | ||
International Corp. | 2,807,871 | 203,262 | |
* | Sprint Nextel Corp. | 28,906,462 | 202,923 |
^ | Windstream Corp. | 5,677,456 | 43,773 |
^ | Frontier | ||
Communications Corp. | 9,556,528 | 38,704 | |
3,898,541 | |||
Utilities (3.3%) | |||
Duke Energy Corp. | 6,759,543 | 456,269 | |
Southern Co. | 8,336,643 | 367,896 | |
NextEra Energy Inc. | 4,067,169 | 331,393 | |
Dominion Resources Inc. | 5,532,941 | 314,382 | |
Exelon Corp. | 8,197,287 | 253,132 |
Market | |||
Value | |||
Shares | ($000) | ||
American Electric | |||
Power Co. Inc. | 4,655,363 | 208,467 | |
PG&E Corp. | 4,235,073 | 193,670 | |
Sempra Energy | 2,158,898 | 176,512 | |
PPL Corp. | 5,673,411 | 171,677 | |
Consolidated Edison Inc. | 2,805,329 | 163,579 | |
Public Service Enterprise | |||
Group Inc. | 4,846,162 | 158,276 | |
Edison International | 3,120,538 | 150,285 | |
FirstEnergy Corp. | 4,005,669 | 149,572 | |
Xcel Energy Inc. | 4,762,553 | 134,971 | |
Northeast Utilities | 3,013,458 | 126,626 | |
Entergy Corp. | 1,706,591 | 118,915 | |
DTE Energy Co. | 1,666,113 | 111,646 | |
CenterPoint Energy Inc. | 4,104,451 | 96,414 | |
Wisconsin Energy Corp. | 2,190,642 | 89,794 | |
NiSource Inc. | 2,988,667 | 85,595 | |
NRG Energy Inc. | 3,088,787 | 82,471 | |
ONEOK Inc. | 1,974,052 | 81,548 | |
Ameren Corp. | 2,323,906 | 80,035 | |
AES Corp. | 5,934,743 | 71,158 | |
CMS Energy Corp. | 2,545,214 | 69,153 | |
SCANA Corp. | 1,336,057 | 65,600 | |
Pinnacle West Capital | |||
Corp. | 1,053,028 | 58,411 | |
AGL Resources Inc. | 1,131,897 | 48,513 | |
Pepco Holdings Inc. | 2,380,851 | 47,998 | |
Integrys Energy Group Inc. | 757,801 | 44,354 | |
TECO Energy Inc. | 1,961,848 | 33,724 | |
4,542,036 | |||
Total Common Stocks | |||
(Cost $84,066,906) | 137,051,204 | ||
Temporary Cash Investments (0.5%)1 | |||
Money Market Fund (0.5%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, | |||
0.127% | 663,495,929 | 663,496 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Fannie Mae Discount Notes, | ||
0.085%-0.110%, 8/21/13 | 14,300 | 14,297 | |
4,5 | Fannie Mae Discount Notes, | ||
0.145%, 12/26/13 | 1,000 | 999 | |
5,6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.085%, 10/23/13 | 5,000 | 4,998 | |
5,6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.090%, 10/25/13 | 7,000 | 6,997 |
14
500 Index Fund | |||
Face | Market | ||
Amount | Value | ||
($000) | ($000) | ||
5,6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.100%, 11/13/13 | 1,500 | 1,499 | |
4,5 | Freddie Mac Discount Notes, | ||
0.130%, 9/16/13 | 4,100 | 4,099 | |
32,889 | |||
Total Temporary Cash Investments | |||
(Cost $696,388) | 696,385 | ||
Total Investments (100.2%) | |||
(Cost $84,763,294) | 137,747,589 | ||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | 531,258 | ||
Liabilities3 | (770,697) | ||
(239,439) | |||
Net Assets (100%) | 137,508,150 | ||
At June 30, 2013, net assets consisted of: | |||
Amount | |||
($000) | |||
Paid-in Capital | 87,703,178 | ||
Overdistributed Net | |||
Investment Income | (81,821) | ||
Accumulated Net Realized Losses | (3,090,856) | ||
Unrealized Appreciation (Depreciation) | |||
Investment Securities | 52,984,295 | ||
Futures Contracts | (6,646) | ||
Net Assets | 137,508,150 |
Amount | |
($000) | |
Investor Shares—Net Assets | |
Applicable to 175,407,888 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 25,970,119 |
Net Asset Value Per Share— | |
Investor Shares | $148.06 |
Admiral Shares—Net Assets | |
Applicable to 467,970,683 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 69,284,140 |
Net Asset Value Per Share— | |
Admiral Shares | $148.05 |
Signal Shares—Net Assets | |
Applicable to 266,974,334 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 32,649,484 |
Net Asset Value Per Share— | |
Signal Shares | $122.29 |
ETF Shares—Net Assets | |
Applicable to 130,736,075 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 9,604,407 |
Net Asset Value Per Share— | |
ETF Shares | $73.46 |
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 $39,220,000.
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 $42,683,000 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Securities with a value of $28,690,000 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.
15
500 Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,390,677 |
Interest1 | 462 |
Securities Lending | 2,419 |
Total Income | 1,393,558 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 3,906 |
Management and Administrative—Investor Shares | 18,454 |
Management and Administrative—Admiral Shares | 9,208 |
Management and Administrative—Signal Shares | 2,852 |
Management and Administrative—ETF Shares | 812 |
Marketing and Distribution—Investor Shares | 2,775 |
Marketing and Distribution—Admiral Shares | 4,881 |
Marketing and Distribution—Signal Shares | 3,759 |
Marketing and Distribution—ETF Shares | 1,047 |
Custodian Fees | 479 |
Shareholders’ Reports—Investor Shares | 187 |
Shareholders’ Reports—Admiral Shares | 101 |
Shareholders’ Reports—Signal Shares | 63 |
Shareholders’ Reports—ETF Shares | 44 |
Trustees’ Fees and Expenses | 98 |
Total Expenses | 48,666 |
Net Investment Income | 1,344,892 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 1,310,466 |
Futures Contracts | 79,662 |
Realized Net Gain (Loss) | 1,390,128 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 13,783,260 |
Futures Contracts | (7,275) |
Change in Unrealized Appreciation (Depreciation) | 13,775,985 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 16,511,005 |
1 Interest income from an affiliated company of the fund was $446,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
500 Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,344,892 | 2,512,384 |
Realized Net Gain (Loss) | 1,390,128 | 2,485,148 |
Change in Unrealized Appreciation (Depreciation) | 13,775,985 | 11,202,236 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 16,511,005 | 16,199,768 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (241,952) | (545,412) |
Admiral Shares | (655,099) | (1,282,737) |
Signal Shares | (308,661) | (564,477) |
ETF Shares | (89,516) | (114,084) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,295,228) | (2,506,710) |
Capital Share Transactions | ||
Investor Shares | (1,996,029) | (4,504,796) |
Admiral Shares | 1,919,340 | 863,165 |
Signal Shares | 1,813,359 | 2,758,859 |
ETF Shares | 2,052,318 | 3,843,275 |
Net Increase (Decrease) from Capital Share Transactions | 3,788,988 | 2,960,503 |
Total Increase (Decrease) | 19,004,765 | 16,653,561 |
Net Assets | ||
Beginning of Period | 118,503,385 | 101,849,824 |
End of Period1 | 137,508,150 | 118,503,385 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($81,821,000) and ($131,485,000).
See accompanying Notes, which are an integral part of the Financial Statements.
17
500 Index Fund
Financial Highlights
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $131.37 | $115.80 | $115.82 | $102.67 | $83.09 | $135.15 |
Investment Operations | ||||||
Net Investment Income | 1.390 | 2.709 | 2.246 | 2.020 | 2.131 | 2.443 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 16.632 | 15.560 | (.020) | 13.096 | 19.553 | (51.998) |
Total from Investment Operations | 18.022 | 18.269 | 2.226 | 15.116 | 21.684 | (49.555) |
Distributions | ||||||
Dividends from Net Investment Income | (1.332) | (2.699) | (2.246) | (1.966) | (2.104) | (2.505) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.332) | (2.699) | (2.246) | (1.966) | (2.104) | (2.505) |
Net Asset Value, End of Period | $148.06 | $131.37 | $115.80 | $115.82 | $102.67 | $83.09 |
Total Return1 | 13.74% | 15.82% | 1.97% | 14.91% | 26.49% | -37.02% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $25,970 | $24,821 | $25,967 | $31,904 | $48,313 | $38,778 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% | 0.16% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.96% | 2.13% | 1.92% | 1.94% | 2.42% | 2.16% |
Portfolio Turnover Rate2 | 2% | 3% | 4% | 5% | 12% | 6% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
500 Index Fund
Financial Highlights
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $131.37 | $115.80 | $115.83 | $102.67 | $83.09 | $135.15 |
Investment Operations | ||||||
Net Investment Income | 1.477 | 2.866 | 2.391 | 2.152 | 2.227 | 2.534 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 16.622 | 15.560 | (.031) | 13.092 | 19.556 | (52.000) |
Total from Investment Operations | 18.099 | 18.426 | 2.360 | 15.244 | 21.783 | (49.466) |
Distributions | ||||||
Dividends from Net Investment Income | (1.419) | (2.856) | (2.390) | (2.084) | (2.203) | (2.594) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.419) | (2.856) | (2.390) | (2.084) | (2.203) | (2.594) |
Net Asset Value, End of Period | $148.05 | $131.37 | $115.80 | $115.83 | $102.67 | $83.09 |
Total Return1 | 13.81% | 15.96% | 2.08% | 15.05% | 26.62% | -36.97% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $69,284 | $59,749 | $51,925 | $51,438 | $28,380 | $23,009 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.08% | 2.25% | 2.04% | 2.05% | 2.53% | 2.24% |
Portfolio Turnover Rate2 | 2% | 3% | 4% | 5% | 12% | 6% |
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
500 Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $108.52 | $95.65 | $95.68 | $84.81 | $68.64 | $111.64 |
Investment Operations | ||||||
Net Investment Income | 1.220 | 2.368 | 1.975 | 1.780 | 1.839 | 2.092 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 13.723 | 12.861 | (.030) | 10.813 | 16.151 | (42.952) |
Total from Investment Operations | 14.943 | 15.229 | 1.945 | 12.593 | 17.990 | (40.860) |
Distributions | ||||||
Dividends from Net Investment Income | (1.173) | (2.359) | (1.975) | (1.723) | (1.820) | (2.140) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.173) | (2.359) | (1.975) | (1.723) | (1.820) | (2.140) |
Net Asset Value, End of Period | $122.29 | $108.52 | $95.65 | $95.68 | $84.81 | $68.64 |
Total Return | 13.80% | 15.97% | 2.08% | 15.05% | 26.61% | -36.97% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $32,649 | $27,304 | $21,592 | $18,977 | $16,590 | $13,099 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.08% | 2.25% | 2.04% | 2.05% | 2.53% | 2.24% |
Portfolio Turnover Rate1 | 2% | 3% | 4% | 5% | 12% | 6% |
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
500 Index Fund
Financial Highlights
ETF Shares | ||||
Six Months | Sept. 7, | |||
Ended | Year Ended | 20101 to | ||
June 30, | December 31, | Dec. 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $65.19 | $57.46 | $57.47 | $50.08 |
Investment Operations | ||||
Net Investment Income | .733 | 1.423 | 1.186 | .363 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.241 | 7.725 | (.010) | 7.569 |
Total from Investment Operations | 8.974 | 9.148 | 1.176 | 7.932 |
Distributions | ||||
Dividends from Net Investment Income | (.704) | (1.418) | (1.186) | (.542) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.704) | (1.418) | (1.186) | (.542) |
Net Asset Value, End of Period | $73.46 | $65.19 | $57.46 | $57.47 |
Total Return | 13.80% | 15.98% | 2.09% | 15.89% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $9,604 | $6,628 | $2,366 | $261 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06%2 |
Ratio of Net Investment Income to Average Net Assets | 2.08% | 2.25% | 2.04% | 2.05%2 |
Portfolio Turnover Rate3 | 2% | 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.
21
500 Index Fund
Notes to Financial Statements
Vanguard 500 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, Admiral Shares, Signal Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares and Signal Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; 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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
22
500 Index Fund
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
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, 2009–2012), and for the period ended June 30, 2013, 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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, 2013, the fund had contributed capital of $17,023,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 6.81% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
23
500 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).
The following table summarizes the market value of the fund’s investments as of June 30, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 137,051,204 | — | — |
Temporary Cash Investments | 663,496 | 32,889 | — |
Futures Contracts—Assets1 | 836 | — | — |
Futures Contracts—Liabilities1 | (3,325) | — | — |
Total | 137,712,211 | 32,889 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2013, 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 2013 | 1,109 | 443,406 | (6,604) |
E-mini S&P 500 Index | September 2013 | 115 | 9,196 | (42) |
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.
24
500 Index Fund
During the six months ended June 30, 2013, the fund realized $1,324,663,000 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, 2012, the fund had available capital losses totaling $3,151,728,000 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 $1,093,817,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $84,763,294,000. Net unrealized appreciation of investment securities for tax purposes was $52,984,295,000, consisting of unrealized gains of $59,246,834,000 on securities that had risen in value since their purchase and $6,262,539,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $7,271,117,000 of investment securities and sold $3,575,730,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,491,417,000 and $2,092,180,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
25
500 Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 1,819,267 | 12,673 | 3,469,946 | 27,336 |
Issued in Lieu of Cash Distributions | 232,597 | 1,609 | 524,604 | 4,049 |
Redeemed | (4,047,893) | (27,810) | (8,499,346) | (66,693) |
Net Increase (Decrease)—Investor Shares | (1,996,029) | (13,528) | (4,504,796) | (35,308) |
Admiral Shares | ||||
Issued | 4,409,375 | 30,440 | 5,809,353 | 45,236 |
Issued in Lieu of Cash Distributions | 597,647 | 4,132 | 1,167,640 | 9,003 |
Redeemed | (3,087,682) | (21,410) | (6,113,828) | (47,856) |
Net Increase (Decrease)—Admiral Shares | 1,919,340 | 13,162 | 863,165 | 6,383 |
Signal Shares | ||||
Issued | 4,922,584 | 41,522 | 8,315,286 | 78,877 |
Issued in Lieu of Cash Distributions | 276,963 | 2,318 | 507,129 | 4,731 |
Redeemed | (3,386,188) | (28,479) | (6,063,556) | (57,737) |
Net Increase (Decrease)—Signal Shares | 1,813,359 | 15,361 | 2,758,859 | 25,871 |
ETF Shares | ||||
Issued | 3,536,212 | 49,905 | 4,386,285 | 69,013 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,483,894) | (20,850) | (543,010) | (8,500) |
Net Increase (Decrease)—ETF Shares | 2,052,318 | 29,055 | 3,843,275 | 60,513 |
H. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
26
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.
27
Six Months Ended June 30, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
500 Index Fund | 12/31/2012 | 6/30/2013 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,137.45 | $0.90 |
Admiral Shares | 1,000.00 | 1,138.05 | 0.27 |
Signal Shares | 1,000.00 | 1,137.98 | 0.27 |
ETF Shares | 1,000.00 | 1,137.97 | 0.27 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Signal Shares | 1,000.00 | 1,024.55 | 0.25 |
ETF Shares | 1,000.00 | 1,024.55 | 0.25 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, and 0.05% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
28
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). 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 services 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 relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. 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 at-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.
29
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.
30
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.
31
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 182 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 | |
Born 1945. Trustee Since December 2001.2 | F. Joseph Loughrey |
Principal Occupation(s) During the Past Five Years: | Born 1949. Trustee Since October 2009. Principal |
Chairman and Chief Executive Officer (retired 2009) | Occupation(s) During the Past Five Years: President |
and President (2006–2008) of Rohm and Haas Co. | and Chief Operating Officer (retired 2009) of Cummins |
(chemicals); Director of Tyco International, Ltd. | Inc. (industrial machinery); Chairman of the Board of |
(diversified manufacturing and services), Hewlett- | Hillenbrand, Inc. (specialized consumer services) and |
Packard Co. (electronic computer manufacturing), | of Oxfam America; Director of SKF AB (industrial |
machinery) and the Lumina Foundation for Education; | Executive Officers | |
Member of the Advisory Council for the College of | ||
Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
the University 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 | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
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 | ||
of SPX Corporation (multi-industry manufacturing); | Founder | |
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 | S&P® and S&P 500® are registered trademarks of |
Direct Investor Account Services > 800-662-2739 | Standard & Poor’s Financial Services LLC (“S&P”) and |
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This material may be used in conjunction | sponsored, endorsed, sold or promoted by S&P Dow |
with the offering of shares of any Vanguard | Jones Indices LLC, Dow Jones, S&P or their respective |
fund only if preceded or accompanied by | affiliates, and none of S&P Dow Jones Indices LLC, |
the fund’s current prospectus. | Dow Jones, S&P nor their respective affiliates makes |
any representation regarding the advisability of | |
All comparative mutual fund data are from Lipper Inc. or | investing in such products. |
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. | |
© 2013 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q402 082013 |
Semiannual Report | June 30, 2013
Vanguard U.S. Stock Index Funds
Small-Capitalization Portfolios
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/smallcapx1x2.jpg)
Vanguard Small-Cap Index Fund
Vanguard Small-Cap Growth Index Fund
Vanguard Small-Cap Value Index Fund
> Vanguard’s three small-capitalization index funds closely tracked their target indexes, with returns ranging between 15% and 16% for the first half of 2013.
> Small-cap stocks outperformed the broad U.S. stock market for the period.
> Standout sectors included financials, industrials, and consumer services. Only the materials sector declined.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Small-Cap Index Fund. | 9 |
Small-Cap Growth Index Fund. | 29 |
Small-Cap Value Index Fund. | 46 |
About Your Fund’s Expenses. | 64 |
Trustees Approve Advisory Arrangement. | 67 |
Glossary. | 68 |
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: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended June 30, 2013* | |
Total | |
Returns | |
Vanguard Small-Cap Index Fund | |
Investor Shares | 15.89% |
Admiral™ Shares | 15.97 |
Signal® Shares | 15.97 |
Institutional Shares | 15.97 |
Institutional Plus Shares | 15.99 |
ETF Shares | |
Market Price | 15.88 |
Net Asset Value | 15.97 |
Spliced Small-Cap Index | 15.93 |
Small-Cap Core Funds Average | 14.74 |
For a benchmark description, see the Glossary. | |
Small-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Small-Cap Growth Index Fund | |
Investor Shares | 15.63% |
Admiral Shares | 15.73 |
Institutional Shares | 15.73 |
ETF Shares | |
Market Price | 15.65 |
Net Asset Value | 15.72 |
Spliced Small-Cap Growth Index | 15.52 |
Small-Cap Growth Funds Average | 16.51 |
For a benchmark description, see the Glossary.
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.
* The fund total returns reported in this table are based on the ending share prices as of June 28, 2013—the month’s last business day— rather than as of June 30, 2013—the financial statement date. The total returns as of June 30, 2013, were adjusted because of a significant change in the value of one of the funds’ securities (see the Financial Highlights tables and Note C in the Notes to Financial Statements).
1
Your Fund’s Total Returns
Six Months Ended June 30, 2013
Total | |
Returns | |
Vanguard Small-Cap Value Index Fund | |
Investor Shares | 15.37% |
Admiral Shares | 15.41 |
Institutional Shares | 15.40 |
ETF Shares | |
Market Price | 15.33 |
Net Asset Value | 15.43 |
Spliced Small-Cap Value Index | 15.46 |
Small-Cap Value Funds Average | 15.43 |
For a benchmark description, see the Glossary.
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, 2012, Through June 30, 2013*
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Small-Cap Index Fund | ||||
Investor Shares | $38.74 | $44.89 | $0.006 | $0.000 |
Admiral Shares | 38.76 | 44.94 | 0.008 | 0.000 |
Signal Shares | 34.92 | 40.49 | 0.007 | 0.000 |
Institutional Shares | 38.76 | 44.94 | 0.008 | 0.000 |
Institutional Plus Shares | 111.87 | 129.73 | 0.023 | 0.000 |
ETF Shares | 80.89 | 93.79 | 0.017 | 0.000 |
Vanguard Small-Cap Growth Index Fund | ||||
Investor Shares | $25.03 | $28.94 | $0.001 | $0.000 |
Admiral Shares | 31.30 | 36.22 | 0.004 | 0.000 |
Institutional Shares | 25.07 | 29.01 | 0.003 | 0.000 |
ETF Shares | 89.03 | 103.01 | 0.012 | 0.000 |
Vanguard Small-Cap Value Index Fund | ||||
Investor Shares | $17.40 | $20.07 | $0.004 | $0.000 |
Admiral Shares | 31.20 | 36.00 | 0.009 | 0.000 |
Institutional Shares | 17.44 | 20.12 | 0.005 | 0.000 |
ETF Shares | 72.60 | 83.78 | 0.021 | 0.000 |
* The ending share prices reported in this table for the Small-Cap Index Fund and the Small-Cap Growth Index Fund are the prices as of June 28, 2013—the month’s last business day—rather than as of June 30, 2013—the financial statement date. For those funds, the share prices as of June 30, 2013, were adjusted because of a significant change in the value of one of the funds’ securities (see the Financial Highlights tables and Note C in the Notes to Financial Statements).
3
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/smallcapx6x1.jpg)
Chairman’s Letter
Dear Shareholder,
The broad U.S. stock market, despite some turbulence in the final month of the period, furthered its long climb over the half year ended June 30, and small-capitalization stocks outshone both their large- and mid-cap brethren.
Within the small-cap universe, growth and value stocks produced similar results. Vanguard Small-Cap Index Fund returned 15.89% for Investor Shares, followed by Vanguard Small-Cap Growth Index Fund at 15.63% and Vanguard Small-Cap Value Index Fund at 15.37%.
Historically, the Small-Cap Index Fund’s return has fallen between those of the Small-Cap Growth and Value Index Funds. The recent slight aberration is the result of the funds’ having moved to their new target benchmarks at different times during the period. As we previously announced, the Small-Cap Index Fund began using the CRSP US Small Cap Index in January, and the Small-Cap Value and Growth Funds transitioned to their respective CRSP targets in April. (See the Investment Insight box on page 7 for more about the transition.)
Most importantly, the returns of all three funds closely tracked those of their respective target indexes even as the targets changed. Compared with the average returns of peers, the funds’ results were mixed: the Small-Cap Index Fund exceeded, the Small-Cap Value Index Fund was roughly in line, and the Small-Cap Growth Index trailed.
4
Global stocks notched gains despite some recent turbulence
After staging a stellar performance for most of the first half of 2013, global stocks declined in June. Investors worldwide were spooked by signs of trouble in China’s economy and also by a statement from Federal Reserve Chairman Ben Bernanke that the central bank could begin to reduce its stimulative bond-buying program later this year. Still, U.S. stocks returned about 14% for the six-month period, despite a drop of more than 1% in June.
Markets were clearly unsettled by the prospect of the Fed’s scaling back its stimulus measures, known as “quantitative easing.” However, Vanguard’s chief economist, Joe Davis, pointed to a positive message in the Fed’s evolving stance. “The Federal Reserve is coming closer to the realization that the U.S. economy is stronger today than it was a year ago and so does not need the insurance, so to speak, of additional quantitative easing,” he said.
Developed markets in the Pacific region generally fared better than their European and emerging-market counterparts. Notably, Japanese stocks made a recovery in June from a sharp decline in May.
Bond prices fell sharply in the period’s final months
Bond returns, which sputtered along through most of the period, turned negative in May and retreated further in June. The broad U.S. taxable bond
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2013 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.91% | 21.24% | 7.12% |
Russell 2000 Index (Small-caps) | 15.86 | 24.21 | 8.77 |
Russell 3000 Index (Broad U.S. market) | 14.06 | 21.46 | 7.25 |
MSCI All Country World Index ex USA (International) | -0.04 | 13.63 | -0.80 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.44% | -0.69% | 5.19% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -2.69 | 0.24 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.08 | 0.23 |
CPI | |||
Consumer Price Index | 1.70% | 1.75% | 1.31% |
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market returned –2.44% for the six months as concerns about the Fed’s plans roiled fixed income investors even more than their counterparts in equities. Municipal bonds fared worse than taxable issues, returning –2.69% for the period.
The yield of the 10-year Treasury note finished the six months at 2.47%, jumping from 2.11% at the end of May and 1.67% at the end of April. (Bond yields and prices move in opposite directions.) The Fed kept its target for short-term rates between 0% and 0.25%. Returns from money market funds and savings accounts have been minuscule since the Fed imposed the historically low rates in December 2008 to combat the financial crisis.
Small-cap stocks sustained impressive outperformance
Small-cap stocks, which make up about 10% of the broad U.S. stock market, tend to be riskier and more volatile than large-caps. The cash reserves of smaller companies may be leaner and their business models less established. With this risk, however, comes the potential for reward. Small-cap issuers, frequently younger companies, offer the possibility of superior earnings growth, sometimes allowing for rapid price appreciation.
In cumulative return, small-caps have led large-caps since the stock market began its recovery from the 2008–2009 financial crisis. This trend continued through the first half of 2013, when small-caps were
Expense Ratios
Your Fund Compared With Its Peer Group
Peer | |||||||
Investor | Admiral | Signal | Institutional | Institutional | ETF | Group | |
Shares | Shares | Shares | Shares | Plus Shares | Shares | Average | |
Small-Cap Index Fund | 0.24% | 0.10% | 0.10% | 0.08% | 0.06% | 0.10% | 1.34% |
Small-Cap Growth Index Fund | 0.24 | 0.10 | — | 0.08 | — | 0.10 | 1.47 |
Small-Cap Value Index Fund | 0.24 | 0.10 | — | 0.08 | — | 0.10 | 1.40 |
The fund expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the funds’ annualized expense ratios were: for the Small-Cap Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.09% for ETF Shares; for the Small-Cap Growth Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares; and for the Small-Cap Value Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2012.
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.
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among the stars in a robust market that lifted stocks of every style and size. With the exception of basic materials stocks in all three funds, every sector of the small-cap market recorded gains.
The financial sector led the Small-Cap Index Fund and the Small-Cap Value Index Fund as a wide range of companies benefited from the surging stock market and the rebounding housing market. Banks were helped by better lending conditions, asset managers and financial services firms benefited from the strong investing environment, and various insurance companies were rewarded for superior management of their risks and opportunities.
Industrial stocks, which are highly sensitive to the rhythms of the business cycle, contributed strongly to all three funds as the economy steadily expanded and the nation’s factories continued to produce at impressive levels. Gains were broadly based, with support services, suppliers, machinery, commercial vehicles, and aerospace and defense among the sector’s many productive business areas.
The economic recovery has also hinged on consumer services, the Small-Cap Growth Index Fund’s top sector as well as a leader for the two other funds. Consumers, their confidence on the rise, spent more freely at restaurants, entertainment centers, movie theaters, and a variety of retailers. Also reaping some of the benefits were
Investment insight |
What benchmark changes mean for you |
In June, we completed the transition of 22 Vanguard index funds—including yours— |
to new target benchmarks. The change went smoothly, as the funds closely tracked |
their respective benchmarks throughout the transition. |
The new index providers are the University of Chicago’s Center for Research in |
Security Prices (CRSP) for U.S. stocks and FTSE Group for international stocks. The |
new benchmarks incorporate top-quality index construction and offer comprehensive |
coverage of the markets they represent. And there are no changes to our funds’ |
investment goals, objectives, or policies. |
We took this action because benchmark licensing costs were becoming a larger |
part of the expense ratios of our index funds. With the new, long-term agreements, |
our funds can pursue their indexing strategy at considerable savings for our clients. |
7
consumer goods firms, especially those in the clothing, food, and automobile businesses.
Health care, technology, and oil and gas stocks also made solid contributions to all three funds, and utilities boosted the Small-Cap Index and Small-Cap Value Index Funds. Mining stocks, however, were a weak spot for the three funds. Gold mining companies have suffered as the price of gold has tumbled, and coal mining companies have also endured difficult times as global demand for coal has been weak.
In pursuing investment goals, your long-term asset mix is key
As I mentioned earlier, financial markets were rattled in June by the prospect that the Fed would begin scaling back its massive bond-buying program. Bond yields jumped (so prices fell), and the stock market experienced some turmoil.
Volatility and increased uncertainty can tempt investors to deviate from their investment plan. In the mutual fund industry, for example, the recent rise in bond yields has led to net redemptions from bond funds as investors try to sidestep losses that might arise from a sustained climb in interest rates.
Keep in mind, however, that although interest rates remain low, nobody is certain what their next move will be—much less how financial markets will react to the change.
In fact, it’s precisely because short-term market movements are unpredictable that trying to time the markets often fails, as Vanguard and other researchers have found. A recent Vanguard research paper notes that although many investors alter their portfolios based on emotional reactions to market movements, investment success actually is “largely determined by the long-term mixture of assets in a portfolio.” (You can find the full report, Vanguard’s Framework for Constructing Diversified Portfolios, at vanguard.com/research.)
We continue to believe that sticking to a well-diversified portfolio of stocks, bonds, and money market instruments over the long haul—rather than making impulsive changes to try to avoid potential losses or capitalize on perceived opportunities—gives you the best chance of meeting your investment goals.
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/smallcapx10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 18, 2013
8
Small-Cap Index Fund
Fund Profile
As of June 30, 2013
Share-Class Characteristics | ||||||
Investor | Admiral | Signal | Institutional | Institutional | ||
Shares | Shares | Shares | Shares | Plus Shares | ETF Shares | |
Ticker Symbol | NAESX | VSMAX | VSISX | VSCIX | VSCPX | VB |
Expense Ratio1 | 0.24% | 0.10% | 0.10% | 0.08% | 0.06% | 0.10% |
30-Day SEC Yield | 1.22% | 1.37% | 1.37% | 1.38% | 1.40% | 1.37% |
Portfolio Characteristics | |||
DJ U.S. | |||
Total | |||
CRSP US | Market | ||
Small Cap | FA | ||
Fund | Index | Index | |
Number of Stocks | 1,444 | 1,438 | 3,622 |
Median Market Cap | $2.6B | $2.6B | $38.5B |
Price/Earnings Ratio | 25.7x | 25.9x | 18.4x |
Price/Book Ratio | 2.1x | 2.1x | 2.3x |
Return on Equity | 9.5% | 9.5% | 16.4% |
Earnings Growth | |||
Rate | 9.4% | 9.4% | 10.7% |
Dividend Yield | 1.5% | 1.5% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 32% | — | — |
Short-Term | 0.8% | — | — |
Sector Diversification (% of equity exposure)
DJ U.S. | |||
CRSP US | Total | ||
Small Cap | Market | ||
Fund | Index | FA Index | |
Basic Materials | 4.3% | 4.3% | 2.9% |
Consumer Goods | 8.4 | 8.4 | 10.6 |
Consumer Services | 13.4 | 13.3 | 13.4 |
Financials | 23.7 | 23.8 | 18.9 |
Health Care | 10.0 | 9.9 | 11.7 |
Industrials | 19.8 | 19.9 | 12.8 |
Oil & Gas | 5.2 | 5.1 | 9.6 |
Technology | 10.7 | 10.9 | 14.2 |
Telecommunications | 0.7 | 0.6 | 2.5 |
Utilities | 3.8 | 3.8 | 3.4 |
Volatility Measures | ||
Spliced | DJ U.S. | |
Small-Cap | Total Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 1.25 |
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)
Onyx Pharmaceuticals | ||
Inc. | Biotechnology | 0.4% |
B/E Aerospace Inc. | Aerospace | 0.3 |
Fortune Brands Home | Building Materials & | |
& Security Inc. | Fixtures | 0.3 |
Polaris Industries Inc. | Recreational | |
Products | 0.3 | |
Cooper Cos. Inc. | Medical Supplies | 0.3 |
Genworth Financial Inc. | Life Insurance | 0.2 |
Gannett Co. Inc. | Publishing | 0.2 |
Arthur J Gallagher & Co. | Property & Casualty | |
Insurance | 0.2 | |
NV Energy Inc. | Conventional | |
Electricity | 0.2 | |
NCR Corp. | Computer Hardware | 0.2 |
Top Ten | 2.6% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the annualized expense ratios were 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.09% for ETF Shares.
9
Small-Cap Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/smallcapx12x1.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, 2002, Through June 30, 2013*
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/smallcapx13x1.jpg)
For a benchmark description, see the Glossary.
Average Annual Total Returns: Periods Ended June 30, 2013*
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 10/3/1960 | 25.53% | 10.00% | 10.76% |
Admiral Shares | 11/13/2000 | 25.72 | 10.14 | 10.89 |
Signal Shares | 12/15/2006 | 25.74 | 10.15 | 6.341 |
Institutional Shares | 7/7/1997 | 25.74 | 10.19 | 10.94 |
Institutional Plus Shares | 12/17/2010 | 25.77 | — | 12.461 |
ETF Shares | 1/26/2004 | |||
Market Price | 25.75 | 10.13 | 8.191 | |
Net Asset Value | 25.72 | 10.15 | 8.201 | |
1 Return since inception. |
* The fund total returns reported in the Fiscal-Year Total Returns table for 2013 and in the Average Annual Total Returns table for the periods shown are based on the ending share prices as of June 28, 2013—the month’s last business day—rather than as of June 30, 2013—the financial statement date. The total returns as of June 30, 2013, were adjusted because of a significant change in the value of one of the fund’s securities (see the Financial Highlights tables and Note C in the Notes to Financial Statements). In the Fiscal-Year Total Returns table, 2013 reflects six-month performance data.
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, 2013
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 | |||
Basic Materials | |||
Rockwood Holdings Inc. | 1,188,813 | 76,120 | 0.2% |
Basic Materials—Other † | 1,408,787 | 4.0% | |
1,484,907 | 4.2% | ||
Consumer Goods | |||
Polaris Industries Inc. | 999,296 | 94,933 | 0.3% |
Snap-on Inc. | 891,799 | 79,709 | 0.2% |
Hanesbrands Inc. | 1,508,164 | 77,550 | 0.2% |
* Toll Brothers Inc. | 2,329,984 | 76,027 | 0.2% |
Ingredion Inc. | 1,126,414 | 73,915 | 0.2% |
* Under Armour Inc. Class A | 1,222,711 | 73,008 | 0.2% |
* Jarden Corp. | 1,635,840 | 71,568 | 0.2% |
Leggett & Platt Inc. | 2,186,981 | 67,993 | 0.2% |
Consumer Goods—Other † | 2,302,612 | 6.6% | |
2,917,315 | 8.3% | ||
Consumer Services | |||
Gannett Co. Inc. | 3,502,699 | 85,676 | 0.3% |
* Sally Beauty Holdings Inc. | 2,598,149 | 80,803 | 0.3% |
Foot Locker Inc. | 2,297,585 | 80,714 | 0.2% |
* Panera Bread Co. Class A | 430,105 | 79,974 | 0.2% |
Dick’s Sporting Goods Inc. | 1,535,469 | 76,866 | 0.2% |
Omnicare Inc. | 1,605,776 | 76,612 | 0.2% |
GameStop Corp. Class A | 1,728,050 | 72,630 | 0.2% |
Dunkin’ Brands Group Inc. | 1,631,450 | 69,859 | 0.2% |
Consumer Services—Other † | 4,033,205 | 11.5% | |
4,656,339 | 13.3% | ||
Financials | |||
* Genworth Financial Inc. Class A | 7,545,791 | 86,097 | 0.3% |
Arthur J Gallagher & Co. | 1,935,920 | 84,580 | 0.3% |
Fidelity National Financial Inc. Class A | 3,309,021 | 78,788 | 0.2% |
Duke Realty Corp. | 4,922,702 | 76,745 | 0.2% |
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Small-Cap Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Shares | ($000) | Assets | ||
Senior Housing Properties Trust | 2,878,324 | 74,635 | 0.2% | |
* | Ocwen Financial Corp. | 1,764,507 | 72,733 | 0.2% |
DDR Corp. | 4,334,094 | 72,163 | 0.2% | |
Regency Centers Corp. | 1,401,981 | 71,235 | 0.2% | |
Taubman Centers Inc. | 927,208 | 69,680 | 0.2% | |
Liberty Property Trust | 1,840,353 | 68,019 | 0.2% | |
Financials—Other † | 7,551,385 | 21.5% | ||
8,306,060 | 23.7% | |||
Health Care | ||||
* | Onyx Pharmaceuticals Inc. | 1,113,094 | 146,238 | 0.4% |
Cooper Cos. Inc. | 744,663 | 88,652 | 0.3% | |
* | Tenet Healthcare Corp. | 1,584,003 | 73,023 | 0.2% |
* | Pharmacyclics Inc. | 891,104 | 70,816 | 0.2% |
* | MEDNAX Inc. | 767,875 | 70,322 | 0.2% |
Warner Chilcott plc Class A | 3,456,232 | 68,710 | 0.2% | |
Health Care—Other † | 2,963,774 | 8.4% | ||
3,481,535 | 9.9% | |||
Industrials | ||||
* | B/E Aerospace Inc. | 1,602,699 | 101,098 | 0.3% |
Fortune Brands Home & Security Inc. | 2,525,145 | 97,824 | 0.3% | |
Towers Watson & Co. Class A | 995,838 | 81,599 | 0.3% | |
Valspar Corp. | 1,210,459 | 78,280 | 0.2% | |
Wabtec Corp./DE | 1,398,589 | 74,727 | 0.2% | |
* | Flextronics International Ltd. | 9,575,101 | 74,111 | 0.2% |
Waste Connections Inc. | 1,794,393 | 73,821 | 0.2% | |
Packaging Corp. of America | 1,500,717 | 73,475 | 0.2% | |
Lincoln Electric Holdings Inc. | 1,269,795 | 72,721 | 0.2% | |
* | United Rentals Inc. | 1,442,257 | 71,983 | 0.2% |
* | Colfax Corp. | 1,315,568 | 68,554 | 0.2% |
Industrials—Other † | 6,029,088 | 17.2% | ||
6,897,281 | 19.7% | |||
Oil & Gas | ||||
* | Oil States International Inc. | 841,159 | 77,925 | 0.2% |
Oil & Gas—Other † | 1,717,427 | 4.9% | ||
1,795,352 | 5.1% | |||
Other † | 351 | 0.0% | ||
Technology | ||||
* | NCR Corp. | 2,515,923 | 83,000 | 0.2% |
Technology—Other † | 3,646,841 | 10.4% | ||
3,729,841 | 10.6% | |||
Telecommunications † | 227,004 | 0.7% | ||
Utilities | ||||
NV Energy Inc. | 3,602,634 | 84,518 | 0.3% | |
AGL Resources Inc. | 1,806,361 | 77,421 | 0.2% | |
ITC Holdings Corp. | 800,974 | 73,129 | 0.2% | |
UGI Corp. | 1,742,359 | 68,144 | 0.2% | |
Utilities—Other † | 1,024,459 | 2.9% | ||
1,327,671 | 3.8% | |||
Total Common Stocks (Cost $27,545,305) | 34,823,656 | 99.3%1 |
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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 | 0.127% | 754,867,359 | 754,867 | 2.2% |
4U.S. Government and Agency Obligations † | 14,295 | 0.0% | ||
Total Temporary Cash Investments (Cost $769,164) | 769,162 | 2.2%1 | ||
5Total Investments (Cost $28,314,469) | 35,592,818 | 101.5% | ||
Other Assets and Liabilities | ||||
Other Assets | 181,296 | 0.5% | ||
Liabilities3 | (690,210) | (2.0%) | ||
(508,914) | (1.5%) | |||
Net Assets | 35,083,904 | 100.0% | ||
At June 30, 2013, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 29,433,104 | |||
Undistributed Net Investment Income | 226,851 | |||
Accumulated Net Realized Losses | (1,853,738) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 7,278,349 | |||
Futures Contracts | (662) | |||
Net Assets | 35,083,904 | |||
Investor Shares—Net Assets | ||||
Applicable to 97,660,952 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 4,390,328 | |||
Net Asset Value Per Share—Investor Shares | $44.95 | |||
Admiral Shares—Net Assets | ||||
Applicable to 177,897,311 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 8,006,316 | |||
Net Asset Value Per Share—Admiral Shares | $45.01 | |||
Signal Shares—Net Assets | ||||
Applicable to 144,681,870 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 5,866,286 | |||
Net Asset Value Per Share—Signal Shares | $40.55 |
14
Small-Cap Index Fund | |
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 164,118,333 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 7,386,039 |
Net Asset Value Per Share—Institutional Shares | $45.00 |
Institutional Plus Shares—Net Assets | |
Applicable to 23,420,384 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,042,673 |
Net Asset Value Per Share—Institutional Plus Shares | $129.92 |
ETF Shares—Net Assets | |
Applicable to 68,056,802 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,392,262 |
Net Asset Value Per Share—ETF Shares | $93.93 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 1.5%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $484,034,000 of collateral received for securities on loan.
4 Securities with a value of $11,146,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $457,795,000.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Small-Cap Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 259,323 |
Interest1 | 248 |
Securities Lending | 17,833 |
Total Income | 277,404 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 969 |
Management and Administrative—Investor Shares | 4,309 |
Management and Administrative—Admiral Shares | 2,602 |
Management and Administrative—Signal Shares | 1,538 |
Management and Administrative—Institutional Shares | 1,499 |
Management and Administrative—Institutional Plus Shares | 496 |
Management and Administrative—ETF Shares | 1,700 |
Marketing and Distribution—Investor Shares | 515 |
Marketing and Distribution—Admiral Shares | 533 |
Marketing and Distribution—Signal Shares | 672 |
Marketing and Distribution—Institutional Shares | 869 |
Marketing and Distribution—Institutional Plus Shares | 244 |
Marketing and Distribution—ETF Shares | 672 |
Custodian Fees | 503 |
Shareholders’ Reports—Investor Shares | 55 |
Shareholders’ Reports—Admiral Shares | 27 |
Shareholders’ Reports—Signal Shares | 30 |
Shareholders’ Reports—Institutional Shares | 45 |
Shareholders’ Reports—Institutional Plus Shares | 6 |
Shareholders’ Reports—ETF Shares | 95 |
Trustees’ Fees and Expenses | 22 |
Total Expenses | 17,401 |
Net Investment Income | 260,003 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (599,318) |
Futures Contracts | 46,201 |
Realized Net Gain (Loss) | (553,117) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 4,920,828 |
Futures Contracts | (1,149) |
Change in Unrealized Appreciation (Depreciation) | 4,919,679 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,626,565 |
1 Interest income from an affiliated company of the fund was $229,000.
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, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 260,003 | 502,306 |
Realized Net Gain (Loss) | (553,117) | 1,147,066 |
Change in Unrealized Appreciation (Depreciation) | 4,919,679 | 2,559,591 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,626,565 | 4,208,963 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (603) | (65,627) |
Admiral Shares | (1,387) | (119,456) |
Signal Shares | (941) | (79,055) |
Institutional Shares | (1,264) | (108,272) |
Institutional Plus Shares | (555) | (45,220) |
ETF Shares | (1,102) | (87,168) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (5,852) | (504,798) |
Capital Share Transactions | ||
Investor Shares | (40,682) | (706,073) |
Admiral Shares | 394,288 | 130,540 |
Signal Shares | 795,155 | 730,889 |
Institutional Shares | 437,257 | 272,583 |
Institutional Plus Shares | 204,269 | 284,008 |
ETF Shares | 908,881 | 406,197 |
Net Increase (Decrease) from Capital Share Transactions | 2,699,168 | 1,118,144 |
Total Increase (Decrease) | 7,319,881 | 4,822,309 |
Net Assets | ||
Beginning of Period | 27,764,023 | 22,941,714 |
End of Period1 | 35,083,904 | 27,764,023 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $226,851,000 and ($28,016,000).
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $38.74 | $33.38 | $34.75 | $27.49 | $20.40 | $32.58 |
Investment Operations | ||||||
Net Investment Income | .307 | .659 | .402 | .355 | .272 | .398 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.909 | 5.363 | (1.375) | 7.266 | 7.094 | (12.174) |
Total from Investment Operations | 6.216 | 6.022 | (.973) | 7.621 | 7.366 | (11.776) |
Distributions | ||||||
Dividends from Net Investment Income | (.006) | (.662) | (.397) | (.361) | (.276) | (.404) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.006) | (.662) | (.397) | (.361) | (.276) | (.404) |
Net Asset Value, End of Period | $44.95 | $38.74 | $33.38 | $34.75 | $27.49 | $20.40 |
Total Return1 | 16.05%2 | 18.04% | -2.80% | 27.72% | 36.12% | -36.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,390 | $3,813 | $3,925 | $5,270 | $5,913 | $4,050 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.26% | 0.28% | 0.23% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.59% | 1.82% | 1.15% | 1.24% | 1.30% | 1.49% |
Portfolio Turnover Rate 3 | 32% | 14% | 17% | 12% | 14% | 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 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.89%.
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.
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $38.76 | $33.39 | $34.78 | $27.50 | $20.40 | $32.59 |
Investment Operations | ||||||
Net Investment Income | .339 | .717 | .461 | .384 | .303 | .426 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.919 | 5.372 | (1.395) | 7.286 | 7.105 | (12.185) |
Total from Investment Operations | 6.258 | 6.089 | (.934) | 7.670 | 7.408 | (11.759) |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (.719) | (.456) | (.390) | (.308) | (.431) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.008) | (.719) | (.456) | (.390) | (.308) | (.431) |
Net Asset Value, End of Period | $45.01 | $38.76 | $33.39 | $34.78 | $27.50 | $20.40 |
Total Return1 | 16.15%2 | 18.24% | -2.69% | 27.89% | 36.33% | -36.00% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,006 | $6,541 | $5,525 | $5,554 | $1,992 | $1,444 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.74% | 1.96% | 1.29% | 1.38% | 1.44% | 1.60% |
Portfolio Turnover Rate 3 | 32% | 14% | 17% | 12% | 14% | 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 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.97%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Small-Cap Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $34.92 | $30.08 | $31.33 | $24.79 | $18.39 | $29.38 |
Investment Operations | ||||||
Net Investment Income | .306 | .648 | .417 | .359 | .274 | .385 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.331 | 4.841 | (1.254) | 6.545 | 6.405 | (10.985) |
Total from Investment Operations | 5.637 | 5.489 | (.837) | 6.904 | 6.679 | (10.600) |
Distributions | ||||||
Dividends from Net Investment Income | (.007) | (.649) | (.413) | (.364) | (.279) | (.390) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.007) | (.649) | (.413) | (.364) | (.279) | (.390) |
Net Asset Value, End of Period | $40.55 | $34.92 | $30.08 | $31.33 | $24.79 | $18.39 |
Total Return | 16.14%1 | 18.25% | -2.68% | 27.85% | 36.34% | -36.00% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,866 | $4,329 | $3,075 | $2,300 | $1,763 | $1,172 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.74% | 1.96% | 1.29% | 1.38% | 1.44% | 1.60% |
Portfolio Turnover Rate 2 | 32% | 14% | 17% | 12% | 14% | 14% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.97%.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Small-Cap Index Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $38.76 | $33.39 | $34.77 | $27.50 | $20.40 | $32.60 |
Investment Operations | ||||||
Net Investment Income | .343 | .724 | .467 | .410 | .316 | .441 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.905 | 5.372 | (1.385) | 7.276 | 7.106 | (12.196) |
Total from Investment Operations | 6.248 | 6.096 | (.918) | 7.686 | 7.422 | (11.755) |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (.726) | (.462) | (.416) | (.322) | (.445) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.008) | (.726) | (.462) | (.416) | (.322) | (.445) |
Net Asset Value, End of Period | $45.00 | $38.76 | $33.39 | $34.77 | $27.50 | $20.40 |
Total Return | 16.12%1 | 18.26% | -2.65% | 27.95% | 36.40% | -35.98% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,386 | $5,955 | $4,894 | $5,711 | $4,162 | $2,545 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.75% | 1.98% | 1.31% | 1.42% | 1.50% | 1.65% |
Portfolio Turnover Rate 2 | 32% | 14% | 17% | 12% | 14% | 14% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.97%.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Small-Cap Index Fund
Financial Highlights
Institutional Plus Shares | ||||
Six Months | Dec. 17, | |||
Ended | Year Ended | 20101 to | ||
June 30, | December 31, | Dec. 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $111.87 | $96.37 | $100.38 | $100.73 |
Investment Operations | ||||
Net Investment Income | 1.001 | 2.114 | 1.373 | .064 2 |
Net Realized and Unrealized Gain (Loss) on Investments | 17.072 | 15.506 | (4.023) | .767 |
Total from Investment Operations | 18.073 | 17.620 | (2.650) | .831 |
Distributions | ||||
Dividends from Net Investment Income | (.023) | (2.120) | (1.360) | (1.181) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.023) | (2.120) | (1.360) | (1.181) |
Net Asset Value, End of Period | $129.92 | $111.87 | $96.37 | $100.38 |
Total Return | 16.16%3 | 18.29% | -2.65% | 0.82% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $3,043 | $2,435 | $1,840 | $341 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06%4 |
Ratio of Net Investment Income to Average Net Assets | 1.77% | 2.00% | 1.33% | 1.44% 4 |
Portfolio Turnover Rate 5 | 32% | 14% | 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 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.99%.
4 Annualized.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $80.89 | $69.70 | $72.58 | $57.41 | $42.60 | $68.07 |
Investment Operations | ||||||
Net Investment Income | .709 | 1.500 | .957 | .833 | .646 | .910 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 12.348 | 11.194 | (2.891) | 15.183 | 14.822 | (25.462) |
Total from Investment Operations | 13.057 | 12.694 | (1.934) | 16.016 | 15.468 | (24.552) |
Distributions | ||||||
Dividends from Net Investment Income | (.017) | (1.504) | (.946) | (.846) | (.658) | (.918) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.017) | (1.504) | (.946) | (.846) | (.658) | (.918) |
Net Asset Value, End of Period | $93.93 | $80.89 | $69.70 | $72.58 | $57.41 | $42.60 |
Total Return | 16.14%1 | 18.22% | -2.68% | 27.89% | 36.31% | -35.99% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,392 | $4,691 | $3,683 | $4,843 | $3,460 | $1,224 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.74% | 1.96% | 1.29% | 1.38% | 1.44% | 1.62% |
Portfolio Turnover Rate 2 | 32% | 14% | 17% | 12% | 14% | 14% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.97%.
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
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 NYSE Arca; they can be purchased and sold through a broker.
On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Small Cap 1750 Index to the CRSP US Small Cap Index. The benchmark change was effective on January 31, 2013. The fund’s investment objective has not changed.
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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
24
Small-Cap Index Fund
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
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, 2009–2012), and for the period ended June 30, 2013, 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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, 2013, the fund had contributed capital of $4,312,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.72% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
25
Small-Cap 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).
The following table summarizes the market value of the fund’s investments as of June 30, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 34,677,135 | 146,238 | 283 |
Temporary Cash Investments | 754,867 | 14,295 | — |
Futures Contracts—Assets1 | 44 | — | — |
Futures Contracts—Liabilities1 | (474) | — | — |
Total | 35,431,572 | 160,533 | 283 |
1 Represents variation margin on the last day of the reporting period. |
$146,238,000 of a security that is valued in this report based on Level 2 inputs is normally valued based on Level 1 inputs. This security experienced a significant change in value between the close of business on June 28, 2013, and the close of the reporting period on June 30, 2013, because of an acquisition proposal from another company.
D. At June 30, 2013, 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 2013 | 1,927 | 187,825 | 338 |
E-mini S&P MidCap 400 Index | September 2013 | 500 | 57,895 | (1,000) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
26
Small-Cap Index Fund
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.
Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the six months ended June 30, 2013, the fund realized gains on the sale of passive foreign investment companies of $716,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to undistributed net investment income. Passive foreign investment companies held at June 30, 2013, had unrealized appreciation of $900,000 as of December 31, 2012, the most recent mark-to-market date for tax purposes. This amount has been distributed and is reflected in the balance of undistributed net investment income.
During the six months ended June 30, 2013, the fund realized $267,659,000 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, 2012, the fund had available capital losses $1,031,716,000 to offset future net capital gains. Of this amount, $946,157,000 is subject to expiration dates; $342,008,000 may be used to offset future net capital gains through December 31, 2017, and $604,149,000 through December 31, 2018. Capital losses of $85,559,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $28,315,369,000. Net unrealized appreciation of investment securities for tax purposes was $7,277,449,000, consisting of unrealized gains of $8,571,006,000 on securities that had risen in value since their purchase and $1,293,557,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $12,007,919,000 of investment securities and sold $9,033,249,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,447,791,000 and $655,623,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
27
Small-Cap Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 547,075 | 12,782 | 696,904 | 18,945 |
Issued in Lieu of Cash Distributions | 583 | 14 | 63,466 | 1,641 |
Redeemed | (588,340) | (13,545) | (1,466,443) | (39,768) |
Net Increase (Decrease)—Investor Shares | (40,682) | (749) | (706,073) | (19,182) |
Admiral Shares | ||||
Issued | 789,357 | 18,313 | 795,474 | 21,365 |
Issued in Lieu of Cash Distributions | 1,270 | 29 | 108,574 | 2,806 |
Redeemed | (396,339) | (9,204) | (773,508) | (20,883) |
Net Increase (Decrease)—Admiral Shares | 394,288 | 9,138 | 130,540 | 3,288 |
Signal Shares | ||||
Issued | 1,395,064 | 36,139 | 1,645,642 | 49,338 |
Issued in Lieu of Cash Distributions | 849 | 22 | 71,340 | 2,046 |
Redeemed | (600,758) | (15,437) | (986,093) | (29,645) |
Net Increase (Decrease)—Signal Shares | 795,155 | 20,724 | 730,889 | 21,739 |
Institutional Shares | ||||
Issued | 1,267,655 | 29,702 | 1,670,109 | 45,178 |
Issued in Lieu of Cash Distributions | 1,157 | 27 | 98,902 | 2,556 |
Redeemed | (831,555) | (19,252) | (1,496,428) | (40,673) |
Net Increase (Decrease)—Institutional Shares | 437,257 | 10,477 | 272,583 | 7,061 |
Institutional Plus Shares | ||||
Issued | 777,887 | 6,214 | 733,174 | 6,917 |
Issued in Lieu of Cash Distributions | 554 | 4 | 45,220 | 405 |
Redeemed | (574,172) | (4,568) | (494,386) | (4,639) |
Net Increase (Decrease)—Institutional Plus Shares | 204,269 | 1,650 | 284,008 | 2,683 |
ETF Shares | ||||
Issued | 1,455,634 | 16,063 | 2,788,617 | 36,449 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (546,753) | (6,000) | (2,382,420) | (31,300) |
Net Increase (Decrease)—ETF Shares | 908,881 | 10,063 | 406,197 | 5,149 |
H. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
28
Small-Cap Growth Index Fund
Fund Profile
As of June 30, 2013
Share-Class Characteristics | ||||
Investor | Admiral | Institutional | ||
Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VISGX | VSGAX | VSGIX | VBK |
Expense Ratio1 | 0.24% | 0.10% | 0.08% | 0.10% |
30-Day SEC Yield | 0.55% | 0.71% | 0.71% | 0.71% |
Portfolio Characteristics | |||
DJ U.S. | |||
CRSP US | Total | ||
Small Cap | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 672 | 668 | 3,622 |
Median Market Cap | $2.7B | $2.7B | $38.5B |
Price/Earnings Ratio | 38.5x | 38.4x | 18.4x |
Price/Book Ratio | 3.1x | 3.1x | 2.3x |
Return on Equity | 10.2% | 10.2% | 16.4% |
Earnings Growth | |||
Rate | 15.3% | 15.3% | 10.7% |
Dividend Yield | 0.8% | 0.8% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 58% | — | — |
Short-Term | 0.0% | — | — |
Sector Diversification (% of equity exposure)
CRSP US | DJ U.S. | ||
Small Cap | Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Basic Materials | 2.4% | 2.5% | 2.9% |
Consumer Goods | 9.0 | 9.0 | 10.6 |
Consumer Services | 14.8 | 14.9 | 13.4 |
Financials | 16.7 | 16.7 | 18.9 |
Health Care | 14.6 | 14.3 | 11.7 |
Industrials | 17.9 | 17.9 | 12.8 |
Oil & Gas | 6.8 | 6.9 | 9.6 |
Technology | 16.4 | 16.4 | 14.2 |
Telecommunications | 0.9 | 0.9 | 2.5 |
Utilities | 0.5 | 0.5 | 3.4 |
Volatility Measures | ||
Spliced | DJ U.S. | |
Small-Cap | Total Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.94 |
Beta | 1.00 | 1.31 |
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)
Onyx Pharmaceuticals | ||
Inc. | Biotechnology | 0.9% |
B/E Aerospace Inc. | Aerospace | 0.6 |
Fortune Brands Home | Building Materials & | |
& Security Inc. | Fixtures | 0.6 |
Polaris Industries Inc. | Recreational | |
Products | 0.6 | |
Cooper Cos. Inc. | Medical Supplies | 0.6 |
Sally Beauty Holdings | ||
Inc. | Specialty Retailers | 0.5 |
Panera Bread Co. | Restaurants & Bars | 0.5 |
Oil States International | Oil Equipment, | |
Inc. | Services & | |
Distribution | 0.5 | |
Dick's Sporting Goods | ||
Inc. | Specialty Retailers | 0.5 |
Duke Realty Corp. | Industrial & Office | |
REITs | 0.5 | |
Top Ten | 5.8% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the ix months ended June 30, 2013, the annualized expense ratios were 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.08% for nstitutional Shares, and 0.09% for ETF Shares.
29
Small-Cap Growth Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/smallcapx32x1.jpg)
30
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, 2002, Through June 30, 2013*
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/smallcapx33x1.jpg)
For a benchmark description, see the Glossary.
Average Annual Total Returns: Periods Ended June 30, 2013*
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | 24.15% | 9.72% | 11.13% |
Admiral Shares | 9/27/2011 | 24.36 | — | 24.541 |
Institutional Shares | 5/24/2000 | 24.39 | 9.91 | 11.31 |
ETF Shares | 1/26/2004 | |||
Market Price | 24.34 | 9.84 | 8.371 | |
Net Asset Value | 24.36 | 9.87 | 8.371 | |
1 Return since inception. |
* The fund total returns reported in the Fiscal-Year Total Returns table for 2013 and in the Average Annual Total Returns table for the periods shown are based on the ending share prices as of June 28, 2013—the month’s last business day—rather than as of June 30, 2013—the financial statement date. The total returns as of June 30, 2013, were adjusted because of a significant change in the value of one of the fund’s securities (see the Financial Highlights tables and Note C in the Notes to Financial Statements). In the Fiscal-Year Total Returns table, 2013 reflects six-month performance data.
See Financial Highlights for dividend and capital gains information.
31
Small-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2013
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 | |||
Basic Materials † | 285,812 | 2.4% | |
Consumer Goods | |||
Polaris Industries Inc. | 751,561 | 71,398 | 0.6% |
* Toll Brothers Inc. | 1,752,097 | 57,171 | 0.5% |
* Under Armour Inc. Class A | 919,414 | 54,898 | 0.5% |
Carter’s Inc. | 647,723 | 47,977 | 0.4% |
Harman International Industries Inc. | 781,986 | 42,384 | 0.3% |
Consumer Goods—Other † | 790,384 | 6.7% | |
1,064,212 | 9.0% | ||
Consumer Services | |||
* Sally Beauty Holdings Inc. | 1,953,847 | 60,765 | 0.5% |
* Panera Bread Co. Class A | 323,357 | 60,125 | 0.5% |
Dick’s Sporting Goods Inc. | 1,154,638 | 57,801 | 0.5% |
Dunkin’ Brands Group Inc. | 1,226,770 | 52,530 | 0.4% |
GNC Holdings Inc. Class A | 1,018,370 | 45,022 | 0.4% |
* AMC Networks Inc. Class A | 660,372 | 43,195 | 0.4% |
Consumer Services—Other † | 1,428,278 | 12.1% | |
1,747,716 | 14.8% | ||
Financials | |||
Duke Realty Corp. | 3,701,941 | 57,713 | 0.5% |
* Ocwen Financial Corp. | 1,326,845 | 54,693 | 0.5% |
DDR Corp. | 3,259,235 | 54,266 | 0.4% |
Regency Centers Corp. | 1,054,223 | 53,565 | 0.4% |
Taubman Centers Inc. | 697,140 | 52,390 | 0.4% |
Extra Space Storage Inc. | 1,213,336 | 50,875 | 0.4% |
American Campus Communities Inc. | 1,205,837 | 49,029 | 0.4% |
CBOE Holdings Inc. | 1,004,342 | 46,842 | 0.4% |
Kilroy Realty Corp. | 868,433 | 46,036 | 0.4% |
BRE Properties Inc. | 886,885 | 44,362 | 0.4% |
WP Carey Inc. | 666,546 | 44,105 | 0.4% |
32
Small-Cap Growth Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Shares | ($000) | Assets | ||
BioMed Realty Trust Inc. | 2,144,214 | 43,377 | 0.4% | |
* | Howard Hughes Corp. | 386,309 | 43,301 | 0.4% |
* | SVB Financial Group | 518,726 | 43,220 | 0.4% |
Financials—Other † | 1,289,857 | 10.9% | ||
1,973,631 | 16.7% | |||
Health Care | ||||
* | Onyx Pharmaceuticals Inc. | 837,039 | 109,970 | 0.9% |
Cooper Cos. Inc. | 559,895 | 66,655 | 0.6% | |
* | Pharmacyclics Inc. | 670,071 | 53,251 | 0.4% |
* | MEDNAX Inc. | 577,352 | 52,874 | 0.4% |
* | Alkermes plc | 1,546,537 | 44,355 | 0.4% |
* | Salix Pharmaceuticals Ltd. | 670,203 | 44,334 | 0.4% |
Health Care—Other † | 1,357,968 | 11.5% | ||
1,729,407 | 14.6% | |||
Industrials | ||||
* | B/E Aerospace Inc. | 1,205,256 | 76,028 | 0.6% |
Fortune Brands Home & Security Inc. | 1,899,098 | 73,571 | 0.6% | |
Wabtec Corp./DE | 1,051,672 | 56,191 | 0.5% | |
* | Colfax Corp. | 989,188 | 51,547 | 0.4% |
Triumph Group Inc. | 593,656 | 46,988 | 0.4% | |
* | Kirby Corp. | 587,825 | 46,756 | 0.4% |
Graco Inc. | 704,979 | 44,562 | 0.4% | |
Jack Henry & Associates Inc. | 941,471 | 44,372 | 0.4% | |
Nordson Corp. | 628,123 | 43,535 | 0.4% | |
MSC Industrial Direct Co. Inc. Class A | 558,076 | 43,229 | 0.4% | |
* | Genesee & Wyoming Inc. Class A | 503,964 | 42,756 | 0.3% |
Industrials—Other † | 1,560,309 | 13.2% | ||
2,129,844 | 18.0% | |||
Oil & Gas | ||||
* | Oil States International Inc. | 632,479 | 58,593 | 0.5% |
* | Gulfport Energy Corp. | 890,460 | 41,914 | 0.3% |
Oil & Gas—Other † | 705,350 | 6.0% | ||
805,857 | 6.8% | |||
Other † | 126 | 0.0% | ||
Technology | ||||
*,^ | 3D Systems Corp. | 1,089,663 | 47,836 | 0.4% |
IAC/InterActiveCorp | 950,683 | 45,214 | 0.4% | |
* | Cadence Design Systems Inc. | 3,094,029 | 44,802 | 0.4% |
Solera Holdings Inc. | 792,827 | 44,121 | 0.4% | |
Technology—Other † | 1,759,088 | 14.8% | ||
1,941,061 | 16.4% | |||
Telecommunications | ||||
* | tw telecom inc Class A | 1,730,001 | 48,682 | 0.4% |
Telecommunications—Other † | 52,235 | 0.4% | ||
100,917 | 0.8% | |||
Utilities | ||||
ITC Holdings Corp. | 602,194 | 54,980 | 0.5% | |
Utilities—Other † | 5,207 | 0.0% | ||
60,187 | 0.5% | |||
Total Common Stocks (Cost $9,680,120) | 11,838,770 | 100.0% |
33
Small-Cap Growth Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
1,2 Vanguard Market Liquidity Fund | 0.127% | 189,389,485 | 189,389 | 1.6% |
U.S. Government and Agency Obligations † | 1,300 | 0.0% | ||
Total Temporary Cash Investments (Cost $190,689) | 190,689 | 1.6% | ||
Total Investments (Cost $9,870,809) | 12,029,459 | 101.6% | ||
Other Assets and Liabilities | ||||
Other Assets | 120,722 | 1.0% | ||
Liabilities2 | (310,428) | (2.6%) | ||
(189,706) | (1.6%) | |||
Net Assets | 11,839,753 | 100.0% | ||
At June 30, 2013, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 10,221,671 | |||
Undistributed Net Investment Income | 25,146 | |||
Accumulated Net Realized Losses | (565,714) | |||
Unrealized Appreciation (Depreciation) | 2,158,650 | |||
Net Assets | 11,839,753 | |||
Investor Shares—Net Assets | ||||
Applicable to 104,138,337 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 3,023,534 | |||
Net Asset Value Per Share—Investor Shares | $29.03 | |||
Admiral Shares—Net Assets | ||||
Applicable to 92,366,554 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 3,356,231 | |||
Net Asset Value Per Share—Admiral Shares | $36.34 | |||
Institutional Shares—Net Assets | ||||
Applicable to 91,599,294 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,665,453 | |||
Net Asset Value Per Share—Institutional Shares | $29.10 |
34
Small-Cap Growth Index Fund | |
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 27,043,273 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,794,535 |
Net Asset Value Per Share—ETF Shares | $103.34 |
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 $177,344,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $186,665,000 of collateral received for securities on loan.
See accompanying Notes, which are an integral part of the Financial Statements.
35
Small-Cap Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 30,854 |
Interest1 | 113 |
Securities Lending | 10,604 |
Total Income | 41,571 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 377 |
Management and Administrative—Investor Shares | 2,908 |
Management and Administrative—Admiral Shares | 1,006 |
Management and Administrative—Institutional Shares | 554 |
Management and Administrative—ETF Shares | 763 |
Marketing and Distribution—Investor Shares | 398 |
Marketing and Distribution—Admiral Shares | 258 |
Marketing and Distribution—Institutional Shares | 329 |
Marketing and Distribution—ETF Shares | 274 |
Custodian Fees | 189 |
Shareholders’ Reports—Investor Shares | 21 |
Shareholders’ Reports—Admiral Shares | 7 |
Shareholders’ Reports—Institutional Shares | 17 |
Shareholders’ Reports—ETF Shares | 56 |
Trustees’ Fees and Expenses | 8 |
Total Expenses | 7,165 |
Net Investment Income | 34,406 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 431,753 |
Futures Contracts | (1,079) |
Realized Net Gain (Loss) | 430,674 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,128,628 |
Futures Contracts | (129) |
Change in Unrealized Appreciation (Depreciation) | 1,128,499 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,593,579 |
1 Interest income from an affiliated company of the fund was $106,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
36
Small-Cap Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 34,406 | 96,313 |
Realized Net Gain (Loss) | 430,674 | 420,030 |
Change in Unrealized Appreciation (Depreciation) | 1,128,499 | 889,417 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,593,579 | 1,405,760 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (107) | (23,644) |
Admiral Shares | (345) | (26,176) |
Institutional Shares | (286) | (24,191) |
ETF Shares | (322) | (22,630) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,060) | (96,641) |
Capital Share Transactions | ||
Investor Shares | (52,606) | (371,989) |
Admiral Shares | 390,079 | 447,516 |
Institutional Shares | (11,099) | 400,654 |
ETF Shares | 220,936 | 41,161 |
Net Increase (Decrease) from Capital Share Transactions | 547,310 | 517,342 |
Total Increase (Decrease) | 2,139,829 | 1,826,461 |
Net Assets | ||
Beginning of Period | 9,699,924 | 7,873,463 |
End of Period1 | 11,839,753 | 9,699,924 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $25,146,000 and ($8,202,000).
See accompanying Notes, which are an integral part of the Financial Statements.
37
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $25.03 | $21.49 | $21.92 | $16.83 | $11.90 | $20.01 |
Investment Operations | ||||||
Net Investment Income | .070 | .223 | .086 | .075 | .046 | .096 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.931 | 3.541 | (.431) | 5.091 | 4.933 | (8.105) |
Total from Investment Operations | 4.001 | 3.764 | (.345) | 5.166 | 4.979 | (8.009) |
Distributions | ||||||
Dividends from Net Investment Income | (.001) | (.224) | (.085) | (.076) | (.049) | (.101) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.001) | (.224) | (.085) | (.076) | (.049) | (.101) |
Net Asset Value, End of Period | $29.03 | $25.03 | $21.49 | $21.92 | $16.83 | $11.90 |
Total Return1 | 15.98%2 | 17.52% | -1.58% | 30.69% | 41.85% | -40.00% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,024 | $2,649 | $2,613 | $4,229 | $3,018 | $1,871 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.26% | 0.28% | 0.23% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.55% | 0.97% | 0.37% | 0.43% | 0.33% | 0.60% |
Portfolio Turnover Rate 3 | 58% | 37% | 40% | 34% | 38% | 38% |
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 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.63%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
38
Small-Cap Growth Index Fund
Financial Highlights
Admiral Shares | |||
Six Months | Year | Sept. 27, | |
Ended | Ended | 20111 to | |
June 30, | Dec. 31, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $31.30 | $26.88 | $25.00 |
Investment Operations | |||
Net Investment Income | .114 | .326 | .031 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.930 | 4.420 | 1.962 |
Total from Investment Operations | 5.044 | 4.746 | 1.993 |
Distributions | |||
Dividends from Net Investment Income | (.004) | (.326) | (.113) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.004) | (.326) | (.113) |
Net Asset Value, End of Period | $36.34 | $31.30 | $26.88 |
Total Return2 | 16.12%3 | 17.66% | 7.97% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $3,356 | $2,539 | $1,781 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.10% | 0.10%4 |
Ratio of Net Investment Income to Average Net Assets | 0.70% | 1.11% | 0.51% 4 |
Portfolio Turnover Rate 5 | 58% | 37% | 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 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.73%.
4 Annualized.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
39
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $25.07 | $21.53 | $21.96 | $16.85 | $11.91 | $20.04 |
Investment Operations | ||||||
Net Investment Income | .092 | .265 | .125 | .107 | .072 | .121 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.941 | 3.540 | (.432) | 5.111 | 4.944 | (8.126) |
Total from Investment Operations | 4.033 | 3.805 | (.307) | 5.218 | 5.016 | (8.005) |
Distributions | ||||||
Dividends from Net Investment Income | (.003) | (.265) | (.123) | (.108) | (.076) | (.125) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.003) | (.265) | (.123) | (.108) | (.076) | (.125) |
Net Asset Value, End of Period | $29.10 | $25.07 | $21.53 | $21.96 | $16.85 | $11.91 |
Total Return | 16.09%1 | 17.68% | -1.40% | 30.96% | 42.13% | -39.91% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,665 | $2,302 | $1,622 | $1,527 | $945 | $511 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.71% | 1.13% | 0.53% | 0.61% | 0.53% | 0.76% |
Portfolio Turnover Rate 2 | 58% | 37% | 40% | 34% | 38% | 38% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.73%.
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
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $89.03 | $76.45 | $77.98 | $59.86 | $42.32 | $71.18 |
Investment Operations | ||||||
Net Investment Income | .321 | .925 | .424 | .360 | .225 | .411 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 14.001 | 12.578 | (1.535) | 18.121 | 17.555 | (28.846) |
Total from Investment Operations | 14.322 | 13.503 | (1.111) | 18.481 | 17.780 | (28.435) |
Distributions | ||||||
Dividends from Net Investment Income | (.012) | (.923) | (.419) | (.361) | (.240) | (.425) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.012) | (.923) | (.419) | (.361) | (.240) | (.425) |
Net Asset Value, End of Period | $103.34 | $89.03 | $76.45 | $77.98 | $59.86 | $42.32 |
Total Return | 16.09%1 | 17.67% | -1.43% | 30.87% | 42.02% | -39.92% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,795 | $2,209 | $1,857 | $1,842 | $1,177 | $680 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.70% | 1.11% | 0.51% | 0.57% | 0.47% | 0.72% |
Portfolio Turnover Rate 2 | 58% | 37% | 40% | 34% | 38% | 38% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.72%.
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
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 NYSE Arca; they can be purchased and sold through a broker.
On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Small Cap Growth Index to the CRSP US Small Cap Growth Index. The benchmark change was effective on April 17, 2013. The fund’s investment objective has not changed.
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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
42
Small-Cap Growth Index Fund
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
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, 2009–2012), and for the period ended June 30, 2013, 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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, 2013, the fund had contributed capital of $1,457,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.58% 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.
43
Small-Cap Growth Index Fund
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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 11,728,675 | 109,970 | 125 |
Temporary Cash Investments | 189,389 | 1,300 | — |
Total | 11,918,064 | 111,270 | 125 |
$109,970,000 of a security that is valued in this report based on Level 2 inputs is normally valued based on Level 1 inputs. This security experienced a significant change in value between the close of business on June 28, 2013, and the close of the reporting period on June 30, 2013, because of an acquisition proposal from another company.
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.
Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the six months ended June 30, 2013, the fund realized gains on the sale of passive foreign investment companies of $2,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to undistributed net investment income. The fund held no passive foreign investments at June 30, 2013.
During the six months ended June 30, 2013, the fund realized $120,779,000 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, 2012, the fund had available capital losses totaling $875,446,000 to offset future net capital gains. Of this amount, $800,828,000 is subject to expiration dates; $539,710,000 may be used to offset future net capital gains through December 31, 2017, and $261,118,000 through December 31, 2018. Capital losses of $74,618,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital
44
Small-Cap Growth Index Fund
losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $9,870,809,000. Net unrealized appreciation of investment securities for tax purposes was $2,158,650,000, consisting of unrealized gains of $2,506,503,000 on securities that had risen in value since their purchase and $347,853,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2013, the fund purchased $5,499,477,000 of investment securities and sold $4,891,482,000 of investment securities, other than temporary cash investments. Purchases and sales include $446,535,000 and $218,714,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 448,833 | 16,298 | 618,019 | 26,010 |
Issued in Lieu of Cash Distributions | 101 | 4 | 22,152 | 888 |
Redeemed | (501,540) | (18,001) | (1,012,160) | (42,656) |
Net Increase (Decrease)—Investor Shares | (52,606) | (1,699) | (371,989) | (15,758) |
Admiral Shares | ||||
Issued | 644,264 | 18,588 | 830,232 | 27,774 |
Issued in Lieu of Cash Distributions | 322 | 9 | 24,456 | 784 |
Redeemed | (254,507) | (7,349) | (407,172) | (13,681) |
Net Increase (Decrease)—Admiral Shares | 390,079 | 11,248 | 447,516 | 14,877 |
Institutional Shares | ||||
Issued | 332,453 | 12,087 | 700,138 | 29,131 |
Issued in Lieu of Cash Distributions | 278 | 10 | 23,227 | 930 |
Redeemed | (343,830) | (12,340) | (322,711) | (13,564) |
Net Increase (Decrease)—Institutional Shares | (11,099) | (243) | 400,654 | 16,497 |
ETF Shares | ||||
Issued | 449,831 | 4,527 | 1,365,762 | 16,323 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (228,895) | (2,300) | (1,324,601) | (15,800) |
Net Increase (Decrease)—ETF Shares | 220,936 | 2,227 | 41,161 | 523 |
G. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
45
Small-Cap Value Index Fund
Fund Profile
As of June 30, 2013
Share-Class Characteristics | ||||
Investor | Admiral | Institutional | ||
Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VISVX | VSIAX | VSIIX | VBR |
Expense Ratio1 | 0.24% | 0.10% | 0.08% | 0.10% |
30-Day SEC Yield | 1.76% | 1.91% | 1.92% | 1.91% |
Portfolio Characteristics | |||
DJ U.S. | |||
Total | |||
CRSP US | Market | ||
Small Cap | FA | ||
Fund | Value Index | Index | |
Number of Stocks | 808 | 805 | 3,622 |
Median Market Cap | $2.5B | $2.5B | $38.5B |
Price/Earnings Ratio | 20.1x | 20.3x | 18.4x |
Price/Book Ratio | 1.7x | 1.7x | 2.3x |
Return on Equity | 9.0% | 9.1% | 16.4% |
Earnings Growth | |||
Rate | 5.5% | 5.5% | 10.7% |
Dividend Yield | 2.0% | 2.0% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 56% | — | — |
Short-Term | 0.3% | — | — |
Sector Diversification (% of equity exposure)
DJ U.S. | |||
CRSP US | Total | ||
Small Cap | Market | ||
Fund | Value Index | FA Index | |
Basic Materials | 5.8% | 5.8% | 2.9% |
Consumer Goods | 7.9 | 7.8 | 10.6 |
Consumer Services | 12.2 | 12.4 | 13.4 |
Financials | 29.7 | 29.4 | 18.9 |
Health Care | 6.2 | 6.2 | 11.7 |
Industrials | 21.3 | 21.5 | 12.8 |
Oil & Gas | 3.8 | 3.8 | 9.6 |
Technology | 6.1 | 6.1 | 14.2 |
Telecommunications | 0.5 | 0.5 | 2.5 |
Utilities | 6.5 | 6.5 | 3.4 |
Volatility Measures | ||
Spliced | DJ U.S. | |
Small-Cap | Total Market | |
Value Index | FA Index | |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 1.18 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
Genworth Financial Inc. | Life Insurance | 0.4% |
Gannett Co. Inc. | Publishing | 0.4 |
Arthur J Gallagher & Co. | Property & Casualty | |
Insurance | 0.4 | |
NV Energy Inc. | Conventional | |
Electricity | 0.4 | |
NCR Corp. | Computer Hardware | 0.4 |
Towers Watson & Co. | Business Support | |
Services | 0.4 | |
Foot Locker Inc. | Apparel Retailers | 0.4 |
Snap-on Inc. | Durable Household | |
Products | 0.4 | |
Fidelity National | ||
Financial Inc. | Mortgage Finance | 0.4 |
Valspar Corp. | Building Materials & | |
Fixtures | 0.4 | |
Top Ten | 4.0% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the annualized expense ratios were 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares.
46
Small-Cap Value Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/smallcapx49x1.jpg)
47
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, 2002, Through June 30, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/smallcapx50x1.jpg)
Note: For 2013, performance data reflect the six months ended June 30, 2013.
Average Annual Total Returns: Periods Ended June 30, 2013
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | 26.01% | 10.01% | 10.14% |
Admiral Shares | 9/27/2011 | 26.20 | — | 26.381 |
Institutional Shares | 12/7/1999 | 26.21 | 10.20 | 10.31 |
ETF Shares | 1/26/2004 | |||
Market Price | 26.21 | 10.15 | 7.751 | |
Net Asset Value | 26.19 | 10.16 | 7.751 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
48
Small-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2013
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 | |||
Basic Materials | |||
Rockwood Holdings Inc. | 615,835 | 39,432 | 0.4% |
RPM International Inc. | 1,047,953 | 33,472 | 0.3% |
Basic Materials—Other † | 499,708 | 5.0% | |
572,612 | 5.7% | ||
Consumer Goods | |||
Snap-on Inc. | 462,043 | 41,297 | 0.4% |
Hanesbrands Inc. | 781,311 | 40,175 | 0.4% |
Ingredion Inc. | 583,539 | 38,292 | 0.4% |
* Jarden Corp. | 847,424 | 37,075 | 0.4% |
Leggett & Platt Inc. | 1,132,915 | 35,222 | 0.3% |
Hillshire Brands Co. | 975,819 | 32,280 | 0.3% |
Flowers Foods Inc. | 1,398,690 | 30,841 | 0.3% |
* Goodyear Tire & Rubber Co. | 1,946,664 | 29,764 | 0.3% |
Consumer Goods—Other † | 493,597 | 5.0% | |
778,543 | 7.8% | ||
Consumer Services | |||
Gannett Co. Inc. | 1,814,543 | 44,384 | 0.4% |
Foot Locker Inc. | 1,190,195 | 41,811 | 0.4% |
Omnicare Inc. | 831,829 | 39,687 | 0.4% |
GameStop Corp. Class A | 895,179 | 37,624 | 0.4% |
Consumer Services—Other † | 1,045,440 | 10.5% | |
1,208,946 | 12.1% | ||
Financials | |||
* Genworth Financial Inc. Class A | 3,908,978 | 44,601 | 0.5% |
Arthur J Gallagher & Co. | 1,002,317 | 43,791 | 0.4% |
Fidelity National Financial Inc. Class A | 1,714,192 | 40,815 | 0.4% |
Senior Housing Properties Trust | 1,491,025 | 38,662 | 0.4% |
Liberty Property Trust | 953,335 | 35,235 | 0.4% |
Apartment Investment & Management Co. Class A | 1,156,759 | 34,749 | 0.4% |
49
Small-Cap Value Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Shares | ($000) | Assets | ||
HCC Insurance Holdings Inc. | 794,557 | 34,253 | 0.4% | |
Eaton Vance Corp. | 909,164 | 34,175 | 0.3% | |
Starwood Property Trust Inc. | 1,317,482 | 32,608 | 0.3% | |
National Retail Properties Inc. | 944,690 | 32,497 | 0.3% | |
Corrections Corp. of America | 913,389 | 30,936 | 0.3% | |
Assured Guaranty Ltd. | 1,354,141 | 29,872 | 0.3% | |
Financials—Other † | 2,510,865 | 25.2% | ||
2,943,059 | 29.6% | |||
Health Care | ||||
* | Tenet Healthcare Corp. | 820,551 | 37,827 | 0.4% |
Warner Chilcott plc Class A | 1,790,345 | 35,592 | 0.4% | |
* | Covance Inc. | 441,919 | 33,648 | 0.3% |
Community Health Systems Inc. | 709,929 | 33,281 | 0.3% | |
* | Health Management Associates Inc. Class A | 1,953,286 | 30,706 | 0.3% |
Health Care—Other † | 442,438 | 4.5% | ||
613,492 | 6.2% | |||
Industrials | ||||
Towers Watson & Co. Class A | 515,563 | 42,245 | 0.4% | |
Valspar Corp. | 627,036 | 40,550 | 0.4% | |
* | Flextronics International Ltd. | 4,960,082 | 38,391 | 0.4% |
Packaging Corp. of America | 777,385 | 38,061 | 0.4% | |
Lincoln Electric Holdings Inc. | 656,942 | 37,623 | 0.4% | |
* | United Rentals Inc. | 747,119 | 37,289 | 0.4% |
IDEX Corp. | 651,981 | 35,083 | 0.4% | |
Total System Services Inc. | 1,334,391 | 32,666 | 0.3% | |
Bemis Co. Inc. | 815,795 | 31,930 | 0.3% | |
Carlisle Cos. Inc. | 504,155 | 31,414 | 0.3% | |
Industrials—Other † | 1,741,678 | 17.5% | ||
2,106,930 | 21.2% | |||
Oil & Gas | ||||
* | Superior Energy Services Inc. | 1,265,037 | 32,815 | 0.3% |
* | WPX Energy Inc. | 1,587,520 | 30,068 | 0.3% |
Oil & Gas—Other † | 312,732 | 3.2% | ||
375,615 | 3.8% | |||
Other † | 93 | 0.0% | ||
Technology | ||||
* | NCR Corp. | 1,303,314 | 42,996 | 0.4% |
Technology—Other † | 553,170 | 5.6% | ||
596,166 | 6.0% | |||
Telecommunications † | 48,143 | 0.5% | ||
Utilities | ||||
NV Energy Inc. | 1,866,347 | 43,785 | 0.4% | |
AGL Resources Inc. | 934,571 | 40,056 | 0.4% | |
UGI Corp. | 902,521 | 35,298 | 0.4% | |
Aqua America Inc. | 1,115,819 | 34,914 | 0.4% | |
Questar Corp. | 1,387,915 | 33,102 | 0.3% | |
Westar Energy Inc. | 1,006,059 | 32,154 | 0.3% | |
Utilities—Other † | 427,030 | 4.3% | ||
646,339 | 6.5% | |||
Total Common Stocks (Cost $8,566,274) | 9,889,938 | 99.4%1 |
50
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 | 0.127% | 125,714,376 | 125,714 | 1.3% |
4U.S. Government and Agency Obligations † | 11,997 | 0.1% | ||
Total Temporary Cash Investments (Cost $137,711) | 137,711 | 1.4%1 | ||
5Total Investments (Cost $8,703,985) | 10,027,649 | 100.8% | ||
Other Assets and Liabilities | ||||
Other Assets | 69,619 | 0.7% | ||
Liabilities3 | (146,659) | (1.5%) | ||
(77,040) | (0.8%) | |||
Net Assets | 9,950,609 | 100.0% | ||
At June 30, 2013, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 9,480,728 | |||
Undistributed Net Investment Income | 98,001 | |||
Accumulated Net Realized Losses | (951,573) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 1,323,664 | |||
Futures Contracts | (211) | |||
Net Assets | 9,950,609 | |||
Investor Shares—Net Assets | ||||
Applicable to 113,438,787 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,276,549 | |||
Net Asset Value Per Share—Investor Shares | $20.07 | |||
Admiral Shares—Net Assets | ||||
Applicable to 92,750,911 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 3,339,046 | |||
Net Asset Value Per Share—Admiral Shares | $36.00 | |||
Institutional Shares—Net Assets | ||||
Applicable to 62,475,723 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 1,257,115 | |||
Net Asset Value Per Share—Institutional Shares | $20.12 |
51
Small-Cap Value Index Fund | |
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 36,738,185 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,077,899 |
Net Asset Value Per Share—ETF Shares | $83.78 |
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 $49,711,000 of collateral received for securities on loan.
4 Securities with a value of $2,999,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $46,287,000.
See accompanying Notes, which are an integral part of the Financial Statements.
52
Small-Cap Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 113,430 |
Interest1 | 119 |
Securities Lending | 1,647 |
Total Income | 115,196 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 316 |
Management and Administrative—Investor Shares | 2,229 |
Management and Administrative—Admiral Shares | 1,023 |
Management and Administrative—Institutional Shares | 244 |
Management and Administrative—ETF Shares | 836 |
Marketing and Distribution—Investor Shares | 286 |
Marketing and Distribution—Admiral Shares | 223 |
Marketing and Distribution—Institutional Shares | 130 |
Marketing and Distribution—ETF Shares | 269 |
Custodian Fees | 211 |
Shareholders’ Reports—Investor Shares | 14 |
Shareholders’ Reports—Admiral Shares | 6 |
Shareholders’ Reports—Institutional Shares | 10 |
Shareholders’ Reports—ETF Shares | 53 |
Trustees’ Fees and Expenses | 7 |
Total Expenses | 5,857 |
Net Investment Income | 109,339 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 256,300 |
Futures Contracts | 8,959 |
Realized Net Gain (Loss) | 265,259 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 873,040 |
Futures Contracts | (651) |
Change in Unrealized Appreciation (Depreciation) | 872,389 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,246,987 |
1 Interest income from an affiliated company of the fund was $110,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
53
Small-Cap Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 109,339 | 198,040 |
Realized Net Gain (Loss) | 265,259 | 288,607 |
Change in Unrealized Appreciation (Depreciation) | 872,389 | 730,899 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,246,987 | 1,217,546 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (472) | (49,439) |
Admiral Shares | (779) | (65,573) |
Institutional Shares | (289) | (25,249) |
ETF Shares | (734) | (59,329) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (2,274) | (199,590) |
Capital Share Transactions | ||
Investor Shares | (34,369) | (274,112) |
Admiral Shares | 368,683 | 305,708 |
Institutional Shares | 123,103 | 136,875 |
ETF Shares | 424,793 | 239,683 |
Net Increase (Decrease) from Capital Share Transactions | 882,210 | 408,154 |
Total Increase (Decrease) | 2,126,923 | 1,426,110 |
Net Assets | ||
Beginning of Period | 7,823,686 | 6,397,576 |
End of Period1 | 9,950,609 | 7,823,686 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $98,001,000 and ($9,654,000).
See accompanying Notes, which are an integral part of the Financial Statements.
54
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $17.40 | $15.04 | $16.01 | $13.06 | $10.21 | $15.49 |
Investment Operations | ||||||
Net Investment Income | .211 | .428 | .309 | .285 | .241 | .293 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.463 | 2.364 | (.974) | 2.956 | 2.854 | (5.277) |
Total from Investment Operations | 2.674 | 2.792 | (.665) | 3.241 | 3.095 | (4.984) |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.432) | (.305) | (.291) | (.245) | (.296) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.004) | (.432) | (.305) | (.291) | (.245) | (.296) |
Net Asset Value, End of Period | $20.07 | $17.40 | $15.04 | $16.01 | $13.06 | $10.21 |
Total Return1 | 15.37% | 18.56% | -4.16% | 24.82% | 30.34% | -32.05% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,277 | $2,001 | $1,980 | $4,316 | $3,279 | $2,435 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.26% | 0.28% | 0.23% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.47% | 2.66% | 1.90% | 2.03% | 2.26% | 2.33% |
Portfolio Turnover Rate 2 | 56% | 25% | 30% | 25% | 33% | 30% |
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.
55
Small-Cap Value Index Fund
Financial Highlights
Admiral Shares | |||
Six Months | Year | Sept. 27, | |
Ended | Ended | 20111 to | |
June 30, | Dec. 31, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $31.20 | $26.96 | $25.00 |
Investment Operations | |||
Net Investment Income | .405 | .814 | .196 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.404 | 4.245 | 2.320 |
Total from Investment Operations | 4.809 | 5.059 | 2.516 |
Distributions | |||
Dividends from Net Investment Income | (.009) | (.819) | (.556) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.009) | (.819) | (.556) |
Net Asset Value, End of Period | $36.00 | $31.20 | $26.96 |
Total Return2 | 15.41% | 18.77% | 10.05% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $3,339 | $2,563 | $1,941 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 2.62% | 2.80% | 2.04% 3 |
Portfolio Turnover Rate 4 | 56% | 25% | 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.
56
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $17.44 | $15.07 | $16.04 | $13.09 | $10.22 | $15.53 |
Investment Operations | ||||||
Net Investment Income | .228 | .459 | .338 | .311 | .262 | .315 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.457 | 2.371 | (.973) | 2.957 | 2.874 | (5.307) |
Total from Investment Operations | 2.685 | 2.830 | (.635) | 3.268 | 3.136 | (4.992) |
Distributions | ||||||
Dividends from Net Investment Income | (.005) | (.460) | (.335) | (.318) | (.266) | (.318) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.005) | (.460) | (.335) | (.318) | (.266) | (.318) |
Net Asset Value, End of Period | $20.12 | $17.44 | $15.07 | $16.04 | $13.09 | $10.22 |
Total Return | 15.40% | 18.78% | -3.97% | 24.97% | 30.71% | -32.02% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,257 | $979 | $722 | $871 | $543 | $383 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.63% | 2.82% | 2.06% | 2.21% | 2.46% | 2.49% |
Portfolio Turnover Rate1 | 56% | 25% | 30% | 25% | 33% | 30% |
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
Financial Highlights
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $72.60 | $62.73 | $66.80 | $54.49 | $42.58 | $64.65 |
Investment Operations | ||||||
Net Investment Income | .942 | 1.896 | 1.393 | 1.269 | 1.071 | 1.296 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 10.259 | 9.877 | (4.083) | 12.340 | 11.923 | (22.053) |
Total from Investment Operations | 11.201 | 11.773 | (2.690) | 13.609 | 12.994 | (20.757) |
Distributions | �� | |||||
Dividends from Net Investment Income | (.021) | (1.903) | (1.380) | (1.299) | (1.084) | (1.313) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.021) | (1.903) | (1.380) | (1.299) | (1.084) | (1.313) |
Net Asset Value, End of Period | $83.78 | $72.60 | $62.73 | $66.80 | $54.49 | $42.58 |
Total Return | 15.43% | 18.78% | -4.05% | 24.97% | 30.52% | -31.99% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,078 | $2,281 | $1,755 | $1,851 | $1,310 | $894 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.62% | 2.80% | 2.04% | 2.17% | 2.40% | 2.45% |
Portfolio Turnover Rate1 | 56% | 25% | 30% | 25% | 33% | 30% |
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.
58
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 NYSE Arca; they can be purchased and sold through a broker.
On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Small Cap Value Index to the CRSP US Small Cap Value Index. The benchmark change was effective on April 17, 2013. The fund’s investment objective has not changed.
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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
59
Small-Cap Value Index Fund
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented 2% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
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, 2009–2012), and for the period ended June 30, 2013, 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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, 2013, the fund had contributed capital of $1,210,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.48% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
60
Small-Cap Value Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 9,889,879 | — | 59 |
Temporary Cash Investments | 125,714 | 11,997 | — |
Futures Contracts—Liabilities1 | (112) | — | — |
Total | 10,015,481 | 11,997 | 59 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2013, 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 2013 | 436 | 42,497 | 20 |
E-mini S&P MidCap 400 Index | September 2013 | 116 | 13,432 | (231) |
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.
Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the six months ended June 30, 2013, the fund realized gains on the sale of passive foreign investment companies of $590,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified
61
Small-Cap Value Index Fund
from accumulated net realized losses to undistributed net investment income. Passive foreign investment companies held at June 30, 2013, had unrealized appreciation of $522,000 as of December 31, 2012, the most recent mark-to-market date for tax purposes. This amount has been distributed and is reflected in the balance of undistributed net investment income.
During the six months ended June 30, 2013, the fund realized $17,853,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
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, 2012, the fund had available capital losses totaling $1,196,884,000 to offset future net capital gains. Of this amount, $1,144,768,000 is subject to expiration dates; $755,994,000 may be used to offset future net capital gains through December 31, 2017, and $388,774,000 through December 31, 2018. Capital losses of $52,116,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $8,704,507,000. Net unrealized appreciation of investment securities for tax purposes was $1,323,142,000, consisting of unrealized gains of $1,623,100,000 on securities that had risen in value since their purchase and $299,958,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $5,038,672,000 of investment securities and sold $4,078,422,000 of investment securities, other than temporary cash investments. Purchases and sales include $512,248,000 and $84,977,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 338,770 | 17,618 | 417,447 | 25,184 |
Issued in Lieu of Cash Distributions | 440 | 23 | 45,892 | 2,638 |
Redeemed | (373,579) | (19,163) | (737,451) | (44,523) |
Net Increase (Decrease)—Investor Shares | (34,369) | (1,522) | (274,112) | (16,701) |
Admiral Shares | ||||
Issued | 561,580 | 16,146 | 557,583 | 18,672 |
Issued in Lieu of Cash Distributions | 707 | 20 | 59,631 | 1,912 |
Redeemed | (193,604) | (5,589) | (311,506) | (10,410) |
Net Increase (Decrease)—Admiral Shares | 368,683 | 10,577 | 305,708 | 10,174 |
62
Small-Cap Value Index Fund | ||||
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 228,251 | 11,759 | 315,863 | 19,079 |
Issued in Lieu of Cash Distributions | 261 | 13 | 22,904 | 1,313 |
Redeemed | (105,409) | (5,440) | (201,892) | (12,141) |
Net Increase (Decrease)—Institutional Shares | 123,103 | 6,332 | 136,875 | 8,251 |
ETF Shares | ||||
Issued | 514,277 | 6,422 | 1,166,553 | 16,837 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (89,484) | (1,100) | (926,870) | (13,400) |
Net Increase (Decrease)—ETF Shares | 424,793 | 5,322 | 239,683 | 3,437 |
H. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
63
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.
64
Six Months Ended June 30, 2013* | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2012 | 6/30/2013 | Period | |
Based on Actual Fund Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,158.91 | $1.28 |
Admiral Shares | 1,000.00 | 1,159.66 | 0.48 |
Signal Shares | 1,000.00 | 1,159.72 | 0.48 |
Institutional Shares | 1,000.00 | 1,159.66 | 0.43 |
Institutional Plus Shares | 1,000.00 | 1,159.86 | 0.32 |
ETF Shares | 1,000.00 | 1,159.69 | 0.48 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,156.25 | $1.28 |
Admiral Shares | 1,000.00 | 1,157.32 | 0.48 |
Institutional Shares | 1,000.00 | 1,157.28 | 0.43 |
ETF Shares | 1,000.00 | 1,157.16 | 0.48 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,153.68 | $1.28 |
Admiral Shares | 1,000.00 | 1,154.14 | 0.48 |
Institutional Shares | 1,000.00 | 1,153.96 | 0.43 |
ETF Shares | 1,000.00 | 1,154.29 | 0.48 |
* The returns used in this table for the Small-Cap Index Fund and the Small-Cap Growth Index Fund are based on the ending share prices as of June 28, 2013—the month’s last business day—rather than as of June 30, 2013—the financial statement date. For those funds, the total returns as of June 30, 2013, were adjusted because of a significant change in the value of one of the funds’ securities (see the Financial Highlights tables and Note C in the Notes to Financial Statements).
65
Six Months Ended June 30, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2012 | 6/30/2013 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Signal Shares | 1,000.00 | 1,024.35 | 0.45 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Institutional Plus Shares | 1,000.00 | 1,024.50 | 0.30 |
ETF Shares | 1,000.00 | 1,024.35 | 0.45 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.35 | 0.45 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.35 | 0.45 |
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, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.09% for ETF Shares; for the Small-Cap Growth Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares; and for the Small-Cap Value Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, and 0.09% 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.
66
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). 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 services 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 relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. 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’ at-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.
67
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.
68
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.
Benchmark Information
Spliced Small-Cap Growth Index: S&P SmallCap 600 Growth Index (formerly known as the S&P SmallCap 600/Barra Value Index) through May 16, 2003; MSCI US Small Cap Growth Index through April 16, 2013; CRSP US Small Cap Growth Index thereafter.
Spliced Small-Cap Index: Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index through January 30, 2013; CRSP US Small Cap Index thereafter.
Spliced Small-Cap Value Index: S&P SmallCap 600 Value Index (formerly known as the S&P SmallCap 600/Barra Value Index) through May 16, 2003; MSCI US Small Cap Value Index through April 16, 2013; CRSP US Small Cap Value Index thereafter.
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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 182 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 and Haas Co. | Inc. (industrial machinery); Chairman of the Board of |
(chemicals); Director of Tyco International, Ltd. | Hillenbrand, Inc. (specialized consumer services) and |
(diversified manufacturing and services), Hewlett- | of Oxfam America; Director of SKF AB (industrial |
Packard Co. (electronic computer manufacturing), |
machinery) and the Lumina Foundation for Education; | Executive Officers | |
Member of the Advisory Council for the College of | ||
Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
the University 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 | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
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.
![]() | |
P.O. Box 2600 | |
Valley Forge, PA 19482-2600S |
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. | |
© 2013 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q482 082013 |
Semiannual Report | June 30, 2013
Vanguard U.S. Stock Index Funds Mid-Capitalization Portfolios
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/midcapx1x2.jpg)
Vanguard Extended Market Index Fund
Vanguard Mid-Cap Index Fund
Vanguard Mid-Cap Growth Index Fund
Vanguard Mid-Cap Value Index Fund
> Vanguard’s mid-capitalization U.S. stock index funds delivered double-digit returns for the six months, as mid-cap stocks rallied along with the broader stock market.
> Vanguard Mid-Cap Value Index Fund led the group with a return of nearly 17%. Vanguard Mid-Cap Growth Index Fund posted the lowest result, returning almost 14%.
> The stocks of banks and retailers had among the highest returns. Mining stocks were some of the weakest performers.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Extended Market Index Fund. | 9 |
Mid-Cap Index Fund. | 29 |
Mid-Cap Growth Index Fund. | 52 |
Mid-Cap Value Index Fund. | 66 |
About Your Fund’s Expenses. | 81 |
Trustees Approve Advisory Arrangement. | 84 |
Glossary. | 85 |
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: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended June 30, 2013* | |
Total | |
Returns | |
Vanguard Extended Market Index Fund | |
Investor Shares | 15.58% |
Admiral™ Shares | 15.65 |
Signal® Shares | 15.67 |
Institutional Shares | 15.68 |
Institutional Plus Shares | 15.68 |
ETF Shares | |
Market Price | 15.48 |
Net Asset Value | 15.65 |
S&P Completion Index | 15.64 |
Mid-Cap Core Funds Average | 14.47 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Mid-Cap Index Fund | |
Investor Shares | 15.51% |
Admiral Shares | 15.56 |
Signal Shares | 15.53 |
Institutional Shares | 15.56 |
Institutional Plus Shares | 15.58 |
ETF Shares | |
Market Price | 15.57 |
Net Asset Value | 15.56 |
Spliced Mid-Cap Index | 15.56 |
Mid-Cap Core Funds Average | 14.47 |
For a benchmark description, see the Glossary. | |
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.
* The total returns reported in this table for the Extended Market Index Fund are based on the ending share prices as of June 28, 2013—the month’s last business day—rather than as of June 30, 2013—the financial statement date. For that fund, the total returns as of June 30, 2013, were adjusted because of a significant change in the value of one of the fund’s securities (see the Financial Highlights tables and Note C in the Notes to Financial Statements).
1
Your Fund’s Total Returns
Six Months Ended June 30, 2013 | |
Total | |
Returns | |
Vanguard Mid-Cap Growth Index Fund | |
Investor Shares | 13.83% |
Admiral Shares | 13.89 |
ETF Shares | |
Market Price | 13.85 |
Net Asset Value | 13.92 |
Spliced Mid-Cap Growth Index | 13.75 |
Mid-Cap Growth Funds Average | 13.17 |
For a benchmark description, see the Glossary. | |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Mid-Cap Value Index Fund | |
Investor Shares | 16.78% |
Admiral Shares | 16.90 |
ETF Shares | |
Market Price | 16.90 |
Net Asset Value | 16.90 |
Spliced Mid-Cap Value Index | 16.99 |
Mid-Cap Value Funds Average | 16.46 |
For a benchmark description, see the Glossary. | |
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, 2012, Through June 30, 2013* | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Extended Market Index Fund | ||||
Investor Shares | $45.86 | $52.99 | $0.015 | $0.000 |
Admiral Shares | 45.87 | 53.03 | 0.018 | 0.000 |
Signal Shares | 39.41 | 45.57 | 0.015 | 0.000 |
Institutional Shares | 45.86 | 53.03 | 0.018 | 0.000 |
Institutional Plus Shares | 113.18 | 130.88 | 0.046 | 0.000 |
ETF Shares | 60.46 | 69.90 | 0.024 | 0.000 |
Vanguard Mid-Cap Index Fund | ||||
Investor Shares | $22.47 | $25.95 | $0.004 | $0.000 |
Admiral Shares | 101.97 | 117.81 | 0.024 | 0.000 |
Signal Shares | 32.18 | 37.17 | 0.008 | 0.000 |
Institutional Shares | 22.52 | 26.02 | 0.005 | 0.000 |
Institutional Plus Shares | 111.08 | 128.36 | 0.027 | 0.000 |
ETF Shares | 82.33 | 95.12 | 0.019 | 0.000 |
Vanguard Mid-Cap Growth Index Fund | ||||
Investor Shares | $26.99 | $30.72 | $0.003 | $0.000 |
Admiral Shares | 29.55 | 33.65 | 0.005 | 0.000 |
ETF Shares | 68.64 | 78.18 | 0.013 | 0.000 |
Vanguard Mid-Cap Value Index Fund | ||||
Investor Shares | $23.16 | $27.04 | $0.005 | $0.000 |
Admiral Shares | 30.47 | 35.61 | 0.009 | 0.000 |
ETF Shares | 58.82 | 68.74 | 0.018 | 0.000 |
* The ending share prices reported in this table for the Extended Market Index Fund are the prices as of June 28, 2013—the month’s last business day—rather than as of June 30, 2013—the financial statement date. For that fund, the share prices as of June 30, 2013, were adjusted because of a significant change in the value of one of the fund’s securities (see the Financial Highlights tables and Note C in the Notes to Financial Statements).
3
Chairman’s Letter
Dear Shareholder,
Mid-capitalization stocks rallied in the first half of 2013, propelled by gains for banks and retailers. Returns ranged from 13.83% for Vanguard Mid-Cap Growth Index Fund to 16.78% for Vanguard Mid-Cap Value Index Fund. (Returns cited in this letter are for Investor Shares.) Results for Vanguard Mid-Cap Index Fund and Vanguard Extended Market Index Fund fell in between.
All four funds closely tracked the performance of their respective benchmark indexes and posted higher returns than their peergroup averages.
As we previously announced, three of the funds covered in this report—the MidCap Index, MidCap Growth Index, and MidCap Value Index—have transitioned to new benchmarks supplied by the University of Chicago’s Center for Research in Security Prices. (See the Investment Insight on page 7 for more about the transition.) The Extended Market Index Fund, which includes smallcap stocks along with midcaps, is retaining its benchmark, the S&P Completion Index.
Global stocks notched gains despite some recent turbulence
After staging a stellar performance in the first several months of the year, global stocks declined in June. Investors worldwide were spooked by signs of trouble in China’s economy and also by a statement from Federal Reserve Chairman Ben Bernanke that the central bank could
4
begin to reduce its stimulative bondbuying program later this year. Still, U.S. stocks returned about 14% for the sixmonth period, despite a drop of more than 1% in June.
Markets were clearly unsettled by the prospect of the Fed’s scaling back its stimulus measures, known as “quantitative easing.” However, Vanguard’s chief economist, Joe Davis, pointed to a positive message in the Fed’s evolving stance. “The Federal Reserve is coming closer to the realization that the U.S. economy is stronger today than it was a year ago and so does not need the insurance, so to speak, of additional quantitative easing,” he said.
Developed markets in the Pacific region generally fared better than their European and emergingmarket counterparts. Notably, Japanese stocks made a recovery in June from a sharp decline in May.
Bond prices fell sharply in the period’s final months
Bond returns, which sputtered along through most of the period, turned negative in May and retreated further in June. The broad U.S. taxable bond market returned –2.44% for the six months as concerns about the Fed’s plans roiled fixed income investors even more than their counterparts in equities. Municipal bonds fared worse than taxable issues, returning –2.69% for the period.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2013 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.91% | 21.24% | 7.12% |
Russell 2000 Index (Small-caps) | 15.86 | 24.21 | 8.77 |
Russell 3000 Index (Broad U.S. market) | 14.06 | 21.46 | 7.25 |
MSCI All Country World Index ex USA (International) | -0.04 | 13.63 | -0.80 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.44% | -0.69% | 5.19% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -2.69 | 0.24 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.08 | 0.23 |
CPI | |||
Consumer Price Index | 1.70% | 1.75% | 1.31% |
5
The yield of the 10year Treasury note finished the six months at 2.47%, jumping from 2.11% at the end of May and 1.67% at the end of April. (Bond yields and prices move in opposite directions.) The Fed kept its target for shortterm rates between 0% and 0.25%. Returns from money market funds and savings accounts have been minuscule since the Fed imposed the historically low rates in December 2008 to combat the financial crisis.
For the half year, value stocks led the way
Among midcap stocks, valuestyle investments generally had the best results in the first half of 2013. Compared with their growth counterparts, companies in the value category usually have less expensive stocks—based on measures such as priceearnings ratios—and pay higher dividends. But they also tend to generate more modest increases in sales and earnings.
The MidCap Value Index Fund’s return was nearly 3 percentage points higher than that of the MidCap Growth Index Fund for the six months. It’s worth noting, of course, that the performance of value versus growth stocks varies from period to period. In last year’s semiannual reporting period, for example, the MidCap Growth Index notched the greater return. Vanguard counsels that a diversified portfolio should include exposure to both growth and value stocks.
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% | 1.23% |
Mid-Cap Index Fund | 0.24 | 0.10 | 0.10 | 0.08 | 0.06 | 0.10 | 1.23 |
Mid-Cap Growth Index Fund | 0.24 | 0.10 | — | — | — | 0.10 | 1.35 |
Mid-Cap Value Index Fund | 0.24 | 0.10 | — | — | — | 0.10 | 1.31 |
The fund expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, 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, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.09% for ETF Shares; for the Mid-Cap Growth Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for ETF Shares; and for the Mid-Cap Value Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2012.
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
In the most recent period, financial stocks helped boost the results of the MidCap Value Index Fund. The sector, which accounted for about onequarter of the fund’s assets, on average, benefited as banks continued to put distance between the financial crisis and their balance sheets.
Retailer stocks turned in robust returns for all four of the funds included in this report. Consumers seemed to open up their wallets amid signs of a housing recovery and indications that the job market was perking up.
Conversely, mining companies were a weak spot for all four of the funds. These shares came under pressure as commodity prices dropped in the face of slowing demand from China.
In pursuing investment goals, long-term asset mix is key
As I mentioned earlier, financial markets were rattled in June by the prospect that the Fed would begin scaling back its massive bondbuying program. Bond yields jumped (so prices fell), and the stock market experienced some turmoil.
Volatility and increased uncertainty can tempt investors to deviate from their investment plan. In the mutual fund industry, for example, the recent rise in bond yields has led to net redemptions from bond funds as investors try to sidestep losses that might arise from a sustained climb in interest rates. Keep in mind, however, that although interest rates
Investment insight |
What benchmark changes mean for you |
In June, we completed the transition of 22 Vanguard index funds—including yours— |
to new target benchmarks. The change went smoothly, as the funds closely tracked |
their respective benchmarks throughout the transition. |
The new index providers are the University of Chicago’s Center for Research in |
Security Prices (CRSP) for U.S. stocks and FTSE Group for international stocks. The |
new benchmarks incorporate topquality index construction and offer comprehensive |
coverage of the markets they represent. And there are no changes to our funds’ |
investment goals, objectives, or policies. |
We took this action because benchmark licensing costs were becoming a larger |
part of the expense ratios of our index funds. With the new, longterm agreements, |
our funds can pursue their indexing strategy at considerable savings for our clients. |
7
remain low, nobody is certain what their next move will be—much less how financial markets will react to the change.
In fact, it’s precisely because shortterm market movements are unpredictable that trying to time the markets often fails, as Vanguard and other researchers have found. A recent Vanguard research paper notes that although many investors alter their portfolios based on emotional reactions to market movements, investment success actually is “largely determined by the longterm mixture of assets in a portfolio.” (You can find the full report, Vanguard’s Framework for Constructing Diversified Portfolios, at vanguard.com/research.)
We continue to believe that sticking to a welldiversified portfolio of stocks, bonds, and money market instruments over the long haul—rather than making impulsive changes to try to avoid potential losses or capitalize on perceived opportunities—gives you the best chance of meeting your investment goals.
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/midcapx10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 16, 2013
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, 2013
Share-Class Characteristics | ||||||
Investor | Admiral | Signal | Institutional | Institutional | ||
Shares | Shares | Shares | Shares | Plus Shares | ETF 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 | 1.08% | 1.22% | 1.22% | 1.24% | 1.26% | 1.22% |
Portfolio Characteristics | |||
DJ U.S. | |||
S&P | Total | ||
Completion | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 3,056 | 3,260 | 3,622 |
Median Market Cap | $3.1B | $3.1B | $38.5B |
Price/Earnings Ratio | 26.2x | 26.3x | 18.4x |
Price/Book Ratio | 2.3x | 2.3x | 2.3x |
Return on Equity | 9.4% | 9.4% | 16.4% |
Earnings Growth Rate | 11.2% | 11.3% | 10.7% |
Dividend Yield | 1.3% | 1.3% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 8% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
DJ U.S. | |||
S&P | Total | ||
Completion | Market | ||
Fund | Index | FA Index | |
Consumer Discretionary | 15.8% | 15.7% | 13.0% |
Consumer Staples | 3.6 | 3.7 | 9.2 |
Energy | 5.7 | 5.7 | 9.7 |
Financials | 23.3 | 23.3 | 17.9 |
Health Care | 10.9 | 10.8 | 12.3 |
Industrials | 15.6 | 15.6 | 11.1 |
Information Technology 14.9 | 15.0 | 17.2 | |
Materials | 5.4 | 5.4 | 3.7 |
Telecommunication | |||
Services | 1.1 | 1.1 | 2.5 |
Utilities | 3.7 | 3.7 | 3.4 |
Volatility Measures | ||
DJ U.S. | ||
S&P | Total | |
Completion | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.96 |
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)
Liberty Global plc | Cable & Satellite | 0.8% |
Las Vegas Sands Corp. | Casinos & Gaming | 0.6 |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 0.5 |
Delta Air Lines Inc. | Airlines | 0.5 |
Liberty Media Corp. | Broadcasting | 0.4 |
Facebook Inc. | Internet Software & | |
Services | 0.4 | |
LinkedIn Corp. | Internet Software & | |
Services | 0.4 | |
Sirius XM Radio Inc. | Cable & Satellite | 0.3 |
United Continental | ||
Holdings Inc. | Airlines | 0.3 |
Bunge Ltd. | Agricultural Products | 0.3 |
Top Ten | 4.5% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, 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
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/midcapx12x1.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, 2002, Through June 30, 2013*
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/midcapx13x1.jpg)
For a benchmark description, see the Glossary.
Average Annual Total Returns: Periods Ended June 30, 2013*
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 12/21/1987 | 25.79% | 8.79% | 10.42% |
Admiral Shares | 11/13/2000 | 25.95 | 8.95 | 10.58 |
Signal Shares | 9/1/2006 | 25.98 | 8.95 | 7.381 |
Institutional Shares | 7/7/1997 | 25.97 | 8.99 | 10.62 |
Institutional Plus Shares | 1/14/2011 | 26.01 | — | 10.611 |
ETF Shares | 12/27/2001 | |||
Market Price | 25.93 | 8.93 | 10.57 | |
Net Asset Value | 25.95 | 8.95 | 10.58 | |
1 Return since inception. |
* The fund total returns reported in the Fiscal-Year Total Returns table for 2013 and in the Average Annual Total Returns table for the periods shown are based on the ending share prices as of June 28, 2013—the month’s last business day—rather than as of June 30, 2013—the financial statement date. The total returns as of June 30, 2013, were adjusted because of a significant change in the value of one of the fund’s securities (see the Financial Highlights tables and Note C in the Notes to Financial Statements). In the Fiscal-Year Total Returns table, 2013 reflects six-month performance data.
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, 2013
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. | 3,122,274 | 165,262 | 0.6% | |
* | Liberty Media Corp. Class A | 986,377 | 125,033 | 0.4% |
* | Liberty Global plc Class A | 1,654,004 | 122,529 | 0.4% |
* | Liberty Global plc | 1,481,792 | 100,599 | 0.3% |
Sirius XM Radio Inc. | 27,529,010 | 92,222 | 0.3% | |
DISH Network Corp. Class A | 1,801,059 | 76,581 | 0.3% | |
Tractor Supply Co. | 614,301 | 72,248 | 0.3% | |
* | Charter Communications Inc. Class A | 578,856 | 71,691 | 0.2% |
*,^ | Tesla Motors Inc. | 641,436 | 68,909 | 0.2% |
* | LKQ Corp. | 2,628,542 | 67,685 | 0.2% |
* | TRW Automotive Holdings Corp. | 951,846 | 63,241 | 0.2% |
Consumer Discretionary—Other † | 3,606,630 | 12.3% | ||
4,632,630 | 15.7% | |||
Consumer Staples | ||||
Bunge Ltd. | 1,294,531 | 91,614 | 0.3% | |
* | Green Mountain Coffee Roasters Inc. | 1,090,034 | 81,818 | 0.3% |
Church & Dwight Co. Inc. | 1,216,412 | 75,065 | 0.2% | |
Consumer Staples—Other † | 822,113 | 2.8% | ||
1,070,610 | 3.6% | |||
Energy | ||||
HollyFrontier Corp. | 1,789,789 | 76,567 | 0.3% | |
* | Concho Resources Inc. | 912,883 | 76,427 | 0.3% |
Oceaneering International Inc. | 952,412 | 68,764 | 0.2% | |
* | Cobalt International Energy Inc. | 2,434,483 | 64,684 | 0.2% |
Energy—Other † | 1,379,507 | 4.7% | ||
1,665,949 | 5.7% | |||
Financials | ||||
* | CIT Group Inc. | 1,771,538 | 82,607 | 0.3% |
General Growth Properties Inc. | 3,967,121 | 78,827 | 0.3% | |
* | Affiliated Managers Group Inc. | 464,184 | 76,098 | 0.3% |
Realty Income Corp. | 1,727,397 | 72,412 | 0.2% |
12
Extended Market Index Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
SL Green Realty Corp. | 806,318 | 71,109 | 0.2% |
Digital Realty Trust Inc. | 1,130,325 | 68,950 | 0.2% |
Willis Group Holdings plc | 1,536,935 | 62,676 | 0.2% |
Financials—Other † | 6,301,455 | 21.4% | |
6,814,134 | 23.1% | ||
Health Care | |||
* Vertex Pharmaceuticals Inc. | 1,948,938 | 155,662 | 0.5% |
* Onyx Pharmaceuticals Inc. | 642,351 | 84,392 | 0.3% |
* Illumina Inc. | 1,094,880 | 81,941 | 0.3% |
HCA Holdings Inc. | 2,159,716 | 77,879 | 0.3% |
* Henry Schein Inc. | 766,944 | 73,435 | 0.2% |
* BioMarin Pharmaceutical Inc. | 1,223,652 | 68,268 | 0.2% |
Health Care—Other † | 2,669,106 | 9.1% | |
3,210,683 | 10.9% | ||
Industrials | |||
* Delta Air Lines Inc. | 7,448,697 | 139,365 | 0.5% |
* United Continental Holdings Inc. | 2,939,540 | 91,978 | 0.3% |
AMETEK Inc. | 2,143,733 | 90,680 | 0.3% |
* Hertz Global Holdings Inc. | 3,523,627 | 87,386 | 0.3% |
* Verisk Analytics Inc. Class A | 1,289,575 | 76,988 | 0.3% |
TransDigm Group Inc. | 401,228 | 62,900 | 0.2% |
Nielsen Holdings NV | 1,850,391 | 62,155 | 0.2% |
Industrials—Other † | 3,975,584 | 13.5% | |
4,587,036 | 15.6% | ||
Information Technology | |||
* Facebook Inc. Class A | 4,895,378 | 121,699 | 0.4% |
* LinkedIn Corp. Class A | 612,034 | 109,126 | 0.4% |
* Equinix Inc. | 434,450 | 80,252 | 0.3% |
* Alliance Data Systems Corp. | 432,957 | 78,378 | 0.3% |
Avago Technologies Ltd. Class A | 1,907,775 | 71,313 | 0.3% |
Maxim Integrated Products Inc. | 2,562,199 | 71,178 | 0.2% |
* Cree Inc. | 1,037,986 | 66,286 | 0.2% |
Information Technology—Other † | 3,777,095 | 12.8% | |
4,375,327 | 14.9% | ||
Materials | |||
Rock Tenn Co. Class A | 633,188 | 63,243 | 0.2% |
Celanese Corp. Class A | 1,405,316 | 62,958 | 0.2% |
Materials—Other † | 1,458,154 | 5.0% | |
1,584,355 | 5.4% | ||
Other † | 591 | 0.0% | |
Telecommunication Services | |||
* SBA Communications Corp. Class A | 1,123,206 | 83,252 | 0.3% |
Telecommunication Services—Other † | 245,294 | 0.8% | |
328,546 | 1.1% | ||
Utilities | |||
* Calpine Corp. | 3,366,314 | 71,467 | 0.3% |
American Water Works Co. Inc. | 1,564,253 | 64,494 | 0.2% |
Utilities—Other † | 949,173 | 3.2% | |
1,085,134 | 3.7% | ||
Total Common Stocks (Cost $23,209,851) | 29,354,995 | 99.7%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 | 0.127% | 438,215,571 | 438,216 | 1.5% |
4U.S. Government and Agency Obligations † | 6,847 | 0.0% | ||
Total Temporary Cash Investments (Cost $445,064) | 445,063 | 1.5%1 | ||
Total Investments (Cost $23,654,915) | 29,800,058 | 101.2% | ||
Other Assets and Liabilities | ||||
Other Assets | 194,174 | 0.7% | ||
Liabilities3 | (557,697) | (1.9%) | ||
(363,523) | (1.2%) | |||
Net Assets | 29,436,535 | 100.0% | ||
At June 30, 2013, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 23,310,262 | |||
Undistributed Net Investment Income | 149,993 | |||
Accumulated Net Realized Losses | (168,444) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 6,145,143 | |||
Futures Contracts | (419) | |||
Net Assets | 29,436,535 | |||
Investor Shares—Net Assets | ||||
Applicable to 57,602,127 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 3,055,468 | |||
Net Asset Value Per Share—Investor Shares | $53.04 | |||
Admiral Shares—Net Assets | ||||
Applicable to 135,483,176 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 7,191,884 | |||
Net Asset Value Per Share—Admiral Shares | $53.08 | |||
Signal Shares—Net Assets | ||||
Applicable to 65,544,254 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,989,434 | |||
Net Asset Value Per Share—Signal Shares | $45.61 |
14
Extended Market Index Fund | |
At June 30, 2013, net assets consisted of: | |
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 120,476,517 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,395,155 |
Net Asset Value Per Share—Institutional Shares | $53.08 |
Institutional Plus Shares—Net Assets | |
Applicable to 56,732,471 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 7,432,361 |
Net Asset Value Per Share—Institutional Plus Shares | $131.01 |
ETF Shares—Net Assets | |
Applicable to 33,903,194 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,372,233 |
Net Asset Value Per Share—ETF Shares | $69.97 |
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 $347,318,000.
† 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 1.3%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $378,240,000 of collateral received for securities on loan.
4 Securities with a value of $2,449,000 have been segregated as initial margin for open futures contracts.
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, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 177,799 |
Interest1 | 108 |
Securities Lending | 14,409 |
Total Income | 192,316 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 825 |
Management and Administrative—Investor Shares | 3,185 |
Management and Administrative—Admiral Shares | 2,570 |
Management and Administrative—Signal Shares | 863 |
Management and Administrative—Institutional Shares | 1,302 |
Management and Administrative—Institutional Plus Shares | 805 |
Management and Administrative—ETF Shares | 658 |
Marketing and Distribution—Investor Shares | 348 |
Marketing and Distribution—Admiral Shares | 476 |
Marketing and Distribution—Signal Shares | 333 |
Marketing and Distribution—Institutional Shares | 837 |
Marketing and Distribution—Institutional Plus Shares | 862 |
Marketing and Distribution—ETF Shares | 224 |
Custodian Fees | 309 |
Shareholders’ Reports—Investor Shares | 44 |
Shareholders’ Reports—Admiral Shares | 29 |
Shareholders’ Reports—Signal Shares | 21 |
Shareholders’ Reports—Institutional Shares | 35 |
Shareholders’ Reports—Institutional Plus Shares | 95 |
Shareholders’ Reports—ETF Shares | 21 |
Trustees’ Fees and Expenses | 20 |
Total Expenses | 13,862 |
Net Investment Income | 178,454 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 302,952 |
Futures Contracts | 17,326 |
Realized Net Gain (Loss) | 320,278 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 3,329,840 |
Futures Contracts | (382) |
Change in Unrealized Appreciation (Depreciation) | 3,329,458 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,828,190 |
1 Interest income from an affiliated company of the fund was $104,000.
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, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 178,454 | 378,931 |
Realized Net Gain (Loss) | 320,278 | 1,006,949 |
Change in Unrealized Appreciation (Depreciation) | 3,329,458 | 2,133,156 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,828,190 | 3,519,036 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (931) | (42,238) |
Admiral Shares | (2,392) | (96,338) |
Signal Shares | (908) | (36,221) |
Institutional Shares | (2,247) | (89,944) |
Institutional Plus Shares | (2,415) | (89,978) |
ETF Shares | (669) | (23,617) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (9,562) | (378,336) |
Capital Share Transactions | ||
Investor Shares | (247,554) | (334,651) |
Admiral Shares | 272,316 | 122,276 |
Signal Shares | 382,158 | 130,865 |
Institutional Shares | 23,919 | (1,240,690) |
Institutional Plus Shares | 1,031,892 | 3,716,303 |
ETF Shares | 636,221 | 132,781 |
Net Increase (Decrease) from Capital Share Transactions | 2,098,952 | 2,526,884 |
Total Increase (Decrease) | 5,917,580 | 5,667,584 |
Net Assets | ||
Beginning of Period | 23,518,955 | 17,851,371 |
End of Period1 | 29,436,535 | 23,518,955 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $149,993,000 and ($20,146,000).
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $45.86 | $39.34 | $41.26 | $32.67 | $24.01 | $39.89 |
Investment Operations | ||||||
Net Investment Income | .287 | .688 | .385 | .360 | .316 | .392 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.908 | 6.515 | (1.923) | 8.581 | 8.670 | (15.862) |
Total from Investment Operations | 7.195 | 7.203 | (1.538) | 8.941 | 8.986 | (15.470) |
Distributions | ||||||
Dividends from Net Investment Income | (.015) | (.683) | (.382) | (.351) | (.326) | (.410) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.015) | (.683) | (.382) | (.351) | (.326) | (.410) |
Net Asset Value, End of Period | $53.04 | $45.86 | $39.34 | $41.26 | $32.67 | $24.01 |
Total Return1 | 15.69%2 | 18.31% | -3.73% | 27.37% | 37.43% | -38.73% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,056 | $2,857 | $2,753 | $3,405 | $4,309 | $3,080 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.26% | 0.30% | 0.25% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.27% | 1.62% | 0.93% | 1.07% | 1.16% | 1.22% |
Portfolio Turnover Rate3 | 8% | 12% | 14% | 10% | 17% | 13% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.58%.
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.
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $45.87 | $39.35 | $41.28 | $32.67 | $24.01 | $39.90 |
Investment Operations | ||||||
Net Investment Income | .326 | .758 | .450 | .399 | .362 | .443 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.902 | 6.513 | (1.932) | 8.606 | 8.673 | (15.881) |
Total from Investment Operations | 7.228 | 7.271 | (1.482) | 9.005 | 9.035 | (15.438) |
Distributions | ||||||
Dividends from Net Investment Income | (.018) | (.751) | (.448) | (.395) | (.375) | (.452) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.018) | (.751) | (.448) | (.395) | (.375) | (.452) |
Net Asset Value, End of Period | $53.08 | $45.87 | $39.35 | $41.28 | $32.67 | $24.01 |
Total Return1 | 15.76%2 | 18.48% | -3.59% | 27.57% | 37.65% | -38.63% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,192 | $5,970 | $5,018 | $5,161 | $2,300 | $1,705 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.12% | 0.13% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.41% | 1.76% | 1.07% | 1.21% | 1.33% | 1.37% |
Portfolio Turnover Rate3 | 8% | 12% | 14% | 10% | 17% | 13% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.65%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Extended Market Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $39.41 | $33.81 | $35.46 | $28.08 | $20.64 | $34.29 |
Investment Operations | ||||||
Net Investment Income | .280 | .650 | .384 | .355 | .310 | .381 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.935 | 5.595 | (1.652) | 7.376 | 7.451 | (13.642) |
Total from Investment Operations | 6.215 | 6.245 | (1.268) | 7.731 | 7.761 | (13.261) |
Distributions | ||||||
Dividends from Net Investment Income | (.015) | (.645) | (.382) | (.351) | (.321) | (.389) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.015) | (.645) | (.382) | (.351) | (.321) | (.389) |
Net Asset Value, End of Period | $45.61 | $39.41 | $33.81 | $35.46 | $28.08 | $20.64 |
Total Return | 15.77%1 | 18.48% | -3.58% | 27.53% | 37.62% | -38.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,990 | $2,242 | $1,814 | $2,094 | $1,661 | $1,230 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.12% | 0.13% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.41% | 1.76% | 1.07% | 1.21% | 1.33% | 1.37% |
Portfolio Turnover Rate2 | 8% | 12% | 14% | 10% | 17% | 13% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.67%.
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
Extended Market Index Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $45.86 | $39.34 | $41.27 | $32.68 | $24.02 | $39.91 |
Investment Operations | ||||||
Net Investment Income | .330 | .764 | .460 | .429 | .374 | .458 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.908 | 6.514 | (1.933) | 8.586 | 8.674 | (15.882) |
Total from Investment Operations | 7.238 | 7.278 | (1.473) | 9.015 | 9.048 | (15.424) |
Distributions | ||||||
Dividends from Net Investment Income | (.018) | (.758) | (.457) | (.425) | (.388) | (.466) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.018) | (.758) | (.457) | (.425) | (.388) | (.466) |
Net Asset Value, End of Period | $53.08 | $45.86 | $39.34 | $41.27 | $32.68 | $24.02 |
Total Return | 15.78%1 | 18.50% | -3.57% | 27.59% | 37.69% | -38.58% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,395 | $5,496 | $5,810 | $5,648 | $3,494 | $2,442 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.06% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.43% | 1.78% | 1.09% | 1.25% | 1.38% | 1.41% |
Portfolio Turnover Rate2 | 8% | 12% | 14% | 10% | 17% | 13% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.68%.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Extended Market Index Fund
Financial Highlights
Institutional Plus Shares | |||
Six Months | Year | Jan. 14, | |
Ended | Ended | 20111 to | |
June 30, | Dec. 31, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $113.18 | $97.10 | $105.13 |
Investment Operations | |||
Net Investment Income | .828 | 1.917 | 1.139 |
Net Realized and Unrealized Gain (Loss) on Investments | 17.048 | 16.064 | (8.015) |
Total from Investment Operations | 17.876 | 17.981 | (6.876) |
Distributions | |||
Dividends from Net Investment Income | (.046) | (1.901) | (1.154) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.046) | (1.901) | (1.154) |
Net Asset Value, End of Period | $131.01 | $113.18 | $97.10 |
Total Return | 15.80%2 | 18.52% | -6.54% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $7,432 | $5,477 | $1,307 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06%3 |
Ratio of Net Investment Income to Average Net Assets | 1.45% | 1.80% | 1.11%3 |
Portfolio Turnover Rate4 | 8% | 12% | 14% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.68%.
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
Extended Market Index Fund
Financial Highlights
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 20081 |
Net Asset Value, Beginning of Period | $60.46 | $51.87 | $54.42 | $43.09 | $31.67 | $52.62 |
Investment Operations | ||||||
Net Investment Income | .432 | 1.000 | .593 | .547 | .476 | .595 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 9.102 | 8.582 | (2.553) | 11.324 | 11.438 | (20.935) |
Total from Investment Operations | 9.534 | 9.582 | (1.960) | 11.871 | 11.914 | (20.340) |
Distributions | ||||||
Dividends from Net Investment Income | (.024) | (.992) | (.590) | (.541) | (.494) | (.610) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.024) | (.992) | (.590) | (.541) | (.494) | (.610) |
Net Asset Value, End of Period | $69.97 | $60.46 | $51.87 | $54.42 | $43.09 | $31.67 |
Total Return | 15.77%2 | 18.48% | -3.61% | 27.55% | 37.63% | -38.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,372 | $1,477 | $1,148 | $1,113 | $781 | $484 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.12% | 0.13% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.41% | 1.76% | 1.07% | 1.21% | 1.33% | 1.39% |
Portfolio Turnover Rate3 | 8% | 12% | 14% | 10% | 17% | 13% |
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 The reported total return is based on the net asset value per share as of June 30, 2013—rather than as of June 28, 2013, the month’s last business day—because of a significant change in the value of one of the fund’s securities (see Note C in the Notes to Financial Statements). The total return based on the net asset value per share as of June 28, 2013, was 15.65%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Extended Market Index Fund
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 NYSE Arca; 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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
24
Extended Market Index Fund
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
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, 2009–2012), and for the period ended June 30, 2013, 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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, 2013, the fund had contributed capital of $3,617,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.45% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
25
Extended Market 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).
The following table summarizes the market value of the fund’s investments as of June 30, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 29,270,013 | 84,507 | 475 |
Temporary Cash Investments | 438,216 | 6,847 | — |
Futures Contracts—Assets1 | 44 | — | — |
Futures Contracts—Liabilities1 | (129) | — | — |
Total | 29,708,144 | 91,354 | 475 |
1 Represents variation margin on the last day of the reporting period. |
$84,392,000 of a security that is valued in this report based on Level 2 inputs is normally valued based on Level 1 inputs. This security experienced a significant change in value between the close of business on June 28, 2013, and the close of the reporting period on June 30, 2013, because of an acquisition proposal from another company.
D. At June 30, 2013, 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 2013 | 293 | 33,926 | (501) |
E-mini Russell 2000 Index | September 2013 | 345 | 33,627 | 82 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
26
Extended Market Index Fund
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.
Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the six months ended June 30, 2013, the fund realized gains on the sale of passive foreign investment companies of $1,247,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to undistributed net investment income. Passive foreign investment companies held at June 30, 2013, had unrealized appreciation of $879,000 as of December 31, 2012, the most recent mark-to-market date for tax purposes. This amount has been distributed and is reflected in the balance of undistributed net investment income.
During the six months ended June 30, 2013, the fund realized $308,892,000 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, 2012, the fund had available capital losses totaling $159,484,000 to offset future net capital gains. Of this amount, $74,162,000 is subject to expiration dates; $49,578,000 may be used to offset future net capital gains through December 31, 2017, and $24,584,000 through December 31, 2018. Capital losses of $85,322,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $23,655,794,000. Net unrealized appreciation of investment securities for tax purposes was $6,144,264,000, consisting of unrealized gains of $7,864,404,000 on securities that had risen in value since their purchase and $1,720,140,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $4,203,942,000 of investment securities and sold $1,888,114,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,418,457,000 and $744,051,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
27
Extended Market Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 289,729 | 5,720 | 452,943 | 10,437 |
Issued in Lieu of Cash Distributions | 922 | 18 | 41,611 | 909 |
Redeemed | (538,205) | (10,435) | (829,205) | (19,032) |
Net Increase (Decrease)—Investor Shares | (247,554) | (4,697) | (334,651) | (7,686) |
Admiral Shares | ||||
Issued | 616,908 | 12,098 | 688,463 | 15,624 |
Issued in Lieu of Cash Distributions | 2,144 | 42 | 86,360 | 1,886 |
Redeemed | (346,736) | (6,801) | (652,547) | (14,894) |
Net Increase (Decrease)—Admiral Shares | 272,316 | 5,339 | 122,276 | 2,616 |
Signal Shares | ||||
Issued | 647,152 | 14,749 | 671,550 | 17,843 |
Issued in Lieu of Cash Distributions | 830 | 19 | 33,949 | 863 |
Redeemed | (265,824) | (6,117) | (574,634) | (15,475) |
Net Increase (Decrease)—Signal Shares | 382,158 | 8,651 | 130,865 | 3,231 |
Institutional Shares | ||||
Issued | 1,255,919 | 24,872 | 1,636,658 | 38,018 |
Issued in Lieu of Cash Distributions | 2,150 | 42 | 85,133 | 1,860 |
Redeemed | (1,234,150) | (24,266) | (2,962,481) | (67,733) |
Net Increase (Decrease)—Institutional Shares | 23,919 | 648 | (1,240,690) | (27,855) |
Institutional Plus Shares | ||||
Issued | 1,390,274 | 11,192 | 4,237,341 | 39,783 |
Issued in Lieu of Cash Distributions | 2,376 | 19 | 88,482 | 783 |
Redeemed | (360,758) | (2,866) | (609,520) | (5,635) |
Net Increase (Decrease)—Institutional Plus Shares | 1,031,892 | 8,345 | 3,716,303 | 34,931 |
ETF Shares | ||||
Issued | 1,426,735 | 20,869 | 1,290,123 | 22,299 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (790,514) | (11,400) | (1,157,342) | (20,000) |
Net Increase (Decrease)—ETF Shares | 636,221 | 9,469 | 132,781 | 2,299 |
H. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
28
Mid-Cap Index Fund
Fund Profile
As of June 30, 2013
Share-Class Characteristics | ||||||
Investor | Admiral | Signal | Institutional | Institutional | ||
Shares | Shares | Shares | Shares | Plus Shares | ETF 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 | 1.20% | 1.35% | 1.35% | 1.36% | 1.38% | 1.35% |
Portfolio Characteristics | |||
DJ U.S. | |||
CRSP US | Total | ||
Mid Cap | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 362 | 362 | 3,622 |
Median Market Cap | $9.1B | $9.1B | $38.5B |
Price/Earnings Ratio | 23.0x | 23.0x | 18.4x |
Price/Book Ratio | 2.5x | 2.5x | 2.3x |
Return on Equity | 13.4% | 13.4% | 16.4% |
Earnings Growth Rate | 10.0% | 10.0% | 10.7% |
Dividend Yield | 1.4% | 1.4% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 34% | — | — |
Short-Term Reserves | 0.3% | — | — |
Sector Diversification (% of equity exposure)
DJ U.S. | |||
CRSP US | Total | ||
Mid Cap | Market | ||
Fund | Index | FA Index | |
Basic Materials | 4.0% | 4.0% | 2.9% |
Consumer Goods | 13.4 | 13.4 | 10.6 |
Consumer Services | 15.5 | 15.5 | 13.4 |
Financials | 17.4 | 17.5 | 18.9 |
Health Care | 9.2 | 9.2 | 11.7 |
Industrials | 16.2 | 16.2 | 12.8 |
Oil & Gas | 6.4 | 6.3 | 9.6 |
Technology | 11.5 | 11.5 | 14.2 |
Telecommunications | 0.8 | 0.8 | 2.5 |
Utilities | 5.6 | 5.6 | 3.4 |
Volatility Measures | ||
DJ U.S. | ||
Spliced | Total | |
Mid-Cap | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.97 |
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)
Health Care REIT Inc. | Specialty REITs | 0.7% |
Macy's Inc. | Broadline Retailers | 0.7 |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 0.7 |
Discovery | Broadcasting & | |
Communications Inc. | Entertainment | 0.7 |
AvalonBay Communities | ||
Inc. | Residential REITs | 0.6 |
LinkedIn Corp. | Business Training & | |
Employment | 0.6 | |
Delta Air Lines Inc. | Airlines | 0.6 |
Actavis Inc. | Pharmaceuticals | 0.6 |
Delphi Automotive plc | Auto Parts | 0.6 |
Mattel Inc. | Toys | 0.6 |
Top Ten | 6.4% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the annualized expense ratios were 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.09% for ETF Shares.
29
Mid-Cap Index Fund
Investment Focus
30
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, 2002, Through June 30, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/midcapx33x1.jpg)
Note: For 2013, performance data reflect the six months ended June 30, 2013.
Average Annual Total Returns: Periods Ended June 30, 2013
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | 24.84% | 7.79% | 10.32% |
Admiral Shares | 11/12/2001 | 25.02 | 7.93 | 10.45 |
Signal Shares | 3/30/2007 | 25.00 | 7.93 | 5.161 |
Institutional Shares | 5/21/1998 | 25.03 | 7.96 | 10.49 |
Institutional Plus Shares | 12/15/2010 | 25.08 | — | 12.341 |
ETF Shares | 1/26/2004 | |||
Market Price | 25.04 | 7.94 | 8.401 | |
Net Asset Value | 25.02 | 7.93 | 8.401 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
31
Mid-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As o June 30, 2013
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 (99.6%)1 | |||
Basic Materials (4.0%) | |||
Eastman Chemical Co. | 2,311,245 | 161,810 | |
CF Industries Holdings Inc. | 884,281 | 151,654 | |
Sigma-Aldrich Corp. | 1,794,231 | 144,185 | |
FMC Corp. | 2,030,229 | 123,966 | |
Celanese Corp. Class A | 2,381,007 | 106,669 | |
Ashland Inc. | 1,178,542 | 98,408 | |
Airgas Inc. | 982,936 | 93,831 | |
CONSOL Energy Inc. | 3,409,738 | 92,404 | |
International Flavors | |||
& Fragrances Inc. | 1,215,384 | 91,348 | |
* | WR Grace & Co. | 1,075,887 | 90,418 |
Albemarle Corp. | 1,309,125 | 81,545 | |
Reliance Steel | |||
& Aluminum Co. | 1,088,393 | 71,355 | |
Avery Dennison Corp. | 1,483,250 | 63,424 | |
Alcoa Inc. | 7,972,419 | 62,344 | |
Peabody Energy Corp. | 4,016,018 | 58,795 | |
Huntsman Corp. | 2,881,759 | 47,722 | |
^ | Cliffs Natural | ||
Resources Inc. | 1,148,199 | 18,658 | |
1,558,536 | |||
Consumer Goods (13.3%) | |||
Delphi Automotive plc | 4,661,456 | 236,289 | |
Mattel Inc. | 5,149,720 | 233,334 | |
ConAgra Foods Inc. | 6,214,334 | 217,067 | |
Harley-Davidson Inc. | 3,341,794 | 183,197 | |
Genuine Parts Co. | 2,194,951 | 171,360 | |
Clorox Co. | 1,963,029 | 163,206 | |
Ralph Lauren Corp. | |||
Class A | 909,750 | 158,060 | |
JM Smucker Co. | 1,519,238 | 156,709 | |
Beam Inc. | 2,398,816 | 151,389 | |
PVH Corp. | 1,208,441 | 151,116 | |
* | BorgWarner Inc. | 1,722,944 | 148,432 |
Bunge Ltd. | 2,083,119 | 147,422 | |
Dr Pepper Snapple | |||
Group Inc. | 3,042,389 | 139,737 | |
Coca-Cola Enterprises Inc. | 3,881,582 | 136,476 |
Market | |||
Value | |||
Shares | ($000) | ||
Avon Products Inc. | 6,457,475 | 135,801 | |
Whirlpool Corp. | 1,180,348 | 134,985 | |
* | Green Mountain | ||
Coffee Roasters Inc. | 1,779,567 | 133,574 | |
* | Monster Beverage Corp. | 2,103,286 | 127,817 |
Church & Dwight Co. Inc. | 2,060,454 | 127,151 | |
* | Constellation Brands Inc. | ||
Class A | 2,297,188 | 119,730 | |
McCormick & Co. Inc. | 1,693,763 | 119,173 | |
*,^ | Tesla Motors Inc. | 1,054,309 | 113,264 |
Newell Rubbermaid Inc. | 4,302,610 | 112,944 | |
Tyson Foods Inc. Class A | 4,247,789 | 109,083 | |
* | TRW Automotive | ||
Holdings Corp. | 1,612,687 | 107,147 | |
* | LKQ Corp. | 4,008,045 | 103,207 |
Molson Coors | |||
Brewing Co. Class B | 2,120,290 | 101,477 | |
*,^ | Lululemon Athletica Inc. | 1,510,304 | 98,955 |
* | PulteGroup Inc. | 5,201,339 | 98,669 |
* | Electronic Arts Inc. | 4,287,773 | 98,490 |
* | Mohawk Industries Inc. | 864,940 | 97,297 |
Energizer Holdings Inc. | 928,303 | 93,304 | |
DR Horton Inc. | 4,325,479 | 92,046 | |
Lennar Corp. Class A | 2,355,342 | 84,887 | |
Lear Corp. | 1,381,188 | 83,507 | |
Hasbro Inc. | 1,734,424 | 77,754 | |
* | Fossil Group Inc. | 742,840 | 76,743 |
Hormel Foods Corp. | 1,972,495 | 76,099 | |
* | WABCO Holdings Inc. | 932,793 | 69,670 |
* | NVR Inc. | 66,962 | 61,739 |
^ | Herbalife Ltd. | 1,230,770 | 55,557 |
* | Smithfield Foods Inc. | 1,037,658 | 33,983 |
* | Coty Inc. Class A | 866,355 | 14,884 |
Lennar Corp. Class B | 66,962 | 1,898 | |
5,154,629 | |||
Consumer Services (15.4%) | |||
Macy’s Inc. | 5,720,803 | 274,599 | |
* | Delta Air Lines Inc. | 12,770,608 | 238,938 |
Ross Stores Inc. | 3,113,361 | 201,777 | |
AmerisourceBergen | |||
Corp. Class A | 3,442,721 | 192,207 |
32
Mid-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
L Brands Inc. | 3,667,466 | 180,623 | |
* | O’Reilly Automotive Inc. | 1,564,762 | 176,224 |
* | Discovery Communications | ||
Inc. Class A | 2,176,642 | 168,059 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 460,877 | 167,921 | |
* | Netflix Inc. | 795,250 | 167,869 |
* | Dollar Tree Inc. | 3,170,419 | 161,184 |
Staples Inc. | 9,898,740 | 156,994 | |
* | United Continental | ||
Holdings Inc. | 4,978,889 | 155,789 | |
* | CarMax Inc. | 3,348,102 | 154,548 |
* | Hertz Global Holdings Inc. | 5,968,279 | 148,013 |
Southwest Airlines Co. | 10,769,139 | 138,814 | |
Nordstrom Inc. | 2,188,077 | 131,153 | |
DISH Network Corp. | |||
Class A | 3,062,783 | 130,230 | |
* | Charter Communications | ||
Inc. Class A | 981,216 | 121,524 | |
Marriott International Inc. | |||
Class A | 2,977,270 | 120,192 | |
Tiffany & Co. | 1,617,283 | 117,803 | |
Wyndham | |||
Worldwide Corp. | 2,025,552 | 115,922 | |
H&R Block Inc. | 4,061,321 | 112,702 | |
Nielsen Holdings NV | 3,345,228 | 112,366 | |
* | Liberty Global plc Class A | 1,495,922 | 110,818 |
* | Dollar General Corp. | 2,197,235 | 110,807 |
Best Buy Co. Inc. | 4,050,451 | 110,699 | |
Tractor Supply Co. | 936,543 | 110,147 | |
PetSmart Inc. | 1,540,875 | 103,223 | |
Darden Restaurants Inc. | 1,935,998 | 97,729 | |
Expedia Inc. | 1,549,285 | 93,190 | |
Interpublic Group | |||
of Cos. Inc. | 6,389,044 | 92,961 | |
* | Discovery | ||
Communications Inc. | 1,304,568 | 90,876 | |
Family Dollar Stores Inc. | 1,457,267 | 90,802 | |
* | Ulta Salon Cosmetics | ||
& Fragrance Inc. | 902,192 | 90,364 | |
Advance Auto Parts Inc. | 1,088,140 | 88,324 | |
* | IHS Inc. Class A | 832,314 | 86,877 |
Safeway Inc. | 3,595,792 | 85,076 | |
Signet Jewelers Ltd. | 1,207,321 | 81,410 | |
* | MGM Resorts | ||
International | 5,482,879 | 81,037 | |
Scripps Networks | |||
Interactive Inc. Class A | 1,178,924 | 78,705 | |
* | Liberty Global plc | 1,117,618 | 75,875 |
Williams-Sonoma Inc. | 1,240,397 | 69,326 | |
* | Urban Outfitters Inc. | 1,639,973 | 65,960 |
Royal Caribbean | |||
Cruises Ltd. | 1,966,535 | 65,564 | |
International Game | |||
Technology | 3,878,619 | 64,812 |
Market | |||
Value | |||
Shares | ($000) | ||
^ | FactSet Research | ||
Systems Inc. | 624,138 | 63,625 | |
Dun & Bradstreet Corp. | 594,966 | 57,979 | |
* | AutoNation Inc. | 1,264,816 | 54,880 |
* | TripAdvisor Inc. | 828,916 | 50,456 |
*,^ | JC Penney Co. Inc. | 2,141,360 | 36,574 |
^ | Burger King | ||
Worldwide Inc. | 1,571,524 | 30,660 | |
*,^ | Sears Holdings Corp. | 635,417 | 26,738 |
Abercrombie & Fitch Co. | 586,683 | 26,547 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 458,016 | 13,883 | |
* | Hyatt Hotels Corp. Class A | 342,884 | 13,839 |
5,965,214 | |||
Financials (17.4%) | |||
Health Care REIT Inc. | 4,197,818 | 281,380 | |
AvalonBay | |||
Communities Inc. | 1,832,541 | 247,228 | |
Hartford Financial | |||
Services Group Inc. | 6,797,055 | 210,165 | |
Moody’s Corp. | 3,323,320 | 202,490 | |
Regions Financial Corp. | 21,072,720 | 200,823 | |
M&T Bank Corp. | 1,731,157 | 193,457 | |
* | Intercontinental | ||
Exchange Inc. | 1,085,007 | 192,871 | |
Principal Financial | |||
Group Inc. | 4,374,761 | 163,835 | |
KeyCorp | 13,724,415 | 151,518 | |
NYSE Euronext | 3,626,242 | 150,126 | |
Lincoln National Corp. | 4,002,688 | 145,978 | |
Western Union Co. | 8,306,306 | 142,121 | |
* | CIT Group Inc. | 3,000,658 | 139,921 |
American Capital | |||
Agency Corp. | 5,910,946 | 135,893 | |
XL Group plc Class A | 4,319,405 | 130,964 | |
* | Affiliated Managers | ||
Group Inc. | 786,344 | 128,913 | |
Macerich Co. | 2,050,125 | 124,996 | |
Kimco Realty Corp. | 5,789,697 | 124,073 | |
Realty Income Corp. | 2,925,852 | 122,652 | |
Leucadia National Corp. | 4,617,500 | 121,071 | |
SL Green Realty Corp. | 1,365,785 | 120,449 | |
Unum Group | 3,980,936 | 116,920 | |
^ | Digital Realty Trust Inc. | 1,914,627 | 116,792 |
Plum Creek | |||
Timber Co. Inc. | 2,428,618 | 113,344 | |
Comerica Inc. | 2,783,534 | 110,868 | |
Willis Group Holdings plc | 2,611,245 | 106,487 | |
Cincinnati Financial Corp. | 2,313,591 | 106,194 | |
Equifax Inc. | 1,797,770 | 105,943 | |
Rayonier Inc. | 1,879,523 | 104,107 | |
* | Markel Corp. | 195,163 | 102,841 |
Federal Realty | |||
Investment Trust | 972,781 | 100,858 | |
Huntington | |||
Bancshares Inc. | 12,508,975 | 98,571 |
33
Mid-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | CBRE Group Inc. Class A | 4,194,729 | 97,989 |
* | Arch Capital Group Ltd. | 1,885,481 | 96,933 |
UDR Inc. | 3,739,544 | 95,321 | |
Essex Property Trust Inc. | 566,747 | 90,067 | |
Torchmark Corp. | 1,377,827 | 89,752 | |
Camden Property Trust | 1,264,990 | 87,461 | |
New York Community | |||
Bancorp Inc. | 6,246,169 | 87,446 | |
SLM Corp. | 3,723,401 | 85,117 | |
* | Realogy Holdings Corp. | 1,738,839 | 83,534 |
Raymond James | |||
Financial Inc. | 1,877,218 | 80,683 | |
Zions Bancorporation | 2,744,507 | 79,261 | |
Everest Re Group Ltd. | 597,152 | 76,591 | |
Reinsurance Group of | |||
America Inc. Class A | 1,082,931 | 74,841 | |
PartnerRe Ltd. | 812,472 | 73,577 | |
People’s United | |||
Financial Inc. | 4,926,677 | 73,407 | |
Axis Capital Holdings Ltd. | 1,602,750 | 73,374 | |
First Republic Bank | 1,859,249 | 71,544 | |
Alexandria Real Estate | |||
Equities Inc. | 1,052,260 | 69,154 | |
WR Berkley Corp. | 1,625,710 | 66,426 | |
SEI Investments Co. | 2,317,808 | 65,895 | |
Hudson City Bancorp Inc. | 7,083,330 | 64,883 | |
Jones Lang LaSalle Inc. | 658,761 | 60,039 | |
* | MSCI Inc. Class A | 1,802,369 | 59,965 |
NASDAQ OMX Group Inc. | 1,728,382 | 56,674 | |
Lazard Ltd. Class A | 1,723,921 | 55,424 | |
Legg Mason Inc. | 1,772,403 | 54,962 | |
* | Alleghany Corp. | 119,108 | 45,655 |
LPL Financial | |||
Holdings Inc. | 1,034,128 | 39,049 | |
Assurant Inc. | 576,157 | 29,332 | |
* | ING US Inc. | 957,695 | 25,915 |
6,724,120 | |||
Health Care (9.2%) | |||
* | Vertex | ||
Pharmaceuticals Inc. | 3,301,013 | 263,652 | |
* | Actavis Inc. | 1,888,162 | 238,324 |
* | Life Technologies Corp. | 2,568,976 | 190,130 |
* | Boston Scientific Corp. | 20,114,322 | 186,460 |
* | DaVita HealthCare | ||
Partners Inc. | 1,498,066 | 180,966 | |
* | Mylan Inc. | 5,706,009 | 177,058 |
Perrigo Co. | 1,332,000 | 161,172 | |
* | Forest Laboratories Inc. | 3,578,413 | 146,715 |
Quest Diagnostics Inc. | 2,356,197 | 142,856 | |
* | Illumina Inc. | 1,854,482 | 138,789 |
* | Laboratory Corp. of | ||
America Holdings | 1,386,120 | 138,751 | |
CR Bard Inc. | 1,200,024 | 130,419 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 572,523 | 128,749 | |
* | Henry Schein Inc. | 1,299,184 | 124,397 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Waters Corp. | 1,213,702 | 121,431 |
* | CareFusion Corp. | 3,278,166 | 120,800 |
* | BioMarin | ||
Pharmaceutical Inc. | 2,072,668 | 115,634 | |
* | Edwards Lifesciences | ||
Corp. | 1,683,129 | 113,106 | |
* | Varian Medical | ||
Systems Inc. | 1,617,107 | 109,074 | |
^ | ResMed Inc. | 2,124,705 | 95,888 |
* | Hospira Inc. | 2,468,150 | 94,555 |
Universal Health | |||
Services Inc. Class B | 1,353,094 | 90,603 | |
DENTSPLY | |||
International Inc. | 2,134,456 | 87,427 | |
* | Hologic Inc. | 4,011,590 | 77,424 |
* | IDEXX Laboratories Inc. | 808,146 | 72,555 |
Patterson Cos. Inc. | 1,186,363 | 44,607 | |
* | Endo Health Solutions Inc. | 838,384 | 30,844 |
* | Quintiles Transnational | ||
Holdings Inc. | 384,912 | 16,382 | |
3,538,768 | |||
Industrials (16.2%) | |||
* | LinkedIn Corp. Class A | 1,365,275 | 243,429 |
Sherwin-Williams Co. | 1,307,489 | 230,903 | |
WW Grainger Inc. | 881,328 | 222,253 | |
Amphenol Corp. Class A | 2,382,896 | 185,723 | |
Roper Industries Inc. | 1,476,332 | 183,390 | |
Fastenal Co. | 3,980,776 | 182,519 | |
Pentair Ltd. | 3,046,136 | 175,732 | |
Kansas City Southern | 1,642,763 | 174,067 | |
* | Fiserv Inc. | 1,985,420 | 173,546 |
Fidelity National | |||
Information Services Inc. | 3,933,198 | 168,498 | |
AMETEK Inc. | 3,631,055 | 153,594 | |
* | Stericycle Inc. | 1,286,484 | 142,066 |
* | Verisk Analytics Inc. | ||
Class A | 2,259,646 | 134,901 | |
Rockwell Collins Inc. | 2,022,868 | 128,270 | |
*,^ | Alliance Data | ||
Systems Corp. | 696,877 | 126,156 | |
ADT Corp. | 3,099,730 | 123,524 | |
Expeditors International | |||
of Washington Inc. | 3,078,175 | 117,001 | |
Flowserve Corp. | 2,131,864 | 115,142 | |
Pall Corp. | 1,664,037 | 110,542 | |
TransDigm Group Inc. | 703,202 | 110,241 | |
L-3 Communications | |||
Holdings Inc. | 1,274,762 | 109,298 | |
Textron Inc. | 4,143,857 | 107,947 | |
Masco Corp. | 5,322,202 | 103,730 | |
* | Jacobs Engineering | ||
Group Inc. | 1,853,180 | 102,166 | |
* | Trimble Navigation Ltd. | 3,814,957 | 99,227 |
JB Hunt Transport | |||
Services Inc. | 1,315,203 | 95,010 | |
Vulcan Materials Co. | 1,938,139 | 93,825 |
34
Mid-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Ball Corp. | 2,218,688 | 92,164 | |
* | Mettler-Toledo | ||
International Inc. | 450,189 | 90,578 | |
MeadWestvaco Corp. | 2,639,115 | 90,020 | |
* | Crown Holdings Inc. | 2,145,225 | 88,233 |
* | Quanta Services Inc. | 3,119,938 | 82,554 |
Xerox Corp. | 8,688,361 | 78,803 | |
Donaldson Co. Inc. | 2,195,222 | 78,282 | |
Hubbell Inc. Class B | 779,627 | 77,183 | |
Joy Global Inc. | 1,582,887 | 76,817 | |
Xylem Inc. | 2,760,016 | 74,355 | |
Timken Co. | 1,292,727 | 72,755 | |
Fluor Corp. | 1,214,559 | 72,035 | |
KBR Inc. | 2,208,023 | 71,761 | |
Cintas Corp. | 1,551,239 | 70,643 | |
Sealed Air Corp. | 2,916,984 | 69,862 | |
MDU Resources | |||
Group Inc. | 2,679,031 | 69,414 | |
AGCO Corp. | 1,380,988 | 69,312 | |
* | Avnet Inc. | 2,047,338 | 68,791 |
Iron Mountain Inc. | 2,555,982 | 68,015 | |
Martin Marietta | |||
Materials Inc. | 686,123 | 67,528 | |
CH Robinson | |||
Worldwide Inc. | 1,197,048 | 67,406 | |
* | Owens Corning | 1,686,899 | 65,924 |
Robert Half | |||
International Inc. | 1,974,513 | 65,613 | |
* | Sensata Technologies | ||
Holding NV | 1,830,384 | 63,880 | |
Manpowergroup Inc. | 1,152,220 | 63,142 | |
* | Arrow Electronics Inc. | 1,563,543 | 62,307 |
FLIR Systems Inc. | 2,113,121 | 56,991 | |
Jabil Circuit Inc. | 2,716,105 | 55,354 | |
Rock Tenn Co. Class A | 536,303 | 53,566 | |
SPX Corp. | 663,968 | 47,792 | |
National Instruments Corp. | 1,476,539 | 41,254 | |
* | FleetCor Technologies Inc. | 485,446 | 39,467 |
* | Owens-Illinois Inc. | 1,231,017 | 34,210 |
Molex Inc. | 1,113,849 | 32,680 | |
Gardner Denver Inc. | 367,588 | 27,635 | |
Molex Inc. Class A | 910,967 | 22,647 | |
Allison Transmission | |||
Holdings Inc. | 554,879 | 12,807 | |
6,254,480 | |||
Oil & Gas (6.3%) | |||
Cabot Oil & Gas Corp. | 3,142,188 | 223,158 | |
Range Resources Corp. | 2,309,837 | 178,597 | |
EQT Corp. | 2,018,703 | 160,224 | |
* | Concho Resources Inc. | 1,561,601 | 130,737 |
HollyFrontier Corp. | 3,028,227 | 129,548 | |
* | Kinder Morgan | ||
Management LLC | 1,481,848 | 123,868 | |
Oceaneering | |||
International Inc. | 1,613,250 | 116,477 | |
Tesoro Corp. | 2,024,970 | 105,946 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Cobalt International | ||
Energy Inc. | 3,942,582 | 104,754 | |
Core Laboratories NV | 684,580 | 103,823 | |
OGE Energy Corp. | 1,476,611 | 100,705 | |
* | Denbury Resources Inc. | 5,565,325 | 96,391 |
Helmerich & Payne Inc. | 1,507,714 | 94,157 | |
* | Whiting Petroleum Corp. | 1,778,450 | 81,969 |
Cimarex Energy Co. | 1,223,370 | 79,507 | |
QEP Resources Inc. | 2,670,232 | 74,179 | |
Diamond Offshore | |||
Drilling Inc. | 1,035,472 | 71,230 | |
* | Weatherford | ||
International Ltd. | 5,132,623 | 70,317 | |
* | Dresser-Rand Group Inc. | 1,137,848 | 68,248 |
Nabors Industries Ltd. | 4,168,828 | 63,825 | |
* | Rowan Cos. plc Class A | 1,849,851 | 63,024 |
SM Energy Co. | 990,102 | 59,386 | |
Energen Corp. | 1,078,319 | 56,353 | |
* | Cheniere Energy Inc. | 1,619,013 | 44,944 |
* | Newfield Exploration Co. | 1,015,532 | 24,261 |
* | Ultra Petroleum Corp. | 1,084,182 | 21,489 |
2,447,117 | |||
Technology (11.4%) | |||
* | SanDisk Corp. | 3,627,939 | 221,667 |
* | Cerner Corp. | 2,306,389 | 221,621 |
* | Micron Technology Inc. | 15,358,270 | 220,084 |
Seagate Technology plc | 4,543,939 | 203,705 | |
Western Digital Corp. | 3,171,924 | 196,945 | |
Xilinx Inc. | 3,934,137 | 155,831 | |
* | Catamaran Corp. | 3,070,027 | 149,572 |
KLA-Tencor Corp. | 2,473,355 | 137,840 | |
Avago Technologies Ltd. | |||
Class A | 3,681,350 | 137,609 | |
* | Equinix Inc. | 735,847 | 135,926 |
* | Red Hat Inc. | 2,826,884 | 135,182 |
Linear Technology Corp. | 3,477,826 | 128,123 | |
* | Teradata Corp. | 2,436,947 | 122,408 |
Maxim Integrated | |||
Products Inc. | 4,340,940 | 120,591 | |
NVIDIA Corp. | 8,187,926 | 114,877 | |
* | Autodesk Inc. | 3,352,573 | 113,786 |
* | Cree Inc. | 1,758,697 | 112,310 |
* | Lam Research Corp. | 2,426,748 | 107,602 |
* | Akamai Technologies Inc. | 2,517,644 | 107,126 |
Microchip Technology Inc. | 2,793,114 | 104,043 | |
* | ANSYS Inc. | 1,390,061 | 101,613 |
* | VeriSign Inc. | 2,248,194 | 100,404 |
Computer Sciences Corp. | 2,240,524 | 98,068 | |
* | BMC Software Inc. | 2,125,076 | 95,926 |
* | Synopsys Inc. | 2,288,070 | 81,798 |
* | F5 Networks Inc. | 1,173,842 | 80,760 |
Harris Corp. | 1,632,480 | 80,400 | |
* | Nuance | ||
Communications Inc. | 4,270,964 | 78,500 | |
* | Gartner Inc. | 1,330,506 | 75,826 |
SAIC Inc. | 5,101,779 | 71,068 |
35
Mid-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Juniper Networks Inc. | 3,585,450 | 69,235 |
Marvell Technology | |||
Group Ltd. | 5,881,695 | 68,875 | |
Garmin Ltd. | 1,747,742 | 63,198 | |
* | Rackspace Hosting Inc. | 1,650,553 | 62,539 |
* | Skyworks Solutions Inc. | 2,855,962 | 62,517 |
* | LSI Corp. | 8,184,981 | 58,441 |
* | ServiceNow Inc. | 1,303,907 | 52,665 |
* | TIBCO Software Inc. | 2,328,688 | 49,834 |
* | Workday Inc. Class A | 506,055 | 32,433 |
* | Informatica Corp. | 807,291 | 28,239 |
* | ON Semiconductor Corp. | 3,366,790 | 27,204 |
* | MICROS Systems Inc. | 588,628 | 25,399 |
* | Palo Alto Networks Inc. | 239,234 | 10,086 |
4,421,876 | |||
Telecommunications (0.8%) | |||
* | SBA Communications | ||
Corp. Class A | 1,902,510 | 141,014 | |
Windstream Corp. | 8,829,346 | 68,074 | |
^ | Frontier Communications | ||
Corp. | 14,860,389 | 60,185 | |
T-Mobile US Inc. | 1,349,300 | 33,476 | |
302,749 | |||
Utilities (5.6%) | |||
Northeast Utilities | 4,690,916 | 197,112 | |
DTE Energy Co. | 2,593,554 | 173,794 | |
CenterPoint Energy Inc. | 6,389,244 | 150,083 | |
Wisconsin Energy Corp. | 3,410,236 | 139,786 | |
NiSource Inc. | 4,652,393 | 133,245 | |
* | Calpine Corp. | 6,108,954 | 129,693 |
NRG Energy Inc. | 4,808,213 | 128,379 | |
ONEOK Inc. | 3,073,016 | 126,946 | |
Ameren Corp. | 3,617,641 | 124,592 | |
AES Corp. | 9,455,498 | 113,371 | |
American Water | |||
Works Co. Inc. | 2,647,408 | 109,153 | |
CMS Energy Corp. | 3,975,108 | 108,004 | |
SCANA Corp. | 1,872,431 | 91,936 | |
Pinnacle West | |||
Capital Corp. | 1,637,778 | 90,848 | |
Alliant Energy Corp. | 1,656,920 | 83,542 | |
Pepco Holdings Inc. | 3,702,251 | 74,637 | |
Integrys Energy Group Inc. | 1,178,534 | 68,980 | |
National Fuel Gas Co. | 1,185,711 | 68,712 | |
TECO Energy Inc. | 3,078,274 | 52,915 | |
2,165,728 | |||
Total Common Stocks | |||
(Cost $30,476,816) | 38,533,217 |
Market | |||
Value | |||
Shares | ($000) | ||
Temporary Cash Investments (0.9%)1 | |||
Money Market Fund (0.9%) | |||
2,3 | Vanguard Market Liquidity | ||
Fund, 0.127% | 334,670,756 | 334,671 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,6 | Fannie Mae | ||
Discount Notes, | |||
0.085%, 8/21/13 | 2,000 | 2,000 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.100%, 9/20/13 | 2,000 | 1,999 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.095%, 10/4/13 | 2,300 | 2,299 | |
5,7 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.150%, 12/20/13 | 3,000 | 2,997 | |
4 | Freddie Mac Discount | ||
Notes, 0.110%, 10/16/13 | 3,000 | 2,999 | |
12,294 | |||
Total Temporary Cash Investments | |||
(Cost $346,966) | 346,965 | ||
Total Investments (100.5%) | |||
(Cost $30,823,782) | 38,880,182 | ||
Other Assets and Liabilities (-0.5%) | |||
Other Assets | 78,899 | ||
Liabilities3 | (284,451) | ||
(205,552) | |||
Net Assets (100%) | 38,674,630 |
36
Mid-Cap Index Fund
At June 30, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 31,909,339 |
Undistributed Net Investment Income | 211,599 |
Accumulated Net Realized Losses | (1,501,421) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 8,056,400 |
Futures Contracts | (1,275) |
Swap Contracts | (12) |
Net Assets | 38,674,630 |
Investor Shares—Net Assets | |
Applicable to 166,452,735 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,319,296 |
Net Asset Value Per Share— | |
Investor Shares | $25.95 |
Admiral Shares—Net Assets | |
Applicable to 70,322,917 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 8,284,693 |
Net Asset Value Per Share— | |
Admiral Shares | $117.81 |
Signal Shares—Net Assets | |
Applicable to 165,851,194 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 6,165,438 |
Net Asset Value Per Share— | |
Signal Shares | $37.17 |
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 312,955,774 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 8,144,177 |
Net Asset Value Per Share— | |
Institutional Shares | $26.02 |
Institutional Plus Shares—Net Assets | |
Applicable to 51,577,815 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 6,620,363 |
Net Asset Value Per Share— | |
Institutional Plus Shares | $128.36 |
ETF Shares—Net Assets | |
Applicable to 54,041,445 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,140,663 |
Net Asset Value Per Share—ETF Shares | $95.12 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $164,604,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.8% and 0.7%, 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 $173,837,000 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
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 Securities with a value of $3,899,000 have been segregated as initial margin for open futures contracts.
7 Securities with a value of $2,498,000 have been segregated as collateral for open swap 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, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 248,641 |
Interest1 | 131 |
Securities Lending | 3,488 |
Total Income | 252,260 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,101 |
Management and Administrative—Investor Shares | 4,351 |
Management and Administrative—Admiral Shares | 2,808 |
Management and Administrative—Signal Shares | 1,710 |
Management and Administrative—Institutional Shares | 1,767 |
Management and Administrative—Institutional Plus Shares | 990 |
Management and Administrative—ETF Shares | 1,563 |
Marketing and Distribution—Investor Shares | 531 |
Marketing and Distribution—Admiral Shares | 559 |
Marketing and Distribution—Signal Shares | 744 |
Marketing and Distribution—Institutional Shares | 975 |
Marketing and Distribution—Institutional Plus Shares | 705 |
Marketing and Distribution—ETF Shares | 437 |
Custodian Fees | 169 |
Shareholders’ Reports—Investor Shares | 63 |
Shareholders’ Reports—Admiral Shares | 31 |
Shareholders’ Reports—Signal Shares | 34 |
Shareholders’ Reports—Institutional Shares | 50 |
Shareholders’ Reports—Institutional Plus Shares | 28 |
Shareholders’ Reports—ETF Shares | 53 |
Trustees’ Fees and Expenses | 25 |
Total Expenses | 18,694 |
Net Investment Income | 233,566 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 1,248,248 |
Futures Contracts | 10,662 |
Swap Contracts | 11,657 |
Realized Net Gain (Loss) | 1,270,567 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 3,542,610 |
Futures Contracts | (1,087) |
Swap Contracts | (12) |
Change in Unrealized Appreciation (Depreciation) | 3,541,511 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,045,644 |
1 Interest income from an affiliated company of the fund was $125,000. | |
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, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 233,566 | 446,289 |
Realized Net Gain (Loss) | 1,270,567 | 693,188 |
Change in Unrealized Appreciation (Depreciation) | 3,541,511 | 3,103,944 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,045,644 | 4,243,421 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (688) | (49,025) |
Admiral Shares | (1,649) | (96,184) |
Signal Shares | (1,266) | (67,578) |
Institutional Shares | (1,502) | (100,070) |
Institutional Plus Shares | (1,467) | (76,806) |
ETF Shares | (965) | (55,058) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (7,537) | (444,721) |
Capital Share Transactions | ||
Investor Shares | (170,720) | (837,289) |
Admiral Shares | 310,930 | 49,913 |
Signal Shares | 556,034 | 695,819 |
Institutional Shares | 8,004 | 641,250 |
Institutional Plus Shares | 307,945 | 1,481,497 |
ETF Shares | 596,305 | 206,782 |
Net Increase (Decrease) from Capital Share Transactions | 1,608,498 | 2,237,972 |
Total Increase (Decrease) | 6,646,605 | 6,036,672 |
Net Assets | ||
Beginning of Period | 32,028,025 | 25,991,353 |
End of Period1 | 38,674,630 | 32,028,025 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $211,599,000 and ($26,087,000).
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $22.47 | $19.65 | $20.31 | $16.36 | $11.80 | $20.70 |
Investment Operations | ||||||
Net Investment Income | .139 | .286 | .233 | .214 | .171 | .224 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.345 | 2.818 | (.661) | 3.951 | 4.571 | (8.894) |
Total from Investment Operations | 3.484 | 3.104 | (.428) | 4.165 | 4.742 | (8.670) |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.284) | (.232) | (.215) | (.182) | (.230) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.004) | (.284) | (.232) | (.215) | (.182) | (.230) |
Net Asset Value, End of Period | $25.95 | $22.47 | $19.65 | $20.31 | $16.36 | $11.80 |
Total Return1 | 15.51% | 15.80% | -2.11% | 25.46% | 40.22% | -41.82% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,319 | $3,887 | $4,168 | $5,602 | $6,789 | $4,652 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.26% | 0.27% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.22% | 1.36% | 1.15% | 1.25% | 1.32% | 1.36% |
Portfolio Turnover Rate2 | 34% | 17% | 22% | 16% | 21% | 24% |
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $101.97 | $89.15 | $92.17 | $74.23 | $53.49 | $93.93 |
Investment Operations | ||||||
Net Investment Income | .719 | 1.450 | 1.212 | 1.049 | .855 | 1.099 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 15.145 | 12.808 | (3.023) | 17.946 | 20.782 | (40.405) |
Total from Investment Operations | 15.864 | 14.258 | (1.811) | 18.995 | 21.637 | (39.306) |
Distributions | ||||||
Dividends from Net Investment Income | (.024) | (1.438) | (1.209) | (1.055) | (.897) | (1.134) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.024) | (1.438) | (1.209) | (1.055) | (.897) | (1.134) |
Net Asset Value, End of Period | $117.81 | $101.97 | $89.15 | $92.17 | $74.23 | $53.49 |
Total Return1 | 15.56% | 15.99% | -1.97% | 25.59% | 40.48% | -41.78% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,285 | $6,895 | $5,989 | $6,036 | $2,184 | $1,601 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.37% | 1.50% | 1.29% | 1.39% | 1.45% | 1.47% |
Portfolio Turnover Rate2 | 34% | 17% | 22% | 16% | 21% | 24% |
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 | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $32.18 | $28.13 | $29.09 | $23.43 | $16.89 | $29.66 |
Investment Operations | ||||||
Net Investment Income | .228 | .459 | .382 | .341 | .271 | .349 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.770 | 4.047 | (.961) | 5.662 | 6.552 | (12.759) |
Total from Investment Operations | 4.998 | 4.506 | (.579) | 6.003 | 6.823 | (12.410) |
Distributions | ||||||
Dividends from Net Investment Income | (.008) | (.456) | (.381) | (.343) | (.283) | (.360) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.008) | (.456) | (.381) | (.343) | (.283) | (.360) |
Net Asset Value, End of Period | $37.17 | $32.18 | $28.13 | $29.09 | $23.43 | $16.89 |
Total Return | 15.53% | 16.02% | -1.99% | 25.62% | 40.43% | -41.78% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,165 | $4,834 | $3,589 | $2,831 | $2,346 | $1,609 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.37% | 1.50% | 1.29% | 1.39% | 1.45% | 1.47% |
Portfolio Turnover Rate1 | 34% | 17% | 22% | 16% | 21% | 24% |
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, ncluding 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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $22.52 | $19.69 | $20.36 | $16.40 | $11.82 | $20.76 |
Investment Operations | ||||||
Net Investment Income | .161 | .325 | .271 | .247 | .197 | .250 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.344 | 2.827 | (.669) | 3.962 | 4.588 | (8.933) |
Total from Investment Operations | 3.505 | 3.152 | (.398) | 4.209 | 4.785 | (8.683) |
Distributions | ||||||
Dividends from Net Investment Income | (.005) | (.322) | (.272) | (.249) | (.205) | (.257) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.005) | (.322) | (.272) | (.249) | (.205) | (.257) |
Net Asset Value, End of Period | $26.02 | $22.52 | $19.69 | $20.36 | $16.40 | $11.82 |
Total Return | 15.56% | 16.01% | -1.96% | 25.67% | 40.51% | -41.76% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,144 | $7,057 | $5,611 | $7,795 | $5,960 | $3,820 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.38% | 1.52% | 1.31% | 1.43% | 1.51% | 1.51% |
Portfolio Turnover Rate1 | 34% | 17% | 22% | 16% | 21% | 24% |
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 | Dec. 15, | |||
Ended | Year Ended | 20101 to | ||
June 30, | December 31, | Dec. 31, | ||
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $111.08 | $97.12 | $100.40 | $99.45 |
Investment Operations | ||||
Net Investment Income | .805 | 1.624 | 1.358 | .0792 |
Net Realized and Unrealized Gain (Loss) on Investments | 16.502 | 13.945 | (3.280) | 2.078 |
Total from Investment Operations | 17.307 | 15.569 | (1.922) | 2.157 |
Distributions | ||||
Dividends from Net Investment Income | (.027) | (1.609) | (1.358) | (1.207) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.027) | (1.609) | (1.358) | (1.207) |
Net Asset Value, End of Period | $128.36 | $111.08 | $97.12 | $100.40 |
Total Return | 15.58% | 16.03% | -1.91% | 2.17% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $6,620 | $5,428 | $3,393 | $440 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06%3 |
Ratio of Net Investment Income to Average Net Assets | 1.40% | 1.54% | 1.33% | 1.45%3 |
Portfolio Turnover Rate4 | 34% | 17% | 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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $82.33 | $71.99 | $74.42 | $59.97 | $43.21 | $75.90 |
Investment Operations | ||||||
Net Investment Income | .582 | 1.173 | .976 | .882 | .696 | .895 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 12.227 | 10.329 | (2.430) | 14.454 | 16.794 | (32.656) |
Total from Investment Operations | 12.809 | 11.502 | (1.454) | 15.336 | 17.490 | (31.761) |
Distributions | ||||||
Dividends from Net Investment Income | (.019) | (1.162) | (.976) | (.886) | (.730) | (.929) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.019) | (1.162) | (.976) | (.886) | (.730) | (.929) |
Net Asset Value, End of Period | $95.12 | $82.33 | $71.99 | $74.42 | $59.97 | $43.21 |
Total Return | 15.56% | 15.98% | -1.96% | 25.57% | 40.49% | -41.79% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,141 | $3,926 | $3,241 | $3,356 | $2,207 | $1,113 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.37% | 1.50% | 1.29% | 1.39% | 1.45% | 1.46% |
Portfolio Turnover Rate1 | 34% | 17% | 22% | 16% | 21% | 24% |
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 NYSE Arca; they can be purchased and sold through a broker.
On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Mid Cap 450 Index to the CRSP US Mid Cap Index. The benchmark change was effective on January 31, 2013. The fund’s investment objective has not changed.
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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength
46
Mid-Cap Index Fund
of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
3. Swap Contracts: The fund has entered into an equity swap contract to earn the total return on a selected reference stock in the fund’s target index. Under the terms of the swap, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded. The primary risks associated with the swaps are that a counterparty will default on its obligation to pay net amounts due to the fund , or that the fund will incur fees in the event it terminates a swap prior to the scheduled termination date. The fund’s maximum risk of loss from counterparty credit risk is the amount of unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of pre-qualified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
During the six months ended June 30, 2013, the fund’s average amounts of total return swaps represented less than 1% of net assets, based on quarterly average notional amounts.
47
Mid-Cap Index Fund
4. 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, 2009–2012), and for the period ended June 30, 2013, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
7. 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, 2013, the fund had contributed capital of $4,793,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.92% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
48
Mid-Cap 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).
The following table summarizes the market value of the fund’s investments as of June 30, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 38,533,217 | — | — |
Temporary Cash Investments | 334,671 | 12,294 | — |
Futures Contracts—Assets1 | 100 | — | — |
Futures Contracts—Liabilities1 | (365) | — | — |
Total | 38,867,623 | 12,294 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2013, 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 2013 | 332 | 38,442 | (664) |
S&P 500 Index | September 2013 | 51 | 20,391 | (586) |
E-mini S&P 500 Index | September 2013 | 67 | 5,358 | (25) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
At June 30, 2013, the fund had the following open swap contracts:
Floating | Unrealized | ||||
Notional | Interest Rate | Appreciation | |||
Termination | Amount | Received | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | (Paid) | ($000) |
SLM Corp. | 7/25/13 | GSI | 66,729 | (0.542%)2 | (12) |
1 GSI—Goldman Sachs International.
2 Based on one-month London Interbank Offered Rate (LIBOR) as of the most recent payment date plus a 0.35% spread.
49
Mid-Cap Index Fund
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.
Realized and unrealized gains (losses) on certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund’s income dividends to shareholders is offset by a change in principal return. Realized gains of $11,657,000 on swap contracts have been reclassified from accumulated net realized losses to undistributed net investment income.
During the six months ended June 30, 2013, the fund realized $165,301,000 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, 2012, the fund had available capital losses totaling $2,593,882,000 to offset future net capital gains. Of this amount, $2,258,323,000 is subject to expiration dates; $1,696,225,000 may be used to offset future net capital gains through December 31, 2017, and $562,098,000 through December 31, 2018. Capital losses of $335,559,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $30,823,782,000. Net unrealized appreciation of investment securities for tax purposes was $8,056,400,000, consisting of unrealized gains of $9,007,399,000 on securities that had risen in value since their purchase and $950,999,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $11,616,777,000 of investment securities and sold $9,820,325,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,115,199,000 and $575,562,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
50
Mid-Cap Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 458,841 | 18,470 | 714,211 | 33,073 |
Issued in Lieu of Cash Distributions | 652 | 26 | 46,399 | 2,063 |
Redeemed | (630,213) | (24,987) | (1,597,899) | (74,317) |
Net Increase (Decrease)—Investor Shares | (170,720) | (6,491) | (837,289) | (39,181) |
Admiral Shares | ||||
Issued | 721,017 | 6,311 | 831,355 | 8,435 |
Issued in Lieu of Cash Distributions | 1,477 | 13 | 86,410 | 847 |
Redeemed | (411,564) | (3,621) | (867,852) | (8,837) |
Net Increase (Decrease)—Admiral Shares | 310,930 | 2,703 | 49,913 | 445 |
Signal Shares | ||||
Issued | 1,253,815 | 34,943 | 1,794,040 | 58,026 |
Issued in Lieu of Cash Distributions | 1,126 | 32 | 59,736 | 1,856 |
Redeemed | (698,907) | (19,367) | (1,157,957) | (37,196) |
Net Increase (Decrease)—Signal Shares | 556,034 | 15,608 | 695,819 | 22,686 |
Institutional Shares | ||||
Issued | 1,150,963 | 45,867 | 2,043,658 | 94,208 |
Issued in Lieu of Cash Distributions | 1,395 | 56 | 93,697 | 4,159 |
Redeemed | (1,144,354) | (46,307) | (1,496,105) | (69,989) |
Net Increase (Decrease)—Institutional Shares | 8,004 | (384) | 641,250 | 28,378 |
Institutional Plus Shares | ||||
Issued | 1,303,640 | 10,793 | 2,054,815 | 19,336 |
Issued in Lieu of Cash Distributions | 1,337 | 11 | 69,076 | 622 |
Redeemed | (997,032) | (8,096) | (642,394) | (6,029) |
Net Increase (Decrease)—Institutional Plus Shares | 307,945 | 2,708 | 1,481,497 | 13,929 |
ETF Shares | ||||
Issued | 1,121,585 | 11,954 | 2,665,050 | 33,566 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (525,280) | (5,600) | (2,458,268) | (30,900) |
Net Increase (Decrease)—ETF Shares | 596,305 | 6,354 | 206,782 | 2,666 |
H. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
51
Mid-Cap Growth Index Fund
Fund Profile
As of June 30, 2013
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 | 0.60% | 0.76% | 0.76% |
Portfolio Characteristics | |||
CRSP US | DJ U.S. | ||
Mid Cap | Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 165 | 165 | 3,622 |
Median Market Cap | $9.4B | $9.4B | $38.5B |
Price/Earnings Ratio | 31.6x | 31.6x | 18.4x |
Price/Book Ratio | 3.9x | 3.9x | 2.3x |
Return on Equity | 15.5% | 15.5% | 16.4% |
Earnings Growth Rate 14.2% | 14.2% | 10.7% | |
Dividend Yield | 0.8% | 0.8% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 69% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure)
CRSP US | DJ U.S. | ||
Mid Cap | Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Basic Materials | 2.1% | 2.0% | 2.9% |
Consumer Goods | 10.0 | 10.0 | 10.6 |
Consumer Services | 18.6 | 18.6 | 13.4 |
Financials | 11.9 | 11.9 | 18.9 |
Health Care | 10.4 | 10.4 | 11.7 |
Industrials | 19.2 | 19.3 | 12.8 |
Oil & Gas | 8.3 | 8.3 | 9.6 |
Technology | 17.3 | 17.3 | 14.2 |
Telecommunications | 0.8 | 0.8 | 2.5 |
Utilities | 1.4 | 1.4 | 3.4 |
Volatility Measures | ||
DJ U.S. | ||
Spliced | Total | |
Mid-Cap | Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.93 |
Beta | 1.00 | 1.17 |
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)
Health Care REIT Inc. | Specialty REITs | 1.5% |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 1.4 |
Discovery | Broadcasting & | |
Communications Inc. | Entertainment | 1.4 |
AvalonBay Communities | ||
Inc. | Residential REITs | 1.3 |
LinkedIn Corp. | Business Training & | |
Employment | 1.3 | |
Actavis Inc. | Pharmaceuticals | 1.3 |
Sherwin-Williams Co. | Building Materials & | |
Fixtures | 1.2 | |
Cabot Oil & Gas Corp. | Exploration & | |
Production | 1.2 | |
WW Grainger Inc. | Industrial Suppliers | 1.2 |
Cerner Corp. | Software | 1.2 |
Top Ten | 13.0% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/midcapx54x1.jpg)
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the annualized expense ratios were 0.24% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for ETF Shares.
52
Mid-Cap Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/midcapx55x1.jpg)
Note: For 2013, performance data reflect the six months ended June 30, 2013.
Average Annual Total Returns: Periods Ended June 30, 2013 | ||||
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 8/24/2006 | 22.04% | 5.63% | 6.92% |
Admiral Shares | 9/27/2011 | 22.19 | — | 19.18 |
ETF Shares | 8/17/2006 | |||
Market Price | 22.21 | 5.78 | 6.81 | |
Net Asset Value | 22.22 | 5.78 | 6.82 |
See Financial Highlights for dividend and capital gains information.
53
Mid-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As o June 30, 2013
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%) | |||
Basic Materials (2.0%) | |||
Eastman Chemical Co. | 405,938 | 28,420 | |
FMC Corp. | 356,528 | 21,769 | |
Airgas Inc. | 172,634 | 16,480 | |
66,669 | |||
Consumer Goods (10.0%) | |||
Ralph Lauren Corp. | |||
Class A | 159,786 | 27,761 | |
PVH Corp. | 212,280 | 26,545 | |
* | BorgWarner Inc. | 302,729 | 26,080 |
* | Green Mountain Coffee | ||
Roasters Inc. | 312,628 | 23,466 | |
* | Monster Beverage Corp. | 369,506 | 22,455 |
Church & Dwight Co. Inc. | 362,017 | 22,340 | |
McCormick & Co. Inc. | 297,528 | 20,934 | |
* | Tesla Motors Inc. | 185,225 | 19,899 |
* | LKQ Corp. | 703,872 | 18,125 |
* | Lululemon Athletica Inc. | 265,137 | 17,372 |
* | PulteGroup Inc. | 913,503 | 17,329 |
* | Electronic Arts Inc. | 752,995 | 17,296 |
* | Mohawk Industries Inc. | 151,869 | 17,084 |
* | Fossil Group Inc. | 130,644 | 13,497 |
* | WABCO Holdings Inc. | 163,538 | 12,215 |
* | NVR Inc. | 11,740 | 10,824 |
^ | Herbalife Ltd. | 215,680 | 9,736 |
* | Coty Inc. Class A | 151,314 | 2,599 |
325,557 | |||
Consumer Services (18.6%) | |||
Ross Stores Inc. | 546,809 | 35,439 | |
L Brands Inc. | 644,246 | 31,729 | |
* | O’Reilly Automotive Inc. | 274,807 | 30,949 |
* | Discovery Communications | ||
Inc. Class A | 382,316 | 29,519 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 80,956 | 29,496 | |
* | Netflix Inc. | 139,694 | 29,488 |
* | Dollar Tree Inc. | 556,794 | 28,307 |
* | CarMax Inc. | 587,974 | 27,141 |
Market | |||
Value | |||
Shares | ($000) | ||
Southwest Airlines Co. | 1,891,770 | 24,385 | |
Nordstrom Inc. | 384,433 | 23,043 | |
* | Charter Communications | ||
Inc. Class A | 172,395 | 21,351 | |
Marriott International Inc. | |||
Class A | 522,849 | 21,107 | |
Tiffany & Co. | 284,102 | 20,694 | |
Wyndham | |||
Worldwide Corp. | 355,833 | 20,364 | |
* | Dollar General Corp. | 385,941 | 19,463 |
* | Liberty Global plc Class A | 262,524 | 19,448 |
Tractor Supply Co. | 164,458 | 19,342 | |
PetSmart Inc. | 270,496 | 18,121 | |
* | Discovery | ||
Communications Inc. | 229,427 | 15,982 | |
Family Dollar Stores Inc. | 255,805 | 15,939 | |
* | Ulta Salon Cosmetics | ||
& Fragrance Inc. | 158,437 | 15,869 | |
* | IHS Inc. Class A | 146,326 | 15,274 |
Scripps Networks | |||
Interactive Inc. Class A | 207,226 | 13,834 | |
* | Liberty Global plc | 196,207 | 13,320 |
Williams-Sonoma Inc. | 217,408 | 12,151 | |
* | Urban Outfitters Inc. | 288,273 | 11,594 |
FactSet Research | |||
Systems Inc. | 109,398 | 11,152 | |
* | AutoNation Inc. | 222,373 | 9,649 |
* | TripAdvisor Inc. | 145,306 | 8,845 |
Abercrombie & Fitch Co. | 102,556 | 4,641 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 80,201 | 2,431 | |
* | Hyatt Hotels Corp. Class A | 60,114 | 2,426 |
602,493 | |||
Financials (11.9%) | |||
Health Care REIT Inc. | 737,401 | 49,428 | |
AvalonBay Communities Inc. | 321,901 | 43,428 | |
Moody’s Corp. | 583,854 | 35,574 | |
* | IntercontinentalExchange Inc. | 190,604 | 33,882 |
* | Affiliated Managers | ||
Group Inc. | 138,164 | 22,651 |
54
Mid-Cap Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Leucadia National Corp. | 810,968 | 21,263 | |
Digital Realty Trust Inc. | 336,215 | 20,509 | |
Rayonier Inc. | 329,941 | 18,275 | |
Federal Realty | |||
Investment Trust | 170,888 | 17,718 | |
* | CBRE Group Inc. Class A | 737,403 | 17,226 |
Essex Property Trust Inc. | 99,487 | 15,810 | |
Camden Property Trust | 222,255 | 15,367 | |
Raymond James | |||
Financial Inc. | 329,003 | 14,140 | |
Alexandria Real Estate | |||
Equities Inc. | 184,374 | 12,117 | |
SEI Investments Co. | 406,221 | 11,549 | |
Macerich Co. | 180,004 | 10,975 | |
* | MSCI Inc. Class A | 315,983 | 10,513 |
Lazard Ltd. Class A | 302,134 | 9,714 | |
* | Realogy Holdings Corp. | 152,600 | 7,331 |
387,470 | |||
Health Care (10.4%) | |||
* | Vertex | ||
Pharmaceuticals Inc. | 579,928 | 46,319 | |
* | Actavis Inc. | 331,753 | 41,874 |
* | DaVita HealthCare | ||
Partners Inc. | 263,102 | 31,783 | |
Perrigo Co. | 234,009 | 28,315 | |
* | Illumina Inc. | 325,752 | 24,379 |
* | Regeneron | ||
Pharmaceuticals Inc. | 100,443 | 22,588 | |
* | Waters Corp. | 213,216 | 21,332 |
* | BioMarin | ||
Pharmaceutical Inc. | 364,075 | 20,312 | |
* | Edwards Lifesciences Corp. | 295,875 | 19,883 |
* | Varian Medical Systems Inc. | 283,872 | 19,147 |
ResMed Inc. | 373,140 | 16,840 | |
DENTSPLY International Inc. | 375,121 | 15,365 | |
* | Forest Laboratories Inc. | 314,176 | 12,881 |
* | IDEXX Laboratories Inc. | 141,719 | 12,723 |
* | Quintiles Transnational | ||
Holdings Inc. | 67,601 | 2,877 | |
336,618 | |||
Industrials (19.3%) | |||
* | LinkedIn Corp. Class A | 239,870 | 42,769 |
Sherwin-Williams Co. | 229,677 | 40,561 | |
WW Grainger Inc. | 154,819 | 39,042 | |
Amphenol Corp. Class A | 418,646 | 32,629 | |
Roper Industries Inc. | 259,333 | 32,214 | |
Fastenal Co. | 699,131 | 32,055 | |
Pentair Ltd. | 534,974 | 30,863 | |
Kansas City Southern | 288,519 | 30,571 | |
AMETEK Inc. | 637,887 | 26,983 | |
* | Stericycle Inc. | 226,001 | 24,957 |
* | Verisk Analytics Inc. | ||
Class A | 396,931 | 23,697 | |
* | Alliance Data | ||
Systems Corp. | 122,397 | 22,158 |
Market | |||
Value | |||
Shares | ($000) | ||
ADT Corp. | 544,448 | 21,696 | |
Expeditors International | |||
of Washington Inc. | 541,122 | 20,568 | |
Pall Corp. | 292,126 | 19,406 | |
TransDigm Group Inc. | 123,478 | 19,358 | |
Masco Corp. | 934,712 | 18,218 | |
* | Trimble Navigation Ltd. | 670,006 | 17,427 |
JB Hunt Transport | |||
Services Inc. | 231,039 | 16,690 | |
* | Mettler-Toledo | ||
International Inc. | 79,061 | 15,907 | |
* | Quanta Services Inc. | 548,274 | 14,507 |
Donaldson Co. Inc. | 384,950 | 13,727 | |
Martin Marietta | |||
Materials Inc. | 120,254 | 11,835 | |
CH Robinson | |||
Worldwide Inc. | 210,138 | 11,833 | |
Robert Half | |||
International Inc. | 347,084 | 11,534 | |
* | Sensata Technologies | ||
Holding NV | 320,896 | 11,199 | |
Rock Tenn Co. Class A | 94,209 | 9,410 | |
National Instruments Corp. | 258,861 | 7,233 | |
* | FleetCor Technologies Inc. | 85,233 | 6,929 |
625,976 | |||
Oil & Gas (8.3%) | |||
Cabot Oil & Gas Corp. | 551,877 | 39,194 | |
Range Resources Corp. | 405,766 | 31,374 | |
EQT Corp. | 354,662 | 28,150 | |
* | Concho Resources Inc. | 274,297 | 22,964 |
* | Kinder Morgan | ||
Management LLC | 260,358 | 21,763 | |
Oceaneering | |||
International Inc. | 283,423 | 20,463 | |
* | Cobalt International | ||
Energy Inc. | 692,447 | 18,398 | |
Core Laboratories NV | 120,197 | 18,229 | |
* | Whiting Petroleum Corp. | 312,572 | 14,407 |
QEP Resources Inc. | 469,555 | 13,044 | |
* | Dresser-Rand Group Inc. | 199,389 | 11,960 |
* | Rowan Cos. plc Class A | 325,175 | 11,079 |
SM Energy Co. | 173,530 | 10,408 | |
* | Cheniere Energy Inc. | 284,292 | 7,892 |
269,325 | |||
Technology (17.3%) | |||
* | Cerner Corp. | 405,137 | 38,930 |
* | Micron Technology Inc. | 2,697,919 | 38,661 |
Xilinx Inc. | 691,104 | 27,375 | |
* | Catamaran Corp. | 539,166 | 26,268 |
KLA-Tencor Corp. | 434,414 | 24,210 | |
Avago Technologies Ltd. | |||
Class A | 646,715 | 24,174 | |
* | Equinix Inc. | 129,255 | 23,876 |
* | Red Hat Inc. | 496,645 | 23,750 |
Linear Technology Corp. | 610,957 | 22,508 |
55
Mid-Cap Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Teradata Corp. | 427,878 | 21,492 |
Maxim Integrated | |||
Products Inc. | 762,389 | 21,179 | |
* | Autodesk Inc. | 588,828 | 19,985 |
* | Cree Inc. | 308,925 | 19,728 |
* | SanDisk Corp. | 318,703 | 19,473 |
* | Lam Research Corp. | 426,187 | 18,897 |
* | Akamai Technologies Inc. | 442,188 | 18,815 |
Microchip Technology Inc. | 490,580 | 18,274 | |
* | ANSYS Inc. | 244,113 | 17,845 |
* | VeriSign Inc. | 394,896 | 17,636 |
Western Digital Corp. | 278,549 | 17,295 | |
* | F5 Networks Inc. | 206,322 | 14,195 |
* | Gartner Inc. | 233,166 | 13,288 |
* | Rackspace Hosting Inc. | 289,362 | 10,964 |
* | Skyworks Solutions Inc. | 500,457 | 10,955 |
NVIDIA Corp. | 718,768 | 10,084 | |
* | ServiceNow Inc. | 228,578 | 9,232 |
* | TIBCO Software Inc. | 408,158 | 8,735 |
* | Nuance | ||
Communications Inc. | 374,399 | 6,881 | |
* | Workday Inc. Class A | 88,794 | 5,691 |
* | Informatica Corp. | 141,561 | 4,952 |
* | MICROS Systems Inc. | 103,017 | 4,445 |
* | Palo Alto Networks Inc. | 41,796 | 1,762 |
561,555 | |||
Telecommunications (0.8%) | |||
* | SBA Communications | ||
Corp. Class A | 334,204 | 24,771 | |
Utilities (1.4%) | |||
* | Calpine Corp. | 1,072,770 | 22,775 |
NRG Energy Inc. | 844,617 | 22,551 | |
45,326 | |||
Total Common Stocks | |||
(Cost $2,787,088) | 3,245,760 | ||
Temporary Cash Investments (0.1%) | |||
Money Market Fund (0.0%) | |||
1,2 | Vanguard Market | ||
Liquidity Fund, 0.127% | 1,175,002 | 1,175 |
Face | Market | ||
Amount | Value | ||
($000) | ($000) | ||
U.S. Government and Agency Obligations (0.1%) | |||
3 | Fannie Mae Discount | ||
Notes, 0.125%, 9/25/13 | 100 | 100 | |
4 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.100%-0.110%, 9/20/13 | 3,000 | 2,999 | |
3,099 | |||
Total Temporary Cash Investments | |||
(Cost $4,274) | 4,274 | ||
Total Investments (100.1%) | |||
(Cost $2,791,362) | 3,250,034 | ||
Other Assets and Liabilities (-0.1%) | |||
Other Assets | 3,957 | ||
Liabilities2 | (7,195) | ||
(3,238) | |||
Net Assets (100%) | 3,246,796 |
56
Mid-Cap Growth Index Fund
At June 30, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 3,012,813 |
Undistributed Net Investment Income | 7,602 |
Accumulated Net Realized Losses | (232,291) |
Unrealized Appreciation (Depreciation) | 458,672 |
Net Assets | 3,246,796 |
Investor Shares—Net Assets | |
Applicable to 16,939,555 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 520,344 |
Net Asset Value Per Share— | |
Investor Shares | $30.72 |
Admiral Shares—Net Assets | |
Applicable to 34,981,730 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,177,271 |
Net Asset Value Per Share— | |
Admiral Shares | $33.65 |
ETF Shares—Net Assets | |
Applicable to 19,816,121 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,549,181 |
Net Asset Value Per Share— | |
ETF Shares | $78.18 |
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 $1,129,000.
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 $1,175,000 of collateral received for securities on loan.
3 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
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.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
57
Mid-Cap Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 11,131 |
Interest1 | 7 |
Securities Lending | 241 |
Total Income | 11,379 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 138 |
Management and Administrative—Investor Shares | 518 |
Management and Administrative—Admiral Shares | 340 |
Management and Administrative—ETF Shares | 402 |
Marketing and Distribution—Investor Shares | 74 |
Marketing and Distribution—Admiral Shares | 103 |
Marketing and Distribution—ETF Shares | 172 |
Custodian Fees | 33 |
Shareholders’ Reports—Investor Shares | 7 |
Shareholders’ Reports—Admiral Shares | 5 |
Shareholders’ Reports—ETF Shares | 22 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 1,816 |
Net Investment Income | 9,563 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 171,784 |
Futures Contracts | (1,778) |
Realized Net Gain (Loss) | 170,006 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 194,639 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 374,208 |
1 Interest income from an affiliated company of the fund was $5,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
58
Mid-Cap Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 9,563 | 17,113 |
Realized Net Gain (Loss) | 170,006 | 78,605 |
Change in Unrealized Appreciation (Depreciation) | 194,639 | 236,438 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 374,208 | 332,156 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (54) | (2,603) |
Admiral Shares | (166) | (6,255) |
ETF Shares | (247) | (8,280) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
ETF Shares | — | — |
Total Distributions | (467) | (17,138) |
Capital Share Transactions | ||
Investor Shares | (30,042) | (90,935) |
Admiral Shares | 133,352 | 299,717 |
ETF Shares | 174,199 | (51,292) |
Net Increase (Decrease) from Capital Share Transactions | 277,509 | 157,490 |
Total Increase (Decrease) | 651,250 | 472,508 |
Net Assets | ||
Beginning of Period | 2,595,546 | 2,123,038 |
End of Period1 | 3,246,796 | 2,595,546 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $7,602,000 and ($1,494,000).
See accompanying Notes, which are an integral part of the Financial Statements.
59
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $26.99 | $23.43 | $24.46 | $19.05 | $13.43 | $25.50 |
Investment Operations | ||||||
Net Investment Income | .073 | .146 | .087 | .1041 | .084 | .059 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.660 | 3.559 | (1.027) | 5.408 | 5.629 | (12.065) |
Total from Investment Operations | 3.733 | 3.705 | (.940) | 5.512 | 5.713 | (12.006) |
Distributions | ||||||
Dividends from Net Investment Income | (.003) | (.145) | (.090) | (.102) | (.093) | (.064) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.003) | (.145) | (.090) | (.102) | (.093) | (.064) |
Net Asset Value, End of Period | $30.72 | $26.99 | $23.43 | $24.46 | $19.05 | $13.43 |
Total Return2 | 13.83% | 15.81% | -3.84% | 28.93% | 42.54% | -47.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $520 | $483 | $503 | $958 | $546 | $275 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.26% | 0.30% | 0.25% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.51% | 0.58% | 0.35% | 0.57%1 | 0.55% | 0.37% |
Portfolio Turnover Rate3 | 69% | 38% | 41% | 38% | 43% | 54% |
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 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.
60
Mid-Cap Growth Index Fund
Financial Highlights
Admiral Shares | |||
Six Months | Year | Sept. 27, | |
Ended | Ended | 20111 to | |
June 30, | Dec. 31, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $29.55 | $25.66 | $25.00 |
Investment Operations | |||
Net Investment Income | .104 | .205 | .027 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.001 | 3.889 | 0.736 |
Total from Investment Operations | 4.105 | 4.094 | 0.763 |
Distributions | |||
Dividends from Net Investment Income | (.005) | (.204) | (.103) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.005) | (.204) | (.103) |
Net Asset Value, End of Period | $33.65 | $29.55 | $25.66 |
Total Return2 | 13.89% | 15.96% | 3.05% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $1,177 | $913 | $525 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 0.66% | 0.72% | 0.49%3 |
Portfolio Turnover Rate4 | 69% | 38% | 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.
61
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $68.64 | $59.61 | $62.23 | $48.45 | $34.12 | $64.85 |
Investment Operations | ||||||
Net Investment Income | .244 | .474 | .316 | .3261 | .267 | .214 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 9.309 | 9.029 | (2.617) | 13.776 | 14.353 | (30.717) |
Total from Investment Operations | 9.553 | 9.503 | (2.301) | 14.102 | 14.620 | (30.503) |
Distributions | ||||||
Dividends from Net Investment Income | (.013) | (.473) | (.319) | (.322) | (.290) | (.227) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.013) | (.473) | (.319) | (.322) | (.290) | (.227) |
Net Asset Value, End of Period | $78.18 | $68.64 | $59.61 | $62.23 | $48.45 | $34.12 |
Total Return | 13.92% | 15.94% | -3.70% | 29.11% | 42.85% | -47.02% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,549 | $1,200 | $1,095 | $1,030 | $646 | $413 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.66% | 0.72% | 0.49% | 0.71%1 | 0.71% | 0.50% |
Portfolio Turnover Rate2 | 69% | 38% | 41% | 38% | 43% | 54% |
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 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
62
Mid-Cap Growth Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers 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 NYSE Arca; they can be purchased and sold through a broker.
On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Mid Cap Growth Index to the CRSP US Mid Cap Growth Index. The benchmark change was effective on April 17, 2013. The fund’s investment objective has not changed.
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. 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, 2009–2012), and for the period ended June 30, 2013, 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
63
Mid-Cap Growth Index Fund
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, 2013, the fund had contributed capital of $398,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.16% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 3,245,760 | — | — |
Temporary Cash Investments | 1,175 | 3,099 | — |
Total | 3,246,935 | 3,099 | — |
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.
64
Mid-Cap Growth Index Fund
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at At December 31, 2012, the fund had available capital losses totaling $402,254,000 to offset future net capital gains. Of this amount, $286,740,000 is subject to expiration dates; $203,722,000 may be used to offset future net capital gains through December 31, 2017, and $83,018,000 through December 31, 2018. Capital losses of $115,514,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $2,791,362,000. Net unrealized appreciation of investment securities for tax purposes was $458,672,000, consisting of unrealized gains of $516,827,000 on securities that had risen in value since their purchase and $58,155,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2013, the fund purchased $1,910,366,000 of investment securities and sold $1,626,018,000 of investment securities, other than temporary cash investments. Purchases and sales include $171,640,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 103,033 | 3,472 | 214,387 | 8,282 |
Issued in Lieu of Cash Distributions | 51 | 2 | 2,430 | 90 |
Redeemed | (133,126) | (4,427) | (307,752) | (11,934) |
Net Increase (Decrease)—Investor Shares | (30,042) | (953) | (90,935) | (3,562) |
Admiral Shares | ||||
Issued | 271,971 | 8,331 | 514,031 | 17,978 |
Issued in Lieu of Cash Distributions | 155 | 5 | 5,791 | 196 |
Redeemed | (138,774) | (4,238) | (220,105) | (7,742) |
Net Increase (Decrease)—Admiral Shares | 133,352 | 4,098 | 299,717 | 10,432 |
ETF Shares | ||||
Issued | 174,199 | 2,334 | 464,982 | 7,004 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | — | — | (516,274) | (7,900) |
Net Increase (Decrease)—ETF Shares | 174,199 | 2,334 | (51,292) | (896) |
G. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
65
Mid-Cap Value Index Fund
Fund Profile
As of June 30, 2013
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 | 1.75% | 1.90% | 1.90% |
Portfolio Characteristics | |||
CRSP US | DJ U.S. | ||
Mid Cap | Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 204 | 204 | 3,622 |
Median Market Cap | $8.6B | $8.6B | $38.5B |
Price/Earnings Ratio | 18.2x | 18.2x | 18.4x |
Price/Book Ratio | 1.9x | 1.9x | 2.3x |
Return on Equity | 11.6% | 11.6% | 16.4% |
Earnings Growth | |||
Rate | 5.5% | 5.5% | 10.7% |
Dividend Yield | 2.0% | 2.0% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 49% | — | — |
Short-Term | 0.0% | — | — |
Sector Diversification (% of equity exposure)
CRSP US | DJ U.S. | ||
Mid Cap | Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Basic Materials | 5.8% | 5.8% | 2.9% |
Consumer Goods | 16.4 | 16.4 | 10.6 |
Consumer Services | 12.6 | 12.6 | 13.4 |
Financials | 22.7 | 22.8 | 18.9 |
Health Care | 8.1 | 8.1 | 11.7 |
Industrials | 13.4 | 13.4 | 12.8 |
Oil & Gas | 4.6 | 4.5 | 9.6 |
Technology | 6.1 | 6.1 | 14.2 |
Telecommunications | 0.8 | 0.8 | 2.5 |
Utilities | 9.5 | 9.5 | 3.4 |
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the annualized expense ratios were 0.24% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for ETF Shares.
Volatility Measures | ||
Spliced | DJ U.S. | |
Mid Cap | Total Market | |
Value Index | FA Index | |
R-Squared | 1.00 | 0.97 |
Beta | 1.00 | 1.05 |
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)
Macy's Inc. | Broadline Retailers | 1.4% |
Delta Air Lines Inc. | Airlines | 1.2 |
Delphi Automotive plc | Auto Parts | 1.2 |
Mattel Inc. | Toys | 1.2 |
ConAgra Foods Inc. | Food Products | 1.1 |
Hartford Financial | ||
Services Group Inc. | Full Line Insurance | 1.0 |
Seagate Technology plc | Computer Hardware | 1.0 |
Regions Financial Corp. | Banks | 1.0 |
Northeast Utilities | Conventional | |
Electricity | 1.0 | |
M&T Bank Corp. | Banks | 1.0 |
Top Ten | 11.1% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/midcapx68x1.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, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/midcapx69x1.jpg)
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 8/24/2006 | 27.27% | 9.60% | 6.47% |
Admiral Shares | 9/27/2011 | 27.47 | — | 25.12 |
ETF Shares | 8/17/2006 | |||
Market Price | 27.51 | 9.76 | 6.51 | |
Net Asset Value | 27.49 | 9.76 | 6.51 |
See Financial Highlights for dividend and capital gains information.
67
Mid-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As o June 30, 2013
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 | |||
Basic Materials (5.8%) | |||
CF Industries Holdings Inc. | 154,769 | 26,543 | |
Sigma-Aldrich Corp. | 314,127 | 25,243 | |
Celanese Corp. Class A | 416,735 | 18,670 | |
Ashland Inc. | 206,341 | 17,229 | |
CONSOL Energy Inc. | 596,788 | 16,173 | |
International Flavors | |||
& Fragrances Inc. | 212,719 | 15,988 | |
* | WR Grace & Co. | 188,207 | 15,817 |
Albemarle Corp. | 229,153 | 14,274 | |
Reliance Steel | |||
& Aluminum Co. | 190,018 | 12,458 | |
Avery Dennison Corp. | 259,974 | 11,117 | |
Alcoa Inc. | 1,395,636 | 10,914 | |
Peabody Energy Corp. | 703,157 | 10,294 | |
Huntsman Corp. | 503,221 | 8,333 | |
^ | Cliffs Natural | ||
Resources Inc. | 199,778 | 3,246 | |
206,299 | |||
Consumer Goods (16.4%) | |||
Delphi Automotive plc | 816,041 | 41,365 | |
Mattel Inc. | 901,527 | 40,848 | |
ConAgra Foods Inc. | 1,087,938 | 38,002 | |
Harley-Davidson Inc. | 585,050 | 32,072 | |
Genuine Parts Co. | 384,274 | 30,000 | |
Clorox Co. | 343,725 | 28,577 | |
JM Smucker Co. | 266,016 | 27,440 | |
Beam Inc. | 419,975 | 26,505 | |
Bunge Ltd. | 364,673 | 25,808 | |
Dr Pepper Snapple | |||
Group Inc. | 532,642 | 24,464 | |
Coca-Cola Enterprises Inc. | 679,574 | 23,894 | |
Avon Products Inc. | 1,130,448 | 23,773 | |
Whirlpool Corp. | 206,719 | 23,640 | |
* | Constellation Brands Inc. | ||
Class A | 402,231 | 20,964 | |
Newell Rubbermaid Inc. | 753,017 | 19,767 | |
Tyson Foods Inc. Class A | 743,488 | 19,093 |
Market | |||
Value | |||
Shares | ($000) | ||
* | TRW Automotive | ||
Holdings Corp. | 282,266 | 18,754 | |
Molson Coors Brewing Co. | |||
Class B | 370,928 | 17,753 | |
Energizer Holdings Inc. | 162,359 | 16,319 | |
DR Horton Inc. | 757,080 | 16,111 | |
Lear Corp. | 241,180 | 14,582 | |
Lennar Corp. Class A | 399,256 | 14,389 | |
Hasbro Inc. | 303,781 | 13,618 | |
Hormel Foods Corp. | 345,385 | 13,325 | |
* | Smithfield Foods Inc. | 181,081 | 5,930 |
Lennar Corp. Class B | 24,480 | 694 | |
577,687 | |||
Consumer Services (12.6%) | |||
Macy’s Inc. | 1,001,519 | 48,073 | |
* | Delta Air Lines Inc. | 2,235,727 | 41,830 |
AmerisourceBergen Corp. | |||
Class A | 602,748 | 33,651 | |
Staples Inc. | 1,732,906 | 27,484 | |
* | United Continental | ||
Holdings Inc. | 871,682 | 27,275 | |
* | Hertz Global Holdings Inc. | 1,044,830 | 25,912 |
DISH Network Corp. | |||
Class A | 536,190 | 22,799 | |
H&R Block Inc. | 710,809 | 19,725 | |
Nielsen Holdings NV | 585,649 | 19,672 | |
Best Buy Co. Inc. | 709,680 | 19,396 | |
Darden Restaurants Inc. | 338,922 | 17,109 | |
Expedia Inc. | 271,513 | 16,332 | |
Interpublic Group | |||
of Cos. Inc. | 1,118,205 | 16,270 | |
Advance Auto Parts Inc. | 190,488 | 15,462 | |
Safeway Inc. | 629,375 | 14,891 | |
Signet Jewelers Ltd. | 210,990 | 14,227 | |
* | MGM Resorts | ||
International | 958,111 | 14,161 | |
Royal Caribbean | |||
Cruises Ltd. | 343,413 | 11,449 | |
International Game | |||
Technology | 679,752 | 11,359 |
68
Mid-Cap Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Dun & Bradstreet Corp. | 104,291 | 10,163 | |
* | JC Penney Co. Inc. | 373,140 | 6,373 |
Burger King Worldwide Inc. | 274,581 | 5,357 | |
*,^ | Sears Holdings Corp. | 110,914 | 4,667 |
443,637 | |||
Financials (22.7%) | |||
Hartford Financial | |||
Services Group Inc. | 1,189,967 | 36,794 | |
Regions Financial Corp. | 3,689,109 | 35,157 | |
M&T Bank Corp. | 303,108 | 33,872 | |
Principal Financial | |||
Group Inc. | 765,887 | 28,683 | |
KeyCorp | 2,402,630 | 26,525 | |
SLM Corp. | 1,159,530 | 26,507 | |
NYSE Euronext | 634,810 | 26,281 | |
Lincoln National Corp. | 700,712 | 25,555 | |
Western Union Co. | 1,454,196 | 24,881 | |
* | CIT Group Inc. | 525,361 | 24,498 |
American Capital | |||
Agency Corp. | 1,034,833 | 23,791 | |
XL Group plc Class A | 756,152 | 22,927 | |
Kimco Realty Corp. | 1,013,598 | 21,721 | |
Realty Income Corp. | 512,257 | 21,474 | |
SL Green Realty Corp. | 239,097 | 21,086 | |
Unum Group | 696,707 | 20,462 | |
Plum Creek Timber Co. Inc. | 425,044 | 19,837 | |
Comerica Inc. | 487,177 | 19,404 | |
Willis Group Holdings plc | 457,036 | 18,638 | |
Cincinnati Financial Corp. | 404,949 | 18,587 | |
Equifax Inc. | 314,626 | 18,541 | |
* | Markel Corp. | 34,165 | 18,003 |
Huntington | |||
Bancshares Inc. | 2,189,263 | 17,251 | |
* | Arch Capital Group Ltd. | 330,004 | 16,966 |
UDR Inc. | 654,498 | 16,683 | |
Torchmark Corp. | 241,341 | 15,721 | |
New York Community | |||
Bancorp Inc. | 1,093,187 | 15,305 | |
Zions Bancorporation | 481,006 | 13,891 | |
Everest Re Group Ltd. | 104,298 | 13,377 | |
Reinsurance Group of | |||
America Inc. Class A | 189,119 | 13,070 | |
PartnerRe Ltd. | 142,057 | 12,865 | |
People’s United | |||
Financial Inc. | 863,268 | 12,863 | |
Axis Capital Holdings Ltd. | 279,860 | 12,812 | |
First Republic Bank | 324,738 | 12,496 | |
WR Berkley Corp. | 284,086 | 11,608 | |
Hudson City Bancorp Inc. | 1,241,339 | 11,371 | |
Macerich Co. | 179,353 | 10,935 | |
Jones Lang LaSalle Inc. | 115,091 | 10,489 | |
NASDAQ OMX Group Inc. | 302,817 | 9,929 | |
Legg Mason Inc. | 310,517 | 9,629 | |
* | Alleghany Corp. | 20,800 | 7,973 |
* | Realogy Holdings Corp. | 152,092 | 7,307 |
Market | |||
Value | |||
Shares | ($000) | ||
LPL Financial Holdings Inc. | 180,691 | 6,823 | |
Assurant Inc. | 100,355 | 5,109 | |
* | ING US Inc. | 167,422 | 4,530 |
802,227 | |||
Health Care (8.0%) | |||
* | Life Technologies Corp. | 449,798 | 33,290 |
* | Boston Scientific Corp. | 3,521,301 | 32,643 |
* | Mylan Inc. | 998,908 | 30,996 |
Quest Diagnostics Inc. | 412,520 | 25,011 | |
* | Laboratory Corp. of | ||
America Holdings | 242,679 | 24,292 | |
CR Bard Inc. | 210,066 | 22,830 | |
* | Henry Schein Inc. | 227,511 | 21,784 |
* | CareFusion Corp. | 573,797 | 21,144 |
* | Hospira Inc. | 431,993 | 16,550 |
Universal Health | |||
Services Inc. Class B | 236,803 | 15,856 | |
* | Hologic Inc. | 703,003 | 13,568 |
* | Forest Laboratories Inc. | 313,272 | 12,844 |
Patterson Cos. Inc. | 207,877 | 7,816 | |
* | Endo Health Solutions Inc. | 146,347 | 5,384 |
284,008 | |||
Industrials (13.3%) | |||
* | Fiserv Inc. | 347,648 | 30,388 |
Fidelity National | |||
Information Services Inc. | 688,586 | 29,499 | |
Rockwell Collins Inc. | 354,185 | 22,459 | |
Flowserve Corp. | 373,047 | 20,148 | |
L-3 Communications | |||
Holdings Inc. | 223,175 | 19,135 | |
Textron Inc. | 725,285 | 18,894 | |
* | Jacobs Engineering | ||
Group Inc. | 324,398 | 17,884 | |
Vulcan Materials Co. | 339,217 | 16,422 | |
Ball Corp. | 388,324 | 16,131 | |
MeadWestvaco Corp. | 461,939 | 15,757 | |
* | Crown Holdings Inc. | 375,457 | 15,443 |
Xerox Corp. | 1,522,375 | 13,808 | |
Hubbell Inc. Class B | 136,182 | 13,482 | |
Joy Global Inc. | 277,417 | 13,463 | |
Xylem Inc. | 483,638 | 13,029 | |
Timken Co. | 225,764 | 12,706 | |
Fluor Corp. | 212,486 | 12,603 | |
KBR Inc. | 385,892 | 12,541 | |
Cintas Corp. | 271,718 | 12,374 | |
Sealed Air Corp. | 511,181 | 12,243 | |
MDU Resources Group Inc. | 467,960 | 12,125 | |
AGCO Corp. | 241,166 | 12,104 | |
* | Avnet Inc. | 357,534 | 12,013 |
Iron Mountain Inc. | 447,988 | 11,921 | |
* | Owens Corning | 294,666 | 11,516 |
Manpowergroup Inc. | 201,283 | 11,030 | |
* | Arrow Electronics Inc. | 273,006 | 10,879 |
FLIR Systems Inc. | 370,011 | 9,979 | |
Jabil Circuit Inc. | 475,763 | 9,696 |
69
Mid-Cap Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
SPX Corp. | 115,960 | 8,347 | |
* | Owens-Illinois Inc. | 214,612 | 5,964 |
Gardner Denver Inc. | 64,222 | 4,828 | |
Molex Inc. Class A | 192,760 | 4,792 | |
Molex Inc. | 162,110 | 4,756 | |
Allison Transmission | |||
Holdings Inc. | 96,770 | 2,233 | |
470,592 | |||
Oil & Gas (4.5%) | |||
HollyFrontier Corp. | 530,183 | 22,681 | |
Tesoro Corp. | 354,576 | 18,551 | |
OGE Energy Corp. | 258,765 | 17,648 | |
* | Denbury Resources Inc. | 973,464 | 16,860 |
Helmerich & Payne Inc. | 263,898 | 16,480 | |
Cimarex Energy Co. | 214,386 | 13,933 | |
Diamond Offshore | |||
Drilling Inc. | 181,333 | 12,474 | |
* | Weatherford | ||
International Ltd. | 899,514 | 12,323 | |
Nabors Industries Ltd. | 730,624 | 11,186 | |
Energen Corp. | 188,397 | 9,846 | |
* | Newfield Exploration Co. | 176,471 | 4,216 |
* | Ultra Petroleum Corp. | 189,587 | 3,758 |
159,956 | |||
Technology (6.1%) | |||
Seagate Technology plc | 795,511 | 35,663 | |
* | SanDisk Corp. | 317,649 | 19,408 |
Western Digital Corp. | 277,491 | 17,229 | |
Computer Sciences Corp. | 392,190 | 17,166 | |
* | BMC Software Inc. | 372,327 | 16,807 |
* | Synopsys Inc. | 400,937 | 14,334 |
Harris Corp. | 286,097 | 14,090 | |
SAIC Inc. | 894,029 | 12,454 | |
* | Juniper Networks Inc. | 627,702 | 12,121 |
Marvell Technology | |||
Group Ltd. | 1,027,609 | 12,033 | |
Garmin Ltd. | 306,384 | 11,079 | |
* | LSI Corp. | 1,433,589 | 10,236 |
NVIDIA Corp. | 716,045 | 10,046 | |
* | Nuance | ||
Communications Inc. | 373,033 | 6,856 | |
* | ON Semiconductor Corp. | 587,443 | 4,747 |
214,269 | |||
Telecommunications (0.8%) | |||
Windstream Corp. | 1,547,274 | 11,929 | |
Frontier | |||
Communications Corp. | 2,604,359 | 10,548 | |
T-Mobile US Inc. | 236,403 | 5,865 | |
28,342 | |||
Utilities (9.5%) | |||
Northeast Utilities | 821,271 | 34,510 | |
DTE Energy Co. | 454,049 | 30,426 | |
CenterPoint Energy Inc. | 1,118,511 | 26,274 | |
Wisconsin Energy Corp. | 596,998 | 24,471 |
Market | |||
Value | |||
Shares | ($000) | ||
NiSource Inc. | 814,519 | 23,328 | |
ONEOK Inc. | 537,999 | 22,225 | |
Ameren Corp. | 633,383 | 21,814 | |
AES Corp. | 1,656,286 | 19,859 | |
American Water | |||
Works Co. Inc. | 463,905 | 19,127 | |
CMS Energy Corp. | 696,509 | 18,924 | |
SCANA Corp. | 327,744 | 16,092 | |
Pinnacle West Capital Corp. | 286,980 | 15,919 | |
Alliant Energy Corp. | 289,576 | 14,600 | |
Pepco Holdings Inc. | 648,871 | 13,081 | |
Integrys Energy Group Inc. | 206,568 | 12,090 | |
National Fuel Gas Co. | 207,085 | 12,000 | |
TECO Energy Inc. | 539,208 | 9,269 | |
334,009 | |||
Total Common Stocks | |||
(Cost $3,106,765) | 3,521,026 | ||
Temporary Cash Investments (0.5%)1 | |||
Money Market Fund (0.5%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, 0.127% | 16,352,075 | 16,352 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Fannie Mae Discount | ||
Notes, 0.125%, 9/25/13 | 300 | 300 | |
5,6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.110%, 9/20/13 | 1,000 | 1,000 | |
1,300 | |||
Total Temporary Cash Investments | |||
(Cost $17,652) | 17,652 | ||
Total Investments (100.2%) | |||
(Cost $3,124,417) | 3,538,678 | ||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | 9,495 | ||
Liabilities3 | (15,146) | ||
(5,651) | |||
Net Assets (100%) | 3,533,027 |
70
Mid-Cap Value Index Fund
At June 30, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 3,131,952 |
Undistributed Net Investment Income | 29,914 |
Accumulated Net Realized Losses | (42,824) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 414,261 |
Futures Contracts | (276) |
Net Assets | 3,533,027 |
Investor Shares—Net Assets | |
Applicable to 21,064,442 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 569,654 |
Net Asset Value Per Share— | |
Investor Shares | $27.04 |
Admiral Shares—Net Assets | |
Applicable to 35,350,930 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,258,757 |
Net Asset Value Per Share— | |
Admiral Shares | $35.61 |
ETF Shares—Net Assets | |
Applicable to 24,798,082 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,704,616 |
Net Asset Value Per Share— | |
ETF Shares | $68.74 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $5,277,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $5,519,000 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Securities with a value of $700,000 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.
See accompanying Notes, which are an integral part of the Financial Statements.
71
Mid-Cap Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 33,185 |
Interest1 | 10 |
Securities Lending | 186 |
Total Income | 33,381 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 120 |
Management and Administrative—Investor Shares | 541 |
Management and Administrative—Admiral Shares | 303 |
Management and Administrative—ETF Shares | 412 |
Marketing and Distribution—Investor Shares | 74 |
Marketing and Distribution—Admiral Shares | 114 |
Marketing and Distribution—ETF Shares | 180 |
Custodian Fees | 61 |
Shareholders’ Reports—Investor Shares | 7 |
Shareholders’ Reports—Admiral Shares | 5 |
Shareholders’ Reports—ETF Shares | 36 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 1,855 |
Net Investment Income | 31,526 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 171,011 |
Futures Contracts | (1,383) |
Realized Net Gain (Loss) | 169,628 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 238,154 |
Futures Contracts | (276) |
Change in Unrealized Appreciation (Depreciation) | 237,878 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 439,032 |
1 Interest income from an affiliated company of the fund was $7,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
72
Mid-Cap Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 31,526 | 44,513 |
Realized Net Gain (Loss) | 169,628 | 51,474 |
Change in Unrealized Appreciation (Depreciation) | 237,878 | 177,898 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 439,032 | 273,885 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (106) | (8,569) |
Admiral Shares | (265) | (13,598) |
ETF Shares | (416) | (22,017) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
ETF Shares | — | — |
Total Distributions | (787) | (44,184) |
Capital Share Transactions | ||
Investor Shares | 587 | (27,139) |
Admiral Shares | 396,360 | 405,667 |
ETF Shares | 339,650 | 242,249 |
Net Increase (Decrease) from Capital Share Transactions | 736,597 | 620,777 |
Total Increase (Decrease) | 1,174,842 | 850,478 |
Net Assets | ||
Beginning of Period | 2,358,185 | 1,507,707 |
End of Period1 | 3,533,027 | 2,358,185 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $29,914,000 and ($825,000).
See accompanying Notes, which are an integral part of the Financial Statements.
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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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $23.16 | $20.34 | $20.85 | $17.45 | $12.92 | $20.95 |
Investment Operations | ||||||
Net Investment Income | .228 | .423 | .417 | .371 | .300 | .4661 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.657 | 2.813 | (.509) | 3.403 | 4.551 | (8.156) |
Total from Investment Operations | 3.885 | 3.236 | (.092) | 3.774 | 4.851 | (7.690) |
Distributions | ||||||
Dividends from Net Investment Income | (.005) | (.416) | (.418) | (.374) | (.321) | (.340) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.005) | (.416) | (.418) | (.374) | (.321) | (.340) |
Net Asset Value, End of Period | $27.04 | $23.16 | $20.34 | $20.85 | $17.45 | $12.92 |
Total Return2 | 16.78% | 15.91% | -0.44% | 21.63% | 37.61% | -36.64% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $570 | $487 | $455 | $683 | $459 | $217 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.26% | 0.30% | 0.25% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.04% | 2.21% | 1.97% | 1.99% | 2.14% | 2.73% |
Portfolio Turnover Rate3 | 49% | 33% | 41% | 37% | 47% | 45% |
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 | Year | Sept. 27, | |
Ended | Ended | 20111 to | |
June 30, | Dec. 31, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $30.47 | $26.77 | $25.00 |
Investment Operations | |||
Net Investment Income | .325 | .598 | .157 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.824 | 3.692 | 2.165 |
Total from Investment Operations | 5.149 | 4.290 | 2.322 |
Distributions | |||
Dividends from Net Investment Income | (.009) | (.590) | (.552) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.009) | (.590) | (.552) |
Net Asset Value, End of Period | $35.61 | $30.47 | $26.77 |
Total Return2 | 16.90% | 16.02% | 9.29% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $1,259 | $724 | $268 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 2.19% | 2.35% | 2.11%3 |
Portfolio Turnover Rate4 | 49% | 33% | 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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $58.82 | $51.67 | $52.97 | $44.31 | $32.80 | $53.16 |
Investment Operations | ||||||
Net Investment Income | .627 | 1.156 | 1.134 | 1.004 | .812 | 1.2611 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 9.311 | 7.130 | (1.297) | 8.669 | 11.562 | (20.716) |
Total from Investment Operations | 9.938 | 8.286 | (.163) | 9.673 | 12.374 | (19.455) |
Distributions | ||||||
Dividends from Net Investment Income | (.018) | (1.136) | (1.137) | (1.013) | (.864) | (.905) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.018) | (1.136) | (1.137) | (1.013) | (.864) | (.905) |
Net Asset Value, End of Period | $68.74 | $58.82 | $51.67 | $52.97 | $44.31 | $32.80 |
Total Return | 16.90% | 16.04% | -0.32% | 21.83% | 37.75% | -36.53% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,705 | $1,147 | $785 | $746 | $583 | $359 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.19% | 2.35% | 2.11% | 2.13% | 2.30% | 2.86% |
Portfolio Turnover Rate2 | 49% | 33% | 41% | 37% | 47% | 45% |
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 NYSE Arca; they can be purchased and sold through a broker.
On October 2, 2012, Vanguard announced an upcoming change in the fund’s benchmark index from the MSCI US Mid Cap Value Index to the CRSP US Mid Cap Value Index. The benchmark change was effective on April 17, 2013. The fund’s investment objective is not changing.
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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
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Mid-Cap Value Index Fund
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
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, 2009–2012), and for the period ended June 30, 2013, 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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, 2013, the fund had contributed capital of $429,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.17% 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.
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Mid-Cap Value Index Fund
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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 3,521,026 | — | — |
Temporary Cash Investments | 16,352 | 1,300 | — |
Futures Contracts—Liabilities1 | (50) | — | — |
Total | 3,537,328 | 1,300 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2013, 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 500 Index | September 2013 | 82 | 6,557 | (149) |
S&P 500 Index | September 2013 | 11 | 4,398 | (127) |
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, 2013, the fund realized $66,467,000 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, 2012, the fund had available capital losses totaling $145,970,000 to offset future net capital gains. Of this amount, $139,259,000 is subject to expiration dates; $75,804,000 may be used to offset future net capital gains through December 31, 2017, and $63,455,000 through December 31, 2018. Capital losses of $6,711,000 realized beginning in fiscal
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Mid-Cap Value Index Fund
2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $3,124,417,000. Net unrealized appreciation of investment securities for tax purposes was $414,261,000, consisting of unrealized gains of $468,693,000 on securities that had risen in value since their purchase and $54,432,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $2,150,958,000 of investment securities and sold $1,392,406,000 of investment securities, other than temporary cash investments. Purchases and sales include $494,674,000 and $155,771,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 129,615 | 4,987 | 213,885 | 9,661 |
Issued in Lieu of Cash Distributions | 99 | 4 | 7,667 | 331 |
Redeemed | (129,127) | (4,956) | (248,691) | (11,345) |
Net Increase (Decrease)—Investor Shares | 587 | 35 | (27,139) | (1,353) |
Admiral Shares | ||||
Issued | 517,797 | 15,114 | 484,978 | 16,495 |
Issued in Lieu of Cash Distributions | 239 | 7 | 12,287 | 403 |
Redeemed | (121,676) | (3,547) | (91,598) | (3,125) |
Net Increase (Decrease)—Admiral Shares | 396,360 | 11,574 | 405,667 | 13,773 |
ETF Shares | ||||
Issued | 495,141 | 7,603 | 465,481 | 8,210 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (155,491) | (2,300) | (223,232) | (3,900) |
Net Increase (Decrease)—ETF Shares | 339,650 | 5,303 | 242,249 | 4,310 |
H. In preparing the financial statements as of June 30, 2013, 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, 2013* | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2012 | 6/30/2013 | Period | |
Based on Actual Fund Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,155.81 | $1.28 |
Admiral Shares | 1,000.00 | 1,156.50 | 0.53 |
Signal Shares | 1,000.00 | 1,156.70 | 0.53 |
Institutional Shares | 1,000.00 | 1,156.75 | 0.43 |
Institutional Plus Shares | 1,000.00 | 1,156.81 | 0.32 |
ETF Shares | 1,000.00 | 1,156.54 | 0.53 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,155.06 | $1.28 |
Admiral Shares | 1,000.00 | 1,155.59 | 0.48 |
Signal Shares | 1,000.00 | 1,155.32 | 0.48 |
Institutional Shares | 1,000.00 | 1,155.65 | 0.43 |
Institutional Plus Shares | 1,000.00 | 1,155.82 | 0.32 |
ETF Shares | 1,000.00 | 1,155.59 | 0.48 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,138.31 | $1.27 |
Admiral Shares | 1,000.00 | 1,138.92 | 0.48 |
ETF Shares | 1,000.00 | 1,139.18 | 0.48 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,167.75 | $1.29 |
Admiral Shares | 1,000.00 | 1,169.00 | 0.48 |
ETF Shares | 1,000.00 | 1,168.97 | 0.48 |
* The returns used in this table for the Extended Market Index Fund are based on the ending share prices as of June 28, 2013—the month’s last business day—rather than as of June 30, 2013—the financial statement date. For that fund, the total returns as of June 30, 2013, were adjusted because of a significant change in the value of one of the fund’s securities (see the Financial Highlights tables and Note C in the Notes to Financial Statements).
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Six Months Ended June 30, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2012 | 6/30/2013 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Signal Shares | 1,000.00 | 1,024.30 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Institutional Plus Shares | 1,000.00 | 1,024.50 | 0.30 |
ETF Shares | 1,000.00 | 1,024.30 | 0.50 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Signal Shares | 1,000.00 | 1,024.35 | 0.45 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Institutional Plus Shares | 1,000.00 | 1,024.50 | 0.30 |
ETF Shares | 1,000.00 | 1,024.35 | 0.45 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
ETF Shares | 1,000.00 | 1,024.35 | 0.45 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
ETF Shares | 1,000.00 | 1,024.35 | 0.45 |
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, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.09% for ETF Shares; for the Mid-Cap Growth Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for ETF Shares; and for the Mid-Cap Value Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, and 0.09% 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). 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 services 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 relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. 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’ at-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.
Benchmark Information
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.
Spliced Mid Cap Growth Index: MSCI US Mid Cap Growth Index through April 16, 2013; CRSP US Mid Cap Growth Index thereafter.
Spliced Mid Cap Value Index: MSCI US Mid Cap Value Index through April 16, 2013; CRSP US Mid Cap Value Index thereafter.
Spliced Mid-Cap Index: S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index through January 30, 2013; CRSP US Mid Cap Index thereafter.
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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 182 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 | |
Born 1945. Trustee Since December 2001.2 | F. Joseph Loughrey |
Principal Occupation(s) During the Past Five Years: | Born 1949. Trustee Since October 2009. Principal |
Chairman and Chief Executive Officer (retired 2009) | Occupation(s) During the Past Five Years: President |
and President (2006–2008) of Rohm and Haas Co. | and Chief Operating Officer (retired 2009) of Cummins |
(chemicals); Director of Tyco International, Ltd. | Inc. (industrial machinery); Chairman of the Board of |
(diversified manufacturing and services), Hewlett- | Hillenbrand, Inc. (specialized consumer services) and |
Packard Co. (electronic computer manufacturing), | of Oxfam America; Director of SKF AB (industrial |
machinery) and the Lumina Foundation for Education; | Executive Officers | |
Member of the Advisory Council for the College of | ||
Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
the University 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 | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
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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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 | S&P® and S&P 500® are registered trademarks of |
with the offering of shares of any Vanguard | Standard & Poor’s Financial Services LLC (“S&P”) and |
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the fund’s current prospectus. | LLC and its affiliates and sublicensed for certain |
purposes by Vanguard. The S&P Index is a product of | |
All comparative mutual fund data are from Lipper Inc. or | S&P Dow Jones Indices LLC and has been licensed for |
Morningstar, Inc., unless otherwise noted. | use by Vanguard. The Vanguard funds are not |
You can obtain a free copy of Vanguard’s proxy voting | sponsored, endorsed, sold, or promoted by S&P Dow |
guidelines by visiting vanguard.com/proxyreporting or by | Jones Indices LLC, Dow Jones, S&P, or their respective |
calling Vanguard at 800-662-2739. The guidelines are | affiliates, and none of S&P Dow Jones Indices LLC, |
also available from the SEC’s website, sec.gov. In | Dow Jones, S&P, nor their respective affiliates makes |
addition, you may obtain a free report on how your fund | any representation regarding the advisability of |
voted the proxies for securities it owned during the 12 | investing in such products. |
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. | |
© 2013 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q982 082013 |
Semiannual Report | June 30, 2013
Vanguard U.S. Stock Index Funds
Large-Capitalization Portfolios
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/usstock_lgcapx1x2.jpg)
Vanguard Growth Index Fund
Vanguard Value Index Fund
Vanguard Large-Cap Index Fund
> For the six months ended June 30, 2013, returns for Investor Shares of Vanguard’s large-capitalization U.S. stock index funds ranged from 10.52% for Vanguard Growth Index Fund to 16.50% for Vanguard Value Index Fund.
> The funds closely tracked their target indexes and outpaced the average result of peer funds for the period.
> As planned, the funds are now seeking to track new benchmarks.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Growth Index Fund. | 9 |
Value Index Fund. | 29 |
Large-Cap Index Fund. | 49 |
About Your Fund’s Expenses. | 73 |
Trustees Approve Advisory Arrangement. | 76 |
Glossary. | 77 |
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: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended June 30, 2013 | |
Total | |
Returns | |
Vanguard Growth Index Fund | |
Investor Shares | 10.52% |
Admiral™ Shares | 10.63 |
Signal® Shares | 10.60 |
Institutional Shares | 10.61 |
ETF Shares | |
Market Price | 10.61 |
Net Asset Value | 10.60 |
Spliced Growth Index | 10.64 |
Large-Cap Growth Funds Average | 10.15 |
For a benchmark description, see the Glossary. | |
Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Value Index Fund | |
Investor Shares | 16.50% |
Admiral Shares | 16.58 |
Signal Shares | 16.58 |
Institutional Shares | 16.55 |
ETF Shares | |
Market Price | 16.62 |
Net Asset Value | 16.54 |
Spliced Value Index | 16.62 |
Large-Cap Value Funds Average | 15.30 |
For a benchmark description, see the Glossary. | |
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, 2013 | |
Total | |
Returns | |
Vanguard Large-Cap Index Fund | |
Investor Shares | 13.70% |
Admiral Shares | 13.79 |
Signal Shares | 13.77 |
Institutional Shares | 13.78 |
ETF Shares | |
Market Price | 13.75 |
Net Asset Value | 13.78 |
Spliced Large Cap Index | 13.82 |
Large-Cap Core Funds Average | 13.22 |
For a benchmark description, see the Glossary.
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, 2012, Through June 30, 2013 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Growth Index Fund | ||||
Investor Shares | $36.65 | $40.28 | $0.220 | $0.000 |
Admiral Shares | 36.64 | 40.28 | 0.249 | 0.000 |
Signal Shares | 33.93 | 37.29 | 0.231 | 0.000 |
Institutional Shares | 36.64 | 40.27 | 0.252 | 0.000 |
ETF Shares | 71.19 | 78.24 | 0.485 | 0.000 |
Vanguard Value Index Fund | ||||
Investor Shares | $22.93 | $26.42 | $0.285 | $0.000 |
Admiral Shares | 22.93 | 26.42 | 0.303 | 0.000 |
Signal Shares | 23.86 | 27.49 | 0.315 | 0.000 |
Institutional Shares | 22.93 | 26.41 | 0.306 | 0.000 |
ETF Shares | 58.79 | 67.71 | 0.779 | 0.000 |
Vanguard Large-Cap Index Fund | ||||
Investor Shares | $26.32 | $29.67 | $0.250 | $0.000 |
Admiral Shares | 32.90 | 37.09 | 0.337 | 0.000 |
Signal Shares | 28.70 | 32.35 | 0.295 | 0.000 |
Institutional Shares | 135.42 | 152.64 | 1.402 | 0.000 |
ETF Shares | 65.15 | 73.44 | 0.669 | 0.000 |
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![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/usstock_lgcapx6x1.jpg)
Chairman’s Letter
Dear Shareholder,
Vanguard’s three large-capitalization stock index funds rose sharply during the first six months of 2013, as U.S. stocks continued to rally, recording their best first-half performance since 1998. Small- and mid-capitalization stocks generally outdistanced their larger-cap peers for the period, while value-oriented stocks significantly outpaced their growth-oriented counterparts.
For the six months ended June 30, 2013, Vanguard Value Index Fund returned 16.50%, while Vanguard Growth Index Fund returned 10.52%. Vanguard Large-Cap Index Fund, which includes both growth and value stocks, fell in between, returning 13.70%. (All returns are for the funds’ Investor Shares.)
All three funds closely tracked their target indexes for the period; their returns also surpassed the average returns of their respective peer groups.
As we previously announced, the three funds are now seeking to track new benchmark indexes. These new benchmarks are supplied by the University of Chicago’s Center for Research in Security Prices (CRSP). (Please see the Investment Insight on page 8 for more information.)
4
Global stocks notched gains despite some recent turbulence
After staging a stellar performance for most of the first half of 2013, global stocks declined in June. Investors worldwide were spooked by signs of trouble in China’s economy and also by a statement from Federal Reserve Chairman Ben Bernanke that the central bank could begin to reduce its stimulative bond-buying program later this year. Still, U.S. stocks returned about 14% for the six-month period, despite a drop of more than 1% in June.
Markets were clearly unsettled by the prospect of the Fed’s scaling back its stimulus measures, known as “quantitative easing.” However, Vanguard’s chief economist, Joe Davis, pointed to a positive message in the Fed’s evolving stance. “The Federal Reserve is coming closer to the realization that the U.S. economy is stronger today than it was a year ago and so does not need the insurance, so to speak, of additional quantitative easing,” he said.
Developed markets in the Pacific region generally fared better than their European and emerging-market counterparts. Notably, Japanese stocks made a recovery in June from a sharp decline in May.
Bond prices fell sharply in the period’s final months
Bond returns, which sputtered along through most of the period, turned negative in May and retreated
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2013 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.91% | 21.24% | 7.12% |
Russell 2000 Index (Small-caps) | 15.86 | 24.21 | 8.77 |
Russell 3000 Index (Broad U.S. market) | 14.06 | 21.46 | 7.25 |
MSCI All Country World Index ex USA (International) | -0.04 | 13.63 | -0.80 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.44% | -0.69% | 5.19% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -2.69 | 0.24 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.08 | 0.23 |
CPI | |||
Consumer Price Index | 1.70% | 1.75% | 1.31% |
5
further in June. The broad U.S. taxable bond market returned –2.44% for the six months as concerns about the Fed’s plans roiled fixed income investors even more than equity investors. Municipal bonds fared worse than taxable issues, returning –2.69% for the period.
The yield of the 10-year Treasury note finished the six months at 2.47%, jumping from 2.11% at the end of May and 1.67% at the end of April. (Bond yields and prices move in opposite directions.) The Fed kept its target for short-term rates between 0% and 0.25%. Returns from money market funds and savings accounts have been minuscule since the Fed imposed the historically low rates in December 2008 to combat the financial crisis.
Financial and consumer stocks showed notable strength
Despite a small step backward in June, U.S. stocks turned in a strong performance for the first half of 2013. All economic sectors rose, with most posting double- digit gains.
Financials, the largest sector in the Large-Cap and Value Funds, had the biggest impact on their performance. The sector also outperformed the overall return in the Growth Fund, although it has a smaller presence in that portfolio. Diversified financial services companies and commercial banks have profited from better lending conditions and the recovering U.S. housing market, and asset managers thrived as the investing climate kept improving.
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% | 1.28% |
Value Index Fund | 0.24 | 0.10 | 0.10 | 0.08 | 0.10 | 1.19 |
Large-Cap Index Fund | 0.24 | 0.10 | 0.10 | 0.08 | 0.10 | 1.15 |
The fund expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the funds’ annualized expense ratios were: for the Growth Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares; for the Value Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares; and for the Large-Cap Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares. The peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2012.
Peer groups: For the Growth Index Fund, Large-Cap Growth Funds; for the Value Index Fund, Large-Cap Value Funds; and for the Large-Cap Index Fund, Large-Cap Core Funds.
6
Other notable contributors included the health care and consumer services sectors. In the former, pharmaceutical and biotech companies were among the best performers as the industry continued to benefit from favorable rulings by the Food and Drug Administration and improved pipelines of new medicines. Health care providers and services also turned in impressive results.
The consumer services sector was another strong performer as U.S. consumers, more confident about the economy and employment than they have been in several years, spent more on entertainment, shopping, and dining out. Media companies, including cable and satellite operators, notched gains, as did hotels, restaurants, and specialty retailers.
Technology and materials sectors didn’t perform as well as others
Technology was the most notable under-performing sector in the Large-Cap and Growth Funds; it outperformed in the Value Fund as some established hardware and software makers showed improvements, partly through cost-cutting measures. The sector took a hit in the tablet and smartphone arena, however, where competition is fierce and several key players have fallen short of earnings expectations as new products have failed to deliver.
The basic materials sector was the weakest overall performer, with returns below 2% in all three funds as most commodity prices fell. Stocks of metal and coal mining companies particularly weighed on the sector’s performance.
All three funds continued to closely track their benchmarks for the period. This performance is a tribute to the skill of the funds’ advisor, Vanguard Equity Investment Group, which is highly experienced in both risk control and trading efficiency. The advisor was also helped by the funds’ low expense ratios, which help you to keep more of your returns.
In pursuing investment goals, long-term asset mix is key
As I mentioned earlier, financial markets were rattled in June by the prospect that the Fed would begin scaling back its massive bond-buying program. Bond yields jumped (and so prices fell), and the stock market experienced some turmoil.
Volatility and increased uncertainty can tempt investors to deviate from their investment plan. In the mutual fund industry, for example, the recent rise in bond yields has led to net redemptions from bond funds as investors try to sidestep losses that might arise from a sustained climb in interest rates.
Keep in mind, however, that although interest rates remain low, nobody is certain what their next move will be—much less how financial markets will react to the change.
7
In fact, it’s precisely because short-term market movements are unpredictable that trying to time the markets often fails, as Vanguard and other researchers have found. A recent Vanguard research paper notes that although many investors alter their portfolios based on emotional reactions to market movements, investment success actually is “largely determined by the long-term mixture of assets in a portfolio.” (You can find the full report, Vanguard’s Framework for Constructing Diversified Portfolios, at vanguard.com/research.)
We continue to believe that sticking to a well-diversified portfolio of stocks, bonds, and money market instruments over the long haul—rather than making impulsive changes to try to avoid potential losses or capitalize on perceived opportunities—gives you the best chance of meeting your investment goals.
As always, thank you for your confidence in Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/usstock_lgcapx10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 12, 2013
Investment insight |
What benchmark changes mean for you |
In June, we completed the transition of 22 Vanguard index funds—including yours— |
to new target benchmarks. The change went smoothly, as the funds closely tracked |
their respective benchmarks throughout the transition. |
The new index providers are the University of Chicago’s Center for Research in |
Security Prices (CRSP) for U.S. stocks and FTSE Group for international stocks. The |
new benchmarks incorporate top-quality index construction and offer comprehensive |
coverage of the markets they represent. And there are no changes to our funds’ |
investment goals, objectives, or policies. |
We took this action because benchmark licensing costs were becoming a larger |
part of the expense ratios of our index funds. With the new, long-term agreements, |
our funds can pursue their indexing strategy at considerable savings for our clients. |
8
Growth Index Fund
Fund Profile
As of June 30, 2013
Share-Class Characteristics | |||||
Investor | Admiral | Signal | Institutional | ||
Shares | Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VIGRX | VIGAX | VIGSX | VIGIX | VUG |
Expense Ratio1 | 0.24% | 0.10% | 0.10% | 0.08% | 0.10% |
30-Day SEC Yield | 1.28% | 1.44% | 1.44% | 1.44% | 1.44% |
Portfolio Characteristics | |||
CRSP US | DJ U.S. | ||
Large | Total | ||
Cap | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 339 | 339 | 3,622 |
Median Market Cap | $48.8B | $48.8B | $38.5B |
Price/Earnings Ratio | 21.4x | 21.4x | 18.4x |
Price/Book Ratio | 3.9x | 3.9x | 2.3x |
Return on Equity | 20.8% | 20.5% | 16.4% |
Earnings Growth Rate | 18.2% | 18.2% | 10.7% |
Dividend Yield | 1.5% | 1.5% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 37% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
DJ U.S. | |||
CRSP US | Total | ||
Large Cap | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Basic Materials | 1.6% | 1.6% | 2.9% |
Consumer Goods | 10.9 | 10.9 | 10.6 |
Consumer Services | 21.0 | 21.0 | 13.4 |
Financials | 12.4 | 12.4 | 18.9 |
Health Care | 8.9 | 9.1 | 11.7 |
Industrials | 11.6 | 11.6 | 12.8 |
Oil & Gas | 7.2 | 7.2 | 9.6 |
Technology | 25.6 | 25.3 | 14.2 |
Telecommunications | 0.4 | 0.5 | 2.5 |
Utilities | 0.4 | 0.4 | 3.4 |
Volatility Measures | ||
DJ U.S. | ||
Total | ||
Spliced | Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 1.01 |
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 | 5.6% |
Google Inc. | Internet | 3.6 |
International Business | ||
Machines Corp. | Computer Services | 3.2 |
Coca-Cola Co. | Soft Drinks | 2.4 |
Philip Morris | ||
International Inc. | Tobacco | 2.0 |
Intel Corp. | Semiconductors | 1.8 |
Home Depot Inc. | Home Improvement | |
Retailers | 1.7 | |
Comcast Corp. | Broadcasting & | |
Entertainment | 1.6 | |
Oracle Corp. | Software | 1.6 |
QUALCOMM Inc. | Semiconductors | 1.6 |
Top Ten | 25.1% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the annualized expense ratios were 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares.
9
Growth Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/usstock_lgcapx12x1.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, 2002, Through June 30, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/usstock_lgcapx13x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2013
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 11/2/1992 | 16.69% | 7.00% | 7.36% |
Admiral Shares | 11/13/2000 | 16.86 | 7.15 | 7.49 |
Signal Shares | 6/4/2007 | 16.83 | 7.15 | 4.851 |
Institutional Shares | 5/14/1998 | 16.85 | 7.18 | 7.53 |
ETF Shares | 1/26/2004 | |||
Market Price | 16.88 | 7.16 | 5.981 | |
Net Asset Value | 16.85 | 7.15 | 5.981 | |
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, 2013
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%) | |||
Basic Materials (1.6%) | |||
Praxair Inc. | 1,349,697 | 155,431 | |
Ecolab Inc. | 1,215,799 | 103,574 | |
Eastman Chemical Co. | 707,419 | 49,526 | |
Sigma-Aldrich Corp. | 549,147 | 44,129 | |
FMC Corp. | 621,234 | 37,933 | |
Airgas Inc. | 300,707 | 28,705 | |
* | WR Grace & Co. | 329,220 | 27,668 |
Albemarle Corp. | 400,832 | 24,968 | |
CONSOL Energy Inc. | 521,570 | 14,135 | |
486,069 | |||
Consumer Goods (10.9%) | |||
Coca-Cola Co. | 18,293,291 | 733,744 | |
Philip Morris | |||
International Inc. | 7,093,304 | 614,422 | |
Colgate-Palmolive Co. | 4,256,811 | 243,873 | |
Monsanto Co. | 2,436,279 | 240,704 | |
NIKE Inc. Class B | 3,266,031 | 207,981 | |
VF Corp. | 399,824 | 77,190 | |
Lorillard Inc. | 1,723,915 | 75,301 | |
Mead Johnson | |||
Nutrition Co. | 924,008 | 73,209 | |
Coach Inc. | 1,282,337 | 73,209 | |
Estee Lauder Cos. | |||
Inc. Class A | 1,090,196 | 71,702 | |
Mattel Inc. | 1,576,317 | 71,423 | |
Hershey Co. | 669,895 | 59,808 | |
Stanley Black & | |||
Decker Inc. | 738,900 | 57,117 | |
Harley-Davidson Inc. | 1,022,860 | 56,073 | |
Ralph Lauren Corp. | |||
Class A | 278,397 | 48,369 | |
JM Smucker Co. | 465,001 | 47,965 | |
PVH Corp. | 369,833 | 46,248 | |
* | BorgWarner Inc. | 527,346 | 45,431 |
* | Green Mountain Coffee | ||
Roasters Inc. | 544,656 | 40,882 | |
* | Monster Beverage Corp. | 643,788 | 39,123 |
Market | |||
Value | |||
Shares | ($000) | ||
Church & Dwight Co. Inc. | 630,626 | 38,916 | |
McCormick & Co. Inc. | 518,210 | 36,461 | |
* | Tesla Motors Inc. | 322,641 | 34,661 |
Brown-Forman Corp. | |||
Class B | 471,567 | 31,854 | |
* | LKQ Corp. | 1,226,442 | 31,581 |
* | Lululemon Athletica Inc. | 462,105 | 30,277 |
* | PulteGroup Inc. | 1,591,618 | 30,193 |
* | Electronic Arts Inc. | 1,312,016 | 30,137 |
* | Mohawk Industries Inc. | 264,566 | 29,761 |
* | Fossil Group Inc. | 227,557 | 23,509 |
* | WABCO Holdings Inc. | 285,335 | 21,312 |
* | NVR Inc. | 20,474 | 18,877 |
^ | Herbalife Ltd. | 375,863 | 16,966 |
DR Horton Inc. | 662,669 | 14,102 | |
Hormel Foods Corp. | 302,088 | 11,654 | |
* | Coty Inc. Class A | 269,979 | 4,638 |
3,328,673 | |||
Consumer Services (21.0%) | |||
Home Depot Inc. | 6,666,719 | 516,471 | |
Walt Disney Co. | 7,397,118 | 467,128 | |
* | Amazon.com Inc. | 1,662,098 | 461,548 |
McDonald’s Corp. | 4,575,377 | 452,962 | |
Comcast Corp. Class A | 10,383,415 | 434,857 | |
* | eBay Inc. | 5,330,541 | 275,696 |
News Corp. Class A | 7,095,225 | 231,304 | |
Costco Wholesale Corp. | 1,991,454 | 220,195 | |
Starbucks Corp. | 3,245,988 | 212,580 | |
* | priceline.com Inc. | 235,395 | 194,702 |
TJX Cos. Inc. | 3,120,569 | 156,216 | |
Time Warner Cable Inc. | 1,327,882 | 149,360 | |
* | DIRECTV | 2,421,560 | 149,217 |
Yum! Brands Inc. | 2,052,899 | 142,348 | |
Viacom Inc. Class B | 2,025,335 | 137,824 | |
CBS Corp. Class B | 2,657,398 | 129,867 | |
Las Vegas Sands Corp. | 1,693,976 | 89,662 | |
Whole Foods Market Inc. | 1,692,650 | 87,138 | |
* | Dollar General Corp. | 1,344,673 | 67,812 |
* | Bed Bath & Beyond Inc. | 947,626 | 67,187 |
* | AutoZone Inc. | 156,426 | 66,276 |
12
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Comcast Corp. | 1,591,761 | 63,145 | |
Ross Stores Inc. | 952,960 | 61,761 | |
News Corp. Class B | 1,827,869 | 59,991 | |
* | Liberty Global plc | 846,649 | 57,479 |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 887,855 | 56,104 | |
* | Liberty Global plc Class A | 752,257 | 55,727 |
L Brands Inc. | 1,122,510 | 55,284 | |
* | O’Reilly Automotive Inc. | 478,862 | 53,929 |
Gap Inc. | 1,274,092 | 53,168 | |
* | Liberty Interactive Corp. | ||
Class A | 2,285,389 | 52,587 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 676,859 | 52,260 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 141,064 | 51,397 | |
* | Netflix Inc. | 243,422 | 51,384 |
* | Liberty Media Corp. | ||
Class A | 403,846 | 51,191 | |
* | Dollar Tree Inc. | 970,403 | 49,335 |
Sirius XM Radio Inc. | 14,563,436 | 48,787 | |
* | CarMax Inc. | 1,024,761 | 47,303 |
Wynn Resorts Ltd. | 368,696 | 47,193 | |
Nordstrom Inc. | 669,710 | 40,142 | |
DISH Network Corp. | |||
Class A | 937,398 | 39,858 | |
* | Charter Communications | ||
Inc. Class A | 300,332 | 37,196 | |
Marriott International Inc. | |||
Class A | 911,072 | 36,780 | |
Tiffany & Co. | 494,885 | 36,047 | |
Wyndham Worldwide | |||
Corp. | 620,086 | 35,488 | |
Nielsen Holdings NV | 1,023,923 | 34,394 | |
Tractor Supply Co. | 286,625 | 33,710 | |
PetSmart Inc. | 471,413 | 31,580 | |
Expedia Inc. | 474,520 | 28,542 | |
Family Dollar Stores Inc. | 445,914 | 27,785 | |
* | Ulta Salon Cosmetics & | ||
Fragrance Inc. | 276,340 | 27,678 | |
* | Discovery | ||
Communications Inc. | 388,997 | 27,098 | |
Advance Auto Parts Inc. | 332,888 | 27,020 | |
* | IHS Inc. Class A | 254,920 | 26,609 |
Signet Jewelers Ltd. | 369,538 | 24,918 | |
* | MGM Resorts | ||
International | 1,675,013 | 24,757 | |
Scripps Networks | |||
Interactive Inc. Class A | 361,155 | 24,111 | |
* | Hertz Global Holdings Inc. | 913,385 | 22,652 |
Williams-Sonoma Inc. | 378,925 | 21,178 | |
* | Urban Outfitters Inc. | 503,162 | 20,237 |
FactSet Research Systems | |||
Inc. | 190,850 | 19,455 |
Market | |||
Value | |||
Shares | ($000) | ||
H&R Block Inc. | 621,338 | 17,242 | |
* | AutoNation Inc. | 388,040 | 16,837 |
* | TripAdvisor Inc. | 253,188 | 15,412 |
Burger King Worldwide | |||
Inc. | 481,391 | 9,392 | |
Abercrombie & Fitch Co. | 178,915 | 8,096 | |
* | JC Penney Co. Inc. | 326,885 | 5,583 |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 139,666 | 4,233 | |
* | Hyatt Hotels Corp. | ||
Class A | 104,870 | 4,233 | |
Viacom Inc. Class A | 960 | 66 | |
CBS Corp. Class A | 802 | 39 | |
6,406,743 | |||
Financials (12.4%) | |||
Visa Inc. Class A | 2,364,709 | 432,151 | |
American Express Co. | 5,013,888 | 374,838 | |
Mastercard Inc. Class A | 479,980 | 275,749 | |
Simon Property | |||
Group Inc. | 1,416,718 | 223,728 | |
American Tower | |||
Corporation | 1,804,869 | 132,062 | |
BlackRock Inc. | 500,444 | 128,539 | |
Charles Schwab Corp. | 4,965,259 | 105,412 | |
Public Storage | 666,667 | 102,220 | |
Marsh & McLennan Cos. | |||
Inc. | 2,512,093 | 100,283 | |
HCP Inc. | 2,074,170 | 94,250 | |
Ventas Inc. | 1,337,861 | 92,928 | |
Equity Residential | 1,561,246 | 90,646 | |
Health Care REIT Inc. | 1,284,902 | 86,127 | |
Franklin Resources Inc. | 630,663 | 85,783 | |
Prologis Inc. | 2,273,716 | 85,765 | |
T. Rowe Price Group Inc. | 1,124,327 | 82,245 | |
AvalonBay | |||
Communities Inc. | 560,879 | 75,668 | |
Weyerhaeuser Co. | 2,631,780 | 74,979 | |
Boston Properties Inc. | 692,574 | 73,046 | |
McGraw Hill Financial Inc. | 1,250,885 | 66,535 | |
Invesco Ltd. | 2,029,271 | 64,531 | |
Vornado Realty Trust | 767,812 | 63,613 | |
Moody’s Corp. | 1,017,266 | 61,982 | |
* | IntercontinentalExchange | ||
Inc. | 332,045 | 59,024 | |
Host Hotels & | |||
Resorts Inc. | 3,401,426 | 57,382 | |
General Growth | |||
Properties Inc. | 2,647,559 | 52,607 | |
* | Affiliated | ||
Managers Group Inc. | 240,647 | 39,452 | |
Macerich Co. | 627,515 | 38,260 | |
Kimco Realty Corp. | 1,772,178 | 37,978 | |
Realty Income Corp. | 895,486 | 37,539 | |
Leucadia National Corp. | 1,412,967 | 37,048 | |
SL Green Realty Corp. | 418,033 | 36,866 |
13
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Digital Realty Trust Inc. | 585,966 | 35,744 | |
Equifax Inc. | 550,062 | 32,415 | |
Rayonier Inc. | 575,085 | 31,854 | |
Federal Realty | |||
Investment Trust | 297,740 | 30,870 | |
* | CBRE Group Inc. Class A | 1,284,781 | 30,012 |
UDR Inc. | 1,144,320 | 29,169 | |
Essex Property Trust Inc. | 173,395 | 27,556 | |
Camden Property Trust | 387,141 | 26,767 | |
Raymond James | |||
Financial Inc. | 573,510 | 24,649 | |
Alexandria Real Estate | |||
Equities Inc. | 321,828 | 21,151 | |
SEI Investments Co. | 709,047 | 20,158 | |
Jones Lang LaSalle Inc. | 201,441 | 18,359 | |
* | MSCI Inc. Class A | 551,364 | 18,344 |
Plum Creek Timber | |||
Co. Inc. | 371,486 | 17,337 | |
Lazard Ltd. Class A | 526,545 | 16,928 | |
* | Realogy Holdings Corp. | 265,976 | 12,777 |
LPL Financial | |||
Holdings Inc. | 316,765 | 11,961 | |
Legg Mason Inc. | 271,959 | 8,433 | |
3,783,720 | |||
Health Care (8.9%) | |||
* | Gilead Sciences Inc. | 6,961,388 | 356,493 |
Amgen Inc. | 3,422,645 | 337,678 | |
* | Biogen Idec Inc. | 1,083,326 | 233,132 |
* | Express Scripts | ||
Holding Co. | 3,742,100 | 230,850 | |
* | Celgene Corp. | 1,903,570 | 222,546 |
AbbVie Inc. | 3,613,840 | 149,396 | |
Allergan Inc. | 1,403,543 | 118,234 | |
* | Intuitive Surgical Inc. | 183,277 | 92,844 |
Stryker Corp. | 1,293,981 | 83,695 | |
* | Alexion | ||
Pharmaceuticals Inc. | 890,544 | 82,144 | |
* | Vertex | ||
Pharmaceuticals Inc. | 1,010,388 | 80,700 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 350,161 | 78,744 | |
* | Actavis Inc. | 577,905 | 72,943 |
^ | Zoetis Inc. | 2,265,119 | 69,970 |
* | DaVita HealthCare | ||
Partners Inc. | 458,455 | 55,381 | |
Perrigo Co. | 407,634 | 49,324 | |
* | Illumina Inc. | 567,551 | 42,476 |
* | Laboratory Corp. of | ||
America Holdings | 424,274 | 42,470 | |
CR Bard Inc. | 367,259 | 39,914 | |
* | Henry Schein Inc. | 397,578 | 38,068 |
* | Waters Corp. | 371,407 | 37,159 |
* | BioMarin | ||
Pharmaceutical Inc. | 634,316 | 35,389 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Edwards | ||
Lifesciences Corp. | 515,463 | 34,639 | |
* | Varian Medical | ||
Systems Inc. | 494,768 | 33,372 | |
^ | ResMed Inc. | 650,165 | 29,342 |
DENTSPLY | |||
International Inc. | 653,912 | 26,784 | |
* | Forest Laboratories Inc. | 547,615 | 22,452 |
* | IDEXX Laboratories Inc. | 246,874 | 22,164 |
* | Quintiles Transnational | ||
Holdings Inc. | 117,759 | 5,012 | |
2,723,315 | |||
Industrials (11.6%) | |||
3M Co. | 3,149,862 | 344,437 | |
Union Pacific Corp. | 2,130,219 | 328,650 | |
United Parcel Service Inc. | |||
Class B | 3,307,294 | 286,015 | |
Accenture plc Class A | 2,966,759 | 213,488 | |
Boeing Co. | 1,731,189 | 177,343 | |
Danaher Corp. | 2,687,152 | 170,097 | |
Automatic Data | |||
Processing Inc. | 2,214,444 | 152,487 | |
Precision Castparts Corp. | 667,831 | 150,936 | |
Cummins Inc. | 865,897 | 93,915 | |
* | LinkedIn Corp. Class A | 417,809 | 74,495 |
Sherwin-Williams Co. | 400,185 | 70,673 | |
WW Grainger Inc. | 269,767 | 68,030 | |
Agilent Technologies Inc. | 1,572,036 | 67,220 | |
Amphenol Corp. Class A | 729,379 | 56,848 | |
Roper Industries Inc. | 451,844 | 56,128 | |
Fastenal Co. | 1,218,500 | 55,868 | |
Paychex Inc. | 1,494,637 | 54,584 | |
Pentair Ltd. | 932,301 | 53,784 | |
Kansas City Southern | 502,818 | 53,279 | |
* | Fiserv Inc. | 607,722 | 53,121 |
Rockwell Automation Inc. | 637,319 | 52,987 | |
Fidelity National | |||
Information Services Inc. | 1,203,922 | 51,576 | |
AMETEK Inc. | 1,111,378 | 47,011 | |
* | Stericycle Inc. | 393,748 | 43,482 |
PACCAR Inc. | 807,144 | 43,311 | |
* | Verisk Analytics Inc. | ||
Class A | 691,629 | 41,290 | |
CH Robinson | |||
Worldwide Inc. | 732,699 | 41,258 | |
* | Alliance Data | ||
Systems Corp. | 213,169 | 38,590 | |
ADT Corp. | 948,557 | 37,800 | |
Expeditors International | |||
of Washington Inc. | 942,912 | 35,840 | |
Flowserve Corp. | 652,533 | 35,243 | |
Pall Corp. | 509,116 | 33,820 | |
TransDigm Group Inc. | 215,211 | 33,739 | |
Textron Inc. | 1,268,011 | 33,032 | |
Masco Corp. | 1,628,623 | 31,742 |
14
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Trimble Navigation Ltd. | 1,167,345 | 30,363 |
JB Hunt Transport | |||
Services Inc. | 402,380 | 29,068 | |
* | Mettler-Toledo | ||
International Inc. | 137,757 | 27,717 | |
* | Quanta Services Inc. | 955,819 | 25,291 |
Donaldson Co. Inc. | 671,445 | 23,944 | |
Hubbell Inc. Class B | 238,083 | 23,570 | |
Cintas Corp. | 475,845 | 21,670 | |
Iron Mountain Inc. | 784,132 | 20,866 | |
Martin Marietta | |||
Materials Inc. | 209,854 | 20,654 | |
Robert Half | |||
International Inc. | 605,770 | 20,130 | |
* | Sensata | ||
Technologies Holding NV | 559,899 | 19,540 | |
FLIR Systems Inc. | 647,456 | 17,462 | |
Rock Tenn Co. Class A | 164,126 | 16,393 | |
National Instruments Corp. | 451,598 | 12,618 | |
* | FleetCor Technologies Inc. | 148,563 | 12,078 |
* | Owens Corning | 257,645 | 10,069 |
Molex Inc. Class A | 337,419 | 8,388 | |
Molex Inc. | 283,827 | 8,327 | |
3,530,267 | |||
Oil & Gas (7.2%) | |||
Schlumberger Ltd. | 6,067,261 | 434,780 | |
Anadarko Petroleum Corp. | 2,288,558 | 196,656 | |
EOG Resources Inc. | 1,241,628 | 163,498 | |
National Oilwell Varco Inc. | 1,950,001 | 134,355 | |
Kinder Morgan Inc. | 3,072,437 | 117,213 | |
Noble Energy Inc. | 1,636,608 | 98,262 | |
Pioneer Natural | |||
Resources Co. | 623,309 | 90,224 | |
Halliburton Co. | 2,020,459 | 84,294 | |
* | Cameron | ||
International Corp. | 1,131,996 | 69,233 | |
Cabot Oil & Gas Corp. | 961,803 | 68,307 | |
Ensco plc Class A | 1,062,896 | 61,776 | |
* | FMC Technologies Inc. | 1,082,439 | 60,270 |
* | Southwestern Energy Co. | 1,604,205 | 58,602 |
Range Resources Corp. | 706,991 | 54,665 | |
Williams Cos. Inc. | 1,557,740 | 50,580 | |
EQT Corp. | 617,799 | 49,035 | |
Noble Corp. | 1,155,839 | 43,436 | |
* | Weatherford | ||
International Ltd. | 3,145,317 | 43,091 | |
* | Concho Resources Inc. | 477,908 | 40,010 |
* | Kinder Morgan | ||
Management LLC | 453,490 | 37,907 | |
Oceaneering | |||
International Inc. | 493,693 | 35,645 | |
* | Cobalt International | ||
Energy Inc. | 1,206,452 | 32,055 | |
Core Laboratories NV | 209,483 | 31,770 | |
* | Whiting Petroleum Corp. | 544,867 | 25,113 |
Market | |||
Value | |||
Shares | ($000) | ||
QEP Resources Inc. | 819,128 | 22,755 | |
* | Dresser-Rand Group Inc. | 347,998 | 20,873 |
* | Rowan Cos. plc Class A | 567,554 | 19,337 |
* | Continental Resources Inc. | 211,997 | 18,244 |
SM Energy Co. | 302,807 | 18,162 | |
* | Cheniere Energy Inc. | 495,471 | 13,754 |
2,193,902 | |||
Technology (25.6%) | |||
Apple Inc. | 4,283,785 | 1,696,722 | |
* | Google Inc. Class A | 1,237,344 | 1,089,321 |
International Business | |||
Machines Corp. | 5,060,289 | 967,072 | |
Intel Corp. | 22,686,508 | 549,467 | |
Oracle Corp. | 16,123,752 | 495,322 | |
QUALCOMM Inc. | 7,885,378 | 481,639 | |
EMC Corp. | 9,587,773 | 226,463 | |
* | Facebook Inc. Class A | 7,585,595 | 188,578 |
Texas Instruments Inc. | 5,061,910 | 176,509 | |
* | Yahoo! Inc. | 3,954,217 | 99,290 |
* | Adobe Systems Inc. | 2,176,146 | 99,145 |
* | Salesforce.com Inc. | 2,423,053 | 92,512 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 1,376,440 | 86,179 | |
Broadcom Corp. Class A | 2,377,672 | 80,270 | |
Intuit Inc. | 1,287,249 | 78,561 | |
* | SanDisk Corp. | 1,110,463 | 67,849 |
* | Cerner Corp. | 705,966 | 67,836 |
* | Micron Technology Inc. | 4,701,105 | 67,367 |
Analog Devices Inc. | 1,406,377 | 63,371 | |
* | NetApp Inc. | 1,644,815 | 62,141 |
* | Citrix Systems Inc. | 853,943 | 51,518 |
Altera Corp. | 1,461,043 | 48,200 | |
Xilinx Inc. | 1,204,132 | 47,696 | |
* | Catamaran Corp. | 939,646 | 45,780 |
* | Juniper Networks Inc. | 2,194,879 | 42,383 |
KLA-Tencor Corp. | 757,042 | 42,190 | |
Avago Technologies Ltd. | |||
Class A | 1,126,804 | 42,120 | |
* | Equinix Inc. | 225,213 | 41,601 |
* | Red Hat Inc. | 865,230 | 41,375 |
Applied Materials Inc. | 2,741,855 | 40,881 | |
Linear Technology Corp. | 1,064,522 | 39,217 | |
* | Teradata Corp. | 745,706 | 37,457 |
Maxim Integrated | |||
Products Inc. | 1,328,304 | 36,900 | |
NVIDIA Corp. | 2,505,600 | 35,154 | |
* | Autodesk Inc. | 1,025,874 | 34,818 |
* | Cree Inc. | 538,082 | 34,362 |
* | Lam Research Corp. | 742,576 | 32,926 |
* | Akamai Technologies Inc. | 770,345 | 32,778 |
Motorola Solutions Inc. | 557,839 | 32,204 | |
Microchip Technology Inc. | 854,637 | 31,835 | |
* | ANSYS Inc. | 425,278 | 31,088 |
* | VeriSign Inc. | 687,928 | 30,723 |
* | BMC Software Inc. | 650,902 | 29,382 |
15
Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | VMware Inc. Class A | 380,215 | 25,471 |
* | F5 Networks Inc. | 359,553 | 24,737 |
* | Nuance | ||
Communications Inc. | 1,305,080 | 23,987 | |
* | Gartner Inc. | 406,367 | 23,159 |
* | Rackspace Hosting Inc. | 504,827 | 19,128 |
* | Skyworks Solutions Inc. | 873,652 | 19,124 |
* | ServiceNow Inc. | 399,014 | 16,116 |
* | TIBCO Software Inc. | 712,325 | 15,244 |
* | Workday Inc. Class A | 155,039 | 9,936 |
* | LSI Corp. | 1,255,987 | 8,968 |
* | Informatica Corp. | 246,866 | 8,635 |
* | MICROS Systems Inc. | 179,756 | 7,757 |
* | Palo Alto Networks Inc. | 73,284 | 3,090 |
7,823,554 | |||
Telecommunications (0.4%) | |||
* | Crown Castle | ||
International Corp. | 1,340,622 | 97,048 | |
* | SBA Communications | ||
Corp. Class A | 582,278 | 43,158 | |
140,206 | |||
Utilities (0.4%) | |||
* | Calpine Corp. | 1,869,826 | 39,697 |
NRG Energy Inc. | 1,471,729 | 39,295 | |
ONEOK Inc. | 940,574 | 38,855 | |
117,847 | |||
Total Common Stocks | |||
(Cost $22,460,189) | 30,534,296 |
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investments (0.0%) | ||
Money Market Fund (0.0%) | ||
1,2 Vanguard Market Liquidity | ||
Fund, 0.127% | 12,274,801 | 12,275 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
3 Freddie Mac Discount Notes, | ||
0.110%, 11/12/13 | 1,000 | 999 |
Total Temporary Cash Investments | ||
(Cost $13,274) | 13,274 | |
Total Investments (100.0%) | ||
(Cost $22,473,463) | 30,547,570 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 109,027 | |
Liabilities2 | (119,246) | |
(10,219) | ||
Net Assets (100%) | 30,537,351 |
16
Growth Index Fund
At June 30, 2013, net assets consisted of:
Amount | |
($000) | |
Paid-in Capital | 22,821,063 |
Overdistributed Net Investment Income | (21,684) |
Accumulated Net Realized Losses | (336,135) |
Unrealized Appreciation (Depreciation) | 8,074,107 |
Net Assets | 30,537,351 |
Investor Shares—Net Assets | |
Applicable to 80,892,325 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,258,362 |
Net Asset Value Per Share— | |
Investor Shares | $40.28 |
Admiral Shares—Net Assets | |
Applicable to 160,225,797 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 6,453,262 |
Net Asset Value Per Share— | |
Admiral Shares | $40.28 |
Amount | |
($000) | |
Signal Shares—Net Assets | |
Applicable to 111,023,645 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,140,550 |
Net Asset Value Per Share— | |
Signal Shares | $37.29 |
Institutional Shares—Net Assets | |
Applicable to 158,370,213 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 6,378,265 |
Net Asset Value Per Share— | |
Institutional Shares | $40.27 |
ETF Shares—Net Assets | |
Applicable to 131,731,470 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 10,306,912 |
Net Asset Value Per Share— | |
ETF Shares | $78.24 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $11,673,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $12,275,000 of collateral received for securities on loan.
3 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 204,811 |
Interest1 | 40 |
Securities Lending | 937 |
Total Income | 205,788 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 923 |
Management and Administrative—Investor Shares | 3,367 |
Management and Administrative—Admiral Shares | 2,208 |
Management and Administrative—Signal Shares | 1,163 |
Management and Administrative—Institutional Shares | 1,415 |
Management and Administrative—ETF Shares | 3,069 |
Marketing and Distribution—Investor Shares | 369 |
Marketing and Distribution—Admiral Shares | 459 |
Marketing and Distribution—Signal Shares | 535 |
Marketing and Distribution—Institutional Shares | 849 |
Marketing and Distribution—ETF Shares | 1,110 |
Custodian Fees | 186 |
Shareholders’ Reports—Investor Shares | 77 |
Shareholders’ Reports—Admiral Shares | 46 |
Shareholders’ Reports—Signal Shares | 20 |
Shareholders’ Reports—Institutional Shares | 35 |
Shareholders’ Reports—ETF Shares | 40 |
Trustees’ Fees and Expenses | 21 |
Total Expenses | 15,892 |
Net Investment Income | 189,896 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 1,189,359 |
Futures Contracts | (8,783) |
Realized Net Gain (Loss) | 1,180,576 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 1,530,219 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,900,691 |
1 Interest income from an affiliated company of the fund was $35,000. |
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, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 189,896 | 392,814 |
Realized Net Gain (Loss) | 1,180,576 | 367,593 |
Change in Unrealized Appreciation (Depreciation) | 1,530,219 | 2,908,364 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,900,691 | 3,668,771 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (18,114) | (43,607) |
Admiral Shares | (39,570) | (85,446) |
Signal Shares | (25,152) | (49,314) |
Institutional Shares | (40,121) | (91,233) |
ETF Shares | (62,372) | (121,121) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (185,329) | (390,721) |
Capital Share Transactions | ||
Investor Shares | (156,977) | (226,956) |
Admiral Shares | 107,684 | 220,246 |
Signal Shares | 243,468 | 749,005 |
Institutional Shares | (419,925) | 715,804 |
ETF Shares | 972,441 | 1,450,303 |
Net Increase (Decrease) from Capital Share Transactions | 746,691 | 2,908,402 |
Total Increase (Decrease) | 3,462,053 | 6,186,452 |
Net Assets | ||
Beginning of Period | 27,075,298 | 20,888,846 |
End of Period1 | 30,537,351 | 27,075,298 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($21,684,000) and ($26,251,000).
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $36.65 | $31.79 | $31.60 | $27.32 | $20.29 | $33.23 |
Investment Operations | ||||||
Net Investment Income | .227 | .509 | .351 | .315 | .276 | .261 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.623 | 4.853 | .183 | 4.284 | 7.035 | (12.939) |
Total from Investment Operations | 3.850 | 5.362 | .534 | 4.599 | 7.311 | (12.678) |
Distributions | ||||||
Dividends from Net Investment Income | (.220) | (.502) | (.344) | (.319) | (.281) | (.262) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.220) | (.502) | (.344) | (.319) | (.281) | (.262) |
Net Asset Value, End of Period | $40.28 | $36.65 | $31.79 | $31.60 | $27.32 | $20.29 |
Total Return1 | 10.52% | 16.89% | 1.71% | 16.96% | 36.29% | -38.32% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,258 | $3,105 | $2,897 | $3,843 | $5,770 | $4,279 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.26% | 0.28% | 0.23% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.16% | 1.45% | 1.10% | 1.13% | 1.20% | 0.93% |
Portfolio Turnover Rate2 | 37% | 21% | 23% | 26% | 29% | 27% |
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $36.64 | $31.79 | $31.60 | $27.32 | $20.30 | $33.23 |
Investment Operations | ||||||
Net Investment Income | .256 | .560 | .399 | .357 | .308 | .294 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.633 | 4.842 | .185 | 4.282 | 7.027 | (12.929) |
Total from Investment Operations | 3.889 | 5.402 | .584 | 4.639 | 7.335 | (12.635) |
Distributions | ||||||
Dividends from Net Investment Income | (.249) | (.552) | (.394) | (.359) | (.315) | (.295) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.249) | (.552) | (.394) | (.359) | (.315) | (.295) |
Net Asset Value, End of Period | $40.28 | $36.64 | $31.79 | $31.60 | $27.32 | $20.30 |
Total Return1 | 10.63% | 17.01% | 1.87% | 17.12% | 36.42% | -38.22% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,453 | $5,774 | $4,819 | $4,712 | $1,641 | $1,296 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.31% | 1.59% | 1.24% | 1.27% | 1.34% | 1.05% |
Portfolio Turnover Rate 2 | 37% | 21% | 23% | 26% | 29% | 27% |
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 | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $33.93 | $29.44 | $29.26 | $25.30 | $18.80 | $30.77 |
Investment Operations | ||||||
Net Investment Income | .238 | .519 | .369 | .331 | .286 | .273 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.353 | 4.483 | .175 | 3.963 | 6.507 | (11.970) |
Total from Investment Operations | 3.591 | 5.002 | .544 | 4.294 | 6.793 | (11.697) |
Distributions | ||||||
Dividends from Net Investment Income | (.231) | (.512) | (.364) | (.334) | (.293) | (.273) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.231) | (.512) | (.364) | (.334) | (.293) | (.273) |
Net Asset Value, End of Period | $37.29 | $33.93 | $29.44 | $29.26 | $25.30 | $18.80 |
Total Return | 10.60% | 17.01% | 1.88% | 17.11% | 36.42% | -38.21% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,141 | $3,540 | $2,402 | $1,658 | $1,428 | $941 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.31% | 1.59% | 1.24% | 1.27% | 1.34% | 1.05% |
Portfolio Turnover Rate1 | 37% | 21% | 23% | 26% | 29% | 27% |
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
Growth Index Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $36.64 | $31.79 | $31.60 | $27.32 | $20.30 | $33.23 |
Investment Operations | ||||||
Net Investment Income | .259 | .567 | .405 | .369 | .322 | .305 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.623 | 4.842 | .186 | 4.283 | 7.027 | (12.930) |
Total from Investment Operations | 3.882 | 5.409 | .591 | 4.652 | 7.349 | (12.625) |
Distributions | ||||||
Dividends from Net Investment Income | (.252) | (.559) | (.401) | (.372) | (.329) | (.305) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.252) | (.559) | (.401) | (.372) | (.329) | (.305) |
Net Asset Value, End of Period | $40.27 | $36.64 | $31.79 | $31.60 | $27.32 | $20.30 |
Total Return | 10.61% | 17.04% | 1.89% | 17.17% | 36.50% | -38.19% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,378 | $6,189 | $4,726 | $3,934 | $2,913 | $2,016 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.32% | 1.61% | 1.26% | 1.31% | 1.40% | 1.09% |
Portfolio Turnover Rate1 | 37% | 21% | 23% | 26% | 29% | 27% |
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $71.19 | $61.76 | $61.39 | $53.08 | $39.43 | $64.56 |
Investment Operations | ||||||
Net Investment Income | .499 | 1.087 | .776 | .695 | .598 | .579 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 7.036 | 9.416 | .360 | 8.315 | 13.666 | (25.132) |
Total from Investment Operations | 7.535 | 10.503 | 1.136 | 9.010 | 14.264 | (24.553) |
Distributions | ||||||
Dividends from Net Investment Income | (.485) | (1.073) | (.766) | (.700) | (.614) | (.577) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.485) | (1.073) | (.766) | (.700) | (.614) | (.577) |
Net Asset Value, End of Period | $78.24 | $71.19 | $61.76 | $61.39 | $53.08 | $39.43 |
Total Return | 10.60% | 17.03% | 1.87% | 17.11% | 36.46% | -38.22% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,307 | $8,467 | $6,046 | $5,099 | $3,917 | $2,736 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.31% | 1.59% | 1.24% | 1.27% | 1.34% | 1.06% |
Portfolio Turnover Rate1 | 37% | 21% | 23% | 26% | 29% | 27% |
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 NYSE Arca; they can be purchased and sold through a broker.
On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Prime Market Growth Index to the CRSP US Large Cap Growth Index. The benchmark change was effective on April 17, 2013. The fund’s investment objective has not changed.
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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
25
Growth Index Fund
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values. The fund had no open futures contracts at June 30, 2013.
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, 2009–2012), and for the period ended June 30, 2013, 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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, 2013, the fund had contributed capital of $3,782,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.51% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
26
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).
The following table summarizes the market value of the fund’s investments as of June 30, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 30,534,296 | — | — |
Temporary Cash Investments | 12,275 | 999 | — |
Total | 30,546,571 | 999 | — |
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, 2013, the fund realized $506,495,000 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, 2012, the fund had available capital losses totaling $1,007,038,000 to offset future net capital gains. Of this amount, $802,533,000 is subject to expiration on December 31, 2017. Capital losses totaling $204,505,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $22,473,463,000. Net unrealized appreciation of investment securities for tax purposes was $8,074,107,000, consisting of unrealized gains of $8,272,792,000 on securities that had risen in value since their purchase and $198,685,000 in unrealized losses on securities that had fallen in value since their purchase.
27
Growth Index Fund
E. During the six months ended June 30, 2013, the fund purchased $10,585,714,000 of investment securities and sold $9,854,518,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,319,910,000 and $1,358,435,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 227,132 | 5,753 | 602,050 | 16,845 |
Issued in Lieu of Cash Distributions | 17,022 | 430 | 41,832 | 1,150 |
Redeemed | (401,131) | (10,022) | (870,838) | (24,381) |
Net Increase (Decrease)—Investor Shares | (156,977) | (3,839) | (226,956) | (6,386) |
Admiral Shares | ||||
Issued | 429,640 | 10,790 | 827,142 | 22,980 |
Issued in Lieu of Cash Distributions | 36,643 | 926 | 78,877 | 2,167 |
Redeemed | (358,599) | (9,062) | (685,773) | (19,175) |
Net Increase (Decrease)—Admiral Shares | 107,684 | 2,654 | 220,246 | 5,972 |
Signal Shares | ||||
Issued | 767,697 | 20,946 | 1,479,198 | 44,790 |
Issued in Lieu of Cash Distributions | 21,365 | 583 | 41,899 | 1,242 |
Redeemed | (545,594) | (14,835) | (772,092) | (23,287) |
Net Increase (Decrease)—Signal Shares | 243,468 | 6,694 | 749,005 | 22,745 |
Institutional Shares | ||||
Issued | 714,813 | 18,155 | 1,572,068 | 44,246 |
Issued in Lieu of Cash Distributions | 36,975 | 934 | 80,278 | 2,205 |
Redeemed | (1,171,713) | (29,605) | (936,542) | (26,228) |
Net Increase (Decrease)—Institutional Shares | (419,925) | (10,516) | 715,804 | 20,223 |
ETF Shares | ||||
Issued | 2,337,976 | 30,390 | 2,733,537 | 39,551 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,365,535) | (17,600) | (1,283,234) | (18,500) |
Net Increase (Decrease)—ETF Shares | 972,441 | 12,790 | 1,450,303 | 21,051 |
G. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
28
Value Index Fund
Fund Profile
As of June 30, 2013
Share-Class Characteristics | |||||
Investor | Admiral | Signal | Institutional | ||
Shares | Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VIVAX | VVIAX | VVISX | VIVIX | VTV |
Expense Ratio1 | 0.24% | 0.10% | 0.10% | 0.08% | 0.10% |
30-Day SEC Yield | 2.38% | 2.53% | 2.53% | 2.54% | 2.53% |
Portfolio Characteristics | |||
CRSP US | DJ U.S. | ||
Large | Total | ||
Cap | Market | ||
Value | FA | ||
Fund | Index | Index | |
Number of Stocks | 325 | 324 | 3,622 |
Median Market Cap | $65.0B | $65.0B | $38.5B |
Price/Earnings Ratio | 15.4x | 15.6x | 18.4x |
Price/Book Ratio | 1.9x | 1.9x | 2.3x |
Return on Equity | 15.4% | 15.5% | 16.4% |
Earnings Growth Rate | 4.8% | 4.6% | 10.7% |
Dividend Yield | 2.6% | 2.6% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 32% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure)
DJ U.S. | |||
Total | |||
CRSP US | Market | ||
Large Cap | FA | ||
Fund | Value Index | Index | |
Basic Materials | 3.6% | 3.5% | 2.9% |
Consumer Goods | 10.8 | 10.8 | 10.6 |
Consumer Services | 7.2 | 7.2 | 13.4 |
Financials | 22.2 | 22.3 | 18.9 |
Health Care | 14.2 | 14.2 | 11.7 |
Industrials | 12.1 | 12.1 | 12.8 |
Oil & Gas | 12.7 | 12.7 | 9.6 |
Technology | 6.8 | 6.8 | 14.2 |
Telecommunications | 4.6 | 4.6 | 2.5 |
Utilities | 5.8 | 5.8 | 3.4 |
Volatility Measures | ||
DJ U.S. | ||
Total | ||
Spliced | Market | |
Value Index | FA Index | |
R-Squared | 1.00 | 0.96 |
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 | 4.7% |
Microsoft Corp. | Software | 3.0 |
Johnson & Johnson | Pharmaceuticals | 2.8 |
General Electric Co. | Diversified Industrials | 2.8 |
Chevron Corp. | Integrated Oil & Gas | 2.7 |
Wells Fargo & Co. | Banks | 2.6 |
Procter & Gamble Co. | Nondurable | |
Household Products | 2.5 | |
JPMorgan Chase & Co. | Banks | 2.3 |
Berkshire Hathaway Inc. Reinsurance | 2.3 | |
AT&T Inc. | Fixed Line | |
Telecommunications | 2.2 | |
Top Ten | 27.9% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the annualized expense ratios were 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares.
29
Value Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/usstock_lgcapx32x1.jpg)
30
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, 2002, Through June 30, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/usstock_lgcapx33x1.jpg)
Note: For 2013, performance data reflect the six months ended June 30, 2013.
Average Annual Total Returns: Periods Ended June 30, 2013
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 11/2/1992 | 24.22% | 6.76% | 7.61% |
Admiral Shares | 11/13/2000 | 24.46 | 6.91 | 7.73 |
Signal Shares | 6/4/2007 | 24.41 | 6.90 | 1.431 |
Institutional Shares | 7/2/1998 | 24.43 | 6.94 | 7.77 |
ETF Shares | 1/26/2004 | |||
Market Price | 24.47 | 6.94 | 6.081 | |
Net Asset Value | 24.42 | 6.90 | 6.081 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
31
Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2013
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.8%)1 | ||
Basic Materials (3.5%) | ||
EI du Pont de Nemours | ||
& Co. | 2,627,858 | 137,963 |
Dow Chemical Co. | 3,453,304 | 111,093 |
Freeport-McMoRan | ||
Copper & Gold Inc. | 2,963,427 | 81,820 |
LyondellBasell | ||
Industries NV Class A | 1,150,037 | 76,201 |
PPG Industries Inc. | 387,477 | 56,730 |
International Paper Co. | 1,269,983 | 56,273 |
Air Products | ||
& Chemicals Inc. | 594,686 | 54,455 |
Mosaic Co. | 805,434 | 43,340 |
Newmont Mining Corp. | 1,405,453 | 42,093 |
Nucor Corp. | 907,154 | 39,298 |
CF Industries | ||
Holdings Inc. | 169,172 | 29,013 |
Alcoa Inc. | 3,052,831 | 23,873 |
Celanese Corp. Class A | 455,751 | 20,418 |
Ashland Inc. | 225,492 | 18,829 |
International Flavors | ||
& Fragrances Inc. | 232,593 | 17,482 |
Reliance Steel & | ||
Aluminum Co. | 208,844 | 13,692 |
Avery Dennison Corp. | 282,811 | 12,093 |
Peabody Energy Corp. | 772,461 | 11,309 |
Huntsman Corp. | 552,708 | 9,153 |
CONSOL Energy Inc. | 327,824 | 8,884 |
^ Cliffs Natural | ||
Resources Inc. | 219,460 | 3,566 |
867,578 | ||
Consumer Goods (10.8%) | ||
Procter & Gamble Co. | 7,824,945 | 602,443 |
PepsiCo Inc. | 4,414,952 | 361,099 |
Altria Group Inc. | 5,734,686 | 200,657 |
Ford Motor Co. | 11,021,174 | 170,498 |
Mondelez International | ||
Inc. Class A | 5,094,495 | 145,346 |
Market | |||
Value | |||
Shares | ($000) | ||
Kimberly-Clark Corp. | 1,098,004 | 106,660 | |
Kraft Foods Group Inc. | 1,697,140 | 94,819 | |
General Mills Inc. | 1,840,440 | 89,317 | |
* | General Motors Co. | 2,354,688 | 78,435 |
Johnson Controls Inc. | 1,955,606 | 69,991 | |
Archer-Daniels- | |||
Midland Co. | 1,881,434 | 63,799 | |
Kellogg Co. | 839,961 | 53,951 | |
Reynolds American Inc. | 938,078 | 45,375 | |
Delphi Automotive plc | 892,493 | 45,240 | |
ConAgra Foods Inc. | 1,189,880 | 41,563 | |
Genuine Parts Co. | 420,208 | 32,806 | |
Clorox Co. | 375,730 | 31,238 | |
Beam Inc. | 458,855 | 28,958 | |
Bunge Ltd. | 398,477 | 28,200 | |
Dr Pepper Snapple | |||
Group Inc. | 581,870 | 26,725 | |
Coca-Cola Enterprises Inc. | 743,131 | 26,128 | |
Campbell Soup Co. | 581,007 | 26,023 | |
Avon Products Inc. | 1,235,073 | 25,974 | |
Whirlpool Corp. | 225,943 | 25,839 | |
* | Constellation Brands Inc. | ||
Class A | 439,641 | 22,914 | |
Newell Rubbermaid Inc. | 822,749 | 21,597 | |
Tyson Foods Inc. Class A | 813,052 | 20,879 | |
* | TRW Automotive | ||
Holdings Corp. | 308,445 | 20,493 | |
Molson Coors | |||
Brewing Co. Class B | 405,473 | 19,406 | |
Activision Blizzard Inc. | 1,280,748 | 18,263 | |
Energizer Holdings Inc. | 177,646 | 17,855 | |
Lennar Corp. Class A | 464,191 | 16,729 | |
Lear Corp. | 263,787 | 15,949 | |
Hasbro Inc. | 333,670 | 14,958 | |
DR Horton Inc. | 414,816 | 8,827 | |
Hormel Foods Corp. | 189,866 | 7,325 | |
* | Smithfield Foods Inc. | 198,193 | 6,491 |
Lennar Corp. Class B | 1,183 | 34 | |
2,632,804 |
32
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Consumer Services (7.2%) | |||
Wal-Mart Stores Inc. | 4,677,466 | 348,424 | |
CVS Caremark Corp. | 3,495,533 | 199,875 | |
Time Warner Inc. | 2,528,255 | 146,184 | |
Target Corp. | 1,831,972 | 126,150 | |
Lowe’s Cos. Inc. | 3,061,687 | 125,223 | |
Walgreen Co. | 2,434,517 | 107,606 | |
McKesson Corp. | 646,866 | 74,066 | |
Sysco Corp. | 1,694,292 | 57,877 | |
Macy’s Inc. | 1,095,413 | 52,580 | |
Kroger Co. | 1,410,465 | 48,717 | |
Omnicom Group Inc. | 739,160 | 46,471 | |
Cardinal Health Inc. | 975,814 | 46,058 | |
* | Delta Air Lines Inc. | 2,445,234 | 45,750 |
Carnival Corp. | 1,267,525 | 43,463 | |
AmerisourceBergen Corp. | |||
Class A | 658,968 | 36,790 | |
Staples Inc. | 1,895,273 | 30,059 | |
* | United Continental | ||
Holdings Inc. | 952,240 | 29,796 | |
Kohl’s Corp. | 568,828 | 28,732 | |
Southwest Airlines Co. | 2,061,897 | 26,578 | |
Best Buy Co. Inc. | 775,270 | 21,188 | |
Darden Restaurants Inc. | 369,491 | 18,652 | |
Interpublic Group | |||
of Cos. Inc. | 1,222,321 | 17,785 | |
Safeway Inc. | 690,786 | 16,344 | |
* | Hertz Global Holdings Inc. | 574,014 | 14,236 |
Royal Caribbean | |||
Cruises Ltd. | 377,196 | 12,576 | |
International Game | |||
Technology | 747,150 | 12,485 | |
Dun & Bradstreet Corp. | 113,939 | 11,103 | |
H&R Block Inc. | 390,500 | 10,836 | |
^,* | Sears Holdings Corp. | 120,469 | 5,069 |
* | JC Penney Co. Inc. | 202,867 | 3,465 |
1,764,138 | |||
Financials (22.3%) | |||
Wells Fargo & Co. | 15,121,242 | 624,054 | |
JPMorgan Chase & Co. | 10,790,980 | 569,656 | |
* | Berkshire Hathaway Inc. | ||
Class B | 4,976,867 | 557,011 | |
Citigroup Inc. | 8,253,051 | 395,899 | |
Bank of America Corp. | 30,778,028 | 395,805 | |
US Bancorp | 5,280,703 | 190,897 | |
* | American International | ||
Group Inc. | 4,214,883 | 188,405 | |
Goldman Sachs | |||
Group Inc. | 1,178,054 | 178,181 | |
MetLife Inc. | 2,500,912 | 114,442 | |
PNC Financial Services | |||
Group Inc. | 1,511,394 | 110,211 | |
Capital One Financial | |||
Corp. | 1,667,708 | 104,749 | |
Prudential Financial Inc. | 1,324,699 | 96,743 |
Market | |||
Value | |||
Shares | ($000) | ||
Morgan Stanley | 3,917,172 | 95,696 | |
Bank of New York | |||
Mellon Corp. | 3,313,524 | 92,944 | |
Travelers Cos. Inc. | 1,074,630 | 85,884 | |
State Street Corp. | 1,236,889 | 80,658 | |
ACE Ltd. | 873,980 | 78,204 | |
Aflac Inc. | 1,331,045 | 77,360 | |
CME Group Inc. | 905,547 | 68,803 | |
BB&T Corp. | 2,003,240 | 67,870 | |
Discover Financial | |||
Services | 1,400,070 | 66,699 | |
Allstate Corp. | 1,337,912 | 64,380 | |
Chubb Corp. | 739,899 | 62,632 | |
Aon plc | 838,315 | 53,946 | |
SunTrust Banks Inc. | 1,542,087 | 48,684 | |
Ameriprise Financial Inc. | 575,260 | 46,527 | |
Fifth Third Bancorp | 2,496,993 | 45,071 | |
Hartford Financial | |||
Services Group Inc. | 1,301,495 | 40,242 | |
Loews Corp. | 888,267 | 39,439 | |
Progressive Corp. | 1,547,774 | 39,344 | |
Regions Financial Corp. | 4,034,907 | 38,453 | |
M&T Bank Corp. | 331,440 | 37,038 | |
Northern Trust Corp. | 614,543 | 35,582 | |
Annaly Capital | |||
Management Inc. | 2,704,478 | 33,995 | |
Principal Financial | |||
Group Inc. | 837,559 | 31,367 | |
KeyCorp | 2,627,788 | 29,011 | |
SLM Corp. | 1,267,391 | 28,973 | |
NYSE Euronext | 694,322 | 28,745 | |
Lincoln National Corp. | 767,637 | 27,996 | |
Western Union Co. | 1,590,420 | 27,212 | |
* | CIT Group Inc. | 574,501 | 26,789 |
American Capital | |||
Agency Corp. | 1,131,184 | 26,006 | |
XL Group plc Class A | 826,986 | 25,074 | |
Unum Group | 762,956 | 22,408 | |
Comerica Inc. | 532,718 | 21,218 | |
Willis Group Holdings plc | 499,321 | 20,362 | |
Cincinnati Financial Corp. | 442,760 | 20,323 | |
* | Markel Corp. | 37,325 | 19,668 |
Huntington | |||
Bancshares Inc. | 2,402,724 | 18,933 | |
* | Arch Capital Group Ltd. | 360,838 | 18,551 |
Torchmark Corp. | 264,893 | 17,255 | |
TD Ameritrade | |||
Holding Corp. | 706,121 | 17,152 | |
New York Community | |||
Bancorp Inc. | 1,199,895 | 16,799 | |
Zions Bancorporation | 527,588 | 15,237 | |
Everest Re Group Ltd. | 114,024 | 14,625 | |
Reinsurance Group of | |||
America Inc. Class A | 206,933 | 14,301 |
33
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
People’s United | |||
Financial Inc. | 944,041 | 14,066 | |
PartnerRe Ltd. | 155,254 | 14,060 | |
Axis Capital Holdings Ltd. | 306,197 | 14,018 | |
First Republic Bank | 355,165 | 13,667 | |
WR Berkley Corp. | 311,824 | 12,741 | |
Hudson City Bancorp Inc. | 1,362,497 | 12,480 | |
NASDAQ OMX Group Inc. | 332,495 | 10,902 | |
Plum Creek Timber | |||
Co. Inc. | 233,510 | 10,898 | |
* | Alleghany Corp. | 22,529 | 8,636 |
* | Realogy Holdings Corp. | 167,208 | 8,033 |
Assurant Inc. | 110,566 | 5,629 | |
Legg Mason Inc. | 168,902 | 5,238 | |
* | ING US Inc. | 181,411 | 4,909 |
* | Berkshire Hathaway Inc. | ||
Class A | 14 | 2,360 | |
5,451,146 | |||
Health Care (14.2%) | |||
Johnson & Johnson | 8,019,394 | 688,545 | |
Pfizer Inc. | 19,098,398 | 534,946 | |
Merck & Co. Inc. | 8,620,958 | 400,444 | |
Bristol-Myers Squibb Co. | 4,689,415 | 209,570 | |
UnitedHealth Group Inc. | 2,912,087 | 190,684 | |
Abbott Laboratories | 4,450,503 | 155,234 | |
Medtronic Inc. | 2,900,688 | 149,298 | |
Eli Lilly & Co. | 2,902,608 | 142,576 | |
Baxter International Inc. | 1,551,281 | 107,457 | |
AbbVie Inc. | 2,260,639 | 93,455 | |
Thermo Fisher | |||
Scientific Inc. | 1,024,701 | 86,720 | |
Covidien plc | 1,343,176 | 84,405 | |
WellPoint Inc. | 857,498 | 70,178 | |
Aetna Inc. | 1,079,783 | 68,609 | |
Cigna Corp. | 814,538 | 59,046 | |
Becton Dickinson | |||
and Co. | 554,554 | 54,807 | |
Humana Inc. | 449,553 | 37,933 | |
St. Jude Medical Inc. | 808,928 | 36,911 | |
* | Life Technologies Corp. | 491,873 | 36,404 |
Zimmer Holdings Inc. | 480,587 | 36,015 | |
* | Boston Scientific Corp. | 3,851,419 | 35,703 |
* | Mylan Inc. | 1,092,254 | 33,893 |
HCA Holdings Inc. | 763,738 | 27,540 | |
Quest Diagnostics Inc. | 451,065 | 27,348 | |
* | CareFusion Corp. | 627,494 | 23,123 |
* | Hospira Inc. | 473,927 | 18,156 |
Universal Health | |||
Services Inc. Class B | 259,927 | 17,405 | |
* | Hologic Inc. | 771,604 | 14,892 |
* | Forest Laboratories Inc. | 344,152 | 14,110 |
Patterson Cos. Inc. | 227,320 | 8,547 | |
* | Endo Health | ||
Solutions Inc. | 160,822 | 5,917 | |
Zoetis Inc. | 79,875 | 2,467 | |
3,472,338 |
Market | |||
Value | |||
Shares | ($000) | ||
Industrials (12.1%) | |||
General Electric Co. | 29,521,129 | 684,595 | |
United Technologies | |||
Corp. | 2,624,552 | 243,926 | |
Honeywell | |||
International Inc. | 2,246,182 | 178,212 | |
Caterpillar Inc. | 1,877,655 | 154,888 | |
Emerson Electric Co. | 2,052,295 | 111,932 | |
Boeing Co. | 1,082,966 | 110,939 | |
Lockheed Martin Corp. | 918,862 | 99,660 | |
Deere & Co. | 1,107,773 | 90,006 | |
Eaton Corp. plc | 1,350,657 | 88,887 | |
FedEx Corp. | 859,384 | 84,718 | |
Illinois Tool Works Inc. | 1,221,593 | 84,498 | |
General Dynamics Corp. | 957,808 | 75,025 | |
CSX Corp. | 2,917,572 | 67,658 | |
Norfolk Southern Corp. | 899,518 | 65,350 | |
Raytheon Co. | 926,707 | 61,274 | |
Northrop Grumman Corp. | 671,349 | 55,588 | |
TE Connectivity Ltd. | 1,185,925 | 54,007 | |
Waste Management Inc. | 1,266,569 | 51,081 | |
Ingersoll-Rand plc | 810,585 | 45,004 | |
Tyco International Ltd. | 1,324,599 | 43,645 | |
Parker Hannifin Corp. | 426,087 | 40,649 | |
Dover Corp. | 488,399 | 37,929 | |
Xerox Corp. | 3,330,101 | 30,204 | |
Fluor Corp. | 464,543 | 27,552 | |
PACCAR Inc. | 504,799 | 27,087 | |
Republic Services Inc. | |||
Class A | 774,064 | 26,272 | |
Rockwell Collins Inc. | 387,280 | 24,557 | |
L-3 Communications | |||
Holdings Inc. | 243,969 | 20,918 | |
* | Jacobs Engineering | ||
Group Inc. | 354,647 | 19,552 | |
Vulcan Materials Co. | 370,961 | 17,958 | |
Ball Corp. | 426,230 | 17,706 | |
MeadWestvaco Corp. | 504,637 | 17,213 | |
* | Crown Holdings Inc. | 412,102 | 16,950 |
Joy Global Inc. | 304,487 | 14,777 | |
Xylem Inc. | 526,744 | 14,190 | |
Timken Co. | 247,794 | 13,946 | |
KBR Inc. | 423,535 | 13,765 | |
Sealed Air Corp. | 561,298 | 13,443 | |
MDU Resources | |||
Group Inc. | 513,972 | 13,317 | |
AGCO Corp. | 264,772 | 13,289 | |
* | Avnet Inc. | 392,715 | 13,195 |
Manpowergroup Inc. | 221,022 | 12,112 | |
* | Arrow Electronics Inc. | 299,616 | 11,940 |
Jabil Circuit Inc. | 522,552 | 10,650 | |
SPX Corp. | 126,184 | 9,083 | |
* | Owens-Illinois Inc. | 231,668 | 6,438 |
* | Owens Corning | 161,876 | 6,326 |
Gardner Denver Inc. | 69,370 | 5,215 |
34
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Allison Transmission | |||
Holdings Inc. | 104,271 | 2,406 | |
2,949,532 | |||
Oil & Gas (12.6%) | |||
Exxon Mobil Corp. | 12,694,492 | 1,146,947 | |
Chevron Corp. | 5,534,458 | 654,948 | |
ConocoPhillips | 3,490,633 | 211,183 | |
Occidental | |||
Petroleum Corp. | 2,300,066 | 205,235 | |
Phillips 66 | 1,767,832 | 104,143 | |
Apache Corp. | 1,118,706 | 93,781 | |
Marathon Oil Corp. | 2,023,547 | 69,974 | |
Marathon | |||
Petroleum Corp. | 927,190 | 65,886 | |
Baker Hughes Inc. | 1,261,292 | 58,183 | |
Devon Energy Corp. | 1,101,004 | 57,120 | |
Hess Corp. | 832,982 | 55,385 | |
Valero Energy Corp. | 1,556,934 | 54,135 | |
Halliburton Co. | 1,263,834 | 52,727 | |
Chesapeake | |||
Energy Corp. | 1,712,358 | 34,898 | |
Williams Cos. Inc. | 974,385 | 31,638 | |
Murphy Oil Corp. | 517,841 | 31,531 | |
HollyFrontier Corp. | 579,814 | 24,805 | |
Tesoro Corp. | 386,575 | 20,226 | |
OGE Energy Corp. | 282,928 | 19,296 | |
* | Denbury Resources Inc. | 1,068,481 | 18,506 |
Helmerich & Payne Inc. | 288,543 | 18,020 | |
Cimarex Energy Co. | 235,238 | 15,288 | |
Diamond Offshore | |||
Drilling Inc. | 199,162 | 13,700 | |
Nabors Industries Ltd. | 801,920 | 12,277 | |
Energen Corp. | 206,938 | 10,815 | |
* | Newfield Exploration Co. | 194,181 | 4,639 |
* | Ultra Petroleum Corp. | 205,264 | 4,068 |
3,089,354 | |||
Technology (6.8%) | |||
Microsoft Corp. | 21,458,219 | 740,952 | |
Cisco Systems Inc. | 15,258,035 | 370,923 | |
Hewlett-Packard Co. | 5,505,884 | 136,546 | |
Corning Inc. | 4,211,162 | 59,925 | |
Dell Inc. | 4,261,097 | 56,886 | |
Symantec Corp. | 1,988,788 | 44,688 | |
Seagate Technology plc | 869,982 | 39,001 | |
Western Digital Corp. | 607,269 | 37,705 | |
CA Inc. | 906,627 | 25,957 | |
Applied Materials Inc. | 1,715,045 | 25,571 | |
Motorola Solutions Inc. | 348,922 | 20,143 | |
Computer Sciences Corp. | 428,848 | 18,771 | |
* | Synopsys Inc. | 438,066 | 15,661 |
Harris Corp. | 312,783 | 15,405 | |
SAIC Inc. | 980,774 | 13,662 | |
Marvell Technology | |||
Group Ltd. | 1,123,858 | 13,160 | |
Garmin Ltd. | 336,260 | 12,159 |
Market | |||
Value | |||
Shares | ($000) | ||
* | LSI Corp. | 779,979 | 5,569 |
* | ON Semiconductor Corp. | 636,868 | 5,146 |
1,657,830 | |||
Telecommunications (4.6%) | |||
AT&T Inc. | 15,359,916 | 543,741 | |
Verizon | |||
Communications Inc. | 8,168,176 | 411,186 | |
CenturyLink Inc. | 1,738,707 | 61,463 | |
* | Sprint Nextel Corp. | 8,616,023 | 60,485 |
^ | Windstream Corp. | 1,697,303 | 13,086 |
T-Mobile US Inc. | 515,762 | 12,796 | |
^ | Frontier | ||
Communications Corp. | 2,825,120 | 11,442 | |
1,114,199 | |||
Utilities (5.7%) | |||
Duke Energy Corp. | 2,014,786 | 135,998 | |
Southern Co. | 2,484,858 | 109,657 | |
NextEra Energy Inc. | 1,212,233 | 98,773 | |
Dominion Resources Inc. | 1,649,179 | 93,706 | |
Exelon Corp. | 2,443,352 | 75,451 | |
Spectra Energy Corp. | 1,910,449 | 65,834 | |
American Electric | |||
Power Co. Inc. | 1,387,585 | 62,136 | |
PG&E Corp. | 1,262,285 | 57,724 | |
Sempra Energy | 660,576 | 54,009 | |
PPL Corp. | 1,690,968 | 51,169 | |
Consolidated Edison Inc. | 836,103 | 48,753 | |
Public Service | |||
Enterprise Group Inc. | 1,444,425 | 47,175 | |
Edison International | 930,143 | 44,796 | |
FirstEnergy Corp. | 1,193,943 | 44,582 | |
Xcel Energy Inc. | 1,419,537 | 40,230 | |
Northeast Utilities | 898,189 | 37,742 | |
Entergy Corp. | 508,622 | 35,441 | |
DTE Energy Co. | 496,395 | 33,263 | |
CenterPoint Energy Inc. | 1,221,984 | 28,704 | |
Wisconsin Energy Corp. | 652,902 | 26,762 | |
NiSource Inc. | 889,860 | 25,485 | |
Ameren Corp. | 692,587 | 23,853 | |
AES Corp. | 1,811,413 | 21,719 | |
American Water | |||
Works Co. Inc. | 507,255 | 20,914 | |
CMS Energy Corp. | 761,621 | 20,693 | |
SCANA Corp. | 358,224 | 17,589 | |
Pinnacle West | |||
Capital Corp. | 313,846 | 17,409 | |
Alliant Energy Corp. | 317,772 | 16,022 | |
Pepco Holdings Inc. | 709,083 | 14,295 | |
Integrys Energy | |||
Group Inc. | 226,793 | 13,274 | |
National Fuel Gas Co. | 227,433 | 13,180 | |
TECO Energy Inc. | 592,198 | 10,180 | |
1,406,518 | |||
Total Common Stocks | |||
(Cost $22,095,777) | 24,405,437 |
35
Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Temporary Cash Investments (0.1%)1 | |||
Money Market Fund (0.1%) | |||
2,3 | Vanguard Market Liquidity | ||
Fund, 0.127% | 13,188,902 | 13,189 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.100%, 9/20/13 | 2,000 | 2,000 | |
5,6 | Freddie Mac Discount Notes, | ||
0.110%, 11/12/13 | 1,000 | 999 | |
2,999 | |||
Total Temporary Cash Investments | |||
(Cost $16,188) | 16,188 | ||
Total Investments (99.9%) | |||
(Cost $22,111,965) | 24,421,625 | ||
Other Assets and Liabilities (0.1%) | |||
Other Assets | 145,911 | ||
Liabilities3 | (132,233) | ||
13,678 | |||
Net Assets (100%) | 24,435,303 | ||
At June 30, 2013, net assets consisted of: | |||
Amount | |||
($000) | |||
Paid-in Capital | 22,569,754 | ||
Overdistributed Net Investment Income | (4,454) | ||
Accumulated Net Realized Losses | (439,813) | ||
Unrealized Appreciation (Depreciation) | |||
Investment Securities | 2,309,660 | ||
Futures Contracts | 156 | ||
Net Assets | 24,435,303 |
Amount | |
($000) | |
Investor Shares—Net Assets | |
Applicable to 61,437,769 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,623,062 |
Net Asset Value Per Share— | |
Investor Shares | $26.42 |
Admiral Shares—Net Assets | |
Applicable to 162,342,191 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,288,271 |
Net Asset Value Per Share— | |
Admiral Shares | $26.42 |
Signal Shares—Net Assets | |
Applicable to 91,127,956 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,504,775 |
Net Asset Value Per Share— | |
Signal Shares | $27.49 |
Institutional Shares—Net Assets | |
Applicable to 207,134,509 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,471,178 |
Net Asset Value Per Share— | |
Institutional Shares | $26.41 |
ETF Shares—Net Assets | |
Applicable to 155,771,568 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 10,548,017 |
Net Asset Value Per Share— | |
ETF Shares | $67.71 |
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 $11,896,000.
* 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 -0.1%, 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 $13,189,000 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 $1,399,000 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
See accompanying Notes, which are an integral part of the Financial Statements.
36
Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 291,771 |
Interest1 | 22 |
Securities Lending | 633 |
Total Income | 292,426 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 664 |
Management and Administrative—Investor Shares | 1,636 |
Management and Administrative—Admiral Shares | 1,421 |
Management and Administrative—Signal Shares | 690 |
Management and Administrative—Institutional Shares | 1,253 |
Management and Administrative—ETF Shares | 2,704 |
Marketing and Distribution—Investor Shares | 185 |
Marketing and Distribution—Admiral Shares | 280 |
Marketing and Distribution—Signal Shares | 306 |
Marketing and Distribution—Institutional Shares | 531 |
Marketing and Distribution—ETF Shares | 1,064 |
Custodian Fees | 183 |
Shareholders’ Reports—Investor Shares | 28 |
Shareholders’ Reports—Admiral Shares | 21 |
Shareholders’ Reports—Signal Shares | 9 |
Shareholders’ Reports—Institutional Shares | 37 |
Shareholders’ Reports—ETF Shares | 131 |
Trustees’ Fees and Expenses | 15 |
Total Expenses | 11,158 |
Net Investment Income | 281,268 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 1,210,740 |
Futures Contracts | 1,205 |
Realized Net Gain (Loss) | 1,211,945 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,698,524 |
Futures Contracts | 156 |
Change in Unrealized Appreciation (Depreciation) | 1,698,680 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,191,893 |
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.
37
Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 281,268 | 482,329 |
Realized Net Gain (Loss) | 1,211,945 | 583,872 |
Change in Unrealized Appreciation (Depreciation) | 1,698,680 | 1,269,213 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,191,893 | 2,335,414 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (17,797) | (40,486) |
Admiral Shares | (48,135) | (95,460) |
Signal Shares | (28,039) | (50,325) |
Institutional Shares | (61,967) | (120,114) |
ETF Shares | (113,265) | (176,096) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (269,203) | (482,481) |
Capital Share Transactions | ||
Investor Shares | (82,549) | (538,521) |
Admiral Shares | 206,986 | 49,830 |
Signal Shares | 180,158 | 357,771 |
Institutional Shares | 416,803 | 484,020 |
ETF Shares | 2,363,073 | 1,327,951 |
Net Increase (Decrease) from Capital Share Transactions | 3,084,471 | 1,681,051 |
Total Increase (Decrease) | 6,007,161 | 3,533,984 |
Net Assets | ||
Beginning of Period | 18,428,142 | 14,894,158 |
End of Period1 | 24,435,303 | 18,428,142 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($4,454,000) and ($16,519,000).
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $22.93 | $20.47 | $20.79 | $18.63 | $16.08 | $25.94 |
Investment Operations | ||||||
Net Investment Income | .300 | .595 | .521 | .459 | .498 | .660 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.475 | 2.458 | (.325) | 2.163 | 2.561 | (9.863) |
Total from Investment Operations | 3.775 | 3.053 | .196 | 2.622 | 3.059 | (9.203) |
Distributions | ||||||
Dividends from Net Investment Income | (.285) | (.593) | (.516) | (.462) | (.509) | (.657) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.285) | (.593) | (.516) | (.462) | (.509) | (.657) |
Net Asset Value, End of Period | $26.42 | $22.93 | $20.47 | $20.79 | $18.63 | $16.08 |
Total Return1 | 16.50% | 15.00% | 1.00% | 14.28% | 19.58% | -35.97% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,623 | $1,482 | $1,814 | $2,317 | $3,357 | $2,618 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.26% | 0.26% | 0.21% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.47% | 2.71% | 2.52% | 2.43% | 3.09% | 3.14% |
Portfolio Turnover Rate2 | 32% | 22% | 23% | 27% | 31% | 27% |
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $22.93 | $20.47 | $20.79 | $18.63 | $16.08 | $25.94 |
Investment Operations | ||||||
Net Investment Income | .319 | .629 | .551 | .488 | .517 | .681 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.474 | 2.458 | (.325) | 2.162 | 2.562 | (9.863) |
Total from Investment Operations | 3.793 | 3.087 | .226 | 2.650 | 3.079 | (9.182) |
Distributions | ||||||
Dividends from Net Investment Income | (.303) | (.627) | (.546) | (.490) | (.529) | (.678) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.303) | (.627) | (.546) | (.490) | (.529) | (.678) |
Net Asset Value, End of Period | $26.42 | $22.93 | $20.47 | $20.79 | $18.63 | $16.08 |
Total Return1 | 16.58% | 15.18% | 1.14% | 14.45% | 19.72% | -35.90% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,288 | $3,539 | $3,116 | $3,082 | $1,421 | $1,262 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.62% | 2.85% | 2.66% | 2.57% | 3.21% | 3.24% |
Portfolio Turnover Rate2 | 32% | 22% | 23% | 27% | 31% | 27% |
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 | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $23.86 | $21.30 | $21.63 | $19.38 | $16.73 | $27.00 |
Investment Operations | ||||||
Net Investment Income | .331 | .654 | .574 | .508 | .538 | .710 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.614 | 2.558 | (.335) | 2.252 | 2.663 | (10.274) |
Total from Investment Operations | 3.945 | 3.212 | .239 | 2.760 | 3.201 | (9.564) |
Distributions | ||||||
Dividends from Net Investment Income | (.315) | (.652) | (.569) | (.510) | (.551) | (.706) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.315) | (.652) | (.569) | (.510) | (.551) | (.706) |
Net Asset Value, End of Period | $27.49 | $23.86 | $21.30 | $21.63 | $19.38 | $16.73 |
Total Return | 16.58% | 15.18% | 1.16% | 14.46% | 19.70% | -35.93% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,505 | $2,011 | $1,467 | $1,018 | $907 | $638 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.62% | 2.85% | 2.66% | 2.57% | 3.21% | 3.24% |
Portfolio Turnover Rate1 | 32% | 22% | 23% | 27% | 31% | 27% |
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.
41
Value Index Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $22.93 | $20.47 | $20.79 | $18.63 | $16.08 | $25.94 |
Investment Operations | ||||||
Net Investment Income | .321 | .633 | .556 | .496 | .527 | .690 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.465 | 2.458 | (.325) | 2.162 | 2.562 | (9.864) |
Total from Investment Operations | 3.786 | 3.091 | .231 | 2.658 | 3.089 | (9.174) |
Distributions | ||||||
Dividends from Net Investment Income | (.306) | (.631) | (.551) | (.498) | (.539) | (.686) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.306) | (.631) | (.551) | (.498) | (.539) | (.686) |
Net Asset Value, End of Period | $26.41 | $22.93 | $20.47 | $20.79 | $18.63 | $16.08 |
Total Return | 16.55% | 15.20% | 1.17% | 14.49% | 19.79% | -35.88% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,471 | $4,369 | $3,449 | $3,450 | $2,812 | $1,992 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.63% | 2.87% | 2.68% | 2.61% | 3.27% | 3.28% |
Portfolio Turnover Rate1 | 32% | 22% | 23% | 27% | 31% | 27% |
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $58.79 | $52.48 | $53.29 | $47.75 | $41.21 | $66.51 |
Investment Operations | ||||||
Net Investment Income | .820 | 1.613 | 1.414 | 1.252 | 1.324 | 1.754 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 8.879 | 6.305 | (.821) | 5.545 | 6.573 | (25.311) |
Total from Investment Operations | 9.699 | 7.918 | .593 | 6.797 | 7.897 | (23.557) |
Distributions | ||||||
Dividends from Net Investment Income | (.779) | (1.608) | (1.403) | (1.257) | (1.357) | (1.743) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.779) | (1.608) | (1.403) | (1.257) | (1.357) | (1.743) |
Net Asset Value, End of Period | $67.71 | $58.79 | $52.48 | $53.29 | $47.75 | $41.21 |
Total Return | 16.54% | 15.19% | 1.16% | 14.45% | 19.72% | -35.91% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,548 | $7,027 | $5,049 | $4,330 | $3,145 | $2,165 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.62% | 2.85% | 2.66% | 2.57% | 3.21% | 3.25% |
Portfolio Turnover Rate1 | 32% | 22% | 23% | 27% | 31% | 27% |
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 NYSE Arca; they can be purchased and sold through a broker.
On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Prime Market Value Index to the CRSP US Large Cap Value Index. The benchmark change was effective on April 17, 2013. The fund’s investment objective has not changed.
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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength
44
Value Index Fund
of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
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, 2009–2012), and for the period ended June 30, 2013, 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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.
45
Value Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2013, the fund had contributed capital of $2,948,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.18% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 24,405,437 | — | — |
Temporary Cash Investments | 13,189 | 2,999 | — |
Futures Contracts—Liabilities1 | (122) | — | — |
Total | 24,418,504 | 2,999 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2013, 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 500 Index | September 2013 | 335 | 26,788 | 156 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
46
Value Index Fund
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, 2013, the fund realized $125,746,000 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, 2012, the fund had available capital losses totaling $1,525,636,000 to offset future net capital gains. Of this amount, $1,518,501,000 is subject to expiration on December 31, 2017. Capital losses of $7,135,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $22,111,965,000. Net unrealized appreciation of investment securities for tax purposes was $2,309,660,000, consisting of unrealized gains of $3,234,982,000 on securities that had risen in value since their purchase and $925,322,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $8,644,213,000 of investment securities and sold $5,569,565,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,738,588,000 and $411,884,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
47
Value Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 137,475 | 5,378 | 263,810 | 11,888 |
Issued in Lieu of Cash Distributions | 16,182 | 630 | 38,404 | 1,711 |
Redeemed | (236,206) | (9,183) | (840,735) | (37,593) |
Net Increase (Decrease)—Investor Shares | (82,549) | (3,175) | (538,521) | (23,994) |
Admiral Shares | ||||
Issued | 368,825 | 14,350 | 398,762 | 17,922 |
Issued in Lieu of Cash Distributions | 42,832 | 1,667 | 84,832 | 3,775 |
Redeemed | (204,671) | (8,027) | (433,764) | (19,522) |
Net Increase (Decrease)—Admiral Shares | 206,986 | 7,990 | 49,830 | 2,175 |
Signal Shares | ||||
Issued | 429,481 | 16,165 | 740,791 | 32,096 |
Issued in Lieu of Cash Distributions | 23,400 | 875 | 41,738 | 1,783 |
Redeemed | (272,723) | (10,193) | (424,758) | (18,449) |
Net Increase (Decrease)—Signal Shares | 180,158 | 6,847 | 357,771 | 15,430 |
Institutional Shares | ||||
Issued | 751,171 | 29,674 | 1,186,579 | 53,648 |
Issued in Lieu of Cash Distributions | 59,583 | 2,319 | 114,935 | 5,113 |
Redeemed | (393,951) | (15,376) | (817,494) | (36,688) |
Net Increase (Decrease)—Institutional Shares | 416,803 | 16,617 | 484,020 | 22,073 |
ETF Shares | ||||
Issued | 2,780,072 | 42,737 | 3,242,989 | 57,134 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (416,999) | (6,500) | (1,915,038) | (33,800) |
Net Increase (Decrease)—ETF Shares | 2,363,073 | 36,237 | 1,327,951 | 23,334 |
H. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
48
Large-Cap Index Fund
Fund Profile
As of June 30, 2013
Share-Class Characteristics | |||||
Investor | Admiral | Signal | Institutional | ||
Shares | Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VLACX | VLCAX | VLCSX | VLISX | VV |
Expense Ratio1 | 0.24% | 0.10% | 0.10% | 0.08% | 0.10% |
30-Day SEC Yield | 1.91% | 2.06% | 2.06% | 2.07% | 2.06% |
Portfolio Characteristics | |||
DJ U.S. | |||
CRSP US | Total | ||
Large | Market | ||
Cap | FA | ||
Fund | Index | Index | |
Number of Stocks | 644 | 644 | 3,622 |
Median Market Cap | $53.8B | $53.8B | $38.5B |
Price/Earnings Ratio | 17.6x | 17.7x | 18.4x |
Price/Book Ratio | 2.4x | 2.4x | 2.3x |
Return on Equity | 17.7% | 17.5% | 16.4% |
Earnings Growth Rate | 10.8% | 10.7% | 10.7% |
Dividend Yield | 2.1% | 2.1% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 9% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
DJ U.S. | |||
Total | |||
CRSP US | Market | ||
Large Cap | FA | ||
Fund | Index | Index | |
Basic Materials | 2.7% | 2.7% | 2.9% |
Consumer Goods | 10.8 | 10.8 | 10.6 |
Consumer Services | 13.3 | 13.3 | 13.4 |
Financials | 17.8 | 18.0 | 18.9 |
Health Care | 11.9 | 11.9 | 11.7 |
Industrials | 11.9 | 11.9 | 12.8 |
Oil & Gas | 10.3 | 10.2 | 9.6 |
Technology | 15.1 | 15.0 | 14.2 |
Telecommunications | 2.8 | 2.8 | 2.5 |
Utilities | 3.4 | 3.4 | 3.4 |
Volatility Measures | ||
DJ U.S. | ||
Spliced | Total | |
Large Cap | Market | |
Index | FA Index | |
R-Squared | 1.00 | 1.00 |
Beta | 1.00 | 0.97 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
Exxon Mobil Corp. | Integrated Oil & Gas | 2.6% |
Apple Inc. | Computer Hardware | 2.4 |
Microsoft Corp. | Software | 1.7 |
Johnson & Johnson | Pharmaceuticals | 1.6 |
General Electric Co. | Diversified Industrials | 1.6 |
Google Inc. | Internet | 1.6 |
Chevron Corp. | Integrated Oil & Gas | 1.5 |
Wells Fargo & Co. | Banks | 1.4 |
International Business | ||
Machines Corp. | Computer Services | 1.4 |
Procter & Gamble Co. | Nondurable | |
Household Products | 1.4 | |
Top Ten | 17.2% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, the annualized expense ratios were 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares.
49
Large-Cap Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/usstock_lgcapx52x1.jpg)
50
Large-Cap Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/usstock_lgcapx53x1.jpg)
Note: For 2013, performance data reflect the six months ended June 30, 2013.
Average Annual Total Returns: Periods Ended June 30, 2013
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 1/30/2004 | 20.63% | 6.93% | 6.22% |
Admiral Shares | 2/2/2004 | 20.81 | 7.07 | 6.31 |
Signal Shares | 8/30/2007 | 20.78 | 7.07 | 4.23 |
Institutional Shares | 6/30/2005 | 20.82 | 7.10 | 6.36 |
ETF Shares | 1/27/2004 | |||
Market Price | 20.78 | 7.08 | 6.22 | |
Net Asset Value | 20.81 | 7.07 | 6.22 |
See Financial Highlights for dividend and capital gains information.
51
Large-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2013
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.8%)1 | ||
Basic Materials (2.7%) | ||
EI du Pont de Nemours | ||
& Co. | 429,045 | 22,525 |
Dow Chemical Co. | 563,715 | 18,135 |
Praxair Inc. | 137,888 | 15,879 |
Freeport-McMoRan | ||
Copper & Gold Inc. | 483,854 | 13,359 |
LyondellBasell | ||
Industries NV Class A | 187,772 | 12,442 |
Ecolab Inc. | 124,196 | 10,580 |
PPG Industries Inc. | 63,287 | 9,266 |
International Paper Co. | 207,374 | 9,189 |
Air Products & | ||
Chemicals Inc. | 97,173 | 8,898 |
Mosaic Co. | 131,584 | 7,081 |
Newmont Mining Corp. | 229,227 | 6,865 |
Nucor Corp. | 147,943 | 6,409 |
Eastman Chemical Co. | 72,165 | 5,052 |
CF Industries Holdings Inc. | 27,648 | 4,742 |
Sigma-Aldrich Corp. | 56,013 | 4,501 |
Alcoa Inc. | 497,889 | 3,894 |
FMC Corp. | 63,327 | 3,867 |
Celanese Corp. Class A | 74,508 | 3,338 |
Ashland Inc. | 36,747 | 3,068 |
Airgas Inc. | 30,795 | 2,940 |
CONSOL Energy Inc. | 106,383 | 2,883 |
International Flavors & | ||
Fragrances Inc. | 38,012 | 2,857 |
* WR Grace & Co. | 33,724 | 2,834 |
Albemarle Corp. | 40,971 | 2,552 |
Reliance Steel & | ||
Aluminum Co. | 33,818 | 2,217 |
Avery Dennison Corp. | 46,522 | 1,989 |
Peabody Energy Corp. | 125,820 | 1,842 |
Huntsman Corp. | 90,003 | 1,490 |
Cliffs Natural | ||
Resources Inc. | 36,283 | 590 |
191,284 |
Market | |||
Value | |||
Shares | ($000) | ||
Consumer Goods (10.8%) | |||
Procter & Gamble Co. | 1,277,756 | 98,374 | |
Coca-Cola Co. | 1,868,732 | 74,955 | |
Philip Morris | |||
International Inc. | 724,339 | 62,742 | |
PepsiCo Inc. | 721,010 | 58,971 | |
Altria Group Inc. | 936,128 | 32,755 | |
Ford Motor Co. | 1,799,138 | 27,833 | |
Colgate-Palmolive Co. | 434,782 | 24,909 | |
Monsanto Co. | 248,789 | 24,580 | |
Mondelez International | |||
Inc. Class A | 831,652 | 23,727 | |
NIKE Inc. Class B | 333,596 | 21,243 | |
Kimberly-Clark Corp. | 179,218 | 17,409 | |
Kraft Foods Group Inc. | 277,132 | 15,483 | |
General Mills Inc. | 300,448 | 14,581 | |
* | General Motors Co. | 384,208 | 12,798 |
Johnson Controls Inc. | 319,328 | 11,429 | |
Archer-Daniels- | |||
Midland Co. | 307,248 | 10,419 | |
Kellogg Co. | 137,178 | 8,811 | |
VF Corp. | 40,883 | 7,893 | |
Lorillard Inc. | 176,152 | 7,694 | |
Coach Inc. | 131,073 | 7,483 | |
Mead Johnson | |||
Nutrition Co. | 94,421 | 7,481 | |
Delphi Automotive plc | 145,844 | 7,393 | |
Reynolds American Inc. | 152,825 | 7,392 | |
Estee Lauder Cos. | |||
Inc. Class A | 111,218 | 7,315 | |
Mattel Inc. | 161,069 | 7,298 | |
ConAgra Foods Inc. | 194,036 | 6,778 | |
Hershey Co. | 68,580 | 6,123 | |
Stanley Black & | |||
Decker Inc. | 75,497 | 5,836 | |
Harley-Davidson Inc. | 104,358 | 5,721 | |
Genuine Parts Co. | 68,511 | 5,349 | |
Clorox Co. | 61,268 | 5,094 | |
Ralph Lauren Corp. | |||
Class A | 28,514 | 4,954 |
52
Large-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
JM Smucker Co. | 47,559 | 4,906 | |
Beam Inc. | 75,027 | 4,735 | |
PVH Corp. | 37,765 | 4,722 | |
* | BorgWarner Inc. | 53,887 | 4,642 |
Bunge Ltd. | 64,987 | 4,599 | |
Dr Pepper Snapple | |||
Group Inc. | 94,965 | 4,362 | |
Coca-Cola | |||
Enterprises Inc. | 121,146 | 4,259 | |
Campbell Soup Co. | 94,706 | 4,242 | |
Avon Products Inc. | 201,657 | 4,241 | |
Whirlpool Corp. | 36,946 | 4,225 | |
* | Green Mountain | ||
Coffee Roasters Inc. | 55,537 | 4,169 | |
* | Monster Beverage Corp. | 65,663 | 3,990 |
Church & Dwight Co. Inc. | 64,314 | 3,969 | |
* | Constellation Brands Inc. | ||
Class A | 71,690 | 3,736 | |
McCormick & Co. Inc. | 52,979 | 3,727 | |
* | Tesla Motors Inc. | 33,079 | 3,554 |
Newell Rubbermaid Inc. | 134,707 | 3,536 | |
Tyson Foods Inc. Class A | 133,028 | 3,416 | |
* | TRW Automotive | ||
Holdings Corp. | 50,302 | 3,342 | |
Brown-Forman Corp. | |||
Class B | 48,056 | 3,246 | |
* | LKQ Corp. | 125,500 | 3,232 |
Molson Coors | |||
Brewing Co. Class B | 66,095 | 3,163 | |
* | Electronic Arts Inc. | 134,433 | 3,088 |
* | Lululemon Athletica Inc. | 47,080 | 3,085 |
* | PulteGroup Inc. | 162,365 | 3,080 |
* | Mohawk Industries Inc. | 27,120 | 3,051 |
Activision Blizzard Inc. | 208,899 | 2,979 | |
Energizer Holdings Inc. | 29,112 | 2,926 | |
DR Horton Inc. | 135,609 | 2,886 | |
Lennar Corp. Class A | 74,930 | 2,700 | |
Lear Corp. | 43,198 | 2,612 | |
Hasbro Inc. | 54,495 | 2,443 | |
* | Fossil Group Inc. | 23,286 | 2,406 |
Hormel Foods Corp. | 61,966 | 2,391 | |
* | WABCO Holdings Inc. | 29,082 | 2,172 |
* | NVR Inc. | 2,085 | 1,922 |
Herbalife Ltd. | 38,413 | 1,734 | |
* | Smithfield Foods Inc. | 32,483 | 1,064 |
* | Coty Inc. Class A | 27,022 | 464 |
Lennar Corp. Class B | 975 | 28 | |
769,867 | |||
Consumer Services (13.3%) | |||
Wal-Mart Stores Inc. | 763,828 | 56,898 | |
Home Depot Inc. | 681,005 | 52,757 | |
Walt Disney Co. | 755,633 | 47,718 | |
* | Amazon.com Inc. | 169,787 | 47,148 |
McDonald’s Corp. | 467,264 | 46,259 | |
Comcast Corp. Class A | 932,319 | 39,046 |
Market | |||
Value | |||
Shares | ($000) | ||
CVS Caremark Corp. | 570,677 | 32,631 | |
News Corp. Class A | 864,251 | 28,175 | |
* | eBay Inc. | 544,436 | 28,158 |
Time Warner Inc. | 412,717 | 23,863 | |
Costco Wholesale Corp. | 203,507 | 22,502 | |
Starbucks Corp. | 331,494 | 21,710 | |
Target Corp. | 299,094 | 20,596 | |
Lowe’s Cos. Inc. | 499,876 | 20,445 | |
* | priceline.com Inc. | 24,046 | 19,889 |
Walgreen Co. | 397,461 | 17,568 | |
TJX Cos. Inc. | 318,678 | 15,953 | |
Time Warner Cable Inc. | 135,607 | 15,253 | |
* | DIRECTV | 247,349 | 15,242 |
Yum! Brands Inc. | 209,711 | 14,541 | |
Viacom Inc. Class B | 206,046 | 14,021 | |
CBS Corp. Class B | 266,676 | 13,032 | |
McKesson Corp. | 105,705 | 12,103 | |
Comcast Corp. | 290,948 | 11,542 | |
Sysco Corp. | 276,725 | 9,453 | |
Las Vegas Sands Corp. | 173,099 | 9,162 | |
Whole Foods Market Inc. | 172,992 | 8,906 | |
Macy’s Inc. | 178,916 | 8,588 | |
Kroger Co. | 230,383 | 7,957 | |
Omnicom Group Inc. | 120,550 | 7,579 | |
Cardinal Health Inc. | 159,157 | 7,512 | |
* | Delta Air Lines Inc. | 398,797 | 7,462 |
Carnival Corp. | 207,057 | 7,100 | |
* | Liberty Global plc | ||
Class A | 93,511 | 6,927 | |
* | Dollar General Corp. | 137,183 | 6,918 |
* | Bed Bath & Beyond Inc. | 96,854 | 6,867 |
* | AutoZone Inc. | 15,956 | 6,760 |
Ross Stores Inc. | 97,204 | 6,300 | |
AmerisourceBergen Corp. | |||
Class A | 107,464 | 6,000 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 90,720 | 5,733 | |
L Brands Inc. | 114,522 | 5,640 | |
* | O’Reilly Automotive Inc. | 48,999 | 5,518 |
Gap Inc. | 129,919 | 5,422 | |
* | Liberty Interactive Corp. | ||
Class A | 233,079 | 5,363 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 68,088 | 5,257 | |
* | Netflix Inc. | 24,829 | 5,241 |
* | Chipotle Mexican Grill Inc. | ||
Class A | 14,384 | 5,241 | |
* | Liberty Media Corp. | ||
Class A | 41,296 | 5,235 | |
* | Dollar Tree Inc. | 99,261 | 5,046 |
Sirius XM Radio Inc. | 1,485,763 | 4,977 | |
Staples Inc. | 309,031 | 4,901 | |
* | United Continental | ||
Holdings Inc. | 155,406 | 4,863 |
53
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | CarMax Inc. | 104,761 | 4,836 |
Wynn Resorts Ltd. | 37,703 | 4,826 | |
* | Liberty Global plc | 69,877 | 4,744 |
Kohl’s Corp. | 93,052 | 4,700 | |
* | Hertz Global Holdings Inc. | 186,294 | 4,620 |
Southwest Airlines Co. | 336,299 | 4,335 | |
Nordstrom Inc. | 68,509 | 4,106 | |
DISH Network Corp. | |||
Class A | 95,600 | 4,065 | |
* | Charter Communications | ||
Inc. Class A | 30,662 | 3,798 | |
Marriott International Inc. | |||
Class A | 93,270 | 3,765 | |
Tiffany & Co. | 50,625 | 3,688 | |
Wyndham Worldwide Corp. | 63,396 | 3,628 | |
Nielsen Holdings NV | 104,735 | 3,518 | |
H&R Block Inc. | 126,693 | 3,516 | |
Best Buy Co. Inc. | 126,485 | 3,457 | |
Tractor Supply Co. | 29,246 | 3,440 | |
PetSmart Inc. | 48,267 | 3,233 | |
Darden Restaurants Inc. | 60,539 | 3,056 | |
Expedia Inc. | 48,539 | 2,920 | |
Interpublic Group of Cos. | |||
Inc. | 200,221 | 2,913 | |
* | Discovery | ||
Communications Inc. | 40,850 | 2,846 | |
Family Dollar Stores Inc. | 45,588 | 2,841 | |
* | Ulta Salon Cosmetics | ||
& Fragrance Inc. | 28,208 | 2,825 | |
Advance Auto Parts Inc. | 33,995 | 2,759 | |
* | IHS Inc. Class A | 26,024 | 2,716 |
Safeway Inc. | 112,684 | 2,666 | |
Signet Jewelers Ltd. | 37,764 | 2,546 | |
* | MGM Resorts International | 171,373 | 2,533 |
Scripps Networks | |||
Interactive Inc. Class A | 36,971 | 2,468 | |
Williams-Sonoma Inc. | 38,896 | 2,174 | |
* | Urban Outfitters Inc. | 51,509 | 2,072 |
Royal Caribbean | |||
Cruises Ltd. | 61,427 | 2,048 | |
International Game | |||
Technology | 121,661 | 2,033 | |
FactSet Research | |||
Systems Inc. | 19,496 | 1,987 | |
Dun & Bradstreet Corp. | 18,567 | 1,809 | |
* | AutoNation Inc. | 39,756 | 1,725 |
* | TripAdvisor Inc. | 25,958 | 1,580 |
News Corp. Class B | 47,021 | 1,543 | |
* | JC Penney Co. Inc. | 66,782 | 1,141 |
Burger King Worldwide Inc. | 49,183 | 960 | |
* | Sears Holdings Corp. | 19,964 | 840 |
Abercrombie & Fitch Co. | 18,327 | 829 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 14,314 | 434 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Hyatt Hotels Corp. | ||
Class A | 10,697 | 432 | |
CBS Corp. Class A | 4,869 | 238 | |
Viacom Inc. Class A | 975 | 67 | |
942,254 | |||
Financials (17.9%) | |||
Wells Fargo & Co. | 2,469,101 | 101,900 | |
JPMorgan Chase & Co. | 1,762,018 | 93,017 | |
* | Berkshire Hathaway Inc. | ||
Class B | 807,089 | 90,329 | |
Citigroup Inc. | 1,347,642 | 64,646 | |
Bank of America Corp. | 5,025,704 | 64,631 | |
Visa Inc. Class A | 241,481 | 44,131 | |
American Express Co. | 512,045 | 38,280 | |
US Bancorp | 862,076 | 31,164 | |
* | American International | ||
Group Inc. | 688,065 | 30,756 | |
Goldman Sachs Group Inc. | 192,421 | 29,104 | |
Mastercard Inc. Class A | 49,026 | 28,165 | |
Simon Property Group Inc. | 144,644 | 22,842 | |
MetLife Inc. | 408,295 | 18,684 | |
PNC Financial | |||
Services Group Inc. | 246,787 | 17,996 | |
Capital One Financial Corp. | 272,244 | 17,100 | |
Prudential Financial Inc. | 216,327 | 15,798 | |
Morgan Stanley | 639,532 | 15,624 | |
Bank of New York Mellon | |||
Corp. | 540,954 | 15,174 | |
Travelers Cos. Inc. | 175,520 | 14,028 | |
American Tower | |||
Corporation | 184,340 | 13,488 | |
State Street Corp. | 201,953 | 13,169 | |
BlackRock Inc. | 51,112 | 13,128 | |
ACE Ltd. | 142,692 | 12,768 | |
Aflac Inc. | 217,358 | 12,633 | |
CME Group Inc. | 147,851 | 11,234 | |
BB&T Corp. | 327,098 | 11,082 | |
Discover Financial | |||
Services | 228,595 | 10,890 | |
Charles Schwab Corp. | 507,324 | 10,770 | |
Allstate Corp. | 218,434 | 10,511 | |
Public Storage | 68,102 | 10,442 | |
Marsh & McLennan Cos. | |||
Inc. | 256,574 | 10,242 | |
Chubb Corp. | 120,813 | 10,227 | |
HCP Inc. | 211,852 | 9,627 | |
Ventas Inc. | 136,679 | 9,494 | |
Equity Residential | 159,518 | 9,262 | |
Aon plc | 136,898 | 8,809 | |
Health Care REIT Inc. | 131,317 | 8,802 | |
Prologis Inc. | 232,365 | 8,765 | |
Franklin Resources Inc. | 64,428 | 8,763 | |
T. Rowe Price Group Inc. | 114,827 | 8,400 | |
SunTrust Banks Inc. | 251,497 | 7,940 |
54
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
AvalonBay | |||
Communities Inc. | 57,328 | 7,734 | |
Weyerhaeuser Co. | 268,946 | 7,662 | |
Ameriprise Financial Inc. | 94,019 | 7,604 | |
Boston Properties Inc. | 70,791 | 7,466 | |
Fifth Third Bancorp | 407,878 | 7,362 | |
McGraw Hill Financial Inc. | 127,872 | 6,802 | |
Invesco Ltd. | 207,041 | 6,584 | |
Hartford Financial | |||
Services Group Inc. | 212,245 | 6,563 | |
Vornado Realty Trust | 78,471 | 6,501 | |
Loews Corp. | 144,878 | 6,433 | |
Progressive Corp. | 252,349 | 6,415 | |
Moody’s Corp. | 103,766 | 6,322 | |
Regions Financial Corp. | 658,057 | 6,271 | |
M&T Bank Corp. | 54,220 | 6,059 | |
* | IntercontinentalExchange | ||
Inc. | 33,956 | 6,036 | |
Host Hotels & Resorts Inc. | 347,042 | 5,855 | |
Northern Trust Corp. | 100,368 | 5,811 | |
Annaly Capital | |||
Management Inc. | 441,109 | 5,545 | |
General Growth | |||
Properties Inc. | 270,055 | 5,366 | |
Principal Financial | |||
Group Inc. | 136,525 | 5,113 | |
KeyCorp | 428,508 | 4,731 | |
SLM Corp. | 206,815 | 4,728 | |
NYSE Euronext | 113,196 | 4,686 | |
Lincoln National Corp. | 124,928 | 4,556 | |
Western Union Co. | 259,354 | 4,438 | |
* | CIT Group Inc. | 93,681 | 4,368 |
American Capital | |||
Agency Corp. | 185,081 | 4,255 | |
XL Group plc Class A | 135,270 | 4,101 | |
* | Affiliated Managers | ||
Group Inc. | 24,660 | 4,043 | |
Macerich Co. | 63,958 | 3,900 | |
Kimco Realty Corp. | 180,740 | 3,873 | |
Realty Income Corp. | 91,305 | 3,828 | |
Leucadia National Corp. | 144,058 | 3,777 | |
SL Green Realty Corp. | 42,707 | 3,766 | |
Unum Group | 124,659 | 3,661 | |
Digital Realty Trust Inc. | 60,015 | 3,661 | |
Plum Creek Timber Co. Inc. | 75,777 | 3,537 | |
Comerica Inc. | 87,190 | 3,473 | |
Cincinnati Financial Corp. | 72,375 | 3,322 | |
Willis Group Holdings plc | 81,446 | 3,321 | |
Equifax Inc. | 56,093 | 3,306 | |
Rayonier Inc. | 58,921 | 3,264 | |
* | Markel Corp. | 6,085 | 3,206 |
Federal Realty | |||
Investment Trust | 30,344 | 3,146 | |
Huntington Bancshares Inc. | 391,919 | 3,088 | |
* | CBRE Group Inc. Class A | 131,499 | 3,072 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Arch Capital Group Ltd. | 59,088 | 3,038 |
UDR Inc. | 117,245 | 2,989 | |
Essex Property Trust Inc. | 17,722 | 2,816 | |
Torchmark Corp. | 43,202 | 2,814 | |
TD Ameritrade Holding | |||
Corp. | 115,778 | 2,812 | |
New York Community | |||
Bancorp Inc. | 195,704 | 2,740 | |
Camden Property Trust | 39,439 | 2,727 | |
* | Realogy Holdings Corp. | 54,431 | 2,615 |
Raymond James | |||
Financial Inc. | 58,805 | 2,527 | |
Zions Bancorporation | 86,175 | 2,489 | |
Everest Re Group Ltd. | 18,655 | 2,393 | |
Reinsurance Group of | |||
America Inc. Class A | 33,839 | 2,339 | |
People’s United | |||
Financial Inc. | 154,416 | 2,301 | |
PartnerRe Ltd. | 25,400 | 2,300 | |
Axis Capital Holdings Ltd. | 50,071 | 2,292 | |
First Republic Bank | 58,211 | 2,240 | |
Alexandria Real Estate | |||
Equities Inc. | 32,707 | 2,149 | |
WR Berkley Corp. | 50,847 | 2,078 | |
SEI Investments Co. | 72,429 | 2,059 | |
Hudson City Bancorp Inc. | 222,058 | 2,034 | |
* | MSCI Inc. Class A | 56,273 | 1,872 |
Jones Lang LaSalle Inc. | 20,485 | 1,867 | |
NASDAQ OMX Group Inc. | 54,199 | 1,777 | |
Lazard Ltd. Class A | 53,700 | 1,726 | |
Legg Mason Inc. | 55,513 | 1,721 | |
* | Alleghany Corp. | 3,735 | 1,432 |
LPL Financial Holdings Inc. | 32,450 | 1,225 | |
* | Berkshire Hathaway Inc. | ||
Class A | 6 | 1,012 | |
Assurant Inc. | 17,917 | 912 | |
* | ING US Inc. | 30,065 | 814 |
1,276,536 | |||
Health Care (11.9%) | |||
Johnson & Johnson | 1,309,541 | 112,437 | |
Pfizer Inc. | 3,118,778 | 87,357 | |
Merck & Co. Inc. | 1,407,738 | 65,389 | |
* | Gilead Sciences Inc. | 711,168 | 36,419 |
Amgen Inc. | 349,554 | 34,487 | |
Bristol-Myers Squibb Co. | 765,782 | 34,223 | |
UnitedHealth Group Inc. | 475,505 | 31,136 | |
AbbVie Inc. | 738,072 | 30,512 | |
Abbott Laboratories | 726,499 | 25,340 | |
Medtronic Inc. | 473,646 | 24,379 | |
* | Biogen Idec Inc. | 110,684 | 23,819 |
* | Express Scripts Holding | ||
Co. | 382,219 | 23,579 | |
Eli Lilly & Co. | 473,872 | 23,277 | |
* | Celgene Corp. | 194,400 | 22,727 |
Baxter International Inc. | 253,275 | 17,544 |
55
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Thermo Fisher Scientific | |||
Inc. | 167,303 | 14,159 | |
Covidien plc | 219,285 | 13,780 | |
Allergan Inc. | 143,322 | 12,073 | |
WellPoint Inc. | 140,031 | 11,460 | |
Aetna Inc. | 176,363 | 11,206 | |
Cigna Corp. | 133,006 | 9,642 | |
* | Intuitive Surgical Inc. | 18,725 | 9,486 |
Becton Dickinson and Co. | 90,586 | 8,953 | |
Stryker Corp. | 132,028 | 8,540 | |
* | Alexion Pharmaceuticals | ||
Inc. | 90,869 | 8,382 | |
* | Vertex Pharmaceuticals | ||
Inc. | 103,229 | 8,245 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 35,725 | 8,034 | |
* | Actavis Inc. | 59,128 | 7,463 |
Zoetis Inc. | 232,619 | 7,186 | |
Humana Inc. | 73,479 | 6,200 | |
St. Jude Medical Inc. | 131,939 | 6,020 | |
* | Life Technologies Corp. | 80,225 | 5,938 |
Zimmer Holdings Inc. | 78,543 | 5,886 | |
* | Boston Scientific Corp. | 628,120 | 5,823 |
* | DaVita HealthCare | ||
Partners Inc. | 46,896 | 5,665 | |
* | Mylan Inc. | 178,123 | 5,527 |
Perrigo Co. | 41,645 | 5,039 | |
* | Forest Laboratories Inc. | 111,702 | 4,580 |
HCA Holdings Inc. | 124,610 | 4,493 | |
Quest Diagnostics Inc. | 73,781 | 4,473 | |
* | Illumina Inc. | 58,047 | 4,344 |
* | Laboratory Corp. of | ||
America Holdings | 43,381 | 4,342 | |
CR Bard Inc. | 37,474 | 4,073 | |
* | Henry Schein Inc. | 40,702 | 3,897 |
* | Waters Corp. | 37,961 | 3,798 |
* | CareFusion Corp. | 102,633 | 3,782 |
* | BioMarin Pharmaceutical | ||
Inc. | 64,699 | 3,610 | |
* | Edwards Lifesciences Corp. | 52,773 | 3,546 |
* | Varian Medical Systems Inc. | 50,581 | 3,412 |
ResMed Inc. | 66,522 | 3,002 | |
* | Hospira Inc. | 77,380 | 2,964 |
Universal Health Services | |||
Inc. Class B | 42,162 | 2,823 | |
DENTSPLY International | |||
Inc. | 66,956 | 2,743 | |
* | Hologic Inc. | 125,875 | 2,429 |
* | IDEXX Laboratories Inc. | 25,218 | 2,264 |
Patterson Cos. Inc. | 37,157 | 1,397 | |
* | Endo Health Solutions Inc. | 26,280 | 967 |
* | Quintiles Transnational | ||
Holdings Inc. | 12,112 | 516 | |
844,787 |
Market | |||
Value | |||
Shares | ($000) | ||
Industrials (11.8%) | |||
General Electric Co. | 4,820,382 | 111,785 | |
United Technologies | |||
Corp. | 428,632 | 39,837 | |
Boeing Co. | 353,631 | 36,226 | |
3M Co. | 321,735 | 35,182 | |
Union Pacific Corp. | 217,703 | 33,587 | |
United Parcel Service Inc. | |||
Class B | 337,789 | 29,212 | |
Honeywell International | |||
Inc. | 366,760 | 29,099 | |
Caterpillar Inc. | 306,555 | 25,288 | |
Accenture plc Class A | 303,066 | 21,809 | |
Emerson Electric Co. | 335,071 | 18,275 | |
Danaher Corp. | 274,425 | 17,371 | |
Lockheed Martin Corp. | 150,047 | 16,274 | |
Automatic Data | |||
Processing Inc. | 226,188 | 15,575 | |
Precision Castparts Corp. | 68,199 | 15,414 | |
Deere & Co. | 180,864 | 14,695 | |
Eaton Corp. plc | 220,519 | 14,512 | |
FedEx Corp. | 140,324 | 13,833 | |
Illinois Tool Works Inc. | 199,478 | 13,798 | |
General Dynamics Corp. | 156,420 | 12,252 | |
CSX Corp. | 476,421 | 11,048 | |
Norfolk Southern Corp. | 146,853 | 10,669 | |
Raytheon Co. | 151,292 | 10,003 | |
Cummins Inc. | 88,505 | 9,599 | |
Northrop Grumman Corp. | 109,661 | 9,080 | |
PACCAR Inc. | 164,921 | 8,850 | |
TE Connectivity Ltd. | 193,681 | 8,820 | |
Waste Management Inc. | 206,588 | 8,332 | |
* | LinkedIn Corp. Class A | 42,745 | 7,621 |
Ingersoll-Rand plc | 132,439 | 7,353 | |
Sherwin-Williams Co. | 40,882 | 7,220 | |
Tyco International Ltd. | 216,048 | 7,119 | |
WW Grainger Inc. | 27,523 | 6,941 | |
Agilent Technologies Inc. | 160,642 | 6,869 | |
Parker Hannifin Corp. | 69,484 | 6,629 | |
Dover Corp. | 79,645 | 6,185 | |
Amphenol Corp. Class A | 74,526 | 5,809 | |
Roper Industries Inc. | 46,100 | 5,727 | |
Fastenal Co. | 124,305 | 5,699 | |
Paychex Inc. | 152,698 | 5,576 | |
Pentair Ltd. | 95,120 | 5,487 | |
Kansas City Southern | 51,462 | 5,453 | |
* | Fiserv Inc. | 62,000 | 5,419 |
Rockwell Automation Inc. | 65,148 | 5,416 | |
Fidelity National | |||
Information Services Inc. | 122,780 | 5,260 | |
Xerox Corp. | 543,062 | 4,926 | |
AMETEK Inc. | 113,389 | 4,796 | |
Fluor Corp. | 75,807 | 4,496 | |
* | Stericycle Inc. | 40,320 | 4,453 |
56
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Republic Services Inc. | |||
Class A | 126,305 | 4,287 | |
* | Verisk Analytics Inc. | ||
Class A | 70,478 | 4,208 | |
CH Robinson | |||
Worldwide Inc. | 74,690 | 4,206 | |
Rockwell Collins Inc. | 63,344 | 4,017 | |
* | Alliance Data | ||
Systems Corp. | 21,735 | 3,935 | |
ADT Corp. | 96,695 | 3,853 | |
Expeditors International | |||
of Washington Inc. | 96,129 | 3,654 | |
Flowserve Corp. | 66,699 | 3,602 | |
Pall Corp. | 52,141 | 3,464 | |
TransDigm Group Inc. | 21,983 | 3,446 | |
L-3 Communications | |||
Holdings Inc. | 39,911 | 3,422 | |
Textron Inc. | 129,300 | 3,368 | |
Masco Corp. | 166,790 | 3,251 | |
* | Jacobs Engineering Group | ||
Inc. | 57,850 | 3,189 | |
* | Trimble Navigation Ltd. | 119,532 | 3,109 |
JB Hunt Transport | |||
Services Inc. | 41,006 | 2,962 | |
Vulcan Materials Co. | 60,685 | 2,938 | |
Ball Corp. | 69,474 | 2,886 | |
* | Mettler-Toledo | ||
International Inc. | 14,092 | 2,835 | |
MeadWestvaco Corp. | 82,630 | 2,818 | |
* | Crown Holdings Inc. | 67,251 | 2,766 |
* | Quanta Services Inc. | 97,946 | 2,592 |
Donaldson Co. Inc. | 68,715 | 2,450 | |
Hubbell Inc. Class B | 24,424 | 2,418 | |
Joy Global Inc. | 49,453 | 2,400 | |
Xylem Inc. | 86,492 | 2,330 | |
Timken Co. | 40,443 | 2,276 | |
KBR Inc. | 69,131 | 2,247 | |
Cintas Corp. | 48,631 | 2,215 | |
Sealed Air Corp. | 91,522 | 2,192 | |
MDU Resources Group Inc. | 83,747 | 2,170 | |
AGCO Corp. | 43,226 | 2,169 | |
* | Avnet Inc. | 64,064 | 2,153 |
Iron Mountain Inc. | 80,265 | 2,136 | |
Martin Marietta | |||
Materials Inc. | 21,355 | 2,102 | |
* | Owens Corning | 52,796 | 2,063 |
Robert Half | |||
International Inc. | 62,005 | 2,060 | |
* | Sensata Technologies | ||
Holding NV | 57,324 | 2,001 | |
Manpowergroup Inc. | 36,125 | 1,980 | |
* | Arrow Electronics Inc. | 48,867 | 1,947 |
FLIR Systems Inc. | 66,223 | 1,786 | |
Jabil Circuit Inc. | 85,268 | 1,738 | |
Rock Tenn Co. Class A | 16,826 | 1,681 |
Market | |||
Value | |||
Shares | ($000) | ||
SPX Corp. | 20,671 | 1,488 | |
National Instruments Corp. | 46,200 | 1,291 | |
* | FleetCor Technologies Inc. | 15,231 | 1,238 |
Molex Inc. Class A | 47,824 | 1,189 | |
* | Owens-Illinois Inc. | 38,399 | 1,067 |
Gardner Denver Inc. | 11,596 | 872 | |
Molex Inc. | 15,628 | 458 | |
Allison Transmission | |||
Holdings Inc. | 17,334 | 400 | |
842,204 | |||
Oil & Gas (10.2%) | |||
Exxon Mobil Corp. | 2,072,852 | 187,282 | |
Chevron Corp. | 903,725 | 106,947 | |
Schlumberger Ltd. | 619,772 | 44,413 | |
ConocoPhillips | 569,887 | 34,478 | |
Occidental Petroleum | |||
Corp. | 375,529 | 33,509 | |
Anadarko Petroleum Corp. | 233,824 | 20,093 | |
Halliburton Co. | 412,738 | 17,219 | |
Phillips 66 | 288,684 | 17,006 | |
EOG Resources Inc. | 126,889 | 16,709 | |
Apache Corp. | 182,706 | 15,316 | |
National Oilwell Varco Inc. | 199,133 | 13,720 | |
Kinder Morgan Inc. | 313,845 | 11,973 | |
Marathon Oil Corp. | 330,430 | 11,426 | |
Marathon Petroleum Corp. | 151,382 | 10,757 | |
Williams Cos. Inc. | 318,264 | 10,334 | |
Noble Energy Inc. | 167,216 | 10,040 | |
Baker Hughes Inc. | 206,026 | 9,504 | |
Devon Energy Corp. | 179,797 | 9,328 | |
Pioneer Natural | |||
Resources Co. | 63,719 | 9,223 | |
Hess Corp. | 136,031 | 9,045 | |
Valero Energy Corp. | 254,311 | 8,842 | |
* | Cameron International | ||
Corp. | 115,642 | 7,073 | |
Cabot Oil & Gas Corp. | 98,303 | 6,982 | |
Ensco plc Class A | 108,686 | 6,317 | |
* | FMC Technologies Inc. | 110,681 | 6,163 |
* | Southwestern Energy Co. | 163,640 | 5,978 |
Chesapeake Energy Corp. | 279,282 | 5,692 | |
Range Resources Corp. | 72,129 | 5,577 | |
Murphy Oil Corp. | 84,585 | 5,150 | |
EQT Corp. | 63,165 | 5,013 | |
Noble Corp. | 117,882 | 4,430 | |
* | Weatherford | ||
International Ltd. | 320,781 | 4,395 | |
* | Concho Resources Inc. | 48,743 | 4,081 |
HollyFrontier Corp. | 94,811 | 4,056 | |
* | Kinder Morgan | ||
Management LLC | 46,357 | 3,875 | |
Oceaneering | |||
International Inc. | 50,321 | 3,633 | |
Tesoro Corp. | 63,240 | 3,309 |
57
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Cobalt International | ||
Energy Inc. | 123,142 | 3,272 | |
Core Laboratories NV | 21,406 | 3,246 | |
OGE Energy Corp. | 46,077 | 3,142 | |
* | Denbury Resources Inc. | 173,733 | 3,009 |
Helmerich & Payne Inc. | 47,004 | 2,935 | |
* | Whiting Petroleum Corp. | 55,569 | 2,561 |
Cimarex Energy Co. | 38,315 | 2,490 | |
QEP Resources Inc. | 83,802 | 2,328 | |
Diamond Offshore | |||
Drilling Inc. | 32,455 | 2,233 | |
* | Dresser-Rand Group Inc. | 35,595 | 2,135 |
Nabors Industries Ltd. | 130,870 | 2,004 | |
* | Rowan Cos. plc Class A | 58,060 | 1,978 |
* | Continental Resources Inc. | 21,598 | 1,859 |
SM Energy Co. | 30,897 | 1,853 | |
Energen Corp. | 33,759 | 1,764 | |
* | Cheniere Energy Inc. | 50,796 | 1,410 |
* | Newfield Exploration Co. | 31,522 | 753 |
* | Ultra Petroleum Corp. | 33,911 | 672 |
728,532 | |||
Technology (15.0%) | |||
Apple Inc. | 437,580 | 173,317 | |
Microsoft Corp. | 3,503,835 | 120,987 | |
* | Google Inc. Class A | 126,397 | 111,276 |
International Business | |||
Machines Corp. | 516,957 | 98,796 | |
Cisco Systems Inc. | 2,491,527 | 60,569 | |
Intel Corp. | 2,317,433 | 56,128 | |
Oracle Corp. | 1,647,059 | 50,598 | |
QUALCOMM Inc. | 805,314 | 49,189 | |
EMC Corp. | 979,070 | 23,126 | |
Hewlett-Packard Co. | 898,784 | 22,290 | |
* | Facebook Inc. Class A | 774,676 | 19,258 |
Texas Instruments Inc. | 516,964 | 18,026 | |
* | Yahoo! Inc. | 403,733 | 10,138 |
* | Adobe Systems Inc. | 222,269 | 10,127 |
Corning Inc. | 687,719 | 9,786 | |
* | Salesforce.com Inc. | 247,626 | 9,454 |
Dell Inc. | 695,866 | 9,290 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 140,589 | 8,802 | |
Applied Materials Inc. | 560,236 | 8,353 | |
Broadcom Corp. Class A | 242,979 | 8,203 | |
Intuit Inc. | 131,607 | 8,032 | |
Symantec Corp. | 324,326 | 7,288 | |
* | Cerner Corp. | 72,149 | 6,933 |
* | SanDisk Corp. | 113,453 | 6,932 |
* | Micron Technology Inc. | 479,591 | 6,873 |
Motorola Solutions Inc. | 113,989 | 6,581 | |
Analog Devices Inc. | 143,465 | 6,464 | |
Seagate Technology plc | 142,124 | 6,371 | |
* | NetApp Inc. | 168,069 | 6,350 |
Western Digital Corp. | 99,190 | 6,159 | |
* | Citrix Systems Inc. | 87,065 | 5,253 |
Market | |||
Value | |||
Shares | ($000) | ||
Altera Corp. | 148,995 | 4,915 | |
Xilinx Inc. | 122,836 | 4,865 | |
* | Catamaran Corp. | 95,804 | 4,668 |
* | Juniper Networks Inc. | 223,918 | 4,324 |
KLA-Tencor Corp. | 77,201 | 4,302 | |
Avago Technologies Ltd. | |||
Class A | 114,900 | 4,295 | |
* | Equinix Inc. | 22,999 | 4,248 |
CA Inc. | 148,329 | 4,247 | |
* | Red Hat Inc. | 88,265 | 4,221 |
Linear Technology Corp. | 108,514 | 3,998 | |
* | Teradata Corp. | 76,315 | 3,833 |
Maxim Integrated | |||
Products Inc. | 135,504 | 3,764 | |
NVIDIA Corp. | 256,442 | 3,598 | |
* | Autodesk Inc. | 104,921 | 3,561 |
* | Cree Inc. | 54,815 | 3,500 |
* | Lam Research Corp. | 75,711 | 3,357 |
* | Akamai Technologies Inc. | 78,545 | 3,342 |
Microchip Technology Inc. | 87,195 | 3,248 | |
* | ANSYS Inc. | 43,326 | 3,167 |
* | VeriSign Inc. | 70,413 | 3,145 |
Computer Sciences Corp. | 70,162 | 3,071 | |
* | BMC Software Inc. | 66,685 | 3,010 |
* | VMware Inc. Class A | 38,731 | 2,595 |
* | Synopsys Inc. | 71,783 | 2,566 |
* | F5 Networks Inc. | 36,856 | 2,536 |
Harris Corp. | 51,157 | 2,519 | |
* | Nuance Communications | ||
Inc. | 133,676 | 2,457 | |
* | Gartner Inc. | 41,638 | 2,373 |
SAIC Inc. | 160,133 | 2,231 | |
Marvell Technology Group | |||
Ltd. | 183,897 | 2,153 | |
Garmin Ltd. | 54,815 | 1,982 | |
* | Rackspace Hosting Inc. | 51,684 | 1,958 |
* | Skyworks Solutions Inc. | 89,314 | 1,955 |
* | LSI Corp. | 256,769 | 1,833 |
* | ServiceNow Inc. | 40,871 | 1,651 |
* | TIBCO Software Inc. | 72,926 | 1,561 |
* | Workday Inc. Class A | 15,853 | 1,016 |
* | Informatica Corp. | 25,307 | 885 |
* | ON Semiconductor Corp. | 105,341 | 851 |
* | MICROS Systems Inc. | 18,313 | 790 |
* | Palo Alto Networks Inc. | 7,443 | 314 |
1,069,854 | |||
Telecommunications (2.8%) | |||
AT&T Inc. | 2,508,077 | 88,786 | |
Verizon Communications | |||
Inc. | 1,333,798 | 67,143 | |
CenturyLink Inc. | 283,912 | 10,036 | |
* | Crown Castle | ||
International Corp. | 136,944 | 9,913 | |
* | Sprint Nextel Corp. | 1,407,062 | 9,878 |
58
Large-Cap Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | SBA Communications | ||
Corp. Class A | 59,401 | 4,403 | |
Windstream Corp. | 276,987 | 2,135 | |
T-Mobile US Inc. | 84,794 | 2,104 | |
Frontier Communications | |||
Corp. | 466,366 | 1,889 | |
196,287 | |||
Utilities (3.4%) | |||
Duke Energy Corp. | 328,901 | 22,201 | |
Southern Co. | 405,696 | 17,903 | |
NextEra Energy Inc. | 197,973 | 16,131 | |
Dominion Resources Inc. | 269,234 | 15,298 | |
Exelon Corp. | 398,874 | 12,317 | |
Spectra Energy Corp. | 311,996 | 10,751 | |
American Electric | |||
Power Co. Inc. | 226,618 | 10,148 | |
PG&E Corp. | 206,122 | 9,426 | |
Sempra Energy | 107,921 | 8,824 | |
PPL Corp. | 276,194 | 8,358 | |
Consolidated Edison Inc. | 136,532 | 7,961 | |
Public Service | |||
Enterprise Group Inc. | 235,941 | 7,706 | |
Edison International | 151,956 | 7,318 | |
FirstEnergy Corp. | 195,060 | 7,283 | |
Xcel Energy Inc. | 231,517 | 6,561 | |
Northeast Utilities | 146,456 | 6,154 | |
Entergy Corp. | 83,085 | 5,789 | |
DTE Energy Co. | 80,997 | 5,428 | |
CenterPoint Energy Inc. | 199,495 | 4,686 | |
Wisconsin Energy Corp. | 106,475 | 4,364 | |
NiSource Inc. | 145,210 | 4,159 | |
* | Calpine Corp. | 190,747 | 4,050 |
NRG Energy Inc. | 150,062 | 4,007 | |
ONEOK Inc. | 95,940 | 3,963 | |
Ameren Corp. | 112,940 | 3,890 | |
AES Corp. | 296,281 | 3,552 | |
American Water Works | |||
Co. Inc. | 82,730 | 3,411 | |
CMS Energy Corp. | 124,710 | 3,388 | |
SCANA Corp. | 58,712 | 2,883 | |
Pinnacle West Capital Corp. | 51,137 | 2,837 | |
Alliant Energy Corp. | 51,781 | 2,611 | |
Pepco Holdings Inc. | 116,253 | 2,344 | |
Integrys Energy Group Inc. | 36,982 | 2,164 | |
National Fuel Gas Co. | 37,169 | 2,154 | |
TECO Energy Inc. | 96,460 | 1,658 | |
241,678 | |||
Total Common Stocks (Cost $5,399,454) | 7,103,283 |
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investments (0.2%)1 | ||
Money Market Fund (0.2%) | ||
2 Vanguard Market Liquidity | ||
Fund, 0.127% | 10,771,045 | 10,771 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
3,4 Fannie Mae Discount Notes, | ||
0.110%, 8/21/13 | 500 | 500 |
Total Temporary Cash Investments | ||
(Cost $11,271) | 11,271 | |
Total Investments (100.0%) | ||
(Cost $5,410,725) | 7,114,554 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 13,044 | |
Liabilities | (11,519) | |
1,525 | ||
Net Assets (100%) | 7,116,079 |
59
Large-Cap Index Fund
At June 30, 2013, net assets consisted of:
Amount | |
($000) | |
Paid-in Capital | 5,502,627 |
Overdistributed Net Investment Income | (993) |
Accumulated Net Realized Losses | (89,215) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,703,829 |
Futures Contracts | (169) |
Net Assets | 7,116,079 |
Investor Shares—Net Assets | |
Applicable to 11,180,399 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 331,668 |
Net Asset Value Per Share— | |
Investor Shares | $29.67 |
Admiral Shares—Net Assets | |
Applicable to 31,169,761 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,156,059 |
Net Asset Value Per Share— | |
Admiral Shares | $37.09 |
Amount | |
($000) | |
Signal Shares—Net Assets | |
Applicable to 22,951,249 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 742,445 |
Net Asset Value Per Share— | |
Signal Shares | $32.35 |
Institutional Shares—Net Assets | |
Applicable to 5,727,592 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 874,266 |
Net Asset Value Per Share— | |
Institutional Shares | $152.64 |
ETF Shares—Net Assets | |
Applicable to 54,627,537 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,011,641 |
Net Asset Value Per Share— | |
ETF Shares | $73.44 |
See Note A in Notes to Financial Statements.
* 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 0.0%, 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 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 Securities with a value of $500,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
60
Large-Cap Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 70,622 |
Interest1 | 8 |
Securities Lending | 69 |
Total Income | 70,699 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 262 |
Management and Administrative—Investor Shares | 314 |
Management and Administrative—Admiral Shares | 374 |
Management and Administrative—Signal Shares | 201 |
Management and Administrative—Institutional Shares | 183 |
Management and Administrative—ETF Shares | 1,272 |
Marketing and Distribution—Investor Shares | 44 |
Marketing and Distribution—Admiral Shares | 84 |
Marketing and Distribution—Signal Shares | 98 |
Marketing and Distribution—Institutional Shares | 116 |
Marketing and Distribution—ETF Shares | 328 |
Custodian Fees | 78 |
Shareholders’ Reports—Investor Shares | 5 |
Shareholders’ Reports—Admiral Shares | 5 |
Shareholders’ Reports—Signal Shares | 3 |
Shareholders’ Reports—Institutional Shares | 1 |
Shareholders’ Reports—ETF Shares | 45 |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 3,417 |
Net Investment Income | 67,282 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 182,229 |
Futures Contracts | 1,771 |
Realized Net Gain (Loss) | 184,000 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 612,070 |
Futures Contracts | (205) |
Change in Unrealized Appreciation (Depreciation) | 611,865 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 863,147 |
1 Interest income from an affiliated company of the fund was $8,000.
See accompanying Notes, which are an integral part of the Financial Statements.
61
Large-Cap Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 67,282 | 128,613 |
Realized Net Gain (Loss) | 184,000 | 53,042 |
Change in Unrealized Appreciation (Depreciation) | 611,865 | 654,927 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 863,147 | 836,582 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (2,763) | (5,943) |
Admiral Shares | (10,342) | (19,955) |
Signal Shares | (6,762) | (13,062) |
Institutional Shares | (8,082) | (15,026) |
ETF Shares | (36,535) | (74,625) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (64,484) | (128,611) |
Capital Share Transactions | ||
Investor Shares | 4,109 | (40,296) |
Admiral Shares | 48,435 | 76,148 |
Signal Shares | 22,670 | 44,049 |
Institutional Shares | 23,408 | 174,593 |
ETF Shares | (19,110) | 141,131 |
Net Increase (Decrease) from Capital Share Transactions | 79,512 | 395,625 |
Total Increase (Decrease) | 878,175 | 1,103,596 |
Net Assets | ||
Beginning of Period | 6,237,904 | 5,134,308 |
End of Period1 | 7,116,079 | 6,237,904 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($993,000) and ($3,791,000).
See accompanying Notes, which are an integral part of the Financial Statements.
62
Large-Cap Index Fund
Financial Highlights
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $26.32 | $23.16 | $23.25 | $20.47 | $16.41 | $26.59 |
Investment Operations | ||||||
Net Investment Income | .262 | .521 | .421 | .372 | .387 | .416 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.338 | 3.159 | (.095) | 2.791 | 4.075 | (10.191) |
Total from Investment Operations | 3.600 | 3.680 | .326 | 3.163 | 4.462 | (9.775) |
Distributions | ||||||
Dividends from Net Investment Income | (.250) | (.520) | (.416) | (.383) | (.402) | (.405) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.250) | (.520) | (.416) | (.383) | (.402) | (.405) |
Net Asset Value, End of Period | $29.67 | $26.32 | $23.16 | $23.25 | $20.47 | $16.41 |
Total Return1 | 13.70% | 15.94% | 1.44% | 15.63% | 27.60% | -37.08% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $332 | $290 | $293 | $307 | $448 | $376 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.26% | 0.26% | 0.21% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.85% | 2.08% | 1.81% | 1.78% | 2.24% | 2.12% |
Portfolio Turnover Rate 2 | 9% | 8% | 7% | 8% | 8% | 9% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
63
Large-Cap Index Fund
Financial Highlights
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $32.90 | $28.96 | $29.07 | $25.59 | $20.51 | $33.25 |
Investment Operations | ||||||
Net Investment Income | .353 | .698 | .569 | .503 | .516 | .547 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.174 | 3.939 | (.116) | 3.495 | 5.097 | (12.750) |
Total from Investment Operations | 4.527 | 4.637 | .453 | 3.998 | 5.613 | (12.203) |
Distributions | ||||||
Dividends from Net Investment Income | (.337) | (.697) | (.563) | (.518) | (.533) | (.537) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.337) | (.697) | (.563) | (.518) | (.533) | (.537) |
Net Asset Value, End of Period | $37.09 | $32.90 | $28.96 | $29.07 | $25.59 | $20.51 |
Total Return1 | 13.79% | 16.06% | 1.60% | 15.81% | 27.80% | -37.05% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,156 | $981 | $796 | $698 | $328 | $254 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.12% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.00% | 2.22% | 1.95% | 1.92% | 2.38% | 2.23% |
Portfolio Turnover Rate2 | 9% | 8% | 7% | 8% | 8% | 9% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
64
Large-Cap Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $28.70 | $25.26 | $25.36 | $22.32 | $17.89 | $29.00 |
Investment Operations | ||||||
Net Investment Income | .307 | .609 | .495 | .440 | .451 | .481 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.638 | 3.438 | (.105) | 3.052 | 4.446 | (11.121) |
Total from Investment Operations | 3.945 | 4.047 | .390 | 3.492 | 4.897 | (10.640) |
Distributions | ||||||
Dividends from Net Investment Income | (.295) | (.607) | (.490) | (.452) | (.467) | (.470) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.295) | (.607) | (.490) | (.452) | (.467) | (.470) |
Net Asset Value, End of Period | $32.35 | $28.70 | $25.26 | $25.36 | $22.32 | $17.89 |
Total Return | 13.77% | 16.07% | 1.58% | 15.83% | 27.81% | -37.03% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $742 | $637 | $520 | $381 | $247 | $102 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.12% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.00% | 2.22% | 1.95% | 1.92% | 2.38% | 2.23% |
Portfolio Turnover Rate1 | 9% | 8% | 7% | 8% | 8% | 9% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
65
Large-Cap Index Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $135.42 | $119.18 | $119.65 | $105.33 | $84.43 | $136.82 |
Investment Operations | ||||||
Net Investment Income | 1.462 | 2.903 | 2.366 | 2.111 | 2.160 | 2.283 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 17.160 | 16.234 | (.499) | 14.383 | 20.973 | (52.440) |
Total from Investment Operations | 18.622 | 19.137 | 1.867 | 16.494 | 23.133 | (50.157) |
Distributions | ||||||
Dividends from Net Investment Income | (1.402) | (2.897) | (2.337) | (2.174) | (2.233) | (2.233) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.402) | (2.897) | (2.337) | (2.174) | (2.233) | (2.233) |
Net Asset Value, End of Period | $152.64 | $135.42 | $119.18 | $119.65 | $105.33 | $84.43 |
Total Return | 13.78% | 16.11% | 1.60% | 15.85% | 27.84% | -37.01% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $874 | $752 | $504 | $276 | $306 | $207 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.01% | 2.24% | 1.97% | 1.96% | 2.42% | 2.26% |
Portfolio Turnover Rate1 | 9% | 8% | 7% | 8% | 8% | 9% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
66
Large-Cap Index Fund
Financial Highlights
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $65.15 | $57.34 | $57.56 | $50.67 | $40.61 | $65.83 |
Investment Operations | ||||||
Net Investment Income | .698 | 1.383 | 1.126 | .996 | 1.022 | 1.098 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 8.261 | 7.807 | (.234) | 6.920 | 10.095 | (25.243) |
Total from Investment Operations | 8.959 | 9.190 | .892 | 7.916 | 11.117 | (24.145) |
Distributions | ||||||
Dividends from Net Investment Income | (.669) | (1.380) | (1.112) | (1.026) | (1.057) | (1.075) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.669) | (1.380) | (1.112) | (1.026) | (1.057) | (1.075) |
Net Asset Value, End of Period | $73.44 | $65.15 | $57.34 | $57.56 | $50.67 | $40.61 |
Total Return | 13.78% | 16.09% | 1.58% | 15.81% | 27.80% | -37.02% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,012 | $3,577 | $3,021 | $2,858 | $2,489 | $1,957 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.12% | 0.12% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.00% | 2.22% | 1.95% | 1.92% | 2.38% | 2.26% |
Portfolio Turnover Rate1 | 9% | 8% | 7% | 8% | 8% | 9% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
67
Large-Cap Index Fund
Notes to Financial Statements
Vanguard Large-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Signal Shares, and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Prime Market 750 Index to the CRSP US Large Cap Index. The benchmark change was effective on January 31, 2013. The fund’s investment objective has not changed.
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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with
68
Large-Cap Index Fund
its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
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, 2009–2012), and for the period ended June 30, 2013, 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. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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.
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Large-Cap Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2013, the fund had contributed capital of $883,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.35% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 7,103,283 | — | — |
Temporary Cash Investments | 10,771 | 500 | — |
Futures Contracts—Liabilities1 | (51) | — | — |
Total | 7,114,003 | 500 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2013, 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 2013 | 23 | 9,196 | (190) |
E-mini S&P 500 Index | September 2013 | 25 | 1,999 | 21 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
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Large-Cap Index Fund
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, 2013, the fund realized $60,112,000 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, 2012, the fund had available capital losses totaling $212,938,000 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 $18,108,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $5,410,725,000. Net unrealized appreciation of investment securities for tax purposes was $1,703,829,000, consisting of unrealized gains of $1,893,382,000 on securities that had risen in value since their purchase and $189,553,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $664,246,000 of investment securities and sold $576,341,000 of investment securities, other than temporary cash investments. Purchases and sales include $112,119,000 and $129,261,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
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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, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 54,595 | 1,878 | 81,153 | 3,195 |
Issued in Lieu of Cash Distributions | 2,658 | 92 | 5,693 | 219 |
Redeemed | (53,144) | (1,827) | (127,142) | (5,016) |
Net Increase (Decrease)—Investor Shares | 4,109 | 143 | (40,296) | (1,602) |
Admiral Shares | ||||
Issued | 166,814 | 4,629 | 244,045 | 7,613 |
Issued in Lieu of Cash Distributions | 8,957 | 247 | 17,079 | 526 |
Redeemed | (127,336) | (3,531) | (184,976) | (5,805) |
Net Increase (Decrease)—Admiral Shares | 48,435 | 1,345 | 76,148 | 2,334 |
Signal Shares | ||||
Issued | 109,643 | 3,484 | 231,248 | 8,308 |
Issued in Lieu of Cash Distributions | 4,908 | 155 | 9,726 | 343 |
Redeemed | (91,881) | (2,901) | (196,925) | (7,032) |
Net Increase (Decrease)—Signal Shares | 22,670 | 738 | 44,049 | 1,619 |
Institutional Shares | ||||
Issued | 65,143 | 452 | 347,377 | 2,618 |
Issued in Lieu of Cash Distributions | 7,435 | 50 | 13,704 | 102 |
Redeemed | (49,170) | (328) | (186,488) | (1,400) |
Net Increase (Decrease)—Institutional Shares | 23,408 | 174 | 174,593 | 1,320 |
ETF Shares | ||||
Issued | 114,554 | 1,631 | 183,358 | 2,911 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (133,664) | (1,900) | (42,227) | (700) |
Net Increase (Decrease)—ETF Shares | (19,110) | (269) | 141,131 | 2,211 |
H. In preparing the financial statements as of June 30, 2013, 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, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2012 | 6/30/2013 | Period | |
Based on Actual Fund Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,105.16 | $1.25 |
Admiral Shares | 1,000.00 | 1,106.27 | 0.47 |
Signal Shares | 1,000.00 | 1,105.97 | 0.47 |
Institutional Shares | 1,000.00 | 1,106.08 | 0.42 |
ETF Shares | 1,000.00 | 1,105.99 | 0.47 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,165.02 | $1.29 |
Admiral Shares | 1,000.00 | 1,165.84 | 0.48 |
Signal Shares | 1,000.00 | 1,165.76 | 0.48 |
Institutional Shares | 1,000.00 | 1,165.53 | 0.43 |
ETF Shares | 1,000.00 | 1,165.44 | 0.48 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,137.02 | $1.27 |
Admiral Shares | 1,000.00 | 1,137.86 | 0.48 |
Signal Shares | 1,000.00 | 1,137.72 | 0.48 |
Institutional Shares | 1,000.00 | 1,137.78 | 0.42 |
ETF Shares | 1,000.00 | 1,137.81 | 0.48 |
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Six Months Ended June 30, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2012 | 6/30/2013 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Signal Shares | 1,000.00 | 1,024.35 | 0.45 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.35 | 0.45 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Signal Shares | 1,000.00 | 1,024.35 | 0.45 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.35 | 0.45 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.60 | $1.20 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Signal Shares | 1,000.00 | 1,024.35 | 0.45 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
ETF Shares | 1,000.00 | 1,024.35 | 0.45 |
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, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares; for the Value Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares; and for the Large-Cap Index Fund, 0.24% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, and 0.09% 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). 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 services 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 relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. 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’ at-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.
Benchmark Information
Spliced Growth Index: S&P 500 Growth Index (formerly known as the S&P 500/Barra Growth Index) through May 16, 2003; MSCI US Prime Market Growth Index through April 16, 2013; CRSP US Large Cap Growth Index thereafter.
Spliced Large Cap Index: MSCI US Prime Market 750 Index through January 30, 2013; CRSP US Large Cap Index thereafter.
Spliced Value Index: S&P 500 Value Index (formerly known as the S&P 500/Barra Value Index) through May 16, 2003; MSCI US Prime Market Value Index through April 16, 2013; CRSP US Large Cap Value Index thereafter.
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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 182 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 | |
IndependentTrustees | York and of the National Constitution Center; Chair |
of the U.S. Presidential Commission for the Study | |
Emerson U. Fullwood | of Bioethical Issues. |
Born 1948. Trustee Since January 2008. Principal | |
Occupation(s) During the Past Five Years: Executive | JoAnn Heffernan Heisen |
Chief Staff and Marketing Officer for North America | Born 1950. Trustee Since July 1998. Principal |
and Corporate Vice President (retired 2008) of Xerox | Occupation(s) During the Past Five Years: Corporate |
Corporation (document management products and | Vice President and Chief Global Diversity Officer |
services); Executive in Residence and 2010 | (retired 2008) and Member of the Executive |
Distinguished Minett Professor at the Rochester | Committee (1997–2008) of Johnson & Johnson |
Institute of Technology; Director of SPX Corporation | (pharmaceuticals/medical devices/consumer |
(multi-industry manufacturing), the United Way of | products); Director of Skytop Lodge Corporation |
Rochester, Amerigroup Corporation (managed health | (hotels), the University Medical Center at Princeton, |
care), the University of Rochester Medical Center, | the Robert Wood Johnson Foundation, and the Center |
Monroe Community College Foundation, and North | for Talent Innovation; Member of the Advisory Board |
Carolina A&T University. | of the Maxwell School of Citizenship and Public Affairs |
at Syracuse University. | |
Rajiv L. Gupta | |
Born 1945. Trustee Since December 2001.2 | F. Joseph Loughrey |
Principal Occupation(s) During the Past Five Years: | Born 1949. Trustee Since October 2009. Principal |
Chairman and Chief Executive Officer (retired 2009) | Occupation(s) During the Past Five Years: President |
and President (2006–2008) of Rohm and Haas Co. | and Chief Operating Officer (retired 2009) of Cummins |
(chemicals); Director of Tyco International, Ltd. | Inc. (industrial machinery); Chairman of the Board of |
(diversified manufacturing and services), Hewlett- | Hillenbrand, Inc. (specialized consumer services) and |
Packard Co. (electronic computer manufacturing), | of Oxfam America; Director of SKF AB (industrial |
machinery) and the Lumina Foundation for Education; | Executive Officers | |
Member of the Advisory Council for the College of | ||
Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
the University 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 | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
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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Q03072 082013 |
Semiannual Report | June 30, 2013
Vanguard Total Stock Market Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/totalstockmktx1x2.jpg)
> Vanguard Total Stock Market Index Fund returned about 14% for the six months ended June 30, 2013.
> The fund closely tracked its target index and outpaced the average result of peer funds for the period.
> As planned, your fund is now seeking to track a new benchmark, the CRSP US Total Market Index.
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. | 27 |
Trustees Approve Advisory Arrangement. | 29 |
Glossary. | 30 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended June 30, 2013 | |
Total | |
Returns | |
Vanguard Total Stock Market Index Fund | |
Investor Shares | 14.03% |
Admiral™ Shares | 14.12 |
Signal® Shares | 14.10 |
Institutional Shares | 14.10 |
ETF Shares | |
Market Price | 14.04 |
Net Asset Value | 14.11 |
Spliced Total Stock Market Index | 14.10 |
Multi-Cap Core Funds Average | 13.24 |
For a benchmark description, see the Glossary. | |
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, 2012, Through June 30, 2013
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Total Stock Market Index Fund | ||||
Investor Shares | $35.64 | $40.29 | $0.342 | $0.000 |
Admiral Shares | 35.65 | 40.31 | 0.365 | 0.000 |
Signal Shares | 34.41 | 38.90 | 0.352 | 0.000 |
Institutional Shares | 35.66 | 40.31 | 0.367 | 0.000 |
ETF Shares | 73.24 | 82.80 | 0.750 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
U.S. stocks posted strong, double-digit results for the six months ended June 30, 2013, turning in their best first-half performance since 1998. Small- and mid-capitalization stocks generally outdistanced their larger-cap peers for the period, while value-oriented stocks significantly outpaced their growth-oriented counterparts.
In this environment, Vanguard Total Stock Market Index Fund returned about 14%, closely tracking the performance of its target benchmark. The fund outpaced the average return of multi-cap core funds for the period.
The fund posted positive results in nine out of ten market sectors, with eight sectors posting double-digit returns. The financial, consumer services, and health care sectors contributed most to the fund’s advance, together adding almost 8 percentage points to its total return. Basic materials was the only sector to post a negative result for the period.
As we previously announced, your fund is now seeking to track a new benchmark index. In June, the Total Stock Market Index Fund began using the CRSP US Total Market Index as its target.
Global stocks notched gains despite some recent turbulence
After staging a stellar performance for most of the first half of 2013, global stocks declined in June. Investors worldwide
2
were spooked by signs of trouble in China’s economy and by a statement from Federal Reserve Chairman Ben Bernanke that the central bank could begin to reduce its stimulative bond-buying program later this year. Still, U.S. stocks returned about 14% for the six-month period, despite a drop of more than 1% in June.
Markets were clearly unsettled by the prospect of the Fed’s scaling back its stimulus measures, known as quantitative easing. However, Vanguard’s chief economist, Joe Davis, pointed to a positive message in the Fed’s evolving stance. “The Federal Reserve is coming closer to the realization that the U.S. economy is stronger today than it was a year ago and so does not need the insurance, so to speak, of additional quantitative easing,” he said.
Developed markets in the Pacific region generally fared better than their European and emerging-market counterparts. Notably, Japanese stocks recovered in June from a sharp decline in May.
Bond prices fell sharply in the period’s final months
Bond returns, which sputtered along through most of the period, turned negative in May and retreated further in June. The broad U.S. taxable bond market returned –2.44% for the six months as concerns about the Fed’s plans roiled fixed
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2013 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.91% | 21.24% | 7.12% |
Russell 2000 Index (Small-caps) | 15.86 | 24.21 | 8.77 |
Russell 3000 Index (Broad U.S. market) | 14.06 | 21.46 | 7.25 |
MSCI All Country World Index ex USA (International) | -0.04 | 13.63 | -0.80 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.44% | -0.69% | 5.19% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -2.69 | 0.24 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.08 | 0.23 |
CPI | |||
Consumer Price Index | 1.70% | 1.75% | 1.31% |
3
income investors even more than equity investors. Municipal bonds fared worse than taxable issues, returning –2.69% for the period.
The yield of the 10-year Treasury note finished the six months at 2.47%, jumping from 2.11% at the end of May and 1.67% at the end of April. (Bond yields and prices move in opposite directions.) The Fed kept its target for short-term rates between 0% and 0.25%. Returns from money market funds and savings accounts have been minuscule since the Fed imposed the historically low rates in December 2008 to combat the financial crisis.
Financials, consumer services and health care drove returns
The Total Stock Market Index Fund offers investors broad exposure to all segments of the U.S. stock market, investing in large-, mid-, and small-cap stocks, as well as both growth and value companies. As I mentioned, U.S. stocks posted strong results across the board for the most recent six-month period, despite the market’s decline in June. Nine of the fund’s ten market sectors posted positive returns.
Financial stocks were among the market’s top performers, contributing more than 3 percentage points to the index’s return. After the trials of the 2008–2009 financial
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 | 0.17% | 0.05% | 0.05% | 0.04% | 0.05% | 1.20% |
The fund expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, 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 2012.
Peer group: Multi-Cap Core Funds.
4
crisis, the industry has experienced a widespread resurgence that continued throughout the six months. Shares of banks, financial services companies, and insurance companies contributed significantly to the fund’s performance.
Consumer services stocks generally performed well, as further signs of economic improvement encouraged consumer spending. The sector’s top contributors included retailers and media companies. In health care, stocks of pharmaceutical companies added most to performance, as the industry continued to benefit from favorable rulings by the Food and Drug Administration and improved pipelines of new medicines.
The basic materials sector was the weakest performer for the six months, and the only sector to post a negative return for the fund. Stocks of gold and coal mining companies weighed significantly on the sector’s performance.
In pursuing investment goals, long-term asset mix is key
As I mentioned earlier, financial markets were rattled in June by the prospect that the Fed would begin scaling back its massive bond-buying program. Bond yields jumped (and so prices fell), and the stock market experienced some turmoil.
Volatility and increased uncertainty can tempt investors to deviate from their investment plan. In the mutual fund
Investment insight |
What benchmark changes mean for you |
In June, we completed the transition of 22 Vanguard index funds—including yours— |
to new target benchmarks. The change went smoothly, as the funds closely tracked |
their respective benchmarks throughout the transition. |
The new index providers are the University of Chicago’s Center for Research in |
Security Prices (CRSP) for U.S. stocks and FTSE Group for international stocks. The |
new benchmarks incorporate top-quality index construction and offer comprehensive |
coverage of the markets they represent. And there are no changes to our funds’ |
investment goals, objectives, or policies. |
We took this action because benchmark licensing costs were becoming a larger |
part of the expense ratios of our index funds. With the new, long-term agreements, |
our funds can pursue their indexing strategy at considerable savings for our clients. |
5
industry, for example, the recent rise in bond yields has led to net redemptions from bond funds as investors try to sidestep losses that might arise from a sustained climb in interest rates.
Keep in mind, however, that although interest rates remain low, nobody is certain what their next move will be—much less how financial markets will react to the change.
In fact, it’s precisely because short-term market movements are unpredictable that trying to time the markets often fails, as Vanguard and other researchers have found. A recent Vanguard research paper notes that although many investors alter their portfolios based on emotional reactions to market movements, investment success actually is “largely determined by the long-term mixture of assets in a portfolio.” (You can find the full report, Vanguard’s Framework for Constructing Diversified Portfolios, at vanguard.com/research.)
We continue to believe that sticking to a well-diversified portfolio of stocks, bonds, and money market instruments over the long haul—rather than making impulsive changes to try to avoid potential losses or capitalize on perceived opportunities—gives you the best chance of meeting your investment goals.
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/totalstockmktx8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 11, 2013
6
Total Stock Market Index Fund
Fund Profile
As of June 30, 2013
Share-Class Characteristics | |||||
Investor | Admiral | Signal | Institutional | ||
Shares | Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VTSMX | VTSAX | VTSSX | VITSX | VTI |
Expense Ratio1 | 0.17% | 0.05% | 0.05% | 0.04% | 0.05% |
30-Day SEC Yield | 1.87% | 1.99% | 1.99% | 2.00% | 1.99% |
Portfolio Characteristics | ||
CRSP US | ||
Total | ||
Market | ||
Fund | Index | |
Number of Stocks | 3,554 | 3,594 |
Median Market Cap | $38.5B | $38.5B |
Price/Earnings Ratio | 18.5x | 18.5x |
Price/Book Ratio | 2.4x | 2.4x |
Return on Equity | 16.6% | 16.5% |
Earnings Growth Rate | 10.6% | 10.5% |
Dividend Yield | 2.0% | 2.0% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate | ||
(Annualized) | 4% | — |
Short-Term Reserves | 0.1% | — |
Sector Diversification (% of equity exposure)
CRSP US | ||
Total Market | ||
Fund | Index | |
Basic Materials | 2.9% | 2.9% |
Consumer Goods | 10.5 | 10.5 |
Consumer Services | 13.3 | 13.2 |
Financials | 18.7 | 18.8 |
Health Care | 11.7 | 11.8 |
Industrials | 13.0 | 13.0 |
Oil & Gas | 9.5 | 9.5 |
Technology | 14.5 | 14.4 |
Telecommunications | 2.5 | 2.5 |
Utilities | 3.4 | 3.4 |
Volatility Measures | |
Spliced Total | |
Stock Market | |
Index | |
R-Squared | 1.00 |
Beta | 1.00 |
These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months.
Ten Largest Holdings (% of total net assets)
Exxon Mobil Corp. | Integrated Oil & Gas | 2.3% |
Apple Inc. | Computer Hardware | 2.1 |
Microsoft Corp. | Software | 1.5 |
Johnson & Johnson | Pharmaceuticals | 1.4 |
General Electric Co. | Diversified Industrials | 1.3 |
Google Inc. | Internet | 1.3 |
Chevron Corp. | Integrated Oil & Gas | 1.3 |
Wells Fargo & Co. | Banks | 1.2 |
International Business | ||
Machines Corp. | Computer Services | 1.2 |
Procter & Gamble Co. | Nondurable | |
Household Products | 1.2 | |
Top Ten | 14.8% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 12, 2013, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2013, 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
Investment Focus
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, 2002, Through June 30, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-007830/totalstockmktx11x1.jpg)
Note: For 2013, performance data reflect the six months ended June 30, 2013.
Average Annual Total Returns: Periods Ended June 30, 2013 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 4/27/1992 | 21.29% | 7.35% | 7.95% |
Admiral Shares | 11/13/2000 | 21.45 | 7.47 | 8.06 |
Signal Shares | 9/1/2006 | 21.44 | 7.47 | 5.801 |
Institutional Shares | 7/7/1997 | 21.46 | 7.48 | 8.08 |
ETF Shares | 5/24/2001 | |||
Market Price | 21.42 | 7.48 | 8.07 | |
Net Asset Value | 21.45 | 7.47 | 8.06 | |
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, 2013
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 | |||
Basic Materials † | 7,288,735 | 2.9% | |
Consumer Goods | |||
Procter & Gamble Co. | 38,911,907 | 2,995,828 | 1.2% |
Coca-Cola Co. | 56,911,778 | 2,282,731 | 0.9% |
Philip Morris International Inc. | 22,059,062 | 1,910,756 | 0.7% |
PepsiCo Inc. | 21,955,266 | 1,795,721 | 0.7% |
Altria Group Inc. | 28,510,451 | 997,581 | 0.4% |
Consumer Goods—Other † | 16,415,034 | 6.5% | |
26,397,651 | 10.4% | ||
Consumer Services | |||
Wal-Mart Stores Inc. | 23,260,217 | 1,732,654 | 0.7% |
Home Depot Inc. | 20,739,625 | 1,606,699 | 0.6% |
Walt Disney Co. | 23,034,339 | 1,454,618 | 0.6% |
* Amazon.com Inc. | 5,170,623 | 1,435,830 | 0.6% |
McDonald’s Corp. | 14,234,490 | 1,409,214 | 0.5% |
Comcast Corp. Class A | 32,471,266 | 1,359,897 | 0.5% |
CVS Caremark Corp. | 17,383,258 | 993,975 | 0.4% |
Consumer Services—Other † | 23,525,336 | 9.3% | |
33,518,223 | 13.2% | ||
Financials | |||
Wells Fargo & Co. | 75,191,001 | 3,103,133 | 1.2% |
JPMorgan Chase & Co. | 53,661,751 | 2,832,804 | 1.1% |
* Berkshire Hathaway Inc. Class B | 23,498,388 | 2,629,940 | 1.0% |
Citigroup Inc. | 41,041,077 | 1,968,740 | 0.8% |
Bank of America Corp. | 153,054,168 | 1,968,277 | 0.8% |
Visa Inc. Class A | 7,353,666 | 1,343,882 | 0.5% |
American Express Co. | 15,597,876 | 1,166,097 | 0.4% |
10
Total Stock Market Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Shares | ($000) | Assets | ||
US Bancorp | 26,260,673 | 949,323 | 0.4% | |
* | American International Group Inc. | 20,961,427 | 936,976 | 0.4% |
* | Berkshire Hathaway Inc. Class A | 880 | 148,368 | 0.1% |
Financials—Other † | 30,314,871 | 12.0% | ||
47,362,411 | 18.7% | |||
Health Care | ||||
Johnson & Johnson | 39,878,968 | 3,424,008 | 1.4% | |
Pfizer Inc. | 94,990,436 | 2,660,682 | 1.0% | |
Merck & Co. Inc. | 42,871,213 | 1,991,368 | 0.8% | |
* | Gilead Sciences Inc. | 21,656,161 | 1,109,012 | 0.4% |
Amgen Inc. | 10,647,682 | 1,050,500 | 0.4% | |
Bristol-Myers Squibb Co. | 23,320,315 | 1,042,185 | 0.4% | |
UnitedHealth Group Inc. | 14,507,113 | 949,926 | 0.4% | |
AbbVie Inc. | 22,485,008 | 929,530 | 0.4% | |
Health Care—Other † | 16,328,024 | 6.5% | ||
29,531,050 | 11.7% | |||
Industrials | ||||
General Electric Co. | 146,803,658 | 3,404,377 | 1.3% | |
United Technologies Corp. | 13,051,737 | 1,213,028 | 0.5% | |
Boeing Co. | 10,771,345 | 1,103,417 | 0.4% | |
3M Co. | 9,799,571 | 1,071,583 | 0.4% | |
Union Pacific Corp. | 6,627,123 | 1,022,433 | 0.4% | |
United Parcel Service Inc. Class B | 10,288,712 | 889,768 | 0.4% | |
Industrials—Other † | 23,945,575 | 9.5% | ||
32,650,181 | 12.9% | |||
Oil & Gas | ||||
Exxon Mobil Corp. | 63,133,173 | 5,704,082 | 2.3% | |
Chevron Corp. | 27,536,123 | 3,258,625 | 1.3% | |
Schlumberger Ltd. | 18,874,184 | 1,352,524 | 0.5% | |
ConocoPhillips | 17,358,644 | 1,050,198 | 0.4% | |
Occidental Petroleum Corp. | 11,438,796 | 1,020,684 | 0.4% | |
Oil & Gas—Other † | 11,568,353 | 4.6% | ||
23,954,466 | 9.5% | |||
Other † | 630 | 0.0% | ||
Technology | ||||
Apple Inc. | 13,327,076 | 5,278,588 | 2.1% | |
Microsoft Corp. | 106,715,947 | 3,684,902 | 1.5% | |
* | Google Inc. Class A | 3,849,227 | 3,388,744 | 1.3% |
International Business Machines Corp. | 15,742,070 | 3,008,467 | 1.2% | |
Cisco Systems Inc. | 75,875,979 | 1,844,545 | 0.7% | |
Intel Corp. | 70,573,306 | 1,709,285 | 0.7% | |
Oracle Corp. | 50,159,604 | 1,540,903 | 0.6% | |
QUALCOMM Inc. | 24,530,778 | 1,498,340 | 0.6% | |
Technology—Other † | 14,489,533 | 5.7% | ||
36,443,307 | 14.4% |
11
Total Stock Market Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Shares | ($000) | Assets | ||
Telecommunications | ||||
AT&T Inc. | 76,382,384 | 2,703,936 | 1.1% | |
Verizon Communications Inc. | 40,618,986 | 2,044,760 | 0.8% | |
Telecommunications—Other † | 1,495,583 | 0.6% | ||
6,244,279 | 2.5% | |||
Utilities † | 8,615,888 | 3.4% | ||
Total Common Stocks (Cost $189,704,904) | 252,006,821 | 99.6%1 | ||
Coupon | ||||
Temporary Cash Investments | ||||
Money Market Fund | ||||
2,3 Vanguard Market Liquidity Fund | 0.127% | 1,903,196,535 | 1,903,197 | 0.8% |
4 U.S. Government and Agency Obligations † | 76,565 | 0.0% | ||
Total Temporary Cash Investments (Cost $1,979,774) | 1,979,762 | 0.8%1 | ||
5Total Investments (Cost $191,684,678) | 253,986,583 | 100.4% | ||
Other Assets and Liabilities | ||||
Other Assets | 1,711,228 | 0.7% | ||
Liabilities3 | (2,767,611) | (1.1%) | ||
(1,056,383) | (0.4%) | |||
Net Assets | 252,930,200 | 100.0% |
12
Total Stock Market Index Fund | |
At June 30, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 194,550,330 |
Undistributed Net Investment Income | 22,639 |
Accumulated Net Realized Losses | (3,934,321) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 62,301,905 |
Futures Contracts | (10,328) |
Swap Contracts | (25) |
Net Assets | 252,930,200 |
Investor Shares—Net Assets | |
Applicable to 2,277,064,360 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 91,753,058 |
Net Asset Value Per Share—Investor Shares | $40.29 |
Admiral Shares—Net Assets | |
Applicable to 1,772,720,885 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 71,451,041 |
Net Asset Value Per Share—Admiral Shares | $40.31 |
Signal Shares—Net Assets | |
Applicable to 256,651,654 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 9,983,696 |
Net Asset Value Per Share—Signal Shares | $38.90 |
Institutional Shares—Net Assets | |
Applicable to 1,214,182,189 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 48,944,339 |
Net Asset Value Per Share—Institutional Shares | $40.31 |
ETF Shares—Net Assets | |
Applicable to 371,947,534 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 30,798,066 |
Net Asset Value Per Share—ETF Shares | $82.80 |
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 99.9% and 0.5%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $910,282,000 of collateral received for securities on loan.
4 Securities with a value of $43,832,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $846,798,000.
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, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,384,937 |
Interest1 | 792 |
Securities Lending | 26,384 |
Total Income | 2,412,113 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 6,800 |
Management and Administrative—Investor Shares | 63,251 |
Management and Administrative—Admiral Shares | 9,416 |
Management and Administrative—Signal Shares | 816 |
Management and Administrative—Institutional Shares | 3,186 |
Management and Administrative—ETF Shares | 2,728 |
Marketing and Distribution—Investor Shares | 8,920 |
Marketing and Distribution—Admiral Shares | 4,957 |
Marketing and Distribution—Signal Shares | 1,164 |
Marketing and Distribution—Institutional Shares | 5,379 |
Marketing and Distribution—ETF Shares | 3,271 |
Custodian Fees | 1,122 |
Shareholders’ Reports—Investor Shares | 76 |
Shareholders’ Reports—Admiral Shares | 73 |
Shareholders’ Reports—Signal Shares | 14 |
Shareholders’ Reports—Institutional Shares | 13 |
Shareholders’ Reports—ETF Shares | 193 |
Trustees’ Fees and Expenses | 164 |
Total Expenses | 111,543 |
Net Investment Income | 2,300,570 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (197,942) |
Futures Contracts | 105,047 |
Swap Contracts | 52,055 |
Realized Net Gain (Loss) | (40,840) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 28,047,842 |
Futures Contracts | (13,264) |
Swap Contracts | (4,587) |
Change in Unrealized Appreciation (Depreciation) | 28,029,991 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 30,289,721 |
1 Interest income from an affiliated company of the fund was $760,000.
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, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,300,570 | 4,201,141 |
Realized Net Gain (Loss) | (40,840) | 3,590,512 |
Change in Unrealized Appreciation (Depreciation) | 28,029,991 | 20,295,286 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 30,289,721 | 28,086,939 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (782,228) | (1,512,860) |
Admiral Shares | (634,304) | (1,242,985) |
Signal Shares | (87,654) | (162,769) |
Institutional Shares | (427,573) | (803,059) |
ETF Shares | (273,206) | (489,484) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (2,204,965) | (4,211,157) |
Capital Share Transactions | ||
Investor Shares | 2,286,052 | 7,341,080 |
Admiral Shares | 3,768,011 | 3,306,885 |
Signal Shares | 881,866 | 1,009,438 |
Institutional Shares | 4,315,602 | 5,518,094 |
ETF Shares | 3,224,256 | 2,033,357 |
Net Increase (Decrease) from Capital Share Transactions | 14,475,787 | 19,208,854 |
Total Increase (Decrease) | 42,560,543 | 43,084,636 |
Net Assets | ||
Beginning of Period | 210,369,657 | 167,285,021 |
End of Period1 | 252,930,200 | 210,369,657 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $22,639,000 and ($126,046,000).
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $35.64 | $31.29 | $31.56 | $27.45 | $21.80 | $35.36 |
Investment Operations | ||||||
Net Investment Income | .359 | .720 | .565 | .523 | .514 | .592 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.633 | 4.350 | (.273) | 4.117 | 5.651 | (13.566) |
Total from Investment Operations | 4.992 | 5.070 | .292 | 4.640 | 6.165 | (12.974) |
Distributions | ||||||
Dividends from Net Investment Income | (.342) | (.720) | (.562) | (.530) | (.515) | (.586) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.342) | (.720) | (.562) | (.530) | (.515) | (.586) |
Net Asset Value, End of Period | $40.29 | $35.64 | $31.29 | $31.56 | $27.45 | $21.80 |
Total Return1 | 14.03% | 16.25% | 0.96% | 17.09% | 28.70% | -37.04% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $91,753 | $78,936 | $62,668 | $56,063 | $58,004 | $39,440 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% | 0.16% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.89% | 2.11% | 1.79% | 1.85% | 2.22% | 2.04% |
Portfolio Turnover Rate2 | 4% | 3% | 5% | 5% | 5% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $35.65 | $31.30 | $31.57 | $27.45 | $21.80 | $35.36 |
Investment Operations | ||||||
Net Investment Income | .382 | .761 | .602 | .554 | .539 | .615 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.643 | 4.350 | (.273) | 4.127 | 5.650 | (13.566) |
Total from Investment Operations | 5.025 | 5.111 | .329 | 4.681 | 6.189 | (12.951) |
Distributions | ||||||
Dividends from Net Investment Income | (.365) | (.761) | (.599) | (.561) | (.539) | (.609) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.365) | (.761) | (.599) | (.561) | (.539) | (.609) |
Net Asset Value, End of Period | $40.31 | $35.65 | $31.30 | $31.57 | $27.45 | $21.80 |
Total Return1 | 14.12% | 16.38% | 1.08% | 17.26% | 28.83% | -36.99% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $71,451 | $59,771 | $49,496 | $47,190 | $27,762 | $18,781 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.01% | 2.23% | 1.91% | 1.96% | 2.33% | 2.12% |
Portfolio Turnover Rate2 | 4% | 3% | 5% | 5% | 5% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $34.41 | $30.21 | $30.47 | $26.50 | $21.04 | $34.13 |
Investment Operations | ||||||
Net Investment Income | .368 | .735 | .581 | .535 | .520 | .595 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.474 | 4.200 | (.262) | 3.977 | 5.459 | (13.096) |
Total from Investment Operations | 4.842 | 4.935 | .319 | 4.512 | 5.979 | (12.501) |
Distributions | ||||||
Dividends from Net Investment Income | (.352) | (.735) | (.579) | (.542) | (.519) | (.589) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.352) | (.735) | (.579) | (.542) | (.519) | (.589) |
Net Asset Value, End of Period | $38.90 | $34.41 | $30.21 | $30.47 | $26.50 | $21.04 |
Total Return | 14.10% | 16.39% | 1.09% | 17.23% | 28.85% | -36.99% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $9,984 | $8,025 | $6,133 | $5,471 | $4,757 | $3,717 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.07% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.01% | 2.23% | 1.91% | 1.96% | 2.33% | 2.12% |
Portfolio Turnover Rate1 | 4% | 3% | 5% | 5% | 5% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $35.66 | $31.30 | $31.57 | $27.46 | $21.81 | $35.36 |
Investment Operations | ||||||
Net Investment Income | .382 | .763 | .603 | .558 | .541 | .624 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.635 | 4.359 | (.272) | 4.117 | 5.650 | (13.557) |
Total from Investment Operations | 5.017 | 5.122 | .331 | 4.675 | 6.191 | (12.933) |
Distributions | ||||||
Dividends from Net Investment Income | (.367) | (.762) | (.601) | (.565) | (.541) | (.617) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.367) | (.762) | (.601) | (.565) | (.541) | (.617) |
Net Asset Value, End of Period | $40.31 | $35.66 | $31.30 | $31.57 | $27.46 | $21.81 |
Total Return | 14.10% | 16.42% | 1.09% | 17.23% | 28.83% | -36.94% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $48,944 | $39,367 | $29,467 | $23,785 | $16,047 | $10,782 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.04% | 0.04% | 0.04% | 0.05% | 0.06% | 0.05% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.02% | 2.24% | 1.92% | 1.97% | 2.34% | 2.15% |
Portfolio Turnover Rate1 | 4% | 3% | 5% | 5% | 5% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
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 | 2013 | 2012 | 2011 | 2010 | 2009 | 20081 |
Net Asset Value, Beginning of Period | $73.24 | $64.29 | $64.86 | $56.39 | $44.78 | $72.64 |
Investment Operations | ||||||
Net Investment Income | .785 | 1.564 | 1.238 | 1.133 | 1.106 | 1.270 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 9.525 | 8.949 | (.575) | 8.485 | 11.611 | (27.874) |
Total from Investment Operations | 10.310 | 10.513 | .663 | 9.618 | 12.717 | (26.604) |
Distributions | ||||||
Dividends from Net Investment Income | (.750) | (1.563) | (1.233) | (1.148) | (1.107) | (1.256) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.750) | (1.563) | (1.233) | (1.148) | (1.107) | (1.256) |
Net Asset Value, End of Period | $82.80 | $73.24 | $64.29 | $64.86 | $56.39 | $44.78 |
Total Return | 14.11% | 16.41% | 1.06% | 17.26% | 28.82% | -36.97% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $30,798 | $24,270 | $19,521 | $17,930 | $13,443 | $9,199 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.01% | 2.23% | 1.91% | 1.96% | 2.33% | 2.13% |
Portfolio Turnover Rate2 | 4% | 3% | 5% | 5% | 5% | 5% |
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 NYSE Arca; they can be purchased and sold through a broker.
On October 2, 2012, Vanguard announced a change in the fund’s benchmark index from the MSCI US Broad Market Index to the CRSP US Total Market Index. The benchmark change was effective on June 3, 2013. The fund’s investment objective has not changed.
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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing
21
Total Stock Market Index Fund
brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
3. Swap Contracts: The fund has entered into an equity swap contract to earn the total return on a selected reference stock in the fund’s target index. Under the terms of the swap, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded. The primary risks associated with the swaps are that a counterparty will default on its obligation to pay net amounts due to the fund, or that the fund will incur fees in the event it terminates a swap prior to the scheduled termination date. The fund’s maximum risk of loss from counterparty credit risk is the amount of unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of pre-qualified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
During the six months ended June 30, 2013, the fund’s average amounts of total return swaps represented less than 1% of net assets, based on quarterly average notional amounts.
22
Total Stock Market Index Fund
4. 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, 2009���2012), and for the period ended June 30, 2013, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund.. 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. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
7. 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, 2013, the fund had contributed capital of $31,145,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 12.46% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
23
Total Stock Market 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).
The following table summarizes the market value of the fund’s investments as of June 30, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 251,871,002 | 135,262 | 557 |
Temporary Cash Investments | 1,903,197 | 76,565 | — |
Futures Contracts—Assets1 | 825 | — | — |
Futures Contracts—Liabilities1 | (4,426) | — | — |
Swap Contracts—Liabilities | — | (25) | — |
Total | 253,770,598 | 211,802 | 557 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2013, 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 2013 | 1,616 | 646,117 | (8,680) |
E-mini Russell 2000 Index | September 2013 | 957 | 93,279 | (1,045) |
E-mini S&P MidCap 400 Index | September 2013 | 240 | 27,790 | (479) |
E-mini S&P 500 Index | September 2013 | 340 | 27,188 | (124) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
At June 30, 2013, the fund had the following open total return swap contracts: | |||||
Floating | Unrealized | ||||
Notional | Interest Rate | Appreciation | |||
Termination | Amount | Received | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | (Paid) | ($000) |
SLM Corp | 7/25/13 | GSI | 138,589 | (0.542%)2 | (25) |
1 GSI—Goldman Sachs International.
2 Based on one-month London Interbank Offered Rate (LIBOR) as of the most recent payment date plus a 0.35% spread.
24
Total Stock Market Index Fund
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.
Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the six months ended June 30, 2013, the fund realized gains on the sale of passive foreign investment companies of $1,025,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to undistributed net investment income. Passive foreign investment companies held at June 30, 2013, had unrealized appreciation of $1,103,000 as of December 31, 2012, the most recent mark-to-market date for tax purposes. This amount has been distributed and is reflected in the balance of undistributed net investment income.
During the six months ended June 30, 2013, the fund realized $633,237,000 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.
Realized and unrealized gains (losses) on the fund’s swap contracts are treated as ordinary income (loss) for tax purposes. Realized gains of $52,055,000 on swap contracts have been reclassified from accumulated net realized losses to undistributed net investment income.
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, 2012, the fund had available capital losses totaling $3,200,440,000 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 $708,395,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, 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, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $191,685,781,000. Net unrealized appreciation of investment securities for tax purposes was $62,300,802,000, consisting of unrealized gains of $71,419,923,000 on securities that had risen in value since their purchase and $9,119,121,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $21,562,392,000 of investment securities and sold $7,109,250,000 of investment securities, other than temporary cash investments. Purchases and sales include $4,265,304,000 and $1,190,123,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
25
Total Stock Market Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2013 | December 31, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 6,052,011 | 156,969 | 12,856,470 | 373,964 |
Issued in Lieu of Cash Distributions | 778,708 | 19,793 | 1,505,142 | 42,800 |
Redeemed | (4,544,667) | (114,284) | (7,020,532) | (204,981) |
Net Increase (Decrease)—Investor Shares | 2,286,052 | 62,478 | 7,341,080 | 211,783 |
Admiral Shares | ||||
Issued | 6,632,740 | 169,283 | 8,578,164 | 247,996 |
Issued in Lieu of Cash Distributions | 562,550 | 14,294 | 1,101,786 | 31,338 |
Redeemed | (3,427,279) | (87,326) | (6,373,065) | (184,355) |
Net Increase (Decrease)—Admiral Shares | 3,768,011 | 96,251 | 3,306,885 | 94,979 |
Signal Shares | ||||
Issued | 1,700,790 | 44,954 | 2,907,524 | 87,545 |
Issued in Lieu of Cash Distributions | 77,562 | 2,042 | 146,081 | 4,303 |
Redeemed | (896,486) | (23,576) | (2,044,167) | (61,646) |
Net Increase (Decrease)—Signal Shares | 881,866 | 23,420 | 1,009,438 | 30,202 |
Institutional Shares | ||||
Issued | 6,440,159 | 163,708 | 10,170,383 | 297,546 |
Issued in Lieu of Cash Distributions | 399,469 | 10,149 | 749,004 | 21,306 |
Redeemed | (2,524,026) | (63,672) | (5,401,293) | (156,276) |
Net Increase (Decrease)—Institutional Shares | 4,315,602 | 110,185 | 5,518,094 | 162,576 |
ETF Shares | ||||
Issued | 4,217,237 | 52,683 | 4,671,146 | 65,833 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (992,981) | (12,100) | (2,637,789) | (38,100) |
Net Increase (Decrease)—ETF Shares | 3,224,256 | 40,583 | 2,033,357 | 27,733 |
H. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
26
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‘scosts 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.
27
Six Months Ended June 30, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Total Stock Market Index Fund | 12/31/2012 | 6/30/2013 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,140.32 | $0.90 |
Admiral Shares | 1,000.00 | 1,141.23 | 0.27 |
Signal Shares | 1,000.00 | 1,140.99 | 0.27 |
Institutional Shares | 1,000.00 | 1,140.96 | 0.21 |
ETF Shares | 1,000.00 | 1,141.08 | 0.27 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Signal Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.60 | 0.20 |
ETF Shares | 1,000.00 | 1,024.55 | 0.25 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are: 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal Shares, 0.04% 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.
28
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). 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 services 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 relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. 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 at-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.
29
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.
30
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.
Benchmark Information
Spliced Total Stock Market Index: Dow Jones U.S. Total Stock Market Index (formerly known as the Dow Jones Wilshire 5000 Index) through April 22, 2005; MSCI US Broad Market Index through June 2, 2013; and CRSP US Total Market Index thereafter.
31
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 182 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 | |
IndependentTrustees | York and of the National Constitution Center; Chair |
of the U.S. Presidential Commission for the Study | |
Emerson U. Fullwood | of Bioethical Issues. |
Born 1948. Trustee Since January 2008. Principal | |
Occupation(s) During the Past Five Years: Executive | JoAnn Heffernan Heisen |
Chief Staff and Marketing Officer for North America | Born 1950. Trustee Since July 1998. Principal |
and Corporate Vice President (retired 2008) of Xerox | Occupation(s) During the Past Five Years: Corporate |
Corporation (document management products and | Vice President and Chief Global Diversity Officer |
services); Executive in Residence and 2010 | (retired 2008) and Member of the Executive |
Distinguished Minett Professor at the Rochester | Committee (1997–2008) of Johnson & Johnson |
Institute of Technology; Director of SPX Corporation | (pharmaceuticals/medical devices/consumer |
(multi-industry manufacturing), the United Way of | products); Director of Skytop Lodge Corporation |
Rochester, Amerigroup Corporation (managed health | (hotels), the University Medical Center at Princeton, |
care), the University of Rochester Medical Center, | the Robert Wood Johnson Foundation, and the Center |
Monroe Community College Foundation, and North | for Talent Innovation; Member of the Advisory Board |
Carolina A&T University. | of the Maxwell School of Citizenship and Public Affairs |
at Syracuse University. | |
Rajiv L. Gupta | |
Born 1945. Trustee Since December 2001.2 | F. Joseph Loughrey |
Principal Occupation(s) During the Past Five Years: | Born 1949. Trustee Since October 2009. Principal |
Chairman and Chief Executive Officer (retired 2009) | Occupation(s) During the Past Five Years: President |
and President (2006–2008) of Rohm and Haas Co. | and Chief Operating Officer (retired 2009) of Cummins |
(chemicals); Director of Tyco International, Ltd. | Inc. (industrial machinery); Chairman of the Board of |
(diversified manufacturing and services), Hewlett- | Hillenbrand, Inc. (specialized consumer services) and |
Packard Co. (electronic computer manufacturing), | of Oxfam America; Director of SKF AB (industrial |
machinery) and the Lumina Foundation for Education; | Executive Officers | |
Member of the Advisory Council for the College of | ||
Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
the University 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 | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
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 | ||
of SPX Corporation (multi-industry manufacturing); | Founder | |
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. | |
© 2013 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q852 082013 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Vanguard® Small-Cap Index Fund Schedule of Investments June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.3%)1 | |||
Basic Materials (4.2%) | |||
Rockwood Holdings Inc. | 1,188,813 | 76,120 | |
RPM International Inc. | 2,025,489 | 64,694 | |
Steel Dynamics Inc. | 3,205,170 | 47,789 | |
Cytec Industries Inc. | 642,126 | 47,036 | |
Axiall Corp. | 1,067,281 | 45,445 | |
Compass Minerals International Inc. | 509,345 | 43,055 | |
NewMarket Corp. | 163,213 | 42,853 | |
Allegheny Technologies Inc. | 1,568,113 | 41,257 | |
Royal Gold Inc. | 936,403 | 39,404 | |
^ | United States Steel Corp. | 2,209,046 | 38,725 |
PolyOne Corp. | 1,445,404 | 35,817 | |
Carpenter Technology Corp. | 766,929 | 34,565 | |
Domtar Corp. | 505,463 | 33,613 | |
Cabot Corp. | 879,500 | 32,911 | |
Sensient Technologies Corp. | 766,394 | 31,016 | |
* | Chemtura Corp. | 1,499,636 | 30,443 |
Westlake Chemical Corp. | 306,867 | 29,585 | |
Olin Corp. | 1,229,753 | 29,416 | |
HB Fuller Co. | 768,569 | 29,060 | |
^,* | Polypore International Inc. | 712,652 | 28,720 |
Commercial Metals Co. | 1,790,323 | 26,443 | |
Worthington Industries Inc. | 814,798 | 25,837 | |
KapStone Paper and Packaging Corp. | 617,653 | 24,817 | |
Minerals Technologies Inc. | 532,851 | 22,028 | |
Buckeye Technologies Inc. | 564,892 | 20,924 | |
* | Coeur Mining Inc. | 1,553,395 | 20,660 |
Balchem Corp. | 454,722 | 20,349 | |
Tronox Ltd. Class A | 951,000 | 19,163 | |
^ | Cliffs Natural Resources Inc. | 1,169,612 | 19,006 |
* | Stillwater Mining Co. | 1,717,511 | 18,446 |
* | Alpha Natural Resources Inc. | 3,380,289 | 17,713 |
Kaiser Aluminum Corp. | 274,220 | 16,985 | |
PH Glatfelter Co. | 655,506 | 16,453 | |
Stepan Co. | 286,799 | 15,949 | |
Innophos Holdings Inc. | 334,493 | 15,778 | |
Hecla Mining Co. | 5,230,956 | 15,588 | |
Intrepid Potash Inc. | 810,003 | 15,431 | |
* | Cloud Peak Energy Inc. | 929,029 | 15,310 |
* | Clearwater Paper Corp. | 322,093 | 15,158 |
* | OM Group Inc. | 488,238 | 15,096 |
* | SunCoke Energy Inc. | 1,015,342 | 14,235 |
* | Calgon Carbon Corp. | 826,173 | 13,781 |
Innospec Inc. | 340,965 | 13,700 | |
* | Resolute Forest Products Inc. | 1,013,270 | 13,345 |
* | RTI International Metals Inc. | 478,610 | 13,262 |
^ | Arch Coal Inc. | 3,241,723 | 12,254 |
Boise Inc. | 1,386,764 | 11,843 | |
Quaker Chemical Corp. | 190,571 | 11,817 | |
AMCOL International Corp. | 369,634 | 11,714 | |
^,* | Molycorp Inc. | 1,871,899 | 11,606 |
Koppers Holdings Inc. | 300,590 | 11,477 | |
A Schulman Inc. | 426,902 | 11,449 | |
^ | US Silica Holdings Inc. | 526,059 | 10,931 |
Globe Specialty Metals Inc. | 977,563 | 10,626 | |
* | Kraton Performance Polymers Inc. | 498,719 | 10,573 |
Tredegar Corp. | 393,901 | 10,123 | |
Deltic Timber Corp. | 174,848 | 10,110 | |
^ | Walter Energy Inc. | 955,696 | 9,939 |
* | Allied Nevada Gold Corp. | 1,427,725 | 9,252 |
* | Ferro Corp. | 1,322,194 | 9,189 |
Haynes International Inc. | 188,367 | 9,017 |
1
Vanguard® Small-Cap Index Fund Schedule of Investments June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | LSB Industries Inc. | 291,211 | 8,856 |
American Vanguard Corp. | 371,624 | 8,707 | |
* | Horsehead Holding Corp. | 677,556 | 8,679 |
* | Century Aluminum Co. | 744,322 | 6,907 |
Rentech Inc. | 3,277,576 | 6,883 | |
^,* | AK Steel Holding Corp. | 1,988,401 | 6,045 |
^ | Kronos Worldwide Inc. | 353,967 | 5,748 |
FutureFuel Corp. | 330,859 | 4,688 | |
^ | Gold Resource Corp. | 490,393 | 4,271 |
^,* | Paramount Gold and Silver Corp. | 1,900,247 | 2,261 |
Noranda Aluminum Holding Corp. | 529,880 | 1,712 | |
NL Industries Inc. | 110,506 | 1,249 | |
1,484,907 | |||
Consumer Goods (8.3%) | |||
Polaris Industries Inc. | 999,296 | 94,933 | |
Snap-on Inc. | 891,799 | 79,709 | |
Hanesbrands Inc. | 1,508,164 | 77,550 | |
* | Toll Brothers Inc. | 2,329,984 | 76,027 |
Ingredion Inc. | 1,126,414 | 73,915 | |
* | Under Armour Inc. Class A | 1,222,711 | 73,008 |
* | Jarden Corp. | 1,635,840 | 71,568 |
Leggett & Platt Inc. | 2,186,981 | 67,993 | |
Carter's Inc. | 861,510 | 63,812 | |
Hillshire Brands Co. | 1,883,723 | 62,314 | |
Flowers Foods Inc. | 2,704,526 | 59,635 | |
* | Goodyear Tire & Rubber Co. | 3,753,415 | 57,390 |
Tupperware Brands Corp. | 727,736 | 56,538 | |
Harman International Industries Inc. | 1,038,891 | 56,308 | |
Nu Skin Enterprises Inc. Class A | 803,714 | 49,123 | |
Gentex Corp. | 2,088,053 | 48,130 | |
* | Visteon Corp. | 761,861 | 48,089 |
* | Middleby Corp. | 273,311 | 46,487 |
Brunswick Corp. | 1,383,126 | 44,191 | |
Dana Holding Corp. | 2,248,040 | 43,297 | |
* | Tenneco Inc. | 930,195 | 42,119 |
* | Fifth & Pacific Cos. Inc. | 1,836,517 | 41,028 |
Wolverine World Wide Inc. | 729,895 | 39,860 | |
* | Tempur Sealy International Inc. | 877,777 | 38,534 |
* | Hain Celestial Group Inc. | 578,115 | 37,560 |
Pool Corp. | 677,632 | 35,515 | |
* | Smithfield Foods Inc. | 1,063,878 | 34,842 |
* | TreeHouse Foods Inc. | 527,255 | 34,556 |
Thor Industries Inc. | 690,415 | 33,955 | |
* | Darling International Inc. | 1,809,900 | 33,773 |
Scotts Miracle-Gro Co. Class A | 661,463 | 31,955 | |
* | Steven Madden Ltd. | 636,907 | 30,814 |
Cooper Tire & Rubber Co. | 921,561 | 30,568 | |
Ryland Group Inc. | 704,637 | 28,256 | |
B&G Foods Inc. | 807,561 | 27,497 | |
* | Dean Foods Co. | 2,709,430 | 27,148 |
* | Deckers Outdoor Corp. | 500,189 | 25,265 |
HNI Corp. | 695,465 | 25,085 | |
KB Home | 1,277,483 | 25,077 | |
* | Zynga Inc. Class A | 8,822,024 | 24,525 |
Lancaster Colony Corp. | 313,883 | 24,480 | |
* | Iconix Brand Group Inc. | 827,809 | 24,346 |
* | Boston Beer Co. Inc. Class A | 135,812 | 23,175 |
Herman Miller Inc. | 850,961 | 23,035 | |
Schweitzer-Mauduit International Inc. | 456,636 | 22,777 | |
* | Meritage Homes Corp. | 497,207 | 21,559 |
* | Crocs Inc. | 1,282,723 | 21,165 |
Sanderson Farms Inc. | 316,659 | 21,032 | |
Snyders-Lance Inc. | 740,003 | 21,023 | |
* | Post Holdings Inc. | 474,298 | 20,708 |
2
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Universal Corp. | 356,624 | 20,631 | |
Dorman Products Inc. | 446,109 | 20,356 | |
* | TiVo Inc. | 1,839,459 | 20,326 |
* | Select Comfort Corp. | 808,664 | 20,265 |
MDC Holdings Inc. | 599,101 | 19,477 | |
* | American Axle & Manufacturing Holdings Inc. | 1,028,357 | 19,158 |
Spectrum Brands Holdings Inc. | 319,056 | 18,145 | |
J&J Snack Foods Corp. | 230,122 | 17,903 | |
* | Helen of Troy Ltd. | 463,131 | 17,770 |
* | Tumi Holdings Inc. | 726,875 | 17,445 |
* | Elizabeth Arden Inc. | 382,622 | 17,245 |
* | Take-Two Interactive Software Inc. | 1,122,489 | 16,804 |
Steelcase Inc. Class A | 1,142,658 | 16,660 | |
* | WhiteWave Foods Co. Class A | 1,013,829 | 16,475 |
* | WhiteWave Foods Co. Class B | 1,072,252 | 16,298 |
Interface Inc. Class A | 960,239 | 16,295 | |
Jones Group Inc. | 1,162,123 | 15,979 | |
Fresh Del Monte Produce Inc. | 567,151 | 15,812 | |
Vector Group Ltd. | 961,095 | 15,589 | |
* | iRobot Corp. | 388,551 | 15,453 |
La-Z-Boy Inc. | 759,648 | 15,398 | |
Briggs & Stratton Corp. | 735,672 | 14,566 | |
* | Skechers U.S.A. Inc. Class A | 600,723 | 14,423 |
Andersons Inc. | 271,161 | 14,423 | |
Oxford Industries Inc. | 212,735 | 13,275 | |
^ | Columbia Sportswear Co. | 209,476 | 13,124 |
Titan International Inc. | 776,553 | 13,100 | |
Drew Industries Inc. | 332,459 | 13,072 | |
Pinnacle Foods Inc. | 538,585 | 13,007 | |
* | Standard Pacific Corp. | 1,487,224 | 12,389 |
Seaboard Corp. | 4,560 | 12,348 | |
* | Taylor Morrison Home Corp. Class A | 502,848 | 12,259 |
WD-40 Co. | 224,406 | 12,226 | |
* | G-III Apparel Group Ltd. | 248,175 | 11,942 |
True Religion Apparel Inc. | 373,711 | 11,832 | |
* | Pilgrim's Pride Corp. | 791,211 | 11,821 |
* | Quiksilver Inc. | 1,791,569 | 11,538 |
Ethan Allen Interiors Inc. | 397,215 | 11,440 | |
* | ACCO Brands Corp. | 1,734,060 | 11,029 |
* | Dole Food Co. Inc. | 822,554 | 10,488 |
* | Boulder Brands Inc. | 863,380 | 10,404 |
Knoll Inc. | 699,020 | 9,933 | |
^,* | Hovnanian Enterprises Inc. Class A | 1,711,109 | 9,599 |
Movado Group Inc. | 274,015 | 9,270 | |
Cal-Maine Foods Inc. | 198,741 | 9,243 | |
^ | Tootsie Roll Industries Inc. | 287,155 | 9,126 |
* | Annie's Inc. | 211,823 | 9,053 |
^,* | RealD Inc. | 641,665 | 8,919 |
* | Blount International Inc. | 751,687 | 8,885 |
* | LeapFrog Enterprises Inc. | 876,070 | 8,621 |
American Greetings Corp. Class A | 443,152 | 8,074 | |
* | Modine Manufacturing Co. | 721,131 | 7,846 |
Inter Parfums Inc. | 259,350 | 7,397 | |
* | Chiquita Brands International Inc. | 674,124 | 7,361 |
^,* | Vera Bradley Inc. | 309,992 | 6,714 |
^,* | Diamond Foods Inc. | 322,516 | 6,692 |
Superior Industries International Inc. | 377,559 | 6,498 | |
^,* | USANA Health Sciences Inc. | 82,365 | 5,962 |
* | Maidenform Brands Inc. | 338,996 | 5,875 |
National Presto Industries Inc. | 78,914 | 5,684 | |
* | DTS Inc. | 264,912 | 5,452 |
* | Revlon Inc. Class A | 188,845 | 4,166 |
* | Fuel Systems Solutions Inc. | 198,602 | 3,553 |
* | Central Garden and Pet Co. Class A | 482,862 | 3,332 |
3
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
JAKKS Pacific Inc. | 289,569 | 3,258 | |
National Beverage Corp. | 178,995 | 3,127 | |
* | Federal-Mogul Corp. | 302,082 | 3,084 |
* | Central Garden and Pet Co. | 162,321 | 1,152 |
2,917,315 | |||
Consumer Services (13.3%) | |||
Gannett Co. Inc. | 3,502,699 | 85,676 | |
* | Sally Beauty Holdings Inc. | 2,598,149 | 80,803 |
Foot Locker Inc. | 2,297,585 | 80,714 | |
* | Panera Bread Co. Class A | 430,105 | 79,974 |
Dick's Sporting Goods Inc. | 1,535,469 | 76,866 | |
Omnicare Inc. | 1,605,776 | 76,612 | |
GameStop Corp. Class A | 1,728,050 | 72,630 | |
Dunkin' Brands Group Inc. | 1,631,450 | 69,859 | |
GNC Holdings Inc. Class A | 1,354,348 | 59,876 | |
* | AMC Networks Inc. Class A | 877,286 | 57,383 |
* | Alaska Air Group Inc. | 1,074,984 | 55,899 |
Service Corp. International | 3,074,168 | 55,427 | |
* | Madison Square Garden Co. Class A | 918,823 | 54,440 |
* | Copart Inc. | 1,728,131 | 53,227 |
* | Lamar Advertising Co. Class A | 1,218,041 | 52,863 |
Cablevision Systems Corp. Class A | 3,092,941 | 52,023 | |
* | TripAdvisor Inc. | 849,471 | 51,707 |
Domino's Pizza Inc. | 860,031 | 50,011 | |
* | Penn National Gaming Inc. | 902,316 | 47,696 |
* | Avis Budget Group Inc. | 1,647,279 | 47,359 |
Washington Post Co. Class B | 94,696 | 45,811 | |
American Eagle Outfitters Inc. | 2,504,017 | 45,723 | |
* | Cabela's Inc. | 700,825 | 45,385 |
Cinemark Holdings Inc. | 1,583,912 | 44,223 | |
* | Groupon Inc. | 5,045,700 | 42,889 |
Brinker International Inc. | 1,080,097 | 42,588 | |
Chico's FAS Inc. | 2,359,637 | 40,255 | |
Sotheby's | 1,045,460 | 39,633 | |
^,* | US Airways Group Inc. | 2,382,014 | 39,113 |
DSW Inc. Class A | 528,553 | 38,833 | |
* | United Natural Foods Inc. | 717,334 | 38,729 |
^,* | Pandora Media Inc. | 2,003,763 | 36,869 |
Casey's General Stores Inc. | 586,896 | 35,308 | |
Dillard's Inc. Class A | 421,120 | 34,519 | |
Cracker Barrel Old Country Store Inc. | 364,243 | 34,479 | |
* | Ascena Retail Group Inc. | 1,949,997 | 34,028 |
* | Starz | 1,535,254 | 33,929 |
Vail Resorts Inc. | 549,935 | 33,832 | |
* | Rite Aid Corp. | 11,813,955 | 33,788 |
Six Flags Entertainment Corp. | 951,619 | 33,459 | |
Sinclair Broadcast Group Inc. Class A | 1,124,064 | 33,025 | |
* | Live Nation Entertainment Inc. | 2,087,610 | 32,358 |
Harris Teeter Supermarkets Inc. | 681,801 | 31,949 | |
* | VCA Antech Inc. | 1,220,252 | 31,836 |
* | Bally Technologies Inc. | 562,094 | 31,713 |
Rent-A-Center Inc. | 841,343 | 31,592 | |
* | Lumber Liquidators Holdings Inc. | 399,639 | 31,120 |
* | Shutterfly Inc. | 552,485 | 30,823 |
Cheesecake Factory Inc. | 734,995 | 30,789 | |
* | Spirit Airlines Inc. | 943,298 | 29,969 |
* | Life Time Fitness Inc. | 593,364 | 29,734 |
* | Fresh Market Inc. | 591,690 | 29,419 |
Aaron's Inc. | 1,042,294 | 29,195 | |
* | Lions Gate Entertainment Corp. | 1,040,716 | 28,589 |
^,* | CST Brands Inc. | 921,480 | 28,391 |
* | Beacon Roofing Supply Inc. | 743,722 | 28,172 |
Guess? Inc. | 906,705 | 28,135 | |
* | Buffalo Wild Wings Inc. | 286,584 | 28,131 |
4
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Men's Wearhouse Inc. | 729,707 | 27,619 | |
John Wiley & Sons Inc. Class A | 684,668 | 27,448 | |
* | ValueClick Inc. | 1,106,249 | 27,302 |
Abercrombie & Fitch Co. | 598,675 | 27,090 | |
Pier 1 Imports Inc. | 1,148,634 | 26,981 | |
* | Jack in the Box Inc. | 679,649 | 26,703 |
* | Big Lots Inc. | 844,970 | 26,642 |
KAR Auction Services Inc. | 1,157,259 | 26,467 | |
HSN Inc. | 489,348 | 26,288 | |
* | Express Inc. | 1,242,846 | 26,063 |
Rollins Inc. | 1,005,754 | 26,049 | |
* | Apollo Group Inc. Class A | 1,457,291 | 25,823 |
* | DreamWorks Animation SKG Inc. Class A | 983,599 | 25,239 |
* | HomeAway Inc. | 778,692 | 25,183 |
^ | Meredith Corp. | 524,648 | 25,026 |
Morningstar Inc. | 319,817 | 24,811 | |
Allegiant Travel Co. Class A | 233,289 | 24,726 | |
Wendy's Co. | 4,212,794 | 24,561 | |
* | Acxiom Corp. | 1,073,013 | 24,336 |
PriceSmart Inc. | 276,823 | 24,258 | |
Texas Roadhouse Inc. Class A | 960,972 | 24,044 | |
DeVry Inc. | 768,803 | 23,848 | |
^ | Dolby Laboratories Inc. Class A | 712,554 | 23,835 |
* | Genesco Inc. | 349,486 | 23,412 |
* | JetBlue Airways Corp. | 3,669,411 | 23,117 |
^ | Buckle Inc. | 443,421 | 23,067 |
* | ANN Inc. | 684,884 | 22,738 |
* | Hibbett Sports Inc. | 397,194 | 22,044 |
Monro Muffler Brake Inc. | 454,014 | 21,815 | |
Regal Entertainment Group Class A | 1,211,767 | 21,691 | |
Hillenbrand Inc. | 912,354 | 21,632 | |
Group 1 Automotive Inc. | 335,909 | 21,609 | |
* | Grand Canyon Education Inc. | 660,986 | 21,304 |
* | New York Times Co. Class A | 1,923,482 | 21,274 |
* | Saks Inc. | 1,493,037 | 20,365 |
Belo Corp. Class A | 1,459,600 | 20,361 | |
* | WMS Industries Inc. | 794,568 | 20,269 |
Chemed Corp. | 273,961 | 19,843 | |
* | Vitamin Shoppe Inc. | 440,718 | 19,762 |
Weight Watchers International Inc. | 427,799 | 19,679 | |
^,* | SUPERVALU Inc. | 3,152,386 | 19,608 |
Arbitron Inc. | 410,803 | 19,082 | |
Penske Automotive Group Inc. | 622,843 | 19,022 | |
* | WebMD Health Corp. | 647,400 | 19,014 |
* | OpenTable Inc. | 296,065 | 18,933 |
* | Bloomin' Brands Inc. | 753,635 | 18,751 |
Bob Evans Farms Inc. | 398,193 | 18,707 | |
* | Marriott Vacations Worldwide Corp. | 432,398 | 18,697 |
* | Conn's Inc. | 355,976 | 18,425 |
^,* | Five Below Inc. | 496,870 | 18,265 |
* | Asbury Automotive Group Inc. | 453,795 | 18,197 |
* | Children's Place Retail Stores Inc. | 326,250 | 17,879 |
Lithia Motors Inc. Class A | 333,716 | 17,790 | |
^,* | Francesca's Holdings Corp. | 638,691 | 17,749 |
* | Jos A Bank Clothiers Inc. | 427,136 | 17,649 |
* | Krispy Kreme Doughnuts Inc. | 1,001,665 | 17,479 |
DineEquity Inc. | 251,159 | 17,297 | |
* | Office Depot Inc. | 4,420,054 | 17,106 |
* | Pinnacle Entertainment Inc. | 847,180 | 16,664 |
* | Aeropostale Inc. | 1,198,407 | 16,538 |
* | Angie's List Inc. | 620,258 | 16,468 |
Finish Line Inc. Class A | 752,086 | 16,441 | |
Churchill Downs Inc. | 206,273 | 16,265 | |
* | Orient-Express Hotels Ltd. Class A | 1,337,335 | 16,262 |
5
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Choice Hotels International Inc. | 402,011 | 15,956 | |
* | Yelp Inc. | 451,087 | 15,684 |
* | Restoration Hardware Holdings Inc. | 204,359 | 15,327 |
* | SHFL Entertainment Inc. | 861,446 | 15,256 |
* | Papa John's International Inc. | 233,016 | 15,232 |
* | Ascent Capital Group Inc. Class A | 194,417 | 15,178 |
Matthews International Corp. Class A | 400,520 | 15,100 | |
SeaWorld Entertainment Inc. | 428,051 | 15,025 | |
Stewart Enterprises Inc. Class A | 1,127,116 | 14,754 | |
* | Hyatt Hotels Corp. Class A | 350,550 | 14,148 |
National CineMedia Inc. | 825,390 | 13,941 | |
Valassis Communications Inc. | 563,281 | 13,851 | |
* | BJ's Restaurants Inc. | 365,608 | 13,564 |
Brown Shoe Co. Inc. | 629,368 | 13,550 | |
^,* | Liquidity Services Inc. | 386,319 | 13,394 |
^,* | Clean Energy Fuels Corp. | 1,013,814 | 13,382 |
* | AFC Enterprises Inc. | 364,711 | 13,108 |
OfficeMax Inc. | 1,262,384 | 12,914 | |
International Speedway Corp. Class A | 403,105 | 12,686 | |
Ameristar Casinos Inc. | 479,514 | 12,606 | |
* | Susser Holdings Corp. | 257,834 | 12,345 |
AMERCO | 74,871 | 12,122 | |
* | comScore Inc. | 490,663 | 11,967 |
* | Sonic Corp. | 815,238 | 11,870 |
Scholastic Corp. | 392,512 | 11,497 | |
Interval Leisure Group Inc. | 571,582 | 11,386 | |
Regis Corp. | 692,227 | 11,366 | |
Sonic Automotive Inc. Class A | 531,429 | 11,234 | |
* | K12 Inc. | 426,166 | 11,195 |
Stage Stores Inc. | 473,936 | 11,138 | |
* | Rush Enterprises Inc. Class A | 446,127 | 11,042 |
* | Steiner Leisure Ltd. | 201,994 | 10,677 |
CEC Entertainment Inc. | 257,914 | 10,585 | |
* | Tile Shop Holdings Inc. | 365,156 | 10,575 |
Cato Corp. Class A | 420,226 | 10,489 | |
* | Bright Horizons Family Solutions Inc. | 296,864 | 10,304 |
SkyWest Inc. | 752,731 | 10,192 | |
^,* | Boyd Gaming Corp. | 862,580 | 9,747 |
* | rue21 inc | 233,210 | 9,704 |
* | American Public Education Inc. | 255,424 | 9,492 |
* | Zumiez Inc. | 322,629 | 9,276 |
* | Pep Boys-Manny Moe & Jack | 771,806 | 8,938 |
* | Bankrate Inc. | 611,220 | 8,777 |
* | Barnes & Noble Inc. | 548,726 | 8,758 |
^,* | ITT Educational Services Inc. | 356,768 | 8,705 |
^,* | Mattress Firm Holding Corp. | 206,694 | 8,330 |
Fred's Inc. Class A | 532,802 | 8,253 | |
* | Scientific Games Corp. Class A | 714,051 | 8,033 |
^,* | Caesars Entertainment Corp. | 574,329 | 7,868 |
* | Ruby Tuesday Inc. | 837,692 | 7,732 |
^ | Strayer Education Inc. | 156,853 | 7,659 |
* | Biglari Holdings Inc. | 18,597 | 7,632 |
Weis Markets Inc. | 164,328 | 7,406 | |
* | Constant Contact Inc. | 445,577 | 7,160 |
* | Blue Nile Inc. | 189,224 | 7,149 |
Harte-Hanks Inc. | 810,533 | 6,971 | |
* | Capella Education Co. | 160,851 | 6,700 |
^,* | Fairway Group Holdings Corp. | 237,913 | 5,750 |
* | Sears Hometown and Outlet Stores Inc. | 123,877 | 5,416 |
* | Clear Channel Outdoor Holdings Inc. Class A | 620,156 | 4,626 |
^,* | RadioShack Corp. | 1,446,481 | 4,571 |
* | QuinStreet Inc. | 425,036 | 3,668 |
* | Demand Media Inc. | 597,512 | 3,585 |
* | Bridgepoint Education Inc. | 289,188 | 3,522 |
6
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Speedway Motorsports Inc. | 192,252 | 3,345 | |
* | Travelzoo Inc. | 117,290 | 3,197 |
* | Rush Enterprises Inc. Class B | 133,595 | 2,875 |
* | Avid Technology Inc. | 478,268 | 2,812 |
^,* | hhgregg Inc. | 168,272 | 2,687 |
* | RealNetworks Inc. | 322,504 | 2,438 |
* | Vitacost.com Inc. | 256,652 | 2,169 |
* | ReachLocal Inc. | 151,823 | 1,861 |
^,* | Education Management Corp. | 291,463 | 1,638 |
* | Career Education Corp. | 434,236 | 1,259 |
4,656,339 | |||
Financials (23.7%) | |||
* | Genworth Financial Inc. Class A | 7,545,791 | 86,097 |
Arthur J Gallagher & Co. | 1,935,920 | 84,580 | |
Fidelity National Financial Inc. Class A | 3,309,021 | 78,788 | |
Duke Realty Corp. | 4,922,702 | 76,745 | |
Senior Housing Properties Trust | 2,878,324 | 74,635 | |
* | Ocwen Financial Corp. | 1,764,507 | 72,733 |
DDR Corp. | 4,334,094 | 72,163 | |
Regency Centers Corp. | 1,401,981 | 71,235 | |
Taubman Centers Inc. | 927,208 | 69,680 | |
Liberty Property Trust | 1,840,353 | 68,019 | |
Extra Space Storage Inc. | 1,613,587 | 67,658 | |
Apartment Investment & Management Co. Class A | 2,233,056 | 67,081 | |
HCC Insurance Holdings Inc. | 1,535,727 | 66,205 | |
Eaton Vance Corp. | 1,753,622 | 65,919 | |
American Campus Communities Inc. | 1,603,659 | 65,205 | |
Starwood Property Trust Inc. | 2,543,444 | 62,950 | |
National Retail Properties Inc. | 1,823,557 | 62,730 | |
CBOE Holdings Inc. | 1,335,787 | 62,301 | |
Kilroy Realty Corp. | 1,155,014 | 61,227 | |
Corrections Corp. of America | 1,763,223 | 59,720 | |
BRE Properties Inc. | 1,178,225 | 58,935 | |
WP Carey Inc. | 886,603 | 58,667 | |
Assured Guaranty Ltd. | 2,614,287 | 57,671 | |
BioMed Realty Trust Inc. | 2,848,202 | 57,619 | |
* | Howard Hughes Corp. | 513,944 | 57,608 |
* | SVB Financial Group | 689,211 | 57,425 |
Two Harbors Investment Corp. | 5,590,549 | 57,303 | |
East West Bancorp Inc. | 2,081,714 | 57,247 | |
American Financial Group Inc. | 1,168,415 | 57,147 | |
Brown & Brown Inc. | 1,761,491 | 56,790 | |
Hospitality Properties Trust | 2,138,905 | 56,210 | |
RenaissanceRe Holdings Ltd. | 647,234 | 56,173 | |
* | Signature Bank | 671,423 | 55,742 |
* | E*TRADE Financial Corp. | 4,385,056 | 55,515 |
Omega Healthcare Investors Inc. | 1,777,940 | 55,152 | |
Cullen/Frost Bankers Inc. | 825,681 | 55,131 | |
First Niagara Financial Group Inc. | 5,417,804 | 54,557 | |
Weingarten Realty Investors | 1,769,121 | 54,436 | |
Waddell & Reed Financial Inc. Class A | 1,248,007 | 54,288 | |
Home Properties Inc. | 798,677 | 52,210 | |
Validus Holdings Ltd. | 1,437,681 | 51,929 | |
Douglas Emmett Inc. | 2,073,282 | 51,728 | |
Commerce Bancshares Inc. | 1,178,404 | 51,331 | |
CBL & Associates Properties Inc. | 2,393,016 | 51,258 | |
FirstMerit Corp. | 2,533,840 | 50,753 | |
Old Republic International Corp. | 3,774,888 | 48,583 | |
Tanger Factory Outlet Centers | 1,445,324 | 48,361 | |
Equity Lifestyle Properties Inc. | 605,359 | 47,575 | |
Chimera Investment Corp. | 15,730,415 | 47,191 | |
ProAssurance Corp. | 899,073 | 46,896 | |
MFA Financial Inc. | 5,523,691 | 46,675 |
7
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Alleghany Corp. | 121,667 | 46,636 |
Protective Life Corp. | 1,200,971 | 46,129 | |
Piedmont Office Realty Trust Inc. Class A | 2,566,577 | 45,890 | |
Allied World Assurance Co. Holdings AG | 501,377 | 45,881 | |
* | Forest City Enterprises Inc. Class A | 2,550,053 | 45,671 |
* | Popular Inc. | 1,499,801 | 45,489 |
Prosperity Bancshares Inc. | 875,519 | 45,343 | |
Highwoods Properties Inc. | 1,255,973 | 44,725 | |
City National Corp. | 702,143 | 44,495 | |
Mid-America Apartment Communities Inc. | 653,396 | 44,281 | |
* | Liberty Ventures Class A | 513,396 | 43,644 |
CNO Financial Group Inc. | 3,231,240 | 41,877 | |
CommonWealth REIT | 1,811,243 | 41,876 | |
Post Properties Inc. | 835,703 | 41,359 | |
First Horizon National Corp. | 3,688,431 | 41,310 | |
RLJ Lodging Trust | 1,783,588 | 40,113 | |
Retail Properties of America Inc. | 2,799,769 | 39,981 | |
Associated Banc-Corp | 2,567,783 | 39,929 | |
* | Portfolio Recovery Associates Inc. | 258,494 | 39,712 |
^ | Federated Investors Inc. Class B | 1,443,819 | 39,575 |
Hancock Holding Co. | 1,299,650 | 39,080 | |
Aspen Insurance Holdings Ltd. | 1,014,851 | 37,641 | |
Hatteras Financial Corp. | 1,513,222 | 37,286 | |
Geo Group Inc. | 1,096,253 | 37,218 | |
Susquehanna Bancshares Inc. | 2,854,952 | 36,686 | |
EPR Properties | 720,270 | 36,208 | |
LaSalle Hotel Properties | 1,462,851 | 36,132 | |
Webster Financial Corp. | 1,382,031 | 35,491 | |
Healthcare Realty Trust Inc. | 1,384,306 | 35,300 | |
First American Financial Corp. | 1,573,706 | 34,684 | |
Bank of Hawaii Corp. | 686,631 | 34,551 | |
American Realty Capital Properties Inc. | 2,253,162 | 34,383 | |
Invesco Mortgage Capital Inc. | 2,070,455 | 34,287 | |
Fulton Financial Corp. | 2,976,881 | 34,175 | |
Financial Engines Inc. | 748,907 | 34,143 | |
Synovus Financial Corp. | 11,540,675 | 33,699 | |
StanCorp Financial Group Inc. | 677,913 | 33,496 | |
Corporate Office Properties Trust | 1,308,794 | 33,374 | |
* | Stifel Financial Corp. | 924,855 | 32,990 |
Hanover Insurance Group Inc. | 671,912 | 32,877 | |
White Mountains Insurance Group Ltd. | 56,743 | 32,624 | |
Primerica Inc. | 864,438 | 32,365 | |
Brandywine Realty Trust | 2,392,634 | 32,348 | |
TCF Financial Corp. | 2,257,711 | 32,014 | |
DCT Industrial Trust Inc. | 4,461,644 | 31,901 | |
* | MGIC Investment Corp. | 5,172,167 | 31,395 |
Erie Indemnity Co. Class A | 392,857 | 31,307 | |
Medical Properties Trust Inc. | 2,183,157 | 31,263 | |
Sovran Self Storage Inc. | 481,007 | 31,164 | |
UMB Financial Corp. | 558,758 | 31,106 | |
Radian Group Inc. | 2,647,215 | 30,761 | |
American National Insurance Co. | 308,180 | 30,655 | |
^ | Lexington Realty Trust | 2,622,201 | 30,627 |
Endurance Specialty Holdings Ltd. | 592,416 | 30,480 | |
* | Sunstone Hotel Investors Inc. | 2,493,612 | 30,123 |
Washington Federal Inc. | 1,591,680 | 30,051 | |
Assurant Inc. | 588,148 | 29,943 | |
Mack-Cali Realty Corp. | 1,211,892 | 29,679 | |
* | MBIA Inc. | 2,212,347 | 29,446 |
Colonial Properties Trust | 1,219,986 | 29,426 | |
CubeSmart | 1,836,214 | 29,343 | |
DiamondRock Hospitality Co. | 2,988,095 | 27,849 | |
NorthStar Realty Finance Corp. | 3,029,181 | 27,566 | |
^ | Valley National Bancorp | 2,891,780 | 27,385 |
8
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Washington REIT | 1,016,757 | 27,361 | |
ARMOUR Residential REIT Inc. | 5,716,216 | 26,923 | |
FNB Corp. | 2,215,766 | 26,766 | |
CapitalSource Inc. | 2,849,209 | 26,726 | |
Platinum Underwriters Holdings Ltd. | 460,991 | 26,378 | |
* | Texas Capital Bancshares Inc. | 591,919 | 26,258 |
Ryman Hospitality Properties | 670,799 | 26,168 | |
* | Alexander & Baldwin Inc. | 657,727 | 26,145 |
New Residential Investment Corp. | 3,868,791 | 26,076 | |
BankUnited Inc. | 997,821 | 25,953 | |
Sun Communities Inc. | 520,545 | 25,902 | |
Umpqua Holdings Corp. | 1,710,652 | 25,677 | |
Home Loan Servicing Solutions Ltd. | 1,067,386 | 25,585 | |
^ | First Financial Bankshares Inc. | 457,738 | 25,478 |
MarketAxess Holdings Inc. | 544,431 | 25,452 | |
Potlatch Corp. | 618,634 | 25,018 | |
Capitol Federal Financial Inc. | 2,048,748 | 24,872 | |
Symetra Financial Corp. | 1,547,181 | 24,739 | |
EastGroup Properties Inc. | 439,207 | 24,714 | |
CYS Investments Inc. | 2,674,767 | 24,635 | |
Pebblebrook Hotel Trust | 938,390 | 24,257 | |
Glimcher Realty Trust | 2,213,636 | 24,173 | |
DuPont Fabros Technology Inc. | 990,321 | 23,916 | |
First Industrial Realty Trust Inc. | 1,562,347 | 23,701 | |
* | Altisource Portfolio Solutions SA | 247,959 | 23,328 |
Glacier Bancorp Inc. | 1,045,624 | 23,202 | |
Iberiabank Corp. | 431,041 | 23,108 | |
Newcastle Investment Corp. | 4,404,569 | 23,036 | |
Kemper Corp. | 666,940 | 22,843 | |
Equity One Inc. | 1,000,993 | 22,652 | |
RLI Corp. | 292,799 | 22,373 | |
^,* | St. Joe Co. | 1,060,379 | 22,321 |
* | Strategic Hotels & Resorts Inc. | 2,501,919 | 22,167 |
Cathay General Bancorp | 1,084,813 | 22,076 | |
BancorpSouth Inc. | 1,239,633 | 21,942 | |
PrivateBancorp Inc. | 1,021,700 | 21,670 | |
EverBank Financial Corp. | 1,308,531 | 21,669 | |
Old National Bancorp | 1,553,121 | 21,480 | |
MB Financial Inc. | 797,630 | 21,376 | |
^ | Redwood Trust Inc. | 1,255,588 | 21,345 |
Bank of the Ozarks Inc. | 486,349 | 21,074 | |
Government Properties Income Trust | 835,519 | 21,072 | |
* | First Cash Financial Services Inc. | 424,040 | 20,867 |
Acadia Realty Trust | 842,883 | 20,811 | |
Wintrust Financial Corp. | 537,852 | 20,589 | |
LTC Properties Inc. | 524,252 | 20,472 | |
BOK Financial Corp. | 315,820 | 20,228 | |
Trustmark Corp. | 821,252 | 20,186 | |
PS Business Parks Inc. | 279,416 | 20,165 | |
* | Virtus Investment Partners Inc. | 113,560 | 20,017 |
Cash America International Inc. | 435,938 | 19,818 | |
Janus Capital Group Inc. | 2,321,664 | 19,757 | |
Colony Financial Inc. | 987,461 | 19,641 | |
National Health Investors Inc. | 320,401 | 19,179 | |
Healthcare Trust of America Inc. Class A | 1,703,258 | 19,128 | |
International Bancshares Corp. | 823,785 | 18,601 | |
Columbia Banking System Inc. | 780,078 | 18,574 | |
Mercury General Corp. | 420,928 | 18,504 | |
Selective Insurance Group Inc. | 802,081 | 18,464 | |
Spirit Realty Capital Inc. | 1,037,514 | 18,385 | |
^ | United Bankshares Inc. | 692,652 | 18,321 |
Pennsylvania REIT | 964,468 | 18,209 | |
National Penn Bancshares Inc. | 1,784,843 | 18,134 | |
* | Walter Investment Management Corp. | 536,120 | 18,126 |
9
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Community Bank System Inc. | 582,457 | 17,969 | |
Westamerica Bancorporation | 392,837 | 17,949 | |
^ | Home BancShares Inc. | 688,278 | 17,875 |
* | Western Alliance Bancorp | 1,128,766 | 17,868 |
Education Realty Trust Inc. | 1,741,515 | 17,816 | |
Greenhill & Co. Inc. | 388,880 | 17,787 | |
Franklin Street Properties Corp. | 1,347,383 | 17,785 | |
Capstead Mortgage Corp. | 1,460,002 | 17,666 | |
^,* | Zillow Inc. Class A | 312,631 | 17,601 |
Argo Group International Holdings Ltd. | 415,099 | 17,596 | |
Northwest Bancshares Inc. | 1,288,681 | 17,410 | |
Montpelier Re Holdings Ltd. | 693,413 | 17,342 | |
PacWest Bancorp | 562,149 | 17,230 | |
Tower Group International Ltd. | 834,229 | 17,110 | |
PennyMac Mortgage Investment Trust | 810,808 | 17,068 | |
* | WisdomTree Investments Inc. | 1,464,649 | 16,946 |
Cousins Properties Inc. | 1,658,349 | 16,749 | |
^,* | First BanCorp | 2,362,338 | 16,725 |
BBCN Bancorp Inc. | 1,145,921 | 16,295 | |
Investors Bancorp Inc. | 768,653 | 16,203 | |
American Capital Mortgage Investment Corp. | 900,641 | 16,185 | |
Evercore Partners Inc. Class A | 410,139 | 16,110 | |
CVB Financial Corp. | 1,362,502 | 16,023 | |
American Assets Trust Inc. | 515,463 | 15,907 | |
Hersha Hospitality Trust Class A | 2,784,320 | 15,704 | |
Chesapeake Lodging Trust | 741,826 | 15,423 | |
First Citizens BancShares Inc. Class A | 78,665 | 15,108 | |
First Midwest Bancorp Inc. | 1,089,237 | 14,944 | |
Horace Mann Educators Corp. | 606,132 | 14,778 | |
* | National Financial Partners Corp. | 582,101 | 14,733 |
* | Knight Capital Group Inc. Class A | 4,099,235 | 14,716 |
^ | Amtrust Financial Services Inc. | 411,709 | 14,698 |
American Equity Investment Life Holding Co. | 928,948 | 14,584 | |
* | Hilltop Holdings Inc. | 880,031 | 14,433 |
Ramco-Gershenson Properties Trust | 915,293 | 14,215 | |
Sabra Health Care REIT Inc. | 543,270 | 14,185 | |
* | Enstar Group Ltd. | 106,130 | 14,113 |
Astoria Financial Corp. | 1,284,059 | 13,842 | |
Hudson Pacific Properties Inc. | 649,592 | 13,823 | |
NBT Bancorp Inc. | 635,447 | 13,452 | |
Retail Opportunity Investments Corp. | 963,668 | 13,395 | |
* | TFS Financial Corp. | 1,180,263 | 13,219 |
National Bank Holdings Corp. Class A | 670,977 | 13,218 | |
* | iStar Financial Inc. | 1,169,121 | 13,199 |
Inland Real Estate Corp. | 1,290,761 | 13,192 | |
Kennedy-Wilson Holdings Inc. | 792,403 | 13,186 | |
Investors Real Estate Trust | 1,532,961 | 13,183 | |
Ashford Hospitality Trust Inc. | 1,151,300 | 13,182 | |
* | Pinnacle Financial Partners Inc. | 508,352 | 13,070 |
^,* | Nationstar Mortgage Holdings Inc. | 345,784 | 12,946 |
Provident Financial Services Inc. | 820,316 | 12,945 | |
STAG Industrial Inc. | 644,963 | 12,867 | |
OFG Bancorp | 696,857 | 12,620 | |
Associated Estates Realty Corp. | 783,215 | 12,594 | |
* | Ezcorp Inc. Class A | 743,020 | 12,542 |
First Financial Bancorp | 839,448 | 12,508 | |
SCBT Financial Corp. | 246,957 | 12,444 | |
Sterling Financial Corp. | 523,268 | 12,443 | |
Anworth Mortgage Asset Corp. | 2,207,073 | 12,360 | |
* | World Acceptance Corp. | 141,373 | 12,291 |
Boston Private Financial Holdings Inc. | 1,154,628 | 12,285 | |
Park National Corp. | 176,498 | 12,141 | |
Select Income REIT | 418,015 | 11,721 | |
Employers Holdings Inc. | 474,355 | 11,598 |
10
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Nelnet Inc. Class A | 320,746 | 11,576 | |
ViewPoint Financial Group Inc. | 551,072 | 11,468 | |
Independent Bank Corp. | 330,376 | 11,398 | |
* | Encore Capital Group Inc. | 343,671 | 11,379 |
Resource Capital Corp. | 1,842,428 | 11,331 | |
WesBanco Inc. | 423,818 | 11,202 | |
Interactive Brokers Group Inc. | 689,252 | 11,007 | |
* | Central Pacific Financial Corp. | 608,546 | 10,954 |
First Potomac Realty Trust | 838,157 | 10,946 | |
Chemical Financial Corp. | 420,546 | 10,930 | |
* | Greenlight Capital Re Ltd. Class A | 442,719 | 10,860 |
BGC Partners Inc. Class A | 1,830,605 | 10,782 | |
Parkway Properties Inc. | 630,230 | 10,563 | |
First Commonwealth Financial Corp. | 1,420,524 | 10,469 | |
* | NetSpend Holdings Inc. | 644,963 | 10,300 |
Safety Insurance Group Inc. | 212,324 | 10,300 | |
Berkshire Hills Bancorp Inc. | 363,803 | 10,099 | |
* | Forestar Group Inc. | 502,668 | 10,084 |
* | FelCor Lodging Trust Inc. | 1,706,174 | 10,083 |
Banner Corp. | 297,197 | 10,042 | |
Infinity Property & Casualty Corp. | 167,109 | 9,986 | |
* | Navigators Group Inc. | 173,394 | 9,890 |
* | Artisan Partners Asset Management Inc. | 195,225 | 9,744 |
* | Credit Acceptance Corp. | 90,010 | 9,456 |
Oritani Financial Corp. | 589,025 | 9,236 | |
Cohen & Steers Inc. | 270,279 | 9,184 | |
Alexander's Inc. | 31,179 | 9,158 | |
HFF Inc. Class A | 511,935 | 9,097 | |
City Holding Co. | 228,065 | 8,883 | |
Brookline Bancorp Inc. | 1,017,024 | 8,828 | |
Maiden Holdings Ltd. | 774,415 | 8,689 | |
Silver Bay Realty Trust Corp. | 510,606 | 8,456 | |
S&T Bancorp Inc. | 431,159 | 8,451 | |
^,* | Ambac Financial Group Inc. | 344,304 | 8,205 |
* | DFC Global Corp. | 587,521 | 8,114 |
AG Mortgage Investment Trust Inc. | 426,723 | 8,027 | |
* | Piper Jaffray Cos. | 250,359 | 7,914 |
Getty Realty Corp. | 382,486 | 7,898 | |
* | Investment Technology Group Inc. | 539,912 | 7,548 |
Saul Centers Inc. | 169,583 | 7,540 | |
Tompkins Financial Corp. | 166,484 | 7,523 | |
Universal Health Realty Income Trust | 174,384 | 7,521 | |
* | MoneyGram International Inc. | 309,487 | 7,010 |
* | Tejon Ranch Co. | 245,976 | 7,008 |
FXCM Inc. Class A | 424,561 | 6,967 | |
State Bank Financial Corp. | 463,104 | 6,960 | |
* | PICO Holdings Inc. | 329,801 | 6,913 |
Urstadt Biddle Properties Inc. Class A | 341,853 | 6,895 | |
* | Green Dot Corp. Class A | 344,501 | 6,873 |
Dime Community Bancshares Inc. | 443,291 | 6,791 | |
United Fire Group Inc. | 270,274 | 6,711 | |
* | Capital Bank Financial Corp. | 343,810 | 6,529 |
FBL Financial Group Inc. Class A | 149,158 | 6,490 | |
National Western Life Insurance Co. Class A | 34,023 | 6,459 | |
Rouse Properties Inc. | 304,789 | 5,980 | |
Meadowbrook Insurance Group Inc. | 729,193 | 5,855 | |
Aviv REIT Inc. | 228,522 | 5,779 | |
OneBeacon Insurance Group Ltd. Class A | 342,512 | 4,960 | |
* | NewStar Financial Inc. | 340,187 | 4,531 |
Bancfirst Corp. | 93,542 | 4,354 | |
GFI Group Inc. | 1,093,604 | 4,276 | |
* | Flagstar Bancorp Inc. | 301,911 | 4,215 |
* | Walker & Dunlop Inc. | 240,282 | 4,205 |
^,* | Blackhawk Network Holdings Inc. | 176,065 | 4,085 |
11
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Beneficial Mutual Bancorp Inc. | 486,103 | 4,083 |
State Auto Financial Corp. | 216,606 | 3,936 | |
Northfield Bancorp Inc. | 313,931 | 3,679 | |
* | TESARO Inc. | 112,231 | 3,674 |
GAMCO Investors Inc. | 60,911 | 3,375 | |
* | Kearny Financial Corp. | 207,161 | 2,173 |
Urstadt Biddle Properties Inc. | 59,069 | 1,060 | |
8,306,060 | |||
Health Care (9.9%) | |||
* | Onyx Pharmaceuticals Inc. | 1,113,094 | 146,238 |
Cooper Cos. Inc. | 744,663 | 88,652 | |
* | Tenet Healthcare Corp. | 1,584,003 | 73,023 |
* | Pharmacyclics Inc. | 891,104 | 70,816 |
* | MEDNAX Inc. | 767,875 | 70,322 |
Warner Chilcott plc Class A | 3,456,232 | 68,710 | |
* | Covance Inc. | 852,029 | 64,873 |
Community Health Systems Inc. | 1,370,513 | 64,250 | |
* | Health Management Associates Inc. Class A | 3,770,856 | 59,278 |
* | Alkermes plc | 2,054,307 | 58,917 |
* | Salix Pharmaceuticals Ltd. | 890,306 | 58,894 |
* | Sirona Dental Systems Inc. | 839,870 | 55,331 |
* | Medivation Inc. | 1,090,302 | 53,643 |
* | Seattle Genetics Inc. | 1,575,958 | 49,580 |
* | Jazz Pharmaceuticals plc | 720,820 | 49,542 |
Teleflex Inc. | 628,543 | 48,706 | |
* | Cubist Pharmaceuticals Inc. | 996,933 | 48,152 |
* | Ariad Pharmaceuticals Inc. | 2,682,509 | 46,917 |
* | United Therapeutics Corp. | 684,446 | 45,050 |
* | Isis Pharmaceuticals Inc. | 1,640,198 | 44,072 |
* | Team Health Holdings Inc. | 1,051,646 | 43,191 |
* | Centene Corp. | 791,532 | 41,524 |
* | Incyte Corp. Ltd. | 1,870,503 | 41,151 |
^,* | Theravance Inc. | 1,064,496 | 41,015 |
* | PAREXEL International Corp. | 869,279 | 39,935 |
* | Brookdale Senior Living Inc. Class A | 1,505,158 | 39,796 |
^ | Questcor Pharmaceuticals Inc. | 819,218 | 37,242 |
Techne Corp. | 535,795 | 37,013 | |
* | Align Technology Inc. | 999,052 | 37,005 |
* | WellCare Health Plans Inc. | 665,466 | 36,967 |
* | Health Net Inc. | 1,154,144 | 36,725 |
STERIS Corp. | 854,792 | 36,653 | |
* | HealthSouth Corp. | 1,268,756 | 36,540 |
* | Cepheid Inc. | 1,027,516 | 35,367 |
West Pharmaceutical Services Inc. | 501,417 | 35,230 | |
* | Bio-Rad Laboratories Inc. Class A | 304,064 | 34,116 |
* | LifePoint Hospitals Inc. | 689,430 | 33,672 |
Owens & Minor Inc. | 969,741 | 32,806 | |
* | Myriad Genetics Inc. | 1,219,856 | 32,777 |
* | Haemonetics Corp. | 782,160 | 32,342 |
* | Endo Health Solutions Inc. | 859,426 | 31,618 |
* | HMS Holdings Corp. | 1,343,051 | 31,293 |
* | Charles River Laboratories International Inc. | 750,905 | 30,810 |
Hill-Rom Holdings Inc. | 912,966 | 30,749 | |
* | Alere Inc. | 1,179,708 | 28,903 |
* | ViroPharma Inc. | 997,800 | 28,587 |
* | Thoratec Corp. | 875,875 | 27,424 |
* | Medicines Co. | 855,480 | 26,315 |
^,* | Arena Pharmaceuticals Inc. | 3,327,233 | 25,620 |
* | Alnylam Pharmaceuticals Inc. | 807,504 | 25,041 |
* | Bruker Corp. | 1,531,712 | 24,737 |
* | Insulet Corp. | 775,648 | 24,363 |
Healthcare Services Group Inc. | 993,299 | 24,356 | |
* | Magellan Health Services Inc. | 413,701 | 23,200 |
* | DexCom Inc. | 1,026,384 | 23,042 |
12
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Prestige Brands Holdings Inc. | 783,556 | 22,833 |
* | ImmunoGen Inc. | 1,295,200 | 21,487 |
* | HeartWare International Inc. | 225,418 | 21,439 |
* | Cyberonics Inc. | 402,323 | 20,905 |
* | NPS Pharmaceuticals Inc. | 1,381,023 | 20,853 |
* | Acorda Therapeutics Inc. | 621,623 | 20,507 |
* | Nektar Therapeutics | 1,766,595 | 20,404 |
* | Impax Laboratories Inc. | 994,409 | 19,838 |
^,* | Vivus Inc. | 1,541,739 | 19,395 |
* | Neogen Corp. | 348,319 | 19,353 |
* | Wright Medical Group Inc. | 715,782 | 18,761 |
Air Methods Corp. | 535,272 | 18,135 | |
* | Acadia Healthcare Co. Inc. | 539,908 | 17,855 |
* | Santarus Inc. | 844,413 | 17,775 |
* | NuVasive Inc. | 675,500 | 16,746 |
^,* | Sarepta Therapeutics Inc. | 439,456 | 16,721 |
* | Puma Biotechnology Inc. | 372,279 | 16,518 |
^ | PDL BioPharma Inc. | 2,138,239 | 16,507 |
^,* | Opko Health Inc. | 2,316,708 | 16,449 |
Masimo Corp. | 775,325 | 16,437 | |
* | Amsurg Corp. Class A | 464,166 | 16,292 |
* | Hanger Inc. | 504,934 | 15,971 |
* | Molina Healthcare Inc. | 416,179 | 15,474 |
Abaxis Inc. | 320,599 | 15,232 | |
* | Volcano Corp. | 836,282 | 15,162 |
* | ArthroCare Corp. | 431,887 | 14,913 |
* | Akorn Inc. | 1,100,705 | 14,881 |
^,* | Exact Sciences Corp. | 1,063,222 | 14,789 |
* | ICU Medical Inc. | 200,996 | 14,484 |
* | Emeritus Corp. | 615,071 | 14,257 |
^,* | Globus Medical Inc. | 839,213 | 14,149 |
* | Ironwood Pharmaceuticals Inc. Class A | 1,419,435 | 14,123 |
* | Clovis Oncology Inc. | 203,568 | 13,635 |
Analogic Corp. | 186,947 | 13,615 | |
* | BioScrip Inc. | 825,171 | 13,615 |
CONMED Corp. | 423,571 | 13,232 | |
* | IPC The Hospitalist Co. Inc. | 256,003 | 13,148 |
Meridian Bioscience Inc. | 601,637 | 12,935 | |
* | Auxilium Pharmaceuticals Inc. | 753,072 | 12,524 |
* | NxStage Medical Inc. | 866,699 | 12,376 |
* | Endologix Inc. | 915,268 | 12,155 |
* | InterMune Inc. | 1,246,589 | 11,992 |
* | Luminex Corp. | 577,425 | 11,901 |
* | Aegerion Pharmaceuticals Inc. | 187,628 | 11,884 |
* | Integra LifeSciences Holdings Corp. | 321,510 | 11,777 |
^,* | Exelixis Inc. | 2,526,594 | 11,471 |
* | Infinity Pharmaceuticals Inc. | 694,017 | 11,278 |
* | Quidel Corp. | 438,248 | 11,188 |
^,* | Bio-Reference Labs Inc. | 380,191 | 10,930 |
* | ABIOMED Inc. | 502,801 | 10,840 |
* | Momenta Pharmaceuticals Inc. | 713,781 | 10,750 |
Cantel Medical Corp. | 313,775 | 10,628 | |
* | Kindred Healthcare Inc. | 784,083 | 10,295 |
* | Halozyme Therapeutics Inc. | 1,295,926 | 10,290 |
* | Achillion Pharmaceuticals Inc. | 1,253,520 | 10,254 |
^,* | Optimer Pharmaceuticals Inc. | 706,969 | 10,230 |
Ensign Group Inc. | 283,604 | 9,989 | |
* | Vanguard Health Systems Inc. | 475,655 | 9,865 |
^,* | Dendreon Corp. | 2,296,017 | 9,460 |
* | ACADIA Pharmaceuticals Inc. | 499,174 | 9,060 |
* | Synageva BioPharma Corp. | 208,197 | 8,744 |
* | Healthways Inc. | 499,031 | 8,673 |
^,* | Merrimack Pharmaceuticals Inc. | 1,247,428 | 8,395 |
* | Accretive Health Inc. | 742,733 | 8,029 |
13
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Orthofix International NV | 297,186 | 7,994 |
^,* | MannKind Corp. | 1,224,071 | 7,956 |
Select Medical Holdings Corp. | 958,849 | 7,863 | |
* | HealthStream Inc. | 305,853 | 7,744 |
* | Lexicon Pharmaceuticals Inc. | 3,526,069 | 7,652 |
^,* | Sequenom Inc. | 1,758,712 | 7,404 |
^,* | MAKO Surgical Corp. | 609,446 | 7,344 |
* | Tornier NV | 395,944 | 6,929 |
* | Merit Medical Systems Inc. | 617,404 | 6,884 |
Invacare Corp. | 445,672 | 6,400 | |
* | Emergent Biosolutions Inc. | 442,682 | 6,383 |
* | Cadence Pharmaceuticals Inc. | 917,265 | 6,256 |
Spectrum Pharmaceuticals Inc. | 825,093 | 6,155 | |
National Healthcare Corp. | 128,725 | 6,153 | |
* | Genomic Health Inc. | 184,616 | 5,854 |
^,* | Accuray Inc. | 1,018,752 | 5,848 |
^,* | Idenix Pharmaceuticals Inc. | 1,534,503 | 5,540 |
^,* | Synergy Pharmaceuticals Inc. | 1,239,596 | 5,355 |
* | Corvel Corp. | 181,823 | 5,322 |
* | Amedisys Inc. | 453,877 | 5,274 |
Universal American Corp. | 589,941 | 5,245 | |
* | Gentiva Health Services Inc. | 454,306 | 4,525 |
* | Sagent Pharmaceuticals Inc. | 214,954 | 4,510 |
* | Rigel Pharmaceuticals Inc. | 1,340,559 | 4,477 |
* | LHC Group Inc. | 188,643 | 3,694 |
Enzon Pharmaceuticals Inc. | 283,259 | 566 | |
* | LipoScience Inc. | 44,940 | 314 |
3,481,535 | |||
Industrials (19.7%) | |||
* | B/E Aerospace Inc. | 1,602,699 | 101,098 |
Fortune Brands Home & Security Inc. | 2,525,145 | 97,824 | |
Towers Watson & Co. Class A | 995,838 | 81,599 | |
Valspar Corp. | 1,210,459 | 78,280 | |
Wabtec Corp. | 1,398,589 | 74,727 | |
* | Flextronics International Ltd. | 9,575,101 | 74,111 |
Waste Connections Inc. | 1,794,393 | 73,821 | |
Packaging Corp. of America | 1,500,717 | 73,475 | |
Lincoln Electric Holdings Inc. | 1,269,795 | 72,721 | |
* | United Rentals Inc. | 1,442,257 | 71,983 |
* | Colfax Corp. | 1,315,568 | 68,554 |
IDEX Corp. | 1,258,537 | 67,722 | |
Total System Services Inc. | 2,576,066 | 63,062 | |
Triumph Group Inc. | 789,662 | 62,502 | |
* | Kirby Corp. | 781,810 | 62,185 |
Bemis Co. Inc. | 1,574,855 | 61,640 | |
Carlisle Cos. Inc. | 973,261 | 60,644 | |
Graco Inc. | 936,533 | 59,198 | |
Jack Henry & Associates Inc. | 1,252,165 | 59,015 | |
Nordson Corp. | 834,475 | 57,837 | |
MSC Industrial Direct Co. Inc. Class A | 741,389 | 57,428 | |
* | Genesee & Wyoming Inc. Class A | 669,595 | 56,808 |
PerkinElmer Inc. | 1,711,224 | 55,615 | |
Rock Tenn Co. Class A | 550,639 | 54,998 | |
URS Corp. | 1,160,310 | 54,790 | |
Global Payments Inc. | 1,165,466 | 53,984 | |
Sonoco Products Co. | 1,549,493 | 53,566 | |
* | CoStar Group Inc. | 414,523 | 53,502 |
Aptargroup Inc. | 968,657 | 53,480 | |
Valmont Industries Inc. | 368,648 | 52,750 | |
* | Hexcel Corp. | 1,532,720 | 52,189 |
Babcock & Wilcox Co. | 1,715,431 | 51,514 | |
* | Oshkosh Corp. | 1,345,198 | 51,077 |
Acuity Brands Inc. | 654,976 | 49,464 | |
Broadridge Financial Solutions Inc. | 1,855,762 | 49,326 |
14
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Ryder System Inc. | 793,870 | 48,259 | |
* | AECOM Technology Corp. | 1,494,498 | 47,510 |
Kennametal Inc. | 1,205,353 | 46,804 | |
* | NeuStar Inc. Class A | 956,945 | 46,584 |
Trinity Industries Inc. | 1,211,051 | 46,553 | |
* | WESCO International Inc. | 675,290 | 45,893 |
* | WEX Inc. | 593,951 | 45,556 |
Lennox International Inc. | 694,346 | 44,813 | |
AO Smith Corp. | 1,215,332 | 44,092 | |
Genpact Ltd. | 2,276,334 | 43,797 | |
Huntington Ingalls Industries Inc. | 765,039 | 43,209 | |
FEI Co. | 590,473 | 43,099 | |
Eagle Materials Inc. | 643,392 | 42,638 | |
* | Terex Corp. | 1,617,294 | 42,535 |
Regal-Beloit Corp. | 654,293 | 42,424 | |
Crane Co. | 707,484 | 42,392 | |
* | Clean Harbors Inc. | 834,065 | 42,145 |
World Fuel Services Corp. | 1,052,514 | 42,080 | |
* | Teledyne Technologies Inc. | 542,824 | 41,987 |
* | Old Dominion Freight Line Inc. | 989,363 | 41,177 |
* | FleetCor Technologies Inc. | 497,654 | 40,459 |
Alliant Techsystems Inc. | 491,117 | 40,434 | |
ITT Corp. | 1,371,342 | 40,331 | |
Macquarie Infrastructure Co. LLC | 753,707 | 40,286 | |
Lender Processing Services Inc. | 1,239,736 | 40,105 | |
EnerSys Inc. | 815,347 | 39,985 | |
Toro Co. | 879,381 | 39,933 | |
CLARCOR Inc. | 760,708 | 39,717 | |
EMCOR Group Inc. | 976,154 | 39,681 | |
Exelis Inc. | 2,876,617 | 39,669 | |
* | Spirit Aerosystems Holdings Inc. Class A | 1,832,187 | 39,355 |
^ | RR Donnelley & Sons Co. | 2,777,275 | 38,910 |
Woodward Inc. | 947,528 | 37,901 | |
MAXIMUS Inc. | 496,798 | 37,002 | |
Landstar System Inc. | 712,956 | 36,717 | |
Manitowoc Co. Inc. | 2,044,171 | 36,611 | |
* | Vantiv Inc. Class A | 1,282,750 | 35,404 |
* | Owens-Illinois Inc. | 1,259,351 | 34,997 |
Covanta Holding Corp. | 1,702,661 | 34,087 | |
GATX Corp. | 716,642 | 33,990 | |
* | Zebra Technologies Corp. | 779,807 | 33,875 |
Con-way Inc. | 862,746 | 33,613 | |
Belden Inc. | 671,719 | 33,539 | |
* | Foster Wheeler AG | 1,533,482 | 33,292 |
Actuant Corp. Class A | 1,008,615 | 33,254 | |
Generac Holdings Inc. | 890,311 | 32,950 | |
Watsco Inc. | 390,147 | 32,757 | |
* | Moog Inc. Class A | 635,590 | 32,752 |
* | USG Corp. | 1,412,310 | 32,554 |
Corporate Executive Board Co. | 514,769 | 32,544 | |
* | CoreLogic Inc. | 1,389,293 | 32,190 |
Silgan Holdings Inc. | 683,385 | 32,092 | |
* | Louisiana-Pacific Corp. | 2,134,073 | 31,563 |
Air Lease Corp. Class A | 1,142,295 | 31,516 | |
* | Esterline Technologies Corp. | 431,182 | 31,170 |
^ | IPG Photonics Corp. | 512,276 | 31,111 |
* | MasTec Inc. | 941,277 | 30,968 |
* | Anixter International Inc. | 397,327 | 30,121 |
* | DigitalGlobe Inc. | 969,670 | 30,069 |
* | Advisory Board Co. | 542,395 | 29,642 |
Harsco Corp. | 1,235,430 | 28,650 | |
Cognex Corp. | 630,658 | 28,518 | |
Gardner Denver Inc. | 375,903 | 28,260 | |
Applied Industrial Technologies Inc. | 579,497 | 28,007 |
15
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Vishay Intertechnology Inc. | 2,008,517 | 27,898 |
Deluxe Corp. | 777,127 | 26,927 | |
^,* | Coinstar Inc. | 429,793 | 25,216 |
Littelfuse Inc. | 337,804 | 25,204 | |
Convergys Corp. | 1,445,167 | 25,189 | |
UTi Worldwide Inc. | 1,517,348 | 24,991 | |
* | Graphic Packaging Holding Co. | 3,185,975 | 24,659 |
* | Itron Inc. | 574,274 | 24,366 |
Curtiss-Wright Corp. | 643,931 | 23,864 | |
* | Tetra Tech Inc. | 992,882 | 23,343 |
* | Euronet Worldwide Inc. | 723,377 | 23,047 |
* | MWI Veterinary Supply Inc. | 185,884 | 22,908 |
TAL International Group Inc. | 517,252 | 22,537 | |
Mine Safety Appliances Co. | 482,461 | 22,459 | |
^,* | VistaPrint NV | 450,135 | 22,223 |
General Cable Corp. | 722,469 | 22,216 | |
* | Navistar International Corp. | 795,801 | 22,091 |
Brady Corp. Class A | 700,734 | 21,534 | |
^,* | Texas Industries Inc. | 325,932 | 21,231 |
* | Mobile Mini Inc. | 635,505 | 21,067 |
* | Swift Transportation Co. | 1,270,164 | 21,009 |
Barnes Group Inc. | 698,250 | 20,941 | |
Mueller Industries Inc. | 408,837 | 20,618 | |
Greif Inc. Class A | 389,589 | 20,520 | |
* | Trimas Corp. | 545,912 | 20,352 |
* | Veeco Instruments Inc. | 568,626 | 20,141 |
UniFirst Corp. | 219,537 | 20,033 | |
United Stationers Inc. | 590,449 | 19,810 | |
Heartland Payment Systems Inc. | 527,941 | 19,666 | |
* | Hub Group Inc. Class A | 538,484 | 19,612 |
Franklin Electric Co. Inc. | 579,806 | 19,510 | |
Coherent Inc. | 353,486 | 19,466 | |
* | Armstrong World Industries Inc. | 407,133 | 19,457 |
* | FTI Consulting Inc. | 585,645 | 19,262 |
* | Berry Plastics Group Inc. | 869,658 | 19,193 |
Watts Water Technologies Inc. Class A | 418,034 | 18,954 | |
* | Cardtronics Inc. | 686,587 | 18,950 |
Brink's Co. | 733,074 | 18,701 | |
* | OSI Systems Inc. | 289,203 | 18,630 |
Simpson Manufacturing Co. Inc. | 630,951 | 18,563 | |
* | On Assignment Inc. | 694,059 | 18,545 |
* | RBC Bearings Inc. | 351,496 | 18,260 |
* | PHH Corp. | 872,086 | 17,773 |
Forward Air Corp. | 462,609 | 17,709 | |
* | Proto Labs Inc. | 269,949 | 17,539 |
ABM Industries Inc. | 711,195 | 17,431 | |
* | Atlas Air Worldwide Holdings Inc. | 395,184 | 17,293 |
* | Sanmina Corp. | 1,201,124 | 17,236 |
HEICO Corp. | 337,201 | 16,985 | |
* | Universal Display Corp. | 599,057 | 16,840 |
* | Benchmark Electronics Inc. | 830,346 | 16,690 |
Mueller Water Products Inc. Class A | 2,411,307 | 16,662 | |
Matson Inc. | 651,822 | 16,296 | |
* | EnPro Industries Inc. | 320,098 | 16,248 |
Werner Enterprises Inc. | 671,424 | 16,228 | |
Acacia Research Corp. | 713,741 | 15,952 | |
* | Orbital Sciences Corp. | 916,179 | 15,914 |
Aircastle Ltd. | 993,305 | 15,883 | |
Granite Construction Inc. | 533,549 | 15,878 | |
Otter Tail Corp. | 553,916 | 15,731 | |
* | Huron Consulting Group Inc. | 337,850 | 15,622 |
* | Plexus Corp. | 520,826 | 15,567 |
Knight Transportation Inc. | 915,496 | 15,399 | |
Raven Industries Inc. | 499,821 | 14,985 |
16
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Albany International Corp. | 433,117 | 14,284 | |
Kaman Corp. | 412,940 | 14,271 | |
AZZ Inc. | 369,511 | 14,248 | |
^ | Sturm Ruger & Co. Inc. | 295,082 | 14,176 |
* | ExlService Holdings Inc. | 473,418 | 13,994 |
Lindsay Corp. | 186,445 | 13,980 | |
* | Korn/Ferry International | 743,499 | 13,933 |
* | II-VI Inc. | 855,104 | 13,904 |
Cubic Corp. | 285,794 | 13,747 | |
MTS Systems Corp. | 241,437 | 13,665 | |
CIRCOR International Inc. | 268,145 | 13,638 | |
Tennant Co. | 280,989 | 13,563 | |
Kaydon Corp. | 491,724 | 13,547 | |
G&K Services Inc. Class A | 283,733 | 13,506 | |
* | Aegion Corp. Class A | 599,314 | 13,491 |
^,* | SunPower Corp. Class A | 648,665 | 13,427 |
Textainer Group Holdings Ltd. | 342,147 | 13,152 | |
^,* | GrafTech International Ltd. | 1,750,894 | 12,747 |
HEICO Corp. Class A | 345,006 | 12,734 | |
AAR Corp. | 576,452 | 12,670 | |
McGrath RentCorp | 366,697 | 12,526 | |
ESCO Technologies Inc. | 383,545 | 12,419 | |
* | Rogers Corp. | 260,718 | 12,337 |
* | TrueBlue Inc. | 584,333 | 12,300 |
* | Wesco Aircraft Holdings Inc. | 644,693 | 11,972 |
* | Greatbatch Inc. | 364,998 | 11,968 |
* | Trex Co. Inc. | 249,356 | 11,842 |
* | Imperva Inc. | 262,227 | 11,811 |
Universal Forest Products Inc. | 288,277 | 11,508 | |
* | Team Inc. | 299,229 | 11,326 |
Exponent Inc. | 191,243 | 11,304 | |
Primoris Services Corp. | 551,212 | 10,870 | |
Booz Allen Hamilton Holding Corp. | 624,575 | 10,855 | |
* | Rofin-Sinar Technologies Inc. | 431,843 | 10,770 |
Altra Holdings Inc. | 391,679 | 10,724 | |
* | Wabash National Corp. | 1,045,833 | 10,647 |
Insperity Inc. | 351,030 | 10,636 | |
* | Measurement Specialties Inc. | 227,281 | 10,575 |
* | Tutor Perini Corp. | 580,930 | 10,509 |
* | Meritor Inc. | 1,488,285 | 10,492 |
Standex International Corp. | 193,910 | 10,229 | |
* | Power-One Inc. | 1,591,231 | 10,057 |
Sun Hydraulics Corp. | 320,534 | 10,026 | |
* | Rexnord Corp. | 594,611 | 10,019 |
Apogee Enterprises Inc. | 417,176 | 10,012 | |
Heartland Express Inc. | 712,092 | 9,877 | |
^,* | Smith & Wesson Holding Corp. | 979,982 | 9,780 |
Encore Wire Corp. | 284,045 | 9,686 | |
* | ExamWorks Group Inc. | 455,081 | 9,661 |
H&E Equipment Services Inc. | 456,452 | 9,617 | |
* | Sykes Enterprises Inc. | 608,620 | 9,592 |
Astec Industries Inc. | 279,169 | 9,573 | |
Quanex Building Products Corp. | 568,387 | 9,572 | |
ManTech International Corp. Class A | 365,369 | 9,543 | |
* | DXP Enterprises Inc. | 140,970 | 9,389 |
Badger Meter Inc. | 208,324 | 9,281 | |
AAON Inc. | 280,516 | 9,279 | |
* | Navigant Consulting Inc. | 770,344 | 9,244 |
Quad/Graphics Inc. | 383,282 | 9,237 | |
* | Thermon Group Holdings Inc. | 451,839 | 9,218 |
* | Greenbrier Cos. Inc. | 374,098 | 9,117 |
AVX Corp. | 772,299 | 9,075 | |
* | Roadrunner Transportation Systems Inc. | 324,886 | 9,045 |
* | LifeLock Inc. | 771,087 | 9,029 |
17
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | FARO Technologies Inc. | 261,191 | 8,833 |
John Bean Technologies Corp. | 419,657 | 8,817 | |
Arkansas Best Corp. | 373,032 | 8,561 | |
Materion Corp. | 313,590 | 8,495 | |
* | Checkpoint Systems Inc. | 596,082 | 8,458 |
Schnitzer Steel Industries Inc. | 357,426 | 8,357 | |
* | Monster Worldwide Inc. | 1,690,947 | 8,303 |
* | Nortek Inc. | 128,861 | 8,303 |
Comfort Systems USA Inc. | 540,220 | 8,060 | |
* | EVERTEC Inc. | 363,188 | 7,979 |
* | Newport Corp. | 562,697 | 7,838 |
Griffon Corp. | 686,561 | 7,724 | |
* | TeleTech Holdings Inc. | 318,734 | 7,468 |
Park Electrochemical Corp. | 302,317 | 7,259 | |
Kelly Services Inc. Class A | 412,070 | 7,199 | |
Gorman-Rupp Co. | 224,432 | 7,146 | |
Landauer Inc. | 145,428 | 7,026 | |
* | TTM Technologies Inc. | 821,020 | 6,897 |
Resources Connection Inc. | 591,931 | 6,866 | |
^,* | Bazaarvoice Inc. | 722,599 | 6,807 |
* | InnerWorkings Inc. | 620,501 | 6,732 |
American Science & Engineering Inc. | 118,931 | 6,660 | |
* | RPX Corp. | 392,304 | 6,591 |
* | CAI International Inc. | 270,636 | 6,379 |
Black Box Corp. | 246,385 | 6,238 | |
Kforce Inc. | 421,871 | 6,159 | |
^,* | Nuverra Environmental Solutions Inc. | 2,119,592 | 6,147 |
* | Dice Holdings Inc. | 640,086 | 5,895 |
* | Consolidated Graphics Inc. | 125,035 | 5,878 |
* | Layne Christensen Co. | 287,539 | 5,610 |
* | Aerovironment Inc. | 273,821 | 5,526 |
^,* | Higher One Holdings Inc. | 460,963 | 5,366 |
* | Air Transport Services Group Inc. | 790,285 | 5,224 |
^,* | Taminco Corp. | 249,544 | 5,088 |
* | Boise Cascade Co. | 198,450 | 5,043 |
American Railcar Industries Inc. | 147,654 | 4,948 | |
Greif Inc. Class B | 84,896 | 4,759 | |
* | Mistras Group Inc. | 239,019 | 4,202 |
Electro Scientific Industries Inc. | 383,945 | 4,131 | |
Hyster-Yale Materials Handling Inc. | 62,348 | 3,915 | |
* | M/A-COM Technology Solutions Holdings Inc. | 141,701 | 2,069 |
* | Kemet Corp. | 503,358 | 2,069 |
* | Aeroflex Holding Corp. | 259,493 | 2,047 |
* | Multi-Fineline Electronix Inc. | 125,968 | 1,866 |
^,* | Swisher Hygiene Inc. | 867,826 | 746 |
* | Viasystems Group Inc. | 63,333 | 730 |
6,897,281 | |||
Oil & Gas (5.1%) | |||
* | Oil States International Inc. | 841,159 | 77,925 |
* | Superior Energy Services Inc. | 2,442,114 | 63,348 |
* | WPX Energy Inc. | 3,064,659 | 58,045 |
* | Gulfport Energy Corp. | 1,182,943 | 55,681 |
* | Dril-Quip Inc. | 558,540 | 50,431 |
* | Oasis Petroleum Inc. | 1,216,188 | 47,273 |
* | Atwood Oceanics Inc. | 905,496 | 47,131 |
* | Cheniere Energy Inc. | 1,662,414 | 46,149 |
* | First Solar Inc. | 1,030,626 | 46,100 |
Lufkin Industries Inc. | 493,383 | 43,650 | |
* | Chart Industries Inc. | 463,598 | 43,620 |
Tidewater Inc. | 756,813 | 43,116 | |
Patterson-UTI Energy Inc. | 2,129,686 | 41,220 | |
* | MRC Global Inc. | 1,477,169 | 40,799 |
* | Rosetta Resources Inc. | 934,116 | 39,719 |
Targa Resources Corp. | 583,309 | 37,524 |
18
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Kodiak Oil & Gas Corp. | 4,064,365 | 36,132 |
Bristow Group Inc. | 551,511 | 36,025 | |
* | Helix Energy Solutions Group Inc. | 1,540,976 | 35,504 |
SemGroup Corp. Class A | 643,505 | 34,659 | |
^,* | SandRidge Energy Inc. | 6,812,664 | 32,428 |
* | Unit Corp. | 751,677 | 32,006 |
Berry Petroleum Co. Class A | 725,990 | 30,724 | |
* | McDermott International Inc. | 3,621,226 | 29,622 |
* | Hornbeck Offshore Services Inc. | 492,177 | 26,331 |
Energy XXI Bermuda Ltd. | 1,152,018 | 25,552 | |
* | Exterran Holdings Inc. | 903,851 | 25,416 |
* | Newfield Exploration Co. | 1,036,329 | 24,758 |
SEACOR Holdings Inc. | 291,964 | 24,248 | |
* | PDC Energy Inc. | 463,638 | 23,868 |
Western Refining Inc. | 823,578 | 23,118 | |
^,* | Ultra Petroleum Corp. | 1,110,761 | 22,015 |
* | Forum Energy Technologies Inc. | 703,435 | 21,405 |
^ | CARBO Ceramics Inc. | 300,605 | 20,270 |
Gulfmark Offshore Inc. | 366,921 | 16,544 | |
^,* | Halcon Resources Corp. | 2,834,216 | 16,070 |
* | Stone Energy Corp. | 725,076 | 15,973 |
Delek US Holdings Inc. | 548,765 | 15,793 | |
* | Carrizo Oil & Gas Inc. | 555,135 | 15,727 |
PBF Energy Inc. Class A | 604,274 | 15,651 | |
* | Bonanza Creek Energy Inc. | 430,510 | 15,266 |
* | EPL Oil & Gas Inc. | 500,668 | 14,700 |
* | Newpark Resources Inc. | 1,315,899 | 14,462 |
^,* | Bill Barrett Corp. | 710,253 | 14,361 |
^ | EXCO Resources Inc. | 1,827,420 | 13,961 |
^ | RPC Inc. | 1,010,555 | 13,956 |
* | Hercules Offshore Inc. | 1,948,593 | 13,718 |
* | Geospace Technologies Corp. | 197,115 | 13,617 |
* | Approach Resources Inc. | 533,828 | 13,116 |
* | C&J Energy Services Inc. | 661,378 | 12,811 |
CVR Energy Inc. | 265,510 | 12,585 | |
* | Flotek Industries Inc. | 701,091 | 12,578 |
Crosstex Energy Inc. | 617,973 | 12,211 | |
* | Laredo Petroleum Holdings Inc. | 593,283 | 12,198 |
* | Rex Energy Corp. | 690,955 | 12,147 |
* | Key Energy Services Inc. | 1,977,750 | 11,768 |
* | Northern Oil and Gas Inc. | 876,800 | 11,696 |
* | TETRA Technologies Inc. | 1,135,646 | 11,652 |
* | ION Geophysical Corp. | 1,796,749 | 10,816 |
* | Diamondback Energy Inc. | 322,373 | 10,741 |
Comstock Resources Inc. | 663,871 | 10,443 | |
^,* | Sanchez Energy Corp. | 423,068 | 9,714 |
* | Parker Drilling Co. | 1,728,355 | 8,607 |
^,* | Magnum Hunter Resources Corp. | 2,337,005 | 8,530 |
* | Resolute Energy Corp. | 1,056,744 | 8,433 |
* | Matador Resources Co. | 641,577 | 7,686 |
* | Swift Energy Co. | 628,807 | 7,539 |
* | Forest Oil Corp. | 1,822,020 | 7,452 |
* | Basic Energy Services Inc. | 612,641 | 7,407 |
W&T Offshore Inc. | 513,974 | 7,345 | |
* | GT Advanced Technologies Inc. | 1,732,493 | 7,190 |
Contango Oil & Gas Co. | 208,792 | 7,047 | |
* | Tesco Corp. | 479,523 | 6,354 |
* | Pioneer Energy Services Corp. | 908,710 | 6,016 |
* | Vantage Drilling Co. | 2,768,068 | 5,647 |
^,* | Solazyme Inc. | 472,104 | 5,533 |
* | Goodrich Petroleum Corp. | 392,988 | 5,030 |
Alon USA Energy Inc. | 334,979 | 4,844 | |
* | Clayton Williams Energy Inc. | 92,894 | 4,041 |
* | Penn Virginia Corp. | 845,695 | 3,975 |
19
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Willbros Group Inc. | 605,571 | 3,718 |
* | PetroQuest Energy Inc. | 836,823 | 3,314 |
^,* | Quicksilver Resources Inc. | 1,868,792 | 3,139 |
* | Midstates Petroleum Co. Inc. | 522,105 | 2,825 |
^,* | BPZ Resources Inc. | 1,434,377 | 2,567 |
* | Harvest Natural Resources Inc. | 330,986 | 1,026 |
1,795,352 | |||
Other (0.0%) | |||
* | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 297,875 | 283 |
* | Federal-Mogul Corp. Rights 07/09/13 | 305,542 | 68 |
351 | |||
Technology (10.6%) | |||
* | NCR Corp. | 2,515,923 | 83,000 |
^,* | 3D Systems Corp. | 1,449,162 | 63,618 |
IAC/InterActiveCorp | 1,264,468 | 60,138 | |
* | Cadence Design Systems Inc. | 4,114,824 | 59,583 |
Solera Holdings Inc. | 1,053,242 | 58,613 | |
* | Concur Technologies Inc. | 682,885 | 55,573 |
* | JDS Uniphase Corp. | 3,616,692 | 52,008 |
* | CommVault Systems Inc. | 675,104 | 51,234 |
* | Teradyne Inc. | 2,914,600 | 51,210 |
* | Splunk Inc. | 1,023,711 | 47,459 |
* | Ultimate Software Group Inc. | 401,620 | 47,106 |
* | Atmel Corp. | 6,233,521 | 45,816 |
^ | Pitney Bowes Inc. | 3,084,248 | 45,277 |
* | athenahealth Inc. | 533,623 | 45,209 |
* | PTC Inc. | 1,829,045 | 44,867 |
* | ViaSat Inc. | 619,668 | 44,282 |
* | Ingram Micro Inc. | 2,324,728 | 44,147 |
* | NetSuite Inc. | 451,855 | 41,453 |
* | Aspen Technology Inc. | 1,434,706 | 41,305 |
AOL Inc. | 1,126,452 | 41,093 | |
* | Brocade Communications Systems Inc. | 6,794,446 | 39,136 |
* | SolarWinds Inc. | 978,687 | 37,983 |
^,* | Advanced Micro Devices Inc. | 9,298,500 | 37,938 |
* | Riverbed Technology Inc. | 2,377,143 | 36,988 |
* | Semtech Corp. | 1,033,543 | 36,205 |
* | Rovi Corp. | 1,583,702 | 36,172 |
* | Fortinet Inc. | 1,987,297 | 34,778 |
Mentor Graphics Corp. | 1,728,251 | 33,787 | |
* | Allscripts Healthcare Solutions Inc. | 2,587,050 | 33,476 |
* | Clearwire Corp. Class A | 6,651,370 | 33,124 |
Diebold Inc. | 971,839 | 32,741 | |
* | Microsemi Corp. | 1,419,310 | 32,289 |
Compuware Corp. | 3,104,887 | 32,136 | |
* | QLIK Technologies Inc. | 1,132,715 | 32,022 |
* | Guidewire Software Inc. | 747,306 | 31,424 |
* | Tyler Technologies Inc. | 458,346 | 31,420 |
DST Systems Inc. | 470,711 | 30,752 | |
* | SS&C Technologies Holdings Inc. | 930,146 | 30,602 |
* | Medidata Solutions Inc. | 385,892 | 29,887 |
* | Verint Systems Inc. | 839,906 | 29,791 |
Lexmark International Inc. Class A | 962,718 | 29,430 | |
Plantronics Inc. | 661,338 | 29,046 | |
* | Informatica Corp. | 825,651 | 28,881 |
* | Ciena Corp. | 1,480,860 | 28,758 |
j2 Global Inc. | 666,667 | 28,340 | |
* | ACI Worldwide Inc. | 608,882 | 28,301 |
InterDigital Inc. | 628,740 | 28,073 | |
* | VeriFone Systems Inc. | 1,658,147 | 27,873 |
* | ON Semiconductor Corp. | 3,443,343 | 27,822 |
* | Polycom Inc. | 2,635,831 | 27,782 |
20
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Tech Data Corp. | 576,988 | 27,170 |
* | Fairchild Semiconductor International Inc. Class A | 1,943,679 | 26,823 |
* | Cavium Inc. | 745,217 | 26,358 |
* | SunEdison Inc. | 3,187,678 | 26,043 |
* | MICROS Systems Inc. | 602,465 | 25,996 |
* | Aruba Networks Inc. | 1,657,301 | 25,456 |
* | Cornerstone OnDemand Inc. | 584,842 | 25,318 |
Fair Isaac Corp. | 548,160 | 25,122 | |
* | Sourcefire Inc. | 452,200 | 25,120 |
* | EchoStar Corp. Class A | 626,917 | 24,519 |
* | Silicon Laboratories Inc. | 583,767 | 24,174 |
* | ARRIS Group Inc. | 1,684,359 | 24,171 |
* | Hittite Microwave Corp. | 409,246 | 23,736 |
* | Dealertrack Technologies Inc. | 664,614 | 23,547 |
* | ExactTarget Inc. | 691,909 | 23,331 |
* | Finisar Corp. | 1,356,463 | 22,992 |
* | Manhattan Associates Inc. | 297,456 | 22,952 |
Blackbaud Inc. | 699,350 | 22,778 | |
* | CACI International Inc. Class A | 352,628 | 22,388 |
* | Sapient Corp. | 1,711,604 | 22,354 |
* | International Rectifier Corp. | 1,061,351 | 22,225 |
* | RF Micro Devices Inc. | 4,083,503 | 21,847 |
* | Advent Software Inc. | 620,917 | 21,769 |
Cypress Semiconductor Corp. | 2,023,970 | 21,717 | |
MKS Instruments Inc. | 810,532 | 21,512 | |
ADTRAN Inc. | 860,660 | 21,181 | |
* | Electronics for Imaging Inc. | 709,642 | 20,076 |
* | Entegris Inc. | 2,131,012 | 20,010 |
* | PMC - Sierra Inc. | 3,118,816 | 19,805 |
* | Synaptics Inc. | 496,924 | 19,161 |
* | Progress Software Corp. | 801,369 | 18,440 |
Cogent Communications Group Inc. | 650,423 | 18,309 | |
^,* | Fusion-io Inc. | 1,278,115 | 18,200 |
* | Infinera Corp. | 1,687,270 | 18,003 |
* | NETGEAR Inc. | 588,927 | 17,986 |
* | Web.com Group Inc. | 683,571 | 17,499 |
* | TriQuint Semiconductor Inc. | 2,497,915 | 17,311 |
Power Integrations Inc. | 420,510 | 17,056 | |
* | Ixia | 922,790 | 16,979 |
* | SYNNEX Corp. | 399,822 | 16,905 |
Tessera Technologies Inc. | 807,821 | 16,803 | |
* | Integrated Device Technology Inc. | 2,028,115 | 16,103 |
Syntel Inc. | 256,031 | 16,097 | |
* | Cirrus Logic Inc. | 919,596 | 15,964 |
* | MedAssets Inc. | 883,923 | 15,681 |
* | Infoblox Inc. | 535,046 | 15,655 |
* | OmniVision Technologies Inc. | 824,360 | 15,374 |
Intersil Corp. Class A | 1,947,576 | 15,230 | |
* | Unisys Corp. | 674,030 | 14,876 |
* | Ultratech Inc. | 402,774 | 14,790 |
NIC Inc. | 891,475 | 14,736 | |
* | Bottomline Technologies de Inc. | 577,742 | 14,611 |
Monotype Imaging Holdings Inc. | 554,619 | 14,093 | |
* | Synchronoss Technologies Inc. | 453,958 | 14,014 |
* | Rambus Inc. | 1,619,754 | 13,914 |
* | Diodes Inc. | 527,286 | 13,694 |
* | ScanSource Inc. | 425,801 | 13,626 |
* | QLogic Corp. | 1,359,981 | 13,001 |
* | Sonus Networks Inc. | 4,310,697 | 12,975 |
* | RealPage Inc. | 701,855 | 12,872 |
Quality Systems Inc. | 682,180 | 12,764 | |
* | Kulicke & Soffa Industries Inc. | 1,148,766 | 12,705 |
^,* | VirnetX Holding Corp. | 627,771 | 12,549 |
* | Interactive Intelligence Group Inc. | 243,108 | 12,544 |
21
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Netscout Systems Inc. | 537,227 | 12,539 |
Monolithic Power Systems Inc. | 505,541 | 12,189 | |
* | MicroStrategy Inc. Class A | 138,561 | 12,049 |
* | Insight Enterprises Inc. | 664,677 | 11,791 |
* | Demandware Inc. | 276,365 | 11,721 |
Loral Space & Communications Inc. | 194,898 | 11,690 | |
* | Cabot Microelectronics Corp. | 337,584 | 11,144 |
* | Dycom Industries Inc. | 479,772 | 11,102 |
* | Harmonic Inc. | 1,730,930 | 10,991 |
* | InvenSense Inc. | 713,399 | 10,972 |
* | ATMI Inc. | 463,282 | 10,957 |
* | CSG Systems International Inc. | 491,608 | 10,668 |
* | BroadSoft Inc. | 384,915 | 10,624 |
* | Freescale Semiconductor Ltd. | 776,437 | 10,521 |
* | Blucora Inc. | 566,239 | 10,498 |
* | Palo Alto Networks Inc. | 243,994 | 10,287 |
United Online Inc. | 1,336,094 | 10,128 | |
* | Comverse Inc. | 338,546 | 10,075 |
* | Advanced Energy Industries Inc. | 563,774 | 9,815 |
Tellabs Inc. | 4,887,945 | 9,678 | |
* | Digital River Inc. | 507,323 | 9,522 |
* | Spansion Inc. Class A | 759,923 | 9,514 |
Brooks Automation Inc. | 964,693 | 9,386 | |
* | Applied Micro Circuits Corp. | 1,033,545 | 9,095 |
* | Intermec Inc. | 923,739 | 9,080 |
* | Lattice Semiconductor Corp. | 1,766,152 | 8,954 |
* | FleetMatics Group plc | 265,729 | 8,830 |
* | Ellie Mae Inc. | 381,818 | 8,812 |
Pegasystems Inc. | 260,712 | 8,635 | |
* | Emulex Corp. | 1,323,513 | 8,629 |
* | LogMeIn Inc. | 352,755 | 8,628 |
* | Tangoe Inc. | 541,411 | 8,354 |
* | Jive Software Inc. | 458,325 | 8,328 |
* | Responsys Inc. | 566,467 | 8,106 |
^,* | Ruckus Wireless Inc. | 623,829 | 7,991 |
Computer Programs & Systems Inc. | 152,273 | 7,483 | |
West Corp. | 319,298 | 7,069 | |
* | Silicon Graphics International Corp. | 516,609 | 6,912 |
Forrester Research Inc. | 188,151 | 6,903 | |
* | Silicon Image Inc. | 1,178,899 | 6,897 |
* | LivePerson Inc. | 757,081 | 6,780 |
* | EPAM Systems Inc. | 242,171 | 6,582 |
Comtech Telecommunications Corp. | 237,993 | 6,400 | |
* | iGATE Corp. | 385,343 | 6,327 |
EPIQ Systems Inc. | 468,053 | 6,305 | |
* | ICG Group Inc. | 551,445 | 6,286 |
* | Ceva Inc. | 321,167 | 6,218 |
* | IntraLinks Holdings Inc. | 820,798 | 5,959 |
* | Pendrell Corp. | 2,264,330 | 5,933 |
Micrel Inc. | 581,544 | 5,746 | |
* | Shutterstock Inc. | 102,445 | 5,714 |
* | Calix Inc. | 560,924 | 5,665 |
* | Entropic Communications Inc. | 1,302,793 | 5,563 |
* | FormFactor Inc. | 821,348 | 5,544 |
* | Volterra Semiconductor Corp. | 382,084 | 5,395 |
* | Super Micro Computer Inc. | 483,945 | 5,149 |
* | Active Network Inc. | 656,396 | 4,969 |
Ebix Inc. | 482,568 | 4,469 | |
* | Vocera Communications Inc. | 299,366 | 4,401 |
* | Mercury Systems Inc. | 472,393 | 4,355 |
* | Quantum Corp. | 3,159,264 | 4,328 |
^,* | Millennial Media Inc. | 491,502 | 4,281 |
^,* | Amkor Technology Inc. | 945,189 | 3,979 |
^ | Ubiquiti Networks Inc. | 201,576 | 3,536 |
22
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Inphi Corp. | 268,845 | 2,957 |
^,* | Greenway Medical Technologies | 202,823 | 2,503 |
* | STEC Inc. | 285,390 | 1,918 |
^,* | Silver Spring Networks Inc. | 71,311 | 1,779 |
* | Limelight Networks Inc. | 745,023 | 1,676 |
Systemax Inc. | 169,929 | 1,599 | |
* | KIT Digital Inc. | 241 | — |
3,729,841 | |||
Telecommunications (0.7%) | |||
* | tw telecom inc Class A | 2,300,737 | 64,743 |
* | Level 3 Communications Inc. | 2,259,035 | 47,620 |
Telephone & Data Systems Inc. | 1,390,915 | 34,286 | |
^,* | NII Holdings Inc. | 2,495,994 | 16,648 |
Consolidated Communications Holdings Inc. | 583,080 | 10,151 | |
EarthLink Inc. | 1,574,102 | 9,775 | |
* | Cincinnati Bell Inc. | 3,175,769 | 9,718 |
* | Vonage Holdings Corp. | 2,590,633 | 7,332 |
Atlantic Tele-Network Inc. | 143,722 | 7,137 | |
United States Cellular Corp. | 193,464 | 7,098 | |
* | Iridium Communications Inc. | 877,315 | 6,808 |
* | Leap Wireless International Inc. | 845,106 | 5,688 |
227,004 | |||
Utilities (3.8%) | |||
NV Energy Inc. | 3,602,634 | 84,518 | |
AGL Resources Inc. | 1,806,361 | 77,421 | |
ITC Holdings Corp. | 800,974 | 73,129 | |
UGI Corp. | 1,742,359 | 68,144 | |
Aqua America Inc. | 2,154,029 | 67,400 | |
Questar Corp. | 2,679,200 | 63,899 | |
Westar Energy Inc. | 1,942,080 | 62,069 | |
Atmos Energy Corp. | 1,384,248 | 56,837 | |
Great Plains Energy Inc. | 2,353,169 | 53,040 | |
Cleco Corp. | 924,212 | 42,911 | |
Vectren Corp. | 1,259,584 | 42,612 | |
Piedmont Natural Gas Co. Inc. | 1,159,715 | 39,129 | |
Hawaiian Electric Industries Inc. | 1,503,472 | 38,053 | |
IDACORP Inc. | 769,191 | 36,737 | |
Portland General Electric Co. | 1,158,833 | 35,449 | |
WGL Holdings Inc. | 791,778 | 34,221 | |
Southwest Gas Corp. | 709,503 | 33,198 | |
Black Hills Corp. | 678,554 | 33,080 | |
^,* | Dynegy Inc. | 1,454,824 | 32,806 |
ALLETE Inc. | 609,933 | 30,405 | |
UIL Holdings Corp. | 774,541 | 29,626 | |
South Jersey Industries Inc. | 488,320 | 28,034 | |
PNM Resources Inc. | 1,217,035 | 27,006 | |
UNS Energy Corp. | 601,772 | 26,917 | |
New Jersey Resources Corp. | 638,326 | 26,510 | |
Avista Corp. | 915,587 | 24,739 | |
NorthWestern Corp. | 570,534 | 22,764 | |
El Paso Electric Co. | 614,902 | 21,712 | |
Laclede Group Inc. | 455,485 | 20,797 | |
MGE Energy Inc. | 354,261 | 19,399 | |
Northwest Natural Gas Co. | 412,384 | 17,518 | |
American States Water Co. | 294,507 | 15,806 | |
Empire District Electric Co. | 651,600 | 14,537 | |
California Water Service Group | 692,586 | 13,512 | |
Atlantic Power Corp. | 1,830,002 | 7,210 | |
Ormat Technologies Inc. | 277,454 | 6,526 | |
1,327,671 | |||
Total Common Stocks (Cost $27,545,305) | 34,823,656 |
23
Vanguard® Small-Cap Index Fund | |||||
Schedule of Investments | |||||
June 30, 2013 | |||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (2.2%)1 | |||||
Money Market Fund (2.2%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.127% | 754,867,359 | 754,867 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
4,5 | Fannie Mae Discount Notes | 0.095% | 9/4/13 | 8,300 | 8,298 |
4 | Fannie Mae Discount Notes | 0.100% | 11/13/13 | 2,000 | 1,999 |
4,5 | Freddie Mac Discount Notes | 0.100% | 9/4/13 | 1,000 | 1,000 |
4,5 | Freddie Mac Discount Notes | 0.110% | 11/19/13 | 3,000 | 2,998 |
14,295 | |||||
Total Temporary Cash Investments (Cost $769,164) | 769,162 | ||||
Total Investments (101.5%) (Cost $28,314,469) | 35,592,818 | ||||
Other Assets and Liabilities—Net (-1.5%)3 | (508,914) | ||||
Net Assets (100%) | 35,083,904 |
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $457,795,000.
* 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 1.5%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $484,034,000 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Securities with a value of $11,146,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
24
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Basic Materials (2.4%) | |||
NewMarket Corp. | 122,692 | 32,214 | |
Royal Gold Inc. | 703,772 | 29,615 | |
Carpenter Technology Corp. | 576,367 | 25,977 | |
*,^ | Polypore International Inc. | 536,746 | 21,631 |
KapStone Paper and Packaging Corp. | 464,772 | 18,674 | |
* | Coeur Mining Inc. | 1,167,722 | 15,531 |
Balchem Corp. | 341,458 | 15,280 | |
* | Stillwater Mining Co. | 1,291,031 | 13,866 |
Hecla Mining Co. | 3,942,298 | 11,748 | |
Intrepid Potash Inc. | 610,247 | 11,625 | |
* | Calgon Carbon Corp. | 622,424 | 10,382 |
* | RTI International Metals Inc. | 360,492 | 9,989 |
*,^ | Molycorp Inc. | 1,410,417 | 8,745 |
^ | US Silica Holdings Inc. | 396,297 | 8,235 |
Globe Specialty Metals Inc. | 738,739 | 8,030 | |
* | Allied Nevada Gold Corp. | 1,075,789 | 6,971 |
Haynes International Inc. | 141,898 | 6,793 | |
American Vanguard Corp. | 279,930 | 6,559 | |
* | Horsehead Holding Corp. | 507,475 | 6,501 |
Rentech Inc. | 2,469,189 | 5,185 | |
^ | Walter Energy Inc. | 362,283 | 3,768 |
FutureFuel Corp. | 250,946 | 3,556 | |
^ | Gold Resource Corp. | 370,081 | 3,223 |
*,^ | Paramount Gold and Silver Corp. | 1,440,824 | 1,714 |
285,812 | |||
Consumer Goods (9.0%) | |||
Polaris Industries Inc. | 751,561 | 71,398 | |
* | Toll Brothers Inc. | 1,752,097 | 57,171 |
* | Under Armour Inc. Class A | 919,414 | 54,898 |
Carter's Inc. | 647,723 | 47,977 | |
Harman International Industries Inc. | 781,986 | 42,384 | |
Nu Skin Enterprises Inc. Class A | 604,940 | 36,974 | |
Gentex Corp. | 1,569,807 | 36,184 | |
* | Middleby Corp. | 205,471 | 34,949 |
Brunswick Corp. | 1,041,001 | 33,260 | |
* | Fifth & Pacific Cos. Inc. | 1,380,465 | 30,840 |
Wolverine World Wide Inc. | 548,559 | 29,957 | |
* | Tempur Sealy International Inc. | 659,704 | 28,961 |
* | Hain Celestial Group Inc. | 434,955 | 28,259 |
Pool Corp. | 509,267 | 26,691 | |
* | Darling International Inc. | 1,360,263 | 25,382 |
* | Steven Madden Ltd. | 478,601 | 23,155 |
Ryland Group Inc. | 530,708 | 21,281 | |
B&G Foods Inc. | 608,314 | 20,713 | |
* | Deckers Outdoor Corp. | 376,623 | 19,023 |
* | Zynga Inc. Class A | 6,644,392 | 18,471 |
Lancaster Colony Corp. | 235,691 | 18,382 | |
* | Boston Beer Co. Inc. Class A | 101,997 | 17,405 |
* | Meritage Homes Corp. | 374,362 | 16,232 |
* | Crocs Inc. | 963,338 | 15,895 |
Snyders-Lance Inc. | 557,134 | 15,828 | |
Dorman Products Inc. | 335,798 | 15,322 | |
* | TiVo Inc. | 1,383,905 | 15,292 |
* | Select Comfort Corp. | 608,364 | 15,246 |
MDC Holdings Inc. | 449,878 | 14,626 | |
* | WhiteWave Foods Co. Class B | 917,985 | 13,953 |
J&J Snack Foods Corp. | 173,159 | 13,472 | |
* | Tumi Holdings Inc. | 546,667 | 13,120 |
* | Elizabeth Arden Inc. | 288,313 | 12,994 |
Interface Inc. Class A | 723,466 | 12,277 | |
Vector Group Ltd. | 724,109 | 11,745 |
25
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | iRobot Corp. | 292,679 | 11,640 |
* | WhiteWave Foods Co. Class A | 649,698 | 10,558 |
Oxford Industries Inc. | 160,215 | 9,997 | |
Drew Industries Inc. | 250,421 | 9,847 | |
* | Standard Pacific Corp. | 1,119,577 | 9,326 |
* | Taylor Morrison Home Corp. Class A | 378,117 | 9,218 |
WD-40 Co. | 169,030 | 9,209 | |
* | G-III Apparel Group Ltd. | 186,337 | 8,967 |
True Religion Apparel Inc. | 281,487 | 8,912 | |
Ethan Allen Interiors Inc. | 299,301 | 8,620 | |
* | Boulder Brands Inc. | 652,406 | 7,861 |
* | Annie's Inc. | 159,532 | 6,818 |
*,^ | RealD Inc. | 483,398 | 6,719 |
* | Blount International Inc. | 566,288 | 6,694 |
* | LeapFrog Enterprises Inc. | 659,996 | 6,494 |
*,^ | Vera Bradley Inc. | 233,555 | 5,059 |
*,^ | USANA Health Sciences Inc. | 62,426 | 4,518 |
* | DTS Inc. | 200,811 | 4,133 |
* | Fuel Systems Solutions Inc. | 150,872 | 2,699 |
*,^ | Diamond Foods Inc. | 121,576 | 2,523 |
National Beverage Corp. | 134,061 | 2,342 | |
* | Maidenform Brands Inc. | 135,059 | 2,341 |
1,064,212 | |||
Consumer Services (14.8%) | |||
* | Sally Beauty Holdings Inc. | 1,953,847 | 60,765 |
* | Panera Bread Co. Class A | 323,357 | 60,125 |
Dick's Sporting Goods Inc. | 1,154,638 | 57,801 | |
Dunkin' Brands Group Inc. | 1,226,770 | 52,530 | |
GNC Holdings Inc. Class A | 1,018,370 | 45,022 | |
* | AMC Networks Inc. Class A | 660,372 | 43,195 |
* | Madison Square Garden Co. Class A | 691,579 | 40,976 |
* | Copart Inc. | 1,299,232 | 40,016 |
* | Lamar Advertising Co. Class A | 916,889 | 39,793 |
* | TripAdvisor Inc. | 638,620 | 38,873 |
Domino's Pizza Inc. | 647,368 | 37,644 | |
* | Cabela's Inc. | 526,786 | 34,115 |
* | Groupon Inc. | 3,792,957 | 32,240 |
Chico's FAS Inc. | 1,774,366 | 30,271 | |
Sotheby's | 785,741 | 29,787 | |
DSW Inc. Class A | 397,224 | 29,184 | |
* | United Natural Foods Inc. | 539,165 | 29,110 |
*,^ | Pandora Media Inc. | 1,508,722 | 27,761 |
* | Ascena Retail Group Inc. | 1,465,508 | 25,573 |
Vail Resorts Inc. | 413,303 | 25,426 | |
Six Flags Entertainment Corp. | 715,204 | 25,147 | |
* | Live Nation Entertainment Inc. | 1,568,792 | 24,316 |
* | Bally Technologies Inc. | 422,283 | 23,825 |
* | Lumber Liquidators Holdings Inc. | 300,302 | 23,385 |
* | Shutterfly Inc. | 415,063 | 23,156 |
Cheesecake Factory Inc. | 552,219 | 23,132 | |
* | Spirit Airlines Inc. | 710,482 | 22,572 |
* | Life Time Fitness Inc. | 445,794 | 22,339 |
* | Fresh Market Inc. | 444,578 | 22,104 |
* | Lions Gate Entertainment Corp. | 783,983 | 21,536 |
* | Buffalo Wild Wings Inc. | 215,781 | 21,181 |
Abercrombie & Fitch Co. | 450,533 | 20,387 | |
Pier 1 Imports Inc. | 862,964 | 20,271 | |
HSN Inc. | 368,473 | 19,794 | |
Rollins Inc. | 757,480 | 19,619 | |
* | HomeAway Inc. | 586,410 | 18,965 |
Morningstar Inc. | 240,779 | 18,680 | |
Allegiant Travel Co. Class A | 175,702 | 18,623 | |
PriceSmart Inc. | 208,392 | 18,261 | |
Texas Roadhouse Inc. Class A | 723,645 | 18,106 |
26
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Genesco Inc. | 262,501 | 17,585 |
American Eagle Outfitters Inc. | 942,343 | 17,207 | |
* | ANN Inc. | 515,280 | 17,107 |
* | Hibbett Sports Inc. | 299,014 | 16,595 |
Monro Muffler Brake Inc. | 341,785 | 16,423 | |
* | Grand Canyon Education Inc. | 497,279 | 16,027 |
* | Saks Inc. | 1,123,353 | 15,323 |
* | Vitamin Shoppe Inc. | 331,778 | 14,877 |
Arbitron Inc. | 308,987 | 14,352 | |
* | WebMD Health Corp. | 487,775 | 14,326 |
* | OpenTable Inc. | 222,760 | 14,246 |
* | Bloomin' Brands Inc. | 566,948 | 14,106 |
* | Marriott Vacations Worldwide Corp. | 325,283 | 14,065 |
* | Conn's Inc. | 267,268 | 13,834 |
* | Five Below Inc. | 373,044 | 13,713 |
* | Francesca's Holdings Corp. | 481,190 | 13,372 |
* | Jos A Bank Clothiers Inc. | 321,874 | 13,300 |
* | Krispy Kreme Doughnuts Inc. | 753,429 | 13,147 |
* | Starz | 576,817 | 12,748 |
* | Angie's List Inc. | 467,307 | 12,407 |
Finish Line Inc. Class A | 566,651 | 12,387 | |
* | Orient-Express Hotels Ltd. Class A | 1,007,633 | 12,253 |
* | Yelp Inc. | 340,178 | 11,828 |
* | Restoration Hardware Holdings Inc. | 153,846 | 11,538 |
* | SHFL Entertainment Inc. | 649,085 | 11,495 |
* | Papa John's International Inc. | 175,446 | 11,469 |
SeaWorld Entertainment Inc. | 322,039 | 11,304 | |
* | BJ's Restaurants Inc. | 275,379 | 10,217 |
*,^ | Liquidity Services Inc. | 291,100 | 10,092 |
*,^ | Clean Energy Fuels Corp. | 763,894 | 10,083 |
* | AFC Enterprises Inc. | 274,683 | 9,872 |
* | DreamWorks Animation SKG Inc. Class A | 370,338 | 9,503 |
* | comScore Inc. | 369,624 | 9,015 |
Interval Leisure Group Inc. | 430,044 | 8,566 | |
* | K12 Inc. | 321,054 | 8,434 |
* | Tile Shop Holdings Inc. | 275,968 | 7,992 |
* | Bright Horizons Family Solutions Inc. | 223,917 | 7,772 |
* | rue21 inc | 175,516 | 7,303 |
* | American Public Education Inc. | 192,383 | 7,149 |
* | Zumiez Inc. | 243,597 | 7,003 |
* | Bankrate Inc. | 460,421 | 6,612 |
* | Mattress Firm Holding Corp. | 155,974 | 6,286 |
Churchill Downs Inc. | 77,429 | 6,105 | |
* | Scientific Games Corp. Class A | 537,911 | 6,052 |
* | Constant Contact Inc. | 335,645 | 5,394 |
* | Blue Nile Inc. | 142,501 | 5,384 |
* | Fairway Group Holdings Corp. | 180,000 | 4,351 |
* | Boyd Gaming Corp. | 327,000 | 3,695 |
* | Demand Media Inc. | 453,066 | 2,718 |
* | Travelzoo Inc. | 88,866 | 2,423 |
* | Vitacost.com Inc. | 194,481 | 1,643 |
* | ReachLocal Inc. | 115,155 | 1,412 |
1,747,716 | |||
Financials (16.7%) | |||
Duke Realty Corp. | 3,701,941 | 57,713 | |
* | Ocwen Financial Corp. | 1,326,845 | 54,693 |
DDR Corp. | 3,259,235 | 54,266 | |
Regency Centers Corp. | 1,054,223 | 53,565 | |
Taubman Centers Inc. | 697,140 | 52,390 | |
Extra Space Storage Inc. | 1,213,336 | 50,875 | |
American Campus Communities Inc. | 1,205,837 | 49,029 | |
CBOE Holdings Inc. | 1,004,342 | 46,842 | |
Kilroy Realty Corp. | 868,433 | 46,036 |
27
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
BRE Properties Inc. | 886,885 | 44,362 | |
WP Carey Inc. | 666,546 | 44,105 | |
BioMed Realty Trust Inc. | 2,144,214 | 43,377 | |
* | Howard Hughes Corp. | 386,309 | 43,301 |
* | SVB Financial Group | 518,726 | 43,220 |
* | Signature Bank | 504,738 | 41,903 |
Weingarten Realty Investors | 1,331,778 | 40,979 | |
Waddell & Reed Financial Inc. Class A | 939,484 | 40,868 | |
Home Properties Inc. | 601,186 | 39,300 | |
Douglas Emmett Inc. | 1,558,717 | 38,890 | |
Tanger Factory Outlet Centers | 1,086,541 | 36,356 | |
Equity Lifestyle Properties Inc. | 455,611 | 35,806 | |
Post Properties Inc. | 628,180 | 31,089 | |
RLJ Lodging Trust | 1,342,311 | 30,189 | |
* | Portfolio Recovery Associates Inc. | 194,458 | 29,875 |
LaSalle Hotel Properties | 1,099,456 | 27,157 | |
Healthcare Realty Trust Inc. | 1,040,365 | 26,529 | |
American Realty Capital Properties Inc. | 1,693,336 | 25,840 | |
Financial Engines Inc. | 562,749 | 25,656 | |
* | Stifel Financial Corp. | 695,018 | 24,791 |
Medical Properties Trust Inc. | 1,640,671 | 23,494 | |
Sovran Self Storage Inc. | 361,384 | 23,414 | |
^ | Lexington Realty Trust | 1,970,514 | 23,016 |
* | Sunstone Hotel Investors Inc. | 1,873,755 | 22,635 |
CubeSmart | 1,379,697 | 22,048 | |
Washington REIT | 765,249 | 20,593 | |
* | Texas Capital Bancshares Inc. | 445,825 | 19,777 |
Ryman Hospitality Properties | 505,144 | 19,706 | |
Sun Communities Inc. | 391,994 | 19,506 | |
MarketAxess Holdings Inc. | 410,035 | 19,169 | |
Pebblebrook Hotel Trust | 706,693 | 18,268 | |
Glimcher Realty Trust | 1,662,837 | 18,158 | |
DuPont Fabros Technology Inc. | 743,917 | 17,966 | |
Chimera Investment Corp. | 5,912,891 | 17,739 | |
* | Altisource Portfolio Solutions SA | 186,599 | 17,555 |
Equity One Inc. | 753,731 | 17,057 | |
* | Strategic Hotels & Resorts Inc. | 1,882,666 | 16,680 |
* | Liberty Ventures Class A | 193,139 | 16,419 |
* | First Cash Financial Services Inc. | 318,960 | 15,696 |
PS Business Parks Inc. | 209,942 | 15,151 | |
* | Virtus Investment Partners Inc. | 85,475 | 15,067 |
Colony Financial Inc. | 743,357 | 14,785 | |
* | Walter Investment Management Corp. | 403,208 | 13,632 |
* | Western Alliance Bancorp | 850,481 | 13,463 |
Education Realty Trust Inc. | 1,312,080 | 13,423 | |
Greenhill & Co. Inc. | 291,913 | 13,352 | |
*,^ | Zillow Inc. Class A | 235,233 | 13,244 |
* | WisdomTree Investments Inc. | 1,103,465 | 12,767 |
Investors Bancorp Inc. | 579,210 | 12,210 | |
Evercore Partners Inc. Class A | 309,006 | 12,138 | |
Hersha Hospitality Trust Class A | 2,097,863 | 11,832 | |
Ramco-Gershenson Properties Trust | 686,775 | 10,666 | |
Sabra Health Care REIT Inc. | 408,055 | 10,654 | |
Hudson Pacific Properties Inc. | 489,269 | 10,412 | |
Retail Opportunity Investments Corp. | 726,142 | 10,093 | |
National Bank Holdings Corp. Class A | 506,110 | 9,970 | |
* | TFS Financial Corp. | 889,273 | 9,960 |
Kennedy-Wilson Holdings Inc. | 596,942 | 9,933 | |
Investors Real Estate Trust | 1,154,927 | 9,932 | |
* | Alexander & Baldwin Inc. | 247,607 | 9,842 |
New Residential Investment Corp. | 1,455,785 | 9,812 | |
*,^ | Nationstar Mortgage Holdings Inc. | 260,549 | 9,755 |
STAG Industrial Inc. | 485,858 | 9,693 | |
ViewPoint Financial Group Inc. | 414,997 | 8,636 |
28
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Encore Capital Group Inc. | 258,905 | 8,572 |
* | NetSpend Holdings Inc. | 487,330 | 7,783 |
* | FelCor Lodging Trust Inc. | 1,285,421 | 7,597 |
* | Artisan Partners Asset Management Inc. | 146,257 | 7,300 |
* | Credit Acceptance Corp. | 67,937 | 7,137 |
Selective Insurance Group Inc. | 304,251 | 7,004 | |
Cohen & Steers Inc. | 204,006 | 6,932 | |
Alexander's Inc. | 23,495 | 6,901 | |
HFF Inc. Class A | 386,589 | 6,870 | |
* | Ambac Financial Group Inc. | 258,844 | 6,168 |
BBCN Bancorp Inc. | 431,612 | 6,138 | |
Chesapeake Lodging Trust | 279,414 | 5,809 | |
Universal Health Realty Income Trust | 131,368 | 5,666 | |
* | MoneyGram International Inc. | 233,178 | 5,281 |
* | Tejon Ranch Co. | 185,243 | 5,278 |
* | PICO Holdings Inc. | 248,437 | 5,207 |
Employers Holdings Inc. | 179,197 | 4,381 | |
Aviv REIT Inc. | 171,670 | 4,342 | |
* | NewStar Financial Inc. | 257,459 | 3,429 |
* | Hilltop Holdings Inc. | 208,209 | 3,415 |
Silver Bay Realty Trust Corp. | 193,631 | 3,207 | |
*,^ | Blackhawk Network Holdings Inc. | 133,200 | 3,090 |
Northfield Bancorp Inc. | 235,879 | 2,764 | |
GAMCO Investors Inc. | 46,242 | 2,562 | |
* | Capital Bank Financial Corp. | 130,514 | 2,478 |
1,973,631 | |||
Health Care (14.6%) | |||
* | Onyx Pharmaceuticals Inc. | 837,039 | 109,970 |
Cooper Cos. Inc. | 559,895 | 66,655 | |
* | Pharmacyclics Inc. | 670,071 | 53,251 |
* | MEDNAX Inc. | 577,352 | 52,874 |
* | Alkermes plc | 1,546,537 | 44,355 |
* | Salix Pharmaceuticals Ltd. | 670,203 | 44,334 |
* | Sirona Dental Systems Inc. | 632,187 | 41,648 |
* | Medivation Inc. | 819,728 | 40,331 |
* | Seattle Genetics Inc. | 1,186,208 | 37,318 |
* | Jazz Pharmaceuticals plc | 542,598 | 37,293 |
* | Cubist Pharmaceuticals Inc. | 750,418 | 36,245 |
* | Ariad Pharmaceuticals Inc. | 2,019,225 | 35,316 |
* | United Therapeutics Corp. | 514,470 | 33,862 |
* | Isis Pharmaceuticals Inc. | 1,232,959 | 33,130 |
* | Centene Corp. | 594,920 | 31,210 |
*,^ | Incyte Corp. Ltd. | 1,406,028 | 30,933 |
* | Theravance Inc. | 801,148 | 30,868 |
* | PAREXEL International Corp. | 654,175 | 30,053 |
* | Brookdale Senior Living Inc. Class A | 1,132,805 | 29,951 |
^ | Questcor Pharmaceuticals Inc. | 616,789 | 28,039 |
Techne Corp. | 402,661 | 27,816 | |
* | Align Technology Inc. | 750,819 | 27,810 |
* | Cepheid Inc. | 772,239 | 26,580 |
* | Myriad Genetics Inc. | 916,675 | 24,631 |
* | Haemonetics Corp. | 587,724 | 24,302 |
* | HMS Holdings Corp. | 1,009,271 | 23,516 |
* | ViroPharma Inc. | 751,566 | 21,532 |
* | Thoratec Corp. | 659,774 | 20,658 |
* | Medicines Co. | 644,365 | 19,821 |
*,^ | Arena Pharmaceuticals Inc. | 2,506,239 | 19,298 |
* | Bruker Corp. | 1,153,614 | 18,631 |
* | Insulet Corp. | 584,148 | 18,348 |
Healthcare Services Group Inc. | 748,033 | 18,342 | |
* | DexCom Inc. | 772,932 | 17,352 |
* | ImmunoGen Inc. | 972,784 | 16,138 |
* | HeartWare International Inc. | 169,248 | 16,097 |
* | Cyberonics Inc. | 302,094 | 15,697 |
29
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | NPS Pharmaceuticals Inc. | 1,039,143 | 15,691 |
* | Acorda Therapeutics Inc. | 466,821 | 15,400 |
* | Nektar Therapeutics | 1,329,443 | 15,355 |
* | Impax Laboratories Inc. | 748,625 | 14,935 |
*,^ | Vivus Inc. | 1,159,892 | 14,591 |
* | Neogen Corp. | 261,445 | 14,526 |
Air Methods Corp. | 402,679 | 13,643 | |
* | Acadia Healthcare Co. Inc. | 406,381 | 13,439 |
* | Santarus Inc. | 635,130 | 13,369 |
* | NuVasive Inc. | 508,907 | 12,616 |
*,^ | Sarepta Therapeutics Inc. | 330,489 | 12,575 |
Masimo Corp. | 584,107 | 12,383 | |
*,^ | Opko Health Inc. | 1,737,391 | 12,335 |
Abaxis Inc. | 241,573 | 11,477 | |
* | Volcano Corp. | 627,550 | 11,377 |
* | Akorn Inc. | 829,258 | 11,212 |
* | ArthroCare Corp. | 324,502 | 11,205 |
* | Exact Sciences Corp. | 800,841 | 11,140 |
* | ICU Medical Inc. | 150,898 | 10,874 |
* | Emeritus Corp. | 463,309 | 10,740 |
*,^ | Globus Medical Inc. | 631,727 | 10,651 |
* | Ironwood Pharmaceuticals Inc. Class A | 1,069,384 | 10,640 |
* | BioScrip Inc. | 621,676 | 10,258 |
Analogic Corp. | 140,780 | 10,253 | |
* | IPC The Hospitalist Co. Inc. | 192,872 | 9,906 |
Meridian Bioscience Inc. | 453,286 | 9,746 | |
* | Auxilium Pharmaceuticals Inc. | 567,307 | 9,434 |
* | NxStage Medical Inc. | 653,052 | 9,326 |
* | Endologix Inc. | 686,435 | 9,116 |
* | Luminex Corp. | 435,034 | 8,966 |
*,^ | Exelixis Inc. | 1,903,474 | 8,642 |
* | Quidel Corp. | 329,924 | 8,423 |
*,^ | Bio-Reference Labs Inc. | 287,373 | 8,262 |
* | ABIOMED Inc. | 380,022 | 8,193 |
* | Momenta Pharmaceuticals Inc. | 539,351 | 8,123 |
Cantel Medical Corp. | 236,522 | 8,011 | |
* | Halozyme Therapeutics Inc. | 976,209 | 7,751 |
* | Optimer Pharmaceuticals Inc. | 532,589 | 7,707 |
Ensign Group Inc. | 214,193 | 7,544 | |
*,^ | Dendreon Corp. | 1,722,798 | 7,098 |
* | ACADIA Pharmaceuticals Inc. | 376,095 | 6,826 |
* | Merrimack Pharmaceuticals Inc. | 939,710 | 6,324 |
* | Accretive Health Inc. | 559,554 | 6,049 |
*,^ | MannKind Corp. | 920,385 | 5,983 |
* | HealthStream Inc. | 229,714 | 5,816 |
*,^ | Sequenom Inc. | 1,324,918 | 5,578 |
*,^ | MAKO Surgical Corp. | 459,068 | 5,532 |
* | Tornier NV | 296,812 | 5,194 |
* | Merit Medical Systems Inc. | 465,097 | 5,186 |
* | Emergent Biosolutions Inc. | 332,457 | 4,794 |
* | Cadence Pharmaceuticals Inc. | 691,070 | 4,713 |
Spectrum Pharmaceuticals Inc. | 621,547 | 4,637 | |
* | Genomic Health Inc. | 139,854 | 4,435 |
*,^ | Accuray Inc. | 772,355 | 4,433 |
* | Idenix Pharmaceuticals Inc. | 1,163,371 | 4,200 |
* | Corvel Corp. | 137,862 | 4,035 |
* | Sagent Pharmaceuticals Inc. | 162,933 | 3,418 |
* | Wright Medical Group Inc. Rights Exp. 12/31/2049 | 165,303 | 448 |
Enzon Pharmaceuticals Inc. | 215,151 | 430 | |
* | LipoScience Inc. | 34,000 | 238 |
1,729,407 | |||
Industrials (18.0%) | |||
* | B/E Aerospace Inc. | 1,205,256 | 76,028 |
Fortune Brands Home & Security Inc. | 1,899,098 | 73,571 |
30
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Wabtec Corp. | 1,051,672 | 56,191 | |
* | Colfax Corp. | 989,188 | 51,547 |
Triumph Group Inc. | 593,656 | 46,988 | |
* | Kirby Corp. | 587,825 | 46,756 |
Graco Inc. | 704,979 | 44,562 | |
Jack Henry & Associates Inc. | 941,471 | 44,372 | |
Nordson Corp. | 628,123 | 43,535 | |
MSC Industrial Direct Co. Inc. Class A | 558,076 | 43,229 | |
* | Genesee & Wyoming Inc. Class A | 503,964 | 42,756 |
* | CoStar Group Inc. | 311,966 | 40,265 |
Valmont Industries Inc. | 277,083 | 39,648 | |
* | Hexcel Corp. | 1,153,717 | 39,284 |
Acuity Brands Inc. | 492,937 | 37,227 | |
* | NeuStar Inc. Class A | 719,355 | 35,018 |
* | WEX Inc. | 446,450 | 34,243 |
AO Smith Corp. | 914,750 | 33,187 | |
Genpact Ltd. | 1,710,739 | 32,915 | |
FEI Co. | 443,885 | 32,399 | |
Eagle Materials Inc. | 484,234 | 32,090 | |
* | Clean Harbors Inc. | 626,881 | 31,676 |
* | Old Dominion Freight Line Inc. | 743,639 | 30,950 |
* | FleetCor Technologies Inc. | 374,663 | 30,460 |
Macquarie Infrastructure Co. LLC | 566,428 | 30,276 | |
Toro Co. | 661,826 | 30,054 | |
CLARCOR Inc. | 571,711 | 29,849 | |
Woodward Inc. | 712,128 | 28,485 | |
MAXIMUS Inc. | 373,343 | 27,807 | |
Waste Connections Inc. | 674,650 | 27,755 | |
Landstar System Inc. | 535,753 | 27,591 | |
* | Vantiv Inc. Class A | 964,085 | 26,609 |
* | Zebra Technologies Corp. | 585,974 | 25,455 |
Watsco Inc. | 293,130 | 24,611 | |
Corporate Executive Board Co. | 386,725 | 24,449 | |
Air Lease Corp. Class A | 858,408 | 23,684 | |
^ | IPG Photonics Corp. | 384,857 | 23,372 |
* | MasTec Inc. | 707,198 | 23,267 |
* | DigitalGlobe Inc. | 728,619 | 22,594 |
* | Advisory Board Co. | 408,491 | 22,324 |
Cognex Corp. | 474,991 | 21,479 | |
*,^ | Coinstar Inc. | 323,567 | 18,984 |
* | MWI Veterinary Supply Inc. | 139,881 | 17,239 |
*,^ | VistaPrint NV | 338,097 | 16,692 |
* | Navistar International Corp. | 599,275 | 16,636 |
Regal-Beloit Corp. | 245,873 | 15,942 | |
Mueller Industries Inc. | 307,320 | 15,498 | |
* | Trimas Corp. | 410,875 | 15,317 |
* | Veeco Instruments Inc. | 428,073 | 15,162 |
Heartland Payment Systems Inc. | 397,153 | 14,794 | |
* | Hub Group Inc. Class A | 404,330 | 14,726 |
Franklin Electric Co. Inc. | 436,452 | 14,687 | |
Coherent Inc. | 266,099 | 14,654 | |
* | Cardtronics Inc. | 516,203 | 14,247 |
* | OSI Systems Inc. | 217,889 | 14,036 |
Simpson Manufacturing Co. Inc. | 474,962 | 13,973 | |
* | On Assignment Inc. | 521,049 | 13,922 |
* | RBC Bearings Inc. | 264,521 | 13,742 |
Forward Air Corp. | 347,236 | 13,292 | |
* | Proto Labs Inc. | 203,054 | 13,192 |
*,^ | Universal Display Corp. | 451,393 | 12,689 |
HEICO Corp. | 245,696 | 12,376 | |
Acacia Research Corp. | 537,745 | 12,019 | |
* | Louisiana-Pacific Corp. | 801,775 | 11,858 |
* | Huron Consulting Group Inc. | 254,482 | 11,767 |
Raven Industries Inc. | 376,580 | 11,290 |
31
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
AZZ Inc. | 278,435 | 10,736 | |
^ | Sturm Ruger & Co. Inc. | 222,309 | 10,680 |
* | ExlService Holdings Inc. | 356,686 | 10,544 |
Lindsay Corp. | 140,436 | 10,530 | |
* | II-VI Inc. | 644,239 | 10,475 |
Tennant Co. | 211,742 | 10,221 | |
* | Aegion Corp. Class A | 450,139 | 10,133 |
*,^ | SunPower Corp. Class A | 486,647 | 10,074 |
HEICO Corp. Class A | 266,947 | 9,853 | |
* | Rogers Corp. | 196,440 | 9,296 |
* | Trex Co. Inc. | 187,814 | 8,919 |
* | Imperva Inc. | 197,474 | 8,894 |
* | Team Inc. | 225,759 | 8,545 |
Exponent Inc. | 144,064 | 8,516 | |
Primoris Services Corp. | 415,323 | 8,190 | |
* | Wabash National Corp. | 790,200 | 8,044 |
* | Measurement Specialties Inc. | 171,378 | 7,974 |
Sun Hydraulics Corp. | 242,065 | 7,572 | |
*,^ | Smith & Wesson Holding Corp. | 738,207 | 7,367 |
* | ExamWorks Group Inc. | 342,792 | 7,277 |
Quanex Building Products Corp. | 426,454 | 7,182 | |
* | DXP Enterprises Inc. | 106,237 | 7,075 |
Badger Meter Inc. | 156,995 | 6,994 | |
* | Thermon Group Holdings Inc. | 340,366 | 6,943 |
* | LifeLock Inc. | 583,292 | 6,830 |
* | Roadrunner Transportation Systems Inc. | 244,763 | 6,814 |
* | FARO Technologies Inc. | 196,576 | 6,648 |
Mueller Water Products Inc. Class A | 908,268 | 6,276 | |
* | EVERTEC Inc. | 273,015 | 5,998 |
Griffon Corp. | 517,138 | 5,818 | |
Park Electrochemical Corp. | 227,668 | 5,466 | |
Gorman-Rupp Co. | 169,041 | 5,382 | |
Landauer Inc. | 109,585 | 5,294 | |
* | Bazaarvoice Inc. | 544,300 | 5,127 |
* | InnerWorkings Inc. | 466,502 | 5,062 |
* | RPX Corp. | 296,647 | 4,984 |
*,^ | Nuverra Environmental Solutions Inc. | 1,595,894 | 4,628 |
* | Aerovironment Inc. | 207,626 | 4,190 |
*,^ | Higher One Holdings Inc. | 349,457 | 4,068 |
* | Taminco Corp. | 188,880 | 3,851 |
American Railcar Industries Inc. | 111,201 | 3,726 | |
* | Mistras Group Inc. | 179,559 | 3,157 |
Electro Scientific Industries Inc. | 291,108 | 3,132 | |
* | Dice Holdings Inc. | 242,662 | 2,235 |
* | M/A-COM Technology Solutions Holdings Inc. | 106,104 | 1,549 |
* | Swisher Hygiene Inc. | 329,555 | 283 |
2,129,844 | |||
Oil & Gas (6.8%) | |||
* | Oil States International Inc. | 632,479 | 58,593 |
* | Gulfport Energy Corp. | 890,460 | 41,914 |
* | Dril-Quip Inc. | 420,320 | 37,951 |
* | Oasis Petroleum Inc. | 915,397 | 35,581 |
* | Atwood Oceanics Inc. | 681,544 | 35,474 |
* | Cheniere Energy Inc. | 1,249,727 | 34,692 |
* | Chart Industries Inc. | 348,864 | 32,825 |
Lufkin Industries Inc. | 370,802 | 32,805 | |
Tidewater Inc. | 569,536 | 32,446 | |
* | Rosetta Resources Inc. | 702,984 | 29,891 |
* | Kodiak Oil & Gas Corp. | 3,054,701 | 27,156 |
SemGroup Corp. Class A | 483,569 | 26,045 | |
*,^ | SandRidge Energy Inc. | 5,119,882 | 24,371 |
Berry Petroleum Co. Class A | 545,542 | 23,087 | |
* | Hornbeck Offshore Services Inc. | 370,640 | 19,829 |
Energy XXI Bermuda Ltd. | 867,758 | 19,247 |
32
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | PDC Energy Inc. | 349,084 | 17,971 |
* | Forum Energy Technologies Inc. | 529,609 | 16,116 |
^ | CARBO Ceramics Inc. | 226,260 | 15,257 |
Gulfmark Offshore Inc. | 276,512 | 12,468 | |
*,^ | Halcon Resources Corp. | 2,127,322 | 12,062 |
* | Carrizo Oil & Gas Inc. | 418,190 | 11,847 |
* | Bonanza Creek Energy Inc. | 324,281 | 11,499 |
* | McDermott International Inc. | 1,360,457 | 11,129 |
* | EPL Oil & Gas Inc. | 377,489 | 11,083 |
* | Bill Barrett Corp. | 532,940 | 10,776 |
^ | RPC Inc. | 761,369 | 10,515 |
* | Geospace Technologies Corp. | 148,534 | 10,261 |
* | Approach Resources Inc. | 402,231 | 9,883 |
* | C&J Energy Services Inc. | 498,168 | 9,650 |
CVR Energy Inc. | 199,999 | 9,480 | |
* | Flotek Industries Inc. | 528,196 | 9,476 |
* | Laredo Petroleum Holdings Inc. | 446,576 | 9,182 |
* | Rex Energy Corp. | 520,564 | 9,152 |
* | Northern Oil and Gas Inc. | 660,503 | 8,811 |
* | ION Geophysical Corp. | 1,357,838 | 8,174 |
* | Diamondback Energy Inc. | 242,546 | 8,082 |
Comstock Resources Inc. | 501,631 | 7,891 | |
*,^ | Sanchez Energy Corp. | 318,640 | 7,316 |
*,^ | Magnum Hunter Resources Corp. | 1,760,646 | 6,426 |
* | Resolute Energy Corp. | 796,145 | 6,353 |
* | Matador Resources Co. | 482,003 | 5,774 |
* | Swift Energy Co. | 473,895 | 5,682 |
* | Vantage Drilling Co. | 2,098,666 | 4,281 |
*,^ | Solazyme Inc. | 358,024 | 4,196 |
* | Goodrich Petroleum Corp. | 297,930 | 3,813 |
* | PetroQuest Energy Inc. | 630,148 | 2,495 |
*,^ | Quicksilver Resources Inc. | 1,432,549 | 2,407 |
* | Midstates Petroleum Co. Inc. | 395,986 | 2,142 |
* | BPZ Resources Inc. | 1,097,471 | 1,964 |
* | Harvest Natural Resources Inc. | 108,502 | 336 |
805,857 | |||
Other (0.0%) | |||
* | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 132,154 | 126 |
126 | |||
Technology (16.4%) | |||
*,^ | 3D Systems Corp. | 1,089,663 | 47,836 |
IAC/InterActiveCorp | 950,683 | 45,214 | |
* | Cadence Design Systems Inc. | 3,094,029 | 44,802 |
Solera Holdings Inc. | 792,827 | 44,121 | |
* | Concur Technologies Inc. | 513,979 | 41,828 |
* | JDS Uniphase Corp. | 2,722,494 | 39,149 |
* | CommVault Systems Inc. | 508,110 | 38,560 |
* | Teradyne Inc. | 2,194,021 | 38,549 |
* | Splunk Inc. | 770,582 | 35,724 |
* | Ultimate Software Group Inc. | 302,226 | 35,448 |
* | Atmel Corp. | 4,686,171 | 34,443 |
* | athenahealth Inc. | 401,633 | 34,026 |
* | PTC Inc. | 1,376,581 | 33,768 |
* | ViaSat Inc. | 466,333 | 33,324 |
* | NetSuite Inc. | 339,568 | 31,152 |
* | Aspen Technology Inc. | 1,078,439 | 31,048 |
* | SolarWinds Inc. | 735,544 | 28,546 |
* | Riverbed Technology Inc. | 1,786,665 | 27,801 |
* | Semtech Corp. | 776,754 | 27,210 |
* | Fortinet Inc. | 1,493,517 | 26,137 |
Mentor Graphics Corp. | 1,298,838 | 25,392 | |
* | Allscripts Healthcare Solutions Inc. | 1,944,258 | 25,159 |
* | Clearwire Corp. Class A | 4,998,820 | 24,894 |
33
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | QLIK Technologies Inc. | 851,212 | 24,064 |
* | Guidewire Software Inc. | 561,459 | 23,609 |
* | Tyler Technologies Inc. | 344,346 | 23,605 |
* | SS&C Technologies Holdings Inc. | 698,911 | 22,994 |
* | Medidata Solutions Inc. | 290,636 | 22,510 |
Plantronics Inc. | 498,106 | 21,877 | |
* | Informatica Corp. | 621,828 | 21,752 |
* | Ciena Corp. | 1,115,462 | 21,662 |
* | ACI Worldwide Inc. | 458,561 | 21,314 |
InterDigital Inc. | 473,514 | 21,142 | |
* | Cavium Inc. | 561,203 | 19,850 |
* | MICROS Systems Inc. | 452,519 | 19,526 |
* | Aruba Networks Inc. | 1,248,084 | 19,171 |
* | Cornerstone OnDemand Inc. | 440,446 | 19,067 |
Fair Isaac Corp. | 412,773 | 18,917 | |
* | Sourcefire Inc. | 340,522 | 18,916 |
* | Silicon Laboratories Inc. | 439,592 | 18,204 |
* | Hittite Microwave Corp. | 308,332 | 17,883 |
* | Dealertrack Technologies Inc. | 500,409 | 17,729 |
* | ExactTarget Inc. | 520,948 | 17,566 |
* | Finisar Corp. | 1,021,427 | 17,313 |
* | Manhattan Associates Inc. | 223,875 | 17,274 |
Blackbaud Inc. | 525,283 | 17,108 | |
* | Sapient Corp. | 1,285,668 | 16,791 |
* | International Rectifier Corp. | 799,184 | 16,735 |
* | Advent Software Inc. | 468,304 | 16,419 |
MKS Instruments Inc. | 609,951 | 16,188 | |
* | Electronics for Imaging Inc. | 534,205 | 15,113 |
* | Entegris Inc. | 1,603,328 | 15,055 |
Cogent Communications Group Inc. | 488,905 | 13,763 | |
*,^ | Fusion-io Inc. | 961,384 | 13,690 |
* | Infinera Corp. | 1,266,860 | 13,517 |
* | Web.com Group Inc. | 515,034 | 13,185 |
* | TriQuint Semiconductor Inc. | 1,878,850 | 13,020 |
Power Integrations Inc. | 316,799 | 12,849 | |
* | Ixia | 692,689 | 12,745 |
Tessera Technologies Inc. | 607,147 | 12,629 | |
Syntel Inc. | 192,897 | 12,127 | |
* | Cirrus Logic Inc. | 692,850 | 12,028 |
* | MedAssets Inc. | 665,989 | 11,815 |
* | Infoblox Inc. | 403,368 | 11,803 |
* | OmniVision Technologies Inc. | 621,053 | 11,583 |
* | Ultratech Inc. | 303,426 | 11,142 |
NIC Inc. | 671,664 | 11,103 | |
* | Bottomline Technologies de Inc. | 435,253 | 11,008 |
Monotype Imaging Holdings Inc. | 417,790 | 10,616 | |
* | Synchronoss Technologies Inc. | 341,958 | 10,556 |
* | Rambus Inc. | 1,220,465 | 10,484 |
* | Diodes Inc. | 397,315 | 10,318 |
* | Sonus Networks Inc. | 3,247,771 | 9,776 |
* | RealPage Inc. | 528,841 | 9,699 |
Quality Systems Inc. | 513,932 | 9,616 | |
* | Kulicke & Soffa Industries Inc. | 865,562 | 9,573 |
* | Interactive Intelligence Group Inc. | 183,152 | 9,451 |
* | Netscout Systems Inc. | 404,753 | 9,447 |
*,^ | VirnetX Holding Corp. | 467,802 | 9,351 |
Monolithic Power Systems Inc. | 380,849 | 9,182 | |
* | MicroStrategy Inc. Class A | 104,366 | 9,076 |
* | Demandware Inc. | 208,893 | 8,859 |
* | ATMI Inc. | 350,143 | 8,281 |
* | InvenSense Inc. | 537,803 | 8,271 |
* | RF Micro Devices Inc. | 1,542,098 | 8,250 |
* | BroadSoft Inc. | 290,853 | 8,028 |
* | Freescale Semiconductor Ltd. | 584,833 | 7,924 |
34
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Blucora Inc. | 424,486 | 7,870 |
* | Palo Alto Networks Inc. | 184,734 | 7,788 |
* | Comverse Inc. | 256,024 | 7,619 |
* | Advanced Energy Industries Inc. | 425,208 | 7,403 |
Brooks Automation Inc. | 728,746 | 7,091 | |
* | Applied Micro Circuits Corp. | 780,884 | 6,872 |
* | Intermec Inc. | 695,855 | 6,840 |
* | NETGEAR Inc. | 221,603 | 6,768 |
* | Ellie Mae Inc. | 287,579 | 6,637 |
* | FleetMatics Group plc | 199,684 | 6,636 |
* | LogMeIn Inc. | 266,270 | 6,513 |
Pegasystems Inc. | 196,406 | 6,505 | |
* | Tangoe Inc. | 407,792 | 6,292 |
* | Jive Software Inc. | 344,982 | 6,268 |
* | Responsys Inc. | 426,002 | 6,096 |
*,^ | Ruckus Wireless Inc. | 470,595 | 6,028 |
Computer Programs & Systems Inc. | 114,665 | 5,635 | |
West Corp. | 239,964 | 5,313 | |
* | Silicon Graphics International Corp. | 389,157 | 5,207 |
Forrester Research Inc. | 141,618 | 5,196 | |
* | Silicon Image Inc. | 888,058 | 5,195 |
* | LivePerson Inc. | 570,367 | 5,108 |
* | EPAM Systems Inc. | 182,381 | 4,957 |
* | iGATE Corp. | 290,622 | 4,772 |
* | ICG Group Inc. | 415,367 | 4,735 |
* | Ceva Inc. | 243,458 | 4,713 |
* | Shutterstock Inc. | 77,124 | 4,302 |
* | Calix Inc. | 425,257 | 4,295 |
* | Cabot Microelectronics Corp. | 127,968 | 4,224 |
* | Entropic Communications Inc. | 985,261 | 4,207 |
* | Super Micro Computer Inc. | 366,787 | 3,903 |
* | Active Network Inc. | 499,961 | 3,785 |
* | Lattice Semiconductor Corp. | 669,469 | 3,394 |
Ebix Inc. | 365,829 | 3,388 | |
* | Vocera Communications Inc. | 227,045 | 3,338 |
* | Quantum Corp. | 2,394,623 | 3,281 |
* | Millennial Media Inc. | 368,394 | 3,209 |
^ | Ubiquiti Networks Inc. | 151,307 | 2,654 |
* | Inphi Corp. | 201,914 | 2,221 |
* | Volterra Semiconductor Corp. | 144,743 | 2,044 |
*,^ | Greenway Medical Technologies | 154,983 | 1,912 |
* | Silver Spring Networks Inc. | 53,932 | 1,345 |
* | Limelight Networks Inc. | 556,589 | 1,252 |
1,941,061 | |||
Telecommunications (0.8%) | |||
* | tw telecom inc Class A | 1,730,001 | 48,682 |
* | Level 3 Communications Inc. | 1,699,689 | 35,829 |
* | Cincinnati Bell Inc. | 2,392,660 | 7,322 |
Atlantic Tele-Network Inc. | 108,298 | 5,378 | |
EarthLink Inc. | 596,715 | 3,706 | |
100,917 | |||
Utilities (0.5%) | |||
ITC Holdings Corp. | 602,194 | 54,980 | |
Atlantic Power Corp. | 693,718 | 2,733 | |
Ormat Technologies Inc. | 105,177 | 2,474 | |
60,187 | |||
Total Common Stocks (Cost $9,680,120) | 11,838,770 |
35
Vanguard® Small-Cap Growth Index Fund | |||||
Schedule of Investments | |||||
June 30, 2013 | |||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (1.6%) | |||||
Money Market Fund (1.6%) | |||||
1,2 | Vanguard Market Liquidity Fund | 0.127% | 189,389,485 | 189,389 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
3 | Fannie Mae Discount Notes | 0.110% | 8/21/13 | 100 | 100 |
3 | Fannie Mae Discount Notes | 0.125% | 9/25/13 | 1,200 | 1,200 |
1,300 | |||||
Total Temporary Cash Investments (Cost $190,689) | 190,689 | ||||
Total Investments (101.6%) (Cost $9,870,809) | 12,029,459 | ||||
Other Assets and Liabilities—Net (-1.6%)2 | (189,706) | ||||
Net Assets (100%) | 11,839,753 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $177,344,000.
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 $186,665,000 of collateral received for securities on loan.
3 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
REIT—Real Estate Investment Trust.
36
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.4%)1 | |||
Basic Materials (5.7%) | |||
Rockwood Holdings Inc. | 615,835 | 39,432 | |
RPM International Inc. | 1,047,953 | 33,472 | |
Steel Dynamics Inc. | 1,660,165 | 24,753 | |
Cytec Industries Inc. | 332,585 | 24,362 | |
Axiall Corp. | 553,461 | 23,566 | |
Compass Minerals International Inc. | 264,146 | 22,328 | |
Allegheny Technologies Inc. | 813,250 | 21,397 | |
^ | United States Steel Corp. | 1,144,185 | 20,058 |
PolyOne Corp. | 748,572 | 18,550 | |
Domtar Corp. | 261,805 | 17,410 | |
Cabot Corp. | 455,570 | 17,047 | |
Sensient Technologies Corp. | 396,961 | 16,065 | |
* | Chemtura Corp. | 777,724 | 15,788 |
Westlake Chemical Corp. | 158,903 | 15,320 | |
Olin Corp. | 636,866 | 15,234 | |
HB Fuller Co. | 398,016 | 15,049 | |
Commercial Metals Co. | 924,795 | 13,659 | |
Worthington Industries Inc. | 421,939 | 13,380 | |
Minerals Technologies Inc. | 275,942 | 11,407 | |
Buckeye Technologies Inc. | 292,139 | 10,821 | |
Tronox Ltd. Class A | 492,346 | 9,921 | |
Cliffs Natural Resources Inc. | 605,815 | 9,844 | |
* | Alpha Natural Resources Inc. | 1,747,592 | 9,157 |
Kaiser Aluminum Corp. | 142,181 | 8,807 | |
PH Glatfelter Co. | 339,733 | 8,527 | |
Stepan Co. | 149,048 | 8,288 | |
Innophos Holdings Inc. | 172,986 | 8,160 | |
* | Cloud Peak Energy Inc. | 481,508 | 7,935 |
* | Clearwater Paper Corp. | 167,048 | 7,861 |
* | OM Group Inc. | 253,135 | 7,827 |
* | SunCoke Energy Inc. | 527,657 | 7,398 |
Innospec Inc. | 177,224 | 7,121 | |
* | Resolute Forest Products Inc. | 526,539 | 6,934 |
Arch Coal Inc. | 1,680,762 | 6,353 | |
Boise Inc. | 720,833 | 6,156 | |
Quaker Chemical Corp. | 99,172 | 6,150 | |
AMCOL International Corp. | 192,317 | 6,094 | |
Koppers Holdings Inc. | 156,342 | 5,969 | |
A Schulman Inc. | 221,967 | 5,953 | |
* | Kraton Performance Polymers Inc. | 258,368 | 5,477 |
Tredegar Corp. | 204,847 | 5,265 | |
Deltic Timber Corp. | 90,876 | 5,254 | |
* | Ferro Corp. | 687,628 | 4,779 |
* | LSB Industries Inc. | 150,445 | 4,575 |
* | Century Aluminum Co. | 387,257 | 3,594 |
^,* | AK Steel Holding Corp. | 1,017,632 | 3,094 |
Kronos Worldwide Inc. | 182,244 | 2,960 | |
^ | Walter Energy Inc. | 246,448 | 2,563 |
Noranda Aluminum Holding Corp. | 262,913 | 849 | |
NL Industries Inc. | 57,404 | 649 | |
572,612 | |||
Consumer Goods (7.8%) | |||
Snap-on Inc. | 462,043 | 41,297 | |
Hanesbrands Inc. | 781,311 | 40,175 | |
Ingredion Inc. | 583,539 | 38,292 | |
* | Jarden Corp. | 847,424 | 37,075 |
Leggett & Platt Inc. | 1,132,915 | 35,222 | |
Hillshire Brands Co. | 975,819 | 32,280 | |
Flowers Foods Inc. | 1,398,690 | 30,841 | |
* | Goodyear Tire & Rubber Co. | 1,946,664 | 29,764 |
Tupperware Brands Corp. | 377,495 | 29,328 |
37
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Visteon Corp. | 394,621 | 24,908 |
Dana Holding Corp. | 1,164,348 | 22,425 | |
* | Tenneco Inc. | 482,358 | 21,841 |
* | Smithfield Foods Inc. | 551,015 | 18,046 |
* | TreeHouse Foods Inc. | 273,025 | 17,894 |
Thor Industries Inc. | 357,610 | 17,587 | |
Scotts Miracle-Gro Co. Class A | 342,564 | 16,549 | |
Cooper Tire & Rubber Co. | 477,232 | 15,830 | |
* | Dean Foods Co. | 1,403,026 | 14,058 |
KB Home | 661,088 | 12,977 | |
HNI Corp. | 359,677 | 12,974 | |
* | Iconix Brand Group Inc. | 428,600 | 12,605 |
Herman Miller Inc. | 440,613 | 11,927 | |
Schweitzer-Mauduit International Inc. | 235,848 | 11,764 | |
Sanderson Farms Inc. | 163,987 | 10,892 | |
* | Post Holdings Inc. | 245,607 | 10,723 |
Universal Corp. | 184,690 | 10,684 | |
* | American Axle & Manufacturing Holdings Inc. | 533,089 | 9,931 |
Spectrum Brands Holdings Inc. | 165,112 | 9,390 | |
* | Helen of Troy Ltd. | 239,939 | 9,206 |
* | Take-Two Interactive Software Inc. | 581,805 | 8,710 |
Steelcase Inc. Class A | 592,203 | 8,634 | |
Jones Group Inc. | 602,289 | 8,281 | |
Fresh Del Monte Produce Inc. | 294,035 | 8,198 | |
La-Z-Boy Inc. | 393,724 | 7,981 | |
Briggs & Stratton Corp. | 382,292 | 7,569 | |
Andersons Inc. | 140,998 | 7,500 | |
* | Skechers U.S.A. Inc. Class A | 311,442 | 7,478 |
^ | Columbia Sportswear Co. | 108,889 | 6,822 |
Titan International Inc. | 403,613 | 6,809 | |
Pinnacle Foods Inc. | 279,307 | 6,745 | |
Seaboard Corp. | 2,377 | 6,437 | |
* | Pilgrim's Pride Corp. | 410,328 | 6,130 |
* | Quiksilver Inc. | 931,297 | 5,998 |
* | ACCO Brands Corp. | 901,441 | 5,733 |
* | Dole Food Co. Inc. | 426,617 | 5,439 |
Knoll Inc. | 363,533 | 5,166 | |
^,* | Hovnanian Enterprises Inc. Class A | 889,765 | 4,992 |
Movado Group Inc. | 142,214 | 4,811 | |
Cal-Maine Foods Inc. | 103,398 | 4,809 | |
^ | Tootsie Roll Industries Inc. | 148,160 | 4,709 |
American Greetings Corp. Class A | 230,004 | 4,191 | |
* | Modine Manufacturing Co. | 375,138 | 4,082 |
Inter Parfums Inc. | 133,237 | 3,800 | |
* | Chiquita Brands International Inc. | 347,873 | 3,799 |
Superior Industries International Inc. | 195,526 | 3,365 | |
National Presto Industries Inc. | 41,214 | 2,969 | |
* | Revlon Inc. Class A | 96,805 | 2,136 |
* | Diamond Foods Inc. | 83,016 | 1,723 |
* | Central Garden and Pet Co. Class A | 248,046 | 1,712 |
JAKKS Pacific Inc. | 148,726 | 1,673 | |
* | Federal-Mogul Corp. | 155,407 | 1,587 |
* | Maidenform Brands Inc. | 86,389 | 1,497 |
* | Central Garden and Pet Co. | 80,733 | 573 |
778,543 | |||
Consumer Services (12.1%) | |||
Gannett Co. Inc. | 1,814,543 | 44,384 | |
Foot Locker Inc. | 1,190,195 | 41,811 | |
Omnicare Inc. | 831,829 | 39,687 | |
GameStop Corp. Class A | 895,179 | 37,624 | |
* | Alaska Air Group Inc. | 557,512 | 28,991 |
Service Corp. International | 1,594,323 | 28,746 | |
Cablevision Systems Corp. Class A | 1,604,016 | 26,979 | |
* | Penn National Gaming Inc. | 467,384 | 24,706 |
38
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Avis Budget Group Inc. | 854,264 | 24,560 |
Washington Post Co. Class B | 49,057 | 23,732 | |
Cinemark Holdings Inc. | 820,862 | 22,918 | |
Brinker International Inc. | 559,464 | 22,060 | |
^,* | US Airways Group Inc. | 1,233,730 | 20,258 |
Casey's General Stores Inc. | 303,979 | 18,287 | |
Dillard's Inc. Class A | 218,088 | 17,877 | |
Cracker Barrel Old Country Store Inc. | 188,249 | 17,820 | |
* | Rite Aid Corp. | 6,118,278 | 17,498 |
Sinclair Broadcast Group Inc. Class A | 583,197 | 17,134 | |
Harris Teeter Supermarkets Inc. | 353,085 | 16,546 | |
* | VCA Antech Inc. | 631,939 | 16,487 |
Rent-A-Center Inc. | 435,752 | 16,362 | |
Aaron's Inc. | 541,168 | 15,158 | |
* | CST Brands Inc. | 477,210 | 14,703 |
* | Beacon Roofing Supply Inc. | 385,213 | 14,592 |
Guess? Inc. | 469,575 | 14,571 | |
Men's Wearhouse Inc. | 377,868 | 14,302 | |
John Wiley & Sons Inc. Class A | 354,576 | 14,215 | |
* | ValueClick Inc. | 572,896 | 14,139 |
* | Jack in the Box Inc. | 351,983 | 13,829 |
* | Big Lots Inc. | 437,580 | 13,797 |
KAR Auction Services Inc. | 599,260 | 13,705 | |
* | Express Inc. | 641,992 | 13,463 |
* | Apollo Group Inc. Class A | 754,133 | 13,363 |
Meredith Corp. | 271,717 | 12,961 | |
Wendy's Co. | 2,178,634 | 12,701 | |
* | Acxiom Corp. | 555,628 | 12,602 |
DeVry Inc. | 398,088 | 12,349 | |
Dolby Laboratories Inc. Class A | 368,831 | 12,337 | |
* | JetBlue Airways Corp. | 1,897,575 | 11,955 |
Buckle Inc. | 229,444 | 11,936 | |
American Eagle Outfitters Inc. | 647,902 | 11,831 | |
Regal Entertainment Group Class A | 627,397 | 11,230 | |
Hillenbrand Inc. | 472,156 | 11,195 | |
Group 1 Automotive Inc. | 173,521 | 11,163 | |
* | New York Times Co. Class A | 995,866 | 11,014 |
Belo Corp. Class A | 755,704 | 10,542 | |
* | WMS Industries Inc. | 411,784 | 10,505 |
Chemed Corp. | 141,898 | 10,278 | |
Weight Watchers International Inc. | 221,185 | 10,174 | |
* | SUPERVALU Inc. | 1,631,951 | 10,151 |
Penske Automotive Group Inc. | 321,671 | 9,824 | |
Bob Evans Farms Inc. | 206,134 | 9,684 | |
* | Asbury Automotive Group Inc. | 234,337 | 9,397 |
* | Children's Place Retail Stores Inc. | 169,579 | 9,293 |
Lithia Motors Inc. Class A | 172,817 | 9,213 | |
DineEquity Inc. | 130,269 | 8,972 | |
* | Office Depot Inc. | 2,285,194 | 8,844 |
* | Starz | 396,857 | 8,770 |
* | Pinnacle Entertainment Inc. | 439,059 | 8,636 |
* | Aeropostale Inc. | 622,675 | 8,593 |
Choice Hotels International Inc. | 208,351 | 8,269 | |
* | Ascent Capital Group Inc. Class A | 101,081 | 7,891 |
Matthews International Corp. Class A | 208,181 | 7,848 | |
Stewart Enterprises Inc. Class A | 585,709 | 7,667 | |
* | Hyatt Hotels Corp. Class A | 182,179 | 7,353 |
National CineMedia Inc. | 428,978 | 7,245 | |
Valassis Communications Inc. | 292,794 | 7,200 | |
Brown Shoe Co. Inc. | 326,152 | 7,022 | |
OfficeMax Inc. | 654,420 | 6,695 | |
International Speedway Corp. Class A | 209,076 | 6,580 | |
* | DreamWorks Animation SKG Inc. Class A | 255,555 | 6,557 |
Ameristar Casinos Inc. | 249,213 | 6,552 |
39
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Susser Holdings Corp. | 134,118 | 6,422 |
AMERCO | 38,986 | 6,312 | |
* | Sonic Corp. | 423,520 | 6,166 |
Scholastic Corp. | 204,116 | 5,979 | |
Regis Corp. | 359,878 | 5,909 | |
Sonic Automotive Inc. Class A | 276,292 | 5,841 | |
Stage Stores Inc. | 246,384 | 5,790 | |
* | Rush Enterprises Inc. Class A | 227,574 | 5,632 |
* | Steiner Leisure Ltd. | 104,855 | 5,543 |
CEC Entertainment Inc. | 134,185 | 5,507 | |
Cato Corp. Class A | 218,597 | 5,456 | |
SkyWest Inc. | 391,357 | 5,299 | |
* | Pep Boys-Manny Moe & Jack | 401,424 | 4,648 |
* | Barnes & Noble Inc. | 284,688 | 4,544 |
^,* | ITT Educational Services Inc. | 185,576 | 4,528 |
Fred's Inc. Class A | 276,472 | 4,283 | |
Churchill Downs Inc. | 53,579 | 4,225 | |
^,* | Caesars Entertainment Corp. | 298,863 | 4,094 |
* | Ruby Tuesday Inc. | 434,691 | 4,012 |
Strayer Education Inc. | 81,013 | 3,956 | |
* | Biglari Holdings Inc. | 9,593 | 3,937 |
Weis Markets Inc. | 85,582 | 3,857 | |
Harte-Hanks Inc. | 420,803 | 3,619 | |
* | Capella Education Co. | 83,728 | 3,487 |
* | Sears Hometown and Outlet Stores Inc. | 64,590 | 2,824 |
* | Boyd Gaming Corp. | 222,420 | 2,513 |
* | Clear Channel Outdoor Holdings Inc. Class A | 319,052 | 2,380 |
^,* | RadioShack Corp. | 743,004 | 2,348 |
* | QuinStreet Inc. | 218,736 | 1,888 |
* | Bridgepoint Education Inc. | 148,627 | 1,810 |
Speedway Motorsports Inc. | 97,510 | 1,697 | |
* | Rush Enterprises Inc. Class B | 72,102 | 1,552 |
* | Avid Technology Inc. | 244,816 | 1,439 |
* | hhgregg Inc. | 86,448 | 1,381 |
* | RealNetworks Inc. | 166,474 | 1,258 |
* | Education Management Corp. | 146,933 | 826 |
* | Career Education Corp. | 224,334 | 651 |
1,208,946 | |||
Financials (29.6%) | |||
* | Genworth Financial Inc. Class A | 3,908,978 | 44,601 |
Arthur J Gallagher & Co. | 1,002,317 | 43,791 | |
Fidelity National Financial Inc. Class A | 1,714,192 | 40,815 | |
Senior Housing Properties Trust | 1,491,025 | 38,662 | |
Liberty Property Trust | 953,335 | 35,235 | |
Apartment Investment & Management Co. Class A | 1,156,759 | 34,749 | |
HCC Insurance Holdings Inc. | 794,557 | 34,253 | |
Eaton Vance Corp. | 909,164 | 34,175 | |
Starwood Property Trust Inc. | 1,317,482 | 32,608 | |
National Retail Properties Inc. | 944,690 | 32,497 | |
Corrections Corp. of America | 913,389 | 30,936 | |
Assured Guaranty Ltd. | 1,354,141 | 29,872 | |
East West Bancorp Inc. | 1,079,685 | 29,691 | |
Two Harbors Investment Corp. | 2,895,894 | 29,683 | |
American Financial Group Inc. | 605,956 | 29,637 | |
Brown & Brown Inc. | 913,568 | 29,453 | |
Hospitality Properties Trust | 1,107,914 | 29,116 | |
RenaissanceRe Holdings Ltd. | 335,311 | 29,102 | |
* | E*TRADE Financial Corp. | 2,274,208 | 28,791 |
Cullen/Frost Bankers Inc. | 428,219 | 28,592 | |
Omega Healthcare Investors Inc. | 920,992 | 28,569 | |
First Niagara Financial Group Inc. | 2,806,323 | 28,260 | |
Validus Holdings Ltd. | 744,685 | 26,898 | |
Commerce Bancshares Inc. | 611,137 | 26,621 | |
CBL & Associates Properties Inc. | 1,239,538 | 26,551 |
40
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
FirstMerit Corp. | 1,314,091 | 26,321 | |
Old Republic International Corp. | 1,955,279 | 25,164 | |
ProAssurance Corp. | 465,725 | 24,292 | |
MFA Financial Inc. | 2,864,564 | 24,206 | |
* | Alleghany Corp. | 63,068 | 24,175 |
Protective Life Corp. | 622,048 | 23,893 | |
Allied World Assurance Co. Holdings AG | 259,850 | 23,779 | |
Piedmont Office Realty Trust Inc. Class A | 1,329,370 | 23,769 | |
* | Forest City Enterprises Inc. Class A | 1,322,492 | 23,686 |
* | Popular Inc. | 777,818 | 23,591 |
Prosperity Bancshares Inc. | 454,100 | 23,518 | |
Highwoods Properties Inc. | 651,331 | 23,194 | |
City National Corp. | 364,100 | 23,073 | |
Mid-America Apartment Communities Inc. | 338,890 | 22,967 | |
CNO Financial Group Inc. | 1,673,582 | 21,690 | |
CommonWealth REIT | 938,106 | 21,689 | |
First Horizon National Corp. | 1,912,818 | 21,424 | |
Retail Properties of America Inc. | 1,450,082 | 20,707 | |
Associated Banc-Corp | 1,329,908 | 20,680 | |
^ | Federated Investors Inc. Class B | 747,818 | 20,498 |
Hancock Holding Co. | 673,187 | 20,243 | |
Aspen Insurance Holdings Ltd. | 525,607 | 19,495 | |
Hatteras Financial Corp. | 783,762 | 19,312 | |
Geo Group Inc. | 567,779 | 19,276 | |
Susquehanna Bancshares Inc. | 1,478,632 | 19,000 | |
EPR Properties | 373,068 | 18,754 | |
Webster Financial Corp. | 715,811 | 18,382 | |
First American Financial Corp. | 815,023 | 17,963 | |
Bank of Hawaii Corp. | 355,686 | 17,898 | |
Invesco Mortgage Capital Inc. | 1,072,297 | 17,757 | |
Fulton Financial Corp. | 1,543,660 | 17,721 | |
Synovus Financial Corp. | 5,976,799 | 17,452 | |
StanCorp Financial Group Inc. | 351,108 | 17,348 | |
Corporate Office Properties Trust | 678,519 | 17,302 | |
Hanover Insurance Group Inc. | 348,207 | 17,038 | |
White Mountains Insurance Group Ltd. | 29,382 | 16,893 | |
Brandywine Realty Trust | 1,241,614 | 16,787 | |
Primerica Inc. | 447,576 | 16,757 | |
TCF Financial Corp. | 1,169,221 | 16,580 | |
DCT Industrial Trust Inc. | 2,310,650 | 16,521 | |
* | MGIC Investment Corp. | 2,678,571 | 16,259 |
Erie Indemnity Co. Class A | 203,236 | 16,196 | |
UMB Financial Corp. | 289,382 | 16,110 | |
Radian Group Inc. | 1,370,951 | 15,930 | |
American National Insurance Co. | 159,963 | 15,912 | |
Endurance Specialty Holdings Ltd. | 307,557 | 15,824 | |
Washington Federal Inc. | 824,293 | 15,563 | |
Assurant Inc. | 304,590 | 15,507 | |
Mack-Cali Realty Corp. | 627,637 | 15,371 | |
* | MBIA Inc. | 1,147,838 | 15,278 |
Colonial Properties Trust | 633,385 | 15,277 | |
DiamondRock Hospitality Co. | 1,546,294 | 14,411 | |
NorthStar Realty Finance Corp. | 1,568,537 | 14,274 | |
Valley National Bancorp | 1,497,545 | 14,182 | |
ARMOUR Residential REIT Inc. | 2,959,852 | 13,941 | |
FNB Corp. | 1,147,402 | 13,861 | |
CapitalSource Inc. | 1,473,486 | 13,821 | |
Platinum Underwriters Holdings Ltd. | 238,709 | 13,659 | |
BankUnited Inc. | 516,742 | 13,440 | |
Umpqua Holdings Corp. | 885,886 | 13,297 | |
Home Loan Servicing Solutions Ltd. | 552,726 | 13,249 | |
First Financial Bankshares Inc. | 237,087 | 13,196 | |
Potlatch Corp. | 320,375 | 12,956 | |
Capitol Federal Financial Inc. | 1,060,719 | 12,877 |
41
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
EastGroup Properties Inc. | 227,453 | 12,799 | |
Symetra Financial Corp. | 799,112 | 12,778 | |
CYS Investments Inc. | 1,381,488 | 12,724 | |
First Industrial Realty Trust Inc. | 807,920 | 12,256 | |
Chimera Investment Corp. | 4,065,240 | 12,196 | |
Glacier Bancorp Inc. | 541,391 | 12,013 | |
Iberiabank Corp. | 223,184 | 11,965 | |
Newcastle Investment Corp. | 2,278,989 | 11,919 | |
Kemper Corp. | 344,518 | 11,800 | |
RLI Corp. | 151,592 | 11,583 | |
* | St. Joe Co. | 547,658 | 11,528 |
Cathay General Bancorp | 561,695 | 11,431 | |
BancorpSouth Inc. | 640,217 | 11,332 | |
* | Liberty Ventures Class A | 132,924 | 11,300 |
EverBank Financial Corp. | 677,088 | 11,213 | |
PrivateBancorp Inc. | 527,719 | 11,193 | |
Old National Bancorp | 802,128 | 11,093 | |
Redwood Trust Inc. | 649,889 | 11,048 | |
MB Financial Inc. | 411,934 | 11,040 | |
Bank of the Ozarks Inc. | 251,827 | 10,912 | |
Government Properties Income Trust | 432,634 | 10,911 | |
Acadia Realty Trust | 435,874 | 10,762 | |
Wintrust Financial Corp. | 278,506 | 10,661 | |
LTC Properties Inc. | 270,770 | 10,574 | |
Trustmark Corp. | 425,224 | 10,452 | |
BOK Financial Corp. | 163,126 | 10,448 | |
Cash America International Inc. | 225,874 | 10,268 | |
Janus Capital Group Inc. | 1,201,957 | 10,229 | |
National Health Investors Inc. | 165,478 | 9,906 | |
Healthcare Trust of America Inc. Class A | 881,793 | 9,903 | |
Columbia Banking System Inc. | 403,895 | 9,617 | |
International Bancshares Corp. | 425,428 | 9,606 | |
Mercury General Corp. | 217,352 | 9,555 | |
Spirit Realty Capital Inc. | 537,096 | 9,517 | |
United Bankshares Inc. | 358,643 | 9,486 | |
Pennsylvania REIT | 500,098 | 9,442 | |
National Penn Bancshares Inc. | 921,733 | 9,365 | |
Community Bank System Inc. | 300,811 | 9,280 | |
Westamerica Bancorporation | 202,938 | 9,272 | |
Home BancShares Inc. | 356,080 | 9,247 | |
Franklin Street Properties Corp. | 697,622 | 9,209 | |
Capstead Mortgage Corp. | 756,340 | 9,152 | |
Argo Group International Holdings Ltd. | 215,128 | 9,119 | |
Northwest Bancshares Inc. | 667,749 | 9,021 | |
Montpelier Re Holdings Ltd. | 359,383 | 8,988 | |
PacWest Bancorp | 291,396 | 8,931 | |
Tower Group International Ltd. | 431,909 | 8,858 | |
PennyMac Mortgage Investment Trust | 420,217 | 8,846 | |
Cousins Properties Inc. | 859,378 | 8,680 | |
* | First BanCorp | 1,224,178 | 8,667 |
American Capital Mortgage Investment Corp. | 466,614 | 8,385 | |
CVB Financial Corp. | 706,160 | 8,304 | |
American Assets Trust Inc. | 267,189 | 8,245 | |
First Citizens BancShares Inc.Class A | 40,817 | 7,839 | |
First Midwest Bancorp Inc. | 565,968 | 7,765 | |
Horace Mann Educators Corp. | 315,028 | 7,680 | |
* | National Financial Partners Corp. | 302,504 | 7,656 |
Amtrust Financial Services Inc. | 214,049 | 7,642 | |
* | Knight Capital Group Inc. Class A | 2,124,848 | 7,628 |
American Equity Investment Life Holding Co. | 482,658 | 7,578 | |
* | Enstar Group Ltd. | 55,188 | 7,339 |
Astoria Financial Corp. | 667,355 | 7,194 | |
NBT Bancorp Inc. | 330,257 | 6,992 | |
* | iStar Financial Inc. | 607,585 | 6,860 |
42
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Ashford Hospitality Trust Inc. | 598,145 | 6,849 | |
Inland Real Estate Corp. | 669,145 | 6,839 | |
* | Alexander & Baldwin Inc. | 170,919 | 6,794 |
* | Pinnacle Financial Partners Inc. | 264,188 | 6,792 |
New Residential Investment Corp. | 1,004,250 | 6,769 | |
Provident Financial Services Inc. | 426,406 | 6,729 | |
Associated Estates Realty Corp. | 407,131 | 6,547 | |
OFG Bancorp | 361,316 | 6,543 | |
* | Ezcorp Inc. Class A | 386,199 | 6,519 |
First Financial Bancorp | 436,271 | 6,500 | |
SCBT Financial Corp. | 128,465 | 6,473 | |
Sterling Financial Corp. | 271,981 | 6,468 | |
Anworth Mortgage Asset Corp. | 1,141,255 | 6,391 | |
* | World Acceptance Corp. | 73,506 | 6,391 |
Boston Private Financial Holdings Inc. | 596,539 | 6,347 | |
Park National Corp. | 91,785 | 6,314 | |
Select Income REIT | 217,455 | 6,097 | |
Nelnet Inc. Class A | 166,771 | 6,019 | |
Independent Bank Corp. | 171,220 | 5,907 | |
Resource Capital Corp. | 957,676 | 5,890 | |
WesBanco Inc. | 220,427 | 5,826 | |
Interactive Brokers Group Inc. | 358,322 | 5,722 | |
* | Central Pacific Financial Corp. | 316,313 | 5,694 |
First Potomac Realty Trust | 435,802 | 5,692 | |
Chemical Financial Corp. | 218,668 | 5,683 | |
* | Greenlight Capital Re Ltd. Class A | 230,611 | 5,657 |
BGC Partners Inc. Class A | 951,718 | 5,606 | |
Parkway Properties Inc. | 327,622 | 5,491 | |
First Commonwealth Financial Corp. | 738,475 | 5,443 | |
Safety Insurance Group Inc. | 110,472 | 5,359 | |
Berkshire Hills Bancorp Inc. | 189,253 | 5,254 | |
* | Forestar Group Inc. | 261,404 | 5,244 |
Infinity Property & Casualty Corp. | 86,966 | 5,197 | |
Banner Corp. | 153,520 | 5,187 | |
* | Navigators Group Inc. | 89,626 | 5,112 |
Oritani Financial Corp. | 305,573 | 4,791 | |
Selective Insurance Group Inc. | 207,791 | 4,783 | |
City Holding Co. | 117,938 | 4,594 | |
Brookline Bancorp Inc. | 525,117 | 4,558 | |
Maiden Holdings Ltd. | 401,850 | 4,509 | |
S&T Bancorp Inc. | 224,335 | 4,397 | |
* | DFC Global Corp. | 304,816 | 4,210 |
BBCN Bancorp Inc. | 295,929 | 4,208 | |
AG Mortgage Investment Trust Inc. | 221,377 | 4,164 | |
* | Hilltop Holdings Inc. | 250,138 | 4,102 |
* | Piper Jaffray Cos. | 129,294 | 4,087 |
Getty Realty Corp. | 197,406 | 4,076 | |
Chesapeake Lodging Trust | 191,236 | 3,976 | |
* | Investment Technology Group Inc. | 280,238 | 3,918 |
Saul Centers Inc. | 87,230 | 3,878 | |
Tompkins Financial Corp. | 85,492 | 3,863 | |
State Bank Financial Corp. | 241,008 | 3,622 | |
FXCM Inc. Class A | 220,469 | 3,618 | |
* | Green Dot Corp. Class A | 179,351 | 3,578 |
United Fire Group Inc. | 140,729 | 3,494 | |
Dime Community Bancshares Inc. | 227,385 | 3,484 | |
FBL Financial Group Inc. Class A | 77,891 | 3,389 | |
National Western Life Insurance Co. Class A | 17,800 | 3,379 | |
Urstadt Biddle Properties Inc. Class A | 166,139 | 3,351 | |
Rouse Properties Inc. | 156,481 | 3,070 | |
Meadowbrook Insurance Group Inc. | 376,920 | 3,027 | |
Employers Holdings Inc. | 121,853 | 2,979 | |
OneBeacon Insurance Group Ltd. Class A | 178,623 | 2,586 | |
Bancfirst Corp. | 47,932 | 2,231 |
43
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
GFI Group Inc. | 565,497 | 2,211 | |
Silver Bay Realty Trust Corp. | 131,089 | 2,171 | |
* | Walker & Dunlop Inc. | 123,415 | 2,160 |
* | Flagstar Bancorp Inc. | 153,693 | 2,146 |
* | Beneficial Mutual Bancorp Inc. | 249,386 | 2,095 |
State Auto Financial Corp. | 111,183 | 2,020 | |
* | TESARO Inc. | 58,481 | 1,915 |
* | Capital Bank Financial Corp. | 88,249 | 1,676 |
* | Kearny Financial Corp. | 104,962 | 1,101 |
Urstadt Biddle Properties Inc. | 41,864 | 751 | |
2,943,059 | |||
Health Care (6.2%) | |||
* | Tenet Healthcare Corp. | 820,551 | 37,827 |
Warner Chilcott plc Class A | 1,790,345 | 35,592 | |
* | Covance Inc. | 441,919 | 33,648 |
Community Health Systems Inc. | 709,929 | 33,281 | |
* | Health Management Associates Inc. Class A | 1,953,286 | 30,706 |
Teleflex Inc. | 326,039 | 25,265 | |
* | Team Health Holdings Inc. | 544,734 | 22,372 |
* | WellCare Health Plans Inc. | 344,695 | 19,148 |
* | Health Net Inc. | 597,817 | 19,023 |
STERIS Corp. | 442,946 | 18,994 | |
* | HealthSouth Corp. | 657,111 | 18,925 |
West Pharmaceutical Services Inc. | 259,915 | 18,262 | |
* | Bio-Rad Laboratories Inc. Class A | 157,608 | 17,684 |
* | LifePoint Hospitals Inc. | 357,033 | 17,437 |
Owens & Minor Inc. | 502,236 | 16,991 | |
* | Endo Health Solutions Inc. | 445,121 | 16,376 |
* | Charles River Laboratories International Inc. | 388,918 | 15,957 |
Hill-Rom Holdings Inc. | 472,759 | 15,922 | |
* | Alere Inc. | 610,915 | 14,967 |
* | Alnylam Pharmaceuticals Inc. | 418,190 | 12,968 |
* | Magellan Health Services Inc. | 214,293 | 12,018 |
* | Prestige Brands Holdings Inc. | 404,776 | 11,795 |
* | Wright Medical Group Inc. | 369,614 | 9,688 |
* | Puma Biotechnology Inc. | 192,930 | 8,560 |
^ | PDL BioPharma Inc. | 1,108,092 | 8,554 |
* | Amsurg Corp. Class A | 241,226 | 8,467 |
* | Hanger Inc. | 260,740 | 8,247 |
* | Molina Healthcare Inc. | 216,254 | 8,040 |
* | Clovis Oncology Inc. | 105,731 | 7,082 |
CONMED Corp. | 220,202 | 6,879 | |
* | InterMune Inc. | 647,960 | 6,233 |
* | Aegerion Pharmaceuticals Inc. | 97,269 | 6,161 |
* | Integra LifeSciences Holdings Corp. | 167,157 | 6,123 |
* | Infinity Pharmaceuticals Inc. | 360,803 | 5,863 |
* | Kindred Healthcare Inc. | 407,640 | 5,352 |
* | Achillion Pharmaceuticals Inc. | 651,784 | 5,332 |
* | Vanguard Health Systems Inc. | 247,292 | 5,129 |
* | Synageva BioPharma Corp. | 108,061 | 4,539 |
* | Healthways Inc. | 256,245 | 4,454 |
* | Orthofix International NV | 154,168 | 4,147 |
Select Medical Holdings Corp. | 497,528 | 4,080 | |
* | Lexicon Pharmaceuticals Inc. | 1,834,493 | 3,981 |
Invacare Corp. | 230,372 | 3,308 | |
National Healthcare Corp. | 66,512 | 3,179 | |
* | Synergy Pharmaceuticals Inc. | 637,981 | 2,756 |
* | Amedisys Inc. | 234,520 | 2,725 |
Universal American Corp. | 306,424 | 2,724 | |
* | Gentiva Health Services Inc. | 236,696 | 2,357 |
* | Rigel Pharmaceuticals Inc. | 683,917 | 2,284 |
44
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | LHC Group Inc. | 96,866 | 1,897 |
* | Wright Medical Group Inc. Rights Exp. 12/31/2049 | 71,097 | 193 |
613,492 | |||
Industrials (21.2%) | |||
Towers Watson & Co. Class A | 515,563 | 42,245 | |
Valspar Corp. | 627,036 | 40,550 | |
* | Flextronics International Ltd. | 4,960,082 | 38,391 |
Packaging Corp. of America | 777,385 | 38,061 | |
Lincoln Electric Holdings Inc. | 656,942 | 37,623 | |
* | United Rentals Inc. | 747,119 | 37,289 |
IDEX Corp. | 651,981 | 35,083 | |
Total System Services Inc. | 1,334,391 | 32,666 | |
Bemis Co. Inc. | 815,795 | 31,930 | |
Carlisle Cos. Inc. | 504,155 | 31,414 | |
PerkinElmer Inc. | 887,508 | 28,844 | |
Rock Tenn Co. Class A | 285,291 | 28,495 | |
URS Corp. | 601,772 | 28,416 | |
Global Payments Inc. | 604,490 | 28,000 | |
Sonoco Products Co. | 802,670 | 27,748 | |
Aptargroup Inc. | 502,408 | 27,738 | |
Babcock & Wilcox Co. | 889,706 | 26,718 | |
* | Oshkosh Corp. | 697,678 | 26,491 |
Broadridge Financial Solutions Inc. | 961,234 | 25,550 | |
Ryder System Inc. | 411,748 | 25,030 | |
* | AECOM Technology Corp. | 774,526 | 24,622 |
Kennametal Inc. | 624,384 | 24,245 | |
Trinity Industries Inc. | 628,042 | 24,142 | |
* | WESCO International Inc. | 349,800 | 23,772 |
Lennox International Inc. | 359,645 | 23,212 | |
Huntington Ingalls Industries Inc. | 396,642 | 22,402 | |
* | Terex Corp. | 837,700 | 22,032 |
Crane Co. | 366,895 | 21,984 | |
World Fuel Services Corp. | 545,717 | 21,818 | |
* | Teledyne Technologies Inc. | 281,516 | 21,775 |
Alliant Techsystems Inc. | 254,576 | 20,959 | |
ITT Corp. | 711,127 | 20,914 | |
Lender Processing Services Inc. | 642,105 | 20,772 | |
EnerSys Inc. | 422,350 | 20,712 | |
Exelis Inc. | 1,491,868 | 20,573 | |
EMCOR Group Inc. | 505,599 | 20,553 | |
* | Spirit Aerosystems Holdings Inc. Class A | 948,947 | 20,383 |
^ | RR Donnelley & Sons Co. | 1,438,415 | 20,152 |
Waste Connections Inc. | 464,944 | 19,128 | |
Manitowoc Co. Inc. | 1,058,652 | 18,961 | |
* | Owens-Illinois Inc. | 652,267 | 18,127 |
Covanta Holding Corp. | 881,777 | 17,653 | |
GATX Corp. | 371,150 | 17,604 | |
Con-way Inc. | 446,811 | 17,408 | |
Belden Inc. | 348,364 | 17,394 | |
* | Foster Wheeler AG | 794,182 | 17,242 |
Actuant Corp. Class A | 522,348 | 17,222 | |
Generac Holdings Inc. | 461,055 | 17,064 | |
* | Moog Inc. Class A | 329,182 | 16,963 |
* | USG Corp. | 731,382 | 16,858 |
* | CoreLogic Inc. | 719,509 | 16,671 |
Silgan Holdings Inc. | 353,914 | 16,620 | |
* | Esterline Technologies Corp. | 223,301 | 16,142 |
* | Anixter International Inc. | 206,344 | 15,643 |
Harsco Corp. | 638,236 | 14,801 | |
Gardner Denver Inc. | 194,658 | 14,634 | |
Applied Industrial Technologies Inc. | 300,075 | 14,503 | |
* | Vishay Intertechnology Inc. | 1,042,795 | 14,484 |
Deluxe Corp. | 402,436 | 13,944 | |
Littelfuse Inc. | 174,968 | 13,054 |
45
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Convergys Corp. | 748,156 | 13,040 | |
Market | |||
Value | |||
Shares | ($000) | ||
UTi Worldwide Inc. | 785,679 | 12,940 | |
Greif Inc. Class A | 244,893 | 12,899 | |
* | Graphic Packaging Holding Co. | 1,649,714 | 12,769 |
* | Itron Inc. | 297,154 | 12,608 |
Curtiss-Wright Corp. | 333,514 | 12,360 | |
* | Tetra Tech Inc. | 513,790 | 12,079 |
* | Euronet Worldwide Inc. | 374,761 | 11,940 |
TAL International Group Inc. | 267,797 | 11,668 | |
Mine Safety Appliances Co. | 249,818 | 11,629 | |
General Cable Corp. | 374,099 | 11,504 | |
Brady Corp. Class A | 361,852 | 11,120 | |
* | Texas Industries Inc. | 168,774 | 10,994 |
Regal-Beloit Corp. | 169,106 | 10,965 | |
* | Mobile Mini Inc. | 328,965 | 10,905 |
* | Swift Transportation Co. | 656,818 | 10,864 |
Barnes Group Inc. | 361,547 | 10,843 | |
UniFirst Corp. | 113,755 | 10,380 | |
United Stationers Inc. | 304,927 | 10,230 | |
* | Armstrong World Industries Inc. | 210,657 | 10,067 |
* | FTI Consulting Inc. | 303,023 | 9,966 |
* | Berry Plastics Group Inc. | 450,314 | 9,938 |
Watts Water Technologies Inc. Class A | 216,321 | 9,808 | |
Brink's Co. | 379,554 | 9,682 | |
* | PHH Corp. | 451,906 | 9,210 |
ABM Industries Inc. | 368,234 | 9,025 | |
* | Atlas Air Worldwide Holdings Inc. | 204,492 | 8,949 |
* | Sanmina Corp. | 622,536 | 8,933 |
* | Benchmark Electronics Inc. | 430,375 | 8,651 |
Matson Inc. | 337,887 | 8,447 | |
Werner Enterprises Inc. | 348,050 | 8,412 | |
* | EnPro Industries Inc. | 165,289 | 8,390 |
Granite Construction Inc. | 277,241 | 8,251 | |
* | Orbital Sciences Corp. | 474,915 | 8,249 |
Aircastle Ltd. | 514,802 | 8,232 | |
Otter Tail Corp. | 287,862 | 8,175 | |
* | Louisiana-Pacific Corp. | 551,579 | 8,158 |
* | Plexus Corp. | 270,652 | 8,090 |
Knight Transportation Inc. | 474,517 | 7,981 | |
Albany International Corp. | 225,066 | 7,423 | |
Kaman Corp. | 214,594 | 7,416 | |
* | Korn/Ferry International | 385,509 | 7,224 |
Cubic Corp. | 148,586 | 7,147 | |
MTS Systems Corp. | 125,571 | 7,107 | |
CIRCOR International Inc. | 139,463 | 7,093 | |
Kaydon Corp. | 255,627 | 7,043 | |
G&K Services Inc. Class A | 147,486 | 7,020 | |
Textainer Group Holdings Ltd. | 177,362 | 6,818 | |
* | GrafTech International Ltd. | 910,087 | 6,625 |
AAR Corp. | 298,932 | 6,571 | |
McGrath RentCorp | 190,047 | 6,492 | |
ESCO Technologies Inc. | 199,423 | 6,457 | |
* | TrueBlue Inc. | 303,722 | 6,393 |
* | Wesco Aircraft Holdings Inc. | 335,177 | 6,224 |
* | Greatbatch Inc. | 189,802 | 6,224 |
Universal Forest Products Inc. | 149,916 | 5,985 | |
Booz Allen Hamilton Holding Corp. | 324,775 | 5,645 | |
* | Rofin-Sinar Technologies Inc. | 224,548 | 5,600 |
Altra Holdings Inc. | 203,733 | 5,578 | |
Insperity Inc. | 182,496 | 5,530 | |
* | Tutor Perini Corp. | 302,274 | 5,468 |
* | Meritor Inc. | 773,758 | 5,455 |
Standex International Corp. | 100,940 | 5,325 | |
* | Power-One Inc. | 827,188 | 5,228 |
46
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
* | Rexnord Corp. | 309,103 | 5,208 |
Market | |||
Value | |||
Shares | ($000) | ||
Apogee Enterprises Inc. | 216,883 | 5,205 | |
Heartland Express Inc. | 370,261 | 5,136 | |
Encore Wire Corp. | 147,716 | 5,037 | |
H&E Equipment Services Inc. | 237,338 | 5,001 | |
* | Sykes Enterprises Inc. | 316,395 | 4,986 |
ManTech International Corp. Class A | 190,028 | 4,964 | |
Astec Industries Inc. | 144,223 | 4,945 | |
AAON Inc. | 145,886 | 4,826 | |
* | Navigant Consulting Inc. | 400,601 | 4,807 |
Quad/Graphics Inc. | 199,352 | 4,804 | |
* | Greenbrier Cos. Inc. | 194,604 | 4,743 |
AVX Corp. | 401,642 | 4,719 | |
John Bean Technologies Corp. | 216,756 | 4,554 | |
Arkansas Best Corp. | 193,659 | 4,445 | |
Materion Corp. | 161,833 | 4,384 | |
* | Checkpoint Systems Inc. | 308,917 | 4,384 |
Schnitzer Steel Industries Inc. | 185,172 | 4,329 | |
* | Nortek Inc. | 67,149 | 4,326 |
Mueller Water Products Inc. Class A | 621,834 | 4,297 | |
* | Monster Worldwide Inc. | 872,492 | 4,284 |
Comfort Systems USA Inc. | 281,061 | 4,193 | |
* | Newport Corp. | 292,152 | 4,070 |
* | TeleTech Holdings Inc. | 164,631 | 3,857 |
Kelly Services Inc. Class A | 214,498 | 3,747 | |
* | TTM Technologies Inc. | 426,738 | 3,585 |
Resources Connection Inc. | 308,095 | 3,574 | |
American Science & Engineering Inc. | 62,025 | 3,473 | |
* | CAI International Inc. | 140,904 | 3,321 |
Black Box Corp. | 128,342 | 3,250 | |
Kforce Inc. | 219,665 | 3,207 | |
* | Consolidated Graphics Inc. | 65,140 | 3,062 |
* | Layne Christensen Co. | 148,460 | 2,897 |
* | Air Transport Services Group Inc. | 407,172 | 2,691 |
* | Boise Cascade Co. | 102,210 | 2,597 |
Hyster-Yale Materials Handling Inc. | 31,876 | 2,002 | |
* | Dice Holdings Inc. | 164,327 | 1,514 |
* | Kemet Corp. | 257,286 | 1,058 |
* | Aeroflex Holding Corp. | 133,377 | 1,052 |
* | Multi-Fineline Electronix Inc. | 64,644 | 957 |
* | Viasystems Group Inc. | 32,603 | 376 |
* | Swisher Hygiene Inc. | 224,154 | 193 |
Greif Inc. Class B | 74 | 4 | |
2,106,930 | |||
Oil & Gas (3.8%) | |||
* | Superior Energy Services Inc. | 1,265,037 | 32,815 |
* | WPX Energy Inc. | 1,587,520 | 30,068 |
* | First Solar Inc. | 534,449 | 23,906 |
Patterson-UTI Energy Inc. | 1,103,064 | 21,350 | |
* | MRC Global Inc. | 766,067 | 21,159 |
Targa Resources Corp. | 302,099 | 19,434 | |
Bristow Group Inc. | 285,999 | 18,681 | |
* | Helix Energy Solutions Group Inc. | 798,105 | 18,388 |
* | Unit Corp. | 389,345 | 16,578 |
* | Exterran Holdings Inc. | 467,715 | 13,152 |
* | Newfield Exploration Co. | 535,883 | 12,802 |
SEACOR Holdings Inc. | 151,238 | 12,560 | |
Western Refining Inc. | 426,133 | 11,962 | |
* | Ultra Petroleum Corp. | 574,822 | 11,393 |
* | Stone Energy Corp. | 375,758 | 8,278 |
Delek US Holdings Inc. | 285,182 | 8,208 | |
^ | PBF Energy Inc. Class A | 313,998 | 8,133 |
* | McDermott International Inc. | 938,276 | 7,675 |
* | Newpark Resources Inc. | 683,768 | 7,515 |
47
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
EXCO Resources Inc. | 949,593 | 7,255 | |
Market | |||
Value | |||
Shares | ($000) | ||
* | Hercules Offshore Inc. | 1,012,582 | 7,129 |
Crosstex Energy Inc. | 320,401 | 6,331 | |
* | Key Energy Services Inc. | 1,027,784 | 6,115 |
* | TETRA Technologies Inc. | 590,327 | 6,057 |
* | Parker Drilling Co. | 898,932 | 4,477 |
* | Basic Energy Services Inc. | 317,986 | 3,844 |
* | Forest Oil Corp. | 939,820 | 3,844 |
W&T Offshore Inc. | 266,173 | 3,804 | |
* | GT Advanced Technologies Inc. | 901,471 | 3,741 |
Contango Oil & Gas Co. | 108,722 | 3,669 | |
* | Tesco Corp. | 245,627 | 3,255 |
* | Pioneer Energy Services Corp. | 469,706 | 3,109 |
Alon USA Energy Inc. | 174,555 | 2,524 | |
* | Penn Virginia Corp. | 441,569 | 2,075 |
* | Clayton Williams Energy Inc. | 47,686 | 2,074 |
* | Willbros Group Inc. | 312,932 | 1,921 |
* | Harvest Natural Resources Inc. | 107,698 | 334 |
375,615 | |||
Other (0.0%) | |||
* | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 62,138 | 59 |
* | Federal-Mogul Corp. Rights 07/09/13 | 154,217 | 34 |
93 | |||
Technology (6.0%) | |||
* | NCR Corp. | 1,303,314 | 42,996 |
^ | Pitney Bowes Inc. | 1,597,557 | 23,452 |
* | Ingram Micro Inc. | 1,205,283 | 22,888 |
AOL Inc. | 583,425 | 21,283 | |
* | Brocade Communications Systems Inc. | 3,519,035 | 20,270 |
^,* | Advanced Micro Devices Inc. | 4,815,875 | 19,649 |
* | Rovi Corp. | 820,224 | 18,734 |
Diebold Inc. | 503,607 | 16,967 | |
* | Microsemi Corp. | 735,058 | 16,723 |
Compuware Corp. | 1,608,026 | 16,643 | |
DST Systems Inc. | 243,212 | 15,889 | |
* | Verint Systems Inc. | 434,917 | 15,427 |
Lexmark International Inc. Class A | 499,757 | 15,278 | |
j2 Global Inc. | 345,239 | 14,676 | |
* | VeriFone Systems Inc. | 858,651 | 14,434 |
* | ON Semiconductor Corp. | 1,783,131 | 14,408 |
* | Polycom Inc. | 1,364,916 | 14,386 |
* | Tech Data Corp. | 298,838 | 14,072 |
* | Fairchild Semiconductor International Inc. Class A | 1,006,524 | 13,890 |
* | SunEdison Inc. | 1,650,659 | 13,486 |
* | EchoStar Corp. Class A | 323,851 | 12,666 |
* | ARRIS Group Inc. | 872,222 | 12,516 |
* | CACI International Inc. Class A | 182,561 | 11,591 |
Cypress Semiconductor Corp. | 1,047,168 | 11,236 | |
ADTRAN Inc. | 445,619 | 10,967 | |
* | PMC - Sierra Inc. | 1,614,649 | 10,253 |
* | Synaptics Inc. | 257,128 | 9,915 |
* | Progress Software Corp. | 414,641 | 9,541 |
* | SYNNEX Corp. | 206,744 | 8,741 |
* | Integrated Device Technology Inc. | 1,051,050 | 8,345 |
Intersil Corp. Class A | 1,006,771 | 7,873 | |
* | Unisys Corp. | 350,253 | 7,730 |
* | ScanSource Inc. | 220,763 | 7,064 |
* | QLogic Corp. | 706,775 | 6,757 |
* | Insight Enterprises Inc. | 345,565 | 6,130 |
Loral Space & Communications Inc. | 101,299 | 6,076 | |
* | Dycom Industries Inc. | 249,461 | 5,773 |
* | Harmonic Inc. | 899,286 | 5,710 |
* | RF Micro Devices Inc. | 1,060,806 | 5,675 |
* | CSG Systems International Inc. | 255,643 | 5,547 |
48
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
United Online Inc. | 692,555 | 5,250 | |
Market | |||
Value | |||
Shares | ($000) | ||
Tellabs Inc. | 2,541,372 | 5,032 | |
* | Digital River Inc. | 263,924 | 4,954 |
* | Spansion Inc. Class A | 395,248 | 4,949 |
* | NETGEAR Inc. | 151,955 | 4,641 |
* | Emulex Corp. | 680,773 | 4,439 |
Comtech Telecommunications Corp. | 123,961 | 3,333 | |
EPIQ Systems Inc. | 241,807 | 3,257 | |
* | IntraLinks Holdings Inc. | 427,335 | 3,102 |
* | Pendrell Corp. | 1,178,810 | 3,089 |
Micrel Inc. | 299,101 | 2,955 | |
* | FormFactor Inc. | 429,032 | 2,896 |
* | Cabot Microelectronics Corp. | 87,163 | 2,877 |
* | Lattice Semiconductor Corp. | 453,822 | 2,301 |
* | Mercury Systems Inc. | 241,178 | 2,224 |
* | Amkor Technology Inc. | 484,836 | 2,041 |
* | Volterra Semiconductor Corp. | 97,685 | 1,379 |
* | STEC Inc. | 147,506 | 991 |
Systemax Inc. | 84,957 | 799 | |
596,166 | |||
Telecommunications (0.5%) | |||
Telephone & Data Systems Inc. | 720,298 | 17,756 | |
^,* | NII Holdings Inc. | 1,296,733 | 8,649 |
Consolidated Communications Holdings Inc. | 302,649 | 5,269 | |
* | Vonage Holdings Corp. | 1,344,415 | 3,805 |
United States Cellular Corp. | 100,009 | 3,669 | |
* | Iridium Communications Inc. | 456,614 | 3,543 |
* | Leap Wireless International Inc. | 435,459 | 2,931 |
EarthLink Inc. | 405,943 | 2,521 | |
48,143 | |||
Utilities (6.5%) | |||
NV Energy Inc. | 1,866,347 | 43,785 | |
AGL Resources Inc. | 934,571 | 40,056 | |
UGI Corp. | 902,521 | 35,298 | |
Aqua America Inc. | 1,115,819 | 34,914 | |
Questar Corp. | 1,387,915 | 33,102 | |
Westar Energy Inc. | 1,006,059 | 32,154 | |
Atmos Energy Corp. | 717,976 | 29,480 | |
Great Plains Energy Inc. | 1,218,934 | 27,475 | |
Cleco Corp. | 479,307 | 22,254 | |
Vectren Corp. | 652,373 | 22,070 | |
Piedmont Natural Gas Co. Inc. | 600,635 | 20,265 | |
Hawaiian Electric Industries Inc. | 779,525 | 19,730 | |
IDACORP Inc. | 398,390 | 19,027 | |
Portland General Electric Co. | 600,177 | 18,359 | |
WGL Holdings Inc. | 410,070 | 17,723 | |
Southwest Gas Corp. | 367,457 | 17,193 | |
Black Hills Corp. | 351,600 | 17,140 | |
* | Dynegy Inc. | 753,443 | 16,990 |
ALLETE Inc. | 316,626 | 15,784 | |
UIL Holdings Corp. | 401,149 | 15,344 | |
South Jersey Industries Inc. | 252,842 | 14,516 | |
PNM Resources Inc. | 630,192 | 13,984 | |
UNS Energy Corp. | 311,699 | 13,942 | |
New Jersey Resources Corp. | 330,607 | 13,730 | |
Avista Corp. | 474,136 | 12,811 | |
NorthWestern Corp. | 295,431 | 11,788 | |
El Paso Electric Co. | 318,235 | 11,237 | |
Laclede Group Inc. | 235,848 | 10,769 | |
MGE Energy Inc. | 182,952 | 10,018 | |
Northwest Natural Gas Co. | 213,369 | 9,064 | |
American States Water Co. | 153,106 | 8,217 | |
Empire District Electric Co. | 338,708 | 7,557 | |
California Water Service Group | 359,971 | 7,023 |
49
Vanguard® Small-Cap Value Index Fund | |||||
Schedule of Investments | |||||
June 30, 2013 | |||||
Atlantic Power Corp. | 471,910 | 1,859 | |||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Ormat Technologies Inc. | 71,477 | 1,681 | |||
646,339 | |||||
Total Common Stocks (Cost $8,566,274) | 9,889,938 | ||||
Coupon | |||||
Temporary Cash Investments (1.4%)1 | |||||
Money Market Fund (1.3%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.127% | 125,714,376 | 125,714 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
4,5 | Fannie Mae Discount Notes | 0.095% | 9/4/13 | 2,000 | 2,000 |
5,6 | Federal Home Loan Bank Discount Notes | 0.135% | 9/20/13 | 10,000 | 9,997 |
11,997 | |||||
Total Temporary Cash Investments (Cost $137,711) | 137,711 | ||||
Total Investments (100.8%) (Cost $8,703,985) | 10,027,649 | ||||
Other Assets and Liabilities—Net (-0.8%)3 | (77,040) | ||||
Net Assets (100%) | 9,950,609 |
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $46,287,000.
* 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 $49,711,000 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Securities with a value of $2,999,000 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.
50
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© 2013 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 482_082013
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Consumer Discretionary (15.7%) | |||
Las Vegas Sands Corp. | 3,122,274 | 165,262 | |
* | Liberty Media Corp. Class A | 986,377 | 125,033 |
* | Liberty Global plc Class A | 1,654,004 | 122,529 |
* | Liberty Global plc | 1,481,792 | 100,599 |
Sirius XM Radio Inc. | 27,529,010 | 92,222 | |
DISH Network Corp. Class A | 1,801,059 | 76,581 | |
Tractor Supply Co. | 614,301 | 72,248 | |
* | Charter Communications Inc. Class A | 578,856 | 71,691 |
*,^ | Tesla Motors Inc. | 641,436 | 68,909 |
* | LKQ Corp. | 2,628,542 | 67,685 |
* | TRW Automotive Holdings Corp. | 951,846 | 63,241 |
* | Mohawk Industries Inc. | 535,985 | 60,293 |
Polaris Industries Inc. | 562,662 | 53,453 | |
Advance Auto Parts Inc. | 643,744 | 52,253 | |
* | Ulta Salon Cosmetics & Fragrance Inc. | 521,217 | 52,205 |
Lear Corp. | 818,214 | 49,469 | |
* | MGM Resorts International | 3,286,599 | 48,576 |
Signet Jewelers Ltd. | 715,663 | 48,257 | |
Foot Locker Inc. | 1,326,581 | 46,603 | |
* | Panera Bread Co. Class A | 247,644 | 46,047 |
Hanesbrands Inc. | 867,380 | 44,601 | |
Dick's Sporting Goods Inc. | 885,218 | 44,314 | |
* | Toll Brothers Inc. | 1,333,330 | 43,507 |
Royal Caribbean Cruises Ltd. | 1,281,382 | 42,721 | |
Williams-Sonoma Inc. | 760,723 | 42,517 | |
* | Sally Beauty Holdings Inc. | 1,353,254 | 42,086 |
* | Under Armour Inc. Class A | 688,046 | 41,083 |
* | Jarden Corp. | 894,334 | 39,127 |
* | NVR Inc. | 41,439 | 38,207 |
Tupperware Brands Corp. | 468,004 | 36,359 | |
Service Corp. International | 1,863,332 | 33,596 | |
* | AMC Networks Inc. Class A | 511,089 | 33,430 |
Carter's Inc. | 450,917 | 33,399 | |
* | Madison Square Garden Co. Class A | 546,595 | 32,386 |
* | Penn National Gaming Inc. | 597,545 | 31,586 |
Six Flags Entertainment Corp. | 845,000 | 29,710 | |
Gentex Corp. | 1,263,898 | 29,133 | |
Domino's Pizza Inc. | 497,423 | 28,925 | |
GNC Holdings Inc. Class A | 643,849 | 28,465 | |
American Eagle Outfitters Inc. | 1,549,960 | 28,302 | |
* | Visteon Corp. | 444,549 | 28,060 |
Dunkin' Brands Group Inc. | 647,458 | 27,724 | |
* | Cabela's Inc. | 412,493 | 26,713 |
Brunswick Corp. | 796,202 | 25,439 | |
Cinemark Holdings Inc. | 900,230 | 25,134 | |
Dana Holding Corp. | 1,298,061 | 25,001 | |
Brinker International Inc. | 624,287 | 24,616 | |
Chico's FAS Inc. | 1,434,251 | 24,468 | |
* | Tenneco Inc. | 538,577 | 24,387 |
Wolverine World Wide Inc. | 441,690 | 24,121 | |
* | Fifth & Pacific Cos. Inc. | 1,055,843 | 23,588 |
* | Tempur Sealy International Inc. | 534,340 | 23,458 |
Sotheby's | 605,414 | 22,951 | |
Dillard's Inc. Class A | 270,611 | 22,182 | |
* | Starz | 1,000,934 | 22,121 |
Pool Corp. | 414,067 | 21,701 | |
Pier 1 Imports Inc. | 922,663 | 21,673 | |
* | Lamar Advertising Co. Class A | 494,350 | 21,455 |
DSW Inc. Class A | 287,369 | 21,113 | |
* | Groupon Inc. | 2,398,447 | 20,387 |
Cracker Barrel Old Country Store Inc. | 209,360 | 19,818 |
1
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Ascena Retail Group Inc. | 1,131,955 | 19,753 |
* | Live Nation Entertainment Inc. | 1,272,766 | 19,728 |
* | Hyatt Hotels Corp. Class A | 488,638 | 19,721 |
Vail Resorts Inc. | 320,035 | 19,689 | |
Thor Industries Inc. | 391,690 | 19,263 | |
* | Bally Technologies Inc. | 339,942 | 19,180 |
Rent-A-Center Inc. | 508,995 | 19,113 | |
* | Lumber Liquidators Holdings Inc. | 243,160 | 18,935 |
Cooper Tire & Rubber Co. | 557,554 | 18,494 | |
Cheesecake Factory Inc. | 438,615 | 18,374 | |
Sinclair Broadcast Group Inc. Class A | 618,126 | 18,161 | |
* | Steven Madden Ltd. | 367,362 | 17,773 |
* | Life Time Fitness Inc. | 348,584 | 17,468 |
Aaron's Inc. | 620,570 | 17,382 | |
HSN Inc. | 316,492 | 17,002 | |
Guess? Inc. | 537,689 | 16,684 | |
* | CST Brands Inc. | 533,815 | 16,447 |
John Wiley & Sons Inc. Class A | 409,471 | 16,416 | |
Ryland Group Inc. | 408,143 | 16,367 | |
* | Buffalo Wild Wings Inc. | 165,996 | 16,294 |
* | Big Lots Inc. | 516,128 | 16,273 |
* | DreamWorks Animation SKG Inc. Class A | 629,380 | 16,150 |
Men's Wearhouse Inc. | 418,164 | 15,827 | |
* | Express Inc. | 754,747 | 15,827 |
* | Shutterfly Inc. | 282,303 | 15,750 |
Morningstar Inc. | 202,782 | 15,732 | |
* | Apollo Group Inc. Class A | 884,700 | 15,677 |
* | Deckers Outdoor Corp. | 307,733 | 15,544 |
* | Jack in the Box Inc. | 393,604 | 15,465 |
DeVry Inc. | 498,205 | 15,454 | |
Meredith Corp. | 322,042 | 15,361 | |
* | Iconix Brand Group Inc. | 504,625 | 14,841 |
Wendy's Co. | 2,514,082 | 14,657 | |
*,^ | Coinstar Inc. | 249,750 | 14,653 |
KB Home | 733,107 | 14,391 | |
* | Genesco Inc. | 211,357 | 14,159 |
* | ANN Inc. | 417,200 | 13,851 |
*,^ | Sears Holdings Corp. | 323,278 | 13,604 |
Hillenbrand Inc. | 561,197 | 13,306 | |
* | Crocs Inc. | 789,939 | 13,034 |
Texas Roadhouse Inc. Class A | 515,879 | 12,907 | |
* | Hibbett Sports Inc. | 230,810 | 12,810 |
Buckle Inc. | 245,189 | 12,755 | |
Monro Muffler Brake Inc. | 263,004 | 12,637 | |
* | Select Comfort Corp. | 499,914 | 12,528 |
* | WMS Industries Inc. | 490,413 | 12,510 |
Regal Entertainment Group Class A | 694,769 | 12,436 | |
Group 1 Automotive Inc. | 192,946 | 12,412 | |
* | Grand Canyon Education Inc. | 378,445 | 12,197 |
* | Vitamin Shoppe Inc. | 270,680 | 12,137 |
* | New York Times Co. Class A | 1,096,171 | 12,124 |
* | Saks Inc. | 885,730 | 12,081 |
* | Meritage Homes Corp. | 278,476 | 12,075 |
Bob Evans Farms Inc. | 249,181 | 11,706 | |
Penske Automotive Group Inc. | 380,844 | 11,631 | |
Belo Corp. Class A | 831,098 | 11,594 | |
* | American Axle & Manufacturing Holdings Inc. | 611,083 | 11,384 |
MDC Holdings Inc. | 347,848 | 11,309 | |
* | Marriott Vacations Worldwide Corp. | 261,385 | 11,302 |
Arbitron Inc. | 239,264 | 11,114 | |
Dorman Products Inc. | 242,236 | 11,053 | |
^ | Burger King Worldwide Inc. | 565,359 | 11,030 |
Weight Watchers International Inc. | 239,209 | 11,004 | |
* | Asbury Automotive Group Inc. | 274,322 | 11,000 |
2
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Children's Place Retail Stores Inc. | 199,097 | 10,910 |
* | Francesca's Holdings Corp. | 391,883 | 10,890 |
* | Helen of Troy Ltd. | 283,770 | 10,888 |
* | Standard Pacific Corp. | 1,280,380 | 10,666 |
* | Conn's Inc. | 202,232 | 10,468 |
* | Jos A Bank Clothiers Inc. | 251,081 | 10,375 |
* | Pinnacle Entertainment Inc. | 523,355 | 10,294 |
* | Krispy Kreme Doughnuts Inc. | 581,591 | 10,149 |
Lithia Motors Inc. Class A | 189,835 | 10,120 | |
* | Tumi Holdings Inc. | 418,706 | 10,049 |
DineEquity Inc. | 144,319 | 9,939 | |
* | Office Depot Inc. | 2,552,609 | 9,879 |
* | Bloomin' Brands Inc. | 391,988 | 9,753 |
Finish Line Inc. Class A | 445,752 | 9,744 | |
Choice Hotels International Inc. | 245,430 | 9,741 | |
* | Aeropostale Inc. | 703,389 | 9,707 |
* | Orient-Express Hotels Ltd. Class A | 797,840 | 9,702 |
Nexstar Broadcasting Group Inc. Class A | 272,385 | 9,659 | |
* | Restoration Hardware Holdings Inc. | 128,601 | 9,645 |
La-Z-Boy Inc. | 469,755 | 9,522 | |
Jones Group Inc. | 691,668 | 9,510 | |
* | HomeAway Inc. | 292,669 | 9,465 |
* | Papa John's International Inc. | 144,777 | 9,464 |
* | iRobot Corp. | 235,499 | 9,366 |
Matthews International Corp. Class A | 248,258 | 9,359 | |
* | SHFL Entertainment Inc. | 505,182 | 8,947 |
Churchill Downs Inc. | 112,162 | 8,844 | |
* | Ascent Capital Group Inc. Class A | 111,601 | 8,713 |
* | K12 Inc. | 330,929 | 8,693 |
National CineMedia Inc. | 514,333 | 8,687 | |
Valassis Communications Inc. | 349,918 | 8,604 | |
Stewart Enterprises Inc. Class A | 649,927 | 8,508 | |
Regis Corp. | 507,472 | 8,333 | |
* | Skechers U.S.A. Inc. Class A | 345,394 | 8,293 |
Sturm Ruger & Co. Inc. | 172,426 | 8,283 | |
* | BJ's Restaurants Inc. | 222,206 | 8,244 |
SeaWorld Entertainment Inc. | 229,596 | 8,059 | |
Oxford Industries Inc. | 128,582 | 8,023 | |
OfficeMax Inc. | 777,277 | 7,952 | |
Brown Shoe Co. Inc. | 369,140 | 7,948 | |
* | AFC Enterprises Inc. | 216,503 | 7,781 |
Ameristar Casinos Inc. | 294,910 | 7,753 | |
International Speedway Corp. Class A | 230,449 | 7,252 | |
* | Quiksilver Inc. | 1,123,233 | 7,234 |
* | G-III Apparel Group Ltd. | 146,050 | 7,028 |
Scholastic Corp. | 238,238 | 6,978 | |
Interval Leisure Group Inc. | 349,831 | 6,969 | |
^ | Columbia Sportswear Co. | 110,160 | 6,902 |
True Religion Apparel Inc. | 216,105 | 6,842 | |
* | Sonic Corp. | 469,044 | 6,829 |
Loral Space & Communications Inc. | 113,381 | 6,801 | |
Stage Stores Inc. | 289,087 | 6,794 | |
Ethan Allen Interiors Inc. | 234,230 | 6,746 | |
Drew Industries Inc. | 170,377 | 6,699 | |
Core-Mark Holding Co. Inc. | 105,097 | 6,674 | |
* | Multimedia Games Holding Co. Inc. | 255,508 | 6,661 |
* | Norwegian Cruise Line Holdings Ltd. | 218,799 | 6,632 |
* | Steiner Leisure Ltd. | 124,310 | 6,571 |
Sonic Automotive Inc. Class A | 310,190 | 6,557 | |
* | Red Robin Gourmet Burgers Inc. | 118,798 | 6,555 |
* | Tile Shop Holdings Inc. | 224,495 | 6,501 |
Allison Transmission Holdings Inc. | 278,894 | 6,437 | |
CEC Entertainment Inc. | 150,014 | 6,157 | |
* | Taylor Morrison Home Corp. Class A | 249,183 | 6,075 |
3
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Cato Corp. Class A | 242,624 | 6,056 | |
Arctic Cat Inc. | 134,462 | 6,048 | |
Standard Motor Products Inc. | 174,775 | 6,002 | |
* | American Public Education Inc. | 159,022 | 5,909 |
* | Fiesta Restaurant Group Inc. | 171,403 | 5,895 |
* | Scientific Games Corp. Class A | 523,823 | 5,893 |
*,^ | Smith & Wesson Holding Corp. | 590,033 | 5,889 |
* | Zumiez Inc. | 198,988 | 5,721 |
*,^ | Boyd Gaming Corp. | 504,600 | 5,702 |
* | Winnebago Industries Inc. | 264,969 | 5,562 |
* | Pep Boys-Manny Moe & Jack | 476,414 | 5,517 |
Movado Group Inc. | 162,920 | 5,512 | |
Fred's Inc. Class A | 352,165 | 5,455 | |
* | Barnes & Noble Inc. | 340,673 | 5,437 |
* | rue21 inc | 130,659 | 5,437 |
* | Biglari Holdings Inc. | 13,082 | 5,369 |
* | Capella Education Co. | 126,936 | 5,287 |
^ | Strayer Education Inc. | 106,714 | 5,211 |
American Greetings Corp. Class A | 282,618 | 5,149 | |
* | Denny's Corp. | 909,613 | 5,112 |
* | Ruby Tuesday Inc. | 551,226 | 5,088 |
* | Overstock.com Inc. | 168,968 | 4,765 |
* | Bright Horizons Family Solutions Inc. | 136,866 | 4,751 |
*,^ | Hovnanian Enterprises Inc. Class A | 843,242 | 4,731 |
*,^ | Beazer Homes USA Inc. | 266,965 | 4,677 |
* | Libbey Inc. | 192,345 | 4,610 |
Ruth's Hospitality Group Inc. | 375,716 | 4,535 | |
Big 5 Sporting Goods Corp. | 205,562 | 4,512 | |
* | Blue Nile Inc. | 119,108 | 4,500 |
* | EW Scripps Co. Class A | 288,215 | 4,490 |
* | M/I Homes Inc. | 195,319 | 4,485 |
* | Modine Manufacturing Co. | 409,512 | 4,455 |
* | Gentherm Inc. | 231,555 | 4,300 |
Haverty Furniture Cos. Inc. | 183,922 | 4,232 | |
* | LIN TV Corp. Class A | 273,577 | 4,186 |
* | Wet Seal Inc. Class A | 887,616 | 4,181 |
*,^ | Vera Bradley Inc. | 190,091 | 4,117 |
Harte-Hanks Inc. | 448,431 | 3,856 | |
* | LeapFrog Enterprises Inc. | 387,580 | 3,814 |
* | Chuy's Holdings Inc. | 99,328 | 3,808 |
* | Universal Electronics Inc. | 135,107 | 3,801 |
* | Five Below Inc. | 102,596 | 3,771 |
* | Maidenform Brands Inc. | 212,313 | 3,679 |
Superior Industries International Inc. | 207,941 | 3,579 | |
Entravision Communications Corp. Class A | 581,230 | 3,575 | |
* | Unifi Inc. | 171,544 | 3,546 |
Callaway Golf Co. | 537,330 | 3,536 | |
*,^ | ITT Educational Services Inc. | 138,603 | 3,382 |
Nutrisystem Inc. | 286,424 | 3,374 | |
NACCO Industries Inc. Class A | 58,219 | 3,335 | |
Destination Maternity Corp. | 135,112 | 3,324 | |
* | Tuesday Morning Corp. | 319,140 | 3,309 |
Stein Mart Inc. | 240,623 | 3,284 | |
World Wrestling Entertainment Inc. Class A | 312,581 | 3,223 | |
PetMed Express Inc. | 252,774 | 3,185 | |
* | Sears Hometown and Outlet Stores Inc. | 72,497 | 3,170 |
* | America's Car-Mart Inc. | 68,020 | 2,941 |
* | RadioShack Corp. | 922,324 | 2,915 |
* | Fuel Systems Solutions Inc. | 159,188 | 2,848 |
* | VOXX International Corp. Class A | 226,056 | 2,774 |
Speedway Motorsports Inc. | 158,572 | 2,759 | |
* | Clear Channel Outdoor Holdings Inc. Class A | 369,466 | 2,756 |
* | Stoneridge Inc. | 231,241 | 2,692 |
* | Kirkland's Inc. | 155,873 | 2,689 |
4
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Shoe Carnival Inc. | 111,088 | 2,667 | |
* | Journal Communications Inc. Class A | 351,411 | 2,632 |
* | Steinway Musical Instruments Inc. | 85,002 | 2,587 |
* | hhgregg Inc. | 159,657 | 2,550 |
Saga Communications Inc. Class A | 55,516 | 2,549 | |
* | Rentrak Corp. | 126,967 | 2,548 |
* | Cavco Industries Inc. | 48,701 | 2,457 |
* | Jamba Inc. | 157,825 | 2,356 |
JAKKS Pacific Inc. | 207,319 | 2,332 | |
Marcus Corp. | 181,798 | 2,312 | |
Fisher Communications Inc. | 55,619 | 2,285 | |
* | Nautilus Inc. | 262,423 | 2,280 |
* | Carmike Cinemas Inc. | 117,707 | 2,279 |
*,^ | Caesars Entertainment Corp. | 164,180 | 2,249 |
* | MarineMax Inc. | 194,034 | 2,198 |
* | Morgans Hotel Group Co. | 265,523 | 2,140 |
Spartan Motors Inc. | 345,807 | 2,116 | |
* | Bridgepoint Education Inc. | 171,848 | 2,093 |
* | Federal-Mogul Corp. | 204,750 | 2,090 |
* | Christopher & Banks Corp. | 309,051 | 2,083 |
Universal Technical Institute Inc. | 189,824 | 1,961 | |
Strattec Security Corp. | 50,676 | 1,893 | |
* | Zale Corp. | 204,966 | 1,865 |
* | Bravo Brio Restaurant Group Inc. | 103,832 | 1,850 |
Carriage Services Inc. Class A | 108,155 | 1,833 | |
* | Citi Trends Inc. | 125,986 | 1,831 |
AH Belo Corp. Class A | 266,351 | 1,827 | |
* | Gray Television Inc. | 250,646 | 1,805 |
* | Digital Generation Inc. | 241,419 | 1,779 |
* | Mattress Firm Holding Corp. | 43,900 | 1,769 |
* | Cumulus Media Inc. Class A | 520,652 | 1,765 |
Town Sports International Holdings Inc. | 158,868 | 1,711 | |
Marine Products Corp. | 213,120 | 1,709 | |
* | Pacific Sunwear of California Inc. | 464,513 | 1,695 |
* | Corinthian Colleges Inc. | 743,507 | 1,665 |
* | Famous Dave's Of America Inc. | 106,560 | 1,661 |
^ | Collectors Universe | 124,595 | 1,651 |
Perry Ellis International Inc. | 80,697 | 1,639 | |
* | Media General Inc. Class A | 146,991 | 1,621 |
Bassett Furniture Industries Inc. | 103,360 | 1,605 | |
* | Orbitz Worldwide Inc. | 197,059 | 1,582 |
* | Destination XL Group Inc. | 246,387 | 1,562 |
bebe stores inc | 274,459 | 1,540 | |
^ | Bon-Ton Stores Inc. | 85,107 | 1,536 |
* | Career Education Corp. | 528,993 | 1,534 |
^ | Blyth Inc. | 109,397 | 1,527 |
Flexsteel Industries Inc. | 59,327 | 1,446 | |
CSS Industries Inc. | 58,002 | 1,446 | |
Lifetime Brands Inc. | 104,887 | 1,424 | |
Culp Inc. | 81,545 | 1,418 | |
* | 1-800-Flowers.com Inc. Class A | 225,149 | 1,394 |
Cherokee Inc. | 108,760 | 1,390 | |
* | TRI Pointe Homes Inc. | 83,732 | 1,388 |
* | Luby's Inc. | 161,582 | 1,365 |
Rocky Brands Inc. | 89,284 | 1,350 | |
* | Tandy Leather Factory Inc. | 173,075 | 1,347 |
Hooker Furniture Corp. | 80,015 | 1,301 | |
Weyco Group Inc. | 50,898 | 1,283 | |
* | Entercom Communications Corp. Class A | 134,221 | 1,267 |
* | Nathan's Famous Inc. | 23,665 | 1,236 |
RG Barry Corp. | 75,240 | 1,222 | |
* | New York & Co. Inc. | 189,432 | 1,203 |
* | Isle of Capri Casinos Inc. | 151,237 | 1,134 |
* | Zagg Inc. | 210,879 | 1,128 |
5
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Body Central Corp. | 84,399 | 1,124 |
* | Monarch Casino & Resort Inc. | 66,625 | 1,123 |
Mac-Gray Corp. | 77,857 | 1,106 | |
Beasley Broadcasting Group Inc. Class A | 131,564 | 1,102 | |
* | Dixie Group Inc. | 132,074 | 1,096 |
Lincoln Educational Services Corp. | 205,187 | 1,081 | |
* | Education Management Corp. | 190,783 | 1,072 |
Remy International Inc. | 57,329 | 1,065 | |
* | West Marine Inc. | 96,752 | 1,064 |
* | Joe's Jeans Inc. | 612,767 | 1,005 |
* | Tilly's Inc. Class A | 61,351 | 982 |
Ambassadors Group Inc. | 271,886 | 965 | |
* | Valuevision Media Inc. Class A | 188,637 | 964 |
Winmark Corp. | 14,711 | 954 | |
Trans World Entertainment Corp. | 194,851 | 947 | |
* | Carrols Restaurant Group Inc. | 145,551 | 940 |
Ark Restaurants Corp. | 42,583 | 893 | |
* | Gaiam Inc. Class A | 198,738 | 886 |
* | Del Frisco's Restaurant Group Inc. | 40,826 | 874 |
* | Tower International Inc. | 42,997 | 851 |
* | Crown Media Holdings Inc. Class A | 335,758 | 829 |
* | Rick's Cabaret International Inc. | 93,202 | 804 |
* | MTR Gaming Group Inc. | 237,953 | 797 |
* | McClatchy Co. Class A | 341,741 | 779 |
* | Black Diamond Inc. | 82,822 | 779 |
* | Ballantyne Strong Inc. | 180,582 | 762 |
* | Red Lion Hotels Corp. | 123,596 | 755 |
* | LifeLock Inc. | 63,031 | 738 |
* | Charles & Colvard Ltd. | 179,486 | 732 |
Systemax Inc. | 76,163 | 717 | |
*,^ | William Lyon Homes Class A | 28,100 | 708 |
* | Martha Stewart Living Omnimedia Class A | 290,708 | 701 |
* | Emmis Communications Corp. Class A | 323,835 | 693 |
* | Cache Inc. | 152,892 | 680 |
Escalade Inc. | 105,152 | 651 | |
Einstein Noah Restaurant Group Inc. | 45,320 | 644 | |
* | Delta Apparel Inc. | 44,844 | 632 |
* | Navarre Corp. | 226,128 | 624 |
Shiloh Industries Inc. | 59,757 | 624 | |
* | Insignia Systems Inc. | 291,212 | 612 |
* | Kona Grill Inc. | 51,767 | 607 |
Frisch's Restaurants Inc. | 32,363 | 604 | |
* | Full House Resorts Inc. | 222,501 | 601 |
* | Central European Media Enterprises Ltd. Class A | 180,800 | 598 |
Gaming Partners International Corp. | 74,766 | 591 | |
* | Vitacost.com Inc. | 66,827 | 565 |
* | Geeknet Inc. | 39,271 | 544 |
*,^ | Coldwater Creek Inc. | 211,173 | 528 |
Dover Motorsports Inc. | 244,223 | 527 | |
* | Motorcar Parts of America Inc. | 56,445 | 518 |
* | Gordmans Stores Inc. | 35,557 | 484 |
* | Century Casinos Inc. | 130,616 | 452 |
* | Lakes Entertainment Inc. | 128,112 | 451 |
* | Johnson Outdoors Inc. Class A | 17,506 | 436 |
* | ReachLocal Inc. | 34,250 | 420 |
* | ALCO Stores Inc. | 37,332 | 413 |
* | Emerson Radio Corp. | 246,030 | 406 |
* | Learning Tree International Inc. | 132,325 | 404 |
* | Skullcandy Inc. | 71,227 | 389 |
Dover Downs Gaming & Entertainment Inc. | 247,196 | 383 | |
* | Harris Interactive Inc. | 204,712 | 371 |
* | UQM Technologies Inc. | 302,215 | 363 |
* | Furniture Brands International Inc. | 89,352 | 357 |
* | Forward Industries Inc. | 190,865 | 353 |
6
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Reading International Inc. Class A | 55,497 | 353 |
* | Summer Infant Inc. | 115,095 | 352 |
* | Perfumania Holdings Inc. | 64,749 | 337 |
* | Hollywood Media Corp. | 237,174 | 318 |
* | Premier Exhibitions Inc. | 178,455 | 310 |
* | Stanley Furniture Co. Inc. | 76,192 | 305 |
* | Noodles & Co. | 7,254 | 267 |
* | Books-A-Million Inc. | 101,558 | 264 |
* | Spanish Broadcasting System Inc. | 73,134 | 248 |
*,^ | Comstock Holding Cos. Inc. Class A | 79,519 | 220 |
* | Radio One Inc. | 92,133 | 214 |
* | Skyline Corp. | 50,514 | 198 |
Superior Uniform Group Inc. | 18,311 | 198 | |
* | Lee Enterprises Inc. | 87,498 | 178 |
* | Cambium Learning Group Inc. | 117,787 | 152 |
* | Cobra Electronics Corp. | 50,521 | 152 |
* | dELiA*s Inc. | 128,677 | 127 |
* | American Apparel Inc. | 63,104 | 121 |
* | NTN Buzztime Inc. | 287,989 | 118 |
* | CafePress Inc. | 18,473 | 116 |
* | Cosi Inc. | 46,560 | 102 |
* | SPAR Group Inc. | 33,227 | 91 |
* | Lakeland Industries Inc. | 17,187 | 81 |
* | Kid Brands Inc. | 43,645 | 67 |
* | Appliance Recycling Centers of America Inc. | 24,098 | 61 |
* | Entertainment Gaming Asia Inc. | 22,710 | 42 |
* | Wells-Gardner Electronics Corp. | 20,885 | 38 |
* | Sport Chalet Inc. Class A | 27,740 | 36 |
* | US Auto Parts Network Inc. | 29,615 | 34 |
* | Nevada Gold & Casinos Inc. | 30,913 | 30 |
* | Meade Instruments Corp. | 4,548 | 17 |
* | Hallwood Group Inc. | 1,737 | 17 |
Hastings Entertainment Inc. | 603 | 2 | |
* | Digital Cinema Destinations Corp. | 200 | 1 |
4,632,630 | |||
Consumer Staples (3.6%) | |||
Bunge Ltd. | 1,294,531 | 91,614 | |
* | Green Mountain Coffee Roasters Inc. | 1,090,034 | 81,818 |
Church & Dwight Co. Inc. | 1,216,412 | 75,065 | |
Energizer Holdings Inc. | 547,861 | 55,065 | |
Ingredion Inc. | 681,922 | 44,748 | |
^ | Herbalife Ltd. | 910,987 | 41,122 |
* | Smithfield Foods Inc. | 1,106,635 | 36,242 |
Hillshire Brands Co. | 1,089,049 | 36,026 | |
Flowers Foods Inc. | 1,521,309 | 33,545 | |
Nu Skin Enterprises Inc. Class A | 464,413 | 28,385 | |
* | Hain Celestial Group Inc. | 418,153 | 27,167 |
* | United Natural Foods Inc. | 434,107 | 23,437 |
* | TreeHouse Foods Inc. | 319,020 | 20,909 |
Harris Teeter Supermarkets Inc. | 435,377 | 20,402 | |
Casey's General Stores Inc. | 337,373 | 20,296 | |
* | Darling International Inc. | 1,051,488 | 19,621 |
* | Rite Aid Corp. | 6,380,208 | 18,247 |
* | Fresh Market Inc. | 360,409 | 17,920 |
* | Dean Foods Co. | 1,657,520 | 16,608 |
B&G Foods Inc. | 472,913 | 16,103 | |
PriceSmart Inc. | 159,830 | 14,006 | |
Lancaster Colony Corp. | 173,838 | 13,558 | |
* | Prestige Brands Holdings Inc. | 458,127 | 13,350 |
* | Post Holdings Inc. | 292,488 | 12,770 |
* | Boston Beer Co. Inc. Class A | 73,862 | 12,604 |
Snyders-Lance Inc. | 432,021 | 12,274 | |
Universal Corp. | 208,952 | 12,088 | |
Sanderson Farms Inc. | 179,733 | 11,938 |
7
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Spectrum Brands Holdings Inc. | 205,474 | 11,685 | |
* | SUPERVALU Inc. | 1,789,462 | 11,130 |
J&J Snack Foods Corp. | 133,160 | 10,360 | |
* | WhiteWave Foods Co. Class A | 631,307 | 10,259 |
* | Elizabeth Arden Inc. | 222,552 | 10,030 |
Fresh Del Monte Produce Inc. | 340,786 | 9,501 | |
* | WhiteWave Foods Co. Class B | 593,428 | 9,020 |
Vector Group Ltd. | 527,716 | 8,560 | |
Andersons Inc. | 156,465 | 8,322 | |
* | Pilgrim's Pride Corp. | 528,236 | 7,892 |
* | Susser Holdings Corp. | 161,481 | 7,732 |
Seaboard Corp. | 2,803 | 7,590 | |
WD-40 Co. | 131,961 | 7,189 | |
* | Boulder Brands Inc. | 537,211 | 6,473 |
Pinnacle Foods Inc. | 259,745 | 6,273 | |
^ | Tootsie Roll Industries Inc. | 191,822 | 6,096 |
Cal-Maine Foods Inc. | 124,614 | 5,796 | |
Weis Markets Inc. | 102,366 | 4,614 | |
* | Annie's Inc. | 107,514 | 4,595 |
Spartan Stores Inc. | 234,807 | 4,330 | |
*,^ | Diamond Foods Inc. | 205,242 | 4,259 |
* | Chiquita Brands International Inc. | 386,502 | 4,221 |
*,^ | USANA Health Sciences Inc. | 55,906 | 4,046 |
Inter Parfums Inc. | 140,306 | 4,001 | |
* | Medifast Inc. | 150,051 | 3,865 |
* | Dole Food Co. Inc. | 282,435 | 3,601 |
Calavo Growers Inc. | 118,706 | 3,228 | |
* | Central Garden and Pet Co. Class A | 446,098 | 3,078 |
* | Revlon Inc. Class A | 134,262 | 2,962 |
* | Alliance One International Inc. | 778,400 | 2,958 |
Ingles Markets Inc. Class A | 116,345 | 2,938 | |
National Beverage Corp. | 156,522 | 2,734 | |
Coca-Cola Bottling Co. Consolidated | 40,289 | 2,464 | |
Nash Finch Co. | 109,457 | 2,409 | |
* | Pantry Inc. | 195,249 | 2,378 |
Roundy's Inc. | 241,510 | 2,012 | |
* | Seneca Foods Corp. Class A | 62,750 | 1,925 |
* | Natural Grocers by Vitamin Cottage Inc. | 58,730 | 1,821 |
Nutraceutical International Corp. | 87,560 | 1,790 | |
John B Sanfilippo & Son Inc. | 87,866 | 1,771 | |
* | Fairway Group Holdings Corp. | 71,202 | 1,721 |
*,^ | Star Scientific Inc. | 1,158,231 | 1,610 |
Village Super Market Inc. Class A | 47,108 | 1,559 | |
Female Health Co. | 157,245 | 1,550 | |
Lifeway Foods Inc. | 86,865 | 1,508 | |
Alico Inc. | 36,449 | 1,462 | |
Oil-Dri Corp. of America | 52,194 | 1,434 | |
United-Guardian Inc. | 56,614 | 1,381 | |
Rocky Mountain Chocolate Factory Inc. | 109,605 | 1,325 | |
*,^ | Lifevantage Corp. | 570,154 | 1,323 |
Limoneira Co. | 63,790 | 1,322 | |
* | Omega Protein Corp. | 126,528 | 1,136 |
* | Farmer Bros Co. | 80,719 | 1,135 |
Orchids Paper Products Co. | 37,259 | 978 | |
MGP Ingredients Inc. | 153,708 | 916 | |
Arden Group Inc. | 8,037 | 887 | |
Nature's Sunshine Products Inc. | 49,551 | 810 | |
* | Chefs' Warehouse Inc. | 46,020 | 792 |
* | Harbinger Group Inc. | 101,188 | 763 |
*,^ | S&W Seed Co. | 70,384 | 590 |
* | Overhill Farms Inc. | 118,661 | 587 |
* | Inventure Foods Inc. | 69,141 | 578 |
* | Synutra International Inc. | 102,115 | 520 |
* | Natural Alternatives International Inc. | 112,367 | 518 |
8
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Craft Brew Alliance Inc. | 54,007 | 445 |
*,^ | Pizza Inn Holdings Inc. | 56,876 | 326 |
* | IGI Laboratories Inc. | 88,519 | 127 |
* | Crumbs Bake Shop Inc. | 97,703 | 116 |
* | Primo Water Corp. | 58,242 | 106 |
* | Mannatech Inc. | 7,432 | 82 |
*,^ | Reed's Inc. | 14,906 | 74 |
Reliv International Inc. | 44,259 | 56 | |
* | Crystal Rock Holdings Inc. | 42,584 | 37 |
1,070,610 | |||
Energy (5.7%) | |||
HollyFrontier Corp. | 1,789,789 | 76,567 | |
* | Concho Resources Inc. | 912,883 | 76,427 |
Oceaneering International Inc. | 952,412 | 68,764 | |
* | Cobalt International Energy Inc. | 2,434,483 | 64,684 |
Core Laboratories NV | 404,123 | 61,289 | |
* | Cheniere Energy Inc. | 2,124,256 | 58,969 |
Cimarex Energy Co. | 760,914 | 49,452 | |
* | Whiting Petroleum Corp. | 1,056,400 | 48,689 |
* | Oil States International Inc. | 486,234 | 45,045 |
* | Continental Resources Inc. | 504,693 | 43,434 |
* | Dresser-Rand Group Inc. | 670,476 | 40,215 |
* | Superior Energy Services Inc. | 1,412,083 | 36,629 |
SM Energy Co. | 586,500 | 35,178 | |
Energen Corp. | 639,144 | 33,402 | |
* | Dril-Quip Inc. | 321,532 | 29,031 |
* | Gulfport Energy Corp. | 609,358 | 28,682 |
*,^ | Ultra Petroleum Corp. | 1,351,988 | 26,796 |
Lufkin Industries Inc. | 300,760 | 26,608 | |
* | Atwood Oceanics Inc. | 503,953 | 26,231 |
World Fuel Services Corp. | 644,486 | 25,767 | |
Patterson-UTI Energy Inc. | 1,301,345 | 25,188 | |
Tidewater Inc. | 435,575 | 24,815 | |
* | Oasis Petroleum Inc. | 633,015 | 24,605 |
* | Rosetta Resources Inc. | 540,577 | 22,985 |
Bristow Group Inc. | 321,930 | 21,028 | |
* | Kodiak Oil & Gas Corp. | 2,359,650 | 20,977 |
SemGroup Corp. Class A | 374,121 | 20,150 | |
* | Helix Energy Solutions Group Inc. | 867,245 | 19,981 |
Berry Petroleum Co. Class A | 411,457 | 17,413 | |
* | McDermott International Inc. | 2,098,328 | 17,164 |
* | Unit Corp. | 384,510 | 16,372 |
Targa Resources Corp. | 254,265 | 16,357 | |
* | Exterran Holdings Inc. | 580,578 | 16,326 |
Energy XXI Bermuda Ltd. | 698,640 | 15,496 | |
* | Hornbeck Offshore Services Inc. | 285,438 | 15,271 |
*,^ | SandRidge Energy Inc. | 3,119,373 | 14,848 |
SEACOR Holdings Inc. | 169,510 | 14,078 | |
* | PDC Energy Inc. | 271,060 | 13,954 |
Western Refining Inc. | 492,026 | 13,811 | |
^ | CARBO Ceramics Inc. | 176,413 | 11,896 |
* | Diamondback Energy Inc. | 314,372 | 10,475 |
* | Alpha Natural Resources Inc. | 1,976,180 | 10,355 |
* | Hercules Offshore Inc. | 1,427,573 | 10,050 |
Gulfmark Offshore Inc. | 220,172 | 9,928 | |
^ | EXCO Resources Inc. | 1,297,269 | 9,911 |
* | Stone Energy Corp. | 442,194 | 9,742 |
* | Carrizo Oil & Gas Inc. | 329,790 | 9,343 |
* | EPL Oil & Gas Inc. | 311,403 | 9,143 |
^ | PBF Energy Inc. Class A | 349,301 | 9,047 |
* | Cloud Peak Energy Inc. | 545,034 | 8,982 |
Delek US Holdings Inc. | 310,059 | 8,924 | |
*,^ | Bill Barrett Corp. | 431,674 | 8,728 |
* | Newpark Resources Inc. | 779,795 | 8,570 |
9
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
^ | RPC Inc. | 591,628 | 8,170 |
* | Key Energy Services Inc. | 1,362,798 | 8,109 |
* | Geospace Technologies Corp. | 115,169 | 7,956 |
* | C&J Energy Services Inc. | 401,581 | 7,779 |
*,^ | Clean Energy Fuels Corp. | 588,018 | 7,762 |
* | Bonanza Creek Energy Inc. | 208,957 | 7,410 |
* | Approach Resources Inc. | 300,368 | 7,380 |
Crosstex Energy Inc. | 372,058 | 7,352 | |
^ | Arch Coal Inc. | 1,907,515 | 7,210 |
* | TETRA Technologies Inc. | 702,119 | 7,204 |
* | Northern Oil and Gas Inc. | 532,277 | 7,101 |
* | Rex Energy Corp. | 371,142 | 6,525 |
* | ION Geophysical Corp. | 1,082,633 | 6,517 |
Comstock Resources Inc. | 399,867 | 6,290 | |
CVR Energy Inc. | 132,529 | 6,282 | |
*,^ | Halcon Resources Corp. | 954,775 | 5,414 |
*,^ | Magnum Hunter Resources Corp. | 1,463,202 | 5,341 |
* | Parker Drilling Co. | 1,062,472 | 5,291 |
* | Forum Energy Technologies Inc. | 164,531 | 5,007 |
* | Swift Energy Co. | 387,521 | 4,646 |
* | Matrix Service Co. | 289,829 | 4,516 |
W&T Offshore Inc. | 314,005 | 4,487 | |
* | Era Group Inc. | 168,484 | 4,406 |
* | Forest Oil Corp. | 1,065,067 | 4,356 |
Rentech Inc. | 2,001,313 | 4,203 | |
Contango Oil & Gas Co. | 115,563 | 3,900 | |
* | Pioneer Energy Services Corp. | 559,236 | 3,702 |
*,^ | Nuverra Environmental Solutions Inc. | 1,230,235 | 3,568 |
* | Triangle Petroleum Corp. | 477,765 | 3,349 |
* | Vantage Drilling Co. | 1,625,056 | 3,315 |
* | Resolute Energy Corp. | 407,078 | 3,248 |
* | Tesco Corp. | 242,682 | 3,216 |
* | Matador Resources Co. | 267,600 | 3,206 |
* | Laredo Petroleum Holdings Inc. | 155,815 | 3,204 |
* | Green Plains Renewable Energy Inc. | 233,469 | 3,110 |
* | Basic Energy Services Inc. | 256,689 | 3,103 |
* | Goodrich Petroleum Corp. | 240,114 | 3,073 |
* | Vaalco Energy Inc. | 508,965 | 2,911 |
*,^ | Solazyme Inc. | 246,684 | 2,891 |
Gulf Island Fabrication Inc. | 144,708 | 2,771 | |
* | Dawson Geophysical Co. | 71,083 | 2,620 |
* | Willbros Group Inc. | 418,829 | 2,572 |
* | PHI Inc. | 75,566 | 2,485 |
* | Clayton Williams Energy Inc. | 56,698 | 2,466 |
* | Abraxas Petroleum Corp. | 1,084,833 | 2,278 |
* | Synergy Resources Corp. | 307,724 | 2,253 |
* | Mitcham Industries Inc. | 131,015 | 2,198 |
* | BPZ Resources Inc. | 1,227,588 | 2,197 |
* | Sanchez Energy Corp. | 93,289 | 2,142 |
*,^ | Quicksilver Resources Inc. | 1,225,005 | 2,058 |
* | PetroQuest Energy Inc. | 502,570 | 1,990 |
* | Natural Gas Services Group Inc. | 83,883 | 1,970 |
* | Penn Virginia Corp. | 412,891 | 1,941 |
*,^ | Endeavour International Corp. | 465,479 | 1,787 |
Alon USA Energy Inc. | 120,045 | 1,736 | |
* | Evolution Petroleum Corp. | 158,134 | 1,725 |
*,^ | Cal Dive International Inc. | 908,497 | 1,708 |
* | Warren Resources Inc. | 647,597 | 1,651 |
*,^ | Miller Energy Resources Inc. | 401,903 | 1,608 |
Bolt Technology Corp. | 93,804 | 1,602 | |
* | REX American Resources Corp. | 47,954 | 1,380 |
* | FX Energy Inc. | 418,600 | 1,344 |
*,^ | Hyperdynamics Corp. | 2,789,342 | 1,325 |
Panhandle Oil and Gas Inc. Class A | 44,536 | 1,269 |
10
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Westmoreland Coal Co. | 108,592 | 1,219 |
*,^ | James River Coal Co. | 667,150 | 1,214 |
* | Harvest Natural Resources Inc. | 375,223 | 1,163 |
Adams Resources & Energy Inc. | 16,653 | 1,147 | |
* | Emerald Oil Inc. | 163,981 | 1,125 |
*,^ | Uranium Energy Corp. | 618,183 | 1,107 |
* | Callon Petroleum Co. | 323,373 | 1,090 |
* | RigNet Inc. | 39,935 | 1,018 |
* | Midstates Petroleum Co. Inc. | 167,671 | 907 |
* | Renewable Energy Group Inc. | 62,238 | 886 |
*,^ | ZaZa Energy Corp. | 707,596 | 849 |
* | Apco Oil and Gas International Inc. | 72,800 | 839 |
* | Global Geophysical Services Inc. | 174,798 | 825 |
*,^ | Gevo Inc. | 373,802 | 759 |
TGC Industries Inc. | 88,827 | 730 | |
*,^ | Royale Energy Inc. | 283,705 | 712 |
*,^ | Amyris Inc. | 241,401 | 698 |
* | Verenium Corp. | 309,093 | 692 |
* | PHI Inc. | 19,340 | 663 |
* | USEC Inc. | 2,224,598 | 652 |
* | Syntroleum Corp. | 85,766 | 592 |
*,^ | Uranium Resources Inc. | 205,483 | 540 |
* | Isramco Inc. | 5,753 | 536 |
* | Gastar Exploration Ltd. | 198,252 | 529 |
* | Forbes Energy Services Ltd. | 130,816 | 526 |
* | US Energy Corp. Wyoming | 249,063 | 516 |
Hallador Energy Co. | 64,028 | 515 | |
*,^ | KiOR Inc. | 89,657 | 512 |
* | Crimson Exploration Inc. | 164,025 | 463 |
* | Double Eagle Petroleum Co. | 116,717 | 458 |
*,^ | Zion Oil & Gas Inc. | 164,596 | 369 |
* | Magellan Petroleum Corp. | 330,649 | 341 |
* | CAMAC Energy Inc. | 538,227 | 307 |
*,^ | Lucas Energy Inc. | 233,203 | 301 |
* | Tengasco Inc. | 557,227 | 290 |
* | Pyramid Oil Co. | 56,343 | 233 |
* | Saratoga Resources Inc. | 134,902 | 206 |
*,^ | Uranerz Energy Corp. | 141,954 | 156 |
* | Barnwell Industries Inc. | 46,909 | 148 |
*,^ | BioFuel Energy Corp. | 41,282 | 138 |
* | FieldPoint Petroleum Corp. | 35,776 | 132 |
*,^ | GreenHunter Resources Inc. | 128,301 | 103 |
* | PrimeEnergy Corp. | 2,726 | 101 |
*,^ | Cubic Energy Inc. | 270,766 | 81 |
* | Recovery Energy Inc. | 44,772 | 70 |
* | PostRock Energy Corp. | 45,178 | 69 |
* | Ceres Inc. | 13,894 | 44 |
* | FieldPoint Petroleum Corp. Warrants Exp 03/23/2017 | 33,558 | 18 |
* | GeoPetro Resources Co. | 31,100 | 2 |
1,665,949 | |||
Financials (23.1%) | |||
* | CIT Group Inc. | 1,771,538 | 82,607 |
General Growth Properties Inc. | 3,967,121 | 78,827 | |
* | Affiliated Managers Group Inc. | 464,184 | 76,098 |
Realty Income Corp. | 1,727,397 | 72,412 | |
SL Green Realty Corp. | 806,318 | 71,109 | |
Digital Realty Trust Inc. | 1,130,325 | 68,950 | |
Willis Group Holdings plc | 1,536,935 | 62,676 | |
Rayonier Inc. | 1,109,391 | 61,449 | |
* | Markel Corp. | 114,187 | 60,171 |
Federal Realty Investment Trust | 574,265 | 59,540 | |
* | Alleghany Corp. | 148,829 | 57,048 |
UDR Inc. | 2,216,547 | 56,500 | |
Everest Re Group Ltd. | 439,878 | 56,419 |
11
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
New York Community Bancorp Inc. | 3,897,111 | 54,560 | |
Essex Property Trust Inc. | 334,409 | 53,144 | |
Camden Property Trust | 746,788 | 51,633 | |
* | Realogy Holdings Corp. | 1,039,113 | 49,919 |
TD Ameritrade Holding Corp. | 2,044,692 | 49,666 | |
Arthur J Gallagher & Co. | 1,121,202 | 48,985 | |
Fidelity National Financial Inc. Class A | 1,888,376 | 44,962 | |
Reinsurance Group of America Inc. Class A | 641,524 | 44,336 | |
Duke Realty Corp. | 2,842,075 | 44,308 | |
Senior Housing Properties Trust | 1,662,601 | 43,111 | |
Raymond James Financial Inc. | 1,000,867 | 43,017 | |
* | Ocwen Financial Corp. | 1,032,886 | 42,576 |
Taubman Centers Inc. | 561,248 | 42,178 | |
Regency Centers Corp. | 808,915 | 41,101 | |
Alexandria Real Estate Equities Inc. | 622,587 | 40,916 | |
Ares Capital Corp. | 2,365,153 | 40,681 | |
Eaton Vance Corp. | 1,074,556 | 40,393 | |
WR Berkley Corp. | 975,048 | 39,840 | |
Liberty Property Trust | 1,064,382 | 39,340 | |
Extra Space Storage Inc. | 917,324 | 38,463 | |
HCC Insurance Holdings Inc. | 888,447 | 38,301 | |
Assured Guaranty Ltd. | 1,712,367 | 37,775 | |
American Campus Communities Inc. | 927,180 | 37,699 | |
DDR Corp. | 2,191,285 | 36,485 | |
CBOE Holdings Inc. | 772,284 | 36,019 | |
National Retail Properties Inc. | 1,042,882 | 35,875 | |
Jones Lang LaSalle Inc. | 390,239 | 35,566 | |
Starwood Property Trust Inc. | 1,432,827 | 35,462 | |
Cullen/Frost Bankers Inc. | 530,752 | 35,438 | |
* | MSCI Inc. Class A | 1,062,673 | 35,355 |
Kilroy Realty Corp. | 663,251 | 35,159 | |
* | Signature Bank | 416,344 | 34,565 |
Lazard Ltd. Class A | 1,074,098 | 34,532 | |
Corrections Corp. of America | 1,019,510 | 34,531 | |
RenaissanceRe Holdings Ltd. | 394,325 | 34,223 | |
BRE Properties Inc. | 678,405 | 33,934 | |
SEI Investments Co. | 1,188,845 | 33,799 | |
Brown & Brown Inc. | 1,044,636 | 33,679 | |
* | American Capital Ltd. | 2,635,084 | 33,387 |
BioMed Realty Trust Inc. | 1,646,876 | 33,316 | |
* | SVB Financial Group | 399,335 | 33,273 |
East West Bancorp Inc. | 1,203,918 | 33,108 | |
Two Harbors Investment Corp. | 3,228,650 | 33,094 | |
WP Carey Inc. | 499,969 | 33,083 | |
Waddell & Reed Financial Inc. Class A | 756,406 | 32,904 | |
American Financial Group Inc. | 668,535 | 32,698 | |
Hospitality Properties Trust | 1,236,133 | 32,486 | |
Omega Healthcare Investors Inc. | 1,027,845 | 31,884 | |
First Niagara Financial Group Inc. | 3,115,710 | 31,375 | |
Validus Holdings Ltd. | 866,343 | 31,292 | |
CBL & Associates Properties Inc. | 1,442,586 | 30,900 | |
Weingarten Realty Investors | 986,452 | 30,353 | |
Home Properties Inc. | 461,346 | 30,158 | |
Commerce Bancshares Inc. | 678,432 | 29,552 | |
Douglas Emmett Inc. | 1,172,554 | 29,255 | |
FirstMerit Corp. | 1,458,919 | 29,222 | |
* | Howard Hughes Corp. | 258,018 | 28,921 |
ProAssurance Corp. | 544,154 | 28,383 | |
Tanger Factory Outlet Centers | 838,481 | 28,056 | |
Allied World Assurance Co. Holdings AG | 306,259 | 28,026 | |
* | Popular Inc. | 908,640 | 27,559 |
Old Republic International Corp. | 2,125,014 | 27,349 | |
Equity Lifestyle Properties Inc. | 347,338 | 27,297 | |
Chimera Investment Corp. | 9,045,745 | 27,137 |
12
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
MFA Financial Inc. | 3,192,979 | 26,981 | |
City National Corp. | 423,001 | 26,806 | |
Protective Life Corp. | 690,492 | 26,522 | |
Piedmont Office Realty Trust Inc. Class A | 1,474,904 | 26,371 | |
White Mountains Insurance Group Ltd. | 45,665 | 26,255 | |
Highwoods Properties Inc. | 721,227 | 25,683 | |
Mid-America Apartment Communities Inc. | 378,179 | 25,629 | |
CNO Financial Group Inc. | 1,975,482 | 25,602 | |
RLJ Lodging Trust | 1,075,594 | 24,190 | |
CommonWealth REIT | 1,041,389 | 24,077 | |
First Horizon National Corp. | 2,130,700 | 23,864 | |
Post Properties Inc. | 480,470 | 23,778 | |
* | Forest City Enterprises Inc. Class A | 1,314,834 | 23,549 |
First Republic Bank | 607,739 | 23,386 | |
^ | Federated Investors Inc. Class B | 838,877 | 22,994 |
Associated Banc-Corp | 1,476,321 | 22,957 | |
* | Portfolio Recovery Associates Inc. | 148,795 | 22,859 |
Hancock Holding Co. | 747,219 | 22,469 | |
Aspen Insurance Holdings Ltd. | 602,815 | 22,358 | |
Geo Group Inc. | 637,104 | 21,630 | |
Hatteras Financial Corp. | 869,984 | 21,436 | |
Prosperity Bancshares Inc. | 413,820 | 21,432 | |
First American Financial Corp. | 959,562 | 21,149 | |
Susquehanna Bancshares Inc. | 1,641,383 | 21,092 | |
EPR Properties | 418,293 | 21,028 | |
American Realty Capital Properties Inc. | 1,373,779 | 20,964 | |
LaSalle Hotel Properties | 840,951 | 20,771 | |
TCF Financial Corp. | 1,454,594 | 20,626 | |
Webster Financial Corp. | 801,706 | 20,588 | |
Synovus Financial Corp. | 7,047,285 | 20,578 | |
Prospect Capital Corp. | 1,886,924 | 20,379 | |
Healthcare Realty Trust Inc. | 798,042 | 20,350 | |
Bank of Hawaii Corp. | 394,670 | 19,860 | |
Fulton Financial Corp. | 1,725,204 | 19,805 | |
Endurance Specialty Holdings Ltd. | 383,172 | 19,714 | |
Invesco Mortgage Capital Inc. | 1,186,070 | 19,641 | |
Corporate Office Properties Trust | 764,666 | 19,499 | |
StanCorp Financial Group Inc. | 389,651 | 19,253 | |
Hanover Insurance Group Inc. | 389,462 | 19,056 | |
Medical Properties Trust Inc. | 1,327,893 | 19,015 | |
^ | Lexington Realty Trust | 1,604,397 | 18,739 |
* | Stifel Financial Corp. | 524,760 | 18,718 |
Brandywine Realty Trust | 1,373,693 | 18,572 | |
DCT Industrial Trust Inc. | 2,577,989 | 18,433 | |
Erie Indemnity Co. Class A | 227,295 | 18,113 | |
* | MGIC Investment Corp. | 2,973,205 | 18,047 |
Sovran Self Storage Inc. | 277,955 | 18,009 | |
Mack-Cali Realty Corp. | 735,296 | 18,007 | |
Ryman Hospitality Properties | 456,593 | 17,812 | |
Radian Group Inc. | 1,529,563 | 17,774 | |
Colonial Properties Trust | 729,868 | 17,604 | |
Washington Federal Inc. | 921,954 | 17,406 | |
CubeSmart | 1,088,050 | 17,387 | |
* | Sunstone Hotel Investors Inc. | 1,430,756 | 17,284 |
Financial Engines Inc. | 376,532 | 17,166 | |
* | St. Joe Co. | 812,516 | 17,103 |
Valley National Bancorp | 1,753,875 | 16,609 | |
* | MBIA Inc. | 1,240,529 | 16,511 |
Kemper Corp. | 481,739 | 16,500 | |
CapitalSource Inc. | 1,748,068 | 16,397 | |
* | Texas Capital Bancshares Inc. | 364,724 | 16,179 |
Platinum Underwriters Holdings Ltd. | 280,412 | 16,045 | |
DiamondRock Hospitality Co. | 1,720,507 | 16,035 | |
UMB Financial Corp. | 285,478 | 15,893 |
13
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
NorthStar Realty Finance Corp. | 1,736,918 | 15,806 | |
Washington REIT | 585,342 | 15,752 | |
ARMOUR Residential REIT Inc. | 3,342,500 | 15,743 | |
MarketAxess Holdings Inc. | 334,761 | 15,650 | |
FNB Corp. | 1,291,354 | 15,600 | |
* | ING US Inc. | 575,900 | 15,584 |
Apollo Investment Corp. | 1,985,205 | 15,365 | |
Primerica Inc. | 409,861 | 15,345 | |
BOK Financial Corp. | 238,624 | 15,284 | |
EastGroup Properties Inc. | 267,794 | 15,069 | |
* | Alexander & Baldwin Inc. | 378,901 | 15,061 |
Umpqua Holdings Corp. | 999,441 | 15,002 | |
^ | First Financial Bankshares Inc. | 267,000 | 14,861 |
Trustmark Corp. | 600,362 | 14,757 | |
Capitol Federal Financial Inc. | 1,215,430 | 14,755 | |
Potlatch Corp. | 361,583 | 14,622 | |
CYS Investments Inc. | 1,563,932 | 14,404 | |
Glacier Bancorp Inc. | 644,151 | 14,294 | |
Sun Communities Inc. | 285,867 | 14,225 | |
Janus Capital Group Inc. | 1,671,283 | 14,223 | |
Pebblebrook Hotel Trust | 549,854 | 14,214 | |
Mercury General Corp. | 323,177 | 14,207 | |
Iberiabank Corp. | 264,172 | 14,162 | |
* | Strategic Hotels & Resorts Inc. | 1,592,071 | 14,106 |
Home Loan Servicing Solutions Ltd. | 585,831 | 14,042 | |
Glimcher Realty Trust | 1,281,302 | 13,992 | |
DuPont Fabros Technology Inc. | 569,123 | 13,744 | |
Cathay General Bancorp | 654,587 | 13,321 | |
BancorpSouth Inc. | 745,535 | 13,196 | |
First Industrial Realty Trust Inc. | 869,368 | 13,188 | |
MB Financial Inc. | 488,792 | 13,100 | |
National Health Investors Inc. | 217,158 | 12,999 | |
Wintrust Financial Corp. | 331,152 | 12,676 | |
Equity One Inc. | 554,615 | 12,551 | |
Old National Bancorp | 905,866 | 12,528 | |
Redwood Trust Inc. | 731,438 | 12,434 | |
Government Properties Income Trust | 487,628 | 12,298 | |
LPL Financial Holdings Inc. | 319,664 | 12,071 | |
Acadia Realty Trust | 483,350 | 11,934 | |
LTC Properties Inc. | 304,363 | 11,885 | |
* | First Cash Financial Services Inc. | 240,460 | 11,833 |
Montpelier Re Holdings Ltd. | 472,371 | 11,814 | |
Cash America International Inc. | 258,090 | 11,733 | |
* | Altisource Portfolio Solutions SA | 124,407 | 11,704 |
Bank of the Ozarks Inc. | 269,009 | 11,656 | |
RLI Corp. | 152,430 | 11,647 | |
PS Business Parks Inc. | 160,432 | 11,578 | |
PrivateBancorp Inc. | 543,168 | 11,521 | |
Selective Insurance Group Inc. | 496,442 | 11,428 | |
BankUnited Inc. | 438,565 | 11,407 | |
Northwest Bancshares Inc. | 839,793 | 11,346 | |
Colony Financial Inc. | 569,736 | 11,332 | |
Fifth Street Finance Corp. | 1,069,822 | 11,180 | |
PennyMac Mortgage Investment Trust | 526,763 | 11,088 | |
Symetra Financial Corp. | 692,929 | 11,080 | |
International Bancshares Corp. | 488,807 | 11,037 | |
Community Bank System Inc. | 355,640 | 10,971 | |
Westamerica Bancorporation | 237,498 | 10,851 | |
^ | United Bankshares Inc. | 410,234 | 10,851 |
Columbia Banking System Inc. | 451,548 | 10,751 | |
PacWest Bancorp | 350,662 | 10,748 | |
National Penn Bancshares Inc. | 1,056,990 | 10,739 | |
Home BancShares Inc. | 412,968 | 10,725 | |
Greenhill & Co. Inc. | 231,965 | 10,610 |
14
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Argo Group International Holdings Ltd. | 249,015 | 10,556 | |
* | Credit Acceptance Corp. | 100,364 | 10,543 |
Pennsylvania REIT | 556,806 | 10,512 | |
* | Walter Investment Management Corp. | 310,471 | 10,497 |
* | Western Alliance Bancorp | 661,743 | 10,475 |
* | PHH Corp. | 510,838 | 10,411 |
Education Realty Trust Inc. | 1,015,698 | 10,391 | |
Evercore Partners Inc. Class A | 261,095 | 10,256 | |
Capstead Mortgage Corp. | 844,795 | 10,222 | |
Franklin Street Properties Corp. | 768,571 | 10,145 | |
BBCN Bancorp Inc. | 707,027 | 10,054 | |
* | Enstar Group Ltd. | 74,571 | 9,916 |
First Citizens BancShares Inc. Class A | 50,519 | 9,702 | |
* | World Acceptance Corp. | 111,192 | 9,667 |
*,^ | Ambac Financial Group Inc. | 397,500 | 9,472 |
American Capital Mortgage Investment Corp. | 521,870 | 9,378 | |
Cousins Properties Inc. | 925,302 | 9,346 | |
American Assets Trust Inc. | 302,582 | 9,338 | |
CVB Financial Corp. | 791,784 | 9,311 | |
First Midwest Bancorp Inc. | 673,355 | 9,238 | |
* | Virtus Investment Partners Inc. | 51,705 | 9,114 |
* | National Financial Partners Corp. | 359,157 | 9,090 |
Chesapeake Lodging Trust | 434,746 | 9,038 | |
* | Knight Capital Group Inc. Class A | 2,509,305 | 9,008 |
Investors Bancorp Inc. | 423,341 | 8,924 | |
American Equity Investment Life Holding Co. | 566,221 | 8,890 | |
Hersha Hospitality Trust Class A | 1,560,133 | 8,799 | |
Sabra Health Care REIT Inc. | 333,709 | 8,713 | |
Horace Mann Educators Corp. | 355,778 | 8,674 | |
^ | Amtrust Financial Services Inc. | 241,604 | 8,625 |
Nelnet Inc. Class A | 232,273 | 8,383 | |
NBT Bancorp Inc. | 388,006 | 8,214 | |
Ramco-Gershenson Properties Trust | 526,808 | 8,181 | |
* | TFS Financial Corp. | 723,070 | 8,098 |
Hudson Pacific Properties Inc. | 379,907 | 8,084 | |
Astoria Financial Corp. | 736,091 | 7,935 | |
CNA Financial Corp. | 242,961 | 7,925 | |
Park National Corp. | 114,958 | 7,908 | |
Inland Real Estate Corp. | 768,605 | 7,855 | |
Solar Capital Ltd. | 334,368 | 7,721 | |
First Financial Bancorp | 516,532 | 7,696 | |
Provident Financial Services Inc. | 486,508 | 7,677 | |
Hercules Technology Growth Capital Inc. | 550,372 | 7,672 | |
Investors Real Estate Trust | 890,230 | 7,656 | |
SCBT Financial Corp. | 151,536 | 7,636 | |
* | Pinnacle Financial Partners Inc. | 295,301 | 7,592 |
Boston Private Financial Holdings Inc. | 712,272 | 7,579 | |
Main Street Capital Corp. | 271,248 | 7,511 | |
* | iStar Financial Inc. | 661,318 | 7,466 |
STAG Industrial Inc. | 373,676 | 7,455 | |
OFG Bancorp | 409,755 | 7,421 | |
Ashford Hospitality Trust Inc. | 637,033 | 7,294 | |
* | Ezcorp Inc. Class A | 427,993 | 7,225 |
Tower Group International Ltd. | 351,005 | 7,199 | |
Associated Estates Realty Corp. | 445,258 | 7,160 | |
Anworth Mortgage Asset Corp. | 1,278,397 | 7,159 | |
Kennedy-Wilson Holdings Inc. | 425,638 | 7,083 | |
Independent Bank Corp. | 204,318 | 7,049 | |
* | Encore Capital Group Inc. | 208,093 | 6,890 |
Resource Capital Corp. | 1,119,540 | 6,885 | |
Retail Opportunity Investments Corp. | 489,668 | 6,806 | |
Employers Holdings Inc. | 278,232 | 6,803 | |
^ | Triangle Capital Corp. | 245,678 | 6,759 |
ViewPoint Financial Group Inc. | 321,228 | 6,685 |
15
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
First Potomac Realty Trust | 510,619 | 6,669 | |
Campus Crest Communities Inc. | 576,826 | 6,657 | |
CapLease Inc. | 784,787 | 6,624 | |
PennantPark Investment Corp. | 595,666 | 6,582 | |
WesBanco Inc. | 248,832 | 6,577 | |
First Commonwealth Financial Corp. | 887,714 | 6,542 | |
American National Insurance Co. | 65,054 | 6,471 | |
* | Greenlight Capital Re Ltd. Class A | 263,383 | 6,461 |
Chemical Financial Corp. | 247,130 | 6,423 | |
Sterling Financial Corp. | 266,612 | 6,340 | |
Infinity Property & Casualty Corp. | 105,342 | 6,295 | |
Blackstone Mortgage Trust Inc. Class A | 254,306 | 6,281 | |
* | Forestar Group Inc. | 312,607 | 6,271 |
Berkshire Hills Bancorp Inc. | 225,115 | 6,249 | |
* | WisdomTree Investments Inc. | 539,507 | 6,242 |
Coresite Realty Corp. | 190,909 | 6,073 | |
Parkway Properties Inc. | 361,360 | 6,056 | |
City Holding Co. | 154,285 | 6,009 | |
* | Hanmi Financial Corp. | 337,800 | 5,969 |
Interactive Brokers Group Inc. | 367,831 | 5,874 | |
* | FelCor Lodging Trust Inc. | 993,704 | 5,873 |
*,^ | Nationstar Mortgage Holdings Inc. | 154,438 | 5,782 |
* | Hilltop Holdings Inc. | 347,100 | 5,692 |
Safety Insurance Group Inc. | 115,790 | 5,617 | |
Maiden Holdings Ltd. | 500,507 | 5,616 | |
Saul Centers Inc. | 124,673 | 5,543 | |
Oritani Financial Corp. | 353,204 | 5,538 | |
Alexander's Inc. | 18,818 | 5,527 | |
Summit Hotel Properties Inc. | 584,817 | 5,527 | |
Getty Realty Corp. | 267,049 | 5,515 | |
FBL Financial Group Inc. Class A | 126,683 | 5,512 | |
* | Bancorp Inc. | 366,265 | 5,490 |
Brookline Bancorp Inc. | 628,720 | 5,457 | |
Renasant Corp. | 223,651 | 5,444 | |
* | Navigators Group Inc. | 95,352 | 5,439 |
Cohen & Steers Inc. | 159,817 | 5,431 | |
AMERISAFE Inc. | 166,818 | 5,403 | |
BGC Partners Inc. Class A | 912,342 | 5,374 | |
Healthcare Trust of America Inc. Class A | 477,904 | 5,367 | |
Excel Trust Inc. | 415,866 | 5,327 | |
* | DFC Global Corp. | 385,038 | 5,317 |
* | Eagle Bancorp Inc. | 236,758 | 5,299 |
S&T Bancorp Inc. | 268,747 | 5,267 | |
HFF Inc. Class A | 288,297 | 5,123 | |
Community Trust Bancorp Inc. | 140,819 | 5,016 | |
* | Investment Technology Group Inc. | 357,535 | 4,998 |
Universal Health Realty Income Trust | 114,933 | 4,957 | |
United Fire Group Inc. | 199,409 | 4,951 | |
BlackRock Kelso Capital Corp. | 527,950 | 4,942 | |
^ | TICC Capital Corp. | 504,605 | 4,854 |
Wilshire Bancorp Inc. | 727,287 | 4,815 | |
Flushing Financial Corp. | 291,861 | 4,801 | |
* | Ameris Bancorp | 283,473 | 4,777 |
Spirit Realty Capital Inc. | 267,565 | 4,741 | |
Urstadt Biddle Properties Inc. Class A | 233,717 | 4,714 | |
* | Piper Jaffray Cos. | 146,405 | 4,628 |
TrustCo Bank Corp. NY | 847,336 | 4,610 | |
Apollo Residential Mortgage Inc. | 276,204 | 4,552 | |
AG Mortgage Investment Trust Inc. | 241,200 | 4,537 | |
* | United Community Banks Inc. | 360,771 | 4,481 |
Select Income REIT | 159,395 | 4,469 | |
Stewart Information Services Corp. | 169,534 | 4,440 | |
Silver Bay Realty Trust Corp. | 267,136 | 4,424 | |
Southside Bancshares Inc. | 182,821 | 4,366 |
16
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Apollo Commercial Real Estate Finance Inc. | 272,842 | 4,333 | |
State Bank Financial Corp. | 287,586 | 4,322 | |
* | PICO Holdings Inc. | 204,037 | 4,277 |
* | Central Pacific Financial Corp. | 236,717 | 4,261 |
* | eHealth Inc. | 187,528 | 4,261 |
Dime Community Bancshares Inc. | 276,497 | 4,236 | |
Sandy Spring Bancorp Inc. | 195,020 | 4,216 | |
* | BofI Holding Inc. | 91,601 | 4,197 |
* | ICG Group Inc. | 367,006 | 4,184 |
Tompkins Financial Corp. | 92,260 | 4,169 | |
Simmons First National Corp. Class A | 157,945 | 4,121 | |
MCG Capital Corp. | 790,165 | 4,117 | |
Banner Corp. | 119,672 | 4,044 | |
^ | Golub Capital BDC Inc. | 229,847 | 4,022 |
National Interstate Corp. | 136,611 | 3,996 | |
Lakeland Financial Corp. | 140,595 | 3,902 | |
FXCM Inc. Class A | 236,391 | 3,879 | |
* | Artisan Partners Asset Management Inc. | 77,045 | 3,845 |
* | Green Dot Corp. Class A | 192,129 | 3,833 |
National Western Life Insurance Co. Class A | 19,984 | 3,794 | |
Agree Realty Corp. | 127,703 | 3,770 | |
* | Virginia Commerce Bancorp Inc. | 269,456 | 3,762 |
Retail Properties of America Inc. | 259,242 | 3,702 | |
Meadowbrook Insurance Group Inc. | 458,965 | 3,685 | |
Kite Realty Group Trust | 598,757 | 3,611 | |
Rouse Properties Inc. | 183,063 | 3,592 | |
* | NetSpend Holdings Inc. | 224,606 | 3,587 |
Cardinal Financial Corp. | 242,197 | 3,546 | |
RAIT Financial Trust | 470,300 | 3,537 | |
StellarOne Corp. | 179,157 | 3,520 | |
* | Safeguard Scientifics Inc. | 218,502 | 3,507 |
Monmouth Real Estate Investment Corp. Class A | 351,877 | 3,473 | |
* | Tejon Ranch Co. | 121,406 | 3,459 |
* | Metro Bancorp Inc. | 171,634 | 3,438 |
* | First BanCorp | 482,598 | 3,417 |
Washington Trust Bancorp Inc. | 118,895 | 3,391 | |
Great Southern Bancorp Inc. | 125,559 | 3,385 | |
* | Phoenix Cos. Inc. | 78,491 | 3,375 |
Winthrop Realty Trust | 274,902 | 3,307 | |
* | Southwest Bancorp Inc. | 248,457 | 3,280 |
First Merchants Corp. | 189,388 | 3,248 | |
Bancfirst Corp. | 69,678 | 3,244 | |
TowneBank | 215,903 | 3,178 | |
Union First Market Bankshares Corp. | 153,590 | 3,162 | |
First Financial Corp. | 101,650 | 3,150 | |
Univest Corp. of Pennsylvania | 165,093 | 3,148 | |
^ | Western Asset Mortgage Capital Corp. | 178,525 | 3,117 |
Capital Southwest Corp. | 22,498 | 3,101 | |
* | Park Sterling Corp. | 524,279 | 3,098 |
^ | New Mountain Finance Corp. | 217,422 | 3,079 |
WSFS Financial Corp. | 58,158 | 3,047 | |
^ | New York Mortgage Trust Inc. | 448,616 | 3,037 |
Rockville Financial Inc. | 228,063 | 2,983 | |
* | NewStar Financial Inc. | 223,708 | 2,980 |
Arlington Asset Investment Corp. Class A | 111,139 | 2,972 | |
* | Taylor Capital Group Inc. | 175,484 | 2,964 |
* | OmniAmerican Bancorp Inc. | 134,110 | 2,954 |
Provident New York Bancorp | 315,371 | 2,946 | |
^ | KCAP Financial Inc. | 258,737 | 2,913 |
THL Credit Inc. | 189,400 | 2,877 | |
Guaranty Bancorp | 252,768 | 2,869 | |
* | Suffolk Bancorp | 173,891 | 2,841 |
EverBank Financial Corp. | 171,156 | 2,834 | |
One Liberty Properties Inc. | 128,896 | 2,831 |
17
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
SY Bancorp Inc. | 112,118 | 2,750 | |
OneBeacon Insurance Group Ltd. Class A | 188,921 | 2,736 | |
Medley Capital Corp. | 200,700 | 2,726 | |
Arrow Financial Corp. | 109,523 | 2,711 | |
* | Seacoast Banking Corp. of Florida | 1,223,140 | 2,691 |
* | Walker & Dunlop Inc. | 153,641 | 2,689 |
Heartland Financial USA Inc. | 97,509 | 2,681 | |
German American Bancorp Inc. | 118,459 | 2,668 | |
Federal Agricultural Mortgage Corp. | 91,977 | 2,656 | |
* | Beneficial Mutual Bancorp Inc. | 308,353 | 2,590 |
OceanFirst Financial Corp. | 164,664 | 2,561 | |
MainSource Financial Group Inc. | 190,625 | 2,560 | |
First Financial Northwest Inc. | 246,443 | 2,541 | |
Sterling Bancorp | 218,430 | 2,538 | |
Bank Mutual Corp. | 449,844 | 2,537 | |
Gladstone Commercial Corp. | 136,011 | 2,535 | |
HCI Group Inc. | 82,329 | 2,529 | |
GAMCO Investors Inc. | 45,387 | 2,515 | |
* | Kearny Financial Corp. | 237,724 | 2,494 |
MVC Capital Inc. | 197,391 | 2,485 | |
First Interstate Bancsystem Inc. | 119,259 | 2,472 | |
* | Preferred Bank | 148,506 | 2,447 |
Republic Bancorp Inc. Class A | 111,135 | 2,436 | |
First Connecticut Bancorp Inc. | 174,828 | 2,434 | |
1st United Bancorp Inc. | 360,144 | 2,420 | |
State Auto Financial Corp. | 131,242 | 2,385 | |
Whitestone REIT | 150,347 | 2,369 | |
CyrusOne Inc. | 113,399 | 2,352 | |
* | Heritage Commerce Corp. | 332,144 | 2,325 |
West Bancorporation Inc. | 195,869 | 2,301 | |
* | Sun Bancorp Inc. | 670,560 | 2,273 |
First Busey Corp. | 495,841 | 2,231 | |
Baldwin & Lyons Inc. | 91,372 | 2,219 | |
Camden National Corp. | 61,782 | 2,191 | |
MetroCorp Bancshares Inc. | 224,297 | 2,189 | |
* | Intervest Bancshares Corp. Class A | 326,973 | 2,184 |
* | Flagstar Bancorp Inc. | 156,217 | 2,181 |
First Bancorp | 153,613 | 2,166 | |
* | Global Indemnity plc | 91,449 | 2,154 |
Financial Institutions Inc. | 116,836 | 2,151 | |
Medallion Financial Corp. | 154,214 | 2,145 | |
*,^ | Customers Bancorp Inc. | 131,468 | 2,136 |
Terreno Realty Corp. | 114,512 | 2,122 | |
Cedar Realty Trust Inc. | 409,280 | 2,120 | |
^ | Fidus Investment Corp. | 112,826 | 2,111 |
CoBiz Financial Inc. | 252,228 | 2,093 | |
* | Citizens Inc. Class A | 349,106 | 2,088 |
*,^ | Macatawa Bank Corp. | 413,825 | 2,086 |
* | INTL. FCStone Inc. | 119,452 | 2,084 |
Chatham Lodging Trust | 121,129 | 2,081 | |
Franklin Financial Corp. | 115,532 | 2,081 | |
GFI Group Inc. | 528,139 | 2,065 | |
National Bankshares Inc. | 58,026 | 2,062 | |
Northfield Bancorp Inc. | 174,653 | 2,047 | |
United Financial Bancorp Inc. | 134,997 | 2,045 | |
Washington Banking Co. | 143,957 | 2,044 | |
Aviv REIT Inc. | 80,669 | 2,040 | |
* | United Community Financial Corp. | 438,253 | 2,038 |
HomeStreet Inc. | 94,257 | 2,022 | |
* | Heritage Oaks Bancorp | 325,667 | 2,009 |
* | Yadkin Financial Corp. | 142,889 | 2,006 |
* | Altisource Residential Corp. | 119,961 | 2,002 |
Hudson Valley Holding Corp. | 117,693 | 1,998 | |
Oppenheimer Holdings Inc. Class A | 104,648 | 1,992 |
18
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
TCP Capital Corp. | 118,800 | 1,992 | |
Westwood Holdings Group Inc. | 46,400 | 1,991 | |
First Financial Holdings Inc. | 93,606 | 1,985 | |
* | HomeTrust Bancshares Inc. | 116,698 | 1,979 |
Mercantile Bank Corp. | 109,930 | 1,975 | |
Lakeland Bancorp Inc. | 188,991 | 1,971 | |
Marlin Business Services Corp. | 86,388 | 1,968 | |
Territorial Bancorp Inc. | 86,772 | 1,962 | |
* | Gramercy Property Trust Inc. | 434,160 | 1,954 |
* | Doral Financial Corp. | 2,345,431 | 1,947 |
Calamos Asset Management Inc. Class A | 184,976 | 1,942 | |
1st Source Corp. | 80,623 | 1,916 | |
* | Ladenburg Thalmann Financial Services Inc. | 1,150,347 | 1,898 |
Bryn Mawr Bank Corp. | 79,102 | 1,893 | |
* | FBR & Co. | 74,426 | 1,880 |
Diamond Hill Investment Group Inc. | 21,882 | 1,861 | |
Westfield Financial Inc. | 264,664 | 1,853 | |
* | North Valley Bancorp | 111,734 | 1,849 |
* | Meridian Interstate Bancorp Inc. | 97,726 | 1,840 |
Consolidated-Tomoka Land Co. | 47,795 | 1,824 | |
* | NewBridge Bancorp | 304,334 | 1,823 |
* | BBX Capital Corp. | 140,798 | 1,818 |
Peoples Bancorp Inc. | 85,475 | 1,802 | |
Northrim BanCorp Inc. | 74,373 | 1,799 | |
Tree.com Inc. | 104,174 | 1,786 | |
Thomas Properties Group Inc. | 333,706 | 1,769 | |
* | Roma Financial Corp. | 97,299 | 1,767 |
Citizens & Northern Corp. | 90,788 | 1,754 | |
* | Pacific Mercantile Bancorp | 301,103 | 1,731 |
Trico Bancshares | 80,977 | 1,727 | |
* | Orrstown Financial Services Inc. | 134,772 | 1,709 |
First Bancorp Inc. | 95,020 | 1,661 | |
Ares Commercial Real Estate Corp. | 129,000 | 1,652 | |
* | Pacific Premier Bancorp Inc. | 135,023 | 1,650 |
First of Long Island Corp. | 49,511 | 1,643 | |
EMC Insurance Group Inc. | 61,953 | 1,627 | |
First Community Bancshares Inc. | 103,126 | 1,617 | |
* | Waterstone Financial Inc. | 158,662 | 1,612 |
Heritage Financial Corp. | 109,868 | 1,610 | |
* | Bridge Capital Holdings | 101,348 | 1,607 |
Eastern Insurance Holdings Inc. | 84,757 | 1,589 | |
Gladstone Capital Corp. | 194,180 | 1,586 | |
CorEnergy Infrastructure Trust | 225,389 | 1,569 | |
* | BSB Bancorp Inc. | 117,718 | 1,548 |
* | Capital City Bank Group Inc. | 134,220 | 1,548 |
BankFinancial Corp. | 179,909 | 1,529 | |
American National Bankshares Inc. | 65,352 | 1,519 | |
* | American Safety Insurance Holdings Ltd. | 52,143 | 1,510 |
Century Bancorp Inc. Class A | 42,568 | 1,490 | |
* | Cowen Group Inc. Class A | 512,373 | 1,486 |
CNB Financial Corp. | 87,171 | 1,477 | |
Centerstate Banks Inc. | 168,828 | 1,465 | |
Kansas City Life Insurance Co. | 38,258 | 1,464 | |
*,^ | Hampton Roads Bankshares Inc. | 1,131,698 | 1,460 |
Cape Bancorp Inc. | 150,272 | 1,428 | |
Merchants Bancshares Inc. | 47,177 | 1,395 | |
* | Imperial Holdings Inc. | 203,613 | 1,395 |
Manning & Napier Inc. | 77,797 | 1,382 | |
Pzena Investment Management Inc. Class A | 209,705 | 1,367 | |
^ | BNC Bancorp | 117,947 | 1,347 |
Peoples Federal Bancshares Inc. | 74,276 | 1,342 | |
* | Fidelity Southern Corp. | 108,440 | 1,341 |
Federated National Holding Co. | 137,066 | 1,336 | |
^ | Donegal Group Inc. Class B | 63,194 | 1,334 |
19
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Asta Funding Inc. | 153,816 | 1,331 | |
* | MBT Financial Corp. | 358,288 | 1,319 |
MicroFinancial Inc. | 166,298 | 1,305 | |
Enterprise Financial Services Corp. | 81,745 | 1,305 | |
Home Federal Bancorp Inc. | 101,725 | 1,296 | |
Gladstone Investment Corp. | 174,217 | 1,280 | |
* | Riverview Bancorp Inc. | 504,565 | 1,266 |
* | Farmers Capital Bank Corp. | 58,359 | 1,266 |
Penns Woods Bancorp Inc. | 30,120 | 1,261 | |
UMH Properties Inc. | 122,011 | 1,253 | |
Crawford & Co. Class B | 221,436 | 1,244 | |
* | Harris & Harris Group Inc. | 403,509 | 1,227 |
Unity Bancorp Inc. | 174,680 | 1,226 | |
Center Bancorp Inc. | 96,047 | 1,219 | |
ESSA Bancorp Inc. | 111,135 | 1,218 | |
CFS Bancorp Inc. | 113,187 | 1,213 | |
* | First South Bancorp Inc. | 189,866 | 1,206 |
Provident Financial Holdings Inc. | 75,794 | 1,204 | |
JMP Group Inc. | 179,790 | 1,194 | |
Simplicity Bancorp Inc. | 81,702 | 1,185 | |
* | FNB United Corp. | 145,763 | 1,182 |
Universal Insurance Holdings Inc. | 166,111 | 1,176 | |
Clifton Savings Bancorp Inc. | 99,139 | 1,175 | |
Timberland Bancorp Inc. | 138,776 | 1,168 | |
ESB Financial Corp. | 95,560 | 1,159 | |
* | SWS Group Inc. | 212,343 | 1,157 |
Pulaski Financial Corp. | 119,535 | 1,142 | |
MutualFirst Financial Inc. | 80,909 | 1,141 | |
Nicholas Financial Inc. | 75,110 | 1,136 | |
Fox Chase Bancorp Inc. | 64,911 | 1,103 | |
Meta Financial Group Inc. | 41,575 | 1,093 | |
* | AV Homes Inc. | 61,375 | 1,088 |
* | Republic First Bancorp Inc. | 379,736 | 1,082 |
Arbor Realty Trust Inc. | 168,500 | 1,058 | |
AmeriServ Financial Inc. | 380,876 | 1,044 | |
Chicopee Bancorp Inc. | 61,671 | 1,042 | |
* | MPG Office Trust Inc. | 318,889 | 1,001 |
Bank of Commerce Holdings | 192,071 | 968 | |
New Hampshire Thrift Bancshares Inc. | 67,166 | 961 | |
Gain Capital Holdings Inc. | 150,633 | 950 | |
* | PVF Capital Corp. | 233,145 | 933 |
Heritage Financial Group Inc. | 63,161 | 932 | |
* | ZipRealty Inc. | 293,133 | 918 |
* | NASB Financial Inc. | 34,883 | 913 |
NGP Capital Resources Co. | 146,067 | 895 | |
JAVELIN Mortgage Investment Corp. | 63,028 | 888 | |
* | Southcoast Financial Corp. | 167,372 | 879 |
Old Line Bancshares Inc. | 65,743 | 867 | |
* | Consumer Portfolio Services Inc. | 117,078 | 859 |
* | Community Bankers Trust Corp. | 236,942 | 858 |
Peoples Bancorp of North Carolina Inc. | 68,148 | 854 | |
* | Capital Bank Financial Corp. | 44,826 | 851 |
Bridge Bancorp Inc. | 37,769 | 850 | |
Donegal Group Inc. Class A | 59,504 | 831 | |
Peapack Gladstone Financial Corp. | 47,218 | 826 | |
Pacific Continental Corp. | 69,517 | 820 | |
First Defiance Financial Corp. | 36,032 | 813 | |
Gyrodyne Co. of America Inc. | 11,254 | 805 | |
*,^ | Security National Financial Corp. Class A | 134,130 | 794 |
Bank of Marin Bancorp | 19,763 | 791 | |
TF Financial Corp. | 31,291 | 771 | |
* | United Security Bancshares | 180,208 | 764 |
Ames National Corp. | 33,397 | 760 | |
* | First United Corp. | 97,432 | 727 |
20
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Tower Financial Corp. | 49,961 | 725 | |
Urstadt Biddle Properties Inc. | 38,700 | 695 | |
Middleburg Financial Corp. | 35,897 | 686 | |
Ocean Shore Holding Co. | 49,411 | 683 | |
Sierra Bancorp | 46,020 | 681 | |
PMC Commercial Trust | 80,469 | 661 | |
Independence Holding Co. | 55,094 | 651 | |
Hawthorn Bancshares Inc. | 52,943 | 643 | |
Firstbank Corp. | 46,094 | 618 | |
* | American River Bankshares | 72,581 | 597 |
Ohio Valley Banc Corp. | 27,561 | 595 | |
BCB Bancorp Inc. | 55,476 | 591 | |
Citizens Community Bancorp Inc. | 83,110 | 586 | |
* | Louisiana Bancorp Inc. | 33,780 | 561 |
* | Colony Bankcorp Inc. | 80,138 | 551 |
* | Home Bancorp Inc. | 28,645 | 530 |
* | Summit Financial Group Inc. | 66,618 | 524 |
* | Oak Valley Bancorp | 66,347 | 514 |
Solar Senior Capital Ltd. | 27,800 | 512 | |
* | Camco Financial Corp. | 154,870 | 508 |
Bank of Kentucky Financial Corp. | 17,658 | 502 | |
* | Hallmark Financial Services Inc. | 54,586 | 499 |
*,^ | Old Second Bancorp Inc. | 88,595 | 489 |
First Pactrust Bancorp Inc. | 35,575 | 483 | |
* | ASB Bancorp Inc. | 28,736 | 470 |
* | Hannon Armstrong Sustainable Infrastructure Capital Inc. | 39,571 | 470 |
* | Independent Bank Corp. | 74,174 | 467 |
QC Holdings Inc. | 158,879 | 451 | |
* | Shore Bancshares Inc. | 61,223 | 451 |
Citizens Holding Co. | 22,634 | 446 | |
* | Jefferson Bancshares Inc. | 78,023 | 441 |
* | OBA Financial Services Inc. | 23,817 | 440 |
* | First Marblehead Corp. | 369,881 | 436 |
Investors Title Co. | 6,127 | 435 | |
Teche Holding Co. | 9,765 | 434 | |
* | Prudential Bancorp Inc. of Pennsylvania | 42,406 | 422 |
^ | Stellus Capital Investment Corp. | 27,998 | 421 |
^ | Preferred Apartment Communities Inc. Class A | 46,387 | 417 |
* | 1st Constitution Bancorp | 43,079 | 408 |
Berkshire Bancorp Inc. | 49,914 | 397 | |
* | Cascade Bancorp | 62,684 | 389 |
Bar Harbor Bankshares | 10,605 | 388 | |
C&F Financial Corp. | 6,897 | 384 | |
^ | Garrison Capital Inc. | 24,000 | 370 |
* | Guaranty Federal Bancshares Inc. | 35,849 | 367 |
MidWestOne Financial Group Inc. | 15,228 | 366 | |
Southern National Bancorp of Virginia Inc. | 36,675 | 359 | |
*,^ | Crescent Financial Bancshares Inc. | 78,950 | 346 |
* | Maui Land & Pineapple Co. Inc. | 85,128 | 346 |
* | Newport Bancorp Inc. | 20,019 | 342 |
US Global Investors Inc. Class A | 158,453 | 334 | |
* | GSV Capital Corp. | 42,048 | 330 |
Federal Agricultural Mortgage Corp. Class A | 12,788 | 329 | |
* | Atlanticus Holdings Corp. | 91,683 | 328 |
* | HMN Financial Inc. | 46,147 | 328 |
* | Stratus Properties Inc. | 27,459 | 326 |
Hampden Bancorp Inc. | 21,407 | 319 | |
HF Financial Corp. | 24,373 | 317 | |
* | Parke Bancorp Inc. | 41,087 | 313 |
Norwood Financial Corp. | 10,389 | 301 | |
Central Valley Community Bancorp | 29,772 | 297 | |
Sotherly Hotels Inc. | 67,221 | 296 | |
* | First Federal Bancshares of Arkansas Inc. | 36,314 | 287 |
* | Investors Capital Holdings Ltd. | 46,740 | 280 |
21
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
FedFirst Financial Corp. | 15,141 | 280 | |
* | BRT Realty Trust | 39,982 | 280 |
Monarch Financial Holdings Inc. | 24,717 | 268 | |
Premier Financial Bancorp Inc. | 20,738 | 250 | |
* | BCSB Bancorp Inc. | 10,358 | 242 |
* | First Acceptance Corp. | 147,808 | 242 |
* | CIFC Corp. | 30,194 | 228 |
* | Gleacher & Co. Inc. | 16,187 | 225 |
First Savings Financial Group Inc. | 9,746 | 224 | |
Codorus Valley Bancorp Inc. | 12,387 | 214 | |
First Bancshares Inc. | 16,469 | 212 | |
* | Xenith Bankshares Inc. | 40,283 | 212 |
National Bank Holdings Corp. Class A | 10,500 | 207 | |
First Citizens Banc Corp. | 29,098 | 206 | |
Cheviot Financial Corp. | 17,498 | 198 | |
* | Supertel Hospitality Inc. | 210,925 | 196 |
Horizon Bancorp | 9,268 | 189 | |
* | CU Bancorp | 11,897 | 188 |
SB Financial Group Inc. | 24,319 | 185 | |
* | Anchor Bancorp Inc. | 10,700 | 184 |
Two River Bancorp | 26,479 | 176 | |
First Clover Leaf Financial Corp. | 21,799 | 175 | |
Georgetown Bancorp Inc. | 12,300 | 175 | |
Old Point Financial Corp. | 12,862 | 167 | |
MidSouth Bancorp Inc. | 9,974 | 155 | |
Valley Financial Corp. | 13,798 | 151 | |
PennantPark Floating Rate Capital Ltd. | 10,200 | 144 | |
* | New Century Bancorp Inc. | 21,884 | 140 |
Union Bankshares Inc. | 6,297 | 137 | |
United Bancshares Inc. | 11,489 | 136 | |
Saratoga Investment Corp. | 7,451 | 131 | |
* | InterGroup Corp. | 6,100 | 128 |
Life Partners Holdings Inc. | 40,287 | 124 | |
Farmers National Banc Corp. | 19,378 | 122 | |
* | Carolina Bank Holdings Inc. | 9,600 | 118 |
* | IF Bancorp Inc. | 7,557 | 114 |
* | Southern First Bancshares Inc. | 10,419 | 113 |
Wolverine Bancorp Inc. | 5,954 | 112 | |
Glen Burnie Bancorp | 8,847 | 109 | |
Enterprise Bancorp Inc. | 5,747 | 106 | |
Resource America Inc. Class A | 12,100 | 103 | |
SI Financial Group Inc. | 9,037 | 100 | |
* | Hamilton Bancorp Inc. | 6,700 | 88 |
Laporte Bancorp Inc. | 8,278 | 84 | |
Peoples Financial Corp. | 6,186 | 80 | |
* | First Financial Service Corp. | 22,276 | 79 |
* | Atlantic Coast Financial Corp. | 15,224 | 74 |
Naugatuck Valley Financial Corp. | 9,737 | 72 | |
United Community Bancorp | 7,074 | 72 | |
United Bancorp Inc. | 9,360 | 66 | |
Kentucky First Federal Bancorp | 7,514 | 60 | |
* | Magyar Bancorp Inc. | 10,365 | 60 |
* | Royal Bancshares of Pennsylvania Inc. | 40,173 | 55 |
Bank of South Carolina Corp. | 4,282 | 55 | |
Southwest Georgia Financial Corp. | 5,535 | 54 | |
* | Severn Bancorp Inc. | 10,988 | 51 |
* | 1st Century Bancshares Inc. | 8,013 | 49 |
* | Regional Management Corp. | 1,900 | 48 |
NB&T Financial Group Inc. | 2,031 | 43 | |
FS Bancorp Inc. | 2,200 | 40 | |
Madison County Financial Inc. | 2,107 | 37 | |
Oconee Federal Financial Corp. | 2,383 | 36 | |
Salisbury Bancorp Inc. | 1,341 | 34 | |
* | Sussex Bancorp | 5,250 | 32 |
22
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Northeast Community Bancorp Inc. | 4,957 | 31 | |
* | Malvern Bancorp Inc. | 2,603 | 31 |
Greene County Bancorp Inc. | 1,483 | 31 | |
* | First Capital Bancorp Inc. | 8,224 | 28 |
* | Jacksonville Bancorp Inc. | 53,840 | 26 |
Fauquier Bankshares Inc. | 1,931 | 23 | |
* | Community West Bancshares | 4,500 | 21 |
Mackinac Financial Corp. | 2,200 | 19 | |
* | Rand Capital Corp. | 5,750 | 17 |
* | Porter Bancorp Inc. | 19,841 | 17 |
* | Eastern Virginia Bankshares Inc. | 3,367 | 17 |
QCR Holdings Inc. | 1,100 | 17 | |
First West Virginia Bancorp | 916 | 16 | |
Mid Penn Bancorp Inc. | 1,384 | 15 | |
* | State Investors Bancorp Inc. | 1,013 | 15 |
River Valley Bancorp | 669 | 14 | |
* | Polonia Bancorp Inc. | 1,200 | 11 |
First Capital Inc. | 510 | 10 | |
First Business Financial Services Inc. | 332 | 10 | |
* | Presidential Realty Corp. Class B | 46,000 | 9 |
Elmira Savings Bank | 392 | 9 | |
Auburn National Bancorporation Inc. | 359 | 8 | |
ACNB Corp. | 408 | 7 | |
CKX Lands Inc. | 399 | 6 | |
* | SP Bancorp Inc. | 300 | 6 |
* | Central Federal Corp. | 3,460 | 5 |
* | Village Bank and Trust Financial Corp. | 2,400 | 4 |
* | Patriot National Bancorp Inc. | 3,120 | 4 |
Summit State Bank | 400 | 4 | |
* | Transcontinental Realty Investors Inc. | 400 | 4 |
First Internet Bancorp | 150 | 3 | |
Eagle Bancorp Montana Inc. | 275 | 3 | |
* | IMPAC Mortgage Holdings Inc. | 281 | 3 |
* | Siebert Financial Corp. | 1,836 | 3 |
Oneida Financial Corp. | 194 | 3 | |
Stewardship Financial Corp. | 400 | 2 | |
* | American Spectrum Realty Inc. | 100 | — |
6,814,134 | |||
Health Care (10.9%) | |||
* | Vertex Pharmaceuticals Inc. | 1,948,938 | 155,662 |
* | Onyx Pharmaceuticals Inc. | 642,351 | 84,392 |
* | Illumina Inc. | 1,094,880 | 81,941 |
HCA Holdings Inc. | 2,159,716 | 77,879 | |
* | Henry Schein Inc. | 766,944 | 73,435 |
* | BioMarin Pharmaceutical Inc. | 1,223,652 | 68,268 |
^ | ResMed Inc. | 1,254,075 | 56,596 |
* | Mettler-Toledo International Inc. | 265,722 | 53,463 |
Universal Health Services Inc. Class B | 785,132 | 52,572 | |
Cooper Cos. Inc. | 428,297 | 50,989 | |
* | Hologic Inc. | 2,370,630 | 45,753 |
Omnicare Inc. | 928,482 | 44,298 | |
* | IDEXX Laboratories Inc. | 478,798 | 42,986 |
* | MEDNAX Inc. | 442,663 | 40,539 |
Community Health Systems Inc. | 834,070 | 39,101 | |
* | Covance Inc. | 493,897 | 37,605 |
* | Pharmacyclics Inc. | 463,187 | 36,809 |
* | Endo Health Solutions Inc. | 993,216 | 36,540 |
* | Health Management Associates Inc. Class A | 2,295,937 | 36,092 |
* | Alkermes plc | 1,178,370 | 33,796 |
* | Medivation Inc. | 663,376 | 32,638 |
* | Sirona Dental Systems Inc. | 486,159 | 32,028 |
* | Jazz Pharmaceuticals plc | 447,924 | 30,786 |
* | Salix Pharmaceuticals Ltd. | 458,641 | 30,339 |
* | Seattle Genetics Inc. | 933,495 | 29,368 |
23
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Ariad Pharmaceuticals Inc. | 1,634,246 | 28,583 |
Teleflex Inc. | 361,854 | 28,040 | |
* | Cubist Pharmaceuticals Inc. | 579,209 | 27,976 |
* | athenahealth Inc. | 324,892 | 27,525 |
* | United Therapeutics Corp. | 408,754 | 26,904 |
* | Isis Pharmaceuticals Inc. | 983,147 | 26,417 |
* | Incyte Corp. Ltd. | 1,199,398 | 26,387 |
* | Centene Corp. | 481,597 | 25,265 |
* | Team Health Holdings Inc. | 607,649 | 24,956 |
* | Theravance Inc. | 614,711 | 23,685 |
Questcor Pharmaceuticals Inc. | 520,835 | 23,677 | |
* | Align Technology Inc. | 631,728 | 23,399 |
* | PAREXEL International Corp. | 503,065 | 23,111 |
* | Brookdale Senior Living Inc. Class A | 866,491 | 22,910 |
STERIS Corp. | 521,719 | 22,371 | |
* | Health Net Inc. | 698,374 | 22,222 |
* | HealthSouth Corp. | 768,097 | 22,121 |
West Pharmaceutical Services Inc. | 307,190 | 21,583 | |
* | WellCare Health Plans Inc. | 386,209 | 21,454 |
Techne Corp. | 304,777 | 21,054 | |
* | LifePoint Hospitals Inc. | 419,445 | 20,486 |
* | Cepheid Inc. | 593,786 | 20,438 |
* | VCA Antech Inc. | 779,272 | 20,331 |
* | Allscripts Healthcare Solutions Inc. | 1,568,514 | 20,297 |
* | Bio-Rad Laboratories Inc. Class A | 179,545 | 20,145 |
* | Myriad Genetics Inc. | 704,897 | 18,941 |
Owens & Minor Inc. | 557,415 | 18,857 | |
* | Haemonetics Corp. | 452,016 | 18,691 |
* | HMS Holdings Corp. | 778,729 | 18,144 |
Hill-Rom Holdings Inc. | 528,836 | 17,811 | |
* | Charles River Laboratories International Inc. | 433,904 | 17,803 |
* | Mallinckrodt plc | 375,811 | 17,073 |
* | Alere Inc. | 681,309 | 16,692 |
* | ViroPharma Inc. | 574,845 | 16,469 |
* | Thoratec Corp. | 504,603 | 15,799 |
* | Medidata Solutions Inc. | 199,575 | 15,457 |
* | Medicines Co. | 495,542 | 15,243 |
*,^ | Arena Pharmaceuticals Inc. | 1,945,659 | 14,982 |
* | Insulet Corp. | 470,561 | 14,780 |
* | DexCom Inc. | 625,674 | 14,046 |
* | Alnylam Pharmaceuticals Inc. | 442,848 | 13,733 |
* | Magellan Health Services Inc. | 241,914 | 13,567 |
* | Bruker Corp. | 833,752 | 13,465 |
* | MWI Veterinary Supply Inc. | 107,826 | 13,288 |
* | ImmunoGen Inc. | 754,785 | 12,522 |
* | NPS Pharmaceuticals Inc. | 823,932 | 12,441 |
Chemed Corp. | 166,926 | 12,090 | |
* | Nektar Therapeutics | 1,034,368 | 11,947 |
* | Acorda Therapeutics Inc. | 361,479 | 11,925 |
* | Clovis Oncology Inc. | 175,054 | 11,725 |
*,^ | ACADIA Pharmaceuticals Inc. | 645,479 | 11,715 |
* | Impax Laboratories Inc. | 579,923 | 11,569 |
*,^ | Vivus Inc. | 902,451 | 11,353 |
* | Neogen Corp. | 201,185 | 11,178 |
* | Celldex Therapeutics Inc. | 715,659 | 11,171 |
* | Santarus Inc. | 528,577 | 11,127 |
* | Cyberonics Inc. | 213,460 | 11,091 |
* | HeartWare International Inc. | 116,333 | 11,064 |
* | Wright Medical Group Inc. | 415,995 | 10,903 |
Air Methods Corp. | 312,996 | 10,604 | |
*,^ | Sarepta Therapeutics Inc. | 267,929 | 10,195 |
* | Acadia Healthcare Co. Inc. | 306,660 | 10,141 |
* | Amsurg Corp. Class A | 287,989 | 10,108 |
* | Lexicon Pharmaceuticals Inc. | 4,596,692 | 9,975 |
24
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | NuVasive Inc. | 394,744 | 9,786 |
* | Hanger Inc. | 308,249 | 9,750 |
* | Molina Healthcare Inc. | 259,697 | 9,656 |
Masimo Corp. | 453,961 | 9,624 | |
*,^ | Opko Health Inc. | 1,345,217 | 9,551 |
*,^ | MannKind Corp. | 1,388,315 | 9,024 |
Abaxis Inc. | 186,698 | 8,870 | |
* | Volcano Corp. | 485,028 | 8,794 |
* | Aegerion Pharmaceuticals Inc. | 137,170 | 8,688 |
* | ArthroCare Corp. | 251,435 | 8,682 |
* | Exact Sciences Corp. | 616,014 | 8,569 |
* | MedAssets Inc. | 468,997 | 8,320 |
* | ICU Medical Inc. | 114,604 | 8,258 |
* | Akorn Inc. | 610,289 | 8,251 |
* | Ironwood Pharmaceuticals Inc. Class A | 820,815 | 8,167 |
Analogic Corp. | 110,257 | 8,030 | |
Meridian Bioscience Inc. | 371,937 | 7,997 | |
* | BioScrip Inc. | 479,613 | 7,914 |
* | Emeritus Corp. | 338,874 | 7,855 |
CONMED Corp. | 251,119 | 7,845 | |
* | IPC The Hospitalist Co. Inc. | 150,394 | 7,724 |
*,^ | Exelixis Inc. | 1,656,596 | 7,521 |
* | Auxilium Pharmaceuticals Inc. | 442,894 | 7,365 |
* | Neurocrine Biosciences Inc. | 539,607 | 7,220 |
* | AVANIR Pharmaceuticals Inc. | 1,539,323 | 7,081 |
* | Luminex Corp. | 342,810 | 7,065 |
* | Greatbatch Inc. | 214,027 | 7,018 |
* | InterMune Inc. | 719,631 | 6,923 |
* | NxStage Medical Inc. | 477,087 | 6,813 |
* | ABIOMED Inc. | 314,684 | 6,785 |
* | Spectranetics Corp. | 359,789 | 6,721 |
Quality Systems Inc. | 357,525 | 6,689 | |
* | Ligand Pharmaceuticals Inc. Class B | 177,957 | 6,659 |
* | Endologix Inc. | 500,498 | 6,647 |
* | Quidel Corp. | 259,485 | 6,625 |
* | Integra LifeSciences Holdings Corp. | 180,539 | 6,613 |
Cantel Medical Corp. | 193,969 | 6,570 | |
* | Omnicell Inc. | 314,087 | 6,454 |
*,^ | Bio-Reference Labs Inc. | 219,822 | 6,320 |
* | Kindred Healthcare Inc. | 479,684 | 6,298 |
* | Infinity Pharmaceuticals Inc. | 387,460 | 6,296 |
* | Optimer Pharmaceuticals Inc. | 428,881 | 6,206 |
* | Halozyme Therapeutics Inc. | 766,796 | 6,088 |
* | Momenta Pharmaceuticals Inc. | 402,537 | 6,062 |
Ensign Group Inc. | 170,769 | 6,014 | |
* | Pacira Pharmaceuticals Inc. | 204,208 | 5,922 |
* | Keryx Biopharmaceuticals Inc. | 788,221 | 5,888 |
* | AMN Healthcare Services Inc. | 408,853 | 5,855 |
* | ExamWorks Group Inc. | 273,606 | 5,809 |
*,^ | Dendreon Corp. | 1,393,823 | 5,743 |
* | Capital Senior Living Corp. | 240,017 | 5,736 |
* | Genomic Health Inc. | 167,659 | 5,316 |
* | Accretive Health Inc. | 480,712 | 5,197 |
* | Achillion Pharmaceuticals Inc. | 630,556 | 5,158 |
* | Immunomedics Inc. | 942,729 | 5,128 |
* | Healthways Inc. | 285,135 | 4,956 |
Computer Programs & Systems Inc. | 100,234 | 4,926 | |
* | Array BioPharma Inc. | 1,064,936 | 4,835 |
* | Antares Pharma Inc. | 1,157,386 | 4,815 |
* | Orexigen Therapeutics Inc. | 804,661 | 4,707 |
* | Orthofix International NV | 173,676 | 4,672 |
* | HealthStream Inc. | 177,626 | 4,498 |
* | Vanguard Health Systems Inc. | 214,873 | 4,456 |
*,^ | MAKO Surgical Corp. | 361,337 | 4,354 |
25
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Endocyte Inc. | 327,157 | 4,296 |
* | Corvel Corp. | 145,380 | 4,255 |
*,^ | Sequenom Inc. | 1,004,687 | 4,230 |
National Healthcare Corp. | 88,229 | 4,217 | |
* | AMAG Pharmaceuticals Inc. | 185,152 | 4,120 |
Landauer Inc. | 85,222 | 4,117 | |
* | Merit Medical Systems Inc. | 360,849 | 4,023 |
Invacare Corp. | 278,858 | 4,004 | |
* | Idenix Pharmaceuticals Inc. | 1,096,361 | 3,958 |
US Physical Therapy Inc. | 140,191 | 3,875 | |
* | Natus Medical Inc. | 282,599 | 3,857 |
* | Dyax Corp. | 1,096,292 | 3,793 |
*,^ | Sangamo Biosciences Inc. | 483,405 | 3,775 |
*,^ | Accuray Inc. | 643,771 | 3,695 |
Select Medical Holdings Corp. | 442,709 | 3,630 | |
* | Albany Molecular Research Inc. | 304,756 | 3,617 |
* | Cynosure Inc. Class A | 138,200 | 3,590 |
* | Affymetrix Inc. | 806,199 | 3,580 |
* | Cytokinetics Inc. | 301,843 | 3,492 |
* | Staar Surgical Co. | 343,601 | 3,488 |
Spectrum Pharmaceuticals Inc. | 466,850 | 3,483 | |
* | Providence Service Corp. | 119,198 | 3,467 |
*,^ | MiMedx Group Inc. | 490,068 | 3,460 |
* | PharMerica Corp. | 249,141 | 3,453 |
* | Cambrex Corp. | 241,766 | 3,377 |
* | Cardiovascular Systems Inc. | 159,173 | 3,374 |
* | XOMA Corp. | 926,101 | 3,362 |
* | AngioDynamics Inc. | 295,975 | 3,339 |
Universal American Corp. | 373,359 | 3,319 | |
* | Triple-S Management Corp. Class B | 152,414 | 3,272 |
* | Furiex Pharmaceuticals Inc. | 95,343 | 3,248 |
*,^ | Raptor Pharmaceutical Corp. | 345,708 | 3,232 |
* | Repros Therapeutics Inc. | 169,309 | 3,124 |
* | Rigel Pharmaceuticals Inc. | 894,393 | 2,987 |
*,^ | Navidea Biopharmaceuticals Inc. | 1,112,540 | 2,970 |
* | Amedisys Inc. | 253,396 | 2,944 |
* | TESARO Inc. | 89,496 | 2,930 |
* | Cerus Corp. | 657,651 | 2,907 |
* | LHC Group Inc. | 147,887 | 2,896 |
Hi-Tech Pharmacal Co. Inc. | 85,890 | 2,852 | |
* | Depomed Inc. | 507,137 | 2,845 |
* | Emergent Biosolutions Inc. | 197,262 | 2,845 |
* | Cadence Pharmaceuticals Inc. | 416,973 | 2,844 |
* | Curis Inc. | 884,107 | 2,820 |
* | Tornier NV | 159,653 | 2,794 |
*,^ | Insmed Inc. | 229,973 | 2,750 |
* | Synageva BioPharma Corp. | 64,861 | 2,724 |
* | Symmetry Medical Inc. | 319,262 | 2,688 |
* | Synergy Pharmaceuticals Inc. | 619,751 | 2,677 |
* | Astex Pharmaceuticals | 632,094 | 2,598 |
* | Gentiva Health Services Inc. | 256,112 | 2,551 |
* | Fluidigm Corp. | 145,642 | 2,543 |
* | Novavax Inc. | 1,225,636 | 2,513 |
*,^ | TearLab Corp. | 235,503 | 2,501 |
* | Vanda Pharmaceuticals Inc. | 300,237 | 2,426 |
* | Repligen Corp. | 293,921 | 2,422 |
* | Sucampo Pharmaceuticals Inc. Class A | 366,899 | 2,414 |
* | SurModics Inc. | 120,428 | 2,410 |
* | GTx Inc. | 360,741 | 2,381 |
* | Vical Inc. | 749,749 | 2,347 |
*,^ | Chelsea Therapeutics International Ltd. | 990,601 | 2,278 |
* | Geron Corp. | 1,516,215 | 2,274 |
*,^ | Osiris Therapeutics Inc. | 225,288 | 2,269 |
* | Threshold Pharmaceuticals Inc. | 429,242 | 2,258 |
26
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | GenMark Diagnostics Inc. | 216,815 | 2,242 |
Atrion Corp. | 10,195 | 2,230 | |
* | Assisted Living Concepts Inc. Class A | 185,495 | 2,219 |
* | OraSure Technologies Inc. | 553,263 | 2,147 |
*,^ | Neuralstem Inc. | 1,386,188 | 2,065 |
*,^ | Ampio Pharmaceuticals Inc. | 353,851 | 2,042 |
* | Sciclone Pharmaceuticals Inc. | 401,869 | 1,993 |
* | Intercept Pharmaceuticals Inc. | 44,200 | 1,982 |
* | Dynavax Technologies Corp. | 1,769,134 | 1,946 |
* | Vascular Solutions Inc. | 128,899 | 1,896 |
* | Cytori Therapeutics Inc. | 822,260 | 1,891 |
* | Five Star Quality Care Inc. | 334,338 | 1,876 |
* | Anika Therapeutics Inc. | 109,617 | 1,864 |
*,^ | Galena Biopharma Inc. | 824,675 | 1,831 |
CryoLife Inc. | 291,844 | 1,827 | |
* | Puma Biotechnology Inc. | 40,618 | 1,802 |
*,^ | Sunesis Pharmaceuticals Inc. | 340,749 | 1,775 |
* | Chindex International Inc. | 109,390 | 1,774 |
*,^ | Peregrine Pharmaceuticals Inc. | 1,361,607 | 1,756 |
* | Arqule Inc. | 755,492 | 1,753 |
* | XenoPort Inc. | 351,174 | 1,738 |
*,^ | Synta Pharmaceuticals Corp. | 346,707 | 1,730 |
* | NewLink Genetics Corp. | 87,138 | 1,718 |
* | Harvard Bioscience Inc. | 360,690 | 1,706 |
* | Biolase Inc. | 459,288 | 1,644 |
* | Alliance HealthCare Services Inc. | 101,861 | 1,593 |
Almost Family Inc. | 82,058 | 1,559 | |
*,^ | Unilife Corp. | 481,814 | 1,527 |
*,^ | AcelRx Pharmaceuticals Inc. | 162,212 | 1,504 |
*,^ | ZIOPHARM Oncology Inc. | 677,875 | 1,424 |
* | Rochester Medical Corp. | 96,160 | 1,416 |
* | BioDelivery Sciences International Inc. | 344,033 | 1,397 |
* | Zogenix Inc. | 816,073 | 1,395 |
* | RTI Biologics Inc. | 366,590 | 1,378 |
* | Alphatec Holdings Inc. | 650,530 | 1,334 |
* | Targacept Inc. | 310,695 | 1,327 |
* | Greenway Medical Technologies | 103,125 | 1,273 |
* | National Research Corp. Class A | 70,149 | 1,263 |
Psychemedics Corp. | 115,494 | 1,240 | |
* | Cross Country Healthcare Inc. | 238,238 | 1,229 |
* | Merge Healthcare Inc. | 341,358 | 1,229 |
* | Corcept Therapeutics Inc. | 696,146 | 1,204 |
* | Sagent Pharmaceuticals Inc. | 57,288 | 1,202 |
* | AtriCure Inc. | 124,151 | 1,179 |
*,^ | MEI Pharma Inc. | 164,365 | 1,172 |
*,^ | Cleveland Biolabs Inc. | 735,255 | 1,162 |
* | Amicus Therapeutics Inc. | 497,297 | 1,159 |
* | Cutera Inc. | 131,514 | 1,157 |
* | Progenics Pharmaceuticals Inc. | 254,596 | 1,136 |
*,^ | Oncothyreon Inc. | 717,630 | 1,120 |
*,^ | Savient Pharmaceuticals Inc. | 1,985,920 | 1,112 |
*,^ | Celsion Corp. | 1,087,232 | 1,109 |
* | Durect Corp. | 1,054,164 | 1,107 |
*,^ | ImmunoCellular Therapeutics Ltd. | 553,039 | 1,073 |
* | ChemoCentryx Inc. | 75,405 | 1,066 |
*,^ | BioCryst Pharmaceuticals Inc. | 683,160 | 1,059 |
* | Trius Therapeutics Inc. | 129,049 | 1,048 |
Enzon Pharmaceuticals Inc. | 517,838 | 1,036 | |
*,^ | SIGA Technologies Inc. | 364,520 | 1,035 |
Simulations Plus Inc. | 239,959 | 1,001 | |
* | RadNet Inc. | 373,069 | 989 |
* | Pozen Inc. | 194,041 | 972 |
Utah Medical Products Inc. | 17,207 | 934 | |
*,^ | Biotime Inc. | 232,517 | 921 |
27
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Omeros Corp. | 181,731 | 916 |
* | Solta Medical Inc. | 395,067 | 901 |
*,^ | Neostem Inc. | 1,612,586 | 895 |
* | Skilled Healthcare Group Inc. | 132,719 | 887 |
* | Digirad Corp. | 362,665 | 885 |
* | AVEO Pharmaceuticals Inc. | 353,852 | 885 |
LeMaitre Vascular Inc. | 132,140 | 864 | |
* | Merrimack Pharmaceuticals Inc. | 127,027 | 855 |
* | Synergetics USA Inc. | 213,690 | 842 |
*,^ | Supernus Pharmaceuticals Inc. | 129,421 | 832 |
*,^ | PhotoMedex Inc. | 51,423 | 820 |
Pain Therapeutics Inc. | 368,325 | 814 | |
*,^ | Cell Therapeutics Inc. | 773,157 | 812 |
* | Inovio Pharmaceuticals Inc. | 1,006,756 | 801 |
* | Exactech Inc. | 40,053 | 791 |
*,^ | PharmAthene Inc. | 479,678 | 763 |
* | Coronado Biosciences Inc. | 86,710 | 746 |
* | Derma Sciences Inc. | 55,415 | 740 |
* | Iridex Corp. | 124,315 | 735 |
* | Theragenics Corp. | 349,203 | 723 |
* | Vocera Communications Inc. | 47,295 | 695 |
*,^ | Apricus Biosciences Inc. | 294,189 | 691 |
* | Durata Therapeutics Inc. | 95,742 | 689 |
* | Rockwell Medical Inc. | 184,603 | 666 |
* | AdCare Health Systems Inc. | 135,530 | 651 |
* | OncoGenex Pharmaceutical Inc. | 66,063 | 647 |
* | Medical Action Industries Inc. | 83,183 | 641 |
* | Lannett Co. Inc. | 52,945 | 631 |
* | Horizon Pharma Inc. | 253,419 | 623 |
* | Codexis Inc. | 280,678 | 620 |
* | Stemline Therapeutics Inc. | 26,000 | 620 |
* | Hansen Medical Inc. | 429,111 | 618 |
* | Icad Inc. | 101,374 | 608 |
* | Bluebird Bio Inc. | 23,800 | 594 |
*,^ | Acura Pharmaceuticals Inc. | 312,907 | 588 |
* | Cardica Inc. | 526,562 | 584 |
Heska Corp. | 82,386 | 568 | |
* | Anacor Pharmaceuticals Inc. | 101,422 | 567 |
* | Biospecifics Technologies Corp. | 35,296 | 551 |
* | Synthetic Biologics Inc. | 304,381 | 524 |
*,^ | Anthera Pharmaceuticals Inc. Class A | 1,111,255 | 515 |
*,^ | Accelerate Diagnostics Inc. | 63,062 | 512 |
* | Columbia Laboratories Inc. | 776,381 | 502 |
* | pSivida Corp. | 127,464 | 493 |
* | Cel-Sci Corp. | 2,176,698 | 464 |
* | Alexza Pharmaceuticals Inc. | 104,998 | 456 |
* | PDI Inc. | 95,770 | 450 |
* | Sunshine Heart Inc. | 82,977 | 446 |
* | Zalicus Inc. | 775,238 | 437 |
* | Nanosphere Inc. | 137,058 | 421 |
* | Agenus Inc. | 106,756 | 405 |
*,^ | Catalyst Pharmaceutical Partners Inc. | 450,243 | 401 |
* | Zeltiq Aesthetics Inc. | 61,638 | 394 |
Maxygen Inc. | 157,342 | 390 | |
*,^ | BSD Medical Corp. | 293,101 | 387 |
* | Hemispherx Biopharma Inc. | 1,716,241 | 382 |
* | Bovie Medical Corp. | 128,896 | 380 |
* | Cumberland Pharmaceuticals Inc. | 73,721 | 377 |
* | Transcept Pharmaceuticals Inc. | 122,039 | 369 |
* | Enzo Biochem Inc. | 167,570 | 349 |
* | Discovery Laboratories Inc. | 228,757 | 348 |
*,^ | Rexahn Pharmaceuticals Inc. | 779,754 | 346 |
* | Uroplasty Inc. | 157,785 | 327 |
*,^ | Novabay Pharmaceuticals Inc. | 229,441 | 317 |
28
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Mast Therapeutics Inc. | 716,278 | 307 |
* | Baxano Surgical Inc. | 127,801 | 307 |
* | LCA-Vision Inc. | 95,864 | 290 |
*,^ | TrovaGene Inc. | 40,644 | 284 |
* | KYTHERA Biopharmaceuticals Inc. | 9,975 | 270 |
* | Vision Sciences Inc. | 254,570 | 260 |
* | Biodel Inc. | 58,911 | 246 |
* | BG Medicine Inc. | 182,814 | 243 |
*,^ | MELA Sciences Inc. | 260,340 | 242 |
* | Entremed Inc. | 119,606 | 242 |
MGC Diagnostics Corp. | 28,609 | 239 | |
* | CardioNet Inc. | 40,415 | 238 |
* | Authentidate Holding Corp. | 264,899 | 230 |
* | Cyclacel Pharmaceuticals Inc. | 77,728 | 229 |
*,^ | Bacterin International Holdings Inc. | 506,800 | 228 |
* | Cornerstone Therapeutics Inc. | 28,390 | 227 |
*,^ | Medgenics Inc. | 58,101 | 221 |
* | Aastrom Biosciences Inc. | 539,511 | 216 |
Biota Pharmaceuticals Inc. | 62,654 | 216 | |
* | EnteroMedics Inc. | 187,605 | 214 |
* | Alimera Sciences Inc. | 42,100 | 205 |
* | Palatin Technologies Inc. | 341,071 | 205 |
* | IsoRay Inc. | 405,944 | 195 |
*,^ | Delcath Systems Inc. | 526,321 | 195 |
* | iBio Inc. | 459,496 | 193 |
*,^ | MediciNova Inc. | 71,942 | 189 |
*,^ | Oculus Innovative Sciences Inc. | 72,362 | 187 |
* | Ventrus Biosciences Inc. | 72,828 | 175 |
* | Strategic Diagnostics Inc. | 191,933 | 173 |
* | Hooper Holmes Inc. | 466,668 | 168 |
*,^ | Athersys Inc. | 100,548 | 167 |
* | Sharps Compliance Corp. | 63,085 | 165 |
*,^ | StemCells Inc. | 87,804 | 145 |
*,^ | Wright Medical Group Inc. Rights Exp. 12/31/2049 | 52,493 | 142 |
* | Retractable Technologies Inc. | 97,255 | 139 |
* | Hyperion Therapeutics Inc. | 6,300 | 139 |
* | Prothena Corp. plc | 10,600 | 137 |
* | Fonar Corp. | 20,467 | 134 |
* | Chimerix Inc. | 5,536 | 134 |
*,^ | Opexa Therapeutics Inc. | 87,158 | 132 |
* | Bioanalytical Systems Inc. | 86,496 | 125 |
*,^ | Vermillion Inc. | 42,024 | 112 |
* | CAS Medical Systems Inc. | 66,116 | 109 |
* | NeoGenomics Inc. | 24,900 | 99 |
* | Regulus Therapeutics Inc. | 9,982 | 98 |
*,^ | Stereotaxis Inc. | 60,304 | 94 |
* | American Caresource Holdings Inc. | 51,566 | 92 |
* | Galectin Therapeutics Inc. | 19,819 | 84 |
* | Chembio Diagnostics Inc. | 16,755 | 84 |
* | ERBA Diagnostics Inc. | 98,100 | 83 |
* | ProPhase Labs Inc. | 52,286 | 81 |
* | Misonix Inc. | 15,828 | 81 |
* | Escalon Medical Corp. | 59,011 | 71 |
* | CytRx Corp. | 35,261 | 71 |
* | Lpath Inc. Class A | 14,508 | 64 |
* | VirtualScopics Inc. | 161,804 | 61 |
* | NuPathe Inc. | 18,702 | 57 |
*,^ | Biosante Pharmaceuticals Inc. | 56,995 | 57 |
* | Arrowhead Research Corp. | 28,201 | 56 |
* | TG Therapeutics Inc. | 8,508 | 54 |
* | SunLink Health Systems Inc. | 59,900 | 49 |
* | Pernix Therapeutics Holdings | 12,733 | 46 |
* | Tranzyme Inc. | 95,100 | 45 |
* | Venaxis Inc. | 34,036 | 41 |
29
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Ligand Pharmaceuticals Inc. TR Beta Contingent Value Rights | 395,811 | 40 |
* | Ligand Pharmaceuticals Inc. Glucagon Contingent Value Rights | 395,811 | 40 |
*,^ | CombiMatrix Corp. | 9,624 | 31 |
* | Metabolix Inc. | 20,961 | 30 |
* | Allied Healthcare Products | 10,415 | 29 |
* | Urologix Inc. | 160,918 | 27 |
*,^ | Cardium Therapeutics Inc. | 306,488 | 21 |
* | Telik Inc. | 14,700 | 20 |
* | ARCA Biopharma Inc. | 10,323 | 13 |
* | Ligand Pharmaceuticals Inc. Roche Contingent Value Rights | 395,811 | 13 |
Ligand Pharmaceuticals Inc. General Contingent Value Rights | 395,811 | 10 | |
* | Cempra Inc. | 1,200 | 9 |
* | Response Genetics Inc. | 5,675 | 9 |
* | Oxygen Biotherapeutics Inc. | 2,210 | 7 |
* | NeuroMetrix Inc. | 1,751 | 4 |
* | DARA Biosciences Inc. | 5,069 | 3 |
* | GenVec Inc. | 800 | — |
3,210,683 | |||
Industrials (15.6%) | |||
* | Delta Air Lines Inc. | 7,448,697 | 139,365 |
* | United Continental Holdings Inc. | 2,939,540 | 91,978 |
AMETEK Inc. | 2,143,733 | 90,680 | |
* | Hertz Global Holdings Inc. | 3,523,627 | 87,386 |
* | Verisk Analytics Inc. Class A | 1,289,575 | 76,988 |
TransDigm Group Inc. | 401,228 | 62,900 | |
Nielsen Holdings NV | 1,850,391 | 62,155 | |
* | B/E Aerospace Inc. | 921,879 | 58,152 |
JB Hunt Transport Services Inc. | 796,916 | 57,569 | |
Chicago Bridge & Iron Co. NV | 945,247 | 56,393 | |
Fortune Brands Home & Security Inc. | 1,452,531 | 56,271 | |
Hubbell Inc. Class B | 472,185 | 46,746 | |
* | IHS Inc. Class A | 442,097 | 46,146 |
Wabtec Corp. | 850,910 | 45,464 | |
Waste Connections Inc. | 1,092,149 | 44,931 | |
AGCO Corp. | 861,107 | 43,219 | |
Donaldson Co. Inc. | 1,196,328 | 42,661 | |
KBR Inc. | 1,301,134 | 42,287 | |
Lincoln Electric Holdings Inc. | 734,138 | 42,044 | |
* | United Rentals Inc. | 833,851 | 41,617 |
* | WABCO Holdings Inc. | 552,044 | 41,232 |
* | Owens Corning | 1,052,201 | 41,120 |
Towers Watson & Co. Class A | 498,090 | 40,813 | |
* | Kirby Corp. | 502,051 | 39,933 |
Timken Co. | 706,221 | 39,746 | |
* | Sensata Technologies Holding NV | 1,130,014 | 39,437 |
IDEX Corp. | 727,676 | 39,156 | |
* | Colfax Corp. | 742,698 | 38,702 |
Manpowergroup Inc. | 678,972 | 37,208 | |
* | Genesee & Wyoming Inc. Class A | 438,245 | 37,181 |
Triumph Group Inc. | 456,482 | 36,131 | |
Carlisle Cos. Inc. | 560,118 | 34,901 | |
Nordson Corp. | 500,096 | 34,662 | |
Graco Inc. | 542,884 | 34,316 | |
Gardner Denver Inc. | 434,999 | 32,703 | |
* | Alaska Air Group Inc. | 621,587 | 32,323 |
MSC Industrial Direct Co. Inc. Class A | 412,258 | 31,933 | |
URS Corp. | 671,594 | 31,713 | |
* | Hexcel Corp. | 886,268 | 30,177 |
Babcock & Wilcox Co. | 992,939 | 29,818 | |
SPX Corp. | 414,100 | 29,807 | |
Valmont Industries Inc. | 207,159 | 29,642 | |
* | Oshkosh Corp. | 779,067 | 29,581 |
* | Copart Inc. | 945,820 | 29,131 |
* | AECOM Technology Corp. | 912,151 | 28,997 |
30
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Acuity Brands Inc. | 377,067 | 28,476 | |
* | Middleby Corp. | 165,381 | 28,130 |
* | Avis Budget Group Inc. | 957,039 | 27,515 |
Kennametal Inc. | 696,739 | 27,054 | |
Trinity Industries Inc. | 697,193 | 26,800 | |
* | WESCO International Inc. | 390,452 | 26,535 |
*,^ | US Airways Group Inc. | 1,593,698 | 26,169 |
Lennox International Inc. | 403,587 | 26,047 | |
* | Terex Corp. | 988,022 | 25,985 |
* | Old Dominion Freight Line Inc. | 621,950 | 25,886 |
Crane Co. | 430,009 | 25,766 | |
Regal-Beloit Corp. | 395,925 | 25,672 | |
* | Teledyne Technologies Inc. | 328,853 | 25,437 |
* | Chart Industries Inc. | 268,365 | 25,250 |
Huntington Ingalls Industries Inc. | 443,480 | 25,048 | |
AO Smith Corp. | 685,574 | 24,873 | |
* | MRC Global Inc. | 895,055 | 24,721 |
* | Clean Harbors Inc. | 476,307 | 24,068 |
EMCOR Group Inc. | 590,729 | 24,013 | |
Alliant Techsystems Inc. | 284,828 | 23,450 | |
ITT Corp. | 794,324 | 23,361 | |
Covanta Holding Corp. | 1,155,511 | 23,133 | |
Toro Co. | 508,881 | 23,108 | |
Exelis Inc. | 1,656,066 | 22,837 | |
CLARCOR Inc. | 437,335 | 22,833 | |
^ | RR Donnelley & Sons Co. | 1,608,594 | 22,536 |
Watsco Inc. | 261,253 | 21,935 | |
Actuant Corp. Class A | 651,388 | 21,476 | |
Woodward Inc. | 532,621 | 21,305 | |
Manitowoc Co. Inc. | 1,182,812 | 21,184 | |
Landstar System Inc. | 409,824 | 21,106 | |
EnerSys Inc. | 426,744 | 20,928 | |
* | Spirit Aerosystems Holdings Inc. Class A | 973,808 | 20,917 |
* | Moog Inc. Class A | 398,852 | 20,553 |
* | DigitalGlobe Inc. | 658,837 | 20,431 |
* | Esterline Technologies Corp. | 276,849 | 20,013 |
* | Navistar International Corp. | 714,168 | 19,825 |
GATX Corp. | 411,928 | 19,538 | |
Con-way Inc. | 499,920 | 19,477 | |
Belden Inc. | 389,467 | 19,446 | |
Generac Holdings Inc. | 519,781 | 19,237 | |
* | Foster Wheeler AG | 881,472 | 19,137 |
Corporate Executive Board Co. | 298,762 | 18,888 | |
* | USG Corp. | 799,974 | 18,439 |
Applied Industrial Technologies Inc. | 376,827 | 18,212 | |
Air Lease Corp. Class A | 660,041 | 18,211 | |
* | Advisory Board Co. | 309,026 | 16,888 |
*,^ | Polypore International Inc. | 416,761 | 16,795 |
* | MasTec Inc. | 510,329 | 16,790 |
Harsco Corp. | 718,115 | 16,653 | |
* | Beacon Roofing Supply Inc. | 432,468 | 16,382 |
KAR Auction Services Inc. | 701,065 | 16,033 | |
HEICO Corp. | 315,810 | 15,907 | |
Deluxe Corp. | 454,751 | 15,757 | |
Curtiss-Wright Corp. | 418,329 | 15,503 | |
UTi Worldwide Inc. | 930,243 | 15,321 | |
Rollins Inc. | 589,285 | 15,262 | |
Healthcare Services Group Inc. | 611,209 | 14,987 | |
HNI Corp. | 402,598 | 14,522 | |
Herman Miller Inc. | 523,064 | 14,159 | |
Allegiant Travel Co. Class A | 133,110 | 14,108 | |
General Cable Corp. | 445,058 | 13,686 | |
* | Tetra Tech Inc. | 577,663 | 13,581 |
TAL International Group Inc. | 302,429 | 13,177 |
31
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Spirit Airlines Inc. | 412,965 | 13,120 |
Mine Safety Appliances Co. | 278,794 | 12,978 | |
Mueller Industries Inc. | 251,816 | 12,699 | |
Barnes Group Inc. | 423,283 | 12,694 | |
Brady Corp. Class A | 412,583 | 12,679 | |
* | JetBlue Airways Corp. | 2,011,934 | 12,675 |
* | Swift Transportation Co. | 751,279 | 12,426 |
UniFirst Corp. | 133,772 | 12,207 | |
United Stationers Inc. | 361,104 | 12,115 | |
* | FTI Consulting Inc. | 356,770 | 11,734 |
Franklin Electric Co. Inc. | 346,878 | 11,672 | |
* | Hub Group Inc. Class A | 315,473 | 11,490 |
Watts Water Technologies Inc. Class A | 252,802 | 11,462 | |
* | Mobile Mini Inc. | 342,095 | 11,340 |
ABM Industries Inc. | 454,573 | 11,142 | |
Brink's Co. | 426,786 | 10,887 | |
* | Trimas Corp. | 289,116 | 10,778 |
* | RBC Bearings Inc. | 205,598 | 10,681 |
Simpson Manufacturing Co. Inc. | 361,613 | 10,639 | |
AMERCO | 64,846 | 10,499 | |
* | On Assignment Inc. | 390,954 | 10,446 |
Steelcase Inc. Class A | 701,778 | 10,232 | |
Forward Air Corp. | 265,575 | 10,166 | |
* | Atlas Air Worldwide Holdings Inc. | 228,618 | 10,004 |
Raven Industries Inc. | 326,823 | 9,798 | |
Mueller Water Products Inc. Class A | 1,416,729 | 9,790 | |
Werner Enterprises Inc. | 400,593 | 9,682 | |
Acacia Research Corp. | 433,178 | 9,682 | |
Matson Inc. | 383,272 | 9,582 | |
* | Huron Consulting Group Inc. | 206,488 | 9,548 |
Granite Construction Inc. | 320,527 | 9,539 | |
* | EnPro Industries Inc. | 186,406 | 9,462 |
* | Orbital Sciences Corp. | 535,826 | 9,307 |
* | Armstrong World Industries Inc. | 190,588 | 9,108 |
Knight Transportation Inc. | 530,796 | 8,928 | |
*,^ | GenCorp Inc. | 548,148 | 8,913 |
* | Nortek Inc. | 136,917 | 8,822 |
AZZ Inc. | 228,249 | 8,801 | |
Interface Inc. Class A | 516,130 | 8,759 | |
Lindsay Corp. | 115,267 | 8,643 | |
Cubic Corp. | 178,802 | 8,600 | |
Briggs & Stratton Corp. | 431,940 | 8,552 | |
Albany International Corp. | 258,997 | 8,542 | |
Kaman Corp. | 239,375 | 8,273 | |
* | GrafTech International Ltd. | 1,135,118 | 8,264 |
G&K Services Inc. Class A | 173,245 | 8,246 | |
* | Korn/Ferry International | 436,033 | 8,171 |
Aircastle Ltd. | 508,552 | 8,132 | |
Titan International Inc. | 478,628 | 8,074 | |
Tennant Co. | 166,479 | 8,036 | |
CIRCOR International Inc. | 157,162 | 7,993 | |
Kaydon Corp. | 288,497 | 7,948 | |
* | Aegion Corp. Class A | 350,809 | 7,897 |
* | II-VI Inc. | 483,152 | 7,856 |
AAR Corp. | 355,663 | 7,817 | |
ESCO Technologies Inc. | 236,948 | 7,672 | |
* | TrueBlue Inc. | 364,179 | 7,666 |
* | Rush Enterprises Inc. Class A | 302,341 | 7,483 |
Sun Hydraulics Corp. | 235,098 | 7,354 | |
Universal Forest Products Inc. | 178,400 | 7,122 | |
McGrath RentCorp | 208,378 | 7,118 | |
Exponent Inc. | 119,077 | 7,039 | |
* | Dycom Industries Inc. | 296,372 | 6,858 |
* | Wesco Aircraft Holdings Inc. | 365,711 | 6,791 |
32
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Altra Holdings Inc. | 242,862 | 6,650 | |
* | Team Inc. | 172,191 | 6,517 |
Astec Industries Inc. | 189,069 | 6,483 | |
* | ACCO Brands Corp. | 1,017,979 | 6,474 |
* | Saia Inc. | 214,554 | 6,430 |
AAON Inc. | 191,392 | 6,331 | |
* | Trex Co. Inc. | 133,113 | 6,322 |
SkyWest Inc. | 464,897 | 6,295 | |
* | Wabash National Corp. | 614,744 | 6,258 |
Arkansas Best Corp. | 271,872 | 6,239 | |
Apogee Enterprises Inc. | 255,730 | 6,138 | |
* | Meritor Inc. | 870,003 | 6,134 |
Knoll Inc. | 429,483 | 6,103 | |
Comfort Systems USA Inc. | 407,496 | 6,080 | |
Standex International Corp. | 115,211 | 6,077 | |
Insperity Inc. | 199,607 | 6,048 | |
* | Tutor Perini Corp. | 323,761 | 5,857 |
John Bean Technologies Corp. | 278,532 | 5,852 | |
* | DXP Enterprises Inc. | 87,418 | 5,822 |
Heartland Express Inc. | 419,174 | 5,814 | |
Encore Wire Corp. | 168,324 | 5,740 | |
Quanex Building Products Corp. | 332,900 | 5,606 | |
Primoris Services Corp. | 278,366 | 5,489 | |
* | Navigant Consulting Inc. | 455,335 | 5,464 |
H&E Equipment Services Inc. | 259,139 | 5,460 | |
* | Greenbrier Cos. Inc. | 220,813 | 5,381 |
* | WageWorks Inc. | 155,517 | 5,358 |
* | Blount International Inc. | 440,651 | 5,208 |
* | ICF International Inc. | 162,772 | 5,129 |
* | Federal Signal Corp. | 572,121 | 5,006 |
Griffon Corp. | 439,990 | 4,950 | |
Resources Connection Inc. | 423,218 | 4,909 | |
* | Taser International Inc. | 564,065 | 4,806 |
Viad Corp. | 195,460 | 4,793 | |
US Ecology Inc. | 171,016 | 4,693 | |
American Science & Engineering Inc. | 83,422 | 4,672 | |
Quad/Graphics Inc. | 191,696 | 4,620 | |
Hyster-Yale Materials Handling Inc. | 72,666 | 4,563 | |
* | Consolidated Graphics Inc. | 96,132 | 4,519 |
* | Rexnord Corp. | 266,818 | 4,496 |
Gorman-Rupp Co. | 139,860 | 4,453 | |
Celadon Group Inc. | 231,616 | 4,227 | |
* | Proto Labs Inc. | 64,520 | 4,192 |
Kelly Services Inc. Class A | 239,595 | 4,186 | |
* | Columbus McKinnon Corp. | 188,413 | 4,017 |
Kforce Inc. | 271,734 | 3,967 | |
Barrett Business Services Inc. | 75,880 | 3,962 | |
Great Lakes Dredge & Dock Corp. | 503,940 | 3,941 | |
* | American Woodmark Corp. | 112,119 | 3,891 |
Ennis Inc. | 221,848 | 3,836 | |
* | Powell Industries Inc. | 73,988 | 3,821 |
Kadant Inc. | 124,289 | 3,750 | |
* | Gibraltar Industries Inc. | 256,957 | 3,741 |
* | MYR Group Inc. | 191,818 | 3,731 |
*,^ | YRC Worldwide Inc. | 128,473 | 3,694 |
* | Republic Airways Holdings Inc. | 325,809 | 3,691 |
Marten Transport Ltd. | 235,014 | 3,683 | |
* | Kratos Defense & Security Solutions Inc. | 557,230 | 3,611 |
National Presto Industries Inc. | 49,804 | 3,587 | |
LB Foster Co. Class A | 82,539 | 3,563 | |
Aceto Corp. | 251,963 | 3,510 | |
Multi-Color Corp. | 110,247 | 3,345 | |
*,^ | Capstone Turbine Corp. | 2,847,729 | 3,332 |
* | Standard Parking Corp. | 152,822 | 3,280 |
33
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Engility Holdings Inc. | 114,057 | 3,241 |
Heidrick & Struggles International Inc. | 188,713 | 3,155 | |
West Corp. | 140,193 | 3,104 | |
* | Layne Christensen Co. | 158,282 | 3,088 |
* | CBIZ Inc. | 459,640 | 3,084 |
* | Aerovironment Inc. | 152,290 | 3,073 |
*,^ | XPO Logistics Inc. | 169,827 | 3,072 |
Alamo Group Inc. | 74,794 | 3,053 | |
* | Air Transport Services Group Inc. | 461,804 | 3,053 |
* | Astronics Corp. | 73,712 | 3,013 |
*,^ | Titan Machinery Inc. | 152,417 | 2,992 |
HEICO Corp. Class A | 80,937 | 2,987 | |
*,^ | SolarCity Corp. | 78,610 | 2,969 |
* | InnerWorkings Inc. | 273,449 | 2,967 |
* | Thermon Group Holdings Inc. | 144,653 | 2,951 |
* | GP Strategies Corp. | 122,021 | 2,907 |
* | Lydall Inc. | 197,890 | 2,889 |
* | Pendrell Corp. | 1,098,695 | 2,879 |
* | Park-Ohio Holdings Corp. | 86,852 | 2,864 |
* | Accuride Corp. | 547,604 | 2,771 |
* | Northwest Pipe Co. | 99,313 | 2,771 |
* | Orion Marine Group Inc. | 225,532 | 2,727 |
American Railcar Industries Inc. | 81,036 | 2,716 | |
* | Roadrunner Transportation Systems Inc. | 96,934 | 2,699 |
Houston Wire & Cable Co. | 192,603 | 2,666 | |
Insteel Industries Inc. | 149,567 | 2,620 | |
* | Hawaiian Holdings Inc. | 408,549 | 2,496 |
Global Power Equipment Group Inc. | 152,387 | 2,456 | |
Graham Corp. | 81,273 | 2,441 | |
Michael Baker Corp. | 89,778 | 2,434 | |
* | RPX Corp. | 143,369 | 2,409 |
* | EnerNOC Inc. | 181,121 | 2,402 |
* | Ducommun Inc. | 112,690 | 2,396 |
Douglas Dynamics Inc. | 184,547 | 2,395 | |
* | CAI International Inc. | 100,172 | 2,361 |
* | AT Cross Co. Class A | 137,728 | 2,334 |
* | NCI Building Systems Inc. | 148,034 | 2,263 |
* | Mistras Group Inc. | 128,595 | 2,261 |
Kimball International Inc. Class B | 229,999 | 2,233 | |
*,^ | Odyssey Marine Exploration Inc. | 746,335 | 2,209 |
VSE Corp. | 53,516 | 2,198 | |
CDI Corp. | 154,836 | 2,192 | |
Pike Electric Corp. | 176,366 | 2,169 | |
Coleman Cable Inc. | 119,303 | 2,155 | |
* | Pacer International Inc. | 338,442 | 2,136 |
FreightCar America Inc. | 123,079 | 2,091 | |
* | KEYW Holding Corp. | 156,750 | 2,077 |
* | Echo Global Logistics Inc. | 103,034 | 2,008 |
* | Furmanite Corp. | 287,605 | 1,924 |
* | Builders FirstSource Inc. | 320,700 | 1,918 |
Dynamic Materials Corp. | 114,573 | 1,892 | |
NN Inc. | 164,562 | 1,878 | |
Ceco Environmental Corp. | 149,590 | 1,840 | |
* | PowerSecure International Inc. | 119,488 | 1,796 |
Ampco-Pittsburgh Corp. | 93,092 | 1,747 | |
* | Edgen Group Inc. | 267,003 | 1,703 |
* | LMI Aerospace Inc. | 89,195 | 1,671 |
*,^ | ExOne Co. | 26,900 | 1,660 |
Met-Pro Corp. | 122,891 | 1,652 | |
* | Performant Financial Corp. | 141,992 | 1,646 |
Twin Disc Inc. | 69,364 | 1,644 | |
* | FuelCell Energy Inc. | 1,279,651 | 1,625 |
* | Commercial Vehicle Group Inc. | 215,523 | 1,608 |
* | CRA International Inc. | 85,735 | 1,584 |
34
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
LSI Industries Inc. | 193,888 | 1,569 | |
* | Franklin Covey Co. | 114,259 | 1,538 |
* | Vicor Corp. | 222,642 | 1,525 |
Intersections Inc. | 171,434 | 1,503 | |
Schawk Inc. Class A | 114,357 | 1,501 | |
Preformed Line Products Co. | 22,204 | 1,472 | |
* | Energy Recovery Inc. | 352,703 | 1,457 |
* | Tecumseh Products Co. Class A | 132,467 | 1,448 |
* | Universal Truckload Services Inc. | 57,202 | 1,379 |
* | Xerium Technologies Inc. | 134,172 | 1,366 |
NL Industries Inc. | 118,240 | 1,336 | |
International Shipholding Corp. | 56,822 | 1,326 | |
Miller Industries Inc. | 85,479 | 1,315 | |
*,^ | American Superconductor Corp. | 471,330 | 1,244 |
* | Sterling Construction Co. Inc. | 131,257 | 1,189 |
* | PGT Inc. | 135,318 | 1,173 |
* | Quality Distribution Inc. | 132,424 | 1,171 |
Courier Corp. | 81,319 | 1,161 | |
* | Flow International Corp. | 314,628 | 1,161 |
Hurco Cos. Inc. | 40,210 | 1,157 | |
* | Patrick Industries Inc. | 55,633 | 1,157 |
* | Cenveo Inc. | 540,633 | 1,152 |
* | ARC Document Solutions Inc. | 287,187 | 1,149 |
* | BlueLinx Holdings Inc. | 533,925 | 1,148 |
* | Ameresco Inc. Class A | 121,222 | 1,092 |
* | CPI Aerostructures Inc. | 96,915 | 1,052 |
* | Patriot Transportation Holding Inc. | 34,975 | 1,051 |
* | Swisher Hygiene Inc. | 1,156,095 | 994 |
Hardinge Inc. | 66,364 | 981 | |
* | Willis Lease Finance Corp. | 70,407 | 951 |
* | TRC Cos. Inc. | 133,600 | 935 |
* | Casella Waste Systems Inc. Class A | 209,903 | 905 |
* | Rand Logistics Inc. | 175,633 | 901 |
* | Magnetek Inc. | 49,098 | 885 |
Allied Motion Technologies Inc. | 128,498 | 880 | |
* | Lawson Products Inc. | 67,897 | 872 |
^ | Acorn Energy Inc. | 103,247 | 871 |
Argan Inc. | 55,105 | 860 | |
PAM Transportation Services Inc. | 82,882 | 843 | |
* | USA Truck Inc. | 123,169 | 793 |
Baltic Trading Ltd. | 210,827 | 782 | |
TMS International Corp. Class A | 51,243 | 760 | |
SIFCO Industries Inc. | 46,392 | 751 | |
* | PMFG Inc. | 107,380 | 743 |
Innovative Solutions & Support Inc. | 115,439 | 739 | |
* | Astronics Corp. Class B | 18,109 | 736 |
* | Active Power Inc. | 174,715 | 730 |
* | Supreme Industries Inc. Class A | 137,574 | 688 |
* | Hudson Technologies Inc. | 212,882 | 679 |
* | Manitex International Inc. | 51,159 | 560 |
* | Key Technology Inc. | 38,521 | 552 |
* | Mfri Inc. | 45,537 | 518 |
Eastern Co. | 31,545 | 505 | |
* | Hudson Global Inc. | 201,628 | 500 |
Providence and Worcester Railroad Co. | 31,838 | 489 | |
* | Dolan Co. | 295,489 | 482 |
*,^ | Revolution Lighting Technologies Inc. | 119,475 | 478 |
Ecology and Environment Inc. | 45,100 | 474 | |
* | API Technologies Corp. | 168,654 | 472 |
* | Fuel Tech Inc. | 116,591 | 447 |
* | Virco Manufacturing Corp. | 188,287 | 441 |
* | Hill International Inc. | 153,395 | 420 |
Omega Flex Inc. | 28,118 | 418 | |
*,^ | Real Goods Solar Inc. Class A | 164,260 | 417 |
35
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Integrated Electrical Services Inc. | 93,724 | 417 |
* | Frozen Food Express Industries | 240,329 | 387 |
LS Starrett Co. Class A | 36,454 | 373 | |
* | Ultralife Corp. | 98,312 | 350 |
* | Heritage-Crystal Clean Inc. | 23,754 | 347 |
*,^ | Genco Shipping & Trading Ltd. | 191,065 | 311 |
* | Innotrac Corp. | 74,779 | 292 |
* | Gencor Industries Inc. | 41,010 | 292 |
* | Metalico Inc. | 233,872 | 281 |
RCM Technologies Inc. | 47,961 | 260 | |
* | American Electric Technologies Inc. | 36,486 | 260 |
Sypris Solutions Inc. | 79,234 | 254 | |
* | Arotech Corp. | 169,158 | 254 |
* | Orion Energy Systems Inc. | 98,835 | 245 |
* | Covenant Transportation Group Inc. Class A | 39,032 | 244 |
* | Lightbridge Corp. | 138,189 | 236 |
*,^ | Ascent Solar Technologies Inc. | 281,332 | 219 |
* | Astrotech Corp. | 304,120 | 213 |
*,^ | Ocean Power Technologies Inc. | 123,481 | 200 |
*,^ | Enphase Energy Inc. | 25,653 | 198 |
* | Versar Inc. | 42,809 | 194 |
* | Taylor Devices Inc. | 23,333 | 194 |
* | AMREP Corp. | 20,062 | 186 |
* | Transcat Inc. | 25,670 | 175 |
* | Sparton Corp. | 9,063 | 156 |
Servotronics Inc. | 19,902 | 155 | |
Mastech Holdings Inc. | 19,414 | 149 | |
* | Jewett-Cameron Trading Ltd. | 12,494 | 144 |
* | Eagle Bulk Shipping Inc. | 38,415 | 140 |
* | Breeze-Eastern Corp. | 15,615 | 137 |
* | UniTek Global Services Inc. | 94,665 | 133 |
* | Tecumseh Products Co. Class B | 11,900 | 132 |
* | Essex Rental Corp. | 30,245 | 131 |
* | Rush Enterprises Inc. Class B | 5,550 | 119 |
* | Perma-Fix Environmental Services | 305,178 | 110 |
*,^ | Ecotality Inc. | 58,778 | 91 |
* | Adept Technology Inc. | 19,136 | 74 |
* | ZBB Energy Corp. | 271,560 | 71 |
* | Lime Energy Co. | 88,932 | 59 |
Hubbell Inc. Class A | 500 | 45 | |
* | Industrial Services of America Inc. | 13,228 | 33 |
* | Altair Nanotechnologies Inc. | 12,362 | 27 |
* | Luna Innovations Inc. | 17,858 | 23 |
* | DLH Holdings Corp. | 17,157 | 15 |
* | CTPartners Executive Search Inc. | 2,973 | 13 |
* | General Finance Corp. | 1,811 | 8 |
* | Spherix Inc. | 1,456 | 6 |
* | Innovaro Inc. | 36,380 | 3 |
* | Plug Power Inc. | 6,800 | 3 |
* | Universal Power Group Inc. | 800 | 1 |
4,587,036 | |||
Information Technology (14.9%) | |||
* | Facebook Inc. Class A | 4,895,378 | 121,699 |
* | LinkedIn Corp. Class A | 612,034 | 109,126 |
* | Equinix Inc. | 434,450 | 80,252 |
* | Alliance Data Systems Corp. | 432,957 | 78,378 |
Avago Technologies Ltd. Class A | 1,907,775 | 71,313 | |
Maxim Integrated Products Inc. | 2,562,199 | 71,178 | |
* | Cree Inc. | 1,037,986 | 66,286 |
* | ANSYS Inc. | 820,447 | 59,975 |
* | Trimble Navigation Ltd. | 2,251,668 | 58,566 |
Activision Blizzard Inc. | 3,738,193 | 53,307 | |
* | VMware Inc. Class A | 753,769 | 50,495 |
* | Synopsys Inc. | 1,360,835 | 48,650 |
36
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | NCR Corp. | 1,447,142 | 47,741 |
* | FleetCor Technologies Inc. | 583,342 | 47,426 |
* | Gartner Inc. | 825,202 | 47,028 |
* | Nuance Communications Inc. | 2,237,645 | 41,128 |
* | Avnet Inc. | 1,212,732 | 40,748 |
* | Skyworks Solutions Inc. | 1,691,821 | 37,034 |
* | Rackspace Hosting Inc. | 976,123 | 36,985 |
* | Arrow Electronics Inc. | 926,159 | 36,907 |
^ | FactSet Research Systems Inc. | 358,100 | 36,505 |
* | Cadence Design Systems Inc. | 2,491,089 | 36,071 |
*,^ | 3D Systems Corp. | 820,233 | 36,008 |
Jack Henry & Associates Inc. | 762,010 | 35,914 | |
Solera Holdings Inc. | 608,727 | 33,876 | |
* | Informatica Corp. | 951,390 | 33,280 |
* | Concur Technologies Inc. | 402,916 | 32,789 |
IAC/InterActiveCorp | 681,362 | 32,406 | |
* | ON Semiconductor Corp. | 3,997,150 | 32,297 |
Global Payments Inc. | 684,655 | 31,713 | |
* | CoStar Group Inc. | 239,892 | 30,963 |
* | MICROS Systems Inc. | 696,075 | 30,036 |
* | Ultimate Software Group Inc. | 252,595 | 29,627 |
* | TIBCO Software Inc. | 1,372,243 | 29,366 |
* | CommVault Systems Inc. | 383,060 | 29,070 |
Broadridge Financial Solutions Inc. | 1,067,116 | 28,364 | |
* | NeuStar Inc. Class A | 582,302 | 28,346 |
* | Atmel Corp. | 3,787,694 | 27,840 |
* | WEX Inc. | 341,489 | 26,192 |
* | ViaSat Inc. | 362,025 | 25,870 |
* | PTC Inc. | 1,052,393 | 25,815 |
* | Ingram Micro Inc. | 1,346,464 | 25,569 |
AOL Inc. | 687,765 | 25,090 | |
FEI Co. | 339,486 | 24,779 | |
Lender Processing Services Inc. | 747,662 | 24,187 | |
* | Aspen Technology Inc. | 833,244 | 23,989 |
National Instruments Corp. | 837,388 | 23,397 | |
* | NetSuite Inc. | 254,413 | 23,340 |
* | Brocade Communications Systems Inc. | 3,987,238 | 22,966 |
MAXIMUS Inc. | 303,915 | 22,636 | |
* | Riverbed Technology Inc. | 1,438,536 | 22,384 |
* | Vantiv Inc. Class A | 788,943 | 21,775 |
* | SolarWinds Inc. | 542,801 | 21,066 |
* | Rovi Corp. | 918,271 | 20,973 |
* | Semtech Corp. | 597,244 | 20,921 |
* | Fortinet Inc. | 1,188,763 | 20,803 |
* | Zebra Technologies Corp. | 454,231 | 19,732 |
Compuware Corp. | 1,896,935 | 19,633 | |
* | CoreLogic Inc. | 844,988 | 19,578 |
Diebold Inc. | 566,018 | 19,069 | |
* | QLIK Technologies Inc. | 662,217 | 18,721 |
* | Microsemi Corp. | 822,167 | 18,704 |
* | Anixter International Inc. | 239,715 | 18,173 |
* | Ciena Corp. | 893,726 | 17,356 |
DST Systems Inc. | 262,788 | 17,168 | |
Lexmark International Inc. Class A | 554,682 | 16,957 | |
* | SunEdison Inc. | 2,065,602 | 16,876 |
Plantronics Inc. | 383,039 | 16,823 | |
* | SS&C Technologies Holdings Inc. | 508,444 | 16,728 |
* | Tyler Technologies Inc. | 241,872 | 16,580 |
* | Verint Systems Inc. | 466,810 | 16,558 |
Mentor Graphics Corp. | 846,027 | 16,540 | |
* | ACI Worldwide Inc. | 353,489 | 16,430 |
* | Vishay Intertechnology Inc. | 1,181,731 | 16,414 |
Cognex Corp. | 359,265 | 16,246 | |
Convergys Corp. | 929,725 | 16,205 |
37
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | VeriFone Systems Inc. | 963,413 | 16,195 |
* | Pandora Media Inc. | 879,644 | 16,185 |
InterDigital Inc. | 362,171 | 16,171 | |
j2 Global Inc. | 380,036 | 16,155 | |
* | Polycom Inc. | 1,525,173 | 16,075 |
* | Cavium Inc. | 454,277 | 16,068 |
* | Tech Data Corp. | 338,050 | 15,919 |
* | Fairchild Semiconductor International Inc. Class A | 1,137,796 | 15,702 |
* | ValueClick Inc. | 636,173 | 15,701 |
^ | IPG Photonics Corp. | 255,953 | 15,544 |
* | Sourcefire Inc. | 275,620 | 15,311 |
* | Acxiom Corp. | 661,698 | 15,007 |
* | Itron Inc. | 352,096 | 14,939 |
Littelfuse Inc. | 197,380 | 14,727 | |
* | Aruba Networks Inc. | 957,870 | 14,713 |
* | ARRIS Group Inc. | 1,022,875 | 14,678 |
Fair Isaac Corp. | 317,645 | 14,558 | |
* | Silicon Laboratories Inc. | 346,025 | 14,329 |
Dolby Laboratories Inc. Class A | 427,469 | 14,299 | |
* | Finisar Corp. | 834,121 | 14,138 |
* | Hittite Microwave Corp. | 241,350 | 13,998 |
* | EchoStar Corp. Class A | 352,544 | 13,788 |
* | Dealertrack Technologies Inc. | 385,560 | 13,660 |
* | RF Micro Devices Inc. | 2,509,759 | 13,427 |
* | Workday Inc. Class A | 208,513 | 13,364 |
Blackbaud Inc. | 408,222 | 13,296 | |
* | Manhattan Associates Inc. | 172,313 | 13,296 |
* | Euronet Worldwide Inc. | 413,979 | 13,189 |
* | CACI International Inc. Class A | 206,162 | 13,089 |
Cypress Semiconductor Corp. | 1,205,808 | 12,938 | |
* | International Rectifier Corp. | 617,413 | 12,929 |
* | Sapient Corp. | 988,196 | 12,906 |
ADTRAN Inc. | 524,018 | 12,896 | |
* | OpenTable Inc. | 200,477 | 12,820 |
* | WebMD Health Corp. | 433,824 | 12,741 |
MKS Instruments Inc. | 469,881 | 12,471 | |
* | Palo Alto Networks Inc. | 294,012 | 12,396 |
* | Veeco Instruments Inc. | 349,094 | 12,365 |
* | TiVo Inc. | 1,115,129 | 12,322 |
* | Take-Two Interactive Software Inc. | 820,668 | 12,285 |
* | Cornerstone OnDemand Inc. | 281,104 | 12,169 |
Heartland Payment Systems Inc. | 324,696 | 12,095 | |
Coherent Inc. | 216,819 | 11,940 | |
* | Zynga Inc. Class A | 4,285,266 | 11,913 |
* | Entegris Inc. | 1,241,884 | 11,661 |
* | Electronics for Imaging Inc. | 410,976 | 11,626 |
* | PMC - Sierra Inc. | 1,814,234 | 11,520 |
* | Splunk Inc. | 244,256 | 11,324 |
* | Progress Software Corp. | 487,737 | 11,223 |
* | Synaptics Inc. | 288,075 | 11,108 |
* | Cardtronics Inc. | 401,195 | 11,073 |
* | Infinera Corp. | 1,025,471 | 10,942 |
* | Guidewire Software Inc. | 259,820 | 10,925 |
* | OSI Systems Inc. | 164,919 | 10,624 |
* | Sanmina Corp. | 740,233 | 10,622 |
* | NETGEAR Inc. | 344,008 | 10,506 |
Power Integrations Inc. | 257,793 | 10,456 | |
* | Integrated Device Technology Inc. | 1,307,883 | 10,385 |
* | Infoblox Inc. | 351,217 | 10,277 |
* | SYNNEX Corp. | 238,250 | 10,073 |
* | Advent Software Inc. | 286,560 | 10,047 |
* | TriQuint Semiconductor Inc. | 1,445,835 | 10,020 |
*,^ | Universal Display Corp. | 353,576 | 9,939 |
* | Benchmark Electronics Inc. | 493,844 | 9,926 |
38
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Tessera Technologies Inc. | 470,649 | 9,789 | |
* | Cirrus Logic Inc. | 557,862 | 9,684 |
Syntel Inc. | 150,647 | 9,471 | |
* | Plexus Corp. | 309,507 | 9,251 |
* | Ultratech Inc. | 245,652 | 9,020 |
* | OmniVision Technologies Inc. | 483,413 | 9,016 |
*,^ | Fusion-io Inc. | 625,379 | 8,905 |
* | Ixia | 480,450 | 8,840 |
Intersil Corp. Class A | 1,127,070 | 8,814 | |
NIC Inc. | 528,854 | 8,742 | |
* | Unisys Corp. | 395,543 | 8,730 |
* | Rambus Inc. | 998,433 | 8,577 |
Monotype Imaging Holdings Inc. | 336,671 | 8,555 | |
* | Diodes Inc. | 324,613 | 8,430 |
* | Bottomline Technologies de Inc. | 318,396 | 8,052 |
MTS Systems Corp. | 141,527 | 8,010 | |
* | Angie's List Inc. | 301,232 | 7,998 |
* | ScanSource Inc. | 249,339 | 7,979 |
*,^ | Liquidity Services Inc. | 220,495 | 7,645 |
* | Sonus Networks Inc. | 2,526,788 | 7,606 |
* | Synchronoss Technologies Inc. | 245,511 | 7,579 |
* | Netscout Systems Inc. | 323,058 | 7,540 |
* | QLogic Corp. | 783,775 | 7,493 |
*,^ | VirnetX Holding Corp. | 373,973 | 7,476 |
* | Kulicke & Soffa Industries Inc. | 675,210 | 7,468 |
* | ExactTarget Inc. | 214,716 | 7,240 |
* | Rogers Corp. | 151,989 | 7,192 |
* | Insight Enterprises Inc. | 397,497 | 7,052 |
*,^ | Zillow Inc. Class A | 124,897 | 7,032 |
Monolithic Power Systems Inc. | 291,549 | 7,029 | |
* | Web.com Group Inc. | 274,058 | 7,016 |
* | comScore Inc. | 287,540 | 7,013 |
* | Interactive Intelligence Group Inc. | 135,626 | 6,998 |
* | MicroStrategy Inc. Class A | 80,021 | 6,959 |
*,^ | SunPower Corp. Class A | 335,177 | 6,938 |
* | Cabot Microelectronics Corp. | 209,782 | 6,925 |
* | ExlService Holdings Inc. | 234,043 | 6,918 |
* | Power-One Inc. | 1,094,036 | 6,914 |
* | BroadSoft Inc. | 250,089 | 6,902 |
* | Blucora Inc. | 368,584 | 6,834 |
* | ATMI Inc. | 287,602 | 6,802 |
* | SPS Commerce Inc. | 123,550 | 6,795 |
* | CSG Systems International Inc. | 304,625 | 6,610 |
* | Cray Inc. | 329,626 | 6,474 |
* | Measurement Specialties Inc. | 137,850 | 6,414 |
* | Harmonic Inc. | 1,002,616 | 6,367 |
* | Rofin-Sinar Technologies Inc. | 252,829 | 6,306 |
United Online Inc. | 823,177 | 6,240 | |
* | Digital River Inc. | 331,540 | 6,223 |
Booz Allen Hamilton Holding Corp. | 350,914 | 6,099 | |
* | Freescale Semiconductor Ltd. | 450,091 | 6,099 |
* | RealPage Inc. | 328,306 | 6,021 |
Methode Electronics Inc. | 353,838 | 6,019 | |
Tellabs Inc. | 3,004,949 | 5,950 | |
* | Comverse Inc. | 196,517 | 5,848 |
EarthLink Inc. | 936,905 | 5,818 | |
Brooks Automation Inc. | 597,796 | 5,817 | |
* | Stamps.com Inc. | 146,285 | 5,762 |
* | Checkpoint Systems Inc. | 404,909 | 5,746 |
Badger Meter Inc. | 128,968 | 5,746 | |
* | TeleTech Holdings Inc. | 242,480 | 5,681 |
ManTech International Corp. Class A | 213,951 | 5,588 | |
* | Move Inc. | 434,490 | 5,570 |
* | Advanced Energy Industries Inc. | 318,088 | 5,538 |
39
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | PROS Holdings Inc. | 184,568 | 5,528 |
* | Sykes Enterprises Inc. | 350,380 | 5,522 |
* | Spansion Inc. Class A | 430,300 | 5,387 |
* | Exar Corp. | 493,371 | 5,314 |
* | Lattice Semiconductor Corp. | 1,045,907 | 5,303 |
* | Emulex Corp. | 810,304 | 5,283 |
* | iGATE Corp. | 318,308 | 5,227 |
AVX Corp. | 444,766 | 5,226 | |
*,^ | RealD Inc. | 374,409 | 5,204 |
* | Monster Worldwide Inc. | 1,054,620 | 5,178 |
* | FARO Technologies Inc. | 152,766 | 5,167 |
* | Applied Micro Circuits Corp. | 576,690 | 5,075 |
Pegasystems Inc. | 148,786 | 4,928 | |
* | LogMeIn Inc. | 200,623 | 4,907 |
* | Silicon Image Inc. | 835,377 | 4,887 |
Micrel Inc. | 491,250 | 4,854 | |
* | Newport Corp. | 344,617 | 4,800 |
* | Intermec Inc. | 487,405 | 4,791 |
* | Bankrate Inc. | 333,269 | 4,786 |
CTS Corp. | 342,873 | 4,677 | |
* | Dice Holdings Inc. | 501,728 | 4,621 |
Comtech Telecommunications Corp. | 171,004 | 4,598 | |
Park Electrochemical Corp. | 189,056 | 4,539 | |
* | InvenSense Inc. | 291,600 | 4,485 |
* | Constant Contact Inc. | 275,110 | 4,421 |
EPIQ Systems Inc. | 327,869 | 4,416 | |
* | GT Advanced Technologies Inc. | 1,064,145 | 4,416 |
Forrester Research Inc. | 120,357 | 4,416 | |
*,^ | Trulia Inc. | 137,796 | 4,284 |
* | Virtusa Corp. | 192,212 | 4,259 |
* | Accelrys Inc. | 501,172 | 4,210 |
* | Internap Network Services Corp. | 508,864 | 4,208 |
* | Imperva Inc. | 93,427 | 4,208 |
* | Ceva Inc. | 216,204 | 4,186 |
* | SciQuest Inc. | 166,887 | 4,181 |
* | Tangoe Inc. | 266,293 | 4,109 |
* | Jive Software Inc. | 224,216 | 4,074 |
* | LivePerson Inc. | 451,661 | 4,045 |
* | Envestnet Inc. | 163,416 | 4,020 |
* | Silicon Graphics International Corp. | 297,898 | 3,986 |
* | TTM Technologies Inc. | 466,625 | 3,920 |
Cass Information Systems Inc. | 84,957 | 3,916 | |
* | ServiceNow Inc. | 96,510 | 3,898 |
Black Box Corp. | 152,634 | 3,865 | |
* | Perficient Inc. | 289,290 | 3,859 |
* | Yelp Inc. | 110,890 | 3,856 |
*,^ | Parkervision Inc. | 824,431 | 3,751 |
Daktronics Inc. | 365,212 | 3,747 | |
* | Amkor Technology Inc. | 884,645 | 3,724 |
* | EVERTEC Inc. | 169,140 | 3,716 |
* | Global Cash Access Holdings Inc. | 575,713 | 3,604 |
* | Anaren Inc. | 156,214 | 3,584 |
* | Photronics Inc. | 441,942 | 3,562 |
* | DTS Inc. | 171,432 | 3,528 |
* | FormFactor Inc. | 520,628 | 3,514 |
IXYS Corp. | 309,181 | 3,420 | |
* | XO Group Inc. | 304,127 | 3,406 |
* | Entropic Communications Inc. | 794,761 | 3,394 |
* | CalAmp Corp. | 232,231 | 3,391 |
* | Rudolph Technologies Inc. | 298,460 | 3,343 |
* | PDF Solutions Inc. | 180,790 | 3,332 |
* | Callidus Software Inc. | 504,239 | 3,323 |
*,^ | Higher One Holdings Inc. | 284,817 | 3,315 |
Computer Task Group Inc. | 142,649 | 3,277 |
40
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Oplink Communications Inc. | 185,257 | 3,218 |
* | Volterra Semiconductor Corp. | 227,145 | 3,207 |
Electro Scientific Industries Inc. | 285,954 | 3,077 | |
* | Actuate Corp. | 457,158 | 3,036 |
Keynote Systems Inc. | 152,994 | 3,023 | |
* | MoneyGram International Inc. | 132,977 | 3,012 |
* | ServiceSource International Inc. | 322,137 | 3,002 |
* | Immersion Corp. | 221,273 | 2,932 |
* | Demandware Inc. | 67,417 | 2,859 |
Cohu Inc. | 228,471 | 2,856 | |
* | Seachange International Inc. | 243,324 | 2,849 |
* | Quantum Corp. | 2,050,520 | 2,809 |
* | Super Micro Computer Inc. | 259,706 | 2,763 |
Ebix Inc. | 297,653 | 2,756 | |
Electro Rent Corp. | 162,068 | 2,721 | |
Supertex Inc. | 113,595 | 2,716 | |
* | Calix Inc. | 266,656 | 2,693 |
* | STEC Inc. | 391,490 | 2,631 |
* | Procera Networks Inc. | 188,163 | 2,583 |
* | LTX-Credence Corp. | 429,838 | 2,575 |
* | Nanometrics Inc. | 172,082 | 2,524 |
*,^ | Global Eagle Entertainment Inc. | 250,273 | 2,518 |
* | support.com Inc. | 548,696 | 2,508 |
* | Extreme Networks | 721,441 | 2,489 |
* | Proofpoint Inc. | 102,427 | 2,482 |
* | Bazaarvoice Inc. | 260,788 | 2,457 |
* | Active Network Inc. | 321,569 | 2,434 |
* | Mercury Systems Inc. | 261,062 | 2,407 |
* | Agilysys Inc. | 212,873 | 2,403 |
* | VASCO Data Security International Inc. | 287,880 | 2,392 |
* | Zix Corp. | 559,817 | 2,368 |
* | Integrated Silicon Solution Inc. | 215,718 | 2,364 |
* | Responsys Inc. | 164,827 | 2,359 |
* | DSP Group Inc. | 276,432 | 2,297 |
* | EPAM Systems Inc. | 84,063 | 2,285 |
* | QuinStreet Inc. | 264,537 | 2,283 |
* | Unwired Planet Inc. | 1,126,771 | 2,197 |
* | Market Leader Inc. | 204,005 | 2,183 |
*,^ | Neonode Inc. | 362,094 | 2,154 |
* | Globecomm Systems Inc. | 168,988 | 2,136 |
* | Fabrinet | 149,111 | 2,088 |
* | Kopin Corp. | 560,392 | 2,079 |
* | Travelzoo Inc. | 75,878 | 2,068 |
* | Digi International Inc. | 219,857 | 2,060 |
* | Zygo Corp. | 128,035 | 2,024 |
* | NVE Corp. | 41,862 | 1,960 |
* | Vocus Inc. | 177,549 | 1,868 |
American Software Inc. Class A | 209,086 | 1,817 | |
* | Ellie Mae Inc. | 78,673 | 1,816 |
* | CIBER Inc. | 534,271 | 1,784 |
* | Aviat Networks Inc. | 678,969 | 1,779 |
* | KVH Industries Inc. | 133,168 | 1,772 |
* | Maxwell Technologies Inc. | 244,694 | 1,750 |
* | ANADIGICS Inc. | 792,054 | 1,742 |
*,^ | OCZ Technology Group Inc. | 1,192,867 | 1,730 |
* | Datalink Corp. | 159,005 | 1,692 |
* | Limelight Networks Inc. | 749,981 | 1,687 |
* | Pericom Semiconductor Corp. | 232,638 | 1,656 |
* | PLX Technology Inc. | 347,714 | 1,655 |
* | Aeroflex Holding Corp. | 206,949 | 1,633 |
* | Avid Technology Inc. | 275,078 | 1,617 |
PC Connection Inc. | 104,063 | 1,608 | |
* | Reis Inc. | 86,411 | 1,598 |
* | Kemet Corp. | 388,314 | 1,596 |
41
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | IntraLinks Holdings Inc. | 219,096 | 1,591 |
* | Shutterstock Inc. | 28,016 | 1,563 |
* | Multi-Fineline Electronix Inc. | 104,233 | 1,544 |
* | Key Tronic Corp. | 147,774 | 1,529 |
* | PRGX Global Inc. | 274,584 | 1,507 |
* | Guidance Software Inc. | 167,934 | 1,468 |
* | Sigma Designs Inc. | 289,054 | 1,460 |
* | NAPCO Security Technologies Inc. | 305,202 | 1,459 |
* | Vishay Precision Group Inc. | 96,125 | 1,455 |
* | Symmetricom Inc. | 323,101 | 1,451 |
Ubiquiti Networks Inc. | 82,500 | 1,447 | |
* | Lionbridge Technologies Inc. | 497,644 | 1,443 |
* | MoSys Inc. | 356,578 | 1,433 |
* | Ipass Inc. | 756,361 | 1,430 |
* | RealNetworks Inc. | 187,599 | 1,418 |
* | Inphi Corp. | 125,850 | 1,384 |
*,^ | Glu Mobile Inc. | 628,541 | 1,383 |
* | ModusLink Global Solutions Inc. | 433,810 | 1,379 |
*,^ | Mitek Systems Inc. | 237,452 | 1,372 |
Marchex Inc. Class B | 225,315 | 1,356 | |
*,^ | Oclaro Inc. | 1,134,638 | 1,339 |
* | Demand Media Inc. | 220,692 | 1,324 |
Richardson Electronics Ltd. | 107,140 | 1,258 | |
* | Radisys Corp. | 260,627 | 1,254 |
* | GSI Group Inc. | 155,726 | 1,252 |
* | PCM Inc. | 128,872 | 1,237 |
Tessco Technologies Inc. | 46,556 | 1,229 | |
* | Official Payments Holdings Inc. Class B | 175,717 | 1,204 |
* | Axcelis Technologies Inc. | 656,001 | 1,194 |
*,^ | Rubicon Technology Inc. | 146,339 | 1,172 |
* | Brightcove Inc. | 133,682 | 1,171 |
Mesa Laboratories Inc. | 20,970 | 1,135 | |
* | Imation Corp. | 264,818 | 1,120 |
ePlus Inc. | 18,444 | 1,105 | |
* | Gogo Inc. | 77,917 | 1,088 |
Aware Inc. | 207,242 | 1,078 | |
Transact Technologies Inc. | 130,847 | 1,069 | |
* | Rosetta Stone Inc. | 71,504 | 1,054 |
MOCON Inc. | 75,913 | 1,029 | |
Hackett Group Inc. | 196,636 | 1,021 | |
* | ShoreTel Inc. | 252,986 | 1,020 |
* | Intevac Inc. | 175,890 | 996 |
* | AXT Inc. | 359,289 | 970 |
PC-Tel Inc. | 111,619 | 947 | |
* | Carbonite Inc. | 76,227 | 944 |
*,^ | Research Frontiers Inc. | 235,643 | 938 |
* | STR Holdings Inc. | 409,795 | 930 |
* | Blackhawk Network Holdings Inc. | 40,066 | 930 |
* | Mindspeed Technologies Inc. | 285,629 | 925 |
* | Ultra Clean Holdings | 152,882 | 925 |
* | Dot Hill Systems Corp. | 421,247 | 923 |
Frequency Electronics Inc. | 86,235 | 918 | |
*,^ | Uni-Pixel Inc. | 61,657 | 907 |
Communications Systems Inc. | 94,052 | 905 | |
* | Qualys Inc. | 55,701 | 898 |
Bel Fuse Inc. Class B | 66,731 | 898 | |
* | E2open Inc. | 50,141 | 877 |
* | MEMSIC Inc. | 211,999 | 869 |
* | Datawatch Corp. | 47,188 | 851 |
* | TeleCommunication Systems Inc. Class A | 364,183 | 849 |
* | Ikanos Communications Inc. | 546,808 | 815 |
QAD Inc. Class A | 69,282 | 795 | |
Digimarc Corp. | 37,954 | 788 | |
* | Innodata Inc. | 241,360 | 772 |
42
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Westell Technologies Inc. Class A | 319,195 | 763 |
* | Dynamics Research Corp. | 136,471 | 760 |
* | Echelon Corp. | 354,302 | 748 |
*,^ | QuickLogic Corp. | 328,053 | 725 |
Astro-Med Inc. | 65,498 | 720 | |
* | Millennial Media Inc. | 82,675 | 720 |
Evolving Systems Inc. | 108,562 | 720 | |
*,^ | eGain Corp. | 73,322 | 705 |
Rimage Corp. | 81,635 | 685 | |
* | Meru Networks Inc. | 167,979 | 677 |
* | MaxLinear Inc. | 96,536 | 676 |
* | Amtech Systems Inc. | 103,389 | 658 |
* | M/A-COM Technology Solutions Holdings Inc. | 43,591 | 636 |
* | Pfsweb Inc. | 155,162 | 621 |
*,^ | Parametric Sound Corp. | 38,174 | 620 |
* | FalconStor Software Inc. | 446,475 | 612 |
*,^ | Local Corp. | 361,731 | 608 |
* | ID Systems Inc. | 118,016 | 594 |
* | Telenav Inc. | 111,994 | 586 |
* | Autobytel Inc. | 116,348 | 555 |
* | Mattson Technology Inc. | 252,809 | 551 |
* | GSI Technology Inc. | 86,863 | 549 |
* | Bsquare Corp. | 190,233 | 523 |
* | Pixelworks Inc. | 148,862 | 509 |
* | Tremor Video Inc. | 56,489 | 508 |
Optical Cable Corp. | 112,873 | 500 | |
* | Rally Software Development Corp. | 20,116 | 499 |
*,^ | Vringo Inc. | 152,995 | 485 |
* | Novatel Wireless Inc. | 122,714 | 485 |
* | Onvia Inc. | 107,083 | 484 |
* | Emcore Corp. | 129,740 | 467 |
*,^ | CVD Equipment Corp. | 55,875 | 465 |
* | Analysts International Corp. | 117,780 | 450 |
* | Park City Group Inc. | 58,644 | 445 |
* | Cinedigm Digital Cinema Corp. Class A | 307,229 | 436 |
* | PAR Technology Corp. | 106,779 | 430 |
Alliance Fiber Optic Products Inc. | 20,188 | 404 | |
* | Data I/O Corp. | 180,066 | 402 |
* | Information Services Group Inc. | 206,647 | 399 |
*,^ | ClearSign Combustion Corp. | 45,207 | 394 |
* | Numerex Corp. Class A | 35,182 | 393 |
* | CyberOptics Corp. | 65,536 | 381 |
* | LoJack Corp. | 116,077 | 366 |
* | TheStreet Inc. | 193,979 | 361 |
* | Internet Patents Corp. | 100,800 | 360 |
* | NetSol Technologies Inc. | 34,312 | 345 |
*,^ | Document Security Systems Inc. | 148,399 | 341 |
*,^ | Wave Systems Corp. Class A | 1,111,886 | 334 |
* | Wireless Telecom Group Inc. | 227,636 | 328 |
* | IEC Electronics Corp. | 91,854 | 322 |
* | Model N Inc. | 13,698 | 320 |
* | ClearOne Inc. | 37,181 | 316 |
* | LGL Group Inc. | 47,780 | 312 |
* | LRAD Corp. | 273,661 | 309 |
* | Crossroads Systems Inc. | 165,788 | 308 |
* | Cascade Microtech Inc. | 46,248 | 308 |
Soundbite Communications Inc. | 60,356 | 301 | |
* | GSE Systems Inc. | 199,394 | 301 |
* | Sonic Foundry Inc. | 28,344 | 300 |
* | BroadVision Inc. | 33,417 | 289 |
* | Netlist Inc. | 327,952 | 289 |
* | Video Display Corp. | 71,008 | 280 |
CSP Inc. | 31,579 | 280 | |
eMagin Corp. | 78,635 | 280 |
43
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | NeoPhotonics Corp. | 31,816 | 276 |
* | BTU International Inc. | 113,437 | 272 |
*,^ | MeetMe Inc. | 164,557 | 268 |
* | Ruckus Wireless Inc. | 20,900 | 268 |
*,^ | USA Technologies Inc. | 147,630 | 257 |
* | Spark Networks Inc. | 29,222 | 247 |
* | Newtek Business Services Inc. | 111,103 | 234 |
* | Selectica Inc. | 25,832 | 230 |
* | Edgewater Technology Inc. | 52,896 | 225 |
* | StarTek Inc. | 46,382 | 219 |
* | Lantronix Inc. | 134,602 | 213 |
* | Hutchinson Technology Inc. | 43,912 | 208 |
* | Performance Technologies Inc. | 174,654 | 206 |
* | TechTarget Inc. | 45,592 | 204 |
* | Intermolecular Inc. | 24,999 | 182 |
Crexendo Inc. | 65,793 | 178 | |
* | Viasystems Group Inc. | 14,776 | 170 |
* | NCI Inc. Class A | 40,978 | 170 |
* | Marin Software Inc. | 16,116 | 165 |
* | WidePoint Corp. | 192,576 | 158 |
* | Zhone Technologies Inc. | 196,850 | 157 |
* | Majesco Entertainment Co. | 275,313 | 157 |
* | Asure Software Inc. | 26,636 | 150 |
QAD Inc. Class B | 14,091 | 147 | |
* | Looksmart Ltd. | 208,579 | 146 |
* | Envivio Inc. | 71,426 | 144 |
Concurrent Computer Corp. | 18,768 | 144 | |
* | Planar Systems Inc. | 85,359 | 139 |
* | Digital Ally Inc. | 18,621 | 136 |
* | Aetrium Inc. | 215,721 | 116 |
* | Overland Storage Inc. | 99,822 | 114 |
* | Bridgeline Digital Inc. | 96,477 | 111 |
* | Hauppauge Digital Inc. | 158,139 | 109 |
*,^ | Microvision Inc. | 39,209 | 99 |
* | Mattersight Corp. | 35,238 | 99 |
Globalscape Inc. | 58,510 | 97 | |
* | Xoom Corp. | 4,113 | 94 |
* | Interphase Corp. | 34,145 | 91 |
* | Infosonics Corp. | 187,832 | 87 |
* | Inuvo Inc. | 108,605 | 87 |
* | Relm Wireless Corp. | 27,322 | 82 |
TSR Inc. | 27,043 | 81 | |
* | Peregrine Semiconductor Corp. | 7,300 | 80 |
Bel Fuse Inc. Class A | 5,719 | 79 | |
* | World Energy Solutions Inc. | 19,534 | 78 |
* | Lightpath Technologies Inc. Class A | 62,358 | 77 |
*,^ | FriendFinder Networks Inc. | 249,905 | 67 |
* | Advanced Photonix Inc. Class A | 99,780 | 66 |
*,^ | Net Element International Inc. | 12,251 | 64 |
* | Intellicheck Mobilisa Inc. | 205,951 | 62 |
* | Remark Media Inc. | 18,153 | 54 |
* | TigerLogic Corp. | 31,580 | 54 |
* | Rainmaker Systems Inc. | 123,874 | 48 |
* | iGO Inc. | 19,786 | 46 |
*,^ | Superconductor Technologies Inc. | 14,507 | 46 |
* | Mediabistro Inc. | 27,418 | 43 |
* | Spire Corp. | 69,782 | 38 |
* | Exa Corp. | 3,623 | 37 |
* | Identive Group Inc. | 47,848 | 35 |
* | Daegis Inc. | 31,670 | 32 |
* | Ambient Corp. | 12,966 | 31 |
* | SED International Holdings Inc. | 15,000 | 30 |
* | Sutron Corp. | 3,900 | 23 |
* | Clearfield Inc. | 2,200 | 21 |
44
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | GigOptix Inc. | 15,789 | 21 |
* | Synacor Inc. | 5,300 | 16 |
* | Marlborough Software Development Holdings Inc. | 131,616 | 14 |
* | Smith Micro Software Inc. | 13,343 | 14 |
* | Qualstar Corp. | 9,220 | 13 |
* | Transwitch Corp. | 15,891 | 6 |
* | Cover-All Technologies Inc. | 3,931 | 5 |
* | Sevcon Inc. | 500 | 2 |
* | IntriCon Corp. | 400 | 1 |
* | Saba Software Inc. | 74 | 1 |
4,375,327 | |||
Materials (5.4%) | |||
Rock Tenn Co. Class A | 633,188 | 63,243 | |
Celanese Corp. Class A | 1,405,316 | 62,958 | |
Ashland Inc. | 649,160 | 54,205 | |
* | WR Grace & Co. | 628,253 | 52,798 |
* | Crown Holdings Inc. | 1,270,916 | 52,273 |
Albemarle Corp. | 777,364 | 48,422 | |
Valspar Corp. | 723,268 | 46,774 | |
Reliance Steel & Aluminum Co. | 675,030 | 44,255 | |
Rockwood Holdings Inc. | 687,366 | 44,012 | |
Packaging Corp. of America | 868,014 | 42,498 | |
Martin Marietta Materials Inc. | 405,908 | 39,949 | |
RPM International Inc. | 1,172,567 | 37,452 | |
Aptargroup Inc. | 590,994 | 32,629 | |
Sonoco Products Co. | 891,029 | 30,803 | |
Steel Dynamics Inc. | 1,940,090 | 28,927 | |
Huntsman Corp. | 1,712,625 | 28,361 | |
Eagle Materials Inc. | 413,920 | 27,430 | |
Cytec Industries Inc. | 371,213 | 27,191 | |
Axiall Corp. | 614,386 | 26,161 | |
Compass Minerals International Inc. | 293,182 | 24,783 | |
NewMarket Corp. | 94,182 | 24,728 | |
Royal Gold Inc. | 572,494 | 24,091 | |
PolyOne Corp. | 874,678 | 21,675 | |
Domtar Corp. | 297,470 | 19,782 | |
Cabot Corp. | 527,993 | 19,757 | |
Silgan Holdings Inc. | 398,332 | 18,706 | |
* | Louisiana-Pacific Corp. | 1,243,529 | 18,392 |
Sensient Technologies Corp. | 440,511 | 17,827 | |
* | Chemtura Corp. | 872,759 | 17,717 |
Carpenter Technology Corp. | 389,797 | 17,568 | |
Westlake Chemical Corp. | 178,899 | 17,248 | |
Olin Corp. | 716,931 | 17,149 | |
HB Fuller Co. | 445,589 | 16,848 | |
Scotts Miracle-Gro Co. Class A | 347,316 | 16,779 | |
Commercial Metals Co. | 1,043,364 | 15,410 | |
Worthington Industries Inc. | 473,546 | 15,016 | |
Greif Inc. Class A | 272,321 | 14,343 | |
KapStone Paper and Packaging Corp. | 349,250 | 14,033 | |
Schweitzer-Mauduit International Inc. | 276,150 | 13,774 | |
Minerals Technologies Inc. | 314,242 | 12,991 | |
Buckeye Technologies Inc. | 348,032 | 12,891 | |
* | Graphic Packaging Holding Co. | 1,661,003 | 12,856 |
* | Texas Industries Inc. | 186,321 | 12,137 |
* | Coeur Mining Inc. | 907,445 | 12,069 |
Balchem Corp. | 265,039 | 11,860 | |
* | Stillwater Mining Co. | 1,052,396 | 11,303 |
* | Berry Plastics Group Inc. | 505,567 | 11,158 |
* | Resolute Forest Products Inc. | 839,322 | 11,054 |
PH Glatfelter Co. | 382,507 | 9,601 | |
* | Clearwater Paper Corp. | 196,718 | 9,258 |
Innophos Holdings Inc. | 195,751 | 9,234 | |
Intrepid Potash Inc. | 480,360 | 9,151 |
45
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Hecla Mining Co. | 3,055,006 | 9,104 | |
* | OM Group Inc. | 291,483 | 9,013 |
Kaiser Aluminum Corp. | 145,417 | 9,007 | |
* | SunCoke Energy Inc. | 629,566 | 8,826 |
Stepan Co. | 157,299 | 8,747 | |
* | Calgon Carbon Corp. | 483,550 | 8,066 |
* | RTI International Metals Inc. | 273,029 | 7,566 |
Quaker Chemical Corp. | 118,104 | 7,324 | |
*,^ | Molycorp Inc. | 1,179,981 | 7,316 |
AMCOL International Corp. | 227,662 | 7,215 | |
A Schulman Inc. | 264,219 | 7,086 | |
Koppers Holdings Inc. | 185,357 | 7,077 | |
Boise Inc. | 822,521 | 7,024 | |
* | Flotek Industries Inc. | 389,268 | 6,983 |
Globe Specialty Metals Inc. | 572,865 | 6,227 | |
* | Kraton Performance Polymers Inc. | 290,039 | 6,149 |
^ | Walter Energy Inc. | 559,853 | 5,822 |
* | Headwaters Inc. | 653,096 | 5,773 |
Deltic Timber Corp. | 97,712 | 5,650 | |
Materion Corp. | 206,985 | 5,607 | |
Tredegar Corp. | 215,362 | 5,535 | |
* | Allied Nevada Gold Corp. | 841,755 | 5,455 |
* | Ferro Corp. | 776,334 | 5,396 |
Haynes International Inc. | 110,935 | 5,310 | |
Wausau Paper Corp. | 455,796 | 5,196 | |
* | LSB Industries Inc. | 169,716 | 5,161 |
Neenah Paper Inc. | 161,770 | 5,139 | |
American Vanguard Corp. | 216,662 | 5,076 | |
Schnitzer Steel Industries Inc. | 211,450 | 4,944 | |
^ | US Silica Holdings Inc. | 236,283 | 4,910 |
* | Horsehead Holding Corp. | 364,287 | 4,667 |
Myers Industries Inc. | 300,521 | 4,511 | |
* | Century Aluminum Co. | 481,292 | 4,466 |
* | ADA-ES Inc. | 100,441 | 4,231 |
Tronox Ltd. Class A | 205,415 | 4,139 | |
*,^ | McEwen Mining Inc. | 2,376,216 | 3,992 |
Zep Inc. | 234,278 | 3,709 | |
*,^ | AK Steel Holding Corp. | 1,198,797 | 3,644 |
* | OMNOVA Solutions Inc. | 444,442 | 3,560 |
Hawkins Inc. | 85,316 | 3,361 | |
^ | Kronos Worldwide Inc. | 205,939 | 3,344 |
* | AEP Industries Inc. | 43,386 | 3,227 |
Olympic Steel Inc. | 125,320 | 3,070 | |
* | Zoltek Cos. Inc. | 217,956 | 2,814 |
* | Landec Corp. | 181,012 | 2,391 |
* | AM Castle & Co. | 142,063 | 2,239 |
FutureFuel Corp. | 150,803 | 2,137 | |
Noranda Aluminum Holding Corp. | 609,967 | 1,970 | |
* | Mercer International Inc. | 254,731 | 1,661 |
* | Universal Stainless & Alloy Products Inc. | 56,106 | 1,654 |
* | Taminco Corp. | 79,825 | 1,628 |
* | Boise Cascade Co. | 63,564 | 1,615 |
* | American Pacific Corp. | 54,556 | 1,547 |
* | General Moly Inc. | 719,397 | 1,345 |
* | US Concrete Inc. | 79,100 | 1,299 |
Synalloy Corp. | 79,419 | 1,233 | |
* | Handy & Harman Ltd. | 67,082 | 1,199 |
* | Penford Corp. | 88,373 | 1,183 |
* | Senomyx Inc. | 503,415 | 1,097 |
* | United States Lime & Minerals Inc. | 18,000 | 940 |
KMG Chemicals Inc. | 42,173 | 890 | |
*,^ | Paramount Gold and Silver Corp. | 702,300 | 836 |
Chase Corp. | 32,598 | 729 | |
* | TOR Minerals International Inc. | 56,256 | 619 |
46
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Comstock Mining Inc. | 314,323 | 519 |
* | Core Molding Technologies Inc. | 56,974 | 508 |
* | Arabian American Development Co. | 49,424 | 430 |
* | Mod-Pac Corp. | 50,798 | 422 |
^ | Great Northern Iron Ore Properties | 4,906 | 338 |
* | Solitario Exploration & Royalty Corp. | 371,760 | 335 |
* | Midway Gold Corp. | 344,347 | 325 |
* | Material Sciences Corp. | 30,525 | 307 |
* | UFP Technologies Inc. | 10,767 | 211 |
*,^ | US Antimony Corp. | 181,971 | 202 |
*,^ | Silver Bull Resources Inc. | 463,119 | 178 |
* | GSE Holding Inc. | 20,688 | 120 |
* | Mines Management Inc. | 194,673 | 103 |
* | Timberline Resources Corp. | 366,815 | 62 |
*,^ | Clean Diesel Technologies Inc. | 51,075 | 62 |
* | Verso Paper Corp. | 37,309 | 43 |
* | Continental Materials Corp. | 600 | 9 |
* | Prospect Global Resources Inc. | 4,600 | — |
1,584,355 | |||
Other (0.0%) | |||
* | Adolor Corp. Rights Exp. 07/01/2019 | 596,841 | 310 |
* | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 131,308 | 125 |
* | Camco Financial Corp. Warrants | 45,300 | 54 |
* | Federal-Mogul Corp. Rights 07/09/2013 | 203,874 | 45 |
* | Southern Community Financial Corp. | 182,721 | 40 |
* | First Security Group Inc. Rights 12/31/2049 | 12,328 | 17 |
591 | |||
Telecommunication Services (1.1%) | |||
* | SBA Communications Corp. Class A | 1,123,206 | 83,252 |
* | tw telecom inc Class A | 1,330,177 | 37,431 |
T-Mobile US Inc. | 1,463,478 | 36,309 | |
* | Level 3 Communications Inc. | 1,449,793 | 30,562 |
Telephone & Data Systems Inc. | 884,756 | 21,809 | |
* | Clearwire Corp. Class A | 3,868,688 | 19,266 |
Cogent Communications Group Inc. | 387,878 | 10,919 | |
*,^ | NII Holdings Inc. | 1,532,404 | 10,221 |
* | Premiere Global Services Inc. | 485,813 | 5,864 |
Consolidated Communications Holdings Inc. | 332,075 | 5,781 | |
* | Cincinnati Bell Inc. | 1,818,833 | 5,566 |
* | 8x8 Inc. | 658,471 | 5,426 |
United States Cellular Corp. | 129,780 | 4,762 | |
Atlantic Tele-Network Inc. | 81,937 | 4,069 | |
* | Iridium Communications Inc. | 519,798 | 4,034 |
* | Leap Wireless International Inc. | 575,386 | 3,872 |
Shenandoah Telecommunications Co. | 205,041 | 3,420 | |
USA Mobility Inc. | 237,340 | 3,221 | |
* | Vonage Holdings Corp. | 1,110,148 | 3,142 |
IDT Corp. Class B | 164,799 | 3,080 | |
Lumos Networks Corp. | 169,594 | 2,900 | |
* | General Communication Inc. Class A | 359,550 | 2,815 |
* | inContact Inc. | 308,760 | 2,538 |
*,^ | Fairpoint Communications Inc. | 296,262 | 2,474 |
* | Cbeyond Inc. | 288,999 | 2,266 |
* | Intelsat SA | 106,400 | 2,128 |
NTELOS Holdings Corp. | 128,279 | 2,111 | |
* | ORBCOMM Inc. | 386,562 | 1,736 |
Neutral Tandem Inc. | 295,955 | 1,702 | |
HickoryTech Corp. | 136,657 | 1,453 | |
* | Hawaiian Telcom Holdco Inc. | 48,209 | 1,213 |
* | Towerstream Corp. | 261,065 | 666 |
Alaska Communications Systems Group Inc. | 378,002 | 635 | |
Alteva | 55,401 | 547 | |
Primus Telecommunications Group Inc. | 41,555 | 496 | |
* | Multiband Corp. | 92,814 | 294 |
47
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Elephant Talk Communications Corp. | 442,889 | 259 |
* | Boingo Wireless Inc. | 37,447 | 232 |
* | NTS Inc. | 48,081 | 75 |
328,546 | |||
Utilities (3.7%) | |||
* | Calpine Corp. | 3,366,314 | 71,467 |
American Water Works Co. Inc. | 1,564,253 | 64,494 | |
OGE Energy Corp. | 872,447 | 59,501 | |
Alliant Energy Corp. | 981,506 | 49,488 | |
NV Energy Inc. | 2,079,020 | 48,774 | |
MDU Resources Group Inc. | 1,669,329 | 43,252 | |
National Fuel Gas Co. | 739,915 | 42,878 | |
ITC Holdings Corp. | 462,117 | 42,191 | |
UGI Corp. | 1,002,022 | 39,189 | |
Aqua America Inc. | 1,238,855 | 38,764 | |
Questar Corp. | 1,547,452 | 36,907 | |
Westar Energy Inc. | 1,121,816 | 35,853 | |
Atmos Energy Corp. | 797,028 | 32,726 | |
Great Plains Energy Inc. | 1,353,111 | 30,499 | |
Cleco Corp. | 534,367 | 24,811 | |
Vectren Corp. | 724,226 | 24,501 | |
Piedmont Natural Gas Co. Inc. | 666,739 | 22,496 | |
Hawaiian Electric Industries Inc. | 874,971 | 22,146 | |
IDACORP Inc. | 442,130 | 21,116 | |
Portland General Electric Co. | 674,531 | 20,634 | |
WGL Holdings Inc. | 455,117 | 19,670 | |
*,^ | Dynegy Inc. | 864,943 | 19,504 |
Black Hills Corp. | 395,741 | 19,292 | |
Southwest Gas Corp. | 407,809 | 19,081 | |
UIL Holdings Corp. | 447,789 | 17,128 | |
UNS Energy Corp. | 370,532 | 16,574 | |
South Jersey Industries Inc. | 284,476 | 16,332 | |
ALLETE Inc. | 318,006 | 15,853 | |
PNM Resources Inc. | 712,727 | 15,815 | |
New Jersey Resources Corp. | 374,518 | 15,554 | |
Avista Corp. | 535,760 | 14,476 | |
NorthWestern Corp. | 335,227 | 13,376 | |
El Paso Electric Co. | 360,414 | 12,726 | |
Laclede Group Inc. | 264,118 | 12,060 | |
MGE Energy Inc. | 207,706 | 11,374 | |
Northwest Natural Gas Co. | 241,075 | 10,241 | |
American States Water Co. | 172,889 | 9,279 | |
Otter Tail Corp. | 324,664 | 9,220 | |
Empire District Electric Co. | 381,027 | 8,501 | |
California Water Service Group | 422,364 | 8,240 | |
Chesapeake Utilities Corp. | 95,676 | 4,926 | |
Ormat Technologies Inc. | 193,155 | 4,543 | |
Unitil Corp. | 112,179 | 3,240 | |
SJW Corp. | 123,213 | 3,228 | |
Middlesex Water Co. | 154,312 | 3,074 | |
Connecticut Water Service Inc. | 76,485 | 2,195 | |
York Water Co. | 96,089 | 1,829 | |
Artesian Resources Corp. Class A | 78,242 | 1,743 | |
Delta Natural Gas Co. Inc. | 74,312 | 1,579 | |
Genie Energy Ltd. Class B | 147,785 | 1,352 | |
* | Cadiz Inc. | 126,538 | 582 |
*,^ | Pure Cycle Corp. | 89,892 | 502 |
* | US Geothermal Inc. | 514,441 | 180 |
* | Synthesis Energy Systems Inc. | 145,152 | 113 |
*,^ | American DG Energy Inc. | 49,512 | 65 |
1,085,134 | |||
Total Common Stocks (Cost $23,209,851) | 29,354,995 |
48
Vanguard® Extended Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2013 | |||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (1.5%)1 | |||||
Money Market Fund (1.5%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.127% | 438,215,571 | 438,216 | |
Face | |||||
Maturity | Amount | ||||
Coupon | Date | ($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||||
4,5 | Fannie Mae Discount Notes | 0.110% | 8/21/13 | 2,000 | 2,000 |
4,5 | Freddie Mac Discount Notes | 0.130% | 9/16/13 | 2,450 | 2,449 |
4,5 | Freddie Mac Discount Notes | 0.090% | 10/28/13 | 1,000 | 999 |
4,5 | Freddie Mac Discount Notes | 0.095% | 11/18/13 | 1,400 | 1,399 |
6,847 | |||||
Total Temporary Cash Investments (Cost $445,064) | 445,063 | ||||
Total Investments (101.2%) (Cost $23,654,915) | 29,800,058 | ||||
Other Assets and Liabilities—Net (-1.2%)3 | (363,523) | ||||
Net Assets (100%) | 29,436,535 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $347,318,000.
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 1.3%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $378,240,000 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Securities with a value of $2,449,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
49
© 2013 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA982_082013
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2013
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.6%)1 | |||
Basic Materials (2.9%) | |||
EI du Pont de Nemours & Co. | 13,068,467 | 686,095 | |
Dow Chemical Co. | 17,189,903 | 552,999 | |
Praxair Inc. | 4,202,037 | 483,907 | |
Freeport-McMoRan Copper & Gold Inc. | 14,752,818 | 407,325 | |
LyondellBasell Industries NV Class A | 5,717,432 | 378,837 | |
Ecolab Inc. | 3,785,899 | 322,521 | |
PPG Industries Inc. | 1,925,373 | 281,894 | |
International Paper Co. | 6,321,912 | 280,124 | |
Air Products & Chemicals Inc. | 2,955,876 | 270,670 | |
Mosaic Co. | 3,998,119 | 215,139 | |
Newmont Mining Corp. | 6,997,960 | 209,589 | |
Nucor Corp. | 4,499,795 | 194,931 | |
Eastman Chemical Co. | 2,197,059 | 153,816 | |
CF Industries Holdings Inc. | 842,615 | 144,508 | |
Sigma-Aldrich Corp. | 1,702,387 | 136,804 | |
FMC Corp. | 1,945,004 | 118,762 | |
Alcoa Inc. | 15,115,088 | 118,200 | |
Celanese Corp. Class A | 2,250,472 | 100,821 | |
Ashland Inc. | 1,116,161 | 93,199 | |
Airgas Inc. | 964,514 | 92,072 | |
CONSOL Energy Inc. | 3,227,765 | 87,472 | |
International Flavors & Fragrances Inc. | 1,149,952 | 86,430 | |
* | WR Grace & Co. | 1,018,046 | 85,557 |
Albemarle Corp. | 1,257,321 | 78,319 | |
Rockwood Holdings Inc. | 1,115,152 | 71,403 | |
Reliance Steel & Aluminum Co. | 1,030,487 | 67,559 | |
Avery Dennison Corp. | 1,408,616 | 60,232 | |
RPM International Inc. | 1,864,417 | 59,549 | |
Peabody Energy Corp. | 3,805,138 | 55,707 | |
Cytec Industries Inc. | 633,322 | 46,391 | |
Huntsman Corp. | 2,737,590 | 45,334 | |
Steel Dynamics Inc. | 2,926,491 | 43,634 | |
Axiall Corp. | 982,881 | 41,851 | |
NewMarket Corp. | 151,435 | 39,761 | |
Compass Minerals International Inc. | 465,498 | 39,349 | |
Allegheny Technologies Inc. | 1,431,257 | 37,656 | |
Royal Gold Inc. | 872,809 | 36,728 | |
^ | United States Steel Corp. | 2,024,771 | 35,494 |
^ | Cliffs Natural Resources Inc. | 2,175,993 | 35,360 |
Cabot Corp. | 892,431 | 33,395 | |
Domtar Corp. | 499,092 | 33,190 | |
PolyOne Corp. | 1,325,315 | 32,841 | |
Carpenter Technology Corp. | 706,728 | 31,852 | |
Sensient Technologies Corp. | 698,875 | 28,283 | |
* | Chemtura Corp. | 1,368,753 | 27,786 |
Westlake Chemical Corp. | 280,049 | 27,000 | |
Olin Corp. | 1,126,519 | 26,946 | |
HB Fuller Co. | 700,263 | 26,477 | |
*,^ | Polypore International Inc. | 654,026 | 26,357 |
Commercial Metals Co. | 1,614,497 | 23,846 | |
Worthington Industries Inc. | 735,005 | 23,307 | |
KapStone Paper and Packaging Corp. | 552,528 | 22,201 | |
Minerals Technologies Inc. | 495,326 | 20,477 | |
Buckeye Technologies Inc. | 551,354 | 20,422 | |
* | Coeur Mining Inc. | 1,441,863 | 19,177 |
Balchem Corp. | 410,928 | 18,389 | |
Tronox Ltd. Class A | 891,798 | 17,970 | |
* | Stillwater Mining Co. | 1,624,744 | 17,450 |
* | Alpha Natural Resources Inc. | 3,113,695 | 16,316 |
Kaiser Aluminum Corp. | 256,384 | 15,880 | |
* | Clearwater Paper Corp. | 323,328 | 15,216 |
1
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Intrepid Potash Inc. | 791,314 | 15,075 | |
PH Glatfelter Co. | 596,490 | 14,972 | |
Hecla Mining Co. | 4,866,928 | 14,503 | |
Innophos Holdings Inc. | 304,761 | 14,376 | |
* | Cloud Peak Energy Inc. | 858,609 | 14,150 |
* | OM Group Inc. | 451,010 | 13,945 |
Stepan Co. | 246,468 | 13,706 | |
* | SunCoke Energy Inc. | 975,001 | 13,670 |
* | Calgon Carbon Corp. | 794,042 | 13,245 |
Innospec Inc. | 311,427 | 12,513 | |
* | Resolute Forest Products Inc. | 943,437 | 12,425 |
* | RTI International Metals Inc. | 417,800 | 11,577 |
*,^ | Molycorp Inc. | 1,847,730 | 11,456 |
Boise Inc. | 1,329,433 | 11,353 | |
Quaker Chemical Corp. | 182,938 | 11,344 | |
^ | Arch Coal Inc. | 2,972,360 | 11,236 |
AMCOL International Corp. | 353,842 | 11,213 | |
A Schulman Inc. | 408,402 | 10,953 | |
Koppers Holdings Inc. | 285,350 | 10,895 | |
^ | US Silica Holdings Inc. | 486,882 | 10,117 |
Globe Specialty Metals Inc. | 887,994 | 9,652 | |
* | Kraton Performance Polymers Inc. | 450,030 | 9,541 |
Deltic Timber Corp. | 159,422 | 9,218 | |
^ | Walter Energy Inc. | 873,079 | 9,080 |
Tredegar Corp. | 337,202 | 8,666 | |
* | Ferro Corp. | 1,214,529 | 8,441 |
Haynes International Inc. | 169,483 | 8,113 | |
* | LSB Industries Inc. | 260,880 | 7,933 |
* | Horsehead Holding Corp. | 616,937 | 7,903 |
* | Allied Nevada Gold Corp. | 1,191,700 | 7,722 |
Wausau Paper Corp. | 645,007 | 7,353 | |
American Vanguard Corp. | 310,731 | 7,280 | |
Neenah Paper Inc. | 222,013 | 7,053 | |
* | Century Aluminum Co. | 724,063 | 6,719 |
Rentech Inc. | 3,004,846 | 6,310 | |
* | Cambrex Corp. | 413,554 | 5,777 |
*,^ | AK Steel Holding Corp. | 1,804,886 | 5,487 |
Aceto Corp. | 387,771 | 5,402 | |
Hawkins Inc. | 133,224 | 5,248 | |
*,^ | Zoltek Cos. Inc. | 401,187 | 5,179 |
^ | Kronos Worldwide Inc. | 317,441 | 5,155 |
* | OMNOVA Solutions Inc. | 622,915 | 4,990 |
Zep Inc. | 297,108 | 4,703 | |
FutureFuel Corp. | 273,434 | 3,875 | |
^ | Gold Resource Corp. | 435,458 | 3,793 |
* | American Pacific Corp. | 125,666 | 3,563 |
Olympic Steel Inc. | 137,084 | 3,359 | |
TMS International Corp. Class A | 197,292 | 2,926 | |
* | Universal Stainless & Alloy Products Inc. | 91,471 | 2,697 |
Ampco-Pittsburgh Corp. | 123,047 | 2,310 | |
KMG Chemicals Inc. | 101,220 | 2,136 | |
*,^ | Uni-Pixel Inc. | 141,472 | 2,081 |
*,^ | Paramount Gold and Silver Corp. | 1,706,012 | 2,030 |
* | Westmoreland Coal Co. | 176,350 | 1,980 |
Chase Corp. | 87,854 | 1,964 | |
* | Penford Corp. | 139,546 | 1,869 |
* | General Moly Inc. | 918,905 | 1,718 |
Noranda Aluminum Holding Corp. | 460,021 | 1,486 | |
^ | Great Northern Iron Ore Properties | 21,094 | 1,453 |
* | Midway Gold Corp. | 1,361,986 | 1,284 |
* | Senomyx Inc. | 548,455 | 1,196 |
Hallador Energy Co. | 120,018 | 966 | |
* | Handy & Harman Ltd. | 51,780 | 926 |
*,^ | James River Coal Co. | 499,937 | 910 |
2
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Uranerz Energy Corp. | 813,960 | 895 |
Friedman Industries Inc. | 75,387 | 743 | |
*,^ | Comstock Mining Inc. | 427,261 | 705 |
*,^ | Golden Minerals Co. | 490,029 | 666 |
* | Codexis Inc. | 253,050 | 559 |
* | Metabolix Inc. | 386,346 | 549 |
*,^ | USEC Inc. | 1,756,889 | 515 |
* | Material Sciences Corp. | 48,118 | 484 |
*,^ | Uranium Resources Inc. | 177,955 | 468 |
Synalloy Corp. | 28,689 | 446 | |
*,^ | US Antimony Corp. | 305,155 | 339 |
* | Solitario Exploration & Royalty Corp. | 368,557 | 332 |
NL Industries Inc. | 27,500 | 311 | |
* | Northern Technologies International Corp. | 26,500 | 295 |
* | Verso Paper Corp. | 183,061 | 211 |
United-Guardian Inc. | 5,985 | 146 | |
* | Empire Resources Inc. | 24,767 | 123 |
* | Timberline Resources Corp. | 1,500 | — |
* | Mines Management Inc. | 359 | — |
7,288,735 | |||
Consumer Goods (10.4%) | |||
Procter & Gamble Co. | 38,911,907 | 2,995,828 | |
Coca-Cola Co. | 56,911,778 | 2,282,731 | |
Philip Morris International Inc. | 22,059,062 | 1,910,756 | |
PepsiCo Inc. | 21,955,266 | 1,795,721 | |
Altria Group Inc. | 28,510,451 | 997,581 | |
Ford Motor Co. | 54,810,010 | 847,911 | |
Colgate-Palmolive Co. | 13,255,523 | 759,409 | |
Monsanto Co. | 7,579,807 | 748,885 | |
Mondelez International Inc. Class A | 25,333,658 | 722,769 | |
NIKE Inc. Class B | 10,166,988 | 647,434 | |
Kimberly-Clark Corp. | 5,465,872 | 530,955 | |
Kraft Foods Group Inc. | 8,448,370 | 472,010 | |
General Mills Inc. | 9,158,286 | 444,452 | |
* | General Motors Co. | 11,693,091 | 389,497 |
Johnson Controls Inc. | 9,719,020 | 347,844 | |
Archer-Daniels-Midland Co. | 9,349,056 | 317,026 | |
Kellogg Co. | 4,181,268 | 268,563 | |
VF Corp. | 1,249,874 | 241,301 | |
Lorillard Inc. | 5,390,122 | 235,441 | |
Mead Johnson Nutrition Co. | 2,873,228 | 227,646 | |
Coach Inc. | 3,981,028 | 227,277 | |
Reynolds American Inc. | 4,688,042 | 226,761 | |
Delphi Automotive plc | 4,454,265 | 225,787 | |
Estee Lauder Cos. Inc. Class A | 3,393,797 | 223,210 | |
Mattel Inc. | 4,900,640 | 222,048 | |
ConAgra Foods Inc. | 5,921,237 | 206,829 | |
Hershey Co. | 2,082,566 | 185,931 | |
Stanley Black & Decker Inc. | 2,300,235 | 177,808 | |
Harley-Davidson Inc. | 3,198,736 | 175,355 | |
Genuine Parts Co. | 2,083,310 | 162,644 | |
Clorox Co. | 1,866,899 | 155,214 | |
Ralph Lauren Corp. Class A | 865,123 | 150,306 | |
JM Smucker Co. | 1,442,676 | 148,812 | |
PVH Corp. | 1,148,939 | 143,675 | |
Beam Inc. | 2,272,879 | 143,441 | |
* | BorgWarner Inc. | 1,650,331 | 142,176 |
Bunge Ltd. | 1,980,108 | 140,132 | |
Dr Pepper Snapple Group Inc. | 2,908,379 | 133,582 | |
Coca-Cola Enterprises Inc. | 3,700,164 | 130,098 | |
Campbell Soup Co. | 2,883,550 | 129,154 | |
Avon Products Inc. | 6,130,110 | 128,916 | |
Whirlpool Corp. | 1,121,033 | 128,201 | |
*,^ | Green Mountain Coffee Roasters Inc. | 1,701,164 | 127,689 |
3
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Monster Beverage Corp. | 2,026,893 | 123,174 |
Church & Dwight Co. Inc. | 1,970,680 | 121,611 | |
* | Constellation Brands Inc. Class A | 2,181,673 | 113,709 |
McCormick & Co. Inc. | 1,614,052 | 113,565 | |
*,^ | Tesla Motors Inc. | 998,977 | 107,320 |
Newell Rubbermaid Inc. | 4,074,057 | 106,944 | |
Tyson Foods Inc. Class A | 4,064,770 | 104,383 | |
* | TRW Automotive Holdings Corp. | 1,538,541 | 102,221 |
Brown-Forman Corp. Class B | 1,508,328 | 101,888 | |
* | LKQ Corp. | 3,855,955 | 99,291 |
Molson Coors Brewing Co. Class B | 2,012,003 | 96,294 | |
* | PulteGroup Inc. | 4,956,736 | 94,029 |
*,^ | Lululemon Athletica Inc. | 1,429,517 | 93,662 |
* | Electronic Arts Inc. | 4,070,822 | 93,507 |
* | Mohawk Industries Inc. | 824,151 | 92,709 |
Activision Blizzard Inc. | 6,304,737 | 89,906 | |
Energizer Holdings Inc. | 893,564 | 89,812 | |
Polaris Industries Inc. | 924,239 | 87,803 | |
DR Horton Inc. | 4,121,959 | 87,715 | |
Lear Corp. | 1,314,201 | 79,457 | |
* | Fossil Group Inc. | 719,923 | 74,375 |
^ | Hasbro Inc. | 1,648,086 | 73,884 |
Snap-on Inc. | 820,156 | 73,306 | |
Lennar Corp. Class A | 2,021,352 | 72,850 | |
Hormel Foods Corp. | 1,873,355 | 72,274 | |
Hanesbrands Inc. | 1,387,226 | 71,331 | |
* | Toll Brothers Inc. | 2,163,945 | 70,609 |
* | Jarden Corp. | 1,578,965 | 69,080 |
Ingredion Inc. | 1,043,505 | 68,475 | |
* | Under Armour Inc. Class A | 1,123,236 | 67,068 |
* | WABCO Holdings Inc. | 889,567 | 66,442 |
* | Smithfield Foods Inc. | 1,974,978 | 64,681 |
Leggett & Platt Inc. | 2,007,851 | 62,424 | |
Carter's Inc. | 800,050 | 59,260 | |
* | NVR Inc. | 64,040 | 59,045 |
Hillshire Brands Co. | 1,738,492 | 57,509 | |
Flowers Foods Inc. | 2,512,987 | 55,411 | |
Tupperware Brands Corp. | 693,115 | 53,848 | |
^ | Herbalife Ltd. | 1,170,989 | 52,858 |
* | Goodyear Tire & Rubber Co. | 3,445,590 | 52,683 |
Harman International Industries Inc. | 953,748 | 51,693 | |
Nu Skin Enterprises Inc. Class A | 756,682 | 46,248 | |
* | Visteon Corp. | 731,086 | 46,146 |
Gentex Corp. | 1,940,766 | 44,735 | |
* | Middleby Corp. | 258,153 | 43,909 |
Dana Holding Corp. | 2,091,087 | 40,274 | |
Brunswick Corp. | 1,258,349 | 40,204 | |
* | Tenneco Inc. | 845,350 | 38,277 |
Wolverine World Wide Inc. | 688,423 | 37,595 | |
* | Fifth & Pacific Cos. Inc. | 1,682,180 | 37,580 |
* | Tempur Sealy International Inc. | 836,939 | 36,742 |
* | Hain Celestial Group Inc. | 553,355 | 35,951 |
Pool Corp. | 658,864 | 34,531 | |
* | TreeHouse Foods Inc. | 507,983 | 33,293 |
Thor Industries Inc. | 635,728 | 31,265 | |
* | Darling International Inc. | 1,653,209 | 30,849 |
Scotts Miracle-Gro Co. Class A | 604,203 | 29,189 | |
Cooper Tire & Rubber Co. | 839,995 | 27,863 | |
* | Steven Madden Ltd. | 559,714 | 27,079 |
* | Dean Foods Co. | 2,612,037 | 26,173 |
Ryland Group Inc. | 636,409 | 25,520 | |
B&G Foods Inc. | 741,439 | 25,246 | |
* | Deckers Outdoor Corp. | 470,824 | 23,781 |
KB Home | 1,178,386 | 23,132 |
4
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
HNI Corp. | 633,421 | 22,847 | |
* | Iconix Brand Group Inc. | 769,948 | 22,644 |
Lancaster Colony Corp. | 289,125 | 22,549 | |
* | Zynga Inc. Class A | 8,068,996 | 22,432 |
Herman Miller Inc. | 818,973 | 22,170 | |
Schweitzer-Mauduit International Inc. | 433,013 | 21,599 | |
* | Boston Beer Co. Inc. Class A | 124,379 | 21,224 |
* | Crocs Inc. | 1,278,412 | 21,094 |
* | Post Holdings Inc. | 483,027 | 21,089 |
Snyders-Lance Inc. | 728,032 | 20,683 | |
* | Meritage Homes Corp. | 476,661 | 20,668 |
* | TiVo Inc. | 1,735,717 | 19,180 |
MDC Holdings Inc. | 581,389 | 18,901 | |
Universal Corp. | 326,693 | 18,899 | |
* | Select Comfort Corp. | 751,528 | 18,833 |
Sanderson Farms Inc. | 280,830 | 18,653 | |
* | American Axle & Manufacturing Holdings Inc. | 990,826 | 18,459 |
Dorman Products Inc. | 404,260 | 18,446 | |
Spectrum Brands Holdings Inc. | 323,222 | 18,382 | |
* | Take-Two Interactive Software Inc. | 1,133,705 | 16,972 |
* | Elizabeth Arden Inc. | 372,407 | 16,784 |
* | Helen of Troy Ltd. | 426,038 | 16,347 |
Steelcase Inc. Class A | 1,114,531 | 16,250 | |
J&J Snack Foods Corp. | 208,165 | 16,195 | |
* | Tumi Holdings Inc. | 674,469 | 16,187 |
Fresh Del Monte Produce Inc. | 570,134 | 15,895 | |
*,^ | WhiteWave Foods Co. Class A | 975,129 | 15,846 |
Jones Group Inc. | 1,132,342 | 15,570 | |
Interface Inc. Class A | 872,234 | 14,802 | |
La-Z-Boy Inc. | 727,433 | 14,745 | |
* | iRobot Corp. | 364,073 | 14,479 |
Vector Group Ltd. | 889,632 | 14,430 | |
* | WhiteWave Foods Co. Class B | 948,125 | 14,411 |
* | Coty Inc. Class A | 836,183 | 14,366 |
* | Pilgrim's Pride Corp. | 901,721 | 13,472 |
Seaboard Corp. | 4,969 | 13,456 | |
Briggs & Stratton Corp. | 662,357 | 13,115 | |
Andersons Inc. | 246,191 | 13,095 | |
* | Skechers U.S.A. Inc. Class A | 544,167 | 13,065 |
Oxford Industries Inc. | 195,007 | 12,168 | |
Pinnacle Foods Inc. | 499,543 | 12,064 | |
Titan International Inc. | 714,742 | 12,058 | |
^ | Columbia Sportswear Co. | 192,133 | 12,037 |
Drew Industries Inc. | 298,018 | 11,718 | |
* | Standard Pacific Corp. | 1,381,337 | 11,507 |
* | G-III Apparel Group Ltd. | 237,776 | 11,442 |
* | Taylor Morrison Home Corp. Class A | 466,569 | 11,375 |
WD-40 Co. | 206,349 | 11,242 | |
True Religion Apparel Inc. | 337,082 | 10,672 | |
*,^ | Quiksilver Inc. | 1,618,584 | 10,424 |
Ethan Allen Interiors Inc. | 361,672 | 10,416 | |
* | ACCO Brands Corp. | 1,575,133 | 10,018 |
* | Boulder Brands Inc. | 829,034 | 9,990 |
* | Dole Food Co. Inc. | 743,463 | 9,479 |
Knoll Inc. | 665,364 | 9,455 | |
Standard Motor Products Inc. | 261,394 | 8,976 | |
Cal-Maine Foods Inc. | 191,800 | 8,921 | |
Movado Group Inc. | 260,104 | 8,799 | |
*,^ | Hovnanian Enterprises Inc. Class A | 1,546,491 | 8,676 |
* | Winnebago Industries Inc. | 400,064 | 8,397 |
^ | Tootsie Roll Industries Inc. | 261,414 | 8,308 |
*,^ | RealD Inc. | 593,421 | 8,249 |
Arctic Cat Inc. | 182,834 | 8,224 | |
* | LeapFrog Enterprises Inc. | 810,704 | 7,977 |
5
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Annie's Inc. | 186,637 | 7,977 |
* | Blount International Inc. | 668,674 | 7,904 |
Lennar Corp. Class B | 270,198 | 7,660 | |
* | Gentherm Inc. | 412,248 | 7,655 |
* | M/I Homes Inc. | 329,632 | 7,568 |
American Greetings Corp. Class A | 396,767 | 7,229 | |
*,^ | USANA Health Sciences Inc. | 98,546 | 7,133 |
* | Modine Manufacturing Co. | 651,058 | 7,083 |
Inter Parfums Inc. | 237,902 | 6,785 | |
* | Chiquita Brands International Inc. | 615,919 | 6,726 |
* | Libbey Inc. | 272,410 | 6,530 |
Callaway Golf Co. | 969,958 | 6,382 | |
*,^ | Diamond Foods Inc. | 302,616 | 6,279 |
*,^ | Vera Bradley Inc. | 275,770 | 5,973 |
Superior Industries International Inc. | 345,051 | 5,938 | |
*,^ | Beazer Homes USA Inc. | 336,069 | 5,888 |
* | Maidenform Brands Inc. | 330,022 | 5,719 |
* | Universal Electronics Inc. | 202,040 | 5,683 |
* | DTS Inc. | 257,292 | 5,295 |
National Presto Industries Inc. | 73,205 | 5,273 | |
Coca-Cola Bottling Co. Consolidated | 79,368 | 4,853 | |
* | Medifast Inc. | 185,335 | 4,774 |
Nutrisystem Inc. | 393,555 | 4,636 | |
* | Unifi Inc. | 221,250 | 4,573 |
Calavo Growers Inc. | 166,014 | 4,514 | |
^ | Remy International Inc. | 236,503 | 4,392 |
* | Cavco Industries Inc. | 85,422 | 4,310 |
* | Alliance One International Inc. | 1,127,662 | 4,285 |
* | Stoneridge Inc. | 361,858 | 4,212 |
* | Revlon Inc. Class A | 190,018 | 4,192 |
* | Fuel Systems Solutions Inc. | 208,065 | 3,722 |
* | TRI Pointe Homes Inc. | 222,047 | 3,682 |
* | Nautilus Inc. | 406,459 | 3,532 |
Perry Ellis International Inc. | 172,018 | 3,494 | |
* | Steinway Musical Instruments Inc. | 110,851 | 3,373 |
* | Federal-Mogul Corp. | 328,303 | 3,352 |
JAKKS Pacific Inc. | 297,222 | 3,344 | |
* | Jamba Inc. | 206,051 | 3,076 |
John B Sanfilippo & Son Inc. | 151,594 | 3,056 | |
Nutraceutical International Corp. | 147,820 | 3,021 | |
* | Central Garden and Pet Co. Class A | 437,183 | 3,017 |
*,^ | Lifevantage Corp. | 1,296,678 | 3,008 |
* | Seneca Foods Corp. Class A | 97,588 | 2,994 |
Limoneira Co. | 141,975 | 2,943 | |
Hooker Furniture Corp. | 178,152 | 2,897 | |
* | Black Diamond Inc. | 289,364 | 2,720 |
Nature's Sunshine Products Inc. | 160,581 | 2,625 | |
National Beverage Corp. | 150,278 | 2,625 | |
Oil-Dri Corp. of America | 93,173 | 2,559 | |
Female Health Co. | 257,616 | 2,540 | |
Strattec Security Corp. | 65,085 | 2,432 | |
* | Omega Protein Corp. | 268,025 | 2,407 |
Weyco Group Inc. | 95,064 | 2,396 | |
*,^ | Star Scientific Inc. | 1,692,740 | 2,353 |
Bassett Furniture Industries Inc. | 148,869 | 2,312 | |
* | Inventure Foods Inc. | 272,619 | 2,279 |
^ | Blyth Inc. | 141,026 | 1,969 |
* | AT Cross Co. Class A | 115,431 | 1,957 |
Orchids Paper Products Co. | 73,285 | 1,924 | |
Alico Inc. | 46,638 | 1,871 | |
Cherokee Inc. | 145,928 | 1,865 | |
*,^ | Zagg Inc. | 346,599 | 1,854 |
* | Johnson Outdoors Inc. Class A | 69,269 | 1,725 |
* | Tower International Inc. | 86,387 | 1,710 |
6
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Lifeway Foods Inc. | 95,840 | 1,664 | |
Flexsteel Industries Inc. | 67,252 | 1,640 | |
Lifetime Brands Inc. | 120,582 | 1,637 | |
* | Central Garden and Pet Co. | 223,966 | 1,590 |
Culp Inc. | 88,952 | 1,547 | |
* | Motorcar Parts of America Inc. | 159,681 | 1,464 |
Rocky Brands Inc. | 95,177 | 1,439 | |
*,^ | Glu Mobile Inc. | 632,424 | 1,391 |
* | Joe's Jeans Inc. | 832,167 | 1,365 |
Marine Products Corp. | 166,467 | 1,335 | |
* | Farmer Bros Co. | 92,919 | 1,306 |
Griffin Land & Nurseries Inc. | 45,258 | 1,291 | |
RG Barry Corp. | 78,474 | 1,274 | |
*,^ | American Apparel Inc. | 651,130 | 1,250 |
* | Delta Apparel Inc. | 84,602 | 1,193 |
Shiloh Industries Inc. | 110,112 | 1,150 | |
* | Skullcandy Inc. | 190,795 | 1,042 |
* | Stanley Furniture Co. Inc. | 227,672 | 911 |
* | Charles & Colvard Ltd. | 221,308 | 903 |
* | Overhill Farms Inc. | 180,429 | 893 |
* | Dixie Group Inc. | 105,574 | 876 |
* | LoJack Corp. | 277,452 | 874 |
* | Craft Brew Alliance Inc. | 94,859 | 782 |
Escalade Inc. | 99,114 | 613 | |
MGP Ingredients Inc. | 102,286 | 610 | |
LS Starrett Co. Class A | 58,996 | 603 | |
*,^ | S&W Seed Co. | 66,432 | 557 |
Superior Uniform Group Inc. | 49,470 | 534 | |
* | Kid Brands Inc. | 298,606 | 460 |
* | Virco Manufacturing Corp. | 159,526 | 373 |
Crown Crafts Inc. | 60,654 | 373 | |
* | Furniture Brands International Inc. | 87,572 | 350 |
*,^ | Primo Water Corp. | 178,443 | 325 |
* | Emerson Radio Corp. | 169,085 | 279 |
* | Skyline Corp. | 69,891 | 275 |
Rocky Mountain Chocolate Factory Inc. | 22,592 | 273 | |
*,^ | Quantum Fuel Systems Technologies Worldwide Inc. | 450,862 | 248 |
* | Mannatech Inc. | 21,837 | 240 |
Reliv International Inc. | 146,638 | 187 | |
*,^ | Comstock Holding Cos. Inc. Class A | 53,775 | 149 |
* | Core Molding Technologies Inc. | 16,677 | 149 |
* | US Auto Parts Network Inc. | 128,589 | 148 |
*,^ | Coffee Holding Co. Inc. | 19,448 | 117 |
* | Hovnanian Enterprises Inc. Class B | 19,300 | 108 |
*,^ | Clean Diesel Technologies Inc. | 64,160 | 78 |
*,^ | Reed's Inc. | 14,694 | 73 |
* | Universal Security Instruments Inc. | 12,777 | 67 |
* | DS Healthcare Group Inc. | 32,023 | 67 |
* | Forward Industries Inc. | 31,564 | 58 |
* | Majesco Entertainment Co. | 86,213 | 49 |
* | Crystal Rock Holdings Inc. | 32,920 | 28 |
* | Lakeland Industries Inc. | 4,701 | 22 |
Koss Corp. | 2,848 | 14 | |
* | Natural Alternatives International Inc. | 2,400 | 11 |
* | P&F Industries Inc. Class A | 1,200 | 10 |
* | Ocean Bio-Chem Inc. | 2,342 | 7 |
* | Summer Infant Inc. | 800 | 2 |
Bridgford Foods Corp. | 200 | 1 | |
Kewaunee Scientific Corp. | 100 | 1 | |
Golden Enterprises Inc. | 100 | — | |
26,397,651 | |||
Consumer Services (13.2%) | |||
Wal-Mart Stores Inc. | 23,260,217 | 1,732,654 | |
Home Depot Inc. | 20,739,625 | 1,606,699 |
7
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Walt Disney Co. | 23,034,339 | 1,454,618 | |
* | Amazon.com Inc. | 5,170,623 | 1,435,830 |
McDonald's Corp. | 14,234,490 | 1,409,214 | |
Comcast Corp. Class A | 32,471,266 | 1,359,897 | |
CVS Caremark Corp. | 17,383,258 | 993,975 | |
News Corp. Class A | 27,268,818 | 888,963 | |
* | eBay Inc. | 16,583,683 | 857,708 |
Time Warner Inc. | 12,580,541 | 727,407 | |
Costco Wholesale Corp. | 6,195,684 | 685,057 | |
Starbucks Corp. | 10,104,768 | 661,761 | |
Target Corp. | 9,130,968 | 628,758 | |
Lowe's Cos. Inc. | 15,225,715 | 622,732 | |
* | priceline.com Inc. | 732,303 | 605,710 |
Walgreen Co. | 12,120,240 | 535,715 | |
TJX Cos. Inc. | 9,718,143 | 486,490 | |
Time Warner Cable Inc. | 4,135,258 | 465,134 | |
* | DIRECTV | 7,540,953 | 464,674 |
Yum! Brands Inc. | 6,394,339 | 443,383 | |
Viacom Inc. Class B | 6,310,048 | 429,399 | |
CBS Corp. Class B | 8,277,792 | 404,536 | |
McKesson Corp. | 3,220,661 | 368,766 | |
Sysco Corp. | 8,434,414 | 288,120 | |
Las Vegas Sands Corp. | 5,269,415 | 278,910 | |
Whole Foods Market Inc. | 5,260,776 | 270,825 | |
Macy's Inc. | 5,453,126 | 261,750 | |
Kroger Co. | 7,021,831 | 242,534 | |
Omnicom Group Inc. | 3,693,537 | 232,213 | |
Cardinal Health Inc. | 4,851,826 | 229,006 | |
* | Delta Air Lines Inc. | 12,168,053 | 227,664 |
Carnival Corp. | 6,310,278 | 216,379 | |
* | Dollar General Corp. | 4,187,824 | 211,192 |
* | Liberty Global plc Class A | 2,850,743 | 211,183 |
* | Bed Bath & Beyond Inc. | 2,951,350 | 209,251 |
* | AutoZone Inc. | 486,198 | 205,997 |
Ross Stores Inc. | 2,978,750 | 193,053 | |
Comcast Corp. | 4,797,270 | 190,308 | |
AmerisourceBergen Corp. Class A | 3,276,781 | 182,943 | |
Starwood Hotels & Resorts Worldwide Inc. | 2,756,305 | 174,171 | |
L Brands Inc. | 3,496,288 | 172,192 | |
* | O'Reilly Automotive Inc. | 1,511,584 | 170,235 |
Gap Inc. | 3,967,976 | 165,584 | |
* | Liberty Interactive Corp. Class A | 7,117,152 | 163,766 |
* | Chipotle Mexican Grill Inc. Class A | 440,938 | 160,656 |
* | Liberty Media Corp. Class A | 1,260,679 | 159,804 |
* | Discovery Communications Inc. Class A | 2,068,862 | 159,737 |
* | Netflix Inc. | 755,118 | 159,398 |
* | Dollar Tree Inc. | 3,040,894 | 154,599 |
Sirius XM Radio Inc. | 45,352,427 | 151,931 | |
Staples Inc. | 9,483,549 | 150,409 | |
* | United Continental Holdings Inc. | 4,735,475 | 148,173 |
* | CarMax Inc. | 3,209,658 | 148,158 |
Wynn Resorts Ltd. | 1,142,872 | 146,288 | |
* | Liberty Global plc | 2,141,008 | 145,353 |
Kohl's Corp. | 2,832,995 | 143,095 | |
* | Hertz Global Holdings Inc. | 5,689,382 | 141,097 |
Southwest Airlines Co. | 10,340,334 | 133,287 | |
Nordstrom Inc. | 2,095,016 | 125,575 | |
DISH Network Corp. Class A | 2,902,419 | 123,411 | |
* | Charter Communications Inc. Class A | 935,353 | 115,843 |
Marriott International Inc. Class A | 2,860,271 | 115,469 | |
Tiffany & Co. | 1,541,372 | 112,274 | |
Wyndham Worldwide Corp. | 1,952,167 | 111,723 | |
Nielsen Holdings NV | 3,188,929 | 107,116 | |
H&R Block Inc. | 3,848,891 | 106,807 |
8
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Best Buy Co. Inc. | 3,886,709 | 106,224 | |
Tractor Supply Co. | 887,715 | 104,404 | |
PetSmart Inc. | 1,468,313 | 98,362 | |
* | TripAdvisor Inc. | 1,567,886 | 95,437 |
Darden Restaurants Inc. | 1,830,804 | 92,419 | |
Expedia Inc. | 1,477,763 | 88,887 | |
Interpublic Group of Cos. Inc. | 6,086,531 | 88,559 | |
* | Discovery Communications Inc. | 1,261,979 | 87,909 |
Family Dollar Stores Inc. | 1,388,148 | 86,495 | |
* | Ulta Salon Cosmetics & Fragrance Inc. | 852,908 | 85,427 |
Advance Auto Parts Inc. | 1,039,597 | 84,384 | |
* | IHS Inc. Class A | 789,524 | 82,411 |
Safeway Inc. | 3,395,360 | 80,334 | |
Gannett Co. Inc. | 3,239,358 | 79,235 | |
Signet Jewelers Ltd. | 1,140,567 | 76,908 | |
* | MGM Resorts International | 5,192,112 | 76,739 |
Scripps Networks Interactive Inc. Class A | 1,127,642 | 75,281 | |
* | Sally Beauty Holdings Inc. | 2,413,174 | 75,050 |
Foot Locker Inc. | 2,126,384 | 74,700 | |
* | Panera Bread Co. Class A | 399,354 | 74,256 |
Omnicare Inc. | 1,500,594 | 71,593 | |
Dick's Sporting Goods Inc. | 1,426,035 | 71,387 | |
GameStop Corp. Class A | 1,605,193 | 67,466 | |
Williams-Sonoma Inc. | 1,180,482 | 65,977 | |
Dunkin' Brands Group Inc. | 1,515,237 | 64,882 | |
* | Urban Outfitters Inc. | 1,556,884 | 62,618 |
International Game Technology | 3,742,237 | 62,533 | |
Royal Caribbean Cruises Ltd. | 1,870,159 | 62,351 | |
^ | FactSet Research Systems Inc. | 591,261 | 60,273 |
Dun & Bradstreet Corp. | 596,834 | 58,161 | |
GNC Holdings Inc. Class A | 1,264,598 | 55,908 | |
* | AMC Networks Inc. Class A | 812,467 | 53,143 |
Service Corp. International | 2,861,315 | 51,589 | |
* | AutoNation Inc. | 1,187,528 | 51,527 |
* | Alaska Air Group Inc. | 989,360 | 51,447 |
Abercrombie & Fitch Co. | 1,131,599 | 51,205 | |
* | Madison Square Garden Co. Class A | 840,341 | 49,790 |
* | Lamar Advertising Co. Class A | 1,131,912 | 49,125 |
* | Copart Inc. | 1,591,369 | 49,014 |
Cablevision Systems Corp. Class A | 2,829,347 | 47,590 | |
Domino's Pizza Inc. | 789,750 | 45,924 | |
* | Penn National Gaming Inc. | 832,242 | 43,992 |
American Eagle Outfitters Inc. | 2,403,001 | 43,879 | |
* | Avis Budget Group Inc. | 1,513,767 | 43,521 |
Washington Post Co. Class B | 87,553 | 42,356 | |
* | Cabela's Inc. | 638,981 | 41,380 |
Cinemark Holdings Inc. | 1,454,898 | 40,621 | |
Brinker International Inc. | 1,028,164 | 40,540 | |
Chico's FAS Inc. | 2,338,471 | 39,894 | |
* | Groupon Inc. | 4,683,406 | 39,809 |
*,^ | US Airways Group Inc. | 2,279,207 | 37,425 |
* | United Natural Foods Inc. | 690,828 | 37,298 |
Sotheby's | 951,300 | 36,064 | |
DSW Inc. Class A | 477,972 | 35,117 | |
*,^ | JC Penney Co. Inc. | 2,049,058 | 34,998 |
*,^ | Pandora Media Inc. | 1,825,743 | 33,594 |
Casey's General Stores Inc. | 539,084 | 32,431 | |
Dillard's Inc. Class A | 394,488 | 32,336 | |
* | Starz | 1,462,741 | 32,327 |
* | Ascena Retail Group Inc. | 1,803,312 | 31,468 |
Cracker Barrel Old Country Store Inc. | 331,581 | 31,387 | |
* | Rite Aid Corp. | 10,959,202 | 31,343 |
* | Live Nation Entertainment Inc. | 2,008,549 | 31,132 |
Rent-A-Center Inc. | 827,630 | 31,077 |
9
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Six Flags Entertainment Corp. | 883,570 | 31,066 | |
Harris Teeter Supermarkets Inc. | 661,795 | 31,012 | |
Vail Resorts Inc. | 501,625 | 30,860 | |
* | VCA Antech Inc. | 1,176,898 | 30,705 |
Sinclair Broadcast Group Inc. Class A | 1,044,768 | 30,695 | |
Cheesecake Factory Inc. | 717,325 | 30,049 | |
* | Bally Technologies Inc. | 521,665 | 29,432 |
^ | Burger King Worldwide Inc. | 1,495,318 | 29,174 |
* | Life Time Fitness Inc. | 581,758 | 29,152 |
Aaron's Inc. | 1,008,271 | 28,242 | |
* | Lumber Liquidators Holdings Inc. | 362,366 | 28,217 |
* | Shutterfly Inc. | 496,967 | 27,726 |
* | Spirit Airlines Inc. | 869,910 | 27,637 |
* | Lions Gate Entertainment Corp. | 1,001,245 | 27,504 |
John Wiley & Sons Inc. Class A | 674,325 | 27,034 | |
* | Fresh Market Inc. | 543,303 | 27,013 |
* | Big Lots Inc. | 850,067 | 26,803 |
* | CST Brands Inc. | 867,502 | 26,728 |
Guess? Inc. | 859,584 | 26,673 | |
* | Hyatt Hotels Corp. Class A | 653,444 | 26,373 |
Morningstar Inc. | 330,510 | 25,641 | |
* | Buffalo Wild Wings Inc. | 261,137 | 25,633 |
Men's Wearhouse Inc. | 675,858 | 25,581 | |
* | Beacon Roofing Supply Inc. | 672,435 | 25,472 |
*,^ | Sears Holdings Corp. | 601,276 | 25,302 |
* | ValueClick Inc. | 1,018,009 | 25,124 |
Pier 1 Imports Inc. | 1,068,131 | 25,090 | |
* | Apollo Group Inc. Class A | 1,411,884 | 25,019 |
KAR Auction Services Inc. | 1,072,715 | 24,533 | |
HSN Inc. | 455,259 | 24,457 | |
* | DreamWorks Animation SKG Inc. Class A | 951,518 | 24,416 |
PriceSmart Inc. | 276,797 | 24,256 | |
Wendy's Co. | 4,145,138 | 24,166 | |
Meredith Corp. | 505,978 | 24,135 | |
* | Jack in the Box Inc. | 612,102 | 24,049 |
Rollins Inc. | 922,957 | 23,905 | |
* | Express Inc. | 1,139,062 | 23,886 |
* | Acxiom Corp. | 1,043,521 | 23,667 |
* | HomeAway Inc. | 723,655 | 23,403 |
Allegiant Travel Co. Class A | 215,413 | 22,832 | |
* | Genesco Inc. | 340,501 | 22,810 |
DeVry Inc. | 730,217 | 22,651 | |
* | ANN Inc. | 679,432 | 22,557 |
Texas Roadhouse Inc. Class A | 897,278 | 22,450 | |
^ | Dolby Laboratories Inc. Class A | 665,623 | 22,265 |
Regal Entertainment Group Class A | 1,210,967 | 21,676 | |
* | JetBlue Airways Corp. | 3,409,962 | 21,483 |
Buckle Inc. | 401,865 | 20,905 | |
Hillenbrand Inc. | 880,438 | 20,875 | |
* | New York Times Co. Class A | 1,873,263 | 20,718 |
* | WebMD Health Corp. | 701,505 | 20,603 |
* | Hibbett Sports Inc. | 366,754 | 20,355 |
Monro Muffler Brake Inc. | 417,556 | 20,064 | |
* | Saks Inc. | 1,457,334 | 19,878 |
Chemed Corp. | 273,192 | 19,787 | |
* | WMS Industries Inc. | 764,548 | 19,504 |
Group 1 Automotive Inc. | 302,736 | 19,475 | |
Penske Automotive Group Inc. | 630,480 | 19,255 | |
* | Grand Canyon Education Inc. | 594,892 | 19,173 |
Bob Evans Farms Inc. | 393,920 | 18,506 | |
Weight Watchers International Inc. | 397,530 | 18,286 | |
*,^ | SUPERVALU Inc. | 2,938,441 | 18,277 |
Belo Corp. Class A | 1,308,749 | 18,257 | |
* | Children's Place Retail Stores Inc. | 332,723 | 18,233 |
10
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Vitamin Shoppe Inc. | 402,312 | 18,040 |
* | OpenTable Inc. | 273,599 | 17,497 |
* | Bloomin' Brands Inc. | 699,469 | 17,403 |
* | Marriott Vacations Worldwide Corp. | 396,393 | 17,140 |
Arbitron Inc. | 368,045 | 17,096 | |
* | Papa John's International Inc. | 260,836 | 17,051 |
*,^ | Five Below Inc. | 460,291 | 16,920 |
Lithia Motors Inc. Class A | 316,672 | 16,882 | |
* | Pinnacle Entertainment Inc. | 853,399 | 16,786 |
* | Orient-Express Hotels Ltd. Class A | 1,373,744 | 16,705 |
* | Asbury Automotive Group Inc. | 409,289 | 16,412 |
* | Francesca's Holdings Corp. | 582,978 | 16,201 |
* | Jos A Bank Clothiers Inc. | 391,716 | 16,186 |
* | Conn's Inc. | 311,971 | 16,148 |
Choice Hotels International Inc. | 404,988 | 16,074 | |
News Corp. Class B | 488,221 | 16,023 | |
* | Krispy Kreme Doughnuts Inc. | 914,462 | 15,957 |
* | Aeropostale Inc. | 1,143,367 | 15,778 |
Finish Line Inc. Class A | 707,775 | 15,472 | |
DineEquity Inc. | 223,568 | 15,397 | |
* | Office Depot Inc. | 3,962,207 | 15,334 |
* | Angie's List Inc. | 571,255 | 15,167 |
* | Yelp Inc. | 419,731 | 14,594 |
Churchill Downs Inc. | 184,697 | 14,563 | |
Matthews International Corp. Class A | 381,898 | 14,398 | |
* | Restoration Hardware Holdings Inc. | 189,818 | 14,236 |
Stewart Enterprises Inc. Class A | 1,073,478 | 14,052 | |
SeaWorld Entertainment Inc. | 397,489 | 13,952 | |
Nexstar Broadcasting Group Inc. Class A | 391,427 | 13,880 | |
* | Ascent Capital Group Inc. Class A | 177,635 | 13,868 |
* | SHFL Entertainment Inc. | 779,310 | 13,802 |
Valassis Communications Inc. | 547,317 | 13,459 | |
National CineMedia Inc. | 785,995 | 13,275 | |
Regis Corp. | 806,502 | 13,243 | |
* | Norwegian Cruise Line Holdings Ltd. | 434,527 | 13,171 |
* | BJ's Restaurants Inc. | 351,279 | 13,032 |
Brown Shoe Co. Inc. | 596,881 | 12,851 | |
*,^ | Clean Energy Fuels Corp. | 968,884 | 12,789 |
* | Rush Enterprises Inc. Class A | 499,975 | 12,374 |
^ | OfficeMax Inc. | 1,201,445 | 12,291 |
Ameristar Casinos Inc. | 457,256 | 12,021 | |
* | AFC Enterprises Inc. | 332,818 | 11,961 |
*,^ | Liquidity Services Inc. | 340,706 | 11,812 |
Sonic Automotive Inc. Class A | 553,888 | 11,709 | |
International Speedway Corp. Class A | 368,538 | 11,598 | |
AMERCO | 69,585 | 11,266 | |
* | Susser Holdings Corp. | 233,391 | 11,175 |
Scholastic Corp. | 379,293 | 11,109 | |
Interval Leisure Group Inc. | 556,547 | 11,086 | |
CEC Entertainment Inc. | 264,594 | 10,859 | |
* | comScore Inc. | 441,641 | 10,772 |
* | Sonic Corp. | 731,843 | 10,656 |
Stage Stores Inc. | 449,566 | 10,565 | |
* | Red Robin Gourmet Burgers Inc. | 188,508 | 10,402 |
* | Multimedia Games Holding Co. Inc. | 393,055 | 10,247 |
* | K12 Inc. | 384,111 | 10,091 |
* | Steiner Leisure Ltd. | 189,083 | 9,995 |
* | Tile Shop Holdings Inc. | 337,840 | 9,784 |
Cato Corp. Class A | 384,519 | 9,598 | |
Core-Mark Holding Co. Inc. | 151,058 | 9,592 | |
SkyWest Inc. | 708,358 | 9,591 | |
* | Bright Horizons Family Solutions Inc. | 274,909 | 9,542 |
* | Zumiez Inc. | 328,654 | 9,449 |
* | American Public Education Inc. | 251,612 | 9,350 |
11
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Fiesta Restaurant Group Inc. | 262,612 | 9,031 |
* | rue21 inc | 216,596 | 9,013 |
*,^ | Boyd Gaming Corp. | 790,348 | 8,931 |
* | Pep Boys-Manny Moe & Jack | 743,876 | 8,614 |
^ | Strayer Education Inc. | 165,373 | 8,075 |
*,^ | ITT Educational Services Inc. | 328,352 | 8,012 |
* | Barnes & Noble Inc. | 501,302 | 8,001 |
* | Bankrate Inc. | 555,818 | 7,982 |
* | Scientific Games Corp. Class A | 704,373 | 7,924 |
* | Biglari Holdings Inc. | 19,247 | 7,899 |
* | Stamps.com Inc. | 196,606 | 7,744 |
* | Capella Education Co. | 183,776 | 7,654 |
Weis Markets Inc. | 169,397 | 7,635 | |
* | Mattress Firm Holding Corp. | 187,989 | 7,576 |
* | Chuy's Holdings Inc. | 195,406 | 7,492 |
Fred's Inc. Class A | 483,525 | 7,490 | |
* | Denny's Corp. | 1,324,156 | 7,442 |
* | Republic Airways Holdings Inc. | 647,553 | 7,337 |
*,^ | Caesars Entertainment Corp. | 523,558 | 7,173 |
* | Blue Nile Inc. | 179,179 | 6,769 |
* | Ruby Tuesday Inc. | 731,944 | 6,756 |
* | Constant Contact Inc. | 416,594 | 6,695 |
* | Wet Seal Inc. Class A | 1,379,266 | 6,496 |
* | EW Scripps Co. Class A | 415,576 | 6,475 |
Harte-Hanks Inc. | 746,101 | 6,416 | |
* | Overstock.com Inc. | 222,850 | 6,284 |
MDC Partners Inc. Class A | 339,219 | 6,120 | |
Haverty Furniture Cos. Inc. | 262,639 | 6,043 | |
* | Tuesday Morning Corp. | 576,265 | 5,976 |
* | LIN TV Corp. Class A | 384,896 | 5,889 |
Big 5 Sporting Goods Corp. | 267,074 | 5,862 | |
Ruth's Hospitality Group Inc. | 485,304 | 5,858 | |
Spartan Stores Inc. | 295,279 | 5,445 | |
* | Orbitz Worldwide Inc. | 665,367 | 5,343 |
*,^ | Fairway Group Holdings Corp. | 220,735 | 5,335 |
* | America's Car-Mart Inc. | 122,441 | 5,294 |
Stein Mart Inc. | 385,820 | 5,266 | |
Carriage Services Inc. Class A | 307,977 | 5,220 | |
* | Providence Service Corp. | 178,512 | 5,193 |
* | Sears Hometown and Outlet Stores Inc. | 114,584 | 5,010 |
*,^ | Titan Machinery Inc. | 243,785 | 4,785 |
* | Gray Television Inc. | 663,340 | 4,776 |
Shoe Carnival Inc. | 193,635 | 4,649 | |
* | Standard Parking Corp. | 213,657 | 4,585 |
* | Bravo Brio Restaurant Group Inc. | 255,515 | 4,553 |
* | Journal Communications Inc. Class A | 598,089 | 4,480 |
Ingles Markets Inc. Class A | 175,503 | 4,431 | |
Entravision Communications Corp. Class A | 717,498 | 4,413 | |
*,^ | RadioShack Corp. | 1,356,205 | 4,286 |
* | XO Group Inc. | 382,264 | 4,281 |
Destination Maternity Corp. | 174,026 | 4,281 | |
* | Clear Channel Outdoor Holdings Inc. Class A | 570,001 | 4,252 |
* | Carmike Cinemas Inc. | 218,410 | 4,228 |
*,^ | Hawaiian Holdings Inc. | 666,330 | 4,071 |
World Wrestling Entertainment Inc. Class A | 390,801 | 4,029 | |
Fisher Communications Inc. | 96,557 | 3,967 | |
*,^ | Dex Media Inc. | 223,905 | 3,934 |
*,^ | hhgregg Inc. | 244,260 | 3,901 |
* | Natural Grocers by Vitamin Cottage Inc. | 125,829 | 3,901 |
PetMed Express Inc. | 306,044 | 3,856 | |
* | Pantry Inc. | 314,287 | 3,828 |
Nash Finch Co. | 171,782 | 3,781 | |
* | Destination XL Group Inc. | 595,180 | 3,773 |
* | TravelCenters of America LLC | 343,725 | 3,760 |
12
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Cumulus Media Inc. Class A | 1,107,726 | 3,755 |
* | Zale Corp. | 404,536 | 3,681 |
* | Kirkland's Inc. | 209,019 | 3,606 |
Marcus Corp. | 276,351 | 3,515 | |
*,^ | Media General Inc. Class A | 315,300 | 3,478 |
* | QuinStreet Inc. | 400,295 | 3,455 |
* | MarineMax Inc. | 302,102 | 3,423 |
Speedway Motorsports Inc. | 194,930 | 3,392 | |
* | Christopher & Banks Corp. | 499,398 | 3,366 |
* | Demand Media Inc. | 544,444 | 3,267 |
* | Del Frisco's Restaurant Group Inc. | 150,487 | 3,222 |
* | Chefs' Warehouse Inc. | 184,332 | 3,171 |
* | Bridgepoint Education Inc. | 254,715 | 3,102 |
* | Famous Dave's Of America Inc. | 196,618 | 3,065 |
* | Travelzoo Inc. | 111,504 | 3,040 |
Town Sports International Holdings Inc. | 280,398 | 3,020 | |
* | Morgans Hotel Group Co. | 372,086 | 2,999 |
* | Citi Trends Inc. | 204,553 | 2,972 |
CSS Industries Inc. | 116,325 | 2,900 | |
^ | Bon-Ton Stores Inc. | 160,651 | 2,900 |
Saga Communications Inc. Class A | 61,269 | 2,813 | |
* | Body Central Corp. | 209,867 | 2,795 |
bebe stores inc | 494,471 | 2,774 | |
Roundy's Inc. | 330,882 | 2,756 | |
Schawk Inc. Class A | 209,335 | 2,749 | |
* | Entercom Communications Corp. Class A | 288,460 | 2,723 |
* | Valuevision Media Inc. Class A | 531,410 | 2,715 |
* | Avid Technology Inc. | 459,684 | 2,703 |
* | Vitacost.com Inc. | 313,533 | 2,649 |
* | Monarch Casino & Resort Inc. | 153,094 | 2,581 |
*,^ | Corinthian Colleges Inc. | 1,104,920 | 2,475 |
*,^ | Digital Generation Inc. | 335,215 | 2,471 |
* | RealNetworks Inc. | 320,582 | 2,424 |
* | New York & Co. Inc. | 375,723 | 2,386 |
Village Super Market Inc. Class A | 71,819 | 2,376 | |
* | Luby's Inc. | 268,864 | 2,272 |
*,^ | Pacific Sunwear of California Inc. | 603,033 | 2,201 |
* | Isle of Capri Casinos Inc. | 291,949 | 2,190 |
* | West Marine Inc. | 198,915 | 2,188 |
Mac-Gray Corp. | 152,549 | 2,166 | |
* | Career Education Corp. | 740,695 | 2,148 |
* | Spark Networks Inc. | 244,885 | 2,069 |
* | Ignite Restaurant Group Inc. | 108,138 | 2,041 |
* | 1-800-Flowers.com Inc. Class A | 322,024 | 1,993 |
* | PCM Inc. | 205,498 | 1,973 |
Winmark Corp. | 30,183 | 1,958 | |
Marchex Inc. Class B | 321,976 | 1,938 | |
AH Belo Corp. Class A | 282,231 | 1,936 | |
Arden Group Inc. | 17,307 | 1,911 | |
*,^ | McClatchy Co. Class A | 819,544 | 1,869 |
Courier Corp. | 123,393 | 1,762 | |
* | Daily Journal Corp. | 14,678 | 1,659 |
* | Tilly's Inc. Class A | 101,735 | 1,628 |
* | Gordmans Stores Inc. | 116,282 | 1,583 |
* | Radio One Inc. | 678,120 | 1,573 |
* | Nathan's Famous Inc. | 28,824 | 1,506 |
* | Carrols Restaurant Group Inc. | 219,657 | 1,419 |
* | Geeknet Inc. | 100,443 | 1,392 |
* | ReachLocal Inc. | 113,000 | 1,385 |
* | Reading International Inc. Class A | 215,894 | 1,373 |
* | Lee Enterprises Inc. | 612,230 | 1,249 |
Einstein Noah Restaurant Group Inc. | 84,347 | 1,198 | |
* | Gaiam Inc. Class A | 266,128 | 1,187 |
* | Diversified Restaurant Holdings Inc. | 147,300 | 1,172 |
13
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Red Lion Hotels Corp. | 188,291 | 1,150 |
* | Navarre Corp. | 416,222 | 1,149 |
* | JTH Holding Inc. Class A | 68,036 | 1,106 |
* | Cache Inc. | 245,468 | 1,092 |
* | Build-A-Bear Workshop Inc. | 168,197 | 1,021 |
Salem Communications Corp. Class A | 127,699 | 956 | |
* | Martha Stewart Living Omnimedia Class A | 390,644 | 941 |
^ | Collectors Universe | 70,491 | 934 |
* | Premier Exhibitions Inc. | 536,744 | 934 |
* | MTR Gaming Group Inc. | 277,772 | 931 |
* | Rick's Cabaret International Inc. | 107,071 | 924 |
* | Lakes Entertainment Inc. | 260,577 | 917 |
* | TechTarget Inc. | 194,777 | 871 |
* | PDI Inc. | 177,317 | 833 |
* | Emmis Communications Corp. Class A | 389,056 | 833 |
* | Century Casinos Inc. | 229,611 | 794 |
Trans World Entertainment Corp. | 160,912 | 782 | |
Frisch's Restaurants Inc. | 41,790 | 780 | |
* | TheStreet Inc. | 395,735 | 736 |
Ambassadors Group Inc. | 195,913 | 695 | |
* | Kona Grill Inc. | 56,451 | 662 |
^ | National American University Holdings Inc. | 175,287 | 656 |
*,^ | Coldwater Creek Inc. | 256,305 | 641 |
* | Autobytel Inc. | 121,653 | 580 |
Dover Downs Gaming & Entertainment Inc. | 355,462 | 551 | |
Dover Motorsports Inc. | 236,518 | 511 | |
* | Education Management Corp. | 89,111 | 501 |
Hastings Entertainment Inc. | 121,119 | 497 | |
Beasley Broadcasting Group Inc. Class A | 59,000 | 494 | |
* | Learning Tree International Inc. | 138,784 | 423 |
* | Full House Resorts Inc. | 147,684 | 399 |
* | Cosi Inc. | 179,823 | 396 |
*,^ | Empire Resorts Inc. | 130,292 | 380 |
* | ALCO Stores Inc. | 33,827 | 374 |
* | Perfumania Holdings Inc. | 64,655 | 336 |
*,^ | CafePress Inc. | 52,841 | 331 |
Gaming Partners International Corp. | 41,577 | 328 | |
*,^ | dELiA*s Inc. | 299,242 | 296 |
* | Books-A-Million Inc. | 112,514 | 292 |
*,^ | Pizza Inn Holdings Inc. | 44,305 | 254 |
Canterbury Park Holding Corp. | 24,382 | 239 | |
* | Hollywood Media Corp. | 174,057 | 233 |
* | Cambium Learning Group Inc. | 157,716 | 203 |
* | DGSE Cos. Inc. | 61,321 | 182 |
* | Spanish Broadcasting System Inc. | 48,500 | 164 |
* | Local Corp. | 85,927 | 144 |
Ark Restaurants Corp. | 4,704 | 99 | |
* | Entertainment Gaming Asia Inc. | 51,579 | 95 |
* | Rainmaker Systems Inc. | 232,636 | 91 |
* | Sport Chalet Inc. Class A | 65,485 | 86 |
* | Crumbs Bake Shop Inc. | 64,830 | 77 |
* | SPAR Group Inc. | 16,145 | 44 |
* | PokerTek Inc. | 31,769 | 37 |
Educational Development Corp. | 11,647 | 36 | |
* | Insignia Systems Inc. | 10,923 | 23 |
* | Bacterin International Holdings Inc. | 48,600 | 22 |
Wayside Technology Group Inc. | 1,687 | 19 | |
* | Universal Travel Group | 42,843 | 5 |
* | Dover Saddlery Inc. | 730 | 3 |
* | Sport Chalet Inc. Class B | 1,820 | 2 |
* | FriendFinder Networks Inc. | 6,700 | 2 |
* | NTN Buzztime Inc. | 2,200 | 1 |
* | Nevada Gold & Casinos Inc. | 100 | — |
33,518,223 |
14
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Financials (18.7%) | |||
Wells Fargo & Co. | 75,191,001 | 3,103,133 | |
JPMorgan Chase & Co. | 53,661,751 | 2,832,804 | |
* | Berkshire Hathaway Inc. Class B | 23,498,388 | 2,629,940 |
Citigroup Inc. | 41,041,077 | 1,968,740 | |
Bank of America Corp. | 153,054,168 | 1,968,277 | |
Visa Inc. Class A | 7,353,666 | 1,343,882 | |
American Express Co. | 15,597,876 | 1,166,097 | |
US Bancorp | 26,260,673 | 949,323 | |
* | American International Group Inc. | 20,961,427 | 936,976 |
Goldman Sachs Group Inc. | 5,858,629 | 886,118 | |
Mastercard Inc. Class A | 1,493,203 | 857,845 | |
Simon Property Group Inc. | 4,405,806 | 695,765 | |
MetLife Inc. | 12,437,961 | 569,161 | |
PNC Financial Services Group Inc. | 7,524,540 | 548,689 | |
Capital One Financial Corp. | 8,298,615 | 521,236 | |
Prudential Financial Inc. | 6,594,955 | 481,630 | |
Morgan Stanley | 19,477,050 | 475,824 | |
Bank of New York Mellon Corp. | 16,482,855 | 462,344 | |
Travelers Cos. Inc. | 5,353,100 | 427,820 | |
American Tower Corporation | 5,611,474 | 410,592 | |
State Street Corp. | 6,157,436 | 401,526 | |
BlackRock Inc. | 1,558,395 | 400,274 | |
ACE Ltd. | 4,350,987 | 389,326 | |
Aflac Inc. | 6,634,064 | 385,572 | |
CME Group Inc. | 4,504,186 | 342,228 | |
BB&T Corp. | 9,961,050 | 337,480 | |
Discover Financial Services | 6,969,784 | 332,041 | |
Charles Schwab Corp. | 15,449,010 | 327,983 | |
Allstate Corp. | 6,660,565 | 320,506 | |
Public Storage | 2,072,178 | 317,727 | |
Chubb Corp. | 3,688,957 | 312,270 | |
Marsh & McLennan Cos. Inc. | 7,811,508 | 311,835 | |
HCP Inc. | 6,451,785 | 293,169 | |
Ventas Inc. | 4,164,914 | 289,295 | |
Equity Residential | 4,852,626 | 281,743 | |
Aon plc | 4,173,612 | 268,572 | |
Health Care REIT Inc. | 3,993,073 | 267,656 | |
Franklin Resources Inc. | 1,963,916 | 267,132 | |
Prologis Inc. | 7,080,559 | 267,079 | |
T. Rowe Price Group Inc. | 3,500,061 | 256,029 | |
SunTrust Banks Inc. | 7,654,832 | 241,663 | |
AvalonBay Communities Inc. | 1,742,111 | 235,028 | |
Weyerhaeuser Co. | 8,180,031 | 233,049 | |
Ameriprise Financial Inc. | 2,864,155 | 231,653 | |
Boston Properties Inc. | 2,157,071 | 227,506 | |
Fifth Third Bancorp | 12,476,790 | 225,206 | |
McGraw Hill Financial Inc. | 3,895,429 | 207,198 | |
Invesco Ltd. | 6,316,637 | 200,869 | |
Hartford Financial Services Group Inc. | 6,478,804 | 200,325 | |
Vornado Realty Trust | 2,384,100 | 197,523 | |
Loews Corp. | 4,440,950 | 197,178 | |
Progressive Corp. | 7,693,634 | 195,572 | |
Moody's Corp. | 3,162,157 | 192,670 | |
Regions Financial Corp. | 20,028,145 | 190,868 | |
M&T Bank Corp. | 1,644,321 | 183,753 | |
* | IntercontinentalExchange Inc. | 1,030,733 | 183,223 |
Host Hotels & Resorts Inc. | 10,592,558 | 178,696 | |
Northern Trust Corp. | 3,060,157 | 177,183 | |
Annaly Capital Management Inc. | 13,497,110 | 169,659 | |
General Growth Properties Inc. | 8,243,119 | 163,791 | |
Principal Financial Group Inc. | 4,161,241 | 155,838 | |
* | Berkshire Hathaway Inc. Class A | 880 | 148,368 |
KeyCorp | 13,157,294 | 145,257 |
15
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
NYSE Euronext | 3,448,218 | 142,756 | |
Lincoln National Corp. | 3,849,854 | 140,404 | |
Western Union Co. | 7,998,616 | 136,856 | |
* | CIT Group Inc. | 2,845,954 | 132,707 |
American Capital Agency Corp. | 5,634,077 | 129,527 | |
XL Group plc Class A | 4,207,647 | 127,576 | |
* | Affiliated Managers Group Inc. | 745,331 | 122,190 |
Macerich Co. | 1,948,207 | 118,782 | |
Kimco Realty Corp. | 5,490,721 | 117,666 | |
Realty Income Corp. | 2,787,712 | 116,861 | |
Leucadia National Corp. | 4,373,697 | 114,678 | |
SL Green Realty Corp. | 1,294,084 | 114,125 | |
Unum Group | 3,824,910 | 112,338 | |
^ | Digital Realty Trust Inc. | 1,825,059 | 111,329 |
Plum Creek Timber Co. Inc. | 2,301,219 | 107,398 | |
Comerica Inc. | 2,670,500 | 106,366 | |
Willis Group Holdings plc | 2,487,565 | 101,443 | |
Cincinnati Financial Corp. | 2,189,556 | 100,501 | |
Equifax Inc. | 1,702,906 | 100,352 | |
Rayonier Inc. | 1,783,395 | 98,782 | |
* | Markel Corp. | 186,014 | 98,020 |
Federal Realty Investment Trust | 921,147 | 95,505 | |
Huntington Bancshares Inc. | 12,045,513 | 94,919 | |
* | CBRE Group Inc. Class A | 4,001,472 | 93,474 |
* | Arch Capital Group Ltd. | 1,793,609 | 92,209 |
UDR Inc. | 3,539,900 | 90,232 | |
Torchmark Corp. | 1,338,426 | 87,185 | |
Essex Property Trust Inc. | 537,845 | 85,474 | |
TD Ameritrade Holding Corp. | 3,518,094 | 85,455 | |
* | Alleghany Corp. | 218,132 | 83,612 |
Camden Property Trust | 1,205,803 | 83,369 | |
New York Community Bancorp Inc. | 5,925,630 | 82,959 | |
* | Genworth Financial Inc. Class A | 6,959,474 | 79,408 |
* | Realogy Holdings Corp. | 1,649,743 | 79,254 |
Arthur J Gallagher & Co. | 1,787,793 | 78,109 | |
Raymond James Financial Inc. | 1,785,996 | 76,762 | |
Zions Bancorporation | 2,604,460 | 75,217 | |
Everest Re Group Ltd. | 575,857 | 73,859 | |
People's United Financial Inc. | 4,901,560 | 73,033 | |
Fidelity National Financial Inc. Class A | 3,053,313 | 72,699 | |
Reinsurance Group of America Inc. Class A | 1,040,423 | 71,904 | |
PartnerRe Ltd. | 787,734 | 71,337 | |
Duke Realty Corp. | 4,544,570 | 70,850 | |
Axis Capital Holdings Ltd. | 1,525,251 | 69,826 | |
Senior Housing Properties Trust | 2,655,237 | 68,850 | |
First Republic Bank | 1,768,940 | 68,069 | |
* | Ocwen Financial Corp. | 1,627,277 | 67,076 |
DDR Corp. | 4,024,753 | 67,012 | |
Alexandria Real Estate Equities Inc. | 999,175 | 65,666 | |
Taubman Centers Inc. | 869,641 | 65,354 | |
Regency Centers Corp. | 1,284,782 | 65,280 | |
WR Berkley Corp. | 1,548,362 | 63,266 | |
SEI Investments Co. | 2,193,643 | 62,365 | |
Liberty Property Trust | 1,683,409 | 62,219 | |
Extra Space Storage Inc. | 1,481,095 | 62,102 | |
Apartment Investment & Management Co. Class A | 2,048,241 | 61,529 | |
HCC Insurance Holdings Inc. | 1,424,673 | 61,418 | |
Eaton Vance Corp. | 1,633,142 | 61,390 | |
Hudson City Bancorp Inc. | 6,690,598 | 61,286 | |
American Campus Communities Inc. | 1,472,575 | 59,875 | |
Corrections Corp. of America | 1,737,114 | 58,836 | |
Starwood Property Trust Inc. | 2,360,798 | 58,430 | |
Assurant Inc. | 1,146,824 | 58,385 | |
National Retail Properties Inc. | 1,692,811 | 58,233 |
16
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
CBOE Holdings Inc. | 1,226,242 | 57,192 | |
* | MSCI Inc. Class A | 1,718,133 | 57,162 |
Jones Lang LaSalle Inc. | 619,840 | 56,492 | |
Kilroy Realty Corp. | 1,060,511 | 56,218 | |
NASDAQ OMX Group Inc. | 1,708,392 | 56,018 | |
WP Carey Inc. | 823,203 | 54,471 | |
East West Bancorp Inc. | 1,979,090 | 54,425 | |
Assured Guaranty Ltd. | 2,459,977 | 54,267 | |
BRE Properties Inc. | 1,080,962 | 54,070 | |
* | Howard Hughes Corp. | 477,134 | 53,482 |
Legg Mason Inc. | 1,722,789 | 53,424 | |
Two Harbors Investment Corp. | 5,188,649 | 53,184 | |
Brown & Brown Inc. | 1,640,974 | 52,905 | |
BioMed Realty Trust Inc. | 2,612,326 | 52,847 | |
Lazard Ltd. Class A | 1,640,603 | 52,745 | |
* | SVB Financial Group | 631,629 | 52,627 |
American Financial Group Inc. | 1,070,496 | 52,358 | |
* | Signature Bank | 627,693 | 52,111 |
RenaissanceRe Holdings Ltd. | 599,202 | 52,005 | |
Cullen/Frost Bankers Inc. | 778,148 | 51,957 | |
Hospitality Properties Trust | 1,961,047 | 51,536 | |
* | E*TRADE Financial Corp. | 4,047,922 | 51,247 |
Weingarten Realty Investors | 1,644,006 | 50,586 | |
Waddell & Reed Financial Inc. Class A | 1,159,259 | 50,428 | |
Omega Healthcare Investors Inc. | 1,619,496 | 50,237 | |
First Niagara Financial Group Inc. | 4,961,436 | 49,962 | |
Validus Holdings Ltd. | 1,364,887 | 49,300 | |
Commerce Bancshares Inc. | 1,103,707 | 48,077 | |
Home Properties Inc. | 730,279 | 47,738 | |
Douglas Emmett Inc. | 1,898,425 | 47,366 | |
CBL & Associates Properties Inc. | 2,205,951 | 47,251 | |
FirstMerit Corp. | 2,326,110 | 46,592 | |
Old Republic International Corp. | 3,462,111 | 44,557 | |
Tanger Factory Outlet Centers | 1,319,389 | 44,147 | |
* | Popular Inc. | 1,449,172 | 43,953 |
Equity Lifestyle Properties Inc. | 554,311 | 43,563 | |
Chimera Investment Corp. | 14,447,369 | 43,342 | |
ProAssurance Corp. | 823,752 | 42,967 | |
Allied World Assurance Co. Holdings AG | 469,360 | 42,951 | |
Protective Life Corp. | 1,113,187 | 42,758 | |
MFA Financial Inc. | 5,025,522 | 42,466 | |
* | Forest City Enterprises Inc. Class A | 2,370,415 | 42,454 |
Piedmont Office Realty Trust Inc. Class A | 2,360,128 | 42,199 | |
Prosperity Bancshares Inc. | 813,600 | 42,136 | |
* | Liberty Ventures Class A | 491,831 | 41,811 |
City National Corp. | 657,649 | 41,675 | |
Highwoods Properties Inc. | 1,148,422 | 40,895 | |
Mid-America Apartment Communities Inc. | 602,183 | 40,810 | |
CNO Financial Group Inc. | 3,080,560 | 39,924 | |
First Horizon National Corp. | 3,481,896 | 38,997 | |
CommonWealth REIT | 1,681,174 | 38,869 | |
Post Properties Inc. | 763,701 | 37,796 | |
Associated Banc-Corp | 2,412,574 | 37,516 | |
LPL Financial Holdings Inc. | 984,116 | 37,160 | |
Retail Properties of America Inc. | 2,598,283 | 37,103 | |
RLJ Lodging Trust | 1,631,088 | 36,683 | |
* | Portfolio Recovery Associates Inc. | 237,635 | 36,508 |
^ | Federated Investors Inc. Class B | 1,312,061 | 35,964 |
Hancock Holding Co. | 1,188,103 | 35,726 | |
Aspen Insurance Holdings Ltd. | 954,038 | 35,385 | |
Hatteras Financial Corp. | 1,389,523 | 34,238 | |
Geo Group Inc. | 1,002,572 | 34,037 | |
Susquehanna Bancshares Inc. | 2,621,535 | 33,687 | |
American Realty Capital Properties Inc. | 2,181,806 | 33,294 |
17
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
LaSalle Hotel Properties | 1,344,612 | 33,212 | |
EPR Properties | 658,445 | 33,100 | |
Webster Financial Corp. | 1,276,296 | 32,775 | |
Fulton Financial Corp. | 2,790,756 | 32,038 | |
Healthcare Realty Trust Inc. | 1,247,188 | 31,803 | |
Bank of Hawaii Corp. | 630,233 | 31,713 | |
Financial Engines Inc. | 694,747 | 31,674 | |
Erie Indemnity Co. Class A | 395,302 | 31,502 | |
First American Financial Corp. | 1,425,122 | 31,410 | |
Invesco Mortgage Capital Inc. | 1,893,574 | 31,358 | |
Endurance Specialty Holdings Ltd. | 608,603 | 31,313 | |
TCF Financial Corp. | 2,179,906 | 30,911 | |
StanCorp Financial Group Inc. | 624,328 | 30,848 | |
Hanover Insurance Group Inc. | 627,556 | 30,706 | |
Synovus Financial Corp. | 10,492,409 | 30,638 | |
Corporate Office Properties Trust | 1,194,546 | 30,461 | |
White Mountains Insurance Group Ltd. | 52,683 | 30,290 | |
Primerica Inc. | 805,230 | 30,148 | |
Medical Properties Trust Inc. | 2,092,529 | 29,965 | |
* | Stifel Financial Corp. | 833,140 | 29,718 |
Brandywine Realty Trust | 2,183,685 | 29,523 | |
DCT Industrial Trust Inc. | 4,039,265 | 28,881 | |
* | MGIC Investment Corp. | 4,743,238 | 28,791 |
UMB Financial Corp. | 513,976 | 28,613 | |
Sovran Self Storage Inc. | 438,764 | 28,428 | |
Colonial Properties Trust | 1,177,861 | 28,410 | |
Washington Federal Inc. | 1,488,954 | 28,111 | |
^ | Lexington Realty Trust | 2,400,634 | 28,039 |
�� | Mack-Cali Realty Corp. | 1,136,408 | 27,831 |
Radian Group Inc. | 2,394,888 | 27,829 | |
CubeSmart | 1,730,774 | 27,658 | |
* | MBIA Inc. | 2,047,733 | 27,255 |
* | Sunstone Hotel Investors Inc. | 2,233,649 | 26,982 |
CapitalSource Inc. | 2,821,299 | 26,464 | |
Capitol Federal Financial Inc. | 2,142,782 | 26,013 | |
Platinum Underwriters Holdings Ltd. | 452,089 | 25,869 | |
DiamondRock Hospitality Co. | 2,742,714 | 25,562 | |
NorthStar Realty Finance Corp. | 2,772,791 | 25,232 | |
* | Texas Capital Bancshares Inc. | 567,412 | 25,170 |
^ | Valley National Bancorp | 2,652,634 | 25,120 |
Washington REIT | 932,680 | 25,098 | |
ARMOUR Residential REIT Inc. | 5,256,941 | 24,760 | |
* | ING US Inc. | 910,341 | 24,634 |
Ryman Hospitality Properties | 631,301 | 24,627 | |
MarketAxess Holdings Inc. | 525,766 | 24,580 | |
FNB Corp. | 2,001,398 | 24,177 | |
Kemper Corp. | 700,511 | 23,993 | |
New Residential Investment Corp. | 3,556,371 | 23,970 | |
* | Alexander & Baldwin Inc. | 600,012 | 23,850 |
Home Loan Servicing Solutions Ltd. | 990,379 | 23,739 | |
BankUnited Inc. | 911,143 | 23,699 | |
Umpqua Holdings Corp. | 1,571,476 | 23,588 | |
^ | First Financial Bankshares Inc. | 421,811 | 23,478 |
EastGroup Properties Inc. | 416,157 | 23,417 | |
Sun Communities Inc. | 468,619 | 23,318 | |
Potlatch Corp. | 565,867 | 22,884 | |
CYS Investments Inc. | 2,449,590 | 22,561 | |
Glacier Bancorp Inc. | 1,002,509 | 22,246 | |
Symetra Financial Corp. | 1,391,217 | 22,246 | |
Iberiabank Corp. | 413,069 | 22,145 | |
DuPont Fabros Technology Inc. | 913,976 | 22,073 | |
Pebblebrook Hotel Trust | 850,301 | 21,980 | |
Glimcher Realty Trust | 1,987,188 | 21,700 | |
First Industrial Realty Trust Inc. | 1,429,704 | 21,689 |
18
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Altisource Portfolio Solutions SA | 229,015 | 21,546 |
Newcastle Investment Corp. | 4,079,859 | 21,338 | |
Cathay General Bancorp | 1,047,559 | 21,318 | |
BancorpSouth Inc. | 1,191,380 | 21,087 | |
Equity One Inc. | 925,493 | 20,944 | |
RLI Corp. | 267,799 | 20,463 | |
* | St. Joe Co. | 968,961 | 20,397 |
* | Strategic Hotels & Resorts Inc. | 2,296,625 | 20,348 |
EverBank Financial Corp. | 1,214,792 | 20,117 | |
National Health Investors Inc. | 331,734 | 19,858 | |
PS Business Parks Inc. | 273,507 | 19,739 | |
Old National Bancorp | 1,422,035 | 19,667 | |
PrivateBancorp Inc. | 923,625 | 19,590 | |
Wintrust Financial Corp. | 510,758 | 19,552 | |
MB Financial Inc. | 728,948 | 19,536 | |
Redwood Trust Inc. | 1,149,089 | 19,535 | |
Government Properties Income Trust | 767,819 | 19,364 | |
Bank of the Ozarks Inc. | 443,780 | 19,229 | |
* | First Cash Financial Services Inc. | 390,505 | 19,217 |
LTC Properties Inc. | 484,745 | 18,929 | |
Janus Capital Group Inc. | 2,213,361 | 18,836 | |
Trustmark Corp. | 763,663 | 18,771 | |
BOK Financial Corp. | 292,985 | 18,766 | |
Northwest Bancshares Inc. | 1,381,963 | 18,670 | |
^ | United Bankshares Inc. | 705,484 | 18,660 |
* | Virtus Investment Partners Inc. | 104,956 | 18,501 |
Cash America International Inc. | 405,860 | 18,450 | |
Acadia Realty Trust | 745,149 | 18,398 | |
National Penn Bancshares Inc. | 1,782,113 | 18,106 | |
Columbia Banking System Inc. | 758,012 | 18,048 | |
Healthcare Trust of America Inc. Class A | 1,581,898 | 17,765 | |
Selective Insurance Group Inc. | 769,365 | 17,711 | |
Colony Financial Inc. | 886,237 | 17,627 | |
Montpelier Re Holdings Ltd. | 702,848 | 17,578 | |
Westamerica Bancorporation | 383,850 | 17,538 | |
PennyMac Mortgage Investment Trust | 827,552 | 17,420 | |
Greenhill & Co. Inc. | 378,383 | 17,307 | |
* | Western Alliance Bancorp | 1,083,378 | 17,150 |
International Bancshares Corp. | 757,834 | 17,112 | |
Spirit Realty Capital Inc. | 963,590 | 17,075 | |
Mercury General Corp. | 386,862 | 17,006 | |
Pennsylvania REIT | 890,948 | 16,821 | |
Capstead Mortgage Corp. | 1,388,624 | 16,802 | |
American National Insurance Co. | 165,443 | 16,457 | |
Argo Group International Holdings Ltd. | 387,805 | 16,439 | |
Franklin Street Properties Corp. | 1,244,764 | 16,431 | |
PacWest Bancorp | 534,552 | 16,384 | |
Cousins Properties Inc. | 1,620,609 | 16,368 | |
Community Bank System Inc. | 526,200 | 16,233 | |
Education Realty Trust Inc. | 1,584,464 | 16,209 | |
* | Walter Investment Management Corp. | 477,336 | 16,139 |
Home BancShares Inc. | 620,930 | 16,126 | |
Tower Group International Ltd. | 762,904 | 15,647 | |
*,^ | Zillow Inc. Class A | 273,698 | 15,409 |
* | WisdomTree Investments Inc. | 1,317,400 | 15,242 |
*,^ | Ambac Financial Group Inc. | 638,926 | 15,226 |
Investors Bancorp Inc. | 714,619 | 15,064 | |
American Capital Mortgage Investment Corp. | 833,254 | 14,974 | |
^ | Amtrust Financial Services Inc. | 418,390 | 14,937 |
Evercore Partners Inc. Class A | 379,400 | 14,903 | |
BBCN Bancorp Inc. | 1,032,574 | 14,683 | |
* | Hilltop Holdings Inc. | 893,954 | 14,661 |
CVB Financial Corp. | 1,240,435 | 14,588 | |
American Assets Trust Inc. | 471,276 | 14,544 |
19
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | TFS Financial Corp. | 1,295,711 | 14,512 |
* | National Financial Partners Corp. | 570,289 | 14,434 |
First Midwest Bancorp Inc. | 1,047,150 | 14,367 | |
Hersha Hospitality Trust Class A | 2,488,873 | 14,037 | |
Chesapeake Lodging Trust | 671,940 | 13,970 | |
First Citizens BancShares Inc. Class A | 72,430 | 13,910 | |
* | Knight Capital Group Inc. Class A | 3,814,386 | 13,694 |
Sabra Health Care REIT Inc. | 515,706 | 13,465 | |
Horace Mann Educators Corp. | 551,646 | 13,449 | |
Astoria Financial Corp. | 1,238,246 | 13,348 | |
Hudson Pacific Properties Inc. | 618,000 | 13,151 | |
* | Enstar Group Ltd. | 98,611 | 13,113 |
American Equity Investment Life Holding Co. | 825,607 | 12,962 | |
Inland Real Estate Corp. | 1,248,818 | 12,763 | |
Ramco-Gershenson Properties Trust | 810,987 | 12,595 | |
NBT Bancorp Inc. | 591,801 | 12,528 | |
Sterling Financial Corp. | 521,487 | 12,401 | |
Retail Opportunity Investments Corp. | 885,138 | 12,303 | |
National Bank Holdings Corp. Class A | 624,521 | 12,303 | |
Ashford Hospitality Trust Inc. | 1,068,250 | 12,231 | |
First Financial Bancorp | 817,970 | 12,188 | |
Investors Real Estate Trust | 1,409,689 | 12,123 | |
Provident Financial Services Inc. | 757,006 | 11,946 | |
Park National Corp. | 172,517 | 11,867 | |
* | Pinnacle Financial Partners Inc. | 460,950 | 11,851 |
* | iStar Financial Inc. | 1,043,795 | 11,784 |
*,^ | Nationstar Mortgage Holdings Inc. | 313,691 | 11,745 |
Kennedy-Wilson Holdings Inc. | 705,591 | 11,741 | |
OFG Bancorp | 637,377 | 11,543 | |
STAG Industrial Inc. | 577,049 | 11,512 | |
* | World Acceptance Corp. | 131,313 | 11,416 |
* | Ezcorp Inc. Class A | 676,238 | 11,415 |
*,^ | Trulia Inc. | 365,352 | 11,359 |
SCBT Financial Corp. | 223,619 | 11,268 | |
*,^ | Encore Capital Group Inc. | 339,491 | 11,241 |
Boston Private Financial Holdings Inc. | 1,050,261 | 11,175 | |
Anworth Mortgage Asset Corp. | 1,984,330 | 11,112 | |
Associated Estates Realty Corp. | 689,466 | 11,087 | |
Select Income REIT | 388,794 | 10,902 | |
Independent Bank Corp. | 314,072 | 10,836 | |
Nelnet Inc. Class A | 298,049 | 10,757 | |
Resource Capital Corp. | 1,740,412 | 10,704 | |
Employers Holdings Inc. | 436,976 | 10,684 | |
* | Central Pacific Financial Corp. | 589,922 | 10,619 |
First Commonwealth Financial Corp. | 1,438,652 | 10,603 | |
Interactive Brokers Group Inc. | 656,302 | 10,481 | |
* | Greenlight Capital Re Ltd. Class A | 425,509 | 10,438 |
WesBanco Inc. | 390,827 | 10,330 | |
Parkway Properties Inc. | 605,444 | 10,147 | |
First Potomac Realty Trust | 771,857 | 10,080 | |
ViewPoint Financial Group Inc. | 483,133 | 10,054 | |
Chemical Financial Corp. | 384,535 | 9,994 | |
CapLease Inc. | 1,167,167 | 9,851 | |
Campus Crest Communities Inc. | 843,330 | 9,732 | |
* | FelCor Lodging Trust Inc. | 1,641,378 | 9,701 |
Infinity Property & Casualty Corp. | 161,233 | 9,635 | |
* | Forestar Group Inc. | 479,697 | 9,623 |
* | First BanCorp | 1,356,636 | 9,605 |
Berkshire Hills Bancorp Inc. | 342,997 | 9,522 | |
BGC Partners Inc. Class A | 1,597,971 | 9,412 | |
* | NetSpend Holdings Inc. | 585,792 | 9,355 |
Coresite Realty Corp. | 294,064 | 9,354 | |
^ | Cohen & Steers Inc. | 274,225 | 9,318 |
Banner Corp. | 274,744 | 9,284 |
20
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Safety Insurance Group Inc. | 187,844 | 9,112 | |
* | Artisan Partners Asset Management Inc. | 180,492 | 9,008 |
* | United Community Banks Inc. | 724,998 | 9,004 |
* | Navigators Group Inc. | 157,282 | 8,971 |
Oritani Financial Corp. | 560,838 | 8,794 | |
* | Credit Acceptance Corp. | 83,701 | 8,793 |
^ | Silver Bay Realty Trust Corp. | 518,710 | 8,590 |
Brookline Bancorp Inc. | 983,683 | 8,538 | |
Maiden Holdings Ltd. | 760,941 | 8,538 | |
City Holding Co. | 218,121 | 8,496 | |
AMERISAFE Inc. | 261,192 | 8,460 | |
Renasant Corp. | 345,500 | 8,409 | |
Blackstone Mortgage Trust Inc. Class A | 339,937 | 8,396 | |
Summit Hotel Properties Inc. | 878,294 | 8,300 | |
Alexander's Inc. | 28,060 | 8,242 | |
HFF Inc. Class A | 460,484 | 8,183 | |
S&T Bancorp Inc. | 415,733 | 8,148 | |
Excel Trust Inc. | 621,404 | 7,960 | |
SLM Corp. | 347,791 | 7,951 | |
*,^ | American Residential Properties Inc. | 456,445 | 7,851 |
* | DFC Global Corp. | 562,292 | 7,765 |
* | Hanmi Financial Corp. | 437,627 | 7,733 |
Getty Realty Corp. | 366,196 | 7,562 | |
* | Investment Technology Group Inc. | 538,605 | 7,530 |
Apollo Commercial Real Estate Finance Inc. | 474,062 | 7,528 | |
United Fire Group Inc. | 302,071 | 7,500 | |
Sandy Spring Bancorp Inc. | 345,193 | 7,463 | |
Saul Centers Inc. | 166,986 | 7,424 | |
Dynex Capital Inc. | 721,324 | 7,350 | |
* | Piper Jaffray Cos. | 231,740 | 7,325 |
Kite Realty Group Trust | 1,213,372 | 7,317 | |
* | Bancorp Inc. | 482,661 | 7,235 |
Universal Health Realty Income Trust | 165,997 | 7,159 | |
* | BofI Holding Inc. | 155,791 | 7,138 |
RAIT Financial Trust | 941,841 | 7,083 | |
Apollo Residential Mortgage Inc. | 429,178 | 7,073 | |
Tompkins Financial Corp. | 156,474 | 7,071 | |
Community Trust Bancorp Inc. | 198,432 | 7,068 | |
AG Mortgage Investment Trust Inc. | 371,979 | 6,997 | |
TrustCo Bank Corp. NY | 1,284,023 | 6,985 | |
FBL Financial Group Inc. Class A | 158,910 | 6,914 | |
* | Eagle Bancorp Inc. | 303,818 | 6,799 |
* | Move Inc. | 526,386 | 6,748 |
First Merchants Corp. | 391,719 | 6,718 | |
Flushing Financial Corp. | 402,199 | 6,616 | |
Union First Market Bankshares Corp. | 318,029 | 6,548 | |
Stewart Information Services Corp. | 249,981 | 6,547 | |
* | Tejon Ranch Co. | 225,704 | 6,430 |
* | Green Dot Corp. Class A | 320,014 | 6,384 |
Dime Community Bancshares Inc. | 414,300 | 6,347 | |
* | TESARO Inc. | 193,419 | 6,333 |
State Bank Financial Corp. | 420,102 | 6,314 | |
* | PICO Holdings Inc. | 294,830 | 6,180 |
National Western Life Insurance Co. Class A | 32,491 | 6,168 | |
Urstadt Biddle Properties Inc. Class A | 304,019 | 6,132 | |
StellarOne Corp. | 311,384 | 6,119 | |
* | eHealth Inc. | 268,424 | 6,099 |
* | Capital Bank Financial Corp. | 320,023 | 6,077 |
*,^ | FBR & Co. | 238,662 | 6,029 |
^ | New York Mortgage Trust Inc. | 886,255 | 6,000 |
* | MoneyGram International Inc. | 262,994 | 5,957 |
Cardinal Financial Corp. | 405,384 | 5,935 | |
^ | Western Asset Mortgage Capital Corp. | 336,450 | 5,874 |
Wilshire Bancorp Inc. | 885,368 | 5,861 |
21
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
WSFS Financial Corp. | 111,734 | 5,854 | |
Lakeland Financial Corp. | 210,224 | 5,834 | |
FXCM Inc. Class A | 354,047 | 5,810 | |
Arlington Asset Investment Corp. Class A | 215,385 | 5,759 | |
* | Ameris Bancorp | 337,184 | 5,682 |
Southside Bancshares Inc. | 235,086 | 5,614 | |
Washington Trust Bancorp Inc. | 194,882 | 5,558 | |
Simmons First National Corp. Class A | 209,987 | 5,479 | |
* | Virginia Commerce Bancorp Inc. | 386,108 | 5,390 |
Aviv REIT Inc. | 211,984 | 5,361 | |
Heartland Financial USA Inc. | 194,904 | 5,358 | |
Rouse Properties Inc. | 268,481 | 5,268 | |
Meadowbrook Insurance Group Inc. | 655,813 | 5,266 | |
Agree Realty Corp. | 176,025 | 5,196 | |
Monmouth Real Estate Investment Corp. Class A | 524,422 | 5,176 | |
* | Synergy Resources Corp. | 704,358 | 5,156 |
TowneBank | 348,759 | 5,134 | |
Chatham Lodging Trust | 297,079 | 5,104 | |
*,^ | Altisource Residential Corp. | 304,186 | 5,077 |
Rockville Financial Inc. | 387,665 | 5,071 | |
Winthrop Realty Trust | 416,712 | 5,013 | |
Provident New York Bancorp | 535,923 | 5,006 | |
First Busey Corp. | 1,108,864 | 4,990 | |
* | Walker & Dunlop Inc. | 284,399 | 4,977 |
Ares Commercial Real Estate Corp. | 386,562 | 4,952 | |
Sterling Bancorp | 416,755 | 4,843 | |
* | Safeguard Scientifics Inc. | 300,268 | 4,819 |
CyrusOne Inc. | 232,233 | 4,817 | |
* | Beneficial Mutual Bancorp Inc. | 563,656 | 4,735 |
Lakeland Bancorp Inc. | 453,508 | 4,730 | |
First Interstate Bancsystem Inc. | 227,914 | 4,725 | |
1st Source Corp. | 196,055 | 4,658 | |
Cedar Realty Trust Inc. | 891,352 | 4,617 | |
First Financial Holdings Inc. | 215,683 | 4,575 | |
First Financial Corp. | 147,513 | 4,571 | |
Terreno Realty Corp. | 241,199 | 4,469 | |
* | NewStar Financial Inc. | 331,823 | 4,420 |
^ | Arrow Financial Corp. | 176,925 | 4,379 |
SY Bancorp Inc. | 177,342 | 4,350 | |
* | Flagstar Bancorp Inc. | 308,145 | 4,302 |
Univest Corp. of Pennsylvania | 222,949 | 4,252 | |
OneBeacon Insurance Group Ltd. Class A | 288,853 | 4,183 | |
CoBiz Financial Inc. | 502,289 | 4,169 | |
* | Performant Financial Corp. | 359,124 | 4,162 |
GFI Group Inc. | 1,016,228 | 3,973 | |
State Auto Financial Corp. | 218,109 | 3,963 | |
Great Southern Bancorp Inc. | 146,542 | 3,951 | |
HCI Group Inc. | 127,289 | 3,910 | |
Trico Bancshares | 183,308 | 3,910 | |
United Financial Bancorp Inc. | 257,567 | 3,902 | |
Bryn Mawr Bank Corp. | 162,238 | 3,882 | |
Bancfirst Corp. | 81,959 | 3,815 | |
First Community Bancshares Inc. | 242,743 | 3,806 | |
*,^ | Blackhawk Network Holdings Inc. | 163,300 | 3,789 |
* | INTL. FCStone Inc. | 215,594 | 3,762 |
*,^ | Southwest Bancorp Inc. | 284,242 | 3,752 |
* | HomeTrust Bancshares Inc. | 216,922 | 3,679 |
Federal Agricultural Mortgage Corp. | 127,375 | 3,679 | |
* | Metro Bancorp Inc. | 182,890 | 3,663 |
Westwood Holdings Group Inc. | 85,305 | 3,661 | |
Hudson Valley Holding Corp. | 213,848 | 3,631 | |
Whitestone REIT | 229,583 | 3,618 | |
First Bancorp | 254,461 | 3,588 | |
Camden National Corp. | 100,511 | 3,565 |
22
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
One Liberty Properties Inc. | 162,265 | 3,563 | |
* | Taylor Capital Group Inc. | 209,620 | 3,541 |
Medallion Financial Corp. | 253,926 | 3,532 | |
* | Park Sterling Corp. | 591,058 | 3,493 |
* | Phoenix Cos. Inc. | 80,245 | 3,451 |
* | Market Leader Inc. | 317,379 | 3,396 |
Northfield Bancorp Inc. | 289,172 | 3,389 | |
German American Bancorp Inc. | 150,281 | 3,384 | |
* | PennyMac Financial Services Inc. Class A | 157,806 | 3,357 |
MainSource Financial Group Inc. | 249,923 | 3,356 | |
GAMCO Investors Inc. | 60,553 | 3,355 | |
* | Citizens Inc. Class A | 559,416 | 3,345 |
First Connecticut Bancorp Inc. | 240,077 | 3,342 | |
Bank Mutual Corp. | 592,063 | 3,339 | |
Gladstone Commercial Corp. | 175,858 | 3,278 | |
Enterprise Financial Services Corp. | 204,647 | 3,266 | |
National Bankshares Inc. | 91,025 | 3,234 | |
First of Long Island Corp. | 96,962 | 3,218 | |
Manning & Napier Inc. | 181,090 | 3,216 | |
Charter Financial Corp. | 317,960 | 3,205 | |
Financial Institutions Inc. | 173,986 | 3,203 | |
Tree.com Inc. | 185,165 | 3,174 | |
Diamond Hill Investment Group Inc. | 37,242 | 3,167 | |
* | Seacoast Banking Corp. of Florida | 1,426,552 | 3,138 |
HomeStreet Inc. | 146,123 | 3,134 | |
Citizens & Northern Corp. | 161,782 | 3,126 | |
* | American Safety Insurance Holdings Ltd. | 107,165 | 3,102 |
Centerstate Banks Inc. | 357,403 | 3,102 | |
OceanFirst Financial Corp. | 198,748 | 3,091 | |
* | Tristate Capital Holdings Inc. | 223,375 | 3,071 |
*,^ | MPG Office Trust Inc. | 976,434 | 3,066 |
National Interstate Corp. | 104,658 | 3,061 | |
West Bancorporation Inc. | 260,443 | 3,060 | |
Republic Bancorp Inc. | 138,357 | 3,033 | |
Arbor Realty Trust Inc. | 478,223 | 3,003 | |
Consolidated-Tomoka Land Co. | 78,100 | 2,980 | |
* | Cowen Group Inc. Class A | 1,022,312 | 2,965 |
Calamos Asset Management Inc. Class A | 281,874 | 2,960 | |
Marlin Business Services Corp. | 129,416 | 2,948 | |
Washington Banking Co. | 205,813 | 2,923 | |
Territorial Bancorp Inc. | 128,559 | 2,907 | |
* | Preferred Bank | 173,163 | 2,854 |
1st United Bancorp Inc. | 421,046 | 2,829 | |
Thomas Properties Group Inc. | 533,496 | 2,828 | |
* | OmniAmerican Bancorp Inc. | 128,105 | 2,822 |
Peoples Bancorp Inc. | 132,881 | 2,801 | |
First Defiance Financial Corp. | 123,915 | 2,794 | |
Franklin Financial Corp. | 154,702 | 2,786 | |
Bank of Marin Bancorp | 69,581 | 2,783 | |
Armada Hoffler Properties Inc. | 236,043 | 2,781 | |
Oppenheimer Holdings Inc. Class A | 145,542 | 2,771 | |
Heritage Financial Corp. | 189,131 | 2,771 | |
CNB Financial Corp. | 162,440 | 2,752 | |
*,^ | BBX Capital Corp. | 212,582 | 2,744 |
* | Global Indemnity plc | 115,617 | 2,723 |
Donegal Group Inc. Class A | 193,966 | 2,710 | |
JAVELIN Mortgage Investment Corp. | 190,681 | 2,687 | |
Center Bancorp Inc. | 209,832 | 2,663 | |
Pacific Continental Corp. | 224,733 | 2,652 | |
* | Suffolk Bancorp | 160,789 | 2,627 |
* | Fidelity Southern Corp. | 210,511 | 2,604 |
Baldwin & Lyons Inc. | 105,982 | 2,573 | |
*,^ | Hannon Armstrong Sustainable Infrastructure Capital Inc. | 211,261 | 2,510 |
Universal Insurance Holdings Inc. | 343,284 | 2,430 |
23
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Gramercy Property Trust Inc. | 536,062 | 2,412 |
*,^ | Macatawa Bank Corp. | 476,474 | 2,401 |
ESSA Bancorp Inc. | 216,836 | 2,377 | |
* | Ladenburg Thalmann Financial Services Inc. | 1,434,112 | 2,366 |
* | Pacific Premier Bancorp Inc. | 189,279 | 2,313 |
C&F Financial Corp. | 41,452 | 2,310 | |
First Bancorp Inc. | 131,736 | 2,303 | |
Kansas City Life Insurance Co. | 59,650 | 2,283 | |
Home Federal Bancorp Inc. | 179,058 | 2,281 | |
Guaranty Bancorp | 200,842 | 2,280 | |
Bridge Bancorp Inc. | 100,788 | 2,268 | |
American National Bankshares Inc. | 96,900 | 2,252 | |
Ames National Corp. | 98,771 | 2,248 | |
EMC Insurance Group Inc. | 85,257 | 2,239 | |
Horizon Bancorp | 108,982 | 2,224 | |
Westfield Financial Inc. | 317,429 | 2,222 | |
Penns Woods Bancorp Inc. | 51,698 | 2,164 | |
* | Xoom Corp. | 93,671 | 2,147 |
* | Reis Inc. | 116,004 | 2,145 |
* | SWS Group Inc. | 389,620 | 2,123 |
BankFinancial Corp. | 249,542 | 2,121 | |
MidWestOne Financial Group Inc. | 87,724 | 2,111 | |
*,^ | Hemisphere Media Group Inc. | 153,914 | 2,109 |
* | Heritage Commerce Corp. | 296,278 | 2,074 |
First Pactrust Bancorp Inc. | 147,152 | 1,998 | |
* | Bridge Capital Holdings | 125,981 | 1,998 |
ESB Financial Corp. | 164,341 | 1,993 | |
* | Sun Bancorp Inc. | 583,015 | 1,976 |
Northrim BanCorp Inc. | 80,797 | 1,954 | |
* | AV Homes Inc. | 110,040 | 1,951 |
Mercantile Bank Corp. | 107,937 | 1,940 | |
First Financial Northwest Inc. | 187,439 | 1,933 | |
Sierra Bancorp | 129,354 | 1,914 | |
Merchants Bancshares Inc. | 64,591 | 1,910 | |
Fox Chase Bancorp Inc. | 112,291 | 1,909 | |
UMH Properties Inc. | 182,364 | 1,873 | |
MetroCorp Bancshares Inc. | 191,450 | 1,869 | |
Bank of Kentucky Financial Corp. | 65,105 | 1,852 | |
* | Regional Management Corp. | 74,041 | 1,851 |
* | Farmers Capital Bank Corp. | 83,898 | 1,820 |
* | FNB United Corp. | 219,784 | 1,782 |
*,^ | Intervest Bancshares Corp. Class A | 265,008 | 1,770 |
* | United Community Financial Corp. | 377,177 | 1,754 |
* | Waterstone Financial Inc. | 171,503 | 1,742 |
*,^ | Yadkin Financial Corp. | 123,249 | 1,730 |
Provident Financial Holdings Inc. | 106,410 | 1,690 | |
*,^ | CU Bancorp | 105,248 | 1,663 |
Eastern Insurance Holdings Inc. | 86,642 | 1,625 | |
Simplicity Bancorp Inc. | 111,966 | 1,624 | |
Bar Harbor Bankshares | 44,233 | 1,617 | |
Resource America Inc. Class A | 189,802 | 1,613 | |
Peapack Gladstone Financial Corp. | 91,379 | 1,599 | |
* | Independent Bank Group Inc. | 51,459 | 1,564 |
*,^ | First Security Group Inc. | 711,872 | 1,545 |
* | Capital City Bank Group Inc. | 130,834 | 1,509 |
^ | Ellington Residential Mortgage REIT | 82,550 | 1,474 |
First M&F Corp. | 92,521 | 1,463 | |
Century Bancorp Inc. Class A | 41,793 | 1,463 | |
* | Doral Financial Corp. | 1,743,641 | 1,447 |
* | Consumer Portfolio Services Inc. | 193,450 | 1,420 |
Heritage Financial Group Inc. | 95,993 | 1,416 | |
* | Orrstown Financial Services Inc. | 110,799 | 1,405 |
* | Home Bancorp Inc. | 75,728 | 1,401 |
MidSouth Bancorp Inc. | 89,966 | 1,397 |
24
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Pacific Mercantile Bancorp | 242,517 | 1,394 |
*,^ | Hampton Roads Bankshares Inc. | 1,079,278 | 1,392 |
SI Financial Group Inc. | 123,536 | 1,365 | |
JMP Group Inc. | 197,690 | 1,313 | |
* | Hallmark Financial Services Inc. | 143,325 | 1,310 |
^ | Meta Financial Group Inc. | 49,733 | 1,307 |
Middleburg Financial Corp. | 67,162 | 1,283 | |
* | First Marblehead Corp. | 1,061,933 | 1,253 |
Clifton Savings Bancorp Inc. | 105,515 | 1,250 | |
Investors Title Co. | 17,175 | 1,218 | |
CFS Bancorp Inc. | 113,215 | 1,214 | |
Firstbank Corp. | 89,568 | 1,201 | |
* | North Valley Bancorp | 72,009 | 1,192 |
Intersections Inc. | 135,760 | 1,191 | |
* | NewBridge Bancorp | 196,144 | 1,175 |
*,^ | Imperial Holdings Inc. | 168,858 | 1,157 |
Cape Bancorp Inc. | 120,787 | 1,147 | |
Asta Funding Inc. | 129,928 | 1,124 | |
Urstadt Biddle Properties Inc. | 59,230 | 1,063 | |
Independence Holding Co. | 89,480 | 1,058 | |
Hingham Institution for Savings | 15,206 | 1,032 | |
* | Kearny Financial Corp. | 98,058 | 1,029 |
MutualFirst Financial Inc. | 72,106 | 1,017 | |
TF Financial Corp. | 41,237 | 1,016 | |
Federal Agricultural Mortgage Corp. Class A | 38,986 | 1,003 | |
Codorus Valley Bancorp Inc. | 57,516 | 994 | |
Gain Capital Holdings Inc. | 154,083 | 972 | |
Northeast Bancorp | 98,971 | 957 | |
PMC Commercial Trust | 115,492 | 949 | |
Pulaski Financial Corp. | 98,263 | 938 | |
* | Westbury Bancorp Inc. | 68,678 | 938 |
* | Old Second Bancorp Inc. | 166,779 | 921 |
Cheviot Financial Corp. | 78,989 | 895 | |
Pzena Investment Management Inc. Class A | 135,146 | 881 | |
* | Republic First Bancorp Inc. | 308,077 | 878 |
* | NASB Financial Inc. | 32,639 | 854 |
* | Gleacher & Co. Inc. | 60,772 | 844 |
ZAIS Financial Corp. | 46,246 | 840 | |
Alliance Bancorp Inc. of Pennsylvania | 58,843 | 839 | |
HopFed Bancorp Inc. | 76,783 | 822 | |
* | Meridian Interstate Bancorp Inc. | 43,398 | 817 |
* | BSB Bancorp Inc. | 61,167 | 804 |
Gladstone Land Corp. | 46,867 | 793 | |
* | Roma Financial Corp. | 43,295 | 786 |
* | ConnectOne Bancorp Inc. | 24,947 | 767 |
First Internet Bancorp | 36,000 | 756 | |
* | Maui Land & Pineapple Co. Inc. | 185,534 | 753 |
* | Eastern Virginia Bankshares Inc. | 149,204 | 746 |
* | First NBC Bank Holding Co. | 30,321 | 740 |
Old Line Bancshares Inc. | 55,605 | 733 | |
^ | Life Partners Holdings Inc. | 235,977 | 724 |
HF Financial Corp. | 53,970 | 703 | |
Ameriana Bancorp | 68,086 | 698 | |
AmREIT Inc. | 35,327 | 683 | |
* | Atlas Financial Holdings Inc. | 77,351 | 665 |
MicroFinancial Inc. | 82,504 | 648 | |
* | First South Bancorp Inc. | 100,420 | 638 |
QCR Holdings Inc. | 41,385 | 631 | |
* | Fortegra Financial Corp. | 91,069 | 626 |
* | Riverview Bancorp Inc. | 249,239 | 626 |
* | First United Corp. | 83,717 | 625 |
Access National Corp. | 47,278 | 614 | |
* | First Acceptance Corp. | 372,396 | 611 |
Teche Holding Co. | 13,723 | 610 |
25
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Gyrodyne Co. of America Inc. | 8,423 | 602 | |
* | Health Insurance Innovations Inc. Class A | 56,654 | 596 |
* | Independent Bank Corp. | 94,202 | 593 |
Federated National Holding Co. | 59,858 | 584 | |
* | Shore Bancshares Inc. | 77,871 | 573 |
^ | Farmers National Banc Corp. | 83,478 | 524 |
* | Community Bankers Trust Corp. | 134,908 | 488 |
Ohio Valley Banc Corp. | 22,402 | 483 | |
US Global Investors Inc. Class A | 227,235 | 479 | |
* | Heritage Oaks Bancorp | 75,959 | 469 |
California First National Bancorp | 27,285 | 450 | |
Premier Financial Bancorp Inc. | 36,718 | 442 | |
Hawthorn Bancshares Inc. | 36,118 | 439 | |
* | Security National Financial Corp. Class A | 73,635 | 436 |
Ocean Shore Holding Co. | 30,594 | 423 | |
*,^ | Arrowhead Research Corp. | 211,290 | 423 |
Peoples Federal Bancshares Inc. | 22,913 | 414 | |
Five Oaks Investment Corp. | 31,470 | 414 | |
First Business Financial Services Inc. | 13,791 | 413 | |
AmeriServ Financial Inc. | 136,802 | 375 | |
* | United Security Bancshares | 38,662 | 373 |
Unity Bancorp Inc. | 52,799 | 371 | |
Evans Bancorp Inc. | 20,109 | 353 | |
* | CIFC Corp. | 45,872 | 346 |
New Hampshire Thrift Bancshares Inc. | 24,130 | 345 | |
Norwood Financial Corp. | 11,872 | 344 | |
Institutional Financial Markets Inc. | 122,156 | 313 | |
Chicopee Bancorp Inc. | 18,500 | 313 | |
Monarch Financial Holdings Inc. | 28,818 | 312 | |
* | ZipRealty Inc. | 98,905 | 310 |
* | Jefferson Bancshares Inc. | 54,395 | 307 |
Union Bankshares Inc. | 13,595 | 296 | |
* | Atlanticus Holdings Corp. | 81,773 | 293 |
Orchid Island Capital Inc. | 25,845 | 292 | |
* | American Independence Corp. | 41,327 | 287 |
United Insurance Holdings Corp. | 39,150 | 274 | |
Salisbury Bancorp Inc. | 10,606 | 271 | |
Tower Financial Corp. | 18,402 | 267 | |
Peoples Bancorp of North Carolina Inc. | 20,962 | 263 | |
Bank of Commerce Holdings | 51,588 | 260 | |
United Bancorp Inc. | 33,210 | 236 | |
SB Financial Group Inc. | 30,620 | 233 | |
Berkshire Bancorp Inc. | 29,304 | 233 | |
QC Holdings Inc. | 77,554 | 220 | |
First Citizens Banc Corp. | 30,765 | 218 | |
Enterprise Bancorp Inc. | 11,054 | 204 | |
Community Bank Shares of Indiana Inc. | 10,809 | 203 | |
* | Stratus Properties Inc. | 16,722 | 198 |
* | BRT Realty Trust | 27,420 | 192 |
^ | Preferred Apartment Communities Inc. Class A | 19,940 | 179 |
* | Colony Bankcorp Inc. | 25,354 | 174 |
* | Summit Financial Group Inc. | 21,800 | 171 |
Central Valley Community Bancorp | 15,512 | 155 | |
Auburn National Bancorporation Inc. | 6,494 | 142 | |
* | OBA Financial Services Inc. | 7,379 | 136 |
* | Vestin Realty Mortgage II Inc. | 74,073 | 121 |
Hampden Bancorp Inc. | 7,731 | 115 | |
Donegal Group Inc. Class B | 4,955 | 105 | |
* | Supertel Hospitality Inc. | 105,537 | 98 |
United Bancshares Inc. | 8,274 | 98 | |
WVS Financial Corp. | 8,783 | 97 | |
* | Transcontinental Realty Investors Inc. | 10,999 | 97 |
FS Bancorp Inc. | 4,929 | 89 | |
* | Royal Bancshares of Pennsylvania Inc. | 64,104 | 88 |
26
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | First Federal Bancshares of Arkansas Inc. | 11,060 | 87 |
* | MBT Financial Corp. | 23,458 | 86 |
* | Malvern Bancorp Inc. | 7,190 | 86 |
* | Prospect Global Resources Inc. | 1,053,632 | 85 |
LNB Bancorp Inc. | 9,575 | 82 | |
* | Severn Bancorp Inc. | 17,641 | 82 |
Standard Financial Corp. | 4,241 | 81 | |
MVC Capital Inc. | 6,223 | 78 | |
* | Guaranty Federal Bancshares Inc. | 7,623 | 78 |
* | ASB Bancorp Inc. | 4,745 | 78 |
Wayne Savings Bancshares Inc. | 7,589 | 74 | |
* | Camco Financial Corp. | 22,228 | 73 |
First Capital Inc. | 3,611 | 72 | |
Glen Burnie Bancorp | 5,811 | 72 | |
Landmark Bancorp Inc. | 3,418 | 71 | |
* | Prudential Bancorp Inc. of Pennsylvania | 6,832 | 68 |
Wolverine Bancorp Inc. | 3,419 | 65 | |
Greene County Bancorp Inc. | 3,061 | 64 | |
BCB Bancorp Inc. | 5,675 | 60 | |
* | Hamilton Bancorp Inc. | 4,452 | 59 |
Mid Penn Bancorp Inc. | 5,281 | 58 | |
Oneida Financial Corp. | 4,045 | 54 | |
Old Point Financial Corp. | 3,960 | 51 | |
Bank of South Carolina Corp. | 3,860 | 49 | |
Naugatuck Valley Financial Corp. | 6,161 | 45 | |
* | Carolina Bank Holdings Inc. | 3,600 | 44 |
* | Atlantic Coast Financial Corp. | 8,553 | 42 |
* | WashingtonFirst Bankshare Inc. | 3,504 | 39 |
* | Southern First Bancshares Inc. | 3,489 | 38 |
Northeast Community Bancorp Inc. | 4,796 | 30 | |
* | United Security Bancshares | 6,931 | 29 |
* | Cordia Bancorp Inc. | 5,680 | 24 |
Mayflower Bancorp Inc. | 1,200 | 22 | |
* | Jacksonville Bancorp Inc. | 38,291 | 18 |
FedFirst Financial Corp. | 924 | 17 | |
* | Vestin Realty Mortgage I Inc. | 8,700 | 15 |
* | IF Bancorp Inc. | 952 | 14 |
* | Porter Bancorp Inc. | 16,831 | 14 |
* | Newport Bancorp Inc. | 825 | 14 |
* | Colonial Financial Services Inc. | 1,000 | 13 |
Elmira Savings Bank | 567 | 12 | |
First Savings Financial Group Inc. | 488 | 11 | |
* | HMG Courtland Properties | 600 | 11 |
Madison County Financial Inc. | 481 | 9 | |
First Clover Leaf Financial Corp. | 1,058 | 9 | |
NB&T Financial Group Inc. | 402 | 8 | |
Sotherly Hotels Inc. | 1,719 | 8 | |
Eagle Bancorp Montana Inc. | 700 | 7 | |
Oconee Federal Financial Corp. | 300 | 5 | |
* | American Realty Investors Inc. | 800 | 4 |
* | OptimumBank Holdings Inc. | 1,900 | 3 |
* | World Energy Solutions Inc. | 700 | 3 |
First Bancshares Inc. | 100 | 1 | |
* | Valley National Bancorp Warrants Exp. 6/30/2015 | 6,511 | 1 |
DNB Financial Corp. | 42 | 1 | |
* | Louisiana Bancorp Inc. | 7 | — |
* | Anchor Bancorp Inc. | 1 | — |
47,362,411 | |||
Health Care (11.7%) | |||
Johnson & Johnson | 39,878,968 | 3,424,008 | |
Pfizer Inc. | 94,990,436 | 2,660,682 | |
Merck & Co. Inc. | 42,871,213 | 1,991,368 | |
* | Gilead Sciences Inc. | 21,656,161 | 1,109,012 |
Amgen Inc. | 10,647,682 | 1,050,500 |
27
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Bristol-Myers Squibb Co. | 23,320,315 | 1,042,185 | |
UnitedHealth Group Inc. | 14,507,113 | 949,926 | |
AbbVie Inc. | 22,485,008 | 929,530 | |
Abbott Laboratories | 22,132,173 | 771,970 | |
Medtronic Inc. | 14,425,021 | 742,456 | |
* | Biogen Idec Inc. | 3,370,120 | 725,250 |
* | Express Scripts Holding Co. | 11,642,010 | 718,196 |
Eli Lilly & Co. | 14,434,919 | 709,043 | |
* | Celgene Corp. | 5,922,183 | 692,362 |
Baxter International Inc. | 7,730,036 | 535,460 | |
Thermo Fisher Scientific Inc. | 5,101,413 | 431,733 | |
Covidien plc | 6,685,393 | 420,110 | |
Allergan Inc. | 4,370,886 | 368,203 | |
WellPoint Inc. | 4,268,758 | 349,355 | |
Aetna Inc. | 5,388,544 | 342,388 | |
Cigna Corp. | 4,052,620 | 293,774 | |
* | Intuitive Surgical Inc. | 569,762 | 288,630 |
Becton Dickinson and Co. | 2,753,811 | 272,159 | |
Stryker Corp. | 4,034,711 | 260,965 | |
* | Alexion Pharmaceuticals Inc. | 2,766,597 | 255,191 |
* | Vertex Pharmaceuticals Inc. | 3,146,495 | 251,311 |
* | Regeneron Pharmaceuticals Inc. | 1,090,423 | 245,214 |
* | Actavis Inc. | 1,804,971 | 227,823 |
^ | Zoetis Inc. | 7,074,493 | 218,531 |
Humana Inc. | 2,245,011 | 189,434 | |
St. Jude Medical Inc. | 4,027,288 | 183,765 | |
* | Life Technologies Corp. | 2,447,861 | 181,166 |
Zimmer Holdings Inc. | 2,401,284 | 179,952 | |
* | Boston Scientific Corp. | 19,173,527 | 177,739 |
* | DaVita HealthCare Partners Inc. | 1,427,834 | 172,482 |
* | Mylan Inc. | 5,439,450 | 168,786 |
Perrigo Co. | 1,264,926 | 153,056 | |
* | Forest Laboratories Inc. | 3,425,400 | 140,441 |
HCA Holdings Inc. | 3,793,802 | 136,805 | |
Quest Diagnostics Inc. | 2,241,836 | 135,923 | |
* | Onyx Pharmaceuticals Inc. | 1,028,165 | 135,080 |
* | Laboratory Corp. of America Holdings | 1,327,593 | 132,892 |
* | Illumina Inc. | 1,759,281 | 131,665 |
CR Bard Inc. | 1,143,898 | 124,319 | |
* | Henry Schein Inc. | 1,239,897 | 118,720 |
* | Waters Corp. | 1,157,143 | 115,772 |
* | CareFusion Corp. | 3,141,684 | 115,771 |
* | BioMarin Pharmaceutical Inc. | 1,975,594 | 110,218 |
* | Edwards Lifesciences Corp. | 1,616,552 | 108,632 |
* | Varian Medical Systems Inc. | 1,542,156 | 104,018 |
^ | ResMed Inc. | 2,025,395 | 91,406 |
* | Hospira Inc. | 2,327,093 | 89,151 |
Universal Health Services Inc. Class B | 1,281,222 | 85,791 | |
DENTSPLY International Inc. | 2,016,274 | 82,587 | |
Cooper Cos. Inc. | 686,128 | 81,684 | |
* | Hologic Inc. | 3,810,210 | 73,537 |
* | IDEXX Laboratories Inc. | 788,971 | 70,834 |
* | Tenet Healthcare Corp. | 1,499,408 | 69,123 |
* | Pharmacyclics Inc. | 827,151 | 65,734 |
* | MEDNAX Inc. | 707,032 | 64,750 |
Warner Chilcott plc Class A | 3,185,863 | 63,335 | |
* | Endo Health Solutions Inc. | 1,620,939 | 59,634 |
* | Covance Inc. | 781,802 | 59,526 |
Community Health Systems Inc. | 1,258,302 | 58,989 | |
* | Health Management Associates Inc. Class A | 3,562,525 | 56,003 |
* | Salix Pharmaceuticals Ltd. | 830,748 | 54,954 |
* | Alkermes plc | 1,886,093 | 54,093 |
* | Sirona Dental Systems Inc. | 800,127 | 52,712 |
* | Medivation Inc. | 1,013,798 | 49,879 |
28
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Jazz Pharmaceuticals plc | 685,644 | 47,124 |
* | Seattle Genetics Inc. | 1,439,547 | 45,288 |
Teleflex Inc. | 577,470 | 44,748 | |
* | Ariad Pharmaceuticals Inc. | 2,557,408 | 44,729 |
* | Cubist Pharmaceuticals Inc. | 916,089 | 44,247 |
Patterson Cos. Inc. | 1,132,438 | 42,580 | |
* | Isis Pharmaceuticals Inc. | 1,522,149 | 40,900 |
* | United Therapeutics Corp. | 620,790 | 40,860 |
* | Team Health Holdings Inc. | 956,784 | 39,295 |
* | Centene Corp. | 725,329 | 38,051 |
*,^ | Theravance Inc. | 974,270 | 37,539 |
*,^ | Incyte Corp. Ltd. | 1,700,020 | 37,400 |
* | Brookdale Senior Living Inc. Class A | 1,379,019 | 36,461 |
* | PAREXEL International Corp. | 791,663 | 36,369 |
* | Health Net Inc. | 1,139,812 | 36,269 |
^ | Questcor Pharmaceuticals Inc. | 758,395 | 34,477 |
Techne Corp. | 491,807 | 33,974 | |
* | HealthSouth Corp. | 1,178,250 | 33,934 |
* | Align Technology Inc. | 915,330 | 33,904 |
* | WellCare Health Plans Inc. | 607,007 | 33,719 |
West Pharmaceutical Services Inc. | 478,686 | 33,632 | |
STERIS Corp. | 781,323 | 33,503 | |
* | Cepheid Inc. | 932,004 | 32,080 |
* | LifePoint Hospitals Inc. | 641,104 | 31,312 |
* | Bio-Rad Laboratories Inc. Class A | 278,640 | 31,263 |
* | Myriad Genetics Inc. | 1,148,771 | 30,867 |
Owens & Minor Inc. | 889,741 | 30,100 | |
* | Haemonetics Corp. | 720,849 | 29,807 |
Hill-Rom Holdings Inc. | 863,248 | 29,074 | |
* | HMS Holdings Corp. | 1,217,916 | 28,377 |
* | Charles River Laboratories International Inc. | 681,580 | 27,965 |
* | ViroPharma Inc. | 927,758 | 26,580 |
* | Alere Inc. | 1,078,863 | 26,432 |
* | Thoratec Corp. | 824,217 | 25,806 |
* | Medicines Co. | 772,558 | 23,764 |
* | Alnylam Pharmaceuticals Inc. | 761,169 | 23,604 |
*,^ | Arena Pharmaceuticals Inc. | 3,052,431 | 23,504 |
* | Bruker Corp. | 1,424,281 | 23,002 |
* | Insulet Corp. | 730,936 | 22,959 |
Healthcare Services Group Inc. | 900,747 | 22,086 | |
* | Magellan Health Services Inc. | 390,529 | 21,901 |
* | DexCom Inc. | 969,281 | 21,760 |
* | Aegerion Pharmaceuticals Inc. | 338,464 | 21,438 |
* | Prestige Brands Holdings Inc. | 707,519 | 20,617 |
* | Cyberonics Inc. | 387,364 | 20,127 |
* | NPS Pharmaceuticals Inc. | 1,302,351 | 19,666 |
* | ImmunoGen Inc. | 1,182,955 | 19,625 |
* | HeartWare International Inc. | 203,621 | 19,366 |
* | Acorda Therapeutics Inc. | 568,149 | 18,743 |
* | Nektar Therapeutics | 1,618,272 | 18,691 |
* | Impax Laboratories Inc. | 915,863 | 18,271 |
*,^ | ACADIA Pharmaceuticals Inc. | 999,093 | 18,134 |
*,^ | Vivus Inc. | 1,408,744 | 17,722 |
* | Neogen Corp. | 315,648 | 17,537 |
* | Celldex Therapeutics Inc. | 1,098,157 | 17,142 |
* | Wright Medical Group Inc. | 633,503 | 16,604 |
Air Methods Corp. | 487,285 | 16,509 | |
* | Santarus Inc. | 779,475 | 16,408 |
Masimo Corp. | 765,036 | 16,219 | |
* | Acadia Healthcare Co. Inc. | 484,746 | 16,031 |
* | Molina Healthcare Inc. | 421,960 | 15,688 |
* | Amsurg Corp. Class A | 441,143 | 15,484 |
* | Quintiles Transnational Holdings Inc. | 362,534 | 15,429 |
*,^ | Sarepta Therapeutics Inc. | 397,015 | 15,106 |
29
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
^ | PDL BioPharma Inc. | 1,949,972 | 15,054 |
* | NuVasive Inc. | 602,533 | 14,937 |
* | Puma Biotechnology Inc. | 332,757 | 14,764 |
*,^ | Opko Health Inc. | 2,076,169 | 14,741 |
Abaxis Inc. | 306,065 | 14,541 | |
* | Hanger Inc. | 455,185 | 14,398 |
*,^ | MannKind Corp. | 2,205,774 | 14,338 |
* | BioScrip Inc. | 838,436 | 13,834 |
* | Exact Sciences Corp. | 986,912 | 13,728 |
* | Volcano Corp. | 750,924 | 13,614 |
* | ArthroCare Corp. | 389,853 | 13,462 |
* | Akorn Inc. | 977,371 | 13,214 |
*,^ | Globus Medical Inc. | 779,384 | 13,140 |
* | ICU Medical Inc. | 182,215 | 13,130 |
* | Ironwood Pharmaceuticals Inc. Class A | 1,307,100 | 13,006 |
* | Clovis Oncology Inc. | 188,414 | 12,620 |
* | Emeritus Corp. | 541,218 | 12,545 |
Analogic Corp. | 170,901 | 12,447 | |
CONMED Corp. | 398,322 | 12,444 | |
* | Neurocrine Biosciences Inc. | 923,971 | 12,363 |
Meridian Bioscience Inc. | 574,320 | 12,348 | |
*,^ | Pacira Pharmaceuticals Inc. | 422,341 | 12,248 |
* | IPC The Hospitalist Co. Inc. | 233,666 | 12,001 |
*,^ | Exelixis Inc. | 2,566,727 | 11,653 |
* | NxStage Medical Inc. | 805,739 | 11,506 |
* | Auxilium Pharmaceuticals Inc. | 684,714 | 11,387 |
* | Infinity Pharmaceuticals Inc. | 672,394 | 10,926 |
* | Endologix Inc. | 822,483 | 10,923 |
Cantel Medical Corp. | 317,988 | 10,770 | |
* | Quidel Corp. | 417,171 | 10,650 |
* | Halozyme Therapeutics Inc. | 1,338,647 | 10,629 |
* | ABIOMED Inc. | 492,958 | 10,628 |
* | Luminex Corp. | 515,208 | 10,618 |
* | InterMune Inc. | 1,097,638 | 10,559 |
* | Spectranetics Corp. | 559,054 | 10,443 |
* | Integra LifeSciences Holdings Corp. | 282,990 | 10,366 |
* | Ligand Pharmaceuticals Inc. Class B | 269,367 | 10,080 |
*,^ | Bio-Reference Labs Inc. | 347,470 | 9,990 |
* | Kindred Healthcare Inc. | 730,773 | 9,595 |
* | Omnicell Inc. | 465,897 | 9,574 |
* | Capital Senior Living Corp. | 392,688 | 9,385 |
* | Achillion Pharmaceuticals Inc. | 1,135,099 | 9,285 |
Ensign Group Inc. | 259,195 | 9,129 | |
* | Optimer Pharmaceuticals Inc. | 630,388 | 9,122 |
* | Momenta Pharmaceuticals Inc. | 603,499 | 9,089 |
* | Vanguard Health Systems Inc. | 430,213 | 8,923 |
*,^ | Dendreon Corp. | 2,150,065 | 8,858 |
*,^ | Keryx Biopharmaceuticals Inc. | 1,116,075 | 8,337 |
* | Healthways Inc. | 462,635 | 8,041 |
* | AVANIR Pharmaceuticals Inc. | 1,709,532 | 7,864 |
*,^ | MiMedx Group Inc. | 1,089,875 | 7,695 |
* | Synageva BioPharma Corp. | 182,845 | 7,680 |
*,^ | Merrimack Pharmaceuticals Inc. | 1,117,805 | 7,523 |
* | Triple-S Management Corp. Class B | 350,041 | 7,515 |
* | Genomic Health Inc. | 235,266 | 7,460 |
Select Medical Holdings Corp. | 887,771 | 7,280 | |
* | Orthofix International NV | 270,116 | 7,266 |
* | Accretive Health Inc. | 648,221 | 7,007 |
* | Lexicon Pharmaceuticals Inc. | 3,226,194 | 7,001 |
* | HealthStream Inc. | 267,806 | 6,781 |
*,^ | MAKO Surgical Corp. | 562,380 | 6,777 |
* | Array BioPharma Inc. | 1,491,926 | 6,773 |
*,^ | Raptor Pharmaceutical Corp. | 723,721 | 6,767 |
*,^ | Sequenom Inc. | 1,597,483 | 6,725 |
30
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Antares Pharma Inc. | 1,575,015 | 6,552 |
* | Cardiovascular Systems Inc. | 307,223 | 6,513 |
* | AMAG Pharmaceuticals Inc. | 292,713 | 6,513 |
* | Tornier NV | 359,999 | 6,300 |
* | Merit Medical Systems Inc. | 558,395 | 6,226 |
* | Immunomedics Inc. | 1,136,337 | 6,182 |
^ | Spectrum Pharmaceuticals Inc. | 820,813 | 6,123 |
* | Cynosure Inc. Class A | 234,805 | 6,100 |
* | Orexigen Therapeutics Inc. | 1,040,169 | 6,085 |
* | Corvel Corp. | 207,000 | 6,059 |
National Healthcare Corp. | 124,848 | 5,968 | |
* | Natus Medical Inc. | 426,272 | 5,819 |
* | Emergent Biosolutions Inc. | 399,206 | 5,757 |
Invacare Corp. | 397,611 | 5,710 | |
* | Repros Therapeutics Inc. | 301,631 | 5,565 |
* | Cadence Pharmaceuticals Inc. | 815,584 | 5,562 |
* | PharMerica Corp. | 399,547 | 5,538 |
*,^ | Sangamo Biosciences Inc. | 703,468 | 5,494 |
* | Intercept Pharmaceuticals Inc. | 118,630 | 5,319 |
*,^ | Accuray Inc. | 925,965 | 5,315 |
* | Fluidigm Corp. | 292,669 | 5,110 |
* | Idenix Pharmaceuticals Inc. | 1,409,039 | 5,087 |
* | Astex Pharmaceuticals | 1,235,249 | 5,077 |
* | Staar Surgical Co. | 495,381 | 5,028 |
* | Amedisys Inc. | 429,269 | 4,988 |
Hi-Tech Pharmacal Co. Inc. | 150,138 | 4,985 | |
*,^ | Synergy Pharmaceuticals Inc. | 1,137,242 | 4,913 |
Atrion Corp. | 22,444 | 4,909 | |
US Physical Therapy Inc. | 174,627 | 4,827 | |
* | Endocyte Inc. | 364,766 | 4,789 |
* | NewLink Genetics Corp. | 237,514 | 4,684 |
* | Dyax Corp. | 1,345,583 | 4,656 |
Universal American Corp. | 515,426 | 4,582 | |
* | ChemoCentryx Inc. | 323,942 | 4,581 |
* | Affymetrix Inc. | 1,000,273 | 4,441 |
* | Depomed Inc. | 765,357 | 4,294 |
* | Symmetry Medical Inc. | 504,224 | 4,246 |
*,^ | Insmed Inc. | 352,732 | 4,219 |
* | SurModics Inc. | 207,734 | 4,157 |
* | GenMark Diagnostics Inc. | 400,948 | 4,146 |
* | Sagent Pharmaceuticals Inc. | 196,700 | 4,127 |
* | LHC Group Inc. | 209,910 | 4,110 |
* | Rigel Pharmaceuticals Inc. | 1,221,119 | 4,079 |
*,^ | Navidea Biopharmaceuticals Inc. | 1,526,491 | 4,076 |
* | Albany Molecular Research Inc. | 341,357 | 4,052 |
* | Gentiva Health Services Inc. | 399,777 | 3,982 |
* | XOMA Corp. | 1,096,132 | 3,979 |
* | AngioDynamics Inc. | 350,952 | 3,959 |
* | Furiex Pharmaceuticals Inc. | 116,191 | 3,959 |
* | Cerus Corp. | 894,074 | 3,952 |
* | Anika Therapeutics Inc. | 218,181 | 3,709 |
* | Novavax Inc. | 1,797,078 | 3,684 |
* | Curis Inc. | 1,142,730 | 3,645 |
* | Progenics Pharmaceuticals Inc. | 801,809 | 3,576 |
* | Trius Therapeutics Inc. | 432,122 | 3,509 |
* | Vical Inc. | 1,101,106 | 3,446 |
* | Five Star Quality Care Inc. | 609,543 | 3,420 |
* | Cytokinetics Inc. | 294,139 | 3,403 |
* | Chindex International Inc. | 208,690 | 3,385 |
* | Repligen Corp. | 409,388 | 3,373 |
* | Vanda Pharmaceuticals Inc. | 407,489 | 3,293 |
* | Assisted Living Concepts Inc. Class A | 272,211 | 3,256 |
*,^ | Unilife Corp. | 1,017,977 | 3,227 |
*,^ | Chimerix Inc. | 131,002 | 3,176 |
31
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sciclone Pharmaceuticals Inc. | 635,938 | 3,154 |
* | KYTHERA Biopharmaceuticals Inc. | 112,012 | 3,030 |
* | Hyperion Therapeutics Inc. | 136,738 | 3,008 |
* | RTI Biologics Inc. | 787,887 | 2,962 |
* | Threshold Pharmaceuticals Inc. | 563,011 | 2,961 |
* | Vascular Solutions Inc. | 198,657 | 2,922 |
* | XenoPort Inc. | 590,146 | 2,921 |
* | OraSure Technologies Inc. | 746,968 | 2,898 |
* | Coronado Biosciences Inc. | 326,147 | 2,805 |
CryoLife Inc. | 443,435 | 2,776 | |
* | Lannett Co. Inc. | 232,832 | 2,773 |
*,^ | PhotoMedex Inc. | 172,998 | 2,758 |
*,^ | Synta Pharmaceuticals Corp. | 552,383 | 2,756 |
*,^ | Sunesis Pharmaceuticals Inc. | 528,784 | 2,755 |
*,^ | Stemline Therapeutics Inc. | 115,309 | 2,749 |
* | GTx Inc. | 412,329 | 2,721 |
* | Geron Corp. | 1,787,383 | 2,681 |
* | Dynavax Technologies Corp. | 2,375,556 | 2,613 |
* | CardioNet Inc. | 442,809 | 2,613 |
*,^ | TearLab Corp. | 246,003 | 2,613 |
*,^ | Ampio Pharmaceuticals Inc. | 428,784 | 2,474 |
* | Rochester Medical Corp. | 167,295 | 2,464 |
*,^ | Galena Biopharma Inc. | 1,098,769 | 2,439 |
* | Exactech Inc. | 121,035 | 2,390 |
*,^ | AcelRx Pharmaceuticals Inc. | 246,120 | 2,282 |
Utah Medical Products Inc. | 41,837 | 2,272 | |
Almost Family Inc. | 118,193 | 2,246 | |
* | Derma Sciences Inc. | 167,584 | 2,237 |
*,^ | Osiris Therapeutics Inc. | 221,766 | 2,233 |
* | AtriCure Inc. | 234,158 | 2,225 |
* | Alliance HealthCare Services Inc. | 140,073 | 2,191 |
* | Cempra Inc. | 271,959 | 2,129 |
* | Anacor Pharmaceuticals Inc. | 380,795 | 2,129 |
*,^ | Peregrine Pharmaceuticals Inc. | 1,572,894 | 2,029 |
* | Alphatec Holdings Inc. | 989,644 | 2,029 |
* | Arqule Inc. | 849,160 | 1,970 |
*,^ | ZIOPHARM Oncology Inc. | 929,113 | 1,951 |
* | Skilled Healthcare Group Inc. | 289,646 | 1,935 |
* | Pozen Inc. | 380,050 | 1,904 |
*,^ | Inovio Pharmaceuticals Inc. | 2,365,337 | 1,883 |
* | Targacept Inc. | 411,576 | 1,757 |
* | OncoGenex Pharmaceutical Inc. | 176,975 | 1,734 |
* | Rockwell Medical Inc. | 474,169 | 1,712 |
* | Harvard Bioscience Inc. | 360,542 | 1,705 |
* | Biolase Inc. | 470,927 | 1,686 |
* | Cytori Therapeutics Inc. | 727,489 | 1,673 |
* | Nanosphere Inc. | 543,421 | 1,668 |
*,^ | Accelerate Diagnostics Inc. | 204,696 | 1,662 |
* | Addus HomeCare Corp. | 83,786 | 1,654 |
*,^ | Omeros Corp. | 327,289 | 1,650 |
* | Omthera Pharmaceuticals Inc. | 121,311 | 1,613 |
* | AVEO Pharmaceuticals Inc. | 640,556 | 1,601 |
* | Cutera Inc. | 178,648 | 1,572 |
* | Corcept Therapeutics Inc. | 907,898 | 1,571 |
* | Zogenix Inc. | 897,238 | 1,534 |
*,^ | Chelsea Therapeutics International Ltd. | 659,999 | 1,518 |
*,^ | SIGA Technologies Inc. | 525,800 | 1,493 |
*,^ | Biotime Inc. | 376,299 | 1,490 |
* | Solta Medical Inc. | 649,035 | 1,480 |
* | BioDelivery Sciences International Inc. | 343,167 | 1,393 |
* | Verastem Inc. | 99,605 | 1,383 |
* | Durect Corp. | 1,286,140 | 1,350 |
* | Medical Action Industries Inc. | 174,024 | 1,340 |
* | Pacific Biosciences of California Inc. | 525,087 | 1,323 |
32
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Pain Therapeutics Inc. | 572,446 | 1,265 | |
*,^ | OvaScience Inc. | 91,200 | 1,252 |
*,^ | Receptos Inc. | 62,500 | 1,243 |
Psychemedics Corp. | 112,607 | 1,209 | |
* | Amicus Therapeutics Inc. | 495,781 | 1,155 |
*,^ | Supernus Pharmaceuticals Inc. | 177,474 | 1,141 |
* | Synergetics USA Inc. | 289,440 | 1,140 |
* | Northwest Biotherapeutics Inc. | 340,693 | 1,138 |
*,^ | Oncothyreon Inc. | 726,614 | 1,134 |
*,^ | Cell Therapeutics Inc. | 1,041,253 | 1,093 |
*,^ | Apricus Biosciences Inc. | 462,817 | 1,088 |
*,^ | NeoGenomics Inc. | 265,204 | 1,056 |
* | Agenus Inc. | 277,543 | 1,052 |
* | Insys Therapeutics Inc. | 75,933 | 1,051 |
* | Theragenics Corp. | 505,923 | 1,047 |
* | Sucampo Pharmaceuticals Inc. Class A | 158,504 | 1,043 |
Enzon Pharmaceuticals Inc. | 517,601 | 1,035 | |
* | Horizon Pharma Inc. | 410,009 | 1,009 |
* | Durata Therapeutics Inc. | 140,000 | 1,008 |
*,^ | Biodel Inc. | 238,888 | 999 |
* | Enzo Biochem Inc. | 471,186 | 980 |
*,^ | ImmunoCellular Therapeutics Ltd. | 500,899 | 972 |
* | RadNet Inc. | 363,013 | 962 |
* | Cornerstone Therapeutics Inc. | 119,548 | 956 |
*,^ | Neostem Inc. | 1,722,369 | 956 |
* | Digirad Corp. | 377,221 | 920 |
*,^ | PharmAthene Inc. | 577,742 | 919 |
*,^ | Neuralstem Inc. | 608,302 | 906 |
*,^ | Hansen Medical Inc. | 627,239 | 903 |
*,^ | Discovery Laboratories Inc. | 593,540 | 902 |
* | Pernix Therapeutics Holdings | 234,810 | 848 |
*,^ | Cleveland Biolabs Inc. | 535,493 | 846 |
* | Biospecifics Technologies Corp. | 53,486 | 834 |
* | Tetraphase Pharmaceuticals Inc. | 117,400 | 825 |
* | Zeltiq Aesthetics Inc. | 128,907 | 824 |
* | pSivida Corp. | 208,255 | 806 |
^ | Maxygen Inc. | 320,911 | 796 |
* | Wright Medical Group Inc. Rights Exp. 12/31/2049 | 288,011 | 781 |
* | Cumberland Pharmaceuticals Inc. | 152,070 | 777 |
*,^ | TrovaGene Inc. | 109,568 | 766 |
*,^ | Cyclacel Pharmaceuticals Inc. | 247,785 | 731 |
*,^ | Cel-Sci Corp. | 3,363,021 | 717 |
* | MEI Pharma Inc. | 97,867 | 698 |
*,^ | CytRx Corp. | 348,404 | 697 |
*,^ | StemCells Inc. | 417,683 | 689 |
* | Zalicus Inc. | 1,212,350 | 684 |
* | Sunshine Heart Inc. | 125,576 | 674 |
* | LCA-Vision Inc. | 221,694 | 670 |
*,^ | EnteroMedics Inc. | 584,526 | 666 |
*,^ | Alexza Pharmaceuticals Inc. | 152,662 | 663 |
*,^ | BioCryst Pharmaceuticals Inc. | 425,176 | 659 |
* | Cardica Inc. | 567,438 | 630 |
*,^ | Athersys Inc. | 362,895 | 602 |
* | NuPathe Inc. | 196,651 | 602 |
* | Uroplasty Inc. | 280,598 | 581 |
*,^ | Savient Pharmaceuticals Inc. | 1,006,733 | 564 |
* | Iridex Corp. | 94,200 | 557 |
*,^ | Acura Pharmaceuticals Inc. | 290,232 | 546 |
* | Imprimis Pharmaceuticals Inc. | 63,100 | 535 |
*,^ | Alimera Sciences Inc. | 109,535 | 535 |
* | LipoScience Inc. | 71,549 | 500 |
* | Columbia Laboratories Inc. | 757,867 | 490 |
*,^ | Vermillion Inc. | 181,825 | 485 |
* | Regulus Therapeutics Inc. | 49,142 | 482 |
33
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | MELA Sciences Inc. | 517,162 | 481 |
* | Baxano Surgical Inc. | 200,063 | 480 |
* | Bovie Medical Corp. | 159,113 | 469 |
* | Enanta Pharmaceuticals Inc. | 25,380 | 450 |
*,^ | MediciNova Inc. | 170,820 | 449 |
*,^ | Celsion Corp. | 415,693 | 424 |
*,^ | Mast Therapeutics Inc. | 896,254 | 385 |
*,^ | Delcath Systems Inc. | 1,025,257 | 379 |
*,^ | Anthera Pharmaceuticals Inc. Class A | 815,713 | 378 |
* | Transcept Pharmaceuticals Inc. | 123,149 | 372 |
* | Hemispherx Biopharma Inc. | 1,666,987 | 371 |
* | Entremed Inc. | 183,512 | 371 |
* | AdCare Health Systems Inc. | 75,007 | 360 |
*,^ | BSD Medical Corp. | 257,082 | 339 |
* | Echo Therapeutics Inc. | 135,621 | 338 |
* | Strategic Diagnostics Inc. | 365,605 | 329 |
* | Oragenics Inc. | 101,675 | 319 |
* | Palatin Technologies Inc. | 504,697 | 303 |
* | Galectin Therapeutics Inc. | 67,711 | 288 |
Daxor Corp. | 37,940 | 285 | |
* | Vision Sciences Inc. | 273,044 | 279 |
* | KaloBios Pharmaceuticals Inc. | 47,352 | 268 |
Heska Corp. | 38,628 | 266 | |
*,^ | Biosante Pharmaceuticals Inc. | 253,823 | 254 |
* | Medgenics Inc. | 64,333 | 244 |
LeMaitre Vascular Inc. | 37,364 | 244 | |
* | Ventrus Biosciences Inc. | 92,968 | 223 |
* | Hooper Holmes Inc. | 591,641 | 213 |
*,^ | Aastrom Biosciences Inc. | 494,308 | 198 |
* | ThermoGenesis Corp. | 123,286 | 163 |
* | CombiMatrix Corp. | 45,819 | 145 |
* | Novabay Pharmaceuticals Inc. | 101,504 | 140 |
* | Fonar Corp. | 21,091 | 138 |
* | Lpath Inc. Class A | 24,427 | 108 |
Span-America Medical Systems Inc. | 5,126 | 102 | |
*,^ | USMD Holdings Inc. | 3,400 | 101 |
* | Cardium Therapeutics Inc. | 1,424,590 | 100 |
* | Misonix Inc. | 18,785 | 96 |
* | Oculus Innovative Sciences Inc. | 35,150 | 91 |
* | Kips Bay Medical Inc. | 85,600 | 89 |
* | BG Medicine Inc. | 65,950 | 88 |
* | Stereotaxis Inc. | 54,377 | 85 |
* | ERBA Diagnostics Inc. | 61,375 | 52 |
* | Bioanalytical Systems Inc. | 34,869 | 50 |
* | ProPhase Labs Inc. | 31,802 | 49 |
* | iBio Inc. | 100,750 | 42 |
* | Chembio Diagnostics Inc. | 7,831 | 39 |
* | Synthetic Biologics Inc. | 18,100 | 31 |
* | American Caresource Holdings Inc. | 16,457 | 29 |
* | DARA Biosciences Inc. | 14,200 | 9 |
* | IsoRay Inc. | 12,200 | 6 |
* | Retractable Technologies Inc. | 3,865 | 6 |
Myrexis Inc. | 34,818 | 3 | |
* | VirtualScopics Inc. | 2,500 | 1 |
* | Tranzyme Inc. | 1,600 | 1 |
* | IGI Laboratories Inc. | 424 | 1 |
* | InfuSystems Holdings Inc. | 300 | — |
* | Idera Pharmaceuticals Inc. | 1 | — |
29,531,050 | |||
Industrials (12.9%) | |||
General Electric Co. | 146,803,658 | 3,404,377 | |
United Technologies Corp. | 13,051,737 | 1,213,028 | |
Boeing Co. | 10,771,345 | 1,103,417 | |
3M Co. | 9,799,571 | 1,071,583 |
34
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Union Pacific Corp. | 6,627,123 | 1,022,433 | |
United Parcel Service Inc. Class B | 10,288,712 | 889,768 | |
Honeywell International Inc. | 11,170,297 | 886,251 | |
Caterpillar Inc. | 9,337,702 | 770,267 | |
Accenture plc Class A | 9,229,405 | 664,148 | |
Emerson Electric Co. | 10,224,091 | 557,622 | |
Danaher Corp. | 8,364,649 | 529,482 | |
Lockheed Martin Corp. | 4,575,637 | 496,274 | |
Automatic Data Processing Inc. | 6,887,274 | 474,258 | |
Precision Castparts Corp. | 2,077,265 | 469,483 | |
Deere & Co. | 5,515,686 | 448,150 | |
Eaton Corp. plc | 6,720,805 | 442,296 | |
FedEx Corp. | 4,278,126 | 421,738 | |
Illinois Tool Works Inc. | 6,082,933 | 420,756 | |
General Dynamics Corp. | 4,761,118 | 372,938 | |
CSX Corp. | 14,502,157 | 336,305 | |
Norfolk Southern Corp. | 4,478,261 | 325,346 | |
Raytheon Co. | 4,618,064 | 305,346 | |
Cummins Inc. | 2,696,782 | 292,493 | |
Northrop Grumman Corp. | 3,350,155 | 277,393 | |
TE Connectivity Ltd. | 5,959,376 | 271,390 | |
PACCAR Inc. | 5,017,157 | 269,221 | |
Waste Management Inc. | 6,295,527 | 253,899 | |
* | LinkedIn Corp. Class A | 1,301,317 | 232,025 |
Ingersoll-Rand plc | 4,035,738 | 224,064 | |
Sherwin-Williams Co. | 1,243,543 | 219,610 | |
Tyco International Ltd. | 6,604,095 | 217,605 | |
WW Grainger Inc. | 838,890 | 211,551 | |
Agilent Technologies Inc. | 4,912,713 | 210,068 | |
Parker Hannifin Corp. | 2,117,907 | 202,048 | |
Dover Corp. | 2,431,662 | 188,843 | |
Amphenol Corp. Class A | 2,267,027 | 176,692 | |
Roper Industries Inc. | 1,403,023 | 174,284 | |
Fastenal Co. | 3,788,035 | 173,681 | |
Paychex Inc. | 4,637,891 | 169,376 | |
Pentair Ltd. | 2,914,284 | 168,125 | |
Kansas City Southern | 1,560,620 | 165,363 | |
* | Fiserv Inc. | 1,889,007 | 165,118 |
Rockwell Automation Inc. | 1,978,846 | 164,521 | |
Fidelity National Information Services Inc. | 3,750,204 | 160,659 | |
Xerox Corp. | 16,516,534 | 149,805 | |
AMETEK Inc. | 3,452,449 | 146,039 | |
Fluor Corp. | 2,314,482 | 137,272 | |
* | Stericycle Inc. | 1,222,477 | 134,998 |
Republic Services Inc. Class A | 3,840,167 | 130,335 | |
* | Verisk Analytics Inc. Class A | 2,143,256 | 127,952 |
CH Robinson Worldwide Inc. | 2,271,998 | 127,936 | |
Rockwell Collins Inc. | 1,950,086 | 123,655 | |
* | Alliance Data Systems Corp. | 668,041 | 120,935 |
ADT Corp. | 2,954,070 | 117,720 | |
Expeditors International of Washington Inc. | 2,943,662 | 111,889 | |
Flowserve Corp. | 2,031,816 | 109,738 | |
Pall Corp. | 1,580,197 | 104,973 | |
TransDigm Group Inc. | 667,844 | 104,698 | |
L-3 Communications Holdings Inc. | 1,205,804 | 103,386 | |
Textron Inc. | 3,931,463 | 102,415 | |
Rock Tenn Co. Class A | 1,018,537 | 101,731 | |
Masco Corp. | 5,035,643 | 98,145 | |
* | Jacobs Engineering Group Inc. | 1,756,885 | 96,857 |
* | Trimble Navigation Ltd. | 3,620,970 | 94,181 |
* | B/E Aerospace Inc. | 1,478,428 | 93,259 |
JB Hunt Transport Services Inc. | 1,259,921 | 91,017 | |
Fortune Brands Home & Security Inc. | 2,336,658 | 90,522 | |
Vulcan Materials Co. | 1,835,334 | 88,849 |
35
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Ball Corp. | 2,099,804 | 87,226 | |
* | Mettler-Toledo International Inc. | 431,606 | 86,839 |
MeadWestvaco Corp. | 2,491,822 | 84,996 | |
* | Crown Holdings Inc. | 2,031,480 | 83,555 |
* | Quanta Services Inc. | 2,992,125 | 79,172 |
Towers Watson & Co. Class A | 926,433 | 75,912 | |
* | FleetCor Technologies Inc. | 925,571 | 75,249 |
Valspar Corp. | 1,149,828 | 74,359 | |
Donaldson Co. Inc. | 2,069,960 | 73,815 | |
Joy Global Inc. | 1,499,276 | 72,760 | |
Hubbell Inc. Class B | 725,953 | 71,869 | |
Xylem Inc. | 2,615,651 | 70,466 | |
Wabtec Corp. | 1,289,599 | 68,903 | |
* | Flextronics International Ltd. | 8,893,714 | 68,837 |
Timken Co. | 1,215,317 | 68,398 | |
KBR Inc. | 2,089,904 | 67,922 | |
Waste Connections Inc. | 1,644,412 | 67,651 | |
Packaging Corp. of America | 1,381,372 | 67,632 | |
Cintas Corp. | 1,480,385 | 67,417 | |
Lincoln Electric Holdings Inc. | 1,169,832 | 66,996 | |
* | United Rentals Inc. | 1,327,366 | 66,249 |
* | Avnet Inc. | 1,960,469 | 65,872 |
AGCO Corp. | 1,311,248 | 65,812 | |
Sealed Air Corp. | 2,745,231 | 65,748 | |
MDU Resources Group Inc. | 2,524,989 | 65,422 | |
* | Owens-Illinois Inc. | 2,316,951 | 64,388 |
Iron Mountain Inc. | 2,413,943 | 64,235 | |
* | Colfax Corp. | 1,221,554 | 63,655 |
Martin Marietta Materials Inc. | 645,931 | 63,573 | |
* | Owens Corning | 1,605,102 | 62,727 |
IDEX Corp. | 1,163,385 | 62,602 | |
Robert Half International Inc. | 1,882,754 | 62,564 | |
Manpowergroup Inc. | 1,104,769 | 60,541 | |
* | Sensata Technologies Holding NV | 1,729,181 | 60,348 |
* | Arrow Electronics Inc. | 1,509,278 | 60,145 |
Total System Services Inc. | 2,392,458 | 58,567 | |
Triumph Group Inc. | 732,941 | 58,012 | |
* | Kirby Corp. | 718,758 | 57,170 |
FLIR Systems Inc. | 2,110,405 | 56,918 | |
Bemis Co. Inc. | 1,453,951 | 56,908 | |
Carlisle Cos. Inc. | 893,743 | 55,689 | |
Jack Henry & Associates Inc. | 1,153,007 | 54,341 | |
Nordson Corp. | 781,876 | 54,192 | |
Graco Inc. | 856,439 | 54,136 | |
Jabil Circuit Inc. | 2,598,429 | 52,956 | |
* | Genesee & Wyoming Inc. Class A | 622,530 | 52,815 |
MSC Industrial Direct Co. Inc. Class A | 680,769 | 52,732 | |
PerkinElmer Inc. | 1,619,497 | 52,634 | |
Gardner Denver Inc. | 691,397 | 51,979 | |
Aptargroup Inc. | 934,874 | 51,614 | |
Global Payments Inc. | 1,109,286 | 51,382 | |
URS Corp. | 1,081,082 | 51,049 | |
* | CoStar Group Inc. | 381,047 | 49,182 |
Sonoco Products Co. | 1,420,635 | 49,111 | |
Babcock & Wilcox Co. | 1,613,860 | 48,464 | |
Valmont Industries Inc. | 337,997 | 48,364 | |
* | Hexcel Corp. | 1,417,301 | 48,259 |
* | Oshkosh Corp. | 1,232,398 | 46,794 |
Broadridge Financial Solutions Inc. | 1,734,248 | 46,096 | |
SPX Corp. | 637,247 | 45,869 | |
Acuity Brands Inc. | 601,604 | 45,433 | |
* | AECOM Technology Corp. | 1,410,745 | 44,848 |
Ryder System Inc. | 728,532 | 44,287 | |
* | NeuStar Inc. Class A | 901,456 | 43,883 |
36
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Kennametal Inc. | 1,123,512 | 43,626 | |
Trinity Industries Inc. | 1,110,385 | 42,683 | |
* | WESCO International Inc. | 616,579 | 41,903 |
* | WEX Inc. | 545,084 | 41,808 |
Lennox International Inc. | 638,515 | 41,210 | |
Crane Co. | 682,288 | 40,883 | |
Genpact Ltd. | 2,114,282 | 40,679 | |
World Fuel Services Corp. | 1,013,277 | 40,511 | |
AO Smith Corp. | 1,110,707 | 40,296 | |
* | Clean Harbors Inc. | 792,360 | 40,038 |
Eagle Materials Inc. | 599,757 | 39,746 | |
FEI Co. | 541,911 | 39,554 | |
* | Terex Corp. | 1,499,463 | 39,436 |
Huntington Ingalls Industries Inc. | 697,725 | 39,408 | |
National Instruments Corp. | 1,388,556 | 38,796 | |
Regal-Beloit Corp. | 598,026 | 38,776 | |
Lender Processing Services Inc. | 1,192,061 | 38,563 | |
* | Teledyne Technologies Inc. | 495,422 | 38,321 |
ITT Corp. | 1,297,916 | 38,172 | |
EMCOR Group Inc. | 934,056 | 37,969 | |
* | Old Dominion Freight Line Inc. | 908,195 | 37,799 |
Alliant Techsystems Inc. | 458,389 | 37,739 | |
Toro Co. | 824,593 | 37,445 | |
Macquarie Infrastructure Co. LLC | 697,132 | 37,262 | |
EnerSys Inc. | 756,715 | 37,109 | |
CLARCOR Inc. | 704,074 | 36,760 | |
Exelis Inc. | 2,633,648 | 36,318 | |
* | Spirit Aerosystems Holdings Inc. Class A | 1,679,640 | 36,079 |
MAXIMUS Inc. | 478,381 | 35,630 | |
^ | RR Donnelley & Sons Co. | 2,530,099 | 35,447 |
Woodward Inc. | 864,730 | 34,589 | |
Landstar System Inc. | 653,205 | 33,640 | |
Manitowoc Co. Inc. | 1,874,286 | 33,568 | |
Covanta Holding Corp. | 1,663,526 | 33,304 | |
* | Vantiv Inc. Class A | 1,190,893 | 32,869 |
* | Foster Wheeler AG | 1,500,055 | 32,566 |
Actuant Corp. Class A | 971,230 | 32,021 | |
Watsco Inc. | 376,418 | 31,604 | |
* | Esterline Technologies Corp. | 433,826 | 31,361 |
GATX Corp. | 657,749 | 31,197 | |
* | Zebra Technologies Corp. | 717,263 | 31,158 |
Belden Inc. | 621,357 | 31,024 | |
Con-way Inc. | 786,325 | 30,635 | |
Generac Holdings Inc. | 825,984 | 30,570 | |
* | CoreLogic Inc. | 1,307,465 | 30,294 |
Molex Inc. Class A | 1,207,791 | 30,026 | |
* | Moog Inc. Class A | 581,249 | 29,952 |
Corporate Executive Board Co. | 473,136 | 29,912 | |
* | Anixter International Inc. | 392,461 | 29,752 |
* | USG Corp. | 1,287,396 | 29,675 |
Silgan Holdings Inc. | 626,540 | 29,422 | |
Air Lease Corp. Class A | 1,051,517 | 29,011 | |
* | Louisiana-Pacific Corp. | 1,941,901 | 28,721 |
* | MasTec Inc. | 864,686 | 28,448 |
^ | IPG Photonics Corp. | 468,030 | 28,423 |
* | DigitalGlobe Inc. | 883,514 | 27,398 |
* | Advisory Board Co. | 487,851 | 26,661 |
* | Vishay Intertechnology Inc. | 1,905,380 | 26,466 |
Harsco Corp. | 1,130,850 | 26,224 | |
Cognex Corp. | 571,312 | 25,835 | |
Applied Industrial Technologies Inc. | 530,253 | 25,627 | |
Deluxe Corp. | 715,913 | 24,806 | |
Littelfuse Inc. | 330,961 | 24,693 | |
*,^ | Coinstar Inc. | 413,280 | 24,247 |
37
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
UTi Worldwide Inc. | 1,467,608 | 24,172 | |
TAL International Group Inc. | 550,385 | 23,980 | |
Convergys Corp. | 1,344,666 | 23,438 | |
* | Itron Inc. | 549,313 | 23,307 |
* | Graphic Packaging Holding Co. | 2,946,588 | 22,807 |
Greif Inc. Class A | 427,033 | 22,492 | |
Molex Inc. | 759,318 | 22,278 | |
Curtiss-Wright Corp. | 589,292 | 21,839 | |
* | Navistar International Corp. | 779,258 | 21,632 |
General Cable Corp. | 703,417 | 21,630 | |
*,^ | VistaPrint NV | 428,036 | 21,132 |
* | Euronet Worldwide Inc. | 660,776 | 21,052 |
* | Tetra Tech Inc. | 894,089 | 21,020 |
* | MWI Veterinary Supply Inc. | 170,045 | 20,956 |
Brady Corp. Class A | 679,389 | 20,878 | |
Mine Safety Appliances Co. | 440,759 | 20,517 | |
Mueller Industries Inc. | 399,016 | 20,122 | |
Heartland Payment Systems Inc. | 538,720 | 20,067 | |
* | Swift Transportation Co. | 1,209,522 | 20,006 |
* | Veeco Instruments Inc. | 552,950 | 19,586 |
Barnes Group Inc. | 645,915 | 19,371 | |
*,^ | Texas Industries Inc. | 296,392 | 19,307 |
* | FTI Consulting Inc. | 583,929 | 19,205 |
UniFirst Corp. | 209,767 | 19,141 | |
HEICO Corp. Class A | 513,717 | 18,961 | |
* | Hub Group Inc. Class A | 520,390 | 18,953 |
Franklin Electric Co. Inc. | 561,869 | 18,907 | |
* | Mobile Mini Inc. | 566,356 | 18,775 |
ABM Industries Inc. | 761,894 | 18,674 | |
Coherent Inc. | 337,038 | 18,561 | |
* | Trimas Corp. | 492,449 | 18,359 |
United Stationers Inc. | 540,394 | 18,130 | |
* | Armstrong World Industries Inc. | 373,770 | 17,862 |
Watts Water Technologies Inc. Class A | 386,659 | 17,531 | |
* | Cardtronics Inc. | 632,426 | 17,455 |
* | Berry Plastics Group Inc. | 790,540 | 17,447 |
Brink's Co. | 671,420 | 17,128 | |
* | OSI Systems Inc. | 265,586 | 17,109 |
Simpson Manufacturing Co. Inc. | 580,072 | 17,066 | |
* | On Assignment Inc. | 619,532 | 16,554 |
*,^ | Universal Display Corp. | 587,770 | 16,522 |
* | RBC Bearings Inc. | 316,664 | 16,451 |
* | Sanmina Corp. | 1,139,258 | 16,348 |
* | Proto Labs Inc. | 250,622 | 16,283 |
* | Atlas Air Worldwide Holdings Inc. | 371,921 | 16,275 |
* | PHH Corp. | 794,418 | 16,190 |
* | Benchmark Electronics Inc. | 781,982 | 15,718 |
Forward Air Corp. | 410,048 | 15,697 | |
Aircastle Ltd. | 975,319 | 15,595 | |
Acacia Research Corp. | 697,026 | 15,579 | |
Granite Construction Inc. | 513,905 | 15,294 | |
Mueller Water Products Inc. Class A | 2,187,625 | 15,117 | |
Matson Inc. | 593,997 | 14,850 | |
* | Huron Consulting Group Inc. | 320,956 | 14,841 |
Werner Enterprises Inc. | 611,394 | 14,777 | |
* | EnPro Industries Inc. | 288,777 | 14,658 |
* | Orbital Sciences Corp. | 839,216 | 14,577 |
* | Plexus Corp. | 487,477 | 14,571 |
Raven Industries Inc. | 485,391 | 14,552 | |
Knight Transportation Inc. | 841,064 | 14,147 | |
Otter Tail Corp. | 494,595 | 14,047 | |
Cubic Corp. | 285,837 | 13,749 | |
AZZ Inc. | 352,703 | 13,600 | |
Lindsay Corp. | 176,274 | 13,217 |
38
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Albany International Corp. | 398,153 | 13,131 | |
* | ExlService Holdings Inc. | 440,103 | 13,009 |
^ | Sturm Ruger & Co. Inc. | 266,882 | 12,821 |
G&K Services Inc. Class A | 267,380 | 12,727 | |
* | Korn/Ferry International | 674,865 | 12,647 |
Kaman Corp. | 365,527 | 12,633 | |
MTS Systems Corp. | 219,672 | 12,433 | |
Kaydon Corp. | 450,033 | 12,398 | |
* | Aegion Corp. Class A | 547,358 | 12,321 |
AAR Corp. | 552,618 | 12,147 | |
CIRCOR International Inc. | 238,572 | 12,134 | |
Tennant Co. | 251,349 | 12,133 | |
ESCO Technologies Inc. | 374,124 | 12,114 | |
* | II-VI Inc. | 741,745 | 12,061 |
* | TrueBlue Inc. | 570,169 | 12,002 |
*,^ | GrafTech International Ltd. | 1,640,581 | 11,943 |
*,^ | SunPower Corp. Class A | 571,453 | 11,829 |
*,^ | GenCorp Inc. | 721,175 | 11,726 |
Allison Transmission Holdings Inc. | 506,074 | 11,680 | |
* | WageWorks Inc. | 333,041 | 11,473 |
McGrath RentCorp | 331,423 | 11,321 | |
Textainer Group Holdings Ltd. | 291,031 | 11,187 | |
* | Wesco Aircraft Holdings Inc. | 594,055 | 11,032 |
* | Rogers Corp. | 232,041 | 10,980 |
* | Greatbatch Inc. | 331,383 | 10,866 |
Exponent Inc. | 181,615 | 10,735 | |
* | Imperva Inc. | 235,897 | 10,625 |
* | Trex Co. Inc. | 218,132 | 10,359 |
Universal Forest Products Inc. | 259,246 | 10,349 | |
Altra Holdings Inc. | 376,872 | 10,319 | |
* | Power-One Inc. | 1,625,233 | 10,271 |
Booz Allen Hamilton Holding Corp. | 580,720 | 10,093 | |
* | Saia Inc. | 334,825 | 10,035 |
* | Team Inc. | 264,943 | 10,028 |
Heartland Express Inc. | 713,764 | 9,900 | |
Insperity Inc. | 326,129 | 9,882 | |
* | Rofin-Sinar Technologies Inc. | 391,901 | 9,774 |
* | Wabash National Corp. | 952,958 | 9,701 |
* | Meritor Inc. | 1,352,838 | 9,538 |
Apogee Enterprises Inc. | 394,570 | 9,470 | |
* | Measurement Specialties Inc. | 201,938 | 9,396 |
* | LifeLock Inc. | 802,250 | 9,394 |
Standex International Corp. | 176,830 | 9,328 | |
* | Rexnord Corp. | 551,772 | 9,297 |
Primoris Services Corp. | 468,081 | 9,231 | |
* | AMN Healthcare Services Inc. | 640,266 | 9,169 |
Astec Industries Inc. | 266,024 | 9,122 | |
* | DXP Enterprises Inc. | 136,621 | 9,099 |
* | Smith & Wesson Holding Corp. | 911,560 | 9,097 |
* | ExamWorks Group Inc. | 428,367 | 9,094 |
Sun Hydraulics Corp. | 290,060 | 9,073 | |
* | Tutor Perini Corp. | 496,752 | 8,986 |
* | Greenbrier Cos. Inc. | 362,113 | 8,825 |
Encore Wire Corp. | 258,616 | 8,819 | |
H&E Equipment Services Inc. | 415,881 | 8,763 | |
* | Headwaters Inc. | 990,724 | 8,758 |
ManTech International Corp.Class A | 331,632 | 8,662 | |
Methode Electronics Inc. | 508,184 | 8,644 | |
Quanex Building Products Corp. | 509,522 | 8,580 | |
* | Navigant Consulting Inc. | 712,728 | 8,553 |
* | Sykes Enterprises Inc. | 541,132 | 8,528 |
AAON Inc. | 256,026 | 8,469 | |
AVX Corp. | 716,367 | 8,417 | |
* | ICF International Inc. | 266,680 | 8,403 |
39
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
John Bean Technologies Corp. | 397,540 | 8,352 | |
Quad/Graphics Inc. | 346,329 | 8,347 | |
Badger Meter Inc. | 186,559 | 8,311 | |
* | TeleTech Holdings Inc. | 343,034 | 8,037 |
* | FARO Technologies Inc. | 236,437 | 7,996 |
Griffon Corp. | 710,056 | 7,988 | |
* | Monster Worldwide Inc. | 1,612,266 | 7,916 |
* | Roadrunner Transportation Systems Inc. | 281,783 | 7,845 |
Schnitzer Steel Industries Inc. | 335,471 | 7,843 | |
Materion Corp. | 284,899 | 7,718 | |
Arkansas Best Corp. | 334,334 | 7,673 | |
Comfort Systems USA Inc. | 508,199 | 7,582 | |
* | Thermon Group Holdings Inc. | 370,881 | 7,566 |
* | Checkpoint Systems Inc. | 524,831 | 7,447 |
* | Federal Signal Corp. | 851,021 | 7,446 |
* | EVERTEC Inc. | 336,961 | 7,403 |
* | Nortek Inc. | 113,547 | 7,316 |
* | Newport Corp. | 524,298 | 7,303 |
Gorman-Rupp Co. | 228,477 | 7,275 | |
US Ecology Inc. | 263,569 | 7,232 | |
* | Era Group Inc. | 271,017 | 7,087 |
Hyster-Yale Materials Handling Inc. | 112,208 | 7,046 | |
Resources Connection Inc. | 604,877 | 7,017 | |
* | ServiceSource International Inc. | 744,393 | 6,938 |
Kelly Services Inc. Class A | 389,910 | 6,812 | |
Viad Corp. | 276,693 | 6,785 | |
Myers Industries Inc. | 451,291 | 6,774 | |
* | Powell Industries Inc. | 129,551 | 6,691 |
* | Fabrinet | 476,082 | 6,665 |
American Science & Engineering Inc. | 115,773 | 6,483 | |
Park Electrochemical Corp. | 269,225 | 6,464 | |
Landauer Inc. | 132,712 | 6,411 | |
*,^ | Engility Holdings Inc. | 223,549 | 6,353 |
Cass Information Systems Inc. | 136,587 | 6,297 | |
* | GP Strategies Corp. | 259,362 | 6,178 |
Ennis Inc. | 353,798 | 6,117 | |
*,^ | Nuverra Environmental Solutions Inc. | 2,104,518 | 6,103 |
* | TTM Technologies Inc. | 726,517 | 6,103 |
CTS Corp. | 447,369 | 6,102 | |
* | Taser International Inc. | 715,376 | 6,095 |
* | InnerWorkings Inc. | 558,761 | 6,063 |
Kforce Inc. | 414,472 | 6,051 | |
* | Gibraltar Industries Inc. | 414,721 | 6,038 |
* | RPX Corp. | 356,319 | 5,986 |
Great Lakes Dredge & Dock Corp. | 762,649 | 5,964 | |
* | Global Cash Access Holdings Inc. | 942,036 | 5,897 |
Black Box Corp. | 230,662 | 5,840 | |
* | Dice Holdings Inc. | 633,039 | 5,830 |
LB Foster Co. Class A | 134,910 | 5,824 | |
*,^ | Bazaarvoice Inc. | 616,307 | 5,806 |
* | Consolidated Graphics Inc. | 121,423 | 5,708 |
Celadon Group Inc. | 312,632 | 5,706 | |
* | MYR Group Inc. | 290,163 | 5,644 |
HEICO Corp. | 110,477 | 5,565 | |
* | CAI International Inc. | 234,949 | 5,538 |
Daktronics Inc. | 534,121 | 5,480 | |
Barrett Business Services Inc. | 104,726 | 5,468 | |
* | American Woodmark Corp. | 156,123 | 5,417 |
* | Columbus McKinnon Corp. | 253,596 | 5,407 |
Marten Transport Ltd. | 337,077 | 5,282 | |
* | Layne Christensen Co. | 269,178 | 5,252 |
*,^ | ExOne Co. | 84,850 | 5,237 |
Multi-Color Corp. | 172,066 | 5,221 | |
* | Builders FirstSource Inc. | 862,284 | 5,156 |
40
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | ADA-ES Inc. | 122,117 | 5,144 |
*,^ | Capstone Turbine Corp. | 4,365,271 | 5,107 |
* | Astronics Corp. | 123,449 | 5,045 |
* | Aerovironment Inc. | 244,699 | 4,938 |
Kadant Inc. | 163,131 | 4,922 | |
* | Air Transport Services Group Inc. | 736,008 | 4,865 |
* | AEP Industries Inc. | 65,019 | 4,837 |
*,^ | Taminco Corp. | 231,611 | 4,723 |
* | Higher One Holdings Inc. | 402,777 | 4,688 |
* | Boise Cascade Co. | 184,212 | 4,681 |
* | Landec Corp. | 353,169 | 4,665 |
Pike Electric Corp. | 373,723 | 4,597 | |
*,^ | AM Castle & Co. | 291,065 | 4,587 |
Alamo Group Inc. | 109,582 | 4,473 | |
* | Orion Marine Group Inc. | 368,320 | 4,453 |
Insteel Industries Inc. | 251,874 | 4,413 | |
* | Kratos Defense & Security Solutions Inc. | 680,260 | 4,408 |
American Railcar Industries Inc. | 131,084 | 4,393 | |
* | EnerNOC Inc. | 323,030 | 4,283 |
Electro Scientific Industries Inc. | 395,598 | 4,257 | |
*,^ | XPO Logistics Inc. | 231,910 | 4,195 |
Electro Rent Corp. | 243,802 | 4,093 | |
Graham Corp. | 134,795 | 4,048 | |
* | Mistras Group Inc. | 228,940 | 4,025 |
NACCO Industries Inc. Class A | 69,444 | 3,978 | |
* | Echo Global Logistics Inc. | 204,015 | 3,976 |
* | NCI Building Systems Inc. | 259,604 | 3,969 |
* | Anaren Inc. | 172,550 | 3,958 |
Douglas Dynamics Inc. | 298,848 | 3,879 | |
Heidrick & Struggles International Inc. | 231,822 | 3,876 | |
* | CBIZ Inc. | 576,635 | 3,869 |
Kimball International Inc. Class B | 395,582 | 3,841 | |
Global Power Equipment Group Inc. | 232,101 | 3,741 | |
* | Park-Ohio Holdings Corp. | 109,469 | 3,610 |
* | Lydall Inc. | 244,672 | 3,572 |
* | Northwest Pipe Co. | 126,780 | 3,537 |
* | Zygo Corp. | 221,856 | 3,508 |
*,^ | YRC Worldwide Inc. | 121,838 | 3,503 |
* | PGT Inc. | 403,639 | 3,500 |
* | PowerSecure International Inc. | 232,618 | 3,496 |
* | Flow International Corp. | 933,714 | 3,445 |
NN Inc. | 300,535 | 3,429 | |
* | Rentrak Corp. | 170,345 | 3,419 |
* | Furmanite Corp. | 510,654 | 3,416 |
Houston Wire & Cable Co. | 244,902 | 3,389 | |
Twin Disc Inc. | 135,408 | 3,209 | |
* | Quality Distribution Inc. | 362,770 | 3,207 |
* | GSI Group Inc. | 398,033 | 3,200 |
* | NVE Corp. | 68,053 | 3,186 |
Universal Technical Institute Inc. | 303,274 | 3,133 | |
Michael Baker Corp. | 113,650 | 3,081 | |
* | Ducommun Inc. | 143,869 | 3,059 |
Met-Pro Corp. | 227,409 | 3,056 | |
Dynamic Materials Corp. | 183,920 | 3,037 | |
* | Pacer International Inc. | 471,903 | 2,978 |
* | Accuride Corp. | 581,553 | 2,943 |
FreightCar America Inc. | 167,030 | 2,838 | |
*,^ | Odyssey Marine Exploration Inc. | 937,979 | 2,776 |
* | Maxwell Technologies Inc. | 388,058 | 2,775 |
* | Patriot Transportation Holding Inc. | 87,538 | 2,630 |
CDI Corp. | 183,472 | 2,598 | |
* | Commercial Vehicle Group Inc. | 346,972 | 2,588 |
Spartan Motors Inc. | 422,257 | 2,584 | |
* | CRA International Inc. | 139,348 | 2,574 |
41
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Franklin Covey Co. | 185,385 | 2,495 |
* | Kemet Corp. | 605,993 | 2,491 |
* | Vishay Precision Group Inc. | 162,191 | 2,456 |
* | Lionbridge Technologies Inc. | 827,322 | 2,399 |
Miller Industries Inc. | 149,815 | 2,304 | |
Richardson Electronics Ltd. | 193,571 | 2,273 | |
Hurco Cos. Inc. | 78,616 | 2,262 | |
Hardinge Inc. | 152,003 | 2,247 | |
* | ARC Document Solutions Inc. | 556,358 | 2,225 |
* | LMI Aerospace Inc. | 118,116 | 2,214 |
* | Energy Recovery Inc. | 530,162 | 2,190 |
* | Multi-Fineline Electronix Inc. | 147,819 | 2,189 |
* | M/A-COM Technology Solutions Holdings Inc. | 149,359 | 2,181 |
LSI Industries Inc. | 265,399 | 2,147 | |
* | Ameresco Inc. Class A | 235,147 | 2,119 |
* | Casella Waste Systems Inc. Class A | 484,517 | 2,088 |
* | Heritage-Crystal Clean Inc. | 142,796 | 2,086 |
* | PRGX Global Inc. | 370,887 | 2,036 |
* | Aeroflex Holding Corp. | 254,629 | 2,009 |
VSE Corp. | 48,700 | 2,000 | |
* | Universal Truckload Services Inc. | 82,332 | 1,985 |
*,^ | Rubicon Technology Inc. | 244,664 | 1,960 |
* | ModusLink Global Solutions Inc. | 610,788 | 1,942 |
* | Tecumseh Products Co. Class A | 176,201 | 1,926 |
* | Sterling Construction Co. Inc. | 211,232 | 1,914 |
*,^ | US Concrete Inc. | 116,262 | 1,909 |
International Shipholding Corp. | 81,256 | 1,896 | |
Bel Fuse Inc. Class B | 139,941 | 1,882 | |
* | Cross Country Healthcare Inc. | 364,289 | 1,880 |
Coleman Cable Inc. | 102,566 | 1,852 | |
* | Astronics Corp. Class B | 45,070 | 1,832 |
* | Intevac Inc. | 318,610 | 1,803 |
* | Xerium Technologies Inc. | 171,754 | 1,748 |
*,^ | Sparton Corp. | 100,312 | 1,729 |
* | National Research Corp. Class A | 94,995 | 1,710 |
* | Vicor Corp. | 243,289 | 1,667 |
* | Cenveo Inc. | 768,670 | 1,637 |
*,^ | American Superconductor Corp. | 602,395 | 1,590 |
* | United States Lime & Minerals Inc. | 30,170 | 1,576 |
* | PMFG Inc. | 225,410 | 1,560 |
Argan Inc. | 99,255 | 1,548 | |
^ | Innovative Solutions & Support Inc. | 238,921 | 1,529 |
* | TRC Cos. Inc. | 217,977 | 1,526 |
* | UFP Technologies Inc. | 75,839 | 1,485 |
Lincoln Educational Services Corp. | 277,693 | 1,463 | |
* | Manitex International Inc. | 131,167 | 1,436 |
* | Willis Lease Finance Corp. | 105,689 | 1,428 |
Ceco Environmental Corp. | 113,293 | 1,394 | |
*,^ | Swisher Hygiene Inc. | 1,539,917 | 1,324 |
* | Covenant Transportation Group Inc. Class A | 208,915 | 1,304 |
* | Patrick Industries Inc. | 62,068 | 1,290 |
* | BlueLinx Holdings Inc. | 597,002 | 1,284 |
* | Official Payments Holdings Inc. Class B | 182,985 | 1,253 |
Crawford & Co. Class B | 219,104 | 1,231 | |
* | Hudson Global Inc. | 453,090 | 1,124 |
* | Orion Energy Systems Inc. | 437,525 | 1,085 |
Eastern Co. | 67,410 | 1,079 | |
* | API Technologies Corp. | 370,751 | 1,038 |
*,^ | Erickson Air-Crane Inc. | 54,024 | 1,016 |
Crawford & Co. Class A | 200,339 | 1,016 | |
* | Hill International Inc. | 363,287 | 995 |
Mesa Laboratories Inc. | 17,788 | 963 | |
*,^ | Research Frontiers Inc. | 238,498 | 949 |
* | Echelon Corp. | 445,959 | 941 |
42
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | CUI Global Inc. | 167,896 | 932 |
* | Magnetek Inc. | 51,674 | 932 |
* | Lawson Products Inc. | 71,807 | 922 |
* | Key Technology Inc. | 64,325 | 922 |
* | Fuel Tech Inc. | 236,561 | 906 |
* | USA Truck Inc. | 139,893 | 901 |
* | Harris Interactive Inc. | 497,732 | 901 |
Perceptron Inc. | 113,982 | 899 | |
* | StarTek Inc. | 185,625 | 878 |
* | Active Power Inc. | 200,570 | 838 |
* | Ultralife Corp. | 233,201 | 830 |
Frequency Electronics Inc. | 77,899 | 830 | |
* | Mfri Inc. | 72,759 | 827 |
*,^ | Parametric Sound Corp. | 49,286 | 801 |
*,^ | Microvision Inc. | 314,342 | 792 |
* | Metalico Inc. | 651,835 | 782 |
* | GSE Holding Inc. | 124,264 | 720 |
*,^ | Eagle Bulk Shipping Inc. | 193,463 | 706 |
* | Hudson Technologies Inc. | 219,888 | 701 |
Hubbell Inc. Class A | 7,600 | 684 | |
* | NAPCO Security Technologies Inc. | 143,058 | 684 |
*,^ | Genco Shipping & Trading Ltd. | 415,389 | 677 |
Omega Flex Inc. | 44,518 | 662 | |
* | CPI Aerostructures Inc. | 60,879 | 661 |
* | Goldfield Corp. | 304,041 | 660 |
* | Planet Payment Inc. | 235,401 | 650 |
* | Dolan Co. | 390,244 | 636 |
PAM Transportation Services Inc. | 61,693 | 627 | |
Espey Manufacturing & Electronics Corp. | 24,066 | 614 | |
* | Newtek Business Services Inc. | 281,373 | 594 |
* | CyberOptics Corp. | 100,886 | 586 |
* | Revolution Lighting Technologies Inc. | 145,394 | 582 |
* | Supreme Industries Inc. Class A | 111,552 | 558 |
^ | National Research Corp. Class B | 15,832 | 553 |
* | SL Industries Inc. | 20,387 | 511 |
* | UQM Technologies Inc. | 401,083 | 481 |
* | Viasystems Group Inc. | 40,770 | 470 |
MOCON Inc. | 34,130 | 462 | |
*,^ | ClearSign Combustion Corp. | 52,710 | 460 |
* | Pfsweb Inc. | 110,737 | 443 |
*,^ | Document Security Systems Inc. | 191,992 | 442 |
* | Broadwind Energy Inc. | 91,517 | 437 |
eMagin Corp. | 120,079 | 428 | |
* | Rand Logistics Inc. | 81,104 | 416 |
* | Sharps Compliance Corp. | 156,325 | 410 |
* | National Technical Systems Inc. | 28,743 | 402 |
Sypris Solutions Inc. | 124,211 | 399 | |
* | AMREP Corp. | 41,386 | 383 |
* | Synthesis Energy Systems Inc. | 441,809 | 343 |
* | Planar Systems Inc. | 202,735 | 330 |
*,^ | Mattersight Corp. | 115,122 | 322 |
* | Ballantyne Strong Inc. | 75,198 | 317 |
* | Information Services Group Inc. | 159,010 | 307 |
* | Frozen Food Express Industries | 185,060 | 298 |
* | Innotrac Corp. | 73,831 | 289 |
* | Essex Rental Corp. | 61,577 | 266 |
* | Adept Technology Inc. | 65,545 | 255 |
* | Perma-Fix Environmental Services | 666,988 | 240 |
* | Wireless Telecom Group Inc. | 141,368 | 204 |
*,^ | American DG Energy Inc. | 150,093 | 197 |
* | Video Display Corp. | 48,546 | 192 |
* | Vertex Energy Inc. | 53,825 | 159 |
* | Standard Register Co. | 52,428 | 151 |
Bel Fuse Inc. Class A | 10,580 | 147 |
43
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Pulse Electronics Corp. | 43,272 | 113 |
*,^ | Altair Nanotechnologies Inc. | 45,918 | 102 |
* | Arotech Corp. | 63,553 | 95 |
* | Professional Diversity Network | 23,996 | 94 |
* | Lightpath Technologies Inc. Class A | 75,800 | 94 |
* | IEC Electronics Corp. | 26,521 | 93 |
* | Micronet Enertec Technologies Inc. | 19,850 | 90 |
* | Management Network Group Inc. | 29,028 | 88 |
* | Transcat Inc. | 12,972 | 88 |
* | Coast Distribution System | 22,532 | 79 |
* | Lime Energy Co. | 117,752 | 78 |
Providence and Worcester Railroad Co. | 4,696 | 72 | |
* | BTU International Inc. | 26,703 | 64 |
* | Iteris Inc. | 34,440 | 62 |
* | Continental Materials Corp. | 3,313 | 50 |
* | Integrated Electrical Services Inc. | 5,114 | 23 |
* | Industrial Services of America Inc. | 5,905 | 15 |
* | Wells-Gardner Electronics Corp. | 6,500 | 12 |
* | ENGlobal Corp. | 8,357 | 8 |
* | Gencor Industries Inc. | 800 | 6 |
* | AeroCentury Corp. | 272 | 5 |
Electro-Sensors Inc. | 1,100 | 5 | |
Art's-Way Manufacturing Co. Inc. | 600 | 4 | |
* | LGL Group Inc. | 600 | 4 |
* | Lightbridge Corp. | 2,245 | 4 |
* | Sevcon Inc. | 400 | 2 |
* | Breeze-Eastern Corp. | 197 | 2 |
Servotronics Inc. | 200 | 2 | |
* | Versar Inc. | 300 | 1 |
* | Taylor Devices Inc. | 100 | 1 |
* | ZBB Energy Corp. | 3,100 | 1 |
* | Orbit International Corp. | 200 | 1 |
* | Luna Innovations Inc. | 500 | 1 |
* | Command Security Corp. | 400 | 1 |
* | Onvia Inc. | 100 | — |
32,650,181 | |||
Oil & Gas (9.5%) | |||
Exxon Mobil Corp. | 63,133,173 | 5,704,082 | |
Chevron Corp. | 27,536,123 | 3,258,625 | |
Schlumberger Ltd. | 18,874,184 | 1,352,524 | |
ConocoPhillips | 17,358,644 | 1,050,198 | |
Occidental Petroleum Corp. | 11,438,796 | 1,020,684 | |
Anadarko Petroleum Corp. | 7,120,136 | 611,833 | |
Halliburton Co. | 12,569,079 | 524,382 | |
Phillips 66 | 8,800,600 | 518,443 | |
EOG Resources Inc. | 3,867,110 | 509,221 | |
Apache Corp. | 5,561,361 | 466,209 | |
National Oilwell Varco Inc. | 6,072,903 | 418,423 | |
Kinder Morgan Inc. | 9,567,719 | 365,008 | |
Marathon Oil Corp. | 10,064,547 | 348,032 | |
Marathon Petroleum Corp. | 4,615,878 | 328,004 | |
Williams Cos. Inc. | 9,693,246 | 314,740 | |
Noble Energy Inc. | 5,089,811 | 305,592 | |
Baker Hughes Inc. | 6,264,336 | 288,974 | |
Devon Energy Corp. | 5,475,513 | 284,070 | |
Pioneer Natural Resources Co. | 1,940,946 | 280,952 | |
Hess Corp. | 4,147,517 | 275,768 | |
Valero Energy Corp. | 7,750,766 | 269,494 | |
* | Cameron International Corp. | 3,514,854 | 214,968 |
Cabot Oil & Gas Corp. | 2,990,620 | 212,394 | |
Ensco plc Class A | 3,299,946 | 191,793 | |
* | FMC Technologies Inc. | 3,361,759 | 187,183 |
* | Southwestern Energy Co. | 4,985,519 | 182,121 |
Chesapeake Energy Corp. | 8,524,967 | 173,739 |
44
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Range Resources Corp. | 2,194,992 | 169,717 | |
Murphy Oil Corp. | 2,577,529 | 156,946 | |
EQT Corp. | 1,920,022 | 152,392 | |
Noble Corp. | 3,584,927 | 134,722 | |
* | Weatherford International Ltd. | 9,795,443 | 134,198 |
* | Concho Resources Inc. | 1,488,388 | 124,608 |
HollyFrontier Corp. | 2,871,659 | 122,850 | |
* | Kinder Morgan Management LLC | 1,407,643 | 117,665 |
Oceaneering International Inc. | 1,528,229 | 110,338 | |
Tesoro Corp. | 1,947,607 | 101,899 | |
Core Laboratories NV | 658,230 | 99,827 | |
* | Cobalt International Energy Inc. | 3,731,603 | 99,149 |
OGE Energy Corp. | 1,398,922 | 95,406 | |
* | Denbury Resources Inc. | 5,347,317 | 92,616 |
Helmerich & Payne Inc. | 1,432,920 | 89,486 | |
* | Cheniere Energy Inc. | 3,065,556 | 85,100 |
* | Whiting Petroleum Corp. | 1,696,117 | 78,174 |
Cimarex Energy Co. | 1,165,479 | 75,744 | |
* | Oil States International Inc. | 773,340 | 71,642 |
QEP Resources Inc. | 2,527,748 | 70,221 | |
Diamond Offshore Drilling Inc. | 978,006 | 67,277 | |
* | Dresser-Rand Group Inc. | 1,067,965 | 64,057 |
Nabors Industries Ltd. | 3,932,790 | 60,211 | |
* | Rowan Cos. plc Class A | 1,747,290 | 59,530 |
* | Superior Energy Services Inc. | 2,240,911 | 58,129 |
* | Continental Resources Inc. | 655,584 | 56,420 |
SM Energy Co. | 929,630 | 55,759 | |
* | WPX Energy Inc. | 2,824,329 | 53,493 |
Energen Corp. | 1,014,517 | 53,019 | |
* | Gulfport Energy Corp. | 1,087,637 | 51,195 |
* | Dril-Quip Inc. | 512,806 | 46,301 |
* | Newfield Exploration Co. | 1,900,901 | 45,413 |
* | Atwood Oceanics Inc. | 841,388 | 43,794 |
* | Oasis Petroleum Inc. | 1,123,327 | 43,664 |
* | First Solar Inc. | 955,899 | 42,757 |
Lufkin Industries Inc. | 472,851 | 41,833 | |
*,^ | Ultra Petroleum Corp. | 2,071,923 | 41,066 |
Patterson-UTI Energy Inc. | 2,103,035 | 40,704 | |
Tidewater Inc. | 699,643 | 39,859 | |
* | Chart Industries Inc. | 421,493 | 39,658 |
* | MRC Global Inc. | 1,372,960 | 37,921 |
* | Rosetta Resources Inc. | 855,196 | 36,363 |
Targa Resources Corp. | 541,398 | 34,828 | |
Bristow Group Inc. | 505,506 | 33,020 | |
* | Kodiak Oil & Gas Corp. | 3,704,741 | 32,935 |
* | Helix Energy Solutions Group Inc. | 1,404,336 | 32,356 |
SemGroup Corp. Class A | 589,547 | 31,753 | |
*,^ | SandRidge Energy Inc. | 6,253,340 | 29,766 |
* | Unit Corp. | 693,414 | 29,526 |
Berry Petroleum Co. Class A | 661,552 | 27,997 | |
* | McDermott International Inc. | 3,310,503 | 27,080 |
* | Hornbeck Offshore Services Inc. | 474,218 | 25,371 |
Energy XXI Bermuda Ltd. | 1,064,790 | 23,617 | |
* | Exterran Holdings Inc. | 824,457 | 23,184 |
Western Refining Inc. | 798,014 | 22,400 | |
* | PDC Energy Inc. | 423,921 | 21,823 |
SEACOR Holdings Inc. | 262,664 | 21,814 | |
* | Forum Energy Technologies Inc. | 653,574 | 19,888 |
^ | CARBO Ceramics Inc. | 291,809 | 19,677 |
Gulfmark Offshore Inc. | 337,923 | 15,237 | |
* | Carrizo Oil & Gas Inc. | 527,439 | 14,942 |
*,^ | Halcon Resources Corp. | 2,556,894 | 14,498 |
^ | PBF Energy Inc. Class A | 559,245 | 14,484 |
* | Stone Energy Corp. | 655,625 | 14,443 |
45
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Delek US Holdings Inc. | 494,838 | 14,241 | |
^ | EXCO Resources Inc. | 1,825,327 | 13,946 |
* | Bonanza Creek Energy Inc. | 391,161 | 13,871 |
* | EPL Oil & Gas Inc. | 471,022 | 13,829 |
*,^ | Bill Barrett Corp. | 671,317 | 13,574 |
* | Hercules Offshore Inc. | 1,878,634 | 13,226 |
* | Newpark Resources Inc. | 1,202,179 | 13,212 |
* | C&J Energy Services Inc. | 667,768 | 12,935 |
^ | RPC Inc. | 918,158 | 12,680 |
* | Geospace Technologies Corp. | 178,681 | 12,343 |
* | Approach Resources Inc. | 483,355 | 11,876 |
* | Key Energy Services Inc. | 1,988,962 | 11,834 |
CVR Energy Inc. | 249,196 | 11,812 | |
* | Flotek Industries Inc. | 647,146 | 11,610 |
* | Northern Oil and Gas Inc. | 839,861 | 11,204 |
* | TETRA Technologies Inc. | 1,087,374 | 11,156 |
* | Laredo Petroleum Holdings Inc. | 535,967 | 11,019 |
Crosstex Energy Inc. | 556,040 | 10,987 | |
* | Rex Energy Corp. | 620,741 | 10,913 |
* | ION Geophysical Corp. | 1,737,024 | 10,457 |
Comstock Resources Inc. | 637,142 | 10,022 | |
* | Diamondback Energy Inc. | 298,848 | 9,958 |
*,^ | Sanchez Energy Corp. | 359,981 | 8,265 |
*,^ | Magnum Hunter Resources Corp. | 2,241,195 | 8,180 |
* | Parker Drilling Co. | 1,615,433 | 8,045 |
* | Resolute Energy Corp. | 977,133 | 7,798 |
* | Matador Resources Co. | 623,994 | 7,475 |
W&T Offshore Inc. | 519,687 | 7,426 | |
* | Swift Energy Co. | 588,332 | 7,054 |
*,^ | GT Advanced Technologies Inc. | 1,619,021 | 6,719 |
* | Forest Oil Corp. | 1,627,719 | 6,657 |
Contango Oil & Gas Co. | 190,279 | 6,422 | |
* | Basic Energy Services Inc. | 502,806 | 6,079 |
* | Tesco Corp. | 447,634 | 5,931 |
* | PHI Inc. | 170,985 | 5,865 |
* | Pioneer Energy Services Corp. | 845,541 | 5,597 |
* | Matrix Service Co. | 353,765 | 5,512 |
* | Renewable Energy Group Inc. | 363,596 | 5,174 |
*,^ | Solazyme Inc. | 412,960 | 4,840 |
*,^ | Vantage Drilling Co. | 2,362,212 | 4,819 |
*,^ | Goodrich Petroleum Corp. | 373,511 | 4,781 |
* | Green Plains Renewable Energy Inc. | 342,473 | 4,562 |
* | Vaalco Energy Inc. | 768,970 | 4,399 |
* | Triangle Petroleum Corp. | 620,772 | 4,352 |
* | Dawson Geophysical Co. | 109,392 | 4,032 |
* | Natural Gas Services Group Inc. | 163,321 | 3,836 |
Alon USA Energy Inc. | 256,170 | 3,704 | |
* | Clayton Williams Energy Inc. | 83,831 | 3,647 |
* | Penn Virginia Corp. | 733,338 | 3,447 |
* | Willbros Group Inc. | 560,916 | 3,444 |
Gulf Island Fabrication Inc. | 174,920 | 3,350 | |
* | Emerald Oil Inc. | 454,731 | 3,119 |
* | PetroQuest Energy Inc. | 786,176 | 3,113 |
* | REX American Resources Corp. | 107,907 | 3,104 |
Panhandle Oil and Gas Inc. Class A | 103,237 | 2,942 | |
*,^ | TherapeuticsMD Inc. | 931,064 | 2,821 |
Bolt Technology Corp. | 164,548 | 2,810 | |
* | Mitcham Industries Inc. | 164,895 | 2,767 |
* | FuelCell Energy Inc. | 2,084,167 | 2,647 |
* | Quicksilver Resources Inc. | 1,509,150 | 2,535 |
* | Warren Resources Inc. | 977,540 | 2,493 |
*,^ | Cal Dive International Inc. | 1,288,184 | 2,422 |
* | Midstates Petroleum Co. Inc. | 446,852 | 2,417 |
*,^ | BPZ Resources Inc. | 1,292,236 | 2,313 |
46
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | KiOR Inc. | 404,308 | 2,309 |
* | Abraxas Petroleum Corp. | 1,099,156 | 2,308 |
* | FX Energy Inc. | 698,652 | 2,243 |
* | Arabian American Development Co. | 253,398 | 2,205 |
* | Evolution Petroleum Corp. | 199,069 | 2,172 |
*,^ | Endeavour International Corp. | 561,417 | 2,156 |
* | Gastar Exploration Ltd. | 787,274 | 2,102 |
* | Callon Petroleum Co. | 586,084 | 1,975 |
Adams Resources & Energy Inc. | 25,851 | 1,781 | |
TGC Industries Inc. | 208,507 | 1,714 | |
*,^ | Amyris Inc. | 523,198 | 1,512 |
*,^ | Miller Energy Resources Inc. | 376,566 | 1,506 |
* | Crimson Exploration Inc. | 528,252 | 1,490 |
* | Harvest Natural Resources Inc. | 479,497 | 1,486 |
* | Global Geophysical Services Inc. | 292,618 | 1,381 |
* | Edgen Group Inc. | 214,587 | 1,369 |
* | Isramco Inc. | 12,720 | 1,185 |
*,^ | Enphase Energy Inc. | 149,802 | 1,158 |
*,^ | Hyperdynamics Corp. | 2,327,217 | 1,105 |
* | TransAtlantic Petroleum Ltd. | 1,430,520 | 987 |
* | Syntroleum Corp. | 125,828 | 868 |
* | Double Eagle Petroleum Co. | 220,979 | 866 |
* | STR Holdings Inc. | 375,064 | 851 |
* | US Energy Corp. Wyoming | 321,367 | 665 |
*,^ | ZaZa Energy Corp. | 496,916 | 596 |
* | CAMAC Energy Inc. | 1,026,240 | 585 |
*,^ | Gevo Inc. | 273,926 | 556 |
* | Verenium Corp. | 176,670 | 396 |
*,^ | Saratoga Resources Inc. | 197,163 | 302 |
*,^ | Zion Oil & Gas Inc. | 113,729 | 255 |
*,^ | Ascent Solar Technologies Inc. | 320,367 | 250 |
*,^ | Pacific Ethanol Inc. | 57,875 | 230 |
* | Barnwell Industries Inc. | 69,987 | 220 |
* | PrimeEnergy Corp. | 3,540 | 131 |
* | Ocean Power Technologies Inc. | 79,149 | 128 |
* | PostRock Energy Corp. | 76,763 | 117 |
* | Forbes Energy Services Ltd. | 21,828 | 88 |
* | Magellan Petroleum Corp. | 83,233 | 86 |
* | GreenHunter Resources Inc. | 89,492 | 72 |
* | Houston American Energy Corp. | 221,330 | 60 |
* | Lucas Energy Inc. | 34,400 | 44 |
* | Apco Oil and Gas International Inc. | 3,457 | 40 |
* | Lone Pine Resources Inc. | 108,123 | 36 |
* | MagneGas Corp. | 18,100 | 14 |
* | BioFuel Energy Corp. | 3,000 | 10 |
*,^ | Cubic Energy Inc. | 26,705 | 8 |
* | FieldPoint Petroleum Corp. | 1,800 | 7 |
* | Mexco Energy Corp. | 600 | 3 |
23,954,466 | |||
Other (0.0%) | |||
* | Adolor Corp. Rights Exp. 07/01/2019 | 592,629 | 308 |
* | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 216,285 | 206 |
* | Federal-Mogul Corp. Rights 07/09/13 | 328,303 | 73 |
* | Southern Community Financial Corp | 197,337 | 43 |
* | Mission West Properties Inc. | 316,761 | — |
630 | |||
Technology (14.4%) | |||
Apple Inc. | 13,327,076 | 5,278,588 | |
Microsoft Corp. | 106,715,947 | 3,684,902 |
47
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Google Inc. Class A | 3,849,227 | 3,388,744 |
International Business Machines Corp. | 15,742,070 | 3,008,467 | |
Cisco Systems Inc. | 75,875,979 | 1,844,545 | |
Intel Corp. | 70,573,306 | 1,709,285 | |
Oracle Corp. | 50,159,604 | 1,540,903 | |
QUALCOMM Inc. | 24,530,778 | 1,498,340 | |
EMC Corp. | 29,843,462 | 704,903 | |
Hewlett-Packard Co. | 27,380,989 | 679,049 | |
* | Facebook Inc. Class A | 23,620,739 | 587,212 |
Texas Instruments Inc. | 15,763,262 | 549,665 | |
* | Yahoo! Inc. | 12,309,324 | 309,087 |
* | Adobe Systems Inc. | 6,774,326 | 308,638 |
Corning Inc. | 20,965,036 | 298,332 | |
* | Salesforce.com Inc. | 7,545,630 | 288,092 |
Dell Inc. | 21,211,120 | 283,168 | |
* | Cognizant Technology Solutions Corp. Class A | 4,277,013 | 267,784 |
Applied Materials Inc. | 17,075,898 | 254,602 | |
Broadcom Corp. Class A | 7,404,965 | 249,992 | |
Intuit Inc. | 3,998,440 | 244,025 | |
Symantec Corp. | 9,896,419 | 222,373 | |
* | SanDisk Corp. | 3,458,544 | 211,317 |
* | Cerner Corp. | 2,192,516 | 210,679 |
* | Micron Technology Inc. | 14,641,505 | 209,813 |
Motorola Solutions Inc. | 3,474,693 | 200,594 | |
Analog Devices Inc. | 4,377,909 | 197,269 | |
Seagate Technology plc | 4,317,484 | 193,553 | |
* | NetApp Inc. | 5,122,672 | 193,535 |
Western Digital Corp. | 3,023,408 | 187,723 | |
* | Citrix Systems Inc. | 2,647,581 | 159,729 |
Altera Corp. | 4,531,293 | 149,487 | |
Xilinx Inc. | 3,748,694 | 148,486 | |
* | Catamaran Corp. | 2,915,589 | 142,047 |
* | Juniper Networks Inc. | 6,831,085 | 131,908 |
KLA-Tencor Corp. | 2,347,516 | 130,827 | |
Avago Technologies Ltd. Class A | 3,489,715 | 130,446 | |
CA Inc. | 4,555,141 | 130,414 | |
* | Red Hat Inc. | 2,710,143 | 129,599 |
* | Equinix Inc. | 701,537 | 129,588 |
Linear Technology Corp. | 3,296,394 | 121,439 | |
* | Teradata Corp. | 2,347,053 | 117,892 |
Maxim Integrated Products Inc. | 4,128,139 | 114,680 | |
NVIDIA Corp. | 7,804,134 | 109,492 | |
* | Autodesk Inc. | 3,199,327 | 108,585 |
* | Cree Inc. | 1,668,263 | 106,535 |
* | Lam Research Corp. | 2,339,776 | 103,746 |
* | Akamai Technologies Inc. | 2,396,246 | 101,960 |
Microchip Technology Inc. | 2,646,075 | 98,566 | |
* | VeriSign Inc. | 2,168,677 | 96,853 |
* | ANSYS Inc. | 1,313,929 | 96,048 |
Computer Sciences Corp. | 2,165,863 | 94,800 | |
* | BMC Software Inc. | 2,029,266 | 91,601 |
* | VMware Inc. Class A | 1,179,136 | 78,990 |
Harris Corp. | 1,598,772 | 78,740 | |
* | Synopsys Inc. | 2,161,763 | 77,283 |
* | NCR Corp. | 2,335,688 | 77,054 |
* | F5 Networks Inc. | 1,113,636 | 76,618 |
* | Nuance Communications Inc. | 4,064,059 | 74,697 |
* | Gartner Inc. | 1,261,278 | 71,880 |
SAIC Inc. | 4,821,133 | 67,158 | |
Marvell Technology Group Ltd. | 5,596,231 | 65,532 | |
Garmin Ltd. | 1,657,952 | 59,952 | |
* | Skyworks Solutions Inc. | 2,734,488 | 59,858 |
*,^ | 3D Systems Corp. | 1,345,679 | 59,075 |
* | Rackspace Hosting Inc. | 1,551,538 | 58,788 |
48
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
IAC/InterActiveCorp | 1,170,456 | 55,667 | |
* | LSI Corp. | 7,790,199 | 55,622 |
* | Cadence Design Systems Inc. | 3,815,965 | 55,255 |
Solera Holdings Inc. | 969,058 | 53,928 | |
* | Informatica Corp. | 1,520,575 | 53,190 |
* | Concur Technologies Inc. | 634,364 | 51,625 |
* | ON Semiconductor Corp. | 6,310,545 | 50,989 |
* | ServiceNow Inc. | 1,240,634 | 50,109 |
* | MICROS Systems Inc. | 1,131,319 | 48,816 |
* | TIBCO Software Inc. | 2,243,479 | 48,010 |
* | JDS Uniphase Corp. | 3,320,248 | 47,745 |
* | CommVault Systems Inc. | 619,523 | 47,016 |
* | Teradyne Inc. | 2,658,336 | 46,707 |
* | Splunk Inc. | 951,476 | 44,110 |
* | Atmel Corp. | 5,964,295 | 43,838 |
* | Ultimate Software Group Inc. | 366,294 | 42,963 |
* | ViaSat Inc. | 588,652 | 42,065 |
* | athenahealth Inc. | 493,401 | 41,801 |
^ | Pitney Bowes Inc. | 2,821,303 | 41,417 |
* | PTC Inc. | 1,679,818 | 41,206 |
* | Ingram Micro Inc. | 2,134,903 | 40,542 |
AOL Inc. | 1,048,119 | 38,235 | |
* | NetSuite Inc. | 414,210 | 38,000 |
* | Aspen Technology Inc. | 1,311,649 | 37,762 |
* | Brocade Communications Systems Inc. | 6,303,917 | 36,311 |
* | SolarWinds Inc. | 899,809 | 34,922 |
*,^ | Advanced Micro Devices Inc. | 8,485,185 | 34,620 |
* | Rovi Corp. | 1,513,101 | 34,559 |
* | Riverbed Technology Inc. | 2,161,937 | 33,640 |
* | Semtech Corp. | 938,970 | 32,892 |
* | Fortinet Inc. | 1,804,059 | 31,571 |
* | Clearwire Corp. Class A | 6,298,757 | 31,368 |
Compuware Corp. | 3,007,599 | 31,129 | |
Mentor Graphics Corp. | 1,586,543 | 31,017 | |
* | Workday Inc. Class A | 481,548 | 30,862 |
* | QLIK Technologies Inc. | 1,087,517 | 30,744 |
* | Allscripts Healthcare Solutions Inc. | 2,341,301 | 30,296 |
Diebold Inc. | 892,882 | 30,081 | |
DST Systems Inc. | 459,600 | 30,026 | |
* | Microsemi Corp. | 1,293,469 | 29,426 |
* | Guidewire Software Inc. | 693,166 | 29,148 |
Lexmark International Inc. Class A | 950,103 | 29,045 | |
* | Tyler Technologies Inc. | 419,810 | 28,778 |
* | SS&C Technologies Holdings Inc. | 861,307 | 28,337 |
* | Verint Systems Inc. | 778,241 | 27,604 |
* | Ciena Corp. | 1,400,566 | 27,199 |
* | Medidata Solutions Inc. | 350,376 | 27,137 |
InterDigital Inc. | 597,860 | 26,694 | |
Plantronics Inc. | 602,493 | 26,461 | |
j2 Global Inc. | 620,099 | 26,360 | |
* | Polycom Inc. | 2,462,276 | 25,952 |
* | ACI Worldwide Inc. | 555,904 | 25,838 |
* | VeriFone Systems Inc. | 1,513,667 | 25,445 |
* | Tech Data Corp. | 533,359 | 25,116 |
* | Cavium Inc. | 705,874 | 24,967 |
* | Fairchild Semiconductor International Inc. Class A | 1,791,944 | 24,729 |
* | SunEdison Inc. | 3,002,101 | 24,527 |
* | Aruba Networks Inc. | 1,596,441 | 24,521 |
* | Cornerstone OnDemand Inc. | 543,740 | 23,538 |
* | Sourcefire Inc. | 422,624 | 23,477 |
* | Hittite Microwave Corp. | 398,725 | 23,126 |
* | Silicon Laboratories Inc. | 555,682 | 23,011 |
Fair Isaac Corp. | 500,761 | 22,950 | |
* | ARRIS Group Inc. | 1,593,714 | 22,870 |
49
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Finisar Corp. | 1,303,064 | 22,087 |
* | EchoStar Corp. Class A | 559,945 | 21,899 |
* | ExactTarget Inc. | 642,731 | 21,673 |
* | Manhattan Associates Inc. | 279,751 | 21,586 |
* | Advent Software Inc. | 613,993 | 21,527 |
* | Dealertrack Technologies Inc. | 598,086 | 21,190 |
* | RF Micro Devices Inc. | 3,927,408 | 21,012 |
Cypress Semiconductor Corp. | 1,957,184 | 21,001 | |
Blackbaud Inc. | 641,136 | 20,882 | |
ADTRAN Inc. | 835,092 | 20,552 | |
* | CACI International Inc. Class A | 323,565 | 20,543 |
* | International Rectifier Corp. | 971,743 | 20,348 |
* | Sapient Corp. | 1,541,281 | 20,129 |
MKS Instruments Inc. | 743,407 | 19,730 | |
* | Palo Alto Networks Inc. | 454,510 | 19,162 |
* | Electronics for Imaging Inc. | 651,501 | 18,431 |
* | Entegris Inc. | 1,926,135 | 18,086 |
* | PMC - Sierra Inc. | 2,825,137 | 17,940 |
* | Synaptics Inc. | 459,066 | 17,702 |
Cogent Communications Group Inc. | 624,208 | 17,571 | |
* | Progress Software Corp. | 744,801 | 17,138 |
*,^ | Fusion-io Inc. | 1,186,917 | 16,902 |
* | Infinera Corp. | 1,559,834 | 16,643 |
* | NETGEAR Inc. | 536,632 | 16,389 |
Power Integrations Inc. | 402,313 | 16,318 | |
* | Web.com Group Inc. | 631,166 | 16,158 |
* | Cirrus Logic Inc. | 925,405 | 16,065 |
* | Integrated Device Technology Inc. | 2,020,227 | 16,041 |
* | TriQuint Semiconductor Inc. | 2,309,456 | 16,005 |
* | Ixia | 838,166 | 15,422 |
* | SYNNEX Corp. | 364,220 | 15,399 |
Tessera Technologies Inc. | 724,141 | 15,062 | |
Syntel Inc. | 235,658 | 14,816 | |
* | Infoblox Inc. | 497,697 | 14,563 |
* | OmniVision Technologies Inc. | 761,899 | 14,209 |
NIC Inc. | 858,366 | 14,189 | |
* | MedAssets Inc. | 780,466 | 13,845 |
* | Ultratech Inc. | 376,372 | 13,820 |
Intersil Corp. Class A | 1,766,401 | 13,813 | |
* | Diodes Inc. | 512,078 | 13,299 |
* | Unisys Corp. | 600,678 | 13,257 |
* | Bottomline Technologies de Inc. | 519,276 | 13,132 |
Monotype Imaging Holdings Inc. | 514,750 | 13,080 | |
* | ScanSource Inc. | 390,490 | 12,496 |
* | Synchronoss Technologies Inc. | 402,637 | 12,429 |
* | QLogic Corp. | 1,295,121 | 12,381 |
* | Rambus Inc. | 1,428,925 | 12,274 |
* | Sonus Networks Inc. | 3,882,862 | 11,687 |
Quality Systems Inc. | 623,841 | 11,672 | |
* | Kulicke & Soffa Industries Inc. | 1,046,091 | 11,570 |
* | Netscout Systems Inc. | 495,030 | 11,554 |
*,^ | VirnetX Holding Corp. | 576,366 | 11,522 |
* | RealPage Inc. | 625,558 | 11,473 |
* | Insight Enterprises Inc. | 646,612 | 11,471 |
* | SPS Commerce Inc. | 207,601 | 11,418 |
* | Interactive Intelligence Group Inc. | 216,305 | 11,161 |
* | MicroStrategy Inc. Class A | 125,404 | 10,905 |
* | Demandware Inc. | 256,943 | 10,897 |
Monolithic Power Systems Inc. | 444,847 | 10,725 | |
* | Dycom Industries Inc. | 458,295 | 10,605 |
* | Cabot Microelectronics Corp. | 320,353 | 10,575 |
* | Spansion Inc. Class A | 837,659 | 10,487 |
* | ATMI Inc. | 442,289 | 10,460 |
* | Harmonic Inc. | 1,601,869 | 10,172 |
50
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | CSG Systems International Inc. | 464,626 | 10,082 |
* | Blucora Inc. | 539,380 | 10,000 |
Loral Space & Communications Inc. | 165,858 | 9,948 | |
* | Cray Inc. | 505,617 | 9,930 |
* | InvenSense Inc. | 644,364 | 9,910 |
* | PROS Holdings Inc. | 324,433 | 9,717 |
Tellabs Inc. | 4,859,311 | 9,621 | |
United Online Inc. | 1,265,373 | 9,592 | |
* | Freescale Semiconductor Ltd. | 691,779 | 9,374 |
* | BroadSoft Inc. | 337,794 | 9,323 |
* | Comverse Inc. | 308,720 | 9,187 |
* | Digital River Inc. | 486,572 | 9,133 |
* | Advanced Energy Industries Inc. | 521,975 | 9,088 |
Brooks Automation Inc. | 910,155 | 8,856 | |
* | Intermec Inc. | 846,874 | 8,325 |
* | FleetMatics Group plc | 245,879 | 8,171 |
* | Lattice Semiconductor Corp. | 1,610,168 | 8,164 |
* | LogMeIn Inc. | 331,502 | 8,109 |
* | Emulex Corp. | 1,236,520 | 8,062 |
* | Applied Micro Circuits Corp. | 907,095 | 7,982 |
* | Premiere Global Services Inc. | 642,138 | 7,751 |
* | Jive Software Inc. | 425,717 | 7,735 |
Pegasystems Inc. | 232,367 | 7,696 | |
* | Ellie Mae Inc. | 329,778 | 7,611 |
Forrester Research Inc. | 203,731 | 7,475 | |
*,^ | Ruckus Wireless Inc. | 580,739 | 7,439 |
* | Tangoe Inc. | 479,118 | 7,393 |
* | Proofpoint Inc. | 304,937 | 7,389 |
* | Responsys Inc. | 512,728 | 7,337 |
* | iGATE Corp. | 435,359 | 7,149 |
Computer Programs & Systems Inc. | 144,976 | 7,124 | |
* | Envestnet Inc. | 289,313 | 7,117 |
Comtech Telecommunications Corp. | 255,533 | 6,871 | |
* | Virtusa Corp. | 307,694 | 6,818 |
* | Exar Corp. | 632,656 | 6,814 |
* | Photronics Inc. | 839,156 | 6,764 |
Micrel Inc. | 682,886 | 6,747 | |
* | Accelrys Inc. | 797,413 | 6,698 |
* | Silicon Image Inc. | 1,130,651 | 6,614 |
West Corp. | 296,298 | 6,560 | |
* | SciQuest Inc. | 261,463 | 6,550 |
* | LivePerson Inc. | 705,825 | 6,321 |
* | PDF Solutions Inc. | 336,256 | 6,197 |
* | CalAmp Corp. | 424,193 | 6,193 |
* | EPAM Systems Inc. | 225,205 | 6,121 |
* | Silicon Graphics International Corp. | 450,659 | 6,030 |
EPIQ Systems Inc. | 441,269 | 5,944 | |
* | ICG Group Inc. | 518,474 | 5,911 |
* | Ceva Inc. | 304,396 | 5,893 |
* | Perficient Inc. | 439,513 | 5,863 |
* | Internap Network Services Corp. | 705,333 | 5,833 |
* | Immersion Corp. | 381,266 | 5,052 |
* | FormFactor Inc. | 748,068 | 5,049 |
* | Rudolph Technologies Inc. | 443,606 | 4,968 |
*,^ | Parkervision Inc. | 1,080,559 | 4,917 |
* | Pendrell Corp. | 1,876,368 | 4,916 |
* | Volterra Semiconductor Corp. | 346,528 | 4,893 |
^ | Ebix Inc. | 528,311 | 4,892 |
* | Entropic Communications Inc. | 1,144,137 | 4,885 |
* | Amkor Technology Inc. | 1,159,231 | 4,880 |
* | IntraLinks Holdings Inc. | 671,772 | 4,877 |
* | Calix Inc. | 477,285 | 4,821 |
* | KEYW Holding Corp. | 354,422 | 4,696 |
* | Seachange International Inc. | 398,642 | 4,668 |
51
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Computer Task Group Inc. | 202,289 | 4,647 | |
* | Shutterstock Inc. | 81,771 | 4,561 |
* | Super Micro Computer Inc. | 423,066 | 4,501 |
* | Quantum Corp. | 3,274,971 | 4,487 |
Keynote Systems Inc. | 225,804 | 4,462 | |
* | Nanometrics Inc. | 301,276 | 4,420 |
* | Actuate Corp. | 657,654 | 4,367 |
* | Oplink Communications Inc. | 250,429 | 4,350 |
* | Extreme Networks | 1,228,070 | 4,237 |
ePlus Inc. | 69,712 | 4,175 | |
Cohu Inc. | 327,517 | 4,094 | |
* | LTX-Credence Corp. | 679,163 | 4,068 |
* | support.com Inc. | 881,047 | 4,026 |
* | Mercury Systems Inc. | 428,351 | 3,949 |
* | Active Network Inc. | 521,585 | 3,948 |
*,^ | Millennial Media Inc. | 445,875 | 3,884 |
* | STEC Inc. | 574,532 | 3,861 |
* | Integrated Silicon Solution Inc. | 350,683 | 3,843 |
IXYS Corp. | 345,275 | 3,819 | |
* | Vocera Communications Inc. | 252,034 | 3,705 |
* | Globecomm Systems Inc. | 287,195 | 3,630 |
* | Procera Networks Inc. | 263,864 | 3,623 |
* | Agilysys Inc. | 318,046 | 3,591 |
Ubiquiti Networks Inc. | 201,893 | 3,541 | |
* | VASCO Data Security International Inc. | 425,402 | 3,535 |
* | Zix Corp. | 822,192 | 3,478 |
PC Connection Inc. | 220,247 | 3,403 | |
* | RigNet Inc. | 131,645 | 3,354 |
* | Kopin Corp. | 900,592 | 3,341 |
* | Merge Healthcare Inc. | 927,832 | 3,340 |
Supertex Inc. | 136,955 | 3,275 | |
* | Digi International Inc. | 349,312 | 3,273 |
* | VOXX International Corp. Class A | 261,459 | 3,208 |
* | Rosetta Stone Inc. | 216,027 | 3,184 |
* | KVH Industries Inc. | 238,592 | 3,176 |
* | CIBER Inc. | 945,460 | 3,158 |
* | Brightcove Inc. | 353,402 | 3,096 |
*,^ | Peregrine Semiconductor Corp. | 282,381 | 3,081 |
* | ShoreTel Inc. | 759,290 | 3,060 |
American Software Inc. Class A | 349,984 | 3,041 | |
*,^ | Model N Inc. | 129,647 | 3,029 |
* | PLX Technology Inc. | 605,811 | 2,884 |
* | Vocus Inc. | 272,956 | 2,871 |
* | Axcelis Technologies Inc. | 1,539,897 | 2,803 |
* | Inphi Corp. | 252,749 | 2,780 |
* | Callidus Software Inc. | 420,181 | 2,769 |
* | Datalink Corp. | 253,845 | 2,701 |
* | Symmetricom Inc. | 570,931 | 2,563 |
*,^ | Greenway Medical Technologies | 207,662 | 2,563 |
* | ANADIGICS Inc. | 1,131,469 | 2,489 |
* | Rally Software Development Corp. | 96,900 | 2,405 |
* | MaxLinear Inc. | 338,695 | 2,371 |
Preformed Line Products Co. | 35,632 | 2,363 | |
*,^ | Vringo Inc. | 728,391 | 2,309 |
* | MoSys Inc. | 564,406 | 2,269 |
* | Sigma Designs Inc. | 448,113 | 2,263 |
Neutral Tandem Inc. | 390,727 | 2,247 | |
* | Ultra Clean Holdings | 371,117 | 2,245 |
* | DSP Group Inc. | 269,048 | 2,236 |
* | Aviat Networks Inc. | 834,379 | 2,186 |
* | Pericom Semiconductor Corp. | 303,719 | 2,162 |
* | Unwired Planet Inc. | 1,082,594 | 2,111 |
* | NeoPhotonics Corp. | 239,829 | 2,084 |
*,^ | Mitek Systems Inc. | 360,504 | 2,084 |
52
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Limelight Networks Inc. | 869,610 | 1,957 |
PC-Tel Inc. | 229,257 | 1,944 | |
Hackett Group Inc. | 371,255 | 1,927 | |
Digimarc Corp. | 92,587 | 1,923 | |
* | Vitesse Semiconductor Corp. | 726,720 | 1,911 |
Tessco Technologies Inc. | 72,290 | 1,908 | |
* | Numerex Corp. Class A | 169,515 | 1,892 |
* | Alpha & Omega Semiconductor Ltd. | 244,335 | 1,867 |
^ | Acorn Energy Inc. | 219,252 | 1,850 |
* | Imation Corp. | 435,597 | 1,843 |
* | Boingo Wireless Inc. | 289,165 | 1,796 |
* | Intermolecular Inc. | 244,171 | 1,775 |
Systemax Inc. | 188,321 | 1,772 | |
* | Guidance Software Inc. | 198,121 | 1,732 |
*,^ | Silver Spring Networks Inc. | 66,192 | 1,651 |
* | Novatel Wireless Inc. | 410,532 | 1,622 |
* | Mattson Technology Inc. | 725,691 | 1,582 |
Transact Technologies Inc. | 192,561 | 1,573 | |
* | TeleCommunication Systems Inc. Class A | 674,441 | 1,571 |
* | GSI Technology Inc. | 248,367 | 1,570 |
* | Westell Technologies Inc. Class A | 653,575 | 1,562 |
* | Dot Hill Systems Corp. | 703,715 | 1,541 |
Concurrent Computer Corp. | 199,855 | 1,529 | |
* | Ipass Inc. | 799,631 | 1,511 |
* | Radisys Corp. | 310,738 | 1,495 |
* | Hutchinson Technology Inc. | 312,192 | 1,477 |
* | Telenav Inc. | 272,942 | 1,427 |
* | Mindspeed Technologies Inc. | 438,500 | 1,421 |
*,^ | Oclaro Inc. | 1,154,350 | 1,362 |
Rimage Corp. | 158,529 | 1,330 | |
* | E2open Inc. | 74,972 | 1,312 |
* | Carbonite Inc. | 104,676 | 1,297 |
*,^ | QuickLogic Corp. | 562,035 | 1,242 |
^ | Alliance Fiber Optic Products Inc. | 61,536 | 1,231 |
*,^ | OCZ Technology Group Inc. | 846,557 | 1,227 |
*,^ | eGain Corp. | 121,601 | 1,170 |
Aware Inc. | 224,568 | 1,168 | |
* | AXT Inc. | 429,847 | 1,161 |
*,^ | Marin Software Inc. | 110,500 | 1,132 |
* | Icad Inc. | 179,126 | 1,075 |
*,^ | Emcore Corp. | 282,023 | 1,015 |
* | ID Systems Inc. | 200,490 | 1,008 |
* | Mitel Networks Corp. | 260,151 | 999 |
*,^ | Cyan Inc. | 94,885 | 992 |
* | Key Tronic Corp. | 94,279 | 976 |
* | Innodata Inc. | 294,376 | 942 |
* | Dynamics Research Corp. | 159,180 | 887 |
* | Edgewater Technology Inc. | 201,084 | 857 |
Evolving Systems Inc. | 127,521 | 845 | |
QAD Inc. Class A | 72,664 | 834 | |
* | Ikanos Communications Inc. | 537,121 | 800 |
* | GSE Systems Inc. | 528,356 | 798 |
* | Qualys Inc. | 47,049 | 758 |
* | PAR Technology Corp. | 184,916 | 745 |
* | Meru Networks Inc. | 184,602 | 744 |
* | Exa Corp. | 71,598 | 737 |
* | Clearfield Inc. | 77,699 | 732 |
* | NetSol Technologies Inc. | 71,177 | 716 |
* | Audience Inc. | 51,810 | 684 |
* | Pixelworks Inc. | 190,441 | 651 |
* | Bsquare Corp. | 230,553 | 634 |
* | Cascade Microtech Inc. | 94,831 | 632 |
* | FalconStor Software Inc. | 454,255 | 622 |
* | MEMSIC Inc. | 144,104 | 591 |
53
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Amtech Systems Inc. | 92,310 | 587 |
*,^ | CVD Equipment Corp. | 60,365 | 503 |
* | Smith Micro Software Inc. | 441,823 | 468 |
* | Identive Group Inc. | 626,086 | 453 |
* | Streamline Health Solutions Inc. | 67,654 | 444 |
* | Synacor Inc. | 142,428 | 442 |
Crexendo Inc. | 155,896 | 421 | |
* | NCI Inc. Class A | 101,589 | 421 |
*,^ | Wave Systems Corp. Class A | 1,228,651 | 369 |
* | LRAD Corp. | 319,915 | 361 |
* | Datawatch Corp. | 19,462 | 351 |
* | ClearOne Inc. | 38,808 | 330 |
* | Multiband Corp. | 96,428 | 306 |
* | FAB Universal Corp. | 80,502 | 295 |
* | USA Technologies Inc. | 163,470 | 284 |
* | Lantronix Inc. | 139,933 | 221 |
Communications Systems Inc. | 17,954 | 173 | |
QAD Inc. Class B | 16,312 | 170 | |
* | Park City Group Inc. | 20,998 | 159 |
* | Selectica Inc. | 16,769 | 149 |
RCM Technologies Inc. | 24,280 | 132 | |
* | Zhone Technologies Inc. | 162,055 | 130 |
*,^ | MeetMe Inc. | 77,916 | 127 |
* | Authentidate Holding Corp. | 135,242 | 118 |
* | Transwitch Corp. | 322,489 | 116 |
* | Performance Technologies Inc. | 73,336 | 87 |
*,^ | Voltari Corp. | 17,579 | 64 |
* | WidePoint Corp. | 65,549 | 54 |
* | Netlist Inc. | 58,760 | 52 |
* | inTEST Corp. | 12,000 | 45 |
* | Relm Wireless Corp. | 12,664 | 38 |
* | Ambient Corp. | 13,177 | 31 |
Soundbite Communications Inc. | 6,118 | 31 | |
*,^ | Superconductor Technologies Inc. | 9,629 | 30 |
* | Intellicheck Mobilisa Inc. | 98,702 | 30 |
* | Qualstar Corp. | 18,208 | 25 |
* | SED International Holdings Inc. | 10,094 | 20 |
* | Analysts International Corp. | 5,080 | 19 |
* | BroadVision Inc. | 1,600 | 14 |
* | Bridgeline Digital Inc. | 11,301 | 13 |
* | GigOptix Inc. | 8,200 | 11 |
* | Inuvo Inc. | 11,200 | 9 |
Mastech Holdings Inc. | 1,108 | 8 | |
CSP Inc. | 900 | 8 | |
Simulations Plus Inc. | 1,800 | 7 | |
* | Cobra Electronics Corp. | 1,600 | 5 |
* | UniTek Global Services Inc. | 3,400 | 5 |
* | Peerless Systems Corp. | 1,200 | 4 |
* | Overland Storage Inc. | 2,777 | 3 |
Globalscape Inc. | 1,600 | 3 | |
* | Data I/O Corp. | 1,127 | 3 |
* | Crossroads Systems Inc. | 800 | 1 |
* | Looksmart Ltd. | 1,977 | 1 |
Optical Cable Corp. | 291 | 1 | |
* | Sonic Foundry Inc. | 100 | 1 |
* | Interphase Corp. | 24 | — |
36,443,307 | |||
Telecommunications (2.5%) | |||
AT&T Inc. | 76,382,384 | 2,703,936 | |
Verizon Communications Inc. | 40,618,986 | 2,044,760 | |
CenturyLink Inc. | 8,655,806 | 305,983 | |
* | Crown Castle International Corp. | 4,170,653 | 301,914 |
* | Sprint Nextel Corp. | 42,894,585 | 301,120 |
* | SBA Communications Corp. Class A | 1,808,117 | 134,018 |
54
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
^ | Windstream Corp. | 8,340,180 | 64,303 |
T-Mobile US Inc. | 2,575,426 | 63,896 | |
* | tw telecom inc Class A | 2,133,298 | 60,031 |
^ | Frontier Communications Corp. | 14,078,983 | 57,020 |
* | Level 3 Communications Inc. | 2,098,301 | 44,232 |
Telephone & Data Systems Inc. | 1,287,275 | 31,731 | |
*,^ | NII Holdings Inc. | 2,403,223 | 16,030 |
Consolidated Communications Holdings Inc. | 533,279 | 9,284 | |
EarthLink Inc. | 1,464,994 | 9,098 | |
* | Cincinnati Bell Inc. | 2,750,357 | 8,416 |
* | 8x8 Inc. | 1,003,189 | 8,266 |
* | Vonage Holdings Corp. | 2,334,618 | 6,607 |
United States Cellular Corp. | 177,636 | 6,517 | |
Atlantic Tele-Network Inc. | 127,456 | 6,329 | |
* | Iridium Communications Inc. | 799,043 | 6,201 |
* | inContact Inc. | 704,195 | 5,789 |
Shenandoah Telecommunications Co. | 324,561 | 5,414 | |
* | Leap Wireless International Inc. | 767,242 | 5,164 |
Lumos Networks Corp. | 290,264 | 4,964 | |
USA Mobility Inc. | 297,525 | 4,037 | |
IDT Corp. Class B | 211,546 | 3,954 | |
NTELOS Holdings Corp. | 216,276 | 3,560 | |
* | Cbeyond Inc. | 417,103 | 3,270 |
HickoryTech Corp. | 287,152 | 3,052 | |
* | General Communication Inc. Class A | 385,747 | 3,020 |
*,^ | Fairpoint Communications Inc. | 348,903 | 2,913 |
* | ORBCOMM Inc. | 461,953 | 2,074 |
*,^ | Towerstream Corp. | 791,312 | 2,018 |
Primus Telecommunications Group Inc. | 134,094 | 1,601 | |
* | Hawaiian Telcom Holdco Inc. | 44,106 | 1,110 |
Alaska Communications Systems Group Inc. | 641,232 | 1,077 | |
Alteva | 91,123 | 900 | |
*,^ | Elephant Talk Communications Corp. | 771,629 | 452 |
* | NTS Inc. | 138,750 | 218 |
6,244,279 | |||
Utilities (3.4%) | |||
Duke Energy Corp. | 10,020,358 | 676,374 | |
Southern Co. | 12,370,927 | 545,929 | |
NextEra Energy Inc. | 6,035,168 | 491,746 | |
Dominion Resources Inc. | 8,210,371 | 466,513 | |
Exelon Corp. | 12,143,549 | 374,993 | |
Spectra Energy Corp. | 9,511,227 | 327,757 | |
American Electric Power Co. Inc. | 6,895,625 | 308,786 | |
PG&E Corp. | 6,281,670 | 287,261 | |
Sempra Energy | 3,281,517 | 268,297 | |
PPL Corp. | 8,418,008 | 254,729 | |
Consolidated Edison Inc. | 4,157,138 | 242,403 | |
Public Service Enterprise Group Inc. | 7,181,668 | 234,553 | |
Edison International | 4,617,687 | 222,388 | |
FirstEnergy Corp. | 5,924,993 | 221,239 | |
Xcel Energy Inc. | 7,066,519 | 200,265 | |
Northeast Utilities | 4,460,079 | 187,413 | |
Entergy Corp. | 2,527,692 | 176,130 | |
DTE Energy Co. | 2,471,218 | 165,596 | |
CenterPoint Energy Inc. | 6,059,786 | 142,344 | |
Wisconsin Energy Corp. | 3,242,253 | 132,900 | |
NiSource Inc. | 4,410,449 | 126,315 | |
* | Calpine Corp. | 5,822,647 | 123,615 |
NRG Energy Inc. | 4,560,877 | 121,775 | |
ONEOK Inc. | 2,920,221 | 120,634 | |
Ameren Corp. | 3,437,195 | 118,377 | |
AES Corp. | 8,989,900 | 107,789 | |
American Water Works Co. Inc. | 2,504,234 | 103,250 | |
CMS Energy Corp. | 3,779,477 | 102,688 |
55
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2013 | |||
Market | |||
Value | |||
Shares | ($000) | ||
SCANA Corp. | 1,784,480 | 87,618 | |
Pinnacle West Capital Corp. | 1,554,868 | 86,249 | |
Alliant Energy Corp. | 1,564,957 | 78,905 | |
NV Energy Inc. | 3,319,453 | 77,874 | |
AGL Resources Inc. | 1,666,363 | 71,420 | |
Pepco Holdings Inc. | 3,532,572 | 71,217 | |
ITC Holdings Corp. | 735,239 | 67,127 | |
Integrys Energy Group Inc. | 1,111,819 | 65,075 | |
National Fuel Gas Co. | 1,119,348 | 64,866 | |
UGI Corp. | 1,600,995 | 62,615 | |
Aqua America Inc. | 1,969,412 | 61,623 | |
Questar Corp. | 2,462,484 | 58,730 | |
Westar Energy Inc. | 1,780,045 | 56,890 | |
Atmos Energy Corp. | 1,269,600 | 52,130 | |
TECO Energy Inc. | 2,894,309 | 49,753 | |
Great Plains Energy Inc. | 2,158,991 | 48,664 | |
Cleco Corp. | 855,891 | 39,739 | |
Vectren Corp. | 1,158,321 | 39,186 | |
Hawaiian Electric Industries Inc. | 1,468,242 | 37,161 | |
Piedmont Natural Gas Co. Inc. | 1,067,959 | 36,033 | |
IDACORP Inc. | 704,248 | 33,635 | |
Portland General Electric Co. | 1,062,548 | 32,503 | |
WGL Holdings Inc. | 725,094 | 31,339 | |
*,^ | Dynegy Inc. | 1,350,296 | 30,449 |
Southwest Gas Corp. | 650,419 | 30,433 | |
Black Hills Corp. | 621,456 | 30,296 | |
ALLETE Inc. | 551,019 | 27,468 | |
UIL Holdings Corp. | 710,702 | 27,184 | |
UNS Energy Corp. | 582,128 | 26,039 | |
South Jersey Industries Inc. | 444,832 | 25,538 | |
PNM Resources Inc. | 1,118,252 | 24,814 | |
New Jersey Resources Corp. | 584,382 | 24,269 | |
Avista Corp. | 836,839 | 22,611 | |
NorthWestern Corp. | 521,250 | 20,798 | |
El Paso Electric Co. | 564,187 | 19,922 | |
Laclede Group Inc. | 419,690 | 19,163 | |
MGE Energy Inc. | 322,340 | 17,651 | |
Northwest Natural Gas Co. | 377,750 | 16,047 | |
American States Water Co. | 267,177 | 14,339 | |
Empire District Electric Co. | 596,389 | 13,305 | |
California Water Service Group | 658,425 | 12,846 | |
Chesapeake Utilities Corp. | 131,531 | 6,773 | |
SJW Corp. | 239,884 | 6,285 | |
Atlantic Power Corp. | 1,495,754 | 5,893 | |
Ormat Technologies Inc. | 244,325 | 5,747 | |
Unitil Corp. | 178,724 | 5,162 | |
Middlesex Water Co. | 236,771 | 4,717 | |
Connecticut Water Service Inc. | 141,448 | 4,060 | |
York Water Co. | 168,909 | 3,214 | |
Artesian Resources Corp. Class A | 102,844 | 2,291 | |
Genie Energy Ltd. Class B | 217,911 | 1,994 | |
Delta Natural Gas Co. Inc. | 75,677 | 1,608 | |
*,^ | Pure Cycle Corp. | 151,519 | 847 |
*,^ | Cadiz Inc. | 179,752 | 827 |
Gas Natural Inc. | 54,292 | 559 | |
RGC Resources Inc. | 14,354 | 291 | |
* | US Geothermal Inc. | 106,975 | 37 |
8,615,888 | |||
Total Common Stocks (Cost $189,704,904) | 252,006,821 |
56
Vanguard® Total Stock Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2013 | |||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (0.8%) | |||||
Money Market Fund (0.8%)1 | |||||
2,3 | Vanguard Market Liquidity Fund | 0.127% | 1,903,196,535 | 1,903,197 | |
Maturity | |||||
Date | |||||
U.S. Government and Agency Obligations (0.0%) | |||||
4,5 | Fannie Mae Discount Notes | 0.085% | 8/28/13 | 800 | 800 |
4,5 | Fannie Mae Discount Notes | 0.095% | 9/4/13 | 6,000 | 5,998 |
6 | Federal Home Loan Bank Discount Notes | 0.100% | 9/6/13 | 5,000 | 4,999 |
5,6 | Federal Home Loan Bank Discount Notes | 0.095% | 10/4/13 | 3,000 | 2,999 |
6 | Federal Home Loan Bank Discount Notes | 0.110% | 11/8/13 | 500 | 500 |
5,6 | Federal Home Loan Bank Discount Notes | 0.100% | 11/13/13 | 25,000 | 24,984 |
4,5 | Freddie Mac Discount Notes | 0.100% | 9/4/13 | 8,000 | 7,998 |
4,5 | Freddie Mac Discount Notes | 0.100%-0.130% | 9/16/13 | 18,300 | 18,294 |
4,5 | Freddie Mac Discount Notes | 0.095% | 11/18/13 | 10,000 | 9,993 |
76,565 | |||||
Total Temporary Cash Investments (Cost $1,979,774) | 1,979,762 | ||||
Total Investments (100.4%) (Cost $191,684,678) | 253,986,583 | ||||
Other Assets and Liabilities—Net (-0.4%)3 | (1,056,383) | ||||
Net Assets (100%) | 252,930,200 |
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $846,798,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 0.5%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $910,282,000 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, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Securities with a value of $43,832,000 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.
57
© 2013 The Vanguard Group. Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 852_082013
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 20, 2013 |
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 20, 2013 |
VANGUARD INDEX FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: August 20, 2013 |
* 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.